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Previous: SEPARATE ACCOUNT FP OF EQUITABLE VARIABLE LIFE INSURANCE CO, 485BPOS, 1996-04-26 |
Next: GMO TRUST, 13F-E, 1996-04-26 |
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<PAGE> PAGE 1
SECURITIES AND EXCHANGE COMMISSION
FORM 13F-E
Report for the Calendar Year or Quarter Ended: 03/31/96
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 50 1500 SH SOLE 1500 0 0
ADAC LABS COMMON 005313200 619 35100 SH SOLE 35100 0 0
ADV SEMICONDCTR MATL COMMON 007914104 40619 4391271 SH SOLE 4391271 0 0
ADVO INC COMMON 007585102 280 28700 SH SOLE 28700 0 0
AGL RESOURCES INC COMMON 001204106 845 46000 SH SOLE 46000 0 0
AIR CANADA CLASS A 008911307 323 100000 SH SOLE 100000 0 0
ALBERTA ENERGY CO COMMON 012873105 4402 231803 SH SOLE 231803 0 0
ALBERTO-CULVER CO CLASS B 013068101 955 24800 SH SOLE 24800 0 0
ALICO INC COMMON 016230104 83 3700 SH SOLE 3700 0 0
ALLEGHANY CORP DEL COMMON 017175100 981 4965 SH SOLE 4965 0 0
ALLEGHENY POWER SYS COMMON 017411109 8338 274500 SH SOLE 274500 0 0
ALLMERICA PPTY&CAS COMMON 01975T105 3657 139300 SH SOLE 139300 0 0
AMC ENTMT INC COMMON 001669100 24 1000 SH SOLE 1000 0 0
AMERICAN NATL INS CO COMMON 028591105 911 13500 SH SOLE 13500 0 0
AMERICAN WTR WKS INC COMMON 030411102 1729 44900 SH SOLE 44900 0 0
AMERN BANKERS INS CO COMMON 024456105 1223 34700 SH SOLE 34700 0 0
AMERN BILTRITE INC COMMON 024591109 9 500 SH SOLE 500 0 0
AMERN BUSINESS INFO COMMON 02476F107 266 16600 SH SOLE 16600 0 0
AMERN FILTRONA CORP COMMON 026042101 14 400 SH SOLE 400 0 0
AMERN HERITAGE LIFE COMMON 026522102 125 5949 SH SOLE 5949 0 0
AMERN MEDIA OPERATNS CLASS A 02744L100 128 35200 SH SOLE 35200 0 0
AQUARION CO COMMON 03838W101 217 8500 SH SOLE 8500 0 0
ARBOR DRUGS INC COMMON 038760104 1080 51450 SH SOLE 51450 0 0
ARGONAUT GROUP INC COMMON 040157109 698 22500 SH SOLE 22500 0 0
ARMOR ALL PRODS CORP COMMON 042256107 152 9300 SH SOLE 9300 0 0
ASHLAND COAL INC COMMON 043906106 159 6800 SH SOLE 6800 0 0
ATLANTIC ENERGY INC COMMON 048903108 1648 99100 SH SOLE 99100 0 0
ATLANTIC TELE NETWRK COMMON 049079106 281 12500 SH SOLE 12500 0 0
ATMOS ENERGY CORP COMMON 049560105 166 7200 SH SOLE 7200 0 0
ATWOOD OCEANICS INC COMMON 050095108 115 3200 SH SOLE 3200 0 0
AVEMCO CORP COMMON 053555108 60 4000 SH SOLE 4000 0 0
BALDWIN & LYONS INC CLASS B 057755209 11 800 SH SOLE 800 0 0
BANK OF MONTREAL COMMON 063671101 4156 178359 SH SOLE 178359 0 0
BANPOMCE CORP COMMON 066704107 634 13700 SH SOLE 13700 0 0
BANTA CORP COMMON 066821109 1328 49650 SH SOLE 49650 0 0
BARNES GROUP INC COMMON 067806109 197 4400 SH SOLE 4400 0 0
BAY ST GAS CO COMMON 072612609 164 5900 SH SOLE 5900 0 0
BCE INC COMMON 05534B109 6509 183805 SH SOLE 183805 0 0
BEAUTI CNTL COSMETIC COMMON 074655101 94 10700 SH SOLE 10700 0 0
BELO A H CORP CLASS A 080555105 1771 52100 SH SOLE 52100 0 0
BERLITZ INTL INC COMMON 08520F100 20 1200 SH SOLE 1200 0 0
BERRY PETE CO CLASS A 085789105 176 16000 SH SOLE 16000 0 0
BET HLDGS INC CLASS A 086585106 137 4900 SH SOLE 4900 0 0
BINDLEY WESTN INDS COMMON 090324104 325 20500 SH SOLE 20500 0 0
BIO RAD LABS INC CLASS A 090572207 46 1100 SH SOLE 1100 0 0
BLACK HILLS CORP COMMON 092113109 238 9800 SH SOLE 9800 0 0
BLAIR CORP COMMON 092828102 389 15400 SH SOLE 15400 0 0
BLESSINGS CORP COMMON 093532109 63 6100 SH SOLE 6100 0 0
BLOCK DRUG INC CLASS A 093644102 377 9109 SH SOLE 9109 0 0
BOISE CASCADE CORP DEP ACE 097383863 690 20000 SH SOLE 20000 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 41 3700 SH SOLE 3700 0 0
BOSTON EDISON CO COMMON 100599109 497 18500 SH SOLE 18500 0 0
BOWNE & CO INC COMMON 103043105 443 24300 SH SOLE 24300 0 0
BRADY WH CO CLASS A 104674106 344 16100 SH SOLE 16100 0 0
BRASCAN LTD CLASS A 105502405 2359 130500 SH SOLE 130500 0 0
BRIDGFORD FOODS CORP COMMON 108763103 9 1100 SH SOLE 1100 0 0
BRITISH PETE PLC ADR 110889409 162 1528 SH SOLE 1528 0 0
BROOKLYN UN GAS CO COMMON 114259104 1602 59900 SH SOLE 59900 0 0
BUCKLE INC COMMON 118440106 161 6300 SH SOLE 6300 0 0
BW/IP INC CLASS A 056044100 272 15200 SH SOLE 15200 0 0
CALIFORNIA WTR SVC COMMON 130789100 119 3400 SH SOLE 3400 0 0
CAMECO CORP COMMON 13321L108 999 18900 SH SOLE 18900 0 0
CANADIAN MARCONI CO COMMON 136357100 549 54900 SH SOLE 54900 0 0
CAPITAL RE CORP COMMON 140432105 439 12200 SH SOLE 12200 0 0
CAPITOL AMERN FINL COMMON 14055J103 323 13000 SH SOLE 13000 0 0
CAROLINA PWR & LT CO COMMON 144141108 11130 298800 SH SOLE 298800 0 0
CARPENTER TECHNOLOGY COMMON 144285103 31 800 SH SOLE 800 0 0
CASCADE NAT GAS CORP COMMON 147339105 51 3200 SH SOLE 3200 0 0
CASTLE A M & CO COMMON 148411101 143 4850 SH SOLE 4850 0 0
CCB FINANCIAL CORP COMMON 124875105 372 7400 SH SOLE 7400 0 0
CDN OCCIDENTAL PETE COMMON 136420106 3123 92500 SH SOLE 92500 0 0
CENT HUDSON GAS&ELEC COMMON 153609102 596 19700 SH SOLE 19700 0 0
CENTRAL LOUIS ELEC COMMON 153897608 376 14000 SH SOLE 14000 0 0
CENTRAL MAINE POWER COMMON 154051106 658 45400 SH SOLE 45400 0 0
CENTRAL NEWSPAPERS CLASS A 154647101 976 27400 SH SOLE 27400 0 0
CENTRAL VT PUB SVC COMMON 155771108 197 13150 SH SOLE 13150 0 0
CHEMED CORP COMMON 163596109 405 10900 SH SOLE 10900 0 0
CHURCH & DWIGHT INC COMMON 171340102 35 1700 SH SOLE 1700 0 0
CILCORP INC COMMON 171794100 426 9900 SH SOLE 9900 0 0
CINERGY CORP COMMON 172474108 13245 441500 SH SOLE 441500 0 0
CIPSCO INC COMMON 125539106 1097 28400 SH SOLE 28400 0 0
CITIZENS CORP COMMON 174533109 185 9500 SH SOLE 9500 0 0
COLEMAN INC COMMON 193559101 26 600 SH SOLE 600 0 0
COLONIAL GAS CO COMMON 195674106 92 3900 SH SOLE 3900 0 0
COMINCO LTD COMMON 200435105 7983 339900 SH SOLE 339900 0 0
COMMONWEALTH ENERGY COMMON 202800108 463 9900 SH SOLE 9900 0 0
COMPANIA TELEF CHILE SPONSOR 204449201 2715 32040 SH SOLE 32040 0 0
COMPASS BANCSHARES COMMON 20449H109 432 13400 SH SOLE 13400 0 0
CONE MLS CORP NC COMMON 206814105 291 25000 SH SOLE 25000 0 0
CONNECTICUT ENERGY COMMON 207567108 128 6700 SH SOLE 6700 0 0
CONNECTICUT NAT GAS COMMON 207651100 107 4600 SH SOLE 4600 0 0
CONSUMERS WATER CO COMMON 210723102 114 6400 SH SOLE 6400 0 0
CPI CORP COMMON 125902106 258 16100 SH SOLE 16100 0 0
CRAIG JENNY INC COMMON 224206102 104 10800 SH SOLE 10800 0 0
CRAWFORD & CO CLASS B 224633107 93 5900 SH SOLE 5900 0 0
CROWN AMERN RLTY SH BEN 228186102 343 45000 SH SOLE 45000 0 0
CROWN BOOKS CORP COMMON 228210100 96 10700 SH SOLE 10700 0 0
CROWN CENT PETE CORP CLASS A 228219101 74 4100 SH SOLE 4100 0 0
CROWN VANTAGE INC COMMON 228622106 4 260 SH SOLE 260 0 0
CSS INDS INC COMMON 125906107 125 5600 SH SOLE 5600 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
CULBRO CORP COMMON 229890108 295 4800 SH SOLE 4800 0 0
CURTISS WRIGHT CORP COMMON 231561101 104 2000 SH SOLE 2000 0 0
DAMES & MOORE INC COMMON 235713104 205 18400 SH SOLE 18400 0 0
DANIEL INDS INC COMMON 236235107 45 3300 SH SOLE 3300 0 0
DART GROUP CORP CLASS A 237415104 131 1500 SH SOLE 1500 0 0
DE BEERS CONS MINES ADR 240253302 3635 115400 SH SOLE 115400 0 0
DEB SHOPS INC COMMON 242728103 39 8700 SH SOLE 8700 0 0
DELCHAMPS INC COMMON 246615108 174 8200 SH SOLE 8200 0 0
DELMARVA PWR & LT CO COMMON 247109101 812 38200 SH SOLE 38200 0 0
DELPHI FINL GRP CLASS A 247131105 211 8800 SH SOLE 8800 0 0
DEPOSIT GTY CORP COMMON 249555103 454 9600 SH SOLE 9600 0 0
DEVON GROUP INC NEW COMMON 251801106 553 19400 SH SOLE 19400 0 0
DEVRY INC DEL COMMON 251893103 51 1500 SH SOLE 1500 0 0
DIAGNOSTIC PRODUCTS COMMON 252450101 666 16500 SH SOLE 16500 0 0
DOMTAR INC COMMON 257561100 3564 491700 SH SOLE 491700 0 0
DONALDSON INC COMMON 257651109 36 1300 SH SOLE 1300 0 0
DOWNEY FINANCIAL COMMON 261018105 196 8340 SH SOLE 8340 0 0
DPL INC COMMON 233293109 6395 267850 SH SOLE 267850 0 0
DQE INC COMMON 23329J104 6650 230300 SH SOLE 230300 0 0
E TOWN COMMON 269242103 139 5100 SH SOLE 5100 0 0
EARTHGRAINS CO COMMON 270319106 1375 46016 SH SOLE 46016 0 0
EASTERN UTILS ASSOC COMMON 277173100 499 23200 SH SOLE 23200 0 0
EATON VANCE CORP COMMON 278265103 647 19900 SH SOLE 19900 0 0
EMPI INC COMMON 291586105 458 24900 SH SOLE 24900 0 0
EMPIRE DIST ELEC CO COMMON 291641108 150 8200 SH SOLE 8200 0 0
EMPRESA NAC DE ELCTR SPONSOR 29244T101 173 9000 SH SOLE 9000 0 0
EMPRESAS ICA SOCIED ADRS(RE 292448107 7342 564800 SH SOLE 564800 0 0
EMPRESAS TELEX CHILE SPONS A 29245D105 581 61200 SH SOLE 61200 0 0
ENERGEN CORP COMMON 29265N108 210 9600 SH SOLE 9600 0 0
ENERGY VENTURES INC COMMON 292740107 282 10600 SH SOLE 10600 0 0
ENHANCE FINL SVCS GR COMMON 293310108 641 23200 SH SOLE 23200 0 0
ENOVA CORP COMMON 293552105 4733 206900 SH SOLE 206900 0 0
ENSERCH EXPLORATION COMMON 29356V100 285 27500 SH SOLE 27500 0 0
EQUITABLE IOWA COS COMMON 294510300 14 400 SH SOLE 400 0 0
EQUITABLE RES INC COMMON 294549100 92 3150 SH SOLE 3150 0 0
EXCEL INDS INC COMMON 300657103 80 7000 SH SOLE 7000 0 0
FABRI-CENTERS OF AME CLASS A 302846209 77 6700 SH SOLE 6700 0 0
FARMER BROS CO COMMON 307675108 40 300 SH SOLE 300 0 0
FAY INCORPORATED COMMON 313035107 148 20400 SH SOLE 20400 0 0
FINA INC CLASS A 31734L101 329 6800 SH SOLE 6800 0 0
FIRST BRANDS CORP COMMON 319356101 1215 43400 SH SOLE 43400 0 0
FIRST CITIZENS BANCS CLASS A 31946M103 192 3200 SH SOLE 3200 0 0
FIRST COLONY CORP COMMON 319741104 1263 52900 SH SOLE 52900 0 0
FIRST EMPIRE ST CORP COMMON 320076102 492 2000 SH SOLE 2000 0 0
FIRST HAWAIIAN INC COMMON 320506108 163 5900 SH SOLE 5900 0 0
FIRST VA BANKS INC COMMON 337477103 48 1200 SH SOLE 1200 0 0
FLOR EAST COAST INDS COMMON 340632108 489 5600 SH SOLE 5600 0 0
FLORIDA PROGRESS COMMON 341109106 7439 218000 SH SOLE 218000 0 0
FOREMOST CORP AMER COMMON 345469100 627 11400 SH SOLE 11400 0 0
FREMONT GENERAL CORP COMMON 357288109 1108 46915 SH SOLE 46915 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
FRESENIUS USA INC COMMON 358031102 55 2700 SH SOLE 2700 0 0
FRONTIER INS GROUP COMMON 359081106 489 15963 SH SOLE 15963 0 0
GALLAGHER ARTHR J&CO COMMON 363576109 546 15000 SH SOLE 15000 0 0
GARAN INC COMMON 364802108 136 8000 SH SOLE 8000 0 0
GENERAL HOST CORP COMMON 370064107 147 39270 SH SOLE 39270 0 0
GENOVESE DRUG STORES CLASS A 372442202 62 6228 SH SOLE 6228 0 0
GETTY PETE CORP COMMON 374290104 123 8700 SH SOLE 8700 0 0
GIANT INDS INC COMMON 374508109 73 5300 SH SOLE 5300 0 0
GLEASON CORP COMMON 377339106 219 5400 SH SOLE 5400 0 0
GLOBAL IND TECHNLGY COMMON 379335102 559 23300 SH SOLE 23300 0 0
GOLDEN POULTRY INC COMMON 381151109 23 2300 SH SOLE 2300 0 0
GREEN MOUNTAIN PWR COMMON 393154109 74 2700 SH SOLE 2700 0 0
GREIF BROS CORP CLASS A 397624107 102 3500 SH SOLE 3500 0 0
GREY ADVERTISING INC COMMON 397838103 1733 7600 SH SOLE 7600 0 0
GRPO MEXICANO DE DES SPND AD 40048G104 483 193244 SH SOLE 193244 0 0
GRPO MEXICANO DE DES REP SER 40048G203 710 247044 SH SOLE 247044 0 0
GRUPO TRIBASA S A SPON AD 40049F105 1637 233900 SH SOLE 233900 0 0
GUARANTY NATL CORP COMMON 401192109 139 8400 SH SOLE 8400 0 0
GULF CDA RESOURCES ORDINAR 40218L305 1174 246000 SH SOLE 246000 0 0
HANCOCK FABRICS COMMON 409900107 346 35000 SH SOLE 35000 0 0
HANNAFORD BROS CO COMMON 410550107 1496 51600 SH SOLE 51600 0 0
HANSON PLC ADR SPO 411352305 4091 275000 SH SOLE 275000 0 0
HANSON PLC WTS SER 411352131 51 818766 SH SOLE 818766 0 0
HAWAIIAN ELEC INDS COMMON 419870100 928 26500 SH SOLE 26500 0 0
HI SHEAR INDS INC COMMON 428399109 24 3700 SH SOLE 3700 0 0
HI-LO AUTOMOTIVE INC COMMON 42839D100 39 7300 SH SOLE 7300 0 0
HILB ROGAL&HAMILTON COMMON 431294107 160 11600 SH SOLE 11600 0 0
HOLLY CORP COMMON 435758305 327 13500 SH SOLE 13500 0 0
HOME BEN CORP CLASS B 437052202 143 5700 SH SOLE 5700 0 0
HORACE MANN EDUCATRS COMMON 440327104 1150 37700 SH SOLE 37700 0 0
HORSEHEAD RES DEV CO COMMON 440699106 26 4700 SH SOLE 4700 0 0
HOUSE OF FABRICS INC COMMON 441758109 6 18700 SH SOLE 18700 0 0
HOVNANIAN ENTERPRISE CLASS A 442487203 80 11300 SH SOLE 11300 0 0
HOWELL CORP COMMON 443051107 30 2200 SH SOLE 2200 0 0
HUFFY CORP COMMON 444356109 137 12900 SH SOLE 12900 0 0
IDAHO POWER CO COMMON 451380109 635 21900 SH SOLE 21900 0 0
IES INDUSTRIES INC COMMON 44949M103 753 27000 SH SOLE 27000 0 0
ILLINOVA CORP COMMON 452317100 6764 240500 SH SOLE 240500 0 0
IMPERIAL HOLLY CORP COMMON 452835101 14 1500 SH SOLE 1500 0 0
INDIA FD INC COMMON 454089103 1863 186300 SH SOLE 186300 0 0
INDIANA ENERGY INC COMMON 454707100 305 12700 SH SOLE 12700 0 0
INGLES MKTS INC CLASS A 457030104 99 7800 SH SOLE 7800 0 0
INTEGON CORP COMMON 45810F101 344 16900 SH SOLE 16900 0 0
INTER CITY PROD CORP ORDINAR 45821E101 22 13900 SH SOLE 13900 0 0
INTERSTATE BAKERIES COMMON 46072H108 191 7800 SH SOLE 7800 0 0
INTERSTATE POWER CO COMMON 461074106 140 4400 SH SOLE 4400 0 0
INTERTAN INC COMMON 461120107 21 3900 SH SOLE 3900 0 0
INTL DAIRY QUEEN CLASS A 459373205 682 31000 SH SOLE 31000 0 0
INTL MULTIFOODS CORP COMMON 460043102 931 48700 SH SOLE 48700 0 0
INTL SHIPHOLDING CO COMMON 460321201 127 6625 SH SOLE 6625 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
IPL ENERGY INC COMMON 449911106 140 5800 SH SOLE 5800 0 0
IPSCO INC COMMON 462622101 502 20900 SH SOLE 20900 0 0
JAMES RIVER CORP VA PFD CV 470349887 2480 100200 SH SOLE 100200 0 0
JEFFERIES GROUP INC COMMON 472318104 586 8700 SH SOLE 8700 0 0
JOHNSON WORLDWIDE CLASS A 479254104 158 9000 SH SOLE 9000 0 0
JP REALTY INC COMMON 46624A106 149 7500 SH SOLE 7500 0 0
K N ENERGY INC COMMON 482620101 375 12050 SH SOLE 12050 0 0
K V PHARMACEUTICAL CLASS B 482740107 28 2000 SH SOLE 2000 0 0
K-SWISS INC CLASS A 482686102 129 15400 SH SOLE 15400 0 0
KANS CITY LIFE INS COMMON 484836101 186 3500 SH SOLE 3500 0 0
KANSAS CITY PWR & LT COMMON 485134100 3236 126900 SH SOLE 126900 0 0
KATY INDS INC COMMON 486026107 93 6800 SH SOLE 6800 0 0
KELLWOOD CO COMMON 488044108 1023 66000 SH SOLE 66000 0 0
KINETIC CONCEPTS INC COMMON 49460W109 605 45200 SH SOLE 45200 0 0
KLOOF GOLD MNG LTD SPONSOR 498746601 987 77400 SH SOLE 77400 0 0
KOREA FUND COMMON 500634100 59 2796 SH SOLE 2796 0 0
KOREAN INVT FD INC COMMON 500637103 1620 160000 SH SOLE 160000 0 0
KU ENERGY CORP COMMON 482734100 385 13400 SH SOLE 13400 0 0
KYSOR INDL CORP COMMON 501566103 21 800 SH SOLE 800 0 0
LACLEDE GAS CO COMMON 505588103 150 6600 SH SOLE 6600 0 0
LDI CORP COMMON 501825103 20 4900 SH SOLE 4900 0 0
LEARONAL INC COMMON 522016104 126 5100 SH SOLE 5100 0 0
LEE ENTERPRISES INC COMMON 523768109 1872 88600 SH SOLE 88600 0 0
LEGGS MASON INC COMMON 524901105 106 3625 SH SOLE 3625 0 0
LIBERTY CORP S C COMMON 530370105 581 17600 SH SOLE 17600 0 0
LIFE RE CORP COMMON 532160108 629 23300 SH SOLE 23300 0 0
LIFE TECHNOLOGIES COMMON 532177201 204 7300 SH SOLE 7300 0 0
LILLIAN VERNON CORP COMMON 532430105 210 15400 SH SOLE 15400 0 0
LILLY INDS INC CLASS A 532491107 61 4500 SH SOLE 4500 0 0
LINDSAY MFG CO COMMON 535555106 93 2700 SH SOLE 2700 0 0
LIQUI BOX CORP COMMON 536314107 149 5000 SH SOLE 5000 0 0
LOGICON INC COMMON 541409108 791 24800 SH SOLE 24800 0 0
LONGS DRUG STORES COMMON 543162101 2259 47800 SH SOLE 47800 0 0
LOUISVILLE GAS & ELE COMMON 501917108 840 19600 SH SOLE 19600 0 0
LUNAR CORP COMMON 550362107 930 21750 SH SOLE 21750 0 0
LUXOTTICA GROUP S P ADR SPO 55068R202 13203 169000 SH SOLE 169000 0 0
MACDERMID INC COMMON 554273102 40 600 SH SOLE 600 0 0
MACMILLAN BLOEDEL COMMON 554783209 5152 403957 SH SOLE 403957 0 0
MACNEAL SCHWENDLER COMMON 554806109 29 2000 SH SOLE 2000 0 0
MADERAS Y SINTETICOS SPONSOR 556465102 1844 103900 SH SOLE 103900 0 0
MADISON GAS & ELEC COMMON 557497104 196 7850 SH SOLE 7850 0 0
MANITOWOC INC COMMON 563571108 35 1100 SH SOLE 1100 0 0
MARCUS CORP COMMON 566330106 28 1050 SH SOLE 1050 0 0
MARKEL CORP COMMON 570535104 634 7200 SH SOLE 7200 0 0
MASCOTECH INC PFD $1 574670303 335 23900 SH SOLE 23900 0 0
MCCLATCHY NEWSPAPERS CLASS A 579489105 294 12300 SH SOLE 12300 0 0
MCGRATH RENTCORP COMMON 580589109 304 15800 SH SOLE 15800 0 0
MDU RES GROUP INC COMMON 552690109 335 14550 SH SOLE 14550 0 0
MEM CO COMMON 585871106 9 2300 SH SOLE 2300 0 0
MEXICO FUND INC COMMON 592835102 6082 395598 SH SOLE 395598 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
MIDAMERICAN ENERGY COMMON 595620105 2903 162382 SH SOLE 162382 0 0
MIDLAND CO COMMON 597486109 15 300 SH SOLE 300 0 0
MINE SAFETY APPLIANC COMMON 602720104 79 1700 SH SOLE 1700 0 0
MINNESOTA PWR & LT COMMON 604110106 278 10000 SH SOLE 10000 0 0
MONTANA POWER CO COMMON 612085100 247 11400 SH SOLE 11400 0 0
MORGAN KEEGAN INC COMMON 617410105 227 18350 SH SOLE 18350 0 0
MYERS INDS INC COMMON 628464109 154 9145 SH SOLE 9145 0 0
NASH FINCH CO COMMON 631158102 317 18900 SH SOLE 18900 0 0
NATIONAL FUEL GAS CO COMMON 636180101 142 4100 SH SOLE 4100 0 0
NATIONAL PRESTO INDS COMMON 637215104 148 3700 SH SOLE 3700 0 0
NATIONAL RE CORP COMMON 637340209 901 26700 SH SOLE 26700 0 0
NATURE SUNSHINE PROD COMMON 639027101 1218 47310 SH SOLE 47310 0 0
NAVISTAR INTL CORP PFD SER 638901405 1335 23900 SH SOLE 23900 0 0
NCH CORP COMMON 628850109 391 6900 SH SOLE 6900 0 0
NEVADA POWER CO COMMON 641423108 1105 50500 SH SOLE 50500 0 0
NEW ENGLAND ELEC SYS COMMON 644001109 5672 148300 SH SOLE 148300 0 0
NEW JERSEY RES CORP COMMON 646025106 364 12600 SH SOLE 12600 0 0
NIPSCO INDUSTRIES COMMON 629140104 6083 163300 SH SOLE 163300 0 0
NORTHERN STS PWR CO COMMON 665772109 9175 188200 SH SOLE 188200 0 0
NORTHWEST NAT GAS CO COMMON 667655104 197 6200 SH SOLE 6200 0 0
NORTHWESTERN PUB SVC COMMON 668231103 125 4300 SH SOLE 4300 0 0
NTH CAROLINA NAT GAS COMMON 658221106 102 4050 SH SOLE 4050 0 0
NUI CORP COMMON 629430109 130 7000 SH SOLE 7000 0 0
NUMAC ENERGY INC COMMON 67052A103 425 112900 SH SOLE 112900 0 0
NYMAGIC INC COMMON 629484106 51 2600 SH SOLE 2600 0 0
O SULLIVAN CORP COMMON 688605104 161 14600 SH SOLE 14600 0 0
OGLEBAY NORTON CO COMMON 677007106 59 1500 SH SOLE 1500 0 0
OIL DRI CORP AMER COMMON 677864100 51 3800 SH SOLE 3800 0 0
OKLAHOMA GAS & ELEC COMMON 678858101 2847 71400 SH SOLE 71400 0 0
ORANGE & ROCKLAND UT COMMON 684065105 240 6700 SH SOLE 6700 0 0
OREGON METALLURGICAL COMMON 685899106 317 14900 SH SOLE 14900 0 0
ORION CAP CORP COMMON 686268103 394 8700 SH SOLE 8700 0 0
OSHKOSH TRUCK CORP CLASS B 688239201 127 8400 SH SOLE 8400 0 0
OSHMANS SPORTING GDS COMMON 688260108 15 1500 SH SOLE 1500 0 0
OTTER TAIL PWR CO COMMON 689648103 168 4400 SH SOLE 4400 0 0
OVERSEAS SHIPHOLDING COMMON 690368105 234 12800 SH SOLE 12800 0 0
OXFORD INDS INC COMMON 691497309 67 3800 SH SOLE 3800 0 0
PENNCORP FINL GRP COMMON 708094107 769 24400 SH SOLE 24400 0 0
PENNSYLVANIA ENTERPR COMMOM 708720107 131 3400 SH SOLE 3400 0 0
PENWEST LTD COMMON 709752109 21 1100 SH SOLE 1100 0 0
PEOPLES ENERGY CORP COMMON 711030106 489 15100 SH SOLE 15100 0 0
PETRO-CANADA COMMON 71644E102 2410 194600 SH SOLE 194600 0 0
PETROLITE CORP COMMON 716723101 94 3100 SH SOLE 3100 0 0
PHH CORPORATION COMMON 693320103 3237 58200 SH SOLE 58200 0 0
PHILADELPHIA SUBN COMMON 718009608 201 8700 SH SOLE 8700 0 0
PHILIPPINE LONG DIST SPONS A 718252604 394 7400 SH SOLE 7400 0 0
PIEDMONT NAT GAS INC COMMON 720186105 327 14700 SH SOLE 14700 0 0
PILGRIMS PRIDE CORP COMMON 721467108 86 12100 SH SOLE 12100 0 0
PITT DESMOINES COMMON 724508106 68 1500 SH SOLE 1500 0 0
PLENUM PUBG CORP COMMON 729093104 279 7600 SH SOLE 7600 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
PORTLAND GEN CORP COMMON 736506106 2777 90300 SH SOLE 90300 0 0
PP&L RESOURCES INC COMMON 693499105 7749 317900 SH SOLE 317900 0 0
PRESIDENTIAL LIFE COMMON 740884101 427 46200 SH SOLE 46200 0 0
PRIMARK CORP COMMON 741903108 814 22000 SH SOLE 22000 0 0
PRIME MED SVC COMMON 74156D108 51 3900 SH SOLE 3900 0 0
PROTECTIVE LIFE CORP COMMOM 743674103 1647 48800 SH SOLE 48800 0 0
PROVIDENT COMPANIES COMMON 743862104 4259 140200 SH SOLE 140200 0 0
PUBLIC SVC CO COLO COMMON 744448101 5764 164100 SH SOLE 164100 0 0
PUBLIC SVC CO N C COMMON 744516105 194 12100 SH SOLE 12100 0 0
PUBLIC SVC CO N MEX COMMON 744499104 2146 115200 SH SOLE 115200 0 0
PUGET SOUND PWR & LT COMMON 745332106 2642 103600 SH SOLE 103600 0 0
PULITZER PUBG CO COMMON 745771105 1222 23500 SH SOLE 23500 0 0
QUAKER CHEM CORP COMMON 747316107 50 3700 SH SOLE 3700 0 0
QUALITY FOOD CTRS COMMMON 747565109 840 34300 SH SOLE 34300 0 0
R O C TAIWAN FD SH BEN 749651105 3842 370300 SH SOLE 370300 0 0
RANGER OIL LTD COMMON 752805101 488 70900 SH SOLE 70900 0 0
REINSURANCE GRP COMMON 759351109 601 16400 SH SOLE 16400 0 0
RELIANCE GROUP HLDGS COMMON 759464100 1772 225000 SH SOLE 225000 0 0
RICHFOOD HLDGS INC COMMON 763408101 1009 35800 SH SOLE 35800 0 0
RIO ALGOM LTD COMMON 766889109 54 2900 SH SOLE 2900 0 0
RISER FOODS INC CLASS A 767612104 72 3800 SH SOLE 3800 0 0
RJR NABISCO HOLDINGS PFD C D 74960K884 3675 600000 SH SOLE 600000 0 0
RLI CORP COMMON 749607107 254 10275 SH SOLE 10275 0 0
ROBBINS & MYERS INC COMMON 770196103 86 2500 SH SOLE 2500 0 0
ROCHESTER GAS & ELEC COMMON 771367109 1315 60800 SH SOLE 60800 0 0
ROLLINS INC COMMON 775711104 2348 100450 SH SOLE 100450 0 0
ROTO ROOTER INC COMMON 778786103 65 2100 SH SOLE 2100 0 0
ROYAL BANK CDA COMMON 780087102 4464 190800 SH SOLE 190800 0 0
RPC INC COMMON 749660106 13 1300 SH SOLE 1300 0 0
RUDDICK CORP COMMON 781258108 468 38200 SH SOLE 38200 0 0
RYKOFF SEXTON INC COMMON 783759103 229 14400 SH SOLE 14400 0 0
S L INDS INC COMMON 784413106 15 2000 SH SOLE 2000 0 0
SANDERSON FARMS COMMON 800013104 201 16400 SH SOLE 16400 0 0
SAVANNAH FOODS & IND COMMON 804795102 86 7900 SH SOLE 7900 0 0
SCEPTRE RESOURCES COMMON 806214706 417 58300 SH SOLE 58300 0 0
SCOPE INDUSTRIES COMMON 809163108 18 500 SH SOLE 500 0 0
SCRIPPS E W CO CLASS A 811039106 1403 33500 SH SOLE 33500 0 0
SEABOARD CORP COMMON 811543107 71 300 SH SOLE 300 0 0
SELECTIVE INS GROUP COMMON 816300107 734 20400 SH SOLE 20400 0 0
SEMI-TECH CORP CLASS A 81662E108 3804 714800 SH SOLE 714800 0 0
SEQUA CORPORATION CLASS A 817320104 331 9700 SH SOLE 9700 0 0
SEVENSON ENVMTL SVCS COMMON 818063109 55 3500 SH SOLE 3500 0 0
SIERRA PACIFIC RES COMMON 826425100 721 28700 SH SOLE 28700 0 0
SIGCORP INC COMMON 826912107 373 10700 SH SOLE 10700 0 0
SMART & FINAL INC COMMON 831683107 364 14700 SH SOLE 14700 0 0
SMITH A O CORP CLASS A 831865100 518 21800 SH SOLE 21800 0 0
SMITHKLINE BEECH PLC ADR (RE 832378400 721 14000 SH SOLE 14000 0 0
SMUCKER J M CO CLASS A 832696108 278 12500 SH SOLE 12500 0 0
SOCIEDAD QUIM Y MIN SPON AD 833635105 3055 58470 SH SOLE 58470 0 0
SONIC CORP COMMON 835451105 740 36100 SH SOLE 36100 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
SOUTH JERSEY INDS COMMON 838518108 105 4900 SH SOLE 4900 0 0
SOUTHEASTERN MICH GA COMMON 841825102 27 1629 SH SOLE 1629 0 0
SOUTHERN CALIF WATER COMMON 842502106 184 8900 SH SOLE 8900 0 0
SOUTHLAND CORP COMMON 844436402 407 123000 SH SOLE 123000 0 0
SOUTHWESTERN PUB SVC COMMON 845743103 775 23300 SH SOLE 23300 0 0
SPARTON CORP COMMON 847235108 10 2700 SH SOLE 2700 0 0
SPRINGS INDS INC CLASS A 851783100 87 1900 SH SOLE 1900 0 0
SPS TRANSACTION SVCS COMMON 784627101 241 7800 SH SOLE 7800 0 0
ST JOSEPH LT & PWR COMMON 790654107 72 2200 SH SOLE 2200 0 0
STANDARD PRODS CO COMMON 853836104 524 21500 SH SOLE 21500 0 0
STANDEX INTL CORP COMMON 854231107 398 13200 SH SOLE 13200 0 0
STEPAN CO COMMON 858586100 45 2300 SH SOLE 2300 0 0
STILLWATER MNG CO COMMON 86074Q102 2185 102800 SH SOLE 102800 0 0
STRAWBRIDGE&CLOTHIER CLASS A 863200101 223 11660 SH SOLE 11660 0 0
STUDENT LN CORP COMMON 863902102 259 6700 SH SOLE 6700 0 0
SUMMIT PPTYS INC COMMON 866239106 1500 75000 SH SOLE 75000 0 0
SUNCOR INC COMMON 867229106 73 2300 SH SOLE 2300 0 0
SUPER FOOD SVCS INC COMMON 867884108 138 12300 SH SOLE 12300 0 0
SUPERIOR SURGICL MFG COMMON 868358102 136 13300 SH SOLE 13300 0 0
SYMS CORP COMMON 871551107 54 6500 SH SOLE 6500 0 0
SYNETIC INC COMMON 87160F109 319 8400 SH SOLE 8400 0 0
TASTY BAKING CO COMMON 876553306 69 6200 SH SOLE 6200 0 0
TECHNO SOLUTIONS CO COMMON 87872T108 170 6300 SH SOLE 6300 0 0
TELECOM NEW ZEALAND SPONSOR 879278208 107 1500 SH SOLE 1500 0 0
TELEFONICA DE ESPANI SPONSOR 879382208 399 8400 SH SOLE 8400 0 0
TELEFONOS DE MEXICO SPNSD A 879403780 18556 563100 SH SOLE 563100 0 0
TEXAS INDS INC COMMON 882491103 687 10800 SH SOLE 10800 0 0
THERMO TERRATECH COMMON 883598104 41 3100 SH SOLE 3100 0 0
THORN APPLE VALLEY COMMON 885184101 92 7700 SH SOLE 7700 0 0
TNP ENTERPRISES INC COMMON 872594106 192 8300 SH SOLE 8300 0 0
TOOTSIE ROLL INDS COMMON 890516107 962 26368 SH SOLE 26368 0 0
TOTAL PETE NRTH AMER COMMON 891508103 264 27400 SH SOLE 27400 0 0
TOTAL SYS SVCS INC COMMON 891906109 1213 29400 SH SOLE 29400 0 0
TRAK AUTO CORP COMMON 892887100 18 900 SH SOLE 900 0 0
TRANSATLANTIC HLDGS COMMON 893521104 2061 30200 SH SOLE 30200 0 0
TREDEGAR INDS INC COMMON 894650100 299 12950 SH SOLE 12950 0 0
TRIZEC CORP LTD COMMON 896933108 2361 362500 SH SOLE 362500 0 0
TRUE NORTH COMMUNCTN COMMON 897844106 483 19300 SH SOLE 19300 0 0
TRUSTMARK CORP COMMON 898402102 124 5500 SH SOLE 5500 0 0
TULTEX CORP COMMON 899900104 180 38900 SH SOLE 38900 0 0
TYLER CORP DEL COMMON 902184100 16 6600 SH SOLE 6600 0 0
U S AIR GROUP INC PFD B C 911905305 1423 27500 SH SOLE 27500 0 0
UGI CORP COMMON 902681105 138 6500 SH SOLE 6500 0 0
UNIFIRST CORP COMMON 904708104 185 9800 SH SOLE 9800 0 0
UNITED CITIES GAS CO COMMON 909823106 82 4600 SH SOLE 4600 0 0
UNITED FOODS INC CLASS B 910365105 17 7900 SH SOLE 7900 0 0
UNITED ILLUM CO COMMON 910637107 498 13500 SH SOLE 13500 0 0
UNITED INDL CORP COMMON 910671106 77 14700 SH SOLE 14700 0 0
UNITED TELEVISION COMMON 913066106 435 4900 SH SOLE 4900 0 0
UNITED WTR RES INC COMMON 913190104 255 19448 SH SOLE 19448 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
UNIVERSAL CORP COMMON 913456109 377 15000 SH SOLE 15000 0 0
UNO RESTAURANT COMMON 914900105 40 5325 SH SOLE 5325 0 0
UNOCAL CORP PFD 7% 915289201 1356 23900 SH SOLE 23900 0 0
US HOME CORP COMMON 911920106 306 11900 SH SOLE 11900 0 0
USLIFE CORP COMMON 917318107 1887 64250 SH SOLE 64250 0 0
UTD DOMINION INDS COMMON 909914103 2688 110984 SH SOLE 110984 0 0
UTILICORP UNITED INC COMMON 918005109 3 100 SH SOLE 100 0 0
VALLEN CORP COMMON 919260109 91 4200 SH SOLE 4200 0 0
VALSPAR CORP COMMON 920355104 1293 28500 SH SOLE 28500 0 0
VALUE CITY DEPT STRS COMMON 920387107 221 22700 SH SOLE 22700 0 0
VALUE LINE INC COMMON 920437100 32 900 SH SOLE 900 0 0
VINA CONCHA Y TORO SPONS A 927191106 1402 83100 SH SOLE 83100 0 0
VINTAGE PETE INC COMMON 927460105 536 26300 SH SOLE 26300 0 0
VITAL SIGNS INC COMMON 928469105 720 29400 SH SOLE 29400 0 0
VITALINK PHARMACY COMMON 92846E104 117 5200 SH SOLE 5200 0 0
VITRO SOCIEDAD ANON SPONSOR 928502301 2222 386500 SH SOLE 386500 0 0
VOLT INFO SCIENCE COMMON 928703107 180 7500 SH SOLE 7500 0 0
WACKENHUT CORP COM SER 929794105 126 6400 SH SOLE 6400 0 0
WALDEN RES PPTYS INC COMMON 931210108 1094 50000 SH SOLE 50000 0 0
WASHINGTON FED INC COMMON 938824109 356 16350 SH SOLE 16350 0 0
WASHINGTON GAS LT CO COMMON 938837101 757 34600 SH SOLE 34600 0 0
WASHINGTON POST CO CLASS B 939640108 2147 7200 SH SOLE 7200 0 0
WASHINGTON WATER PWR COMMON 940688104 769 40200 SH SOLE 40200 0 0
WATERHOUSE INVS SVCS COMMON 941547101 350 10500 SH SOLE 10500 0 0
WD-40 CO COMMON 929236107 473 9800 SH SOLE 9800 0 0
WEIS MKTS INC COMMON 948849104 2018 67000 SH SOLE 67000 0 0
WEST CO INC COMMON 953348109 198 8500 SH SOLE 8500 0 0
WESTCOAST ENERGY INC COMMON 95751D102 1484 98100 SH SOLE 98100 0 0
WESTERN RES INC COMMON 959425109 4642 152200 SH SOLE 152200 0 0
WESTERN WASTE INDS COMMON 959880105 698 18300 SH SOLE 18300 0 0
WET SEAL INC CLASS A 961840105 42 3300 SH SOLE 3300 0 0
WEYCO GROUP INC COMMON 962149100 73 1900 SH SOLE 1900 0 0
WHITE RIV CORP COMMON 964452106 11 300 SH SOLE 300 0 0
WICOR INC COMMON 929253102 314 9300 SH SOLE 9300 0 0
WILEY JOHN & SONS CLASS A 968223206 417 12500 SH SOLE 12500 0 0
WILLIS CORROON GPPLC SPONSOR 970624201 278 22500 SH SOLE 22500 0 0
WILMINGTON TRUST CRP COMMON 971807102 110 3400 SH SOLE 3400 0 0
WISCONSIN ENERGY COMMON 976657106 8254 290900 SH SOLE 290900 0 0
WLR FOODS INC COMMON 929286102 383 28350 SH SOLE 28350 0 0
WPL HOLDINGS INC COMMON 929305100 525 17000 SH SOLE 17000 0 0
WPS RESOURCES CORP COMMON 92931B106 377 11200 SH SOLE 11200 0 0
WYNNS INTL INC COMMON 983195108 187 7950 SH SOLE 7950 0 0
YANKEE ENERGY SYS COMMON 984779108 119 5300 SH SOLE 5300 0 0
YPF SOCIEDAD ANONIMA SPON AD 984245100 384 19103 SH SOLE 19103 0 0
ZENITH NATL INS CORP COMMON 989390109 174 7300 SH SOLE 7300 0 0
REPORT SUMMARY 445 DATA RECORDS 468163 3 OTHER MANAGERS ON WHOSE BEHALF REPORT IS FILED
</TABLE>
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