0001072613-11-000470.txt : 20110513 0001072613-11-000470.hdr.sgml : 20110513 20110513103255 ACCESSION NUMBER: 0001072613-11-000470 CONFORMED SUBMISSION TYPE: 13F-HR PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20110331 FILED AS OF DATE: 20110513 DATE AS OF CHANGE: 20110513 EFFECTIVENESS DATE: 20110513 FILER: COMPANY DATA: COMPANY CONFORMED NAME: Grantham, Mayo, Van Otterloo & Co. LLC CENTRAL INDEX KEY: 0001352662 IRS NUMBER: 042691242 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: 13F-HR SEC ACT: 1934 Act SEC FILE NUMBER: 028-11599 FILM NUMBER: 11838444 BUSINESS ADDRESS: STREET 1: 40 ROWES WHARF CITY: BOSTON STATE: MA ZIP: 02110 BUSINESS PHONE: 617-330-7500 MAIL ADDRESS: STREET 1: 40 ROWES WHARF CITY: BOSTON STATE: MA ZIP: 02110 13F-HR 1 form13f_17102.txt GRANTHAM, MAYO, VAN OTTERLOO & CO. LLC UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 13F COVER PAGE Report for the Calendar Year or Quarter Ended: March 31, 2011 Check here if Amendment [_]; Amendment Number:____________ This Amendment (Check only one.): [_] is a restatement. [_] adds new entries. Institutional Investment Manager Filing this Report: Name: Grantham, Mayo, Van Otterloo & Co. LLC Address: 40 Rowes Wharf Boston, MA 02110 Form 13F File Number: 028-11599 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: John B. McGinty, Jr. Title: Chief Compliance Officer, not in his individual capacity Phone: 617 790-5031 Signature, Place and Date of Signing: /s/ Boston, MA -------------------------------------------------------------------------------- Signature City, State Date I AM SIGNING THIS REPORT AS REQUIRED BY THE SECURITIES AND EXCHANGE ACT OF 1934. Report Type (Check only one.): [X] 13F HOLDINGS REPORT. [_] 13F NOTICE. [_] 13F COMBINATION REPORT. FORM 13F SUMMARY PAGE Report Summary: Number of Other Managers Included: 0 Form 13F Information Table Entry Total: 965 Form 13F Information Table Value Total: 30,139,885 (000s omitted) List of Other Included Managers: None

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 -------------------------------------------------------------------------------- 3M CO COM 88579Y101 346318 3703934 SH SOLE 3593075 0 110859 ABBOTT LABS COM 002824100 598838 12208719 SH SOLE 11729709 0 479010 ABINGTON BANCORP INC COM 00350L109 207 16900 SH SOLE 16900 0 0 ACCENTURE PLC IRELAND SHS G1151C101 66893 1216908 SH SOLE 1216908 0 0 ACCURIDE CORP NEW COM 00439T206 17796 1281226 SH SOLE 1281226 0 0 ACE LTD SHS H0023R105 16138 249424 SH SOLE 216824 0 32600 ACI WORLDWIDE INC COM 004498101 354 10800 SH SOLE 10800 0 0 ACME PACKET INC COM 004764106 2342 33000 SH SOLE 33000 0 0 ACTIVISION BLIZZARD INC COM 00507V109 181 16500 SH SOLE 16500 0 0 ADMINISTRADORA FONDOS PENSIO SPO 00709P108 3797 50410 SH SOLE 50410 0 0 ADOBE SYS INC COM 00724F101 5322 160500 SH SOLE 160500 0 0 ADTRAN INC COM 00738A106 1253 29500 SH SOLE 29500 0 0 ADVANCE AUTO PARTS INC COM 00751Y106 5985 91200 SH SOLE 91200 0 0 ADVANCED SEMICONDUCTOR ENGR SPO 00756M404 130 23790 SH SOLE 23790 0 0 ADVANTAGE OIL & GAS LTD COM 00765F101 550 59600 SH SOLE 59600 0 0 AERCAP HOLDINGS NV SHS N00985106 1988 158130 SH SOLE 158130 0 0 AEROPOSTALE COM 007865108 6834 281013 SH SOLE 281013 0 0 AETNA INC NEW COM 00817Y108 13074 349300 SH SOLE 241500 0 107800 AFFILIATED MANAGERS GROUP COM 008252108 6031 55140 SH SOLE 55140 0 0 AFLAC INC COM 001055102 1887 35749 SH SOLE 35749 0 0 AGILENT TECHNOLOGIES INC COM 00846U101 1402 31300 SH SOLE 31300 0 0 AGRIUM INC COM 008916108 9323 98300 SH SOLE 98300 0 0 AIR PRODS & CHEMS INC COM 009158106 967 10724 SH SOLE 10724 0 0 AKAMAI TECHNOLOGIES INC COM 00971T101 730 19200 SH SOLE 19200 0 0 AKORN INC COM 009728106 130 22500 SH SOLE 22500 0 0 ALASKA AIR GROUP INC COM 011659109 368 5800 SH SOLE 3700 0 2100 ALBEMARLE CORP COM 012653101 1207 20200 SH SOLE 20200 0 0 ALCOA INC COM 013817101 4223 239100 SH SOLE 217700 0 21400 ALERE INC COM 01449J105 5284 135009 SH SOLE 135009 0 0 ALEXANDRIA REAL ESTATE EQ IN COM 015271109 1239 15890 SH SOLE 3580 0 12310 ALEXION PHARMACEUTICALS INC COM 015351109 1007 10200 SH SOLE 10200 0 0 ALLERGAN INC COM 018490102 17876 251700 SH SOLE 251700 0 0 ALLIANT ENERGY CORP COM 018802108 479 12300 SH SOLE 400 0 11900 ALLIANT TECHSYSTEMS INC COM 018804104 304 4300 SH SOLE 4300 0 0 ALLIED WRLD ASSUR COM HLDG A SHS H01531104 2063 32900 SH SOLE 28700 0 4200 ALLSTATE CORP COM 020002101 16911 532129 SH SOLE 416929 0 115200 ALPHA NATURAL RESOURCES INC COM 02076X102 1864 31400 SH SOLE 31400 0 0 ALTERA CORP COM 021441100 8751 198800 SH SOLE 198800 0 0 ALTRIA GROUP INC COM 02209S103 270774 10402373 SH SOLE 10072714 0 329659 AMAZON COM INC COM 023135106 4242 23550 SH SOLE 23550 0 0 AMB PROPERTY CORP COM 00163T109 227 6300 SH SOLE 6300 0 0 AMDOCS LTD ORD G02602103 9789 339300 SH SOLE 339300 0 0 AMEDISYS INC COM 023436108 263 7500 SH SOLE 7500 0 0 AMEREN CORP COM 023608102 7812 278300 SH SOLE 254600 0 23700 AMERICA MOVIL SAB DE CV SPO 02364W105 162448 2796000 SH SOLE 2748620 0 47380 AMERICAN AXLE & MFG HLDGS IN COM 024061103 7086 562800 SH SOLE 562800 0 0 AMERICAN CAP LTD COM 02503Y103 318 32100 SH SOLE 32100 0 0 AMERICAN CAPITAL AGENCY CORP COM 02503X105 321 11000 SH SOLE 11000 0 0 AMERICAN ELEC PWR INC COM 025537101 439 12500 SH SOLE 0 0 12500 AMERICAN EXPRESS CO COM 025816109 2218 49061 SH SOLE 49061 0 0 AMERICAN FINL GROUP INC OHIO COM 025932104 2865 81800 SH SOLE 51400 0 30400 AMERICAN INTL GROUP INC *W 026874156 1099 98713 SH SOLE 89638 0 9075 AMERICAN INTL GROUP INC COM 026874784 13100 372800 SH SOLE 355800 0 17000 AMERICAN NATL INS CO COM 028591105 356 4500 SH SOLE 4500 0 0 AMERIGROUP CORP COM 03073T102 1754 27300 SH SOLE 27300 0 0 AMERIPRISE FINL INC COM 03076C106 13829 226400 SH SOLE 226400 0 0 AMERISOURCEBERGEN CORP COM 03073E105 7089 179200 SH SOLE 179200 0 0 AMETEK INC NEW COM 031100100 3145 71700 SH SOLE 71700 0 0 AMGEN INC COM 031162100 310743 5813707 SH SOLE 5461907 0 351800 AMPHENOL CORP NEW CL 032095101 277 5100 SH SOLE 5100 0 0 ANADARKO PETE CORP COM 032511107 1234 15064 SH SOLE 15064 0 0 ANALOG DEVICES INC COM 032654105 933 23700 SH SOLE 23700 0 0 ANCESTRY COM INC COM 032803108 230 6500 SH SOLE 6500 0 0 ANIXTER INTL INC COM 035290105 342 4900 SH SOLE 4900 0 0 ANNALY CAP MGMT INC COM 035710409 19455 1114900 PR SOLE 1010100 0 104800 ANSYS INC COM 03662Q105 2547 47000 SH SOLE 47000 0 0 AOL INC COM 00184X105 635 32500 SH SOLE 32500 0 0 AON CORP COM 037389103 545 10300 SH SOLE 10300 0 0 APACHE CORP COM 037411105 9090 69428 SH SOLE 69428 0 0 APCO OIL & GAS INTERNATIONAL SHS G0471F109 360 4200 SH SOLE 4200 0 0 APOLLO GROUP INC CL 037604105 6889 165160 SH SOLE 165160 0 0 APPLE INC COM 037833100 1135431 3257978 SH SOLE 3115670 0 142308 APPLIED INDL TECHNOLOGIES IN COM 03820C105 559 16800 SH SOLE 16800 0 0 AQUA AMERICA INC COM 03836W103 629 27500 SH SOLE 16400 0 11100 ARBITRON INC COM 03875Q108 841 21000 SH SOLE 21000 0 0 ARCH CAP GROUP LTD ORD G0450A105 12706 128100 SH SOLE 116300 0 11800 ARCHER DANIELS MIDLAND CO COM 039483102 1833 50900 SH SOLE 17300 0 33600 ARIBA INC COM 04033V203 475 13900 SH SOLE 13900 0 0 ARKANSAS BEST CORP DEL COM 040790107 391 15100 SH SOLE 15100 0 0 ARROW ELECTRS INC COM 042735100 1185 28300 SH SOLE 28300 0 0 ARUBA NETWORKS INC COM 043176106 379 11200 SH SOLE 11200 0 0 ASPEN INSURANCE HOLDINGS LTD SHS G05384105 1331 48300 SH SOLE 21200 0 27100 ASSOCIATED BANC CORP COM 045487105 647 43600 SH SOLE 1200 0 42400 ASSURANT INC COM 04621X108 9970 258900 SH SOLE 220000 0 38900 ASTORIA FINL CORP COM 046265104 457 31800 SH SOLE 0 0 31800 AT&T INC COM 00206R102 67566 2207314 SH SOLE 1616719 0 590595 ATMEL CORP COM 049513104 2601 190800 SH SOLE 190800 0 0 ATP OIL & GAS CORP COM 00208J108 5062 279500 SH SOLE 279500 0 0 ATWOOD OCEANICS INC COM 050095108 283 6100 SH SOLE 6100 0 0 AU OPTRONICS CORP SPO 002255107 548 62461 SH SOLE 62461 0 0 AUDIOVOX CORP CL 050757103 191 23900 SH SOLE 23900 0 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063671101 14242 213200 SH SOLE 213200 0 0 BANK NOVA SCOTIA HALIFAX COM 064149107 10564 167384 SH SOLE 167384 0 0 BANK OF AMERICA CORPORATION COM 060505104 13202 990372 SH SOLE 538534 0 451838 BARD C R INC COM 067383109 18167 182842 SH SOLE 182842 0 0 BARRICK GOLD CORP COM 067901108 76980 1442548 SH SOLE 1442548 0 0 BAXTER INTL INC COM 071813109 93135 1732100 SH SOLE 1697750 0 34350 BCE INC COM 05534B760 43618 1167569 SH SOLE 1167569 0 0 BECTON DICKINSON & CO COM 075887109 33787 424353 SH SOLE 424353 0 0 BED BATH & BEYOND INC COM 075896100 767 15900 SH SOLE 15900 0 0 BERKLEY W R CORP COM 084423102 683 21200 SH SOLE 2600 0 18600 BEST BUY INC COM 086516101 10819 376723 SH SOLE 376723 0 0 BIOGEN IDEC INC COM 09062X103 13078 178000 SH SOLE 99400 0 78600 BJS WHOLESALE CLUB INC COM 05548J106 552 11300 SH SOLE 5300 0 6000 BLACKROCK INC COM 09247X101 1535 7635 SH SOLE 7635 0 0 BLOCK H & R INC COM 093671105 218 13000 SH SOLE 13000 0 0 BMC SOFTWARE INC COM 055921100 5939 119400 SH SOLE 119400 0 0 BOEING CO COM 097023105 1870 25300 SH SOLE 25300 0 0 BORGWARNER INC COM 099724106 4813 60400 SH SOLE 60400 0 0 BOSTON BEER INC CL 100557107 389 4200 SH SOLE 4200 0 0 BOSTON PROPERTIES INC COM 101121101 12975 136800 SH SOLE 116600 0 20200 BOSTON SCIENTIFIC CORP COM 101137107 2886 401400 SH SOLE 401400 0 0 BP PLC SPO 055622104 247 5600 SH SOLE 5600 0 0 BRASIL TELECOM SA SPO 10553M101 27175 1006113 SH SOLE 995973 0 10140 BRASKEM S A SP 105532105 1664 61800 SH SOLE 61800 0 0 BRE PROPERTIES INC CL 05564E106 1104 23400 SH SOLE 5100 0 18300 BRINKER INTL INC COM 109641100 319 12600 SH SOLE 12600 0 0 BRISTOL MYERS SQUIBB CO COM 110122108 147597 5584436 SH SOLE 5293977 0 290459 BROADCOM CORP CL 111320107 8947 227200 SH SOLE 227200 0 0 BROADRIDGE FINL SOLUTIONS IN COM 11133T103 1734 76400 SH SOLE 76400 0 0 BROWN & BROWN INC COM 115236101 2459 95300 SH SOLE 95300 0 0 BROWN FORMAN CORP CL 115637209 40809 597495 SH SOLE 572595 0 24900 BUCYRUS INTL INC NEW COM 118759109 11450 125200 SH SOLE 125200 0 0 BUNGE LIMITED COM G16962105 535 7400 SH SOLE 0 0 7400 C H ROBINSON WORLDWIDE INC COM 12541W209 33954 458034 SH SOLE 458034 0 0 CABELAS INC COM 126804301 238 9500 SH SOLE 9500 0 0 CACI INTL INC CL 127190304 288 4700 SH SOLE 4700 0 0 CAMERON INTERNATIONAL CORP COM 13342B105 617 10800 SH SOLE 10800 0 0 CAMPBELL SOUP CO COM 134429109 34508 1042233 SH SOLE 996971 0 45262 CANADIAN NAT RES LTD COM 136385101 2490 49000 SH SOLE 49000 0 0 CANADIAN NATL RY CO COM 136375102 45986 594300 SH SOLE 594300 0 0 CANADIAN PAC RY LTD COM 13645T100 22661 342613 SH SOLE 342613 0 0 CAPITAL ONE FINL CORP COM 14040H105 14596 280900 SH SOLE 222700 0 58200 CAPITAL ONE FINL CORP *W 14040H139 2163 100000 SH SOLE 100000 0 0 CAPITALSOURCE INC COM 14055X102 1861 264300 SH SOLE 239100 0 25200 CAPITOL FED FINL INC COM 14057J101 568 50432 SH SOLE 45000 0 5432 CARBO CERAMICS INC COM 140781105 381 2700 SH SOLE 2700 0 0 CARDINAL HEALTH INC COM 14149Y108 11788 286600 SH SOLE 180900 0 105700 CAREER EDUCATION CORP COM 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METTLER TOLEDO INTERNATIONAL COM 592688105 6637 38590 SH SOLE 38590 0 0 MICREL INC COM 594793101 152 11260 SH SOLE 11260 0 0 MICROCHIP TECHNOLOGY INC COM 595017104 372 9800 SH SOLE 9800 0 0 MICROS SYS INC COM 594901100 4632 93700 SH SOLE 93700 0 0 MICROSOFT CORP COM 594918104 1489472 58663732 SH SOLE 56135032 0 2528700 MICROSTRATEGY INC CL 594972408 222 1650 SH SOLE 1650 0 0 MIDDLEBY CORP COM 596278101 708 7600 SH SOLE 7600 0 0 MILLER INDS INC TENN COM 600551204 219 13500 SH SOLE 13500 0 0 MIPS TECHNOLOGIES INC COM 604567107 195 18600 SH SOLE 18600 0 0 MOBILE TELESYSTEMS OJSC SPO 607409109 45767 2155767 SH SOLE 2130107 0 25660 MOHAWK INDS INC COM 608190104 7430 121500 SH SOLE 121500 0 0 MOLINA HEALTHCARE INC COM 60855R100 452 11300 SH SOLE 11300 0 0 MONSANTO CO NEW COM 61166W101 5058 70000 SH SOLE 70000 0 0 MONTPELIER RE HOLDINGS LTD SHS G62185106 194 11000 SH SOLE 11000 0 0 MORGAN STANLEY COM 617446448 1929 70600 SH SOLE 300 0 70300 MORGAN STANLEY EMER MKTS DEB COM 61744H105 813 79900 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