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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 13F
FORM 13f Cover Page
Report for the Calendar Year or Quarter Ended 06/30/99
If amended report check here: |_| Amendment Number: ____
This Amendment (Check only one): |_| is a restatement
|_| adds new holding
entries.
- --------------------------------------------------------------------------------
Name of Institutional Investment Manager
- --------------------------------------------------------------------------------
Business Address (Street) (City) (State) (Zip)
CIMCO Inc.
5910 Mineral Point Road
Madison, WI 53705
13F File Number: 28-3832
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, and tables, are considered integral parts of this form.
Person Signing this Report on Behalf of Reporting Manager:
- --------------------------------------------------------------------------------
Name (Title) (Phone)
Michael S. Daubs President (608) 231-7500
/s/ Michael S. Daubs
------------------------------------------
(Manual Signature of Person Duly
Authorized to Submit This Report)
Madison, Wisconsin
July 28, 1999
------------------------------------------
(Place and Date of Signing)
Report Type:
[X] 13F HOLDINGS REPORT.
[ ] 13F NOTICE.
[ ] 13F COMBINATION REPORT.
<PAGE>
Form 13F SUMMARY PAGE
Report Summary:
Number of Other Included Managers: 3
Form 13F Information Table Entry Total: 418
Form 13F Information Table Value Total: $2,455,649,446
List of Other Included Managers:
Name and 13F file numbers of ALL Institutional Investment Managers with respect
to which this schedule is filed (other than the one filing this report): (List
in alphabetical order).
[If there are no entries in this list, state "NONE" and omit the column headings
and list entries.]
13F File Numbers will be assigned to Institutional Investment Managers after
they file their first report.
13F File No.: Name:
------------- ------------------------
1. CUNA Mutual Pension Fund
------------- ------------------------
2. Ultra Series Fund
------------- ------------------------
3. MEMBERS Mutual Funds
------------- ------------------------
<PAGE>
FORM 13F
INFORMATION TABLE
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8
INVESTMENT DISCRETION VOTING AUTHORITY
TITLE FAIR SHARES OF SHARED
NAME OF ISSUER OF CUSIP MARKET PRINCIPAL SOLE SHARED OTHER MANA- SOLE SHARED NONE
CLASS NUMBER VALUE AMOUNT (A) (B) (C) GERS (A) (B) (C)
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
ADC TELECOMMUNICATIONS INC Common 000886101 $154,913 3,400 3,400 2 3,400
AMERICAN TELEPHONE & TELEGRAPH Common 001957109 $1,088,344 19,500 19,500 19,500
AMERICAN TELEPHONE & TELEGRAPH Common 001957109 $17,268,499 309,402 309,402 2 309,402
AMERICAN TELEPHONE & TELEGRAPH Common 001957109 $1,031,303 18,478 18,478 3 18,478
AETNA INC. Common 008117103 $6,265,097 70,050 70,050 70,050
AETNA INC. Common 008117103 $39,531,375 442,000 442,000 2 442,000
AETNA INC. Common 008117103 $2,030,231 22,700 22,700 3 22,700
AIRBORNE FREIGHT Common 009266107 $138,438 5,000 5,000 2 5,000
ALLIEDSIGNAL INC Common 019512102 $13,381,200 212,400 212,400 2 212,400
ALLIEDSIGNAL INC Common 019512102 $774,900 12,300 12,300 3 12,300
ALLSTATE CORP. Common 020002101 $1,802,791 50,252 50,252 50,252
ALLSTATE CORP. Common 020002101 $26,778,535 746,440 746,440 2 746,440
ALLSTATE CORP. Common 020002101 $1,661,013 46,300 46,300 3 46,300
ALZA CORP. Common 022615108 $3,866,500 76,000 76,000 76,000
ALZA CORP. Common 022615108 $11,385,825 223,800 223,800 2 223,800
ALZA CORP. Common 022615108 3
AMBAC INC Common 023139108 $125,675 2,200 2,200 2 2,200
AMERICAN HOME PRODUCTS Common 026609107 $2,920,388 50,900 50,900 50,900
AMERICAN HOME PRODUCTS Common 026609107 $26,151,525 455,800 455,800 2 455,800
AMERICAN HOME PRODUCTS Common 026609107 $1,589,288 27,700 27,700 3 27,700
AMERITECH CORPORATION Common 030954101 $2,205,000 30,000 30,000 30,000
AMERITECH CORPORATION Common 030954101 $20,550,600 279,600 279,600 2 279,600
AMERITECH CORPORATION Common 030954101 $1,256,850 17,100 17,100 3 17,100
ARROW ELECTRONICS Common 042735100 $114,000 6,000 6,000 2 6,000
ASSOCIATED BANC-CORP Common 045487105 $157,700 3,800 3,800 2 3,800
ATLANTIC RICHFIELD CO. Common 048825103 $292,469 3,500 3,500 3,500
ATMEL CORP Common 049513104 $175,456 6,700 6,700 2 6,700
AUTODESK INC Common 052769106 $1,954,081 66,100 66,100 66,100
AUTODESK INC Common 052769106 $8,511,044 287,900 287,900 2 287,900
AUTODESK INC Common 052769106 $342,925 11,600 11,600 3 11,600
BJ SERVICES CO Common 055482103 $229,613 7,800 7,800 2 7,800
BP AMOCO PLC ADR Common 055622104 $1,977,521 18,226 18,226 18,226
BP AMOCO PLC ADR Common 055622104 $16,547,769 152,514 152,514 2 152,514
BP AMOCO PLC ADR Common 055622104 $974,873 8,985 8,985 3 8,985
BANK ONE CORP Common 06423A103 $2,413,473 40,520 40,520 40,520
BANK ONE CORP Common 06423A103 $30,223,800 507,430 507,430 2 507,430
BANK ONE CORP Common 06423A103 $1,814,274 30,460 30,460 3 30,460
BAXTER INTERNATIONAL INC Common 071813109 $248,563 4,100 4,100 4,100
BEAR STEARNS Common 073902108 $247,775 5,300 5,300 2 5,300
BELL ATLANTIC CORP Common 077853109 $117,675 1,800 1,800 1,800
A.H. BELO Class A Common 080555105 $159,469 8,100 8,100 2 8,100
BEMIS COMPANY INC Common 081437105 $111,300 2,800 2,800 2 2,800
BETHLEHEM STEEL CORP Common 087509105 $96,863 12,600 12,600 2 12,600
BRISTOL-MYERS SQUIBB CO Common 110122108 $3,113,338 44,200 44,200 44,200
BRISTOL-MYERS SQUIBB CO Common 110122108 $32,964,750 468,000 468,000 2 468,000
BRISTOL-MYERS SQUIBB CO Common 110122108 $1,944,075 27,600 27,600 3 27,600
CONSTELLATION ENERGY GROUP Common 113942146 $186,638 6,300 6,300 6,300
BURLINGTON NORTHERN SANTA FE Common 12189T104 $6,826,200 220,200 220,200 2 220,200
BURLINGTON NORTHERN SANTA FE Common 12189T104 $427,800 13,800 13,800 3 13,800
CVS CORP. Common 126650100 $21,531,094 424,258 424,258 2 424,258
CVS CORP. Common 126650100 $1,248,450 24,600 24,600 3 24,600
CADENCE DESIGN SYSTEMS INC. Common 127387108 $1,453,138 115,100 115,100 115,100
CADENCE DESIGN SYSTEMS INC. Common 127387108 $6,912,188 547,500 547,500 2 547,500
CADENCE DESIGN SYSTEMS INC. Common 127387108 $305,525 24,200 24,200 3 24,200
KROGER COMPANY Common 138232866 $19,880,325 711,600 711,600 2 711,600
KROGER COMPANY Common 138232866 $1,178,963 42,200 42,200 3 42,200
CENTOCOR, INC. Common 152342101 $4,098,338 87,900 87,900 87,900
CENTOCOR, INC. Common 152342101 $13,763,700 295,200 295,200 2 295,200
CENTOCOR, INC. Common 152342101 $615,450 13,200 13,200 3 13,200
GENZYME SURGICAL PRODUCTS Common 156923104 $2,600 590 590 2 590
CHEVRON CORP. Common 166751107 $256,669 2,700 2,700 2,700
CHIRON CORP Common 170040109 $226,175 10,900 10,900 2 10,900
CITIGROUP INC Common 172967101 $8,126,538 171,085 171,085 171,085
CITIGROUP INC Common 172967101 $50,787,618 1,069,213 1,069,213 2 1,069,213
CITIGROUP INC Common 172967101 $2,624,375 55,250 55,250 3 55,250
GATEWAY INC Common 176391071 $4,822,453 81,650 81,650 81,650
GATEWAY INC Common 176391071 $17,263,969 292,300 292,300 2 292,300
GATEWAY INC Common 176391071 $826,875 14,000 14,000 3 14,000
VARIAN SEMICONDUCTOR Common 180363193 $110,500 6,500 6,500 2 6,500
COMPUTER SCIENCES CORP Common 182662097 $5,867,100 84,800 84,800 2 84,800
COMPUTER SCIENCES CORP Common 182662097 $359,775 5,200 5,200 3 5,200
COMPUTER ASSOCIATES INTL INC Common 204912109 $24,358,275 444,900 444,900 2 444,900
COMPUTER ASSOCIATES INTL INC Common 204912109 $1,401,600 25,600 25,600 3 25,600
CONAGRA INC. Common 205887102 $282,225 10,600 10,600 10,600
CONAGRA INC. Common 205887102 $10,130,813 380,500 380,500 2 380,500
CONAGRA INC. Common 205887102 $559,125 21,000 21,000 3 21,000
CONEXANT SYSTEMS INC Common 207142100 $2,151,216 37,050 37,050 37,050
CONEXANT SYSTEMS INC Common 207142100 $9,969,273 171,699 171,699 2 171,699
CONEXANT SYSTEMS INC Common 207142100 $470,306 8,100 8,100 3 8,100
CONSOLIDATED NATURAL GAS Common 209615103 $176,175 2,900 2,900 2,900
COX COMMUNICATIONS Class A Common 224044107 $4,675,188 127,000 127,000 127,000
COX COMMUNICATIONS Class A Common 224044107 $17,272,425 469,200 469,200 2 469,200
COX COMMUNICATIONS Class A Common 224044107 $769,381 20,900 20,900 3 20,900
CRESCENDO PHARMACEUTICALS CP Common 225637107 $52,268 3,030 3,030 3,030
CRESCENDO PHARMACEUTICALS CP Common 225637107 $107,985 6,260 6,260 2 6,260
CROWN CORK & SEAL CO INC Common 228255105 $6,210,150 217,900 217,900 2 217,900
CROWN CORK & SEAL CO INC Common 228255105 $390,450 13,700 13,700 3 13,700
DALLAS SEMICONDUCTOR Common 235204104 $4,785,725 94,300 94,300 94,300
DALLAS SEMICONDUCTOR Common 235204104 $12,880,350 253,800 253,800 2 253,800
DALLAS SEMICONDUCTOR Common 235204104 $532,875 10,500 10,500 3 10,500
DANA CORP Common 235811106 $161,219 3,500 3,500 3,500
DANA CORP Common 235811106 $11,860,403 257,485 257,485 2 257,485
DANA CORP Common 235811106 $697,294 15,138 15,138 3 15,138
DAYTON HUDSON Common 239753106 $9,022,000 138,800 138,800 138,800
DAYTON HUDSON Common 239753106 $32,857,500 505,500 505,500 2 505,500
DAYTON HUDSON Common 239753106 $1,514,500 23,300 23,300 3 23,300
DELTA AIRLINES INC Common 247361108 $806,750 14,000 14,000 14,000
DELTA AIRLINES INC Common 247361108 $10,562,663 183,300 183,300 2 183,300
DELTA AIRLINES INC Common 247361108 $616,588 10,700 10,700 3 10,700
DEXTER CORPORATION Common 252165105 $2,424,263 59,400 59,400 59,400
DEXTER CORPORATION Common 252165105 $6,832,013 167,400 167,400 2 167,400
DEXTER CORPORATION Common 252165105 $293,850 7,200 7,200 3 7,200
THE WALT DISNEY CO. Common 254687106 $15,760,594 511,500 511,500 2 511,500
THE WALT DISNEY CO. Common 254687106 $942,863 30,600 30,600 3 30,600
DOLLAR GENERAL Common 256669102 $195,750 6,750 6,750 2 6,750
DOMINION RESOURCES INC. Common 257470104 $147,263 3,400 3,400 3,400
DOW CHEMICAL Common 260543103 $1,941,188 15,300 15,300 15,300
DOW CHEMICAL Common 260543103 $24,074,531 189,750 189,750 2 189,750
DOW CHEMICAL Common 260543103 $1,433,688 11,300 11,300 3 11,300
DUPONT E I NEMOURS & CO Common 263534109 $129,794 1,900 1,900 1,900
DUKE POWER CO. Common 264399106 $6,864,569 126,100 126,100 2 126,100
DUKE POWER CO. Common 264399106 $468,163 8,600 8,600 3 8,600
NORTEL NETWORKS CORP Common 264971924 $17,397,225 200,400 200,400 2 200,400
NORTEL NETWORKS CORP Common 264971924 $1,007,025 11,600 11,600 3 11,600
EMC CORP/MASS Common 268648102 $10,274,000 186,800 186,800 186,800
EMC CORP/MASS Common 268648102 $53,773,500 977,700 977,700 2 977,700
EMC CORP/MASS Common 268648102 $2,772,000 50,400 50,400 3 50,400
VODAFONE AIRTOUCH PLC-SP ADR Common 268712859 $7,116,625 36,125 36,125 36,125
VODAFONE AIRTOUCH PLC-SP ADR Common 268712859 $28,456,650 144,450 144,450 2 144,450
VODAFONE AIRTOUCH PLC-SP ADR Common 268712859 $1,359,300 6,900 6,900 3 6,900
ENSCO INTERNATIONAL INC Common 26874Q100 $215,325 10,800 10,800 2 10,800
ETEC SYSTEMS INC Common 26922C103 $129,675 3,900 3,900 2 3,900
EATON CORP Common 278058102 $138,000 1,500 1,500 1,500
A.G. EDWARDS Common 281760108 $1,635,075 50,700 50,700 50,700
A.G. EDWARDS Common 281760108 $8,436,600 261,600 261,600 2 261,600
A.G. EDWARDS Common 281760108 $409,575 12,700 12,700 3 12,700
ELAN CORPORATION PLC ADR 284131208 $3,019,200 108,800 108,800 108,800
ELAN CORPORATION PLC ADR 284131208 $12,359,850 445,400 445,400 2 445,400
ELAN CORPORATION PLC ADR 284131208 $499,500 18,000 18,000 3 18,000
EMERSON ELECTRIC Common 291011104 $302,100 4,800 4,800 4,800
ETHAN ALLEN INTERIORS INC Common 297602104 $335,975 8,900 8,900 2 8,900
EVEREST RE HOLDINGS Common 299808105 $3,422,363 104,900 104,900 104,900
EVEREST RE HOLDINGS Common 299808105 $12,400,763 380,100 380,100 2 380,100
EVEREST RE HOLDINGS Common 299808105 $561,150 17,200 17,200 3 17,200
EXXON CORP. Common 302290101 $14,152,438 183,500 183,500 2 183,500
EXXON CORP. Common 302290101 $832,950 10,800 10,800 3 10,800
FDX CORPORATION Common 31304N107 $5,327,350 98,200 98,200 98,200
FDX CORPORATION Common 31304N107 $17,609,550 324,600 324,600 2 324,600
FDX CORPORATION Common 31304N107 $830,025 15,300 15,300 3 15,300
FEDERAL SIGNAL CORP Common 313855108 $216,113 10,200 10,200 2 10,200
FIRST SECURITY CORP. Common 336294103 $3,338,125 122,500 122,500 122,500
FIRST SECURITY CORP. Common 336294103 $12,532,275 459,900 459,900 2 459,900
FIRST SECURITY CORP. Common 336294103 $471,425 17,300 17,300 3 17,300
FIRST TENNESSEE NATL CORP Common 337162101 $157,081 4,100 4,100 2 4,100
FIRST UNION CORPORATION Common 337358105 $249,763 5,300 5,300 5,300
FIRST UNION CORPORATION Common 337358105 $11,630,450 246,800 246,800 2 246,800
FIRST UNION CORPORATION Common 337358105 $711,588 15,100 15,100 3 15,100
FLEETWOOD ENTERPRISES Common 339099103 $177,131 6,700 6,700 6,700
FLORIDA PROGRESS CORP Common 341109106 $165,250 4,000 4,000 4,000
FLORIDA PROGRESS CORP Common 341109106 $169,381 4,100 4,100 2 4,100
FLOWERS INDUSTRIES, INC. Common 343496105 $212,538 9,800 9,800 2 9,800
FLUOR CORP Common 343861100 $109,350 2,700 2,700 2 2,700
GTE CORP. Common 362320103 $1,974,325 26,150 26,150 26,150
GTE CORP. Common 362320103 $21,430,675 283,850 283,850 2 283,850
GTE CORP. Common 362320103 $1,200,450 15,900 15,900 3 15,900
GENERAL MILLS INC Common 370334104 $361,688 4,500 4,500 4,500
GENERAL MILLS INC Common 370334104 $17,578,013 218,700 218,700 2 218,700
GENERAL MILLS INC Common 370334104 $1,020,763 12,700 12,700 3 12,700
GENZYME CORP Common 372917104 $160,050 3,300 3,300 2 3,300
GEORGIA PACIFIC CORP. Common 373298108 $1,895,000 40,000 40,000 40,000
GEORGIA PACIFIC CORP. Common 373298108 $10,981,525 231,800 231,800 2 231,800
GEORGIA PACIFIC CORP. Common 373298108 $596,925 12,600 12,600 3 12,600
GLAXO WELLCOME ADR Common 37733W105 $13,374,825 236,200 236,200 2 236,200
GLAXO WELLCOME ADR Common 37733W105 $775,763 13,700 13,700 3 13,700
GRAINGER (W.W.) INC. Common 384802104 $145,294 2,700 2,700 2 2,700
HANNAFORD BROTHERS CO Common 410550107 $272,850 5,100 5,100 2 5,100
HARRIS CORP. Common 413875105 $180,263 4,600 4,600 4,600
HARRIS CORP. Common 413875105 $14,534,644 370,900 370,900 2 370,900
HARRIS CORP. Common 413875105 $826,856 21,100 21,100 3 21,100
HEINZ (H.J.) CO Common 423074103 $235,588 4,700 4,700 4,700
PHILIPS ELECTRONICS Common 423410901 $1,317,831 13,064 13,064 13,064
PHILIPS ELECTRONICS Common 423410901 $22,774,347 225,768 225,768 2 225,768
PHILIPS ELECTRONICS Common 423410901 $1,375,532 13,636 13,636 3 13,636
HERTZ CORP. Common 428040109 $148,800 2,400 2,400 2 2,400
HEWLETT-PACKARD Common 428236103 $1,989,900 19,800 19,800 19,800
HEWLETT-PACKARD Common 428236103 $29,959,050 298,100 298,100 2 298,100
HEWLETT-PACKARD Common 428236103 $1,849,200 18,400 18,400 3 18,400
HIBERNIA CORP Common 428656102 $152,169 9,700 9,700 2 9,700
HONEYWELL INC. Common 438506107 $1,367,325 11,800 11,800 11,800
HONEYWELL INC. Common 438506107 $18,076,500 156,000 156,000 2 156,000
HONEYWELL INC. Common 438506107 $996,525 8,600 8,600 3 8,600
HOUSEHOLD INTERNATIONAL Common 441815107 $21,418,238 452,100 452,100 2 452,100
HOUSEHOLD INTERNATIONAL Common 441815107 $1,345,450 28,400 28,400 3 28,400
HUBBELL INC. Common 443510201 $186,038 4,100 4,100 4,100
HUBBELL INC. Common 443510201 $117,975 2,600 2,600 2 2,600
HUMANA INC Common 444859102 $90,563 7,000 7,000 2 7,000
IMS HEALTH INC. Common 449934108 $3,009,375 96,300 96,300 96,300
IMS HEALTH INC. Common 449934108 $10,362,500 331,600 331,600 2 331,600
IMS HEALTH INC. Common 449934108 $487,500 15,600 15,600 3 15,600
ILLINOIS TOOL WORKS Common 452308109 $3,417,150 41,800 41,800 41,800
ILLINOIS TOOL WORKS Common 452308109 $13,701,300 167,600 167,600 2 167,600
ILLINOIS TOOL WORKS Common 452308109 $547,725 6,700 6,700 3 6,700
INTERIM SERVICES, INC. Common 45868P100 $3,522,750 170,800 170,800 170,800
INTERIM SERVICES, INC. Common 45868P100 $13,662,000 662,400 662,400 2 662,400
INTERIM SERVICES, INC. Common 45868P100 $647,625 31,400 31,400 3 31,400
INTL BUSINESS MACHINES CORP Common 459200101 $3,644,850 28,200 28,200 28,200
INTL BUSINESS MACHINES CORP Common 459200101 $45,780,350 354,200 354,200 2 354,200
INTL BUSINESS MACHINES CORP Common 459200101 $2,727,175 21,100 21,100 3 21,100
JOHNSON & JOHNSON Common 478160104 $18,541,600 189,200 189,200 2 189,200
JOHNSON & JOHNSON Common 478160104 $1,107,400 11,300 11,300 3 11,300
KAYDON CORP Common 486587108 $218,563 6,500 6,500 2 6,500
KEANE INC Common 486665102 $2,848,488 125,900 125,900 125,900
KEANE INC Common 486665102 $14,156,463 625,700 625,700 2 625,700
KEANE INC Common 486665102 $644,813 28,500 28,500 3 28,500
KERR-MCGEE Common 492386107 $2,554,544 50,900 50,900 50,900
KERR-MCGEE Common 492386107 $10,228,213 203,800 203,800 2 203,800
KERR-MCGEE Common 492386107 $456,706 9,100 9,100 3 9,100
KIMBERLY-CLARK CORP Common 494368103 $2,936,640 51,520 51,520 51,520
KIMBERLY-CLARK CORP Common 494368103 $30,894,000 542,000 542,000 2 542,000
KIMBERLY-CLARK CORP Common 494368103 $1,812,600 31,800 31,800 3 31,800
LSI LOGIC CORP Common 502161102 $239,850 5,200 5,200 2 5,200
LINCOLN NATIONAL CORP Common 534187109 $115,088 2,200 2,200 2,200
MBIA INC. Common 55262C100 $2,246,825 34,700 34,700 34,700
MBIA INC. Common 55262C100 $9,757,825 150,700 150,700 2 150,700
MBIA INC. Common 55262C100 $505,050 7,800 7,800 3 7,800
MGIC INVESTMENT CORP Common 552848103 $179,913 3,700 3,700 2 3,700
MANPOWER INC Common 56418H100 $203,625 9,000 9,000 2 9,000
MARSH & MCLENNAN COS Common 571748102 $272,475 3,600 3,600 3,600
MARSHALL AND ILSLEY CORP Common 571834100 $122,313 1,900 1,900 2 1,900
MASCO CORP Common 574599106 $109,725 3,800 3,800 3,800
MAY DEPARTMENT STORES COMPAN Common 577778103 $169,631 4,150 4,150 4,150
MCGRAW-HILL INC (MHP) Common 580645109 $151,025 2,800 2,800 2,800
MEDIAONE GROUP INC. Common 58440J104 $10,553,813 141,900 141,900 141,900
MEDIAONE GROUP INC. Common 58440J104 $66,082,188 888,500 888,500 2 888,500
MEDIAONE GROUP INC. Common 58440J104 $3,361,750 45,200 45,200 3 45,200
MERCURY GENERAL CORP Common 589400100 $197,200 5,800 5,800 2 5,800
MICRON TECHNOLOGY Common 595112103 $3,191,400 78,800 78,800 78,800
MICRON TECHNOLOGY Common 595112103 $10,854,000 268,000 268,000 2 268,000
MICRON TECHNOLOGY Common 595112103 $522,450 12,900 12,900 3 12,900
MIDAMERICAN ENERGY HOLDINGS CO Common 59562V107 $2,067,113 59,700 59,700 59,700
MIDAMERICAN ENERGY HOLDINGS CO Common 59562V107 $8,798,213 254,100 254,100 2 254,100
MIDAMERICAN ENERGY HOLDINGS CO Common 59562V107 $363,563 10,500 10,500 3 10,500
MIDWEST EXPRESS HOLDINGS, INC Common 597911106 $1,498,516 44,074 44,074 44,074
MIDWEST EXPRESS HOLDINGS, INC Common 597911106 $5,898,150 173,475 173,475 2 173,475
MIDWEST EXPRESS HOLDINGS, INC Common 597911106 $231,200 6,800 6,800 3 6,800
HERMAN MILLER INC Common 600544100 $168,000 8,000 8,000 2 8,000
MINNESOTA MINING & MFG CO Common 604059105 $295,588 3,400 3,400 3,400
MINNESOTA MINING & MFG CO Common 604059105 $11,423,588 131,400 131,400 2 131,400
MINNESOTA MINING & MFG CO Common 604059105 $678,113 7,800 7,800 3 7,800
MOBIL CORP. Common 607059102 $237,000 2,400 2,400 2,400
MOLEX, INC. Common 608554101 $162,800 4,400 4,400 2 4,400
MORGAN STANLEY, DEAN WITTER Common 617446448 $1,252,025 12,200 12,200 12,200
MORGAN STANLEY, DEAN WITTER Common 617446448 $17,343,625 169,000 169,000 2 169,000
MORGAN STANLEY, DEAN WITTER Common 617446448 $933,888 9,100 9,100 3 9,100
MOTOROLA CORPORATION Common 620076109 $2,217,150 23,400 23,400 23,400
MOTOROLA CORPORATION Common 620076109 $28,889,275 304,900 304,900 2 304,900
MOTOROLA CORPORATION Common 620076109 $1,724,450 18,200 18,200 3 18,200
MUTUAL RISK MANAGEMENT, LTD Common 628351108 $4,423,256 132,532 132,532 132,532
MUTUAL RISK MANAGEMENT, LTD Common 628351108 $13,535,699 405,564 405,564 2 405,564
MUTUAL RISK MANAGEMENT, LTD Common 628351108 $534,000 16,000 16,000 3 16,000
NABISCO HOLDING CORP Class A Common 629526104 $4,975,100 115,700 115,700 115,700
NABISCO HOLDING CORP Class A Common 629526104 $31,858,700 740,900 740,900 2 740,900
NABISCO HOLDING CORP Class A Common 629526104 $1,677,000 39,000 39,000 3 39,000
NATIONAL CITY CORP Common 635405103 $111,350 1,700 1,700 1,700
NATIONAL SERVICE INDS INC Common 637657107 $104,400 2,900 2,900 2 2,900
BANK OF AMERICA CORP Common 644647169 $2,939,978 40,102 40,102 40,102
BANK OF AMERICA CORP Common 644647169 $32,577,802 444,369 444,369 2 444,369
BANK OF AMERICA CORP Common 644647169 $1,971,300 26,889 26,889 3 26,889
NEW PLAN EXCEL REALTY TRUST Common 648053106 $136,800 7,600 7,600 2 7,600
NEWBRIDGE NETWORKS CORP Common 650901101 $175,375 6,100 6,100 2 6,100
NORFOLK SOUTHERN CORP Common 655844108 $1,223,075 40,600 40,600 40,600
NORFOLK SOUTHERN CORP Common 655844108 $8,871,813 294,500 294,500 2 294,500
NORFOLK SOUTHERN CORP Common 655844108 $536,225 17,800 17,800 3 17,800
NORTHERN STATES POWER Common 665772109 $6,963,581 287,900 287,900 2 287,900
NORTHERN STATES POWER Common 665772109 $357,975 14,800 14,800 3 14,800
OWENS ILLINOIS Common 690768403 $6,459,050 197,600 197,600 197,600
OWENS ILLINOIS Common 690768403 $22,538,031 689,500 689,500 2 689,500
OWENS ILLINOIS Common 690768403 $1,029,656 31,500 31,500 3 31,500
PG & E CORPORATION Common 69331C108 $10,368,647 319,650 319,650 2 319,650
PG & E CORPORATION Common 69331C108 $655,238 20,200 20,200 3 20,200
PPG INDUSTRIES INC Common 693506107 $165,375 2,800 2,800 2,800
PPG INDUSTRIES INC Common 693506107 $11,393,156 192,900 192,900 2 192,900
PPG INDUSTRIES INC Common 693506107 $679,219 11,500 11,500 3 11,500
PALL CORP Common 696429307 $2,356,313 106,200 106,200 106,200
PALL CORP Common 696429307 $11,357,781 511,900 511,900 2 511,900
PALL CORP Common 696429307 $541,375 24,400 24,400 3 24,400
PENNEY, (J.C.) CORP Common 708160106 $208,819 4,300 4,300 4,300
PEOPLESOFT INC Common 712713106 $2,301,150 133,400 133,400 133,400
PEOPLESOFT INC Common 712713106 $8,978,625 520,500 520,500 2 520,500
PEOPLESOFT INC Common 712713106 $374,325 21,700 21,700 3 21,700
PEPSICO INC Common 713448108 $14,608,400 377,600 377,600 2 377,600
PEPSICO INC Common 713448108 $870,469 22,500 22,500 3 22,500
PHARMACIA & UPJOHN, INC. Common 716941109 $4,604,483 81,047 81,047 81,047
PHARMACIA & UPJOHN, INC. Common 716941109 $14,987,138 263,800 263,800 2 263,800
PHARMACIA & UPJOHN, INC. Common 716941109 $710,156 12,500 12,500 3 12,500
PITNEY BOWES INC. Common 724479100 $96,375 1,500 1,500 1,500
PRAXAIR INC Common 74005P104 $3,518,606 71,900 71,900 71,900
PRAXAIR INC Common 74005P104 $11,666,700 238,400 238,400 2 238,400
PRAXAIR INC Common 74005P104 $552,994 11,300 11,300 3 11,300
PRIMEDIA INC. Common 74157K101 $5,066,006 299,100 299,100 299,100
PRIMEDIA INC. Common 74157K101 $17,543,863 1,035,800 1,035,800 2 1,035,800
PRIMEDIA INC. Common 74157K101 $709,681 41,900 41,900 3 41,900
QUALCOMM INC Common 747525103 $229,600 1,600 1,600 2 1,600
QUANTUM CORP Common 747906105 $166,463 6,900 6,900 2 6,900
QUESTAR CORP Common 748356102 $114,750 6,000 6,000 6,000
QUESTAR CORP Common 748356102 $49,725 2,600 2,600 2 2,600
RAYCHEM Common 754603108 $4,151,400 112,200 112,200 112,200
RAYCHEM Common 754603108 $12,890,800 348,400 348,400 2 348,400
RAYCHEM Common 754603108 $547,600 14,800 14,800 3 14,800
REGIONS FINANCIAL CORP Common 758940100 $80,719 2,100 2,100 2,100
RITE AID Common 767754104 $2,625,025 106,600 106,600 106,600
RITE AID Common 767754104 $6,249,825 253,800 253,800 2 253,800
RITE AID Common 767754104 $229,013 9,300 9,300 3 9,300
ROCKWELL INTERNATIONAL CORP Common 773903109 $996,300 16,400 16,400 16,400
ROCKWELL INTERNATIONAL CORP Common 773903109 $15,108,525 248,700 248,700 2 248,700
ROCKWELL INTERNATIONAL CORP Common 773903109 $917,325 15,100 15,100 3 15,100
ROHM & HAAS CO Common 775371107 $2,821,175 65,800 65,800 65,800
ROHM & HAAS CO Common 775371107 $13,175,488 307,300 307,300 2 307,300
ROHM & HAAS CO Common 775371107 $608,825 14,200 14,200 3 14,200
ROSS STORES INC Common 778296103 $181,350 3,600 3,600 2 3,600
SAFECO Common 786429100 $308,875 7,000 7,000 7,000
SAFEWAY INC Common 786514208 $6,459,750 130,500 130,500 130,500
SAFEWAY INC Common 786514208 $22,294,800 450,400 450,400 2 450,400
SAFEWAY INC Common 786514208 $994,950 20,100 20,100 3 20,100
ST. JUDE MEDICAL INC. Common 790849103 $163,875 4,600 4,600 2 4,600
ST. PAUL COMPANIES Common 792860108 $318,125 10,000 10,000 10,000
SARA LEE CORPORATION Common 803111103 $2,538,731 111,900 111,900 111,900
SARA LEE CORPORATION Common 803111103 $18,989,438 837,000 837,000 2 837,000
SARA LEE CORPORATION Common 803111103 $993,713 43,800 43,800 3 43,800
SCANA CORP Common 805898103 $105,188 4,500 4,500 4,500
SCHLUMBERGER, LTD Common 806857108 $1,751,406 27,500 27,500 27,500
SCHLUMBERGER, LTD Common 806857108 $20,889,500 328,000 328,000 2 328,000
SCHLUMBERGER, LTD Common 806857108 $1,248,275 19,600 19,600 3 19,600
SEAGATE TECHNOLOGY Common 811804103 $3,251,813 126,900 126,900 126,900
SEAGATE TECHNOLOGY Common 811804103 $12,425,563 484,900 484,900 2 484,900
SEAGATE TECHNOLOGY Common 811804103 $574,000 22,400 22,400 3 22,400
SEARS ROEBUCK & CO INC Common 812387108 $1,555,231 34,900 34,900 34,900
SEARS ROEBUCK & CO INC Common 812387108 $18,096,831 406,100 406,100 2 406,100
SEARS ROEBUCK & CO INC Common 812387108 $1,051,675 23,600 23,600 3 23,600
SHERWIN-WILLIAMS CO Common 824348106 $3,060,825 110,300 110,300 110,300
SHERWIN-WILLIAMS CO Common 824348106 $11,494,050 414,200 414,200 2 414,200
SHERWIN-WILLIAMS CO Common 824348106 $452,325 16,300 16,300 3 16,300
SMITH INTERNATIONAL INC Common 832110100 $221,531 5,100 5,100 2 5,100
SONAT INC Common 835415100 $1,768,875 53,400 53,400 53,400
SONAT INC Common 835415100 $5,366,250 162,000 162,000 2 162,000
SONAT INC Common 835415100 $185,500 5,600 5,600 3 5,600
SPRINT CORPORATION Common 852061100 $1,685,400 31,800 31,800 31,800
SPRINT CORPORATION Common 852061100 $16,705,600 315,200 315,200 2 315,200
SPRINT CORPORATION Common 852061100 $1,001,700 18,900 18,900 3 18,900
SPRINT CORPORATION PCS GROUP Common 852061506 $1,382,250 24,250 24,250 24,250
SPRINT CORPORATION PCS GROUP Common 852061506 $3,619,500 63,500 63,500 2 63,500
SPRINT CORPORATION PCS GROUP Common 852061506 $119,700 2,100 2,100 3 2,100
STORAGE TECHNOLOGY CORP Common 862111200 $241,150 10,600 10,600 2 10,600
SUNTRUST BANKS INC Common 867914103 $3,034,419 43,700 43,700 43,700
SUNTRUST BANKS INC Common 867914103 $11,693,275 168,400 168,400 2 168,400
SUNTRUST BANKS INC Common 867914103 $465,231 6,700 6,700 3 6,700
SYBRON INTL CORP-WISCONSIN Common 87114F106 $214,988 7,800 7,800 2 7,800
SYNOPSYS INC Common 871607107 $160,044 2,900 2,900 2 2,900
TCA CABLE TV INC Common 872241104 $244,200 4,400 4,400 2 4,400
TCF FINANCIAL CORP Common 872275102 $156,100 5,600 5,600 2 5,600
TECO ENERGY INC Common 872375100 $168,350 7,400 7,400 7,400
TJX COMPANIES, INC Common 872540109 $3,557,775 106,800 106,800 106,800
TJX COMPANIES, INC Common 872540109 $14,271,075 428,400 428,400 2 428,400
TJX COMPANIES, INC Common 872540109 $579,638 17,400 17,400 3 17,400
TELEFONOS DE MEXICO Class L ADR 879403780 $5,123,513 63,400 63,400 63,400
TELEFONOS DE MEXICO Class L ADR 879403780 $18,586,875 230,000 230,000 2 230,000
TELEFONOS DE MEXICO Class L ADR 879403780 $808,125 10,000 10,000 3 10,000
TENET HEALTHCARE Common 88033G100 $5,435,100 292,800 292,800 2 292,800
TENET HEALTHCARE Common 88033G100 $335,981 18,100 18,100 3 18,100
TERADYNE INC Common 880770102 $200,900 2,800 2,800 2 2,800
TEXACO INC Common 881694103 $1,178,888 18,900 18,900 18,900
TEXACO INC Common 881694103 $11,408,388 182,900 182,900 2 182,900
TEXACO INC Common 881694103 $679,888 10,900 10,900 3 10,900
TEXAS INSTRUMENTS Common 882508104 $6,753,600 46,900 46,900 46,900
TEXAS INSTRUMENTS Common 882508104 $53,510,400 371,600 371,600 2 371,600
TEXAS INSTRUMENTS Common 882508104 $2,880,000 20,000 20,000 3 20,000
3COM CORPORATION Common 885535104 $3,391,981 127,100 127,100 127,100
3COM CORPORATION Common 885535104 $12,017,381 450,300 450,300 2 450,300
3COM CORPORATION Common 885535104 $549,763 20,600 20,600 3 20,600
TIFFANY & CO Common 886547108 $7,150,650 74,100 74,100 74,100
TIFFANY & CO Common 886547108 $27,087,550 280,700 280,700 2 280,700
TIFFANY & CO Common 886547108 $1,235,200 12,800 12,800 3 12,800
TYSON FOODS, INC. Class A Common 902494103 $4,611,375 204,950 204,950 204,950
TYSON FOODS, INC. Class A Common 902494103 $15,667,313 696,325 696,325 2 696,325
TYSON FOODS, INC. Class A Common 902494103 $670,500 29,800 29,800 3 29,800
USX-MARATHON GROUP Common 902905827 $3,972,625 122,000 122,000 122,000
USX-MARATHON GROUP Common 902905827 $28,275,647 868,350 868,350 2 868,350
USX-MARATHON GROUP Common 902905827 $1,458,800 44,800 44,800 3 44,800
USEC INC Common 90333E108 $141,313 9,500 9,500 2 9,500
UNITED TECHNOLOGIES CORP. Common 913017109 $1,497,600 20,800 20,800 20,800
UNITED TECHNOLOGIES CORP. Common 913017109 $17,683,200 245,600 245,600 2 245,600
UNITED TECHNOLOGIES CORP. Common 913017109 $1,101,600 15,300 15,300 3 15,300
UNOCAL CORPORATION Common 915289102 $3,932,781 99,250 99,250 99,250
UNOCAL CORPORATION Common 915289102 $24,686,375 623,000 623,000 2 623,000
UNOCAL CORPORATION Common 915289102 $1,295,738 32,700 32,700 3 32,700
VF CORP Common 918204108 $192,375 4,500 4,500 2 4,500
VARIAN MEDICAL SYSTEMS INC Common 92220P105 $88,375 3,500 3,500 2 3,500
WACHOVIA CORP Common 929771103 $13,014,056 152,100 152,100 2 152,100
WACHOVIA CORP Common 929771103 $752,950 8,800 8,800 3 8,800
WAL-MART STORES, INC Common 931142103 $2,161,600 44,800 44,800 44,800
WAL-MART STORES, INC Common 931142103 $22,952,525 475,700 475,700 2 475,700
WAL-MART STORES, INC Common 931142103 $1,326,875 27,500 27,500 3 27,500
CENTURYTEL INC Common 937329051 $1,216,350 30,600 30,600 30,600
CENTURYTEL INC Common 937329051 $6,860,850 172,600 172,600 2 172,600
CENTURYTEL INC Common 937329051 $250,425 6,300 6,300 3 6,300
WASTE MANAGEMENT INC. Common 94106L109 $1,118,376 20,807 20,807 20,807
WASTE MANAGEMENT INC. Common 94106L109 $20,646,773 384,126 384,126 2 384,126
WASTE MANAGEMENT INC. Common 94106L109 $1,306,340 24,304 24,304 3 24,304
WEATHERFORD INTERNATIONAL INC. Common 947074100 $3,113,125 85,000 85,000 85,000
WEATHERFORD INTERNATIONAL INC. Common 947074100 $11,936,088 325,900 325,900 2 325,900
WEATHERFORD INTERNATIONAL INC. Common 947074100 $476,125 13,000 13,000 3 13,000
WELLS FARGO COMPANY Common 949746101 $3,437,100 80,400 80,400 80,400
WELLS FARGO COMPANY Common 949746101 $17,707,050 414,200 414,200 2 414,200
WELLS FARGO COMPANY Common 949746101 $825,075 19,300 19,300 3 19,300
WESTVACO CORP Common 961548104 $118,900 4,100 4,100 2 4,100
WEYERHAEUSER CO. Common 962166104 $185,625 2,700 2,700 2,700
WILLAMETTE INDUSTRIES Common 969133107 $2,174,150 47,200 47,200 47,200
WILLAMETTE INDUSTRIES Common 969133107 $11,004,331 238,900 238,900 2 238,900
WILLAMETTE INDUSTRIES Common 969133107 $492,869 10,700 10,700 3 10,700
WILLIAMS COMPANIES Common 969457100 $4,677,619 109,900 109,900 109,900
WILLIAMS COMPANIES Common 969457100 $36,820,819 865,100 865,100 2 865,100
WILLIAMS COMPANIES Common 969457100 $1,962,131 46,100 46,100 3 46,100
WISCONSIN ENERGY CORP Common 976657106 $157,894 6,300 6,300 6,300
ACE LTD. Common G0070K103 $1,988,800 70,400 70,400 70,400
ACE LTD. Common G0070K103 $8,350,700 295,600 295,600 2 295,600
ACE LTD. Common G0070K103 $333,350 11,800 11,800 3 11,800
PARTNERRE LTD Common G6852T105 $171,925 4,600 4,600 2 4,600
Grand Totals $302,977,353
2 $2,045,021,946
3 $107,650,147
</TABLE>
