UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington D.C. 20549
Form 13F
Form 13F COVER PAGE
Report for the Calendar Year or Quarter Ended: _December 31, 1999
Check here if Amendment [ ]; Amendment Number: ____
This Amendment (Check only one.): [ ] is a restatement.
[ ] adds new holdings
entries.
Institutional Investment Manager Filing this Report:
Name: Jemmco Investment Management LLC
Address: 111 Broadway, 7th Floor___
_________New York, N.Y. 10006__
__________________________________________
Form 13F File Number: 28-7696_
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 list and tables are considered integral parts of
this form.
Person Signing this Report on Behalf of Reporting Manager:
Name: David Muschel____
Title: Manager_
Phone: (212) 433-7624_
Signature Place and Date of Signing:
David Muschel__ _New York, N.Y. _February 15, 2000_
[Signature] [City State] [Date]
CONFIDENTIAL
Report Type (Check only one.):
[X] 13F HOLDINGS REPORT. (Check here if all holdings of this
reporting manager are reported in this report.)
[ ] 13F NOTICE. (Check here if no holdings reported are in this
report and all holdings are reported by other reporting
manager(s).)
[ ] 13F COMBINATION REPORT. (Check here if a portion of the
holdings for this reporting manager are reported in this
report and a portion are reported by other reporting
manager(s).)
List of Other Managers Reporting for this Manager:
[If there are no entries in this list omit this section.]
Form 13F File Number Name
28-____________ _______________________________
[Repeat as necessary.]
CONFIDENTIAL
Form 13F SUMMARY PAGE
Report Summary:
Number of Other Included Managers: ___0_____
Form 13F Information Table Entry Total: ____331____
Form 13F Information Table Value Total: $196,581_____
(thousands)
List of Other Included Managers:
Provide a numbered list of the name(s) and Form 13F file
number(s) of all institutional investment managers with respect
to which this report is filed other than the manager filing this
report.
[If there are no entries in this list " state ""NONE"" and omit the"
column headings and list entries.]
No. Form 13F File Number Name
____ 28-____________ _NONE________
[Repeat as necessary.]
CONFIDENTIAL
<TABLE>
FORM 13F INFORMATION TABLE
<C> <C> <C> <C> <C> <C>
ITEM 1: ITEM 2 ITEM 3: ITEM 4: ITEM 5: ITEM 6: ITEM 7: ITEM 8:
NAME OF TITLE OF CUSIP MARKET AMNT OF INVSTMNT MGRS VOTING
ISSUER CLASS NUMBER VALUE SECURITY DISCRTN AUTHRTY
(000) (SHARES) (A) (A)
ABERCROMBIE & FITCH CO CL A 2896207 1059 39700 SOLE SOLE
ACE LIMITED G0070K103 270 16200 SOLE SOLE
ACNIELSEN CORP 4833109 239 9700 SOLE SOLE
ADVANTA CORP CL-B 7942204 338 25000 SOLE SOLE
AETNA INC. 8117103 134 2400 SOLE SOLE
AFLAC INC 1055102 920 19500 SOLE SOLE
AIR PRODS & CHEMS INC 9158106 101 3000 SOLE SOLE
AK STEEL HOLDING CORP 1547108 66 3500 SOLE SOLE
ALBERTO CULVER CO 13068101 217 8400 SOLE SOLE
ALEXANDER & BALDWIN 14482103 208 9200 SOLE SOLE
ALLEGHENY TECHNOLOGIES INC 01741R102 763 34000 SOLE SOLE
ALLMERICA FINC'L CORP. 19754100 990 17800 SOLE SOLE
ALLTEL CORPORATION COM 20039103 74 900 SOLE SOLE
ALPHARMA INC 20813101 544 17700 SOLE SOLE
ALPINE GROUP INC 20825105 236 18300 SOLE SOLE
AMBAC FINANCIAL GROUP INC 23139108 1660 31800 SOLE SOLE
AMERADA HESS CORP 23551104 431 7600 SOLE SOLE
AMEREN CORP 23608102 206 6300 SOLE SOLE
AMERICA WEST HOLDINGS 23657208 253 12200 SOLE SOLE
AMERICAN HOME PRODS CORP 26609107 2946 74700 SOLE SOLE
AMERICAN STD COS INC DEL 29712106 1124 24500 SOLE SOLE
AMERICREDIT CORP 03060R101 272 14700 SOLE SOLE
AMEX S & P DEPOSITARY RECEIPTS78462F103 3745 25500 SOLE SOLE
AMSOUTH BANCORP 32165102 888 46000 SOLE SOLE
ANOLOG DEVICES INC 32654105 288 3100 SOLE SOLE
APACHE CORP 37411105 188 5100 SOLE SOLE
APPLIED MATERIALS INC 38222105 494 3900 SOLE SOLE
APRIA HEALTHCARE GROUP INC 37933108 260 14500 SOLE SOLE
ARMSTRONG WORLD INDS. 42476101 140 4200 SOLE SOLE
AXA FINANCIAL INC 2451102 224 6600 SOLE SOLE
CONFIDENTIAL
AZTAR CORPORATION 54802103 236 21700 SOLE SOLE
BALL CORPORATION 58498106 925 23500 SOLE SOLE
BANDAG INC 59815100 275 11000 SOLE SOLE
BANK OF AMERICA CORP 60505104 4416 88000 SOLE SOLE
BARNES & NOBLE BOOKSTORES 67774109 817 39600 SOLE SOLE
BAUSCH & LOMB INC 71707103 274 4000 SOLE SOLE
BCE INC 05534B109 10209 113200 SOLE SOLE
BEAR STEARNS COS INC 73902108 236 5511 SOLE SOLE
BELDEN INC 77459105 273 13000 SOLE SOLE
BELO (A.H.) CORP 80555105 578 30300 SOLE SOLE
BEMIS INC 81437105 370 10600 SOLE SOLE
BEST BUY CO INC 86516101 236 4700 SOLE SOLE
BLOCK H & R INC 93671105 219 5000 SOLE SOLE
BMC INDUSTRIES INC 55607105 94 19300 SOLE SOLE
BOEING CO 97023105 212 5100 SOLE SOLE
BOISE CASCADE CORP 97383103 279 6900 SOLE SOLE
BORG WARNER AUTOMOTIVE INC 99724106 251 6200 SOLE SOLE
BRIGGS & STRATTON CORP 109043109 252 4700 SOLE SOLE
BRINKER INTERNATIONAL INC 109641100 322 13400 SOLE SOLE
BRISTOL MYERS SQUIBB CO 110122108 1611 25100 SOLE SOLE
BROWN SHOE CO INC 115736100 195 13800 SOLE SOLE
BRUNSWICK CORP 117043109 427 19200 SOLE SOLE
CABLE DESIGN TECH CORP 126924109 219 9500 SOLE SOLE
CABLETRON SYSTEMS INC 126920107 224 8600 SOLE SOLE
CANADIAN NATL RAILWAY CO 136375102 747 28400 SOLE SOLE
CANADIAN PACIFIC LTD (NEW) 135923100 216 10000 SOLE SOLE
CHAMPION INTL CORP 158525105 279 4500 SOLE SOLE
CHASE MANHATTAN CORP 16161A108 233 3000 SOLE SOLE
CHEVRON CORP 166751107 208 2400 SOLE SOLE
CHOICE HOTELS INT'L INC(NEW) 169905106 245 14300 SOLE SOLE
CIGNA CORP 125509109 218 2700 SOLE SOLE
CIRCUIT CITY STORES-CIRCUIT 172737108 2469 54800 SOLE SOLE
CISCO SYSTEMS INC 17275R102 43 400 SOLE SOLE
CITY NATIONAL CORP 178566105 198 6000 SOLE SOLE
CK WITCO CORP 12562C108 257 19200 SOLE SOLE
CLAYTON HOMES INC 184190106 256 27900 SOLE SOLE
CNA FINL CORP 126117100 156 4000 SOLE SOLE
COLONIAL BANCORP IN 195493309 99 9500 SOLE SOLE
COMERICA INC 200340107 416 8900 SOLE SOLE
CONAGRA INC COM 205887102 711 31500 SOLE SOLE
CONFIDENTIAL
CONSOLIDATED EDISON INC (HOLDN209115104 200 5800 SOLE SOLE
CONSOLIDATED PAPERS INC 209759109 140 4400 SOLE SOLE
COOPER TIRE & RUBR CO 216831107 79 5100 SOLE SOLE
COUNTRYWIDE CR INDS 222372104 793 31400 SOLE SOLE
CROWN CORK & SEAL INC 228255105 1537 68700 SOLE SOLE
CSX CORP 126408103 78 2500 SOLE SOLE
CUMMINS ENGINE INC 231021106 121 2500 SOLE SOLE
CYPRESS SEMICONDUCTOR CORP 232806109 680 21000 SOLE SOLE
CYTEC INDUSTRIES INC 232820100 287 12400 SOLE SOLE
DALLAS SEMICONDUCTOR CORP 235204104 238 3700 SOLE SOLE
DANAHER CORP 235851102 227 4700 SOLE SOLE
DARDEN RESTAURANTS INC 237194105 335 18500 SOLE SOLE
DEAN FOODS CO 242361103 223 5600 SOLE SOLE
DELTA & PINE LAND CO 247357106 314 18100 SOLE SOLE
DEVON ENERGY CORP (NEW) 25179M103 1502 45700 SOLE SOLE
DIAMOND OFFSHORE DRILLING INC25271C102 2387 78100 SOLE SOLE
DIAMONDS 252787106 1233 10700 SOLE SOLE
DIEBOLD INC 253651103 186 7900 SOLE SOLE
DIME BANCORP INC (NEW) 25429Q102 56 3700 SOLE SOLE
DONALDSON & CO 257651109 241 10000 SOLE SOLE
DONALDSON LUFKIN JENRETTE 257661108 2796 57800 SOLE SOLE
DONNELLEY R R & SONS CO 257867101 164 6600 SOLE SOLE
DOVER CORP 260003108 1928 42500 SOLE SOLE
DOW CHEM CO 260543103 67 500 SOLE SOLE
DOW JONES & CO INC 260561105 2006 29500 SOLE SOLE
DTE ENERGY CO (HOLDING CO) 233331107 173 5500 SOLE SOLE
DUKE ENERGY CORP 264399106 216 4300 SOLE SOLE
DUN & BRADSTREET CORP (NEW) 26483B106 372 12600 SOLE SOLE
EATON CORP 278058102 545 7500 SOLE SOLE
EDISON INTERNATIONAL 281020107 220 8400 SOLE SOLE
EL PASO ENERGY CORP 283905107 268 6900 SOLE SOLE
ELECTRONIC DATA SYS CORP 285661104 254 3800 SOLE SOLE
EMC CORP MASS 268648102 601 5500 SOLE SOLE
ENERGY EAST CORP (HOLDING CO) 29266M109 171 8200 SOLE SOLE
ENGELHARD CORP 292845104 753 39900 SOLE SOLE
ENSCO INTL DEV 26874Q100 320 14000 SOLE SOLE
ENTERGY CORP NEW 29364G103 203 7900 SOLE SOLE
EOG RESOURCES INC 26875P101 632 36000 SOLE SOLE
EQUIFAX INC 294429105 561 23800 SOLE SOLE
EQUITABLE RESOURCE INC 294549100 244 7300 SOLE SOLE
CONFIDENTIAL
EVEREST REINSURANCE HLDGS INC 299808105 863 38700 SOLE SOLE
EXIDE CORPORATION 302051107 177 21300 SOLE SOLE
FAMILY DLR STORES INC 307000109 695 42600 SOLE SOLE
FERRO CORP 315405100 176 8000 SOLE SOLE
FIRST DATA CORPORATION 319963104 237 4800 SOLE SOLE
FIRST UNION CORP 337358105 2461 75000 SOLE SOLE
FIRST VIRGINIA BANKS INC 337477103 585 13600 SOLE SOLE
FLEMING COMPANIES INC 339130106 191 18600 SOLE SOLE
FMC CORP NEW 302491303 264 4600 SOLE SOLE
FORD MTR CO DEL 345370100 331 6200 SOLE SOLE
FOREST LABS INC 345838106 1407 22900 SOLE SOLE
FORTUNE BRANDS INC 349631101 218 6600 SOLE SOLE
FOSTER WHEELER CORP 350244109 331 37300 SOLE SOLE
FOUNDATION HEALTH SYSTEMS INC 350404109 172 17300 SOLE SOLE
FPL GROUP INC 302571104 197 4600 SOLE SOLE
FREEPORT MCMORAN COPPER & GOLD35671D857 270 12800 SOLE SOLE
GENCORP INC 368682100 242 24500 SOLE SOLE
GENERAL MTRS CORP. 370442105 189 2600 SOLE SOLE
GENRAD INC 372447102 237 14700 SOLE SOLE
GEON COMPANY (THE) 37246W105 286 8800 SOLE SOLE
GPU INC. 36225X100 174 5800 SOLE SOLE
GRACE W.R. & CO NEW 38388F108 185 13300 SOLE SOLE
GREAT ATLANTIC & PAC TEA INC 390064103 203 7300 SOLE SOLE
GUIDANT CORPORATION IPO 401698105 33 700 SOLE SOLE
HALLIBURTON CO 406216101 1051 26100 SOLE SOLE
HARLAND JOHN H CO 412693103 245 13400 SOLE SOLE
HARRAH'S ENTERTAINMENT INC 413619107 677 25600 SOLE SOLE
HARTE-HANKS INC 416196103 13 600 SOLE SOLE
HASBRO INC 418056107 1090 57200 SOLE SOLE
HEINZ H J CO 423074103 904 22700 SOLE SOLE
HELMERICH & PAYNE INC 423452101 753 34500 SOLE SOLE
HIBERNIA CORP CLASS-A 428656102 336 31600 SOLE SOLE
HILTON HOTELS CORP 432848109 200 20800 SOLE SOLE
HORACE MANN EDUCATORS CORP 440327104 153 7800 SOLE SOLE
HORMEL FOODS CORPORATION 440452100 240 5900 SOLE SOLE
HOUSEHOLD INTL INC 441815107 823 22100 SOLE SOLE
HUNTINGTON BANCSHARES INC 446150104 305 12800 SOLE SOLE
IBP INC 449223106 535 29700 SOLE SOLE
ICN PHARMACEUTICALS INC NEW 448924100 213 8400 SOLE SOLE
IDT CORP 448947101 1192 63150 SOLE SOLE
CONFIDENTIAL
IKON OFFICE SOLUTIONS INC 451713101 123 18000 SOLE SOLE
ILLINOIS TOOL WORKS INC 452308109 1399 20700 SOLE SOLE
IMATION CORP 45245A107 255 7600 SOLE SOLE
INDYMAC MORTGAGE HOLDINGS INC 456607100 1 100 SOLE SOLE
INTERMEDIA COMMUNICATIONS INC 458801107 155 4000 SOLE SOLE
INTERNATIONAL PAPER CO 460146103 1417 25100 SOLE SOLE
INTERNATIONAL RECTIFIER CORP 460254105 403 15500 SOLE SOLE
ITT INDUSTRIES INC(INDIANA) 450911102 495 14800 SOLE SOLE
IVAX CORP 465823102 466 18100 SOLE SOLE
JACK IN THE BOX INC 466367109 207 10000 SOLE SOLE
JOHNSON & JOHNSON 478160104 1350 14500 SOLE SOLE
JOHNSON CTLS INC 478366107 176 3100 SOLE SOLE
JONES APPAREL GROUP INC 480074103 491 18100 SOLE SOLE
KELLOGG CO 487836108 1519 49300 SOLE SOLE
KENNAMETAL INC 489170100 256 7600 SOLE SOLE
KENT ELECTRONICS CORP 490553104 218 9600 SOLE SOLE
KERR MCGEE CORP 492386107 254 4100 SOLE SOLE
KEYCORP 493267108 569 25700 SOLE SOLE
KIMBERLY CLARK CORP 494368103 2036 31200 SOLE SOLE
KLM ROYAL DUTCH AIR 482516309 47 1900 SOLE SOLE
KNIGHT RIDDER INC 499040103 607 10200 SOLE SOLE
KOHL'S CORPORATION 500255104 2909 40300 SOLE SOLE
LEAR CORPORATION 521865105 512 16000 SOLE SOLE
LEHMAN BROTHERS HOLDINGS INC 524908100 4006 47300 SOLE SOLE
LG & E ENERGY CORP 501917108 140 8000 SOLE SOLE
LIBERTY FINANCIAL COS INC 530512102 131 5700 SOLE SOLE
LINCOLN NATL CORP 534187109 2048 51200 SOLE SOLE
LINENS N THINGS INC 535679104 62 2100 SOLE SOLE
LITTON INDS INC 538021106 175 3500 SOLE SOLE
LIZ CLAIBORNE INC 539320101 237 6300 SOLE SOLE
LOEWS CORP 540424108 127 2100 SOLE SOLE
LOUISIANA PACIFIC CORPORATION 546347105 534 37500 SOLE SOLE
LOWE'S COMPANIES INC. 548661107 526 8800 SOLE SOLE
LUBRIZOL CORP 549271104 846 27400 SOLE SOLE
M.A. HANNA CO 410522106 153 14000 SOLE SOLE
MAIL-WELL INC 560321200 219 16200 SOLE SOLE
MALLINCKRODT INC 561232109 226 7100 SOLE SOLE
MANPOWER INC 56418H100 286 7600 SOLE SOLE
MAYTAG CO 578592107 154 3200 SOLE SOLE
MCCORMICK & CO NON-VTG 579780206 95 3200 SOLE SOLE
CONFIDENTIAL
MEMC ELECTRONIC MATERIALS INC552715104 180 14700 SOLE SOLE
MERCURY GENERAL CORP 589400100 291 13100 SOLE SOLE
MERRILL LYNCH PIERCE FENNER & 590188108 251 3000 SOLE SOLE
MGM GRAND INC 552953101 332 6600 SOLE SOLE
MICRON TECHNOLOGY CORP 595112103 241 3100 SOLE SOLE
MILLIPORE CORP. 601073109 259 6700 SOLE SOLE
MOLEX INC. CLASS A 608554200 2775 62000 SOLE SOLE
MOORE CORP LTD 615785102 119 19700 SOLE SOLE
MORGAN J P & CO INC 616880100 3001 23700 SOLE SOLE
MOTOROLA INC 620076109 324 2200 SOLE SOLE
MUELLER INDUSTRIES INC 624756102 232 6400 SOLE SOLE
MURPHY OIL CORP 626717102 224 3900 SOLE SOLE
NABISCO GROUP HOLDINGS 62952P102 198 18600 SOLE SOLE
NABISCO HOLDINGS CP CL A 629526104 636 20100 SOLE SOLE
NASDAQ-100 SHARES 631100104 3381 18500 SOLE SOLE
NATIONAL CITY CORP 635405103 914 38600 SOLE SOLE
NATIONAL SEMICONDUCTOR CORP 637640103 402 9400 SOLE SOLE
NAVIGANT CONSULTING INC 63935N107 38 3500 SOLE SOLE
NAVISTAR INT'L CORP NEW 6.39E+112 521 11000 SOLE SOLE
NEW YORK TIMES CO 650111107 265 5400 SOLE SOLE
NOBLE AFFILIATES INC 654894104 262 12200 SOLE SOLE
NOBLE DRILLING CORP 655042109 288 8800 SOLE SOLE
NORTHROP GRUMMAN CORP 666807102 184 3400 SOLE SOLE
NUCOR CORP 670346105 1831 33400 SOLE SOLE
OCEANEERING INTERNATIONAL INC675232102 28 1900 SOLE SOLE
OFFICE DEPOT INC 676220106 119 10900 SOLE SOLE
PACCAR INC 693718108 673 15200 SOLE SOLE
PAINE WEBBER GROUP INC 695629105 2492 64200 SOLE SOLE
PALL CORP 696429307 201 9300 SOLE SOLE
PARKER HANNIFIN CORP 701094104 785 15300 SOLE SOLE
PECO ENERGY COMPANY 693304107 184 5300 SOLE SOLE
PENNEY J C INC 708160106 421 21100 SOLE SOLE
PENTAIR INC 709631105 335 8700 SOLE SOLE
PENWEST PHARMA CO 709754105 162 10800 SOLE SOLE
PEP BOYS MANNY MOE & JACK 713278109 158 17300 SOLE SOLE
PFIZER INC 717081103 201 6200 SOLE SOLE
PHARMACIA-UPJOHN INC 716941109 1287 28600 SOLE SOLE
PHILLIPS PETE CO 718507106 1462 31100 SOLE SOLE
PITNEY BOWES INC 724479100 227 4700 SOLE SOLE
PLACER DOME INC 725906101 224 20800 SOLE SOLE
CONFIDENTIAL
PMI GROUP INC 69344M101 1474 30200 SOLE SOLE
PNC BANK CORP 693475105 4477 100600 SOLE SOLE
POPE & TALBOT INC 732827100 336 21000 SOLE SOLE
PP & L RESOURCES INC 693499105 220 9600 SOLE SOLE
PPG INDS INC 693506107 2365 37800 SOLE SOLE
PRE-PAID LEGAL SERVICE 740065107 206 8600 SOLE SOLE
PUBLIC SVC ENTERPRISES GROUP 744573106 195 5600 SOLE SOLE
PUGET SOUND ENERGY CO 745332106 167 8600 SOLE SOLE
RADIAN GROUP INC 750236101 220 4600 SOLE SOLE
RALSTON-RALSTON PURINA GROUP 751277302 231 8300 SOLE SOLE
RAY JAMES FINL INC 754730109 269 14400 SOLE SOLE
RAYTHEON CO CL B 755111408 197 7400 SOLE SOLE
READERS DIGEST ASSOC CL A 755267101 184 6300 SOLE SOLE
RELIANT ENERGY INC 75952J108 210 9200 SOLE SOLE
ROCKWELL INT'L CORP NEW 773903109 230 4800 SOLE SOLE
ROYAL CARIBBEAN CRUISES LTD V7780T103 2293 46500 SOLE SOLE
RUDDICK CORP 781258108 200 12900 SOLE SOLE
RUSSELL CORPORATION 782352108 255 15200 SOLE SOLE
SARA LEE CORP 803111103 889 40300 SOLE SOLE
SCHERING PLOUGH CORP 806605101 1380 32700 SOLE SOLE
SCHLUMBERGER LTD 806857108 225 4000 SOLE SOLE
SCHWAB CHARLES CORP NEW 808513105 242 6300 SOLE SOLE
SCIENTIFIC ATLANTA INC 808655104 223 4000 SOLE SOLE
SCOTTS CO CL-A 810186106 205 5100 SOLE SOLE
SEAGRAM LTD 811850106 207 4600 SOLE SOLE
SEALED AIR CORP NEW 81211K100 430 8300 SOLE SOLE
SEARS ROEBUCK & CO 812387108 1625 53400 SOLE SOLE
SENSORMATIC ELECTRONICS CORP 817265101 284 16300 SOLE SOLE
SHAW GROUP INC 820280105 261 10300 SOLE SOLE
SHAW INDUSTRIES INC 820286102 184 11900 SOLE SOLE
SHERWIN WILLIAMS CO 824348106 739 35200 SOLE SOLE
SHOPKO STORES INC 824911101 67 2900 SOLE SOLE
SLM HOLDING CORP (HOLD CO) VTG78442A109 262 6200 SOLE SOLE
SMITH A O CORP CL B 831865209 63 2900 SOLE SOLE
SNAP-ON INCORPORATED 833034101 215 8100 SOLE SOLE
SOLA INTERNATIONAL INC 834092108 266 19200 SOLE SOLE
SONOCO PRODUCTS CO COM 835495102 439 19300 SOLE SOLE
SOUTHERN CO 842587107 207 8800 SOLE SOLE
SOUTHTRUST CORP 844730101 215 5700 SOLE SOLE
ST JUDE MEDICAL INC 790849103 98 3200 SOLE SOLE
CONFIDENTIAL
STANDARD PACIFIC CORP 85375C101 239 21700 SOLE SOLE
STANLEY WORKS 854616109 256 8500 SOLE SOLE
STRIDE RITE CORP 863314100 125 19200 SOLE SOLE
SUIZA FOODS CORP 865077101 246 6200 SOLE SOLE
SUNGARD DATA SYS INC 867363103 164 6900 SOLE SOLE
SUNTRUST BANKS INC 867914103 220 3200 SOLE SOLE
SUPERIOR INDS INTL INC 868168105 265 9900 SOLE SOLE
SUPERVALU INC 868536103 192 9600 SOLE SOLE
SYSTEMAX INC 871851101 128 15000 SOLE SOLE
TANDY CORP 875382103 1751 35600 SOLE SOLE
TCF FINANCIAL CORP 872275102 418 16800 SOLE SOLE
TELEPHONE & DATA SYSTEMS INC 879433100 252 2000 SOLE SOLE
TEMPLE INLAND INC 879868107 4101 62200 SOLE SOLE
TESORO PETE CORP 881609101 81 7000 SOLE SOLE
TEXAS INSTRS INC 882508104 426 4400 SOLE SOLE
TEXAS UTILS CO 882848104 206 5800 SOLE SOLE
TEXTRON INC 883203101 215 2800 SOLE SOLE
THE E.W. SCRIPPS CO (NEW) 811054204 359 8000 SOLE SOLE
THE MCGRAW-HILL CO INC 580645109 573 9300 SOLE SOLE
THE PHILIP MORRIS COMPANIES 718154107 199 8600 SOLE SOLE
THE PROCTER & GAMBLE COMPANY 742718109 3539 32300 SOLE SOLE
THE TJX COMPANIES INC 872540109 135 6600 SOLE SOLE
THOMAS & BETTS CORP 884315102 140 4400 SOLE SOLE
TIDEWATER INC 886423102 263 7300 SOLE SOLE
TIMES MIRROR CO CL A NEW 887364107 248 3700 SOLE SOLE
TOMMY HILFIGER CP G8915Z102 1627 69800 SOLE SOLE
TORCHMARK CORP 891027104 90 3100 SOLE SOLE
TOYS-R-US 892335100 1610 112500 SOLE SOLE
TRAVLERS PROPERTY CASUALTY CRP893939108 1260 36800 SOLE SOLE
TRIARC COMPANIES INC 895927101 184 10000 SOLE SOLE
TRIBUNE CO 896047107 231 4200 SOLE SOLE
TRW INC 872649108 218 4200 SOLE SOLE
TUPPERWARE CORP 899896104 562 33200 SOLE SOLE
U.S. CAN CORPORATION 90328W105 38 1900 SOLE SOLE
U.S.X MARATHON GROUP 902905827 375 15200 SOLE SOLE
ULTRAMR-DIAMOND SHAMROCK CORP 904000106 172 7600 SOLE SOLE
UNION PACIFIC CORP 907818108 397 9100 SOLE SOLE
UNITED HEALTHCARE CORP 910581107 186 3500 SOLE SOLE
US INDUSTRIES 912080108 216 15400 SOLE SOLE
USG CORPORATION (NEW) 903293405 217 4600 SOLE SOLE
CONFIDENTIAL
UTILICORP UNITED INC 918005109 181 9300 SOLE SOLE
VALASSIS COMMUNICATIONS INC 918866104 249 5900 SOLE SOLE
VARCO INTL. INC.. 922126107 212 20800 SOLE SOLE
VASTAR RESOURCES INC 922380100 77 1300 SOLE SOLE
VERITAS DGC INC 92343P107 213 15200 SOLE SOLE
VIACOM INC 925524100 1511 25000 SOLE SOLE
VIAD CORP 92552R109 354 12700 SOLE SOLE
VISHAY INTERTECHNOLOGY INC 928298108 247 7800 SOLE SOLE
WACHOVIA CORPORATION 929771103 265 3900 SOLE SOLE
WELLPOINT HEALTH NETWORKS INC.94973H108 270 4100 SOLE SOLE
WELLS FARGO CO (NEW) 949746101 1274 31500 SOLE SOLE
WENDYS INTERNATIONAL INC 950590109 202 9800 SOLE SOLE
WESTVACO CORP 961548104 258 7900 SOLE SOLE
WEYERHAEUSER CO 962166104 280 3900 SOLE SOLE
WHIRLPOOL CORP 963320106 215 3300 SOLE SOLE
WILLAMETTE INDUSTREIES INC 969133107 1091 23500 SOLE SOLE
WINDMERE-DURABLE HOLDINGS INC 973411101 262 15400 SOLE SOLE
WISCONSIN ENERGY CORP 976657106 175 9100 SOLE SOLE
YELLOW CORP 985509108 205 12200 SOLE SOLE
ZALE CORP (NEW) 988858106 924 19100 SOLE SOLE
ZEBRA TECHNOLOGIES CORP CL-A 989207105 226 3900 SOLE SOLE
</TABLE>
