Form 13F Cover Page
INFORMATION REQUIRED OF INSTITUTIONAL INVESTMENT
MANAGERS PURSUANT TO SECTION 13 (F) OF THE SECURITIES
EXCHANGE ACT OF 1934 AND RULES THEREUNDER
*Securities and Exchange Commission
Washington, D.C. 20549
Report for the Calendar Quarter Ended September 30, 1999
(Please read instructions before preparing form)
Check here if Amendment{ }: Amendment Number:
This Amendment (Check only one):
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{ } adds new holdings entries.
Institutional Investment Manager Filing this Report:
NAME: ALLMERICA ASSET MANAGEMENT, INC.
STREET: 440 LINCOLN STREET
CITY: WORCESTER,
STATE: MA
ZIP: 01653
Form 13F File Number: Applied For
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 P. Kavanaugh
Title: Director
Phone: 508-855-2151
SIGNATURE, Place and Date Signing:
Name: John P. Kavanaugh
CITY: WORCESTER
STATE: MA
DATE: 10/29/99
Report Type (Check only one):
X 13F HOLDING 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 COBINATION 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).)
<PAGE>
Form 13F Summary Page
Report Summary:
Number of Other Included Managers: 0
Form 13F Information Table Entry Total: 513 number of line items
Form 13F Information Table Value Total: 988,030 thousands
List of Other Included Managers: None
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<TABLE>
<CAPTION>
Form 13F Information Table
Name of Value SHARES//SH/ PUT/ INVSTMT Other Voting
Authority
ISSUER TITLE OF CLASS CUSIP x$1000) PRN/AMT CALL DSCRETN Managers
Sole/Shared/None
Column1 Column2 Column3 Column4 Column5 Column6 Column7 Column8
<S> <C> <C> <C> <C> <C> <C> <C>
Fruit of the Loom Inc. ORDCL G3682L105 21 6300SH Sole
Global Crossing LTD COM G3921A100 842 31775SH Sole
ADC Telecommunications, Inc COM 000886101 503 12000SH Sole
Aflac, Inc. COM 001055102 992 23700SH Sole
AES Corporation COM 00130H105 1027 17400SH Sole
AMR Corp. COM 001765106 812 14900SH Sole
AT&T Corp. COM 001957109 13117 301530SH Sole
Abbott Laboratories, Inc. COM 002824100 5347 145500SH Sole
Adobe Systems Inc COM 00724F101 636 5600SH Sole
Advanced Radio Telecom COM 00754U101 511 40470SH Sole
Advanced Micro Device COM 007903107 222 12900SH Sole
Aetna Inc COM 008117103 632 12828SH Sole
Air Products & Chemicals, IncCOM 009158106 599 20600SH Sole
Alberto Culver Co. COM 013068101 113 4900SH Sole
Albertsons, Inc. COM 013104104 1492 37724SH Sole
Alcan Aluminum Ltd. COM 013716105 630 20150SH Sole
Alcoa Inc. COM 013817101 2265 36500SH Sole
Allegheny Teledyne Inc COM 017415100 415 24592SH Sole
Allergan, Inc. COM 018490102 660 6000SH Sole
Allied Signal, Inc. COM 019512102 2955 49300SH Sole
Allied Waste Industries, Inc.COM 019589308 194 16600SH Sole
Allmerica Securities Trust FdSH BEN019921105 845 88347SH Sole
Allstate Corp. COM 020002101 1998 80122SH Sole
Alltel Corp. COM 020039103 1921 27300SH Sole
Alza Corp. COM 022615108 394 9200SH Sole
Amerada Hess Corp. COM 023551104 508 8300SH Sole
Ameren Corporation COM 023608102 465 12300SH Sole
America Online Inc COM 02364J104 10484 100810SH Sole
American Electric Power Co. COM 025537101 587 17200SH Sole
American Express Co. COM 025816109 5668 42100SH Sole
American General Corp. COM 026351106 1426 22571SH Sole
American Greetings Corp. COM 026375105 324 12600SH Sole
American Home Products Corp. COM 026609107 4872 117400SH Sole
American International Group,COM 026874107 12075 138896SH Sole
Ameritech Corp. COM 030954101 6988 104000SH Sole
Amgen, Inc. COM 031162100 4034 49500SH Sole
Amsouth Bancorporation COM 032165102 368 15700SH Sole
Anadarko Petroleum Corp. COM 032511107 348 11400SH Sole
Andrew Corporation COM 034425108 271 15600SH Sole
Anheuser-Busch Cos, Inc. COM 035229103 3188 45500SH Sole
AON Corp. COM 037389103 676 22875SH Sole
Apache Corp. COM 037411105 441 10200SH Sole
Apple Computer, Inc. COM 037833100 1076 17000SH Sole
Applied Materials, Inc. COM 038222105 2626 33800SH Sole
Archer-Daniels Midland Co. COM 039483102 671 55085SH Sole
Armstrong World Industries,InCOM 042476101 157 3500SH Sole
<PAGE>
ASARCO, Inc. COM 043413103 94 3500SH Sole
Ashland, Inc. COM 044204105 387 11500SH Sole
Assoc First Cap Corp Cl A COM 046008108 2347 65192SH Sole
Atlantic Richfield Co. COM 048825103 2570 29000SH Sole
Autodesk, Inc. COM 052769106 109 5000SH Sole
Automatic Data Processing IncCOM 053015103 2597 58200SH Sole
Autozone, Inc. COM 053332102 368 13100SH Sole
Avery Dennison Corp. COM 053611109 680 12900SH Sole
Avon Products, Inc. COM 054303102 581 23400SH Sole
BB&T Corporation COM 054937107 926 28600SH Sole
BMC Software, Inc. COM 055921100 1868 26100SH Sole
Baker Hughes, Inc. COM 057224107 855 29470SH Sole
Ball Corp. COM 058498106 119 2700SH Sole
Bank of America Corp COM 060505104 8878 159421SH Sole
Bank of New York Co., Inc. COM 064057102 2207 66000SH Sole
Banc One Corp. COM 06423A103 3848 110528SH Sole
BankBoston Corp. COM 06605R106 1154 26600SH Sole
Bard C. R., Inc. COM 067383109 212 4500SH Sole
Barrick Gold Corp. COM 067901108 757 34800SH Sole
Bausch & Lomb, Inc. COM 071707103 336 5100SH Sole
Baxter International, Inc. COM 071813109 1579 26200SH Sole
Bear Stearns Co. COM 073902108 497 12942SH Sole
Becton Dickinson & Co. COM 075887109 629 22400SH Sole
Bell Atlantic Corp. COM 077853109 9641 143222SH Sole
Bell South Corp. COM 079860102 7938 176400SH Sole
Bemis Company, Inc. COM 081437105 156 4600SH Sole
Best Buy Co., Inc. COM 086516101 1278 20600SH Sole
Bestfoods COM 08658U101 1373 28300SH Sole
Bethlehem Steel Corp. COM 087509105 85 11500SH Sole
Biomet, Inc. COM 090613100 263 10000SH Sole
Black & Decker Corp. COM 091797100 366 8000SH Sole
Block (H&R), Inc. COM 093671105 378 8700SH Sole
Boeing Co. COM 097023105 3674 86190SH Sole
Boise Cascade Corp. COM 097383103 182 5000SH Sole
Boston Scientific Corp. COM 101137107 909 36800SH Sole
Briggs & Stratton Co COM 109043109 269 4600SH Sole
Bristol-Myers Squibb Co. COM 110122108 12656 187500SH Sole
Brown-Forman Corp. COM 115637209 589 9450SH Sole
Brunswick Corp. COM 117043109 199 8000SH Sole
Burlington North Sante Fe CorCOM 12189T104 1147 41717SH Sole
Burlington Resources, Inc. COM 122014103 587 15974SH Sole
CBS Corporation COM 12490K107 2923 63200SH Sole
Cigna Corp. COM 125509109 1617 20800SH Sole
CMS Energy Corp COM 125896100 360 10600SH Sole
CSX Corp. COM 126408103 833 19660SH Sole
CVS Corp. COM 126650100 1437 35200SH Sole
Cabletron Systems, Inc. COM 126920107 243 15500SH Sole
Campbell Soup Co. COM 134429109 1761 45000SH Sole
Capital One Financial Corp. COM 14040H105 690 17699SH Sole
Cardinal Health, Inc. COM 14149Y108 1330 24400SH Sole
Carnival Corp. COM 143658102 2393 55000SH Sole
Carolina Power & Light Co. COM 144141108 502 14200SH Sole
Case Equipment COM 14743R103 349 7000SH Sole
Caterpillar, Inc. COM 149123101 1749 31900SH Sole
Cendant Corporation COM 151313103 1146 64571SH Sole
Centex Corp. COM 152312104 154 5200SH Sole
Central & South West Corp. COM 152357109 399 18900SH Sole
Centurytel Inc. COM 156700106 508 12500SH Sole
Ceridian Corp. COM 15677T106 318 12800SH Sole
Champion International Co. COM 158525105 442 8600SH Sole
<PAGE>
Chase Manhattan Corp COM 16161A108 5739 76136SH Sole
Chevron Corp. COM 166751107 5245 59100SH Sole
Chubb Corp. COM 171232101 797 16000SH Sole
Cincinnati Financial Corp. COM 172062101 555 14800SH Sole
Cinergy Corp. COM 172474108 405 14290SH Sole
Circuit City Stores, Inc. COM 172737108 759 18000SH Sole
Cisco Systems, Inc. COM 17275R102 20771 302950SH Sole
Citigroup, Inc. COM 172967101 13614 309403SH Sole
Clear Channel Communications COM 184502102 2428 30400SH Sole
Clorox Co. COM 189054109 811 21200SH Sole
Coastal Corp. COM 190441105 786 19200SH Sole
Coca Cola Co. COM 191216100 11141 231800SH Sole
Coca Cola Enterprises, Inc. COM 191219104 857 38000SH Sole
Colgate Palmolive Co. COM 194162103 2397 52400SH Sole
Columbia Gas System, Inc. COM 197648108 410 7400SH Sole
Columbia HCA/Healthcare Corp.COM 197677107 1067 50350SH Sole
Comcast Corp. CL-A Spl COM 200300200 2672 67000SH Sole
Comerica, Inc. COM 200340107 704 13900SH Sole
Compaq Computer Corp. COM 204493100 3497 152462SH Sole
Computer Associates Intl, IncCOM 204912109 3232 52762SH Sole
Computer Sciences Corp. COM 205363104 1139 16200SH Sole
Compuware Corp. COM 205638109 1035 39700SH Sole
Conagra, Inc. COM 205887102 984 43600SH Sole
Conoco Inc COM 208251405 1533 56000SH Sole
Conseco, Inc. COM 208464107 671 34755SH Sole
Consolidated Edison, Inc. COM 209115104 1042 25100SH Sole
Consolidated Natural Gas Co. COM 209615103 536 8600SH Sole
Consolidated Stores Corp. COM 210149100 212 9600SH Sole
Constellation Energy Group COM 210371100 373 13250SH Sole
Continental Information SysteCOM 211497102 2 1941SH Sole
Cooper Industries, Inc. COM 216669101 393 8400SH Sole
Cooper Tire & Rubber Co. COM 216831107 118 6700SH Sole
Coors (Adolph) CL B 217016104 173 3200SH Sole
Corning, Inc. COM 219350105 1522 22200SH Sole
Costco Companies COM 22160K105 1430 19856SH Sole
Countrywide Credit Ind., Inc.COM 222372104 323 10000SH Sole
Crane Co. COM 224399105 274 12225SH Sole
Crown Cork & Seal Co., Inc. COM 228255105 264 10900SH Sole
Cummins Engine Co. COM 231021106 189 3800SH Sole
Cypres Amax Minerals Co. COM 232809103 155 7900SH Sole
DTE Energy Co. COM 233331107 470 13000SH Sole
Dana Corp. COM 235811106 549 14789SH Sole
Danaher Corp COM 235851102 674 12800SH Sole
Darden Restaurants, Inc. COM 237194105 225 11500SH Sole
Data General Corp. COM 237688106 91 4300SH Sole
Dayton Hudson Corp. COM 239753106 2391 39800SH Sole
Deere & Co. COM 244199105 812 21000SH Sole
Dell Computer Corp. COM 247025109 10031 239900SH Sole
Delphi Auto Systems Corp COM 247126105 813 50620SH Sole
Delta Air Lines Del COM 247361108 791 16300SH Sole
Deluxe Corp. COM 248019101 435 12800SH Sole
Dillards Inc. COM 254067101 191 9400SH Sole
The Walt Disney Co. COM 254687106 4916 189996SH Sole
Dollar General Corp. COM 256669102 617 19975SH Sole
Dominion Resources, Inc. COM 257470104 776 17200SH Sole
Donnelley, R. R. & Sons Co. COM 257867101 424 14700SH Sole
Dover Corp. COM 260003108 883 21600SH Sole
Dow Chemical Co. COM 260543103 2471 21750SH Sole
Dow Jones & Co, Inc. COM 260561105 438 8200SH Sole
<PAGE>
Du Pont (E.I.) De Nemours & CCOM 263534109 5333 87600SH Sole
Duke Energy Corp. COM 264399106 2070 37545SH Sole
Dun & Bradstreet (New) COM 26483B106 430 14400SH Sole
EG&G, Inc. COM 268457108 163 4100SH Sole
EMC Corp/Mass COM 268648102 6501 91000SH Sole
Eastern Enterprises COM 27637F100 107 2300SH Sole
Eastman Chemical Co. COM 277432100 403 10087SH Sole
Eastman Kodak Co. COM 277461109 2418 32050SH Sole
Eaton Corp. COM 278058102 561 6500SH Sole
Ecolab, Inc. COM 278865100 396 11600SH Sole
Ecoscience Corp. COM 279218200 2 4745SH Sole
Edison Internatioinal COM 281020107 751 30900SH Sole
Electronic Data Systems Corp COM 285661104 2599 49100SH Sole
Emerson Electric Co. COM 291011104 2742 43400SH Sole
Engelhard Corp. COM 292845104 200 11000SH Sole
Enron Corp. COM 293561106 2640 64000SH Sole
Entergy Corp. New COM 29364G103 637 22000SH Sole
Equifax Inc COM 294429105 357 12700SH Sole
Exxon Corp. COM 302290101 17367 228700SH Sole
FMC Corp. COM 302491303 140 2900SH Sole
FPL Group, Inc. COM 302571104 1023 20300SH Sole
FDX Corp COM 31304N107 1034 26680SH Sole
Federal Home Loan Mortgage COM 313400301 3458 66500SH Sole
Federal National Mortgage AssCOM 313586109 5761 91900SH Sole
Federated Department Stores,ICOM 31410H101 817 18700SH Sole
Fifth Third Bancorp COM 316773100 1480 24325SH Sole
First Data Corp. COM 319963104 1803 41100SH Sole
First Union Corp. COM 337358105 3173 89236SH Sole
Firstar Corporation COM 33763V109 2258 88110SH Sole
FirstEnergy Corp. COM 337932107 528 20700SH Sole
Fleet Financial Group, Inc. COM 338915101 2008 54828SH Sole
Fleetwood Enterprise COM 339099103 244 12100SH Sole
Florida Progress Corp. COM 341109106 407 8800SH Sole
Fluor Corp. COM 343861100 274 6800SH Sole
Ford Motor Co. COM 345370100 5827 116100SH Sole
Fort James Corporation COM 347471104 611 22900SH Sole
Fortune Brands, Inc. COM 349631101 474 14700SH Sole
Foster Wheeler COM 350244109 41 3400SH Sole
Franklin Resources, Inc. COM 354613101 811 26370SH Sole
Freeport-McMoran Copper & GOLCL B 35671D857 224 14400SH Sole
GPU, Inc. COM 36225X100 365 11200SH Sole
GTE Corp. COM 362320103 7149 93000SH Sole
Gannett Co, Inc. COM 364730101 2013 29100SH Sole
Gap, Inc. COM 364760108 2454 76700SH Sole
Gartner Group Incl CL B 366651206 0 0SH Sole
Gateway Inc. COM 367626108 1437 32340SH Sole
General Dynamics Corp. COM 369550108 1280 20500SH Sole
General Electric Co. COM 369604103 35972 303400SH Sole
General Instrument Corp COM 370120107 741 15400SH Sole
General Mills, Inc. COM 370334104 1274 15700SH Sole
General Motors Corp. COM 370442105 3644 57900SH Sole
Genuine Parts Co. COM 372460105 601 22625SH Sole
Georgia-Pacific Corp. COM 373298108 624 15400SH Sole
Gillette Co. COM 375766102 3299 97200SH Sole
Golden West Finance Corp. COM 381317106 511 5200SH Sole
Goodrich (B. F.) Co. COM 382388106 281 9700SH Sole
Goodyear Tire & Rubber Co. COM 382550101 872 18116SH Sole
Grace, W. R. & Co. COM 38388F108 100 6200SH Sole
Grainger (W. W.) COM 384802104 596 12400SH Sole
<PAGE>
Great Atlantic & Pacific Tea COM 390064103 103 3400SH Sole
Great Lakes Chemical Corp. COM 390568103 198 5200SH Sole
Guidant Corp COM 401698105 1448 27000SH Sole
HCR Manor Care, Inc. COM 404134108 162 9450SH Sole
Halliburton Co. COM 406216101 1759 42900SH Sole
Harcourt General, Inc. COM 41163G101 263 6317SH Sole
Harrah's Entertainment Corp. COM 413619107 316 11400SH Sole
Harris Corp. COM 413875105 193 7000SH Sole
Hartford Finl Serv Group COM 416515104 1034 25300SH Sole
Hasbro, Inc. COM 418056107 370 17237SH Sole
HealthSource Rehabilitation COM 421924101 224 37000SH Sole
Heinz (H.J.) & Co. COM 423074103 1385 32200SH Sole
Helmerich & Payne, Inc. COM 423452101 235 9300SH Sole
Hercules, Inc. COM 427056106 266 9300SH Sole
Hershey Foods Corp. COM 427866108 706 14500SH Sole
Hewlett Packard Co. COM 428236103 8722 94800SH Sole
Hilton Hotels Corp. COM 432848109 224 22700SH Sole
Home Depot, Inc. COM 437076102 9255 134870SH Sole
Homestake Mining Co. COM 437614100 213 23200SH Sole
Honeywell, Inc. COM 438506107 1436 12900SH Sole
Household International Corp.COM 441815107 1831 45638SH Sole
Humana, Inc. COM 444859102 102 14900SH Sole
Huntington Bancshares COM 446150104 545 20535SH Sole
IMS Health, Inc COM 449934108 639 28000SH Sole
ITT Inds, Inc. COM 450911102 255 8000SH Sole
Ikon Office Solutions, Inc COM 451713101 141 13200SH Sole
Illinois Tool Works, Inc. COM 452308109 1842 24700SH Sole
Inco Limited COM 453258402 366 17100SH Sole
Ingersoll Rand Co. COM 456866102 816 14850SH Sole
Intel Corp. COM 458140100 23030 309900SH Sole
IBM Corp. COM 459200101 20257 166900SH Sole
Intl Flavors & Fragrances, InCOM 459506101 449 13000SH Sole
International Paper Co. COM 460146103 1784 37125SH Sole
Interpublic Group Of Cos., InCOM 460690100 1040 25300SH Sole
Jefferson Pilot Corp. COM 475070108 802 12700SH Sole
Johnson & Johnson, Inc. COM 478160104 11631 126600SH Sole
Johnson Controls, Inc. COM 478366107 517 7800SH Sole
Jostens, Inc. COM 481088102 57 3000SH Sole
KLA-Tencor Corporation COM 482480100 507 7800SH Sole
K Mart Corp. COM 482584109 515 44100SH Sole
Kansas City Southern Inds COM 485170104 464 10000SH Sole
Kaufman & Broad Home Corp. COM 486168107 83 4000SH Sole
Kellogg Co. COM 487836108 1363 36400SH Sole
Kerr McGee Corp. COM 492386107 435 7904SH Sole
Keycorp New COM 493267108 1128 43700SH Sole
Kimberly-Clark Corp. COM 494368103 2796 53248SH Sole
King World Productions, Inc. COM 495667107 240 6400SH Sole
Knight-Ridder, Inc. COM 499040103 406 7400SH Sole
Kohl's Department Stores COM 500255104 965 14600SH Sole
Kroger Co. COM 501044101 1637 74200SH Sole
LTV Corp. COM 501921100 195 35914SH Sole
LSI Logic Corp. COM 502161102 680 13200SH Sole
Laidlaw, Inc. COM 50730K503 199 29500SH Sole
Lehman Brothers Holdings COM 524908100 752 12900SH Sole
Lexmark Intl Group, Inc. CL A 529771107 1135 14100SH Sole
Lifepoint Hospitals Inc. COM 53219L109 0 1SH Sole
Lilly Eli & Co. COM 532457108 6662 104100SH Sole
Limited, Inc. COM 532716107 952 24900SH Sole
Lincoln National Corp. COM 534187109 849 22600SH Sole
Liz Claiborne, Inc. COM 539320101 164 5300SH Sole
<PAGE>
Lockheed Martin Corp. COM 539830109 1288 39388SH Sole
Loews Corp. COM 540424108 842 12000SH Sole
Longs Drug Stores Corp COM 543162101 102 3400SH Sole
Louisiana Pacific Corp. COM 546347105 147 9426SH Sole
Lowes Companies, Inc. COM 548661107 1667 34200SH Sole
Lucent Technologies, Inc. COM 549463107 18233 281054SH Sole
MBIA, Inc. COM 55262C100 522 11200SH Sole
MBNA Corp. COM 55262L100 1639 71830SH Sole
MCI Worldcom, Inc. COM 55268B106 12263 170613SH Sole
MGIC Investment Corp. COM 552848103 664 13900SH Sole
Mallinckrodt, Inc. New COM 561232109 190 6300SH Sole
Marsh & McLennan Cos., Inc. COM 571748102 1808 26400SH Sole
Marriott International, Inc. CL A 571903202 724 22150SH Sole
Masco Corp. COM 574599106 1228 39600SH Sole
Mattel, Inc. COM 577081102 713 37543SH Sole
May Department Stores Co. COM 577778103 1289 35366SH Sole
Maytag Corporation COM 578592107 253 7600SH Sole
McDermott Intl, Inc. COM 580037109 261 12900SH Sole
McDonalds' Corp. COM 580135101 5229 121600SH Sole
McGraw Hill, Inc. COM 580645109 1001 20700SH Sole
McKesson HBOC Inc. COM 58155Q103 731 25192SH Sole
Mead Corp. COM 582834107 316 9200SH Sole
Mediaone Group Inc. COM 58440J104 3723 54500SH Sole
Medtronic, Inc. COM 585055106 3884 109400SH Sole
Mellon Bank Corp. COM 585509102 1553 46000SH Sole
Mercantile Bancorp COM 587342106 0 0SH Sole
Merck & Co, Inc. COM 589331107 14330 221100SH Sole
Meredith Corporation COM 589433101 167 4600SH Sole
Meridian Medical Tech Inc COM 589658103 10 1885SH Sole
Merrill Lynch & Co., Inc. COM 590188108 2231 33200SH Sole
Microsoft Corp. COM 594918104 43271 477800SH Sole
Microcell Telecommunciations CL B N59501T304 446 34297SH Sole
Micron Technology, Inc. COM 595112103 1511 22700SH Sole
Milacron, Inc. COM 598709103 53 3000SH Sole
Millipore Corporation COM 601073109 154 4100SH Sole
Minnesota Mining & Mfg Co. COM 604059105 3718 38700SH Sole
Mirage Resorts Inc. COM 60462E104 248 17600SH Sole
Mobil Oil Corp. COM 607059102 7425 73700SH Sole
Monsanto Co. COM 611662107 2024 56700SH Sole
Morgan J P & Co. COM 616880100 1817 15900SH Sole
Morgan Stanley Dean Witter COM 617446448 4849 54369SH Sole
Motorola, Inc. COM 620076109 4805 54600SH Sole
Nabisco Group Holdings COM 62952P102 435 29000SH Sole
Nacco Industries COM 629579103 161 2300SH Sole
National City Corp. COM 635405103 1655 62000SH Sole
National Semiconductor Corp. COM 637640103 458 15000SH Sole
National Service Industries COM 637657107 252 8000SH Sole
Navistar Int'l COM 63934E108 279 6000SH Sole
NTAP COM 64120L104 487 6800SH Sole
New Century Energies Inc. COM 64352U103 341 10200SH Sole
NY Times Co, CL-A COM 650111107 1369 36504SH Sole
Newell Rubbermaid Inc. COM 651229106 717 25099SH Sole
Newmont Mining Corp. COM 651639106 384 14826SH Sole
Nextel Communications Inc COM 65332V103 2021 29800SH Sole
Niagara Mohawk Holdings COM 653520106 256 16600SH Sole
Nicor, Inc. COM 654086107 268 7200SH Sole
Nike, Inc. CL-B COM 654106103 1445 25400SH Sole
Nordstrom, Inc. COM 655664100 335 12400SH Sole
Norfolk Southern Corp. COM 655844108 835 34100SH Sole
Nortel Networks Corp. COM 656569100 6667 130720SH Sole
<PAGE>
Northern States Power Co. COM 665772109 298 13800SH Sole
Northern Trust Corp COM 665859104 843 10100SH Sole
Northrop Grumman Corp. COM 666807102 400 6300SH Sole
Novell, Inc. COM 670006105 617 29800SH Sole
Nucor Corp. COM 670346105 448 9400SH Sole
Occidental Petroleum Corp. COM 674599105 851 36800SH Sole
Occupational Health Plus RehaCOM 674617105 4 1150SH Sole
Office Depot, Inc. COM 676220106 340 33400SH Sole
Omnicom Group COM 681919106 1370 17300SH Sole
Oneok, Inc. COM 682680103 82 2700SH Sole
Oracle Corp. COM 68389X105 6067 133348SH Sole
Owens Corning COM 69073F103 100 4600SH Sole
Owens-Illinois Inc COM 690768403 273 13800SH Sole
Peco Energy Co. COM 693304107 630 16800SH Sole
PG&E Corp COM 69331C108 888 34300SH Sole
PE Corp-PE Biosystems Group COM 69332S102 665 9200SH Sole
PNC Bank Corp. COM 693475105 1549 29400SH Sole
PP&L Resources, Inc. COM 693499105 382 14100SH Sole
PPG Industries, Inc. COM 693506107 936 15600SH Sole
Paccar, Inc. COM 693718108 360 7070SH Sole
Pacificorp COM 695114108 535 26600SH Sole
Paine Webber Group, Inc. COM 695629105 471 13000SH Sole
Pall Corp. COM 696429307 254 10933SH Sole
Parametric Technology Corp COM 699173100 324 24000SH Sole
Parker Hannifin Corp. COM 701094104 437 9750SH Sole
Paychex Inc. COM 704326107 751 22000SH Sole
Penney, J.C., Inc. COM 708160106 811 23600SH Sole
Peoples Energy Corp. COM 711030106 109 3100SH Sole
PeopleSoft COM 712713106 366 21600SH Sole
Pep Boys - Manny, Moe & Jack COM 713278109 67 4500SH Sole
Pepsico, Inc. COM 713448108 3966 131100SH Sole
Pharmacia & Upjohn COM 716941109 2253 45400SH Sole
Pfizer, Inc. COM 717081103 12711 353700SH Sole
Phelps Dodge Corp. COM 717265102 281 5100SH Sole
Philip Morris Cos., Inc. COM 718154107 7795 228000SH Sole
Phillips Petroleum Co. COM 718507106 1116 22900SH Sole
Pioneer Hi Bred Intl, Inc. COM 723686101 852 21400SH Sole
Pitney Bowes, Inc. COM 724479100 1463 24000SH Sole
Placer Dome, Inc. COM 725906101 430 28891SH Sole
Polaroid Corp. COM 731095105 99 3800SH Sole
Polymedica Corp. COM 731738100 0 1SH Sole
Potlatch Corp COM 737628107 107 2600SH Sole
Praxair, Inc. COM 74005P104 662 14400SH Sole
Procter & Gamble Co. COM 742718109 11727 125084SH Sole
Progressive Corp-Ohio COM 743315103 547 6700SH Sole
Providian Financial Corp. COM 74406A102 1014 12800SH Sole
Public Svc Enterprise Grp, InCOM 744573106 900 23300SH Sole
Pulte Corp. COM 745867101 78 3600SH Sole
Quaker Oats Co. COM 747402105 743 12000SH Sole
Qualcomm, Inc. Common Stock COM 747525103 2724 14400SH Sole
Ralston Purina Co. COM 751277302 804 28900SH Sole
Raytheon Co. CL B 755111408 1504 30300SH Sole
Reebok International, Inc. COM 758110100 50 4700SH Sole
Regions Financial Corp COM 758940100 696 23200SH Sole
Reliant Energy Inc. COM 75952J108 711 26270SH Sole
Republic New York Corp. COM 760719104 590 9600SH Sole
Reynolds Metals Co. COM 761763101 344 5700SH Sole
Rite Aid Corp. COM 767754104 318 23000SH Sole
Rockwell International Corp COM 773903109 903 17200SH Sole
Rohm & Haas Co. COM 775371107 878 24318SH Sole
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Rowan Cos. COM 779382100 117 7200SH Sole
Royal Dutch Petroleum Co. COM 780257804 11588 196200SH Sole
Russell Corp. COM 782352108 40 2800SH Sole
Ryder System, Inc. COM 783549108 126 6200SH Sole
SBC Communications, Inc. COM 78387G103 9411 184298SH Sole
SLM Holding Corp COM 78442A109 625 14537SH Sole
Safeco Corp. COM 786429100 328 11700SH Sole
Safeway, Inc. COM 786514208 3646 95800SH Sole
St. Jude Medical, Inc. COM 790849103 233 7400SH Sole
St Paul Cos., Inc. COM 792860108 556 20200SH Sole
Sara Lee Corp. COM 803111103 1894 80800SH Sole
Schering-Plough Corp. COM 806605101 6086 139500SH Sole
Schlumberger Ltd COM 806857108 3060 49100SH Sole
Schwab (Charles) Corp. COM 808513105 2468 73250SH Sole
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Seagate Technology, Inc. COM 811804103 610 19800SH Sole
Seagram Cos., Ltd COM 811850106 1920 42200SH Sole
Sealed Air Corp COM 81211K100 387 7537SH Sole
Sears, Roebuck And Co. COM 812387108 1151 36700SH Sole
Sempra Energy COM 816851109 445 21378SH Sole
Service Corp. International COM 817565104 256 24200SH Sole
Shared Medical System COM 819486101 238 5100SH Sole
Sherwin Williams Co. COM 824348106 410 19600SH Sole
Sigma-Aldrich COM 826552101 289 9100SH Sole
Silicon Graphics, Inc. COM 827056102 183 16700SH Sole
Snap-On, Inc. COM 833034101 185 5700SH Sole
Solectron Corp COM 834182107 1738 24200SH Sole
Sonat, Inc. COM 835415100 611 15400SH Sole
Southern Co. COM 842587107 1573 61100SH Sole
Southtrust Corp. COM 844730101 538 15000SH Sole
Southwest Airlines COM 844741108 683 44999SH Sole
Springs Industries, Inc. COM 851783100 51 1500SH Sole
Sprint Corp. COM 852061100 4221 77800SH Sole
Sprint Corp. PCS CO852061506 2938 39400SH Sole
Stanley Works COM 854616109 196 7800SH Sole
Staples, Inc. COM 855030102 905 41500SH Sole
State Street Corp COM 857477103 937 14500SH Sole
Summit Bancorp COM 866005101 613 18900SH Sole
Sun Microsystems, Inc. COM 866810104 6808 73200SH Sole
Sunoco Inc. COM 86764P109 375 13700SH Sole
Suntrust Banks, Inc. COM 867914103 1913 29100SH Sole
Supervalu, Inc. COM 868536103 384 17600SH Sole
Synovus Financial Corp COM 87161C105 454 24300SH Sole
Sysco Corp. COM 871829107 1045 29800SH Sole
TJX Companies, Inc. COM 872540109 1007 35900SH Sole
TRW, Inc. COM 872649108 547 11000SH Sole
Tandy Corp. COM 875382103 899 17400SH Sole
Tektronix, Inc. COM 879131100 137 4100SH Sole
Tellabs, Inc. COM 879664100 2175 38200SH Sole
Temple-Inland, Inc. COM 879868107 315 5200SH Sole
Tenet Healthcare Corp. COM 88033G100 486 27700SH Sole
Tenneco, Inc. COM 88037E101 255 15000SH Sole
Texaco, Inc. COM 881694103 3137 49700SH Sole
Texas Instruments, Inc. COM 882508104 5807 70600SH Sole
Texas Utilities Co. COM 882848104 927 24850SH Sole
Textron, Inc. COM 883203101 1052 13600SH Sole
Thermo Electron Corp COM 883556102 187 13900SH Sole
Thomas & Betts Co. COM 884315102 255 5000SH Sole
3 Com Corp. COM 885535104 917 31900SH Sole
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Time Warner, Inc. COM 887315109 7057 116160SH Sole
Times Mirror Co. COM SE887364107 421 6400SH Sole
Timken Company COM 887389104 87 5400SH Sole
Torchmark Corp. COM 891027104 305 11800SH Sole
Tosco Corp. COM 891490302 338 13400SH Sole
Toys-R-Us, Inc. COM 892335100 331 22050SH Sole
Triad Hospitals Inc. COM 89579K109 0 1SH Sole
Tricon Global Restaurants COM 895953107 568 13870SH Sole
Tribune Co. COM 896047107 1055 21200SH Sole
Tupperware Corp COM 899896104 103 5100SH Sole
Tyco International LTD COM 902124106 7781 75360SH Sole
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UST, Inc. COM 902911106 652 21600SH Sole
U.S. Bancorp COM 902973106 2126 70411SH Sole
USX-U.S. Steel COM 90337T101 199 7720SH Sole
Unilever Nv COM 904784709 3494 51281SH Sole
Unicom Corp. COM 904911104 713 19300SH Sole
Union Carbide Corp. COM 905581104 682 12000SH Sole
Union Pacific Corp. COM 907818108 1072 22300SH Sole
Union Pacific Resources Grp COM 907834105 358 22283SH Sole
Union Planters Corp. COM 908068109 522 12800SH Sole
Unisys Corp. COM 909214108 1232 27300SH Sole
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USAir Group, Inc. COM 911905107 226 8600SH Sole
U. S. West Inc. COM 91273H101 2791 48904SH Sole
United Technologies, Inc. COM 913017109 2823 47600SH Sole
Unocal Corp. COM 915289102 801 21600SH Sole
UnumProvident Corporation COM 91529Y106 630 21406SH Sole
V F Corp. COM 918204108 477 15400SH Sole
Viacom, Inc. COM 925524308 2755 65206SH Sole
Vulcan Materials Company COM 929160109 450 12300SH Sole
Wachovia Corp. COM 929771103 1431 18200SH Sole
Wal-Mart Stores, Inc. COM 931142103 19468 409300SH Sole
Walgreen Co. COM 931422109 2279 89800SH Sole
Warner Lambert Co. COM 934488107 5277 79500SH Sole
Washington Mutual Inc COM 939322103 1518 51890SH Sole
Waste Management, Inc New COM 94106L109 1062 55192SH Sole
Watson Pharmaceuticals COM 942683103 263 8600SH Sole
Wellpoint Health Networks COM 94973H108 445 7800SH Sole
Wells Fargo & Company (New) COM 949746101 5789 146090SH Sole
Wendy's International, Inc. COM 950590109 282 10700SH Sole
Westvaco Corp. COM 961548104 227 8862SH Sole
Weyerhaeuser Co. COM 962166104 1046 18150SH Sole
Whirlpool Corp. COM 963320106 444 6800SH Sole
Willamette Industries, Inc. COM 969133107 427 9900SH Sole
Williams Companies, Inc. COM 969457100 1456 38900SH Sole
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Xerox Corp. COM 984121103 2500 59600SH Sole
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