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 December 31, 1999
(Please read instructions before preparing form)
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: ALLMERICA ASSET MANAGEMENT, INC.
STREET: 440 LINCOLN STREET
CITY: WORCESTER,
STATE: MA
ZIP: 01653
Form 13F File Number: 028-05067
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: 2/14/2000
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: 509 number of line items
Form 13F Information Table Value Total: 1,067,444 thousands
List of Other Included Managers: None
<PAGE>
<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>
GLOBAL CROSSING LTD COM G3921A100 3269 65375SH Sole
A D C TELECOMMUNICATIONS COM 000886101 936 12900SH Sole
AFLAC INC COM 001055102 1081 22900SH Sole
AES CORP COM 00130H105 1331 17800SH Sole
AMR CORP COM 001765106 864 12900SH Sole
AT&T CORP COM 001957109 13988 275620SH Sole
ABBOTT LABS COM 002824100 4815 132600SH Sole
ADAPTEC INC COM 00651F108 439 8800SH Sole
ADOBE SYS INC COM 00724F101 706 10500SH Sole
ADVANCED RADIO TELECOM CORP COM 00754U101 971 40470SH Sole
ADVANCED MICRO DEVICES INC COM 007903107 365 12600SH Sole
AETNA INC COM 008117103 721 12927SH Sole
AIR PRODS & CHEMS INC COM 009158106 661 19700SH Sole
ALBERTO CULVER CO CL B CO013068101 116 4500SH Sole
ALBERTSONS INC COM 013104104 1171 36324SH Sole
ALCAN ALUMINIUM LTD NEW COM 013716105 772 18750SH Sole
ALCOA INC COM 013817101 2631 31700SH Sole
ALLEGHENY TECHNOLOGIES INC COM 01741R102 178 7946SH Sole
ALLERGAN INC COM 018490102 557 11200SH Sole
ALLIED WASTE INDS INC COM PAR019589308 141 16000SH Sole
ALLMERICA SECS TR SH BEN 019921105 795 90178SH Sole
ALLSTATE CORP COM 020002101 1666 69422SH Sole
ALLTEL CORP COM 020039103 2249 27200SH Sole
ALZA CORP DEL COM 022615108 298 8600SH Sole
AMERADA HESS CORP COM 023551104 437 7700SH Sole
AMEREN CORP COM 023608102 383 11700SH Sole
AMERICA ONLINE INC DEL COM 02364J104 14546 192820SH Sole
AMERICAN ELEC PWR INC COM 025537101 533 16600SH Sole
AMERICAN EXPRESS CO COM 025816109 6434 38700SH Sole
AMERICAN GENERAL CORP COM 026351106 1614 21271SH Sole
AMERICAN GREETINGS CORP CL A 026375105 125 5300SH Sole
AMERICAN HOME PRODS CORP COM 026609107 4445 112700SH Sole
AMERICAN INTL GROUP INC COM 026874107 14445 133596SH Sole
AMGEN INC COM 031162100 5292 88100SH Sole
AMSOUTH BANCORPORATION COM 032165102 649 33600SH Sole
ANADARKO PETE CORP COM 032511107 369 10800SH Sole
ANALOG DEVICES INC COM 032654105 1414 15200SH Sole
ANDREW CORP COM 034425108 129 6800SH Sole
ANHEUSER BUSCH COS INC COM 035229103 2842 40100SH Sole
AON CORP COM 037389103 883 22075SH Sole
APACHE CORP COM 037411105 366 9900SH Sole
APPLE COMPUTER INC COM 037833100 1439 14000SH Sole
APPLIED MATLS INC COM 038222105 4168 32900SH Sole
ARCHER DANIELS MIDLAND CO COM 039483102 637 52284SH Sole
ARMSTRONG WORLD INDS INC COM 042476101 117 3500SH Sole
ASHLAND INC COM 044204105 201 6100SH Sole
ASSOCIATES FIRST CAP CORP CL A 046008108 1723 62788SH Sole
ATLANTIC RICHFIELD CO COM 048825103 2413 27900SH Sole
AUTODESK INC COM 052769106 176 5200SH Sole
AUTOMATIC DATA PROCESSING INCCOM 053015103 2909 54000SH Sole
AUTOZONE INC COM 053332102 401 12400SH Sole
AVERY DENNISON CORP COM 053611109 721 9900SH Sole
AVON PRODS INC COM 054303102 683 20700SH Sole
<PAGE>
BB&T CORP COM 054937107 777 28400SH Sole
BMC SOFTWARE INC COM 055921100 1679 21000SH Sole
BAKER HUGHES INC COM 057224107 593 28170SH Sole
BALL CORP COM 058498106 102 2600SH Sole
BANK OF AMERICA CORPORATION COM 060505104 7394 147321SH Sole
BANK NEW YORK INC COM 064057102 2540 63500SH Sole
BANK ONE CORP COM 06423A103 3172 98928SH Sole
BARD C R INC COM 067383109 244 4600SH Sole
BARRICK GOLD CORP COM 067901108 598 33800SH Sole
BAUSCH & LOMB INC COM 071707103 349 5100SH Sole
BAXTER INTL INC COM 071813109 1589 25300SH Sole
BEAR STEARNS COS INC COM 073902108 438 10247SH Sole
BECTON DICKINSON & CO COM 075887109 572 21400SH Sole
BED BATH & BEYOND INC COM 075896100 417 12000SH Sole
BELL ATLANTIC CORP COM 077853109 8251 134022SH Sole
BELLSOUTH CORP COM 079860102 7602 162400SH Sole
BEMIS INC COM 081437105 153 4400SH Sole
BEST BUY INC COM 086516101 883 17600SH Sole
BESTFOODS COM 08658U101 1267 24100SH Sole
BETHLEHEM STL CORP COM 087509105 93 11100SH Sole
BIOMET INC COM 090613100 384 9600SH Sole
BLACK & DECKER CORP COM 091797100 392 7500SH Sole
BLOCK H & R INC COM 093671105 372 8500SH Sole
BOEING CO COM 097023105 3345 80490SH Sole
BOISE CASCADE CORP COM 097383103 190 4700SH Sole
BOSTON SCIENTIFIC CORP COM 101137107 777 35500SH Sole
BRIGGS & STRATTON CORP COM 109043109 113 2100SH Sole
BRISTOL MYERS SQUIBB CO COM 110122108 10982 171100SH Sole
BROWN FORMAN CORP CL B 115637209 341 5950SH Sole
BRUNSWICK CORP COM 117043109 171 7700SH Sole
BURLINGTON NORTHN SANTA FE CPCOM 12189T104 953 39317SH Sole
BURLINGTON RES INC COM 122014103 617 18674SH Sole
CBS CORP COM 12490K107 4206 65784SH Sole
CIGNA CORP COM 125509109 1289 16000SH Sole
CMS ENERGY CORP COM 125896100 309 9900SH Sole
CSX CORP COM 126408103 585 18660SH Sole
<PAGE>
CVS CORP COM 126650100 1342 33600SH Sole
CABLETRON SYS INC COM 126920107 400 15400SH Sole
CAMPBELL SOUP CO COM 134429109 1420 36700SH Sole
CAPITAL ONE FINL CORP COM 14040H105 819 16999SH Sole
CARDINAL HEALTH INC COM 14149Y108 1159 24200SH Sole
CARNIVAL CORP COM 143658102 2544 53200SH Sole
CAROLINA PWR & LT CO COM 144141108 414 13600SH Sole
CATERPILLAR INC DEL COM 149123101 1445 30700SH Sole
CENDANT CORP COM 151313103 1620 60971SH Sole
CENTEX CORP COM 152312104 123 5000SH Sole
CENTRAL & SOUTH WEST CORP COM 152357109 362 18100SH Sole
CENTURYTEL INC COM 156700106 569 12000SH Sole
CERIDIAN CORP COM 15677T106 267 12400SH Sole
CHAMPION INTL CORP COM 158525105 508 8200SH Sole
CHASE MANHATTAN CORP NEW COM 16161A108 5526 71136SH Sole
CHEVRON CORPORATION COM 166751107 4912 56700SH Sole
CHUBB CORP COM 171232101 850 15100SH Sole
CINCINNATI FINL CORP COM 172062101 440 14100SH Sole
CINERGY CORP COM 172474108 325 13490SH Sole
CIRCUIT CITY STORE INC CIRCT C172737108 789 17500SH Sole
CISCO SYS INC COM 17275R102 30236 282250SH Sole
CITIGROUP INC COM 172967101 16158 290803SH Sole
CITRIX SYS INC COM 177376100 972 7900SH Sole
CLEAR CHANNEL COMMUNICATIONS COM 184502102 2615 29300SH Sole
CLOROX CO DEL COM 189054109 1028 20400SH Sole
COASTAL CORP COM 190441105 649 18300SH Sole
COCA COLA CO COM 191216100 12407 213000SH Sole
COCA COLA ENTERPRISES INC COM 191219104 739 36700SH Sole
COLGATE PALMOLIVE CO COM 194162103 3270 50300SH Sole
COLUMBIA ENERGY GROUP COM 197648108 449 7100SH Sole
COLUMBIA/HCA HEALTHCARE CORP COM 197677107 1423 48550SH Sole
COMCAST CORP CL A SP200300200 3282 64900SH Sole
COMERICA INC COM 200340107 630 13500SH Sole
COMPAQ COMPUTER CORP COM 204493100 3964 146462SH Sole
COMPUTER ASSOC INTL INC COM 204912109 3263 46662SH Sole
COMPUTER SCIENCES CORP COM 205363104 1382 14600SH Sole
COMPUWARE CORP COM 205638109 1144 30700SH Sole
COMVERSE TECHNOLOGY INC COM PAR205862402 912 6300SH Sole
CONAGRA INC COM 205887102 952 42200SH Sole
CONOCO INC CL B 208251405 1336 53700SH Sole
CONSECO INC COM 208464107 501 28055SH Sole
CONSOLIDATED EDISON INC COM 209115104 656 19000SH Sole
CONSOLIDATED NAT GAS CO COM 209615103 532 8200SH Sole
CONSOLIDATED STORES CORP COM 210149100 151 9300SH Sole
CONSTELLATION ENERGY CORP COM 210371100 373 12850SH Sole
CONTINENTAL INFORMATN SYS NEWCOM 211497102 3 1941SH Sole
CONVERGENT COMMUNICATIONS INCCOM NEW211914403 257 16200SH Sole
COOPER INDS INC COM 216669101 324 8000SH Sole
COOPER TIRE & RUBR CO COM 216831107 100 6400SH Sole
COORS ADOLPH CO CL B 217016104 173 3300SH Sole
CORNING INC COM 219350105 2746 21300SH Sole
COSTCO WHSL CORP NEW COM 22160K105 1748 19156SH Sole
COUNTRYWIDE CR INDS INC DEL COM 222372104 242 9600SH Sole
CRANE CO COM 224399105 110 5525SH Sole
CROWN CORK & SEAL INC COM 228255105 228 10200SH Sole
CUMMINS ENGINE INC COM 231021106 179 3700SH Sole
DTE ENERGY CO COM 233331107 389 12400SH Sole
DANA CORP COM 235811106 422 14089SH Sole
DANAHER CORP DEL COM 235851102 589 12200SH Sole
DARDEN RESTAURANTS INC COM 237194105 201 11100SH Sole
DAYTON HUDSON CORP COM 239753106 2791 38000SH Sole
DEERE & CO COM 244199105 876 20200SH Sole
DELL COMPUTER CORP COM 247025109 11184 219300SH Sole
DELPHI AUTOMOTIVE SYS CORP COM 247126105 764 48521SH Sole
DELTA AIR LINES INC DEL COM 247361108 573 11500SH Sole
DELUXE CORP COM 248019101 173 6300SH Sole
DILLARDS INC CL A 254067101 182 9000SH Sole
DISNEY WALT CO COM DIS254687106 5201 177796SH Sole
DOLLAR GEN CORP COM 256669102 516 22675SH Sole
<PAGE>
DOMINION RES INC VA COM 257470104 648 16500SH Sole
DONNELLEY R R & SONS CO COM 257867101 268 10800SH Sole
DOVER CORP COM 260003108 799 17600SH Sole
DOW CHEM CO COM 260543103 2546 19050SH Sole
DOW JONES & CO INC COM 260561105 524 7700SH Sole
DU PONT E I DE NEMOURS & CO COM 263534109 5942 90200SH Sole
DUKE ENERGY CORP COM 264399106 1576 31445SH Sole
DUN & BRADSTREET CORP DEL COM 26483B106 407 13800SH Sole
E M C CORP MASS COM 268648102 9597 87843SH Sole
EASTERN ENTERPRISES COM 27637F100 138 2400SH Sole
EASTMAN CHEM CO COM 277432100 324 6787SH Sole
EASTMAN KODAK CO COM 277461109 1799 27150SH Sole
EATON CORP COM 278058102 472 6500SH Sole
ECOLAB INC COM 278865100 434 11100SH Sole
EDISON INTL COM 281020107 780 29800SH Sole
EL PASO ENERGY CORP DEL COM 283905107 765 19700SH Sole
ELECTRONIC DATA SYS NEW COM 285661104 2724 40700SH Sole
EMERSON ELEC CO COM 291011104 2152 37500SH Sole
ENGELHARD CORP COM 292845104 202 10700SH Sole
ENRON CORP COM 293561106 2738 61700SH Sole
ENTERGY CORP NEW COM 29364G103 543 21100SH Sole
EQUIFAX INC COM 294429105 285 12100SH Sole
EXXON MOBIL CORP COM 30231G102 24018 298126SH Sole
F M C CORP COM NEW302491303 160 2800SH Sole
FPL GROUP INC COM 302571104 655 15300SH Sole
FDX CORP COM 31304N107 1051 25680SH Sole
FEDERAL HOME LN MTG CORP COM 313400301 2824 60000SH Sole
FEDERAL NATL MTG ASSN COM 313586109 5513 88300SH Sole
FEDERATED DEPT STORES INC DELCOM 31410H101 920 18200SH Sole
FIFTH THIRD BANCORP COM 316773100 1961 26725SH Sole
FIRST DATA CORP COM 319963104 1785 36200SH Sole
FIRST UN CORP COM 337358105 2794 85136SH Sole
FIRSTAR CORP NEW WIS COM 33763V109 1783 84410SH Sole
FIRSTENERGY CORP COM 337932107 451 19900SH Sole
FLEETBOSTON FINL CORP COM 339030108 2748 78933SH Sole
FLEETWOOD ENTERPRISES INC COM 339099103 58 2800SH Sole
FLORIDA PROGRESS CORP COM 341109106 360 8500SH Sole
FLUOR CORP COM 343861100 307 6700SH Sole
FORD MTR CO DEL COM 345370100 5563 104100SH Sole
FORT JAMES CORP COM 347471104 509 18600SH Sole
FORTUNE BRANDS INC COM 349631101 466 14100SH Sole
FOSTER WHEELER CORP COM 350244109 31 3500SH Sole
FRANKLIN RES INC COM 354613101 688 21470SH Sole
FREEPORT-MCMORAN COPPER & GOLCL B 35671D857 294 13900SH Sole
GPU INC COM 36225X100 320 10700SH Sole
GTE CORP COM 362320103 5913 83800SH Sole
GANNETT INC COM 364730101 1966 24100SH Sole
GAP INC DEL COM 364760108 3390 73700SH Sole
GATEWAY INC COM 367626108 1970 27340SH Sole
GENERAL DYNAMICS CORP COM 369550108 913 17300SH Sole
GENERAL ELEC CO COM 369604103 43810 283100SH Sole
GENERAL INSTR CORP DEL COM 370120107 1292 15200SH Sole
GENERAL MLS INC COM 370334104 937 26200SH Sole
GENERAL MTRS CORP COM 370442105 4012 55200SH Sole
GENUINE PARTS CO COM 372460105 378 15225SH Sole
GEORGIA PAC CORP COM GA 373298108 741 14600SH Sole
GILLETTE CO COM 375766102 3810 92500SH Sole
GOLDEN WEST FINL CORP DEL COM 381317106 459 13700SH Sole
GOODRICH B F CO COM 382388106 253 9200SH Sole
GOODYEAR TIRE & RUBR CO COM 382550101 373 13216SH Sole
GRACE W R & CO DEL NEW COM 38388F108 82 5900SH Sole
GRAINGER W W INC COM 384802104 378 7900SH Sole
GREAT ATLANTIC & PAC TEA INC COM 390064103 86 3100SH Sole
GREAT LAKES CHEM CORP COM 390568103 191 5000SH Sole
GUIDANT CORP COM 401698105 1246 26500SH Sole
HALLIBURTON CO COM 406216101 1530 38000SH Sole
HARCOURT GEN INC COM 41163G101 246 6117SH Sole
HARRAHS ENTMT INC COM 413619107 291 11000SH Sole
HARTFORD FINL SVCS GROUP INC COM 416515104 905 19100SH Sole
<PAGE>
HASBRO INC COM 418056107 317 16637SH Sole
HEALTHSOUTH CORP COM 421924101 177 33000SH Sole
HEINZ H J CO COM 423074103 1230 30900SH Sole
HELMERICH & PAYNE INC COM 423452101 89 4100SH Sole
HERCULES INC COM 427056106 248 8900SH Sole
HERSHEY FOODS CORP COM 427866108 570 12000SH Sole
HEWLETT PACKARD CO COM 428236103 10027 88000SH Sole
HILTON HOTELS CORP COM 432848109 305 31700SH Sole
HOME DEPOT INC COM 437076102 13624 198705SH Sole
HOMESTAKE MNG CO COM 437614100 173 22100SH Sole
HONEYWELL INTL INC COM 438516106 3937 68250SH Sole
HOUSEHOLD INTL INC COM 441815107 1510 40538SH Sole
HUMANA INC COM 444859102 116 14200SH Sole
HUNTINGTON BANCSHARES INC COM 446150104 469 19635SH Sole
HUTTIG BLDG PRODS INC COM 448451104 0 0SH Sole
IMS HEALTH INC COM 449934108 715 26300SH Sole
ITT INDS INC IND COM 450911102 251 7500SH Sole
IKON OFFICE SOLUTIONS INC COM 451713101 87 12700SH Sole
ILLINOIS TOOL WKS INC COM 452308109 1743 25800SH Sole
INCO LTD COM 453258402 385 16400SH Sole
INGERSOLL-RAND CO COM 456866102 779 14150SH Sole
INTEL CORP COM 458140100 23731 288300SH Sole
INTERNATIONAL BUSINESS MACHS COM 459200101 16816 155700SH Sole
INTERNATIONAL FLAVORS&FRAGRANCOM 459506101 340 9000SH Sole
INTL PAPER CO COM 460146103 2022 35824SH Sole
INTERPUBLIC GROUP COS INC COM 460690100 1390 24100SH Sole
JEFFERSON PILOT CORP COM 475070108 628 9200SH Sole
JOHNSON & JOHNSON COM 478160104 11175 120000SH Sole
JOHNSON CTLS INC COM 478366107 410 7200SH Sole
JOSTENS INC COM 481088102 66 2700SH Sole
KLA-TENCOR CORP COM 482480100 880 7900SH Sole
K MART CORP COM 482584109 427 42400SH Sole
KANSAS CITY SOUTHN INDS INC COM 485170104 716 9600SH Sole
KAUFMAN & BROAD HOME CORP COM 486168107 92 3800SH Sole
KELLOGG CO COM 487836108 1072 34800SH Sole
KERR MCGEE CORP COM 492386107 465 7504SH Sole
KEYCORP NEW COM 493267108 847 38300SH Sole
KIMBERLY CLARK CORP COM 494368103 3076 47148SH Sole
KNIGHT RIDDER INC COM 499040103 428 7200SH Sole
KOHLS CORP COM 500255104 1018 14100SH Sole
KROGER CO COM 501044101 1350 71500SH Sole
LTV CORP NEW COM 501921100 148 35914SH Sole
LSI LOGIC CORP COM 502161102 871 12900SH Sole
LEGGETT & PLATT INC COM 524660107 356 16600SH Sole
LEHMAN BROS HLDGS INC COM 524908100 889 10500SH Sole
LEXMARK INTL GROUP INC CL A 529771107 1005 11100SH Sole
LILLY ELI & CO COM 532457108 6258 94100SH Sole
LIMITED INC COM 532716107 801 18500SH Sole
LINCOLN NATL CORP IND COM 534187109 668 16700SH Sole
LIZ CLAIBORNE INC COM 539320101 188 5000SH Sole
LOCKHEED MARTIN CORP COM 539830109 741 33888SH Sole
LOEWS CORP COM 540424108 558 9200SH Sole
LONGS DRUG STORES CORP COM 543162101 85 3300SH Sole
LOUISIANA PAC CORP COM 546347105 129 9026SH Sole
LOWES COS INC COM 548661107 1972 33000SH Sole
LUCENT TECHNOLOGIES INC COM 549463107 20226 270354SH Sole
MBIA INC COM 55262C100 449 8500SH Sole
MBNA CORP COM 55262L100 1878 68930SH Sole
MCI WORLDCOM INC COM 55268B106 12999 244970SH Sole
MGIC INVT CORP WIS COM 552848103 554 9200SH Sole
MALLINCKRODT INC NEW COM 561232109 188 5900SH Sole
MANOR CARE INC NEW COM 564055101 138 8650SH Sole
MARSH & MCLENNAN COS INC COM 571748102 2220 23200SH Sole
MARRIOTT INTL INC NEW CL A 571903202 677 21450SH Sole
MASCO CORP COM 574599106 974 38400SH Sole
MATTEL INC COM 577081102 472 35943SH Sole
MAY DEPT STORES CO COM 577778103 924 28666SH Sole
MAYTAG CORP COM 578592107 350 7300SH Sole
MCDERMOTT INTL INC COM 580037109 45 5000SH Sole
MCDONALDS CORP COM 580135101 4704 116700SH Sole
<PAGE>
MCGRAW HILL COS INC COM 580645109 1041 16900SH Sole
MCKESSON HBOC INC COM 58155Q103 544 24092SH Sole
MEAD CORP COM 582834107 378 8700SH Sole
MEDIAONE GROUP INC COM 58440J104 4071 53000SH Sole
MEDTRONIC INC COM 585055106 3753 103000SH Sole
MELLON FINL CORP COM 58551A108 1489 43700SH Sole
MERCK & CO INC COM 589331107 13520 201600SH Sole
MEREDITH CORP COM 589433101 183 4400SH Sole
MERIDIAN MED TECHNOLOGIES INCCOM 589658103 11 1885SH Sole
MERRILL LYNCH & CO INC COM 590188108 2680 32100SH Sole
MICROSOFT CORP COM 594918104 51989 445300SH Sole
MICROCELL TELECOMMUNICATIONS CL B NO59501T304 1128 34297SH Sole
MICRON TECHNOLOGY INC COM 595112103 1812 23300SH Sole
MILACRON INC COM 598709103 46 3000SH Sole
MILLIPORE CORP COM 601073109 147 3800SH Sole
MINNESOTA MNG & MFG CO COM 604059105 3396 34700SH Sole
MIRAGE RESORTS INC COM 60462E104 251 16400SH Sole
MOLEX INC COM 608554101 771 13600SH Sole
MONSANTO CO COM 611662107 1952 54800SH Sole
MORGAN J P & CO INC COM 616880100 1912 15100SH Sole
MORGAN STANLEY DEAN WITTER&COCOM NEW617446448 6862 48069SH Sole
MOTOROLA INC COM 620076109 7731 52500SH Sole
NABISCO GROUP HLDG CORP COM 62952P102 296 27900SH Sole
NACCO INDS INC CL A 629579103 39 700SH Sole
NATIONAL CITY CORP COM 635405103 1255 53000SH Sole
NATIONAL SEMICONDUCTOR CORP COM 637640103 638 14900SH Sole
NATIONAL SVC INDS INC COM 637657107 103 3500SH Sole
NAVISTAR INTL CORP NEW COM 63934E108 256 5400SH Sole
NETWORK APPLIANCE INC COM 64120L104 1080 13000SH Sole
NEW CENTURY ENERGIES INC COM 64352U103 298 9800SH Sole
NEW YORK TIMES CO CL A 650111107 1636 33304SH Sole
NEWELL RUBBERMAID INC COM 651229106 699 24099SH Sole
NEWMONT MINING CORP COM 651639106 349 14226SH Sole
NEXTEL COMMUNICATIONS INC CL A 65332V103 3259 31600SH Sole
NIAGARA MOHAWK HLDGS INC COM 653520106 223 16000SH Sole
NICOR INC COM 654086107 124 3800SH Sole
NIKE INC CL B 654106103 1199 24200SH Sole
NORDSTROM INC COM 655664100 309 11800SH Sole
NORFOLK SOUTHERN CORP COM 655844108 668 32600SH Sole
NORTEL NETWORKS CORP COM 656569100 11657 115420SH Sole
NORTHN STS PWR CO MINN COM 665772109 257 13200SH Sole
NORTHERN TR CORP COM 665859104 1018 19200SH Sole
NORTHROP GRUMMAN CORP COM 666807102 324 6000SH Sole
NOVELL INC COM 670006105 1138 28500SH Sole
NUCOR CORP COM 670346105 411 7500SH Sole
OCCIDENTAL PETE CORP DEL COM 674599105 679 31400SH Sole
OFFICE DEPOT INC COM 676220106 307 28100SH Sole
OLD KENT FINL CORP COM 679833103 357 10100SH Sole
OMNICOM GROUP INC COM 681919106 1540 15400SH Sole
ONEOK INC NEW COM 682680103 60 2400SH Sole
ORACLE CORP COM 68389X105 13783 122998SH Sole
OWENS CORNING COM 69073F103 87 4500SH Sole
OWENS ILL INC COM NEW690768403 321 12800SH Sole
PECO ENERGY CO COM 693304107 556 16000SH Sole
PG&E CORP COM 69331C108 674 32900SH Sole
PE CORP COM PE 69332S102 1095 9100SH Sole
PNC BK CORP COM 693475105 1130 25400SH Sole
P P & L RES INC COM 693499105 279 12200SH Sole
PPG INDS INC COM 693506107 938 15000SH Sole
PACCAR INC COM 693718108 300 6770SH Sole
PACTIV CORP COM 695257105 156 14700SH Sole
PAINE WEBBER GROUP INC COM 695629105 477 12300SH Sole
PALL CORP COM 696429307 225 10433SH Sole
PARAMETRIC TECHNOLOGY CORP COM 699173100 628 23200SH Sole
PARKER HANNIFIN CORP COM 701094104 495 9650SH Sole
PAYCHEX INC COM 704326107 852 21300SH Sole
PENNEY J C INC COM 708160106 445 22300SH Sole
PEOPLES ENERGY CORP COM 711030106 104 3100SH Sole
PEOPLESOFT INC COM 712713106 445 20900SH Sole
<PAGE>
PEP BOYS MANNY MOE & JACK COM 713278109 38 4200SH Sole
PEPSICO INC COM 713448108 4424 125500SH Sole
PERKINELMER INC COM 714046109 167 4000SH Sole
PHARMACIA & UPJOHN INC COM 716941109 2012 44700SH Sole
PFIZER INC COM 717081103 10828 333800SH Sole
PHELPS DODGE CORP COM 717265102 470 7000SH Sole
PHILIP MORRIS COS INC COM 718154107 4730 204000SH Sole
PHILLIPS PETE CO COM 718507106 1034 22000SH Sole
PINNACLE WEST CAP CORP COM 723484101 217 7100SH Sole
PITNEY BOWES INC COM 724479100 1102 22800SH Sole
PLACER DOME INC COM 725906101 300 27891SH Sole
POLAROID CORP COM 731095105 68 3600SH Sole
POLYMEDICA CORP COM 731738100 0 1SH Sole
POTLATCH CORP COM 737628107 116 2600SH Sole
PRAXAIR INC COM 74005P104 694 13800SH Sole
PRICE T ROWE & ASSOCIATES COM 741477103 377 10200SH Sole
PROCTER & GAMBLE CO COM 742718109 12434 113484SH Sole
PROGRESSIVE CORP OHIO COM 743315103 475 6500SH Sole
PROVIDIAN FINL CORP COM 74406A102 1120 12300SH Sole
PUBLIC SVC ENTERPRISE GROUP COM 744573106 651 18700SH Sole
PULTE CORP COM 745867101 83 3700SH Sole
QUAKER OATS CO COM 747402105 755 11500SH Sole
QUALCOMM INC COM 747525103 10145 57600SH Sole
QUINTILES TRANSNATIONAL CORP COM 748767100 181 9700SH Sole
RALSTON PURINA CO COM RAL751277302 772 27700SH Sole
RAYTHEON CO CL B 755111408 770 29000SH Sole
REEBOK INTL LTD COM 758110100 37 4500SH Sole
REGIONS FINL CORP COM 758940100 472 18800SH Sole
RELIANT ENERGY INC COM 75952J108 578 25270SH Sole
REPUBLIC N Y CORP COM 760719104 655 9100SH Sole
REYNOLDS METALS CO COM 761763101 429 5600SH Sole
RITE AID CORP COM 767754104 249 22300SH Sole
ROCKWELL INTL CORP NEW COM 773903109 785 16400SH Sole
ROHM & HAAS CO COM 775371107 766 18818SH Sole
ROWAN COS INC COM 779382100 150 6900SH Sole
ROYAL DUTCH PETE CO NY REG 780257804 11187 185100SH Sole
RUSSELL CORP COM 782352108 47 2800SH Sole
RYDER SYS INC COM 783549108 127 5200SH Sole
SBC COMMUNICATIONS INC COM 78387G103 14346 294276SH Sole
SLM HLDG CORP COM 78442A109 580 13737SH Sole
SAFECO CORP COM 786429100 274 11000SH Sole
SAFEWAY INC COM NEW786514208 2666 74960SH Sole
ST JUDE MED INC COM 790849103 218 7100SH Sole
ST PAUL COS INC COM 792860108 657 19500SH Sole
SARA LEE CORP COM 803111103 1723 78100SH Sole
SCHERING PLOUGH CORP COM 806605101 5345 126700SH Sole
SCHLUMBERGER LTD COM 806857108 2672 47500SH Sole
SCHWAB CHARLES CORP NEW COM 808513105 2715 70750SH Sole
SCIENTIFIC ATLANTA INC COM 808655104 378 6800SH Sole
SEAGATE TECHNOLOGY COM 811804103 833 17900SH Sole
SEAGRAM LTD COM 811850106 1676 37300SH Sole
SEALED AIR CORP NEW COM 81211K100 365 7037SH Sole
SEARS ROEBUCK & CO COM 812387108 986 32400SH Sole
SEMPRA ENERGY COM 816851109 354 20378SH Sole
SERVICE CORP INTL COM 817565104 162 23300SH Sole
SHARED MED SYS CORP COM 819486101 122 2400SH Sole
SHERWIN WILLIAMS CO COM 824348106 294 14000SH Sole
SIGMA ALDRICH CORP COM 826552101 256 8500SH Sole
SILICON GRAPHICS INC COM 827056102 154 15700SH Sole
SNAP ON INC COM 833034101 133 5000SH Sole
SOLECTRON CORP COM 834182107 2426 25500SH Sole
SOUTHERN CO COM 842587107 1361 57900SH Sole
SOUTHTRUST CORP COM 844730101 548 14500SH Sole
SOUTHWEST AIRLS CO COM 844741108 699 43199SH Sole
SPRINGS INDS INC CL A 851783100 64 1600SH Sole
SPRINT CORP COM FON852061100 5062 75200SH Sole
SPRINT CORP PCS COM852061506 3813 37200SH Sole
STANLEY WKS COM 854616109 226 7500SH Sole
STAPLES INC COM 855030102 828 39900SH Sole
STATE STR CORP COM 857477103 1008 13800SH Sole
<PAGE>
SUMMIT BANCORP COM 866005101 462 15100SH Sole
SUN MICROSYSTEMS INC COM 866810104 10439 134800SH Sole
SUNOCO INC COM 86764P109 179 7600SH Sole
SUNTRUST BKS INC COM 867914103 1906 27700SH Sole
SUPERVALU INC COM 868536103 238 11900SH Sole
SYNOVUS FINL CORP COM 87161C105 477 24000SH Sole
SYSCO CORP COM 871829107 1124 28400SH Sole
TJX COS INC NEW COM 872540109 544 26600SH Sole
TRW INC COM 872649108 551 10600SH Sole
TANDY CORP COM 875382103 817 16600SH Sole
TEKTRONIX INC COM 879131100 159 4100SH Sole
TELLABS INC COM 879664100 2227 34700SH Sole
TEMPLE INLAND INC COM 879868107 323 4900SH Sole
TENET HEALTHCARE CORP COM 88033G100 623 26500SH Sole
TERADYNE INC COM 880770102 977 14800SH Sole
TEXACO INC COM 881694103 2585 47600SH Sole
TEXAS INSTRS INC COM 882508104 6704 69200SH Sole
TEXAS UTILS CO COM 882848104 845 23750SH Sole
TEXTRON INC COM 883203101 997 13000SH Sole
THERMO ELECTRON CORP COM 883556102 201 13400SH Sole
THOMAS & BETTS CORP COM 884315102 150 4700SH Sole
3COM CORP COM 885535104 1401 29800SH Sole
TIME WARNER INC COM 887315109 8038 110960SH Sole
TIMES MIRROR CO NEW COM SER887364107 355 5300SH Sole
TIMKEN CO COM 887389104 106 5200SH Sole
TORCHMARK CORP COM 891027104 326 11200SH Sole
TOSCO CORP COM NEW891490302 329 12100SH Sole
TOYS R US INC COM 892335100 300 20950SH Sole
TRICON GLOBAL RESTAURANTS COM 895953107 513 13270SH Sole
TRIBUNE CO NEW COM 896047107 1129 20500SH Sole
TUPPERWARE CORP COM 899896104 80 4700SH Sole
TYCO INTL LTD NEW COM 902124106 5657 145520SH Sole
USX MARATHON GROUP COM NEW902905827 659 26700SH Sole
UST INC COM 902911106 368 14600SH Sole
US BANCORP DEL COM 902973106 1486 62411SH Sole
USX-U S STL COM 90337T101 248 7520SH Sole
UNILEVER N V N Y SHS904784709 2683 49281SH Sole
UNICOM CORP COM 904911104 626 18700SH Sole
UNION CARBIDE CORP COM 905581104 768 11500SH Sole
UNION PAC CORP COM 907818108 938 21500SH Sole
UNION PAC RES GROUP INC COM 907834105 275 21583SH Sole
UNION PLANTERS CORP COM 908068109 481 12200SH Sole
UNISYS CORP COM 909214108 850 26600SH Sole
UNITED HEALTHCARE CORP COM 910581107 786 14800SH Sole
US AIRWAYS GROUP INC COM 911905107 189 5900SH Sole
U S WEST INC NEW COM 91273H101 3154 43804SH Sole
UNITED TECHNOLOGIES CORP COM 913017109 2685 41300SH Sole
UNOCAL CORP COM 915289102 701 20900SH Sole
UNUMPROVIDENT CORP COM 91529Y106 661 20606SH Sole
V F CORP COM 918204108 303 10100SH Sole
VIACOM INC CL B 925524308 3639 60206SH Sole
VULCAN MATLS CO COM 929160109 339 8500SH Sole
WACHOVIA CORP COM 929771103 1183 17400SH Sole
WAL MART STORES INC COM 931142103 26537 383900SH Sole
WALGREEN CO COM 931422109 2530 86500SH Sole
WARNER LAMBERT CO COM 934488107 6080 74200SH Sole
WASHINGTON MUT INC COM 939322103 1287 49490SH Sole
WASTE MGMT INC DEL COM 94106L109 918 53392SH Sole
WATSON PHARMACEUTICALS INC COM 942683103 297 8300SH Sole
WELLPOINT HEALTH NETWORK NEW COM 94973H108 356 5400SH Sole
WELLS FARGO & CO NEW COM 949746101 5726 141590SH Sole
WENDYS INTL INC COM 950590109 208 10100SH Sole
WESTVACO CORP COM 961548104 276 8462SH Sole
WEYERHAEUSER CO COM 962166104 1469 20450SH Sole
WHIRLPOOL CORP COM 963320106 410 6300SH Sole
WILLAMETTE INDS INC COM 969133107 446 9600SH Sole
WILLIAMS COS INC DEL COM 969457100 1137 37200SH Sole
WINN DIXIE STORES INC COM 974280109 304 12700SH Sole
WORTHINGTON INDS INC COM 981811102 123 7450SH Sole
WRIGLEY WM JR CO COM 982526105 829 10000SH Sole
XILINX INC COM 983919101 1255 27600SH Sole
XEROX CORP COM 984121103 1293 57000SH Sole
YAHOO INC COM 984332106 9909 22900SH Sole
</TABLE>
