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<TABLE>
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<PAGE> PAGE 1
SECURITIES AND EXCHANGE COMMISSION
FORM 13F-E
Report for the Calendar Year or Quarter Ended: 06/30/95
Institutional Investment Manager:
GRANTHAM, MAYO, VAN OTTERLOO & CO.
40 ROWES WHARF
BOSTON MA 02110
I REPRESENT THAT I AM AUTHORIZED TO SUBMIT THIS FORM AND THAT ALL INFORMATION IN
THIS FORM AND THE ATTACHMENTS TO IT IS TRUE, CORRECT AND COMPLETE AND I
UNDERSTAND THAT ALL REQUIRED ITEMS, STATEMENTS AND SCHEDULES ARE INTEGRAL PARTS
OF THIS FORM AND THAT THE SUBMISSION OF ANY AMENDMENT REPRESENTS THAT ALL
UNAMENDED ITEMS, STATEMENTS AND SCHEDULES REMAIN TRUE, CORRECT AND COMPLETE AS
PREVIOUSLY SUBMITTED.
I AM SIGNING THIS REPORT AS REQUIRED BY THE SECURITIES AND EXCHANGE ACT OF 1934.
Name, Title and Telephone Number of Person Submitting Report:
FORREST BERKLEY PARTNER (617) 346-7578
Signature, Place and Date of Signing:
/s/ FORREST BERKLEY BOSTON MA 11/14/95
<PAGE> PAGE 2
VALUE SHARES/ SH/ PUT/ INVSTMT -----VOTING AUTHORITY-----
NAME OF ISSUER -TITLE OF CLASS- --CUSIP-- (x$1000) PRN AMT PRN CALL DSCRETN -MANAGERS- SOLE SHARED NONE
ABITIBI-PRICE INC COMMON 003680105 7450 456900 SH SOLE 456900 0 0
ABM INDS INC COMMON 000957100 95 4100 SH SOLE 4100 0 0
ADAC LABS COMMON 005313200 184 15200 SH SOLE 15200 0 0
ADV SEMICONDCTR MATL COMMON 007914104 49086 1906257 SH SOLE 1906257 0 0
ADVO INC COMMON 007585102 225 11900 SH SOLE 11900 0 0
AES CORP COMMON 00130H105 7345 386600 SH SOLE 386600 0 0
AIR EXPRESS INTL COMMON 009104100 376 16000 SH SOLE 16000 0 0
ALBERTO-CULVER CO CLASS B 013068101 396 13100 SH SOLE 13100 0 0
ALICO INC COMMON 016230104 21 1200 SH SOLE 1200 0 0
ALLEGHANY CORP DEL COMMON 017175100 441 2768 SH SOLE 2768 0 0
ALLEGHENY POWER SYS COMMON 017411109 13158 559900 SH SOLE 559900 0 0
ALLMERICA PPTY&CAS COMMON 01975T105 2432 109900 SH SOLE 109900 0 0
AMER MGMNT SYS COMMON 027352103 413 16450 SH SOLE 16450 0 0
AMERICAN NATL INS CO COMMON 028591105 122 2000 SH SOLE 2000 0 0
AMERICAN WTR WKS INC COMMON 030411102 1006 31700 SH SOLE 31700 0 0
AMERN BANKERS INS CO COMMON 024456105 552 17400 SH SOLE 17400 0 0
AMERN BILTRITE INC COMMON 024591109 10 400 SH SOLE 400 0 0
AMERN BUSINESS INFO COMMON 02476F107 200 7400 SH SOLE 7400 0 0
AMERN BUSINESS PRODS COMMON 024763104 125 6600 SH SOLE 6600 0 0
AMERN FILTRONA CORP COMMON 026042101 3 100 SH SOLE 100 0 0
AMERN HERITAGE LIFE COMMON 026522102 58 2749 SH SOLE 2749 0 0
AMERN MEDIA OPERATNS CLASS A 02744L100 71 10300 SH SOLE 10300 0 0
AMPLICON INC COMMON 032101107 2 100 SH SOLE 100 0 0
ANGELICA CORP COMMON 034663104 100 4000 SH SOLE 4000 0 0
ANTHONY INDS INC COMMON 036798106 67 3600 SH SOLE 3600 0 0
APOGEE ENTERPRISES COMMON 037598109 186 10500 SH SOLE 10500 0 0
APPLIED PWR INC CLASS A 038225108 162 5600 SH SOLE 5600 0 0
AQUARION CO COMMON 03838W101 90 3900 SH SOLE 3900 0 0
ARBOR DRUGS INC COMMON 038760104 281 17550 SH SOLE 17550 0 0
ARCTCO INC COMMON 039665104 53 4525 SH SOLE 4525 0 0
ARGONAUT GROUP INC COMMON 040157109 356 11200 SH SOLE 11200 0 0
ARMOR ALL PRODS CORP COMMON 042256107 107 6200 SH SOLE 6200 0 0
ASHLAND COAL INC COMMON 043906106 99 3700 SH SOLE 3700 0 0
ATLANTA GAS LT CO COMMON 047753108 1400 40300 SH SOLE 40300 0 0
ATLANTIC ENERGY INC COMMON 048903108 1587 84100 SH SOLE 84100 0 0
ATMOS ENERGY CORP COMMON 049560105 93 4600 SH SOLE 4600 0 0
ATWOOD OCEANICS INC COMMON 050095108 32 2000 SH SOLE 2000 0 0
AVEMCO CORP COMMON 053555108 47 2700 SH SOLE 2700 0 0
AYDIN CORP COMMON 054681101 9 600 SH SOLE 600 0 0
BALDOR ELEC CO COMMON 057741100 230 8000 SH SOLE 8000 0 0
BALDWIN & LYONS INC CLASS B 057755209 9 600 SH SOLE 600 0 0
BALDWIN TECHNOLOGY CLASS A 058264102 9 1700 SH SOLE 1700 0 0
BANK OF MONTREAL COMMON 063671101 3712 177392 SH SOLE 177392 0 0
BANPOMCE CORP COMMON 066704107 259 7300 SH SOLE 7300 0 0
BANTA CORP COMMON 066821109 296 8900 SH SOLE 8900 0 0
BARNES GROUP INC COMMON 067806109 97 2400 SH SOLE 2400 0 0
BAY ST GAS CO COMMON 072612609 113 4600 SH SOLE 4600 0 0
BCE INC COMMON 05534B109 5838 182293 SH SOLE 182293 0 0
BEAUTI CNTL COSMETIC COMMON 074655101 55 4900 SH SOLE 4900 0 0
BELO A H CORP CLASS A 080555105 686 22400 SH SOLE 22400 0 0
<PAGE> PAGE 3
VALUE SHARES/ SH/ PUT/ INVSTMT -----VOTING AUTHORITY-----
NAME OF ISSUER -TITLE OF CLASS- --CUSIP-- (x$1000) PRN AMT PRN CALL DSCRETN -MANAGERS- SOLE SHARED NONE
BERLITZ INTL INC COMMON 08520F100 18 1200 SH SOLE 1200 0 0
BERRY PETE CO CLASS A 085789105 108 11100 SH SOLE 11100 0 0
BET HLDGS INC CLASS A 086585106 27 1500 SH SOLE 1500 0 0
BIC CORP COMMON 088734108 381 9700 SH SOLE 9700 0 0
BINDLEY WESTN INDS COMMON 090324104 160 10100 SH SOLE 10100 0 0
BIO RAD LABS INC CLASS A 090572207 277 7700 SH SOLE 7700 0 0
BLACK HILLS CORP COMMON 092113109 103 4900 SH SOLE 4900 0 0
BLAIR CORP COMMON 092828102 488 14200 SH SOLE 14200 0 0
BLESSINGS CORP COMMON 093532109 43 3400 SH SOLE 3400 0 0
BLOCK DRUG INC CLASS A 093644102 148 4384 SH SOLE 4384 0 0
BMC INDS INC MINN COMMON 055607105 359 14300 SH SOLE 14300 0 0
BOB EVANS FARMS INC COMMON 096761101 839 41200 SH SOLE 41200 0 0
BOISE CASCADE CORP DEP ACE 097383863 1001 30000 SH SOLE 30000 0 0
BORG WARNER SEC COMMON 099733107 56 6200 SH SOLE 6200 0 0
BOSTON EDISON CO COMMON 100599109 136 5200 SH SOLE 5200 0 0
BOWNE & CO INC COMMON 103043105 202 11800 SH SOLE 11800 0 0
BRADY WH CO CLASS A 104674106 128 1900 SH SOLE 1900 0 0
BRASCAN LTD CLASS A 105502405 1974 125400 SH SOLE 125400 0 0
BRITISH PETE PLC ADR 110889409 128 1500 SH SOLE 1500 0 0
BROOKLYN UN GAS CO COMMON 114259104 3478 132500 SH SOLE 132500 0 0
BROWN FORMAN CORP CLASS B 115637209 7329 219600 SH SOLE 219600 0 0
BRUSH WELLMAN INC COMMON 117421107 36 1700 SH SOLE 1700 0 0
BUCKLE INC COMMON 118440106 48 3100 SH SOLE 3100 0 0
BW/IP INC CLASS A 056044100 228 12300 SH SOLE 12300 0 0
C D I CORP COMMON 125071100 199 9700 SH SOLE 9700 0 0
CABOT CORP COMMON 127055101 4014 76100 SH SOLE 76100 0 0
CACI INTERNATIONAL CLASS A 127190304 74 6000 SH SOLE 6000 0 0
CALIFORNIA WTR SVC COMMON 130789100 57 1800 SH SOLE 1800 0 0
CANADIAN MARCONI CO COMMON 136357100 499 54900 SH SOLE 54900 0 0
CAPITAL RE CORP COMMON 140432105 156 6000 SH SOLE 6000 0 0
CAPITOL AMERN FINL COMMON 14055J103 168 7400 SH SOLE 7400 0 0
CARLISLE COS INC COMMON 142339100 233 6100 SH SOLE 6100 0 0
CARLISLE PLASTICS COMMON 142522101 32 7000 SH SOLE 7000 0 0
CAROLINA PWR & LT CO COMMON 144141108 3760 124300 SH SOLE 124300 0 0
CARPENTER TECHNOLOGY COMMON 144285103 150 2200 SH SOLE 2200 0 0
CASCADE CORP COMMON 147195101 94 5900 SH SOLE 5900 0 0
CASCADE NAT GAS CORP COMMON 147339105 39 2800 SH SOLE 2800 0 0
CASEYS GEN STORES COMMON 147528103 448 24900 SH SOLE 24900 0 0
CASTLE A M & CO COMMON 148411101 28 1550 SH SOLE 1550 0 0
CCB FINANCIAL CORP COMMON 124875105 159 3800 SH SOLE 3800 0 0
CCH INC CLASS A 124883109 70 3100 SH SOLE 3100 0 0
CDN OCCIDENTAL PETE COMMON 136420106 12550 404500 SH SOLE 404500 0 0
CENT HUDSON GAS&ELEC COMMON 153609102 259 9600 SH SOLE 9600 0 0
CENTRAL LOUIS ELEC COMMON 153897608 202 8600 SH SOLE 8600 0 0
CENTRAL MAINE POWER COMMON 154051106 266 22400 SH SOLE 22400 0 0
CENTRAL NEWSPAPERS CLASS A 154647101 447 15100 SH SOLE 15100 0 0
CENTRAL VT PUB SVC COMMON 155771108 78 5650 SH SOLE 5650 0 0
CENTURA BKS INC COMMON 15640T100 131 4700 SH SOLE 4700 0 0
CHEMED CORP COMMON 163596109 184 5300 SH SOLE 5300 0 0
CHINA TIRE HLDGS COMMON G2107X108 255 24000 SH SOLE 24000 0 0
<PAGE> PAGE 4
VALUE SHARES/ SH/ PUT/ INVSTMT -----VOTING AUTHORITY-----
NAME OF ISSUER -TITLE OF CLASS- --CUSIP-- (x$1000) PRN AMT PRN CALL DSCRETN -MANAGERS- SOLE SHARED NONE
CHRISTIANA COS INC COMMON 170819106 16 600 SH SOLE 600 0 0
CHURCH & DWIGHT INC COMMON 171340102 334 16100 SH SOLE 16100 0 0
CILCORP INC COMMON 171794100 178 4900 SH SOLE 4900 0 0
CINERGY CORP COMMON 172474108 16375 623800 SH SOLE 623800 0 0
CIPSCO INC COMMON 125539106 3122 104500 SH SOLE 104500 0 0
CIRCON CORP COMMON 172736100 20 1000 SH SOLE 1000 0 0
CITIZENS CORP COMMON 174533109 79 4800 SH SOLE 4800 0 0
CLARCOR INC COMMON 179895107 39 1700 SH SOLE 1700 0 0
CLEAR CHANNEL COMMUN COMMON 184502102 251 3900 SH SOLE 3900 0 0
CMAC INVT CORP COMMON 125662106 117 2700 SH SOLE 2700 0 0
COLEMAN INC COMMON 193559101 245 6900 SH SOLE 6900 0 0
COLONIAL GAS CO COMMON 195674106 47 2400 SH SOLE 2400 0 0
COMINCO LTD COMMON 200435105 6855 373000 SH SOLE 373000 0 0
COMMERCIAL INTERTECH COMMON 201709102 62 3850 SH SOLE 3850 0 0
COMMONWEALTH ENERGY COMMON 202800108 185 4900 SH SOLE 4900 0 0
COMPASS BANCSHARES COMMON 20449H109 191 6600 SH SOLE 6600 0 0
CONCORD EFS INC COMMON 206197105 550 20550 SH SOLE 20550 0 0
CONMED CORP COMMON 207410101 57 2300 SH SOLE 2300 0 0
CONNECTICUT ENERGY COMMON 207567108 63 3200 SH SOLE 3200 0 0
CONNECTICUT NAT GAS COMMON 207651100 79 3600 SH SOLE 3600 0 0
CONTINUUM INC COMMON 212180103 504 15200 SH SOLE 15200 0 0
COPLEY PHARMACEUT COMMON 21745K101 55 2600 SH SOLE 2600 0 0
CPI CORP COMMON 125902106 226 11800 SH SOLE 11800 0 0
CRAIG JENNY INC COMMON 224206102 78 9400 SH SOLE 9400 0 0
CRAWFORD & CO CLASS B 224633107 39 2300 SH SOLE 2300 0 0
CROSS A T CO CLASS A 227478104 112 7500 SH SOLE 7500 0 0
CROWN AMERN RLTY SH BEN 228186102 316 25000 SH SOLE 25000 0 0
CROWN BOOKS CORP COMMON 228210100 56 5000 SH SOLE 5000 0 0
CROWN CENT PETE CORP CLASS A 228219101 29 1900 SH SOLE 1900 0 0
CROWN CRAFTS INC COMMON 228309100 10 600 SH SOLE 600 0 0
CSS INDS INC COMMON 125906107 45 2500 SH SOLE 2500 0 0
CTS CORP COMMON 126501105 49 1600 SH SOLE 1600 0 0
CUBIC CORP COMMON 229669106 36 1600 SH SOLE 1600 0 0
CULBRO CORP COMMON 229890108 13 400 SH SOLE 400 0 0
CURTISS WRIGHT CORP COMMON 231561101 45 1000 SH SOLE 1000 0 0
DAMES & MOORE INC COMMON 235713104 114 8800 SH SOLE 8800 0 0
DANIEL INDS INC COMMON 236235107 32 2000 SH SOLE 2000 0 0
DARDEN RESTAURANT COMMON 237194105 2091 192300 SH SOLE 192300 0 0
DART GROUP CORP CLASS A 237415104 59 700 SH SOLE 700 0 0
DE BEERS CONS MINES ADR 240253302 2743 106000 SH SOLE 106000 0 0
DEB SHOPS INC COMMON 242728103 15 4700 SH SOLE 4700 0 0
DELCHAMPS INC COMMON 246615108 77 4000 SH SOLE 4000 0 0
DELMARVA PWR & LT CO COMMON 247109101 185 9000 SH SOLE 9000 0 0
DELPHI FINL GRP CLASS A 247131105 74 4200 SH SOLE 4200 0 0
DEPOSIT GTY CORP COMMON 249555103 289 7400 SH SOLE 7400 0 0
DEVON GROUP INC NEW COMMON 251801106 260 8800 SH SOLE 8800 0 0
DEVRY INC DEL COMMON 251893103 10 500 SH SOLE 500 0 0
DIAGNOSTIC PRODUCTS COMMON 252450101 252 6900 SH SOLE 6900 0 0
DIGITAL SYS INTL INC COMMON 253912109 18 2000 SH SOLE 2000 0 0
DIONEX CORP COMMON 254546104 238 5200 SH SOLE 5200 0 0
<PAGE> PAGE 5
VALUE SHARES/ SH/ PUT/ INVSTMT -----VOTING AUTHORITY-----
NAME OF ISSUER -TITLE OF CLASS- --CUSIP-- (x$1000) PRN AMT PRN CALL DSCRETN -MANAGERS- SOLE SHARED NONE
DOMTAR INC COMMON 257561100 4653 491700 SH SOLE 491700 0 0
DONALDSON INC COMMON 257651109 266 10200 SH SOLE 10200 0 0
DONNELY CORP CLASS A 257870105 42 2600 SH SOLE 2600 0 0
DOWNEY FINANCIAL COMMON 261018105 95 5200 SH SOLE 5200 0 0
DPL INC COMMON 233293109 11376 514150 SH SOLE 514150 0 0
DQE INC COMMON 23329J104 4620 196600 SH SOLE 196600 0 0
DUPLEX PRODS INC COMMON 266093103 27 3200 SH SOLE 3200 0 0
DYNAMICS CORP AMER COMMON 268039104 50 2200 SH SOLE 2200 0 0
E TOWN COMMON 269242103 68 2500 SH SOLE 2500 0 0
EASTERN UTILS ASSOC COMMON 277173100 242 10700 SH SOLE 10700 0 0
EATON VANCE CORP COMMON 278265103 316 9800 SH SOLE 9800 0 0
EDO CORP COMMON 281347104 6 1800 SH SOLE 1800 0 0
ELECTRO RENT CORP COMMON 285218103 431 19600 SH SOLE 19600 0 0
EMPIRE DIST ELEC CO COMMON 291641108 90 5200 SH SOLE 5200 0 0
ENERGEN CORP COMMON 29265N108 99 4600 SH SOLE 4600 0 0
ENHANCE FINL SVCS GR COMMON 293310108 217 11200 SH SOLE 11200 0 0
ENNIS BUSINESS FORMS COMMON 293389102 119 9600 SH SOLE 9600 0 0
EQUITABLE RES INC COMMON 294549100 146 5050 SH SOLE 5050 0 0
ESTERLINE TECH CORP COMMON 297425100 16 700 SH SOLE 700 0 0
EXPEDITORS INTL WASH COMMON 302130109 286 12700 SH SOLE 12700 0 0
EXPRESS SCRIPTS INC CLASS A 302182100 201 5700 SH SOLE 5700 0 0
FAB INDS INC COMMON 302747100 46 1500 SH SOLE 1500 0 0
FABRI CTRS AMER INC COMMON 302846100 2 100 SH SOLE 100 0 0
FARMER BROS CO COMMON 307675108 25 200 SH SOLE 200 0 0
FAY INCORPORATED COMMON 313035107 76 10000 SH SOLE 10000 0 0
FIGGIE INTL INC DEL CLASS A 316828508 198 23000 SH SOLE 23000 0 0
FINA INC CLASS A 31734L101 247 5300 SH SOLE 5300 0 0
FIRST AMERN FINL COMMON 318522307 22 952 SH SOLE 952 0 0
FIRST BRANDS CORP COMMON 319356101 296 6900 SH SOLE 6900 0 0
FIRST CITIZENS BANCS CLASS A 31946M103 74 1500 SH SOLE 1500 0 0
FIRST COLONY CORP COMMON 319741104 360 15000 SH SOLE 15000 0 0
FIRST COMM CORP COMMON 319779104 426 14450 SH SOLE 14450 0 0
FIRST EMPIRE ST CORP COMMON 320076102 172 1000 SH SOLE 1000 0 0
FIRST HAWAIIAN INC COMMON 320506108 88 3300 SH SOLE 3300 0 0
FIRST VA BANKS INC COMMON 337477103 45 1200 SH SOLE 1200 0 0
FIRSTMERIT CORP COMMON 337915102 59 2250 SH SOLE 2250 0 0
FLOR EAST COAST INDS COMMON 340632108 413 5600 SH SOLE 5600 0 0
FLORIDA PROGRESS COMMON 341109106 6516 208500 SH SOLE 208500 0 0
FLORIDA ROCK INDS COMMON 341140101 40 1400 SH SOLE 1400 0 0
FREE ST CONSOL GLD ADR 356142208 371 30000 SH SOLE 30000 0 0
FREMONT GENERAL CORP COMMON 357288109 321 13310 SH SOLE 13310 0 0
FRONTIER INS GROUP COMMON 359081106 211 7863 SH SOLE 7863 0 0
GAINSCO INC COMMON 363127101 127 12759 SH SOLE 12759 0 0
GALLAGHER ARTHR J&CO COMMON 363576109 269 7400 SH SOLE 7400 0 0
GARAN INC COMMON 364802108 70 4200 SH SOLE 4200 0 0
GEICO CORP COMMON 361582109 1586 28000 SH SOLE 28000 0 0
GENERAL HOST CORP COMMON 370064107 23 3700 SH SOLE 3700 0 0
GENOVESE DRUG STORES CLASS A 372442202 38 3380 SH SOLE 3380 0 0
GETTY PETE CORP COMMON 374290104 53 4700 SH SOLE 4700 0 0
GIANT INDS INC COMMON 374508109 65 7600 SH SOLE 7600 0 0
<PAGE> PAGE 6
VALUE SHARES/ SH/ PUT/ INVSTMT -----VOTING AUTHORITY-----
NAME OF ISSUER -TITLE OF CLASS- --CUSIP-- (x$1000) PRN AMT PRN CALL DSCRETN -MANAGERS- SOLE SHARED NONE
GLATFELTER P H CO COMMON 377316104 1014 50400 SH SOLE 50400 0 0
GLEASON CORP COMMON 377339106 15 700 SH SOLE 700 0 0
GOLDEN POULTRY INC COMMON 381151109 6 1100 SH SOLE 1100 0 0
GOODYS FAM CLOTHING COMMON 382588101 132 12000 SH SOLE 12000 0 0
GORMAN RUPP CO COMMON 383082104 18 1250 SH SOLE 1250 0 0
GRACO INC COMMON 384109104 103 3850 SH SOLE 3850 0 0
GRC INTERNATIONAL COMMON 361922107 101 6400 SH SOLE 6400 0 0
GREEN MOUNTAIN PWR COMMON 393154109 33 1300 SH SOLE 1300 0 0
GREIF BROS CORP CLASS A 397624107 33 1400 SH SOLE 1400 0 0
GREY ADVERTISING INC COMMON 397838103 1382 7200 SH SOLE 7200 0 0
GRPO MEXICANO DE DES SPND AD 40048G104 133 34444 SH SOLE 34444 0 0
GRPO MEXICANO DE DES REP SER 40048G203 155 34444 SH SOLE 34444 0 0
GRUPO TRIBASA S A SPON AD 40049F105 67 7900 SH SOLE 7900 0 0
GUARANTY NATL CORP COMMON 401192109 70 3800 SH SOLE 3800 0 0
GUILFORD MLS INC COMMON 401794102 24 1000 SH SOLE 1000 0 0
GULF CDA RESOURCES ORDINAR 40218L305 2824 705500 SH SOLE 705500 0 0
HANCOCK FABRICS COMMON 409900107 157 17200 SH SOLE 17200 0 0
HANNAFORD BROS CO COMMON 410550107 1112 39000 SH SOLE 39000 0 0
HANSON PLC ADR SPO 411352305 875 50000 SH SOLE 50000 0 0
HANSON PLC WTS SER 411352131 154 818767 SH SOLE 818767 0 0
HARKEN ENERGY CORP COMMON 412552101 13 7500 SH SOLE 7500 0 0
HARPER GROUP INC COMMON 413459108 112 6700 SH SOLE 6700 0 0
HAWAIIAN ELEC INDS COMMON 419870100 1910 52500 SH SOLE 52500 0 0
HEALTHCARE SVCS GRP COMMON 421906108 43 4000 SH SOLE 4000 0 0
HELENE CURTIS INDS COMMON 423236108 237 8300 SH SOLE 8300 0 0
HEXCEL CORP COMMON 428291108 40 5500 SH SOLE 5500 0 0
HI SHEAR INDS INC COMMON 428399109 28 3800 SH SOLE 3800 0 0
HI-LO AUTOMOTIVE INC COMMON 42839D100 46 4400 SH SOLE 4400 0 0
HILB ROGAL&HAMILTON COMMON 431294107 71 5700 SH SOLE 5700 0 0
HOLLY CORP COMMON 435758305 153 6600 SH SOLE 6600 0 0
HOME BEN CORP CLASS B 437052202 57 2800 SH SOLE 2800 0 0
HONDO OIL & GAS CO COMMON 438138109 112 6200 SH SOLE 6200 0 0
HORACE MANN EDUCATRS COMMON 440327104 377 16400 SH SOLE 16400 0 0
HORSEHEAD RES DEV CO COMMON 440699106 12 2700 SH SOLE 2700 0 0
HOUSE OF FABRICS INC COMMON 441758109 22 19300 SH SOLE 19300 0 0
HOWELL CORP COMMON 443051107 21 1500 SH SOLE 1500 0 0
HUBBELL INC CLASS B 443510201 1958 34650 SH SOLE 34650 0 0
HUDSON FOODS INC CLASS A 443782107 1 50 SH SOLE 50 0 0
IDAHO POWER CO COMMON 451380109 2462 97500 SH SOLE 97500 0 0
IDEX CORP COMMON 45167R104 270 8050 SH SOLE 8050 0 0
IES INDUSTRIES INC COMMON 44949M103 785 35300 SH SOLE 35300 0 0
ILLINOVA CORP COMMON 452317100 5364 211400 SH SOLE 211400 0 0
IMPERIAL HOLLY CORP COMMON 452835101 8 900 SH SOLE 900 0 0
INDEPENDENT INS GRP COMMON 453858201 94 6400 SH SOLE 6400 0 0
INDIA FD INC COMMON 454089103 359 35000 SH SOLE 35000 0 0
INDIANA ENERGY INC COMMON 454707100 158 8300 SH SOLE 8300 0 0
INDRESCO INC COMMON 455905109 175 11300 SH SOLE 11300 0 0
INGLES MKTS INC CLASS A 457030104 39 3600 SH SOLE 3600 0 0
INTEGON CORP COMMON 45810F101 80 4700 SH SOLE 4700 0 0
INTEGRATED SYS INC COMMON 45812M104 25 1000 SH SOLE 1000 0 0
<PAGE> PAGE 7
VALUE SHARES/ SH/ PUT/ INVSTMT -----VOTING AUTHORITY-----
NAME OF ISSUER -TITLE OF CLASS- --CUSIP-- (x$1000) PRN AMT PRN CALL DSCRETN -MANAGERS- SOLE SHARED NONE
INTER CITY PROD CORP ORDINAR 45821E101 34 13900 SH SOLE 13900 0 0
INTER REGIONAL FINL COMMON 458351103 186 6300 SH SOLE 6300 0 0
INTERNATIONAL ALUM COMMON 458884103 57 1800 SH SOLE 1800 0 0
INTERSTATE POWER CO COMMON 461074106 77 3200 SH SOLE 3200 0 0
INTERTAN INC COMMON 461120107 20 2700 SH SOLE 2700 0 0
INTL DAIRY QUEEN CLASS A 459373205 246 12600 SH SOLE 12600 0 0
INTL MULTIFOODS CORP COMMON 460043102 650 28900 SH SOLE 28900 0 0
INTL SHIPHOLDING CO COMMON 460321201 54 2600 SH SOLE 2600 0 0
IOWA ILL GAS & ELEC COMMON 462470105 232 10600 SH SOLE 10600 0 0
IPALCO ENTERPRISES COMMON 462613100 1307 41000 SH SOLE 41000 0 0
IPL ENERGY INC COMMON 449911106 128 5800 SH SOLE 5800 0 0
IPSCO INC COMMON 462622101 297 16000 SH SOLE 16000 0 0
IWC RESOURCES CORP COMMON 450712104 42 2200 SH SOLE 2200 0 0
JAMES RIVER CORP VA PFD CV 470349887 2475 100000 SH SOLE 100000 0 0
JASON INC COMMON 471171108 9 850 SH SOLE 850 0 0
JEFFERIES GROUP INC COMMON 472318104 155 4300 SH SOLE 4300 0 0
JOHNSON WORLDWIDE CLASS A 479254104 101 4300 SH SOLE 4300 0 0
JOSLYN CORP COMMON 481070100 13 500 SH SOLE 500 0 0
K N ENERGY INC COMMON 482620101 176 6950 SH SOLE 6950 0 0
K-SWISS INC CLASS A 482686102 99 7600 SH SOLE 7600 0 0
KAMAN CORP CLASS A 483548103 228 17900 SH SOLE 17900 0 0
KANS CITY LIFE INS COMMON 484836101 91 1900 SH SOLE 1900 0 0
KANSAS CITY PWR & LT COMMON 485134100 3326 145400 SH SOLE 145400 0 0
KATY INDS INC COMMON 486026107 32 4100 SH SOLE 4100 0 0
KAYDON CORP COMMON 486587108 205 6900 SH SOLE 6900 0 0
KELLY SERVICES INC CLASS A 488152208 216 8400 SH SOLE 8400 0 0
KEY TRONIC CORP COMMON 493144109 75 4700 SH SOLE 4700 0 0
KEYSTONE CONS INDS COMMON 493422109 11 800 SH SOLE 800 0 0
KINETIC CONCEPTS INC COMMON 49460W109 143 20100 SH SOLE 20100 0 0
KLOOF GOLD MNG LTD SPONSOR 498746601 109 10000 SH SOLE 10000 0 0
KOREA FUND COMMON 500634100 1590 81040 SH SOLE 81040 0 0
KU ENERGY CORP COMMON 482734100 1199 43000 SH SOLE 43000 0 0
KYSOR INDL CORP COMMON 501566103 56 2700 SH SOLE 2700 0 0
LA Z BOY CHAIR CO COMMON 505336107 32 1200 SH SOLE 1200 0 0
LABONE INC COMMON 50540E101 16 1100 SH SOLE 1100 0 0
LACLEDE GAS CO COMMON 505588103 82 4200 SH SOLE 4200 0 0
LANCE INC COMMON 514606102 264 14100 SH SOLE 14100 0 0
LANDAUER INC COMMON 51476K103 38 2000 SH SOLE 2000 0 0
LDI CORP COMMON 501825103 12 3700 SH SOLE 3700 0 0
LEARONAL INC COMMON 522016104 53 2500 SH SOLE 2500 0 0
LECHTERS CORP COMMON 523238103 260 16800 SH SOLE 16800 0 0
LEE ENTERPRISES INC COMMON 523768109 1270 33300 SH SOLE 33300 0 0
LEGGS MASON INC COMMON 524901105 343 12700 SH SOLE 12700 0 0
LIBERTY CORP S C COMMON 530370105 234 8600 SH SOLE 8600 0 0
LIFE PARTNERS GROUP COMMON 532157104 42 2100 SH SOLE 2100 0 0
LIFE RE CORP COMMON 532160108 633 34000 SH SOLE 34000 0 0
LIFE TECHNOLOGIES COMMON 532177201 65 2900 SH SOLE 2900 0 0
LILLIAN VERNON CORP COMMON 532430105 97 5300 SH SOLE 5300 0 0
LIQUI BOX CORP COMMON 536314107 83 2600 SH SOLE 2600 0 0
LOGICON INC COMMON 541409108 271 6100 SH SOLE 6100 0 0
<PAGE> PAGE 8
VALUE SHARES/ SH/ PUT/ INVSTMT -----VOTING AUTHORITY-----
NAME OF ISSUER -TITLE OF CLASS- --CUSIP-- (x$1000) PRN AMT PRN CALL DSCRETN -MANAGERS- SOLE SHARED NONE
LONGS DRUG STORES COMMON 543162101 1283 34200 SH SOLE 34200 0 0
LOUISVILLE GAS & ELE COMMON 501917108 2075 53200 SH SOLE 53200 0 0
LTX CORP COMMON 502392103 11 1200 SH SOLE 1200 0 0
LYDALL INC COMMON 550819106 268 12200 SH SOLE 12200 0 0
MACDERMID INC COMMON 554273102 18 400 SH SOLE 400 0 0
MACMILLAN BLOEDEL COMMON 554783209 6434 459200 SH SOLE 459200 0 0
MACNEAL SCHWENDLER COMMON 554806109 28 2000 SH SOLE 2000 0 0
MADISON GAS & ELEC COMMON 557497104 88 2800 SH SOLE 2800 0 0
MARCAM CORP COMMON 566140109 46 3400 SH SOLE 3400 0 0
MARCUS CORP COMMON 566330106 57 1900 SH SOLE 1900 0 0
MARKEL CORP COMMON 570535104 167 3000 SH SOLE 3000 0 0
MARQUETTE ELECTRS CLASS A 571474105 90 5700 SH SOLE 5700 0 0
MASCOTECH INC PFD $1. 574670303 356 25000 SH SOLE 25000 0 0
MCCLATCHY NEWSPAPERS CLASS A 579489105 188 8500 SH SOLE 8500 0 0
MCGRATH RENTCORP COMMON 580589109 134 7700 SH SOLE 7700 0 0
MCN CORP COMMON 55267J100 3237 163900 SH SOLE 163900 0 0
MDU RES GROUP INC COMMON 552690109 196 6600 SH SOLE 6600 0 0
MEDCHEM PRODUCTS INC COMMON 584911101 104 12100 SH SOLE 12100 0 0
MENS WEARHOUSE INC COMMON 587118100 289 10500 SH SOLE 10500 0 0
MERCANTILE BANKSHARE COMMON 587405101 104 4600 SH SOLE 4600 0 0
MEXICO FUND INC COMMON 592835102 4950 300000 SH SOLE 300000 0 0
MICRODYNE CORP COMMON 595067109 12 600 SH SOLE 600 0 0
MIDLAND CO COMMON 597486109 13 300 SH SOLE 300 0 0
MIDWEST RES INC COMMON 598374106 2166 145600 SH SOLE 145600 0 0
MINE SAFETY APPLIANC COMMON 602720104 16 300 SH SOLE 300 0 0
MINNESOTA PWR & LT COMMON 604110106 556 20400 SH SOLE 20400 0 0
MONTANA POWER CO COMMON 612085100 3294 143200 SH SOLE 143200 0 0
MORGAN KEEGAN INC COMMON 617410105 108 8850 SH SOLE 8850 0 0
MORNINGSTAR GRP INC COMMON 617698105 13 1800 SH SOLE 1800 0 0
MTS SYSTEMS CORP COMMON 553777103 14 500 SH SOLE 500 0 0
MYERS INDS INC COMMON 628464109 86 5950 SH SOLE 5950 0 0
N S BANCORP COMMON 628925109 22 700 SH SOLE 700 0 0
NASH FINCH CO COMMON 631158102 104 6400 SH SOLE 6400 0 0
NATIONAL FUEL GAS CO COMMON 636180101 1242 43400 SH SOLE 43400 0 0
NATIONAL RE CORP COMMON 637340209 543 16200 SH SOLE 16200 0 0
NATL COMPUTER SYS COMMON 635519101 147 7100 SH SOLE 7100 0 0
NATURE SUNSHINE PROD COMMON 639027101 155 9840 SH SOLE 9840 0 0
NAVISTAR INTL CORP PFD SER 638901405 1300 25000 SH SOLE 25000 0 0
NCH CORP COMMON 628850109 403 7000 SH SOLE 7000 0 0
NELSON THOMAS INC COMMON 640376109 152 7900 SH SOLE 7900 0 0
NEVADA POWER CO COMMON 641423108 2572 124700 SH SOLE 124700 0 0
NEW ENGLAND ELEC SYS COMMON 644001109 3764 109100 SH SOLE 109100 0 0
NEW JERSEY RES CORP COMMON 646025106 143 6200 SH SOLE 6200 0 0
NEW YORK ST ELEC&GAS COMMON 649840105 2875 123000 SH SOLE 123000 0 0
NIPSCO INDUSTRIES COMMON 629140104 4332 127400 SH SOLE 127400 0 0
NORTHEAST UTILS COMMON 664397106 563 25000 SH SOLE 25000 0 0
NORTHERN STS PWR CO COMMON 665772109 9700 210300 SH SOLE 210300 0 0
NORTHWEST NAT GAS CO COMMON 667655104 147 4700 SH SOLE 4700 0 0
NORTHWESTERN PUB SVC COMMON 668231103 54 2100 SH SOLE 2100 0 0
NPC INTL INC CLASS A 629360108 42 6800 SH SOLE 6800 0 0
<PAGE> PAGE 9
VALUE SHARES/ SH/ PUT/ INVSTMT -----VOTING AUTHORITY-----
NAME OF ISSUER -TITLE OF CLASS- --CUSIP-- (x$1000) PRN AMT PRN CALL DSCRETN -MANAGERS- SOLE SHARED NONE
NTH CAROLINA NAT GAS COMMON 658221106 42 1950 SH SOLE 1950 0 0
NUI CORP COMMON 629430109 40 2400 SH SOLE 2400 0 0
NUMAC ENERGY INC COMMON 67052A103 594 128000 SH SOLE 128000 0 0
O SULLIVAN CORP COMMON 688605104 64 5600 SH SOLE 5600 0 0
OGLEBAY NORTON CO COMMON 677007106 31 900 SH SOLE 900 0 0
OIL DRI CORP AMER COMMON 677864100 34 2300 SH SOLE 2300 0 0
OKLAHOMA GAS & ELEC COMMON 678858101 4134 117700 SH SOLE 117700 0 0
OLD DOMINION FGHT COMMON 679580100 8 600 SH SOLE 600 0 0
ORANGE & ROCKLAND UT COMMON 684065105 151 4500 SH SOLE 4500 0 0
ORION CAP CORP COMMON 686268103 125 3200 SH SOLE 3200 0 0
OSHKOSH TRUCK CORP CLASS B 688239201 111 9000 SH SOLE 9000 0 0
OSHMANS SPORTING GDS COMMON 688260108 12 1500 SH SOLE 1500 0 0
OTTER TAIL PWR CO COMMON 689648103 135 4000 SH SOLE 4000 0 0
OVERSEAS SHIPHOLDING COMMON 690368105 317 15300 SH SOLE 15300 0 0
PACIFIC TELECOM INC COMMON 694876103 134 4500 SH SOLE 4500 0 0
PAXAR CORP COMMON 704227107 54 3000 SH SOLE 3000 0 0
PEC ISRAEL ECONOMIC COMMON 705098101 203 7500 SH SOLE 7500 0 0
PENN ENGR & MFG CORP COMMON 707389102 15 200 SH SOLE 200 0 0
PENN TRAFFIC CO COMMON 707832101 28 800 SH SOLE 800 0 0
PENNCORP FINL GRP COMMON 708094107 130 7000 SH SOLE 7000 0 0
PENNSYLVANIA ENTERPR COMMON 708720107 62 2000 SH SOLE 2000 0 0
PEOPLES ENERGY CORP COMMON 711030106 1415 54700 SH SOLE 54700 0 0
PETROLITE CORP COMMON 716723101 94 3100 SH SOLE 3100 0 0
PHH CORPORATION COMMON 693320103 1909 42900 SH SOLE 42900 0 0
PHILADELPHIA SUBN COMMON 718009608 87 4700 SH SOLE 4700 0 0
PHOENIX TECHNOLOGY COMMON 719153108 52 4800 SH SOLE 4800 0 0
PIEDMONT NAT GAS INC COMMON 720186105 170 8200 SH SOLE 8200 0 0
PILGRIMS PRIDE CORP COMMON 721467108 55 7100 SH SOLE 7100 0 0
PITT DESMOINES COMMON 724508106 24 700 SH SOLE 700 0 0
PLAINS PETROLEUM CO COMMON 726529100 77 2600 SH SOLE 2600 0 0
PLENUM PUBG CORP COMMON 729093104 130 3700 SH SOLE 3700 0 0
PORTLAND GEN CORP COMMON 736506106 1797 80300 SH SOLE 80300 0 0
POWERGEN PLC SPN ADR 738905405 1490 47500 SH SOLE 47500 0 0
PP&L RESOURCES INC COMMON 693499105 5622 288300 SH SOLE 288300 0 0
PRATT & LAMBERT UTD COMMON 739732105 19 800 SH SOLE 800 0 0
PRESIDENTIAL LIFE COMMON 740884101 187 22700 SH SOLE 22700 0 0
PRINTRONIX INC COMMON 742578107 44 1600 SH SOLE 1600 0 0
PROFFITTS INC COMMON 742925100 116 3900 SH SOLE 3900 0 0
PROTECTIVE LIFE CORP COMMOM 743674103 676 24800 SH SOLE 24800 0 0
PROVIDENT LIFE & ACC CLASS B 743889305 3106 133600 SH SOLE 133600 0 0
PUBLIC SVC CO COLO COMMON 744448101 10270 316000 SH SOLE 316000 0 0
PUBLIC SVC CO N C COMMON 744516105 115 7000 SH SOLE 7000 0 0
PUBLIC SVC CO N MEX COMMON 744499104 1462 102600 SH SOLE 102600 0 0
PUERTO RICAN CEM INC COMMON 745075101 49 1600 SH SOLE 1600 0 0
PUGET SOUND PWR & LT COMMON 745332106 2894 126500 SH SOLE 126500 0 0
PULITZER PUBG CO COMMON 745771105 550 12900 SH SOLE 12900 0 0
QUALITY FOOD CTRS COMMMON 747565109 310 15500 SH SOLE 15500 0 0
QUICK & REILLY GRP COMMON 748376100 524 14313 SH SOLE 14313 0 0
QUIKSILVER INC COMMON 74838C106 171 6500 SH SOLE 6500 0 0
R O C TAIWAN FD SH BEN 749651105 8196 745100 SH SOLE 745100 0 0
<PAGE> PAGE 10
VALUE SHARES/ SH/ PUT/ INVSTMT -----VOTING AUTHORITY-----
NAME OF ISSUER -TITLE OF CLASS- --CUSIP-- (x$1000) PRN AMT PRN CALL DSCRETN -MANAGERS- SOLE SHARED NONE
RANGER OIL LTD COMMON 752805101 653 104000 SH SOLE 104000 0 0
REGAL BELOIT CORP COMMON 758750103 166 10700 SH SOLE 10700 0 0
REINSURANCE GRP COMMON 759351109 232 8100 SH SOLE 8100 0 0
RELIANCE GROUP HLDGS COMMON 759464100 1625 250000 SH SOLE 250000 0 0
REN CORP-USA COMMON 759656101 156 9800 SH SOLE 9800 0 0
REPAP ENTERPR INC COMMON 76026M309 569 73600 SH SOLE 73600 0 0
REPUBLIC WASTE INDS COMMON 760934109 69 5300 SH SOLE 5300 0 0
RICHFOOD HLDGS INC COMMON 763408101 31 1400 SH SOLE 1400 0 0
RIO ALGOM LTD COMMON 766889109 56 2900 SH SOLE 2900 0 0
RISER FOODS INC CLASS A 767612104 23 2300 SH SOLE 2300 0 0
RJR NABISCO HOLDINGS PFD C D 74960K884 3798 633000 SH SOLE 633000 0 0
RLI CORP COMMON 749607107 111 4875 SH SOLE 4875 0 0
ROCHESTER GAS & ELEC COMMON 771367109 788 37100 SH SOLE 37100 0 0
ROLLINS INC COMMON 775711104 2068 86150 SH SOLE 86150 0 0
ROTO ROOTER INC COMMON 778786103 33 1200 SH SOLE 1200 0 0
RUDDICK CORP COMMON 781258108 226 10900 SH SOLE 10900 0 0
SAN DIEGO GAS & ELEC COMMON 797440104 19 900 SH SOLE 900 0 0
SANDERSON FARMS COMMON 800013104 89 7900 SH SOLE 7900 0 0
SAVANNAH FOODS & IND COMMON 804795102 96 8700 SH SOLE 8700 0 0
SCANA CORP COMMON 805898103 2837 126800 SH SOLE 126800 0 0
SCEPTRE RESOURCES COMMON 806214706 351 59400 SH SOLE 59400 0 0
SCOR U S CORP COMMON 784027104 40 4400 SH SOLE 4400 0 0
SEABOARD CORP COMMON 811543107 26 100 SH SOLE 100 0 0
SEAFIELD CAP CORP COMMON 811905108 69 1900 SH SOLE 1900 0 0
SEALED AIR CORP COMMON 812115103 585 13300 SH SOLE 13300 0 0
SEALRIGHT CO INC COMMON 812138105 107 6400 SH SOLE 6400 0 0
SELECTIVE INS GROUP COMMON 816300107 254 7700 SH SOLE 7700 0 0
SEMI-TECH CORP CLASS A 81662E108 563 69500 SH SOLE 69500 0 0
SEQUA CORPORATION CLASS A 817320104 287 9800 SH SOLE 9800 0 0
SEVENSON ENVMTL SVCS COMMON 818063109 37 2000 SH SOLE 2000 0 0
SIERRA PACIFIC RES COMMON 826425100 307 14100 SH SOLE 14100 0 0
SMART & FINAL INC COMMON 831683107 123 7200 SH SOLE 7200 0 0
SMITH A O CORP CLASS A 831865100 252 10800 SH SOLE 10800 0 0
SMUCKER J M CO CLASS A 832696108 133 6000 SH SOLE 6000 0 0
SONIC CORP COMMON 835451105 143 5200 SH SOLE 5200 0 0
SOUTH JERSEY INDS COMMON 838518108 59 2800 SH SOLE 2800 0 0
SOUTHEASTERN MICH GA COMMON 841825102 53 2729 SH SOLE 2729 0 0
SOUTHERN CALIF WATER COMMON 842502106 74 3800 SH SOLE 3800 0 0
SOUTHERN NATL CORP COMMON 843444100 311 12960 SH SOLE 12960 0 0
SOUTHLAND CORP COMMON 844436402 129 37600 SH SOLE 37600 0 0
SOUTHWEST GAS CORP COMMON 844895102 147 10300 SH SOLE 10300 0 0
SOUTHWESTERN ENERGY COMMON 845467109 19 1400 SH SOLE 1400 0 0
SOUTHWESTERN PUB SVC COMMON 845743103 2189 74200 SH SOLE 74200 0 0
SPRINGS INDS INC CLASS A 851783100 484 13000 SH SOLE 13000 0 0
SPS TECHNOLOGIES INC COMMON 784626103 34 900 SH SOLE 900 0 0
SPS TRANSACTION SVCS COMMON 784627101 270 7800 SH SOLE 7800 0 0
ST JOSEPH LT & PWR COMMON 790654107 34 1200 SH SOLE 1200 0 0
STANDARD FED BANCORP COMMON 853386100 1086 32300 SH SOLE 32300 0 0
STANDARD PRODS CO COMMON 853836104 228 10500 SH SOLE 10500 0 0
STANDEX INTL CORP COMMON 854231107 356 11300 SH SOLE 11300 0 0
<PAGE> PAGE 11
VALUE SHARES/ SH/ PUT/ INVSTMT -----VOTING AUTHORITY-----
NAME OF ISSUER -TITLE OF CLASS- --CUSIP-- (x$1000) PRN AMT PRN CALL DSCRETN -MANAGERS- SOLE SHARED NONE
STARRETT L S CO CLASS A 855668109 32 1400 SH SOLE 1400 0 0
STEIN MART INC COMMON 858375108 43 3200 SH SOLE 3200 0 0
STEPAN CO COMMON 858586100 22 1300 SH SOLE 1300 0 0
STHRN IND GAS & ELEC COMMON 843163106 173 5400 SH SOLE 5400 0 0
STILLWATER MNG CO COMMON 86074Q102 4545 163400 SH SOLE 163400 0 0
STORAGE TECHNOLOGY PFD $3. 862111309 143 2500 SH SOLE 2500 0 0
STRAWBRIDGE&CLOTHIER CLASS A 863200101 113 5660 SH SOLE 5660 0 0
STUDENT LN CORP COMMON 863902102 89 3300 SH SOLE 3300 0 0
STURM RUGER & CO INC COMMON 864159108 168 5200 SH SOLE 5200 0 0
SUMMIT PPTYS INC COMMON 866239106 1294 75000 SH SOLE 75000 0 0
SUNCOR INC COMMON 867229106 64 2300 SH SOLE 2300 0 0
SUPER FOOD SVCS INC COMMON 867884108 71 6000 SH SOLE 6000 0 0
SUPERIOR SURGICL MFG COMMON 868358102 68 6500 SH SOLE 6500 0 0
SWIFT TRANSPORT CO COMMON 870756103 241 14400 SH SOLE 14400 0 0
SYMS CORP COMMON 871551107 28 3900 SH SOLE 3900 0 0
SYNETIC INC COMMON 87160F109 240 9800 SH SOLE 9800 0 0
TARGET THERAPEUTICS COMMON 875919102 13 300 SH SOLE 300 0 0
TASTY BAKING CO COMMON 876553306 48 3600 SH SOLE 3600 0 0
TECH SYM CORP COMMON 878308105 52 1900 SH SOLE 1900 0 0
TECHNITROL INC COMMON 878555101 17 1200 SH SOLE 1200 0 0
TECO ENERGY INC COMMON 872375100 6879 312700 SH SOLE 312700 0 0
TEKELEC COMMON 879101103 39 1600 SH SOLE 1600 0 0
TELEFONICA DE ESPANI SPONSOR 879382208 326 8400 SH SOLE 8400 0 0
TELEFONOS DE MEXICO SPNSD A 879403780 4453 150300 SH SOLE 150300 0 0
TENNANT CO COMMON 880345103 57 2100 SH SOLE 2100 0 0
TETRA TECHNOLOGIES COMMON 88162F105 136 11200 SH SOLE 11200 0 0
THOMAS & BETTS CORP COMMON 884315102 971 14200 SH SOLE 14200 0 0
THORN APPLE VALLEY COMMON 885184101 89 3800 SH SOLE 3800 0 0
TNP ENTERPRISES INC COMMON 872594106 69 4300 SH SOLE 4300 0 0
TOOTSIE ROLL INDS COMMON 890516107 537 7753 SH SOLE 7753 0 0
TORO CO COMMON 891092108 157 5600 SH SOLE 5600 0 0
TOTAL PETE NRTH AMER COMMON 891508103 299 27400 SH SOLE 27400 0 0
TOTAL SYS SVCS INC COMMON 891906109 82 5600 SH SOLE 5600 0 0
TRAK AUTO CORP COMMON 892887100 8 500 SH SOLE 500 0 0
TRANS WORLD ENTMT CO COMMON 89336Q100 7 2100 SH SOLE 2100 0 0
TRANSATLANTIC HLDGS COMMON 893521104 1424 21900 SH SOLE 21900 0 0
TREDEGAR INDS INC COMMON 894650100 132 5300 SH SOLE 5300 0 0
TRUE NORTH COMMUNCTN COMMON 897844106 160 8500 SH SOLE 8500 0 0
TRUSTMARK CORP COMMON 898402102 71 4000 SH SOLE 4000 0 0
TULTEX CORP COMMON 899900104 105 18700 SH SOLE 18700 0 0
TVX GOLD INC COMMON 87308K101 4859 676000 SH SOLE 676000 0 0
TYLER CORP DEL COMMON 902184100 12 3900 SH SOLE 3900 0 0
U S AIR GROUP INC PFD B C 911905305 1330 35000 SH SOLE 35000 0 0
U S INDS INC COMMON 912080108 666 48864 SH SOLE 48864 0 0
UGI CORP COMMON 902681105 1132 53600 SH SOLE 53600 0 0
ULTRAMAR CORP COMMON 903912103 576 22800 SH SOLE 22800 0 0
UNIFIRST CORP COMMON 904708104 58 4300 SH SOLE 4300 0 0
UNION ELEC CO COMMON 906548102 6027 161800 SH SOLE 161800 0 0
UNITED CITIES GAS CO COMMON 909823106 48 3200 SH SOLE 3200 0 0
UNITED FOODS INC CLASS B 910365105 14 5800 SH SOLE 5800 0 0
<PAGE> PAGE 12
VALUE SHARES/ SH/ PUT/ INVSTMT -----VOTING AUTHORITY-----
NAME OF ISSUER -TITLE OF CLASS- --CUSIP-- (x$1000) PRN AMT PRN CALL DSCRETN -MANAGERS- SOLE SHARED NONE
UNITED ILLUM CO COMMON 910637107 201 6100 SH SOLE 6100 0 0
UNITED INDL CORP COMMON 910671106 52 7300 SH SOLE 7300 0 0
UNITED TELEVISION COMMON 913066106 163 2300 SH SOLE 2300 0 0
UNITED WTR RES INC COMMON 913190104 96 7248 SH SOLE 7248 0 0
UNIVERSAL CORP COMMON 913456109 315 15000 SH SOLE 15000 0 0
UNIVERSAL HEALTH SVC CLASS B 913903100 9 300 SH SOLE 300 0 0
UNO RESTAURANT COMMON 914900105 30 2925 SH SOLE 2925 0 0
UNOCAL CORP PFD 7% 915289201 268 5000 SH SOLE 5000 0 0
UNR INDS INC COMMON 903185106 164 22200 SH SOLE 22200 0 0
USLIFE CORP COMMON 917318107 1220 30300 SH SOLE 30300 0 0
UTD CAROLINA BANCSHR COMMON 909796104 92 3000 SH SOLE 3000 0 0
UTD DOMINION INDS COMMON 909914103 2576 115084 SH SOLE 115084 0 0
UTILICORP UNITED INC COMMON 918005109 1769 62900 SH SOLE 62900 0 0
VALMONT INDS INC COMMON 920253101 11 500 SH SOLE 500 0 0
VALSPAR CORP COMMON 920355104 1110 29300 SH SOLE 29300 0 0
VALUE CITY DEPT STRS COMMON 920387107 92 12100 SH SOLE 12100 0 0
VALUE LINE INC COMMON 920437100 7 200 SH SOLE 200 0 0
VERSA TECHNOLOGIES COMMON 925116105 13 900 SH SOLE 900 0 0
VINTAGE PETE INC COMMON 927460105 45 2400 SH SOLE 2400 0 0
VITAL SIGNS INC COMMON 928469105 229 13300 SH SOLE 13300 0 0
VITALINK PHARMACY COMMON 92846E104 50 3000 SH SOLE 3000 0 0
VITRO SOCIEDAD ANON SPONSOR 928502301 971 112600 SH SOLE 112600 0 0
VOLT INFO SCIENCE COMMON 928703107 37 1200 SH SOLE 1200 0 0
VULCAN MATLS CO COMMON 929160109 1553 28500 SH SOLE 28500 0 0
WACKENHUT CORP COM SER 929794105 37 2500 SH SOLE 2500 0 0
WALBRO CORP COMMON 931154108 74 4100 SH SOLE 4100 0 0
WALDEN RES PPTYS INC COMMON 931210108 1011 55000 SH SOLE 55000 0 0
WASHINGTON ENERGY CO COMMON 938815107 126 7700 SH SOLE 7700 0 0
WASHINGTON FED INC COMMON 938824109 169 7700 SH SOLE 7700 0 0
WASHINGTON GAS LT CO COMMON 938837101 770 40800 SH SOLE 40800 0 0
WASHINGTON POST CO CLASS B 939640108 1305 5000 SH SOLE 5000 0 0
WASHINGTON WATER PWR COMMON 940688104 3869 241800 SH SOLE 241800 0 0
WASTE MGMT INTL PLC SPONSOR 940906100 71 7500 SH SOLE 7500 0 0
WD-40 CO COMMON 929236107 245 5900 SH SOLE 5900 0 0
WEIS MKTS INC COMMON 948849104 1496 53900 SH SOLE 53900 0 0
WEST CO INC COMMON 953348109 174 6200 SH SOLE 6200 0 0
WESTCOAST ENERGY INC COMMON 95751D102 930 62821 SH SOLE 62821 0 0
WESTERN GAS RES INC COMMON 958259103 55 3200 SH SOLE 3200 0 0
WESTERN RES INC COMMON 959425109 3668 118800 SH SOLE 118800 0 0
WESTERN WASTE INDS COMMON 959880105 181 9000 SH SOLE 9000 0 0
WEYCO GROUP INC COMMON 962149100 36 1000 SH SOLE 1000 0 0
WHITE RIV CORP COMMON 964452106 10 300 SH SOLE 300 0 0
WHITTAKER CORP COMMON 966680407 77 3500 SH SOLE 3500 0 0
WICOR INC COMMON 929253102 146 5200 SH SOLE 5200 0 0
WILEY JOHN & SONS CLASS A 968223206 176 3100 SH SOLE 3100 0 0
WILLIS CORROON GPPLC SPONSOR 970624201 300 25000 SH SOLE 25000 0 0
WILMINGTON TRUST CRP COMMON 971807102 45 1600 SH SOLE 1600 0 0
WISCONSIN ENERGY COMMON 976657106 12566 448800 SH SOLE 448800 0 0
WLR FOODS INC COMMON 929286102 201 13950 SH SOLE 13950 0 0
WOLOHAN LMBR CO COMMON 977865104 54 4600 SH SOLE 4600 0 0
<PAGE> PAGE 13
VALUE SHARES/ SH/ PUT/ INVSTMT -----VOTING AUTHORITY-----
NAME OF ISSUER -TITLE OF CLASS- --CUSIP-- (x$1000) PRN AMT PRN CALL DSCRETN -MANAGERS- SOLE SHARED NONE
WPL HOLDINGS INC COMMON 929305100 1039 36300 SH SOLE 36300 0 0
WPS RESOURCES CORP COMMON 92931B106 608 20800 SH SOLE 20800 0 0
WYMAN GORDON CO COMMON 983085101 11 1000 SH SOLE 1000 0 0
X-RITE INC COMMON 983857103 368 19900 SH SOLE 19900 0 0
YANKEE ENERGY SYS COMMON 984779108 58 2600 SH SOLE 2600 0 0
YOUNKERS INC COMMON 987767100 93 5400 SH SOLE 5400 0 0
YPF SOCIEDAD ANONIMA SPON AD 984245100 296 15703 SH SOLE 15703 0 0
ZENITH NATL INS CORP COMMON 989390109 111 5200 SH SOLE 5200 0 0
REPORT SUMMARY 558 DATA RECORDS 460132 0 OTHER MANAGERS ON WHOSE BEHALF REPORT IS FILED
</TABLE>
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