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<TABLE>
<C> <C>
<PAGE> PAGE 1
SECURITIES AND EXCHANGE COMMISSION
FORM 13F-E
Report for the Calendar Year or Quarter Ended: 09/30/95
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 11/13/95
<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 7979 456900 SH SOLE 456900 0 0
ABM INDS INC COMMON 000957100 87 3300 SH SOLE 3300 0 0
ACME CLEVELAND CORP COMMON 004626107 48 1800 SH SOLE 1800 0 0
ADAC LABS COMMON 005313200 182 15200 SH SOLE 15200 0 0
ADV SEMICONDCTR MATL COMMON 007914104 77581 1536257 SH SOLE 1536257 0 0
ADVO INC COMMON 007585102 292 12300 SH SOLE 12300 0 0
AES CORP COMMON 00130H105 8750 460500 SH SOLE 460500 0 0
AIR EXPRESS INTL COMMON 009104100 424 16800 SH SOLE 16800 0 0
ALBERTO-CULVER CO CLASS B 013068101 400 13100 SH SOLE 13100 0 0
ALICO INC COMMON 016230104 21 1200 SH SOLE 1200 0 0
ALLEGHANY CORP DEL COMMON 017175100 456 2668 SH SOLE 2668 0 0
ALLEGHENY POWER SYS COMMON 017411109 14430 565900 SH SOLE 565900 0 0
ALLMERICA PPTY&CAS COMMON 01975T105 2624 109900 SH SOLE 109900 0 0
AMER MGMNT SYS COMMON 027352103 234 8750 SH SOLE 8750 0 0
AMERICAN NATL INS CO COMMON 028591105 216 3700 SH SOLE 3700 0 0
AMERICAN WTR WKS INC COMMON 030411102 971 31700 SH SOLE 31700 0 0
AMERN BANKERS INS CO COMMON 024456105 648 17400 SH SOLE 17400 0 0
AMERN BILTRITE INC COMMON 024591109 10 400 SH SOLE 400 0 0
AMERN BUSINESS INFO COMMON 02476F107 225 11100 SH SOLE 11100 0 0
AMERN BUSINESS PRODS COMMON 024763104 136 6600 SH SOLE 6600 0 0
AMERN FILTRONA CORP COMMON 026042101 3 100 SH SOLE 100 0 0
AMERN HERITAGE LIFE COMMON 026522102 55 2749 SH SOLE 2749 0 0
AMERN MEDIA OPERATNS CLASS A 02744L100 102 17700 SH SOLE 17700 0 0
AMPLICON INC COMMON 032101107 2 100 SH SOLE 100 0 0
ANGELICA CORP COMMON 034663104 88 3500 SH SOLE 3500 0 0
ANTHONY INDS INC COMMON 036798106 68 3600 SH SOLE 3600 0 0
APOGEE ENTERPRISES COMMON 037598109 158 10500 SH SOLE 10500 0 0
APPLIED PWR INC CLASS A 038225108 179 5600 SH SOLE 5600 0 0
AQUARION CO COMMON 03838W101 95 3900 SH SOLE 3900 0 0
ARBOR DRUGS INC COMMON 038760104 453 24150 SH SOLE 24150 0 0
ARGONAUT GROUP INC COMMON 040157109 342 11200 SH SOLE 11200 0 0
ARMOR ALL PRODS CORP COMMON 042256107 106 6200 SH SOLE 6200 0 0
ASHLAND COAL INC COMMON 043906106 111 3700 SH SOLE 3700 0 0
ATLANTA GAS LT CO COMMON 047753108 2314 59900 SH SOLE 59900 0 0
ATLANTIC ENERGY INC COMMON 048903108 1687 84900 SH SOLE 84900 0 0
ATLANTIC TELE NETWRK COMMON 049079106 20 1600 SH SOLE 1600 0 0
ATMOS ENERGY CORP COMMON 049560105 89 4600 SH SOLE 4600 0 0
ATWOOD OCEANICS INC COMMON 050095108 25 1200 SH SOLE 1200 0 0
AVEMCO CORP COMMON 053555108 45 2700 SH SOLE 2700 0 0
AYDIN CORP COMMON 054681101 10 600 SH SOLE 600 0 0
BALDOR ELEC CO COMMON 057741100 300 12000 SH SOLE 12000 0 0
BALDWIN & LYONS INC CLASS B 057755209 9 600 SH SOLE 600 0 0
BANK OF MONTREAL COMMON 063671101 3893 177739 SH SOLE 177739 0 0
BANPOMCE CORP COMMON 066704107 283 7300 SH SOLE 7300 0 0
BANTA CORP COMMON 066821109 400 9400 SH SOLE 9400 0 0
BARNES GROUP INC COMMON 067806109 98 2400 SH SOLE 2400 0 0
BAY ST GAS CO COMMON 072612609 112 4600 SH SOLE 4600 0 0
BCE INC COMMON 05534B109 6267 188093 SH SOLE 188093 0 0
BEAUTI CNTL COSMETIC COMMON 074655101 48 4900 SH SOLE 4900 0 0
BELO A H CORP CLASS A 080555105 770 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 80 7800 SH SOLE 7800 0 0
BET HLDGS INC CLASS A 086585106 30 1500 SH SOLE 1500 0 0
BIC CORP COMMON 088734108 471 11800 SH SOLE 11800 0 0
BINDLEY WESTN INDS COMMON 090324104 188 10100 SH SOLE 10100 0 0
BIO RAD LABS INC CLASS A 090572207 310 7700 SH SOLE 7700 0 0
BLACK HILLS CORP COMMON 092113109 120 4900 SH SOLE 4900 0 0
BLAIR CORP COMMON 092828102 473 13900 SH SOLE 13900 0 0
BLANCH E W HLDGS COMMON 093210102 15 800 SH SOLE 800 0 0
BLESSINGS CORP COMMON 093532109 45 3400 SH SOLE 3400 0 0
BLOCK DRUG INC CLASS A 093644102 170 4384 SH SOLE 4384 0 0
BMC INDS INC MINN COMMON 055607105 568 14700 SH SOLE 14700 0 0
BOB EVANS FARMS INC COMMON 096761101 793 41200 SH SOLE 41200 0 0
BOISE CASCADE CORP DEP ACE 097383863 841 25000 SH SOLE 25000 0 0
BORG WARNER SEC COMMON 099733107 53 6200 SH SOLE 6200 0 0
BOSTON EDISON CO COMMON 100599109 223 8100 SH SOLE 8100 0 0
BOWNE & CO INC COMMON 103043105 239 11800 SH SOLE 11800 0 0
BRADY WH CO CLASS A 104674106 139 1900 SH SOLE 1900 0 0
BRASCAN LTD CLASS A 105502405 2156 130500 SH SOLE 130500 0 0
BRITISH PETE PLC ADR 110889409 135 1500 SH SOLE 1500 0 0
BROOKLYN UN GAS CO COMMON 114259104 3979 161600 SH SOLE 161600 0 0
BROWN FORMAN CORP CLASS B 115637209 7192 185000 SH SOLE 185000 0 0
BROWN GROUP INC COMMON 115657108 39 2100 SH SOLE 2100 0 0
BUCKLE INC COMMON 118440106 53 3100 SH SOLE 3100 0 0
BW/IP INC CLASS A 056044100 238 13300 SH SOLE 13300 0 0
C D I CORP COMMON 125071100 198 9700 SH SOLE 9700 0 0
CACI INTERNATIONAL CLASS A 127190304 10 800 SH SOLE 800 0 0
CALIFORNIA WTR SVC COMMON 130789100 59 1800 SH SOLE 1800 0 0
CANADIAN MARCONI CO COMMON 136357100 540 54900 SH SOLE 54900 0 0
CAPITAL RE CORP COMMON 140432105 180 6000 SH SOLE 6000 0 0
CAPITOL AMERN FINL COMMON 14055J103 165 7400 SH SOLE 7400 0 0
CARLISLE COS INC COMMON 142339100 187 4500 SH SOLE 4500 0 0
CARLISLE PLASTICS COMMON 142522101 35 7000 SH SOLE 7000 0 0
CAROLINA PWR & LT CO COMMON 144141108 3154 93800 SH SOLE 93800 0 0
CASCADE CORP COMMON 147195101 90 5900 SH SOLE 5900 0 0
CASCADE NAT GAS CORP COMMON 147339105 42 2800 SH SOLE 2800 0 0
CASEYS GEN STORES COMMON 147528103 604 26700 SH SOLE 26700 0 0
CASTLE A M & CO COMMON 148411101 14 650 SH SOLE 650 0 0
CCB FINANCIAL CORP COMMON 124875105 194 3800 SH SOLE 3800 0 0
CCH INC CLASS A 124883109 75 3100 SH SOLE 3100 0 0
CDN OCCIDENTAL PETE COMMON 136420106 12801 404500 SH SOLE 404500 0 0
CENT HUDSON GAS&ELEC COMMON 153609102 293 9600 SH SOLE 9600 0 0
CENTRAL LOUIS ELEC COMMON 153897608 220 8600 SH SOLE 8600 0 0
CENTRAL MAINE POWER COMMON 154051106 312 23800 SH SOLE 23800 0 0
CENTRAL NEWSPAPERS CLASS A 154647101 461 15100 SH SOLE 15100 0 0
CENTRAL VT PUB SVC COMMON 155771108 76 5650 SH SOLE 5650 0 0
CENTURA BKS INC COMMON 15640T100 156 4700 SH SOLE 4700 0 0
CHEMED CORP COMMON 163596109 187 5300 SH SOLE 5300 0 0
CHINA TIRE HLDGS COMMON G2107X108 224 26300 SH SOLE 26300 0 0
CHRISTIANA COS INC COMMON 170819106 17 600 SH SOLE 600 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
CHURCH & DWIGHT INC COMMON 171340102 272 12500 SH SOLE 12500 0 0
CHURCHILL DOWNS INC COMMON 171484108 11 300 SH SOLE 300 0 0
CILCORP INC COMMON 171794100 186 4900 SH SOLE 4900 0 0
CINERGY CORP COMMON 172474108 17756 637000 SH SOLE 637000 0 0
CIPSCO INC COMMON 125539106 3358 97700 SH SOLE 97700 0 0
CIRCON CORP COMMON 172736100 87 4300 SH SOLE 4300 0 0
CITIZENS CORP COMMON 174533109 91 4800 SH SOLE 4800 0 0
CMAC INVT CORP COMMON 125662106 142 2700 SH SOLE 2700 0 0
COLEMAN INC COMMON 193559101 259 6900 SH SOLE 6900 0 0
COLONIAL GAS CO COMMON 195674106 48 2400 SH SOLE 2400 0 0
COMINCO LTD COMMON 200435105 7408 373000 SH SOLE 373000 0 0
COMMERCIAL INTERTECH COMMON 201709102 74 3850 SH SOLE 3850 0 0
COMMONWEALTH ENERGY COMMON 202800108 213 4900 SH SOLE 4900 0 0
COMPASS BANCSHARES COMMON 20449H109 206 6600 SH SOLE 6600 0 0
CONCORD EFS INC COMMON 206197105 334 10950 SH SOLE 10950 0 0
CONMED CORP COMMON 207410101 197 6000 SH SOLE 6000 0 0
CONNECTICUT ENERGY COMMON 207567108 62 3200 SH SOLE 3200 0 0
CONNECTICUT NAT GAS COMMON 207651100 80 3600 SH SOLE 3600 0 0
CONSUMERS WATER CO COMMON 210723102 14 800 SH SOLE 800 0 0
CONTINUUM INC COMMON 212180103 426 11100 SH SOLE 11100 0 0
COPLEY PHARMACEUT COMMON 21745K101 50 2600 SH SOLE 2600 0 0
CPI CORP COMMON 125902106 261 11800 SH SOLE 11800 0 0
CRAIG JENNY INC COMMON 224206102 49 5000 SH SOLE 5000 0 0
CRAWFORD & CO CLASS B 224633107 37 2300 SH SOLE 2300 0 0
CROSS A T CO CLASS A 227478104 127 7500 SH SOLE 7500 0 0
CROWN AMERN RLTY SH BEN 228186102 206 25000 SH SOLE 25000 0 0
CROWN BOOKS CORP COMMON 228210100 50 5000 SH SOLE 5000 0 0
CROWN CENT PETE CORP CLASS A 228219101 30 1900 SH SOLE 1900 0 0
CROWN VANTAGE INC COMMON 228622106 61 2760 SH SOLE 2760 0 0
CSS INDS INC COMMON 125906107 58 2500 SH SOLE 2500 0 0
CTS CORP COMMON 126501105 22 700 SH SOLE 700 0 0
CUBIC CORP COMMON 229669106 38 1600 SH SOLE 1600 0 0
CULBRO CORP COMMON 229890108 48 1200 SH SOLE 1200 0 0
CURATIVE TECHNOLOGS COMMON 231264102 14 1000 SH SOLE 1000 0 0
CURTISS WRIGHT CORP COMMON 231561101 44 1000 SH SOLE 1000 0 0
DAMES & MOORE INC COMMON 235713104 141 8800 SH SOLE 8800 0 0
DANIEL INDS INC COMMON 236235107 49 3300 SH SOLE 3300 0 0
DART GROUP CORP CLASS A 237415104 60 700 SH SOLE 700 0 0
DE BEERS CONS MINES ADR 240253302 3145 115400 SH SOLE 115400 0 0
DEB SHOPS INC COMMON 242728103 17 4700 SH SOLE 4700 0 0
DELCHAMPS INC COMMON 246615108 74 4000 SH SOLE 4000 0 0
DELMARVA PWR & LT CO COMMON 247109101 2139 93500 SH SOLE 93500 0 0
DELPHI FINL GRP CLASS A 247131105 74 4200 SH SOLE 4200 0 0
DEPOSIT GTY CORP COMMON 249555103 313 7400 SH SOLE 7400 0 0
DEVON GROUP INC NEW COMMON 251801106 381 8800 SH SOLE 8800 0 0
DEVRY INC DEL COMMON 251893103 234 9100 SH SOLE 9100 0 0
DIAGNOSTIC PRODUCTS COMMON 252450101 266 6900 SH SOLE 6900 0 0
DIGITAL SYS INTL INC COMMON 253912109 21 2000 SH SOLE 2000 0 0
DIONEX CORP COMMON 254546104 298 5700 SH SOLE 5700 0 0
DOMTAR INC COMMON 257561100 4563 491700 SH SOLE 491700 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
DONALDSON INC COMMON 257651109 192 7800 SH SOLE 7800 0 0
DONNELY CORP CLASS A 257870105 38 2600 SH SOLE 2600 0 0
DOWNEY FINANCIAL COMMON 261018105 104 5200 SH SOLE 5200 0 0
DPL INC COMMON 233293109 11904 514750 SH SOLE 514750 0 0
DQE INC COMMON 23329J104 4253 160500 SH SOLE 160500 0 0
DUPLEX PRODS INC COMMON 266093103 24 3200 SH SOLE 3200 0 0
DYNAMICS CORP AMER COMMON 268039104 51 2200 SH SOLE 2200 0 0
E TOWN COMMON 269242103 67 2500 SH SOLE 2500 0 0
EASTERN UTILS ASSOC COMMON 277173100 275 11400 SH SOLE 11400 0 0
EATON VANCE CORP COMMON 278265103 377 9800 SH SOLE 9800 0 0
EDO CORP COMMON 281347104 10 1800 SH SOLE 1800 0 0
ELECTRO RENT CORP COMMON 285218103 525 30000 SH SOLE 30000 0 0
EMPI INC COMMON 291586105 28 1400 SH SOLE 1400 0 0
EMPIRE DIST ELEC CO COMMON 291641108 96 5200 SH SOLE 5200 0 0
EMPRESAS ICA SOCIED ADRS(RE 292448107 2502 217600 SH SOLE 217600 0 0
ENERGEN CORP COMMON 29265N108 100 4600 SH SOLE 4600 0 0
ENHANCE FINL SVCS GR COMMON 293310108 230 11200 SH SOLE 11200 0 0
ENNIS BUSINESS FORMS COMMON 293389102 133 9600 SH SOLE 9600 0 0
ENSERCH EXPLORATION COMMON 29356V100 394 37500 SH SOLE 37500 0 0
EQUITABLE RES INC COMMON 294549100 149 5050 SH SOLE 5050 0 0
ESTERLINE TECH CORP COMMON 297425100 148 5400 SH SOLE 5400 0 0
EXPEDITORS INTL WASH COMMON 302130109 181 6700 SH SOLE 6700 0 0
FAB INDS INC COMMON 302747100 46 1500 SH SOLE 1500 0 0
FARMER BROS CO COMMON 307675108 26 200 SH SOLE 200 0 0
FAY INCORPORATED COMMON 313035107 83 10000 SH SOLE 10000 0 0
FIGGIE INTL INC DEL CLASS A 316828508 305 23000 SH SOLE 23000 0 0
FINA INC CLASS A 31734L101 256 5300 SH SOLE 5300 0 0
FIRST AMERN FINL COMMON 318522307 11 452 SH SOLE 452 0 0
FIRST BRANDS CORP COMMON 319356101 333 7400 SH SOLE 7400 0 0
FIRST CITIZENS BANCS CLASS A 31946M103 79 1500 SH SOLE 1500 0 0
FIRST COLONY CORP COMMON 319741104 464 17100 SH SOLE 17100 0 0
FIRST COMM CORP COMMON 319779104 468 14850 SH SOLE 14850 0 0
FIRST EMPIRE ST CORP COMMON 320076102 190 1000 SH SOLE 1000 0 0
FIRST HAWAIIAN INC COMMON 320506108 97 3300 SH SOLE 3300 0 0
FIRST VA BANKS INC COMMON 337477103 50 1200 SH SOLE 1200 0 0
FIRSTMERIT CORP COMMON 337915102 56 2250 SH SOLE 2250 0 0
FLOR EAST COAST INDS COMMON 340632108 402 5600 SH SOLE 5600 0 0
FLORIDA PROGRESS COMMON 341109106 8042 248400 SH SOLE 248400 0 0
FLORIDA ROCK INDS COMMON 341140101 11 400 SH SOLE 400 0 0
FOREMOST CORP AMER COMMON 345469100 75 1700 SH SOLE 1700 0 0
FREE ST CONSOL GLD ADR 356142208 341 30000 SH SOLE 30000 0 0
FREMONT GENERAL CORP COMMON 357288109 417 15110 SH SOLE 15110 0 0
FRONTIER INS GROUP COMMON 359081106 238 7863 SH SOLE 7863 0 0
GAINSCO INC COMMON 363127101 120 13397 SH SOLE 13397 0 0
GALLAGHER ARTHR J&CO COMMON 363576109 263 7400 SH SOLE 7400 0 0
GARAN INC COMMON 364802108 72 4200 SH SOLE 4200 0 0
GEICO CORP COMMON 361582109 1986 29100 SH SOLE 29100 0 0
GENERAL HOST CORP COMMON 370064107 76 13000 SH SOLE 13000 0 0
GENOVESE DRUG STORES CLASS A 372442202 33 3380 SH SOLE 3380 0 0
GETTY PETE CORP COMMON 374290104 63 4700 SH SOLE 4700 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
GIANT INDS INC COMMON 374508109 83 7600 SH SOLE 7600 0 0
GLATFELTER P H CO COMMON 377316104 1163 51700 SH SOLE 51700 0 0
GLEASON CORP COMMON 377339106 43 1300 SH SOLE 1300 0 0
GOLDEN POULTRY INC COMMON 381151109 7 1100 SH SOLE 1100 0 0
GOODYS FAM CLOTHING COMMON 382588101 168 12000 SH SOLE 12000 0 0
GORMAN RUPP CO COMMON 383082104 20 1250 SH SOLE 1250 0 0
GRACO INC COMMON 384109104 131 3850 SH SOLE 3850 0 0
GRC INTERNATIONAL COMMON 361922107 146 6400 SH SOLE 6400 0 0
GREEN MOUNTAIN PWR COMMON 393154109 35 1300 SH SOLE 1300 0 0
GREIF BROS CORP CLASS A 397624107 34 1400 SH SOLE 1400 0 0
GREY ADVERTISING INC COMMON 397838103 1438 7300 SH SOLE 7300 0 0
GRPO MEXICANO DE DES SPND AD 40048G104 108 34444 SH SOLE 34444 0 0
GRPO MEXICANO DE DES REP SER 40048G203 133 34444 SH SOLE 34444 0 0
GRUPO TRIBASA S A SPON AD 40049F105 1268 169000 SH SOLE 169000 0 0
GUARANTY NATL CORP COMMON 401192109 63 3800 SH SOLE 3800 0 0
GUILFORD MLS INC COMMON 401794102 75 3100 SH SOLE 3100 0 0
GULF CDA RESOURCES ORDINAR 40218L305 3012 705500 SH SOLE 705500 0 0
HANCOCK FABRICS COMMON 409900107 172 17200 SH SOLE 17200 0 0
HANNAFORD BROS CO COMMON 410550107 1048 39000 SH SOLE 39000 0 0
HANSON PLC ADR SPO 411352305 813 50000 SH SOLE 50000 0 0
HANSON PLC WTS SER 411352131 102 818765 SH SOLE 818765 0 0
HARPER GROUP INC COMMON 413459108 196 10300 SH SOLE 10300 0 0
HAWAIIAN ELEC INDS COMMON 419870100 2561 67400 SH SOLE 67400 0 0
HEALTHCARE SVCS GRP COMMON 421906108 28 2600 SH SOLE 2600 0 0
HELENE CURTIS INDS COMMON 423236108 250 8300 SH SOLE 8300 0 0
HI SHEAR INDS INC COMMON 428399109 16 2200 SH SOLE 2200 0 0
HI-LO AUTOMOTIVE INC COMMON 42839D100 25 3400 SH SOLE 3400 0 0
HILB ROGAL&HAMILTON COMMON 431294107 76 5700 SH SOLE 5700 0 0
HOLLY CORP COMMON 435758305 152 6600 SH SOLE 6600 0 0
HOME BEN CORP CLASS B 437052202 64 2800 SH SOLE 2800 0 0
HONDO OIL & GAS CO COMMON 438138109 16 800 SH SOLE 800 0 0
HORACE MANN EDUCATRS COMMON 440327104 677 24600 SH SOLE 24600 0 0
HORSEHEAD RES DEV CO COMMON 440699106 15 2700 SH SOLE 2700 0 0
HOUSE OF FABRICS INC D COMMON 441758109 7 11000 SH SOLE 11000 0 0
HOWELL CORP COMMON 443051107 21 1500 SH SOLE 1500 0 0
IDAHO POWER CO COMMON 451380109 3988 143700 SH SOLE 143700 0 0
IDEX CORP COMMON 45167R104 231 6450 SH SOLE 6450 0 0
IES INDUSTRIES INC COMMON 44949M103 1624 61000 SH SOLE 61000 0 0
ILLINOVA CORP COMMON 452317100 3722 137200 SH SOLE 137200 0 0
IMPERIAL HOLLY CORP COMMON 452835101 7 900 SH SOLE 900 0 0
INDEPENDENT INS GRP COMMON 453858201 160 6400 SH SOLE 6400 0 0
INDIA FD INC COMMON 454089103 293 30000 SH SOLE 30000 0 0
INDIANA ENERGY INC COMMON 454707100 179 8300 SH SOLE 8300 0 0
INDRESCO INC COMMON 455905109 202 11300 SH SOLE 11300 0 0
INGLES MKTS INC CLASS A 457030104 36 3600 SH SOLE 3600 0 0
INTEGON CORP COMMON 45810F101 108 6100 SH SOLE 6100 0 0
INTER CITY PROD CORP ORDINAR 45821E101 26 13900 SH SOLE 13900 0 0
INTER REGIONAL FINL COMMON 458351103 227 6300 SH SOLE 6300 0 0
INTERNATIONAL ALUM COMMON 458884103 57 1800 SH SOLE 1800 0 0
INTERSTATE POWER CO COMMON 461074106 87 3200 SH SOLE 3200 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
INTERTAN INC COMMON 461120107 25 2700 SH SOLE 2700 0 0
INTL DAIRY QUEEN CLASS A 459373205 331 15600 SH SOLE 15600 0 0
INTL MULTIFOODS CORP COMMON 460043102 632 29400 SH SOLE 29400 0 0
INTL SHIPHOLDING CO COMMON 460321201 65 2600 SH SOLE 2600 0 0
IPALCO ENTERPRISES COMMON 462613100 1589 44300 SH SOLE 44300 0 0
IPL ENERGY INC COMMON 449911106 132 5800 SH SOLE 5800 0 0
IPSCO INC COMMON 462622101 309 16000 SH SOLE 16000 0 0
IWC RESOURCES CORP COMMON 450712104 10 500 SH SOLE 500 0 0
JAMES RIVER CORP VA PFD CV 470349887 2745 90000 SH SOLE 90000 0 0
JEFFERIES GROUP INC COMMON 472318104 173 4300 SH SOLE 4300 0 0
JOHNSON WORLDWIDE CLASS A 479254104 103 4300 SH SOLE 4300 0 0
JP REALTY INC COMMON 46624A106 206 10000 SH SOLE 10000 0 0
K N ENERGY INC COMMON 482620101 189 6950 SH SOLE 6950 0 0
K-SWISS INC CLASS A 482686102 97 7600 SH SOLE 7600 0 0
KAMAN CORP CLASS A 483548103 213 17900 SH SOLE 17900 0 0
KANS CITY LIFE INS COMMON 484836101 90 1700 SH SOLE 1700 0 0
KANSAS CITY PWR & LT COMMON 485134100 2612 109400 SH SOLE 109400 0 0
KATY INDS INC COMMON 486026107 39 4100 SH SOLE 4100 0 0
KAYDON CORP COMMON 486587108 204 6900 SH SOLE 6900 0 0
KELLWOOD CO COMMON 488044108 52 2500 SH SOLE 2500 0 0
KELLY SERVICES INC CLASS A 488152208 163 6100 SH SOLE 6100 0 0
KEY TRONIC CORP COMMON 493144109 134 9300 SH SOLE 9300 0 0
KEYSTONE CONS INDS COMMON 493422109 12 800 SH SOLE 800 0 0
KINETIC CONCEPTS INC COMMON 49460W109 366 31500 SH SOLE 31500 0 0
KLOOF GOLD MNG LTD SPONSOR 498746601 111 10000 SH SOLE 10000 0 0
KOREA FUND COMMON 500634100 1129 51040 SH SOLE 51040 0 0
KOREAN INVT FD INC COMMON 500637103 1860 160000 SH SOLE 160000 0 0
KU ENERGY CORP COMMON 482734100 1320 45500 SH SOLE 45500 0 0
KYSOR INDL CORP COMMON 501566103 59 2700 SH SOLE 2700 0 0
LA Z BOY CHAIR CO COMMON 505336107 36 1200 SH SOLE 1200 0 0
LACLEDE GAS CO COMMON 505588103 87 4200 SH SOLE 4200 0 0
LANCE INC COMMON 514606102 135 7400 SH SOLE 7400 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 56 2500 SH SOLE 2500 0 0
LECHTERS CORP COMMON 523238103 202 18400 SH SOLE 18400 0 0
LEE ENTERPRISES INC COMMON 523768109 1457 33600 SH SOLE 33600 0 0
LEGGS MASON INC COMMON 524901105 330 11100 SH SOLE 11100 0 0
LIBERTY CORP S C COMMON 530370105 280 8600 SH SOLE 8600 0 0
LIFE RE CORP COMMON 532160108 605 29000 SH SOLE 29000 0 0
LIFE TECHNOLOGIES COMMON 532177201 77 2900 SH SOLE 2900 0 0
LILLIAN VERNON CORP COMMON 532430105 71 5300 SH SOLE 5300 0 0
LINDSAY MFG CO COMMON 535555106 57 1700 SH SOLE 1700 0 0
LIQUI BOX CORP COMMON 536314107 77 2600 SH SOLE 2600 0 0
LOGICON INC COMMON 541409108 329 12200 SH SOLE 12200 0 0
LONGS DRUG STORES COMMON 543162101 1432 34500 SH SOLE 34500 0 0
LOUISVILLE GAS & ELE COMMON 501917108 2612 65100 SH SOLE 65100 0 0
LUNAR CORP COMMON 550362107 136 4100 SH SOLE 4100 0 0
LYDALL INC COMMON 550819106 302 12200 SH SOLE 12200 0 0
MACDERMID INC COMMON 554273102 19 400 SH SOLE 400 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
MACMILLAN BLOEDEL COMMON 554783209 5625 459200 SH SOLE 459200 0 0
MACNEAL SCHWENDLER COMMON 554806109 34 2000 SH SOLE 2000 0 0
MADISON GAS & ELEC COMMON 557497104 93 2800 SH SOLE 2800 0 0
MARCAM CORP COMMON 566140109 110 7400 SH SOLE 7400 0 0
MARCUS CORP COMMON 566330106 14 400 SH SOLE 400 0 0
MARKEL CORP COMMON 570535104 235 3200 SH SOLE 3200 0 0
MARQUETTE ELECTRS CLASS A 571474105 122 7300 SH SOLE 7300 0 0
MASCOTECH INC PFD $1. 574670303 331 25000 SH SOLE 25000 0 0
MCCLATCHY NEWSPAPERS CLASS A 579489105 186 8500 SH SOLE 8500 0 0
MCGRATH RENTCORP COMMON 580589109 135 7700 SH SOLE 7700 0 0
MCN CORP COMMON 55267J100 3478 176100 SH SOLE 176100 0 0
MDU RES GROUP INC COMMON 552690109 210 6600 SH SOLE 6600 0 0
MEDCHEM PRODUCTS INC COMMON 584911101 112 12100 SH SOLE 12100 0 0
MENS WEARHOUSE INC COMMON 587118100 378 10500 SH SOLE 10500 0 0
MERCANTILE BANKSHARE COMMON 587405101 125 4600 SH SOLE 4600 0 0
MEXICO FUND INC COMMON 592835102 4950 300000 SH SOLE 300000 0 0
MICRODYNE CORP COMMON 595067109 74 2900 SH SOLE 2900 0 0
MIDAMERICAN ENERGY COMMON 595620105 2939 191182 SH SOLE 191182 0 0
MIDLAND CO COMMON 597486109 14 300 SH SOLE 300 0 0
MINE SAFETY APPLIANC COMMON 602720104 15 300 SH SOLE 300 0 0
MINNESOTA PWR & LT COMMON 604110106 569 20400 SH SOLE 20400 0 0
MONTANA POWER CO COMMON 612085100 4643 199700 SH SOLE 199700 0 0
MORGAN KEEGAN INC COMMON 617410105 106 8850 SH SOLE 8850 0 0
MORNINGSTAR GRP INC COMMON 617698105 26 3000 SH SOLE 3000 0 0
MTS SYSTEMS CORP COMMON 553777103 14 500 SH SOLE 500 0 0
MYERS INDS INC COMMON 628464109 100 6545 SH SOLE 6545 0 0
NASH FINCH CO COMMON 631158102 150 7500 SH SOLE 7500 0 0
NATIONAL FUEL GAS CO COMMON 636180101 1357 47200 SH SOLE 47200 0 0
NATIONAL PRESTO INDS COMMON 637215104 90 2000 SH SOLE 2000 0 0
NATIONAL RE CORP COMMON 637340209 750 21200 SH SOLE 21200 0 0
NATL COMPUTER SYS COMMON 635519101 194 9000 SH SOLE 9000 0 0
NATURE SUNSHINE PROD COMMON 639027101 278 12340 SH SOLE 12340 0 0
NAVISTAR INTL CORP PFD SER 638901405 1366 25000 SH SOLE 25000 0 0
NCH CORP COMMON 628850109 286 5000 SH SOLE 5000 0 0
NELSON THOMAS INC COMMON 640376109 298 11800 SH SOLE 11800 0 0
NEVADA POWER CO COMMON 641423108 3661 162700 SH SOLE 162700 0 0
NEW ENGLAND ELEC SYS COMMON 644001109 4207 113700 SH SOLE 113700 0 0
NEW JERSEY RES CORP COMMON 646025106 160 6200 SH SOLE 6200 0 0
NEW YORK ST ELEC&GAS COMMON 649840105 3481 132600 SH SOLE 132600 0 0
NIPSCO INDUSTRIES COMMON 629140104 6619 189800 SH SOLE 189800 0 0
NORTHEAST UTILS COMMON 664397106 648 26600 SH SOLE 26600 0 0
NORTHERN STS PWR CO COMMON 665772109 11353 250200 SH SOLE 250200 0 0
NORTHWEST NAT GAS CO COMMON 667655104 146 4700 SH SOLE 4700 0 0
NORTHWESTERN PUB SVC COMMON 668231103 54 2100 SH SOLE 2100 0 0
NTH CAROLINA NAT GAS COMMON 658221106 43 1950 SH SOLE 1950 0 0
NUI CORP COMMON 629430109 53 3200 SH SOLE 3200 0 0
NUMAC ENERGY INC COMMON 67052A103 630 128000 SH SOLE 128000 0 0
O SULLIVAN CORP COMMON 688605104 87 7300 SH SOLE 7300 0 0
OGLEBAY NORTON CO COMMON 677007106 32 900 SH SOLE 900 0 0
OIL DRI CORP AMER COMMON 677864100 35 2300 SH SOLE 2300 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
OKLAHOMA GAS & ELEC COMMON 678858101 4827 128300 SH SOLE 128300 0 0
ORANGE & ROCKLAND UT COMMON 684065105 160 4500 SH SOLE 4500 0 0
OREGON METALLURGICAL COMMON 685899106 23 1800 SH SOLE 1800 0 0
ORION CAP CORP COMMON 686268103 186 4200 SH SOLE 4200 0 0
OSHKOSH TRUCK CORP CLASS B 688239201 137 9000 SH SOLE 9000 0 0
OSHMANS SPORTING GDS COMMON 688260108 21 1500 SH SOLE 1500 0 0
OTTER TAIL PWR CO COMMON 689648103 137 4000 SH SOLE 4000 0 0
OVERSEAS SHIPHOLDING COMMON 690368105 304 15300 SH SOLE 15300 0 0
OXFORD INDS INC COMMON 691497309 30 1700 SH SOLE 1700 0 0
PAXAR CORP COMMON 704227107 116 8450 SH SOLE 8450 0 0
PEC ISRAEL ECONOMIC COMMON 705098101 158 6300 SH SOLE 6300 0 0
PENN ENGR & MFG CORP COMMON 707389102 18 200 SH SOLE 200 0 0
PENN TRAFFIC CO COMMON 707832101 14 800 SH SOLE 800 0 0
PENNCORP FINL GRP COMMON 708094107 282 11800 SH SOLE 11800 0 0
PENNSYLVANIA ENTERPR COMMON 708720107 69 2000 SH SOLE 2000 0 0
PEOPLES ENERGY CORP COMMON 711030106 1614 58700 SH SOLE 58700 0 0
PETRO-CANADA FIRST I 71644E300 49 10000 SH SOLE 10000 0 0
PETRO-CANADA COMMON 71644E102 2095 194600 SH SOLE 194600 0 0
PETROLITE CORP COMMON 716723101 74 2700 SH SOLE 2700 0 0
PHH CORPORATION COMMON 693320103 1917 42600 SH SOLE 42600 0 0
PHILADELPHIA SUBN COMMON 718009608 85 4700 SH SOLE 4700 0 0
PHILIPPINE LONG DIST SPONS A 718252604 27 400 SH SOLE 400 0 0
PIEDMONT NAT GAS INC COMMON 720186105 164 8200 SH SOLE 8200 0 0
PILGRIMS PRIDE CORP COMMON 721467108 56 7100 SH SOLE 7100 0 0
PITT DESMOINES COMMON 724508106 26 700 SH SOLE 700 0 0
PLENUM PUBG CORP COMMON 729093104 134 3700 SH SOLE 3700 0 0
PORTLAND GEN CORP COMMON 736506106 3708 144700 SH SOLE 144700 0 0
PP&L RESOURCES INC COMMON 693499105 4612 197300 SH SOLE 197300 0 0
PRATT & LAMBERT UTD COMMON 739732105 19 800 SH SOLE 800 0 0
PRESIDENTIAL LIFE COMMON 740884101 196 22700 SH SOLE 22700 0 0
PRINTRONIX INC COMMON 742578107 170 5700 SH SOLE 5700 0 0
PROFFITTS INC COMMON 742925100 327 11900 SH SOLE 11900 0 0
PROTECTIVE LIFE CORP COMMOM 743674103 740 25300 SH SOLE 25300 0 0
PROVIDENT LIFE & ACC CLASS B 743889305 3537 130400 SH SOLE 130400 0 0
PUBLIC SVC CO COLO COMMON 744448101 12631 368800 SH SOLE 368800 0 0
PUBLIC SVC CO N C COMMON 744516105 113 7000 SH SOLE 7000 0 0
PUBLIC SVC CO N MEX COMMON 744499104 1713 104600 SH SOLE 104600 0 0
PUERTO RICAN CEM INC COMMON 745075101 55 1600 SH SOLE 1600 0 0
PUGET SOUND PWR & LT COMMON 745332106 4043 173900 SH SOLE 173900 0 0
PULITZER PUBG CO COMMON 745771105 761 14700 SH SOLE 14700 0 0
QUAKER CHEM CORP COMMON 747316107 29 1700 SH SOLE 1700 0 0
QUALITY FOOD CTRS COMMMON 747565109 355 17100 SH SOLE 17100 0 0
QUIKSILVER INC COMMON 74838C106 176 6500 SH SOLE 6500 0 0
R O C TAIWAN FD SH BEN 749651105 5022 472700 SH SOLE 472700 0 0
RANGER OIL LTD COMMON 752805101 608 104000 SH SOLE 104000 0 0
REGAL BELOIT CORP COMMON 758750103 95 5100 SH SOLE 5100 0 0
REGIS CORP MINN COMMON 758932107 65 3000 SH SOLE 3000 0 0
REINSURANCE GRP COMMON 759351109 286 8100 SH SOLE 8100 0 0
RELIANCE GROUP HLDGS COMMON 759464100 1716 225000 SH SOLE 225000 0 0
REN CORP-USA COMMON 759656101 380 19100 SH SOLE 19100 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
RICHFOOD HLDGS INC COMMON 763408101 35 1400 SH SOLE 1400 0 0
RIO ALGOM LTD COMMON 766889109 58 2900 SH SOLE 2900 0 0
RISER FOODS INC CLASS A 767612104 31 2300 SH SOLE 2300 0 0
RJR NABISCO HOLDINGS PFD C D 74960K884 4273 633000 SH SOLE 633000 0 0
RLI CORP COMMON 749607107 109 4875 SH SOLE 4875 0 0
ROCHESTER GAS & ELEC COMMON 771367109 813 34400 SH SOLE 34400 0 0
ROLLINS INC COMMON 775711104 2100 86150 SH SOLE 86150 0 0
ROTO ROOTER INC COMMON 778786103 44 1200 SH SOLE 1200 0 0
RUDDICK CORP COMMON 781258108 294 10900 SH SOLE 10900 0 0
SANDERSON FARMS COMMON 800013104 96 7900 SH SOLE 7900 0 0
SAVANNAH FOODS & IND COMMON 804795102 142 10500 SH SOLE 10500 0 0
SCANA CORP COMMON 805898103 3293 137200 SH SOLE 137200 0 0
SCEPTRE RESOURCES COMMON 806214706 353 59400 SH SOLE 59400 0 0
SCOR U S CORP COMMON 784027104 53 3400 SH SOLE 3400 0 0
SEABOARD CORP COMMON 811543107 26 100 SH SOLE 100 0 0
SEAFIELD CAP CORP COMMON 811905108 48 1300 SH SOLE 1300 0 0
SEALED AIR CORP COMMON 812115103 402 7300 SH SOLE 7300 0 0
SEALRIGHT CO INC COMMON 812138105 74 5700 SH SOLE 5700 0 0
SELECTIVE INS GROUP COMMON 816300107 281 7700 SH SOLE 7700 0 0
SEMI-TECH CORP CLASS A 81662E108 5705 714800 SH SOLE 714800 0 0
SEQUA CORPORATION CLASS A 817320104 262 9800 SH SOLE 9800 0 0
SEVENSON ENVMTL SVCS COMMON 818063109 37 2000 SH SOLE 2000 0 0
SIERRA PACIFIC RES COMMON 826425100 323 14100 SH SOLE 14100 0 0
SMART & FINAL INC COMMON 831683107 140 7200 SH SOLE 7200 0 0
SMITH A O CORP CLASS A 831865100 279 10800 SH SOLE 10800 0 0
SMUCKER J M CO CLASS A 832696108 125 6000 SH SOLE 6000 0 0
SONIC CORP COMMON 835451105 307 13500 SH SOLE 13500 0 0
SOUTH JERSEY INDS COMMON 838518108 59 2800 SH SOLE 2800 0 0
SOUTHEASTERN MICH GA COMMON 841825102 49 2729 SH SOLE 2729 0 0
SOUTHERN CALIF WATER COMMON 842502106 81 4400 SH SOLE 4400 0 0
SOUTHLAND CORP COMMON 844436402 185 61600 SH SOLE 61600 0 0
SOUTHWESTERN PUB SVC COMMON 845743103 3448 105700 SH SOLE 105700 0 0
SPRINGS INDS INC CLASS A 851783100 510 13000 SH SOLE 13000 0 0
SPS TECHNOLOGIES INC COMMON 784626103 47 1200 SH SOLE 1200 0 0
SPS TRANSACTION SVCS COMMON 784627101 225 7800 SH SOLE 7800 0 0
ST JOSEPH LT & PWR COMMON 790654107 36 1200 SH SOLE 1200 0 0
STANDARD PRODS CO COMMON 853836104 184 10500 SH SOLE 10500 0 0
STANDEX INTL CORP COMMON 854231107 411 11300 SH SOLE 11300 0 0
STARRETT L S CO CLASS A 855668109 32 1400 SH SOLE 1400 0 0
STEIN MART INC COMMON 858375108 37 3200 SH SOLE 3200 0 0
STEPAN CO COMMON 858586100 21 1300 SH SOLE 1300 0 0
STHRN IND GAS & ELEC COMMON 843163106 182 5400 SH SOLE 5400 0 0
STILLWATER MNG CO COMMON 86074Q102 3274 157800 SH SOLE 157800 0 0
STORAGE TECHNOLOGY PFD $3. 862111309 143 2500 SH SOLE 2500 0 0
STRAWBRIDGE&CLOTHIER CLASS A 863200101 108 5660 SH SOLE 5660 0 0
STUDENT LN CORP COMMON 863902102 102 3300 SH SOLE 3300 0 0
STURM RUGER & CO INC COMMON 864159108 228 7300 SH SOLE 7300 0 0
SUMMIT PPTYS INC COMMON 866239106 1416 75000 SH SOLE 75000 0 0
SUNCOR INC COMMON 867229106 72 2300 SH SOLE 2300 0 0
SUPER FOOD SVCS INC COMMON 867884108 76 6000 SH SOLE 6000 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
SUPERIOR SURGICL MFG COMMON 868358102 67 6500 SH SOLE 6500 0 0
SYMS CORP COMMON 871551107 36 3900 SH SOLE 3900 0 0
SYNETIC INC COMMON 87160F109 235 9800 SH SOLE 9800 0 0
TASTY BAKING CO COMMON 876553306 41 2900 SH SOLE 2900 0 0
TECH SYM CORP COMMON 878308105 27 900 SH SOLE 900 0 0
TECHNITROL INC COMMON 878555101 5 300 SH SOLE 300 0 0
TECHNO SOLUTIONS CO COMMON 87872T108 25 1400 SH SOLE 1400 0 0
TECO ENERGY INC COMMON 872375100 7873 335000 SH SOLE 335000 0 0
TEKELEC COMMON 879101103 115 5100 SH SOLE 5100 0 0
TELEFONICA DE ESPANI SPONSOR 879382208 345 8400 SH SOLE 8400 0 0
TELEFONOS DE MEXICO SPNSD A 879403780 6181 193900 SH SOLE 193900 0 0
TENNANT CO COMMON 880345103 55 2100 SH SOLE 2100 0 0
TETRA TECHNOLOGIES COMMON 88162F105 204 14800 SH SOLE 14800 0 0
THERMO PROCESS SYS COMMON 883590101 13 1100 SH SOLE 1100 0 0
THORN APPLE VALLEY COMMON 885184101 71 3800 SH SOLE 3800 0 0
TNP ENTERPRISES INC COMMON 872594106 76 4300 SH SOLE 4300 0 0
TOOTSIE ROLL INDS COMMON 890516107 686 17306 SH SOLE 17306 0 0
TORO CO COMMON 891092108 126 4000 SH SOLE 4000 0 0
TOTAL PETE NRTH AMER COMMON 891508103 284 27400 SH SOLE 27400 0 0
TOTAL SYS SVCS INC COMMON 891906109 130 6100 SH SOLE 6100 0 0
TRAK AUTO CORP COMMON 892887100 8 500 SH SOLE 500 0 0
TRANS WORLD ENTMT CO COMMON 89336Q100 8 2100 SH SOLE 2100 0 0
TRANSATLANTIC HLDGS COMMON 893521104 1601 23800 SH SOLE 23800 0 0
TREDEGAR INDS INC COMMON 894650100 164 5300 SH SOLE 5300 0 0
TRUE NORTH COMMUNCTN COMMON 897844106 194 9700 SH SOLE 9700 0 0
TRUSTMARK CORP COMMON 898402102 74 4000 SH SOLE 4000 0 0
TULTEX CORP COMMON 899900104 104 19400 SH SOLE 19400 0 0
TYLER CORP DEL COMMON 902184100 11 3900 SH SOLE 3900 0 0
U S AIR GROUP INC PFD B C 911905305 1247 35000 SH SOLE 35000 0 0
UGI CORP COMMON 902681105 1167 56600 SH SOLE 56600 0 0
ULTRAMAR CORP COMMON 903912103 482 20300 SH SOLE 20300 0 0
UNIFIRST CORP COMMON 904708104 63 4300 SH SOLE 4300 0 0
UNION ELEC CO COMMON 906548102 6593 176400 SH SOLE 176400 0 0
UNITED CITIES GAS CO COMMON 909823106 53 3200 SH SOLE 3200 0 0
UNITED FOODS INC CLASS B 910365105 14 5800 SH SOLE 5800 0 0
UNITED ILLUM CO COMMON 910637107 235 6700 SH SOLE 6700 0 0
UNITED INDL CORP COMMON 910671106 41 7300 SH SOLE 7300 0 0
UNITED TELEVISION COMMON 913066106 223 2500 SH SOLE 2500 0 0
UNITED WTR RES INC COMMON 913190104 104 8248 SH SOLE 8248 0 0
UNIVERSAL CORP COMMON 913456109 338 15000 SH SOLE 15000 0 0
UNO RESTAURANT COMMON 914900105 25 2925 SH SOLE 2925 0 0
UNOCAL CORP PFD 7% 915289201 1322 25000 SH SOLE 25000 0 0
UNR INDS INC COMMON 903185106 191 22200 SH SOLE 22200 0 0
USLIFE CORP COMMON 917318107 1601 54750 SH SOLE 54750 0 0
UTD CAROLINA BANCSHR COMMON 909796104 104 3000 SH SOLE 3000 0 0
UTD DOMINION INDS COMMON 909914103 2745 115084 SH SOLE 115084 0 0
UTILICORP UNITED INC COMMON 918005109 1884 67000 SH SOLE 67000 0 0
VALLEN CORP COMMON 919260109 20 1000 SH SOLE 1000 0 0
VALSPAR CORP COMMON 920355104 1121 29300 SH SOLE 29300 0 0
VALUE CITY DEPT STRS COMMON 920387107 89 12100 SH SOLE 12100 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
VERSA TECHNOLOGIES COMMON 925116105 3 200 SH SOLE 200 0 0
VINTAGE PETE INC COMMON 927460105 29 1400 SH SOLE 1400 0 0
VITAL SIGNS INC COMMON 928469105 305 14700 SH SOLE 14700 0 0
VITALINK PHARMACY COMMON 92846E104 56 3000 SH SOLE 3000 0 0
VITRO SOCIEDAD ANON SPONSOR 928502301 915 112600 SH SOLE 112600 0 0
VOLT INFO SCIENCE COMMON 928703107 65 1500 SH SOLE 1500 0 0
WACKENHUT CORP COM SER 929794105 39 2500 SH SOLE 2500 0 0
WALBRO CORP COMMON 931154108 108 5400 SH SOLE 5400 0 0
WALDEN RES PPTYS INC COMMON 931210108 944 50000 SH SOLE 50000 0 0
WASHINGTON ENERGY CO COMMON 938815107 132 7700 SH SOLE 7700 0 0
WASHINGTON FED INC COMMON 938824109 183 7700 SH SOLE 7700 0 0
WASHINGTON GAS LT CO COMMON 938837101 956 48100 SH SOLE 48100 0 0
WASHINGTON POST CO CLASS B 939640108 1244 4000 SH SOLE 4000 0 0
WASHINGTON WATER PWR COMMON 940688104 3846 238500 SH SOLE 238500 0 0
WASTE MGMT INTL PLC SPONSOR 940906100 55 5000 SH SOLE 5000 0 0
WD-40 CO COMMON 929236107 249 5900 SH SOLE 5900 0 0
WEIS MKTS INC COMMON 948849104 1579 56900 SH SOLE 56900 0 0
WEST CO INC COMMON 953348109 174 6200 SH SOLE 6200 0 0
WESTCOAST ENERGY INC COMMON 95751D102 993 67151 SH SOLE 67151 0 0
WESTERN GAS RES INC COMMON 958259103 27 1600 SH SOLE 1600 0 0
WESTERN RES INC COMMON 959425109 4121 126300 SH SOLE 126300 0 0
WESTERN WASTE INDS COMMON 959880105 180 9000 SH SOLE 9000 0 0
WEYCO GROUP INC COMMON 962149100 38 1000 SH SOLE 1000 0 0
WHITE RIV CORP COMMON 964452106 11 300 SH SOLE 300 0 0
WHITTAKER CORP COMMON 966680407 67 3500 SH SOLE 3500 0 0
WICOR INC COMMON 929253102 157 5200 SH SOLE 5200 0 0
WILEY JOHN & SONS CLASS A 968223206 182 3100 SH SOLE 3100 0 0
WILLIS CORROON GPPLC SPONSOR 970624201 247 25000 SH SOLE 25000 0 0
WILMINGTON TRUST CRP COMMON 971807102 47 1600 SH SOLE 1600 0 0
WISCONSIN ENERGY COMMON 976657106 14239 501800 SH SOLE 501800 0 0
WLR FOODS INC COMMON 929286102 188 13950 SH SOLE 13950 0 0
WOLOHAN LMBR CO COMMON 977865104 41 3600 SH SOLE 3600 0 0
WPL HOLDINGS INC COMMON 929305100 1112 38000 SH SOLE 38000 0 0
WPS RESOURCES CORP COMMON 92931B106 644 21200 SH SOLE 21200 0 0
WYNNS INTL INC COMMON 983195108 22 800 SH SOLE 800 0 0
X-RITE INC COMMON 983857103 373 19900 SH SOLE 19900 0 0
YANKEE ENERGY SYS COMMON 984779108 56 2600 SH SOLE 2600 0 0
YOUNKERS INC COMMON 987767100 92 5400 SH SOLE 5400 0 0
YPF SOCIEDAD ANONIMA SPON AD 984245100 386 21603 SH SOLE 21603 0 0
ZENITH NATL INS CORP COMMON 989390109 126 5200 SH SOLE 5200 0 0
REPORT SUMMARY 540 DATA RECORDS 519596 0 OTHER MANAGERS ON WHOSE BEHALF REPORT IS FILED
</TABLE>
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