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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: 06/30/96
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 11/28/95
Other Managers on Whose Behalf this Report is Filed:
01 STRATEGIC INVESTMENT MANAGEMENT 028-02437
02 STRATEGIC INVESTMENT MANAGEMENT INTERNATIONAL 028-02495
03 STRATEGIC INVESTMENT PARTNERS, INC. 028-02436
<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
20TH CENTY INDS CAL COM PAR $10 901272203 515 31000 SH SOLE 31000 0 0
AAR CORP COM 000361105 408 20000 SH SOLE 20000 0 0
ABBOTT LABS COM 002824100 58199 1337904 SH SOLE 1337904 0 0
ABITIBI PRICE INC COM 003680105 5046 504100 SH SOLE 504100 0 0
ADAC LABS COM NEW 005313200 799 35100 SH SOLE 35100 0 0
ADVANCED MICRO DEVICES INC COM 007903107 204 15000 SH SOLE 15000 0 0
ADVANCED SEMICONDUCTOR MATL IN COM 007914104 44873 4126271 SH SOLE 4126271 0 0
ADVO INC EX DISTRIB 007585102 298 28700 SH SOLE 28700 0 0
AETNA LIFE & CAS CO COM 008140105 3732 52200 SH SOLE 52200 0 0
AFLAC INC COM 001055102 1135 38000 SH SOLE 38000 0 0
AGL RES INC COM 001204106 627 33200 SH SOLE 33200 0 0
AIR CDA INC CL A NON VTG 008911307 229 100000 SH SOLE 100000 0 0
AIR CDA INC SUB DB CONV 8%05 008911AB5 355 700000 SH SOLE 700000 0 0
AJL PEPS TR PEPS EXCH AJL 009710104 6549 310000 SH SOLE 310000 0 0
ALBERTA ENERGY LTD COM 012873105 3183 231803 SH SOLE 231803 0 0
ALBERTO CULVER CO CL B CONV 013068101 1164 25100 SH SOLE 25100 0 0
ALBERTSONS INC COM 013104104 11395 275400 SH SOLE 275400 0 0
ALCAN ALUMINIUM LTD NEW COM 013716105 1205 39500 SH SOLE 39500 0 0
ALEX BROWN INC COM 013902101 1831 32400 SH SOLE 32400 0 0
ALEXANDER & ALEXANDER SVCS INC COM 014476105 494 25000 SH SOLE 25000 0 0
ALLEGHANY CORP DEL COM 017175100 955 4974 SH SOLE 4974 0 0
ALLEGHENY PWR SYS INC COM 017411109 6755 218800 SH SOLE 218800 0 0
ALLERGAN INC COM 018490102 462 11700 SH SOLE 11700 0 0
ALLIANT TECHSYSTEMS INC COM 018804104 391 8300 SH SOLE 8300 0 0
ALLMERICA PPTY & CAS COS INC COM 01975T105 3669 135900 SH SOLE 135900 0 0
ALLSTATE CORP COM 020002101 38812 850682 SH SOLE 850682 0 0
ALLWASTE INC COM 020047106 78 16800 SH SOLE 16800 0 0
ALZA CORP DEL COM 022615108 1114 40700 SH SOLE 40700 0 0
AMBAC INC COM 023139108 8001 153500 SH SOLE 153500 0 0
AMERADA HESS CORP COM 023551104 654 12200 SH SOLE 12200 0 0
AMERICAN BANKERS INS GROUP INC COM 024456105 1527 35000 SH SOLE 35000 0 0
AMERICAN BRANDS INC COM 024703100 2945 64900 SH SOLE 64900 0 0
AMERICAN BUSINESS INFORMATION COM 02476F107 268 14700 SH SOLE 14700 0 0
AMERICAN ELEC PWR INC COM 025537101 13896 326000 SH SOLE 326000 0 0
AMERICAN EXPRESS CO COM 025816109 2896 64900 SH SOLE 64900 0 0
AMERICAN GENERAL CORP COM 026351106 622 17100 SH SOLE 17100 0 0
AMERICAN GREETINGS CORP CL A 026375105 1369 50000 SH SOLE 50000 0 0
AMERICAN HOME PRODS CORP COM 026609107 65984 1097440 SH SOLE 1097440 0 0
AMERICAN MEDIA INC CL A 02744L100 185 35200 SH SOLE 35200 0 0
AMERICAN NATL INS CO COM 028591105 878 13500 SH SOLE 13500 0 0
AMERICAN STORES CO NEW COM 030096101 1182 29000 SH SOLE 29000 0 0
AMERICAN WTR WKS INC COM 030411102 1788 44700 SH SOLE 44700 0 0
AMERITECH CORP NEW COM 030954101 986 16600 SH SOLE 16600 0 0
AMGEN INC COM 031162100 46235 856200 SH SOLE 856200 0 0
AMOCO CORP COM 031905102 6527 90500 SH SOLE 90500 0 0
AMR CORP COM 001765106 1138 12500 SH SOLE 12500 0 0
ANHEUSER BUSCH COS INC COM 035229103 81713 1089500 SH SOLE 1089500 0 0
AON CORP COM 037389103 14045 276750 SH SOLE 276750 0 0
APPLE COMPUTER INC COM 037833100 11962 569600 SH SOLE 569600 0 0
AQUARION CO COM 03838W101 210 8500 SH SOLE 8500 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
ARBOR DRUGS INC COM 038760104 1074 51450 SH SOLE 51450 0 0
ARCHER DANIELS MIDLAND CO COM 039483102 42296 2211565 SH SOLE 2211565 0 0
ARCTCO INC COM 039665104 232 18525 SH SOLE 18525 0 0
ARGONAUT GROUP INC COM 040157109 703 22500 SH SOLE 22500 0 0
ASARCO INC COM 043413103 416 15000 SH SOLE 15000 0 0
ASSOCIATED ESTATES RLTY CORP COM 045604105 221 10500 SH SOLE 10500 0 0
AT&T CORP COM 001957109 147523 2379400 SH SOLE 2379400 0 0
ATLANTIC ENERGY INC N J COM 048903108 1779 97500 SH SOLE 97500 0 0
ATLANTIC RICHFIELD CO COM 048825103 3583 30300 SH SOLE 30300 0 0
ATLANTIC TELE NETWORK INC COM 049079106 300 12500 SH SOLE 12500 0 0
AUTOZONE INC COM 053332102 6008 172900 SH SOLE 172900 0 0
AVNET INC COM 053807103 211 5000 SH SOLE 5000 0 0
AVON PRODS INC COM 054303102 16055 355800 SH SOLE 355800 0 0
BAKER J INC COM 057232100 131 17400 SH SOLE 17400 0 0
BALL CORP COM 058498106 673 23600 SH SOLE 23600 0 0
BALLARD MED PRODS COM 058566100 696 36400 SH SOLE 36400 0 0
BALTIMORE GAS & ELEC CO COM 059165100 7531 265400 SH SOLE 265400 0 0
BANCO GANADERO S A SPONSRD ADR B 059594408 871 35900 SH SOLE 35900 0 0
BANCORP HAWAII INC COM 059685107 302 8400 SH SOLE 8400 0 0
BANDAG INC COM 059815100 5011 104400 SH SOLE 104400 0 0
BANK MONTREAL QUE COM 063671101 3062 170659 SH SOLE 170659 0 0
BANKAMERICA CORP COM 066050105 2091 27600 SH SOLE 27600 0 0
BANKERS LIFE HLDG CORP COM 066229105 438 19800 SH SOLE 19800 0 0
BANPONCE CORP NEW COM 066704107 617 13700 SH SOLE 13700 0 0
BANTA CORP COM 066821109 1254 49650 SH SOLE 49650 0 0
BARNES GROUP INC COM 067806109 225 4400 SH SOLE 4400 0 0
BCE INC COM 05534B109 5316 183805 SH SOLE 183805 0 0
BEACON PPTYS CORP COM 073678104 264 10300 SH SOLE 10300 0 0
BEAR STEARNS COS INC COM 073902108 11705 495447 SH SOLE 495447 0 0
BEAUTICONTROL COSMETICS INC COM 074655101 96 10700 SH SOLE 10700 0 0
BECKMAN INSTRS INC NEW COM 075816108 1510 40000 SH SOLE 40000 0 0
BECTON DICKINSON & CO COM 075887109 2616 32600 SH SOLE 32600 0 0
BELO A H CORP DEL COM SER A 080555105 1941 52100 SH SOLE 52100 0 0
BENEFICIAL CORP COM 081721102 12740 227000 SH SOLE 227000 0 0
BERKSHIRE RLTY INC COM 084710102 209 19200 SH SOLE 19200 0 0
BERRY PETE CO CL A 085789105 182 16000 SH SOLE 16000 0 0
BETHLEHEM STL CORP COM 087509105 238 20000 SH SOLE 20000 0 0
BEVERLY ENTERPRISES INC COM 087851101 1050 87500 SH SOLE 87500 0 0
BHC COMMUNICATIONS INC CL A 055448104 6324 64700 SH SOLE 64700 0 0
BINDLEY WESTN INDS INC COM 090324104 349 20500 SH SOLE 20500 0 0
BIO TECHNOLOGY GEN CORP COM 090578105 538 64700 SH SOLE 64700 0 0
BLACK HILLS CORP COM 092113109 244 9800 SH SOLE 9800 0 0
BLAIR CORP COM 092828102 364 15400 SH SOLE 15400 0 0
BLOCK DRUG INC CL A 093644102 383 9109 SH SOLE 9109 0 0
BLOCK H & R INC COM 093671105 1507 46000 SH SOLE 46000 0 0
BMC INDS INC MINN COM 055607105 1696 59000 SH SOLE 59000 0 0
BOB EVANS FARMS INC COM 096761101 1414 83200 SH SOLE 83200 0 0
BOEING CO COM 097023105 10832 124327 SH SOLE 124327 0 0
BOISE CASCADE CORP DEP ACES 1/10S 097383863 610 20000 SH SOLE 20000 0 0
BONE CARE INTL INC COM 098072101 71 10875 SH SOLE 10875 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
BORDEN CHEMS&PLASTIC LTD PARTN DEPOS COM UNIT 099541203 148 14300 SH SOLE 14300 0 0
BOSTON EDISON CO COM 100599109 444 17400 SH SOLE 17400 0 0
BOSTON SCIENTIFIC CORP COM 101137107 2376 52800 SH SOLE 52800 0 0
BOWNE & CO INC COM 103043105 501 24300 SH SOLE 24300 0 0
BRADY WH CO CL A 104674106 358 16100 SH SOLE 16100 0 0
BRASCAN LTD CL A 105502405 1792 130500 SH SOLE 130500 0 0
BRE PROPERTIES INC CL A 05564E106 238 12200 SH SOLE 12200 0 0
BRISTOL MYERS SQUIBB CO COM 110122108 120186 1335400 SH SOLE 1335400 0 0
BROOKLYN UN GAS CO COM 114259104 1572 57700 SH SOLE 57700 0 0
BUCKLE INC COM 118440106 216 6300 SH SOLE 6300 0 0
BUFFETS INC COM 119882108 557 45500 SH SOLE 45500 0 0
BURLINGTON COAT FACTORY COM 121579106 381 36300 SH SOLE 36300 0 0
BURLINGTON INDS INC COM 121693105 212 15000 SH SOLE 15000 0 0
BURLINGTON NORTHN SANTA FE CP COM 12189T104 56365 696945 SH SOLE 696945 0 0
BW/IP INC CL A 056044100 289 15200 SH SOLE 15200 0 0
CABLETRON SYS INC COM 126920107 26709 389200 SH SOLE 389200 0 0
CADENCE DESIGN SYSTEM INC COM 127387108 20647 611750 SH SOLE 611750 0 0
CALDOR CORP COM 128787108 100 38200 SH SOLE 38200 0 0
CALENERGY INC COM 129466108 1224 48000 SH SOLE 48000 0 0
CALLAWAY GOLF CO COM 131193104 10992 330600 SH SOLE 330600 0 0
CAMDEN PPTY TR SH BEN INT 133131102 264 11100 SH SOLE 11100 0 0
CAMECO CORP COM 13321L108 650 18900 SH SOLE 18900 0 0
CANADIAN MARCONI CO COM 136357100 402 54900 SH SOLE 54900 0 0
CANADIAN OCCIDENTAL PETE LTD COM 136420106 2252 185000 SH SOLE 185000 0 0
CANADIAN PAC LTD ORD PAR $5 136440302 3717 175900 SH SOLE 175900 0 0
CAPITAL RE CORP COM 140432105 448 12200 SH SOLE 12200 0 0
CAPITOL AMERN FINL CORP COM 14055J103 299 11900 SH SOLE 11900 0 0
CARNIVAL CORP CL A 143658102 202 7000 SH SOLE 7000 0 0
CAROLINA PWR & LT CO COM 144141108 4153 109300 SH SOLE 109300 0 0
CASEYS GEN STORES INC COM 147528103 1250 62900 SH SOLE 62900 0 0
CASINO AMER INC COM 147575104 264 31950 SH SOLE 31950 0 0
CATALINA MARKETING CORP COM 148867104 677 7400 SH SOLE 7400 0 0
CCB FINL CORP COM 124875105 379 7400 SH SOLE 7400 0 0
CENTERIOR ENERGY CORP COM 151883105 1097 146300 SH SOLE 146300 0 0
CENTRAL & SOUTH WEST CORP COM 152357109 8391 290600 SH SOLE 290600 0 0
CENTRAL HUDSON GAS & ELEC CORP COM 153609102 616 19700 SH SOLE 19700 0 0
CENTRAL LA ELEC INC COM NEW 153897608 373 14000 SH SOLE 14000 0 0
CENTRAL MAINE PWR CO COM 154051106 658 45400 SH SOLE 45400 0 0
CENTRAL NEWSPAPERS INC CL A 154647101 971 25900 SH SOLE 25900 0 0
CENTRAL VT PUB SVC CORP COM 155771108 168 13150 SH SOLE 13150 0 0
CHAMPION INTL CORP COM 158525105 710 17000 SH SOLE 17000 0 0
CHASE MANHATTAN CORP NEW COM 16161A108 23311 330072 SH SOLE 330072 0 0
CHECKPOINT SYS INC COM 162825103 732 21300 SH SOLE 21300 0 0
CHELSEA GCA RLTY INC COM 163262108 276 8700 SH SOLE 8700 0 0
CHEMED CORP COM 163596109 406 10900 SH SOLE 10900 0 0
CHEVRON CORPORATION COM 166751107 1103 18700 SH SOLE 18700 0 0
CHIRON CORP COM 170040109 7526 76800 SH SOLE 76800 0 0
CHRIS CRAFT INDS INC COM 170520100 3917 89278 SH SOLE 89278 0 0
CHRYSLER CORP COM 171196108 75875 1214000 SH SOLE 1214000 0 0
CHUBB CORP COM 171232101 4838 97000 SH SOLE 97000 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
CIGNA CORP COM 125509109 30506 258800 SH SOLE 258800 0 0
CILCORP INC COM 171794100 423 9900 SH SOLE 9900 0 0
CINCINNATI BELL INC COM 171870108 5343 102500 SH SOLE 102500 0 0
CINCINNATI MILACRON INC COM 172172108 2400 100000 SH SOLE 100000 0 0
CINERGY CORP COM 172474108 11418 356800 SH SOLE 356800 0 0
CIPSCO INC COM 125539106 1039 26900 SH SOLE 26900 0 0
CIRCUIT CITY STORE INC COM 172737108 9533 263900 SH SOLE 263900 0 0
CISCO SYS INC COM 17275R102 148737 2626700 SH SOLE 2626700 0 0
CITICORP COM 173034109 77975 942299 SH SOLE 942299 0 0
CLAYTON HOMES INC COM 184190106 318 15900 SH SOLE 15900 0 0
CLEAR CHANNEL COMMUNICATIONS COM 184502102 6928 84100 SH SOLE 84100 0 0
CLOROX CO DEL COM 189054109 9846 111100 SH SOLE 111100 0 0
CMS ENERGY CORP COM 125896100 2563 83000 SH SOLE 83000 0 0
CNA FINL CORP COM 126117100 1040 10100 SH SOLE 10100 0 0
COCA COLA CO COM 191216100 243300 4965300 SH SOLE 4965300 0 0
COCA COLA ENTERPRISES INC COM 191219104 2216 64000 SH SOLE 64000 0 0
COLONIAL PPTYS TR COM SH BEN INT 195872106 323 13300 SH SOLE 13300 0 0
COLUMBIA GAS SYS INC COM 197648108 7418 143000 SH SOLE 143000 0 0
COLUMBIA LABS INC COM 197779101 698 46900 SH SOLE 46900 0 0
COMAIR HOLDINGS INC COM 199789108 2300 85200 SH SOLE 85200 0 0
COMDISCO INC COM 200336105 4091 153651 SH SOLE 153651 0 0
COMINCO LTD COM 200435105 5351 339900 SH SOLE 339900 0 0
COMMERCIAL NET LEASE RLTY INC COM 202218103 161 11600 SH SOLE 11600 0 0
COMMONWEALTH ENERGY SYS COM SH BEN INT 202800108 510 19800 SH SOLE 19800 0 0
COMMUNITY PSYCHIATRIC CTRS COM 204015101 356 37500 SH SOLE 37500 0 0
COMPANIA DE TELECOMUNICACIONES SPONSORED ADR 204449201 3042 31000 SH SOLE 31000 0 0
COMPASS BANCSHARES INC COM 20449H109 439 13400 SH SOLE 13400 0 0
COMPUTER ASSOC INTL INC COM 204912109 57673 812300 SH SOLE 812300 0 0
COMSAT CORP COM SER 1 20564D107 585 22500 SH SOLE 22500 0 0
CONAGRA INC COM 205887102 33945 748100 SH SOLE 748100 0 0
CONE MLS CORP N C COM 206814105 281 25000 SH SOLE 25000 0 0
CONSECO INC COM 208464107 888 22200 SH SOLE 22200 0 0
CONSOLIDATED EDISON CO N Y INC COM 209111103 7558 258400 SH SOLE 258400 0 0
COORS ADOLPH CO CL B 217016104 536 30000 SH SOLE 30000 0 0
CORESTATES FINL CORP COM 218695104 347 9000 SH SOLE 9000 0 0
CORNING INC COM 219350105 2878 75000 SH SOLE 75000 0 0
COUSINS PPTYS INC COM 222795106 420 21400 SH SOLE 21400 0 0
CPC INTL INC COM 126149103 28706 398700 SH SOLE 398700 0 0
CPI CORP COM 125902106 266 16100 SH SOLE 16100 0 0
CRAIG JENNY INC COM 224206102 193 10800 SH SOLE 10800 0 0
CREDICORP LTD COM G2519Y108 9318 5399148 SH SOLE 5399148 0 0
CRESCENT REAL ESTATE EQUITIES COM 225756105 327 8900 SH SOLE 8900 0 0
CROWN AMERN RLTY TR SH BEN INT 228186102 468 60400 SH SOLE 60400 0 0
CROWN BOOKS CORP COM 228210100 144 10700 SH SOLE 10700 0 0
CULBRO CORP COM 229890108 286 4800 SH SOLE 4800 0 0
CURATIVE TECHNOLOGIES INC COM 231264102 289 11000 SH SOLE 11000 0 0
CYPRUS AMAX MINERALS CO COM 232809103 766 33500 SH SOLE 33500 0 0
DAMES & MOORE INC COM 235713104 223 18400 SH SOLE 18400 0 0
DARDEN RESTAURANTS INC COM 237194105 538 50000 SH SOLE 50000 0 0
DATA BROADCASTING CORP COM 237596101 443 46000 SH SOLE 46000 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
DE BEERS CONS MINES LTD ADR DEFD 240253302 3966 117529 SH SOLE 117529 0 0
DEAN FOODS CO COM 242361103 5532 223500 SH SOLE 223500 0 0
DEAN WITTER DISCOVER & CO COM 24240V101 54645 956592 SH SOLE 956592 0 0
DEBARTOLO RLTY CORP COM 242733103 339 21000 SH SOLE 21000 0 0
DELL COMPUTER CORP COM 247025109 16656 327400 SH SOLE 327400 0 0
DELMARVA PWR & LT CO COM 247109101 722 34400 SH SOLE 34400 0 0
DELPHI FINL GROUP INC CL A 247131105 238 8800 SH SOLE 8800 0 0
DELUXE CORP COM 248019101 1395 39300 SH SOLE 39300 0 0
DEPOSIT GTY CORP COM 249555103 273 6200 SH SOLE 6200 0 0
DESTEC ENERGY INC COM 25063N100 1525 119600 SH SOLE 119600 0 0
DEVON GROUP INC NEW COM 251801106 631 19400 SH SOLE 19400 0 0
DIAGNOSTIC PRODS CORP COM 252450101 481 12500 SH SOLE 12500 0 0
DIAMOND SHAMROCK INC COM 252747100 2483 86000 SH SOLE 86000 0 0
DIGITAL EQUIP CORP COM 253849103 52855 1171300 SH SOLE 1171300 0 0
DILLARD DEPT STORES INC CL A 254063100 17199 471200 SH SOLE 471200 0 0
DOLE FOOD INC COM 256605106 7387 171800 SH SOLE 171800 0 0
DOMINION RES INC VA COM 257470104 7716 192900 SH SOLE 192900 0 0
DOMTAR INC COM 257561100 2610 491700 SH SOLE 491700 0 0
DOVER CORP COM 260003108 18225 396200 SH SOLE 396200 0 0
DOW CHEM CO COM 260543103 380 5000 SH SOLE 5000 0 0
DPL INC COM 233293109 5241 215000 SH SOLE 215000 0 0
DQE INC COM 23329J104 2336 84950 SH SOLE 84950 0 0
DRESS BARN INC COM 261570105 425 40500 SH SOLE 40500 0 0
DRESSER INDS INC COM 261597108 283 9600 SH SOLE 9600 0 0
DREYERS GRAND ICE CREAM INC COM 261878102 324 10300 SH SOLE 10300 0 0
DTE ENERGY CO COM 233331107 8543 276700 SH SOLE 276700 0 0
DUKE POWER CO COM 264399106 21925 427800 SH SOLE 427800 0 0
DUN & BRADSTREET CORP COM 264830100 21919 350700 SH SOLE 350700 0 0
EASTERN ENTERPRISES COM 27637F100 1267 38100 SH SOLE 38100 0 0
EASTERN UTILS ASSOC COM 277173100 452 23200 SH SOLE 23200 0 0
EASTMAN KODAK CO COM 277461109 4859 62500 SH SOLE 62500 0 0
EATON VANCE CORP COM NON VTG 278265103 721 19900 SH SOLE 19900 0 0
EDISON INTL COM 281020107 8060 457300 SH SOLE 457300 0 0
EDWARDS AG INC COM 281760108 10645 392427 SH SOLE 392427 0 0
EGGHEAD INC COM 282330109 471 42300 SH SOLE 42300 0 0
EL PASO NAT GAS CO COM NEW 283695872 1290 33517 SH SOLE 33517 0 0
EMPI INC COM 291586105 324 24900 SH SOLE 24900 0 0
EMPRESAS ICA SOCIEDAD CONTRLAD SPONSORED ADR 292448107 8651 623500 SH SOLE 623500 0 0
EMPRESAS TELEX CHILE S A SPONSORED ADR 29245D105 497 61200 SH SOLE 61200 0 0
ENERGEN CORP COM 29265N108 212 9600 SH SOLE 9600 0 0
ENERGY VENTURES INC COM 292740107 345 10600 SH SOLE 10600 0 0
ENHANCE FINL SVCS GROUP INC COM 293310108 650 23200 SH SOLE 23200 0 0
ENOVA CORP COM 293552105 727 31800 SH SOLE 31800 0 0
ENSERCH CORP COM 293567103 1088 50000 SH SOLE 50000 0 0
ENSERCH EXPLORATION INC COM 29356V100 299 27500 SH SOLE 27500 0 0
ENTERGY CORP NEW COM 29364G103 11807 416100 SH SOLE 416100 0 0
EQUITY INNS INC COM 294703103 190 16500 SH SOLE 16500 0 0
EQUITY RESIDENTIAL PPTYS TR SH BEN INT 29476L107 980 29800 SH SOLE 29800 0 0
EVANS WITHYCOMBE RESIDENTIAL COM 299212100 284 13600 SH SOLE 13600 0 0
EXXON CORP COM 302290101 60682 698500 SH SOLE 698500 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
F M C CORP COM NEW 302491303 718 11000 SH SOLE 11000 0 0
FAMILY DLR STORES INC COM 307000109 1329 75400 SH SOLE 75400 0 0
FAYS DRUG INC COM 313035107 161 20400 SH SOLE 20400 0 0
FEDERAL HOME LN MTG CORP COM 313400301 470 5500 SH SOLE 5500 0 0
FEDERAL NATL MTG ASSN COM 313586109 841 25100 SH SOLE 25100 0 0
FEDERAL REALTY INVT TR SH BEN INT NEW 313747206 275 12200 SH SOLE 12200 0 0
FELCOR SUITE HOTELS INC COM 314305103 525 17200 SH SOLE 17200 0 0
FHP INTL CORP COM 302426101 2324 84900 SH SOLE 84900 0 0
FINA INC CL A 31734L101 370 6700 SH SOLE 6700 0 0
FIRST AMER BK CORP COM 318906104 2014 45000 SH SOLE 45000 0 0
FIRST BRANDS CORP COM 319356101 1183 43800 SH SOLE 43800 0 0
FIRST COLONY CORP COM 319741104 2027 65400 SH SOLE 65400 0 0
FIRST EMPIRE ST CORP COM 320076102 482 2000 SH SOLE 2000 0 0
FIRST INDUSTRIAL REALTY TRUST COM 32054K103 428 18200 SH SOLE 18200 0 0
FISHER SCIENTIFIC INTL INC COM 338032105 750 20000 SH SOLE 20000 0 0
FLEMING COS INC COM 339130106 2599 180800 SH SOLE 180800 0 0
FLIGHTSAFETY INTL INC COM 339423105 982 18100 SH SOLE 18100 0 0
FLORIDA EAST COAST INDS COM 340632108 465 5600 SH SOLE 5600 0 0
FLORIDA PROGRESS CORP COM 341109106 4087 117600 SH SOLE 117600 0 0
FLOWERS INDS INC COM 343496105 189 11700 SH SOLE 11700 0 0
FORD MTR CO DEL COM 345370100 971 30000 SH SOLE 30000 0 0
FOREMOST CORP OF AMER COM 345469100 647 11400 SH SOLE 11400 0 0
FOREST LABS INC CL A 345838106 645 16700 SH SOLE 16700 0 0
FOUNDATION HEALTH CORP COM 350401105 2005 55900 SH SOLE 55900 0 0
FPL GROUP INC COM 302571104 10005 217500 SH SOLE 217500 0 0
FRANCHISE FIN CORP AMER COM 351807102 699 30400 SH SOLE 30400 0 0
FRANKLIN QUEST CO COM 354596108 230 11100 SH SOLE 11100 0 0
FREMONT GEN CORP COM 357288109 1079 46915 SH SOLE 46915 0 0
FRONTIER INS GROUP INC NEW COM 359081106 606 17559 SH SOLE 17559 0 0
FRUIT OF THE LOOM INC CL A 359416104 8216 322200 SH SOLE 322200 0 0
GALLAGHER ARTHUR J & CO COM 363576109 480 15000 SH SOLE 15000 0 0
GANNETT INC COM 364730101 33309 470800 SH SOLE 470800 0 0
GAP INC DEL COM 364760108 29513 918700 SH SOLE 918700 0 0
GENERAL ELEC CO COM 369604103 1735 20000 SH SOLE 20000 0 0
GENERAL GROWTH PPTYS INC COM 370021107 248 10300 SH SOLE 10300 0 0
GENERAL HOST CORP COM 370064107 108 39270 SH SOLE 39270 0 0
GENERAL MLS INC COM 370334104 4075 74600 SH SOLE 74600 0 0
GENERAL MTRS CORP COM 370442105 9166 175000 SH SOLE 175000 0 0
GENERAL PUB UTILS CP COM 370550105 5171 146700 SH SOLE 146700 0 0
GENERAL RE CORP COM 370563108 381 2500 SH SOLE 2500 0 0
GENETICS INST INC DEP SHS 371855305 800 12600 SH SOLE 12600 0 0
GENUINE PARTS CO COM 372460105 3230 70600 SH SOLE 70600 0 0
GIANT FOOD INC CL A 374478105 951 26500 SH SOLE 26500 0 0
GIBSON GREETINGS INC COM 374827103 183 13300 SH SOLE 13300 0 0
GIDDINGS & LEWIS INC WIS COM 375048105 406 25000 SH SOLE 25000 0 0
GLEASON CORP COM 377339106 211 5400 SH SOLE 5400 0 0
GLENDALE FED BK FED SVGS BK CA COM NEW 378507503 241 13300 SH SOLE 13300 0 0
GLOBAL INDL TECHNOLOGIES INC COM 379335102 373 23300 SH SOLE 23300 0 0
GOLDEN WEST FINL CORP DEL COM 381317106 2134 38100 SH SOLE 38100 0 0
GRAINGER W W INC COM 384802104 3402 43900 SH SOLE 43900 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
GRAND CASINOS INC COM 385269105 2799 108700 SH SOLE 108700 0 0
GREAT ATLANTIC & PAC TEA INC COM 390064103 1029 31300 SH SOLE 31300 0 0
GREAT WESTN FINL CORP COM 391442100 597 25000 SH SOLE 25000 0 0
GREY ADVERTISING INC COM 397838103 1680 7600 SH SOLE 7600 0 0
GRUPO MEXICANO DE DESARROLLO SPND ADR B SHS 40048G104 314 193244 SH SOLE 193244 0 0
GRUPO MEXICANO DE DESARROLLO SPND ADR L SHS 40048G203 614 289044 SH SOLE 289044 0 0
GRUPO TRIBASA S A DE C V SPONSORED ADR 40049F105 1979 344200 SH SOLE 344200 0 0
GTE CORP COM 362320103 82474 1843000 SH SOLE 1843000 0 0
GUANGSHEN RY LTD SPONSORED ADR 40065W107 478 25000 SH SOLE 25000 0 0
GULF CDA RES LTD ORD 40218L305 923 246000 SH SOLE 246000 0 0
HAEMONETICS CORP COM 405024100 540 29600 SH SOLE 29600 0 0
HANCOCK FABRICS INC COM 409900107 385 35000 SH SOLE 35000 0 0
HANDLEMAN CO DEL COM 410252100 561 80100 SH SOLE 80100 0 0
HANNAFORD BROS CO COM 410550107 1387 42500 SH SOLE 42500 0 0
HANSON PLC WT B EX 093097 411352131 13 818766 SH SOLE 818766 0 0
HANSON PLC SPONSORED ADR 411352305 4611 325000 SH SOLE 325000 0 0
HARLEY DAVIDSON INC COM 412822108 823 20000 SH SOLE 20000 0 0
HASBRO INC COM 418056107 447 12500 SH SOLE 12500 0 0
HAWAIIAN ELEC INDUSTRIES COM 419870100 806 22700 SH SOLE 22700 0 0
HBO & CO COM 404100109 9499 140200 SH SOLE 140200 0 0
HEALTH MGMT ASSOC INC NEW CL A 421933102 716 35150 SH SOLE 35150 0 0
HEALTHSOUTH CORP COM 421924101 3683 102300 SH SOLE 102300 0 0
HEINZ H J CO COM 423074103 7089 230550 SH SOLE 230550 0 0
HERSHEY FOODS CORP COM 427866108 8644 117800 SH SOLE 117800 0 0
HIGHWOODS PPTYS INC COM 431284108 417 15100 SH SOLE 15100 0 0
HILB ROGAL & HAMILTON CO COM 431294107 161 11600 SH SOLE 11600 0 0
HILLENBRAND INDS INC COM 431573104 246 6600 SH SOLE 6600 0 0
HILTON HOTELS CORP COM 432848109 225 2000 SH SOLE 2000 0 0
HOLLY CORP COM PAR $0.01 435758305 338 13500 SH SOLE 13500 0 0
HORACE MANN EDUCATORS CORP NEW COM 440327104 1197 37700 SH SOLE 37700 0 0
HORMEL FOODS CORP COM 440452100 8172 305500 SH SOLE 305500 0 0
HOUGHTON MIFFLIN CO COM 441560109 1144 23000 SH SOLE 23000 0 0
HOUSTON INDS INC COM 442161105 4075 165500 SH SOLE 165500 0 0
HOVNANIAN ENTERPRISES INC CL A 442487203 67 11300 SH SOLE 11300 0 0
HUANENG PWR INTL INC SPONSR ADR N 443304100 449 25100 SH SOLE 25100 0 0
HUFFY CORP COM 444356109 166 12900 SH SOLE 12900 0 0
IBP INC COM 449223106 14487 524400 SH SOLE 524400 0 0
IDAHO POWER CO COM 451380109 647 20800 SH SOLE 20800 0 0
IDEXX LABS CORP COM 45168D104 3230 82300 SH SOLE 82300 0 0
IES INDS INC COM 44949M103 771 25600 SH SOLE 25600 0 0
ILLINOVA CORP COM 452317100 3076 107000 SH SOLE 107000 0 0
IMMULOGIC PHARMACEUTICAL CORP COM 45252R100 228 25000 SH SOLE 25000 0 0
IMPERIAL OIL LTD COM NEW 453038408 7923 256076 SH SOLE 256076 0 0
INCO LTD COM 453258402 5432 197489 SH SOLE 197489 0 0
INDIA FD INC COM 454089103 1723 186300 SH SOLE 186300 0 0
INDIANA ENERGY INC COM 454707100 364 12700 SH SOLE 12700 0 0
INTEGON CORP COM 45810F101 340 16900 SH SOLE 16900 0 0
INTEGRATED DEVICE TECHNOLOGY COM 458118106 213 20000 SH SOLE 20000 0 0
INTEL CORP COM 458140100 5992 81600 SH SOLE 81600 0 0
INTER-CITY PRODS CORP ORD 45821E101 30 13900 SH SOLE 13900 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
INTERGRAPH CORP COM 458683109 1819 150000 SH SOLE 150000 0 0
INTERNATIONAL BUSINESS MACHS COM 459200101 4455 45000 SH SOLE 45000 0 0
INTERNATIONAL DAIRY QUEEN INC CL A 459373205 682 31000 SH SOLE 31000 0 0
INTERNATIONAL FLAVORS&FRAGRANC COM 459506101 238 5000 SH SOLE 5000 0 0
INTERNATIONAL MULTIFOODS CORP COM 460043102 865 47400 SH SOLE 47400 0 0
INTERSTATE BAKERIES CORP DEL COM 46072H108 209 7800 SH SOLE 7800 0 0
INTL PAPER CO COM 460146103 1420 38500 SH SOLE 38500 0 0
IOMEGA CORP COM 462030107 19207 662300 SH SOLE 662300 0 0
IPSCO INC COM 462622101 350 20900 SH SOLE 20900 0 0
IRT PPTY CO COM 450058102 184 19400 SH SOLE 19400 0 0
IRVINE APT CMNTYS INC COM 463606103 258 12800 SH SOLE 12800 0 0
ISIS PHARMACEUTICALS INC COM 464330109 720 38400 SH SOLE 38400 0 0
ITT HARTFORD GROUP INC COM 45068H106 399 7500 SH SOLE 7500 0 0
ITT INDS INC IND COM 450911102 440 17500 SH SOLE 17500 0 0
JAMES RIV CORP VA COM 470349101 359 13600 SH SOLE 13600 0 0
JAMES RIV CORP VA PFD CV C1/100S 470349887 2530 100200 SH SOLE 100200 0 0
JEFFERIES GROUP INC COM 472318104 539 17400 SH SOLE 17400 0 0
JEFFERSON PILOT CORP COM 475070108 1198 23200 SH SOLE 23200 0 0
JOHNSON & JOHNSON COM 478160104 881 17800 SH SOLE 17800 0 0
JONES APPAREL GROUP INC COM 480074103 5291 107700 SH SOLE 107700 0 0
JP REALTY INC COM 46624A106 419 19600 SH SOLE 19600 0 0
K MART CORP COM 482584109 634 51200 SH SOLE 51200 0 0
K-SWISS INC CL A 482686102 167 15400 SH SOLE 15400 0 0
KANSAS CITY PWR & LT CO COM 485134100 1529 55600 SH SOLE 55600 0 0
KELLOGG CO COM 487836108 41782 570400 SH SOLE 570400 0 0
KELLWOOD CO COM 488044108 1167 63500 SH SOLE 63500 0 0
KEYCORP NEW COM 493267108 333 8584 SH SOLE 8584 0 0
KIMCO REALTY CORP COM 49446R109 763 27000 SH SOLE 27000 0 0
KINETIC CONCEPTS INC COM 49460W109 701 45200 SH SOLE 45200 0 0
KING WORLD PRODTNS INC COM 495667107 2408 66200 SH SOLE 66200 0 0
KN ENERGY INC COM 482620101 404 12050 SH SOLE 12050 0 0
KNIGHT RIDDER INC COM 499040103 5227 72100 SH SOLE 72100 0 0
KOGER EQUITY INC COM 500228101 181 13500 SH SOLE 13500 0 0
KOREAN INVT FD INC COM 500637103 1580 160000 SH SOLE 160000 0 0
KU ENERGY CORP COM 482734100 269 9000 SH SOLE 9000 0 0
LABORATORY CORP AMER HLDGS COM 50540R102 319 42500 SH SOLE 42500 0 0
LAFARGE CORP COM 505862102 203 10000 SH SOLE 10000 0 0
LAIDLAW INC CL B NON VTG 50730K206 523 70500 SH SOLE 70500 0 0
LANCASTER COLONY CORP COM 513847103 1028 27510 SH SOLE 27510 0 0
LEE ENTERPRISES INC COM 523768109 1975 83600 SH SOLE 83600 0 0
LEGGETT & PLATT INC COM 524660107 516 18600 SH SOLE 18600 0 0
LG&E ENERGY CORP COM 501917108 837 36600 SH SOLE 36600 0 0
LIBERTY CORP S C COM 530370105 559 17600 SH SOLE 17600 0 0
LIBERTY PPTY TR SH BEN INT 531172104 423 21300 SH SOLE 21300 0 0
LIFE RE CORP COM 532160108 565 18300 SH SOLE 18300 0 0
LIFE TECHNOLOGIES INC COM 532177201 230 7300 SH SOLE 7300 0 0
LILLIAN VERNON CORP COM 532430105 196 15400 SH SOLE 15400 0 0
LILLY ELI & CO COM 532457108 121830 1874300 SH SOLE 1874300 0 0
LIMITED INC COM 532716107 376 17500 SH SOLE 17500 0 0
LINCOLN NATL CORP IND COM 534187109 1327 28700 SH SOLE 28700 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
LITTON INDS INC COM 538021106 509 11700 SH SOLE 11700 0 0
LIZ CLAIBORNE INC COM 539320101 27208 785800 SH SOLE 785800 0 0
LOCKHEED MARTIN CORP COM 539830109 6854 81600 SH SOLE 81600 0 0
LOEWS CORP COM 540424108 45771 580300 SH SOLE 580300 0 0
LOGICON INC COM 541409108 741 24800 SH SOLE 24800 0 0
LONG ISLAND LTG CO COM 542671102 1340 79400 SH SOLE 79400 0 0
LONGS DRUG STORES CORP COM 543162101 2120 47500 SH SOLE 47500 0 0
LUBRIZOL CORP COM 549271104 380 12500 SH SOLE 12500 0 0
LUBYS CAFETERIAS INC COM 549282101 832 35400 SH SOLE 35400 0 0
LUNAR CORP COM 550362107 750 21750 SH SOLE 21750 0 0
LUXOTTICA GROUP S P A SPONSORED ADR 55068R202 12584 171500 SH SOLE 171500 0 0
MACERICH CO COM 554382101 311 14800 SH SOLE 14800 0 0
MACFRUGALS BARGAINS CLOSE OUTS COM 554152108 925 52100 SH SOLE 52100 0 0
MACMILLAN BLOEDEL LTD COM 554783209 3920 404039 SH SOLE 404039 0 0
MADERAS Y SINTETICOS SOCIEDAD SPONSORED ADR 556465102 1745 98300 SH SOLE 98300 0 0
MARKEL CORP COM 570535104 670 7200 SH SOLE 7200 0 0
MARQUETTE ELECTRS INC CL A 571474105 252 14600 SH SOLE 14600 0 0
MARSH & MCLENNAN COS INC COM 571748102 936 9700 SH SOLE 9700 0 0
MASCOTECH INC COM 574670105 3688 250000 SH SOLE 250000 0 0
MASCOTECH INC PFD CONV DECS 574670303 359 23900 SH SOLE 23900 0 0
MAY DEPT STORES CO COM 577778103 17627 402900 SH SOLE 402900 0 0
MAYTAG CORP COM 578592107 8188 387600 SH SOLE 387600 0 0
MBIA INC COM 55262C100 11206 143900 SH SOLE 143900 0 0
MCCLATCHY NEWSPAPERS INC CL A 579489105 340 12300 SH SOLE 12300 0 0
MCGRATH RENTCORP COM 580589109 356 15800 SH SOLE 15800 0 0
MCGRAW HILL COS INC COM 580645109 2315 50600 SH SOLE 50600 0 0
MCI COMMUNICATIONS CORP COM 552673105 87379 3409900 SH SOLE 3409900 0 0
MCKESSON CORP NEW COM 581557105 1786 37500 SH SOLE 37500 0 0
MCN CORP COM 55267J100 405 16600 SH SOLE 16600 0 0
MDU RES GROUP INC COM 552690109 313 14550 SH SOLE 14550 0 0
MEDIMMUNE INC COM 584699102 600 35300 SH SOLE 35300 0 0
MEDTRONIC INC COM 585055106 71193 1271300 SH SOLE 1271300 0 0
MELVILLE CORP COM 585745102 21566 532500 SH SOLE 532500 0 0
MENTOR CORP MINN COM 587188103 1352 53000 SH SOLE 53000 0 0
MERCANTILE STORES INC COM 587533100 1949 33250 SH SOLE 33250 0 0
MERCK & CO INC COM 589331107 53251 824000 SH SOLE 824000 0 0
MERCURY FIN CO COM 589395102 1744 136800 SH SOLE 136800 0 0
MEREDITH CORP COM 589433101 2033 48700 SH SOLE 48700 0 0
MERRY LD & INVT INC COM 590438107 288 13700 SH SOLE 13700 0 0
MESA AIRLS INC COM 590481107 743 62600 SH SOLE 62600 0 0
METHANEX CORP COM 59151K108 150 20000 SH SOLE 20000 0 0
MEXICO FD INC COM 592835102 62826 5851220 SH SOLE 5851220 0 0
MGIC INVT CORP WIS COM 552848103 1195 21300 SH SOLE 21300 0 0
MICRON TECHNOLOGY INC COM 595112103 259 10000 SH SOLE 10000 0 0
MICROSOFT CORP COM 594918104 85493 711700 SH SOLE 711700 0 0
MID ATLANTIC MED SVCS INC COM 59523C107 177 12400 SH SOLE 12400 0 0
MID-AMERN WASTE SYS INC COM 59523F100 46 49300 SH SOLE 49300 0 0
MIDAMERICAN ENERGY CO COM 595620105 2392 138682 SH SOLE 138682 0 0
MINNESOTA PWR & LT CO COM 604110106 290 10000 SH SOLE 10000 0 0
MITCHELL ENERGY & DEV CORP CL B 606592301 454 23900 SH SOLE 23900 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
MITEL CORP COM 606711109 357 73600 SH SOLE 73600 0 0
MOBIL CORP COM 607059102 20025 178200 SH SOLE 178200 0 0
MONEY STORE INC COM 60934T101 2019 91275 SH SOLE 91275 0 0
MONSANTO CO COM 611662107 81842 2518200 SH SOLE 2518200 0 0
MONTANA POWER CO COM 612085100 220 9900 SH SOLE 9900 0 0
MOORE LTD COM 615785102 766 44464 SH SOLE 44464 0 0
MORGAN J P & CO INC COM 616880100 863 10200 SH SOLE 10200 0 0
MORGAN KEEGAN INC COM 617410105 243 18350 SH SOLE 18350 0 0
MORGAN STANLEY GROUP INC COM 617446109 45794 932200 SH SOLE 932200 0 0
MYLAN LABS INC COM 628530107 622 35800 SH SOLE 35800 0 0
NASH FINCH CO COM 631158102 302 18900 SH SOLE 18900 0 0
NATIONAL AUTO CR INC NEW COM 632900106 373 32780 SH SOLE 32780 0 0
NATIONAL CITY CORP COM 635405103 460 13100 SH SOLE 13100 0 0
NATIONAL EDUCATION CORP COM 635771108 567 39800 SH SOLE 39800 0 0
NATIONAL SEMICONDUCTOR CORP COM 637640103 388 25000 SH SOLE 25000 0 0
NATIONAL STL CORP CL B 637844309 136 12500 SH SOLE 12500 0 0
NATIONAL SVC INDS INC COM 637657107 4585 117200 SH SOLE 117200 0 0
NATIONSBANK CORP COM 638585109 653 7900 SH SOLE 7900 0 0
NATL RE CORP COM 637340209 819 21700 SH SOLE 21700 0 0
NATURES SUNSHINE PRODUCTS INC COM 639027101 1217 47710 SH SOLE 47710 0 0
NAVISTAR INTL CORP PFD G CV $6.00 638901405 1329 23900 SH SOLE 23900 0 0
NCH CORP COM 628850109 430 6700 SH SOLE 6700 0 0
NEIMAN MARCUS GROUP INC COM 640204103 510 18900 SH SOLE 18900 0 0
NELLCOR PURITAN BENNET INC COM 640275103 1513 31200 SH SOLE 31200 0 0
NEVADA POWER CO COM 641423108 1058 48100 SH SOLE 48100 0 0
NEW ENGLAND ELEC SYS COM 644001109 2430 66800 SH SOLE 66800 0 0
NEW JERSEY RES COM 646025106 362 12600 SH SOLE 12600 0 0
NEW YORK ST ELEC & GAS CORP COM 649840105 3261 133100 SH SOLE 133100 0 0
NIAGARA MOHAWK PWR CORP COM 653522102 2220 286400 SH SOLE 286400 0 0
NIKE INC CL B 654106103 54786 533200 SH SOLE 533200 0 0
NIPSCO INDS INC COM 629140104 5019 124700 SH SOLE 124700 0 0
NORAM ENERGY CORP COM 655419109 544 50000 SH SOLE 50000 0 0
NORFOLK SOUTHERN CORP COM 655844108 254 3000 SH SOLE 3000 0 0
NORTHEAST UTILS COM 664397106 931 69600 SH SOLE 69600 0 0
NORTHN STS PWR CO MINN COM 665772109 7441 150700 SH SOLE 150700 0 0
NORTHROP GRUMMAN CORP COM 666807102 293 4300 SH SOLE 4300 0 0
NORTHWEST NAT GAS CO COM 667655104 217 6200 SH SOLE 6200 0 0
NOVA CORP ALTA COM 669943102 490 74403 SH SOLE 74403 0 0
NOVELL INC COM 670006105 2609 188000 SH SOLE 188000 0 0
NUMAC ENERGY INC COM 67052A103 362 112900 SH SOLE 112900 0 0
O SULLIVAN CORP COM 688605104 173 14600 SH SOLE 14600 0 0
OCCIDENTAL PETE CORP DEL COM 674599105 495 20000 SH SOLE 20000 0 0
OHIO EDISON CO COM 677347106 3544 162000 SH SOLE 162000 0 0
OKLAHOMA GAS & ELEC CO COM 678858101 2247 56700 SH SOLE 56700 0 0
OLD REP INTL CORP COM 680223104 6353 295500 SH SOLE 295500 0 0
OLIN CORP COM PAR $1 680665205 9344 104700 SH SOLE 104700 0 0
OMNICARE INC COM 681904108 4277 161400 SH SOLE 161400 0 0
OMNICOM GROUP INC COM 681919106 7868 169200 SH SOLE 169200 0 0
ORACLE CORP COM 68389X105 394 10000 SH SOLE 10000 0 0
ORANGE & ROCKLAND UTILS INC COM 684065105 235 6400 SH SOLE 6400 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
OREGON METALLURGICAL CORP COM 685899106 566 19200 SH SOLE 19200 0 0
ORION CAP CORP COM 686268103 444 8700 SH SOLE 8700 0 0
OWENS CORNING COM 69073F103 1828 42500 SH SOLE 42500 0 0
P P & L RES INC COM 693499105 2951 124900 SH SOLE 124900 0 0
PACIFIC ENTERPRISES COM 694232109 4965 167600 SH SOLE 167600 0 0
PACIFIC GAS & ELEC CO COM 694308107 4848 208500 SH SOLE 208500 0 0
PACIFIC TELESIS GROUP COM 694890104 1013 30000 SH SOLE 30000 0 0
PACIFICORP COM 695114108 12687 570200 SH SOLE 570200 0 0
PANENERGY CORP COM 697926103 8738 265800 SH SOLE 265800 0 0
PARAGON TRADE BRANDS INC COM 69912K107 690 32100 SH SOLE 32100 0 0
PATRIOT AMERN HOSPITALITY INC COM 703353102 338 11400 SH SOLE 11400 0 0
PECO ENERGY CO COM 693304107 2129 81900 SH SOLE 81900 0 0
PENNCORP FINL GROUP INC COM 708094107 775 24400 SH SOLE 24400 0 0
PEOPLES ENERGY CORP COM 711030106 506 15100 SH SOLE 15100 0 0
PEPSICO INC COM 713448108 22092 622300 SH SOLE 622300 0 0
PETRO-CDA VARTBL VTG SHS 71644E102 1512 166800 SH SOLE 166800 0 0
PFIZER INC COM 717081103 93933 1316056 SH SOLE 1316056 0 0
PHARMACIA & UPJOHN INC COM 716941109 8919 201000 SH SOLE 201000 0 0
PHH CORP COM 693320103 3129 54900 SH SOLE 54900 0 0
PHILADELPHIA SUBN CORP COM PAR $0.50 718009608 215 8700 SH SOLE 8700 0 0
PHILIP MORRIS COS INC COM 718154107 18182 174828 SH SOLE 174828 0 0
PHILIPPINE LONG DISTANCE TEL SPONSORED ADR 718252604 430 7400 SH SOLE 7400 0 0
PHILIPS ELECTRS N V NEW YORK SHS 718337504 5915 181300 SH SOLE 181300 0 0
PHILLIPS VAN HEUSEN CORP COM 718592108 143 11200 SH SOLE 11200 0 0
PIEDMONT NAT GAS INC COM 720186105 257 11100 SH SOLE 11100 0 0
PILGRIMS PRIDE CORP COM 721467108 109 12100 SH SOLE 12100 0 0
PINNACLE WEST CAP CORP COM 723484101 2564 84400 SH SOLE 84400 0 0
PIPER JAFFRAY COS INC COM 724081104 271 21700 SH SOLE 21700 0 0
PITNEY BOWES INC COM 724479100 12907 270300 SH SOLE 270300 0 0
PLENUM PUBG CORP COM 729093104 266 7600 SH SOLE 7600 0 0
PNC BK CORP COM 693475105 372 12500 SH SOLE 12500 0 0
POLAROID CORP COM 731095105 19048 417500 SH SOLE 417500 0 0
PORTLAND GEN CORP COM 736506106 2631 85200 SH SOLE 85200 0 0
POST PPTYS INC COM 737464107 287 8100 SH SOLE 8100 0 0
POTLATCH CORP COM 737628107 1424 36400 SH SOLE 36400 0 0
POTOMAC ELEC PWR CO COM 737679100 5369 202600 SH SOLE 202600 0 0
PRESIDENTIAL LIFE CORP COM 740884101 479 46200 SH SOLE 46200 0 0
PRICE/COSTCO INC COM 74143W102 2513 116200 SH SOLE 116200 0 0
PRIMARK CORP COM 741903108 1416 43400 SH SOLE 43400 0 0
PRIME MED SVCS INC NEW COM 74156D108 203 11700 SH SOLE 11700 0 0
PRIME RETAIL INC COM 741570105 120 10600 SH SOLE 10600 0 0
PROGRESSIVE CORP OHIO COM 743315103 449 9700 SH SOLE 9700 0 0
PROTECTIVE LIFE CORP COM 743674103 1704 48500 SH SOLE 48500 0 0
PROVIDENT COS INC COM 743862104 5065 136900 SH SOLE 136900 0 0
PROVIDIAN CORP COM 744061102 10856 253200 SH SOLE 253200 0 0
PUBLIC SERVICE CO COLO COM 744448101 4755 129400 SH SOLE 129400 0 0
PUBLIC STORAGE INC COM 74460D109 1205 58400 SH SOLE 58400 0 0
PUBLIC SVC CO N MEX COM 744499104 2218 108200 SH SOLE 108200 0 0
PUBLIC SVC ENTERPRISE GROUP COM 744573106 2956 107500 SH SOLE 107500 0 0
PUGET SOUND PWR & LT CO COM 745332106 1787 73700 SH SOLE 73700 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
PULITZER PUBG CO COM 745771105 1333 22500 SH SOLE 22500 0 0
PULTE CORP COM 745867101 1121 41900 SH SOLE 41900 0 0
QUAKER ST CORP COM 747410108 317 21100 SH SOLE 21100 0 0
QUALITY FOOD CTRS INC COM 747565109 896 34800 SH SOLE 34800 0 0
QUICK & REILLY GROUP DEL COM 748376100 1432 44070 SH SOLE 44070 0 0
R O C TAIWAN FD SH BEN INT 749651105 4212 370300 SH SOLE 370300 0 0
RANGER OIL LTD COM 752805101 383 70900 SH SOLE 70900 0 0
RAYCHEM CORP DEL COM 754603108 8237 114600 SH SOLE 114600 0 0
RAYMOND JAMES FINANCIAL INC COM 754730109 1494 66050 SH SOLE 66050 0 0
RAYTHEON CO COM 755111101 113627 2201000 SH SOLE 2201000 0 0
READERS DIGEST ASSN INC CL A NON VTG 755267101 412 9700 SH SOLE 9700 0 0
REEBOK INTL LTD COM 758110100 7851 233500 SH SOLE 233500 0 0
REGENERON PHARMACEUTICALS COM 75886F107 233 13400 SH SOLE 13400 0 0
REINSURANCE GROUP AMER INC COM 759351109 619 16400 SH SOLE 16400 0 0
RELIANCE GROUP HOLDINGS INC COM 759464100 1688 225000 SH SOLE 225000 0 0
RELIASTAR FINL CORP COM 75952U103 4034 93539 SH SOLE 93539 0 0
REPAP ENTERPRISES INC COM 76026M309 335 120100 SH SOLE 120100 0 0
REPUBLIC INDS INC COM 760516104 786 27000 SH SOLE 27000 0 0
REPUBLIC N Y CORP COM 760719104 641 10300 SH SOLE 10300 0 0
RESEARCH MEDICAL INC COM 761004100 518 23400 SH SOLE 23400 0 0
RESPIRONICS INC COM 761230101 289 15600 SH SOLE 15600 0 0
REVCO DS INC NEW COM 761339100 334 14000 SH SOLE 14000 0 0
REYNOLDS METALS CO COM 761763101 1121 21500 SH SOLE 21500 0 0
RFS HOTEL INVS INC COM 74955J108 285 18400 SH SOLE 18400 0 0
RHONE POULENC RORER INC COM 76242T104 8552 127400 SH SOLE 127400 0 0
RICHFOOD HLDGS INC COM 763408101 1164 35800 SH SOLE 35800 0 0
RITE AID CORP COM 767754104 4132 138900 SH SOLE 138900 0 0
RJR NABISCO HOLDINGS CORP PFD C DEP1/10S 74960K884 3900 600000 SH SOLE 600000 0 0
RLI CORP COM 749607107 250 10275 SH SOLE 10275 0 0
ROBERT HALF INTL INC COM 770323103 1288 46200 SH SOLE 46200 0 0
ROC COMMUNITIES INC COM 749650107 224 9400 SH SOLE 9400 0 0
ROCHESTER GAS & ELEC CORP COM 771367109 1200 55800 SH SOLE 55800 0 0
ROCKWELL INTL CORP COM 774347108 1607 28000 SH SOLE 28000 0 0
ROLLINS INC COM 775711104 2361 100450 SH SOLE 100450 0 0
ROSS STORES INC COM 778296103 2610 75100 SH SOLE 75100 0 0
ROYAL BK CDA MONTREAL QUE COM 780087102 3371 190800 SH SOLE 190800 0 0
ROYAL DUTCH PETE CO NY REG GLDR 5 780257705 32288 210000 SH SOLE 210000 0 0
RUDDICK CORP COM 781258108 497 38200 SH SOLE 38200 0 0
RUSS BERRIE & CO COM 782233100 399 21700 SH SOLE 21700 0 0
RUSSELL CORP COM 782352108 809 29300 SH SOLE 29300 0 0
RYANS FAMILY STEAK HOUSE INC COM 783519101 771 83300 SH SOLE 83300 0 0
RYDER SYS INC COM 783549108 352 12500 SH SOLE 12500 0 0
RYKOFF-SEXTON INC COM 783759103 207 14400 SH SOLE 14400 0 0
SAFECO CORP COM 786429100 5731 162000 SH SOLE 162000 0 0
SAFEWAY INC COM NEW 786514208 3016 91400 SH SOLE 91400 0 0
SANDERSON FARMS INC COM 800013104 205 16400 SH SOLE 16400 0 0
SARA LEE CORP COM 803111103 2145 66000 SH SOLE 66000 0 0
SBC COMMUNICATIONS INC COM 78387G103 985 20000 SH SOLE 20000 0 0
SCANA CORP COM 805898103 4424 157300 SH SOLE 157300 0 0
SCEPTRE RES LTD COM NEW 806214706 291 58300 SH SOLE 58300 0 0
<PAGE> PAGE 14
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
SCHERING PLOUGH CORP COM 806605101 37706 600900 SH SOLE 600900 0 0
SCHLUMBERGER LTD COM 806857108 674 8000 SH SOLE 8000 0 0
SCRIPPS E W CO CL A 811039106 1776 38100 SH SOLE 38100 0 0
SEAGATE TECHNOLOGY COM 811804103 10575 235000 SH SOLE 235000 0 0
SEAGRAM LTD COM 811850106 437 13000 SH SOLE 13000 0 0
SECURITY CAP PAC TR SH BEN INT 814141107 1185 54500 SH SOLE 54500 0 0
SELECTIVE INS GROUP INC COM 816300107 663 20400 SH SOLE 20400 0 0
SEMI-TECH CORP CL A SUB VTG 81662E108 4018 1097400 SH SOLE 1097400 0 0
SEQUA CORPORATION CL A 817320104 323 7500 SH SOLE 7500 0 0
SERVICE CORP INTL COM 817565104 19355 336600 SH SOLE 336600 0 0
SERVICE MERCHANDISE INC COM 817587108 529 94100 SH SOLE 94100 0 0
SHERWIN WILLIAMS CO COM 824348106 488 10500 SH SOLE 10500 0 0
SHONEYS INC COM 825039100 132 12100 SH SOLE 12100 0 0
SHOPKO STORES INC COM 824911101 369 22900 SH SOLE 22900 0 0
SHOWBIZ PIZZA TIME COM NEW 825388309 565 35850 SH SOLE 35850 0 0
SHOWBOAT INC COM 825390107 762 25300 SH SOLE 25300 0 0
SHURGARD STORAGE CTRS INC COM 82567D104 442 17500 SH SOLE 17500 0 0
SIERRA PAC RES COM 826425100 728 28700 SH SOLE 28700 0 0
SIGCORP INC COM 826912107 370 10700 SH SOLE 10700 0 0
SMART & FINAL INC COM 831683107 377 14700 SH SOLE 14700 0 0
SMITH A O CL A 831865100 548 21800 SH SOLE 21800 0 0
SMITHKLINE BEECHAM PLC ADR REP ORD 832378301 814 15000 SH SOLE 15000 0 0
SMITHS FOOD & DRUG CTRS INC CL B 832388102 450 18965 SH SOLE 18965 0 0
SMUCKER J M CO CL A 832696108 245 12500 SH SOLE 12500 0 0
SNAP ON INC COM 833034101 9432 199100 SH SOLE 199100 0 0
SOCIEDAD QUIMICA MINERA DE CHI SPON ADR SER B 833635105 3172 58470 SH SOLE 58470 0 0
SOFAMOR/DANEK GROUP INC COM 834005100 1904 68600 SH SOLE 68600 0 0
SOLECTRON CORP COM 834182107 11029 291200 SH SOLE 291200 0 0
SONIC CORP COM 835451105 875 36100 SH SOLE 36100 0 0
SOUTH WEST PPTY TR INC COM 840649107 206 15400 SH SOLE 15400 0 0
SOUTHERN CO COM 842587107 21690 880800 SH SOLE 880800 0 0
SOUTHERN NATIONAL CORP COM 843444100 697 21960 SH SOLE 21960 0 0
SOUTHLAND CORP COM NEW 844436402 373 123000 SH SOLE 123000 0 0
SOUTHWEST AIRLS CO COM 844741108 7599 260900 SH SOLE 260900 0 0
SOUTHWESTERN PUB SVC CO COM 845743103 701 21500 SH SOLE 21500 0 0
SPACELABS MED INC COM 846247104 360 15500 SH SOLE 15500 0 0
SPIEKER PPTYS INC COM 848497103 354 13000 SH SOLE 13000 0 0
SPRINT CORP COM 852061100 39581 942400 SH SOLE 942400 0 0
SPX CORP COM 784635104 693 28300 SH SOLE 28300 0 0
ST PAUL COS INC COM 792860108 25011 467500 SH SOLE 467500 0 0
STANDARD PRODS CO COM 853836104 500 21500 SH SOLE 21500 0 0
STANDEX INTL CORP COM 854231107 376 13200 SH SOLE 13200 0 0
STANHOME INC COM VTG 854425105 2215 83600 SH SOLE 83600 0 0
STANLEY WKS COM 854616109 1910 64200 SH SOLE 64200 0 0
STAR BANC CORP COM 855083101 546 8100 SH SOLE 8100 0 0
STARTER CORP COM 855684106 264 30600 SH SOLE 30600 0 0
STARWOOD LODGING TR COMBND CTF NEW 855905204 215 5900 SH SOLE 5900 0 0
STATE ST BOSTON CORP COM 857473102 561 11000 SH SOLE 11000 0 0
STERIS CORP COM 859152100 796 24886 SH SOLE 24886 0 0
STERLING SOFTWARE INC COM 859547101 4635 60200 SH SOLE 60200 0 0
<PAGE> PAGE 15
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
STORAGE TECHNOLOGY CORP COM PAR $0.10 862111200 13282 338400 SH SOLE 338400 0 0
STORAGE USA INC COM 861907103 471 14600 SH SOLE 14600 0 0
STRAWBRIDGE & CLOTHIER COM SER A 863200101 189 11660 SH SOLE 11660 0 0
STRIDE RITE CORP COM 863314100 469 56900 SH SOLE 56900 0 0
STUDENT LN CORP COM 863902102 241 6700 SH SOLE 6700 0 0
STUDENT LOAN MARKETING ASSN COM NEW VTG 863871505 28564 386000 SH SOLE 386000 0 0
SUMMIT PPTYS INC COM 866239106 1717 87500 SH SOLE 87500 0 0
SUN INC COM 866762107 228 7500 SH SOLE 7500 0 0
SUN MICROSYSTEMS INC COM 866810104 83273 1414400 SH SOLE 1414400 0 0
SUNAMERICA INC COM 866930100 2312 40200 SH SOLE 40200 0 0
SUNTRUST BKS INC COM 867914103 844 22800 SH SOLE 22800 0 0
SUPER FOOD SVCS INC COM 867884108 117 12300 SH SOLE 12300 0 0
SUPERIOR SURGICAL MFG INC COM 868358102 158 13300 SH SOLE 13300 0 0
SUPERVALU INC COM 868536103 8886 282100 SH SOLE 282100 0 0
SYNETIC INC COM 87160F109 274 7400 SH SOLE 7400 0 0
TAMBRANDS INC COM 875080103 773 18800 SH SOLE 18800 0 0
TANDEM COMPUTERS INC COM 875370108 2784 225000 SH SOLE 225000 0 0
TARGET THERAPEUTICS INC COM 875919102 968 23600 SH SOLE 23600 0 0
TBC CORP COM 872180104 202 23450 SH SOLE 23450 0 0
TECHNOLOGY SOLUTIONS CO COM 87872T108 218 6300 SH SOLE 6300 0 0
TECO ENERGY INC COM 872375100 4661 184600 SH SOLE 184600 0 0
TELE COMMUNICATIONS INC NEW COM TCI GRP A 87924V101 1314 72500 SH SOLE 72500 0 0
TELECOMM ARGENTINA STET-FRANCE SPNS ADR REP B 879273209 1847 39400 SH SOLE 39400 0 0
TELECOMUNICACOES BRASILEIRAS S SPONSORED ADR 879287100 112439 1615418 SH SOLE 1615418 0 0
TELEDYNE INC COM 879335107 2175 60000 SH SOLE 60000 0 0
TELEFONICA DE ESPANA S A SPONSORED ADR 879382208 463 8400 SH SOLE 8400 0 0
TELEFONOS DE MEXICO S A SP ADR REP ORD 879403780 22723 678300 SH SOLE 678300 0 0
TEMPLE INLAND INC COM 879868107 224 4800 SH SOLE 4800 0 0
TENET HEALTHCARE CORP COM 88033G100 20946 979950 SH SOLE 979950 0 0
TENNECO INC NEW COM 880370101 2045 40000 SH SOLE 40000 0 0
TEXACO INC COM 881694103 11449 136500 SH SOLE 136500 0 0
TEXAS INDS INC COM 882491103 741 10800 SH SOLE 10800 0 0
TEXAS UTILS CO COM 882848104 7562 176900 SH SOLE 176900 0 0
THERMO INSTR SYS INC COM 883559106 4963 153900 SH SOLE 153900 0 0
THERMOTREX CORP COM 883666109 690 14000 SH SOLE 14000 0 0
THIOKOL CORP DEL COM 884103102 3492 88400 SH SOLE 88400 0 0
TIG HLDGS INC COM 872469101 653 22500 SH SOLE 22500 0 0
TJX COS INC NEW COM 872540109 12238 362600 SH SOLE 362600 0 0
TNP ENTERPRISES INC COM 872594106 236 8300 SH SOLE 8300 0 0
TOOTSIE ROLL INDS INC COM 890516107 864 24247 SH SOLE 24247 0 0
TORCHMARK CORP COM 891027104 14645 334750 SH SOLE 334750 0 0
TOSCO CORP COM NEW 891490302 10698 212900 SH SOLE 212900 0 0
TOTAL PETE NORTH AMER LTD COM 891508103 1693 151022 SH SOLE 151022 0 0
TOTAL SYS SVCS INC COM 891906109 1276 55800 SH SOLE 55800 0 0
TOYS R US INC COM 892335100 5976 209700 SH SOLE 209700 0 0
TRANSAMERICA CORP COM 893485102 14621 180509 SH SOLE 180509 0 0
TRANSATLANTIC HLDGS INC COM 893521104 2492 35600 SH SOLE 35600 0 0
TRANSCANADA PIPELINES LTD COM 893526103 2096 184878 SH SOLE 184878 0 0
TRAVELERS GROUP INC COM 894190107 76239 1671000 SH SOLE 1671000 0 0
TREDEGAR INDS INC COM 894650100 392 12950 SH SOLE 12950 0 0
<PAGE> PAGE 16
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
TRIBUNE CO NEW COM 896047107 4147 57100 SH SOLE 57100 0 0
TRINET CORP RLTY TR INC COM 896287109 299 10300 SH SOLE 10300 0 0
TRIZEC LTD NEW COM 896933108 2635 471900 SH SOLE 471900 0 0
TRUE NORTH COMMUNICATIONS INC COM 897844106 429 19300 SH SOLE 19300 0 0
TUCSON ELEC PWR CO COM NEW 898813704 137 10040 SH SOLE 10040 0 0
TULTEX CORP COM 899900104 195 38900 SH SOLE 38900 0 0
TURNER BROADCASTING SYS INC CL B 900262502 9342 339700 SH SOLE 339700 0 0
TYCO INTERNATIONAL LTD COM 902120104 1622 39800 SH SOLE 39800 0 0
TYCO TOYS INC COM 902128107 286 55900 SH SOLE 55900 0 0
TYSON FOODS INC CL A 902494103 2228 81400 SH SOLE 81400 0 0
U S BIOSCIENCE INC COM PAR $0.01 911646206 393 28850 SH SOLE 28850 0 0
U S HEALTHCARE INC COM 911910107 11132 202400 SH SOLE 202400 0 0
U S HOME CORP NEW COM 911920106 293 11900 SH SOLE 11900 0 0
U S WEST INC COM-COMMUNCTNS 912889102 3728 116500 SH SOLE 116500 0 0
U S WEST INC COM-MEDIA GRP 912889201 1442 79000 SH SOLE 79000 0 0
UNICOM CORP COM 904911104 7147 256400 SH SOLE 256400 0 0
UNIFIRST CORP MASS COM 904708104 207 9800 SH SOLE 9800 0 0
UNILEVER N V NEW YORK SHS 904784501 72867 502100 SH SOLE 502100 0 0
UNION ELEC CO COM 906548102 4262 105900 SH SOLE 105900 0 0
UNION TEX PETE HLDGS INC COM 908640105 2925 150000 SH SOLE 150000 0 0
UNITED DOMINION INDS LTD COM 909914103 1829 108584 SH SOLE 108584 0 0
UNITED DOMINION REALTY TR INC COM 910197102 612 42600 SH SOLE 42600 0 0
UNITED HEALTHCARE CORP COM 910581107 3990 79000 SH SOLE 79000 0 0
UNITED ILLUM CO COM 910637107 505 13500 SH SOLE 13500 0 0
UNITED INDL CORP COM 910671106 90 14700 SH SOLE 14700 0 0
UNITED TECHNOLOGIES CORP COM 913017109 2128 18500 SH SOLE 18500 0 0
UNITED TELEVISION INC COM 913066106 480 4900 SH SOLE 4900 0 0
UNITED WTR RES INC COM 913190104 250 19448 SH SOLE 19448 0 0
UNIVERSAL CORP VA COM 913456109 398 15000 SH SOLE 15000 0 0
UNIVERSAL FOODS CORP COM 913538104 6679 181125 SH SOLE 181125 0 0
UNOCAL CORP COM 915289102 3194 95000 SH SOLE 95000 0 0
UNOCAL CORP PFD CV $3.5 915289201 1347 23900 SH SOLE 23900 0 0
URBAN SHOPPING CTRS INC COM 917060105 242 10200 SH SOLE 10200 0 0
USA WASTE SVCS INC COM 902917103 4152 140150 SH SOLE 140150 0 0
USAIR GROUP INC COM 911905107 3290 182800 SH SOLE 182800 0 0
USAIR GROUP INC PFD B CV DEPSH 911905305 1461 27500 SH SOLE 27500 0 0
USF&G CORP COM 903290104 1828 112500 SH SOLE 112500 0 0
USLIFE CORP COM 917318107 2112 64250 SH SOLE 64250 0 0
UST INC COM 902911106 206 6000 SH SOLE 6000 0 0
USX MARATHON GROUP COM NEW 902905827 4528 225000 SH SOLE 225000 0 0
USX-U S STL COM 90337T101 568 20000 SH SOLE 20000 0 0
UTAH MED PRODS INC COM 917488108 485 38400 SH SOLE 38400 0 0
V F CORP COM 918204108 22860 383400 SH SOLE 383400 0 0
VALSPAR CORP COM 920355104 1049 22800 SH SOLE 22800 0 0
VALUE CITY DEPT STORES INC COM 920387107 250 22700 SH SOLE 22700 0 0
VENCOR INC COM 922602107 242 7948 SH SOLE 7948 0 0
VENTURE STORES INC COM 923275101 207 31900 SH SOLE 31900 0 0
VINA CONCHA Y TORO S A SPONSORED ADR 927191106 1537 83100 SH SOLE 83100 0 0
VINTAGE PETE INC COM 927460105 255 10000 SH SOLE 10000 0 0
VITAL SIGNS INC COM 928469105 603 29400 SH SOLE 29400 0 0
<PAGE> PAGE 17
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
VITRO SOCIEDAD ANONIMA SPONSORED ADR 928502301 5512 816600 SH SOLE 816600 0 0
VIVRA INC COM 92855M104 1236 37600 SH SOLE 37600 0 0
VOLT INFORMATION SCIENCES INC COM 928703107 334 7500 SH SOLE 7500 0 0
VONS COS INC COM 928869106 2347 62800 SH SOLE 62800 0 0
VORNADO RLTY TR SH BEN INT 929042109 748 18300 SH SOLE 18300 0 0
WABAN INC COM 929394104 1712 71700 SH SOLE 71700 0 0
WACHOVIA CORP COM 929771103 621 14200 SH SOLE 14200 0 0
WAL MART STORES INC COM 931142103 2982 117500 SH SOLE 117500 0 0
WALDEN RESIDENTIAL PPTYS INC COM 931210108 1127 55300 SH SOLE 55300 0 0
WALGREEN CO COM 931422109 7722 230500 SH SOLE 230500 0 0
WALLACE COMPUTER SERVICES INC COM 932270101 3724 62200 SH SOLE 62200 0 0
WARNER LAMBERT CO COM 934488107 11825 215000 SH SOLE 215000 0 0
WASHINGTON FED INC COM 938824109 335 16350 SH SOLE 16350 0 0
WASHINGTON GAS LT CO COM 938837101 728 33100 SH SOLE 33100 0 0
WASHINGTON POST CO CL B 939640108 2203 6800 SH SOLE 6800 0 0
WASHINGTON REAL ESTATE INVT TR SH BEN INT 939653101 201 12000 SH SOLE 12000 0 0
WASHINGTON WTR PWR CO COM 940688104 698 37500 SH SOLE 37500 0 0
WATERHOUSE INV SVCS INC COM 941547101 390 10500 SH SOLE 10500 0 0
WD-40 CO COM 929236107 461 9800 SH SOLE 9800 0 0
WEEKS CORP COM 94856P102 213 8200 SH SOLE 8200 0 0
WEINGARTEN RLTY INVS SH BEN INT 948741103 388 10000 SH SOLE 10000 0 0
WEIS MKTS INC COM 948849104 2068 63400 SH SOLE 63400 0 0
WELLMAN INC COM 949702104 1634 69900 SH SOLE 69900 0 0
WELLPOINT HEALTH NETWORK NEW CL A 94973H108 1281 40980 SH SOLE 40980 0 0
WELLS FARGO & CO DEL COM 949740104 319 1333 SH SOLE 1333 0 0
WEST INC COM 953348109 255 8500 SH SOLE 8500 0 0
WESTCOAST ENERGY INC COM 95751D102 1278 98100 SH SOLE 98100 0 0
WESTERN RES INC COM 959425109 2638 88300 SH SOLE 88300 0 0
WEYERHAEUSER CO COM 962166104 425 10000 SH SOLE 10000 0 0
WHEELABRATOR TECH INC NEW COM PAR $0.01 962901302 5202 341100 SH SOLE 341100 0 0
WHITMAN CORP COM 96647K102 912 37800 SH SOLE 37800 0 0
WICOR INC COM 929253102 272 7200 SH SOLE 7200 0 0
WILEY JOHN & SONS INC CL A 968223206 363 12500 SH SOLE 12500 0 0
WILLIAMS COS INC DEL COM 969457100 8509 171900 SH SOLE 171900 0 0
WILLIS CORROON GROUP PLC SPONSORED ADR 970624201 238 20000 SH SOLE 20000 0 0
WISCONSIN ENERGY CORP COM 976657106 6638 229900 SH SOLE 229900 0 0
WLR FOODS INC COM 929286102 397 28350 SH SOLE 28350 0 0
WMX TECHNOLOGIES INC COM 92929Q107 4913 150000 SH SOLE 150000 0 0
WPL HLDGS INC COM 929305100 444 13500 SH SOLE 13500 0 0
WPS RESOURCES CORP COM 92931B106 307 9700 SH SOLE 9700 0 0
WRIGLEY WM JR CO COM 982526105 1625768 32193433 SH SOLE 32193433 0 0
WYNNS INTL INC COM 983195108 225 7950 SH SOLE 7950 0 0
XEROX CORP COM 984121103 241 4500 SH SOLE 4500 0 0
YPF SOCIEDAD ANONIMA SPON ADR CL D 984245100 8561 420103 SH SOLE 420103 0 0
REPORT SUMMARY 794 DATA RECORDS 6784231 3 OTHER MANAGERS ON WHOSE BEHALF REPORT IS FILED
</TABLE>
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