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Previous: GMO TRUST, 13F-E, 1996-10-30 |
Next: DEFINED ASSET FUNDS MUNICIPAL INVT TR FD MON PYMT SER 365, 24F-2TM, 1996-10-30 |
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<PAGE> PAGE 1
SECURITIES AND EXCHANGE COMMISSION
FORM 13F-E
Report for the Calendar Year or Quarter Ended: 09/30/96
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 504 28600 SH SOLE 28600 0 0
3COM CORP COM 885535104 216 3600 SH SOLE 3600 0 0
AAR CORP COM 000361105 463 20000 SH SOLE 20000 0 0
ABBOTT LABS COM 002824100 64670 1313104 SH SOLE 1313104 0 0
ABITIBI PRICE INC COM 003680105 5359 565400 SH SOLE 565400 0 0
ADAC LABS COM NEW 005313200 706 35100 SH SOLE 35100 0 0
ADVANCED MICRO DEVICES INC COM 007903107 221 15000 SH SOLE 15000 0 0
ADVANCED SEMICONDUCTOR MATL IN COM 007914104 39715 4126271 SH SOLE 4126271 0 0
ADVO INC COM 007585102 341 28700 SH SOLE 28700 0 0
AETNA INC COM 008117103 900 12784 SH SOLE 12784 0 0
AFLAC INC COM 001055102 2297 64700 SH SOLE 64700 0 0
AGL RES INC COM 001204106 635 33200 SH SOLE 33200 0 0
AIR CDA INC CL A NON VTG 008911307 234 100000 SH SOLE 100000 0 0
AIR CDA INC SUB DB CON 8%05 008911AB5 356 700000 SH SOLE 700000 0 0
AJL PEPS TR PEPS EXCH AJL 009710104 6123 310000 SH SOLE 310000 0 0
ALBEMARLE CORP COM 012653101 428 25000 SH SOLE 25000 0 0
ALBERTA ENERGY LTD COM 012873105 4314 295703 SH SOLE 295703 0 0
ALBERTO CULVER CO CL B CONV 013068101 1089 25100 SH SOLE 25100 0 0
ALBERTSONS INC COM 013104104 25233 599000 SH SOLE 599000 0 0
ALCAN ALUMINIUM LTD NEW COM 013716105 1260 42000 SH SOLE 42000 0 0
ALEX BROWN INC COM 013902101 1875 32400 SH SOLE 32400 0 0
ALEXANDER & ALEXANDER SVCS INC COM 014476105 416 25000 SH SOLE 25000 0 0
ALLEGHANY CORP DEL COM 017175100 1020 4974 SH SOLE 4974 0 0
ALLEGHENY PWR SYS INC COM 017411109 6310 217600 SH SOLE 217600 0 0
ALLEGHENY TELEDYNE INC COM 017415100 2149 95000 SH SOLE 95000 0 0
ALLERGAN INC COM 018490102 446 11700 SH SOLE 11700 0 0
ALLIANT TECHSYSTEMS INC COM 018804104 431 8300 SH SOLE 8300 0 0
ALLMERICA PPTY & CAS COS INC COM 01975T105 3874 133600 SH SOLE 133600 0 0
ALLSTATE CORP COM 020002101 41344 839482 SH SOLE 839482 0 0
ALLWASTE INC COM 020047106 71 16800 SH SOLE 16800 0 0
ALZA CORP DEL COM 022615108 973 36200 SH SOLE 36200 0 0
AMBAC INC COM 023139108 8569 153700 SH SOLE 153700 0 0
AMERADA HESS CORP COM 023551104 539 10200 SH SOLE 10200 0 0
AMERICA WEST AIRLS INC CL B 023650203 294 25000 SH SOLE 25000 0 0
AMERICAN BANKERS INS GROUP INC COM 024456105 1750 35000 SH SOLE 35000 0 0
AMERICAN BRANDS INC COM 024703100 2320 54900 SH SOLE 54900 0 0
AMERICAN BUSINESS INFORMATION COM 02476F107 265 14700 SH SOLE 14700 0 0
AMERICAN ELEC PWR INC COM 025537101 13223 325500 SH SOLE 325500 0 0
AMERICAN EXPRESS CO COM 025816109 2539 54900 SH SOLE 54900 0 0
AMERICAN FINL GROUP INC COM 02608W101 205 6500 SH SOLE 6500 0 0
AMERICAN GENERAL CORP COM 026351106 646 17100 SH SOLE 17100 0 0
AMERICAN GREETINGS CORP CL A 026375105 1288 45000 SH SOLE 45000 0 0
AMERICAN HOME PRODS CORP COM 026609107 94314 1479440 SH SOLE 1479440 0 0
AMERICAN MEDIA INC CL A 02744L100 194 35200 SH SOLE 35200 0 0
AMERICAN NATL INS CO COM 028591105 918 13500 SH SOLE 13500 0 0
AMERICAN STORES CO NEW COM 030096101 760 19000 SH SOLE 19000 0 0
AMERICAN WTR WKS INC COM 030411102 1907 88700 SH SOLE 88700 0 0
AMERITECH CORP NEW COM 030954101 874 16600 SH SOLE 16600 0 0
AMGEN INC COM 031162100 10258 162500 SH SOLE 162500 0 0
AMLI RESIDENTIAL PPTYS TR SH BEN INT 001735109 369 17700 SH SOLE 17700 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
AMOCO CORP COM 031905102 6246 88600 SH SOLE 88600 0 0
AMR CORP COM 001765106 956 12000 SH SOLE 12000 0 0
ANHEUSER BUSCH COS INC COM 035229103 91827 2432500 SH SOLE 2432500 0 0
AON CORP COM 037389103 15122 278750 SH SOLE 278750 0 0
APARTMENT INVT & MGMT CO CL A 03748R101 533 25400 SH SOLE 25400 0 0
APPLE COMPUTER INC COM 037833100 377 17000 SH SOLE 17000 0 0
AQUARION CO COM 03838W101 225 8500 SH SOLE 8500 0 0
ARBOR DRUGS INC COM 038760104 1119 51450 SH SOLE 51450 0 0
ARCHER DANIELS MIDLAND CO COM 039483102 49515 2572217 SH SOLE 2572217 0 0
ARCTIC CAT INC COM 039670104 174 18525 SH SOLE 18525 0 0
ARGONAUT GROUP INC COM 040157109 664 22500 SH SOLE 22500 0 0
ASARCO INC COM 043413103 398 15000 SH SOLE 15000 0 0
ASSOCIATED ESTATES RLTY CORP COM 045604105 441 21500 SH SOLE 21500 0 0
AT&T CORP COM 001957109 125771 2407100 SH SOLE 2407100 0 0
ATLANTIC ENERGY INC N J COM 048903108 1706 97500 SH SOLE 97500 0 0
ATLANTIC RICHFIELD CO COM 048825103 3812 29900 SH SOLE 29900 0 0
ATLANTIC TELE NETWORK INC COM 049079106 253 12500 SH SOLE 12500 0 0
AUTOZONE INC COM 053332102 8039 277200 SH SOLE 277200 0 0
AVALON PPTYS INC COM 053469102 226 9700 SH SOLE 9700 0 0
AVNET INC COM 053807103 243 5000 SH SOLE 5000 0 0
AVON PRODS INC COM 054303102 26812 540300 SH SOLE 540300 0 0
BAKER J INC COM 057232100 106 17400 SH SOLE 17400 0 0
BALL CORP COM 058498106 578 23600 SH SOLE 23600 0 0
BALLARD MED PRODS COM 058566100 710 36400 SH SOLE 36400 0 0
BALTIMORE GAS & ELEC CO COM 059165100 7002 268000 SH SOLE 268000 0 0
BANCO GANADERO S A SPONSRD ADR B 059594408 974 35900 SH SOLE 35900 0 0
BANCORP HAWAII INC COM 059685107 328 8400 SH SOLE 8400 0 0
BANDAG INC COM 059815100 5091 103100 SH SOLE 103100 0 0
BANK MONTREAL QUE COM 063671101 3529 178059 SH SOLE 178059 0 0
BANKAMERICA CORP COM 066050105 3466 42200 SH SOLE 42200 0 0
BANKERS LIFE HLDG CORP COM 066229105 606 24800 SH SOLE 24800 0 0
BANPONCE CORP NEW COM 066704107 740 27400 SH SOLE 27400 0 0
BANTA CORP COM 066821109 1130 49650 SH SOLE 49650 0 0
BARNES GROUP INC COM 067806109 219 4400 SH SOLE 4400 0 0
BAY APT CMNTYS INC COM 072012107 590 20700 SH SOLE 20700 0 0
BCE INC COM 05534B109 6063 193205 SH SOLE 193205 0 0
BEACON PPTYS CORP COM 073678104 409 14100 SH SOLE 14100 0 0
BEAR STEARNS COS INC COM 073902108 11222 482646 SH SOLE 482646 0 0
BEAUTICONTROL COSMETICS INC COM 074655101 130 10700 SH SOLE 10700 0 0
BECKMAN INSTRS INC NEW COM 075816108 1555 40000 SH SOLE 40000 0 0
BECTON DICKINSON & CO COM 075887109 4456 100700 SH SOLE 100700 0 0
BELO A H CORP DEL COM SER A 080555105 1797 52100 SH SOLE 52100 0 0
BENEFICIAL CORP COM 081721102 12777 222200 SH SOLE 222200 0 0
BERKSHIRE RLTY INC COM 084710102 508 51400 SH SOLE 51400 0 0
BERRY PETE CO CL A 085789105 182 16000 SH SOLE 16000 0 0
BETHLEHEM STL CORP COM 087509105 200 20000 SH SOLE 20000 0 0
BEVERLY ENTERPRISES INC COM 087851101 816 75000 SH SOLE 75000 0 0
BHC COMMUNICATIONS INC CL A 055448104 6188 63300 SH SOLE 63300 0 0
BINDLEY WESTN INDS INC COM 090324104 359 20500 SH SOLE 20500 0 0
BIO TECHNOLOGY GEN CORP COM 090578105 514 64700 SH SOLE 64700 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
BLACK HILLS CORP COM 092113109 254 9800 SH SOLE 9800 0 0
BLAIR CORP COM 092828102 331 15400 SH SOLE 15400 0 0
BLOCK DRUG INC CL A 093644102 409 9109 SH SOLE 9109 0 0
BLOCK H & R INC COM 093671105 2529 85000 SH SOLE 85000 0 0
BMC INDS INC MINN COM 055607105 1689 59000 SH SOLE 59000 0 0
BOB EVANS FARMS INC COM 096761101 1113 83200 SH SOLE 83200 0 0
BOEING CO COM 097023105 5353 56650 SH SOLE 56650 0 0
BOISE CASCADE CORP DEP ACES 1/10S 097383863 560 20000 SH SOLE 20000 0 0
BONE CARE INTL INC COM 098072101 65 10875 SH SOLE 10875 0 0
BORDEN CHEMS&PLASTIC LTD PARTN DEPOS COM UNIT 099541203 129 14300 SH SOLE 14300 0 0
BOSTON EDISON CO COM 100599109 383 17400 SH SOLE 17400 0 0
BOSTON SCIENTIFIC CORP COM 101137107 2956 51400 SH SOLE 51400 0 0
BOWNE & CO INC COM 103043105 556 24300 SH SOLE 24300 0 0
BRADLEY REAL ESTATE INC COM 104580105 452 27800 SH SOLE 27800 0 0
BRADY WH CO CL A 104674106 405 16100 SH SOLE 16100 0 0
BRASCAN LTD CL A 105502405 2720 200300 SH SOLE 200300 0 0
BRE PROPERTIES INC CL A 05564E106 352 17600 SH SOLE 17600 0 0
BRISTOL MYERS SQUIBB CO COM 110122108 140698 1459900 SH SOLE 1459900 0 0
BROOKLYN UN GAS CO COM 114259104 1569 56300 SH SOLE 56300 0 0
BROWNING FERRIS INDS COM 115885105 875 35000 SH SOLE 35000 0 0
BUCKLE INC COM 118440106 200 6300 SH SOLE 6300 0 0
BUFFETS INC COM 119882108 478 45500 SH SOLE 45500 0 0
BURLINGTON COAT FACTORY COM 121579106 399 36300 SH SOLE 36300 0 0
BURLINGTON NORTHN SANTA FE CP COM 12189T104 57628 683000 SH SOLE 683000 0 0
BURNHAM PAC PPTYS INC COM 12232C108 290 24700 SH SOLE 24700 0 0
BW/IP INC CL A 056044100 236 15200 SH SOLE 15200 0 0
CABLETRON SYS INC COM 126920107 21367 312500 SH SOLE 312500 0 0
CADENCE DESIGN SYSTEM INC COM 127387108 16787 466300 SH SOLE 466300 0 0
CALDOR CORP COM 128787108 72 38200 SH SOLE 38200 0 0
CALENERGY INC COM 129466108 1479 46400 SH SOLE 46400 0 0
CALI REALTY CORP COM 129909107 540 19900 SH SOLE 19900 0 0
CALLAWAY GOLF CO COM 131193104 15547 455600 SH SOLE 455600 0 0
CAMDEN PPTY TR SH BEN INT 133131102 582 22700 SH SOLE 22700 0 0
CAMECO CORP COM 13321L108 680 18900 SH SOLE 18900 0 0
CANADIAN MARCONI CO COM 136357100 492 55800 SH SOLE 55800 0 0
CANADIAN OCCIDENTAL PETE LTD COM 136420106 2208 185144 SH SOLE 185144 0 0
CANADIAN PAC LTD NEW COM 135923100 3937 179400 SH SOLE 179400 0 0
CAPITAL RE CORP COM 140432105 502 13200 SH SOLE 13200 0 0
CAPITOL AMERN FINL CORP COM 14055J103 425 11900 SH SOLE 11900 0 0
CARDINAL HEALTH INC COM 14149Y108 6701 81100 SH SOLE 81100 0 0
CARNIVAL CORP CL A 143658102 217 7000 SH SOLE 7000 0 0
CAROLINA PWR & LT CO COM 144141108 3812 110500 SH SOLE 110500 0 0
CARRAMERICA REALTY CORP COM 14441K103 725 29000 SH SOLE 29000 0 0
CASEYS GEN STORES INC COM 147528103 1101 62900 SH SOLE 62900 0 0
CASINO AMER INC COM 147575104 216 31950 SH SOLE 31950 0 0
CATALINA MARKETING CORP COM 148867104 1006 18900 SH SOLE 18900 0 0
CBL & ASSOC PPTYS INC COM 124830100 564 24500 SH SOLE 24500 0 0
CCB FINL CORP COM 124875105 405 7400 SH SOLE 7400 0 0
CENTERIOR ENERGY CORP COM 151883105 1244 136300 SH SOLE 136300 0 0
CENTERPOINT PPTYS CORP COM 151895109 895 33300 SH SOLE 33300 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
CENTRAL & SOUTH WEST CORP COM 152357109 7631 293500 SH SOLE 293500 0 0
CENTRAL HUDSON GAS & ELEC CORP COM 153609102 586 19700 SH SOLE 19700 0 0
CENTRAL LA ELEC INC COM NEW 153897608 366 14000 SH SOLE 14000 0 0
CENTRAL MAINE PWR CO COM 154051106 556 45400 SH SOLE 45400 0 0
CENTRAL NEWSPAPERS INC CL A 154647101 1090 28600 SH SOLE 28600 0 0
CENTRAL VT PUB SVC CORP COM 155771108 164 13150 SH SOLE 13150 0 0
CHAMPION INTL CORP COM 158525105 573 12500 SH SOLE 12500 0 0
CHASE MANHATTAN CORP NEW COM 16161A108 26014 324672 SH SOLE 324672 0 0
CHECKPOINT SYS INC COM 162825103 535 20200 SH SOLE 20200 0 0
CHELSEA GCA RLTY INC COM 163262108 714 23300 SH SOLE 23300 0 0
CHEMED CORP COM 163596109 414 10900 SH SOLE 10900 0 0
CHEVRON CORPORATION COM 166751107 1090 17400 SH SOLE 17400 0 0
CHIRON CORP COM 170040109 1965 103400 SH SOLE 103400 0 0
CHRIS CRAFT INDS INC COM 170520100 3677 88078 SH SOLE 88078 0 0
CHRYSLER CORP COM 171196108 67240 2349000 SH SOLE 2349000 0 0
CHUBB CORP COM 171232101 5111 111100 SH SOLE 111100 0 0
CIGNA CORP COM 125509109 30784 256800 SH SOLE 256800 0 0
CILCORP INC COM 171794100 394 9900 SH SOLE 9900 0 0
CINCINNATI BELL INC COM 171870108 5327 100500 SH SOLE 100500 0 0
CINCINNATI MILACRON INC COM 172172108 1840 97500 SH SOLE 97500 0 0
CINERGY CORP COM 172474108 11016 356800 SH SOLE 356800 0 0
CIPSCO INC COM 125539106 926 26000 SH SOLE 26000 0 0
CIRCUIT CITY STORE INC COM 172737108 480 13300 SH SOLE 13300 0 0
CIRCUS CIRCUS ENTERPRISES INC COM 172909103 2062 58300 SH SOLE 58300 0 0
CISCO SYS INC COM 17275R102 143314 2309200 SH SOLE 2309200 0 0
CITICORP COM 173034109 82813 913799 SH SOLE 913799 0 0
CITIZENS CORP COM 174533109 208 9500 SH SOLE 9500 0 0
CLEAR CHANNEL COMMUNICATIONS COM 184502102 9478 107100 SH SOLE 107100 0 0
CLOROX CO DEL COM 189054109 11256 117400 SH SOLE 117400 0 0
CMS ENERGY CORP COM 125896100 2500 83000 SH SOLE 83000 0 0
CNA FINL CORP COM 126117100 1045 10900 SH SOLE 10900 0 0
COCA COLA CO COM 191216100 253006 4973100 SH SOLE 4973100 0 0
COCA COLA ENTERPRISES INC COM 191219104 8036 177600 SH SOLE 177600 0 0
COLONIAL PPTYS TR COM SH BEN INT 195872106 942 35900 SH SOLE 35900 0 0
COLUMBIA GAS SYS INC COM 197648108 16363 292200 SH SOLE 292200 0 0
COLUMBIA LABS INC COM 197779101 586 46900 SH SOLE 46900 0 0
COLUMBUS RLTY TR SH BEN INT 199567108 359 17600 SH SOLE 17600 0 0
COMAIR HOLDINGS INC COM 199789108 2002 85200 SH SOLE 85200 0 0
COMDISCO INC COM 200336105 4356 150851 SH SOLE 150851 0 0
COMINCO LTD COM 200435105 6125 409500 SH SOLE 409500 0 0
COMMERCIAL NET LEASE RLTY INC COM 202218103 429 31500 SH SOLE 31500 0 0
COMMONWEALTH ENERGY SYS COM SH BEN INT 202800108 460 19800 SH SOLE 19800 0 0
COMMUNITY PSYCHIATRIC CTRS COM 204015101 228 25000 SH SOLE 25000 0 0
COMPANIA DE TELECOMUNICACIONES SPONSORED ADR 204449201 2995 31000 SH SOLE 31000 0 0
COMPASS BANCSHARES INC COM 20449H109 461 13400 SH SOLE 13400 0 0
COMPUTER ASSOC INTL INC COM 204912109 73883 1233950 SH SOLE 1233950 0 0
COMSAT CORP COM SER 1 20564D107 509 22500 SH SOLE 22500 0 0
CONAGRA INC COM 205887102 36371 738500 SH SOLE 738500 0 0
CONE MLS CORP N C COM 206814105 197 25000 SH SOLE 25000 0 0
CONSECO INC COM 208464107 1093 22200 SH SOLE 22200 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
CONSOLIDATED EDISON CO N Y INC COM 209111103 7135 257100 SH SOLE 257100 0 0
CONSOLIDATED STORES CORP COM 210149100 644 16100 SH SOLE 16100 0 0
COORS ADOLPH CO CL B 217016104 439 20000 SH SOLE 20000 0 0
CORESTATES FINL CORP COM 218695104 389 9000 SH SOLE 9000 0 0
CORNING INC COM 219350105 4988 127900 SH SOLE 127900 0 0
COUSINS PPTYS INC COM 222795106 1463 66500 SH SOLE 66500 0 0
CPC INTL INC COM 126149103 29441 393200 SH SOLE 393200 0 0
CPI CORP COM 125902106 302 16100 SH SOLE 16100 0 0
CRAIG JENNY INC COM 224206102 100 10800 SH SOLE 10800 0 0
CREDICORP LTD COM G2519Y108 619 553834 SH SOLE 553834 0 0
CRESCENT REAL ESTATE EQUITIES COM 225756105 1135 27600 SH SOLE 27600 0 0
CROWN AMERN RLTY TR SH BEN INT 228186102 707 89800 SH SOLE 89800 0 0
CROWN BOOKS CORP COM 228210100 106 10700 SH SOLE 10700 0 0
CULBRO CORP COM 229890108 266 4800 SH SOLE 4800 0 0
CURATIVE HEALTH SVCS INC COM 231264102 212 11000 SH SOLE 11000 0 0
CYPRUS AMAX MINERALS CO COM 232809103 720 33500 SH SOLE 33500 0 0
DAMES & MOORE INC COM 235713104 246 18400 SH SOLE 18400 0 0
DARDEN RESTAURANTS INC COM 237194105 431 50000 SH SOLE 50000 0 0
DATA BROADCASTING CORP COM 237596101 420 46000 SH SOLE 46000 0 0
DE BEERS CONS MINES LTD ADR DEFD 240253302 1423 45900 SH SOLE 45900 0 0
DEAN FOODS CO COM 242361103 6226 220400 SH SOLE 220400 0 0
DEAN WITTER DISCOVER & CO COM 24240V101 51315 932992 SH SOLE 932992 0 0
DELL COMPUTER CORP COM 247025109 25253 324800 SH SOLE 324800 0 0
DELMARVA PWR & LT CO COM 247109101 677 33000 SH SOLE 33000 0 0
DELPHI FINL GROUP INC CL A 247131105 296 10560 SH SOLE 10560 0 0
DELUXE CORP COM 248019101 1484 39300 SH SOLE 39300 0 0
DEPOSIT GTY CORP COM 249555103 299 6200 SH SOLE 6200 0 0
DESTEC ENERGY INC COM 25063N100 1411 118800 SH SOLE 118800 0 0
DEVELOPERS DIVERSIFIED RLTY CO COM 251591103 549 17100 SH SOLE 17100 0 0
DEVON GROUP INC NEW COM 251801106 456 19400 SH SOLE 19400 0 0
DEVRY INC DEL COM 251893103 455 10000 SH SOLE 10000 0 0
DIAGNOSTIC PRODS CORP COM 252450101 470 12500 SH SOLE 12500 0 0
DIAMOND SHAMROCK INC COM 252747100 2088 67100 SH SOLE 67100 0 0
DIEBOLD INC COM 253651103 7834 134200 SH SOLE 134200 0 0
DIGITAL EQUIP CORP COM 253849103 39793 1117000 SH SOLE 1117000 0 0
DILLARD DEPT STORES INC CL A 254063100 14925 462800 SH SOLE 462800 0 0
DOLE FOOD INC COM 256605106 7043 167700 SH SOLE 167700 0 0
DOMINION RES INC VA COM 257470104 7444 197200 SH SOLE 197200 0 0
DOMTAR INC COM 257561100 3797 646600 SH SOLE 646600 0 0
DOVER CORP COM 260003108 18441 386200 SH SOLE 386200 0 0
DOW CHEM CO COM 260543103 401 5000 SH SOLE 5000 0 0
DOWNEY FINL CORP COM 261018105 211 8340 SH SOLE 8340 0 0
DPL INC COM 233293109 5005 214100 SH SOLE 214100 0 0
DQE INC COM 23329J104 2326 83450 SH SOLE 83450 0 0
DRESS BARN INC COM 261570105 440 40500 SH SOLE 40500 0 0
DRESSER INDS INC COM 261597108 286 9600 SH SOLE 9600 0 0
DREYERS GRAND ICE CREAM INC COM 261878102 258 10300 SH SOLE 10300 0 0
DTE ENERGY CO COM 233331107 7711 275400 SH SOLE 275400 0 0
DU PONT E I DE NEMOURS & CO COM 263534109 220 2500 SH SOLE 2500 0 0
DUKE POWER CO COM 264399106 20091 430900 SH SOLE 430900 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
DUN & BRADSTREET CORP COM 264830100 20433 342700 SH SOLE 342700 0 0
EASTERN ENTERPRISES COM 27637F100 1438 38100 SH SOLE 38100 0 0
EASTERN UTILS ASSOC COM 277173100 389 23200 SH SOLE 23200 0 0
EASTMAN KODAK CO COM 277461109 4632 59000 SH SOLE 59000 0 0
EATON VANCE CORP COM NON VTG 278265103 774 19900 SH SOLE 19900 0 0
EDISON INTL COM 281020107 8010 448100 SH SOLE 448100 0 0
EDWARDS AG INC COM 281760108 11243 386027 SH SOLE 386027 0 0
EGGHEAD INC COM 282330109 254 42300 SH SOLE 42300 0 0
EL PASO NAT GAS CO COM NEW 283695872 1448 32917 SH SOLE 32917 0 0
EMBOTELLADORA ANDINA S A SPONSORED ADR 29081P105 2561 73700 SH SOLE 73700 0 0
EMPI INC COM 291586105 349 24900 SH SOLE 24900 0 0
EMPRESAS ICA SOCIEDAD CONTRLAD SPONSORED ADR 292448107 10916 715800 SH SOLE 715800 0 0
EMPRESAS TELEX CHILE S A SPONSORED ADR 29245D105 469 78200 SH SOLE 78200 0 0
ENERGEN CORP COM 29265N108 230 9600 SH SOLE 9600 0 0
ENERGY VENTURES INC COM 292740107 429 10600 SH SOLE 10600 0 0
ENHANCE FINL SVCS GROUP INC COM 293310108 809 24500 SH SOLE 24500 0 0
ENOVA CORP COM 293552105 792 35800 SH SOLE 35800 0 0
ENSERCH CORP COM 293567103 1044 50000 SH SOLE 50000 0 0
ENSERCH EXPLORATION INC COM 29356V100 228 25000 SH SOLE 25000 0 0
ENTERGY CORP NEW COM 29364G103 11354 420500 SH SOLE 420500 0 0
EQUITY INNS INC COM 294703103 424 33900 SH SOLE 33900 0 0
EQUITY RESIDENTIAL PPTYS TR SH BEN INT 29476L107 1553 43600 SH SOLE 43600 0 0
EVANS WITHYCOMBE RESIDENTIAL COM 299212100 676 30900 SH SOLE 30900 0 0
EXCEL RLTY TR INC COM 30067R107 361 16700 SH SOLE 16700 0 0
EXXON CORP COM 302290101 57035 685100 SH SOLE 685100 0 0
F M C CORP COM NEW 302491303 407 6000 SH SOLE 6000 0 0
FAMILY DLR STORES INC COM 307000109 1310 75400 SH SOLE 75400 0 0
FAYS DRUG INC COM 313035107 260 20400 SH SOLE 20400 0 0
FEDERAL HOME LN MTG CORP COM 313400301 801 8200 SH SOLE 8200 0 0
FEDERAL NATL MTG ASSN COM 313586109 1786 51200 SH SOLE 51200 0 0
FEDERAL REALTY INVT TR SH BEN INT NEW 313747206 1128 48000 SH SOLE 48000 0 0
FELCOR SUITE HOTELS INC COM 314305103 1493 46300 SH SOLE 46300 0 0
FHP INTL CORP COM 302426101 3173 84900 SH SOLE 84900 0 0
FINA INC CL A 31734L101 362 6900 SH SOLE 6900 0 0
FIRST AMER BK CORP COM 318906104 2352 44700 SH SOLE 44700 0 0
FIRST BRANDS CORP COM 319356101 1144 43800 SH SOLE 43800 0 0
FIRST COLONY CORP COM 319741104 2389 67300 SH SOLE 67300 0 0
FIRST CTZNS BANCSHARES INC N C CL A 31946M103 208 3200 SH SOLE 3200 0 0
FIRST EMPIRE ST CORP COM 320076102 498 2000 SH SOLE 2000 0 0
FIRST INDUSTRIAL REALTY TRUST COM 32054K103 1465 56600 SH SOLE 56600 0 0
FISHER SCIENTIFIC INTL INC COM 338032105 722 17500 SH SOLE 17500 0 0
FLEMING COS INC COM 339130106 2978 171400 SH SOLE 171400 0 0
FLIGHTSAFETY INTL INC COM 339423105 808 18100 SH SOLE 18100 0 0
FLORIDA EAST COAST INDS COM 340632108 462 5600 SH SOLE 5600 0 0
FLORIDA PROGRESS CORP COM 341109106 4168 122600 SH SOLE 122600 0 0
FLOWERS INDS INC COM 343496105 240 11700 SH SOLE 11700 0 0
FORD MTR CO DEL COM 345370100 906 29000 SH SOLE 29000 0 0
FOREMOST CORP OF AMER COM 345469100 644 11700 SH SOLE 11700 0 0
FOREST LABS INC CL A 345838106 567 15700 SH SOLE 15700 0 0
FOUNDATION HEALTH CORP COM 350401105 1704 50300 SH SOLE 50300 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
FPL GROUP INC COM 302571104 9545 220700 SH SOLE 220700 0 0
FRANCHISE FIN CORP AMER COM 351807102 1922 81800 SH SOLE 81800 0 0
FRANKLIN QUEST CO COM 354596108 208 11100 SH SOLE 11100 0 0
FREMONT GEN CORP COM 357288109 1384 46915 SH SOLE 46915 0 0
FRONTIER INS GROUP INC NEW COM 359081106 700 17559 SH SOLE 17559 0 0
FRUIT OF THE LOOM INC CL A 359416104 10227 329900 SH SOLE 329900 0 0
GALLAGHER ARTHUR J & CO COM 363576109 533 15500 SH SOLE 15500 0 0
GANNETT INC COM 364730101 32563 462700 SH SOLE 462700 0 0
GAP INC DEL COM 364760108 28731 995000 SH SOLE 995000 0 0
GENERAL ELEC CO COM 369604103 1820 20000 SH SOLE 20000 0 0
GENERAL GROWTH PPTYS INC COM 370021107 796 32000 SH SOLE 32000 0 0
GENERAL HOST CORP COM 370064107 108 39270 SH SOLE 39270 0 0
GENERAL MLS INC COM 370334104 894 14800 SH SOLE 14800 0 0
GENERAL MTRS CORP COM 370442105 8016 167000 SH SOLE 167000 0 0
GENERAL RE CORP COM 370563108 354 2500 SH SOLE 2500 0 0
GENETICS INST INC DEP SHS 371855305 876 12600 SH SOLE 12600 0 0
GENUINE PARTS CO COM 372460105 3089 70600 SH SOLE 70600 0 0
GIANT FOOD INC CL A 374478105 901 26500 SH SOLE 26500 0 0
GIBSON GREETINGS INC COM 374827103 193 13300 SH SOLE 13300 0 0
GIDDINGS & LEWIS INC WIS COM 375048105 297 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 236 13300 SH SOLE 13300 0 0
GLIMCHER RLTY TR SH BEN INT 379302102 640 32600 SH SOLE 32600 0 0
GLOBAL INDL TECHNOLOGIES INC COM 379335102 428 23300 SH SOLE 23300 0 0
GOLDEN WEST FINL CORP DEL COM 381317106 2294 39300 SH SOLE 39300 0 0
GPU INC COM 36225X100 4613 150000 SH SOLE 150000 0 0
GRAINGER W W INC COM 384802104 6365 90600 SH SOLE 90600 0 0
GRAND CASINOS INC COM 385269105 1054 72100 SH SOLE 72100 0 0
GREAT ATLANTIC & PAC TEA INC COM 390064103 810 31300 SH SOLE 31300 0 0
GREAT LAKES CHEM CORP COM 390568103 388 6800 SH SOLE 6800 0 0
GREAT WESTN FINL CORP COM 391442100 663 25000 SH SOLE 25000 0 0
GREY ADVERTISING INC COM 397838103 1771 7600 SH SOLE 7600 0 0
GRUPO MEXICANO DE DESARROLLO SPND ADR B SHS 40048G104 511 314644 SH SOLE 314644 0 0
GRUPO MEXICANO DE DESARROLLO SPND ADR L SHS 40048G203 1142 571244 SH SOLE 571244 0 0
GRUPO TRIBASA S A DE C V SPONSORED ADR 40049F105 3109 565200 SH SOLE 565200 0 0
GTE CORP COM 362320103 6279 163100 SH SOLE 163100 0 0
GUANGSHEN RY LTD SPONSORED ADR 40065W107 475 25000 SH SOLE 25000 0 0
GULF CDA RES LTD ORD 40218L305 1266 270500 SH SOLE 270500 0 0
HAAGEN ALEXANDER PPTYS INC COM 40443E100 232 16600 SH SOLE 16600 0 0
HAEMONETICS CORP COM 405024100 644 31200 SH SOLE 31200 0 0
HANCOCK FABRICS INC COM 409900107 311 35000 SH SOLE 35000 0 0
HANDLEMAN CO DEL COM 410252100 461 80100 SH SOLE 80100 0 0
HANNAFORD BROS CO COM 410550107 1381 42500 SH SOLE 42500 0 0
HANSON PLC WT B EX 093097 411352131 51 818766 SH SOLE 818766 0 0
HANSON PLC SPONSORED ADR 411352305 4022 325000 SH SOLE 325000 0 0
HARLEY DAVIDSON INC COM 412822108 11206 260600 SH SOLE 260600 0 0
HASBRO INC COM 418056107 780 21000 SH SOLE 21000 0 0
HAWAIIAN ELEC INDUSTRIES COM 419870100 751 22000 SH SOLE 22000 0 0
HBO & CO COM 404100109 30051 450200 SH SOLE 450200 0 0
HEALTH MGMT ASSOC INC NEW CL A 421933102 5061 202450 SH SOLE 202450 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
HEALTHSOUTH CORP COM 421924101 3937 102600 SH SOLE 102600 0 0
HEINZ H J CO COM 423074103 3107 92050 SH SOLE 92050 0 0
HERSHEY FOODS CORP COM 427866108 11738 233600 SH SOLE 233600 0 0
HIGHWOODS PPTYS INC COM 431284108 1901 62600 SH SOLE 62600 0 0
HILB ROGAL & HAMILTON CO COM 431294107 154 11600 SH SOLE 11600 0 0
HILLENBRAND INDS INC COM 431573104 1226 33600 SH SOLE 33600 0 0
HILTON HOTELS CORP COM 432848109 226 8000 SH SOLE 8000 0 0
HOLLY CORP COM PAR $0.01 435758305 371 13500 SH SOLE 13500 0 0
HOME DEPOT INC COM 437076102 13730 241400 SH SOLE 241400 0 0
HORACE MANN EDUCATORS CORP NEW COM 440327104 1246 37900 SH SOLE 37900 0 0
HORMEL FOODS CORP COM 440452100 7136 305300 SH SOLE 305300 0 0
HOUGHTON MIFFLIN CO COM 441560109 1084 23000 SH SOLE 23000 0 0
HOUSEHOLD INTL INC COM 441815107 362 4400 SH SOLE 4400 0 0
HOUSTON INDS INC COM 442161105 3675 166100 SH SOLE 166100 0 0
HOVNANIAN ENTERPRISES INC CL A 442487203 68 11300 SH SOLE 11300 0 0
HUANENG PWR INTL INC SPONSR ADR N 443304100 417 25100 SH SOLE 25100 0 0
HUBBELL INC CL B 443510201 903 24400 SH SOLE 24400 0 0
HUFFY CORP COM 444356109 174 12900 SH SOLE 12900 0 0
IBP INC COM 449223106 12318 529800 SH SOLE 529800 0 0
IDAHO POWER CO COM 451380109 643 20500 SH SOLE 20500 0 0
IDEXX LABS CORP COM 45168D104 3724 82300 SH SOLE 82300 0 0
IES INDS INC COM 44949M103 769 25200 SH SOLE 25200 0 0
ILLINOVA CORP COM 452317100 2836 107000 SH SOLE 107000 0 0
IMMULOGIC PHARMACEUTICAL CORP COM 45252R100 203 25000 SH SOLE 25000 0 0
IMPERIAL OIL LTD COM NEW 453038408 8361 268001 SH SOLE 268001 0 0
INCO LTD COM 453258402 5267 201089 SH SOLE 201089 0 0
INDIA FD INC COM 454089103 1351 186300 SH SOLE 186300 0 0
INDIANA ENERGY INC COM 454707100 310 12700 SH SOLE 12700 0 0
INNKEEPERS USA TR COM 4576J0104 232 20600 SH SOLE 20600 0 0
INTEGON CORP COM 45810F101 313 16900 SH SOLE 16900 0 0
INTEGRATED DEVICE TECHNOLOGY COM 458118106 199 20000 SH SOLE 20000 0 0
INTEL CORP COM 458140100 6079 63700 SH SOLE 63700 0 0
INTER-CITY PRODS CORP ORD 45821E101 31 13900 SH SOLE 13900 0 0
INTERGRAPH CORP COM 458683109 1650 150000 SH SOLE 150000 0 0
INTERNATIONAL BUSINESS MACHS COM 459200101 4669 37500 SH SOLE 37500 0 0
INTERNATIONAL DAIRY QUEEN INC CL A 459373205 632 31000 SH SOLE 31000 0 0
INTERNATIONAL FAMILY ENTMT INC CL B 45950M106 201 12300 SH SOLE 12300 0 0
INTERNATIONAL GAME TECHNOLOGY COM 459902102 558 27200 SH SOLE 27200 0 0
INTERNATIONAL MULTIFOODS CORP COM 460043102 770 47400 SH SOLE 47400 0 0
INTERSTATE BAKERIES CORP DEL COM 46072H108 285 7800 SH SOLE 7800 0 0
INTL PAPER CO COM 460146103 1488 35000 SH SOLE 35000 0 0
IOMEGA CORP COM 462030107 15387 634500 SH SOLE 634500 0 0
IPL ENERGY INC COM 449911106 219 11100 SH SOLE 11100 0 0
IPSCO INC COM 462622101 647 40500 SH SOLE 40500 0 0
IRT PPTY CO COM 450058102 447 47000 SH SOLE 47000 0 0
IRVINE APT CMNTYS INC COM 463606103 761 34400 SH SOLE 34400 0 0
ISIS PHARMACEUTICALS INC COM 464330109 619 38400 SH SOLE 38400 0 0
ITT HARTFORD GROUP INC COM 45068H106 295 5000 SH SOLE 5000 0 0
ITT INDS INC IND COM 450911102 483 20000 SH SOLE 20000 0 0
JAMES RIV CORP VA COM 470349101 376 13600 SH SOLE 13600 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
JAMES RIV CORP VA PFD CV C1/100S 470349887 2580 100200 SH SOLE 100200 0 0
JDN RLTY CORP COM 465917102 576 23500 SH SOLE 23500 0 0
JEFFERIES GROUP INC COM 472318104 602 17400 SH SOLE 17400 0 0
JEFFERSON PILOT CORP COM 475070108 1221 23600 SH SOLE 23600 0 0
JOHNSON & JOHNSON COM 478160104 871 17000 SH SOLE 17000 0 0
JONES APPAREL GROUP INC COM 480074103 6847 107400 SH SOLE 107400 0 0
JP REALTY INC COM 46624A106 1006 45200 SH SOLE 45200 0 0
K MART CORP COM 482584109 3070 299500 SH SOLE 299500 0 0
K-SWISS INC CL A 482686102 160 15400 SH SOLE 15400 0 0
KANSAS CITY PWR & LT CO COM 485134100 1482 55400 SH SOLE 55400 0 0
KELLOGG CO COM 487836108 17205 249800 SH SOLE 249800 0 0
KELLWOOD CO COM 488044108 889 53500 SH SOLE 53500 0 0
KEYCORP NEW COM 493267108 378 8584 SH SOLE 8584 0 0
KIMCO REALTY CORP COM 49446R109 2505 84200 SH SOLE 84200 0 0
KINETIC CONCEPTS INC COM 49460W109 653 45200 SH SOLE 45200 0 0
KING WORLD PRODTNS INC COM 495667107 2456 66600 SH SOLE 66600 0 0
KN ENERGY INC COM 482620101 425 12050 SH SOLE 12050 0 0
KNIGHT RIDDER INC COM 499040103 5406 146100 SH SOLE 146100 0 0
KOGER EQUITY INC COM 500228101 653 41800 SH SOLE 41800 0 0
KOHLS CORP COM 500255104 1354 37600 SH SOLE 37600 0 0
KOREAN INVT FD INC COM 500637103 1460 160000 SH SOLE 160000 0 0
KU ENERGY CORP COM 482734100 259 9000 SH SOLE 9000 0 0
LABORATORY CORP AMER HLDGS COM 50540R102 165 42500 SH SOLE 42500 0 0
LAIDLAW INC CL B NON VTG 50730K206 616 76300 SH SOLE 76300 0 0
LANCASTER COLONY CORP COM 513847103 1052 27510 SH SOLE 27510 0 0
LEE ENTERPRISES INC COM 523768109 1899 83000 SH SOLE 83000 0 0
LEGGETT & PLATT INC COM 524660107 2115 72000 SH SOLE 72000 0 0
LEXINGTON CORP PPTYS INC COM 529039109 236 18300 SH SOLE 18300 0 0
LG&E ENERGY CORP COM 501917108 781 35100 SH SOLE 35100 0 0
LIBERTY CORP S C COM 530370105 632 18000 SH SOLE 18000 0 0
LIBERTY PPTY TR SH BEN INT 531172104 1259 57900 SH SOLE 57900 0 0
LIFE RE CORP COM 532160108 659 18300 SH SOLE 18300 0 0
LIFE TECHNOLOGIES INC COM 532177201 246 10950 SH SOLE 10950 0 0
LILLIAN VERNON CORP COM 532430105 193 15400 SH SOLE 15400 0 0
LILLY ELI & CO COM 532457108 130232 2019100 SH SOLE 2019100 0 0
LIMITED INC COM 532716107 287 15000 SH SOLE 15000 0 0
LINCOLN NATL CORP IND COM 534187109 1479 33700 SH SOLE 33700 0 0
LITTON INDS INC COM 538021106 575 11700 SH SOLE 11700 0 0
LIZ CLAIBORNE INC COM 539320101 28742 771600 SH SOLE 771600 0 0
LOCKHEED MARTIN CORP COM 539830109 7354 81600 SH SOLE 81600 0 0
LOEWS CORP COM 540424108 44259 572000 SH SOLE 572000 0 0
LOGICON INC COM 541409108 871 24800 SH SOLE 24800 0 0
LONG ISLAND LTG CO COM 542671102 1360 79400 SH SOLE 79400 0 0
LONGS DRUG STORES CORP COM 543162101 2066 47500 SH SOLE 47500 0 0
LOWES COS INC COM 548661107 17335 424100 SH SOLE 424100 0 0
LUBRIZOL CORP COM 549271104 288 10000 SH SOLE 10000 0 0
LUBYS CAFETERIAS INC COM 549282101 850 35400 SH SOLE 35400 0 0
LUNAR CORP COM 550362107 696 21750 SH SOLE 21750 0 0
LUXOTTICA GROUP S P A SPONSORED ADR 55068R202 13582 186700 SH SOLE 186700 0 0
MACERICH CO COM 554382101 1043 46600 SH SOLE 46600 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
MACFRUGALS BARGAINS CLOSE OUTS COM 554152108 1231 52100 SH SOLE 52100 0 0
MACMILLAN BLOEDEL LTD COM 554783209 4804 489339 SH SOLE 489339 0 0
MADERAS Y SINTETICOS SOCIEDAD SPONSORED ADR 556465102 1537 108800 SH SOLE 108800 0 0
MANUFACTURED HOME CMNTYS INC COM 564682102 549 28500 SH SOLE 28500 0 0
MARKEL CORP COM 570535104 612 7200 SH SOLE 7200 0 0
MARQUETTE MED SYS INC CL A 571490101 245 14600 SH SOLE 14600 0 0
MARSH & MCLENNAN COS INC COM 571748102 1098 11300 SH SOLE 11300 0 0
MASCOTECH INC COM 574670105 3563 250000 SH SOLE 250000 0 0
MASCOTECH INC PFD CONV DECS 574670303 341 23900 SH SOLE 23900 0 0
MAY DEPT STORES CO COM 577778103 19119 393200 SH SOLE 393200 0 0
MAYTAG CORP COM 578592107 10928 560400 SH SOLE 560400 0 0
MBIA INC COM 55262C100 12348 144000 SH SOLE 144000 0 0
MCCLATCHY NEWSPAPERS INC CL A 579489105 344 12300 SH SOLE 12300 0 0
MCGRATH RENTCORP COM 580589109 411 15800 SH SOLE 15800 0 0
MCGRAW HILL COS INC COM 580645109 2110 49500 SH SOLE 49500 0 0
MCI COMMUNICATIONS CORP COM 552673105 94426 3684900 SH SOLE 3684900 0 0
MCKESSON CORP NEW COM 581557105 3212 67800 SH SOLE 67800 0 0
MCN CORP COM 55267J100 446 16600 SH SOLE 16600 0 0
MDU RES GROUP INC COM 552690109 313 14550 SH SOLE 14550 0 0
MEDIMMUNE INC COM 584699102 503 35300 SH SOLE 35300 0 0
MEDTRONIC INC COM 585055106 6868 107100 SH SOLE 107100 0 0
MELVILLE CORP COM 585745102 22985 520900 SH SOLE 520900 0 0
MENTOR CORP MINN COM 587188103 1458 53000 SH SOLE 53000 0 0
MERCANTILE STORES INC COM 587533100 1742 32250 SH SOLE 32250 0 0
MERCK & CO INC COM 589331107 18410 261600 SH SOLE 261600 0 0
MERCURY FIN CO COM 589395102 1280 105600 SH SOLE 105600 0 0
MEREDITH CORP COM 589433101 1763 35700 SH SOLE 35700 0 0
MERRILL LYNCH & CO INC COM 590188108 264 4000 SH SOLE 4000 0 0
MERRY LD & INVT INC COM 590438107 1152 53900 SH SOLE 53900 0 0
MESA AIRLS INC COM 590481107 571 62600 SH SOLE 62600 0 0
MEXICO FD INC COM 592835102 66647 5851220 SH SOLE 5851220 0 0
MGM GRAND INC COM 552953101 304 7200 SH SOLE 7200 0 0
MICROSOFT CORP COM 594918104 93684 710400 SH SOLE 710400 0 0
MID ATLANTIC MED SVCS INC COM 59523C107 158 12400 SH SOLE 12400 0 0
MID-AMER APT CMNTYS INC COM 59522J103 234 9300 SH SOLE 9300 0 0
MID-AMERN WASTE SYS INC COM 59523F100 34 49300 SH SOLE 49300 0 0
MIDAMERICAN ENERGY CO COM 595620105 2187 137782 SH SOLE 137782 0 0
MILLS CORP COM 601148109 494 25000 SH SOLE 25000 0 0
MINNESOTA PWR & LT CO COM 604110106 266 10000 SH SOLE 10000 0 0
MITCHELL ENERGY & DEV CORP CL B 606592301 469 23900 SH SOLE 23900 0 0
MITEL CORP COM 606711109 678 139500 SH SOLE 139500 0 0
MOBIL CORP COM 607059102 18462 159500 SH SOLE 159500 0 0
MONEY STORE INC COM 60934T101 2419 91275 SH SOLE 91275 0 0
MONSANTO CO COM 611662107 105967 2903200 SH SOLE 2903200 0 0
MONTANA POWER CO COM 612085100 220 10300 SH SOLE 10300 0 0
MOORE LTD COM 615785102 1274 83564 SH SOLE 83564 0 0
MORGAN J P & CO INC COM 616880100 907 10200 SH SOLE 10200 0 0
MORGAN KEEGAN INC COM 617410105 250 18350 SH SOLE 18350 0 0
MORGAN STANLEY GROUP INC COM 617446109 45377 912100 SH SOLE 912100 0 0
MYLAN LABS INC COM 628530107 774 45200 SH SOLE 45200 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
NASH FINCH CO COM 631158102 302 18900 SH SOLE 18900 0 0
NATIONAL AUTO CR INC NEW COM 632900106 377 32780 SH SOLE 32780 0 0
NATIONAL EDUCATION CORP COM 635771108 761 39800 SH SOLE 39800 0 0
NATIONAL GOLF PPTYS INC COM 63623G109 694 24900 SH SOLE 24900 0 0
NATIONAL SEMICONDUCTOR CORP COM 637640103 453 22500 SH SOLE 22500 0 0
NATIONAL SVC INDS INC COM 637657107 5450 155700 SH SOLE 155700 0 0
NATIONSBANK CORP COM 638585109 1120 12900 SH SOLE 12900 0 0
NATL RE CORP COM 637340209 1147 21700 SH SOLE 21700 0 0
NATURES SUNSHINE PRODUCTS INC COM 639027101 835 47710 SH SOLE 47710 0 0
NAVISTAR INTL CORP PFD G CV $6.00 638901405 1338 23900 SH SOLE 23900 0 0
NCH CORP COM 628850109 371 6700 SH SOLE 6700 0 0
NEIMAN MARCUS GROUP INC COM 640204103 666 18900 SH SOLE 18900 0 0
NELLCOR PURITAN BENNET INC COM 640275103 1373 62400 SH SOLE 62400 0 0
NEVADA POWER CO COM 641423108 955 46600 SH SOLE 46600 0 0
NEW ENGLAND ELEC SYS COM 644001109 2057 66100 SH SOLE 66100 0 0
NEW JERSEY RES COM 646025106 353 12600 SH SOLE 12600 0 0
NEW PLAN RLTY TR SH BEN INT 648059103 391 18200 SH SOLE 18200 0 0
NEW YORK ST ELEC & GAS CORP COM 649840105 2900 131800 SH SOLE 131800 0 0
NIAGARA MOHAWK PWR CORP COM 653522102 2291 286400 SH SOLE 286400 0 0
NIKE INC CL B 654106103 69373 569800 SH SOLE 569800 0 0
NIPSCO INDS INC COM 629140104 4487 125500 SH SOLE 125500 0 0
NORAM ENERGY CORP COM 655419109 744 50000 SH SOLE 50000 0 0
NORTHEAST UTILS COM 664397106 856 69200 SH SOLE 69200 0 0
NORTHN STS PWR CO MINN COM 665772109 7017 150500 SH SOLE 150500 0 0
NORTHROP GRUMMAN CORP COM 666807102 345 4300 SH SOLE 4300 0 0
NORTHWEST NAT GAS CO COM 667655104 214 9300 SH SOLE 9300 0 0
NOVA CORP ALTA COM 669943102 419 65300 SH SOLE 65300 0 0
NOVELL INC COM 670006105 1319 119900 SH SOLE 119900 0 0
NUMAC ENERGY INC COM 67052A103 445 144900 SH SOLE 144900 0 0
O SULLIVAN CORP COM 688605104 155 14600 SH SOLE 14600 0 0
OASIS RESIDENTIAL INC COM 674216106 416 19000 SH SOLE 19000 0 0
OCCIDENTAL PETE CORP DEL COM 674599105 526 22500 SH SOLE 22500 0 0
OFFICE DEPOT INC COM 676220106 584 25000 SH SOLE 25000 0 0
OGDEN CORP COM 676346109 1006 50000 SH SOLE 50000 0 0
OHIO EDISON CO COM 677347106 3119 161000 SH SOLE 161000 0 0
OKLAHOMA GAS & ELEC CO COM 678858101 2268 56700 SH SOLE 56700 0 0
OLD REP INTL CORP COM 680223104 7764 313700 SH SOLE 313700 0 0
OLIN CORP COM PAR $1 680665205 8770 104400 SH SOLE 104400 0 0
OMNICARE INC COM 681904108 3324 109000 SH SOLE 109000 0 0
OMNICOM GROUP INC COM 681919106 12445 266200 SH SOLE 266200 0 0
ORACLE CORP COM 68389X105 426 10000 SH SOLE 10000 0 0
ORANGE & ROCKLAND UTILS INC COM 684065105 224 6400 SH SOLE 6400 0 0
OREGON METALLURGICAL CORP COM 685899106 624 19200 SH SOLE 19200 0 0
ORION CAP CORP COM 686268103 501 9700 SH SOLE 9700 0 0
OWENS CORNING COM 69073F103 1844 50000 SH SOLE 50000 0 0
P P & L RES INC COM 693499105 2702 123500 SH SOLE 123500 0 0
PACIFIC ENTERPRISES COM 694232109 5109 169600 SH SOLE 169600 0 0
PACIFIC GAS & ELEC CO COM 694308107 4541 208800 SH SOLE 208800 0 0
PACIFIC TELESIS GROUP COM 694890104 1177 35000 SH SOLE 35000 0 0
PACIFICORP COM 695114108 12177 590400 SH SOLE 590400 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
PANENERGY CORP COM 697926103 9286 268200 SH SOLE 268200 0 0
PARAGON GROUP INC COM 699116109 260 16800 SH SOLE 16800 0 0
PARAGON TRADE BRANDS INC COM 69912K107 750 32100 SH SOLE 32100 0 0
PATRIOT AMERN HOSPITALITY INC COM 703353102 1187 35300 SH SOLE 35300 0 0
PECO ENERGY CO COM 693304107 1962 82600 SH SOLE 82600 0 0
PENNCORP FINL GROUP INC COM 708094107 858 26600 SH SOLE 26600 0 0
PEOPLES ENERGY CORP COM 711030106 513 15100 SH SOLE 15100 0 0
PEP BOYS MANNY MOE & JACK COM 713278109 349 9800 SH SOLE 9800 0 0
PEPSICO INC COM 713448108 17213 609300 SH SOLE 609300 0 0
PERKIN ELMER CORP COM 714041100 12472 215500 SH SOLE 215500 0 0
PETRO-CDA VARTBL VTG SHS 71644E102 1680 177800 SH SOLE 177800 0 0
PFEIFFER VACUUM TECH AG SPONSORED ADR 717067102 4305 280000 SH SOLE 280000 0 0
PFIZER INC COM 717081103 43887 554656 SH SOLE 554656 0 0
PHARMACIA & UPJOHN INC COM 716941109 8240 199765 SH SOLE 199765 0 0
PHH CORP COM 693320103 3210 107900 SH SOLE 107900 0 0
PHILADELPHIA SUBN CORP COM PAR $0.50 718009608 214 13050 SH SOLE 13050 0 0
PHILIP MORRIS COS INC COM 718154107 22144 246728 SH SOLE 246728 0 0
PHILIPPINE LONG DISTANCE TEL SPONSORED ADR 718252604 463 7400 SH SOLE 7400 0 0
PHILIPS ELECTRS N V NEW YORK SHS 718337504 6253 174300 SH SOLE 174300 0 0
PHILLIPS VAN HEUSEN CORP COM 718592108 125 11200 SH SOLE 11200 0 0
PIEDMONT NAT GAS INC COM 720186105 268 11100 SH SOLE 11100 0 0
PILGRIMS PRIDE CORP COM 721467108 104 12100 SH SOLE 12100 0 0
PINNACLE WEST CAP CORP COM 723484101 2489 84000 SH SOLE 84000 0 0
PIPER JAFFRAY COS INC COM 724081104 263 21700 SH SOLE 21700 0 0
PITNEY BOWES INC COM 724479100 16142 306000 SH SOLE 306000 0 0
PLENUM PUBG CORP COM 729093104 264 7600 SH SOLE 7600 0 0
PNC BK CORP COM 693475105 834 25000 SH SOLE 25000 0 0
POLAROID CORP COM 731095105 18194 413500 SH SOLE 413500 0 0
PORTLAND GEN CORP COM 736506106 3212 83700 SH SOLE 83700 0 0
POST PPTYS INC COM 737464107 678 18500 SH SOLE 18500 0 0
POTLATCH CORP COM 737628107 1411 36400 SH SOLE 36400 0 0
POTOMAC ELEC PWR CO COM 737679100 5217 204600 SH SOLE 204600 0 0
PRESIDENTIAL LIFE CORP COM 740884101 508 46200 SH SOLE 46200 0 0
PRICE/COSTCO INC COM 74143W102 2075 101200 SH SOLE 101200 0 0
PRIMARK CORP COM 741903108 630 23000 SH SOLE 23000 0 0
PRIME MED SVCS INC NEW COM 74156D108 155 11700 SH SOLE 11700 0 0
PRIME RETAIL INC COM 741570105 283 23600 SH SOLE 23600 0 0
PROGRESSIVE CORP OHIO COM 743315103 647 11300 SH SOLE 11300 0 0
PROTECTIVE LIFE CORP COM 743674103 1759 46600 SH SOLE 46600 0 0
PROVIDENT COS INC COM 743862104 5213 139000 SH SOLE 139000 0 0
PROVIDIAN CORP COM 744061102 10759 250200 SH SOLE 250200 0 0
PUBLIC SERVICE CO COLO COM 744448101 4590 129300 SH SOLE 129300 0 0
PUBLIC STORAGE INC COM 74460D109 3625 160200 SH SOLE 160200 0 0
PUBLIC SVC CO N MEX COM 744499104 2085 106900 SH SOLE 106900 0 0
PUBLIC SVC ENTERPRISE GROUP COM 744573106 2900 108400 SH SOLE 108400 0 0
PUGET SOUND PWR & LT CO COM 745332106 1649 73300 SH SOLE 73300 0 0
PULITZER PUBG CO COM 745771105 1302 22800 SH SOLE 22800 0 0
PULTE CORP COM 745867101 958 37400 SH SOLE 37400 0 0
QUAKER ST CORP COM 747410108 364 21100 SH SOLE 21100 0 0
QUALITY FOOD CTRS INC COM 747565109 1209 34800 SH SOLE 34800 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
QUESTAR CORP COM 748356102 531 15000 SH SOLE 15000 0 0
QUICK & REILLY GROUP DEL COM 748376100 1168 44070 SH SOLE 44070 0 0
R O C TAIWAN FD SH BEN INT 749651105 3981 370300 SH SOLE 370300 0 0
RANGER OIL LTD COM 752805101 850 154400 SH SOLE 154400 0 0
RAYCHEM CORP DEL COM 754603108 13463 179500 SH SOLE 179500 0 0
RAYMOND JAMES FINANCIAL INC COM 754730109 1602 66050 SH SOLE 66050 0 0
RAYTHEON CO COM 755111101 119394 2146400 SH SOLE 2146400 0 0
REEBOK INTL LTD COM 758110100 8246 237300 SH SOLE 237300 0 0
REGENERON PHARMACEUTICALS COM 75886F107 270 13400 SH SOLE 13400 0 0
REINSURANCE GROUP AMER INC COM 759351109 733 16700 SH SOLE 16700 0 0
RELIANCE GROUP HOLDINGS INC COM 759464100 1744 225000 SH SOLE 225000 0 0
RELIASTAR FINL CORP COM 75952U103 4196 88339 SH SOLE 88339 0 0
REPAP ENTERPRISES INC COM 76026M309 581 214600 SH SOLE 214600 0 0
REPUBLIC INDS INC COM 760516104 783 27000 SH SOLE 27000 0 0
REPUBLIC N Y CORP COM 760719104 643 9300 SH SOLE 9300 0 0
RESEARCH MEDICAL INC COM 761004100 407 23400 SH SOLE 23400 0 0
RESPIRONICS INC COM 761230101 378 15600 SH SOLE 15600 0 0
REVCO DS INC NEW COM 761339100 411 14000 SH SOLE 14000 0 0
REYNOLDS METALS CO COM 761763101 1099 21500 SH SOLE 21500 0 0
RFS HOTEL INVS INC COM 74955J108 653 41800 SH SOLE 41800 0 0
RHONE POULENC RORER INC COM 76242T104 17817 242000 SH SOLE 242000 0 0
RICHFOOD HLDGS INC COM 763408101 1334 35800 SH SOLE 35800 0 0
RITE AID CORP COM 767754104 2382 65700 SH SOLE 65700 0 0
RJR NABISCO HOLDINGS CORP PFD C DEP1/10S 74960K884 3225 600000 SH SOLE 600000 0 0
RLI CORP COM 749607107 267 10275 SH SOLE 10275 0 0
ROBERT HALF INTL INC COM 770323103 8625 233900 SH SOLE 233900 0 0
ROC COMMUNITIES INC COM 749650107 614 25200 SH SOLE 25200 0 0
ROCHESTER GAS & ELEC CORP COM 771367109 1018 55800 SH SOLE 55800 0 0
ROCKWELL INTL CORP COM 774347108 1579 28000 SH SOLE 28000 0 0
ROLLINS INC COM 775711104 2022 100450 SH SOLE 100450 0 0
ROSS STORES INC COM 778296103 2704 75100 SH SOLE 75100 0 0
ROYAL BK CDA MONTREAL QUE COM 780087102 4201 200800 SH SOLE 200800 0 0
ROYAL DUTCH PETE CO NY REG GLDR 5 780257705 31678 202900 SH SOLE 202900 0 0
RUDDICK CORP COM 781258108 525 38200 SH SOLE 38200 0 0
RUSS BERRIE & CO COM 782233100 350 21700 SH SOLE 21700 0 0
RUSSELL CORP COM 782352108 938 29300 SH SOLE 29300 0 0
RYANS FAMILY STEAK HOUSE INC COM 783519101 635 83300 SH SOLE 83300 0 0
RYDER SYS INC COM 783549108 296 10000 SH SOLE 10000 0 0
RYKOFF-SEXTON INC COM 783759103 207 14400 SH SOLE 14400 0 0
SAFECO CORP COM 786429100 5712 163200 SH SOLE 163200 0 0
SAFEWAY INC COM NEW 786514208 25200 591200 SH SOLE 591200 0 0
SALOMON INC COM 79549B107 3089 67700 SH SOLE 67700 0 0
SANDERSON FARMS INC COM 800013104 185 16400 SH SOLE 16400 0 0
SARA LEE CORP COM 803111103 2091 58500 SH SOLE 58500 0 0
SAUL CTRS INC COM 804395101 224 16600 SH SOLE 16600 0 0
SBC COMMUNICATIONS INC COM 78387G103 2406 50000 SH SOLE 50000 0 0
SCANA CORP COM 805898103 4242 161600 SH SOLE 161600 0 0
SCHERING PLOUGH CORP COM 806605101 36383 592800 SH SOLE 592800 0 0
SCHLUMBERGER LTD COM 806857108 423 5000 SH SOLE 5000 0 0
SCRIPPS E W CO CL A 811039106 1641 35200 SH SOLE 35200 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
SEAGATE TECHNOLOGY COM 811804103 13125 234900 SH SOLE 234900 0 0
SEAGRAM LTD COM 811850106 375 10000 SH SOLE 10000 0 0
SECURITY CAP PAC TR SH BEN INT 814141107 3095 146500 SH SOLE 146500 0 0
SELECTIVE INS GROUP INC COM 816300107 683 20400 SH SOLE 20400 0 0
SEMI-TECH CORP CL A SUB VTG 81662E108 7164 2439900 SH SOLE 2439900 0 0
SEQUA CORPORATION CL A 817320104 321 7200 SH SOLE 7200 0 0
SERVICE CORP INTL COM 817565104 31493 1041100 SH SOLE 1041100 0 0
SERVICE MERCHANDISE INC COM 817587108 447 94100 SH SOLE 94100 0 0
SHERWIN WILLIAMS CO COM 824348106 487 10500 SH SOLE 10500 0 0
SHONEYS INC COM 825039100 110 12100 SH SOLE 12100 0 0
SHOPKO STORES INC COM 824911101 364 22900 SH SOLE 22900 0 0
SHOWBIZ PIZZA TIME COM NEW 825388309 650 35850 SH SOLE 35850 0 0
SHOWBOAT INC COM 825390107 557 25300 SH SOLE 25300 0 0
SHURGARD STORAGE CTRS INC COM 82567D104 1219 47100 SH SOLE 47100 0 0
SIERRA PAC RES COM 826425100 743 28700 SH SOLE 28700 0 0
SIGCORP INC COM 826912107 365 10700 SH SOLE 10700 0 0
SILICON GRAPHICS INC COM 827056102 220 10000 SH SOLE 10000 0 0
SIMON DEBARTOLO GROUP INC COM 828781104 2729 107000 SH SOLE 107000 0 0
SMART & FINAL INC COM 831683107 353 14700 SH SOLE 14700 0 0
SMITH A O CL A 831865100 529 21800 SH SOLE 21800 0 0
SMITH CHARLES E RESDNTL RLTY COM 832197107 236 9800 SH SOLE 9800 0 0
SMITHKLINE BEECHAM PLC ADR REP ORD 832378301 761 12500 SH SOLE 12500 0 0
SMITHS FOOD & DRUG CTRS INC CL B 832388102 503 18965 SH SOLE 18965 0 0
SMUCKER J M CO CL A 832696108 213 12500 SH SOLE 12500 0 0
SNAP ON INC COM 833034101 9666 300900 SH SOLE 300900 0 0
SOCIEDAD QUIMICA MINERA DE CHI SPON ADR SER B 833635105 3882 69470 SH SOLE 69470 0 0
SOFAMOR/DANEK GROUP INC COM 834005100 2106 68200 SH SOLE 68200 0 0
SOLECTRON CORP COM 834182107 12593 257000 SH SOLE 257000 0 0
SONIC CORP COM 835451105 916 36100 SH SOLE 36100 0 0
SOUTH WEST PPTY TR INC COM 840649107 574 41400 SH SOLE 41400 0 0
SOUTHERN CALIF WTR CO COM 842502106 206 8900 SH SOLE 8900 0 0
SOUTHERN CO COM 842587107 20147 895400 SH SOLE 895400 0 0
SOUTHERN NATIONAL CORP COM 843444100 730 21960 SH SOLE 21960 0 0
SOUTHLAND CORP COM NEW 844436402 373 123000 SH SOLE 123000 0 0
SOUTHWEST AIRLS CO COM 844741108 334 14600 SH SOLE 14600 0 0
SOUTHWESTERN PUB SVC CO COM 845743103 686 21100 SH SOLE 21100 0 0
SPACELABS MED INC COM 846247104 333 15500 SH SOLE 15500 0 0
SPIEKER PPTYS INC COM 848497103 1199 40800 SH SOLE 40800 0 0
SPRINT CORP COM 852061100 53675 1380700 SH SOLE 1380700 0 0
SPX CORP COM 784635104 834 27900 SH SOLE 27900 0 0
ST PAUL COS INC COM 792860108 25713 463300 SH SOLE 463300 0 0
STANDARD PRODS CO COM 853836104 543 21500 SH SOLE 21500 0 0
STANDEX INTL CORP COM 854231107 396 13200 SH SOLE 13200 0 0
STANHOME INC COM VTG 854425105 2385 82600 SH SOLE 82600 0 0
STANLEY WKS COM 854616109 12713 452000 SH SOLE 452000 0 0
STAR BANC CORP COM 855083101 690 8100 SH SOLE 8100 0 0
STARTER CORP COM 855684106 191 30600 SH SOLE 30600 0 0
STARWOOD LODGING TR COMBND CTF NEW 855905204 570 13600 SH SOLE 13600 0 0
STATE ST BOSTON CORP COM 857473102 631 11000 SH SOLE 11000 0 0
STERIS CORP COM 859152100 843 24886 SH SOLE 24886 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
STERLING SOFTWARE INC COM 859547101 13213 173000 SH SOLE 173000 0 0
STORAGE TECHNOLOGY CORP COM PAR $0.10 862111200 19278 503999 SH SOLE 503999 0 0
STORAGE TR RLTY SH BEN INT 861909109 381 17700 SH SOLE 17700 0 0
STORAGE USA INC COM 861907103 1310 39400 SH SOLE 39400 0 0
STRAWBRIDGE & CLOTHIER COM SER A 863200101 235 11660 SH SOLE 11660 0 0
STRIDE RITE CORP COM 863314100 505 56900 SH SOLE 56900 0 0
STUDENT LN CORP COM 863902102 224 6700 SH SOLE 6700 0 0
STUDENT LOAN MARKETING ASSN COM NEW VTG 863871505 29477 395000 SH SOLE 395000 0 0
SUMMIT PPTYS INC COM 866239106 2583 130800 SH SOLE 130800 0 0
SUN COMMUNITIES INC COM 866674104 359 12600 SH SOLE 12600 0 0
SUN MICROSYSTEMS INC COM 866810104 74140 1193400 SH SOLE 1193400 0 0
SUNAMERICA INC COM 866930100 2995 86500 SH SOLE 86500 0 0
SUNBEAM CORP COM 867071102 5000 217400 SH SOLE 217400 0 0
SUNCOR INC COM 867229106 552 20900 SH SOLE 20900 0 0
SUNTRUST BKS INC COM 867914103 935 22800 SH SOLE 22800 0 0
SUPER FOOD SVCS INC COM 867884108 140 12300 SH SOLE 12300 0 0
SUPERIOR SURGICAL MFG INC COM 868358102 158 13300 SH SOLE 13300 0 0
SUPERVALU INC COM 868536103 7829 284700 SH SOLE 284700 0 0
SYNETIC INC COM 87160F109 233 7400 SH SOLE 7400 0 0
TANDEM COMPUTERS INC COM 875370108 2475 225000 SH SOLE 225000 0 0
TARGET THERAPEUTICS INC COM 875919102 1009 23600 SH SOLE 23600 0 0
TAUBMAN CTRS INC COM 876664103 389 35000 SH SOLE 35000 0 0
TBC CORP COM 872180104 149 23450 SH SOLE 23450 0 0
TECHNOLOGY SOLUTIONS CO COM 87872T108 330 9450 SH SOLE 9450 0 0
TECO ENERGY INC COM 872375100 4403 185400 SH SOLE 185400 0 0
TELE COMMUNICATIONS INC NEW COM TCI GRP A 87924V101 1120 75000 SH SOLE 75000 0 0
TELECOMM ARGENTINA STET-FRANCE SPNS ADR REP B 879273209 501 12400 SH SOLE 12400 0 0
TELEFONICA DE ESPANA S A SPONSORED ADR 879382208 456 8200 SH SOLE 8200 0 0
TELEFONOS DE MEXICO S A SP ADR REP ORD 879403780 33359 1038400 SH SOLE 1038400 0 0
TENET HEALTHCARE CORP COM 88033G100 23359 1049850 SH SOLE 1049850 0 0
TENNECO INC NEW COM 880370101 1880 37500 SH SOLE 37500 0 0
TEXACO INC COM 881694103 12310 133800 SH SOLE 133800 0 0
TEXAS INDS INC COM 882491103 647 10800 SH SOLE 10800 0 0
TEXAS UTILS CO COM 882848104 7036 177000 SH SOLE 177000 0 0
THERMO INSTR SYS INC COM 883559106 5508 150400 SH SOLE 150400 0 0
THERMOTREX CORP COM 883666109 340 9200 SH SOLE 9200 0 0
THIOKOL CORP DEL COM 884103102 4320 92400 SH SOLE 92400 0 0
TIG HLDGS INC COM 872469101 675 22500 SH SOLE 22500 0 0
TJX COS INC NEW COM 872540109 13855 386200 SH SOLE 386200 0 0
TNP ENTERPRISES INC COM 872594106 205 8300 SH SOLE 8300 0 0
TOOTSIE ROLL INDS INC COM 890516107 869 24647 SH SOLE 24647 0 0
TORCHMARK CORP COM 891027104 14779 322150 SH SOLE 322150 0 0
TORONTO DOMINION BK ONT COM NEW 891160509 3519 235300 SH SOLE 235300 0 0
TOSCO CORP COM NEW 891490302 12435 226600 SH SOLE 226600 0 0
TOTAL PETE NORTH AMER LTD COM 891508103 360 48400 SH SOLE 48400 0 0
TOTAL SYS SVCS INC COM 891906109 1451 55800 SH SOLE 55800 0 0
TOYS R US INC COM 892335100 19773 678900 SH SOLE 678900 0 0
TRANSAMERICA CORP COM 893485102 4605 65909 SH SOLE 65909 0 0
TRANSATLANTIC HLDGS INC COM 893521104 2414 35500 SH SOLE 35500 0 0
TRANSCANADA PIPELINES LTD COM 893526103 2371 191278 SH SOLE 191278 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
TRAVELERS GROUP INC COM 894190107 81331 1655600 SH SOLE 1655600 0 0
TREDEGAR INDS INC COM 894650100 434 12950 SH SOLE 12950 0 0
TRIBUNE CO NEW COM 896047107 4594 58900 SH SOLE 58900 0 0
TRINET CORP RLTY TR INC COM 896287109 889 28000 SH SOLE 28000 0 0
TRIZEC LTD NEW COM 896933108 3291 471900 SH SOLE 471900 0 0
TRUE NORTH COMMUNICATIONS INC COM 897844106 446 19300 SH SOLE 19300 0 0
TUCSON ELEC PWR CO COM NEW 898813704 169 10040 SH SOLE 10040 0 0
TULTEX CORP COM 899900104 209 38900 SH SOLE 38900 0 0
TURNER BROADCASTING SYS INC CL B 900262502 308 10900 SH SOLE 10900 0 0
TYCO INTERNATIONAL LTD COM 902120104 36669 850300 SH SOLE 850300 0 0
TYCO TOYS INC COM 902128107 321 55900 SH SOLE 55900 0 0
TYSON FOODS INC CL A 902494103 2148 80500 SH SOLE 80500 0 0
U S BIOSCIENCE INC COM PAR $0.01 911646206 375 28850 SH SOLE 28850 0 0
U S HOME CORP NEW COM 911920106 242 11900 SH SOLE 11900 0 0
U S WEST INC COM-COMMUNCTNS 912889102 4227 141500 SH SOLE 141500 0 0
U S WEST INC COM-MEDIA GRP 912889201 1291 76500 SH SOLE 76500 0 0
UNICOM CORP COM 904911104 6176 245800 SH SOLE 245800 0 0
UNIFI INC COM 904677101 1929 69500 SH SOLE 69500 0 0
UNILEVER N V NEW YORK SHS 904784501 79301 503100 SH SOLE 503100 0 0
UNION ELEC CO COM 906548102 3989 107800 SH SOLE 107800 0 0
UNION TEX PETE HLDGS INC COM 908640105 3136 145000 SH SOLE 145000 0 0
UNITED DOMINION INDS LTD COM 909914103 2155 146784 SH SOLE 146784 0 0
UNITED DOMINION REALTY TR INC COM 910197102 1358 97000 SH SOLE 97000 0 0
UNITED HEALTHCARE CORP COM 910581107 3222 77400 SH SOLE 77400 0 0
UNITED ILLUM CO COM 910637107 464 13500 SH SOLE 13500 0 0
UNITED INDL CORP COM 910671106 85 14700 SH SOLE 14700 0 0
UNITED STATES SURGICAL CORP COM 912707106 332 7900 SH SOLE 7900 0 0
UNITED TECHNOLOGIES CORP COM 913017109 2107 17500 SH SOLE 17500 0 0
UNITED TELEVISION INC COM 913066106 472 4900 SH SOLE 4900 0 0
UNITED WTR RES INC COM 913190104 318 19448 SH SOLE 19448 0 0
UNIVERSAL CORP VA COM 913456109 383 15000 SH SOLE 15000 0 0
UNIVERSAL FOODS CORP COM 913538104 5835 179525 SH SOLE 179525 0 0
UNOCAL CORP COM 915289102 3060 85000 SH SOLE 85000 0 0
URBAN SHOPPING CTRS INC COM 917060105 770 31600 SH SOLE 31600 0 0
USA WASTE SVCS INC COM 902917103 7798 247550 SH SOLE 247550 0 0
USAIR GROUP INC COM 911905107 3016 182800 SH SOLE 182800 0 0
USAIR GROUP INC PFD B CV DEPSH 911905305 1396 27500 SH SOLE 27500 0 0
USF&G CORP COM 903290104 1850 100000 SH SOLE 100000 0 0
USLIFE CORP COM 917318107 1928 64250 SH SOLE 64250 0 0
USX MARATHON GROUP COM NEW 902905827 5406 250000 SH SOLE 250000 0 0
USX-U S STL COM 90337T101 570 20000 SH SOLE 20000 0 0
UTAH MED PRODS INC COM 917488108 442 38400 SH SOLE 38400 0 0
V F CORP COM 918204108 22607 376000 SH SOLE 376000 0 0
VALERO ENERGY CORP COM 919138107 330 15000 SH SOLE 15000 0 0
VALSPAR CORP COM 920355104 1064 21600 SH SOLE 21600 0 0
VALUE CITY DEPT STORES INC COM 920387107 204 22700 SH SOLE 22700 0 0
VENCOR INC COM 922602107 256 7948 SH SOLE 7948 0 0
VENTURE STORES INC COM 923275101 136 31900 SH SOLE 31900 0 0
VINA CONCHA Y TORO S A SPONSORED ADR 927191106 1569 83100 SH SOLE 83100 0 0
VITAL SIGNS INC COM 928469105 603 29400 SH SOLE 29400 0 0
<PAGE> PAGE 18
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 7328 1172400 SH SOLE 1172400 0 0
VIVRA INC COM 92855M104 1285 39400 SH SOLE 39400 0 0
VOLT INFORMATION SCIENCES INC COM 928703107 315 7500 SH SOLE 7500 0 0
VONS COS INC COM 928869106 2693 62800 SH SOLE 62800 0 0
VORNADO RLTY TR SH BEN INT 929042109 2309 57000 SH SOLE 57000 0 0
WABAN INC COM 929394104 1720 75200 SH SOLE 75200 0 0
WACHOVIA CORP COM 929771103 703 14200 SH SOLE 14200 0 0
WAL MART STORES INC COM 931142103 3561 135000 SH SOLE 135000 0 0
WALDEN RESIDENTIAL PPTYS INC COM 931210108 1217 57600 SH SOLE 57600 0 0
WALLACE COMPUTER SERVICES INC COM 932270101 3545 124400 SH SOLE 124400 0 0
WARNER LAMBERT CO COM 934488107 26334 399000 SH SOLE 399000 0 0
WASHINGTON FED INC COM 938824109 386 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 3525 10100 SH SOLE 10100 0 0
WASHINGTON REAL ESTATE INVT TR SH BEN INT 939653101 597 37300 SH SOLE 37300 0 0
WASHINGTON WTR PWR CO COM 940688104 708 37500 SH SOLE 37500 0 0
WATERHOUSE INV SVCS INC COM 941547101 398 10500 SH SOLE 10500 0 0
WD-40 CO COM 929236107 461 9800 SH SOLE 9800 0 0
WEEKS CORP COM 94856P102 738 25900 SH SOLE 25900 0 0
WEINGARTEN RLTY INVS SH BEN INT 948741103 2023 52200 SH SOLE 52200 0 0
WEIS MKTS INC COM 948849104 2016 64000 SH SOLE 64000 0 0
WELLMAN INC COM 949702104 1208 69000 SH SOLE 69000 0 0
WELLPOINT HEALTH NETWORK NEW CL A 94973H108 1940 59680 SH SOLE 59680 0 0
WELLS FARGO & CO DEL COM 949740104 347 1333 SH SOLE 1333 0 0
WELLSFORD RESIDENTIAL PPTY TR COM SH BEN INT 950241109 554 25200 SH SOLE 25200 0 0
WEST INC COM 953348109 220 8500 SH SOLE 8500 0 0
WESTCOAST ENERGY INC COM 95751D102 2132 163400 SH SOLE 163400 0 0
WESTERN INVT REAL ESTATE TR SH BEN INT 958468100 309 24500 SH SOLE 24500 0 0
WESTERN RES INC COM 959425109 2604 89400 SH SOLE 89400 0 0
WEYERHAEUSER CO COM 962166104 461 10000 SH SOLE 10000 0 0
WHEELABRATOR TECH INC NEW COM PAR $0.01 962901302 8714 571400 SH SOLE 571400 0 0
WHITMAN CORP COM 96647K102 809 34800 SH SOLE 34800 0 0
WICOR INC COM 929253102 262 7200 SH SOLE 7200 0 0
WILEY JOHN & SONS INC CL A 968223206 361 12500 SH SOLE 12500 0 0
WILLIAMS COS INC DEL COM 969457100 9216 180700 SH SOLE 180700 0 0
WILLIS CORROON GROUP PLC SPONSORED ADR 970624201 173 17500 SH SOLE 17500 0 0
WINSTON HOTELS INC COM 97563A102 352 26800 SH SOLE 26800 0 0
WISCONSIN ENERGY CORP COM 976657106 6232 230800 SH SOLE 230800 0 0
WLR FOODS INC COM 929286102 330 28350 SH SOLE 28350 0 0
WMX TECHNOLOGIES INC COM 92929Q107 4931 150000 SH SOLE 150000 0 0
WPL HLDGS INC COM 929305100 393 13500 SH SOLE 13500 0 0
WPS RESOURCES CORP COM 92931B106 295 9700 SH SOLE 9700 0 0
WRIGLEY WM JR CO COM 982526105 1609 26700 SH SOLE 26700 0 0
WYNNS INTL INC COM 983195108 225 7950 SH SOLE 7950 0 0
YPF SOCIEDAD ANONIMA SPON ADR CL D 984245100 13155 575103 SH SOLE 575103 0 0
REPORT SUMMARY 845 DATA RECORDS 5229950 3 OTHER MANAGERS ON WHOSE BEHALF REPORT IS FILED
</TABLE>
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