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Previous: GMO TRUST, 13F-E, 1997-07-24 |
Next: CASMYN CORP, 10-K405/A, 1997-07-24 |
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<PAGE> PAGE 1
SECURITIES AND EXCHANGE COMMISSION
FORM 13F-E
Report for the Calendar Year or Quarter Ended: 06/30/97
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 605 28800 SH SOLE 28800 0 0
3COM CORP COM 885535104 2178 48400 SH SOLE 48400 0 0
A D C TELECOMMUNICATIONS COM 000886101 350 10500 SH SOLE 10500 0 0
ABBOTT LABS COM 002824100 105966 1587504 SH SOLE 1587504 0 0
ABITIBI-CONSOLIDATED INC COM 003924107 12522 962372 SH SOLE 962372 0 0
ABR INFORMATION SVCS INC COM 00077R108 424 14600 SH SOLE 14600 0 0
ACCUSTAFF INC COM 004401105 1573 66400 SH SOLE 66400 0 0
ACUSON CORP COM 005113105 462 20100 SH SOLE 20100 0 0
ACX TECHNOLOGIES INC COM 005123104 1051 46700 SH SOLE 46700 0 0
ADAPTEC INC COM 00651F108 559 16100 SH SOLE 16100 0 0
ADOBE SYS INC COM 00724F101 624 17800 SH SOLE 17800 0 0
ADVANCED MICRO DEVICES INC COM 007903107 18687 520900 SH SOLE 520900 0 0
ADVANTA CORP CL A 007942105 739 20100 SH SOLE 20100 0 0
AEGON N V ORD AMER REG 007924103 2900 41398 SH SOLE 41398 0 0
AES CORP COM 00130H105 21529 304300 SH SOLE 304300 0 0
AETNA INC COM 008117103 635 6200 SH SOLE 6200 0 0
AFLAC INC COM 001055102 14076 297900 SH SOLE 297900 0 0
AGCO CORP COM 001084102 1944 54100 SH SOLE 54100 0 0
AGOURON PHARMACEUTICALS INC COM 008488108 696 8600 SH SOLE 8600 0 0
AGRIUM INC COM 008916108 421 50561 SH SOLE 50561 0 0
AHMANSON H F & CO COM 008677106 15379 356100 SH SOLE 356100 0 0
AIR CDA INC CL A NON VTG 008911307 439 94600 SH SOLE 94600 0 0
AIR CDA INC SUB DB CONV 8%05 008911AB5 332 662200 SH SOLE 662200 0 0
AIR EXPRESS INTL CORP COM 009104100 549 13800 SH SOLE 13800 0 0
AIRBORNE FGHT CORP COM 009266107 1508 36000 SH SOLE 36000 0 0
AJL PEPS TR PEPS EXCH AJL 009710104 5405 310000 SH SOLE 310000 0 0
AK STL HLDG CORP COM 001547108 1386 31400 SH SOLE 31400 0 0
ALASKA AIR GROUP INC COM 011659109 323 12600 SH SOLE 12600 0 0
ALBANK FINL CORP COM 012046108 648 16400 SH SOLE 16400 0 0
ALBEMARLE CORP COM 012653101 851 40400 SH SOLE 40400 0 0
ALBERTA ENERGY LTD COM 012873105 3399 186653 SH SOLE 186653 0 0
ALBERTO CULVER CO CL B CONV 013068101 804 28600 SH SOLE 28600 0 0
ALBERTSONS INC COM 013104104 21827 598000 SH SOLE 598000 0 0
ALCAN ALUMINIUM LTD NEW COM 013716105 1703 49100 SH SOLE 49100 0 0
ALEX BROWN INC COM 013902101 2189 31000 SH SOLE 31000 0 0
ALEXANDER & BALDWIN INC COM 014482103 253 9700 SH SOLE 9700 0 0
ALLEGHANY CORP DEL COM 017175100 1103 5069 SH SOLE 5069 0 0
ALLEGHENY PWR SYS INC COM 017411109 6626 248300 SH SOLE 248300 0 0
ALLEGHENY TELEDYNE INC COM 017415100 2487 92100 SH SOLE 92100 0 0
ALLERGAN INC COM 018490102 4193 131800 SH SOLE 131800 0 0
ALLIANCE SEMICONDUCTOR CORP COM 01877H100 115 14100 SH SOLE 14100 0 0
ALLIANT TECHSYSTEMS INC COM 018804104 462 8400 SH SOLE 8400 0 0
ALLIED GROUP INC COM 019220102 745 19600 SH SOLE 19600 0 0
ALLIEDSIGNAL INC COM 019512102 319 3800 SH SOLE 3800 0 0
ALLMERICA PPTY & CAS COS INC COM 01975T105 2168 66200 SH SOLE 66200 0 0
ALLSTATE CORP COM 020002101 12321 168782 SH SOLE 168782 0 0
ALLWASTE INC COM 020047106 690 72600 SH SOLE 72600 0 0
ALTERA CORP COM 021441100 960 19000 SH SOLE 19000 0 0
ALUMAX INC COM 022197107 2825 74100 SH SOLE 74100 0 0
AMBAC INC COM 023139108 7523 98500 SH SOLE 98500 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
AMBASSADOR APTS INC COM 02316A102 1142 45900 SH SOLE 45900 0 0
AMCAST INDL CORP COM 023395106 1275 51000 SH SOLE 51000 0 0
AMCOL INTL CORP COM 02341W103 230 12700 SH SOLE 12700 0 0
AMDAHL CORP COM 023905102 1172 133000 SH SOLE 133000 0 0
AMERADA HESS CORP COM 023551104 1667 30000 SH SOLE 30000 0 0
AMERCO COM 023586100 440 14600 SH SOLE 14600 0 0
AMERICA WEST HLDG CORP CL B 023657208 564 38900 SH SOLE 38900 0 0
AMERICAN BANKERS INS GROUP INC COM 024456105 2302 36400 SH SOLE 36400 0 0
AMERICAN BUSINESS PRODS GA COM 024763104 1176 51700 SH SOLE 51700 0 0
AMERICAN ELEC PWR INC COM 025537101 15542 370600 SH SOLE 370600 0 0
AMERICAN EXPRESS CO COM 025816109 2466 33100 SH SOLE 33100 0 0
AMERICAN FINL GROUP INC COM 02608W101 1010 23700 SH SOLE 23700 0 0
AMERICAN GEN HOSPITALITY CORP COM 025930108 3039 122800 SH SOLE 122800 0 0
AMERICAN GENERAL CORP COM 026351106 6261 131116 SH SOLE 131116 0 0
AMERICAN GREETINGS CORP CL A 026375105 1689 45500 SH SOLE 45500 0 0
AMERICAN HERITAGE LIFE INVT COM 026522102 553 16749 SH SOLE 16749 0 0
AMERICAN HOME PRODS CORP COM 026609107 15663 204740 SH SOLE 204740 0 0
AMERICAN NATL INS CO COM 028591105 2267 25400 SH SOLE 25400 0 0
AMERICAN PWR CONVERSION CORP COM 029066107 2149 113100 SH SOLE 113100 0 0
AMERICAN STORES CO NEW COM 030096101 16669 337600 SH SOLE 337600 0 0
AMERICAN WTR WKS INC COM 030411102 1723 80600 SH SOLE 80600 0 0
AMERICREDIT CORP COM 03060R101 294 14000 SH SOLE 14000 0 0
AMERISOURCE HEALTH CORP CL A 03071P102 678 13600 SH SOLE 13600 0 0
AMERITECH CORP NEW COM 030954101 1128 16600 SH SOLE 16600 0 0
AMERON INTL INC COM 030710107 1138 20100 SH SOLE 20100 0 0
AMGEN INC COM 031162100 860 14800 SH SOLE 14800 0 0
AMLI RESIDENTIAL PPTYS TR SH BEN INT 001735109 1084 45900 SH SOLE 45900 0 0
AMOCO CORP COM 031905102 209 2400 SH SOLE 2400 0 0
AMPEX CORP DEL CL A 032092108 85 14400 SH SOLE 14400 0 0
AMR CORP COM 001765106 786 8500 SH SOLE 8500 0 0
AMSOUTH BANCORPORATION COM 032165102 6697 177100 SH SOLE 177100 0 0
ANALOGIC CORP COM PAR $0.05 032657207 340 10000 SH SOLE 10000 0 0
ANHEUSER BUSCH COS INC COM 035229103 50073 1194000 SH SOLE 1194000 0 0
ANIXTER INTL INC COM 035290105 469 27300 SH SOLE 27300 0 0
ANNTAYLOR STORES CORP COM 036115103 644 33000 SH SOLE 33000 0 0
AON CORP COM 037389103 970 18750 SH SOLE 18750 0 0
APAC TELESERVICES INC COM 00185E106 266 13700 SH SOLE 13700 0 0
APACHE CORP COM 037411105 8067 248200 SH SOLE 248200 0 0
APARTMENT INVT & MGMT CO CL A 03748R101 2218 78500 SH SOLE 78500 0 0
APL LTD COM 00202M107 1028 32900 SH SOLE 32900 0 0
APOGEE ENTERPRISES INC COM 037598109 787 36600 SH SOLE 36600 0 0
APOLLO GROUP INC CL A 037604105 620 17600 SH SOLE 17600 0 0
APPLE COMPUTER INC COM 037833100 192 13500 SH SOLE 13500 0 0
APPLIED MAGNETICS CP DEL COM 038213104 439 19400 SH SOLE 19400 0 0
APPLIED MATLS INC COM 038222105 30138 425600 SH SOLE 425600 0 0
APPLIED PWR INC CL A 038225108 831 16100 SH SOLE 16100 0 0
APRIA HEALTHCARE GROUP INC COM 037933108 613 34900 SH SOLE 34900 0 0
AQUILA GAS PIPELINE CORP COM 03839B106 254 18200 SH SOLE 18200 0 0
ARCHER DANIELS MIDLAND CO COM 039483102 29586 1258996 SH SOLE 1258996 0 0
ARCTIC CAT INC COM 039670104 378 36425 SH SOLE 36425 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
ARDEN RLTY GROUP INC COM 039793104 1518 58400 SH SOLE 58400 0 0
ARGONAUT GROUP INC COM 040157109 752 25500 SH SOLE 25500 0 0
ARROW ELECTRS INC COM 042735100 2380 44800 SH SOLE 44800 0 0
ARROW INTL INC COM 042764100 412 14100 SH SOLE 14100 0 0
ARVIN INDS INC COM 043339100 771 28300 SH SOLE 28300 0 0
ASA HLDGS INC COM 04338Q107 527 18400 SH SOLE 18400 0 0
ASARCO INC COM 043413103 2615 85400 SH SOLE 85400 0 0
ASCENT ENTMT GROUP INC COM 043628106 345 37833 SH SOLE 37833 0 0
ASHLAND COAL INC COM 043906106 858 30100 SH SOLE 30100 0 0
ASM INTL N V COM N07045102 32613 2981854 SH SOLE 2981854 0 0
ASSOCIATED ESTATES RLTY CORP COM 045604105 677 28800 SH SOLE 28800 0 0
ASTORIA FINL CORP COM 046265104 1439 30300 SH SOLE 30300 0 0
AT&T CORP COM 001957109 45282 1291490 SH SOLE 1291490 0 0
ATLANTIC ENERGY INC N J COM 048903108 1964 116800 SH SOLE 116800 0 0
ATLANTIC RICHFIELD CO COM 048825103 31302 444000 SH SOLE 444000 0 0
ATWOOD OCEANICS INC COM 050095108 449 6700 SH SOLE 6700 0 0
AUTODESK INC COM 052769106 1257 32800 SH SOLE 32800 0 0
AUTOZONE INC COM 053332102 802 34300 SH SOLE 34300 0 0
AVALON PPTYS INC COM 053469102 2642 92300 SH SOLE 92300 0 0
AVANT CORP COM 053487104 420 13000 SH SOLE 13000 0 0
AVENOR INC COM 05356K104 1255 90200 SH SOLE 90200 0 0
AVIALL INC NEW COM 05366B102 143 10200 SH SOLE 10200 0 0
AVNET INC COM 053807103 7481 130100 SH SOLE 130100 0 0
AZTAR CORP COM 054802103 292 41300 SH SOLE 41300 0 0
BAKER HUGHES INC COM 057224107 1176 30400 SH SOLE 30400 0 0
BALDWIN & LYONS INC CL B 057755209 862 38100 SH SOLE 38100 0 0
BALL CORP COM 058498106 1010 33600 SH SOLE 33600 0 0
BALLARD MED PRODS COM 058566100 1152 57400 SH SOLE 57400 0 0
BALTIMORE GAS & ELEC CO COM 059165100 14707 551100 SH SOLE 551100 0 0
BANC ONE CORP COM 059438101 1038 21440 SH SOLE 21440 0 0
BANCO DE SANTIAGO SPN ADR PFD D TY 05958E100 2519 98800 SH SOLE 98800 0 0
BANCO GANADERO S A SPONSRD ADR B 059594408 1292 35900 SH SOLE 35900 0 0
BANCTEC INC COM 059784108 412 15700 SH SOLE 15700 0 0
BANDAG INC COM 059815100 2559 51500 SH SOLE 51500 0 0
BANK NEW YORK INC COM 064057102 12363 283400 SH SOLE 283400 0 0
BANKAMERICA CORP COM 066050105 6676 103400 SH SOLE 103400 0 0
BANKBOSTON CORP COM 06605R106 30209 417400 SH SOLE 417400 0 0
BANKERS TRUST N Y CORP COM 066365107 17033 195500 SH SOLE 195500 0 0
BANTA CORP COM 066821109 1035 38150 SH SOLE 38150 0 0
BARD C R INC COM 067383109 1042 28700 SH SOLE 28700 0 0
BARNES & NOBLE INC COM 067774109 430 10000 SH SOLE 10000 0 0
BARNES GROUP INC COM 067806109 1135 38300 SH SOLE 38300 0 0
BARNETT BKS INC COM 068055102 20423 389000 SH SOLE 389000 0 0
BASSETT FURNITURE INDS INC COM 070203104 436 15400 SH SOLE 15400 0 0
BAY APT CMNTYS INC COM 072012107 3826 103400 SH SOLE 103400 0 0
BCE INC COM 05534B109 12696 625510 SH SOLE 625510 0 0
BCE MOBILE COMMUNICATION INC COM 05534G108 635 29300 SH SOLE 29300 0 0
BE AEROSPACE INC COM 073302101 319 10100 SH SOLE 10100 0 0
BEAR STEARNS COS INC COM 073902108 10819 316466 SH SOLE 316466 0 0
BECKMAN INSTRS INC NEW COM 075816108 2080 43100 SH SOLE 43100 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
BECTON DICKINSON & CO COM 075887109 4521 89300 SH SOLE 89300 0 0
BED BATH & BEYOND INC COM 075896100 975 32100 SH SOLE 32100 0 0
BEDFORD PPTY INVS INC COM PAR $0.02 076446301 1457 72400 SH SOLE 72400 0 0
BELL ATLANTIC CORP COM 077853109 9978 131500 SH SOLE 131500 0 0
BELLSOUTH CORP COM 079860102 1090 23500 SH SOLE 23500 0 0
BELO A H CORP DEL COM SER A 080555105 537 12900 SH SOLE 12900 0 0
BENEFICIAL CORP COM 081721102 8293 116700 SH SOLE 116700 0 0
BERGEN BRUNSWIG CORP CL A 083739102 1949 69300 SH SOLE 69300 0 0
BERKLEY W R CORP COM 084423102 1154 19600 SH SOLE 19600 0 0
BERKSHIRE RLTY INC COM 084710102 945 88900 SH SOLE 88900 0 0
BERLITZ INTL INC NEW COM 08520F100 339 13600 SH SOLE 13600 0 0
BERRY PETE CO CL A 085789105 289 15200 SH SOLE 15200 0 0
BEST BUY INC COM 086516101 658 44400 SH SOLE 44400 0 0
BETHLEHEM STL CORP COM 087509105 1551 148600 SH SOLE 148600 0 0
BETZDEARBORN INC COM 087779104 574 8700 SH SOLE 8700 0 0
BEVERLY ENTERPRISES INC COM 087851101 2857 175800 SH SOLE 175800 0 0
BGS SYS INC COM 055442107 223 8100 SH SOLE 8100 0 0
BHC COMMUNICATIONS INC CL A 055448104 3860 32300 SH SOLE 32300 0 0
BINDLEY WESTN INDS INC COM 090324104 1601 69800 SH SOLE 69800 0 0
BIO TECHNOLOGY GEN CORP COM 090578105 1126 83400 SH SOLE 83400 0 0
BIOCHEM PHARMA INC COM 09058T108 1558 96600 SH SOLE 96600 0 0
BIOMET INC COM 090613100 1613 86600 SH SOLE 86600 0 0
BIRMINGHAM STL CORP COM 091250100 649 41900 SH SOLE 41900 0 0
BJ SVCS CO COM 055482103 1255 23400 SH SOLE 23400 0 0
BLOCK DRUG INC CL A 093644102 1097 25081 SH SOLE 25081 0 0
BLOCK H & R INC COM 093671105 4596 142500 SH SOLE 142500 0 0
BLYTH INDS INC COM 09643P108 570 16900 SH SOLE 16900 0 0
BMC SOFTWARE INC COM 055921100 986 17800 SH SOLE 17800 0 0
BOB EVANS FARMS INC COM 096761101 711 42000 SH SOLE 42000 0 0
BOEING CO COM 097023105 5640 106290 SH SOLE 106290 0 0
BOISE CASCADE CORP COM 097383103 1575 44600 SH SOLE 44600 0 0
BOISE CASCADE CORP DEP ACES 1/10S 097383863 570 20000 SH SOLE 20000 0 0
BOK FINL CORP COM NEW 05561Q201 645 18300 SH SOLE 18300 0 0
BORDERS GROUP INC COM 099709107 876 36300 SH SOLE 36300 0 0
BORG-WARNER AUTOMOTIVE INC COM 099724106 1763 33100 SH SOLE 33100 0 0
BOSTON EDISON CO COM 100599109 1875 71100 SH SOLE 71100 0 0
BOSTON SCIENTIFIC CORP COM 101137107 467 7600 SH SOLE 7600 0 0
BOSTON TECHNOLOGY INC COM NEW 101143303 370 12500 SH SOLE 12500 0 0
BOWATER INC COM 102183100 2498 54000 SH SOLE 54000 0 0
BOWNE & CO INC COM 103043105 1064 30500 SH SOLE 30500 0 0
BOYKIN LODGING CO COM 103430104 725 30300 SH SOLE 30300 0 0
BRADLEY REAL ESTATE INC COM 104580105 1213 63000 SH SOLE 63000 0 0
BRANDYWINE RLTY TR SH BEN INT NEW 105368203 1361 67200 SH SOLE 67200 0 0
BRE PROPERTIES INC CL A 05564E106 2497 99400 SH SOLE 99400 0 0
BREED TECHNOLOGIES INC COM 106702103 499 21700 SH SOLE 21700 0 0
BRINKER INTL INC COM 109641100 550 38600 SH SOLE 38600 0 0
BRISTOL MYERS SQUIBB CO COM 110122108 114720 1416300 SH SOLE 1416300 0 0
BRODERBUND SOFTWARE INC COM 112014105 341 13800 SH SOLE 13800 0 0
BROOKLYN UN GAS CO COM 114259104 1162 40600 SH SOLE 40600 0 0
BROWN GROUP INC COM 115657108 596 31900 SH SOLE 31900 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
BROWNING FERRIS INDS COM 115885105 831 25000 SH SOLE 25000 0 0
BUFFETS INC COM 119882108 887 105100 SH SOLE 105100 0 0
BURLINGTON COAT FACTORY COM 121579106 1478 75800 SH SOLE 75800 0 0
BURLINGTON INDS INC COM 121693105 649 54100 SH SOLE 54100 0 0
BURLINGTON NORTHN SANTA FE CP COM 12189T104 46223 514300 SH SOLE 514300 0 0
BURLINGTON RES INC COM 122014103 5502 124700 SH SOLE 124700 0 0
BURNHAM PAC PPTYS INC COM 12232C108 961 69900 SH SOLE 69900 0 0
BURR BROWN CORP COM 122574106 255 7400 SH SOLE 7400 0 0
BW/IP INC CL A 056044100 317 15600 SH SOLE 15600 0 0
C D I CORP COM 125071100 375 9000 SH SOLE 9000 0 0
CABLETRON SYS INC COM 126920107 323 11400 SH SOLE 11400 0 0
CABOT CORP COM 127055101 343 12100 SH SOLE 12100 0 0
CABOT OIL & GAS CORP CL A 127097103 495 28100 SH SOLE 28100 0 0
CALENERGY INC COM 129466108 977 25700 SH SOLE 25700 0 0
CALI REALTY CORP COM 129909107 7490 220300 SH SOLE 220300 0 0
CALIBER SYS INC COM 129894101 995 26700 SH SOLE 26700 0 0
CALLAWAY GOLF CO COM 131193104 16326 459900 SH SOLE 459900 0 0
CALPINE CORP COM 131347106 950 50000 SH SOLE 50000 0 0
CAMCO INTL INC COM 132632100 980 17900 SH SOLE 17900 0 0
CAMDEN PPTY TR SH BEN INT 133131102 3533 111704 SH SOLE 111704 0 0
CAMECO CORP COM 13321L108 514 18900 SH SOLE 18900 0 0
CAMPBELL SOUP CO COM 134429109 6265 125300 SH SOLE 125300 0 0
CANADIAN MARCONI CO COM 136357100 662 51800 SH SOLE 51800 0 0
CANADIAN NATL RY CO COM 136375102 2708 85400 SH SOLE 85400 0 0
CANADIAN PAC LTD NEW COM 135923100 3361 130800 SH SOLE 130800 0 0
CANANDAIGUA WINE INC CL B 137219101 348 9700 SH SOLE 9700 0 0
CAPITAL RE CORP COM 140432105 979 18300 SH SOLE 18300 0 0
CARDINAL HEALTH INC COM 14149Y108 925 16150 SH SOLE 16150 0 0
CARLISLE COS INC COM 142339100 216 6200 SH SOLE 6200 0 0
CARMIKE CINEMAS INC CL A 143436103 236 7200 SH SOLE 7200 0 0
CAROLINA PWR & LT CO COM 144141108 5966 166300 SH SOLE 166300 0 0
CARPENTER TECHNOLOGY CORP COM 144285103 796 17400 SH SOLE 17400 0 0
CARRAMERICA REALTY CORP COM 14441K103 10586 368200 SH SOLE 368200 0 0
CASE CORP COM 14743R103 262 3800 SH SOLE 3800 0 0
CASEYS GEN STORES INC COM 147528103 551 25600 SH SOLE 25600 0 0
CASH AMER INTL INC COM 14754D100 1211 115300 SH SOLE 115300 0 0
CATALINA MARKETING CORP COM 148867104 963 20000 SH SOLE 20000 0 0
CATELLUS DEV CORP COM 149111106 10070 553700 SH SOLE 553700 0 0
CATERPILLAR INC DEL COM 149123101 258 2400 SH SOLE 2400 0 0
CBL & ASSOC PPTYS INC COM 124830100 2453 102200 SH SOLE 102200 0 0
CCB FINL CORP COM 124875105 753 10300 SH SOLE 10300 0 0
CENTERIOR ENERGY CORP COM 151883105 3587 320600 SH SOLE 320600 0 0
CENTERPOINT PPTYS CORP COM 151895109 4467 140700 SH SOLE 140700 0 0
CENTEX CONSTRUCTION PRODUCTS COM 15231R109 220 11300 SH SOLE 11300 0 0
CENTEX CORP COM 152312104 2186 53800 SH SOLE 53800 0 0
CENTRAL & SOUTH WEST CORP COM 152357109 1573 74000 SH SOLE 74000 0 0
CENTRAL FID BKS INC COM 153469101 1335 37600 SH SOLE 37600 0 0
CENTRAL HUDSON GAS & ELEC CORP COM 153609102 692 20100 SH SOLE 20100 0 0
CENTRAL LA ELEC INC COM NEW 153897608 383 13600 SH SOLE 13600 0 0
CENTRAL MAINE PWR CO COM 154051106 589 47600 SH SOLE 47600 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
CENTRAL NEWSPAPERS INC CL A 154647101 1791 25000 SH SOLE 25000 0 0
CENTRAL PKG CORP COM 154785109 240 6900 SH SOLE 6900 0 0
CENTURY TEL ENTERPRISES INC COM 156686107 633 18800 SH SOLE 18800 0 0
CHAMPION ENTERPRISES INC COM 158496109 269 17900 SH SOLE 17900 0 0
CHAMPION INTL CORP COM 158525105 5310 96100 SH SOLE 96100 0 0
CHAPARRAL STL CO COM 159422104 484 32400 SH SOLE 32400 0 0
CHARMING SHOPPES INC COM 161133103 445 85200 SH SOLE 85200 0 0
CHARTER ONE FINL INC COM 160903100 210 3900 SH SOLE 3900 0 0
CHASE MANHATTAN CORP NEW COM 16161A108 64757 667172 SH SOLE 667172 0 0
CHATEAU CMNTYS INC COM 161726104 853 29800 SH SOLE 29800 0 0
CHELSEA GCA RLTY INC COM 163262108 1737 45700 SH SOLE 45700 0 0
CHEMED CORP COM 163596109 416 11100 SH SOLE 11100 0 0
CHESAPEAKE CORP COM 165159104 975 28900 SH SOLE 28900 0 0
CHEVRON CORPORATION COM 166751107 16318 220700 SH SOLE 220700 0 0
CHILE FD INC COM 168834109 578 22000 SH SOLE 22000 0 0
CHILGENER S A SPONSORED ADR 168894103 6056 216300 SH SOLE 216300 0 0
CHIQUITA BRANDS INTL INC COM 170032106 671 48800 SH SOLE 48800 0 0
CHRIS CRAFT INDS INC COM 170520100 3157 65433 SH SOLE 65433 0 0
CHRYSLER CORP COM 171196108 3685 112100 SH SOLE 112100 0 0
CHUBB CORP COM 171232101 655 9800 SH SOLE 9800 0 0
CHURCH & DWIGHT INC COM 171340102 206 7700 SH SOLE 7700 0 0
CIGNA CORP COM 125509109 799 4500 SH SOLE 4500 0 0
CILCORP INC COM 171794100 412 10000 SH SOLE 10000 0 0
CINCINNATI BELL INC COM 171870108 2684 85200 SH SOLE 85200 0 0
CINCINNATI MILACRON INC COM 172172108 3281 126500 SH SOLE 126500 0 0
CINERGY CORP COM 172474108 18200 522800 SH SOLE 522800 0 0
CINRAM LTD COM 17252T105 221 12000 SH SOLE 12000 0 0
CINTAS CORP COM 172908105 241 3500 SH SOLE 3500 0 0
CIRRUS LOGIC CORP COM 172755100 386 36800 SH SOLE 36800 0 0
CISCO SYS INC COM 17275R102 12458 185600 SH SOLE 185600 0 0
CITICORP COM 173034109 18651 154699 SH SOLE 154699 0 0
CITIZENS BKG CORP MICH COM 174420109 510 14900 SH SOLE 14900 0 0
CITIZENS CORP COM 174533109 1091 39500 SH SOLE 39500 0 0
CITIZENS UTILS CO DEL CL B 177342201 1815 226832 SH SOLE 226832 0 0
CITRIX SYS INC COM 177376100 768 17500 SH SOLE 17500 0 0
CITY NATL CORP COM 178566105 609 25300 SH SOLE 25300 0 0
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CKS GROUP INC COM 12561L109 273 8100 SH SOLE 8100 0 0
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CNA FINL CORP COM 126117100 3067 29084 SH SOLE 29084 0 0
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<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
COCA COLA CO COM 191216100 64382 946800 SH SOLE 946800 0 0
COCA COLA ENTERPRISES INC COM 191219104 12047 523800 SH SOLE 523800 0 0
COGNEX CORP COM 192422103 1611 60800 SH SOLE 60800 0 0
COHU INC COM 192576106 250 8000 SH SOLE 8000 0 0
COLEMAN INC NEW COM 193559101 402 23300 SH SOLE 23300 0 0
COLGATE PALMOLIVE CO COM 194162103 2943 45100 SH SOLE 45100 0 0
COLLECTIVE BANCORP INC COM 193901105 1005 22400 SH SOLE 22400 0 0
COLONIAL PPTYS TR COM SH BEN INT 195872106 3128 106500 SH SOLE 106500 0 0
COLTEC INDS INC COM 196879100 1381 70800 SH SOLE 70800 0 0
COLUMBIA GAS SYS INC COM 197648108 12985 199000 SH SOLE 199000 0 0
COLUMBIA/HCA HEALTHCARE CORP COM 197677107 8700 221300 SH SOLE 221300 0 0
COLUMBUS RLTY TR SH BEN INT 199567108 1210 53200 SH SOLE 53200 0 0
COMAIR HOLDINGS INC COM 199789108 1157 41800 SH SOLE 41800 0 0
COMDISCO INC COM 200336105 5440 209226 SH SOLE 209226 0 0
COMERICA INC COM 200340107 258 3800 SH SOLE 3800 0 0
COMINCO LTD COM 200435105 5232 271100 SH SOLE 271100 0 0
COMMERCE BANCSHARES INC COM 200525103 3195 70600 SH SOLE 70600 0 0
COMMERCE GROUP INC MASS COM 200641108 909 36900 SH SOLE 36900 0 0
COMMERCIAL METALS CO COM 201723103 733 22900 SH SOLE 22900 0 0
COMMERCIAL NET LEASE RLTY INC COM 202218103 1344 87800 SH SOLE 87800 0 0
COMMONWEALTH ENERGY SYS COM SH BEN INT 202800108 766 32000 SH SOLE 32000 0 0
COMPANIA ANONIMA NACIONL TEL SPN ADR 7D SHS 204421101 2083 48300 SH SOLE 48300 0 0
COMPANIA DE TELECOMUNICS CHILE SPNSRD ADR NEW 204449300 6404 194050 SH SOLE 194050 0 0
COMPAQ COMPUTER CORP COM 204493100 63003 633200 SH SOLE 633200 0 0
COMPASS BANCSHARES INC COM 20449H109 1409 41900 SH SOLE 41900 0 0
COMPUCOM SYS INC COM 204780100 258 35900 SH SOLE 35900 0 0
COMPUSA INC COM 204932107 565 26300 SH SOLE 26300 0 0
COMPUTER ASSOC INTL INC COM 204912109 8690 156050 SH SOLE 156050 0 0
COMPUWARE CORP COM 205638109 716 15000 SH SOLE 15000 0 0
COMSAT CORP COM SER 1 20564D107 1843 77400 SH SOLE 77400 0 0
COMVERSE TECHNOLOGY INC COM PAR $0.10 205862402 1243 23900 SH SOLE 23900 0 0
CONCORD EFS INC COM 206197105 518 20000 SH SOLE 20000 0 0
CONE MLS CORP N C COM 206814105 740 92500 SH SOLE 92500 0 0
CONSECO INC COM 208464107 30201 816250 SH SOLE 816250 0 0
CONSOLIDATED EDISON CO N Y INC COM 209111103 1475 50100 SH SOLE 50100 0 0
CONSOLIDATED STORES CORP COM 210149100 337 9688 SH SOLE 9688 0 0
COOPER CAMERON CORP COM 216640102 1725 36900 SH SOLE 36900 0 0
COOPER INDS INC COM 216669101 3040 61100 SH SOLE 61100 0 0
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COORS ADOLPH CO CL B 217016104 1651 62000 SH SOLE 62000 0 0
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CORESTAFF INC COM 218690105 586 21700 SH SOLE 21700 0 0
CORESTATES FINL CORP COM 218695104 715 13300 SH SOLE 13300 0 0
CORNING INC COM 219350105 16749 301100 SH SOLE 301100 0 0
CORUS BANKSHARES INC COM 220873103 283 10000 SH SOLE 10000 0 0
COSTCO COMPANIES INC COM 22160Q102 19505 593300 SH SOLE 593300 0 0
COTT CORP QUE COM 22163N106 1007 130700 SH SOLE 130700 0 0
COUNTRYWIDE CR INDS INC DEL COM 222372104 4475 143500 SH SOLE 143500 0 0
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COX COMMUNICATIONS INC NEW CL A 224044107 600 25000 SH SOLE 25000 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
CPC INTL INC COM 126149103 46867 507700 SH SOLE 507700 0 0
CPI CORP COM 125902106 1222 58200 SH SOLE 58200 0 0
CRANE CO COM 224399105 2112 50500 SH SOLE 50500 0 0
CRAWFORD & CO CL B 224633107 504 31000 SH SOLE 31000 0 0
CREDICORP LTD COM G2519Y108 856 93797 SH SOLE 93797 0 0
CRESCENT REAL ESTATE EQUITIES COM 225756105 12116 381600 SH SOLE 381600 0 0
CRISTALERIAS DE CHILE S A SPONSORED ADR 226714103 339 14200 SH SOLE 14200 0 0
CROMPTON & KNOWLES CORP COM 227111101 300 13500 SH SOLE 13500 0 0
CROWN AMERN RLTY TR SH BEN INT 228186102 1060 114600 SH SOLE 114600 0 0
CSG SYS INTL INC COM 126349109 454 14700 SH SOLE 14700 0 0
CSS INDS INC COM 125906107 512 16200 SH SOLE 16200 0 0
CSX CORP COM 126408103 10811 194800 SH SOLE 194800 0 0
CTS CORP COM 126501105 331 4800 SH SOLE 4800 0 0
CULBRO CORP COM 229890108 223 1600 SH SOLE 1600 0 0
CUMMINS ENGINE INC COM 231021106 8326 118000 SH SOLE 118000 0 0
CURTISS WRIGHT CORP COM 231561101 309 5300 SH SOLE 5300 0 0
CVS CORP COM 126650100 4723 92156 SH SOLE 92156 0 0
CYPRESS SEMICONDUCTOR CORP COM 232806109 763 52600 SH SOLE 52600 0 0
CYPRUS AMAX MINERALS CO COM 232809103 1014 41400 SH SOLE 41400 0 0
CYRIX CORP COM 232815100 325 15200 SH SOLE 15200 0 0
CYTEC INDS INC COM 232820100 949 25400 SH SOLE 25400 0 0
D R HORTON INC COM 23331A109 315 30400 SH SOLE 30400 0 0
DALLAS SEMICONDUCTOR CORP COM 235204104 1440 36800 SH SOLE 36800 0 0
DAMES & MOORE INC COM 235713104 1007 81400 SH SOLE 81400 0 0
DARDEN RESTAURANTS INC COM 237194105 1678 185200 SH SOLE 185200 0 0
DATA GEN CORP COM 237688106 1069 41100 SH SOLE 41100 0 0
DAUPHIN DEP CORP COM 238282107 383 8600 SH SOLE 8600 0 0
DAYTON HUDSON CORP COM 239753106 23003 432500 SH SOLE 432500 0 0
DE BEERS CONS MINES LTD ADR DEFD 240253302 1710 46300 SH SOLE 46300 0 0
DEAN FOODS CO COM 242361103 4493 110950 SH SOLE 110950 0 0
DEKALB GENETICS CORP CL B 244878203 989 12400 SH SOLE 12400 0 0
DELL COMPUTER CORP COM 247025109 44368 377800 SH SOLE 377800 0 0
DELMARVA PWR & LT CO COM 247109101 833 43700 SH SOLE 43700 0 0
DELPHI FINL GROUP INC CL A 247131105 1967 51093 SH SOLE 51093 0 0
DELTA AIR LINES INC DEL COM 247361108 231 2800 SH SOLE 2800 0 0
DELUXE CORP COM 248019101 1034 30300 SH SOLE 30300 0 0
DENTSPLY INTL INC NEW COM 249030107 412 8400 SH SOLE 8400 0 0
DEPARTMENT 56 INC COM 249509100 455 20500 SH SOLE 20500 0 0
DEPOSIT GTY CORP COM 249555103 769 24400 SH SOLE 24400 0 0
DESC S A DE C V SPONSRD ADR C 250309101 5272 181000 SH SOLE 181000 0 0
DESTEC ENERGY INC COM 25063N100 457 21200 SH SOLE 21200 0 0
DETROIT DIESEL CORP COM 250837101 687 28700 SH SOLE 28700 0 0
DEVELOPERS DIVERSIFIED RLTY CO COM 251591103 2348 58700 SH SOLE 58700 0 0
DEVON ENERGY CORP COM 251799102 625 17000 SH SOLE 17000 0 0
DEVON GROUP INC NEW COM 251801106 1119 31300 SH SOLE 31300 0 0
DIGITAL EQUIP CORP COM 253849103 3643 102800 SH SOLE 102800 0 0
DIGITAL MICROWAVE CORP COM 253859102 648 21600 SH SOLE 21600 0 0
DILLARDS INC CL A 254067101 357 10300 SH SOLE 10300 0 0
DIME BANCORP INC NEW COM 25429Q102 1083 61900 SH SOLE 61900 0 0
DIONEX CORP COM 254546104 256 5000 SH SOLE 5000 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
DISNEY WALT CO COM 254687106 9413 117300 SH SOLE 117300 0 0
DOLLAR GEN CORP COM 256669102 819 21775 SH SOLE 21775 0 0
DOLLAR TREE STORES INC COM 256747106 499 9900 SH SOLE 9900 0 0
DOMINION RES INC VA COM 257470104 12398 338500 SH SOLE 338500 0 0
DOMTAR INC COM 257561100 3392 542618 SH SOLE 542618 0 0
DONALDSON INC COM 257651109 1144 30100 SH SOLE 30100 0 0
DONALDSON LUFKIN & JENRETTE NW COM 257661108 4631 77500 SH SOLE 77500 0 0
DOUBLETREE CORP COM 258624105 679 16500 SH SOLE 16500 0 0
DOVER CORP COM 260003108 431 7000 SH SOLE 7000 0 0
DOW CHEM CO COM 260543103 956 11000 SH SOLE 11000 0 0
DOWNEY FINL CORP COM 261018105 580 24536 SH SOLE 24536 0 0
DPL INC COM 233293109 6873 279100 SH SOLE 279100 0 0
DQE INC COM 23329J104 5425 192050 SH SOLE 192050 0 0
DRESS BARN INC COM 261570105 1613 82700 SH SOLE 82700 0 0
DRESSER INDS INC COM 261597108 466 12500 SH SOLE 12500 0 0
DRIEFONTEIN CONSOLIDATED SPONSORED ADR 262026503 236 35000 SH SOLE 35000 0 0
DSC COMMUNICATIONS CORP COM 233311109 234 10500 SH SOLE 10500 0 0
DTE ENERGY CO COM 233331107 558 20200 SH SOLE 20200 0 0
DU PONT E I DE NEMOURS & CO COM 263534109 5282 84000 SH SOLE 84000 0 0
DUKE POWER CO COM 264399106 19112 398681 SH SOLE 398681 0 0
DUN & BRADSTREET CORP COM 264830100 407 15500 SH SOLE 15500 0 0
DYNATECH CORP COM 268138104 708 19800 SH SOLE 19800 0 0
E M C CORP MASS COM 268648102 14391 369000 SH SOLE 369000 0 0
EAGLE HARDWARE & GARDEN INC COM 26959B101 725 31700 SH SOLE 31700 0 0
EARTHGRAINS CO COM 270319106 254 3880 SH SOLE 3880 0 0
EASTERN ENTERPRISES COM 27637F100 916 26400 SH SOLE 26400 0 0
EASTERN UTILS ASSOC COM 277173100 507 27800 SH SOLE 27800 0 0
EASTGROUP PPTY INC COM 277276101 1706 84750 SH SOLE 84750 0 0
EASTMAN CHEM CO COM 277432100 7372 116100 SH SOLE 116100 0 0
EASTMAN KODAK CO COM 277461109 5503 71700 SH SOLE 71700 0 0
EATON CORP COM 278058102 1327 15200 SH SOLE 15200 0 0
EATON VANCE CORP COM NON VTG 278265103 1179 42400 SH SOLE 42400 0 0
ECHO BAY MINES LTD COM 278751102 605 145200 SH SOLE 145200 0 0
EDISON INTL COM 281020107 24373 979800 SH SOLE 979800 0 0
EDWARDS AG INC COM 281760108 16178 378422 SH SOLE 378422 0 0
EG & G INC COM 268457108 529 23500 SH SOLE 23500 0 0
EL PASO ELEC CO COM NEW 283677854 297 42000 SH SOLE 42000 0 0
EL PASO NAT GAS CO COM NEW 283695872 9751 177300 SH SOLE 177300 0 0
ELECTRO RENT CORP COM 285218103 270 10900 SH SOLE 10900 0 0
ELECTROGLAS INC COM 285324109 393 15600 SH SOLE 15600 0 0
ELECTRONIC DATA SYS NEW COM 285661104 255 6200 SH SOLE 6200 0 0
EMBOTELLADORA ANDINA S A SPONS ADR A 29081P204 1098 51200 SH SOLE 51200 0 0
EMBOTELLADORA ANDINA S A SPONS ADR B 29081P303 1021 48900 SH SOLE 48900 0 0
EMPRESA NACIONAL DE ELCTRCIDAD SPONSORED ADR 29244T101 7664 339700 SH SOLE 339700 0 0
EMPRESAS ICA SOCIEDAD CONTRLAD SPONSORED ADR 292448107 5620 349900 SH SOLE 349900 0 0
EMPRESAS TELEX CHILE S A SPONSORED ADR 29245D105 73 12900 SH SOLE 12900 0 0
ENERGEN CORP COM 29265N108 526 15600 SH SOLE 15600 0 0
ENERGY GROUP PLC SPONSORED ADR 292691102 1695 40000 SH SOLE 40000 0 0
ENERSIS S A SPONSORED ADR 29274F104 5455 153400 SH SOLE 153400 0 0
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<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
ENOVA CORP COM 293552105 1263 52500 SH SOLE 52500 0 0
ENRON OIL & GAS CO COM 293562104 1033 57000 SH SOLE 57000 0 0
ENSERCH CORP COM 293567103 3026 136000 SH SOLE 136000 0 0
ENTERGY CORP NEW COM 29364G103 29411 1069500 SH SOLE 1069500 0 0
ENVOY CORP NEW COM 293982104 259 7800 SH SOLE 7800 0 0
EQUIFAX INC COM 294429105 1119 30100 SH SOLE 30100 0 0
EQUITABLE IOWA COS COM NEW 294510300 2061 36800 SH SOLE 36800 0 0
EQUITABLE RES INC COM 294549100 695 24500 SH SOLE 24500 0 0
EQUITY INNS INC COM 294703103 1696 126800 SH SOLE 126800 0 0
EQUITY RESIDENTIAL PPTYS TR SH BEN INT 29476L107 13125 276325 SH SOLE 276325 0 0
ESS TECHNOLOGY INC COM 269151106 284 21100 SH SOLE 21100 0 0
ESSEX PPTY TR INC COM 297178105 1510 47000 SH SOLE 47000 0 0
ESTERLINE TECHNOLOGIES CORP COM 297425100 335 9400 SH SOLE 9400 0 0
ETHAN ALLEN INTERIORS INC COM 297602104 752 13200 SH SOLE 13200 0 0
EVANS WITHYCOMBE RESIDENTIAL COM 299212100 1938 93400 SH SOLE 93400 0 0
EVEREST REINS HLDGS INC COM 299808105 2350 59300 SH SOLE 59300 0 0
EVI INC COM 268939105 2642 62900 SH SOLE 62900 0 0
EXABYTE CORP COM 300615101 762 59500 SH SOLE 59500 0 0
EXCEL RLTY TR INC COM 30067R107 1466 55600 SH SOLE 55600 0 0
EXPEDITORS INTL WASH INC COM 302130109 482 17000 SH SOLE 17000 0 0
EXTENDED STAY AMER INC COM 30224P101 189 12000 SH SOLE 12000 0 0
EXXON CORP COM 302290101 35121 573400 SH SOLE 573400 0 0
F M C CORP COM NEW 302491303 5235 65900 SH SOLE 65900 0 0
FAIRFIELD CMNTYS INC COM PAR $0.01 304231301 259 7700 SH SOLE 7700 0 0
FALCON DRILLING INC COM 305914103 2017 35000 SH SOLE 35000 0 0
FAMILY DLR STORES INC COM 307000109 2015 73600 SH SOLE 73600 0 0
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FASTENAL CO COM 311900104 1107 22600 SH SOLE 22600 0 0
FEDERAL EXPRESS CORP COM 313309106 12408 214400 SH SOLE 214400 0 0
FEDERAL HOME LN MTG CORP COM 313400301 1433 40952 SH SOLE 40952 0 0
FEDERAL MOGUL CORP COM 313549107 1197 34200 SH SOLE 34200 0 0
FEDERAL NATL MTG ASSN COM 313586109 3309 75850 SH SOLE 75850 0 0
FEDERAL REALTY INVT TR SH BEN INT NEW 313747206 3002 111200 SH SOLE 111200 0 0
FEDERAL SIGNAL CORP COM 313855108 399 15900 SH SOLE 15900 0 0
FEDERATED DEPT STORES INC DEL COM 31410H101 358 10300 SH SOLE 10300 0 0
FELCOR SUITE HOTELS INC COM 314305103 7152 192000 SH SOLE 192000 0 0
FERRO CORP COM 315405100 448 12100 SH SOLE 12100 0 0
FINA INC CL A 31734L101 249 3900 SH SOLE 3900 0 0
FINANCIAL SEC ASSURN HLDGS LTD COM 31769P100 950 24400 SH SOLE 24400 0 0
FINGERHUT COS INC COM 317867109 1031 59100 SH SOLE 59100 0 0
FINISH LINE INC CL A 317923100 671 45900 SH SOLE 45900 0 0
FINOVA GROUP INC COM 317928109 650 8500 SH SOLE 8500 0 0
FIRST AMER BK CORP COM 318906104 1231 26900 SH SOLE 26900 0 0
FIRST AMERN FINL CORP COM 318522307 1221 31300 SH SOLE 31300 0 0
FIRST BRANDS CORP COM 319356101 807 35200 SH SOLE 35200 0 0
FIRST CHICAGO NBD CORP COM 31945A100 4907 81100 SH SOLE 81100 0 0
FIRST COMM CORP COM 319779104 752 17100 SH SOLE 17100 0 0
FIRST CTZNS BANCSHARES INC N C CL A 31946M103 1079 12400 SH SOLE 12400 0 0
FIRST EMPIRE ST CORP COM 320076102 1550 4600 SH SOLE 4600 0 0
FIRST FINL BANCORP OH COM 320209109 205 5100 SH SOLE 5100 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
FIRST FINL CORP WISC COM 320227101 992 33775 SH SOLE 33775 0 0
FIRST HAWAIIAN INC COM 320506108 1263 37000 SH SOLE 37000 0 0
FIRST INDUSTRIAL REALTY TRUST COM 32054K103 6347 217000 SH SOLE 217000 0 0
FIRST MIDWEST BANCORP DEL COM 320867104 257 8125 SH SOLE 8125 0 0
FIRST SEC CORP DEL COM 336294103 531 19450 SH SOLE 19450 0 0
FIRST UN CORP COM 337358105 1286 13900 SH SOLE 13900 0 0
FIRST UN REAL EST EQ&MTG INVTS SH BEN INT 337400105 6526 460000 SH SOLE 460000 0 0
FIRST VA BANKS INC COM 337477103 1526 25300 SH SOLE 25300 0 0
FIRSTBANK ILL CO COM 337613103 254 6500 SH SOLE 6500 0 0
FIRSTBANK P R SAN JUAN COM 33761K105 316 12200 SH SOLE 12200 0 0
FIRSTFED FINL CORP COM 337907109 1028 33100 SH SOLE 33100 0 0
FISHER SCIENTIFIC INTL INC COM 338032105 428 9000 SH SOLE 9000 0 0
FLEET FINL GROUP INC NEW COM 338915101 13295 210200 SH SOLE 210200 0 0
FLEETWOOD ENTERPRISES INC COM 339099103 799 26800 SH SOLE 26800 0 0
FLEMING COS INC COM 339130106 1490 82800 SH SOLE 82800 0 0
FLORIDA EAST COAST INDS COM 340632108 622 5600 SH SOLE 5600 0 0
FLORIDA PROGRESS CORP COM 341109106 8169 260900 SH SOLE 260900 0 0
FLORIDA ROCK INDS INC COM 341140101 540 13300 SH SOLE 13300 0 0
FLOWERS INDS INC COM 343496105 1433 84900 SH SOLE 84900 0 0
FLUKE CORP COM 343856100 314 5300 SH SOLE 5300 0 0
FOOD LION INC CL B 344775101 175 24300 SH SOLE 24300 0 0
FOODMAKER INC NEW COM NEW 344839204 630 38500 SH SOLE 38500 0 0
FORD MTR CO DEL COM 345370100 26121 687400 SH SOLE 687400 0 0
FOREST LABS INC CL A 345838106 331 8000 SH SOLE 8000 0 0
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FOUNDATION HEALTH SYS INC COM 350404109 3026 99840 SH SOLE 99840 0 0
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FRANKLIN COVEY CO COM 353469109 471 18600 SH SOLE 18600 0 0
FRANKLIN ELEC INC COM 353514102 358 7200 SH SOLE 7200 0 0
FRANKLIN RES INC COM 354613101 7866 108400 SH SOLE 108400 0 0
FREMONT GEN CORP COM 357288109 2713 67415 SH SOLE 67415 0 0
FRONTIER CORPORATION COM 35906P105 299 15000 SH SOLE 15000 0 0
FRONTIER INS GROUP INC NEW COM 359081106 1331 20559 SH SOLE 20559 0 0
FRUIT OF THE LOOM INC CL A 359416104 7015 226300 SH SOLE 226300 0 0
FULLER H B CO COM 359694106 913 16600 SH SOLE 16600 0 0
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FUND AMERN ENTERPRISES HLDGS COM 360768105 609 5800 SH SOLE 5800 0 0
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GALLAGHER ARTHUR J & CO COM 363576109 513 13600 SH SOLE 13600 0 0
GALLAHER GROUP PLC SPONSORED ADR 363595109 920 49900 SH SOLE 49900 0 0
GANNETT INC COM 364730101 948 9600 SH SOLE 9600 0 0
GAP INC DEL COM 364760108 8564 220300 SH SOLE 220300 0 0
GATEWAY 2000 INC COM 367833100 2746 84500 SH SOLE 84500 0 0
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GENCORP INC COM 368682100 981 42400 SH SOLE 42400 0 0
GENERAL ELEC CO COM 369604103 75654 1163900 SH SOLE 1163900 0 0
GENERAL GROWTH PPTYS INC COM 370021107 5665 169100 SH SOLE 169100 0 0
GENERAL MTRS CORP COM 370442105 35819 642500 SH SOLE 642500 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
GENERAL NUTRITION COS INC COM 37047F103 252 9000 SH SOLE 9000 0 0
GENESCO INC COM 371532102 241 17000 SH SOLE 17000 0 0
GENESIS HEALTH VENTURES INC COM 371912106 273 8100 SH SOLE 8100 0 0
GENRAD INC COM 372447102 256 11300 SH SOLE 11300 0 0
GENUINE PARTS CO COM 372460105 5543 163625 SH SOLE 163625 0 0
GEON CO COM 37246W105 279 13800 SH SOLE 13800 0 0
GIBSON GREETINGS INC COM 374827103 509 22600 SH SOLE 22600 0 0
GIDDINGS & LEWIS INC WIS COM 375048105 733 35100 SH SOLE 35100 0 0
GILLETTE CO COM 375766102 16216 171146 SH SOLE 171146 0 0
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GLENDALE FED BK FED SVGS BK CA COM NEW 378507503 1643 62900 SH SOLE 62900 0 0
GLIMCHER RLTY TR SH BEN INT 379302102 1273 61700 SH SOLE 61700 0 0
GLOBAL INDL TECHNOLOGIES INC COM 379335102 996 48600 SH SOLE 48600 0 0
GLOBAL MARINE INC COM 379352404 5525 237000 SH SOLE 237000 0 0
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GOODYS FAMILY CLOTHING INC COM 382588101 725 26500 SH SOLE 26500 0 0
GPU INC COM 36225X100 689 19200 SH SOLE 19200 0 0
GRACO INC COM 384109104 328 10900 SH SOLE 10900 0 0
GRAINGER W W INC COM 384802104 4097 52400 SH SOLE 52400 0 0
GRAND CASINOS INC COM 385269105 940 63700 SH SOLE 63700 0 0
GRANITE CONSTR INC COM 387328107 440 22300 SH SOLE 22300 0 0
GREAT ATLANTIC & PAC TEA INC COM 390064103 919 33800 SH SOLE 33800 0 0
GREAT LAKES CHEM CORP COM 390568103 3431 65500 SH SOLE 65500 0 0
GREAT WESTN FINL CORP COM 391442100 21591 401700 SH SOLE 401700 0 0
GREENPOINT FINL CORP COM 395384100 10131 152200 SH SOLE 152200 0 0
GREENWICH AIR SVCS INC CL A 396781106 309 10800 SH SOLE 10800 0 0
GREIF BROS CORP CL A 397624107 437 16200 SH SOLE 16200 0 0
GREY ADVERTISING INC COM 397838103 2739 8300 SH SOLE 8300 0 0
GRIFFON CORP COM 398433102 740 54100 SH SOLE 54100 0 0
GRUPO MEXICANO DE DESARROLLO SPND ADR B SHS 40048G104 354 314644 SH SOLE 314644 0 0
GRUPO MEXICANO DE DESARROLLO SPND ADR L SHS 40048G203 1157 661244 SH SOLE 661244 0 0
GRUPO TRIBASA S A DE C V SPONSORED ADR 40049F105 13140 2444700 SH SOLE 2444700 0 0
GTE CORP COM 362320103 17787 405400 SH SOLE 405400 0 0
GTECH HLDGS CORP COM 400518106 445 13800 SH SOLE 13800 0 0
GUANGSHEN RY LTD SPONSORED ADR 40065W107 547 25000 SH SOLE 25000 0 0
GUARANTY NATL CORP NEW COM 401192109 734 30600 SH SOLE 30600 0 0
GUILFORD MLS INC COM 401794102 724 34800 SH SOLE 34800 0 0
GULF CDA RES LTD ORD 40218L305 1417 235100 SH SOLE 235100 0 0
HAAGEN ALEXANDER PPTYS INC COM 40443E100 271 16700 SH SOLE 16700 0 0
HAEMONETICS CORP COM 405024100 574 30000 SH SOLE 30000 0 0
HANDLEMAN CO DEL COM 410252100 678 106300 SH SOLE 106300 0 0
HANNA M A CO COM 410522106 988 34500 SH SOLE 34500 0 0
HANNAFORD BROS CO COM 410550107 1536 43200 SH SOLE 43200 0 0
HANSON PLC WT B EX093097N 411352156 1 296698 SH SOLE 296698 0 0
HANSON PLC SPNSRD ADR NEW 411352404 750 30000 SH SOLE 30000 0 0
HARKEN ENERGY CORP COM 412552101 297 42800 SH SOLE 42800 0 0
HARLEYSVILLE GROUP INC COM 412824104 667 17600 SH SOLE 17600 0 0
HARMAN INTL INDS INC COM 413086109 539 12800 SH SOLE 12800 0 0
HARNISCHFEGER INDS INC COM 413345109 278 6700 SH SOLE 6700 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
HARRIS CORP DEL COM 413875105 1932 23000 SH SOLE 23000 0 0
HARSCO CORP COM 415864107 551 13600 SH SOLE 13600 0 0
HARTFORD FINL SVCS GROUP INC COM 416515104 397 4800 SH SOLE 4800 0 0
HARTMARX CORP COM 417119104 105 12700 SH SOLE 12700 0 0
HASBRO INC COM 418056107 1690 59550 SH SOLE 59550 0 0
HAWAIIAN ELEC INDUSTRIES COM 419870100 568 14700 SH SOLE 14700 0 0
HCC INS HLDGS INC COM 404132102 235 8800 SH SOLE 8800 0 0
HEALTH CARE & RETIREMENT DEL COM 421937103 718 21500 SH SOLE 21500 0 0
HEALTHCARE COMPARE CORP COM 421928102 1330 25400 SH SOLE 25400 0 0
HEALTHSOURCE INC COM 42221E104 421 19400 SH SOLE 19400 0 0
HEARTLAND EXPRESS INC COM 422347104 435 18500 SH SOLE 18500 0 0
HEILIG MEYERS CO COM 422893107 632 32200 SH SOLE 32200 0 0
HEINZ H J CO COM 423074103 19040 412800 SH SOLE 412800 0 0
HELMERICH & PAYNE INC COM 423452101 1446 25100 SH SOLE 25100 0 0
HERBALIFE INTL INC COM 426908109 678 41700 SH SOLE 41700 0 0
HERSHEY FOODS CORP COM 427866108 3518 63600 SH SOLE 63600 0 0
HEWLETT PACKARD CO COM 428236103 2240 40000 SH SOLE 40000 0 0
HFS INC COM 404181109 394 6785 SH SOLE 6785 0 0
HIGHWOODS PPTYS INC COM 431284108 7261 225600 SH SOLE 225600 0 0
HILLENBRAND INDS INC COM 431573104 1981 41700 SH SOLE 41700 0 0
HILTON HOTELS CORP COM 432848109 213 8000 SH SOLE 8000 0 0
HNC SOFTWARE INC COM 40425P107 358 9400 SH SOLE 9400 0 0
HOLLINGER INC COM 43556C101 99 15900 SH SOLE 15900 0 0
HOLLINGER INTL INC CL A 435569108 746 66700 SH SOLE 66700 0 0
HOLLY CORP COM PAR $0.01 435758305 749 30200 SH SOLE 30200 0 0
HOLLYWOOD ENTMT CORP COM 436141105 613 26800 SH SOLE 26800 0 0
HOME DEPOT INC COM 437076102 9439 136800 SH SOLE 136800 0 0
HOMESTEAD VLG PPTYS INC COM 437851108 1022 57200 SH SOLE 57200 0 0
HOMESTEAD VLG PPTYS INC WT EXP 102997 437851116 94 11182 SH SOLE 11182 0 0
HON INDS INC COM 438092108 1212 27400 SH SOLE 27400 0 0
HORACE MANN EDUCATORS CORP NEW COM 440327104 1700 34700 SH SOLE 34700 0 0
HORIZON GROUP INC COM 44041X106 289 21500 SH SOLE 21500 0 0
HORIZON/CMS HEALTHCARE CORP COM 440400109 975 48600 SH SOLE 48600 0 0
HORMEL FOODS CORP COM 440452100 1959 72900 SH SOLE 72900 0 0
HOSPITALITY PPTYS TR COM SH BEN INT 44106M102 4349 142000 SH SOLE 142000 0 0
HOST MARRIOTT CORP COM 441078102 224 12600 SH SOLE 12600 0 0
HOUSEHOLD INTL INC COM 441815107 1433 12200 SH SOLE 12200 0 0
HOUSTON INDS INC COM 442161105 23636 1102600 SH SOLE 1102600 0 0
HUANENG PWR INTL INC SPONSR ADR N 443304100 1595 62550 SH SOLE 62550 0 0
HUBBELL INC CL B 443510201 286 6500 SH SOLE 6500 0 0
HUDSON FOODS INC CL A 443782107 923 56600 SH SOLE 56600 0 0
HUNT J B TRANS SVCS INC COM 445658107 646 43400 SH SOLE 43400 0 0
HUTCHINSON TECHNOLOGY INC COM 448407106 646 26500 SH SOLE 26500 0 0
HYPERION SOFTWARE INC COM 44914Q105 307 13700 SH SOLE 13700 0 0
IBP INC COM 449223106 5580 240000 SH SOLE 240000 0 0
ICN PHARMACEUTICALS INC NEW COM 448924100 760 26500 SH SOLE 26500 0 0
IES INDS INC COM 44949M103 711 24100 SH SOLE 24100 0 0
ILLINOIS CENT CORP COM SER A 451841100 961 27500 SH SOLE 27500 0 0
ILLINOVA CORP COM 452317100 7031 319600 SH SOLE 319600 0 0
IMMULOGIC PHARMACEUTICAL CORP COM 45252R100 78 25000 SH SOLE 25000 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
IMMUNEX CORP NEW COM 452528102 268 7400 SH SOLE 7400 0 0
IMPERIAL OIL LTD COM NEW 453038408 7362 197701 SH SOLE 197701 0 0
INCO LTD COM 453258402 5094 208989 SH SOLE 208989 0 0
INDIA FD INC COM 454089103 2288 239300 SH SOLE 239300 0 0
INGLES MKTS INC CL A 457030104 1303 79600 SH SOLE 79600 0 0
INLAND STL INDS INC COM 457472108 1727 66100 SH SOLE 66100 0 0
INNKEEPERS USA TR COM 4576J0104 2382 158800 SH SOLE 158800 0 0
INTEGON CORP COM 45810F101 2065 82800 SH SOLE 82800 0 0
INTEGRATED DEVICE TECHNOLOGY COM 458118106 599 57000 SH SOLE 57000 0 0
INTEGRATED HEALTH SVCS INC COM 45812C106 1147 29800 SH SOLE 29800 0 0
INTEL CORP COM 458140100 141784 999800 SH SOLE 999800 0 0
INTER-CITY PRODS CORP ORD 45821E101 55 13900 SH SOLE 13900 0 0
INTERFACE INC CL A 458665106 1237 55900 SH SOLE 55900 0 0
INTERGRAPH CORP COM 458683109 1373 161500 SH SOLE 161500 0 0
INTERIM SVCS INC COM 45868P100 596 13400 SH SOLE 13400 0 0
INTERNATIONAL BUSINESS MACHS COM 459200101 70927 785900 SH SOLE 785900 0 0
INTERNATIONAL DAIRY QUEEN INC CL A 459373205 766 31900 SH SOLE 31900 0 0
INTERNATIONAL GAME TECHNOLOGY COM 459902102 4093 230600 SH SOLE 230600 0 0
INTERNATIONAL MULTIFOODS CORP COM 460043102 1028 40900 SH SOLE 40900 0 0
INTERNATIONAL RECTIFIER CORP COM 460254105 373 20000 SH SOLE 20000 0 0
INTERPOOL INC COM 46062R108 369 25000 SH SOLE 25000 0 0
INTERRA FINL INC COM 46069M102 893 21300 SH SOLE 21300 0 0
INTERSTATE BAKERIES CORP DEL COM 46072H108 3173 53500 SH SOLE 53500 0 0
INTL PAPER CO COM 460146103 19847 408700 SH SOLE 408700 0 0
IPSCO INC COM 462622101 1148 54400 SH SOLE 54400 0 0
IRT PPTY CO COM 450058102 1129 96100 SH SOLE 96100 0 0
IRVINE APT CMNTYS INC COM 463606103 2779 94600 SH SOLE 94600 0 0
JABIL CIRCUIT INC COM 466313103 2038 24300 SH SOLE 24300 0 0
JACOBS ENGR GROUP INC DEL COM 469814107 500 18600 SH SOLE 18600 0 0
JAMES RIV CORP VA COM 470349101 4015 108500 SH SOLE 108500 0 0
JAMES RIV CORP VA PFD CV C1/100S 470349887 3457 100200 SH SOLE 100200 0 0
JAMESON INNS INC COM 470457102 711 60500 SH SOLE 60500 0 0
JDN RLTY CORP COM 465917102 1481 47400 SH SOLE 47400 0 0
JEFFERIES GROUP INC COM 472318104 758 13300 SH SOLE 13300 0 0
JEFFERSON PILOT CORP COM 475070108 629 9000 SH SOLE 9000 0 0
JEFFERSON SMURFIT CORP NEW COM 475087102 189 11800 SH SOLE 11800 0 0
JOHN ALDEN FINL CORP COM 477838106 689 32900 SH SOLE 32900 0 0
JOHNS MANVILLE CORP NEW COM 478129109 950 80400 SH SOLE 80400 0 0
JOHNSON & JOHNSON COM 478160104 21315 331100 SH SOLE 331100 0 0
JONES APPAREL GROUP INC COM 480074103 6623 138700 SH SOLE 138700 0 0
JONES MED INDS INC COM 480212109 304 6400 SH SOLE 6400 0 0
JP REALTY INC COM 46624A106 2745 101200 SH SOLE 101200 0 0
JSB FINANCIAL INC COM 46624M100 234 5400 SH SOLE 5400 0 0
JUST FOR FEET INC COM 48213P106 326 18700 SH SOLE 18700 0 0
JUSTIN INDS INC COM 482171105 567 44500 SH SOLE 44500 0 0
K MART CORP COM 482584109 23712 1945700 SH SOLE 1945700 0 0
K-III COMMUNICATIONS CORP COM 482727104 566 47200 SH SOLE 47200 0 0
KAISER ALUMINUM CORP COM 483007100 405 33100 SH SOLE 33100 0 0
KAMAN CORP CL A 483548103 1415 92000 SH SOLE 92000 0 0
KANSAS CITY LIFE INS CO COM 484836101 664 8400 SH SOLE 8400 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
KAUFMAN & BROAD HOME CORP COM 486168107 824 46900 SH SOLE 46900 0 0
KCS ENERGY INC COM 482434206 395 19400 SH SOLE 19400 0 0
KEANE INC COM 486665102 915 17600 SH SOLE 17600 0 0
KELLWOOD CO COM 488044108 785 28300 SH SOLE 28300 0 0
KELLY SVCS INC CL A 488152208 863 27500 SH SOLE 27500 0 0
KEMET CORP COM 488360108 249 10000 SH SOLE 10000 0 0
KENNAMETAL INC COM 489170100 645 15000 SH SOLE 15000 0 0
KERR MCGEE CORP COM 492386107 317 5000 SH SOLE 5000 0 0
KEYCORP NEW COM 493267108 876 15684 SH SOLE 15684 0 0
KILROY RLTY CORP COM 49427F108 513 20300 SH SOLE 20300 0 0
KIMBALL INTL INC CL B 494274103 1300 32300 SH SOLE 32300 0 0
KIMCO REALTY CORP COM 49446R109 4890 154000 SH SOLE 154000 0 0
KINETIC CONCEPTS INC COM 49460W109 2515 139700 SH SOLE 139700 0 0
KING WORLD PRODTNS INC COM 495667107 2175 62130 SH SOLE 62130 0 0
KLA-TENCORP CORP COM 482480100 1994 40900 SH SOLE 40900 0 0
KOGER EQUITY INC COM 500228101 2035 111500 SH SOLE 111500 0 0
KOHLS CORP COM 500255104 401 7600 SH SOLE 7600 0 0
KOMAG INC COM 500453105 426 26000 SH SOLE 26000 0 0
KOOR INDS LTD SPONSORED ADR 500507108 548 31100 SH SOLE 31100 0 0
KOREA ELECTRIC PWR SPONSORED ADR 500631106 374 20000 SH SOLE 20000 0 0
KOREAN INVT FD INC COM 500637103 1340 160000 SH SOLE 160000 0 0
KRANZCO RLTY TR COM SH BEN INT 50076E103 360 21200 SH SOLE 21200 0 0
KUHLMAN CORP COM 501206106 251 7800 SH SOLE 7800 0 0
KULICKE & SOFFA INDS INC COM 501242101 1052 32400 SH SOLE 32400 0 0
LA Z BOY INC COM 505336107 688 19100 SH SOLE 19100 0 0
LABORATORY CORP AMER HLDGS COM 50540R102 436 162300 SH SOLE 162300 0 0
LAFARGE CORP COM 505862102 1916 78200 SH SOLE 78200 0 0
LAIDLAW INC CL A 50730K107 231 20600 SH SOLE 20600 0 0
LAIDLAW INC CL B NON VTG 50730K206 2037 203500 SH SOLE 203500 0 0
LAM RESH CORP COM 512807108 1497 40400 SH SOLE 40400 0 0
LANCASTER COLONY CORP COM 513847103 1679 34710 SH SOLE 34710 0 0
LANDS END INC COM 515086106 1259 42500 SH SOLE 42500 0 0
LATTICE SEMICONDUCTOR CORP COM 518415104 1119 19800 SH SOLE 19800 0 0
LEAR CORP COM 521865105 981 22100 SH SOLE 22100 0 0
LEE ENTERPRISES INC COM 523768109 211 8000 SH SOLE 8000 0 0
LEGG MASON INC COM 524901105 1002 18625 SH SOLE 18625 0 0
LEGGETT & PLATT INC COM 524660107 4967 115500 SH SOLE 115500 0 0
LEHMAN BROS HLDGS INC COM 524908100 9450 233340 SH SOLE 233340 0 0
LENNAR CORP COM 526057104 1370 42900 SH SOLE 42900 0 0
LEUCADIA NATL CORP COM 527288104 742 24000 SH SOLE 24000 0 0
LEXINGTON CORP PPTYS INC COM 529039109 1770 126400 SH SOLE 126400 0 0
LEXMARK INTL GROUP INC CL A 529771107 2634 86700 SH SOLE 86700 0 0
LG&E ENERGY CORP COM 501917108 2495 113100 SH SOLE 113100 0 0
LIBERTY CORP S C COM 530370105 852 20900 SH SOLE 20900 0 0
LIBERTY FINL COS INC COM 530512102 883 17700 SH SOLE 17700 0 0
LIBERTY PPTY TR SH BEN INT 531172104 7224 290400 SH SOLE 290400 0 0
LIFE RE CORP COM 532160108 1054 22600 SH SOLE 22600 0 0
LILLY ELI & CO COM 532457108 18036 165000 SH SOLE 165000 0 0
LIMITED INC COM 532716107 4299 212300 SH SOLE 212300 0 0
LINCARE HLDGS INC COM 532791100 2679 62300 SH SOLE 62300 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
LINCOLN NATL CORP IND COM 534187109 15270 237200 SH SOLE 237200 0 0
LINEAR TECHNOLOGY CORP COM 535678106 688 13300 SH SOLE 13300 0 0
LITTON INDS INC COM 538021106 3160 65400 SH SOLE 65400 0 0
LIVING CTRS AMER INC COM 538388109 782 19800 SH SOLE 19800 0 0
LIZ CLAIBORNE INC COM 539320101 9549 204800 SH SOLE 204800 0 0
LOCKHEED MARTIN CORP COM 539830109 8699 84000 SH SOLE 84000 0 0
LOEWS CORP COM 540424108 29787 297500 SH SOLE 297500 0 0
LOGICON INC COM 541409108 1193 22500 SH SOLE 22500 0 0
LONE STAR INDS INC COM NEW 542290408 362 8000 SH SOLE 8000 0 0
LONE STAR TECHNOLOGIES INC COM 542312103 472 16500 SH SOLE 16500 0 0
LONG IS BANCORP INC COM 542662101 381 10500 SH SOLE 10500 0 0
LONG ISLAND LTG CO COM 542671102 8188 356000 SH SOLE 356000 0 0
LONGS DRUG STORES CORP COM 543162101 2064 78800 SH SOLE 78800 0 0
LONGVIEW FIBRE CO COM 543213102 456 27400 SH SOLE 27400 0 0
LOUIS DREYFUS NAT GAS CORP COM 546011107 332 20400 SH SOLE 20400 0 0
LSI LOGIC CORP COM 502161102 230 7200 SH SOLE 7200 0 0
LTV CORP NEW COM 501921100 2326 163200 SH SOLE 163200 0 0
LUBYS CAFETERIAS INC COM 549282101 712 35700 SH SOLE 35700 0 0
LUKENS INC DEL COM 549866101 969 51500 SH SOLE 51500 0 0
LUXOTTICA GROUP S P A SPONSORED ADR 55068R202 3797 56000 SH SOLE 56000 0 0
LYDALL INC DEL COM 550819106 530 25100 SH SOLE 25100 0 0
LYONDELL PETROCHEMICAL CO COM 552078107 374 17000 SH SOLE 17000 0 0
MACDERMID INC COM 554273102 266 5800 SH SOLE 5800 0 0
MACERICH CO COM 554382101 3682 132700 SH SOLE 132700 0 0
MACFRUGALS BARGAINS CLOSE OUTS COM 554152108 1358 49600 SH SOLE 49600 0 0
MACMILLAN BLOEDEL LTD COM 554783209 5294 536039 SH SOLE 536039 0 0
MADERAS Y SINTETICOS SOCIEDAD SPONSORED ADR 556465102 2728 164100 SH SOLE 164100 0 0
MAGNA INTL INC CL A 559222401 2064 47300 SH SOLE 47300 0 0
MAGNETEK INC COM 559424106 1026 61700 SH SOLE 61700 0 0
MALLINCKRODT INC NEW COM 561232109 7889 207600 SH SOLE 207600 0 0
MANITOWOC INC COM 563571108 727 15550 SH SOLE 15550 0 0
MANUFACTURED HOME CMNTYS INC COM 564682102 1464 63500 SH SOLE 63500 0 0
MAPCO INC COM 565097102 602 19100 SH SOLE 19100 0 0
MARCUS CORP COM 566330106 243 9500 SH SOLE 9500 0 0
MARINE DRILLING COS INC COM PAR $0.01 568240204 964 49100 SH SOLE 49100 0 0
MARK IV INDS INC COM 570387100 1481 61705 SH SOLE 61705 0 0
MARQUETTE MED SYS INC CL A 571490101 427 19400 SH SOLE 19400 0 0
MARSH & MCLENNAN COS INC COM 571748102 771 10800 SH SOLE 10800 0 0
MARSHALL INDS COM 572393106 860 23100 SH SOLE 23100 0 0
MARTIN MARIETTA MATLS INC COM 573284106 745 23000 SH SOLE 23000 0 0
MASCOTECH INC COM 574670105 2428 116300 SH SOLE 116300 0 0
MASTEC INC COM 576323109 965 20400 SH SOLE 20400 0 0
MATTEL INC COM 577081102 606 17900 SH SOLE 17900 0 0
MAXIM INTEGRATED PRODS INC COM 57772K101 1052 18500 SH SOLE 18500 0 0
MAXXAM INC COM 577913106 332 7100 SH SOLE 7100 0 0
MAY DEPT STORES CO COM 577778103 213 4500 SH SOLE 4500 0 0
MAYTAG CORP COM 578592107 2451 92500 SH SOLE 92500 0 0
MBIA INC COM 55262C100 14541 128900 SH SOLE 128900 0 0
MBNA CORP COM 55262L100 320 8750 SH SOLE 8750 0 0
MCCLATCHY NEWSPAPERS INC CL A 579489105 875 29775 SH SOLE 29775 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
MCDERMOTT INTL INC COM 580037109 1224 42200 SH SOLE 42200 0 0
MCGRATH RENTCORP COM 580589109 633 30900 SH SOLE 30900 0 0
MCI COMMUNICATIONS CORP COM 552673105 20530 536300 SH SOLE 536300 0 0
MCKESSON CORP NEW COM 581557105 5658 73000 SH SOLE 73000 0 0
MEAD CORP COM 582834107 7128 114500 SH SOLE 114500 0 0
MEDIA GEN INC CL A 584404107 756 18900 SH SOLE 18900 0 0
MEDPARTNERS INC NEW COM 58503X107 1044 48300 SH SOLE 48300 0 0
MEDTRONIC INC COM 585055106 1634 19800 SH SOLE 19800 0 0
MEDUSA CORP COM PAR $0 585072309 756 19700 SH SOLE 19700 0 0
MELLON BK CORP COM 585509102 11412 252900 SH SOLE 252900 0 0
MEMC ELECTR MATLS INC COM 552715104 809 24700 SH SOLE 24700 0 0
MERCANTILE BANKSHARES CORP COM 587405101 1464 36600 SH SOLE 36600 0 0
MERCANTILE STORES INC COM 587533100 2187 34750 SH SOLE 34750 0 0
MERCK & CO INC COM 589331107 55832 545700 SH SOLE 545700 0 0
MERCURY GENL CORP NEW COM 589400100 2270 31200 SH SOLE 31200 0 0
MERIDIAN INDL TR INC COM 589643105 1513 64400 SH SOLE 64400 0 0
MERRILL LYNCH & CO INC COM 590188108 19891 333600 SH SOLE 333600 0 0
MERRY LD & INVT INC COM 590438107 2858 131800 SH SOLE 131800 0 0
MESA INC COM 590911103 323 56200 SH SOLE 56200 0 0
METHANEX CORP COM 59151K108 2447 367400 SH SOLE 367400 0 0
METHODE ELECTRS INC CL A 591520200 362 18200 SH SOLE 18200 0 0
METROMEDIA INTL GROUP INC COM 591695101 458 36300 SH SOLE 36300 0 0
MEXICO FD INC COM 592835102 6843 353198 SH SOLE 353198 0 0
MEYER FRED INC DEL COM 593098106 1463 28300 SH SOLE 28300 0 0
MGI PPTYS INC COM 552885105 1317 59700 SH SOLE 59700 0 0
MGIC INVT CORP WIS COM 552848103 523 10900 SH SOLE 10900 0 0
MICHAEL FOOD INC NEW COM 594079105 1585 85700 SH SOLE 85700 0 0
MICHAELS STORES INC COM 594087108 1769 83500 SH SOLE 83500 0 0
MICRO WHSE INC COM 59501B105 354 20700 SH SOLE 20700 0 0
MICROAGE INC COM 594928103 428 23300 SH SOLE 23300 0 0
MICROCHIP TECHNOLOGY INC COM 595017104 530 17800 SH SOLE 17800 0 0
MICRON ELECTRONICS INC COM 595100108 973 54600 SH SOLE 54600 0 0
MICRON TECHNOLOGY INC COM 595112103 18636 465900 SH SOLE 465900 0 0
MICROSOFT CORP COM 594918104 141957 1123300 SH SOLE 1123300 0 0
MID ATLANTIC MED SVCS INC COM 59523C107 2386 153300 SH SOLE 153300 0 0
MID-AMER APT CMNTYS INC COM 59522J103 895 31900 SH SOLE 31900 0 0
MIDAMERICA ENERGY HLDGS CO COM 595920109 1191 68782 SH SOLE 68782 0 0
MILLENNIUM CHEMICALS INC COM 599903101 455 20000 SH SOLE 20000 0 0
MILLER HERMAN INC COM 600544100 2009 55800 SH SOLE 55800 0 0
MILLS CORP COM 601148109 3059 110500 SH SOLE 110500 0 0
MINE SAFETY APPLIANCES CO COM 602720104 617 10200 SH SOLE 10200 0 0
MINNESOTA MNG & MFG CO COM 604059105 32812 320900 SH SOLE 320900 0 0
MINNESOTA PWR & LT CO COM 604110106 310 10200 SH SOLE 10200 0 0
MISSISSIPPI CHEM CORP COM NEW 605288208 668 32200 SH SOLE 32200 0 0
MITCHELL ENERGY & DEV CORP CL B 606592301 1642 76800 SH SOLE 76800 0 0
MITEL CORP COM 606711109 548 145700 SH SOLE 145700 0 0
MOBIL CORP COM 607059102 5856 83800 SH SOLE 83800 0 0
MODINE MFG CO COM 607828100 687 23100 SH SOLE 23100 0 0
MOHAWK INDS INC COM 608190104 1317 57900 SH SOLE 57900 0 0
MONSANTO CO COM 611662107 263 6100 SH SOLE 6100 0 0
<PAGE> PAGE 19
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
MONTANA POWER CO COM 612085100 953 41100 SH SOLE 41100 0 0
MOORE LTD COM 615785102 5436 308264 SH SOLE 308264 0 0
MORGAN J P & CO INC COM 616880100 11847 113500 SH SOLE 113500 0 0
MORGAN KEEGAN INC COM 617410105 391 19650 SH SOLE 19650 0 0
MORGAN S D WITTER DISCOVER&CO COM NEW 617446448 34892 810282 SH SOLE 810282 0 0
MORNINGSTAR GROUP INC COM 617698105 288 9800 SH SOLE 9800 0 0
MORTON INTL INC IND NEW COM 619335102 311 10300 SH SOLE 10300 0 0
MOSINEE PAPER CORP COM 619600109 326 13300 SH SOLE 13300 0 0
MOTOROLA INC COM 620076109 586 7700 SH SOLE 7700 0 0
MTS SYS CORP COM 553777103 589 19300 SH SOLE 19300 0 0
MUELLER INDS INC COM 624756102 293 6700 SH SOLE 6700 0 0
MURPHY OIL CORP COM 626717102 1311 26900 SH SOLE 26900 0 0
MYLAN LABS INC COM 628530107 178 12100 SH SOLE 12100 0 0
NAC RE CORP COM 628907107 885 18300 SH SOLE 18300 0 0
NACCO INDS INC CL A 629579103 745 13200 SH SOLE 13200 0 0
NASH FINCH CO COM 631158102 1584 71600 SH SOLE 71600 0 0
NATIONAL CITY CORP COM 635405103 336 6400 SH SOLE 6400 0 0
NATIONAL COMM BANCORP COM 635449101 429 19500 SH SOLE 19500 0 0
NATIONAL COMPUTER SYS INC COM 635519101 229 8600 SH SOLE 8600 0 0
NATIONAL FUEL GAS CO N J COM 636180101 986 23500 SH SOLE 23500 0 0
NATIONAL GOLF PPTYS INC COM 63623G109 1560 44900 SH SOLE 44900 0 0
NATIONAL INSTRS CORP COM 636518102 444 12600 SH SOLE 12600 0 0
NATIONAL SEMICONDUCTOR CORP COM 637640103 401 13100 SH SOLE 13100 0 0
NATIONAL STL CORP CL B 637844309 1177 70000 SH SOLE 70000 0 0
NATIONAL SVC INDS INC COM 637657107 399 8200 SH SOLE 8200 0 0
NATIONSBANK CORP COM 638585109 2369 36700 SH SOLE 36700 0 0
NAVISTAR INTL CORP PFD G CV $6.00 638901405 1461 23900 SH SOLE 23900 0 0
NAVISTAR INTL CORP NEW COM 63934E108 1428 82800 SH SOLE 82800 0 0
NBTY INC COM 628782104 585 20900 SH SOLE 20900 0 0
NCH CORP COM 628850109 569 9100 SH SOLE 9100 0 0
NEIMAN MARCUS GROUP INC COM 640204103 1250 47600 SH SOLE 47600 0 0
NELLCOR PURITAN BENNET INC COM 640275103 1102 60800 SH SOLE 60800 0 0
NETWORK APPLIANCE INC COM 64120L104 258 6800 SH SOLE 6800 0 0
NEVADA POWER CO COM 641423108 514 24200 SH SOLE 24200 0 0
NEW PLAN RLTY TR SH BEN INT 648059103 2658 120500 SH SOLE 120500 0 0
NEW YORK ST ELEC & GAS CORP COM 649840105 2764 132400 SH SOLE 132400 0 0
NEWBRIDGE NETWORKS CORP COM 650901101 8700 275900 SH SOLE 275900 0 0
NEWELL CO COM 651192106 8459 212800 SH SOLE 212800 0 0
NEWFIELD EXPL CO COM 651290108 496 24800 SH SOLE 24800 0 0
NEWS CORP LTD ADR NEW 652487703 481 25000 SH SOLE 25000 0 0
NGC CORP COM 629121104 383 24700 SH SOLE 24700 0 0
NIAGARA MOHAWK PWR CORP COM 653522102 3900 455500 SH SOLE 455500 0 0
NIKE INC CL B 654106103 13245 226900 SH SOLE 226900 0 0
NINE WEST GROUP INC COM 65440D102 355 9300 SH SOLE 9300 0 0
NIPSCO INDS INC COM 629140104 4722 114300 SH SOLE 114300 0 0
NOBLE AFFILIATES INC COM 654894104 2008 51900 SH SOLE 51900 0 0
NOBLE DRILLING CORP COM 655042109 3692 164100 SH SOLE 164100 0 0
NORAM ENERGY CORP COM 655419109 3320 217700 SH SOLE 217700 0 0
NORDSON CORP COM 655663102 720 11200 SH SOLE 11200 0 0
NORRELL CORP GA COM 656301108 716 21700 SH SOLE 21700 0 0
<PAGE> PAGE 20
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
NORTEK INC COM 656559101 1175 48700 SH SOLE 48700 0 0
NORTH AMERN MTG CO COM 657037107 881 37200 SH SOLE 37200 0 0
NORTHEAST UTILS COM 664397106 1420 149500 SH SOLE 149500 0 0
NORTHN STS PWR CO MINN COM 665772109 4994 96500 SH SOLE 96500 0 0
NORTHROP GRUMMAN CORP COM 666807102 501 5700 SH SOLE 5700 0 0
NORWEST CORP COM 669380107 838 14900 SH SOLE 14900 0 0
NOVA CORP ALTA COM 669943102 5928 962200 SH SOLE 962200 0 0
NOVACARE CORP COM 669930109 2225 158900 SH SOLE 158900 0 0
NOVELL INC COM 670006105 302 43500 SH SOLE 43500 0 0
NOVELLUS SYS INC COM 670008101 1842 21300 SH SOLE 21300 0 0
NPC INTERNATIONAL INC COM 629360306 341 29300 SH SOLE 29300 0 0
NUI CORP COM 629430109 258 11500 SH SOLE 11500 0 0
NUMAC ENERGY INC COM 67052A103 449 141600 SH SOLE 141600 0 0
NYNEX CORP COM 670768100 16129 280200 SH SOLE 280200 0 0
O'SULLIVAN INDS HLDGS INC COM 688609106 424 25600 SH SOLE 25600 0 0
OAK TECHNOLOGY INC COM 671802106 639 65500 SH SOLE 65500 0 0
OAKLEY INC COM 673662102 1233 87700 SH SOLE 87700 0 0
OASIS RESIDENTIAL INC COM 674216106 1083 46100 SH SOLE 46100 0 0
OCCIDENTAL PETE CORP DEL COM 674599105 5945 237200 SH SOLE 237200 0 0
OCTEL COMMUNICATIONS CORP COM 675724108 562 24000 SH SOLE 24000 0 0
OFFICE DEPOT INC COM 676220106 292 15000 SH SOLE 15000 0 0
OFFICEMAX INC COM 67622M108 881 61000 SH SOLE 61000 0 0
OFFSHORE LOGISTICS INC COM 676255102 221 11700 SH SOLE 11700 0 0
OGDEN CORP COM 676346109 1657 76200 SH SOLE 76200 0 0
OHIO CAS CORP COM 677240103 1993 45300 SH SOLE 45300 0 0
OHIO EDISON CO COM 677347106 1849 85002 SH SOLE 85002 0 0
OLD KENT FINL CORP COM 679833103 743 13755 SH SOLE 13755 0 0
OLD REP INTL CORP COM 680223104 4656 153600 SH SOLE 153600 0 0
OLIN CORP COM PAR $1 680665205 496 12700 SH SOLE 12700 0 0
OLSTEN CORP COM 681385100 914 47000 SH SOLE 47000 0 0
ONBANCORP INC COM 682303102 719 14100 SH SOLE 14100 0 0
ONE VALLEY BANCORP INC COM 682419106 592 14100 SH SOLE 14100 0 0
ONEIDA LTD COM 682505102 705 26400 SH SOLE 26400 0 0
ONEOK INC COM 682678107 811 25200 SH SOLE 25200 0 0
ORACLE CORP COM 68389X105 6090 120900 SH SOLE 120900 0 0
ORANGE & ROCKLAND UTILS INC COM 684065105 353 10500 SH SOLE 10500 0 0
OREGON METALLURGICAL CORP COM 685899106 520 18500 SH SOLE 18500 0 0
OREGON STL MLS INC COM 686079104 648 32500 SH SOLE 32500 0 0
ORION CAP CORP COM 686268103 2360 32000 SH SOLE 32000 0 0
ORTHODONTIC CTRS AMER INC COM 68750P103 306 16800 SH SOLE 16800 0 0
ORYX ENERGY COMPANY COM 68763F100 2315 109600 SH SOLE 109600 0 0
OSHKOSH B GOSH INC CL A 688222207 655 30100 SH SOLE 30100 0 0
OUTBACK STEAKHOUSE INC COM 689899102 443 18300 SH SOLE 18300 0 0
OUTBOARD MARINE CORP COM 690020102 607 34200 SH SOLE 34200 0 0
OWENS CORNING COM 69073F103 2911 67500 SH SOLE 67500 0 0
OWENS ILL INC COM NEW 690768403 5010 161600 SH SOLE 161600 0 0
OXFORD INDS INC COM 691497309 287 10100 SH SOLE 10100 0 0
P P & L RES INC COM 693499105 2424 121600 SH SOLE 121600 0 0
P-COM INC COM 693262107 373 11300 SH SOLE 11300 0 0
PACCAR INC COM 693718108 1068 23000 SH SOLE 23000 0 0
<PAGE> PAGE 21
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
PACIFIC CENTY FINL CORP COM 694058108 2165 46800 SH SOLE 46800 0 0
PACIFIC GULF PPTYS INC COM 694396102 1243 56500 SH SOLE 56500 0 0
PACIFICARE HEALTH SYS DEL CL B 695112201 224 3500 SH SOLE 3500 0 0
PACIFICORP COM 695114108 12254 557000 SH SOLE 557000 0 0
PAINE WEBBER GROUP INC COM 695629105 4295 122700 SH SOLE 122700 0 0
PAIRGAIN TECHNOLOGIES INC COM 695934109 295 19000 SH SOLE 19000 0 0
PARKER & PARSLEY PETE CO COM 701018103 1203 34000 SH SOLE 34000 0 0
PARKWAY PPTYS INC COM 70159Q104 419 15600 SH SOLE 15600 0 0
PATRIOT AMERN HOSPITALITY INC COM 703353102 8186 321000 SH SOLE 321000 0 0
PATTERSON DENTAL CO COM 703412106 285 8300 SH SOLE 8300 0 0
PAYCHEX INC COM 704326107 211 5550 SH SOLE 5550 0 0
PECO ENERGY CO COM 693304107 365 17400 SH SOLE 17400 0 0
PEGASUS GOLD INC COM 70556K106 151 32000 SH SOLE 32000 0 0
PENN VA CORP COM 707882106 764 15600 SH SOLE 15600 0 0
PENNCORP FINL GROUP INC COM 708094107 970 25200 SH SOLE 25200 0 0
PENNEY J C INC COM 708160106 17577 336801 SH SOLE 336801 0 0
PENNSYLVANIA RL ESTATE INVT TR SH BEN INT 709102107 429 19100 SH SOLE 19100 0 0
PENNZOIL CO COM 709903108 6296 82300 SH SOLE 82300 0 0
PENTAIR INC COM 709631105 549 16700 SH SOLE 16700 0 0
PEOPLES BK BRIDGEPORT CONN COM 710198102 713 27550 SH SOLE 27550 0 0
PEOPLES ENERGY CORP COM 711030106 558 14900 SH SOLE 14900 0 0
PEPSICO INC COM 713448108 1356 36100 SH SOLE 36100 0 0
PERKIN ELMER CORP COM 714041100 422 5300 SH SOLE 5300 0 0
PERRIGO CO COM 714290103 854 68300 SH SOLE 68300 0 0
PETROLITE CORP COM 716723101 452 7300 SH SOLE 7300 0 0
PFEIFFER VACUUM TECH AG SPONSORED ADR 717067102 8068 277000 SH SOLE 277000 0 0
PFIZER INC COM 717081103 9913 82956 SH SOLE 82956 0 0
PG&E CORP COM 69331C108 5451 224800 SH SOLE 224800 0 0
PHARMACIA & UPJOHN INC COM 716941109 21989 632765 SH SOLE 632765 0 0
PHELPS DODGE CORP COM 717265102 7232 84900 SH SOLE 84900 0 0
PHILIP MORRIS COS INC COM 718154107 55896 1263184 SH SOLE 1263184 0 0
PHILIPS ELECTRS N V NEW YORK SHS 718337504 12528 174300 SH SOLE 174300 0 0
PHILLIPS PETE CO COM 718507106 23769 543300 SH SOLE 543300 0 0
PHILLIPS VAN HEUSEN CORP COM 718592108 564 37600 SH SOLE 37600 0 0
PIER 1 IMPORTS INC COM 720279108 1163 43900 SH SOLE 43900 0 0
PILGRIMS PRIDE CORP COM 721467108 488 41300 SH SOLE 41300 0 0
PINNACLE WEST CAP CORP COM 723484101 691 23000 SH SOLE 23000 0 0
PIONEER STD ELECTRS INC COM 723877106 1018 75400 SH SOLE 75400 0 0
PIPER JAFFRAY COS INC COM 724081104 748 36500 SH SOLE 36500 0 0
PITNEY BOWES INC COM 724479100 4677 67300 SH SOLE 67300 0 0
PITTSTON CO COM BRINKS GRP 725701106 204 6800 SH SOLE 6800 0 0
PITTWAY CORP DEL CL A 725790208 299 6000 SH SOLE 6000 0 0
PLATINUM SOFTWARE CORP COM 72764R105 105 10100 SH SOLE 10100 0 0
PLAYBOY ENTERPRISES INC CL B 728117300 129 11200 SH SOLE 11200 0 0
PLAYTEX PRODS INC COM 72813P100 172 18300 SH SOLE 18300 0 0
PMI GROUP INC COM 69344M101 474 7600 SH SOLE 7600 0 0
PNC BK CORP COM 693475105 32711 783500 SH SOLE 783500 0 0
POGO PRODUCING CO COM 730448107 499 12900 SH SOLE 12900 0 0
POHANG IRON & STL LTD SPONSORED ADR 730450103 582 18200 SH SOLE 18200 0 0
POLAROID CORP COM 731095105 519 9359 SH SOLE 9359 0 0
<PAGE> PAGE 22
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
POOL ENERGY SVCS CO COM 732788104 183 10100 SH SOLE 10100 0 0
POPULAR INC COM 733174106 3513 87000 SH SOLE 87000 0 0
PORTLAND GEN CORP COM 736506106 1981 49600 SH SOLE 49600 0 0
PORTUGAL TELECOM S A SPONSORED ADR 737273102 3226 80400 SH SOLE 80400 0 0
POST PPTYS INC COM 737464107 2377 58600 SH SOLE 58600 0 0
POTASH CORP SASK INC COM 73755L107 1088 20001 SH SOLE 20001 0 0
POTLATCH CORP COM 737628107 3575 79000 SH SOLE 79000 0 0
POTOMAC ELEC PWR CO COM 737679100 4172 180400 SH SOLE 180400 0 0
PPG INDS INC COM 693506107 384 6600 SH SOLE 6600 0 0
PRAXAIR INC COM 74005P104 358 6400 SH SOLE 6400 0 0
PRECISION CASTPARTS CORP COM 740189105 686 11500 SH SOLE 11500 0 0
PREMARK INTL INC COM 740459102 2750 102800 SH SOLE 102800 0 0
PREMIERE TECHNOLOGIES INC COM 74058F102 312 12000 SH SOLE 12000 0 0
PRENTISS PPTYS TR SH BEN INT 740706106 1986 77500 SH SOLE 77500 0 0
PRESIDENTIAL LIFE CORP COM 740884101 1071 55300 SH SOLE 55300 0 0
PRICE REIT INC COM 74147T105 1360 37400 SH SOLE 37400 0 0
PRICE T ROWE & ASSOCIATES COM 741477103 1828 35400 SH SOLE 35400 0 0
PROCTER & GAMBLE CO COM 742718109 47333 335100 SH SOLE 335100 0 0
PROFFITTS INC COM 742925100 737 16800 SH SOLE 16800 0 0
PROGRESSIVE CORP OHIO COM 743315103 7273 83600 SH SOLE 83600 0 0
PROMUS HOTEL CORP COM 74342H104 934 24100 SH SOLE 24100 0 0
PROTECTIVE LIFE CORP COM 743674103 2271 45200 SH SOLE 45200 0 0
PROVIDENT COS INC COM 743862104 5451 101882 SH SOLE 101882 0 0
PROVIDENT FINL GROUP INC COM 743866105 1535 35900 SH SOLE 35900 0 0
PROVIDIAN FINL CORP COM 74406A102 10559 328700 SH SOLE 328700 0 0
PSINET INC COM 74437C101 119 15800 SH SOLE 15800 0 0
PUBLIC SERVICE CO COLO COM 744448101 3857 92800 SH SOLE 92800 0 0
PUBLIC STORAGE INC COM 74460D109 17448 596500 SH SOLE 596500 0 0
PUBLIC SVC CO N MEX COM 744499104 1677 93800 SH SOLE 93800 0 0
PUBLIC SVC ENTERPRISE GROUP COM 744573106 1523 60900 SH SOLE 60900 0 0
PUGET SOUND ENERGY INC COM 745332106 684 25800 SH SOLE 25800 0 0
PULITZER PUBG CO COM 745771105 1731 32667 SH SOLE 32667 0 0
PULTE CORP COM 745867101 1006 29100 SH SOLE 29100 0 0
QLT PHOTOTHERAPEUTICS INC COM 746927102 204 13400 SH SOLE 13400 0 0
QUAKER ST CORP COM 747410108 343 22500 SH SOLE 22500 0 0
QUALITY FOOD CTRS INC COM 747565109 931 24500 SH SOLE 24500 0 0
QUANEX CORP COM 747620102 706 23000 SH SOLE 23000 0 0
QUANTUM CORP COM 747906105 3735 183900 SH SOLE 183900 0 0
QUESTAR CORP COM 748356102 468 11600 SH SOLE 11600 0 0
QUICK & REILLY GROUP DEL COM 748376100 1611 69303 SH SOLE 69303 0 0
QUINTILES TRANSNATIONAL CORP COM 748767100 710 10200 SH SOLE 10200 0 0
QUORUM HEALTH GROUP INC COM 749084109 361 10100 SH SOLE 10100 0 0
R O C TAIWAN FD SH BEN INT 749651105 4328 370300 SH SOLE 370300 0 0
RAMCO-GERSHENSON PPTYS TR SH BEN INT 751452103 275 15600 SH SOLE 15600 0 0
RANGER OIL LTD COM 752805101 453 67100 SH SOLE 67100 0 0
RAYMOND JAMES FINANCIAL INC COM 754730109 2745 100275 SH SOLE 100275 0 0
RAYONIER INC COM 754907103 1500 35650 SH SOLE 35650 0 0
RAYTHEON CO COM 755111101 29422 576900 SH SOLE 576900 0 0
RCSB FINL INC COM 749371100 407 8500 SH SOLE 8500 0 0
READ-RITE CORP COM 755246105 2035 97500 SH SOLE 97500 0 0
<PAGE> PAGE 23
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
READING & BATES CORP COM NEW 755281805 377 14100 SH SOLE 14100 0 0
REALTY INCOME CORP COM 756109104 2095 79800 SH SOLE 79800 0 0
RECKSON ASSOCS RLTY CORP COM 75621K106 3733 162300 SH SOLE 162300 0 0
REEBOK INTL LTD COM 758110100 11523 245500 SH SOLE 245500 0 0
REGENCY RLTY CORP COM 758939102 1177 43200 SH SOLE 43200 0 0
REINSURANCE GROUP AMER INC COM 759351109 673 11700 SH SOLE 11700 0 0
RELIANCE GROUP HOLDINGS INC COM 759464100 3633 305900 SH SOLE 305900 0 0
RELIASTAR FINL CORP COM 75952U103 10635 145439 SH SOLE 145439 0 0
REMEDY CORP COM 759548100 808 20200 SH SOLE 20200 0 0
REPAP ENTERPRISES INC COM 76026M309 54 159300 SH SOLE 159300 0 0
REPUBLIC N Y CORP COM 760719104 1086 10100 SH SOLE 10100 0 0
REXALL SUNDOWN INC COM 761648104 538 13800 SH SOLE 13800 0 0
REXEL INC COM 761680107 350 18900 SH SOLE 18900 0 0
REYNOLDS METALS CO COM 761763101 1518 21300 SH SOLE 21300 0 0
RFS HOTEL INVS INC COM 74955J108 2469 136200 SH SOLE 136200 0 0
RHONE POULENC RORER INC COM 76242T104 327 3600 SH SOLE 3600 0 0
RICHFOOD HLDGS INC COM 763408101 900 34600 SH SOLE 34600 0 0
RIGGS NATL CORP WASH DC COM 766570105 392 19000 SH SOLE 19000 0 0
RIGHTCHOICE MANAGED CARE INC CL A 76657K101 450 33200 SH SOLE 33200 0 0
RIO ALGOM LTD COM 766889109 483 27600 SH SOLE 27600 0 0
RITE AID CORP COM 767754104 9177 184000 SH SOLE 184000 0 0
RJR NABISCO HOLDINGS CORP COM NEW 74960K876 6379 193300 SH SOLE 193300 0 0
RLI CORP COM 749607107 1059 29075 SH SOLE 29075 0 0
ROBBINS & MYERS INC COM 770196103 374 11500 SH SOLE 11500 0 0
ROBERT HALF INTL INC COM 770323103 1219 25900 SH SOLE 25900 0 0
ROCHESTER GAS & ELEC CORP COM 771367109 1188 56400 SH SOLE 56400 0 0
ROCK-TENN CO CL A 772739207 921 53200 SH SOLE 53200 0 0
ROCKWELL INTL CORP NEW COM 773903109 918 15500 SH SOLE 15500 0 0
ROGERS CANTEL MOBILE COMMN CL B RSTRG VTG 775102205 1811 131900 SH SOLE 131900 0 0
ROGERS COMMUNICATIONS INC CL B 775109200 62 13800 SH SOLE 13800 0 0
ROLLINS INC COM 775711104 1147 57000 SH SOLE 57000 0 0
ROLLINS TRUCK LEASING CORP COM 775741101 516 34700 SH SOLE 34700 0 0
ROSS STORES INC COM 778296103 4753 145400 SH SOLE 145400 0 0
ROUGE STL CO CL A 779099100 469 27800 SH SOLE 27800 0 0
ROWAN COS INC COM 779382100 1113 39500 SH SOLE 39500 0 0
ROYAL OAK MINES INC COM 78051D105 358 208000 SH SOLE 208000 0 0
RUBY TUESDAY INC COM 781182100 444 19800 SH SOLE 19800 0 0
RUDDICK CORP COM 781258108 809 49000 SH SOLE 49000 0 0
RUSS BERRIE & CO COM 782233100 386 17600 SH SOLE 17600 0 0
RUSSELL CORP COM 782352108 1022 34500 SH SOLE 34500 0 0
RYANS FAMILY STEAK HOUSE INC COM 783519101 645 75300 SH SOLE 75300 0 0
RYDER SYS INC COM 783549108 3211 97300 SH SOLE 97300 0 0
RYKOFF-SEXTON INC COM 783759103 671 28800 SH SOLE 28800 0 0
RYLAND GROUP INC COM 783764103 1168 82700 SH SOLE 82700 0 0
SABRE GROUP HLDGS INC CL A 785905100 317 11700 SH SOLE 11700 0 0
SAFECO CORP COM 786429100 13577 290800 SH SOLE 290800 0 0
SAFESKIN CORP COM 786454108 462 15700 SH SOLE 15700 0 0
SAFETY KLEEN CORP COM 786484105 2282 135200 SH SOLE 135200 0 0
SAFEWAY INC COM NEW 786514208 16206 351350 SH SOLE 351350 0 0
SALOMON INC COM 79549B107 17705 318300 SH SOLE 318300 0 0
<PAGE> PAGE 24
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
SANMINA CORP COM 800907107 641 10100 SH SOLE 10100 0 0
SANTA FE ENERGY RES INC COM 802012104 1295 88200 SH SOLE 88200 0 0
SARA LEE CORP COM 803111103 33417 802800 SH SOLE 802800 0 0
SAUL CTRS INC COM 804395101 398 23100 SH SOLE 23100 0 0
SAVANNAH FOODS & INDS INC COM 804795102 206 11600 SH SOLE 11600 0 0
SBARRO INC COM 805844107 405 14600 SH SOLE 14600 0 0
SBC COMMUNICATIONS INC COM 78387G103 3320 53659 SH SOLE 53659 0 0
SCANA CORP COM 805898103 3198 128900 SH SOLE 128900 0 0
SCHERING PLOUGH CORP COM 806605101 20040 418600 SH SOLE 418600 0 0
SCHLUMBERGER LTD COM 806857108 20475 163800 SH SOLE 163800 0 0
SCHWAB CHARLES CORP NEW COM 808513105 397 9800 SH SOLE 9800 0 0
SCI SYS INC COM 783890106 1556 24400 SH SOLE 24400 0 0
SCOTTS CO CL A 810186106 209 7200 SH SOLE 7200 0 0
SEABOARD CORP COM 811543107 422 1600 SH SOLE 1600 0 0
SEAGATE TECHNOLOGY COM 811804103 12249 347500 SH SOLE 347500 0 0
SEAGRAM LTD COM 811850106 17596 529000 SH SOLE 529000 0 0
SEAGULL ENERGY CORP COM 812007102 621 35500 SH SOLE 35500 0 0
SEALED AIR CORP COM 812115103 238 5000 SH SOLE 5000 0 0
SECURITY CAP ATLANTIC INC COM 814137105 878 36700 SH SOLE 36700 0 0
SECURITY CAP CORP WIS COM 814133104 851 9000 SH SOLE 9000 0 0
SECURITY CAP PAC TR SH BEN INT 814141107 9461 413600 SH SOLE 413600 0 0
SEI INVESTMENTS CO COM 784117103 275 11400 SH SOLE 11400 0 0
SELECTIVE INS GROUP INC COM 816300107 1075 22200 SH SOLE 22200 0 0
SEMI-TECH CORP CL A SUB VTG 81662E108 5453 3408100 SH SOLE 3408100 0 0
SENSORMATIC ELECTRS CORP COM 817265101 250 19400 SH SOLE 19400 0 0
SEQUA CORPORATION CL A 817320104 739 13100 SH SOLE 13100 0 0
SEQUENT COMPUTER SYS INC COM 817338106 558 26500 SH SOLE 26500 0 0
SERVICE MERCHANDISE INC COM 817587108 446 148500 SH SOLE 148500 0 0
SERVICEMASTER LTD PARTNERSHIP PUB PARTNER SH 817615107 309 13450 SH SOLE 13450 0 0
SHAW INDS INC COM 820286102 549 51700 SH SOLE 51700 0 0
SHERWIN WILLIAMS CO COM 824348106 670 21700 SH SOLE 21700 0 0
SHOPKO STORES INC COM 824911101 1148 45000 SH SOLE 45000 0 0
SHOREWOOD PACKAGING CORP COM 825229107 410 18000 SH SOLE 18000 0 0
SHOWBIZ PIZZA TIME COM NEW 825388309 942 35700 SH SOLE 35700 0 0
SHURGARD STORAGE CTRS INC COM 82567D104 3083 110100 SH SOLE 110100 0 0
SIERRA HEALTH SVCS INC COM 826322109 553 17700 SH SOLE 17700 0 0
SIERRA PAC RES COM 826425100 906 28300 SH SOLE 28300 0 0
SIGNET BKG CORP COM 826681108 1721 47800 SH SOLE 47800 0 0
SILICON GRAPHICS INC COM 827056102 425 28300 SH SOLE 28300 0 0
SILICON VY GROUP INC COM 827066101 699 26500 SH SOLE 26500 0 0
SIMON DEBARTOLO GROUP INC COM 828781104 15786 493300 SH SOLE 493300 0 0
SMITH A O COM 831865209 900 25300 SH SOLE 25300 0 0
SMITH CHARLES E RESDNTL RLTY COM 832197107 750 26100 SH SOLE 26100 0 0
SMITH INTL INC COM 832110100 1561 25700 SH SOLE 25700 0 0
SMITHFIELD FOODS INC COM 832248108 3112 50600 SH SOLE 50600 0 0
SMITHS FOOD & DRUG CTRS INC CL B 832388102 1843 34365 SH SOLE 34365 0 0
SNYDER OIL CORP COM 833482102 314 17100 SH SOLE 17100 0 0
SOCIEDAD QUIMICA MINERA DE CHI SPON ADR SER B 833635105 3238 48970 SH SOLE 48970 0 0
SOFAMOR/DANEK GROUP INC COM 834005100 2265 49500 SH SOLE 49500 0 0
SOLECTRON CORP COM 834182107 539 7700 SH SOLE 7700 0 0
<PAGE> PAGE 25
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
SONAT INC COM 835415100 12720 247600 SH SOLE 247600 0 0
SONOCO PRODS CO COM 835495102 2946 96800 SH SOLE 96800 0 0
SOUTHDOWN INC COM 841297104 1274 29200 SH SOLE 29200 0 0
SOUTHERN CO COM 842587107 38983 1782100 SH SOLE 1782100 0 0
SOUTHLAND CORP COM NEW 844436402 838 250600 SH SOLE 250600 0 0
SOUTHWEST GAS CORP COM 844895102 598 30100 SH SOLE 30100 0 0
SOVEREIGN BANCORP INC COM 845905108 814 53380 SH SOLE 53380 0 0
SOVRAN SELF STORAGE INC COM 84610H108 1389 47500 SH SOLE 47500 0 0
SPACELABS MED INC COM 846247104 1298 50900 SH SOLE 50900 0 0
SPELLING ENTMT GROUP INC COM 847807104 355 51700 SH SOLE 51700 0 0
SPIEGEL INC CL A 848457107 542 78800 SH SOLE 78800 0 0
SPIEKER PPTYS INC COM 848497103 10035 285200 SH SOLE 285200 0 0
SPRINGS INDS INC CL A 851783100 1625 30800 SH SOLE 30800 0 0
SPRINT CORP COM 852061100 54053 1034500 SH SOLE 1034500 0 0
SPX CORP COM 784635104 2178 33600 SH SOLE 33600 0 0
ST PAUL BANCORP INC COM 792848103 930 28075 SH SOLE 28075 0 0
ST PAUL COS INC COM 792860108 24446 320600 SH SOLE 320600 0 0
STANDARD PAC CORP NEW COM 85375C101 1574 153600 SH SOLE 153600 0 0
STANDARD REGISTER CO COM 853887107 677 22100 SH SOLE 22100 0 0
STANDEX INTL CORP COM 854231107 654 21800 SH SOLE 21800 0 0
STANHOME INC COM VTG 854425105 1460 44400 SH SOLE 44400 0 0
STARRETT L S CO CL A 855668109 893 28000 SH SOLE 28000 0 0
STARWOOD LODGING TR COMBND CTF NEW 855905204 12580 294700 SH SOLE 294700 0 0
STATE STR CORP COM 857477103 1147 24800 SH SOLE 24800 0 0
STEIN MART INC COM 858375108 318 10600 SH SOLE 10600 0 0
STEPAN CO COM 858586100 650 26400 SH SOLE 26400 0 0
STERLING SOFTWARE INC COM 859547101 1006 32200 SH SOLE 32200 0 0
STEWART & STEVENSON SVCS INC COM 860342104 1264 48600 SH SOLE 48600 0 0
STONE & WEBSTER INC COM 861572105 346 8100 SH SOLE 8100 0 0
STONE CONTAINER CORP COM 861589109 1477 103200 SH SOLE 103200 0 0
STORAGE TECHNOLOGY CORP COM PAR $0.10 862111200 22201 491999 SH SOLE 491999 0 0
STORAGE TR RLTY SH BEN INT 861909109 1386 52300 SH SOLE 52300 0 0
STORAGE USA INC COM 861907103 5263 137600 SH SOLE 137600 0 0
STRATUS COMPUTER INC COM 863155107 2065 41300 SH SOLE 41300 0 0
STRIDE RITE CORP COM 863314100 236 18300 SH SOLE 18300 0 0
STUDENT LN CORP COM 863902102 522 12300 SH SOLE 12300 0 0
STUDENT LOAN MARKETING ASSN COM NEW VTG 863871505 7049 55500 SH SOLE 55500 0 0
SUMMIT BANCORP COM 866005101 7228 144200 SH SOLE 144200 0 0
SUMMIT PPTYS INC COM 866239106 4131 200300 SH SOLE 200300 0 0
SUN COMMUNITIES INC COM 866674104 1675 49900 SH SOLE 49900 0 0
SUN HEALTHCARE GROUP INC COM 866933104 1036 49800 SH SOLE 49800 0 0
SUNAMERICA INC COM 866930100 3651 74900 SH SOLE 74900 0 0
SUNBEAM CORP COM 867071102 5013 131500 SH SOLE 131500 0 0
SUNCOR ENERGY INC COM 867229106 2050 105500 SH SOLE 105500 0 0
SUNRISE MED INC COM 867910101 787 52000 SH SOLE 52000 0 0
SUNSTONE HOTEL INVS INC COM 867933103 1412 97400 SH SOLE 97400 0 0
SUNTRUST BKS INC COM 867914103 1399 25400 SH SOLE 25400 0 0
SUPERIOR INDS INTL INC COM 868168105 649 24500 SH SOLE 24500 0 0
SUPERVALU INC COM 868536103 9060 262600 SH SOLE 262600 0 0
SWIFT TRANSN CO COM 870756103 342 11600 SH SOLE 11600 0 0
<PAGE> PAGE 26
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
SYBRON INTL CORP COM 87114F106 578 14500 SH SOLE 14500 0 0
SYMANTEC CORP COM 871503108 612 31400 SH SOLE 31400 0 0
SYNETIC INC COM 87160F109 248 6700 SH SOLE 6700 0 0
SYNOVUS FINL CORP COM 87161C105 3782 137200 SH SOLE 137200 0 0
TANDEM COMPUTERS INC COM 875370108 13355 659500 SH SOLE 659500 0 0
TANDY CORP COM 875382103 403 7200 SH SOLE 7200 0 0
TAUBMAN CTRS INC COM 876664103 2653 200200 SH SOLE 200200 0 0
TECH DATA CORP COM 878237106 2612 83100 SH SOLE 83100 0 0
TECH SYM CORP COM 878308105 491 14700 SH SOLE 14700 0 0
TECO ENERGY INC COM 872375100 4338 169700 SH SOLE 169700 0 0
TECUMSEH PRODS CO CL B 878895101 2221 39400 SH SOLE 39400 0 0
TEKELEC COM 879101103 417 11800 SH SOLE 11800 0 0
TEKTRONIX INC COM 879131100 834 13900 SH SOLE 13900 0 0
TELE COMMUNICATIONS INC NEW COM TCI GRP A 87924V101 744 50000 SH SOLE 50000 0 0
TELECOMM ARGENTINA STET-FRANCE SPNS ADR REP B 879273209 2205 42000 SH SOLE 42000 0 0
TELEFLEX INC COM 879369106 506 16200 SH SOLE 16200 0 0
TELEFONICA DE ESPANA S A SPONSORED ADR 879382208 233 2700 SH SOLE 2700 0 0
TELEFONOS DE MEXICO S A SP ADR REP ORD 879403780 47616 994600 SH SOLE 994600 0 0
TELLABS INC COM 879664100 263 4700 SH SOLE 4700 0 0
TEMPLE INLAND INC COM 879868107 8392 155400 SH SOLE 155400 0 0
TENET HEALTHCARE CORP COM 88033G100 18507 627345 SH SOLE 627345 0 0
TENNECO INC NEW COM 88037E101 2259 50000 SH SOLE 50000 0 0
TERADYNE INC COM 880770102 4523 114500 SH SOLE 114500 0 0
TERRA INDS INC COM 880915103 1230 105800 SH SOLE 105800 0 0
TEXACO INC COM 881694103 47241 434400 SH SOLE 434400 0 0
TEXAS INDS INC COM 882491103 401 15100 SH SOLE 15100 0 0
TEXAS INSTRS INC COM 882508104 286 3400 SH SOLE 3400 0 0
TEXAS UTILS CO COM 882848104 23934 695000 SH SOLE 695000 0 0
TEXTRON INC COM 883203101 425 6400 SH SOLE 6400 0 0
THIOKOL CORP DEL COM 884103102 6797 97100 SH SOLE 97100 0 0
THOMAS & BETTS CORP COM 884315102 421 8001 SH SOLE 8001 0 0
TIFFANY & CO NEW COM 886547108 273 5900 SH SOLE 5900 0 0
TIG HLDGS INC COM 872469101 5213 166800 SH SOLE 166800 0 0
TIMBERLAND CO CL A 887100105 1122 17400 SH SOLE 17400 0 0
TIMKEN CO COM 887389104 2728 76700 SH SOLE 76700 0 0
TJ INTL INC COM 872534102 625 26600 SH SOLE 26600 0 0
TJX COS INC NEW COM 872540109 3379 128100 SH SOLE 128100 0 0
TNP ENTERPRISES INC COM 872594106 510 22000 SH SOLE 22000 0 0
TOLL BROTHERS INC COM 889478103 481 26200 SH SOLE 26200 0 0
TOOTSIE ROLL INDS INC COM 890516107 748 16805 SH SOLE 16805 0 0
TORCHMARK CORP COM 891027104 11446 160650 SH SOLE 160650 0 0
TORO CO COM 891092108 1117 29500 SH SOLE 29500 0 0
TOSCO CORP COM NEW 891490302 11089 370400 SH SOLE 370400 0 0
TOTAL PETE NORTH AMER LTD COM 891508103 371 51800 SH SOLE 51800 0 0
TOTAL RENAL CARE HLDGS INC COM 89151A107 414 10300 SH SOLE 10300 0 0
TOYS R US INC COM 892335100 5166 147600 SH SOLE 147600 0 0
TRANSAMERICA CORP COM 893485102 13380 143009 SH SOLE 143009 0 0
TRANSATLANTIC HLDGS INC COM 893521104 3861 38900 SH SOLE 38900 0 0
TRANSCANADA PIPELINES LTD COM 893526103 6261 419678 SH SOLE 419678 0 0
TRAVELERS GROUP INC COM 894190107 46369 735298 SH SOLE 735298 0 0
<PAGE> PAGE 27
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
TREDEGAR INDS INC COM 894650100 1468 26450 SH SOLE 26450 0 0
TRENWICK GROUP INC COM 895290104 332 8850 SH SOLE 8850 0 0
TRIARC COS INC CL A 895927101 454 22300 SH SOLE 22300 0 0
TRINET CORP RLTY TR INC COM 896287109 4526 136900 SH SOLE 136900 0 0
TRINITY INDS INC COM 896522109 2127 67000 SH SOLE 67000 0 0
TRITON ENERGY LTD ORD G90751101 316 6900 SH SOLE 6900 0 0
TRIZEC HAHN CORP SUB VTG 896938107 5236 279702 SH SOLE 279702 0 0
TRUSTMARK CORP COM 898402102 605 21600 SH SOLE 21600 0 0
TRW INC COM 872649108 11402 200700 SH SOLE 200700 0 0
TUCSON ELEC PWR CO COM NEW 898813704 639 44040 SH SOLE 44040 0 0
TULTEX CORP COM 899900104 355 57900 SH SOLE 57900 0 0
TVX GOLD INC COM 87308K101 97 25600 SH SOLE 25600 0 0
TYCO INTERNATIONAL LTD COM 902120104 18239 262200 SH SOLE 262200 0 0
TYSON FOODS INC CL A 902494103 470 24600 SH SOLE 24600 0 0
U S BANCORP ORE COM 911596104 5149 80300 SH SOLE 80300 0 0
U S G CORP COM NEW 903293405 1913 52400 SH SOLE 52400 0 0
U S INDS INC NEW COM 912080108 1464 41100 SH SOLE 41100 0 0
U S OFFICE PRODS CO COM 912325107 1186 38800 SH SOLE 38800 0 0
U S TR CORP NEW COM 91288L105 683 14500 SH SOLE 14500 0 0
U S WEST INC COM-COMMUNCTNS 912889102 12045 319600 SH SOLE 319600 0 0
U S WEST INC COM-MEDIA GRP 912889201 4579 226100 SH SOLE 226100 0 0
UAL CORP COM PAR $0.01 902549500 208 2900 SH SOLE 2900 0 0
UICI COM 902737105 251 8500 SH SOLE 8500 0 0
ULTRAMAR DIAMOND SHAMROCK CORP COM 904000106 2373 72742 SH SOLE 72742 0 0
ULTRATECH STEPPER INC COM 904034105 265 11600 SH SOLE 11600 0 0
UMB FINL CORP COM 902788108 660 15300 SH SOLE 15300 0 0
UNICOM CORP COM 904911104 3571 160500 SH SOLE 160500 0 0
UNIFI INC COM 904677101 1166 31200 SH SOLE 31200 0 0
UNILEVER N V NEW YORK SHS 904784501 52974 243000 SH SOLE 243000 0 0
UNION CARBIDE CORP COM 905581104 17027 361800 SH SOLE 361800 0 0
UNION PAC CORP COM 907818108 279 4000 SH SOLE 4000 0 0
UNION PLANTERS CORP COM 908068109 1105 21300 SH SOLE 21300 0 0
UNION TEX PETE HLDGS INC COM 908640105 3907 186600 SH SOLE 186600 0 0
UNIONBANCAL CORP COM 908906100 1121 15600 SH SOLE 15600 0 0
UNISYS CORP COM 909214108 1081 141800 SH SOLE 141800 0 0
UNIT CORP COM 909218109 129 12400 SH SOLE 12400 0 0
UNITED ASSET MGMT CORP COM 909420101 1169 41300 SH SOLE 41300 0 0
UNITED CAROLINA BANCSHARES CP COM 909796104 629 12100 SH SOLE 12100 0 0
UNITED COS FINL CORP COM 909870107 917 32900 SH SOLE 32900 0 0
UNITED DOMINION INDS LTD COM 909914103 2510 140984 SH SOLE 140984 0 0
UNITED DOMINION REALTY TR INC COM 910197102 4495 316838 SH SOLE 316838 0 0
UNITED HEALTHCARE CORP COM 910581107 208 4000 SH SOLE 4000 0 0
UNITED ILLUM CO COM 910637107 648 21000 SH SOLE 21000 0 0
UNITED STATES FILTER CORP NEW COM NEW 911843209 1452 53300 SH SOLE 53300 0 0
UNITED STATES SURGICAL CORP COM 912707106 7219 193800 SH SOLE 193800 0 0
UNITED TECHNOLOGIES CORP COM 913017109 7038 84800 SH SOLE 84800 0 0
UNITED VIDEO SATELLITE GROUP CL A 913155107 355 16900 SH SOLE 16900 0 0
UNITED WTR RES INC COM 913190104 456 23548 SH SOLE 23548 0 0
UNITRODE CORP COM 913283107 332 6600 SH SOLE 6600 0 0
UNIVERSAL CORP VA COM 913456109 1530 48200 SH SOLE 48200 0 0
<PAGE> PAGE 28
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
UNIVERSAL FOODS CORP COM 913538104 2529 66325 SH SOLE 66325 0 0
UNIVERSAL HLTH SVCS INC CL B 913903100 993 25800 SH SOLE 25800 0 0
UNOCAL CORP COM 915289102 25210 646400 SH SOLE 646400 0 0
URBAN SHOPPING CTRS INC COM 917060105 3478 109100 SH SOLE 109100 0 0
US AIRWAYS GROUP INC COM 911905107 5054 144400 SH SOLE 144400 0 0
US AIRWAYS GROUP INC PFD B CV DEPSH 911905305 2194 25000 SH SOLE 25000 0 0
USF&G CORP COM 903290104 314 13100 SH SOLE 13100 0 0
USFREIGHTWAYS CORP COM 916906100 611 23600 SH SOLE 23600 0 0
USX MARATHON GROUP COM NEW 902905827 27171 941000 SH SOLE 941000 0 0
USX-U S STL COM 90337T101 6398 182800 SH SOLE 182800 0 0
UTILICORP UTD INC COM 918005109 961 33000 SH SOLE 33000 0 0
V F CORP COM 918204108 16747 197600 SH SOLE 197600 0 0
VALASSIS COMMUNICATIONS INC COM 918866104 725 30200 SH SOLE 30200 0 0
VALERO ENERGY CORP COM 919138107 1388 38300 SH SOLE 38300 0 0
VALHI INC NEW COM 918905100 375 46200 SH SOLE 46200 0 0
VALSPAR CORP COM 920355104 284 9600 SH SOLE 9600 0 0
VALUE CITY DEPT STORES INC COM 920387107 392 48300 SH SOLE 48300 0 0
VALUE HEALTH INC COM 920393105 731 36100 SH SOLE 36100 0 0
VALUE LINE INC COM 920437100 580 13400 SH SOLE 13400 0 0
VANTIVE CORP COM 922091103 396 14000 SH SOLE 14000 0 0
VARCO INTL INC COM 922126107 845 26200 SH SOLE 26200 0 0
VARIAN ASSOC INC COM 922204102 770 14200 SH SOLE 14200 0 0
VENCOR INC COM 922602107 771 18248 SH SOLE 18248 0 0
VIAD CORP COM 92552R109 489 25400 SH SOLE 25400 0 0
VIASOFT INC COM 92552U102 355 7000 SH SOLE 7000 0 0
VINA CONCHA Y TORO S A SPONSORED ADR 927191106 2305 74500 SH SOLE 74500 0 0
VINTAGE PETE INC COM 927460105 529 17200 SH SOLE 17200 0 0
VISHAY INTERTECHNOLOGY INC COM 928298108 1354 46800 SH SOLE 46800 0 0
VISIO CORP COM 927914101 917 13000 SH SOLE 13000 0 0
VITESSE SEMICONDUCTOR CORP COM 928497106 598 18300 SH SOLE 18300 0 0
VITRO SOCIEDAD ANONIMA SPONSORED ADR 928502301 21171 1881900 SH SOLE 1881900 0 0
VIVUS INC COM 928551100 619 26000 SH SOLE 26000 0 0
VLSI TECHNOLOGY INC COM 918270109 1122 47500 SH SOLE 47500 0 0
VOLT INFORMATION SCIENCES INC COM 928703107 740 14650 SH SOLE 14650 0 0
VORNADO RLTY TR SH BEN INT 929042109 9859 136700 SH SOLE 136700 0 0
VULCAN MATLS CO COM 929160109 3956 50400 SH SOLE 50400 0 0
WABAN INC COM 929394104 1989 61800 SH SOLE 61800 0 0
WABASH NATL CORP COM 929566107 1522 54600 SH SOLE 54600 0 0
WACHOVIA CORP COM 929771103 1044 17900 SH SOLE 17900 0 0
WAL MART STORES INC COM 931142103 30444 900400 SH SOLE 900400 0 0
WALDEN RESIDENTIAL PPTYS INC COM 931210108 2875 112200 SH SOLE 112200 0 0
WALLACE COMPUTER SERVICES INC COM 932270101 3854 128200 SH SOLE 128200 0 0
WARNER LAMBERT CO COM 934488107 52309 421000 SH SOLE 421000 0 0
WASHINGTON FED INC COM 938824109 1320 51395 SH SOLE 51395 0 0
WASHINGTON GAS LT CO COM 938837101 530 21100 SH SOLE 21100 0 0
WASHINGTON MUT INC COM 939322103 2510 42000 SH SOLE 42000 0 0
WASHINGTON NATL CORP COM 939339107 390 13700 SH SOLE 13700 0 0
WASHINGTON POST CO CL B 939640108 362 900 SH SOLE 900 0 0
WASHINGTON REAL ESTATE INVT TR SH BEN INT 939653101 1779 100200 SH SOLE 100200 0 0
WASHINGTON WTR PWR CO COM 940688104 391 19900 SH SOLE 19900 0 0
<PAGE> PAGE 29
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
WASTE MGMT INC NEW COM 94106K101 7485 233000 SH SOLE 233000 0 0
WASTE MGMT INTL PLC SPONSORED ADR 940906100 1597 175000 SH SOLE 175000 0 0
WATKINS JOHNSON CO COM 942486101 308 10000 SH SOLE 10000 0 0
WATTS INDS INC CL A 942749102 1097 45700 SH SOLE 45700 0 0
WEBB DEL CORP COM 947423109 369 22700 SH SOLE 22700 0 0
WEEKS CORP COM 94856P102 3406 109000 SH SOLE 109000 0 0
WEINGARTEN RLTY INVS SH BEN INT 948741103 4593 108700 SH SOLE 108700 0 0
WEIS MKTS INC COM 948849104 653 22600 SH SOLE 22600 0 0
WELLMAN INC COM 949702104 1221 70300 SH SOLE 70300 0 0
WELLPOINT HEALTH NETWORK NEW COM 94973H108 2216 48300 SH SOLE 48300 0 0
WELLS FARGO & CO DEL COM 949740104 512 1900 SH SOLE 1900 0 0
WERNER ENTERPRISES INC COM 950755108 451 23300 SH SOLE 23300 0 0
WEST INC COM 953348109 243 8500 SH SOLE 8500 0 0
WESTCOAST ENERGY INC COM 95751D102 4694 337100 SH SOLE 337100 0 0
WESTERN DIGITAL CORP COM 958102105 7754 245200 SH SOLE 245200 0 0
WESTERN GAS RES INC COM 958259103 1277 65500 SH SOLE 65500 0 0
WESTERN INVT REAL ESTATE TR SH BEN INT 958468100 631 45500 SH SOLE 45500 0 0
WESTERN NATL CORP COM 958845109 721 26900 SH SOLE 26900 0 0
WESTERN RES INC COM 959425109 1048 32300 SH SOLE 32300 0 0
WESTINGHOUSE ELEC CORP COM 960402105 5781 250000 SH SOLE 250000 0 0
WESTPOINT STEVENS INC COM 961238102 1373 35100 SH SOLE 35100 0 0
WESTVACO CORP COM 961548104 7259 230900 SH SOLE 230900 0 0
WET SEAL INC CL A 961840105 770 24400 SH SOLE 24400 0 0
WEYERHAEUSER CO COM 962166104 681 13100 SH SOLE 13100 0 0
WHEELABRATOR TECH INC NEW COM PAR $0.01 962901302 7692 498300 SH SOLE 498300 0 0
WHITMAN CORP COM 96647K102 5665 236050 SH SOLE 236050 0 0
WILLAMETTE INDS INC COM 969133107 8680 124000 SH SOLE 124000 0 0
WILLIAMS COS INC DEL COM 969457100 1072 24500 SH SOLE 24500 0 0
WILLIAMS SONOMA INC COM 969904101 868 20300 SH SOLE 20300 0 0
WILMINGTON TRUST CORP COM 971807102 1290 28200 SH SOLE 28200 0 0
WINSTON HOTELS INC COM 97563A102 1179 78300 SH SOLE 78300 0 0
WISCONSIN ENERGY CORP COM 976657106 4134 166200 SH SOLE 166200 0 0
WOLVERINE WORLD WIDE INC COM 978097103 655 21550 SH SOLE 21550 0 0
WOOLWORTH CORP COM 980883102 559 23300 SH SOLE 23300 0 0
WPL HLDGS INC COM 929305100 514 18400 SH SOLE 18400 0 0
WRIGLEY WM JR CO COM 982526105 1447 21600 SH SOLE 21600 0 0
WYLE ELECTRONICS INC COM 983051103 431 10900 SH SOLE 10900 0 0
WYMAN GORDON CO COM 983085101 246 9100 SH SOLE 9100 0 0
XEROX CORP COM 984121103 29310 371600 SH SOLE 371600 0 0
XILINX INC COM 983919101 358 7300 SH SOLE 7300 0 0
XIRCOM INC COM 983922105 400 32200 SH SOLE 32200 0 0
XYLAN CORP COM 984151100 182 10700 SH SOLE 10700 0 0
YELLOW CORP COM 985509108 1658 74100 SH SOLE 74100 0 0
YPF SOCIEDAD ANONIMA SPON ADR CL D 984245100 39575 1287003 SH SOLE 1287003 0 0
ZALE CORP NEW COM 988858106 735 37100 SH SOLE 37100 0 0
ZEBRA TECHNOLOGIES CORP CL A 989207105 393 14100 SH SOLE 14100 0 0
ZEIGLER COAL HLDG CO COM 989286109 381 16300 SH SOLE 16300 0 0
ZENITH ELECTRS CORP COM 989349105 1326 111100 SH SOLE 111100 0 0
ZILOG INC COM 989524103 412 21700 SH SOLE 21700 0 0
ZURICH REINS CENTRE HLDGS INC COM 989822101 652 16500 SH SOLE 16500 0 0
<PAGE> PAGE 30
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
ZURN INDS INC COM 989824107 802 27900 SH SOLE 27900 0 0
REPORT SUMMARY 1401 DATA RECORDS 5811584 3 OTHER MANAGERS ON WHOSE BEHALF REPORT IS FILED
</TABLE>
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