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Previous: GMO TRUST, 24F-2NT, 1997-04-29 |
Next: GMO TRUST, 485APOS, 1997-04-29 |
<TABLE>
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<PAGE> PAGE 1
SECURITIES AND EXCHANGE COMMISSION
FORM 13F-E
Report for the Calendar Year or Quarter Ended: 03/31/97
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 492 28100 SH SOLE 28100 0 0
3COM CORP COM 885535104 1759 53700 SH SOLE 53700 0 0
3DO CO COM 88553W105 56 21400 SH SOLE 21400 0 0
A D C TELECOMMUNICATIONS COM 000886101 460 17100 SH SOLE 17100 0 0
ABBOTT LABS COM 002824100 91450 1629404 SH SOLE 1629404 0 0
ABITIBI PRICE INC COM 003680105 5311 504300 SH SOLE 504300 0 0
ACCUSTAFF INC COM 004401105 719 42900 SH SOLE 42900 0 0
ACUSON CORP COM 005113105 346 14800 SH SOLE 14800 0 0
ACX TECHNOLOGIES INC COM 005123104 984 51100 SH SOLE 51100 0 0
ACXIOM CORP COM 005125109 183 12700 SH SOLE 12700 0 0
ADAPTEC INC COM 00651F108 647 18100 SH SOLE 18100 0 0
ADVANCED MICRO DEVICES INC COM 007903107 11927 287400 SH SOLE 287400 0 0
ADVANTA CORP CL A 007942105 298 11100 SH SOLE 11100 0 0
AES CORP COM 00130H105 14571 260200 SH SOLE 260200 0 0
AETNA INC COM 008117103 713 8300 SH SOLE 8300 0 0
AFLAC INC COM 001055102 13189 351700 SH SOLE 351700 0 0
AGCO CORP COM 001084102 1492 54000 SH SOLE 54000 0 0
AGL RES INC COM 001204106 317 17000 SH SOLE 17000 0 0
AGOURON PHARMACEUTICALS INC COM 008488108 275 3900 SH SOLE 3900 0 0
AGRIUM INC COM 008916108 509 55161 SH SOLE 55161 0 0
AHMANSON H F & CO COM 008677106 13208 363100 SH SOLE 363100 0 0
AIR CDA INC CL A NON VTG 008911307 326 100000 SH SOLE 100000 0 0
AIR CDA INC SUB DB CONV 8%05 008911AB5 351 700000 SH SOLE 700000 0 0
AIR EXPRESS INTL CORP COM 009104100 422 13300 SH SOLE 13300 0 0
AIRBORNE FGHT CORP COM 009266107 672 22400 SH SOLE 22400 0 0
AJL PEPS TR PEPS EXCH AJL 009710104 4883 310000 SH SOLE 310000 0 0
AK STL HLDG CORP COM 001547108 1080 30000 SH SOLE 30000 0 0
ALASKA AIR GROUP INC COM 011659109 351 13700 SH SOLE 13700 0 0
ALBANK FINL CORP COM 012046108 426 11700 SH SOLE 11700 0 0
ALBEMARLE CORP COM 012653101 358 20000 SH SOLE 20000 0 0
ALBERTA ENERGY LTD COM 012873105 2975 198053 SH SOLE 198053 0 0
ALBERTO CULVER CO CL B CONV 013068101 1280 49000 SH SOLE 49000 0 0
ALBERTSONS INC COM 013104104 24028 706700 SH SOLE 706700 0 0
ALCAN ALUMINIUM LTD NEW COM 013716105 1264 37300 SH SOLE 37300 0 0
ALEX BROWN INC COM 013902101 1330 31300 SH SOLE 31300 0 0
ALEXANDER & BALDWIN INC COM 014482103 225 8700 SH SOLE 8700 0 0
ALLEGHANY CORP DEL COM 017175100 1015 4869 SH SOLE 4869 0 0
ALLEGHENY PWR SYS INC COM 017411109 7614 257000 SH SOLE 257000 0 0
ALLEGHENY TELEDYNE INC COM 017415100 6050 215100 SH SOLE 215100 0 0
ALLERGAN INC COM 018490102 3923 134700 SH SOLE 134700 0 0
ALLIANT TECHSYSTEMS INC COM 018804104 341 8100 SH SOLE 8100 0 0
ALLIED GROUP INC COM 019220102 638 18500 SH SOLE 18500 0 0
ALLIEDSIGNAL INC COM 019512102 299 4200 SH SOLE 4200 0 0
ALLMERICA PPTY & CAS COS INC COM 01975T105 2053 65700 SH SOLE 65700 0 0
ALLSTATE CORP COM 020002101 18150 305682 SH SOLE 305682 0 0
ALLWASTE INC COM 020047106 609 71700 SH SOLE 71700 0 0
ALUMAX INC COM 022197107 2569 74200 SH SOLE 74200 0 0
AMATI COMMUNICATIONS CORP COM 023115108 184 19100 SH SOLE 19100 0 0
AMBAC INC COM 023139108 6508 100900 SH SOLE 100900 0 0
AMBASSADOR APTS INC COM 02316A102 913 36500 SH SOLE 36500 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
AMCAST INDL CORP COM 023395106 919 39300 SH SOLE 39300 0 0
AMDAHL CORP COM 023905102 1176 125400 SH SOLE 125400 0 0
AMERADA HESS CORP COM 023551104 588 11100 SH SOLE 11100 0 0
AMERCO COM 023586100 449 17600 SH SOLE 17600 0 0
AMERICA WEST HLDG CORP CL B 023657208 670 42900 SH SOLE 42900 0 0
AMERICAN BANKERS INS GROUP INC COM 024456105 1804 37000 SH SOLE 37000 0 0
AMERICAN BRANDS INC COM 024703100 2860 56500 SH SOLE 56500 0 0
AMERICAN BUSINESS PRODS GA COM 024763104 1301 54200 SH SOLE 54200 0 0
AMERICAN ELEC PWR INC COM 025537101 15836 383900 SH SOLE 383900 0 0
AMERICAN EXPRESS CO COM 025816109 2658 44400 SH SOLE 44400 0 0
AMERICAN FINL GROUP INC COM 02608W101 1361 37300 SH SOLE 37300 0 0
AMERICAN GEN HOSPITALITY CORP COM 025930108 818 30000 SH SOLE 30000 0 0
AMERICAN GENERAL CORP COM 026351106 2702 66300 SH SOLE 66300 0 0
AMERICAN GREETINGS CORP CL A 026375105 1958 61300 SH SOLE 61300 0 0
AMERICAN HERITAGE LIFE INVT COM 026522102 384 16149 SH SOLE 16149 0 0
AMERICAN HOME PRODS CORP COM 026609107 21434 357240 SH SOLE 357240 0 0
AMERICAN INTL GROUP INC COM 026874107 1232 10500 SH SOLE 10500 0 0
AMERICAN MEDIA INC CL A 02744L100 256 43600 SH SOLE 43600 0 0
AMERICAN NATL INS CO COM 028591105 2144 27400 SH SOLE 27400 0 0
AMERICAN PWR CONVERSION CORP COM 029066107 2556 118200 SH SOLE 118200 0 0
AMERICAN STORES CO NEW COM 030096101 16416 368900 SH SOLE 368900 0 0
AMERICAN WTR WKS INC COM 030411102 1724 82100 SH SOLE 82100 0 0
AMERISOURCE HEALTH CORP CL A 03071P102 490 11200 SH SOLE 11200 0 0
AMERITECH CORP NEW COM 030954101 1017 16600 SH SOLE 16600 0 0
AMERON INTL INC COM 030710107 968 19400 SH SOLE 19400 0 0
AMGEN INC COM 031162100 827 14800 SH SOLE 14800 0 0
AMLI RESIDENTIAL PPTYS TR SH BEN INT 001735109 1150 50000 SH SOLE 50000 0 0
AMOCO CORP COM 031905102 208 2400 SH SOLE 2400 0 0
AMR CORP COM 001765106 1262 15300 SH SOLE 15300 0 0
AMSOUTH BANCORPORATION COM 032165102 5964 123600 SH SOLE 123600 0 0
ANDREW CORP COM 034425108 455 12600 SH SOLE 12600 0 0
ANHEUSER BUSCH COS INC COM 035229103 60374 1463600 SH SOLE 1463600 0 0
ANIXTER INTL INC COM 035290105 265 21400 SH SOLE 21400 0 0
ANNTAYLOR STORES CORP COM 036115103 511 25100 SH SOLE 25100 0 0
AON CORP COM 037389103 882 14400 SH SOLE 14400 0 0
APAC TELESERVICES INC COM 00185E106 338 13000 SH SOLE 13000 0 0
APACHE CORP COM 037411105 8620 257300 SH SOLE 257300 0 0
APARTMENT INVT & MGMT CO CL A 03748R101 1940 66600 SH SOLE 66600 0 0
APL LTD COM 00202M107 704 33500 SH SOLE 33500 0 0
APOGEE ENTERPRISES INC COM 037598109 948 48000 SH SOLE 48000 0 0
APPLE COMPUTER INC COM 037833100 316 17300 SH SOLE 17300 0 0
APPLIED MAGNETICS CP DEL COM 038213104 305 10800 SH SOLE 10800 0 0
APPLIED MATLS INC COM 038222105 19765 426200 SH SOLE 426200 0 0
APPLIED PWR INC CL A 038225108 521 12400 SH SOLE 12400 0 0
APRIA HEALTHCARE GROUP INC COM 037933108 384 21200 SH SOLE 21200 0 0
AQUARION CO COM 03838W101 441 16200 SH SOLE 16200 0 0
AQUILA GAS PIPELINE CORP COM 03839B106 150 10500 SH SOLE 10500 0 0
ARCHER DANIELS MIDLAND CO COM 039483102 24682 1380796 SH SOLE 1380796 0 0
ARCTIC CAT INC COM 039670104 347 35125 SH SOLE 35125 0 0
ARDEN RLTY GROUP INC COM 039793104 1891 69400 SH SOLE 69400 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
ARGONAUT GROUP INC COM 040157109 694 24800 SH SOLE 24800 0 0
ARNOLD INDS INC COM 042595108 260 18400 SH SOLE 18400 0 0
ARVIN INDS INC COM 043339100 547 23400 SH SOLE 23400 0 0
ASA HLDGS INC COM 04338Q107 326 15700 SH SOLE 15700 0 0
ASARCO INC COM 043413103 2329 82800 SH SOLE 82800 0 0
ASHLAND COAL INC COM 043906106 475 19400 SH SOLE 19400 0 0
ASSOCIATED ESTATES RLTY CORP COM 045604105 723 32300 SH SOLE 32300 0 0
ASTORIA FINL CORP COM 046265104 1004 27900 SH SOLE 27900 0 0
AT&T CORP COM 001957109 31014 889300 SH SOLE 889300 0 0
ATLANTIC ENERGY INC N J COM 048903108 1789 106800 SH SOLE 106800 0 0
ATLANTIC RICHFIELD CO COM 048825103 25758 190800 SH SOLE 190800 0 0
ATMEL CORP COM 049513104 239 10000 SH SOLE 10000 0 0
ATWOOD OCEANICS INC COM 050095108 454 7300 SH SOLE 7300 0 0
AUTODESK INC COM 052769106 648 20900 SH SOLE 20900 0 0
AUTOZONE INC COM 053332102 1157 51400 SH SOLE 51400 0 0
AVALON PPTYS INC COM 053469102 2236 81300 SH SOLE 81300 0 0
AVNET INC COM 053807103 7374 130800 SH SOLE 130800 0 0
AVON PRODS INC COM 054303102 945 18000 SH SOLE 18000 0 0
AZTAR CORP COM 054802103 266 37400 SH SOLE 37400 0 0
BAKER HUGHES INC COM 057224107 1408 36700 SH SOLE 36700 0 0
BALDWIN & LYONS INC CL B 057755209 638 36700 SH SOLE 36700 0 0
BALL CORP COM 058498106 859 32400 SH SOLE 32400 0 0
BALLARD MED PRODS COM 058566100 1127 54000 SH SOLE 54000 0 0
BALTIMORE GAS & ELEC CO COM 059165100 15611 583600 SH SOLE 583600 0 0
BANC ONE CORP COM 059438101 1234 31040 SH SOLE 31040 0 0
BANCO DE SANTIAGO SPN ADR PFD D TY 05958E100 2533 93400 SH SOLE 93400 0 0
BANCO GANADERO S A SPONSRD ADR B 059594408 1131 35900 SH SOLE 35900 0 0
BANCORP HAWAII INC COM 059685107 1882 43900 SH SOLE 43900 0 0
BANCTEC INC COM 059784108 905 35500 SH SOLE 35500 0 0
BANDAG INC COM 059815100 2604 51700 SH SOLE 51700 0 0
BANK NEW YORK INC COM 064057102 10599 288400 SH SOLE 288400 0 0
BANK OF BOSTON CORP COM 060716107 30626 457100 SH SOLE 457100 0 0
BANKAMERICA CORP COM 066050105 8948 88700 SH SOLE 88700 0 0
BANKERS TRUST N Y CORP COM 066365107 17532 213800 SH SOLE 213800 0 0
BANPONCE CORP NEW COM 066704107 3639 102500 SH SOLE 102500 0 0
BANTA CORP COM 066821109 937 36750 SH SOLE 36750 0 0
BARD C R INC COM 067383109 864 30300 SH SOLE 30300 0 0
BARNES & NOBLE INC COM 067774109 341 9600 SH SOLE 9600 0 0
BARNES GROUP INC COM 067806109 740 10300 SH SOLE 10300 0 0
BARNETT BKS INC COM 068055102 18740 403000 SH SOLE 403000 0 0
BASSETT FURNITURE INDS INC COM 070203104 355 14800 SH SOLE 14800 0 0
BAY APT CMNTYS INC COM 072012107 2899 80800 SH SOLE 80800 0 0
BAY NETWORKS INC COM 072510100 293 16400 SH SOLE 16400 0 0
BCE INC COM 05534B109 11363 341231 SH SOLE 341231 0 0
BCE MOBILE COMMUNICATION INC COM 05534G108 741 32500 SH SOLE 32500 0 0
BDM INTERNATIONAL INC COM NEW 05537W209 220 10000 SH SOLE 10000 0 0
BEAR STEARNS COS INC COM 073902108 9015 343443 SH SOLE 343443 0 0
BECKMAN INSTRS INC NEW COM 075816108 1772 42200 SH SOLE 42200 0 0
BECTON DICKINSON & CO COM 075887109 4154 92300 SH SOLE 92300 0 0
BED BATH & BEYOND INC COM 075896100 803 33200 SH SOLE 33200 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
BELDEN INC COM 077459105 296 8300 SH SOLE 8300 0 0
BELL ATLANTIC CORP COM 077853109 8420 138600 SH SOLE 138600 0 0
BELLSOUTH CORP COM 079860102 1116 26500 SH SOLE 26500 0 0
BELO A H CORP DEL COM SER A 080555105 1106 30000 SH SOLE 30000 0 0
BENEFICIAL CORP COM 081721102 6469 100100 SH SOLE 100100 0 0
BERGEN BRUNSWIG CORP CL A 083739102 1556 52300 SH SOLE 52300 0 0
BERKLEY W R CORP COM 084423102 964 18900 SH SOLE 18900 0 0
BERKSHIRE RLTY INC COM 084710102 1017 93500 SH SOLE 93500 0 0
BERRY PETE CO CL A 085789105 224 15700 SH SOLE 15700 0 0
BEST BUY INC COM 086516101 439 42800 SH SOLE 42800 0 0
BETHLEHEM STL CORP COM 087509105 1126 136500 SH SOLE 136500 0 0
BEVERLY ENTERPRISES INC COM 087851101 2450 170400 SH SOLE 170400 0 0
BHC COMMUNICATIONS INC CL A 055448104 3705 35200 SH SOLE 35200 0 0
BINDLEY WESTN INDS INC COM 090324104 1262 67300 SH SOLE 67300 0 0
BIO TECHNOLOGY GEN CORP COM 090578105 914 73100 SH SOLE 73100 0 0
BIOCHEM PHARMA INC COM 09058T108 1609 51700 SH SOLE 51700 0 0
BIOGEN INC COM 090597105 572 15300 SH SOLE 15300 0 0
BIOMET INC COM 090613100 1043 61800 SH SOLE 61800 0 0
BIRMINGHAM STL CORP COM 091250100 606 34600 SH SOLE 34600 0 0
BJ SVCS CO COM 055482103 1025 21400 SH SOLE 21400 0 0
BLAIR CORP COM 092828102 878 55300 SH SOLE 55300 0 0
BLOCK DRUG INC CL A 093644102 738 16781 SH SOLE 16781 0 0
BLOCK H & R INC COM 093671105 4186 142500 SH SOLE 142500 0 0
BMC SOFTWARE INC COM 055921100 1771 38400 SH SOLE 38400 0 0
BOB EVANS FARMS INC COM 096761101 557 40500 SH SOLE 40500 0 0
BOEING CO COM 097023105 5241 53145 SH SOLE 53145 0 0
BOISE CASCADE CORP COM 097383103 1662 54500 SH SOLE 54500 0 0
BOISE CASCADE CORP DEP ACES 1/10S 097383863 508 20000 SH SOLE 20000 0 0
BOK FINL CORP COM NEW 05561Q201 345 11700 SH SOLE 11700 0 0
BORDERS GROUP INC COM 099709107 494 26000 SH SOLE 26000 0 0
BORG-WARNER AUTOMOTIVE INC COM 099724106 1274 29900 SH SOLE 29900 0 0
BOSTON EDISON CO COM 100599109 1743 66700 SH SOLE 66700 0 0
BOWATER INC COM 102183100 2091 53800 SH SOLE 53800 0 0
BOWNE & CO INC COM 103043105 616 22700 SH SOLE 22700 0 0
BRADLEY REAL ESTATE INC COM 104580105 1228 64200 SH SOLE 64200 0 0
BRASCAN LTD CL A 105502405 2978 182858 SH SOLE 182858 0 0
BRE PROPERTIES INC CL A 05564E106 1809 73100 SH SOLE 73100 0 0
BREED TECHNOLOGIES INC COM 106702103 534 27400 SH SOLE 27400 0 0
BRIGGS & STRATTON CORP COM 109043109 435 9700 SH SOLE 9700 0 0
BRINKER INTL INC COM 109641100 418 33100 SH SOLE 33100 0 0
BRISTOL MYERS SQUIBB CO COM 110122108 103498 1754200 SH SOLE 1754200 0 0
BRODERBUND SOFTWARE INC COM 112014105 269 12300 SH SOLE 12300 0 0
BROOKLYN UN GAS CO COM 114259104 1089 39600 SH SOLE 39600 0 0
BROWN GROUP INC COM 115657108 751 45200 SH SOLE 45200 0 0
BROWNING FERRIS INDS COM 115885105 794 27500 SH SOLE 27500 0 0
BUCKLE INC COM 118440106 243 9100 SH SOLE 9100 0 0
BUFFETS INC COM 119882108 725 100900 SH SOLE 100900 0 0
BURLINGTON COAT FACTORY COM 121579106 878 48800 SH SOLE 48800 0 0
BURLINGTON INDS INC COM 121693105 764 66400 SH SOLE 66400 0 0
BURLINGTON NORTHN SANTA FE CP COM 12189T104 39782 537600 SH SOLE 537600 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
BURLINGTON RES INC COM 122014103 5382 125900 SH SOLE 125900 0 0
BURNHAM PAC PPTYS INC COM 12232C108 776 60900 SH SOLE 60900 0 0
BW/IP INC CL A 056044100 227 15000 SH SOLE 15000 0 0
C D I CORP COM 125071100 278 7500 SH SOLE 7500 0 0
CABLETRON SYS INC COM 126920107 1401 47500 SH SOLE 47500 0 0
CABOT OIL & GAS CORP CL A 127097103 607 34700 SH SOLE 34700 0 0
CALENERGY INC COM 129466108 972 28600 SH SOLE 28600 0 0
CALI REALTY CORP COM 129909107 7363 230100 SH SOLE 230100 0 0
CALIBER SYS INC COM 129894101 678 25700 SH SOLE 25700 0 0
CALLAWAY GOLF CO COM 131193104 14968 522900 SH SOLE 522900 0 0
CALPINE CORP COM 131347106 906 50000 SH SOLE 50000 0 0
CAMBIOR INC COM 13201L103 98 10000 SH SOLE 10000 0 0
CAMCO INTL INC COM 132632100 273 6200 SH SOLE 6200 0 0
CAMDEN PPTY TR SH BEN INT 133131102 2082 76400 SH SOLE 76400 0 0
CAMECO CORP COM 13321L108 528 18900 SH SOLE 18900 0 0
CANADIAN MARCONI CO COM 136357100 492 51800 SH SOLE 51800 0 0
CANADIAN NATL RY CO COM 136375102 2622 102400 SH SOLE 102400 0 0
CANADIAN PAC LTD NEW COM 135923100 3053 141400 SH SOLE 141400 0 0
CAPITAL ONE FINL CORP COM 14040H105 261 7000 SH SOLE 7000 0 0
CAPITAL RE CORP COM 140432105 980 23000 SH SOLE 23000 0 0
CARDINAL HEALTH INC COM 14149Y108 1938 35650 SH SOLE 35650 0 0
CAROLINA PWR & LT CO COM 144141108 6449 177900 SH SOLE 177900 0 0
CARPENTER TECHNOLOGY CORP COM 144285103 451 11800 SH SOLE 11800 0 0
CARRAMERICA REALTY CORP COM 14441K103 8976 291900 SH SOLE 291900 0 0
CASE CORP COM 14743R103 315 6200 SH SOLE 6200 0 0
CASEYS GEN STORES INC COM 147528103 882 45800 SH SOLE 45800 0 0
CASH AMER INTL INC COM 14754D100 1088 111600 SH SOLE 111600 0 0
CATALINA MARKETING CORP COM 148867104 948 24300 SH SOLE 24300 0 0
CATELLUS DEV CORP COM 149111106 7381 484000 SH SOLE 484000 0 0
CATERPILLAR INC DEL COM 149123101 313 3900 SH SOLE 3900 0 0
CBL & ASSOC PPTYS INC COM 124830100 1860 75900 SH SOLE 75900 0 0
CCB FINL CORP COM 124875105 632 9900 SH SOLE 9900 0 0
CENTERIOR ENERGY CORP COM 151883105 2784 275000 SH SOLE 275000 0 0
CENTERPOINT PPTYS CORP COM 151895109 4030 131600 SH SOLE 131600 0 0
CENTEX CORP COM 152312104 1629 46200 SH SOLE 46200 0 0
CENTOCOR INC COM 152342101 250 8200 SH SOLE 8200 0 0
CENTRAL & SOUTH WEST CORP COM 152357109 1697 79400 SH SOLE 79400 0 0
CENTRAL FID BKS INC COM 153469101 1068 38500 SH SOLE 38500 0 0
CENTRAL HUDSON GAS & ELEC CORP COM 153609102 638 19400 SH SOLE 19400 0 0
CENTRAL LA ELEC INC COM NEW 153897608 344 13100 SH SOLE 13100 0 0
CENTRAL MAINE PWR CO COM 154051106 459 43200 SH SOLE 43200 0 0
CENTRAL NEWSPAPERS INC CL A 154647101 1128 22500 SH SOLE 22500 0 0
CENTURY TEL ENTERPRISES INC COM 156686107 248 8400 SH SOLE 8400 0 0
CHAMPION ENTERPRISES INC COM 158496109 303 20400 SH SOLE 20400 0 0
CHAMPION INTL CORP COM 158525105 4828 106100 SH SOLE 106100 0 0
CHARMING SHOPPES INC COM 161133103 842 156600 SH SOLE 156600 0 0
CHARTER ONE FINL INC COM 160903100 728 16600 SH SOLE 16600 0 0
CHASE MANHATTAN CORP NEW COM 16161A108 75097 799972 SH SOLE 799972 0 0
CHELSEA GCA RLTY INC COM 163262108 1805 50300 SH SOLE 50300 0 0
CHEMED CORP COM 163596109 387 10700 SH SOLE 10700 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
CHESAPEAKE CORP COM 165159104 767 27900 SH SOLE 27900 0 0
CHESAPEAKE ENERGY CORP COM 165167107 219 10500 SH SOLE 10500 0 0
CHEVRON CORPORATION COM 166751107 16153 232000 SH SOLE 232000 0 0
CHILE FD INC COM 168834109 498 22000 SH SOLE 22000 0 0
CHILGENER S A SPONSORED ADR 168894103 3180 123500 SH SOLE 123500 0 0
CHIQUITA BRANDS INTL INC COM 170032106 729 47000 SH SOLE 47000 0 0
CHRIS CRAFT INDS INC COM 170520100 2633 66435 SH SOLE 66435 0 0
CHRYSLER CORP COM 171196108 20022 667400 SH SOLE 667400 0 0
CHUBB CORP COM 171232101 700 13000 SH SOLE 13000 0 0
CIGNA CORP COM 125509109 7008 48000 SH SOLE 48000 0 0
CILCORP INC COM 171794100 365 9600 SH SOLE 9600 0 0
CINCINNATI BELL INC COM 171870108 2582 45700 SH SOLE 45700 0 0
CINCINNATI MILACRON INC COM 172172108 2261 120600 SH SOLE 120600 0 0
CINERGY CORP COM 172474108 18090 530100 SH SOLE 530100 0 0
CINRAM LTD COM 17252T105 267 14300 SH SOLE 14300 0 0
CINTAS CORP COM 172908105 206 3900 SH SOLE 3900 0 0
CIRCUIT CITY STORE INC CIRCT CITY GRP 172737108 304 9100 SH SOLE 9100 0 0
CIRCUS CIRCUS ENTERPRISES INC COM 172909103 637 24500 SH SOLE 24500 0 0
CIRRUS LOGIC CORP COM 172755100 430 35500 SH SOLE 35500 0 0
CISCO SYS INC COM 17275R102 10655 221400 SH SOLE 221400 0 0
CITICORP COM 173034109 20979 193799 SH SOLE 193799 0 0
CITIZENS CORP COM 174533109 928 37700 SH SOLE 37700 0 0
CITIZENS UTILS CO DEL CL B 177342201 2385 200817 SH SOLE 200817 0 0
CITY NATL CORP COM 178566105 299 13600 SH SOLE 13600 0 0
CITYSCAPE FINANCIAL CORP COM 178778106 389 21900 SH SOLE 21900 0 0
CLAIRE'S STORES INC COM 179584107 1260 75250 SH SOLE 75250 0 0
CLAYTON HOMES INC COM 184190106 508 39850 SH SOLE 39850 0 0
CLEVELAND CLIFFS INC COM 185896107 469 11100 SH SOLE 11100 0 0
CLOROX CO DEL COM 189054109 16070 143000 SH SOLE 143000 0 0
CMAC INVT CORP COM 125662106 601 18000 SH SOLE 18000 0 0
CMS ENERGY CORP COM 125896100 7620 231800 SH SOLE 231800 0 0
CNA FINL CORP COM 126117100 3430 31984 SH SOLE 31984 0 0
COACHMEN INDS INC COM 189873102 374 19800 SH SOLE 19800 0 0
COAST SVGS FINL INC DELAWARE COM 19039M106 250 6300 SH SOLE 6300 0 0
COASTAL CORP COM 190441105 8054 167800 SH SOLE 167800 0 0
COCA COLA CO COM 191216100 95372 1710700 SH SOLE 1710700 0 0
COCA COLA ENTERPRISES INC COM 191219104 10282 179200 SH SOLE 179200 0 0
COGNEX CORP COM 192422103 1037 54600 SH SOLE 54600 0 0
COLLECTIVE BANCORP INC COM 193901105 742 19200 SH SOLE 19200 0 0
COLONIAL PPTYS TR COM SH BEN INT 195872106 2552 88000 SH SOLE 88000 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
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COMMERCIAL METALS CO COM 201723103 633 22100 SH SOLE 22100 0 0
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COMPAQ COMPUTER CORP COM 204493100 48764 636400 SH SOLE 636400 0 0
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COMPUSA INC COM 204932107 737 46800 SH SOLE 46800 0 0
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<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
D R HORTON INC COM 23331A109 315 29300 SH SOLE 29300 0 0
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<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
DUN & BRADSTREET CORP COM 264830100 452 17800 SH SOLE 17800 0 0
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DYNATECH CORP COM 268138104 552 18400 SH SOLE 18400 0 0
E M C CORP MASS COM 268648102 501 14100 SH SOLE 14100 0 0
EAGLE HARDWARE & GARDEN INC COM 26959B101 902 50100 SH SOLE 50100 0 0
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ELECTRONICS FOR IMAGING INC COM 286082102 1085 27200 SH SOLE 27200 0 0
EMBOTELLADORA ANDINA S A SPONSORED ADR 29081P105 1815 48900 SH SOLE 48900 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
FAMILY DLR STORES INC COM 307000109 1646 70400 SH SOLE 70400 0 0
FARMER BROS CO COM 307675108 284 2100 SH SOLE 2100 0 0
FASTENAL CO COM 311900104 791 22600 SH SOLE 22600 0 0
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FIFTH THIRD BANCORP COM 316773100 225 2900 SH SOLE 2900 0 0
FINANCIAL SEC ASSURN HLDGS LTD COM 31769P100 782 23600 SH SOLE 23600 0 0
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FINISH LINE INC CL A 317923100 903 40600 SH SOLE 40600 0 0
FINOVA GROUP INC COM 317928109 1028 15200 SH SOLE 15200 0 0
FIRST AMER BK CORP COM 318906104 1135 19000 SH SOLE 19000 0 0
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FIRST BRANDS CORP COM 319356101 706 28800 SH SOLE 28800 0 0
FIRST CHICAGO NBD CORP COM 31945A100 4985 92100 SH SOLE 92100 0 0
FIRST COMM CORP COM 319779104 684 16900 SH SOLE 16900 0 0
FIRST CTZNS BANCSHARES INC N C CL A 31946M103 941 11000 SH SOLE 11000 0 0
FIRST EMPIRE ST CORP COM 320076102 1696 5300 SH SOLE 5300 0 0
FIRST FINL CORP WISC COM 320227101 822 31475 SH SOLE 31475 0 0
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<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
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FRONTIER INS GROUP INC NEW COM 359081106 803 18459 SH SOLE 18459 0 0
FRUIT OF THE LOOM INC CL A 359416104 10566 254600 SH SOLE 254600 0 0
FTP SOFTWARE INC COM 302660105 74 12700 SH SOLE 12700 0 0
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<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
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HON INDS INC COM 438092108 858 23100 SH SOLE 23100 0 0
HORACE MANN EDUCATORS CORP NEW COM 440327104 1566 35500 SH SOLE 35500 0 0
HORIZON GROUP INC COM 44041X106 321 24900 SH SOLE 24900 0 0
HORIZON/CMS HEALTHCARE CORP COM 440400109 649 41900 SH SOLE 41900 0 0
HORMEL FOODS CORP COM 440452100 2842 110900 SH SOLE 110900 0 0
HOSPITALITY PPTYS TR COM SH BEN INT 44106M102 3828 125000 SH SOLE 125000 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
HOUGHTON MIFFLIN CO COM 441560109 475 8800 SH SOLE 8800 0 0
HOUSEHOLD INTL INC COM 441815107 6494 75400 SH SOLE 75400 0 0
HOUSTON INDS INC COM 442161105 23572 1129200 SH SOLE 1129200 0 0
HUANENG PWR INTL INC SPONSR ADR N 443304100 1400 62550 SH SOLE 62550 0 0
HUBBELL INC CL B 443510201 292 6900 SH SOLE 6900 0 0
HUDSON FOODS INC CL A 443782107 823 52700 SH SOLE 52700 0 0
HUNT J B TRANS SVCS INC COM 445658107 612 44100 SH SOLE 44100 0 0
HUTCHINSON TECHNOLOGY INC COM 448407106 339 11900 SH SOLE 11900 0 0
IBP INC COM 449223106 6464 262500 SH SOLE 262500 0 0
ICN PHARMACEUTICALS INC NEW COM 448924100 692 31100 SH SOLE 31100 0 0
IES INDS INC COM 44949M103 670 23200 SH SOLE 23200 0 0
ILLINOIS CENT CORP COM SER A 451841100 838 26500 SH SOLE 26500 0 0
ILLINOVA CORP COM 452317100 7441 325300 SH SOLE 325300 0 0
IMMULOGIC PHARMACEUTICAL CORP COM 45252R100 109 25000 SH SOLE 25000 0 0
IMPERIAL CHEM INDS PLC ADR NEW 452704505 683 15000 SH SOLE 15000 0 0
IMPERIAL OIL LTD COM NEW 453038408 7155 212001 SH SOLE 212001 0 0
INCO LTD COM 453258402 5943 219589 SH SOLE 219589 0 0
INDIA FD INC COM 454089103 1374 186300 SH SOLE 186300 0 0
INGLES MKTS INC CL A 457030104 1122 76700 SH SOLE 76700 0 0
INLAND STL INDS INC COM 457472108 1053 54000 SH SOLE 54000 0 0
INNKEEPERS USA TR COM 4576J0104 2162 147800 SH SOLE 147800 0 0
INTEGON CORP COM 45810F101 1232 83500 SH SOLE 83500 0 0
INTEGRATED DEVICE TECHNOLOGY COM 458118106 495 49500 SH SOLE 49500 0 0
INTEGRATED HEALTH SVCS INC COM 45812C106 854 29200 SH SOLE 29200 0 0
INTEL CORP COM 458140100 139375 1001800 SH SOLE 1001800 0 0
INTER-CITY PRODS CORP ORD 45821E101 53 13900 SH SOLE 13900 0 0
INTERFACE INC CL A 458665106 1070 42700 SH SOLE 42700 0 0
INTERGRAPH CORP COM 458683109 1301 167900 SH SOLE 167900 0 0
INTERIM SVCS INC COM 45868P100 599 15400 SH SOLE 15400 0 0
INTERNATIONAL BUSINESS MACHS COM 459200101 41134 299700 SH SOLE 299700 0 0
INTERNATIONAL DAIRY QUEEN INC CL A 459373205 678 30800 SH SOLE 30800 0 0
INTERNATIONAL GAME TECHNOLOGY COM 459902102 4882 300400 SH SOLE 300400 0 0
INTERNATIONAL MULTIFOODS CORP COM 460043102 830 40500 SH SOLE 40500 0 0
INTERNATIONAL RECTIFIER CORP COM 460254105 564 47500 SH SOLE 47500 0 0
INTERRA FINL INC COM 46069M102 705 20300 SH SOLE 20300 0 0
INTERSTATE BAKERIES CORP DEL COM 46072H108 2207 46700 SH SOLE 46700 0 0
INTL PAPER CO COM 460146103 16676 427600 SH SOLE 427600 0 0
IPL ENERGY INC COM 449911106 325 15400 SH SOLE 15400 0 0
IPSCO INC COM 462622101 1145 59400 SH SOLE 59400 0 0
IRT PPTY CO COM 450058102 1266 115100 SH SOLE 115100 0 0
IRVINE APT CMNTYS INC COM 463606103 2551 89900 SH SOLE 89900 0 0
ITT CORP NEW COM 450912100 206 3500 SH SOLE 3500 0 0
ITT HARTFORD GROUP INC COM 45068H106 411 5700 SH SOLE 5700 0 0
JABIL CIRCUIT INC COM 466313103 915 20300 SH SOLE 20300 0 0
JACOBS ENGR GROUP INC DEL COM 469814107 439 17900 SH SOLE 17900 0 0
JAMES RIV CORP VA COM 470349101 778 26700 SH SOLE 26700 0 0
JAMES RIV CORP VA PFD CV C1/100S 470349887 2705 100200 SH SOLE 100200 0 0
JDN RLTY CORP COM 465917102 1248 46000 SH SOLE 46000 0 0
JEFFERIES GROUP INC COM 472318104 526 12800 SH SOLE 12800 0 0
JEFFERSON PILOT CORP COM 475070108 489 9000 SH SOLE 9000 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
JOHN ALDEN FINL CORP COM 477838106 539 32200 SH SOLE 32200 0 0
JOHNSON & JOHNSON COM 478160104 16820 318100 SH SOLE 318100 0 0
JONES APPAREL GROUP INC COM 480074103 3059 82400 SH SOLE 82400 0 0
JONES MED INDS INC COM 480212109 233 9700 SH SOLE 9700 0 0
JP REALTY INC COM 46624A106 2033 76700 SH SOLE 76700 0 0
JUSTIN INDS INC COM 482171105 454 40800 SH SOLE 40800 0 0
K MART CORP COM 482584109 24900 2075000 SH SOLE 2075000 0 0
KAISER ALUMINUM CORP COM 483007100 343 31200 SH SOLE 31200 0 0
KAMAN CORP CL A 483548103 1149 85100 SH SOLE 85100 0 0
KANSAS CITY LIFE INS CO COM 484836101 549 8100 SH SOLE 8100 0 0
KAUFMAN & BROAD HOME CORP COM 486168107 599 45200 SH SOLE 45200 0 0
KCS ENERGY INC COM 482434206 668 20400 SH SOLE 20400 0 0
KEANE INC COM 486665102 325 9800 SH SOLE 9800 0 0
KELLWOOD CO COM 488044108 683 27300 SH SOLE 27300 0 0
KELLY SVCS INC CL A 488152208 712 26600 SH SOLE 26600 0 0
KENNAMETAL INC COM 489170100 471 12900 SH SOLE 12900 0 0
KEYCORP NEW COM 493267108 1057 21684 SH SOLE 21684 0 0
KIMBALL INTL INC CL B 494274103 1167 30700 SH SOLE 30700 0 0
KIMBERLY CLARK CORP COM 494368103 289 2900 SH SOLE 2900 0 0
KIMCO REALTY CORP COM 49446R109 6282 193300 SH SOLE 193300 0 0
KINETIC CONCEPTS INC COM 49460W109 1944 136400 SH SOLE 136400 0 0
KING WORLD PRODTNS INC COM 495667107 2187 59930 SH SOLE 59930 0 0
KLA INSTRS CORP COM 482480100 398 10900 SH SOLE 10900 0 0
KOGER EQUITY INC COM 500228101 2517 145900 SH SOLE 145900 0 0
KOHLS CORP COM 500255104 394 9300 SH SOLE 9300 0 0
KOMAG INC COM 500453105 598 19700 SH SOLE 19700 0 0
KOREA ELECTRIC PWR SPONSORED ADR 500631106 350 20000 SH SOLE 20000 0 0
KOREAN INVT FD INC COM 500637103 1220 160000 SH SOLE 160000 0 0
KRANZCO RLTY TR COM SH BEN INT 50076E103 457 28800 SH SOLE 28800 0 0
KULICKE & SOFFA INDS INC COM 501242101 515 24400 SH SOLE 24400 0 0
LA Z BOY INC COM 505336107 558 16300 SH SOLE 16300 0 0
LABORATORY CORP AMER HLDGS COM 50540R102 527 150700 SH SOLE 150700 0 0
LAFARGE CORP COM 505862102 1736 76300 SH SOLE 76300 0 0
LAIDLAW INC CL A 50730K107 176 17800 SH SOLE 17800 0 0
LAIDLAW INC CL B NON VTG 50730K206 2102 211200 SH SOLE 211200 0 0
LAM RESH CORP COM 512807108 1137 33700 SH SOLE 33700 0 0
LANCASTER COLONY CORP COM 513847103 1629 35410 SH SOLE 35410 0 0
LANDS END INC COM 515086106 986 37200 SH SOLE 37200 0 0
LATTICE SEMICONDUCTOR CORP COM 518415104 549 12000 SH SOLE 12000 0 0
LEAR CORP COM 521865105 968 29000 SH SOLE 29000 0 0
LEE ENTERPRISES INC COM 523768109 1528 63000 SH SOLE 63000 0 0
LEGG MASON INC COM 524901105 749 17725 SH SOLE 17725 0 0
LEGGETT & PLATT INC COM 524660107 3728 114700 SH SOLE 114700 0 0
LEHMAN BROS HLDGS INC COM 524908100 4035 137940 SH SOLE 137940 0 0
LENNAR CORP COM 526057104 1002 40900 SH SOLE 40900 0 0
LEUCADIA NATL CORP COM 527288104 635 23100 SH SOLE 23100 0 0
LEXINGTON CORP PPTYS INC COM 529039109 542 44700 SH SOLE 44700 0 0
LEXMARK INTL GROUP INC CL A 529771107 1637 67500 SH SOLE 67500 0 0
LG&E ENERGY CORP COM 501917108 2791 115700 SH SOLE 115700 0 0
LIBERTY CORP S C COM 530370105 848 20200 SH SOLE 20200 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
LIBERTY FINL COS INC COM 530512102 790 19500 SH SOLE 19500 0 0
LIBERTY PPTY TR SH BEN INT 531172104 6118 249700 SH SOLE 249700 0 0
LIFE RE CORP COM 532160108 856 21000 SH SOLE 21000 0 0
LILLY ELI & CO COM 532457108 14089 171300 SH SOLE 171300 0 0
LIMITED INC COM 532716107 3908 212700 SH SOLE 212700 0 0
LINCARE HLDGS INC COM 532791100 2492 60400 SH SOLE 60400 0 0
LINCOLN NATL CORP IND COM 534187109 10165 190000 SH SOLE 190000 0 0
LITTON INDS INC COM 538021106 2801 69600 SH SOLE 69600 0 0
LIVING CTRS AMER INC COM 538388109 656 18600 SH SOLE 18600 0 0
LIZ CLAIBORNE INC COM 539320101 9423 216000 SH SOLE 216000 0 0
LOCKHEED MARTIN CORP COM 539830109 7165 85300 SH SOLE 85300 0 0
LOEWS CORP COM 540424108 28307 318500 SH SOLE 318500 0 0
LOGICON INC COM 541409108 863 24400 SH SOLE 24400 0 0
LONE STAR TECHNOLOGIES INC COM 542312103 236 12400 SH SOLE 12400 0 0
LONG IS BANCORP INC COM 542662101 344 10400 SH SOLE 10400 0 0
LONG ISLAND LTG CO COM 542671102 8918 371600 SH SOLE 371600 0 0
LONGS DRUG STORES CORP COM 543162101 1810 77000 SH SOLE 77000 0 0
LONGVIEW FIBRE CO COM 543213102 396 26400 SH SOLE 26400 0 0
LTV CORP NEW COM 501921100 2000 158400 SH SOLE 158400 0 0
LUBRIZOL CORP COM 549271104 325 10000 SH SOLE 10000 0 0
LUBYS CAFETERIAS INC COM 549282101 641 34400 SH SOLE 34400 0 0
LUKENS INC DEL COM 549866101 825 48900 SH SOLE 48900 0 0
LUXOTTICA GROUP S P A SPONSORED ADR 55068R202 3288 61900 SH SOLE 61900 0 0
LYDALL INC DEL COM 550819106 502 24800 SH SOLE 24800 0 0
LYONDELL PETROCHEMICAL CO COM 552078107 220 9600 SH SOLE 9600 0 0
MACERICH CO COM 554382101 2520 90000 SH SOLE 90000 0 0
MACFRUGALS BARGAINS CLOSE OUTS COM 554152108 1243 46900 SH SOLE 46900 0 0
MACMILLAN BLOEDEL LTD COM 554783209 5209 515739 SH SOLE 515739 0 0
MADERAS Y SINTETICOS SOCIEDAD SPONSORED ADR 556465102 2763 203100 SH SOLE 203100 0 0
MAGNA INTL INC CL A 559222401 1933 53800 SH SOLE 53800 0 0
MAGNETEK INC COM 559424106 887 55000 SH SOLE 55000 0 0
MANITOWOC INC COM 563571108 464 12850 SH SOLE 12850 0 0
MANPOWER INC COM 56418H100 630 17500 SH SOLE 17500 0 0
MANUFACTURED HOME CMNTYS INC COM 564682102 1369 62600 SH SOLE 62600 0 0
MAPCO INC COM 565097102 574 18500 SH SOLE 18500 0 0
MARINE DRILLING COS INC COM PAR $0.01 568240204 680 38300 SH SOLE 38300 0 0
MARK IV INDS INC COM 570387100 1112 47300 SH SOLE 47300 0 0
MARK TWAIN BANCSHARES INC COM 570437103 490 9700 SH SOLE 9700 0 0
MARKEL CORP COM 570535104 530 4800 SH SOLE 4800 0 0
MARQUETTE MED SYS INC CL A 571490101 390 19400 SH SOLE 19400 0 0
MARSH & MCLENNAN COS INC COM 571748102 668 5900 SH SOLE 5900 0 0
MARSHALL INDS COM 572393106 687 21800 SH SOLE 21800 0 0
MARTIN MARIETTA MATLS INC COM 573284106 536 20800 SH SOLE 20800 0 0
MASCOTECH INC COM 574670105 2782 135700 SH SOLE 135700 0 0
MASCOTECH INC PFD CONV DECS 574670303 436 23900 SH SOLE 23900 0 0
MASTEC INC COM 576323109 438 15800 SH SOLE 15800 0 0
MATTEL INC COM 577081102 1035 43116 SH SOLE 43116 0 0
MAXIM INTEGRATED PRODS INC COM 57772K101 924 19100 SH SOLE 19100 0 0
MAXXAM INC COM 577913106 308 6800 SH SOLE 6800 0 0
MAY DEPT STORES CO COM 577778103 7708 169400 SH SOLE 169400 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
MAYTAG CORP COM 578592107 2063 100000 SH SOLE 100000 0 0
MBIA INC COM 55262C100 12972 135300 SH SOLE 135300 0 0
MBNA CORP COM 55262L100 392 14050 SH SOLE 14050 0 0
MCCLATCHY NEWSPAPERS INC CL A 579489105 644 26975 SH SOLE 26975 0 0
MCDERMOTT INTL INC COM 580037109 870 40700 SH SOLE 40700 0 0
MCGRATH RENTCORP COM 580589109 391 13100 SH SOLE 13100 0 0
MCI COMMUNICATIONS CORP COM 552673105 21268 597000 SH SOLE 597000 0 0
MCKESSON CORP NEW COM 581557105 1133 17700 SH SOLE 17700 0 0
MEAD CORP COM 582834107 6450 121700 SH SOLE 121700 0 0
MEDAPHIS CORP COM 584028104 172 16800 SH SOLE 16800 0 0
MEDIA GEN INC CL A 584404107 406 14300 SH SOLE 14300 0 0
MEDPARTNERS INC NEW COM 58503X107 302 14200 SH SOLE 14200 0 0
MEDTRONIC INC COM 585055106 1282 20600 SH SOLE 20600 0 0
MEDUSA CORP COM PAR $0 585072309 686 18300 SH SOLE 18300 0 0
MELLON BK CORP COM 585509102 10956 150600 SH SOLE 150600 0 0
MEMC ELECTR MATLS INC COM 552715104 451 18900 SH SOLE 18900 0 0
MERCANTILE BANKSHARES CORP COM 587405101 1154 34200 SH SOLE 34200 0 0
MERCANTILE STORES INC COM 587533100 1783 38450 SH SOLE 38450 0 0
MERCK & CO INC COM 589331107 47964 569300 SH SOLE 569300 0 0
MERCURY GENL CORP NEW COM 589400100 897 14700 SH SOLE 14700 0 0
MEREDITH CORP COM 589433101 402 17400 SH SOLE 17400 0 0
MERIDIAN INDL TR INC COM 589643105 1089 47100 SH SOLE 47100 0 0
MERRILL LYNCH & CO INC COM 590188108 13293 154800 SH SOLE 154800 0 0
MERRY LD & INVT INC COM 590438107 2755 134400 SH SOLE 134400 0 0
MESA AIR GROUP INC COM 590479101 777 127200 SH SOLE 127200 0 0
MESA INC COM 590911103 303 50500 SH SOLE 50500 0 0
METHANEX CORP COM 59151K108 1720 280600 SH SOLE 280600 0 0
METROMEDIA INTL GROUP INC COM 591695101 204 23500 SH SOLE 23500 0 0
MEXICO FD INC COM 592835102 69290 5935120 SH SOLE 5935120 0 0
MEYER FRED INC DEL COM 593098106 969 23500 SH SOLE 23500 0 0
MGI PPTYS INC COM 552885105 927 43600 SH SOLE 43600 0 0
MGIC INVT CORP WIS COM 552848103 474 6700 SH SOLE 6700 0 0
MICHAEL FOOD INC NEW COM 594079105 832 80200 SH SOLE 80200 0 0
MICHAELS STORES INC COM 594087108 1431 77900 SH SOLE 77900 0 0
MICRO WHSE INC COM 59501B105 252 19200 SH SOLE 19200 0 0
MICROCHIP TECHNOLOGY INC COM 595017104 708 23600 SH SOLE 23600 0 0
MICRON ELECTRONICS INC COM 595100108 1245 65100 SH SOLE 65100 0 0
MICRON TECHNOLOGY INC COM 595112103 489 12100 SH SOLE 12100 0 0
MICROSOFT CORP COM 594918104 107072 1167800 SH SOLE 1167800 0 0
MID ATLANTIC MED SVCS INC COM 59523C107 1995 147800 SH SOLE 147800 0 0
MID-AMER APT CMNTYS INC COM 59522J103 731 26100 SH SOLE 26100 0 0
MIDAMERICA ENERGY HLDGS CO COM 595920109 1174 68582 SH SOLE 68582 0 0
MILLENNIUM CHEMICALS INC COM 599903101 481 25653 SH SOLE 25653 0 0
MILLER HERMAN INC COM 600544100 1290 18900 SH SOLE 18900 0 0
MILLS CORP COM 601148109 1800 71300 SH SOLE 71300 0 0
MINE SAFETY APPLIANCES CO COM 602720104 311 4900 SH SOLE 4900 0 0
MINNESOTA MNG & MFG CO COM 604059105 533 6300 SH SOLE 6300 0 0
MINNESOTA PWR & LT CO COM 604110106 270 9700 SH SOLE 9700 0 0
MISSISSIPPI CHEM CORP COM NEW 605288208 315 13200 SH SOLE 13200 0 0
MITCHELL ENERGY & DEV CORP CL B 606592301 1084 52900 SH SOLE 52900 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
MITEL CORP COM 606711109 514 145700 SH SOLE 145700 0 0
MOBIL CORP COM 607059102 5983 45800 SH SOLE 45800 0 0
MODINE MFG CO COM 607828100 517 21100 SH SOLE 21100 0 0
MOHAWK INDS INC COM 608190104 989 47400 SH SOLE 47400 0 0
MONSANTO CO COM 611662107 11242 293900 SH SOLE 293900 0 0
MONTANA POWER CO COM 612085100 869 40400 SH SOLE 40400 0 0
MOORE LTD COM 615785102 3158 187164 SH SOLE 187164 0 0
MORGAN J P & CO INC COM 616880100 2299 23400 SH SOLE 23400 0 0
MORGAN KEEGAN INC COM 617410105 313 18950 SH SOLE 18950 0 0
MORGAN STANLEY GROUP INC COM 617446109 5857 99700 SH SOLE 99700 0 0
MOTOROLA INC COM 620076109 587 9700 SH SOLE 9700 0 0
MUELLER INDS INC COM 624756102 430 11000 SH SOLE 11000 0 0
MURPHY OIL CORP COM 626717102 1349 28700 SH SOLE 28700 0 0
MYLAN LABS INC COM 628530107 178 12100 SH SOLE 12100 0 0
NAC RE CORP COM 628907107 556 15600 SH SOLE 15600 0 0
NACCO INDS INC CL A 629579103 625 12700 SH SOLE 12700 0 0
NASH FINCH CO COM 631158102 1281 67000 SH SOLE 67000 0 0
NATIONAL AUTO CR INC NEW COM 632900106 300 32480 SH SOLE 32480 0 0
NATIONAL CITY CORP COM 635405103 592 12700 SH SOLE 12700 0 0
NATIONAL DATA CORP COM 635621105 297 8400 SH SOLE 8400 0 0
NATIONAL EDUCATION CORP COM 635771108 448 35500 SH SOLE 35500 0 0
NATIONAL FUEL GAS CO N J COM 636180101 864 20200 SH SOLE 20200 0 0
NATIONAL GOLF PPTYS INC COM 63623G109 1856 60100 SH SOLE 60100 0 0
NATIONAL SEMICONDUCTOR CORP COM 637640103 415 15100 SH SOLE 15100 0 0
NATIONAL STL CORP CL B 637844309 137 17700 SH SOLE 17700 0 0
NATIONAL SVC INDS INC COM 637657107 309 7900 SH SOLE 7900 0 0
NATIONSBANK CORP COM 638585109 3591 64700 SH SOLE 64700 0 0
NATURES SUNSHINE PRODUCTS INC COM 639027101 647 44610 SH SOLE 44610 0 0
NAVISTAR INTL CORP PFD G CV $6.00 638901405 1419 23900 SH SOLE 23900 0 0
NAVISTAR INTL CORP NEW COM 63934E108 521 55600 SH SOLE 55600 0 0
NBTY INC COM 628782104 284 18800 SH SOLE 18800 0 0
NCH CORP COM 628850109 520 8800 SH SOLE 8800 0 0
NEIMAN MARCUS GROUP INC COM 640204103 1411 54800 SH SOLE 54800 0 0
NELLCOR PURITAN BENNET INC COM 640275103 1033 58600 SH SOLE 58600 0 0
NEVADA POWER CO COM 641423108 463 23300 SH SOLE 23300 0 0
NEW ENGLAND ELEC SYS COM 644001109 248 7200 SH SOLE 7200 0 0
NEW JERSEY RES COM 646025106 205 7200 SH SOLE 7200 0 0
NEW PLAN RLTY TR SH BEN INT 648059103 3120 136400 SH SOLE 136400 0 0
NEW YORK ST ELEC & GAS CORP COM 649840105 2462 114500 SH SOLE 114500 0 0
NEWBRIDGE NETWORKS CORP COM 650901101 6310 304511 SH SOLE 304511 0 0
NEWELL CO COM 651192106 7605 227000 SH SOLE 227000 0 0
NEWFIELD EXPL CO COM 651290108 424 22300 SH SOLE 22300 0 0
NEWS CORP LTD ADR NEW 652487703 990 55000 SH SOLE 55000 0 0
NEXSTAR PHARMACEUTICALS INC COM 65333B106 120 12000 SH SOLE 12000 0 0
NEXTEL COMMUNICATIONS INC CL A 65332V103 155 11600 SH SOLE 11600 0 0
NGC CORP COM 629121104 794 50400 SH SOLE 50400 0 0
NIAGARA MOHAWK PWR CORP COM 653522102 3815 448800 SH SOLE 448800 0 0
NICOR INC COM 654086107 589 18400 SH SOLE 18400 0 0
NIKE INC CL B 654106103 14961 241800 SH SOLE 241800 0 0
NINE WEST GROUP INC COM 65440D102 403 9000 SH SOLE 9000 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
NOBLE AFFILIATES INC COM 654894104 2080 55100 SH SOLE 55100 0 0
NOBLE DRILLING CORP COM 655042109 4733 272400 SH SOLE 272400 0 0
NORAM ENERGY CORP COM 655419109 3583 245000 SH SOLE 245000 0 0
NORDSON CORP COM 655663102 595 11600 SH SOLE 11600 0 0
NORTEK INC COM 656559101 214 10900 SH SOLE 10900 0 0
NORTH AMERN MTG CO COM 657037107 731 35900 SH SOLE 35900 0 0
NORTHEAST UTILS COM 664397106 1036 131600 SH SOLE 131600 0 0
NORTHERN TELECOM LTD COM 665815106 1105 16900 SH SOLE 16900 0 0
NORTHN STS PWR CO MINN COM 665772109 4723 99700 SH SOLE 99700 0 0
NORTHROP GRUMMAN CORP COM 666807102 461 6100 SH SOLE 6100 0 0
NORWEST CORP COM 669380107 1008 21800 SH SOLE 21800 0 0
NOVA CORP ALTA COM 669943102 6534 1110871 SH SOLE 1110871 0 0
NOVACARE CORP COM 669930109 1657 136700 SH SOLE 136700 0 0
NOVELL INC COM 670006105 434 45700 SH SOLE 45700 0 0
NOVELLUS SYS INC COM 670008101 1228 17800 SH SOLE 17800 0 0
NUI CORP COM 629430109 357 17200 SH SOLE 17200 0 0
NUMAC ENERGY INC COM 67052A103 448 141600 SH SOLE 141600 0 0
NYNEX CORP COM 670768100 13614 299200 SH SOLE 299200 0 0
OAK TECHNOLOGY INC COM 671802106 394 38900 SH SOLE 38900 0 0
OAKLEY INC COM 673662102 715 79400 SH SOLE 79400 0 0
OAKWOOD HOMES CORP COM 674098108 353 20000 SH SOLE 20000 0 0
OASIS RESIDENTIAL INC COM 674216106 947 42100 SH SOLE 42100 0 0
OCCIDENTAL PETE CORP DEL COM 674599105 5225 212200 SH SOLE 212200 0 0
OCEANEERING INTL INC COM 675232102 338 21600 SH SOLE 21600 0 0
OCTEL COMMUNICATIONS CORP COM 675724108 433 27300 SH SOLE 27300 0 0
OFFICE DEPOT INC COM 676220106 458 22500 SH SOLE 22500 0 0
OFFICEMAX INC COM 67622M108 484 37200 SH SOLE 37200 0 0
OGDEN CORP COM 676346109 1692 80100 SH SOLE 80100 0 0
OHIO CAS CORP COM 677240103 1908 46400 SH SOLE 46400 0 0
OHIO EDISON CO COM 677347106 1825 86902 SH SOLE 86902 0 0
OLD KENT FINL CORP COM 679833103 646 13700 SH SOLE 13700 0 0
OLD REP INTL CORP COM 680223104 4869 190000 SH SOLE 190000 0 0
OLIN CORP COM PAR $1 680665205 374 9400 SH SOLE 9400 0 0
OLSTEN CORP COM 681385100 416 25800 SH SOLE 25800 0 0
ONBANCORP INC COM 682303102 482 10300 SH SOLE 10300 0 0
ONE VALLEY BANCORP INC COM 682419106 488 13600 SH SOLE 13600 0 0
ONEOK INC COM 682678107 632 24300 SH SOLE 24300 0 0
ORACLE CORP COM 68389X105 16034 415800 SH SOLE 415800 0 0
ORANGE & ROCKLAND UTILS INC COM 684065105 360 10100 SH SOLE 10100 0 0
OREGON METALLURGICAL CORP COM 685899106 371 20600 SH SOLE 20600 0 0
OREGON STL MLS INC COM 686079104 653 37600 SH SOLE 37600 0 0
ORION CAP CORP COM 686268103 1815 29400 SH SOLE 29400 0 0
ORYX ENERGY COMPANY COM 68763F100 2370 123100 SH SOLE 123100 0 0
OUTBACK STEAKHOUSE INC COM 689899102 220 11000 SH SOLE 11000 0 0
OUTBOARD MARINE CORP COM 690020102 780 61800 SH SOLE 61800 0 0
OWENS CORNING COM 69073F103 2918 72500 SH SOLE 72500 0 0
OWENS ILL INC COM NEW 690768403 522 21200 SH SOLE 21200 0 0
P P & L RES INC COM 693499105 2701 133400 SH SOLE 133400 0 0
PACCAR INC COM 693718108 794 11900 SH SOLE 11900 0 0
PACIFIC GULF PPTYS INC COM 694396102 920 42300 SH SOLE 42300 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
PACIFIC TELESIS GROUP COM 694890104 39286 1040700 SH SOLE 1040700 0 0
PACIFICARE HEALTH SYS DEL CL B 695112201 345 4000 SH SOLE 4000 0 0
PACIFICORP COM 695114108 12550 590600 SH SOLE 590600 0 0
PAINE WEBBER GROUP INC COM 695629105 3503 124000 SH SOLE 124000 0 0
PANENERGY CORP COM 697926103 1708 39600 SH SOLE 39600 0 0
PARAGON GROUP INC COM 699116109 614 36100 SH SOLE 36100 0 0
PARAGON TRADE BRANDS INC COM 69912K107 1313 78400 SH SOLE 78400 0 0
PARKER & PARSLEY PETE CO COM 701018103 1124 38100 SH SOLE 38100 0 0
PATRIOT AMERN HOSPITALITY INC COM 703353102 7062 291200 SH SOLE 291200 0 0
PAUL REVERE CORP COM 703559104 1967 46000 SH SOLE 46000 0 0
PAYCHEX INC COM 704326107 666 16200 SH SOLE 16200 0 0
PECO ENERGY CO COM 693304107 497 24400 SH SOLE 24400 0 0
PEGASUS GOLD INC COM 70556K106 180 28700 SH SOLE 28700 0 0
PENNCORP FINL GROUP INC COM 708094107 787 24400 SH SOLE 24400 0 0
PENNEY J C INC COM 708160106 26841 563601 SH SOLE 563601 0 0
PENNSYLVANIA RL ESTATE INVT TR SH BEN INT 709102107 283 13400 SH SOLE 13400 0 0
PENNZOIL CO COM 709903108 4331 83700 SH SOLE 83700 0 0
PENTAIR INC COM 709631105 465 16100 SH SOLE 16100 0 0
PEOPLES BK BRIDGEPORT CONN COM 710198102 579 17800 SH SOLE 17800 0 0
PEOPLES ENERGY CORP COM 711030106 808 24400 SH SOLE 24400 0 0
PEOPLES HERITAGE FINL GROUP COM 711147108 240 7800 SH SOLE 7800 0 0
PEPSICO INC COM 713448108 13002 401600 SH SOLE 401600 0 0
PERKIN ELMER CORP COM 714041100 496 7700 SH SOLE 7700 0 0
PERRIGO CO COM 714290103 637 58600 SH SOLE 58600 0 0
PETROLITE CORP COM 716723101 337 5700 SH SOLE 5700 0 0
PFEIFFER VACUUM TECH AG SPONSORED ADR 717067102 6230 280000 SH SOLE 280000 0 0
PFIZER INC COM 717081103 18773 223156 SH SOLE 223156 0 0
PG&E CORP COM 69331C108 3017 128400 SH SOLE 128400 0 0
PHARMACIA & UPJOHN INC COM 716941109 25893 706965 SH SOLE 706965 0 0
PHELPS DODGE CORP COM 717265102 8314 113700 SH SOLE 113700 0 0
PHH CORP COM 693320103 2652 57500 SH SOLE 57500 0 0
PHILIP MORRIS COS INC COM 718154107 46235 405128 SH SOLE 405128 0 0
PHILIPS ELECTRS N V NEW YORK SHS 718337504 7735 174300 SH SOLE 174300 0 0
PHILLIPS PETE CO COM 718507106 22955 561600 SH SOLE 561600 0 0
PHILLIPS VAN HEUSEN CORP COM 718592108 439 37000 SH SOLE 37000 0 0
PIER 1 IMPORTS INC COM 720279108 1489 84500 SH SOLE 84500 0 0
PINNACLE WEST CAP CORP COM 723484101 741 24600 SH SOLE 24600 0 0
PIONEER STD ELECTRS INC COM 723877106 914 71700 SH SOLE 71700 0 0
PIPER JAFFRAY COS INC COM 724081104 488 35200 SH SOLE 35200 0 0
PITNEY BOWES INC COM 724479100 4994 85000 SH SOLE 85000 0 0
PITTSTON CO COM BRINKS GRP 725701106 321 12700 SH SOLE 12700 0 0
PITTWAY CORP DEL CL A 725790208 223 4600 SH SOLE 4600 0 0
PLATINUM SOFTWARE CORP COM 72764R105 104 10100 SH SOLE 10100 0 0
PLAYBOY ENTERPRISES INC CL B 728117300 172 11200 SH SOLE 11200 0 0
PMI GROUP INC COM 69344M101 311 6200 SH SOLE 6200 0 0
PNC BK CORP COM 693475105 32184 804600 SH SOLE 804600 0 0
POGO PRODUCING CO COM 730448107 418 11600 SH SOLE 11600 0 0
POHANG IRON & STL LTD SPONSORED ADR 730450103 998 42000 SH SOLE 42000 0 0
POLAROID CORP COM 731095105 607 15259 SH SOLE 15259 0 0
POOL ENERGY SVCS CO COM 732788104 276 18700 SH SOLE 18700 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
POPE & TALBOT INC COM 732827100 329 23900 SH SOLE 23900 0 0
PORTLAND GEN CORP COM 736506106 6602 189300 SH SOLE 189300 0 0
POST PPTYS INC COM 737464107 2646 69400 SH SOLE 69400 0 0
POTASH CORP SASK INC COM 73755L107 802 13615 SH SOLE 13615 0 0
POTLATCH CORP COM 737628107 3232 78600 SH SOLE 78600 0 0
POTOMAC ELEC PWR CO COM 737679100 4582 187000 SH SOLE 187000 0 0
PPG INDS INC COM 693506107 491 9100 SH SOLE 9100 0 0
PRAXAIR INC COM 74005P104 938 20900 SH SOLE 20900 0 0
PRECISION CASTPARTS CORP COM 740189105 490 9600 SH SOLE 9600 0 0
PREMARK INTL INC COM 740459102 1948 98000 SH SOLE 98000 0 0
PRESIDENTIAL LIFE CORP COM 740884101 715 48500 SH SOLE 48500 0 0
PRICE REIT INC COM 74147T105 1835 49600 SH SOLE 49600 0 0
PRICE T ROWE & ASSOCIATES COM 741477103 1496 40300 SH SOLE 40300 0 0
PRIMARK CORP COM 741903108 475 20000 SH SOLE 20000 0 0
PROCTER & GAMBLE CO COM 742718109 44156 384800 SH SOLE 384800 0 0
PROFFITTS INC COM 742925100 891 23600 SH SOLE 23600 0 0
PROGRESSIVE CORP OHIO COM 743315103 5468 85600 SH SOLE 85600 0 0
PROMUS HOTEL CORP COM 74342H104 608 18300 SH SOLE 18300 0 0
PROTECTIVE LIFE CORP COM 743674103 1886 44900 SH SOLE 44900 0 0
PROVIDENT BANCORP INC COM PAR $6 743834202 1149 32600 SH SOLE 32600 0 0
PROVIDENT COS INC COM 743862104 5059 92400 SH SOLE 92400 0 0
PROVIDIAN CORP COM 744061102 17692 330700 SH SOLE 330700 0 0
PUBLIC SERVICE CO COLO COM 744448101 3732 96300 SH SOLE 96300 0 0
PUBLIC STORAGE INC COM 74460D109 19323 666300 SH SOLE 666300 0 0
PUBLIC SVC CO N MEX COM 744499104 1635 94800 SH SOLE 94800 0 0
PUBLIC SVC ENTERPRISE GROUP COM 744573106 1830 69700 SH SOLE 69700 0 0
PUGET SOUND ENERGY INC COM 745332106 662 26200 SH SOLE 26200 0 0
PULITZER PUBG CO COM 745771105 1015 23467 SH SOLE 23467 0 0
PULTE CORP COM 745867101 851 29100 SH SOLE 29100 0 0
QLT PHOTOTHERAPEUTICS INC COM 746927102 204 13600 SH SOLE 13600 0 0
QUAKER ST CORP COM 747410108 384 25000 SH SOLE 25000 0 0
QUALITY FOOD CTRS INC COM 747565109 987 23500 SH SOLE 23500 0 0
QUANEX CORP COM 747620102 553 22000 SH SOLE 22000 0 0
QUANTUM CORP COM 747906105 3098 80200 SH SOLE 80200 0 0
QUESTAR CORP COM 748356102 540 15000 SH SOLE 15000 0 0
QUICK & REILLY GROUP DEL COM 748376100 1388 66504 SH SOLE 66504 0 0
QUINTILES TRANSNATIONAL CORP COM 748767100 269 5000 SH SOLE 5000 0 0
R O C TAIWAN FD SH BEN INT 749651105 4397 370300 SH SOLE 370300 0 0
RANGER OIL LTD COM 752805101 1391 202250 SH SOLE 202250 0 0
RATIONAL SOFTWARE CORP COM NEW 75409P202 268 13000 SH SOLE 13000 0 0
RAYCHEM CORP DEL COM 754603108 816 9900 SH SOLE 9900 0 0
RAYMOND JAMES FINANCIAL INC COM 754730109 2076 65650 SH SOLE 65650 0 0
RAYONIER INC COM 754907103 1321 35450 SH SOLE 35450 0 0
RAYTHEON CO COM 755111101 27522 609900 SH SOLE 609900 0 0
READ-RITE CORP COM 755246105 1510 59800 SH SOLE 59800 0 0
READING & BATES CORP COM NEW 755281805 1079 47700 SH SOLE 47700 0 0
REALTY INCOME CORP COM 756109104 1845 80200 SH SOLE 80200 0 0
RECKSON ASSOCS RLTY CORP COM 75621K106 2099 45500 SH SOLE 45500 0 0
REEBOK INTL LTD COM 758110100 11506 256400 SH SOLE 256400 0 0
REGENCY RLTY CORP COM 758939102 704 26300 SH SOLE 26300 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
REINSURANCE GROUP AMER INC COM 759351109 815 16800 SH SOLE 16800 0 0
RELIANCE GROUP HOLDINGS INC COM 759464100 2605 248100 SH SOLE 248100 0 0
RELIASTAR FINL CORP COM 75952U103 6831 115539 SH SOLE 115539 0 0
REMEDY CORP COM 759548100 612 16000 SH SOLE 16000 0 0
REPAP ENTERPRISES INC COM 76026M309 165 202000 SH SOLE 202000 0 0
REPUBLIC N Y CORP COM 760719104 1313 14900 SH SOLE 14900 0 0
REVCO DS INC NEW COM 761339100 725 17900 SH SOLE 17900 0 0
REXALL SUNDOWN INC COM 761648104 318 12400 SH SOLE 12400 0 0
REYNOLDS & REYNOLDS CO CL A 761695105 1344 56300 SH SOLE 56300 0 0
REYNOLDS METALS CO COM 761763101 1370 22100 SH SOLE 22100 0 0
RFS HOTEL INVS INC COM 74955J108 2401 137200 SH SOLE 137200 0 0
RHONE POULENC RORER INC COM 76242T104 326 4400 SH SOLE 4400 0 0
RICHFOOD HLDGS INC COM 763408101 619 33000 SH SOLE 33000 0 0
RIGGS NATL CORP WASH DC COM 766570105 714 35500 SH SOLE 35500 0 0
RIO ALGOM LTD COM 766889109 579 33300 SH SOLE 33300 0 0
RITE AID CORP COM 767754104 1743 41500 SH SOLE 41500 0 0
RJR NABISCO HOLDINGS CORP COM NEW 74960K876 2641 81900 SH SOLE 81900 0 0
RJR NABISCO HOLDINGS CORP PFD C DEP1/10S 74960K884 3975 600000 SH SOLE 600000 0 0
RLI CORP COM 749607107 895 28075 SH SOLE 28075 0 0
ROBBINS & MYERS INC COM 770196103 260 9800 SH SOLE 9800 0 0
ROBERT HALF INTL INC COM 770323103 1147 32900 SH SOLE 32900 0 0
ROCHESTER GAS & ELEC CORP COM 771367109 994 52300 SH SOLE 52300 0 0
ROCK-TENN CO CL A 772739207 881 53000 SH SOLE 53000 0 0
ROCKWELL INTL CORP NEW COM 773903109 1739 26800 SH SOLE 26800 0 0
ROGERS CANTEL MOBILE COMMN INC CL B SUB VTG 775102106 1375 103400 SH SOLE 103400 0 0
ROGERS COMMUNICATIONS INC CL B 775109200 194 42900 SH SOLE 42900 0 0
ROHR INC COM 775422108 438 25400 SH SOLE 25400 0 0
ROLLINS INC COM 775711104 1994 104950 SH SOLE 104950 0 0
ROLLINS TRUCK LEASING CORP COM 775741101 444 33500 SH SOLE 33500 0 0
ROOSEVELT FINL GROUP COM 776493108 326 15000 SH SOLE 15000 0 0
ROSS STORES INC COM 778296103 2956 116500 SH SOLE 116500 0 0
ROUGE STL CO CL A 779099100 418 26300 SH SOLE 26300 0 0
ROWAN COS INC COM 779382100 1183 52300 SH SOLE 52300 0 0
ROYAL BK CDA MONTREAL QUE COM 780087102 1288 45626 SH SOLE 45626 0 0
ROYAL DUTCH PETE CO NY REG GLDR 5 780257705 25970 148400 SH SOLE 148400 0 0
ROYAL OAK MINES INC COM 78051D105 480 208000 SH SOLE 208000 0 0
RPC INC COM 749660106 220 15300 SH SOLE 15300 0 0
RUDDICK CORP COM 781258108 704 45400 SH SOLE 45400 0 0
RUSS BERRIE & CO COM 782233100 353 15100 SH SOLE 15100 0 0
RUSSELL CORP COM 782352108 1480 41400 SH SOLE 41400 0 0
RYANS FAMILY STEAK HOUSE INC COM 783519101 559 71500 SH SOLE 71500 0 0
RYDER SYS INC COM 783549108 3036 103800 SH SOLE 103800 0 0
RYKOFF-SEXTON INC COM 783759103 317 18000 SH SOLE 18000 0 0
RYLAND GROUP INC COM 783764103 949 80800 SH SOLE 80800 0 0
SABRE GROUP HLDGS INC CL A 785905100 379 15000 SH SOLE 15000 0 0
SAFECO CORP COM 786429100 11592 289800 SH SOLE 289800 0 0
SAFESKIN CORP COM 786454108 190 10500 SH SOLE 10500 0 0
SAFETY KLEEN CORP COM 786484105 1798 121900 SH SOLE 121900 0 0
SAFEWAY INC COM NEW 786514208 19660 422800 SH SOLE 422800 0 0
SALOMON INC COM 79549B107 17426 349400 SH SOLE 349400 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
SANDERSON FARMS INC COM 800013104 904 55200 SH SOLE 55200 0 0
SANMINA CORP COM 800907107 286 6400 SH SOLE 6400 0 0
SANTA FE ENERGY RES INC COM 802012104 1253 90300 SH SOLE 90300 0 0
SARA LEE CORP COM 803111103 33003 814900 SH SOLE 814900 0 0
SAUL CTRS INC COM 804395101 485 31300 SH SOLE 31300 0 0
SAVANNAH FOODS & INDS INC COM 804795102 146 11100 SH SOLE 11100 0 0
SBARRO INC COM 805844107 398 14100 SH SOLE 14100 0 0
SBC COMMUNICATIONS INC COM 78387G103 2625 50000 SH SOLE 50000 0 0
SCANA CORP COM 805898103 3324 131000 SH SOLE 131000 0 0
SCHERER R P CORP DEL COM 806528105 218 4200 SH SOLE 4200 0 0
SCHERING PLOUGH CORP COM 806605101 16492 226700 SH SOLE 226700 0 0
SCHLUMBERGER LTD COM 806857108 17610 164200 SH SOLE 164200 0 0
SCHULLER CORP COM 808189104 1186 103100 SH SOLE 103100 0 0
SCHWAB CHARLES CORP NEW COM 808513105 330 10300 SH SOLE 10300 0 0
SCI SYS INC COM 783890106 2288 45200 SH SOLE 45200 0 0
SEABOARD CORP COM 811543107 300 1200 SH SOLE 1200 0 0
SEAGATE TECHNOLOGY COM 811804103 1876 41800 SH SOLE 41800 0 0
SEAGRAM LTD COM 811850106 17686 561568 SH SOLE 561568 0 0
SEAGULL ENERGY CORP COM 812007102 897 49500 SH SOLE 49500 0 0
SEALED AIR CORP COM 812115103 313 7600 SH SOLE 7600 0 0
SECURITY CAP PAC TR SH BEN INT 814141107 10749 441000 SH SOLE 441000 0 0
SEI INVESTMENTS CO COM 784117103 239 11400 SH SOLE 11400 0 0
SELECTIVE INS GROUP INC COM 816300107 888 21400 SH SOLE 21400 0 0
SEMI-TECH CORP CL A SUB VTG 81662E108 4403 3343500 SH SOLE 3343500 0 0
SENSORMATIC ELECTRS CORP COM 817265101 248 14700 SH SOLE 14700 0 0
SEQUA CORPORATION CL A 817320104 901 20200 SH SOLE 20200 0 0
SEQUENT COMPUTER SYS INC COM 817338106 291 19400 SH SOLE 19400 0 0
SEQUUS PHARMACEUTICALS INC COM 817471105 424 55600 SH SOLE 55600 0 0
SERVICE MERCHANDISE INC COM 817587108 432 128000 SH SOLE 128000 0 0
SERVICEMASTER LTD PARTNERSHIP PUB PARTNER SH 817615107 264 9700 SH SOLE 9700 0 0
SHAW INDS INC COM 820286102 521 40900 SH SOLE 40900 0 0
SHERWIN WILLIAMS CO COM 824348106 721 26700 SH SOLE 26700 0 0
SHOPKO STORES INC COM 824911101 612 40800 SH SOLE 40800 0 0
SHOREWOOD PACKAGING CORP COM 825229107 415 22300 SH SOLE 22300 0 0
SHOWBIZ PIZZA TIME COM NEW 825388309 630 36000 SH SOLE 36000 0 0
SHURGARD STORAGE CTRS INC COM 82567D104 4735 171400 SH SOLE 171400 0 0
SIERRA HEALTH SVCS INC COM 826322109 393 15500 SH SOLE 15500 0 0
SIERRA PAC RES COM 826425100 802 27300 SH SOLE 27300 0 0
SIGCORP INC COM 826912107 330 14100 SH SOLE 14100 0 0
SIGNET BKG CORP COM 826681108 1363 46000 SH SOLE 46000 0 0
SILICON GRAPHICS INC COM 827056102 357 18300 SH SOLE 18300 0 0
SILICON VY GROUP INC COM 827066101 426 19800 SH SOLE 19800 0 0
SIMON DEBARTOLO GROUP INC COM 828781104 12439 411200 SH SOLE 411200 0 0
SIMPSON INDS INC COM 829060102 172 17400 SH SOLE 17400 0 0
SKYLINE CORP COM 830830105 252 11500 SH SOLE 11500 0 0
SMART & FINAL INC COM 831683107 290 14800 SH SOLE 14800 0 0
SMITH A O COM 831865209 840 24100 SH SOLE 24100 0 0
SMITH CHARLES E RESDNTL RLTY COM 832197107 925 34100 SH SOLE 34100 0 0
SMITH INTL INC COM 832110100 1077 23600 SH SOLE 23600 0 0
SMITHFIELD FOODS INC COM 832248108 1428 33800 SH SOLE 33800 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
SMITHKLINE BEECHAM PLC ADR REP ORD 832378301 350 5000 SH SOLE 5000 0 0
SMITHS FOOD & DRUG CTRS INC CL B 832388102 1064 31065 SH SOLE 31065 0 0
SNYDER OIL CORP COM 833482102 198 12300 SH SOLE 12300 0 0
SOCIEDAD QUIMICA MINERA DE CHI SPON ADR SER B 833635105 2822 48970 SH SOLE 48970 0 0
SOFAMOR/DANEK GROUP INC COM 834005100 1369 37900 SH SOLE 37900 0 0
SOLECTRON CORP COM 834182107 406 8100 SH SOLE 8100 0 0
SONAT INC COM 835415100 16045 294400 SH SOLE 294400 0 0
SONOCO PRODS CO COM 835495102 2784 103100 SH SOLE 103100 0 0
SOUTHDOWN INC COM 841297104 911 26600 SH SOLE 26600 0 0
SOUTHERN CO COM 842587107 38285 1812300 SH SOLE 1812300 0 0
SOUTHERN NATIONAL CORP COM 843444100 3002 80600 SH SOLE 80600 0 0
SOUTHLAND CORP COM NEW 844436402 723 229100 SH SOLE 229100 0 0
SOUTHTRUST CORP COM 844730101 224 6200 SH SOLE 6200 0 0
SOUTHWEST GAS CORP COM 844895102 504 29000 SH SOLE 29000 0 0
SOUTHWESTERN ENERGY CO COM 845467109 320 23900 SH SOLE 23900 0 0
SOVEREIGN BANCORP INC COM 845905108 618 51480 SH SOLE 51480 0 0
SOVRAN SELF STORAGE INC COM 84610H108 1138 37000 SH SOLE 37000 0 0
SPACELABS MED INC COM 846247104 988 49100 SH SOLE 49100 0 0
SPECTRUM HOLOBYTE INC COM 84762J100 73 11600 SH SOLE 11600 0 0
SPELLING ENTMT GROUP INC COM 847807104 254 44100 SH SOLE 44100 0 0
SPIEGEL INC CL A 848457107 499 72600 SH SOLE 72600 0 0
SPIEKER PPTYS INC COM 848497103 8896 228100 SH SOLE 228100 0 0
SPRINGS INDS INC CL A 851783100 1329 29700 SH SOLE 29700 0 0
SPRINT CORP COM 852061100 49994 1101800 SH SOLE 1101800 0 0
SPX CORP COM 784635104 1283 28200 SH SOLE 28200 0 0
ST PAUL BANCORP INC COM 792848103 684 24975 SH SOLE 24975 0 0
ST PAUL COS INC COM 792860108 21772 335600 SH SOLE 335600 0 0
STANDARD FED BANCORPORATION COM 853386100 2639 45500 SH SOLE 45500 0 0
STANDARD MTR PRODS INC COM 853666105 196 14900 SH SOLE 14900 0 0
STANDARD PAC CORP NEW COM 85375C101 814 130300 SH SOLE 130300 0 0
STANDARD PRODS CO COM 853836104 284 12200 SH SOLE 12200 0 0
STANDARD REGISTER CO COM 853887107 652 19900 SH SOLE 19900 0 0
STANDEX INTL CORP COM 854231107 554 21200 SH SOLE 21200 0 0
STANHOME INC COM VTG 854425105 1085 43600 SH SOLE 43600 0 0
STARBUCKS CORP COM 855244109 358 12100 SH SOLE 12100 0 0
STARRETT L S CO CL A 855668109 773 27000 SH SOLE 27000 0 0
STARWOOD LODGING TR COMBND CTF NEW 855905204 11361 291300 SH SOLE 291300 0 0
STATE ST BOSTON CORP COM 857473102 881 12700 SH SOLE 12700 0 0
STEIN MART INC COM 858375108 239 8400 SH SOLE 8400 0 0
STERLING SOFTWARE INC COM 859547101 2124 76900 SH SOLE 76900 0 0
STEWART & STEVENSON SVCS INC COM 860342104 970 48500 SH SOLE 48500 0 0
STONE & WEBSTER INC COM 861572105 287 7800 SH SOLE 7800 0 0
STONE CONTAINER CORP COM 861589109 1059 95200 SH SOLE 95200 0 0
STORAGE TECHNOLOGY CORP COM PAR $0.10 862111200 23621 597999 SH SOLE 597999 0 0
STORAGE TR RLTY SH BEN INT 861909109 2039 79200 SH SOLE 79200 0 0
STORAGE USA INC COM 861907103 5708 154800 SH SOLE 154800 0 0
STRATUS COMPUTER INC COM 863155107 760 24500 SH SOLE 24500 0 0
STUDENT LN CORP COM 863902102 571 15700 SH SOLE 15700 0 0
STUDENT LOAN MARKETING ASSN COM NEW VTG 863871505 12430 130500 SH SOLE 130500 0 0
SUMMIT BANCORP COM 866005101 6654 152100 SH SOLE 152100 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
SUMMIT PPTYS INC COM 866239106 3623 178900 SH SOLE 178900 0 0
SUN COMMUNITIES INC COM 866674104 1376 43000 SH SOLE 43000 0 0
SUN HEALTHCARE GROUP INC COM 866933104 690 48000 SH SOLE 48000 0 0
SUN INC COM 866762107 327 12500 SH SOLE 12500 0 0
SUN MICROSYSTEMS INC COM 866810104 393 13600 SH SOLE 13600 0 0
SUNAMERICA INC COM 866930100 2882 76600 SH SOLE 76600 0 0
SUNBEAM CORP COM 867071102 555 18500 SH SOLE 18500 0 0
SUNCOR INC COM 867229106 2866 88956 SH SOLE 88956 0 0
SUNGARD DATA SYS INC COM 867363103 252 5800 SH SOLE 5800 0 0
SUNRISE MED INC COM 867910101 645 49600 SH SOLE 49600 0 0
SUNSTONE HOTEL INVS INC COM 867933103 707 53900 SH SOLE 53900 0 0
SUNTRUST BKS INC COM 867914103 1224 26400 SH SOLE 26400 0 0
SUPERIOR INDS INTL INC COM 868168105 534 23600 SH SOLE 23600 0 0
SUPERVALU INC COM 868536103 8163 274400 SH SOLE 274400 0 0
SWIFT TRANSN CO COM 870756103 255 10000 SH SOLE 10000 0 0
SYBRON INTL CORP COM 87114F106 466 16800 SH SOLE 16800 0 0
SYMBOL TECHNOLOGIES INC COM 871508107 280 5800 SH SOLE 5800 0 0
SYNETIC INC COM 87160F109 279 5900 SH SOLE 5900 0 0
SYNOVUS FINL CORP COM 87161C105 2805 95100 SH SOLE 95100 0 0
TANDEM COMPUTERS INC COM 875370108 7228 608700 SH SOLE 608700 0 0
TANDY CORP COM 875382103 396 7900 SH SOLE 7900 0 0
TAUBMAN CTRS INC COM 876664103 1681 129300 SH SOLE 129300 0 0
TECH DATA CORP COM 878237106 1896 78600 SH SOLE 78600 0 0
TECH SYM CORP COM 878308105 207 6800 SH SOLE 6800 0 0
TECO ENERGY INC COM 872375100 4423 184300 SH SOLE 184300 0 0
TECUMSEH PRODS CO CL B 878895101 2300 42300 SH SOLE 42300 0 0
TEKELEC COM 879101103 194 10200 SH SOLE 10200 0 0
TEKTRONIX INC COM 879131100 556 11000 SH SOLE 11000 0 0
TELE COMMUNICATIONS INC NEW COM TCI GRP A 87924V101 1200 100000 SH SOLE 100000 0 0
TELECOMM ARGENTINA STET-FRANCE SPNS ADR REP B 879273209 2843 61800 SH SOLE 61800 0 0
TELEFLEX INC COM 879369106 412 7800 SH SOLE 7800 0 0
TELEFONICA DE ARGENTINA S A SPNSR ADR CL B 879378206 3014 102600 SH SOLE 102600 0 0
TELEFONICA DE ESPANA S A SPONSORED ADR 879382208 538 7500 SH SOLE 7500 0 0
TELEFONOS DE MEXICO S A SP ADR REP ORD 879403780 36725 953900 SH SOLE 953900 0 0
TELLABS INC COM 879664100 9728 269300 SH SOLE 269300 0 0
TEMPLE INLAND INC COM 879868107 8915 169800 SH SOLE 169800 0 0
TENCOR INSTRS COM 880323100 975 27000 SH SOLE 27000 0 0
TENET HEALTHCARE CORP COM 88033G100 16164 659745 SH SOLE 659745 0 0
TENNECO INC NEW COM 88037E101 1950 50000 SH SOLE 50000 0 0
TERADYNE INC COM 880770102 953 33000 SH SOLE 33000 0 0
TERRA INDS INC COM 880915103 1289 92100 SH SOLE 92100 0 0
TESORO PETE CORP COM 881609101 202 19200 SH SOLE 19200 0 0
TEXACO INC COM 881694103 48421 442200 SH SOLE 442200 0 0
TEXAS INDS INC COM 882491103 402 14600 SH SOLE 14600 0 0
TEXAS UTILS CO COM 882848104 24393 712200 SH SOLE 712200 0 0
TEXTRON INC COM 883203101 431 4100 SH SOLE 4100 0 0
THIOKOL CORP DEL COM 884103102 4724 85500 SH SOLE 85500 0 0
THOMAS & BETTS CORP COM 884315102 218 5101 SH SOLE 5101 0 0
THOR INDS INC COM 885160101 416 17800 SH SOLE 17800 0 0
TIFFANY & CO NEW COM 886547108 277 7300 SH SOLE 7300 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
TIG HLDGS INC COM 872469101 5293 166700 SH SOLE 166700 0 0
TIMBERLAND CO CL A 887100105 509 11600 SH SOLE 11600 0 0
TIMKEN CO COM 887389104 1552 29000 SH SOLE 29000 0 0
TJ INTL INC COM 872534102 473 24900 SH SOLE 24900 0 0
TJX COS INC NEW COM 872540109 6066 141900 SH SOLE 141900 0 0
TNP ENTERPRISES INC COM 872594106 276 12900 SH SOLE 12900 0 0
TOLL BROTHERS INC COM 889478103 425 23300 SH SOLE 23300 0 0
TOOTSIE ROLL INDS INC COM 890516107 575 12805 SH SOLE 12805 0 0
TORCHMARK CORP COM 891027104 9378 169350 SH SOLE 169350 0 0
TORO CO COM 891092108 966 28400 SH SOLE 28400 0 0
TOSCO CORP COM NEW 891490302 8664 304000 SH SOLE 304000 0 0
TOTAL PETE NORTH AMER LTD COM 891508103 375 49400 SH SOLE 49400 0 0
TOYS R US INC COM 892335100 21988 785300 SH SOLE 785300 0 0
TRANSAMERICA CORP COM 893485102 13471 150509 SH SOLE 150509 0 0
TRANSATLANTIC HLDGS INC COM 893521104 2234 26600 SH SOLE 26600 0 0
TRANSCANADA PIPELINES LTD COM 893526103 6539 488878 SH SOLE 488878 0 0
TRANSITIONAL HOSPS CORP COM 893719104 173 20000 SH SOLE 20000 0 0
TRANSOCEAN OFFSHORE INC COM 893817106 769 13700 SH SOLE 13700 0 0
TRAVELERS GROUP INC COM 894190107 33523 698398 SH SOLE 698398 0 0
TREDEGAR INDS INC COM 894650100 983 24350 SH SOLE 24350 0 0
TRENWICK GROUP INC COM 895290104 272 5500 SH SOLE 5500 0 0
TRINET CORP RLTY TR INC COM 896287109 2672 84500 SH SOLE 84500 0 0
TRINITY INDS INC COM 896522109 2005 66000 SH SOLE 66000 0 0
TRINOVA CORP COM 896678109 533 15900 SH SOLE 15900 0 0
TRITON ENERGY LTD ORD G90751101 240 6200 SH SOLE 6200 0 0
TRIZEC HAHN CORP SUB VTG 896938107 2048 125702 SH SOLE 125702 0 0
TRUE NORTH COMMUNICATIONS INC COM 897844106 353 18800 SH SOLE 18800 0 0
TRUSTMARK CORP COM 898402102 510 20800 SH SOLE 20800 0 0
TRW INC COM 872649108 13424 259400 SH SOLE 259400 0 0
TUCSON ELEC PWR CO COM NEW 898813704 604 42040 SH SOLE 42040 0 0
TULTEX CORP COM 899900104 404 52100 SH SOLE 52100 0 0
TVX GOLD INC COM 87308K101 132 25600 SH SOLE 25600 0 0
TYCO INTERNATIONAL LTD COM 902120104 12161 221100 SH SOLE 221100 0 0
TYSON FOODS INC CL A 902494103 389 20100 SH SOLE 20100 0 0
U S BANCORP ORE COM 911596104 4580 85600 SH SOLE 85600 0 0
U S BIOSCIENCE INC COM PAR $0.01 911646206 364 31300 SH SOLE 31300 0 0
U S G CORP COM NEW 903293405 1192 38000 SH SOLE 38000 0 0
U S INDS INC NEW COM 912080108 835 23700 SH SOLE 23700 0 0
U S OFFICE PRODS CO COM 912325107 775 31300 SH SOLE 31300 0 0
U S TR CORP NEW COM 91288L105 344 8200 SH SOLE 8200 0 0
U S WEST INC COM-COMMUNCTNS 912889102 10840 320000 SH SOLE 320000 0 0
U S WEST INC COM-MEDIA GRP 912889201 2764 149400 SH SOLE 149400 0 0
UICI COM 902737105 256 11200 SH SOLE 11200 0 0
ULTRAMAR DIAMOND SHAMROCK CORP COM 904000106 2192 69042 SH SOLE 69042 0 0
UNICOM CORP COM 904911104 3682 188800 SH SOLE 188800 0 0
UNIFI INC COM 904677101 967 31700 SH SOLE 31700 0 0
UNILEVER N V NEW YORK SHS 904784501 48146 258500 SH SOLE 258500 0 0
UNION CARBIDE CORP COM 905581104 13151 297200 SH SOLE 297200 0 0
UNION PAC CORP COM 907818108 227 4000 SH SOLE 4000 0 0
UNION PAC RES GROUP INC COM 907834105 433 16200 SH SOLE 16200 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
UNION PLANTERS CORP COM 908068109 634 15600 SH SOLE 15600 0 0
UNION TEX PETE HLDGS INC COM 908640105 3374 183600 SH SOLE 183600 0 0
UNIONBANCAL CORP COM 908906100 884 16000 SH SOLE 16000 0 0
UNISYS CORP COM 909214108 691 110600 SH SOLE 110600 0 0
UNITED ASSET MGMT CORP COM 909420101 953 37200 SH SOLE 37200 0 0
UNITED CAROLINA BANCSHARES CP COM 909796104 493 11500 SH SOLE 11500 0 0
UNITED COS FINL CORP COM 909870107 976 47300 SH SOLE 47300 0 0
UNITED DOMINION INDS LTD COM 909914103 2765 156684 SH SOLE 156684 0 0
UNITED DOMINION REALTY TR INC COM 910197102 5283 358138 SH SOLE 358138 0 0
UNITED HEALTHCARE CORP COM 910581107 200 4200 SH SOLE 4200 0 0
UNITED ILLUM CO COM 910637107 528 20200 SH SOLE 20200 0 0
UNITED MERIDIAN CORP COM 910865104 331 11000 SH SOLE 11000 0 0
UNITED STATES FILTER CORP NEW COM NEW 911843209 760 24600 SH SOLE 24600 0 0
UNITED STATES SURGICAL CORP COM 912707106 7527 246800 SH SOLE 246800 0 0
UNITED TECHNOLOGIES CORP COM 913017109 6666 88000 SH SOLE 88000 0 0
UNITED WIS SVCS INC COM 913236105 296 11500 SH SOLE 11500 0 0
UNITED WTR RES INC COM 913190104 376 21948 SH SOLE 21948 0 0
UNIVERSAL CORP VA COM 913456109 1230 42600 SH SOLE 42600 0 0
UNIVERSAL FOODS CORP COM 913538104 2082 62625 SH SOLE 62625 0 0
UNIVERSAL HLTH SVCS INC CL B 913903100 546 16600 SH SOLE 16600 0 0
UNOCAL CORP COM 915289102 25982 681500 SH SOLE 681500 0 0
URBAN SHOPPING CTRS INC COM 917060105 2640 88000 SH SOLE 88000 0 0
US AIRWAYS GROUP INC COM 911905107 3300 134700 SH SOLE 134700 0 0
US AIRWAYS GROUP INC PFD B CV DEPSH 911905305 2063 27500 SH SOLE 27500 0 0
USA WASTE SVCS INC COM 902917103 266 7500 SH SOLE 7500 0 0
USF&G CORP COM 903290104 729 33900 SH SOLE 33900 0 0
USFREIGHTWAYS CORP COM 916906100 621 24000 SH SOLE 24000 0 0
USLIFE CORP COM 917318107 4352 93350 SH SOLE 93350 0 0
USX MARATHON GROUP COM NEW 902905827 12307 441500 SH SOLE 441500 0 0
USX-U S STL COM 90337T101 5469 205400 SH SOLE 205400 0 0
UTILICORP UTD INC COM 918005109 811 31800 SH SOLE 31800 0 0
V F CORP COM 918204108 13435 200900 SH SOLE 200900 0 0
VALERO ENERGY CORP COM 919138107 1280 35200 SH SOLE 35200 0 0
VALSPAR CORP COM 920355104 523 18200 SH SOLE 18200 0 0
VALUE CITY DEPT STORES INC COM 920387107 380 46100 SH SOLE 46100 0 0
VALUE HEALTH INC COM 920393105 540 28800 SH SOLE 28800 0 0
VALUJET INC COM 919906107 208 28200 SH SOLE 28200 0 0
VARCO INTL INC COM 922126107 548 21900 SH SOLE 21900 0 0
VARIAN ASSOC INC COM 922204102 658 12300 SH SOLE 12300 0 0
VENCOR INC COM 922602107 706 18648 SH SOLE 18648 0 0
VERIFONE INC COM 923429104 208 6400 SH SOLE 6400 0 0
VIAD CORP COM 92552R109 392 24500 SH SOLE 24500 0 0
VINA CONCHA Y TORO S A SPONSORED ADR 927191106 2123 74500 SH SOLE 74500 0 0
VINTAGE PETE INC COM 927460105 438 14600 SH SOLE 14600 0 0
VISHAY INTERTECHNOLOGY INC COM 928298108 790 35500 SH SOLE 35500 0 0
VISIO CORP COM 927914101 273 7000 SH SOLE 7000 0 0
VITAL SIGNS INC COM 928469105 637 28300 SH SOLE 28300 0 0
VITESSE SEMICONDUCTOR CORP COM 928497106 392 14200 SH SOLE 14200 0 0
VITRO SOCIEDAD ANONIMA SPONSORED ADR 928502301 13938 1889900 SH SOLE 1889900 0 0
VLSI TECHNOLOGY INC COM 918270109 531 30700 SH SOLE 30700 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
VONS COS INC COM 928869106 4643 71700 SH SOLE 71700 0 0
VORNADO RLTY TR SH BEN INT 929042109 9746 146000 SH SOLE 146000 0 0
VULCAN MATLS CO COM 929160109 960 14800 SH SOLE 14800 0 0
WABAN INC COM 929394104 1620 58100 SH SOLE 58100 0 0
WABASH NATL CORP COM 929566107 930 53500 SH SOLE 53500 0 0
WACHOVIA CORP COM 929771103 1052 19300 SH SOLE 19300 0 0
WAL MART STORES INC COM 931142103 27752 995600 SH SOLE 995600 0 0
WALDEN RESIDENTIAL PPTYS INC COM 931210108 2499 103600 SH SOLE 103600 0 0
WALLACE COMPUTER SERVICES INC COM 932270101 4121 124400 SH SOLE 124400 0 0
WARNER LAMBERT CO COM 934488107 48388 559400 SH SOLE 559400 0 0
WASHINGTON FED INC COM 938824109 1172 51495 SH SOLE 51495 0 0
WASHINGTON GAS LT CO COM 938837101 439 19500 SH SOLE 19500 0 0
WASHINGTON MUT INC COM 939322103 498 10300 SH SOLE 10300 0 0
WASHINGTON NATL CORP COM 939339107 368 13200 SH SOLE 13200 0 0
WASHINGTON POST CO CL B 939640108 310 900 SH SOLE 900 0 0
WASHINGTON REAL ESTATE INVT TR SH BEN INT 939653101 1573 88000 SH SOLE 88000 0 0
WASHINGTON WTR PWR CO COM 940688104 332 19100 SH SOLE 19100 0 0
WASTE MGMT INTL PLC SPONSORED ADR 940906100 1313 175000 SH SOLE 175000 0 0
WATKINS JOHNSON CO COM 942486101 210 9200 SH SOLE 9200 0 0
WATTS INDS INC CL A 942749102 1125 48400 SH SOLE 48400 0 0
WEBB DEL CORP COM 947423109 310 20000 SH SOLE 20000 0 0
WEEKS CORP COM 94856P102 3049 88700 SH SOLE 88700 0 0
WEINGARTEN RLTY INVS SH BEN INT 948741103 5191 122500 SH SOLE 122500 0 0
WEIS MKTS INC COM 948849104 627 22600 SH SOLE 22600 0 0
WELLMAN INC COM 949702104 1159 66200 SH SOLE 66200 0 0
WELLPOINT HEALTH NETWORK NEW COM 94973H108 2104 50700 SH SOLE 50700 0 0
WELLS FARGO & CO DEL COM 949740104 653 2300 SH SOLE 2300 0 0
WELLSFORD RESIDENTIAL PPTY TR COM SH BEN INT 950241109 2016 69500 SH SOLE 69500 0 0
WERNER ENTERPRISES INC COM 950755108 422 22500 SH SOLE 22500 0 0
WEST INC COM 953348109 231 8500 SH SOLE 8500 0 0
WESTCOAST ENERGY INC COM 95751D102 4695 348900 SH SOLE 348900 0 0
WESTERN DIGITAL CORP COM 958102105 5130 90600 SH SOLE 90600 0 0
WESTERN GAS RES INC COM 958259103 938 52100 SH SOLE 52100 0 0
WESTERN INVT REAL ESTATE TR SH BEN INT 958468100 665 53200 SH SOLE 53200 0 0
WESTERN NATL CORP COM 958845109 713 30500 SH SOLE 30500 0 0
WESTERN RES INC COM 959425109 660 22000 SH SOLE 22000 0 0
WESTPOINT STEVENS INC COM 961238102 530 13900 SH SOLE 13900 0 0
WESTVACO CORP COM 961548104 28559 1136687 SH SOLE 1136687 0 0
WET SEAL INC CL A 961840105 698 29100 SH SOLE 29100 0 0
WEYERHAEUSER CO COM 962166104 696 15600 SH SOLE 15600 0 0
WHEELABRATOR TECH INC NEW COM PAR $0.01 962901302 6934 528300 SH SOLE 528300 0 0
WHITMAN CORP COM 96647K102 6504 265450 SH SOLE 265450 0 0
WHX CORP COM 929248102 1026 152000 SH SOLE 152000 0 0
WILLAMETTE INDS INC COM 969133107 8119 129900 SH SOLE 129900 0 0
WILLIAMS COS INC DEL COM 969457100 803 18000 SH SOLE 18000 0 0
WILLIAMS SONOMA INC COM 969904101 290 10100 SH SOLE 10100 0 0
WILMINGTON TRUST CORP COM 971807102 982 23100 SH SOLE 23100 0 0
WINSTON HOTELS INC COM 97563A102 993 77100 SH SOLE 77100 0 0
WISCONSIN CENT TRANSN CORP COM 976592105 307 8700 SH SOLE 8700 0 0
WISCONSIN ENERGY CORP COM 976657106 4319 176300 SH SOLE 176300 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
WLR FOODS INC COM 929286102 565 57950 SH SOLE 57950 0. 0
WMX TECHNOLOGIES INC COM 92929Q107 5206 170000 SH SOLE 170000 0. 0
WOLVERINE WORLD WIDE INC COM 978097103 259 7100 SH SOLE 7100 0. 0
WOOLWORTH CORP COM 980883102 542 23200 SH SOLE 23200 0. 0
WPL HLDGS INC COM 929305100 435 15900 SH SOLE 15900 0. 0
WRIGLEY WM JR CO COM 982526105 1448 24800 SH SOLE 24800 0. 0
WYLE ELECTRONICS INC COM 983051103 286 8500 SH SOLE 8500 0. 0
WYMAN GORDON CO COM 983085101 412 20200 SH SOLE 20200 0. 0
XEROX CORP COM 984121103 22625 397800 SH SOLE 397800 0. 0
XIRCOM INC COM 983922105 333 22000 SH SOLE 22000 0. 0
YELLOW CORP COM 985509108 907 48700 SH SOLE 48700 0. 0
YPF SOCIEDAD ANONIMA SPON ADR CL D 984245100 24987 942903 SH SOLE 942903 0. 0
ZALE CORP NEW COM 988858106 1088 59200 SH SOLE 59200 0. 0
ZENITH ELECTRS CORP COM 989349105 970 95800 SH SOLE 95800 0. 0
ZENITH NATL INS CORP COM 989390109 266 9900 SH SOLE 9900 0. 0
ZILOG INC COM 989524103 452 21500 SH SOLE 21500 0. 0
ZIONS BANCORPORATION COM 989701107 356 3000 SH SOLE 3000 0. 0
ZURICH REINS CENTRE HLDGS INC COM 989822101 541 14100 SH SOLE 14100 0. 0
ZURN INDS INC COM 989824107 764 31500 SH SOLE 31500 0. 0
REPORT SUMMARY 1369 DATA RECORDS 5333574 3 OTHER MANAGERS ON WHOSE BEHALF REPORT IS FILED
</TABLE>
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