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<PAGE> PAGE 1
SECURITIES AND EXCHANGE COMMISSION
FORM 13F-E
Report for the Calendar Year or Quarter Ended: 09/30/97
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 1369 52800 SH SOLE 52800 0 0
A D C TELECOMMUNICATIONS COM 000886101 228 7000 SH SOLE 7000 0 0
ABBOTT LABS COM 002824100 95311 1490704 SH SOLE 1490704 0 0
ABITIBI-CONSOLIDATED INC COM 003924107 11752 962472 SH SOLE 962472 0 0
ACCUSTAFF INC COM 004401105 3912 124200 SH SOLE 124200 0 0
ACUSON CORP COM 005113105 766 28100 SH SOLE 28100 0 0
ACX TECHNOLOGIES INC COM 005123104 2559 96100 SH SOLE 96100 0 0
ADAPTEC INC COM 00651F108 262 5600 SH SOLE 5600 0 0
ADOBE SYS INC COM 00724F101 786 15600 SH SOLE 15600 0 0
ADVANCED MICRO DEVICES INC COM 007903107 14969 459700 SH SOLE 459700 0 0
ADVANTA CORP CL A 007942105 882 30300 SH SOLE 30300 0 0
AEGON N V ORD AMER REG 007924103 2932 36791 SH SOLE 36791 0 0
AEROQUIP-VICKERS INC COM 007869100 1793 36600 SH SOLE 36600 0 0
AES CORP COM 00130H105 21508 491600 SH SOLE 491600 0 0
AETNA INC COM 008117103 586 7200 SH SOLE 7200 0 0
AFFILIATED COMPUTER SERVICES CL A 008190100 277 11200 SH SOLE 11200 0 0
AFLAC INC COM 001055102 11601 213850 SH SOLE 213850 0 0
AGCO CORP COM 001084102 2427 76600 SH SOLE 76600 0 0
AGOURON PHARMACEUTICALS INC COM 008488108 2445 50800 SH SOLE 50800 0 0
AGRIUM INC COM 008916108 439 50561 SH SOLE 50561 0 0
AHMANSON H F & CO COM 008677106 28133 495200 SH SOLE 495200 0 0
AIR CDA INC CL A NON VTG 008911307 629 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 1349 36950 SH SOLE 36950 0 0
AIRBORNE FGHT CORP COM 009266107 5027 83000 SH SOLE 83000 0 0
AJL PEPS TR PEPS EXCH AJL 009710104 4940 310000 SH SOLE 310000 0 0
AK STL HLDG CORP COM 001547108 1326 31100 SH SOLE 31100 0 0
ALASKA AIR GROUP INC COM 011659109 556 16900 SH SOLE 16900 0 0
ALBANK FINL CORP COM 012046108 832 19700 SH SOLE 19700 0 0
ALBEMARLE CORP COM 012653101 1594 63300 SH SOLE 63300 0 0
ALBERTA ENERGY LTD COM 012873105 2410 138850 SH SOLE 138850 0 0
ALBERTO CULVER CO CL B CONV 013068101 478 15700 SH SOLE 15700 0 0
ALBERTSONS INC COM 013104104 20604 590800 SH SOLE 590800 0 0
ALCAN ALUMINIUM LTD NEW COM 013716105 1720 49500 SH SOLE 49500 0 0
ALLEGHANY CORP DEL COM 017175100 1640 6469 SH SOLE 6469 0 0
ALLEGHENY TELEDYNE INC COM 017415100 650 22700 SH SOLE 22700 0 0
ALLERGAN INC COM 018490102 4437 122600 SH SOLE 122600 0 0
ALLIANCE SEMICONDUCTOR CORP COM 01877H100 305 30900 SH SOLE 30900 0 0
ALLIANT TECHSYSTEMS INC COM 018804104 548 8500 SH SOLE 8500 0 0
ALLIED GROUP INC COM 019220102 1946 38300 SH SOLE 38300 0 0
ALLIEDSIGNAL INC COM 019512102 306 7200 SH SOLE 7200 0 0
ALLSTATE CORP COM 020002101 5054 62882 SH SOLE 62882 0 0
ALTERA CORP COM 021441100 1015 19800 SH SOLE 19800 0 0
ALUMAX INC COM 022197107 3923 95100 SH SOLE 95100 0 0
AMBAC FINL GROUP INC COM 023139108 8247 202700 SH SOLE 202700 0 0
AMBASSADOR APTS INC COM 02316A102 907 38100 SH SOLE 38100 0 0
AMCAST INDL CORP COM 023395106 3129 127700 SH SOLE 127700 0 0
AMCOL INTL CORP COM 02341W103 353 17000 SH SOLE 17000 0 0
AMERADA HESS CORP COM 023551104 1696 27500 SH SOLE 27500 0 0
AMERCO COM 023586100 424 13900 SH SOLE 13900 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
AMERICA ONLINE INC DEL COM 02364J104 717 9500 SH SOLE 9500 0 0
AMERICA WEST HLDG CORP CL B 023657208 722 49600 SH SOLE 49600 0 0
AMERICAN ANNUITY GROUP INC COM 023840101 817 38000 SH SOLE 38000 0 0
AMERICAN BANKERS INS GROUP INC COM 024456105 2314 63400 SH SOLE 63400 0 0
AMERICAN BUSINESS PRODS GA COM 024763104 568 22600 SH SOLE 22600 0 0
AMERICAN ELEC PWR INC COM 025537101 15816 347600 SH SOLE 347600 0 0
AMERICAN EXPRESS CO COM 025816109 2243 27400 SH SOLE 27400 0 0
AMERICAN FINL GROUP INC COM 02608W101 1179 26500 SH SOLE 26500 0 0
AMERICAN GEN HOSPITALITY CORP COM 025930108 2825 97000 SH SOLE 97000 0 0
AMERICAN GENERAL CORP COM 026351106 2513 48439 SH SOLE 48439 0 0
AMERICAN GREETINGS CORP CL A 026375105 1700 46100 SH SOLE 46100 0 0
AMERICAN HERITAGE LIFE INVT COM 026522102 822 20549 SH SOLE 20549 0 0
AMERICAN HOME PRODS CORP COM 026609107 4339 59440 SH SOLE 59440 0 0
AMERICAN NATL INS CO COM 028591105 2828 28000 SH SOLE 28000 0 0
AMERICAN PWR CONVERSION CORP COM 029066107 4694 166900 SH SOLE 166900 0 0
AMERICAN STORES CO NEW COM 030096101 16058 658800 SH SOLE 658800 0 0
AMERICAN WTR WKS INC COM 030411102 1611 72800 SH SOLE 72800 0 0
AMERICREDIT CORP COM 03060R101 607 21300 SH SOLE 21300 0 0
AMERISOURCE HEALTH CORP CL A 03071P102 1064 18200 SH SOLE 18200 0 0
AMERITECH CORP NEW COM 030954101 1104 16600 SH SOLE 16600 0 0
AMERON INTL INC COM 030710107 1364 20900 SH SOLE 20900 0 0
AMGEN INC COM 031162100 240 5000 SH SOLE 5000 0 0
AMLI RESIDENTIAL PPTYS TR SH BEN INT 001735109 767 33000 SH SOLE 33000 0 0
AMOCO CORP COM 031905102 299 3100 SH SOLE 3100 0 0
AMR CORP COM 001765106 908 8200 SH SOLE 8200 0 0
AMRESCO INC COM 031909104 739 19900 SH SOLE 19900 0 0
AMSOUTH BANCORPORATION COM 032165102 8055 166300 SH SOLE 166300 0 0
ANALOGIC CORP COM PAR $0.05 032657207 372 10200 SH SOLE 10200 0 0
ANHEUSER BUSCH COS INC COM 035229103 48735 1080000 SH SOLE 1080000 0 0
ANIXTER INTL INC COM 035290105 701 40800 SH SOLE 40800 0 0
ANNTAYLOR STORES CORP COM 036115103 745 50100 SH SOLE 50100 0 0
ANTEC CORP COM 03664P105 951 80900 SH SOLE 80900 0 0
AON CORP COM 037389103 950 18000 SH SOLE 18000 0 0
APAC TELESERVICES INC COM 00185E106 182 13900 SH SOLE 13900 0 0
APACHE CORP COM 037411105 10106 235700 SH SOLE 235700 0 0
APARTMENT INVT & MGMT CO CL A 03748R101 3454 95600 SH SOLE 95600 0 0
APL LTD COM 00202M107 2586 80500 SH SOLE 80500 0 0
APOLLO GROUP INC CL A 037604105 729 17200 SH SOLE 17200 0 0
APPLIED MAGNETICS CP DEL COM 038213104 914 28900 SH SOLE 28900 0 0
APPLIED MATLS INC COM 038222105 46358 486700 SH SOLE 486700 0 0
APPLIED PWR INC CL A 038225108 2505 39800 SH SOLE 39800 0 0
APRIA HEALTHCARE GROUP INC COM 037933108 817 60500 SH SOLE 60500 0 0
AQUILA GAS PIPELINE CORP COM 03839B106 184 14300 SH SOLE 14300 0 0
ARCH COAL INC COM 039380100 1819 63700 SH SOLE 63700 0 0
ARCHER DANIELS MIDLAND CO COM 039483102 24525 1024551 SH SOLE 1024551 0 0
ARCTIC CAT INC COM 039670104 1049 91225 SH SOLE 91225 0 0
ARDEN RLTY GROUP INC COM 039793104 5425 172900 SH SOLE 172900 0 0
ARGONAUT GROUP INC COM 040157109 963 27600 SH SOLE 27600 0 0
ARMSTRONG WORLD INDS INC COM 042476101 503 7500 SH SOLE 7500 0 0
ARROW ELECTRS INC COM 042735100 928 16000 SH SOLE 16000 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
ARROW INTL INC COM 042764100 643 19400 SH SOLE 19400 0 0
ARVIN INDS INC COM 043339100 1546 39400 SH SOLE 39400 0 0
ASA HLDGS INC COM 04338Q107 681 24200 SH SOLE 24200 0 0
ASARCO INC COM 043413103 4198 131200 SH SOLE 131200 0 0
ASM INTL N V COM N07045102 56729 2818811 SH SOLE 2818811 0 0
ASSOCIATED ESTATES RLTY CORP COM 045604105 554 23100 SH SOLE 23100 0 0
ASTORIA FINL CORP COM 046265104 1821 36200 SH SOLE 36200 0 0
AT&T CORP COM 001957109 54799 1238390 SH SOLE 1238390 0 0
ATLANTIC ENERGY INC N J COM 048903108 3731 208000 SH SOLE 208000 0 0
ATLANTIC RICHFIELD CO COM 048825103 43983 514800 SH SOLE 514800 0 0
ATWOOD OCEANICS INC COM 050095108 541 4800 SH SOLE 4800 0 0
AUTODESK INC COM 052769106 3562 78500 SH SOLE 78500 0 0
AUTOZONE INC COM 053332102 1338 44800 SH SOLE 44800 0 0
AVALON PPTYS INC COM 053469102 2600 87400 SH SOLE 87400 0 0
AVANT CORP COM 053487104 676 23200 SH SOLE 23200 0 0
AVENOR INC COM 05356K104 1323 101600 SH SOLE 101600 0 0
AVIALL INC NEW COM 05366B102 1813 118400 SH SOLE 118400 0 0
AVID TECHNOLOGY INC COM 05367P100 930 28600 SH SOLE 28600 0 0
AVNET INC COM 053807103 7462 117400 SH SOLE 117400 0 0
AZTAR CORP COM 054802103 837 113500 SH SOLE 113500 0 0
BALDWIN & LYONS INC CL B 057755209 630 30900 SH SOLE 30900 0 0
BALL CORP COM 058498106 1267 36400 SH SOLE 36400 0 0
BALLARD MED PRODS COM 058566100 1165 48300 SH SOLE 48300 0 0
BALTIMORE GAS & ELEC CO COM 059165100 14683 529100 SH SOLE 529100 0 0
BANC ONE CORP COM 059438101 1385 24740 SH SOLE 24740 0 0
BANCO GANADERO S A SPONSRD ADR B 059594408 1346 33650 SH SOLE 33650 0 0
BANCO SANTIAGO SP ADR REP COM 05965L105 2512 105200 SH SOLE 105200 0 0
BANCTEC INC COM 059784108 519 19500 SH SOLE 19500 0 0
BANDAG INC COM 059815100 3250 61400 SH SOLE 61400 0 0
BANK MONTREAL QUE COM 063671101 370 12000 SH SOLE 12000 0 0
BANK NEW YORK INC COM 064057102 10080 210000 SH SOLE 210000 0 0
BANKAMERICA CORP COM 066050105 5931 80900 SH SOLE 80900 0 0
BANKBOSTON CORP COM 06605R106 35729 404000 SH SOLE 404000 0 0
BANKERS TRUST N Y CORP COM 066365107 27825 227376 SH SOLE 227376 0 0
BANTA CORP COM 066821109 2346 84150 SH SOLE 84150 0 0
BARD C R INC COM 067383109 2200 64700 SH SOLE 64700 0 0
BARNES & NOBLE INC COM 067774109 757 26800 SH SOLE 26800 0 0
BARNES GROUP INC COM 067806109 1283 45300 SH SOLE 45300 0 0
BARNETT BKS INC COM 068055102 33182 469000 SH SOLE 469000 0 0
BASSETT FURNITURE INDS INC COM 070203104 524 18400 SH SOLE 18400 0 0
BAY APT CMNTYS INC COM 072012107 3774 94500 SH SOLE 94500 0 0
BAY NETWORKS INC COM 072510100 359 9300 SH SOLE 9300 0 0
BCE INC COM 05534B109 10269 475310 SH SOLE 475310 0 0
BCE MOBILE COMMUNICATION INC COM 05534G108 731 29300 SH SOLE 29300 0 0
BE AEROSPACE INC COM 073302101 522 14500 SH SOLE 14500 0 0
BEAR STEARNS COS INC COM 073902108 13383 304164 SH SOLE 304164 0 0
BECKMAN INSTRS INC NEW COM 075816108 1885 44300 SH SOLE 44300 0 0
BECTON DICKINSON & CO COM 075887109 4227 88300 SH SOLE 88300 0 0
BED BATH & BEYOND INC COM 075896100 2533 72100 SH SOLE 72100 0 0
BEDFORD PPTY INVS INC COM PAR $0.02 076446301 1045 47500 SH SOLE 47500 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
BELL ATLANTIC CORP COM 077853109 26543 329991 SH SOLE 329991 0 0
BELLSOUTH CORP COM 079860102 1068 23100 SH SOLE 23100 0 0
BELO A H CORP DEL COM SER A 080555105 791 16300 SH SOLE 16300 0 0
BENEFICIAL CORP COM 081721102 8213 107800 SH SOLE 107800 0 0
BERGEN BRUNSWIG CORP CL A 083739102 2717 67300 SH SOLE 67300 0 0
BERKLEY W R CORP COM 084423102 1361 31600 SH SOLE 31600 0 0
BERKSHIRE RLTY INC COM 084710102 778 63500 SH SOLE 63500 0 0
BERLITZ INTL INC NEW COM 08520F100 702 26600 SH SOLE 26600 0 0
BEST BUY INC COM 086516101 1294 52400 SH SOLE 52400 0 0
BETHLEHEM STL CORP COM 087509105 3185 308900 SH SOLE 308900 0 0
BETZDEARBORN INC COM 087779104 588 8600 SH SOLE 8600 0 0
BEVERLY ENTERPRISES INC COM 087851101 3414 196500 SH SOLE 196500 0 0
BHC COMMUNICATIONS INC CL A 055448104 4403 34000 SH SOLE 34000 0 0
BINDLEY WESTN INDS INC COM 090324104 1777 63600 SH SOLE 63600 0 0
BIO TECHNOLOGY GEN CORP COM 090578105 282 18800 SH SOLE 18800 0 0
BIOCHEM PHARMA INC COM 09058T108 2012 88300 SH SOLE 88300 0 0
BIOMET INC COM 090613100 2681 111700 SH SOLE 111700 0 0
BIRMINGHAM STL CORP COM 091250100 800 46200 SH SOLE 46200 0 0
BJ SVCS CO COM 055482103 3081 41500 SH SOLE 41500 0 0
BLOCK DRUG INC CL A 093644102 874 18300 SH SOLE 18300 0 0
BLOCK H & R INC COM 093671105 4925 127500 SH SOLE 127500 0 0
BLYTH INDS INC COM 09643P108 697 24900 SH SOLE 24900 0 0
BMC SOFTWARE INC COM 055921100 1049 16200 SH SOLE 16200 0 0
BOB EVANS FARMS INC COM 096761101 901 47400 SH SOLE 47400 0 0
BOEING CO COM 097023105 5242 96290 SH SOLE 96290 0 0
BOISE CASCADE CORP COM 097383103 2612 62100 SH SOLE 62100 0 0
BOK FINL CORP COM NEW 05561Q201 1201 30700 SH SOLE 30700 0 0
BORDERS GROUP INC COM 099709107 2668 97000 SH SOLE 97000 0 0
BORG-WARNER AUTOMOTIVE INC COM 099724106 3225 56700 SH SOLE 56700 0 0
BOSTON EDISON CO COM 100599109 3013 98200 SH SOLE 98200 0 0
BOSTON PROPERTIES INC COM 101121101 2782 84800 SH SOLE 84800 0 0
BOSTON SCIENTIFIC CORP COM 101137107 1026 18600 SH SOLE 18600 0 0
BOSTON TECHNOLOGY INC COM NEW 101143303 904 26700 SH SOLE 26700 0 0
BOWATER INC COM 102183100 5411 106100 SH SOLE 106100 0 0
BOWNE & CO INC COM 103043105 1558 44200 SH SOLE 44200 0 0
BOYKIN LODGING CO COM 103430104 1153 43100 SH SOLE 43100 0 0
BRADLEY REAL ESTATE INC COM 104580105 1854 88300 SH SOLE 88300 0 0
BRANDYWINE RLTY TR SH BEN INT NEW 105368203 3816 159400 SH SOLE 159400 0 0
BRE PROPERTIES INC CL A 05564E106 2774 98200 SH SOLE 98200 0 0
BREED TECHNOLOGIES INC COM 106702103 657 27500 SH SOLE 27500 0 0
BRINKER INTL INC COM 109641100 737 41500 SH SOLE 41500 0 0
BRISTOL MYERS SQUIBB CO COM 110122108 111679 1349600 SH SOLE 1349600 0 0
BRODERBUND SOFTWARE INC COM 112014105 592 17400 SH SOLE 17400 0 0
BROWN GROUP INC COM 115657108 593 32600 SH SOLE 32600 0 0
BROWNING FERRIS INDS COM 115885105 761 20000 SH SOLE 20000 0 0
BUFFETS INC COM 119882108 1442 133400 SH SOLE 133400 0 0
BURLINGTON COAT FACTORY COM 121579106 3213 152100 SH SOLE 152100 0 0
BURLINGTON INDS INC COM 121693105 1187 84800 SH SOLE 84800 0 0
BURLINGTON NORTHN SANTA FE CP COM 12189T104 46602 482300 SH SOLE 482300 0 0
BURLINGTON RES INC COM 122014103 359 7000 SH SOLE 7000 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
BURNHAM PAC PPTYS INC COM 12232C108 1285 87100 SH SOLE 87100 0 0
BURR BROWN CORP COM 122574106 297 8900 SH SOLE 8900 0 0
C D I CORP COM 125071100 411 10900 SH SOLE 10900 0 0
CABLETRON SYS INC COM 126920107 326 10200 SH SOLE 10200 0 0
CABOT CORP COM 127055101 563 20900 SH SOLE 20900 0 0
CABOT OIL & GAS CORP CL A 127097103 590 25600 SH SOLE 25600 0 0
CALENERGY INC COM 129466108 675 20300 SH SOLE 20300 0 0
CALI REALTY CORP COM 129909107 7659 184000 SH SOLE 184000 0 0
CALIBER SYS INC COM 129894101 4112 75800 SH SOLE 75800 0 0
CALLAWAY GOLF CO COM 131193104 6386 183100 SH SOLE 183100 0 0
CALPINE CORP COM 131347106 1234 60000 SH SOLE 60000 0 0
CAMCO INTL INC COM 132632100 2420 34700 SH SOLE 34700 0 0
CAMDEN PPTY TR SH BEN INT 133131102 3357 109604 SH SOLE 109604 0 0
CAMECO CORP COM 13321L108 513 18900 SH SOLE 18900 0 0
CANADIAN MARCONI CO COM 136357100 553 51800 SH SOLE 51800 0 0
CANADIAN NATL RY CO COM 136375102 2723 72400 SH SOLE 72400 0 0
CANADIAN PAC LTD NEW COM 135923100 2458 83400 SH SOLE 83400 0 0
CANANDAIGUA BRANDS INC CL B 137219101 1387 29200 SH SOLE 29200 0 0
CAPITAL RE CORP COM 140432105 1281 21000 SH SOLE 21000 0 0
CARLISLE COS INC COM 142339100 671 15100 SH SOLE 15100 0 0
CARMIKE CINEMAS INC CL A 143436103 291 9700 SH SOLE 9700 0 0
CAROLINA PWR & LT CO COM 144141108 6336 176000 SH SOLE 176000 0 0
CARPENTER TECHNOLOGY CORP COM 144285103 1129 22800 SH SOLE 22800 0 0
CASE CORP COM 14743R103 253 3800 SH SOLE 3800 0 0
CASEYS GEN STORES INC COM 147528103 428 17400 SH SOLE 17400 0 0
CASH AMER INTL INC COM 14754D100 970 86200 SH SOLE 86200 0 0
CATALINA MARKETING CORP COM 148867104 1800 34700 SH SOLE 34700 0 0
CATELLUS DEV CORP COM 149111106 13209 636600 SH SOLE 636600 0 0
CATERPILLAR INC DEL COM 149123101 232 4300 SH SOLE 4300 0 0
CBL & ASSOC PPTYS INC COM 124830100 2311 89100 SH SOLE 89100 0 0
CCB FINL CORP COM 124875105 959 11900 SH SOLE 11900 0 0
CDW COMPUTER CTRS INC COM 125129106 434 6700 SH SOLE 6700 0 0
CELLSTAR CORP COM 150925105 1721 37000 SH SOLE 37000 0 0
CENTERIOR ENERGY CORP COM 151883105 4661 407500 SH SOLE 407500 0 0
CENTERPOINT PPTYS CORP COM 151895109 3174 87400 SH SOLE 87400 0 0
CENTEX CONSTRUCTION PRODUCTS COM 15231R109 587 19800 SH SOLE 19800 0 0
CENTEX CORP COM 152312104 4617 79100 SH SOLE 79100 0 0
CENTRAL FID BKS INC COM 153469101 2881 65100 SH SOLE 65100 0 0
CENTRAL HUDSON GAS & ELEC CORP COM 153609102 802 22400 SH SOLE 22400 0 0
CENTRAL LA ELEC INC COM NEW 153897608 499 18100 SH SOLE 18100 0 0
CENTRAL MAINE PWR CO COM 154051106 1729 132400 SH SOLE 132400 0 0
CENTRAL NEWSPAPERS INC CL A 154647101 3698 49800 SH SOLE 49800 0 0
CENTRAL PKG CORP COM 154785109 714 15200 SH SOLE 15200 0 0
CENTURY TEL ENTERPRISES INC COM 156686107 1377 31300 SH SOLE 31300 0 0
CHAMPION INTL CORP COM 158525105 8501 139500 SH SOLE 139500 0 0
CHAPARRAL STL CO COM 159422104 746 48700 SH SOLE 48700 0 0
CHARMING SHOPPES INC COM 161133103 546 88700 SH SOLE 88700 0 0
CHASE MANHATTAN CORP NEW COM 16161A108 70879 600672 SH SOLE 600672 0 0
CHATEAU CMNTYS INC COM 161726104 2207 74800 SH SOLE 74800 0 0
CHELSEA GCA RLTY INC COM 163262108 1269 30400 SH SOLE 30400 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
CHEMED CORP COM 163596109 389 10100 SH SOLE 10100 0 0
CHESAPEAKE CORP COM 165159104 2534 69900 SH SOLE 69900 0 0
CHEVRON CORPORATION COM 166751107 8539 102800 SH SOLE 102800 0 0
CHILE FD INC COM 168834109 556 22000 SH SOLE 22000 0 0
CHILGENER S A SPONSORED ADR 168894103 8205 299035 SH SOLE 299035 0 0
CHIQUITA BRANDS INTL INC COM 170032106 1030 63900 SH SOLE 63900 0 0
CHRIS CRAFT INDS INC COM 170520100 2636 50033 SH SOLE 50033 0 0
CHRYSLER CORP COM 171196108 1517 41200 SH SOLE 41200 0 0
CHUBB CORP COM 171232101 661 9300 SH SOLE 9300 0 0
CHURCH & DWIGHT INC COM 171340102 307 10600 SH SOLE 10600 0 0
CIGNA CORP COM 125509109 652 3500 SH SOLE 3500 0 0
CILCORP INC COM 171794100 364 8700 SH SOLE 8700 0 0
CINCINNATI BELL INC COM 171870108 2356 83400 SH SOLE 83400 0 0
CINCINNATI MILACRON INC COM 172172108 3711 138100 SH SOLE 138100 0 0
CINERGY CORP COM 172474108 16294 487300 SH SOLE 487300 0 0
CIRRUS LOGIC CORP COM 172755100 555 38300 SH SOLE 38300 0 0
CISCO SYS INC COM 17275R102 1103 15100 SH SOLE 15100 0 0
CITICORP COM 173034109 17894 133599 SH SOLE 133599 0 0
CITIZENS BKG CORP MICH COM 174420109 876 19900 SH SOLE 19900 0 0
CITIZENS CORP COM 174533109 1537 53100 SH SOLE 53100 0 0
CITIZENS UTILS CO DEL CL B 177342201 2350 254044 SH SOLE 254044 0 0
CITRIX SYS INC COM 177376100 2729 54200 SH SOLE 54200 0 0
CITY NATL CORP COM 178566105 477 14900 SH SOLE 14900 0 0
CKE RESTAURANTS INC COM 12561E105 1201 28600 SH SOLE 28600 0 0
CKS GROUP INC COM 12561L109 1065 28400 SH SOLE 28400 0 0
CLAIRE'S STORES INC COM 179584107 587 26100 SH SOLE 26100 0 0
CLAYTON HOMES INC COM 184190106 2139 115250 SH SOLE 115250 0 0
CLEVELAND CLIFFS INC COM 185896107 1357 31100 SH SOLE 31100 0 0
CLOROX CO DEL COM 189054109 12170 163900 SH SOLE 163900 0 0
CMAC INVT CORP COM 125662106 1271 23700 SH SOLE 23700 0 0
CMS ENERGY CORP COM 125896100 7652 206800 SH SOLE 206800 0 0
CNA FINL CORP COM 126117100 3616 28484 SH SOLE 28484 0 0
CNB BANCSHARES INC COM 126126101 244 5710 SH SOLE 5710 0 0
CNF TRANSN INC COM 12612W104 5201 119400 SH SOLE 119400 0 0
COASTAL CORP COM 190441105 9114 148800 SH SOLE 148800 0 0
COCA COLA CO COM 191216100 49117 805200 SH SOLE 805200 0 0
COCA COLA ENTERPRISES INC COM 191219104 16548 612900 SH SOLE 612900 0 0
COGNEX CORP COM 192422103 2998 91200 SH SOLE 91200 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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<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
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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
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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
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<PAGE> PAGE 12
VALUE SHARES/ SH/ PUT/ INVSTMT -----VOTING AUTHORITY-----
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<PAGE> PAGE 13
VALUE SHARES/ SH/ PUT/ INVSTMT -----VOTING AUTHORITY-----
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HASBRO INC COM 418056107 2260 80350 SH SOLE 80350 0 0
HAWAIIAN ELEC INDUSTRIES COM 419870100 1101 29400 SH SOLE 29400 0 0
HEALTH CARE & RETIREMENT DEL COM 421937103 1011 27200 SH SOLE 27200 0 0
HEALTHCARE COMPARE CORP COM 421928102 3200 50100 SH SOLE 50100 0 0
HEARTLAND EXPRESS INC COM 422347104 671 24300 SH SOLE 24300 0 0
HEILIG MEYERS CO COM 422893107 675 43900 SH SOLE 43900 0 0
HEINZ H J CO COM 423074103 18442 399300 SH SOLE 399300 0 0
HELIX TECHNOLOGY CORP COM 423319102 650 10500 SH SOLE 10500 0 0
HELMERICH & PAYNE INC COM 423452101 2760 34500 SH SOLE 34500 0 0
HERSHEY FOODS CORP COM 427866108 3108 55000 SH SOLE 55000 0 0
HEWLETT PACKARD CO COM 428236103 2518 36200 SH SOLE 36200 0 0
HFS INC COM 404181109 803 10785 SH SOLE 10785 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
HIGHWAYMASTER COMMUNICATIONS COM 431263102 91 11200 SH SOLE 11200 0 0
HIGHWOODS PPTYS INC COM 431284108 5897 166700 SH SOLE 166700 0 0
HILLENBRAND INDS INC COM 431573104 3123 69300 SH SOLE 69300 0 0
HNC SOFTWARE INC COM 40425P107 612 15400 SH SOLE 15400 0 0
HOLLINGER INC EQUITY UNIT 43556C309 124 18600 SH SOLE 18600 0 0
HOLLINGER INTL INC CL A 435569108 947 71800 SH SOLE 71800 0 0
HOLLY CORP COM PAR $0.01 435758305 520 20000 SH SOLE 20000 0 0
HOLLYWOOD ENTMT CORP COM 436141105 202 15500 SH SOLE 15500 0 0
HOME DEPOT INC COM 437076102 1981 38000 SH SOLE 38000 0 0
HOMEBASE INC COM 43738E108 1210 134400 SH SOLE 134400 0 0
HOMESTEAD VLG PPTYS INC COM 437851108 726 40900 SH SOLE 40900 0 0
HOMESTEAD VLG PPTYS INC WT EXP 102997 437851116 91 11182 SH SOLE 11182 0 0
HON INDS INC COM 438092108 2221 38300 SH SOLE 38300 0 0
HORACE MANN EDUCATORS CORP NEW COM 440327104 1998 35600 SH SOLE 35600 0 0
HORIZON GROUP INC COM 44041X106 157 13000 SH SOLE 13000 0 0
HORIZON/CMS HEALTHCARE CORP COM 440400109 1613 72100 SH SOLE 72100 0 0
HORMEL FOODS CORP COM 440452100 1523 47500 SH SOLE 47500 0 0
HOSPITALITY PPTYS TR COM SH BEN INT 44106M102 3414 96500 SH SOLE 96500 0 0
HOUSEHOLD INTL INC COM 441815107 589 5200 SH SOLE 5200 0 0
HOUSTON INDS INC COM 442161105 23205 1066897 SH SOLE 1066897 0 0
HUANENG PWR INTL INC SPONSR ADR N 443304100 1447 59650 SH SOLE 59650 0 0
HUDSON FOODS INC CL A 443782107 1046 49100 SH SOLE 49100 0 0
HUNT J B TRANS SVCS INC COM 445658107 714 45900 SH SOLE 45900 0 0
HUTCHINSON TECHNOLOGY INC COM 448407106 2567 76500 SH SOLE 76500 0 0
HYPERION SOFTWARE INC COM 44914Q105 1350 43300 SH SOLE 43300 0 0
IBP INC COM 449223106 5606 237300 SH SOLE 237300 0 0
ICN PHARMACEUTICALS INC NEW COM 448924100 4265 86700 SH SOLE 86700 0 0
IES INDS INC COM 44949M103 813 25500 SH SOLE 25500 0 0
ILLINOIS CENT CORP COM SER A 451841100 680 18500 SH SOLE 18500 0 0
ILLINOVA CORP COM 452317100 7907 366700 SH SOLE 366700 0 0
IMMULOGIC PHARMACEUTICAL CORP COM 45252R100 50 15000 SH SOLE 15000 0 0
IMMUNEX CORP NEW COM 452528102 477 7100 SH SOLE 7100 0 0
IMPERIAL OIL LTD COM NEW 453038408 6683 160701 SH SOLE 160701 0 0
INCO LTD COM 453258402 4778 234889 SH SOLE 234889 0 0
INDIA FD INC COM 454089103 1968 212800 SH SOLE 212800 0 0
INGLES MKTS INC CL A 457030104 841 64100 SH SOLE 64100 0 0
INLAND STL INDS INC COM 457472108 2958 135200 SH SOLE 135200 0 0
INNKEEPERS USA TR COM 4576J0104 3606 209800 SH SOLE 209800 0 0
INTEGON CORP COM 45810F101 2319 89200 SH SOLE 89200 0 0
INTEGRATED DEVICE TECHNOLOGY COM 458118106 1133 93900 SH SOLE 93900 0 0
INTEGRATED HEALTH SVCS INC COM 45812C106 2558 76500 SH SOLE 76500 0 0
INTEGRATED PROCESS EQUIP CORP COM 45812K108 1626 44100 SH SOLE 44100 0 0
INTEL CORP COM 458140100 160503 1738700 SH SOLE 1738700 0 0
INTERFACE INC CL A 458665106 2033 69800 SH SOLE 69800 0 0
INTERGRAPH CORP COM 458683109 1887 173500 SH SOLE 173500 0 0
INTERIM SVCS INC COM 45868P100 523 18600 SH SOLE 18600 0 0
INTERNATIONAL BUSINESS MACHS COM 459200101 80369 758200 SH SOLE 758200 0 0
INTERNATIONAL COMFORT PRODS CP ORD 458978103 71 13900 SH SOLE 13900 0 0
INTERNATIONAL DAIRY QUEEN INC CL A 459373205 910 38700 SH SOLE 38700 0 0
INTERNATIONAL GAME TECHNOLOGY COM 459902102 632 27200 SH SOLE 27200 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
INTERNATIONAL MULTIFOODS CORP COM 460043102 1247 42000 SH SOLE 42000 0 0
INTERPOOL INC COM 46062R108 917 52000 SH SOLE 52000 0 0
INTERPUBLIC GROUP COS INC COM 460690100 1047 20300 SH SOLE 20300 0 0
INTERRA FINL INC COM 46069M102 1550 25800 SH SOLE 25800 0 0
INTERSTATE BAKERIES CORP DEL COM 46072H108 6832 99200 SH SOLE 99200 0 0
INTL PAPER CO COM 460146103 21291 387100 SH SOLE 387100 0 0
IPSCO INC COM 462622101 1876 54400 SH SOLE 54400 0 0
IRT PPTY CO COM 450058102 1373 107700 SH SOLE 107700 0 0
IRVINE APT CMNTYS INC COM 463606103 2323 69600 SH SOLE 69600 0 0
ISPAT INTL N V CL A 464899103 344 12000 SH SOLE 12000 0 0
JABIL CIRCUIT INC COM 466313103 9190 140300 SH SOLE 140300 0 0
JACOBS ENGR GROUP INC DEL COM 469814107 943 30800 SH SOLE 30800 0 0
JAMESON INNS INC COM 470457102 512 41800 SH SOLE 41800 0 0
JDN RLTY CORP COM 465917102 2009 60200 SH SOLE 60200 0 0
JEFFERIES GROUP INC COM 472318104 971 13300 SH SOLE 13300 0 0
JEFFERSON PILOT CORP COM 475070108 711 9000 SH SOLE 9000 0 0
JEFFERSON SMURFIT CORP NEW COM 475087102 1518 75900 SH SOLE 75900 0 0
JOHN ALDEN FINL CORP COM 477838106 1256 40500 SH SOLE 40500 0 0
JOHNSON & JOHNSON COM 478160104 18396 318900 SH SOLE 318900 0 0
JONES APPAREL GROUP INC COM 480074103 7619 141100 SH SOLE 141100 0 0
JP REALTY INC COM 46624A106 2260 88400 SH SOLE 88400 0 0
JSB FINANCIAL INC COM 46624M100 323 6600 SH SOLE 6600 0 0
JUST FOR FEET INC COM 48213P106 223 14100 SH SOLE 14100 0 0
JUSTIN INDS INC COM 482171105 1275 94900 SH SOLE 94900 0 0
K MART CORP COM 482584109 26186 1870400 SH SOLE 1870400 0 0
K-III COMMUNICATIONS CORP COM 482727104 1064 88200 SH SOLE 88200 0 0
KAISER ALUMINUM CORP COM 483007100 623 43900 SH SOLE 43900 0 0
KAMAN CORP CL A 483548103 1746 95000 SH SOLE 95000 0 0
KANSAS CITY LIFE INS CO COM 484836101 1269 15200 SH SOLE 15200 0 0
KAUFMAN & BROAD HOME CORP COM 486168107 2522 116300 SH SOLE 116300 0 0
KCS ENERGY INC COM 482434206 596 20200 SH SOLE 20200 0 0
KEANE INC COM 486665102 2680 84400 SH SOLE 84400 0 0
KELLWOOD CO COM 488044108 2147 60600 SH SOLE 60600 0 0
KELLY SVCS INC CL A 488152208 1347 40200 SH SOLE 40200 0 0
KEMET CORP COM 488360108 425 14000 SH SOLE 14000 0 0
KENNAMETAL INC COM 489170100 737 15200 SH SOLE 15200 0 0
KERR MCGEE CORP COM 492386107 482 7000 SH SOLE 7000 0 0
KEYCORP NEW COM 493267108 750 11784 SH SOLE 11784 0 0
KILROY RLTY CORP COM 49427F108 1947 72100 SH SOLE 72100 0 0
KIMBALL INTL INC CL B 494274103 1369 32600 SH SOLE 32600 0 0
KIMCO REALTY CORP COM 49446R109 4317 124000 SH SOLE 124000 0 0
KINDER MORGAN ENERGY PARTNERS UT LTD PARTNER 494550106 1517 21500 SH SOLE 21500 0 0
KINETIC CONCEPTS INC COM 49460W109 1915 102800 SH SOLE 102800 0 0
KING WORLD PRODTNS INC COM 495667107 3176 73430 SH SOLE 73430 0 0
KLA-TENCORP CORP COM 482480100 2554 37800 SH SOLE 37800 0 0
KOGER EQUITY INC COM 500228101 1579 77500 SH SOLE 77500 0 0
KOHLS CORP COM 500255104 433 6100 SH SOLE 6100 0 0
KOMAG INC COM 500453105 884 43400 SH SOLE 43400 0 0
KOOR INDS LTD SPONSORED ADR 500507108 745 36100 SH SOLE 36100 0 0
KOREA ELECTRIC PWR SPONSORED ADR 500631106 275 20000 SH SOLE 20000 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
KOREAN INVT FD INC COM 500637103 1020 160000 SH SOLE 160000 0 0
KRANZCO RLTY TR COM SH BEN INT 50076E103 384 20400 SH SOLE 20400 0 0
KUHLMAN CORP COM 501206106 411 11400 SH SOLE 11400 0 0
KULICKE & SOFFA INDS INC COM 501242101 4678 101000 SH SOLE 101000 0 0
LA Z BOY INC COM 505336107 999 27000 SH SOLE 27000 0 0
LABORATORY CORP AMER HLDGS COM 50540R102 1112 423700 SH SOLE 423700 0 0
LAFARGE CORP COM 505862102 4660 144500 SH SOLE 144500 0 0
LAIDLAW INC COM 50730K503 2418 223800 SH SOLE 223800 0 0
LAM RESH CORP COM 512807108 3841 82600 SH SOLE 82600 0 0
LANCASTER COLONY CORP COM 513847103 2083 39210 SH SOLE 39210 0 0
LANDS END INC COM 515086106 613 19900 SH SOLE 19900 0 0
LATTICE SEMICONDUCTOR CORP COM 518415104 2077 31900 SH SOLE 31900 0 0
LEAR CORP COM 521865105 1586 32200 SH SOLE 32200 0 0
LEE ENTERPRISES INC COM 523768109 227 8000 SH SOLE 8000 0 0
LEGG MASON INC COM 524901105 1243 23566 SH SOLE 23566 0 0
LEGGETT & PLATT INC COM 524660107 4920 110400 SH SOLE 110400 0 0
LEHMAN BROS HLDGS INC COM 524908100 12034 224940 SH SOLE 224940 0 0
LENNAR CORP COM 526057104 2146 50500 SH SOLE 50500 0 0
LEUCADIA NATL CORP COM 527288104 1265 36800 SH SOLE 36800 0 0
LEXINGTON CORP PPTYS INC COM 529039109 2030 129900 SH SOLE 129900 0 0
LEXMARK INTL GROUP INC CL A 529771107 5191 157300 SH SOLE 157300 0 0
LG&E ENERGY CORP COM 501917108 2323 104700 SH SOLE 104700 0 0
LIBERTY CORP S C COM 530370105 1262 27900 SH SOLE 27900 0 0
LIBERTY FINL COS INC COM 530512102 2205 42000 SH SOLE 42000 0 0
LIBERTY PPTY TR SH BEN INT 531172104 4983 185000 SH SOLE 185000 0 0
LIFE RE CORP COM 532160108 1836 34800 SH SOLE 34800 0 0
LILLY ELI & CO COM 532457108 7635 63100 SH SOLE 63100 0 0
LIMITED INC COM 532716107 9592 392500 SH SOLE 392500 0 0
LINCARE HLDGS INC COM 532791100 2668 52900 SH SOLE 52900 0 0
LINCOLN NATL CORP IND COM 534187109 15102 216900 SH SOLE 216900 0 0
LINEAR TECHNOLOGY CORP COM 535678106 853 12400 SH SOLE 12400 0 0
LITTON INDS INC COM 538021106 3442 63300 SH SOLE 63300 0 0
LIVING CTRS AMER INC COM 538388109 1255 30800 SH SOLE 30800 0 0
LIZ CLAIBORNE INC COM 539320101 4516 82200 SH SOLE 82200 0 0
LOCKHEED MARTIN CORP COM 539830109 7942 74488 SH SOLE 74488 0 0
LOEWS CORP COM 540424108 31290 276900 SH SOLE 276900 0 0
LONE STAR INDS INC COM NEW 542290408 594 11000 SH SOLE 11000 0 0
LONE STAR TECHNOLOGIES INC COM 542312103 1680 32200 SH SOLE 32200 0 0
LONG IS BANCORP INC COM 542662101 456 9700 SH SOLE 9700 0 0
LONG ISLAND LTG CO COM 542671102 8554 332200 SH SOLE 332200 0 0
LONGS DRUG STORES CORP COM 543162101 2111 79100 SH SOLE 79100 0 0
LONGVIEW FIBRE CO COM 543213102 342 17200 SH SOLE 17200 0 0
LOUIS DREYFUS NAT GAS CORP COM 546011107 269 12100 SH SOLE 12100 0 0
LSI LOGIC CORP COM 502161102 218 6800 SH SOLE 6800 0 0
LTV CORP NEW COM 501921100 2270 178900 SH SOLE 178900 0 0
LUBRIZOL CORP COM 549271104 3200 76200 SH SOLE 76200 0 0
LUBYS CAFETERIAS INC COM 549282101 762 36600 SH SOLE 36600 0 0
LUKENS INC DEL COM 549866101 870 45200 SH SOLE 45200 0 0
LUXOTTICA GROUP S P A SPONSORED ADR 55068R202 1130 19850 SH SOLE 19850 0 0
LYDALL INC DEL COM 550819106 328 14000 SH SOLE 14000 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
LYONDELL PETROCHEMICAL CO COM 552078107 778 29700 SH SOLE 29700 0 0
MACDERMID INC COM 554273102 1586 18200 SH SOLE 18200 0 0
MACERICH CO COM 554382101 3454 119100 SH SOLE 119100 0 0
MACFRUGALS BARGAINS CLOSE OUTS COM 554152108 839 27500 SH SOLE 27500 0 0
MACMILLAN BLOEDEL LTD COM 554783209 6242 585139 SH SOLE 585139 0 0
MADERAS Y SINTETICOS SOCIEDAD SPONSORED ADR 556465102 2146 156100 SH SOLE 156100 0 0
MAGNA INTL INC CL A 559222401 1850 37000 SH SOLE 37000 0 0
MAGNETEK INC COM 559424106 1772 79200 SH SOLE 79200 0 0
MALLINCKRODT INC NEW COM 561232109 7067 196300 SH SOLE 196300 0 0
MANITOWOC INC COM 563571108 1618 45325 SH SOLE 45325 0 0
MANUFACTURED HOME CMNTYS INC COM 564682102 2389 91900 SH SOLE 91900 0 0
MAPCO INC COM 565097102 1153 35000 SH SOLE 35000 0 0
MARCUS CORP COM 566330106 376 12900 SH SOLE 12900 0 0
MARINE DRILLING COS INC COM PAR $0.01 568240204 3494 111800 SH SOLE 111800 0 0
MARK CTRS TR COM SH BEN INT 570382101 103 10900 SH SOLE 10900 0 0
MARK IV INDS INC COM 570387100 1992 74105 SH SOLE 74105 0 0
MARQUETTE MED SYS INC COM 571490101 1510 48700 SH SOLE 48700 0 0
MARSH & MCLENNAN COS INC COM 571748102 337 4400 SH SOLE 4400 0 0
MARSHALL INDS COM 572393106 1972 50900 SH SOLE 50900 0 0
MARTIN MARIETTA MATLS INC COM 573284106 662 18400 SH SOLE 18400 0 0
MASCOTECH INC COM 574670105 3442 167900 SH SOLE 167900 0 0
MASTEC INC COM 576323109 1973 45100 SH SOLE 45100 0 0
MATTEL INC COM 577081102 586 17700 SH SOLE 17700 0 0
MAXIM INTEGRATED PRODS INC COM 57772K101 1464 20500 SH SOLE 20500 0 0
MAXXAM INC COM 577913106 373 6900 SH SOLE 6900 0 0
MAYTAG CORP COM 578592107 2645 77500 SH SOLE 77500 0 0
MBIA INC COM 55262C100 15617 124500 SH SOLE 124500 0 0
MBNA CORP COM 55262L100 286 7050 SH SOLE 7050 0 0
MCCLATCHY NEWSPAPERS INC CL A 579489105 1223 35575 SH SOLE 35575 0 0
MCDERMOTT INTL INC COM 580037109 3183 87200 SH SOLE 87200 0 0
MCDONALDS CORP COM 580135101 552 11600 SH SOLE 11600 0 0
MCGRATH RENTCORP COM 580589109 3333 145700 SH SOLE 145700 0 0
MCI COMMUNICATIONS CORP COM 552673105 35738 1216600 SH SOLE 1216600 0 0
MCKESSON CORP NEW COM 581557105 14200 139300 SH SOLE 139300 0 0
MEAD CORP COM 582834107 8648 119700 SH SOLE 119700 0 0
MEDIA GEN INC CL A 584404107 1961 49500 SH SOLE 49500 0 0
MEDPARTNERS INC NEW COM 58503X107 268 12500 SH SOLE 12500 0 0
MEDTRONIC INC COM 585055106 5900 125200 SH SOLE 125200 0 0
MEDUSA CORP COM PAR $0 585072309 1086 22800 SH SOLE 22800 0 0
MEMC ELECTR MATLS INC COM 552715104 1923 64100 SH SOLE 64100 0 0
MERCANTILE BANKSHARES CORP COM 587405101 3393 104400 SH SOLE 104400 0 0
MERCANTILE STORES INC COM 587533100 3043 48350 SH SOLE 48350 0 0
MERCK & CO INC COM 589331107 51737 517700 SH SOLE 517700 0 0
MERCURY GENL CORP NEW COM 589400100 6606 75500 SH SOLE 75500 0 0
MERIDIAN GOLD INC COM 589975101 1107 310000 SH SOLE 310000 0 0
MERIDIAN INDL TR INC COM 589643105 841 32800 SH SOLE 32800 0 0
MERRILL LYNCH & CO INC COM 590188108 32843 442700 SH SOLE 442700 0 0
MERRY LD & INVT INC COM 590438107 2120 96100 SH SOLE 96100 0 0
METHANEX CORP COM 59151K108 2784 459600 SH SOLE 459600 0 0
METHODE ELECTRS INC CL A 591520200 693 26900 SH SOLE 26900 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
METROMEDIA INTL GROUP INC COM 591695101 1799 148400 SH SOLE 148400 0 0
MEXICO FD INC COM 592835102 8079 353198 SH SOLE 353198 0 0
MEYER FRED INC DEL NEW COM 592907109 4530 85073 SH SOLE 85073 0 0
MGI PPTYS INC COM 552885105 1266 50400 SH SOLE 50400 0 0
MGIC INVT CORP WIS COM 552848103 1570 27400 SH SOLE 27400 0 0
MICHAEL FOOD INC NEW COM 594079105 1576 61500 SH SOLE 61500 0 0
MICHAELS STORES INC COM 594087108 3478 113800 SH SOLE 113800 0 0
MICRO WHSE INC COM 59501B105 1693 77400 SH SOLE 77400 0 0
MICROAGE INC COM 594928103 1653 57000 SH SOLE 57000 0 0
MICROCHIP TECHNOLOGY INC COM 595017104 831 18400 SH SOLE 18400 0 0
MICRON ELECTRONICS INC COM 595100108 1278 73000 SH SOLE 73000 0 0
MICRON TECHNOLOGY INC COM 595112103 26147 753800 SH SOLE 753800 0 0
MICROSOFT CORP COM 594918104 139814 1056700 SH SOLE 1056700 0 0
MID ATLANTIC MED SVCS INC COM 59523C107 1523 96300 SH SOLE 96300 0 0
MID-AMER APT CMNTYS INC COM 59522J103 813 27400 SH SOLE 27400 0 0
MIDAMERICA ENERGY HLDGS CO COM 595920109 1989 115282 SH SOLE 115282 0 0
MILLENNIUM CHEMICALS INC COM 599903101 440 20000 SH SOLE 20000 0 0
MILLER HERMAN INC COM 600544100 4430 82800 SH SOLE 82800 0 0
MILLS CORP COM 601148109 2914 112900 SH SOLE 112900 0 0
MINE SAFETY APPLIANCES CO COM 602720104 1911 27300 SH SOLE 27300 0 0
MINNESOTA MNG & MFG CO COM 604059105 18062 195400 SH SOLE 195400 0 0
MINNESOTA PWR & LT CO COM 604110106 499 13800 SH SOLE 13800 0 0
MISSISSIPPI CHEM CORP COM NEW 605288208 634 32500 SH SOLE 32500 0 0
MITCHELL ENERGY & DEV CORP CL B 606592301 1494 53600 SH SOLE 53600 0 0
MITEL CORP COM 606711109 867 156000 SH SOLE 156000 0 0
MOBIL CORP COM 607059102 5831 78800 SH SOLE 78800 0 0
MODINE MFG CO COM 607828100 2120 60800 SH SOLE 60800 0 0
MOHAWK INDS INC COM 608190104 1459 53300 SH SOLE 53300 0 0
MOLEX INC COM 608554101 204 4600 SH SOLE 4600 0 0
MONTANA POWER CO COM 612085100 3078 115600 SH SOLE 115600 0 0
MOORE LTD COM 615785102 6477 387764 SH SOLE 387764 0 0
MORGAN J P & CO INC COM 616880100 10317 90800 SH SOLE 90800 0 0
MORGAN KEEGAN INC COM 617410105 825 41625 SH SOLE 41625 0 0
MORGAN STANLEY DEAN WITTR DISC COM NEW 617446448 24266 448862 SH SOLE 448862 0 0
MORNINGSTAR GROUP INC COM 617698105 1161 27000 SH SOLE 27000 0 0
MORTON INTL INC IND NEW COM 619335102 456 12900 SH SOLE 12900 0 0
MOSINEE PAPER CORP COM 619600109 312 9200 SH SOLE 9200 0 0
MOTOROLA INC COM 620076109 17667 245800 SH SOLE 245800 0 0
MTS SYS CORP COM 553777103 850 23300 SH SOLE 23300 0 0
MUELLER INDS INC COM 624756102 304 6700 SH SOLE 6700 0 0
MURPHY OIL CORP COM 626717102 1137 19900 SH SOLE 19900 0 0
MYLAN LABS INC COM 628530107 271 12100 SH SOLE 12100 0 0
NABORS INDS INC COM 629568106 1393 35600 SH SOLE 35600 0 0
NAC RE CORP COM 628907107 1290 25100 SH SOLE 25100 0 0
NACCO INDS INC CL A 629579103 1916 16300 SH SOLE 16300 0 0
NASH FINCH CO COM 631158102 3928 165400 SH SOLE 165400 0 0
NATIONAL BANCORP ALASKA COM 632587101 912 9700 SH SOLE 9700 0 0
NATIONAL CITY CORP COM 635405103 314 5100 SH SOLE 5100 0 0
NATIONAL COMM BANCORP COM 635449101 542 19900 SH SOLE 19900 0 0
NATIONAL COMPUTER SYS INC COM 635519101 350 9900 SH SOLE 9900 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
NATIONAL FUEL GAS CO N J COM 636180101 488 11100 SH SOLE 11100 0 0
NATIONAL GOLF PPTYS INC COM 63623G109 1100 33600 SH SOLE 33600 0 0
NATIONAL INSTRS CORP COM 636518102 974 21000 SH SOLE 21000 0 0
NATIONAL SEMICONDUCTOR CORP COM 637640103 312 7600 SH SOLE 7600 0 0
NATIONAL STL CORP CL B 637844309 2501 139900 SH SOLE 139900 0 0
NATIONAL SVC INDS INC COM 637657107 343 7800 SH SOLE 7800 0 0
NATIONSBANK CORP COM 638585109 1900 30700 SH SOLE 30700 0 0
NATIONWIDE FINL SVCS INC CL A 638612101 697 25000 SH SOLE 25000 0 0
NAVISTAR INTL CORP PFD G CV $6.00 638901405 1446 23900 SH SOLE 23900 0 0
NAVISTAR INTL CORP NEW COM 63934E108 4373 158300 SH SOLE 158300 0 0
NBTY INC COM 628782104 1576 74600 SH SOLE 74600 0 0
NCH CORP COM 628850109 1534 21600 SH SOLE 21600 0 0
NEIMAN MARCUS GROUP INC COM 640204103 1226 38300 SH SOLE 38300 0 0
NETWORK APPLIANCE INC COM 64120L104 423 7800 SH SOLE 7800 0 0
NEVADA POWER CO COM 641423108 1993 90600 SH SOLE 90600 0 0
NEW CENTURY ENERGIES INC COM 64352U103 3578 86100 SH SOLE 86100 0 0
NEW ENGLAND BUSINESS SVC INC COM 643872104 835 26100 SH SOLE 26100 0 0
NEW PLAN RLTY TR SH BEN INT 648059103 2879 120900 SH SOLE 120900 0 0
NEW YORK ST ELEC & GAS CORP COM 649840105 4469 166300 SH SOLE 166300 0 0
NEWBRIDGE NETWORKS CORP COM 650901101 9587 221400 SH SOLE 221400 0 0
NEWELL CO COM 651192106 8292 207300 SH SOLE 207300 0 0
NEWFIELD EXPL CO COM 651290108 247 8800 SH SOLE 8800 0 0
NEWS CORP LTD ADR NEW 652487703 511 25000 SH SOLE 25000 0 0
NEXTEL COMMUNICATIONS INC CL A 65332V103 217 7500 SH SOLE 7500 0 0
NGC CORP COM 629121104 479 27000 SH SOLE 27000 0 0
NIAGARA MOHAWK PWR CORP COM 653522102 5069 530100 SH SOLE 530100 0 0
NIKE INC CL B 654106103 1680 31700 SH SOLE 31700 0 0
NINE WEST GROUP INC COM 65440D102 924 23500 SH SOLE 23500 0 0
NIPSCO INDS INC COM 629140104 4406 104600 SH SOLE 104600 0 0
NL INDS INC COM NEW 629156407 608 38000 SH SOLE 38000 0 0
NORDSON CORP COM 655663102 1653 28200 SH SOLE 28200 0 0
NORRELL CORP GA COM 656301108 1138 33100 SH SOLE 33100 0 0
NORTEK INC COM 656559101 1831 70600 SH SOLE 70600 0 0
NORTH AMERN MTG CO COM 657037107 1389 48300 SH SOLE 48300 0 0
NORTH FORK BANCORPORATION NY COM 659424105 771 26600 SH SOLE 26600 0 0
NORTHEAST UTILS COM 664397106 2200 227100 SH SOLE 227100 0 0
NORTHN STS PWR CO MINN COM 665772109 4487 90200 SH SOLE 90200 0 0
NORTHROP GRUMMAN CORP COM 666807102 449 3700 SH SOLE 3700 0 0
NORWEST CORP COM 669380107 606 9900 SH SOLE 9900 0 0
NOVA CORP ALTA COM 669943102 4889 807200 SH SOLE 807200 0 0
NOVACARE CORP COM 669930109 5033 295000 SH SOLE 295000 0 0
NOVELL INC COM 670006105 409 45600 SH SOLE 45600 0 0
NOVELLUS SYS INC COM 670008101 7283 57800 SH SOLE 57800 0 0
NPC INTERNATIONAL INC COM 629360306 850 67300 SH SOLE 67300 0 0
NUEVO ENERGY CO COM 670509108 220 4600 SH SOLE 4600 0 0
NUI CORP COM 629430109 754 32100 SH SOLE 32100 0 0
NUMAC ENERGY INC COM 67052A103 493 141600 SH SOLE 141600 0 0
O'SULLIVAN INDS HLDGS INC COM 688609106 1521 121700 SH SOLE 121700 0 0
OAK TECHNOLOGY INC COM 671802106 4596 383000 SH SOLE 383000 0 0
OAKLEY INC COM 673662102 1651 153600 SH SOLE 153600 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
OASIS RESIDENTIAL INC COM 674216106 987 40500 SH SOLE 40500 0 0
OCCIDENTAL PETE CORP DEL COM 674599105 9861 380200 SH SOLE 380200 0 0
OCEAN ENERGY INC COM 674812102 1042 15100 SH SOLE 15100 0 0
OFFICE DEPOT INC COM 676220106 202 10000 SH SOLE 10000 0 0
OFFICEMAX INC COM 67622M108 1361 89600 SH SOLE 89600 0 0
OFFSHORE LOGISTICS INC COM 676255102 193 10700 SH SOLE 10700 0 0
OGDEN CORP COM 676346109 2044 86500 SH SOLE 86500 0 0
OHIO CAS CORP COM 677240103 2648 57100 SH SOLE 57100 0 0
OHIO EDISON CO COM 677347106 1746 74502 SH SOLE 74502 0 0
OLD KENT FINL CORP COM 679833103 752 11655 SH SOLE 11655 0 0
OLD REP INTL CORP COM 680223104 5772 148000 SH SOLE 148000 0 0
OLIN CORP COM PAR $1 680665205 861 18400 SH SOLE 18400 0 0
OLSTEN CORP COM 681385100 1442 77700 SH SOLE 77700 0 0
ONBANCORP INC COM 682303102 1700 29700 SH SOLE 29700 0 0
ONE VALLEY BANCORP INC COM 682419106 465 12575 SH SOLE 12575 0 0
ONEIDA LTD COM 682505102 1164 32900 SH SOLE 32900 0 0
ONEOK INC COM 682678107 1765 54100 SH SOLE 54100 0 0
OPEN JT STK CO-VIMPEL COMMUNIC SPONSORED ADR 68370R109 1420 34000 SH SOLE 34000 0 0
ORACLE CORP COM 68389X105 800 21950 SH SOLE 21950 0 0
ORANGE & ROCKLAND UTILS INC COM 684065105 668 17900 SH SOLE 17900 0 0
OREGON STL MLS INC COM 686079104 1240 45700 SH SOLE 45700 0 0
ORION CAP CORP COM 686268103 2886 63700 SH SOLE 63700 0 0
ORTHODONTIC CTRS AMER INC COM 68750P103 540 27000 SH SOLE 27000 0 0
ORYX ENERGY COMPANY COM 68763F100 593 23300 SH SOLE 23300 0 0
OSHKOSH B GOSH INC CL A 688222207 1063 40700 SH SOLE 40700 0 0
OUTBACK STEAKHOUSE INC COM 689899102 837 30300 SH SOLE 30300 0 0
OVERSEAS SHIPHOLDING GROUP INC COM 690368105 750 28900 SH SOLE 28900 0 0
OWENS CORNING COM 69073F103 2829 77500 SH SOLE 77500 0 0
OWENS ILL INC COM NEW 690768403 15316 451300 SH SOLE 451300 0 0
OXFORD INDS INC COM 691497309 772 22800 SH SOLE 22800 0 0
P-COM INC COM 693262107 814 34000 SH SOLE 34000 0 0
PACCAR INC COM 693718108 851 15200 SH SOLE 15200 0 0
PACIFIC CENTY FINL CORP COM 694058108 3004 55700 SH SOLE 55700 0 0
PACIFIC GULF PPTYS INC COM 694396102 1221 51400 SH SOLE 51400 0 0
PACIFICORP COM 695114108 12237 546900 SH SOLE 546900 0 0
PAINE WEBBER GROUP INC COM 695629105 11299 241700 SH SOLE 241700 0 0
PAIRGAIN TECHNOLOGIES INC COM 695934109 815 28600 SH SOLE 28600 0 0
PAN PACIFIC RETAIL PPTYS INC COM 69806L104 611 30000 SH SOLE 30000 0 0
PARK NATL CORP COM 700658107 914 11300 SH SOLE 11300 0 0
PARKER DRILLING CO COM 701081101 1087 71600 SH SOLE 71600 0 0
PARKWAY PPTYS INC COM 70159Q104 4178 123100 SH SOLE 123100 0 0
PATRIOT AMERN HOSPITALITY DEL PAIRED CTF 703352203 11184 350872 SH SOLE 350872 0 0
PATTERSON DENTAL CO COM 703412106 409 10100 SH SOLE 10100 0 0
PAXAR CORP COM 704227107 296 15050 SH SOLE 15050 0 0
PEC ISRAEL ECONOMIC CORP COM 705098101 848 43900 SH SOLE 43900 0 0
PECO ENERGY CO COM 693304107 387 16500 SH SOLE 16500 0 0
PEDIATRIX MED GROUP COM 705324101 304 6900 SH SOLE 6900 0 0
PEGASUS GOLD INC COM 70556K106 110 25200 SH SOLE 25200 0 0
PENN VA CORP COM 707882106 772 25900 SH SOLE 25900 0 0
PENNCORP FINL GROUP INC COM 708094107 1035 33400 SH SOLE 33400 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
PENNEY J C INC COM 708160106 320 5500 SH SOLE 5500 0 0
PENNSYLVANIA RL ESTATE INVT TR SH BEN INT 709102107 355 13900 SH SOLE 13900 0 0
PENNZOIL CO COM 709903108 6319 79300 SH SOLE 79300 0 0
PENTAIR INC COM 709631105 797 21600 SH SOLE 21600 0 0
PEOPLES BK BRIDGEPORT CONN COM 710198102 919 28650 SH SOLE 28650 0 0
PEOPLES ENERGY CORP COM 711030106 901 23900 SH SOLE 23900 0 0
PEPSICO INC COM 713448108 1274 31400 SH SOLE 31400 0 0
PERRIGO CO COM 714290103 2849 180900 SH SOLE 180900 0 0
PFEIFFER VACUUM TECH AG SPONSORED ADR 717067102 8587 277000 SH SOLE 277000 0 0
PFIZER INC COM 717081103 7011 116612 SH SOLE 116612 0 0
PG&E CORP COM 69331C108 5025 216700 SH SOLE 216700 0 0
PHARMACIA & UPJOHN INC COM 716941109 16179 443265 SH SOLE 443265 0 0
PHELPS DODGE CORP COM 717265102 1754 22600 SH SOLE 22600 0 0
PHILIP MORRIS COS INC COM 718154107 71631 1723484 SH SOLE 1723484 0 0
PHILIPS ELECTRS N V NEW YORK SHS 718337504 12457 148300 SH SOLE 148300 0 0
PHILLIPS PETE CO COM 718507106 21326 413100 SH SOLE 413100 0 0
PHILLIPS VAN HEUSEN CORP COM 718592108 783 49500 SH SOLE 49500 0 0
PIER 1 IMPORTS INC COM 720279108 1140 63550 SH SOLE 63550 0 0
PILGRIMS PRIDE CORP COM 721467108 796 53500 SH SOLE 53500 0 0
PINNACLE WEST CAP CORP COM 723484101 9849 292900 SH SOLE 292900 0 0
PIONEER NAT RES CO COM 723787107 524 12486 SH SOLE 12486 0 0
PIONEER STD ELECTRS INC COM 723877106 1781 103600 SH SOLE 103600 0 0
PIPER JAFFRAY COS INC COM 724081104 1773 58000 SH SOLE 58000 0 0
PITNEY BOWES INC COM 724479100 3036 36500 SH SOLE 36500 0 0
PITTSTON CO COM MINRLS GRP 725701205 275 25000 SH SOLE 25000 0 0
PITTWAY CORP DEL CL A 725790208 539 8300 SH SOLE 8300 0 0
PMI GROUP INC COM 69344M101 1267 22100 SH SOLE 22100 0 0
PNC BK CORP COM 693475105 29014 594400 SH SOLE 594400 0 0
POHANG IRON & STL LTD SPONSORED ADR 730450103 492 19100 SH SOLE 19100 0 0
POLAROID CORP COM 731095105 300 5859 SH SOLE 5859 0 0
POOL ENERGY SVCS CO COM 732788104 722 21300 SH SOLE 21300 0 0
POPULAR INC COM 733174106 4457 84100 SH SOLE 84100 0 0
PORTUGAL TELECOM S A SPONSORED ADR 737273102 3492 80400 SH SOLE 80400 0 0
POST PPTYS INC COM 737464107 1566 39400 SH SOLE 39400 0 0
POTASH CORP SASK INC COM 73755L107 1397 24601 SH SOLE 24601 0 0
POTLATCH CORP COM 737628107 3869 76900 SH SOLE 76900 0 0
POTOMAC ELEC PWR CO COM 737679100 3815 167700 SH SOLE 167700 0 0
PPG INDS INC COM 693506107 389 6200 SH SOLE 6200 0 0
PRAXAIR INC COM 74005P104 297 5800 SH SOLE 5800 0 0
PRECISION CASTPARTS CORP COM 740189105 995 15300 SH SOLE 15300 0 0
PREMARK INTL INC COM 740459102 4531 141600 SH SOLE 141600 0 0
PREMIERE TECHNOLOGIES INC COM 74058F102 884 25900 SH SOLE 25900 0 0
PRENTISS PPTYS TR SH BEN INT 740706106 3153 109200 SH SOLE 109200 0 0
PRESIDENTIAL LIFE CORP COM 740884101 1580 79500 SH SOLE 79500 0 0
PRICE ENTERPRISES INC COM 741444103 1099 57300 SH SOLE 57300 0 0
PRICE REIT INC COM 74147T105 1696 42200 SH SOLE 42200 0 0
PRICE T ROWE & ASSOCIATES COM 741477103 2502 37200 SH SOLE 37200 0 0
PROCTER & GAMBLE CO COM 742718109 45097 653000 SH SOLE 653000 0 0
PROFFITTS INC COM 742925100 1096 18500 SH SOLE 18500 0 0
PROGRESSIVE CORP OHIO COM 743315103 14215 132700 SH SOLE 132700 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
PROMUS HOTEL CORP COM 74342H104 1398 31200 SH SOLE 31200 0 0
PROTECTIVE LIFE CORP COM 743674103 1732 34300 SH SOLE 34300 0 0
PROTEIN DESIGN LABS INC COM 74369L103 376 9700 SH SOLE 9700 0 0
PROVIDENT COS INC COM 743862104 6741 96382 SH SOLE 96382 0 0
PROVIDENT FINL GROUP INC COM 743866105 1760 37200 SH SOLE 37200 0 0
PROVIDIAN FINL CORP COM 74406A102 12962 326600 SH SOLE 326600 0 0
PSINET INC COM 74437C101 187 23200 SH SOLE 23200 0 0
PUBLIC STORAGE INC COM 74460D109 14614 493300 SH SOLE 493300 0 0
PUBLIC SVC CO N MEX COM 744499104 3246 168100 SH SOLE 168100 0 0
PUBLIC SVC ENTERPRISE GROUP COM 744573106 1663 64600 SH SOLE 64600 0 0
PUGET SOUND ENERGY INC COM 745332106 1624 60700 SH SOLE 60700 0 0
PULITZER PUBG CO COM 745771105 1156 20467 SH SOLE 20467 0 0
PULTE CORP COM 745867101 1320 34500 SH SOLE 34500 0 0
QUAKER ST CORP COM 747410108 384 22500 SH SOLE 22500 0 0
QUALITY FOOD CTRS INC COM 747565109 1138 27800 SH SOLE 27800 0 0
QUANEX CORP COM 747620102 763 21800 SH SOLE 21800 0 0
QUANTUM CORP COM 747906105 7620 198900 SH SOLE 198900 0 0
QUESTAR CORP COM 748356102 471 11600 SH SOLE 11600 0 0
QUICK & REILLY GROUP DEL COM 748376100 2486 66403 SH SOLE 66403 0 0
QUINTILES TRANSNATIONAL CORP COM 748767100 598 7100 SH SOLE 7100 0 0
QUORUM HEALTH GROUP INC COM 749084109 596 24400 SH SOLE 24400 0 0
R O C TAIWAN FD SH BEN INT 749651105 728 60000 SH SOLE 60000 0 0
RALCORP HLDGS INC NEW COM 751028101 505 27000 SH SOLE 27000 0 0
RAMCO-GERSHENSON PPTYS TR SH BEN INT 751452103 260 13100 SH SOLE 13100 0 0
RANGER OIL LTD COM 752805101 455 67100 SH SOLE 67100 0 0
RAYMOND JAMES FINANCIAL INC COM 754730109 4244 117875 SH SOLE 117875 0 0
RAYONIER INC COM 754907103 3297 68150 SH SOLE 68150 0 0
RAYTHEON CO COM 755111101 37326 631300 SH SOLE 631300 0 0
RCSB FINL INC COM 749371100 512 9400 SH SOLE 9400 0 0
READ-RITE CORP COM 755246105 4292 175200 SH SOLE 175200 0 0
REALTY INCOME CORP COM 756109104 2578 95700 SH SOLE 95700 0 0
RECKSON ASSOCS RLTY CORP COM 75621K106 3259 122400 SH SOLE 122400 0 0
REEBOK INTL LTD COM 758110100 10697 219700 SH SOLE 219700 0 0
REGENCY RLTY CORP COM 758939102 3025 113100 SH SOLE 113100 0 0
REINSURANCE GROUP AMER INC COM 759351109 354 8650 SH SOLE 8650 0 0
RELIANCE GROUP HOLDINGS INC COM 759464100 4953 365200 SH SOLE 365200 0 0
RELIASTAR FINL CORP COM 75952U103 9888 248378 SH SOLE 248378 0 0
REMEDY CORP COM 759548100 1915 55600 SH SOLE 55600 0 0
REPUBLIC N Y CORP COM 760719104 1034 9100 SH SOLE 9100 0 0
REXALL SUNDOWN INC COM 761648104 319 7000 SH SOLE 7000 0 0
REXEL INC COM 761680107 542 25200 SH SOLE 25200 0 0
REYNOLDS METALS CO COM 761763101 1487 21000 SH SOLE 21000 0 0
RFS HOTEL INVS INC COM 74955J108 1927 98800 SH SOLE 98800 0 0
RICHFOOD HLDGS INC COM 763408101 765 29500 SH SOLE 29500 0 0
RIGGS NATL CORP WASH DC COM 766570105 587 24900 SH SOLE 24900 0 0
RIGHTCHOICE MANAGED CARE INC CL A 76657K101 473 46100 SH SOLE 46100 0 0
RIO ALGOM LTD COM 766889109 445 27600 SH SOLE 27600 0 0
RITE AID CORP COM 767754104 11054 199400 SH SOLE 199400 0 0
RJR NABISCO HOLDINGS CORP COM NEW 74960K876 6071 176600 SH SOLE 176600 0 0
RLI CORP COM 749607107 921 20475 SH SOLE 20475 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
ROBBINS & MYERS INC COM 770196103 986 25600 SH SOLE 25600 0 0
ROBERT HALF INTL INC COM 770323103 341 8250 SH SOLE 8250 0 0
ROCHESTER GAS & ELEC CORP COM 771367109 2891 116800 SH SOLE 116800 0 0
ROCK-TENN CO CL A 772739207 1093 54800 SH SOLE 54800 0 0
ROCKWELL INTL CORP NEW COM 773903109 1133 18000 SH SOLE 18000 0 0
ROGERS CANTEL MOBILE COMMN CL B RSTRG VTG 775102205 1853 144900 SH SOLE 144900 0 0
ROGERS COMMUNICATIONS INC CL B 775109200 56 12800 SH SOLE 12800 0 0
ROLLINS INC COM 775711104 1361 57000 SH SOLE 57000 0 0
ROLLINS TRUCK LEASING CORP COM 775741101 624 36600 SH SOLE 36600 0 0
ROSS STORES INC COM 778296103 3614 105900 SH SOLE 105900 0 0
ROUGE INDS INC DEL CL A 779088103 650 41600 SH SOLE 41600 0 0
ROWAN COS INC COM 779382100 1053 29400 SH SOLE 29400 0 0
ROYAL BK CDA MONTREAL QUE COM 780087102 534 15000 SH SOLE 15000 0 0
ROYAL DUTCH PETE CO NY REG GLD1.25 780257804 28188 507900 SH SOLE 507900 0 0
ROYAL OAK MINES INC COM 78051D105 432 208000 SH SOLE 208000 0 0
RPC INC COM 749660106 220 7900 SH SOLE 7900 0 0
RUBBERMAID INC COM 781088109 2929 114600 SH SOLE 114600 0 0
RUBY TUESDAY INC COM 781182100 1387 54400 SH SOLE 54400 0 0
RUDDICK CORP COM 781258108 1098 68100 SH SOLE 68100 0 0
RUSS BERRIE & CO COM 782233100 684 23400 SH SOLE 23400 0 0
RUSSELL CORP COM 782352108 1401 47600 SH SOLE 47600 0 0
RYANS FAMILY STEAK HOUSE INC COM 783519101 829 90200 SH SOLE 90200 0 0
RYDER SYS INC COM 783549108 270 7500 SH SOLE 7500 0 0
RYKOFF-SEXTON INC COM 783759103 1175 45400 SH SOLE 45400 0 0
RYLAND GROUP INC COM 783764103 923 52000 SH SOLE 52000 0 0
SABRE GROUP HLDGS INC CL A 785905100 419 11700 SH SOLE 11700 0 0
SAFECO CORP COM 786429100 14379 271300 SH SOLE 271300 0 0
SAFESKIN CORP COM 786454108 4500 101400 SH SOLE 101400 0 0
SAFETY KLEEN CORP COM 786484105 2968 124000 SH SOLE 124000 0 0
SAFEWAY INC COM NEW 786514208 16511 303650 SH SOLE 303650 0 0
SALOMON INC COM 79549B107 23323 310200 SH SOLE 310200 0 0
SAMSONITE CORP NEW COM 79604V105 693 15800 SH SOLE 15800 0 0
SANMINA CORP COM 800907107 1541 17800 SH SOLE 17800 0 0
SANTA FE ENERGY RES INC COM 802012104 570 45600 SH SOLE 45600 0 0
SARA LEE CORP COM 803111103 39398 765000 SH SOLE 765000 0 0
SAUL CTRS INC COM 804395101 606 31700 SH SOLE 31700 0 0
SBARRO INC COM 805844107 501 17900 SH SOLE 17900 0 0
SBC COMMUNICATIONS INC COM 78387G103 30562 497459 SH SOLE 497459 0 0
SCANA CORP COM 805898103 2950 117700 SH SOLE 117700 0 0
SCHERING PLOUGH CORP COM 806605101 17876 347100 SH SOLE 347100 0 0
SCHLUMBERGER LTD COM 806857108 34214 406400 SH SOLE 406400 0 0
SCHWAB CHARLES CORP NEW COM 808513105 2517 70400 SH SOLE 70400 0 0
SCI SYS INC COM 783890106 3648 73600 SH SOLE 73600 0 0
SCOTTS CO CL A 810186106 357 13600 SH SOLE 13600 0 0
SEABOARD CORP COM 811543107 742 2400 SH SOLE 2400 0 0
SEAGATE TECHNOLOGY COM 811804103 2266 62500 SH SOLE 62500 0 0
SEAGRAM LTD COM 811850106 18383 587500 SH SOLE 587500 0 0
SEAGULL ENERGY CORP COM 812007102 859 33700 SH SOLE 33700 0 0
SECURITY CAP ATLANTIC INC COM 814137105 2761 123412 SH SOLE 123412 0 0
SECURITY CAP CORP WIS COM 814133104 1383 12500 SH SOLE 12500 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
SECURITY CAP PAC TR SH BEN INT 814141107 7701 327686 SH SOLE 327686 0 0
SEI INVESTMENTS CO COM 784117103 495 15000 SH SOLE 15000 0 0
SELECTIVE INS GROUP INC COM 816300107 1442 28000 SH SOLE 28000 0 0
SEMI-TECH CORP CL A SUB VTG 81662E108 5435 3403900 SH SOLE 3403900 0 0
SENSORMATIC ELECTRS CORP COM 817265101 438 31000 SH SOLE 31000 0 0
SEQUA CORPORATION CL A 817320104 1170 20300 SH SOLE 20300 0 0
SEQUENT COMPUTER SYS INC COM 817338106 2037 82100 SH SOLE 82100 0 0
SERVICE MERCHANDISE INC COM 817587108 1645 398800 SH SOLE 398800 0 0
SERVICEMASTER LTD PARTNERSHIP PUB PARTNER SH 817615107 413 14450 SH SOLE 14450 0 0
SHAW INDS INC COM 820286102 943 75100 SH SOLE 75100 0 0
SHOPKO STORES INC COM 824911101 3125 120200 SH SOLE 120200 0 0
SHOREWOOD PACKAGING CORP COM 825229107 544 22800 SH SOLE 22800 0 0
SHOWBIZ PIZZA TIME COM NEW 825388309 271 11800 SH SOLE 11800 0 0
SHURGARD STORAGE CTRS INC COM 82567D104 1676 57300 SH SOLE 57300 0 0
SIERRA HEALTH SVCS INC COM 826322109 886 24200 SH SOLE 24200 0 0
SIERRA PAC RES COM 826425100 946 29500 SH SOLE 29500 0 0
SIGNET BKG CORP COM 826681108 2235 41200 SH SOLE 41200 0 0
SILICON GRAPHICS INC COM 827056102 900 34300 SH SOLE 34300 0 0
SILICON VY GROUP INC COM 827066101 3752 105500 SH SOLE 105500 0 0
SIMON DEBARTOLO GROUP INC COM 828781104 13834 419200 SH SOLE 419200 0 0
SK TELECOM LTD SPONSORED ADR 78440P108 470 52200 SH SOLE 52200 0 0
SL GREEN RLTY CORP COM 78440X101 2588 100000 SH SOLE 100000 0 0
SLM HLDG CORP COM 78442A109 4063 26300 SH SOLE 26300 0 0
SMITH A O COM 831865209 1775 44800 SH SOLE 44800 0 0
SMITH CHARLES E RESDNTL RLTY COM 832197107 830 24400 SH SOLE 24400 0 0
SMITH INTL INC COM 832110100 6238 80300 SH SOLE 80300 0 0
SMITHFIELD FOODS INC COM 832248108 4524 150800 SH SOLE 150800 0 0
SNYDER OIL CORP COM 833482102 613 27000 SH SOLE 27000 0 0
SOCIEDAD QUIMICA MINERA DE CHI SPON ADR SER B 833635105 2726 46200 SH SOLE 46200 0 0
SOFAMOR/DANEK GROUP INC COM 834005100 2902 50800 SH SOLE 50800 0 0
SOLECTRON CORP COM 834182107 472 10600 SH SOLE 10600 0 0
SONAT INC COM 835415100 11762 231200 SH SOLE 231200 0 0
SONOCO PRODS CO COM 835495102 3170 93400 SH SOLE 93400 0 0
SOUTHDOWN INC COM 841297104 3021 55300 SH SOLE 55300 0 0
SOUTHERN CO COM 842587107 34075 1510300 SH SOLE 1510300 0 0
SOUTHLAND CORP COM NEW 844436402 884 345100 SH SOLE 345100 0 0
SOUTHWEST GAS CORP COM 844895102 630 32100 SH SOLE 32100 0 0
SOVEREIGN BANCORP INC COM 845905108 1333 76180 SH SOLE 76180 0 0
SOVRAN SELF STORAGE INC COM 84610H108 847 26900 SH SOLE 26900 0 0
SPACELABS MED INC COM 846247104 1194 54600 SH SOLE 54600 0 0
SPELLING ENTMT GROUP INC COM 847807104 637 69300 SH SOLE 69300 0 0
SPIEGEL INC CL A 848457107 580 82900 SH SOLE 82900 0 0
SPIEKER PPTYS INC COM 848497103 8936 220300 SH SOLE 220300 0 0
SPRINGS INDS INC CL A 851783100 2032 38700 SH SOLE 38700 0 0
SPRINT CORP COM 852061100 50745 1014900 SH SOLE 1014900 0 0
SPX CORP COM 784635104 3635 62000 SH SOLE 62000 0 0
ST PAUL BANCORP INC COM 792848103 1168 46712 SH SOLE 46712 0 0
ST PAUL COS INC COM 792860108 24257 297400 SH SOLE 297400 0 0
STANDARD PAC CORP NEW COM 85375C101 2212 210700 SH SOLE 210700 0 0
STANDARD REGISTER CO COM 853887107 460 13800 SH SOLE 13800 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
STANDEX INTL CORP COM 854231107 788 25000 SH SOLE 25000 0 0
STANHOME INC COM VTG 854425105 1735 58700 SH SOLE 58700 0 0
STARRETT L S CO CL A 855668109 816 22200 SH SOLE 22200 0 0
STARWOOD LODGING TR COMBND CTF NEW 855905204 16301 283800 SH SOLE 283800 0 0
STATE STR CORP COM 857477103 719 11800 SH SOLE 11800 0 0
STEIN MART INC COM 858375108 701 21400 SH SOLE 21400 0 0
STEPAN CO COM 858586100 895 34100 SH SOLE 34100 0 0
STERLING SOFTWARE INC COM 859547101 1783 49700 SH SOLE 49700 0 0
STEWART & STEVENSON SVCS INC COM 860342104 1097 45600 SH SOLE 45600 0 0
STONE & WEBSTER INC COM 861572105 543 9900 SH SOLE 9900 0 0
STONE CONTAINER CORP COM 861589109 2210 142000 SH SOLE 142000 0 0
STORAGE TECHNOLOGY CORP COM PAR $0.10 862111200 20813 433599 SH SOLE 433599 0 0
STORAGE TR RLTY SH BEN INT 861909109 841 32200 SH SOLE 32200 0 0
STORAGE USA INC COM 861907103 3506 86300 SH SOLE 86300 0 0
STRATUS COMPUTER INC COM 863155107 4673 96600 SH SOLE 96600 0 0
STRIDE RITE CORP COM 863314100 675 49800 SH SOLE 49800 0 0
STRYKER CORP COM 863667101 297 6800 SH SOLE 6800 0 0
STUDENT LN CORP COM 863902102 755 16200 SH SOLE 16200 0 0
SUMITOMO BANK CALIF COM 865593107 389 9000 SH SOLE 9000 0 0
SUMMIT BANCORP COM 866005101 6488 147460 SH SOLE 147460 0 0
SUMMIT PPTYS INC COM 866239106 3988 182300 SH SOLE 182300 0 0
SUN COMMUNITIES INC COM 866674104 2658 74100 SH SOLE 74100 0 0
SUN HEALTHCARE GROUP INC COM 866933104 1569 76300 SH SOLE 76300 0 0
SUNAMERICA INC COM 866930100 282 7200 SH SOLE 7200 0 0
SUNBEAM CORP COM 867071102 5720 128900 SH SOLE 128900 0 0
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SUNTRUST BKS INC COM 867914103 1638 24100 SH SOLE 24100 0 0
SUPERIOR INDS INTL INC COM 868168105 708 25500 SH SOLE 25500 0 0
SUPERVALU INC COM 868536103 10527 268200 SH SOLE 268200 0 0
SWIFT TRANSN CO COM 870756103 402 12700 SH SOLE 12700 0 0
SYBRON INTL CORP COM 87114F106 820 19100 SH SOLE 19100 0 0
SYMANTEC CORP COM 871503108 1829 80400 SH SOLE 80400 0 0
SYNOVUS FINL CORP COM 87161C105 2897 130200 SH SOLE 130200 0 0
SYSTEMS & COMPUTER TECHNOLOGY COM 871873105 1618 35900 SH SOLE 35900 0 0
TADIRAN LTD SPONSORED ADR 873593107 2453 66300 SH SOLE 66300 0 0
TAIWAN FD INC COM 874036106 754 29700 SH SOLE 29700 0 0
TANDY CORP COM 875382103 444 13200 SH SOLE 13200 0 0
TAUBMAN CTRS INC COM 876664103 2199 171600 SH SOLE 171600 0 0
TECH DATA CORP COM 878237106 1849 40200 SH SOLE 40200 0 0
TECH SYM CORP COM 878308105 682 20500 SH SOLE 20500 0 0
TECHNITROL INC COM 878555101 422 10600 SH SOLE 10600 0 0
TECO ENERGY INC COM 872375100 4003 163400 SH SOLE 163400 0 0
TECUMSEH PRODS CO CL B 878895101 2763 50000 SH SOLE 50000 0 0
TEKELEC COM 879101103 1192 35000 SH SOLE 35000 0 0
TEKTRONIX INC COM 879131100 1342 19900 SH SOLE 19900 0 0
TELE COMMUNICATIONS INC NEW COM TCI GRP A 87924V101 419 20453 SH SOLE 20453 0 0
TELECOMM ARGENTINA STET-FRANCE SPNS ADR REP B 879273209 2447 80400 SH SOLE 80400 0 0
TELECOMUNICACOES BRASILEIRAS S SPONSORED ADR 879287100 579 4500 SH SOLE 4500 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
TELEFLEX INC COM 879369106 672 19400 SH SOLE 19400 0 0
TELEFONICA DE ESPANA S A SPONSORED ADR 879382208 254 2700 SH SOLE 2700 0 0
TELEFONOS DE MEXICO S A SP ADR REP ORD 879403780 42733 825750 SH SOLE 825750 0 0
TELLABS INC COM 879664100 592 11500 SH SOLE 11500 0 0
TEMPLE INLAND INC COM 879868107 7642 119400 SH SOLE 119400 0 0
TENET HEALTHCARE CORP COM 88033G100 16204 556345 SH SOLE 556345 0 0
TENNANT CO COM 880345103 681 18400 SH SOLE 18400 0 0
TENNECO INC NEW COM 88037E101 2394 50000 SH SOLE 50000 0 0
TERADYNE INC COM 880770102 12221 227100 SH SOLE 227100 0 0
TERRA INDS INC COM 880915103 1850 137000 SH SOLE 137000 0 0
TEVA PHARMACEUTICAL INDS LTD ADR 881624209 558 10000 SH SOLE 10000 0 0
TEXACO INC COM 881694103 35928 584800 SH SOLE 584800 0 0
TEXAS INDS INC COM 882491103 878 20700 SH SOLE 20700 0 0
TEXAS INSTRS INC COM 882508104 9956 74300 SH SOLE 74300 0 0
TEXAS UTILS CO COM 882848104 9365 260150 SH SOLE 260150 0 0
TEXTRON INC COM 883203101 4635 71300 SH SOLE 71300 0 0
THIOKOL CORP DEL COM 884103102 9426 109600 SH SOLE 109600 0 0
THOMAS & BETTS CORP COM 884315102 519 9501 SH SOLE 9501 0 0
TIFFANY & CO NEW COM 886547108 255 6000 SH SOLE 6000 0 0
TIG HLDGS INC COM 872469101 6636 189600 SH SOLE 189600 0 0
TIMBERLAND CO CL A 887100105 3373 42300 SH SOLE 42300 0 0
TIMKEN CO COM 887389104 4307 107500 SH SOLE 107500 0 0
TJ INTL INC COM 872534102 821 32100 SH SOLE 32100 0 0
TJX COS INC NEW COM 872540109 3564 116600 SH SOLE 116600 0 0
TNP ENTERPRISES INC COM 872594106 1166 46400 SH SOLE 46400 0 0
TOLL BROTHERS INC COM 889478103 858 36900 SH SOLE 36900 0 0
TOOTSIE ROLL INDS INC COM 890516107 1690 33303 SH SOLE 33303 0 0
TORCHMARK CORP COM 891027104 16885 430200 SH SOLE 430200 0 0
TORO CO COM 891092108 396 10000 SH SOLE 10000 0 0
TOSCO CORP COM NEW 891490302 4790 137600 SH SOLE 137600 0 0
TOTAL RENAL CARE HLDGS INC COM 89151A107 1330 26600 SH SOLE 26600 0 0
TOYS R US INC COM 892335100 4082 115200 SH SOLE 115200 0 0
TRANSAMERICA CORP COM 893485102 13722 137909 SH SOLE 137909 0 0
TRANSATLANTIC HLDGS INC COM 893521104 7084 98900 SH SOLE 98900 0 0
TRANSCANADA PIPELINES LTD COM 893526103 5282 367378 SH SOLE 367378 0 0
TRAVELERS GROUP INC COM 894190107 47265 691898 SH SOLE 691898 0 0
TREDEGAR INDS INC COM 894650100 1163 16550 SH SOLE 16550 0 0
TRENWICK GROUP INC COM 895290104 549 14550 SH SOLE 14550 0 0
TRIARC COS INC CL A 895927101 624 31000 SH SOLE 31000 0 0
TRINET CORP RLTY TR INC COM 896287109 2290 65200 SH SOLE 65200 0 0
TRINITY INDS INC COM 896522109 3990 82700 SH SOLE 82700 0 0
TRIZEC HAHN CORP SUB VTG 896938107 6336 279702 SH SOLE 279702 0 0
TRUSTMARK CORP COM 898402102 877 27200 SH SOLE 27200 0 0
TRW INC COM 872649108 346 6300 SH SOLE 6300 0 0
TUCSON ELEC PWR CO COM NEW 898813704 419 23540 SH SOLE 23540 0 0
TULTEX CORP COM 899900104 79 13200 SH SOLE 13200 0 0
TUPPERWARE CORP COM 899896104 205 7300 SH SOLE 7300 0 0
TV AZTECA S A DE C V SPONSORED ADR 901145102 225 10000 SH SOLE 10000 0 0
TVX GOLD INC COM 87308K101 116 25600 SH SOLE 25600 0 0
TYCO INTL LTD NEW COM 902124106 20220 246400 SH SOLE 246400 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
TYSON FOODS INC CL A 902494103 445 19000 SH SOLE 19000 0 0
U S G CORP COM NEW 903293405 3811 79500 SH SOLE 79500 0 0
U S INDS INC NEW COM 912080108 2349 81000 SH SOLE 81000 0 0
U S OFFICE PRODS CO COM 912325107 1607 45600 SH SOLE 45600 0 0
U S TR CORP NEW COM 91288L105 739 13100 SH SOLE 13100 0 0
U S WEST INC COM-COMMUNCTNS 912889102 12586 326900 SH SOLE 326900 0 0
U S WEST INC COM-MEDIA GRP 912889201 5058 226700 SH SOLE 226700 0 0
UAL CORP COM PAR $0.01 902549500 6010 70700 SH SOLE 70700 0 0
UGI CORP NEW COM 902681105 381 13800 SH SOLE 13800 0 0
UICI COM 902737105 336 11700 SH SOLE 11700 0 0
ULTRAMAR DIAMOND SHAMROCK CORP COM 904000106 2178 67394 SH SOLE 67394 0 0
ULTRATECH STEPPER INC COM 904034105 660 19400 SH SOLE 19400 0 0
UMB FINL CORP COM 902788108 1051 20600 SH SOLE 20600 0 0
UNICOM CORP COM 904911104 3385 144800 SH SOLE 144800 0 0
UNIFI INC COM 904677101 1089 26600 SH SOLE 26600 0 0
UNILEVER N V NEW YORK SHS 904784501 50626 238100 SH SOLE 238100 0 0
UNION CARBIDE CORP COM 905581104 11193 229900 SH SOLE 229900 0 0
UNION PAC RES GROUP INC COM 907834105 10318 394000 SH SOLE 394000 0 0
UNION PLANTERS CORP COM 908068109 1425 25500 SH SOLE 25500 0 0
UNION TEX PETE HLDGS INC COM 908640105 4425 188300 SH SOLE 188300 0 0
UNIONBANCAL CORP COM 908906100 1574 18200 SH SOLE 18200 0 0
UNIPHASE CORP COM 909149106 763 9600 SH SOLE 9600 0 0
UNISYS CORP COM 909214108 3346 218500 SH SOLE 218500 0 0
UNIT CORP COM 909218109 185 12100 SH SOLE 12100 0 0
UNITED ASSET MGMT CORP COM 909420101 780 27200 SH SOLE 27200 0 0
UNITED COS FINL CORP COM 909870107 1080 34300 SH SOLE 34300 0 0
UNITED DOMINION INDS LTD COM 909914103 2711 132384 SH SOLE 132384 0 0
UNITED DOMINION REALTY TR INC COM 910197102 4334 288938 SH SOLE 288938 0 0
UNITED HEALTHCARE CORP COM 910581107 260 5200 SH SOLE 5200 0 0
UNITED ILLUM CO COM 910637107 1884 51700 SH SOLE 51700 0 0
UNITED STATES FILTER CORP NEW COM NEW 911843209 563 13100 SH SOLE 13100 0 0
UNITED STATES SURGICAL CORP COM 912707106 3785 129400 SH SOLE 129400 0 0
UNITED TECHNOLOGIES CORP COM 913017109 3054 37700 SH SOLE 37700 0 0
UNITED VIDEO SATELLITE GROUP CL A 913155107 722 26000 SH SOLE 26000 0 0
UNITED WIS SVCS INC COM 913236105 332 11200 SH SOLE 11200 0 0
UNITED WTR RES INC COM 913190104 478 25648 SH SOLE 25648 0 0
UNITRODE CORP COM 913283107 1149 15500 SH SOLE 15500 0 0
UNIVERSAL CORP VA COM 913456109 3154 87000 SH SOLE 87000 0 0
UNIVERSAL FOODS CORP COM 913538104 3056 75925 SH SOLE 75925 0 0
UNIVERSAL HLTH SVCS INC CL B 913903100 1073 24800 SH SOLE 24800 0 0
UNOCAL CORP COM 915289102 21115 488200 SH SOLE 488200 0 0
URBAN SHOPPING CTRS INC COM 917060105 2963 92600 SH SOLE 92600 0 0
US AIRWAYS GROUP INC COM 911905107 7809 189881 SH SOLE 189881 0 0
US BANCORP DEL COM 902973106 386 4001 SH SOLE 4001 0 0
USF&G CORP COM 903290104 395 17200 SH SOLE 17200 0 0
USFREIGHTWAYS CORP COM 916906100 824 24500 SH SOLE 24500 0 0
USX MARATHON GROUP COM NEW 902905827 32977 886800 SH SOLE 886800 0 0
USX-U S STL COM 90337T101 7072 203500 SH SOLE 203500 0 0
UTILICORP UTD INC COM 918005109 1949 64700 SH SOLE 64700 0 0
V F CORP COM 918204108 17589 189900 SH SOLE 189900 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
VALASSIS COMMUNICATIONS INC COM 918866104 2910 91300 SH SOLE 91300 0 0
VALERO ENERGY CORP NEW COM 91913Y100 3370 102700 SH SOLE 102700 0 0
VALHI INC NEW COM 918905100 974 108200 SH SOLE 108200 0 0
VALSPAR CORP COM 920355104 301 9600 SH SOLE 9600 0 0
VALUE CITY DEPT STORES INC COM 920387107 1042 125400 SH SOLE 125400 0 0
VALUE LINE INC COM 920437100 1044 26600 SH SOLE 26600 0 0
VANTIVE CORP COM 922091103 552 23000 SH SOLE 23000 0 0
VARCO INTL INC COM 922126107 1916 39500 SH SOLE 39500 0 0
VARIAN ASSOC INC COM 922204102 1168 18800 SH SOLE 18800 0 0
VENCOR INC COM 922602107 621 15048 SH SOLE 15048 0 0
VESTA INS GROUP INC COM 925391104 941 16500 SH SOLE 16500 0 0
VIAD CORP COM 92552R109 923 48400 SH SOLE 48400 0 0
VIASOFT INC COM 92552U102 619 12500 SH SOLE 12500 0 0
VINA CONCHA Y TORO S A SPONSORED ADR 927191106 2204 71400 SH SOLE 71400 0 0
VINTAGE PETE INC COM 927460105 315 6400 SH SOLE 6400 0 0
VISHAY INTERTECHNOLOGY INC COM 928298108 1629 61600 SH SOLE 61600 0 0
VISIO CORP COM 927914101 2810 67300 SH SOLE 67300 0 0
VITESSE SEMICONDUCTOR CORP COM 928497106 520 10500 SH SOLE 10500 0 0
VITRO SOCIEDAD ANONIMA SPONSORED ADR 928502301 27998 1821000 SH SOLE 1821000 0 0
VIVUS INC COM 928551100 3990 106400 SH SOLE 106400 0 0
VLSI TECHNOLOGY INC COM 918270109 2497 72000 SH SOLE 72000 0 0
VOLT INFORMATION SCIENCES INC COM 928703107 1283 20250 SH SOLE 20250 0 0
VORNADO RLTY TR SH BEN INT 929042109 11373 133900 SH SOLE 133900 0 0
VULCAN MATLS CO COM 929160109 4054 46600 SH SOLE 46600 0 0
WABASH NATL CORP COM 929566107 1068 36900 SH SOLE 36900 0 0
WACHOVIA CORP COM 929771103 1166 16200 SH SOLE 16200 0 0
WAL MART STORES INC COM 931142103 39515 1078900 SH SOLE 1078900 0 0
WALDEN RESIDENTIAL PPTYS INC COM 931210108 2608 103300 SH SOLE 103300 0 0
WALLACE COMPUTER SERVICES INC COM 932270101 4606 124900 SH SOLE 124900 0 0
WARNER LAMBERT CO COM 934488107 39402 292000 SH SOLE 292000 0 0
WASHINGTON FED INC COM 938824109 1505 50795 SH SOLE 50795 0 0
WASHINGTON GAS LT CO COM 938837101 830 32400 SH SOLE 32400 0 0
WASHINGTON MUT INC COM 939322103 29222 418960 SH SOLE 418960 0 0
WASHINGTON NATL CORP COM 939339107 1096 33800 SH SOLE 33800 0 0
WASHINGTON POST CO CL B 939640108 583 1300 SH SOLE 1300 0 0
WASHINGTON REAL ESTATE INVT TR SH BEN INT 939653101 1217 71600 SH SOLE 71600 0 0
WASHINGTON WTR PWR CO COM 940688104 538 26900 SH SOLE 26900 0 0
WASTE MGMT INC NEW COM 94106K101 9982 285700 SH SOLE 285700 0 0
WASTE MGMT INTL PLC SPONSORED ADR 940906100 1422 175000 SH SOLE 175000 0 0
WATKINS JOHNSON CO COM 942486101 905 27000 SH SOLE 27000 0 0
WATSON PHARMACEUTICALS INC COM 942683103 496 8300 SH SOLE 8300 0 0
WATTS INDS INC CL A 942749102 855 30800 SH SOLE 30800 0 0
WEATHERFORD ENTERRA INC COM 947071106 2356 44200 SH SOLE 44200 0 0
WEBB DEL CORP COM 947423109 1293 60500 SH SOLE 60500 0 0
WEEKS CORP COM 94856P102 1936 59100 SH SOLE 59100 0 0
WEINGARTEN RLTY INVS SH BEN INT 948741103 3896 97400 SH SOLE 97400 0 0
WEIS MKTS INC COM 948849104 1113 31800 SH SOLE 31800 0 0
WELLMAN INC COM 949702104 1985 85600 SH SOLE 85600 0 0
WELLPOINT HEALTH NETWORK NEW COM 94973H108 2543 43900 SH SOLE 43900 0 0
WELLS FARGO & CO DEL COM 949740104 633 2300 SH SOLE 2300 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
WERNER ENTERPRISES INC COM 950755108 216 8900 SH SOLE 8900 0 0
WESCO FINL CORP COM 950817106 1764 5600 SH SOLE 5600 0 0
WEST INC COM 953348109 393 11900 SH SOLE 11900 0 0
WESTCOAST ENERGY INC COM 95751D102 5301 334100 SH SOLE 334100 0 0
WESTERN DIGITAL CORP COM 958102105 7380 184500 SH SOLE 184500 0 0
WESTERN GAS RES INC COM 958259103 2162 99700 SH SOLE 99700 0 0
WESTERN INVT REAL ESTATE TR SH BEN INT 958468100 819 60700 SH SOLE 60700 0 0
WESTERN NATL CORP COM 958845109 998 34800 SH SOLE 34800 0 0
WESTERN RES INC COM 959425109 1726 50200 SH SOLE 50200 0 0
WESTINGHOUSE AIR BRAKE CO NEW COM 960386100 719 31100 SH SOLE 31100 0 0
WESTINGHOUSE ELEC CORP COM 960402105 6089 225000 SH SOLE 225000 0 0
WESTPOINT STEVENS INC COM 961238102 1766 42800 SH SOLE 42800 0 0
WESTVACO CORP COM 961548104 7595 210600 SH SOLE 210600 0 0
WEYERHAEUSER CO COM 962166104 1499 25200 SH SOLE 25200 0 0
WHEELABRATOR TECH INC NEW COM PAR $0.01 962901302 7651 478200 SH SOLE 478200 0 0
WHITMAN CORP COM 96647K102 6066 222600 SH SOLE 222600 0 0
WILLAMETTE INDS INC COM 969133107 5875 153600 SH SOLE 153600 0 0
WILLIAMS COS INC DEL COM 969457100 1236 26400 SH SOLE 26400 0 0
WILLIAMS SONOMA INC COM 969904101 1603 37500 SH SOLE 37500 0 0
WILMINGTON TRUST CORP COM 971807102 3458 63300 SH SOLE 63300 0 0
WINSTON HOTELS INC COM 97563A102 922 68300 SH SOLE 68300 0 0
WISCONSIN ENERGY CORP COM 976657106 4137 159100 SH SOLE 159100 0 0
WOLVERINE WORLD WIDE INC COM 978097103 413 16350 SH SOLE 16350 0 0
WORLD COLOR PRESS INC DEL COM 981443104 284 9400 SH SOLE 9400 0 0
WORLDCOM INC GA COM 98155K102 4998 141300 SH SOLE 141300 0 0
WPL HLDGS INC COM 929305100 767 26800 SH SOLE 26800 0 0
WRIGLEY WM JR CO COM 982526105 1551 20600 SH SOLE 20600 0 0
WYMAN GORDON CO COM 983085101 646 24600 SH SOLE 24600 0 0
XEROX CORP COM 984121103 30501 362300 SH SOLE 362300 0 0
XILINX INC COM 983919101 319 6300 SH SOLE 6300 0 0
XYLAN CORP COM 984151100 341 15400 SH SOLE 15400 0 0
YELLOW CORP COM 985509108 5282 162200 SH SOLE 162200 0 0
YPF SOCIEDAD ANONIMA SPON ADR CL D 984245100 39175 1064203 SH SOLE 1064203 0 0
ZALE CORP NEW COM 988858106 809 31200 SH SOLE 31200 0 0
ZEBRA TECHNOLOGIES CORP CL A 989207105 701 19600 SH SOLE 19600 0 0
ZEIGLER COAL HLDG CO COM 989286109 362 15500 SH SOLE 15500 0 0
ZENITH ELECTRS CORP COM 989349105 239 24400 SH SOLE 24400 0 0
ZILOG INC COM 989524103 1215 55700 SH SOLE 55700 0 0
ZURN INDS INC COM 989824107 817 23600 SH SOLE 23600 0 0
REPORT SUMMARY 1389 DATA RECORDS 6584896 3 OTHER MANAGERS ON WHOSE BEHALF REPORT IS FILED
</TABLE>
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