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<TABLE>
<C> <C>
<PAGE> PAGE 1
SECURITIES AND EXCHANGE COMMISSION
FORM 13F-E
Report for the Calendar Year or Quarter Ended: 12/31/96
Institutional Investment Manager:
GRANTHAM, MAYO, VAN OTTERLOO & CO.
40 ROWES WHARF
BOSTON MA 02110
I REPRESENT THAT I AM AUTHORIZED TO SUBMIT THIS FORM AND THAT ALL INFORMATION IN
THIS FORM AND THE ATTACHMENTS TO IT IS TRUE, CORRECT AND COMPLETE AND I
UNDERSTAND THAT ALL REQUIRED ITEMS, STATEMENTS AND SCHEDULES ARE INTEGRAL PARTS
OF THIS FORM AND THAT THE SUBMISSION OF ANY AMENDMENT REPRESENTS THAT ALL
UNAMENDED ITEMS, STATEMENTS AND SCHEDULES REMAIN TRUE, CORRECT AND COMPLETE AS
PREVIOUSLY SUBMITTED.
I AM SIGNING THIS REPORT AS REQUIRED BY THE SECURITIES AND EXCHANGE ACT OF 1934.
Name, Title and Telephone Number of Person Submitting Report:
FORREST BERKLEY PARTNER (617) 346-7578
Signature, Place and Date of Signing:
/s/ FORREST BERKLEY BOSTON MA 11/28/95
Other Managers on Whose Behalf this Report is Filed:
01 STRATEGIC INVESTMENT MANAGEMENT 028-02437
02 STRATEGIC INVESTMENT MANAGEMENT INTERNATIONAL 028-02495
03 STRATEGIC INVESTMENT PARTNERS, INC. 028-02436
<PAGE> PAGE 2
VALUE SHARES/ SH/ PUT/ INVSTMT -----VOTING AUTHORITY-----
NAME OF ISSUER -TITLE OF CLASS- --CUSIP-- (x$1000) PRN AMT PRN CALL DSCRETN -MANAGERS- SOLE SHARED NONE
20TH CENTY INDS CAL COM PAR $10 901272203 474 28100 SH SOLE 28100 0 0
3COM CORP COM 885535104 264 3600 SH SOLE 3600 0 0
A D C TELECOMMUNICATIONS COM 000886101 657 21100 SH SOLE 21100 0 0
AAR CORP COM 000361105 572 18900 SH SOLE 18900 0 0
ABBOTT LABS COM 002824100 88721 1748204 SH SOLE 1748204 0 0
ABITIBI PRICE INC COM 003680105 6374 553100 SH SOLE 553100 0 0
ACUSON CORP COM 005113105 268 11000 SH SOLE 11000 0 0
ACX TECHNOLOGIES INC COM 005123104 1020 51300 SH SOLE 51300 0 0
ACXIOM CORP COM 005125109 430 17900 SH SOLE 17900 0 0
ADAC LABS COM NEW 005313200 764 32000 SH SOLE 32000 0 0
ADVANCED MICRO DEVICES INC COM 007903107 7681 298300 SH SOLE 298300 0 0
ADVANCED TECHNOLOGIES LABS INC COM 00755N106 257 8300 SH SOLE 8300 0 0
ADVANTA CORP CL A 007942105 376 8800 SH SOLE 8800 0 0
AES CORP COM 00130H105 10997 236500 SH SOLE 236500 0 0
AETNA INC COM 008117103 9950 124373 SH SOLE 124373 0 0
AFLAC INC COM 001055102 4403 103000 SH SOLE 103000 0 0
AGCO CORP COM 001084102 1031 36000 SH SOLE 36000 0 0
AGL RES INC COM 001204106 784 37100 SH SOLE 37100 0 0
AGRIUM INC COM 008916108 641 63863 SH SOLE 63863 0 0
AHMANSON H F & CO COM 008677106 13072 402200 SH SOLE 402200 0 0
AIR CDA INC CL A NON VTG 008911307 284 100000 SH SOLE 100000 0 0
AIR CDA INC SUB DB CONV 8%05 008911AB5 354 700000 SH SOLE 700000 0 0
AIR EXPRESS INTL CORP COM 009104100 361 11200 SH SOLE 11200 0 0
AIRBORNE FGHT CORP COM 009266107 507 21700 SH SOLE 21700 0 0
AJL PEPS TR PEPS EXCH AJL 009710104 5076 310000 SH SOLE 310000 0 0
AK STL HLDG CORP COM 001547108 701 17700 SH SOLE 17700 0 0
ALASKA AIR GROUP INC COM 011659109 319 15200 SH SOLE 15200 0 0
ALBEMARLE CORP COM 012653101 518 28600 SH SOLE 28600 0 0
ALBERTA ENERGY LTD COM 012873105 4002 228553 SH SOLE 228553 0 0
ALBERTO CULVER CO CL B CONV 013068101 1152 24000 SH SOLE 24000 0 0
ALBERTSONS INC COM 013104104 26309 738500 SH SOLE 738500 0 0
ALCAN ALUMINIUM LTD NEW COM 013716105 1369 40700 SH SOLE 40700 0 0
ALEX BROWN INC COM 013902101 1523 21000 SH SOLE 21000 0 0
ALEXANDER & ALEXANDER SVCS INC COM 014476105 652 37500 SH SOLE 37500 0 0
ALEXANDER & BALDWIN INC COM 014482103 205 8200 SH SOLE 8200 0 0
ALLEGHANY CORP DEL COM 017175100 1033 4874 SH SOLE 4874 0 0
ALLEGHENY PWR SYS INC COM 017411109 8253 271700 SH SOLE 271700 0 0
ALLEGHENY TELEDYNE INC COM 017415100 6652 289200 SH SOLE 289200 0 0
ALLERGAN INC COM 018490102 652 18300 SH SOLE 18300 0 0
ALLIANT TECHSYSTEMS INC COM 018804104 446 8100 SH SOLE 8100 0 0
ALLIED GROUP INC COM 019220102 489 15000 SH SOLE 15000 0 0
ALLIEDSIGNAL INC COM 019512102 348 5200 SH SOLE 5200 0 0
ALLMERICA PPTY & CAS COS INC COM 01975T105 2032 66900 SH SOLE 66900 0 0
ALLSTATE CORP COM 020002101 20273 350282 SH SOLE 350282 0 0
ALLWASTE INC COM 020047106 79 15500 SH SOLE 15500 0 0
ALUMAX INC COM 022197107 1893 56500 SH SOLE 56500 0 0
AMBAC INC COM 023139108 7056 106300 SH SOLE 106300 0 0
AMBASSADOR APTS INC COM 02316A102 664 28100 SH SOLE 28100 0 0
AMCAST INDL CORP COM 023395106 656 26500 SH SOLE 26500 0 0
AMDAHL CORP COM 023905102 1554 128200 SH SOLE 128200 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
AMERADA HESS CORP COM 023551104 590 10200 SH SOLE 10200 0 0
AMERICA WEST AIRLS INC CL B 023650203 597 37600 SH SOLE 37600 0 0
AMERICAN BANKERS INS GROUP INC COM 024456105 2183 42700 SH SOLE 42700 0 0
AMERICAN BRANDS INC COM 024703100 2913 58700 SH SOLE 58700 0 0
AMERICAN BUSINESS INFORMATION COM 02476F107 316 14200 SH SOLE 14200 0 0
AMERICAN BUSINESS PRODS GA COM 024763104 1362 54200 SH SOLE 54200 0 0
AMERICAN ELEC PWR INC COM 025537101 16676 405500 SH SOLE 405500 0 0
AMERICAN EXPRESS CO COM 025816109 3040 53800 SH SOLE 53800 0 0
AMERICAN FINL GROUP INC COM 02608W101 1468 38900 SH SOLE 38900 0 0
AMERICAN GENERAL CORP COM 026351106 3605 88200 SH SOLE 88200 0 0
AMERICAN GREETINGS CORP CL A 026375105 1754 61800 SH SOLE 61800 0 0
AMERICAN HERITAGE LIFE INVT COM 026522102 424 16149 SH SOLE 16149 0 0
AMERICAN HOME PRODS CORP COM 026609107 34843 594340 SH SOLE 594340 0 0
AMERICAN INTL GROUP INC COM 026874107 1147 10600 SH SOLE 10600 0 0
AMERICAN MEDIA INC CL A 02744L100 216 36700 SH SOLE 36700 0 0
AMERICAN MGMT SYS INC COM 027352103 434 17700 SH SOLE 17700 0 0
AMERICAN NATL INS CO COM 028591105 2036 27600 SH SOLE 27600 0 0
AMERICAN PWR CONVERSION CORP COM 029066107 2289 84000 SH SOLE 84000 0 0
AMERICAN STORES CO NEW COM 030096101 17531 428900 SH SOLE 428900 0 0
AMERICAN WTR WKS INC COM 030411102 1592 77200 SH SOLE 77200 0 0
AMERITECH CORP NEW COM 030954101 1006 16600 SH SOLE 16600 0 0
AMERON INTL INC COM 030710107 676 13100 SH SOLE 13100 0 0
AMGEN INC COM 031162100 1142 21000 SH SOLE 21000 0 0
AMLI RESIDENTIAL PPTYS TR SH BEN INT 001735109 1127 48200 SH SOLE 48200 0 0
AMOCO CORP COM 031905102 234 2900 SH SOLE 2900 0 0
AMR CORP COM 001765106 1410 16000 SH SOLE 16000 0 0
AMSOUTH BANCORPORATION COM 032165102 6090 125900 SH SOLE 125900 0 0
ANDREW CORP COM 034425108 621 11700 SH SOLE 11700 0 0
ANHEUSER BUSCH COS INC COM 035229103 64980 1624500 SH SOLE 1624500 0 0
ANIXTER INTL INC COM 035290105 295 18300 SH SOLE 18300 0 0
ANNTAYLOR STORES CORP COM 036115103 410 23400 SH SOLE 23400 0 0
AON CORP COM 037389103 926 14900 SH SOLE 14900 0 0
APACHE CORP COM 037411105 9687 275800 SH SOLE 275800 0 0
APARTMENT INVT & MGMT CO CL A 03748R101 1237 43800 SH SOLE 43800 0 0
APL LTD COM 00202M107 201 8500 SH SOLE 8500 0 0
APOGEE ENTERPRISES INC COM 037598109 843 21200 SH SOLE 21200 0 0
APPLE COMPUTER INC COM 037833100 482 23100 SH SOLE 23100 0 0
APPLIED MATLS INC COM 038222105 320 8900 SH SOLE 8900 0 0
APPLIED PWR INC CL A 038225108 472 11900 SH SOLE 11900 0 0
AQUARION CO COM 03838W101 237 8500 SH SOLE 8500 0 0
ARBOR DRUGS INC COM 038760104 1292 74375 SH SOLE 74375 0 0
ARCADIAN CORP COM 039229109 376 14200 SH SOLE 14200 0 0
ARCHER DANIELS MIDLAND CO COM 039483102 33713 1532396 SH SOLE 1532396 0 0
ARCTIC CAT INC COM 039670104 347 35125 SH SOLE 35125 0 0
ARDEN RLTY GROUP INC COM 039793104 412 14900 SH SOLE 14900 0 0
ARGONAUT GROUP INC COM 040157109 787 25600 SH SOLE 25600 0 0
ARNOLD INDS INC COM 042595108 292 18400 SH SOLE 18400 0 0
ARVIN INDS INC COM 043339100 545 22000 SH SOLE 22000 0 0
ASARCO INC COM 043413103 2025 81400 SH SOLE 81400 0 0
ASHLAND COAL INC COM 043906106 341 12300 SH SOLE 12300 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
ASPECT TELECOMMUNICATIONS CORP COM 045237104 1314 20700 SH SOLE 20700 0 0
ASSOCIATED ESTATES RLTY CORP COM 045604105 967 40700 SH SOLE 40700 0 0
ASTORIA FINL CORP COM 046265104 675 18300 SH SOLE 18300 0 0
AT&T CORP COM 001957109 35763 824500 SH SOLE 824500 0 0
ATLANTIC ENERGY INC N J COM 048903108 1759 102700 SH SOLE 102700 0 0
ATLANTIC RICHFIELD CO COM 048825103 20485 154600 SH SOLE 154600 0 0
ATLANTIC SOUTHEAST AIRLS INC COM 048869101 289 13200 SH SOLE 13200 0 0
ATLANTIC TELE NETWORK INC COM 049079106 185 12100 SH SOLE 12100 0 0
ATMOS ENERGY CORP COM 049560105 210 8800 SH SOLE 8800 0 0
ATWOOD OCEANICS INC COM 050095108 394 6200 SH SOLE 6200 0 0
AUTODESK INC COM 052769106 594 21200 SH SOLE 21200 0 0
AUTOZONE INC COM 053332102 4219 153400 SH SOLE 153400 0 0
AVALON PPTYS INC COM 053469102 2312 80400 SH SOLE 80400 0 0
AVNET INC COM 053807103 6862 117800 SH SOLE 117800 0 0
AVON PRODS INC COM 054303102 1137 19900 SH SOLE 19900 0 0
AZTAR CORP COM 054802103 237 32700 SH SOLE 32700 0 0
BAKER HUGHES INC COM 057224107 7776 225400 SH SOLE 225400 0 0
BAKER J INC COM 057232100 86 16100 SH SOLE 16100 0 0
BALDWIN & LYONS INC CL B 057755209 568 30900 SH SOLE 30900 0 0
BALL CORP COM 058498106 809 30800 SH SOLE 30800 0 0
BALLARD MED PRODS COM 058566100 1114 59800 SH SOLE 59800 0 0
BALTIMORE GAS & ELEC CO COM 059165100 5002 187000 SH SOLE 187000 0 0
BANC ONE CORP COM 059438101 1842 42840 SH SOLE 42840 0 0
BANCO GANADERO S A SPONSRD ADR B 059594408 947 35900 SH SOLE 35900 0 0
BANCORP HAWAII INC COM 059685107 1835 43700 SH SOLE 43700 0 0
BANCTEC INC COM 059784108 623 30200 SH SOLE 30200 0 0
BANDAG INC COM 059815100 2795 59000 SH SOLE 59000 0 0
BANK MONTREAL QUE COM 063671101 2357 101359 SH SOLE 101359 0 0
BANK NEW YORK INC COM 064057102 36838 1091500 SH SOLE 1091500 0 0
BANK OF BOSTON CORP COM 060716107 27814 432900 SH SOLE 432900 0 0
BANKAMERICA CORP COM 066050105 10324 103500 SH SOLE 103500 0 0
BANKERS LIFE HLDG CORP COM 066229105 1178 47100 SH SOLE 47100 0 0
BANKERS TRUST N Y CORP COM 066365107 20010 232000 SH SOLE 232000 0 0
BANPONCE CORP NEW COM 066704107 3544 105000 SH SOLE 105000 0 0
BANTA CORP COM 066821109 868 37950 SH SOLE 37950 0 0
BARD C R INC COM 067383109 218 7800 SH SOLE 7800 0 0
BARNES GROUP INC COM 067806109 534 8900 SH SOLE 8900 0 0
BARNETT BKS INC COM 068055102 18572 451600 SH SOLE 451600 0 0
BASSETT FURNITURE INDS INC COM 070203104 282 11500 SH SOLE 11500 0 0
BAY APT CMNTYS INC COM 072012107 2149 59700 SH SOLE 59700 0 0
BAY NETWORKS INC COM 072510100 475 22600 SH SOLE 22600 0 0
BCE INC COM 05534B109 10953 314405 SH SOLE 314405 0 0
BCE MOBILE COMMUNICATION INC COM 05534G108 560 25900 SH SOLE 25900 0 0
BEAR STEARNS COS INC COM 073902108 9627 345346 SH SOLE 345346 0 0
BEAUTICONTROL COSMETICS INC COM 074655101 167 10300 SH SOLE 10300 0 0
BECKMAN INSTRS INC NEW COM 075816108 1689 44000 SH SOLE 44000 0 0
BECTON DICKINSON & CO COM 075887109 4576 105500 SH SOLE 105500 0 0
BED BATH & BEYOND INC COM 075896100 1011 41700 SH SOLE 41700 0 0
BELDEN INC COM 077459105 307 8300 SH SOLE 8300 0 0
BELL ATLANTIC CORP COM 077853109 9292 143500 SH SOLE 143500 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
BELLSOUTH CORP COM 079860102 1150 28400 SH SOLE 28400 0 0
BELO A H CORP DEL COM SER A 080555105 2263 64900 SH SOLE 64900 0 0
BENEFICIAL CORP COM 081721102 6749 106500 SH SOLE 106500 0 0
BERGEN BRUNSWIG CORP CL A 083739102 1619 56300 SH SOLE 56300 0 0
BERKLEY W R CORP COM 084423102 883 17400 SH SOLE 17400 0 0
BERKSHIRE RLTY INC COM 084710102 916 92800 SH SOLE 92800 0 0
BERRY PETE CO CL A 085789105 230 16000 SH SOLE 16000 0 0
BEST BUY INC COM 086516101 287 27000 SH SOLE 27000 0 0
BETHLEHEM STL CORP COM 087509105 1035 116600 SH SOLE 116600 0 0
BEVERLY ENTERPRISES INC COM 087851101 2092 164100 SH SOLE 164100 0 0
BHC COMMUNICATIONS INC CL A 055448104 5363 52900 SH SOLE 52900 0 0
BIG B INC COM 088891106 0 12000 SH SOLE 12000 0 0
BINDLEY WESTN INDS INC COM 090324104 639 33000 SH SOLE 33000 0 0
BIO TECHNOLOGY GEN CORP COM 090578105 920 70100 SH SOLE 70100 0 0
BIOMET INC COM 090613100 613 40500 SH SOLE 40500 0 0
BIRMINGHAM STL CORP COM 091250100 667 35100 SH SOLE 35100 0 0
BJ SVCS CO COM 055482103 1010 19800 SH SOLE 19800 0 0
BLACK HILLS CORP COM 092113109 270 9600 SH SOLE 9600 0 0
BLAIR CORP COM 092828102 629 32700 SH SOLE 32700 0 0
BLOCK DRUG INC CL A 093644102 721 15682 SH SOLE 15682 0 0
BLOCK H & R INC COM 093671105 2900 100000 SH SOLE 100000 0 0
B MC INDS INC MINN COM 055607105 1805 57300 SH SOLE 57300 0 0
BMC SOFTWARE INC COM 055921100 2110 51000 SH SOLE 51000 0 0
BOATMENS BANCSHARES INC COM 096650106 310 4800 SH SOLE 4800 0 0
BOB EVANS FARMS INC COM 096761101 547 40500 SH SOLE 40500 0 0
BOEING CO COM 097023105 5727 53776 SH SOLE 53776 0 0
BOISE CASCADE CORP COM 097383103 699 22000 SH SOLE 22000 0 0
BOISE CASCADE CORP DEP ACES 1/10S 097383863 523 20000 SH SOLE 20000 0 0
BORDEN CHEMS&PLASTIC LTD PARTN DEPOS COM UNIT 099541203 118 14300 SH SOLE 14300 0 0
BORDERS GROUP INC COM 099709107 409 11400 SH SOLE 11400 0 0
BORG-WARNER AUTOMOTIVE INC COM 099724106 1159 30100 SH SOLE 30100 0 0
BOSTON EDISON CO COM 100599109 1868 69500 SH SOLE 69500 0 0
BOWATER INC COM 102183100 1072 28500 SH SOLE 28500 0 0
BOWNE & CO INC COM 103043105 525 21300 SH SOLE 21300 0 0
BRADLEY REAL ESTATE INC COM 104580105 1409 78300 SH SOLE 78300 0 0
BRADY WH CO CL A 104674106 360 14600 SH SOLE 14600 0 0
BRASCAN LTD CL A 105502405 3002 186000 SH SOLE 186000 0 0
BRE PROPERTIES INC CL A 05564E106 1141 46100 SH SOLE 46100 0 0
BREED TECHNOLOGIES INC COM 106702103 744 28600 SH SOLE 28600 0 0
BRIGGS & STRATTON CORP COM 109043109 475 10800 SH SOLE 10800 0 0
BRINKER INTL INC COM 109641100 501 31300 SH SOLE 31300 0 0
BRISTOL MYERS SQUIBB CO COM 110122108 99463 912500 SH SOLE 912500 0 0
BRODERBUND SOFTWARE INC COM 112014105 295 9900 SH SOLE 9900 0 0
BROOKLYN UN GAS CO COM 114259104 1202 39900 SH SOLE 39900 0 0
BROWN GROUP INC COM 115657108 334 18400 SH SOLE 18400 0 0
BROWNING FERRIS INDS COM 115885105 982 37400 SH SOLE 37400 0 0
BUCKLE INC COM 118440106 258 10300 SH SOLE 10300 0 0
BUFFETS INC COM 119882108 946 103700 SH SOLE 103700 0 0
BURLINGTON COAT FACTORY COM 121579106 569 43800 SH SOLE 43800 0 0
BURLINGTON INDS INC COM 121693105 339 30800 SH SOLE 30800 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 NORTHN SANTA FE CP COM 12189T104 48240 558500 SH SOLE 558500 0 0
BURLINGTON RES INC COM 122014103 1919 38100 SH SOLE 38100 0 0
BURNHAM PAC PPTYS INC COM 12232C108 1164 77600 SH SOLE 77600 0 0
BW/IP INC CL A 056044100 231 14000 SH SOLE 14000 0 0
C D I CORP COM 125071100 321 11300 SH SOLE 11300 0 0
CABLETRON SYS INC COM 126920107 3598 108200 SH SOLE 108200 0 0
CABOT OIL & GAS CORP CL A 127097103 569 33200 SH SOLE 33200 0 0
CADENCE DESIGN SYSTEM INC COM 127387108 3926 99400 SH SOLE 99400 0 0
CAL FED BANCORP INC COM 128026101 1673 68300 SH SOLE 68300 0 0
CALDOR CORP COM 128787108 53 38200 SH SOLE 38200 0 0
CALENERGY INC COM 129466108 1274 37900 SH SOLE 37900 0 0
CALI REALTY CORP COM 129909107 5335 172800 SH SOLE 172800 0 0
CALIBER SYS INC COM 129894101 393 20400 SH SOLE 20400 0 0
CALLAWAY GOLF CO COM 131193104 19421 675500 SH SOLE 675500 0 0
CALPINE CORP COM 131347106 1000 50000 SH SOLE 50000 0 0
CAMDEN PPTY TR SH BEN INT 133131102 2267 79200 SH SOLE 79200 0 0
CAMECO CORP COM 13321L108 552 18900 SH SOLE 18900 0 0
CANADIAN MARCONI CO COM 136357100 418 52700 SH SOLE 52700 0 0
CANADIAN OCCIDENTAL PETE LTD COM 136420106 2161 185144 SH SOLE 185144 0 0
CANADIAN PAC LTD NEW COM 135923100 4793 212700 SH SOLE 212700 0 0
CAPITAL RE CORP COM 140432105 881 18900 SH SOLE 18900 0 0
CAPITOL AMERN FINL CORP COM 14055J103 677 18600 SH SOLE 18600 0 0
CARAUSTAR INDS INC COM 140909102 213 6400 SH SOLE 6400 0 0
CARDINAL HEALTH INC COM 14149Y108 1226 21050 SH SOLE 21050 0 0
CAROLINA PWR & LT CO COM 144141108 7304 200100 SH SOLE 200100 0 0
CARPENTER TECHNOLOGY CORP COM 144285103 374 10200 SH SOLE 10200 0 0
CARRAMERICA REALTY CORP COM 14441K103 6850 234200 SH SOLE 234200 0 0
CARTER WALLACE INC COM 146285101 205 13100 SH SOLE 13100 0 0
CASE CORP COM 14743R103 458 8400 SH SOLE 8400 0 0
CASEYS GEN STORES INC COM 147528103 1136 60600 SH SOLE 60600 0 0
CASH AMER INTL INC COM 14754D100 814 95800 SH SOLE 95800 0 0
CASINO AMER INC COM 147575104 102 31950 SH SOLE 31950 0 0
CATALINA MARKETING CORP COM 148867104 1466 26600 SH SOLE 26600 0 0
CATERPILLAR INC DEL COM 149123101 339 4500 SH SOLE 4500 0 0
CBL & ASSOC PPTYS INC COM 124830100 2086 80600 SH SOLE 80600 0 0
CCB FINL CORP COM 124875105 689 10100 SH SOLE 10100 0 0
CENTERIOR ENERGY CORP COM 151883105 2782 258800 SH SOLE 258800 0 0
CENTERPOINT PPTYS CORP COM 151895109 3360 102600 SH SOLE 102600 0 0
CENTEX CORP COM 152312104 1204 32000 SH SOLE 32000 0 0
CENTOCOR INC COM 152342101 347 9700 SH SOLE 9700 0 0
CENTRAL & SOUTH WEST CORP COM 152357109 16787 655100 SH SOLE 655100 0 0
CENTRAL FID BKS INC COM 153469101 1020 39600 SH SOLE 39600 0 0
CENTRAL HUDSON GAS & ELEC CORP COM 153609102 609 19400 SH SOLE 19400 0 0
CENTRAL LA ELEC INC COM NEW 153897608 362 13100 SH SOLE 13100 0 0
CENTRAL MAINE PWR CO COM 154051106 502 43200 SH SOLE 43200 0 0
CENTRAL NEWSPAPERS INC CL A 154647101 1122 25500 SH SOLE 25500 0 0
CENTRAL VT PUB SVC CORP COM 155771108 154 12850 SH SOLE 12850 0 0
CHAMPION ENTERPRISES INC COM 158496109 684 35100 SH SOLE 35100 0 0
CHAMPION INTL CORP COM 158525105 4649 107500 SH SOLE 107500 0 0
CHARMING SHOPPES INC COM 161133103 995 196600 SH SOLE 196600 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
CHARTER ONE FINL INC COM 160903100 748 17800 SH SOLE 17800 0 0
CHASE MANHATTAN CORP NEW COM 16161A108 76038 850772 SH SOLE 850772 0 0
CHECKPOINT SYS INC COM 162825103 572 23100 SH SOLE 23100 0 0
CHELSEA GCA RLTY INC COM 163262108 1655 47800 SH SOLE 47800 0 0
CHEMED CORP COM 163596109 391 10700 SH SOLE 10700 0 0
CHESAPEAKE CORP COM 165159104 822 26200 SH SOLE 26200 0 0
CHEVRON CORPORATION COM 166751107 16016 246400 SH SOLE 246400 0 0
CHILGENER S A SPONSORED ADR 168894103 1785 85500 SH SOLE 85500 0 0
CHIQUITA BRANDS INTL INC COM 170032106 715 56100 SH SOLE 56100 0 0
CHRIS CRAFT INDS INC COM 170520100 2706 65601 SH SOLE 65601 0 0
CHRYSLER CORP COM 171196108 31673 959800 SH SOLE 959800 0 0
CHUBB CORP COM 171232101 1021 19000 SH SOLE 19000 0 0
CIGNA CORP COM 125509109 8402 61500 SH SOLE 61500 0 0
CILCORP INC COM 171794100 352 9600 SH SOLE 9600 0 0
CINCINNATI BELL INC COM 171870108 2921 47400 SH SOLE 47400 0 0
CINCINNATI MILACRON INC COM 172172108 2789 127500 SH SOLE 127500 0 0
CINERGY CORP COM 172474108 18530 555200 SH SOLE 555200 0 0
CINTAS CORP COM 172908105 529 9000 SH SOLE 9000 0 0
CIPSCO INC COM 125539106 518 14400 SH SOLE 14400 0 0
CIRCUIT CITY STORE INC COM 172737108 542 18000 SH SOLE 18000 0 0
CIRCUS CIRCUS ENTERPRISES INC COM 172909103 949 27600 SH SOLE 27600 0 0
CIRRUS LOGIC CORP COM 172755100 550 35500 SH SOLE 35500 0 0
CISCO SYS INC COM 17275R102 34052 535200 SH SOLE 535200 0 0
CITICORP COM 173034109 23865 231699 SH SOLE 231699 0 0
CITIZENS CORP COM 174533109 398 17700 SH SOLE 17700 0 0
CITIZENS UTILS CO DEL CL B 177342201 510 45812 SH SOLE 45812 0 0
CLAIRE'S STORES INC COM 179584107 1103 84050 SH SOLE 84050 0 0
CLAYTON HOMES INC COM 184190106 477 35350 SH SOLE 35350 0 0
CLEAR CHANNEL COMMUNICATIONS COM 184502102 809 22400 SH SOLE 22400 0 0
CLEVELAND CLIFFS INC COM 185896107 481 10600 SH SOLE 10600 0 0
CLOROX CO DEL COM 189054109 15408 153500 SH SOLE 153500 0 0
CMAC INVT CORP COM 125662106 301 8200 SH SOLE 8200 0 0
CMS ENERGY CORP COM 125896100 8665 257700 SH SOLE 257700 0 0
CNA FINL CORP COM 126117100 3572 33384 SH SOLE 33384 0 0
COACHMEN INDS INC COM 189873102 636 22400 SH SOLE 22400 0 0
COASTAL CORP COM 190441105 8734 178700 SH SOLE 178700 0 0
COCA COLA CO COM 191216100 93678 1780100 SH SOLE 1780100 0 0
COCA COLA ENTERPRISES INC COM 191219104 9297 191700 SH SOLE 191700 0 0
COGNEX CORP COM 192422103 1893 102300 SH SOLE 102300 0 0
COLLECTIVE BANCORP INC COM 193901105 327 9300 SH SOLE 9300 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
COMMERCE BANCSHARES INC COM 200525103 3330 72000 SH SOLE 72000 0 0
COMMERCE GROUP INC MASS COM 200641108 439 17400 SH SOLE 17400 0 0
COMMERCIAL METALS CO COM 201723103 377 12500 SH SOLE 12500 0 0
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COMPANIA DE TELECOMUNICACIONES SPONSORED ADR 204449201 3823 37800 SH SOLE 37800 0 0
COMPAQ COMPUTER CORP COM 204493100 50582 680100 SH SOLE 680100 0 0
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COMPUSA INC COM 204932107 625 30100 SH SOLE 30100 0 0
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COMSAT CORP COM SER 1 20564D107 2105 85500 SH SOLE 85500 0 0
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CONE MLS CORP N C COM 206814105 251 31900 SH SOLE 31900 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
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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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E M C CORP MASS COM 268648102 381 11500 SH SOLE 11500 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
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FEDERAL HOME LN MTG CORP COM 313400301 2119 19200 SH SOLE 19200 0 0
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FEDERAL SIGNAL CORP COM 313855108 279 10800 SH SOLE 10800 0 0
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FIRST BRANDS CORP COM 319356101 1470 51800 SH SOLE 51800 0 0
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FIRST COMM CORP COM 319779104 673 17300 SH SOLE 17300 0 0
FIRST CTZNS BANCSHARES INC N C CL A 31946M103 539 7000 SH SOLE 7000 0 0
FIRST EMPIRE ST CORP COM 320076102 1526 5300 SH SOLE 5300 0 0
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FIRST INDUSTRIAL REALTY TRUST COM 32054K103 4708 155000 SH SOLE 155000 0 0
FIRST MIDWEST BANCORP DEL COM 320867104 265 8125 SH SOLE 8125 0 0
FIRST SEC CORP DEL COM 336294103 763 22600 SH SOLE 22600 0 0
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FIRST VA BANKS INC COM 337477103 809 16900 SH SOLE 16900 0 0
FIRSTFED FINL CORP COM 337907109 425 19300 SH SOLE 19300 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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FULLER H B CO COM 359694106 606 12900 SH SOLE 12900 0 0
FULTON FINL CORP PA COM 360271100 234 10900 SH SOLE 10900 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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HOUSTON INDS INC COM 442161105 14523 641900 SH SOLE 641900 0 0
HOVNANIAN ENTERPRISES INC CL A 442487203 82 10900 SH SOLE 10900 0 0
HUANENG PWR INTL INC SPONSR ADR N 443304100 1407 62550 SH SOLE 62550 0 0
HUDSON FOODS INC CL A 443782107 918 48300 SH SOLE 48300 0 0
HUFFY CORP COM 444356109 207 14400 SH SOLE 14400 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
HUNT J B TRANS SVCS INC COM 445658107 904 64600 SH SOLE 64600 0 0
IBP INC COM 449223106 8175 337100 SH SOLE 337100 0 0
ICN PHARMACEUTICALS INC NEW COM 448924100 585 29800 SH SOLE 29800 0 0
IDAHO POWER CO COM 451380109 405 13000 SH SOLE 13000 0 0
IDEXX LABS CORP COM 45168D104 2776 77100 SH SOLE 77100 0 0
IES INDS INC COM 44949M103 678 22700 SH SOLE 22700 0 0
ILLINOIS CENT CORP COM SER A 451841100 867 27100 SH SOLE 27100 0 0
ILLINOVA CORP COM 452317100 8437 306800 SH SOLE 306800 0 0
IMMULOGIC PHARMACEUTICAL CORP COM 45252R100 159 25000 SH SOLE 25000 0 0
IMPERIAL CHEM INDS PLC ADR NEW 452704505 520 10000 SH SOLE 10000 0 0
IMPERIAL OIL LTD COM NEW 453038408 6934 202201 SH SOLE 202201 0 0
INCO LTD COM 453258402 4568 165289 SH SOLE 165289 0 0
INDIA FD INC COM 454089103 1421 186300 SH SOLE 186300 0 0
INDIANA ENERGY INC COM 454707100 302 12400 SH SOLE 12400 0 0
INGLES MKTS INC CL A 457030104 871 69700 SH SOLE 69700 0 0
INLAND STL INDS INC COM 457472108 762 38100 SH SOLE 38100 0 0
INNKEEPERS USA TR COM 4576J0104 1349 97200 SH SOLE 97200 0 0
INTEGON CORP COM 45810F101 373 21000 SH SOLE 21000 0 0
INTEGRATED DEVICE TECHNOLOGY COM 458118106 580 42600 SH SOLE 42600 0 0
INTEGRATED HEALTH SVCS INC COM 45812C106 670 27500 SH SOLE 27500 0 0
INTEL CORP COM 458140100 106491 813300 SH SOLE 813300 0 0
INTER REGL FINL GROUP INC COM 458351103 645 18300 SH SOLE 18300 0 0
INTER-CITY PRODS CORP ORD 45821E101 29 13900 SH SOLE 13900 0 0
INTERFACE INC CL A 458665106 966 48000 SH SOLE 48000 0 0
INTERGRAPH CORP COM 458683109 1782 173900 SH SOLE 173900 0 0
INTERIM SVCS INC COM 45868P100 547 15400 SH SOLE 15400 0 0
INTERNATIONAL BUSINESS MACHS COM 459200101 39375 259900 SH SOLE 259900 0 0
INTERNATIONAL DAIRY QUEEN INC CL A 459373205 616 30800 SH SOLE 30800 0 0
INTERNATIONAL FAMILY ENTMT INC CL B 45950M106 369 23800 SH SOLE 23800 0 0
INTERNATIONAL GAME TECHNOLOGY COM 459902102 5681 311300 SH SOLE 311300 0 0
INTERNATIONAL MULTIFOODS CORP COM 460043102 734 40500 SH SOLE 40500 0 0
INTERNATIONAL RECTIFIER CORP COM 460254105 763 50000 SH SOLE 50000 0 0
INTERSTATE BAKERIES CORP DEL COM 46072H108 1248 25400 SH SOLE 25400 0 0
INTL PAPER CO COM 460146103 16666 411500 SH SOLE 411500 0 0
INTL SPECIALTY PRODS INC COM 460334105 186 15200 SH SOLE 15200 0 0
IOMEGA CORP COM 462030107 367 21100 SH SOLE 21100 0 0
IPL ENERGY INC COM 449911106 324 15400 SH SOLE 15400 0 0
IPSCO INC COM 462622101 1135 55800 SH SOLE 55800 0 0
IRT PPTY CO COM 450058102 1619 140800 SH SOLE 140800 0 0
IRVINE APT CMNTYS INC COM 463606103 2083 83300 SH SOLE 83300 0 0
ITT HARTFORD GROUP INC COM 45068H106 392 5800 SH SOLE 5800 0 0
ITT INDS INC IND COM 450911102 368 15000 SH SOLE 15000 0 0
JABIL CIRCUIT INC COM 466313103 532 13300 SH SOLE 13300 0 0
JACOBS ENGR GROUP INC DEL COM 469814107 392 16600 SH SOLE 16600 0 0
JAMES RIV CORP VA COM 470349101 460 13900 SH SOLE 13900 0 0
JAMES RIV CORP VA PFD CV C1/100S 470349887 3156 100200 SH SOLE 100200 0 0
JDN RLTY CORP COM 465917102 1605 58100 SH SOLE 58100 0 0
JEFFERIES GROUP INC COM 472318104 787 19500 SH SOLE 19500 0 0
JEFFERSON PILOT CORP COM 475070108 527 9300 SH SOLE 9300 0 0
JOHN ALDEN FINL CORP COM 477838106 596 32200 SH SOLE 32200 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
JOHNSON & JOHNSON COM 478160104 15761 316800 SH SOLE 316800 0 0
JONES APPAREL GROUP INC COM 480074103 3158 84500 SH SOLE 84500 0 0
JP REALTY INC COM 46624A106 2065 79800 SH SOLE 79800 0 0
JUSTIN INDS INC COM 482171105 412 35800 SH SOLE 35800 0 0
K MART CORP COM 482584109 16465 1587000 SH SOLE 1587000 0 0
K-SWISS INC CL A 482686102 150 15200 SH SOLE 15200 0 0
KAISER ALUMINUM CORP COM 483007100 334 28700 SH SOLE 28700 0 0
KAMAN CORP CL A 483548103 768 59100 SH SOLE 59100 0 0
KANSAS CITY LIFE INS CO COM 484836101 337 5300 SH SOLE 5300 0 0
KAUFMAN & BROAD HOME CORP COM 486168107 708 55000 SH SOLE 55000 0 0
KAYDON CORP COM 486587108 556 11800 SH SOLE 11800 0 0
KCS ENERGY INC COM 482434206 347 9700 SH SOLE 9700 0 0
KEANE INC COM 486665102 203 6400 SH SOLE 6400 0 0
KELLWOOD CO COM 488044108 1064 53200 SH SOLE 53200 0 0
KELLY SVCS INC CL A 488152208 543 20100 SH SOLE 20100 0 0
KENNAMETAL INC COM 489170100 548 14100 SH SOLE 14100 0 0
KEYCORP NEW COM 493267108 1388 27484 SH SOLE 27484 0 0
KIMBALL INTL INC CL B 494274103 919 22200 SH SOLE 22200 0 0
KIMBERLY CLARK CORP COM 494368103 2943 30900 SH SOLE 30900 0 0
KIMCO REALTY CORP COM 49446R109 7041 201900 SH SOLE 201900 0 0
KINETIC CONCEPTS INC COM 49460W109 1825 149000 SH SOLE 149000 0 0
KING WORLD PRODTNS INC COM 495667107 2151 58330 SH SOLE 58330 0 0
KLA INSTRS CORP COM 482480100 213 6000 SH SOLE 6000 0 0
KN ENERGY INC COM 482620101 430 10950 SH SOLE 10950 0 0
KOGER EQUITY INC COM 500228101 2177 116100 SH SOLE 116100 0 0
KOHLS CORP COM 500255104 546 13900 SH SOLE 13900 0 0
KOMAG INC COM 500453105 494 18200 SH SOLE 18200 0 0
KOREAN INVT FD INC COM 500637103 1200 160000 SH SOLE 160000 0 0
KRANZCO RLTY TR COM SH BEN INT 50076E103 624 37000 SH SOLE 37000 0 0
KROGER CO COM 501044101 237 5100 SH SOLE 5100 0 0
KU ENERGY CORP COM 482734100 240 8000 SH SOLE 8000 0 0
KULICKE & SOFFA INDS INC COM 501242101 1222 64300 SH SOLE 64300 0 0
LA Z BOY INC COM 505336107 230 7800 SH SOLE 7800 0 0
LABORATORY CORP AMER HLDGS COM 50540R102 187 65200 SH SOLE 65200 0 0
LAFARGE CORP COM 505862102 1395 69300 SH SOLE 69300 0 0
LAIDLAW INC CL B NON VTG 50730K206 1582 186900 SH SOLE 186900 0 0
LAM RESH CORP COM 512807108 585 20800 SH SOLE 20800 0 0
LANCASTER COLONY CORP COM 513847103 1808 39310 SH SOLE 39310 0 0
LANDS END INC COM 515086106 981 37000 SH SOLE 37000 0 0
LATTICE SEMICONDUCTOR CORP COM 518415104 414 9000 SH SOLE 9000 0 0
LEAR CORP COM 521865105 867 25400 SH SOLE 25400 0 0
LEE ENTERPRISES INC COM 523768109 3297 141800 SH SOLE 141800 0 0
LEGG MASON INC COM 524901105 848 22025 SH SOLE 22025 0 0
LEGGETT & PLATT INC COM 524660107 4345 125500 SH SOLE 125500 0 0
LEHMAN BROS HLDGS INC COM 524908100 3773 120240 SH SOLE 120240 0 0
LENNAR CORP COM 526057104 1036 38000 SH SOLE 38000 0 0
LEUCADIA NATL CORP COM 527288104 583 21800 SH SOLE 21800 0 0
LEXINGTON CORP PPTYS INC COM 529039109 554 37900 SH SOLE 37900 0 0
LEXMARK INTL GROUP INC CL A 529771107 867 31400 SH SOLE 31400 0 0
LG&E ENERGY CORP COM 501917108 3009 122800 SH SOLE 122800 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 CORP S C COM 530370105 816 20800 SH SOLE 20800 0 0
LIBERTY PPTY TR SH BEN INT 531172104 4959 192600 SH SOLE 192600 0 0
LIFE RE CORP COM 532160108 784 20300 SH SOLE 20300 0 0
LILLIAN VERNON CORP COM 532430105 190 15500 SH SOLE 15500 0 0
LILLY ELI & CO COM 532457108 42223 578400 SH SOLE 578400 0 0
LIMITED INC COM 532716107 856 46600 SH SOLE 46600 0 0
LINCARE HLDGS INC COM 532791100 2054 50100 SH SOLE 50100 0 0
LINCOLN NATL CORP IND COM 534187109 10794 205600 SH SOLE 205600 0 0
LITTON INDS INC COM 538021106 3319 69700 SH SOLE 69700 0 0
LIZ CLAIBORNE INC COM 539320101 18891 489100 SH SOLE 489100 0 0
LOCKHEED MARTIN CORP COM 539830109 7814 85400 SH SOLE 85400 0 0
LOCTITE CORP DEL COM 540137106 1108 18200 SH SOLE 18200 0 0
LOEWS CORP COM 540424108 31121 330200 SH SOLE 330200 0 0
LOGICON INC COM 541409108 891 24400 SH SOLE 24400 0 0
LONE STAR TECHNOLOGIES INC COM 542312103 187 11000 SH SOLE 11000 0 0
LONG IS BANCORP INC COM 542662101 322 9200 SH SOLE 9200 0 0
LONG ISLAND LTG CO COM 542671102 8695 393000 SH SOLE 393000 0 0
LONGS DRUG STORES CORP COM 543162101 2014 41000 SH SOLE 41000 0 0
LONGVIEW FIBRE CO COM 543213102 485 26400 SH SOLE 26400 0 0
LTV CORP NEW COM 501921100 1198 100900 SH SOLE 100900 0 0
LUBRIZOL CORP COM 549271104 310 10000 SH SOLE 10000 0 0
LUBYS CAFETERIAS INC COM 549282101 684 34400 SH SOLE 34400 0 0
LUKENS INC DEL COM 549866101 984 48900 SH SOLE 48900 0 0
LUNAR CORP COM 550362107 740 21150 SH SOLE 21150 0 0
LUXOTTICA GROUP S P A SPONSORED ADR 55068R202 9070 174000 SH SOLE 174000 0 0
LYDALL INC DEL COM 550819106 558 24800 SH SOLE 24800 0 0
MACERICH CO COM 554382101 2602 99600 SH SOLE 99600 0 0
MACFRUGALS BARGAINS CLOSE OUTS COM 554152108 1361 52100 SH SOLE 52100 0 0
MACMILLAN BLOEDEL LTD COM 554783209 4561 480839 SH SOLE 480839 0 0
MADERAS Y SINTETICOS SOCIEDAD SPONSORED ADR 556465102 1184 84600 SH SOLE 84600 0 0
MAGNA INTL INC CL A 559222401 1952 48000 SH SOLE 48000 0 0
MAGNETEK INC COM 559424106 415 32200 SH SOLE 32200 0 0
MANITOWOC INC COM 563571108 488 12050 SH SOLE 12050 0 0
MANPOWER INC COM 56418H100 894 27500 SH SOLE 27500 0 0
MANUFACTURED HOME CMNTYS INC COM 564682102 1765 75900 SH SOLE 75900 0 0
MAPCO INC COM 565097102 598 17600 SH SOLE 17600 0 0
MARK CTRS TR COM SH BEN INT 570382101 167 16500 SH SOLE 16500 0 0
MARK IV INDS INC COM 570387100 977 43200 SH SOLE 43200 0 0
MARK TWAIN BANCSHARES INC COM 570437103 268 5500 SH SOLE 5500 0 0
MARKEL CORP COM 570535104 522 5800 SH SOLE 5800 0 0
MARQUETTE MED SYS INC CL A 571490101 476 21500 SH SOLE 21500 0 0
MARSH & MCLENNAN COS INC COM 571748102 832 8000 SH SOLE 8000 0 0
MARSHALL INDS COM 572393106 625 20400 SH SOLE 20400 0 0
MARTIN MARIETTA MATLS INC COM 573284106 472 20300 SH SOLE 20300 0 0
MASCOTECH INC COM 574670105 3950 241200 SH SOLE 241200 0 0
MASCOTECH INC PFD CONV DECS 574670303 376 23900 SH SOLE 23900 0 0
MATTEL INC COM 577081102 255 9200 SH SOLE 9200 0 0
MAXXAM INC COM 577913106 324 6800 SH SOLE 6800 0 0
MAY DEPT STORES CO COM 577778103 16278 348200 SH SOLE 348200 0 0
MAYTAG CORP COM 578592107 1037 52500 SH SOLE 52500 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
MBIA INC COM 55262C100 14317 141400 SH SOLE 141400 0 0
MBNA CORP COM 55262L100 454 10900 SH SOLE 10900 0 0
MCCLATCHY NEWSPAPERS INC CL A 579489105 683 19500 SH SOLE 19500 0 0
MCDERMOTT INTL INC COM 580037109 727 43100 SH SOLE 43100 0 0
MCGRATH RENTCORP COM 580589109 407 15800 SH SOLE 15800 0 0
MCI COMMUNICATIONS CORP COM 552673105 21090 645200 SH SOLE 645200 0 0
MCKESSON CORP NEW COM 581557105 939 16800 SH SOLE 16800 0 0
MCN CORP COM 55267J100 549 19000 SH SOLE 19000 0 0
MDU RES GROUP INC COM 552690109 332 14450 SH SOLE 14450 0 0
MEAD CORP COM 582834107 5086 87500 SH SOLE 87500 0 0
MEDIA GEN INC CL A 584404107 563 18600 SH SOLE 18600 0 0
MEDIMMUNE INC COM 584699102 587 34500 SH SOLE 34500 0 0
MEDTRONIC INC COM 585055106 877 12900 SH SOLE 12900 0 0
MEDUSA CORP COM PAR $0 585072309 615 17900 SH SOLE 17900 0 0
MELLON BK CORP COM 585509102 18382 258900 SH SOLE 258900 0 0
MEMC ELECTR MATLS INC COM 552715104 279 12400 SH SOLE 12400 0 0
MENTOR CORP MINN COM 587188103 1384 46900 SH SOLE 46900 0 0
MERCANTILE BANKSHARES CORP COM 587405101 992 31000 SH SOLE 31000 0 0
MERCANTILE STORES INC COM 587533100 1271 25750 SH SOLE 25750 0 0
MERCK & CO INC COM 589331107 57179 718100 SH SOLE 718100 0 0
MERCURY GENL CORP NEW COM 589400100 793 15100 SH SOLE 15100 0 0
MEREDITH CORP COM 589433101 1593 30200 SH SOLE 30200 0 0
MERRILL LYNCH & CO INC COM 590188108 13488 165500 SH SOLE 165500 0 0
MERRY LD & INVT INC COM 590438107 2967 138000 SH SOLE 138000 0 0
MESA AIR GROUP INC COM 590479101 423 62600 SH SOLE 62600 0 0
MESA INC COM 590911103 243 47500 SH SOLE 47500 0 0
METHANEX CORP COM 59151K108 1603 244100 SH SOLE 244100 0 0
MEXICO FD INC COM 592835102 25429 2252736 SH SOLE 2252736 0 0
MEYER FRED INC DEL COM 593098106 1282 36100 SH SOLE 36100 0 0
MGI PPTYS INC COM 552885105 675 30700 SH SOLE 30700 0 0
MGIC INVT CORP WIS COM 552848103 714 9400 SH SOLE 9400 0 0
MICHAEL FOODS INC COM 594074106 399 31300 SH SOLE 31300 0 0
MICHAELS STORES INC COM 594087108 935 77900 SH SOLE 77900 0 0
MICROAGE INC COM 594928103 202 10100 SH SOLE 10100 0 0
MICRON ELECTRONICS INC COM 595100108 1211 62300 SH SOLE 62300 0 0
MICRON TECHNOLOGY INC COM 595112103 379 13000 SH SOLE 13000 0 0
MICROSOFT CORP COM 594918104 101513 1228600 SH SOLE 1228600 0 0
MID ATLANTIC MED SVCS INC COM 59523C107 2018 150900 SH SOLE 150900 0 0
MID-AMER APT CMNTYS INC COM 59522J103 592 20500 SH SOLE 20500 0 0
MID-AMERN WASTE SYS INC COM 59523F100 19 47400 SH SOLE 47400 0 0
MIDAMERICA ENERGY HLDGS CO COM 595920109 1209 76182 SH SOLE 76182 0 0
MILLENNIUM CHEMICALS INC COM 599903101 46939 3725104 SH SOLE 3725104 0 0
MILLER HERMAN INC COM 600544100 866 15300 SH SOLE 15300 0 0
MILLS CORP COM 601148109 1848 77400 SH SOLE 77400 0 0
MINNESOTA MNG & MFG CO COM 604059105 979 11800 SH SOLE 11800 0 0
MINNESOTA PWR & LT CO COM 604110106 267 9700 SH SOLE 9700 0 0
MITCHELL ENERGY & DEV CORP CL B 606592301 1038 46900 SH SOLE 46900 0 0
MITEL CORP COM 606711109 607 133100 SH SOLE 133100 0 0
MOBIL CORP COM 607059102 6223 50900 SH SOLE 50900 0 0
MODINE MFG CO COM 607828100 500 18700 SH SOLE 18700 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
MOHAWK INDS INC COM 608190104 317 14400 SH SOLE 14400 0 0
MONEY STORE INC COM 60934T101 2521 91275 SH SOLE 91275 0 0
MONSANTO CO COM 611662107 18135 466500 SH SOLE 466500 0 0
MONTANA POWER CO COM 612085100 761 35600 SH SOLE 35600 0 0
MOORE LTD COM 615785102 3181 186064 SH SOLE 186064 0 0
MORGAN J P & CO INC COM 616880100 1708 17500 SH SOLE 17500 0 0
MORGAN KEEGAN INC COM 617410105 325 18950 SH SOLE 18950 0 0
MORGAN STANLEY GROUP INC COM 617446109 9237 161700 SH SOLE 161700 0 0
MOTOROLA INC COM 620076109 802 13100 SH SOLE 13100 0 0
MUELLER INDS INC COM 624756102 416 10800 SH SOLE 10800 0 0
MYLAN LABS INC COM 628530107 589 35400 SH SOLE 35400 0 0
NABORS INDS INC COM 629568106 658 34200 SH SOLE 34200 0 0
NAC RE CORP COM 628907107 444 13100 SH SOLE 13100 0 0
NACCO INDS INC CL A 629579103 647 12100 SH SOLE 12100 0 0
NASH FINCH CO COM 631158102 767 36100 SH SOLE 36100 0 0
NATIONAL AUTO CR INC NEW COM 632900106 390 32480 SH SOLE 32480 0 0
NATIONAL CITY CORP COM 635405103 705 15700 SH SOLE 15700 0 0
NATIONAL DATA CORP COM 635621105 522 12000 SH SOLE 12000 0 0
NATIONAL EDUCATION CORP COM 635771108 721 47300 SH SOLE 47300 0 0
NATIONAL FUEL GAS CO N J COM 636180101 800 19400 SH SOLE 19400 0 0
NATIONAL GOLF PPTYS INC COM 63623G109 2163 68400 SH SOLE 68400 0 0
NATIONAL SEMICONDUCTOR CORP COM 637640103 610 24900 SH SOLE 24900 0 0
NATIONAL SVC INDS INC COM 637657107 478 12800 SH SOLE 12800 0 0
NATIONSBANK CORP COM 638585109 4096 41900 SH SOLE 41900 0 0
NATURES SUNSHINE PRODUCTS INC COM 639027101 1123 62410 SH SOLE 62410 0 0
NAVISTAR INTL CORP PFD G CV $600 638901405 1350 23900 SH SOLE 23900 0 0
NAVISTAR INTL CORP NEW COM 63934E108 468 51300 SH SOLE 51300 0 0
NBTY INC COM 628782104 353 18600 SH SOLE 18600 0 0
NCH CORP COM 628850109 518 8600 SH SOLE 8600 0 0
NEIMAN MARCUS GROUP INC COM 640204103 1357 53200 SH SOLE 53200 0 0
NELLCOR PURITAN BENNET INC COM 640275103 1418 64800 SH SOLE 64800 0 0
NEVADA POWER CO COM 641423108 435 21200 SH SOLE 21200 0 0
NEW ENGLAND ELEC SYS COM 644001109 255 7300 SH SOLE 7300 0 0
NEW JERSEY RES COM 646025106 371 12700 SH SOLE 12700 0 0
NEW PLAN RLTY TR SH BEN INT 648059103 3758 148100 SH SOLE 148100 0 0
NEW YORK ST ELEC & GAS CORP COM 649840105 7028 325000 SH SOLE 325000 0 0
NEWBRIDGE NETWORKS CORP COM 650901101 5269 256800 SH SOLE 256800 0 0
NEWELL CO COM 651192106 967 30700 SH SOLE 30700 0 0
NEXTEL COMMUNICATIONS INC CL A 65332V103 402 30800 SH SOLE 30800 0 0
NGC CORP COM 629121104 1044 44900 SH SOLE 44900 0 0
NIAGARA MOHAWK PWR CORP COM 653522102 4252 430600 SH SOLE 430600 0 0
NICOR INC COM 654086107 1133 31700 SH SOLE 31700 0 0
NIKE INC CL B 654106103 22770 379500 SH SOLE 379500 0 0
NIPSCO INDS INC COM 629140104 3503 88400 SH SOLE 88400 0 0
NOBLE AFFILIATES INC COM 654894104 2681 56000 SH SOLE 56000 0 0
NOBLE DRILLING CORP COM 655042109 5541 278800 SH SOLE 278800 0 0
NORAM ENERGY CORP COM 655419109 3247 209500 SH SOLE 209500 0 0
NORDSON CORP COM 655663102 650 10200 SH SOLE 10200 0 0
NORTH AMERN MTG CO COM 657037107 415 21000 SH SOLE 21000 0 0
NORTHEAST UTILS COM 664397106 1324 100900 SH SOLE 100900 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
NORTHERN TELECOM LTD COM 665815106 1176 19000 SH SOLE 19000 0 0
NORTHN STS PWR CO MINN COM 665772109 5624 122600 SH SOLE 122600 0 0
NORTHROP GRUMMAN CORP COM 666807102 455 5500 SH SOLE 5500 0 0
NORTHWEST NAT GAS CO COM 667655104 216 9000 SH SOLE 9000 0 0
NORWEST CORP COM 669380107 1131 26000 SH SOLE 26000 0 0
NOVA CORP ALTA COM 669943102 4564 714900 SH SOLE 714900 0 0
NOVACARE CORP COM 669930109 1275 115900 SH SOLE 115900 0 0
NOVELL INC COM 670006105 537 56700 SH SOLE 56700 0 0
NOVELLUS SYS INC COM 670008101 661 12200 SH SOLE 12200 0 0
NUI CORP COM 629430109 523 23100 SH SOLE 23100 0 0
NUMAC ENERGY INC COM 67052A103 416 142600 SH SOLE 142600 0 0
NYNEX CORP COM 670768100 14866 308900 SH SOLE 308900 0 0
O SULLIVAN CORP COM 688605104 157 14300 SH SOLE 14300 0 0
OAK INDS INC COM NEW 671400505 262 11400 SH SOLE 11400 0 0
OAKLEY INC COM 673662102 825 75000 SH SOLE 75000 0 0
OAKWOOD HOMES CORP COM 674098108 430 18800 SH SOLE 18800 0 0
OASIS RESIDENTIAL INC COM 674216106 915 40200 SH SOLE 40200 0 0
OCCIDENTAL PETE CORP DEL COM 674599105 6561 280700 SH SOLE 280700 0 0
OCEANEERING INTL INC COM 675232102 352 22200 SH SOLE 22200 0 0
OCTEL COMMUNICATIONS CORP COM 675724108 522 29800 SH SOLE 29800 0 0
OFFICE DEPOT INC COM 676220106 447 25000 SH SOLE 25000 0 0
OFFSHORE LOGISTICS INC COM 676255102 258 13300 SH SOLE 13300 0 0
OGDEN CORP COM 676346109 2010 105800 SH SOLE 105800 0 0
OHIO CAS CORP COM 677240103 1729 48700 SH SOLE 48700 0 0
OHIO EDISON CO COM 677347106 1777 78102 SH SOLE 78102 0 0
OLD KENT FINL CORP COM 679833103 697 14600 SH SOLE 14600 0 0
OLD REP INTL CORP COM 680223104 5323 199000 SH SOLE 199000 0 0
OMI CORP COM 670874106 180 20600 SH SOLE 20600 0 0
OMNICARE INC COM 681904108 2191 68200 SH SOLE 68200 0 0
ONE VALLEY BANCORP INC COM 682419106 316 8500 SH SOLE 8500 0 0
ONEOK INC COM 682678107 657 21900 SH SOLE 21900 0 0
ORACLE CORP COM 68389X105 18328 439000 SH SOLE 439000 0 0
ORANGE & ROCKLAND UTILS INC COM 684065105 341 9500 SH SOLE 9500 0 0
OREGON METALLURGICAL CORP COM 685899106 655 20300 SH SOLE 20300 0 0
OREGON STL MLS INC COM 686079104 543 32400 SH SOLE 32400 0 0
ORION CAP CORP COM 686268103 1815 29700 SH SOLE 29700 0 0
ORNDA HEALTHCORP COM 686857103 1460 49900 SH SOLE 49900 0 0
ORYX ENERGY COMPANY COM 68763F100 2772 112000 SH SOLE 112000 0 0
OUTBOARD MARINE CORP COM 690020102 1097 66500 SH SOLE 66500 0 0
OWENS CORNING COM 69073F103 3670 86100 SH SOLE 86100 0 0
OWENS ILL INC COM NEW 690768403 482 21200 SH SOLE 21200 0 0
OXFORD HEALTH PLANS INC COM 691471106 322 5500 SH SOLE 5500 0 0
P P & L RES INC COM 693499105 7903 343600 SH SOLE 343600 0 0
PACCAR INC COM 693718108 796 11700 SH SOLE 11700 0 0
PACIFIC GAS & ELEC CO COM 694308107 3408 162300 SH SOLE 162300 0 0
PACIFIC TELESIS GROUP COM 694890104 39495 1074700 SH SOLE 1074700 0 0
PACIFICARE HEALTH SYS INC CL B 695110205 384 4500 SH SOLE 4500 0 0
PACIFICORP COM 695114108 12706 619800 SH SOLE 619800 0 0
PAINE WEBBER GROUP INC COM 695629105 233 8300 SH SOLE 8300 0 0
PANENERGY CORP COM 697926103 1904 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
PARAGON GROUP INC COM 699116109 463 26100 SH SOLE 26100 0 0
PARAGON TRADE BRANDS INC COM 69912K107 1035 34500 SH SOLE 34500 0 0
PARKER & PARSLEY PETE CO COM 701018103 665 18100 SH SOLE 18100 0 0
PATRIOT AMERN HOSPITALITY INC COM 703353102 4235 98200 SH SOLE 98200 0 0
PAUL REVERE CORP COM 703559104 1766 47400 SH SOLE 47400 0 0
PAYCHEX INC COM 704326107 1039 20200 SH SOLE 20200 0 0
PAYLESS CASHWAYS INC COM NEW 704378306 41 20400 SH SOLE 20400 0 0
PECO ENERGY CO COM 693304107 692 27400 SH SOLE 27400 0 0
PEGASUS GOLD INC COM 70556K106 109 17900 SH SOLE 17900 0 0
PENNCORP FINL GROUP INC COM 708094107 1256 34900 SH SOLE 34900 0 0
PENNEY J C INC COM 708160106 16144 331153 SH SOLE 331153 0 0
PENNSYLVANIA RL ESTATE INVT TR SH BEN INT 709102107 207 8500 SH SOLE 8500 0 0
PENTAIR INC COM 709631105 661 20500 SH SOLE 20500 0 0
PEOPLES ENERGY CORP COM 711030106 637 18800 SH SOLE 18800 0 0
PEPSICO INC COM 713448108 32055 1095900 SH SOLE 1095900 0 0
PERKIN ELMER CORP COM 714041100 7330 124500 SH SOLE 124500 0 0
PERRIGO CO COM 714290103 469 51400 SH SOLE 51400 0 0
PETRO-CDA VARTBL VTG SHS 71644E102 1201 117600 SH SOLE 117600 0 0
PETROLITE CORP COM 716723101 341 7100 SH SOLE 7100 0 0
PFEIFFER VACUUM TECH AG SPONSORED ADR 717067102 5040 280000 SH SOLE 280000 0 0
PFIZER INC COM 717081103 19493 234856 SH SOLE 234856 0 0
PHARMACIA & UPJOHN INC COM 716941109 34476 870065 SH SOLE 870065 0 0
PHELPS DODGE CORP COM 717265102 8039 119100 SH SOLE 119100 0 0
PHH CORP COM 693320103 3010 70000 SH SOLE 70000 0 0
PHILIP MORRIS COS INC COM 718154107 77679 687428 SH SOLE 687428 0 0
PHILIPPINE LONG DISTANCE TEL SPONSORED ADR 718252604 377 7400 SH SOLE 7400 0 0
PHILIPS ELECTRS N V NEW YORK SHS 718337504 6972 174300 SH SOLE 174300 0 0
PHILLIPS PETE CO COM 718507106 26019 588000 SH SOLE 588000 0 0
PHILLIPS VAN HEUSEN CORP COM 718592108 532 37000 SH SOLE 37000 0 0
PHYSICIAN CORP AMER COM 71940P108 1266 126600 SH SOLE 126600 0 0
PIEDMONT NAT GAS INC COM 720186105 252 10800 SH SOLE 10800 0 0
PIER 1 IMPORTS INC COM 720279108 2878 163300 SH SOLE 163300 0 0
PILGRIMS PRIDE CORP COM 721467108 101 11700 SH SOLE 11700 0 0
PINNACLE WEST CAP CORP COM 723484101 772 24300 SH SOLE 24300 0 0
PIONEER STD ELECTRS INC COM 723877106 979 74600 SH SOLE 74600 0 0
PIPER JAFFRAY COS INC COM 724081104 563 36000 SH SOLE 36000 0 0
PITNEY BOWES INC COM 724479100 6877 125600 SH SOLE 125600 0 0
PITTSTON CO COM BRINKS GRP 725701106 467 17300 SH SOLE 17300 0 0
PITTWAY CORP DEL CL A 725790208 246 4600 SH SOLE 4600 0 0
PLAYBOY ENTERPRISES INC CL B 728117300 102 10500 SH SOLE 10500 0 0
PLENUM PUBG CORP COM 729093104 266 7600 SH SOLE 7600 0 0
PNC BK CORP COM 693475105 34468 916100 SH SOLE 916100 0 0
POGO PRODUCING CO COM 730448107 487 10300 SH SOLE 10300 0 0
POHANG IRON & STL LTD SPONSORED ADR 730450103 3746 185000 SH SOLE 185000 0 0
POLAROID CORP COM 731095105 1674 38473 SH SOLE 38473 0 0
POOL ENERGY SVCS CO COM 732788104 255 16600 SH SOLE 16600 0 0
POPE & TALBOT INC COM 732827100 378 23800 SH SOLE 23800 0 0
PORTLAND GEN CORP COM 736506106 8807 209700 SH SOLE 209700 0 0
POST PPTYS INC COM 737464107 2902 72100 SH SOLE 72100 0 0
POTASH CORP SASK INC COM 73755L107 484 7800 SH SOLE 7800 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
POTLATCH CORP COM 737628107 3096 72000 SH SOLE 72000 0 0
POTOMAC ELEC PWR CO COM 737679100 5127 199100 SH SOLE 199100 0 0
PPG INDS INC COM 693506107 668 11900 SH SOLE 11900 0 0
PRAXAIR INC COM 74005P104 2482 53800 SH SOLE 53800 0 0
PRECISION CASTPARTS CORP COM 740189105 526 10600 SH SOLE 10600 0 0
PREMARK INTL INC COM 740459102 1626 73100 SH SOLE 73100 0 0
PRESIDENTIAL LIFE CORP COM 740884101 671 55600 SH SOLE 55600 0 0
PRICE T ROWE & ASSOCIATES COM 741477103 1736 39900 SH SOLE 39900 0 0
PRICE/COSTCO INC COM 74143W102 8791 349900 SH SOLE 349900 0 0
PRIMARK CORP COM 741903108 483 19500 SH SOLE 19500 0 0
PRIME HOSPITALITY CORP COM 741917108 242 15000 SH SOLE 15000 0 0
PRIME MED SVCS INC NEW COM 74156D108 341 31400 SH SOLE 31400 0 0
PROCTER & GAMBLE CO COM 742718109 38078 353800 SH SOLE 353800 0 0
PROFFITTS INC COM 742925100 763 20700 SH SOLE 20700 0 0
PROGRESSIVE CORP OHIO COM 743315103 6616 98200 SH SOLE 98200 0 0
PROTECTIVE LIFE CORP COM 743674103 1978 49600 SH SOLE 49600 0 0
PROVIDENT COS INC COM 743862104 5539 114500 SH SOLE 114500 0 0
PROVIDIAN CORP COM 744061102 17632 343200 SH SOLE 343200 0 0
PUBLIC SERVICE CO COLO COM 744448101 3957 101800 SH SOLE 101800 0 0
PUBLIC STORAGE INC COM 74460D109 11923 384600 SH SOLE 384600 0 0
PUBLIC SVC CO N MEX COM 744499104 1823 92900 SH SOLE 92900 0 0
PUBLIC SVC ENTERPRISE GROUP COM 744573106 2055 75400 SH SOLE 75400 0 0
PUGET SOUND PWR & LT CO COM 745332106 646 26900 SH SOLE 26900 0 0
PULITZER PUBG CO COM 745771105 1088 23469 SH SOLE 23469 0 0
PULTE CORP COM 745867101 867 28200 SH SOLE 28200 0 0
QUAKER ST CORP COM 747410108 350 25000 SH SOLE 25000 0 0
QUALITY FOOD CTRS INC COM 747565109 1175 34800 SH SOLE 34800 0 0
QUANEX CORP COM 747620102 523 19100 SH SOLE 19100 0 0
QUANTUM CORP COM 747906105 2599 90800 SH SOLE 90800 0 0
QUESTAR CORP COM 748356102 621 16900 SH SOLE 16900 0 0
QUICK & REILLY GROUP DEL COM 748376100 1260 42170 SH SOLE 42170 0 0
R O C TAIWAN FD SH BEN INT 749651105 3796 370300 SH SOLE 370300 0 0
RANGER OIL LTD COM 752805101 1216 168800 SH SOLE 168800 0 0
RATIONAL SOFTWARE CORP COM NEW 75409P202 400 10100 SH SOLE 10100 0 0
RAYCHEM CORP DEL COM 754603108 5849 73000 SH SOLE 73000 0 0
RAYMOND JAMES FINANCIAL INC COM 754730109 1978 65650 SH SOLE 65650 0 0
RAYONIER INC COM 754907103 1272 33150 SH SOLE 33150 0 0
RAYTHEON CO COM 755111101 31320 650800 SH SOLE 650800 0 0
READ-RITE CORP COM 755246105 313 12400 SH SOLE 12400 0 0
READERS DIGEST ASSN INC CL A NON VTG 755267101 242 6000 SH SOLE 6000 0 0
READING & BATES CORP COM NEW 755281805 1166 44000 SH SOLE 44000 0 0
REEBOK INTL LTD COM 758110100 10567 251600 SH SOLE 251600 0 0
REGENCY RLTY CORP COM 758939102 352 13400 SH SOLE 13400 0 0
REGENERON PHARMACEUTICALS COM 75886F107 184 11400 SH SOLE 11400 0 0
REGIONS FINL CORP COM 758940100 248 4800 SH SOLE 4800 0 0
REGIS CORP MINN COM 758932107 223 13700 SH SOLE 13700 0 0
REINSURANCE GROUP AMER INC COM 759351109 792 16800 SH SOLE 16800 0 0
RELIANCE GROUP HOLDINGS INC COM 759464100 2603 285300 SH SOLE 285300 0 0
RELIASTAR FINL CORP COM 75952U103 5408 93639 SH SOLE 93639 0 0
REPAP ENTERPRISES INC COM 76026M309 473 233300 SH SOLE 233300 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
REPUBLIC INDS INC COM 760516104 714 22900 SH SOLE 22900 0 0
REPUBLIC N Y CORP COM 760719104 931 11400 SH SOLE 11400 0 0
RESEARCH MEDICAL INC COM 761004100 515 22400 SH SOLE 22400 0 0
RESPIRONICS INC COM 761230101 186 10700 SH SOLE 10700 0 0
REVCO DS INC NEW COM 761339100 1121 30300 SH SOLE 30300 0 0
REYNOLDS & REYNOLDS CO CL A 761695105 1778 68400 SH SOLE 68400 0 0
REYNOLDS METALS CO COM 761763101 1252 22200 SH SOLE 22200 0 0
RFS HOTEL INVS INC COM 74955J108 1934 97900 SH SOLE 97900 0 0
RHONE POULENC RORER INC COM 76242T104 945 12100 SH SOLE 12100 0 0
RICHFOOD HLDGS INC COM 763408101 1238 51300 SH SOLE 51300 0 0
RIGGS NATL CORP WASH DC COM 766570105 473 27400 SH SOLE 27400 0 0
RIO ALGOM LTD COM 766889109 530 32300 SH SOLE 32300 0 0
RITE AID CORP COM 767754104 2238 56300 SH SOLE 56300 0 0
RJR NABISCO HOLDINGS CORP COM NEW 74960K876 3533 103900 SH SOLE 103900 0 0
RJR NABISCO HOLDINGS CORP PFD C DEP1/10S 74960K884 4050 600000 SH SOLE 600000 0 0
RLI CORP COM 749607107 336 10075 SH SOLE 10075 0 0
ROBBINS & MYERS INC COM 770196103 213 8500 SH SOLE 8500 0 0
ROBERT HALF INTL INC COM 770323103 468 13700 SH SOLE 13700 0 0
ROC COMMUNITIES INC COM 749650107 1368 49300 SH SOLE 49300 0 0
ROCHESTER GAS & ELEC CORP COM 771367109 989 51700 SH SOLE 51700 0 0
ROCK-TENN CO CL A 772739207 241 12200 SH SOLE 12200 0 0
ROCKWELL INTL CORP NEW COM 773903109 2003 32900 SH SOLE 32900 0 0
ROGERS CANTEL MOBILE COMMN INC CL B SUB VTG 775102106 557 39400 SH SOLE 39400 0 0
ROGERS COMMUNICATIONS INC CL B 775109200 174 33400 SH SOLE 33400 0 0
ROHR INC COM 775422108 498 22000 SH SOLE 22000 0 0
ROLLINS INC COM 775711104 3487 174350 SH SOLE 174350 0 0
ROLLINS TRUCK LEASING CORP COM 775741101 495 39200 SH SOLE 39200 0 0
ROSS STORES INC COM 778296103 3560 71200 SH SOLE 71200 0 0
ROUGE STL CO CL A 779099100 470 22400 SH SOLE 22400 0 0
ROWAN COS INC COM 779382100 1063 47000 SH SOLE 47000 0 0
ROYAL BK CDA MONTREAL QUE COM 780087102 3654 143100 SH SOLE 143100 0 0
ROYAL DUTCH PETE CO NY REG GLDR 5 780257705 26893 157500 SH SOLE 157500 0 0
ROYAL OAK MINES INC COM 78051D105 179 75300 SH SOLE 75300 0 0
RUDDICK CORP COM 781258108 594 42400 SH SOLE 42400 0 0
RUSS BERRIE & CO COM 782233100 337 18700 SH SOLE 18700 0 0
RUSSELL CORP COM 782352108 1336 44900 SH SOLE 44900 0 0
RYANS FAMILY STEAK HOUSE INC COM 783519101 635 92400 SH SOLE 92400 0 0
RYDER SYS INC COM 783549108 7282 258900 SH SOLE 258900 0 0
RYKOFF-SEXTON INC COM 783759103 217 13700 SH SOLE 13700 0 0
RYLAND GROUP INC COM 783764103 713 52300 SH SOLE 52300 0 0
SAFECO CORP COM 786429100 11492 291400 SH SOLE 291400 0 0
SAFEGUARD SCIENTIFICS INC COM 786449108 460 14500 SH SOLE 14500 0 0
SAFETY KLEEN CORP COM 786484105 714 43600 SH SOLE 43600 0 0
SAFEWAY INC COM NEW 786514208 15394 360100 SH SOLE 360100 0 0
SALOMON INC COM 79549B107 17271 366500 SH SOLE 366500 0 0
SANDERSON FARMS INC COM 800013104 796 47500 SH SOLE 47500 0 0
SANTA FE ENERGY RES INC COM 802012104 827 59600 SH SOLE 59600 0 0
SARA LEE CORP COM 803111103 12073 324100 SH SOLE 324100 0 0
SAUL CTRS INC COM 804395101 705 44400 SH SOLE 44400 0 0
SAVANNAH FOODS & INDS INC COM 804795102 140 10400 SH SOLE 10400 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
SBARRO INC COM 805844107 360 14100 SH SOLE 14100 0 0
SBC COMMUNICATIONS INC COM 78387G103 2723 52500 SH SOLE 52500 0 0
SCANA CORP COM 805898103 4010 149900 SH SOLE 149900 0 0
SCHERING PLOUGH CORP COM 806605101 17541 270900 SH SOLE 270900 0 0
SCHLUMBERGER LTD COM 806857108 21843 218700 SH SOLE 218700 0 0
SCHULLER CORP COM 808189104 806 75900 SH SOLE 75900 0 0
SCI SYS INC COM 783890106 2106 47200 SH SOLE 47200 0 0
SEAGATE TECHNOLOGY COM 811804103 1288 32600 SH SOLE 32600 0 0
SEAGRAM LTD COM 811850106 18220 564100 SH SOLE 564100 0 0
SEAGULL ENERGY CORP COM 812007102 748 34000 SH SOLE 34000 0 0
SEALED AIR CORP COM 812115103 296 7100 SH SOLE 7100 0 0
SECURITY CAP PAC TR SH BEN INT 814141107 8189 358000 SH SOLE 358000 0 0
SEI CORP COM 784117103 254 11400 SH SOLE 11400 0 0
SELECTIVE INS GROUP INC COM 816300107 809 21300 SH SOLE 21300 0 0
SEMI-TECH CORP CL A SUB VTG 81662E108 6768 2555100 SH SOLE 2555100 0 0
SENSORMATIC ELECTRS CORP COM 817265101 203 12100 SH SOLE 12100 0 0
SEQUA CORPORATION CL A 817320104 546 13900 SH SOLE 13900 0 0
SEQUENT COMPUTER SYS INC COM 817338106 367 20700 SH SOLE 20700 0 0
SEQUUS PHARMACEUTICALS INC COM 817471105 824 51500 SH SOLE 51500 0 0
SERVICE MERCHANDISE INC COM 817587108 474 114800 SH SOLE 114800 0 0
SERVICEMASTER LTD PARTNERSHIP PUB PARTNER SH 817615107 214 8200 SH SOLE 8200 0 0
SHAW INDS INC COM 820286102 553 46600 SH SOLE 46600 0 0
SHERWIN WILLIAMS CO COM 824348106 764 13650 SH SOLE 13650 0 0
SHONEYS INC COM 825039100 71 10200 SH SOLE 10200 0 0
SHOPKO STORES INC COM 824911101 585 39000 SH SOLE 39000 0 0
SHOREWOOD PACKAGING CORP COM 825229107 441 22600 SH SOLE 22600 0 0
SHOWBIZ PIZZA TIME COM NEW 825388309 641 35350 SH SOLE 35350 0 0
SHOWBOAT INC COM 825390107 416 24100 SH SOLE 24100 0 0
SHURGARD STORAGE CTRS INC COM 82567D104 2980 100600 SH SOLE 100600 0 0
SIERRA HEALTH SVCS INC COM 826322109 360 14600 SH SOLE 14600 0 0
SIERRA PAC RES COM 826425100 799 27800 SH SOLE 27800 0 0
SIGCORP INC COM 826912107 367 10600 SH SOLE 10600 0 0
SIGNET BKG CORP COM 826681108 1436 46700 SH SOLE 46700 0 0
SILICON GRAPHICS INC COM 827056102 638 25000 SH SOLE 25000 0 0
SILICON VY GROUP INC COM 827066101 320 15900 SH SOLE 15900 0 0
SIMON DEBARTOLO GROUP INC COM 828781104 11014 355300 SH SOLE 355300 0 0
SIZZLER INTL INC COM 830139101 193 67200 SH SOLE 67200 0 0
SKYLINE CORP COM 830830105 255 10300 SH SOLE 10300 0 0
SMART & FINAL INC COM 831683107 318 14800 SH SOLE 14800 0 0
SMITH A O CL A 831865100 638 21800 SH SOLE 21800 0 0
SMITH CHARLES E RESDNTL RLTY COM 832197107 453 15500 SH SOLE 15500 0 0
SMITH INTL INC COM 832110100 1037 23100 SH SOLE 23100 0 0
SMITHFIELD FOODS INC COM 832248108 1490 39200 SH SOLE 39200 0 0
SMITHKLINE BEECHAM PLC ADR REP ORD 832378301 680 10000 SH SOLE 10000 0 0
SMITHS FOOD & DRUG CTRS INC CL B 832388102 951 31165 SH SOLE 31165 0 0
SMUCKER J M CO CL A 832696108 219 12400 SH SOLE 12400 0 0
SNAP ON INC COM 833034101 2472 69400 SH SOLE 69400 0 0
SNYDER OIL CORP COM 833482102 188 10800 SH SOLE 10800 0 0
SOCIEDAD QUIMICA MINERA DE CHI SPON ADR SER B 833635105 2651 48970 SH SOLE 48970 0 0
SOFAMOR/DANEK GROUP INC COM 834005100 1226 40200 SH SOLE 40200 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
SOLECTRON CORP COM 834182107 1569 29400 SH SOLE 29400 0 0
SONAT INC COM 835415100 23942 464900 SH SOLE 464900 0 0
SONIC CORP COM 835451105 905 35500 SH SOLE 35500 0 0
SONOCO PRODS CO COM 835495102 2797 108100 SH SOLE 108100 0 0
SOUTH WEST PPTY TR INC COM 840649107 1426 84500 SH SOLE 84500 0 0
SOUTHDOWN INC COM 841297104 713 22900 SH SOLE 22900 0 0
SOUTHERN CO COM 842587107 43426 1919400 SH SOLE 1919400 0 0
SOUTHERN NATIONAL CORP COM 843444100 4700 129660 SH SOLE 129660 0 0
SOUTHERN NEW ENGLAND TELECOM COM 843485103 435 11200 SH SOLE 11200 0 0
SOUTHLAND CORP COM NEW 844436402 618 208000 SH SOLE 208000 0 0
SOUTHTRUST CORP COM 844730101 269 7700 SH SOLE 7700 0 0
SOUTHWEST GAS CORP COM 844895102 558 29000 SH SOLE 29000 0 0
SOUTHWESTERN ENERGY CO COM 845467109 445 29400 SH SOLE 29400 0 0
SOUTHWESTERN PUB SVC CO COM 845743103 368 10400 SH SOLE 10400 0 0
SOVEREIGN BANCORP INC COM 845905108 425 32400 SH SOLE 32400 0 0
SPACELABS MED INC COM 846247104 672 32800 SH SOLE 32800 0 0
SPELLING ENTMT GROUP INC COM 847807104 296 40100 SH SOLE 40100 0 0
SPIEGEL INC CL A 848457107 475 67200 SH SOLE 67200 0 0
SPIEKER PPTYS INC COM 848497103 4511 125300 SH SOLE 125300 0 0
SPRINGS INDS INC CL A 851783100 1367 31800 SH SOLE 31800 0 0
SPRINT CORP COM 852061100 47471 1190500 SH SOLE 1190500 0 0
SPX CORP COM 784635104 938 24200 SH SOLE 24200 0 0
ST PAUL BANCORP INC COM 792848103 502 17100 SH SOLE 17100 0 0
ST PAUL COS INC COM 792860108 21533 367300 SH SOLE 367300 0 0
STANDARD FED BANCORPORATION COM 853386100 2599 45700 SH SOLE 45700 0 0
STANDARD PRODS CO COM 853836104 632 24800 SH SOLE 24800 0 0
STANDARD REGISTER CO COM 853887107 546 16800 SH SOLE 16800 0 0
STANDEX INTL CORP COM 854231107 652 21200 SH SOLE 21200 0 0
STANHOME INC COM VTG 854425105 1155 43600 SH SOLE 43600 0 0
STANLEY WKS COM 854616109 3715 137600 SH SOLE 137600 0 0
STAR BANC CORP COM 855083101 726 7900 SH SOLE 7900 0 0
STARBUCKS CORP COM 855244109 455 15900 SH SOLE 15900 0 0
STARRETT L S CO CL A 855668109 593 20900 SH SOLE 20900 0 0
STARTER CORP COM 855684106 168 29900 SH SOLE 29900 0 0
STARWOOD LODGING TR COMBND CTF NEW 855905204 5557 100800 SH SOLE 100800 0 0
STATE ST BOSTON CORP COM 857473102 834 12900 SH SOLE 12900 0 0
STEPAN CO COM 858586100 206 10100 SH SOLE 10100 0 0
STERIS CORP COM 859152100 922 21186 SH SOLE 21186 0 0
STERLING SOFTWARE INC COM 859547101 3972 125600 SH SOLE 125600 0 0
STEWART & STEVENSON SVCS INC COM 860342104 1497 51400 SH SOLE 51400 0 0
STONE & WEBSTER INC COM 861572105 246 7800 SH SOLE 7800 0 0
STONE CONTAINER CORP COM 861589109 1337 89900 SH SOLE 89900 0 0
STORAGE TECHNOLOGY CORP COM PAR $010 862111200 31966 667699 SH SOLE 667699 0 0
STORAGE TR RLTY SH BEN INT 861909109 1361 50400 SH SOLE 50400 0 0
STORAGE USA INC COM 861907103 3744 99500 SH SOLE 99500 0 0
STRATOSPHERE CORP COM 863106100 142 168200 SH SOLE 168200 0 0
STRATUS COMPUTER INC COM 863155107 657 24100 SH SOLE 24100 0 0
STRAWBRIDGE & CLOTHIER COM SER A 863200101 171 10760 SH SOLE 10760 0 0
STRIDE RITE CORP COM 863314100 569 56900 SH SOLE 56900 0 0
STRUCTURAL DYNAMICS RESH CORP COM 863555108 408 20400 SH SOLE 20400 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
STUDENT LN CORP COM 863902102 451 12100 SH SOLE 12100 0 0
STUDENT LOAN MARKETING ASSN COM NEW VTG 863871505 35052 376400 SH SOLE 376400 0 0
SUMMIT BANCORP COM 866005101 7293 166700 SH SOLE 166700 0 0
SUMMIT PPTYS INC COM 866239106 4051 183100 SH SOLE 183100 0 0
SUN COMMUNITIES INC COM 866674104 1580 45800 SH SOLE 45800 0 0
SUN HEALTHCARE GROUP INC COM 866933104 219 16200 SH SOLE 16200 0 0
SUN INC COM 866762107 305 12500 SH SOLE 12500 0 0
SUN MICROSYSTEMS INC COM 866810104 12831 499500 SH SOLE 499500 0 0
SUNAMERICA INC COM 866930100 3744 83900 SH SOLE 83900 0 0
SUNBEAM CORP COM 867071102 428 16800 SH SOLE 16800 0 0
SUNCOR INC COM 867229106 2198 72800 SH SOLE 72800 0 0
SUNGARD DATA SYS INC COM 867363103 288 7300 SH SOLE 7300 0 0
SUNRISE MED INC COM 867910101 741 46700 SH SOLE 46700 0 0
SUNTRUST BKS INC COM 867914103 1364 27700 SH SOLE 27700 0 0
SUPERIOR INDS INTL INC COM 868168105 546 23600 SH SOLE 23600 0 0
SUPERIOR SURGICAL MFG INC COM 868358102 177 13100 SH SOLE 13100 0 0
SUPERVALU INC COM 868536103 7684 270800 SH SOLE 270800 0 0
SWIFT TRANSN CO COM 870756103 221 9400 SH SOLE 9400 0 0
SYMBOL TECHNOLOGIES INC COM 871508107 274 6200 SH SOLE 6200 0 0
SYNETIC INC COM 87160F109 340 7000 SH SOLE 7000 0 0
SYNOVUS FINL CORP COM 87161C105 3187 99200 SH SOLE 99200 0 0
TANDEM COMPUTERS INC COM 875370108 7076 514600 SH SOLE 514600 0 0
TANDY CORP COM 875382103 440 10000 SH SOLE 10000 0 0
TANGER FACTORY OUTLET CTRS INC COM 875465106 245 9000 SH SOLE 9000 0 0
TARGET THERAPEUTICS INC COM 875919102 550 13100 SH SOLE 13100 0 0
TAUBMAN CTRS INC COM 876664103 1830 142100 SH SOLE 142100 0 0
TBC CORP COM 872180104 133 17750 SH SOLE 17750 0 0
TECH DATA CORP COM 878237106 2784 101700 SH SOLE 101700 0 0
TECHNITROL INC COM 878555101 242 6300 SH SOLE 6300 0 0
TECHNOLOGY SOLUTIONS CO COM 87872T108 625 15050 SH SOLE 15050 0 0
TECO ENERGY INC COM 872375100 4610 191100 SH SOLE 191100 0 0
TECUMSEH PRODS CO CL B 878895101 1502 26400 SH SOLE 26400 0 0
TEKTRONIX INC COM 879131100 502 9800 SH SOLE 9800 0 0
TELE COMMUNICATIONS INC NEW COM TCI GRP A 87924V101 1306 100000 SH SOLE 100000 0 0
TELECOMM ARGENTINA STET-FRANCE SPNS ADR REP B 879273209 2229 55200 SH SOLE 55200 0 0
TELEFLEX INC COM 879369106 407 7800 SH SOLE 7800 0 0
TELEFONICA DE ARGENTINA S A SPNSR ADR CL B 879378206 1609 62200 SH SOLE 62200 0 0
TELEFONICA DE ESPANA S A SPONSORED ADR 879382208 519 7500 SH SOLE 7500 0 0
TELEFONOS DE MEXICO S A SP ADR REP ORD 879403780 34267 1038400 SH SOLE 1038400 0 0
TELLABS INC COM 879664100 10836 288000 SH SOLE 288000 0 0
TEMPLE INLAND INC COM 879868107 10262 189600 SH SOLE 189600 0 0
TENCOR INSTRS COM 880323100 443 16800 SH SOLE 16800 0 0
TENET HEALTHCARE CORP COM 88033G100 22657 1035750 SH SOLE 1035750 0 0
TENNECO INC NEW COM 88037E101 1692 37500 SH SOLE 37500 0 0
TERADYNE INC COM 880770102 651 26700 SH SOLE 26700 0 0
TERRA INDS INC COM 880915103 1090 73900 SH SOLE 73900 0 0
TESORO PETE CORP COM 881609101 256 18300 SH SOLE 18300 0 0
TEXACO INC COM 881694103 51506 524900 SH SOLE 524900 0 0
TEXAS INDS INC COM 882491103 906 17900 SH SOLE 17900 0 0
TEXAS UTILS CO COM 882848104 27172 666800 SH SOLE 666800 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
TEXTRON INC COM 883203101 3959 42000 SH SOLE 42000 0 0
THERMO INSTR SYS INC COM 883559106 1434 43300 SH SOLE 43300 0 0
THIOKOL CORP DEL COM 884103102 3620 80900 SH SOLE 80900 0 0
THOMAS & BETTS CORP COM 884315102 327 7373 SH SOLE 7373 0 0
THOR INDS INC COM 885160101 351 13900 SH SOLE 13900 0 0
TIFFANY & CO NEW COM 886547108 1044 28500 SH SOLE 28500 0 0
TIG HLDGS INC COM 872469101 7232 213500 SH SOLE 213500 0 0
TIMKEN CO COM 887389104 1139 24900 SH SOLE 24900 0 0
TJ INTL INC COM 872534102 581 25000 SH SOLE 25000 0 0
TJX COS INC NEW COM 872540109 8878 187400 SH SOLE 187400 0 0
TNP ENTERPRISES INC COM 872594106 446 16300 SH SOLE 16300 0 0
TOLL BROTHERS INC COM 889478103 454 23300 SH SOLE 23300 0 0
TOOTSIE ROLL INDS INC COM 890516107 704 17763 SH SOLE 17763 0 0
TORCHMARK CORP COM 891027104 9244 183050 SH SOLE 183050 0 0
TORO CO COM 891092108 1449 39700 SH SOLE 39700 0 0
TORONTO DOMINION BK ONT COM NEW 891160509 3075 162953 SH SOLE 162953 0 0
TOSCO CORP COM NEW 891490302 10223 129200 SH SOLE 129200 0 0
TOTAL PETE NORTH AMER LTD COM 891508103 363 48000 SH SOLE 48000 0 0
TOTAL SYS SVCS INC COM 891906109 349 13000 SH SOLE 13000 0 0
TOYS R US INC COM 892335100 19879 665400 SH SOLE 665400 0 0
TRANSAMERICA CORP COM 893485102 14063 178009 SH SOLE 178009 0 0
TRANSATLANTIC HLDGS INC COM 893521104 2101 26100 SH SOLE 26100 0 0
TRANSCANADA PIPELINES LTD COM 893526103 5800 444978 SH SOLE 444978 0 0
TRANSITIONAL HOSPS CORP COM 893719104 193 20000 SH SOLE 20000 0 0
TRAVELERS GROUP INC COM 894190107 33087 729201 SH SOLE 729201 0 0
TREDEGAR INDS INC COM 894650100 1186 29550 SH SOLE 29550 0 0
TRINET CORP RLTY TR INC COM 896287109 3081 86800 SH SOLE 86800 0 0
TRINITY INDS INC COM 896522109 1950 52000 SH SOLE 52000 0 0
TRINOVA CORP COM 896678109 560 15400 SH SOLE 15400 0 0
TRIZEC HAHN CORP SUB VTG 896938107 1986 123702 SH SOLE 123702 0 0
TRUE NORTH COMMUNICATIONS INC COM 897844106 411 18800 SH SOLE 18800 0 0
TRUSTMARK CORP COM 898402102 530 20800 SH SOLE 20800 0 0
TRW INC COM 872649108 13588 274500 SH SOLE 274500 0 0
TUCSON ELEC PWR CO COM NEW 898813704 836 50640 SH SOLE 50640 0 0
TULTEX CORP COM 899900104 343 49000 SH SOLE 49000 0 0
TVX GOLD INC COM 87308K101 145 25600 SH SOLE 25600 0 0
TYCO INTERNATIONAL LTD COM 902120104 12204 230800 SH SOLE 230800 0 0
TYCO TOYS INC COM 902128107 558 47500 SH SOLE 47500 0 0
TYSON FOODS INC CL A 902494103 459 13400 SH SOLE 13400 0 0
U S BANCORP ORE COM 911596104 10353 230400 SH SOLE 230400 0 0
U S BIOSCIENCE INC COM PAR $001 911646206 420 33250 SH SOLE 33250 0 0
U S G CORP COM NEW 903293405 332 9800 SH SOLE 9800 0 0
U S INDS INC NEW COM 912080108 241 7000 SH SOLE 7000 0 0
U S ROBOTICS CORP COM 90338F100 281 3900 SH SOLE 3900 0 0
U S WEST INC COM-COMMUNCTNS 912889102 10410 322800 SH SOLE 322800 0 0
U S WEST INC COM-MEDIA GRP 912889201 1540 83800 SH SOLE 83800 0 0
ULTRAMAR DIAMOND SHAMROCK CORP COM 904000106 2408 76142 SH SOLE 76142 0 0
UNICOM CORP COM 904911104 3890 143400 SH SOLE 143400 0 0
UNIFI INC COM 904677101 1118 34800 SH SOLE 34800 0 0
UNIFIRST CORP MASS COM 904708104 202 9500 SH SOLE 9500 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
UNILEVER N V NEW YORK SHS 904784501 46319 264300 SH SOLE 264300 0 0
UNION CARBIDE CORP COM 905581104 12545 306900 SH SOLE 306900 0 0
UNION PAC RES GROUP INC COM 907834105 493 17000 SH SOLE 17000 0 0
UNION PLANTERS CORP COM 908068109 433 11100 SH SOLE 11100 0 0
UNION TEX PETE HLDGS INC COM 908640105 3654 163300 SH SOLE 163300 0 0
UNIONBANCAL CORP COM 908906100 424 8000 SH SOLE 8000 0 0
UNISYS CORP COM 909214108 758 112300 SH SOLE 112300 0 0
UNITED ASSET MGMT CORP COM 909420101 1086 40800 SH SOLE 40800 0 0
UNITED CAROLINA BANCSHARES CP COM 909796104 442 11200 SH SOLE 11200 0 0
UNITED COS FINL CORP COM 909870107 1784 67000 SH SOLE 67000 0 0
UNITED DOMINION INDS LTD COM 909914103 2479 144584 SH SOLE 144584 0 0
UNITED DOMINION REALTY TR INC COM 910197102 4177 269500 SH SOLE 269500 0 0
UNITED ILLUM CO COM 910637107 615 19600 SH SOLE 19600 0 0
UNITED INDL CORP COM 910671106 85 14400 SH SOLE 14400 0 0
UNITED STATES FILTER CORP NEW COM NEW 911843209 371 11700 SH SOLE 11700 0 0
UNITED STATES SURGICAL CORP COM 912707106 7469 189700 SH SOLE 189700 0 0
UNITED TECHNOLOGIES CORP COM 913017109 8500 128300 SH SOLE 128300 0 0
UNITED TELEVISION INC COM 913066106 405 4700 SH SOLE 4700 0 0
UNITED WIS SVCS INC COM 913236105 386 14700 SH SOLE 14700 0 0
UNITED WTR RES INC COM 913190104 326 21048 SH SOLE 21048 0 0
UNIVERSAL CORP VA COM 913456109 1218 37900 SH SOLE 37900 0 0
UNIVERSAL FOODS CORP COM 913538104 3339 94725 SH SOLE 94725 0 0
UNIVERSAL HLTH SVCS INC CL B 913903100 819 28600 SH SOLE 28600 0 0
UNOCAL CORP COM 915289102 29091 713900 SH SOLE 713900 0 0
URBAN SHOPPING CTRS INC COM 917060105 2729 94100 SH SOLE 94100 0 0
USA WASTE SVCS INC COM 902917103 1277 40050 SH SOLE 40050 0 0
USAIR GROUP INC COM 911905107 3962 169500 SH SOLE 169500 0 0
USAIR GROUP INC PFD B CV DEPSH 911905305 1760 27500 SH SOLE 27500 0 0
USF&G CORP COM 903290104 1134 54300 SH SOLE 54300 0 0
USFREIGHTWAYS CORP COM 916906100 645 23500 SH SOLE 23500 0 0
USLIFE CORP COM 917318107 3220 96850 SH SOLE 96850 0 0
USX MARATHON GROUP COM NEW 902905827 7088 296900 SH SOLE 296900 0 0
USX-U S STL COM 90337T101 5497 175200 SH SOLE 175200 0 0
UTAH MED PRODS INC COM 917488108 514 38400 SH SOLE 38400 0 0
UTILICORP UTD INC COM 918005109 851 31500 SH SOLE 31500 0 0
V F CORP COM 918204108 14054 208200 SH SOLE 208200 0 0
VALERO ENERGY CORP COM 919138107 1572 54900 SH SOLE 54900 0 0
VALSPAR CORP COM 920355104 1127 19900 SH SOLE 19900 0 0
VALUE CITY DEPT STORES INC COM 920387107 526 50100 SH SOLE 50100 0 0
VALUE HEALTH INC COM 920393105 507 26000 SH SOLE 26000 0 0
VANS INC COM 921930103 141 11300 SH SOLE 11300 0 0
VARCO INTL INC COM 922126107 317 13700 SH SOLE 13700 0 0
VARIAN ASSOC INC COM 922204102 534 10500 SH SOLE 10500 0 0
VENCOR INC COM 922602107 251 7948 SH SOLE 7948 0 0
VENTURE STORES INC COM 923275101 96 31900 SH SOLE 31900 0 0
VERIFONE INC COM 923429104 263 8900 SH SOLE 8900 0 0
VINA CONCHA Y TORO S A SPONSORED ADR 927191106 1553 66100 SH SOLE 66100 0 0
VISHAY INTERTECHNOLOGY INC COM 928298108 558 24000 SH SOLE 24000 0 0
VITAL SIGNS INC COM 928469105 764 29400 SH SOLE 29400 0 0
VITRO SOCIEDAD ANONIMA SPONSORED ADR 928502301 7919 1439900 SH SOLE 1439900 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
VIVRA INC COM 92855M104 528 19100 SH SOLE 19100 0 0
VLSI TECHNOLOGY INC COM 918270109 723 30300 SH SOLE 30300 0 0
VOLT INFORMATION SCIENCES INC COM 928703107 372 8500 SH SOLE 8500 0 0
VONS COS INC COM 928869106 3365 56200 SH SOLE 56200 0 0
VORNADO RLTY TR SH BEN INT 929042109 7471 142300 SH SOLE 142300 0 0
VULCAN MATLS CO COM 929160109 931 15300 SH SOLE 15300 0 0
WABAN INC COM 929394104 1557 59900 SH SOLE 59900 0 0
WABASH NATL CORP COM 929566107 1147 62400 SH SOLE 62400 0 0
WACHOVIA CORP COM 929771103 1170 20700 SH SOLE 20700 0 0
WACKENHUT CORP COM SER A 929794105 326 18900 SH SOLE 18900 0 0
WAL MART STORES INC COM 931142103 26001 1142900 SH SOLE 1142900 0 0
WALDEN RESIDENTIAL PPTYS INC COM 931210108 2366 95100 SH SOLE 95100 0 0
WALLACE COMPUTER SERVICES INC COM 932270101 4502 130500 SH SOLE 130500 0 0
WARNER LAMBERT CO COM 934488107 47663 635500 SH SOLE 635500 0 0
WASHINGTON FED INC COM 938824109 1183 44650 SH SOLE 44650 0 0
WASHINGTON GAS LT CO COM 938837101 561 24800 SH SOLE 24800 0 0
WASHINGTON MUT INC COM 939322103 645 14900 SH SOLE 14900 0 0
WASHINGTON NATL CORP COM 939339107 363 13200 SH SOLE 13200 0 0
WASHINGTON POST CO CL B 939640108 369 1100 SH SOLE 1100 0 0
WASHINGTON REAL ESTATE INVT TR SH BEN INT 939653101 1484 84800 SH SOLE 84800 0 0
WASHINGTON WTR PWR CO COM 940688104 544 29200 SH SOLE 29200 0 0
WASTE MGMT INTL PLC SPONSORED ADR 940906100 1181 150000 SH SOLE 150000 0 0
WATTS INDS INC CL A 942749102 1165 48800 SH SOLE 48800 0 0
WD-40 CO COM 929236107 485 9500 SH SOLE 9500 0 0
WEBB DEL CORP COM 947423109 309 18900 SH SOLE 18900 0 0
WEEKS CORP COM 94856P102 2603 78300 SH SOLE 78300 0 0
WEINGARTEN RLTY INVS SH BEN INT 948741103 5249 129200 SH SOLE 129200 0 0
WEIS MKTS INC COM 948849104 1709 53600 SH SOLE 53600 0 0
WELLMAN INC COM 949702104 1176 68700 SH SOLE 68700 0 0
WELLPOINT HEALTH NETWORK NEW CL A 94973H108 1939 56404 SH SOLE 56404 0 0
WELLS FARGO & CO DEL COM 949740104 845 3133 SH SOLE 3133 0 0
WELLSFORD RESIDENTIAL PPTY TR COM SH BEN INT 950241109 1651 68100 SH SOLE 68100 0 0
WERNER ENTERPRISES INC COM 950755108 629 34700 SH SOLE 34700 0 0
WEST INC COM 953348109 240 8500 SH SOLE 8500 0 0
WESTCOAST ENERGY INC COM 95751D102 3896 300300 SH SOLE 300300 0 0
WESTERN DIGITAL CORP COM 958102105 4749 83500 SH SOLE 83500 0 0
WESTERN GAS RES INC COM 958259103 988 51300 SH SOLE 51300 0 0
WESTERN INVT REAL ESTATE TR SH BEN INT 958468100 833 64100 SH SOLE 64100 0 0
WESTERN NATL CORP COM 958845109 239 12400 SH SOLE 12400 0 0
WESTERN RES INC COM 959425109 550 17800 SH SOLE 17800 0 0
WESTPOINT STEVENS INC COM 961238102 245 8200 SH SOLE 8200 0 0
WESTVACO CORP COM 961548104 7185 249900 SH SOLE 249900 0 0
WET SEAL INC CL A 961840105 515 24100 SH SOLE 24100 0 0
WEYERHAEUSER CO COM 962166104 786 16600 SH SOLE 16600 0 0
WHEELABRATOR TECH INC NEW COM PAR $001 962901302 8530 524900 SH SOLE 524900 0 0
WHITMAN CORP COM 96647K102 6591 288150 SH SOLE 288150 0 0
WHX CORP COM 929248102 236 26600 SH SOLE 26600 0 0
WICOR INC COM 929253102 251 7000 SH SOLE 7000 0 0
WILEY JOHN & SONS INC CL A 968223206 403 12500 SH SOLE 12500 0 0
WILLAMETTE INDS INC COM 969133107 279 4000 SH SOLE 4000 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
WILLIAMS COS INC DEL COM 969457100 675 18000 SH SOLE 18000 0 0
WILLIAMS SONOMA INC COM 969904101 356 9800 SH SOLE 9800 0 0
WILMINGTON TRUST CORP COM 971807102 909 23000 SH SOLE 23000 0 0
WINSTON HOTELS INC COM 97563A102 842 61800 SH SOLE 61800 0 0
WISCONSIN CENT TRANSN CORP COM 976592105 365 9200 SH SOLE 9200 0 0
WISCONSIN ENERGY CORP COM 976657106 8640 331400 SH SOLE 331400 0 0
WLR FOODS INC COM 929286102 352 28450 SH SOLE 28450 0 0
WMX TECHNOLOGIES INC COM 92929Q107 5444 167500 SH SOLE 167500 0 0
WOOLWORTH CORP COM 980883102 444 20200 SH SOLE 20200 0 0
WORLDCORP INC COM 981904105 253 54700 SH SOLE 54700 0 0
WPL HLDGS INC COM 929305100 366 13000 SH SOLE 13000 0 0
WPS RESOURCES CORP COM 92931B106 265 9300 SH SOLE 9300 0 0
WRIGLEY WM JR CO COM 982526105 1401 24900 SH SOLE 24900 0 0
WYLE ELECTRONICS INC COM 983051103 308 7800 SH SOLE 7800 0 0
WYMAN GORDON CO COM 983085101 449 20200 SH SOLE 20200 0 0
WYNNS INTL INC COM 983195108 245 7750 SH SOLE 7750 0 0
XEROX CORP COM 984121103 21797 414200 SH SOLE 414200 0 0
XIRCOM INC COM 983922105 470 21600 SH SOLE 21600 0 0
YELLOW CORP COM 985509108 697 48500 SH SOLE 48500 0 0
YPF SOCIEDAD ANONIMA SPON ADR CL D 984245100 19867 786803 SH SOLE 786803 0 0
ZALE CORP NEW COM 988858106 672 34900 SH SOLE 34900 0 0
ZEIGLER COAL HLDG CO COM 989286109 455 21300 SH SOLE 21300 0 0
ZENITH ELECTRS CORP COM 989349105 1398 130000 SH SOLE 130000 0 0
ZENITH NATL INS CORP COM 989390109 391 14300 SH SOLE 14300 0 0
ZILOG INC COM 989524103 614 23500 SH SOLE 23500 0 0
ZIONS BANCORPORATION COM 989701107 270 2600 SH SOLE 2600 0 0
ZURN INDS INC COM 989824107 883 33800 SH SOLE 33800 0 0
REPORT SUMMARY 1377 DATA RECORDS 5553963 3 OTHER MANAGERS ON WHOSE BEHALF REPORT IS FILED
</TABLE>
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