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Previous: GMO TRUST, 13F-HR, 1999-05-11 |
Next: HAUSER INC, 10-Q/A, 1999-05-11 |
<PAGE> 1
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OMB APPROVAL
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OMB Number 3235-0006
Expires: February 28, 1997
Estimated average burden
hours per response .... 24.60
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SEC USE ONLY
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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM 13F
INFORMATION REQUIRED OF INSTITUTIONAL INVESTMENT MANAGERS PURSUANT TO SECTION
13(f) OF THE SECURITIES EXCHANGE ACT OF 1934 AND RULES THEREUNDER.
Report for the Calendar Year or Quarter Ended March 31, 1999.
- -------------------------------------------------------------------------------
(Please read instructions before preparing form.)
- -------------------------------------------------------------------------------
If amended report check here: [ ]
GRANTHAM, MAYO, VAN OTTERLOO & CO.
- -------------------------------------------------------------------------------
Name of Institutional Investment Manager
40 ROWES WHARF BOSTON MA 02110
- -------------------------------------------------------------------------------
Business Address (Street) (City) (State) (Zip)
FORREST BERKLEY (617)346-7578 PARTNER
- -------------------------------------------------------------------------------
Name, Phone No., and Title of Person Duly Authorized to Submit this Report.
- -------------------------------------------------------------------------------
ATTENTION
INTENTIONAL MISSTATEMENTS OR OMISSIONS OF FACTS
CONSTITUTE FEDERAL CRIMINAL VIOLATIONS.
SEE 18 U.S.C. 1001 and 15 U.S.C. 78ff(a).
- -------------------------------------------------------------------------------
The institutional investment manager submitting this Form and its
attachments and the person by whom it is signed represent hereby that all
information contained therein is true, correct and complete. It is understood
that all required items, statements and schedules are considered 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.
Pursuant to the requirements of Securities Exchange Act of 1934, the
undersigned institutional investment manager has caused this report to be
signed on its behalf in the City of Boston and State of Massachusetts
on the 11th day of May, 1999.
GRANTHAM, MAYO, VAN OTTERLOO & CO.
------------------------------------------
(Name of Institutional Investment Manager)
/s/ Forrest Berkley
------------------------------------------
(Manual Signature of Person Duly Authorized
to Submit This Report)
Name and 13F file numbers of ALL Institutional Investment Managers with respect
to which this schedule is filled (other than the one filing this report): (List
in alphabetical order).
13F File Numbers will be assigned to Institutional Investment Managers after
they file their first report.
Name: 13F File No.:
- ------------------------------------------------ -------------
1. STRATEGIC INVESTMENT MANAGEMENT INTERNATIONAL 028-02495
2.
3.
4.
5.
<PAGE> 2
<TABLE>
<CAPTION>
VALUE SHARES/ SH/ PUT/ INVSTMT -----VOTING AUTHORITY-----
NAME OF ISSUER -TITLE OF CLASS- --CUSIP-- (x$1000) PRN AMT PRN CALL DSCRETN -MANAGERS- SOLE SHARES NONE
<S> <C> <C> <C> <C> <C> <C> <C>
D 3COM CORP COM 885535104 459 19700 SH SOLE 19700 0 0
D 3DFX INTERACTIVE INC COM 88553X103 368 29400 SH SOLE 29400 0 0
D 99 CENTS ONLY STORES COM 65440K106 430 10125 SH SOLE 10125 0 0
D ABACUS DIRECT CORP COM 002553105 566 6900 SH SOLE 6900 0 0
D ABBOTT LABS COM 002824100 118615 2533808 SH SOLE 2533808 0 0
D ABERCROMBIE & FITCH CO CL A 002896207 932 10100 SH SOLE 10100 0 0
D ABITIBI-CONSOLIDATED INC COM 003924107 5681 949673 SH SOLE 949673 0 0
D ACCLAIM ENTMT INC COM PAR $0.02 004325205 485 54300 SH SOLE 54300 0 0
D ACNIELSEN CORP COM 004833109 1004 37000 SH SOLE 37000 0 0
D ACTION PERFORMANCE COS INC COM 004933107 274 9100 SH SOLE 9100 0 0
D ACX TECHNOLOGIES INC COM 005123104 614 46800 SH SOLE 46800 0 0
D ACXIOM CORP COM 005125109 973 36700 SH SOLE 36700 0 0
D ADAC LABS COM NEW 005313200 563 41300 SH SOLE 41300 0 0
D ADAPTEC INC COM 00651F108 1654 72500 SH SOLE 72500 0 0
D ADELPHIA COMMUNICATIONS CORP CL A 006848105 945 15000 SH SOLE 15000 0 0
D ADMINISTRADORA FONDOS PENSIONE SPONSORED ADR 00709P108 281 15000 SH SOLE 15000 0 0
D ADOBE SYS INC COM 00724F101 5851 103100 SH SOLE 103100 0 0
D ADTRAN INC COM 00738A106 495 30100 SH SOLE 30100 0 0
D ADVANCED MICRO DEVICES INC COM 007903107 958 61800 SH SOLE 61800 0 0
D ADVO INC COM 007585102 261 13500 SH SOLE 13500 0 0
D AEGON N V SPONSORED ADR 007924103 2178 24229 SH SOLE 24229 0 0
D AEROQUIP-VICKERS INC COM 007869100 1249 21800 SH SOLE 21800 0 0
D AES CORP COM 00130H105 1650 44300 SH SOLE 44300 0 0
D AETNA INC COM 008117103 29922 360500 SH SOLE 360500 0 0
D AFFILIATED COMPUTER SERVICES CL A 008190100 956 20900 SH SOLE 20900 0 0
D AFLAC INC COM 001055102 1437 26400 SH SOLE 26400 0 0
D AGCO CORP COM 001084102 356 54200 SH SOLE 54200 0 0
D AGL RES INC COM 001204106 228 13000 SH SOLE 13000 0 0
D AGOURON PHARMACEUTICALS INC COM 008488108 469 8300 SH SOLE 8300 0 0
D AGRIBRANDS INTL INC COM 00849R105 467 14200 SH SOLE 14200 0 0
D AGRIUM INC COM 008916108 261 43000 SH SOLE 43000 0 0
D AIR EXPRESS INTL CORP COM 009104100 503 33250 SH SOLE 33250 0 0
D AIRBORNE FGHT CORP COM 009266107 856 27600 SH SOLE 27600 0 0
D AIRTOUCH COMMUNICATIONS INC COM 00949T100 15296 158300 SH SOLE 158300 0 0
D AIRTRAN HLDGS INC COM 00949P108 958 228900 SH SOLE 228900 0 0
D AK STL HLDG CORP COM 001547108 609 27000 SH SOLE 27000 0 0
D ALASKA AIR GROUP INC COM 011659109 594 12500 SH SOLE 12500 0 0
D ALBEMARLE CORP COM 012653101 360 17200 SH SOLE 17200 0 0
D ALBERTSONS INC COM 013104104 18230 334885 SH SOLE 334885 0 0
D ALCAN ALUMINIUM LTD NEW COM 013716105 2200 113500 SH SOLE 113500 0 0
D ALEXANDRIA REAL ESTATE EQ INC COM 015271109 925 35000 SH SOLE 35000 0 0
D ALLEGHANY CORP DEL COM 017175100 1381 7510 SH SOLE 7510 0 0
D ALLEGHENY ENERGY INC COM 017361106 2100 71200 SH SOLE 71200 0 0
D ALLEGHENY TELEDYNE INC COM 017415100 2058 108700 SH SOLE 108700 0 0
D ALLERGAN INC COM 018490102 10440 118800 SH SOLE 118800 0 0
D ALLIANCE FST PRODS INC COM 01859J108 3956 538000 SH SOLE 538000 0 0
D ALLIANT TECHSYSTEMS INC COM 018804104 210 2700 SH SOLE 2700 0 0
D ALLIEDSIGNAL INC COM 019512102 23600 479800 SH SOLE 479800 0 0
D ALLSTATE CORP COM 020002101 3635 98066 SH SOLE 98066 0 0
D ALLTEL CORP COM 020039103 7959 127600 SH SOLE 127600 0 0
D ALPHARMA INC CL A 020813101 597 15200 SH SOLE 15200 0 0
D ALTERNATIVE RESOURCES CORP COM 02145R102 219 34300 SH SOLE 34300 0 0
D ALZA CORP DEL COM 022615108 405 10580 SH SOLE 10580 0 0
D AMBAC FINL GROUP INC COM 023139108 4244 78600 SH SOLE 78600 0 0
D AMCAST INDL CORP COM 023395106 918 56900 SH SOLE 56900 0 0
D AMERADA HESS CORP COM 023551104 9081 178500 SH SOLE 178500 0 0
D AMERCO COM 023586100 626 29100 SH SOLE 29100 0 0
D AMEREN CORP COM 023608102 2620 72400 SH SOLE 72400 0 0
D AMERICA ONLINE INC DEL COM 02364J104 6806 46300 SH SOLE 46300 0 0
D AMERICA WEST HLDG CORP CL B 023657208 783 41100 SH SOLE 41100 0 0
D AMERICAN BANKERS INS GROUP INC COM 024456105 723 13900 SH SOLE 13900 0 0
D AMERICAN BUSINESS PRODS GA COM 024763104 213 15200 SH SOLE 15200 0 0
D AMERICAN EAGLE OUTFITTERS INC COM 02553D108 1280 17850 SH SOLE 17850 0 0
D AMERICAN ELEC PWR INC COM 025537101 254 6400 SH SOLE 6400 0 0
D AMERICAN EXPRESS CO COM 025816109 7348 62400 SH SOLE 62400 0 0
D AMERICAN FINL GROUP INC OHIO COM 025932104 1031 29300 SH SOLE 29300 0 0
D AMERICAN FREIGHTWAYS CORP COM 02629V108 305 23700 SH SOLE 23700 0 0
D AMERICAN GENERAL CORP COM 026351106 1097 15554 SH SOLE 15554 0 0
D AMERICAN GREETINGS CORP CL A 026375105 3362 132500 SH SOLE 132500 0 0
D AMERICAN HERITAGE LIFE INVT COM 026522102 636 27298 SH SOLE 27298 0 0
D AMERICAN HOME PRODS CORP COM 026609107 39966 612500 SH SOLE 612500 0 0
D AMERICAN MGMT SYS INC COM 027352103 966 28300 SH SOLE 28300 0 0
D AMERICAN NATL INS CO COM 028591105 1130 16900 SH SOLE 16900 0 0
D AMERICAN PWR CONVERSION CORP COM 029066107 864 32000 SH SOLE 32000 0 0
D AMERICAN STORES CO NEW COM 030096101 5505 166828 SH SOLE 166828 0 0
D AMERICAN WTR WKS INC COM 030411102 280 9600 SH SOLE 9600 0 0
D AMERICREDIT CORP COM 03060R101 412 31400 SH SOLE 31400 0 0
D AMERISOURCE HEALTH CORP CL A 03071P102 1080 31600 SH SOLE 31600 0 0
D AMERITECH CORP NEW COM 030954101 29700 515400 SH SOLE 515400 0 0
D AMERON INTL INC COM 030710107 504 14200 SH SOLE 14200 0 0
D AMES DEPT STORES INC COM NEW 030789507 731 19700 SH SOLE 19700 0 0
D AMETEK INC NEW COM 031100100 219 12000 SH SOLE 12000 0 0
D AMGEN INC COM 031162100 95361 1273600 SH SOLE 1273600 0 0
D AMP INC COM 031897101 777 14515 SH SOLE 14515 0 0
D AMR CORP COM 001765106 9774 166900 SH SOLE 166900 0 0
D AMRESCO INC COM 031909104 662 86100 SH SOLE 86100 0 0
D AMSOUTH BANCORPORATION COM 032165102 5437 119500 SH SOLE 119500 0 0
D ANCHOR GAMING COM 033037102 704 16100 SH SOLE 16100 0 0
D ANDREW CORP COM 034425108 936 76000 SH SOLE 76000 0 0
D ANHEUSER BUSCH COS INC COM 035229103 43328 569166 SH SOLE 569166 0 0
D ANNTAYLOR STORES CORP COM 036115103 1922 43500 SH SOLE 43500 0 0
D ANTEC CORP COM 03664P105 439 20400 SH SOLE 20400 0 0
D AO TATNEFT SPONS ADR RG S 03737P306 86 31440 SH SOLE 31440 0 0
D AON CORP COM 037389103 417 6600 SH SOLE 6600 0 0
D APARTMENT INVT & MGMT CO CL A 03748R101 4216 116300 SH SOLE 116300 0 0
D APPLE COMPUTER INC COM 037833100 5746 159900 SH SOLE 159900 0 0
D APPLEBEES INTL INC COM 037899101 583 23500 SH SOLE 23500 0 0
D APPLIED MICRO CIRCUITS CORP COM 03822W109 325 7600 SH SOLE 7600 0 0
D APPLIED PWR INC CL A 038225108 610 22400 SH SOLE 22400 0 0
D APRIA HEALTHCARE GROUP INC COM 037933108 694 58400 SH SOLE 58400 0 0
D ARCH COAL INC COM 039380100 693 52300 SH SOLE 52300 0 0
D ARCHER DANIELS MIDLAND CO COM 039483102 8061 548876 SH SOLE 548876 0 0
D ARCTIC CAT INC COM 039670104 331 33325 SH SOLE 33325 0 0
D ARDEN RLTY GROUP INC COM 039793104 1304 58600 SH SOLE 58600 0 0
D ARDENT SOFTWARE INC COM 039794102 265 16500 SH SOLE 16500 0 0
D ARGONAUT GROUP INC COM 040157109 776 30200 SH SOLE 30200 0 0
D ARMCO INC COM 042170100 197 44400 SH SOLE 44400 0 0
D ARMSTRONG WORLD INDS INC COM 042476101 470 10400 SH SOLE 10400 0 0
D ARROW ELECTRS INC COM 042735100 1097 73100 SH SOLE 73100 0 0
D ARROW INTL INC COM 042764100 530 24600 SH SOLE 24600 0 0
D ASARCO INC COM 043413103 685 49600 SH SOLE 49600 0 0
D ASCEND COMMUNICATIONS INC COM 043491109 778 9300 SH SOLE 9300 0 0
D ASM INTL N V COM N07045102 8713 2403511 SH SOLE 2403511 0 0
D ASPECT DEV INC COM 045234101 256 11000 SH SOLE 11000 0 0
D ASPECT TELECOMMUNICATIONS CORP COM 045237104 453 68400 SH SOLE 68400 0 0
D ASPEN TECHNOLOGY INC COM 045327103 695 49000 SH SOLE 49000 0 0
D ASTEC INDS INC COM 046224101 531 17200 SH SOLE 17200 0 0
D ASTORIA FINL CORP COM 046265104 490 9800 SH SOLE 9800 0 0
D AT&T CORP COM 001957109 82681 1035949 SH SOLE 1035949 0 0
D ATLANTIC RICHFIELD CO COM 048825103 41293 564685 SH SOLE 564685 0 0
D ATLAS AIR INC COM 049164106 383 13300 SH SOLE 13300 0 0
D ATMEL CORP COM 049513104 1332 87700 SH SOLE 87700 0 0
D AUTODESK INC COM 052769106 1104 27300 SH SOLE 27300 0 0
D AUTOMATIC DATA PROCESSING INC COM 053015103 1055 25500 SH SOLE 25500 0 0
D AUTOZONE INC COM 053332102 10715 352743 SH SOLE 352743 0 0
D AVADO BRANDS INC COM 05336P108 120 20200 SH SOLE 20200 0 0
D AVANT CORP COM 053487104 178 10000 SH SOLE 10000 0 0
D AVIS RENT A CAR INC COM 053790101 875 31600 SH SOLE 31600 0 0
D AVISTA CORP COM 05379B107 522 32100 SH SOLE 32100 0 0
D AVNET INC COM 053807103 1224 33300 SH SOLE 33300 0 0
D AVX CORP NEW COM 002444107 522 32600 SH SOLE 32600 0 0
D AZTAR CORP COM 054802103 477 99200 SH SOLE 99200 0 0
D BAKER HUGHES INC COM 057224107 365 15000 SH SOLE 15000 0 0
D BALDWIN & LYONS INC CL B 057755209 631 30300 SH SOLE 30300 0 0
D BALL CORP COM 058498106 1657 35300 SH SOLE 35300 0 0
D BALLARD MED PRODS COM 058566100 812 33300 SH SOLE 33300 0 0
D BALLY TOTAL FITNESS HLDG CORP COM 05873K108 255 10700 SH SOLE 10700 0 0
D BALTIMORE GAS & ELEC CO COM 059165100 9883 389459 SH SOLE 389459 0 0
D BANCO DE A EDWARDS SPNS ADR REP A 059504100 523 46000 SH SOLE 46000 0 0
D BANCO GANADERO S A SPONSRD ADR B 059594408 410 24300 SH SOLE 24300 0 0
D BANCO SANTANDER CHILE SPON ADR SER A 05965F108 1203 80200 SH SOLE 80200 0 0
D BANCO SANTIAGO SP ADR REP COM 05965L105 2004 113700 SH SOLE 113700 0 0
D BANCTEC INC COM 059784108 267 21700 SH SOLE 21700 0 0
D BANCWEST CORP NEW COM 059790105 1097 25800 SH SOLE 25800 0 0
D BANDAG INC COM 059815100 813 28600 SH SOLE 28600 0 0
D BANK NEW YORK INC COM 064057102 334 9300 SH SOLE 9300 0 0
D BANK ONE CORP COM 06423A103 11934 216740 SH SOLE 216740 0 0
D BANK UTD CORP CL A 065412108 208 5100 SH SOLE 5100 0 0
D BANKAMERICA CORP NEW COM 06605F102 49090 695085 SH SOLE 695085 0 0
D BANKERS TR CORP COM 066365107 9487 107500 SH SOLE 107500 0 0
D BANTA CORP COM 066821109 704 37050 SH SOLE 37050 0 0
D BARD C R INC COM 067383109 1316 26100 SH SOLE 26100 0 0
D BARNES & NOBLE INC COM 067774109 598 18600 SH SOLE 18600 0 0
D BARNES GROUP INC COM 067806109 444 23700 SH SOLE 23700 0 0
D BASSETT FURNITURE INDS INC COM 070203104 363 16400 SH SOLE 16400 0 0
D BAUSCH & LOMB INC COM 071707103 735 11300 SH SOLE 11300 0 0
D BAY VIEW CAP CORP DEL COM 07262L101 251 13300 SH SOLE 13300 0 0
D BCE INC COM 05534B109 3058 104404 SH SOLE 104404 0 0
D BCE MOBILE COMMUNICATION INC COM 05534G108 294 16690 SH SOLE 16690 0 0
D BE AEROSPACE INC COM 073302101 214 14500 SH SOLE 14500 0 0
D BEAR STEARNS COS INC COM 073902108 15070 337229 SH SOLE 337229 0 0
D BEC ENERGY COM 05538M101 867 23600 SH SOLE 23600 0 0
D BECKMAN COULTER INC COM 075811109 1248 28200 SH SOLE 28200 0 0
D BECTON DICKINSON & CO COM 075887109 8823 230300 SH SOLE 230300 0 0
D BED BATH & BEYOND INC COM 075896100 1756 48100 SH SOLE 48100 0 0
D BEDFORD PPTY INVS INC COM PAR $0.02 076446301 1341 91700 SH SOLE 91700 0 0
D BELL ATLANTIC CORP COM 077853109 47910 926908 SH SOLE 926908 0 0
D BELLSOUTH CORP COM 079860102 26144 652600 SH SOLE 652600 0 0
D BERGEN BRUNSWIG CORP CL A 083739102 784 39200 SH SOLE 39200 0 0
D BERKLEY W R CORP COM 084423102 769 31400 SH SOLE 31400 0 0
D BERLITZ INTL INC NEW COM 08520F100 554 24500 SH SOLE 24500 0 0
D BEST BUY INC COM 086516101 37346 718200 SH SOLE 718200 0 0
D BESTFOODS COM 08658U101 7741 164700 SH SOLE 164700 0 0
D BETHLEHEM STL CORP COM 087509105 1072 129900 SH SOLE 129900 0 0
D BEVERLY ENTERPRISES INC COM NEW 087851309 637 124200 SH SOLE 124200 0 0
D BHC COMMUNICATIONS INC CL A 055448104 3535 28800 SH SOLE 28800 0 0
D BIG FLOWER HLDGS INC COM 089159107 311 10000 SH SOLE 10000 0 0
D BINDLEY WESTN INDS INC COM 090324104 965 33800 SH SOLE 33800 0 0
D BIOCHEM PHARMA INC COM 09058T108 1041 73900 SH SOLE 73900 0 0
D BIOGEN INC COM 090597105 537 4700 SH SOLE 4700 0 0
D BIOMATRIX INC COM 09060P102 725 9300 SH SOLE 9300 0 0
D BIOMET INC COM 090613100 1296 30900 SH SOLE 30900 0 0
D BISYS GROUP INC COM 055472104 748 13300 SH SOLE 13300 0 0
D BJ SVCS CO COM 055482103 1369 58900 SH SOLE 58900 0 0
D BJS WHOLESALE CLUB INC COM 05548J106 289 11000 SH SOLE 11000 0 0
D BLACK & DECKER CORP COM 091797100 261 4700 SH SOLE 4700 0 0
D BLOCK DRUG INC CL A 093644102 615 14997 SH SOLE 14997 0 0
D BLOCK H & R INC COM 093671105 3553 75000 SH SOLE 75000 0 0
D BLUE SQUARE - ISRAEL LTD SPONSORED ADR 096055108 328 25700 SH SOLE 25700 0 0
D BLYTH INDS INC COM 09643P108 503 21300 SH SOLE 21300 0 0
D BMC SOFTWARE INC COM 055921100 23270 627858 SH SOLE 627858 0 0
D BOEING CO COM 097023105 3538 104056 SH SOLE 104056 0 0
D BOISE CASCADE CORP COM 097383103 1422 44100 SH SOLE 44100 0 0
D BOK FINL CORP COM NEW 05561Q201 793 30782 SH SOLE 30782 0 0
D BORG-WARNER AUTOMOTIVE INC COM 099724106 1425 29800 SH SOLE 29800 0 0
D BOSTON PROPERTIES INC COM 101121101 1392 44000 SH SOLE 44000 0 0
D BOSTON SCIENTIFIC CORP COM 101137107 845 20800 SH SOLE 20800 0 0
D BOWNE & CO INC COM 103043105 640 54800 SH SOLE 54800 0 0
D BP AMOCO P L C SPONSORED ADR 055622104 644 6378 SH SOLE 6378 0 0
D BRANDYWINE RLTY TR SH BEN INT NEW 105368203 3863 237700 SH SOLE 237700 0 0
D BRAZIL FD INC COM 105759104 974 76400 SH SOLE 76400 0 0
D BRE PROPERTIES INC CL A 05564E106 749 33100 SH SOLE 33100 0 0
D BRIGHTPOINT INC COM 109473108 344 58200 SH SOLE 58200 0 0
D BRINKER INTL INC COM 109641100 1790 69000 SH SOLE 69000 0 0
D BRISTOL MYERS SQUIBB CO COM 110122108 12969 202240 SH SOLE 202240 0 0
D BROWN GROUP INC COM 115657108 258 19600 SH SOLE 19600 0 0
D BROWNING FERRIS INDS COM 115885105 2796 72500 SH SOLE 72500 0 0
D BRUNSWICK CORP COM 117043109 1212 63600 SH SOLE 63600 0 0
D BUFFETS INC COM 119882108 661 66900 SH SOLE 66900 0 0
D BURLINGTON COAT FACTORY COM 121579106 644 54820 SH SOLE 54820 0 0
D BURLINGTON INDS INC COM 121693105 566 85400 SH SOLE 85400 0 0
D BURLINGTON NORTHN SANTA FE CP COM 12189T104 44561 1355473 SH 1SOLE 1355473 0 0
D BURLINGTON RES INC COM 122014103 10308 258100 SH SOLE 258100 0 0
</TABLE>
<PAGE> 3
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
D C-CUBE MICROSYSTEMS INC COM 125015107 1098 55400 SH SOLE 55400 0 0
D CABLE DESIGN TECHNOLOGIES CORP COM 126924109 196 17800 SH SOLE 17800 0 0
D CABLETRON SYS INC COM 126920107 779 95200 SH SOLE 95200 0 0
D CABLEVISION SYS CORP CL A 12686C109 10318 139200 SH SOLE 139200 0 0
D CABOT OIL & GAS CORP CL A 127097103 217 15000 SH SOLE 15000 0 0
D CALLAWAY GOLF CO COM 131193104 656 64400 SH SOLE 64400 0 0
D CAMECO CORP COM 13321L108 167 11480 SH SOLE 11480 0 0
D CANADIAN MARCONI CO COM 136357100 148 20600 SH SOLE 20600 0 0
D CANADIAN NATL RY CO COM 136375102 2155 58600 SH SOLE 58600 0 0
D CANADIAN PAC LTD NEW COM 135923100 1467 75000 SH SOLE 75000 0 0
D CAPITAL ONE FINL CORP COM 14040H105 347 2300 SH SOLE 2300 0 0
D CAPITAL RE CORP COM 140432105 759 44000 SH SOLE 44000 0 0
D CARAUSTAR INDS INC COM 140909102 531 23100 SH SOLE 23100 0 0
D CARDINAL HEALTH INC COM 14149Y108 466 7055 SH SOLE 7055 0 0
D CAREMATRIX CORP COM 141706101 222 11700 SH SOLE 11700 0 0
D CARMIKE CINEMAS INC CL A 143436103 298 16500 SH SOLE 16500 0 0
D CAROLINA FIRST CORP COM 143877108 255 11600 SH SOLE 11600 0 0
D CARPENTER TECHNOLOGY CORP COM 144285103 612 23600 SH SOLE 23600 0 0
D CARRAMERICA RLTY CORP COM 144418100 1410 63900 SH SOLE 63900 0 0
D CASE CORP COM 14743R103 1751 69000 SH SOLE 69000 0 0
D CASH AMER INTL INC COM 14754D100 579 45000 SH SOLE 45000 0 0
D CATALINA MARKETING CORP COM 148867104 2078 24200 SH SOLE 24200 0 0
D CATELLUS DEV CORP COM 149111106 1748 130700 SH SOLE 130700 0 0
D CATERPILLAR INC DEL COM 149123101 689 15000 SH SOLE 15000 0 0
D CBL & ASSOC PPTYS INC COM 124830100 795 34200 SH SOLE 34200 0 0
D CBS CORP COM 12490K107 714 17500 SH SOLE 17500 0 0
D CDW COMPUTER CTRS INC COM 125129106 980 14200 SH SOLE 14200 0 0
D CELLSTAR CORP COM 150925105 533 51400 SH SOLE 51400 0 0
D CENDANT CORP COM 151313103 3085 193598 SH SOLE 193598 0 0
D CENTENNIAL CELLULAR CORP CL A NEW 15133V208 1625 34400 SH SOLE 34400 0 0
D CENTEX CONSTRUCTION PRODUCTS COM 15231R109 790 22700 SH SOLE 22700 0 0
D CENTEX CORP COM 152312104 1368 41000 SH SOLE 41000 0 0
D CENTRAL & SOUTH WEST CORP COM 152357109 13861 591400 SH SOLE 591400 0 0
D CENTRAL GARDEN & PET CO COM 153527106 587 34800 SH SOLE 34800 0 0
D CENTRAL HUDSON GAS & ELEC CORP COM 153609102 437 12200 SH SOLE 12200 0 0
D CENTRAL PKG CORP COM 154785109 212 6150 SH SOLE 6150 0 0
D CENTURY BUSINESS SVCS INC COM 156490104 168 15400 SH SOLE 15400 0 0
D CENTURY COMMUNICATIONS CORP CL A 156503104 1881 40500 SH SOLE 40500 0 0
D CENTURY TEL ENTERPRISES INC COM 156686107 20295 288900 SH SOLE 288900 0 0
D CERIDIAN CORP COM 15677T106 8819 241200 SH SOLE 241200 0 0
D CHAMPION ENTERPRISES INC COM 158496109 1464 75600 SH SOLE 75600 0 0
D CHAMPION INTL CORP COM 158525105 616 15000 SH SOLE 15000 0 0
D CHARMING SHOPPES INC COM 161133103 271 70000 SH SOLE 70000 0 0
D CHASE MANHATTAN CORP NEW COM 16161A108 16698 205200 SH SOLE 205200 0 0
D CHATEAU CMNTYS INC COM 161726104 979 35600 SH SOLE 35600 0 0
D CHATTEM INC COM 162456107 241 7700 SH SOLE 7700 0 0
D CHECKFREE HLDGS CORP COM 162816102 409 9600 SH SOLE 9600 0 0
D CHELSEA GCA RLTY INC COM 163262108 741 26600 SH SOLE 26600 0 0
D CHEMED CORP COM 163596109 283 11000 SH SOLE 11000 0 0
D CHEVRON CORPORATION COM 166751107 13348 150400 SH SOLE 150400 0 0
D CHILDRENS PL RETAIL STORES INC COM 168905107 353 13100 SH SOLE 13100 0 0
D CHILE FD INC COM 168834109 230 22000 SH SOLE 22000 0 0
D CHRIS CRAFT INDS INC COM 170520100 823 18030 SH SOLE 18030 0 0
D CHS ELECTRONICS INC COM NEW 12542A206 262 82300 SH SOLE 82300 0 0
D CIBER INC COM 17163B102 459 23700 SH SOLE 23700 0 0
D CIENA CORP COM 171779101 617 27400 SH SOLE 27400 0 0
D CIGNA CORP COM 125509109 21196 252900 SH SOLE 252900 0 0
D CILCORP INC COM 171794100 541 9000 SH SOLE 9000 0 0
D CINCINNATI FINL CORP COM 172062101 4321 118600 SH SOLE 118600 0 0
D CINERGY CORP COM 172474108 3660 133100 SH SOLE 133100 0 0
D CIRCUIT CITY STORE INC CIRCT CITY GRP 172737108 406 5300 SH SOLE 5300 0 0
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</TABLE>
<PAGE> 6
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
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</TABLE>
<PAGE> 7
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
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</TABLE>
<PAGE> 8
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
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</TABLE>
<PAGE> 9
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
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</TABLE>
<PAGE> 10
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
D PIXAR COM 725811103 276 7000 SH SOLE 7000 0 0
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</TABLE>
<PAGE> 11
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
D SCIENTIFIC ATLANTA INC COM 808655104 251 9200 SH SOLE 9200 0 0
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</TABLE>
<PAGE> 12
<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
D TELECOMUNICACOES BRASILEIRAS S SPONSORED ADR 879287308 20543 254800 SH SOLE 254800 0 0
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</TABLE>
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<TABLE>
<S> <C> <C> <C> <C> <C> <C> <C>
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