Form 13F Cover Page
INFORMATION REQUIRED OF INSTITUTIONAL INVESTMENT
MANAGERS PURSUANT TO SECTION 13 (F) OF THE SECURITIES
EXCHANGE ACT OF 1934 AND RULES THEREUNDER
*Securities and Exchange Commission
Washington, D.C. 20549
Report for the Calendar Quarter Ended June 30, 1999
(Please read instructions before preparing form)
Check here if Amendment{ }: Amendment Number:
This Amendment (Check only one):
{ } is a restatement.
{ } adds new holdings entries.
Institutional Investment Manager Filing this Report:
NAME: FIRST ALLMERICA FINANCIAL LIFE INSURANCE COMPANY
STREET: 440 LINCOLN STREET
CITY: WORCESTER,
STATE: MA
ZIP: 01653
Form 13F File Number: 28-5460
The institutional investment manager filing this report
and the person by whom it is signed hereby represent that
the person signing the report is authorized to submit it,
that all information contained herein is true, correct and
complete, and that it is understood that all required items,
statements, schedules, lists and tables, are considered
integral parts of this form.
Person Signing this Report on Behalf of reporting Manager:
Name: John P. Kavanaugh
Title: Director
Phone: 508-855-2151
SIGNATURE, Place and Date Signing:
Name: John P. Kavanaugh
CITY: WORCESTER
STATE: MA
DATE: 08/12/99
Report Type (Check only one):
X 13F HOLDING REPORT. (Check here if all holdings
- ----- of this reporting manager are reported in this report.)
13F NOTICE. (Check here if no holdings reported are
- ----- in this report, and all holdings are reported by other
reporting manager(s).)
13F COBINATION REPORT. (Check here if a portion of the
- ----- holdings for this reporting manager are reported in this
report and a portion are reported by other reporting
manager(s).)
<PAGE>
Form 13F Summary Page
Report Summary:
Number of Other Included Managers: 0
Form 13F Information Table Entry Total: 513 number of line items
Form 13F Information Table Value Total: 1,050,298 thousands
List of Other Included Managers: None
<PAGE>
<TABLE>
<CAPTION>
Form 13F Information Table
Name of Value SHARES//SH/ PUT/ INVSTMT Other Voting Authority
ISSUER TITLE OF CLASS CUSIP (x$1000) PRN AMT PRN CALL DSCRETN Managers
Sole/Shared/None
Column1 Column2 Column3 Column4 Column5 Column6 Column7 Column8
<S> <C> <C> <C> <C> <C> <C> <C>
3 Com Corp. COM 885535104 873 32700SH Sole
Abbott Laboratories, Inc. COM 002824100 6616 145400SH Sole
Adobe Systems Inc COM 00724F101 460 5600SH Sole
Advanced Micro Device COM 007903107 237 13100SH Sole
Advanced Radio Telecom COM 00754U101 582 40470SH Sole
AES Corporation COM 00130H105 1000 17200SH Sole
Aetna Inc COM 008117103 1157 12936SH Sole
Aflac, Inc. COM 001055102 1163 24300SH Sole
Air Products & Chemicals, IncCOM 009158106 829 20600SH Sole
Airtouch Communications, Inc.COM 00949T100 5622 52300SH Sole
Alberto Culver Co. COM 013068101 130 4900SH Sole
Albertsons, Inc. COM 013104104 1955 37924SH Sole
Alcan Aluminum Ltd. COM 013716105 650 20350SH Sole
Alcoa Inc. COM 013817101 2277 36800SH Sole
Allegheny Teledyne Inc COM 017415100 547 24192SH Sole
Allergan, Inc. COM 018490102 688 6200SH Sole
Allied Signal, Inc. COM 019512102 3156 50100SH Sole
Allmerica Securities Trust FdCOM MF 019921105 883 86643SH Sole
Allstate Corp. COM 020002101 2982 83122SH Sole
Alltel Corp. COM 020039103 1823 25500SH Sole
Alza Corp. COM 022615108 468 9200SH Sole
Amerada Hess Corp. COM 023551104 494 8300SH Sole
Ameren Corporation COM 023608102 480 12500SH Sole
America Online Inc COM 02364J104 10952 99110SH Sole
American Electric Power Co. COM 025537101 654 17400SH Sole
American Express Co. COM 025816109 5530 42500SH Sole
American General Corp. COM 026351106 1716 22771SH Sole
American Greetings Corp. COM 026375105 434 14400SH Sole
American Home Products Corp. COM 026609107 6808 118400SH Sole
American International Group,COM 026874107 13416 114602SH Sole
Ameritech Corp. COM 030954101 7681 104500SH Sole
Amgen, Inc. COM 031162100 3086 50700SH Sole
AMR Corp. COM 001765106 1065 15600SH Sole
Amsouth Bancorporation COM 032165102 364 15700SH Sole
Anadarko Petroleum Corp. COM 032511107 405 11000SH Sole
Andrew Corporation COM 034425108 381 20100SH Sole
Anheuser-Busch Cos, Inc. COM 035229103 3277 46200SH Sole
AON Corp. COM 037389103 952 23075SH Sole
Apache Corp. COM 037411105 390 10000SH Sole
Apple Computer, Inc. COM 037833100 848 18300SH Sole
Applied Materials, Inc. COM 038222105 2497 33800SH Sole
Archer-Daniels Midland Co. COM 039483102 819 53033SH Sole
Armstrong World Industries,InCOM 042476101 214 3700SH Sole
ASARCO, Inc. COM 043413103 62 3300SH Sole
Ashland, Inc. COM 044204105 445 11100SH Sole
Assoc First Cap Corp Cl A COM 046008108 2915 65792SH Sole
AT&T Corp. COM 001957109 16846 301830SH Sole
Atlantic Richfield Co. COM 048825103 2440 29200SH Sole
Autodesk, Inc. COM 052769106 154 5200SH Sole
Automatic Data Processing IncCOM 053015103 2578 58600SH Sole
Autozone, Inc. COM 053332102 401 13300SH Sole
Avery Dennison Corp. COM 053611109 773 12800SH Sole
Avon Products, Inc. COM 054303102 1310 23600SH Sole
Baker Hughes, Inc. COM 057224107 987 29470SH Sole
Ball Corp. COM 058498106 114 2700SH Sole
Banc One Corp. COM 06423A103 6679 112128SH Sole
Bank of America Corp COM 060505104 11893 162221SH Sole
Bank of New York Co., Inc. COM 064057102 2524 68800SH Sole
BankBoston Corp. COM 06605R106 1370 26800SH Sole
Bard C. R., Inc. COM 067383109 215 4500SH Sole
Barrick Gold Corp. COM 067901108 678 35000SH Sole
Battle Mountain Gold Co. COM 071593107 50 20600SH Sole
Bausch & Lomb, Inc. COM 071707103 405 5300SH Sole
Baxter International, Inc. COM 071813109 1601 26400SH Sole
BB&T Corporation COM 054937107 1042 28400SH Sole
Bear Stearns Co. COM 073902108 614 13142SH Sole
Becton Dickinson & Co. COM 075887109 672 22400SH Sole
Bell Atlantic Corp. COM 077853109 9429 144222SH Sole
Bell South Corp. COM 079860102 8405 179300SH Sole
<PAGE>
Bemis Company, Inc. COM 081437105 191 4800SH Sole
Bestfoods COM 08658U101 1411 28500SH Sole
Bethlehem Steel Corp. COM 087509105 88 11500SH Sole
Biomet, Inc. COM 090613100 398 10000SH Sole
Black & Decker Corp. COM 091797100 505 8000SH Sole
Block (H&R), Inc. COM 093671105 435 8700SH Sole
BMC Software, Inc. COM 055921100 1156 21400SH Sole
Boeing Co. COM 097023105 3888 87990SH Sole
Boise Cascade Corp. COM 097383103 223 5200SH Sole
Boston Scientific Corp. COM 101137107 1564 35600SH Sole
BP Amoco PLC-ADR COM-ADR 055622104 983 9064SH Sole
Briggs & Stratton Co COM 109043109 329 5700SH Sole
Bristol-Myers Squibb Co. COM 110122108 13313 189000SH Sole
Brown-Forman Corp. COM 115637209 649 9950SH Sole
Browning Ferris Industries,InCOM 115885105 611 14200SH Sole
Brunswick Corp. COM 117043109 229 8200SH Sole
Burlington North Sante Fe CorCOM 12189T104 1312 42317SH Sole
Burlington Resources, Inc. COM 122014103 691 15974SH Sole
Cabletron Systems, Inc. COM 126920107 202 15500SH Sole
Campbell Soup Co. COM 134429109 2115 45600SH Sole
Capital One Financial Corp. COM 14040H105 997 17899SH Sole
Cardinal Health, Inc. COM 14149Y108 1577 24600SH Sole
Carnival Corp. COM 143658102 2687 55400SH Sole
Carolina Power & Light Co. COM 144141108 582 13600SH Sole
Case Equipment COM 14743R103 327 6800SH Sole
Caterpillar, Inc. COM 149123101 1938 32300SH Sole
CBS Corporation COM 12490K107 2789 64200SH Sole
Cendant Corporation COM 151313103 1418 69171SH Sole
Centex Corp. COM 152312104 195 5200SH Sole
Central & South West Corp. COM 152357109 441 18900SH Sole
Centurytel Inc. COM 156700106 504 12700SH Sole
Ceridian Corp. COM 15677T106 418 12800SH Sole
Champion International Co. COM 158525105 421 8800SH Sole
Chase Manhattan Corp COM 16161A108 6751 77936SH Sole
Chevron Corp. COM 166751107 5645 59300SH Sole
Chubb Corp. COM 171232101 1015 14600SH Sole
Cigna Corp. COM 125509109 1905 21400SH Sole
Cincinnati Financial Corp. COM 172062101 555 14800SH Sole
Cinergy Corp. COM 172474108 457 14290SH Sole
Circuit City Stores, Inc. COM 172737108 837 9000SH Sole
Cisco Systems, Inc. COM 17275R102 19204 297750SH Sole
Citigroup, Inc. COM 172967101 14863 312903SH Sole
Clear Channel Communications COM 184502102 2082 30200SH Sole
Clorox Co. COM 189054109 1164 10900SH Sole
CMS Energy Corp COM 125896100 444 10600SH Sole
Coastal Corp. COM 190441105 768 19200SH Sole
Coca Cola Co. COM 191216100 14587 233400SH Sole
Coca Cola Enterprises, Inc. COM 191219104 1136 38200SH Sole
Colgate Palmolive Co. COM 194162103 2795 28300SH Sole
Columbia Gas System, Inc. COM 197648108 464 7400SH Sole
Columbia HCA/Healthcare Corp.COM 197677107 1167 51150SH Sole
Comcast Corp. CL-A Spl COM 200300200 2568 66800SH Sole
Comerica, Inc. COM 200340107 933 15700SH Sole
Compaq Computer Corp. COM 204493100 3640 153662SH Sole
Computer Associates Intl, IncCOM 204912109 3067 55762SH Sole
Computer Sciences Corp. COM 205363104 1121 16200SH Sole
Compuware Corp. COM 205638109 1050 33000SH Sole
Conagra, Inc. COM 205887102 1172 44000SH Sole
Conseco, Inc. COM 208464107 887 29155SH Sole
<PAGE>
Consolidated Edison, Inc. COM 209115104 1145 25300SH Sole
Consolidated Natural Gas Co. COM 209615103 535 8800SH Sole
Consolidated Stores Corp. COM 210149100 265 9800SH Sole
Constellation Energy Group COM 210371100 398 13450SH Sole
Continental Information SysteCOM 211497102 2 1941SH Sole
Cooper Industries, Inc. COM 216669101 447 8600SH Sole
Cooper Tire & Rubber Co. COM 216831107 158 6700SH Sole
Coors (Adolph) CL-B COM217016104 168 3400SH Sole
Corning, Inc. COM 219350105 1557 22200SH Sole
Costco Companies, Inc. COM 22160Q102 1590 19856SH Sole
Countrywide Credit Ind., Inc.COM 222372104 556 13000SH Sole
Crane Co. COM 224399105 391 12425SH Sole
Crown Cork & Seal Co., Inc. COM 228255105 311 10900SH Sole
CSX Corp. COM 126408103 891 19660SH Sole
Cummins Engine Co. COM 231021106 217 3800SH Sole
CVS Corp. COM 126650100 1796 35400SH Sole
Cypres Amax Minerals Co. COM 232809103 120 7900SH Sole
Dana Corp. COM 235811106 690 14989SH Sole
Danaher Corp COM 235851102 709 12200SH Sole
Darden Restaurants, Inc. COM 237194105 260 11900SH Sole
Data General Corp. COM 237688106 63 4300SH Sole
Dayton Hudson Corp. COM 239753106 2600 40000SH Sole
Deere & Co. COM 244199105 832 21000SH Sole
Dell Computer Corp. COM 247025109 8965 242300SH Sole
Delphi Auto Systems Corp COM 247126105 948 51087SH Sole
Delta Air Lines Del COM 247361108 934 16200SH Sole
Deluxe Corp. COM 248019101 553 14200SH Sole
Dillards Inc. COM 254067101 337 9600SH Sole
Dollar General Corp. COM 256669102 579 19975SH Sole
Dominion Resources, Inc. COM 257470104 745 17200SH Sole
Donnelley, R. R. & Sons Co. COM 257867101 619 16700SH Sole
Dover Corp. COM 260003108 672 19200SH Sole
Dow Chemical Co. COM 260543103 2760 21750SH Sole
Dow Jones & Co, Inc. COM 260561105 435 8200SH Sole
DTE Energy Co. COM 233331107 528 13200SH Sole
Du Pont (E.I.) De Nemours & CCOM 263534109 7043 103100SH Sole
Duke Energy Corp. COM 264399106 2031 37345SH Sole
Dun & Bradstreet (New) COM 26483B106 524 14800SH Sole
Eastern Enterprises COM 27637F100 76 1900SH Sole
Eastman Chemical Co. COM 277432100 465 8987SH Sole
Eastman Kodak Co. COM 277461109 2314 34150SH Sole
Eaton Corp. COM 278058102 616 6700SH Sole
Ecolab, Inc. COM 278865100 515 11800SH Sole
Ecoscience Corp. COM 279218200 7 4745SH Sole
Edison Internatioinal COM 281020107 831 31100SH Sole
EG&G, Inc. COM 268457108 139 3900SH Sole
Electronic Data Systems Corp COM 285661104 2789 49300SH Sole
EMC Corp/Mass COM 268648102 5038 91600SH Sole
Emerson Electric Co. COM 291011104 2823 44900SH Sole
Engelhard Corp. COM 292845104 253 11200SH Sole
Enron Corp. COM 293561106 2632 32200SH Sole
Entergy Corp. New COM 29364G103 694 22200SH Sole
Equifax Inc COM 294429105 460 12900SH Sole
Exxon Corp. COM 302290101 17777 230500SH Sole
FDX Corp COM 31304N107 1458 26880SH Sole
Federal Home Loan Mortgage COM 313400301 3880 66900SH Sole
Federal National Mortgage AssCOM 313586109 6338 92700SH Sole
Federated Department Stores,ICOM 31410H101 1001 18900SH Sole
<PAFE>
Fifth Third Bancorp COM 316773100 1619 24325SH Sole
First Data Corp. COM 319963104 2041 41700SH Sole
First Union Corp. COM 337358105 4279 91036SH Sole
Firstar Corporation COM 33763V109 1669 59600SH Sole
FirstEnergy Corp. COM 337932107 654 21100SH Sole
Fleet Financial Group, Inc. COM 338915101 2460 55428SH Sole
Fleetwood Enterprise COM 339099103 278 10500SH Sole
Florida Progress Corp. COM 341109106 364 8800SH Sole
Fluor Corp. COM 343861100 275 6800SH Sole
FMC Corp. COM 302491303 198 2900SH Sole
Ford Motor Co. COM 345370100 6586 116700SH Sole
Fort James Corporation COM 347471104 754 19900SH Sole
Fortune Brands, Inc. COM 349631101 616 14900SH Sole
Foster Wheeler COM 350244109 51 3600SH Sole
FPL Group, Inc. COM 302571104 1120 20500SH Sole
Franklin Resources, Inc. COM 354613101 1088 26770SH Sole
Freeport-McMoran Copper & GOLB COM 35671D857 262 14600SH Sole
Frontier Corp. COM 35906P105 926 15700SH Sole
Fruit of the Loom Inc. A COM G3682L105 61 6300SH Sole
Gannett Co, Inc. COM 364730101 2041 28600SH Sole
Gap, Inc. COM 364760108 5219 103600SH Sole
Gateway Inc. COM 367626108 1072 18170SH Sole
General Dynamics Corp. COM 369550108 980 14300SH Sole
General Electric Co. COM 369604103 34352 304000SH Sole
General Instrument Corp COM 370120107 663 15600SH Sole
General Mills, Inc. COM 370334104 1278 15900SH Sole
General Motors Corp. COM 370442105 3861 58500SH Sole
Genuine Parts Co. COM 372460105 763 21825SH Sole
Georgia-Pacific Corp. COM 373298108 730 15400SH Sole
Gillette Co. COM 375766102 4116 100400SH Sole
Golden West Finance Corp. COM 381317106 510 5200SH Sole
Goodrich (B. F.) Co. COM 382388106 285 6700SH Sole
Goodyear Tire & Rubber Co. COM 382550101 1024 17416SH Sole
GPU, Inc. COM 36225X100 481 11400SH Sole
Grace, W. R. & Co. COM 38388F108 110 6000SH Sole
Grainger (W. W.) COM 384802104 667 12400SH Sole
Great Atlantic & Pacific Tea COM 390064103 115 3400SH Sole
Great Lakes Chemical Corp. COM 390568103 240 5200SH Sole
GTE Corp. COM 362320103 7121 94000SH Sole
Guidant Corp COM 401698105 1399 27200SH Sole
Halliburton Co. COM 406216101 1910 42200SH Sole
Harcourt General, Inc. COM 41163G101 325 6317SH Sole
Harrah's Entertainment Corp. COM 413619107 250 11400SH Sole
Harris Corp. COM 413875105 274 7000SH Sole
Hartford Finl Serv Group COM 416515104 1498 25700SH Sole
Hasbro, Inc. COM 418056107 487 17437SH Sole
HCR Manor Care, Inc. COM 404134108 238 9850SH Sole
HealthSource Rehabilitation COM 421924101 556 37200SH Sole
Heinz (H.J.) & Co. COM 423074103 1820 36300SH Sole
Helmerich & Payne, Inc. COM 423452101 324 13600SH Sole
Hercules, Inc. COM 427056106 358 9100SH Sole
Hershey Foods Corp. COM 427866108 873 14700SH Sole
Hewlett Packard Co. COM 428236103 9708 96600SH Sole
Hilton Hotels Corp. COM 432848109 328 23100SH Sole
Home Depot, Inc. COM 437076102 8768 136070SH Sole
Homestake Mining Co. COM 437614100 192 23400SH Sole
Honeywell, Inc. COM 438506107 1472 12700SH Sole
Household International Corp.COM 441815107 2157 45538SH Sole
Humana, Inc. COM 444859102 195 15100SH Sole
Huntington Bancshares COM 446150104 660 18850SH Sole
IBM Corp. COM 459200101 21779 168500SH Sole
<PAGE>
Ikon Office Solutions, Inc COM 451713101 198 13200SH Sole
Illinois Tool Works, Inc. COM 452308109 2066 25200SH Sole
IMS Health, Inc COM 449934108 894 28600SH Sole
Inco Limited COM 453258402 311 17300SH Sole
Ingersoll Rand Co. COM 456866102 973 15050SH Sole
Intel Corp. COM 458140100 18737 314900SH Sole
International Paper Co. COM 460146103 1875 37125SH Sole
Interpublic Group Of Cos., InCOM 460690100 1260 14550SH Sole
Intl Flavors & Fragrances, InCOM 459506101 577 13000SH Sole
ITT Inds, Inc. COM 450911102 297 7800SH Sole
Jefferson Pilot Corp. COM 475070108 894 13500SH Sole
Johnson & Johnson, Inc. COM 478160104 12524 127800SH Sole
Johnson Controls, Inc. COM 478366107 541 7800SH Sole
Jostens, Inc. COM 481088102 59 2800SH Sole
K Mart Corp. COM 482584109 731 44500SH Sole
Kansas City Southern Inds COM 485170104 638 10000SH Sole
Kaufman & Broad Home Corp. COM 486168107 104 4200SH Sole
Kellogg Co. COM 487836108 1208 36600SH Sole
Kerr McGee Corp. COM 492386107 397 7904SH Sole
Keycorp New COM 493267108 1298 40400SH Sole
Kimberly-Clark Corp. COM 494368103 3115 54648SH Sole
King World Productions, Inc. COM 495667107 216 6200SH Sole
KLA-Tencor Corporation COM 482480100 519 8000SH Sole
Knight-Ridder, Inc. COM 499040103 385 7000SH Sole
Kohl's Department Stores COM 500255104 1142 14800SH Sole
Kroger Co. COM 501044101 2095 75000SH Sole
Laidlaw, Inc. COM 50730K503 219 29700SH Sole
Lehman Brothers Holdings COM 524908100 672 10800SH Sole
Lifepoint Hospitals Inc. COM 53219L109 0 1SH Sole
Lilly Eli & Co. COM 532457108 7599 106100SH Sole
Limited, Inc. COM 532716107 1107 24400SH Sole
Lincoln National Corp. COM 534187109 1214 23200SH Sole
Liz Claiborne, Inc. COM 539320101 201 5500SH Sole
Lockheed Martin Corp. COM 539830109 1326 35588SH Sole
Loews Corp. COM 540424108 981 12400SH Sole
Longs Drug Stores Corp COM 543162101 118 3400SH Sole
Louisiana Pacific Corp. COM 546347105 229 9626SH Sole
Lowes Companies, Inc. COM 548661107 1904 33600SH Sole
LSI Logic Corp. COM 502161102 599 13000SH Sole
LTV Corp. COM 501921100 237 35914SH Sole
Lucent Technologies, Inc. COM 549463107 2391 35454SH Sole
Mallinckrodt, Inc. New COM 561232109 229 6300SH Sole
Marriott International, Inc. Cl. A CO571903202 843 22550SH Sole
Marsh & McLennan Cos., Inc. COM 571748102 1993 26400SH Sole
Masco Corp. COM 574599106 872 30200SH Sole
Mattel, Inc. COM 577081102 993 37543SH Sole
May Department Stores Co. COM 577778103 1462 35766SH Sole
Maytag Corporation COM 578592107 746 10700SH Sole
MBIA, Inc. COM 55262C100 596 9200SH Sole
MBNA Corp. COM 55262L100 2212 72230SH Sole
McDermott Intl, Inc. COM 580037109 263 9300SH Sole
McDonalds' Corp. COM 580135101 5073 122800SH Sole
McGraw Hill, Inc. COM 580645109 1154 21400SH Sole
MCI Worldcom, Inc. COM 55268B106 14758 171113SH Sole
McKesson HBOC Inc. COM 58155Q103 803 24992SH Sole
Mead Corp. COM 582834107 384 9200SH Sole
Mediaone Group Inc. COM 58440J104 4068 54700SH Sole
Medtronic, Inc. COM 585055106 4322 55500SH Sole
<PAGE>
Mellon Bank Corp. COM 585509102 1710 47000SH Sole
Mercantile Bancorp COM 587342106 823 14400SH Sole
Merck & Co, Inc. COM 589331107 16539 223500SH Sole
Meredith Corporation COM 589433101 159 4600SH Sole
Meridian Medical Tech Inc COM 589658103 12 1885SH Sole
Merrill Lynch & Co., Inc. COM 590188108 2670 33400SH Sole
MGIC Investment Corp. COM 552848103 744 15300SH Sole
Microcell Telecommunciations B COM 59501T304 268 34297SH Sole
Micron Technology, Inc. COM 595112103 907 22500SH Sole
Microsoft Corp. COM 594918104 43317 480300SH Sole
Milacron, Inc. COM 598709103 59 3200SH Sole
Millipore Corporation COM 601073109 158 3900SH Sole
Minnesota Mining & Mfg Co. COM 604059105 3417 39300SH Sole
Mirage Resorts Inc. COM 60462E104 298 17800SH Sole
Mobil Oil Corp. COM 607059102 7356 74300SH Sole
Monsanto Co. COM 611662107 2252 57100SH Sole
Moore Corp, Ltd COM 615785102 0 0SH Sole
Morgan J P & Co. COM 616880100 2262 16100SH Sole
Morgan Stanley Dean Witter COM 617446448 5583 54469SH Sole
Motorola, Inc. COM 620076109 5173 54600SH Sole
Nabisco Group Holdings COM 62952P102 563 28800SH Sole
Nacco Industries COM 629579103 235 3200SH Sole
Nalco Chemical Co. COM 629853102 306 5900SH Sole
National City Corp. COM 635405103 2024 30900SH Sole
National Semiconductor Corp. COM 637640103 380 15000SH Sole
National Service Industries COM 637657107 346 9600SH Sole
Navistar Int'l COM 63934E108 300 6000SH Sole
New Century Energies Inc. COM 64352U103 404 10400SH Sole
Newell Rubbermaid Inc. COM 651229106 1186 25499SH Sole
Newmont Mining Corp. COM 651639106 299 15026SH Sole
Nextel Communications Inc COM 65332V103 1345 26800SH Sole
Niagara Mohawk Holdings COM 653520106 270 16800SH Sole
Nicor, Inc. COM 654086107 312 8200SH Sole
Nike, Inc. CL-B COM 654106103 1621 25600SH Sole
Nordstrom, Inc. COM 655664100 429 12800SH Sole
Norfolk Southern Corp. COM 655844108 1027 34100SH Sole
Nortel Networks Corp. COM 656569100 5613 64660SH Sole
Northern States Power Co. COM 665772109 329 13600SH Sole
Northern Trust Corp COM 665859104 980 10100SH Sole
Northrop Grumman Corp. COM 666807102 418 6300SH Sole
Novell, Inc. COM 670006105 800 30200SH Sole
NTAP COM 64120L104 369 6600SH Sole
Nucor Corp. COM 670346105 489 10300SH Sole
NY Times Co, CL-A COM 650111107 1336 36304SH Sole
Occidental Petroleum Corp. COM 674599105 771 36500SH Sole
Occupational Health Plus RehaCOM 674617105 4 1150SH Sole
Office Depot, Inc. COM 676220106 741 33600SH Sole
Omnicom Group COM 681919106 1296 16200SH Sole
Oneok, Inc. COM 682680103 86 2700SH Sole
Oracle Corp. COM 68389X105 5088 137048SH Sole
Owens Corning COM 69073F103 165 4800SH Sole
Owens-Illinois Inc COM 690768403 458 14000SH Sole
Paccar, Inc. COM 693718108 377 7070SH Sole
Pacificorp COM 695114108 492 26800SH Sole
Paine Webber Group, Inc. COM 695629105 617 13200SH Sole
Pall Corp. COM 696429307 247 11133SH Sole
Parametric Technology Corp COM 699173100 336 24200SH Sole
Parker Hannifin Corp. COM 701094104 446 9750SH Sole
<PAGE>
Paychex Inc. COM 704326107 701 22000SH Sole
PE Corp-PE Biosystems Group COM 69332S102 539 4700SH Sole
Peco Energy Co. COM 693304107 729 17400SH Sole
Penney, J.C., Inc. COM 708160106 1156 23800SH Sole
Peoples Energy Corp. COM 711030106 124 3300SH Sole
PeopleSoft COM 712713106 373 21600SH Sole
Pep Boys - Manny, Moe & Jack COM 713278109 97 4500SH Sole
Pepsico, Inc. COM 713448108 5157 133300SH Sole
Pfizer, Inc. COM 717081103 13060 119000SH Sole
PG&E Corp COM 69331C108 1121 34500SH Sole
Pharmacia & Upjohn COM 716941109 2602 45800SH Sole
Phelps Dodge Corp. COM 717265102 328 5300SH Sole
Philip Morris Cos., Inc. COM 718154107 9307 231600SH Sole
Phillips Petroleum Co. COM 718507106 1152 22900SH Sole
Pioneer Hi Bred Intl, Inc. COM 723686101 841 21600SH Sole
Pitney Bowes, Inc. COM 724479100 1555 24200SH Sole
Placer Dome, Inc. COM 725906101 346 29291SH Sole
PNC Bank Corp. COM 693475105 1740 30200SH Sole
Polaroid Corp. COM 731095105 105 3800SH Sole
Polymedica Corp. COM 731738100 0 1SH Sole
Potlatch Corp COM 737628107 114 2600SH Sole
PP&L Resources, Inc. COM 693499105 434 14100SH Sole
PPG Industries, Inc. COM 693506107 933 15800SH Sole
Praxair, Inc. COM 74005P104 695 14200SH Sole
Procter & Gamble Co. COM 742718109 11253 126084SH Sole
Progressive Corp-Ohio COM 743315103 972 6700SH Sole
Provident Companies Inc. COM 743862104 488 12200SH Sole
Providian Financial Corp. COM 74406A102 1216 13000SH Sole
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