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 March 31, 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: 04/28/99
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: 511 number of line items
Form 13F Information Table Value Total: 1,017,542 thousands
List of Other Included Managers: None
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<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 772 33100SH Sole
Abbott Laboratories, InCOM 002824100 6975 149000SH Sole
Adobe Systems Inc COM 00724F101 488 8600SH Sole
Advanced Micro Device COM 007903107 206 13300SH Sole
Advanced Radio Telecom COM 00754U101 465 40470SH Sole
Aeroquip-Vickers Inc COM 007869100 155 2700SH Sole
AES Corporation COM 00130H105 626 16800SH Sole
Aetna Inc COM 008117103 1107 13336SH Sole
Air Products & ChemicalCOM 009158106 726 21200SH Sole
Airtouch CommunicationsCOM 00949T100 5150 53300SH Sole
Alberto Culver Co. COM 013068101 224 9600SH Sole
Albertsons, Inc. COM 013104104 1369 25200SH Sole
Alcan Aluminum Ltd. COM 013716105 541 20950SH Sole
Alcoa Inc. COM 013817101 1540 37400SH Sole
Allegheny Teledyne Inc COM 017415100 437 23092SH Sole
Allergan, Inc. COM 018490102 545 6200SH Sole
Allied Signal, Inc. COM 019512102 2543 51700SH Sole
Allmerica Securities TrCOM MF019921105 936 85115SH Sole
Allstate Corp. COM 020002101 3133 84522SH Sole
Alltel Corp. COM 020039103 1715 27500SH Sole
Alpha-Beta Technology, COM 02071K105 0 19007SH Sole
Alza Corp. COM 022615108 352 9200SH Sole
Amerada Hess Corp. COM 023551104 418 8300SH Sole
Ameren Corporation COM 023608102 460 12700SH Sole
America Online Inc COM 02364J104 13959 95610SH Sole
American Electric PowerCOM 025537101 706 17800SH Sole
American Express Co. COM 025816109 5229 44500SH Sole
American General Corp. COM 026351106 1852 26271SH Sole
American Greetings CorpCOM 026375105 320 12600SH Sole
American Home Products COM 026609107 7987 122400SH Sole
American International COM 026874107 14294 118502SH Sole
American Stores Co. COM 030096101 838 25400SH Sole
Ameritech Corp. COM 030954101 6164 106500SH Sole
Amgen, Inc. COM 031162100 3879 51800SH Sole
Amp, Inc. COM 031897101 1095 20400SH Sole
AMR Corp. COM 001765106 996 17000SH Sole
Amsouth Bancorporation COM 032165102 501 11000SH Sole
Anadarko Petroleum CorpCOM 032511107 415 11000SH Sole
Andrew Corporation COM 034425108 257 20900SH Sole
Anheuser-Busch Cos, IncCOM 035229103 3383 44400SH Sole
AON Corp. COM 037389103 1002 15850SH Sole
Apache Corp. COM 037411105 235 9000SH Sole
Apple Computer, Inc. COM 037833100 676 18800SH Sole
Applied Materials, Inc.COM 038222105 2122 34400SH Sole
Archer-Daniels Midland COM 039483102 805 54833SH Sole
Armstrong World IndustrCOM 042476101 267 5900SH Sole
ASARCO, Inc. COM 043413103 48 3500SH Sole
Ascend Communications ICOM 043491109 1690 20200SH Sole
Ashland, Inc. COM 044204105 278 6800SH Sole
Assoc First Cap Corp ClCOM 046008108 3235 71892SH Sole
AT&T Corp. COM 001957109 16198 202953SH Sole
Atlantic Richfield Co. COM 048825103 2205 30200SH Sole
Autodesk, Inc. COM 052769106 218 5400SH Sole
Automatic Data ProcessiCOM 053015103 2557 61800SH Sole
Autozone, Inc. COM 053332102 422 13900SH Sole
<PAGE>
Avery Dennison Corp. COM 053611109 621 10800SH Sole
Avon Products, Inc. COM 054303102 1139 24200SH Sole
Baker Hughes, Inc. COM 057224107 731 30070SH Sole
Ball Corp. COM 058498106 136 2900SH Sole
Baltimore Gas & ElectriCOM 059165100 471 18550SH Sole
Banc One Corp. COM 06423A103 6025 109428SH Sole
Bank of New York Co., ICOM 064057102 2537 70600SH Sole
BankAmerica Corp. COM 06605F102 11612 164421SH Sole
BankBoston Corp. COM 06605R106 1351 31200SH Sole
Bankers Trust Corp COM 066365107 785 8900SH Sole
Bard C. R., Inc. COM 067383109 247 4900SH Sole
Barrick Gold Corp. COM 067901108 587 34400SH Sole
Battle Mountain Gold CoCOM 071593107 58 21200SH Sole
Bausch & Lomb, Inc. COM 071707103 344 5300SH Sole
Baxter International, ICOM 071813109 1769 26800SH Sole
BB&T Corporation COM 054937107 1042 28800SH Sole
Bear Stearns Co. COM 073902108 560 12542SH Sole
Becton Dickinson & Co. COM 075887109 881 23000SH Sole
Bell Atlantic Corp. COM 077853109 7801 150922SH Sole
Bell South Corp. COM 079860102 7576 189100SH Sole
Bemis Company, Inc. COM 081437105 149 4800SH Sole
Bestfoods COM 08658U101 1241 26400SH Sole
Bethlehem Steel Corp. COM 087509105 98 11900SH Sole
Biomet, Inc. COM 090613100 436 10400SH Sole
Black & Decker Corp. COM 091797100 455 8200SH Sole
Block (H&R), Inc. COM 093671105 431 9100SH Sole
BMC Software, Inc. COM 055921100 749 20200SH Sole
Boeing Co. COM 097023105 2969 86990SH Sole
Boise Cascade Corp. COM 097383103 168 5200SH Sole
Boston Scientific Corp.COM 101137107 1476 36400SH Sole
BP Amoco PLC-ADR COM-AD055622104 915 9064SH Sole
Bradlees Inc COM 104499207 0 54SH Sole
Briggs & Stratton Co COM 109043109 286 5800SH Sole
Bristol-Myers Squibb CoCOM 110122108 12541 195000SH Sole
Brown-Forman Corp. COM 115637209 619 10750SH Sole
Browning Ferris IndustrCOM 115885105 563 14600SH Sole
Brunswick Corp. COM 117043109 156 8200SH Sole
Burlington North Sante COM 12189T104 1431 43517SH Sole
Burlington Resources, ICOM 122014103 654 16374SH Sole
Cabletron Systems, Inc.COM 126920107 129 15700SH Sole
Campbell Soup Co. COM 134429109 1835 45100SH Sole
Capital One Financial CCOM 14040H105 941 6233SH Sole
Cardinal Health, Inc. COM 14149Y108 1775 26900SH Sole
Carnival Corp. COM 143658102 2758 56800SH Sole
Carolina Power & Light COM 144141108 529 14000SH Sole
Case Equipment COM 14743R103 173 6800SH Sole
Caterpillar, Inc. COM 149123101 1700 37000SH Sole
CBS Corporation COM 12490K107 2677 65400SH Sole
Cendant Corporation COM 151313103 1247 79171SH Sole
Centex Corp. COM 152312104 180 5400SH Sole
Central & South West CoCOM 152357109 457 19500SH Sole
Century Telephone EnterCOM 156686107 604 8600SH Sole
Ceridian Corp. COM 15677T106 592 16200SH Sole
Champion International COM 158525105 361 8800SH Sole
Chase Manhattan Corp COM 16161A108 6605 81236SH Sole
Chevron Corp. COM 166751107 5731 64800SH Sole
Chubb Corp. COM 171232101 878 15000SH Sole
Cigna Corp. COM 125509109 1810 21600SH Sole
Cincinnati Financial CoCOM 172062101 561 15400SH Sole
Cinergy Corp. COM 172474108 404 14690SH Sole
Circuit City Stores, InCOM 172737108 720 9400SH Sole
Cisco Systems, Inc. COM 17275R102 16749 152875SH Sole
<PAGE>
Citigroup, Inc. COM 172967101 13637 213502SH Sole
Clear Channel CommunicaCOM 184502102 1650 24600SH Sole
Clorox Co. COM 189054109 1277 10900SH Sole
Coastal Corp. COM 190441105 653 19800SH Sole
Coca Cola Co. COM 191216100 14693 239400SH Sole
Coca Cola Enterprises, COM 191219104 1095 36200SH Sole
Colgate Palmolive Co. COM 194162103 2502 27200SH Sole
Columbia Gas System, InCOM 197648108 408 7800SH Sole
Columbia HCA/HealthcareCOM 197677107 1132 59750SH Sole
Comcast Corp. CL-A Spl COM 200300200 2165 34400SH Sole
Comerica, Inc. COM 200340107 1005 16100SH Sole
Compaq Computer Corp. COM 204493100 5376 169662SH Sole
Computer Associates IntCOM 204912109 2033 57162SH Sole
Computer Sciences Corp.COM 205363104 817 14800SH Sole
Compuware Corp. COM 205638109 988 41400SH Sole
Conagra, Inc. COM 205887102 1161 45400SH Sole
Conseco, Inc. COM 208464107 1019 32992SH Sole
Consolidated Edison, InCOM 209115104 988 21800SH Sole
Consolidated Natural GaCOM 209615103 428 8800SH Sole
Consolidated Stores CorCOM 210149100 303 10000SH Sole
Continental InformationCOM 211497102 2 1941SH Sole
Cooper Industries, Inc.COM 216669101 580 13600SH Sole
Cooper Tire & Rubber CoCOM 216831107 127 6900SH Sole
Coors (Adolph) CL-B C217016104 184 3400SH Sole
Corning, Inc. COM 219350105 1296 21600SH Sole
Costco Companies, Inc. COM 22160Q102 1855 20256SH Sole
Countrywide Credit Ind.COM 222372104 390 10400SH Sole
Crane Co. COM 224399105 148 6125SH Sole
Crown Cork & Seal Co., COM 228255105 317 11100SH Sole
CSX Corp. COM 126408103 781 20060SH Sole
Cummins Engine Co. COM 231021106 135 3800SH Sole
CVS Corp. COM 126650100 1914 40300SH Sole
Cypres Amax Minerals CoCOM 232809103 101 8300SH Sole
Dana Corp. COM 235811106 577 15189SH Sole
Danaher Corp COM 235851102 648 12400SH Sole
Darden Restaurants, IncCOM 237194105 262 12700SH Sole
Data General Corp. COM 237688106 46 4500SH Sole
Dayton Hudson Corp. COM 239753106 2732 41000SH Sole
Deere & Co. COM 244199105 850 22000SH Sole
Dell Computer Corp. COM 247025109 9663 236400SH Sole
Delta Air Lines Del COM 247361108 1175 16900SH Sole
Deluxe Corp. COM 248019101 402 13800SH Sole
Dillards Inc. COM 254067101 249 9800SH Sole
Dollar General Corp. COM 256669102 561 16500SH Sole
Dominion Resources, IncCOM 257470104 672 18200SH Sole
Donnelley, R. R. & SonCOM 257867101 531 16500SH Sole
Dover Corp. COM 260003108 779 23700SH Sole
Dow Chemical Co. COM 260543103 2101 22550SH Sole
Dow Jones & Co, Inc. COM 260561105 415 8800SH Sole
DTE Energy Co. COM 233331107 623 16200SH Sole
Du Pont (E.I.) De NemouCOM 263534109 6073 104600SH Sole
Duke Energy Corp. COM 264399106 1838 33645SH Sole
Dun & Bradstreet (New) COM 26483B106 541 15200SH Sole
Eastern Enterprises COM 27637F100 76 2100SH Sole
Eastman Chemical Co. COM 277432100 307 7287SH Sole
Eastman Kodak Co. COM 277461109 1932 30250SH Sole
Eaton Corp. COM 278058102 658 9200SH Sole
Ecolab, Inc. COM 278865100 426 12000SH Sole
Ecoscience Corp. COM 279218200 12 4745SH Sole
Edison Brothers Stores,COM 280875303 0 6118SH Sole
<PAGE>
Edison Internatioinal COM 281020107 941 42300SH Sole
EG&G, Inc. COM 268457108 103 3900SH Sole
Electronic Data SystemsCOM 285661104 2473 50800SH Sole
EMC Corp/Mass COM 268648102 5953 46600SH Sole
Emerson Electric Co. COM 291011104 2377 44900SH Sole
Engelhard Corp. COM 292845104 224 13200SH Sole
Enron Corp. COM 293561106 1966 30600SH Sole
Entergy Corp. New COM 29364G103 627 22800SH Sole
Equifax Inc COM 294429105 571 16600SH Sole
Exxon Corp. COM 302290101 16632 235700SH Sole
FDX Corp COM 31304N107 1285 13840SH Sole
Federal Home Loan MortgCOM 313400301 3810 66700SH Sole
Federal National MortgaCOM 313586109 6856 99000SH Sole
Federated Department StCOM 31410H101 782 19500SH Sole
Fifth Third Bancorp COM 316773100 1630 24725SH Sole
First Data Corp. COM 319963104 1757 41100SH Sole
First Union Corp. COM 337358105 4918 92036SH Sole
Firstar Corporation COM 33763V109 1933 21600SH Sole
FirstEnergy Corp. COM 337932107 612 21900SH Sole
Fleet Financial Group, COM 338915101 2127 56528SH Sole
Fleetwood Enterprise COM 339099103 166 5800SH Sole
Fluor Corp. COM 343861100 189 7000SH Sole
FMC Corp. COM 302491303 217 4400SH Sole
Ford Motor Co. COM 345370100 6776 119400SH Sole
Fort James Corporation COM 347471104 650 20500SH Sole
Fortune Brands, Inc. COM 349631101 615 15900SH Sole
Foster Wheeler COM 350244109 44 3600SH Sole
FPL Group, Inc. COM 302571104 1113 20900SH Sole
Franklin Resources, IncCOM 354613101 804 28570SH Sole
Fred Meyer IncorporatedCOM 592907109 848 14400SH Sole
Freeport-McMoran CopperB COM 35671D857 165 15200SH Sole
Frontier Corp. COM 35906P105 825 15900SH Sole
Fruit Of The Loom, Inc.COM 359416104 70 6500SH Sole
Gannett Co, Inc. COM 364730101 1783 28300SH Sole
Gap, Inc. COM 364760108 3568 53000SH Sole
Gateway 2000 Inc COM 367833100 999 14570SH Sole
General Dynamics Corp. COM 369550108 758 11800SH Sole
General Electric Co. COM 369604103 34615 312900SH Sole
General Instrument CorpCOM 370120107 467 15400SH Sole
General Mills, Inc. COM 370334104 1224 16200SH Sole
General Motors Corp. COM 370442105 5612 64600SH Sole
Genuine Parts Co. COM 372460105 479 16625SH Sole
Georgia-Pacific Corp. COM 373298108 616 8300SH Sole
Gillette Co. COM 375766102 6122 103000SH Sole
Golden West Finance CorCOM 381317106 516 5400SH Sole
Goodrich (B. F.) Co. COM 382388106 237 6900SH Sole
Goodyear Tire & Rubber COM 382550101 897 18016SH Sole
GPU, Inc. COM 36225X100 440 11800SH Sole
Grace, W. R. & Co. COM 38388F108 80 6600SH Sole
Grainger (W. W.) COM 384802104 482 11200SH Sole
Great Atlantic & PacifiCOM 390064103 102 3400SH Sole
Great Lakes Chemical CoCOM 390568103 198 5400SH Sole
GTE Corp. COM 362320103 5657 93500SH Sole
Guidant Corp COM 401698105 1694 28000SH Sole
Halliburton Co. COM 406216101 1567 40700SH Sole
Harcourt General, Inc. COM 41163G101 289 6517SH Sole
Harnischfeger IndustrieCOM 413345109 23 4100SH Sole
Harrah's Entertainment COM 413619107 221 11600SH Sole
Harris Corp. COM 413875105 206 7200SH Sole
Hartford Finl Serv GrouCOM 416515104 1449 25500SH Sole
<PAGE>
Hasbro, Inc. COM 418056107 528 18237SH Sole
HCR Manor Care, Inc. COM 404134108 229 10050SH Sole
HealthSource RehabilitaCOM 421924101 407 39200SH Sole
Heinz (H.J.) & Co. COM 423074103 1592 33600SH Sole
Helmerich & Payne, Inc.COM 423452101 313 13800SH Sole
Hercules, Inc. COM 427056106 235 9300SH Sole
Hershey Foods Corp. COM 427866108 879 15700SH Sole
Hewlett Packard Co. COM 428236103 6829 100700SH Sole
Hilton Hotels Corp. COM 432848109 339 24100SH Sole
Home Depot, Inc. COM 437076102 8626 138570SH Sole
Homestake Mining Co. COM 437614100 190 22000SH Sole
Honeywell, Inc. COM 438506107 895 11800SH Sole
Household InternationalCOM 441815107 2196 48138SH Sole
Humana, Inc. COM 444859102 264 15300SH Sole
Huntington Bancshares COM 446150104 608 19650SH Sole
IBM Corp. COM 459200101 15775 89000SH Sole
Ikon Office Solutions, COM 451713101 174 13600SH Sole
Illinois Tool Works, InCOM 452308109 1429 23100SH Sole
IMS Health, Inc COM 449934108 1113 33600SH Sole
Inco Limited COM 453258402 204 15300SH Sole
Ingersoll Rand Co. COM 456866102 757 15250SH Sole
Intel Corp. COM 458140100 19465 163400SH Sole
International Paper Co.COM 460146103 1266 30000SH Sole
Interpublic Group Of CoCOM 460690100 1016 13050SH Sole
Intl Flavors & FragrancCOM 459506101 462 12300SH Sole
ITT Inds, Inc. COM 450911102 340 9600SH Sole
Jefferson Pilot Corp. COM 475070108 772 11400SH Sole
Johnson & Johnson, Inc.COM 478160104 12367 132000SH Sole
Johnson Controls, Inc. COM 478366107 499 8000SH Sole
Jostens, Inc. COM 481088102 200 9400SH Sole
K Mart Corp. COM 482584109 765 45500SH Sole
Kaufman & Broad Home CoCOM 486168107 95 4200SH Sole
Kellogg Co. COM 487836108 1271 37600SH Sole
Kerr McGee Corp. COM 492386107 259 7904SH Sole
Keycorp New COM 493267108 1416 46700SH Sole
Kimberly-Clark Corp. COM 494368103 2414 50348SH Sole
King World Productions,COM 495667107 312 10200SH Sole
KLA-Tencor Corporation COM 482480100 398 8200SH Sole
Knight-Ridder, Inc. COM 499040103 370 7400SH Sole
Kohl's Department StoreCOM 500255104 1049 14800SH Sole
Kroger Co. COM 501044101 1431 23900SH Sole
Laidlaw, Inc. COM 50730K503 177 30500SH Sole
Lehman Brothers HoldingCOM 524908100 633 10600SH Sole
Lilly Eli & Co. COM 532457108 9226 108700SH Sole
Limited, Inc. COM 532716107 832 21000SH Sole
Lincoln National Corp. COM 534187109 939 9500SH Sole
Liz Claiborne, Inc. COM 539320101 333 10200SH Sole
Lockheed Martin Corp. COM 539830109 1371 36388SH Sole
Loews Corp. COM 540424108 895 12000SH Sole
Longs Drug Stores Corp COM 543162101 103 3400SH Sole
Louisiana Pacific Corp.COM 546347105 183 9826SH Sole
Lowes Companies, Inc. COM 548661107 1984 32800SH Sole
LSI Logic Corp. COM 502161102 405 13000SH Sole
LTV Corp. COM 501921100 193 35914SH Sole
Lucent Technologies, InCOM 549463107 13522 125492SH Sole
Mallinckrodt, Inc. New COM 561232109 173 6500SH Sole
Marriott International,Cl. A 571903202 758 22550SH Sole
Marsh & McLennan Cos., COM 571748102 1780 24000SH Sole
Masco Corp. COM 574599106 887 31400SH Sole
Mattel, Inc. COM 577081102 660 26543SH Sole
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May Department Stores CCOM 577778103 1415 36166SH Sole
Maytag Corporation COM 578592107 507 8400SH Sole
MBIA, Inc. COM 55262C100 534 9200SH Sole
MBNA Corp. COM 55262L100 1772 74230SH Sole
McDermott Intl, Inc. COM 580037109 137 5400SH Sole
McDonalds' Corp. COM 580135101 5700 125800SH Sole
McGraw Hill, Inc. COM 580645109 1003 18400SH Sole
MCI Worldcom, Inc. COM 55268B106 15402 173913SH Sole
McKesson HBOC Inc. COM 58155Q103 1702 25792SH Sole
Mead Corp. COM 582834107 289 9400SH Sole
Mediaone Group Inc. COM 58440J104 3588 56500SH Sole
Medtronic, Inc. COM 585055106 4219 58800SH Sole
Mellon Bank Corp. COM 585509102 1823 25900SH Sole
Mercantile Bancorp COM 587342106 693 14600SH Sole
Merck & Co, Inc. COM 589331107 18620 232200SH Sole
Meredith Corporation COM 589433101 151 4800SH Sole
Meridian Medical Tech ICOM 589658103 10 1885SH Sole
Merrill Lynch & Co., InCOM 590188108 3033 34300SH Sole
MGIC Investment Corp. COM 552848103 351 10000SH Sole
Microcell TelecommunciaClass 59501T304 281 34297SH Sole
Micron Technology, Inc.COM 595112103 1115 23100SH Sole
Microsoft Corp. COM 594918104 43701 487600SH Sole
Milacron, Inc. COM 598709103 54 3400SH Sole
Millipore Corporation COM 601073109 94 3900SH Sole
Minnesota Mining & Mfg COM 604059105 2915 41200SH Sole
Mirage Resorts Inc. COM 60462E104 353 16600SH Sole
Mobil Oil Corp. COM 607059102 6741 76600SH Sole
Monsanto Co. COM 611662107 2678 58300SH Sole
Moore Corp, Ltd COM 615785102 78 7900SH Sole
Morgan J P & Co. COM 616880100 2134 17300SH Sole
Morgan Stanley Dean WitCOM 617446448 5374 53769SH Sole
Morton International InCOM 619335102 408 11100SH Sole
Motorola, Inc. COM 620076109 4087 55800SH Sole
Nacco Industries COM 629579103 67 900SH Sole
Nalco Chemical Co. COM 629853102 250 9400SH Sole
National City Corp. COM 635405103 2184 32900SH Sole
National Semiconductor COM 637640103 142 15200SH Sole
National Service IndustCOM 637657107 317 9300SH Sole
Navistar Int'l COM 63934E108 249 6200SH Sole
New Century Energies InCOM 64352U103 361 10600SH Sole
Newell Co. COM 651192106 708 14900SH Sole
Newmont Mining Corp. COM 651639106 270 15426SH Sole
Nextel Communications ICOM 65332V103 974 26600SH Sole
Nicor, Inc. COM 654086107 158 4400SH Sole
Nike, Inc. CL-B COM 654106103 1511 26200SH Sole
Nordstrom, Inc. COM 655664100 540 13200SH Sole
Norfolk Southern Corp. COM 655844108 926 35100SH Sole
Northern States Power CCOM 665772109 325 14000SH Sole
Northern Telecom Ltd COM 665815106 3837 61760SH Sole
Northern Trust Corp COM 665859104 933 10500SH Sole
Northrop Grumman Corp. COM 666807102 497 8300SH Sole
Novell, Inc. COM 670006105 786 31200SH Sole
Nucor Corp. COM 670346105 357 8100SH Sole
NY Times Co, CL-A COM 650111107 1063 37304SH Sole
Occidental Petroleum CoCOM 674599105 574 31900SH Sole
Occupational Health PluCOM 674617105 4 1150SH Sole
Omnicom Group COM 681919106 1391 17400SH Sole
Oneok, Inc. COM 682680103 67 2700SH Sole
Oracle Corp. COM 68389X105 3773 143048SH Sole
<PAGE>
Owens Corning COM 69073F103 153 4800SH Sole
Owens-Illinois Inc COM 690768403 355 14200SH Sole
Paccar, Inc. COM 693718108 299 7270SH Sole
Pacificorp COM 695114108 473 27400SH Sole
Pall Corp. COM 696429307 188 11333SH Sole
Parametric Technology CCOM 699173100 486 24600SH Sole
Parker Hannifin Corp. COM 701094104 341 9950SH Sole
Paychex Inc. COM 704326107 721 15200SH Sole
Peco Energy Co. COM 693304107 962 20800SH Sole
Penney, J.C., Inc. COM 708160106 988 24400SH Sole
Peoples Energy Corp. COM 711030106 107 3300SH Sole
PeopleSoft COM 712713106 316 21600SH Sole
Pep Boys - Manny, Moe &COM 713278109 72 4700SH Sole
Pepsico, Inc. COM 713448108 5682 145000SH Sole
Perkin-Elmer CorporatioCOM 714041100 573 5900SH Sole
Pfizer, Inc. COM 717081103 17205 124000SH Sole
PG&E Corp COM 69331C108 1103 35500SH Sole
Pharmacia & Upjohn COM 716941109 2944 47200SH Sole
Phelps Dodge Corp. COM 717265102 261 5300SH Sole
Philip Morris Cos., IncCOM 718154107 8427 239500SH Sole
Phillips Petroleum Co. COM 718507106 1120 23700SH Sole
Pioneer Hi Bred Intl, ICOM 723686101 911 24200SH Sole
Pitney Bowes, Inc. COM 724479100 1619 25400SH Sole
Placer Dome, Inc. COM 725906101 256 22891SH Sole
PNC Bank Corp. COM 693475105 1750 31500SH Sole
Polaroid Corp. COM 731095105 177 8800SH Sole
Polymedica Corp. COM 731738100 0 1SH Sole
Potlatch Corp COM 737628107 88 2600SH Sole
PP&L Resources, Inc. COM 693499105 339 13700SH Sole
PPG Industries, Inc. COM 693506107 840 16400SH Sole
Praxair, Inc. COM 74005P104 527 14600SH Sole
Procter & Gamble Co. COM 742718109 12681 129484SH Sole
Progressive Corp-Ohio COM 743315103 990 6900SH Sole
Provident Companies IncCOM 743862104 429 12400SH Sole
Providian Financial CorCOM 74406A102 1452 13200SH Sole
Public Svc Enterprise GCOM 744573106 787 20600SH Sole
Pulte Corp. COM 745867101 79 3800SH Sole
Quaker Oats Co. COM 747402105 1007 16100SH Sole
Ralston Purina Co. COM 751277302 809 30300SH Sole
Raychem Corp. COM 754603108 320 14200SH Sole
Raytheon Co. Class 755111408 1835 31300SH Sole
Reebok International, ICOM 758110100 78 4900SH Sole
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Reliant Energy Inc. COM 75952J108 685 26270SH Sole
Republic New York Corp.COM 760719104 461 10000SH Sole
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Rite Aid Corp. COM 767754104 595 23800SH Sole
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Rohm & Haas Co. COM 775371107 638 19000SH Sole
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Sempra Energy COM 816851109 422 21978SH Sole
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</TABLE>
