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<PAGE>
<PAGE>
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 13F
Form 13F COVER PAGE
Report for the Calendar Year or Quarter Ended: June 30, 1999
--------------------------
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: Conning Asset Management Company
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Address: 700 Market St.
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St. Louis, Missouri 63101
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Form 13F File Number: 28-4332
----
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: Jill Kacich
---------------------------------------------
Title: Compliance Manager
---------------------------------------------
Phone: (314) 444-4306
---------------------------------------------
Signature, Place, and Date of Signing:
/s/ Jill Kacich St. Louis, Missouri 08/12/99
- ------------------------ ------------------------- ----------------
[Signature] [City, State] [Date]
Report Type (Check only one.):
[ X ] 13F HOLDINGS 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 COMBINATION 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>
<PAGE>
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 13F
Form 13F SUMMARY PAGE
Report Summary:
Number of Other Included Managers: 0
Form 13F Information Table Entry Total: 760
Form 13F Information Table Value Total: $ 2,111,957
<PAGE>
<PAGE>
<TABLE>
<CAPTION>
FORM 13F Holdings as of 06/30/1999
(SEC USE ONLY)
Page____ of ____ Name of Reporting Manager Conning Asset Management Company
------------------------------------
- -----------------------------------------------------------------------------------------------------------------------------------
Item 6: Item 8: Voting
Item 1: Item 2: Item 3: Item 4: Item 5: Investment Discretion Item 7: Authority (Shares)
---------------- --------------------- -------------------
Name of Issuer Title CUSIP Fair Shrs of SH/ Put/ (a) (b) (c) Mngrs (a) (b) (c)
of Number Market Prn Amt PRN Call Sole Shared- Shared- See Sole Shared None
Class Value As Other Instr.V
Defined
in
Instr.V
- -----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
ACM GOVERNMENT INCOME FUND COM 000912105 2,000 237,000 SH X X
AFLAC INC COM 001055102 1,589 33,200 SH X X
AES CORP COM 00130H105 1,610 27,700 SH X X
AMR CORP COM 001765106 4,208 61,655 SH X X
AT&T CORP COM 001957109 29,848 534,788 SH X X
ABBOTT LABORATORIES COM 002824100 11,297 248,416 SH X X
ACCEPTANCE INSURANCE CO COM 004308102 317 21,028 SH X X
ADOBE SYSTEMS INC COM 00724F101 1,725 21,000 SH X X
ADVANCED COMMUNICATIONS GRP COM 00751B106 119 12,000 SH X X
ADVEST GROUP COM 007566102 351 17,600 SH X X
ADVOCAT INC COM 007586100 19 10,000 SH X X
AEROFLEX COM 007768104 493 24,985 SH X X
ADVANCED MICRO DEVICES INC COM 007903107 282 15,600 SH X X
AETNA INC. COM 008117103 1,800 20,127 SH X X
AIR PRODUCTS & CHEMICALS INC COM 009158106 1,368 33,992 SH X X
AIRTOUCH COMMUNICATIONS INC COM 00949T100 333 3,096 SH X X
ALBERTO CULVER CO CL B COM 013068101 216 8,100 SH X X
ALBERTSONS INC COM 013104104 3,109 60,304 SH X X
ALCAN ALUMINUM LIMITED COM 013716105 1,052 32,940 SH X X
ALCOA INC COM 013817101 3,194 51,626 SH X X
ALIANT COMMUNICATIONS COM 016090102 2,125 46,000 SH X X
ALLEGHENY TELEDYNE INC COM 017415100 765 33,817 SH X X
ALLERGAN INC COM 018490102 1,252 11,300 SH X X
ALLIED PRODUCTS CORP COM 019411107 76 26,550 SH X X
ALLIED SIGNAL INC COM 019512102 5,373 85,282 SH X X
ALLSTATE INSURANGE COM 020002101 4,249 118,432 SH X X
ALLTEL CORP COM 020039103 3,167 44,300 SH X X
ALZA CORP COM 022615108 651 12,800 SH X X
AMERADA HESS CORP COM 023551104 851 14,300 SH X X
AMEREN CORP COM 023608102 1,598 41,651 SH X X
AMERICA ONLINE INC COM 02364J104 17,078 154,600 SH X X
AMERICAN BANKERS INSURANCE GROUP COM 024456105 212 3,894 SH X X
AMERICAN BANKNOTE CORP COM 024490104 12 37,200 SH X X
AMERICAN ELECTRIC POWER CO INC COM 025537101 1,078 28,692 SH X X
AMERICAN EXPRESS CO COM 025816109 8,863 68,111 SH X X
AMERICAN GENERAL CORP COM 026351106 7,914 104,990 SH X X
AMERICAN HOME PRODUCTS CORP COM 026609107 10,553 183,558 SH X X
AMERICAN INTERNATIONAL GROUP COM 026874107 25,633 218,940 SH X X
AMERICAN PRECISION INDUSTRIES COM 029069101 145 13,500 SH X X
AMERICAN STATES WATER CO COM 029899101 795 28,000 SH X X
AMERON INTERNATIONAL COM 030710107 384 8,700 SH X X
AMERITECH CORPORATION COM 030954101 12,007 163,358 SH X X
AMGEN INC COM 031162100 6,135 100,788 SH X X
AMPCO-PITTSBURGH CORP COM 032037103 242 18,900 SH X X
AMREP CORP COM 032159105 81 14,200 SH X X
AMSOUTH BANCORPORATION COM 032165102 515 22,200 SH X X
ANADARKO PETROLEUM CO COM 032511107 589 16,000 SH X X
TOTAL 177,273 3,095,220 SH
ANHEUSER-BUSCH COS INC COM 035229103 5,855 82,534 SH X X
AON CORP COM 037389103 1,488 36,065 SH X X
APACHE COM 037411105 678 17,391 SH X X
APPLE COMPUTER INC COM 037833100 1,014 21,900 SH X X
APPLIED MAGNETICS CORP COM 038213104 134 43,685 SH X X
APPLIED MATERIALS INC COM 038222105 5,614 75,988 SH X X
AQUARION CO COM 03838W101 1,263 36,267 SH X X
ARCHER-DANIELS-MIDLAND CO COM 039483102 1,148 74,339 SH X X
ARMSTRONG WORLD INDUSTRIES INC COM 042476101 347 6,000 SH X X
ARROW FINANCIAL CORP COM 042744102 582 22,067 SH X X
ARTRA GROUP INC COM 043147107 162 12,000 SH X X
ARVIN INDUSTRIES COM 043339100 246 6,500 SH X X
ASARCO INC COM 043413103 316 16,800 SH X X
ASHLAND INC COM 044204105 2,177 54,261 SH X X
ASSOCIATES FIRST CAPITAL CORP COM 046008108 7,162 161,703 SH X X
ATLANTA SOSNOFF CAPITAL COM 046499109 160 17,200 SH X X
ARCO COM 048825103 6,713 80,340 SH X X
AUTOMATIC DATA PROCESSING INC COM 053015103 5,302 120,492 SH X X
AUTOZONE INC COM 053332102 392 13,000 SH X X
AVERY DENNISON CORP COM 053611109 1,401 23,200 SH X X
AVIALL INC COM 05366B102 751 39,900 SH X X
AVON PRODUCTS INC COM 054303102 2,098 37,800 SH X X
BB&T CORP COM 054937107 1,537 41,900 SH X X
BP AMOCO PLC ADR COM 055622104 955 8,799 SH X X
BRE PROPERTIES INC COM 05564E106 294 11,290 SH X X
BMC SOFTWARE INC COM 055921100 2,040 37,776 SH X X
BAIRNCO CORP COM 057097107 151 20,100 SH X X
BAKER HUGHES INC COM 057224107 3,318 99,051 SH X X
BANGOR HYDRO-ELECTRIC COM 060077104 240 14,900 SH X X
BANK OF AMERCA CORP COM 060505104 24,238 330,610 SH X X
BANK OF NEW YORK COM 064057102 4,721 128,692 SH X X
BANK ONE CORP COM 06423A103 13,156 220,874 SH X X
BANKBOSTON CORP COM 06605R106 3,529 69,026 SH X X
BARD C R INC COM 067383109 215 4,500 SH X X
BARCLAYS BANK PLC ADR PFD 06738C836 251 10,000 SH X X
BARRICK GOLD CORP COM 067901108 1,004 51,800 SH X X
BATTLE MOUNTAIN GOLD CO COM 071593107 50 20,400 SH X X
BAUSCH & LOMB INC COM 071707103 933 12,200 SH X X
BAXTER INTERNATIONAL COM 071813109 6,061 99,977 SH X X
BEAR STEARNS COMPANIES INC COM 073902108 1,023 21,890 SH X X
BEAZER HOMES USA INC COM 07556Q105 445 19,200 SH X X
BECTON DICKINSON & CO COM 075887109 1,047 34,906 SH X X
BELL ATLANTIC CORP COM 077853109 18,883 288,839 SH X X
BELL INDUSTRIES INC COM 078107109 80 18,112 SH X X
BELLSOUTH CORP COM 079860102 13,307 284,426 SH X X
BEMIS CO INC COM 081437105 227 5,700 SH X X
BERKSHIRE HATHAWAY INC CL B COM 084670207 352 157 SH X X
TOTAL 143,057 2,854,558 SH
BERLITZ INTERNATIONAL COM 08520F100 379 20,600 SH X X
BEST BUY INC COM 086516101 1,485 22,000 SH X X
BESTFOODS COM 08658U101 2,179 44,012 SH X X
BETHLEHEM STEEL CORP COM 087509105 77 10,000 SH X X
BIOMET INC COM 090613100 705 17,748 SH X X
BLACK & DECKER COM 091797100 947 15,000 SH X X
EW BLANCH HOLDINGS INC COM 093210102 2,080 30,500 SH X X
H & R BLOCK INC COM 093671105 740 14,800 SH X X
BLUEGREEN CORP COM 096231105 213 39,648 SH X X
BOEING COMPANY COM 097023105 7,799 176,571 SH X X
BOISE CASCADE CORP COM 097383103 474 11,066 SH X X
BOSTON SCIENTIFIC CORP COM 101137107 2,382 54,206 SH X X
BRIGGS & STRATTON COM 109043109 214 3,700 SH X X
BRISTOL-MYERS SQUIBB CO COM 110122108 26,193 371,858 SH X X
BROOKE GROUP LTD COM 112525100 856 36,600 SH X X
BROWN-FORMAN CORP 'B' COM 115637209 548 8,400 SH X X
BROWN SHOE COMPANY INC COM 115736100 959 44,100 SH X X
BROWNING-FERRIS INDUSTRIES INC COM 115885105 1,015 23,600 SH X X
BRUNSWICK CORP COM 117043109 452 16,200 SH X X
BURLINGTON NORTHERN SANTA FE COM 12189T104 2,176 70,197 SH X X
BURLINGTON RESOURCES COM 122014103 1,093 25,261 SH X X
BUSH INDUSTRIES COM 123164105 320 19,250 SH X X
CBS CORP COM 12490K107 4,213 96,978 SH X X
CIGNA CORP COM 125509109 2,731 30,681 SH X X
CKE RESTAURANTS INC COM 12561E105 1,221 75,150 SH X X
CMS ENERGY CORP COM 125896100 440 10,500 SH X X
CSG SYSTEMS INTERNATIONAL COM 126349109 3,245 123,900 SH X X
CSX CORP COM 126408103 1,382 30,503 SH X X
CTS CORP COM 126501105 2,433 34,752 SH X X
CVS CORP COM 126650100 2,774 54,669 SH X X
CABLETRON SYSTEMS COM 126920107 235 18,100 SH X X
CALIFORNIA WATER SERVICE GRP COM 130788102 355 13,600 SH X X
CAMBREX CORP COM 132011107 213 8,132 SH X X
CAMPBELL SOUP CO COM 134429109 3,338 71,986 SH X X
CAPITAL ONE FINANCIAL CORP COM 14040H105 1,470 26,400 SH X X
CARDINAL HEALTH INC COM 14149Y108 2,527 39,407 SH X X
CARNIVAL CRUISE LINES CL A COM 143658102 4,142 85,400 SH X X
CAROLINA POWER & LIGHT CO COM 144141108 912 21,300 SH X X
CASCADE NATURAL GAS CORP COM 147339105 348 18,300 SH X X
CASE CORP COM 14743R103 481 10,000 SH X X
CATERPILLAR INC COM 149123101 4,373 72,882 SH X X
CAVALIER HOMES INC COM 149507105 179 21,812 SH X X
CENDANT CORP COM 151313103 2,300 112,198 SH X X
CENTRAL & SOUTH WEST CORP COM 152357109 785 33,584 SH X X
CENTRAL VERMONT PUB SERV COM 155771108 309 24,100 SH X X
CENTURY TEL INC COM 156700106 612 15,400 SH X X
CERIDIAN CORP COM 15677T106 530 16,200 SH X X
TOTAL 94,831 2,141,251 SH
CHAMPION INTERNATIONAL COM 158525105 651 13,600 SH X X
CHART HOUSE ENTERPRISES COM 160902102 116 15,600 SH X X
CHART INDUSTRIES COM 16115Q100 340 43,225 SH X X
CHASE INDUSTRIES INC COM 161568100 253 30,000 SH X X
CHASE MANHATTAN CORP COM 16161A108 20,855 240,841 SH X X
CHEVRON CORP COM 166751107 10,415 109,449 SH X X
CHIC BY HIS INC COM 167113109 49 19,000 SH X X
CHOCK FULL O NUTS CO COM 170268106 218 20,914 SH X X
CHUBB CORP COM 171232101 1,646 23,686 SH X X
CHYRON CORP COM 171605207 88 52,100 SH X X
CINCINNATI FINANCIAL CORP COM 172062101 878 23,387 SH X X
CINERGY CORP COM 172474108 780 24,377 SH X X
CIRCUIT CITY STORES INC COM 172737108 4,985 53,600 SH X X
CISCO SYSTEMS INC COM 17275R102 38,390 596,805 SH X X
CITIGROUP INC. COM 172967101 31,198 656,791 SH X X
CLARK/BARDES HOLDINGS INC COM 180668105 10,556 555,600 SH X X
CLEAR CHANNEL COMMUNICATIONS COM 184502102 2,999 43,500 SH X X
CLOROX CO COM 189054109 1,647 15,422 SH X X
COACHMEN INDUSTRIES INC COM 189873102 744 32,000 SH X X
COASTAL CORP COM 190441105 1,305 32,590 SH X X
COASTCAST COM 19057T108 226 17,700 SH X X
COCA COLA COM 191216100 28,861 462,657 SH X X
COCA-COLA ENTERPRISES COM 191219104 1,788 60,100 SH X X
COLE NATIONAL CORP COM 193290103 153 19,300 SH X X
KENNETH COLE PRODUCTIONS-A COM 193294105 761 27,300 SH X X
COLGATE PALMOLIVE COM 194162103 5,890 59,701 SH X X
COLUMBIA ENERGY GROUP COM 197648108 692 11,042 SH X X
COLUMBIA HCA/HEALTHCARE COM 197677107 1,777 77,918 SH X X
COMCAST CORP COM 200300200 7,184 186,912 SH X X
COMERICA INC COM 200340107 1,396 23,494 SH X X
COMMERCE BANCORP INC/NJ COM 200519106 279 6,525 SH X X
COMPAQ COMPUTER CORP COM 204493100 8,190 345,746 SH X X
COMPUTER ASSOCIATES INTL INC COM 204912109 4,864 88,527 SH X X
COMPUTER SCIENCES COM 205363104 1,625 23,492 SH X X
COMPUTER TASK GROUP INC COM 205477102 741 43,600 SH X X
COMPUWARE CORP COM 205638109 1,600 50,300 SH X X
CONAGRA INC COM 205887102 3,058 114,847 SH X X
CONECTIV INC COM 206829103 293 12,000 SH X X
CONSECO INC COM 208464107 1,727 56,747 SH X X
CONSOLIDATED EDISON INC COM 209115104 1,529 33,791 SH X X
CONSOLIDATED NATURAL GAS CO COM 209615103 782 12,871 SH X X
CONSOLIDATED STORES CORPORATION COM 210149100 276 10,225 SH X X
CONSTELLATION ENERGY GROUP INC COM 210371100 670 22,600 SH X X
CONTINENTAL AIRLINES COM 210795209 996 26,200 SH X X
CONVERSE INC COM 212540108 117 32,400 SH X X
COOKER RESTAURANT CORP COM 216284208 78 14,000 SH X X
COOPER COMPANIES INC COM 216648402 653 26,200 SH X X
TOTAL 204,324 4,468,682 SH
COOPER INDUSTRIES INC COM 216669101 854 16,428 SH X X
COOPER TIRE & RUBBER COM 216831107 250 10,600 SH X X
CORNING INC COM 219350105 2,314 32,992 SH X X
CORRPRO COMPANIES INC COM 220317101 164 19,000 SH X X
COSTCO COMPANIES INC COM 22160Q102 7,642 95,457 SH X X
COUNTRYWIDE CREDIT COM 222372104 581 13,600 SH X X
COX COMMUNICATIONS INC COM 224044107 810 22,000 SH X X
CRANE CO COM 224399105 432 13,750 SH X X
CROMPTON & KNOWLES CORP COM 227111101 239 12,200 SH X X
CROSS TIMBERS ROYALTY TRUST COM 22757R109 115 11,400 SH X X
CROWN CORK & SEAL COM 228255105 932 32,700 SH X X
CROWN CRAFTS INC COM 228309100 72 16,400 SH X X
CUMMINS ENGINE COM 231021106 314 5,500 SH X X
CYPRUS AMAX MINERALS CO COM 232809103 192 12,632 SH X X
DTE ENERGY CO COM 233331107 935 23,300 SH X X
DVI COM 233343102 241 14,100 SH X X
DALLAS SEMICONDUCTOR CORP COM 235204104 447 8,834 SH X X
DANA CORP COM 235811106 1,482 32,167 SH X X
DANAHER CORPORATION COM 235851102 994 17,101 SH X X
DANIEL INDUSTRIES COM 236235107 549 25,700 SH X X
DARDEN RESTAURANTS INC COM 237194105 262 12,000 SH X X
DAYTON-HUDSON CORP COM 239753106 4,133 63,588 SH X X
DEERE & CO COM 244199105 1,375 34,742 SH X X
DELL COMPUTERS COM 247025109 15,015 405,820 SH X X
DELPHI AUTOMOTIVE SYSTEMS COM 247126105 1,782 96,054 SH X X
DELTA AIR LINES INC COM 247361108 1,267 21,992 SH X X
DELUXE CORP COM 248019101 626 16,100 SH X X
DIAMOND OFFSHORE DRILLING INC COM 25271C102 3,709 130,720 SH X X
DILLARD'S INC COM 254067101 404 11,500 SH X X
THE WALT DISNEY COMPANY COM 254687106 12,400 402,437 SH X X
DOLLAR GENERAL COM 256669102 736 25,393 SH X X
DOMINION RESOURCES INC COM 257470104 1,447 33,400 SH X X
R R DONNELLEY & SONS CO COM 257867101 788 21,272 SH X X
DOVER CORP COM 260003108 1,106 31,590 SH X X
DOW CHEMICAL COM 260543103 4,114 32,429 SH X X
DOW JONES & CO COM 260561105 732 13,792 SH X X
DUPONT (E.I.) DE NEMOURS COM 263534109 12,617 184,701 SH X X
DUFF & PHELPS UTILITIES COM 264324104 1,063 100,000 SH X X
DUFF & PHELPS CREDIT RATING COM 26432F109 803 12,000 SH X X
DUKE ENERGY CORP COM 264399106 3,902 71,737 SH X X
DUN & BRADSTREET CORP (NEW) COM 26483B106 987 27,863 SH X X
DYCOM INDUSTRIES INC COM 267475101 1,641 29,300 SH X X
DYERSBURG CORP COM 267575108 34 27,200 SH X X
ECC INTERNATIONAL COM 268255106 42 10,725 SH X X
E4L INC COM 268452109 204 28,400 SH X X
EMC CORP/MASS COM 268648102 10,201 185,468 SH X X
ESCO ELECTRONICS CORP COM 269030201 278 21,700 SH X X
TOTAL 101,228 2,487,784 SH
E'TOWN CORPORATION COM 269242103 375 8,200 SH X X
E*TRADE GROUP INC COM 269246104 775 19,400 SH X X
EARTHGRAIN COMPANY COM 270319106 272 10,534 SH X X
EASTERN ENTERPRISES COM 27637F100 239 6,000 SH X X
EASTMAN CHEMICAL COM 277432100 657 12,704 SH X X
EASTMAN KODAK CO COM 277461109 4,691 69,245 SH X X
EATON CORP COM 278058102 918 9,982 SH X X
ECOLAB, INC COM 278865100 2,517 57,700 SH X X
EDISON INTERNATIONAL COM 281020107 1,439 53,787 SH X X
EDO CORP COM 281347104 78 10,700 SH X X
AG EDWARDS INC COM 281760108 258 8,000 SH X X
EKCO GROUP INC COM 282636109 120 31,900 SH X X
EL PASO ENERGY CORP COM 283905107 293 8,334 SH X X
ELCOR CORP COM 284443108 1,195 27,350 SH X X
ELECTRONIC DATA SYSTEMS CORP COM 285661104 4,214 74,500 SH X X
EMERSON ELECTRIC CO COM 291011104 4,193 66,686 SH X X
ENGELHARD CORP COM 292845104 273 12,050 SH X X
ENRON CORP COM 293561106 4,970 60,791 SH X X
ENTERGY CORP COM 29364G103 1,162 37,186 SH X X
EQUIFAX INC COM 294429105 885 24,790 SH X X
EQUITABLE COMPANIES INC COM 29444G107 1,915 28,588 SH X X
ESTERLINE TECHNOLOGIES CORP COM 297425100 395 27,500 SH X X
ETHAN ALLEN INTERIORS COM 297602104 361 9,556 SH X X
EXPEDITORS INTERNATIONAL WASH INC COM 302130109 412 15,118 SH X X
EXPRESS SCRIPTS INC-CL A COM 302182100 383 6,370 SH X X
EXXON CORP COM 302290101 29,372 380,832 SH X X
FMC CORP COM 302491303 218 3,195 SH X X
FPL GROUP INC COM 302571104 3,404 62,324 SH X X
FAIRCHILD CORP COM 303698104 531 41,674 SH X X
FAMILY DOLLAR STORES COM 307000109 1,938 80,750 SH X X
FDX HOLDING CORP COM 31304N107 4,312 79,480 SH X X
FHLMC COM 313400301 9,777 168,573 SH X X
FEDERAL NATIONAL MORTGAGE ASSN COM 313586109 12,314 180,166 SH X X
FEDERATED DEPARTMENT STORES COM 31410H101 1,712 32,344 SH X X
FIDELITY NATIONAL FINANCIAL INC COM 316326107 855 40,693 SH X X
FIFTH THIRD BANC COM 316773100 2,495 37,479 SH X X
FIRST DATA CORP COM 319963104 3,807 77,786 SH X X
FIRST REPUBLIC BANK COM 336158100 456 15,760 SH X X
FIRST UNION CORP (NC) COM 337358105 7,899 167,949 SH X X
FIRSTAR CORPORATION COM 33763V109 3,052 109,000 SH X X
FIRSTFED FINANCIAL COM 337907109 837 43,500 SH X X
FIRSTMERIT CORPORATION COM 337915102 228 8,141 SH X X
FIRSTENERGY CORP COM 337932107 1,041 33,587 SH X X
FLEET FINANCIAL GROUP INC COM 338915101 5,801 130,730 SH X X
FLORIDA PROGRESS CORP COM 341109106 289 7,000 SH X X
FLUOR CORP COM 343861100 539 13,300 SH X X
FOODMAKER INC COM 344839204 2,361 83,206 SH X X
TOTAL 126,228 2,494,440 SH
FORD MOTOR COMPANY COM 345370100 12,169 215,612 SH X X
FORT JAMES CORP COM 347471104 1,655 43,685 SH X X
FORTUNE BRANDS INC COM 349631101 1,221 29,501 SH X X
FOSTER WHEELER CORP COM 350244109 779 55,400 SH X X
FRANKLIN RESOURCES INC COM 354613101 1,467 36,100 SH X X
FREEPORT MCMORAN PFD 35671D501 196 10,500 SH X X
FREEPORT MCMORAN COM 35671D857 307 17,100 SH X X
FRONTIER CORP COM 35906P105 1,603 27,200 SH X X
FRONTIER OIL CORP COM 35914P105 360 52,900 SH X X
FURNITURE BRANDS INTERNATIONAL COM 360921100 236 8,475 SH X X
FURON CO COM 361106107 680 35,800 SH X X
GATX CORP COM 361448103 1,256 33,000 SH X X
GRC INTERNATIONAL COM 361922107 149 17,500 SH X X
GPU INC COM 36225X100 1,211 28,700 SH X X
GTE CORP COM 362320103 11,842 156,420 SH X X
GALEY & LORD INC COM 36352K103 99 22,600 SH X X
GANNETT CO INC COM 364730101 2,846 39,870 SH X X
GAP INC COM 364760108 6,203 123,143 SH X X
GATEWAY INC COM 367626108 1,366 23,150 SH X X
GENERAL DYNAMICS CORP COM 369550108 1,096 16,000 SH X X
GENERAL ELECTRIC CO COM 369604103 62,543 553,478 SH X X
GENERAL INSTRUMENT CORP COM 370120107 1,313 30,900 SH X X
GENERAL MILLS INC COM 370334104 1,856 23,095 SH X X
GENERAL MOTORS CORP COM 370442105 7,472 113,205 SH X X
GENESCO INC COM 371532102 706 48,500 SH X X
GENRAD INC COM 372447102 822 39,500 SH X X
GENUINE PARTS CO COM 372460105 925 26,425 SH X X
GEORGIA-PACIFIC CORP COM 373298108 1,511 31,900 SH X X
GETTY REALTY CORP COM 374297109 355 24,700 SH X X
GIANT INDUSTRIES COM 374508109 231 23,200 SH X X
GILLETTE COMPANY COM 375766102 7,242 176,635 SH X X
GLEASON CORP COM 377339106 372 22,100 SH X X
GLENBOROUGH REALTY TRUST COM 37803P105 438 25,000 SH X X
GOLDEN WEST FINANCIAL COM 381317106 1,080 11,022 SH X X
B F GOODRICH COM 382388106 604 14,200 SH X X
GOODYEAR TIRE & RUBBER CO COM 382550101 1,889 32,118 SH X X
GOTTSCHALKS INC COM 383485109 107 11,700 SH X X
GRAHAM FIELD HEALTH PRODUCTS COM 384632105 38 25,230 SH X X
W W GRAINGER INC COM 384802104 721 13,406 SH X X
GREAT LAKES CHEMICAL COM 390568103 469 10,192 SH X X
GRUBB & ELLIS CO COM 400095204 83 16,600 SH X X
GUIDANT CORP COM 401698105 2,190 42,600 SH X X
HCR MANOR CARE COM 404134108 227 9,400 SH X X
HS RESOURCES INC COM 404297103 373 25,300 SH X X
HALLIBURTON CO COM 406216101 5,647 124,792 SH X X
JOHN Q HAMMONS HOTELS COM 408623106 52 12,300 SH X X
HARCOURT GENERAL INC COM 41163G101 663 12,858 SH X X
TOTAL 146,669 2,493,011 SH
HARRAHS ENTERTAINMENT INC COM 413619107 244 11,100 SH X X
HARRIS CORP COM 413875105 384 9,800 SH X X
HARTFORD FINANCIAL SERVICES GROUP COM 416515104 2,405 41,248 SH X X
HASBRO INC COM 418056107 819 29,300 SH X X
HAWAIIAN ELECTRIC COM 419870100 685 19,300 SH X X
HEALTHSOUTH CORP COM 421924101 988 66,153 SH X X
H J HEINZ CO COM 423074103 3,789 75,595 SH X X
HERCULES INC COM 427056106 540 13,744 SH X X
HERSHEY FOODS CORP COM 427866108 2,106 35,463 SH X X
HERTZ CORP COM 428040109 1,965 31,700 SH X X
HEWLETT-PACKARD CO COM 428236103 14,981 149,068 SH X X
HEXCEL CORP COM 428291108 147 14,517 SH X X
HILB. ROGAL & HAMILTON CO COM 431294107 703 31,400 SH X X
HILTON HOTELS CORP COM 432848109 509 35,900 SH X X
HOME DEPOT COM 437076102 15,294 237,354 SH X X
HOMESTAKE MINING CO COM 437614100 293 35,769 SH X X
HONEYWELL INC COM 438506107 5,169 44,609 SH X X
HORMEL FOODS CORP COM 440452100 403 10,000 SH X X
HOUSEHOLD INTERNATIONAL INC COM 441815107 3,198 67,506 SH X X
HUGHES SUPPLY INC COM 444482103 638 21,497 SH X X
HUMANA INC COM 444859102 257 19,900 SH X X
HUNTCO INC COM 445661101 31 10,300 SH X X
HUNTINGTON BANCSHARES COM 446150104 1,042 29,778 SH X X
IDEC PHARMACEUTICALS CORP COM 449370105 447 5,800 SH X X
IMS HEALTH INC COM 449934108 1,416 45,300 SH X X
ITT EDUCATIONAL SERVICES INC COM 45068B109 1,466 56,250 SH X X
ITT INDUSTRIES INC COM 450911102 576 15,121 SH X X
IDEX CORP COM 45167R104 789 24,000 SH X X
IKON OFFICE SOLUTIONS INC COM 451713101 213 14,200 SH X X
ILLINOIS TOOL WORKS INC COM 452308109 5,392 65,781 SH X X
IMMUNEX CORP COM 452528102 2,804 22,000 SH X X
INCO LTD COM 453258402 342 19,000 SH X X
INGERSOLL-RAND CO COM 456866102 1,570 24,295 SH X X
INGLES MARKETS INC CLASS A COM 457030104 1,374 90,090 SH X X
INPUT/OUTPUT INC COM 457652105 794 105,006 SH X X
INSTEEL INDUSTRIES COM 45774W108 162 18,000 SH X X
INTEL CORP COM 458140100 34,955 587,478 SH X X
INTELLICALL INC COM 45815C103 17 13,515 SH X X
INTERMEDIA COMMUNICATIONS INC COM 458801107 210 7,000 SH X X
INTERNATIONAL ALUMINUM CORP COM 458884103 256 9,300 SH X X
INTL BUSINESS MACHINES CORP COM 459200101 46,787 361,988 SH X X
INTERNATIONAL FLAVORS & FRAGRANCES COM 459506101 1,641 37,213 SH X X
INTERNATIONAL PAPER COM 460146103 4,085 81,030 SH X X
INTERNATIONAL SHIPHOLDING COM 460321201 184 12,825 SH X X
INTERPUBLIC GROUP CO COM 460690100 1,683 19,431 SH X X
INTERTAN INC COM 461120107 422 20,600 SH X X
IT GROUP INC COM 465266104 294 18,321 SH X X
TOTAL 164,472 2,714,546 SH
JACKPOT ENTERPRISES COM 466392107 153 18,019 SH X X
JEFFERSON PILOT CORP COM 475070108 1,013 15,300 SH X X
JO-ANN STORES, INC-CL A COM 47758P109 302 20,100 SH X X
JOHNSON & JOHNSON COM 478160104 19,804 202,078 SH X X
JOHNSON CONTROLS INC COM 478366107 1,151 16,600 SH X X
JOHNSON INDUSTRIES INC COM 479368102 44 20,500 SH X X
KLA-TENCOR CORP COM 482480100 777 11,981 SH X X
K MART CORP COM 482584109 1,177 71,554 SH X X
KANEB SERVICES COM 484170105 274 64,400 SH X X
KANSAS CITY SOUTHERN INDS COM 485170104 2,718 42,600 SH X X
KATY INDS INC COM 486026107 246 18,900 SH X X
KELLOGG CO COM 487836108 2,840 86,046 SH X X
KERR-MCGEE CORP COM 492386107 549 10,937 SH X X
KEYCORP COM 493267108 3,295 102,556 SH X X
KEYSTONE CONSOLIDATED INDUSTRIES COM 493422109 70 10,500 SH X X
KIMBERLY-CLARK CORP COM 494368103 6,227 109,241 SH X X
KING WORLD PRODUCTIONS COM 495667107 317 9,100 SH X X
KMART FING I TR CONV PFD SECS PFD 498778208 315 5,100 SH X X
KNIGHT RIDDER INC COM 499040103 841 15,300 SH X X
KOHL'S CORP (WISCONSIN) COM 500255104 1,659 21,500 SH X X
KOLLMORGEN CORP COM 500440102 285 19,000 SH X X
PHILIPS ELECTRONICS COM 500472204 1,800 17,848 SH X X
KROGER CO COM 501044101 3,489 124,900 SH X X
LASMO PLC SERIES A PFD 501730303 990 40,000 SH X X
LG&E ENERGY CORP COM 501917108 456 21,710 SH X X
LSB INDUSTRIES INC COM 502160104 21 13,800 SH X X
LSI LOGIC CORP COM 502161102 895 19,400 SH X X
LAIDLAW INC CL B COM 50730K503 227 30,800 SH X X
LAMSON & SESSIONS CO COM 513696104 108 18,000 SH X X
LEHMAN BROTHERS HOLDING INC COM 524908100 1,077 17,300 SH X X
LENNAR CORP COM 526057104 742 30,905 SH X X
LEXINGTON CORPORATE PPTYS TR COM 529043101 639 55,000 SH X X
LEXMARK INTERNATIONAL GROUP COM 529771107 264 4,000 SH X X
ELI LILLY & CO COM 532457108 14,847 207,285 SH X X
LIMITED INC COM 532716107 1,460 32,186 SH X X
LINCOLN NATIONAL CORP COM 534187109 2,209 42,226 SH X X
LIZ CLAIBORNE INC COM 539320101 763 20,900 SH X X
LOCKHEED MARTIN CORP COM 539830109 2,162 58,040 SH X X
LOEWS CORP COM 540424108 1,261 15,940 SH X X
LOUISIANA PACIFIC CORP COM 546347105 486 20,428 SH X X
LOWES COMPANIES INC COM 548661107 2,922 51,542 SH X X
LUCENT TECHNOLOGIES COM 549463107 33,015 489,565 SH X X
MBIA INC COM 55262C100 783 12,100 SH X X
MBNA CORP COM 55262L100 4,639 151,478 SH X X
MDC HOLINGS INC COM 552676108 847 39,400 SH X X
MCI WORLDCOM INC COM 55268B106 30,449 353,798 SH X X
MFS CHARTER INCOME TRUST COM 552727109 178 20,000 SH X X
TOTAL 150,782 2,799,863 SH
MGIC INVESTMENT CORP COM 552848103 676 13,900 SH X X
M/I SCHOTTENSTEIN HOMES INC COM 55305B101 339 18,400 SH X X
MMI COMPANIES INC. COM 553087107 310 18,383 SH X X
MACDERCID INC COM 554273102 296 6,372 SH X X
MALLINCKRODT INC COM 561232109 298 8,200 SH X X
MARSH & MCLENNAN COS INC COM 571748102 2,816 37,292 SH X X
MARRIOTT INTERNATIONAL-CL A COM 571903202 1,389 37,168 SH X X
MASCO CORP COM 574599106 1,322 45,784 SH X X
MATLACK SYSTEMS INC COM 576901102 89 16,900 SH X X
MATTEL INC COM 577081102 1,556 58,903 SH X X
MAXIM INTEGRATED PRODUCTS COM 57772K101 665 10,000 SH X X
MAY DEPARTMENT STORES CO COM 577778103 4,674 114,344 SH X X
MAXXIM MEDICAL INC COM 57777G105 410 17,600 SH X X
MAYTAG CORP COM 578592107 892 12,800 SH X X
MCDERMOTT INTL INC COM 580037109 678 24,000 SH X X
MCDONALDS CORP COM 580135101 8,642 209,306 SH X X
MCGRAW-HILL INC COM 580645109 3,474 64,400 SH X X
MCKESSON HBOC INC COM 58155Q103 1,686 52,466 SH X X
MEAD CORP COM 582834107 501 12,000 SH X X
MEDALLION FINANCIAL COM 583928106 591 31,000 SH X X
MEDIAONE GROUP INC COM 58440J104 6,422 86,345 SH X X
MEDTRONIC INC COM 585055106 6,807 87,411 SH X X
MELLON BANK CORP COM 585509102 3,964 108,984 SH X X
MERCANTILE BANCORPORATION INC COM 587342106 1,333 23,340 SH X X
MERCK & CO INC COM 589331107 31,225 422,258 SH X X
MERRILL LYNCH & CO COM 590188108 6,777 84,990 SH X X
MESTEK INC COM 590829107 409 18,600 SH X X
METHANEX CORP COM 59151K108 94 25,000 SH X X
MICROSOFT CORP COM 594918104 68,041 754,448 SH X X
MICRON TECHNOLOGY INC COM 595112103 1,443 35,787 SH X X
MIDAS INC COM 595626102 363 12,800 SH X X
MILACRON INC COM 598709103 585 31,600 SH X X
MINNESOTA MINING & MFG CO COM 604059105 7,125 81,957 SH X X
MIRAGE RESORTS INC COM 60462E104 1,494 89,200 SH X X
MOBIL CORP COM 607059102 14,840 149,975 SH X X
MOLECULAR BIOSYSTEMS COM 608513107 57 23,300 SH X X
MONSANTO COM 611662107 6,030 152,832 SH X X
J P MORGAN & CO INC COM 616880100 4,403 31,335 SH X X
MORGAN PRODUCTS COM 617439104 47 12,300 SH X X
MORGAN STANLEY,DEAN WITTER & CO COM 617446448 8,392 81,869 SH X X
MORTONS RESTAURANT GROUP COM 619429103 255 13,400 SH X X
MOTOROLA INC COM 620076109 8,857 93,482 SH X X
NS GROUP INC COM 628916108 248 26,800 SH X X
NUI CORP COM 629430109 475 19,000 SH X X
NABISCO GROUP HOLDINGS COM 62952P102 1,078 55,100 SH X X
NALCO CHEMICALS COM 629853102 244 4,700 SH X X
NASHUA CORP COM 631226107 127 12,900 SH X X
TOTAL 212,443 3,348,931 SH
NATIONAL CITY CORP. COM 635405103 2,888 44,094 SH X X
NATIONAL DISCOUNT BROKERS GROUP COM 635646102 1,525 26,300 SH X X
NATIONAL SEMICONDUCTOR CORP COM 637640103 329 13,000 SH X X
NAVISTAR INTERNATIONAL COM 63934E108 435 8,700 SH X X
NETWORK APPLIANCE INC COM 64120L104 285 5,100 SH X X
NEW CENTURY ENERGIES INC COM 64352U103 893 23,000 SH X X
NEW PLAN EXCEL REALITY TRUST COM 648053106 270 15,000 SH X X
NEW YORK TIMES CO COM 650111107 1,071 29,090 SH X X
NEWELL RUBBERMAID INC. COM 651229106 1,920 41,301 SH X X
NEWMONT MINING CORP COM 651639106 602 30,276 SH X X
NEXTEL COMMUNIATIONS INC-A COM 65332V103 2,258 44,990 SH X X
NIAGARA MOHAWK HOLDINGS INC COM 653520106 289 18,000 SH X X
NIKE INC CLASS B COM 654106103 3,795 59,921 SH X X
NISOURCE INC COM 65473P105 372 14,414 SH X X
NORD RESOURCES CORP COM 655555100 16 29,100 SH X X
NORDSTROM INC COM 655664100 603 18,000 SH X X
NORFOLK SOUTHERN CORP COM 655844108 1,589 52,738 SH X X
NORTEK COM 656559101 833 26,600 SH X X
NORTEL NETWORKS CORP COM 656569100 8,310 95,729 SH X X
NORTH CAROLINA NATURAL GAS COM 658221106 673 19,750 SH X X
NORTHERN STATES POWER COM 665772109 370 15,300 SH X X
NORTHERN TRUST CORPORATION COM 665859104 1,533 15,800 SH X X
NORTHROP CORP COM 666807102 584 8,800 SH X X
NOVELL INC COM 670006105 1,232 46,500 SH X X
NOVELLUS SYSTEMS INC COM 670008101 244 3,582 SH X X
NUCOR CORP COM 670346105 650 13,700 SH X X
OEC MEDICAL SYSTEMS COM 670828102 639 26,100 SH X X
OCCIDENTAL PETROLEUM CORP COM 674599105 1,104 52,243 SH X X
OFFICE DEPOT INC COM 676220106 871 39,500 SH X X
OIL-DRI CORP COM 677864100 232 14,500 SH X X
OMNICOM GROUP COM 681919106 1,928 24,100 SH X X
ONEIDA LTD COM 682505102 976 34,719 SH X X
ORACLE CORP COM 68389X105 12,680 341,538 SH X X
ORANGE CO COM 684177108 107 19,700 SH X X
ORIENTAL FINANCIAL GROUP COM 68618W100 663 27,500 SH X X
O'SULLIVAN CORP COM 688605104 400 32,800 SH X X
O'SULLIVAN INDUSTRIES COM 688609106 587 34,500 SH X X
OWENS CORNING COM 69073F103 722 21,000 SH X X
OWENS-ILLINOIS INC COM 690768403 742 22,690 SH X X
PECO ENERGY CO COM 693304107 1,721 41,100 SH X X
PG&E CORP COM 69331C108 1,800 55,400 SH X X
PE CORP. - PE BIOSYSTEMS GROUP COM 69332S102 907 7,900 SH X X
PNC FINANCIAL CORP COM 693475105 2,645 45,901 SH X X
P P & L RESOURCES INC COM 693499105 519 16,884 SH X X
PPG INDUSTRIES INC COM 693506107 1,512 25,600 SH X X
PS GROUP HOLDINGS INC COM 693622102 126 11,500 SH X X
PACCAR INC COM 693718108 819 15,348 SH X X
TOTAL 65,269 1,629,307 SH
PACIFICORP COM 695114108 744 40,484 SH X X
PAINE WEBBER GROUP INC COM 695629105 669 14,300 SH X X
PALL CORP COM 696429307 437 19,684 SH X X
PAR TECHNOLOGY COM 698884103 110 14,900 SH X X
PARAMETRIC TECHNOLOGY CORP COM 699173100 458 33,022 SH X X
PARKER HANNIFIN CORP COM 701094104 583 12,738 SH X X
PAYCHEX INC COM 704326107 1,764 55,350 SH X X
J. C. PENNEY CO COM 708160106 1,840 37,892 SH X X
PEOPLES ENERGY CORP COM 711030106 290 7,700 SH X X
PEOPLESOFT INC COM 712713106 547 31,700 SH X X
PEPSICO INC COM 713448108 12,951 334,752 SH X X
PHARMACIA-UPJOHN INC COM 716941109 4,277 75,284 SH X X
PFIZER INCORPORATED COM 717081103 24,135 220,095 SH X X
PHARMACEUTICAL RESOURCES COM 717125108 247 28,400 SH X X
PHELPS DODGE CORP COM 717265102 514 8,300 SH X X
PHILIP MORRIS COMPANIES INC COM 718154107 20,551 511,373 SH X X
PHILLIPS PETROLEUM CO COM 718507106 1,771 35,192 SH X X
PICCADILLY CAFETERIAS INC COM 719567109 178 21,400 SH X X
PIER 1 IMPORTS INC/DEL COM 720279108 115 10,179 SH X X
PILLOWTEX CORP COM 721501104 395 24,218 SH X X
PIONEER HI-BRED INTERNATIONAL COM 723686101 1,171 30,066 SH X X
PITNEY BOWES INC COM 724479100 2,652 41,280 SH X X
PITTSTON MINERALS GROUP COM 725701205 26 16,300 SH X X
PLACER DOME INC COM 725906101 444 37,659 SH X X
PLANTRONICS INC COM 727493108 318 4,880 SH X X
PLAYBOY ENTERPRISES COM 728117201 237 10,100 SH X X
PLAYBOY ENTERPRISES 'B' COM 728117300 1,094 41,200 SH X X
POLO RALPH LAUREN CORP COM 731572103 437 23,000 SH X X
PRAXAIR COM 74005P104 2,745 56,100 SH X X
PREFERRED INCOME MGMT FUND COM 74037Q104 230 20,000 SH X X
PRICE (T ROWE) ASSOCIATES COM 741477103 898 23,400 SH X X
PRIMEDIA INC COM 74157K101 313 18,500 SH X X
PROCTOR & GAMBLE CO COM 742718109 19,026 213,182 SH X X
PROGRESSIVE CORP COM 743315103 2,758 19,022 SH X X
PROVIDIAN FINANCIAL CORP COM 74406A102 5,264 56,300 SH X X
PUBLIC SERVICE ENTERPRISE GRP COM 744573106 1,985 48,593 SH X X
PUBLICARD INC COM 744627100 128 12,600 SH X X
PUERTO RICAN CEMENT CO. INC. COM 745075101 408 12,300 SH X X
QMS INC COM 74726G102 114 20,700 SH X X
QUAKER OATS CO COM 747402105 1,168 17,600 SH X X
QUANTUM CORP COM 747906105 3,095 128,300 SH X X
R & B FALCON CORP COM 74912E101 337 35,925 SH X X
RLI CORP COM 749607107 765 19,737 SH X X
RPC ENERGY SERVICES INC COM 749660106 482 55,100 SH X X
RTI INTERNATIONAL METALS COM 74973W107 460 31,300 SH X X
RADIAN GROUP INC COM 750236101 232 4,747 SH X X
RALSTON PURINA CO COM 751277302 1,418 46,588 SH X X
TOTAL 120,781 2,581,442 SH
RANGE RESOURCES CORP COM 75281A109 126 20,540 SH X X
RAYCHEM CORP COM 754603108 448 12,100 SH X X
RAYTHEON CO COM 755111408 3,258 46,292 SH X X
READERS DIGEST ASSOC PFD 755271202 225 7,000 SH X X
REGIONS FINANCIAL CORP COM 758940100 1,092 28,400 SH X X
RELIANCE STEEL & ALUMINUM COM 759509102 1,392 35,700 SH X X
RELIANT ENERGY INC COM 75952J108 1,735 62,806 SH X X
REPUBLIC GROUP INC COM 760473108 463 25,729 SH X X
REPUBLIC NEW YORK CORP COM 760719104 1,002 14,700 SH X X
REX STORES CORP. COM 761624105 555 18,600 SH X X
REYNOLDS METALS CO COM 761763101 661 11,200 SH X X
RITE AID CORP COM 767754104 886 35,990 SH X X
ROADWAY EXPRESS INC COM 769742107 194 10,000 SH X X
ROBERT HALF INTL INC COM 770323103 733 28,400 SH X X
ROBERTSON CECO CORP COM 770539203 321 32,500 SH X X
ROCKWELL INTERNATIONAL CORP COM 773903109 1,880 30,942 SH X X
ROHM & HAAS CO COM 775371107 1,349 31,475 SH X X
ROWE FURNITURE CORP COM 779528108 294 28,200 SH X X
ROYAL APPLIANCE MFG CO COM 780076105 345 49,700 SH X X
ROYAL DUTCH PETROLEUM CO COM 780257804 19,384 321,732 SH X X
RYDER SYSTEM INC COM 783549108 337 13,000 SH X X
SBC COMMUNICATIONS INC COM 78387G103 16,886 291,144 SH X X
SL INDUSTRIES INC COM 784413106 152 11,908 SH X X
SLM HOLDING CORP COM 78442A109 2,503 54,640 SH X X
SPS TECHNOLOGIES INC COM 784626103 928 24,735 SH X X
S&P 500 DEPOSITORY RECEIPT COM 78462F103 3,425 25,000 SH X X
SAFECO CORP COM 786429100 842 19,092 SH X X
SAFEWAY INC COM 786514208 4,272 86,300 SH X X
ST JOSEPH LIGHT & POWER COM 790654107 350 17,000 SH X X
ST JUDE MEDICAL INC COM 790849103 266 7,469 SH X X
ST PAUL COMPANIES INC COM 792860108 1,049 32,990 SH X X
SANMINA CORP COM 800907107 379 4,994 SH X X
SANTA FE SNYDER CORP COM 80218K105 136 17,209 SH X X
SARA LEE CORP COM 803111103 4,301 189,568 SH X X
SCANA CORPORATION COM 805898103 374 16,000 SH X X
SCHERING-PLOUGH CORP COM 806605101 11,166 210,854 SH X X
SCHLUMBERGER LTD COM 806857108 5,798 91,038 SH X X
SCHWAB (CHARLES) CORP COM 808513105 7,606 69,360 SH X X
SCIENTIFIC ATLANTA COM 808655104 234 6,500 SH X X
SCOTSMAN INDUSTRIES COM 809340102 371 17,200 SH X X
SEA CONTAINERS LTD COM 811371103 205 6,100 SH X X
SEA CONTAINERS LTD - CLASS A COM 811371707 781 23,270 SH X X
SEAGATE TECHNOLOGY INC COM 811804103 846 33,000 SH X X
SEAGRAM CO LTD COM 811850106 2,846 56,488 SH X X
SEALED AIR CORPORATION COM 81211K100 790 12,183 SH X X
SEARS COM 812387108 3,738 83,888 SH X X
SEMPRA ENERGY COM 816851109 694 30,682 SH X X
TOTAL 107,617 2,303,618 SH
SEQUA CORP COM 817320203 543 7,600 SH X X
SERVICE CORP INTERNATIONAL COM 817565104 893 46,391 SH X X
SHELBY WILLIAMS COM 822135109 305 18,500 SH X X
SHERWIN-WILLIAMS CO COM 824348106 840 30,288 SH X X
SIEBEL SYSTEMS INC COM 826170102 1,592 24,000 SH X X
SIGMA-ALDRICH COM 826552101 310 9,000 SH X X
SILICON GRAPHICS COM 827056102 275 16,800 SH X X
SITEL CORP COM 82980K107 310 105,500 SH X X
SIZZLER INTERNATIONAL INC COM 830139101 122 54,100 SH X X
SMITH (A.O.) CORP COM 831865209 566 20,202 SH X X
SNAP ON INC COM 833034101 210 5,800 SH X X
SODEXHO MARRIOTT SERVICES COM 833793102 380 19,800 SH X X
SOLECTRON CORP COM 834182107 2,307 34,600 SH X X
SONAT INC COM 835415100 487 14,692 SH X X
SOUTHERN CO COM 842587107 2,952 111,378 SH X X
SOUTHTRUST CORP COM 844730101 806 21,000 SH X X
SOUTHWEST AIRLINES COM 844741108 1,769 56,850 SH X X
SPARTECH CORP COM 847220209 576 18,200 SH X X
SPARTON COM 847235108 85 14,200 SH X X
SPORT SUPPLY GROUP INC COM 848915104 130 12,800 SH X X
SPRINT CORP (FON GROUP) COM 852061100 13,579 256,974 SH X X
SPRINT CORP (PCS GROUP) COM 852061506 3,870 67,768 SH X X
STANDARD COMMERCIAL CORP COM 853258101 108 18,444 SH X X
STANLEY WORKS COM 854616109 465 14,444 SH X X
STAPLES INC COM 855030102 1,958 63,300 SH X X
STARRETT LS COM 855668109 398 14,800 SH X X
STATE STREET CORP COM 857477103 3,426 40,127 SH X X
STERLING BANCORP COM 859158107 255 13,400 SH X X
STEWART INFO SERVICES COM 860372101 570 27,000 SH X X
SUIZA FOODS CORP COM 865077101 236 5,625 SH X X
SUMMIT BANCORP COM 866005101 1,261 30,150 SH X X
SUN MICROSYSTEMS INC COM 866810104 7,795 113,176 SH X X
SUNOCO INC COM 86764P109 699 23,166 SH X X
SUNTRUST BANKS INC COM 867914103 3,386 48,767 SH X X
SUPERVALU INC COM 868536103 506 19,700 SH X X
SWIFT ENERGY CO COM 870738101 156 14,577 SH X X
SYMS CORP COM 871551107 288 35,500 SH X X
SYNOVUS FINANCIAL CORP COM 87161C105 741 37,300 SH X X
SYSCO CORP COM 871829107 1,367 45,858 SH X X
TCBY ENTERPRISES INC COM 872245105 326 53,700 SH X X
TCW CONVERTIBLE SECR FD INC COM 872340104 1,975 200,000 SH X X
TJX COMPANIES INC COM 872540109 8,925 267,932 SH X X
TNP ENTERPRISE INC COM 872594106 863 23,800 SH X X
TRW INC COM 872649108 1,196 21,791 SH X X
TANDY CORP COM 875382103 1,285 26,288 SH X X
TANDYCRAFTS INC COM 875386104 68 18,800 SH X X
TECH-SYM COM 878308105 292 12,300 SH X X
TOTAL 71,452 2,156,388 SH
TELEBANC FINANCIAL CORPORATION COM 87925R109 8,564 221,000 SH X X
TELLABS INC COM 879664100 4,047 59,906 SH X X
TEMPLE INLAND INC COM 879868107 822 12,000 SH X X
TENET HEALTHCARE COM 88033G100 948 51,067 SH X X
TENNECO INC COM 88037E101 1,350 56,563 SH X X
TEREX CORP COM 880779103 664 21,800 SH X X
TESORO PETROLEUM CORP COM 881609101 956 60,000 SH X X
TEXACO INC COM 881694103 5,328 85,283 SH X X
TEXAS INSTRUMENTS INC COM 882508104 13,880 95,747 SH X X
TEXAS UTILITIES CO COM 882848104 2,759 66,755 SH X X
TEXTRON INC COM 883203101 3,428 41,642 SH X X
THERMO ELECTRON COM 883556102 365 18,200 SH X X
THOMAS & BETTS CORP COM 884315102 298 6,300 SH X X
THOMAS INDUSTRIES INC COM 884425109 670 32,700 SH X X
3COM CORP COM 885535104 1,320 49,472 SH X X
TIME WARNER INC COM 887315109 14,171 193,224 SH X X
TIMES MIRROR CO CL A COM 887364107 433 7,300 SH X X
TODD SHIPYARDS CORP COM 889039103 98 14,300 SH X X
TOKHEIM CORP COM 889073102 176 15,400 SH X X
TOLL BROTHERS INC COM 889478103 602 28,094 SH X X
TORCHMARK CORP COM 891027104 478 14,000 SH X X
TOTAL RENAL CARE HOLDINGS COM 89151A107 1,509 96,950 SH X X
TOYS 'R' US COM 892335100 913 44,130 SH X X
TRANSAMERICA CORP COM 893485102 1,302 17,362 SH X X
TRANSCANADA PIPELINES LTD COM 893526103 255 18,200 SH X X
TRANSTECHNOLOGY CORP COM 893889105 215 10,900 SH X X
TREDEGAR INDUSTRIES INC COM 894650100 212 9,672 SH X X
TREMONT CORP COM 894745207 331 15,400 SH X X
TRICON GLOBAL RESTAURANTS COM 895953107 1,376 25,420 SH X X
TRIBUNE CO COM 896047107 1,557 17,873 SH X X
TULTEX CORP COM 899900104 43 57,400 SH X X
TYCO INTERNATIONAL LTD COM 902124106 11,341 119,690 SH X X
TYLER TECHNOLOGIES COM 902252105 265 38,600 SH X X
UICI COM 902737105 829 30,000 SH X X
USX-MARATHON GROUP COM 902905827 1,600 49,144 SH X X
UST INC COM 902911106 825 28,200 SH X X
US BANCORP COM 902973106 3,549 104,569 SH X X
UNUM CORP COM 903192102 235 4,300 SH X X
URS CORP COM 903236107 432 14,742 SH X X
USX US STEEL COM 90337T101 396 14,671 SH X X
UNILEVER N V - NY SHARES COM 904784709 5,485 78,644 SH X X
UNICOM CORP COM 904911104 1,438 37,288 SH X X
UNION CARBIDE CORP COM 905581104 1,038 21,300 SH X X
UNION PACIFIC CORP COM 907818108 2,635 45,192 SH X X
UNION PACIFIC RESOURCES GROUP COM 907834105 387 23,701 SH X X
UNION PLANTERS CORP COM 908068109 715 16,001 SH X X
UNISYS CORP COM 909214108 1,577 40,489 SH X X
TOTAL 101,819 2,130,591 SH
UNIT CORP COM 909218109 330 40,600 SH X X
UNITED HEALTHCARE COM 910581107 1,585 25,303 SH X X
UNITED INDUSTRIAL CORP. COM 910671106 269 24,300 SH X X
UNITED PARK CITY MINES CO COM 911315208 204 6,340 SH X X
US AIRWAYS GROUPINC COM 911905107 370 8,500 SH X X
US WEST INC COM 91273H101 5,327 90,666 SH X X
UNITED TECHNOLOGIES CORP COM 913017109 11,581 161,424 SH X X
UNO RESTAURANT CORP COM 914900105 210 22,350 SH X X
UNOCAL CORP COM 915289102 1,361 34,344 SH X X
US FREIGHTWAYS CORPORATION COM 916906100 299 6,459 SH X X
VF CORP COM 918204108 633 14,800 SH X X
VALASSIS COMMUNICATIONS INC COM 918866104 203 5,541 SH X X
VIACOM CLASS B COM 925524308 4,236 96,276 SH X X
VISX INC COM 92844S105 434 5,484 SH X X
VODAFONE AIRTOUCH PLC-SP ADR COM 92857T107 835 5,000 SH X X
VULCAN MATERIALS CO COM 929160109 2,475 51,300 SH X X
WEBS JAPAN COM 92923H889 166 13,300 SH X X
WACHOVIA CORP COM 929771103 2,541 29,695 SH X X
WACKENHUT CORP COM 929794105 598 20,100 SH X X
WACKENHUT CORP COM 929794303 377 15,718 SH X X
WAL-MART STORES, INC COM 931142103 31,703 657,058 SH X X
WALGREEN CO COM 931422109 5,157 175,568 SH X X
WARNER-LAMBERT CO COM 934488107 9,600 138,473 SH X X
WASHINGTON MUTUAL INC COM 939322103 3,676 103,793 SH X X
WASTE MANAGEMENT INC ORD 94106L109 4,353 80,978 SH X X
WATSCO INC ORD 942622200 505 30,824 SH X X
WATSON PHARMACEUTICALS INC ORD 942683103 277 7,900 SH X X
WELLPOINT HEALTH NETWORKS ORD 94973H108 671 7,900 SH X X
WELLS FARGO COMPANY COM 949746101 11,087 259,337 SH X X
WENDYS FINANCING I PFD 950588202 489 8,200 SH X X
WENDY'S INTERNATIONAL INC COM 950590109 602 21,250 SH X X
WESTVACO CORP COM 961548104 380 13,115 SH X X
WEYERHAEUSER CO COM 962166104 2,434 35,407 SH X X
WHIRLPOOL CORP COM 963320106 703 9,500 SH X X
WHITTAKER CORP COM 966680407 518 18,500 SH X X
WILLAMETTE INDUSTRIES COM 969133107 751 16,300 SH X X
WILLIAMS COS INC COM 969457100 2,528 59,406 SH X X
WILSHIRE OIL CO OF TEXAS COM 971889100 49 11,592 SH X X
WINDMERE COM 973411101 540 32,000 SH X X
WINN-DIXIE STORES INC COM 974280109 882 23,891 SH X X
WISCONSIN ENERGY CORP COM 976657106 627 25,000 SH X X
WISER OIL CO COM 977284108 58 17,400 SH X X
WORLD FUEL SERVICES CORP COM 981475106 315 21,325 SH X X
WORLDTEX INC COM 981907108 67 28,310 SH X X
WRIGLEY (WM.) JR CO COM 982526105 1,502 16,696 SH X X
WYNN'S INTERNATIONAL INC COM 983195108 794 43,055 SH X X
XEROX CORP COM 984121103 6,363 107,730 SH X X
ZALE CORP COM 988858106 396 9,900 SH X X
ZEMEX CORP COM 988910105 92 14,588 SH X X
ZAPATA CORP COM 989070503 537 63,140 SH X X
DAIMLERCHRYSLER AG ORD D1668R123 412 4,632 SH X X
ESG RE LTD ORD G31215109 173 11,500 SH X X
FRUIT OF THE LOOM ORD G3682L105 206 21,086 SH X X
LORAL SPACE & COMM PFD G56462149 207 3,900 SH X X
TOMMY HILFIGER ORD G8915Z102 1,026 14,000 SH X X
<PAGE>
TOTAL 123,711 2,790,753 SH
GRAND TOTAL 2,111,957 42,490,383 SH
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