<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: September 30, 2000
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Check here if Amendment [ ]: Amendment Number:
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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: CityPlace II, 185 Asylum St.
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Hartford, Connecticut 06103-4105
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Form 13F File Number: 28-4332
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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. All information contained herein is true, correct
and complete, and 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: Bill Bourque
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Title: Compliance Manager
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Phone: (860) 541-5628
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Signature, Place and Date of Signing:
/S/ William Bourque Hartford, Connecticut 11/06/00
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[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).)
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<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: 411
Form 13F Information Table Value Total: $ 1,069,337
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<PAGE>
<TABLE>
FORM 13F HOLDINGS AS OF: 09/30/00
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NAME OF REPORTING MANAGER: CONNING ASSET MANAGEMENT COMPANY
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<CAPTION>
Item 6: Item 8: Voting Auth. (Shs)
Item 1: Item 2: Item 3: Item 4: Item 5: ------------------ Item 7: --------------------------
Name of Issuer Title of Class CUSIP Fair Shrs/Par (A) (B) (C) Manager (A) (B) (C)
Number Market Value Inv. Shared Shared Instr. Sole Shared None
Value Disc. as Other V
(000's) Sole def.
in
Instr.
V
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<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A T & T CORP COMMON STOCKS 001957109 11,222 382,041 x 382,041
ABBOTT LABORATORIES COMMON STOCKS 002824100 7,287 153,200 x 153,200
ACE LTD COMMON STOCKS G0070K103 2,237 57,000 x 57,000
ADC TELECOMMUNICATIONS COMMON STOCKS 000886101 1,086 40,400 x 40,400
ADOBE SYSTEMS INC COMMON STOCKS 00724F101 1,118 7,200 x 7,200
ADVANCED MICRO DEVICES INC COMMON STOCKS 007903107 432 18,300 x 18,300
AES CORP COMMON STOCKS 00130H105 3,959 57,800 x 57,800
AETNA INC. COMMON STOCKS 008117103 489 8,422 x 8,422
AFLAC INC COMMON STOCKS 001055102 1,019 15,900 x 15,900
AGILENT TECHNOLOGIES INC COMMON STOCKS 00846U101 1,543 31,527 x 31,527
AIR PRODUCTS & CHEMICALS INC COMMON STOCKS 009158106 493 13,700 x 13,700
ALBERTSONS INC COMMON STOCKS 013104104 531 25,300 x 25,300
ALCAN ALUMINUM LIMITED COMMON STOCKS 013716105 377 13,025 x 13,025
ALCOA INC COMMON STOCKS 013817101 2,412 95,296 x 95,296
ALLERGAN INC COMMON STOCKS 018490102 659 7,800 x 7,800
ALLIED WASTE INDUSTRIES INC COMMON STOCKS 019589308 104 11,300 x 11,300
ALLSTATE CORP COMMON STOCKS 020002101 1,821 52,396 x 52,396
ALLTEL COMMON STOCKS 020039103 986 18,900 x 18,900
ALTERA CORPORATION COMMON STOCKS 021441100 1,136 23,800 x 23,800
ALZA CORP COMMON STOCKS 022615108 856 9,900 x 9,900
AMDOCS LTD COMMON STOCKS G02602103 886 14,200 x 14,200
AMERADA HESS CORP COMMON STOCKS 023551104 361 5,400 x 5,400
AMEREN CORP COMMON STOCKS 023608102 343 8,200 x 8,200
AMERICA ONLINE INC COMMON STOCKS 02364J104 12,121 225,500 x 225,500
AMERICAN ELECTRIC POWER
CO INC COMMON STOCKS 025537101 754 19,260 x 19,260
AMERICAN EXPRESS CO COMMON STOCKS 025816109 7,363 121,200 x 121,200
AMERICAN GENERAL CORP COMMON STOCKS 026351106 2,436 31,226 x 31,226
AMERICAN HOME PRODUCTS CORP COMMON STOCKS 026609107 8,151 144,100 x 144,100
AMERICAN INTERNATIONAL
GROUP INC COMMON STOCKS 026874107 20,257 211,703 x 211,703
AMERICAN POWER CONVERSION COMMON STOCKS 029066107 223 11,600 x 11,600
AMGEN COMMON STOCKS 031162100 6,173 88,400 x 88,400
AMR CORP COMMON STOCKS 001765106 501 15,330 x 15,330
AMSOUTH BANCORPORATION COMMON STOCKS 032165102 293 23,450 x 23,450
ANADARKO PETROLEUM CO COMMON STOCKS 032511107 964 14,504 x 14,504
ANALOG DEVICES COMMON STOCKS 032654105 1,957 23,700 x 23,700
ANDRX CORP-ANDRX GROUP COMMON STOCKS 034553107 280 3,000 x 3,000
ANHEUSER-BUSCH COMPANIES INC COMMON STOCKS 035229103 3,584 84,700 x 84,700
AON CORP COMMON STOCKS 037389103 600 15,275 x 15,275
APACHE COMMON STOCKS 037411105 432 7,300 x 7,300
APPLE COMPUTER INC COMMON STOCKS 037833100 502 19,500 x 19,500
APPLIED MATERIALS INC COMMON STOCKS 038222105 4,063 68,500 x 68,500
ARCHER-DANIELS-MIDLAND CO COMMON STOCKS 039483102 341 39,574 x 39,574
ASSOCIATES FIRST CAPITAL
CORP COMMON STOCKS 046008108 3,462 91,096 x 91,096
AUTOMATIC DATA PROCESSING
INC COMMON STOCKS 053015103 3,391 50,700 x 50,700
AVERY DENNISON CORP COMMON STOCKS 053611109 311 6,700 x 6,700
AVON PRODUCTS INC COMMON STOCKS 054303102 580 14,200 x 14,200
B F GOODRICH COMMON STOCKS 382388106 251 6,400 x 6,400
BAKER HUGHES INC COMMON STOCKS 057224107 732 19,710 x 19,710
BANC ONE CORP COMMON STOCKS 06423A103 3,816 98,801 x 98,801
BANK OF AMERICA CORP COMMON STOCKS 060505104 8,803 168,079 x 168,079
BANK OF NEW YORK COMMON STOCKS 064057102 3,179 56,700 x 56,700
BARRICK GOLD CORP COMMON STOCKS 067901108 360 23,600 x 23,600
BAXTER INTERNATIONAL COMMON STOCKS 071813109 3,988 49,970 x 49,970
BB&T CORP COMMON STOCKS 054937107 705 23,400 x 23,400
BEA SYSTEMS INC COMMON STOCKS 073325102 1,480 19,000 x 19,000
BEAR STEARNS COMPANIES INC COMMON STOCKS 073902108 642 10,190 x 10,190
BECTON DICKINSON & CO COMMON STOCKS 075887109 399 15,100 x 15,100
BED BATH & BEYOND INC COMMON STOCKS 075896100 622 25,500 x 25,500
BELLSOUTH CORP COMMON STOCKS 079860102 7,253 180,188 x 180,188
BEST BUY INC COMMON STOCKS 086516101 776 12,200 x 12,200
BESTFOODS COMMON STOCKS 08658U101 1,397 19,200 x 19,200
BIOGEN INC COMMON STOCKS 090597105 543 8,900 x 8,900
BIOMET INC COMMON STOCKS 090613100 369 10,550 x 10,550
BMC SOFTWARE INC COMMON STOCKS 055921100 279 14,600 x 14,600
BOEING CO COMMON STOCKS 097023105 6,054 96,092 x 96,092
BOSTON SCIENTIFIC CORP COMMON STOCKS 101137107 399 24,300 x 24,300
BP AMOCO PLC COMMON STOCKS 055622104 802 15,132 x 15,132
BRISTOL-MYERS SQUIBB CO COMMON STOCKS 110122108 10,309 180,460 x 180,460
BROADCOM CORP COMMON STOCKS 111320107 3,998 16,400 x 16,400
BROWN FORMAN CORP 'B COMMON STOCKS 115637209 224 4,100 x 4,100
BURLINGTON NORTHERN
SANTA FE COMMON STOCKS 12189T104 999 46,324 x 46,324
BURLINGTON RESOURCES COMMON STOCKS 122014103 475 12,892 x 12,892
C P & L ENERGY INC COMMON STOCKS 12614C106 396 9,500 x 9,500
CABLETRON SYSTEMS COMMON STOCKS 126920107 320 10,900 x 10,900
CAMPBELL SOUP CO COMMON STOCKS 134429109 652 25,200 x 25,200
CAPITAL ONE FINANCIAL CORP COMMON STOCKS 14040H105 820 11,700 x 11,700
CARDINAL HEALTH INC COMMON STOCKS 14149Y108 1,689 19,150 x 19,150
CARNIVAL CORP COMMON STOCKS 143658102 1,116 45,300 x 45,300
CATERPILLAR INC COMMON STOCKS 149123101 1,401 41,500 x 41,500
CENDANT CORP COMMON STOCKS 151313103 1,577 145,022 x 145,022
CENTURY-TEL INC COMMON STOCKS 156700106 229 8,400 x 8,400
CERIDIAN CORP COMMON STOCKS 15677T106 241 8,600 x 8,600
CHARTER ONE FINANCIAL INC COMMON STOCKS 160903100 320 13,125 x 13,125
CHASE MANHATTAN CORP (NEW) COMMON STOCKS 16161A108 5,818 125,959 x 125,959
CHEVRON CORP COMMON STOCKS 166751107 4,783 56,100 x 56,100
CHUBB CORP COMMON STOCKS 171232101 2,524 31,900 x 31,900
CIGNA CORP COMMON STOCKS 125509109 1,232 11,800 x 11,800
CINCINNATI FINANCIAL CORP COMMON STOCKS 172062101 341 9,600 x 9,600
CINERGY CORP COMMON STOCKS 172474108 313 9,454 x 9,454
CIRCUIT CITY STORES INC COMMON STOCKS 172737108 278 12,100 x 12,100
CISCO SYSTEMS INC COMMON STOCKS 17275R102 36,398 658,780 x 658,780
CIT GROUP INC COMMON STOCKS 125577106 275 15,700 x 15,700
CITIGROUP INC COMMON STOCKS 172967101 23,584 436,247 x 436,247
CITRIX SYSTEMS INC COMMON STOCKS 177376100 221 11,000 x 11,000
CLEAR CHANNEL COMMUNICATIONS COMMON STOCKS 184502102 1,288 22,800 x 22,800
CLOROX CO COMMON STOCKS 189054109 554 14,000 x 14,000
COASTAL CORP COMMON STOCKS 190441105 949 12,800 x 12,800
COCA-COLA COMPANY COMMON STOCKS 191216100 12,306 223,230 x 223,230
COCA-COLA ENTERPRISES COMMON STOCKS 191219104 400 25,100 x 25,100
COLGATE-PALMOLIVE CO COMMON STOCKS 194162103 1,893 40,100 x 40,100
COLUMBIA ENERGY GROUP COMMON STOCKS 197648108 344 4,850 x 4,850
COMCAST CORP COMMON STOCKS 200300200 2,980 72,800 x 72,800
COMERICA INC COMMON STOCKS 200340107 549 9,400 x 9,400
COMPAQ COMPUTER CORP COMMON STOCKS 204493100 4,026 145,959 x 145,959
COMPUTER ASSOC INTL COMMON STOCKS 204912109 887 35,200 x 35,200
COMPUTER SCIENCES COMMON STOCKS 205363104 743 10,000 x 10,000
COMPUWARE CORP COMMON STOCKS 205638109 180 21,500 x 21,500
COMVERSE TECHNOLOGY INC COMMON STOCKS 205862402 2,030 18,800 x 18,800
CONAGRA INC COMMON STOCKS 205887102 1,014 50,560 x 50,560
CONEXANT SYSTEMS INC COMMON STOCKS 207142100 544 13,000 x 13,000
CONOCO INC - CLASS B COMMON STOCKS 208251405 1,907 70,800 x 70,800
CONSECO INC COMMON STOCKS 208464107 148 19,423 x 19,423
CONSOLIDATED EDISON INC COMMON STOCKS 209115104 433 12,700 x 12,700
CONSTELLATION ENERGY
GROUP INC COMMON STOCKS 210371100 443 8,900 x 8,900
CONVERGYS CORP COMMON STOCKS 212485106 358 9,200 x 9,200
CORNING INC COMMON STOCKS 219350105 8,108 27,300 x 27,300
COSTCO WHOLESALE CORPORATION COMMON STOCKS 22160K105 933 26,706 x 26,706
COUNTRYWIDE CREDIT COMMON STOCKS 222372104 257 6,800 x 6,800
CROMPTON CORPORATION COMMON STOCKS 227116100 150 19,100 x 19,100
CSX CORP COMMON STOCKS 126408103 284 13,000 x 13,000
CVS CORP COMMON STOCKS 126650100 1,342 28,985 x 28,985
DANAHER CORPORATION COMMON STOCKS 235851102 423 8,500 x 8,500
DEERE & CO COMMON STOCKS 244199105 466 14,000 x 14,000
DELL COMPUTERS COMMON STOCKS 247025109 6,797 220,600 x 220,600
DELPHI AUTOMOTIVE SYSTEMS COMMON STOCKS 247126105 1,716 113,486 x 113,486
DELTA AIR LINES INC COMMON STOCKS 247361108 324 7,300 x 7,300
DOLLAR GENERAL COMMON STOCKS 256669102 329 19,622 x 19,622
DOMINION RESOURCES INC VA
(NEW) COMMON STOCKS 25746U109 827 14,239 x 14,239
DOVER CORP COMMON STOCKS 260003108 568 12,100 x 12,100
DOW CHEMICAL CO COMMON STOCKS 260543103 1,813 72,711 x 72,711
DOW JONES & CO COMMON STOCKS 260561105 321 5,300 x 5,300
DTE ENERGY CO COMMON STOCKS 233331107 325 8,500 x 8,500
DUKE ENERGY CORP COMMON STOCKS 264399106 3,407 39,729 x 39,729
DUN & BRADSTREET CORP (NEW) COMMON STOCKS 26483B106 333 9,675 x 9,675
EASTMAN KODAK CO COMMON STOCKS 277461109 756 18,500 x 18,500
EATON CORP COMMON STOCKS 278058102 271 4,400 x 4,400
ECOLAB, INC COMMON STOCKS 278865100 278 7,700 x 7,700
EDISON INTERNATIONAL COMMON STOCKS 281020107 382 19,800 x 19,800
EL PASO ENERGY CORP COMMON STOCKS 283905107 1,652 26,800 x 26,800
ELECTRONIC DATA SYSTEMS CORP COMMON STOCKS 285661104 1,789 43,100 x 43,100
EMC CORP/MASS COMMON STOCKS 268648102 21,365 215,540 x 215,540
EMERSON ELECTRIC CO COMMON STOCKS 291011104 2,198 32,800 x 32,800
ENRON CORP COMMON STOCKS 293561106 5,450 62,200 x 62,200
ENTERGY CORP COMMON STOCKS 29364G103 510 13,700 x 13,700
EQUIFAX INC COMMON STOCKS 294429105 226 8,400 x 8,400
EXXON MOBILE CORPORATION COMMON STOCKS 30231G102 29,621 332,357 x 332,357
FAMILY DOLLAR STORES COMMON STOCKS 307000109 230 11,950 x 11,950
FEDERAL HOME LOAN MORTGAGE
CORP COMMON STOCKS 313400301 2,871 53,100 x 53,100
FEDERAL NATIONAL MORTGAGE
ASSOCIATION COMMON STOCKS 313586109 9,703 135,700 x 135,700
FEDERATED DEPARTMENT STORES COMMON STOCKS 31410H101 1,450 55,500 x 55,500
FEDEX CORPORATION COMMON STOCKS 31428X106 770 17,360 x 17,360
FIFTH THIRD BANCORP COMMON STOCKS 316773100 1,716 31,856 x 31,856
FIRST DATA CORP COMMON STOCKS 319963104 1,426 36,500 x 36,500
FIRST UNION CORP COMMON STOCKS 337358105 3,446 107,066 x 107,066
FIRSTAR CORPORATION COMMON STOCKS 33763V109 1,722 76,982 x 76,982
FIRSTENERGY CORP COMMON STOCKS 337932107 372 13,800 x 13,800
FLEET BOSTON FINANCIAL CORP COMMON STOCKS 339030108 3,792 97,224 x 97,224
FLORIDA PROGRESS CORP COMMON STOCKS 341109106 312 5,900 x 5,900
FORD MOTOR CO DEL COMMON STOCKS 345370100 1,076 23,100 x 23,100
FORD MOTOR CO DEL COMMON STOCKS 345370860 3,053 120,600 x 120,600
FORT JAMES CORP COMMON STOCKS 347471104 1,388 45,400 x 45,400
FORTUNE BRANDS INC COMMON STOCKS 349631101 249 9,400 x 9,400
FPL GROUP INC COMMON STOCKS 302571104 704 10,700 x 10,700
FRANKLIN RESOURCES INC COMMON STOCKS 354613101 649 14,600 x 14,600
GANNETT CO INC COMMON STOCKS 364730101 848 16,000 x 16,000
GAP INC DEL COMMON STOCKS 364760108 1,024 50,887 x 50,887
GATEWAY INC COMMON STOCKS 367626108 902 19,300 x 19,300
GEMSTAR TV GUIDE INTL COMMON STOCKS 36866W106 436 5,000 x 5,000
GENERAL DYNAMICS CORP COMMON STOCKS 369550108 754 12,000 x 12,000
GENERAL ELECTRIC CORP COMMON STOCKS 369604103 53,928 934,830 x 934,830
GENERAL MILLS INC COMMON STOCKS 370334104 618 17,400 x 17,400
GENERAL MOTORS CORP COMMON STOCKS 370442105 2,740 42,150 x 42,150
GENERAL MOTORS - CLASS H COMMON STOCKS 370442832 3,067 82,500 x 82,500
GENUINE PARTS CO COMMON STOCKS 372460105 201 10,525 x 10,525
GENZYME CORP- GENL DIVISION COMMON STOCKS 372917104 696 10,200 x 10,200
GEORGIA-PACIFIC CORP COMMON STOCKS 373298108 240 10,200 x 10,200
GILLETTE CO COMMON STOCKS 375766102 2,498 80,900 x 80,900
GLOBAL CROSSING LTD COMMON STOCKS G3921A100 1,635 52,730 x 52,730
GOLDEN WEST FINANCIAL CORP COMMON STOCKS 381317106 509 9,500 x 9,500
GPU INC COMMON STOCKS 36225X100 234 7,200 x 7,200
GTE CORP COMMON STOCKS 362320103 1,257 20,200 x 20,200
GUIDANT CORP COMMON STOCKS 401698105 3,266 46,200 x 46,200
H & R BLOCK INC COMMON STOCKS 093671105 219 5,900 x 5,900
H J HEINZ CO COMMON STOCKS 423074103 780 21,050 x 21,050
HALLIBURTON CO COMMON STOCKS 406216101 4,600 94,000 x 94,000
HARCOURT GENERAL INC COMMON STOCKS 41163G101 254 4,300 x 4,300
HARLEY DAVIDSON INC COMMON STOCKS 412822108 871 18,200 x 18,200
HARRAHS ENTERTAINMENT, INC COMMON STOCKS 413619107 201 7,300 x 7,300
HARTFORD FINANCIAL SERVICES
GROUP COMMON STOCKS 416515104 2,035 27,900 x 27,900
HASBRO INC COMMON STOCKS 418056107 117 10,250 x 10,250
HCA HEALTHCARE CORP COMMON STOCKS 404119109 2,312 62,278 x 62,278
HERSHEY FOODS CORP COMMON STOCKS 427866108 444 8,200 x 8,200
HEWLETT-PACKARD CO COMMON STOCKS 428236103 8,614 88,800 x 88,800
HILTON HOTELS CORP COMMON STOCKS 432848109 254 22,000 x 22,000
HOME DEPOT INC COMMON STOCKS 437076102 11,928 224,800 x 224,800
HOMESTAKE MINING CO COMMON STOCKS 437614100 80 15,500 x 15,500
HONEYWELL INTERNATIONAL INC COMMON STOCKS 438516106 3,037 85,240 x 85,240
HOUSEHOLD INTERNATIONAL INC COMMON STOCKS 441815107 1,872 33,053 x 33,053
HUMANA INC COMMON STOCKS 444859102 108 10,000 x 10,000
HUNTINGTON BANCSHARES COMMON STOCKS 446150104 214 14,576 x 14,576
ILLINOIS TOOL WORKS INC COMMON STOCKS 452308109 1,011 18,100 x 18,100
IMS HEALTH INC COMMON STOCKS 449934108 367 17,700 x 17,700
INCO LTD COMMON STOCKS 453258402 174 10,800 x 10,800
INGERSOLL-RAND CO COMMON STOCKS 456866102 329 9,700 x 9,700
INTEGRATED DEVICE TECH INC COMMON STOCKS 458118106 226 2,500 x 2,500
INTEL CORP COMMON STOCKS 458140100 23,404 563,100 x 563,100
INTERNATIONAL PAPER CO COMMON STOCKS 460146103 1,978 68,945 x 68,945
INTERPUBLIC GROUP CO COMMON STOCKS 460690100 1,669 49,000 x 49,000
INTUIT INC COMMON STOCKS 461202103 735 12,900 x 12,900
ITOCHU CORP COMMON STOCKS 6467803J3 1,503 3,000 x 3,000
J C PENNEY CO INC COMMON STOCKS 708160106 184 15,600 x 15,600
J P MORGAN & CO INC COMMON STOCKS 616880100 1,862 11,400 x 11,400
JDS UNIPHASE CORP COMMON STOCKS 46612J101 6,647 70,200 x 70,200
JEFFERSON PILOT CORP COMMON STOCKS 475070108 417 6,150 x 6,150
JOHNSON & JOHNSON COMMON STOCKS 478160104 11,453 121,920 x 121,920
JOHNSON CONTROLS INC COMMON STOCKS 478366107 271 5,100 x 5,100
K MART CORP COMMON STOCKS 482584109 308 51,295 x 51,295
KELLOGG CO COMMON STOCKS 487836108 585 24,200 x 24,200
KERR-MCGEE CORP COMMON STOCKS 492386107 375 5,667 x 5,667
KEYCORP COMMON STOCKS 493267108 658 26,000 x 26,000
KEYSPAN CORPORATION COMMON STOCKS 49337W100 321 8,000 x 8,000
KIMBERLY-CLARK CORP COMMON STOCKS 494368103 2,370 42,456 x 42,456
KLA-TENCOR CORP COMMON STOCKS 482480100 457 11,100 x 11,100
KNIGHT RIDDER INC COMMON STOCKS 499040103 239 4,700 x 4,700
KOHL'S CORP (WISCONSIN) COMMON STOCKS 500255104 1,125 19,500 x 19,500
KONINKIJKE PHILIPS
ELECTRONICS COMMON STOCKS 500472303 364 8,567 x 8,567
KROGER CO COMMON STOCKS 501044101 1,771 78,480 x 78,480
LEGGETT & PLATT COMMON STOCKS 524660107 185 11,700 x 11,700
LEHMAN BROTHERS HOLDING INC COMMON STOCKS 524908100 1,370 9,270 x 9,270
LEXMARK INTERNATIONAL GROUP COMMON STOCKS 529771107 289 7,700 x 7,700
LIMITED INC COMMON STOCKS 532716107 567 25,700 x 25,700
LINCOLN NATIONAL CORP COMMON STOCKS 534187109 553 11,500 x 11,500
LINEAR TECHNOLOGY CORP COMMON STOCKS 535678106 1,204 18,600 x 18,600
LOCKHEED MARTIN CORP COMMON STOCKS 539830109 844 25,606 x 25,606
LOEWS CORP COMMON STOCKS 540424108 492 5,900 x 5,900
LOWES COMPANIES INC COMMON STOCKS 548661107 1,028 22,900 x 22,900
LSI LOGIC CORP COMMON STOCKS 502161102 538 18,400 x 18,400
LUCENT TECHNOLOGIES COMMON STOCKS 549463107 8,742 286,053 x 286,053
MARRIOTT INTERNATIONAL-CL A COMMON STOCKS 571903202 523 14,350 x 14,350
MARSH & MCLENNAN COS INC COMMON STOCKS 571748102 3,963 29,850 x 29,850
MASCO CORP COMMON STOCKS 574599106 499 26,800 x 26,800
MATTEL INC COMMON STOCKS 577081102 284 25,387 x 25,387
MAXIM INTEGRATED PRODUCTS,
INC COMMON STOCKS 57772K101 1,359 16,900 x 16,900
MAY DEPARTMENT STORES CO COMMON STOCKS 577778103 407 19,876 x 19,876
MBIA INC COMMON STOCKS 55262C100 420 5,900 x 5,900
MBNA CORP COMMON STOCKS 55262L100 3,325 86,352 x 86,352
MCDONALD'S CORP COMMON STOCKS 580135101 3,921 129,900 x 129,900
MCGRAW-HILL INC COMMON STOCKS 580645109 737 11,600 x 11,600
MCKESSON HBOC INC COMMON STOCKS 58155Q103 514 16,814 x 16,814
MEDIAONE INC. COMMON STOCKS 58440J104 660 9,900 x 9,900
MEDIMMUNE INC COMMON STOCKS 584699102 966 12,500 x 12,500
MEDTRONIC INC COMMON STOCKS 585055106 5,306 102,400 x 102,400
MELLON FINANCIAL CORP COMMON STOCKS 58551A108 2,852 61,500 x 61,500
MERCK & CO INC COMMON STOCKS 589331107 15,632 210,000 x 210,000
MERCURY INTERACTIVE CORP COMMON STOCKS 589405109 2,053 13,100 x 13,100
MERRILL LYNCH & CO INC COMMON STOCKS 590188108 3,630 55,000 x 55,000
MGIC INVESTMENT CORP COMMON STOCKS 552848103 385 6,300 x 6,300
MICRON TECHNOLOGY INC COMMON STOCKS 595112103 1,748 38,000 x 38,000
MILLIPORE CORP COMMON STOCKS 601073109 208 4,300 x 4,300
MINNESOTA MINING &
MANUFACTURING COMMON STOCKS 604059105 3,568 39,150 x 39,150
MOLEX INC COMMON STOCKS 608554101 638 11,725 x 11,725
MORGAN STANLEY, DEAN WITTER
& CO COMMON STOCKS 617446448 10,346 113,144 x 113,144
MOTOROLA INC COMMON STOCKS 620076109 5,726 202,673 x 202,673
NABISCO GROUP HOLDINGS COMMON STOCKS 62952P102 556 19,500 x 19,500
NATIONAL CITY CORP. COMMON STOCKS 635405103 801 36,200 x 36,200
NATIONAL SEMICONDUCTOR CORP COMMON STOCKS 637640103 427 10,600 x 10,600
NCR CORPORATION (NEW) COMMON STOCKS 62886E108 216 5,700 x 5,700
NETWORK APPLIANCE INC COMMON STOCKS 64120L104 2,611 20,500 x 20,500
NEW YORK TIMES CO COMMON STOCKS 650111107 401 10,200 x 10,200
NEWELL RUBBERMAID INC. COMMON STOCKS 651229106 363 15,921 x 15,921
NEXTEL COMMUNICATIONS INC-A COMMON STOCKS 65332V103 3,221 68,900 x 68,900
NEXTLINK COMMUNICATIONS INC
CLASS A COMMON STOCKS 65333H707 1,334 37,900 x 37,900
NIAGARA MOHAWK HOLDINGS INC COMMON STOCKS 653520106 162 10,300 x 10,300
NIKE INC CLASS B COMMON STOCKS 654106103 657 16,400 x 16,400
NORFOLK SOUTHERN CORP COMMON STOCKS 655844108 334 22,850 x 22,850
NORTEL NETWORKS CORP
HOLDING CO COMMON STOCKS 656568102 17,076 286,700 x 286,700
NORTHERN TRUST CORPORATION COMMON STOCKS 665859104 1,182 13,300 x 13,300
NORTHROP CORP COMMON STOCKS 666807102 382 4,200 x 4,200
NOVELL INC COMMON STOCKS 670006105 196 19,700 x 19,700
NOVELLUS SYSTEMS INC COMMON STOCKS 670008101 363 7,800 x 7,800
OCCIDENTAL PETROLEUM CORP COMMON STOCKS 674599105 480 22,000 x 22,000
OFFICE DEPOT INC COMMON STOCKS 676220106 148 18,900 x 18,900
OLD KENT FINANCIAL CORP COMMON STOCKS 679833103 238 8,210 x 8,210
OMNICOM GROUP COMMON STOCKS 681919106 780 10,700 x 10,700
OMRON CORP COMMON STOCKS 6659428J0 2,845 1,000 x 1,000
ORACLE CORP COMMON STOCKS 68389X105 21,146 268,522 x 268,522
P G & E CORP COMMON STOCKS 69331C108 556 23,000 x 23,000
PACTIV CORP COMMON STOCKS 695257105 113 10,100 x 10,100
PAINE WEBBER GROUP INC COMMON STOCKS 695629105 593 8,700 x 8,700
PALM INC COMMON STOCKS 696642107 2,236 42,244 x 42,244
PARAMETRIC TECHNOLOGY CORP COMMON STOCKS 699173100 180 16,500 x 16,500
PARKER HANNIFIN CORP COMMON STOCKS 701094104 227 6,725 x 6,725
PAYCHEX INC COMMON STOCKS 704326107 1,166 22,200 x 22,200
PE CORP - PE BIOSYSTEMS
GROUP COMMON STOCKS 69332S102 3,087 26,500 x 26,500
PEOPLESOFT INC COMMON STOCKS 712713106 461 16,500 x 16,500
PEPSICO INC COMMON STOCKS 713448108 5,718 124,300 x 124,300
PERKINELMER INC COMMON STOCKS 714046109 313 3,000 x 3,000
PFIZER INC COMMON STOCKS 717081103 28,238 628,400 x 628,400
PHARMACIA CORP COMMON STOCKS 71713U102 10,391 172,645 x 172,645
PHILIP MORRIS COMPANIES INC COMMON STOCKS 718154107 6,961 236,480 x 236,480
PHILLIPS PETROLEUM CO COMMON STOCKS 718507106 954 15,200 x 15,200
PINNACLE WEST CAPITAL COMMON STOCKS 723484101 259 5,100 x 5,100
PITNEY BOWES INC COMMON STOCKS 724479100 607 15,400 x 15,400
PLACER DOME INC COMMON STOCKS 725906101 184 19,500 x 19,500
PNC FINANCIAL SERVICES GROUP COMMON STOCKS 693475105 1,131 17,400 x 17,400
POLARIS INDUSTRIES COMMON STOCKS 731068102 219 6,200 x 6,200
PPG INDUSTRIES INC COMMON STOCKS 693506107 413 10,400 x 10,400
PPL CORPORATION COMMON STOCKS 69351T106 359 8,600 x 8,600
PRAXAIR COMMON STOCKS 74005P104 351 9,400 x 9,400
PRIMEDIA INC COMMON STOCKS 74157K101 164 10,000 x 10,000
PROCTER & GAMBLE CO COMMON STOCKS 742718109 8,107 121,000 x 121,000
PROGRESSIVE CORP OHIO COMMON STOCKS 743315103 360 4,400 x 4,400
PROVIDIAN FINANCIAL CORP COMMON STOCKS 74406A102 1,086 8,550 x 8,550
PUBLIC SERVICE ENTERPRISE
GROUP COMMON STOCKS 744573106 579 12,950 x 12,950
QUAKER OATS CO COMMON STOCKS 747402105 625 7,900 x 7,900
QUALCOMM INC COMMON STOCKS 747525103 4,446 62,400 x 62,400
QWEST COMMUNICATIONS COMMON STOCKS 749121109 6,049 125,864 x 125,864
R & B FALCON CORP COMMON STOCKS 74912E101 453 16,250 x 16,250
RADIO SHACK CORP COMMON STOCKS 750438103 724 11,200 x 11,200
RALSTON PURINA CO COMMON STOCKS 751277302 433 18,300 x 18,300
RAYTHEON CO COMMON STOCKS 755111408 577 20,300 x 20,300
REGIONS FINANCIAL CORP COMMON STOCKS 758940100 299 13,200 x 13,200
RELIANT ENERGY INC COMMON STOCKS 75952J108 824 17,718 x 17,718
ROCKWELL INTERNATIONAL CORP COMMON STOCKS 773903109 340 11,250 x 11,250
ROHM & HAAS CO COMMON STOCKS 775371107 1,275 43,871 x 43,871
ROYAL DUTCH PETROLEUM CO COMMON STOCKS 780257804 11,334 189,100 x 189,100
SABRE HOLDINGS CORP COMMON STOCKS 785905100 224 7,732 x 7,732
SAFECO CORP COMMON STOCKS 786429100 207 7,600 x 7,600
SAFEWAY INC COMMON STOCKS 786514208 1,984 42,500 x 42,500
SANMINA CORP COMMON STOCKS 800907107 833 8,900 x 8,900
SAPIENT CORP COMMON STOCKS 803062108 285 7,000 x 7,000
SARA LEE CORP COMMON STOCKS 803111103 1,301 64,060 x 64,060
SBC COMMUNICATIONS INC COMMON STOCKS 78387G103 16,704 334,072 x 334,072
SCHERING-PLOUGH CORP COMMON STOCKS 806605101 6,612 142,200 x 142,200
SCHLUMBERGER COMMON STOCKS 806857108 4,000 48,600 x 48,600
SCHWAB (CHARLES) CORP COMMON STOCKS 808513105 4,092 115,275 x 115,275
SCIENTIFIC ATLANTA COMMON STOCKS 808655104 604 9,500 x 9,500
SEAGATE TECHNOLOGY INC COMMON STOCKS 811804103 938 13,600 x 13,600
SEAGRAM CO LTD COMMON STOCKS 811850106 2,918 50,800 x 50,800
SEALED AIR CORPORATION COMMON STOCKS 81211K100 228 5,033 x 5,033
SEARS ROEBUCK & CO COMMON STOCKS 812387108 684 21,100 x 21,100
SEMPRA ENERGY COMMON STOCKS 816851109 252 12,122 x 12,122
SEPRACOR INC COMMON STOCKS 817315104 859 7,000 x 7,000
SHERWIN-WILLIAMS COMMON STOCKS 824348106 207 9,700 x 9,700
SIEBEL SYSTEMS INC COMMON STOCKS 826170102 2,983 26,800 x 26,800
SOLECTRON CORP COMMON STOCKS 834182107 3,169 68,700 x 68,700
SOUTHERN CO COMMON STOCKS 842587107 2,391 73,700 x 73,700
SOUTHTRUST CORP COMMON STOCKS 844730101 314 10,000 x 10,000
SOUTHWEST AIRLINES COMMON STOCKS 844741108 1,050 43,305 x 43,305
SPRINT CORP COMMON STOCKS 852061100 1,791 61,100 x 61,100
ST JUDE MEDICAL COMMON STOCKS 790849103 255 5,000 x 5,000
ST PAUL COMPANIES INC COMMON STOCKS 792860108 2,742 55,600 x 55,600
STARBUCKS COMMON STOCKS 855244109 441 11,000 x 11,000
STATE STREET CORP COMMON STOCKS 857477103 1,469 11,300 x 11,300
STILWELL FINANCIAL INC COMMON STOCKS 860831106 579 13,300 x 13,300
SUN MICROSYSTEMS INC COMMON STOCKS 866810104 16,252 139,200 x 139,200
SUNTRUST BANKS INC COMMON STOCKS 867914103 2,007 40,300 x 40,300
SYCAMORE NETWORKS INC COMMON STOCKS 871206108 432 4,000 x 4,000
SYNOVUS FINANCIAL CORP COMMON STOCKS 87161C105 356 16,800 x 16,800
SYSCO CORP COMMON STOCKS 871829107 922 19,900 x 19,900
TARGET CORP COMMON STOCKS 87612E106 1,617 63,100 x 63,100
TEKTRONIX INC COMMON STOCKS 879131100 223 2,900 x 2,900
TELLABS COMMON STOCKS 879664100 1,380 28,900 x 28,900
TENET HEALTHCARE COMMON STOCKS 88033G100 1,032 28,360 x 28,360
TEREDYNE COMMON STOCKS 880770102 364 10,400 x 10,400
TEXACO INC COMMON STOCKS 881694103 3,386 64,500 x 64,500
TEXAS INSTRUMENTS INC COMMON STOCKS 882508104 8,091 171,460 x 171,460
TEXTRON INC COMMON STOCKS 883203101 397 8,600 x 8,600
THERMO ELECTRON COMMON STOCKS 883556102 268 10,300 x 10,300
TIFFANY & CO COMMON STOCKS 886547108 335 8,700 x 8,700
TIME WARNER INC COMMON STOCKS 887315109 9,003 115,060 x 115,060
TJX COS INC COMMON STOCKS 872540109 403 17,900 x 17,900
TORCHMARK CORP COMMON STOCKS 891027104 211 7,600 x 7,600
TOSCO CORP COMMON STOCKS 891490302 268 8,600 x 8,600
TOYS 'R' US COMMON STOCKS 892335100 210 12,912 x 12,912
TRIBUNE CO COMMON STOCKS 896047107 805 18,450 x 18,450
TRICON GLOBAL RESTAURANTS COMMON STOCKS 895953107 469 15,310 x 15,310
TRW INC COMMON STOCKS 872649108 301 7,400 x 7,400
TXU CORPORATION COMMON STOCKS 873168108 1,601 40,405 x 40,405
TYCO INTERNATIONAL LTD COMMON STOCKS 902124106 9,824 189,386 x 189,386
UNICOM CORP COMMON STOCKS 904911104 596 10,600 x 10,600
UNILEVER NV COMMON STOCKS 904784709 1,916 39,706 x 39,706
UNION CARBIDE CORP COMMON STOCKS 905581104 306 8,100 x 8,100
UNION PACIFIC CORP COMMON STOCKS 907818108 575 14,800 x 14,800
UNION PLANTERS CORP COMMON STOCKS 908068109 268 8,100 x 8,100
UNISYS CORP COMMON STOCKS 909214108 209 18,600 x 18,600
UNITED TECHNOLOGIES CORP COMMON STOCKS 913017109 3,857 55,700 x 55,700
UNITEDHEALTH GROUP INC COMMON STOCKS 91324P102 1,175 11,900 x 11,900
UNOCAL CORP COMMON STOCKS 915289102 1,914 54,000 x 54,000
UNUMPROVIDENT CORP COMMON STOCKS 91529Y106 390 14,300 x 14,300
US BANCORP COMMON STOCKS 902973106 1,022 44,919 x 44,919
US WEST INC COMMON STOCKS 91273H101 695 8,106 x 8,106
USA EDUCATION INC COMMON STOCKS 90390U102 450 9,340 x 9,340
USA NETWORKS INC COMMON STOCKS 902984103 636 29,000 x 29,000
UST INC COMMON STOCKS 902911106 222 9,700 x 9,700
USX-MARATHON GROUP COMMON STOCKS 902905827 529 18,659 x 18,659
VERISIGN INC COMMON STOCKS 92343E102 810 4,000 x 4,000
VERITAS SOFTWARE CORPORATION COMMON STOCKS 923436109 5,368 37,800 x 37,800
VERIZON COMMUNICATIONS COMMON STOCKS 92343V104 12,220 252,282 x 252,282
VIACOM CLASS B COMMON STOCKS 925524308 9,702 165,853 x 165,853
VULCAN MATERIALS CO COMMON STOCKS 929160109 241 6,000 x 6,000
WACHOVIA CORP COMMON STOCKS 929771103 686 12,100 x 12,100
WALGREEN CO COMMON STOCKS 931422109 3,543 93,400 x 93,400
WAL-MART STORES INC COMMON STOCKS 931142103 19,905 413,600 x 413,600
WALT DISNEY PRODUCTIONS COMMON STOCKS 254687106 9,203 240,600 x 240,600
WASHINGTON MUTUAL INC COMMON STOCKS 939322103 1,533 38,506 x 38,506
WASTE MANAGEMENT INC COMMON STOCKS 94106L109 1,500 86,035 x 86,035
WATSON PHARMACEUTICALS INC COMMON STOCKS 942683103 376 5,800 x 5,800
WELLPOINT HEALTH NETWORKS COMMON STOCKS 94973H108 355 3,700 x 3,700
WELLS FARGO & CO COMMON STOCKS 949746101 6,382 138,930 x 138,930
WEYERHAEUSER CO COMMON STOCKS 962166104 563 13,950 x 13,950
WILLIAMS COMPANIES INC COMMON STOCKS 969457100 1,115 26,400 x 26,400
WM WRIGLEY JR CO COMMON STOCKS 982526105 509 6,800 x 6,800
WORLDCOM INC COMMON STOCKS 98157D106 8,708 286,676 x 286,676
XCEL ENERGY INC COMMON STOCKS 98389B100 555 20,195 x 20,195
XEROX CORP COMMON STOCKS 984121103 600 39,850 x 39,850
XILINX COMMON STOCKS 983919101 1,644 19,200 x 19,200
XL CAPITAL LTD - CLASS A COMMON STOCKS G98255105 1,374 18,700 x 18,700
YAHOO! INC COMMON STOCKS 984332106 4,213 46,300 x 46,300
YOUNG & RUBICAM INC COMMON STOCKS 987425105 213 4,300 x 4,300
Totals 1,069,337
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