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, 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: CalPERS
Address: 400 P Street
Sacramento, CA 95814
13F File Number:
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 Behald of Reporting Manager:
Name: Denise M. Arend
Title: Div Chief Investment Ops
Phone: 916-341-2374
Signature, Place, and Date of Signing:
Denise M. Arend Sacramento, CA 8/4/99
Report Type (Check only one.):
[X] 13F HOLDINGS REPORT.
[ ] 13F NOTICE.
[ ] 13F COMBINATION REPORT.
List of Other Managers Reporting for this Manager:
<PAGE>
FORM 13F SUMMARY PAGE
Report Summary:
Number of Other Included Managers: 0
Form 13F Information Table Entry Total: 3121
Form 13F Information Table Value Total: 57768773
List of Other Included Managers:
No. 13F File Number Name
<PAGE>
<TABLE> <C> <C>
BEN FRANKLIN RETAIL ST 081499105 0 21816.00 SH SOLE 21816.00
50 OFF STORES INC 316811108 0 421200.00 SH SOLE 421200.00
HAPPINESSEXPRESS INC COM 411381106 0 27500.00 SH SOLE 27500.00
IMPERIAL CORP AMER COM 452722101 0 40700.00 SH SOLE 40700.00
KLEVER MARKETING INC COM 498589100 1 262.00 SH SOLE 262.00
MERRY GO ROUND ENTERPRISES INC COM RTS CALLABLE THRU 30SEP01 590436101 0 425250.00 SH SOLE 425250.00
MONARCH CAP CORP COM 609023106 0 112700.00 SH SOLE 112700.00
PNP PRIMECORP PFD EXCH 17. 69347R206 0 18634.00 SH SOLE 18634.00
SOUTHEASTBKG CORP COM 841338106 0 396068.00 SH SOLE 396068.00
TREGA BIOSCIENCES INC COM 894699107 997 777900.00 SH SOLE 777900.00
ALPHARMA INC 3% 01 Jun 2006 020813AC5 3574 3000000.00 SH SOLE 3000000.00
EVI INC SUB DEB CONV 5 PCT 268939402 7986 217300.00 SH SOLE 217300.00
INTEGRATED PROCESS EQUIP CORP 6.25% 15 Sep 2004 45812KAD0 1440 2000000.00 SH SOLE 2000000.00
NEXTEL COMMUNICATIONS INC 4.75% 01 Jul 2007 65332VAR4 12578 8050000.00 SH SOLE 8050000.00
ANNTAYLORSTORES CORP 0.55% 18 Jun 2019 036115AA1 3230 5440000.00 SH SOLE 5440000.00
WINSTAR COMMUNICATIONS INC SR PFD CONV SER F 144A 975515867 4130 5000.00 SH SOLE 5000.00
QWEST TRENDS TR TR ENHANCED DISTR SECS TRENDS 74912L105 3308 66000.00 SH SOLE 66000.00
TXI CAP TR I TR PFD SEC 873119200 2012 54000.00 SH SOLE 54000.00
GEORGIA PAC CORP PREMIUM EQUITY PART SEC UNITS 373298801 4425 100000.00 SH SOLE 100000.00
UNITEDGLOBALCOM SER 144A C SR PFD CONV STK 913247102 4040 80000.00 SH SOLE 80000.00
CMS ENERGY CORP ADJ CONV TR SECS 125896308 7313 200000.00 SH SOLE 200000.00
TRIBUNE CO NEW EXCHG 2PCT SUB DB FOR CASH VAL 896047305 7998 67000.00 SH SOLE 67000.00
VERIO INC PFD CONV SER A 144A 923433304 5574 130000.00 SH SOLE 130000.00
LAMAR ADVERTISING CO 5.25% 15 Sep 2006 512815AF8 3720 3000000.00 SH SOLE 3000000.00
NEWFIELD FIN TR I QUARTERLY INC CONV PFD SER.A 651291205 2725 50000.00 SH SOLE 50000.00
PETSMART INC 6.75% 01 Nov 2004 716768AB2 6300 9000000.00 SH SOLE 9000000.00
GLOBAL TELESYSTEMS GROUP INC DEPOSITARY SH REPSTG 1/100TH 37936U609 8856 216000.00 SH SOLE 216000.00
LEVEL 3 COMMUNICATIONS INC 6% 15 Sep 2009 52729NAG5 7920 8000000.00 SH SOLE 8000000.00
SIEBEL SYS INC 5.5% 15 Sep 2006 826170AA0 5369 5500000.00 SH SOLE 5500000.00
AFFYMETRIX INC 5% 01 Oct 2006 00826TAA6 4100 4000000.00 SH SOLE 4000000.00
AMERICAN TOWER CORP 6.25% 15 Oct 2009 029912AA0 7400 8000000.00 SH SOLE 8000000.00
TOWER AUTOMOTIVE INC 5% 01 Aug 2004 891707AE1 4337 4500000.00 SH SOLE 4500000.00
LORAL SPACE + COMMUNICATIONS PFD CONV SER C 6PCT G56462149 4913 100000.00 SH SOLE 100000.00
AES TR II GTD TERM CONV SECS SER B 001034305 5141 90000.00 SH SOLE 90000.00
ARCHSTONECMNTYS TR PFD SER A CONV 039581202 6989 262500.00 SH SOLE 262500.00
BELL ATLANT FINL 5.75% 01 Apr 2003 07785GAB6 2500 2500000.00 SH SOLE 2500000.00
CSC HLDGSINC DEP SH REPSTG 1/10 PFD SER1PC 126304203 7456 68800.00 SH SOLE 68800.00
CALENERGYCAP TR III PFD CONV 12946N309 4200 100000.00 SH SOLE 100000.00
CENTRAL PKG FIN TR TR PFD CONV SECS 154787303 2520 140000.00 SH SOLE 140000.00
AMFM INC PFD CONV 7PCT 001693209 5330 40000.00 SH SOLE 40000.00
CLEAR CHANNEL COMMUNICATIONS 2.625% 01 Apr 2003 184502AB8 15125 11000000.00 SH SOLE 11000000.00
CONSECO INC INCOME PRIDES 208464602 2616 94500.00 SH SOLE 94500.00
DOLLAR GEN STRYPES TR STRUCTURED YIELD PROD 256678103 4390 101500.00 SH SOLE 101500.00
ECHOSTAR COMMUNICATIONS CORP PFD CONV SER C 278762307 5236 13500.00 SH SOLE 13500.00
EL PASO ENERGY CAP TR 1 PFD CONV TR SECS 283678209 5238 100000.00 SH SOLE 100000.00
FINANCIALFED CORP 4.5% 01 May 2005 317492AA4 2122 2500000.00 SH SOLE 2500000.00
FINANCIALFED CORP 4.5% 01 May 2005 317492AC0 2138 2500000.00 SH SOLE 2500000.00
GENERAL GROWTH PPTYS INC DEPOSITORY SH REPSTG PFD INCOM 370021206 3300 150000.00 SH SOLE 150000.00
GLENBOROUGH RLTY TR INC PRD CONV SER A PCT 37803P204 4274 260000.00 SH SOLE 260000.00
HOME DEPOT INC 3.25% 01 Oct 2001 437076AE2 14794 5000000.00 SH SOLE 5000000.00
HOUSTON INDS INC AUTOMATIC COM EXCHANGE SEC 442161204 11057 108400.00 SH SOLE 108400.00
INTERMEDIA COMMUNICATIONS INC DEP SH 1/100 JR PFD CNV E 144A 458801867 3154 145000.00 SH SOLE 145000.00
MEDIAONE GROUP INC PRD SER D 58440J203 11475 85000.00 SH SOLE 85000.00
MEDIAONE GROUP INC PREM INCOME EXCHANGEABLE SECS 58440J401 15741 150000.00 SH SOLE 150000.00
OWENS ILLINC PFD CONV 690768502 3275 100000.00 SH SOLE 100000.00
PHILADELPHIA CONS HLDGS PFD INCOME PRIDES 717528301 1931 300000.00 SH SOLE 300000.00
PREMIER PKS INC PREM INC EQ SECS PINESPFD 740540307 3510 65000.00 SH SOLE 65000.00
READERS DIGEST TR AUTOMATIC COM EXCHG SECS 755271202 3322 117600.00 SH SOLE 117600.00
ROUSE CO PFD CONV SER B PCT 779273309 5344 150000.00 SH SOLE 150000.00
SEALED AIR CORP NEW PFD CONV SER A 2.00 81211K209 4046 79721.00 SH SOLE 79721.00
SUIZA CAPTR II TR CONV PFD SECS 144A 86507G200 3488 100000.00 SH SOLE 100000.00
UNION PACCAP TR TERM INCOME DEFERRABLE EQUITY 907824403 3948 87000.00 SH SOLE 87000.00
XEROX CORP 0.57% 21 Apr 2018 984121AY9 4888 8500000.00 SH SOLE 8500000.00
AMAZON COM INC 4.75% 01 Feb 2009 023135AD8 4600 4000000.00 SH SOLE 4000000.00
AT HOME CORP 0.524% 28 Dec 2018 045919AA5 1931 3000000.00 SH SOLE 3000000.00
BEA SYS INC 4% 15 Jun 2005 073325AB8 12195 8500000.00 SH SOLE 8500000.00
BELL ATLANTIC FINL SVCS INC 4.25% 15 Sep 2005 07785GAC4 15619 15000000.00 SH SOLE 15000000.00
CENTOCOR INC 4.75% 15 Feb 2005 152342AE1 1965 1500000.00 SH SOLE 1500000.00
CITRIX SYS INC 0.01% 01 Jul 2029 177376AA8 4738 10000000.00 SH SOLE 10000000.00
COMVERSE TECHNOLOGY INC 4.5% 01 Jul 2005 205862AF2 12451 5500000.00 SH SOLE 5500000.00
CONEXANT SYS INC 4.25% 01 May 2006 207142AA8 5130 3000000.00 SH SOLE 3000000.00
COSTCO COS INC 0.01% 19 Aug 2017 22160QAA0 10560 12000000.00 SH SOLE 12000000.00
CYMER INC 3.5% 06 Aug 2004 232572AC1 2850 3000000.00 SH SOLE 3000000.00
DIAMOND OFFSHORE DRILLING INC 3.75% 15 Feb 2007 25271CAA0 2130 2000000.00 SH SOLE 2000000.00
DOUBLECLICK INC 4.75% 15 Mar 2006 258609AA4 6210 4000000.00 SH SOLE 4000000.00
EMC CORP 3.25% 15 Mar 2002 26865YAA2 6305 1000000.00 SH SOLE 1000000.00
ELAN FIN CORP LTD 0.01% 14 Dec 2018 284129AA1 7840 14000000.00 SH SOLE 14000000.00
HALTER MARINE GROUP INC 4.5% 15 Sep 2004 40642YAC9 3124 5250000.00 SH SOLE 5250000.00
ITC TELECOM INC 4.5% 15 May 2006 45031TAJ3 2395 2000000.00 SH SOLE 2000000.00
INTERIM SVCS INC 4.5% 01 Jun 2005 45868PAA8 4568 6000000.00 SH SOLE 6000000.00
LEVEL ONECOMMUNICATIONS INC 4% 01 Sep 2004 527295AC3 4903 2000000.00 SH SOLE 2000000.00
LOMAK PETE INC 6% 01 Feb 2007 541509AF2 4538 7500000.00 SH SOLE 7500000.00
METAMOR WORLDWIDE INC 2.94% 15 Aug 2004 59133PAA8 5940 9000000.00 SH SOLE 9000000.00
MICRON TECHNOLOGY INC 7% 01 Jul 2004 595112AB9 5005 4000000.00 SH SOLE 4000000.00
NETWORKS ASSOCS INC 0.01% 13 Feb 2018 640938AB2 4966 14500000.00 SH SOLE 14500000.00
PHOTRONICS INC 6% 01 Jun 2004 719405AA0 5617 5500000.00 SH SOLE 5500000.00
RITE AID CORP 5.25% 15 Sep 2002 767754AL8 5705 7000000.00 SH SOLE 7000000.00
SANMINA CORP 4.25% 01 May 2004 800907AA5 5450 5000000.00 SH SOLE 5000000.00
SECURITY CAP U S RLTY 2% 22 May 2003 814136AA5 1838 2500000.00 SH SOLE 2500000.00
SEPRACOR INC 7% 15 Dec 2005 817315AF1 8145 9000000.00 SH SOLE 9000000.00
SOLECTRONCORP 0.06% 27 Jan 2019 834182AG2 12225 20000000.00 SH SOLE 20000000.00
TOWER AUTOMOTIVE INC 5% 01 Aug 2004 891707AA9 1446 1500000.00 SH SOLE 1500000.00
AT+T CORP COM LIBERTY MEDIA GRP CL A 001957208 7927 212448.00 SH SOLE 212448.00
APACHE CORP 037411600 3000 75000.00 SH SOLE 75000.00
CNF TR I GTD TERM CONV SECS SER A CONV 12612V205 3693 68700.00 SH SOLE 68700.00
GLOBAL TELESYSTEMS GROUP INC DEPOSITARY SH 144A PFD CONV 37936U401 4100 100000.00 SH SOLE 100000.00
ICG FDG LLC PFD EXCHANGEABLE 44924Q400 5720 143000.00 SH SOLE 143000.00
INTERMEDIA COMMUNICATIONS INC COM 458801107 752 34564.00 SH SOLE 34564.00
INTERMEDIA COMMUNICATIONS INC RESTRICTED DIVD SHS 458801966 0 9730.43 SH SOLE 9730.43
INTERNATIONAL PAPER CAP TR PFD CONV 5.25 CONV INTO COM 460137300 1545 30000.00 SH SOLE 30000.00
MCKESSON FING TR TR CONV PFD SECS 5PCT 58155P501 1825 40000.00 SH SOLE 40000.00
MONSANTO CO ADJ CONVERSION RATE EQUITY 611662305 1440 40000.00 SH SOLE 40000.00
NISOURCE INC PREMIUM INCOME EQUITY SECS 65473P303 3430 80000.00 SH SOLE 80000.00
SENSORMATIC ELECTRS CORP DEPOSITARY SH PFD 144A 817265200 3120 160000.00 SH SOLE 160000.00
SENSORMATIC ELECTRS CORP COM 144A 817265606 661 34324.00 SH SOLE 34324.00
TOSCO FING TR TR PFD CONV 5.75PCT 891491409 4538 100000.00 SH SOLE 100000.00
UNOCAL CAP TR TR CONV PFD SECS 91528T207 7937 145220.00 SH SOLE 145220.00
INFOSPACECOM INC COM 45678T102 988 24023.00 SH SOLE 24023.00
LABOR READY INC COM NEW 505401208 23 2250.00 SH SOLE 2250.00
SCIENT CORP COM 80864H109 192 3000.00 SH SOLE 3000.00
ALLOY ONLINE INC COM 019855105 78 6000.00 SH SOLE 6000.00
ETOYS INC COM 297862104 133 2000.00 SH SOLE 2000.00
WHITMAN CORP NEW COM 96647R107 11685 820000.00 SH SOLE 820000.00
CAIS INTERNET INC COM 12476Q102 181 15000.00 SH SOLE 15000.00
ATPLAN INC COM 04962Q100 11 1000.00 SH SOLE 1000.00
CONCENTRIC NETWORK CORP DEL COM 20589R107 3318 163367.00 SH SOLE 163367.00
BARNESANDNOBLE COM INC CL A 067846105 483 25000.00 SH SOLE 25000.00
STARMEDIANETWORK INC 855546107 110 3000.00 SH SOLE 3000.00
TRANSOCEAN OFFSHORE INC SHS G90076103 3908 127600.00 SH SOLE 127600.00
WIT CAP GROUP INC COM 97737K309 913 50000.00 SH SOLE 50000.00
DRKOOP COM INC COM 262098106 738 52000.00 SH SOLE 52000.00
BACKWEB TECHNOLOGIES LTD SHS M15633106 17 1000.00 SH SOLE 1000.00
IMMUNEX CORP NEW COM 452528102 2041 47054.00 SH SOLE 47054.00
REYNOLDS R J TOB HLDGS INC COM 76182K105 8268 306226.00 SH SOLE 306226.00
PHONE COMINC COM 71920Q100 303 2000.00 SH SOLE 2000.00
YOUBET COM INC COM 987413101 1500 200000.00 SH SOLE 200000.00
US ONCOLOGY INC COM 90338W103 4255 469500.00 SH SOLE 469500.00
COVAD COMMUNICATIONS GROUP INC COM 222814204 3270 75000.00 SH SOLE 75000.00
GOTO COM INC COM 38348T107 521 10000.00 SH SOLE 10000.00
MANDALAY RESORT GROUP COM 562567107 16537 837300.00 SH SOLE 837300.00
MSC INDL DIRECT INC CL A 553530106 3937 428500.00 SH SOLE 428500.00
RAMP NETWORKS INC COM 751567108 1100 50000.00 SH SOLE 50000.00
TD WATERHOUSE GROUP INC COM 872362108 26 2000.00 SH SOLE 2000.00
GLOBESPANSEMICONDUCTOR INC COM 379571102 379 6000.00 SH SOLE 6000.00
SOFTWARE COM INC OC COM 83402P104 214 5000.00 SH SOLE 5000.00
ARCH COMMUNICATIONS GROUP INC COM NEW 039381504 40 10067.00 SH SOLE 10067.00
JUNIPER NETWORKS INC COM 48203R104 183 1000.00 SH SOLE 1000.00
TOWNE SVCS INC CDT COM 892148107 398 125000.00 SH SOLE 125000.00
PERSISTENCE SOFTWARE INC COM 715329108 714 25000.00 SH SOLE 25000.00
STAMPS COM INC COM 852857101 1738 50000.00 SH SOLE 50000.00
GENZYME CORP COM SURGICAL PRODS DIVISION 372917609 406 72194.00 SH SOLE 72194.00
DIGITAL IS INC DEL COM 25385N101 3900 150000.00 SH SOLE 150000.00
UNUMPROVIDENT CORP COM 91529Y106 24875 844998.00 SH SOLE 844998.00
TIBCO SOFTWARE INC COM 88632Q103 15 500.00 SH SOLE 500.00
NATIONAL INFORMATION CONSORTM COM 636491102 617 25000.00 SH SOLE 25000.00
EFFICIENTNETWORKS INC COM 282056100 36 1000.00 SH SOLE 1000.00
PARADYNE CORP COM 69911G107 168 6000.00 SH SOLE 6000.00
BE INC COM 073309106 1059 150000.00 SH SOLE 150000.00
TALK CITYINC COM 874263106 425 50000.00 SH SOLE 50000.00
MP3 COM INC COM 62473M109 131 3500.00 SH SOLE 3500.00
AEGON ORD AMER REG 007924103 22354 258433.00 SH SOLE 258433.00
INSIGHT COMMUNICATIONS INC CL A 45768V108 286 10000.00 SH SOLE 10000.00
VOYAGER NET INC COM 92906W101 175 20000.00 SH SOLE 20000.00
JFAX COM INC COM 477366108 378 76000.00 SH SOLE 76000.00
GARTNER GROUP INC NEW CL B 366651206 3869 231847.00 SH SOLE 231847.00
LIBERATE TECHNOLOGIES COM 530129105 15 350.00 SH SOLE 350.00
PACKETEERINC COM 695210104 136 4000.00 SH SOLE 4000.00
SIERRA PAC RES NEW COM 826428104 9536 428600.00 SH SOLE 428600.00
AMERITRADE HLDG CORP CL A 03072H109 3994 217358.00 SH SOLE 217358.00
BEYOND COM CORP COM 08860E101 3010 245721.00 SH SOLE 245721.00
ITC DELTACOM COM 45031T104 1772 64419.00 SH SOLE 64419.00
METROMEDIA FIBER NETWORK INC CL A 591689104 11597 473337.00 SH SOLE 473337.00
NET2PHONEINC COM 64108N106 261 5000.00 SH SOLE 5000.00
PILGRIMS PRIDE CORP CL A 721467207 865 168700.00 SH SOLE 168700.00
ACCRUE SOFTWARE INC COM 00437W102 158 7000.00 SH SOLE 7000.00
DIGEX INCDEL CL A 253756100 948 40000.00 SH SOLE 40000.00
SPLITROCKSVCS INC COM 848636304 1125 75000.00 SH SOLE 75000.00
QUANTUM CORP DSSG COM 747906204 15079 1072300.00 SH SOLE 1072300.00
QUANTUM CORP HDDG COM 747906303 3988 536150.00 SH SOLE 536150.00
FAIRCHILDSEMICONDUCTOR INTL CL A 303726103 118 5000.00 SH SOLE 5000.00
TUMBLEWEED COMMUNICATIONS CORP COM 899690101 54 2000.00 SH SOLE 2000.00
GUITAR CTR INC COM 402040109 1804 191200.00 SH SOLE 191200.00
QUEST SOFTWARE INC COM 74834T103 279 6000.00 SH SOLE 6000.00
CONOCO INC CL B 208251405 103608 3784755.00 SH SOLE 3784755.00
DEVON ENERGY CORPORATION NEW COM 25179M103 5831 140725.00 SH SOLE 140725.00
MFN FINL CORP COM 55272N104 26 3104.00 SH SOLE 3104.00
SYSTEM SOFTWARE ASSOC INC COM NEW 871839205 148 76312.50 SH SOLE 76312.50
CK WITCO CORP COM 12562C108 15772 1083058.00 SH SOLE 1083058.00
DELHAIZE AMER INC CL A 246688105 7362 347483.00 SH SOLE 347483.00
VITRIA TECHNOLOGY INC COM 92849Q104 37 1000.00 SH SOLE 1000.00
E PIPHANYINC COM 26881V100 98 2000.00 SH SOLE 2000.00
NSTAR COM 67019E107 7043 181765.00 SH SOLE 181765.00
EGAIN COMMUNICATIONS CORP COM 28225C103 148 8000.00 SH SOLE 8000.00
ALTEON WEBSYSTEMS INC COM 02145A109 470 5000.00 SH SOLE 5000.00
WEBSTAKESCOM INC COM 94768K100 222 25000.00 SH SOLE 25000.00
KEYNOTE SYS INC COM 493308100 150 6000.00 SH SOLE 6000.00
VENTIV HEALTH INC COM 922793104 410 41500.00 SH SOLE 41500.00
DELHAIZE AMER INC CL B 246688204 9209 407033.33 SH SOLE 407033.33
GLOBAL CROSSING LTD SHS G3921A100 45057 1700270.00 SH SOLE 1700270.00
AIRGATE PCS INC COM 009367103 249 10000.00 SH SOLE 10000.00
ITXC CORP COM 45069F109 636 20000.00 SH SOLE 20000.00
NETSOLVE INC COM 64115J106 107 6000.00 SH SOLE 6000.00
FLEET BOSTON CORP COM 33901A108 86779 2369404.00 SH SOLE 2369404.00
TIVO INC COM 888706108 60 2000.00 SH SOLE 2000.00
LOISLAW COM INC COM 541431102 73 5000.00 SH SOLE 5000.00
BANK AMER CORP COM 060505104 401287 7206053.00 SH SOLE 7206053.00
NORTHEASTUTILS COM 664397106 4262 231950.00 SH SOLE 231950.00
PE CORP COM PE BIOSYSTEMS GROUP 69332S102 30638 424060.00 SH SOLE 424060.00
ASSOCIATES FIRST CAP CORP CL A 046008108 112968 3137988.00 SH SOLE 3137988.00
BANK NEW YORK INC COM 064057102 105835 3165160.00 SH SOLE 3165160.00
CITIGROUP INC COM 172967101 652135 14821242.00 SH SOLE 14821242.00
GILLETTE CO COM 375766102 157229 4632890.00 SH SOLE 4632890.00
LUCENT TECHNOLOGIES INC COM 549463107 801037 12347384.00 SH SOLE 12347384.00
SCHWAB CHARLES CORP NEW COM STK 808513105 114310 3393250.00 SH SOLE 3393250.00
CONSTELLATION ENERGY GROUP INC COM 210371100 20450 727100.00 SH SOLE 727100.00
ALCOA INC COM 013817101 74630 1202498.00 SH SOLE 1202498.00
AUTODESK INCORPORATED COM STK NPV 052769106 8061 368482.00 SH SOLE 368482.00
BAKER HUGHES INC COM 057224107 29497 1017134.00 SH SOLE 1017134.00
BEAR STEARNS COS INC COM 073902108 27765 722344.00 SH SOLE 722344.00
CHASE MANHATTAN CORP NEW COM 16161A108 282586 3749072.00 SH SOLE 3749072.00
CINERGY CORP COM 172474108 22336 788909.00 SH SOLE 788909.00
COLUMBIA / HCA HEALTHCARE CORP COM 197677107 56400 2661955.00 SH SOLE 2661955.00
COMPASS BANCSHARES INC COM 20449H109 12021 480850.00 SH SOLE 480850.00
CONSECO INC COM STK 208464107 30553 1582012.00 SH SOLE 1582012.00
COOPER INDS INC COM 216669101 25152 538000.00 SH SOLE 538000.00
COOPER TIRE + RUBR CO COM 216831107 13005 737900.00 SH SOLE 737900.00
EG + G INC COM 268457108 14619 367200.00 SH SOLE 367200.00
ELECTRONIC DATA SYS CORP NEW COM 285661104 108789 2055040.00 SH SOLE 2055040.00
ETHYL CORP COM 297659104 2927 755400.00 SH SOLE 755400.00
FEDERAL NATL MTG ASSN COM 313586109 279831 4463900.00 SH SOLE 4463900.00
FIRSTENERGY CORP COM 337932107 20698 811682.00 SH SOLE 811682.00
GTE CORP COM 362320103 341097 4437029.00 SH SOLE 4437029.00
GOODYEAR TIRE AND RUBBER COM 382550101 31886 662568.00 SH SOLE 662568.00
GREAT LAKES CHEMICAL CORP COM 390568103 14285 375300.00 SH SOLE 375300.00
HEWLETT PACKARD CO COM 428236103 396189 4306400.00 SH SOLE 4306400.00
INTEL CORP COM 458140100 1061841 14288856.00 SH SOLE 14288856.00
INTERNATIONAL BUSINESS MACHS COM 459200101 952745 7849600.00 SH SOLE 7849600.00
LIZ CLAIBORNE INC COM 539320101 10432 336500.00 SH SOLE 336500.00
MATTEL INC COM 577081102 44199 2326242.00 SH SOLE 2326242.00
MELLON FINL CORP COM 58551A108 74385 2203996.00 SH SOLE 2203996.00
MERRILL LYNCH + CO INC COM 590188108 99370 1479000.00 SH SOLE 1479000.00
PHILIP MORRIS COS INC COM 718154107 347731 10171300.00 SH SOLE 10171300.00
RAYTHEON CO CL B 755111408 59098 1190900.00 SH SOLE 1190900.00
SBC COMMUNICATIONS INC COM 78387G103 446349 8741237.00 SH SOLE 8741237.00
SAFECO CORP COM 786429100 19530 697500.00 SH SOLE 697500.00
ST PAUL COS INC COM 792860108 24720 898926.00 SH SOLE 898926.00
SEARS ROEBUCK + CO COM 812387108 53156 1694200.00 SH SOLE 1694200.00
TEXAS UTILS CO COM 882848104 42247 1132252.00 SH SOLE 1132252.00
UNION PACIFIC RES GROUP INC COM 907834105 16128 1004095.00 SH SOLE 1004095.00
WASHINGTON MUT INC COM 939322103 57354 1960831.00 SH SOLE 1960831.00
SCHLUMBERGER LTD COM 806857108 154759 2483600.00 SH SOLE 2483600.00
XL CAPITAL LTD SHS A G98255105 9886 219691.00 SH SOLE 219691.00
AON CORP COM 037389103 43078 1457175.00 SH SOLE 1457175.00
BERGEN BRUNSWIG CORP CLASS A 083739102 8246 794751.00 SH SOLE 794751.00
CVS CORP COM 126650100 47922 1174200.00 SH SOLE 1174200.00
CARDINAL HEALTH INC COM 14149Y108 46424 851812.00 SH SOLE 851812.00
CAROLINA PWR + LT CO COM 144141108 26616 752400.00 SH SOLE 752400.00
CHARTER ONE FINL INC COM 160903100 23604 1020698.70 SH SOLE 1020698.70
HOUGHTON MIFFLIN CO COM 441560109 3445 84800.00 SH SOLE 84800.00
NORTHERN TRUST CORP COM 665859104 22629 271000.00 SH SOLE 271000.00
OWENS + MINOR INC NEW COM 690732102 3085 320468.00 SH SOLE 320468.00
RITE AID CORP COM 767754104 18191 1317000.00 SH SOLE 1317000.00
SCANA CORP COM 805898103 11823 488800.00 SH SOLE 488800.00
TJX COS INC NEW COM 872540109 44131 1572600.00 SH SOLE 1572600.00
TOSCO CORP COM NEW 891490302 15935 631100.00 SH SOLE 631100.00
WEYERHAEUSER CO COM 962166104 45829 795300.00 SH SOLE 795300.00
LILLY ELI + CO COM 532457108 298096 4657748.00 SH SOLE 4657748.00
LINEAR TECHNOLOGY CORP COM 535678106 40430 687800.00 SH SOLE 687800.00
MBNA CORP COM 55262L100 88600 3883845.00 SH SOLE 3883845.00
MEDTRONICINC COM 585055106 175019 4930124.00 SH SOLE 4930124.00
MERCK + CO INC COM 589331107 644016 9936600.00 SH SOLE 9936600.00
MORGAN STANLEY DEAN WITTER COM NEW 617446448 216492 2427381.00 SH SOLE 2427381.00
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INGERSOLLRAND CO COM 456866102 14731 268150.00 SH SOLE 268150.00
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GANNETT INC COM 364730101 83890 1212500.00 SH SOLE 1212500.00
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BRINKER INTL INC COM 109641100 10347 381450.00 SH SOLE 381450.00
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COOPER CAMERON CORP COM 216640102 3703 98100.00 SH SOLE 98100.00
DELTA AIRLINES INC DE COM 247361108 27107 558900.00 SH SOLE 558900.00
AXA FINL INC COM 002451102 37551 672800.00 SH SOLE 672800.00
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FRITZ COMP INC COM 358846103 570 54900.00 SH SOLE 54900.00
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HEALTH MGMT ASSOC CL A 421933102 4570 619600.00 SH SOLE 619600.00
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LEXMARK INTL GROUP INC CL A 529771107 60568 752400.00 SH SOLE 752400.00
MAYTAG CORP COM 578592107 15704 471400.00 SH SOLE 471400.00
NCR CORP NEW COM 62886E108 16028 484773.00 SH SOLE 484773.00
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OFFICE DEPOT INC COM 676220106 22155 2174725.00 SH SOLE 2174725.00
SOLUTIA INC COM 834376105 9338 522400.00 SH SOLE 522400.00
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STERLING SOFTWARE INC. COM 859547101 6645 332240.00 SH SOLE 332240.00
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TRICON GLOBAL RESTAURANTS INC COM 895953107 30485 744660.00 SH SOLE 744660.00
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U S FOODSERVICE COM 90331R101 2687 149292.00 SH SOLE 149292.00
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ACKERLEY COMMUNICATIONS INC COM 004527107 824 66900.00 SH SOLE 66900.00
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AMERICAN FINL GROUP INC OHIO COM 025932104 5526 196900.00 SH SOLE 196900.00
AMETEK AEROSPACE PRODS INC COM 031100100 6786 342500.00 SH SOLE 342500.00
ANALOGIC CORP COM PAR 0.05 032657207 3156 100000.00 SH SOLE 100000.00
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APTARGROUP INC COM 038336103 5350 200000.00 SH SOLE 200000.00
ARGONAUT GROUP INC COM 040157109 6774 269600.00 SH SOLE 269600.00
AVNET INC COM 053807103 13318 317100.00 SH SOLE 317100.00
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BANCO SANTANDER PR SAN JUAN CDT COM 059646109 3230 190000.00 SH SOLE 190000.00
BECKMAN COULTER INC COM 075811109 8213 182000.00 SH SOLE 182000.00
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BLOCK DRUG INC CL A 093644102 6986 194388.00 SH SOLE 194388.00
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BOWNE + CO INC COM 103043105 3556 294800.00 SH SOLE 294800.00
BROWN SHOE INC NEW COM 115736100 1892 103300.00 SH SOLE 103300.00
BRUSH WELLMAN INC COM 117421107 3999 272300.00 SH SOLE 272300.00
BUTLER MFG CO DEL COM 123655102 7922 301800.00 SH SOLE 301800.00
CIT GROUPINC CL A 125577106 11745 571200.00 SH SOLE 571200.00
CPI CORP COM 125902106 7884 230600.00 SH SOLE 230600.00
CNA SURETY CORP COM 12612L108 1838 140000.00 SH SOLE 140000.00
CNF TRANSN INC COM 12612W104 11842 317900.00 SH SOLE 317900.00
CALLAWAY GOLF CO COM 131193104 7896 647900.00 SH SOLE 647900.00
CARAUSTAR INDS INC COM 140909102 9761 382800.00 SH SOLE 382800.00
CARTER WALLACE INC. COM 146285101 9089 508500.00 SH SOLE 508500.00
CASH AMERINTL INC COM 14754D100 3813 404000.00 SH SOLE 404000.00
CENTRAL NEWSPAPERS INC CL A 154647101 11926 268000.00 SH SOLE 268000.00
CHURCH + DWIGHT INC COM 171340102 10115 404600.00 SH SOLE 404600.00
CINCINNATI BELL INC COM 171870108 13305 684500.00 SH SOLE 684500.00
CLAIRE S STORES INC COM 179584107 7775 469425.00 SH SOLE 469425.00
CLARCOR INC 179895107 3200 190350.00 SH SOLE 190350.00
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COMAIR HLDGS INC COM 199789108 16505 989043.00 SH SOLE 989043.00
COMDISCO INC COM 200336105 15433 799100.00 SH SOLE 799100.00
COMPUTER TASK GROUP INC COM 205477102 4503 305300.00 SH SOLE 305300.00
CONECTIV INC COM 206829103 9651 491750.00 SH SOLE 491750.00
CONSOLIDATED PAPERS INC COM 209759109 12588 468400.00 SH SOLE 468400.00
CORN PRODUCTS INTL INC COM 219023108 5424 178200.00 SH SOLE 178200.00
DQE COM STK 23329J104 14644 374300.00 SH SOLE 374300.00
DPL INC COM 233293109 13242 751312.00 SH SOLE 751312.00
D.R.HORTON INC COM 23331A109 5653 436916.00 SH SOLE 436916.00
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DEXTER CORP COM 252165105 11997 321540.00 SH SOLE 321540.00
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DOW JONES+ CO INC CL B CONV 260561204 5498 103000.00 SH SOLE 103000.00
DREYERS GRAND ICE CREAM INC COM NPV 261878102 13054 751300.00 SH SOLE 751300.00
EARTHGRAINS CO COM 270319106 4634 209440.00 SH SOLE 209440.00
EATON VANCE CORP COM NON VTG 278265103 17139 535600.00 SH SOLE 535600.00
EDWARDS AG INC COM 281760108 6156 233400.00 SH SOLE 233400.00
ELCOR CHEM CORP COM 284443108 9444 377775.00 SH SOLE 377775.00
ENNIS BUSINESS FORMS INC COM 293389102 2661 299837.00 SH SOLE 299837.00
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FIRST MIDWEST BANCORP INC DEL COM 320867104 7493 196222.00 SH SOLE 196222.00
FIRST VA BKS INC COM RTS CALLABLE THRU 8/8/98 337477103 11878 272675.00 SH SOLE 272675.00
FLOWSERVE CORP COM 34354P105 1958 117759.00 SH SOLE 117759.00
FOREMOST CORP AMER COM 345469100 18461 769200.00 SH SOLE 769200.00
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FRISCHS RESTAURANTS INC COM 358748101 500 50000.00 SH SOLE 50000.00
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FULLER H B CO COM 359694106 15499 254600.00 SH SOLE 254600.00
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GATX COM 361448103 12282 395400.00 SH SOLE 395400.00
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GERBER SCIENTIFIC INC COM 373730100 8943 399675.00 SH SOLE 399675.00
GLATFELTER P H CO COM 377316104 4293 261200.00 SH SOLE 261200.00
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GRANITE CONSTR INC 387328107 868 33300.00 SH SOLE 33300.00
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HAWAIIAN ELEC INDS INC COM 419870100 6042 171700.00 SH SOLE 171700.00
HEILIG MEYERS CO COM 422893107 1254 264000.00 SH SOLE 264000.00
HELIX TECHNOLOGY CORP COM 423319102 17623 530000.00 SH SOLE 530000.00
HERBALIFEINTL INC CL A 426908208 2614 171400.00 SH SOLE 171400.00
HERBALIFEINTL INC CL B 426908307 4949 342800.00 SH SOLE 342800.00
HILLENBRAND INDS INC COM 431573104 11666 442300.00 SH SOLE 442300.00
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IBP INC COM STK 449223106 5876 238000.00 SH SOLE 238000.00
IDACORP INC COM 451107106 2678 88900.00 SH SOLE 88900.00
IDEX CORP COM 45167R104 4221 149100.00 SH SOLE 149100.00
ILLINOVA CORP COM 452317100 13007 463500.00 SH SOLE 463500.00
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INTER TEL INC COM 458372109 2519 141900.00 SH SOLE 141900.00
INTERFACEINC CL A 458665106 1794 350000.00 SH SOLE 350000.00
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INTERPOOLINC COM 46062R108 1618 212250.00 SH SOLE 212250.00
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IPALCO ENTERPRISES COM RTS CALLABLE THRU 11JUL00 462613100 12965 667000.00 SH SOLE 667000.00
JLG INDS INC COM 466210101 2517 165700.00 SH SOLE 165700.00
JONES PHARMA INC COM 480236108 7809 236850.00 SH SOLE 236850.00
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K2 INC COM 482732104 978 110982.00 SH SOLE 110982.00
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LTV CORP NEW COM 501921100 1099 202100.00 SH SOLE 202100.00
LACLEDE GAS CO COM RTS CALLABLE THRU 01MAY96 505588103 5105 224400.00 SH SOLE 224400.00
LANCE INC COM 514606102 3569 273200.00 SH SOLE 273200.00
LAWSON PRODS INC COM 520776105 4060 187750.00 SH SOLE 187750.00
LEE ENTERPRISES INC COM 523768109 7862 287200.00 SH SOLE 287200.00
LENNAR CORP COM 526057104 6615 415050.00 SH SOLE 415050.00
LIBBEY INC COM 529898108 7601 257100.00 SH SOLE 257100.00
LILLY INDL INC CL A 532491107 718 52700.00 SH SOLE 52700.00
LONGVIEW FIBRE CO WASHINGTON COM 543213102 5107 410600.00 SH SOLE 410600.00
M + T BK CORP COM 55261F104 26393 57500.00 SH SOLE 57500.00
MARCUS CORP COM 566330106 7042 583762.00 SH SOLE 583762.00
MARK IV INDS INC COM 570387100 6859 347287.00 SH SOLE 347287.00
MASCOTECH INC COM 574670105 5536 342000.00 SH SOLE 342000.00
MCCLATCHYCO CL A 579489105 6574 183875.00 SH SOLE 183875.00
MCCORMICK+ CO INC COM NON VTG 579780206 18264 552400.00 SH SOLE 552400.00
MENTOR CORP MINN COM 587188103 13463 472400.00 SH SOLE 472400.00
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MERRILL CORP COM 590175105 4717 236600.00 SH SOLE 236600.00
MICHAEL FOODS INC NEW COM 594079105 4271 162500.00 SH SOLE 162500.00
MIDAS INC COM 595626102 2819 136666.00 SH SOLE 136666.00
MISSISSIPPI CHEM CORP COM NEW 605288208 1731 247262.00 SH SOLE 247262.00
MITCHELL ENERGY + DEV CORP CL A 606592202 5544 226850.00 SH SOLE 226850.00
MOLEX INC COM 608554101 4968 136575.00 SH SOLE 136575.00
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MURPHY OIL CORP COM 626717102 18213 336895.00 SH SOLE 336895.00
MYLAN LABS INC COM 628530107 18091 984550.00 SH SOLE 984550.00
NL INDS INC COM NEW 629156407 6869 544104.00 SH SOLE 544104.00
NATIONAL DATA CORP COM 635621105 14495 557500.00 SH SOLE 557500.00
NATIONAL FUEL GAS CO N J COM 636180101 10556 223700.00 SH SOLE 223700.00
NEW ENGLAND BUSINESS SVC INC COM 643872104 8860 310200.00 SH SOLE 310200.00
NEW ENGLAND ELEC SYS COM 644001109 12128 233800.00 SH SOLE 233800.00
NISOURCE INC COM 65473P105 11874 536700.00 SH SOLE 536700.00
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OLD KENT FINL CORP COM 679833103 29338 790251.00 SH SOLE 790251.00
PMI GROUPINC COM 69344M101 4776 116850.00 SH SOLE 116850.00
PXRE GROUP LIMITED BERMUDA SHS G73018106 3105 213200.00 SH SOLE 213200.00
PAINE WEBBER GROUP INC COM 695629105 17926 494512.00 SH SOLE 494512.00
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POGO PRODUCING CO COM 730448107 9566 461000.00 SH SOLE 461000.00
POPULAR INC COM 733174106 19149 690052.00 SH SOLE 690052.00
POTOMAC ELEC PWR CO COM 737679100 15036 591100.00 SH SOLE 591100.00
PRECISIONCASTPARTS CORP COM RTS CALLABLE THRU 16DEC98 740189105 11640 381650.00 SH SOLE 381650.00
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PUGET SOUND ENERGY INC COM RTS CALLABLE THRU 25JAN01 745332106 10669 475508.00 SH SOLE 475508.00
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QUANEX CORP COM 747620102 13 500.00 SH SOLE 500.00
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RAYMOND JAMES FINANCIAL INC COM 754730109 4984 249975.00 SH SOLE 249975.00
RAYONIER INC COM 754907103 12115 288462.00 SH SOLE 288462.00
REGAL BELOIT CORP COM 758750103 5152 248300.00 SH SOLE 248300.00
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RELIANCE STL + ALUM CO COM 759509102 3449 164250.00 SH SOLE 164250.00
RELIASTAR FINL CORP COM 75952U103 8926 268462.00 SH SOLE 268462.00
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R G S ENERGY GROUP INC COM 74956K104 5628 229700.00 SH SOLE 229700.00
ROLLINS INC COM 775711104 8378 542700.00 SH SOLE 542700.00
ROLLINS TRUCK LEASING CORP COM 775741101 3417 337500.00 SH SOLE 337500.00
ROPER INDS COM 776696106 22927 599400.00 SH SOLE 599400.00
ROUSE CO COM 779273101 41 1800.00 SH SOLE 1800.00
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RYLAND GROUP INC COM 783764103 3394 149200.00 SH SOLE 149200.00
ST JOE CO COM 790148100 10365 480700.00 SH SOLE 480700.00
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SCHULMAN A INC COM 808194104 8147 470591.00 SH SOLE 470591.00
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SEITEL INC COM NEW 816074306 2278 233600.00 SH SOLE 233600.00
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SERVICE MASTER COMPANY COM 81760N109 16563 1031134.00 SH SOLE 1031134.00
SMITH A OCORP COM 831865209 5440 179850.00 SH SOLE 179850.00
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PE CORP COM PE BIOSYSTEMS GROUP 69332S102 486 6732.00 SH SOLE 6732.00
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RAYTHEON CO CL B 755111408 1147 23104.00 SH SOLE 23104.00
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CAROLINA PWR + LT CO COM 144141108 366 10338.00 SH SOLE 10338.00
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BOEING CO COM 097023105 2818 66122.00 SH SOLE 66122.00
CATERPILLAR INC COM 149123101 1365 24904.00 SH SOLE 24904.00
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DOW CHEM CO COM 260543103 1748 15387.00 SH SOLE 15387.00
DU PONT EI DE NEMOURS + CO COM 263534109 4075 66942.00 SH SOLE 66942.00
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LEHMAN BROTHERS HLDGS INC COM 524908100 479 8214.00 SH SOLE 8214.00
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NIKE INC CL B 654106103 1115 19601.00 SH SOLE 19601.00
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CLOROX CO COM 189054109 629 16432.00 SH SOLE 16432.00
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COMERICA INC COM 200340107 536 10593.00 SH SOLE 10593.00
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GANNETT INC COM 364730101 1336 19311.00 SH SOLE 19311.00
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IMS HEALTH INC COM 449934108 507 22245.00 SH SOLE 22245.00
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TYCO INTLLTD NEW COM 902124106 5908 57217.00 SH SOLE 57217.00
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AETNA INC COM 008117103 494 10023.00 SH SOLE 10023.00
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BAXTER INTL INC COM 071813109 1170 19414.00 SH SOLE 19414.00
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CORNING INC COM 219350105 1101 16064.00 SH SOLE 16064.00
CROWN CORK + SEAL INC COM 228255105 205 8459.00 SH SOLE 8459.00
ALCAN ALUM LTD COM 013716105 492 15751.00 SH SOLE 15751.00
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ENTERGY CORP COM 29364G103 490 16932.00 SH SOLE 16932.00
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GRAINGER W W INC COM 384802104 324 6732.00 SH SOLE 6732.00
MASCO CORP COM 574599106 958 30900.00 SH SOLE 30900.00
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REGIONS FINL CORP COM 758940100 435 14495.00 SH SOLE 14495.00
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BLOCK H + R INC COM 093671105 305 7025.00 SH SOLE 7025.00
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CONAGRA INC COM 205887102 748 33166.00 SH SOLE 33166.00
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GPU INC COM 36225X100 288 8830.00 SH SOLE 8830.00
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MGIC INVTCORP WIS COM 552848103 372 7798.00 SH SOLE 7798.00
MARSH + MCLENNAN COS INC COM 571748102 1208 17639.00 SH SOLE 17639.00
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NICOR INC COM 654086107 122 3278.00 SH SOLE 3278.00
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ONEOK INCNEW COM 682680103 69 2287.00 SH SOLE 2287.00
PG+E CORP COM 69331C108 678 26195.00 SH SOLE 26195.00
P P + L RES INC COM 693499105 300 11099.00 SH SOLE 11099.00
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PACCAR INC COM 693718108 277 5444.00 SH SOLE 5444.00
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PEPSICO INC COM 713448108 3066 101364.00 SH SOLE 101364.00
PHILLIPS PETE CO COM 718507106 862 17678.00 SH SOLE 17678.00
POTLATCH CORP COM 737628107 82 1998.00 SH SOLE 1998.00
PROCTER + GAMBLE CO COM 742718109 8522 90902.00 SH SOLE 90902.00
PUBLIC SVC ENTERPRISE GROUP COM 744573106 609 15779.00 SH SOLE 15779.00
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REPUBLIC NY CORP COM 760719104 453 7374.00 SH SOLE 7374.00
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SEMPRA ENERGY COM 816851109 339 16297.00 SH SOLE 16297.00
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UNICOM CORP COM 904911104 548 14837.00 SH SOLE 14837.00
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INTERPUBLIC GROUP COS INC COM 460690100 777 18904.00 SH SOLE 18904.00
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HOME DEPOT INC COM 437076102 6933 101023.00 SH SOLE 101023.00
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ANDREW CORP COM 034425108 103 5944.00 SH SOLE 5944.00
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ENRON CORP COM 293561106 1988 48200.00 SH SOLE 48200.00
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CONOCO INC CL B 208251405 431 15753.00 SH SOLE 15753.00
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PE CORP COM PE BIOSYSTEMS GROUP 69332S102 183 2534.00 SH SOLE 2534.00
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CAROLINA PWR + LT CO COM 144141108 134 3777.00 SH SOLE 3777.00
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WEYERHAEUSER CO COM 962166104 287 4989.00 SH SOLE 4989.00
LILLY ELI+ CO COM 532457108 1747 27304.00 SH SOLE 27304.00
MBNA CORP COM 55262L100 448 19651.00 SH SOLE 19651.00
MEDTRONIC INC COM 585055106 1027 28916.00 SH SOLE 28916.00
MERCK + CO INC COM 589331107 3795 58546.00 SH SOLE 58546.00
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PFIZER INC COM 717081103 3490 97107.00 SH SOLE 97107.00
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DANAHER CORP COM 235851102 185 3509.00 SH SOLE 3509.00
DOLLAR GEN CORP 256669102 172 5558.00 SH SOLE 5558.00
FRANKLIN RES INC COM 354613101 194 6299.00 SH SOLE 6299.00
GENERAL ELEC CO COM 369604103 9680 81644.00 SH SOLE 81644.00
ILLINOIS TOOL WKS INC COM 452308109 466 6247.00 SH SOLE 6247.00
STATE STREET CORPORATION COM 857477103 257 3973.00 SH SOLE 3973.00
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CATERPILLAR INC COM 149123101 497 9073.00 SH SOLE 9073.00
DONNELLEYR R + SONS CO COM 257867101 102 3526.00 SH SOLE 3526.00
DOW CHEM CO COM 260543103 633 5568.00 SH SOLE 5568.00
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MONSANTO CO COM 611662107 549 15374.00 SH SOLE 15374.00
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U S WEST INC NEW COM 91273H101 712 12472.00 SH SOLE 12472.00
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INGERSOLL RAND CO COM 456866102 225 4088.00 SH SOLE 4088.00
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NIKE INC CL B 654106103 408 7167.00 SH SOLE 7167.00
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CLOROX CO COM 189054109 232 6053.00 SH SOLE 6053.00
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COMERICA INC COM 200340107 198 3907.00 SH SOLE 3907.00
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IMS HEALTH INC COM 449934108 183 8032.00 SH SOLE 8032.00
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PECO ENERGY CO COM 693304107 180 4789.00 SH SOLE 4789.00
TYCO INTLLTD NEW COM 902124106 2148 20805.12 SH SOLE 20805.12
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CORNING INC COM 219350105 401 5852.00 SH SOLE 5852.00
CROWN CORK + SEAL INC COM 228255105 74 3056.00 SH SOLE 3056.00
ALCAN ALUM LTD COM 013716105 179 5714.00 SH SOLE 5714.00
EASTMAN CHEM CO COM 277432100 79 1977.00 SH SOLE 1977.00
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FLEETWOODENTERPRISES INC COM 339099103 17 852.00 SH SOLE 852.00
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REGIONS FINL CORP COM 758940100 165 5493.00 SH SOLE 5493.00
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MORGAN J P + CO INC COM 616880100 505 4424.00 SH SOLE 4424.00
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ONEOK INCNEW COM 682680103 24 787.00 SH SOLE 787.00
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P P + L RES INC COM 693499105 111 4102.00 SH SOLE 4102.00
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PEPSICO INC COM 713448108 1121 37045.00 SH SOLE 37045.00
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HOME DEPOT INC COM 437076102 2535 36939.00 SH SOLE 36939.00
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SLM HLDG CORP COM 78442A109 180 4185.00 SH SOLE 4185.00
SOLECTRONCORP COM 834182107 479 6671.00 SH SOLE 6671.00
STAPLES INC COM 855030102 238 10897.00 SH SOLE 10897.00
AMR CORP DEL COM 001765106 213 3900.00 SH SOLE 3900.00
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DOVER CORP COM 260003108 227 5552.00 SH SOLE 5552.00
HERCULES INC COM 427056106 69 2421.00 SH SOLE 2421.00
MAY DEPT STORES CO COM 577778103 317 8695.00 SH SOLE 8695.00
MINNESOTA MNG + MFG CO COM 604059105 966 10054.00 SH SOLE 10054.00
TIME WARNER INC COM 887315109 1953 32156.00 SH SOLE 32156.00
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AMERICAN GREETINGS CORP CL A 026375105 47 1807.00 SH SOLE 1807.00
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CBS CORP COM 12490K107 828 17908.00 SH SOLE 17908.00
COLUMBIA ENERGY GROUP COM 197648108 116 2098.00 SH SOLE 2098.00
COMPUWARECORP COM 205638109 237 9105.00 SH SOLE 9105.00
SPRINT CORP PCS COM SER 1 852061506 817 10960.00 SH SOLE 10960.00
SUN MICROSYSTEMS INC COM 866810104 1791 19258.00 SH SOLE 19258.00
UNISYS CORP COM 909214108 344 7626.00 SH SOLE 7626.00
WELLPOINT HEALTH NETWORKS INC CL A 94973H108 83 1461.00 SH SOLE 1461.00
BED BATH + BEYOND INC COM 075896100 122 3500.00 SH SOLE 3500.00
BIOMET INC COM 090613100 73 2769.00 SH SOLE 2769.00
COMPUTER SCIENCES CORP COM 205363104 277 3943.00 SH SOLE 3943.00
COSTCO WHSL CORP NEW COM 22160K105 387 5373.00 SH SOLE 5373.00
DISNEY WALT CO COM 254687106 1320 51032.00 SH SOLE 51032.00
GAP INC COM 364760108 686 21443.00 SH SOLE 21443.00
KNIGHT RIDDER INC COM 499040103 107 1952.00 SH SOLE 1952.00
KOHLS CORP COM 500255104 274 4142.00 SH SOLE 4142.00
KROGER CO COM 501044101 452 20480.00 SH SOLE 20480.00
NETWORK APPLIANCE INC COM 64120L104 119 1665.00 SH SOLE 1665.00
ORACLE CORP COM 68389X105 1633 35887.00 SH SOLE 35887.00
PITNEY BOWES INC COM 724479100 414 6790.00 SH SOLE 6790.00
PROVIDIANFINL CORP COM 74406A102 278 3513.00 SH SOLE 3513.00
SAFEWAY INC COM NEW 786514208 482 12670.00 SH SOLE 12670.00
TIMES MIRROR CO NEW COM SER A 887364107 121 1833.00 SH SOLE 1833.00
TRIBUNE CO NEW COM 896047107 304 6114.00 SH SOLE 6114.00
WATSON PHARMACEUTICALS INC COM 942683103 76 2486.00 SH SOLE 2486.00
BEST BUY CO INC COM STK USD0.10 086516101 316 5085.00 SH SOLE 5085.00
ENRON CORP COM 293561106 724 17546.00 SH SOLE 17546.00
HONEYWELLINC COM 438506107 355 3191.00 SH SOLE 3191.00
MEDIAONE GROUP INC COM 58440J104 1037 15175.00 SH SOLE 15175.00
MICRON TECHNOLOGY INC COM 595112103 412 6184.00 SH SOLE 6184.00
QUALCOMM INC COM 747525103 745 3936.00 SH SOLE 3936.00
SEALED AIR CORP NEW COM 81211K100 108 2113.00 SH SOLE 2113.00
VIACOM INC CL B 925524308 746 17653.00 SH SOLE 17653.00
CSX CORP COM 126408103 229 5410.00 SH SOLE 5410.00
CENDANT CORP COM 151313103 334 18825.00 SH SOLE 18825.00
CHEVRON CORP COM 166751107 1447 16299.00 SH SOLE 16299.00
CONSOLIDATED EDISON INC COM 209115104 242 5823.00 SH SOLE 5823.00
DAYTON HUDSON CORP COM 239753106 653 10871.00 SH SOLE 10871.00
DOMINION RES INC VA COM 257470104 221 4897.00 SH SOLE 4897.00
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FLORIDA PROGRESS CORP COM 341109106 97 2088.00 SH SOLE 2088.00
GRACE W R+ CO DEL NEW COM 38388F108 30 1881.00 SH SOLE 1881.00
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IKON OFFICE SOLUTIONS INC COM 451713101 36 3381.00 SH SOLE 3381.00
K MART CORP COM 482584109 143 12215.00 SH SOLE 12215.00
MIRAGE RESORTS INC COM 60462E104 63 4513.00 SH SOLE 4513.00
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NIAGARA MOHAWK HLDGS INC COM 653520106 72 4686.00 SH SOLE 4686.00
NOVELL INC COM 670006105 180 8698.00 SH SOLE 8698.00
PHELPS DODGE CORP COM 717265102 81 1466.00 SH SOLE 1466.00
ROWAN COSINC COM 779382100 36 2191.00 SH SOLE 2191.00
UST INC COM USD0.50 902911106 138 4587.00 SH SOLE 4587.00
USX U S STL GROUP 90337T101 55 2141.00 SH SOLE 2141.00
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AES CORP COM 00130H105 282 4786.00 SH SOLE 4786.00
ALLEGHENYTELDYNE INC COM 017415100 83 4942.00 SH SOLE 4942.00
ASHLAND INC COM 044204105 64 1890.00 SH SOLE 1890.00
BALL CORP COM 058498106 32 727.00 SH SOLE 727.00
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BEMIS INC COM RTS CALLABLE THRU 22AUG99 081437105 46 1370.00 SH SOLE 1370.00
BETHLEHEMSTL CORP COM 087509105 24 3206.00 SH SOLE 3206.00
BRUNSWICKCORP COM 117043109 62 2483.00 SH SOLE 2483.00
CABLETRON SYSTEMS INC COM STK 126920107 62 3978.00 SH SOLE 3978.00
CERIDIAN CORP COM 15677T106 88 3525.00 SH SOLE 3525.00
COORS ADOLPH CO CLASS B COM 217016104 49 898.00 SH SOLE 898.00
CRANE CO COM 224399105 38 1708.00 SH SOLE 1708.00
DATA GEN CORP COM 237688106 25 1210.00 SH SOLE 1210.00
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FPL GROUPINC COM 302571104 228 4532.00 SH SOLE 4532.00
FREEPORT MCMORAN COPPER + GOLD CL B 35671D857 70 4477.00 SH SOLE 4477.00
HALLIBURTON CO COM 406216101 450 10977.00 SH SOLE 10977.00
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INCO LTD COM 453258402 91 4240.00 SH SOLE 4240.00
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KANSAS CITY SOUTHN INDS INC COM 485170104 122 2630.00 SH SOLE 2630.00
KELLOGG CO COM 487836108 382 10197.00 SH SOLE 10197.00
KEYCORP NEW COM 493267108 283 10973.00 SH SOLE 10973.00
KING WORLD PRODTNS INC COM 495667107 69 1853.00 SH SOLE 1853.00
LSI LOGICCORP COM 502161102 179 3473.00 SH SOLE 3473.00
LIMITED INC COM 532716107 214 5603.00 SH SOLE 5603.00
MCGRAW HILL COS INC COM 580645109 237 4901.00 SH SOLE 4901.00
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NACCO INDS INC CL A 629579103 14 205.00 SH SOLE 205.00
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NORDSTROMINC COM 655664100 102 3784.00 SH SOLE 3784.00
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OWENS ILLINC COM NEW 690768403 76 3846.00 SH SOLE 3846.00
PARKER HANNIFIN CORP COM 701094104 125 2786.00 SH SOLE 2786.00
PEOPLESOFT INC COM 712713106 98 5780.00 SH SOLE 5780.00
PLACER DOME INC COM 725906101 96 6431.00 SH SOLE 6431.00
RALSTON PURINA CO COM RALSTON PURINA GROUP 751277302 219 7879.00 SH SOLE 7879.00
REEBOK INTL LTD COM 758110100 15 1410.00 SH SOLE 1410.00
RYDER SYSINC COM 783549108 37 1794.00 SH SOLE 1794.00
SCIENTIFIC ATLANTA INC COM 808655104 99 2000.00 SH SOLE 2000.00
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SHERWIN WILLIAMS CO COM 824348106 90 4305.00 SH SOLE 4305.00
SIGMA ALDRICH COM 826552101 78 2469.00 SH SOLE 2469.00
SILICON GRAPHICS INC COM 827056102 51 4705.00 SH SOLE 4705.00
SNAP ON INC COM 833034101 48 1481.00 SH SOLE 1481.00
SONAT INC COM 835415100 109 2749.00 SH SOLE 2749.00
SPRINGS INDS INC COM 851783100 16 471.00 SH SOLE 471.00
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TENNECO INC NEW COM 88037E101 71 4205.00 SH SOLE 4205.00
THERMO ELECTRON CORP COM 883556102 53 3967.00 SH SOLE 3967.00
USX MARATHON GROUP COM NEW 902905827 214 7318.00 SH SOLE 7318.00
UNILEVER N V NY SHS NEW 904784709 972 14270.00 SH SOLE 14270.00
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VULCAN MATLS CO COM 929160109 80 2191.00 SH SOLE 2191.00
ARCH COMMUNICATIONS GROUP INC COM NEW 039381504 51 12700.00 SH SOLE 12700.00
CLECO CORP NEW COM 12561W105 2456 75700.00 SH SOLE 75700.00
AEGON ORD AMER REG 007924103 16090 186011.00 SH SOLE 186011.00
QUANTUM CORP DSSG COM 747906204 205 14600.00 SH SOLE 14600.00
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CONOCO INC CL B 208251405 9739 355752.00 SH SOLE 355752.00
CK WITCO CORP COM 12562C108 810 54435.00 SH SOLE 54435.00
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CITIGROUP INC COM 172967101 78457 1783120.50 SH SOLE 1783120.50
GILLETTE CO COM 375766102 8419 248067.00 SH SOLE 248067.00
LUCENT TECHNOLOGIES INC COM 549463107 15408 237500.00 SH SOLE 237500.00
SCHWAB CHARLES CORP NEW COM STK 808513105 4021 120248.00 SH SOLE 120248.00
CONSTELLATION ENERGY GROUP INC COM 210371100 7673 272800.00 SH SOLE 272800.00
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RAYTHEON CO CL B 755111408 12406 250000.00 SH SOLE 250000.00
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CVS CORP COM 126650100 931 22800.00 SH SOLE 22800.00
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FRANKLIN RES INC COM 354613101 3102 101500.00 SH SOLE 101500.00
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CATERPILLAR INC COM 149123101 15753 287400.00 SH SOLE 287400.00
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U S WEST INC NEW COM 91273H101 15568 272829.00 SH SOLE 272829.00
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ALBERTSONS INC COM 013104104 7782 196700.00 SH SOLE 196700.00
AT + T CORP COM 001957109 86817 1995800.00 SH SOLE 1995800.00
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CIGNA CORP COM 125509109 39653 510000.00 SH SOLE 510000.00
DILLARDS INC CL A 254067101 6417 315900.00 SH SOLE 315900.00
EATON CORP COM 278058102 2486 28800.00 SH SOLE 28800.00
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LEHMAN BROTHERS HLDGS INC COM 524908100 6164 105600.00 SH SOLE 105600.00
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MOBIL CORP COM 607059102 74393 738392.00 SH SOLE 738392.00
NIKE INC CL B 654106103 11051 194300.00 SH SOLE 194300.00
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WAL MART STORES INC COM 931142103 26920 566000.00 SH SOLE 566000.00
ABBOTT LABS COM NPV 002824100 7767 211700.00 SH SOLE 211700.00
ALLTEL CORP COM 020039103 2375 33742.00 SH SOLE 33742.00
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AMSOUTH BANCORPORATION COM 032165102 7666 327075.00 SH SOLE 327075.00
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COCA COLACO COM 191216100 33596 696300.00 SH SOLE 696300.00
COMERICA INC COM 200340107 5242 103550.00 SH SOLE 103550.00
GANNETT INC COM 364730101 5175 74800.00 SH SOLE 74800.00
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EXXON CORP COM 302290101 113369 1491700.00 SH SOLE 1491700.00
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PECO ENERGY CO COM 693304107 1013 27000.00 SH SOLE 27000.00
ARMSTRONG WORLD INDS INC COM 042476101 5810 129300.00 SH SOLE 129300.00
CMS ENERGY CORP COM 125896100 5461 160900.00 SH SOLE 160900.00
EASTMAN CHEM CO COM 277432100 8063 202200.00 SH SOLE 202200.00
GRAINGER W W INC COM 384802104 2663 55400.00 SH SOLE 55400.00
NATIONAL SVC INDS INC 637657107 4111 130500.00 SH SOLE 130500.00
PNC BK CORP COM 693475105 9942 188700.00 SH SOLE 188700.00
RAYTHEON CO CL A 755111309 1683 34700.00 SH SOLE 34700.00
TRW INC COM 872649108 2517 50600.00 SH SOLE 50600.00
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ALLSTATE CORP COM 020002101 23626 947400.00 SH SOLE 947400.00
AMEREN CORP COM 023608102 7256 191900.00 SH SOLE 191900.00
ANALYSTS INTL CORP COM 032681108 778 75000.00 SH SOLE 75000.00
ARCH CHEMICALS INC COM 03937R102 771 47600.00 SH SOLE 47600.00
ATLANTIC RICHFIELD CO COM 048825103 42957 484703.00 SH SOLE 484703.00
AUTOLIV COM 052800109 4041 107400.00 SH SOLE 107400.00
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BANTA CORP COM STK 066821109 4413 197800.00 SH SOLE 197800.00
BELO A H CORP COM SER A 080555105 3263 170600.00 SH SOLE 170600.00
BLOCK H +R INC COM 093671105 12019 276700.00 SH SOLE 276700.00
BOWATER INC COM 102183100 2594 49400.00 SH SOLE 49400.00
C+D TECHNOLOGIES COM 124661109 2723 75000.00 SH SOLE 75000.00
CMP GROUPINC COM 125887109 1960 74300.00 SH SOLE 74300.00
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CONAGRA INC COM 205887102 990 43900.00 SH SOLE 43900.00
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DTE ENERGY CO COM 233331107 2648 72800.00 SH SOLE 72800.00
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DUKE ENERGY CO COM STK NPV 264399106 8076 146500.00 SH SOLE 146500.00
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ENESCO GROUP INC COM 292973104 1327 86300.00 SH SOLE 86300.00
EQUITABLERES INC COM 294549100 3528 93300.00 SH SOLE 93300.00
ETHAN ALLEN INTERIORS INC COM 297602104 153 4800.00 SH SOLE 4800.00
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FORTUNE BRANDS INC COM 349631101 9082 281600.00 SH SOLE 281600.00
GPU INC COM 36225X100 10324 316445.00 SH SOLE 316445.00
GENERALE CABLE CORP DEL NEW COM 369300108 900 75000.00 SH SOLE 75000.00
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GOODRICH B F CO COM 382388106 11525 397405.00 SH SOLE 397405.00
HEINZ H JCO COM 423074103 17002 395400.00 SH SOLE 395400.00
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HOMESTAKEMNG CO COM 437614100 1090 118600.00 SH SOLE 118600.00
HOST MARRIOTT CORP NEW COM 44107P104 5607 590241.00 SH SOLE 590241.00
HUBBELL INC CLB 443510201 3 100.00 SH SOLE 100.00
HUNTINGTON BANCSHARES INC COM 446150104 6565 247159.00 SH SOLE 247159.00
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KINDER MORGAN INC KANS COM 49455P101 2905 129450.00 SH SOLE 129450.00
KEYSPAN CORP COM 49337W100 2882 100672.00 SH SOLE 100672.00
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MDU RES GROUP INC COM 552690109 2502 111200.00 SH SOLE 111200.00
MGIC INVTCORP WIS COM 552848103 4775 100000.00 SH SOLE 100000.00
MARSH + MCLENNAN COS INC COM 571748102 7946 116000.00 SH SOLE 116000.00
MERCURY GEN CORP NEW COM 589400100 174 6300.00 SH SOLE 6300.00
MORGAN J P + CO INC COM 616880100 82169 719200.00 SH SOLE 719200.00
NEW CENTY ENERGIES INC COM 64352U103 4049 121100.00 SH SOLE 121100.00
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NICOR INC COM 654086107 2715 73000.00 SH SOLE 73000.00
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OGE ENERGY CORP COM 670837103 5634 253200.00 SH SOLE 253200.00
OLIN CORP COM PAR 1 680665205 1297 95200.00 SH SOLE 95200.00
ONEOK INCNEW COM 682680103 3838 126600.00 SH SOLE 126600.00
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P P + L RES INC COM 693499105 4606 170200.00 SH SOLE 170200.00
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PREMARK INTL INC COM 740459102 8923 176700.00 SH SOLE 176700.00
PROCTER + GAMBLE CO COM 742718109 24759 264100.00 SH SOLE 264100.00
PUBLIC SVC CO NM COM 744499104 7953 435800.00 SH SOLE 435800.00
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READERS DIGEST ASSN INC COM CL A NON VTG 755267101 5467 186900.00 SH SOLE 186900.00
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SOUTHERN CO COM 842587107 14835 576100.00 SH SOLE 576100.00
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UNICOM CORP COM 904911104 4388 118800.00 SH SOLE 118800.00
UNION PAC CORP COM 907818108 9132 190000.00 SH SOLE 190000.00
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BMC SOFTWARE INC COM 055921100 10306 144017.00 SH SOLE 144017.00
CISCO SYSINC COM 17275R102 7744 112952.00 SH SOLE 112952.00
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DELL COMPUTER CORP COM 247025109 4233 101231.00 SH SOLE 101231.00
E M C CORP MASS COM 268648102 3852 53972.00 SH SOLE 53972.00
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HOME DEPOT INC COM 437076102 19242 280392.00 SH SOLE 280392.00
MICROSOFT CORP COM 594918104 40569 447964.00 SH SOLE 447964.00
NEXTEL COMMUNICATIONS INC CL A 65332V103 1565 23073.00 SH SOLE 23073.00
QUINTILESTRANSNATIONAL CORP COM 748767100 2752 144612.00 SH SOLE 144612.00
SYLVAN LEARNING SYS INC COM 871399101 1700 87741.00 SH SOLE 87741.00
TELLABS INC COM 879664100 18882 331630.00 SH SOLE 331630.00
TOYS R USINC COM 892335100 12663 844190.00 SH SOLE 844190.00
US BANCORP DEL COM 902973106 19351 641027.00 SH SOLE 641027.00
DANA CORP COM 235811106 1563 42100.00 SH SOLE 42100.00
HARRIS CORP DEL COM 413875105 3997 144700.00 SH SOLE 144700.00
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SPRINT CORP COM 852061100 18716 345000.00 SH SOLE 345000.00
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LEXMARK INTL GROUP INC CL A 529771107 757 9400.00 SH SOLE 9400.00
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OFFICE DEPOT INC COM 676220106 2147 204450.00 SH SOLE 204450.00
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TENET HEALTHCARE CORP COM 88033G100 3251 185100.00 SH SOLE 185100.00
VALASSIS COMMUNICATIONS INC COM 918866104 4857 110550.00 SH SOLE 110550.00
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FDX CORP COM 31304N107 9136 235000.00 SH SOLE 235000.00
FIRST UN CORP COM 337358105 36879 1035206.00 SH SOLE 1035206.00
LYONDELL CHEMICAL CO COM 552078107 546 40800.00 SH SOLE 40800.00
VENTAS INC COM 92276F100 2857 601400.00 SH SOLE 601400.00
AMERICAN INTL GROUP INC COM 026874107 83879 964823.00 SH SOLE 964823.00
ANALOG DEVICES INC COM 032654105 1535 29958.00 SH SOLE 29958.00
BJ SVCS CO COM 055482103 6515 204799.00 SH SOLE 204799.00
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HARLEY DAVIDSON INC COM RTS CALLABLE THRU 23MAY98 412822108 9116 182087.00 SH SOLE 182087.00
INTERNATIONAL PAPER CO COM 460146103 17574 365648.00 SH SOLE 365648.00
MCI WORLDCOM INC COM 55268B106 43498 605196.00 SH SOLE 605196.00
AMR CORP DEL COM 001765106 6648 121977.00 SH SOLE 121977.00
CADENCE DESIGN SYS INC COM 127387108 721 53900.00 SH SOLE 53900.00
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DOVER CORP COM 260003108 4088 100000.00 SH SOLE 100000.00
MINNESOTAMNG + MFG CO COM 604059105 37195 387200.00 SH SOLE 387200.00
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COSTCO WHSL CORP NEW COM 22160K105 4660 64726.00 SH SOLE 64726.00
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KROGER CO COM 501044101 7029 318600.00 SH SOLE 318600.00
MICROS SYS INC COM 594901100 3038 75000.00 SH SOLE 75000.00
ORACLE CORP COM 68389X105 7043 154800.00 SH SOLE 154800.00
TIMES MIRROR CO NEW COM SER A 887364107 770 11700.00 SH SOLE 11700.00
HONEYWELLINC COM 438506107 7388 66375.00 SH SOLE 66375.00
MICRON TECHNOLOGY INC COM 595112103 1902 28600.00 SH SOLE 28600.00
QUALCOMM INC COM 747525103 1706 9018.00 SH SOLE 9018.00
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CSX CORP COM 126408103 11721 276600.00 SH SOLE 276600.00
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CHEMFIRSTINC COM 16361A106 6279 229900.00 SH SOLE 229900.00
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CONSOLIDATED EDISON INC COM 209115104 5984 144200.00 SH SOLE 144200.00
CRESTLINECAP CORP COM 226153104 1117 54300.00 SH SOLE 54300.00
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DOMINION RES INC VA COM 257470104 8623 191100.00 SH SOLE 191100.00
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MENS WEARHOUSE INC 587118100 1613 75000.00 SH SOLE 75000.00
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TRIUMPH GROUP INC NEW COM 896818101 1992 75000.00 SH SOLE 75000.00
UGI CORP NEW COM 902681105 3348 144000.00 SH SOLE 144000.00
UST INC COM USD0.50 902911106 130 4300.00 SH SOLE 4300.00
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V F CORP COM 918204108 5385 173700.00 SH SOLE 173700.00
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HALLIBURTON CO COM 406216101 3075 75000.00 SH SOLE 75000.00
</TABLE
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