13F-HR 1 0001.txt FORM 13F REPORT 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, 2000 -------------------------- 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 ------------------------------------------- Address: CityPlace II, 185 Asylum St. ------------------------------------------- Hartford, Connecticut 06103-4105 ------------------------------------------- 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. 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 ------------------------------------------- Title: Compliance Manager ------------------------------------------- Phone: (860) 541-5628 ------------------------------------------- Signature, Place and Date of Signing: /S/ William M. Bourque Hartford, Connecticut 08/11/00 ------------------------ ----------------------- ----------- [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).) 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: 759 Form 13F Information Table Value Total: $2,060,462 FORM 13F HOLDINGS AS OF 06/30/2000 ------------------------------------------------------------------------------------------------------------------------------------ NAME OF REPORTING MANAGER CONNING ASSET MANAGEMENT COMPANY ------------------------------------------------------------------------------------------------------------------------------------
Item 6: Investment Discretion 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 Sole Shared Shared Instr. Sole Shared None Value as Other V (000's) def. in Instr. V ----------------------------------------------------------------------------------------------------------------------------------- ADC TELECOMMUNICATIONS INC COMMON STOCKS 000886101 2,900 35,800 X 35,800 ACM GOVERNMENT INCOME FUND COMMON STOCKS 000912105 1,600 237,000 X 237,000 AFLAC INC COMMON STOCKS 001055102 1,176 24,600 X 24,600 AG SERVICES OF AMERICA COMMON STOCKS 001250109 474 31,100 X 31,100 AES CORP COMMON STOCKS 00130H105 2,001 43,300 X 43,300 AMR CORP/DEL COMMON STOCKS 001765106 2,619 99,080 X 99,080 A T & T CORP COMMON STOCKS 001957109 17,708 540,196 X 540,196 AXA FINANCIAL INC COMMON STOCKS 002451102 1,187 34,900 X 34,900 ABBOTT LABORATORIES COMMON STOCKS 002824100 11,769 278,040 X 278,040 ACCEPTANCE INSURANCE COMPANIES INC COMMON STOCKS 004308102 156 31,128 X 31,128 ADOBE SYSTEMS INC COMMON STOCKS 00724F101 3,088 26,100 X 26,100 ADVEST GROUP COMMON STOCKS 007566102 641 30,600 X 30,600 ADVANCED MICRO DEVICES COMMON STOCKS 007903107 1,085 13,500 X 13,500 AFFILIATED MANAGERS GROUP COMMON STOCKS 008252108 205 4,500 X 4,500 AGILENT ECHNOLOGIES INC COMMON STOCKS 00846U101 2,304 31,235 X 31,235 AIR PRODUCTS & CHEMICALS INC COMMON STOCKS 009158106 670 21,100 X 21,100 AIRNET SYSTEMS INC COMMON STOCKS 009417106 135 29,600 X 29,600 ALAMO GROUP COMMON STOCKS 011311107 360 28,800 X 28,800 ALBERTSON'S INC COMMON STOCKS 013104104 1,501 43,206 X 43,206 ALCAN ALUMINUM LTD COMMON STOCKS 013716105 419 13,525 X 13,525 ALCOA INC COMMON STOCKS 013817101 3,693 126,696 X 126,696 ALLERGAN INC COMMON STOCKS 018490102 880 12,200 X 12,200 ALLIED HOLDINGS INC COMMON STOCKS 019223106 175 29,200 X 29,200 ALLIED PRODUCTS CORP COMMON STOCKS 019411107 51 32,950 X 32,950 ALLIED WASTE INDUSTRIES INC COMMON STOCKS 019589308 117 11,700 X 11,700 ALLSTATE CORP COMMON STOCKS 020002101 1,982 81,896 X 81,896 ALLTEL CORP COMMON STOCKS 020039103 2,027 32,000 X 32,000 ALPINE GROUP INC COMMON STOCKS 020825105 209 30,900 X 30,900 ALTERA CORPORATION COMMON STOCKS 021441100 2,944 28,800 X 28,800 ALZA CORP COMMON STOCKS 022615108 823 15,700 X 15,700 AMCAST INDUSTRIAL CORP COMMON STOCKS 023395106 263 30,000 X 30,000 AMERADA HESS CORP COMMON STOCKS 023551104 346 5,600 X 5,600 AMEREN CORPORATION COMMON STOCKS 023608102 287 8,500 X 8,500 AMERICA ONLINE INC COMMON STOCKS 02364J104 17,193 323,200 X 323,200 AMERICA FIRST MORTGAGE INVESTMENT COMMON STOCKS 023934102 149 29,800 X 29,800 AMERICAN ELECTRIC POWER COMMON STOCKS 025537101 588 19,860 X 19,860 AMERICAN EXPRESS COMMON STOCKS 025816109 10,228 192,200 X 192,200 AMERICAN GENERAL CORP COMMON STOCKS 026351106 5,563 90,356 X 90,356 AMERICAN HOME PRODUCTS CORP COMMON STOCKS 026609107 10,381 180,300 X 180,300 AMERICAN INTERNATIONAL GROUP COMMON STOCKS 026874107 31,160 263,275 X 263,275 AMERICAN MED SECURITY GROUP COMMON STOCKS 02744P101 204 29,600 X 29,600 AMERICAN RETIREMENT CORP COMMON STOCKS 028913101 173 31,100 X 31,100 AMERICAN POWER CONVERSION COMMON STOCKS 029066107 486 11,900 X 11,900 AMERICAN RESIDENTIAL INVT TR COMMON STOCKS 02926T103 128 31,100 X 31,100 AMERICAN SKIING COMPANY COMMON STOCKS 029654308 82 29,800 X 29,800 AMERON INTERNATIONAL COMMON STOCKS 030710107 1,090 30,500 X 30,500 AMGEN INC COMMON STOCKS 031162100 10,384 152,900 X 152,900 AMPCO-PITTSBURGH CORP COMMON STOCKS 032037103 346 31,100 X 31,100 AMREP CORP COMMON STOCKS 032159105 175 31,100 X 31,100 AMSOUTH BANCORPORATION COMMON STOCKS 032165102 598 35,900 X 35,900 ANADARKO PETROLEUM CORP COMMON STOCKS 032511107 977 19,400 X 19,400 ANALOG DEVICES COMMON STOCKS 032654105 2,956 35,500 X 35,500 ANDREW CORP COMMON STOCKS 034425108 475 12,900 X 12,900 ANGELICA CORP COMMON STOCKS 034663104 236 29,500 X 29,500 ANHEUSER BUSCH CO COMMON STOCKS 035229103 4,451 58,450 X 58,450 ANNALY MORTGAGE MANAGEMENT COMMON STOCKS 035710409 268 30,200 X 30,200 AON CORP COMMON STOCKS 037389103 762 23,600 X 23,600 APACHE CORP COMMON STOCKS 037411105 418 7,100 X 7,100 APEX MORTGAGE CAPITAL INC COMMON STOCKS 037564101 245 28,800 X 28,800 APPLE COMPUTER INC COMMON STOCKS 037833100 1,654 32,800 X 32,800 APPLIED MAGNETICS CORP COMMON STOCKS 038213104 1 52,085 X 52,085 APPLIED MATERIALS INC COMMON STOCKS 038222105 10,287 114,300 X 114,300 ARCHER DANIELS MIDLAND CO COMMON STOCKS 039483102 588 55,990 X 55,990 ASSOCIATES FIRST CAPITAL-A COMMON STOCKS 046008108 3,165 134,152 X 134,152 ATLANTA SOSNOFF CAPITAL COMMON STOCKS 046499109 304 30,400 X 30,400 ATCHISON CASTING CORP COMMON STOCKS 046613105 179 31,100 X 31,100 AUTODESK INC COMMON STOCKS 052769106 271 7,300 X 7,300 AUTOMATIC DATA PROCESSING COMMON STOCKS 053015103 6,157 113,400 X 113,400 AUTOZONE INC COMMON STOCKS 053332102 386 13,900 X 13,900 AVERY DENNISON CORP COMMON STOCKS 053611109 683 10,400 X 10,400 AVIALL INC COMMON STOCKS 05366B102 154 31,100 X 31,100 AVISTA CORPORATION PREFERRED STOCKS 05379B305 2,050 20,000 X 20,000 AVON PRODUCTS INC COMMON STOCKS 054303102 967 22,300 X 22,300 AZTEC MANUFACTURING COMMON STOCKS 054825104 489 30,100 X 30,100 BB&T CORPORATION COMMON STOCKS 054937107 803 31,500 X 31,500 BP AMOCO COMMON STOCKS 055622104 1,901 34,132 X 34,132 BMC SOFTWARE INC COMMON STOCKS 055921100 881 22,500 X 22,500 BWAY CORP COMMON STOCKS 056039100 184 27,700 X 27,700 BAIRNCO CORP COMMON STOCKS 057097107 229 31,100 X 31,100 BAKER HUGHES INC COMMON STOCKS 057224107 1,886 58,310 X 58,310 BALLANTYNE OF OMAHA INC COMMON STOCKS 058516105 68 31,100 X 31,100 BANGOR HYDRO ELECTRIC COMMON STOCKS 060077104 727 31,000 X 31,000 BANK OF AMERICA CORP COMMON STOCKS 060505104 13,959 296,650 X 296,650 BANK OF NEW YORK CO INC COMMON STOCKS 064057102 4,315 92,700 X 92,700 BANK ONE CORP COMMON STOCKS 06423A103 4,194 143,985 X 143,985 BANKATLANTIC BANCORP INC. - A COMMON STOCKS 065908501 117 31,100 X 31,100 BARD C R INC COMMON STOCKS 067383109 213 5,000 X 5,000 BARRICK GOLD CORP COMMON STOCKS 067901108 670 36,300 X 36,300 BARRY (R.G.) COMMON STOCKS 068798107 115 29,600 X 29,600 BAUSCH & LOMB INC COMMON STOCKS 071707103 625 8,900 X 8,900 BAXTER INTERNATIONAL INC COMMON STOCKS 071813109 5,105 73,600 X 73,600 BEAR STEARNS COMPANIES INC COMMON STOCKS 073902108 292 7,020 X 7,020 BECKMAN COULTER INC COMMON STOCKS 075811109 1,203 20,610 X 20,610 BECTON DICKINSON & CO COMMON STOCKS 075887109 657 23,100 X 23,100 BED BATH & BEYOND INC COMMON STOCKS 075896100 315 8,700 X 8,700 BELL ATLANTIC CORP COMMON STOCKS 077853109 12,147 232,758 X 232,758 BELL INDUSTRIES INC COMMON STOCKS 078107109 82 31,112 X 31,112 BELLSOUTH CORP COMMON STOCKS 079860102 12,698 286,088 X 286,088 BENTON OIL & GAS COMPANY COMMON STOCKS 083288100 86 31,100 X 31,100 BERLITZ INTERNATIONAL COMMON STOCKS 08520F100 280 31,100 X 31,100 BEST BUY COMPANY INC COMMON STOCKS 086516101 1,326 20,900 X 20,900 BESTFOODS COMMON STOCKS 08658U101 2,156 31,200 X 31,200 BIOGEN INC COMMON STOCKS 090597105 1,491 25,200 X 25,200 BIOMET INC COMMON STOCKS 090613100 625 17,400 X 17,400 BIRMINGHAM STEEL COMMON STOCKS 091250100 121 31,100 X 31,100 BLACK & DECKER CORP COMMON STOCKS 091797100 212 5,400 X 5,400 BLACKROCK STRATEGIC MUNICIPLE FUND COMMON STOCKS 09248T109 372 29,600 X 29,600 BLUEGREEN CORP COMMON STOCKS 096231105 86 31,148 X 31,148 BOEING COMPANY COMMON STOCKS 097023105 6,401 156,652 X 156,652 BOMBAY COMPANY COMMON STOCKS 097924104 91 31,100 X 31,100 BOSTON BEER COMPANY INC - CLASS A COMMON STOCKS 100557107 266 31,100 X 31,100 BOSTON SCIENTIFIC CORP COMMON STOCKS 101137107 857 38,200 X 38,200 BRILLIANCE CHINA AUTO-SP ADR COMMON STOCKS 10949Q105 540 31,100 X 31,100 BRISTOL MYERS SQUIBB CO COMMON STOCKS 110122108 19,183 341,060 X 341,060 BROWN & SHARPE MFG CO COMMON STOCKS 115223109 87 31,100 X 31,100 BROWN-FORMAN CORP CL B COMMON STOCKS 115637209 231 4,300 X 4,300 BURLINGTON INDS INC COMMON STOCKS 121693105 52 31,100 X 31,100 BURLINGTON NORTHERN SANTA FE COMMON STOCKS 12189T104 1,254 52,824 X 52,824 BURLINGTON RESOURCES INC COMMON STOCKS 122014103 788 20,002 X 20,002 BUSH INDUSTRIES COMMON STOCKS 123164105 498 31,150 X 31,150 CBS CORPORATION COMMON STOCKS 12490K107 1,769 30,300 X 30,300 CIGNA CORP COMMON STOCKS 125509109 1,626 17,900 X 17,900 CMI CORPORATION COMMON STOCKS 125761304 109 31,100 X 31,100 CSG SYSTEMS INTL INC COMMON STOCKS 126349109 6,240 111,300 X 111,300 CSX CORP COMMON STOCKS 126408103 286 13,500 X 13,500 CVS CORP COMMON STOCKS 126650100 4,532 113,825 X 113,825 CABLETRON SYSTEMS COMMON STOCKS 126920107 673 28,600 X 28,600 CAMERON ASHLEY BUILDING PROD COMMON STOCKS 133290106 474 25,900 X 25,900 CAMPBELL SOUP CO COMMON STOCKS 134429109 1,444 47,800 X 47,800 CANWEST GLOBAL COMM CORP COMMON STOCKS 138906300 309 27,900 X 27,900 CAPITAL ONE FINANCE CORP COMMON STOCKS 14040H105 841 18,200 X 18,200 CAPITAL SENIOR LIVING CORP COMMON STOCKS 140475104 91 31,100 X 31,100 CARDINAL HEALTH INC COMMON STOCKS 14149Y108 1,986 28,500 X 28,500 CARMIKE CINEMAS COMMON STOCKS 143436103 121 31,100 X 31,100 CARNIVAL CORP COMMON STOCKS 143658102 2,800 136,700 X 136,700 CARSON INC COMMON STOCKS 145845103 131 29,100 X 29,100 CASCADE CORP COMMON STOCKS 147195101 358 30,000 X 30,000 CASCADE NATURAL GAS CORP COMMON STOCKS 147339105 519 31,100 X 31,100 CATALINA LIGHTING INC COMMON STOCKS 148865108 134 28,300 X 28,300 CATERPILLAR INC COMMON STOCKS 149123101 1,283 36,100 X 36,100 CAVALIER HOMES INC COMMON STOCKS 149507105 43 26,612 X 26,612 CENDANT CORP COMMON STOCKS 151313103 969 71,978 X 71,978 CENTRAL VERMONT PUBLIC SERVICE COMMON STOCKS 155771108 342 31,100 X 31,100 CENTURYTEL INC COMMON STOCKS 156700106 566 20,000 X 20,000 CERIDIAN CORP COMMON STOCKS 15677T106 538 22,000 X 22,000 CHAMPION INTERNATIONAL CORP COMMON STOCKS 158525105 211 2,900 X 2,900 CHART HOUSE ENTERPRISES COMMON STOCKS 160902102 168 30,500 X 30,500 CHARTER ONE FINANCIAL COMMON STOCKS 160903100 219 9,514 X 9,514 CHART INDUSTRIES COMMON STOCKS 16115Q100 152 31,125 X 31,125 CHASE INDUSTRIES INC COMMON STOCKS 161568100 327 35,100 X 35,100 CHASE MANHATTAN CORP COMMON STOCKS 16161A108 12,191 257,332 X 257,332 CHEMFAB CORP COMMON STOCKS 16361L102 343 28,900 X 28,900 CHESAPEAKE UTILITIES CORP COMMON STOCKS 165303108 531 29,900 X 29,900 CHEVRON CORP COMMON STOCKS 166751107 7,951 90,600 X 90,600 CHIC BY HIS INC COMMON STOCKS 167113109 1 22,300 X 22,300 CHROMCRAFT REVINGTON COMMON STOCKS 171117104 284 24,400 X 24,400 CHUBB CORP COMMON STOCKS 171232101 1,237 19,325 X 19,325 CHYRON CORP COMMON STOCKS 171605207 89 31,100 X 31,100 CINCINNATI FINANCIAL CORP COMMON STOCKS 172062101 321 10,200 X 10,200 CINERGY CORP COMMON STOCKS 172474108 624 24,354 X 24,354 CIRCUIT CITY STORES-CIRCUIT COMMON STOCKS 172737108 3,298 98,700 X 98,700 CIRCUIT CITY STORES CARMAX COMMON STOCKS 172737306 105 31,100 X 31,100 CISCO SYSTEMS INC COMMON STOCKS 17275R102 67,667 1,078,912 X 1,078,912 CITIGROUP INC. COMMON STOCKS 172967101 37,103 600,101 X 600,101 CITRIX SYSTEMS INC COMMON STOCKS 177376100 581 18,300 X 18,300 CLARION COMMERCIAL HLDGS - A COMMON STOCKS 18051W109 139 25,900 X 25,900 CLEAR CHANNEL COMMUNICATIONS COMMON STOCKS 184502102 2,863 37,800 X 37,800 CLOROX COMPANY COMMON STOCKS 189054109 955 21,900 X 21,900 COASTAL CORP COMMON STOCKS 190441105 1,191 19,700 X 19,700 COASTCAST COMMON STOCKS 19057T108 534 30,300 X 30,300 COCA-COLA COMPANY COMMON STOCKS 191216100 22,468 399,730 X 399,730 COCA-COLA ENTERPRISES COMMON STOCKS 191219104 815 47,600 X 47,600 COEUR D'ALENE MINES CORP COMMON STOCKS 192108108 76 31,100 X 31,100 COLE NATIONAL CORP COMMON STOCKS 193290103 212 30,300 X 30,300 COLGATE PALMOLIVE CO COMMON STOCKS 194162103 5,338 93,400 X 93,400 COLUMBIA ENERGY GROUP COMMON STOCKS 197648108 331 5,050 X 5,050 COMCAST CORP SPECIAL CL A COMMON STOCKS 200300200 6,401 163,000 X 163,000 COMERICA INC COMMON STOCKS 200340107 672 14,450 X 14,450 COMMUNITY BANK SYSTEM INC COMMON STOCKS 203607106 690 31,100 X 31,100 COMPAQ COMPUTER CORP COMMON STOCKS 204493100 10,379 401,449 X 401,449 COMPUTER ASSOCIATES INTL INC COMMON STOCKS 204912109 3,750 71,562 X 71,562 COMPUTER SCIENCES CORP COMMON STOCKS 205363104 1,406 17,000 X 17,000 COMPUWARE CORP COMMON STOCKS 205638109 375 33,100 X 33,100 COMPX INTL INC COMMON STOCKS 20563P101 609 30,000 X 30,000 COMSTOCK RESOURCES INC COMMON STOCKS 205768203 249 31,100 X 31,100 COMVERSE TECHNOLOGY INC COMMON STOCKS 205862402 1,399 15,600 X 15,600 CONAGRA INC COMMON STOCKS 205887102 2,653 137,160 X 137,160 CONE MILLS CORP COMMON STOCKS 206814105 192 31,100 X 31,100 CONECTIV INC-CLASS A COMMON STOCKS 206829202 697 28,600 X 28,600 CONEXANT SYSTEMS INC COMMON STOCKS 207142100 1,001 21,100 X 21,100 CONGOLEUM CORP COMMON STOCKS 207195108 120 29,900 X 29,900 CONOCO INC -CL B COMMON STOCKS 208251405 1,602 63,700 X 63,700 CONSECO INC COMMON STOCKS 208464107 197 20,223 X 20,223 CONSOLIDATED EDISON INC COMMON STOCKS 209115104 621 20,400 X 20,400 CONSTELLATION ENERGY GROUP COMMON STOCKS 210371100 303 9,300 X 9,300 CONVERGYS CORP COMMON STOCKS 212485106 493 9,500 X 9,500 COOKER RESTAURANT CORP/OH COMMON STOCKS 216284208 88 30,600 X 30,600 COOPER INDUSTRIES COMMON STOCKS 216669101 300 9,100 X 9,100 COOPER TIRE & RUBBER COMMON STOCKS 216831107 145 13,000 X 13,000 CORNELL COMPANIES INC COMMON STOCKS 219141108 249 31,100 X 31,100 CORNING INC COMMON STOCKS 219350105 9,074 36,300 X 36,300 CORRPRO COMPANIES INC COMMON STOCKS 220317101 101 31,100 X 31,100 COSTCO WHOLESALE CORP COMMON STOCKS 22160K105 4,844 148,106 X 148,106 COTELLIGENT INC COMMON STOCKS 221630106 177 31,100 X 31,100 COUNTRYWIDE CREDIT IND INC COMMON STOCKS 222372104 553 17,500 X 17,500 COX COMMUNICATIONS INC CL A COMMON STOCKS 224044107 393 8,900 X 8,900 CRAIG CORP COMMON STOCKS 224174102 109 28,000 X 28,000 CROMPTON CORPORATION COMMON STOCKS 227116100 403 32,900 X 32,900 CROSS TIMBERS ROYALTY TRUST COMMON STOCKS 22757R109 401 29,000 X 29,000 CROWN CORK & SEAL CO INC COMMON STOCKS 228255105 283 16,500 X 16,500 CROWN CRAFTS INC COMMON STOCKS 228309100 35 31,100 X 31,100 CULP INC COMMON STOCKS 230215105 152 29,600 X 29,600 CYBERIAN OUTPOST INC COMMON STOCKS 231914102 65 15,000 X 15,000 DTE ENERGY COMPANY COMMON STOCKS 233331107 275 9,000 X 9,000 DALLAS SEMICONDUCTOR CORP COMMON STOCKS 235204104 232 5,700 X 5,700 DAN RIVER INC CL A COMMON STOCKS 235774106 145 30,600 X 30,600 DANA CORP COMMON STOCKS 235811106 597 25,387 X 25,387 DANAHER CORP COMMON STOCKS 235851102 646 13,100 X 13,100 DAVE & BUSTER'S INC COMMON STOCKS 23833N104 186 29,800 X 29,800 DEERE & CO COMMON STOCKS 244199105 836 21,600 X 21,600 DELCO REMY INTL INC COMMON STOCKS 246626105 249 30,000 X 30,000 DELL COMPUTER CORP COMMON STOCKS 247025109 18,570 392,100 X 392,100 DELPHI AUTOMOTIVE SYSTEMS COMMON STOCKS 247126105 2,128 142,137 X 142,137 DELTA AIR LINES INC COMMON STOCKS 247361108 611 12,000 X 12,000 DELUXE CORP COMMON STOCKS 248019101 279 11,100 X 11,100 DIAMOND OFFSHORE DRILLING COMMON STOCKS 25271C102 3,789 107,860 X 107,860 DILLARDS INC-CL A COMMON STOCKS 254067101 224 15,700 X 15,700 DIMON INC COMMON STOCKS 254394109 66 31,100 X 31,100 THE WALT DISNEY CO COMMON STOCKS 254687106 13,604 345,000 X 345,000 DOLLAR GENERAL COMMON STOCKS 256669102 566 30,485 X 30,485 DOMINION RESOURCES INC/VA COMMON STOCKS 25746U109 1,040 24,050 X 24,050 DONNELLEY (R.R.) & SONS CO COMMON STOCKS 257867101 296 11,700 X 11,700 DONNELLY CORP COMMON STOCKS 257870105 380 29,200 X 29,200 DOVER CORP COMMON STOCKS 260003108 816 18,800 X 18,800 DOW CHEMICAL COMMON STOCKS 260543103 2,135 67,011 X 67,011 DOW JONES & CO INC COMMON STOCKS 260561105 410 5,600 X 5,600 DU PONT (E.I.) DE NEMOURS COMMON STOCKS 263534109 6,391 140,524 X 140,524 DUCOMMUN INC COMMON STOCKS 264147109 345 28,900 X 28,900 DUFF & PHELPS UTILITIES COMMON STOCKS 264324104 906 100,000 X 100,000 DUKE ENERGY CORP COMMON STOCKS 264399106 2,324 40,622 X 40,622 DUN & BRADSTREET CORP COMMON STOCKS 26483B106 286 9,975 X 9,975 ECC INTERNATIONAL COMMON STOCKS 268255106 104 30,225 X 30,225 EEX CORP COMMON STOCKS 26842V207 181 31,100 X 31,100 E4L INC COMMON STOCKS 268452109 28 34,300 X 34,300 EMC CORP/MASS COMMON STOCKS 268648102 26,429 358,626 X 358,626 EARTHGRAINS COMPANY COMMON STOCKS 270319106 238 12,250 X 12,250 EASTMAN CHEMICAL COMPANY COMMON STOCKS 277432100 633 13,275 X 13,275 EASTMAN KODAK CO COMMON STOCKS 277461109 5,393 90,980 X 90,980 EATON CORP COMMON STOCKS 278058102 1,422 21,220 X 21,220 ECOLAB INC COMMON STOCKS 278865100 1,875 48,000 X 48,000 EDISON INTERNATIONAL COMMON STOCKS 281020107 663 32,000 X 32,000 EDO CORP COMMON STOCKS 281347104 191 30,200 X 30,200 EL PASO ENERGY CORPORATION COMMON STOCKS 283905107 1,073 21,100 X 21,100 ELECTRONIC DATA SYSTEMS CORP COMMON STOCKS 285661104 2,490 52,700 X 52,700 EMERSON ELECTRIC CO COMMON STOCKS 291011104 3,103 51,500 X 51,500 ENHANCE FINANCIAL SVCS GROUP COMMON STOCKS 293310108 190 13,200 X 13,200 ENNIS BUSINESS FORMS COMMON STOCKS 293389102 249 31,100 X 31,100 ENRON CORP COMMON STOCKS 293561106 6,766 99,300 X 99,300 ENTERGY CORP COMMON STOCKS 29364G103 635 22,700 X 22,700 EQUIFAX INC COMMON STOCKS 294429105 652 23,900 X 23,900 EXPEDITORS INTERNATIONAL OF WA INC COMMON STOCKS 302130109 333 7,000 X 7,000 EXPRESS SCRIPTS INC COMMON STOCKS 302182100 320 5,155 X 5,155 EXXON MOBIL CORPORATION COMMON STOCKS 30231G102 42,817 536,437 X 536,437 FPL GROUP INC COMMON STOCKS 302571104 2,231 45,200 X 45,200 FAIRCHILD CORP COMMON STOCKS 303698104 152 31,174 X 31,174 FALCON PRODUCTS INC COMMON STOCKS 306075102 290 30,500 X 30,500 FAMILY DOLLAR STORES COMMON STOCKS 307000109 3,754 191,900 X 191,900 FANSTEEL INC COMMON STOCKS 307260109 122 31,100 X 31,100 FEDERAL AGRICULTURAL MORTGAGE CORP COMMON STOCKS 313148108 403 23,700 X 23,700 FHLMC COMMON STOCKS 313400301 5,917 143,000 X 143,000 FEDERATED DEPARTMENT STORES COMMON STOCKS 31410H101 670 19,400 X 19,400 FEDEX CORPORATION COMMON STOCKS 31428X106 2,287 62,940 X 62,940 FIBERMARK INC COMMON STOCKS 315646109 375 30,300 X 30,300 FIFTH THIRD BANCORP COMMON STOCKS 316773100 2,050 31,350 X 31,350 FIRST BANKS AMERICA INC COMMON STOCKS 31928N103 512 27,700 X 27,700 FIRST DATA CORP COMMON STOCKS 319963104 2,413 47,000 X 47,000 FIRST REPUBLIC BANK COMMON STOCKS 336158100 613 30,760 X 30,760 FIRSTAR CORPORATION COMMON STOCKS 33763V109 2,462 109,455 X 109,455 FIRSTENERGY CORP COMMON STOCKS 337932107 337 14,400 X 14,400 FLEET BOSTON FINANCIAL CORP COMMON STOCKS 339030108 4,093 114,471 X 114,471 FLOORING AMERICA INC COMMON STOCKS 339756108 3 31,100 X 31,100 FLORIDA PROGRESS CORP COMMON STOCKS 341109106 286 6,100 X 6,100 FORD MOTOR COMPANY COMMON STOCKS 345370100 9,275 202,900 X 202,900 FORT JAMES CORPORATION COMMON STOCKS 347471104 310 13,400 X 13,400 FORTUNE BRANDS INC COMMON STOCKS 349631101 233 10,100 X 10,100 FRANKLIN ELECTRONIC PUBLISHING COMMON STOCKS 353515109 276 31,100 X 31,100 FRANKLIN RESOURCES INC COMMON STOCKS 354613101 703 23,000 X 23,000 FREEPORT-MCMOORAN COPPER-B COMMON STOCKS 35671D857 93 10,100 X 10,100 FRONTIER INSURANCE GROUP INC COMMON STOCKS 359081106 27 42,500 X 42,500 FURR'S RESTAURANT GROUP INC COMMON STOCKS 361115603 88 29,900 X 29,900 GP STRATEGIES CORP COMMON STOCKS 36225V104 139 29,200 X 29,200 GPU INC COMMON STOCKS 36225X100 559 19,900 X 19,900 GTE CORP COMMON STOCKS 362320103 9,280 147,000 X 147,000 GABELLI UTILITY TRUST COMMON STOCKS 36240A101 232 29,200 X 29,200 GAINSCO INC COMMON STOCKS 363127101 152 30,400 X 30,400 GANNETT CO COMMON STOCKS 364730101 1,716 28,400 X 28,400 GAP INC COMMON STOCKS 364760108 3,039 95,211 X 95,211 GATEWAY INC COMMON STOCKS 367626108 2,022 35,800 X 35,800 GENETECH INC COMMON STOCKS 368710406 415 2,700 X 2,700 GENERAL CHEMICAL GROUP INC COMMON STOCKS 369332101 23 33,100 X 33,100 GENERAL DYNAMICS CORP COMMON STOCKS 369550108 991 18,600 X 18,600 GENERAL ELECTRIC CO COMMON STOCKS 369604103 79,723 1,536,041 X 1,536,041 GENERAL MILLS INC COMMON STOCKS 370334104 1,078 27,900 X 27,900 GENERAL MOTORS CORP. COMMON STOCKS 370442105 4,596 74,250 X 74,250 GENESIS WORLDWIDE INC COMMON STOCKS 37184G104 19 23,600 X 23,600 GENONE THERAPEUTICS CORP COMMON STOCKS 372430108 462 29,800 X 29,800 GENUINE PARTS CO COMMON STOCKS 372460105 219 10,925 X 10,925 GEORGIA-PAC (GEORGIA-PAC GP) COMMON STOCKS 373298108 278 10,600 X 10,600 GERBER CHILDRENSWEAR INC COMMON STOCKS 373701101 159 29,900 X 29,900 GETTY PETROLEUM MARKETING COMMON STOCKS 374292100 126 29,700 X 29,700 GIANT INDUSTRIES COMMON STOCKS 374508109 245 31,100 X 31,100 GILLETTE COMPANY COMMON STOCKS 375766102 4,969 144,900 X 144,900 GLOBAL VACATION GROUP INC COMMON STOCKS 37937F106 88 29,800 X 29,800 GOLDCORP INC-CL B COMMON STOCKS 380956201 225 23,100 X 23,100 GOLDEN STATE BANCORP COMMON STOCKS 381197102 790 45,000 X 45,000 GOLDEN WEST FINANCIAL CORP COMMON STOCKS 381317106 961 23,000 X 23,000 GOODRICH CO COMMON STOCKS 382388106 718 20,300 X 20,300 GOODRICH PETROLEUM CORP COMMON STOCKS 382410405 139 30,000 X 30,000 GOTTSCHALKS INC COMMON STOCKS 383485109 189 30,000 X 30,000 GRAPHIC PACKAGING INTERNATIONAL CORP COMMON STOCKS 388690109 66 31,100 X 31,100 GRAY COMMUNICATIONS SYSTEM COMMON STOCKS 389190109 305 31,100 X 31,100 GRAY COMMUNICATIONS SYSTEM-CL B COMMON STOCKS 389190208 289 29,600 X 29,600 GREEN MOUNTAIN POWER CORP COMMON STOCKS 393154109 250 30,300 X 30,300 GREENBRIER COMPANIES INC COMMON STOCKS 393657101 213 29,400 X 29,400 GRUBB & ELLIS CO COMMON STOCKS 400095204 179 30,400 X 30,400 GUEST SUPPLY INC COMMON STOCKS 401630108 526 28,900 X 28,900 GUIDANT CORP COMMON STOCKS 401698105 1,510 31,300 X 31,300 GUNDLE/SLT ENVIRONMENTAL INC COMMON STOCKS 402809107 114 30,400 X 30,400 THE HEALTHCARE COMPANY COMMON STOCKS 404119109 1,872 63,603 X 63,603 HALLIBURTON CO COMMON STOCKS 406216101 6,117 128,400 X 128,400 HALLWOOD COMMON STOCKS 406364406 241 31,150 X 31,150 JOHN Q HAMMONS HOTELS COMMON STOCKS 408623106 147 29,300 X 29,300 HANCOCK FABRICS INC COMMON STOCKS 409900107 126 29,700 X 29,700 HANGER ORTHOPEDIC GROUP INC COMMON STOCKS 41043F208 154 31,100 X 31,100 HARCOURT GENERAL INC COMMON STOCKS 41163G101 239 4,400 X 4,400 HARLEY-DAVIDSON INC COMMON STOCKS 412822108 1,167 30,700 X 30,700 HARTFORD FINANCIAL SVCS GRP COMMON STOCKS 416515104 1,138 20,400 X 20,400 HARTMARX CORP COMMON STOCKS 417119104 80 31,100 X 31,100 HASBRO INC COMMON STOCKS 418056107 496 31,450 X 31,450 HAVERTY FURNITURE CO COMMON STOCKS 419596200 154 14,000 X 14,000 HAWK CORP COMMON STOCKS 420089104 215 28,400 X 28,400 HEALTHSOUTH CORP COMMON STOCKS 421924101 481 68,100 X 68,100 HEALTHPLAN SERVICES CORP COMMON STOCKS 421959107 69 30,000 X 30,000 HECLA MINING CO COMMON STOCKS 422704106 35 31,100 X 31,100 HEICO CORP COMMON STOCKS 422806109 443 31,100 X 31,100 HEICO CORP-CLASS A COMMON STOCKS 422806208 381 31,100 X 31,100 HEINZ (H.J.) CO COMMON STOCKS 423074103 1,522 36,150 X 36,150 HERSHEY FOODS CORP COMMON STOCKS 427866108 1,415 27,800 X 27,800 HERTZ CORP-CL A COMMON STOCKS 428040109 970 31,000 X 31,000 HEWLETT-PACKARD CO COMMON STOCKS 428236103 18,184 146,700 X 146,700 HIGHLANDS INSURANCE GROUP COMMON STOCKS 431032101 274 29,200 X 29,200 HILTON HOTELS CORP COMMON STOCKS 432848109 610 64,500 X 64,500 HOME DEPOT INC COMMON STOCKS 437076102 17,190 346,500 X 346,500 HOMEBASE INC COMMON STOCKS 43738E108 49 31,100 X 31,100 HOMESTAKE MINING COMMON STOCKS 437614100 111 16,100 X 16,100 HONEYWELL INTERNATIONAL INC COMMON STOCKS 438516106 4,917 126,212 X 126,212 HOUSEHOLD FINANCE CORP COMMON STOCKS 441815107 2,276 52,532 X 52,532 HOWELL CORP COMMON STOCKS 443051107 278 29,300 X 29,300 HUFFY CORP COMMON STOCKS 444356109 101 31,100 X 31,100 HUMANA INC COMMON STOCKS 444859102 50 10,300 X 10,300 HUNT CORP COMMON STOCKS 445591100 295 28,400 X 28,400 HUNTCO INC COMMON STOCKS 445661101 80 29,600 X 29,600 HUNTINGTON BANCSHARES COMMON STOCKS 446150104 580 32,797 X 32,797 IMS HEALTH INC COMMON STOCKS 449934108 342 19,000 X 19,000 ITT INDUSTRIES INC COMMON STOCKS 450911102 271 8,000 X 8,000 IDEX CORP COMMON STOCKS 45167R104 801 24,000 X 24,000 ILLINOIS TOOL WORKS COMMON STOCKS 452308109 2,931 51,300 X 51,300 INCO LTD COMMON STOCKS 453258402 181 11,800 X 11,800 INCO LTD-CLASS VBN SHARES COMMON STOCKS 453258709 85 19,500 X 19,500 INDUSTRIAL DISTRIBUTION COMMON STOCKS 456061100 76 30,300 X 30,300 INGERSOLL-RAND CO COMMON STOCKS 456866102 1,807 44,440 X 44,440 INSTEEL INDUSTRIES COMMON STOCKS 45774W108 183 29,500 X 29,500 INTEL CORP COMMON STOCKS 458140100 69,889 533,970 X 533,970 INTERNATIONAL ALUMINUM CORP COMMON STOCKS 458884103 518 30,000 X 30,000 INTL BUSINESS MACHINES CORP COMMON STOCKS 459200101 34,850 309,980 X 309,980 INTL FLAVORS & FRAGRANCES COMMON STOCKS 459506101 1,128 33,200 X 33,200 INTERNATIONAL PAPER CO COMMON STOCKS 460146103 1,441 46,313 X 46,313 INTERNATIONAL SHIPHOLDING COMMON STOCKS 460321201 257 29,425 X 29,425 INTERPUBLIC GROUP COS INC COMMON STOCKS 460690100 1,241 28,600 X 28,600 ISHARES MSCI JAPAN INDEX COMMON STOCKS 464286848 257 16,900 X 16,900 J. ALEXANDERS CORP COMMON STOCKS 466096104 108 28,700 X 28,700 JDS UNIPHASE CORP COMMON STOCKS 46612J101 443 3,500 X 3,500 JLK DIRECT DISTRIBUTION COMMON STOCKS 46621C105 154 30,100 X 30,100 JACKPOT ENTERPRISES COMMON STOCKS 466392107 393 31,119 X 31,119 JEFFERSON PILOT COMMON STOCKS 475070108 370 6,550 X 6,550 JO-ANN STORES INC-CL B COMMON STOCKS 47758P208 224 29,400 X 29,400 JOHNSON & JOHNSON COMMON STOCKS 478160104 18,862 196,820 X 196,820 JOHNSON CONTROLS INC COMMON STOCKS 478366107 272 5,300 X 5,300 KLA-TENCOR CORPORATION COMMON STOCKS 482480100 1,087 18,600 X 18,600 KMART CORP COMMON STOCKS 482584109 1,968 286,700 X 286,700 K2 INC COMMON STOCKS 482732104 253 30,400 X 30,400 KANEB SERVICES COMMON STOCKS 484170105 124 31,100 X 31,100 KANSAS CITY SOUTHERN INDS COMMON STOCKS 485170104 1,717 22,900 X 22,900 KATY INDS INC COMMON STOCKS 486026107 365 31,100 X 31,100 KELLOGG CO COMMON STOCKS 487836108 2,014 66,800 X 66,800 KERR-MCGEE CORP COMMON STOCKS 492386107 352 5,967 X 5,967 KEY PRODUCTION COMPANY INC COMMON STOCKS 493138101 544 31,100 X 31,100 KEYCORP COMMON STOCKS 493267108 773 41,200 X 41,200 KEYSTONE CONSOLIDATED INDUSTRIES COMMON STOCKS 493422109 107 28,600 X 28,600 KIMBERLY-CLARK CORP COMMON STOCKS 494368103 5,028 86,256 X 86,256 KNIGHT RIDDER INC COMMON STOCKS 499040103 662 12,400 X 12,400 KOHLS CORP COMMON STOCKS 500255104 1,834 33,200 X 33,200 KONINKLIJKE PHILIPS ELECTRONIC COMMON STOCKS 500472204 3,296 69,392 X 69,392 KROGER CO COMMON STOCKS 501044101 7,167 331,420 X 331,420 LSI LOGIC CORP COMMON STOCKS 502161102 1,740 30,200 X 30,200 LACLEDE GAS CO. 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COMMON STOCKS 585135106 82,215 5,098,597 X 5,098,597 MELLON FINANCIAL CORP COMMON STOCKS 58551A108 1,942 51,700 X 51,700 MERCK & CO INC COMMON STOCKS 589331107 31,048 417,350 X 417,350 MERCURY INTERACTIVE CORP COMMON STOCKS 589405109 215 2,150 X 2,150 MEREDITH CORP COMMON STOCKS 589433101 334 10,400 X 10,400 MERIDIAN INS GROUP INC COMMON STOCKS 589644103 49,550 3,811,500 X 3,811,500 MERIDIAN RESOURCE CORP COMMON STOCKS 58977Q109 177 31,100 X 31,100 MERISTAR HOTELS & RESORTS INC COMMON STOCKS 589988104 89 31,100 X 31,100 MERRILL LYNCH & CO COMMON STOCKS 590188108 5,469 48,300 X 48,300 MESTEK INC COMMON STOCKS 590829107 548 31,100 X 31,100 MET-PRO CORP COMMON STOCKS 590876306 270 30,000 X 30,000 METHANEX CORP COMMON STOCKS 59151K108 58 20,500 X 20,500 MICROSOFT CORP COMMON STOCKS 594918104 58,738 779,412 X 779,412 MICROFINANCIAL INC COMMON STOCKS 595072109 275 27,500 X 27,500 MIKASA INC COMMON STOCKS 59862T109 320 29,100 X 29,100 MILLIPORE CORP COMMON STOCKS 601073109 744 9,900 X 9,900 MINNESOTA MINING & MANUFACTURING COMMON STOCKS 604059105 4,154 50,250 X 50,250 MINOLTA-QMS INC COMMON STOCKS 604312108 97 31,100 X 31,100 MOLEX INC COMMON STOCKS 608554101 895 18,125 X 18,125 J.P. MORGAN & COMPANY COMMON STOCKS 616880100 2,107 17,700 X 17,700 MORGAN ST DEAN WITTER & CO COMMON STOCKS 617446448 13,133 160,854 X 160,854 MORTONS RESTAURANT GROUP COMMON STOCKS 619429103 636 29,600 X 29,600 MOSSIMO INC COMMON STOCKS 619696107 24 31,100 X 31,100 MOTOROLA INC COMMON STOCKS 620076109 10,005 322,774 X 322,774 NCR CORPORATION COMMON STOCKS 62886E108 444 11,000 X 11,000 NYMAGIC INC COMMON STOCKS 629484106 419 29,400 X 29,400 RJR NABISCO HOLDINGS CORP COMMON STOCKS 62952P102 1,445 56,600 X 56,600 NASHUA CORP COMMON STOCKS 631226107 240 29,100 X 29,100 NATIONAL CITY CORP COMMON STOCKS 635405103 2,240 117,324 X 117,324 NATIONAL SEMICONDUCTOR CORP COMMON STOCKS 637640103 929 15,800 X 15,800 NEFF CORP COMMON STOCKS 640094108 115 30,200 X 30,200 THOMAS NELSON INC COMMON STOCKS 640376109 265 30,900 X 30,900 THOMAS NELSON INC-CLASS B COMMON STOCKS 640376208 306 29,900 X 29,900 NETWORK APPLIANCE INC COMMON STOCKS 64120L104 2,528 30,700 X 30,700 NEW CENTURY ENERGIES INC COMMON STOCKS 64352U103 598 19,000 X 19,000 NEW YORK TIMES CO COMMON STOCKS 650111107 628 15,800 X 15,800 NEWELL RUBBERMAID INC COMMON STOCKS 651229106 669 25,889 X 25,889 NEWMONT MINING CORP COMMON STOCKS 651639106 615 26,377 X 26,377 NEXTEL COMMUNICATIONS INC-A COMMON STOCKS 65332V103 5,639 99,300 X 99,300 NEXTLINK COMMUNICATIONS INC CLASS A COMMON STOCKS 65333H707 3,080 81,200 X 81,200 NIAGARA MOHAWK HOLDINGS INC COMMON STOCKS 653520106 492 35,100 X 35,100 NIKE INC COMMON STOCKS 654106103 2,332 55,600 X 55,600 NORDSTROM INC COMMON STOCKS 655664100 548 22,600 X 22,600 NORFOLK SOUTHERN CORP COMMON STOCKS 655844108 552 35,150 X 35,150 NORTEL NETWORKS CORP COMMON STOCKS 656568102 26,492 408,240 X 408,240 NORTHERN STATES POWER-MN COMMON STOCKS 665772109 295 14,000 X 14,000 NORTHERN TRUST CORP COMMON STOCKS 665859104 1,509 22,700 X 22,700 NORTHROP GRUMMAN CORP COMMON STOCKS 666807102 828 11,300 X 11,300 NOVASTAR FINANCIAL INC COMMON STOCKS 669947400 105 27,500 X 27,500 NOVELL INC COMMON STOCKS 670006105 305 33,400 X 33,400 NUMEREX CORP CL A COMMON STOCKS 67053A102 294 32,000 X 32,000 OAKWOOD HOMES COMMON STOCKS 674098108 56 31,100 X 31,100 OCCIDENTAL PETROLEUM CORP COMMON STOCKS 674599105 730 33,800 X 33,800 OCTEL CORP COMMON STOCKS 675727101 231 29,600 X 29,600 OFFICE DEPOT INC COMMON STOCKS 676220106 336 50,400 X 50,400 OIL-DRI CORP COMMON STOCKS 677864100 262 29,100 X 29,100 OLD KENT FINANCIAL CORP COMMON STOCKS 679833103 520 17,200 X 17,200 OMNICOM GROUP COMMON STOCKS 681919106 1,607 18,100 X 18,100 OMEGA PROTEIN CORP COMMON STOCKS 68210P107 59 29,300 X 29,300 ORACLE CORPORATION COMMON STOCKS 68389X105 38,949 470,732 X 470,732 OREGON STEEL MILLS INC COMMON STOCKS 686079104 60 31,100 X 31,100 OSMONICS INC COMMON STOCKS 688350107 266 28,800 X 28,800 OWENS-ILLINOIS INC COMMON STOCKS 690768403 214 18,700 X 18,700 OXFORD INDUSTRIES INC COMMON STOCKS 691497309 540 30,000 X 30,000 PECO ENERGY CO COMMON STOCKS 693304107 2,155 53,110 X 53,110 PG&E CORPORATION COMMON STOCKS 69331C108 883 35,400 X 35,400 PE CORP-PE BIOSYSTEMS GROUP COMMON STOCKS 69332S102 1,411 21,000 X 21,000 PNC BANK CORP COMMON STOCKS 693475105 1,489 29,900 X 29,900 PPG INDUSTRIES INC COMMON STOCKS 693506107 732 16,100 X 16,100 PPL CORPORATION COMMON STOCKS 69351T106 343 15,100 X 15,100 PACTIV CORPORATION COMMON STOCKS 695257105 83 10,600 X 10,600 PAINE WEBBER GROUP COMMON STOCKS 695629105 610 13,100 X 13,100 PALL CORP COMMON STOCKS 696429307 258 12,400 X 12,400 PAMECO CORP COMMON STOCKS 697934107 75 29,100 X 29,100 PANAVISION INC COMMON STOCKS 69830E209 160 19,400 X 19,400 PARAMETRIC TECHNOLOGY CORP COMMON STOCKS 699173100 187 17,000 X 17,000 PARKER HANNIFIN CORP COMMON STOCKS 701094104 237 6,925 X 6,925 PATINA OIL & GAS CORP COMMON STOCKS 703224105 645 31,100 X 31,100 PAULA FINANCIAL COMMON STOCKS 703588103 50 18,400 X 18,400 PAYCHEX INC COMMON STOCKS 704326107 2,222 58,400 X 58,400 PEDIATRIX MEDICAL GROUP INC COMMON STOCKS 705324101 362 31,100 X 31,100 PENN-AMERICA GROUP INC COMMON STOCKS 707247102 245 31,100 X 31,100 PENN ENGINEERING & MANUFACTURING COMMON STOCKS 707389102 700 21,700 X 21,700 PENN TREATY AMERICAN CORP COMMON STOCKS 707874103 510 30,000 X 30,000 J.C. PENNEY COMPANY INC COMMON STOCKS 708160106 297 16,100 X 16,100 PENTACON INC COMMON STOCKS 709620108 65 29,700 X 29,700 PEOPLESOFT INC COMMON STOCKS 712713106 278 16,600 X 16,600 PEPSIAMERICAS INC COMMON STOCKS 71343P101 90 29,900 X 29,900 PEPSICO INC COMMON STOCKS 713448108 13,159 305,500 X 305,500 PERKINELMER INC COMMON STOCKS 714046109 351 5,800 X 5,800 PFIZER INC COMMON STOCKS 717081103 39,668 876,650 X 876,650 PHARMACEUTICAL RESOURCES COMMON STOCKS 717125108 184 35,100 X 35,100 PHARMACIA CORP COMMON STOCKS 71713U102 11,105 216,915 X 216,915 PHILIP MORRIS COMPANIES INC COMMON STOCKS 718154107 10,376 388,680 X 388,680 PHILLIPS PETROLEUM CO COMMON STOCKS 718507106 1,219 23,400 X 23,400 PICCADILLY CAFETERIAS INC COMMON STOCKS 719567109 106 37,600 X 37,600 PILGRIMS PRIDE CORP COMMON STOCKS 721467207 167 30,700 X 30,700 PILLOWTEX CORP COMMON STOCKS 721501104 132 31,100 X 31,100 PINNACLE WEST CAPITAL COMMON STOCKS 723484101 561 16,380 X 16,380 PITNEY BOWES INC COMMON STOCKS 724479100 1,106 26,900 X 26,900 PLACER DOME INC COMMON STOCKS 725906101 192 20,100 X 20,100 PLANTRONICS INC COMMON STOCKS 727493108 247 2,140 X 2,140 PLAYBOY ENTERPRISES COMMON STOCKS 728117201 351 29,900 X 29,900 PRAXAIR INC COMMON STOCKS 74005P104 1,837 44,800 X 44,800 PREMIUMWEAR INC COMMON STOCKS 740909106 416 31,100 X 31,100 PRICE T ROWE ASSOCIATES COMMON STOCKS 741477103 1,178 29,200 X 29,200 PRIMEDIA INC COMMON STOCKS 74157K101 228 10,000 X 10,000 PROCTOR & GAMBLE CO COMMON STOCKS 742718109 10,901 190,300 X 190,300 PROGRESSIVE CORP COMMON STOCKS 743315103 2,334 26,500 X 26,500 PROVIDIAN FINANCIAL CORP COMMON STOCKS 74406A102 5,506 61,100 X 61,100 PUBLIC SERVICE ENTERPRISE GROUP COMMON STOCKS 744573106 705 20,150 X 20,150 Q.E.P. COMPANY INC COMMON STOCKS 74727K102 187 23,000 X 23,000 QUAKER CHEMICAL COMMON STOCKS 747316107 511 29,400 X 29,400 QUAKER OATS CO COMMON STOCKS 747402105 914 12,400 X 12,400 QUALCOMM INC COMMON STOCKS 747525103 6,396 97,200 X 97,200 QUINTILES TRANSNATIONAL CORP COMMON STOCKS 748767100 139 10,400 X 10,400 R & B FALCON CORP COMMON STOCKS 74912E101 621 26,350 X 26,350 RDO EQUIPMENT COMPANY COMMON STOCKS 749413100 162 29,500 X 29,500 RTI INTERNATIONAL METALS COMMON STOCKS 74973W107 354 31,100 X 31,100 RADIAN GROUP INC COMMON STOCKS 750236101 269 5,200 X 5,200 RADIOSHACK CORPORATION COMMON STOCKS 750438103 3,417 72,950 X 72,950 RALSTON-RALSTON PURINA GROUP COMMON STOCKS 751277302 373 18,700 X 18,700 RANGE RESOURCES CORP COMMON STOCKS 75281A109 97 31,100 X 31,100 RAYTECH CORP-DEL COMMON STOCKS 755103108 94 29,000 X 29,000 RAYTHEON COMMON STOCKS 755111408 618 31,100 X 31,100 REGIONS FINANCIAL GROUP COMMON STOCKS 758940100 268 13,500 X 13,500 RELIANT ENERGY INC COMMON STOCKS 75952J108 788 27,218 X 27,218 REPUBLIC GROUP INC COMMON STOCKS 760473108 280 31,129 X 31,129 RESORTQUEST INTL INC COMMON STOCKS 761183102 154 30,000 X 30,000 REVLON INC COMMON STOCKS 761525500 191 30,200 X 30,200 REYNOLDS METALS CO COMMON STOCKS 761763101 393 5,800 X 5,800 RIGHTCHOICE MANAGED CARE COMMON STOCKS 76657K101 460 29,200 X 29,200 RITE AID CORP COMMON STOCKS 767754104 105 16,000 X 16,000 ROCKWELL INTL CORP COMMON STOCKS 773903109 599 17,550 X 17,550 ROHM AND HAAS CO COMMON STOCKS 775371107 703 20,144 X 20,144 ROUGE INDUSTRIES INC-CLASS A COMMON STOCKS 779088103 93 31,100 X 31,100 ROWE FURNITURE CORP COMMON STOCKS 779528108 119 31,170 X 31,170 ROYAL APPLIANCE MFG CO COMMON STOCKS 780076105 177 31,100 X 31,100 ROYAL DUTCH PETRO NY SHARES COMMON STOCKS 780257804 19,876 321,100 X 321,100 SBC COMMUNICATIONS INC COMMON STOCKS 78387G103 23,498 525,554 X 525,554 SL INDUSTRIES INC COMMON STOCKS 784413106 289 29,608 X 29,608 SLM HOLDING CORP COMMON STOCKS 78442A109 368 9,840 X 9,840 SABRE HOLDINGS CORP COMMON STOCKS 785905100 2,455 86,139 X 86,139 SAFECO CORP COMMON STOCKS 786429100 337 14,400 X 14,400 SAFEWAY INC COMMON STOCKS 786514208 3,780 85,250 X 85,250 ST. JUDE MEDICAL INC COMMON STOCKS 790849103 239 5,200 X 5,200 ST. PAUL COMPANIES COMMON STOCKS 792860108 740 20,932 X 20,932 SAPIENT CORPORATION COMMON STOCKS 803062108 385 3,600 X 3,600 SARA LEE CORP COMMON STOCKS 803111103 5,306 284,860 X 284,860 SCHERING-PLOUGH CORP COMMON STOCKS 806605101 10,046 206,800 X 206,800 SCHLUMBERGER LTD COMMON STOCKS 806857108 5,057 68,400 X 68,400 SCHWAB (CHARLES) CORP COMMON STOCKS 808513105 6,205 193,500 X 193,500 SCIENTIFIC-ATLANTA INC COMMON STOCKS 808655104 1,047 14,600 X 14,600 SEA CONTAINERS LTD COMMON STOCKS 811371103 647 27,300 X 27,300 SEAGATE TECHNOLOGY INC COMMON STOCKS 811804103 1,180 20,400 X 20,400 SEAGRAM CO LTD COMMON STOCKS 811850106 2,658 48,200 X 48,200 SEALED AIR CORP COMMON STOCKS 81211K100 274 5,233 X 5,233 SEARS ROEBUCK & CO COMMON STOCKS 812387108 2,074 59,500 X 59,500 SEMPRA ENERGY COMMON STOCKS 816851109 215 12,622 X 12,622 SHERWIN WILLIAMS CO COMMON STOCKS 824348106 642 27,700 X 27,700 SIEBEL SYSTEMS INC COMMON STOCKS 826170102 3,163 21,700 X 21,700 SIGMA-ALDRICH COMMON STOCKS 826552101 324 10,000 X 10,000 SILICON GRAPHICS INC COMMON STOCKS 827056102 308 42,800 X 42,800 SILVERLEAF RESORTS, INC. COMMON STOCKS 828395103 81 30,000 X 30,000 SIMULA INC COMMON STOCKS 829206101 60 30,100 X 30,100 SIZZLER INTERNATIONAL INC COMMON STOCKS 830139101 80 31,100 X 31,100 SKECHERS USA INC-CLASS A COMMON STOCKS 830566105 492 31,100 X 31,100 SOLA INTERNATIONAL INC COMMON STOCKS 834092108 152 31,100 X 31,100 SOLECTRON CORP COMMON STOCKS 834182107 2,391 59,900 X 59,900 SOUTHERN CO COMMON STOCKS 842587107 1,637 68,500 X 68,500 SOUTHTRUST CORP COMMON STOCKS 844730101 235 10,400 X 10,400 SOUTHWEST AIRLINES COMMON STOCKS 844741108 1,954 101,855 X 101,855 SOVEREIGN CAP TRUST II PREFERRED STOCKS 845905306 224 5,000 X 5,000 SPARTON COMMON STOCKS 847235108 124 30,100 X 30,100 SPORT SUPPLY GROUP INC COMMON STOCKS 848915104 138 29,900 X 29,900 THE SPORTS AUTHORITY COMMON STOCKS 849176102 35 31,100 X 31,100 SPRINT CORP (FON GROUP) COMMON STOCKS 852061100 9,976 183,780 X 183,780 SPRINT CORP (PCS GROUP) COMMON STOCKS 852061506 6,762 116,200 X 116,200 STANDARD COMMERCIAL CORP COMMON STOCKS 853258101 142 31,144 X 31,144 STAPLES INC COMMON STOCKS 855030102 1,103 73,150 X 73,150 STAR GAS PARTNER-SEN SUB UTS COMMON STOCKS 85512C204 99 14,800 X 14,800 STARBUCKS CORP COMMON STOCKS 855244109 435 11,400 X 11,400 STARRETT (LS) CO COMMON STOCKS 855668109 544 31,100 X 31,100 STATE STREET CORP COMMON STOCKS 857477103 2,530 23,500 X 23,500 STERLING BANCORP NY COMMON STOCKS 859158107 474 30,075 X 30,075 STIFEL FINANCIAL COMMON STOCKS 860630102 311 29,664 X 29,664 SUIZA FOODS CORP COMMON STOCKS 865077101 244 5,000 X 5,000 SUMMIT BANCORP COMMON STOCKS 866005101 266 10,800 X 10,800 SUN MICROSYSTEMS INC COMMON STOCKS 866810104 19,791 223,200 X 223,200 SUNBURST HOSPITALITY CORP COMMON STOCKS 866948102 131 29,500 X 29,500 SUNOCO INC COMMON STOCKS 86764P109 657 20,566 X 20,566 SUNTERRA CORPORATION COMMON STOCKS 86787D109 7 31,100 X 31,100 SUNRISE MEDICAL COMMON STOCKS 867910101 145 29,700 X 29,700 SUNTRUST BANKS INC COMMON STOCKS 867914103 1,682 32,500 X 32,500 SUPERVALU INC COMMON STOCKS 868536103 263 13,500 X 13,500 SYMS CORP COMMON STOCKS 871551107 122 31,100 X 31,100 SYNOPSYS INC COMMON STOCKS 871607107 950 27,480 X 27,480 SYNOVUS FINANCIAL CORP COMMON STOCKS 87161C105 305 17,300 X 17,300 SYSCO CORP COMMON STOCKS 871829107 1,274 30,400 X 30,400 TB WOOD'S CORP COMMON STOCKS 872226105 294 28,300 X 28,300 TJX COMPANIES INC COMMON STOCKS 872540109 4,043 215,600 X 215,600 TRC COMPANIES INC COMMON STOCKS 872625108 339 29,500 X 29,500 TRW INC COMMON STOCKS 872649108 325 7,500 X 7,500 TXU CORP COMMON STOCKS 873168108 1,676 50,405 X 50,405 TANDYCRAFTS INC COMMON STOCKS 875386104 87 31,100 X 31,100 TARGET CORP COMMON STOCKS 87612E106 2,862 49,000 X 49,000 TASTY BAKING CO COMMON STOCKS 876553306 352 27,500 X 27,500 TECH DATA CORP COMMON STOCKS 878237106 227 5,200 X 5,200 TECH-SYM COMMON STOCKS 878308105 833 29,600 X 29,600 TEKTRONIX INC COMMON STOCKS 879131100 631 10,100 X 10,100 TELLABS INC COMMON STOCKS 879664100 3,107 45,300 X 45,300 TEMPLE-INLAND INC COMMON STOCKS 879868107 1,044 21,300 X 21,300 TENET HEALTHCARE CORPORATION COMMON STOCKS 88033G100 2,308 86,060 X 86,060 TERADYNE INC COMMON STOCKS 880770102 1,416 17,400 X 17,400 TERRA NITROGEN COMPANY LP COMMON STOCKS 881005201 118 29,400 X 29,400 TETRA TECHNOLOGIES INC COMMON STOCKS 88162F105 441 31,100 X 31,100 TEXACO INC COMMON STOCKS 881694103 3,812 69,200 X 69,200 TEXAS INSTRUMENTS INC COMMON STOCKS 882508104 21,322 297,260 X 297,260 TEXTRON INC COMMON STOCKS 883203101 766 13,700 X 13,700 THERMO ELECTRON CORP COMMON STOCKS 883556102 206 9,800 X 9,800 3COM CORP COMMON STOCKS 885535104 2,109 39,000 X 39,000 TIME WARNER INC COMMON STOCKS 887315109 14,039 182,160 X 182,160 TIMES MIRROR CO - CL A COMMON STOCKS 887364107 574 6,000 X 6,000 TITAN INTERNATIONAL INC COMMON STOCKS 88830M102 165 31,100 X 31,100 TITANIUM METALS CORP COMMON STOCKS 888339108 146 31,100 X 31,100 TODD SHIPYARDS CORP COMMON STOCKS 889039103 236 30,000 X 30,000 TOKHEIM CORP COMMON STOCKS 889073102 51 31,100 X 31,100 TORCHMARK CORP COMMON STOCKS 891027104 396 14,700 X 14,700 TOSCO CORP COMMON STOCKS 891490302 654 22,300 X 22,300 TOYS R US INC COMMON STOCKS 892335100 572 37,612 X 37,612 TRANSMEDIA NETWORK INC COMMON STOCKS 893767301 122 28,800 X 28,800 TRANSPORTATION COMPONENTS COMMON STOCKS 893878108 54 28,000 X 28,000 TRANSPRO INC COMMON STOCKS 893885103 146 28,900 X 28,900 TRANSTECHNOLOGY CORP COMMON STOCKS 893889105 320 29,100 X 29,100 TREMONT CORP COMMON STOCKS 894745207 651 29,100 X 29,100 TRICON GLOBAL RESTAURANTS COMMON STOCKS 895953107 1,340 47,420 X 47,420 TRIBUNE CO COMMON STOCKS 896047107 962 26,900 X 26,900 TRUMP HOTELS & CASINO RESORT COMMON STOCKS 898168109 87 31,100 X 31,100 TWIN DISC INC COMMON STOCKS 901476101 486 28,500 X 28,500 TYCO INTERNATIONAL LTD COMMON STOCKS 902124106 10,900 230,996 X 230,996 USX-MARATHON GROUP COMMON STOCKS 902905827 736 28,659 X 28,659 UST INC COMMON STOCKS 902911106 366 23,000 X 23,000 U.S. BANCORP COMMON STOCKS 902973106 1,616 75,598 X 75,598 UNICAPITAL CORP COMMON STOCKS 90459D108 18 35,000 X 35,000 UNIFIRST CORP COMMON STOCKS 904708104 236 30,000 X 30,000 UNILEVER N V NY SHARES COMMON STOCKS 904784709 2,916 63,727 X 63,727 UNICOM CORPORATION COMMON STOCKS 904911104 790 20,100 X 20,100 UNIGRAPHICS SOLUTIONS INC COMMON STOCKS 904928108 585 30,000 X 30,000 UNION CARBIDE CORP COMMON STOCKS 905581104 633 12,400 X 12,400 UNION PACIFIC CORP COMMON STOCKS 907818108 1,145 29,100 X 29,100 UNION PACIFIC RESOURCES GRP COMMON STOCKS 907834105 675 30,074 X 30,074 UNION PLANTERS CORP COMMON STOCKS 908068109 243 8,700 X 8,700 UNISYS CORP COMMON STOCKS 909214108 526 28,600 X 28,600 UNITED INDUSTRIAL CORP COMMON STOCKS 910671106 266 29,200 X 29,200 UNITED PARK CITY MINES CO COMMON STOCKS 911315208 652 29,140 X 29,140 US AIRWAYS GROUP INC COMMON STOCKS 911905107 538 13,100 X 13,100 US WEST INC COMMON STOCKS 91273H101 6,462 79,751 X 79,751 UNITED TECHNOLOGIES CORP COMMON STOCKS 913017109 7,761 132,770 X 132,770 UNITED WISCONSIN SERVICES COMMON STOCKS 913238101 165 30,300 X 30,300 UNITEDHEALTH GROUP INC COMMON STOCKS 91324P102 1,277 15,600 X 15,600 UNO RESTAURANT CORP COMMON STOCKS 914900105 333 31,135 X 31,135 UNOCAL CORP COMMON STOCKS 915289102 759 22,300 X 22,300 UNUMPROVIDENT CORP COMMON STOCKS 91529Y106 297 14,800 X 14,800 URSTADT BIDDLE-CL A COMMON STOCKS 917286205 135 19,000 X 19,000 UTAH MEDICAL PRODUCTS COMMON STOCKS 917488108 163 24,000 X 24,000 VF CORP COMMON STOCKS 918204108 350 12,800 X 12,800 VERITAS SOFTWARE CORP COMMON STOCKS 923436109 5,320 43,800 X 43,800 VESTA INSURANCE GROUP INC COMMON STOCKS 925391104 192 31,100 X 31,100 VIACOM INC-CL B COMMON STOCKS 925524308 12,260 182,976 X 182,976 VLASIC FOODS INT'L COMMON STOCKS 928559103 51 31,100 X 31,100 VULCAN MATERIALS CO COMMON STOCKS 929160109 1,409 33,000 X 33,000 WHX CORP COMMON STOCKS 929248102 171 31,000 X 31,000 WACHOVIA CORP COMMON STOCKS 929771103 1,402 22,700 X 22,700 WACKENHUT CORP COMMON STOCKS 929794303 292 31,118 X 31,118 WAL-MART STORES INC COMMON STOCKS 931142103 36,845 647,000 X 647,000 WALGREEN CO COMMON STOCKS 931422109 4,392 142,500 X 142,500 WARNER-LAMBERT CO COMMON STOCKS 934488107 6,617 53,300 X 53,300 WASHINGTON HOMES INC COMMON STOCKS 938864105 179 29,800 X 29,800 WASHINGTON MUTUAL INC COMMON STOCKS 939322103 1,718 58,698 X 58,698 WASTE MANAGEMENT INC COMMON STOCKS 94106L109 1,075 57,025 X 57,025 WATER PIK TECHNOLOGIES INC COMMON STOCKS 94113U100 188 30,000 X 30,000 WATERLINK INC COMMON STOCKS 94155N105 74 29,600 X 29,600 WATSON PHARMACEUTICALS INC COMMON STOCKS 942683103 317 5,900 X 5,900 WEIDER NUTRITION INTL INC COMMON STOCKS 948603105 93 31,100 X 31,100 WELLPOINT HEALTH NETWORK COMMON STOCKS 94973H108 290 4,000 X 4,000 WELLS FARGO & COMPANY COMMON STOCKS 949746101 10,864 263,340 X 263,340 WENDYS FINANCING I PREFERRED STOCKS 950588202 395 8,200 X 8,200 WESTCOAST HOSPITALITY CORP COMMON STOCKS 95750P106 205 29,300 X 29,300 WESTERN MASS EL PREFERRED STOCKS 958587701 805 32,051 X 32,051 WEYERHAEUSER CO COMMON STOCKS 962166104 2,144 48,950 X 48,950 WHIRLPOOL CORP COMMON STOCKS 963320106 214 4,600 X 4,600 WILLBROS GROUP INC COMMON STOCKS 969199108 214 31,100 X 31,100 WILLIAMS COS INC COMMON STOCKS 969457100 1,857 44,200 X 44,200 WILSHIRE OIL CO OF TEXAS COMMON STOCKS 971889100 117 29,592 X 29,592 WINN DIXIE STORES INC COMMON STOCKS 974280109 256 17,300 X 17,300 WISCONSIN ENERGY CORP COMMON STOCKS 976657106 528 25,000 X 25,000 WISER OIL CO COMMON STOCKS 977284108 96 30,700 X 30,700 WORLD FUEL SERVICES CORP COMMON STOCKS 981475106 268 31,125 X 31,125 WORLDCOM INC COMMON STOCKS 98157D106 22,905 515,911 X 515,911 WORLDTEX INC COMMON STOCKS 981907108 11 33,410 X 33,410 WRIGLEY (WM.) JR CO COMMON STOCKS 982526105 862 10,700 X 10,700 XILINX INC COMMON STOCKS 983919101 2,731 32,600 X 32,600 XEROX CORP COMMON STOCKS 984121103 1,550 67,550 X 67,550 YAHOO! INC COMMON STOCKS 984332106 9,296 72,400 X 72,400 YOUNG & RUBICAM INC COMMON STOCKS 987425105 246 4,300 X 4,300 ZALE CORP COMMON STOCKS 988858106 241 6,600 X 6,600 ZEMEX CORP COMMON STOCKS 988910105 223 29,788 X 29,788 ZAPATA CORP COMMON STOCKS 989070503 97 31,140 X 31,140 BARINGS: INTERNATIONAL BOND FUND COMMON STOCKS 99C001072 192 10,160 X 10,160 TOTAL VALUE 2,060,462