13F-HR 1 con13f.txt 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, 2003 ---------------------------- 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: William M. Bourque ------------------------------------------------------------------- Title: Vice President and Assistant General Counsel ------------------------------------------------------------------- Phone: (860) 541-5628 ------------------------------------------------------------------- Signature, Place and Date of Signing: /s/ William M. Bourque Hartford, Connecticut 11/13/03 --------------------------- -------------------------- -------- [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: 428 Form 13F Information Table Value Total: $ 780,790 September 30, 2003 13F COMPLIANCE
ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 --------------------- ------------------ (B) (A) SHARED INVEST- AS DE- MENT FINED FAIR MKT DIS- IN (C) TITLE VALUE PAR/ CRE- INSTR. SHARED SELECT (A) (B) (C) NAME OF ISSUER OF CLASS CUSIP (000'S) SHARES TION V OTHER IND SOLE SHARED NONE ADC TELECOMMUNICATIONS INC Common Stock 000886101 311 133,254 X Y 133,254 AFLAC INC Common Stock 001055102 1,131 35,010 X Y 35,010 AES CORP Common Stock 00130H105 294 39,652 X Y 39,652 A T & T CORP Common Stock 001957505 1,385 64,237 X Y 64,237 AT&T WIRELESS SERVICES INC Common Stock 00209A106 2,579 315,321 X Y 315,321 ABBOTT LABORATORIES Common Stock 002824100 5,505 129,385 X Y 129,385 ADOBE SYSTEMS INC Common Stock 00724F101 669 16,979 X Y 16,979 ADVANCED MICRO DEVICES Common Stock 007903107 252 22,637 X Y 22,637 AETNA INC - NEW Common Stock 00817Y108 643 10,534 X Y 10,534 AGILENT TECHNOLOGIES INC Common Stock 00846U101 792 35,801 X Y 35,801 AIR PRODUCTS & CHEMICALS INC Common Stock 009158106 3,405 75,494 X Y 75,494 ALBERTSONS INC Common Stock 013104104 527 25,662 X Y 25,662 ALCOA INC Common Stock 013817101 1,857 71,000 X Y 71,000 ALLIED WASTE INDUSTRIES INC Common Stock 019589308 151 13,949 X Y 13,949 ALLSTATE INSURANCE Common Stock 020002101 2,501 68,472 X Y 68,472 ALLTEL CORP Common Stock 020039103 1,012 21,843 X Y 21,843 ALTERA CORPORATION Common Stock 021441100 484 25,558 X Y 25,558 ALTRIA GROUP INC Common Stock 02209S103 5,846 133,471 X Y 133,471 AMEREN CORPORATION Common Stock 023608102 476 11,095 X Y 11,095 AMERICAN ELECTRIC POWER Common Stock 025537101 799 26,634 X Y 26,634 AMERICAN EXPRESS CO Common Stock 025816109 7,568 167,962 X Y 167,962 AMERICAN INTERNATIONAL GROUP Common Stock 026874107 10,868 188,349 X Y 188,349 AMERICAN POWER CONVERSION Common Stock 029066107 218 12,616 X Y 12,616 AMERICAN TOWER CORP-CL A Common Stock 029912201 102 10,000 X Y 10,000 AMGEN INC Common Stock 031162100 5,997 92,954 X Y 92,954 AMSOUTH BANCORPORATION Common Stock 032165102 804 37,788 X Y 37,788 ANADARKO PETROLEUM CORP Common Stock 032511107 745 17,841 X Y 17,841 ANALOG DEVICES Common Stock 032654105 946 24,869 X Y 24,869 ANDREW CORP Common Stock 034425108 125 10,378 X Y 10,378 ANHEUSER-BUSCH COS INC Common Stock 035229103 2,811 56,962 X Y 56,962 ANTHEM INC Common Stock 03674B104 730 10,246 X Y 10,246 AON CORP Common Stock 037389103 435 20,854 X Y 20,854 APACHE CORP Common Stock 037411105 3,606 52,000 X Y 52,000 APOLLO GROUP INC CL A Common Stock 037604105 855 12,936 X Y 12,936 APPLE COMPUTER INC Common Stock 037833100 509 24,563 X Y 24,563 APPLERA CORP - APPLIED BIOSYSTEM Common Stock 038020103 299 13,417 X Y 13,417 APPLIED MATERIALS INC Common Stock 038222105 3,879 213,946 X Y 213,946 APPLIED MICRO CIRCUITS CORP Common Stock 03822W109 98 20,131 X Y 20,131 ARCHER DANIELS MIDLAND CO Common Stock 039483102 570 43,473 X Y 43,473 ATHEROGENICS INC Common Stock 047439104 200 12,000 X Y 12,000 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 --------------------- ------------------ (B) (A) SHARED INVEST- AS DE- MENT FINED FAIR MKT DIS- IN (C) TITLE VALUE PAR/ CRE- INSTR. SHARED SELECT (A) (B) (C) NAME OF ISSUER OF CLASS CUSIP (000'S) SHARES TION V OTHER IND SOLE SHARED NONE AUTOMATIC DATA PROCESSING INC Common Stock 053015103 1,569 43,755 X Y 43,755 AUTONATION INC Common Stock 05329W102 329 18,750 X Y 18,750 AVAYA INC Common Stock 053499109 678 62,232 X Y 62,232 AVON PRODUCTS INC Common Stock 054303102 1,212 18,769 X Y 18,769 BB&T CORPORATION Common Stock 054937107 1,334 37,155 X Y 37,155 BJ SERVICES CO Common Stock 055482103 375 10,970 X Y 10,970 BP PLC-SPONS ADR Common Stock 055622104 856 20,350 X Y 20,350 BMC SOFTWARE INC Common Stock 055921100 211 15,139 X Y 15,139 BAKER HUGHES INC Common Stock 057224107 684 23,109 X Y 23,109 BANK OF AMERICA CORP Common Stock 060505104 8,732 111,892 X Y 111,892 BANK OF NEW YORK Common Stock 064057102 1,532 52,626 X Y 52,626 BANK ONE CORP Common Stock 06423A103 3,204 82,896 X Y 82,896 BAXTER INTERNATIONAL INC Common Stock 071813109 1,096 37,709 X Y 37,709 BEA SYSTEMS INC Common Stock 073325102 471 39,145 X Y 39,145 BECTON DICKINSON & CO Common Stock 075887109 889 24,608 X Y 24,608 BED BATH & BEYOND INC Common Stock 075896100 804 21,001 X Y 21,001 BELLSOUTH CORP Common Stock 079860102 2,994 126,419 X Y 126,419 BEST BUY COMPANY INC Common Stock 086516101 1,044 21,974 X Y 21,974 BIOGEN INC Common Stock 090597105 408 10,684 X Y 10,684 BIOMET INC Common Stock 090613100 582 17,364 X Y 17,364 H&R BLOCK INC Common Stock 093671105 532 12,332 X Y 12,332 BOEING COMPANY Common Stock 097023105 2,134 62,165 X Y 62,165 BOSTON SCIENTIFIC CORP Common Stock 101137107 1,794 28,120 X Y 28,120 BRISTOL-MYERS SQUIBB CO Common Stock 110122108 3,790 147,712 X Y 147,712 BROADCOM CORP-CL A Common Stock 111320107 529 19,841 X Y 19,841 BURLINGTON NORTHERN SANTA FE Common Stock 12189T104 843 29,171 X Y 29,171 BURLINGTON RESOURCES INC Common Stock 122014103 671 13,920 X Y 13,920 CIGNA CORP Common Stock 125509109 448 10,033 X Y 10,033 CSX CORP Common Stock 126408103 426 14,548 X Y 14,548 CVS CORP Common Stock 126650100 4,729 152,121 X Y 152,121 CABCO TRUST FOR JCP Preferred Stock 126797208 246 10,000 X Y 10,000 CALPINE CORP Common Stock 131347106 168 34,393 X Y 34,393 CAMPBELL SOUP CO Common Stock 134429109 733 27,647 X Y 27,647 CAPITAL ONE FINANCIAL CORP Common Stock 14040H105 903 15,838 X Y 15,838 CARDINAL HEALTH INC Common Stock 14149Y108 1,874 32,099 X Y 32,099 CARNIVAL CRUISE LINES - CL A Common Stock 143658300 1,495 45,409 X Y 45,409 CATERPILLAR INC Common Stock 149123101 1,628 23,650 X Y 23,650 CENDANT CORPORATION Common Stock 151313103 2,067 110,570 X Y 110,570 CENTERPOINT ENERGY INC Common Stock 15189T107 181 19,684 X Y 19,684 CENTURYTEL INC Common Stock 156700106 342 10,092 X Y 10,092 CHARTER ONE FIN INC Common Stock 160903100 469 15,318 X Y 15,318 CHEVRONTEXACO CORP Common Stock 166764100 6,101 85,387 X Y 85,387 CHIRON CORP Common Stock 170040109 671 12,946 X Y 12,946 CHUBB CORP Common Stock 171232101 1,921 29,606 X Y 29,606 CIENA CORP Common Stock 171779101 215 36,654 X Y 36,654 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 --------------------- ------------------ (B) (A) SHARED INVEST- AS DE- MENT FINED FAIR MKT DIS- IN (C) TITLE VALUE PAR/ CRE- INSTR. SHARED SELECT (A) (B) (C) NAME OF ISSUER OF CLASS CUSIP (000'S) SHARES TION V OTHER IND SOLE SHARED NONE CINCINNATI FINANCIAL CORP Common Stock 172062101 449 11,219 X Y 11,219 CINERGY CORP Common Stock 172474108 438 11,927 X Y 11,927 CIRCUIT CITY STORES INC Common Stock 172737108 132 13,800 X Y 13,800 CISCO SYSTEMS INC Common Stock 17275R102 11,524 588,272 X Y 588,272 CINTAS CORP Common Stock 172908105 440 11,881 X Y 11,881 CITIGROUP INC Common Stock 172967101 21,382 469,838 X Y 469,838 CITIZENS COMMUNICATIONS CO Common Stock 17453B101 203 18,080 X Y 18,080 CITRIX SYSTEMS INC Common Stock 177376100 624 28,175 X Y 28,175 CLEAR CHANNEL COMMUNICATIONS Common Stock 184502102 4,600 120,109 X Y 120,109 CLOROX CO-DEL Common Stock 189054109 741 16,162 X Y 16,162 COCA-COLA CO Common Stock 191216100 8,231 191,586 X Y 191,586 COCA-COLA ENTERPRISES Common Stock 191219104 580 30,444 X Y 30,444 COLGATE PALMOLIVE Common Stock 194162103 2,142 38,328 X Y 38,328 COMCAST CORP - CL A Common Stock 20030N101 8,071 261,876 X Y 261,876 COMCAST CORP-SPECIAL CL A Common Stock 20030N200 352 11,800 X Y 11,800 COMERICA INC Common Stock 200340107 564 12,109 X Y 12,109 COMPUTER ASSOCIATES INTL INC Common Stock 204912109 1,102 42,187 X Y 42,187 COMPUTER SCIENCES CORP Common Stock 205363104 3,009 80,102 X Y 80,102 COMPUWARE CORP Common Stock 205638109 133 24,881 X Y 24,881 COMVERSE TECHNOLOGY INC Common Stock 205862402 178 11,921 X Y 11,921 CONAGRA FOODS INC Common Stock 205887102 846 39,783 X Y 39,783 CONCORD EFS INC Common Stock 206197105 345 25,220 X Y 25,220 CONEXANT SYSTEMS INC Common Stock 207142100 283 50,000 X Y 50,000 CONOCOPHILLIPS Common Stock 20825C104 3,213 58,688 X Y 58,688 CONSOLIDATED EDISON INC Common Stock 209115104 617 15,137 X Y 15,137 CONSTELLATION ENERGY GROUP INC Common Stock 210371100 404 11,299 X Y 11,299 COOPER CAMERON CORP Common Stock 216640102 2,601 56,276 X Y 56,276 CORNING INC Common Stock 219350105 1,115 118,307 X Y 118,307 COSTCO WHOLESALE CORP Common Stock 22160K105 1,073 34,454 X Y 34,454 DTE ENERGY COMPANY Common Stock 233331107 463 12,541 X Y 12,541 DANA CORP Common Stock 235811106 286 18,465 X Y 18,465 DANAHER CORP Common Stock 235851102 857 11,589 X Y 11,589 DARDEN RESTAURANTS INC Common Stock 237194105 218 11,486 X Y 11,486 DEERE & CO Common Stock 244199105 870 16,313 X Y 16,313 DELL INC Common Stock 24702R101 9,294 278,091 X Y 278,091 DELPHI CORP Common Stock 247126105 265 29,255 X Y 29,255 DEUTSCHE TELEKOM AG-SPON ADR Common Stock 251566105 289 20,000 X Y 20,000 DEVON ENERGY CORPORATION Common Stock 25179M103 1,242 25,937 X Y 25,937 THE WALT DISNEY CO. Common Stock 254687106 5,915 293,271 X Y 293,271 DOLLAR GENERAL Common Stock 256669102 453 22,658 X Y 22,658 DOMINION RESOURCES INC Common Stock 25746U109 1,332 21,525 X Y 21,525 DOUBLECLICK INC Common Stock 258609304 216 20,000 X Y 20,000 DOVER CORP Common Stock 260003108 760 21,480 X Y 21,480 DOW CHEMICAL Common Stock 260543103 2,388 73,395 X Y 73,395 DU PONT (EI) DE NEMOURS Common Stock 263534109 3,644 90,896 X Y 90,896 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 --------------------- ------------------ (B) (A) SHARED INVEST- AS DE- MENT FINED FAIR MKT DIS- IN (C) TITLE VALUE PAR/ CRE- INSTR. SHARED SELECT (A) (B) (C) NAME OF ISSUER OF CLASS CUSIP (000'S) SHARES TION V OTHER IND SOLE SHARED NONE DUKE ENERGY CORP Common Stock 264399106 876 49,175 X Y 49,175 DYNEGY INC - CL A Common Stock 26816Q101 91 25,202 X Y 25,202 EMC CORP Common Stock 268648102 2,863 226,706 X Y 226,706 EASTMAN KODAK CO Common Stock 277461109 403 19,264 X Y 19,264 EBAY INC Common Stock 278642103 2,349 43,794 X Y 43,794 ECOLAB INC Common Stock 278865100 443 17,540 X Y 17,540 EDISON INTERNATIONAL Common Stock 281020107 417 21,839 X Y 21,839 EL PASO CORPORATION Common Stock 28336L109 309 42,311 X Y 42,311 ELECTRONIC ARTS INC Common Stock 285512109 947 10,267 X Y 10,267 ELECTRONIC DATA SYSTEMS CORP Common Stock 285661104 661 32,729 X Y 32,729 EMERSON ELECTRIC CO Common Stock 291011104 5,267 100,047 X Y 100,047 ENTERGY CORP Common Stock 29364G103 852 15,729 X Y 15,729 EQUITY OFFICE PROPERTIES TR Common Stock 294741103 804 29,204 X Y 29,204 EQUITY RESIDENTIAL PROPS TR Common Stock 29476L107 584 19,953 X Y 19,953 EXELON CORP Common Stock 30161N101 2,145 33,772 X Y 33,772 EXETENDICARE INC -CL A Common Stock 30224T871 516 92,200 X Y 92,200 EXXON MOBIL CORPORATION Common Stock 30231G102 17,387 475,057 X Y 475,057 FPL GROUP INC Common Stock 302571104 809 12,793 X Y 12,793 FAMILY DOLLAR STORES Common Stock 307000109 770 19,303 X Y 19,303 FREDDIE MAC Common Stock 313400301 3,773 71,951 X Y 71,951 FNMA Common Stock 313586109 5,580 79,489 X Y 79,489 FEDERATED DEPARTMENT STORES Common Stock 31410H101 539 12,871 X Y 12,871 FEDEX CORPORATION Common Stock 31428X106 1,325 20,564 X Y 20,564 FIFTH THIRD BANCORP Common Stock 316773100 2,188 39,401 X Y 39,401 FIRST DATA CORP Common Stock 319963104 2,113 52,868 X Y 52,868 FISERV INC Common Stock 337738108 478 13,167 X Y 13,167 FIRSTENERGY CORP Common Stock 337932107 760 23,829 X Y 23,829 FLEETBOSTON FINANCIAL CORP Common Stock 339030108 3,194 105,942 X Y 105,942 FORD MOTOR CO Common Stock 345370860 1,388 128,875 X Y 128,875 FOREST LABORATORIES INC Common Stock 345838106 1,345 26,138 X Y 26,138 FORTUNE BRANDS INC Common Stock 349631101 582 10,257 X Y 10,257 FRANKLIN RESOURCES INC Common Stock 354613101 776 17,541 X Y 17,541 FREEPORT-MCMORAN COPPER - B Common Stock 35671D857 350 10,581 X Y 10,581 GATX CORP Common Stock 361448103 212 10,000 X Y 10,000 GANNETT CO INC Common Stock 364730101 2,031 26,122 X Y 26,122 GAP INC/THE Common Stock 364760108 3,440 200,960 X Y 200,960 GATEWAY INC Common Stock 367626108 197 34,874 X Y 34,874 GEMSTAR-TV GUIDE INTL INC Common Stock 36866W106 169 35,782 X Y 35,782 GENERAL DYNAMICS CORP Common Stock 369550108 3,685 47,213 X Y 47,213 GENERAL ELECTRIC CO Common Stock 369604103 22,618 758,739 X Y 758,739 GENERAL MILLS CORP Common Stock 370334104 1,197 25,434 X Y 25,434 GENERAL MOTORS CORP Common Stock 370442105 1,563 38,183 X Y 38,183 GENUINE PARTS CO Common Stock 372460105 378 11,813 X Y 11,813 GENZYME CORP - GENL DIVISION Common Stock 372917104 694 14,976 X Y 14,976 GEORGIA-PACIFIC CORP Common Stock 373298108 419 17,287 X Y 17,287 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 --------------------- ------------------ (B) (A) SHARED INVEST- AS DE- MENT FINED FAIR MKT DIS- IN (C) TITLE VALUE PAR/ CRE- INSTR. SHARED SELECT (A) (B) (C) NAME OF ISSUER OF CLASS CUSIP (000'S) SHARES TION V OTHER IND SOLE SHARED NONE GILLETTE COMPANY Common Stock 375766102 2,595 81,130 X Y 81,130 GOLDEN WEST FINANCIAL CORP Common Stock 381317106 944 10,539 X Y 10,539 GOLDMAN SACHS GROUP INC Common Stock 38141G104 2,723 32,451 X Y 32,451 GOODYEAR TIRE & RUBBER CO Common Stock 382550101 92 14,055 X Y 14,055 GUIDANT CORP Common Stock 401698105 995 21,230 X Y 21,230 HCA-THE HEALTHCARE COMPANY Common Stock 404119109 1,819 49,340 X Y 49,340 HALLIBURTON CO Common Stock 406216101 765 31,556 X Y 31,556 JOHN HANCOCK FINANCIAL SRVS Common Stock 41014S106 1,203 35,592 X Y 35,592 HARLEY-DAVIDSON INC Common Stock 412822108 1,042 21,613 X Y 21,613 HARTFORD FINANCIAL SVCS GRP Common Stock 416515104 1,307 24,831 X Y 24,831 HASBRO INC Common Stock 418056107 213 11,388 X Y 11,388 HEALTH MGMT ASSOCIATES INC - A Common Stock 421933102 356 16,321 X Y 16,321 HEINZ (H.J.) CO Common Stock 423074103 980 28,585 X Y 28,585 HEWLETT-PACKARD CO Common Stock 428236103 4,893 252,724 X Y 252,724 HILTON HOTELS CORP Common Stock 432848109 411 25,335 X Y 25,335 HOME DEPOT INC Common Stock 437076102 5,343 167,740 X Y 167,740 HONEYWELL INTERNATIONAL INC Common Stock 438516106 2,354 89,159 X Y 89,159 HUMANA INC Common Stock 444859102 187 10,342 X Y 10,342 HUNTINGTON BANCSHARES INC Common Stock 446150104 308 15,528 X Y 15,528 IMS HEALTH INC Common Stock 449934108 371 17,593 X Y 17,593 ILLINOIS TOOL WORKS Common Stock 452308109 1,489 22,458 X Y 22,458 INTEL CORP Common Stock 458140100 17,288 628,197 X Y 628,197 INTL BUSINESS MACHINES CORP Common Stock 459200101 10,904 123,444 X Y 123,444 INTL GAME TECHNOLOGY Common Stock 459902102 658 23,366 X Y 23,366 INTERNATIONAL PAPER Common Stock 460146103 1,271 32,576 X Y 32,576 INTERPUBLIC GROUP OF COS INC Common Stock 460690100 375 26,576 X Y 26,576 INTUIT INC Common Stock 461202103 671 13,901 X Y 13,901 JDS UNIPHASE CORP Common Stock 46612J101 787 218,494 X Y 218,494 JP MORGAN CHASE & CO Common Stock 46625H100 5,799 168,918 X Y 168,918 JABIL CIRCUIT INC Common Stock 466313103 356 13,648 X Y 13,648 JANUS CAPITAL GROUP INC Common Stock 47102X105 219 15,685 X Y 15,685 JEFFERSON PILOT Common Stock 475070108 448 10,101 X Y 10,101 JOHNSON & JOHNSON Common Stock 478160104 13,433 271,256 X Y 271,256 JONES APPAREL GROUP INC Common Stock 480074103 412 13,758 X Y 13,758 JUNIPER NETWORKS INC Common Stock 48203R104 383 25,559 X Y 25,559 KLA-TENCOR CORPORATION Common Stock 482480100 3,226 62,507 X Y 62,507 KELLOGGS Common Stock 487836108 916 27,481 X Y 27,481 KERR-MCGEE CORP Common Stock 492386107 1,096 24,543 X Y 24,543 KEYCORP NEW Common Stock 493267108 1,001 39,099 X Y 39,099 KEYSPAN CORP Common Stock 49337W100 379 10,793 X Y 10,793 KIMBERLY - CLARK CORPORATION Common Stock 494368103 4,793 93,407 X Y 93,407 KING PHARMACEUTICALS Common Stock 495582108 233 15,378 X Y 15,378 KOHLS CORP Common Stock 500255104 1,305 24,394 X Y 24,394 KROGER INC Common Stock 501044101 1,056 59,096 X Y 59,096 LSI LOGIC CORP Common Stock 502161102 220 24,432 X Y 24,432 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 --------------------- ------------------ (B) (A) SHARED INVEST- AS DE- MENT FINED FAIR MKT DIS- IN (C) TITLE VALUE PAR/ CRE- INSTR. SHARED SELECT (A) (B) (C) NAME OF ISSUER OF CLASS CUSIP (000'S) SHARES TION V OTHER IND SOLE SHARED NONE LEGGETT & PLATT INC Common Stock 524660107 282 13,049 X Y 13,049 LEHMAN BROS HOLDING INC Common Stock 524908100 1,174 16,992 X Y 16,992 LIBERTY MEDIA CORP Common Stock 530718105 356 35,700 X Y 35,700 ELI LILLY & CO Common Stock 532457108 5,053 85,059 X Y 85,059 LIMITED BRANDS Common Stock 532716107 678 44,842 X Y 44,842 LINCOLN NATIONAL CORP Common Stock 534187109 582 16,402 X Y 16,402 LINEAR TECHNOLOGY CORP Common Stock 535678106 1,047 29,147 X Y 29,147 LOCKHEED MARTIN CORP Common Stock 539830109 1,421 30,801 X Y 30,801 LOEWS CORP Common Stock 540424108 516 12,771 X Y 12,771 LOWES COS INC Common Stock 548661107 2,874 55,382 X Y 55,382 LUCENT TECHNOLOGIES INC Common Stock 549463107 640 295,975 X Y 295,975 MBIA INC Common Stock 55262C100 920 16,739 X Y 16,739 MBNA CORP Common Stock 55262L100 2,284 100,167 X Y 100,167 MFA MORTGAGE INVESTMENTS INC Common Stock 55272X102 601 63,137 X Y 63,137 MGIC INVESTMENT CORP Common Stock 552848103 1,245 23,912 X Y 23,912 MARATHON OIL CORP Common Stock 565849106 594 20,830 X Y 20,830 MARSH & MCLENNAN COS Common Stock 571748102 1,743 36,591 X Y 36,591 MARSHALL & ILSLEY CORP Common Stock 571834100 483 15,328 X Y 15,328 MARRIOTT INTERNATIONAL CL A Common Stock 571903202 685 15,927 X Y 15,927 MASCO CORP Common Stock 574599106 798 32,581 X Y 32,581 MATTEL INC Common Stock 577081102 560 29,544 X Y 29,544 MAXIM INTEGRATED PRODUCTS Common Stock 57772K101 863 21,909 X Y 21,909 MAY DEPARTMENT STORES Common Stock 577778103 620 25,182 X Y 25,182 MCCORMICK & CO-NON VTG SHRS Common Stock 579780206 275 10,013 X Y 10,013 MCDONALDS CORP Common Stock 580135101 2,513 106,742 X Y 106,742 MCGRAW HILL COMPANIES INC Common Stock 580645109 850 13,676 X Y 13,676 MCKESSON CORP Common Stock 58155Q103 657 19,738 X Y 19,738 MEADWESTVACO CORP Common Stock 583334107 348 13,629 X Y 13,629 MEDCO HEALTH SOLUTIONS INC Common Stock 58405U102 682 26,287 X Y 26,287 MEDIMMUNE INC Common Stock 584699102 563 17,056 X Y 17,056 MEDTRONIC INC Common Stock 585055106 4,357 92,851 X Y 92,851 MELLON FINANCIAL CORP Common Stock 58551A108 905 30,021 X Y 30,021 MERCK & CO INC Common Stock 589331107 9,202 181,777 X Y 181,777 MERRILL LYNCH & CO Common Stock 590188108 4,010 74,920 X Y 74,920 METLIFE INC Common Stock 59156R108 1,459 52,009 X Y 52,009 MICROSOFT CORP Common Stock 594918104 24,313 874,551 X Y 874,551 MICRON TECHNOLOGY Common Stock 595112103 679 50,599 X Y 50,599 S & P 400 MID CAP DEP RECPT Common Stock 595635103 5,125 54,900 X Y 54,900 MINDSPEED TECHNOLOGIES-W/I Common Stock 602682106 90 16,665 X Y 16,665 MOLEX INC Common Stock 608554101 373 13,048 X Y 13,048 MONSANTO CO Common Stock 61166W101 433 18,077 X Y 18,077 MOODY'S CORPORATION Common Stock 615369105 571 10,391 X Y 10,391 MORGAN STANLEY Common Stock 617446448 3,754 74,395 X Y 74,395 MOTOROLA INC Common Stock 620076109 2,494 208,617 X Y 208,617 NASDAQ-100 INDEX TRCKNG STCK Common Stock 631100104 1,426 44,000 X Y 44,000 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 --------------------- ------------------ (B) (A) SHARED INVEST- AS DE- MENT FINED FAIR MKT DIS- IN (C) TITLE VALUE PAR/ CRE- INSTR. SHARED SELECT (A) (B) (C) NAME OF ISSUER OF CLASS CUSIP (000'S) SHARES TION V OTHER IND SOLE SHARED NONE NATIONAL CITY CORP Common Stock 635405103 1,447 49,116 X Y 49,116 NATIONAL SEMICONDUCTOR CORP Common Stock 637640103 818 25,339 X Y 25,339 NETWORK APPLIANCE INC Common Stock 64120L104 495 24,087 X Y 24,087 NEW YORK TIMES CO -CL A Common Stock 650111107 670 15,409 X Y 15,409 NEWELL RUBBERMAID INC Common Stock 651229106 477 22,059 X Y 22,059 NEWMONT MINING CORP Common Stock 651639106 1,074 27,463 X Y 27,463 NEWPORT CORP Common Stock 651824104 197 14,000 X Y 14,000 NEXTEL COMMUNICATIONS INC-A Common Stock 65332V103 3,643 184,838 X Y 184,838 NEXTEL PARTNERS INC -CL A Common Stock 65333F107 79 10,000 X Y 10,000 NIKE INC CL B Common Stock 654106103 1,092 17,958 X Y 17,958 NISOURCE INC Common Stock 65473P105 350 17,541 X Y 17,541 NOKIA CORPORATION Common Stock 654902204 320 20,470 X Y 20,470 NORDSTROM INC Common Stock 655664100 295 11,862 X Y 11,862 NORFOLK SOUTHERN CORP Common Stock 655844108 500 27,018 X Y 27,018 NORTH FORK BANCORPORATION Common Stock 659424105 377 10,842 X Y 10,842 NORTHERN TRUST CORP Common Stock 665859104 633 14,945 X Y 14,945 NOVELL INC Common Stock 670006105 123 23,230 X Y 23,230 NOVELLUS SYSTEMS INC Common Stock 670008101 364 10,831 X Y 10,831 NVIDIA CORP Common Stock 67066G104 171 10,685 X Y 10,685 OCCIDENTAL PETROLEUM CORP Common Stock 674599105 942 26,736 X Y 26,736 OFFICE DEPOT INC Common Stock 676220106 633 45,307 X Y 45,307 OMNICOM GROUP Common Stock 681919106 3,618 50,349 X Y 50,349 OPNET TECHNOLOGIES INC Common Stock 683757108 200 16,000 X Y 16,000 ORACLE CORPORATION Common Stock 68389X105 5,021 446,333 X Y 446,333 OXFORD HEALTH PLANS INC Common Stock 691471106 486 11,800 X Y 11,800 PG&E CORP Common Stock 69331C108 686 28,723 X Y 28,723 PMC - SIERRA INC Common Stock 69344F106 185 14,041 X Y 14,041 PNC FINANCIAL SERVICES GROUP Common Stock 693475105 1,176 24,711 X Y 24,711 PPG INDUSTRIES INC Common Stock 693506107 622 11,914 X Y 11,914 PPL CORPORATION Common Stock 69351T106 500 12,202 X Y 12,202 PAC-WEST TELECOMM INC Common Stock 69371Y101 384 130,000 X Y 130,000 PACTIV CORPORATION Common Stock 695257105 206 10,148 X Y 10,148 PARAMETRIC TECHNOLOGY CORP Common Stock 699173100 59 18,697 X Y 18,697 PARK PLACE ENTERTAINMENT Common Stock 700690100 225 25,000 X Y 25,000 PAYCHEX INC Common Stock 704326107 919 26,948 X Y 26,948 J. C. PENNEY CO Common Stock 708160106 385 18,023 X Y 18,023 PEOPLESOFT INC Common Stock 712713106 454 24,832 X Y 24,832 PEPSI BOTTLING GROUP INC Common Stock 713409100 378 18,335 X Y 18,335 PEPSICO INC Common Stock 713448108 5,915 129,061 X Y 129,061 PFIZER INCORPORATED Common Stock 717081103 20,468 673,741 X Y 673,741 PITNEY BOWES INC Common Stock 724479100 1,606 41,650 X Y 41,650 PLUM CREEK TIMBER CO -REIT Common Stock 729251108 355 13,933 X Y 13,933 POPULAR INC Common Stock 733174106 478 12,000 X Y 12,000 POPULAR INC Preferred Stock 733174304 297 12,000 X Y 12,000 PRAXAIR INC Common Stock 74005P104 697 11,259 X Y 11,259 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 --------------------- ------------------ (B) (A) SHARED INVEST- AS DE- MENT FINED FAIR MKT DIS- IN (C) TITLE VALUE PAR/ CRE- INSTR. SHARED SELECT (A) (B) (C) NAME OF ISSUER OF CLASS CUSIP (000'S) SHARES TION V OTHER IND SOLE SHARED NONE PRINCIPAL FINANCIAL GROUP Common Stock 74251V102 682 21,991 X Y 21,991 PROCTOR & GAMBLE CO Common Stock 742718109 8,993 96,884 X Y 96,884 PROGRESS ENERGY INC Common Stock 743263105 730 16,426 X Y 16,426 PROGRESSIVE CORP Common Stock 743315103 1,041 15,070 X Y 15,070 PROLOGIS Common Stock 743410102 457 15,135 X Y 15,135 PROVIDIAN FINANCIAL CORP Common Stock 74406A102 220 18,695 X Y 18,695 PRUDENTIAL FINANCIAL INC Common Stock 744320102 1,460 39,078 X Y 39,078 PUBLIC SERVICE ENTERPRISE GRP Common Stock 744573106 675 16,069 X Y 16,069 QUALCOMM INC Common Stock 747525103 2,292 55,010 X Y 55,010 QWEST COMMUNICATIONS INTERNATIONAL Common Stock 749121109 398 117,021 X Y 117,021 RF MICRO DEVICES INC Common Stock 749941100 185 20,000 X Y 20,000 RADIO ONE INC -CL D Common Stock 75040P405 144 10,000 X Y 10,000 RADIOSHACK CORPORATION Common Stock 750438103 1,043 36,704 X Y 36,704 RAYTHEON COMPANY Common Stock 755111507 837 29,876 X Y 29,876 REGIONS FINANCIAL CORP Common Stock 758940100 516 15,062 X Y 15,062 REVLON INC-CL A Common Stock 761525500 40 15,000 X Y 15,000 RITCHIE BROS. AUCTIONEERS Common Stock 767744105 481 11,600 X Y 11,600 ROBERT HALF INTL CORP Common Stock 770323103 217 11,122 X Y 11,122 ROCKWELL INTERNATIONAL CORP Common Stock 773903109 591 22,496 X Y 22,496 ROCKWELL COLLINS INC. Common Stock 774341101 633 25,068 X Y 25,068 ROHM & HAAS Common Stock 775371107 507 15,148 X Y 15,148 ROYAL BK OF SCOT GRP PLC Preferred Stock SF 780097606 13,000 X Y 13,000 SBC COMMUNICATIONS INC Common Stock 78387G103 6,715 301,800 X Y 301,800 SLM CORP Common Stock 78442P106 1,201 30,830 X Y 30,830 SPDR TRUST SERIES 1 Common Stock 78462F103 29,989 299,774 X Y 299,774 SABRA HOLDINGS CORP Common Stock 785905100 218 10,118 X Y 10,118 SAFEWAY INC Common Stock 786514208 962 41,952 X Y 41,952 ST JUDE MEDICAL INC Common Stock 790849103 645 11,988 X Y 11,988 ST PAUL COS Common Stock 792860108 902 24,368 X Y 24,368 SANMINA-SCI CORP Common Stock 800907107 318 32,920 X Y 32,920 SARA LEE CORP Common Stock 803111103 1,272 69,284 X Y 69,284 SCHERING-PLOUGH CORP Common Stock 806605101 1,590 104,350 X Y 104,350 SCHLUMBERGER LTD Common Stock 806857108 1,922 39,708 X Y 39,708 SCHWAB (CHARLES) CORP Common Stock 808513105 1,394 117,025 X Y 117,025 SEARS ROEBUCK & CO Common Stock 812387108 1,001 22,895 X Y 22,895 SEMPRA ENERGY Common Stock 816851109 409 13,913 X Y 13,913 SHERWIN-WILLIAMS CO Common Stock 824348106 345 11,716 X Y 11,716 SHIRE PHARMACEUTICALS GROUP ADR Common Stock 82481R106 221 10,000 X Y 10,000 SIEBEL SYSTEMS INC Common Stock 826170102 969 99,277 X Y 99,277 SIMON PROPERTY GROUP INC Common Stock 828806109 621 14,252 X Y 14,252 SKYWORKS SOLUTIONS INC Common Stock 83088M102 175 19,250 X Y 19,250 SOLECTRON CORP Common Stock 834182107 348 59,526 X Y 59,526 SONOCO PRODUCTS CO Common Stock 835495102 306 13,700 X Y 13,700 SOUTHERN CO Common Stock 842587107 1,553 52,885 X Y 52,885 SOUTHTRUST CORP Common Stock 844730101 680 23,147 X Y 23,147 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 --------------------- ------------------ (B) (A) SHARED INVEST- AS DE- MENT FINED FAIR MKT DIS- IN (C) TITLE VALUE PAR/ CRE- INSTR. SHARED SELECT (A) (B) (C) NAME OF ISSUER OF CLASS CUSIP (000'S) SHARES TION V OTHER IND SOLE SHARED NONE SOUTHWEST AIRLINES Common Stock 844741108 941 53,139 X Y 53,139 SPRINT CORP (FON GROUP) Common Stock 852061100 1,444 95,645 X Y 95,645 SPRINT CORP-PCS GROUP Common Stock 852061506 400 69,803 X Y 69,803 STAPLES INC Common Stock 855030102 784 32,875 X Y 32,875 STARBUCKS CORP Common Stock 855244109 757 26,273 X Y 26,273 STARWOOD HOTELS & RESORTS Common Stock 85590A203 476 13,673 X Y 13,673 STATE STREET CORP Common Stock 857477103 1,298 28,837 X Y 28,837 STRYKER CORP Common Stock 863667101 1,044 13,867 X Y 13,867 SUN MICROSYSTEMS INC Common Stock 866810104 1,106 334,075 X Y 334,075 SUNGARD DATA SYSTEMS Common Stock 867363103 555 21,113 X Y 21,113 SUNTRUST BANKS INC Common Stock 867914103 1,420 23,505 X Y 23,505 SYCAMORE NETWORKS INC Common Stock 871206108 377 77,000 X Y 77,000 SYMANTEC CORP Common Stock 871503108 657 10,400 X Y 10,400 SYMBOL TECHNOLOGIES INC Common Stock 871508107 177 14,796 X Y 14,796 SYNOVUS FINANCIAL CORP Common Stock 87161C105 513 20,525 X Y 20,525 SYSCO CORP Common Stock 871829107 1,550 47,357 X Y 47,357 TECO ENERGY Common Stock 872375100 166 11,981 X Y 11,981 TJX COMPANIES INC Common Stock 872540109 713 36,728 X Y 36,728 TXU CORP Common Stock 873168108 513 21,793 X Y 21,793 TARGET CORP Common Stock 87612E106 2,414 64,157 X Y 64,157 TELLABS INC Common Stock 879664100 473 69,487 X Y 69,487 TENET HEALTHCARE CORP Common Stock 88033G100 452 31,233 X Y 31,233 TERADYNE INC Common Stock 880770102 383 20,600 X Y 20,600 TERAYON COMMUNICATION SYS Common Stock 880775101 173 30,000 X Y 30,000 TEXAS INSTRUMENTS INC Common Stock 882508104 2,796 122,643 X Y 122,643 TEXTRON INC Common Stock 883203101 984 24,718 X Y 24,718 THERMO ELECTRON CORP Common Stock 883556102 246 11,330 X Y 11,330 3M CO Common Stock 88579Y101 3,875 56,100 X Y 56,100 TIBCO SOFTWARE INC Common Stock 88632Q103 54 10,000 X Y 10,000 TIFFANY & CO Common Stock 886547108 381 10,207 X Y 10,207 TIME WARNER TELECOM -CL A Common Stock 887319101 93 10,000 X Y 10,000 TOYS R US INC Common Stock 892335100 170 14,120 X Y 14,120 TRANSWITCH CORP Common Stock 894065101 35 14,000 X Y 14,000 TRAVELERS PROP CASUALT-B-W/I Common Stock 89420G406 1,173 73,878 X Y 73,878 TRIBUNE COMPANY Common Stock 896047107 969 21,105 X Y 21,105 TRINIDAD ENERGY Common Stock 89635P100 274 77,943 X Y 77,943 TYCO INTERNATIONAL LTD Common Stock 902124106 3,006 147,068 X Y 147,068 UST INC Common Stock 902911106 384 10,921 X Y 10,921 US BANCORP Common Stock 902973304 3,392 141,390 X Y 141,390 UNION PACIFIC CORP Common Stock 907818108 1,016 17,464 X Y 17,464 UNION PLANTERS CORP Common Stock 908068109 426 13,456 X Y 13,456 UNISYS CORP Common Stock 909214108 289 21,336 X Y 21,336 UNITED PARCEL SERVICE-CL B Common Stock 911312106 7,810 122,407 X Y 122,407 UNITED TECHNOLOGIES CORP Common Stock 913017109 2,540 32,866 X Y 32,866 UNITEDHEALTH GROUP INC Common Stock 91324P102 2,083 41,388 X Y 41,388 ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 --------------------- ------------------ (B) (A) SHARED INVEST- AS DE- MENT FINED FAIR MKT DIS- IN (C) TITLE VALUE PAR/ CRE- INSTR. SHARED SELECT (A) (B) (C) NAME OF ISSUER OF CLASS CUSIP (000'S) SHARES TION V OTHER IND SOLE SHARED NONE UNIVISION COMMUNICATIONS Common Stock 914906102 552 17,275 X Y 17,275 UNOCAL CORP Common Stock 915289102 551 17,472 X Y 17,472 UNUMPROVIDENT CORP Common Stock 91529Y106 276 18,664 X Y 18,664 VERITAS SOFTWARE CORP Common Stock 923436109 1,588 50,378 X Y 50,378 VIACOM INC-CL B Common Stock 925524308 7,139 186,398 X Y 186,398 WACHOVIA CORP Common Stock 929903102 6,440 156,341 X Y 156,341 WAL-MART STORES Common Stock 931142103 20,903 374,277 X Y 374,277 WALGREEN CO Common Stock 931422109 2,141 69,881 X Y 69,881 WASHINGTON MUTUAL INC Common Stock 939322103 2,585 65,667 X Y 65,667 WASTE MANAGEMENT INC Common Stock 94106L109 1,055 40,304 X Y 40,304 WATERS CORP Common Stock 941848103 499 18,198 X Y 18,198 WELLPOINT HEALTH NETWORKS Common Stock 94973H108 788 10,228 X Y 10,228 WELLS FARGO & COMPANY Common Stock 949746101 6,046 117,390 X Y 117,390 WEYERHAEUSER CO Common Stock 962166104 885 15,140 X Y 15,140 WHIRLPOOL CORP Common Stock 963320106 1,115 16,463 X Y 16,463 WILLIAMS COS INC Common Stock 969457100 370 39,329 X Y 39,329 WRIGLEY (WM.) JR CO Common Stock 982526105 861 15,577 X Y 15,577 WYETH Common Stock 983024100 4,418 95,834 X Y 95,834 XCEL ENERGY INC Common Stock 98389B100 412 26,656 X Y 26,656 XILINX INC Common Stock 983919101 1,339 47,105 X Y 47,105 XEROX CORP Common Stock 984121103 549 53,450 X Y 53,450 YAHOO! INC Common Stock 984332106 1,815 51,298 X Y 51,298 YUM! BRANDS INC Common Stock 988498101 1,002 33,844 X Y 33,844 ZIMMER HOLDINGS INC Common Stock 98956P102 859 15,590 X Y 15,590 ACE LTD Common Stock G0070K103 599 18,100 X Y 18,100 INGERSOLL-RAND CO-CL A Common Stock G4776G101 621 11,619 X Y 11,619 NABORS INDUSTRIES LTD Common Stock G6359F103 376 10,077 X Y 10,077 TRANSOCEAN INC Common Stock G90078109 333 16,675 X Y 16,675 GRAND TOTAL: 780,790 24,820,631 24,820,631