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: June 30, 2004 ---------------------- 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: Gary Hutchins ------------------------------------------------------ Title: Senior Vice President ------------------------------------------------------ Phone: (860) 520-1275 ------------------------------------------------------ Signature, Place and Date of Signing: /s/ Gary Hutchins Hartford, Connecticut 7/14/04 ------------------ ---------------------- ------- [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: 503 Form 13F Information Table Value Total: $ 1,004,322 June 30, 2004 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 OTHER (A) (B) (C) NAME OF ISSUER OF CLASS CUSIP (000'S) SHARES TION V OTHER MANAGER SOLE SHARED NONE ADC TELECOMMUNICATIONS I Common Stock 000886101 348 122,514 X Y 122,514 AFLAC INC Common Stock 001055102 2,447 59,960 X Y 59,960 AES CORP Common Stock 00130H105 349 35,132 X Y 35,132 AT&T CORP Common Stock 001957505 804 54,930 X Y 54,930 A T & T WIRELESS SERVICES Common Stock 00209A106 3,979 277,860 X Y 277,860 ABBOTT LABORATORIES Common Stock 002824100 8,504 208,646 X Y 208,646 ADOBE SYSTEMS INC Common Stock 00724F101 649 13,949 X Y 13,949 ADVANCED MICRO DEVICES INC Common Stock 007903107 307 19,327 X Y 19,327 AETNA INC Common Stock 00817Y108 772 9,084 X Y 9,084 AFFILIATED COMPUTER SVCS Common Stock 008190100 3,928 74,198 X Y 74,198 AGILENT TECHNOLOGIES INC Common Stock 00846U101 1,743 59,516 X Y 59,516 AIR PRODUCTS & CHEMICALS I Common Stock 009158106 3,260 62,159 X Y 62,159 ALBERTO-CULVER CO Common Stock 013068101 278 5,551 X Y 5,551 ALBERTSONS INC Common Stock 013104104 555 20,922 X Y 20,922 ALCOA INC Common Stock 013817101 2,711 82,074 X Y 82,074 ALLERGAN INC Common Stock 018490102 718 8,020 X Y 8,020 ALLIED WASTE INDUSTRIES INC Common Stock 019589308 199 15,079 X Y 15,079 ALLSTATE CORP Common Stock 020002101 4,620 99,252 X Y 99,252 ALLTEL CORP Common Stock 020039103 902 17,823 X Y 17,823 ALTERA CORPORATION Common Stock 021441100 477 21,518 X Y 21,518 ALTRIA GROUP INC Common Stock 02209S103 6,974 139,331 X Y 139,331 AMBAC FINANCIAL GROUP INC Common Stock 023139108 1,093 14,887 X Y 14,887 AMERADA HESS CORP Common Stock 023551104 420 5,298 X Y 5,298 AMEREN CORPORATION Common Stock 023608102 440 10,245 X Y 10,245 AMERICAN ELECTRIC POWER Common Stock 025537101 711 22,234 X Y 22,234 AMERICAN EXPRESS CO Common Stock 025816109 7,366 143,365 X Y 143,365 AMERICAN INTERNATIONAL G Common Stock 026874107 18,587 260,755 X Y 260,755 AMERICAN POWER CONVERSIO Common Stock 029066107 583 29,656 X Y 29,656 AMERICAN STANDARD COS INC Common Stock 029712106 523 12,978 X Y 12,978 AMERICAN TOWER CORP-CL A Common Stock 029912201 152 10,000 X Y 10,000 AMERISOURCEBERGEN CORP Common Stock 03073E105 387 6,477 X Y 6,477 AMGEN INC Common Stock 031162100 6,323 115,872 X Y 115,872 AMSOUTH BANCORPORATION Common Stock 032165102 515 20,228 X Y 20,228 ANADARKO PETROLEUM CORP Common Stock 032511107 2,030 34,635 X Y 34,635 ANALOG DEVICES Common Stock 032654105 1,001 21,269 X Y 21,269 ANHEUSER-BUSCH COS INC. Common Stock 035229103 2,381 44,092 X Y 44,092 ANTHEM INC Common Stock 03674B104 4,690 52,366 X Y 52,366 AON CORP Common Stock 037389103 480 16,844 X Y 16,844 APACHE CORP Common Stock 037411105 4,979 114,320 X Y 114,320 APARTMENT INVT & MGMT CO Common Stock 03748R101 221 7,105 X Y 7,105 APOLLO GROUP INC-CL A Common Stock 037604105 2,805 31,771 X Y 31,771 APPLE COMPUTER INC Common Stock 037833100 2,084 64,053 X Y 64,053 APPLIED BIOSYSTEMS GROUP-AP Common Stock 038020103 252 11,577 X Y 11,577 APPLIED MATERIALS INC Common Stock 038222105 2,596 132,316 X Y 132,316 APPLIED MICRO CIRCUITS CORP Common Stock 03822W109 84 15,811 X Y 15,811 ARCHER-DANIELS-MIDLAND CO Common Stock 039483102 2,394 142,687 X Y 142,687 AUTODESK INC Common Stock 052769106 251 5,873 X Y 5,873 AUTOMATIC DATA PROCESSI Common Stock 053015103 1,504 35,915 X Y 35,915 AUTONATION INC Common Stock 05329W102 250 14,630 X Y 14,630 AUTOZONE INC Common Stock 053332102 429 5,355 X Y 5,355 AVAYA INC Common Stock 053499109 906 57,385 X Y 57,385 AVERY DENNISON CORP Common Stock 053611109 394 6,154 X Y 6,154 AVON PRODUCTS INC Common Stock 054303102 2,889 62,618 X Y 62,618 BB&T CORPORATION Common Stock 054937107 1,148 31,055 X Y 31,055 BJ SERVICES CO Common Stock 055482103 1,748 38,140 X Y 38,140 BP PLC-SPONS ADR Common Stock 055622104 836 15,600 X Y 15,600 BMC SOFTWARE INC Common Stock 055921100 238 12,889 X Y 12,889 BAKER HUGHES INC Common Stock 057224107 778 20,659 X Y 20,659 BALL CORP Common Stock 058498106 244 3,391 X Y 3,391 BANK OF AMERICA CORP Common Stock 060505104 16,615 196,351 X Y 196,351 BANK OF NEW YORK CO INC Common Stock 064057102 1,777 60,262 X Y 60,262 BANK ONE CORP Common Stock 06423A103 2,980 58,436 X Y 58,436 BARD (C.R.) INC Common Stock 067383109 613 10,828 X Y 10,828 BARR PHARMACEUTICALS INC Common Stock 068306109 1,647 48,871 X Y 48,871 BAUSCH & LOMB INC Common Stock 071707103 995 15,291 X Y 15,291 BAXTER INTERNATIONAL INC. Common Stock 071813109 1,483 42,959 X Y 42,959 BEA SYSTEMS INC Common Stock 073325102 2,340 284,713 X Y 284,713 BEAR STEARNS COMPANIES INC Common Stock 073902108 559 6,633 X Y 6,633 BECTON DICKINSON & CO Common Stock 075887109 817 15,768 X Y 15,768 BED BATH & BEYOND INC Common Stock 075896100 1,443 37,521 X Y 37,521 BELLSOUTH CORP Common Stock 079860102 2,814 107,319 X Y 107,319 BEST BUY CO INC Common Stock 086516101 1,706 33,614 X Y 33,614 BIOMET INC Common Stock 090613100 2,124 47,794 X Y 47,794 BIOGEN IDEC INC Common Stock 09062X103 1,218 19,256 X Y 19,256 BLACK & DECKER CORP Common Stock 091797100 345 5,547 X Y 5,547 H&R BLOCK INC Common Stock 093671105 503 10,542 X Y 10,542 BOEING CO Common Stock 097023105 2,703 52,915 X Y 52,915 BOSTON SCIENTIFIC CORP Common Stock 101137107 6,097 142,456 X Y 142,456 BOWATER INC Common Stock 102183100 1,845 44,354 X Y 44,354 BRISTOL-MYERS SQUIBB CO Common Stock 110122108 2,795 114,102 X Y 114,102 BROADCOM CORP-CL A Common Stock 111320107 800 17,161 X Y 17,161 BROWN-FORMAN CORP -CL B Common Stock 115637209 371 7,692 X Y 7,692 BURLINGTON NORTHERN SANT Common Stock 12189T104 995 28,381 X Y 28,381 BURLINGTON RESOURCES INC Common Stock 122014103 2,305 63,700 X Y 63,700 CIGNA CORP Common Stock 125509109 561 8,153 X Y 8,153 CSX CORP Common Stock 126408103 380 11,598 X Y 11,598 CVS CORP Common Stock 126650100 4,065 96,739 X Y 96,739 CABCO TRUST FOR JCP Preferred Stock 126797208 245 10,000 X Y 10,000 CALPINE CORP Common Stock 131347106 133 30,843 X Y 30,843 CAMPBELL SOUP CO Common Stock 134429109 2,508 93,297 X Y 93,297 CAPITAL ONE FINANCIAL CORP Common Stock 14040H105 3,003 43,918 X Y 43,918 CARDINAL HEALTH INC Common Stock 14149Y108 1,906 27,214 X Y 27,214 CAREER EDUATION CORP Common Stock 141665109 397 8,710 X Y 8,710 CAREMARK RX INC Common Stock 141705103 2,006 60,900 X Y 60,900 CARNIVAL CORP Common Stock 143658300 1,740 37,029 X Y 37,029 CATERPILLAR INC Common Stock 149123101 1,658 20,870 X Y 20,870 CENDANT CORP Common Stock 151313103 6,102 249,245 X Y 249,245 CENTERPOINT ENERGY INC Common Stock 15189T107 176 15,274 X Y 15,274 CENTEX CORP Common Stock 152312104 411 8,990 X Y 8,990 CENTURYTEL INC Common Stock 156700106 236 7,872 X Y 7,872 CHARTER ONE FIN INC Common Stock 160903100 634 14,341 X Y 14,341 CHEVRONTEXACO CORP Common Stock 166764100 8,325 88,456 X Y 88,456 CHIRON CORP Common Stock 170040109 484 10,846 X Y 10,846 CHUBB CORP Common Stock 171232101 3,384 49,626 X Y 49,626 CIENA CORP Common Stock 171779101 120 32,444 X Y 32,444 CINCINNATI FINANCIAL CORP Common Stock 172062101 410 9,425 X Y 9,425 CINERGY CORP Common Stock 172474108 741 19,507 X Y 19,507 CIRCUIT CITY STORES INC Common Stock 172737108 163 12,620 X Y 12,620 CISCO SYSTEMS INC Common Stock 17275R102 15,547 656,008 X Y 656,008 CINTAS CORP Common Stock 172908105 458 9,601 X Y 9,601 CITIGROUP INC Common Stock 172967101 23,549 506,421 X Y 506,421 CITIZENS COMMUNICATIONS C Common Stock 17453B101 173 14,280 X Y 14,280 CITRIX SYSTEMS INC Common Stock 177376100 525 25,805 X Y 25,805 CLEAR CHANNEL COMMUNICAT Common Stock 184502102 2,237 60,540 X Y 60,540 CLOROX COMPANY Common Stock 189054109 619 11,502 X Y 11,502 COACH INC Common Stock 189754104 2,428 53,720 X Y 53,720 COCA-COLA CO/THE Common Stock 191216100 7,679 152,126 X Y 152,126 COCA-COLA ENTERPRISES Common Stock 191219104 713 24,604 X Y 24,604 COLGATE-PALMOLIVE CO Common Stock 194162103 1,885 32,248 X Y 32,248 COMCAST CORP-CL A Common Stock 20030N101 6,444 229,333 X Y 229,333 COMCAST CORP-SPECIAL CL A Common Stock 20030N200 2,778 100,600 X Y 100,600 COMERICA INC Common Stock 200340107 575 10,469 X Y 10,469 COMMUNITY HEALTH SYSTEMS Common Stock 203668108 2,324 86,802 X Y 86,802 COMPUTER ASSOCIATES INTL I Common Stock 204912109 1,004 35,797 X Y 35,797 COMPUTER SCIENCES CORP Common Stock 205363104 516 11,114 X Y 11,114 COMPUWARE CORP Common Stock 205638109 130 19,691 X Y 19,691 COMVERSE TECHNOLOGY INC Common Stock 205862402 220 11,051 X Y 11,051 CONAGRA FOODS INC Common Stock 205887102 825 30,453 X Y 30,453 CONEXANT SYSTEMS INC Common Stock 207142100 147 34,000 X Y 34,000 CONOCOPHILLIPS Common Stock 20825C104 7,490 98,183 X Y 98,183 CONSOLIDATED EDISON INC Common Stock 209115104 520 13,067 X Y 13,067 CONSTELLATION ENERGY GROU Common Stock 210371100 341 8,999 X Y 8,999 CORNING INC Common Stock 219350105 1,314 100,637 X Y 100,637 COSTCO WHOLESALE CORP Common Stock 22160K105 1,718 41,724 X Y 41,724 COUNTRYWIDE FINANCIAL COR Common Stock 222372104 3,534 50,309 X Y 50,309 COX COMMUNICATIONS INC-C Common Stock 224044107 1,147 41,270 X Y 41,270 DTE ENERGY COMPANY Common Stock 233331107 439 10,841 X Y 10,841 DANAHER CORP Common Stock 235851102 4,291 82,758 X Y 82,758 DARDEN RESTAURANTS INC Common Stock 237194105 211 10,246 X Y 10,246 DEERE & CO Common Stock 244199105 4,785 68,223 X Y 68,223 DELL INC Common Stock 24702R101 9,662 269,742 X Y 269,742 DELPHI CORP Common Stock 247126105 353 33,045 X Y 33,045 DEUTSCHE TELEKOM AG-SPON A Common Stock 251566105 354 20,000 X Y 20,000 DEVON ENERGY CORPORATION Common Stock 25179M103 3,385 51,287 X Y 51,287 THE WALT DISNEY CO. Common Stock 254687106 4,438 174,112 X Y 174,112 DOLLAR GENERAL Common Stock 256669102 353 18,060 X Y 18,060 DOMINION RESOURCES INC/VA Common Stock 25746U109 1,392 22,075 X Y 22,075 RR DONNELLEY & SONS CO Common Stock 257867101 364 11,019 X Y 11,019 DOUBLECLICK INC Common Stock 258609304 155 20,000 X Y 20,000 DOVER CORP Common Stock 260003108 497 11,800 X Y 11,800 DOW CHEMICAL Common Stock 260543103 2,865 70,399 X Y 70,399 DOW JONES & CO INC Common Stock 260561105 652 14,461 X Y 14,461 DU PONT (E.I.) DE NEMOURS Common Stock 263534109 6,614 148,887 X Y 148,887 DUKE ENERGY CORP Common Stock 264399106 1,327 65,409 X Y 65,409 DYNEGY INC-CL A Common Stock 26816Q101 86 20,272 X Y 20,272 EMC CORP/MASS Common Stock 268648102 3,081 270,290 X Y 270,290 EOG RESOURCES INC Common Stock 26875P101 420 7,042 X Y 7,042 E*TRADE GROUP INC Common Stock 269246104 175 15,730 X Y 15,730 EASTMAN KODAK CO Common Stock 277461109 417 15,454 X Y 15,454 EATON CORP Common Stock 278058102 562 8,686 X Y 8,686 EBAY INC Common Stock 278642103 5,940 64,604 X Y 64,604 ECOLAB INC Common Stock 278865100 437 13,790 X Y 13,790 EDISON INTERNATIONAL Common Stock 281020107 438 17,149 X Y 17,149 EL PASO CORP Common Stock 28336L109 305 38,671 X Y 38,671 ELECTRONIC ARTS INC Common Stock 285512109 932 17,094 X Y 17,094 ELECTRONIC DATA SYSTEMS CO Common Stock 285661104 517 26,989 X Y 26,989 EMERSON ELECTRIC CO Common Stock 291011104 4,637 72,964 X Y 72,964 ENERGY EAST CORPORATION Common Stock 29266M109 320 13,200 X Y 13,200 ENGELHARD CORP Common Stock 292845104 244 7,546 X Y 7,546 ENTERGY CORP Common Stock 29364G103 1,086 19,389 X Y 19,389 EQUIFAX INC Common Stock 294429105 214 8,647 X Y 8,647 EQUITY OFFICE PROPERTIES TR Common Stock 294741103 644 23,674 X Y 23,674 EQUITY RESIDENTIAL Common Stock 29476L107 492 16,533 X Y 16,533 EXELON CORP Common Stock 30161N101 2,962 88,984 X Y 88,984 EXPRESS SCRIPTS INC Common Stock 302182100 363 4,580 X Y 4,580 EXXON MOBIL CORP Common Stock 30231G102 20,591 463,659 X Y 463,659 FPL GROUP INC Common Stock 302571104 682 10,663 X Y 10,663 FAMILY DOLLAR STORES Common Stock 307000109 503 16,533 X Y 16,533 FREDDIE MAC Common Stock 313400301 2,890 45,661 X Y 45,661 FANNIE MAE Common Stock 313586109 6,882 96,434 X Y 96,434 FEDERATED DEPARTMENT STO Common Stock 31410H101 532 10,831 X Y 10,831 FEDEX CORP Common Stock 31428X106 1,418 17,354 X Y 17,354 FIFTH THIRD BANCORP Common Stock 316773100 1,765 32,812 X Y 32,812 FIRST DATA CORP Common Stock 319963104 2,370 53,234 X Y 53,234 FIRST HORIZON NATIONAL COR Common Stock 320517105 344 7,570 X Y 7,570 FISERV INC Common Stock 337738108 413 10,627 X Y 10,627 FIRSTENERGY CORP Common Stock 337932107 2,512 67,135 X Y 67,135 FLUOR CORP Common Stock 343412102 209 4,382 X Y 4,382 FOMENTO ECONOMICO MEX-SP Common Stock 344419106 2,601 56,745 X Y 56,745 FORD MOTOR CO Common Stock 345370860 1,713 109,455 X Y 109,455 FOREST LABORATORIES INC Common Stock 345838106 1,214 21,438 X Y 21,438 FORTUNE BRANDS INC Common Stock 349631101 1,812 24,027 X Y 24,027 FRANKLIN RESOURCES INC Common Stock 354613101 733 14,641 X Y 14,641 FREEPORT-MCMORAN COPPER- Common Stock 35671D857 308 9,291 X Y 9,291 GANNETT CO Common Stock 364730101 2,738 32,272 X Y 32,272 GAP INC/THE Common Stock 364760108 1,227 50,601 X Y 50,601 GATEWAY INC Common Stock 367626108 146 32,364 X Y 32,364 GEMSTAR-TV GUIDE INTL INC Common Stock 36866W106 172 35,782 X Y 35,782 GENERAL DYNAMICS CORP Common Stock 369550108 1,611 16,219 X Y 16,219 GENERAL ELECTRIC CO Common Stock 369604103 25,399 783,928 X Y 783,928 GENERAL MILLS INC Common Stock 370334104 1,013 21,314 X Y 21,314 GENERAL MOTORS CORP Common Stock 370442105 1,505 32,303 X Y 32,303 GENUINE PARTS CO Common Stock 372460105 373 9,403 X Y 9,403 GENZYME CORP - GENL DIVIS Common Stock 372917104 605 12,786 X Y 12,786 GEORGIA-PACIFIC CORP Common Stock 373298108 594 16,050 X Y 16,050 GILLETTE COMPANY Common Stock 375766102 3,921 92,480 X Y 92,480 GOLDEN WEST FINANCIAL COR Common Stock 381317106 3,115 29,289 X Y 29,289 GOLDMAN SACHS GROUP INC Common Stock 38141G104 5,444 57,821 X Y 57,821 GOODRICH CORP Common Stock 382388106 215 6,636 X Y 6,636 WW GRAINGER INC Common Stock 384802104 295 5,129 X Y 5,129 GUIDANT CORP Common Stock 401698105 1,187 21,240 X Y 21,240 HCA INC Common Stock 404119109 2,669 64,180 X Y 64,180 HALLIBURTON CO Common Stock 406216101 783 25,886 X Y 25,886 HARLEY-DAVIDSON INC Common Stock 412822108 2,888 46,628 X Y 46,628 HARRAHS ENTERTAINMENT IN Common Stock 413619107 332 6,145 X Y 6,145 HARTFORD FINANCIAL SVCS GR Common Stock 416515104 2,087 30,361 X Y 30,361 HEALTH MGMT ASSOCIATES IN Common Stock 421933102 1,448 64,601 X Y 64,601 HJ HEINZ CO Common Stock 423074103 1,391 35,485 X Y 35,485 HERSHEY FOODS CORP Common Stock 427866108 715 15,444 X Y 15,444 HEWLETT-PACKARD CO Common Stock 428236103 3,988 188,989 X Y 188,989 HILTON HOTELS CORP Common Stock 432848109 404 21,635 X Y 21,635 HOME DEPOT INC Common Stock 437076102 5,434 154,380 X Y 154,380 HONEYWELL INTERNATIONAL I Common Stock 438516106 4,978 135,912 X Y 135,912 HOSPIRA INC-WHEN ISSUED Common Stock 441060100 616 22,334 X Y 22,334 HUNTINGTON BANCSHARES IN Common Stock 446150104 311 13,538 X Y 13,538 IMS HEALTH INC Common Stock 449934108 303 12,943 X Y 12,943 ITT INDUSTRIES INC Common Stock 450911102 481 5,795 X Y 5,795 ILLINOIS TOOL WORKS Common Stock 452308109 1,933 20,158 X Y 20,158 INTEL CORP Common Stock 458140100 12,966 469,780 X Y 469,780 INTL BUSINESS MACHINES CORP Common Stock 459200101 9,780 110,944 X Y 110,944 INTL FLAVORS & FRAGRANCES Common Stock 459506101 214 5,714 X Y 5,714 INTL GAME TECHNOLOGY Common Stock 459902102 3,964 102,706 X Y 102,706 INTERNATIONAL PAPER CO Common Stock 460146103 2,022 45,227 X Y 45,227 INTERPUBLIC GROUP OF COS IN Common Stock 460690100 303 22,086 X Y 22,086 INTUIT INC Common Stock 461202103 443 11,471 X Y 11,471 ISHARES MSCI EAFE INDEX FUN Common Stock 464287465 2,116 14,800 X Y 14,800 ISHARES S&P SMALLCAP 600 Common Stock 464287804 395 2,685 X Y 2,685 JDS UNIPHASE CORP Common Stock 46612J101 745 196,478 X Y 196,478 JP MORGAN CHASE & CO Common Stock 46625H100 9,731 250,990 X Y 250,990 JABIL CIRCUIT INC Common Stock 466313103 276 10,978 X Y 10,978 JANUS CAPITAL GROUP INC Common Stock 47102X105 307 18,595 X Y 18,595 JEFFERSON-PILOT CORP Common Stock 475070108 399 7,851 X Y 7,851 JOHNSON & JOHNSON Common Stock 478160104 12,846 230,635 X Y 230,635 JOHNSON CONTROLS INC Common Stock 478366107 1,459 27,338 X Y 27,338 JONES APPAREL GROUP INC Common Stock 480074103 476 12,068 X Y 12,068 JUNIPER NETWORKS INC Common Stock 48203R104 344 14,000 X Y 14,000 KLA-TENCOR CORPORATION Common Stock 482480100 1,002 20,289 X Y 20,289 KB HOME Common Stock 48666K109 228 3,325 X Y 3,325 KELLOGG CO Common Stock 487836108 2,034 48,591 X Y 48,591 KERR-MCGEE CORP Common Stock 492386107 2,464 45,823 X Y 45,823 KEYCORP Common Stock 493267108 702 23,489 X Y 23,489 KEYSPAN CORP Common Stock 49337W100 518 14,103 X Y 14,103 KIMBERLY-CLARK CORP Common Stock 494368103 6,526 99,063 X Y 99,063 KINDER MORGAN INC Common Stock 49455P101 457 7,711 X Y 7,711 KINETIC CONCEPTS INC Common Stock 49460W208 871 17,450 X Y 17,450 KING PHARMACEUTICALS INC Common Stock 495582108 160 13,998 X Y 13,998 KNIGHT-RIDDER INC Common Stock 499040103 341 4,735 X Y 4,735 KOHLS CORP Common Stock 500255104 1,274 30,139 X Y 30,139 KROGER CO Common Stock 501044101 767 42,136 X Y 42,136 LSI LOGIC CORP Common Stock 502161102 169 22,172 X Y 22,172 L-3 COMMUNICATIONS HOLDING Common Stock 502424104 1,064 15,930 X Y 15,930 LEGGETT & PLATT INC Common Stock 524660107 274 10,249 X Y 10,249 LEGG MASON INC Common Stock 524901105 892 9,800 X Y 9,800 LEHMAN BROTHERS HOLDINGS I Common Stock 524908100 1,227 16,302 X Y 16,302 LEXMARK INTERNATIONAL INC Common Stock 529771107 748 7,747 X Y 7,747 LIBERTY MEDIA CORP-A Common Stock 530718105 1,411 157,000 X Y 157,000 LIBERTY MEDIA INTL INC-A Common Stock 530719103 291 7,850 X Y 7,850 ELI LILLY & CO Common Stock 532457108 5,282 75,554 X Y 75,554 LIMITED BRANDS Common Stock 532716107 511 27,332 X Y 27,332 LINCOLN NATIONAL CORP Common Stock 534187109 510 10,792 X Y 10,792 LINEAR TECHNOLOGY CORP Common Stock 535678106 893 22,617 X Y 22,617 LIZ CLAIBORNE INC Common Stock 539320101 201 5,597 X Y 5,597 LOCKHEED MARTIN CORP Common Stock 539830109 2,388 45,861 X Y 45,861 LOEWS CORP Common Stock 540424108 661 11,031 X Y 11,031 LOWES COS INC Common Stock 548661107 4,267 81,192 X Y 81,192 LUCENT TECHNOLOGIES INC Common Stock 549463107 945 249,896 X Y 249,896 M & T BANK CORP Common Stock 55261F104 497 5,690 X Y 5,690 MBIA INC Common Stock 55262C100 551 9,639 X Y 9,639 MBNA CORP Common Stock 55262L100 5,372 208,282 X Y 208,282 MFA MORTGAGE INVESTMEN Common Stock 55272X102 562 63,137 X Y 63,137 MGIC INVESTMENT CORP Common Stock 552848103 1,742 22,962 X Y 22,962 MANULIFE FINANCIAL CORP Common Stock 56501R106 484 11,946 X Y 11,946 MARATHON OIL CORP Common Stock 565849106 715 18,900 X Y 18,900 MARSH & MCLENNAN COS Common Stock 571748102 1,531 33,741 X Y 33,741 MARSHALL & ILSLEY CORP Common Stock 571834100 482 12,338 X Y 12,338 MARRIOTT INTERNATIONAL-C Common Stock 571903202 661 13,257 X Y 13,257 MASCO CORP Common Stock 574599106 822 26,351 X Y 26,351 MATTEL INC Common Stock 577081102 423 23,194 X Y 23,194 MAXIM INTEGRATED PRODUCT Common Stock 57772K101 2,604 49,668 X Y 49,668 MAY DEPARTMENT STORES CO Common Stock 577778103 941 34,217 X Y 34,217 MCCORMICK & CO-NON VTG S Common Stock 579780206 275 8,098 X Y 8,098 MCDONALDS CORP Common Stock 580135101 2,302 88,542 X Y 88,542 MCGRAW-HILL COMPANIES INC Common Stock 580645109 863 11,276 X Y 11,276 MCKESSON CORP Common Stock 58155Q103 576 16,778 X Y 16,778 MEADWESTVACO CORP Common Stock 583334107 317 10,794 X Y 10,794 MEDCO HEALTH SOLUTIONS I Common Stock 58405U102 608 16,216 X Y 16,216 MEDIMMUNE INC Common Stock 584699102 281 12,006 X Y 12,006 MEDTRONIC INC Common Stock 585055106 3,610 74,091 X Y 74,091 MELLON FINANCIAL CORP Common Stock 58551A108 1,751 59,701 X Y 59,701 MERCK & CO. INC. Common Stock 589331107 8,239 173,457 X Y 173,457 MERCURY INTERACTIVE CORP Common Stock 589405109 259 5,189 X Y 5,189 MERRILL LYNCH & CO INC Common Stock 590188108 6,095 112,920 X Y 112,920 METLIFE INC Common Stock 59156R108 2,614 72,921 X Y 72,921 MICROSOFT CORP Common Stock 594918104 20,256 709,254 X Y 709,254 MICRON TECHNOLOGY INC Common Stock 595112103 654 42,744 X Y 42,744 MIDCAP SPDR TRUST SERIES 1 Common Stock 595635103 6,125 55,128 X Y 55,128 MOLEX INC Common Stock 608554101 361 11,248 X Y 11,248 MONSANTO CO Common Stock 61166W101 1,519 39,449 X Y 39,449 MOODYS CORP Common Stock 615369105 634 9,801 X Y 9,801 MORGAN STANLEY Common Stock 617446448 7,080 134,172 X Y 134,172 MOTOROLA INC Common Stock 620076109 3,492 191,357 X Y 191,357 MYLAN LABORATORIES Common Stock 628530107 622 30,730 X Y 30,730 NCR CORPORATION Common Stock 62886E108 284 5,723 X Y 5,723 NASDAQ-100 INDEX TRCKNG S Common Stock 631100104 1,902 50,400 X Y 50,400 NATIONAL CITY CORP Common Stock 635405103 1,209 34,546 X Y 34,546 NATIONAL SEMICONDUCTOR C Common Stock 637640103 514 23,358 X Y 23,358 NETWORK APPLIANCE INC Common Stock 64120L104 405 18,817 X Y 18,817 NEW YORK COMMUNITY BANCO Common Stock 649445103 523 26,666 X Y 26,666 NEW YORK TIMES CO -CL A Common Stock 650111107 594 13,289 X Y 13,289 NEWELL RUBBERMAID INC Common Stock 651229106 370 15,762 X Y 15,762 NEWMONT MINING CORP Common Stock 651639106 1,005 25,923 X Y 25,923 NEXTEL COMMUNICATIONS IN Common Stock 65332V103 4,000 150,048 X Y 150,048 NEXTEL PARTNERS INC -CL A Common Stock 65333F107 159 10,000 X Y 10,000 NIKE INC -CL B Common Stock 654106103 2,806 37,038 X Y 37,038 NISOURCE INC Common Stock 65473P105 283 13,711 X Y 13,711 NOKIA CORP-SPON ADR Common Stock 654902204 276 18,970 X Y 18,970 NORDSTROM INC Common Stock 655664100 335 7,872 X Y 7,872 NORFOLK SOUTHERN CORP Common Stock 655844108 574 21,628 X Y 21,628 NORTH FORK BANCORPORATIO Common Stock 659424105 360 9,472 X Y 9,472 NORTHERN TRUST CORP Common Stock 665859104 532 12,585 X Y 12,585 NORTHROP GRUMMAN CORP Common Stock 666807102 2,548 47,452 X Y 47,452 NOVELL INC Common Stock 670006105 184 21,940 X Y 21,940 NOVELLUS SYSTEMS INC Common Stock 670008101 412 13,101 X Y 13,101 NSTAR Common Stock 67019E107 292 6,100 X Y 6,100 NUCOR CORP Common Stock 670346105 375 4,890 X Y 4,890 OCCIDENTAL PETROLEUM COR Common Stock 674599105 1,556 32,146 X Y 32,146 OFFICE DEPOT INC Common Stock 676220106 2,176 121,517 X Y 121,517 OMNICOM GROUP Common Stock 681919106 926 12,204 X Y 12,204 OPNET TECHNOLOGIES INC Common Stock 683757108 210 16,000 X Y 16,000 ORACLE CORP Common Stock 68389X105 5,156 432,186 X Y 432,186 OXFORD HEALTH PLANS INC Common Stock 691471106 1,288 23,400 X Y 23,400 P G & E CORP Common Stock 69331C108 691 24,733 X Y 24,733 PMC - SIERRA INC Common Stock 69344F106 169 11,801 X Y 11,801 PNC FINANCIAL SERVICES GROU Common Stock 693475105 1,417 26,691 X Y 26,691 PPG INDUSTRIES INC Common Stock 693506107 1,618 25,894 X Y 25,894 PPL CORPORATION Common Stock 69351T106 757 16,492 X Y 16,492 PACCAR INC Common Stock 693718108 561 9,678 X Y 9,678 PAC-WEST TELECOMM INC Common Stock 69371Y101 33 30,000 X Y 30,000 PACTIV CORPORATION Common Stock 695257105 223 8,958 X Y 8,958 PARAMETRIC TECHNOLOGY CO Common Stock 699173100 73 14,697 X Y 14,697 PARKER HANNIFIN CORP Common Stock 701094104 1,292 21,734 X Y 21,734 PAYCHEX INC Common Stock 704326107 747 22,038 X Y 22,038 J.C. PENNEY CO INC (HLDG CO) Common Stock 708160106 558 14,773 X Y 14,773 PEOPLESOFT INC Common Stock 712713106 839 45,372 X Y 45,372 PEPSI BOTTLING GROUP INC Common Stock 713409100 462 15,125 X Y 15,125 PEPSICO INC Common Stock 713448108 8,644 160,424 X Y 160,424 PFIZER INC Common Stock 717081103 20,187 588,876 X Y 588,876 PHELPS DODGE CORP Common Stock 717265102 448 5,780 X Y 5,780 PITNEY BOWES INC Common Stock 724479100 2,448 55,320 X Y 55,320 PLUM CREEK TIMBER CO Common Stock 729251108 434 13,313 X Y 13,313 POST PROPERTIES INC Common Stock 737464107 201 6,900 X Y 6,900 PRAXAIR INC Common Stock 74005P104 937 23,468 X Y 23,468 T ROWE PRICE GROUP INC Common Stock 74144T108 364 7,224 X Y 7,224 PRINCIPAL FINANCIAL GROUP Common Stock 74251V102 645 18,551 X Y 18,551 PROCTER & GAMBLE CO Common Stock 742718109 9,218 169,328 X Y 169,328 PROGRESS ENERGY INC Common Stock 743263105 617 13,996 X Y 13,996 PROGRESSIVE CORP Common Stock 743315103 1,091 12,790 X Y 12,790 PROLOGIS Common Stock 743410102 447 13,575 X Y 13,575 PROVIDIAN FINANCIAL CORP Common Stock 74406A102 247 16,845 X Y 16,845 PRUDENTIAL FINANCIAL INC Common Stock 744320102 1,534 33,008 X Y 33,008 PUBLIC SERVICE ENTERPRISE GP Common Stock 744573106 562 14,039 X Y 14,039 PULTE HOMES INC Common Stock 745867101 352 6,762 X Y 6,762 QUALCOMM INC Common Stock 747525103 5,499 75,350 X Y 75,350 QUEST DIAGNOSTICS Common Stock 74834L100 1,622 19,090 X Y 19,090 QWEST COMMUNICATIONS IN Common Stock 749121109 344 95,954 X Y 95,954 RF MICRO DEVICES INC Common Stock 749941100 150 20,000 X Y 20,000 RADIOSHACK CORP Common Stock 750438103 267 9,324 X Y 9,324 RAYTHEON COMPANY Common Stock 755111507 2,790 78,004 X Y 78,004 REGIONS FINANCIAL CORP Common Stock 758940100 443 12,132 X Y 12,132 REVLON INC-CL A Common Stock 761525500 44 15,000 X Y 15,000 RJ REYNOLDS TOBACCO HOLDIN Common Stock 76182K105 370 5,471 X Y 5,471 ROBERT HALF INTL INC Common Stock 770323103 299 10,042 X Y 10,042 ROCKWELL AUTOMATION INC Common Stock 773903109 385 10,266 X Y 10,266 ROCKWELL COLLINS INC. Common Stock 774341101 322 9,658 X Y 9,658 ROHM AND HAAS CO Common Stock 775371107 507 12,187 X Y 12,187 ROYAL BK OF SCOT GRP PLC Preferred Stock 780097606 336 13,000 X Y 13,000 SBC COMMUNICATIONS INC Common Stock 78387G103 5,774 238,089 X Y 238,089 SLM CORP Common Stock 78442P106 1,038 25,660 X Y 25,660 SPDR TRUST SERIES 1 Common Stock 78462F103 26,533 231,666 X Y 231,666 SABRE HOLDINGS CORP Common Stock 785905100 212 7,659 X Y 7,659 SAFECO CORP Common Stock 786429100 344 7,824 X Y 7,824 SAFEWAY INC Common Stock 786514208 647 25,522 X Y 25,522 ST JUDE MEDICAL INC Common Stock 790849103 763 10,088 X Y 10,088 ST. PAUL TRAVELERS COS INC / T Common Stock 792860108 2,346 57,860 X Y 57,860 SANMINA-SCI CORP Common Stock 800907107 276 30,340 X Y 30,340 SARA LEE CORP Common Stock 803111103 1,296 56,354 X Y 56,354 SCHERING-PLOUGH CORP Common Stock 806605101 1,594 86,260 X Y 86,260 SCHLUMBERGER LTD Common Stock 806857108 3,064 48,238 X Y 48,238 SCHWAB (CHARLES) CORP Common Stock 808513105 978 101,765 X Y 101,765 SCIENTIFIC-ATLANTA INC Common Stock 808655104 302 8,745 X Y 8,745 SEALED AIR CORP Common Stock 81211K100 262 4,913 X Y 4,913 SEARS ROEBUCK & CO Common Stock 812387108 662 17,535 X Y 17,535 SEMPRA ENERGY Common Stock 816851109 420 12,190 X Y 12,190 SHERWIN-WILLIAMS CO/THE Common Stock 824348106 318 7,656 X Y 7,656 SIEBEL SYSTEMS INC Common Stock 826170102 991 92,667 X Y 92,667 SIGMA-ALDRICH Common Stock 826552101 258 4,328 X Y 4,328 SIMON PROPERTY GROUP INC Common Stock 828806109 667 12,972 X Y 12,972 SKYWORKS SOLUTIONS INC Common Stock 83088M102 142 16,281 X Y 16,281 SMURFIT-STONE CONTAINER C Common Stock 832727101 1,124 56,350 X Y 56,350 SOLECTRON CORP Common Stock 834182107 330 50,996 X Y 50,996 SONOCO PRODUCTS CO Common Stock 835495102 349 13,700 X Y 13,700 SOUTHERN CO Common Stock 842587107 1,208 41,445 X Y 41,445 SOUTHTRUST CORP Common Stock 844730101 1,065 27,447 X Y 27,447 SOUTHWEST AIRLINES Common Stock 844741108 1,725 102,869 X Y 102,869 SPRINT CORP-FON GROUP Common Stock 852061100 2,582 146,706 X Y 146,706 STAPLES INC Common Stock 855030102 3,151 107,155 X Y 107,155 STARBUCKS CORP Common Stock 855244109 1,826 41,993 X Y 41,993 STARWOOD HOTELS & RESORTS Common Stock 85590A203 546 12,163 X Y 12,163 STATE STREET CORP Common Stock 857477103 1,894 38,617 X Y 38,617 STRYKER CORP Common Stock 863667101 3,110 56,554 X Y 56,554 SUN MICROSYSTEMS INC Common Stock 866810104 1,294 298,745 X Y 298,745 SUNGARD DATA SYSTEMS Common Stock 867363103 857 32,978 X Y 32,978 SUNOCO INC Common Stock 86764P109 270 4,250 X Y 4,250 SUNTRUST BANKS INC Common Stock 867914103 2,263 34,825 X Y 34,825 SUPERVALU INC Common Stock 868536103 321 10,472 X Y 10,472 SYCAMORE NETWORKS INC Common Stock 871206108 326 77,000 X Y 77,000 SYMANTEC CORP Common Stock 871503108 2,188 49,980 X Y 49,980 SYMBOL TECHNOLOGIES INC Common Stock 871508107 192 13,006 X Y 13,006 SYNOVUS FINANCIAL CORP Common Stock 87161C105 435 17,175 X Y 17,175 SYSCO CORP Common Stock 871829107 2,042 56,917 X Y 56,917 TJX COMPANIES INC Common Stock 872540109 816 33,798 X Y 33,798 TXU CORP Common Stock 873168108 1,544 38,113 X Y 38,113 TARGET CORP Common Stock 87612E106 2,350 55,327 X Y 55,327 TELLABS INC Common Stock 879664100 530 60,616 X Y 60,616 TEMPLE-INLAND INC Common Stock 879868107 251 3,629 X Y 3,629 TENET HEALTHCARE CORP Common Stock 88033G100 331 24,673 X Y 24,673 TERADYNE INC Common Stock 880770102 347 15,280 X Y 15,280 TERAYON COMMUNICATION S Common Stock 880775101 47 20,000 X Y 20,000 TEXAS INSTRUMENTS INC Common Stock 882508104 2,552 105,543 X Y 105,543 TEXTRON INC Common Stock 883203101 494 8,318 X Y 8,318 THERMO ELECTRON CORP Common Stock 883556102 329 10,700 X Y 10,700 3M CO Common Stock 88579Y101 6,902 76,685 X Y 76,685 TIBCO SOFTWARE INC Common Stock 88632Q103 85 10,000 X Y 10,000 TIFFANY & CO Common Stock 886547108 301 8,167 X Y 8,167 TIME WARNER INC Common Stock 887317105 9,548 543,124 X Y 543,124 TIME WARNER TELECOM -CL A Common Stock 887319101 42 10,000 X Y 10,000 TORCHMARK CORP Common Stock 891027104 350 6,506 X Y 6,506 TOYS R US INC Common Stock 892335100 213 13,360 X Y 13,360 TRANSWITCH CORP Common Stock 894065101 25 14,000 X Y 14,000 TRIBUNE CO Common Stock 896047107 4,173 91,626 X Y 91,626 TYCO INTERNATIONAL LTD Common Stock 902124106 4,329 130,628 X Y 130,628 UST INC Common Stock 902911106 289 8,021 X Y 8,021 US BANCORP Common Stock 902973304 3,114 112,985 X Y 112,985 UNION PACIFIC CORP Common Stock 907818108 1,822 30,654 X Y 30,654 UNION PLANTERS CORP Common Stock 908068109 303 10,156 X Y 10,156 UNISYS CORP Common Stock 909214108 256 18,446 X Y 18,446 UNITED PARCEL SERVICE-CL B Common Stock 911312106 5,851 77,832 X Y 77,832 UNITED STATES STEEL CORP Common Stock 912909108 203 5,788 X Y 5,788 UNITED TECHNOLOGIES CORP Common Stock 913017109 2,761 30,186 X Y 30,186 UNITEDHEALTH GROUP INC Common Stock 91324P102 5,031 80,818 X Y 80,818 UNIVISION COMMUNICATIONS- Common Stock 914906102 576 18,055 X Y 18,055 UNOCAL CORP Common Stock 915289102 1,479 38,922 X Y 38,922 UNUMPROVIDENT CORP Common Stock 91529Y106 267 16,794 X Y 16,794 VF CORP Common Stock 918204108 328 6,742 X Y 6,742 VALERO ENERGY CORP Common Stock 91913Y100 234 3,170 X Y 3,170 VARIAN MEDICAL SYSTEMS INC Common Stock 92220P105 801 10,100 X Y 10,100 VERITAS SOFTWARE CORP Common Stock 923436109 1,728 62,173 X Y 62,173 VERISIGN INC Common Stock 92343E102 657 33,000 X Y 33,000 VERIZON COMMUNICATIONS I Common Stock 92343V104 7,363 203,455 X Y 203,455 VIACOM INC-CL B Common Stock 925524308 7,524 210,639 X Y 210,639 VIVENDI UNIVERSAL-SP ADR Common Stock 92851S204 223 8,000 X Y 8,000 VULCAN MATERIALS CO Common Stock 929160109 266 5,600 X Y 5,600 WACHOVIA CORP Common Stock 929903102 5,477 123,081 X Y 123,081 WAL-MART STORES INC Common Stock 931142103 14,977 283,879 X Y 283,879 WALGREEN CO Common Stock 931422109 3,016 83,281 X Y 83,281 WASHINGTON MUTUAL INC Common Stock 939322103 3,160 81,775 X Y 81,775 WASTE MANAGEMENT INC Common Stock 94106L109 1,070 34,922 X Y 34,922 WATERS CORP Common Stock 941848103 491 10,268 X Y 10,268 WELLPOINT HEALTH NETWORK Common Stock 94973H108 1,128 10,068 X Y 10,068 WELLS FARGO & COMPANY Common Stock 949746101 5,709 99,760 X Y 99,760 WENDYS INTERNATIONAL INC Common Stock 950590109 878 25,191 X Y 25,191 WEYERHAEUSER CO Common Stock 962166104 821 13,000 X Y 13,000 WHIRLPOOL CORP Common Stock 963320106 947 13,803 X Y 13,803 WILLIAMS COS INC Common Stock 969457100 418 35,089 X Y 35,089 WRIGLEY WM JR CO Common Stock 982526105 880 13,957 X Y 13,957 WYETH Common Stock 983024100 4,113 113,758 X Y 113,758 XTO ENERGY INC Common Stock 98385X106 1,147 38,500 X Y 38,500 XCEL ENERGY INC Common Stock 98389B100 353 21,141 X Y 21,141 XILINX INC Common Stock 983919101 3,684 110,589 X Y 110,589 XEROX CORP Common Stock 984121103 1,265 87,250 X Y 87,250 YAHOO! INC Common Stock 984332106 2,881 79,136 X Y 79,136 YUM! BRANDS INC Common Stock 988498101 2,326 62,504 X Y 62,504 ZIMMER HOLDINGS INC Common Stock 98956P102 3,016 34,195 X Y 34,195 ZIONS BANCORPORATION Common Stock 989701107 828 13,469 X Y 13,469 ACE LTD Common Stock G0070K103 666 15,750 X Y 15,750 AMDOCS LTD Common Stock G02602103 413 17,640 X Y 17,640 COOPER INDUSTRIES LTD-CL A Common Stock G24182100 479 8,060 X Y 8,060 GLOBALSANTAFE CORP Common Stock G3930E101 257 9,700 X Y 9,700 INGERSOLL-RAND CO-CL A Common Stock G4776G101 742 10,859 X Y 10,859 NABORS INDUSTRIES LTD Common Stock G6359F103 364 8,047 X Y 8,047 NOBLE CORP Common Stock G65422100 831 21,922 X Y 21,922 TRANSOCEAN INC Common Stock G90078109 527 18,225 X Y 18,225 XL CAPITAL LTD -CLASS A Common Stock G98255105 625 8,289 X Y 8,289 GRAND TOTALS 1,004,322 27,390,675 27,390,675