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: December 31, 2005 ----------------- 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: 1 Financial Plaza ---------------------------------------------- Hartford, Connecticut 06103-2627 ---------------------------------------------- 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) 299-2117 ---------------------------------------------- Signature, Place and Date of Signing: /s/ Gary Hutchins Hartford, Connecticut 1/30/06 ----------------- ---------------------- ------- [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: 523 Form 13F Information Table Value Total: $ 1,047,263
ITEM 1 ITEM 2 ITEM 3 ITEM 4 ITEM 5 ITEM 6 ITEM 7 ITEM 8 --------------------- --------------------- (B) (A) SHARES 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 INC Common Stock 000886309 421 18,870 X 18,870 AFLAC INC Common Stock 001055102 2,592 55,836 X 55,836 AES CORP Common Stock 00130H105 663 41,856 X 41,856 AT&T INC Common Stock 00206R102 8,770 358,124 X 356,955 1,169 ABBOTT LABORATORIES Common Stock 002824100 6,468 164,041 X 162,041 2,000 ADOBE SYSTEMS INC Common Stock 00724F101 1,242 33,596 X 33,596 ADVANCED MICRO DEVICES Common Stock 007903107 878 28,697 X 28,697 AETNA INC Common Stock 00817Y108 1,797 19,049 X 19,049 AFFILIATED COMPUTER SVCS-A Common Stock 008190100 1,207 20,393 X 20,393 AGILENT TECHNOLOGIES INC Common Stock 00846U101 1,100 33,040 X 33,040 AIR PRODUCTS & CHEMICALS INC Common Stock 009158106 1,869 31,574 X 29,574 2,000 ALBERTO-CULVER CO Common Stock 013068101 232 5,062 X 5,062 ALBERTSONS INC Common Stock 013104104 506 23,683 X 23,683 ALCOA INC Common Stock 013817101 2,059 69,638 X 65,638 4,000 ALLEGHENY ENERGY INC Common Stock 017361106 319 10,064 X 10,064 ALLERGAN INC Common Stock 018490102 1,087 10,068 X 10,068 ALLIED WASTE INDUSTRIES INC Common Stock 019589308 125 14,338 X 14,338 ALLSTATE CORP Common Stock 020002101 5,408 100,011 X 100,011 ALLTEL CORP Common Stock 020039103 1,563 24,770 X 24,770 ALTERA CORPORATION Common Stock 021441100 439 23,699 X 23,699 ALTRIA GROUP INC Common Stock 02209S103 11,925 159,599 X 159,599 AMAZON.COM INC Common Stock 023135106 266 5,643 X 5,643 AMBAC FINANCIAL GROUP INC Common Stock 023139108 1,215 15,769 X 15,769 AMERADA HESS CORP Common Stock 023551104 918 7,241 X 7,241 AMEREN CORPORATION Common Stock 023608102 681 13,290 X 13,290 AMERICAN ELECTRIC POWER Common Stock 025537101 954 25,726 X 25,726 AMERICAN EXPRESS CO Common Stock 025816109 7,535 146,423 X 146,423 AMERICAN INTERNATIONAL GROUP Common Stock 026874107 15,340 224,833 X 224,833 AMERICAN POWER CONVERSION Common Stock 029066107 656 29,796 X 29,796 AMERICAN STANDARD COS INC Common Stock 029712106 484 12,112 X 12,112 AMERICAN TOWER CORP-CL A Common Stock 029912201 271 10,000 X 10,000 AMERISOURCEBERGEN CORP Common Stock 03073E105 571 13,790 X 13,790 AMERIPRISE FINANCIAL INC Common Stock 03076C106 1,195 29,155 X 29,155 AMGEN INC Common Stock 031162100 8,039 101,941 X 101,941 AMSOUTH BANCORPORATION Common Stock 032165102 1,024 39,060 X 39,060 ANADARKO PETROLEUM CORP Common Stock 032511107 3,222 34,006 X 32,006 2,000 ANALOG DEVICES Common Stock 032654105 855 23,829 X 23,829 ANDREW CORP Common Stock 034425108 184 17,127 X 17,127 ANHEUSER-BUSCH COS INC. Common Stock 035229103 2,030 47,248 X 47,248 AON CORP Common Stock 037389103 730 20,302 X 20,302 APACHE CORP Common Stock 037411105 1,686 24,601 X 24,601 APARTMENT INVT & MGMT CO -A Common Stock 03748R101 380 10,040 X 10,040 APOLLO GROUP INC-CL A Common Stock 037604105 1,823 30,159 X 30,159 APPLE COMPUTER INC Common Stock 037833100 10,181 141,625 X 141,625 APPLIED BIOSYSTEMS GROUP-APP Common Stock 038020103 325 12,250 X 12,250 APPLIED MATERIALS INC Common Stock 038222105 2,668 148,711 X 146,711 2,000 APPLIED MICRO CIRCUITS CORP Common Stock 03822W109 150 58,243 X 58,243 ARCHER-DANIELS-MIDLAND CO Common Stock 039483102 3,538 143,482 X 143,482 ARCHSTONE-SMITH TRUST Common Stock 039583109 663 15,833 X 15,833 ASHLAND INC Common Stock 044209104 280 4,833 X 4,833 AUTODESK INC Common Stock 052769106 639 14,893 X 14,893 AUTOMATIC DATA PROCESSING Common Stock 053015103 1,718 37,423 X 37,423 AUTONATION INC Common Stock 05329W102 264 12,155 X 12,155 AUTOZONE INC Common Stock 053332102 516 5,620 X 5,620 AVAYA INC Common Stock 053499109 448 41,995 X 41,995 AVERY DENNISON CORP Common Stock 053611109 395 7,148 X 7,148 AVON PRODUCTS INC Common Stock 054303102 1,677 58,745 X 58,745 BB&T CORPORATION Common Stock 054937107 1,613 38,489 X 38,489 BJ SERVICES CO Common Stock 055482103 765 20,851 X 20,851 BP PLC-SPONS ADR Common Stock 055622104 244 3,800 X 800 3,000 BMC SOFTWARE INC Common Stock 055921100 287 14,029 X 14,029 BAKER HUGHES INC Common Stock 057224107 1,477 24,308 X 24,308 BALL CORP Common Stock 058498106 281 7,079 X 7,079 BANK OF AMERICA CORP Common Stock 060505104 18,105 407,306 X 407,306 BANK OF NEW YORK CO INC Common Stock 064057102 2,142 67,252 X 67,252 BARD (C.R.) INC Common Stock 067383109 652 9,896 X 9,896 BAUSCH & LOMB INC Common Stock 071707103 1,030 15,168 X 15,168 BAXTER INTERNATIONAL INC. Common Stock 071813109 1,874 49,779 X 49,779 BEA SYSTEMS INC Common Stock 073325102 329 35,000 X 35,000 BEAR STEARNS COMPANIES INC Common Stock 073902108 1,129 9,775 X 9,775 BECTON DICKINSON & CO Common Stock 075887109 976 16,244 X 16,244 BED BATH & BEYOND INC Common Stock 075896100 1,432 39,606 X 39,606 BELLSOUTH CORP Common Stock 079860102 3,902 153,989 X 153,989 BEST BUY CO INC Common Stock 086516101 2,129 48,971 X 48,971 BIOMET INC Common Stock 090613100 1,794 49,068 X 49,068 BIOGEN IDEC INC Common Stock 09062X103 1,162 25,652 X 25,652 BLACK & DECKER CORP Common Stock 091797100 585 6,722 X 6,722 H&R BLOCK INC Common Stock 093671105 521 21,234 X 21,234 BOEING CO Common Stock 097023105 3,994 56,864 X 55,864 1,000 BOSTON SCIENTIFIC CORP Common Stock 101137107 1,417 57,879 X 57,879 BRISTOL-MYERS SQUIBB CO Common Stock 110122108 3,310 167,536 X 167,536 BROADCOM CORP-CL A Common Stock 111320107 951 20,173 X 20,173 BROWN-FORMAN CORP -CL B Common Stock 115637209 340 4,898 X 4,898 BRUNSWICK CORP Common Stock 117043109 248 6,110 X 6,110 BURLINGTON NORTHERN SANTA FE Common Stock 12189T104 2,217 31,298 X 31,298 BURLINGTON RESOURCES INC Common Stock 122014103 5,690 66,011 X 66,011 CIGNA CORP Common Stock 125509109 1,250 11,194 X 11,194 CIT GROUP INC Common Stock 125581108 650 12,553 X 12,553 CMS ENERGY CORP Common Stock 125896100 198 13,612 X 13,612 CSX CORP Common Stock 126408103 715 14,075 X 14,075 CVS CORP Common Stock 126650100 4,202 159,041 X 159,041 CAL DIVE INTERNATIONAL INC Common Stock 127914109 323 8,992 X 8,992 CALAMOS STRAT TOT RETURN FD CO Common Stock 128125101 0 68,735 X 68,735 CAMPBELL SOUP CO Common Stock 134429109 409 13,743 X 13,743 CAPITAL ONE FINANCIAL CORP Common Stock 14040H105 4,222 48,869 X 48,869 CARDINAL HEALTH INC Common Stock 14149Y108 1,943 28,265 X 28,265 CAREMARK RX INC Common Stock 141705103 3,555 68,643 X 68,643 CARNIVAL CORP Common Stock 143658300 1,572 29,401 X 29,401 CATERPILLAR INC Common Stock 149123101 3,509 60,748 X 60,748 CENDANT CORP Common Stock 151313103 4,417 256,060 X 256,060 CENTERPOINT ENERGY INC Common Stock 15189T107 256 19,896 X 19,896 CENTEX CORP Common Stock 152312104 593 8,299 X 8,299 CENTURYTEL INC Common Stock 156700106 276 8,322 X 8,322 CHEVRON CORP Common Stock 166764100 11,751 206,999 X 206,999 CHIRON CORP Common Stock 170040109 333 7,495 X 7,495 CHUBB CORP Common Stock 171232101 4,605 47,159 X 47,159 CIENA CORP Common Stock 171779101 125 41,926 X 41,926 CIMAREX ENERGY CO Common Stock 171798101 224 5,198 X 5,198 CINCINNATI FINANCIAL CORP Common Stock 172062101 498 11,143 X 11,143 CINERGY CORP Common Stock 172474108 974 22,939 X 22,939 CIRCUIT CITY STORES INC Common Stock 172737108 245 10,833 X 10,833 CISCO SYSTEMS INC Common Stock 17275R102 10,490 612,717 X 612,717 CINTAS CORP Common Stock 172908105 376 9,145 X 9,145 CITIGROUP INC Common Stock 172967101 18,463 380,453 X 380,453 CITIZENS COMMUNICATIONS CO Common Stock 17453B101 268 21,923 X 21,923 CITRIX SYSTEMS INC Common Stock 177376100 799 27,822 X 27,822 CLEAR CHANNEL COMMUNICATIONS Common Stock 184502102 1,479 47,032 X 47,032 CLOROX COMPANY Common Stock 189054109 566 9,944 X 9,944 COACH INC Common Stock 189754104 781 23,417 X 23,417 COCA-COLA CO/THE Common Stock 191216100 5,971 148,115 X 145,115 3,000 COCA-COLA ENTERPRISES Common Stock 191219104 387 20,168 X 20,168 COHEN & STEERS REIT UTIL FD CO Common Stock 19247Y108 0 16,200 X 16,200 COLGATE-PALMOLIVE CO Common Stock 194162103 1,998 36,421 X 36,421 COMCAST CORP-CL A Common Stock 20030N101 3,794 146,382 X 146,382 COMERICA INC Common Stock 200340107 620 10,915 X 10,915 COMPASS BANCSHARES INC Common Stock 20449H109 376 7,800 X 7,800 COMPUTER ASSOCIATES INTL INC Common Stock 204912109 862 30,592 X 30,592 COMPUTER SCIENCES CORP Common Stock 205363104 711 14,035 X 14,035 COMPUWARE CORP Common Stock 205638109 224 24,926 X 24,926 COMVERSE TECHNOLOGY INC Common Stock 205862402 339 12,757 X 12,757 CONAGRA FOODS INC Common Stock 205887102 811 40,007 X 40,007 CONEXANT SYSTEMS INC Common Stock 207142100 77 34,000 X 34,000 CONOCOPHILLIPS Common Stock 20825C104 7,501 128,927 X 128,927 CONSOLIDATED EDISON INC Common Stock 209115104 743 16,042 X 16,042 CONSTELLATION BRANDS-A W/I Common Stock 21036P108 252 9,605 X 9,605 CONSTELLATION ENERGY GROUP Common Stock 210371100 671 11,644 X 11,644 CORNING INC Common Stock 219350105 2,847 144,823 X 144,823 COSTCO WHOLESALE CORP Common Stock 22160K105 2,207 44,619 X 44,619 COUNTRYWIDE FINANCIAL CORP Common Stock 222372104 3,467 101,392 X 101,392 COVENTRY HEALTH CARE INC Common Stock 222862104 481 8,438 X 8,438 CUMMINS INC Common Stock 231021106 354 3,947 X 3,947 DR HORTON INC Common Stock 23331A109 549 15,370 X 15,370 DTE ENERGY COMPANY Common Stock 233331107 588 13,613 X 12,613 1,000 DANAHER CORP Common Stock 235851102 4,462 79,996 X 79,996 DARDEN RESTAURANTS INC Common Stock 237194105 343 8,824 X 8,824 DEERE & CO Common Stock 244199105 2,843 41,744 X 41,744 DELL INC Common Stock 24702R101 5,224 174,423 X 174,423 DEUTSCHE TELEKOM AG-SPON ADR Common Stock 251566105 333 20,000 X 20,000 DEVON ENERGY CORPORATION Common Stock 25179M103 1,837 29,369 X 29,369 DIAMONDS TRUST SERIES I Common Stock 252787106 321 3,000 X 3,000 THE WALT DISNEY CO. Common Stock 254687106 4,368 182,246 X 182,246 DOLLAR GENERAL CORP Common Stock 256669102 388 20,322 X 20,322 DOMINION RESOURCES INC/VA Common Stock 25746U109 2,016 26,110 X 26,110 RR DONNELLEY & SONS CO Common Stock 257867101 471 13,754 X 13,754 DOVER CORP Common Stock 260003108 531 13,126 X 13,126 DOW CHEMICAL Common Stock 260543103 3,680 83,974 X 83,974 DU PONT (E.I.) DE NEMOURS Common Stock 263534109 4,798 112,891 X 112,891 DUKE ENERGY CORP Common Stock 264399106 2,291 83,445 X 83,445 DYNEGY INC-CL A Common Stock 26816Q101 98 20,195 X 20,195 EMC CORP/MASS Common Stock 268648102 4,029 295,781 X 291,281 4,500 EOG RESOURCES INC Common Stock 26875P101 1,211 16,509 X 16,509 E*TRADE FINANCIAL CORP Common Stock 269246104 507 24,310 X 24,310 EASTMAN CHEMICAL COMPANY Common Stock 277432100 266 5,156 X 5,156 EASTMAN KODAK CO Common Stock 277461109 438 18,715 X 18,715 EATON CORP Common Stock 278058102 653 9,738 X 9,738 EBAY INC Common Stock 278642103 5,385 124,586 X 124,586 ECOLAB INC Common Stock 278865100 447 12,332 X 12,332 EDISON INTERNATIONAL Common Stock 281020107 919 21,075 X 21,075 EL PASO CORP Common Stock 28336L109 516 42,457 X 42,457 ELECTRONIC ARTS INC Common Stock 285512109 1,026 19,608 X 19,608 ELECTRONIC DATA SYSTEMS CORP Common Stock 285661104 796 33,091 X 33,091 EMERSON ELECTRIC CO Common Stock 291011104 5,761 77,118 X 74,618 2,500 ENGELHARD CORP Common Stock 292845104 234 7,752 X 7,752 ENTERGY CORP Common Stock 29364G103 1,377 20,057 X 20,057 EQUIFAX INC Common Stock 294429105 316 8,310 X 8,310 EQUITY OFFICE PROPERTIES TR Common Stock 294741103 1,094 36,066 X 36,066 EQUITY RESIDENTIAL Common Stock 29476L107 835 21,334 X 21,334 EXELON CORP Common Stock 30161N101 5,035 94,744 X 94,744 EXPRESS SCRIPTS INC Common Stock 302182100 811 9,674 X 9,674 EXXON MOBIL CORP Common Stock 30231G102 30,713 546,786 X 546,786 FPL GROUP INC Common Stock 302571104 1,401 33,705 X 33,705 FAMILY DOLLAR STORES Common Stock 307000109 246 9,930 X 9,930 FREDDIE MAC Common Stock 313400301 2,933 44,889 X 44,889 FANNIE MAE Common Stock 313586109 4,092 83,830 X 83,830 FEDERAL REALTY INVS TRUST Common Stock 313747206 247 4,078 X 2,578 1,500 FEDERATED DEPARTMENT STORES Common Stock 31410H101 1,510 22,766 X 22,766 FEDERATED INVESTORS INC-CL B Common Stock 314211103 208 5,609 X 5,609 FEDEX CORP Common Stock 31428X106 2,715 26,261 X 26,261 FIFTH THIRD BANCORP Common Stock 316773100 1,446 38,333 X 38,333 FIRST DATA CORP Common Stock 319963104 2,158 50,178 X 50,178 FIRST HORIZON NATIONAL CORP Common Stock 320517105 313 8,145 X 8,145 FISERV INC Common Stock 337738108 527 12,174 X 12,174 FIRSTENERGY CORP Common Stock 337932107 3,309 67,539 X 67,539 FISHER SCIENTIFIC INTL INC Common Stock 338032204 471 7,609 X 7,609 FLUOR CORP Common Stock 343412102 618 8,005 X 6,505 1,500 FORD MOTOR CO Common Stock 345370860 977 126,491 X 121,491 5,000 FOREST LABORATORIES INC Common Stock 345838106 893 21,958 X 21,958 FORTUNE BRANDS INC Common Stock 349631101 1,957 25,087 X 25,087 FRANKLIN RESOURCES INC Common Stock 354613101 974 10,357 X 10,357 FREEPORT-MCMORAN COPPER-B Common Stock 35671D857 624 11,603 X 11,603 FREESCALE SEMICONDUCTOR-B Common Stock 35687M206 1,158 46,017 X 46,017 GANNETT CO Common Stock 364730101 1,957 32,307 X 32,307 GAP INC/THE Common Stock 364760108 700 39,708 X 39,708 GATEWAY INC Common Stock 367626108 77 30,800 X 30,800 GEMSTAR-TV GUIDE INTL INC Common Stock 36866W106 93 35,782 X 35,782 GENERAL DYNAMICS CORP Common Stock 369550108 2,026 17,765 X 17,765 GENERAL ELECTRIC CO Common Stock 369604103 32,786 935,415 X 935,415 GENERAL MILLS INC Common Stock 370334104 1,281 25,979 X 25,979 GENERAL MOTORS CORP Common Stock 370442105 727 37,414 X 37,414 GENERAL MOTORS CORP Preferred Stock 370442717 0 40,000 X 40,000 GENUINE PARTS CO Common Stock 372460105 497 11,311 X 11,311 GENWORTH FINANCIAL INC-CL A Common Stock 37247D106 235 6,798 X 6,798 GENZYME CORP Common Stock 372917104 1,386 19,582 X 19,582 GILEAD SCIENCES INC Common Stock 375558103 1,487 28,277 X 28,277 GOLDEN WEST FINANCIAL CORP Common Stock 381317106 3,706 56,156 X 56,156 GOLDMAN SACHS GROUP INC Common Stock 38141G104 7,530 58,959 X 58,959 GOODRICH CORP Common Stock 382388106 308 7,483 X 7,483 GOODYEAR TIRE & RUBBER CO Common Stock 382550101 192 11,043 X 11,043 WW GRAINGER INC Common Stock 384802104 355 4,994 X 4,994 GUIDANT CORP Common Stock 401698105 1,588 24,526 X 24,526 HCA INC Common Stock 404119109 1,440 28,524 X 28,524 HALLIBURTON CO Common Stock 406216101 2,145 34,619 X 34,619 JOHN HANCOCK TAX ADV DIVID Common Stock 41013V100 0 10,100 X 10,100 HARLEY-DAVIDSON INC Common Stock 412822108 920 17,864 X 17,864 HARRAHS ENTERTAINMENT INC Common Stock 413619107 813 11,411 X 11,411 HARTFORD FINANCIAL SVCS GRP Common Stock 416515104 2,367 27,559 X 27,559 HASBRO INC Common Stock 418056107 226 11,214 X 11,214 HEALTH MGMT ASSOCIATES INC-A Common Stock 421933102 347 15,815 X 15,815 HJ HEINZ CO Common Stock 423074103 1,252 37,121 X 37,121 HERSHEY CO/THE Common Stock 427866108 813 14,711 X 13,211 1,500 HEWLETT-PACKARD CO Common Stock 428236103 5,813 203,054 X 199,554 3,500 HILTON HOTELS CORP Common Stock 432848109 521 21,623 X 21,623 HOME DEPOT INC Common Stock 437076102 6,486 160,232 X 160,232 HONEYWELL INTERNATIONAL INC Common Stock 438516106 3,677 98,706 X 96,706 2,000 HOSPIRA INC Common Stock 441060100 767 17,927 X 16,127 1,800 HUMANA INC Common Stock 444859102 574 10,572 X 10,572 HUNTINGTON BANCSHARES INC Common Stock 446150104 350 14,752 X 14,752 IMS HEALTH INC Common Stock 449934108 366 14,691 X 14,691 ITT INDUSTRIES INC Common Stock 450911102 827 8,041 X 8,041 IDEX CORP Common Stock 45167R104 239 5,822 X 4,322 1,500 ILLINOIS TOOL WORKS Common Stock 452308109 1,828 20,773 X 20,773 INTEL CORP Common Stock 458140100 17,051 683,142 X 683,142 INTL BUSINESS MACHINES CORP Common Stock 459200101 11,700 142,331 X 142,331 INTL GAME TECHNOLOGY Common Stock 459902102 3,148 102,265 X 102,265 INTERNATIONAL PAPER CO Common Stock 460146103 1,413 42,037 X 42,037 INTERPUBLIC GROUP OF COS INC Common Stock 460690100 261 27,020 X 27,020 INTUIT INC Common Stock 461202103 628 11,791 X 11,791 ISHARES RUSSELL 2000 Common Stock 464287655 403 6,039 X 6,039 JDS UNIPHASE CORP Common Stock 46612J101 489 207,202 X 207,202 JPMORGAN CHASE & CO Common Stock 46625H100 12,969 326,766 X 326,766 JABIL CIRCUIT INC Common Stock 466313103 417 11,252 X 11,252 JANUS CAPITAL GROUP INC Common Stock 47102X105 354 19,018 X 19,018 JEFFERSON-PILOT CORP Common Stock 475070108 491 8,619 X 8,619 JOHNSON & JOHNSON Common Stock 478160104 14,991 249,428 X 249,428 JOHNSON CONTROLS INC Common Stock 478366107 2,090 28,671 X 27,171 1,500 JONES APPAREL GROUP INC Common Stock 480074103 386 12,581 X 12,581 JUNIPER NETWORKS INC Common Stock 48203R104 312 14,000 X 14,000 KLA-TENCOR CORPORATION Common Stock 482480100 618 12,521 X 12,521 KB HOME Common Stock 48666K109 525 7,225 X 7,225 KELLOGG CO Common Stock 487836108 883 20,436 X 20,436 KERR-MCGEE CORP Common Stock 492386107 3,824 42,085 X 42,085 KEYCORP Common Stock 493267108 890 27,022 X 27,022 KEYSPAN CORP Common Stock 49337W100 599 16,771 X 16,771 KILROY REALTY CORP Common Stock 49427F108 221 3,573 X 3,573 KIMBERLY-CLARK CORP Common Stock 494368103 2,079 34,848 X 33,348 1,500 KINDER MORGAN INC Common Stock 49455P101 859 9,337 X 9,337 KING PHARMACEUTICALS INC Common Stock 495582108 256 15,101 X 15,101 KNIGHT RIDDER INC Common Stock 499040103 289 4,570 X 4,570 KOHLS CORP Common Stock 500255104 1,593 32,769 X 32,769 KROGER CO Common Stock 501044101 879 46,574 X 46,574 LSI LOGIC CORP Common Stock 502161102 200 24,946 X 24,946 L-3 COMMUNICATIONS HOLDINGS Common Stock 502424104 570 7,667 X 7,667 LABORATORY CRP OF AMER HLDGS Common Stock 50540R409 455 8,458 X 8,458 LEGGETT & PLATT INC Common Stock 524660107 275 11,990 X 11,990 LEHMAN BROTHERS HOLDINGS INC Common Stock 524908100 3,164 24,684 X 24,684 LENNAR CORP-CL A Common Stock 526057104 398 6,526 X 6,526 LEXMARK INTERNATIONAL INC-A Common Stock 529771107 472 10,518 X 10,518 ELI LILLY & CO Common Stock 532457108 4,491 79,367 X 77,367 2,000 LIMITED BRANDS INC Common Stock 532716107 510 22,821 X 22,821 LINCOLN NATIONAL CORP Common Stock 534187109 597 11,266 X 11,266 LINEAR TECHNOLOGY CORP Common Stock 535678106 889 24,642 X 24,642 LIZ CLAIBORNE INC Common Stock 539320101 248 6,920 X 6,920 LOCKHEED MARTIN CORP Common Stock 539830109 1,656 26,027 X 26,027 LOEWS CORP Common Stock 540424108 865 9,121 X 9,121 LOWES COS INC Common Stock 548661107 5,909 88,641 X 88,641 LUCENT TECHNOLOGIES INC Common Stock 549463107 861 323,766 X 323,766 M & T BANK CORP Common Stock 55261F104 890 8,164 X 8,164 MBIA INC Common Stock 55262C100 525 8,730 X 8,730 MBNA CORP Common Stock 55262L100 5,628 207,310 X 207,310 MFA MORTGAGE INVESTMENTS INC Common Stock 55272X102 360 63,137 X 63,137 MGIC INVESTMENT CORP Common Stock 552848103 1,026 15,586 X 15,586 MANOR CARE INC Common Stock 564055101 203 5,114 X 5,114 MARATHON OIL CORP Common Stock 565849106 1,448 23,744 X 23,744 MARSH & MCLENNAN COS Common Stock 571748102 1,092 34,379 X 34,379 MARSHALL & ILSLEY CORP Common Stock 571834100 576 13,391 X 13,391 MARRIOTT INTERNATIONAL-CL A Common Stock 571903202 778 11,612 X 11,612 MASCO CORP Common Stock 574599106 833 27,584 X 27,584 MATTEL INC Common Stock 577081102 408 25,816 X 25,816 MAXIM INTEGRATED PRODUCTS Common Stock 57772K101 769 21,211 X 21,211 MCCORMICK & CO-NON VTG SHRS Common Stock 579780206 266 8,596 X 8,596 MCDONALDS CORP Common Stock 580135101 3,168 93,948 X 93,948 MCGRAW-HILL COMPANIES INC Common Stock 580645109 1,834 35,525 X 35,525 MCKESSON CORP Common Stock 58155Q103 1,011 19,592 X 19,592 MEADWESTVACO CORP Common Stock 583334107 334 11,914 X 11,914 MEDCO HEALTH SOLUTIONS INC Common Stock 58405U102 1,538 27,567 X 27,567 MEDIMMUNE INC Common Stock 584699102 541 15,446 X 15,446 MEDTRONIC INC Common Stock 585055106 5,682 98,691 X 98,691 MELLON FINANCIAL CORP Common Stock 58551A108 1,540 44,968 X 42,968 2,000 MERCK & CO. INC. 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PENNEY CO INC Common Stock 708160106 897 16,141 X 16,141 PEOPLES ENERGY CORP Common Stock 711030106 263 7,507 X 7,507 PEPSI BOTTLING GROUP INC Common Stock 713409100 280 9,779 X 9,779 PEPSICO INC Common Stock 713448108 6,684 113,133 X 113,133 PFIZER INC Common Stock 717081103 11,852 508,247 X 508,247 PHELPS DODGE CORP Common Stock 717265102 1,225 8,517 X 8,517 PINNACLE WEST CAPITAL Common Stock 723484101 269 6,504 X 6,504 PITNEY BOWES INC Common Stock 724479100 2,388 56,511 X 56,511 PLUM CREEK TIMBER CO Common Stock 729251108 559 15,514 X 15,514 PRAXAIR INC Common Stock 74005P104 1,533 28,941 X 28,941 T ROWE PRICE GROUP INC Common Stock 74144T108 617 8,562 X 8,562 PRINCIPAL FINANCIAL GROUP Common Stock 74251V102 864 18,222 X 18,222 PROCTER & GAMBLE CO Common Stock 742718109 13,395 231,423 X 229,473 1,950 PROGRESS ENERGY INC Common Stock 743263105 725 16,501 X 16,501 PROGRESSIVE CORP Common Stock 743315103 2,008 17,192 X 17,192 PROLOGIS Common Stock 743410102 883 18,899 X 18,899 PRUDENTIAL FINANCIAL INC Common Stock 744320102 2,437 33,299 X 33,299 PUBLIC SERVICE ENTERPRISE GP Common Stock 744573106 1,035 15,936 X 15,936 PUBLIC STORAGE INC Common Stock 74460D109 389 5,750 X 5,750 PULTE HOMES INC Common Stock 745867101 773 19,627 X 19,627 QUALCOMM INC Common Stock 747525103 6,867 159,395 X 159,395 QUEST DIAGNOSTICS Common Stock 74834L100 1,858 36,085 X 36,085 QWEST COMMUNICATIONS INTL Common Stock 749121109 568 100,518 X 100,518 RF MICRO DEVICES INC Common Stock 749941100 108 20,000 X 20,000 RAYTHEON COMPANY Common Stock 755111507 1,167 29,070 X 29,070 REEBOK INTERNATIONAL LTD Common Stock 758110100 204 3,500 X 3,500 REGENCY CENTERS CORP Common Stock 758849103 295 5,000 X 3,500 1,500 REGIONS FINANCIAL CORP Common Stock 7591EP100 1,160 33,966 X 33,966 REVLON INC-CL A Common Stock 761525500 47 15,000 X 15,000 REYNOLDS AMERICAN INC Common Stock 761713106 800 8,394 X 8,394 ROBERT HALF INTL INC Common Stock 770323103 414 10,919 X 10,919 ROCKWELL AUTOMATION INC Common Stock 773903109 698 11,793 X 11,793 ROCKWELL COLLINS INC. Common Stock 774341101 541 11,642 X 11,642 ROHM AND HAAS CO Common Stock 775371107 478 9,867 X 9,867 ROPER INDUSTRIES INC Common Stock 776696106 214 5,411 X 5,411 ROWAN COMPANIES INC Common Stock 779382100 245 6,882 X 6,882 ROYAL BK OF SCOT GRP PLC Preferred Stock 780097606 339 13,000 X 13,000 ROYAL BK OF SCOT GRP PLC Preferred Stock 780097788 0 300,000 X 300,000 SLM CORP Common Stock 78442P106 1,490 27,055 X 27,055 SPDR TRUST SERIES 1 Common Stock 78462F103 17,974 144,360 X 144,360 SAFECO CORP Common Stock 786429100 460 8,146 X 8,146 SAFEWAY INC Common Stock 786514208 686 28,995 X 28,995 ST JUDE MEDICAL INC Common Stock 790849103 1,176 23,428 X 23,428 ST PAUL TRAVELERS COS INC/TH Common Stock 792860108 2,861 64,047 X 64,047 SANMINA-SCI CORP Common Stock 800907107 462 108,362 X 108,362 SARA LEE CORP Common Stock 803111103 1,174 62,129 X 62,129 SCHERING-PLOUGH CORP Common Stock 806605101 2,587 124,092 X 124,092 SCHLUMBERGER LTD Common Stock 806857108 4,996 51,426 X 51,426 SCHWAB 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392,437 STANLEY WORKS/THE Common Stock 854616109 226 4,706 X 4,706 STAPLES INC Common Stock 855030102 3,767 165,854 X 165,854 STARBUCKS CORP Common Stock 855244109 2,557 85,216 X 85,216 STARWOOD HOTELS & RESORTS Common Stock 85590A203 889 13,921 X 13,921 STATE STREET CORP Common Stock 857477103 1,907 34,390 X 34,390 STRYKER CORP Common Stock 863667101 2,293 51,600 X 51,600 SUN MICROSYSTEMS INC Common Stock 866810104 1,617 385,894 X 385,894 SUNOCO INC Common Stock 86764P109 936 11,939 X 11,939 SUNTRUST BANKS INC Common Stock 867914103 3,122 42,905 X 42,905 SUPERVALU INC Common Stock 868536103 279 8,605 X 8,605 SYCAMORE NETWORKS INC Common Stock 871206108 333 77,000 X 77,000 SYMANTEC CORP Common Stock 871503108 2,687 153,532 X 153,532 SYMBOL TECHNOLOGIES INC Common Stock 871508107 197 15,361 X 15,361 SYNOVUS FINANCIAL CORP Common Stock 87161C105 543 20,096 X 20,096 SYSCO CORP Common Stock 871829107 1,913 61,617 X 61,617 TECO ENERGY INC Common Stock 872375100 232 13,504 X 13,504 TJX COMPANIES INC Common Stock 872540109 817 35,151 X 35,151 TXU CORP Common Stock 873168108 3,569 71,105 X 71,105 TARGET CORP Common Stock 87612E106 3,154 57,368 X 57,368 TELLABS INC Common Stock 879664100 724 66,458 X 66,458 TEMPLE-INLAND INC Common Stock 879868107 436 9,727 X 9,727 TENET HEALTHCARE CORP Common Stock 88033G100 225 29,323 X 29,323 TERADYNE INC Common Stock 880770102 251 17,261 X 17,261 TERAYON COMMUNICATION SYS Common Stock 880775101 46 20,000 X 20,000 TEXAS INSTRUMENTS INC Common Stock 882508104 3,874 120,791 X 120,791 TEXTRON INC Common Stock 883203101 895 11,628 X 11,628 THERMO ELECTRON CORP Common Stock 883556102 315 10,443 X 10,443 3M CO Common Stock 88579Y101 6,131 79,105 X 77,105 2,000 TIFFANY & CO Common Stock 886547108 354 9,238 X 9,238 TIME WARNER INC Common Stock 887317105 9,757 559,455 X 559,455 TORCHMARK CORP Common Stock 891027104 372 6,687 X 6,687 TRANSWITCH CORP Common Stock 894065101 26 14,000 X 14,000 TRAVELERS PPTY CASUALTY Preferred Stock 89420G307 0 40,650 X 40,650 TRIBUNE CO Common Stock 896047107 732 24,193 X 24,193 TYCO INTERNATIONAL LTD Common Stock 902124106 4,257 147,517 X 147,517 TYSON FOODS INC-CL A Common Stock 902494103 291 17,017 X 17,017 UST INC Common Stock 902911106 388 17,506 X 17,506 US BANCORP Common Stock 902973304 3,655 122,274 X 122,274 UNION PACIFIC CORP Common Stock 907818108 2,641 32,800 X 32,800 UNISYS CORP Common Stock 909214108 124 21,289 X 21,289 UNITED PARCEL SERVICE-CL B Common Stock 911312106 7,289 96,995 X 96,995 UNITED STATES STEEL CORP Common Stock 912909108 351 7,311 X 7,311 UNITED TECHNOLOGIES CORP Common Stock 913017109 5,047 90,266 X 90,266 UNITED THERAPEUTICS CORP Common Stock 91307C102 346 5,000 X 5,000 UNITEDHEALTH GROUP INC Common Stock 91324P102 7,986 128,519 X 128,519 UNIVISION COMMUNICATIONS-A Common Stock 914906102 440 14,975 X 14,975 UNUMPROVIDENT CORP Common Stock 91529Y106 429 18,842 X 18,842 VF CORP Common Stock 918204108 340 6,136 X 6,136 VALERO ENERGY CORP Common Stock 91913Y100 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INC Common Stock 984332106 3,210 81,920 X 81,920 YUM! BRANDS INC Common Stock 988498101 3,024 64,506 X 64,506 ZIMMER HOLDINGS INC Common Stock 98956P102 2,400 35,594 X 35,594 ZIONS BANCORPORATION Common Stock 989701107 1,169 15,477 X 15,477 ACE LTD Common Stock G0070K103 1,063 19,887 X 19,887 COOPER INDUSTRIES LTD-CL A Common Stock G24182100 641 8,785 X 8,785 GLOBALSANTAFE CORP Common Stock G3930E101 241 5,000 X 5,000 INGERSOLL-RAND CO LTD-CL A Common Stock G4776G101 1,184 29,328 X 29,328 NABORS INDUSTRIES LTD Common Stock G6359F103 893 11,783 X 11,783 NOBLE CORP Common Stock G65422100 1,664 23,583 X 23,583 TRANSOCEAN INC Common Stock G90078109 1,802 25,861 X 25,861 WEATHERFORD INTL LTD Common Stock G95089101 574 15,863 X 15,863 XL CAPITAL LTD -CLASS A Common Stock G98255105 654 9,705 X 9,705 1,047,263 28,594,321 28,525,302 69,019