<PAGE>   1
                                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, 1999 
                                             

Check here if Amendment [ ]; Amendment Number: 
                                               ----

  This Amendment (Check only one.):      [ ] is a restatement.
                                         [ ] adds new holdings entries

Institutional Investment Manager Filing this Report:

Name: AMERICAN INTERNATIONAL GROUP, INC.


Address: 70 Pine Street

         New York, New York 10270


Form 13F File Number:  28-219



The Institutional Investment Manager filing this report and the person by whom 
it is signed represent that the person signing the report is authorized to
submit it, that all information contained herein is true, correct and complete,
and that it is understood that all required items, statements, schedules,
lists, and tables, are considered integral parts of this form.

Person Signing this Report on Behalf of Reporting Manager:

Name:  Edward E. Matthews

Title: Vice Chairman -- Investments and Financial Services
      
Phone: (212) 770-5400



Signature, Place, and Date of Signing:


/s/ Edward E. Matthews             New York, New York            August 16, 1999
-------------------------------    --------------------------    ---------------
(Signature)                        (City, State)                 (Date)

Report Type (Check only one.):

[X] 13F HOLDINGS REPORT. (Check if all holdings of this reporting manager are
    reported in this report.)

[ ] 13F NOTICE.  (Check if no holdings reported are in this report, and all
    holdings are reported in this report and a portion are reported by other
    reporting manager(s).)

[ ] 13F COMBINATION REPORT.  (Check 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).)


     


<PAGE>   2

                             FORM 13F SUMMARY PAGE

REPORT SUMMARY:


Number of Other Included Managers:  3



Form 13F Information Table Entry Total: 2408



Form 13F Information Table Value Total:  $13,873,074 (thousands)


List of Other Included Managers:

Provide a numbered list of the name(s) and Form 13F file number(s) of all
institutional investment managers with respect to which this report is filed,
other than the manager filing this report.
    

No.       Form 13F File Number     Name
--        --------------------     -------------------------------------

1         28-4637                  AIG GLOBAL INVESTMENT CORP.

2         28-2725                  SUNAMERICA ASSET MANAGEMENT CORP.

3         28-3463                  JOHN MCSTAY INVESTMENT COUNSEL LLC

<PAGE>   3
FILE NUMBER 28-219 (CONSOLIDATED)
AS OF 6/30/99


<TABLE>
<CAPTION>
--------------------------------------------------------------------------------------------------------------------
                                         TITLE OF             CUSIP             VALUE          SHRS OR   SH/PRN
NAME OF ISSUER                            CLASS                                (X$1000)        PRN AMT
--------------------------------------------------------------------------------------------------------------------
<S>                                      <C>                <C>              <C>             <C>         <C>
3COM                                       COM              8855351040             64            2,400     SH
99 CENTS ONLY STORES                       COM               65440K106         41,306          827,149     SH
A D C TELECOMMUNICATN                      COM               000886101          9,700          212,900     SH
A. SCHULMAN INC                            COM               808194104             57            3,300     SH
A.J. GALLAGHER                             COM               363576109         11,177          225,800     SH
AAR CORP                                   COM               000361105             86            4,800     SH
ABACUS DIRECT CORP                         COM               002553105         14,924          163,100     SH
ABBEY NATIONAL                             COM               000445007            269           13,000     SH
ABITIBI-PRICE                              COM               003924107          1,928          161,675     SH
ABBOTT LABORATORIES                        COM               002824100          3,004           66,200     SH
ABBOTT LABS                                COM               002824100          2,563           54,900     SH
ABERCROMBIE & FITCH - CL A                 COM               002896207          2,554           53,200     SH
ABERCROMBIE & FITCH - CL A                 COM               002896207            442            9,200     SH
ABERCROMBIE & FITCH - CL A                 COM               002896207          7,102           77,200     SH
ABR INFORMATION SVCS INC                   COM               00077R108            207            2,300     SH
ACCREDO HEALTH INC                         COM               00437V104         10,153          310,000     SH
ACE LTD                                    COM               G0070K103          1,182           37,900     SH
ACNIELSEN CORP                             COM               004833109            148            4,899     SH
ACTION PERFORMANCE COS INC                 COM               004933107          4,641          154,300     SH
ACUSON CORP                                COM               005113105             43            2,500     SH
ACXIOM CORP                                COM               005125109            885           33,400     SH
ADAC LABS                                  COM               005313200             19            1,400     SH
ADAPTEC INC                                COM               00651F108            457           20,100     SH
ADC TELECOMMUNICATIONS                     COM               000886101            560           12,300     SH
ADC TELECOMMUNICATIONS                     COM               000886101            844           17,700     SH
ADELPHIA COMMUNICATIONS CORP               COM               006848105            688           10,900     SH
ADOBE SYS INC                              COM               00724F101            289            5,100     SH
ADOBE SYSTEMS INC                          COM               00724F101            214            2,600     SH
ADVANCE PARADIGM INC                       COM               007491103         31,208          511,600     SH
ADVANCED MICRO DEVICES                     COM               007903107             94            5,200     SH
AEA INVESTORS CLASS B                      COM               00799H115          1,800           11,250     SH
AES CORP                                   COM               00130H105            401            6,900     SH
AETNA INC                                  COM               008117103            537            6,000     SH
AETNA INC                                  COM               008117103          1,312           16,100     SH
AFFILIATED COMPUTER                        COM               008190100         98,830        1,952,200     SH
AFFILIATED COMPUTER SVCS INC               COM               008190100            791           17,300     SH
AFFILIATED COMPUTER SVCS-A                 COM               008190100            223            4,400     SH
AFLAC INC                                  COM               001055102          1,682           30,900     SH
AFLAC INC.                                 COM               001055102          8,632          180,300     SH
AGCO CORP                                  COM               001084102             61            5,400     SH
AGL RES INC                                COM               001204106             89            4,800     SH
AGL RES INC                                COM               001204106            657           37,400     SH
AGOURON PHARMACEUTICALS INC                COM               008488108            136            2,400     SH
AIR EXPRESS INTL CORP                      COM               009104100            416           27,500     SH
</TABLE>



<TABLE>
<CAPTION>
-----------------------------------------------------------------------------------------------------------------------------
                                         PUT/CALL    INVESTMENT            OTHER                    VOTING AUTHORITY
NAME OF ISSUER                                       DISCRETION           MANAGERS          SOLE          SHARED         NONE
-----------------------------------------------------------------------------------------------------------------------------
<S>                                      <C>         <C>                  <C>               <C>     <C>               <C>
3COM                                                   DEFINED                1                          2,400
99 CENTS ONLY STORES                                   DEFINED                3                        809,099         18,050
A D C TELECOMMUNICATN                                  DEFINED                3                        176,600         36,300
A. SCHULMAN INC                                        DEFINED                1                          3,300
A.J. GALLAGHER                                         DEFINED                1                        225,800
AAR CORP                                               DEFINED                2                          4,800
ABACUS DIRECT CORP                                     DEFINED                3                        159,300          3,800
ABBEY NATIONAL                                         DEFINED                2                         13,000
ABITIBI-PRICE                                          DEFINED                1                        161,675
ABBOTT LABORATORIES                                    DEFINED                1                         66,200
ABBOTT LABS                                            DEFINED                2                         54,900
ABERCROMBIE & FITCH - CL A                             DEFINED                3                         50,800          2,400
ABERCROMBIE & FITCH - CL A                             DEFINED                1                          9,200
ABERCROMBIE & FITCH - CL A                             DEFINED                2                         77,200
ABR INFORMATION SVCS INC                               DEFINED                2                          2,300
ACCREDO HEALTH INC                                     DEFINED                3                        310,000
ACE LTD                                                DEFINED                2                         37,900
ACNIELSEN CORP                                         DEFINED                1                          4,899
ACTION PERFORMANCE COS INC                             DEFINED                2                        154,300
ACUSON CORP                                            DEFINED                1                          2,500
ACXIOM CORP                                            DEFINED                2                         33,400
ADAC LABS                                              DEFINED                2                          1,400
ADAPTEC INC                                            DEFINED                2                         20,100
ADC TELECOMMUNICATIONS                                 DEFINED                1                         12,300
ADC TELECOMMUNICATIONS                                 DEFINED                2                         17,700
ADELPHIA COMMUNICATIONS CORP                           DEFINED                2                         10,900
ADOBE SYS INC                                          DEFINED                2                          5,100
ADOBE SYSTEMS INC                                      DEFINED                1                          2,600
ADVANCE PARADIGM INC                                   DEFINED                3                        502,100          9,500
ADVANCED MICRO DEVICES                                 DEFINED                1                          5,200
AEA INVESTORS CLASS B                                  DEFINED                1                         11,250
AES CORP                                               DEFINED                1                          6,900
AETNA INC                                              DEFINED                1                          6,000
AETNA INC                                              DEFINED                2                         16,100
AFFILIATED COMPUTER                                    DEFINED                3                      1,881,800         70,400
AFFILIATED COMPUTER SVCS INC                           DEFINED                2                         17,300
AFFILIATED COMPUTER SVCS-A                             DEFINED                1                          4,400
AFLAC INC                                              DEFINED                2                         30,900
AFLAC INC.                                             DEFINED                1                        180,300
AGCO CORP                                              DEFINED                1                          5,400
AGL RES INC                                            DEFINED                1                          4,800
AGL RES INC                                            DEFINED                2                         37,400
AGOURON PHARMACEUTICALS INC                            DEFINED                2                          2,400
AIR EXPRESS INTL CORP                                  DEFINED                2                         27,500
</TABLE>


                                  Page 1 of 49

<PAGE>   4
FILE NUMBER 28-219 (CONSOLIDATED)
AS OF 6/30/99


<TABLE>
<S>                                        <C>               <C>             <C>               <C>         <C>
AIR PRODS + CHEMS INC                      COM               009158106          4,425          129,191     SH
AIR PRODUCTS                               COM               009158106            358            8,900     SH
AIRBORNE FGHT CORP                         COM               009266107            311           10,000     SH
AIRBORNE FREIGHT CORP                      COM               009266107            100            3,600     SH
AIRGAS INC                                 COM               009363102             70            5,700     SH
AK STEEL HOLDING CORP                      COM               001547108            104            4,600     SH
AK STL HLDG CORP                           COM               001547108            505           22,400     SH
ALASKA AIR GROUP                           COM               011659109             88            2,100     SH
ALASKA AIR GROUP INC                       COM               011659109             95            2,000     SH
ALBANY INTL CORP                           COM               012348108             52            2,470     SH
ALBEMARLE CORP                             COM               012653101            111            4,800     SH
ALBERTO-CULVER CO                          COM               013068101             59            2,200     SH
ALBERTSON'S INC                            COM               013104104         16,806          325,943     SH
ALCAN ALUM LTD                             COM               013716956             45            1,740     SH
ALCAN ALUMINUM LTD                         COM               013716105         16,383          507,400     SH
ALCOA INC                                  COM               013817101            362            8,800     SH
ALCOA INC.                                 COM               013817101            693           11,200     SH
ALEXANDER BALDWIN                          COM               014482103             87            3,900     SH
ALIANT COMMUNICATIONS INC                  COM               016090102            143            3,100     SH
ALKERMES INC                               COM               01642T108          2,542           93,600     SH
ALLAIRE CORP                               COM               016714107          2,040           30,000     SH
ALLEGHENY ENERGY INC                       COM               017361106            337           10,500     SH
ALLEGHENY TELEDYNE INC                     COM               017415100            166            7,345     SH
ALLEN TELECOM INC                          COM               018091108             82           13,500     SH
ALLERGAN INC                               COM               018490102            289            2,600     SH
ALLIANT ENERGY CORP                        COM               018802108            182            6,400     SH
ALLIED WASTE INDUSTRIES INC                COM               019589308            310           15,700     SH
ALLIED WASTE INDUSTRIES INC                COM               019589308          2,673          185,125     SH
ALLIED-SIGNAL INC.                         COM               019512102         18,153          288,150     SH
ALLMERICA FINANCIAL CORP                   COM               019754100            304            5,000     SH
ALLOY ONLINE INC                           COM               019855105              6              500     SH
ALLSTATE CORP                              COM               020002101         30,424          848,050     SH
ALLSTATE CORP                              COM               020002101          1,831           49,400     SH
ALLTEL CORP                                COM               020039103            672            9,400     SH
ALLTEL CORP                                COM               020039103          5,184           83,105     SH
ALPHA INDUSTRIES INC                       COM               020753109             19              390     SH
ALTERA CORP                                COM               021441100            655           17,800     SH
ALTERNATIVE LIVING SVCS INC                COM               02145K107          3,504          175,200     SH
ALZA                                       COM               022615108            163            3,200     SH
ALZA CORP                                  COM               022615108          1,251           32,700     SH
AMB PPTY CORP                              COM               00163T109         16,137          686,700     SH
AMBAC FINL GROUP INC                       COM               023139108            680           12,600     SH
AMBAC INC.                                 COM               023139108            343            6,000     SH
AMCORE FINL INC                            COM               023912108            186            9,000     SH
AMDOCS LIMITED                             COM               002256908            796           35,000     SH
AMERADA HESS CORP                          COM               023551104            214            3,600     SH
AMERADA HESS CORP                          COM               023551104         21,667          148,470     SH
AMEREN CORPORATION                         COM               023608102            176            4,580     SH
AMERICA ONLINE INC                         COM               02364J104          4,290           39,000     SH
AMERICAN AIRLINES                          COM               001765106            484            7,100     SH
</TABLE>



<TABLE>
<S>                                        <C>                    <C>                      <C>            <C>
AIR PRODS + CHEMS INC                      DEFINED                2                        129,191
AIR PRODUCTS                               DEFINED                1                          8,900
AIRBORNE FGHT CORP                         DEFINED                2                         10,000
AIRBORNE FREIGHT CORP                      DEFINED                1                          3,600
AIRGAS INC                                 DEFINED                1                          5,700
AK STEEL HOLDING CORP                      DEFINED                1                          4,600
AK STL HLDG CORP                           DEFINED                2                         22,400
ALASKA AIR GROUP                           DEFINED                1                          2,100
ALASKA AIR GROUP INC                       DEFINED                2                          2,000
ALBANY INTL CORP                           DEFINED                1                          2,470
ALBEMARLE CORP                             DEFINED                1                          4,800
ALBERTO-CULVER CO                          DEFINED                1                          2,200
ALBERTSON'S INC                            DEFINED                1                        325,943
ALCAN ALUM LTD                             DEFINED                2                          1,740
ALCAN ALUMINUM LTD                         DEFINED                1                        507,400
ALCOA INC                                  DEFINED                2                          8,800
ALCOA INC.                                 DEFINED                1                         11,200
ALEXANDER BALDWIN                          DEFINED                1                          3,900
ALIANT COMMUNICATIONS INC                  DEFINED                1                          3,100
ALKERMES INC                               DEFINED                2                         93,600
ALLAIRE CORP                               DEFINED                2                         30,000
ALLEGHENY ENERGY INC                       DEFINED                1                         10,500
ALLEGHENY TELEDYNE INC                     DEFINED                1                          7,345
ALLEN TELECOM INC                          DEFINED                2                         13,500
ALLERGAN INC                               DEFINED                1                          2,600
ALLIANT ENERGY CORP                        DEFINED                1                          6,400
ALLIED WASTE INDUSTRIES INC                DEFINED                1                         15,700
ALLIED WASTE INDUSTRIES INC                DEFINED                2                        185,125
ALLIED-SIGNAL INC.                         DEFINED                1                        288,150
ALLMERICA FINANCIAL CORP                   DEFINED                1                          5,000
ALLOY ONLINE INC                           DEFINED                1                            500
ALLSTATE CORP                              DEFINED                1                        848,050
ALLSTATE CORP                              DEFINED                2                         49,400
ALLTEL CORP                                DEFINED                1                          9,400
ALLTEL CORP                                DEFINED                2                         83,105
ALPHA INDUSTRIES INC                       DEFINED                2                            390
ALTERA CORP                                DEFINED                1                         17,800
ALTERNATIVE LIVING SVCS INC                DEFINED                2                        175,200
ALZA                                       DEFINED                1                          3,200
ALZA CORP                                  DEFINED                2                         32,700
AMB PPTY CORP                              DEFINED                3                        561,900        124,800
AMBAC FINL GROUP INC                       DEFINED                2                         12,600
AMBAC INC.                                 DEFINED                1                          6,000
AMCORE FINL INC                            DEFINED                2                          9,000
AMDOCS LIMITED                             DEFINED                1                         35,000
AMERADA HESS CORP                          DEFINED                1                          3,600
AMERADA HESS CORP                          DEFINED                2                        148,470
AMEREN CORPORATION                         DEFINED                1                          4,580
AMERICA ONLINE INC                         DEFINED                1                         39,000
AMERICAN AIRLINES                          DEFINED                1                          7,100
</TABLE>



                                  Page 2 of 49

<PAGE>   5
FILE NUMBER 28-219 (CONSOLIDATED)
AS OF 6/30/99


<TABLE>
<S>                                        <C>               <C>             <C>               <C>         <C>
AMERICAN BANKERS INS GROUP INC             COM               024456204            802            7,600     SH
AMERICAN CELLULAR COMMON STOCK             COM               02599C106            357            3,571     SH
AMERICAN ELEC PWR INC                      COM               025537101             20              500     SH
AMERICAN ELECTRIC POWER                    COM               025537101            285            7,600     SH
AMERICAN EXPRESS                           COM               025816109         27,645          212,450     SH
AMERICAN EXPRESS CO                        COM               025816109         20,250          172,255     SH
AMERICAN FINANCIAL GROUP INC               COM               025932104            187            5,500     SH
AMERICAN FINL GROUP INC OHIO               COM               025932104            176            5,000     SH
AMERICAN GENERAL CORP                      COM               026351106            758           10,061     SH
AMERICAN GREEETINGS -CL A                  COM               026375105             81            2,700     SH
AMERICAN GREETINGS CORP                    COM               026375105          3,145          123,950     SH
AMERICAN HEALTH PPTYS                      COM               026494104          4,423          219,800     SH
AMERICAN HERITAGE LIFE INVT                COM               026522102             61            2,600     SH
AMERICAN HOME PRODUCTS                     COM               026609107         18,412          320,900     SH
AMERICAN HOME PRODUCTS CORP                COM               026609107          6,225           95,400     SH
AMERICAN INTL GROUP INC                    COM               026874107      2,760,476       23,543,506     SH
AMERICAN INTL GROUP INC                    COM               026874107          2,120           17,575     SH
AMERICAN ITALIAN PASTA CO                  COM               027070101            143            5,700     SH
AMERICAN POWER CONVERSION                  COM               029066107            326           16,200     SH
AMERICAN PWR CONVERSION CORP               COM               029066107            918           34,000     SH
AMERICAN SKIING CORP COMMON                COM               029654308              2          371,415     SH
AMERICAN STANDARD COMPANIES                COM               029712106            302            6,300     SH
AMERICAN TOWER                             COM               029912201         52,178        2,174,100     SH
AMERICAN WTR WKS INC                       COM               030411102            209            6,800     SH
AMERICREDIT CORP                           COM               03060R101         40,726        2,545,400     SH
AMERIN CORP                                COM               03070X106            278           13,700     SH
AMERISOURCE HEALTH CORP                    COM               03071P102            940           27,500     SH
AMERITECH CORPORATION/DEL                  COM               030954101          3,197           43,500     SH
AMES DEPT STORES INC                       COM               030789507             16              360     SH
AMES DEPT STORES INC                       COM               030789507         50,251        1,101,400     SH
AMETEK INC (new)                           COM               031100100             67            2,900     SH
AMGEN INC                                  COM               031162100         12,343          165,300     SH
AMGEN INC.                                 COM               031162100          1,297           21,300     SH
AMLI RESIDENTIAL PPTYS TR                  COM               001735109             95            4,600     SH
AMSOUTH BANCORPORATION                     COM               321651020            139            6,000     SH
ANADARKO PETROLEUM CORP                    COM               032511107            180            4,900     SH
ANALOG DEVICES INC                         COM               032654105            693           13,800     SH
ANALOG DEVICES INC                         COM               032654105            473           15,900     SH
ANDREW CORPRATION                          COM               034425108             62            3,275     SH
ANHEUSER BUSCH COS INC                     COM               035229103          4,099           53,800     SH
ANHEUSER-BUSCH COS                         COM               035229103         13,531          190,750     SH
ANIXTER INTL INC                           COM               035290105            208           17,400     SH
ANNTAYLOR STORES CORP                      COM               036115103            433            9,800     SH
ANNUITY AND LIFE RE HLDGS                  COM               G03910109            229           10,000     SH
ANSWERTHINK CONSULTING GROUP               COM               036916104          2,940          105,000     SH
ANTEC CORP                                 COM               03664P105         56,543        1,763,517     SH
AON CORP                                   COM               037389103         11,362          275,450     SH
APACHE CORP                                COM               037411105            135            3,450     SH
APACHE CORP                                COM               037411105             58            1,475     SH
APACHE CORP                                COM               037411105          5,737          147,100     SH
</TABLE>



<TABLE>
<S>                                        <C>                    <C>                     <C>              <C>
AMERICAN BANKERS INS GROUP INC             DEFINED                2                          7,600
AMERICAN CELLULAR COMMON STOCK             DEFINED                1                          3,571
AMERICAN ELEC PWR INC                      DEFINED                2                            500
AMERICAN ELECTRIC POWER                    DEFINED                1                          7,600
AMERICAN EXPRESS                           DEFINED                1                        212,450
AMERICAN EXPRESS CO                        DEFINED                2                        172,255
AMERICAN FINANCIAL GROUP INC               DEFINED                1                          5,500
AMERICAN FINL GROUP INC OHIO               DEFINED                2                          5,000
AMERICAN GENERAL CORP                      DEFINED                1                         10,061
AMERICAN GREEETINGS -CL A                  DEFINED                1                          2,700
AMERICAN GREETINGS CORP                    DEFINED                2                        123,950
AMERICAN HEALTH PPTYS                      DEFINED                3                        180,300         39,500
AMERICAN HERITAGE LIFE INVT                DEFINED                2                          2,600
AMERICAN HOME PRODUCTS                     DEFINED                1                        320,900
AMERICAN HOME PRODUCTS CORP                DEFINED                2                         95,400
AMERICAN INTL GROUP INC                    DEFINED                1                     23,543,506
AMERICAN INTL GROUP INC                    DEFINED                2                         17,575
AMERICAN ITALIAN PASTA CO                  DEFINED                2                          5,700
AMERICAN POWER CONVERSION                  DEFINED                1                         16,200
AMERICAN PWR CONVERSION CORP               DEFINED                2                         34,000
AMERICAN SKIING CORP COMMON                DEFINED                2                        371,415
AMERICAN STANDARD COMPANIES                DEFINED                1                          6,300
AMERICAN TOWER                             DEFINED                3                      2,088,300         85,800
AMERICAN WTR WKS INC                       DEFINED                1                          6,800
AMERICREDIT CORP                           DEFINED                3                      2,479,500         65,900
AMERIN CORP                                DEFINED                2                         13,700
AMERISOURCE HEALTH CORP                    DEFINED                2                         27,500
AMERITECH CORPORATION/DEL                  DEFINED                1                         43,500
AMES DEPT STORES INC                       DEFINED                1                            360
AMES DEPT STORES INC                       DEFINED                3                      1,080,200         21,200
AMETEK INC (new)                           DEFINED                1                          2,900
AMGEN INC                                  DEFINED                2                        165,300
AMGEN INC.                                 DEFINED                1                         21,300
AMLI RESIDENTIAL PPTYS TR                  DEFINED                2                          4,600
AMSOUTH BANCORPORATION                     DEFINED                1                          6,000
ANADARKO PETROLEUM CORP                    DEFINED                1                          4,900
ANALOG DEVICES INC                         DEFINED                1                         13,800
ANALOG DEVICES INC                         DEFINED                2                         15,900
ANDREW CORPRATION                          DEFINED                1                          3,275
ANHEUSER BUSCH COS INC                     DEFINED                2                         53,800
ANHEUSER-BUSCH COS                         DEFINED                1                        190,750
ANIXTER INTL INC                           DEFINED                2                         17,400
ANNTAYLOR STORES CORP                      DEFINED                2                          9,800
ANNUITY AND LIFE RE HLDGS                  DEFINED                2                         10,000
ANSWERTHINK CONSULTING GROUP               DEFINED                2                        105,000
ANTEC CORP                                 DEFINED                3                      1,702,517         61,000
AON CORP                                   DEFINED                1                        275,450
APACHE CORP                                DEFINED                1                          3,450
APACHE CORP                                DEFINED                2                          1,475
APACHE CORP                                DEFINED                3                        127,800         19,300
</TABLE>


                                  Page 3 of 49

<PAGE>   6
FILE NUMBER 28-219 (CONSOLIDATED)
AS OF 6/30/99


<TABLE>
<S>                                        <C>               <C>             <C>               <C>         <C>
APARTMENT INVT & MGMT                      COM               03748R101       11,158            261,000     SH
APARTMENT INVT. + MGMT CO                  COM               03748R101          558             15,400     SH
APOGEE ENTERPRISES INC                     COM               037598109          166             14,400     SH
APOLLO GROUP INC                           COM               037604105          189              7,100     SH
APPLE COMPUTER                             COM               037833100          222              4,800     SH
APPLE COMPUTER                             COM               037833100          410             11,400     SH
APPLEBEES INTL INC                         COM               037899101          109              4,400     SH
APPLIED MATERIALS INC                      COM               038222105        1,056             14,300     SH
APPLIED MATERIALS INC                      COM               038222105        1,616             26,200     SH
APPLIED MICRO CIRCUITS                     COM               03822W109       15,356            186,700     SH
APPLIED PWR INC                            COM               038225108           63              2,300     SH
APRIA HEALTHCARE GROUP                     COM               037933108           75              4,400     SH
APRIA HEALTHCARE GROUP INC                 COM               037933108          120             10,100     SH
APTARGROUP INC                             COM               038336103          187              7,200     SH
ARCHER DANIELS MIDLAND                     COM               039483102        4,832            313,026     SH
ARCHER DANIELS MIDLAND CO                  COM               039483102          238             16,200     SH
ARCHSTONE COMM                             COM               039581103       14,320            652,762     SH
ARCHSTONE COMMUNITIES TRUST                COM               039581103        4,388            200,000     SH
ARDEN RLTY GROUP INC                       COM               039793104        8,446            343,000     SH
ARDEN RLTY INC                             COM               039793104           65              2,900     SH
ARGONAUT GROUP INC                         COM               040157109          721             29,000     SH
ARMSTRONG WORLD INDS INS                   COM               042476101           81              1,400     SH
ARNOLD INDS INC                            COM               042595108           37              2,400     SH
ARROW ELECTRONICS                          COM               042735100          152              8,000     SH
ARVIN INDS INC                             COM               043339100           76              2,000     SH
ASARCO                                     COM               043413103           26              1,400     SH
ASDA GROUP                                 COM               005720008          122             50,000     SH
ASHLAND INC                                COM               044204105          104              2,600     SH
ASHLAND INC                                COM               044204105          197              4,800     SH
ASSOCIATED BANC CORP                       COM               045487105          169              5,300     SH
ASSOCIATED BANC-CORP                       COM               045487105          218              5,250     SH
ASSOCIATES FIRST CAP CORP                  COM               046008108        2,056             45,738     SH
ASSOCIATES FIRST CAPITAL CORP              COM               046008108        1,164             26,368     SH
ASTORIA FINANCIAL CORP                     COM               046265104          220              5,000     SH
ASTORIA FINL CORP                          COM               046265104          178              3,560     SH
ASTRA AB                                   COM               046298105        1,193             52,000     SH
ASTROPOWER INC                             COM               04644A101        2,935            167,700     SH
AT & T                                     COM               001957109       36,178            648,200     SH
AT + T CORP                                COM               001957109       21,262            271,394     SH
AT HOME CORP                               COM               045919107        8,628             54,825     SH
AT&T CORP LIBERTY MEDIA A                  COM               001957208        2,840             54,719     SH
ATLANTIC RICHFIELD                         COM               048825103        1,070             12,800     SH
ATLANTIC RICHFIELD CO                      COM               048825103          781             10,700     SH
ATMEL CRP                                  COM               049513104          223              8,500     SH
AUDIOCODES LTD ORD                         COM               M15342104        3,283            121,600     SH
AURORA FOODS INC                           COM               05164B106           85              5,200     SH
AUTO BY TEL                                COM               05275N106        4,000            400,000     SH
AUTOBYTEL INC                              COM               05275N106          616             14,700     SH
AUTODESK INC.                              COM               052769106           56              1,900     SH
AUTOMATIC DATA PROCESSING INC              COM               053015103       15,655            355,800     SH
</TABLE>



<TABLE>
<S>                                        <C>                    <C>                     <C>              <C>
APARTMENT INVT & MGMT                      DEFINED                3                        216,100         44,900
APARTMENT INVT. + MGMT CO                  DEFINED                2                         15,400
APOGEE ENTERPRISES INC                     DEFINED                2                         14,400
APOLLO GROUP INC                           DEFINED                1                          7,100
APPLE COMPUTER                             DEFINED                1                          4,800
APPLE COMPUTER                             DEFINED                2                         11,400
APPLEBEES INTL INC                         DEFINED                2                          4,400
APPLIED MATERIALS INC                      DEFINED                1                         14,300
APPLIED MATERIALS INC                      DEFINED                2                         26,200
APPLIED MICRO CIRCUITS                     DEFINED                3                        182,300          4,400
APPLIED PWR INC                            DEFINED                2                          2,300
APRIA HEALTHCARE GROUP                     DEFINED                1                          4,400
APRIA HEALTHCARE GROUP INC                 DEFINED                2                         10,100
APTARGROUP INC                             DEFINED                2                          7,200
ARCHER DANIELS MIDLAND                     DEFINED                1                        313,026
ARCHER DANIELS MIDLAND CO                  DEFINED                2                         16,200
ARCHSTONE COMM                             DEFINED                3                        536,649        116,113
ARCHSTONE COMMUNITIES TRUST                DEFINED                1                        200,000
ARDEN RLTY GROUP INC                       DEFINED                3                        284,600         58,400
ARDEN RLTY INC                             DEFINED                2                          2,900
ARGONAUT GROUP INC                         DEFINED                2                         29,000
ARMSTRONG WORLD INDS INS                   DEFINED                1                          1,400
ARNOLD INDS INC                            DEFINED                1                          2,400
ARROW ELECTRONICS                          DEFINED                1                          8,000
ARVIN INDS INC                             DEFINED                1                          2,000
ASARCO                                     DEFINED                1                          1,400
ASDA GROUP                                 DEFINED                2                         50,000
ASHLAND INC                                DEFINED                1                          2,600
ASHLAND INC                                DEFINED                2                          4,800
ASSOCIATED BANC CORP                       DEFINED                2                          5,300
ASSOCIATED BANC-CORP                       DEFINED                1                          5,250
ASSOCIATES FIRST CAP CORP                  DEFINED                2                         45,738
ASSOCIATES FIRST CAPITAL CORP              DEFINED                1                         26,368
ASTORIA FINANCIAL CORP                     DEFINED                1                          5,000
ASTORIA FINL CORP                          DEFINED                2                          3,560
ASTRA AB                                   DEFINED                2                         52,000
ASTROPOWER INC                             DEFINED                3                        167,700
AT & T                                     DEFINED                1                        648,200
AT + T CORP                                DEFINED                2                        271,394
AT HOME CORP                               DEFINED                2                         54,825
AT&T CORP LIBERTY MEDIA A                  DEFINED                2                         54,719
ATLANTIC RICHFIELD                         DEFINED                1                         12,800
ATLANTIC RICHFIELD CO                      DEFINED                2                         10,700
ATMEL CRP                                  DEFINED                1                          8,500
AUDIOCODES LTD ORD                         DEFINED                3                        115,200          6,400
AURORA FOODS INC                           DEFINED                2                          5,200
AUTO BY TEL                                DEFINED                1                        400,000
AUTOBYTEL INC                              DEFINED                2                         14,700
AUTODESK INC.                              DEFINED                1                          1,900
AUTOMATIC DATA PROCESSING INC              DEFINED                1                        355,800
</TABLE>



                                  Page 4 of 49

<PAGE>   7
FILE NUMBER 28-219 (CONSOLIDATED)
AS OF 6/30/99


<TABLE>
<S>                                        <C>               <C>             <C>               <C>         <C>
AUTOMATIC DATA PROCESSING INC              COM               053015103        9,930            240,000     SH
AUTOZONE INC                               COM               053332102          178              5,900     SH
AUTOZONE INC                               COM               053332102          945             31,100     SH
AVALONBAY COMM                             COM               053484101       16,979            458,898     SH
AVERY DENNISON CORP.                       COM               053611109          248              4,100     SH
AVISTA CORP                                COM               05379B503        1,028             60,000     SH
AVNET INC.                                 COM               053807103          172              3,700     SH
AVON PRODUCTS                              COM               054303102          566             10,200     SH
AVT CORP                                   COM               002420107          742             31,100     SH
AXIOM SYSTEMS                              COM               054607106            6              5,025     SH
AXOGEN LTD                                 COM               G0690R108        6,275            200,000     SH
BAKER HUGHES INC                           COM               057224107          938             38,600     SH
BAKER HUGHES INC.                          COM               057224107          418             12,470     SH
BALL CORP                                  COM               058498106           46               1100     SH
BANC ONE CORP                              COM               06423A103       18,387            308,700     SH
BANCO DE A EDWARDS - ADR                   COM               059504100          568             39,200     SH
BANCO DE GALICIA Y BUENOS AIRE             COM               059538207           15                909     SH
BANCO FRANCES ADR                          COM               059591107          501             27,500     SH
BANCO FRANCES DEL RIO LA PLATA             COM               059591107           10                560     SH
BANCO GANADERO SA - ADR                    CVT               059594507           81             10,500     SH
BANCO LATINOAMERICANO DE EXP               COM               P16994132          624             24,000     SH
BANCO RIO DE LA PLATA - ADR                COM               059644104          278             29,300     SH
BANCWEST CORP NEW                          COM               059790105          123              2,900     SH
BANDAG INC                                 COM               059815100           66              1,900     SH
BANK COMM SAN DIEGO CALIF                  COM               061589107           78              3,900     SH
BANK NEW YORK INC                          COM               064057102        4,589            127,680     SH
BANK OF IRELAND                            COM               407617000          581             27,700     SH
BANK OF MONTREAL                           COM               063671101        9,500            254,700     SH
BANK OF NEW YORK                           COM               064057102        1,376             37,500     SH
BANK ONE CORP                              COM               06423A103        3,924             70,539     SH
BANK ONE CORP                              COM               06423A103          514              8,622     SH
BANK UNITED CORP.                          COM               065412108       47,835          1,190,302     SH
BANK UTD CORP                              COM               065412108       28,200            701,700     SH
BANKAMERICA CORP NEW                       COM               06605F102        4,130             58,480     SH
BANKAMERICA CORPORATION                    COM               060505104       29,744            405,719     SH
BANKBOSTON CORP                            COM               06605R106          134              3,100     SH
BANKBOSTON CORP.                           COM               06605R106          568             11,100     SH
BANK OF MONTREAL                           COM               063671101        2,576             72,650     SH
BANTA CORP                                 COM               066821109           57              2,700     SH
BANTA CORP                                 COM               066821109          439             23,100     SH
BARCLAYS                                   COM               007820004          487             16,900     SH
BARD C R INC                               COM               067383109        2,018             40,000     SH
BARD(C.R.)                                 COM               067383109           19                400     SH
BARNES & NOBLE INC.                        COM               067774109          153              5,600     SH
BARNETT INC                                COM               068062108           94             10,900     SH
BARR LABS INC                              COM               068306109           40              1,300     SH
BARRETT RES CORP                           COM               068480201          566             22,600     SH
BARRICK GOLD CORP.                         COM               067901108        1,487             79,035     SH
BASSETT FURNITURE INDS INC                 COM               070203104          138              6,400     SH
BATTLE MTN GOLD CO                         COM               071593107           22              9,000     SH
</TABLE>



<TABLE>
<S>                                        <C>                    <C>                      <C>             <C>
AUTOMATIC DATA PROCESSING INC              DEFINED                2                        240,000
AUTOZONE INC                               DEFINED                1                          5,900
AUTOZONE INC                               DEFINED                2                         31,100
AVALONBAY COMM                             DEFINED                3                        388,785         70,113
AVERY DENNISON CORP.                       DEFINED                1                          4,100
AVISTA CORP                                DEFINED                2                         60,000
AVNET INC.                                 DEFINED                1                          3,700
AVON PRODUCTS                              DEFINED                1                         10,200
AVT CORP                                   DEFINED                2                         31,100
AXIOM SYSTEMS                              DEFINED                1                          5,025
AXOGEN LTD                                 DEFINED                1                        200,000
BAKER HUGHES INC                           DEFINED                2                         38,600
BAKER HUGHES INC.                          DEFINED                1                         12,470
BALL CORP                                  DEFINED                1                          1,100
BANC ONE CORP                              DEFINED                1                        308,700
BANCO DE A EDWARDS - ADR                   DEFINED                1                         39,200
BANCO DE GALICIA Y BUENOS AIRE             DEFINED                2                            909
BANCO FRANCES ADR                          DEFINED                1                         27,500
BANCO FRANCES DEL RIO LA PLATA             DEFINED                2                            560
BANCO GANADERO SA - ADR                    DEFINED                1                         10,500
BANCO LATINOAMERICANO DE EXP               DEFINED                2                         24,000
BANCO RIO DE LA PLATA - ADR                DEFINED                1                         29,300
BANCWEST CORP NEW                          DEFINED                2                          2,900
BANDAG INC                                 DEFINED                1                          1,900
BANK COMM SAN DIEGO CALIF                  DEFINED                2                          3,900
BANK NEW YORK INC                          DEFINED                2                        127,680
BANK OF IRELAND                            DEFINED                2                         27,700
BANK OF MONTREAL                           DEFINED                1                        254,700
BANK OF NEW YORK                           DEFINED                1                         37,500
BANK ONE CORP                              DEFINED                2                         70,539
BANK ONE CORP                              DEFINED                1                          8,622
BANK UNITED CORP.                          DEFINED                1                      1,190,302
BANK UTD CORP                              DEFINED                3                        687,000         14,700
BANKAMERICA CORP NEW                       DEFINED                2                         58,480
BANKAMERICA CORPORATION                    DEFINED                1                        405,719
BANKBOSTON CORP                            DEFINED                2                          3,100
BANKBOSTON CORP.                           DEFINED                1                         11,100
BANK OF MONTREAL                           DEFINED                1                         72,650
BANTA CORP                                 DEFINED                1                          2,700
BANTA CORP                                 DEFINED                2                         23,100
BARCLAYS                                   DEFINED                2                         16,900
BARD C R INC                               DEFINED                2                         40,000
BARD(C.R.)                                 DEFINED                1                            400
BARNES & NOBLE INC.                        DEFINED                1                          5,600
BARNETT INC                                DEFINED                2                         10,900
BARR LABS INC                              DEFINED                2                          1,300
BARRETT RES CORP                           DEFINED                2                         22,600
BARRICK GOLD CORP.                         DEFINED                1                         79,035
BASSETT FURNITURE INDS INC                 DEFINED                2                          6,400
BATTLE MTN GOLD CO                         DEFINED                1                          9,000
</TABLE>


                                  Page 5 of 49

<PAGE>   8
FILE NUMBER 28-219 (CONSOLIDATED)
AS OF 6/30/99


<TABLE>
<S>                                        <C>               <C>             <C>               <C>         <C>
BAUSCH & LOMB                              COM               071707103          153              2,000     SH
BAXTER INTERNATIONAL INC.                  COM               071813109        6,117            100,900     SH
BAXTER INTL INC                            COM               071813109        1,676             25,400     SH
BB&T CORPORATION                           COM               054937107          404             11,000     SH
BCE INC                                    COM               05534B109       10,212            211,530     SH
BE AEROSPACE INC                           COM               073302101          239             16,300     SH
BEAR STEARNS                               COM               073902108          207              4,430     SH
BEAR STEARNS COS INC                       COM               073902108          469             10,500     SH
BECKMAN COULTER INC                        COM               075811109          122              2,500     SH
BECTON DICKINSON & CO                      COM               075887109          309             10,300     SH
BECTON DICKINSON + CO                      COM               075887109        1,023             26,700     SH
BED BATH & BEYOND                          COM               075896100        4,570            118,700     SH
BED BATH + BEYOND INC                      COM               075896100          136              3,700     SH
BED BATH AND BEYOND                        COM               075896100          454             11,800     SH
BEDFORD PPTY INVS                          COM               076446301        3,375            188,800     SH
BEDFORD PPTY INVS INC                      COM               076446301           70              6,100     SH
BELCO OIL + GAS CORP                       COM               077410207          488             31,000     SH
BELDEN INC                                 COM               077459105          119              7,000     SH
BELL + HOWELL CO NEW                       COM               077852101          196              6,700     SH
BELL ATLANTIC                              COM               077853109        4,456             68,160     SH
BELL ATLANTIC CORP                         COM               077853109        1,091             21,100     SH
BELL CANADA INTERNATIONAL INC.             COM               077914109          505             40,000     SH
BELLSOUTH CORP                             COM               079860102        3,510             76,100     SH
BELO A H CORP DEL                          COM               080555105          217             10,800     SH
BEMIS CO.                                  COM               081437105           80              2,000     SH
BEMIS INC                                  COM               081437105        5,739            184,758     SH
BEN + JERRYS HOMEMADE INC                  COM               081465106          722             25,900     SH
BENCHMARK ELECTRS INC                      COM               08160H101          106              3,531     SH
BERGEN BRUNSWIG CORP                       COM               083739102          198             11,450     SH
BERGEN BRUNSWIG CORP                       COM               083739102          438             21,900     SH
BERINGER WINE ESTATES HLDGS                COM               084102102        1,004             27,900     SH
BERKLEY W R CORP                           COM               084423102          102              4,150     SH
BERKLEY, W.R.                              COM               084423102        1,650             66,000     SH
BERKSHIRE HATHAWAY INC                     COM               084670207          447                191     SH
BERKSHIRE HATHAWAY INC DEL                 COM               084670108        4,855                 68     SH
BERKSHIRE HATHWAY INC                      COM               084990308          971             10,000     SH
BEST BUY CO INC                            COM               086516101          603             11,600     SH
BEST BUY INC                               COM               086516101        1,161             17,200     SH
BEST FOODS INC                             COM               08658U101          629             12,700     SH
BESTFOODS                                  COM               08658U101        4,945            105,217     SH
BETHELEM STEEL  CORP                       COM               087509105           36              4,700     SH
BEVERLY ENTERPRISES INC (new)              COM               087851309           73              9,000     SH
BEYOND COM CORP                            COM               08860E101        1,359             51,900     SH
BG                                         COM               015421902           96             16,294     SH
BIOGEN                                     COM               090597105          810             12,600     SH
BIOGEN INC                                 COM               090597105        8,538             74,700     SH
BIOMET INC                                 COM               090613100          183              4,600     SH
BISYS GROUP INC                            COM               055472104        1,670             29,700     SH
BJ SVCS CO                                 COM               055482103          188              6,400     SH
BJ SVCS CO                                 COM               055482103        4,645            198,200     SH
</TABLE>



<TABLE>
<S>                                        <C>                    <C>                      <C>             <C>
BAUSCH & LOMB                              DEFINED                1                          2,000
BAXTER INTERNATIONAL INC.                  DEFINED                1                        100,900
BAXTER INTL INC                            DEFINED                2                         25,400
BB&T CORPORATION                           DEFINED                1                         11,000
BCE INC                                    DEFINED                1                        211,530
BE AEROSPACE INC                           DEFINED                2                         16,300
BEAR STEARNS                               DEFINED                1                          4,430
BEAR STEARNS COS INC                       DEFINED                2                         10,500
BECKMAN COULTER INC                        DEFINED                1                          2,500
BECTON DICKINSON & CO                      DEFINED                1                         10,300
BECTON DICKINSON + CO                      DEFINED                2                         26,700
BED BATH & BEYOND                          DEFINED                3                         87,400         31,300
BED BATH + BEYOND INC                      DEFINED                2                          3,700
BED BATH AND BEYOND                        DEFINED                1                         11,800
BEDFORD PPTY INVS                          DEFINED                3                        154,700         34,100
BEDFORD PPTY INVS INC                      DEFINED                2                          6,100
BELCO OIL + GAS CORP                       DEFINED                2                         31,000
BELDEN INC                                 DEFINED                2                          7,000
BELL + HOWELL CO NEW                       DEFINED                2                          6,700
BELL ATLANTIC                              DEFINED                1                         68,160
BELL ATLANTIC CORP                         DEFINED                2                         21,100
BELL CANADA INTERNATIONAL INC.             DEFINED                1                         40,000
BELLSOUTH CORP                             DEFINED                1                         76,100
BELO A H CORP DEL                          DEFINED                1                         10,800
BEMIS CO.                                  DEFINED                1                          2,000
BEMIS INC                                  DEFINED                2                        184,758
BEN + JERRYS HOMEMADE INC                  DEFINED                2                         25,900
BENCHMARK ELECTRS INC                      DEFINED                2                          3,531
BERGEN BRUNSWIG CORP                       DEFINED                1                         11,450
BERGEN BRUNSWIG CORP                       DEFINED                2                         21,900
BERINGER WINE ESTATES HLDGS                DEFINED                2                         27,900
BERKLEY W R CORP                           DEFINED                2                          4,150
BERKLEY, W.R.                              DEFINED                1                         66,000
BERKSHIRE HATHAWAY INC                     DEFINED                2                            191
BERKSHIRE HATHAWAY INC DEL                 DEFINED                2                             68
BERKSHIRE HATHWAY INC                      DEFINED                1                         10,000
BEST BUY CO INC                            DEFINED                2                         11,600
BEST BUY INC                               DEFINED                1                         17,200
BEST FOODS INC                             DEFINED                1                         12,700
BESTFOODS                                  DEFINED                2                        105,217
BETHELEM STEEL  CORP                       DEFINED                1                          4,700
BEVERLY ENTERPRISES INC (new)              DEFINED                1                          9,000
BEYOND COM CORP                            DEFINED                2                         51,900
BG                                         DEFINED                2                         16,294
BIOGEN                                     DEFINED                1                         12,600
BIOGEN INC                                 DEFINED                2                         74,700
BIOMET INC                                 DEFINED                1                          4,600
BISYS GROUP INC                            DEFINED                2                         29,700
BJ SVCS CO                                 DEFINED                1                          6,400
BJ SVCS CO                                 DEFINED                2                        198,200
</TABLE>


                                  Page 6 of 49

<PAGE>   9
FILE NUMBER 28-219 (CONSOLIDATED)
AS OF 6/30/99


<TABLE>
<S>                                        <C>               <C>             <C>            <C>           <C>
BJS WHOLESALE CLUB                         COM               05548J106           37,320      1,241,400     SH
BJ'S WHOLESALE CLUB INC                    COM               05548J106              180          6,000     SH
BJS WHSL CLUB INC                          COM               05548J106              788         29,800     SH
BLACK & DECKER CORP                        COM               091797100              227          3,600     SH
BLACK BOX CORP                             COM               091826107              550         17,800     SH
BLACK HILLS CORP                           COM               092113109               45          1,950     SH
BLANCH E W HLDGS INC                       COM               093210102              184          3,500     SH
BLOCK H & R INC                            COM              0936711052              800          16000     SH
BMC SOFTWARE                               COM               055921100              502          9,300     SH
BMC SOFTWARE INC                           COM               055921100              990         26,700     SH
BOARDWALK EQUITIES INC                     COM               096613104                7            800     SH
BOB EVANS FARMS INC                        COM               096761101               74          3,700     SH
BOB EVANS FARMS INC                        COM               096761101              161          8,100     SH
BOEING CO                                  COM               097023105            1,411         37,690     SH
BOEING CO.                                 COM               097023105            1,620         36,826     SH
BOISE CASCADE CORP                         COM               097383103               86          2,000     SH
BORDERS GROUP INC                          COM               099709107              101          6,400     SH
BORDERS GROUP INC                          COM               099709107              203         14,400     SH
BORG WARNER AUTOMOTIVE INC                 COM               099724106              306          6,400     SH
BORG-WARNER AUTOMOTIVE INC                 COM               099724106              110          2,000     SH
BOSTON SCIENTIFIC                          COM               101137107              633         14,400     SH
BOSTON SCIENTIFIC CORP                     COM               101137107              933         23,000     SH
BOWATER INC                                COM               102183100              232          4,900     SH
BOWATER INC                                COM               102183100               83          2,100     SH
BOWNE + CO INC                             COM               103043105              141         12,100     SH
BOYDS COLLECTION LTD                       COM               103354106              427         23,700     SH
BP AMOCO PLC                               COM               055622104            1,319         12,684     SH
BRADLEY REAL ESTATE                        COM               104580105            4,324        208,400     SH
BRADLEY REAL ESTATE INC                    COM               104580105            4,140        199,500     SH
BRADLEY REAL ESTATE INC                    COM               104580105               78          4,300     SH
BRANDYWINE RLTY                            COM               105368203            6,613        333,800     SH
BRANDYWINE RLTY TR                         COM               105368203               86          5,300     SH
BRASIL DISTR PAO ACU-SP ADR                COM               20440T201              663         35,500     SH
BRE PROPERTIES                             COM               05564E106            4,264        164,000     SH
BRIGGS & STRATTON                          COM               109043109               52            900     SH
BRIGGS + STRATTON CORP                     COM               109043109               44            900     SH
BRIGHT HORIZON FAMILY                      COM               109195107           28,242      1,496,280     SH
BRIGHTSTAR INFORMATION                     COM               10947N104              119         31,000     SH
BRINKER INTERNATIONAL INC                  COM               109641100              149          5,400     SH
BRINKER INTL INC                           COM               109641100           17,149        623,600     SH
BRISTOL HOTEL                              COM               110041100              369         49,200     SH
BRISTOL MYERS SQUIBB                       COM               110122108           19,906        282,600     SH
BRISTOL MYERS SQUIBB                       COM               110122108            6,208         96,260     SH
BROADCOM CORP                              COM               111320107              486          7,900     SH
BROADVISION INC                            COM               111412102            4,626         77,400     SH
BROWN AND BROWN                            COM               115236101            4,452        117,150     SH
BROWN GROUP INC                            COM               115736100            9,657        444,000     SH
BROWN-FORMAN CORP CL B                     COM               115637209              163          2,500     SH
BROWNING FERRIS INDS INC                   COM               115885105              490         12,700     SH
BROWNING FERRIS INDUSTRIES                 COM               115885105              344          8,000     SH
</TABLE>



<TABLE>
<S>                                        <C>                    <C>                      <C>             <C>
BJS WHOLESALE CLUB                         DEFINED                3                      1,180,900         60,500
BJ'S WHOLESALE CLUB INC                    DEFINED                1                          6,000
BJS WHSL CLUB INC                          DEFINED                2                         29,800
BLACK & DECKER CORP                        DEFINED                1                          3,600
BLACK BOX CORP                             DEFINED                2                         17,800
BLACK HILLS CORP                           DEFINED                1                          1,950
BLANCH E W HLDGS INC                       DEFINED                2                          3,500
BLOCK H & R INC                            DEFINED                1                         16,000
BMC SOFTWARE                               DEFINED                1                          9,300
BMC SOFTWARE INC                           DEFINED                2                         26,700
BOARDWALK EQUITIES INC                     DEFINED                2                            800
BOB EVANS FARMS INC                        DEFINED                1                          3,700
BOB EVANS FARMS INC                        DEFINED                2                          8,100
BOEING CO                                  DEFINED                2                         37,690
BOEING CO.                                 DEFINED                1                         36,826
BOISE CASCADE CORP                         DEFINED                1                          2,000
BORDERS GROUP INC                          DEFINED                1                          6,400
BORDERS GROUP INC                          DEFINED                2                         14,400
BORG WARNER AUTOMOTIVE INC                 DEFINED                2                          6,400
BORG-WARNER AUTOMOTIVE INC                 DEFINED                1                          2,000
BOSTON SCIENTIFIC                          DEFINED                1                         14,400
BOSTON SCIENTIFIC CORP                     DEFINED                2                         23,000
BOWATER INC                                DEFINED                1                          4,900
BOWATER INC                                DEFINED                2                          2,100
BOWNE + CO INC                             DEFINED                2                         12,100
BOYDS COLLECTION LTD                       DEFINED                2                         23,700
BP AMOCO PLC                               DEFINED                2                         12,684
BRADLEY REAL ESTATE                        DEFINED                3                        172,000         36,400
BRADLEY REAL ESTATE INC                    DEFINED                1                        199,500
BRADLEY REAL ESTATE INC                    DEFINED                2                          4,300
BRANDYWINE RLTY                            DEFINED                3                        275,500         58,300
BRANDYWINE RLTY TR                         DEFINED                2                          5,300
BRASIL DISTR PAO ACU-SP ADR                DEFINED                1                         35,500
BRE PROPERTIES                             DEFINED                3                        134,900         29,100
BRIGGS & STRATTON                          DEFINED                1                            900
BRIGGS + STRATTON CORP                     DEFINED                2                            900
BRIGHT HORIZON FAMILY                      DEFINED                3                      1,496,280
BRIGHTSTAR INFORMATION                     DEFINED                2                         31,000
BRINKER INTERNATIONAL INC                  DEFINED                1                          5,400
BRINKER INTL INC                           DEFINED                3                        582,800         40,800
BRISTOL HOTEL                              DEFINED                3                         49,200
BRISTOL MYERS SQUIBB                       DEFINED                1                        282,600
BRISTOL MYERS SQUIBB                       DEFINED                2                         96,260
BROADCOM CORP                              DEFINED                2                          7,900
BROADVISION INC                            DEFINED                2                         77,400
BROWN AND BROWN                            DEFINED                1                        117,150
BROWN GROUP INC                            DEFINED                3                        444,000
BROWN-FORMAN CORP CL B                     DEFINED                1                          2,500
BROWNING FERRIS INDS INC                   DEFINED                2                         12,700
BROWNING FERRIS INDUSTRIES                 DEFINED                1                          8,000
</TABLE>


                                  Page 7 of 49

<PAGE>   10
FILE NUMBER 28-219 (CONSOLIDATED)
AS OF 6/30/99


<TABLE>
<S>                                        <C>               <C>           <C>           <C>         <C>
BRUNSWICK CORP                             COM               117043109           98          3,500     SH
BRUNSWICK CORP                             COM               117043109          135          7,100     SH
BUDGET GROUP INC                           COM               119003101        1,611        130,874     SH
BUDGET GROUP INC                           COM               119003101           98          8,000     SH
BUFFETS INC                                COM               119882108           47          4,100     SH
BURLINGTON INDUSTRIES EQUITY INC           COM               121693105           50          5,400     SH
BURLINGTON NORTHERN SANTA FE               COM               12189T104          564         18,310     SH
BURLINGTON NORTHN SANTA FE                 COM               12189T104        4,241        129,000     SH
BURLINGTON RES INC                         COM               122014103          192          4,800     SH
BURLINGTON RESOURCES                       COM               122014103          286          6,624     SH
BURNHAM PAC PPTYS                          COM               12232C108        4,079        331,300     SH
BURR BROWN                                 COM               122574106          618         26,300     SH
BUSH BOAKE ALLEN INC                       COM               123162109          275         10,000     SH
C D I CORP                                 COM               125071100          106          4,400     SH
C H ROBINSON WORLDWIDE                     COM               12541W100          732         28,900     SH
C.R. BARD                                  COM               067383109           77          1,600     SH
CABLE + WIRELESS                           COM               016255903          378         30,334     SH
CABLE DESIGN TECHNOLOGIES CORP             COM               126924109          132         12,000     SH
CABLETRON SYSTEMS INC                      COM               126920107           77          5,900     SH
CABLEVISION SYS CORP                       COM               12686C109        4,249         57,320     SH
CABOT CORP                                 COM               127055101          150          6,200     SH
CADBURY SCHWEPPES                          COM               016124000          302         21,000     SH
CADENCE DESIGN SYSTEMS INC.                COM               127387108          274         21,700     SH
CALIBER LEARNING NETWORK INC               COM               129914107          147         37,700     SH
CALLAWAY GOLF CO                           COM               131193104           89          6,100     SH
CALPINE CORP                               COM               131347106          215          5,900     SH
CAMBRIDGE TECH PARTNERS INC                COM               132524109           88          5,000     SH
CAMBRIDGE TECHNOLOGY PARNERS M             COM               132524109        1,388        100,000     SH
CAMBRIDGE TECHNOLOGY PARNERS M             COM               132524109          339         24,400     SH
CAMDEN PPTY                                COM               133131102       11,935        430,100     SH
CAMDEN PROPERTY TRUST                      COM               133131102        4,579        165,000     SH
CAMPBELL SOUP COMPANY                      COM               134429109          844         18,200     SH
CANADIAN NATL RY CO                        COM               136375102          139          2,500     SH
CANADIAN PACIFIC                           COM               135923100        1,435         62,400     SH
CANANDAIGUA WINE INC                       COM               137219200           70          1,400     SH
CANDLEWOOD HTL                             COM               13741M108        1,495        398,700     SH
CAPITAL ONE FINANCIAL CORP                 COM               14040H105          373          6,700     SH
CAPITAL ONE FINL CORP                      COM               14040H105       12,609         83,500     SH
CAPITAL RE CORP                            COM               140432105           79          4,600     SH
CAPITOL TRANSAMERICA CORP                  COM               140640103        1,601        120,800     SH
CAPSTAR BROADCASTING                       COM               14067g105        3,301        120,600     SH
CAPTEC NET LEASE RLTY                      COM               140724105        6,005        442,800     SH
CARAUSTAR INDS INC                         COM               140909102           80          3,500     SH
CARDIAC SCIENCE INC.                       COM               141410209            2            578     SH
CARDINAL HEALTH INC                        COM               14149Y108          616          9,600     SH
CARDINAL HEALTH INC                        COM               14149Y108        9,900        150,000     SH
CAREER ED CORP                             COM               141665109        1,731         50,000     SH
CARLISLE COS INC                           COM               142339100          130          2,700     SH
CARLISLE COS INC                           COM               142339100          173          3,700     SH
CARNIVAL CORP                              COM               143658102        7,006        144,275     SH
</TABLE>



<TABLE>
<S>                                        <C>                    <C>                      <C>             <C>
BRUNSWICK CORP                             DEFINED                1                          3,500
BRUNSWICK CORP                             DEFINED                2                          7,100
BUDGET GROUP INC                           DEFINED                1                        130,874
BUDGET GROUP INC                           DEFINED                2                          8,000
BUFFETS INC                                DEFINED                1                          4,100
BURLINGTON INDUSTRIES EQUITY INC           DEFINED                1                          5,400
BURLINGTON NORTHERN SANTA FE               DEFINED                1                         18,310
BURLINGTON NORTHN SANTA FE                 DEFINED                2                        129,000
BURLINGTON RES INC                         DEFINED                2                          4,800
BURLINGTON RESOURCES                       DEFINED                1                          6,624
BURNHAM PAC PPTYS                          DEFINED                3                        273,400         57,900
BURR BROWN                                 DEFINED                2                         26,300
BUSH BOAKE ALLEN INC                       DEFINED                2                         10,000
C D I CORP                                 DEFINED                2                          4,400
C H ROBINSON WORLDWIDE                     DEFINED                2                         28,900
C.R. BARD                                  DEFINED                1                          1,600
CABLE + WIRELESS                           DEFINED                2                         30,334
CABLE DESIGN TECHNOLOGIES CORP             DEFINED                2                         12,000
CABLETRON SYSTEMS INC                      DEFINED                1                          5,900
CABLEVISION SYS CORP                       DEFINED                2                         57,320
CABOT CORP                                 DEFINED                1                          6,200
CADBURY SCHWEPPES                          DEFINED                2                         21,000
CADENCE DESIGN SYSTEMS INC.                DEFINED                1                         21,700
CALIBER LEARNING NETWORK INC               DEFINED                2                         37,700
CALLAWAY GOLF CO                           DEFINED                1                          6,100
CALPINE CORP                               DEFINED                2                          5,900
CAMBRIDGE TECH PARTNERS INC                DEFINED                1                          5,000
CAMBRIDGE TECHNOLOGY PARNERS M             DEFINED                2                        100,000
CAMBRIDGE TECHNOLOGY PARNERS M             DEFINED                2                         24,400
CAMDEN PPTY                                DEFINED                3                        353,500         76,600
CAMDEN PROPERTY TRUST                      DEFINED                1                        165,000
CAMPBELL SOUP COMPANY                      DEFINED                1                         18,200
CANADIAN NATL RY CO                        DEFINED                2                          2,500
CANADIAN PACIFIC                           DEFINED                1                         62,400
CANANDAIGUA WINE INC                       DEFINED                2                          1,400
CANDLEWOOD HTL                             DEFINED                3                        320,200         78,500
CAPITAL ONE FINANCIAL CORP                 DEFINED                1                          6,700
CAPITAL ONE FINL CORP                      DEFINED                2                         83,500
CAPITAL RE CORP                            DEFINED                2                          4,600
CAPITOL TRANSAMERICA CORP                  DEFINED                1                        120,800
CAPSTAR BROADCASTING                       DEFINED                3                         96,000         24,600
CAPTEC NET LEASE RLTY                      DEFINED                3                        370,700         72,100
CARAUSTAR INDS INC                         DEFINED                2                          3,500
CARDIAC SCIENCE INC.                       DEFINED                1                            578
CARDINAL HEALTH INC                        DEFINED                1                          9,600
CARDINAL HEALTH INC                        DEFINED                2                        150,000
CAREER ED CORP                             DEFINED                2                         50,000
CARLISLE COS INC                           DEFINED                1                          2,700
CARLISLE COS INC                           DEFINED                2                          3,700
CARNIVAL CORP                              DEFINED                2                        144,275
</TABLE>


                                  Page 8 of 49

<PAGE>   11
FILE NUMBER 28-219 (CONSOLIDATED)
AS OF 6/30/99


<TABLE>
<S>                                        <C>               <C>           <C>           <C>         <C>
CARNIVAL CORP CLASS A                      COM               143658102        1,130         23,300     SH
CAROLINA POWER AND LIGHT                   COM               144141108          253          5,900     SH
CARPENTER TECHNOLOGY                       COM               144285103           49          1,700     SH
CARPENTER TECHNOLOGY CORP                  COM               144285103          493         19,000     SH
CARRAMERICA REALTY                         COM               144418100       12,238        489,500     SH
CARRIAGE SVCS INC                          COM               143905107        1,187         63,500     SH
CARTER WALLACE INC                         COM               146285101           64          3,500     SH
CASCADE NAT GAS CORP                       COM               147339105          363         24,300     SH
CASE CORP                                  COM               14743R103          149          3,100     SH
CATALINA MARKETING CORP                    COM               148867104        1,718         20,000     SH
CATAPULT COMMUNICATIONS CORP               COM               149016107           69          5,000     SH
CATELLUS DEV CORP                          COM               149111106          115          8,600     SH
CATERPILLAR INC                            COM               149123101        4,993        108,689     SH
CATERPILLAR INC.                           COM               149123101          918         15,300     SH
CB RICHARD ELLIS SVCS INC                  COM               12489L108          450         27,300     SH
CBL + ASSOC PPTYS INC                      COM               124830100           88          3,800     SH
CBRL GROUP INC                             COM               12489V106           92          5,300     SH
CBRL GROUP INC                             COM               12489V106          108          6,000     SH
CBS CORP                                   COM               12490K107        7,892        192,700     SH
CBS CORPORATION                            COM               12490K107        1,167         26,800     SH
CBT GROUP PUB LTD                          COM               124853300           29          2,527     SH
CCB FINANCIAL CORP                         COM               124875105          185          3,500     SH
CCB FINL CORP                              COM               124875105          487          9,000     SH
CCC INFORMATION SERVICE GROUP INC          COM               12487Q109        1,545        120,000     SH
CELLSTAR CORP                              COM               150925105          138         13,300     SH
CEMENTOS DIAMANTE S.A. - ADR               COM               151261104          119          9,600     SH
CEMIG-ENERGETICA DE MINAS GERAIS-ADR       COM              2044096012        1,066         51,090     SH
CENDANT CORP                               COM               151313103            7            324     SH
CENDANT CORPORATION                        COM               151313103          642         31,318     SH
CENTERPOINT PPTYS TR                       COM               151895109           72          2,300     SH
CENTERPOINT PPTYS TR                       COM               151895109            3            100     SH
CENTEX CORP                                COM               152312104           75          2,000     SH
CENTOCOR INC                               COM               152342101          654         17,700     SH
CENTOCOR INC.                              COM               152342101          280          6,000     SH
CENTRAIS ELEC BRAS-SP ADR CM               COM               15234Q207          401         42,400     SH
CENTRAL + SOUTH WEST CORP                  COM               152357109          117          5,000     SH
CENTRAL AND SOUTHWEST CORP                 COM               152357109          192          8,200     SH
CENTRAL EUROPEAN MEDIA ENT LTD             COM               G20045103          466         37,300     SH
CENTRAL GARDEN + PET CO                    COM               153527106          597         35,400     SH
CENTURY TEL ENTERPRISES INC                COM               156686107        4,229         60,200     SH
CENTURYTEL INC                             COM               156700106          239          6,000     SH
CERIDIAN CORP                              COM               15677T106          193          5,900     SH
CHAMPION INTERNATIONAL CORP                COM               158525105          182          3,800     SH
CHAMPIONSHIP AUTO RACING TEAM              COM               158711101          507         17,400     SH
CHARTER ONE FINANCIAL, INC.                COM               160903100          426         15,300     SH
CHARTER ONE FINL INC                       COM               160903100       37,975      1,365,383     SH
CHARTWELL RE CORP                          COM               16139W109           43          2,500     SH
CHASE MANHATTAN CORP NEW                   COM               16161A108       22,889        281,500     SH
CHASE MANHATTAN CORP(new)                  COM              16161A1088       26,363        304,776     SH
CHATEAU CMNTYS INC                         COM               161726104          116          4,200     SH
</TABLE>



<TABLE>
<S>                                        <C>                    <C>                      <C>             <C>
CARNIVAL CORP CLASS A                      DEFINED                1                         23,300
CAROLINA POWER AND LIGHT                   DEFINED                1                          5,900
CARPENTER TECHNOLOGY                       DEFINED                1                          1,700
CARPENTER TECHNOLOGY CORP                  DEFINED                2                         19,000
CARRAMERICA REALTY                         DEFINED                3                        403,600         85,900
CARRIAGE SVCS INC                          DEFINED                3                         63,500
CARTER WALLACE INC                         DEFINED                1                          3,500
CASCADE NAT GAS CORP                       DEFINED                2                         24,300
CASE CORP                                  DEFINED                1                          3,100
CATALINA MARKETING CORP                    DEFINED                2                         20,000
CATAPULT COMMUNICATIONS CORP               DEFINED                2                          5,000
CATELLUS DEV CORP                          DEFINED                2                          8,600
CATERPILLAR INC                            DEFINED                2                        108,689
CATERPILLAR INC.                           DEFINED                1                         15,300
CB RICHARD ELLIS SVCS INC                  DEFINED                2                         27,300
CBL + ASSOC PPTYS INC                      DEFINED                2                          3,800
CBRL GROUP INC                             DEFINED                1                          5,300
CBRL GROUP INC                             DEFINED                2                          6,000
CBS CORP                                   DEFINED                2                        192,700
CBS CORPORATION                            DEFINED                1                         26,800
CBT GROUP PUB LTD                          DEFINED                2                          2,527
CCB FINANCIAL CORP                         DEFINED                1                          3,500
CCB FINL CORP                              DEFINED                2                          9,000
CCC INFORMATION SERVICE GROUP INC          DEFINED                1                        120,000
CELLSTAR CORP                              DEFINED                2                         13,300
CEMENTOS DIAMANTE S.A. - ADR               DEFINED                1                          9,600
CEMIG-ENERGETICA DE MINAS GERAIS-ADR       DEFINED                1                         51,090
CENDANT CORP                               DEFINED                2                            324
CENDANT CORPORATION                        DEFINED                1                         31,318
CENTERPOINT PPTYS TR                       DEFINED                2                          2,300
CENTERPOINT PPTYS TR                       DEFINED                2                            100
CENTEX CORP                                DEFINED                1                          2,000
CENTOCOR INC                               DEFINED                2                         17,700
CENTOCOR INC.                              DEFINED                1                          6,000
CENTRAIS ELEC BRAS-SP ADR CM               DEFINED                1                         42,400
CENTRAL + SOUTH WEST CORP                  DEFINED                2                          5,000
CENTRAL AND SOUTHWEST CORP                 DEFINED                1                          8,200
CENTRAL EUROPEAN MEDIA ENT LTD             DEFINED                2                         37,300
CENTRAL GARDEN + PET CO                    DEFINED                2                         35,400
CENTURY TEL ENTERPRISES INC                DEFINED                2                         60,200
CENTURYTEL INC                             DEFINED                1                          6,000
CERIDIAN CORP                              DEFINED                1                          5,900
CHAMPION INTERNATIONAL CORP                DEFINED                1                          3,800
CHAMPIONSHIP AUTO RACING TEAM              DEFINED                2                         17,400
CHARTER ONE FINANCIAL, INC.                DEFINED                1                         15,300
CHARTER ONE FINL INC                       DEFINED                3                      1,286,259         79,124
CHARTWELL RE CORP                          DEFINED                2                          2,500
CHASE MANHATTAN CORP NEW                   DEFINED                2                        281,500
CHASE MANHATTAN CORP(new)                  DEFINED                1                        304,776
CHATEAU CMNTYS INC                         DEFINED                2                          4,200
</TABLE>


                                  Page 9 of 49

<PAGE>   12
FILE NUMBER 28-219 (CONSOLIDATED)
AS OF 6/30/99


<TABLE>
<S>                                        <C>               <C>             <C>           <C>         <C>
CHATEAU COMMUNITIES                        COM               161726104        3,362        112,300     SH
CHATEAU COMMUNITIES INC.                   COM               161726104        4,640        155,000     SH
CHECKFREE HLDGS CORP                       COM               162816102        2,171         51,010     SH
CHEESECAKE FACTORY                         COM               163072101       31,545      1,034,250     SH
CHESAPEAKE CORP                            COM               165159104           75          2,000     SH
CHESAPEAKE CORP                            COM               165159104           62          2,300     SH
CHEVRON CORP                               COM               166751107       12,061        136,379     SH
CHEVRON CORPORATION                        COM               166751107       19,968        210,050     SH
CHICOS FAS INC                             COM               168615102        1,217         51,800     SH
CHIEFTAIN INTL INC                         COM               16867C101          306         25,000     SH
CHILDRENS PL RETAIL STORES INC             COM               168905107            5            200     SH
CHILECTRA S A                              COM               168884104            9            422     SH
CHIQUITA BRANDS INTL INC                   COM               170032502          313          7,000     SH
CHIRON CORP                                COM               170040109          329         15,000     SH
CHIRON CORP.                               COM               170040109          338         16,300     SH
CHRIS CRAFT INDS INC                       COM               170520100          117          2,481     SH
CHUBB CORP                                 COM               171232101          848         12,200     SH
CHUBB CORP                                 COM               171232101        1,605         27,400     SH
CHURCH & DWIGHT INC                        COM               171340102           74          1,700     SH
CIA ANONIMA NACL TELEF DE VENEZUELA-A      COM               204421101        1,259         46,200     SH
CIA CERVEJARIA BRAHMA-SP ADR               COM               20440X103          632         55,900     SH
CIA DE MINAS BUENAVENTURA - ADR            COM               204448104          507         33,102     SH
CIA PARANAENSE ENER-SP ADR                 COM               20441B407          501         59,850     SH
CIA TELECOM CHILE-SPONS ADR                COM               204449300          705         28,500     SH
CIA VALE DO RIO DOCE-ADR                   COM               204412100        1,064         53,600     SH
CIBER INC                                  COM               17163B102          290         15,100     SH
CIENA CORP                                 COM               171779101          450         20,000     SH
CIFRA S.A. DE C.V. ADR  Series V           COM               171785405          244         12,745     SH
CIGNA CORP                                 COM               125509109          730          8,200     SH
CINAR CORP                                 COM               171905300          968         43,000     SH
CINAR CORPORATION                          COM               171905300       71,070      2,900,800     SH
CINCINNATI BELL                            COM               171870108          289         11,600     SH
CINCINNATI BELL INC                        COM               171870108          523         23,300     SH
CINCINNATI FINANCIAL CORPORATION           COM               172062101          201          5,350     SH
CINERGY CORP                               COM               172474108          195          6,100     SH
CINTAS CORP                                COM               172908105          645          9,600     SH
CINTAS CORP                                COM               172908105          411          6,300     SH
CIRCLE INTL GROUP INC                      COM               172574105           60          4,200     SH
CIRCUIT CITY STORES INC                    COM               172737108          942         12,300     SH
CIRCUIT CITY STORES-CIRCUIT CITY GROU      COM               172737108          363          3,900     SH
CIRRUS LOGIC, INCORPORATED                 COM               172755100           50          5,600     SH
CISCO SYS INC                              COM               17275R102       31,567        288,440     SH
CISCO SYSTEMS INC.                         COM               17275R102       38,753        601,400     SH
CIT GROUP INC                              COM               125577106          568         18,600     SH
CITIGROUP INC                              COM               172967101       30,598        644,162     SH
CITIGROUP INC                              COM               172967101       43,938        698,726     SH
CITRIX SYS INC                             COM               177376100        2,769         72,800     SH
CITRIX SYSTEMS INC                         COM               177376100          396          7,000     SH
CITY NATL CORP                             COM               178566105          150          4,000     SH
CLAIRE S STORES INC                        COM               179584107        1,022         34,000     SH
</TABLE>



<TABLE>
<S>                                        <C>                    <C>                      <C>             <C>
CHATEAU COMMUNITIES                        DEFINED                3                         90,800         21,500
CHATEAU COMMUNITIES INC.                   DEFINED                1                        155,000
CHECKFREE HLDGS CORP                       DEFINED                2                         51,010
CHEESECAKE FACTORY                         DEFINED                3                      1,012,300         21,950
CHESAPEAKE CORP                            DEFINED                1                          2,000
CHESAPEAKE CORP                            DEFINED                2                          2,300
CHEVRON CORP                               DEFINED                2                        136,379
CHEVRON CORPORATION                        DEFINED                1                        210,050
CHICOS FAS INC                             DEFINED                3                         51,800
CHIEFTAIN INTL INC                         DEFINED                2                         25,000
CHILDRENS PL RETAIL STORES INC             DEFINED                2                            200
CHILECTRA S A                              DEFINED                2                            422
CHIQUITA BRANDS INTL INC                   DEFINED                2                          7,000
CHIRON CORP                                DEFINED                2                         15,000
CHIRON CORP.                               DEFINED                1                         16,300
CHRIS CRAFT INDS INC                       DEFINED                1                          2,481
CHUBB CORP                                 DEFINED                1                         12,200
CHUBB CORP                                 DEFINED                2                         27,400
CHURCH & DWIGHT INC                        DEFINED                1                          1,700
CIA ANONIMA NACL TELEF DE VENEZUELA-A      DEFINED                1                         46,200
CIA CERVEJARIA BRAHMA-SP ADR               DEFINED                1                         55,900
CIA DE MINAS BUENAVENTURA - ADR            DEFINED                1                         33,102
CIA PARANAENSE ENER-SP ADR                 DEFINED                1                         59,850
CIA TELECOM CHILE-SPONS ADR                DEFINED                1                         28,500
CIA VALE DO RIO DOCE-ADR                   DEFINED                1                         53,600
CIBER INC                                  DEFINED                2                         15,100
CIENA CORP                                 DEFINED                2                         20,000
CIFRA S.A. DE C.V. ADR  Series V           DEFINED                1                         12,745
CIGNA CORP                                 DEFINED                1                          8,200
CINAR CORP                                 DEFINED                2                         43,000
CINAR CORPORATION                          DEFINED                3                      2,845,600         55,200
CINCINNATI BELL                            DEFINED                1                         11,600
CINCINNATI BELL INC                        DEFINED                2                         23,300
CINCINNATI FINANCIAL CORPORATION           DEFINED                1                          5,350
CINERGY CORP                               DEFINED                1                          6,100
CINTAS CORP                                DEFINED                1                          9,600
CINTAS CORP                                DEFINED                2                          6,300
CIRCLE INTL GROUP INC                      DEFINED                2                          4,200
CIRCUIT CITY STORES INC                    DEFINED                2                         12,300
CIRCUIT CITY STORES-CIRCUIT CITY GROU      DEFINED                1                          3,900
CIRRUS LOGIC, INCORPORATED                 DEFINED                1                          5,600
CISCO SYS INC                              DEFINED                2                        288,440
CISCO SYSTEMS INC.                         DEFINED                1                        601,400
CIT GROUP INC                              DEFINED                2                         18,600
CITIGROUP INC                              DEFINED                1                        644,162
CITIGROUP INC                              DEFINED                2                        698,726
CITRIX SYS INC                             DEFINED                2                         72,800
CITRIX SYSTEMS INC                         DEFINED                1                          7,000
CITY NATL CORP                             DEFINED                1                          4,000
CLAIRE S STORES INC                        DEFINED                2                         34,000
</TABLE>


                                  Page 10 of 49

<PAGE>   13
FILE NUMBER 28-219 (CONSOLIDATED)
AS OF 6/30/99


<TABLE>
<S>                                        <C>               <C>             <C>             <C>         <C>
CLAIRE'S STORES INC                        COM               179584107          108          4,200     SH
CLAYTON HOMES INC                          COM               184190106          148         12,968     SH
CLEAR CHANNEL COMMUN                       COM               184502102       95,459      1,384,714     SH
CLEAR CHANNEL COMMUNICATIONS               COM               184502102          724         10,500     SH
CLEAR CHANNEL COMMUNICATIONS               COM               184502102       20,736        309,200     SH
CLECO CORPORATION                          COM               12561M107           61          2,000     SH
CLEVELAND CLIFFS INC                       COM               185896107           32          1,000     SH
CLEVELAND CLIFFS INC                       COM               185896107           61          1,800     SH
CLOROX CO.                                 COM               189054109          427          4,000     SH
CMAC INVT CORP                             COM               125662106          312          8,000     SH
CMG INFORMATION SVCS INC                   COM               125750109        4,832         26,400     SH
CMP GROUP INC                              COM               125887109           73          2,800     SH
CMS ENERGY CORP                            COM               125896100          184          4,400     SH
CNF TRANSN INC                             COM               12612W104          787         20,800     SH
CNF TRANSPORTATION                         COM               12612W104          169          4,400     SH
COACH USA INC                              COM               18975L106          446         16,200     SH
COAST FEDERAL LITIGATION TR                COM               19034Q110            9          1,500     SH
COASTAL CORP                               COM               190441105          326          8,100     SH
COASTAL CORP                               COM               190441105        4,335        107,700     SH
COCA COLA                                  COM               191216100        5,927         95,600     SH
COCA COLA CO                               COM               191216100        1,384         22,545     SH
COCA COLA ENTERPRISES INC                  COM               191219104          743         24,550     SH
COCA-COLA ENTERPRISES                      COM               191219104          470         15,800     SH
COGNEX CORP                                COM               192422103          471         20,100     SH
COGNOS INC                                 COM               19244C109          503         21,500     SH
COINSTAR INC                               COM               19259P300        7,172        250,000     SH
COLE NATL CORP                             COM               193290103           88          4,800     SH
COLGATE PALMOLIVE CO                       COM               194162103          285          3,100     SH
COLGATE-PALMOLIVE                          COM               194162103        1,807         18,350     SH
COLONIAL PROPERTIES TRUST                  COM               195872106       17,275        611,500     SH
COLT TELECOM GROUP                         COM               042469908          563         31,300     SH
COLUMBIA / HCA HEALTHCARE CORP             COM               197677107          394         20,787     SH
COLUMBIA ENERGY GROUP                      COM               197648108          213          3,400     SH
COLUMBIA/HCA HEALTHCARE CO                 COM               197677107          601         26,350     SH
COMAIR HLDGS INC                           COM               199789108          408         17,250     SH
COMAIR HOLDINGS                            COM               199789108          178          8,550     SH
COMCAST CORP                               COM               200300200       14,132        224,540     SH
COMCAST CORP. SPECIAL CL A                 COM               200300200        1,061         27,600     SH
COMDISCO                                   COM               200336105          336         13,100     SH
COMERICA INC                               COM               200340107          392          6,600     SH
COMMSCOPE INC                              COM               203372107       30,818      1,002,200     SH
COMMUNICATIONS SATELLITE CORP SERIES       COM               20564D107          137          4,200     SH
COMMUNITY BK SYS INC                       COM               203607106          262         11,000     SH
COMPANHIA BRASILEIRA DE DISTR              COM               20440T201           15          1,000     SH
COMPANHIA ENERGETICA DE MINAS              COM               204409601           42          1,888     SH
COMPANHIA ENERGETICA DE MINAS GERAIS       COM               204409601          470         22,500     SH
COMPANIA TELECOMUNICACIONES CHILE ADR      COM              2044493003        1,103         44,550     SH
COMPAQ COMPUTER                            COM               204493100        2,318         97,844     SH
COMPAQ COMPUTER CORP                       COM               204493100        1,782         61,519     SH
COMPASS BANCSHARES INC                     COM               20449H109          518         15,000     SH
</TABLE>



<TABLE>
<S>                                        <C>                    <C>                      <C>             <C>
CLAIRE'S STORES INC                        DEFINED                1                          4,200
CLAYTON HOMES INC                          DEFINED                1                         12,968
CLEAR CHANNEL COMMUN                       DEFINED                3                      1,339,844         44,870
CLEAR CHANNEL COMMUNICATIONS               DEFINED                1                         10,500
CLEAR CHANNEL COMMUNICATIONS               DEFINED                2                        309,200
CLECO CORPORATION                          DEFINED                1                          2,000
CLEVELAND CLIFFS INC                       DEFINED                1                          1,000
CLEVELAND CLIFFS INC                       DEFINED                2                          1,800
CLOROX CO.                                 DEFINED                1                          4,000
CMAC INVT CORP                             DEFINED                2                          8,000
CMG INFORMATION SVCS INC                   DEFINED                2                         26,400
CMP GROUP INC                              DEFINED                1                          2,800
CMS ENERGY CORP                            DEFINED                1                          4,400
CNF TRANSN INC                             DEFINED                2                         20,800
CNF TRANSPORTATION                         DEFINED                1                          4,400
COACH USA INC                              DEFINED                2                         16,200
COAST FEDERAL LITIGATION TR                DEFINED                2                          1,500
COASTAL CORP                               DEFINED                1                          8,100
COASTAL CORP                               DEFINED                3                         92,700         15,000
COCA COLA                                  DEFINED                1                         95,600
COCA COLA CO                               DEFINED                2                         22,545
COCA COLA ENTERPRISES INC                  DEFINED                2                         24,550
COCA-COLA ENTERPRISES                      DEFINED                1                         15,800
COGNEX CORP                                DEFINED                2                         20,100
COGNOS INC                                 DEFINED                2                         21,500
COINSTAR INC                               DEFINED                3                        250,000
COLE NATL CORP                             DEFINED                2                          4,800
COLGATE PALMOLIVE CO                       DEFINED                2                          3,100
COLGATE-PALMOLIVE                          DEFINED                1                         18,350
COLONIAL PROPERTIES TRUST                  DEFINED                1                        611,500
COLT TELECOM GROUP                         DEFINED                2                         31,300
COLUMBIA / HCA HEALTHCARE CORP             DEFINED                2                         20,787
COLUMBIA ENERGY GROUP                      DEFINED                1                          3,400
COLUMBIA/HCA HEALTHCARE CO                 DEFINED                1                         26,350
COMAIR HLDGS INC                           DEFINED                2                         17,250
COMAIR HOLDINGS                            DEFINED                1                          8,550
COMCAST CORP                               DEFINED                2                        224,540
COMCAST CORP. SPECIAL CL A                 DEFINED                1                         27,600
COMDISCO                                   DEFINED                1                         13,100
COMERICA INC                               DEFINED                1                          6,600
COMMSCOPE INC                              DEFINED                3                        982,000         20,200
COMMUNICATIONS SATELLITE CORP SERIES       DEFINED                1                          4,200
COMMUNITY BK SYS INC                       DEFINED                2                         11,000
COMPANHIA BRASILEIRA DE DISTR              DEFINED                2                          1,000
COMPANHIA ENERGETICA DE MINAS              DEFINED                2                          1,888
COMPANHIA ENERGETICA DE MINAS GERAIS       DEFINED                1                         22,500
COMPANIA TELECOMUNICACIONES CHILE ADR      DEFINED                1                         44,550
COMPAQ COMPUTER                            DEFINED                1                         97,844
COMPAQ COMPUTER CORP                       DEFINED                2                         61,519
COMPASS BANCSHARES INC                     DEFINED                2                         15,000
</TABLE>


                                  Page 11 of 49

<PAGE>   14
FILE NUMBER 28-219 (CONSOLIDATED)
AS OF 6/30/99


<TABLE>
<S>                                        <C>               <C>             <C>            <C>         <C>
COMPASS GROUP                              COM               028801900          796         68,800     SH
COMPUSA INC                                COM               204932107           64          8,600     SH
COMPUTER ASSOC INTL INC                    COM               204912109          960         27,000     SH
COMPUTER ASSOCIATES INT'L                  COM               204912109       15,867        289,800     SH
COMPUTER HORIZONS CORP                     COM               205908106          301         27,500     SH
COMPUTER SCIENCES CORP                     COM               205363104          422          6,100     SH
COMPUTER SCIENCES CORP                     COM               205363104       14,901        270,000     SH
COMPUWARE CORP                             COM               205638109          452         14,200     SH
COMVERSE TECH                              COM               205862402          419          5,550     SH
CONAGRA                                    COM               205887102          511         19,200     SH
CONAGRA INC                                COM               205887102        4,931        192,882     SH
CONCENTRA MANAGED CARE                     COM               20589T103       15,978      1,078,700     SH
CONCENTRA MANAGED CARE INC                 COM               20589T103           61          4,100     SH
CONCENTRA MANAGED CARE INC                 COM               20589T103          551         38,000     SH
CONCENTRIC NETWORK CORP DEL                COM               20589R107          599          8,000     SH
CONCORD COMMUNICATIONS INC                 COM               206186108          241          4,300     SH
CONCORD EFS INC                            COM               206197105          449         10,600     SH
CONCORD EFS INC                            COM               206197105          829         30,200     SH
CONCORD EFS INC                            COM               206197105        9,495        224,400     SH
CONECTIV INC                               COM               206829103          200          8,200     SH
CONEXANT SYSTEMS                           COM               207142100        4,697         80,900     SH
CONEXANT SYSTEMS INC                       COM               207142100           73          1,250     SH
CONMED CORP                                COM               207410101          164          5,300     SH
CONOCO INC                                 COM               208251306          160          5,855     SH
CONSECO INC                                COM               208464107           56          1,800     SH
CONSECO INC.                               COM               208464107          372         12,206     SH
CONSOLIDATED EDISON INC                    COM               209115104        1,317         29,100     SH
CONSOLIDATED EDISON INC                    COM               209115104           18            400     SH
CONSOLIDATED NATURAL GAS CO.               COM               209615103          231          3,800     SH
CONSOLIDATED PAPER INC                     COM               209759109          209          7,800     SH
CONSOLIDATED PAPERS INC                    COM               209759109          940         40,000     SH
CONSOLIDATED STORES CORP                   COM               210149100          485         16,000     SH
CONSOLIDATED STORES CORPORATION            COM               210149100          119          4,400     SH
CONSTELLATION ENERGY GROUP                 COM               210371100          172          5,800     SH
CONTINENTAL AIRLS INC                      COM               210795308          836         22,000     SH
CONVERGYS CORPORATION                      COM               212485106          271         14,000     SH
COOPER CAMERON CORP                        COM               216640102          722         21,300     SH
COOPER INDS INC                            COM               216669101           38            900     SH
COOPER INDUSTRIES                          COM               216669101          276          5,300     SH
COOPER TIRE & RUBBER                       COM               216831107           73          3,100     SH
COOPER TIRE + RUBR CO                      COM               216831107        4,606        250,645     SH
COORS (ADOLPH) - CL B                      COM               217016104           54          1,100     SH
COPART INC                                 COM               217204106          132          6,400     SH
CORDANT TECHNOLOGIES INC                   COM               218412104          145          3,200     SH
CORN PRODUCTS INTL INC                     COM               219023108          110          4,600     SH
CORNERSTONE PPTYS                          COM               21922h103       10,333        650,900     SH
CORNING INC.                               COM               219350105          631          9,000     SH
CORPORATE EXEC BRD                         COM               21988R102        6,223        175,000     SH
CORPORATE EXECUTIVE BRD CO                 COM               21988R102           26          1,000     SH
CORPORATE EXPRESS INC                      COM               219881042            0          3,901     SH
</TABLE>



<TABLE>
<S>                                        <C>                    <C>                      <C>             <C>
COMPASS GROUP                              DEFINED                2                         68,800
COMPUSA INC                                DEFINED                1                          8,600
COMPUTER ASSOC INTL INC                    DEFINED                2                         27,000
COMPUTER ASSOCIATES INT'L                  DEFINED                1                        289,800
COMPUTER HORIZONS CORP                     DEFINED                2                         27,500
COMPUTER SCIENCES CORP                     DEFINED                1                          6,100
COMPUTER SCIENCES CORP                     DEFINED                2                        270,000
COMPUWARE CORP                             DEFINED                1                         14,200
COMVERSE TECH                              DEFINED                1                          5,550
CONAGRA                                    DEFINED                1                         19,200
CONAGRA INC                                DEFINED                2                        192,882
CONCENTRA MANAGED CARE                     DEFINED                3                      1,051,000         27,700
CONCENTRA MANAGED CARE INC                 DEFINED                1                          4,100
CONCENTRA MANAGED CARE INC                 DEFINED                2                         38,000
CONCENTRIC NETWORK CORP DEL                DEFINED                2                          8,000
CONCORD COMMUNICATIONS INC                 DEFINED                2                          4,300
CONCORD EFS INC                            DEFINED                1                         10,600
CONCORD EFS INC                            DEFINED                2                         30,200
CONCORD EFS INC                            DEFINED                3                        183,300         41,100
CONECTIV INC                               DEFINED                1                          8,200
CONEXANT SYSTEMS                           DEFINED                3                         67,600         13,300
CONEXANT SYSTEMS INC                       DEFINED                1                          1,250
CONMED CORP                                DEFINED                2                          5,300
CONOCO INC                                 DEFINED                2                          5,855
CONSECO INC                                DEFINED                2                          1,800
CONSECO INC.                               DEFINED                1                         12,206
CONSOLIDATED EDISON INC                    DEFINED                1                         29,100
CONSOLIDATED EDISON INC                    DEFINED                2                            400
CONSOLIDATED NATURAL GAS CO.               DEFINED                1                          3,800
CONSOLIDATED PAPER INC                     DEFINED                1                          7,800
CONSOLIDATED PAPERS INC                    DEFINED                2                         40,000
CONSOLIDATED STORES CORP                   DEFINED                2                         16,000
CONSOLIDATED STORES CORPORATION            DEFINED                1                          4,400
CONSTELLATION ENERGY GROUP                 DEFINED                1                          5,800
CONTINENTAL AIRLS INC                      DEFINED                2                         22,000
CONVERGYS CORPORATION                      DEFINED                1                         14,000
COOPER CAMERON CORP                        DEFINED                2                         21,300
COOPER INDS INC                            DEFINED                2                            900
COOPER INDUSTRIES                          DEFINED                1                          5,300
COOPER TIRE & RUBBER                       DEFINED                1                          3,100
COOPER TIRE + RUBR CO                      DEFINED                2                        250,645
COORS (ADOLPH) - CL B                      DEFINED                1                          1,100
COPART INC                                 DEFINED                2                          6,400
CORDANT TECHNOLOGIES INC                   DEFINED                1                          3,200
CORN PRODUCTS INTL INC                     DEFINED                2                          4,600
CORNERSTONE PPTYS                          DEFINED                3                        530,400        120,500
CORNING INC.                               DEFINED                1                          9,000
CORPORATE EXEC BRD                         DEFINED                3                        175,000
CORPORATE EXECUTIVE BRD CO                 DEFINED                2                          1,000
CORPORATE EXPRESS INC                      DEFINED                2                          3,901
</TABLE>


                                  Page 12 of 49

<PAGE>   15
FILE NUMBER 28-219 (CONSOLIDATED)
AS OF 6/30/99


<TABLE>
<S>                                        <C>               <C>             <C>       <C>         <C>
COST COMPANIES INC                         COM               22160Q102          649       8,100     SH
COST PLUS INC CALIF                        COM               221485105       13,463     295,900     SH
COSTCO COS INC                             COM               22160Q102        4,110      44,890     SH
COUNTRYWIDE CR INDS INC                    COM               222372104        1,219      32,500     SH
COUNTRYWIDE CREDIT IND INC                 COM               222372104          180       4,200     SH
COVAD COMMUNICATIONS GROUP INC             COM               222814204        1,460      22,200     SH
COVANCE INC                                COM               222816100          122       5,100     SH
COVANCE INC                                COM               222816100        1,519      60,600     SH
COX COMMUNICATIONS INC NEW                 COM               224044107          401       5,300     SH
CRANE CO                                   COM               224399105           78       2,475     SH
CRANE CO                                   COM               224399105          145       6,000     SH
CREDENCE SYSTEMS CORP                      COM               225302108          212       9,900     SH
CREDITRUST CORP                            COM               225429109           79       4,000     SH
CRESCENT REAL ESTATE                       COM               225756105       17,490     736,400     SH
CRESCENT REAL ESTATE EQUITIES              COM               225756105          591      27,500     SH
CRESTLINE CAPITAL CORP                     COM               226153104           56       3,309     SH
CRISTALERIAS DE CHILE S.A. - ADR           COM               226714103           96       6,200     SH
CRITICAL PATH INC                          COM               22674V100        1,594      20,700     SH
CRITICAL PATH INC                          COM               22674V100       10,178     184,000     SH
CROMPTON & KNOWLES COR                     COM               227111101          119       6,000     SH
CROWN CASTLE INTERNATIONAL                 COM               228227104       50,867   2,444,050     SH
CROWN CORK & SEAL                          COM               228255105          140       4,900     SH
CSG SYS INTL INC                           COM               126349109          631      16,000     SH
CSG SYS INTL INC                           COM               126349109       43,380   1,656,500     SH
CSK AUTO CORP                              COM               125965103       16,327     604,700     SH
CSX CORP                                   COM               126408103          381       8,400     SH
CSX CORP                                   COM               126408103          596      15,300     SH
CTG RES INC                                COM               125957100          676      28,000     SH
CUMMINS ENGINE                             COM               231021106           91       1,600     SH
CUMMINS ENGINE INC                         COM               231021106       61,284   1,072,800     SH
CUSTOMTRACKS CORP                          COM               232046102        1,398      25,000     SH
CVS CORP                                   COM               126650100        9,500     200,000     SH
CVS CORPORATION                            COM               126650100          716      14,100     SH
CYPRESS SEMICONDUCTOR                      COM               232806109          123       7,200     SH
CYPRUS AMAX MINERALS CO                    COM               232809103           52       3,400     SH
CYTEC INDUSTRIES INC                       COM               232820100          123       3,900     SH
D + N SVGS FINL CORP                       COM               232864108           59       2,600     SH
D R HORTON INC                             COM               23331A109        1,421      85,500     SH
D.R.HORTON INC                             COM               23331A109        1,420      84,800     SH
DAIMLER CHRYSLER AG                        COM               D1668R123        5,706      66,375     SH
DAIRY MART CONV STORES                     COM               2338602*5                  360,001     SH
DAISYTEK INTL CORP                         COM               234053106        3,042     186,500     SH
DALLAS SEMICONDUCTOR CORP                  COM               235204104        1,027      26,600     SH
DANA CORP                                  COM               235811106          284       6,157     SH
DANA CORP                                  COM               235811106          380      10,000     SH
DANAHER CORP                               COM               235851102          273       4,700     SH
DANAHER CORP                               COM               235851102          993      19,000     SH
DANAHER CORP DEL                           COM               235851102       10,195     175,400     SH
DARDEN RESTAURANTS INC                     COM               237194105          127       5,800     SH
DARDEN RESTAURANTS INC                     COM               237194105          516      25,000     SH
</TABLE>



<TABLE>
<S>                                        <C>                    <C>                      <C>             <C>
COST COMPANIES INC                         DEFINED                1                          8,100
COST PLUS INC CALIF                        DEFINED                3                        295,900
COSTCO COS INC                             DEFINED                2                         44,890
COUNTRYWIDE CR INDS INC                    DEFINED                2                         32,500
COUNTRYWIDE CREDIT IND INC                 DEFINED                1                          4,200
COVAD COMMUNICATIONS GROUP INC             DEFINED                2                         22,200
COVANCE INC                                DEFINED                1                          5,100
COVANCE INC                                DEFINED                2                         60,600
COX COMMUNICATIONS INC NEW                 DEFINED                2                          5,300
CRANE CO                                   DEFINED                1                          2,475
CRANE CO                                   DEFINED                2                          6,000
CREDENCE SYSTEMS CORP                      DEFINED                2                          9,900
CREDITRUST CORP                            DEFINED                2                          4,000
CRESCENT REAL ESTATE                       DEFINED                3                        603,000        133,400
CRESCENT REAL ESTATE EQUITIES              DEFINED                2                         27,500
CRESTLINE CAPITAL CORP                     DEFINED                1                          3,309
CRISTALERIAS DE CHILE S.A. - ADR           DEFINED                1                          6,200
CRITICAL PATH INC                          DEFINED                2                         20,700
CRITICAL PATH INC                          DEFINED                3                        180,700          3,300
CROMPTON & KNOWLES COR                     DEFINED                1                          6,000
CROWN CASTLE INTERNATIONAL                 DEFINED                1                      2,444,050
CROWN CORK & SEAL                          DEFINED                1                          4,900
CSG SYS INTL INC                           DEFINED                2                         16,000
CSG SYS INTL INC                           DEFINED                3                      1,597,000         59,500
CSK AUTO CORP                              DEFINED                3                        557,900         46,800
CSX CORP                                   DEFINED                1                          8,400
CSX CORP                                   DEFINED                2                         15,300
CTG RES INC                                DEFINED                2                         28,000
CUMMINS ENGINE                             DEFINED                1                          1,600
CUMMINS ENGINE INC                         DEFINED                3                      1,047,400         25,400
CUSTOMTRACKS CORP                          DEFINED                3                         25,000
CVS CORP                                   DEFINED                2                        200,000
CVS CORPORATION                            DEFINED                1                         14,100
CYPRESS SEMICONDUCTOR                      DEFINED                1                          7,200
CYPRUS AMAX MINERALS CO                    DEFINED                1                          3,400
CYTEC INDUSTRIES INC                       DEFINED                1                          3,900
D + N SVGS FINL CORP                       DEFINED                2                          2,600
D R HORTON INC                             DEFINED                3                         85,500
D.R.HORTON INC                             DEFINED                2                         84,800
DAIMLER CHRYSLER AG                        DEFINED                2                         66,375
DAIRY MART CONV STORES                     DEFINED                2                        360,001
DAISYTEK INTL CORP                         DEFINED                3                        186,500
DALLAS SEMICONDUCTOR CORP                  DEFINED                2                         26,600
DANA CORP                                  DEFINED                1                          6,157
DANA CORP                                  DEFINED                2                         10,000
DANAHER CORP                               DEFINED                1                          4,700
DANAHER CORP                               DEFINED                2                         19,000
DANAHER CORP DEL                           DEFINED                3                        148,800         26,600
DARDEN RESTAURANTS INC                     DEFINED                1                          5,800
DARDEN RESTAURANTS INC                     DEFINED                2                         25,000
</TABLE>


                                  Page 13 of 49

<PAGE>   16
FILE NUMBER 28-219 (CONSOLIDATED)
AS OF 6/30/99


<TABLE>
<S>                                        <C>               <C>             <C>       <C>         <C>
DATA GENERAL CORP                          COM               237688106           22       1,500     SH
DAYTON HUDSON CORP                         COM               239753106        1,229      18,900     SH
DAYTON HUDSON CORP                         COM               239753106        5,996      90,000     SH
DEAN FOODS CO                              COM               242361103          145       3,500     SH
DEERE & CO                                 COM               244199105          643      16,400     SH
DEERE & CO                                 COM               244199105          231       5,915     SH
DELL COMPUTER CORP                         COM               247025109       21,747     532,620     SH
DELL COMPUTER CORP.                        COM               247025109        3,689      99,700     SH
DELPHI AUTOMOTIVE SYSTEMS                  COM              2471261055           62       3,354     SH
DELPHI AUTOMOTIVE SYSTEMS                  COM               247126105           71       3,862     SH
DELTA AIRLINES INC.                        COM               247361108          328       5,700     SH
DELUXE CHECK PRINTERS                      COM               248019101          109       2,800     SH
DENTSPLY INTL INC NEW                      COM               249030107          139       4,800     SH
DEPARTMENT 56 INC                          COM               249509100           88       2,900     SH
DEPPHI AUTOMOTIVE SYSTEMS                  COM               247126105          290      15,668     SH
DESC SA -SPON ADR                          COM               250309101          534      23,600     SH
DESCARTES SYS GROUP INC                    COM               249906108          332      40,000     SH
DETROIT EDISON CO                          COM               233331107          183       4,500     SH
DEVELOPERS DIVERS RLTY                     COM               251591103       12,754     755,800     SH
DEVON ENERGY CORP                          COM               251799102          543      19,700     SH
DEVON ENERGY CORP                          COM               251799102       13,437     375,200     SH
DEVON FING TR                              COM               251910402           77       1,200     SH
DEVRY INC DEL                              COM               251893103          853      29,400     SH
DEVRY INC DEL                              COM               251893103       53,886   2,408,300     SH
DEXTER                                     COM               252165105           86       2,100     SH
DEXTER CORP                                COM               252165105          145       4,600     SH
DIAGEO PLC                                 COM               25243Q205          828      18,100     SH
DIAL CORP (NEW)                            COM               25247D101          331       8,900     SH
DIAMOND FIELDS NOE                         COM               252905203                      125     SH
DIAMOND OFFSHORE DRILLING INC              COM               25271C102        3,036      96,000     SH
DIEBOLD                                    COM               253651103          174       6,050     SH
DILLARDS INC - CL A                        COM               254067101          158       4,500     SH
DIME BANCORP, INC.                         COM               25429Q102          205      10,200     SH
DISNEY WALT CO                             COM               254687106          996      32,000     SH
DITECH CORP                                COM               25500M103        3,898     194,900     SH
DOLE FOOD INC                              COM               256605106          153       5,200     SH
DOLLAR GENERAL                             COM               256669102          209       7,206     SH
DOLLAR TREE STORES                         COM               256747106        5,320     120,900     SH
DOLLAR TREE STORES INC                     COM               256747106          278       6,888     SH
DOMINION RESOURCES                         COM               257470104          316       7,300     SH
DONALDSON CO INC                           COM               257651109          103       4,200     SH
DONALDSON INC                              COM               257651109          360      20,000     SH
DONALDSON LUFKIN+JENRETTE INC              COM               257661108          767      11,000     SH
DOREL INDS INC                             COM               25822C205          107       6,400     SH
DOUBLECLICK INC                            COM               258609304        2,840      15,600     SH
DOVER CORP                                 COM               260003108          700      21,300     SH
DOVER CORP                                 COM               260003108          174       5,300     SH
DOVER CORP.                                COM               260003108          291       8,300     SH
DOW CHEMICAL CORP                          COM               260543103        1,218       9,600     SH
DOW JONES & CO.                            COM               260561105          212       4,000     SH
</TABLE>



<TABLE>
<S>                                        <C>                    <C>                      <C>             <C>
DATA GENERAL CORP                          DEFINED                1                          1,500
DAYTON HUDSON CORP                         DEFINED                1                         18,900
DAYTON HUDSON CORP                         DEFINED                2                         90,000
DEAN FOODS CO                              DEFINED                1                          3,500
DEERE & CO                                 DEFINED                1                         16,400
DEERE & CO                                 DEFINED                2                          5,915
DELL COMPUTER CORP                         DEFINED                2                        532,620
DELL COMPUTER CORP.                        DEFINED                1                         99,700
DELPHI AUTOMOTIVE SYSTEMS                  DEFINED                1                          3,354
DELPHI AUTOMOTIVE SYSTEMS                  DEFINED                2                          3,862
DELTA AIRLINES INC.                        DEFINED                1                          5,700
DELUXE CHECK PRINTERS                      DEFINED                1                          2,800
DENTSPLY INTL INC NEW                      DEFINED                1                          4,800
DEPARTMENT 56 INC                          DEFINED                2                          2,900
DEPPHI AUTOMOTIVE SYSTEMS                  DEFINED                1                         15,668
DESC SA -SPON ADR                          DEFINED                1                         23,600
DESCARTES SYS GROUP INC                    DEFINED                2                         40,000
DETROIT EDISON CO                          DEFINED                1                          4,500
DEVELOPERS DIVERS RLTY                     DEFINED                3                        623,900        131,900
DEVON ENERGY CORP                          DEFINED                2                         19,700
DEVON ENERGY CORP                          DEFINED                3                        366,500          8,700
DEVON FING TR                              DEFINED                2                          1,200
DEVRY INC DEL                              DEFINED                2                         29,400
DEVRY INC DEL                              DEFINED                3                      2,355,600         52,700
DEXTER                                     DEFINED                1                          2,100
DEXTER CORP                                DEFINED                2                          4,600
DIAGEO PLC                                 DEFINED                2                         18,100
DIAL CORP (NEW)                            DEFINED                1                          8,900
DIAMOND FIELDS NOE                         DEFINED                1                            125
DIAMOND OFFSHORE DRILLING INC              DEFINED                2                         96,000
DIEBOLD                                    DEFINED                1                          6,050
DILLARDS INC - CL A                        DEFINED                1                          4,500
DIME BANCORP, INC.                         DEFINED                1                         10,200
DISNEY WALT CO                             DEFINED                2                         32,000
DITECH CORP                                DEFINED                3                        184,600         10,300
DOLE FOOD INC                              DEFINED                1                          5,200
DOLLAR GENERAL                             DEFINED                1                          7,206
DOLLAR TREE STORES                         DEFINED                3                         98,100         22,800
DOLLAR TREE STORES INC                     DEFINED                1                          6,888
DOMINION RESOURCES                         DEFINED                1                          7,300
DONALDSON CO INC                           DEFINED                1                          4,200
DONALDSON INC                              DEFINED                2                         20,000
DONALDSON LUFKIN+JENRETTE INC              DEFINED                2                         11,000
DOREL INDS INC                             DEFINED                2                          6,400
DOUBLECLICK INC                            DEFINED                2                         15,600
DOVER CORP                                 DEFINED                2                         21,300
DOVER CORP                                 DEFINED                2                          5,300
DOVER CORP.                                DEFINED                1                          8,300
DOW CHEMICAL CORP                          DEFINED                1                          9,600
DOW JONES & CO.                            DEFINED                1                          4,000
</TABLE>


                                  Page 14 of 49

<PAGE>   17
FILE NUMBER 28-219 (CONSOLIDATED)
AS OF 6/30/99


<TABLE>
<S>                                        <C>               <C>             <C>          <C>         <C>
DOW JONES + CO INC                         COM               260561105          227          4,800     SH
DPL INC                                    COM               233293109          258         13,900     SH
DREYER'S GRAND ICE CREAM                   COM               261878102           33          2,200     SH
DRKOOP COM INC                             COM               262098106        2,550        160,000     SH
DSET CORP                                  COM               262504103        3,217        276,700     SH
DSP COMMUNICATIONS                         COM               23332K106       27,420        949,600     SH
DSP COMMUNICATIONS INC                     COM               23332K106          267         17,200     SH
DST SYS INC DEL                            COM               233326107        1,171         19,500     SH
DST SYS INC DEL                            COM               233326107          402          6,700     SH
DTE Energy Co Com Stk                      COM              2333311072           37            900     SH
DU PONT E I DE NEMOUR                      COM               263534109       11,586        197,633     SH
DU PONT E.I. DE NEMOURS                    COM               263534109        3,040         44,500     SH
DUKE ENERGY CO                             COM               264399106            5            100     SH
DUKE ENERGY CORP                           COM               264399106          793         14,572     SH
DUKE REALTY INVT                           COM               264411505       10,534        466,900     SH
DUN & BRADSTREET CORP                      COM               26483B106          237          6,700     SH
DURA AUTOMOTIVE SYS INC                    COM               265903104           90          3,200     SH
DURA PHARMACEUTICALS                       COM               26632S109       29,531      2,473,800     SH
E M C CORP MASS                            COM               268648102       47,979        379,383     SH
E TRADE GROUP INC                          COM               269246104          542          9,300     SH
E*TRADE GROUP INC                          COM               269246104          783         19,600     SH
EAGLE HARDWARE AND GARDEN                  COM               26959B101           99          2,600     SH
EASTERN ENTERPRISES                        COM               27637F100           28            700     SH
EASTMAN CHEMICAL                           COM               277432100          166          3,200     SH
EASTMAN KODAK                              COM               277461109          901         13,300     SH
EASTMAN KODAK CO                           COM               277461109        4,687         73,384     SH
EATON CORP                                 COM               278058102          285          3,100     SH
EATON CORP                                 COM               278058102           21            300     SH
EBAY INC                                   COM               278642103        2,053         14,955     SH
ECHOSTAR COMMUNICATIONS CORP N             COM               278762109        3,141         38,500     SH
ECOLAB INC                                 COM               278865100          239          5,476     SH
EDISON INTERNATIONAL-formerly SCECORP      COM               281020107       14,779        552,500     SH
EDISON INTL                                COM               281020107            2            100     SH
EDUCATION MGMT CORP                        COM               28139T101       19,244        927,400     SH
EDWARDS AG INC                             COM               281760108          266          8,250     SH
EG & G                                     COM               268457108           57          1,600     SH
EL PASO ENERGY CORPORATION                 COM               283905107          387         11,000     SH
ELAN CORP PLC - ADR                        COM               284131208       46,289      1,668,055     SH
ELAN CORP PLC -WTS CL-A  ADR               COM               284131703        6,300        200,000     SH
ELDER BEERMAN STR                          COM               284470101          249         34,100     SH
ELDERTRUST COM                             COM               284560109        2,745        269,400     SH
ELECTRONIC ARTS                            COM               285512109          255          4,700     SH
ELECTRONIC ARTS                            COM               285512109        1,014         21,400     SH
ELECTRONIC DATA SYS CORP NEW               COM               285661104          584         12,000     SH
ELECTRONIC DATA SYSTEMS                    COM               285661104        1,076         19,000     SH
ELETRONICS FOR IMAGING INC                 COM               286082102          648         16,300     SH
ELF AQUITAINE - ADR                        COM              2862691050           75          1,306     SH
ELI LILLY AND COMPANY                      COM               532457108       10,908        152,300     SH
EMBOTELLADORA ANDINA -ADR 'B'              COM               29081P303          584         38,300     SH
EMBRATEL PARTICIPACOES - ADR               COM               29081N100          698         50,300     SH
</TABLE>



<TABLE>
<S>                                        <C>                    <C>                      <C>             <C>
DOW JONES + CO INC                         DEFINED                2                          4,800
DPL INC                                    DEFINED                1                         13,900
DREYER'S GRAND ICE CREAM                   DEFINED                1                          2,200
DRKOOP COM INC                             DEFINED                3                        160,000
DSET CORP                                  DEFINED                2                        276,700
DSP COMMUNICATIONS                         DEFINED                3                        930,700         18,900
DSP COMMUNICATIONS INC                     DEFINED                2                         17,200
DST SYS INC DEL                            DEFINED                2                         19,500
DST SYS INC DEL                            DEFINED                2                          6,700
DTE Energy Co Com Stk                      DEFINED                1                            900
DU PONT E I DE NEMOUR                      DEFINED                2                        197,633
DU PONT E.I. DE NEMOURS                    DEFINED                1                         44,500
DUKE ENERGY CO                             DEFINED                2                            100
DUKE ENERGY CORP                           DEFINED                1                         14,572
DUKE REALTY INVT                           DEFINED                3                        383,400         83,500
DUN & BRADSTREET CORP                      DEFINED                1                          6,700
DURA AUTOMOTIVE SYS INC                    DEFINED                2                          3,200
DURA PHARMACEUTICALS                       DEFINED                3                      2,382,800         91,000
E M C CORP MASS                            DEFINED                2                        379,383
E TRADE GROUP INC                          DEFINED                2                          9,300
E*TRADE GROUP INC                          DEFINED                1                         19,600
EAGLE HARDWARE AND GARDEN                  DEFINED                2                          2,600
EASTERN ENTERPRISES                        DEFINED                1                            700
EASTMAN CHEMICAL                           DEFINED                1                          3,200
EASTMAN KODAK                              DEFINED                1                         13,300
EASTMAN KODAK CO                           DEFINED                2                         73,384
EATON CORP                                 DEFINED                1                          3,100
EATON CORP                                 DEFINED                2                            300
EBAY INC                                   DEFINED                2                         14,955
ECHOSTAR COMMUNICATIONS CORP N             DEFINED                2                         38,500
ECOLAB INC                                 DEFINED                1                          5,476
EDISON INTERNATIONAL-formerly SCECORP      DEFINED                1                        552,500
EDISON INTL                                DEFINED                2                            100
EDUCATION MGMT CORP                        DEFINED                3                        927,400
EDWARDS AG INC                             DEFINED                1                          8,250
EG & G                                     DEFINED                1                          1,600
EL PASO ENERGY CORPORATION                 DEFINED                1                         11,000
ELAN CORP PLC - ADR                        DEFINED                1                      1,668,055
ELAN CORP PLC -WTS CL-A  ADR               DEFINED                1                        200,000
ELDER BEERMAN STR                          DEFINED                3                         34,100
ELDERTRUST COM                             DEFINED                3                        221,000         48,400
ELECTRONIC ARTS                            DEFINED                1                          4,700
ELECTRONIC ARTS                            DEFINED                2                         21,400
ELECTRONIC DATA SYS CORP NEW               DEFINED                2                         12,000
ELECTRONIC DATA SYSTEMS                    DEFINED                1                         19,000
ELETRONICS FOR IMAGING INC                 DEFINED                2                         16,300
ELF AQUITAINE - ADR                        DEFINED                1                          1,306
ELI LILLY AND COMPANY                      DEFINED                1                        152,300
EMBOTELLADORA ANDINA -ADR 'B'              DEFINED                1                         38,300
EMBRATEL PARTICIPACOES - ADR               DEFINED                1                         50,300
</TABLE>


                                  Page 15 of 49

<PAGE>   18
FILE NUMBER 28-219 (CONSOLIDATED)
AS OF 6/30/99


<TABLE>
<S>                                        <C>               <C>             <C>               <C>         <C>
EMC CORPORATION                            COM               268648102        2,090             38,000     SH
EMERSON ELEC CO                            COM               291011104        4,274             80,741     SH
EMERSON ELECTRIC                           COM               291011104        1,687             26,800     SH
EMMIS COMMUNICTNS                          COM               291525103          741             15,000     SH
EMPRESA NACIONAL DE ELEC ADR               COM               29244T101          353             29,392     SH
EMPRESAS ICA S.A. ADS                      COM               292448107          400             59,300     SH
ENERGY EAST CORP                           COM               29266M109        1,314             25,000     SH
ENERGY EAST CORPORATION                    COM               29266M109          289             11,100     SH
ENERSIS SA ADR                             COM               29274F104          499             20,797     SH
ENESCO GROUP                               COM               292973104           37              1,600     SH
ENGELHARD CORP                             COM               292845104          127              5,600     SH
ENHANCE FINL SVCS GROUP INC                COM               293310108          817             35,900     SH
ENRON CORP                                 COM               293561106          899             11,000     SH
ENRON CORP                                 COM               293561106       10,000            155,500     SH
ENSCO INTL INC                             COM               26874Q100          247             12,400     SH
ENTERGY CORP                               COM               29364G103          297              9,500     SH
ENTRUST TECHNOLOGIES INC                   COM               293848107        4,140            122,700     SH
EQUIFAX INC.                               COM               294429105          239              6,700     SH
EQUITABLE RES INC                          COM               294549100          261             10,000     SH
EQUITY OFFICE PPTYS                        COM               294741103       30,321          1,183,275     SH
EQUITY OFFICE PPTYS TR                     COM               294741103          244              9,600     SH
EQUITY OFFICE PROPERTIES TRUST             COM               294741103       13,399            522,873     SH
EQUITY RESIDENT PPTYS                      COM               29476L107       25,582            567,700     SH
EQUITY RESIDENTIAL 7.25% PFD               CVT               29476L859        3,572            150,000     SH
EQUITY RESIDENTIAL PPTYS TR                COM               29476L107          165              4,000     SH
EQUITY RESIDENTIAL PROPS TR                COM               29476L107        4,506            100,000     SH
ERICSSON L M TEL CO                        COM               294821400          533             22,400     SH
ESAT TELECOM GROUP PLC                     COM               26883Y102          226              5,400     SH
ESSEX PPTY TR INC                          COM               297178105          318              9,000     SH
ETEC SYS INC                               COM               26922C103          400             13,600     SH
ETHAN ALLEN INTERIORS INC                  COM               297602104          736             17,700     SH
ETHYL CORP                                 COM               297659104           41              6,800     SH
EVEREST REINSURANCE HOLDINGS               COM               299808105          150              4,600     SH
EVERGREEN RESOURCES                        COM               299900308          296             14,800     SH
EXCALIBUR TECHNOLOGIES CORP                COM               300651205          260             19,900     SH
EXCITE INC                                 COM               300904109        5,725             40,900     SH
EXECUTIVE RISK INC                         COM               301586103        2,467             29,000     SH
EXODUS COMMUNICATIONS INC                  COM               302088109          656              4,900     SH
EXTENDED STAY AMER INC                     COM               30224P101          567             55,700     SH
EXXON                                      COM               302290101       38,138            494,500     SH
EXXON CORP                                 COM               302290101        2,371             33,600     SH
FAIRFAX FINL                               COM               303901953           28                100     SH
FAIRFAX FINL HLDGS LTD                     COM               303901102          233                800     SH
FAMILY DLR STORES INC                      COM               307000109          499             21,700     SH
FAMILY DOLLAR STORES                       COM               307000109          377             15,700     SH
FASTENAL CO                                COM               311900104          178              3,400     SH
FDX CORPORATION                            COM               31304N107          575             10,600     SH
FEDERAL HOME LN MTG CORP                   COM               313400301        6,252            109,450     SH
FEDERAL HOME LOAN MTG CORP.                COM               313400301        1,740             30,000     SH
FEDERAL MOGUL CORP                         COM               313549107          296              5,700     SH
</TABLE>



<TABLE>
<S>                                        <C>                    <C>                      <C>             <C>
EMC CORPORATION                            DEFINED                1                         38,000
EMERSON ELEC CO                            DEFINED                2                         80,741
EMERSON ELECTRIC                           DEFINED                1                         26,800
EMMIS COMMUNICTNS                          DEFINED                3                         15,000
EMPRESA NACIONAL DE ELEC ADR               DEFINED                1                         29,392
EMPRESAS ICA S.A. ADS                      DEFINED                1                         59,300
ENERGY EAST CORP                           DEFINED                2                         25,000
ENERGY EAST CORPORATION                    DEFINED                1                         11,100
ENERSIS SA ADR                             DEFINED                1                         20,797
ENESCO GROUP                               DEFINED                1                          1,600
ENGELHARD CORP                             DEFINED                1                          5,600
ENHANCE FINL SVCS GROUP INC                DEFINED                2                         35,900
ENRON CORP                                 DEFINED                1                         11,000
ENRON CORP                                 DEFINED                2                        155,500
ENSCO INTL INC                             DEFINED                1                         12,400
ENTERGY CORP                               DEFINED                1                          9,500
ENTRUST TECHNOLOGIES INC                   DEFINED                2                        122,700
EQUIFAX INC.                               DEFINED                1                          6,700
EQUITABLE RES INC                          DEFINED                2                         10,000
EQUITY OFFICE PPTYS                        DEFINED                3                        981,598        201,677
EQUITY OFFICE PPTYS TR                     DEFINED                2                          9,600
EQUITY OFFICE PROPERTIES TRUST             DEFINED                1                        522,873
EQUITY RESIDENT PPTYS                      DEFINED                3                        468,200         99,500
EQUITY RESIDENTIAL 7.25% PFD               DEFINED                1                        150,000
EQUITY RESIDENTIAL PPTYS TR                DEFINED                2                          4,000
EQUITY RESIDENTIAL PROPS TR                DEFINED                1                        100,000
ERICSSON L M TEL CO                        DEFINED                2                         22,400
ESAT TELECOM GROUP PLC                     DEFINED                2                          5,400
ESSEX PPTY TR INC                          DEFINED                3                          9,000
ETEC SYS INC                               DEFINED                2                         13,600
ETHAN ALLEN INTERIORS INC                  DEFINED                2                         17,700
ETHYL CORP                                 DEFINED                1                          6,800
EVEREST REINSURANCE HOLDINGS               DEFINED                1                          4,600
EVERGREEN RESOURCES                        DEFINED                2                         14,800
EXCALIBUR TECHNOLOGIES CORP                DEFINED                2                         19,900
EXCITE INC                                 DEFINED                2                         40,900
EXECUTIVE RISK INC                         DEFINED                1                         29,000
EXODUS COMMUNICATIONS INC                  DEFINED                2                          4,900
EXTENDED STAY AMER INC                     DEFINED                2                         55,700
EXXON                                      DEFINED                1                        494,500
EXXON CORP                                 DEFINED                2                         33,600
FAIRFAX FINL                               DEFINED                2                            100
FAIRFAX FINL HLDGS LTD                     DEFINED                2                            800
FAMILY DLR STORES INC                      DEFINED                2                         21,700
FAMILY DOLLAR STORES                       DEFINED                1                         15,700
FASTENAL CO                                DEFINED                1                          3,400
FDX CORPORATION                            DEFINED                1                         10,600
FEDERAL HOME LN MTG CORP                   DEFINED                2                        109,450
FEDERAL HOME LOAN MTG CORP.                DEFINED                1                         30,000
FEDERAL MOGUL CORP                         DEFINED                1                          5,700
</TABLE>


                                  Page 16 of 49

<PAGE>   19
FILE NUMBER 28-219 (CONSOLIDATED)
AS OF 6/30/99


<TABLE>
<S>                                        <C>               <C>             <C>               <C>         <C>
FEDERAL NAT'L MORTGAGE CO.                 COM               313586109       24,976            365,950     SH
FEDERAL NATL MTG ASSN                      COM               313586109        3,172             45,800     SH
FEDERAL REALTY INVS TRUST                  COM               313747206        3,899            170,000     SH
FEDERAL RLTY INVT TR                       COM               313747206           38              1,800     SH
FEDERAL SIGNAL CORP                        COM               313855108           83              3,900     SH
FEDERATED DEPARTMENT STORES                COM               31410H101       17,745            335,200     SH
FELCOR LODGING TR INC                      COM               31430F101          227              9,800     SH
FELCOR LODGING TRUST                       COM               31430f101       23,941          1,153,769     SH
FERRO CORP                                 COM               315405100           99              3,600     SH
FERRO CORP                                 COM               315405100          139              5,600     SH
FIFTH THIRD BANK                           COM               316773100          651              9,775     SH
FINOVA GROUP INC                           COM               317928109          519             10,000     SH
FINOVA GROUP INC                           COM               317928109          488              9,400     SH
FINOVA GROUP INC COM                       COM               317928109       11,125            211,400     SH
FINOVA GROUP INC.                          COM               317928109          284              5,400     SH
FIREBIRD REPUBLICA FUND LTD                COM               318991965           50                960     SH
FIRST DATA CORP                            COM               319963104          866             17,700     SH
FIRST DATA CORP                            COM               319963104          718             16,800     SH
FIRST HEALTH GROUP CORP                    COM               320960107          104              4,800     SH
FIRST INDUSTRIAL RLTY                      COM               32054K103       10,690            389,600     SH
FIRST SEC CORP DEL                         COM               336294103          471             17,300     SH
FIRST SENTINEL BANCORP INC                 COM               33640T103          291             37,000     SH
FIRST SIERRA FINANCIAL                     COM               335944104       19,985            799,400     SH
FIRST TENN NATL CORP                       COM               337162101          444             11,600     SH
FIRST TENN NATL CORP                       COM               337162101          568             15,500     SH
FIRST UN CORP                              COM               337358105        5,889            110,200     SH
FIRST UNION CORP                           COM               337358105        1,778             37,726     SH
FIRST VA BKS INC                           COM               337477103        1,818             39,800     SH
FIRST VIRGINIA BANKS                       COM               337477103          219              4,450     SH
FIRST WASH RLTY TR                         COM               337489504        4,009            171,500     SH
FIRST YRS INC                              COM               337610109           66              4,800     SH
FIRSTAR CORPORATION                        COM               33763V109          687             24,550     SH
FIRSTENERGY CORPORATION                    COM               337932107          279              9,000     SH
FIRSTMERIT CORP                            COM               337915102       21,185            754,922     SH
FISERV INC                                 COM               337738108          336             10,725     SH
FISERV INC                                 COM               337738108        1,618             30,250     SH
FISERV INC COM                             COM               337738108       13,337            425,925     SH
FLASHNET COMMUNICATIONS INC                COM               338527104          267              6,500     SH
FLEET FINANCIAL GROUP                      COM               338915101          932             21,000     SH
FLEETWOOD ENTERPRISES                      COM               339099103           45              1,700     SH
FLEXTRONICS INTERNATIONAL                  COM               Y2573F102          622             12,200     SH
FLIR SYS INC                               COM               302445101           65              3,600     SH
FLORIDA PROGRESS                           COM               341109106          347              8,400     SH
FLORIDA PROGRESS CORP                      COM               341109106          468             12,400     SH
FLOWERS INDS INC                           COM               343496105          148              6,000     SH
FLOWERS INDUSTRIES INC                     COM               343496105          191              8,800     SH
FLOWSERVE CORP                             COM               34354P105        1,503             96,600     SH
FLOWSERVE CORPORATION                      COM               34354P105           49              2,600     SH
FLUOR CORP                                 COM               343861100          142              3,500     SH
FMC CORP                                   COM               302491303          109              1,600     SH
</TABLE>



<TABLE>
<S>                                        <C>                    <C>                      <C>             <C>
FEDERAL NAT'L MORTGAGE CO.                 DEFINED                1                        365,950
FEDERAL NATL MTG ASSN                      DEFINED                2                         45,800
FEDERAL REALTY INVS TRUST                  DEFINED                1                        170,000
FEDERAL RLTY INVT TR                       DEFINED                2                          1,800
FEDERAL SIGNAL CORP                        DEFINED                1                          3,900
FEDERATED DEPARTMENT STORES                DEFINED                1                        335,200
FELCOR LODGING TR INC                      DEFINED                2                          9,800
FELCOR LODGING TRUST                       DEFINED                3                        956,154        197,615
FERRO CORP                                 DEFINED                1                          3,600
FERRO CORP                                 DEFINED                2                          5,600
FIFTH THIRD BANK                           DEFINED                1                          9,775
FINOVA GROUP INC                           DEFINED                2                         10,000
FINOVA GROUP INC                           DEFINED                2                          9,400
FINOVA GROUP INC COM                       DEFINED                3                        193,800         17,600
FINOVA GROUP INC.                          DEFINED                1                          5,400
FIREBIRD REPUBLICA FUND LTD                DEFINED                2                            960
FIRST DATA CORP                            DEFINED                1                         17,700
FIRST DATA CORP                            DEFINED                2                         16,800
FIRST HEALTH GROUP CORP                    DEFINED                1                          4,800
FIRST INDUSTRIAL RLTY                      DEFINED                3                        321,300         68,300
FIRST SEC CORP DEL                         DEFINED                1                         17,300
FIRST SENTINEL BANCORP INC                 DEFINED                2                         37,000
FIRST SIERRA FINANCIAL                     DEFINED                3                        787,200         12,200
FIRST TENN NATL CORP                       DEFINED                1                         11,600
FIRST TENN NATL CORP                       DEFINED                2                         15,500
FIRST UN CORP                              DEFINED                2                        110,200
FIRST UNION CORP                           DEFINED                1                         37,726
FIRST VA BKS INC                           DEFINED                2                         39,800
FIRST VIRGINIA BANKS                       DEFINED                1                          4,450
FIRST WASH RLTY TR                         DEFINED                3                        141,600         29,900
FIRST YRS INC                              DEFINED                2                          4,800
FIRSTAR CORPORATION                        DEFINED                1                         24,550
FIRSTENERGY CORPORATION                    DEFINED                1                          9,000
FIRSTMERIT CORP                            DEFINED                3                        738,922         16,000
FISERV INC                                 DEFINED                1                         10,725
FISERV INC                                 DEFINED                2                         30,250
FISERV INC COM                             DEFINED                3                        386,300         39,625
FLASHNET COMMUNICATIONS INC                DEFINED                2                          6,500
FLEET FINANCIAL GROUP                      DEFINED                1                         21,000
FLEETWOOD ENTERPRISES                      DEFINED                1                          1,700
FLEXTRONICS INTERNATIONAL                  DEFINED                2                         12,200
FLIR SYS INC                               DEFINED                2                          3,600
FLORIDA PROGRESS                           DEFINED                1                          8,400
FLORIDA PROGRESS CORP                      DEFINED                2                         12,400
FLOWERS INDS INC                           DEFINED                2                          6,000
FLOWERS INDUSTRIES INC                     DEFINED                1                          8,800
FLOWSERVE CORP                             DEFINED                2                         96,600
FLOWSERVE CORPORATION                      DEFINED                1                          2,600
FLUOR CORP                                 DEFINED                1                          3,500
FMC CORP                                   DEFINED                1                          1,600
</TABLE>


                                  Page 17 of 49

<PAGE>   20
FILE NUMBER 28-219 (CONSOLIDATED)
AS OF 6/30/99


<TABLE>
<S>                                        <C>               <C>             <C>               <C>         <C>
FOMENTO ECONOMICO MEX-SP ADR               COM               344419106          319              8,000     SH
FOODMAKER INC                              COM               344839204          217              8,500     SH
FORD MOTOR                                 COM               345370100        2,658             47,100     SH
FORD MOTOR                                 COM               345370100       12,179            214,650     SH
FORE SYSTEMS                               COM               345449102          689             36,500     SH
FOREST LABORATORIES-CLASS A                COM               345838106        5,564            120,300     SH
FORT JAMES CORPORATION                     COM               347471104          314              8,300     SH
FORTUNE BRANDS INC                         COM               349631101          281              6,800     SH
FORTUNE BRANDS INC                         COM               349631101            8                200     SH
FOSTER WHEELER CORP.                       COM               350244109           25              1,800     SH
FOUNDATION HEALTH SYSTEMS - CL A           COM               350404109          157             10,490     SH
FOX ENTMT GROUP INC                        COM               35138T107          328             12,100     SH
FPL GROUP INC                              COM               302571104          415              7,600     SH
FPL GROUP INC                              COM               302571104          692             13,000     SH
FRANCHISE FIN CORP                         COM               351807102        8,310            373,500     SH
FRANKLIN RES INC                           COM               354613101          402              9,900     SH
FRANKLIN RES INC                           COM               354613101          152              5,400     SH
FREDS INC                                  COM               356108100           83              7,500     SH
FREEPORT-MCMORAN COPPER & GOLD             COM               35671D857          135              7,500     SH
FRIEDE GOLDMAN INTL INC                    COM               358430106        1,808            113,000     SH
FRONTIER CORP                              COM               35906P105          416              7,100     SH
FRONTIER CORP                              COM               35906P105        4,145             79,900     SH
FRONTIER INS GROUP INC NEW                 COM               359081106          318             26,740     SH
FRONTIER INS. GRP.                         COM               359081106           28              1,740     SH
FRUIT OF THE LOOM INC                      COM               G3682L105           28              2,900     SH
FULLER H B CO                              COM               359694106          188              3,200     SH
FULLER, H.B.                               COM               359694106           82              1,200     SH
FUNDTECH LTD                               COM               M47095100        2,445             81,000     SH
FURNITURE BRANDS INTERNATIONAL             COM               360921100          131              4,700     SH
FURNITURE BRANDS INTL                      COM               360921100        7,203            258,400     SH
FURNITURE BRANDS INTL INC                  COM               360921100          177              8,000     SH
G + K SERVICES                             COM               361268105          876             19,000     SH
GABLES RESIDENTIAL                         COM               362418105        8,166            338,500     SH
GABLES RESIDENTIAL TR                      COM               362418105          368             16,700     SH
GALILEO INTL INC                           COM               363547100          779             16,100     SH
GALLAGHER ARTHUR J + CO                    COM               363576109          129              2,800     SH
GALLAHER GROUP PLC                         COM               363595109            5                200     SH
GANNETT INC                                COM               364730101          907             14,400     SH
GANNETT PUBLISHING                         COM               364730101       17,518            245,430     SH
GAP INC                                    COM               364760108       13,412            266,251     SH
GAP INC                                    COM               364760108       14,206            211,050     SH
GARTNER GROUP INC NEW                      COM               366651107          478             21,200     SH
GATEWAY INC                                COM               367626108          307              5,200     SH
GATX CORP.                                 COM               361448103          145              3,800     SH
GELTEX PHARMACEUTICALS INC                 COM               368538104        1,055             75,000     SH
GENCORP INC                                COM               368682100           78              3,100     SH
GENENTECH INC                              COM               368710307          612              6,900     SH
GENER S.A. - Spons ADR                     COM               368731105        1,269             71,465     SH
GENERAL ALUMINUM CORP.                     COM               368768107        1,162            516,663     SH
GENERAL COMMUNICATION INC                  COM               369385109          254             55,700     SH
</TABLE>



<TABLE>
<S>                                        <C>                    <C>                      <C>             <C>
FOMENTO ECONOMICO MEX-SP ADR               DEFINED                1                          8,000
FOODMAKER INC                              DEFINED                2                          8,500
FORD MOTOR                                 DEFINED                1                         47,100
FORD MOTOR                                 DEFINED                2                        214,650
FORE SYSTEMS                               DEFINED                2                         36,500
FOREST LABORATORIES-CLASS A                DEFINED                1                        120,300
FORT JAMES CORPORATION                     DEFINED                1                          8,300
FORTUNE BRANDS INC                         DEFINED                1                          6,800
FORTUNE BRANDS INC                         DEFINED                2                            200
FOSTER WHEELER CORP.                       DEFINED                1                          1,800
FOUNDATION HEALTH SYSTEMS - CL A           DEFINED                1                         10,490
FOX ENTMT GROUP INC                        DEFINED                2                         12,100
FPL GROUP INC                              DEFINED                1                          7,600
FPL GROUP INC                              DEFINED                2                         13,000
FRANCHISE FIN CORP                         DEFINED                3                        308,900         64,600
FRANKLIN RES INC                           DEFINED                1                          9,900
FRANKLIN RES INC                           DEFINED                2                          5,400
FREDS INC                                  DEFINED                2                          7,500
FREEPORT-MCMORAN COPPER & GOLD             DEFINED                1                          7,500
FRIEDE GOLDMAN INTL INC                    DEFINED                2                        113,000
FRONTIER CORP                              DEFINED                1                          7,100
FRONTIER CORP                              DEFINED                2                         79,900
FRONTIER INS GROUP INC NEW                 DEFINED                2                         26,740
FRONTIER INS. GRP.                         DEFINED                1                          1,740
FRUIT OF THE LOOM INC                      DEFINED                1                          2,900
FULLER H B CO                              DEFINED                2                          3,200
FULLER, H.B.                               DEFINED                1                          1,200
FUNDTECH LTD                               DEFINED                2                         81,000
FURNITURE BRANDS INTERNATIONAL             DEFINED                1                          4,700
FURNITURE BRANDS INTL                      DEFINED                3                        235,200         23,200
FURNITURE BRANDS INTL INC                  DEFINED                2                          8,000
G + K SERVICES                             DEFINED                2                         19,000
GABLES RESIDENTIAL                         DEFINED                3                        272,500         66,000
GABLES RESIDENTIAL TR                      DEFINED                2                         16,700
GALILEO INTL INC                           DEFINED                2                         16,100
GALLAGHER ARTHUR J + CO                    DEFINED                2                          2,800
GALLAHER GROUP PLC                         DEFINED                2                            200
GANNETT INC                                DEFINED                2                         14,400
GANNETT PUBLISHING                         DEFINED                1                        245,430
GAP INC                                    DEFINED                1                        266,251
GAP INC                                    DEFINED                2                        211,050
GARTNER GROUP INC NEW                      DEFINED                2                         21,200
GATEWAY INC                                DEFINED                1                          5,200
GATX CORP.                                 DEFINED                1                          3,800
GELTEX PHARMACEUTICALS INC                 DEFINED                2                         75,000
GENCORP INC                                DEFINED                1                          3,100
GENENTECH INC                              DEFINED                2                          6,900
GENER S.A. - Spons ADR                     DEFINED                1                         71,465
GENERAL ALUMINUM CORP.                     DEFINED                1                        516,663
GENERAL COMMUNICATION INC                  DEFINED                2                         55,700
</TABLE>


                                  Page 18 of 49

<PAGE>   21
FILE NUMBER 28-219 (CONSOLIDATED)
AS OF 6/30/99


<TABLE>
<S>                                        <C>               <C>             <C>               <C>         <C>
GENERAL DYNAMICS CORP                      COM               369550108        1,164             16,900     SH
GENERAL ELEC CO                            COM               369604103       30,928            279,525     SH
GENERAL ELEC CO                            COM               369604103        2,712             24,000     SH
GENERAL ELECTRIC                           COM               369604103       48,782            431,700     SH
GENERAL GROWTH PPTYS                       COM               370021107        7,679            216,300     SH
GENERAL GROWTH PPTYS INC                   COM               370021107          542             16,700     SH
GENERAL GROWTH PPTYS INC                   COM               370021206          344             15,100     SH
GENERAL INSTR CORP                         COM               370120107        8,016            188,600     SH
GENERAL INSTR CORP DEL                     COM               370120107          667             22,000     SH
GENERAL INSTRUMENT CORP                    COM               370120107          234              5,500     SH
GENERAL MILLS INC                          COM               370334104          490              6,100     SH
GENERAL MOTORS                             COM               370442105        1,683             25,500     SH
GENERAL MTRS CORP                          COM               370442105       21,822            252,521     SH
GENERAL MTRS CORP                          COM               370442832        1,261             25,000     SH
GENERAL NUTRITION COS                      COM               37047F103          156              6,700     SH
GENERAL NUTRITION COS INC                  COM               37047F103           82              5,900     SH
GENERAL PUBLIC UTILITY                     COM               36225X100          186              4,400     SH
GENERAL RE CORPORATION                     COM               370997306          971             10,000     SH
GENTEX CORP                                COM               371901109          512             23,800     SH
GENTEX CORP                                COM               371901109       57,142          2,040,800     SH
GENUINE PARTS CO                           COM               372460105        4,327            150,192     SH
GENUINE PARTS CO.                          COM               372460105          252              7,200     SH
GENZYME CORP                               COM               372917104          359              7,400     SH
GENZYME CORP                               COM               372917104        5,491            108,900     SH
GENZYME CORP                               COM               372917500            0                  3     SH
GENZYME CORP GENL DIV 5.25% 6/1/05         CVT               372917AE4          556              4,000     SH
GENZYME SURGICAL PRODUCTS                  COM               372917609            6              1,325     SH
GEO. HORMEL & CO                           COM               440452100          262              6,500     SH
GEORGIA GULF CORP                          COM               373200203           51              3,000     SH
GEORGIA PAC CORP                           COM               373298108        5,643             76,000     SH
GEORGIA PAC CORP                           COM               373298702          642             28,600     SH
GEORGIA PACIFIC                            COM               373298108          351              7,400     SH
GEORGIA PACIFIC (TIMBER GRP)               COM               373298702          189              7,500     SH
GERBER CHILDRENSWEAR INC                   COM               373701101          578             91,500     SH
GETTY IMAGES INC                           COM               374276103          706             33,700     SH
GIBSON GREETINGS INC                       COM               374827103           20              2,800     SH
GILAT SATELLITE NETWORKS LTD               COM               M51474100          537              9,000     SH
GILAT SATELLITE NETWORKS, LTD.             COM               M51474100          289              5,500     SH
GILEAD SCIENCES INC                        COM               375558103          141              2,700     SH
GILEAD SCIENCES INC                        COM               375558103        1,114             24,500     SH
GILLETTE CO                                COM               375766102       10,328            251,900     SH
GILLETTE CO                                COM               375766102        2,152             36,200     SH
GLATFELTER P H CO                          COM               377316104           53              3,600     SH
GLAXO PLC                                  COM               37733W105          748             11,980     SH
GLENBOROUGH RLTY                           COM               37803P105       10,864            620,800     SH
GLENBOROUGH RLTY TR INC                    COM               37803P105          213             12,500     SH
GLIMCHER RLTY TR                           COM               379302102           66              4,600     SH
GLOBAL CROSSING LTD                        COM               G3921A100          162              3,500     SH
GLOBAL INDUSTRIES INC                      COM               379336100          101             10,000     SH
GLOBAL MARINE                              COM               379352404          231             14,900     SH
</TABLE>



<TABLE>
<S>                                        <C>                    <C>                      <C>             <C>
GENERAL DYNAMICS CORP                      DEFINED                1                         16,900
GENERAL ELEC CO                            DEFINED                2                        279,525
GENERAL ELEC CO                            DEFINED                3                         24,000
GENERAL ELECTRIC                           DEFINED                1                        431,700
GENERAL GROWTH PPTYS                       DEFINED                3                        183,200         33,100
GENERAL GROWTH PPTYS INC                   DEFINED                2                         16,700
GENERAL GROWTH PPTYS INC                   DEFINED                2                         15,100
GENERAL INSTR CORP                         DEFINED                3                        155,100         33,500
GENERAL INSTR CORP DEL                     DEFINED                2                         22,000
GENERAL INSTRUMENT CORP                    DEFINED                1                          5,500
GENERAL MILLS INC                          DEFINED                1                          6,100
GENERAL MOTORS                             DEFINED                1                         25,500
GENERAL MTRS CORP                          DEFINED                2                        252,521
GENERAL MTRS CORP                          DEFINED                2                         25,000
GENERAL NUTRITION COS                      DEFINED                1                          6,700
GENERAL NUTRITION COS INC                  DEFINED                2                          5,900
GENERAL PUBLIC UTILITY                     DEFINED                1                          4,400
GENERAL RE CORPORATION                     DEFINED                1                         10,000
GENTEX CORP                                DEFINED                2                         23,800
GENTEX CORP                                DEFINED                3                      1,969,800         71,000
GENUINE PARTS CO                           DEFINED                2                        150,192
GENUINE PARTS CO.                          DEFINED                1                          7,200
GENZYME CORP                               DEFINED                1                          7,400
GENZYME CORP                               DEFINED                2                        108,900
GENZYME CORP                               DEFINED                2                              3
GENZYME CORP GENL DIV 5.25% 6/1/05         DEFINED                1                          4,000
GENZYME SURGICAL PRODUCTS                  DEFINED                1                          1,325
GEO. HORMEL & CO                           DEFINED                1                          6,500
GEORGIA GULF CORP                          DEFINED                1                          3,000
GEORGIA PAC CORP                           DEFINED                2                         76,000
GEORGIA PAC CORP                           DEFINED                2                         28,600
GEORGIA PACIFIC                            DEFINED                1                          7,400
GEORGIA PACIFIC (TIMBER GRP)               DEFINED                1                          7,500
GERBER CHILDRENSWEAR INC                   DEFINED                2                         91,500
GETTY IMAGES INC                           DEFINED                2                         33,700
GIBSON GREETINGS INC                       DEFINED                2                          2,800
GILAT SATELLITE NETWORKS LTD               DEFINED                2                          9,000
GILAT SATELLITE NETWORKS, LTD.             DEFINED                1                          5,500
GILEAD SCIENCES INC                        DEFINED                1                          2,700
GILEAD SCIENCES INC                        DEFINED                2                         24,500
GILLETTE CO                                DEFINED                1                        251,900
GILLETTE CO                                DEFINED                2                         36,200
GLATFELTER P H CO                          DEFINED                1                          3,600
GLAXO PLC                                  DEFINED                2                         11,980
GLENBOROUGH RLTY                           DEFINED                3                        503,100        117,700
GLENBOROUGH RLTY TR INC                    DEFINED                2                         12,500
GLIMCHER RLTY TR                           DEFINED                2                          4,600
GLOBAL CROSSING LTD                        DEFINED                2                          3,500
GLOBAL INDUSTRIES INC                      DEFINED                2                         10,000
GLOBAL MARINE                              DEFINED                1                         14,900
</TABLE>


                                  Page 19 of 49

<PAGE>   22
FILE NUMBER 28-219 (CONSOLIDATED)
AS OF 6/30/99


<TABLE>
<S>                                        <C>               <C>             <C>               <C>         <C>
GLOBAL TELESYSTEMS                         COM              37936U1043       32,400            400,000     SH
GLOBAL TELESYSTEMS GROUP INC               COM               37936U104          207              3,700     SH
GLOBALSTAR LP LTD                          COM               G3930H104          522             37,760     SH
GOLDEN ST BANCORP                          COM               381197102       24,212          1,076,100     SH
GOLDEN WEST FINANCIAL CORP.                COM               381317106          245              2,500     SH
GOLDEN WEST FINL CORP DEL                  COM               381317106          535              5,600     SH
GOLF TR AMER INC                           COM               38168B103        4,175            170,850     SH
GOODRICH (B.F.) CO                         COM               382388106          116              2,720     SH
GOODYEAR TIRE & RUBBER CO.                 COM               382550101          365              6,200     SH
GOODYEAR TIRE AND RUBBER                   COM               382550101        4,922             98,818     SH
GP FINANCIAL CORP                          COM               395384100          279              8,500     SH
GPU INC                                    COM               36225X100          194              5,200     SH
GRACE W.R. (NEW)                           COM               38388F108           63              3,300     SH
GRAINGER (W.W.) INC.                       COM               384802104          221              4,100     SH
GRANITE CONSTR INC                         COM               387328107          130              5,550     SH
GRANITE CONSTRUCTION INC                   COM               387328107           70              2,400     SH
GREAT ATLANTIC & PACIFIC                   COM               390064103           47              1,400     SH
GREAT ATLANTIC + PAC TEA INC               COM               390064103           78              2,600     SH
GREAT LAKES CHEMICAL CORP                  COM               390568103          115              2,500     SH
GREAT LAKES CHEMICAL CORP                  COM               390568103          243              6,600     SH
GREAT LAKES REIT INC                       COM               390752103        3,541            217,900     SH
GREAT PLAINS SOFTWARE                      COM               39119E105       13,505            286,200     SH
GREATER BAY BANCORP                        COM               391648102           86              3,000     SH
GREENPOINT FINL CORP                       COM               395384100          695             20,000     SH
GRUPO INDUSTRIAL MASECA SA-ADR             COM               400488409          261             29,205     SH
GRUPO TELEVISA S.A. GDR (ADR)              COM               40049J206        2,438             54,400     SH
GST TELECOMMUNICATIONS INC                 COM               361942105        4,755            435,200     SH
GTE CORP                                   COM               362320103        2,760             45,500     SH
GTE CORP.                                  COM               362320103       36,882            488,497     SH
GTECH HOLDINGS CORP                        COM               400518106           90              3,800     SH
GTS DURATEK                                COM               36237J107        1,308            230,000     SH
GUCCI GROUP N V                            COM               401566104        3,144             39,054     SH
GUIDANT CORP                               COM               401698105          583             11,400     SH
GULFSTREAM AEROSPACE CORP                  COM               402734107          446              6,600     SH
GULFSTREAM AEROSPACE CORP NEW              COM               402734107          542             12,500     SH
HA LO INDS INC                             COM               404429102        1,306            106,050     SH
HALIBURTON                                 COM               406216101          751             16,600     SH
HALLIBURTON CO                             COM               406216101        5,808            148,550     SH
HAMILTON BANCORP INC FLA                   COM               407013101        1,548             60,000     SH
HANNA M A CO                               COM               410522106           74              4,500     SH
HANNAFORD BROS CO                          COM               410550107          193              3,600     SH
HANSON PLC                                 COM               411352404          238              5,400     SH
HARCOURT GEN INC                           COM               41163G101        1,985             44,800     SH
HARCOURT GENERAL                           COM               41163G101          139              2,700     SH
HARLEY DAVIDSON INC                        COM               412822108          761             14,000     SH
HARLEYSVILLE GROUP INC                     COM               412824104           92              4,800     SH
HARMAN INTL INDS INC NEW                   COM               413086109          331              9,000     SH
HARMONIC INC                               COM               413160102       23,452            408,300     SH
HARRAH'S ENTERTAINMENT                     COM               413619107           82              3,700     SH
HARRIS CORP                                COM               413875105          110              2,800     SH
</TABLE>



<TABLE>
<S>                                        <C>                    <C>                      <C>             <C>
GLOBAL TELESYSTEMS                         DEFINED                1                        400,000
GLOBAL TELESYSTEMS GROUP INC               DEFINED                2                          3,700
GLOBALSTAR LP LTD                          DEFINED                2                         37,760
GOLDEN ST BANCORP                          DEFINED                3                      1,053,000         23,100
GOLDEN WEST FINANCIAL CORP.                DEFINED                1                          2,500
GOLDEN WEST FINL CORP DEL                  DEFINED                2                          5,600
GOLF TR AMER INC                           DEFINED                3                        140,650         30,200
GOODRICH (B.F.) CO                         DEFINED                1                          2,720
GOODYEAR TIRE & RUBBER CO.                 DEFINED                1                          6,200
GOODYEAR TIRE AND RUBBER                   DEFINED                2                         98,818
GP FINANCIAL CORP                          DEFINED                1                          8,500
GPU INC                                    DEFINED                2                          5,200
GRACE W.R. (NEW)                           DEFINED                1                          3,300
GRAINGER (W.W.) INC.                       DEFINED                1                          4,100
GRANITE CONSTR INC                         DEFINED                2                          5,550
GRANITE CONSTRUCTION INC                   DEFINED                1                          2,400
GREAT ATLANTIC & PACIFIC                   DEFINED                1                          1,400
GREAT ATLANTIC + PAC TEA INC               DEFINED                2                          2,600
GREAT LAKES CHEMICAL CORP                  DEFINED                1                          2,500
GREAT LAKES CHEMICAL CORP                  DEFINED                2                          6,600
GREAT LAKES REIT INC                       DEFINED                3                        178,900         39,000
GREAT PLAINS SOFTWARE                      DEFINED                3                        264,500         21,700
GREATER BAY BANCORP                        DEFINED                2                          3,000
GREENPOINT FINL CORP                       DEFINED                2                         20,000
GRUPO INDUSTRIAL MASECA SA-ADR             DEFINED                1                         29,205
GRUPO TELEVISA S.A. GDR (ADR)              DEFINED                1                         54,400
GST TELECOMMUNICATIONS INC                 DEFINED                2                        435,200
GTE CORP                                   DEFINED                2                         45,500
GTE CORP.                                  DEFINED                1                        488,497
GTECH HOLDINGS CORP                        DEFINED                1                          3,800
GTS DURATEK                                DEFINED                1                        230,000
GUCCI GROUP N V                            DEFINED                2                         39,054
GUIDANT CORP                               DEFINED                1                         11,400
GULFSTREAM AEROSPACE CORP                  DEFINED                1                          6,600
GULFSTREAM AEROSPACE CORP NEW              DEFINED                2                         12,500
HA LO INDS INC                             DEFINED                2                        106,050
HALIBURTON                                 DEFINED                1                         16,600
HALLIBURTON CO                             DEFINED                2                        148,550
HAMILTON BANCORP INC FLA                   DEFINED                2                         60,000
HANNA M A CO                               DEFINED                1                          4,500
HANNAFORD BROS CO                          DEFINED                1                          3,600
HANSON PLC                                 DEFINED                2                          5,400
HARCOURT GEN INC                           DEFINED                2                         44,800
HARCOURT GENERAL                           DEFINED                1                          2,700
HARLEY DAVIDSON INC                        DEFINED                1                         14,000
HARLEYSVILLE GROUP INC                     DEFINED                2                          4,800
HARMAN INTL INDS INC NEW                   DEFINED                2                          9,000
HARMONIC INC                               DEFINED                3                        392,200         16,100
HARRAH'S ENTERTAINMENT                     DEFINED                1                          3,700
HARRIS CORP                                DEFINED                1                          2,800
</TABLE>


                                  Page 20 of 49

<PAGE>   23
FILE NUMBER 28-219 (CONSOLIDATED)
AS OF 6/30/99


<TABLE>
<S>                                        <C>               <C>             <C>               <C>         <C>
HARRIS CORP DEL                            COM               413875105          263              9,200     SH
HARSCO CORP                                COM               415864107          138              4,300     SH
HARTE HANKS INC                            COM               416196103          576             21,000     SH
HARTE-HANKS INC                            COM               416196103       32,406          1,194,700     SH
HARTFORD FINANCIAL SERVICES GROUP, IN      COM               416515104          554              9,500     SH
HARTFORD FINANCIAL SVCS GRP                COM               416515104        1,136             20,000     SH
HASBRO INC.                                COM               418056107          210              7,525     SH
HAVERTY FURNITURE COS INC                  COM               419596101          112              4,400     SH
HAWAIIAN ELECTRIC                          COM               419870100           96              2,700     SH
HCC INS HLDGS INC                          COM               404132102          156              8,100     SH
HCR MANOR CARE                             COM               404134108           73              3,000     SH
HCR MANOR CARE INC                         COM               404134108          167              7,300     SH
HEALTH CARE PPTY INVS                      COM               421915109        7,655            265,100     SH
HEALTH MANAGEMENT ASSOCIATES INC - A       COM               421933102          248             22,000     SH
HEALTH MGMT ASSOC                          COM               421933102          950             77,975     SH
HEALTHCARE FINL PARTNERS INC               COM               42219W108        1,505             57,600     SH
HEALTHCARE FINL PRTNER                     COM               42219W108       52,831          1,542,500     SH
HEALTHCARE RLTY TR                         COM               421946104        5,590            264,600     SH
HEALTHSOUTH CORP                           COM               421924101           89              8,600     SH
HEALTHSOUTH CORPORATION                    COM               421924101          231             15,500     SH
HEFTEL BROADCASTING CORP                   COM               422799106          907             20,900     SH
HEICO CORP NEW                             COM               422806208        2,734            127,900     SH
HEILIG-MEYERS                              COM               422893107           37              5,500     SH
HEINZ H J CO                               COM               423074103        4,136             87,310     SH
HEINZ H.J.                                 COM               423074103       18,366            366,400     SH
HELLENIC TELECOMMUN ORGANIZA ADR'S         COM               423325307          332             30,000     SH
HELLER FINANCIAL INC                       CVT               423328871       13,125            125,000     SH
HELLER FINL INC                            COM               423328103          494             21,000     SH
HELMERICH & PAYNE                          COM               423452101           43              1,800     SH
HELMERICH AND PAYNE INC                    COM               423452101          191              8,400     SH
HENRY JACK + ASSOC INC                     COM               426281101           66              1,800     SH
HENRY SCHEIN INC                           COM               806407102        1,437             56,900     SH
HERCULES INC                               COM               427056106          157              4,000     SH
HERSHEY FOODS CORP                         COM               427866108          350              5,900     SH
HERTZ CORP                                 COM               428040109       11,224            209,800     SH
HEWLETT PACKARD CO                         COM               428236103       12,993            191,600     SH
HEWLETT-PACKARD COMPANY                    COM               428236103        4,080             40,600     SH
HIBERNIA CORP                              COM               428656102          224             14,300     SH
HIBERNIA CORP                              COM               428656102          683             52,000     SH
HIGHLAND INS GROUP INC                     COM               431032101            0                 15     SH
HIGHWOODS PPTYS INC                        COM               431284108       14,265            519,900     SH
HIGHWOODS PROPERTIES INC                   COM               431284108        3,293            120,000     SH
HILLENBRAND INDUSTRIES                     COM               431573104          251              5,800     SH
HILLSBOROUGH COMPANIES                     COM               431992106           13              2,571     SH
HILTON HOTELS                              COM               432848109          140              9,900     SH
HILTON HOTELS CORP                         COM               432848109        3,623            255,400     SH
HILTON HOTELS CORP 5.0% 05/15/06           CVT               432848AL3          229              2,500     SH
HISPANIC BROADCASTING                      COM               43357b104       84,335          1,111,500     SH
HOLLYWOOD ENTMT CORP                       COM               436141105          302             16,200     SH
HOLOPHANE CORP                             COM               43645B106          264             12,000     SH
</TABLE>



<TABLE>
<S>                                        <C>                    <C>                      <C>             <C>
HARRIS CORP DEL                            DEFINED                2                          9,200
HARSCO CORP                                DEFINED                1                          4,300
HARTE HANKS INC                            DEFINED                2                         21,000
HARTE-HANKS INC                            DEFINED                3                      1,169,400         25,300
HARTFORD FINANCIAL SERVICES GROUP, IN      DEFINED                1                          9,500
HARTFORD FINANCIAL SVCS GRP                DEFINED                2                         20,000
HASBRO INC.                                DEFINED                1                          7,525
HAVERTY FURNITURE COS INC                  DEFINED                2                          4,400
HAWAIIAN ELECTRIC                          DEFINED                1                          2,700
HCC INS HLDGS INC                          DEFINED                2                          8,100
HCR MANOR CARE                             DEFINED                1                          3,000
HCR MANOR CARE INC                         DEFINED                2                          7,300
HEALTH CARE PPTY INVS                      DEFINED                3                        218,300         46,800
HEALTH MANAGEMENT ASSOCIATES INC - A       DEFINED                1                         22,000
HEALTH MGMT ASSOC                          DEFINED                2                         77,975
HEALTHCARE FINL PARTNERS INC               DEFINED                2                         57,600
HEALTHCARE FINL PRTNER                     DEFINED                3                      1,506,800         35,700
HEALTHCARE RLTY TR                         DEFINED                3                        217,400         47,200
HEALTHSOUTH CORP                           DEFINED                2                          8,600
HEALTHSOUTH CORPORATION                    DEFINED                1                         15,500
HEFTEL BROADCASTING CORP                   DEFINED                2                         20,900
HEICO CORP NEW                             DEFINED                2                        127,900
HEILIG-MEYERS                              DEFINED                1                          5,500
HEINZ H J CO                               DEFINED                2                         87,310
HEINZ H.J.                                 DEFINED                1                        366,400
HELLENIC TELECOMMUN ORGANIZA ADR'S         DEFINED                1                         30,000
HELLER FINANCIAL INC                       DEFINED                1                        125,000
HELLER FINL INC                            DEFINED                2                         21,000
HELMERICH & PAYNE                          DEFINED                1                          1,800
HELMERICH AND PAYNE INC                    DEFINED                2                          8,400
HENRY JACK + ASSOC INC                     DEFINED                2                          1,800
HENRY SCHEIN INC                           DEFINED                2                         56,900
HERCULES INC                               DEFINED                1                          4,000
HERSHEY FOODS CORP                         DEFINED                1                          5,900
HERTZ CORP                                 DEFINED                2                        209,800
HEWLETT PACKARD CO                         DEFINED                2                        191,600
HEWLETT-PACKARD COMPANY                    DEFINED                1                         40,600
HIBERNIA CORP                              DEFINED                1                         14,300
HIBERNIA CORP                              DEFINED                2                         52,000
HIGHLAND INS GROUP INC                     DEFINED                2                             15
HIGHWOODS PPTYS INC                        DEFINED                3                        434,200         85,700
HIGHWOODS PROPERTIES INC                   DEFINED                1                        120,000
HILLENBRAND INDUSTRIES                     DEFINED                1                          5,800
HILLSBOROUGH COMPANIES                     DEFINED                1                          2,571
HILTON HOTELS                              DEFINED                1                          9,900
HILTON HOTELS CORP                         DEFINED                3                        208,000         47,400
HILTON HOTELS CORP 5.0% 05/15/06           DEFINED                1                          2,500
HISPANIC BROADCASTING                      DEFINED                3                      1,087,300         24,200
HOLLYWOOD ENTMT CORP                       DEFINED                2                         16,200
HOLOPHANE CORP                             DEFINED                2                         12,000
</TABLE>


                                  Page 21 of 49

<PAGE>   24
FILE NUMBER 28-219 (CONSOLIDATED)
AS OF 6/30/99


<TABLE>
<S>                                    <C>               <C>             <C>               <C>         <C>
HOME DEPOT                                 COM               437076102       13,165            204,300     SH
HOME DEPOT INC                             COM               437076102       29,792            477,810     SH
HOME DEPOT INC                             COM               437076102        2,900             45,000     SH
HOME PPTYS N Y INC                         COM               437306103          296             12,800     SH
HOMEBASE INC 5.25% 11/1/04                 CVT               43738EAA6          258              3,000     SH
HOMESTAKE MINING                           COM               437614100           63              7,700     SH
HON INDS INC                               COM               438092108          152              5,200     SH
HON INDS INC                               COM               438092108          325             14,800     SH
HONEYWELL                                  COM               438506107          556              4,800     SH
HONEYWELL INC                              COM               438506107        1,137             15,000     SH
HORACE MANN EDUCATORS CORP                 COM               440327104        1,974             72,600     SH
HOSPITALITY PPTYS                          COM               44106M102        4,199            154,800     SH
HOST MARRIOTT CORP                         COM               44107p104       20,487          1,725,200     SH
HOST MARRIOTT CORP (REIT)                  COM               44107P104          427             35,967     SH
HOST MARRIOTT CORP NEW                     COM               44107P104          468             42,100     SH
HOST MARRIOTT SERVICES CORP                COM               440914109           54              6,617     SH
HOUGHTON MIFFLIN CO                        COM               441560109          127              2,700     SH
HOUGHTON MIFFLIN CO                        COM               441560109          502             10,700     SH
HOUSEHOLD INT'L                            COM               441815107        1,015             21,425     SH
HOUSEHOLD INTL INC                         COM               441815107        5,448            119,400     SH
HRPT TRUST                                 COM               40426w101        5,416            353,700     SH
HSB GROUP INC                              COM               40428N109       14,889            361,500     SH
HUANENG POWER INTL INC                     COM               443304100           40              4,000     SH
HUBBELL INC. Class B                       COM               443510201          259              5,700     SH
HUBCO INC                                  COM               404382103          419             12,510     SH
HUGHES SUPPLY INC                          COM               444482103           96              4,200     SH
HUMANA CORP                                COM               444859102           82              6,300     SH
HUNT (JB) TRANSPRT SVCS INC                COM               445658107           55              3,400     SH
HUNTINGTON BANCSHARES                      COM               446150104          278              7,930     SH
HUSSMANN INTL INC                          COM               448110106           84              5,700     SH
HYPERCOM CORP                              COM               44913M105          217             34,000     SH
HYPERION SOLUTIONS CORP                    COM               44914M104           77              5,280     SH
IBERDROLA SA                               COM               442464004          165             11,120     SH
IBP INC.                                   COM               449223106          195              8,200     SH
ICG COMMUNICATIONS INC                     COM               449246107          755             37,800     SH
ICN PHARMACEUTICALS INC                    COM               448924100          225              7,000     SH
IDACORP INC                                COM               451107106          104              3,300     SH
IDACORP INC                                COM               451107106          226              7,700     SH
IKON OFFICE SOLUTIONS INC                  COM               451713101           75              5,000     SH
ILLINOIS TOOL WORKS                        COM               452308109          801              9,800     SH
ILLINOVA CORP                              COM               452317100          177              6,500     SH
ILLINOVA CORP                              COM               452317100          311             14,700     SH
IMASCO                                     COM               452451701        3,661            131,400     SH
IMATION CORPORATION                        COM               45245A107           92              3,700     SH
IMAX CORP                                  COM               45245E109          282             14,400     SH
IMC GLOBAL INC                             COM               449669100          204             10,000     SH
IMC GLOBAL INC.                            COM               449669100          182             10,500     SH
IMPERIAL BANCORP                           COM               452556103          343             20,000     SH
IMS HEALTH INC                             COM               449934108        3,119             94,160     SH
IMS HEALTH INC.                            COM               449934108          409             13,100     SH
</TABLE>



<TABLE>
<S>                                        <C>                    <C>                      <C>             <C>
HOME DEPOT                                 DEFINED                1                        204,300
HOME DEPOT INC                             DEFINED                2                        477,810
HOME DEPOT INC                             DEFINED                3                         45,000
HOME PPTYS N Y INC                         DEFINED                2                         12,800
HOMEBASE INC 5.25% 11/1/04                 DEFINED                1                          3,000
HOMESTAKE MINING                           DEFINED                1                          7,700
HON INDS INC                               DEFINED                1                          5,200
HON INDS INC                               DEFINED                2                         14,800
HONEYWELL                                  DEFINED                1                          4,800
HONEYWELL INC                              DEFINED                2                         15,000
HORACE MANN EDUCATORS CORP                 DEFINED                1                         72,600
HOSPITALITY PPTYS                          DEFINED                3                        128,600         26,200
HOST MARRIOTT CORP                         DEFINED                3                      1,424,100        301,100
HOST MARRIOTT CORP (REIT)                  DEFINED                1                         35,967
HOST MARRIOTT CORP NEW                     DEFINED                2                         42,100
HOST MARRIOTT SERVICES CORP                DEFINED                1                          6,617
HOUGHTON MIFFLIN CO                        DEFINED                1                          2,700
HOUGHTON MIFFLIN CO                        DEFINED                2                         10,700
HOUSEHOLD INT'L                            DEFINED                1                         21,425
HOUSEHOLD INTL INC                         DEFINED                2                        119,400
HRPT TRUST                                 DEFINED                3                        291,400         62,300
HSB GROUP INC                              DEFINED                1                        361,500
HUANENG POWER INTL INC                     DEFINED                2                          4,000
HUBBELL INC. Class B                       DEFINED                1                          5,700
HUBCO INC                                  DEFINED                2                         12,510
HUGHES SUPPLY INC                          DEFINED                2                          4,200
HUMANA CORP                                DEFINED                1                          6,300
HUNT (JB) TRANSPRT SVCS INC                DEFINED                1                          3,400
HUNTINGTON BANCSHARES                      DEFINED                1                          7,930
HUSSMANN INTL INC                          DEFINED                2                          5,700
HYPERCOM CORP                              DEFINED                2                         34,000
HYPERION SOLUTIONS CORP                    DEFINED                2                          5,280
IBERDROLA SA                               DEFINED                2                         11,120
IBP INC.                                   DEFINED                1                          8,200
ICG COMMUNICATIONS INC                     DEFINED                2                         37,800
ICN PHARMACEUTICALS INC                    DEFINED                1                          7,000
IDACORP INC                                DEFINED                1                          3,300
IDACORP INC                                DEFINED                2                          7,700
IKON OFFICE SOLUTIONS INC                  DEFINED                1                          5,000
ILLINOIS TOOL WORKS                        DEFINED                1                          9,800
ILLINOVA CORP                              DEFINED                1                          6,500
ILLINOVA CORP                              DEFINED                2                         14,700
IMASCO                                     DEFINED                1                        131,400
IMATION CORPORATION                        DEFINED                1                          3,700
IMAX CORP                                  DEFINED                2                         14,400
IMC GLOBAL INC                             DEFINED                2                         10,000
IMC GLOBAL INC.                            DEFINED                1                         10,500
IMPERIAL BANCORP                           DEFINED                2                         20,000
IMS HEALTH INC                             DEFINED                2                         94,160
IMS HEALTH INC.                            DEFINED                1                         13,100
</TABLE>


                                  Page 22 of 49

<PAGE>   25
FILE NUMBER 28-219 (CONSOLIDATED)
AS OF 6/30/99


<TABLE>
<S>                                    <C>               <C>             <C>               <C>         <C>
INA(IST NAZ ASS)                           COM               453493900          242   0         80,000     SH
INACOM CORP                                COM               45323G109           22              2,800     SH
INCO LTD                                   COM               453258402          115              6,400     SH
INDIANA ENERGY INC                         COM               454707100           57              2,666     SH
INDIGO AVIATION AB                         COM               45567P104        2,182            329,300     SH
INFINITY                                   COM               45662s102        3,719            125,800     SH
INFINITY BROADCASTING CORP NEW             COM               45662S102          749             29,100     SH
INFORMATION RES INC                        COM               456905108           21              2,400     SH
INFORMIX CORP                              COM               456779107          135             15,800     SH
INFOSEEK CORP                              COM               45678M107        3,839             51,900     SH
INFOSYS TECH - ADR                         COM              4567881085          406              7,000     SH
INGERSOLL-RAND                             COM               456866102        1,050             16,250     SH
INKTOMI CORP                               COM               457277101        5,948             69,460     SH
INNKEEPERS USA TR                          COM               4576J0104        4,094            409,400     SH
INSIGHT ENTERPRISES INC                    COM               45765U103          639             25,700     SH
INSPIRE INS SOLUTIONS                      COM               457732105       19,465          1,342,400     SH
INSURANCE AUTO AUCTIONS                    COM               457875102        1,613            100,000     SH
INSURANCE MGMT SOLUTNS                     COM               458045101          638             75,000     SH
INTEGRATED DEVICE TECH INC                 COM               458118106           84              7,700     SH
INTEL CORP                                 COM               458140100       30,982            520,700     SH
INTEL CORP                                 COM               458140100       18,636            157,540     SH
INTERFACE INC                              COM               458665106          103             11,000     SH
INTERIM SVCS INC                           COM               45868P100          662             44,100     SH
INTERMEDIA COMM COMMON                     COM               458801107            0              7,399     SH
INTERMEDIA COMM SER. B                     CVT               458801404          507              5,169     SH
INTERMEDIA COMMUNICATIONS INC              COM               458801107        3,166            118,900     SH
INTERMET CORP                              COM               45881K104           79              5,900     SH
INTERNATIONAL BUSINESS MACHINES            COM               459200101       36,410            281,700     SH
INTERNATIONAL BUSINESS MACHS               COM               459200101       26,626            152,755     SH
INTERNATIONAL FLAVORS & FRAGRANCES         COM               459506101          202              4,600     SH
INTERNATIONAL FLAVOURS                     COM               459506101        4,245            113,016     SH
INTERNATIONAL GAME TECHNOLOGY              COM               459902102          176              9,500     SH
INTERNATIONAL MULTIFOOD                    COM               460043102           36              1,600     SH
INTERNATIONAL MULTIFOODS CORP              COM               460043102           84              3,600     SH
INTERNATIONAL PAPER                        COM               460146103          782             15,559     SH
INTERNATIONAL PAPER CO                     COM               460146103        4,793            113,605     SH
INTERNATIONAL SPEEDWAY                     COM               460335201       38,185            803,900     SH
INTERPUBLIC GROUP COS                      COM               460690100          485              5,600     SH
INTERPUBLIC GROUP COS INC                  COM               460690100        1,931             24,800     SH
INTERSTATE BAKERIES CORP                   COM               46072H108          139              6,200     SH
INTERSTATE BAKERIES CORP                   COM               46072H108          173              8,000     SH
INTERSTATE HOTELS CORPORATION              COM               46088R108           62             15,057     SH
INTERTAN INC                               COM               461120107        1,500             75,000     SH
INTRAWARE INC                              COM               46118M103          200              5,000     SH
INTUIT                                     COM               461202103        1,025             10,080     SH
INTUIT INCORPORATION                       COM               461202103          469              5,200     SH
INVESTMENT TECHNOLOGY GROUP                COM               46145F105           80              2,500     SH
INVITROGEN CORP                            COM               46185R100        1,893            147,000     SH
INVITROGEN CORP                            COM               46185R100        1,827             74,000     SH
IONICS INC                                 COM               462218108          609             20,200     SH
</TABLE>



<TABLE>
<S>                                        <C>                    <C>                      <C>             <C>
INA(IST NAZ ASS)                           DEFINED                2                         80,000
INACOM CORP                                DEFINED                2                          2,800
INCO LTD                                   DEFINED                1                          6,400
INDIANA ENERGY INC                         DEFINED                1                          2,666
INDIGO AVIATION AB                         DEFINED                3                        329,300
INFINITY                                   DEFINED                3                        104,100         21,700
INFINITY BROADCASTING CORP NEW             DEFINED                2                         29,100
INFORMATION RES INC                        DEFINED                1                          2,400
INFORMIX CORP                              DEFINED                1                         15,800
INFOSEEK CORP                              DEFINED                2                         51,900
INFOSYS TECH - ADR                         DEFINED                1                          7,000
INGERSOLL-RAND                             DEFINED                1                         16,250
INKTOMI CORP                               DEFINED                2                         69,460
INNKEEPERS USA TR                          DEFINED                3                        341,600         67,800
INSIGHT ENTERPRISES INC                    DEFINED                2                         25,700
INSPIRE INS SOLUTIONS                      DEFINED                3                      1,318,400         24,000
INSURANCE AUTO AUCTIONS                    DEFINED                1                        100,000
INSURANCE MGMT SOLUTNS                     DEFINED                3                         75,000
INTEGRATED DEVICE TECH INC                 DEFINED                1                          7,700
INTEL CORP                                 DEFINED                1                        520,700
INTEL CORP                                 DEFINED                2                        157,540
INTERFACE INC                              DEFINED                2                         11,000
INTERIM SVCS INC                           DEFINED                2                         44,100
INTERMEDIA COMM COMMON                     DEFINED                2                          7,399
INTERMEDIA COMM SER. B                     DEFINED                1                          5,169
INTERMEDIA COMMUNICATIONS INC              DEFINED                2                        118,900
INTERMET CORP                              DEFINED                2                          5,900
INTERNATIONAL BUSINESS MACHINES            DEFINED                1                        281,700
INTERNATIONAL BUSINESS MACHS               DEFINED                2                        152,755
INTERNATIONAL FLAVORS & FRAGRANCES         DEFINED                1                          4,600
INTERNATIONAL FLAVOURS                     DEFINED                2                        113,016
INTERNATIONAL GAME TECHNOLOGY              DEFINED                1                          9,500
INTERNATIONAL MULTIFOOD                    DEFINED                1                          1,600
INTERNATIONAL MULTIFOODS CORP              DEFINED                2                          3,600
INTERNATIONAL PAPER                        DEFINED                1                         15,559
INTERNATIONAL PAPER CO                     DEFINED                2                        113,605
INTERNATIONAL SPEEDWAY                     DEFINED                3                        782,400         21,500
INTERPUBLIC GROUP COS                      DEFINED                1                          5,600
INTERPUBLIC GROUP COS INC                  DEFINED                2                         24,800
INTERSTATE BAKERIES CORP                   DEFINED                1                          6,200
INTERSTATE BAKERIES CORP                   DEFINED                2                          8,000
INTERSTATE HOTELS CORPORATION              DEFINED                1                         15,057
INTERTAN INC                               DEFINED                3                         75,000
INTRAWARE INC                              DEFINED                2                          5,000
INTUIT                                     DEFINED                2                         10,080
INTUIT INCORPORATION                       DEFINED                1                          5,200
INVESTMENT TECHNOLOGY GROUP                DEFINED                1                          2,500
INVITROGEN CORP                            DEFINED                2                        147,000
INVITROGEN CORP                            DEFINED                3                         74,000
IONICS INC                                 DEFINED                2                         20,200
</TABLE>


                                  Page 23 of 49


<PAGE>   26
FILE NUMBER 28-219 (CONSOLIDATED)
AS OF 6/30/99


<TABLE>
<S>                                   <C>               <C>             <C>               <C>         <C>
IPALCO ENTERPRISES INC                     COM               462613100          161              7,600     SH
IPC HOLDINGS LTD                           COM               G4933P101          278             14,000     SH
IPC HOLDINGS LTDS                          COM               G4933P101      122,000          6,100,000     SH
IRON MOUNTAIN INC                          COM               462849104            3            100,000     SH
IRON MTN INC DEL                           COM               46284P104       45,149          1,577,250     SH
IRT PPTY CO                                COM               450058102          353             40,000     SH
IRT PPTY CO                                COM               450058102        4,230            428,400     SH
ISS GROUP INC                              COM               450306105          585              7,300     SH
ITALGAS(SOC ITAL)                          COM               446820003           39              8,000     SH
ITT EDL SVCS INC                           COM               45068B109        2,780             74,000     SH
ITT INDUSTRIES                             COM               450911102          160              4,200     SH
IVAX CORP                                  COM               465823102          148             10,500     SH
IVILLAGE INC                               COM               46588H105          291              2,900     SH
IXL ENTERPRISES INC                        COM               450718101        1,075             40,000     SH
J.C. PENNEY & CO.                          COM               708160106          665             13,700     SH
J.M. SMUCKER                               COM               832696108           45              2,000     SH
JABIL CIRCUIT INC                          COM               466313103          320              7,100     SH
JACOBS ENGR GROUP INC                      COM               469814107           87              2,300     SH
JACOR COMMUNICATIONS INC                   COM               469858401        3,260             42,900     SH
JDN RLTY CORP                              COM               465917102          121              6,100     SH
JDN RLTY CORP                              COM               465917102        2,918            130,400     SH
JEFFERSON PILOT                            COM               475070108          351              5,300     SH
JERONIMO MARTINS SGPS                      COM               447723008          163              4,566     SH
JLG INDS INC                               COM               466210101          226             16,600     SH
JOHNSON & JOHNSON                          COM               478160104       19,118            195,080     SH
JOHNSON & JOHNSON                          COM               478160104       17,649            188,080     SH
JOHNSON CONTROLS INC                       COM               478366107          243              3,500     SH
JONES APPAREL GROUP IN                     COM               480074103          376             10,953     SH
JONES APPAREL GROUP INC                    COM               480074103          617             22,100     SH
JONES INTERCABLE INC                       COM               480206200        1,138             28,900     SH
JONES LANG LASALLE INC                     COM               48020Q107          543             18,100     SH
JONES PHARMACEUTICALS                      COM               480236108       35,827            909,900     SH
JOSTENS                                    COM               481088102           25              1,200     SH
JOSTENS INC                                COM               481088102          425             20,000     SH
JP REALTY INC                              COM               46624A106        1,388             67,500     SH
JUST FOR FEET INC                          COM               48213P106          313             25,000     SH
K MART                                     COM               482584109          310             18,800     SH
K MART CORP                                COM               482584109          398             23,700     SH
K2 INC                                     COM               482732104           65              8,200     SH
KANSAS CITY PWR & LT C                     COM               485134100          138              5,400     SH
KANSAS CITY SOUTHN IND                     COM               485170104          306              4,800     SH
KAUFMAN & BROAD HOME CORP.                 COM               486168107           55              2,200     SH
KAUFMAN + BROAD HOME CORP                  COM               486168107           47              2,100     SH
KAYDON CORP                                COM               486587108          130              4,500     SH
KAYDON CORP.                               COM               486587108           94              2,800     SH
KBC BANKVERZEKERIN NPV                     COM               449774009          433              6,480     SH
KEANE INC                                  COM               486665102          127              5,600     SH
KEEBLER FOODS CO                           COM               487256109          548             15,000     SH
KELLOGG                                    COM               487836108          561             17,000     SH
KELLOGG CO                                 COM               487836108        4,920            145,517     SH
</TABLE>



<TABLE>
<S>                                        <C>                    <C>                      <C>             <C>
IPALCO ENTERPRISES INC                     DEFINED                1                          7,600
IPC HOLDINGS LTD                           DEFINED                2                         14,000
IPC HOLDINGS LTDS                          DEFINED                1                      6,100,000
IRON MOUNTAIN INC                          DEFINED                2                        100,000
IRON MTN INC DEL                           DEFINED                3                      1,520,700         56,550
IRT PPTY CO                                DEFINED                2                         40,000
IRT PPTY CO                                DEFINED                3                        352,500         75,900
ISS GROUP INC                              DEFINED                2                          7,300
ITALGAS(SOC ITAL)                          DEFINED                2                          8,000
ITT EDL SVCS INC                           DEFINED                2                         74,000
ITT INDUSTRIES                             DEFINED                1                          4,200
IVAX CORP                                  DEFINED                1                         10,500
IVILLAGE INC                               DEFINED                2                          2,900
IXL ENTERPRISES INC                        DEFINED                3                         40,000
J.C. PENNEY & CO.                          DEFINED                1                         13,700
J.M. SMUCKER                               DEFINED                1                          2,000
JABIL CIRCUIT INC                          DEFINED                1                          7,100
JACOBS ENGR GROUP INC                      DEFINED                1                          2,300
JACOR COMMUNICATIONS INC                   DEFINED                2                         42,900
JDN RLTY CORP                              DEFINED                2                          6,100
JDN RLTY CORP                              DEFINED                3                        106,900         23,500
JEFFERSON PILOT                            DEFINED                1                          5,300
JERONIMO MARTINS SGPS                      DEFINED                2                          4,566
JLG INDS INC                               DEFINED                2                         16,600
JOHNSON & JOHNSON                          DEFINED                1                        195,080
JOHNSON & JOHNSON                          DEFINED                2                        188,080
JOHNSON CONTROLS INC                       DEFINED                1                          3,500
JONES APPAREL GROUP IN                     DEFINED                1                         10,953
JONES APPAREL GROUP INC                    DEFINED                2                         22,100
JONES INTERCABLE INC                       DEFINED                2                         28,900
JONES LANG LASALLE INC                     DEFINED                2                         18,100
JONES PHARMACEUTICALS                      DEFINED                3                        877,100         32,800
JOSTENS                                    DEFINED                1                          1,200
JOSTENS INC                                DEFINED                2                         20,000
JP REALTY INC                              DEFINED                3                         55,500         12,000
JUST FOR FEET INC                          DEFINED                2                         25,000
K MART                                     DEFINED                1                         18,800
K MART CORP                                DEFINED                2                         23,700
K2 INC                                     DEFINED                2                          8,200
KANSAS CITY PWR & LT C                     DEFINED                1                          5,400
KANSAS CITY SOUTHN IND                     DEFINED                1                          4,800
KAUFMAN & BROAD HOME CORP.                 DEFINED                1                          2,200
KAUFMAN + BROAD HOME CORP                  DEFINED                2                          2,100
KAYDON CORP                                DEFINED                2                          4,500
KAYDON CORP.                               DEFINED                1                          2,800
KBC BANKVERZEKERIN NPV                     DEFINED                2                          6,480
KEANE INC                                  DEFINED                1                          5,600
KEEBLER FOODS CO                           DEFINED                2                         15,000
KELLOGG                                    DEFINED                1                         17,000
KELLOGG CO                                 DEFINED                2                        145,517
</TABLE>


                                  Page 24 of 49

<PAGE>   27
FILE NUMBER 28-219 (CONSOLIDATED)
AS OF 6/30/99


<TABLE>
<S>                                        <C>               <C>             <C>               <C>         <C>
KELLSTROM INDS INC                         COM               488035106           71          4,500     SH
KELLWOOD CO                                COM               488044108          119          5,400     SH
KELLY SERVICES CI'A'                       COM               488152208          103          3,200     SH
KEMET CORP                                 COM               488360108          162         14,200     SH
KENNAMETAL INC                             COM               489170100           74          2,400     SH
KERR MCGEE CORP                            COM               492386107          165          3,285     SH
KEY PRODTN INC                             COM               493138101          928        101,000     SH
KEYCORP                                    COM               493267108          585         18,200     SH
KEYSPAN CORPORTATION                       COM               49337W100          340         12,900     SH
KEYSTONE FINANCIAL INC                     COM               493482103          130          4,400     SH
KILROY REALTY CORP                         COM               49427F108        3,656        150,000     SH
KILROY RLTY CORP                           COM               49427F108          123          6,000     SH
KIMBALL INTL INC                           COM               494274103           74          5,000     SH
KIMBERLY CLARK CORP                        COM               494368103          259          5,400     SH
KIMBERLY-CLARK CORP                        COM               494368103        1,454         25,500     SH
KIMCO REALTY                               COM               49446R109       35,500        893,075     SH
KIMCO REALTY CORP                          COM               49446R109       12,410        312,200     SH
KIMCO RLTY CORP                            COM               49446R109           15            400     SH
KING WORLD PRODUCTIONS                     COM               495667107           87          2,500     SH
KINGFISHER                                 COM               026201905          503         40,000     SH
KLA TENCOR CORP                            COM               482480100          481          9,900     SH
KLA-TENCOR CORP                            COM               482480100          212          3,275     SH
KLM ROYAL DUTCH AIRLS                      COM               482516101          389         14,000     SH
KMART FINANCING 7.75% PFD                  CVT               498778208        3,510         60,000     SH
KN ENERGY INC.                             COM               482620101           76          5,700     SH
KNIGHT RIDDER INC.                         COM               499040103          198          3,600     SH
KNIGHT TRIMARK GROUP                       COM               499067106          670         10,000     SH
KNIGHT/TRIMARK GRP                         COM               499067106       22,729        372,600     SH
KNIGHTSBRIDGE TANKERS LTD                  COM               G5299G106          540         32,000     SH
KOGER EQUITY INC                           COM               500228101           47          3,500     SH
KOHLS CORPORATION                          COM               500255104          538          7,000     SH
KOMAG INC                                  COM               500453105          157         35,800     SH
KONINKLIJKE PHILIPS ELECTRS NV             COM               500472105          247          3,000     SH
KONINKLIJKE PHILIPS ELECTRS NV             COM               500472105           41            500     SH
KOREA ELEC POWER CORP-SP ADR               COM               500631106        2,960        164,000     SH
KOREA ELEC PWR CORP                        COM               500631106          136         10,700     SH
KOREA FUND INC                             COM               500634100        1,978        133,000     SH
KRAUSES FURNITURE INC                      COM               500760202          314        173,100     SH
KROGER CO.                                 COM               501044101          941         33,700     SH
KROLL O GARA CO                            COM               501050108        4,646        171,800     SH
KROLL-O'GARA COMPANY                       COM               501050108       31,863      1,444,212     SH
L OREAL                                    COM               453478000          101            160     SH
LA Z BOY INC                               COM               505336107          131          6,900     SH
LAB HLDGS INC                              COM               505353102          527         31,700     SH
LABONE INC                                 COM               50540E101           37          3,500     SH
LACLEDE GAS CO                             COM               505588103          559         26,700     SH
LAFARGE                                    COM               450270004           67            742     SH
LAIDLAW INC.                               COM               50730K503           92         12,500     SH
LAM RESH CORP                              COM               512807108          525         18,100     SH
LAMONTS APPAREL INC                        COM               513628404           13         34,222     SH
</TABLE>



<TABLE>
<S>                                        <C>                    <C>                      <C>             <C>
KELLSTROM INDS INC                         DEFINED                2                          4,500
KELLWOOD CO                                DEFINED                2                          5,400
KELLY SERVICES CI'A'                       DEFINED                1                          3,200
KEMET CORP                                 DEFINED                2                         14,200
KENNAMETAL INC                             DEFINED                1                          2,400
KERR MCGEE CORP                            DEFINED                1                          3,285
KEY PRODTN INC                             DEFINED                3                        101,000
KEYCORP                                    DEFINED                1                         18,200
KEYSPAN CORPORTATION                       DEFINED                1                         12,900
KEYSTONE FINANCIAL INC                     DEFINED                1                          4,400
KILROY REALTY CORP                         DEFINED                1                        150,000
KILROY RLTY CORP                           DEFINED                2                          6,000
KIMBALL INTL INC                           DEFINED                2                          5,000
KIMBERLY CLARK CORP                        DEFINED                2                          5,400
KIMBERLY-CLARK CORP                        DEFINED                1                         25,500
KIMCO REALTY                               DEFINED                1                        893,075
KIMCO REALTY CORP                          DEFINED                3                        255,800         56,400
KIMCO RLTY CORP                            DEFINED                2                            400
KING WORLD PRODUCTIONS                     DEFINED                1                          2,500
KINGFISHER                                 DEFINED                2                         40,000
KLA TENCOR CORP                            DEFINED                2                          9,900
KLA-TENCOR CORP                            DEFINED                1                          3,275
KLM ROYAL DUTCH AIRLS                      DEFINED                2                         14,000
KMART FINANCING 7.75% PFD                  DEFINED                1                         60,000
KN ENERGY INC.                             DEFINED                1                          5,700
KNIGHT RIDDER INC.                         DEFINED                1                          3,600
KNIGHT TRIMARK GROUP                       DEFINED                2                         10,000
KNIGHT/TRIMARK GRP                         DEFINED                3                        357,200         15,400
KNIGHTSBRIDGE TANKERS LTD                  DEFINED                2                         32,000
KOGER EQUITY INC                           DEFINED                2                          3,500
KOHLS CORPORATION                          DEFINED                1                          7,000
KOMAG INC                                  DEFINED                2                         35,800
KONINKLIJKE PHILIPS ELECTRS NV             DEFINED                2                          3,000
KONINKLIJKE PHILIPS ELECTRS NV             DEFINED                2                            500
KOREA ELEC POWER CORP-SP ADR               DEFINED                1                        164,000
KOREA ELEC PWR CORP                        DEFINED                2                         10,700
KOREA FUND INC                             DEFINED                1                        133,000
KRAUSES FURNITURE INC                      DEFINED                2                        173,100
KROGER CO.                                 DEFINED                1                         33,700
KROLL O GARA CO                            DEFINED                2                        171,800
KROLL-O'GARA COMPANY                       DEFINED                1                      1,444,212
L OREAL                                    DEFINED                2                            160
LA Z BOY INC                               DEFINED                2                          6,900
LAB HLDGS INC                              DEFINED                2                         31,700
LABONE INC                                 DEFINED                2                          3,500
LACLEDE GAS CO                             DEFINED                2                         26,700
LAFARGE                                    DEFINED                2                            742
LAIDLAW INC.                               DEFINED                1                         12,500
LAM RESH CORP                              DEFINED                2                         18,100
LAMONTS APPAREL INC                        DEFINED                1                         34,222
</TABLE>


                                  Page 25 of 49


<PAGE>   28

File Number 28-219 (Consolidated)
As of 6/30/99


<TABLE>
<S>                                                              <C>               <C>             <C>              <C>          <C>
LANCASTER COLONY CORP                                            COM               513847103          129          3,750     SH 
LANCASTER COLONY CORP                                            COM               513847103          797         30,000     SH 
LANCE INC                                                        COM               514606102          225         14,400     SH 
LANCE INC                                                        COM               514606102        1,113         70,100     SH 
LANDAMERICA FINL GROUP INC                                       COM               514936103           17            600     SH 
LANDRYS SEAFOOD REST INC                                         COM               51508L103          179         28,000     SH 
LANDS END INC                                                    COM               515086106          140          2,900     SH 
LAS VEGAS ENTER NETWRK CO                                        COM               517669305            0         90,629     SH 
LASALLE RE HOLDINGS LTD                                          COM               G5383Q101          881         30,000     SH 
LASON HLDGS INC                                                  COM               51808R107          528          9,400     SH 
LATTICE SEMICONDUCTOR CORP                                       COM               518415104          632         13,900     SH 
LAUDER ESTEE COS INC                                             COM               518439104          567          6,000     SH 
LEAR CORP                                                        COM               521865105          867         20,300     SH 
LEAR CORPORATION                                                 COM               521865105          289          5,800     SH 
LEARNING CO INC                                                  COM               522008101          458         15,800     SH 
LEE ENTERPRISES INC                                              COM               523768109          110          3,600     SH 
LEGATO SYSTEMS INC                                               COM               524651106          196          3,400     SH 
LEGATO SYSTEMS INC                                               COM               524651106        3,392         65,800     SH 
LEGGETT & PLATT INC.                                             COM               524660107          470         16,900     SH 
LEHMAN BROTHERS HLDGS INC                                        COM               524908100          896         15,000     SH 
LEHMAN BROTHERS HOLDING INC                                      COM               524908100          236          3,800     SH 
LEINER HEALTH PRODUCTS INC. NEW                                  COM               525367108          364          3,640     SH 
LEINER HEALTH PRODUCTS INC. WARRANTS                             COM               525996112           43          8,925     SH 
LEVEL 3 COMMUNICATIONS INC                                       COM               52729N100        3,713         50,990     SH 
LEXMARK INTL GROUP - CL A                                        COM               529771107          799         12,200     SH 
LG&E ENERGY CORP                                                 COM               501917108          250         11,900     SH 
LIBBEY INC                                                       COM               529898108           90          2,900     SH 
LIBERTY FINANCIAL COMPANIES                                      COM               530512102          628         25,000     SH 
LIBERTY PPTY                                                     COM               531172104       11,059        444,600     SH 
LIBERTY PROPERTY                                                 COM               531172104           66          3,200     SH 
LIFE FINL CORP                                                   COM               53184P101           25          8,000     SH 
LIFEPOINT HOSPITAL INC                                           COM               53219L109            0              9     SH 
LIFEPOINT HOSPITALS INC. W/I                                     COM               53219L109            0              1     SH 
LILLY ELI + CO                                                   COM               532457108        5,346         62,990     SH 
LIMITED INC                                                      COM               532716107          454         10,000     SH 
LIMITED INC                                                      COM               532716107          424         10,700     SH 
LINCARE HLDGS INC                                                COM               532791100        1,313         46,800     SH 
LINCARE HOLDINGS INC                                             COM               532791100          125          5,000     SH 
LINCOLN NATIONAL CORP                                            COM               534187109           55          1,050     SH 
LINCOLN NATIONAL CORP.                                           COM               534187109          544         10,400     SH 
LINEAR TECHNOLOGY CORP                                           COM               535678106          874         13,000     SH 
LINEAR TECHNOLOGY CORP                                           COM               535678106        1,040         20,270     SH 
LINENS N THINGS INC                                              COM               535679104       43,273        989,100     SH 
LITCHFIELD FINL CORP                                             COM               536619109       13,174        777,813     SH 
LITTELFUSE INC                                                   COM               537008104          551         30,000     SH 
LITTON INDS INC                                                  COM               538021106          296          4,100     SH 
LIZ CLAIBORNE INC                                                COM               539320101          102          2,800     SH 
LOCKHEED MARTIN CORP                                             COM               539830109          842         22,600     SH 
LOCKHEED MARTIN CORP                                             COM               539830109          328          8,700     SH 
LOEWS CORP.                                                      COM               540424108          411          5,200     SH 
</TABLE>



<TABLE>
<S>                                                          <C>                    <C>                     <C>              <C>
LANCASTER COLONY CORP                                        DEFINED                1                          3,750
LANCASTER COLONY CORP                                        DEFINED                2                         30,000
LANCE INC                                                    DEFINED                1                         14,400
LANCE INC                                                    DEFINED                2                         70,100
LANDAMERICA FINL GROUP INC                                   DEFINED                2                            600
LANDRYS SEAFOOD REST INC                                     DEFINED                2                         28,000
LANDS END INC                                                DEFINED                1                          2,900
LAS VEGAS ENTER NETWRK CO                                    DEFINED                2                         90,629
LASALLE RE HOLDINGS LTD                                      DEFINED                1                         30,000
LASON HLDGS INC                                              DEFINED                2                          9,400
LATTICE SEMICONDUCTOR CORP                                   DEFINED                2                         13,900
LAUDER ESTEE COS INC                                         DEFINED                2                          6,000
LEAR CORP                                                    DEFINED                2                         20,300
LEAR CORPORATION                                             DEFINED                1                          5,800
LEARNING CO INC                                              DEFINED                2                         15,800
LEE ENTERPRISES INC                                          DEFINED                1                          3,600
LEGATO SYSTEMS INC                                           DEFINED                1                          3,400
LEGATO SYSTEMS INC                                           DEFINED                2                         65,800
LEGGETT & PLATT INC.                                         DEFINED                1                         16,900
LEHMAN BROTHERS HLDGS INC                                    DEFINED                2                         15,000
LEHMAN BROTHERS HOLDING INC                                  DEFINED                1                          3,800
LEINER HEALTH PRODUCTS INC. NEW                              DEFINED                1                          3,640
LEINER HEALTH PRODUCTS INC. WARRANTS                         DEFINED                1                          8,925
LEVEL 3 COMMUNICATIONS INC                                   DEFINED                2                         50,990
LEXMARK INTL GROUP - CL A                                    DEFINED                1                         12,200
LG&E ENERGY CORP                                             DEFINED                1                         11,900
LIBBEY INC                                                   DEFINED                2                          2,900
LIBERTY FINANCIAL COMPANIES                                  DEFINED                1                         25,000
LIBERTY PPTY                                                 DEFINED                3                        365,100         79,500
LIBERTY PROPERTY                                             DEFINED                2                          3,200
LIFE FINL CORP                                               DEFINED                2                          8,000
LIFEPOINT HOSPITAL INC                                       DEFINED                2                              9
LIFEPOINT HOSPITALS INC. W/I                                 DEFINED                1                              1
LILLY ELI + CO                                               DEFINED                2                         62,990
LIMITED INC                                                  DEFINED                1                         10,000
LIMITED INC                                                  DEFINED                2                         10,700
LINCARE HLDGS INC                                            DEFINED                2                         46,800
LINCARE HOLDINGS INC                                         DEFINED                1                          5,000
LINCOLN NATIONAL CORP                                        DEFINED                2                          1,050
LINCOLN NATIONAL CORP.                                       DEFINED                1                         10,400
LINEAR TECHNOLOGY CORP                                       DEFINED                1                         13,000
LINEAR TECHNOLOGY CORP                                       DEFINED                2                         20,270
LINENS N THINGS INC                                          DEFINED                3                        969,700         19,400
LITCHFIELD FINL CORP                                         DEFINED                3                        762,613         15,200
LITTELFUSE INC                                               DEFINED                2                         30,000
LITTON INDS INC                                              DEFINED                1                          4,100
LIZ CLAIBORNE INC                                            DEFINED                1                          2,800
LOCKHEED MARTIN CORP                                         DEFINED                1                         22,600
LOCKHEED MARTIN CORP                                         DEFINED                2                          8,700
LOEWS CORP.                                                  DEFINED                1                          5,200
</TABLE>



                                 Page 26 0f 49

<PAGE>   29

File Number 28-219 (Consolidated)
As of 6/30/99


<TABLE>
<S>                                                              <C>              <C>              <C>               <C>         <C>
LO-JACK CORPORATION                                              COM               539451104        2,010        240,000     SH 
LONE STAR INDS INC                                               COM               542290408          217          7,000     SH 
LONE STAR STEAKHOUSE + SALOON                                    COM               542307103           71          6,900     SH 
LONE STAR STEAKHOUSE S                                           COM               542307103           34          3,500     SH 
LONGS DRUG STORES INC                                            COM               543162101           41          1,200     SH 
LONGVIEW FIBRE                                                   COM               543213102           70          4,500     SH 
LORAL SPACE + COMMUNICATIONS                                     COM               G56462107          884         61,200     SH 
LOUISIANA PACIFIC                                                COM               546347105          103          4,300     SH 
LOWE'S COMPANIES                                                 COM               548661107          754         13,300     SH 
LSI LOGIC CORP                                                   COM               502161102          240          5,200     SH 
LTC PROPERTIES                                                   COM               502175102        3,374        259,500     SH 
LUBRIZOL CORP                                                    COM               549271104          450         20,000     SH 
LUBRIZOL CORP.                                                   COM               549271104          142          5,200     SH 
LUBYS CAFETERIAS INC                                             COM               549282101          386         22,900     SH 
LUCENT TECHNOLOGIES                                              COM               549463107       23,620        350,252     SH 
LUCENT TECHNOLOGIES                                              COM               549463107       21,686        217,316     SH 
LYCOS INC                                                        COM               550818108        1,489         17,300     SH 
LYONDELL CHEMICAL COMPANY                                        COM               552078107          198          9,600     SH 
MAC GRAY CORP                                                    COM               554153106          891         97,000     SH 
MACDERMID INC                                                    COM               554273102       16,298        350,500     SH 
MACERICH CO                                                      COM               554382101        7,038        268,100     SH 
MACK CA RLTY CORP                                                COM               554489104          235          8,000     SH 
MACK CALI REALTY CORP                                            COM               554489104        9,207        297,600     SH 
MACROMEDIA INC                                                   COM               556100105        2,315         51,100     SH 
MADECO SA-ADR                                                    COM              5563041038          197         19,500     SH 
MAGELLAN HEALTH SVCS INC                                         COM               559079108           36          8,700     SH 
MAGNA INTL. 4.875% 2/15/05                                       CVT               559222AF1          294          3,000     SH 
MAGNETEK INC                                                     COM               559424106           23          2,200     SH 
MAGNETEK INC                                                     COM               559424106           84         10,000     SH 
MAHANAGAR TELE NIGAM-GDR                                         COM               559778204          442         51,500     SH 
MAHANAGAR TELEP NI                                               COM               559778204           21          2,000     SH 
MAKER COMMUNICATIONS                                             COM               560875106        1,380         44,500     SH 
MALLINCKRODT GROUP INC                                           COM               561232109          105          2,900     SH 
MALLINCKRODT INC NEW                                             COM               561232109           29          1,100     SH 
MANDALAY RESORT GROUP                                            COM               562567107          178          8,400     SH 
MANPOWER INC                                                     COM               56418H100          158          7,000     SH 
MANPOWER INC WIS                                                 COM               56418H100          281         12,000     SH 
MANUFACTURED HOME CMNT                                           COM               564682102        6,170        237,300     SH 
MANUFACTURED HOME CMNTYS INC                                     COM               564682102          401         16,700     SH 
MANUFACTURED HOME COMMUNITIES                                    COM               564682102        4,680        180,000     SH 
MAPQUEST COM INC                                                 COM               565644101        3,044        186,600     SH 
MARINE DRILLING COS INC                                          COM               568240204          385         35,000     SH 
MARK IV INDS INC                                                 COM               570387100           97          4,600     SH 
MARK IV INDS INC                                                 COM               570387100          179         13,700     SH 
MARKETWATCH COM INC                                              COM               570619106           37            500     SH 
MARRIOTT INTERNATIONAL-CL A                                      COM               571903202        2,825         75,576     SH 
MARRIOTT INTL INC NEW                                            COM               571903202        1,150         34,200     SH 
MARSH & MC LENNAN                                                COM               571748102       16,928        223,650     SH 
MARSH + MCLENNAN COS INC                                         COM               571748102          163          2,200     SH 
MARSHALL & ILSLY CORP                                            COM               571834100          573          8,900     SH 
</TABLE>



<TABLE>
<S>                                                        <C>                    <C>                      <C>             <C>
LO-JACK CORPORATION                                        DEFINED                1                        240,000
LONE STAR INDS INC                                         DEFINED                2                          7,000
LONE STAR STEAKHOUSE + SALOON                              DEFINED                2                          6,900
LONE STAR STEAKHOUSE S                                     DEFINED                1                          3,500
LONGS DRUG STORES INC                                      DEFINED                1                          1,200
LONGVIEW FIBRE                                             DEFINED                1                          4,500
LORAL SPACE + COMMUNICATIONS                               DEFINED                2                         61,200
LOUISIANA PACIFIC                                          DEFINED                1                          4,300
LOWE'S COMPANIES                                           DEFINED                1                         13,300
LSI LOGIC CORP                                             DEFINED                1                          5,200
LTC PROPERTIES                                             DEFINED                3                        209,000         50,500
LUBRIZOL CORP                                              DEFINED                2                         20,000
LUBRIZOL CORP.                                             DEFINED                1                          5,200
LUBYS CAFETERIAS INC                                       DEFINED                2                         22,900
LUCENT TECHNOLOGIES                                        DEFINED                1                        350,252
LUCENT TECHNOLOGIES                                        DEFINED                2                        217,316
LYCOS INC                                                  DEFINED                2                         17,300
LYONDELL CHEMICAL COMPANY                                  DEFINED                1                          9,600
MAC GRAY CORP                                              DEFINED                2                         97,000
MACDERMID INC                                              DEFINED                3                        343,200          7,300
MACERICH CO                                                DEFINED                3                        221,600         46,500
MACK CA RLTY CORP                                          DEFINED                2                          8,000
MACK CALI REALTY CORP                                      DEFINED                3                        244,100         53,500
MACROMEDIA INC                                             DEFINED                2                         51,100
MADECO SA-ADR                                              DEFINED                1                         19,500
MAGELLAN HEALTH SVCS INC                                   DEFINED                2                          8,700
MAGNA INTL. 4.875% 2/15/05                                 DEFINED                1                          3,000
MAGNETEK INC                                               DEFINED                1                          2,200
MAGNETEK INC                                               DEFINED                2                         10,000
MAHANAGAR TELE NIGAM-GDR                                   DEFINED                1                         51,500
MAHANAGAR TELEP NI                                         DEFINED                2                          2,000
MAKER COMMUNICATIONS                                       DEFINED                3                         44,500
MALLINCKRODT GROUP INC                                     DEFINED                1                          2,900
MALLINCKRODT INC NEW                                       DEFINED                2                          1,100
MANDALAY RESORT GROUP                                      DEFINED                1                          8,400
MANPOWER INC                                               DEFINED                1                          7,000
MANPOWER INC WIS                                           DEFINED                2                         12,000
MANUFACTURED HOME CMNT                                     DEFINED                3                        195,500         41,800
MANUFACTURED HOME CMNTYS INC                               DEFINED                2                         16,700
MANUFACTURED HOME COMMUNITIES                              DEFINED                1                        180,000
MAPQUEST COM INC                                           DEFINED                3                        183,400          3,200
MARINE DRILLING COS INC                                    DEFINED                2                         35,000
MARK IV INDS INC                                           DEFINED                1                          4,600
MARK IV INDS INC                                           DEFINED                2                         13,700
MARKETWATCH COM INC                                        DEFINED                2                            500
MARRIOTT INTERNATIONAL-CL A                                DEFINED                1                         75,576
MARRIOTT INTL INC NEW                                      DEFINED                2                         34,200
MARSH & MC LENNAN                                          DEFINED                1                        223,650
MARSH + MCLENNAN COS INC                                   DEFINED                2                          2,200
MARSHALL & ILSLY CORP                                      DEFINED                1                          8,900
</TABLE>



                                 Page 27 of 49

<PAGE>   30

File Number 28-219 (Consolidated)
As of 6/30/99


<TABLE>
<S>                                                              <C>              <C>              <C>             <C>           <C>
MARTIN MARIETTA MATERIALS INC                                    COM               573284106          236              4,000     SH 
MARTIN MARIETTA MATLS INC                                        COM               573284106        3,258             57,100     SH 
MASCO CORP                                                       COM               574599106          375             13,000     SH 
MASCO CORP                                                       COM               574599106        2,011             71,200     SH 
MASISA SA-ADR                                                    COM               574799102          185             17,600     SH 
MATAV RT-SPONSORED ADR                                           COM               559776109          265              9,625     SH 
MATTEL INC                                                       COM               577081102        2,438             97,386     SH 
MATTEL INC.                                                      COM               577081102          355             13,600     SH 
MAXIM INTEGRATED PRODS                                           COM               57772K101          798             12,000     SH 
MAXIM INTEGRATED PRODS INC                                       COM               57772K101        1,341             24,800     SH 
MAXIMUS INC                                                      COM               577933104       36,147          1,257,300     SH 
MAXXAM INC                                                       COM               577913106           52                800     SH 
MAXXIM MED INC                                                   COM               57777G105           68              3,600     SH 
MAY DEPARTMENT STORES                                            COM               577778103          989             24,200     SH 
MAY DEPT STORES CO                                               COM               577778103        5,119            130,848     SH 
MAYTAG CO.                                                       COM               578592107          258              3,700     SH 
MAYTAG CORP                                                      COM               578592107           12                200     SH 
MBIA INC                                                         COM               55262C100           70              1,200     SH 
MBIA INC.                                                        COM               55262C100          259              4,000     SH 
MBNA CORP                                                        COM               55262L100          899             29,365     SH 
MBNA CORP                                                        COM               55262L100          511             21,400     SH 
MBNA CORP                                                        COM               55262L100        7,001            228,600     SH 
MC DONALDS CORP.                                                 COM               580135101       13,148            319,700     SH 
McCORMICK & CO.                                                  COM               579780206          215              6,800     SH 
MCDERMOTT INTERNATIONAL                                          COM               580037109           59              2,100     SH 
MCDERMOTT INTL INC                                               COM               580037109          749             29,600     SH 
MCDONALDS CORP                                                   COM               580135101       10,109            223,100     SH 
MCGRAW HILL CORP                                                 COM               580645109        1,483             27,500     SH 
MCI WORLDCOM                                                     COM               552688106          521              5,885     SH 
MCI WORLDCOM                                                     COM               552688106          503              5,843     SH 
MCI WORLDCOM INC                                                 COM               55268B106       16,946            196,907     SH 
MCI WORLDCOM INC                                                 COM               55268B106       36,435            411,535     SH 
MCKESSON HBOC INC                                                COM               58155Q103          299              9,294     SH 
MCKESSON HBOC INC                                                COM               58155Q103        6,322             95,790     SH 
MCN ENERGY GROUP INC.                                            COM               55267J100          149              7,200     SH 
MDU RES GROUP INC                                                COM               552690109           48              2,100     SH 
MEAD CORP                                                        COM               582834107          175              4,200     SH 
MEDE AMER CORP                                                   COM               584067102        4,152            110,000     SH 
MEDIA GEN INC                                                    COM               584404107          122              2,400     SH 
MEDIA METRIX INC                                                 COM               58440X103          799             15,000     SH 
MEDIAONE GROUP INC                                               COM               58440J104        1,726             23,200     SH 
MEDIAONE GROUP INC                                               COM               58440J104        9,418            148,200     SH 
MEDICIS PHARMACEUTICAL                                           COM               584690309       28,867          1,137,600     SH 
MEDICIS PHARMACEUTICAL CORP                                      COM               584690309          300             10,000     SH 
MEDIMMUNE INC                                                    COM               584699102          318              4,700     SH 
MEDIMMUNE INC                                                    COM               584699102        6,804            114,950     SH 
MEDIOLANUM                                                       COM               553519901        1,987             74,680     SH 
MEDITRUST CORP PAIRED                                            COM               58501T306       14,985          1,147,200     SH 
MEDTRONIC INC                                                    COM               585055106        1,830             25,500     SH 
MEDTRONIC INC.                                                   COM               585055106        1,768             22,700     SH 
</TABLE>



<TABLE>
<S>                                                          <C>                    <C>                    <C>              <C>
MARTIN MARIETTA MATERIALS INC                                DEFINED                1                          4,000
MARTIN MARIETTA MATLS INC                                    DEFINED                2                         57,100
MASCO CORP                                                   DEFINED                1                         13,000
MASCO CORP                                                   DEFINED                2                         71,200
MASISA SA-ADR                                                DEFINED                1                         17,600
MATAV RT-SPONSORED ADR                                       DEFINED                1                          9,625
MATTEL INC                                                   DEFINED                2                         97,386
MATTEL INC.                                                  DEFINED                1                         13,600
MAXIM INTEGRATED PRODS                                       DEFINED                1                         12,000
MAXIM INTEGRATED PRODS INC                                   DEFINED                2                         24,800
MAXIMUS INC                                                  DEFINED                3                      1,232,900         24,400
MAXXAM INC                                                   DEFINED                1                            800
MAXXIM MED INC                                               DEFINED                2                          3,600
MAY DEPARTMENT STORES                                        DEFINED                1                         24,200
MAY DEPT STORES CO                                           DEFINED                2                        130,848
MAYTAG CO.                                                   DEFINED                1                          3,700
MAYTAG CORP                                                  DEFINED                2                            200
MBIA INC                                                     DEFINED                2                          1,200
MBIA INC.                                                    DEFINED                1                          4,000
MBNA CORP                                                    DEFINED                1                         29,365
MBNA CORP                                                    DEFINED                2                         21,400
MBNA CORP                                                    DEFINED                3                        228,600
MC DONALDS CORP.                                             DEFINED                1                        319,700
McCORMICK & CO.                                              DEFINED                1                          6,800
MCDERMOTT INTERNATIONAL                                      DEFINED                1                          2,100
MCDERMOTT INTL INC                                           DEFINED                2                         29,600
MCDONALDS CORP                                               DEFINED                2                        223,100
MCGRAW HILL CORP                                             DEFINED                1                         27,500
MCI WORLDCOM                                                 DEFINED                2                          5,885
MCI WORLDCOM                                                 DEFINED                2                          5,843
MCI WORLDCOM INC                                             DEFINED                1                        196,907
MCI WORLDCOM INC                                             DEFINED                2                        411,535
MCKESSON HBOC INC                                            DEFINED                1                          9,294
MCKESSON HBOC INC                                            DEFINED                2                         95,790
MCN ENERGY GROUP INC.                                        DEFINED                1                          7,200
MDU RES GROUP INC                                            DEFINED                2                          2,100
MEAD CORP                                                    DEFINED                1                          4,200
MEDE AMER CORP                                               DEFINED                3                        110,000
MEDIA GEN INC                                                DEFINED                1                          2,400
MEDIA METRIX INC                                             DEFINED                3                         15,000
MEDIAONE GROUP INC                                           DEFINED                1                         23,200
MEDIAONE GROUP INC                                           DEFINED                2                        148,200
MEDICIS PHARMACEUTICAL                                       DEFINED                3                      1,112,700         24,900
MEDICIS PHARMACEUTICAL CORP                                  DEFINED                2                         10,000
MEDIMMUNE INC                                                DEFINED                1                          4,700
MEDIMMUNE INC                                                DEFINED                2                        114,950
MEDIOLANUM                                                   DEFINED                2                         74,680
MEDITRUST CORP PAIRED                                        DEFINED                3                        944,900        202,300
MEDTRONIC INC                                                DEFINED                2                         25,500
MEDTRONIC INC.                                               DEFINED                1                         22,700
</TABLE>



                                 Page 28 of 49

<PAGE>   31

File Number 28-219 (Consolidated)
As of 6/30/99


<TABLE>
<S>                                                              <C>              <C>              <C>              <C>          <C>
MELLON BANK CORP                                                 COM               585509102          793             21,800     SH 
MELLON BK CORP                                                   COM               585509102        5,982             85,000     SH 
MENTOR GRAPHICS                                                  COM               587200106           72              5,600     SH 
MERCANTILE BANCORPORAT                                           COM               587342106          343              6,000     SH 
MERCANTILE BANCORPORATION INC                                    COM               587342106        2,294             48,300     SH 
MERCANTILE BANCORPORTN                                           COM               587342106        4,142             72,500     SH 
MERCANTILE BANKSHARES CORP                                       COM               587405101          822             23,250     SH 
MERCANTILE BANKSHARES CORP                                       COM               587405101          734             20,100     SH 
MERCK & CO INC                                                   COM               589331107       18,648            234,050     SH 
MERCK & CO.                                                      COM               589331107       25,669            348,640     SH 
MEREDITH CORP                                                    COM               589433101           62              1,800     SH 
MERISTAR HOSPITALITY                                             COM               58984y103          305             13,600     SH 
MERITOR AUTOMOTIVE INC                                           COM               59000G100          145              5,699     SH 
MERRILL LYNCH & CO.                                              COM               590188108        1,089             13,700     SH 
MERRILL LYNCH + CO INC                                           COM               590188108        7,597             85,900     SH 
MESABA HLDGS INC                                                 COM               59066B102          265             20,000     SH 
META GROUP INC                                                   COM               591002100          673             43,800     SH 
METHODE ELECTRS INC                                              COM               591520200          231             21,000     SH 
METRIS COS INC                                                   COM               591598107          143              3,601     SH 
METRIS COS INC                                                   COM               591598107       72,918          1,789,388     SH 
METRO AG                                                         COM               504141904          382              6,100     SH 
METROCALL STOCKS                                                 COM               591647102            0             40,000     SH 
METTLER-TOLEDO INTERNATIONAL                                     COM               592688105       15,010            588,631     SH 
METZLER GROUP INC                                                COM               592903108          622             19,900     SH 
METZLER GROUP INC                                                COM               592903108       46,134          1,670,000     SH 
MEYER FRED INC DEL NEW                                           COM               592907109          841             14,280     SH 
MGI PPTYS                                                        COM               552885105           30              1,100     SH 
MGIC INVESTMENT CORP                                             COM               552848103          263              5,400     SH 
MGIC INVT CORP WIS                                               COM               552848103          214              6,100     SH 
MGIC INVT CORP WIS                                               COM               552848103        5,519            113,500     SH 
MGM GRAND INC                                                    COM               552953101          842             25,035     SH 
MIAMI CRUISELINE SERVICES HOLD I CX B                            COM               593993108        1,604              3,333     SH 
MICHAELS STORES INC SUB NT CV6.75%03                             CVT               594087ac2          593            600,000     SH 
MICRO WHSE INC                                                   COM               59501B105           54              3,000     SH 
MICROCHIP TECHNOLOGY INCORPORATED                                COM               595017104          218              4,600     SH 
MICROMUSE INC                                                    COM               595094103        4,393             95,500     SH 
MICRON  7.0% 7/1/04                                              CVT               595112AB9          202              2,000     SH 
MICRON TECHNOLOGY INC                                            COM               595112103          324              8,000     SH 
MICRON TECHNOLOGY INC                                            COM               595112103          241              5,000     SH 
MICROSOFT                                                        COM               594918104       61,787            685,090     SH 
MICROSOFT CORP                                                   COM               594918104       61,821            690,010     SH 
MIDAMERICAN ENERGY HOLDINGS CO                                   COM               59562V107          177              5,100     SH 
MIDCOAST ENERGY RES                                              COM               59563W104        2,306            143,000     SH 
MIDWEST EXPRESS HLDGS INC                                        COM               597911106           97              3,300     SH 
MILACRON INC                                                     COM               598709103           24              1,300     SH 
MILACRON INC                                                     COM               598709103           33              2,100     SH 
MILLENNIUM CHEMICALS INC                                         COM               599903101          225             11,300     SH 
MILLENNIUM PHARMACEUTICALS                                       COM               599902103          625             20,000     SH 
MILLER HERMAN                                                    COM               600544100          153              7,300     SH 
MILLER HERMAN INC                                                COM               600544100          471             26,100     SH 
</TABLE>



<TABLE>
<S>                                                          <C>                    <C>                    <C>               <C>
MELLON BANK CORP                                             DEFINED                1                         21,800
MELLON BK CORP                                               DEFINED                2                         85,000
MENTOR GRAPHICS                                              DEFINED                1                          5,600
MERCANTILE BANCORPORAT                                       DEFINED                1                          6,000 (C)
MERCANTILE BANCORPORATION INC                                DEFINED                2                         48,300
MERCANTILE BANCORPORTN                                       DEFINED                3                         59,800         12,700
MERCANTILE BANKSHARES CORP                                   DEFINED                1                         23,250
MERCANTILE BANKSHARES CORP                                   DEFINED                2                         20,100
MERCK & CO INC                                               DEFINED                2                        234,050
MERCK & CO.                                                  DEFINED                1                        348,640
MEREDITH CORP                                                DEFINED                1                          1,800
MERISTAR HOSPITALITY                                         DEFINED                3                         13,600
MERITOR AUTOMOTIVE INC                                       DEFINED                1                          5,699
MERRILL LYNCH & CO.                                          DEFINED                1                         13,700
MERRILL LYNCH + CO INC                                       DEFINED                2                         85,900
MESABA HLDGS INC                                             DEFINED                2                         20,000
META GROUP INC                                               DEFINED                2                         43,800
METHODE ELECTRS INC                                          DEFINED                2                         21,000
METRIS COS INC                                               DEFINED                2                          3,601
METRIS COS INC                                               DEFINED                3                      1,723,452         65,936
METRO AG                                                     DEFINED                2                          6,100
METROCALL STOCKS                                             DEFINED                2                         40,000
METTLER-TOLEDO INTERNATIONAL                                 DEFINED                1                        588,631
METZLER GROUP INC                                            DEFINED                2                         19,900
METZLER GROUP INC                                            DEFINED                3                      1,609,200         60,800
MEYER FRED INC DEL NEW                                       DEFINED                2                         14,280
MGI PPTYS                                                    DEFINED                2                          1,100
MGIC INVESTMENT CORP                                         DEFINED                1                          5,400
MGIC INVT CORP WIS                                           DEFINED                2                          6,100
MGIC INVT CORP WIS                                           DEFINED                3                         82,100         31,400
MGM GRAND INC                                                DEFINED                2                         25,035
MIAMI CRUISELINE SERVICES HOLD I CX B                        DEFINED                1                          3,333
MICHAELS STORES INC SUB NT CV6.75%03                         DEFINED                3                        600,000
MICRO WHSE INC                                               DEFINED                1                          3,000
MICROCHIP TECHNOLOGY INCORPORATED                            DEFINED                1                          4,600
MICROMUSE INC                                                DEFINED                2                         95,500
MICRON  7.0% 7/1/04                                          DEFINED                1                          2,000
MICRON TECHNOLOGY INC                                        DEFINED                1                          8,000
MICRON TECHNOLOGY INC                                        DEFINED                2                          5,000
MICROSOFT                                                    DEFINED                1                        685,090
MICROSOFT CORP                                               DEFINED                2                        690,010
MIDAMERICAN ENERGY HOLDINGS CO                               DEFINED                1                          5,100
MIDCOAST ENERGY RES                                          DEFINED                3                        143,000
MIDWEST EXPRESS HLDGS INC                                    DEFINED                2                          3,300
MILACRON INC                                                 DEFINED                1                          1,300
MILACRON INC                                                 DEFINED                2                          2,100
MILLENNIUM CHEMICALS INC                                     DEFINED                2                         11,300
MILLENNIUM PHARMACEUTICALS                                   DEFINED                2                         20,000
MILLER HERMAN                                                DEFINED                1                          7,300
MILLER HERMAN INC                                            DEFINED                2                         26,100
</TABLE>



                                 Page 29 0f 49

<PAGE>   32

File Number 28-219 (Consolidated)
As of 6/30/99


<TABLE>
<S>                                                              <C>              <C>              <C>               <C>         <C>
MILLIPORE CORP                                                   COM               601073109           69              1,700     SH 
MILLIPORE CORP                                                   COM               601073109       18,456            455,000     SH 
MILLS COPORATION                                                 COM               601148109        3,253            150,000     SH 
MINAS BUENAVENTURA-SPON ADR                                      COM               204448104          168             11,000     SH 
MINDSPRING ENTERPRISES INC                                       COM               602683104          567              6,600     SH 
MINERALS TECHNOLOGIES INC                                        COM               603158106          112              2,000     SH 
MINERALS TECHNOLOGIES INC                                        COM               603158106          912             19,000     SH 
MINNESOTA MINING & MFG.                                          COM               604059105        1,452             16,700     SH 
MINNESOTA MNG + MFG CO                                           COM               604059105        6,576             92,949     SH 
MINNESOTA POWER, INC                                             COM               604110106          115              5,800     SH 
MIRAGE RESORTS INC                                               COM              60462E1047          124              7,400     SH 
MIRAGE RESORTS INC                                               COM               60462E104          799             38,296     SH 
MITCHELL ENERGY + DEV CORP                                       COM               606592301          225             18,000     SH 
MITEL CORP                                                       COM               606711109        1,809            275,125     SH 
MMC NETWORKS INC                                                 COM               55308N102       17,564            392,500     SH 
MOBIL CORP                                                       COM               607059102       11,492            129,550     SH 
MOBIL CORP.                                                      COM               607059102        3,985             40,350     SH 
MOBILE MINI                                                      COM               60740F105        1,072             54,800     SH 
MODINE MFG CO                                                    COM               607828100           81              2,500     SH 
MODIS PROFESSIONAL SERVICES                                      COM               607830106          138             10,200     SH 
MOHAWK INDS INC                                                  COM               608190104        1,680             56,000     SH 
MOHAWK INDUSTRIES INC                                            COM               608190104          161              5,300     SH 
MOLEX INC                                                        COM               608554101          506             13,686     SH 
MOLEX INC                                                        COM               608554200          839             32,500     SH 
MOLEX INC                                                        COM               608554101          492             16,737     SH 
MONSANTO COMPANY                                                 COM               611662107          942             23,800     SH 
MONTANA POWER CO                                                 COM               612085100          338              4,800     SH 
MONTANA PWR CO                                                   COM               612085100          736             10,000     SH 
MONY GROUP INC                                                   COM               615337102           62              2,500     SH 
MOOG INC                                                         COM               615394202           70              2,300     SH 
MOORE CORP                                                       COM               615785102        1,622            184,750     SH 
MORGAN J P + CO INC                                              COM               616880100        5,737             46,497     SH 
MORGAN J.P.                                                      COM               616880100        1,068              7,600     SH 
MORGAN STANLEY ASIA PAC FD INC                                   COM               61744U106          656             82,000     SH 
MORGAN STANLEY DEAN WITTER                                       COM               617446448       20,933            208,995     SH 
MORGAN STANLEY DEAN WITTER & CO                                  COM               617446448       24,650            240,191     SH 
MORGAN STANLEY DW INDIA INVESTMENT FU                            COM               61745C105          291             30,000     SH 
MOTOROLA INC                                                     COM               620076109        2,246             23,700     SH 
MOTOROLA INC                                                     COM               620076109        9,437            125,750     SH 
MOVADO GROUP INC                                                 COM               624580106        1,304             52,200     SH 
MTI HOLDING INC COMMON                                           COM               553769100            0            104,164     SH 
MULTEX SYS INC                                                   COM               625367107        2,405             38,500     SH 
MURATA MFG CO                                                    COM               661040006          692             13,000     SH 
MURPHY OIL CORP                                                  COM               626717102          190              3,900     SH 
MURPHY OIL CORP                                                  COM               626717102          266              6,400     SH 
MYLAN LABORATORIES                                               COM               628530107          313             11,800     SH 
MYLAN LABS INC                                                   COM               628530107        5,740            216,600     SH 
NABISCO GROUP HOLDINGS                                           COM               62952P102          284             14,500     SH 
NABISCO HLDGS CORP                                               COM               629526104        1,135             27,300     SH 
NABORS INDS INC                                                  COM               629568106          212              8,700     SH 
</TABLE>



<TABLE>
<S>                                                        <C>                    <C>                      <C>             <C>
MILLIPORE CORP                                             DEFINED                1                          1,700
MILLIPORE CORP                                             DEFINED                3                        444,700         10,300
MILLS COPORATION                                           DEFINED                1                        150,000
MINAS BUENAVENTURA-SPON ADR                                DEFINED                1                         11,000
MINDSPRING ENTERPRISES INC                                 DEFINED                2                          6,600
MINERALS TECHNOLOGIES INC                                  DEFINED                1                          2,000
MINERALS TECHNOLOGIES INC                                  DEFINED                2                         19,000
MINNESOTA MINING & MFG.                                    DEFINED                1                         16,700
MINNESOTA MNG + MFG CO                                     DEFINED                2                         92,949
MINNESOTA POWER, INC                                       DEFINED                1                          5,800
MIRAGE RESORTS INC                                         DEFINED                1                          7,400
MIRAGE RESORTS INC                                         DEFINED                2                         38,296
MITCHELL ENERGY + DEV CORP                                 DEFINED                2                         18,000
MITEL CORP                                                 DEFINED                1                        275,125
MMC NETWORKS INC                                           DEFINED                3                        384,500          8,000
MOBIL CORP                                                 DEFINED                2                        129,550
MOBIL CORP.                                                DEFINED                1                         40,350
MOBILE MINI                                                DEFINED                3                         54,800
MODINE MFG CO                                              DEFINED                1                          2,500
MODIS PROFESSIONAL SERVICES                                DEFINED                1                         10,200
MOHAWK INDS INC                                            DEFINED                2                         56,000
MOHAWK INDUSTRIES INC                                      DEFINED                1                          5,300
MOLEX INC                                                  DEFINED                1                         13,686
MOLEX INC                                                  DEFINED                2                         32,500
MOLEX INC                                                  DEFINED                2                         16,737
MONSANTO COMPANY                                           DEFINED                1                         23,800
MONTANA POWER CO                                           DEFINED                1                          4,800
MONTANA PWR CO                                             DEFINED                2                         10,000
MONY GROUP INC                                             DEFINED                2                          2,500
MOOG INC                                                   DEFINED                2                          2,300
MOORE CORP                                                 DEFINED                1                        184,750
MORGAN J P + CO INC                                        DEFINED                2                         46,497
MORGAN J.P.                                                DEFINED                1                          7,600
MORGAN STANLEY ASIA PAC FD INC                             DEFINED                2                         82,000
MORGAN STANLEY DEAN WITTER                                 DEFINED                2                        208,995
MORGAN STANLEY DEAN WITTER & CO                            DEFINED                1                        240,191
MORGAN STANLEY DW INDIA INVESTMENT FU                      DEFINED                1                         30,000
MOTOROLA INC                                               DEFINED                1                         23,700
MOTOROLA INC                                               DEFINED                2                        125,750
MOVADO GROUP INC                                           DEFINED                2                         52,200
MTI HOLDING INC COMMON                                     DEFINED                2                        104,164
MULTEX SYS INC                                             DEFINED                2                         38,500
MURATA MFG CO                                              DEFINED                2                         13,000
MURPHY OIL CORP                                            DEFINED                1                          3,900
MURPHY OIL CORP                                            DEFINED                2                          6,400
MYLAN LABORATORIES                                         DEFINED                1                         11,800
MYLAN LABS INC                                             DEFINED                3                        188,300         28,300
NABISCO GROUP HOLDINGS                                     DEFINED                1                         14,500
NABISCO HLDGS CORP                                         DEFINED                2                         27,300
NABORS INDS INC                                            DEFINED                1                          8,700
</TABLE>



                                 Page 30 0f 49

<PAGE>   33

File Number 28-219 (Consolidated)
As of 6/30/99


<TABLE>
<S>                                                              <C>              <C>              <C>        <C>         <C>
NAC RE CORP                                                      COM               628907107          413        7,700     SH 
NACCO INDUSTRIES -CL A                                           COM               629579103           29          400     SH 
NALCO CHEM CO                                                    COM               629853102        5,814      218,868     SH 
NALCO CHEMICAL CO                                                COM               629853102          130        2,500     SH 
NALE LABORATORIES WARRANTS                                       COM               629857111          400       26,000     SH 
NANOGEN INC                                                      COM               630075109        3,438      500,000     SH 
NANOGEN INC                                                      COM               630075109          185       20,000     SH 
NATIONAL AUSTRALIA BK 7.875% PFD                                 CVT               632525309        3,797      125,000     SH 
NATIONAL CITY CORP                                               COM               635405103          878       13,400     SH 
NATIONAL CITY CORP                                               COM               635405103          976       14,700     SH 
NATIONAL COMM BANCORP                                            COM               635449101          342       15,000     SH 
NATIONAL DATA CORP                                               COM               635621105          399        9,500     SH 
NATIONAL EQUIPMENT SERV                                          COM               635847106            0       75,000     SH 
NATIONAL FUEL GAS CO N                                           COM               636180101          160        3,300     SH 
NATIONAL FUEL GAS CO N J                                         COM               636180101          279        7,100     SH 
NATIONAL INSTRS CORP                                             COM               636518102          382       13,550     SH 
NATIONAL PRESTO INDS INC                                         COM               637215104        2,112       59,600     SH 
NATIONAL SEMICONDUCTER 6.5% 10/01/02                             CVT               637640AB9          143        1,500     SH 
NATIONAL SEMICONDUCTOR                                           COM               637640103          144        5,700     SH 
NATIONAL SERVICE INDS INC                                        COM               637657107           50        1,400     SH 
NATIONAL SVC INDS INC                                            COM               637657107        4,579      134,438     SH 
NATIONWIDE HEALTH PPTY                                           COM               638620104        6,729      353,000     SH 
NAUTICA ENTERPRISES INC                                          COM               639089101          101        8,900     SH 
NAVISTAR INTERNATIONAL                                           COM              63934E1082          135        2,700     SH 
NCH CORP.                                                        COM               628850109           30          600     SH 
NEOMAGIC CORP                                                    COM               640497103           64        6,400     SH 
NEON SYS INC                                                     COM               640509105          553       10,200     SH 
NETGRAVITY INC                                                   COM               641114103        2,852       69,000     SH 
NETWORK APPLIANCE INC                                            COM               64120L104        4,250       83,900     SH 
NETWORK EQUIP TECHNOLOGIES                                       COM               641208103          286       32,000     SH 
NETWORK SOLUTIONS INC                                            COM               64121q102       26,863      339,500     SH 
NETWORK SOLUTIONS INC DEL                                        COM               64121Q102        3,976       37,600     SH 
NETWORKS ASSOCIATES INC                                          COM               640938106          166       11,300     SH 
NETWORKS ASSOCS INC                                              COM               640938106          199        6,500     SH 
NEVADA POWER CO                                                  COM               641423108          105        4,200     SH 
NEVADA PWR CO                                                    COM               641423108        1,015       41,000     SH 
NEW CENTURY ENERGIES                                             COM               64352U103          190        4,900     SH 
NEW ENGLAND ELEC SYS                                             COM               644001109          281        5,600     SH 
NEW JERSEY RES CORP                                              COM               646025106           64        1,800     SH 
NEW PLAN EXCEL REALTY                                            COM               648053106       11,255      625,300     SH 
NEW YORK TIMES                                                   COM               650111107          283        7,700     SH 
NEW YORK TIMES CO                                                COM               650111107           46        1,600     SH 
NEWBRIDGE NETWORKS                                               COM               650901101        2,914      101,800     SH 
NEWCOURT CR GROUP INC                                            COM               650905102          280       10,350     SH 
NEWELL RUBBERMAID INC                                            COM               651229106          660       14,237     SH 
NEWELL RUBBERMAID INC                                            COM               651229106        5,742      120,874     SH 
NEWFIELD EXPL CO                                                 COM               651290108          317       14,000     SH 
NEWMONT MINING CORP                                              COM               651639106          122        6,133     SH 
NEWPORT NEWS SHIPBUILDING                                        COM               652228107           74        2,500     SH 
NEWS CORP LTD                                                    COM               652487802        1,185       43,100     SH 
</TABLE>



<TABLE>
<S>                                                        <C>                    <C>                      <C>            <C>
NAC RE CORP                                                DEFINED                2                          7,700
NACCO INDUSTRIES -CL A                                     DEFINED                1                            400
NALCO CHEM CO                                              DEFINED                2                        218,868
NALCO CHEMICAL CO                                          DEFINED                1                          2,500
NALE LABORATORIES WARRANTS                                 DEFINED                1                         26,000
NANOGEN INC                                                DEFINED                1                        500,000
NANOGEN INC                                                DEFINED                2                         20,000
NATIONAL AUSTRALIA BK 7.875% PFD                           DEFINED                1                        125,000
NATIONAL CITY CORP                                         DEFINED                1                         13,400
NATIONAL CITY CORP                                         DEFINED                2                         14,700
NATIONAL COMM BANCORP                                      DEFINED                2                         15,000
NATIONAL DATA CORP                                         DEFINED                2                          9,500
NATIONAL EQUIPMENT SERV                                    DEFINED                2                         75,000
NATIONAL FUEL GAS CO N                                     DEFINED                1                          3,300
NATIONAL FUEL GAS CO N J                                   DEFINED                2                          7,100
NATIONAL INSTRS CORP                                       DEFINED                2                         13,550
NATIONAL PRESTO INDS INC                                   DEFINED                2                         59,600
NATIONAL SEMICONDUCTER 6.5% 10/01/02                       DEFINED                1                          1,500
NATIONAL SEMICONDUCTOR                                     DEFINED                1                          5,700
NATIONAL SERVICE INDS INC                                  DEFINED                1                          1,400
NATIONAL SVC INDS INC                                      DEFINED                2                        134,438
NATIONWIDE HEALTH PPTY                                     DEFINED                3                        290,300         62,700
NAUTICA ENTERPRISES INC                                    DEFINED                2                          8,900
NAVISTAR INTERNATIONAL                                     DEFINED                1                          2,700
NCH CORP.                                                  DEFINED                1                            600
NEOMAGIC CORP                                              DEFINED                2                          6,400
NEON SYS INC                                               DEFINED                2                         10,200
NETGRAVITY INC                                             DEFINED                2                         69,000
NETWORK APPLIANCE INC                                      DEFINED                2                         83,900
NETWORK EQUIP TECHNOLOGIES                                 DEFINED                2                         32,000
NETWORK SOLUTIONS INC                                      DEFINED                3                        324,100         15,400
NETWORK SOLUTIONS INC DEL                                  DEFINED                2                         37,600
NETWORKS ASSOCIATES INC                                    DEFINED                1                         11,300
NETWORKS ASSOCS INC                                        DEFINED                2                          6,500
NEVADA POWER CO                                            DEFINED                1                          4,200
NEVADA PWR CO                                              DEFINED                2                         41,000
NEW CENTURY ENERGIES                                       DEFINED                1                          4,900
NEW ENGLAND ELEC SYS                                       DEFINED                1                          5,600
NEW JERSEY RES CORP                                        DEFINED                2                          1,800
NEW PLAN EXCEL REALTY                                      DEFINED                3                        513,400        111,900
NEW YORK TIMES                                             DEFINED                1                          7,700
NEW YORK TIMES CO                                          DEFINED                2                          1,600
NEWBRIDGE NETWORKS                                         DEFINED                1                        101,800
NEWCOURT CR GROUP INC                                      DEFINED                2                         10,350
NEWELL RUBBERMAID INC                                      DEFINED                1                         14,237
NEWELL RUBBERMAID INC                                      DEFINED                2                        120,874
NEWFIELD EXPL CO                                           DEFINED                2                         14,000
NEWMONT MINING CORP                                        DEFINED                1                          6,133
NEWPORT NEWS SHIPBUILDING                                  DEFINED                1                          2,500
NEWS CORP LTD                                              DEFINED                2                         43,100
</TABLE>



                                 Page 31 0f 49

<PAGE>   34

File Number 28-219 (Consolidated)
As of 6/30/99


<TABLE>
<S>                                                              <C>               <C>             <C>        <C>           <C>
NEWS CORPORATION                                                 COM               662075902           56         8,162     SH 
NEWS CORPORATION                                                 COM               688692003          101        13,685     SH 
NEXTCARD INC                                                     COM               65332K107        6,631       195,400     SH 
NEXTEL COMMUNICATIONS                                            COM               65332V103          527        10,500     SH 
NEXTLINK COMMUNICATIONS INC                                      COM               65333H707          812        14,500     SH 
NIAGARA MOHAWK HLDGS INC                                         COM               653520106        2,245       167,100     SH 
NIAGARA MOHAWK HOLDINGS INC                                      COM               653520106           93         5,800     SH 
NICOR INC                                                        COM               654086107           72         1,900     SH 
NIELSEN MEDIA RESH INC                                           COM               653929307          788        31,933     SH 
NIKE INC CL B                                                    COM               654106103        1,109        18,325     SH 
NIKE INC.                                                        COM               654106103          729        11,500     SH 
NIPPON TEL+TEL CP                                                COM               664137007          774            79     SH 
NISOURCE INC                                                     COM               65473P105          279        10,800     SH 
NOBLE AFFILIATES INC                                             COM               654894104          132         4,700     SH 
NOBLE DRILLING CORP                                              COM               655042109          222        11,300     SH 
NOBLE DRILLING CORP                                              COM               655042109           55         3,200     SH 
NOKIA CORP                                                       COM               654902204        8,009        55,475     SH 
NOMURA SECURITIES                                                COM               664310000          199        19,000     SH 
NORDSON CORP                                                     COM               655663102           98         1,600     SH 
NORDSON CORP                                                     COM               655663102          279         5,000     SH 
NORDSTROM INC.                                                   COM               655664100          211         6,300     SH 
NORFOLK AND SOUTHERN                                             COM               655844108          452        15,000     SH 
NORFOLK SOUTHN CORP                                              COM               655844108        4,225       160,188     SH 
NORTEL NETWORKS CORP                                             COM               656569100       25,294       291,360     SH 
NORTH FORK BANCORPORATION                                        COM               659424105          278        13,000     SH 
NORTH FORK BANCORPORATION INC                                    COM               659424105        1,208        57,200     SH 
NORTHEAST UTILS                                                  COM               664397106          198        11,100     SH 
NORTHERN STATES POWER - MN                                       COM               665772109          135         5,600     SH 
NORTHERN TELECOM LTD                                             COM               665815106        1,777        28,600     SH 
NORTHERN TELECOM LTD                                             COM               665815106        8,977       108,500     SH 
NORTHERN TELECOM LTD                                             COM               665815957          430         6,900     SH 
NORTHERN TR CORP                                                 COM               665859104          446         4,600     SH 
NORTHROP GRUMMAN CORP                                            COM               666807102          139         2,100     SH 
NORTHROP GRUMMAN CORP                                            COM               666807102           54           900     SH 
NORTHWAY FINANCIAL INC.                                          COM               667270102        1,249        45,010     SH 
NORTHWEST NAT GAS CO                                             COM               667655104          893        40,800     SH 
NORTHWEST NATURAL GAS CO.                                        COM               667655104          405        16,800     SH 
NOVA CORP GA                                                     COM               669784100          457        17,400     SH 
NOVA CORP GA                                                     COM               669784100       59,001     2,360,021     SH 
NOVA CORP/GEORGIA                                                COM               669784100          145         5,800     SH 
NOVARTIS AG                                                      COM               66987V109          479         5,900     SH 
NOVELL INC                                                       COM               670006105        1,496        59,400     SH 
NOVELL INC.                                                      COM               670006105          371        14,000     SH 
NS GROUP INC                                                     COM               628916108          278        50,000     SH 
NTL INC                                                          COM               629407107          195         2,400     SH 
NUCOR CORP                                                       COM               670346105          171         3,600     SH 
NUI CORP                                                         COM               629430109          125         5,800     SH 
O CHARLEYS INC                                                   COM               670823103        3,778       236,100     SH 
OAK INDS INC                                                     COM               671400505          149         4,700     SH 
OAK INDS INC                                                     COM               671400505       64,983     1,481,100     SH 
</TABLE>



<TABLE>
<S>                                                        <C>                    <C>                    <C>               <C>
NEWS CORPORATION                                           DEFINED                2                          8,162
NEWS CORPORATION                                           DEFINED                2                         13,685
NEXTCARD INC                                               DEFINED                3                        191,300          4,100
NEXTEL COMMUNICATIONS                                      DEFINED                1                         10,500
NEXTLINK COMMUNICATIONS INC                                DEFINED                2                         14,500
NIAGARA MOHAWK HLDGS INC                                   DEFINED                2                        167,100
NIAGARA MOHAWK HOLDINGS INC                                DEFINED                1                          5,800
NICOR INC                                                  DEFINED                1                          1,900
NIELSEN MEDIA RESH INC                                     DEFINED                2                         31,933
NIKE INC CL B                                              DEFINED                2                         18,325
NIKE INC.                                                  DEFINED                1                         11,500
NIPPON TEL+TEL CP                                          DEFINED                2                             79
NISOURCE INC                                               DEFINED                1                         10,800
NOBLE AFFILIATES INC                                       DEFINED                1                          4,700
NOBLE DRILLING CORP                                        DEFINED                1                         11,300
NOBLE DRILLING CORP                                        DEFINED                2                          3,200
NOKIA CORP                                                 DEFINED                2                         55,475
NOMURA SECURITIES                                          DEFINED                2                         19,000
NORDSON CORP                                               DEFINED                1                          1,600
NORDSON CORP                                               DEFINED                2                          5,000
NORDSTROM INC.                                             DEFINED                1                          6,300
NORFOLK AND SOUTHERN                                       DEFINED                1                         15,000
NORFOLK SOUTHN CORP                                        DEFINED                2                        160,188
NORTEL NETWORKS CORP                                       DEFINED                1                        291,360
NORTH FORK BANCORPORATION                                  DEFINED                1                         13,000
NORTH FORK BANCORPORATION INC                              DEFINED                2                         57,200
NORTHEAST UTILS                                            DEFINED                1                         11,100
NORTHERN STATES POWER - MN                                 DEFINED                1                          5,600
NORTHERN TELECOM LTD                                       DEFINED                2                         28,600
NORTHERN TELECOM LTD                                       DEFINED                1                        108,500
NORTHERN TELECOM LTD                                       DEFINED                2                          6,900
NORTHERN TR CORP                                           DEFINED                1                          4,600
NORTHROP GRUMMAN CORP                                      DEFINED                1                          2,100
NORTHROP GRUMMAN CORP                                      DEFINED                2                            900
NORTHWAY FINANCIAL INC.                                    DEFINED                1                         45,010
NORTHWEST NAT GAS CO                                       DEFINED                2                         40,800
NORTHWEST NATURAL GAS CO.                                  DEFINED                1                         16,800
NOVA CORP GA                                               DEFINED                2                         17,400
NOVA CORP GA                                               DEFINED                3                      2,279,315         80,706
NOVA CORP/GEORGIA                                          DEFINED                1                          5,800
NOVARTIS AG                                                DEFINED                2                          5,900
NOVELL INC                                                 DEFINED                2                         59,400
NOVELL INC.                                                DEFINED                1                         14,000
NS GROUP INC                                               DEFINED                2                         50,000
NTL INC                                                    DEFINED                2                          2,400
NUCOR CORP                                                 DEFINED                1                          3,600
NUI CORP                                                   DEFINED                2                          5,800
O CHARLEYS INC                                             DEFINED                3                        236,100
OAK INDS INC                                               DEFINED                2                          4,700
OAK INDS INC                                               DEFINED                3                      1,443,200         37,900
</TABLE>



                                 Page 32 0f 49

<PAGE>   35

File Number 28-219 (Consolidated)
As of 6/30/99


<TABLE>
<S>                                                              <C>              <C>              <C>       <C>           <C>
OAKLEY INC                                                       COM               673662102        2,959      426,420     SH 
OCCIDENTAL PETROLEUM                                             COM               674599105          277       13,100     SH 
OCEAN ENERGY INC TEX                                             COM               67481E106           88       12,900     SH 
OFFICE DEPOT INC                                                 COM               676220106        3,198      108,471     SH 
OFFICE DEPOT INCORPORATED                                        COM               676220106          710       32,200     SH 
OFFICEMAX INC                                                    COM               67622M108          128       10,700     SH 
OFFSHORE LOGISTICS INC                                           COM               676255102        1,793      154,200     SH 
OGDEN CORP                                                       COM               676346109          105        3,900     SH 
OGE ENERGY CORP.                                                 COM               670837103          166        7,000     SH 
OHIO CAS CORP                                                    COM               677240103           78        2,000     SH 
OIL CO LUKOIL                                                    COM               677862104            3          120     SH 
OLD KENT FINANCIAL CORP                                          COM               679833103          426       10,185     SH 
OLD REPUBLIC INTERNATIONAL GROUP                                 COM               680223104          216       12,500     SH 
OLIN CORP                                                        COM               680665205           55        4,200     SH 
OLSTEN CORP.                                                     COM               681385100           42        6,600     SH 
OMNICARE INC                                                     COM               681904108           97        7,700     SH 
OMNICARE INC                                                     COM               681904108          170        8,900     SH 
OMNICARE INC                                                     COM               681904108          369       29,200     SH 
OMNICOM GROUP                                                    COM               681919106        1,119       14,000     SH 
OMNICOM GROUP INC                                                COM               681919106          496        6,200     SH 
OMNIPOINT CORP                                                   COM               68212D102          138        9,600     SH 
OMNIQUIP INTL INC                                                COM               681969101           72        6,100     SH 
ON ASSIGNMENT INC                                                COM               682159108          513       20,000     SH 
ONEOK                                                            COM               682680103           25          800     SH 
ONHEALTH NETWORK CO                                              COM               68272W107          996       93,700     SH 
ONYX SOFTWARE CORP                                               COM               683402101        1,163       29,700     SH 
ORACLE CORP                                                      COM               68389X105           18          700     SH 
ORACLE SYSTEMS                                                   COM               68389X105        2,119       57,075     SH 
ORANGE                                                           COM               066149907          292       20,900     SH 
ORBOTECH LTD                                                     COM               M75253100          399        8,100     SH 
OREGON STL MLS INC                                               COM               686079104           27        2,000     SH 
ORION CAP CORP                                                   COM               686268103          247        7,900     SH 
ORTHODONTIC CTRS AMER                                            COM               68750P103       18,700    1,323,900     SH 
ORTHODONTIC CTRS AMER INC                                        COM               68750P103          394       25,000     SH 
OSHKOSH TRUCK CORP                                               COM               688239201        3,298      102,000     SH 
OUTBACK STEAKHOUSE                                               COM               689899102          543       13,800     SH 
OUTBACK STEAKHOUSE INC                                           COM               689899102          242        6,150     SH 
OUTBACK STEAKHOUSE INC                                           COM               689899102        3,443      105,300     SH 
OUTDOOR SYS INC                                                  COM               690057104        3,254      108,480     SH 
OUTDOOR SYS INC                                                  COM               690057104       99,230    2,718,639     SH 
OVERSEAS SHIPHOLDING                                             COM               690368105           40        3,100     SH 
OWENS CORNING                                                    COM               69073F103           69        2,000     SH 
OWENS ILL INC                                                    COM               690768403          575       23,000     SH 
OWENS-ILLINOIS INC                                               COM               690768403          173        5,300     SH 
OXFORD HEALTH PLANS                                              COM               691471106          115        7,400     SH 
P + O                                                            COM               068004001          278       19,040     SH 
P G & E CORPORATION                                              COM               69331C108       13,410      413,400     SH 
P P & L RESOURCES INC                                            COM               693499105          178        5,800     SH 
PACCAR INC                                                       COM               693718108          144        2,700     SH 
PACCAR INC COM                                                   COM               693718108        7,344      137,600     SH 
</TABLE>



<TABLE>
<S>                                                         <C>                    <C>                    <C>               <C>
OAKLEY INC                                                  DEFINED                2                        426,420
OCCIDENTAL PETROLEUM                                        DEFINED                1                         13,100
OCEAN ENERGY INC TEX                                        DEFINED                2                         12,900
OFFICE DEPOT INC                                            DEFINED                2                        108,471
OFFICE DEPOT INCORPORATED                                   DEFINED                1                         32,200
OFFICEMAX INC                                               DEFINED                1                         10,700
OFFSHORE LOGISTICS INC                                      DEFINED                2                        154,200
OGDEN CORP                                                  DEFINED                1                          3,900
OGE ENERGY CORP.                                            DEFINED                1                          7,000
OHIO CAS CORP                                               DEFINED                2                          2,000
OIL CO LUKOIL                                               DEFINED                2                            120
OLD KENT FINANCIAL CORP                                     DEFINED                1                         10,185
OLD REPUBLIC INTERNATIONAL GROUP                            DEFINED                1                         12,500
OLIN CORP                                                   DEFINED                1                          4,200
OLSTEN CORP.                                                DEFINED                1                          6,600
OMNICARE INC                                                DEFINED                1                          7,700
OMNICARE INC                                                DEFINED                2                          8,900
OMNICARE INC                                                DEFINED                3                         29,200
OMNICOM GROUP                                               DEFINED                2                         14,000
OMNICOM GROUP INC                                           DEFINED                1                          6,200
OMNIPOINT CORP                                              DEFINED                2                          9,600
OMNIQUIP INTL INC                                           DEFINED                2                          6,100
ON ASSIGNMENT INC                                           DEFINED                2                         20,000
ONEOK                                                       DEFINED                1                            800
ONHEALTH NETWORK CO                                         DEFINED                3                         93,700
ONYX SOFTWARE CORP                                          DEFINED                2                         29,700
ORACLE CORP                                                 DEFINED                2                            700
ORACLE SYSTEMS                                              DEFINED                1                         57,075
ORANGE                                                      DEFINED                2                         20,900
ORBOTECH LTD                                                DEFINED                2                          8,100
OREGON STL MLS INC                                          DEFINED                1                          2,000
ORION CAP CORP                                              DEFINED                2                          7,900
ORTHODONTIC CTRS AMER                                       DEFINED                3                      1,291,700         32,200
ORTHODONTIC CTRS AMER INC                                   DEFINED                2                         25,000
OSHKOSH TRUCK CORP                                          DEFINED                2                        102,000
OUTBACK STEAKHOUSE                                          DEFINED                3                         13,800
OUTBACK STEAKHOUSE INC                                      DEFINED                1                          6,150
OUTBACK STEAKHOUSE INC                                      DEFINED                2                        105,300
OUTDOOR SYS INC                                             DEFINED                2                        108,480
OUTDOOR SYS INC                                             DEFINED                3                      2,633,014         85,625
OVERSEAS SHIPHOLDING                                        DEFINED                1                          3,100
OWENS CORNING                                               DEFINED                1                          2,000
OWENS ILL INC                                               DEFINED                2                         23,000
OWENS-ILLINOIS INC                                          DEFINED                1                          5,300
OXFORD HEALTH PLANS                                         DEFINED                1                          7,400
P + O                                                       DEFINED                2                         19,040
P G & E CORPORATION                                         DEFINED                1                        413,400
P P & L RESOURCES INC                                       DEFINED                1                          5,800
PACCAR INC                                                  DEFINED                1                          2,700
PACCAR INC COM                                              DEFINED                3                        117,400         20,200
</TABLE>



                                 Page 33 0f 49

<PAGE>   36

File Number 28-219 (Consolidated)
As of 6/30/99


<TABLE>
<S>                                                              <C>              <C>              <C>             <C>           <C>
PACIFIC CENTURY FINL                                             COM               694058108            142            6,600     SH 
PACIFIC GULF PPTYS INC                                           COM               694396102             63            3,500     SH 
PACIFICARE HEALTH SYSTEMS INC                                    COM               695112102            245            3,404     SH 
PACIFICORP                                                       COM               695114108            215           11,700     SH 
PAINE WEBBER GROUP INC                                           COM               695629105            257            5,500     SH 
PAINE WEBBER GROUP INC                                           COM               695629105          3,190           80,000     SH 
PAINE WEBBER GROUP INC                                           COM               695629105            234            5,000     SH 
PALL CORP                                                        COM               696429307            107            4,800     SH 
PALL CORP                                                        COM               696429307            222           13,400     SH 
PAN PACIFIC RETAIL                                               COM               69806L104          3,528          182,100     SH 
PANAMERICAN BEVERAGES                                            COM               P74823108            207            8,700     SH 
PANTRY INC COM                                                   COM               698657103            790           49,000     SH 
PAPA JOHNS INTL INC                                              COM               698813102            434            9,900     SH 
PAPA JOHN'S INTL INC                                             COM               698813102            116            2,600     SH 
PARAMETRIC TECHNOLOGY CORP                                       COM               699173100            146           10,500     SH 
PARAMETRIC TECHNOLOGY CORP                                       COM               699173100          1,335           67,600     SH 
PARK PLACE ENTERTAINMENT                                         COM               700690100             33            3,500     SH 
PARKER HANNIFAN                                                  COM               701094104            201            4,400     SH 
PARKWAY PPTYS INC                                                COM               70159Q104            282           10,000     SH 
PARMALAT FINANZ                                                  COM               471440909            234          164,600     SH 
PARTNERRE LTD                                                    COM               G6852T105             45            1,100     SH 
PAYCHEX INC                                                      COM               704326107            271            8,500     SH 
PAYCHEX INC                                                      COM               704326107          1,921           40,500     SH 
PAYCHEX INC                                                      COM               704326107         56,216        1,763,648     SH 
PAYLESS SHOESOURCE INC                                           COM               704379106            632           13,600     SH 
PAYLESS SHOESOURCE INC.                                          COM               704379106            187            3,500     SH 
PE CORP-PE BIOSYTEMS                                             COM               69332S102            218            1,900     SH 
PECO ENERGY CO                                                   COM               693304107            327            7,800     SH 
PECO ENERGY CO                                                   COM               693304107          5,550          120,000     SH 
PENNCORP FINANCIAL GROUP                                         COM               708094107             12            7,225     SH 
PENNEY J C INC                                                   COM               708160106          1,458           36,000     SH 
PENSKE MOTORSPORTS INC                                           COM               709598106          1,114           31,600     SH 
PENTAIR INC                                                      COM               709631105            257            7,600     SH 
PENTAIR, INC                                                     COM               709631105            151            3,300     SH 
PENZOIL-QUAKER STATE CO                                          COM               709323109            105            6,999     SH 
PEOPLES ENERGY CORP                                              COM               711030106            452           14,000     SH 
PEOPLE'S ENERGY CORP.                                            COM               711030106             53            1,400     SH 
PEOPLES HERITAGE FINL GROUP                                      COM               711147108          1,101           61,400     SH 
PEOPLESOFT INC                                                   COM               712713106            174           10,100     SH 
PEP BOYS MANNY MOE & JAC                                         COM               713278109             50            2,400     SH 
PEPSI BOTTLING GROUP INC                                         COM               713409100          2,190          101,000     SH 
PEPSICO INC.                                                     COM               713448108         11,711          302,700     SH 
PEPSI-GEMEX S.A.- GDR                                            COM               713435105          1,132          124,100     SH 
PERRIGO CO                                                       COM               714290103             50            6,600     SH 
PERRIGO CO                                                       COM               714290103            433           59,700     SH 
PERVASIVE SOFTWARE INC                                           COM               715710109         13,661          549,200     SH 
PETROL BRASILEIROS                                               COM               268453008            102          737,000     SH 
PETROLEUM GEO SVCS AS                                            COM               716597109            688           45,100     SH 
PETSMART INC                                                     COM               716768106            590           73,800     SH 
PETSMART INC                                                     COM               716768106          9,370          914,100     SH 
</TABLE>



<TABLE>
<S>                                                         <C>                    <C>                    <C>               <C>
PACIFIC CENTURY FINL                                        DEFINED                1                          6,600
PACIFIC GULF PPTYS INC                                      DEFINED                2                          3,500
PACIFICARE HEALTH SYSTEMS INC                               DEFINED                1                          3,404
PACIFICORP                                                  DEFINED                1                         11,700
PAINE WEBBER GROUP INC                                      DEFINED                1                          5,500
PAINE WEBBER GROUP INC                                      DEFINED                2                         80,000
PAINE WEBBER GROUP INC                                      DEFINED                3                          5,000
PALL CORP                                                   DEFINED                1                          4,800
PALL CORP                                                   DEFINED                2                         13,400
PAN PACIFIC RETAIL                                          DEFINED                3                        150,000         32,100
PANAMERICAN BEVERAGES                                       DEFINED                1                          8,700
PANTRY INC COM                                              DEFINED                3                         49,000
PAPA JOHNS INTL INC                                         DEFINED                2                          9,900
PAPA JOHN'S INTL INC                                        DEFINED                1                          2,600
PARAMETRIC TECHNOLOGY CORP                                  DEFINED                1                         10,500
PARAMETRIC TECHNOLOGY CORP                                  DEFINED                2                         67,600
PARK PLACE ENTERTAINMENT                                    DEFINED                1                          3,500
PARKER HANNIFAN                                             DEFINED                1                          4,400
PARKWAY PPTYS INC                                           DEFINED                2                         10,000
PARMALAT FINANZ                                             DEFINED                2                        164,600
PARTNERRE LTD                                               DEFINED                2                          1,100
PAYCHEX INC                                                 DEFINED                1                          8,500
PAYCHEX INC                                                 DEFINED                2                         40,500
PAYCHEX INC                                                 DEFINED                3                      1,699,649         63,999
PAYLESS SHOESOURCE INC                                      DEFINED                2                         13,600
PAYLESS SHOESOURCE INC.                                     DEFINED                1                          3,500
PE CORP-PE BIOSYTEMS                                        DEFINED                1                          1,900
PECO ENERGY CO                                              DEFINED                1                          7,800
PECO ENERGY CO                                              DEFINED                2                        120,000
PENNCORP FINANCIAL GROUP                                    DEFINED                1                          7,225
PENNEY J C INC                                              DEFINED                2                         36,000
PENSKE MOTORSPORTS INC                                      DEFINED                2                         31,600
PENTAIR INC                                                 DEFINED                2                          7,600
PENTAIR, INC                                                DEFINED                1                          3,300
PENZOIL-QUAKER STATE CO                                     DEFINED                1                          6,999
PEOPLES ENERGY CORP                                         DEFINED                2                         14,000
PEOPLE'S ENERGY CORP.                                       DEFINED                1                          1,400
PEOPLES HERITAGE FINL GROUP                                 DEFINED                2                         61,400
PEOPLESOFT INC                                              DEFINED                1                         10,100
PEP BOYS MANNY MOE & JAC                                    DEFINED                1                          2,400
PEPSI BOTTLING GROUP INC                                    DEFINED                2                        101,000
PEPSICO INC.                                                DEFINED                1                        302,700
PEPSI-GEMEX S.A.- GDR                                       DEFINED                1                        124,100
PERRIGO CO                                                  DEFINED                1                          6,600
PERRIGO CO                                                  DEFINED                2                         59,700
PERVASIVE SOFTWARE INC                                      DEFINED                3                        549,200
PETROL BRASILEIROS                                          DEFINED                2                        737,000
PETROLEUM GEO SVCS AS                                       DEFINED                2                         45,100
PETSMART INC                                                DEFINED                2                         73,800
PETSMART INC                                                DEFINED                3                        914,100
</TABLE>



                                 Page 34 of 49

<PAGE>   37

File Number 28-219 (Consolidated)
As of 6/30/99


<TABLE>
<S>                                                              <C>               <C>             <C>               <C>         <C>
PETSMART INC SB NT CV 6.75%04                                    CVT               716768ab2            513          400,000     SH 
PFF BANCORP INC                                                  COM               69331W104            175           10,000     SH 
PFIZER                                                           COM               717081103          6,262           57,450     SH 
PFIZER INC                                                       COM               717081103         30,456          230,365     SH 
PG+E CORP                                                        COM               69331C108            311           10,000     SH 
PHARMACIA & UPJOHN INC                                           COM               716941109          1,613           28,400     SH 
PHARMACIA + UPJOHN INC                                           COM               716941109          4,965           79,600     SH 
PHELPS DODGE CORP.                                               COM               717265102         14,500          234,100     SH 
PHILADELPHIA CONSOLIDATED HLDG CO                                COM               717528103          1,898           81,232     SH 
PHILIP MORRIS                                                    COM               718154107         25,748          640,700     SH 
PHILIP MORRIS COS INC                                            COM               718154107         14,368          408,313     SH 
PHILLIPS PETROLEUM                                               COM               718507106          5,051          100,400     SH 
PIER 1 IMPORTS INC                                               COM               720279108            403           49,600     SH 
PINNACLE SYS INC                                                 COM               723481107            209            4,600     SH 
PINNACLE WEST CAP CORP                                           COM               723484101            302            7,500     SH 
PINNACLE WEST CAP CORP                                           COM               723484101            247            6,800     SH 
PIONEER HI BRED INTNL INC                                        COM               723686101            370            9,500     SH 
PIONEER NATURAL RESOURCES CO                                     COM               723787107            101            9,200     SH 
PITNEY BOWES                                                     COM               724479100            752           11,700     SH 
PITTSTON BRINKS GROUP                                            COM               725701106            251           10,700     SH 
PITTSTON BRINK'S GROUP                                           COM               725701106             94            3,500     SH 
PITTSTON CO                                                      COM               725701882             61            8,800     SH 
PITTWAY CORP DEL                                                 COM               725790208            792           29,900     SH 
PIXAR                                                            COM               725811103            310            8,000     SH 
PIXAR COM                                                        COM               725811103          2,450           56,800     SH 
PJ AMER INC COM                                                  COM               72585Q104          3,581          169,000     SH 
PLACER DOME INC                                                  COM               725906101            114            9,700     SH 
PLATINUM TECHNOLOGY INTL INC                                     COM               72764T101            213            8,400     SH 
PLEXUS CORP                                                      COM               729132100            141            5,000     SH 
PLX TECHNOLOGY INC                                               COM               693417107          3,553           75,000     SH 
PMC SIERRA INC                                                   COM               69344F106            363            5,100     SH 
PMI GROUP INC                                                    COM               69344M101            201            3,200     SH 
PNC FINANCIAL CORP                                               COM               693475105            749           13,000     SH 
POGO PRODUCING CO                                                COM               730448107         18,137          973,800     SH 
POLARIS INDS INC                                                 COM               731068102            178            5,600     SH 
POLAROID CORP                                                    COM               731095105             50            1,800     SH 
POLICY MANAGEMENT SYSTEMS                                        COM               731108106             96            3,200     SH 
POLICY MGMT SYS CORP                                             COM               731108106            815           26,600     SH 
POLO RALPH LAUREN CORP                                           COM               731572103            332           16,700     SH 
POST PPTYS INC                                                   COM               737464107         10,480          255,600     SH 
POST PROPERTIES INC                                              COM               737464107          4,141          101,000     SH 
POTLATCH CORP                                                    COM               737628107             44             1000     SH 
POTLATCH CORP                                                    COM               737628107            367           10,800     SH 
POTOMAC ELEC PWR CO                                              COM               737679100            303           10,300     SH 
POWER INTERIGATIONS INC                                          COM               739276103             50              678     SH 
PPG INDUSTRIES INC                                               COM               693506107            443            7,500     SH 
PPT VISION INC                                                   COM               693519100            125           26,000     SH 
PRAXAIR INC                                                      COM               74005P104         15,738          321,600     SH 
PRAXAIR INC                                                      COM               74005P104            902           25,000     SH 
PRECISION CASTPARTS CORP                                         COM               740189105             85            2,000     SH 
</TABLE>



<TABLE>
<S>                                                         <C>                    <C>                      <C>             <C>
PETSMART INC SB NT CV 6.75%04                               DEFINED                3                        400,000
PFF BANCORP INC                                             DEFINED                2                         10,000
PFIZER                                                      DEFINED                1                         57,450
PFIZER INC                                                  DEFINED                2                        230,365
PG+E CORP                                                   DEFINED                2                         10,000
PHARMACIA & UPJOHN INC                                      DEFINED                1                         28,400
PHARMACIA + UPJOHN INC                                      DEFINED                2                         79,600
PHELPS DODGE CORP.                                          DEFINED                1                        234,100
PHILADELPHIA CONSOLIDATED HLDG CO                           DEFINED                1                         81,232
PHILIP MORRIS                                               DEFINED                1                        640,700
PHILIP MORRIS COS INC                                       DEFINED                2                        408,313
PHILLIPS PETROLEUM                                          DEFINED                1                        100,400
PIER 1 IMPORTS INC                                          DEFINED                2                         49,600
PINNACLE SYS INC                                            DEFINED                2                          4,600
PINNACLE WEST CAP CORP                                      DEFINED                1                          7,500
PINNACLE WEST CAP CORP                                      DEFINED                2                          6,800
PIONEER HI BRED INTNL INC                                   DEFINED                1                          9,500
PIONEER NATURAL RESOURCES CO                                DEFINED                1                          9,200
PITNEY BOWES                                                DEFINED                1                         11,700
PITTSTON BRINKS GROUP                                       DEFINED                2                         10,700
PITTSTON BRINK'S GROUP                                      DEFINED                1                          3,500
PITTSTON CO                                                 DEFINED                2                          8,800
PITTWAY CORP DEL                                            DEFINED                2                         29,900
PIXAR                                                       DEFINED                2                          8,000
PIXAR COM                                                   DEFINED                3                         56,800
PJ AMER INC COM                                             DEFINED                3                        169,000
PLACER DOME INC                                             DEFINED                1                          9,700
PLATINUM TECHNOLOGY INTL INC                                DEFINED                2                          8,400
PLEXUS CORP                                                 DEFINED                2                          5,000
PLX TECHNOLOGY INC                                          DEFINED                3                         75,000
PMC SIERRA INC                                              DEFINED                2                          5,100
PMI GROUP INC                                               DEFINED                1                          3,200
PNC FINANCIAL CORP                                          DEFINED                1                         13,000
POGO PRODUCING CO                                           DEFINED                3                        953,600         20,200
POLARIS INDS INC                                            DEFINED                2                          5,600
POLAROID CORP                                               DEFINED                1                          1,800
POLICY MANAGEMENT SYSTEMS                                   DEFINED                1                          3,200
POLICY MGMT SYS CORP                                        DEFINED                2                         26,600
POLO RALPH LAUREN CORP                                      DEFINED                2                         16,700
POST PPTYS INC                                              DEFINED                3                        212,500         43,100
POST PROPERTIES INC                                         DEFINED                1                        101,000
POTLATCH CORP                                               DEFINED                1                          1,000
POTLATCH CORP                                               DEFINED                2                         10,800
POTOMAC ELEC PWR CO                                         DEFINED                1                         10,300
POWER INTERIGATIONS INC                                     DEFINED                1                            678
PPG INDUSTRIES INC                                          DEFINED                1                          7,500
PPT VISION INC                                              DEFINED                2                         26,000
PRAXAIR INC                                                 DEFINED                1                        321,600
PRAXAIR INC                                                 DEFINED                2                         25,000
PRECISION CASTPARTS CORP                                    DEFINED                1                          2,000
</TABLE>



                                 Page 35 of 49

<PAGE>   38

File Number 28-219 (Consolidated)
As of 6/30/99


<TABLE>
<S>                                                              <C>               <C>            <C>              <C>           <C>
PRECISION CASTPARTS CORP                                         COM               740189105          153              3,800     SH 
PREMARK INTERNATIONAL, INC.                                      COM               740459102          191              5,100     SH 
PREMIER PKS INC                                                  COM               740540208        2,395             64,300     SH 
PRENTISS PPTYS TR                                                COM               740706106        1,254             53,100     SH 
PRESIDENTIAL LIFE CORP                                           COM               740884101           81              4,500     SH 
PRICE T ROWE & ASSOCIA                                           COM               741477103          418             10,900     SH 
PRICELINE COM INC                                                COM               741503106          124              1,500     SH 
PRIME HOSPITALITY CORP                                           COM               741917108           95              9,600     SH 
PROCTER + GAMBLE CO                                              COM               742718109        1,175             12,000     SH 
PROCTER AND GAMBLE                                               COM               742718109       28,560            320,000     SH 
PROFESSIONAL DETAILING                                           COM               74312N107        4,531            192,800     SH 
PROFESSIONAL DETAILING INC                                       COM               74312N107          524             20,000     SH 
PROFIT RECOVERY GROUP                                            COM               743168106       57,873          1,223,200     SH 
PROGRESSIVE CORP OHIO                                            COM               743315103        2,597             18,100     SH 
PROGRESSIVE CORP.                                                COM               743315103          467              3,220     SH 
PROLOGIS TR SH BEN INT                                           COM               743410102       25,947          1,281,340     SH 
PROMUS HOTEL CORP                                                COM               74342P106          216              6,962     SH 
PROMUS HOTEL CORP NEW                                            COM               74342P106          524             14,400     SH 
PROTECTION ONE INC                                               COM               743663304          237             38,000     SH 
PROTECTIVE LIFE CORP                                             COM               743674103        1,011             26,700     SH 
PROTECTIVE LIFE CORP.                                            COM               743674103        2,356             69,300     SH 
PROVIDENT COMPANIES INC                                          COM               743862104          216              5,400     SH 
PROVIDENT COS INC                                                COM               743862104           17                500     SH 
PROVIDENT FINANCIAL GROUP                                        COM               743866105          162              3,700     SH 
PROVIDIAN FINANCIAL CORP                                         COM               74406A102        1,445             15,500     SH 
PROVIDIAN FINL CORP                                              COM               74406A102        7,194             65,400     SH 
PROVIDIAN FINL CORP                                              COM               74406A102        5,026             53,900     SH 
PSS WORLD MEDICAL INC                                            COM               69366A100           66              5,900     SH 
PT INDOSAT (PERSERO) TBK                                         COM               715680104          351             18,000     SH 
PUBLIC SERVICE ENTERPRISE GP                                     COM               744573106          380              9,300     SH 
PUBLIC STORAGE INC                                               COM               74460D109          152              6,100     SH 
PUBLIC STORAGE INC                                               COM               74460D109       16,395            585,522     SH 
PUBLIC SVC CO N MEX                                              COM               744499104           72              3,600     SH 
PUBLIC SVC CO NM                                                 COM               744499104           78              4,600     SH 
PUBLISHING + BROADCASTING LTD                                    COM               663708006          114             20,000     SH 
PUGET SOUND PWR & LT C                                           COM               745332106          173              7,200     SH 
PULITZER INC                                                     COM               745769109           81              2,000     SH 
PULTE CORP                                                       COM               745867101           39              1,700     SH 
QRS CORP                                                         COM               74726X105        1,058             17,000     SH 
QUAKER OATS                                                      COM               747402105          345              5,200     SH 
QUALCOMM INC                                                     COM               747525103        1,808             12,600     SH 
QUALCOMM INC                                                     COM               747525103        1,031              8,300     SH 
QUANTUM 7% 8/1/04                                                CVT               747906AC9          279              3,000     SH 
QUANTUM CORP                                                     COM               747906105          692             38,500     SH 
QUANTUM CORP.                                                    COM               747906105          372             15,400     SH 
QUEBECOR                                                         COM               747922210        1,345             61,850     SH 
QUESTAR CORP                                                     COM               748356102          604             31,600     SH 
QUINTILES TRANSNATIONAL CORP                                     COM               748767100          407              9,700     SH 
QUORUM HEALTH GROUP INC                                          COM               749084109           77              6,100     SH 
QUORUM HEALTH GROUP INC                                          COM               749084109           36              3,600     SH 
</TABLE>



<TABLE>
<S>                                                        <C>                    <C>                    <C>              <C>
PRECISION CASTPARTS CORP                                   DEFINED                2                          3,800
PREMARK INTERNATIONAL, INC.                                DEFINED                1                          5,100
PREMIER PKS INC                                            DEFINED                2                         64,300
PRENTISS PPTYS TR                                          DEFINED                3                         53,100
PRESIDENTIAL LIFE CORP                                     DEFINED                2                          4,500
PRICE T ROWE & ASSOCIA                                     DEFINED                1                         10,900
PRICELINE COM INC                                          DEFINED                2                          1,500
PRIME HOSPITALITY CORP                                     DEFINED                2                          9,600
PROCTER + GAMBLE CO                                        DEFINED                2                         12,000
PROCTER AND GAMBLE                                         DEFINED                1                        320,000
PROFESSIONAL DETAILING                                     DEFINED                3                        192,800
PROFESSIONAL DETAILING INC                                 DEFINED                2                         20,000
PROFIT RECOVERY GROUP                                      DEFINED                3                      1,201,300         21,900
PROGRESSIVE CORP OHIO                                      DEFINED                2                         18,100
PROGRESSIVE CORP.                                          DEFINED                1                          3,220
PROLOGIS TR SH BEN INT                                     DEFINED                3                      1,054,510        226,830
PROMUS HOTEL CORP                                          DEFINED                1                          6,962
PROMUS HOTEL CORP NEW                                      DEFINED                2                         14,400
PROTECTION ONE INC                                         DEFINED                2                         38,000
PROTECTIVE LIFE CORP                                       DEFINED                2                         26,700
PROTECTIVE LIFE CORP.                                      DEFINED                1                         69,300
PROVIDENT COMPANIES INC                                    DEFINED                1                          5,400
PROVIDENT COS INC                                          DEFINED                2                            500
PROVIDENT FINANCIAL GROUP                                  DEFINED                1                          3,700
PROVIDIAN FINANCIAL CORP                                   DEFINED                1                         15,500
PROVIDIAN FINL CORP                                        DEFINED                2                         65,400
PROVIDIAN FINL CORP                                        DEFINED                3                         42,700         11,200
PSS WORLD MEDICAL INC                                      DEFINED                1                          5,900
PT INDOSAT (PERSERO) TBK                                   DEFINED                1                         18,000
PUBLIC SERVICE ENTERPRISE GP                               DEFINED                1                          9,300
PUBLIC STORAGE INC                                         DEFINED                2                          6,100
PUBLIC STORAGE INC                                         DEFINED                3                        483,696        101,826
PUBLIC SVC CO N MEX                                        DEFINED                1                          3,600
PUBLIC SVC CO NM                                           DEFINED                2                          4,600
PUBLISHING + BROADCASTING LTD                              DEFINED                2                         20,000
PUGET SOUND PWR & LT C                                     DEFINED                1                          7,200
PULITZER INC                                               DEFINED                2                          2,000
PULTE CORP                                                 DEFINED                1                          1,700
QRS CORP                                                   DEFINED                2                         17,000
QUAKER OATS                                                DEFINED                1                          5,200
QUALCOMM INC                                               DEFINED                1                         12,600
QUALCOMM INC                                               DEFINED                2                          8,300
QUANTUM 7% 8/1/04                                          DEFINED                1                          3,000
QUANTUM CORP                                               DEFINED                2                         38,500
QUANTUM CORP.                                              DEFINED                1                         15,400
QUEBECOR                                                   DEFINED                1                         61,850
QUESTAR CORP                                               DEFINED                1                         31,600
QUINTILES TRANSNATIONAL CORP                               DEFINED                1                          9,700
QUORUM HEALTH GROUP INC                                    DEFINED                1                          6,100
QUORUM HEALTH GROUP INC                                    DEFINED                2                          3,600
</TABLE>



                                 Page 36 of 49

<PAGE>   39

File Number 28-219 (Consolidated)
As of 6/30/99


<TABLE>
<S>                                                              <C>               <C>             <C>         <C>           <C>
QWEST COMMUNICATIONS INTL INC                                    COM               749121109        4,060         56,324     SH 
R R DONNELLEY & SONS                                             COM               257867101          215          5,800     SH 
R.P.M. INC OHIO                                                  COM               749685103          362         27,200     SH 
RADIAN GROUP INC                                                 COM               750236101       13,497        276,500     SH 
RALCORP HLDGS INC NEW                                            COM               751028101          251         13,200     SH 
RALSTON PURINA CO                                                COM               751277401          770         17,100     SH 
RALSTON PURINA CO                                                COM               751277302          336         12,600     SH 
RALSTON PURINA GROUP                                             COM               751277302          374         12,300     SH 
RANBAXY LABORATORIES-GRD                                         COM               747204230        1,210         73,350     SH 
RANGER OIL LTD                                                   COM               752805101           57         11,500     SH 
RAO GAZPROM                                                      COM               753317205           11          1,080     SH 
RATIONAL SOFTWARE CORP                                           COM               75409P202          247          7,500     SH 
RATIONAL SOFTWARE CORP                                           COM               75409P202          681         25,700     SH 
RAYCHEM CORP.                                                    COM               754603108          133          3,600     SH 
RAYMOND JAMES FINANCIAL INC                                      COM               754730109        1,325         67,100     SH 
RAYONIER INC                                                     COM               754907103          125          2,500     SH 
RAYTHEON CO                                                      COM               755111408          586         10,000     SH 
RAYTHEON CO                                                      COM               755111309          982         17,000     SH 
RAYTHEON COMPANY CLASS - B                                       COM               755111408          881         12,500     SH 
RCM TECHNOLOGIES INC                                             COM               749360400        1,691        153,700     SH 
READERS DIGEST ASSN- CLASS A                                     COM               755267101        1,157         29,100     SH 
REAL NETWORKS INC                                                COM               75605L104        2,969         24,300     SH 
RECKSON ASSOCS RLTY                                              COM               75621K106        5,954        252,700     SH 
RECKSON ASSOCS RLTY CORP                                         COM               75621K106           80          3,900     SH 
REEBOK INTL LTD                                                  COM               758110100           47          2,500     SH 
REEBOK INTL LTD                                                  COM               758110100          416         26,200     SH 
REGAL BELOIT CORP                                                COM               758750103          130          7,200     SH 
REGENCY RLTY CORP                                                COM               758939102           39          2,100     SH 
REGENCY RLTY CORP COM                                            COM               758939102        9,731        443,600     SH 
REGIONS FINL CORP                                                COM               758940100          327          8,500     SH 
REGIS CORP MINN COM                                              COM               758932107       19,951      1,039,800     SH 
REINSURANCE GROUP AMER INC                                       COM               759351109          702         16,500     SH 
REINSURANCE GROUP OF AMERICA                                     COM               759351208          930         27,450     SH 
RELIANCE GROUP HLDGS INC                                         COM               759464100          329         43,500     SH 
RELIANT ENERGY INC.                                              COM               75952J108          341         12,326     SH 
RELIASTAR FINANCIAL CORP                                         COM               75952U103          333          7,600     SH 
RELIASTAR FINL CORP                                              COM               75952U103          124          2,900     SH 
RENAISSANCE RE HOLDINGS LTD                                      COM               G7496G103        1,084         25,000     SH 
RENAISSANCE WORLDWIDE INC                                        COM               75968A109           71         11,400     SH 
REPUBLIC NEW YORK                                                COM               760719104          334          4,900     SH 
RESTORATION HARDWARE INC DEL                                     COM               760981100          357         16,300     SH 
REYNOLDS & REYNOLDS                                              COM               761695105          163          7,000     SH 
REYNOLDS + REYNOLDS CO                                           COM               761695105          201         10,600     SH 
REYNOLDS METALS                                                  COM               761763101          142          2,400     SH 
RICHFOOD HLDGS INC                                               COM               763408101          304         14,100     SH 
RITCHIE BROS AUCTIONEERS INC                                     COM               767744105          573         17,000     SH 
RITE AID CORP                                                    COM               767754104          266         10,800     SH 
RITE AID CORP                                                    COM               767754104        1,050         42,000     SH 
RIVERVIEW BANCORP INC                                            COM               769397100          238         20,000     SH 
RJ REYNOLDS TOBACCO HOLDINGS                                     COM               76182K105          153          4,833     SH 
</TABLE>



<TABLE>
<S>                                                        <C>                    <C>                    <C>               <C>
QWEST COMMUNICATIONS INTL INC                              DEFINED                2                         56,324
R R DONNELLEY & SONS                                       DEFINED                1                          5,800
R.P.M. INC OHIO                                            DEFINED                2                         27,200
RADIAN GROUP INC                                           DEFINED                3                        269,800          6,700
RALCORP HLDGS INC NEW                                      DEFINED                2                         13,200
RALSTON PURINA CO                                          DEFINED                2                         17,100
RALSTON PURINA CO                                          DEFINED                2                         12,600
RALSTON PURINA GROUP                                       DEFINED                1                         12,300
RANBAXY LABORATORIES-GRD                                   DEFINED                1                         73,350
RANGER OIL LTD                                             DEFINED                1                         11,500
RAO GAZPROM                                                DEFINED                2                          1,080
RATIONAL SOFTWARE CORP                                     DEFINED                1                          7,500
RATIONAL SOFTWARE CORP                                     DEFINED                2                         25,700
RAYCHEM CORP.                                              DEFINED                1                          3,600
RAYMOND JAMES FINANCIAL INC                                DEFINED                2                         67,100
RAYONIER INC                                               DEFINED                1                          2,500
RAYTHEON CO                                                DEFINED                2                         10,000
RAYTHEON CO                                                DEFINED                2                         17,000
RAYTHEON COMPANY CLASS - B                                 DEFINED                1                         12,500
RCM TECHNOLOGIES INC                                       DEFINED                2                        153,700
READERS DIGEST ASSN- CLASS A                               DEFINED                1                         29,100
REAL NETWORKS INC                                          DEFINED                2                         24,300
RECKSON ASSOCS RLTY                                        DEFINED                3                        215,000         37,700
RECKSON ASSOCS RLTY CORP                                   DEFINED                2                          3,900
REEBOK INTL LTD                                            DEFINED                1                          2,500
REEBOK INTL LTD                                            DEFINED                2                         26,200
REGAL BELOIT CORP                                          DEFINED                2                          7,200
REGENCY RLTY CORP                                          DEFINED                2                          2,100
REGENCY RLTY CORP COM                                      DEFINED                3                        364,200         79,400
REGIONS FINL CORP                                          DEFINED                1                          8,500
REGIS CORP MINN COM                                        DEFINED                3                      1,022,400         17,400
REINSURANCE GROUP AMER INC                                 DEFINED                2                         16,500
REINSURANCE GROUP OF AMERICA                               DEFINED                2                         27,450
RELIANCE GROUP HLDGS INC                                   DEFINED                2                         43,500
RELIANT ENERGY INC.                                        DEFINED                1                         12,326
RELIASTAR FINANCIAL CORP                                   DEFINED                1                          7,600
RELIASTAR FINL CORP                                        DEFINED                2                          2,900
RENAISSANCE RE HOLDINGS LTD                                DEFINED                1                         25,000
RENAISSANCE WORLDWIDE INC                                  DEFINED                2                         11,400
REPUBLIC NEW YORK                                          DEFINED                1                          4,900
RESTORATION HARDWARE INC DEL                               DEFINED                2                         16,300
REYNOLDS & REYNOLDS                                        DEFINED                1                          7,000
REYNOLDS + REYNOLDS CO                                     DEFINED                2                         10,600
REYNOLDS METALS                                            DEFINED                1                          2,400
RICHFOOD HLDGS INC                                         DEFINED                2                         14,100
RITCHIE BROS AUCTIONEERS INC                               DEFINED                2                         17,000
RITE AID CORP                                              DEFINED                1                         10,800
RITE AID CORP                                              DEFINED                2                         42,000
RIVERVIEW BANCORP INC                                      DEFINED                2                         20,000
RJ REYNOLDS TOBACCO HOLDINGS                               DEFINED                1                          4,833
</TABLE>



                                 Page 37 of 49

<PAGE>   40

File Number 28-219 (Consolidated)
As of 6/30/99


<TABLE>
<S>                                                              <C>              <C>              <C>           <C>         <C>
ROBERT HALF INTERNATIONAL INC                                    COM               770323103          197          7,650     SH 
ROBERT HALF INTL INC                                             COM               770323103        9,283        282,900     SH 
ROBERTS PHARMACEUTICAL CORP                                      COM               770491108           77          3,700     SH 
ROCKWELL INTL CORP                                               COM               773903109          510          8,400     SH 
ROGERS COMMUNICATIONS INC                                        COM               775109200        1,437         94,200     SH 
ROGERS COMMUNICATIONS INC                                        COM               775109200          185         10,200     SH 
ROGERS COMMUNICATIONS INC                                        COM               775109960          298         16,400     SH 
ROHM & HAAS CO                                                   COM               775371107          401          9,354     SH 
ROLLINS INC                                                      COM               775711104           48          3,000     SH 
ROMAC INTL INC                                                   COM               775835101          194         22,800     SH 
ROPER INDS                                                       COM               776696106          167          7,000     SH 
ROSS STORES INC                                                  COM               778296103          207          4,100     SH 
ROSS STORES INC COM                                              COM               778296103       43,907        871,600     SH 
ROUSE CO                                                         COM               779273101          555         25,000     SH 
ROUSE CO                                                         COM               779273309           15            400     SH 
ROUSE CO                                                         COM               779273101          142          6,400     SH 
ROUSE CO COM                                                     COM               779273101       17,592        693,300     SH 
ROWAN COS. INC.                                                  COM               779382100           57          3,100     SH 
ROWECOM INC                                                      COM               77957X108           48          1,100     SH 
ROYAL BK CDA MONTREAL QUE                                        COM               780087953           30            640     SH 
ROYAL CARIBBEAN CRUISES LTD                                      COM               V7780T103          480         12,300     SH 
ROYAL DUTCH PETE CO                                              COM               780257804       12,417        238,785     SH 
ROYAL DUTCH PETRO-NY SHRS                                        COM               780257804        5,037         83,600     SH 
RPM INC OHIO                                                     COM               749685103          133          9,400     SH 
RSL COMMUNICATIONS LTD                                           COM               G7702U102          592         16,500     SH 
RUDDICK CORP                                                     COM               781258108           82          4,100     SH 
RUSSELL CORP                                                     COM               782352108           29          1,500     SH 
RYANS FAMILY STEAK HOUSES INC                                    COM               783519101          166         13,800     SH 
RYDER SYS INC                                                    COM               783549108           91          3,300     SH 
RYDER SYSTEMS INC                                                COM               783549108           72          2,800     SH 
RYERSON TULL INC                                                 COM               78375P107           43          1,900     SH 
SAFECO CORP                                                      COM               786429100          278          6,300     SH 
SAFEGUARD SCIENTIFICS INC                                        COM               786449108          739         10,900     SH 
SAFEWAY INC NEW                                                  COM               786514208          936         18,900     SH 
SAKS INC                                                         COM               79377W108          850         32,700     SH 
SAKS INCORPORATED                                                COM               79377W108          375         13,000     SH 
SAN JUAN BASIN RTY TR                                            COM               798241105          729         89,690     SH 
SANMINA CORPORATION                                              COM               800907107          372          4,900     SH 
SANTA FE INTERNATIONAL CORP                                      COM               G7805C108           73          3,900     SH 
SANTA FE SNYDER CORPORATION                                      COM               80218K105          117         14,600     SH 
SAP AKTIENGESELLSCHAFT                                           COM               803054204          705         26,800     SH 
SAPIENT CORP                                                     COM               803062108          328          4,600     SH 
SARA LEE CORP                                                    COM               803111103          819         36,100     SH 
SARA LEE CORP                                                    COM               803111103          755         30,500     SH 
SAVILLE SYS PLC                                                  COM               805174109        1,701        139,100     SH 
SBA COMMUNICATIONS CRP                                           COM               78388J106        1,405        145,000     SH 
SBARRO INC                                                       COM               805844107           49          1,800     SH 
SBARRO INC                                                       COM               805844107        1,720         64,900     SH 
SBC COMMUNICATIONS INC                                           COM               78387G103       26,628        459,108     SH 
SBC COMMUNICATIONS INC                                           COM               78387G103        1,659         35,200     SH 
</TABLE>



<TABLE>
<S>                                                         <C>                    <C>                    <C>              <C>
ROBERT HALF INTERNATIONAL INC                               DEFINED                1                          7,650
ROBERT HALF INTL INC                                        DEFINED                2                        282,900
ROBERTS PHARMACEUTICAL CORP                                 DEFINED                2                          3,700
ROCKWELL INTL CORP                                          DEFINED                1                          8,400
ROGERS COMMUNICATIONS INC                                   DEFINED                1                         94,200
ROGERS COMMUNICATIONS INC                                   DEFINED                2                         10,200
ROGERS COMMUNICATIONS INC                                   DEFINED                2                         16,400
ROHM & HAAS CO                                              DEFINED                1                          9,354
ROLLINS INC                                                 DEFINED                1                          3,000
ROMAC INTL INC                                              DEFINED                2                         22,800
ROPER INDS                                                  DEFINED                2                          7,000
ROSS STORES INC                                             DEFINED                1                          4,100
ROSS STORES INC COM                                         DEFINED                3                        851,600         20,000
ROUSE CO                                                    DEFINED                2                         25,000
ROUSE CO                                                    DEFINED                2                            400
ROUSE CO                                                    DEFINED                2                          6,400
ROUSE CO COM                                                DEFINED                3                        567,600        125,700
ROWAN COS. INC.                                             DEFINED                1                          3,100
ROWECOM INC                                                 DEFINED                2                          1,100
ROYAL BK CDA MONTREAL QUE                                   DEFINED                2                            640
ROYAL CARIBBEAN CRUISES LTD                                 DEFINED                2                         12,300
ROYAL DUTCH PETE CO                                         DEFINED                2                        238,785
ROYAL DUTCH PETRO-NY SHRS                                   DEFINED                1                         83,600
RPM INC OHIO                                                DEFINED                1                          9,400
RSL COMMUNICATIONS LTD                                      DEFINED                2                         16,500
RUDDICK CORP                                                DEFINED                1                          4,100
RUSSELL CORP                                                DEFINED                1                          1,500
RYANS FAMILY STEAK HOUSES INC                               DEFINED                2                         13,800
RYDER SYS INC                                               DEFINED                2                          3,300
RYDER SYSTEMS INC                                           DEFINED                1                          2,800
RYERSON TULL INC                                            DEFINED                1                          1,900
SAFECO CORP                                                 DEFINED                1                          6,300
SAFEGUARD SCIENTIFICS INC                                   DEFINED                2                         10,900
SAFEWAY INC NEW                                             DEFINED                1                         18,900
SAKS INC                                                    DEFINED                2                         32,700
SAKS INCORPORATED                                           DEFINED                1                         13,000
SAN JUAN BASIN RTY TR                                       DEFINED                3                         89,690
SANMINA CORPORATION                                         DEFINED                1                          4,900
SANTA FE INTERNATIONAL CORP                                 DEFINED                2                          3,900
SANTA FE SNYDER CORPORATION                                 DEFINED                1                         14,600
SAP AKTIENGESELLSCHAFT                                      DEFINED                2                         26,800
SAPIENT CORP                                                DEFINED                2                          4,600
SARA LEE CORP                                               DEFINED                1                         36,100
SARA LEE CORP                                               DEFINED                2                         30,500
SAVILLE SYS PLC                                             DEFINED                2                        139,100
SBA COMMUNICATIONS CRP                                      DEFINED                3                        145,000
SBARRO INC                                                  DEFINED                1                          1,800
SBARRO INC                                                  DEFINED                2                         64,900
SBC COMMUNICATIONS INC                                      DEFINED                1                        459,108
SBC COMMUNICATIONS INC                                      DEFINED                2                         35,200
</TABLE>



                                 Page 38 of 49

<PAGE>   41

File Number 28-219 (Consolidated)
As of 6/30/99


<TABLE>
<S>                                                              <C>               <C>             <C>         <C>           <C>
SCANA CORP                                                       COM               805898103          117          5,400     SH 
SCANNA CORP                                                      COM               805898103          215          9,200     SH 
SCHERING PLOUGH                                                  COM               806605101       28,366        540,300     SH 
SCHERING PLOUGH CORP                                             COM               806605101       17,477        316,060     SH 
SCHLUMBERGER                                                     COM               806857108       18,390        288,750     SH 
SCHLUMBERGER                                                     COM               806857108        6,514        107,940     SH 
SCHOLASTIC CORP                                                  COM               807066105          655         13,400     SH 
SCHOLASTIC CORPORATION                                           COM               807066105           71          1,400     SH 
SCHULMAN A INC                                                   COM               808194104          471         34,700     SH 
SCHWAB (CHARLES) CORP                                            COM               808513105        1,684         15,450     SH 
SCHWAB CHARLES CORP                                              COM               808513105        1,132         11,775     SH 
SCHWEITZER MAUDUIT INTL INC                                      COM               808541106          115         10,000     SH 
SCI SYS INC                                                      COM               783890106           86          2,900     SH 
SCI SYSTEMS INC                                                  COM               783890106          237          5,000     SH 
SCIENTIFIC ATLANTA INC                                           COM               808655104          104          2,900     SH 
SCIENTIFIC ATLANTA INC                                           COM               808655104        5,900        163,900     SH 
SCOTSMAN INDS INC                                                COM               809340102           67          3,900     SH 
SDL INC COM                                                      COM               784076101       39,727        778,000     SH 
SEAGATE TECHNOLOGY                                               COM               811804103          246          9,600     SH 
SEAGATE TECHNOLOGY                                               COM               811804103          591         20,000     SH 
SEAGRAM COMPANY LTD                                              COM               811850106        5,885        121,400     SH 
SEALED AIR CORP NEW                                              COM               81211K100        1,013         20,600     SH 
SEALED AIR CORP.  (new)                                          COM               81211K100          172          2,657     SH 
SEARS ROEBUCK + CO                                               COM               812387108          375          8,300     SH 
SEARS, ROEBUCK                                                   COM               812387108       16,551        371,400     SH 
SELECTIVE INS GROUP INC                                          COM               816300107           95          5,400     SH 
SEMPRA ENERGY                                                    COM               816851109          193          8,552     SH 
SENSORMATIC ELECTRONICS CORP                                     COM               817265101           91          6,500     SH 
SEPRACOR INC                                                     COM               817315104          211          2,600     SH 
SEPRACOR INC                                                     COM               817315104        4,469         39,835     SH 
SEQUA CORP - CL A                                                COM               817320104           49            700     SH 
SEQUENT COMPUTER SYS INC                                         COM               817338106           37          4,100     SH 
SEQUENT COMPUTER SYS.                                            COM               817338106           55          3,100     SH 
SERVICE CORP INTERNATIONAL                                       COM               817565104          191          9,900     SH 
SFX ENTMT INC                                                    COM               784178105          646         10,000     SH 
SFX ENTMT INC CL A                                               COM               784178105       71,507      1,117,300     SH 
SHARED MEDI CAL SYSTEM                                           COM               819486101        1,014         18,200     SH 
SHARED MEDICAL SYSTEMS                                           COM               819486101           65           1000     SH 
SHAW INDUSTRIES INC.                                             COM               820286102          210         12,000     SH 
SHELL TRANS + TRADING PLC                                        COM               822703609          532         13,100     SH 
SHELL TRNSPT+TRDG                                                COM               080341001          706        105,000     SH 
SHERWIN-WILLIAMS                                                 COM               824348106          183          6,600     SH 
SHIRE PHARMACEUTICALS GROUP PL                                   COM               82481R106           98          4,300     SH 
SHOPKO STORES INC                                                COM               824911101          442         14,800     SH 
SIEBEL SYS INC                                                   COM               826170102        1,425         30,000     SH 
SIEBEL SYSTEMS INC                                               COM               826170102          491          7,400     SH 
SIERRA HEALTH SVCS INC                                           COM               826322109          262         20,150     SH 
SIERRA PAC RES                                                   COM               826425100          194          5,500     SH 
SIGMA-ALDRICH                                                    COM               826552101          138          4,000     SH 
SILICON GRAPHICS 5.25 09/04                                      CVT               827056AC6          354          4,000     SH 
</TABLE>



<TABLE>
<S>                                                        <C>                    <C>                    <C>               <C>
SCANA CORP                                                 DEFINED                2                          5,400
SCANNA CORP                                                DEFINED                1                          9,200
SCHERING PLOUGH                                            DEFINED                1                        540,300
SCHERING PLOUGH CORP                                       DEFINED                2                        316,060
SCHLUMBERGER                                               DEFINED                1                        288,750
SCHLUMBERGER                                               DEFINED                2                        107,940
SCHOLASTIC CORP                                            DEFINED                2                         13,400
SCHOLASTIC CORPORATION                                     DEFINED                1                          1,400
SCHULMAN A INC                                             DEFINED                2                         34,700
SCHWAB (CHARLES) CORP                                      DEFINED                1                         15,450
SCHWAB CHARLES CORP                                        DEFINED                2                         11,775
SCHWEITZER MAUDUIT INTL INC                                DEFINED                2                         10,000
SCI SYS INC                                                DEFINED                2                          2,900
SCI SYSTEMS INC                                            DEFINED                1                          5,000
SCIENTIFIC ATLANTA INC                                     DEFINED                1                          2,900
SCIENTIFIC ATLANTA INC                                     DEFINED                3                        133,300         30,600
SCOTSMAN INDS INC                                          DEFINED                2                          3,900
SDL INC COM                                                DEFINED                3                        762,600         15,400
SEAGATE TECHNOLOGY                                         DEFINED                1                          9,600
SEAGATE TECHNOLOGY                                         DEFINED                2                         20,000
SEAGRAM COMPANY LTD                                        DEFINED                1                        121,400
SEALED AIR CORP NEW                                        DEFINED                2                         20,600
SEALED AIR CORP.  (new)                                    DEFINED                1                          2,657
SEARS ROEBUCK + CO                                         DEFINED                2                          8,300
SEARS, ROEBUCK                                             DEFINED                1                        371,400
SELECTIVE INS GROUP INC                                    DEFINED                2                          5,400
SEMPRA ENERGY                                              DEFINED                1                          8,552
SENSORMATIC ELECTRONICS CORP                               DEFINED                1                          6,500
SEPRACOR INC                                               DEFINED                1                          2,600
SEPRACOR INC                                               DEFINED                2                         39,835
SEQUA CORP - CL A                                          DEFINED                1                            700
SEQUENT COMPUTER SYS INC                                   DEFINED                2                          4,100
SEQUENT COMPUTER SYS.                                      DEFINED                1                          3,100
SERVICE CORP INTERNATIONAL                                 DEFINED                1                          9,900
SFX ENTMT INC                                              DEFINED                2                         10,000
SFX ENTMT INC CL A                                         DEFINED                3                      1,078,900         38,400
SHARED MEDI CAL SYSTEM                                     DEFINED                2                         18,200
SHARED MEDICAL SYSTEMS                                     DEFINED                1                          1,000
SHAW INDUSTRIES INC.                                       DEFINED                1                         12,000
SHELL TRANS + TRADING PLC                                  DEFINED                2                         13,100
SHELL TRNSPT+TRDG                                          DEFINED                2                        105,000
SHERWIN-WILLIAMS                                           DEFINED                1                          6,600
SHIRE PHARMACEUTICALS GROUP PL                             DEFINED                2                          4,300
SHOPKO STORES INC                                          DEFINED                2                         14,800
SIEBEL SYS INC                                             DEFINED                2                         30,000
SIEBEL SYSTEMS INC                                         DEFINED                1                          7,400
SIERRA HEALTH SVCS INC                                     DEFINED                2                         20,150
SIERRA PAC RES                                             DEFINED                2                          5,500
SIGMA-ALDRICH                                              DEFINED                1                          4,000
SILICON GRAPHICS 5.25 09/04                                DEFINED                1                          4,000
</TABLE>



                                 Page 39 of 49

<PAGE>   42

File Number 28-219 (Consolidated)
As of 6/30/99


<TABLE>
<S>                                                              <C>              <C>              <C>             <C>           <C>
SILICON GRAPHICS, INC.                                           COM               827056102              113          6,900     SH 
SILICON VY GROUP INC                                             COM               827066101               66          5,400     SH 
SIMON PPTY GROUP NEW                                             COM               828806109           23,950        904,550     SH 
SK TELECOM CO LTD - ADR                                          COM              78440P1084           3,0169        186,208     SH 
SKY FINL GROUP INC COM                                           COM               83080P103            1,172         43,000     SH 
SL GREEN REALTY CORP                                             COM               78440X101           11,269        551,400     SH 
SLM HLDG CORP                                                    COM               78442A109            1,870         44,800     SH 
SMITH (DS) HLDGS                                                 COM               082201906               32         18,000     SH 
SMITH CORONA                                                     COM               831858204              957            785     SH 
SMITH INTERNATIONAL INC.                                         COM               832110100              152          3,500     SH 
SMITH INTL INC                                                   COM               832110100            5,224        130,600     SH 
SMITHKLINE BEECHAM P L C                                         COM               832378301            2,200         30,775     SH 
SNAP-ON INC.                                                     COM               833034101              127          3,500     SH 
SNYDER COMMUNICATIONS INC                                        COM               832914105              206          6,300     SH 
SNYDER COMMUNICATIONS INC                                        COM               832914105            1,787         64,100     SH 
SOC QUIMICA Y MINERA                                             COM               833635105            1,809         51,130     SH 
SOC. GENERALE                                                    COM               481775005              486          2,526     SH 
SODEXHO ALLIANCE                                                 COM               481830008              303          1,848     SH 
SODEXHO MARIOTT SERVICES                                         COM               833793102              159          8,272     SH 
SODEXHO MARRIOTT SVCS INC                                        COM               833793102              154          7,000     SH 
SOLA INTL INC                                                    COM               834092108              434         36,000     SH 
SOLECTRON CORP                                                   COM               834182107              600          9,000     SH 
SOLECTRON CORP                                                   COM               834182107              777         16,000     SH 
SOLUTIA INC                                                      COM               834376105              205          9,600     SH 
SOLUTIA INC                                                      COM               834376105               26          1,485     SH 
SONAT INC                                                        COM               835415100                3            100     SH 
SONAT INC.                                                       COM               835415100              123          3,700     SH 
SONIC AUTOMOTIVE INC CL A                                        COM               83545G102           18,641      1,355,700     SH 
SONOCO PRODS CO                                                  COM               835495102              260          8,690     SH 
SOTHEBYS HLDGS INC                                               COM               835898107            2,500         77,000     SH 
SOTHEBY'S HOLDINGS                                               COM               835898107              183          4,800     SH 
SOUTHDOWN INC                                                    COM               841297104              212          3,300     SH 
SOUTHERN CO                                                      COM               842587107              729         27,500     SH 
SOUTHERN CO                                                      COM               842587107              140          6,000     SH 
SOUTHERN PERU COPPER CORP                                        COM               843611104              188         13,000     SH 
SOUTHTRUST CORP                                                  COM               844730101              276          7,200     SH 
SOUTHTRUST CORP                                                  COM               844730101              119          3,200     SH 
SOUTHWEST AIRLINES                                               COM               844741108              405         13,025     SH 
SOUTHWEST AIRLS CO                                               COM               844741108              377         12,450     SH 
SOUTHWEST BANCORPORATION TEX                                     COM               84476R109               59          4,800     SH 
SOVEREIGN BANCORP INC                                            COM               845905108              177         14,600     SH 
SPARTECH CORP COM NEW                                            COM               847220209            9,402        297,300     SH 
SPEEDFAM IPEC INC                                                COM               847705100              240         20,000     SH 
SPEEDWAY MOTORSPORTS                                             COM               847788106           16,751        426,100     SH 
SPEEDWAY MOTORSPORTSINC                                          COM               847788106            1,159         28,100     SH 
SPIEGEL INC                                                      COM               848457107              122         20,000     SH 
SPIEKER PPTYS INC COM                                            COM               848497103            6,714        172,700     SH 
SPLASH TECHNOLOGY HLDGS INC                                      COM               848623104              194         32,000     SH 
SPORTS AUTH INC                                                  COM               849176102               25          3,400     SH 
SPRINGS INDUSTRIES INC - CL A                                    COM               851783100               31            700     SH 
</TABLE>



<TABLE>
<S>                                                         <C>                    <C>                    <C>              <C>
SILICON GRAPHICS, INC.                                      DEFINED                1                          6,900
SILICON VY GROUP INC                                        DEFINED                2                          5,400
SIMON PPTY GROUP NEW                                        DEFINED                3                        746,250        158,300
SK TELECOM CO LTD - ADR                                     DEFINED                1                        186,208
SKY FINL GROUP INC COM                                      DEFINED                3                         43,000
SL GREEN REALTY CORP                                        DEFINED                3                        455,000         96,400
SLM HLDG CORP                                               DEFINED                2                         44,800
SMITH (DS) HLDGS                                            DEFINED                2                         18,000
SMITH CORONA                                                DEFINED                1                            785
SMITH INTERNATIONAL INC.                                    DEFINED                1                          3,500
SMITH INTL INC                                              DEFINED                2                        130,600
SMITHKLINE BEECHAM P L C                                    DEFINED                2                         30,775
SNAP-ON INC.                                                DEFINED                1                          3,500
SNYDER COMMUNICATIONS INC                                   DEFINED                1                          6,300
SNYDER COMMUNICATIONS INC                                   DEFINED                2                         64,100
SOC QUIMICA Y MINERA                                        DEFINED                1                         51,130
SOC. GENERALE                                               DEFINED                2                          2,526
SODEXHO ALLIANCE                                            DEFINED                2                          1,848
SODEXHO MARIOTT SERVICES                                    DEFINED                1                          8,272
SODEXHO MARRIOTT SVCS INC                                   DEFINED                2                          7,000
SOLA INTL INC                                               DEFINED                2                         36,000
SOLECTRON CORP                                              DEFINED                1                          9,000
SOLECTRON CORP                                              DEFINED                2                         16,000
SOLUTIA INC                                                 DEFINED                1                          9,600
SOLUTIA INC                                                 DEFINED                2                          1,485
SONAT INC                                                   DEFINED                2                            100
SONAT INC.                                                  DEFINED                1                          3,700
SONIC AUTOMOTIVE INC CL A                                   DEFINED                3                      1,336,300         19,400
SONOCO PRODS CO                                             DEFINED                1                          8,690
SOTHEBYS HLDGS INC                                          DEFINED                2                         77,000
SOTHEBY'S HOLDINGS                                          DEFINED                1                          4,800
SOUTHDOWN INC                                               DEFINED                1                          3,300
SOUTHERN CO                                                 DEFINED                1                         27,500
SOUTHERN CO                                                 DEFINED                2                          6,000
SOUTHERN PERU COPPER CORP                                   DEFINED                1                         13,000
SOUTHTRUST CORP                                             DEFINED                1                          7,200
SOUTHTRUST CORP                                             DEFINED                2                          3,200
SOUTHWEST AIRLINES                                          DEFINED                1                         13,025
SOUTHWEST AIRLS CO                                          DEFINED                2                         12,450
SOUTHWEST BANCORPORATION TEX                                DEFINED                2                          4,800
SOVEREIGN BANCORP INC                                       DEFINED                1                         14,600
SPARTECH CORP COM NEW                                       DEFINED                3                        288,200          9,100
SPEEDFAM IPEC INC                                           DEFINED                2                         20,000
SPEEDWAY MOTORSPORTS                                        DEFINED                3                        406,700         19,400
SPEEDWAY MOTORSPORTSINC                                     DEFINED                2                         28,100
SPIEGEL INC                                                 DEFINED                2                         20,000
SPIEKER PPTYS INC COM                                       DEFINED                3                        143,300         29,400
SPLASH TECHNOLOGY HLDGS INC                                 DEFINED                2                         32,000
SPORTS AUTH INC                                             DEFINED                2                          3,400
SPRINGS INDUSTRIES INC - CL A                               DEFINED                1                            700
</TABLE>



                                 Page 40 of 49

<PAGE>   43

File Number 28-219 (Consolidated)
As of 6/30/99


<TABLE>
<S>                                                              <C>               <C>             <C>             <C>           <C>
SPRINT                                                           COM               852061100        1,727,800         32,600     SH 
SPRINT CORP                                                      COM               852061506        8,017,771        180,937     SH 
SPRINT PCS GROUP                                                 COM               852061506          971,850         17,050     SH 
SPT TELECOM AS - GDR                                             COM               852110105          355,874         22,000     SH 
SPX CORP                                                         COM               784635104          225,450          2,700     SH 
SPYGLASS INC                                                     COM               852192103        1,208,406        134,100     SH 
ST JUDE MEDICAL INC                                              COM               790849103          110,438          3,100     SH 
ST PAUL BANCORP INC                                              COM               792848103          281,125         13,000     SH 
ST PAUL BANCORP INC COM                                          COM               792848103       14,415,150        565,300     SH 
ST. PAUL COS INC.                                                COM               792860108          286,312          9,000     SH 
STANDARD REGISTER CO                                             COM               853887107           76,875          2,500     SH 
STANFORD TELECOMMUNICATIONS                                      COM               854402104          590,400         38,400     SH 
STANLEY WORKS                                                    COM               854616109          347,626         10,800     SH 
STANLEY WORKS                                                    COM               854616109           71,750          2,800     SH 
STAPLES INC                                                      COM               855030102          539,860         17,450     SH 
STAR CHOICE COMMUNICATIONS WARRANT                               COM               854921111          700,590        254,760     SH 
STAR CITY HLDGS                                                  COM               686871906           29,200         28,600     SH 
STARBUCKS CORP                                                   COM               855244109          585,975         15,600     SH 
STARBUCKS CORP                                                   COM               855244109        8,400,000        300,000     SH 
STARBUCKS CORP COM                                               COM               855244109       41,183,525      1,096,400     SH 
STARWOOD HOTELS & RESORTS                                        COM               85590A203        3,328,256        108,900     SH 
STATE STREET CORP                                                COM               857477103          572,013          6,700     SH 
STATE STREET CORPORATION                                         COM               857477103        1,906,750         23,200     SH 
STATEN IS BANCORP INC                                            COM               857550107          101,406          5,900     SH 
STEINER LEISURE LIMITED                                          COM               P8744Y102        1,887,178         61,450     SH 
STEINWAY MUSICAL COMMON                                          COM               858495104           47,730      1,801,131     SH 
STERIS CORP                                                      COM               859152100          114,313          5,900     SH 
STERIS CORP                                                      COM               859152100          396,713         14,900     SH 
STERLING BANCSHARES INC                                          COM               858907108           34,238          3,300     SH 
STERLING COMM INC                                                COM               859205106          753,375         24,500     SH 
STERLING COMMERCE INC                                            COM               859205106          308,700          8,400     SH 
STERLING SOFTWARE INC                                            COM               859547101          171,844          6,500     SH 
STERLING SOFTWARE INC.                                           COM               859547101        1,206,500         50,800     SH 
STEWART & STEVE                                                  COM               860342104           44,225          2,900     SH 
STEWART + STEVENSON SVCS INC                                     COM               860342104          172,500         23,000     SH 
STEWART ENETERPRISES INC - CL A                                  COM               860370105          142,713          9,800     SH 
STONE ENERGY CORP                                                COM               861642106        1,978,913         46,700     SH 
STORAGE TECHNOLOGY CORP.                                         COM               862111200          193,375          8,500     SH 
STORAGE USA                                                      COM               861907103        7,552,000        236,000     SH 
STORAGE USA INC                                                  COM               861907103        2,560,000         80,000     SH 
STRIDE RITE CORP                                                 COM               863314100          253,575         20,700     SH 
STRUCTURAL DYNAMICS RESEARCH                                     COM               863555108           53,831          2,900     SH 
STRUCTURAL DYNAMICS RESH CORP                                    COM               863555108          138,750          7,400     SH 
STRYKER CORP                                                     COM               863667101          499,038          8,300     SH 
STRYKER CORP                                                     COM               863667101          756,563         15,000     SH 
STUDENT LN CORP                                                  COM               863902102           67,275          1,800     SH 
STUDENT LOAN MARKETING                                           COM               78442A109          242,806          5,300     SH 
SUIZA FOODS CORP                                                 COM               865077101          134,000          3,200     SH 
SUIZA FOODS CORP                                                 COM               865077101          596,269         17,700     SH 
SUMMIT BANCORP                                                   COM               866005101        9,617,400        246,600     SH 
</TABLE>



<TABLE>
<S>                                                          <C>                    <C>                    <C>               <C>
SPRINT                                                       DEFINED                1                         32,600
SPRINT CORP                                                  DEFINED                2                        180,937
SPRINT PCS GROUP                                             DEFINED                1                         17,050
SPT TELECOM AS - GDR                                         DEFINED                1                         22,000
SPX CORP                                                     DEFINED                1                          2,700
SPYGLASS INC                                                 DEFINED                2                        134,100
ST JUDE MEDICAL INC                                          DEFINED                1                          3,100
ST PAUL BANCORP INC                                          DEFINED                2                         13,000
ST PAUL BANCORP INC COM                                      DEFINED                3                        554,300         11,000
ST. PAUL COS INC.                                            DEFINED                1                          9,000
STANDARD REGISTER CO                                         DEFINED                1                          2,500
STANFORD TELECOMMUNICATIONS                                  DEFINED                2                         38,400
STANLEY WORKS                                                DEFINED                1                         10,800
STANLEY WORKS                                                DEFINED                2                          2,800
STAPLES INC                                                  DEFINED                1                         17,450
STAR CHOICE COMMUNICATIONS WARRANT                           DEFINED                1                        254,760
STAR CITY HLDGS                                              DEFINED                2                         28,600
STARBUCKS CORP                                               DEFINED                1                         15,600
STARBUCKS CORP                                               DEFINED                2                        300,000
STARBUCKS CORP COM                                           DEFINED                3                      1,057,800         38,600
STARWOOD HOTELS & RESORTS                                    DEFINED                3                         88,400         20,500
STATE STREET CORP                                            DEFINED                1                          6,700
STATE STREET CORPORATION                                     DEFINED                2                         23,200
STATEN IS BANCORP INC                                        DEFINED                2                          5,900
STEINER LEISURE LIMITED                                      DEFINED                2                         61,450
STEINWAY MUSICAL COMMON                                      DEFINED                2                      1,801,131
STERIS CORP                                                  DEFINED                1                          5,900
STERIS CORP                                                  DEFINED                2                         14,900
STERLING BANCSHARES INC                                      DEFINED                2                          3,300
STERLING COMM INC                                            DEFINED                2                         24,500
STERLING COMMERCE INC                                        DEFINED                1                          8,400
STERLING SOFTWARE INC                                        DEFINED                1                          6,500
STERLING SOFTWARE INC.                                       DEFINED                2                         50,800
STEWART & STEVE                                              DEFINED                1                          2,900
STEWART + STEVENSON SVCS INC                                 DEFINED                2                         23,000
STEWART ENETERPRISES INC - CL A                              DEFINED                1                          9,800
STONE ENERGY CORP                                            DEFINED                3                         46,700
STORAGE TECHNOLOGY CORP.                                     DEFINED                1                          8,500
STORAGE USA                                                  DEFINED                3                        193,200         42,800
STORAGE USA INC                                              DEFINED                1                         80,000
STRIDE RITE CORP                                             DEFINED                2                         20,700
STRUCTURAL DYNAMICS RESEARCH                                 DEFINED                1                          2,900
STRUCTURAL DYNAMICS RESH CORP                                DEFINED                2                          7,400
STRYKER CORP                                                 DEFINED                1                          8,300
STRYKER CORP                                                 DEFINED                2                         15,000
STUDENT LN CORP                                              DEFINED                2                          1,800
STUDENT LOAN MARKETING                                       DEFINED                1                          5,300
SUIZA FOODS CORP                                             DEFINED                1                          3,200
SUIZA FOODS CORP                                             DEFINED                2                         17,700
SUMMIT BANCORP                                               DEFINED                2                        246,600
</TABLE>



                                 Page 41 of 49

<PAGE>   44

File Number 28-219 (Consolidated)
As of 6/30/99


<TABLE>
<S>                                                              <C>               <C>             <C>             <C>           <C>
SUMMIT BANCORPORATION                                            COM               866005101          288,506          6,900     SH 
SUMMIT PPTYS INC                                                 COM               866239106          443,888         26,600     SH 
SUN COMMUNITIES INC                                              COM               866674104        1,128,900         31,800     SH 
SUN INTL HOTELS LTD                                              COM               P8797T133               17            385     SH 
SUN MICROSYSTEMS                                                 COM               866810104        2,052,475         29,800     SH 
SUN MICROSYSTEMS INC                                             COM               866810104        8,750,000         70,000     SH 
SUNGARD DATA SYS INC                                             COM               867363103          468,000         11,700     SH 
SUNGARD DATA SYS INC                                             COM               867363103       88,930,512      2,577,696     SH 
SUNGARD DATA SYSTEMS INC.                                        COM               867363103          331,200          9,600     SH 
SUNGLASS HUT INTL INC                                            COM               86736F106        2,205,000        210,000     SH 
SUNGLASS HUT INTL INC                                            COM               86736F106          543,794         52,100     SH 
SUNGLASS HUT INTL INC                                            COM               86736F106           29,562          1,720     SH 
SUNOCO INC                                                       COM               86764P109           78,488          2,600     SH 
SUNRISE ASSISTED LIVING INC                                      COM               86768K106        3,983,156         87,500     SH 
SUNRISE MED INC                                                  COM               867910101           55,000          8,800     SH 
SUNTERRA CORP                                                    COM               86787D109          418,275         42,900     SH 
SUNTRUST BANKS INC.                                              COM               867914103          777,700         11,200     SH 
SUNTRUST BKS INC                                                 COM               867914103          342,375          5,500     SH 
SUPER VALU STORES                                                COM               868536103          111,263           4300     SH 
SUPERIOR CONSULT HLDG                                            COM               868146101       14,247,156        577,100     SH 
SUPERIOR INDS INTL INC                                           COM               868168105           65,550          2,400     SH 
SUPERIOR INDS INTL INC                                           COM               868168105          346,425         14,900     SH 
SWIFT TRANSN CO                                                  COM               870756103       22,073,150      1,003,325     SH 
SWIFT TRANSN INC                                                 COM               870756103          527,725         20,900     SH 
SYBRON CORP                                                      COM               87114F106          253,575          9,200     SH 
SYBRON INTL CORP WISCONSIN                                       COM               87114F106          465,000         18,600     SH 
SYKES ENTERPRISES INC                                            COM               871237103       16,343,738        489,700     SH 
SYLVAN LEARNING SYS                                              COM               871399101       52,624,125      1,935,600     SH 
SYLVAN LEARNING SYS INC                                          COM               871399101        1,668,375         61,000     SH 
SYLVAN LEARNING SYSTEMS INC                                      COM               871399101          125,063          4,600     SH 
SYMANTEC CORP                                                    COM               871503108          188,006         11,100     SH 
SYMANTEC CORPORATION                                             COM               871503108          117,300          4,600     SH 
SYMBOL TECHNOLOGIES IN                                           COM               871508107          273,797          7,425     SH 
SYNOPSYS INC                                                     COM               871607107          292,494          5,300     SH 
SYNOPSYS INC                                                     COM               871607107          783,833         14,600     SH 
SYNOVUS FINANCIAL CORPORATION                                    COM               87161C105          194,775          9,800     SH 
SYSCO CORP.                                                      COM               871829107        1,192,500         40,000     SH 
SYSTEMS + COMPUTER TECHNOLOGY                                    COM               871873105          190,588         19,300     SH 
TAIWAN FUND                                                      COM               874036106          518,750         25,000     SH 
TALBOTS INC                                                      COM               874161102           95,063          3,900     SH 
TANDY CORP                                                       COM               875382103        1,646,363         25,800     SH 
TANDY CORP COM                                                   COM               875382103       18,919,513        387,100     SH 
TANDY CORP.                                                      COM               875382103          439,875          9,000     SH 
TAUBMAN CTRS INC COM                                             COM               876664103        3,331,163        252,600     SH 
TCA CABLE TV INC                                                 COM               872241104          699,344         16,100     SH 
TCA CABLE TV INC.                                                COM               872241104          233,100          4,200     SH 
TCF FINANCIAL CORP.                                              COM               872275102          211,850          7,600     SH 
TDK CORP                                                         COM               686930009          404,932          5,000     SH 
TECH DATA CORP                                                   COM               878237106          156,825          4,100     SH 
TECO ENERGY                                                      COM               872375100          259,350         11,400     SH 
</TABLE>



<TABLE>
<S>                                                         <C>                    <C>                    <C>               <C>
SUMMIT BANCORPORATION                                       DEFINED                1                          6,900
SUMMIT PPTYS INC                                            DEFINED                2                         26,600
SUN COMMUNITIES INC                                         DEFINED                3                         31,800
SUN INTL HOTELS LTD                                         DEFINED                2                            385
SUN MICROSYSTEMS                                            DEFINED                1                         29,800
SUN MICROSYSTEMS INC                                        DEFINED                2                         70,000
SUNGARD DATA SYS INC                                        DEFINED                2                         11,700
SUNGARD DATA SYS INC                                        DEFINED                3                      2,487,296         90,400
SUNGARD DATA SYSTEMS INC.                                   DEFINED                1                          9,600
SUNGLASS HUT INTL INC                                       DEFINED                2                        210,000
SUNGLASS HUT INTL INC                                       DEFINED                2                         52,100
SUNGLASS HUT INTL INC                                       DEFINED                2                          1,720
SUNOCO INC                                                  DEFINED                1                          2,600
SUNRISE ASSISTED LIVING INC                                 DEFINED                2                         87,500
SUNRISE MED INC                                             DEFINED                2                          8,800
SUNTERRA CORP                                               DEFINED                2                         42,900
SUNTRUST BANKS INC.                                         DEFINED                1                         11,200
SUNTRUST BKS INC                                            DEFINED                2                          5,500
SUPER VALU STORES                                           DEFINED                1                          4,300
SUPERIOR CONSULT HLDG                                       DEFINED                3                        554,900         22,200
SUPERIOR INDS INTL INC                                      DEFINED                1                          2,400
SUPERIOR INDS INTL INC                                      DEFINED                2                         14,900
SWIFT TRANSN CO                                             DEFINED                3                        977,900         25,425
SWIFT TRANSN INC                                            DEFINED                2                         20,900
SYBRON CORP                                                 DEFINED                1                          9,200
SYBRON INTL CORP WISCONSIN                                  DEFINED                2                         18,600
SYKES ENTERPRISES INC                                       DEFINED                3                        479,500         10,200
SYLVAN LEARNING SYS                                         DEFINED                3                      1,895,750         39,850
SYLVAN LEARNING SYS INC                                     DEFINED                2                         61,000
SYLVAN LEARNING SYSTEMS INC                                 DEFINED                1                          4,600
SYMANTEC CORP                                               DEFINED                2                         11,100
SYMANTEC CORPORATION                                        DEFINED                1                          4,600
SYMBOL TECHNOLOGIES IN                                      DEFINED                1                          7,425
SYNOPSYS INC                                                DEFINED                1                          5,300
SYNOPSYS INC                                                DEFINED                2                         14,600
SYNOVUS FINANCIAL CORPORATION                               DEFINED                1                          9,800
SYSCO CORP.                                                 DEFINED                1                         40,000
SYSTEMS + COMPUTER TECHNOLOGY                               DEFINED                2                         19,300
TAIWAN FUND                                                 DEFINED                1                         25,000
TALBOTS INC                                                 DEFINED                2                          3,900
TANDY CORP                                                  DEFINED                2                         25,800
TANDY CORP COM                                              DEFINED                3                        346,300         40,800
TANDY CORP.                                                 DEFINED                1                          9,000
TAUBMAN CTRS INC COM                                        DEFINED                3                        208,600         44,000
TCA CABLE TV INC                                            DEFINED                2                         16,100
TCA CABLE TV INC.                                           DEFINED                1                          4,200
TCF FINANCIAL CORP.                                         DEFINED                1                          7,600
TDK CORP                                                    DEFINED                2                          5,000
TECH DATA CORP                                              DEFINED                1                          4,100
TECO ENERGY                                                 DEFINED                1                         11,400
</TABLE>



                                 Page 42 of 49

<PAGE>   45

File Number 28-219 (Consolidated)
As of 6/30/99


<TABLE>
<S>                                                              <C>               <C>              <C>         <C>         <C>
TECUMSEH PRODS CO                                                COM               878895200           97          1,600     SH 
TEEKAY SHIPPING CORP                                             COM               V89564104           76          4,600     SH 
TEKTRONIX INC                                                    COM               879131100           56          1,850     SH 
TELE NORTE LESTE PARTICIPACOES S.A. A                            COM               879246106          117          6,300     SH 
TELEBRAS ADR PFD BLOCK                                           COM               879287308        3,202         37,200     SH 
TELECOMUNICACOES BRASILEIRAS                                     COM               879287308          666          8,256     SH 
TELEFLEX INC                                                     COM               879369106          135          3,100     SH 
TELEFLEX INC                                                     COM               879369106          337          9,900     SH 
TELEFONICA DE ARGENTINA ADR                                      COM               879378206        2,027         65,250     SH 
TELEFONICA DE ARGENTINA S A                                      COM               879378206           81          2,690     SH 
TELEFONICA DEL PERU ADR                                          COM               879384105          842         57,700     SH 
TELEFONOS DE MEXICO S A                                          COM               879403780          364          5,550     SH 
TELEKOMUNIKACJA POLSKA-GDR                                       COM               87943D207          477         68,000     SH 
TELEPHONE & DATA SYSTEMS, INC.                                   COM               879433100          358          4,900     SH 
TELESP CELULAR SA                                                COM               224695908           10        275,000     SH 
TELESP PARTICIPACOES SA-ADR                                      COM               87952K100          816         38,500     SH 
TELESP TEL SAO PAU                                               COM               288254006           35        287,924     SH 
TELEWEST COMMS                                                   COM               065445900          269         62,200     SH 
TELLABS                                                          COM               879664100        1,013         15,000     SH 
TELLABS INC                                                      COM               879664100          704          7,200     SH 
TELMEX ADS - TELEFONOS DE MEXICO CL L                            COM               879403780        5,779         76,770     SH 
TEMPLE-INLAND                                                    COM               879868107          144          2,100     SH 
TENET HEALTHCARE CORP                                            COM               88033G100        1,379         72,800     SH 
TENET HEALTHCARE CORP.                                           COM               88033G100          219         11,800     SH 
TENNECO INC NEW                                                  COM               88037E101          698         25,000     SH 
TENNECO(NEW)                                                     COM              88037E1011          167          7,000     SH 
TERADYNE INC                                                     COM               880770102          382          7,000     SH 
TERADYNE INC.                                                    COM               880770102        4,111         57,300     SH 
TESCO                                                            COM               088470000          196         74,000     SH 
TESORO PETE CORP                                                 COM               881609101          116         10,500     SH 
TETRA TECH INC NEW                                               COM               88162G103          427         20,200     SH 
TETRA TECH INC NEW COM                                           COM               88162G103       33,066      2,003,991     SH 
TEVA PHARMACEUTICAL INDS ADR                                     COM               881624209        1,061         22,400     SH 
TEXACO INC                                                       COM               881694103        2,207         38,390     SH 
TEXACO INC.                                                      COM               881694103        1,617         25,928     SH 
TEXAS INDS INC                                                   COM               882491103           65          2,600     SH 
TEXAS INSTRS INC                                                 COM               882508104       26,410        266,100     SH 
TEXAS INSTRS INC                                                 COM               882508104        2,881         20,010     SH 
TEXAS INSTRUMENTS INC                                            COM               882508104        2,203         15,300     SH 
TEXAS UTILITIES CO                                               COM               882848104          417         10,052     SH 
TEXAS UTILS CO                                                   COM               882848104        1,668         40,000     SH 
TEXTRON INC                                                      COM               883203101          560          6,800     SH 
THERMADYNE CORP COMMON                                           COM               883434201           58         80,000     SH 
THERMO ELECTRON                                                  COM               883556102          130          6,500     SH 
THOMAS & BETTS CORP                                              COM               884315102           85          1,800     SH 
TICKETMASTER ONLINE CITYSEARCH                                   COM               88633P203        2,989         88,900     SH 
TIDEWATER INC.                                                   COM               886423102          165          5,400     SH 
TIFFANY & CO.                                                    COM               886547108          280          2,900     SH 
TIME WARNER INC                                                  COM               887315109       30,083        423,078     SH 
TIME WARNER INC.                                                 COM               887315109       28,364        390,550     SH 
</TABLE>



<TABLE>
<S>                                                         <C>                    <C>                     <C>              <C>
TECUMSEH PRODS CO                                           DEFINED                1                          1,600
TEEKAY SHIPPING CORP                                        DEFINED                2                          4,600
TEKTRONIX INC                                               DEFINED                1                          1,850
TELE NORTE LESTE PARTICIPACOES S.A. A                       DEFINED                1                          6,300
TELEBRAS ADR PFD BLOCK                                      DEFINED                1                         37,200
TELECOMUNICACOES BRASILEIRAS                                DEFINED                2                          8,256
TELEFLEX INC                                                DEFINED                1                          3,100
TELEFLEX INC                                                DEFINED                2                          9,900
TELEFONICA DE ARGENTINA ADR                                 DEFINED                1                         65,250
TELEFONICA DE ARGENTINA S A                                 DEFINED                2                          2,690
TELEFONICA DEL PERU ADR                                     DEFINED                1                         57,700
TELEFONOS DE MEXICO S A                                     DEFINED                2                          5,550
TELEKOMUNIKACJA POLSKA-GDR                                  DEFINED                1                         68,000
TELEPHONE & DATA SYSTEMS, INC.                              DEFINED                1                          4,900
TELESP CELULAR SA                                           DEFINED                2                        275,000
TELESP PARTICIPACOES SA-ADR                                 DEFINED                1                         38,500
TELESP TEL SAO PAU                                          DEFINED                2                        287,924
TELEWEST COMMS                                              DEFINED                2                         62,200
TELLABS                                                     DEFINED                1                         15,000
TELLABS INC                                                 DEFINED                2                          7,200
TELMEX ADS - TELEFONOS DE MEXICO CL L                       DEFINED                1                         76,770
TEMPLE-INLAND                                               DEFINED                1                          2,100
TENET HEALTHCARE CORP                                       DEFINED                2                         72,800
TENET HEALTHCARE CORP.                                      DEFINED                1                         11,800
TENNECO INC NEW                                             DEFINED                2                         25,000
TENNECO(NEW)                                                DEFINED                1                          7,000
TERADYNE INC                                                DEFINED                2                          7,000
TERADYNE INC.                                               DEFINED                1                         57,300
TESCO                                                       DEFINED                2                         74,000
TESORO PETE CORP                                            DEFINED                2                         10,500
TETRA TECH INC NEW                                          DEFINED                2                         20,200
TETRA TECH INC NEW COM                                      DEFINED                3                      1,961,956         42,035
TEVA PHARMACEUTICAL INDS ADR                                DEFINED                2                         22,400
TEXACO INC                                                  DEFINED                2                         38,390
TEXACO INC.                                                 DEFINED                1                         25,928
TEXAS INDS INC                                              DEFINED                2                          2,600
TEXAS INSTRS INC                                            DEFINED                2                        266,100
TEXAS INSTRS INC                                            DEFINED                3                         20,010
TEXAS INSTRUMENTS INC                                       DEFINED                1                         15,300
TEXAS UTILITIES CO                                          DEFINED                1                         10,052
TEXAS UTILS CO                                              DEFINED                2                         40,000
TEXTRON INC                                                 DEFINED                1                          6,800
THERMADYNE CORP COMMON                                      DEFINED                1                         80,000
THERMO ELECTRON                                             DEFINED                1                          6,500
THOMAS & BETTS CORP                                         DEFINED                1                          1,800
TICKETMASTER ONLINE CITYSEARCH                              DEFINED                2                         88,900
TIDEWATER INC.                                              DEFINED                1                          5,400
TIFFANY & CO.                                               DEFINED                1                          2,900
TIME WARNER INC                                             DEFINED                2                        423,078
TIME WARNER INC.                                            DEFINED                1                        390,550
</TABLE>



                                 Page 43 of 49

<PAGE>   46

File Number 28-219 (Consolidated)
As of 6/30/99


<TABLE>
<S>                                                              <C>               <C>          <C>           <C>            <C>
TIMES MIRROR CO                                                  COM               887364107          225          3,800     SH 
TIMKEN CO.                                                       COM               887389104           41          2,100     SH 
TJX COMPANIES INC. NEW                                           COM               872540109          386         11,600     SH 
TMP WORLDWIDE INC COM                                            COM               872941109       22,041        347,100     SH 
TOKIO MARINE +FIRE                                               COM               689476000           68          6,000     SH 
TOKYO ELECTRON                                                   COM               689567006          207          4,000     SH 
TOLL BROS INC                                                    COM               889478103          237         13,100     SH 
TOMKINS                                                          COM               089626006          236         64,000     SH 
TOPPAN PRINTING CO                                               COM               689702009          131         10,000     SH 
TORCHMARK CORP                                                   COM               891027104          229          6,700     SH 
TORO CO                                                          COM               891092108           91          2,900     SH 
TORONTO DOMINION BANK                                            COM               891160509        5,916        134,350     SH 
TOSCO CORP                                                       COM               891490302          345         13,300     SH 
TOSCO CORP                                                       COM               891490302          819         33,000     SH 
TOTAL RENAL CARE HLDGS INC                                       COM               89151A107           95          8,600     SH 
TOTAL RENAL CARE HOLDINGS                                        COM               89151A107          103          6,600     SH 
TOWER AUTOMOTIVE INC                                             COM               891707101          205         11,000     SH 
TOYS R US                                                        COM               892335100          230         11,100     SH 
TRANS WORLD AIRLINES, INC                                        COM               893349837           12          2,649     SH 
TRANSACTION SYS ARCHIT                                           COM               893416107       62,927      1,613,500     SH 
TRANSACTION SYS ARCHITECTS INC                                   COM               893416107        1,274         35,400     SH 
TRANSAMERICA                                                     COM               893485102          443          5,900     SH 
TRANSAMERICA CORP                                                COM               893485102          383          5,400     SH 
TRANSATLANTIC HLDGS INC                                          COM               893521104        1,973         26,300     SH 
TRANSATLANTIC HOLDINGS INC                                       COM               893521104    1,472,936     19,655,520     SH 
TRANSMONTAIGNE INC                                               COM               893934109       16,432      1,308,000     SH 
TRANSOCEAN OFFSHORE INC                                          COM               G90076103          231          8,800     SH 
TRANSOCEAN OFFSHORE INC                                          COM               893817106        1,570         54,500     SH 
TRANSPORTADOR GAS SUR-SP ADR                                     COM               893870204          730         77,900     SH 
TRANSWITCH CORP                                                  COM               894065101       17,766        375,000     SH 
TRAVEL SVCS INTL INC                                             COM               894169101          681         64,900     SH 
TRIAD HOSPITAL INC                                               COM               89379K109            0              9     SH 
TRIAD HOSPITALS INC W/I                                          COM               89579K109            0              1     SH 
TRIBUNE CO                                                       COM               896047107          401          4,600     SH 
TRIBUNE CO NEW                                                   COM               896047107          386          5,900     SH 
TRICON GLOBAL RESTAURANTS, INC.                                  COM               895953107          334          6,170     SH 
TRIGON HEALTHCARE                                                COM               89618L100       30,271        832,200     SH 
TRIGON HEALTHCARE INC                                            COM               89618L100          131          3,600     SH 
TRIMERIS INC                                                     COM               896263100          988         68,153     SH 
TRINET CORP RLTY TR INC                                          COM               896287109          109          4,300     SH 
TRINITY INDUSTRIES                                               COM               896522109          121          3,600     SH 
TRIZEC HAHN CORP                                                 COM               896938107        3,482        170,900     SH 
TRW INC                                                          COM               872649108          274          5,000     SH 
TUBOS DE ACERO DE MEX-SP ADR                                     COM               898592506          384         35,300     SH 
TUPPERWARE CORP                                                  COM               899896104           66          2,600     SH 
TV AZTECA S A DE C V                                             COM               901145102           13          2,100     SH 
TV AZTECA S.A. DE C.V. -  ADR                                    COM               901145102        1,021        196,900     SH 
TV GUIDE INC                                                     COM               87307Q109          757         20,600     SH 
TWENTIETH CENTURY IND.                                           COM               901272203      988,744     53,445,620     SH 
TWENTIETH CENTURY IND.                                           COM               901272203           80          4,900     SH 
</TABLE>



<TABLE>
<S>                                                         <C>                    <C>                   <C>                <C>
TIMES MIRROR CO                                             DEFINED                1                          3,800
TIMKEN CO.                                                  DEFINED                1                          2,100
TJX COMPANIES INC. NEW                                      DEFINED                1                         11,600
TMP WORLDWIDE INC COM                                       DEFINED                3                        339,700          7,400
TOKIO MARINE +FIRE                                          DEFINED                2                          6,000
TOKYO ELECTRON                                              DEFINED                2                          4,000
TOLL BROS INC                                               DEFINED                2                         13,100
TOMKINS                                                     DEFINED                2                         64,000
TOPPAN PRINTING CO                                          DEFINED                2                         10,000
TORCHMARK CORP                                              DEFINED                1                          6,700
TORO CO                                                     DEFINED                2                          2,900
TORONTO DOMINION BANK                                       DEFINED                1                        134,350
TOSCO CORP                                                  DEFINED                1                         13,300
TOSCO CORP                                                  DEFINED                2                         33,000
TOTAL RENAL CARE HLDGS INC                                  DEFINED                2                          8,600
TOTAL RENAL CARE HOLDINGS                                   DEFINED                1                          6,600
TOWER AUTOMOTIVE INC                                        DEFINED                2                         11,000
TOYS R US                                                   DEFINED                1                         11,100
TRANS WORLD AIRLINES, INC                                   DEFINED                1                          2,649
TRANSACTION SYS ARCHIT                                      DEFINED                3                      1,557,000         56,500
TRANSACTION SYS ARCHITECTS INC                              DEFINED                2                         35,400
TRANSAMERICA                                                DEFINED                1                          5,900
TRANSAMERICA CORP                                           DEFINED                2                          5,400
TRANSATLANTIC HLDGS INC                                     DEFINED                2                         26,300
TRANSATLANTIC HOLDINGS INC                                  DEFINED                1                     19,655,520
TRANSMONTAIGNE INC                                          DEFINED                3                      1,283,500         24,500
TRANSOCEAN OFFSHORE INC                                     DEFINED                1                          8,800
TRANSOCEAN OFFSHORE INC                                     DEFINED                2                         54,500
TRANSPORTADOR GAS SUR-SP ADR                                DEFINED                1                         77,900
TRANSWITCH CORP                                             DEFINED                3                        367,300          7,700
TRAVEL SVCS INTL INC                                        DEFINED                2                         64,900
TRIAD HOSPITAL INC                                          DEFINED                2                              9
TRIAD HOSPITALS INC W/I                                     DEFINED                1                              1
TRIBUNE CO                                                  DEFINED                1                          4,600
TRIBUNE CO NEW                                              DEFINED                2                          5,900
TRICON GLOBAL RESTAURANTS, INC.                             DEFINED                1                          6,170
TRIGON HEALTHCARE                                           DEFINED                3                        812,100         20,100
TRIGON HEALTHCARE INC                                       DEFINED                1                          3,600
TRIMERIS INC                                                DEFINED                1                         68,153
TRINET CORP RLTY TR INC                                     DEFINED                2                          4,300
TRINITY INDUSTRIES                                          DEFINED                1                          3,600
TRIZEC HAHN CORP                                            DEFINED                3                        136,800         34,100
TRW INC                                                     DEFINED                1                          5,000
TUBOS DE ACERO DE MEX-SP ADR                                DEFINED                1                         35,300
TUPPERWARE CORP                                             DEFINED                1                          2,600
TV AZTECA S A DE C V                                        DEFINED                2                          2,100
TV AZTECA S.A. DE C.V. -  ADR                               DEFINED                1                        196,900
TV GUIDE INC                                                DEFINED                2                         20,600
TWENTIETH CENTURY IND.                                      DEFINED                1                     53,445,620
TWENTIETH CENTURY IND.                                      DEFINED                2                          4,900
</TABLE>



                                 Page 44 of 49

<PAGE>   47

File Number 28-219 (Consolidated)
As of 6/30/99


<TABLE>
<S>                                                              <C>              <C>             <C>          <C>           <C>
TYCO INTERNATIONAL LTD.                                          COM               902124106       29,091        307,032     SH 
TYCO INTL LTD NEW                                                COM               902124106        3,057         42,600     SH 
TYSON FOODS                                                      COM               902494103          448         19,900     SH 
U S FOODSERVICE                                                  COM               90331R101          698         15,000     SH 
U S RESTAURANT PPTYS                                             COM               902971100        3,685        173,400     SH 
U.S VISION INC                                                   COM               90339M104           43         10,000     SH 
U.S. BANCORP                                                     COM               902973106          982         29,420     SH 
U.S. FOODSERVICE                                                 COM               90331R101          153          3,600     SH 
U.S. WEST INC                                                    COM              91273H1014          203          3,463     SH 
UAL CORP                                                         COM               902549500          635          8,165     SH 
UCAR INTERNATIONAL INC                                           COM               90262K109           96          3,800     SH 
UGLY DUCKLING HLDGS INC COMMON                                   COM               903512101            1        137,644     SH 
ULTRAMAR DIAMOND SHAMROCK                                        COM               904000106          161          7,399     SH 
UMB FINL CORP                                                    COM               902788108          743         19,300     SH 
UNIBANCO UNIAO DE BARNCOS BRAS                                   COM               90458E107           19          1,000     SH 
UNICOM CORP                                                      COM               904911104        1,002         27,400     SH 
UNICOM CORPORATION                                               COM               904911104          320          8,300     SH 
UNIFI INC                                                        COM               904677101          117          5,500     SH 
UNIFIED ENERGY SYSTEMS GDR                                       COM              9046882075          398         45,500     SH 
UNILEVER N V                                                     COM               904784709        1,600         22,946     SH 
UNION CAMP CORP                                                  COM               905530101            7            100     SH 
UNION CARBIDE                                                    COM               905581104          239          4,900     SH 
UNION PACIFIC CORP.                                              COM               907818108        3,749         64,284     SH 
UNION PACIFIC RES GROUP INC                                      COM               907834105          390         32,800     SH 
UNION PACIFIC RESOURCES GRP                                      COM               907834105          916         56,178     SH 
UNION PLANTERS CORP                                              COM               908068109          223          5,000     SH 
UNIPHASE CORP                                                    COM               909149106        2,639         23,000     SH 
UNISOURCE WORLDWIDE INC                                          COM               909208100           72         10,100     SH 
UNISYS CORP.                                                     COM               909214108          323          8,300     SH 
UNITED DOMINION IND.                                             COM               909914103        2,318         84,765     SH 
UNITED DOMINION RLTY TR INC                                      COM               910197102           19          1,900     SH 
UNITED HEALTHCARE CORP                                           COM               910581107          772         14,025     SH 
UNITED HEALTHCARE CORP.                                          COM               910581107          451          7,200     SH 
UNITED PARK CITY MINES                                           COM               911315208        4,970        154,094     SH 
UNITED RENTALS INC                                               COM               911363109        2,068         72,578     SH 
UNITED TECHNOLOGIES CORP                                         COM               913017109       19,966        277,305     SH 
UNITED TECHNOLOGIES CORP                                         COM               913017109        7,449         55,000     SH 
UNITRIN INC                                                      COM               913275103          117          3,800     SH 
UNIVERSAL CORP VA                                                COM               913456109           85          3,000     SH 
UNIVERSAL CORP VA                                                COM               913456109          281         11,000     SH 
UNIVERSAL FOODS                                                  COM               913538104           80          3,800     SH 
UNIVISION COMMUNICATIONS CL A                                    COM               914906102          507          7,800     SH 
UNIVISION COMMUNICATIONS INC                                     COM               914906102       10,325        206,500     SH 
UNOCAL CAP TR                                                    COM               91528T207        1,666         31,000     SH 
UNOCAL CORP                                                      COM               915289102          384          9,700     SH 
UNOCAL CORP                                                      COM               915289102          442         12,000     SH 
UNUM CORP                                                        COM               903192102        1,455         30,600     SH 
UNUMPROVIDENT                                                    COM               903192102      114,367      2,088,900     SH 
URBAN SHOPPING CTRS                                              COM               917060105        4,202        133,400     SH 
US AIRWAYS GROUP, INC.                                           COM               911905107          122          2,800     SH 
</TABLE>



<TABLE>
<S>                                                         <C>                    <C>                    <C>               <C>
TYCO INTERNATIONAL LTD.                                     DEFINED                1                        307,032
TYCO INTL LTD NEW                                           DEFINED                2                         42,600
TYSON FOODS                                                 DEFINED                1                         19,900
U S FOODSERVICE                                             DEFINED                2                         15,000
U S RESTAURANT PPTYS                                        DEFINED                3                        143,000         30,400
U.S VISION INC                                              DEFINED                2                         10,000
U.S. BANCORP                                                DEFINED                1                         29,420
U.S. FOODSERVICE                                            DEFINED                1                          3,600
U.S. WEST INC                                               DEFINED                1                          3,463
UAL CORP                                                    DEFINED                2                          8,165
UCAR INTERNATIONAL INC                                      DEFINED                1                          3,800
UGLY DUCKLING HLDGS INC COMMON                              DEFINED                2                        137,644
ULTRAMAR DIAMOND SHAMROCK                                   DEFINED                1                          7,399
UMB FINL CORP                                               DEFINED                2                         19,300
UNIBANCO UNIAO DE BARNCOS BRAS                              DEFINED                2                          1,000
UNICOM CORP                                                 DEFINED                2                         27,400
UNICOM CORPORATION                                          DEFINED                1                          8,300
UNIFI INC                                                   DEFINED                1                          5,500
UNIFIED ENERGY SYSTEMS GDR                                  DEFINED                1                         45,500
UNILEVER N V                                                DEFINED                1                         22,946
UNION CAMP CORP                                             DEFINED                2                            100
UNION CARBIDE                                               DEFINED                1                          4,900
UNION PACIFIC CORP.                                         DEFINED                1                         64,284
UNION PACIFIC RES GROUP INC                                 DEFINED                2                         32,800
UNION PACIFIC RESOURCES GRP                                 DEFINED                1                         56,178
UNION PLANTERS CORP                                         DEFINED                1                          5,000
UNIPHASE CORP                                               DEFINED                2                         23,000
UNISOURCE WORLDWIDE INC                                     DEFINED                2                         10,100
UNISYS CORP.                                                DEFINED                1                          8,300
UNITED DOMINION IND.                                        DEFINED                1                         84,765
UNITED DOMINION RLTY TR INC                                 DEFINED                2                          1,900
UNITED HEALTHCARE CORP                                      DEFINED                2                         14,025
UNITED HEALTHCARE CORP.                                     DEFINED                1                          7,200
UNITED PARK CITY MINES                                      DEFINED                1                        154,094
UNITED RENTALS INC                                          DEFINED                2                         72,578
UNITED TECHNOLOGIES CORP                                    DEFINED                1                        277,305
UNITED TECHNOLOGIES CORP                                    DEFINED                2                         55,000
UNITRIN INC                                                 DEFINED                2                          3,800
UNIVERSAL CORP VA                                           DEFINED                1                          3,000
UNIVERSAL CORP VA                                           DEFINED                2                         11,000
UNIVERSAL FOODS                                             DEFINED                1                          3,800
UNIVISION COMMUNICATIONS CL A                               DEFINED                1                          7,800
UNIVISION COMMUNICATIONS INC                                DEFINED                2                        206,500
UNOCAL CAP TR                                               DEFINED                2                         31,000
UNOCAL CORP                                                 DEFINED                1                          9,700
UNOCAL CORP                                                 DEFINED                2                         12,000
UNUM CORP                                                   DEFINED                2                         30,600
UNUMPROVIDENT                                               DEFINED                1                      2,088,900
URBAN SHOPPING CTRS                                         DEFINED                3                        109,200         24,200
US AIRWAYS GROUP, INC.                                      DEFINED                1                          2,800
</TABLE>



                                 Page 45 of 49

<PAGE>   48

File Number 28-219 (Consolidated)
As of 6/30/99


<TABLE>
<S>                                                              <C>               <C>             <C>         <C>           <C>
US BANCORP DEL                                                   COM               902973106        1,175         34,500     SH 
US WEST INC                                                      COM               91273H101          916         15,589     SH 
USA NETWORKS INC                                                 COM               902984103        8,621        214,864     SH 
USA NETWORKS INC                                                 COM               902984103        2,849         79,600     SH 
USG CORP                                                         COM               903293405          246          4,400     SH 
UST INC                                                          COM               902911106          202          6,900     SH 
UST INC                                                          COM               902911106        4,133        158,222     SH 
USWEB CORP                                                       COM               917327108        7,429        180,200     SH 
USWEB CORP COM                                                   COM               917327108       25,416      1,145,500     SH 
USX MARATHON GROUP                                               COM               902905827          245          8,900     SH 
USX U S STL GROUP                                                COM               90337T101          392         16,700     SH 
USX/MARATHON GROUP                                               COM               902905827          368         11,300     SH 
USX-U.S. STEEL GROUP INC.                                        COM               90337T101           86          3,200     SH 
UTILICORP UTD INC DEL                                            COM               918005109          201          8,250     SH 
VALASSIS COMMUNICATIONS INC                                      COM               918866104          378          7,300     SH 
VALERO ENERGY CORP                                               COM               91913Y100          109          5,100     SH 
VALERO ENERGY CORP                                               COM               91913Y100          480         19,300     SH 
VALLEY MEDIA INC                                                 COM               91972C106        1,138         50,000     SH 
VANGUARD CELLULAR SYS INC                                        COM               922022108           84          3,100     SH 
VARCO INTL INC                                                   COM               922126107           58          5,400     SH 
VASTAR RES INC                                                   COM               922380100          478         10,000     SH 
VASTAR RES INC COM                                               COM               922380100        7,776        148,300     SH 
VENTAS INC COM                                                   COM               92276F100        3,720        692,100     SH 
VERISIGN INC                                                     COM               92343E102        7,256         47,120     SH 
VERITAS SOFTWARE CORP                                            COM               923436109          570          6,000     SH 
VERTICALNET INC                                                  COM               92532L107        1,265         12,200     SH 
VF CORP                                                          COM               918204108          205          4,800     SH 
VIACOM INC                                                       COM               925524308          583          6,945     SH 
VIACOM INC CL-B COMMON                                           COM               925524308        1,245         28,300     SH 
VIAD CORP                                                        COM               92552R109          334         12,000     SH 
VIAD CORPORATION                                                 COM               92552R109          282          9,100     SH 
VIGNETTE CORP                                                    COM               926734104        3,173         42,300     SH 
VISHAY INTERTECHNOLOGY                                           COM               928298108          154          7,315     SH 
VISTA INFO SOLUTIONS                                             COM               928365204          935         80,900     SH 
VISTANA INC                                                      COM               92839P108          570         42,200     SH 
VISUAL NETWORKS INC                                              COM               928444108          483         13,000     SH 
VISUAL NETWORKS INC                                              COM               928444108       18,515        578,600     SH 
VISX INC DEL                                                     COM               92844S105          408          3,800     SH 
VISX INCORPORATED                                                COM               92844S105          412          5,200     SH 
VITESSE SEMICONDUCTOR                                            COM               928497106        2,893         42,900     SH 
VITESSE SEMICONDUCTOR CORP                                       COM               928497106          405          6,000     SH 
VITESSE SEMICONDUCTOR CORP                                       COM               928497106          718         14,200     SH 
VLASIC FOODS INTERNATIONAL                                       COM               928559103           29          3,900     SH 
VLASIC FOODS INTL INC                                            COM               928559103           91          7,000     SH 
VLSI TECHNOLOGY 8.25% 10/1/05                                    CVT               918270AB5          508          5,000     SH 
VLSI TECHNOLOGY INC                                              COM               918270109          179          9,200     SH 
VODAFONE                                                         COM              92857T1079        2,059         10,450     SH 
VODAFONE GROUP                                                   COM               071921001          621         33,472     SH 
VORNADO REALTY TR                                                COM               929042208           15            300     SH 
VORNADO RLTY TR                                                  COM               929042109          476         13,800     SH 
</TABLE>



<TABLE>
<S>                                                         <C>                    <C>                    <C>              <C>
US BANCORP DEL                                              DEFINED                2                         34,500
US WEST INC                                                 DEFINED                1                         15,589
USA NETWORKS INC                                            DEFINED                1                        214,864
USA NETWORKS INC                                            DEFINED                2                         79,600
USG CORP                                                    DEFINED                1                          4,400
UST INC                                                     DEFINED                1                          6,900
UST INC                                                     DEFINED                2                        158,222
USWEB CORP                                                  DEFINED                2                        180,200
USWEB CORP COM                                              DEFINED                3                      1,120,200         25,300
USX MARATHON GROUP                                          DEFINED                2                          8,900
USX U S STL GROUP                                           DEFINED                2                         16,700
USX/MARATHON GROUP                                          DEFINED                1                         11,300
USX-U.S. STEEL GROUP INC.                                   DEFINED                1                          3,200
UTILICORP UTD INC DEL                                       DEFINED                1                          8,250
VALASSIS COMMUNICATIONS INC                                 DEFINED                2                          7,300
VALERO ENERGY CORP                                          DEFINED                1                          5,100
VALERO ENERGY CORP                                          DEFINED                2                         19,300
VALLEY MEDIA INC                                            DEFINED                2                         50,000
VANGUARD CELLULAR SYS INC                                   DEFINED                2                          3,100
VARCO INTL INC                                              DEFINED                1                          5,400
VASTAR RES INC                                              DEFINED                2                         10,000
VASTAR RES INC COM                                          DEFINED                3                        126,200         22,100
VENTAS INC COM                                              DEFINED                3                        569,200        122,900
VERISIGN INC                                                DEFINED                2                         47,120
VERITAS SOFTWARE CORP                                       DEFINED                1                          6,000
VERTICALNET INC                                             DEFINED                2                         12,200
VF CORP                                                     DEFINED                1                          4,800
VIACOM INC                                                  DEFINED                2                          6,945
VIACOM INC CL-B COMMON                                      DEFINED                1                         28,300
VIAD CORP                                                   DEFINED                2                         12,000
VIAD CORPORATION                                            DEFINED                1                          9,100
VIGNETTE CORP                                               DEFINED                2                         42,300
VISHAY INTERTECHNOLOGY                                      DEFINED                1                          7,315
VISTA INFO SOLUTIONS                                        DEFINED                3                         80,900
VISTANA INC                                                 DEFINED                2                         42,200
VISUAL NETWORKS INC                                         DEFINED                2                         13,000
VISUAL NETWORKS INC                                         DEFINED                3                        566,900         11,700
VISX INC DEL                                                DEFINED                2                          3,800
VISX INCORPORATED                                           DEFINED                1                          5,200
VITESSE SEMICONDUCTOR                                       DEFINED                3                         35,600          7,300
VITESSE SEMICONDUCTOR CORP                                  DEFINED                1                          6,000
VITESSE SEMICONDUCTOR CORP                                  DEFINED                2                         14,200
VLASIC FOODS INTERNATIONAL                                  DEFINED                1                          3,900
VLASIC FOODS INTL INC                                       DEFINED                2                          7,000
VLSI TECHNOLOGY 8.25% 10/1/05                               DEFINED                1                          5,000
VLSI TECHNOLOGY INC                                         DEFINED                2                          9,200
VODAFONE                                                    DEFINED                1                         10,450
VODAFONE GROUP                                              DEFINED                2                         33,472
VORNADO REALTY TR                                           DEFINED                2                            300
VORNADO RLTY TR                                             DEFINED                2                         13,800
</TABLE>



                                 Page 46 of 49

<PAGE>   49

File Number 28-219 (Consolidated)
As of 6/30/99


<TABLE>
<S>                                                              <C>               <C>             <C>         <C>           <C>
VORNADO RLTY TR                                                  COM               929042109       13,867        392,700     SH 
VULCAN MATERIALS INC                                             COM               929160109          434          9,000     SH 
VULCAN MATLS CO                                                  COM               929160109          905         21,900     SH 
WACHOVIA CORP                                                    COM               929771103          607          7,100     SH 
WADDELL + REED FINL INC                                          COM               930059100          361         17,600     SH 
WADDELL + REED FINL INC                                          COM               930059209          173          8,700     SH 
WAL MART STORES INC                                              COM               931142103       13,089        143,230     SH 
WALDEN RESIDENT                                                  COM               931210108        6,201        288,400     SH 
WALDEN RESIDENT PPTYS WT B EX 123107                             WTS               931210124          443        443,020     SH 
WALGREEN CO                                                      COM               931422109        1,163         39,600     SH 
WALGREEN CO                                                      COM               931422109        1,222         43,260     SH 
WALLACE COMPUTER SER INC                                         COM               932270101          361         18,200     SH 
WALLACE COMPUTER SYSTEMS                                         COM               932270101          100          4,000     SH 
WAL-MART STORES                                                  COM               931142103       32,657        676,820     SH 
WALT DISNEY COMPANY                                              COM               254687106        2,447         79,400     SH 
WALTER IND COMMON                                                COM               93317Q105            0            807     SH 
WALTER INDS INC                                                  COM               93317Q105           98          8,700     SH 
WANG LABS INC NEW                                                COM               93369N109          143          7,300     SH 
WARNACO                                                          COM               934390105          147          5,500     SH 
WARNACO GROUP INC                                                COM               934390105          627         25,400     SH 
WARNER CHILCOTT ADR (NEW)                                        COM               934435207        4,031        496,120     SH 
WARNER LAMBERT                                                   COM               934488107        8,431        121,965     SH 
WARNER LAMBERT CO                                                COM               934488107       13,044        196,170     SH 
WASHINGTON GAS LT CO                                             COM               938837101           99          3,800     SH 
WASHINGTON GAS LT CO                                             COM               938837101          713         31,500     SH 
WASHINGTON MUT INC                                               COM               939322103        6,370        169,900     SH 
WASHINGTON MUTUAL INC.                                           COM               939322103          760         21,380     SH 
WASHINGTON POST CO                                               COM               939640108          104            200     SH 
WASHINGTON POST CO.                                              COM               939640108          484            900     SH 
WASTE CONNECTIONS                                                COM               941053100       18,968        621,900     SH 
WASTE MANAGEMENT INC                                             COM               94106L109        1,349         25,100     SH 
WASTE MGMT INC DEL                                               COM               94106L109        1,237         27,872     SH 
WATERS CORP                                                      COM               941848103          147          1,400     SH 
WATERS CORP COM                                                  COM               941848103       58,374      1,098,800     SH 
WATSCO INC                                                       COM               942622200           79          5,400     SH 
WATSON PHARMACEUTICALS                                           COM               942683103          140          4,000     SH 
WATSON PHARMACEUTICALS INC                                       COM               942683103          441         10,000     SH 
WATTS INDS INC                                                   COM               942749102          400         29,500     SH 
WATTS INDUSTRIES CLASS A                                         COM               942749102           38          2,000     SH 
WAUSAU MOSINEE PAPER CORP                                        COM               943315101          101          7,200     SH 
WAUSAU-MOSINEE PAPER CORP                                        COM               943315101           85          4,700     SH 
WD 40 CO                                                         COM               929236107        1,363         47,000     SH 
WEATHERFORD INTERNATIONAL                                        COM               947074100          300          8,200     SH 
WEATHERFORD INTL INC NEW                                         COM               947074100        3,041        116,400     SH 
WEEKS CORP                                                       COM               94856P102        3,935        129,000     SH 
WEINGARTEN RLTY INVS                                             COM               948741103           24            600     SH 
WELLMAN INC                                                      COM               949702104           45          2,800     SH 
WELLPOINT HEALTH NETWORKS                                        COM               94973H108          221          2,600     SH 
WELLPOINT HEALTH NETWORKS INC                                    COM               94973H108          432          5,700     SH 
WELLPOINT HLT NETW                                               COM               94973H108        4,702         55,400     SH 
</TABLE>



<TABLE>
<S>                                                         <C>                    <C>                    <C>               <C>   
VORNADO RLTY TR                                             DEFINED                3                        322,500         70,200
VULCAN MATERIALS INC                                        DEFINED                1                          9,000
VULCAN MATLS CO                                             DEFINED                2                         21,900
WACHOVIA CORP                                               DEFINED                1                          7,100
WADDELL + REED FINL INC                                     DEFINED                2                         17,600
WADDELL + REED FINL INC                                     DEFINED                2                          8,700
WAL MART STORES INC                                         DEFINED                2                        143,230
WALDEN RESIDENT                                             DEFINED                3                        236,500         51,900
WALDEN RESIDENT PPTYS WT B EX 123107                        DEFINED                3                        443,020
WALGREEN CO                                                 DEFINED                1                         39,600
WALGREEN CO                                                 DEFINED                2                         43,260
WALLACE COMPUTER SER INC                                    DEFINED                2                         18,200
WALLACE COMPUTER SYSTEMS                                    DEFINED                1                          4,000
WAL-MART STORES                                             DEFINED                1                        676,820
WALT DISNEY COMPANY                                         DEFINED                1                         79,400
WALTER IND COMMON                                           DEFINED                2                            807
WALTER INDS INC                                             DEFINED                2                          8,700
WANG LABS INC NEW                                           DEFINED                2                          7,300
WARNACO                                                     DEFINED                1                          5,500
WARNACO GROUP INC                                           DEFINED                2                         25,400
WARNER CHILCOTT ADR (NEW)                                   DEFINED                1                        496,120
WARNER LAMBERT                                              DEFINED                1                        121,965
WARNER LAMBERT CO                                           DEFINED                2                        196,170
WASHINGTON GAS LT CO                                        DEFINED                1                          3,800
WASHINGTON GAS LT CO                                        DEFINED                2                         31,500
WASHINGTON MUT INC                                          DEFINED                2                        169,900
WASHINGTON MUTUAL INC.                                      DEFINED                1                         21,380
WASHINGTON POST CO                                          DEFINED                2                            200
WASHINGTON POST CO.                                         DEFINED                1                            900
WASTE CONNECTIONS                                           DEFINED                3                        613,000          8,900
WASTE MANAGEMENT INC                                        DEFINED                1                         25,100
WASTE MGMT INC DEL                                          DEFINED                2                         27,872
WATERS CORP                                                 DEFINED                2                          1,400
WATERS CORP COM                                             DEFINED                3                      1,048,200         50,600
WATSCO INC                                                  DEFINED                2                          5,400
WATSON PHARMACEUTICALS                                      DEFINED                1                          4,000
WATSON PHARMACEUTICALS INC                                  DEFINED                2                         10,000
WATTS INDS INC                                              DEFINED                2                         29,500
WATTS INDUSTRIES CLASS A                                    DEFINED                1                          2,000
WAUSAU MOSINEE PAPER CORP                                   DEFINED                2                          7,200
WAUSAU-MOSINEE PAPER CORP                                   DEFINED                1                          4,700
WD 40 CO                                                    DEFINED                2                         47,000
WEATHERFORD INTERNATIONAL                                   DEFINED                1                          8,200
WEATHERFORD INTL INC NEW                                    DEFINED                2                        116,400
WEEKS CORP                                                  DEFINED                3                        107,900         21,100
WEINGARTEN RLTY INVS                                        DEFINED                2                            600
WELLMAN INC                                                 DEFINED                1                          2,800
WELLPOINT HEALTH NETWORKS                                   DEFINED                1                          2,600
WELLPOINT HEALTH NETWORKS INC                               DEFINED                2                          5,700
WELLPOINT HLT NETW                                          DEFINED                3                         44,500         10,900
</TABLE>



                                 Page 47 of 49

<PAGE>   50

File Number 28-219 (Consolidated)
As of 6/30/99


<TABLE>
<S>                                                              <C>              <C>              <C>          <C>          <C>
WELLS FARGO                                                      COM              9497461015        2,685         62,800     SH 
WELLS FARGO + CO NEW                                             COM               949746101        6,094        173,800     SH 
WENDY'S                                                          COM               950590109          131          4,600     SH 
WERNER ENTERPRISES INC                                           COM               950755108          484         30,750     SH 
WESLEY JESSEN VISIONCARE INC                                     COM               951018100          159          5,800     SH 
WEST PHARMACEUTICAL SVCS INC                                     COM               955306105           60          1,882     SH 
WESTAMERICA BANCORPORATION                                       COM               957090103          128          3,500     SH 
WESTAMERICA BANCORPORATION                                       COM               957090103          538         17,000     SH 
WESTCOAST ENERGY                                                 COM               95751D102        1,736         78,800     SH 
WESTERN BANCORP                                                  COM               957683105          276          9,000     SH 
WESTERN WIRELESS CORP                                            COM               95988E204        2,503         69,300     SH 
WESTFIELD AMER INC                                               COM               959910100        8,128        539,600     SH 
WESTPOINT STEVENS                                                COM               961238102       17,732        594,800     SH 
WESTPOINT STEVENS INC.                                           COM               961238102        1,505         50,480     SH 
WESTVACO CORP                                                    COM               961548104          273         13,000     SH 
WESTVACO CORP.                                                   COM               961548104          116          4,000     SH 
WESTWOOD ONE                                                     COM               961815107       20,249        567,400     SH 
WET SEAL INC                                                     COM               961840105          103          2,800     SH 
WEYERHAEUSER CO                                                  COM               962166104          422          7,600     SH 
WEYERHAEUSER CO.                                                 COM               962166104          564          8,200     SH 
WHIRLPOOL CORP                                                   COM               963320106          222          3,000     SH 
WHIRLPOOL CORP                                                   COM               963320106          435          8,000     SH 
WHITMAN CORP                                                     COM               96647R107          155          8,600     SH 
WHITTMAN HART INC                                                COM               966834103          323         15,000     SH 
WHOLE FOODS MKT INC                                              COM               966837106          947         27,600     SH 
WILD OATS MARKETS                                                COM               96808B107       26,815        883,700     SH 
WILEY JOHN + SON                                                 COM               968223206          567         13,500     SH 
WILLAMETTE INDS INC                                              COM               969133107          483         12,800     SH 
WILLAMETTE INDS. INC.                                            COM               969133107          198          4,300     SH 
WILLIAMS COMPANIES                                               COM               969457100          694         16,300     SH 
WILLIAMS COS INC                                                 COM               969457100        1,067         27,000     SH 
WILLIAMS SONOMA                                                  COM               969904101        6,963        200,000     SH 
WILLIAMS SONOMA INC                                              COM               969904101          520         18,400     SH 
WILMINGTON TR CORP                                               COM               971807102          857         15,000     SH 
WILMINGTON TRUST CORP                                            COM               971807102          172          3,000     SH 
WINN DIXIE STORES INC                                            COM               974280109        4,119        110,195     SH 
WINN-DIXIE STORES INC.                                           COM               974280109          214          5,800     SH 
WISCONSIN CENTRAL TRANSPORT                                      COM               976592105           79          4,200     SH 
WISCONSIN ENERGY CORP.                                           COM               976657106          266         10,600     SH 
WITCO CORP                                                       COM               977385103           97          4,900     SH 
WM. WRIGLEY CO                                                   COM               982526105          410          4,600     SH 
WOLVERINE WORLD WIDE INC                                         COM               978097103          523         55,000     SH 
WORLD COLOR PRESS INC DEL                                        COM               981443104           83          3,900     SH 
WORTHINGTON INDUSTRIES                                           COM               981811102           58          3,500     SH 
WPP GROUP PLC                                                    COM               929309300           51            600     SH 
WYNDAHAM INTERNATIONAL CLASS A                                   COM               983101106        2,033        451,748     SH 
XEROX CORP                                                       COM               984121103        2,256         38,200     SH 
XEROX CORP                                                       COM               984121103        1,692         31,700     SH 
XILINX INC                                                       COM               983919101        1,053         26,000     SH 
XILINX INC.                                                      COM               983919101          721         12,600     SH 
</TABLE>



<TABLE>
<S>                                                          <C>                    <C>                      <C>             <C>
WELLS FARGO                                                  DEFINED                1                         62,800
WELLS FARGO + CO NEW                                         DEFINED                2                        173,800
WENDY'S                                                      DEFINED                1                          4,600
WERNER ENTERPRISES INC                                       DEFINED                2                         30,750
WESLEY JESSEN VISIONCARE INC                                 DEFINED                2                          5,800
WEST PHARMACEUTICAL SVCS INC                                 DEFINED                2                          1,882
WESTAMERICA BANCORPORATION                                   DEFINED                1                          3,500
WESTAMERICA BANCORPORATION                                   DEFINED                2                         17,000
WESTCOAST ENERGY                                             DEFINED                1                         78,800
WESTERN BANCORP                                              DEFINED                2                          9,000
WESTERN WIRELESS CORP                                        DEFINED                2                         69,300
WESTFIELD AMER INC                                           DEFINED                3                        443,700         95,900
WESTPOINT STEVENS                                            DEFINED                3                        562,800         32,000
WESTPOINT STEVENS INC.                                       DEFINED                1                         50,480
WESTVACO CORP                                                DEFINED                2                         13,000
WESTVACO CORP.                                               DEFINED                1                          4,000
WESTWOOD ONE                                                 DEFINED                3                        555,900         11,500
WET SEAL INC                                                 DEFINED                2                          2,800
WEYERHAEUSER CO                                              DEFINED                2                          7,600
WEYERHAEUSER CO.                                             DEFINED                1                          8,200
WHIRLPOOL CORP                                               DEFINED                1                          3,000
WHIRLPOOL CORP                                               DEFINED                2                          8,000
WHITMAN CORP                                                 DEFINED                1                          8,600
WHITTMAN HART INC                                            DEFINED                2                         15,000
WHOLE FOODS MKT INC                                          DEFINED                2                         27,600
WILD OATS MARKETS                                            DEFINED                3                        865,700         18,000
WILEY JOHN + SON                                             DEFINED                2                         13,500
WILLAMETTE INDS INC                                          DEFINED                2                         12,800
WILLAMETTE INDS. INC.                                        DEFINED                1                          4,300
WILLIAMS COMPANIES                                           DEFINED                1                         16,300
WILLIAMS COS INC                                             DEFINED                2                         27,000
WILLIAMS SONOMA                                              DEFINED                3                        190,600          9,400
WILLIAMS SONOMA INC                                          DEFINED                2                         18,400
WILMINGTON TR CORP                                           DEFINED                2                         15,000
WILMINGTON TRUST CORP                                        DEFINED                1                          3,000
WINN DIXIE STORES INC                                        DEFINED                2                        110,195
WINN-DIXIE STORES INC.                                       DEFINED                1                          5,800
WISCONSIN CENTRAL TRANSPORT                                  DEFINED                1                          4,200
WISCONSIN ENERGY CORP.                                       DEFINED                1                         10,600
WITCO CORP                                                   DEFINED                1                          4,900
WM. WRIGLEY CO                                               DEFINED                1                          4,600
WOLVERINE WORLD WIDE INC                                     DEFINED                2                         55,000
WORLD COLOR PRESS INC DEL                                    DEFINED                2                          3,900
WORTHINGTON INDUSTRIES                                       DEFINED                1                          3,500
WPP GROUP PLC                                                DEFINED                2                            600
WYNDAHAM INTERNATIONAL CLASS A                               DEFINED                1                        451,748
XEROX CORP                                                   DEFINED                1                         38,200
XEROX CORP                                                   DEFINED                2                         31,700
XILINX INC                                                   DEFINED                2                         26,000
XILINX INC.                                                  DEFINED                1                         12,600
</TABLE>



                                 Page 48 of 49

<PAGE>   51

File Number 28-219 (Consolidated)
As of 6/30/99


<TABLE>
<S>                                                              <C>              <C>          <C>           <C>             <C>
XIRCOM INC                                                       COM               983922105           75          3,000     SH 
XL CAPITAL LTD                                                   COM               G98255105        5,650        100,000     SH 
XL CAPITAL LTD                                                   COM               G98255105          547          9,000     SH 
XTRA CORP                                                        COM               984138107        1,222         31,900     SH 
YAHOO INC                                                        COM               984332106       10,000         59,400     SH 
YORK INTERNATIONAL CORP                                          COM               986670107          163          3,800     SH 
YOUNG + RUBICAM INC                                              COM               987425105          660         16,200     SH 
YPF S.A.- ADR                                                    COM              9842451000          265          9,000     SH 
YPF SOCIEDAD ANONIMA                                             COM               984245100          399         12,626     SH 
ZANY BRAINY                                                      COM               98906Q101          484         50,000     SH 
ZIFF DAVIS INC                                                   COM               989511100        7,226        318,900     SH 
ZIONS BANCORP                                                    COM               989701107          325          4,900     SH 
ZIONS BANCORPORATION                                             COM               989701107          457          7,200     SH 
ZONAGEN INC                                                      COM               98975L108          215         10,000     SH 
--------------------------------------------------------------------------------------------------------------------------------
TOTAL                                                                                          13,832,010    344,883,596        
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>



<TABLE>
<S>                                                          <C>                    <C>                  <C>              <C>
XIRCOM INC                                                   DEFINED                2                          3,000
XL CAPITAL LTD                                               DEFINED                1                        100,000
XL CAPITAL LTD                                               DEFINED                2                          9,000
XTRA CORP                                                    DEFINED                2                         31,900
YAHOO INC                                                    DEFINED                2                         59,400
YORK INTERNATIONAL CORP                                      DEFINED                1                          3,800
YOUNG + RUBICAM INC                                          DEFINED                2                         16,200
YPF S.A.- ADR                                                DEFINED                1                          9,000
YPF SOCIEDAD ANONIMA                                         DEFINED                2                         12,626
ZANY BRAINY                                                  DEFINED                3                         50,000
ZIFF DAVIS INC                                               DEFINED                2                        318,900
ZIONS BANCORP                                                DEFINED                2                          4,900
ZIONS BANCORPORATION                                         DEFINED                1                          7,200
ZONAGEN INC                                                  DEFINED                2                         10,000
------------------------------------------------------------------------------------------------------------------------------------
TOTAL                                                                                                    336,106,277      8,777,319
------------------------------------------------------------------------------------------------------------------------------------
</TABLE>



                                 Page 49 of 49