<PAGE>
THE ONE GROUP-REGISTERED TRADEMARK-
FAMILY OF MUTUAL FUNDS
-----------------------------------------------------------------
MONEY MARKET FUNDS ANNUAL REPORT
FOR THE YEAR ENDED JUNE 30, 1996
U.S. TREASURY SECURITIES
MONEY MARKET FUND
PRIME MONEY MARKET FUND
MUNICIPAL MONEY MARKET FUND
OHIO MUNICIPAL
MONEY MARKET FUND
<PAGE>
<TABLE>
<S> <C> <C>
IMPORTANT CUSTOMER INFORMATION. INVESTMENT PRODUCTS:
- ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED BY
BANC ONE CORPORATION OR ANY OF ITS AFFILIATES
- ARE NOT INSURED BY THE FDIC
[NO FDIC]
- ARE SUBJECT TO INVESTMENT RISKS, INCLUDING POSSIBLE
LOSS OF THE PRINCIPAL AMOUNT INVESTED
</TABLE>
<PAGE>
- --------------------------------------------------------------------------------
Table of Contents
- -------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1996
<TABLE>
<S> <C>
Report From Your Investment Advisor................................................... 2
Portfolio Performance Review.......................................................... 5
Schedules of Portfolio Investments.................................................... 9
Statements of Assets and Liabilities.................................................. 19
Statements of Operations.............................................................. 20
Statements of Changes in Net Assets................................................... 21
Notes to Financial Statements......................................................... 22
Financial Highlights.................................................................. 31
Report of Independent Accountants..................................................... 40
</TABLE>
1 ----
<PAGE>
- --------------------------------------------------------------------------------
Report From Your Investment Advisor
- -------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1996
WE ARE PLEASED TO PRESENT THIS ANNUAL REPORT FOR THE ONE GROUP FAMILY OF MUTUAL
FUNDS. ON THE FOLLOWING PAGES, YOU WILL FIND AN OVERVIEW OF THE FINANCIAL
MARKETS AND YOUR FUND'S PERFORMANCE FOR THE PERIOD FROM JUNE 30, 1995, TO JUNE
30, 1996.
DEAR VALUED SHAREHOLDERS:
I would like to extend to you my personal thanks for investing in The One Group
Family of Mutual Funds. The past year was one of exceptional growth and progress
at The One Group, thanks, in large part, to you--the shareholders.
By continuing to show your confidence, you helped The One Group funds achieve
significant growth during the past 12 months. Assets under management soared
from $9.7 billion on June 30, 1995, to $13.6 billion on June 30, 1996, placing
The One Group among the largest bank-advised mutual fund companies.
In addition, The One Group shareholder base nearly tripled during this period,
as the number of shareholder accounts grew from 33,000 on June 30, 1995, to
95,000 on June 30, 1996. Fourteen thousand of these new accounts (and $1.4
billion in assets) resulted from The One Group merger with the Paragon Funds, a
family of mutual funds formerly advised by Premier Bank in Louisiana. I want to
extend a warm welcome to the former Paragon investors as well as ALL the new
shareholders.
We believe that such strong growth is a reflection of The One Group's commitment
to meeting your investment needs through quality products, good investment
performance and top-notch service.
The diversity within The One Group mutual fund family is designed to help you
meet all of your portfolio needs. It also is a reflection of our investment
philosophy, which stresses:
- - ASSET ALLOCATION. When your assets are allocated to different security types
and investment styles according to your goals, time frame and risk tolerance,
you have an effective, well-rounded portfolio.
- - DIVERSIFICATION. By diversifying your investments within each asset class,
you can help reduce the overall risk level in your portfolio.
- - MAINTAINING A LONG-TERM PERSPECTIVE. Short-term market volatility is
unavoidable but usually smooths out over the long term. It's time, not timing,
that allows investments to realize their full potential. It's important to
stay focused on your long-term goals, whether they include planning for
retirement, saving for college expenses or trying to reduce your tax burden.
These are proven investment strategies that we encourage all shareholders to
embrace--whether it's by assembling a portfolio of assorted individual funds
from The One Group or by investing in a new "fund of funds" alternative, The One
Group Investor Funds.
The One Group Investor Funds*, which will be introduced in early 1997, provide
you with a heightened level of diversification. The One Group Investor Funds are
mutual funds targeted toward specific investment objectives, such as growth,
income or a combination of the two. To achieve their objectives, The One Group
Investor Funds invest in various funds from The One Group family. The One Group
Investor Funds offer a simple and convenient way to enjoy diversification and
asset allocation from ONE investment.
Of course, we believe that there is more to meeting your investment needs than
providing you with a broad selection of mutual funds. In order to make informed
investment decisions, you need information about your investments as well as
access to your accounts. As such, The One Group introduced several new features
this year that make accessing your fund and account information simple and
convenient. Some of the highlights include:
- - THE ONE GROUP WEB SITE. From The One Group home page (www.onegroup.com) you
can access a variety of fund-related information, including prices,
performance updates, fund manager biographies and assorted literature. In
addition, you will find an interactive asset allocation tool that can help you
determine your investor profile and select an appropriate model portfolio.
Future plans call for on-line prospectuses, annual reports and account
transactions as well as an interactive retirement calculator.
- ----2
<PAGE>
- --------------------------------------------------------------------------------
Report From Your Investment Advisor, continued
- --------------------------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1996
- - THE ONE GROUP PHONE LINK. The new 24-hour automated telephone service
(1-800-480-4111) lets you obtain fund and account information and place
transactions when it is most convenient for you.
- - IN-HOUSE SHAREHOLDER SERVICING. In order to provide the utmost in service, we
have moved the shareholder services unit to an in-house facility. This affords
us better insight and a heightened ability to respond to your needs.
You can be assured that the commitment to high-quality service is ongoing. The
One Group will continue to look for ways to improve and enhance shareholder
services so that you always have the ability to access and obtain information in
a timely and accurate manner.
Again, thank you for placing your trust with The One Group and for helping The
One Group achieve stellar growth over the past year. All of us at Banc One
Investment Advisors and The One Group appreciate your support as we work toward
our most important investment objective--helping you achieve your financial
goals.
Sincerely,
[SIG]
David J. Kundert
PRESIDENT & CEO,
BANC ONE INVESTMENT ADVISORS CORPORATION,
INVESTMENT ADVISOR TO THE ONE GROUP
[DAVID J. KUNDERT PHOTO]
- ---------
* A REGISTRATION STATEMENT RELATING TO THESE SECURITIES HAS BEEN FILED WITH THE
SECURITIES AND EXCHANGE COMMISSION BUT HAS NOT YET BECOME EFFECTIVE. THESE
SECURITIES MAY NOT BE SOLD NOR MAY OFFER TO BUY BE ACCEPTED PRIOR TO THE TIME
THE REGISTRATION STATEMENT BECOMES EFFECTIVE. THIS LETTER SHALL NOT CONSTITUTE
AN OFFER TO SELL OR SOLICITATION OF AN OFFER TO BUY NOR SHALL THERE BE ANY
SALE OF THESE SECURITIES IN ANY STATE IN WHICH SUCH OFFER, SOLICITATION OR
SALE WOULD BE UNLAWFUL PRIOR TO REGISTRATION OR QUALIFICATION UNDER THE
SECURITIES LAW OF ANY SUCH STATE.
3 ----
<PAGE>
- --------------------------------------------------------------------------------
Report From Your Investment Advisor, continued
- --------------------------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1996
ECONOMIC REVIEW
The economy grew at an average rate of 2.1% from the third quarter of 1995
through the first quarter of 1996. While the actual numbers weren't available at
the time of this writing, it is expected that the pace of economic activity
gained additional momentum during the second quarter of 1996. (Preliminary
readings on the actual growth pace of economic activity during the second
quarter is not released until August.)
Given this fundamental backdrop, short-term interest rates controlled by the
Federal Reserve (the federal funds rate) declined from 5.6% during the second
quarter of 1995 to approximately 5.25% at the end of the second quarter of 1996.
On the inflation front, the change in overall prices remained quite stable as
consumer prices rose by 3.0% (on a year-over-year basis) through the end of June
1995 compared to a similar figure of approximately 2.9% at the end of May 1996.
Over the last 12 months, financial market sentiment fluctuated from expecting an
immediate recession at the beginning of 1996 to the belief that the economy was
caught in the midst of an overheated expansion requiring much higher short-term
rates in order to slow it down to non-inflationary growth levels. This swing in
market sentiment clearly was observed in the bond market as heightened
inflationary concerns caused the yield on the 30-year Treasury bond to rise from
a level of 5.95% at the beginning of the year to 6.87% on June 30, 1996. (In the
bond market, as yields increase, prices decline.) In contrast, equity markets
performed quite favorably as measured by the Dow Jones Industrial Average, which
rose by 24.11% during the 12 months ended June 1996, and the Standard & Poor's
500 Index, which rose by 26.05%.
One popular daily inflationary indicator monitored closely by financial market
participants is the Commodity Research Bureau's (CRB) Future Price Index, which
rose from 244.25 at the beginning of this fiscal year to a peak of 261.81 on
April 25, 1996. This was the highest level recorded for the CRB since it stood
at 263.26 on July 7, 1988. While financial market participants tend to closely
monitor the daily fluctuations in the CRB, our own analysis suggests that the
movements in the CRB are a poor leading indicator of actual inflationary trends.
Nonetheless, in light of the recent declines in this overall index, some
speculate that the prospects for much lower bond yields could be forthcoming
over the next 12 months.
However, at the close of the second quarter of 1996, financial markets began to
expect that the U.S. central bank would soon begin raising short-term rates to
quell the growing inflationary pressures that had begun to surface in the labor
market. Although the Fed kept short-term rates steady, the growing speculation
focused on when--rather than if--short-term rates would be increased. Given this
scenario, investing in both equity and credit markets became a bit more
challenging as the prospects of higher short-term rates cast a dark cloud upon
the financial markets. In fact, the robust pace of growth during the second
quarter of 1996, along with the rising pace of labor market costs, lead us to
conclude that short-term rates have no where else to go but up during the next
six months.
Although we expect some investment challenges to unfold over the next year, we
believe that pursuing a long-term investment approach is likely to continue
producing favorable results. As demonstrated by movements in both the stock and
bond markets over the last several years, investing with only a short-term focus
has not always been prudent. Therefore, we encourage our investors to maintain
longer-term horizons. This type of time frame provides much better insulation
against the short-term fluctuations that are endemic within our financial
markets.
[SIG]
Anthony Chan, Ph.D.
CHIEF ECONOMIST, BANC ONE INVESTMENT ADVISORS CORPORATION
- ----4
<PAGE>
- --------------------------------------------------------------------------------
The One Group U.S. Treasury Securities Money Market Fund
Portfolio Performance Review
- -------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1996
THE ONE GROUP U.S. TREASURY SECURITIES MONEY MARKET FUND
In general, short-term interest rates declined over the one-year period, and the
Fund's yield followed suit. The seven-day yield on The One Group U.S. Treasury
Securities Money Market Fund Fiduciary share class was 4.98% on June 30, 1996,
down from 5.62% on June 30, 1995.
As the Federal Reserve pursued a relatively easy monetary policy over the
12-month period, the Treasury yield curve remained flat. In this environment,
there is little to no yield difference between overnight securities, such as
repurchase agreements, and those with one-year maturities.
Consequently, we focused on repurchase agreements, which offered the same yield
as money market securities with longer maturities and less relative risk. In
addition, we also purchased select longer-dated Treasury securities to keep the
Fund's average maturity within the 40- to 50-day range. On June 30, 1996, the
Fund's average maturity was 51 days, up from 36 days on June 30, 1995.
The Fund's focus on high-quality securities earned it an AAA rating--the
highest--from Standard & Poor's and Moody's Investors Service. The most
significant restriction from this rating is that the Fund is required to
maintain an average weighted maturity no greater than 60 days.
Over the next year, we will try to position the Fund to take advantage of the
changing interest rate environment. This strategy will be directly affected by
the short- and long-term economic outlooks and how the market translates these
outlooks into expectations for short-term interest rates.
[SIG]
Andrew T. Linton
FUND MANAGER
[SIG]
Gary J. Madich, CFA
SENIOR MANAGING DIRECTOR OF FIXED-INCOME SECURITIES
<TABLE>
<CAPTION>
Average Annual
Total Return
Class of
Shares 7 Day Yield 1 year 5 years Since inception
<S> <C> <C> <C> <C>
Fiduciary 4.98% 5.34% 4.14% 5.56%
Class A 4.73% 5.08% NA 3.76%
</TABLE>
5 ----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Prime Money Market Fund
Portfolio Performance Review
- -------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1996
THE ONE GROUP PRIME MONEY MARKET FUND
The seven-day yield on The One Group Prime Money Market Fund Fiduciary share
class was 5.07% on June 30, 1996, down from 5.85% on June 30, 1995.
The seven-day yield on the Fund reflected the changes in short-term rates during
the one-year period. Short-term interest rates showed a downward trend
throughout the latter part of 1995 and into the early part of 1996. The Fund's
yield also declined during this period. Short-term rates reversed their course
during the spring and early summer, as the outlook for the economy improved. The
Fund's yield followed suit and increased somewhat.
The Fund was positioned to take advantage of the rise in interest rates
experienced during the last few months of the fiscal year. The Fund's average
maturity was short in January and February, as rates were bottoming out. When
rates began to spike up, we lengthened the Fund's average maturity in order to
take advantage of buying opportunities and to lock in higher interest rates. The
portfolio's average maturity was 55 days on June 30, 1996, an increase from its
36-day average maturity on June 30, 1995.
The Fund's current average maturity--at 45 days-- reflects a neutral maturity
posture. If the Federal Reserve moves to bump up interest rates later this year,
we would look to capitalize on this and slightly increase the Fund's average
maturity. If the economy performs much better than we anticipate, and it becomes
evident that the Fed must take stronger measures than we expect, then we would
adjust the Fund's average maturity accordingly.
[SIG]
Roger C. Hale, CFA, CFP
FUND MANAGER
[SIG]
Gary J. Madich, CFA
SENIOR MANAGING DIRECTOR OF FIXED-INCOME SECURITIES
<TABLE>
<CAPTION>
Average Annual
Total Return
Class of
Shares 7 Day Yield 1 year 5 years Since inception
<S> <C> <C> <C> <C>
Fiduciary 5.07% 5.49% 4.34% 3.85%
Class A 4.82% 5.22% NA 3.95%
</TABLE>
- ----6
<PAGE>
- --------------------------------------------------------------------------------
The One Group Municipal Money Market Fund
Portfolio Performance Review
- -------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1996
THE ONE GROUP MUNICIPAL MONEY MARKET FUND
The seven-day yield on The One Group Municipal Money Market Fund Fiduciary share
class was 3.00% on June 30, 1996, down from the seven-day yield of 3.79% one
year earlier. (For investors in the 39.6% federal income tax bracket, the June
30, 1996, tax-free yield translates into a tax-equivalent yield of 4.97%.)
Short-term tax-exempt rates moved in a much more narrow trading range from June
30, 1995, to June 30, 1996, than they did during the previous year, which was
characterized by high rate volatility. For example, for the year ended June 30,
1996, variable-rate securities traded in a range from 3% to 5%, while fixed-
income securities traded in a range between 3% and 4%. For the year ended June
30, 1995, these securities traded in ranges of 1.5% to 6% and 2.75% to 5.25%,
respectively.
Our strategy during the year was to try to balance the Fund's fixed-rate
components with variable-rate securities in anticipation of changing interest
rates. These securities include high quality commercial paper, general market
notes and short-term bonds with maturities of 397 days or less. The majority of
the Fund's securities were rated AA or better, and many included secondary
insurance or letter of credit backing to further limit credit risk.
During the first half of the fiscal year we tried to keep the Fund's average
maturity less than six months. The average maturity went from 47 days on June
30, 1995, to 51 days on December 31, 1995. This was due to the great deal of
selling of and market pressure on one-year paper. Around the first of the year,
we began extending the portfolio's average maturity to make it compatible with a
more neutral monetary policy. The Fund ended the fiscal year with an average
maturity of 55 days.
Going forward, we are optimistic that the Fund will continue to provide
competitive, attractive yields. Now, with the possibility of an interest rate
increase in response to inflationary pressures and monetary concerns, the Fund's
relatively short average maturity affords us the opportunity to extend further
to continually attract higher and competitive rates of return.
[SIG]
Thomas W. Cary
FUND MANAGER
[SIG]
Gary J. Madich, CFA
SENIOR MANAGING DIRECTOR OF FIXED-INCOME SECURITIES
<TABLE>
<CAPTION>
Average Annual
Total Return
Class of
Shares 7 Day Yield 1 year 5 years Since inception
<S> <C> <C> <C> <C>
Fiduciary 3.00% 3.34% 2.88% 3.97%
Class A 2.75% 3.08% NA 2.47%
</TABLE>
7 ----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Ohio Municipal Money Market Fund
Portfolio Performance Review
- -------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1996
THE ONE GROUP OHIO MUNICIPAL MONEY MARKET FUND
The seven-day yield on The One Group Ohio Municipal Money Market Fund Fiduciary
share class was 3.02% on June 30, 1996, down from the seven-day yield of 3.75%
one year earlier. (For investors in the 39.6% federal income tax bracket and the
7.5% Ohio state tax bracket, the June 30, 1996, tax-free yield translates into a
tax-equivalent yield of 5.00%.)
Short-term tax-exempt rates moved in a much more narrow trading range from June
30, 1995, to June 30, 1996, than they did during the previous year, which was
characterized by high rate volatility. For example, for the one-year period
ended June 30, 1996, variable-rate securities traded in a range from 3% to 5%,
while fixed-income securities traded in a range between 3% and 4%. For the
one-year period ended June 30, 1995, these securities traded in ranges of 1.5%
to 6% and 2.75% to 5.25%, respectively.
Our strategy during the year was to try to balance the Fund's fixed-rate
components with variable-rate securities in anticipation of changing interest
rates. These securities include high quality commercial paper, general market
notes and short-term bonds with maturities of 397 days or less. The majority of
the Fund's securities were rated AA or better, and many included secondary
insurance or letter of credit backing to further limit credit risk.
During the first half of the year, we tried to keep the Fund's average maturity
less than six months. The average maturity went from 47 days on June 30, 1995,
to 31 days on December 31, 1995. This was due to the great deal of selling of
and market pressure on one-year paper. At the beginning of 1996, we began
extending the portfolio's average maturity to make it compatible with a more
neutral monetary policy. The Fund ended the fiscal year with an average maturity
of 60 days.
Going forward, we are optimistic that the Fund will continue to provide
competitive, attractive yields. Now, with the possibility of an interest rate
increase in response to inflationary pressures and monetary concerns, the Fund's
relatively short average maturity affords us the opportunity to extend further
to continually attract higher and competitive rates of return.
[SIG]
Thomas W. Cary
FUND MANAGER
[SIG]
Gary J. Madich, CFA
SENIOR MANAGING DIRECTOR OF FIXED-INCOME SECURITIES
<TABLE>
<CAPTION>
Average Annual
Total Return
Class of
Shares 7 Day Yield 1 year 5 years Since inception
<S> <C> <C> <C> <C>
Fiduciary 3.02% 3.34% NA 2.91%
Class A 2.77% 3.08% NA 2.63%
</TABLE>
- ----8
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
U.S. TREASURY SECURITIES MONEY MARKET FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL SECURITY AMORTIZED
AMOUNT DESCRIPTION COST
- ----------- ------------------------------------------ -----------
<C> <S> <C>
U.S. TREASURY BILLS (16.7%):
$ 50,000 8/22/96(b)................................ $ 49,604
75,000 9/19/96(b)................................ 74,131
20,000 11/14/96(b)............................... 19,638
105,000 2/6/97(b)................................. 101,873
5,000 3/6/97.................................... 4,829
35,000 4/3/97(b)................................. 33,616
35,000 5/1/97(b)................................. 33,448
10,000 5/29/97(b)................................ 9,502
-----------
Total U.S. Treasury Bills 326,641
-----------
U.S. TREASURY NOTES (13.9%):
45,000 7.88%, 7/15/96(b)......................... 45,040
10,000 6.13%, 7/31/96(b)......................... 10,004
15,000 7.88%, 7/31/96(b)......................... 15,032
25,000 7.25%, 8/31/96............................ 25,051
20,000 6.50%, 9/30/96(b)......................... 20,032
25,000 8.00%, 10/15/96(b)........................ 25,189
50,000 7.25%, 11/30/96(b)........................ 50,348
50,000 6.88%, 2/28/97............................ 50,581
10,000 6.63%, 3/31/97(b)......................... 10,085
10,000 6.50%, 4/30/97............................ 10,064
10,000 6.13%, 5/31/97(b)......................... 10,023
-----------
Total U.S. Treasury Notes 271,449
-----------
Total Investments, at amortized cost 598,090
-----------
REPURCHASE AGREEMENTS (69.5%)
75,000 Barclays de Zoette Wedd, 5.40%, 7/1/96
(collateralized by $282,824 U.S.
Treasury Securities, 0.00%,
8/15/97-8/15/25, market value
$76,500)................................ 75,000
75,000 CIBC, 5.45%, 7/1/96 (collateralized by
$78,255 Various U.S. Government
Securities, 5.06%-5.375%,
12/26/96-11/30/97, market value
$77,517)................................ 75,000
<CAPTION>
PRINCIPAL SECURITY AMORTIZED
AMOUNT DESCRIPTION COST
- ----------- ------------------------------------------ -----------
<C> <S> <C>
REPURCHASE AGREEMENTS, CONTINUED:
$ 75,000 Deutsche, Morgan, Grenfell, 5.45%, 7/1/96
(collateralized by $73,008 U.S. Treasury
Securities, 0.00%-8.50%,
7/01/96-8/15/25, market value
$76,500)................................ $ 75,000
75,000 Dresdner Securities, 5.45%, 7/1/96
(collateralized by $73,098 U.S. Treasury
Notes, 7.50%, 12/31/96, market value
$76,523)................................ 75,000
75,000 Goldman, 5.45%, 7/1/96 (collateralized by
$75,663 U.S. Treasury Notes,
6.13%-6.50%, 4/30/97-8/15/02, market
value $76,500).......................... 75,000
475,000 Aubrey G. Lanston & Co., 5.45%, 7/1/96
(collateralized by $486,932 Various U.S.
Government Securities, 0.00%-6.875%,
9/5/96-4/30/01, market value
$484,882)............................... 475,000
434,888 Lehman Brothers, 5.50%, 7/1/96
(collateralized by $841,252 U.S.Treasury
Strips, 0.00%, 5/15/04-5/15/06, market
value $443,587)......................... 434,888
75,000 J.P. Morgan, 5.45%, 7/1/96 (collateralized
by $118,217 U.S. Treasury Securities,
0.00%-6.25%, 8/15/96-2/15/25, market
value $76,501 )......................... 75,000
-----------
Total Repurchase Agreements 1,359,888
-----------
Total (Cost--$1,957,978)(a) $1,957,978
-----------
-----------
</TABLE>
- ------------
Percentage indicated are based on net assets of $1,955,454.
<TABLE>
<C> <S>
(a) Cost for federal income tax and financial reporting purposes are the same.
</TABLE>
<TABLE>
<C> <S>
(b) A portion of this security was loaned as of June 30, 1996.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
9 ----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
PRIME MONEY MARKET FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- ------------ --------------------------------------- -----------
<C> <S> <C>
FUNDING AGREEMENTS (11.8%):
$ 50,000 All State Floating Repo, 5.65%,
9/1/96*.............................. $ 50,000
125,000 General American Life Insurance Co.,
5.64%, 3/19/97....................... 125,000
60,000 Peoples Security Life, 5.55%,
04/22/97*............................ 60,000
25,000 Providian Life & Health Insurance Co.,
5.59%, 3/1/97........................ 25,000
35,000 Providian Life & Health Insurance Co.,
5.59%, 3/1/97........................ 35,000
-----------
Total Funding Agreements 295,000
-----------
COMMERCIAL PAPER (59.1%):
Automotive (5.0%):
20,000 American Honda Finance Corp., 5.34%,
7/25/96.............................. 19,929
40,000 American Honda Finance Corp., 5.35%,
8/14/96.............................. 39,738
41,500 General Motors Acceptance Corp., 5.35%,
8/12/96.............................. 41,241
25,000 General Motors Acceptance Corp., 5.33%,
9/12/96.............................. 24,730
-----------
125,638
-----------
Banking (1.0%):
25,000 Monte Dei Paschi Di Siena, 5.29%,
7/26/96.............................. 24,908
-----------
Banking & Financial Services (2.0%):
50,000 Lehman Brothers Holdings, Inc., 5.31%,
9/17/96.............................. 49,425
-----------
Chemicals (4.9%):
20,000 Akzo Nobel, Inc., 5.30%, 8/19/96....... 19,856
25,000 Akzo Nobel, Inc., 5.45%, 10/18/96...... 24,587
24,400 Akzo Nobel, Inc., 5.45%, 10/21/96...... 23,986
25,000 Akzo Nobel, Inc., 5.45%, 10/25/96...... 24,561
15,000 Akzo Nobel, Inc., 5.40%, 11/22/96...... 14,676
15,000 Akzo Nobel, Inc., 5.40%, 11/26/96...... 14,667
-----------
122,333
-----------
Computer Software (3.9%):
27,500 CSC Enterprises, 5.37%, 7/8/96......... 27,471
20,000 CSC Enterprises, 5.35%, 7/24/96........ 19,932
29,000 CSC Enterprises, 5.34%, 8/23/96........ 28,772
21,000 CSC Enterprises, 5.33%, 8/29/96........ 20,817
-----------
96,992
-----------
Consumer Goods & Services (0.9%):
10,000 Tambrands Corp., 5.35%, 9/26/96........ 9,871
12,000 Tambrands Corp., 5.52%, 11/12/96....... 11,753
-----------
21,624
-----------
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- ------------ --------------------------------------- -----------
<C> <S> <C>
COMMERCIAL PAPER, CONTINUED:
Electrical & Electronic (2.6%):
$ 11,000 Hitachi Credit America Corp., 5.32%,
8/27/96.............................. $ 10,907
18,000 Hitachi Securities, 5.32%, 8/29/96..... 17,843
15,000 Toshiba America, Inc., 5.31%,
7/18/96.............................. 14,963
20,000 Toshiba America, Inc., 5.35%, 7/8/96... 19,979
-----------
63,692
-----------
Financial & Insurance (1.2%):
12,658 Enterprise Funding Corp., 5.40%,
8/16/96.............................. 12,570
17,312 Enterprise Funding Corp., 5.40%,
8/26/96.............................. 17,167
-----------
29,737
-----------
Financial Services (9.0%):
12,297 Equipment Funding, Inc., 5.35%,
7/8/96............................... 12,284
21,010 Finova Capital Corp., 5.38%, 7/11/96... 20,978
35,000 Finova Capital Corp., 5.38%, 8/15/96... 34,765
32,000 Finova Capital Corp., 5.40%, 8/22/96... 31,750
40,000 Finova Capital Corp., 5.50%, 9/6/96.... 39,591
25,000 Lehman Brothers Holding, Inc., 5.45%,
9/30/96.............................. 24,656
60,605 Old Line Funding Corp., 5.31%,
7/2/96............................... 60,596
25,000 Old Line Funding Corp., 5.45%,
7/24/96.............................. 24,913
-----------
249,533
-----------
Gas & Electric Utility (3.8%):
30,900 CSW Credit, Inc., 5.29%, 7/17/96....... 30,827
30,500 CSW Credit, Inc., 5.40%, 8/5/96........ 30,340
32,886 National Rural Utilities Finance Corp.,
5.28%, 7/22/96....................... 32,785
-----------
93,952
-----------
Leasing (4.3%):
35,000 International Lease Finance Corp.,
5.33%, 8/7/96........................ 34,809
31,000 International Lease Funding Corp.,
5.30%, 9/20/96....................... 30,630
20,000 USL Capital Corp., 5.30%, 7/2/96....... 19,997
21,000 USL Capital Corp., 5.37%, 7/15/96...... 20,957
-----------
106,393
-----------
Office Equipment & Services (3.6%):
50,000 International Business Machines, 5.90%,
07/29/96............................. 49,998
41,000,000 Xerox Corp., 5.35%, 8/20/96............ 40,695
-----------
90,693
-----------
</TABLE>
CONTINUED
- ----10
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
PRIME MONEY MARKET FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1996
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- ------------ --------------------------------------- -----------
COMMERCIAL PAPER, CONTINUED:
<C> <S> <C>
Oil & Gas Exploration Products & Services (5.9%):
$ 30,000 Pemex Capital, Inc., 5.32%, 8/2/96..... $ 29,858
15,000 Pemex Capital, Inc., 5.40%, 9/10/96.... 14,840
15,000 Pemex Capital, Inc., 5.40%, 9/12/96.... 14,836
25,000 Petroleo Brasileird S.A., 5.26%,
7/23/96.............................. 24,920
20,000 Petroleo Brasileiro S.A.--Petrobras,
5.33%, 8/9/96........................ 19,885
10,000 Petroleo Brasileiro S.A.--Petrobras
"B", 5.37%, 8/16/96.................. 9,931
13,500 Petroleo Brasileiro S.A., 5.345%,
11/18/96............................. 13,219
20,000 Petroleo Brasileiro S.A., 5.345%,
12/4/96.............................. 19,537
-----------
147,026
-----------
Real Estate (4.4%):
45,000 Countrywide Funding Corp., 5.43%,
7/23/96.............................. 44,851
19,840 Countrywide Funding Corp., 5.45%,
9/3/96............................... 19,648
46,000 Countrywide Funding Corp., 5.42%,
9/9/96............................... 45,515
-----------
110,014
-----------
Telecommunications (5.8%):
30,000 GTE Corp., 5.33%, 7/2/96............... 29,996
50,000 GTE Corp., 5.39%, 7/9/96............... 49,940
17,500 Nynex Corp., 5.37%, 7/8/96............. 17,482
24,500 Nynex Corp., 5.35%, 8/6/96............. 24,369
24,500 Nynex Corp., 5.32%, 8/26/96............ 24,297
-----------
146,084
-----------
Total Commercial Paper 1,478,044
-----------
CORPORATE BONDS (1.7%):
Financial Services (1.7%):
25,000 IBM Credit Corp., 5.90%, 8/28/96....... 24,996
17,875 John Deere, 4.625%, 9/2/96............. 17,838
-----------
Total Corporate Bonds 42,834
-----------
MEDIUM TERM/SENIOR NOTES (13.4%):
Banking (5.0%):
50,000 Abbey National Treasury Services, PLC.,
5.08%, 2/27/97....................... 49,994
25,000 Abbey National Treasury Services, PLC.,
5.08%, 2/27/97....................... 24,994
50,000 Abbey National Treasury Services, PLC.,
5.11%, 3/17/97....................... 49,969
-----------
124,957
-----------
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- ------------ --------------------------------------- -----------
<C> <S> <C>
MEDIUM TERM/SENIOR NOTES, CONTINUED:
Banking and Financial Services (3.0%):
$ 50,000 Bear Stearns Companies, Inc., 5.60%,
3/14/97.............................. $ 50,000
25,000 Merrill Lynch & Co., Inc., 5.58%,
3/14/97.............................. 25,000
-----------
75,000
-----------
Brokerage (5.0%):
125,000 Greenwich Capital Holding, Inc., 5.80%,
10/1/96 Master Note Purchase
Agreement*........................... 125,000
-----------
Leasing (0.4%):
10,000 International Leasing Finance, Inc.,
8.73%, 8/9/96........................ 10,033
-----------
Total Medium Term/Senior Notes 334,990
-----------
FLOATING RATE NOTES (3.3%):
31,440 Student Loan Marketing Association,
6.08%, 7/1/96*....................... 31,440
50,000 Student Loan Marketing Assoc., 5.45%,
9/28/98*............................. 50,000
-----------
Total Floating Rate Notes 81,440
-----------
U.S. TREASURY BILLS (1.0%):
25,000 3/6/97................................. 24,144
-----------
Total U.S. Treasury Bills 24,144
-----------
Total Investments, at amortized cost 2,256,452
-----------
REPURCHASE AGREEMENTS (10.0%):
100,000 Lehman Brothers, 5.51%, 7/1/96,
(collateralized by $104,920 Various
U.S. Government Securities,
0.00%-8.36%, 12/24/96-12/08/14,
market value $102,004)............... 100,000
23,841 Lehman Brothers, 5.50%, 7/1/96,
(collateralized by $18,957 U.S.
Treasury Bonds, 8.00%-15.75%
2/15/01-2/15/02, market value
$24,305)............................. 23,841
125,000 Prudential Securities, 5.53%, 7/1/96,
(collateralized by $84,763 Various
U.S. Government Securities,
0.00%-8.25%, 7/02/96-5/15/18, market
value $68,899 and cash-$57,452)...... 125,000
-----------
Total Repurchase Agreements 248,841
-----------
Total (Cost--$2,505,293)(a) $2,505,293
-----------
-----------
</TABLE>
- ------------
Percentages indicated are based on net assets of $2,501,936.
<TABLE>
<C> <S>
(a) Cost for federal income tax and financial reporting purposes is the same.
</TABLE>
<TABLE>
<C> <S>
* Variable rate securities having liquidity sources through bank letters of credit or other credit and/or liquidity
agreements. The interest rate, which will change periodically, is based upon bank prime rates or a index of market
interest rates. The rate reflected on the Schedule of Portfolio Investments is the rate in effect at June 30, 1996.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
11----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
MUNICIPAL MONEY MARKET FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- ----------- ----------------------------------------- -----------
<C> <S> <C>
MUNICIPAL BONDS (16.2%):
Connecticut (0.9%):
$ 4,500 Special Assessment Unemployment
Compensation Revenue Notes (Curbs),
3.9%, 11/15/01*........................ $ 4,500
-----------
Florida (0.7%):
3,500 Putnam County, Development Authority,
3.50%, 12/15/09*....................... 3,500
-----------
Louisiana (1.0%):
5,000 State Refunding, Series A, 4.20%,
8/1/96................................. 5,002
-----------
Michigan (8.4%):
2,500 Municipal Bond Authority Revenue, Series
B, 4.50%, 7/3/96....................... 2,500
10,000 Muncipal Bond Authority, Series A, 4.50%,
7/3/97................................. 10,058
30,000 State GO Notes, 4.00%, 9/30/96........... 30,073
-----------
42,631
-----------
Nevada (0.4%):
2,000 State GO Bonds, 6.35%, 8/1/96............ 2,005
-----------
Ohio (0.6%):
3,000 School District Cash Flow, 4.53%,
6/30/97................................ 3,015
-----------
Texas (2.5%):
4,980 Austin Independent School District,
6.70%, 8/1/99
Prefunded 8/1/96 at 100................ 4,994
4,000 Dallas Independent School District,
7.10%, 8/15/96
LOC: NationsBank of Texas.............. 4,016
1,400 Gulf Coast Waste Disposal Authority
Texas, PCR, 3.50%, 10/1/17, Amoco Oil
Co. Project*........................... 1,400
2,200 North Central, Health Facilities, 3.65%,
12/1/15, Development Corp., Revenue
Bonds, Series D*....................... 2,200
-----------
12,610
-----------
Virginia (1.0%):
5,300 Public School Authority, Series C, 5.00%,
8/1/96................................. 5,307
-----------
Wisconsin (0.3%):
1,460 Milwaukee, Series BQ, 6.00%, 7/15/96,
GO..................................... 1,461
-----------
Wyoming (0.5%):
2,500 Uinta County, PCR, Amoco Standard Oil Co
Ind., 3.98%, 12/1/12*.................. 2,502
-----------
Total Municipal Bonds 82,533
-----------
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- ----------- ----------------------------------------- -----------
<C> <S> <C>
DAILY DEMAND NOTES (3.6%):
Alabama (1.2%):
$ 5,900 Phenix County, Al 93-A, 3.75%, 6/1/28,
LOC: Toronto Dominion*................. $ 5,900
-----------
Colorado (0.3%):
1,600 Moffat County PCR, Pacific Corp., 3.60%,
5/1/13*................................ 1,600
-----------
Ohio (0.4%):
1,900 State Air Quality, 3.75%, 12/1/15, LOC:
JP Morgan*............................. 1,900
-----------
Texas (1.4%):
3,000 Brazos River Authority PCR
Coll Utilities Electric Co. Series B,
3.85%, 6/1/30, LOC: Union Bank of
Switzerland, AMT*...................... 3,000
4,300 Sabine River Authority PCR
Utilities Electric Co. Project Series
C, 3.85%, 6/1/30, LOC: Union Bank of
Switzerland, AMT*...................... 4,300
-----------
7,300
-----------
Washington (0.3%):
1,500 State Health Care Facilities Authority,
Fred Hutchinson Cancer-C, 3.65%, 1/1/18
LOC: Morgan Guaranty*.................. 1,500
-----------
Total Daily Demand Notes 18,200
-----------
WEEKLY DEMAND NOTES (56.4%):
Arkansas (1.6%):
8,100 Clark County Solid Waste Disposal Revenue
- Reynolds Metals Co. Project, 3.55%,
8/1/22, LOC: Trust Co. Bank, AMT*...... 8,100
-----------
Colorado (2.3%):
2,500 Student Obligation Bond Authority 90-A
3.40%, 9/1/24, AMT*.................... 2,500
4,400 Student Obligation Bond Authority,
Student Loan Revenue, 3.40%, 7/1/20,
AMT*................................... 4,400
5,000 Regents University Of Colorado Student
Housing Bonds, 3.35%, 6/1/20 LOC:
Morgan Guaranty*....................... 5,000
-----------
11,900
-----------
Florida (2.0%):
10,000 Housing Finance Authority, Woodlands Apt.
855, 3.35%, 12/1/17*................... 10,000
-----------
</TABLE>
CONTINUED
- ----12
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
MUNICIPAL MONEY MARKET FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1996
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- ----------- ----------------------------------------- -----------
WEEKLY DEMAND NOTES, CONTINUED:
<C> <S> <C>
Georgia (2.1%):
$ 10,900 Cobb County Georgia Housing Authority
Multifamily Housing Revenue - Pittco
Frey Assoc. Project, 3.15%, 6/1/23,
LOC: Societe Generale*................. $ 10,900
-----------
Illinois (8.9%):
10,900 Chicago O'Hare International
AirportRevenue - Second Lien - Series
B, 3.50%, 1/1/18, LOC: Societe
Generale, AMT*......................... 10,900
5,900 Development Finance Authority Revenue
Special Facility - Little City
Foundation, 3.40%, 2/1/19, LOC: LaSalle
National Bank*......................... 5,900
4,700 Development Finance Authority Revenue
Aurora Central Catholic High School,
3.40%, 4/1/24, LOC: Northern Trust*.... 4,700
4,500 Development Finance Authority Revenue
Roosevelt University Project, 3.40%,
4/1/25, LOC: American National Bank*... 4,500
1,625 Development Finance Authority Revenue St
Pauls House Project, 3.40%, 2/1/25,
LOC: LaSalle National Bank*............ 1,625
2,500 Educational Facility Authority Revenues
Northwestern University, 3.40%, 3/1/28,
LOC: Northern Trust*................... 2,500
1,000 Health Facilities Authority Revenue
Revolving Fund Pooled, Series C, 3.40%,
8/1/15, LOC: First National Bank of
Chicago*............................... 1,000
1,900 Health Facilities Authority Revenue
Hospital Sisters Service Series E,
3.40%, 12/1/14, LOC: Morgan
Guaranty*.............................. 1,900
3,000 Health Facilities Authority Revenue
Washington & Jane Smith Home, 3.50%,
7/1/26, LOC: First Chicago Bank*....... 3,000
5,000 Jacksonville Industrial Project Revenue
Agi Inc. Project, 3.65%, 2/1/26, LOC:
Bank of America*....................... 5,000
2,240 Lombard Industrial Development Revenue
Chicago Roll Co., Inc Project, 3.95%,
2/1/10, LOC: American National Bank*... 2,240
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- ----------- ----------------------------------------- -----------
<C> <S> <C>
WEEKLY DEMAND NOTES, CONTINUED:
Illinois, continued:
$ 2,000 Orland Hills Multi-Family Mortgage
Revenue 88th Avenue Project, 3.40%,
12/1/04, LOC: LaSalle National Bank*... $ 2,000
-----------
45,265
-----------
Indiana (6.5%):
12,400 Health Facility Financing Authority
Rehabilitation Hospital Indiana, Inc.,
3.40%, 11/1/20, LOC: Toronto Dominion
Bank*.................................. 12,400
3,000 Indianapolis Economic Development Revenue
-Childrens Museum Project, 3.45%,
10/1/25, LOC: National Bank of Detroit,
Indianapolis*.......................... 3,000
3,900 Jasper Economic Development Revenue Best
Chairs Inc. Project, 3.70%, 3/1/19,
LOC: PNC Bank*......................... 3,900
14,035 Rockport PCR, Indiana & Michigan Electric
Co., Series A, 3.15%, 8/1/14, LOC:
Swiss Bank*............................ 14,035
-----------
33,335
-----------
Louisiana (0.8%):
4,000 Jefferson Parish Hospital Service
District No. 2 Hospital Revenue, 3.10%,
12/1/15, FGIC*......................... 4,000
-----------
Michigan (3.4%):
14,100 Higher Education Student Loan, Series B,
3.40%, 10/1/13, AMT, AMBAC*............ 14,100
1,750 State Strategic Fund Limited Wayne
Disposal Oakland Project, 3.60%, 3/1/5,
LOC: Comercia Bank*.................... 1,750
1,000 State Strategic Fund Limited Obligation
Revenue Environmental Quality, 3.60%,
5/1/05 LOC: Comercia Bank, AMT*........ 1,000
-----------
16,850
-----------
Nevada (3.4%):
7,400 Clark County Airport Improvement Revenue
Sub Lien Series A-1, 3.30%, 7/1/25,
LOC: Toronto Dominion Bank*............ 7,400
10,000 Clark County Industrial Development
Revenue - Power Co. Project, Series A,
3.30%, 10/1/30, LOC: Barclays Bank,
AMT*................................... 10,000
-----------
17,400
-----------
</TABLE>
CONTINUED
13----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
MUNICIPAL MONEY MARKET FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1996
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- ----------- ----------------------------------------- -----------
WEEKLY DEMAND NOTES, CONTINUED:
<C> <S> <C>
New Mexico (0.4%):
$ 2,000 Albuquerque Airport Revenue Sub Lien,
3.30%, 7/1/14, AMBAC*.................. $ 2,000
-----------
Ohio (5.7%):
6,000 Franklin County Hospital Revenue Holy
Cross Health Systems, 3.35%, 6/1/16,
LOC: Morgan Guaranty*.................. 6,000
6,800 State Air Quality Development Authority
Revenue Funding Limited Partnership,
Series A, 3.50%, 4/1/28, LOC: Societe
Generale*.............................. 6,800
6,300 Air Quality Development Authority, 3.50%,
4/1/29, LOC: Societe Generale*......... 6,300
4,600 The Ohio State University General
Receipts, Series B, 3.00%, 12/1/12*.... 4,600
5,500 State Water Development Authority Revenue
Timken Company Project, 3.35%, 5/1/07,
LOC: Wachovia Bank*.................... 5,500
-----------
29,200
-----------
Rhode Island (1.0%):
5,000 Commonwealth Student Loan Revenue Bond
#3, 3.45%, 06/01/26, LOC: Nat West*.... 5,000
-----------
South Carolina (0.3%):
1,700 Cherokee County Industrial Revenue
Oshkosh Truck Project, 3.50%, 8/1/19,
LOC: Bank of Nova Scotia, AMT*......... 1,700
-----------
Tennessee (0.7%):
3,800 Oak Ridge Industrial Board Economic
Development Revenue Limited Obligation,
3.45%, 5/1/09
LOC: Algemene Bank Nederland*.......... 3,800
-----------
Texas (12.4%):
14,100 Capital Health Facilities Development
Corp. Island On Lake Travis Limited
Project, 3.40%, 12/1/16, LOC: Credit
Suisse, AMT*........................... 14,100
10,000 Panhandle Plains Higher Education Inc.
Student Loan Revenue, Series A, 3.40%,
6/1/21*................................ 10,000
5,000 Panhandle Plains Higher Education
Authority, Student Loan Revenue, Series
A, 3.40%, 6/1/23, AMT*................. 5,000
15,900 San Antonio Health Facilities Development
Corp. Hospital Revenue Warm Springs
Rehabilitation Foundation Series A,
3.30%, 6/1/08 LOC: Nationsbank of
Texas*................................. 15,900
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- ----------- ----------------------------------------- -----------
<C> <S> <C>
WEEKLY DEMAND NOTES, CONTINUED:
Texas, continued:
$ 5,900 San Antonio Housing Finance Corp. Harbor
Cove Apartments Project, 3.50%, 6/1/06
LOC: Bank of America Illinois, AMT*.... $ 5,900
4,090 Higher Education Authority Inc.
Educational Series B, 3.10%, 12/1/25,
FGIC*.................................. 4,090
8,100 Travis County Housing Finance Corp.
Multifamily Housing Revenue - Aspen
Hills Apartments Project, 3.50%, 6/1/06
LOC: Bank of America Illinois, AMT*.... 8,100
-----------
63,090
-----------
Utah (2.8%):
14,500 Salt Lake City Airport Revenue, Sub
Series A, 3.40%, 6/1/98, LOC: Credit
Suisse, AMT*........................... 14,500
-----------
Washington (0.7%):
3,715 Pierce County Economic Development Corp.
Industrial Revenue - Mcfarland Cascade
Project, 3.55%, 10/1/07, LOC: First
National Bank of Seattle, AMT*......... 3,715
-----------
West Virginia (1.4%):
2,400 Marion County Community Solid Waste
Disposal Facility Revenue Granttown,
3.60%, 10/1/17, LOC: National
Westminster, AMT*...................... 2,400
4,700 Marion County Community Solid Waste
Disposal Facility Revenue Granttown,
3.40%, 10/1/17, LOC: National
Westminster, AMT*...................... 4,700
-----------
7,100
-----------
Total Weekly Demand Notes 287,855
-----------
MONTHLY DEMAND NOTES (3.1%):
Arizona (0.4%):
2,000 Chandler Industrial Development
Authority, Industrial Development
Revenue - Parsons Municipal Service
Inc., 3.70%, 12/15/09, LOC: National
Westminster*........................... 2,000
-----------
Indiana (2.7%):
13,700 Gary Environmental Improvement Revenue US
Steel Corp. Project, 3.70%, 7/15/02,
LOC: Bank of Nova Scotia*.............. 13,700
-----------
Total Monthly Demand Notes 15,700
-----------
</TABLE>
CONTINUED
- ----14
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
MUNICIPAL MONEY MARKET FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1996
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- ----------- ----------------------------------------- -----------
SHORT-TERM PUTS (5.7%):
<C> <S> <C>
Arizona (1.0%):
$ 5,000 Conchise County, PCR, Electric Power
Corp., 3.30%, 9/1/24 AMT**............. $ 5,000
-----------
Florida (0.8%):
4,000 Putnam County, 3.25%, 3/15/14**.......... 4,000
-----------
Missouri (0.6%):
3,000 State Environmental Improvement & Energy
Resource Authority PCR Union Electric
Co. Series B, 3.65%, 6/1/14, LOC: Union
Bank of Switzerland**.................. 3,000
-----------
New Hampshire (1.2%):
5,900 Industrial Development Authority Solid
Waste Disposal Facility Revenue, 3.30%,
9/1/15, AMT**.......................... 5,900
-----------
South Carolina (0.4%):
2,000 York County, Saluda River Project
National Rural Utilities, Series E-2,
3.10%, 8/15/14**....................... 2,000
-----------
Tennessee (1.0%):
5,000 Shelby County Health Educational &
Housing Facility Board Hospital Revenue
Methodist Health System, Series C,
3.90%, 8/1/15, MBIA**.................. 5,000
-----------
Texas (0.8%):
4,065 Gulf Coast Industrial Development
Authority Marine Term Revenue Amoco Oil
Co Project, 3.60%, 6/1/25**............ 4,065
-----------
Total-Short Term Puts 28,965
-----------
TAX-FREE COMMERCIAL PAPER (8.1%):
Alabama (0.8%):
4,000 Phenix County Industrial Development
Board Environmental Improvement Revenue
- Mead Coated Board Project, 3.45%,
12/1/23, LOC: ABN AMRO Bank, AMT*...... 4,000
-----------
Colorado (1.1%):
5,500 Platte River Authority,Electric Power
3.55%, 7/1/96, LOC: Morgan Guaranty.... 5,500
-----------
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- ----------- ----------------------------------------- -----------
<C> <S> <C>
TAX-FREE COMMERCIAL PAPER, CONTINUED:
Georgia (1.2%):
$ 6,000 Municipal Electric Authority, Series
85-A, 3.65%, 7/17/96 LOC: Credit
Suisse, Morgan, Bayerische
Landesbank............................. $ 6,000
-----------
Michigan (2.9%):
15,000 State Underground Storage Tank Financial
Assurance Authority Series 1, 3.45%,
12/1/04 LOC: Canadian Imperial Bank*... 15,000
-----------
Texas (1.5%):
5,000 Brazos River Authority - Texas Utilities
3.30%, 5/1/29, AMT*.................... 5,000
2,400 State Transportation, 3.65%, 8/20/96..... 2,400
-----------
7,400
-----------
West Virginia (0.7%):
3,500 Public Energy Authority Energy Revenue -
Morgantown Assoc. Project, 3.70%,
7/24/96 LOC: Suisse Bank, AMT.......... 3,500
-----------
Total Tax-Free Commercial Paper 41,400
-----------
ANTICIPATION NOTES (11.3%):
California (3.0%):
15,000 Los Angeles County Tax & Revenue
Anticipation Notes, Series A, 4.50%,
6/30/97, LOC: Credit Suisse............ 15,094
-----------
Idaho (1.8%):
9,000 State Tax Anticipation Note, 4.50%,
6/30/97................................ 9,052
-----------
Pennsylvania (1.2%):
6,000 Penn State University, 4.00%, 12/18/96... 6,017
-----------
Tennessee (1.5%):
7,500 State Anticipation Note, Series 96A,
3.25%, 7/2/01**........................ 7,500
-----------
Texas (3.9%):
20,000 State Tax & Revenue Anticipation Notes,
Series A, 4.75%, 8/30/96............... 20,029
-----------
Total Anticipation Notes 57,692
-----------
Total (Cost--$532,345) (a) 532,345
-----------
-----------
</TABLE>
- ------------
Percentages indicated are based on net assets of $510,527.
<TABLE>
<C> <S>
(a) Cost and value for federal income tax and financial reporting purposes are the same.
</TABLE>
<TABLE>
<C> <S>
* Variable rate securities having liquidity sources through bank letters of credit or other credit and/or liquidity
agreements. The interest rate, which will change periodically, is based upon bank prime rates or an index of market
interest rates. The rate reflected on the Schedule of Portfolio Investments is the rate in effect at June 30, 1996.
</TABLE>
CONTINUED
15----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
MUNICIPAL MONEY MARKET FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1996
(Amounts in Thousands)
<TABLE>
<C> <S>
** Put and demand features exist allowing the Fund to require the purchase of the instrument within variable time periods
including daily, weekly, monthly, or semiannually.
</TABLE>
<TABLE>
<S> <C>
AMBAC AMBAC Indemnity Corporation
AMT Alternative Minimum Tax Paper
GO General Obligation
FGIC Insured by Financial Guaranty Insurance Corp.
LOC Letter of Credit
PCR Pollution Control Revenue
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- ----16
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
OHIO MUNICIPAL MONEY MARKET FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL SECURITY AMORTIZED
AMOUNT DESCRIPTION COST
- ----------- ------------------------------------------ -----------
<C> <S> <C>
MUNICIPAL BONDS (75.4%):
Ohio:
$ 1,000 Air Quality Development Authority, 3.50%,
4/1/29*................................. $ 1,000
3,050 Clermont County, Series B, 3.35%, 12/1/15,
Hospital Facilities Mercy Health Care of
Cincinnati*............................. 3,050
3,000 Cleveland Waterworks Revenue, 7.75%,
1/1/97, Prerefunded 1/1/97 @ 102,
MBIA.................................... 3,128
2,500 Columbus Sewer Revenue, 3.30%, 6/1/11*.... 2,500
300 Cuyahoga County, 3.40%, 4/1/12, LOC:
Dresdner Bank*.......................... 300
1,600 Cuyahoga County, 3.25%, 12/1/15, LOC:
Union Bank of Switzerland*.............. 1,600
4,000 Cuyahoga County, 3.25%, 1/1/26, LOC:
Morgan Guaranty Bank*................... 4,000
1,500 Franklin County Hospital Authority, 3.45%,
5/1/15, LOC: National Bank of
Detroit*................................ 1,500
1,800 Franklin County Hospital Revenue Holy
Cross Health Systems, 3.35%, 6/1/16,
LOC: Morgan Guaranty Bank*.............. 1,800
1,700 Franklin County Inland Products, Inc.,
3.70%, 6/1/04*.......................... 1,700
2,000 Geauga County Industrial Development,
3.50%, 4/1/04*.......................... 2,000
500 Hamilton County Economic Development
Revenue, 3.55%, 6/15/05*................ 500
2,000 Hamilton County Hospital Revenue, 3.20%,
2/15/24*................................ 2,000
1,000 Higher Education Facility, 3.45%,
9/1/20*................................. 1,000
3,400 Housing Financial Agency, 3.60%, 12/1/15,
LOC: Morgan Guaranty Bank*.............. 3,400
500 Montgomery County, 3.25%, 5/15/25*........ 500
1,000 Ross County, Ohio Hospital Facilities,
3.45%, 12/1/20*......................... 1,000
3,000 School District Cash Flow, 4.53%,
6/30/97................................. 3,015
1,000 Shaker Heights, BAN, 4.30%, 10/18/96...... 1,001
1,000 State, GO, 6.95%, 9/1/98, Prerefunded
9/1/96 @102............................. 1,027
4,500 State Air Quality Development Authority
Revenue JMG Co. Funding Limited
Partnership Series A, 3.50%, 4/1/28,
LOC: Soci'ete Generale*................. 4,500
3,000 State Air Quality Development Revenue
Bonds, 3.35%, 6/1/01, LOC: Soci'ete
Generale*............................... 3,000
<CAPTION>
PRINCIPAL SECURITY AMORTIZED
AMOUNT DESCRIPTION COST
- ----------- ------------------------------------------ -----------
<C> <S> <C>
MUNICIPAL BONDS, CONTINUED:
Ohio, continued:
$ 1,000 State Court Street Center, 3.55%,
10/1/98*................................ $ 1,000
2,850 State Higher Education Facilities, 3.35%,
10/1/15, LOC: Bank of Tokyo*............ 2,850
1,900 State Natural Resources Facilities, 4.20%,
10/1/96................................. 1,902
3,000 State Water Development Authority, 3.35%,
6/1/01*................................. 3,000
2,000 Student Loan Funding Corp., 3.45%,
1/1/07*................................. 2,000
2,800 Student Loan Funding Corp., Cincinnati
Student Loan Revenue Series A-3, 3.45%,
1/1/07, LOC: National Westminster Bank,
AMT*.................................... 2,800
500 The Ohio State University, General
Receipts, Series B, 3.40%, 12/1/01*..... 500
1,800 The Ohio State University, General
Receipts, Series B, 3.40%, 12/1/06, LOC:
National Westminster Bank*.............. 1,800
7,950 The Ohio State University, General
Receipts, Series B, 3.00%, 12/1/12*..... 7,950
1,600 Twinsburg Industrial Development Revenue,
3.75%, 12/1/11*......................... 1,600
1,700 University of Cincinnati, General
Receipts, Series K1, 3.75%, 3/20/97..... 1,705
400 Water Development Authority, Series B,
3.60%, 11/1/15*......................... 400
2,100 Wooster Industrial Development Revenue,
3.75%, 12/1/10*......................... 2,100
-----------
Total Municipal Bonds 73,128
-----------
SHORT TERM PUTS (2.5%):
Ohio:
2,500 Air Quality Development Authority Revenue,
Series B, 3.80%, 5/1/18, AMT, LOC: Union
Bank of Switzerland**................... 2,500
-----------
Total Short Term Puts 2,500
-----------
TAX-FREE COMMERCIAL PAPER (11.6%):
Ohio:
1,000 Air Quality Development Authority, 3.60%,
7/10/96, FGIC........................... 1,000
1,300 State Air Quality Development Authority,
Series B, Refunding Revenue Bonds,
3.70%, 7/10/96, FGIC.................... 1,300
2,300 Toledo, (Lucas County) CSX Transportation,
3.35%, 7/15/96, LOC: Bank of Nova
Scotia.................................. 2,300
1,300 Toledo, (Lucas County) CSX Transportation,
3.50%, 8/1/96........................... 1,300
</TABLE>
CONTINUED
17----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
OHIO MUNICIPAL MONEY MARKET FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1996
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL SECURITY AMORTIZED
AMOUNT DESCRIPTION COST
- ----------- ------------------------------------------ -----------
TAX-FREE COMMERCIAL PAPER, CONTINUED:
<C> <S> <C>
Ohio, continued:
$ 2,400 Toledo, (Lucas County) Ohio Port
Authority, 3.65%, 7/15/96, LOC: Bank of
Nova Scotia............................. $ 2,400
1,000 Water Development Authority, 3.55%,
9/4/96.................................. 1,000
2,000 Water Development Authority, CEI Co.,
3.55%, 9/4/96........................... 2,000
-----------
Total Tax-Free Commercial Paper 11,300
-----------
ANTICIPATION NOTES (10.1%):
Ohio:
5,000 Brecksville, (Broadview Heights) City
School District, 3.90%, 1/17/97, BAN.... 5,009
<CAPTION>
PRINCIPAL SECURITY AMORTIZED
AMOUNT DESCRIPTION COST
- ----------- ------------------------------------------ -----------
<C> <S> <C>
ANTICIPATION NOTES, CONTINUED:
Ohio, continued:
$ 1,700 Cincinnati School District, TAN, 6.00%,
7/11/96 LOC: Fifth Third Bank........... $ 1,701
1,670 Summit County, BAN, Series B, 4.00%,
6/5/97.................................. 1,676
1,000 University of Cincinnati, General
Receipts, BAN, Series Aa, 3.89%,
3/20/97................................. 1,002
438 Warren County, 4.58%, 9/5/96, BAN......... 438
-----------
Total Anticipation Notes 9,826
-----------
Total (Cost--$96,754) (a) $ 96,754
-----------
-----------
</TABLE>
- ------------
Percentages indicated are based on net assets of $97,047.
<TABLE>
<C> <S>
(a) Cost for federal income tax and financial reporting purposes is the same.
</TABLE>
<TABLE>
<C> <S>
* Variable rate securities having liquidity sources through bank letters of credit or other credit and/or liquidity
agreements. The interest rate, which will change periodically, is based upon bank prime rates or an index of market
interest rates. The rate reflected on the Schedule of Portfolio Investments is the rate in effect at June 30, 1996.
</TABLE>
<TABLE>
<C> <S>
** Put and demand features exist allowing the Fund to require the repurchase of the instrument within variable time
periods including daily, weekly, monthly, or semiannually.
</TABLE>
<TABLE>
<S> <C>
AMT Alternative Minimum Tax Paper
BAN Bond Anticipation Notes
FGIC Insured by Financial Guaranty Insurance Corp.
GO General Obligation
LOC Letter of Credit
MBIA Insured by Municipal Bond Insurance Association
TAN Tax Anticipation Notes
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- ----18
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 1996
<TABLE>
<CAPTION>
(Amounts in Thousands,
except per share amounts)
<S> <C> <C> <C> <C>
U.S. TREASURY
SECURITIES MUNICIPAL OHIO MUNICIPAL
MONEY MARKET PRIME MONEY MONEY MARKET MONEY MARKET
FUND MARKET FUND FUND FUND
-------------- -------------- -------------- ---------------
ASSETS:
Investments, at amortized cost...................... $ 598,090 $ 2,256,452 $ 532,345 $ 96,754
Repurchase agreements, at cost...................... 1,359,888 248,841 -- --
-------------- -------------- -------------- -------
Total............................................... 1,957,978 2,505,293 532,345 96,754
Cash................................................ 1 -- -- 38
Interest receivable................................. 6,156 8,529 3,504 563
Receivable from brokers for investments sold........ -- -- 15,000 --
Receivable from advisor............................. 209 170 67 25
Deferred organization costs......................... -- -- -- 2
-------------- -------------- -------------- -------
TOTAL ASSETS........................................ 1,964,344 2,513,992 550,916 97,382
-------------- -------------- -------------- -------
LIABILITIES:
Cash overdraft...................................... -- -- 75 --
Dividends payable................................... 7,925 10,646 1,273 253
Payable to brokers for investments purchased........ -- -- 38,703 --
Accrued expenses and other payables:
Investment advisory fees........................ 562 745 150 26
Administration fees............................. 266 352 71 14
12b-1 fees (Class A)............................ 25 62 11 9
Other........................................... 112 251 106 33
-------------- -------------- -------------- -------
Total Liabilities................................... 8,890 12,056 40,389 335
-------------- -------------- -------------- -------
NET ASSETS:
Capital............................................. 1,955,445 2,501,956 510,658 97,098
Undistributed (distributions in excess of) net
investment income.................................. 43 7 (127) (51)
Accumulated undistributed net realized losses from
investment transactions............................ (34) (27) (4) --
-------------- -------------- -------------- -------
NET ASSETS.......................................... $ 1,955,454 $ 2,501,936 $ 510,527 $ 97,047
-------------- -------------- -------------- -------
-------------- -------------- -------------- -------
Net Assets
Fiduciary....................................... $ 1,844,590 $ 2,186,562 $ 459,807 $ 55,915
Class A......................................... 110,864 315,374 50,720 41,132
-------------- -------------- -------------- -------
Total............................................... $ 1,955,454 $ 2,501,936 $ 510,527 $ 97,047
-------------- -------------- -------------- -------
-------------- -------------- -------------- -------
Outstanding units of beneficial interest
Fiduciary....................................... 1,844,578 2,186,583 459,924 55,946
Class A......................................... 110,865 315,373 50,734 41,152
-------------- -------------- -------------- -------
Total............................................... 1,955,443 2,501,956 510,658 97,098
-------------- -------------- -------------- -------
-------------- -------------- -------------- -------
Net asset value--offering and redemption price per
share (Fiduciary and Class A shares)............... $ 1.00 $ 1.00 $ 1.00 $ 1.00
----- ----- ----- -----
----- ----- ----- -----
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
19----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
STATEMENTS OF OPERATIONS FOR THE YEAR ENDED JUNE 30, 1996
<TABLE>
<CAPTION>
(Amounts in Thousands)
<S> <C> <C> <C> <C>
U.S. TREASURY
SECURITIES OHIO MUNICIPAL
MONEY MARKET PRIME MONEY MUNICIPAL MONEY MONEY MARKET
FUND MARKET FUND MARKET FUND FUND
--------------- -------------- --------------- ---------------
INVESTMENT INCOME:
Interest income..................................... $ 87,131 $ 142,118 $ 21,285 $ 3,394
Dividend income..................................... -- -- 332 43
Income from securities lending...................... 88 6 -- --
------- -------------- ------- -------
Total Income........................................ 87,219 142,124 21,617 3,437
------- -------------- ------- -------
EXPENSES:
Investment advisory fees............................ 5,456 8,602 2,042 286
Administration fees................................. 2,600 4,102 974 159
12b-1 fees (Class A)................................ 356 965 225 160
Custodian and accounting fees....................... 131 145 80 25
Legal and audit fees................................ 189 262 138 35
Organization costs.................................. -- -- -- 1
Trustees' fees and expenses......................... 30 42 19 4
Transfer agent fees................................. 83 208 85 128
Registration and filing fees........................ 126 207 86 9
Printing costs...................................... 59 76 36 9
Other............................................... 96 41 33 7
------- -------------- ------- -------
Total expense before waivers/reimbursements......... 9,126 14,650 3,718 823
Less waivers/reimbursements......................... (2,265) (2,939) (1,135) (327)
------- -------------- ------- -------
NET EXPENSES........................................ 6,861 11,711 2,583 496
------- -------------- ------- -------
Net Investment Income............................... 80,358 130,413 19,034 2,941
------- -------------- ------- -------
REALIZED GAINS (LOSSES) FROM INVESTMENT
TRANSACTIONS:
Net realized gains (losses) from investment
transactions....................................... (9) 9 (4) --
------- -------------- ------- -------
Net increase in net assets resulting
from operations.................................... $ 80,349 $ 130,422 $ 19,030 $ 2,941
------- -------------- ------- -------
------- -------------- ------- -------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- ----20
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
(Amounts in Thousands)
<S> <C> <C> <C> <C> <C> <C> <C>
OHIO
U.S. TREASURY SECURITIES MUNICIPAL
PRIME MONEY MARKET FUND MUNICIPAL MONEY MARKET MONEY
MONEY MARKET FUND FUND MARKET FUND
------------------------ ------------------------ ------------------------ -----------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30,
1996 1995 1996 1995 1996 1995 1996
----------- ----------- ----------- ----------- ----------- ----------- -----------
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income.... $ 80,358 $ 59,506 $ 130,413 $ 103,272 $ 19,034 $ 16,629 $ 2,941
Net realized gains
(losses) from
investment
transactions........... (9) 14 9 -- (4) (126) --
----------- ----------- ----------- ----------- ----------- ----------- -----------
Change in net assets
resulting from
operations................. 80,349 59,520 130,422 103,272 19,030 16,503 2,941
----------- ----------- ----------- ----------- ----------- ----------- -----------
DISTRIBUTIONS TO FIDUCIARY
SHAREHOLDERS:
From net investment
income................. (75,330) (56,332) (116,410) (96,873) (17,075) (15,228) (1,588)
In excess of net
investment income...... -- -- -- -- -- (43) (22)
From net realized gains
from investment
transactions........... -- -- -- -- (4) -- --
DISTRIBUTIONS TO CLASS A
SHAREHOLDERS:
From net investment
income................. (5,012) (3,144) (13,976) (6,244) (1,947) (1,358) (1,353)
In excess of net
investment income...... -- (30) -- (142) -- -- (19)
DISTRIBUTIONS TO SERVICE
SHAREHOLDERS:
From net investment
income................. -- -- -- (13) -- -- --
----------- ----------- ----------- ----------- ----------- ----------- -----------
Change in net assets from
shareholder
distributions.............. (80,342) (59,506) (130,386) (103,272) (19,026) (16,629) (2,982)
----------- ----------- ----------- ----------- ----------- ----------- -----------
CAPITAL TRANSACTIONS:
Proceeds from shares
issued................. 4,000,794 3,158,947 5,382,651 4,749,069 1,409,174 1,502,281 337,815
Proceeds from shares
issued in connection
with acquisition....... 356,742 -- -- -- -- -- --
Dividends reinvested..... 4,792 4,531 14,099 13,261 1,889 2,064 1,337
Cost of shares
redeemed............... (3,683,695) (2,909,428) (5,062,234) (4,270,622) (1,394,801) (1,404,255) (329,660)
----------- ----------- ----------- ----------- ----------- ----------- -----------
Change in net assets from
share transactions......... 678,633 254,050 334,516 491,708 16,262 100,090 9,492
----------- ----------- ----------- ----------- ----------- ----------- -----------
Change in Net Assets......... 678,640 254,064 334,552 491,708 16,266 99,964 9,451
NET ASSETS:
Beginning of period...... 1,276,814 1,022,750 2,167,384 1,675,676 494,261 394,297 87,596
----------- ----------- ----------- ----------- ----------- ----------- -----------
End of period............ $1,955,454 $1,276,814 $2,501,936 $2,167,384 $ 510,527 $ 494,261 $ 97,047
----------- ----------- ----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- ----------- ----------- -----------
SHARE TRANSACTIONS:
Issued................... 4,000,794 3,158,947 5,382,651 4,749,069 1,409,174 1,502,281 337,815
Issued in connection with
acquisition............ 356,742 -- -- -- -- -- --
Reinvested............... 4,792 4,531 14,099 13,261 1,889 2,064 1,337
Redeemed................. (3,683,695) (2,909,428) (5,062,234) (4,270,622) (1,394,801) (1,404,255) (329,660)
----------- ----------- ----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- ----------- ----------- -----------
Change in shares............. 678,633 254,050 334,516 491,708 16,262 100,090 9,492
----------- ----------- ----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- ----------- ----------- -----------
Undistributed (distributions
in excess of) net
investment income included
in net assets:
End of Period............ $ 43 $ 27 $ 7 $ (20) $ (127) $ (139) $ (51)
----------- ----------- ----------- ----------- ----------- ----------- -----------
----------- ----------- ----------- ----------- ----------- ----------- -----------
<CAPTION>
<S> <C>
YEAR ENDED
JUNE 30,
1995
-----------
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income.... $ 2,785
Net realized gains
(losses) from
investment
transactions........... --
-----------
Change in net assets
resulting from
operations................. 2,785
-----------
DISTRIBUTIONS TO FIDUCIARY
SHAREHOLDERS:
From net investment
income................. (1,535)
In excess of net
investment income...... --
From net realized gains
from investment
transactions........... --
DISTRIBUTIONS TO CLASS A
SHAREHOLDERS:
From net investment
income................. (1,240)
In excess of net
investment income...... (10)
DISTRIBUTIONS TO SERVICE
SHAREHOLDERS:
From net investment
income................. --
-----------
Change in net assets from
shareholder
distributions.............. (2,785)
-----------
CAPITAL TRANSACTIONS:
Proceeds from shares
issued................. 376,500
Proceeds from shares
issued in connection
with acquisition....... --
Dividends reinvested..... 1,226
Cost of shares
redeemed............... (382,861)
-----------
Change in net assets from
share transactions......... (5,135)
-----------
Change in Net Assets......... (5,135)
NET ASSETS:
Beginning of period...... 92,731
-----------
End of period............ $ 87,596
-----------
-----------
SHARE TRANSACTIONS:
Issued................... 376,500
Issued in connection with
acquisition............ --
Reinvested............... 1,226
Redeemed................. (382,861)
-----------
-----------
Change in shares............. (5,135)
-----------
-----------
Undistributed (distributions
in excess of) net
investment income included
in net assets:
End of Period............ $ (10)
-----------
-----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
21----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS JUNE 30, 1996
1. ORGANIZATION:
The One Group (the "Trust") is registered under the Investment Company Act
of 1940, as amended (the "1940 Act"), as a diversified, open-end investment
company established as a Massachusetts business trust. The Trust is
registered to offer four classes of shares: Fiduciary, Class A, Class B, and
Service. The Trust currently consists of twenty-six active funds. The
accompanying financial statements and financial highlights are those of the
U.S. Treasury Securities Money Market Fund, the Prime Money Market Fund, the
Municipal Money Market Fund, and the Ohio Municipal Money Market Fund
(individually, a "Fund"; collectively, the "Funds") only.
The Trust entered into an Agreement and Plan of Reorganization (the
"Agreement") with the Paragon Portfolio ("Paragon"), a Massachusetts
business trust. Pursuant to the Agreement all of the assets and liabilities
of each Paragon Fund transferred to a fund of The One Group in exchange for
shares of the corresponding fund of The One Group. Results of operations,
changes in net assets and financial highlights for periods prior to the
Reorganization, March 25, 1996 are presented for funds of The One Group
only.
The Funds' investment objectives are as follows:
<TABLE>
<CAPTION>
FUND OBJECTIVE
- -------------------------------------------------------- ---------------------------------------------
<S> <C>
U.S. Treasury Securities Money Market Fund Current income with liquidity and stability
of principal.
Prime Money Market Fund Current income with liquidity and stability
of principal.
Municipal Money Market Fund As high a level of current interest income
exempt from Federal income taxes as is
consistent with the preservation of capital
and stability of principal.
Ohio Municipal Money Market Fund As high a level of current interest income
exempt from Federal income taxes and Ohio
personal income tax as is consistent with
the preservation of capital and stability of
principal.
</TABLE>
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies followed by
the Trust in the preparation of its financial statements. The policies are
in conformity with generally accepted accounting principles. The preparation
of financial statements requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities at
the date of the financial statements and the reported amounts of income and
expenses for the period. Actual results could differ from those estimates.
SECURITY VALUATION
Securities are valued utilizing the amortized cost method permitted in
accordance with Rule 2a-7 under the 1940 Act. Under the amortized cost
method, discount or premium is amortized on a constant basis to the
maturity of the security. In addition, the Funds may not (a) purchase any
instrument with a remaining maturity greater than thirteen months unless
such instrument is subject to a demand feature, or (b) maintain a
dollar-weighted average maturity which exceeds 90 days.
CONTINUED
- ----22
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1996
REPURCHASE AGREEMENTS
The Funds may invest in repurchase agreements with institutions that the
Fund's investment adviser has determined are creditworthy. Each repurchase
agreement is recorded at cost. The Fund requires that the securities
purchased in a repurchase transaction be transferred to the custodian in a
manner sufficient to enable the Fund to obtain those securities in the
event of a counterparty default. The seller, under the repurchase
agreement, is required to maintain the value of the securities held at not
less than the repurchase price, including accrued interest.
SECURITY TRANSACTIONS AND RELATED INCOME
Security transactions are accounted for on a trade date basis. Net realized
gains or losses on sales of securities are determined on the specific
identification cost method. Interest income and expenses are recognized on
the accrual basis. Interest income, including any discount or premium, is
accrued as earned using the effective interest method.
SECURITIES LENDING
To generate additional income, the Funds may lend up to 33% of securities
in which they are invested pursuant to agreements requiring that the loan
be continuously secured by cash, U.S. Government or U.S. Government Agency
securities, shares of an investment trust or mutual fund, or any
combination of cash and such securities as collateral equal at all times to
at least 100% of the market value plus accrued interest on the securities
lent. The Funds continue to earn interest on securities lent while
simultaneously seeking to earn interest on the investment of collateral.
Collateral is marked to market daily to provide a level of collateral at
least equal to the market value of securities lent. There may be risks of
delay in recovery of the securities or even loss of rights in the
collateral should the borrower of the securities fail financially. However,
loans will be made only to borrowers deemed by the Adviser to be of good
standing and creditworthy under guidelines established by the Board of
Trustees and when, in the judgment of the Adviser, the consideration which
can be earned currently from such securities loans justifies the attendant
risk. Loans are subject to termination by the Funds or the borrower at any
time, and are, therefore, not considered to be illiquid investments. As of
June 30, 1996, the following Funds had securities with the following market
values on loan (amounts in thousands):
<TABLE>
<CAPTION>
MARKET VALUE
OF LOANED
SECURITIES
--------------
<S> <C>
U.S. Treasury Securities Money Market Fund.......................................................... $ 479,865,232
</TABLE>
The loaned securities were fully collateralized by cash and U.S. Government
securities as of June 30, 1996.
EXPENSES
Expenses directly attributable to a Fund are charged directly to that Fund,
while the expenses which are attributable to more than one fund of the
Trust are allocated among the respective Funds. Each class of shares bears
its pro-rata portion of expenses attributable to its series, except that
each class separately bears expenses related specifically to that class,
such as distribution fees.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income are declared daily and paid monthly.
Net income for this purpose consists of interest accrued and discount
earned (including both original issue discount and market discount) less
amortization of any market premium and accrued expenses. Net realized
capital gains, if any, are
CONTINUED
23----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1996
distributed at least annually. Dividends are declared separately for each
class. No class has preferential dividend rights; differences in per share
dividend rates are generally due to differences in separate class expenses.
Net investment income and net capital gain distributions are determined in
accordance with income tax regulations which may differ from generally
accepted accounting principles. These differences are primarily due to
differing treatments of expiring capital loss carryforwards and deferrals
of certain losses.
ORGANIZATION COSTS
Costs incurred by the Trust in connection with its organization, including
the fees and expenses of registering and qualifying its shares for
distribution have been deferred and are being amortized using the
straight-line method over a period of five years beginning with the
commencement of each Fund's operations. All such costs have been allocated
among the funds of the Trust pro-rata, based on the relative net assets of
each fund. In the event that any of the initial shares are redeemed during
such period by any holder thereof, the related Fund will be reimbursed by
such holder for any unamortized organization costs in the proportion as the
number of initial shares being redeemed bears to the number of initial
shares outstanding at the time of redemption.
FEDERAL INCOME TAXES
Each Fund intends to continue to qualify as a regulated investment company
by complying with the provisions available to certain investment companies
as defined in applicable sections of the Internal Revenue Code, and to make
distributions of net investment income and net realized capital gains
sufficient to relieve it from all, or substantially all, federal income
taxes.
3. SHARES OF BENEFICIAL INTEREST:
The Trust has an unlimited number of shares of beneficial interest, with no
par value which may, without shareholder approval, be divided into an
unlimited number of series of such shares and any series may be classified
or reclassified into one or more classes. Currently, shares of the Trust are
registered to be offered through thirty-six series and four classes:
Fiduciary, Class A, Class B, and Service. During the year ended June 30,
1995, Service Shares transferred to Class A Shares. As of June 30, 1996
there were no shareholders in the Service Class. Shareholders are entitled
to one vote for each full share held and will vote in the aggregate and not
by class or series, except as otherwise expressly required by law or when
the Board of Trustees has determined that the matter to be voted on affects
only the interest of shareholders of a particular class or series. The
following is a summary of transactions in Fund shares for the years ended
June 30, 1996 and 1995:
CONTINUED
- ----24
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1996
(Amounts in Thousands)
<TABLE>
<CAPTION>
U.S. TREASURY SECURITIES
PRIME MONEY
MONEY MARKET FUND MARKET FUND
-------------------------- --------------------------
YEAR YEAR YEAR
YEAR ENDED JUNE ENDED JUNE ENDED JUNE
ENDED JUNE 30, 30, 30,
30, 1996 1995 1996 1995
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
FIDUCIARY SHARES:
Proceeds from shares issued.................................. $ 3,573,870 $ 2,783,997 $ 4,119,886 $ 3,951,914
Proceeds from shares issued in connection with acquisition... 333,798 -- -- --
Dividends reinvested......................................... 345 1,467 1,683 7,187
Cost of shares redeemed...................................... (3,241,505) (2,576,713) (3,900,430) (3,594,562)
------------ ------------ ------------ ------------
Change in net assets from Fiduciary Share transactions....... 666,508 $ 208,751 221,139 $ 364,539
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
CLASS A SHARES:
Proceeds from shares issued.................................. $ 426,924 $ 374,950 $ 1,262,765 $ 796,201
Proceeds from shares issued in connection with acquisition... 22,944 -- -- --
Dividends reinvested......................................... 4,447 3,064 12,416 6,061
Cost of shares redeemed...................................... (442,190) (332,715) (1,161,804) (675,053)
------------ ------------ ------------ ------------
Change in net assets from Class A Share transactions......... $ 12,125 $ 45,299 $ 113,377 $ 127,209
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
SERVICE SHARES:
Proceeds from shares issued.................................. 954
Dividends reinvested......................................... 13
Cost of shares redeemed...................................... (1,007)
------------
Change in net assets from Service Share transactions......... (40)
------------
------------
SHARE TRANSACTIONS:
FIDUCIARY SHARES:
Issued....................................................... 3,573,870 2,783,997 4,119,886 3,951,914
Issued in connection with acquisition........................ 333,798 -- -- --
Reinvested................................................... 345 1,467 1,683 7,187
Redeemed..................................................... (3,241,505) (2,576,713) (3,900,430) (3,594,562)
------------ ------------ ------------ ------------
Change in Fiduciary Shares................................... 666,508 208,751 221,139 364,539
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
CLASS A SHARES:
Issued....................................................... 426,924 374,950 1,262,765 796,201
Issued in connection with acquisition........................ 22,944 -- -- --
Reinvested................................................... 4,447 3,064 12,416 6,061
Redeemed..................................................... (442,190) (332,715) (1,161,804) (675,053)
------------ ------------ ------------ ------------
Change in Class A Shares..................................... 12,125 45,299 113,377 127,209
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
SERVICE SHARES:
Issued....................................................... 954
Reinvested................................................... 13
Redeemed..................................................... (1,007)
------------
Change in Service Shares..................................... (40)
------------
------------
</TABLE>
CONTINUED
25----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1996
(Amounts in Thousands)
<TABLE>
<CAPTION>
MUNICIPAL MONEY MARKET
OHIO MUNICIPAL MONEY
FUND MARKET FUND
-------------------------- ----------------------
YEAR YEAR YEAR
YEAR ENDED JUNE ENDED JUNE ENDED JUNE
ENDED JUNE 30, 30, 30,
30, 1996 1995 1996 1995
------------ ------------ ---------- ----------
<S> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
FIDUCIARY SHARES:
Proceeds from shares issued...................................... $ 1,109,221 $ 1,202,916 $ 165,403 $ 182,275
Dividends reinvested............................................. 114 738 62 41
Cost of shares redeemed.......................................... (1,087,267) (1,118,500) (161,325) (185,885)
------------ ------------ ---------- ----------
Change in net assets from Fiduciary share transactions........... $ 22,068 $ 85,154 $ 4,140 $ (3,569)
------------ ------------ ---------- ----------
------------ ------------ ---------- ----------
CLASS A SHARES:
Proceeds from shares issued...................................... $ 299,953 $ 299,365 $ 172,412 $ 194,225
Dividends reinvested............................................. 1,775 1,326 1,275 1,185
Cost of shares redeemed.......................................... (307,534) (285,755) (168,335) (196,976)
------------ ------------ ---------- ----------
Change in net assets from Class A share transactions............. $ (5,806) $ 14,936 $ 5,352 $ (1,566)
------------ ------------ ---------- ----------
------------ ------------ ---------- ----------
SHARE TRANSACTIONS:
FIDUCIARY SHARES:
Issued........................................................... 1,109,221 1,202,916 165,403 182,275
Reinvested....................................................... 114 738 62 41
Redeemed......................................................... (1,087,267) (1,118,500) (161,325) (185,885)
------------ ------------ ---------- ----------
Change in Fiduciary Shares....................................... 22,068 85,154 4,140 (3,569)
------------ ------------ ---------- ----------
------------ ------------ ---------- ----------
CLASS A SHARES:
Issued........................................................... 299,953 299,365 172,412 194,225
Reinvested....................................................... 1,775 1,326 1,275 1,185
Redeemed......................................................... (307,534) (285,755) (168,335) (196,976)
------------ ------------ ---------- ----------
Change in Class A Shares......................................... (5,806) 14,936 5,352 (1,566)
------------ ------------ ---------- ----------
------------ ------------ ---------- ----------
</TABLE>
4. INVESTMENT ADVISORY, ADMINISTRATIVE, AND DISTRIBUTION AGREEMENTS:
The Trust and Banc One Investment Advisors Corporation (the "Adviser"), are
parties to an investment advisory agreement under which the Adviser is
entitled to receive an annual fee, computed daily and paid monthly, equal to
0.35% of the average daily net assets of the U.S. Treasury Money Market
Fund, the Prime Money Market Fund and the Municipal Money Market Fund and
0.30% of the average daily net assets of the Ohio Municipal Money Market
Fund.
The Trust and The One Group Services Company (the "Administrator"), a
wholly-owned subsidiary of The BISYS Group, Inc., are parties to an
administration agreement under which the Administrator provides services for
a fee that is computed daily and payable monthly, at an annual rate of 0.20%
on each Fund's average daily net assets on the first $1.5 billion of Trust
net assets (excluding the Treasury Only Money Market Fund and the Government
Money Market Fund - the "Institutional Money Market Funds"); 0.18% on the
next $0.5 billion of Trust net assets (excluding the Institutional Money
Market Funds); and 0.16% on Trust net assets (excluding the Institutional
Money Market Funds) over $2 billion. The Adviser also serves as
Sub-Administrator to each fund of the Trust, pursuant to an agreement
between the Administrator and the Adviser. Pursuant to this agreement, the
Adviser performs many of the Administrator's duties, for which the Adviser
receives a fee paid by the Administrator. Prior to November 30, 1995, The
Shareholder Services Group d/b/a 440 Financial served
CONTINUED
- ----26
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1996
as administrator of each Fund under essentially the same terms as the current
administration agreement. Prior to March 26, 1996, Goldman Sachs Asset
Management served as administrator of Paragon. The terms of the current
administraton agreement are substantially the same as the former
administration agreement.
The Trust and The One Group Services Company (the "Distributor") are parties
to a distribution agreement under which shares of the Funds are sold on a
continuous basis. Class A Shares are subject to a distribution and
shareholder services plan (the "Plan") pursuant to Rule 12b-1 under the 1940
Act. As provided in the Plan, the Trust will pay the Distributor a fee of
0.35% of the average daily net assets of Class A Shares of each of the
Funds. The Distributor has voluntarily agreed to limit payments under the
Plan to 0.25% of average daily net assets of the Class A Shares of each
Fund. Up to 0.25% of the fees payable under the Plan may be used as
compensation of shareholder services by the Distributor and/or financial
institutions and intermediaries. Fees paid under the Plan may be applied by
the Distributor toward (i) compensation for its services in connection with
distribution assistance or provision of shareholder services; or (ii)
payments to financial institutions and intermediaries such as banks
(including affiliates of the Adviser), brokers, dealers and other
institutions, including the Distributor's affiliates and subsidiaries as
compensation for services or reimbursement of expenses incurred in
connection with distribution assistance or provision of shareholder
services. Fiduciary Class Shares of each Fund are offered without
distribution fees.
Prior to January 2, 1996, Premier Investment Advisors, L.L.C. ("Premier")
served as investment adviser and Goldman Sachs & Company served as
distributor to Paragon. Pursuant to the approval of the Board of Trustees of
Paragon on October 31, 1995 and its Shareholders on December 20, 1995,
Paragon entered into an investment advisory agreement with the Adviser and a
distribution agreement with the Distributor effective January 2, 1996. The
terms of the investment advisory agreements with Premier and with the
Adviser and the distribution agreements with Goldman Sachs & Company and the
Distributor were substantially the same. Certain officers of the Trust are
affiliated the Administrator. Such officers receive no compensation from the
Funds for serving in their respective roles.
The Adviser, Administrator and Distributor voluntarily agreed to waive a
portion of their fees and to reimburse the Funds for certain expenses. For
the year ended June 30, 1996, fees in the following amounts were waived or
reimbursed to the Funds (amounts in thousands):
<TABLE>
<CAPTION>
INVESTMENT
ADVISORY FEES ADMINISTRATION 12B-1 FEES
WAIVED/ FEES WAIVED/ WAIVED CLASS
REIMBURSED REIMBURSED A
--------------- ----------------- -------------
<S> <C> <C> <C>
U.S. Treasury Securities Money Market Fund.............................. $ 2,120 $ 43 $ 102
Prime Money Market Fund................................................. 2,663 -- 276
Municipal Money Market Fund............................................. 930 141 64
Ohio Municipal Money Market Fund........................................ 114 167 46
</TABLE>
5. CONCENTRATION OF CREDIT RISK:
The Ohio Municipal Money Market Fund invests primarily in debt obligations
issued by the State of Ohio and its political subdivisions, agencies and
public authorities to obtain funds for various public purposes. The Fund is
more susceptible to economic and political factors adversely affecting
issuers of Ohio's specific municipal securities than are municipal bond
funds that are not concentrated in these issuers to the same extent.
CONTINUED
27----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1996
6. FEDERAL TAX INFORMATION: (UNAUDITED)
The Funds had the following capital loss carryforwards which are available
to offset future gains, if any, at June 30, 1996 (amounts in thousands):
<TABLE>
<CAPTION>
U.S. TREASURY
SECURITIES MONEY PRIME MONEY MUNICIPAL MONEY
MARKET FUND MARKET FUND MARKET FUND
----------------- ----------------- -----------------
<S> <C> <C> <C>
Expiring in 2001........................................... $ -- $ 1 $ --
Expiring in 2002........................................... -- 26 --
Expiring in 2003........................................... 25 -- --
Expiring in 2004........................................... 9 -- 3
--- --- ---
$ 34 $ 27 $ 3
--- --- ---
--- --- ---
<CAPTION>
OHIO MUNICIPAL
MONEY
MARKET FUND
-----------------
<S> <C>
Expiring in 2001........................................... $ --
Expiring in 2002........................................... --
Expiring in 2003........................................... 1
Expiring in 2004........................................... --
---
$ 1
---
---
</TABLE>
CONTINUED
- ----28
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1996
Of the dividends paid from net investment income by the Municipal Money
Market Fund and the Ohio Municipal Money Market Fund for the year ended June
30, 1996, 100.0% constituted exempt interest dividends for regular federal
income tax purposes. The percentage break-down of exempt-interest income by
state of the Funds' taxable year ended June 30, 1996 is as follows:
<TABLE>
<CAPTION>
MUNICIPAL OHIO MUNICIPAL
MONEY MARKET FUND MONEY MARKET FUND
---------------------- ----------------------
<S> <C> <C>
Alabama..................................................................... 1.0% 0.1%
Alaska...................................................................... 0.7% 0.1%
Arizona..................................................................... 1.2% --
Arkansas.................................................................... 0.9% --
California.................................................................. 0.1% --
Colorado.................................................................... 4.8% --
Delaware.................................................................... 0.3% --
District of Columbia........................................................ 2.0% --
Florida..................................................................... 5.3% --
Georgia..................................................................... 2.6% --
Hawaii...................................................................... 1.0% --
Idaho....................................................................... 5.6% --
Illinois.................................................................... 10.5% --
Indiana..................................................................... 3.3% --
Iowa........................................................................ 0.1% --
Kentucky.................................................................... 1.4% --
Louisiana................................................................... 1.0% --
Massachusetts............................................................... 0.0% --
Michigan.................................................................... 6.8% 0.1%
Minnesota................................................................... 0.8% --
Missouri.................................................................... 0.4% --
Montana..................................................................... 0.6% --
Nevada...................................................................... 3.4% --
New Hampshire............................................................... 0.5% --
New Mexico.................................................................. 0.9% --
New York.................................................................... 2.3% 0.1%
North Carolina.............................................................. 1.8% --
North Dakota................................................................ 0.8% --
Ohio........................................................................ 5.3% 98.5%
Oregon...................................................................... 0.0% --
Pennsylvania................................................................ 1.1% --
Puerto Rico................................................................. 0.1% 0.6%
South Carolina.............................................................. 2.1% --
Tennessee................................................................... 2.0% --
Texas....................................................................... 20.4% --
Utah........................................................................ 1.0% 0.5%
Virginia.................................................................... 0.7% --
Washington.................................................................. 2.5% 0.1%
West Virginia............................................................... 1.9% --
Wisconsin................................................................... 2.3% --
Wyoming..................................................................... 0.5% --
----- -----
100.0% 100.0%
----- -----
----- -----
</TABLE>
CONTINUED
29----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1996
7. REORGANIZATION
The Trust entered an Agreement and Plan of Reorganization with Paragon
pursuant to which all of the assets and liabilities of each Paragon Fund
transferred to a fund of The One Group in exchange for shares of the
corresponding fund of The One Group. The Paragon Treasury Money Market Fund
transferred its assets and liabilities to the U.S. Treasury Securities Money
Market Fund. The reorganization, which qualified as a tax-free exchange for
federal income tax purposes, was completed at the close of business March
25, 1996 following approval by shareholders of the Paragon Portfolio at a
special shareholder meeting. The following is a summary of shares
outstanding, net assets and net asset value per share immediately before and
after the reorganization:
<TABLE>
<CAPTION>
BEFORE REORGANIZATION REORGANIZATION
------------------------------ ---------------
PARAGON U.S. TREASURY U.S. TREASURY
TREASURY SECURITIES SECURITIES
MONEY MARKET MONEY MARKET MONEY MARKET
FUND FUND FUND
-------------- -------------- ---------------
<S> <C> <C> <C>
Shares (000)......................................................... 356,742 1,735,489 2,092,231
Net Assets (000)..................................................... $ 356,742 $ 1,735,505 $ 2,092,247
Net Asset Value:
Fiduciary.......................................................... $ 1.00 $ 1.00
Class A............................................................ $ 1.00 $ 1.00 $ 1.00
</TABLE>
CONTINUED
- ----30
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
U.S. TREASURY SECURITIES MONEY MARKET FUND
---------------------------------------------------------
FIDUCIARY
---------------------------------------------------------
YEARS ENDED JUNE 30,
---------------------------------------------------------
1996 1995 1994 1993 1992
----------- ----------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD........................................... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
----------- ----------- --------- --------- ---------
Investment Activities
Net investment income........................................ 0.052 0.050 0.030 0.029 0.043
----------- ----------- --------- --------- ---------
Less: Distributions
Net investment income........................................ (0.052) (0.050) (0.030) (0.029) (0.043)
----------- ----------- --------- --------- ---------
NET ASSET VALUE,
END OF PERIOD................................................. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
----------- ----------- --------- --------- ---------
----------- ----------- --------- --------- ---------
Total Return................................................... 5.34% 5.07% 3.01% 2.89% 4.40%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)............................ $ 1,844,590 $ 1,178,091 $ 969,326 $ 492,862 $ 410,146
Ratio of expenses to average net assets...................... 0.42% 0.41% 0.40% 0.45% 0.55%
Ratio of net investment income to average net assets......... 5.17% 4.96% 3.02% 2.85% 4.25%
Ratio of expenses to average net assets*..................... 0.56% 0.59% 0.58% 0.67% 0.77%
Ratio of net investment income to average net assets*........ 5.03% 4.78% 2.84% 2.63% 4.04%
</TABLE>
- ----------
<TABLE>
<C> <S>
* During the period certain fees were voluntarily reduced. If such voluntary fee reductions had not
occurred, the ratios would have been as indicated.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
31----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
U.S. TREASURY SECURITIES MONEY MARKET FUND
-------------------------------------------------------
CLASS A
-------------------------------------------------------
YEARS ENDED JUNE 30,
-------------------------------------------------------
1996 1995 1994 1993 1992(a)
--------- --------- --------- --------- -----------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD.................................................. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
--------- --------- --------- --------- -----------
Investment Activities
Net investment income................................................ 0.050 0.047 0.027 0.026 0.012
--------- --------- --------- --------- -----------
Less: Distributions
Net investment income................................................ (0.050) (0.047) (0.027) (0.026) (0.012)
--------- --------- --------- --------- -----------
NET ASSET VALUE,
END OF PERIOD........................................................ $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
--------- --------- --------- --------- -----------
--------- --------- --------- --------- -----------
Total Return........................................................... 5.08% 4.81% 2.76% 2.63% 3.38%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000).................................... $ 110,864 $ 98,723 $ 53,423 $ 30,759 $ 6
Ratio of expenses to average net assets.............................. 0.67% 0.66% 0.63% 0.65% 0.59%(b)
Ratio of net investment income to average net assets................. 4.92% 4.71% 2.81% 2.52% 2.51%(b)
Ratio of expenses to average net assets*............................. 0.91% 0.94% 0.87% 1.02% 0.71%(b)
Ratio of net investment income to average net assets*................ 4.68% 4.43% 2.57% 2.15% 2.39%(b)
</TABLE>
- ---------
<TABLE>
<C> <S>
* During the period certain fees were voluntarily reduced. If such voluntary fee reductions had not
occurred, the ratios would have been as indicated.
</TABLE>
<TABLE>
<C> <S>
(a) Class A shares commenced offering on February 18, 1992.
</TABLE>
<TABLE>
<C> <S>
(b) Annualized.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- ----32
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
PRIME MONEY MARKET FUND
-----------------------------------------------------------
FIDUCIARY
-----------------------------------------------------------
YEARS ENDED JUNE 30,
-----------------------------------------------------------
1996 1995 1994 1993 1992
----------- ----------- ----------- --------- ---------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD........................................ $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
----------- ----------- ----------- --------- ---------
Investment Activities
Net investment income...................................... 0.054 0.052 0.031 0.030 0.045
----------- ----------- ----------- --------- ---------
Less: Distributions
Net investment income...................................... (0.054) (0.052) (0.031) (0.030) (0.045)
----------- ----------- ----------- --------- ---------
NET ASSET VALUE,
END OF PERIOD.............................................. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
----------- ----------- ----------- --------- ---------
----------- ----------- ----------- --------- ---------
Total Return................................................. 5.49% 5.34% 3.19% 3.09% 4.64%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000).......................... $ 2,186,562 $ 1,965,416 $ 1,600,876 $ 979,275 $ 946,504
Ratio of expenses to average net assets.................... 0.44% 0.41% 0.40% 0.44% 0.59%
Ratio of net investment income to average net assets....... 5.34% 5.27% 3.18% 3.05% 4.49%
Ratio of expenses to average net assets*................... 0.55% 0.57% 0.59% 0.62% 0.76%
Ratio of net investment income to average net assets*...... 5.23% 5.12% 2.99% 2.87% 4.32%
</TABLE>
- ---------
<TABLE>
<C> <S>
* During the period certain fees were voluntarily reduced. If such voluntary fee reductions had not
occurred, the ratios would have been as indicated.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
33----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
PRIME MONEY MARKET FUND
-------------------------------------------------------
CLASS A
-------------------------------------------------------
YEARS ENDED JUNE 30,
-------------------------------------------------------
1996 1995 1994 1993 1992(a)
--------- --------- --------- --------- -----------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD................................................. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
--------- --------- --------- --------- -----------
Investment Activities
Net investment income............................................... 0.051 0.050 0.027 0.030 0.013
--------- --------- --------- --------- -----------
Less: Distributions
Net investment income............................................... (0.051) (0.050) (0.027) (0.030) (0.013)
--------- --------- --------- --------- -----------
NET ASSET VALUE,
END OF PERIOD....................................................... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
--------- --------- --------- --------- -----------
--------- --------- --------- --------- -----------
Total Return.......................................................... 5.22% 5.08% 2.93% 2.83% 3.51%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................................... $ 315,374 $ 201,968 $ 74,759 $ 61,106 $ 511
Ratio of expenses to average net assets............................. 0.69% 0.67% 0.65% 0.65% 0.79%(b)
Ratio of net investment income to average net assets................ 5.09% 5.02% 2.92% 2.67% 3.40%(b)
Ratio of expenses to average net assets*............................ 0.90% 0.92% 0.90% 0.99% 0.94%(b)
Ratio of net investment income to average net assets*............... 4.88% 4.77% 2.67% 2.33% 3.25%(b)
</TABLE>
- ---------
<TABLE>
<C> <S>
* During the period certain fees were voluntarily reduced. If such voluntary fee reductions had not
occurred, the ratios would have been as indicated.
</TABLE>
<TABLE>
<C> <S>
(a) Class A shares commenced offering on February 18, 1992.
</TABLE>
<TABLE>
<C> <S>
(b) Annualized.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- ----34
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
PRIME MONEY MARKET
FUND
--------------------
SERVICE RETIREMENT
(a)
--------------------
YEARS ENDED JUNE 30,
--------------------
1995 1994
--------- ---------
<S> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD.................................................................................. $ 1.000 $ 1.000
--------- ---------
Investment Activities
Net investment income................................................................................ 0.041 0.008
--------- ---------
Less: Distributions
Net investment income................................................................................ (0.041) (0.008)
--------- ---------
NET ASSET VALUE,
END OF PERIOD........................................................................................ $ 1.000 $ 1.000
--------- ---------
--------- ---------
Total Return........................................................................................... (a) 0.79%(c)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000).................................................................... $ $ 40
Ratio of expenses to average net assets.............................................................. 1.42 (b) 1.18%(b)
Ratio of net investment income to average net assets................................................. 4.52 (b) 3.03%(b)
Ratio of expenses to average net assets*............................................................. 1.60 (b) 1.36%(b)
Ratio of net investment income to average net assets*................................................ 5.23 (b) 2.85%(b)
</TABLE>
- ---------
<TABLE>
<C> <S>
* During the period certain fees were voluntarily reduced. If such voluntary fee reductions had not
occurred, the ratios would have been as indicated.
</TABLE>
<TABLE>
<C> <S>
(a) The Service Shares commenced offering on January 17, 1994 when they designated as "Retirement" Shares. On
April 4, 1995 the name of the Retirement Shares was changed to "Service" Shares. As of June 1, 1995,
Service Shares transferred to Class A Shares. As of June 30, 1995, there were no shareholders in the
Service Class. Total return for the period from July 1, 1994 to June 1, 1995 for the Service Shares was
4.11%
</TABLE>
<TABLE>
<C> <S>
(b) Annualized.
</TABLE>
<TABLE>
<C> <S>
(c) Not annualized.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
35----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MUNICIPAL MONEY MARKET FUND
-----------------------------------------------------
FIDUCIARY
-----------------------------------------------------
YEARS ENDED JUNE 30,
-----------------------------------------------------
1996 1995 1994 1993 1992
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD.............................................. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
--------- --------- --------- --------- ---------
Investment Activities
Net investment income........................................... 0.033 0.032 0.021 0.021 0.034
--------- --------- --------- --------- ---------
Less: Distributions
Net investment income........................................... (0.033) (0.032) (0.021) (0.021) (0.034)
--------- --------- --------- --------- ---------
NET ASSET VALUE,
END OF PERIOD.................................................... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
--------- --------- --------- --------- ---------
--------- --------- --------- --------- ---------
Total Return...................................................... 3.34% 3.28% 2.16% 2.15% 3.47%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)............................... $ 459,807 $ 437,743 $ 352,702 $ 175,277 $ 170,961
Ratio of expenses to average net assets......................... 0.41% 0.41% 0.40% 0.46% 0.43%
Ratio of net investment income to average net assets............ 3.29% 3.26% 2.13% 2.12% 3.41%
Ratio of expenses to average net assets*........................ 0.59% 0.59% 0.60% 0.66% 0.80%
Ratio of net investment income to average net assets*........... 3.11% 3.08% 1.93% 1.92% 3.04%
</TABLE>
- ----------
<TABLE>
<S> <S>
* During the period certain fees were voluntarily reduced. If such voluntary fee reductions had not
occurred, the ratios would have been as indicated.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- ----36
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MUNICIPAL MONEY MARKET FUND
-------------------------------------------------------
CLASS A
-------------------------------------------------------
YEARS ENDED JUNE 30,
-------------------------------------------------------
1996 1995 1994 1993 1992 (a)
--------- --------- --------- --------- -----------
<S> <S>
NET ASSET VALUE,
BEGINNING OF PERIOD........................................... $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
--------- --------- --------- --------- -----------
Investment Activities
Net investment income......................................... 0.030 0.030 0.021 0.019 0.009
--------- --------- --------- --------- -----------
Less: Distributions
Net investment income......................................... (0.030) (0.030) (0.021) (0.019) (0.009)
--------- --------- --------- --------- -----------
NET ASSET VALUE,
END OF PERIOD................................................. $ 1.000 $ 1.000 $ 1.000 $ 1.000 $ 1.000
--------- --------- --------- --------- -----------
--------- --------- --------- --------- -----------
Total Return.................................................... 3.08% 3.02% 1.96% 1.89% 2.48%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)............................. $ 50,720 $ 56,518 $ 41,595 $ 18,932 $ 122
Ratio of expenses to average net assets....................... 0.66% 0.66% 0.65% 0.66% 0.84%(b)
Ratio of net investment income to average net assets.......... 3.04% 3.01% 1.92% 1.82% 2.44%(b)
Ratio of expenses to average net assets*...................... 0.94% 0.94% 0.91% 1.01% 0.99%(b)
Ratio of net investment income to average net assets*......... 2.76% 2.73% 1.66% 1.47% 2.29%(b)
</TABLE>
- ----------
<TABLE>
<C> <S>
* During the period certain fees were voluntarily reduced. If such voluntary fee reductions had not
occurred, the ratios would have been as indicated.
</TABLE>
<TABLE>
<C> <S>
(a) Class A shares commenced offering on February 18, 1992.
</TABLE>
<TABLE>
<C> <S>
(b) Annualized.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
37----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
OHIO MUNICIPAL MONEY MARKET FUND
--------------------------------------------
FIDUCIARY
--------------------------------------------
JUNE 9,
YEARS ENDED JUNE 30, 1993 TO
------------------------------- JUNE 30,
1996 1995 1994 1993 (a)
--------- --------- --------- -----------
<S> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD............................................................ $ 1.000 $ 1.000 $ 1.000 $ 1.000
--------- --------- --------- -----------
Investment Activities
Net investment income.......................................................... 0.033 0.032 0.022 0.013
--------- --------- --------- -----------
Less: Distributions
Net investment income.......................................................... (0.032) (0.032) (0.022) (0.013)
In excess of net investment income............................................. (0.001) -- -- --
--------- --------- --------- -----------
Total Distributions.......................................................... (0.033) (0.032) (0.022) (0.013)
--------- --------- --------- -----------
NET ASSET VALUE,
END OF PERIOD.................................................................. $ 1.000 $ 1.000 $ 1.000 $ 1.000
--------- --------- --------- -----------
--------- --------- --------- -----------
Total Return..................................................................... 3.34% 3.20% 2.25% 2.14%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000).............................................. $ 55,915 $ 51,806 $ 55,375 $ 3,500
Ratio of expenses to average net assets........................................ 0.41% 0.41% 0.34% 0.08%(b)
Ratio of net investment income to average net assets........................... 3.19% 3.13% 2.29% 2.07%(b)
Ratio of expenses to average net assets*....................................... 0.71% 0.60% 0.57% 0.51%(b)
Ratio of net investment income to average net assets*.......................... 2.89% 2.94% 2.06% 1.64%(b)
</TABLE>
- ----------
<TABLE>
<C> <S>
* During the period certain fees were voluntarily reduced. If such voluntary fee reductions had not
occurred, the ratios would have been as indicated.
</TABLE>
<TABLE>
<C> <S>
(a) Period from commencement of operations.
</TABLE>
<TABLE>
<C> <S>
(b) Annualized.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- ----38
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
OHIO MUNICIPAL MONEY MARKET FUND
--------------------------------------------------
CLASS A
--------------------------------------------------
YEARS ENDED JUNE 30, JANUARY 26, 1993
------------------------------- TO JUNE 30, 1993
1996 1995 1994 (a)
--------- --------- --------- -----------------
<S> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD.................................................... $ 1.000 $ 1.000 $ 1.000 $ 1.000
--------- --------- --------- -------
Investment Activities
Net investment income.................................................. 0.030 0.029 0.021 0.009
--------- --------- --------- -------
Less: Distributions
Net investment income.................................................. (0.029) (0.029) (0.021) (0.009)
In excess of net investment income..................................... (0.001) -- -- --
--------- --------- --------- -------
Total Distributions.................................................. (0.030) (0.029) (0.021) (0.009)
--------- --------- --------- -------
NET ASSET VALUE,
END OF PERIOD.......................................................... $ 1.000 $ 1.000 $ 1.000 $ 1.000
--------- --------- --------- -------
--------- --------- --------- -------
Total Return............................................................. 3.08% 2.98% 2.09% 2.34%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)...................................... $ 41,132 $ 35,790 $ 37,356 $ 25,125
Ratio of expenses to average net assets................................ 0.66% 0.63% 0.44% 0.26%(b)
Ratio of net investment income to average net assets................... 2.94% 2.91% 2.05% 2.03%(b)
Ratio of expenses to average net assets*............................... 1.06% 0.95% 0.94% 0.92%(b)
Ratio of net investment income to average net assets*.................. 2.54% 2.59% 1.55% 1.37%(b)
</TABLE>
- ----------
<TABLE>
<C> <S>
* During the period certain fees were voluntarily reduced. If such voluntary fee reductions had not
occurred, the ratios would have been as indicated.
</TABLE>
<TABLE>
<C> <S>
(a) Period from commencement of operations.
</TABLE>
<TABLE>
<C> <S>
(b) Annualized.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
39----
<PAGE>
- --------------------------------------------------------------------------------
Report of Independent Accountants
- -------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1996
To the Shareholders and Board of Trustees of
The One Group Family of Mutual Funds:
We have audited the accompanying statements of assets and liabilities of the
U.S. Treasury Securities Money Market Fund, the Prime Money Market Fund, the
Municipal Money Market Fund and the Ohio Municipal Money Market Fund (four
series of The One Group Family of Mutual Funds), including the schedules of
portfolio investments, as of June 30, 1996, and the related statements of
operations, statements of changes in net assets and the financial highlights for
each period presented. These financial statements and financial highlights are
the responsibility of The One Group Family of Mutual Funds' management. Our
responsibility is to express an opinion on these financial statements and the
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of June
30, 1996 by correspondence with the custodian and brokers. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
U.S. Treasury Securities Money Market Fund, the Prime Money Market Fund, the
Municipal Money Market Fund and the Ohio Municipal Money Market Fund as of June
30, 1996, the results of their operations, the changes in their net assets and
the financial highlights for each period presented, in conformity with generally
accepted accounting principles.
Columbus, Ohio Coopers & Lybrand L.L.P.
August 19, 1996
- ----40
<PAGE>
IMPORTANT CUSTOMER INFORMATION. PLEASE READ:
SHARES OF THE ONE GROUP:
- - ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED BY BANC ONE CORPORATION OR
ANY OF ITS AFFILIATES,
- - ARE NOT INSURED OR GUARANTEED BY THE FDIC OR BY ANY OTHER GOVERNMENTAL AGENCY
OR GOVERNMENT SPONSORED AGENCY OF THE FEDERAL GOVERNMENT OR ANY STATE,
- - ARE SUBJECT TO INVESTMENT RISKS, INCLUDING POSSIBLE LOSS OF THE PRINCIPAL
AMOUNT INVESTED.
BANC ONE INVESTMENT ADVISORS CORPORATION, A REGISTERED INVESTMENT ADVISOR AND AN
INDIRECT SUBSIDIARY OF BANC ONE CORPORATION, SERVES AS AN INVESTMENT ADVISOR TO
THE ONE GROUP, FOR WHICH IT RECEIVES ADVISORY FEES. THE ONE GROUP IS DISTRIBUTED
BY THE ONE GROUP SERVICES COMPANY, 3435 STELZER ROAD, COLUMBUS, OHIO 43219,
WHICH IS NOT AFFILIATED WITH BANC ONE CORPORATION AND IS NOT A BANK.
FOR MORE COMPLETE INFORMATION ON ANY OF THE ONE GROUP FUNDS, INCLUDING
MANAGEMENT FEES AND EXPENSES, YOU MAY OBTAIN A PROSPECTUS FROM THE ONE GROUP
SERVICES COMPANY BY CALLING 1-800-480-4111. READ THE PROSPECTUS CAREFULLY BEFORE
INVESTING.
THE COMPOSITION OF EACH FUND'S HOLDINGS IS SUBJECT TO CHANGE.
THIS MATERIAL MUST BE ACCOMPANIED OR PRECEDED BY A PROSPECTUS.
THE PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE AND IS NOT AN INDICATION
OF FUTURE RESULTS. AN INVESTMENT IN THE MONEY MARKET FUNDS IS NEITHER INSURED
NOR GUARANTEED BY THE U.S. GOVERNMENT. YIELDS WILL FLUCTUATE AND THERE CAN BE NO
ASSURANCE THAT THE FUNDS WILL BE ABLE TO MAINTAIN A STABLE NAV OF $1.00 PER
SHARE.
FOR MORE DETAILS ON THE ONE GROUP, VISIT OUR WEB SITE AT
HTTP://WWW.ONEGROUP.COM.
TOG-F-034-AN (8-96) [LOGO]
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<PAGE>
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<PERIOD-START> JUL-01-1995
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<TOTAL-LIABILITIES> 8890
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<OVERDISTRIBUTION-GAINS> 34
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<NET-ASSETS> 1955454
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<INTEREST-INCOME> 87131
<OTHER-INCOME> 88
<EXPENSES-NET> 6861
<NET-INVESTMENT-INCOME> 80358
<REALIZED-GAINS-CURRENT> (9)
<APPREC-INCREASE-CURRENT> 0
<NET-CHANGE-FROM-OPS> 80349
<EQUALIZATION> 0
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<NUMBER-OF-SHARES-REDEEMED> 3241505<F1>
<SHARES-REINVESTED> 345<F1>
<NET-CHANGE-IN-ASSETS> 678640
<ACCUMULATED-NII-PRIOR> 27
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 25
<GROSS-ADVISORY-FEES> 5456
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 9126
<AVERAGE-NET-ASSETS> 1456507<F1>
<PER-SHARE-NAV-BEGIN> 1.000<F1>
<PER-SHARE-NII> .052<F1>
<PER-SHARE-GAIN-APPREC> .000<F1>
<PER-SHARE-DIVIDEND> .052<F1>
<PER-SHARE-DISTRIBUTIONS> .000<F1>
<RETURNS-OF-CAPITAL> .000<F1>
<PER-SHARE-NAV-END> 1.000<F1>
<EXPENSE-RATIO> .420<F1>
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
<FN>
<F1>Fiduciary Shares
</FN>
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000763852
<NAME> THE ONE GROUP FAMILY OF MUTUAL FUNDS
<SERIES>
<NUMBER> 022
<NAME> THE ONE GROUP U.S. TREASURY SECURITIES MONEY MARKET FUND
<MULTIPLIER> 1,000
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> JUN-30-1996
<PERIOD-START> JUL-01-1995
<PERIOD-END> JUN-30-1996
<INVESTMENTS-AT-COST> 1957978
<INVESTMENTS-AT-VALUE> 1957978
<RECEIVABLES> 6365
<ASSETS-OTHER> 1
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 1964344
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<OTHER-ITEMS-LIABILITIES> 8890
<TOTAL-LIABILITIES> 8890
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 1955445
<SHARES-COMMON-STOCK> 110864<F1>
<SHARES-COMMON-PRIOR> 98723<F1>
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<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 34
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<NET-ASSETS> 1955454
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 87131
<OTHER-INCOME> 88
<EXPENSES-NET> 6861
<NET-INVESTMENT-INCOME> 80358
<REALIZED-GAINS-CURRENT> (9)
<APPREC-INCREASE-CURRENT> 0
<NET-CHANGE-FROM-OPS> 80349
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 5012<F1>
<DISTRIBUTIONS-OF-GAINS> 0<F1>
<DISTRIBUTIONS-OTHER> 0<F1>
<NUMBER-OF-SHARES-SOLD> 449868<F1>
<NUMBER-OF-SHARES-REDEEMED> 442190<F1>
<SHARES-REINVESTED> 4447<F1>
<NET-CHANGE-IN-ASSETS> 678640
<ACCUMULATED-NII-PRIOR> 27
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 25
<GROSS-ADVISORY-FEES> 5456
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 9126
<AVERAGE-NET-ASSETS> 101654<F1>
<PER-SHARE-NAV-BEGIN> 1.000<F1>
<PER-SHARE-NII> .050<F1>
<PER-SHARE-GAIN-APPREC> .000<F1>
<PER-SHARE-DIVIDEND> .000<F1>
<PER-SHARE-DISTRIBUTIONS> .050<F1>
<RETURNS-OF-CAPITAL> .000<F1>
<PER-SHARE-NAV-END> 1.000<F1>
<EXPENSE-RATIO> .670<F1>
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
<FN>
<F1>Class A Shares
</FN>
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000763852
<NAME> THE ONE GROUP FAMILY OF MUTUAL FUNDS
<SERIES>
<NUMBER> 011
<NAME> THE ONE GROUP PRIME MONEY MARKET FUND
<MULTIPLIER> 1,000
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> JUN-30-1996
<PERIOD-START> JUL-01-1995
<PERIOD-END> JUN-30-1996
<INVESTMENTS-AT-COST> 2505293
<INVESTMENTS-AT-VALUE> 2505293
<RECEIVABLES> 8699
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<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 2513992
<PAYABLE-FOR-SECURITIES> 0
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 12056
<TOTAL-LIABILITIES> 12056
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 2501956
<SHARES-COMMON-STOCK> 2186583<F1>
<SHARES-COMMON-PRIOR> 1965444<F1>
<ACCUMULATED-NII-CURRENT> 7
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<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 27
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<INTEREST-INCOME> 142118
<OTHER-INCOME> 6
<EXPENSES-NET> 11711
<NET-INVESTMENT-INCOME> 130413
<REALIZED-GAINS-CURRENT> 9
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<NET-CHANGE-FROM-OPS> 130422
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 116410<F1>
<DISTRIBUTIONS-OF-GAINS> 0<F1>
<DISTRIBUTIONS-OTHER> 0<F1>
<NUMBER-OF-SHARES-SOLD> 4119886<F1>
<NUMBER-OF-SHARES-REDEEMED> 3900430<F1>
<SHARES-REINVESTED> 1683<F1>
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<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 20
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<GROSS-EXPENSE> 14650
<AVERAGE-NET-ASSETS> 2180912<F1>
<PER-SHARE-NAV-BEGIN> 1.000<F1>
<PER-SHARE-NII> .054<F1>
<PER-SHARE-GAIN-APPREC> .000<F1>
<PER-SHARE-DIVIDEND> .054<F1>
<PER-SHARE-DISTRIBUTIONS> .000<F1>
<RETURNS-OF-CAPITAL> .000<F1>
<PER-SHARE-NAV-END> 1.000<F1>
<EXPENSE-RATIO> .440<F1>
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
<FN>
<F1>Fiduciary Shares
</FN>
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000763852
<NAME> THE ONE GROUP FAMILY OF MUTUAL FUNDS
<SERIES>
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<MULTIPLIER> 1,000
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> JUN-30-1996
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<SHARES-COMMON-PRIOR> 201996<F1>
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<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 27
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<INTEREST-INCOME> 142118
<OTHER-INCOME> 6
<EXPENSES-NET> 11711
<NET-INVESTMENT-INCOME> 130413
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<APPREC-INCREASE-CURRENT> 0
<NET-CHANGE-FROM-OPS> 130422
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 13976<F1>
<DISTRIBUTIONS-OF-GAINS> 0<F1>
<DISTRIBUTIONS-OTHER> 0<F1>
<NUMBER-OF-SHARES-SOLD> 1262765<F1>
<NUMBER-OF-SHARES-REDEEMED> 1161804<F1>
<SHARES-REINVESTED> 12416<F1>
<NET-CHANGE-IN-ASSETS> 334552
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 20
<OVERDIST-NET-GAINS-PRIOR> 36
<GROSS-ADVISORY-FEES> 8602
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 14650
<AVERAGE-NET-ASSETS> 275794<F1>
<PER-SHARE-NAV-BEGIN> 1.000<F1>
<PER-SHARE-NII> .051<F1>
<PER-SHARE-GAIN-APPREC> .000<F1>
<PER-SHARE-DIVIDEND> .051<F1>
<PER-SHARE-DISTRIBUTIONS> .000<F1>
<RETURNS-OF-CAPITAL> .000<F1>
<PER-SHARE-NAV-END> 1.000<F1>
<EXPENSE-RATIO> .690<F1>
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
<FN>
<F1>Class A Shares
</FN>
</TABLE>
<TABLE> <S> <C>
<PAGE>
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<CIK> 0000763852
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<SERIES>
<NUMBER> 031
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<MULTIPLIER> 1,000
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> JUN-30-1996
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<TOTAL-LIABILITIES> 1686
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 510658
<SHARES-COMMON-STOCK> 459924<F1>
<SHARES-COMMON-PRIOR> 437856<F1>
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 127
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 4
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 510527
<DIVIDEND-INCOME> 332
<INTEREST-INCOME> 21285
<OTHER-INCOME> 0
<EXPENSES-NET> 2583
<NET-INVESTMENT-INCOME> 19034
<REALIZED-GAINS-CURRENT> (4)
<APPREC-INCREASE-CURRENT> 0
<NET-CHANGE-FROM-OPS> 19030
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 17075<F1>
<DISTRIBUTIONS-OF-GAINS> 4<F1>
<DISTRIBUTIONS-OTHER> 0<F1>
<NUMBER-OF-SHARES-SOLD> 1109221<F1>
<NUMBER-OF-SHARES-REDEEMED> 1087267<F1>
<SHARES-REINVESTED> 114<F1>
<NET-CHANGE-IN-ASSETS> 16266
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 4
<OVERDISTRIB-NII-PRIOR> 139
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 2042
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 3718
<AVERAGE-NET-ASSETS> 518909<F1>
<PER-SHARE-NAV-BEGIN> 1.000<F1>
<PER-SHARE-NII> .033<F1>
<PER-SHARE-GAIN-APPREC> .000<F1>
<PER-SHARE-DIVIDEND> .033<F1>
<PER-SHARE-DISTRIBUTIONS> .000<F1>
<RETURNS-OF-CAPITAL> .000<F1>
<PER-SHARE-NAV-END> 1.000<F1>
<EXPENSE-RATIO> .410<F1>
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
<FN>
<F1>Fiduciary Shares
</FN>
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000763852
<NAME> THE ONE GROUP FAMILY OF MUTUAL FUNDS
<SERIES>
<NUMBER> 032
<NAME> THE ONE GROUP MUNICIPAL MONEY MARKET FUND
<MULTIPLIER> 1,000
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> JUN-30-1996
<PERIOD-START> JUL-01-1995
<PERIOD-END> JUN-30-1996
<INVESTMENTS-AT-COST> 532345
<INVESTMENTS-AT-VALUE> 532345
<RECEIVABLES> 18571
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 550916
<PAYABLE-FOR-SECURITIES> 38703
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 0
<TOTAL-LIABILITIES> 1686
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 510658
<SHARES-COMMON-STOCK> 50734<F1>
<SHARES-COMMON-PRIOR> 56540<F1>
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 127
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<OVERDISTRIBUTION-GAINS> 4
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 510527
<DIVIDEND-INCOME> 332
<INTEREST-INCOME> 21285
<OTHER-INCOME> 0
<EXPENSES-NET> 2583
<NET-INVESTMENT-INCOME> 19034
<REALIZED-GAINS-CURRENT> (4)
<APPREC-INCREASE-CURRENT> 0
<NET-CHANGE-FROM-OPS> 19030
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 19047<F1>
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<DISTRIBUTIONS-OTHER> 0<F1>
<NUMBER-OF-SHARES-SOLD> 299953<F1>
<NUMBER-OF-SHARES-REDEEMED> 307534<F1>
<SHARES-REINVESTED> 1775<F1>
<NET-CHANGE-IN-ASSETS> 16266
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 4
<OVERDISTRIB-NII-PRIOR> 139
<OVERDIST-NET-GAINS-PRIOR> 0
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<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 3718
<AVERAGE-NET-ASSETS> 64201<F1>
<PER-SHARE-NAV-BEGIN> 1.000<F1>
<PER-SHARE-NII> .030<F1>
<PER-SHARE-GAIN-APPREC> .000<F1>
<PER-SHARE-DIVIDEND> .030<F1>
<PER-SHARE-DISTRIBUTIONS> .000<F1>
<RETURNS-OF-CAPITAL> .000<F1>
<PER-SHARE-NAV-END> 1.000<F1>
<EXPENSE-RATIO> .660<F1>
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
<FN>
<F1>Class A Shares
</FN>
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000763852
<NAME> THE ONE GROUP FAMILY OF MUTUAL FUNDS
<SERIES>
<NUMBER> 211
<NAME> THE ONE GROUP OHIO MUNICIPAL MONEY MARKET FUND
<MULTIPLIER> 1,000
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> JUN-30-1996
<PERIOD-START> JUL-01-1995
<PERIOD-END> JUN-30-1996
<INVESTMENTS-AT-COST> 96754
<INVESTMENTS-AT-VALUE> 96754
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<TOTAL-ASSETS> 97382
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<SENIOR-LONG-TERM-DEBT> 0
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<TOTAL-LIABILITIES> 335
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 97098
<SHARES-COMMON-STOCK> 55946<F1>
<SHARES-COMMON-PRIOR> 51806<F1>
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 51
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<NET-INVESTMENT-INCOME> 2941
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<NET-CHANGE-FROM-OPS> 2941
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<NUMBER-OF-SHARES-SOLD> 165403<F1>
<NUMBER-OF-SHARES-REDEEMED> 161325<F1>
<SHARES-REINVESTED> 62<F1>
<NET-CHANGE-IN-ASSETS> 9451
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 10
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 286
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 823
<AVERAGE-NET-ASSETS> 49562<F1>
<PER-SHARE-NAV-BEGIN> 1.000<F1>
<PER-SHARE-NII> .033<F1>
<PER-SHARE-GAIN-APPREC> .000<F1>
<PER-SHARE-DIVIDEND> .033<F1>
<PER-SHARE-DISTRIBUTIONS> .000<F1>
<RETURNS-OF-CAPITAL> .000<F1>
<PER-SHARE-NAV-END> 1.000<F1>
<EXPENSE-RATIO> .410<F1>
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
<FN>
<F1>Fiduciary Shares
</FN>
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000763852
<NAME> THE ONE GROUP FAMILY OF MUTUAL FUNDS
<SERIES>
<NUMBER> 212
<NAME> THE ONE GROUP OHIO MUNICIPAL MONEY MARKET FUND
<MULTIPLIER> 1,000
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> JUN-30-1996
<PERIOD-START> JUL-01-1995
<PERIOD-END> JUN-30-1996
<INVESTMENTS-AT-COST> 96754
<INVESTMENTS-AT-VALUE> 96754
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<PAYABLE-FOR-SECURITIES> 0
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<TOTAL-LIABILITIES> 335
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 97098
<SHARES-COMMON-STOCK> 41152<F1>
<SHARES-COMMON-PRIOR> 35800<F1>
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 51
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 0
<ACCUM-APPREC-OR-DEPREC> 0
<NET-ASSETS> 97047
<DIVIDEND-INCOME> 43
<INTEREST-INCOME> 3394
<OTHER-INCOME> 0
<EXPENSES-NET> 496
<NET-INVESTMENT-INCOME> 2941
<REALIZED-GAINS-CURRENT> 0
<APPREC-INCREASE-CURRENT> 0
<NET-CHANGE-FROM-OPS> 2941
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 1372<F1>
<DISTRIBUTIONS-OF-GAINS> 0<F1>
<DISTRIBUTIONS-OTHER> 0<F1>
<NUMBER-OF-SHARES-SOLD> 172412<F1>
<NUMBER-OF-SHARES-REDEEMED> 168335<F1>
<SHARES-REINVESTED> 1275<F1>
<NET-CHANGE-IN-ASSETS> 9451
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 10
<OVERDIST-NET-GAINS-PRIOR> 0
<GROSS-ADVISORY-FEES> 286
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 823
<AVERAGE-NET-ASSETS> 45783<F1>
<PER-SHARE-NAV-BEGIN> 1.000<F1>
<PER-SHARE-NII> .030<F1>
<PER-SHARE-GAIN-APPREC> .000<F1>
<PER-SHARE-DIVIDEND> .030<F1>
<PER-SHARE-DISTRIBUTIONS> .000<F1>
<RETURNS-OF-CAPITAL> .000<F1>
<PER-SHARE-NAV-END> 1.000<F1>
<EXPENSE-RATIO> .660<F1>
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
<FN>
<F1>Class A Shares
</FN>
</TABLE>
