<PAGE>
THE ONE GROUP-REGISTERED TRADEMARK-
FAMILY OF MUTUAL FUNDS
-------------------------------------------------------
BOND FUNDS ANNUAL REPORT
FOR THE YEAR ENDED JUNE 30, 1996
GOVERNMENT ARM FUND
LIMITED VOLATILITY BOND FUND
INTERMEDIATE BOND FUND
GOVERNMENT BOND FUND
INCOME BOND 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.............................................................. 6
Schedules of Portfolio Investments........................................................ 16
Statements of Assets and Liabilities...................................................... 28
Statements of Operations.................................................................. 29
Statements of Changes in Net Assets....................................................... 30
Notes to Financial Statements............................................................. 32
Financial Highlights...................................................................... 43
Report of Independent Accountants......................................................... 61
</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 our 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 our 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
[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>
(This page has been left blank intentionally.)
5 ----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Government ARM Fund
Portfolio Performance Review
- -------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1996
THE ONE GROUP GOVERNMENT ARM FUND
The Fiduciary share class of The One Group Government ARM Fund had a total
return of 5.71% for the one-year period ended June 30, 1996. (For information on
other share classes and performance comparisons to indexes, please see page 7.)
The 30-day SEC yield on the Fund's Fiduciary share class was 5.61% on June 30,
1996, compared to 6.23% on June 30, 1995. This decline in yield is the result of
the lagging coupon reset feature of adjustable rate mortgages. Because of the
decline in interest rates in the fall and winter of 1995-96, coupons on some of
our ARMs have been resetting at lower rates, thereby reducing some of the Fund's
income flow. In addition, the better valuation of seasoned-fully index ARMs has
the effect of reducing portfolio yields. Finally, we expect the Fund's yield to
move upward soon, as it catches up to the higher interest rate environment and
cash flows are reinvested.
The Fund's return was achieved by investing in relatively high-quality,
high-yielding, short-duration ARMs--such as seasoned and fully indexed ARMs that
reset off of the one-year Constant Maturity Treasury (CMT) and CD ARMs, which,
together, comprised 70% of the portfolio's holdings--and to the Fund's less-
than-20% exposure to GNMA ARMs, which have higher durations and greater rate-cap
risk.
The Fund's relative performance was improving significantly during the fiscal
year, until interest rates began to rise and interest rate volatility increased.
The Fund's 15% exposure to GNMA ARMs, given their more restrictive rate caps,
was negatively affected by the rapid increase in interest rates. Even though the
yield on these securities is higher, their longer duration caused them to
underperform.
At the beginning of the fiscal year, the Fund's duration was approximately
one-third of a year. It was this extremely short duration that allowed the Fund
to perform well in 1994, when rates were rising, and caused the Fund's
performance to lag during the first three quarters of 1995, when rates were
falling. (In periods of falling interest rates, funds with higher durations
typically experience greater price appreciation. When interest rates increase,
funds with shorter durations usually experience less price volatility.) On
October 1, 1995, Banc One Investment Advisors assumed the management
responsibilities for the Fund (Goldman, Sachs & Co. had been the Fund's
sub-advisor). At that time, we decided to extend the Fund's duration somewhat,
moving it closer to one year and more in line with its peers.
In August 1996 the Fund's name will change to The One Group Ultra Short-Term
Income Fund. In addition, shareholders approved a new investment objective that
will allow us to diversify the Fund's holdings into higher-yielding and
low-duration fixed-income securities. This change is designed to help reduce
some of the risks associated with investing only in ARM securities. The target
duration of the Fund will not change, and it will continue to strive for a high
level of current income consistent with low principal volatility.
Currently, our outlook is for steady to moderate economic growth, which should
lead to a period of stable interest rates. However, in the very short term,
interest rate volatility may rise as the Federal Reserve decides whether a
tighter money supply is necessary in order to maintain stable growth and low
inflation. In addition, the November election may add volatility to the market
as issues relating to the budget deficit are debated.
In the short term, the increased volatility in interest rates may put pressure
on ARM values. We think that this environment will offer an opportunity to
further accumulate quality securities. As volatility subsides and interest rates
stabilize, the Fund's returns should benefit from the portfolio's high yields
and improved ARM valuations.
[SIG]
Michael J. Sais, CFA
FUND MANAGER
[SIG]
Gary J. Madich, CFA
SENIOR MANAGING DIRECTOR OF FIXED-INCOME SECURITIES
- ----6
<PAGE>
- --------------------------------------------------------------------------------
The One Group Government ARM Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1996
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
VALUE OF $10,000 INVESTMENT
<S> <C> <C> <C>
Fiduciary Lehman ARM Lipper ARM Index
2/2/93 $10,000 $10,000 $10,000
6/30/93 $10,201 $10,325 $10,182
6/30/94 $10,421 $10,403 $10,239
6/30/95 $10,957 $11,277 $10,550
6/30/96 $11,583 $11,740 $11,013
Average Annual Total Return
as of 6/30/96
Since
1 Year Inception
(2/2/93)
Fiduciary 5.71% 4.41%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
VALUE OF $10,000 INVESTMENT
<S> <C> <C> <C> <C>
Class A Class A* Lehman ARM Lipper ARM Index
3/10/93 $10,000 $9,700 $10,000 $10,000
6/30/93 $10,146 $9,842 $10,235 $10,134
6/30/94 $10,344 $10,034 $10,313 $10,190
6/30/95 $10,845 $10,519 $11,178 $10,500
6/30/96 $11,432 $11,089 $11,740 $10,961
Average Annual Total Return
as of 6/30/96
Since
1 Year Inception
(3/10/93)
Class A 5.42% 4.13%
Class A* 2.30% 3.17%
*Reflects 3.00% sales charge
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
VALUE OF $10,000 INVESTMENT
<S> <C> <C> <C> <C>
Class B Class B** Lehman ARM Lipper ARM Index
1/14/94 $10,000 $9,700 $10,000 $10,000
6/30/94 $9,991 $9,695 $9,917 $9,947
6/30/95 $10,468 $10,172 $10,749 $10,249
6/30/96 $10,953 $10,758 $11,300 $10,699
Average Annual Total Return
as of 6/30/96
Since
1 Year Inception
(1/14/94)
Class B 4.63% 3.77%
Class B** 1.66% 3.01%
**Reflects Applicable Contingent Deferred Sales Charge
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
The performance of the Government ARM Fund is measured against the Lehman
Brothers 1 to 3 Year Government Index comprised of US government and agency
securities with maturities of one to three years. Investors are unable to
purchase the Index directly, although they can invest in the underlying
securities. The performance of the Index does not reflect the deduction of
expenses associated with a mutual fund, such as investment management. By
contrast, the performance of the Fund reflects the deduction of these
value-added services as well as the deduction of sales charges on Class A Shares
and applicable contingent deferred sales charges on Class B Shares.
The Lipper ARM Index consists of the equally weighted average monthly return of
the largest funds within the universe of all funds in the category.
7 ----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Limited Volatility Bond Fund
Portfolio Performance Review
- -------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1996
THE ONE GROUP LIMITED VOLATILITY BOND FUND
The One Group Limited Volatility Bond Fund Fiduciary share class posted a total
return of 5.13% for the year ended June 30, 1996. (For information on other
share classes and performance comparisons to indexes, please see page 9.)
Interest rates fell during the first half of the fiscal year, as they reacted to
slowing economic growth and the U.S. Congress's efforts to pass a balanced
budget amendment. In addition, a bit of speculative activity influenced the
market as hedge fund managers attempted to take advantage of low borrowing rates
in Japan to invest in U.S. bonds.
However, interest rates made an about-face during the second half of the period
as the economy regained steam, balanced budget negotiations failed and the hedge
fund managers were forced to unwind their aggressive cross-border trades. The
30-day SEC yield on the Fund's Fiduciary share class increased along with
interest rates, rising from 5.97% on June 30, 1995, to 6.17% on June 30, 1996.
The rise in interest rates also had an impact on the Fund's share price, or net
asset value (NAV), which fell modestly over the past year. (As interest rates
increase, bond prices decrease, and vice versa.) Fortunately, though, the Fund's
defensive posture prevented a large NAV decline. In addition, the decline was
offset by the Fund's good dividend rate. Total return, which consists of both
the change in NAV and the dividends, was positive during the period, but it was
below longer-term levels.
Most of the Fund's performance can be attributed to its strategy of using
higher-yielding investments, including U.S. agency-backed mortgages, and
higher-grade asset-backed and corporate securities.
We lowered the Fund's duration to below-normal levels for most of the period, as
lower interest rates and increased speculative activity in the second half of
1995 raised the market's risk level. As interest rates moved to more attractive
levels in comparison to inflation, we returned the Fund's duration to a more
normal posture of 2.48 years at the end of the year.
To help increase and stabilize the level of dividend income during periods of
interest-rate volatility, the Fund holds a small portion of its investments in
U.S. Treasury securities and U.S. agency-backed 15-year mortgages. However,
these intermediate-duration investments fell more in price than the Fund's
shorter-maturity investments as interest rates rose. (In periods of falling
interest rates, securities with higher durations typically experience greater
price appreciation. When interest rates increase, securities with shorter
durations usually experience less price volatility.)
The Fund's average quality improved somewhat during the period, as we increased
the portfolio's weighting in U.S. agency-backed mortgage securities and
decreased positions in investment-grade corporate bonds and asset-backed
securities. We also reduced portfolio holdings in U.S. Treasury issues and
increased the number of U.S. agency bonds. The agency mortgages and agency bonds
have an Aaa-equivalent quality rating. On June 30, 1996, 47% of the Fund was
invested in U.S. Treasury and agency securities, 11% in U.S. agency mortgage
securities, 13% in corporate securities, 10% in asset-backed securities and 18%
in U.S. government money market securities.*
Our forecast suggests that economic growth will slow toward a more sustainable
pace during the second half of 1996. While the forecast also suggests that
inflation may rise modestly, such an increase should remain mild overall. The
probability that the Federal Reserve will raise interest rates before the end of
the calendar year is growing. Initially, such a move might lead to a decline in
the Fund's NAV. Over the course of a year, though, higher interest rates should
translate to higher yields for the Fund, which would offset any decline in NAV
and increase the dividends paid to shareholders.
[SIG]
James A. Sexton, CFA
FUND MANAGER
[SIG]
Gary J. Madich, CFA
SENIOR MANAGING DIRECTOR OF FIXED-INCOME SECURITIES
- ----------
* PORTFOLIO'S COMPOSITION IS SUBJECT TO CHANGE.
- ----8
<PAGE>
- --------------------------------------------------------------------------------
The One Group Limited Volatility Bond Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1996
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
VALUE OF $10,000 INVESTMENT
<S> <C> <C> <C>
Lehman Brothers Lipper Short
1-3 year US Government
Fiduciary Government Index Fund Index
9/4/90 $10,000 $10,000 $10,000
6/30/91 $10,799 $10,768 $10,774
6/30/92 $12,068 $11,881 $11,801
6/30/93 $13,066 $12,658 $12,591
6/30/94 $13,170 $12,850 $12,744
6/30/95 $14,218 $13,836 $13,686
6/30/96 $14,947 $14,593 $14,395
Average Annual Total Return
as of 6/30/96
Since
1 Year 5 Year Inception
(9/4/90)
Fiduciary 5.13% 6.72% 7.14%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
VALUE OF $10,000 INVESTMENT
<S> <C> <C> <C> <C>
Lehman Brothers Lipper Short
1-3 Year US Government
Class A Class A* Government Index Fund Index
2/18/92 $10,000 $9,698 $10,000 $10,000
6/30/92 $10,356 $10,045 $10,294 $10,299
6/30/93 $11,188 $10,853 $10,967 $10,988
6/30/94 $11,243 $10,906 $11,134 $11,123
6/30/95 $12,105 $11,742 $11,988 $11,944
6/30/96 $12,694 $12,314 $12,644 $12,564
Average Annual Total Return
as of 6/30/96
Since
1 Year Inception
(2/18/92)
Class A 4.86% 5.61%
Class A* 1.67% 4.88%
*Reflects 3.00% sales charge
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
VALUE OF $10,000 INVESTMENT
<S> <C> <C> <C> <C>
Lehman Brothers Lipper Short
1-3 Year US Government
Class B Class B** Government Index Fund Index
1/14/94 $10,000 $9,700 $10,000 $10,000
6/30/94 $9,819 $9,529 $9,951 $9,942
6/30/95 $10,524 $10,229 $10,715 $10,677
6/30/96 $10,974 $10,779 $11,301 $11,230
Average Annual Total Return
as of 6/30/96
Since
1 Year Inception
(1/14/94)
Class B 4.28% 3.85%
Class B** 1.31% 3.10%
**Reflects Applicable Contingent Deferred Sales Charge
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
The performance of the Limited Volatility Bond Fund is measured against the
Lehman Brothers 1 to 3 Year Government Index comprised of US government and
agency securities with maturities of one to three years. Investors are unable to
purchase the Index directly, although they can invest in the underlying
securities. The performance of the Index does not reflect the deduction of
expenses associated with a mutual fund, such as investment management. By
contrast, the performance of the Fund reflects the deduction of these
value-added services as well as the deduction of sales charges on Class A Shares
and applicable contingent deferred sales charges on Class B Shares.
The Lipper Short US Government Bond Fund Index consists of the equally weighted
average monthly return of the largest funds within the universe of all funds in
the category.
9 ----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Intermediate Bond Fund
Portfolio Performance Review
- -------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1996
THE ONE GROUP INTERMEDIATE BOND FUND
For the year ended June 30, 1996, The One Group Intermediate Bond Fund Fiduciary
share class posted a total return of 4.95%. (For information on other share
classes and performance comparisons to indexes, please see page 11.)
Interest rates fell during the first half of the fiscal year, as they reacted to
slowing economic growth and the U.S. Congress's efforts to pass a balanced
budget amendment. In addition, a bit of speculative activity influenced the
market as hedge fund managers attempted to take advantage of low borrowing rates
in Japan to invest in U.S. bonds.
However, interest rates made an about-face during the second half of the period
as the economy regained steam, balanced budget negotiations failed and the hedge
fund managers were forced to unwind their aggressive cross-border trades. As a
result, the 30-day SEC yield on the Fund's Fiduciary share class increased from
6.40% on June 30, 1995, to 6.55% on June 30, 1996. The Fund's yields did not
rise to the full extent of the changes in U.S. Treasury yields, however, due to
the defensive posturing of the Fund.
The rise in interest rates also had an impact on the Fund's share price, or net
asset value (NAV), which fell modestly over the past year. (As interest rates
increase, bond prices decrease, and vice versa.) However, this decline was
offset by the Fund's good dividend rate. Total return, which consists of both
the change in NAV and the dividends, was positive during the period, but it was
below longer-term levels.
Two primary factors contributed to the Fund's one-year return: 1) The Fund was
in a defensive posture from December 1995 through June 1996--the period during
which interest rates increased; and 2) The Fund had a sizable portion of its
investments in U.S. agency mortgage-backed securities, which offered relatively
high yields.
We employed two primary investment strategies during the past 12 months.
Foremost, we emphasized higher-yielding government and investment-grade
corporate bonds. These securities produce a better level of income and avoid the
higher rate of default risk associated with lower-grade bonds. In addition, we
kept the Fund's duration and average maturity at lower-than-normal levels during
most of the period of rising interest rates. We lowered the Fund's duration for
most of the period, as lower interest rates and increased speculative activity
by certain hedge fund managers during the first half of the fiscal year raised
the level of risk in the market. However, we returned the Fund's duration to its
normal position (4.1 years) during May and June, as interest rates returned to
more attractive levels compared to inflation.
To help stabilize the level of dividend income as interest rates change, the
Fund holds a small portion of its investments in longer-term U.S. Treasury
bonds. Long-maturity bonds such as these experienced sharper price declines as
interest rates were rising.
The Fund's average quality did not change much during the period. We modestly
increased the portfolio's exposure to high-quality U.S. agency-backed mortgage
securities, AAA-rated corporate bonds and asset-backed securities. At the same
time, we decreased the portfolio's weighting in U.S. Treasury securities and
other corporate bonds.*
Our forecast suggests that economic growth will slow toward a more sustainable
pace during the remainder of 1996. The forecast also suggests that inflation may
rise modestly, but that such an increase should be mild overall. If these two
events occur as anticipated, the economy should not have a material impact on
the Fund. Instead, Fund performance will be determined primarily by the level of
dividend income generated.
The one-year outlook for intermediate maturity government and investment-grade
bonds is good. Higher yields provide a better cushion against our anticipated
up-tick in inflation. This suggests that the recent downward trend in NAV will
abate. Moreover, higher yields gradually should result in higher dividend
payouts to shareholders. Together, a high dividend and a more stable NAV would
produce a much better overall rate of return.
[SIG]
James A. Sexton, CFA
FUND MANAGER
[SIG]
Gary J. Madich, CFA
SENIOR MANAGING DIRECTOR OF FIXED-INCOME SECURITIES
- ----------
* THE PORTFOLIO'S COMPOSITION IS SUBJECT TO CHANGE.
- ----10
<PAGE>
- --------------------------------------------------------------------------------
The One Group Intermediate Bond Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1996
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
VALUE OF $10,000 INVESTMENT
<S> <C> <C> <C>
Lipper
Lehman Intermediate
Intermediate US Government
Fiduciary Govt. Corp. Bond Fund Index
2/28/92 $10,000 $10,000 $10,000
6/30/92 $10,300 $10,355 $10,339
6/30/93 $11,400 $11,442 $11,392
6/30/94 $11,315 $11,413 $11,197
6/30/95 $12,463 $12,597 $12,298
6/30/96 $13,080 $13,228 $12,825
Average Annual Total Return
as of 6/30/96
Since
1 Year Inception
(2/28/92)
Fiduciary 4.95% 6.38%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
VALUE OF $10,000 INVESTMENT
<S> <C> <C> <C> <C>
Lipper
Lehman Intermediate
Intermediate US Government
Class A Class A* Govt. Corp. Bond Fund Index
11/30/94 $10,000 $9,550 $10,000 $10,000
6/30/95 $11,029 $10,533 $10,999 $10,955
6/30/96 $11,556 $11,036 $11,550 $11,424
Average Annual Total Return
as of 6/30/96
Since
1 Year Inception
(11/30/94)
Class A 4.77% 9.56%
Class A* 0.90% 6.42%
*Reflects 4.50% sales charge
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
VALUE OF $10,000 INVESTMENT
<S> <C> <C> <C> <C>
Lipper
Lehman Intermediate
Intermediate US Government
Class B Class B** Govt. Corp. Bond Fund Index
11/30/94 $10,000 $9,550 $10,000 $10,000
6/30/95 $10,845 $10,345 $10,999 $10,955
6/30/96 $11,290 $10,890 $11,550 $11,424
Average Annual Total Return
as of 6/30/96
Since
1 Year Inception
(11/30/94)
Class B 4.10% 7.95%
Class B** 0.17% 5.52%
**Reflects Applicable Contingent Deferred Sales Charge
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
The performance of the Intermediate Bond Fund is measured against the Lehman
Intermediate Government/Corporate Bond Index, an unmanaged index comprised of US
government agency and Treasury securities and investment grade corporate bonds.
Investors are unable to purchase the index directly, although they can invest in
the underlying securities. The performance of the Index does not reflect the
deduction of expenses associated with a mutual fund, such as investment
management. By contrast, the performance of the Fund reflects the deduction of
sales charges on Class A Shares and applicable contingent deferred sales charges
on Class B Shares.
The Lipper Intermediate US Government Bond Fund Index consists of the equally
weighted average monthly return of the largest funds within the universe of all
funds in the category.
11----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Government Bond Fund
Portfolio Performance Review
- -------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1996
THE ONE GROUP GOVERNMENT BOND FUND
The One Group Government Bond Fund Fiduciary share class posted a total return
of 3.81% for the one-year period ended June 30, 1996. (For information on other
share classes and performance comparisons to indexes, please see page 13.)
The Fund generally invests in three types of bonds: U.S. Treasuries, U.S.
government agency securities and agency-issued mortgage-backed instruments. Each
of these sectors followed the same pattern over the last fiscal year--they
provided strong returns during the first half of the period and negative returns
during the second half. The negative returns reflected the shift in bond market
sentiment as the economy picked up strength in 1996. In addition, the failure of
the budget deficit reduction negotiations in January contributed to the bond
market decline.
The Fund achieved its one-year return by maintaining a blend of Treasury and
mortgage-backed securities in proportions similar to the Fund's custom internal
guidelines. The decision to avoid corporate securities proved valuable during
the second half of the fiscal year, when corporate bonds declined at a greater
rate than Treasuries and mortgage-backed issues.
In addition, rising return volatility was magnified by the fact that Treasuries
and mortgage-backed securities have followed the same return pattern. Overall
performance in 1995 for both types of securities was the best in the last nine
years, and both experienced an exceptional 1995 fourth quarter. Performance
during the first quarter of 1996 was the second-worst quarter for both since
1987. This represents unusual volatility for the bond market and made for a
difficult fiscal year.
The Fund's Fiduciary share class 30-day SEC yield increased slightly from June
30, 1995, when it was 6.23%, to June 30, 1996, when it was 6.46%. In September
1995 we began the process of restructuring the portfolio to emphasize yield. We
accomplished this by increasing the Fund's exposure to mortgage-backed
securities. In addition, the boost in yield can be attributed to a general
increase in yields among securities with maturities of eight years--the average
maturity for the Fund.
The Fund's duration moved from 4.6 years on June 30, 1995, to 4.9 years on June
30, 1996. Duration on mortgage-backed securities shifts with interest rate
movements--it shortens in a falling rate environment and extends in a rising
rate environment because of the option of the underlying mortgagees to prepay
and refinance at lower rates. In general, interest rates over the last 12 months
moved upward, which lengthened the duration of this largest segment of the
Fund's portfolio.
As we look toward the next fiscal year, we will continue to emphasize yield.
Above-average economic growth will continue to put pressure on interest rates,
and a yield-emphasis strategy should help to insulate the Fund's performance in
this environment. Eventually, higher interest rates should cause the economy to
slow down, allowing for some decline in rates and a corresponding bond market
rally. The Fund's neutral policy with regard to target duration should allow us
to capture most of this while avoiding inordinate declines in the interim.
[SIG]
Thomas E. Donne, CFA
FUND MANAGER
[SIG]
Gary J. Madich, CFA
SENIOR MANAGING DIRECTOR OF FIXED-INCOME SECURITIES
- ----12
<PAGE>
- --------------------------------------------------------------------------------
The One Group Government Bond Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1996
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
VALUE OF $10,000 INVESTMENT
<S> <C> <C> <C>
Lipper
Salomon 3-7 yr. US Government
Fiduciary Treas/Govt. Bond Index
2/8/93 $10,000 $10,000 $10,000
6/30/93 $10,351 $10,275 $10,442
6/30/94 $10,068 $10,174 $10,122
6/30/95 $11,281 $11,274 $11,193
6/30/96 $11,710 $11,789 $11,610
Average Annual Total Return
as of 6/30/96
Since
1 Year Inception
(2/08/93)
Fiduciary 3.81% 4.76%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
VALUE OF $10,000 INVESTMENT
<S> <C> <C> <C> <C>
Salomon Lipper
3-7 yr. US Government
Class A No Load Class A* Load Treas/Govt. Bond Index
3/5/93 $10,000 $9,550 $10,000 $10,000
6/30/93 $10,171 $9,713 $10,237 $10,289
6/30/94 $9,849 $9,406 $10,136 $9,973
6/30/95 $11,015 $10,519 $11,232 $11,028
6/30/96 $11,410 $10,896 $11,745 $11,440
Average Annual Total Return
as of 6/30/96
Since
1 Year Inception
(3/5/93)
Class A 3.58% 4.05%
Class A* -1.06% 2.62%
*Reflects 4.50% sales charge
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
VALUE OF $10,000 INVESTMENT
<S> <C> <C> <C> <C>
Salomon Lipper
3-7 yr. US Government
Class B Class B** Treas/Govt. Bond Index
1/14/94 $10,000 $9,600 $10,000 $10,000
6/30/94 $9,501 $9,129 $9,560 $9,498
6/30/95 $10,566 $10,175 $10,594 $10,503
6/30/96 $10,877 $10,592 $11,078 $10,895
Average Annual Total Return
as of 6/30/96
Since
1 Year Inception
(1/14/94)
Class B 2.95% 3.48%
Class B** -0.95% 2.36%
**Reflects Applicable Contingent Deferred Sales Charge
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
The performance of the Government Bond Fund is measured against the Salomon
Brothers 3 to 7 Year Treasury Index, an unmanaged index comprised of US
Government agency and Treasury securities and agency mortgage-backed securities.
Investors are unable to purchase the index directly, although they can invest in
the underlying securities. The performance of the Index does not reflect the
deduction of expenses associated with a mutual fund, such as investment
management. By contrast, the performance of the Fund reflects the deduction of
these value-added services as well as the deduction of the sales charges on
Class A Shares and applicable contingent deferred sales charges on Class B
Shares.
The Lipper US Government Bond Fund Index consists of the equally weighted
average monthly return of the largest funds within the universe of all funds in
the category.
13----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Income Bond Fund
Portfolio Performance Review
- -------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1996
THE ONE GROUP INCOME BOND FUND
The One Group Income Bond Fund Fiduciary share class showed a total return of
4.62% for the one-year period ended June 30, 1996. (For information on other
share classes and performance comparisons to indexes, please see page 15.)
The 30-day SEC yield on the Fund's Fiduciary share class was 6.91% on June 30,
1996, slightly higher than one year earlier, when it was 6.52%. This slight
increase was a reflection of the general increase in interest rates during the
second half of the fiscal year.
During the first half of the fiscal year (July 1, 1995, to December 31, 1995),
the Fund benefited from a strong bond market rally. The Fund's duration during
this period was 4.8 years, slightly higher than a neutral duration posture. In
periods of falling interest rates, as was the case during the last six months of
1995, funds with longer durations typically experience greater price
appreciation.
Interest rates began an upswing early in 1996. We were somewhat reluctant to
lower the Fund's duration because of our aversion to reducing the Fund's yield,
particularly since the yield curve was very steep. Within the last two months of
the fiscal year, though, we brought the duration down to a neutral posture.
Despite the market climate and the Fund's duration posture, the Fund continued
to offer above-average performance during this period.
In addition to managing duration, we also kept the Fund fully invested during
the fiscal year and maintained an above-average concentration in corporate
bonds. A year ago, 61% of the portfolio was invested in corporate bonds, and 39%
was invested in Treasury and U.S. government agency securities. On June 30,
1996, 70% of the portfolio was invested in corporate bonds, while the remaining
30% was invested in Treasury and U.S. government agency securities.*
This tactic proved successful, as the Fund's corporate bonds contributed to its
good one-year performance. Corporate bonds typically offer greater yields than
government securities. In addition, corporate bond spreads (or differences in
yields between shorter- and longer-term securities) generally tightened during
the period, providing some insulation from adverse interest rate moves during
the second half of the fiscal year.
Our policy of investing in investment-grade, or high and medium-quality,
corporate bonds with intermediate-term maturities helped the Fund's total return
throughout the fiscal year. These securities typically avoid wide price swings
and offer fairly even cash flow distribution, regardless of the market climate.
The Fund's investments maintained an average quality rating between AA- and A+
during the one-year period.
Looking ahead, we believe that the overall climate for corporate bonds should
remain positive. We expect corporate earnings to remain good for at least the
next six months. Corporate bond spreads may not narrow dramatically, but they
should at least maintain their current levels or even decline slightly.
[SIG]
Roger A. Craig
FUND MANAGER
[SIG]
Gary J. Madich, CFA
SENIOR MANAGING DIRECTOR OF FIXED INCOME SECURITIES
- ---------
* THE PORTFOLIO'S COMPOSITION IS SUBJECT TO CHANGE.
- ----14
<PAGE>
- --------------------------------------------------------------------------------
The One Group Income Bond Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1996
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
VALUE OF $10,000 INVESTMENT
<S> <C> <C> <C>
Lipper
Intermediate
Lehman Investment Grade
Fiduciary Aggregate Fund Index
7/2/87 $10,000 $10,000 $10,000
6/30/88 $10,406 $10,813 $10,672
6/30/89 $11,168 $12,132 $11,746
6/30/90 $11,882 $13,084 $12,414
6/30/91 $12,974 $14,484 $13,482
6/30/92 $14,770 $16,520 $15,363
6/30/93 $16,340 $18,467 $17,170
6/30/94 $15,977 $18,228 $16,940
6/30/95 $17,781 $20,516 $18,821
6/30/96 $18,603 $21,546 $19,737
Average Annual Total Return
as of 6/30/96
Since
1 Year 5 Year Inception
(7/2/87)
Fiduciary 4.62% 7.47% 7.14%
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
VALUE OF $10,000 INVESTMENT
<S> <C> <C> <C> <C>
Lipper
Intermediate
Lehman Investment Grade
Class A Class A* Aggregate Fund Index
2/18/92 $10,000 $9,550 $10,000 $10,000
6/30/92 $10,368 $9,901 $10,338 $10,399
6/30/93 $11,464 $10,948 $11,556 $11,622
6/30/94 $11,197 $10,693 $11,406 $11,466
6/30/95 $12,418 $11,859 $12,838 $12,740
6/30/96 $12,947 $12,365 $13,482 $13,360
Average Annual Total Return
as of 6/30/96
Since
1 Year Inception
(2/18/92)
Class A 4.26% 6.09%
Class A* -0.43% 4.98%
*Reflects 4.50% sales charge
</TABLE>
EDGAR REPRESENTATION OF DATA POINTS USED IN PRINTED GRAPHIC
<TABLE>
<CAPTION>
VALUE OF $10,000 INVESTMENT
<S> <C> <C> <C> <C>
Lipper
Intermediate
Lehman Investment Grade
Class B Class B** Aggregate Fund Index
1/14/94 $10,000 $9,600 $10,000 $10,000
6/30/94 $9,471 $9,098 $9,613 $9,609
6/30/95 $10,478 $10,092 $10,820 $10,676
6/30/96 $10,860 $10,577 $11,363 $11,195
Average Annual Total Return
as of 6/30/96
Since
1 Year Inception
(1/14/94)
Class B 3.65% 3.41%
Class B** -0.26% 2.31%
**Reflects Applicable Contingent Deferred Sales Charge
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost.
The performance of the Income Bond Fund is measured against the Lehman Brothers
Aggregate Bond Index, an unmanaged index comprised of US government, mortgage,
corporate and asset-backed securities. Investors are unable to purchase the
index directly, although they can invest in the underlying securities. The
performance of the index does not reflect the deduction of expenses associated
with a mutual fund, such as investment management. By contrast, the performance
of the Fund reflects the deduction of these value-added services as well as the
deduction of sales charges on Class A Shares and applicable contingent deferred
sales charges on Class B Shares.
The Lipper Intermediate Investment Grade Fund Index consists of the median fund
return from the Lipper Intermediate Investment Grade Debt fund universe from
July 1987 through December 1988. Thereafter, the data are from the published
Lipper Intermediate Investment Grade Debt Index which corresponds with the
initiation of the Index on December 30, 1988. The Index itself consists of the
equally weighted average monthly return of the largest funds within the universe
of all funds in the category.
15----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
GOVERNMENT ARM FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL SECURITY MARKET
AMOUNT DESCRIPTION VALUE
- ----------- --------------------------------------------- ---------
<C> <S> <C>
U.S. GOVERNMENT AGENCIES (91.3%):
Federal Home Loan Mortgage Corp.
$ 3,022 7.88%, 5/1/18, Pool # 840160................. $ 3,127
3,960 9.00%, 9/1/25, Gold #C00387.................. 4,130
3,574 7.00%, 10/1/25, Pool #877377................. 3,659
FEDERAL NATIONAL MORTGAGE ASSOC.
504 6.50%, 11/1/03, Pool #44174.................. 497
1,166 7.29%, 12/1/18, Pool # 70169*................ 1,193
103 8.50%, 5/25/20, Series 1991-140, Class C*.... 103
7,537 7.06%, 7/1/20, Pool # 133558*................ 7,707
3,737 7.39%, 12/1/20, Pool # 116590*............... 3,822
3,998 6.63%, 12/25/20, Series 1990-145, CIass A*... 3,992
2,123 7.28%, 4/1/21, Pool # 70983*................. 2,170
964 7.52%, 9/1/21, Pool # 124289*................ 993
1,491 7.85%, 11/1/21, Pool # 124510*............... 1,535
1,983 7.04%, 11/1/23, Pool # 241828*............... 2,029
5,606 7.25%, 7/1/27, Pool # 70179*................. 5,732
<CAPTION>
PRINCIPAL SECURITY MARKET
AMOUNT DESCRIPTION VALUE
- ----------- --------------------------------------------- ---------
<C> <S> <C>
FEDERAL NATIONAL MORTGAGE ASSOC., CONTINUED:
$ 6,125 7.65%, 1/1/31, Pool # 124945*................ $ 6,328
GOVERNMENT NATIONAL MORTGAGE ASSOC.
3,500 6.50%, 7/24/96............................... 3,514
6,387 6.00%, 1/20/26, Pool # 8790.................. 6,403
---------
Total U.S. Government Agencies 56,934
---------
Total Investments, at value 56,934
---------
REPURCHASE AGREEMENTS (13.8%):
8,607 Lehman Brothers, 5.51%, 7/1/96,
(collateralized by $9,125 Various Federal
Home Loan Bank Bonds, 5.95% - 7.23%, 3/5/01
- 11/8/05 market value $8,780)............. 8,607
---------
Total Repurchase Agreements 8,607
---------
Total (Cost--$66,003)(a) $ 65,541
---------
---------
</TABLE>
- ------------
Percentages indicated are based on net assets of $62,389.
<TABLE>
<C> <S>
(a) Represents cost for federal income tax purposes and differs from value by net unrealized depreciation of securities as
follows:
</TABLE>
<TABLE>
<S> <C>
Unrealized appreciation.................................................... $ 59
Unrealized depreciation.................................................... (521)
---------
Net unrealized depreciation................................................ $ (462)
---------
---------
</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>
At June 30, 1996, the Portfolio's open futures contracts were as follows:
<TABLE>
<CAPTION>
OPENING CURRENT
# OF POSITIONS MARKET
CONTRACTS CONTRACT TYPE (000) VALUE (000)
- ---------- ----------------------------------------------------------- ----------- -----------
<C> <S> <C> <C>
LONG CONTRACTS
5 U.S. Treasury 10 Year Note, September 1996................. $ 526 $ 538
SHORT CONTRACTS
25 U.S. Treasury Note, September 1996......................... 5,118 5,149
15 U.S. Treasury 5 Year Note, August 1996..................... 1,563 1,586
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- ----16
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
LIMITED VOLATILITY BOND FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ----------- ------------------------------------------- ---------
<C> <S> <C>
ASSET BACKED SECURITIES (10.1%):
$ 3,203 CIT Group Securitization Corp., Series
1995-1, 7.70%, 8/15/20, Class A1......... $ 3,241
2,292 Discover Card Trust, 1991-E Class A, 7.30%,
5/21/99.................................. 2,305
589 EQCC Home Equity Loan Trust, 1995-2 Class
A1, 6.85%, 9/15/02....................... 591
8,905 Fifth Third Auto Grantor Trust, 1996-A,
Class A, 6.20%, 9/15/01.................. 8,869
10,000 Ford Motor Credit Auto Loan, Series 1995-1,
Class A, 6.50%, 8/15/02.................. 9,963
2,071 Green Tree Home Improvement Loan Trust,
Series 1995-C, Class A, 6.20%, 7/15/20... 2,071
369 Merrill Lynch Asset Backed Corp., Series
1992-1, 5.50%, 5/15/98................... 367
7,000 National Premier Funding, 1995-6, 7.00%,
6/1/99................................... 6,989
110 Shawmut National Grantor Trust, Series
1992-A, 5.55%, 11/15/97.................. 109
13,000 Standard Credit Card Master Trust, Series
1995-2, 8.63%, 1/7/02.................... 13,257
2,284 UCFC Home Equity Loan, 1995 A1, 7.55%,
8/10/04.................................. 2,300
7,000 UCFC Home Equity Loan, 1994 O1, 8.38%,
3/10/07.................................. 7,117
1,853 Union Federal Savings Bank Trust, Series
1993-A, 4.53%, 5/15/99................... 1,823
1,904 Union Federal Savings Bank Trust, 1994 A-A,
5.08%, 5/15/00........................... 1,880
3,221 Union Federal Savings Bank Trust, Series
1993-C, 4.88%, 2/15/00................... 3,171
---------
Total Asset Backed Securities 64,053
---------
CORPORATE BONDS (12.2%):
Bank, Insurance & Finance (9.2%):
3,000 Avco Financial Services, 7.25%, 7/15/99.... 3,053
2,000 BankAmerica Corp., 7.88%, 12/1/02.......... 2,075
7,000 Chrysler Financial Corp., 5.88%, 2/7/01.... 6,711
7,000 Ford Motor Credit, 8.38%, 1/15/00.......... 7,358
10,000 International Lease Finance, 5.54%,
5/5/97................................... 9,961
4,500 Lehman Brothers Holdings, 8.88%, 11/1/98... 4,708
3,000 Lehman Brothers Inc., 7.00%, 5/15/97....... 3,020
5,000 Lehman Brothers Inc., 7.63%, 8/1/98........ 5,094
3,000 Lehman Brothers Inc., 10.00%, 5/15/99...... 3,248
4,000 Lehman Brothers Inc., 9.88%, 10/15/00...... 4,415
3,000 NationsBank, Corp., 8.13%, 6/15/02......... 3,161
5,000 Smith Barney Holdings, 6.00%, 3/15/97...... 5,009
---------
57,813
---------
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ----------- ------------------------------------------- ---------
<C> <S> <C>
Industrial (2.6%):
$ 5,000 American Home Products, 7.70%, 2/15/00..... $ 5,156
1,000 IBM, 6.38%, 11/1/97........................ 1,001
2,000 Columbia Pictures Entertainment Inc.,
9.88%, 2/1/98............................ 2,083
500 Dayton-Hudson Corp., 6.06%, 12/15/96....... 500
5,000 General Motors Corp., 9.63%, 12/1/00....... 5,513
2,000 Wal-Mart Stores, 5.50%, 3/1/98............. 1,973
---------
16,226
---------
Utility (0.5%):
3,000 Potomac Electric Power, 9.00%, 4/15/00,
Callable 4/15/99 @100.................... 3,184
---------
Total Corporate Bonds 77,223
---------
FOREIGN AGENCY BONDS (0.8%):
5,000 Peoples Republic of China, 7.38%, 7/3/01... 4,979
---------
Foreign Agency Bonds 4,979
---------
U.S. GOVERNMENT AGENCIES (57.8%):
Federal Farm Credit Bank:
1,735 5.31%, 5/26/98............................. 1,706
Federal Home Loan Bank:
20,000 0.00%, 11/15/96............................ 19,588
2,000 6.85%, 2/25/97............................. 2,014
4,000 6.60%, 4/13/99............................. 4,021
17,000 5.58%, 2/23/01............................. 16,184
10,000 7.78%, 10/19/01............................ 10,487
Federal Home Loan Mortgage Corp.:
20,000 7.13%, 7/21/99............................. 20,384
5,067 6.00%, 4/1/00, Gold Pool #M80166........... 4,882
2,320 6.50%, 1/1/01, Pool #M8038................. 2,278
495 9.00%, 12/1/05, Pool #G00005............... 517
483 9.00%, 1/1/06, Pool #G00012................ 504
916 8.00%, 10/1/06, Pool #G00052............... 935
2,935 7.00%, 3/1/07, Pool #G34594................ 2,898
3,482 7.50%, 4/1/07, Pool #G00084................ 3,501
2,550 7.00%, 4/1/07, Pool #G00087................ 2,518
4,230 7.50%, 11/1/07, Pool #E00165............... 4,252
6,791 8.50%, 2/1/08, Gold Pool #10133............ 7,014
2,642 7.00%, 12/1/08, Pool #E20065............... 2,609
3,298 8.00%, 1/1/10, Pool #G00355................ 3,365
9,674 8.00%, 2/1/10, Pool #G10328................ 9,870
12,042 7.00%, 10/1/10, Gold Pool #E61709.......... 11,892
14,953 7.00%, 5/1/11, Pool #E20241................ 14,766
10,000 5.25%, 9/15/15, REMIC/CMO, Series 1638
Class BC................................. 9,755
13,209 8.25%, 12/15/16, REMIC/CMO, Series 1770
Class PD................................. 13,706
5,626 7.25%, 4/15/18, Series 1254, REMIC/ CMO.... 5,656
Federal National Mortgage Assoc.:
20,000 0.00%, 10/21/96............................ 19,662
</TABLE>
CONTINUED
17----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
LIMITED VOLATILITY BOND FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1996
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ----------- ------------------------------------------- ---------
U.S. GOVERNMENT AGENCIES, CONTINUED:
<C> <S> <C>
Federal National Mortgage Assoc., continued:
$ 3,000 5.35%, 10/10/97............................ $ 2,983
3,000 8.20%, 3/10/98(b).......................... 3,090
2,000 5.30%, 3/11/98(b).......................... 1,967
3,600 6.90%, 3/27/98............................. 3,636
4,000 5.35%, 4/1/98.............................. 3,935
4,000 5.18%, 2/1/99, Callable 2/1/98 @100........ 3,886
17,044 6.50%, 4/1/00, Pool #E50720................ 16,730
15,000 5.64%, 2/20/01, Callable 2/20/98 @100...... 14,333
37,000 5.72%, 3/8/01.............................. 35,629
10,000 6.16%, 3/29/01............................. 9,798
290 9.00%, 9/1/05, Pool #50340................. 303
303 9.00%, 11/1/05, Pool #50361................ 316
290 8.50%, 4/1/06, Pool #116875................ 300
8,933 7.00%, 6/1/10, Pool #315928................ 8,822
7,377 6.50%, 9/1/10, Pool #25479................. 7,137
5,752 6.50%, 10/1/10, Pool #250377............... 5,565
3,729 7.00%, 11/1/10, Pool #250387............... 3,682
9,671 7.00%, 1/1/11, Pool #328959................ 9,550
4,558 7.50%, 2/1/11, Pool #303755................ 4,582
834 6.00%, 9/25/18, REMIC/CMO, Series 1989-94
Class E.................................. 828
Government National Mortgage Assoc.:
5 8.00%, 2/15/02, Pool #192917............... 5
37 8.00%, 3/15/02, Pool #209172............... 38
11 9.00%, 6/15/02, Pool #229311............... 11
90 9.00%, 10/15/02, Pool #229569.............. 95
25 8.00%, 6/15/05, Pool #28827................ 25
14 9.00%, 9/15/05, Pool #292569............... 14
93 9.00%, 10/15/05, Pool #292589.............. 98
20 8.00%, 5/15/06, Pool #303851............... 21
8 8.00%, 7/15/06, Pool #307231............... 9
55 8.00%, 8/15/06, Pool #311166............... 57
54 8.00%, 9/15/06, Pool #311301............... 55
362 8.00%, 10/15/06, Pool #316915.............. 371
48 8.00%, 11/15/06, Pool #311131.............. 49
557 8.00%, 11/15/06, Pool # 312210............. 571
320 8.00%, 11/15/06, Pool #313528.............. 328
123 8.00%, 11/15/06, Pool #315078.............. 126
172 8.00%, 11/15/06, Pool #316671.............. 176
291 8.00%, 12/15/06, Pool #311384.............. 298
292 8.00%, 1/15/07, Pool #317663............... 300
473 8.00%, 2/15/07, Pool #316086............... 484
92 8.00%, 3/15/07, Pool #178684............... 95
214 8.00%, 3/15/07, Pool #318825............... 219
208 8.00%, 4/15/07, Pool #316441............... 213
4,849 6.00%, 10/20/25, Pool #8717................ 4,879
14,617 6.00%, 11/20/25, Pool #8746................ 14,708
4,922 6.00%, 1/20/26, Pool #8790*................ 4,934
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ----------- ------------------------------------------- ---------
<C> <S> <C>
U.S. GOVERNMENT AGENCIES, CONTINUED:
Guaranteed Overseas Private Investment Corp.:
$ 865 5.55%, 1/13/97............................. $ 865
Student Loan Marketing Assoc.:
4,000 6.29%, 10/20/99............................ 3,967
---------
Total U.S. Government Agencies 365,047
---------
U.S. TREASURY NOTES (17.2%):
6,000 6.88%, 4/30/97(b).......................... 6,056
11,000 6.50%, 5/15/97(b).......................... 11,071
6,500 6.38%, 6/30/97(b).......................... 6,539
3,500 8.63%, 8/15/97(b).......................... 3,604
2,500 5.75%, 10/31/97(b)......................... 2,495
3,000 7.38%, 11/15/97(b)......................... 3,055
9,000 6.00%, 11/30/97(b)......................... 9,008
2,500 7.88%, 1/15/98............................. 2,568
4,250 5.63%, 1/31/98(b).......................... 4,225
5,000 5.13%, 3/31/98(b).......................... 4,925
1,500 5.13%, 4/30/98(b).......................... 1,477
11,000 5.13%, 6/30/98(b).......................... 10,803
3,000 4.75%, 9/30/98(b).......................... 2,914
5,000 8.88%, 11/15/98(b)......................... 5,291
1,000 7.00%, 4/15/99(b).......................... 1,019
5,000 7.75%, 1/31/00(b).......................... 5,216
3,500 8.50%, 2/15/00(b).......................... 3,737
1,000 8.88%, 5/15/00(b).......................... 1,084
7,000 6.25%, 5/31/00(b).......................... 6,961
12,500 6.13%, 9/30/00(b).......................... 12,363
4,000 6.38%, 8/15/02(b).......................... 3,969
---------
Total U.S. Treasury Notes 108,380
---------
U.S. TREASURY STRIPS (0.7%):
5,000 2/15/99(b)................................. 4,251
---------
Total U.S. Treasury Strips 4,251
---------
INVESTMENT COMPANIES (0.4%):
2,574 Aquila Churchill Cash Reserves Money Market
Fund..................................... 2,574
---------
Total Investment Companies 2,574
---------
Total Investments, at value 626,507
---------
REPURCHASE AGREEMENTS (0.7%):
$ 4,436 Lehman Brothers Inc., 5.51%, 7/1/96,
(collateralized by $4,885 Federal Home
Loan Bank Bond, 0.00% - 5.69%, 2/25/99 -
3/11/99, market value $4,526)............ 4,436
---------
Total Repurchase Agreements 4,436
---------
Total (Cost--$631,998) (a) $ 630,943
---------
---------
</TABLE>
- ------------
Percentages indicated are based on net assets of $631,182.
CONTINUED
- ----18
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
LIMITED VOLATILITY BOND FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1996
(Amounts in Thousands)
<TABLE>
<C> <S>
(a) Represents cost for federal income tax purposes and differs from value by net unrealized depreciation of securities as
follows (amounts in thousands):
</TABLE>
<TABLE>
<S> <C>
Unrealized appreciation.................................................... $ 3,541
Unrealized depreciation.................................................... (4,596)
---------
Net unrealized depreciation................................................ $ (1,055)
---------
---------
</TABLE>
<TABLE>
<C> <S>
(b) A portion of this security was loaned as of June 30, 1996.
</TABLE>
<TABLE>
<S> <C>
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.
CMO Collateralized Mortgage Obligation
REMIC Real Estate Mortgage Investment Conduit
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
19----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
INTERMEDIATE BOND FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL SECURITY MARKET
AMOUNT DESCRIPTION VALUE
- ---------- ------------------------------------------- ---------
<C> <S> <C>
ASSET BACKED SECURITIES (8.5%):
$1,755 Advanta Mortgage Loan Trust, Series 1994-4,
Class A1, 8.55%, 11/25/12................ $ 1,799
4,033 Aircraft Lease Portfolio Securitization
Ltd., Series 94-1, Class A2, 7.15%,
9/15/04.................................. 4,027
5,000 Ford Motor Credit Auto Loan Master Trust,
Series 1995-1, Class A, 6.50%, 8/15/02... 4,981
1,242 Green Tree Home Improvement Loan Trust,
Series 1995-C, Class A, 6.20%, 7/15/20... 1,242
3,000 UCFC Home Equity Loan, Series 1994-A, Class
A2, 5.53%, 5/10/09....................... 2,969
2,850 Union Acceptance Corp., Series 1995-D,
6.03%, 1/7/03............................ 2,818
454 Union Federal Savings Bank Trust, Series
1992-B, Class A, 4.90%, 4/15/98.......... 452
3,000 World Financial Network Credit Card, Series
96-A, Class A, 6.70%, 2/15/04............ 2,972
---------
Total Asset Backed Securities 21,260
---------
CORPORATE BONDS (16.7%):
Banking, Finance & Insurance (11.3%):
3,000 Bankers Trust, 7.25%, 1/15/03.............. 3,000
3,000 First Hawaiian, Inc., 6.25%, 8/15/00....... 2,929
3,000 Fleet/Norstar Group, 8.13%, 7/1/04......... 3,146
4,000 Goldman Sachs, 6.38%, 6/15/00.............. 3,935
3,000 Lehman Brothers Holdings, 7.25%, 4/15/03... 2,977
3,000 Lehman Brothers Inc., 9.88%, 10/15/00...... 3,311
4,000 Liberty Mutual Insurance, 8.20%,
5/4/07,(b)............................... 4,170
2,000 Meditrust, 7.60%, 7/15/01.................. 1,988
3,000 Metropolitan Life, 6.30%, 11/1/03.......... 2,835
---------
28,291
---------
Industrial (2.2%):
2,000 Dayton Hudson Co., 7.50%, 3/1/99........... 2,035
1,430 du Pont, 8.50%, 2/15/03.................... 1,517
2,000 General Motors, 7.63%, 2/15/97............. 2,020
---------
5,572
---------
Yankee & Eurodollar (3.2%):
2,000 Hanson Overseas, 6.75%, 9/15/05............ 1,923
2,000 Peoples Republic of China, 7.38%,
7/3/01,(b)............................... 1,991
1,000 Peoples Republic of China, 6.63%,
1/15/03.................................. 959
3,000 Swedbank, 7.31%, 10/29/49*................. 3,077
---------
7,950
---------
Total Corporate Bonds 41,813
---------
<CAPTION>
SHARES OR
PRINCIPAL SECURITY MARKET
AMOUNT DESCRIPTION VALUE
- ---------- ------------------------------------------- ---------
<C> <S> <C>
OTHER MORTGAGE BACKED SECURITIES (3.2%):
$3,750 Independent National Mortgage Corp., Series
1995-S, Class A1, 7.10%, 1/15/26......... $ 3,738
4,000 The Equitable Commercial Mortgage, Series
174, Class A1, 7.24%, 5/15/09............ 3,988
255 Morgan Stanley Mortgage Trust, Series Y,
Class 3, 8.95%, 3/1/16................... 260
---------
Total Other Mortgage Backed Securities 7,986
---------
U.S. GOVERNMENT AGENCIES (36.0%):
Federal Home Loan Mortgage Corp.:
1,000 7.00%, 6/15/06, Series #1457-PH, CMO....... 981
1,226 7.50%, 8/1/08, Gold Pool #G10117........... 1,233
2,610 8.50%, 1/1/10, Gold Pool #E00356........... 2,696
277 7.00%, 8/1/10, Gold Pool #E20187........... 274
4,382 7.00%, 9/1/10, Gold Pool #E00393........... 4,327
1,125 7.25%, 4/15/18, Series #1254-F, CMO........ 1,131
6,000 5.85%, 1/25/19............................. 5,694
4,000 8.00%, 2/15/20, Gold Series #1770-PD,
CMO...................................... 4,009
3,000 6.00%, 4/15/20, Series #1534-F, CMO........ 2,877
822 8.00%, 7/1/20, Gold Pool #A01047........... 830
3,000 6.50%, 10/15/21, Series #1590-GA, CMO...... 2,855
2,000 6.50%, 1/15/22, Series #1573-PI, CMO....... 1,884
3,211 8.00%, 11/1/24, Gold Pool #C00376.......... 3,242
4,641 7.50%, 8/1/25, Gold Pool #C00414........... 4,585
3,991 7.00%, 4/1/26, Pool #C00452................ 3,844
3,997 7.50%, 4/1/26, Gold Pool #D70219........... 3,950
Federal National Mortgage Assoc.:
3,922 6.00%, 12/1/02, 7 Year Balloon............. 3,778
3,348 7.00%, 6/1/10, Pool #312903................ 3,306
2,914 6.50%, 12/1/10, Pool 322598................ 2,819
500 8.00%, 9/25/04, Series 1991-155G, CMO...... 518
1,000 6.75%, 12/25/04, Series 1993-6C, CMO....... 1,003
2,530 8.00%, 5/1/24, Pool #250066................ 2,550
2,317 8.50%, 7/1/24, Pool #250103................ 2,379
3,105 7.50%, 10/1/24, Pool #303031............... 3,066
342 7.50%, 5/1/25, Pool #293928................ 338
912 7.50%, 5/1/25, Pool #311810................ 901
1,380 8.50%, 5/1/25, Pool #308499................ 1,417
2,041 8.50%, 6/1/25, Pool #315277................ 2,096
3,884 7.00%, 7/1/25, Pool #290387................ 3,738
2,917 7.00%, 10/1/25, Pool #300778............... 2,807
Government National Mortgage Assoc.:
2 10.50%, 4/15/98, Pool #066627.............. 2
8 10.50%, 7/15/98, Pool #069629.............. 9
2 10.50%, 9/15/98, Pool #103573.............. 2
13 11.00%, 6/15/99, Pool #110948.............. 13
11 11.00%, 3/15/00, Pool #123750.............. 11
8 10.00%, 12/15/00, Pool #136214............. 9
72 10.00%, 1/15/01, Pool #145167.............. 77
73 10.00%, 1/15/01, Pool #145328.............. 77
</TABLE>
CONTINUED
- ----20
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
INTERMEDIATE BOND FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1996
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL SECURITY MARKET
AMOUNT DESCRIPTION VALUE
- ---------- ------------------------------------------- ---------
U.S. GOVERNMENT AGENCIES, CONTINUED:
<C> <S> <C>
Government National Mortgage Assoc., continued:
$ 67 8.50%, 6/15/01, Pool #137056............... $ 70
8 8.50%, 6/15/01, Pool #162447............... 8
8 9.00%, 6/15/01, Pool #161443............... 8
3 9.00%, 6/15/01, Pool #164431............... 3
28 9.00%, 6/15/01, Pool #166985............... 29
17 9.00%, 7/15/01, Pool #155822............... 18
120 8.50%, 8/15/01, Pool #164207............... 125
68 9.00%, 8/15/01, Pool #173460............... 72
12 9.00%, 9/15/01, Pool #177121............... 13
6 9.00%, 10/15/01, Pool #177634.............. 6
127 9.00%, 10/15/01, Pool #179852.............. 133
14 9.00%, 10/15/01, Pool #185596.............. 14
5 8.50%, 11/15/01, Pool #183462.............. 5
19 9.00%, 11/15/01, Pool #174365.............. 20
131 9.00%, 11/15/01, Pool #191819.............. 137
110 8.50%, 12/15/01, Pool #199182.............. 114
21 9.00%, 1/15/02, Pool #205001............... 22
99 8.00%, 3/15/02, Pool #205933............... 101
79 8.00%, 3/15/02, Pool #210065............... 81
94 8.00%, 5/15/02, Pool #180296............... 97
51 8.00%, 5/15/02, Pool #203042............... 52
96 8.50%, 5/15/02, Pool #213776............... 100
61 9.00%, 8/15/02, Pool #232424............... 64
17 9.00%, 11/15/02, Pool #235553.............. 18
95 9.00%, 10/15/02, Pool #246307.............. 100
9 9.00%, 6/15/03, Pool #247863............... 10
71 8.50%, 10/15/04, Pool #277469.............. 74
130 9.00%, 10/15/04, Pool #281655.............. 136
134 8.50%, 11/15/04, Pool #253471.............. 139
139 9.00%, 5/15/05, Pool #288771............... 146
166 9.00%, 8/15/05, Pool #297031............... 174
21 9.00%, 10/15/05, Pool #292589.............. 22
94 9.00%, 11/15/05, Pool #292610.............. 99
66 9.00%, 11/15/05, Pool #299161.............. 70
81 9.00%, 12/15/05, Pool #299569.............. 85
128 8.50%, 4/15/06, Pool #307487............... 133
246 7.50%, 5/15/07, Pool #329528............... 248
109 8.00%, 5/15/09, Pool #385676............... 111
28 8.00%, 8/15/09, Pool #372143............... 28
736 8.00%, 10/15/09, Pool #380639.............. 753
1,935 7.00%, 8/15/23, Pool #352108............... 1,857
2,767 7.00%, 11/15/23, Pool #352022.............. 2,655
<CAPTION>
SHARES OR
PRINCIPAL SECURITY MARKET
AMOUNT DESCRIPTION VALUE
- ---------- ------------------------------------------- ---------
<C> <S> <C>
U.S. GOVERNMENT AGENCIES, CONTINUED:
Government National Mortgage Assoc., continued:
$2,939 7.00%, 9/15/25, Pool #406434............... $ 2,821
1,997 7.50%, 1/15/26, Pool # 416874.............. 1,969
1,997 7.50%, 3/15/26, Pool # 422292.............. 1,970
---------
Total U.S. Government Agencies 90,238
---------
U.S. TREASURY BONDS (5.7%):
3,000 8.75%, 11/15/08(b)......................... 3,336
5,000 8.13%, 8/15/19(b).......................... 5,614
6,000 6.25%, 8/15/23(b).......................... 5,443
---------
Total U.S. Treasury Bonds 14,393
---------
U.S. TREASURY NOTES (26.6%):
5,000 6.75%, 2/28/97(b).......................... 5,036
4,000 5.50%, 9/30/97(b).......................... 3,981
3,500 5.13%, 3/31/98(b).......................... 3,448
5,000 8.25%, 7/15/98(b).......................... 5,202
5,200 7.13%, 10/15/98(b)......................... 5,308
6,000 4.75%, 10/31/98............................ 5,818
3,000 8.88%, 11/15/98(b)......................... 3,175
5,000 6.00%, 10/15/99(b)......................... 4,954
4,000 7.50%, 10/31/99............................ 4,133
3,000 7.13%, 2/29/00(b).......................... 3,070
3,000 7.75%, 2/15/01............................. 3,155
10,000 5.75%, 8/15/03(b).......................... 9,528
5,000 7.25%, 5/15/04(b).......................... 5,184
5,000 5.88%, 11/15/05(b)......................... 4,713
---------
Total U.S. Treasury Notes 66,705
---------
INVESTMENT COMPANIES (0.0%):
15 Aquila Churchill Cash Reserves Money Market
Fund..................................... 15
---------
Total Investment Companies 15
---------
Total Investments, at value 242,410
---------
REPURCHASE AGREEMENTS (1.3%):
$3,241 Lehman Brothers Inc., 5.51%, 7/1/96,
(collateralized by $3,310 Federal
National Mortgage Assoc., 5.47%, 6/20/97,
market value $3,309)..................... 3,241
---------
Total Repurchase Agreements 3,241
---------
Total (Cost--$248,425)(a) $ 245,651
---------
---------
</TABLE>
- ------------
Percentages indicated are based on net assets of $250,595.
CONTINUED
21----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
INTERMEDIATE BOND FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1996
(Amounts in Thousands)
<TABLE>
<C> <S>
(a) Represents cost for federal income tax purposes and differs from value by net unrealized depreciation of securities as
follows:
</TABLE>
<TABLE>
<S> <C>
Unrealized appreciation.................................................... $ 1,878
Unrealized depreciation.................................................... (4,652)
---------
Net Unrealized depreciation................................................ $ (2,774)
---------
---------
</TABLE>
<TABLE>
<C> <S>
(b) A portion of this security was loaned as of June 30, 1996.
</TABLE>
<TABLE>
<S> <C>
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.
CMO Collateralized Mortgage Obligation
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- ----22
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
GOVERNMENT BOND FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ----------- ------------------------------------------- ---------
<C> <S> <C>
CORPORATE BONDS (0.1%):
Bank, Finance & Insurance (0.1%):
$ 400 International Bank for Reconstruction and
Development Medium Term Note, COLTS,
7.65%, 2/28/97........................... $ 405
---------
Total Corporate Bonds 405
---------
U.S. GOVERNMENT AGENCIES (82.7%):
Federal Farm Credit Bank (1.0%):
5,000 6.88%, 5/1/00.............................. 5,044
2,000 7.95%, 4/1/02.............................. 2,012
Federal Home Loan Bank (1.7%):
2,000 9.25%, 11/25/98............................ 2,129
2,000 9.30%, 1/25/99............................. 2,132
3,000 8.60%, 6/25/99(b) 3,172
5,000 6.27%, 1/14/04............................. 4,761
Federal Home Loan Mortgage Corp. (36.2%):
2,000 6.44%, 1/28/00............................. 1,990
10,116 6.00%, 4/15/01, Gold Balloon, Pool
#G50347.................................. 9,898
4,500 7.13%, 11/18/02............................ 4,574
25,000 6.11%, 1/17/03, Callable 1/17/00 @100...... 23,922
3,000 6.78%, 3/15/04............................. 2,919
3,000 7.88%, 4/28/04............................. 3,002
5,000 7.89%, 5/12/04............................. 5,004
6,591 7.50%, 4/1/09, Gold Pool #E00315........... 6,626
16,500 6.50%, 9/15/09, Series 1838, CMO........... 15,370
5,701 8.50%, 1/1/10, Gold Pool # G10305.......... 5,888
4,855 6.50%, 1/1/11, Gold Pool #E00413........... 4,700
9,932 6.50%, 4/1/11, Gold Pool #E00426........... 9,616
4,966 6.50%, 4/1/11, Gold Pool #E20235........... 4,808
413 9.00%, 10/1/17, Gold Pool #A00756.......... 431
283 9.00%, 4/1/18, Gold Pool #A01143........... 295
4,501 7.25%, 4/15/18, Series 1254 - CMO.......... 4,525
38 9.00%, 8/1/20, Gold Pool #D38661........... 40
77 9.00%, 10/1/20, Gold Pool #A01134.......... 80
83 9.00%, 1/1/21, Gold Pool #A00948........... 87
62 9.00%, 4/1/21, Gold Pool #D04193........... 65
137 9.00%, 6/1/21, Gold Pool #A01017........... 143
149 9.00%, 7/1/21, Gold Pool #A01093........... 155
165 9.00%, 9/1/21, Gold Pool #D32271........... 172
143 9.00%, 11/1/21, Gold Pool #C00078.......... 149
54 9.00%, 11/1/21, Gold Pool #D11191.......... 56
138 9.00%, 11/1/21, Gold Pool #D11866.......... 144
77 9.00%, 5/1/22, Gold Pool #D19142........... 80
271 9.00%, 5/1/22, Gold Pool #D19203........... 283
7,519 10.00%, 10/15/23, Series 1591-E, CMO....... 8,133
17,851 5.00%, 11/15/23, Series 1686, CMO.......... 16,294
5,712 8.50%, 5/1/24, Gold Pool #G00229........... 5,871
5,223 8.50%, 7/1/24, Gold Pool #C00354........... 5,368
8,584 7.50%, 9/1/24, Gold Pool #D56307........... 8,482
8,028 8.00%, 11/1/24, Gold Pool #C00376.......... 8,105
3,030 7.50%, 5/1/25, Gold Pool #D59996........... 2,994
5,920 7.50%, 6/1/25, Gold Pool #C80321........... 5,850
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ----------- ------------------------------------------- ---------
<C> <S> <C>
U.S. GOVERNMENT AGENCIES, CONTINUED:
Federal Home Loan Mortgage Corp., continued:
$ 8,096 8.00%, 6/1/25, Gold Pool #D60690........... $ 8,174
4,926 7.00%, 8/1/25, Gold Pool #C00418........... 4,744
4,641 7.50%, 8/1/25, Gold Pool #C00414........... 4,586
4,642 7.50%, 8/1/25, Gold Pool #C80334........... 4,587
4,851 7.00%, 9/1/25, Gold Pool #D63303........... 4,672
4,513 8.00%, 9/1/25, Gold Pool #D63705........... 4,556
9,503 7.50%, 10/1/25, Gold Pool #C80349.......... 9,390
9,964 6.50%, 2/1/26, Gold Pool #D68098........... 9,342
24,912 6.50%, 3/1/26, Gold Pool #G00453........... 23,355
12,978 7.00%, 4/1/26, Gold Pool #D69810........... 12,499
11,980 7.00%, 4/1/26, Gold Pool #D69811........... 11,538
Federal National Mortgage Assoc. (28.9%):
2,000 9.20%, 6/10/97............................. 2,059
2,000 8.80%, 7/25/97............................. 2,059
4,000 8.70%, 6/10/99............................. 4,244
3,000 8.90%, 6/12/00............................. 3,233
11,998 6.00%, 3/1/01, Pool #50983................. 11,559
2,000 7.90%, 4/10/02............................. 2,006
750 7.80%, 6/10/02............................. 752
2,004 7.50%, 5/1/03.............................. 2,025
3,246 7.50%, 7/1/03.............................. 3,281
3,000 6.20%, 11/12/03............................ 2,839
2,820 8.05%, 5/20/04............................. 2,826
5,000 7.86%, 5/25/04, Callable on 5/25/99 @100... 5,043
15,000 7.16%, 5/11/05............................. 15,145
10,000 5.88%, 2/2/06(b)........................... 9,230
5,000 6.67%, 2/6/06, Callable on 2/6/98 @100..... 4,791
4,994 7.00%, 4/1/08, Pool #211750................ 4,932
8,000 6.00%, 6/25/09, Pool #1994-86.............. 7,176
4,473 7.00%, 7/1/10.............................. 4,418
2,820 6.50%, 12/1/10............................. 2,728
10,000 6.25%, 2/25/13, Pool #1993-2............... 9,953
3,596 6.35%, 8/25/13............................. 3,380
4,750 7.50%, 6/1/14, Pool #250081................ 4,690
3,747 7.50%, 7/1/14.............................. 3,701
184 10.00%, 10/1/16, Pool #70110............... 199
10,000 10.00%, 9/1/17............................. 10,847
611 10.00%, 10/1/19, Pool #231675.............. 663
10,000 7.00%, 5/25/20, Pool #1990-57.............. 9,717
341 10.00%, 7/1/20, Pool #050318............... 370
5,584 6.50%, 5/25/21, Series 1992-205K, CMO...... 5,241
5,000 7.00%, 9/25/21, Series G92-64, CMO......... 4,906
924 10.00%, 11/1/21, Pool #208372.............. 1,002
765 10.00%, 11/1/21, Pool #208374.............. 829
5,000 6.55%, 12/25/21, Pool #1993-137, CMO....... 4,770
10,785 6.50%, 2/17/23, Series #G94-12, CMO........ 10,130
5,000 6.50%, 5/25/23............................. 4,756
9,094 6.35%, 12/25/23, Pool #1994-43............. 8,298
5,042 7.00%, 1/25/24, Pool #1994-62.............. 4,706
9,164 7.00%, 2/1/24, Pool #190257................ 8,820
4,541 7.50%, 5/1/25.............................. 4,484
</TABLE>
CONTINUED
23----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
GOVERNMENT BOND FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1996
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ----------- ------------------------------------------- ---------
U.S. GOVERNMENT AGENCIES, CONTINUED:
<C> <S> <C>
Federal National Mortgage Assoc., continued:
$ 4,230 7.50%, 6/1/25.............................. $ 4,177
4,484 7.50%, 6/1/25.............................. 4,428
4,887 7.00%, 8/1/25, Pool #315500................ 4,704
3,985 7.50%, 9/1/25, Pool #322899................ 3,935
973 7.50%, 9/1/25, Pool #324749................ 961
Government National Mortgage Assoc. (11.5%):
3 10.50%, 4/15/98, Pool #63591............... 4
27 10.00%, 9/15/00, Pool #138814.............. 29
11 10.00%, 12/15/00, Pool #136214............. 12
9 10.00%, 1/15/01, Pool #145144.............. 10
76 8.50%, 6/15/01, Pool #166491............... 79
7 8.50%, 7/15/01, Pool #161977............... 7
102 9.00%, 9/15/01, Pool #166928............... 107
10 9.00%, 9/15/01, Pool #174330............... 10
84 9.50%, 9/15/01, Pool #180786............... 89
101 8.50%, 11/15/01, Pool #179383.............. 105
32 9.50%, 11/15/01, Pool #182995.............. 34
87 8.50%, 12/15/01, Pool #199837.............. 91
121 9.00%, 12/15/01, Pool #187723.............. 127
99 8.00%, 3/15/02, Pool #205933............... 101
253 9.00%, 5/15/03, Pool #154134............... 265
184 9.00%, 6/15/05, Pool #283904............... 193
90 9.00%, 8/15/05, Pool #291836............... 95
67 9.00%, 9/15/05, Pool #292898............... 70
38 9.00%, 9/15/05, Pool #295227............... 40
86 8.00%, 7/15/06, Pool #11337................ 87
39 7.50%, 7/15/07, Pool #17316................ 38
96 8.00%, 8/15/07, Pool #18539................ 97
104 8.00%, 8/15/07, Pool #18677................ 105
397 7.50%, 12/15/07, Pool #338189.............. 400
71 9.00%, 11/15/08, Pool #27932............... 75
111 9.00%, 4/15/09, Pool #30352................ 116
26 9.00%, 5/15/09, Pool #32214................ 27
10 9.50%, 7/15/09, Pool #34487................ 11
157 9.50%, 9/15/09, Pool #34878................ 168
46 9.50%, 10/15/09, Pool #36804............... 50
40 11.00%, 11/15/09, Pool #37615.............. 45
2 12.00%, 4/15/15, Pool #125262.............. 2
13 11.00%, 6/15/15, Pool #130125.............. 14
93 9.00%, 5/15/16, Pool #149877............... 98
131 9.00%, 6/15/16, Pool #166130............... 137
124 9.00%, 7/15/16, Pool #158921............... 130
13 9.50%, 7/15/16, Pool #166772............... 14
101 9.50%, 8/15/16, Pool #177531............... 108
167 9.00%, 9/15/16, Pool #179044............... 175
28 9.50%, 1/15/17, Pool #185619............... 30
352 9.00%, 2/15/17, Pool #195058............... 369
284 9.00%, 6/15/17, Pool #219079............... 297
29 9.00%, 8/15/17, Pool #225285............... 30
81 9.50%, 8/15/17, Pool #218841............... 87
44 9.50%, 8/15/17, Pool #224015............... 47
120 9.00%, 6/15/18, Pool #238161............... 125
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ----------- ------------------------------------------- ---------
<C> <S> <C>
U.S. GOVERNMENT AGENCIES, CONTINUED:
Government National Mortgage Assoc., continued:
$ 98 9.50%, 8/15/18, Pool #248390............... $ 105
33 9.00%, 10/15/18, Pool #253188.............. 35
167 9.50%, 12/15/18, Pool #263400.............. 179
5 9.00%, 10/15/19, Pool #267676.............. 5
67 9.00%, 11/15/19, Pool #162768.............. 70
76 9.00%, 1/15/20, Pool #283138............... 79
86 9.00%, 2/15/20, Pool #276157............... 90
126 9.00%, 3/15/20, Pool #285283............... 132
92 9.50%, 9/15/20, Pool #292918............... 99
102 9.50%, 12/15/20, Pool #291865.............. 109
345 9.00%, 6/15/21, Pool #307120............... 361
43 7.50%, 2/15/22, Pool #324025............... 42
688 8.00%, 7/15/22, Pool #321560............... 694
829 7.50%, 8/15/22, Pool #337141............... 818
40 7.00%, 10/15/22, Pool #337175.............. 38
231 7.00%, 11/15/22, Pool #323008.............. 222
43 7.00%, 12/15/22, Pool #339969.............. 41
264 7.00%, 1/15/23, Pool #346214............... 254
43 7.00%, 1/15/23, Pool #321675............... 42
501 7.00%, 1/15/23, Pool #332022............... 481
390 7.00%, 1/15/23, Pool #341536............... 374
472 7.00%, 1/15/23, Pool #342248............... 453
52 7.00%, 3/15/23, Pool #350110............... 50
347 6.50%, 5/15/23, Pool #343208............... 324
860 7.00%, 5/15/23, Pool #346572............... 826
814 7.00%, 5/15/23, Pool #351041............... 781
680 7.00%, 5/15/23, Pool #221604............... 653
68 7.00%, 5/15/23, Pool #338005............... 65
751 7.00%, 5/15/23, Pool #342348............... 720
99 6.50%, 6/15/23, Pool #346624............... 92
444 6.50%, 6/15/23, Pool #348677............... 414
60 6.50%, 6/15/23, Pool #349788............... 56
63 6.50%, 6/15/23, Pool #358250............... 58
273 6.50%, 7/15/23, Pool #322200............... 254
912 7.00%, 7/15/23, Pool #346673............... 875
26 7.00%, 7/15/23, Pool #350709............... 25
368 7.00%, 7/15/23, Pool #353569............... 353
36 7.00%, 7/15/23, Pool #354538............... 34
223 7.00%, 7/15/23, Pool #357782............... 214
523 7.00%, 7/15/23, Pool #358382............... 502
603 7.00%, 7/15/23, Pool #360697............... 578
528 7.00%, 7/15/23, Pool #360889............... 507
869 7.00%, 7/15/23, Pool #362982............... 834
272 7.00%, 7/15/23, Pool #325977............... 261
343 6.50%, 8/15/23............................. 320
456 6.50%, 8/15/23, Pool #353137............... 425
185 6.50%, 8/15/23, Pool #360713............... 172
319 6.50%, 8/15/23, Pool #360738............... 297
713 6.50%, 8/15/23, Pool #356717............... 664
258 6.50%, 8/15/23, Pool #359027............... 241
798 6.50%, 9/15/23, Pool #345375............... 743
56 6.50%, 9/15/23, Pool #339041............... 53
</TABLE>
CONTINUED
- ----24
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
GOVERNMENT BOND FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1996
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ----------- ------------------------------------------- ---------
U.S. GOVERNMENT AGENCIES, CONTINUED:
<C> <S> <C>
Government National Mortgage Assoc., continued:
$ 424 6.00%, 10/15/23, Pool #345389.............. $ 384
466 6.00%, 10/15/23, Pool #364717.............. 421
35 6.00%, 10/15/23, Pool #370006.............. 31
231 6.50%, 10/15/23, Pool #345391.............. 215
4,277 8.00%, 10/15/23, Pool #354681.............. 4,317
686 6.50%, 11/15/23, Pool #369356.............. 639
22 6.50%, 11/15/23, Pool #370927.............. 21
153 6.50%, 12/15/23, Pool #346944.............. 142
991 6.50%, 12/15/23, Pool #349265.............. 923
143 6.50%, 12/15/23, Pool #365740.............. 133
696 6.50%, 12/15/23, Pool #369830.............. 648
37 6.50%, 12/15/23, Pool #370289.............. 34
836 6.50%, 1/15/24, Pool #379127............... 779
1,267 6.50%, 2/15/24, Pool #362341............... 1,180
23,438 6.50%, 2/15/24, pool #354747............... 21,834
332 6.50%, 2/15/24, Pool #370338............... 309
414 6.50%, 2/15/24, Pool #371999............... 385
180 6.50%, 2/15/24, Pool #380818............... 168
381 6.50%, 2/15/24, Pool #389200............... 355
653 7.50%, 6/15/24, Pool #388747............... 644
96 7.50%, 6/15/24, Pool #389827............... 95
440 8.00%, 9/15/24, Pool #393908............... 444
4,246 8.00%, 9/15/24, Pool #403212............... 4,286
4,993 7.50%, 3/15/26, Pool #422308............... 4,924
12,873 8.00%, 5/15/26............................. 12,994
7127 8.00%, 5/15/26............................. 7,193
Tennessee Valley Authority (3.4%):
25,000 6.24%, 7/15/45, Putable on 7/15/01 @ 100... 24,438
---------
Total U.S. Government Agencies 601,225
---------
U.S. GOVERNMENT AGENCY--STRIPS (0.1%):
5,000 Resolution Funding Corporation Principal
Strip, 4/15/30........................... 473
---------
Total U.S. Government Agency--Strips 473
---------
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ----------- ------------------------------------------- ---------
<C> <S> <C>
U.S. TREASURY BONDS (8.1%):
$ 8,000 8.25%, 5/15/05(b).......................... $ 8,421
10,000 8.38%, 8/15/08(b).......................... 10,971
20,000 7.50%, 11/15/16(b)......................... 21,030
1,500 8.88%, 8/15/17(b).......................... 1,802
15,000 8.13%, 8/15/19(b).......................... 16,843
---------
Total U.S. Treasury Bonds 59,067
---------
U.S. TREASURY NOTES (6.5%):
10,000 9.00%, 5/15/98(b).......................... 10,508
8,000 8.25%, 7/15/98(b).......................... 8,323
2,800 8.88%, 11/15/98(b)......................... 2,963
3,400 8.88%, 2/15/99(b).......................... 3,613
4,000 9.13%, 5/15/99(b).......................... 4,293
2,600 6.38%, 7/15/99............................. 2,608
14,500 7.50%, 5/15/02(b).......................... 15,197
---------
Total U.S. Treasury Notes 47,505
---------
U.S. TREASURY STRIPS (0.5%):
5,000 8/15/02(b)................................. 3,370
---------
Total U.S. Treasury Strips 3,370
---------
Total Investments, at value 712,045
---------
REPURCHASE AGREEMENTS (2.4%):
17,114 Lehman Brothers Inc., 5.51%, 7/1/96,
(collateralized by $18,225 various U.S.
Government Securities, 5.75% - 6.70%,
2/2/01 - 9/26/03, market value -
$17,458)................................. 17,114
---------
Total Repurchase Agreements 17,114
---------
Total (Cost--$733,350) (a) $ 729,159
---------
---------
</TABLE>
- ------------
Percentages indicated are based on net assets of $726,908.
<TABLE>
<C> <S>
(a) Represents cost for federal income tax purposes and differs from value by net unrealized depreciation of securities as
follows (amounts in thousands):
</TABLE>
<TABLE>
<S> <C>
Unrealized appreciation.................................................... $ 8,566
Unrealized depreciation.................................................... (12,757)
---------
Net unrealized depreciation................................................ $ (4,191)
---------
---------
</TABLE>
<TABLE>
<C> <S>
(b) A portion of this security was loaned as of June 30, 1996.
</TABLE>
<TABLE>
<S> <C>
COLTS Continuously Offered Long-Term Securities
CMO Collateralized Mortgage Obligation
</TABLE>
At June 30, 1996, the Portfolio's open futures contracts were as follows:
<TABLE>
<CAPTION>
OPENING CURRENT
# OF POSITIONS MARKET
CONTRACTS CONTRACT TYPE (000) VALUE (000)
- ---------- ----------------------------------------------------------- ----------- -----------
<C> <S> <C> <C>
SHORT CONTRACTS
200 U.S. Treasury 20 Year Bond, September 1996................. $ 21,219 $ 21,906
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
25----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
INCOME BOND FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ----------- -------------------------------------------- ---------
<C> <S> <C>
ASSET BACKED SECURITIES (11.9%):
$ 5,000 Advanta Corp., 6.98%, 10/3/96............... $ 5,017
7,500 Advanta Mortgage Loan Trust, Series 1995-1,
8.32%, 12/25/19........................... 7,748
6,453 Aircraft Lease Portfolio Securitization
Ltd., Series 94-1, Class A2, 7.15%,
9/15/04................................... 6,442
5,000 Federal Express, 7.85%, 6/1/08.............. 5,050
4,680 NAL 96, 7.10%, 3/15/01, Private Placement,
Class A, 144A............................. 4,667
7,705 Northwest Air, Series 2, Class A, 9.25%,
6/21/14................................... 8,537
4,815 Northwest Air Trust, 10.23%, 6/21/14........ 5,493
3,534 Olympic Automobile Receivables Trust, Series
1994-A, Class A, 5.65%, 1/15/01........... 3,515
17,000 Standard Credit Card Trust, Series 90-3,
Class A, 9.50%, 7/10/98................... 17,644
---------
Total Asset Backed Securities 64,113
---------
CORPORATE BONDS (50.7%):
Banking, Finance & Insurance (20.5%):
5,000 Associates Corp., 8.34%, 11/25/99........... 5,250
6,000 Associates Corp., 8.15%, 8/1/09............. 6,465
2,000 Avalon Properties, 7.38%, 9/15/02........... 1,958
5,000 BankAmerica Corp., 9.50%, 4/1/01............ 5,500
5,000 Bear Stearns Co., 9.13%, 4/15/98............ 5,206
5,000 Bear Stearns Co., 8.25%, 2/1/02............. 5,256
5,000 Financiera Energy, 9.38%, 6/15/06, 144A..... 5,057
2,000 Fleet/Norstar Group, 8.13%, 7/1/04.......... 2,097
1,500 Ford Motor Credit Corp., 6.38%, 10/6/00..... 1,476
8,000 General Motors Acceptance Corp., 7.00%,
3/1/00.................................... 8,060
10,000 Lehman Brothers Holdings, 8.88%, 3/1/02..... 10,724
5,000 Lehman Brothers Holdings, 8.80%, 3/1/15..... 5,506
5,000 Lehman Brothers Inc., 11.63%, 5/15/05....... 6,275
6,000 Massachusetts Mutual Life, 7.50%, 3/1/24,
144A...................................... 5,595
4,750 Meditrust, 7.77%, 8/16/02................... 4,726
5,000 Midland Bank PLC, 7.63%, 6/15/06 (b)........ 5,063
6,000 Morgan Stanley, 6.13%, 10/1/03.............. 5,670
5,000 Principal Mutual, 7.88%, 3/1/24............. 4,694
5,000 Spieker Properties, 6.65%, 12/15/00......... 4,825
8,000 Taubman Realty Group, 7.00%, 10/1/03........ 7,660
3,000 Wellsford Residential Property, 7.25%,
8/15/00................................... 2,974
---------
110,037
---------
Industrial (11.1%):
3,000 Boise Cascade Co., 9.45%, 11/01/09.......... 3,390
2,000 CSX Corp., 8.25%, 11/1/96................... 2,015
5,000 Consolidated Freightways, 9.13%, 8/15/99.... 5,225
10,000 General Motors Corp., 9.13%, 7/15/01........ 10,888
5,000 Lockheed Corp., 5.65%, 4/1/97............... 4,987
5,000 Marriott International, 6.75%, 12/1/09...... 4,581
6,300 McDonnell Douglas, 8.63%, 4/1/97............ 6,418
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ----------- -------------------------------------------- ---------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Industrial, continued:
$ 5,000 Newmont Gold Co., 8.91%, 1/5/09............. $ 5,312
5,000 Penske Truck Leasing, 8.25%, 11/1/99........ 5,250
6,000 Sun Co., Inc., 8.13%, 11/1/99............... 6,225
5,000 Tenneco, Inc., 10.00%, 8/1/98............... 5,331
---------
59,622
---------
Utilities (2.2%):
3,991 Salton Sea Funding Corp., 6.69%, 5/30/00.... 3,996
5,000 NRG Energy Corp., 7.63%, 2/1/06, 144A....... 4,694
3,000 Transcont Gas, 9.00%, 11/15/96.............. 3,034
---------
11,724
---------
Yankee & Eurodollar (16.9%):
5,000 BCH Cayman Islands, 8.25%, 6/15/04.......... 5,187
5,000 Bangkok Bank Public Co. Ltd., 7.25%,
9/15/05, 144A............................. 4,819
5,000 Canadian National Railway, 7.00%, 3/15/04... 4,894
5,000 Celulosa Arauco, 6.75%, 12/15/03............ 4,713
9,170 Centragas, Series 144A, 10.65%, 12/1/10..... 9,583
5,000 China International Trust & Investing,
9.00%, 10/15/06........................... 5,300
6,000 Honam Oil Refinery Co., 7.13%, 10/15/05,
144A...................................... 5,738
5,000 Macmillan Bloedel Ltd., 6.75%, 2/15/06...... 4,675
3,500 MEPC Finance Inc., 7.50%, 5/1/03............ 3,522
5,000 Oslo Seismic Service, 8.28%, 6/1/11, 144A... 5,044
6,000 Peoples Republic of China, 7.38%, 7/3/01.... 5,974
5,000 Pohang Iron & Steel Co., 7.38%, 5/15/05..... 4,938
5,000 Province of Quebec, 6.50%, 1/17/06.......... 4,706
5,000 Security Pacific Corp., 11.00%, 3/1/01...... 5,788
5,000 Kansalis-Osake Pankki, 9.75%, 12/15/98...... 5,350
5,000 Scotland International Finance, 8.80%,
1/27/04, 144A............................. 5,413
5,000 Tenaga Nasional Berhad, 7.88%, 6/15/04,
144A...................................... 5,169
---------
90,813
---------
Total Corporate Bonds 272,196
---------
OTHER MORTGAGE BACKED SECURITIES (0.9%):
5,813 Chase Manhattan Finance Corp., 6.25%,
12/15/09 Series 93-D, Class A2............ 4,890
---------
Total Other Mortgage Backed Securities 4,890
---------
U.S. GOVERNMENT AGENCIES (20.3%):
Federal Home Loan Bank:
10,000 7.10%, 3/16/98.............................. 10,130
Federal Home Loan Mortgage Corp.:
5,000 7.13%, 7/21/99.............................. 5,096
5,069 7.00%, 6/1/09, Gold Pool #E00313............ 5,005
8,973 7.00%, 5/1/11, Gold Pool #E00434............ 8,861
9,953 7.50%, 5/1/11............................... 10,005
7,976 7.00%, 6/1/11............................... 7,876
</TABLE>
CONTINUED
- ----26
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
INCOME BOND FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1996
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ----------- -------------------------------------------- ---------
U.S. GOVERNMENT AGENCIES, CONTINUED:
<C> <S> <C>
Federal Home Loan Mortgage Corp.:, continued:
$ 4,929 7.00%, 2/01/11.............................. $ 4,868
1,340 7.50%, 6/1/24, Pool #C80161................. 1,324
17,480 7.00%, 9/1/24, Pool #G00271................. 16,836
7,740 7.50%, 10/1/24.............................. 7,648
Federal National Mortgage Assoc.:
17,618 8.00%, 12/1/09, Pool #250168................ 17,987
13,658 7.50%, 9/1/25, Pool #324179................. 13,488
---------
Total U.S. Government Agencies 109,124
---------
U.S. TREASURY BONDS (10.4%):
3,250 13.38%, 8/15/01 (b)......................... 4,221
9,500 11.88%, 11/15/03 (b)........................ 12,374
4,000 10.75%, 8/15/05 (b)......................... 5,085
28,000 9.00%, 11/15/18............................. 34,170
---------
Total U.S. Treasury Bonds 55,850
---------
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ----------- -------------------------------------------- ---------
<C> <S> <C>
U.S. TREASURY NOTES (4.3%):
$ 5,000 7.25%, 8/15/04 (b).......................... $ 5,182
5,000 7.50%, 2/15/05 (b).......................... 5,262
13,000 5.88%, 6/30/00 (b).......................... 12,753
---------
Total U.S. Treasury Notes 23,197
---------
Total Investment, at value 529,370
---------
REPURCHASE AGREEMENTS (1.6%):
8,346 Lehman Brothers, 5.51%, 7/1/96,
(collateralized by $8,820 Federal Home
Loan Bank, 7.22%, 11/8/05, market value
$8,514) 8,346
---------
Total Repurchase Agreements 8,346
---------
Total (Cost--$523,732)(a) $ 537,716
---------
---------
</TABLE>
- ------------
Percentages indicated are based on net assets of $536,476.
<TABLE>
<C> <S>
(a) Represents cost for federal income tax purposes and differs from value by net unrealized appreciation of securities as
follows
</TABLE>
<TABLE>
<S> <C>
Unrealized appreciation.................................................... $ 16,145
Unrealized depreciation.................................................... (2,161)
---------
Net unrealized appreciation................................................ $ 13,984
---------
---------
</TABLE>
<TABLE>
<C> <S>
(b) A portion of this security was loaned as of June 30, 1996.
</TABLE>
At June 30, 1996, the Portfolio's open futures contracts were as follows:
<TABLE>
<CAPTION>
OPEN CURRENT
# OF POSITIONS MARKET
CONTRACTS CONTRACT TYPE (000) VALUE (000)
- ---------- ----------------------------------------------------------- ----------- -----------
<C> <S> <C> <C>
SHORT CONTRACTS
200 U.S. Treasury 20 Year Bond, September 1996................. $ 21,252 $ 21,906
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
27----
<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> <C>
LIMITED
GOVERNMENT VOLATILITY BOND INTERMEDIATE GOVERNMENT INCOME
ARM FUND FUND BOND FUND BOND FUND BOND FUND
------------- --------------- ----------- ----------- -----------
ASSETS:
Investments, at value........................ $ 56,934 $ 626,507 $ 242,410 $ 712,045 $ 529,370
Repurchase agreements, at cost............... 8,607 4,436 3,241 17,114 8,346
------------- --------------- ----------- ----------- -----------
Total (cost $66,003; $631,998; $248,425;
$733,350; $523,732, respectively).......... 65,541 630,943 245,651 729,159 537,716
Interest receivable.......................... 361 8,259 3,451 7,521 8,104
Receivable from brokers for investments
sold....................................... 372 209 5,139 -- --
Receivable for capital shares issued......... 24 168 594 309 387
Receivable from advisor...................... 29 147 60 -- 87
Deferred organization costs.................. 8 -- -- 5 --
------------- --------------- ----------- ----------- -----------
Total Assets............................. 66,335 639,726 254,895 736,994 546,294
------------- --------------- ----------- ----------- -----------
LIABILITIES:.................................
Cash overdrafts.............................. 23 138 517 238 160
Dividends payable............................ 312 2,955 1,325 3,870 3,016
Payable to brokers for investments
purchased.................................. 3,484 4,978 1,991 5,289 5,974
Payable for capital shares redeemed.......... 1 2 1 1 1
Net variation margin on futures contracts.... 15 -- -- 223 213
Accrued expenses and other payables:
Investment advisory fees................... 28 294 121 268 261
Administration fees........................ 8 81 33 99 72
12b-1 fees (Class A)....................... 1 4 3 8 2
12b-1 fees (Class B)....................... 1 4 4 8 4
Other...................................... 73 88 305 82 115
------------- --------------- ----------- ----------- -----------
Total Liabilities........................ 3,946 8,544 4,300 10,086 9,818
------------- --------------- ----------- ----------- -----------
NET ASSETS:
Capital...................................... 66,978 639,183 257,643 752,154 577,283
Undistributed (distributions in excess of)
net investment income...................... (313) (121) 94 (325) 396
Accumulated undistributed net realized losses
from investment and futures transactions... (3,772) (6,825) (4,368) (20,043) (54,533)
Net unrealized appreciation (depreciation)
from investments and futures............... (504) 1,055 (2,774) (4,878) 13,330
------------- --------------- ----------- ----------- -----------
Net Assets................................... $ 62,389 $ 631,182 $ 250,595 $ 726,908 $ 536,476
------------- --------------- ----------- ----------- -----------
------------- --------------- ----------- ----------- -----------
Net Assets...................................
Fiduciary.................................. $ 57,276 $ 604,916 $ 230,812 $ 677,326 $ 520,239
Class A.................................... 3,969 21,343 13,706 38,800 10,127
Class B.................................... 1,144 4,923 6,077 10,782 6,110
------------- --------------- ----------- ----------- -----------
$ 62,389 $ 631,182 $ 250,595 $ 726,908 $ 536,476
------------- --------------- ----------- ----------- -----------
------------- --------------- ----------- ----------- -----------
Outstanding units of beneficial interest
(shares)...................................
Fiduciary.................................. 5,853 58,043 23,457 70,842 55,786
Class A.................................... 406 2,050 1,389 4,056 1,087
Class B.................................... 117 469 618 1,128 650
------------- --------------- ----------- ----------- -----------
Total.................................... 6,376 60,562 25,464 76,026 57,523
------------- --------------- ----------- ----------- -----------
------------- --------------- ----------- ----------- -----------
Net asset value
Fiduciary--offering and redemption price
per share................................ $ 9.79 $ 10.42 $ 9.84 $ 9.56 $ 9.33
------------- --------------- ----------- ----------- -----------
------------- --------------- ----------- ----------- -----------
Class A--redemption price per share........ $ 9.78 $ 10.41 $ 9.87 $ 9.57 $ 9.32
------------- --------------- ----------- ----------- -----------
------------- --------------- ----------- ----------- -----------
Class A--maximum sales charge.............. 3.00 % 3.00 % 4.50 % 4.50 % 4.50 %
------------- --------------- ----------- ----------- -----------
------------- --------------- ----------- ----------- -----------
Class A maximum offering price
(100%/(100%-- maximum sales charge) of
net asset value adjusted to nearest cent)
per share................................ $ 10.08 $ 10.73 $ 10.34 $ 10.02 $ 9.76
------------- --------------- ----------- ----------- -----------
------------- --------------- ----------- ----------- -----------
Class B--offering price per share (a)...... $ 9.76 $ 10.49 $ 9.83 $ 9.56 $ 9.40
------------- --------------- ----------- ----------- -----------
------------- --------------- ----------- ----------- -----------
</TABLE>
- ------------
<TABLE>
<C> <S>
(a) Redemption price per Class B share varies based on length of time shares are held.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- ----28
<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> <C>
LIMITED INTERMEDIATE
GOVERNMENT VOLATILITY BOND BOND GOVERNMENT INCOME
ARM FUND FUND FUND BOND FUND BOND FUND
------------- --------------- ------------- ----------- -----------
INVESTMENT INCOME:
Interest income.............................. $ 3,423 $ 30,286 $ 16,008 $ 34,941 $ 37,285
Dividend income.............................. -- 62 25 --
Income from securities lending............... -- 120 91 178 91
------ ------- ------------- ----------- -----------
Total Income................................. 3,423 30,468 16,099 35,144 37,376
------ ------- ------------- ----------- -----------
EXPENSES:
Investment advisory fees..................... 283 2,781 1,359 2,253 3,053
Administration fees.......................... 86 774 378 835 850
12b-1 fees (Class A)......................... 8 53 34 63 29
12b-1 fees (Class B)......................... 3 34 25 60 36
Custodian and accounting fees................ 27 57 59 94 39
Legal and audit fees......................... 16 55 36 71 56
Organization costs........................... 5 3 -- 3 --
Trustees' fees and expenses.................. 2 8 5 11 8
Transfer agent fees.......................... 74 85 65 106 61
Registration and filing fees................. 35 32 54 79 21
Printing costs............................... 8 30 24 51 36
Other........................................ 12 8 3 8 6
------ ------- ------------- ----------- -----------
Total expenses before
waivers/reimbursements..................... 559 3,920 2,042 3,634 4,195
Less waivers/reimbursements.................. (316) (1,470) (760) (113) (1,148)
------ ------- ------------- ----------- -----------
Net Expenses............................. 243 2,450 1,282 3,521 3,047
------ ------- ------------- ----------- -----------
Net Investment Income........................ 3,180 28,018 14,817 31,623 34,329
------ ------- ------------- ----------- -----------
REALIZED/UNREALIZED GAINS (LOSSES) FROM
INVESTMENTS AND FUTURES:
Net realized gains (losses) from investment
and futures transactions................... (594) 1,885 1,421 (2,769) (1,361)
Net change in unrealized appreciation
(depreciation) from investments and
futures.................................... 150 (6,631) (5,722) (15,409) (11,155)
------ ------- ------------- ----------- -----------
Net realized/unrealized losses from
investments and futures.................... (444) (4,746) (4,301) (18,178) (12,516)
------ ------- ------------- ----------- -----------
Change in net assets resulting from
operations................................. $ 2,736 23,272 10,516 $ 13,445 $ 21,813
------ ------- ------------- ----------- -----------
------ ------- ------------- ----------- -----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
29----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS JUNE 30, 1996
<TABLE>
<CAPTION>
(Amounts in Thousands)
<S> <C> <C> <C> <C> <C> <C>
GOVERNMENT LIMITED INTERMEDIATE
ARM FUND VOLATILITY BOND FUND BOND FUND
---------------------- -------------------- ------------------------
<CAPTION>
YEAR YEAR YEAR
YEAR ENDED ENDED ENDED ENDED YEAR ENDED YEAR ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30,
1996 1995 1996 1995 1996 1995
----------- --------- --------- --------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income.................... $ 3,180 $ 4,538 $ 28,018 $ 24,649 $ 14,817 $ 9,509
Net realized gains (losses) from
investment and futures transactions.... (594) (2,023) 1,885 (7,605) 1,421 (4,330)
Net change in unrealized appreciation
(depreciation) from investments and
futures................................ 150 1,410 (6,631) 14,800 (5,722) 7,307
----------- --------- --------- --------- ----------- -----------
Change in net assets resulting from
operations................................ 2,736 3,925 23,272 31,844 10,516 12,486
----------- --------- --------- --------- ----------- -----------
DISTRIBUTIONS TO FIDUCIARY SHAREHOLDERS:
From net investment income............... (2,924) (3,574) (26,964) (23,512) (14,065) (9,373)
In excess of net investment income....... -- (222) -- (107) -- --
Tax return of capital.................... (26) -- -- -- -- --
DISTRIBUTIONS TO CLASS A SHAREHOLDERS:
From net investment income............... (129) (554) (878) (732) (607) (136)
In excess of net investment income....... -- (12) -- (16) -- --
DISTRIBUTIONS TO CLASS B SHAREHOLDERS:
From net investment income............... (24) (5) (175) (121) (144) (1)
DISTRIBUTIONS TO SERVICE SHAREHOLDERS:
From net investment income............... -- -- -- (3) -- --
----------- --------- --------- --------- ----------- -----------
Change in net assets from shareholder
distributions............................. (3,103) (4,367) (28,017) (24,491) (14,816) (9,510)
----------- --------- --------- --------- ----------- -----------
CAPITAL TRANSACTIONS:
Proceeds from shares issued.............. 38,704 35,084 325,572 157,468 121,175 126,318
Proceeds from shares issued in connection
with acquisition....................... -- -- 123,673 -- -- 39,916
Dividends reinvested..................... 1,028 1,806 8,797 8,292 3,437 2,748
Cost of shares redeemed.................. (32,817) (139,268) (248,283) (211,545) (66,140) (74,018)
----------- --------- --------- --------- ----------- -----------
Change in net assets from share
transactions.............................. 6,915 (102,378) 209,759 (45,785) 58,472 94,964
----------- --------- --------- --------- ----------- -----------
Change in net assets......................... 6,548 (102,820) 205,014 (38,432) 54,172 97,940
NET ASSETS:
Beginning of period...................... 55,841 158,661 426,168 464,600 196,423 98,483
----------- --------- --------- --------- ----------- -----------
End of period............................ $ 62,389 $ 55,841 $ 631,182 $ 426,168 $ 250,595 $ 196,423
----------- --------- --------- --------- ----------- -----------
----------- --------- --------- --------- ----------- -----------
SHARE TRANSACTIONS:
Issued................................... 3,934 3,568 31,111 15,271 12,114 12,678
Issued in connection with acquisition.... -- -- 11,748 -- -- 4,204
Reinvested............................... 105 183 834 803 343 282
Redeemed................................. (3,338) (14,185) (23,593) (20,592) (6,607) (7,677)
----------- --------- --------- --------- ----------- -----------
Change in shares............................. 701 (10,434) 20,100 (4,518) 5,850 9,487
----------- --------- --------- --------- ----------- -----------
----------- --------- --------- --------- ----------- -----------
Undistributed (distributions in excess of)
net investment income included in net
assets:
End of period............................ $ (313) $ (236) $ (121) $ (122) $ 94 $ 116
----------- --------- --------- --------- ----------- -----------
----------- --------- --------- --------- ----------- -----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- ----30
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS JUNE 30, 1996
<TABLE>
<CAPTION>
(Amounts in Thousands)
<S> <C> <C> <C> <C>
GOVERNMENT INCOME
BOND FUND BOND FUND
-------------------- --------------------
<CAPTION>
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30,
1996 1995 1996 1995
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income............................................. $ 31,623 $ 19,067 $ 34,329 $ 34,411
Net realized gains (losses) from investment and futures
transactions.................................................... (2,769) (7,094) (1,361) (53,134)
Net change in unrealized appreciation (depreciation) from
investments and futures......................................... (15,409) 16,133 (11,155) 68,445
--------- --------- --------- ---------
Change in net assets resulting from operations........................ 13,445 28,106 21,813 49,722
--------- --------- --------- ---------
DISTRIBUTIONS TO FIDUCIARY SHAREHOLDERS:
From net investment income........................................ (30,195) (18,433) (33,573) (33,925)
In excess of net investment income................................ -- (300) -- (61)
In excess of net realized gains from investment transactions...... -- -- -- (2,306)
DISTRIBUTIONS TO CLASS A SHAREHOLDERS:
From net investment income........................................ (1,103) (247) (545) (338)
In excess of net investment income................................ -- (4) -- (11)
In excess of net realized gains from investment transactions...... -- -- -- (24)
DISTRIBUTIONS TO CLASS B SHAREHOLDERS:
From net investment income........................................ (324) (76) (211) (73)
In excess of net realized gains from investment transactions...... -- -- -- (5)
DISTRIBUTIONS TO SERVICE SHAREHOLDERS:
From net investment income........................................ -- -- -- (11)
In excess of net realized gains from investment transactions...... -- -- -- (1)
--------- --------- --------- ---------
Change in net assets from shareholder distributions................... (31,622) (19,060) (34,329) (36,755)
--------- --------- --------- ---------
CAPITAL TRANSACTIONS:
Proceeds from shares issued....................................... 451,887 175,681 166,169 147,583
Proceeds from shares issued in connection with acquisition........ 301,865 96,760 -- --
Dividends reinvested.............................................. 8,081 7,435 13,106 17,360
Cost of shares redeemed........................................... (407,217) (110,491) (113,090) (261,301)
--------- --------- --------- ---------
Change in net assets from share transactions.......................... 354,616 169,385 66,185 (96,358)
--------- --------- --------- ---------
Change in net assets.................................................. 336,439 178,431 53,669 (83,391)
NET ASSETS:
Beginning of period............................................... 390,469 212,038 482,807 566,198
--------- --------- --------- ---------
End of period..................................................... $ 726,908 $ 390,469 $ 536,476 $ 482,807
--------- --------- --------- ---------
--------- --------- --------- ---------
SHARE TRANSACTIONS:
Issued............................................................ 45,897 17,640 17,425 16,030
Issued in connection with acquisition............................. 30,887 10,564 -- --
Reinvested........................................................ 821 789 1,371 1,893
Redeemed.......................................................... (41,383) (11,871) (11,865) (28,705)
--------- --------- --------- ---------
--------- --------- --------- ---------
Change in shares...................................................... 36,222 17,122 6,931 (10,782)
--------- --------- --------- ---------
--------- --------- --------- ---------
Undistributed (distributions in excess of) net investment income
included in net assets:
End of period..................................................... $ (325) $ (302) $ 396 $ (71)
--------- --------- --------- ---------
--------- --------- --------- ---------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
31----
<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 an 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 Government
ARM Fund, the Limited Volatility Bond Fund, the Intermediate Bond Fund, the
Government Bond Fund and the Income Bond Fund (individually a "Fund",
collectively the "Funds") only. The Funds are each offered in Fiduciary
Class, Class A and Class B Shares. Class A Shares are subject to initial
sales charges, imposed at the time of purchase, in accordance with the
Funds' prospectuses. Certain redemptions of Class B Shares are subject to
contingent deferred sales charges in accordance with the Funds'
prospectuses. Each Fund is a diversified mutual fund.
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 Government ARM Fund will be renamed the Ultra Short-Term Income Fund
effective September 1, 1996.
The Funds' investment objectives are as follows:
<TABLE>
<CAPTION>
FUND OBJECTIVE
- -------------------------------- ----------------------------------------------------------------
<S> <C>
Government ARM Fund A high level of current income consistent with low volatility of
principal.
Limited Volatility Bond Fund Current income consistent with preservation of capital through
investment in high and medium-grade fixed-income securities.
Intermediate Bond Fund Current income consistent with the preservation of capital
through investment in high and medium-grade fixed-income
securities with intermediate maturities.
Government Bond Fund A high level of current income with liquidity and safety of
principal.
Income Bond Fund Current income by investing in a portfolio of high and
medium-grade fixed-income securities.
</TABLE>
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies followed by
the Trust in 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
Corporate debt securities and debt securities of U.S. issuers (other than
short-term investments maturing in 60 days or less), including municipal
securities, are valued on the basis of valuations provided by dealers or by
an independent pricing service approved by the Board of Trustees.
Short-term investments maturing in 60
CONTINUED
- ----32
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1996
days or less are valued at amortized cost, which approximates market value.
Futures contracts are valued at the settlement price established each day
by the board of trade or an exchange on which they are traded. Options
traded on an exchange are valued using the last sale price or, in the
absence of a sale, the last offering price. Options traded over-the-counter
are valued using dealer-supplied valuations. Investments for which there
are no such quotations or valuations are valued at fair value as determined
in good faith by the investment adviser under the direction of the Board of
Trustees.
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 agreement 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.
WRITTEN OPTIONS
The Funds may write covered call or put options for which premiums received
are recorded as liabilities and are subsequently adjusted to the current
value of the options written. Premiums received from writing options which
expire are treated as realized gains. Premiums received from writing
options, which are either exercised or closed, are offset against the
proceeds received or amount paid on the transaction to determine realized
gains or losses.
FUTURES CONTRACTS
The Funds may enter into futures contracts for the delayed delivery of
securities at a fixed price at some future date or for the change in the
value of a specified financial index over a predetermined time period. Cash
or securities are deposited with brokers in order to maintain a position.
Subsequent payments made or received by the fund based on the daily change
in the market value of the position are recorded as unrealized appreciation
or depreciation until the contract is closed out, at which time the
appreciation or depreciation is realized.
INDEXED SECURITIES
The Funds may invest in indexed securities whose value is linked either
directly or inversely to changes in foreign currencies, interest rates,
commodities, indices or other reference instruments. Indexed securities may
be more volatile than the referenced instrument itself, but any loss is
limited to the amount of the original investment.
MORTGAGE ROLLS
The Funds may enter into mortgage "dollar rolls" in which the Fund sells
mortgage-backed securities for delivery in the current month and
simultaneously contracts to repurchase substantially similar securities on
a specified future date. During the roll period, the Fund forgoes principal
and interest paid on the mortgage-backed securities. The Fund is
compensated by fee income, for the difference between the current sales
price and the lower forward price for the future purchase.
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
CONTINUED
33----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1996
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:
<TABLE>
<CAPTION>
MARKET VALUE
OF LOANED
SECURITIES
--------------
<S> <C>
Limited Volatility Bond Fund....................................................... $ 97,087,522
Intermediate Bond Fund............................................................. 65,589,541
Government Bond Fund............................................................... 115,339,591
Income Bond Fund................................................................... 40,252,844
</TABLE>
The loaned securities were fully collateralized by cash and U.S. Government
securities as of June 30, 1996.
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. Dividends are recorded on the ex-dividend date. Interest
income, including any discount or premium, is accrued as earned using the
effective interest method.
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 and paid monthly for the
Funds. Net realized capital gains, if any, are 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.
Distributions from net investment income and from net capital gains are
determined in accordance with income tax regulations which may differ from
generally accepted accounting principles. These differences are primarily
due to differing treatments for mortgage-backed securities, expiring
capital loss carryforwards, and deferrals of certain losses. Permanent book
and tax basis differences, which affect shareholder distributions, have
been reclassified to additional paid-in capital.
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
CONTINUED
- ----34
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1996
method over a period of five years beginning with the commencement of each
Fund's operations. All such costs, which are attributable to more than one
fund, 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
The Trust treats each Fund as a separate entity for Federal income tax
purposes. 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 from net investment income and from
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-two 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 June 30, 1995:
CONTINUED
35----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1996
<TABLE>
<CAPTION>
(Amounts in Thousands)
<S> <C> <C> <C> <C> <C> <C>
GOVERNMENT ARM FUND LIMITED VOLATILITY
BOND FUND INTERMEDIATE BOND FUND
---------------------- --------------------
YEAR YEAR YEAR ------------------------
YEAR ENDED ENDED ENDED ENDED YEAR ENDED YEAR ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30,
1996 1995 1996 1995 1996 1995
----------- --------- --------- --------- ----------- -----------
CAPITAL TRANSACTIONS:
FIDUCIARY SHARES:
Proceeds from shares issued..................... $ 35,008 $ 34,868 $ 196,323 $ 152,849 $ 102,645 $ 125,119
Proceeds from shares issued in connection with
acquisition................................... -- -- 115,134 -- -- 35,113
Dividends reinvested............................ 923 1,732 8,093 7,661 2,976 2,663
Cost of shares redeemed......................... (29,367) (124,793) (129,046) (204,209) (62,091) (73,001)
----------- --------- --------- --------- ----------- -----------
Change in net assets from Fiduciary Share
transactions.................................. $ 6,564 $ (88,193) $ 190,504 $ (43,699) $ 43,530 $ 89,894
----------- --------- --------- --------- ----------- -----------
----------- --------- --------- --------- ----------- -----------
CLASS A SHARES:
Proceeds from shares issued..................... $ 2,666 $ 70 $ 126,619 $ 3,343 $ 12,374 $ 934
Proceeds from shares issued in connection with
acquisition................................... -- -- 8,153 -- -- 4,803
Dividends reinvested............................ 89 70 569 518 381 84
Cost of shares redeemed......................... (3,395) (14,471) (118,533) (6,811) (3,716) (1,016)
----------- --------- --------- --------- ----------- -----------
Change in net assets from Class A Share
transactions.................................. $ (640) $ (14,331) $ 16,808 $ (2,950) $ 9,039 $ 4,805
----------- --------- --------- --------- ----------- -----------
----------- --------- --------- --------- ----------- -----------
CLASS B SHARES:
Proceeds from shares issued..................... $ 1,030 $ 146 $ 2,630 $ 1,164 $ 6,156 $ 265
Proceeds from shares issued in connection with
acquisition................................... -- -- 386 -- -- --
Dividends reinvested............................ 16 4 135 110 80 1
Cost of shares redeemed......................... (55) (4) (704) (391) (333) (1)
----------- --------- --------- --------- ----------- -----------
Change in net assets from Class B Share
transactions.................................. $ 991 $ 146 $ 2,447 $ 883 $ 5,903 $ 265
----------- --------- --------- --------- ----------- -----------
----------- --------- --------- --------- ----------- -----------
SERVICE SHARES:
Proceeds from shares issued..................... $ 112
Dividends reinvested............................ 3
Cost of shares redeemed......................... (134)
---------
Change in net assets from Service Share
transactions.................................. $ (19)
---------
---------
SHARE TRANSACTIONS:
FIDUCIARY SHARES:
Issued.......................................... 3,560 3,545 19,600 14,826 10,266 12,567
Issued in connection with acquisition........... -- -- 10,936 -- -- 3,700
Reinvested...................................... 94 176 768 742 296 274
Redeemed........................................ (2,989) (12,706) (12,260) (19,884) (6,200) (7,573)
----------- --------- --------- --------- ----------- -----------
Change in Fiduciary Shares...................... 665 (8,985) 19,044 (4,316) 4,362 8,968
----------- --------- --------- --------- ----------- -----------
----------- --------- --------- --------- ----------- -----------
CLASS A SHARES:
Issued.......................................... 269 8 11,297 323 1,231 84
Issued in connection with acquisition........... -- -- 775 -- -- 504
Reinvested...................................... 10 7 54 50 39 8
Redeemed........................................ (344) (1,479) (11,265) (658) (373) (104)
----------- --------- --------- --------- ----------- -----------
Change in Class A Shares........................ (65) (1,464) 861 (285) 897 492
----------- --------- --------- --------- ----------- -----------
----------- --------- --------- --------- ----------- -----------
CLASS B SHARES:
Issued.......................................... 105 15 215 111 617 27
Issued in connection with acquisition........... -- -- 36 -- -- --
Reinvested...................................... 1 -- 12 11 8 --
Redeemed........................................ (5) -- (68) (38) (34) --
----------- --------- --------- --------- ----------- -----------
Change in Class B Shares........................ 101 15 195 84 591 27
----------- --------- --------- --------- ----------- -----------
----------- --------- --------- --------- ----------- -----------
SERVICE SHARES:
Issued.......................................... 11
Reinvested...................................... --
Redeemed........................................ (12)
---------
Change in Service Shares........................ (1)
---------
---------
</TABLE>
CONTINUED
- ----36
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1996
<TABLE>
<CAPTION>
(Amounts in Thousands)
<S> <C> <C> <C> <C>
GOVERNMENT BOND FUND
INCOME BOND FUND
-------------------- --------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30,
1996 1995 1996 1995
--------- --------- --------- ---------
CAPITAL TRANSACTIONS:
FIDUCIARY SHARES:
Proceeds from shares issued......................................... $ 135,419 $ 170,196 $ 154,901 $ 142,061
Proceeds from shares issued in connection with acquisition.......... 273,384 92,808 -- --
Dividends reinvested................................................ 7,234 7,203 12,601 17,045
Cost of shares redeemed............................................. (128,141) (108,841) (109,230) (257,754)
--------- --------- --------- ---------
Change in net assets from Fiduciary Share transactions.............. $ 287,896 $ 161,366 $ 58,272 $ (98,648)
--------- --------- --------- ---------
--------- --------- --------- ---------
CLASS A SHARES:
Proceeds from shares issued......................................... $ 307,157 $ 3,603 $ 6,470 $ 3,989
Proceeds from shares issued in connection with acquisition.......... 26,507 3,952 -- --
Dividends reinvested................................................ 647 178 391 260
Cost of shares redeemed............................................. (278,122) (1,509) (3,302) (2,993)
--------- --------- --------- ---------
Change in net assets from Class A Share transactions................ $ 56,189 $ 6,224 $ 3,559 $ 1,256
--------- --------- --------- ---------
--------- --------- --------- ---------
CLASS B SHARES:
Proceeds from shares issued......................................... $ 9,312 $ 1,870 $ 4,798 $ 1,213
Proceeds from shares issued in connection with acquisition.......... 1,973 -- --
Dividends reinvested................................................ 200 54 114 43
Cost of shares redeemed............................................. (954) (129) (558) (151)
--------- --------- --------- ---------
Change in net assets from Class B Share transactions................ $ 10,531 $ 1,795 $ 4,354 $ 1,105
--------- --------- --------- ---------
--------- --------- --------- ---------
SERVICE SHARES:
Proceeds from shares issued......................................... $ 12 $ 320
Dividends reinvested................................................ -- 12
Cost of shares redeemed............................................. (12) (403)
--------- ---------
Change in net assets from Service Share transactions................ $ 0 $ (71)
--------- ---------
--------- ---------
SHARE TRANSACTIONS:
FIDUCIARY SHARES:
Issued.............................................................. 16,246 17,086 16,245 15,438
Issued in connection with acquisition............................... 27,974 10,133 -- --
Reinvested.......................................................... 735 764 1,318 1,859
Redeemed............................................................ (12,833) (11,695) (11,460) (28,323)
--------- --------- --------- ---------
Change in Fiduciary Shares.......................................... 32,122 16,288 6,103 (11,026)
--------- --------- --------- ---------
--------- --------- --------- ---------
CLASS A SHARES:
Issued.............................................................. 28,902 359 680 427
Issued in connection with acquisition............................... 2,711 431 -- --
Reinvested.......................................................... 66 19 41 28
Redeemed............................................................ (28,451) (161) (347) (323)
--------- --------- --------- ---------
Change in Class A Shares............................................ 3,228 648 374 132
--------- --------- --------- ---------
--------- --------- --------- ---------
CLASS B SHARES:
Issued.............................................................. 749 194 500 130
Issued in connection with acquisition............................... 202 -- -- --
Reinvested.......................................................... 20 6 12 5
Redeemed............................................................ (99) (14) (58) (17)
--------- --------- --------- ---------
Change in Class B Shares............................................ 872 186 454 118
--------- --------- --------- ---------
--------- --------- --------- ---------
SERVICE SHARES:
Issued.............................................................. 1 35
Reinvested.......................................................... -- 1
Redeemed............................................................ (1) (42)
--------- ---------
Change in Service Shares............................................ 0 (6)
--------- ---------
--------- ---------
</TABLE>
CONTINUED
37----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1996
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
the following percentages of the Funds' average net assets: 0.60% of the
Income Bond Fund, the Intermediate Bond Fund and the Limited Volatility Bond
Fund; 0.55% of the Government ARM Fund; and 0.45% of the Government Bond
Fund.
The Trust and The One Group Services Company (the "Administrator"), a
wholly-owned subsidiary of The BISYS Group, Inc., are parties to an
administrative 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 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% of 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 Advisor receives a fee paid by the Administrator. Prior to November 30,
1995, The Shareholder Services Group d/b/a 440 Financial served 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
administration 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 and Class B Shares are subject to a distribution
and shareholder services plan (the "Plans") pursuant to Rule 12b-1 under the
1940 Act. As provided in the Plans, 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 and 1.00% of the average daily net assets of the Class B Shares of each
of the Funds. Currently, the Distributor has voluntarily agreed to limit
payments under the Plans to 0.25% of average daily net assets of the Class A
Shares of each Fund, 0.75% of average daily net assets of the Class B Shares
of Government ARM Fund and Limited Volatility Bond Fund and 0.90% of average
daily net assets of Intermediate Bond Fund, Government Bond Fund and Income
Bond Fund. Up to 0.25% of the fees payable under the Plans may be used as
compensation for shareholder services by the Distributor and/or financial
institutions and intermediaries. Fees paid under the Plans 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. For the year
ended June 30, 1996 the Distributor received $1,156,417 from commissions
earned on sales of Class A Shares and redemptions of Class B Shares, of which
the Distributor re-allowed $1,093,677 to affiliated broker-dealers of the
Fund.
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 with the Administrator. Such
officers receive no compensation from the Funds for serving in their
respective roles.
CONTINUED
- ----38
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1996
The Adviser, the Administrator and the 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>
12B-1 FEES WAIVED/
INVESTMENT
ADVISORY FEES REIMBURSED
WAIVED/ ADMINISTRATION FEES --------------------------
REIMBURSED WAIVED/ REIMBURSED CLASS A CLASS B
--------------- ------------------- ----------- -------------
<S> <C> <C> <C> <C>
Government ARM Fund............................................. $ 227 $ 86 $ 2 $ 1
Limited Volatility Bond Fund.................................... 1,450 -- 15 5
Intermediate Bond Fund.......................................... 747 -- 10 3
Government Bond Fund............................................ 70 19 18 6
Income Bond Fund................................................ 1,136 -- 8 4
</TABLE>
5. SECURITIES TRANSACTIONS:
The cost of security purchases and the proceeds from the sale of securities
(excluding short-term securities and purchased options) during the year
ended June 30, 1996 were as follows (amounts in thousands):
<TABLE>
<CAPTION>
U.S. GOVERNMENT
SECURITIES OTHER SECURITIES
----------------------- -----------------------
PURCHASES SALES PURCHASES SALES
----------- ---------- ----------- ----------
<S> <C> <C> <C> <C>
Government ARM Fund................................................. $ 36,776 $ 31,220 $ -- $ --
Limited Volatility Bond Fund........................................ 343,836 288,077 59,167 47,975
Intermediate Bond Fund.............................................. 163,753 113,801 53,344 151,182
Government Bond Fund................................................ 416,248 309,638 -- 1,070
Income Bond Fund.................................................... 319,475 286,740 210,826 178,968
</TABLE>
6. FINANCIAL INSTRUMENTS:
Investing in financial instruments such as written options, futures,
structured notes and indexed securities involves risk in excess of the
amounts reflected in the Statement of Assets and Liabilities. The face or
contract amounts reflect the extent of the involvement the Funds have in the
particular class of instrument. Risks associated with these instruments
include an imperfect correlation between the movements in the price of the
instruments and the price of the underlying securities and interest rates,
an illiquid secondary market for the instruments or inability of
counterparties to perform under the terms of the contract. The Funds enter
into these contracts primarily as a means to hedge against adverse
fluctuation in securities.
CONTINUED
39----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1996
7. FEDERAL TAX INFORMATION (UNAUDITED):
At June 30, 1996 the following Funds have capital loss carryforwards which
are available to offset future capital gains, if any:
<TABLE>
<CAPTION>
CAPITAL LOSS
CARRYFORWARD (000) EXPIRES
------------------ -----------
<S> <C> <C>
Government ARM Fund.................................................................... $ 1,065 2004
Government ARM Fund.................................................................... 2,283 2003
Limited Volatility Bond Fund........................................................... 3,301 2004
Limited Volatility Bond Fund........................................................... 2,720 2003
Limited Volatility Bond Fund........................................................... 443 2002
Limited Volatility Bond Fund........................................................... 165 2001
Limited Volatility Bond Fund........................................................... 197 2000
Intermediate Bond Fund................................................................. 1,980 2004
Intermediate Bond Fund................................................................. 1,321 2003
Intermediate Bond Fund................................................................. 845 2002
Intermediate Bond Fund................................................................. 222 2001
Government Bond Fund................................................................... 10,809 2003
Government Bond Fund................................................................... 2,565 2002
Income Bond Fund....................................................................... 1,942 2004
Income Bond Fund....................................................................... 52,042 2003
</TABLE>
Under current tax law, capital losses realized after October 31 may be
deferred and treated as occurring on the first day of the following fiscal
year. The following deferred losses will be treated as arising on the first
day of the fiscal year ended June 30, 1997:
<TABLE>
<CAPTION>
POST-OCTOBER
CAPITAL LOSSES
(000)
---------------
<S> <C> <C>
Government ARM Fund........................................................................ $ 468
Government Bond Fund....................................................................... 7,357
Income Bond Fund........................................................................... 1,183
</TABLE>
8. REORGANIZATIONS:
The Trust entered an Agreement and Plan of Reorganization ("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 Short-Term
Government Fund and the Paragon Intermediate-Term Bond Fund transferred
their assets and liabilities to the Limited Volatility Bond Fund and the
Government Bond Fund, respectively. 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
CONTINUED
- ----40
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1996
shareholders of Paragon at a special shareholder meeting. The following is a
summary of shares outstanding, net assets, net asset value per share and
unrealized appreciation immediately before and after the Reorganization
(amounts in thousands except net asset value):
<TABLE>
<CAPTION>
BEFORE REORGANIZATION AFTER
--------------------------- REORGANIZATION
PARAGON ---------------
SHORT-TERM LIMITED LIMITED
GOVERNMENT VOLATILITY VOLATILITY BOND
FUND BOND FUND FUND
------------- ------------ ---------------
<S> <C> <C> <C>
Shares................................................................. 12,208 39,898 51,646
Net Assets............................................................. $ 123,673 $ 420,044 $ 543,717
Net Asset Value:
Fiduciary............................................................ $ 10.53 $ 10.53
Class A.............................................................. $ 10.13 10.52 10.52
Class B.............................................................. 10.13 10.59 10.59
Unrealized Appreciation (Depreciation)................................. $ (785) $ 4,397 $ 3,612
<CAPTION>
BEFORE REORGANIZATION
--------------------------- AFTER
PARAGON REORGANIZATION
INTERMEDIATE- ---------------
TERM BOND GOVERNMENT GOVERNMENT BOND
FUND BOND FUND FUND
------------- ------------ ---------------
<S> <C> <C> <C>
Shares................................................................. 29,536 44,653 75,540
Net Assets............................................................. $ 301,865 $ 436,393 $ 738,258
Net Asset Value:
Fiduciary............................................................ $ 9.77 $ 9.77
Class A.............................................................. $ 10.22 9.78 9.78
Class B.............................................................. 10.25 9.77 9.77
Unrealized Appreciation................................................ $ 2,883 $ 5,934 $ 8,817
</TABLE>
Additionally, the Limited Volatility Bond Fund and the Government Bond Fund
had capital loss carryforwards from Paragon of approximately $1,106,000 and
$3,757,000, respectively.
On October 7, 1994, the Board of Trustees approved an agreement and plan of
reorganization for the acquisition of the Trademark Funds by the Trust. Under
the agreement and plan of reorganization, all assets and liabilities of the
Trademark Government Income Fund and the Trademark Short-Intermediate
Government Fund (the "Acquired Funds") were acquired by the Government Bond
Fund and the Intermediate Bond Fund, respectively (the "Acquiring Funds"), in
exchange for shares of each Acquiring Fund. The reorganization, which
qualified as a tax-free exchange for federal income tax purposes, was
completed following approval by the
CONTINUED
41----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1996
shareholders of the Acquired Funds. The following is a summary of shares
outstanding, net assets, unrealized depreciation and net asset value per
share immediately before and after the reorganization (amounts in thousands
except net asset value):
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
------------------------------------------- ---------------
TRADEMARK SHORT-INTERMEDIATE INTERMEDIATE INTERMEDIATE
GOVERNMENT FUND BOND FUND BOND FUND
----------------------------- ------------ ---------------
<S> <C> <C> <C>
Shares: *4,378 14,387 18,592
Net Assets: *$ 39,916 $ 136,529 $ 176,445
Net Asset Value:
Fiduciary............................................ *$ 9.12 $ 9.49 $ 9.49
Class A.............................................. $ 9.52 $ 9.52
Unrealized Depreciation................................ $ (3,636) $ (5,186) $ (8,822)
<CAPTION>
TRADEMARK GOVERNMENT GOVERNMENT GOVERNMENT BOND
INCOME FUND BOND FUND FUND
----------------------------- ------------ ---------------
<S> <C> <C> <C>
Shares: *10,770 25,385 35,949
Net Assets: *$ 96,760 $ 232,446 $ 329,206
Net Asset Value:
Fiduciary............................................ *$ 8.98 $ 9.16 $ 9.16
Class A.............................................. $ 9.16 $ 9.16
Unrealized Depreciation................................ $ (10,216) $ (7,028) $ (17,244)
</TABLE>
- ------------
<TABLE>
<C> <S>
* Before the reorganization, the Acquired Funds offered only one class of shares.
</TABLE>
Additionally, the Government Bond Fund and the Intermediate Bond Fund had
capital loss carryforwards from the Acquired Funds of approximately
$1,040,000 and $971,000, respectively.
CONTINUED
- ----42
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
GOVERNMENT ARM FUND
-----------------------------------------------------------
FIDUCIARY
-----------------------------------------------------------
YEARS ENDED JUNE 30,
-----------------------------------------------------------
1996 1995 1994 1993 (A)
------------ ------------ ------------- -------------
<S> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD............................. $ 9.84 $ 9.85 $ 10.03 $ 10.00
------------ ------------ ------------- -------------
Investment Activities
Net investment income........................... 0.62 0.55 0.36 0.17
Net realized and unrealized gains (losses) from
investments................................... (0.07) (0.05) (0.15) 0.03
------------ ------------ ------------- -------------
Total from Investment Activities.............. 0.55 0.50 0.21 0.20
------------ ------------ ------------- -------------
Distributions
Net investment income........................... (0.60) (0.48) (0.37) (0.17)
In excess of net investment income.............. -- (0.03) (0.02) --
------------ ------------ ------------- -------------
Total Distributions........................... (0.60) (0.51) (0.39) (0.17)
------------ ------------ ------------- -------------
NET ASSET VALUE,
END OF PERIOD................................... $ 9.79 $ 9.84 $ 9.85 $ 10.03
------------ ------------ ------------- -------------
------------ ------------ ------------- -------------
Total Return (Excludes Sales Charge).............. 5.71% 5.14% 2.16% 4.93%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)............... $ 57,276 $ 51,050 $ 139,593 $ 154,413
Ratio of expenses to average net assets......... 0.45% 0.61% 0.65% 0.58%(b)
Ratio of net investment income to average net
assets........................................ 6.20% 5.18% 3.70% 4.71%(b)
Ratio of expenses to average net assets*........ 1.06% 1.01% 0.81% 1.03%(b)
Ratio of net investment income to average net
assets*....................................... 5.59% 4.78% 3.54% 4.26%(b)
Portfolio Turnover (c).......................... 67.65% 2.91% 242.20% 109.96%
</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 Fund commenced operations on February 2, 1993.
</TABLE>
<TABLE>
<C> <S>
(b) Annualized.
</TABLE>
<TABLE>
<C> <S>
(c) Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing among the
classes of shares issued.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
43----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
GOVERNMENT ARM FUND
-----------------------------------------------------
CLASS A
-----------------------------------------------------
YEARS ENDED JUNE 30,
-----------------------------------------------------
1996 1995 1994 1993 (A)
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD................................................. $ 9.83 $ 9.84 $ 10.03 $ 10.00
----------- ----------- ----------- -----------
Investment Activities
Net investment income............................................... 0.58 0.52 0.36 0.14
Net realized and unrealized gains (losses) from investments......... (0.06) (0.06) (0.17) 0.03
----------- ----------- ----------- -----------
Total from Investment Activities.................................. 0.52 0.46 0.19 0.17
----------- ----------- ----------- -----------
Distributions
Net investment income............................................... (0.57) (0.46) (0.34) (0.14)
In excess of net investment income.................................. -- (0.01) (0.04) --
----------- ----------- ----------- -----------
Total Distributions............................................... (0.57) (0.47) (0.38) (0.14)
----------- ----------- ----------- -----------
NET ASSET VALUE,
END OF PERIOD....................................................... $ 9.78 $ 9.83 $ 9.84 $ 10.03
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
Total Return (Excludes Sales Charge).................................. 5.42% 4.84% 1.95% 4.78%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................................... $ 3,969 $ 4,631 $ 19,053 $ 3,106
Ratio of expenses to average net assets............................. 0.70% 0.86% 0.89% 0.81%(b)
Ratio of net investment income to average net assets................ 5.95% 4.88% 3.54% 4.47%(b)
Ratio of expenses to average net assets*............................ 1.41% 1.36% 1.14% 1.34%(b)
Ratio of net investment income to average net assets*............... 5.24% 4.38% 3.29% 3.95%(b)
Portfolio Turnover (c).............................................. 67.65% 2.91% 242.20% 109.96%
</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 March 10, 1993.
</TABLE>
<TABLE>
<C> <S>
(b) Annualized.
</TABLE>
<TABLE>
<C> <S>
(c) Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing among the
classes of shares issued.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- ----44
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
GOVERNMENT ARM FUND
----------------------------------------
CLASS B
----------------------------------------
YEARS ENDED JUNE 30,
----------------------------------------
1996 1995 1994 (A)
----------- ----------- ------------
<S> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD................................................. $ 9.84 $ 9.86 $ 9.98
Investment Activities
Net investment income............................................... 0.52 0.47 0.12
Net realized and unrealized gains (losses) from investments......... (0.07) (0.04) (0.11)
----------- ----------- ------------
Total from Investment Activities.................................. 0.45 0.43 0.01
----------- ----------- ------------
Distributions
Net investment income............................................... (0.53) (0.45) (0.12)
In excess of net investment income.................................. -- -- (0.01)
----------- ----------- ------------
Total Distributions............................................... (0.53) (0.45) (0.13)
----------- ----------- ------------
NET ASSET VALUE,
END OF PERIOD....................................................... $ 9.76 $ 9.84 $ 9.86
----------- ----------- ------------
----------- ----------- ------------
Total Return (Excludes Sales Charge).................................. 4.63% 4.77% (0.09)%(c)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................................... $ 1,144 $ 160 $ 15
Ratio of expenses to average net assets............................. 1.20% 1.31% 1.41%(b)
Ratio of net investment income to average net assets................ 5.45% 4.91% 3.49%(b)
Ratio of expenses to average net assets*............................ 2.06% 1.96% 1.83%(b)
Ratio of net investment income to average net assets*............... 4.59% 4.26% 3.07%(b)
Portfolio Turnover (d).............................................. 67.65% 2.91% 242.20%
</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 B Shares commenced offering on January 14, 1994.
</TABLE>
<TABLE>
<C> <S>
(b) Annualized.
</TABLE>
<TABLE>
<C> <S>
(c) Not annualized.
</TABLE>
<TABLE>
<C> <S>
(d) Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing among the
classes of shares issued.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
45----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LIMITED VOLATILITY BOND FUND
---------------------------------------------
FIDUCIARY
---------------------------------------------
YEARS ENDED JUNE 30,
---------------------------------------------
1996 1995 1994
------------- ------------- -------------
<S> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD................................................. $ 10.53 $ 10.33 $ 10.87
------------- ------------- -------------
Investment Activities
Net investment income............................................... 0.64 0.60 0.54
Net realized and unrealized gains (losses) from investments......... (0.11) 0.19 (0.45)
------------- ------------- -------------
Total from Investment Activities.................................. 0.53 0.79 0.09
------------- ------------- -------------
Distributions
Net investment income............................................... (0.64) (0.59) (0.55)
In excess of net investment income.................................. -- -- (0.02)
Net realized gains.................................................. -- -- (0.06)
------------- ------------- -------------
Total Distributions............................................... (0.64) (0.59) (0.63)
------------- ------------- -------------
NET ASSET VALUE,
END OF PERIOD....................................................... $ 10.42 $ 10.53 $ 10.33
------------- ------------- -------------
------------- ------------- -------------
Total Return (Excludes Sales Charge).................................. 5.13% 7.96% 0.79%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................................... $ 604,916 $ 410,746 $ 447,394
Ratio of expenses to average net assets............................. 0.51% 0.52% 0.50%
Ratio of net investment income to average net assets................ 6.06% 5.82% 5.10%
Ratio of expenses to average net assets*............................ 0.82% 0.85% 0.85%
Ratio of net investment income to average net assets*............... 5.75% 5.49% 4.75%
Portfolio Turnover (a).............................................. 75.20% 76.43% 30.61%
<CAPTION>
1993 1992
------------- -------------
<S> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD................................................. $ 10.72 $ 10.26
------------- -------------
Investment Activities
Net investment income............................................... 0.61 0.70
Net realized and unrealized gains (losses) from investments......... 0.25 0.47
------------- -------------
Total from Investment Activities.................................. 0.86 1.17
------------- -------------
Distributions
Net investment income............................................... (0.62) (0.70)
In excess of net investment income.................................. -- --
Net realized gains.................................................. (0.09) (0.01)
------------- -------------
Total Distributions............................................... (0.71) (0.71)
------------- -------------
NET ASSET VALUE,
END OF PERIOD....................................................... $ 10.87 $ 10.72
------------- -------------
------------- -------------
Total Return (Excludes Sales Charge).................................. 8.27% 11.75%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................................... $ 397,820 $ 301,907
Ratio of expenses to average net assets............................. 0.56% 0.52%
Ratio of net investment income to average net assets................ 5.70% 6.63%
Ratio of expenses to average net assets*............................ 0.90% 1.04%
Ratio of net investment income to average net assets*............... 5.36% 6.11%
Portfolio Turnover (a).............................................. 40.28% 43.87%
</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) Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing among the
classes of shares issued.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- ----46
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LIMITED VOLATILITY BOND FUND
---------------------------------------------------------
CLASS A
---------------------------------------------------------
YEARS ENDED JUNE 30,
---------------------------------------------------------
1996 1995 1994 1993
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD................................................. $ 10.52 $ 10.32 $ 10.87 $ 10.72
------------ ------------ ------------ ------------
Investment Activities
Net investment income............................................... 0.63 0.56 0.52 0.59
Net realized and unrealized gains (losses) from investments......... (0.13) 0.21 (0.46) 0.24
------------ ------------ ------------ ------------
Total from Investment Activities.................................. 0.50 0.77 0.06 0.83
------------ ------------ ------------ ------------
Distributions
Net investment income............................................... (0.61) (0.56) (0.51) (0.59)
In excess of net investment income.................................. -- (0.01) (0.04) --
Net realized gains.................................................. -- -- (0.06) (0.09)
------------ ------------ ------------ ------------
Total Distributions............................................... (0.61) (0.57) (0.61) (0.68)
------------ ------------ ------------ ------------
NET ASSET VALUE,
END OF PERIOD....................................................... $ 10.41 $ 10.52 $ 10.32 $ 10.87
------------ ------------ ------------ ------------
------------ ------------ ------------ ------------
Total Return (Excludes Sales Charge).................................. 4.86% 7.67% 0.49% 8.04%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................................... $ 21,343 $ 12,516 $ 15,216 $ 15,719
Ratio of expenses to average net assets............................. 0.76% 0.77% 0.75% 0.76%
Ratio of net investment income to average net assets................ 5.81% 5.57% 4.92% 5.35%
Ratio of expenses to average net assets*............................ 1.17% 1.20% 1.20% 1.27%
Ratio of net investment income to average net assets*............... 5.40% 5.14% 4.47% 4.84%
Portfolio Turnover (c).............................................. 75.20% 76.43% 30.61% 40.28%
<CAPTION>
1992 (A)
-----------
<S> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD................................................. $ 10.61
-----------
Investment Activities
Net investment income............................................... 0.24
Net realized and unrealized gains (losses) from investments......... 0.13
-----------
Total from Investment Activities.................................. 0.37
-----------
Distributions
Net investment income............................................... (0.26)
In excess of net investment income.................................. --
Net realized gains.................................................. --
-----------
Total Distributions............................................... (0.26)
-----------
NET ASSET VALUE,
END OF PERIOD....................................................... $ 10.72
-----------
-----------
Total Return (Excludes Sales Charge).................................. 9.84%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................................... $ 161
Ratio of expenses to average net assets............................. 0.99%(b)
Ratio of net investment income to average net assets................ 5.95%(b)
Ratio of expenses to average net assets*............................ 1.29%(b)
Ratio of net investment income to average net assets*............... 5.65%(b)
Portfolio Turnover (c).............................................. 43.87%
</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.
(b) Annualized.
(c) Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing among the
classes of shares issued.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
47----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LIMITED VOLATILITY
BOND FUND
---------------------------------------
CLASS B
---------------------------------------
YEARS ENDED JUNE 30,
---------------------------------------
1996 1995 1994 (A)
----------- ----------- -----------
<S> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD................................................. $ 10.60 $ 10.40 $ 10.78
----------- ----------- -----------
Investment Activities
Net investment income............................................... 0.55 0.53 0.17
Net realized and unrealized gains (losses) from investments......... (0.10) 0.19 (0.37)
----------- ----------- -----------
Total from Investment Activities.................................. 0.45 0.72 (0.20)
----------- ----------- -----------
Distributions
Net investment income............................................... (0.56) (0.52) (0.15)
In excess of net realized gains..................................... -- -- (0.03)
----------- ----------- -----------
Total Distributions............................................... (0.56) (0.52) (0.18)
----------- ----------- -----------
NET ASSET VALUE,
END OF PERIOD....................................................... $ 10.49 $ 10.60 $ 10.40
----------- ----------- -----------
----------- ----------- -----------
Total Return (Excludes Sales Charge).................................. 4.28% 7.18% (1.81)%(c)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................................... $ 4,923 $ 2,906 $ 1,974
Ratio of expenses to average net assets............................. 1.26% 1.28% 1.26%(b)
Ratio of net investment income to average net assets................ 5.31% 5.10% 4.39%(b)
Ratio of expenses to average net assets*............................ 1.82% 1.86% 1.86%(b)
Ratio of net investment income to average net assets*............... 4.75% 4.52% 3.79%(b)
Portfolio Turnover (d).............................................. 75.20% 76.43% 30.61%
</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 B Shares commenced offering on January 14, 1994.
</TABLE>
<TABLE>
<C> <S>
(b) Annualized.
</TABLE>
<TABLE>
<C> <S>
(c) Not annualized.
</TABLE>
<TABLE>
<C> <S>
(d) Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing among the
classes of shares issued.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- ----48
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LIMITED VOLATILITY
BOND FUND
-------------------------
SERVICE/RETIREMENT (A)
-------------------------
YEARS ENDED JUNE 30,
-------------------------
1995 1994
----------- -----------
NET ASSET VALUE,
BEGINNING OF PERIOD................................................. $ 10.38 $ 10.78
<S> <C> <C>
----------- -----------
Investment Activities
Net investment income............................................... 0.51 0.10
Net realized and unrealized gains (losses) from investments......... 0.19 (0.38)
----------- -----------
Total from Investment Activities.................................. 0.70 (0.28)
----------- -----------
Distributions
Net investment income............................................... (0.49) (0.08)
In excess of net investment income.................................. (0.04)
----------- -----------
Total Distributions............................................... (0.49) (0.12)
----------- -----------
NET ASSET VALUE,
END OF PERIOD....................................................... $ 10.59 $ 10.38
----------- -----------
----------- -----------
Total Return (Excludes Sales Charge).................................. )(a (2.59)%(c)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................................... $ $ 16
Ratio of expenses to average net assets............................. 1.32%(b) 1.26%(b)
Ratio of net investment income to average net assets................ 5.55%(b) 4.37%(b)
Ratio of expenses to average net assets*............................ 1.68%(b) 1.60%(b)
Ratio of net investment income to average net assets*............... 5.20%(b) 4.03%(b)
Portfolio Turnover (d).............................................. 76.43% 30.61%
</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 were 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, and as of June 30, 1996 and 1995, there were no
shareholders in the Service Class. The return for the period from July 1, 1994 to June 1, 1995 for the
Service Shares was 6.90%.
</TABLE>
<TABLE>
<C> <S>
(b) Annualized.
</TABLE>
<TABLE>
<C> <S>
(c) Not annualized.
</TABLE>
<TABLE>
<C> <S>
(d) Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing among the
classes of shares issued.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
49----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERMEDIATE BOND
-----------------------------------------------------
FIDUCIARY
-----------------------------------------------------
YEARS ENDED JUNE 30,
-----------------------------------------------------
1996 1995 1994 1993 1992 (A)
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD............................................. $ 10.01 $ 9.72 $ 10.51 $ 10.09 $ 10.00
--------- --------- --------- --------- ---------
Investment Activities
Net investment income........................................... 0.66 0.66 0.60 0.63 0.22
Net realized and unrealized gains (losses) from investments..... (0.17) 0.29 (0.67) 0.42 0.08
--------- --------- --------- --------- ---------
Total from Investment Activities.............................. 0.49 0.95 (0.07) 1.05 0.30
--------- --------- --------- --------- ---------
Distributions
Net investment income........................................... (0.66) (0.66) (0.60) (0.63) (0.21)
In excess of net investment income.............................. -- -- (0.02) -- --
Net realized gains.............................................. -- -- (0.10) -- --
--------- --------- --------- --------- ---------
Total Distributions........................................... (0.66) (0.66) (0.72) (0.63) (0.21)
--------- --------- --------- --------- ---------
NET ASSET VALUE,
END OF PERIOD................................................... $ 9.84 $ 10.01 $ 9.72 $ 10.51 $ 10.09
--------- --------- --------- --------- ---------
--------- --------- --------- --------- ---------
Total Return (Excludes Sales Charge).............................. 4.95% 10.15% (0.74)% 10.67% 3.00%(c)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)............................... $ 230,812 $ 191,216 $ 98,483 $ 44,252 $ 23,457
Ratio of expenses to average net assets......................... 0.54% 0.56% 0.32% 0.39% 0.36%(b)
Ratio of net investment income to average net assets............ 6.56% 6.88% 6.04% 6.14% 6.99%(b)
Ratio of expenses to average net assets*........................ 0.87% 0.99% 0.87% 1.17% 1.33%(b)
Ratio of net investment income to average net assets*........... 6.23% 6.45% 5.49% 5.36% 6.02%(b)
Portfolio Turnover (d).......................................... 101.06% 99.71% 85.62% 21.51% 11.74%
</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 Fund commenced operations February 28, 1992
</TABLE>
<TABLE>
<C> <S>
(b) Annualized.
</TABLE>
<TABLE>
<C> <S>
(c) Not annualized.
</TABLE>
<TABLE>
<C> <S>
(d) Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing among the
classes of shares issued.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- ----50
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERMEDIATE BOND
--------------------
CLASS A
--------------------
YEARS ENDED JUNE 30,
--------------------
1996 1995 (A)
--------- ---------
<S> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD................................................................................ $ 10.04 $ 9.45
--------- ---------
Investment Activities
Net investment income.............................................................................. 0.64 0.37
Net realized and unrealized gains (losses) from investments........................................ (0.17) 0.59
--------- ---------
Total from Investment Activities................................................................. 0.47 0.96
--------- ---------
Distributions
Net investment income.............................................................................. (0.64) (0.37)
--------- ---------
Total Distributions.............................................................................. (0.64) (0.37)
--------- ---------
NET ASSET VALUE,
END OF PERIOD...................................................................................... $ 9.87 $ 10.04
--------- ---------
--------- ---------
Total Return (Excludes Sales Charge)................................................................. 4.77% 10.29%(c)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000).................................................................. $ 13,706 $ 4,941
Ratio of expenses to average net assets............................................................ 0.79% 0.83%(b)
Ratio of net investment income to average net assets............................................... 6.31% 6.64%(b)
Ratio of expenses to average net assets*........................................................... 1.22% 1.66%(b)
Ratio of net investment income to average net assets*.............................................. 5.88% 5.81%(b)
Portfolio Turnover (d)............................................................................. 101.06% 99.71%
</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 operations November 30, 1994.
</TABLE>
<TABLE>
<C> <S>
(b) Annualized.
</TABLE>
<TABLE>
<C> <S>
(c) Not annualized.
</TABLE>
<TABLE>
<C> <S>
(d) Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing among the
classes of shares issued.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
51----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERMEDIATE BOND
--------------------
CLASS B
--------------------
YEARS ENDED JUNE 30,
--------------------
1996 1995 (A)
--------- ---------
<S> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD................................................................................ $ 10.01 $ 9.45
--------- ---------
Investment Activities
Net investment income.............................................................................. 0.58 0.23
Net realized and unrealized gains (losses) from investments........................................ (0.18) 0.56
--------- ---------
Total from Investment Activities................................................................. 0.40 0.79
--------- ---------
Distributions
Net investment income.............................................................................. (0.58) (0.23)
--------- ---------
Total Distributions.............................................................................. (0.58) (0.23)
--------- ---------
NET ASSET VALUE,
END OF PERIOD...................................................................................... $ 9.83 $ 10.01
--------- ---------
--------- ---------
Total Return (Excludes Sales Charge)................................................................. 4.10% 8.22%(c)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000).................................................................. $ 6,077 $ 266
Ratio of expenses to average net assets............................................................ 1.44% 1.51%(b)
Ratio of net investment income to average net assets............................................... 5.66% 6.15%(b)
Ratio of expenses to average net assets*........................................................... 1.87% 2.34%(b)
Ratio of net investment income to average net assets*.............................................. 5.23% 5.31%(b)
Portfolio Turnover (d)............................................................................. 101.06% 99.71%
</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 B Shares commenced operations on November 30, 1994.
</TABLE>
<TABLE>
<C> <S>
(b) Annualized.
</TABLE>
<TABLE>
<C> <S>
(c) Not annualized.
</TABLE>
<TABLE>
<C> <S>
(d) Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing among the
classes of shares issued.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- ----52
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
GOVERNMENT BOND FUND
--------------------------------------------
FIDUCIARY
--------------------------------------------
YEARS ENDED JUNE 30,
--------------------------------------------
1996 1995 1994 1993 (A)
--------- --------- --------- -----------
<S> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD.......................................................... $ 9.81 $ 9.35 $ 10.15 $ 10.00
--------- --------- --------- -----------
Investment Activities
Net investment income........................................................ 0.62 0.62 0.51 0.20
Net realized and unrealized gains (losses) from investments.................. (0.25) 0.46 (0.77) 0.15
--------- --------- --------- -----------
Total from Investment Activities........................................... 0.37 1.08 (0.26) 0.35
--------- --------- --------- -----------
Distributions
Net investment income........................................................ (0.62) (0.61) (0.50) (0.20)
In excess of net investment income........................................... -- (0.01) (0.02) --
In excess of net realized gains.............................................. -- -- (0.02) --
--------- --------- --------- -----------
Total Distributions........................................................ (0.62) (0.62) (0.54) (0.20)
--------- --------- --------- -----------
NET ASSET VALUE,
END OF PERIOD................................................................ $ 9.56 $ 9.81 $ 9.35 $ 10.15
--------- --------- --------- -----------
--------- --------- --------- -----------
Total Return (Excludes Sales Charge)........................................... 3.81% 12.04% (2.73)% 9.03%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)............................................ $ 677,326 $ 379,826 $ 209,692 $ 52,152
Ratio of expenses to average net assets...................................... 0.68% 0.71% 0.68% 0.69 %(b)
Ratio of net investment income to average net assets......................... 6.34% 6.65% 5.13% 5.43 %(b)
Ratio of expenses to average net assets*..................................... 0.69% 0.73% 0.71% 1.05 %(b)
Ratio of net investment income to average net assets*........................ 6.33% 6.63% 5.10% 5.07 %(b)
Portfolio Turnover (c)....................................................... 62.70% 106.14% 377.78% 139.24 %
</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 Fund commenced offering on January 14, 1994.
</TABLE>
<TABLE>
<C> <S>
(b) Annualized.
</TABLE>
<TABLE>
<C> <S>
(c) Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing among the
classes of shares issued.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
53----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
GOVERNMENT BOND FUND
--------------------------------------------
CLASS A
--------------------------------------------
YEARS ENDED JUNE 30,
--------------------------------------------
1996 1995 1994 1993 (A)
--------- --------- --------- -----------
<S> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD............................................................. $ 9.81 $ 9.35 $ 10.17 $ 10.22
--------- --------- --------- -----------
Investment Activities
Net investment income........................................................... 0.60 0.61 0.48 0.17
Net realized and unrealized gains (losses) from investments..................... (0.25) 0.45 (0.79) (0.05)
--------- --------- --------- -----------
Total from Investment Activities.............................................. 0.35 1.06 (0.31) 0.12
--------- --------- --------- -----------
Distributions
Net investment income........................................................... (0.60) (0.59) (0.47) (0.17)
In excess of net investment income.............................................. (0.01) (0.02)
In excess of net realized gains................................................. (0.02)
--------- --------- --------- -----------
Total Distributions........................................................... (0.60) (0.60) (0.51) (0.17)
--------- --------- --------- -----------
NET ASSET VALUE,
END OF PERIOD................................................................... $ 9.56 $ 9.81 $ 9.35 $ 10.17
--------- --------- --------- -----------
--------- --------- --------- -----------
Total Return (Excludes Sales Charge).............................................. 3.58% 11.84% (3.16)% 5.35%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)............................................... $ 38,800 $ 8,130 $ 1,690 $ 840
Ratio of expenses to average net assets......................................... 0.93% 0.97% 0.92% 0.95 %(b)
Ratio of net investment income to average net assets............................ 6.09% 6.46% 4.84% 5.56 %(b)
Ratio of expenses to average net assets*........................................ 1.04% 1.09% 1.05% 1.44 %(b)
Ratio of net investment income to average net assets*........................... 5.98% 6.34% 4.71% 5.07 %(b)
Portfolio Turnover (c).......................................................... 62.70% 106.14% 377.78% 139.24 %
</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 March 5, 1993.
</TABLE>
<TABLE>
<C> <S>
(b) Annualized.
</TABLE>
<TABLE>
<C> <S>
(c) Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing among the
classes of shares issued.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- ----54
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
GOVERNMENT BOND FUND
---------------------------------
CLASS B
---------------------------------
YEARS ENDED JUNE 30,
---------------------------------
1996 1995 1994 (A)
--------- --------- -----------
<S> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................................................................... $ 9.81 $ 9.35 $ 10.04
--------- --------- -----------
Investment Activities
Net investment income..................................................................... 0.54 0.55 0.18
Net realized and unrealized gains (losses) from investments............................... (0.25) 0.46 (0.69)
--------- --------- -----------
Total from Investment Activities........................................................ 0.29 1.01 (0.51)
--------- --------- -----------
Distributions
Net investment income..................................................................... (0.54) (0.55) (0.16)
In excess of net investment income........................................................ -- -- (0.02)
--------- --------- -----------
Total Distributions..................................................................... (0.54) (0.55) (0.18)
--------- --------- -----------
NET ASSET VALUE,
END OF PERIOD............................................................................. $ 9.56 $ 9.81 $ 9.35
--------- --------- -----------
--------- --------- -----------
Total Return (Excludes Sales Charge)........................................................ 2.95% 11.20% (4.99)%(c)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................................................... $ 10,782 $ 2,513 $ 656
Ratio of expenses to average net assets................................................... 1.58% 1.62% 1.52%(b)
Ratio of net investment income to average net assets...................................... 5.44% 5.76% 4.60 %(b)
Ratio of expenses to average net assets*.................................................. 1.69% 1.74% 1.63 %(b)
Ratio of net investment income to average net assets*..................................... 5.33% 5.64% 4.49 %(b)
Portfolio Turnover (d).................................................................... 62.70% 106.14% 377.78 %
</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 B Shares commenced offering on January 14, 1994.
</TABLE>
<TABLE>
<C> <S>
(b) Annualized.
</TABLE>
<TABLE>
<C> <S>
(c) Not annualized.
</TABLE>
<TABLE>
<C> <S>
(d) Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing among the
classes of shares issued.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
55----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
GOVERNMENT BOND FUND
----------------------
SERVICE/RETIREMENT (A)
----------------------
YEAR ENDED JUNE 30,
----------------------
1995
----------------------
<S> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD.............................................................................. $ 9.32
-------
Investment Activities
Net investment income............................................................................ 0.44
Net realized and unrealized gains (losses) from investments...................................... 0.46
-------
Total from Investment Activities............................................................... 0.90
-------
Distributions
Net investment income............................................................................ (0.44)
-------
Total Distributions............................................................................ (0.44)
-------
NET ASSET VALUE,
END OF PERIOD.................................................................................... $ 9.78
-------
-------
Total Return (Excludes Sales Charge)............................................................... (a)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................................................................ $ --
Ratio of expenses to average net assets.......................................................... 1.64%(b)
Ratio of net investment income to average net assets............................................. 6.65 %(b)
Ratio of expenses to average net assets*......................................................... 1.66 %(b)
Ratio of net investment income to average net assets*............................................ 6.62 %(b)
Portfolio Turnover (c)........................................................................... 106.14 %
</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 July 15, 1994 when they were 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, and as of June 30, 1996 and 1995, there were no shareholders
in the Service Class. The return for the period from July 15, 1994 to June 1, 1995 for the Service Shares
was 9.59%.
</TABLE>
<TABLE>
<C> <S>
(b) Annualzied.
</TABLE>
<TABLE>
<C> <S>
(c) Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing among the
classes of shares issued.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- ----56
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INCOME BOND FUND
-----------------------------------------------------
FIDUCIARY
-----------------------------------------------------
YEARS ENDED JUNE 30,
-----------------------------------------------------
1996 1995 1994 1993 1992
--------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD............................................. $ 9.54 $ 9.23 $ 10.43 $ 10.18 $ 9.59
--------- --------- --------- --------- ---------
Investment Activities
Net investment income........................................... 0.65 0.64 0.54 0.66 0.71
Net realized and unrealized gains (losses) from investments..... (0.21) 0.35 (0.74) 0.38 0.59
--------- --------- --------- --------- ---------
Total from Investment Activities.............................. 0.44 0.99 (0.20) 1.04 1.30
--------- --------- --------- --------- ---------
Distributions
Net investment income........................................... (0.65) (0.64) (0.57) (0.66) (0.71)
Net realized gains.............................................. -- (0.04) (0.43) (0.13) --
--------- --------- --------- --------- ---------
Total Distributions........................................... (0.65) (0.68) (1.00) (0.79) (0.71)
--------- --------- --------- --------- ---------
NET ASSET VALUE,
END OF PERIOD................................................... $ 9.33 $ 9.54 $ 9.23 $ 10.43 $ 10.18
--------- --------- --------- --------- ---------
--------- --------- --------- --------- ---------
Total Return (Excludes Sales Charge).............................. 4.62% 11.29% (2.54)% 10.62% 13.85%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)............................... $ 520,239 $ 474,124 $ 560,071 $ 483,291 $ 376,898
Ratio of expenses to average net assets......................... 0.59% 0.59% 0.53% 0.56% 0.49%
Ratio of net investment income to average net assets............ 6.76% 6.94% 5.35% 6.44% 7.18%
Ratio of expenses to average net assets*........................ 0.81% 0.86% 0.85% 0.90% 1.04%
Ratio of net investment income to average net assets*........... 6.54% 6.67% 5.03% 6.10% 6.63%
Portfolio Turnover (a).......................................... 95.52% 262.25% 131.04% 143.52% 32.50%
</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) Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing among the
classes of shares issued.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
57----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INCOME BOND 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............................................... $ 9.54 $ 9.22 $ 10.43 $ 10.16 $ 10.06
--------- --------- --------- --------- -----------
Investment Activities
Net investment income............................................. 0.63 0.61 0.52 0.63 0.26
Net realized and unrealized gains (losses) from investments....... (0.23) 0.36 (0.75) 0.41 0.11
--------- --------- --------- --------- -----------
Total from Investment Activities................................ 0.40 0.97 (0.23) 1.04 0.37
--------- --------- --------- --------- -----------
Distributions
Net investment income............................................. (0.62) (0.60) (0.55) (0.64) (0.27)
In excess of net investment income................................ -- (0.01) -- -- --
Net realized gains................................................ -- (0.04) (0.43) (0.13) --
--------- --------- --------- --------- -----------
Total Distributions............................................. (0.62) (0.65) (0.98) (0.77) (0.27)
--------- --------- --------- --------- -----------
NET ASSET VALUE,
END OF PERIOD..................................................... $ 9.32 $ 9.54 $ 9.22 $ 10.43 $ 10.16
--------- --------- --------- --------- -----------
--------- --------- --------- --------- -----------
Total Return (Excludes Sales Charge)................................ 4.26% 10.90% (2.33)% 10.58% 10.16%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................................. $ 10,127 $ 6,796 $ 5,347 $ 7,064 $ 188
Ratio of expenses to average net assets........................... 0.84% 1.01% 0.78% 0.77% 0.97 %(b)
Ratio of net investment income to average net assets.............. 6.51% 6.57% 5.25% 6.12% 6.58 %(b)
Ratio of expenses to average net assets*.......................... 1.16% 1.38% 1.20% 1.26% 1.27 %(b)
Ratio of net investment income to average net assets*............. 6.19% 6.20% 4.83% 5.63% 6.28 %(b)
Portfolio Turnover (c)............................................ 95.52% 262.25% 131.04% 143.52% 32.50 %
</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 commenced offering on February 18, 1992.
</TABLE>
<TABLE>
<C> <S>
(b) Annualized.
</TABLE>
<TABLE>
<C> <S>
(c) Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing among the
classes of shares issued.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- ----58
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INCOME BOND FUND
---------------------------------
CLASS B
---------------------------------
YEARS ENDED JUNE 30,
---------------------------------
1996 1995 1994 (A)
--------- --------- -----------
<S> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD........................................................................ $ 9.62 $ 9.29 $ 9.97
--------- --------- -----------
Investment Activities
Net investment income...................................................................... 0.56 0.56 0.17
Net realized and unrealized gains (losses) from investments................................ (0.21) 0.38 (0.70)
--------- --------- -----------
Total from Investment Activities......................................................... 0.35 0.94 (0.53)
--------- --------- -----------
Distributions
Net investment income...................................................................... (0.57) (0.57) (0.15)
Net realized gains......................................................................... -- (0.04) --
--------- --------- -----------
Total Distributions...................................................................... (0.57) (0.61) (0.15)
--------- --------- -----------
NET ASSET VALUE,
END OF PERIOD.............................................................................. $ 9.40 $ 9.62 $ 9.29
--------- --------- -----------
--------- --------- -----------
Total Return (Excludes Sales Charge)......................................................... 3.65% 10.63% (5.29)%(c)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000) $ 6,110 $ 1,887 $ 723
Ratio of expenses to average net assets.................................................... 1.49% 1.49% 1.45%(b)
Ratio of net investment income to average net assets....................................... 5.86% 6.16% 5.20 %(b)
Ratio of expenses to average net assets*................................................... 1.81% 1.86% 1.84 %(b)
Ratio of net investment income to average net assets*...................................... 5.54% 5.80% 4.81 %(b)
Portfolio Turnover (d)..................................................................... 95.52% 262.25% 131.04 %
</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>
<TABLE>
<C> <S>
(a) Class B Shares commenced offering on January 17, 1994.
</TABLE>
<TABLE>
<C> <S>
(b) Annualized.
</TABLE>
<TABLE>
<C> <S>
(c) Not annualized.
</TABLE>
<TABLE>
<C> <S>
(d) Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing among the
classes of shares issued.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
59----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INCOME BOND FUND
----------------------------
SERVICE/RETIREMENT (A)
----------------------------
YEARS ENDED JUNE 30,
----------------------------
1995 1994
------------- -------------
<S> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD.......................................................................... $ 9.05 $ 9.97
------ ------
Investment Activities
Net investment income........................................................................ 0.49 0.12
Net realized and unrealized gains (losses) from investments.................................. 0.40 (0.94)
------ ------
Total from Investment Activities........................................................... 0.89 (0.82 )
------ ------
Distributions
Net investment income........................................................................ (0.51 ) (0.10 )
In excess of net investment income
Net realized gains........................................................................... (0.04 )
------ ------
Total Distributions........................................................................ (0.55 ) (0.10 )
------ ------
NET ASSET VALUE,
END OF PERIOD................................................................................ $ 9.39 $ 9.05
------ ------
------ ------
Total Return (Excludes Sales Charge)...........................................................(a) (8.24 )%(c)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)............................................................ $ -- $ 57
Ratio of expenses to average net assets...................................................... 1.24(b) 1.30(b)
Ratio of net investment income to average net assets......................................... 5.85(b) 5.28(b)
Ratio of expenses to average net assets*..................................................... 1.53(b) 1.59(b)
Ratio of net investment income to average net assets*........................................ 5.57(b) 4.99(b)
Portfolio Turnover (d)....................................................................... 262.25 % 131.04 %
</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>
<TABLE>
<C> <S>
(a) The Service Shares commenced offering on January 17, 1994 when they were 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, and as of June 30, 1995, there were no shareholders
in the Service Class. The return for the period from July 1, 1994 to June 1, 1995 for the Service Shares
was 9.93%.
</TABLE>
<TABLE>
<C> <S>
(b) Annualized.
</TABLE>
<TABLE>
<C> <S>
(c) Not annualized.
</TABLE>
<TABLE>
<C> <S>
(d) Portfolio turnover is calculated on the basis of the Fund as a whole without distinguishing among the
classes of shares issued.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- ----60
<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
Government ARM Fund, the Limited Volatility Bond Fund, the Intermediate Bond
Fund, the Government Bond Fund and the Income Bond Fund (five 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
except as noted in the next paragraph. 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.
The financial highlights for the two years in the period ended June 30, 1993 for
the Intermediate Bond Fund were audited by other auditors whose report dated
August 25, 1993 expressed an unqualified opinion on the financial highlights.
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, except as noted in the second paragraph, present fairly, in all material
respects, the financial position of the Government ARM Fund, the Limited
Volatility Bond Fund, the Intermediate Bond Fund, the Government Bond Fund and
the Income Bond 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
61
<PAGE>
(This page has been left blank intentionally)
<PAGE>
(This page has been left blank intentionally)
<PAGE>
(This page has been left blank intentionally)
<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. INVESTMENT RETURN AND NAV WILL FLUCTUATE SO THAT AN
INVESTOR'S SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL
COST.
FOR MORE DETAIL ON THE ONE GROUP, VISIT OUR WEB SITE AT HTTP://WWW.ONEGROUP.COM.
TOG-F-037-AN (8-96) [LOGO]
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000763852
<NAME> THE ONE GROUP FAMILY OF MUTUAL FUNDS
<SERIES>
<NUMBER> 191
<NAME> THE ONE GROUP GOVERNMENT ARM 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> 66003
<INVESTMENTS-AT-VALUE> 65541
<RECEIVABLES> 786
<ASSETS-OTHER> 8
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 66335
<PAYABLE-FOR-SECURITIES> 3484
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 462
<TOTAL-LIABILITIES> 3946
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 66978
<SHARES-COMMON-STOCK> 5853<F1>
<SHARES-COMMON-PRIOR> 4109<F1>
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 313
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 3772
<ACCUM-APPREC-OR-DEPREC> (504)
<NET-ASSETS> 62389
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 3423
<OTHER-INCOME> 0
<EXPENSES-NET> 243
<NET-INVESTMENT-INCOME> 3180
<REALIZED-GAINS-CURRENT> (594)
<APPREC-INCREASE-CURRENT> 150
<NET-CHANGE-FROM-OPS> 2736
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 2924<F1>
<DISTRIBUTIONS-OF-GAINS> 0<F1>
<DISTRIBUTIONS-OTHER> 26<F1>
<NUMBER-OF-SHARES-SOLD> 3560<F1>
<NUMBER-OF-SHARES-REDEEMED> 2989<F1>
<SHARES-REINVESTED> 94<F1>
<NET-CHANGE-IN-ASSETS> 6548
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 207
<OVERDIST-NET-GAINS-PRIOR> 3579
<GROSS-ADVISORY-FEES> 283
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 559
<AVERAGE-NET-ASSETS> 48746<F1>
<PER-SHARE-NAV-BEGIN> 9.840<F1>
<PER-SHARE-NII> .620<F1>
<PER-SHARE-GAIN-APPREC> (.070)<F1>
<PER-SHARE-DIVIDEND> .600<F1>
<PER-SHARE-DISTRIBUTIONS> .000<F1>
<RETURNS-OF-CAPITAL> .000<F1>
<PER-SHARE-NAV-END> 9.790<F1>
<EXPENSE-RATIO> .450<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> 192
<NAME> THE ONE GROUP GOVERNMENT ARM 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> 66003
<INVESTMENTS-AT-VALUE> 65541
<RECEIVABLES> 786
<ASSETS-OTHER> 8
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 66335
<PAYABLE-FOR-SECURITIES> 3484
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 462
<TOTAL-LIABILITIES> 3946
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 66978
<SHARES-COMMON-STOCK> 406<F1>
<SHARES-COMMON-PRIOR> 148<F1>
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 313
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 3772
<ACCUM-APPREC-OR-DEPREC> (504)
<NET-ASSETS> 62389
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 3423
<OTHER-INCOME> 0
<EXPENSES-NET> 243
<NET-INVESTMENT-INCOME> 3180
<REALIZED-GAINS-CURRENT> (594)
<APPREC-INCREASE-CURRENT> 150
<NET-CHANGE-FROM-OPS> 2736
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 129<F1>
<DISTRIBUTIONS-OF-GAINS> 0<F1>
<DISTRIBUTIONS-OTHER> 0<F1>
<NUMBER-OF-SHARES-SOLD> 269<F1>
<NUMBER-OF-SHARES-REDEEMED> 344<F1>
<SHARES-REINVESTED> 10<F1>
<NET-CHANGE-IN-ASSETS> 6548
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 207
<OVERDIST-NET-GAINS-PRIOR> 3579
<GROSS-ADVISORY-FEES> 283
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 559
<AVERAGE-NET-ASSETS> 2248<F1>
<PER-SHARE-NAV-BEGIN> 9.830<F1>
<PER-SHARE-NII> .580<F1>
<PER-SHARE-GAIN-APPREC> (.060)<F1>
<PER-SHARE-DIVIDEND> .570<F1>
<PER-SHARE-DISTRIBUTIONS> .000<F1>
<RETURNS-OF-CAPITAL> .000<F1>
<PER-SHARE-NAV-END> 9.780<F1>
<EXPENSE-RATIO> .700<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> 193
<NAME> THE ONE GROUP GOVERNMENT ARM 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> 66003
<INVESTMENTS-AT-VALUE> 65541
<RECEIVABLES> 786
<ASSETS-OTHER> 8
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 66335
<PAYABLE-FOR-SECURITIES> 3484
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 462
<TOTAL-LIABILITIES> 3946
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 66978
<SHARES-COMMON-STOCK> 117<F1>
<SHARES-COMMON-PRIOR> 18<F1>
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 313
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 3772
<ACCUM-APPREC-OR-DEPREC> (504)
<NET-ASSETS> 62389
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 3423
<OTHER-INCOME> 0
<EXPENSES-NET> 243
<NET-INVESTMENT-INCOME> 3180
<REALIZED-GAINS-CURRENT> (594)
<APPREC-INCREASE-CURRENT> 150
<NET-CHANGE-FROM-OPS> 2736
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 24<F1>
<DISTRIBUTIONS-OF-GAINS> 0<F1>
<DISTRIBUTIONS-OTHER> 0<F1>
<NUMBER-OF-SHARES-SOLD> 105<F1>
<NUMBER-OF-SHARES-REDEEMED> 5<F1>
<SHARES-REINVESTED> 1<F1>
<NET-CHANGE-IN-ASSETS> 6548
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 207
<OVERDIST-NET-GAINS-PRIOR> 3579
<GROSS-ADVISORY-FEES> 283
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 559
<AVERAGE-NET-ASSETS> 444<F1>
<PER-SHARE-NAV-BEGIN> 9.840<F1>
<PER-SHARE-NII> .520<F1>
<PER-SHARE-GAIN-APPREC> (.070)<F1>
<PER-SHARE-DIVIDEND> .530<F1>
<PER-SHARE-DISTRIBUTIONS> .000<F1>
<RETURNS-OF-CAPITAL> .000<F1>
<PER-SHARE-NAV-END> 9.760<F1>
<EXPENSE-RATIO> 1.200<F1>
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
<FN>
<F1>Class B Shares
</FN>
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000763852
<NAME> THE ONE GROUP FAMILY OF MUTUAL FUNDS
<SERIES>
<NUMBER> 101
<NAME> THE ONE GROUP LIMITED VOLATILITY BOND 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> 631998
<INVESTMENTS-AT-VALUE> 630943
<RECEIVABLES> 8783
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 639726
<PAYABLE-FOR-SECURITIES> 4978
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 3566
<TOTAL-LIABILITIES> 8544
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 639183
<SHARES-COMMON-STOCK> 58043<F1>
<SHARES-COMMON-PRIOR> 1249<F1>
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 121
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 6825
<ACCUM-APPREC-OR-DEPREC> (1055)
<NET-ASSETS> 631182
<DIVIDEND-INCOME> 62
<INTEREST-INCOME> 30286
<OTHER-INCOME> 120
<EXPENSES-NET> 2450
<NET-INVESTMENT-INCOME> 28018
<REALIZED-GAINS-CURRENT> 1885
<APPREC-INCREASE-CURRENT> (6631)
<NET-CHANGE-FROM-OPS> 23272
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 26964<F1>
<DISTRIBUTIONS-OF-GAINS> 0<F1>
<DISTRIBUTIONS-OTHER> 0<F1>
<NUMBER-OF-SHARES-SOLD> 30536<F1>
<NUMBER-OF-SHARES-REDEEMED> 12260<F1>
<SHARES-REINVESTED> 768<F1>
<NET-CHANGE-IN-ASSETS> 205014
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 122
<OVERDIST-NET-GAINS-PRIOR> 7201
<GROSS-ADVISORY-FEES> 2781
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 3920
<AVERAGE-NET-ASSETS> 444845<F1>
<PER-SHARE-NAV-BEGIN> 10.530<F1>
<PER-SHARE-NII> .640<F1>
<PER-SHARE-GAIN-APPREC> (.110)<F1>
<PER-SHARE-DIVIDEND> .640<F1>
<PER-SHARE-DISTRIBUTIONS> 0<F1>
<RETURNS-OF-CAPITAL> .000<F1>
<PER-SHARE-NAV-END> 10.420<F1>
<EXPENSE-RATIO> .510<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> 102
<NAME> THE ONE GROUP LIMITED VOLATILITY BOND 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> 631998
<INVESTMENTS-AT-VALUE> 630943
<RECEIVABLES> 8783
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 639726
<PAYABLE-FOR-SECURITIES> 4978
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 3566
<TOTAL-LIABILITIES> 8544
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 639183
<SHARES-COMMON-STOCK> 2050<F1>
<SHARES-COMMON-PRIOR> 1249<F1>
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 121
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 6825
<ACCUM-APPREC-OR-DEPREC> (1055)
<NET-ASSETS> 631182
<DIVIDEND-INCOME> 62
<INTEREST-INCOME> 30286
<OTHER-INCOME> 120
<EXPENSES-NET> 2450
<NET-INVESTMENT-INCOME> 28018
<REALIZED-GAINS-CURRENT> 1885
<APPREC-INCREASE-CURRENT> (6631)
<NET-CHANGE-FROM-OPS> 23272
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 878<F1>
<DISTRIBUTIONS-OF-GAINS> 0<F1>
<DISTRIBUTIONS-OTHER> 0<F1>
<NUMBER-OF-SHARES-SOLD> 12072<F1>
<NUMBER-OF-SHARES-REDEEMED> 11265<F1>
<SHARES-REINVESTED> 54<F1>
<NET-CHANGE-IN-ASSETS> 205014
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 122
<OVERDIST-NET-GAINS-PRIOR> 7201
<GROSS-ADVISORY-FEES> 2781
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 3920
<AVERAGE-NET-ASSETS> 15150<F1>
<PER-SHARE-NAV-BEGIN> 10.520<F1>
<PER-SHARE-NII> .630<F1>
<PER-SHARE-GAIN-APPREC> (.130)<F1>
<PER-SHARE-DIVIDEND> .610<F1>
<PER-SHARE-DISTRIBUTIONS> 0<F1>
<RETURNS-OF-CAPITAL> .000<F1>
<PER-SHARE-NAV-END> 10.410<F1>
<EXPENSE-RATIO> .760<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> 103
<NAME> THE ONE GROUP LIMITED VOLATILITY BOND 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> 631998
<INVESTMENTS-AT-VALUE> 630943
<RECEIVABLES> 8783
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 639726
<PAYABLE-FOR-SECURITIES> 4978
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 3566
<TOTAL-LIABILITIES> 8544
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 639183
<SHARES-COMMON-STOCK> 469<F1>
<SHARES-COMMON-PRIOR> 279<F1>
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 121
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 6825
<ACCUM-APPREC-OR-DEPREC> (1055)
<NET-ASSETS> 631182
<DIVIDEND-INCOME> 62
<INTEREST-INCOME> 30286
<OTHER-INCOME> 120
<EXPENSES-NET> 2450
<NET-INVESTMENT-INCOME> 28018
<REALIZED-GAINS-CURRENT> 1885
<APPREC-INCREASE-CURRENT> (6631)
<NET-CHANGE-FROM-OPS> 23272
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 175<F1>
<DISTRIBUTIONS-OF-GAINS> 0<F1>
<DISTRIBUTIONS-OTHER> 0<F1>
<NUMBER-OF-SHARES-SOLD> 251<F1>
<NUMBER-OF-SHARES-REDEEMED> 68<F1>
<SHARES-REINVESTED> 12<F1>
<NET-CHANGE-IN-ASSETS> 205014
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 122
<OVERDIST-NET-GAINS-PRIOR> 7201
<GROSS-ADVISORY-FEES> 2781
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 3920
<AVERAGE-NET-ASSETS> 4588<F1>
<PER-SHARE-NAV-BEGIN> 10.600<F1>
<PER-SHARE-NII> .550<F1>
<PER-SHARE-GAIN-APPREC> (.100)<F1>
<PER-SHARE-DIVIDEND> .560<F1>
<PER-SHARE-DISTRIBUTIONS> 0<F1>
<RETURNS-OF-CAPITAL> .000<F1>
<PER-SHARE-NAV-END> 10.490<F1>
<EXPENSE-RATIO> 1.260<F1>
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
<FN>
<F1>Class B Shares
</FN>
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000763852
<NAME> THE ONE GROUP FAMILY OF MUTUAL FUNDS
<SERIES>
<NUMBER> 221
<NAME> THE ONE GROUP INTERMEDIATE BOND 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> 248425
<INVESTMENTS-AT-VALUE> 245651
<RECEIVABLES> 19022
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 254895
<PAYABLE-FOR-SECURITIES> 1991
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 2309
<TOTAL-LIABILITIES> 4300
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 257643
<SHARES-COMMON-STOCK> 23457<F1>
<SHARES-COMMON-PRIOR> 21562<F1>
<ACCUMULATED-NII-CURRENT> 94
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 4368
<ACCUM-APPREC-OR-DEPREC> (2774)
<NET-ASSETS> 250595
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 16008
<OTHER-INCOME> 91
<EXPENSES-NET> 1282
<NET-INVESTMENT-INCOME> 14817
<REALIZED-GAINS-CURRENT> 1421
<APPREC-INCREASE-CURRENT> (5722)
<NET-CHANGE-FROM-OPS> 10516
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 14065<F1>
<DISTRIBUTIONS-OF-GAINS> 0<F1>
<DISTRIBUTIONS-OTHER> 0<F1>
<NUMBER-OF-SHARES-SOLD> 10266<F1>
<NUMBER-OF-SHARES-REDEEMED> 6200<F1>
<SHARES-REINVESTED> 296<F1>
<NET-CHANGE-IN-ASSETS> 54172
<ACCUMULATED-NII-PRIOR> 119
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 4475
<GROSS-ADVISORY-FEES> 1359
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 2042
<AVERAGE-NET-ASSETS> 214376<F1>
<PER-SHARE-NAV-BEGIN> 10.010<F1>
<PER-SHARE-NII> .660<F1>
<PER-SHARE-GAIN-APPREC> (.170)<F1>
<PER-SHARE-DIVIDEND> .000<F1>
<PER-SHARE-DISTRIBUTIONS> .660<F1>
<RETURNS-OF-CAPITAL> .000<F1>
<PER-SHARE-NAV-END> 9.840<F1>
<EXPENSE-RATIO> .540<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> 222
<NAME> THE ONE GROUP INTERMEDIATE BOND 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> 248425
<INVESTMENTS-AT-VALUE> 245651
<RECEIVABLES> 19022
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 254895
<PAYABLE-FOR-SECURITIES> 1991
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 2309
<TOTAL-LIABILITIES> 4300
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 257643
<SHARES-COMMON-STOCK> 1389<F1>
<SHARES-COMMON-PRIOR> 955<F1>
<ACCUMULATED-NII-CURRENT> 94
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 4368
<ACCUM-APPREC-OR-DEPREC> (2774)
<NET-ASSETS> 250595
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 16008
<OTHER-INCOME> 91
<EXPENSES-NET> 1282
<NET-INVESTMENT-INCOME> 14817
<REALIZED-GAINS-CURRENT> 1421
<APPREC-INCREASE-CURRENT> (5722)
<NET-CHANGE-FROM-OPS> 10516
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 607<F1>
<DISTRIBUTIONS-OF-GAINS> 0<F1>
<DISTRIBUTIONS-OTHER> 0<F1>
<NUMBER-OF-SHARES-SOLD> 1231<F1>
<NUMBER-OF-SHARES-REDEEMED> 373<F1>
<SHARES-REINVESTED> 39<F1>
<NET-CHANGE-IN-ASSETS> 54172
<ACCUMULATED-NII-PRIOR> 119
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 4475
<GROSS-ADVISORY-FEES> 1359
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 2042
<AVERAGE-NET-ASSETS> 9582<F1>
<PER-SHARE-NAV-BEGIN> 10.040<F1>
<PER-SHARE-NII> .640<F1>
<PER-SHARE-GAIN-APPREC> (.170)<F1>
<PER-SHARE-DIVIDEND> .000<F1>
<PER-SHARE-DISTRIBUTIONS> .640<F1>
<RETURNS-OF-CAPITAL> .000<F1>
<PER-SHARE-NAV-END> 9.870<F1>
<EXPENSE-RATIO> .790<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> 223
<NAME> THE ONE GROUP INTERMEDIATE BOND 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> 248425
<INVESTMENTS-AT-VALUE> 245651
<RECEIVABLES> 19022
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 254895
<PAYABLE-FOR-SECURITIES> 1991
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 2309
<TOTAL-LIABILITIES> 4300
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 257643
<SHARES-COMMON-STOCK> 618<F1>
<SHARES-COMMON-PRIOR> 200<F1>
<ACCUMULATED-NII-CURRENT> 94
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 4368
<ACCUM-APPREC-OR-DEPREC> (2774)
<NET-ASSETS> 250595
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 16008
<OTHER-INCOME> 91
<EXPENSES-NET> 1282
<NET-INVESTMENT-INCOME> 14817
<REALIZED-GAINS-CURRENT> 1421
<APPREC-INCREASE-CURRENT> (5722)
<NET-CHANGE-FROM-OPS> 10516
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 144<F1>
<DISTRIBUTIONS-OF-GAINS> 0<F1>
<DISTRIBUTIONS-OTHER> 0<F1>
<NUMBER-OF-SHARES-SOLD> 617<F1>
<NUMBER-OF-SHARES-REDEEMED> 34<F1>
<SHARES-REINVESTED> 8<F1>
<NET-CHANGE-IN-ASSETS> 54172
<ACCUMULATED-NII-PRIOR> 119
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 4475
<GROSS-ADVISORY-FEES> 1359
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 2042
<AVERAGE-NET-ASSETS> 2522<F1>
<PER-SHARE-NAV-BEGIN> 10.010<F1>
<PER-SHARE-NII> .580<F1>
<PER-SHARE-GAIN-APPREC> (.180)<F1>
<PER-SHARE-DIVIDEND> .000<F1>
<PER-SHARE-DISTRIBUTIONS> .580<F1>
<RETURNS-OF-CAPITAL> .000<F1>
<PER-SHARE-NAV-END> 9.830<F1>
<EXPENSE-RATIO> 1.440<F1>
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
<FN>
<F1>Class B Shares
</FN>
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000763852
<NAME> THE ONE GROUP FAMILY OF MUTUAL FUNDS
<SERIES>
<NUMBER> 181
<NAME> THE ONE GROUP GOVERNMENT BOND 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> 733350
<INVESTMENTS-AT-VALUE> 729159
<RECEIVABLES> 7830
<ASSETS-OTHER> 5
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 736994
<PAYABLE-FOR-SECURITIES> 5289
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 4797
<TOTAL-LIABILITIES> 10086
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 752154
<SHARES-COMMON-STOCK> 70842<F1>
<SHARES-COMMON-PRIOR> 41050<F1>
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 325
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 20043
<ACCUM-APPREC-OR-DEPREC> (4878)
<NET-ASSETS> 726908
<DIVIDEND-INCOME> 25
<INTEREST-INCOME> 34941
<OTHER-INCOME> 178
<EXPENSES-NET> 3521
<NET-INVESTMENT-INCOME> 31623
<REALIZED-GAINS-CURRENT> 2769
<APPREC-INCREASE-CURRENT> (2769)
<NET-CHANGE-FROM-OPS> (15409)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 30195<F1>
<DISTRIBUTIONS-OF-GAINS> 0<F1>
<DISTRIBUTIONS-OTHER> 0<F1>
<NUMBER-OF-SHARES-SOLD> 44220<F1>
<NUMBER-OF-SHARES-REDEEMED> 12833<F1>
<SHARES-REINVESTED> 735<F1>
<NET-CHANGE-IN-ASSETS> 336439
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 301
<OVERDIST-NET-GAINS-PRIOR> 12952
<GROSS-ADVISORY-FEES> 2253
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 3634
<AVERAGE-NET-ASSETS> 476509<F1>
<PER-SHARE-NAV-BEGIN> 9.810<F1>
<PER-SHARE-NII> .620<F1>
<PER-SHARE-GAIN-APPREC> (.250)<F1>
<PER-SHARE-DIVIDEND> .000<F1>
<PER-SHARE-DISTRIBUTIONS> .620<F1>
<RETURNS-OF-CAPITAL> .000<F1>
<PER-SHARE-NAV-END> 9.560<F1>
<EXPENSE-RATIO> .680<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> 182
<NAME> THE ONE GROUP GOVERNMENT BOND 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> 733350
<INVESTMENTS-AT-VALUE> 729159
<RECEIVABLES> 7830
<ASSETS-OTHER> 5
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 736994
<PAYABLE-FOR-SECURITIES> 5289
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 4797
<TOTAL-LIABILITIES> 10086
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 752154
<SHARES-COMMON-STOCK> 4056<F1>
<SHARES-COMMON-PRIOR> 1116<F1>
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 325
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 20043
<ACCUM-APPREC-OR-DEPREC> (4878)
<NET-ASSETS> 726908
<DIVIDEND-INCOME> 25
<INTEREST-INCOME> 34941
<OTHER-INCOME> 178
<EXPENSES-NET> 3521
<NET-INVESTMENT-INCOME> 31623
<REALIZED-GAINS-CURRENT> 2769
<APPREC-INCREASE-CURRENT> (2769)
<NET-CHANGE-FROM-OPS> (15409)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 1103<F1>
<DISTRIBUTIONS-OF-GAINS> 0<F1>
<DISTRIBUTIONS-OTHER> 0<F1>
<NUMBER-OF-SHARES-SOLD> 31613<F1>
<NUMBER-OF-SHARES-REDEEMED> 28451<F1>
<SHARES-REINVESTED> 66<F1>
<NET-CHANGE-IN-ASSETS> 336439
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 301
<OVERDIST-NET-GAINS-PRIOR> 12952
<GROSS-ADVISORY-FEES> 2253
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 3634
<AVERAGE-NET-ASSETS> 17971<F1>
<PER-SHARE-NAV-BEGIN> 9.810<F1>
<PER-SHARE-NII> .600<F1>
<PER-SHARE-GAIN-APPREC> (.250)<F1>
<PER-SHARE-DIVIDEND> .000<F1>
<PER-SHARE-DISTRIBUTIONS> .600<F1>
<RETURNS-OF-CAPITAL> .000<F1>
<PER-SHARE-NAV-END> 9.560<F1>
<EXPENSE-RATIO> .930<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> 183
<NAME> THE ONE GROUP GOVERNMENT BOND 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> 733350
<INVESTMENTS-AT-VALUE> 729159
<RECEIVABLES> 7830
<ASSETS-OTHER> 5
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 736994
<PAYABLE-FOR-SECURITIES> 5289
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 4797
<TOTAL-LIABILITIES> 10086
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 752154
<SHARES-COMMON-STOCK> 1128<F1>
<SHARES-COMMON-PRIOR> 500<F1>
<ACCUMULATED-NII-CURRENT> 0
<OVERDISTRIBUTION-NII> 325
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 20043
<ACCUM-APPREC-OR-DEPREC> (4878)
<NET-ASSETS> 726908
<DIVIDEND-INCOME> 25
<INTEREST-INCOME> 34941
<OTHER-INCOME> 178
<EXPENSES-NET> 3521
<NET-INVESTMENT-INCOME> 31623
<REALIZED-GAINS-CURRENT> 2769
<APPREC-INCREASE-CURRENT> (2769)
<NET-CHANGE-FROM-OPS> (15409)
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 324<F1>
<DISTRIBUTIONS-OF-GAINS> 0<F1>
<DISTRIBUTIONS-OTHER> 0<F1>
<NUMBER-OF-SHARES-SOLD> 951<F1>
<NUMBER-OF-SHARES-REDEEMED> 99<F1>
<SHARES-REINVESTED> 20<F1>
<NET-CHANGE-IN-ASSETS> 336439
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 301
<OVERDIST-NET-GAINS-PRIOR> 12952
<GROSS-ADVISORY-FEES> 2253
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 3634
<AVERAGE-NET-ASSETS> 5951<F1>
<PER-SHARE-NAV-BEGIN> 9.810<F1>
<PER-SHARE-NII> .540<F1>
<PER-SHARE-GAIN-APPREC> (.250)<F1>
<PER-SHARE-DIVIDEND> .000<F1>
<PER-SHARE-DISTRIBUTIONS> .540<F1>
<RETURNS-OF-CAPITAL> .000<F1>
<PER-SHARE-NAV-END> 9.560<F1>
<EXPENSE-RATIO> 1.580<F1>
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
<FN>
<F1>Class B Shares
</FN>
</TABLE>
<TABLE> <S> <C>
<PAGE>
<ARTICLE> 6
<CIK> 0000763852
<NAME> THE ONE GROUP FAMILY OF MUTUAL FUNDS
<SERIES>
<NUMBER> 051
<NAME> THE ONE GROUP INCOME BOND 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> 523732
<INVESTMENTS-AT-VALUE> 537716
<RECEIVABLES> 8578
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 546294
<PAYABLE-FOR-SECURITIES> 5974
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 3844
<TOTAL-LIABILITIES> 9818
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 577283
<SHARES-COMMON-STOCK> 55786<F1>
<SHARES-COMMON-PRIOR> 51527<F1>
<ACCUMULATED-NII-CURRENT> 396
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 54533
<ACCUM-APPREC-OR-DEPREC> 13330
<NET-ASSETS> 536476
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 37285
<OTHER-INCOME> 91
<EXPENSES-NET> 3047
<NET-INVESTMENT-INCOME> 34329
<REALIZED-GAINS-CURRENT> (1361)
<APPREC-INCREASE-CURRENT> (11155)
<NET-CHANGE-FROM-OPS> 21813
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 33573<F1>
<DISTRIBUTIONS-OF-GAINS> 0<F1>
<DISTRIBUTIONS-OTHER> 0<F1>
<NUMBER-OF-SHARES-SOLD> 16245<F1>
<NUMBER-OF-SHARES-REDEEMED> 11460<F1>
<SHARES-REINVESTED> 1318<F1>
<NET-CHANGE-IN-ASSETS> 53669
<ACCUMULATED-NII-PRIOR> 357
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 53042
<GROSS-ADVISORY-FEES> 3053
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 4195
<AVERAGE-NET-ASSETS> 496756<F1>
<PER-SHARE-NAV-BEGIN> 9.540<F1>
<PER-SHARE-NII> .650<F1>
<PER-SHARE-GAIN-APPREC> (.210)<F1>
<PER-SHARE-DIVIDEND> .000<F1>
<PER-SHARE-DISTRIBUTIONS> .650<F1>
<RETURNS-OF-CAPITAL> .000<F1>
<PER-SHARE-NAV-END> 9.330<F1>
<EXPENSE-RATIO> .590<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> 052
<NAME> THE ONE GROUP INCOME BOND 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> 523732
<INVESTMENTS-AT-VALUE> 537716
<RECEIVABLES> 8578
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 546294
<PAYABLE-FOR-SECURITIES> 5974
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 3844
<TOTAL-LIABILITIES> 9818
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 577283
<SHARES-COMMON-STOCK> 1087<F1>
<SHARES-COMMON-PRIOR> 895<F1>
<ACCUMULATED-NII-CURRENT> 396
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 54533
<ACCUM-APPREC-OR-DEPREC> 13330
<NET-ASSETS> 536476
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 37285
<OTHER-INCOME> 91
<EXPENSES-NET> 3047
<NET-INVESTMENT-INCOME> 34329
<REALIZED-GAINS-CURRENT> (1361)
<APPREC-INCREASE-CURRENT> (11155)
<NET-CHANGE-FROM-OPS> 21813
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 545<F1>
<DISTRIBUTIONS-OF-GAINS> 0<F1>
<DISTRIBUTIONS-OTHER> 0<F1>
<NUMBER-OF-SHARES-SOLD> 680<F1>
<NUMBER-OF-SHARES-REDEEMED> 347<F1>
<SHARES-REINVESTED> 41<F1>
<NET-CHANGE-IN-ASSETS> 53669
<ACCUMULATED-NII-PRIOR> 357
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 53042
<GROSS-ADVISORY-FEES> 3053
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 4195
<AVERAGE-NET-ASSETS> 8376<F1>
<PER-SHARE-NAV-BEGIN> 9.540<F1>
<PER-SHARE-NII> .630<F1>
<PER-SHARE-GAIN-APPREC> (.230)<F1>
<PER-SHARE-DIVIDEND> .000<F1>
<PER-SHARE-DISTRIBUTIONS> .620<F1>
<RETURNS-OF-CAPITAL> .000<F1>
<PER-SHARE-NAV-END> 9.320<F1>
<EXPENSE-RATIO> .840<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> 053
<NAME> THE ONE GROUP INCOME BOND 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> 523732
<INVESTMENTS-AT-VALUE> 537716
<RECEIVABLES> 8578
<ASSETS-OTHER> 0
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 546294
<PAYABLE-FOR-SECURITIES> 5974
<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 3844
<TOTAL-LIABILITIES> 9818
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 577283
<SHARES-COMMON-STOCK> 650<F1>
<SHARES-COMMON-PRIOR> 326<F1>
<ACCUMULATED-NII-CURRENT> 396
<OVERDISTRIBUTION-NII> 0
<ACCUMULATED-NET-GAINS> 0
<OVERDISTRIBUTION-GAINS> 54533
<ACCUM-APPREC-OR-DEPREC> 13330
<NET-ASSETS> 536476
<DIVIDEND-INCOME> 0
<INTEREST-INCOME> 37285
<OTHER-INCOME> 91
<EXPENSES-NET> 3047
<NET-INVESTMENT-INCOME> 34329
<REALIZED-GAINS-CURRENT> (1361)
<APPREC-INCREASE-CURRENT> (11155)
<NET-CHANGE-FROM-OPS> 21813
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 211<F1>
<DISTRIBUTIONS-OF-GAINS> 0<F1>
<DISTRIBUTIONS-OTHER> 0<F1>
<NUMBER-OF-SHARES-SOLD> 130<F1>
<NUMBER-OF-SHARES-REDEEMED> 17<F1>
<SHARES-REINVESTED> 5<F1>
<NET-CHANGE-IN-ASSETS> 53669
<ACCUMULATED-NII-PRIOR> 357
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 53042
<GROSS-ADVISORY-FEES> 3053
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 4195
<AVERAGE-NET-ASSETS> 3579<F1>
<PER-SHARE-NAV-BEGIN> 9.620<F1>
<PER-SHARE-NII> .560<F1>
<PER-SHARE-GAIN-APPREC> (.210)<F1>
<PER-SHARE-DIVIDEND> .000<F1>
<PER-SHARE-DISTRIBUTIONS> .570<F1>
<RETURNS-OF-CAPITAL> .000<F1>
<PER-SHARE-NAV-END> 9.400<F1>
<EXPENSE-RATIO> 1.490<F1>
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
<FN>
<F1>Class B Shares
</FN>
</TABLE>
