<PAGE>
THE ONE GROUP-REGISTERED TRADEMARK-
FAMILY OF MUTUAL FUNDS
-------------------------------------------------------------------------------
INSTITUTIONAL MONEY MARKET FUNDS ANNUAL REPORT
FOR THE YEAR ENDED JUNE 30, 1996
TREASURY ONLY MONEY MARKET FUND
GOVERNMENT MONEY MARKET FUND
<PAGE>
<TABLE>
<S> <C> <C>
IMPORTANT CUSTOMER INFORMATION. INVESTMENT PRODUCTS:
- ARE NOT DEPOSITS OR OBLIGATIONS OF, OR GUARANTEED BY
BANC ONE CORPORATION OR ANY OF ITS AFFILIATES
- ARE NOT INSURED BY THE FDIC
[NO FDIC]
- ARE SUBJECT TO INVESTMENT RISKS, INCLUDING POSSIBLE
LOSS OF THE PRINCIPAL AMOUNT INVESTED
</TABLE>
<PAGE>
- --------------------------------------------------------------------------------
Table of Contents
- -------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1996
<TABLE>
<S> <C>
Report From Your Investment Advisor................................................... 2
Portfolio Performance Review.......................................................... 5
Schedules of Portfolio Investments.................................................... 7
Statements of Assets and Liabilities.................................................. 9
Statements of Operations.............................................................. 10
Statements of Changes in Net Assets................................................... 11
Notes to Financial Statements......................................................... 12
Financial Highlights.................................................................. 16
Report of Independent Accountants..................................................... 18
</TABLE>
----
1
<PAGE>
- --------------------------------------------------------------------------------
Report From Your Investment Advisor
- -------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1996
WE ARE PLEASED TO PRESENT THIS ANNUAL REPORT FOR THE ONE GROUP FAMILY OF MUTUAL
FUNDS. ON THE FOLLOWING PAGES, YOU WILL FIND AN OVERVIEW OF THE FINANCIAL
MARKETS AND YOUR FUND'S PERFORMANCE FOR THE PERIOD FROM JUNE 30, 1995, TO JUNE
30, 1996.
DEAR VALUED SHAREHOLDERS:
I would like to extend to you my personal thanks for investing in The One Group
Family of Mutual Funds. The past year was one of exceptional growth and progress
at The One Group, thanks, in large part, to you--the shareholders.
By continuing to show your confidence, you helped The One Group funds achieve
significant growth during the past 12 months. Assets under management soared
from $9.7 billion on June 30, 1995, to $13.6 billion on June 30, 1996, placing
The One Group among the largest bank-advised mutual fund companies.
In addition, The One Group shareholder base nearly tripled during this period,
as the number of shareholder accounts grew from 33,000 on June 30, 1995, to
95,000 on June 30, 1996. Fourteen thousand of these new accounts (and $1.4
billion in assets) resulted from The One Group merger with the Paragon Funds, a
family of mutual funds formerly advised by Premier Bank in Louisiana. I want to
extend a warm welcome to the former Paragon investors as well as ALL the new
shareholders.
We believe that such strong growth is a reflection of The One Group's commitment
to meeting your investment needs through quality products, good investment
performance and top-notch service.
The diversity within The One Group mutual fund family is designed to help you
meet all of your portfolio needs. It also is a reflection of our investment
philosophy, which stresses:
- - ASSET ALLOCATION. When your assets are allocated to different security types
and investment styles according to your goals, time frame and risk tolerance,
you have an effective, well-rounded portfolio.
- - DIVERSIFICATION. By diversifying your investments within each asset class,
you can help reduce the overall risk level in your portfolio.
- - MAINTAINING A LONG-TERM PERSPECTIVE. Short-term market volatility is
unavoidable but usually smooths out over the long term. It's time, not timing,
that allows investments to realize their full potential. It's important to
stay focused on your long-term goals, whether they include planning for
retirement, saving for college expenses or trying to reduce your tax burden.
These are proven investment strategies that we encourage all shareholders to
embrace--whether it's by assembling a portfolio of assorted individual funds
from The One Group or by investing in a new "fund of funds" alternative, The One
Group Investor Funds.
The One Group Investor Funds*, which will be introduced in early 1997, provide
you with a heightened level of diversification. The One Group Investor Funds are
mutual funds targeted toward specific investment objectives, such as growth,
income or a combination of the two. To achieve their objectives, The One Group
Investor Funds invest in various funds from The One Group family. The One Group
Investor Funds offer a simple and convenient way to enjoy diversification and
asset allocation from ONE investment.
Of course, we believe that there is more to meeting your investment needs than
providing you with a broad selection of mutual funds. In order to make informed
investment decisions, you need information about your investments as well as
access to your accounts. As such, The One Group introduced several new features
this year that make accessing your fund and account information simple and
convenient. Some of the highlights include:
- - THE ONE GROUP WEB SITE. From The One Group home page (www.onegroup.com) you
can access a variety of fund-related information, including prices,
performance updates, fund manager biographies and assorted literature. In
addition, you will find an interactive asset allocation tool that can help you
determine your investor profile and select an appropriate model portfolio.
Future plans call for on-line prospectuses, annual reports and account
transactions as well as an interactive retirement calculator.
- ----
2
<PAGE>
- --------------------------------------------------------------------------------
Report From Your Investment Advisor, continued
- --------------------------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1996
- - THE ONE GROUP PHONE LINK. The new 24-hour automated telephone service
(1-800-480-4111) lets you obtain fund and account information and place
transactions when it is most convenient for you.
- - IN-HOUSE SHAREHOLDER SERVICING. In order to provide the utmost in service, we
have moved the shareholder services unit to an in-house facility. This affords
us better insight and a heightened ability to respond to your needs.
You can be assured that the commitment to high-quality service is ongoing. The
One Group will continue to look for ways to improve and enhance shareholder
services so that you always have the ability to access and obtain information in
a timely and accurate manner.
Again, thank you for placing your trust with The One Group and for helping The
One Group achieve stellar growth over the past year. All of us at Banc One
Investment Advisors and The One Group appreciate your support as we work toward
our most important investment objective--helping you achieve your financial
goals.
Sincerely,
[SIG]
David J. Kundert
PRESIDENT & CEO,
BANC ONE INVESTMENT ADVISORS CORPORATION, INVESTMENT ADVISOR TO THE ONE GROUP
[DAVID J. KUNDERT PHOTO]
- ---------
* A REGISTRATION STATEMENT RELATING TO THESE SECURITIES HAS BEEN FILED WITH THE
SECURITIES AND EXCHANGE COMMISSION BUT HAS NOT YET BECOME EFFECTIVE. THESE
SECURITIES MAY NOT BE SOLD NOR MAY OFFER TO BUY BE ACCEPTED PRIOR TO THE TIME
THE REGISTRATION STATEMENT BECOMES EFFECTIVE. THIS LETTER SHALL NOT CONSTITUTE
AN OFFER TO SELL OR SOLICITATION OF AN OFFER TO BUY NOR SHALL THERE BE ANY
SALE OF THESE SECURITIES IN ANY STATE IN WHICH SUCH OFFER, SOLICITATION OR
SALE WOULD BE UNLAWFUL PRIOR TO REGISTRATION OR QUALIFICATION UNDER THE
SECURITIES LAW OF ANY SUCH STATE.
----
3
<PAGE>
- --------------------------------------------------------------------------------
Report From Your Investment Advisor, continued
- --------------------------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1996
ECONOMIC REVIEW
The economy grew at an average rate of 2.1% from the third quarter of 1995
through the first quarter of 1996. While the actual numbers weren't available at
the time of this writing, it is expected that the pace of economic activity
gained additional momentum during the second quarter of 1996. (Preliminary
readings on the actual growth pace of economic activity during the second
quarter is not released until August.)
Given this fundamental backdrop, short-term interest rates controlled by the
Federal Reserve (the federal funds rate) declined from 5.6% during the second
quarter of 1995 to approximately 5.25% at the end of the second quarter of 1996.
On the inflation front, the change in overall prices remained quite stable as
consumer prices rose by 3.0% (on a year-over-year basis) through the end of June
1995 compared to a similar figure of approximately 2.9% at the end of May 1996.
Over the last 12 months, financial market sentiment fluctuated from expecting an
immediate recession at the beginning of 1996 to the belief that the economy was
caught in the midst of an overheated expansion requiring much higher short-term
rates in order to slow it down to non-inflationary growth levels. This swing in
market sentiment clearly was observed in the bond market as heightened
inflationary concerns caused the yield on the 30-year Treasury bond to rise from
a level of 5.95% at the beginning of the year to 6.87% on June 30, 1996. (In the
bond market, as yields increase, prices decline.) In contrast, equity markets
performed quite favorably as measured by the Dow Jones Industrial Average, which
rose by 24.11% during the 12 months ended June 1996, and the Standard & Poor's
500 Index, which rose by 26.05%.
One popular daily inflationary indicator monitored closely by financial market
participants is the Commodity Research Bureau's (CRB) Future Price Index, which
rose from 244.25 at the beginning of this fiscal year to a peak of 261.81 on
April 25, 1996. This was the highest level recorded for the CRB since it stood
at 263.26 on July 7, 1988. While financial market participants tend to closely
monitor the daily fluctuations in the CRB, our own analysis suggests that the
movements in the CRB are a poor leading indicator of actual inflationary trends.
Nonetheless, in light of the recent declines in this overall index, some
speculate that the prospects for much lower bond yields could be forthcoming
over the next 12 months.
However, at the close of the second quarter of 1996, financial markets began to
expect that the U.S. central bank would soon begin raising short-term rates to
quell the growing inflationary pressures that had begun to surface in the labor
market. Although the Fed kept short-term rates steady, the growing speculation
focused on when--rather than if--short-term rates would be increased. Given this
scenario, investing in both equity and credit markets became a bit more
challenging as the prospects of higher short-term rates cast a dark cloud upon
the financial markets. In fact, the robust pace of growth during the second
quarter of 1996, along with the rising pace of labor market costs, lead us to
conclude that short-term rates have no where else to go but up during the next
six months.
Although we expect some investment challenges to unfold over the next year, we
believe that pursuing a long-term investment approach is likely to continue
producing favorable results. As demonstrated by movements in both the stock and
bond markets over the last several years, investing with only a short-term focus
has not always been prudent. Therefore, we encourage our investors to maintain
longer-term horizons. This type of time frame provides much better insulation
against the short-term fluctuations that are endemic within our financial
markets.
[SIG]
Anthony Chan, Ph.D.
CHIEF ECONOMIST, BANC ONE INVESTMENT ADVISORS CORPORATION
- ----
4
<PAGE>
- --------------------------------------------------------------------------------
The One Group Treasury Only Money Market Fund
Portfolio Performance Review
- -------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1996
THE ONE GROUP TREASURY ONLY MONEY MARKET FUND
In general, short-term interest rates declined over the one-year period, and the
Fund's yield followed suit. The seven-day yield on The One Group Treasury Only
Money Market Fund Fiduciary share class was 5.00% on June 30, 1996, down from
5.61% on June 30, 1995.
We invested primarily in Treasury bills during the year due to the narrow
spreads and decreased liquidity of investing in Treasury notes. The U.S.
Treasury bill market primarily is driven by supply and demand, and our strategy
was to take advantage of Treasury bill issues of larger size, such as cash
management bills that offered better yields based on their increased supply.
With the falling yields of the past 12 months, we maintained the Fund's average
weighted maturity at the long end of the 45- to 55-day maturity range. We
accomplished this by employing a barbell strategy, a common technique that
involves investing in both long- and short-term securities instead of
intermediate-term securities. We purchased longer-term U.S. Treasury notes and
bills along with shorter cash management bills that offered greater liquidity
and higher yields.
Since we focus only on high-quality securities, the Fund earned a rating of
AAA--the highest rating--by Standard & Poor's and Moody's Investors Service. To
maintain this rating, the Fund's average weighted maturity must not exceed 60
days.
Over the next year we will try to position the Fund to take advantage of the
changing interest rate environment. This strategy will be directly affected by
the short- and long-term economic outlooks and how the market translates these
outlooks into expectations for short-term interest rates.
[SIG]
Andrew T. Linton
FUND MANAGER
[SIG]
Gary J. Madich, CFA
SENIOR MANAGING DIRECTOR OF FIXED-INCOME SECURITIES
<TABLE>
<CAPTION>
Average Annual
Total Return
7 Day Yield 1 year 5 years Since inception
<S> <C> <C> <C>
5.00% 5.38% NA 4.50%
</TABLE>
----
5
<PAGE>
- --------------------------------------------------------------------------------
The One Group Government Money Market Fund
Portfolio Performance Review
- -------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1996
THE ONE GROUP GOVERNMENT MONEY MARKET FUND
In general, short-term interest rates declined over the one-year period, and the
Fund's yield followed suit. The seven-day yield on The One Group Government
Money Market Fund Fiduciary share class was 5.29% on June 30, 1996, down from
5.81% on June 30, 1995.
We invested primarily in Treasury bills, Treasury notes and agency securities
during the year. With a flat yield curve, spreads (or differences in yield)
between Treasury and agency securities were very tight, which forced many money
market investors to extend their portfolios to capture extra yield.
Because of the falling yield environment of the past 12 months, we maintained
the Fund's average weighted maturity in the 60- to 70-day range. We accomplished
this by practicing a barbell maturity strategy, whereby we focused on both the
short and long ends of the money market maturity spectrum. We invested in select
long-term (one-year) securities and short, highly liquid repurchase agreements
to keep the Fund's average maturity within this range. On June 30, 1996, the
Fund's average maturity was 71 days, equal to what it was on June 30, 1995.
Looking forward, the aggressiveness of the Federal Reserve as well as the
performance of the economy will be the major factors contributing to the level
and shape of the yield curve. We believe that the Fund currently is well
positioned to take advantage of opportunities that arise as changes in
short-term yield occur.
[SIG]
Andrew T. Linton
FUND MANAGER
[SIG]
Gary J. Madich, CFA
SENIOR MANAGING DIRECTOR OF FIXED-INCOME SECURITIES
<TABLE>
<CAPTION>
Average Annual
Total Return
7 Day Yield 1 year 5 years Since inception
<S> <C> <C> <C>
5.29% 5.61% NA 4.78%
</TABLE>
- ----
6
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
TREASURY ONLY MONEY MARKET FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL SECURITY AMORTIZED
AMOUNT DESCRIPTION COST
- ----------- ------------------------------------------ -----------
<C> <S> <C>
U.S. TREASURY BILLS (66.6%):
$ 160,688 7/5/96(b)................................. $ 160,602
5,000 8/22/96................................... 4,960
17,005 9/12/96................................... 16,828
85,844 9/19/96................................... 84,872
3,150 9/26/96................................... 3,112
1,883 2/6/97.................................... 1,828
5,000 4/3/97.................................... 4,803
-----------
Total U.S. Treasury Bills 277,005
-----------
<CAPTION>
PRINCIPAL SECURITY AMORTIZED
AMOUNT DESCRIPTION COST
- ----------- ------------------------------------------ -----------
<C> <S> <C>
U.S. TREASURY NOTES (32.9%):
$ 26,430 7.88%, 7/15/96(b)......................... $ 26,457
25,000 7.88%, 7/31/96............................ 25,056
15,082 6.13%, 7/31/96............................ 15,095
25,000 6.25%, 8/31/96............................ 25,030
5,000 6.50%, 9/30/95............................ 5,008
10,000 7.25%, 11/30/96........................... 10,070
20,000 8.00%, 1/15/97............................ 20,262
10,000 6.50%, 4/30/97............................ 10,074
-----------
Total U.S. Treasury Notes 137,052
-----------
Total Investments (Cost--$414,057)(a) $ 414,057
-----------
-----------
</TABLE>
- ------------
Percentages indicated are based on net assets of $415,961.
<TABLE>
<C> <S>
(a) Cost for federal income tax and financial reporting purposes is the same.
</TABLE>
<TABLE>
<C> <S>
(b) A portion of this security was loaned as of June 30, 1996.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
----
7
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
GOVERNMENT MONEY MARKET FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1996
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- ----------- ----------------------------------------- -----------
<C> <S> <C>
U.S. GOVERNMENT AGENCIES (67.0%):
Federal Farm Credit Bank:
$ 10,000 5.53%, 10/1/96........................... $ 9,993
10,000 5.40%, 4/1/97............................ 9,987
25,000 5.84%, 6/18/97........................... 24,961
Federal Home Loan Bank:
20,000 5.18%, 8/14/96........................... 19,873
10,000 5.10%, 9/6/96............................ 9,905
16,550 4.94%, 3/4/97............................ 16,529
18,500 5.04%, 3/6/97............................ 18,475
20,000 5.33%, 3/18/97........................... 19,972
Federal Home Loan Mortgage Corp.:
25,000 5.21%, 7/30/96........................... 24,895
10,000 5.26%, 9/3/96............................ 9,907
10,000 5.30%, 11/27/96.......................... 9,781
25,000 5.73%, 6/6/97............................ 24,957
Federal National Mortgage Assoc.:
20,000 5.29%, 7/8/96............................ 19,980
7,230 8.00%, 7/10/96(b)........................ 7,234
10,000 5.23%, 8/6/96............................ 9,948
25,000 5.23%, 8/8/96............................ 24,861
20,000 5.58%, 8/9/96............................ 19,879
25,000 5.25%, 9/12/96........................... 24,734
20,000 5.64%, 10/2/96........................... 19,992
20,000 5.60%, 11/1/96........................... 19,990
10,055 5.02%, 11/20/96.......................... 9,856
8,320 7.70%, 12/10/96.......................... 8,397
4,000 5.45%, 6/2/99*........................... 4,000
20,000 5.45%, 7/26/99*.......................... 20,000
10,000 5.45%, 9/22/99*.......................... 10,000
<CAPTION>
PRINCIPAL AMORTIZED
AMOUNT SECURITY DESCRIPTION COST
- ----------- ----------------------------------------- -----------
</TABLE>
U.S. GOVERNMENT AGENCIES, CONTINUED:
<TABLE>
<C> <S> <C>
Student Loan Marketing Assoc.:
$ 30,000 5.41%, 10/14/97*......................... $ 29,987
40,000 5.41%, 11/24/97*......................... 40,000
25,000 5.44%, 9/28/98*.......................... 25,000
25,000 5.43%, 11/10/98*......................... 25,000
10,000 5.45%, 1/13/99*.......................... 9,999
10,000 5.45%, 2/8/99*........................... 10,000
25,000 5.44%, 2/22/99*.......................... 25,000
10,000 5.46%, 8/2/99*........................... 9,995
-----------
Total U.S. Government Agencies 573,087
-----------
U.S. TREASURY BILLS (4.0%):
25,000 2/6/97(b)................................ 24,260
10,000 3/6/97................................... 9,657
-----------
Total U.S. Treasury Bills 33,917
-----------
Investments, at amortized cost 607,004
-----------
REPURCHASE AGREEMENTS (29.0%):
75,000 Hong Kong Shanghai Banc Corp., 5.50%,
dated 6/28/96, due 7/1/96
(collateralized by $77,370 various U.S.
Government Securities, 0.00% - 8.45%,
8/1/96 - 2/14/06, Market Value
$76,501)............................... 75,000
173,417 Prudential Securities, 5.53%, dated
6/28/96, due 7/1/96, (collateralized by
$225,311 various U.S. Government
Securities, 0.00% - 9.50%, 7/1/96 -
8/15/22, market value $175,345)........ 173,417
-----------
Total Repurchase Agreements 248,417
-----------
Total (Cost--$855,421)(a) $ 855,421
-----------
-----------
</TABLE>
- ------------
Percentages indicated are based on net assets of $855,613.
<TABLE>
<C> <S>
(a) Cost for federal income tax and financial reporting purposes is the same.
</TABLE>
<TABLE>
<C> <S>
(b) A portion of this security was loaned as of June 30, 1996.
</TABLE>
<TABLE>
<C> <S>
* Variable rate securities that have interest rates that change weekly based on the three month treasury bill bond
equivalent yield. The final maturity date for valuation purposes is the next reset date. The rate shown on the Schedule
of Portfolio Investments is the reset rate in effect on June 30, 1996.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- ----
8
<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)
TREASURY ONLY GOVERNMENT
MONEY MARKET MONEY MARKET
FUND FUND
------------- -------------
<S> <C> <C>
ASSETS:
Investments, at amortized cost........................................ $ 414,057 $ 607,004
Repurchase agreements, at cost........................................ -- 248,417
------------- -------------
Total................................................................. 414,057 855,421
Cash.................................................................. 1 1
Interest receivable................................................... 3,688 4,330
Deferred organization costs........................................... 7 42
------------- -------------
TOTAL ASSETS.......................................................... 417,753 859,794
------------- -------------
LIABILITIES:
Dividends payable..................................................... 1,652 3,698
Accrued expenses and other payables:
Investment advisory fees.......................................... 26 56
Administration fees............................................... 16 35
Other............................................................. 98 392
------------- -------------
TOTAL LIABILITIES..................................................... 1,792 4,181
------------- -------------
NET ASSETS:
Capital............................................................... 416,037 855,679
Accumulated undistributed net realized losses from investment
transactions......................................................... (76) (66)
------------- -------------
NET ASSETS............................................................ $ 415,961 $ 855,613
------------- -------------
------------- -------------
Outstanding shares of beneficial interest............................. 416,037 855,679
------------- -------------
------------- -------------
Net asset value--offering and redemption price per share.............. $ 1.00 $ 1.00
----- -----
----- -----
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
----
9
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
STATEMENTS OF OPERATIONS FOR THE YEAR ENDED JUNE 30, 1996
<TABLE>
<CAPTION>
(Amounts in Thousands)
TREASURY ONLY GOVERNMENT
MONEY MARKET MONEY MARKET
FUND FUND
------------- -------------
<S> <C> <C>
INVESTMENT INCOME:
Interest income................................................. $ 19,404 $ 43,537
------------- -------------
Total Income.................................................... 19,404 43,537
------------- -------------
EXPENSES:
Investment advisory fees........................................ 288 618
Administration fees............................................. 180 386
Custodian and accounting fees................................... 18 68
Legal and audit fees............................................ 41 157
Organization costs.............................................. 4 21
Trustees' fees and expenses..................................... 5 20
Transfer agent fees............................................. 14 22
Registration and filing fees.................................... 32 39
Printing costs.................................................. 18 65
Other........................................................... 7 11
------------- -------------
Total expenses before waivers/reimbursements.................... 607 1,407
Less waivers/reimbursements..................................... -- (5)
------------- -------------
NET EXPENSES.................................................... 607 1,402
------------- -------------
Net Investment Income........................................... 18,797 42,135
------------- -------------
REALIZED GAINS (LOSSES) FROM INVESTMENT TRANSACTIONS:
Net realized gains (losses) from investment transactions........ (76) 8
------------- -------------
Net increase in net assets resulting from operations............ $ 18,721 $ 42,143
------------- -------------
------------- -------------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- ----
10
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
(Amounts in Thousands)
TREASURY ONLY MONEY GOVERNMENT MONEY
MARKET FUND MARKET FUND
------------------------ ------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR 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................................ $ 18,797 $ 12,746 $ 42,135 $ 38,264
Net realized gains (losses) from investment
transactions....................................... (76) 29 8 (66)
----------- ----------- ----------- -----------
Change in net assets resulting from operations........... 18,721 12,775 42,143 38,198
----------- ----------- ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income........................... (18,797) (12,746) (42,135) (38,264)
In excess of net realized gains from investment
transactions....................................... (21) -- -- --
----------- ----------- ----------- -----------
Change in net assets from shareholder distributions...... (18,818) (12,746) (42,135) (38,264)
----------- ----------- ----------- -----------
CAPITAL TRANSACTIONS:
Proceeds from shares issued.......................... 1,135,597 894,833 2,638,822 2,818,461
Dividends reinvested................................. 2,487 1,574 10,663 12,982
Cost of shares redeemed.............................. (1,010,723) (825,464) (2,514,579) (2,802,931)
----------- ----------- ----------- -----------
Change in net assets from share transactions............. 127,361 70,943 134,906 28,512
----------- ----------- ----------- -----------
Change in Net Assets..................................... 127,264 70,972 134,914 28,446
NET ASSETS:
Beginning of period.................................. 288,697 217,725 720,699 692,253
----------- ----------- ----------- -----------
End of period........................................ $ 415,961 $ 288,697 $ 855,613 $ 720,699
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
SHARE TRANSACTIONS:
Issued............................................... 1,135,597 894,833 2,638,822 2,818,461
Reinvested........................................... 2,487 1,574 10,663 12,982
Redeemed............................................. (1,010,723) (825,464) (2,514,579) (2,802,931)
----------- ----------- ----------- -----------
Change in shares......................................... 127,361 70,943 134,906 28,512
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
----
11
<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 Treasury Only
Money Market Fund and the Government Money Market Fund (individually, a
"Fund" collectively, the "Funds") only. The Funds are diversified mutual
funds and are not offered in multiple classes.
The Funds investment objectives are as follows:
<TABLE>
<CAPTION>
FUND OBJECTIVE
- --------------------------------------------- --------------------------------------------------------------------
<S> <C>
Treasury Only Money Market Fund High current income with liquidity and stability of principal with
the added assurance of a Fund that does not purchase securities
that are subject to repurchase agreements.
Government Money Market Fund High current income with liquidity and stability of principal.
</TABLE>
2. SIGNIFICANT ACCOUNTING POLICIES:
The following is a summary of significant accounting policies followed by
the Trust in the preparation of its financial statements. The policies are
in conformity with generally accepted accounting principles. The preparation
of financial statements requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities at
the date of the financial statements and the reported amounts of income and
expenses for the period. Actual results could differ from those estimates.
SECURITY VALUATION:
Securities are valued utilizing the amortized cost method permitted in
accordance with Rule 2a-7 under the 1940 Act. Under the amortized cost
method, discount or premium is amortized on a constant basis to the
maturity of the security. In addition, the Funds may not (a) purchase any
instrument with a remaining maturity greater than thirteen months unless
such instrument is subject to a demand feature, or (b) maintain a
dollar-weighted average maturity which exceeds 90 days.
REPURCHASE AGREEMENTS:
The Funds may invest in repurchase agreements with institutions that the
Fund's investment adviser has determined are creditworthy. Each repurchase
agreement is recorded at cost. The Fund requires that the securities
purchased in a repurchase transaction be transferred to the custodian in a
manner sufficient to enable the Fund to obtain those securities in the
event of a counterparty default. The seller, under the repurchase
agreement, is required to maintain the value of the securities held at not
less than the repurchase price, including accrued interest.
SECURITY TRANSACTIONS AND RELATED INCOME:
Security transactions are accounted for on a trade date basis. Net realized
gains or losses on sales of securities are determined on the specific
identification cost method. Interest income and expenses are recognized on
the accrual basis. Interest income, including any discount or premium, is
accrued as earned using the effective interest method.
CONTINUED
- ----
12
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1996
SECURITIES LENDING:
To generate additional income, the Funds may lend up to 33% of securities
in which they are invested pursuant to agreements requiring that the loan
be continuously secured by cash, U.S. Government or U.S. Government Agency
securities, shares of an investment trust or mutual fund, or any
combination of cash and such securities as collateral equal at all times to
at least 100% of the market value plus accrued interest on the securities
lent. The Funds continue to earn interest on securities lent while
simultaneously seeking to earn interest on the investment of collateral.
Collateral is marked to market daily to provide a level of collateral at
least equal to the market value of securities lent. There may be risks of
delay in recovery of the securities or even loss of rights in the
collateral should the borrower of the securities fail financially. However,
loans will be made only to borrowers deemed by the Adviser to be of good
standing and creditworthy under guidelines established by the Board of
Trustees and when, in the judgment of the Adviser, the consideration which
can be earned currently from such securities loans justifies the attendant
risk. Loans are subject to termination by the Funds or the borrower at any
time, and are, therefore, not considered to be illiquid investments. As of
June 30, 1996, the following Funds had securities with the following
amortized cost on loan (amounts in thousands):
<TABLE>
<CAPTION>
MARKET VALUE
OF LOANED
SECURITIES
-------------
<S> <C>
Treasury Only Money Market Fund..................................... $ 90,881
Government Money Market Fund........................................ 31,663
</TABLE>
The loaned securities were fully collateralized by cash and U.S. Government
securities as of June 30, 1996.
EXPENSES:
Expenses directly attributable to a Fund are charged directly to that
Fund, while the expenses which are attributable to more than one fund
of the Trust are allocated among the respective Funds.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS:
Dividends from net investment income are declared daily and paid
monthly. Net income for this purpose consists of interest accrued and
discount earned (including both original issue discount and market
discount) less amortization of any market premium and accrued
expenses. Net realized capital gains, if any, are distributed at least
annually.
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 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 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.
CONTINUED
----
13
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1996
FEDERAL INCOME TAXES:
Each Fund intends to continue to qualify as a regulated investment
company by complying with the provisions available to certain
investment companies as defined in applicable sections of the Internal
Revenue Code, and to make distributions of net investment income and
net realized capital gains sufficient to relieve it from all, or
substantially all, federal income taxes.
3. SHARES OF BENEFICIAL INTEREST:
The Trust has an unlimited number of shares of beneficial interest,
with no par value which may, without shareholder approval, be divided
into an unlimited number of series of such shares and any series may be
classified or reclassified into one or more classes. Currently, shares
of the Trust are registered to be offered through thirty-two series and
four classes: Fiduciary, Class A, Class B, and Service. 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.
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 a fee, computed daily and paid monthly, equal to
0.08% of the average daily net assets of each 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 0.05% of each Fund's average daily net assets. The
Adviser also serves as Sub-Administrator to each fund of the Trust,
pursuant to an agreement between the Administrator and the Adviser.
Pursuant to this agreement, the Adviser performs many of the
Administrator's duties, for which the Adviser receives a fee paid by
the Administrator. Prior to November 30, 1995, The Shareholder Services
Group d/b/a 440 Financial served as administrator of each Fund under
essentially the same terms as the current administrative agreement.
The One Group Services Company (the "Distributor") and the Trust are
parties to a distribution agreement under which shares of the Funds are
sold on a continuous basis. No compensation is paid to the Distributor
for distribution services for the Funds.
Certain officers of the Trust are affiliated with the Administrator.
Such officers receive no compensation from the Funds for serving in
their respective roles.
The Adviser and Administrator have voluntarily agreed to waive a
portion of their fees and to reimburse the Funds for certain expenses.
For the year ended June 30, 1996, fees in the following amounts were
waived or reimbursed to the Funds (amounts in thousands):
<TABLE>
<CAPTION>
INVESTMENT ADVISORY
FEES WAIVED/
REIMBURSED
-------------------
<S> <C>
Government Money Market Fund....................................... $ 5
</TABLE>
CONTINUED
- ----
14
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1996
5. 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 (amounts in thousands):
<TABLE>
<CAPTION>
FUND AMOUNT EXPIRES
- --------------------------------------------------------------- ----------- -----------
<S> <C> <C>
Treasury Only Money Market Fund................................ $ 18 2004
Government Money Market Fund................................... 8 2002
Government Money Market Fund................................... 26 2003
Government Money Market Fund................................... 32 2004
</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 Treasury Only Money Market Fund will treat approximately $58,000
deferred losses as arising on the first day of the year ended June 30, 1997.
----
15
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
TREASURY ONLY MONEY MARKET FUND
--------------------------------------------
APRIL 16,
YEARS ENDED JUNE 30, 1993 TO
------------------------------- JUNE 30,
1996 1995 1994 1993 (A)
--------- --------- --------- -----------
<S> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD......................................................... $ 1.000 $ 1.000 $ 1.000 $ 1.000
--------- --------- --------- -----------
Investment Activities
Net investment income....................................................... 0.052 0.051 0.032 0.006
--------- --------- --------- -----------
Distributions
Net investment income....................................................... (0.052) (0.051) (0.032) (0.006)
--------- --------- --------- -----------
NET ASSET VALUE,
END OF PERIOD............................................................... $ 1.000 $ 1.000 $ 1.000 $ 1.000
--------- --------- --------- -----------
--------- --------- --------- -----------
Total Return.................................................................. 5.38% 5.22% 3.23% 2.96%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)........................................... $ 415,961 $ 288,697 $ 217,725 $ 60,330
Ratio of expenses to average net assets..................................... 0.17% 0.20% 0.15% 0.07%(b)
Ratio of net investment income to average net assets........................ 5.23% 5.14% 3.23% 2.95%(b)
Ratio of expenses to average net assets*.................................... 0.17% 0.21% 0.22% 0.33%(b)
Ratio of net investment income to average net assets*....................... 5.23% 5.13% 3.16% 2.69%(b)
</TABLE>
- ----------
<TABLE>
<C> <S>
* During the period, certain fees were voluntarily reduced. If such voluntary fee reductions had not
occurred, the ratios would have been as indicated.
</TABLE>
<TABLE>
<C> <S>
(a) Period from commencement of operations.
</TABLE>
<TABLE>
<C> <S>
(b) Annualized.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- ----
16
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
GOVERNMENT MONEY MARKET FUND
------------------------------------------
JUNE 14,
YEARS ENDED JUNE 30, 1993 TO
------------------------------- JUNE 30,
1996 1995 1994 1993 (A)
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD......................................................... $ 1.000 $ 1.000 $ 1.000 $ 1.000
--------- --------- --------- ---------
Investment Activities
Net investment income....................................................... 0.055 0.053 0.033 0.001
--------- --------- --------- ---------
Distributions
Net investment income....................................................... (0.055) (0.053) (0.033) (0.001)
--------- --------- --------- ---------
NET ASSET VALUE,
END OF PERIOD............................................................... $ 1.000 $ 1.000 $ 1.000 $ 1.000
--------- --------- --------- ---------
--------- --------- --------- ---------
Total Return.................................................................. 5.61% 5.41% 3.40% 3.28%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)........................................... $ 855,613 $ 720,699 $ 692,253 $ 244,991
Ratio of expenses to average net assets..................................... 0.18% 0.21% 0.11% 0.07%(b)
Ratio of net investment income to average net assets........................ 5.46% 5.28% 3.41% 3.13%(b)
Ratio of expenses to average net assets*.................................... 0.18% 0.22% 0.20% 0.33%(b)
Ratio of net investment income to average net assets*....................... 5.46% 5.27% 3.32% 2.87%(b)
</TABLE>
- ----------
<TABLE>
<C> <S>
* During the period, certain fees were voluntarily reduced. If such voluntary fee reductions had not
occurred, the ratios would have been as indicated.
</TABLE>
<TABLE>
<C> <S>
(a) Period from commencement of operations.
</TABLE>
<TABLE>
<C> <S>
(b) Annualized.
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
----
17
<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
Treasury Only Money Market Fund and the Government Money Market Fund (two series
of The One Group Family of Mutual Funds), including the schedules of portfolio
investments, as of June 30, 1996, and the related statements of operations,
statements of changes in net assets and the financial highlights for each period
presented. These financial statements and financial highlights are the
responsibility of The One Group Family of Mutual Funds' management. Our
responsibility is to express an opinion on these financial statements and the
financial highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. Those standards require that we plan and perform the audit to obtain
reasonable assurance about whether the financial statements and financial
highlights are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. Our procedures included confirmation of securities owned as of June
30, 1996 by correspondence with the custodian and brokers. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Treasury Only Money Market Fund and the Government Money Market Fund as of June
30, 1996, the results of their operations, the changes in their net assets and
the financial highlights for each period presented, in conformity with generally
accepted accounting principles.
Columbus, Ohio Coopers & Lybrand L.L.P.
August 19, 1996
- ----
18
<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. AN INVESTMENT IN THE MONEY MARKET FUNDS IS NEITHER INSURED
NOR GUARANTEED BY THE U.S. GOVERNMENT. YIELDS WILL FLUCTUATE AND THERE CAN BE NO
ASSURANCE THAT THE FUNDS WILL BE ABLE TO MAINTAIN A STABLE NAV OF $1.00 PER
SHARE.
FOR MORE DETAIL ON THE ONE GROUP, VISIT OUR WEB SITE AT HTTP://WWW.ONEGROUP.COM.
TOG-F-033-AN (8-96) [LOGO]
<TABLE> <S> <C>
<PAGE>
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<INVESTMENTS-AT-COST> 414057
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<RECEIVABLES> 3688
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<NET-CHANGE-FROM-OPS> 18721
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<DISTRIBUTIONS-OF-INCOME> 18797
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<SHARES-REINVESTED> 2487
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<GROSS-ADVISORY-FEES> 288
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<GROSS-EXPENSE> 607
<AVERAGE-NET-ASSETS> 359528
<PER-SHARE-NAV-BEGIN> 1.000
<PER-SHARE-NII> .052
<PER-SHARE-GAIN-APPREC> .000
<PER-SHARE-DIVIDEND> .052
<PER-SHARE-DISTRIBUTIONS> .000
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<PAGE>
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<NUMBER> 160
<NAME> THE ONE GROUP GOVERNMENT MONEY MARKET FUND
<MULTIPLIER> 1,000
<S> <C>
<PERIOD-TYPE> YEAR
<FISCAL-YEAR-END> JUN-30-1996
<PERIOD-START> JUL-01-1995
<PERIOD-END> JUN-30-1996
<INVESTMENTS-AT-COST> 607004
<INVESTMENTS-AT-VALUE> 607004
<RECEIVABLES> 4330
<ASSETS-OTHER> 43
<OTHER-ITEMS-ASSETS> 0
<TOTAL-ASSETS> 859794
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<SENIOR-LONG-TERM-DEBT> 0
<OTHER-ITEMS-LIABILITIES> 4181
<TOTAL-LIABILITIES> 4181
<SENIOR-EQUITY> 0
<PAID-IN-CAPITAL-COMMON> 855679
<SHARES-COMMON-STOCK> 855679
<SHARES-COMMON-PRIOR> 720773
<ACCUMULATED-NII-CURRENT> 0
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<OVERDISTRIBUTION-GAINS> 66
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<EXPENSES-NET> 1402
<NET-INVESTMENT-INCOME> 42135
<REALIZED-GAINS-CURRENT> 8
<APPREC-INCREASE-CURRENT> 0
<NET-CHANGE-FROM-OPS> 42143
<EQUALIZATION> 0
<DISTRIBUTIONS-OF-INCOME> 42135
<DISTRIBUTIONS-OF-GAINS> 0
<DISTRIBUTIONS-OTHER> 0
<NUMBER-OF-SHARES-SOLD> 2638822
<NUMBER-OF-SHARES-REDEEMED> 2514579
<SHARES-REINVESTED> 10663
<NET-CHANGE-IN-ASSETS> 134914
<ACCUMULATED-NII-PRIOR> 0
<ACCUMULATED-GAINS-PRIOR> 0
<OVERDISTRIB-NII-PRIOR> 0
<OVERDIST-NET-GAINS-PRIOR> 74
<GROSS-ADVISORY-FEES> 618
<INTEREST-EXPENSE> 0
<GROSS-EXPENSE> 1407
<AVERAGE-NET-ASSETS> 771576
<PER-SHARE-NAV-BEGIN> 1.000
<PER-SHARE-NII> .055
<PER-SHARE-GAIN-APPREC> .000
<PER-SHARE-DIVIDEND> .055
<PER-SHARE-DISTRIBUTIONS> .000
<RETURNS-OF-CAPITAL> .000
<PER-SHARE-NAV-END> 1.000
<EXPENSE-RATIO> .180
<AVG-DEBT-OUTSTANDING> 0
<AVG-DEBT-PER-SHARE> 0
</TABLE>
