<PAGE>
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Table of Contents
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THE ONE GROUP FAMILY OF MUTUAL FUNDS DECEMBER 31, 1996
<TABLE>
<S> <C>
Report From Your Investment Advisor................................................... 2
Schedules of Portfolio Investments.................................................... 7
Statements of Assets and Liabilities.................................................. 20
Statements of Operations.............................................................. 21
Statements of Changes in Net Assets................................................... 22
Notes to Financial Statements......................................................... 24
Financial Highlights.................................................................. 33
</TABLE>
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<PAGE>
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Report From Your Investment Advisor
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THE ONE GROUP FAMILY OF MUTUAL FUNDS DECEMBER 31, 1996
WE ARE PLEASED TO PRESENT THIS SEMI-ANNUAL REPORT FOR THE ONE
GROUP-REGISTERED TRADEMARK- 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 JULY 1, 1996, THROUGH DECEMBER 31, 1996.
DEAR VALUED SHAREHOLDERS:
Thank you for your continued support of The One Group Family of Mutual Funds.
1996 proved to be a rewarding year for stock investors, and a challenging one
for bond investors. Stocks maintained the strength they exhibited during 1995
and posted impressive double-digit returns. Bond returns, on the other hand,
slipped back into the low single digits, as the market was plagued with
volatility.
As strong as the stock market's returns were during 1996, and as disappointing
as the bond market's results were, it's important to keep performance--whether
good or bad--in perspective. Returns in any single year shouldn't influence your
long-term investment strategy.
It's highly unlikely that, over the long term, the stock market will remain as
strong as it has been during the past two years, or that the bond market will
remain as volatile. While returns may fluctuate over the short term, over the
long term the markets tend to adjust for periodic ups and downs so that
performance evens out.
These market dynamics underscore the importance of three key investment
strategies:
- - MAINTAINING A LONG-TERM PERSPECTIVE. Don't let short-term returns distract
you from your long-term strategy. Let time work for your investment portfolio.
After all, it's time, not timing, that allows investments to realize their
full potential.
- - ASSET ALLOCATION. Spreading your investment dollars among stocks, bonds and
money market securities according to your goals, time frame and risk tolerance
exposes your money to opportunities from each major asset class.
- - DIVERSIFICATION. Investing in a variety of securities within each asset class
may enhance your returns while helping to reduce overall portfolio risk.
We believe that following these principles is critical to long-term investment
success. Nevertheless, it sometimes is difficult for individual investors to
implement these strategies in their own investment plans. The One Group is
always working on new ways to make investing easy and convenient. And now,
taking advantage of these investment techniques has never been simpler.
Four new funds--THE ONE GROUP INVESTOR FUNDS-- take the time and complexity out
of allocating your assets and assembling a diversified investment portfolio.
They offer a convenient way to enjoy asset allocation and broad diversification
from ONE investment.
Each of The One Group Investor Funds is targeted toward a specific investment
objective, such as growth, income or a combination of the two. In striving to
meet these objectives, the investment professionals managing The One Group
Investor Funds invest in a combination of mutual funds from The One Group
family. So, by investing in the SINGLE One Group Investor Fund best suited to
your goals, you enjoy instant diversification and professional asset allocation.
The One Group Investor Funds are suitable for various investment goals,
including one of the most important--retirement. Because they offer a single
source for asset allocation and broad diversification, they may be ideal
investments for THE ONE GROUP IRA.
The One Group IRA can be one of the smartest ways to save for retirement:
- - All workers AND non-working spouses may contribute up to $2,000 A YEAR.
- - You accumulate TAX-DEFERRED EARNINGS during your working years.
- - For certain investors, some or all of the $2,000 annual IRA contribution limit
may be TAX-DEDUCTIBLE.
There's still time to make your IRA investment for the 1996 income tax year; the
deadline is April 15. All it takes is a minimum of $25 to set up your IRA, as
long as you sign up for systematic investing. Otherwise, the minimum is $250.
And, if you maintain a balance of at least $1,000, The One Group will waive the
annual IRA maintenance fee.
- ----2
<PAGE>
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Report From Your Investment Advisor, continued
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THE ONE GROUP FAMILY OF MUTUAL FUNDS DECEMBER 31, 1996
We invite you to learn more about The One Group Investor Funds and The One Group
IRA by calling 1-800-480-4111, or by visiting The One Group web site at
WWW.ONEGROUP.COM. From here, you quickly can access a variety of fund-related
information, including prices, performance updates, fund manager biographies and
more. In addition, you will find an interactive asset allocation tool with which
you can determine your investor profile and select an appropriate model
portfolio.
Thank you again for the confidence you have shown in The One Group Family of
Mutual Funds. Your ongoing support is appreciated as The One Group continues to
make investing rewarding and convenient.
Sincerely,
[SIG]
David J. Kundert
PRESIDENT & CEO
BANC ONE INVESTMENT ADVISORS CORPORATION,
INVESTMENT ADVISOR TO THE ONE GROUP
[DAVID J. KUNDERT PHOTO]
- ---------
FOR MORE COMPLETE INFORMATION ABOUT THE ONE GROUP INVESTOR FUNDS AND THE ONE
GROUP IRA, INCLUDING CHARGES AND EXPENSES, YOU MAY OBTAIN A PROSPECTUS BY
CALLING THE ONE GROUP AT 1-800-480-4111. PLEASE READ THE PROSPECTUS CAREFULLY
BEFORE YOU INVEST.
3 ----
<PAGE>
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Report From Your Investment Advisor, continued
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THE ONE GROUP FAMILY OF MUTUAL FUNDS DECEMBER 31, 1996
ECONOMY STAYS ON STEADY COURSE
Economic growth during the second half of 1996 started out on unstable ground,
with inventory accumulation representing approximately 75% of the third
quarter's 2.1% GDP growth. When growth is backed by a surge in inventories, it
is not sustainable. During the fourth quarter, though, a decline in the level of
reported inventories revealed virtually no contribution from this component
toward the 4.7% overall growth rate. This demonstrated that the composition of
growth as the year ended was much more solid than it was in the third quarter.
EXPECTED FED ACTION DOESN'T MATERIALIZE
While short-term interest rates, such as the three-month Treasury bill rate,
seem to have remained relatively stable from the beginning of the six-month
period, when they were 5.23%, to the end, when they were 5.17%, there was, in
fact, significant volatility in between. After a surge in GDP growth in the
second quarter--to 4.7%--the bond market became convinced that a tightening by
the Federal Reserve was necessary, causing rates on the two-year Treasury note
to climb as high as 6.43%. The Fed, however, left its monetary policy unchanged,
and short-term rates came back down.
With regard to adjusting monetary policy, the Fed remained idle during the
second half of the year. In fact, the only Fed action for all of 1996 came on
Jan. 31, when it cut the federal funds rate by 0.25%. Nevertheless, the Fed
continued to nurture economic growth during the second half, as it was able to
largely ignore the tightness of the labor market and increased labor costs that
characterized the period. The Fed's current philosophy continues to be somewhat
preemptive in nature, but not as preemptive as it was in 1994, when it first
introduced this philosophy to the financial markets.
LONG-TERM RATES DECLINE
Investor concerns about stronger economic growth diminished during the final few
months of the year, as the market became more hopeful that economic growth
eventually would slow down. As a result, long-term interest rates toward the
latter half of the year proceeded to decline even in the wake of higher
inflation.
Consumer prices slowly increased during the period, ending the year up 3.3% on a
year-over-year basis. Prices at the beginning of the six-month period were
rising only 2.8% on a year-over-year basis. The decline in long-term rates
occurred on the bond market's expectation that inflation in 1997 would be a lot
more subdued, and slower economic growth would take some wind out of
inflationary pressures.
The decline in long-term interest rates during the second half of the year
continued to add overall support to the country's stock market. In addition, it
may have offered the housing sector a helping hand. In November, for example,
housing starts posted a gain of 9.3%, which represented the highest monthly
growth rate since July 1995, when housing starts were up 11.5%. Nevertheless, by
year-end, we observed that poor weather in the West caused December's housing
starts to plunge by 12.2%.
WHAT'S IN STORE FOR 1997
After growing at a rate of 2.5% in 1996, we think the economy may slow down in
1997, as growth softens. Some of this slowdown is likely to be caused by a
continued dampening of growth in consumer credit.
As growth slows, consumer prices should increase by approximately 3.5% (on a
year-over-year basis) in 1997, due to growing labor cost pressures. This factor
is likely to push long-term interest rates up during the year. After starting
the year at 6.5%, we believe that the 30-year Treasury bond may peak during the
second half of the year and then fall back to approximately 6.9% in the fourth
quarter if economic growth slows.
One of the major uncertainties for the bond market in the first half of 1997
will be whether or not the tight labor market persists, and, furthermore,
whether it will result in much firmer consumer prices. Current bond prices
suggest that the market remains optimistic, but in the event that these
pressures translate into much higher prices, the bond market may encounter great
difficulty in the first half of the year.
We suspect that the Federal Reserve may combat rising consumer prices with an
increase in short-term interest rates. Our preliminary projections show that the
federal funds rate may move up during the first half of 1997, which should place
some downward pressure on stock prices.
[SIG]
Anthony Chan, Ph.D.
VICE PRESIDENT AND CHIEF ECONOMIST
BANC ONE INVESTMENT ADVISORS CORPORATION
- ----4
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Report From Your Investment Advisor, continued
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THE ONE GROUP FAMILY OF MUTUAL FUNDS DECEMBER 31, 1996
VOLATILITY LEADS TO LACKLUSTER BOND RETURNS
The taxable bond market went on a roller coaster ride during 1996, first
falling, then coming back up, then declining again. The first six months of the
year were characterized by volatility and negative performance, as a strong
economy pushed interest rates up--and bond prices down. The yield on the 10-year
Treasury, for example, increased by approximately 1.5%.
In the second half of the year, the bond market staged a comeback. Economic
growth slowed down, and interest rates reverted back to their late-1995 levels.
In addition, foreign demand for high-quality U.S. bonds helped boost the
market's performance.
Then in December signs of a stronger economy began to emerge. As a result, all
segments of the domestic bond market again experienced declines, eliminating
about half the gains made during the previous five months. The calendar year
ended with lackluster market returns.
The economy wasn't the only factor working against the bond market. A demand for
yield led many investors to the emerging market debt and high-yield sectors of
the bond market, which caused these securities to outperform higher-quality
bonds. Furthermore, with a strong U.S. equity market, many investors were
over-allocated toward stocks, putting more pressure on the bond market.
THE ONE GROUP FUNDS RISE TO THE CHALLENGE
Despite this difficult environment, we are pleased to report that The One Group
fixed-income funds (fiduciary share class) offered relatively strong returns,
outperforming their respective Lipper Analytical Services mutual fund peer
groups for the six- and 12-month periods ended December 31, 1996. (Lipper is a
well-respected mutual fund research firm that tracks and compares returns for
groups of funds with similar investment objectives.) For more information,
please see the chart on page 6.
We attribute this performance to two strategies: maintaining a neutral duration
stance versus the benchmarks, and sector selection. (Duration is a measure of a
fixed-income fund's sensitivity to interest rate changes. A lower number
indicates less sensitivity; a higher number indicates greater sensitivity.) By
not taking any chances with duration, our funds were able to temper some of the
price volatility seen during the period. Furthermore, by focusing on bonds in
the mortgage-backed and corporate sectors, our funds captured the yield
advantage that these securities offered compared to Treasury securities.
MUNI MARKET REBOUNDS
As the flat-tax debate receded during the second half of 1996, the municipal
bond market rebounded. In addition, strong demand, particularly from the
institutional market, boosted performance. These factors helped the municipal
bond market outperform certain taxable issues, including government and
corporate bonds.
All of The One Group municipal bond funds offered relatively strong returns,
outperforming their respective fund peer groups (fiduciary share class). For
more information, please see the chart on page 6.
MONEY MARKET OFFERS "TYPICAL" RETURNS
Despite a fair amount of volatility among short-term securities--brought on by
investors trying to anticipate Federal Reserve action--money market securities
offered average returns during the second half of 1996. The One Group money
market funds continued to practice a barbell maturity strategy, focusing on both
the short and long ends of the money market maturity spectrum. This tactic
helped provide relatively strong returns that outperformed most of the funds'
peers.
MARKET SHOULD STABILIZE IN '97
Looking ahead, we anticipate that the bond market may operate in a range of 6%
to 7% in 1997. There probably will be some upward pressure on both short-and
long-term rates, but we don't think these increases will be dramatic. We think
it's likely that the Fed will tighten the federal funds rate by 0.25% to 0.50%
early in the year, with modest inflationary pressures the key determinant.
We expect to be cautious entering 1997 but may become more constructive if
interest rates get close to 7%. Our strategies will continue to focus on high-
quality securities with intermediate-term maturities, as they offer nearly all
of the return of longer-maturity bonds with significantly less risk. We also
will continue to stress income from securities in the mortgage and corporate
sectors. We believe that interest income should be important to returns in 1997,
as it was in 1996.
[SIG]
Gary J. Madich
SENIOR MANAGING DIRECTOR OF FIXED-INCOME SECURITIES
BANC ONE INVESTMENT ADVISORS CORPORATION
5 ----
<PAGE>
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The One Group Fixed-Income Funds Fiduciary Share Class
- -------------------------------------------------------------
LIPPER FIXED-INCOME INDEXES
RETURNS FOR THE PERIODS ENDED DECEMBER 31, 1996
<TABLE>
<CAPTION>
FUND NAME/LIPPER UNIVERSE 6 MONTHS 1 YEAR
- ------------------------------------------------------------------------------------------ ------------------- -----------------
<S> <C> <C>
Ultra Short-Term Income Fund.............................................................. 3.70 6.14
Lipper Adjustable Rate Mortgage Index..................................................... 3.26 5.40
Government Bond Fund...................................................................... 4.90 2.59
Lipper General U.S. Government Bond Index................................................. 4.45 1.72
Limited Volatility Bond Fund.............................................................. 3.65 4.31
Lipper Short & Short/Intermediate U.S. Government Bond Fund Index......................... 3.52 3.84
Intermediate Bond Fund.................................................................... 4.60 4.09
Lipper Intermediate U.S. Government Bond Fund Index....................................... 4.21 2.68
Income Bond Fund.......................................................................... 4.92 3.30
Lipper Intermediate Investment Grade Fund Index........................................... 4.64 3.12
Municipal Income Fund..................................................................... 4.05 4.58
Lipper Intermediate Municipal Bond Fund Index............................................. 3.92 3.70
Intermediate Tax-Free Bond Fund........................................................... 4.75 4.39
Lipper Intermediate Municipal Bond Fund Index............................................. 3.92 3.70
Ohio Municipal Bond Fund.................................................................. 4.45 4.15
Lipper All State-Specific Intermediate Municipal Bond Fund Index.......................... 3.83 3.49
Louisiana Municipal Bond Fund............................................................. 3.91 4.43
Lipper All State-Specific Intermediate Municipal Bond Fund Index.......................... 3.83 3.49
Kentucky Municipal Bond Fund.............................................................. 4.02 4.18
Lipper All State-Specific Intermediate Municipal Bond Fund Index.......................... 3.83 3.49
<CAPTION>
NUMBER OF FUNDS IN LIPPER UNIVERSES
NO. OF FUNDS NO. OF FUNDS
LIPPER UNIVERSE 6-MONTH PERIOD 1-YEAR PERIOD
- ------------------------------------------------------------------------------------------ ------------------- -----------------
<S> <C> <C>
Adjustable Rate Mortgage Index............................................................ 46 46
General U.S. Government Bond Index........................................................ 174 170
Short & Short/Intermediate U.S. Government Bond Fund Index................................ 156 146
Intermediate U.S. Government Bond Fund Index.............................................. 129 120
Intermediate Investment Grade Fund Index.................................................. 187 176
Intermediate Municipal Bond Fund Index.................................................... 184 174
All State-Specific Intermediate Municipal Bond Fund Index................................. 143 136
</TABLE>
- ----6
<PAGE>
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The One Group Family of Mutual Funds
ULTRA SHORT-TERM INCOME FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ----------- --------------------------------------------- ---------
<C> <S> <C>
OTHER MORTGAGE BACKED SECURITIES (7.8%):
$ 1,000 Prudential Home Mortgage Securities, Series
1992-45, Class A4,
6.50%, 1/25/00............................. $ 997
1,842 Sears Mortgage Securities Corp. Services,
Series 1992-18, Class A3,
7.69%, 9/25/22............................. 1,879
2,000 Structured Asset Securities Corp., Series
1996-C1, Class C
144A Security, 5.97%, 1/25/97.............. 1,995
1,300 Structured Asset Securities Corp., Series
1997-1, Class B2
Series 1997-1, 6.76%, 1/15/25.............. 1,310
---------
Total Other Mortgage Backed Securities 6,181
---------
YANKEE & EURODOLLAR (1.2%):
1,000 United Mexican States, 7.56%, 8/6/01, FRN.... 1,002
---------
Total Yankee & Eurodollar 1,002
---------
U.S. GOVERNMENT AGENCY MORTGAGES (92.3%):
Federal Home Loan Mortgage Corp.:
2,757 7.87%, 5/1/18, Pool #840160, 1 Year CMT ARM
(b)........................................ 2,868
578 6.74%, 12/1/21, Pool #645083, 1 Year CMT
ARM........................................ 581
3,588 9.00%, 9/1/25, Gold #C00387.................. 3,792
5,729 6.45%, 6/1/26, Pool #785586, 1 Year CMT
ARM........................................ 5,718
Federal National Mortgage Assoc.:
1,187 7.00%, 3/25/98, Series 1993-112 EA, CMO...... 1,192
450 6.50%, 11/1/03, Pool #44174.................. 451
1,248 6.63%, 3/1/17, Pool #47109, 1 Year CMT ARM... 1,264
1,991 7.30%, 5/1/18, Pool #075505, 6 Month T-Bill
ARM........................................ 2,034
604 6.74%, 6/1/18, Pool #70793, 6 Month T-Bill
ARM........................................ 615
1,828 6.25%, 1/25/20, Series 1993-102G, CMO........ 1,807
6,821 7.55%, 7/1/20, Pool #133558, 1 Year CMT ARM
(b)........................................ 7,034
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ----------- --------------------------------------------- ---------
<C> <S> <C>
Federal National Mortgage Assoc.:, continued:
$ 3,501 7.31%, 12/1/20, Pool #116590, 1 Year CMT
ARM........................................ $ 3,611
3,681 6.51%, 12/25/20, Series 1990-145, Class A,
CMO (b).................................... 3,684
1,964 7.31%, 4/1/21, Pool #70983, 1 Year CMT ARM... 2,028
1,323 7.95%, 11/1/21, Pool #124510, 1 Year CMT
ARM........................................ 1,378
474 8.00%, 11/1/22, Pool #193013, 1 Year CMT
ARM........................................ 490
1,957 7.61%, 11/1/23, Pool #241828, 6 Month CD
ARM........................................ 2,017
4,004 6.22%, 7/1/25, Pool #326092, 1 Year CMT
ARM........................................ 4,041
3,727 5.73%, 11/1/26, Pool #363030, 1 Year CMT
ARM........................................ 3,757
5,284 7.24%, 7/1/27, Pool #70179, 1 Year CMT ARM... 5,443
5,622 7.63%, 1/1/31, Pool #124945, 1 Year CMT ARM
(b)........................................ 5,850
Government National Mortgage Assoc.:
6,222 6.00%, 1/20/26, Pool #8790, 1 Year CMT ARM... 6,319
3,421 6.50%, 7/20/26, Pool #8927, 1 Year CMT ARM... 3,473
4,000 6.00%, 1/23/27, TBA, 1 Year CMT ARM.......... 4,003
---------
Total U.S. Government Agency Mortgages 73,450
---------
Total Investments, at value 80,633
---------
REPURCHASE AGREEMENTS (5.2%):
4,165 Lehman Brothers, Inc., 7.02%, 1/2/97,
(collaterized by $4,085 various U.S.
Government Securities 6.59%-8.57%,
5/16/05-10/26/09, market value--$4,250).... $ 4,165
---------
Total Repurchase Agreements 4,165
---------
Total (Cost--$84,711)(a) $84,798
---------
---------
</TABLE>
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Percentages indicated are based on net assets of $79,602.
<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>
<C> <S>
(b) Serves as collateral for futures contracts.
</TABLE>
<TABLE>
<S> <C>
Unrealized appreciation.................................................... $ 309
Unrealized depreciation.................................................... (222)
---------
Net unrealized appreciation................................................ $ 87
---------
---------
</TABLE>
CONTINUED
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<PAGE>
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The One Group Family of Mutual Funds
ULTRA SHORT-TERM INCOME FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1996
(Amounts in Thousands)
(Unaudited)
At December 31, 1996, the Portfolio's open futures contracts were as follows:
<TABLE>
<CAPTION>
OPEN CURRENT
# OF POSITIONS MARKET
CONTRACTS CONTRACT TYPES (000) VALUE (000)
- ---------- ----------------------------------------------------------- ----------- -----------
<C> <S> <C> <C>
LONG CONTRACTS
10 U.S. Treasury 10 Year Note, March 1997..................... $ 1,111 $ 1,091
SHORT CONTRACTS
10 U.S. Treasury 5 Year Note, March 1997...................... 1,080 1,066
45 U.S. Treasury 2 Year Note, March 1997...................... 9,351 9,306
</TABLE>
<TABLE>
<S> <C>
ARM Adjustable Rate Mortgage
CD Certificate of Deposit Index
CMO Collateralized Mortgage Obligation
CMT Constant Maturity Treasury Index
FRN Floating Rate Note
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- ----8
<PAGE>
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The One Group Family of Mutual Funds
LIMITED VOLATILITY BOND FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ----------- ------------------------------------------- ---------
<C> <S> <C>
ASSET BACKED SECURITIES (10.1%):
$ 2,353 CIT Group Securitization Corp., Series
1995-1, 7.70%, 8/15/20, Class A1......... $ 2,394
5,000 Countrywide Asset-Backed Certificate,
6.53%, 2/25/14........................... 4,982
1,042 Discover Card Trust, 1991-E Class A,
7.30%, 5/21/99........................... 1,042
4,463 EQCC Home Equity Loan Trust,
1996-3, Class A3, 6.20%, 7/15/05......... 4,469
6,944 Fifth Third Auto Grantor Trust, 1996-A,
Class A, 6.20%, 9/15/01.................. 6,960
10,000 Ford Motor Credit Auto Loan, Series 1995-1,
Class A, 6.50%, 8/15/02.................. 10,037
508 Green Tree Home Improvement Loan Trust,
Series 1995-C, Class A, 6.20%,
7/15/20,................................. 509
7,000 National Premier Funding, 1995-6, 7.00%,
6/1/99................................... 7,042
3,899 Newcourt Receivables Trust,
6.24%, 12/20/04.......................... 3,879
33 Shawmut National Grantor Trust, Series
1992-A, 5.55%, 11/15/97.................. 33
13,000 Standard Credit Card Master Trust,
Series 1995-2, 8.63%, 1/7/02............. 13,046
2,927 UCFC Home Equity Loan, 1994 O1,
8.38%, 3/10/07........................... 2,962
1,398 Union Federal Savings Bank Trust,
1994 A-A, 5.08%, 5/15/00................. 1,383
1,216 Union Federal Savings Bank Trust,
Series 1993-A, 4.53%, 5/15/99............ 1,199
2,354 Union Federal Savings Bank Trust,
Series 1993-C, 4.88%, 2/15/00............ 2,330
---------
Total Asset Backed Securities 62,267
---------
CORPORATE BONDS (14.1%):
Bank, Insurance & Finance (11.1%):
3,000 Avco Financial Services, 7.25%, 7/15/99.... 3,071
2,000 BankAmerica Corp., 7.88%, 12/1/02.......... 2,115
7,000 Chrysler Financial Corp., 5.88%, 2/7/01.... 6,834
7,000 Ford Motor Credit, 8.38%, 1/15/00.......... 7,368
10,000 Greenwich Capital, Private Placement,
7.04%, 12/13/99.......................... 9,999
10,000 International Lease Finance, 5.54%,
5/5/97................................... 10,001
4,500 Lehman Brothers Holdings, 8.88%, 11/1/98... 4,691
3,000 Lehman Brothers Inc., 7.00%, 5/15/97....... 3,012
5,000 Lehman Brothers Inc., 7.63%, 8/1/98........ 5,094
3,000 Lehman Brothers Inc., 10.00%, 5/15/99...... 3,221
4,000 Lehman Brothers Inc., 9.88%, 10/15/00...... 4,400
3,000 NationsBank, Corp., 8.13%, 6/15/02......... 3,210
5,000 Smith Barney Holdings, 6.00%, 3/15/97...... 5,005
---------
68,021
---------
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ----------- ------------------------------------------- ---------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Industrial (2.5%):
$ 2,000 Columbia Pictures Entertainment, Inc.,
9.88%, 2/1/98............................ $ 2,065
5,000 General Motors Corp., 9.63%, 12/1/00....... 5,525
1,000 IBM, 6.38%, 11/1/97........................ 1,004
5,000 Sears Robuck Co., 6.69%, 8/13/01........... 5,006
2,000 Wal-Mart Stores, 5.50%, 3/1/98............. 1,993
---------
15,593
---------
Utility (0.5%):
3,000 Potomac Electric Power, 9.00%, 4/15/00,
Callable 4/15/99 @100 3,154
---------
Total Corporate Bonds 86,768
---------
OTHER MORTGAGE BACKED SECURITIES (2.5%):
5,150 Evans Withycombe Finance Trust, 7.98%,
8/1/01................................... 5,409
5,000 Nomura Mortgage Capital Corp.,
7.00%, 6/17/20........................... 4,892
5,131 Prudential Home Mortgage Securities,
6.50%, 5/25/00........................... 5,088
---------
Total Other Mortgage Backed Securities 15,389
---------
YANKEE & EURODOLLAR (0.8%):
5,000 Peoples Republic of China, 7.38%, 7/3/01... 5,094
---------
Total Yankee & Eurodollar 5,094
---------
U.S. GOVERNMENT AGENCY MORTGAGES (33.1%):
Federal Home Loan Mortgage Corp.:
4,766 6.00%, 4/1/00, Gold Pool #M80166........... 4,661
2,163 6.50%, 1/1/01, Pool #M8038................. 2,146
422 9.00%, 12/1/05, Pool #G00005............... 441
436 9.00%, 1/1/06, Pool #G00012................ 457
825 8.00%, 10/1/06, Pool #G00052............... 850
2,651 7.00%, 3/1/07, Pool #G34594................ 2,652
2,338 7.00%, 4/1/07, Pool #G00087................ 2,339
3,175 7.50%, 4/1/07, Pool #G00084................ 3,223
3,851 7.50%, 11/1/07, Pool #E00165............... 3,910
5,867 8.50%, 2/1/08, Gold Pool #10133............ 6,107
2,472 7.00%, 12/1/08, Pool #E20065............... 2,472
3,007 8.00%, 1/1/10, Pool #G00355................ 3,096
8,798 8.00%, 2/1/10, Pool #G10328................ 9,057
10,828 7.00%, 10/1/10, Gold Pool #E61709.......... 10,832
14,409 7.00%, 5/1/11, Pool #E20241................ 14,414
10,000 5.25%, 9/15/15, REMIC/CMO, Series 1638,
Class BC................................. 9,849
13,209 8.25%, 12/15/16, REMIC/CMO, Series 1770,
Class PD................................. 13,690
3,514 7.25%, 4/15/18, REMIC/CMO, Series 1254,
Class F.................................. 3,514
4,964 6.68%, 10/1/26, Pool #785652............... 5,039
7,194 7.02%, 10/1/26, Pool #785674............... 7,338
</TABLE>
CONTINUED
9 ----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
LIMITED VOLATILITY BOND FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1996
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ----------- ------------------------------------------- ---------
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
<C> <S> <C>
Federal National Mortgage Assoc.:
$ 15,806 6.50%, 4/1/00, Pool #E50720................ $ 15,667
10,000 5.64%, 2/20/01, Callable 2/20/98 @100...... 9,674
9,978 7.00%, 4/1/03, Pool #303865................ 10,022
255 9.00%, 9/1/05, Pool #50340................. 267
268 9.00%, 11/1/05, Pool #50361................ 281
274 8.50%, 4/1/06, Pool #116875................ 286
8,442 7.00%, 6/1/10, Pool #315928................ 8,437
7,032 6.50%, 9/1/10, Pool #325479................ 6,907
5,485 6.50%, 10/1/10, Pool #250377............... 5,387
3,536 7.00%, 11/1/10, Pool #250387............... 3,534
9,313 7.00%, 1/1/11, Pool #328959................ 9,308
4,395 7.50%, 2/1/11, Pool #303755................ 4,458
462 6.00%, 9/25/18, REMIC/CMO, Series 1989-94,
Class E.................................. 460
4 8.00%, 2/15/02, Pool #192917............... 4
28 8.00%, 3/15/02, Pool #209172............... 28
5 9.00%, 6/15/02, Pool #229311............... 6
Government National Mortgage Assoc.:
85 9.00%, 10/15/02, Pool #229569.............. 89
21 8.00%, 6/15/05, Pool #28827................ 22
13 9.00%, 9/15/05, Pool #292569............... 14
72 9.00%, 10/15/05, Pool #292589.............. 76
19 8.00%, 5/15/06, Pool #303851............... 20
8 8.00%, 7/15/06, Pool #307231............... 8
53 8.00%, 8/15/06, Pool #311166............... 55
52 8.00%, 9/15/06, Pool #311301............... 53
350 8.00%, 10/15/06, Pool #316915.............. 362
46 8.00%, 11/15/06, Pool #311131.............. 48
475 8.00%, 11/15/06, Pool #312210.............. 491
308 8.00%, 11/15/06, Pool #313528.............. 318
102 8.00%, 11/15/06, Pool #315078.............. 105
166 8.00%, 11/15/06, Pool #316671.............. 171
267 8.00 %, 12/15/06, Pool #311384............. 275
178 8.00%, 1/15/07, Pool #317663............... 184
415 8.00%, 2/15/07, Pool #316086............... 428
79 8.00%, 3/15/07, Pool #178684............... 82
207 8.00%, 3/15/07, Pool #318825............... 214
202 8.00%, 4/15/07, Pool #316441............... 208
14,202 6.00%, 11/20/25, Pool #8746 ARM............ 14,495
4,795 6.00%, 1/20/26, Pool #8790 ARM............. 4,870
---------
Total U.S. Government Agency Mortgages 203,401
---------
U.S. GOVERNMENT AGENCY SECURITIES (17.5%):
Federal Farm Credit Bank:
1,735 5.31%, 5/26/98............................. 1,724
Federal Home Loan Bank:
2,000 6.85%, 2/25/97............................. 2,004
4,000 6.60%, 4/13/99............................. 4,048
17,000 5.58%, 2/23/01............................. 16,409
10,000 7.78%, 10/19/01............................ 10,578
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ----------- ------------------------------------------- ---------
<C> <S> <C>
U.S. GOVERNMENT AGENCY SECURITIES, CONTINUED:
Federal Home Loan Bank:, continued:
Federal Home Loan Mortgage Corp.:
$ 20,000 7.13%, 7/21/99 (b)......................... $ 20,515
Federal National Mortgage Assoc.:
3,000 8.20%, 3/10/98............................. 3,082
2,000 5.30%, 3/11/98............................. 1,985
3,600 6.90%, 3/27/98............................. 3,648
4,000 5.35%, 4/1/98.............................. 3,971
4,000 5.18%, 2/1/99, Callable 2/1/98 @100........ 3,930
4,000 6.29%, 10/20/99............................ 3,981
22,000 5.72%, 3/8/01.............................. 21,527
10,000 6.16%, 3/29/01 (b)......................... 9,936
Guaranteed Overseas Private Investment Corp.:
288 5.55%, 1/13/97............................. 288
---------
Total U.S. Government Agency Securities 107,626
---------
U.S. TREASURY OBLIGATIONS (20.2%):
U.S. Treasury Notes:
3,000 6.50%, 5/15/97 (b)......................... 3,013
3,500 8.63%, 8/15/97............................. 3,566
3,000 7.38%, 11/15/97............................ 3,044
9,000 6.00%, 11/30/97 (b)........................ 9,022
2,500 7.88%, 1/15/98............................. 2,556
3,000 5.13%, 3/31/98............................. 2,980
1,500 5.13%, 4/30/98 (b)......................... 1,489
11,000 5.13%, 6/30/98 (b)......................... 10,907
3,000 4.75%, 9/30/98............................. 2,948
5,000 8.88%, 11/15/98............................ 5,263
1,000 7.00%, 4/15/99............................. 1,023
5,000 7.75%, 1/31/00 (b)......................... 5,234
3,500 8.50%, 2/15/00............................. 3,738
1,000 8.88%, 5/15/00 (b)......................... 1,084
7,000 6.25%, 5/31/00 (b)......................... 7,033
2,500 6.13%, 9/30/00 (b)......................... 2,500
5,000 6.63%, 6/30/01............................. 5,082
U.S. Treasury Strips:
15,000 2/15/99 (b)................................ 13,263
10,000 2/15/00.................................... 8,303
15,000 11/15/01 (b)............................... 11,158
28,500 2/15/02 (b)................................ 20,859
---------
Total U.S. Treasury Obligations 124,065
---------
Total Investments, at value 604,610
---------
REPURCHASE AGREEMENTS (0.8%):
4,840 Lehman Brothers Inc., 7.02%, 2/2/97,
(Collateralized by $4,920 Government
National Mortgage Corp., 6.48%-7.88%,
2/18/04-4/28/04, market value-- $4,938) 4,840
---------
Total Repurchase Agreements 4,840
---------
Total (Cost--$606,745)(a) $ 609,450
---------
---------
</TABLE>
CONTINUED
- ----10
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
LIMITED VOLATILITY BOND FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1996
(Amounts in Thousands)
(Unaudited)
- ------------
Percentages indicated are based on net assets of $615,255.
<TABLE>
<C> <S>
(a) Represents cost for financial reporting purposes and differs from cost basis for federal income tax purposes by the
amount of losses recognized for financial reporting purposes in excess of federal income tax reporting of approximately
$150. Cost for federal income tax purposes differs from value by net unrealized appreciation of securities as follows:
</TABLE>
<TABLE>
<S> <C>
Unrealized appreciation.................................................... $ 4,760
Unrealized depreciation.................................................... (2,205)
---------
Net unrealized appreciation................................................ $ 2,555
---------
---------
</TABLE>
<TABLE>
<C> <S>
(b) A portion of this security was loaned as of December 31, 1996.
</TABLE>
<TABLE>
<S> <C>
ARM Adjustable Rate Mortgage
CMO Collateralized Mortgage Obligation
REMIC Real Estate Mortgage Investment Conduit
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
11----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
INTERMEDIATE BOND FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ----------- -------------------------------------------- ---------
<C> <S> <C>
ASSET BACKED SECURITIES (7.5%):
$ 1,280 Advanta Mortgage Loan Trust, Series 1994-4,
Class A1, 8.55%, 11/25/12................. $ 1,309
3,866 Aircraft Lease Portfolio Securitization
Ltd., Series 94-1, Class A2, 7.15%,
9/15/04................................... 3,903
5,000 Ford Motor Credit Auto Loan Master Trust,
Series 1995-1, Class A, 6.50%, 8/15/02
(c)....................................... 5,019
4,463 EQCC Home Equity Loan Trust, Series 1996-3,
Class A3, 6.20%, 7/15/05.................. 4,469
305 Green Tree Home Improvement Loan Trust,
Series 1995-C, Class A, 6.20%, 7/15/20.... 306
2,017 UCFC Home Equity Loan, Series 1994-A, Class
A2, 5.53%, 5/10/09........................ 2,014
2,344 Union Acceptance Corp., Series 1995-D,
6.03%, 1/7/03............................. 2,334
3,000 World Financial Network Credit Card, Series
96-1, Class A, 6.70%, 2/15/04............. 3,032
---------
Total Asset Backed Securities 22,386
---------
CORPORATE BONDS (17.5%):
Banking, Finance, & Insurance (9.8%):
3,000 Bankers Trust, 7.25%, 1/15/03............... 3,068
3,000 First Hawaiian, Inc., 6.25%, 8/15/00........ 2,966
3,000 Fleet/Norstar Group, 8.13%, 7/1/04 (b)...... 3,203
4,000 Goldman Sachs, 6.38%, 6/15/00............... 3,980
5,000 Greenwich Capital, Private Placement, 7.04%,
12/13/99.................................. 5,000
3,000 Lehman Brothers Holdings, 7.25%, 4/15/03.... 3,023
1,000 Lehman Brothers, Inc., 9.88%, 10/15/00...... 1,100
4,000 Liberty Mutual Insurance, 8.20%, 5/4/07
(b)....................................... 4,265
3,000 Metropolitan Life, 6.30%, 11/1/03........... 2,906
---------
29,511
---------
Industrial (2.4%):
2,000 Dayton Hudson Co., 7.50%, 3/1/99............ 2,043
3,000 Excel Paralubes Funding, 7.13%, 11/1/11..... 3,019
2,000 General Motors, 7.63%, 2/15/97.............. 2,004
---------
7,066
---------
Real Estate (1.4%):
2,000 Colonial Realty Properties, 7.50%, 7/15/01.. 2,030
2,000 Meditrust, 7.60%, 7/15/01................... 2,038
---------
4,068
---------
Yankee & Eurodollar (4.0%):
2,000 Hanson Overseas, 6.75%, 9/15/05............. 1,963
3,000 Peoples Republic of China, 6.63%,
1/15/03(b)................................ 2,944
3,000 Ras Laffan Gas, 7.63%, 9/15/06.............. 3,020
4,000 United Mexican States, FRN, 7.56%, 8/6/01... 4,008
---------
11,935
---------
Total Corporate Bonds 52,580
---------
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ----------- -------------------------------------------- ---------
<C> <S> <C>
OTHER MORTGAGE BACKED SECURITIES (5.3%):
$ 4,000 The Equitable Private Placement, Series 174,
Class A1, 7.24%, 5/15/06.................. $ 4,085
2,891 Independent National Mortgage Corp., Series
1995-S, Class A1, 7.10%, 1/15/26.......... 2,912
3,000 Kidder Peabody Acceptance Corp., Series
1994-C2, Class A, 7.18%, 10/1/05.......... 3,062
2,000 Merrill Lynch Mortgage, Series 1996-C2,
Class B, 6.96%, 11/21/28.................. 1,968
147 Morgan Stanley Mortgage Trust, Series Y,
Class 3, 8.95%, 3/1/16.................... 149
3,893 Prudential Home Mortgage Securities, Series
1993-17, Class A1, 6.50%, 5/25/00......... 3,861
---------
Total Other Mortgage Backed Securities 16,037
---------
U.S. GOVERNMENT AGENCY MORTGAGES (35.9%):
Federal Home Loan Mortgage Corp.:
1,000 7.00%, 6/15/06, Series #1457-PH, CMO........ 992
1,105 7.50%, 8/1/08, Gold Pool #G10117............ 1,122
2,362 8.50%, 1/1/10, Gold Pool #E00356............ 2,458
264 7.00%, 8/1/10, Gold Pool #E20187............ 264
4,162 7.00%, 9/1/10, Gold Pool #E00393 (c)........ 4,163
3,888 7.50%, 7/1/11, Gold Pool #E20253............ 3,948
6,000 6.50%, 12/1/11, Gold 15 Year TBA............ 5,940
702 7.25%, 4/15/18, Series #1254-F, CMO......... 703
3,000 6.00%, 4/15/20, Series #1534-F, CMO......... 2,925
4,000 8.00%, 2/15/20, Gold Series #1770-PE, CMO... 4,141
732 8.00%, 7/1/20, Gold Pool #A01047............ 747
3,000 6.50%, 10/15/21, Series #1590-GA, CMO....... 2,943
2,000 6.50%, 1/15/22, Series #1573-PI, CMO........ 1,945
3,084 8.00%,11/1/24, Gold Pool #C00376............ 3,145
4,471 7.50%, 8/1/25, Gold Pool #C00414 (c)........ 4,478
3,907 7.00%, 4/1/26, Pool #C00452................. 3,835
3,977 7.50%, 4/1/26, Gold Pool #D70219............ 3,983
4,205 6.98%, 7/1/26, Pool #785618................. 4,184
4,969 7.50%, 7/1/26, Gold Pool #D72734............ 4,976
Federal National Mortgage Assoc.:
500 8.00%, 9/25/04, Series 1991-155G, CMO....... 513
1,000 6.75%, 12/25/04, Series 1993-6C, CMO........ 1,007
3,029 7.00%, 6/1/10, Pool #312903................. 3,027
2,793 6.50%, 12/1/10, Pool #322598................ 2,743
2,427 8.00%, 5/1/24, Pool #250066................. 2,473
2,188 8.50%, 7/1/24, Pool #250103................. 2,267
2,990 7.50%, 10/1/24, Pool #303031................ 2,990
340 7.50%, 5/1/25, Pool #293928................. 340
901 7.50%, 5/1/25, Pool #311810................. 901
1,284 8.50%, 5/1/25, Pool #308499................. 1,331
1,836 8.50%, 6/1/25, Pool #315277................. 1,903
3,751 7.00%, 7/1/25, Pool #290387................. 3,671
3,841 7.13%, 6/1/26, Pool #341503................. 3,920
Government National Mortgage Assoc.:
6 10.50%, 7/15/98, Pool #069629............... 7
1 10.50%, 9/15/98, Pool #103573............... 2
11 11.00%, 6/15/99, Pool #110948............... 11
10 11.00%, 3/15/00, Pool #123750............... 10
7 10.00%, 12/15/00, Pool #136214.............. 8
65 10.00%, 1/15/01, Pool #145167............... 69
</TABLE>
CONTINUED
- ----12
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
INTERMEDIATE BOND FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1996
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ----------- -------------------------------------------- ---------
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
<C> <S> <C>
Government National Mortgage Assoc., continued:
$ 66 10.00%, 1/15/01, Pool #145328............... $ 70
61 8.50%, 6/15/01, Pool #137056................ 64
7 8.50%, 6/15/01, Pool #162447................ 7
7 9.00%, 6/15/01, Pool #161443................ 7
2 9.00%, 6/15/01, Pool #164431................ 2
25 9.00%, 6/15/01, Pool #166985................ 27
15 9.00%, 7/15/01, Pool #155822................ 16
91 8.50%, 8/15/01, Pool #164207................ 95
61 9.00%, 8/15/01, Pool #173460................ 64
10 9.00%, 9/15/01, Pool #177121................ 11
6 9.00%, 10/15/01, Pool #177634............... 6
103 9.00%, 10/15/01, Pool #179852............... 109
10 9.00%, 10/15/01, Pool #185596............... 10
4 8.50%, 11/15/01, Pool #183462............... 4
14 9.00%, 11/15/01, Pool #174365............... 14
110 9.00%, 11/15/01, Pool #191819............... 116
100 8.50%, 12/15/01, Pool #199182............... 105
15 9.00%, 1/15/02, Pool #205001................ 15
85 8.00%, 3/15/02, Pool #205933................ 88
70 8.00%, 3/15/02, Pool #210065................ 72
80 8.00%, 5/15/02, Pool #180296................ 83
47 8.00%, 5/15/02, Pool #203042................ 48
65 8.50%, 5/15/02, Pool #213776................ 68
51 9.00%, 8/15/02, Pool #232424................ 54
80 9.00%, 10/15/02, Pool #246307............... 84
14 9.00%, 11/15/02, Pool #235553............... 14
9 9.00%, 6/15/03, Pool #247863................ 9
68 8.50%, 10/15/04, Pool #277469............... 70
106 9.00%, 10/15/04, Pool #281655............... 111
127 8.50%, 11/15/04, Pool #253471............... 133
119 9.00%, 5/15/05, Pool #288771................ 125
156 9.00%, 8/15/05, Pool #297031................ 164
16 9.00%, 10/15/05, Pool #292589............... 17
91 9.00%, 11/15/05, Pool #292610............... 95
57 9.00%, 11/15/05, Pool #299161............... 60
76 9.00%, 12/15/05, Pool #299569............... 80
113 8.50%, 4/15/06, Pool #307487................ 118
209 7.50%, 5/15/07, Pool #329528................ 213
106 8.00%, 5/15/09, Pool #385676................ 109
26 8.00%, 8/15/09, Pool #372143................ 27
682 8.00%, 10/15/09, Pool #380639............... 705
2,990 8.00%, 7/15/22, Pool #426612................ 3,052
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ----------- -------------------------------------------- ---------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Government National Mortgage Assoc., continued:
$ 1,856 7.00%, 8/15/23, Pool #352108................ $ 1,816
2,635 7.00%, 11/15/23, Pool #352022............... 2,578
1,952 7.50%, 1/15/26, Pool #416874................ 1,953
1,981 7.50%, 3/15/26, Pool #422292................ 1,983
2,990 8.00%, 7/15/26, Pool #428509................ 3,052
5,964 7.50%, 11/20/26, G2 Pool #2322 (c).......... 5,939
---------
Total U.S. Government Agency Mortgages 107,747
---------
U.S. TREASURY OBLIGATIONS (34.0%):
U.S. Treasury Bonds
3,000 10.75%, 5/15/03 (b)......................... 3,695
3,000 8.75%, 5/15/17 (b).......................... 3,662
8,000 8.13%, 8/15/19 (b).......................... 9,255
8,000 6.25%, 8/15/23 (b).......................... 7,508
U.S. Treasury Notes
7,000 7.25%, 2/15/98 (b).......................... 7,115
3,500 5.13%, 3/31/98 (b).......................... 3,476
10,000 8.25%, 7/15/98 (b).......................... 10,358
3,000 8.88%, 11/15/98............................. 3,158
8,000 5.00%, 1/31/99 (b).......................... 7,864
4,000 7.50%, 10/31/99............................. 4,147
5,000 7.75%, 1/31/00 (b).......................... 5,234
3,000 7.13%, 2/29/00.............................. 3,089
3,000 5.88%, 6/30/00 (b).......................... 2,982
5,000 7.75%, 2/15/01.............................. 5,287
5,000 5.75%, 8/15/03 (b).......................... 4,852
11,000 7.25%, 5/15/04 (b).......................... 11,581
4,000 6.50%, 5/15/05 (b).......................... 4,028
5,000 5.88%, 11/15/05 (b)......................... 4,824
---------
Total U.S. Treasury Obligations 102,115
---------
Total Investments, at value 300,865
---------
REPURCHASE AGREEMENTS (0.9%):
2,743 Lehman Brothers, Inc., 7.02%, 1/2/97,
(collateralized by $2,625 Federal Home
Loan Mortgage Corp., 8.06%, 3/24/10,
market value--$2,799)..................... 2,743
---------
Total Repurchase Agreements 2,743
---------
Total (Cost--$302,377)(a) $ 303,608
---------
---------
</TABLE>
- ------------
Percentages indicated are based on net assets of $300,385.
<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.................................................... $ 3,215
Unrealized depreciation.................................................... (1,984)
---------
Net unrealized appreciation................................................ $ 1,231
---------
---------
</TABLE>
<TABLE>
<C> <S>
(b) A portion of this security was loaned as of December 31, 1996.
</TABLE>
<TABLE>
<C> <S>
(c) Serves as collateral for futures contracts.
</TABLE>
<TABLE>
<S> <C>
CMO Collateralized Mortgage Obligation
FRN Floating Rate Note
</TABLE>
CONTINUED
13----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
INTERMEDIATE BOND FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1996
(Amounts in Thousands)
(Unaudited)
At December 31, 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>
LONG CONTRACTS
30 U.S. Treasury 2 Year Note, March 1997...................... $ 6,234 $ 6,204
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- ----14
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
GOVERNMENT BOND FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ----------- -------------------------------------------- ---------
<C> <S> <C>
SUPRANATIONAL GOVERNMENT AGENCY (0.1%):
$ 400 International Bank for Reconstruction and
Development, Medium Term Note, COLTS,
7.65%, 2/28/97 (c)........................ $ 401
---------
Total Supranational Government Agency 401
---------
U.S. GOVERNMENT AGENCY MORTGAGES (86.2%):
Federal Home Loan Mortgage Corp.:
2,000 6.44%, 1/28/00.............................. 2,014
9,569 6.00%, 4/15/01, Gold Balloon, Pool
#G50347................................... 9,459
4,500 7.13%, 11/18/02............................. 4,677
3,000 6.78%, 3/15/04.............................. 2,966
3,000 7.88%, 4/28/04.............................. 3,007
5,000 7.89%, 5/12/04.............................. 5,014
6,120 7.50%, 4/1/09, Gold Pool #E00315............ 6,213
16,500 6.50%, 9/15/09, Series 1838 G, CMO.......... 15,952
5,212 8.50%, 1/1/10, Gold Pool #G10305............ 5,425
4,640 6.50%, 1/1/11, Gold Pool #E00413............ 4,561
9,567 6.50%, 4/1/11, Gold Pool #E00426............ 9,402
4,788 6.50%, 4/1/11, Gold Pool #E20235............ 4,705
365 9.00%, 10/1/17, Gold Pool #A00756........... 386
258 9.00%, 4/1/18, Gold Pool #A01143............ 272
2,811 7.25%, 4/15/18, Series 1254 F, CMO.......... 2,811
23 9.00%, 8/1/20, Gold Pool #D38661............ 24
66 9.00%, 10/1/20, Gold Pool #A01134........... 69
78 9.00%, 1/1/21, Gold Pool #A00948............ 83
60 9.00%, 4/1/21, Gold Pool #D04193............ 63
124 9.00%, 6/1/21, Gold Pool #A01017............ 131
132 9.00%, 7/1/21, Gold Pool #A01093............ 140
69 9.00%, 9/1/21, Gold Pool #D32271............ 73
53 9.00%, 11/1/21, Gold Pool #C00078........... 56
123 9.00%, 11/1/21, Gold Pool #D11191........... 130
130 9.00%, 11/1/21, Gold Pool #D11866........... 137
76 9.00%, 5/1/22, Gold Pool #D19142............ 81
269 9.00%, 5/1/22, Gold Pool #D19203............ 284
7,219 10.00%, 10/15/23, Series 1591 E, CMO........ 7,966
17,851 5.00%, 11/15/23, Series 1686 PG, CMO........ 16,677
5,348 8.50%, 5/1/24, Gold Pool #G00229............ 5,546
4,850 8.50%, 7/1/24, Gold Pool #C00354............ 5,029
8,095 7.50%, 9/1/24, Gold Pool #D56307............ 8,108
7,710 8.00%, 11/1/24, Gold Pool #C00376........... 7,864
3,001 7.50%, 5/1/25, Gold Pool #D59996............ 3,005
5,714 7.50%, 6/1/25, Gold Pool #C80321............ 5,723
7,824 8.00%, 6/1/25, Gold Pool #D60690............ 7,981
4,720 7.00%, 8/1/25, Gold Pool #C00418............ 4,633
4,464 7.50%, 8/1/25, Gold Pool #C80334............ 4,471
4,471 7.50%, 8/1/25, Gold Pool #C00414............ 4,478
4,695 7.00%, 9/1/25, Gold Pool #D63303............ 4,608
4,279 8.00%, 9/1/25, Gold Pool #D63705............ 4,364
9,220 7.50%, 10/1/25, Gold Pool #C80349........... 9,235
9,620 6.50%, 2/1/26, Gold Pool #D68098............ 9,202
9,805 6.50%, 3/1/26, Gold Pool #G00453............ 9,379
12,791 7.00%, 4/1/26, Gold Pool #D69810 (c)........ 12,555
11,921 7.00%, 4/1/26, Gold Pool #D69811 (c)........ 11,702
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ----------- -------------------------------------------- ---------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Federal National Mortgage Assoc.:
$ 2,000 8.80%, 7/25/97.............................. $ 2,036
4,000 8.70%, 6/10/99.............................. 4,238
3,000 8.90%, 6/12/00 (b).......................... 3,240
11,089 6.00%, 3/1/01, Pool #50783.................. 10,832
750 7.80%, 6/10/02.............................. 756
9,978 7.00%, 4/1/03, 7 Year Balloon............... 10,022
1,628 7.50%, 5/1/03, Pool #347175................. 1,654
3,146 7.50%, 7/1/03, Pool #250656................. 3,195
3,000 6.20%, 11/12/03............................. 2,890
2,820 8.05%, 5/20/04.............................. 2,834
5,000 7.86%, 5/25/04, Callable 5/25/99 @100....... 5,065
15,000 7.16%, 5/11/05.............................. 15,492
10,000 5.88%, 2/2/06 (b)........................... 9,484
5,000 6.67%, 2/6/06, Callable 2/6/98 @100......... 4,877
4,578 7.00%, 4/1/08, Pool #211750................. 4,575
8,000 6.00%, 6/25/09, Series 1994-86 PJ, CMO...... 7,481
4,252 7.00%, 7/1/10, Pool #250326................. 4,249
2,684 6.50%, 12/1/10, Pool #332301................ 2,636
15,000 6.00%, 3/1/11, Pool #340683................. 14,433
10,000 6.25%, 2/25/13, Series 1993-2 PC, CMO....... 9,963
3,596 6.35%, 8/25/13, Series 1993-225B VG, CMO.... 3,488
4,497 7.50%, 6/1/14, Pool #250081................. 4,497
3,613 7.50%, 7/1/14, Pool #250082................. 3,613
161 10.00%, 10/1/16, Pool #70110................ 177
9,016 10.00%, 9/1/17, Pool #303969................ 9,887
546 10.00%, 10/1/19, Pool #231675............... 598
10,000 7.00%, 5/25/20, Pool #1990-57............... 9,921
311 10.00%, 7/1/20, Pool #050318................ 341
5,584 6.50%, 5/25/21, Series 1992-205 K, CMO...... 5,365
5,000 7.00%, 9/25/21, Series G92-64 K, CMO........ 4,927
858 10.00%, 11/1/21, Pool #208372............... 940
742 10.00%, 11/1/21, Pool #208374............... 814
5,000 6.55%, 12/25/21, Pool #1993-137 PH, CMO..... 4,876
10,785 6.50%, 2/17/23, Series #G94-12 C, CMO....... 10,045
5,000 6.50%, 5/25/23, Series 1994-110 H, CMO...... 4,815
9,094 6.35%, 12/25/23, Series 1994-43 PJ, CMO..... 8,543
5,042 7.00%, 1/25/24, Series 1994-62 PJ, CMO...... 4,841
8,787 7.00%, 2/1/24, Pool #190257................. 8,600
3,339 9.00%, 12/1/24, Pool #353898................ 3,521
4,343 7.50%, 5/1/25, Pool #300064................. 4,343
4,081 7.50%, 6/1/25, Pool #312684................. 4,081
4,314 7.50%, 6/1/25. Pool #312899................. 4,314
4,743 7.00%, 8/1/25, Pool #315500................. 4,643
3,962 7.50%, 9/1/25, Pool #322899................. 3,962
969 7.50%, 9/1/25, Pool #324749................. 969
12,326 8.00%, 7/15/26, Pool #C80414................ 12,573
Government National Mortgage Assoc.:
1 10.50%, 4/15/98, Pool #63591................ 1
25 10.00%, 9/15/00, Pool #138814............... 26
10 10.00%, 12/15/00, Pool #136214.............. 11
6 10.00%, 1/15/01, Pool #145144............... 7
57 8.50%, 6/15/01, Pool #166491................ 59
5 8.50%, 7/15/01, Pool #161997................ 5
</TABLE>
CONTINUED
15----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
GOVERNMENT BOND FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1996
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ----------- -------------------------------------------- ---------
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
<C> <S> <C>
Government National Mortgage Assoc.:, continued:
$ 92 9.00%, 9/15/01, Pool #166928................ $ 97
8 9.00%, 9/15/01, Pool #174330................ 8
66 9.50%, 9/15/01, Pool #180786................ 70
93 8.50%, 11/15/01, Pool #179383............... 97
22 9.50%, 11/15/01, Pool #182995............... 24
68 8.50%, 12/15/01, Pool #199837............... 71
109 9.00%, 12/15/01, Pool #187723............... 115
85 8.00%, 3/15/02, Pool #205933................ 88
231 9.00%, 5/15/03, Pool #154134................ 243
164 9.00%, 6/15/05, Pool #283904................ 173
87 9.00%, 8/15/05, Pool #291836................ 91
58 9.00%, 9/15/05, Pool #292898................ 61
32 9.00%, 9/15/05, Pool #295227................ 34
78 8.00%, 7/15/06, Pool #11337................. 80
36 7.50%, 7/15/07, Pool #17316................. 36
87 8.00%, 8/15/07, Pool #18539................. 89
95 8.00%, 8/15/07, Pool #18677................. 97
350 7.50%, 12/15/07, Pool #338189............... 357
70 9.00%, 11/15/08, Pool #27932................ 73
103 9.00%, 4/15/09, Pool #30352................. 108
22 9.00%, 5/15/09, Pool #32214................. 23
10 9.50%, 7/15/09, Pool #34487................. 11
154 9.50%, 9/15/09, Pool #34878................. 166
45 9.50%, 10/15/09, Pool #36804................ 49
32 11.00%, 11/15/09, Pool #37615............... 36
1 12.00%, 4/15/15, Pool #125262............... 2
13 11.00%, 6/15/15, Pool #130125............... 14
86 9.00%, 5/15/16, Pool #149877................ 90
119 9.00%, 6/15/16, Pool #166130................ 126
116 9.00%, 7/15/16, Pool #158921................ 123
13 9.50%, 7/15/16, Pool #166772................ 14
76 9.50%, 8/15/16, Pool #177531................ 82
165 9.00%, 9/15/16, Pool #179044................ 173
23 9.50%, 1/15/17, Pool #185619................ 25
349 9.00%, 2/15/17, Pool #195058................ 368
264 9.00%, 6/15/17, Pool #219079................ 278
29 9.00%, 8/15/17, Pool #225825................ 30
80 9.50%, 8/15/17, Pool #218841................ 87
43 9.50%, 8/15/17, Pool #224015................ 47
119 9.00%, 6/15/18, Pool #238161................ 125
86 9.50%, 8/15/18, Pool #248390................ 93
27 9.00%, 10/15/18, Pool #253188............... 29
4 9.00%, 10/15/19, Pool #267676............... 4
66 9.00%, 11/15/19, Pool #162768............... 70
166 9.50%, 12/15/18, Pool #263400............... 179
75 9.00%, 1/15/20, Pool #283138................ 79
77 9.00%, 2/15/20, Pool #276157................ 81
125 9.00%, 3/15/20, Pool #285283................ 132
76 9.50%, 9/15/20, Pool #292918................ 83
99 9.50%, 12/15/20, Pool #291865............... 106
246 9.00%, 6/15/21, Pool #307120................ 259
17,877 9.00%, 8/15/21, Pool #306081................ 18,838
5,223 9.00%, 12/15/21, Pool #780284............... 5,523
39 7.50%, 2/15/22, Pool #324025................ 40
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ----------- -------------------------------------------- ---------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Government National Mortgage Assoc.:, continued:
$ 658 8.00%, 7/15/22, Pool #321560................ $ 672
825 7.50%, 8/15/22, Pool #337141................ 825
39 7.00%, 10/15/22, Pool #337175............... 38
222 7.00%, 11/15/22, Pool #323008............... 217
41 7.00%, 12/15/22, Pool #339969............... 40
41 7.00%, 1/15/23, Pool #321675................ 40
497 7.00%, 1/15/23, Pool #332022................ 486
387 7.00%, 1/15/23, Pool #341536................ 378
430 7.00%, 1/15/23, Pool #342248................ 421
239 7.00%, 1/15/23, Pool #346214................ 234
52 7.00%, 3/15/23, Pool #350110................ 51
345 6.50%, 5/15/23, Pool #343208................ 329
630 7.00%, 5/15/23, Pool #221604................ 617
65 7.00%, 5/15/23, Pool #338005................ 63
745 7.00%, 5/15/23, Pool #342348................ 729
815 7.00%, 5/15/23, Pool #346572................ 798
808 7.00%, 5/15/23, Pool #351041................ 791
98 6.50%, 6/15/23, Pool #346624................ 94
418 6.50%, 6/15/23, Pool #348677................ 399
60 6.50%, 6/15/23, Pool #349788................ 57
62 6.50%, 6/15/23, Pool #358250................ 59
271 6.50%, 7/15/23, Pool #322200................ 259
264 7.00%, 7/15/23, Pool #325977................ 258
877 7.00%, 7/15/23, Pool #346673................ 858
26 7.00%, 7/15/23, Pool #350709................ 25
366 7.00%, 7/15/23, Pool #353569................ 358
33 7.00%, 7/15/23, Pool #354538................ 32
194 7.00%, 7/15/23, Pool #357782................ 190
505 7.00%, 7/15/23, Pool #358382................ 494
599 7.00%, 7/15/23, Pool #360697................ 586
469 7.00%, 7/15/23, Pool #360889................ 459
864 7.00%, 7/15/23, Pool #362982................ 845
341 6.50%, 8/15/23, Pool #344505................ 325
452 6.50%, 8/15/23, Pool #353137................ 431
651 6.50%, 8/15/23, Pool #356717................ 621
230 6.50%, 8/15/23, Pool #359027................ 219
184 6.50%, 8/15/23, Pool #360713................ 175
290 6.50%, 8/15/23, Pool #360738................ 276
792 6.50%, 9/15/23, Pool #345375................ 756
50 6.50%, 9/15/23, Pool #339041................ 48
401 6.00%, 10/15/23, Pool #345389............... 372
462 6.00%, 10/15/23, Pool #364717............... 429
34 6.00%, 10/15/23, Pool #370006............... 32
226 6.50%, 10/15/23, Pool #345391............... 215
4,014 8.00%, 10/15/23, Pool #354681............... 4,098
21 6.50%, 11/15/23, Pool #370927............... 20
658 6.50%, 11/15/23, Pool #369356............... 628
152 6.50%, 12/15/23, Pool #349944............... 145
984 6.50%, 12/15/23, Pool #349265............... 939
134 6.50%, 12/15/23, Pool #365740............... 128
667 6.50%, 12/15/23, Pool #369830............... 637
35 6.50%, 12/15/23, Pool #370289............... 34
761 6.50%, 1/15/24, Pool #379127................ 726
22,784 6.50%, 2/15/24, Pool #354747................ 21,737
</TABLE>
CONTINUED
- ----16
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
GOVERNMENT BOND FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1996
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ----------- -------------------------------------------- ---------
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
<C> <S> <C>
Government National Mortgage Assoc.:, continued:
$ 1,257 6.50%, 2/15/24, Pool #362341................ $ 1,200
323 6.50%, 2/15/24, Pool #370338................ 308
411 6.50%, 2/15/24, Pool #371999................ 392
356 6.50%, 2/15/24, Pool #389200................ 340
176 6.50%, 2/15/24, Pool #380818................ 168
649 7.50%, 6/15/24, Pool #388747................ 650
94 7.50%, 6/15/24, Pool #389827................ 94
427 8.00%, 9/15/24, Pool #393908................ 436
4,085 8.00%, 9/15/24, Pool #403212................ 4,171
4,970 7.50%, 3/15/26, Pool #422308................ 4,974
7,089 8.00% 5/15/26, Pool #416233................. 7,237
12,727 8.00%, 5/15/26, Pool #422690................ 12,993
9,976 8.00%, 7/15/26, Pool #412644................ 10,185
9,962 8.00%, 7/15/26, Pool #423877................ 10,170
10,000 7.50%, 12/20/26, G2 Pool #2341.............. 9,959
15,000 8.00%, 12/20/26, G2 Pool #2344.............. 15,239
---------
Total U.S. Government Agency Mortgages 618,022
---------
U.S. GOVERNMENT AGENCY SECURITIES (7.1%):
Federal Farm Credit Bank:
5,000 6.88%, 5/1/00............................... 5,097
2,000 7.95%, 4/1/02............................... 2,008
Federal Home Loan Bank:
2,000 9.25%, 11/25/98............................. 2,117
2,000 9.30%, 1/25/99.............................. 2,125
3,000 8.60%, 6/25/99.............................. 3,174
5,000 6.27%, 1/14/04.............................. 4,829
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ----------- -------------------------------------------- ---------
<C> <S> <C>
U.S. GOVERNMENT AGENCY SECURITIES, CONTINUED:
Resolution Funding Corp.:
$ 25,000 Principal Strip, 10/15/17................... $ 5,863
5,000 Principal Strip, 4/15/30.................... 533
Tennessee Valley Authority:
25,000 6.24%, 7/15/45, Putable on 7/15/01 @ 100.... 25,062
---------
Total U.S. Government Agency Securities 50,808
---------
U.S. TREASURY OBLIGATIONS (6.1%):
U.S. Treasury Bonds
10,000 7.50%, 11/15/16............................. 10,836
15,000 8.13%, 8/15/19 (b).......................... 17,353
5,000 6.00%, 2/15/26 (b).......................... 4,554
U.S. Treasury Strips
5,000 8/15/02..................................... 3,548
50,000 2/15/25 (b)................................. 7,647
---------
Total U.S. Treasury Obligations 43,938
---------
Total Investments, at value 713,169
---------
REPURCHASE AGREEMENTS (0.2%):
1,267 Lehman Brothers, Inc., 7.02%, 1/2/97,
(collateralized by $1,235 various U.S.
Government Agencies, 7.35%-7.83%,
4/13/05-5/16/05, market value--$1,292) 1,267
---------
Total Repurchase Agreements 1,267
---------
Total (Cost--$710,095) (a) $ 714,436
---------
---------
</TABLE>
- ------------
Percentages indicated are based on net assets of $716,946.
<TABLE>
<C> <S>
(a) Represents cost for financial reporting purposes and differs from cost basis for federal income tax purposes by the
amount of losses recognized for financial reporting purposes in excess of federal income tax reporting of approximately
$51. Cost for federal income tax purposes differs from value by net unrealized appreciation of securities as follows:
</TABLE>
<TABLE>
<S> <C>
Unrealized appreciation.................................................... $ 10,537
Unrealized depreciation.................................................... (6,247)
---------
Net unrealized appreciation................................................ $ 4,290
---------
---------
</TABLE>
<TABLE>
<C> <S>
(b) A portion of this security was loaned as of December 31, 1996.
</TABLE>
<TABLE>
<C> <S>
(c) Serves as collateral for futures contracts.
</TABLE>
<TABLE>
<S> <C>
CMO Collateralized Mortgage Obligation
COLTS Continuously Offered Long-Term Securities
</TABLE>
At December 31, 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>
LONG CONTRACTS
100 U.S. Treasury 10 Year Note, March 1997..................... $ 11,073 $ 10,912
65 U.S. Treasury 7 Year Bond, March 1997...................... 7,358 7,320
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
17----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
INCOME BOND FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1996
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ----------- ------------------------------------------- ---------
<C> <S> <C>
ASSET BACKED SECURITIES (9.7%):
$ 7,500 Advanta Mortgage Loan Trust, Series 1995-1,
Class A5, 8.32%, 12/25/19................ $ 7,821
6,185 Aircraft Lease Portfolio Securitization
Ltd., Series 94-1, Class A2, 7.15%,
9/15/04.................................. 6,244
5,000 Federal Express, Series A-1, 7.85%,
6/1/08................................... 5,169
3,431 NAL 96, 7.10%, 3/15/01, Private Placement,
Class A, 144A............................ 3,421
7,606 Northwest Air, Series 2, Class A, 9.25%,
6/21/14.................................. 8,650
4,754 Northwest Air Trust, Series B, 10.23%,
6/21/14.................................. 5,498
2,631 Olympic Automobile Receivables Trust,
Series 1994-A, Class A, 5.65%, 1/15/01... 2,627
5,100 Olympic Automobile Receivables Trust,
Series 1994-B, Class A2, 6.85%, 6/15/01.. 5,154
8,950 Olympic Automobile Receivables Trust,
Series 1995-B A2, 7.35%, 10/15/01........ 9,079
5,000 Residential Funding Corp., 96-H52, A4,
7.55%, 9/25/12........................... 5,100
---------
Total Asset Backed Securities 58,763
---------
CORPORATE BONDS (48.0%):
Banking, Finance & Insurance (18.8%):
6,000 Associates Corp., 8.15%, 8/1/09............ 6,570
5,000 Associates Corp., 8.34%, 11/25/99.......... 5,269
5,000 BankAmerica Corp., 9.50%, 4/1/01........... 5,525
8,500 Bank of America, 12/31/26, 8.07%........... 8,606
5,000 Bear Stearns Co., 9.13%, 4/15/98........... 5,187
5,000 Bear Stearns Co., 8.25%, 2/1/02............ 5,337
2,000 Fleet/Norstar Group, 8.13%, 7/1/04(b)...... 2,135
5,000 First Chicago Capital Trust, 7.95%,
12/1/26.................................. 4,803
1,500 Ford Motor Credit Corp., 6.38%, 10/6/00.... 1,491
8,000 General Motors Acceptance Corp., 7.00%,
3/1/00................................... 8,120
5,000 Lehman Brothers Holdings, 8.80%, 3/1/15.... 5,650
10,000 Lehman Brothers Holdings, 8.88%, 3/1/02.... 10,825
5,000 Lehman Brothers, Inc., 11.63%, 5/15/05..... 6,338
6,000 Massachusetts Mutual Life, 7.50%, 3/1/24,
144A..................................... 5,955
3,500 MEPC Finance, Inc., 7.50%, 5/1/03.......... 3,588
5,000 Midland Bank PLC., 7.63%, 6/15/06.......... 5,175
6,000 Morgan Stanley Group, 6.13%, 10/1/03....... 5,820
4,905 Oslo Seismic Service, 8.28%, 6/1/11,
144A..................................... 5,031
2,000 Paine Webber Group, 8.06%,6/16/97.......... 2,020
5,000 Principal Mutual, 7.88%, 3/1/24............ 4,962
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ----------- ------------------------------------------- ---------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Banking, Finance & Insurance, continued:
$ 5,000 Security Pacific Corp., 11.00%, 3/1/01..... $ 5,769
---------
114,176
---------
Industrial Goods (5.6%):
3,000 Boise Cascade Co., 9.45%, 11/01/09......... 3,469
3,000 Comdisco, Inc., 6.05%, 10/31/97............ 3,003
5,000 Excel Paralubes Funding, 7.13%, 11/1/11.... 5,031
2,000 Freeport McMoran, Copper & Gold, 7.50%,
11/15/06................................. 1,965
5,000 General Motors Corp., 9.13%, 7/15/01....... 5,475
5,000 Marriott International, Inc., 6.75%,
12/1/09.................................. 4,713
4,828 Newmont Gold Co., 8.91%, 1/5/09............ 5,208
5,000 Penske Truck Leasing, 8.25%, 11/1/99(b).... 5,263
---------
34,127
---------
Real Estate (4.6%):
2,000 Avalon Properties, 7.38%, 9/15/02.......... 2,007
4,750 Meditrust, 7.77%, 8/16/02.................. 4,887
5,000 Security Capital Pacific Trust, 10/15/02,
6.95%.................................... 5,018
5,000 Spieker Properties, 6.65%, 12/15/00........ 4,888
8,000 Taubman Realty Group, 7.00%, 10/1/03....... 7,850
3,000 Wellsford Residential Property, 7.25%,
8/15/00.................................. 3,049
---------
27,699
---------
Utilities (1.4%):
5,000 NRG Energy Corp., 7.63%, 2/1/06............ 4,800
3,474 Salton Sea Funding Corp., 6.69%, 5/30/00... 3,504
---------
8,304
---------
Yankee & Eurodollar (17.6%):
5,000 Bangkok Bank Public Co. Ltd., 7.25%,
9/15/05, 144A............................ 4,913
5,000 BCH Cayman Islands, 8.25%, 6/15/04......... 5,319
5,000 Canadian National Railway, 7.00%,
3/15/04.................................. 4,994
5,000 Celulosa Arauco, 6.75%, 12/15/03........... 4,894
9,170 Centragas, 10.65%, 12/1/10,
Series 144A(b)........................... 9,904
5,000 China International Trust & Investing,
9.00%, 10/15/06(b)....................... 5,506
5,000 Financiera Energy, 9.38%, 6/15/06(b)....... 5,281
5,000 Guangdong International, 6.75%, 11/15/03... 4,812
6,000 Honam Oil Refinery Co., 7.13%, 10/15/05,
144A..................................... 5,895
5,000 Kansalis-Osake Pankki, 9.75%, 12/15/98..... 5,312
5,000 Macmillan Bloedel Ltd., 6.75%, 2/15/06..... 4,781
5,000 Peoples Republic of China, 7.75%, 7/5/06... 5,150
</TABLE>
CONTINUED
- ----18
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
INCOME BOND FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1996
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ----------- ------------------------------------------- ---------
CORPORATE BONDS, CONTINUED:
<C> <S> <C>
Yankee & Eurodollar, continued:
$ 6,000 Peoples Democratic Republic of Poland,
3.75%, 10/27/14.......................... $ 5,085
5,000 Pohang Iron & Steel Co., 7.38%, 5/15/05.... 5,050
5,000 Province of Quebec, 6.50%, 1/17/06 (b)..... 4,831
4,250 Ras Laffan, 7.63%, 9/15/06, 144A........... 4,278
5,000 Republic of Indonesia, 7.75%, 8/1/06....... 5,054
5,000 Scotland International Finance, 8.80%,
1/27/04, 144A............................ 5,481
5,000 United Mexican States, FRN, 7.56%,
8/6/01................................... 5,011
5,000 Tenaga Nasional Berhad, 7.88%, 6/15/04,
144A..................................... 5,275
---------
106,826
---------
Total Corporate Bonds 291,132
---------
U.S. GOVERNMENT AGENCY MORTGAGES (16.6%):
Federal Home Loan Mortgage Corp.:
4,731 7.00%, 6/1/09, Pool #E00313................ 4,733
4,632 7.00%, 2/1/11, Gold Pool #E62602........... 4,633
8,670 7.00%, 5/1/11, Gold Pool #E00434........... 8,672
9,526 7.50%, 5/1/11, Pool #E00438................ 9,672
7,775 7.00%, 6/1/11, Gold Pool #E64220........... 7,777
1,282 7.50%, 6/1/24, Pool #C80161................ 1,284
16,579 7.00%, 9/1/24, Pool #G00271................ 16,273
7,494 7.50%, 10/1/24, Pool #C80245............... 7,505
9,978 7.00%, 4/1/03, Pool #303865................ 10,022
16,330 8.00%, 12/1/09, Pool #250168............... 16,804
Federal National Mortgage Assoc.:
13,425 7.50%, 9/1/25, Pool #324179................ 13,425
---------
Total U.S. Government Agency Mortgages 100,800
---------
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ----------- ------------------------------------------- ---------
<C> <S> <C>
U.S. GOVERNMENT AGENCY SECURITIES (4.7%):
Federal Home Loan Bank:
$ 10,000 7.10%, 3/16/98............................. $ 10,155
Federal Home Loan Mortgage Corp.:
5,000 7.13%, 7/21/99 (b)......................... 5,129
Resolution Funding Corp.:
18,000 Principal Strip, 4/15/02................... 12,994
---------
Total U.S. Government Agency Securities 28,278
---------
U.S. TREASURY OBLIGATIONS (17.6%):
U.S. Treasury Bonds:
3,250 13.38%, 8/15/01............................ 4,181
9,500 11.88%, 11/15/03 (b)....................... 12,396
3,000 10.75%, 8/15/05............................ 3,852
14,000 9.00%, 11/15/18............................ 17,572
10,000 7.13%, 2/15/23 (b)......................... 10,444
U.S. Treasury Notes:
20,000 5.50%, 11/15/98 (b)........................ 19,872
16,000 6.25%, 8/31/00 (b)......................... 16,065
10,300 6.63%, 6/30/01 (b)......................... 10,469
8,000 5.75%, 8/15/03 (b)......................... 7,764
4,000 7.50%, 2/15/05 (b)......................... 4,277
---------
Total U.S. Treasury Obligations 106,892
---------
Total Investments, at value 585,865
---------
REPURCHASE AGREEMENTS (2.5%):
15,077 Lehman Brothers, Inc., 7.02%, 1/2/97,
(collateralized by $15,525 Federal Home
Loan Mortgage Corp., 5.99%-6.48%,
11/26/03-2/18/04, market
value--$15,375).......................... 15,077
---------
Total Repurchase Agreements 15,077
---------
Total (Cost--$581,509)(a) $ 600,942
---------
---------
</TABLE>
- ------------
Percentages indicated are based on net assets of $606,364.
<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.................................................... $ 20,565
Unrealized depreciation.................................................... (1,132)
---------
Net unrealized appreciation................................................ $ 19,433
---------
---------
</TABLE>
<TABLE>
<C> <S>
(b) A portion of this security was loaned as of December 31, 1996.
</TABLE>
<TABLE>
<S> <C>
FRN Floating Rate Note
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
19----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31, 1996
(Unaudited)
<TABLE>
<CAPTION>
(Amounts in Thousands, except per share amounts)
<S> <C> <C> <C> <C> <C>
ULTRA LIMITED
SHORT-TERM VOLATILITY INTERMEDIATE GOVERNMENT INCOME BOND
INCOME FUND BOND FUND BOND FUND BOND FUND FUND
------------- --------------- ----------- ----------- -----------
ASSETS:
Investments, at value....................... $ 80,633 $ 604,610 $ 300,865 $ 713,169 $ 585,865
Repurchase agreements, at cost.............. 4,165 4,840 2,743 1,267 15,077
------------- --------------- ----------- ----------- -----------
Total (cost $84,711; $606,745; $302,377;
$710,095; $581,509, respectively).......... 84,798 609,450 303,608 714,436 600,942
Interest receivable......................... 504 7,538 4,034 6,073 8,531
Receivable from brokers for investments
sold....................................... 60 11 3 -- --
Receivable for capital shares issued........ 362 2,973 1,410 2,765 2,278
Net variation margin on futures contracts... 13 -- -- -- --
Deferred organization costs................. 5 -- -- 4 --
Prepaid expenses and other assets........... 7 56 16 118 34
------------- --------------- ----------- ----------- -----------
TOTAL ASSETS................................ 85,749 620,028 309,071 723,396 611,785
------------- --------------- ----------- ----------- -----------
LIABILITIES:
Cash overdrafts............................. 321 1,368 907 2,088 1,702
Dividends payable........................... 407 3,093 1,636 3,827 3,357
Payable to brokers for investments
purchased.................................. 5,348 -- 5,940 -- --
Payable for capital shares redeemed......... 5 14 7 7 1
Net variation margin on futures contracts... -- -- 2 156 --
Accrued expenses and other payables:
Investment advisory fees.................. 14 157 84 251 206
Administration fees....................... 8 87 42 73 85
12b-1 fees (Class A)...................... 1 4 4 8 3
12b-1 fees (Class B)...................... 1 4 6 9 6
Other..................................... 42 46 58 31 61
------------- --------------- ----------- ----------- -----------
TOTAL LIABILITIES........................... 6,147 4,773 8,686 6,450 5,421
------------- --------------- ----------- ----------- -----------
NET ASSETS:
Capital..................................... 83,821 619,682 303,755 731,345 638,796
Undistributed (distributions in excess of)
net investment income...................... (297) (121) 94 (325) 396
Accumulated undistributed net realized
losses from investment and futures
transactions............................... (4,048) (7,011) (4,665) (18,216) (52,261)
Net unrealized appreciation (depreciation)
from investments and futures............... 126 2,705 1,201 4,142 19,433
------------- --------------- ----------- ----------- -----------
NET ASSETS.................................. $ 79,602 $ 615,255 $ 300,385 $ 716,946 $ 606,364
------------- --------------- ----------- ----------- -----------
------------- --------------- ----------- ----------- -----------
Net Assets..................................
Fiduciary................................. $ 72,650 $ 589,229 $ 278,201 $ 668,024 $ 584,762
Class A................................... 5,277 20,953 14,468 37,606 12,527
Class B................................... 1,675 5,073 7,716 11,316 9,075
------------- --------------- ----------- ----------- -----------
Total................................... $ 79,602 $ 615,255 $ 300,385 $ 716,946 $ 606,364
------------- --------------- ----------- ----------- -----------
------------- --------------- ----------- ----------- -----------
Outstanding units of beneficial interest
(shares)...................................
Fiduciary................................. 7,384 56,206 27,923 68,828 61,799
Class A................................... 537 2,001 1,448 3,873 1,325
Class B................................... 171 480 775 1,166 951
------------- --------------- ----------- ----------- -----------
Total................................... 8,092 58,687 30,146 73,867 64,075
------------- --------------- ----------- ----------- -----------
------------- --------------- ----------- ----------- -----------
Net asset value
Fiduciary--offering and redemption price
per share............................... $ 9.84 $ 10.48 $ 9.96 $ 9.71 $ 9.46
------------- --------------- ----------- ----------- -----------
------------- --------------- ----------- ----------- -----------
Class A--redemption price per share....... $ 9.83 $ 10.48 $ 9.99 $ 9.71 $ 9.45
------------- --------------- ----------- ----------- -----------
------------- --------------- ----------- ----------- -----------
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......................... $ 10.13 $ 10.80 $ 10.46 $ 10.17 $ 9.90
------------- --------------- ----------- ----------- -----------
------------- --------------- ----------- ----------- -----------
Class B--offering price per share (a)..... $ 9.79 $ 10.55 $ 9.96 $ 9.71 $ 9.54
------------- --------------- ----------- ----------- -----------
------------- --------------- ----------- ----------- -----------
</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.
- ----20
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED DECEMBER 31, 1996
(Unaudited)
<TABLE>
<CAPTION>
(Amounts in Thousands)
<S> <C> <C> <C> <C> <C>
ULTRA LIMITED
SHORT-TERM VOLATILITY INTERMEDIATE GOVERNMENT INCOME BOND
INCOME FUND BOND FUND BOND FUND BOND FUND FUND
------------- ----------- ----------- ----------- -----------
INVESTMENT INCOME:
Interest income............................. $ 2,319 $ 20,168 $ 9,982 $ 25,725 $ 21,209
Dividend income............................. -- 32 -- 2 --
Income from securities lending.............. -- 90 67 61 59
------ ----------- ----------- ----------- -----------
TOTAL INCOME................................ 2,319 20,290 10,049 25,788 21,268
------ ----------- ----------- ----------- -----------
EXPENSES:
Investment advisory fees.................... 201 1,876 855 1,647 1,732
Administration fees......................... 60 517 236 605 477
12b-1 fees (Class A)........................ 8 38 25 67 21
12b-1 fees (Class B)........................ 7 25 35 56 39
Custodian and accounting fees............... 7 29 20 43 16
Legal and audit fees........................ 5 19 6 21 7
Organization costs.......................... 2 -- -- 2 --
Trustees' fees and expenses................. -- 3 1 4 2
Transfer agent fees......................... 10 19 12 25 12
Registration and filing fees................ 8 29 13 43 15
Printing costs.............................. 5 28 8 23 10
Other....................................... -- 2 -- 2 2
------ ----------- ----------- ----------- -----------
Total expenses before waivers............... 313 2,585 1,211 2,538 2,333
Less waivers................................ (188) (951) (423) (129) (587)
------ ----------- ----------- ----------- -----------
NET EXPENSES................................ 125 1,634 788 2,409 1,746
------ ----------- ----------- ----------- -----------
Net Investment Income....................... 2,194 18,656 9,261 23,379 19,522
------ ----------- ----------- ----------- -----------
REALIZED/UNREALIZED GAINS (LOSSES) FROM
INVESTMENTS AND FUTURES:
Net realized gains (losses) from investment
and futures transactions................... (276) (186) (297) 1,827 2,272
Net change in unrealized appreciation
(depreciation) from investments and
futures.................................... 630 3,760 3,975 9,020 6,103
------ ----------- ----------- ----------- -----------
Net realized/unrealized gains (losses) from
investments and futures.................... 354 3,574 3,678 10,847 8,375
------ ----------- ----------- ----------- -----------
Change in net assets resulting from
operations................................. $ 2,548 $ 22,230 $ 12,939 $ 34,226 $ 27,897
------ ----------- ----------- ----------- -----------
------ ----------- ----------- ----------- -----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
21----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS DECEMBER 31, 1996
<TABLE>
<CAPTION>
(Amounts in Thousands)
<S> <C> <C> <C> <C> <C> <C>
ULTRA SHORT-TERM INCOME LIMITED VOLATILITY BOND INTERMEDIATE
FUND FUND BOND FUND
-------------------------- ------------------------ --------------------------
SIX MONTHS SIX MONTHS YEAR SIX MONTHS
ENDED YEAR ENDED ENDED ENDED ENDED YEAR ENDED
DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30,
1996 1996 1996 1996 1996 1996
------------- ----------- ------------- --------- ------------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income........ $ 2,194 $ 3,180 $ 18,656 $ 28,018 $ 9,261 $ 14,817
Net realized gains (losses)
from investment and futures
transactions............... (276 ) (594 ) (186 ) 1,885 (297 ) 1,421
Net change in unrealized
appreciation (depreciation)
from investments and
futures.................... 630 150 3,760 (6,631) 3,975 (5,722 )
------------- ----------- ------------- --------- ------------- -----------
Change in net assets resulting
from operations................ 2,548 2,736 22,230 23,272 12,939 10,516
------------- ----------- ------------- --------- ------------- -----------
DISTRIBUTIONS TO FIDUCIARY
SHAREHOLDERS:
From net investment income... (2,012 ) (2,924 ) (17,909 ) (26,964) (8,620 ) (14,065 )
Tax return of capital........ -- (26 ) -- -- -- --
DISTRIBUTIONS TO CLASS A
SHAREHOLDERS:
From net investment income... (129 ) (129 ) (618 ) (878) (443 ) (607 )
DISTRIBUTIONS TO CLASS B
SHAREHOLDERS:
From net investment income... (37 ) (24 ) (129 ) (175) (198 ) (144 )
------------- ----------- ------------- --------- ------------- -----------
Change in net assets from
shareholder distributions...... (2,178 ) (3,103 ) (18,656 ) (28,017) (9,261 ) (14,816 )
------------- ----------- ------------- --------- ------------- -----------
CAPITAL TRANSACTIONS:
Proceeds from shares
issued..................... 29,409 38,704 68,094 325,572 86,892 121,175
Proceeds from shares issued
in connection with
acquisition................ -- -- -- 123,673 -- --
Dividends reinvested......... 272 1,028 2,111 8,797 925 3,437
Cost of shares redeemed...... (12,838 ) (32,817 ) (89,706 ) (248,283) (41,705 ) (66,140 )
------------- ----------- ------------- --------- ------------- -----------
Change in net assets from share
transactions................... 16,843 6,915 (19,501 ) 209,759 46,112 58,472
------------- ----------- ------------- --------- ------------- -----------
Change in net assets............. 17,213 6,548 (15,927 ) 205,014 49,790 54,172
NET ASSETS:
Beginning of period.......... 62,389 55,841 631,182 426,168 250,595 196,423
------------- ----------- ------------- --------- ------------- -----------
End of period................ $ 79,602 $ 62,389 $ 615,255 $ 631,182 $ 300,385 $ 250,595
------------- ----------- ------------- --------- ------------- -----------
------------- ----------- ------------- --------- ------------- -----------
SHARE TRANSACTIONS:
Issued....................... 2,994 3,934 6,505 31,112 8,792 12,114
Issued in connection with
acquisition................ -- -- -- 11,747 -- --
Reinvested................... 27 105 203 834 94 343
Redeemed..................... (1,305 ) (3,338 ) (8,583 ) (23,593) (4,204 ) (6,607 )
------------- ----------- ------------- --------- ------------- -----------
Change in shares................. 1,716 701 (1,875 ) 20,100 4,682 5,850
------------- ----------- ------------- --------- ------------- -----------
------------- ----------- ------------- --------- ------------- -----------
Undistributed (distributions in
excess of) net investment
income included in net assets:
End of period................ $ (297 ) $ (313 ) $ (121 ) $ (121) $ 94 $ 94
------------- ----------- ------------- --------- ------------- -----------
------------- ----------- ------------- --------- ------------- -----------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
- ----22
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS DECEMBER 31, 1996
<TABLE>
<CAPTION>
(Amounts in Thousands)
<S> <C> <C> <C> <C>
GOVERNMENT INCOME
BOND FUND BOND FUND
---------------------- ------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
DECEMBER JUNE 30, DECEMBER 31, JUNE 30,
31, 1996 1996 1996 1996
----------- --------- ------------- ---------
(UNAUDITED) (UNAUDITED)
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income............................. $ 23,379 $ 31,623 $ 19,522 $ 34,329
Net realized gains (losses) from investment and
futures
transactions.................................... 1,827 (2,769) 2,272 (1,361)
Net change in unrealized appreciation
(depreciation) from investments and futures..... 9,020 (15,409) 6,103 (11,155)
----------- --------- ------------- ---------
Change in net assets resulting from operations........ 34,226 13,445 27,897 21,813
----------- --------- ------------- ---------
DISTRIBUTIONS TO FIDUCIARY SHAREHOLDERS:
From net investment income........................ (21,886 ) (30,195) (18,911 ) (33,573)
DISTRIBUTIONS TO CLASS A SHAREHOLDERS:
From net investment income........................ (1,188 ) (1,103) (384 ) (545)
DISTRIBUTIONS TO CLASS B SHAREHOLDERS:
From net investment income........................ (305 ) (324) (227 ) (211)
----------- --------- ------------- ---------
Change in net assets from shareholder distributions... (23,379 ) (31,622) (19,522 ) (34,329)
----------- --------- ------------- ---------
CAPITAL TRANSACTIONS:
Proceeds from shares issued....................... 102,592 451,887 120,217 166,169
Proceeds from shares issued in connection with
acquisition..................................... -- 301,865 -- --
Dividends reinvested.............................. 2,415 8,081 3,351 13,106
Cost of shares redeemed........................... (125,816 ) (407,217) (62,055 ) (113,090)
----------- --------- ------------- ---------
Change in net assets from share transactions.......... (20,809 ) 354,616 61,513 66,185
----------- --------- ------------- ---------
Change in net assets.................................. (9,962 ) 336,439 69,888 53,669
NET ASSETS:
Beginning of period............................... 726,908 390,469 536,476 482,807
----------- --------- ------------- ---------
End of period..................................... $ 716,946 $ 726,908 $ 606,364 $ 536,476
----------- --------- ------------- ---------
----------- --------- ------------- ---------
SHARE TRANSACTIONS:
Issued............................................ 10,644 45,897 12,792 17,425
Issued in connection with acquisition............. -- 30,887 -- --
Reinvested........................................ 251 821 359 1,371
Redeemed.......................................... (13,054 ) (41,383) (6,599 ) (11,865)
----------- --------- ------------- ---------
Change in shares...................................... (2,159 ) 36,222 6,552 6,931
----------- --------- ------------- ---------
----------- --------- ------------- ---------
Undistributed (distributions in excess of) net
investment income included in net assets:
End of period..................................... $ (325 ) $ (325) $ 396 $ 396
----------- --------- ------------- ---------
----------- --------- ------------- ---------
</TABLE>
SEE NOTES TO FINANCIAL STATEMENTS.
23----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS DECEMBER 31, 1996
(Unaudited)
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 thirty active funds. The accompanying financial
statements and financial highlights are those of the Ultra Short-Term Income
Fund (previously named 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. The statements of changes in net
assets and financial highlights for periods prior to the reorganization,
March 25, 1996, are presented for funds of The One Group only.
The Funds' investment objectives are as follows:
<TABLE>
<CAPTION>
FUND OBJECTIVE
- ----------------------------------- --------------------------------------------------------------
<S> <C>
Ultra Short-Term Income Fund A high level of current income consistent with low volatility
of principal by investing in a diversified portfolio of
short-term investment grade securities.
Limited Volatility Bond Fund Current income consistent with the 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 investments 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
CONTINUED
- ----24
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED DECEMBER 31, 1996
(Unaudited)
60 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 Adviser under the direction of the
Board of Trustees.
REPURCHASE AGREEMENTS
The Funds may invest in repurchase agreements with institutions that the
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. Repurchase
agreements are considered to be loans by a fund in the 1940 Act.
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 or 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
25----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED DECEMBER 31, 1996
(Unaudited)
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 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 judgement 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
December 31, 1996, the following Funds had securities with the following
market values on loan (amounts in thousands):
<TABLE>
<CAPTION>
MARKET VALUE
OF LOANED
SECURITIES
-------------
<S> <C>
Limited Volatility Bond Fund............................................................................ $ 90,857
Intermediate Bond Fund.................................................................................. 81,410
Government Bond Fund.................................................................................... 44,646
Income Bond Fund........................................................................................ 79,591
</TABLE>
The loaned securities were fully collateralized by cash and U.S. Government
securities as of December 31, 1996.
SECURITY TRANSACTIONS AND RELATED INCOME
Security transactions are accounted for on a trade date basis. Net realized
gains or losses from 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 have been reclassified among the components of
net assets.
CONTINUED
- ----26
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED DECEMBER 31, 1996
(Unaudited)
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 of the Trust, have been allocated among
the respective funds 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 forty series and four classes: Fiduciary,
Class A, Class B and Service. As of December 31, 1996, no shareholders were
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 periods ended December 31, 1996 and June
30, 1996:
CONTINUED
27----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED DECEMBER 31, 1996
<TABLE>
<CAPTION>
(Amounts in Thousands)
<S> <C> <C> <C> <C> <C> <C>
ULTRA SHORT-TERM LIMITED VOLATILITY
INCOME FUND BOND FUND INTERMEDIATE BOND FUND
-------------------------- ------------------------ --------------------------
SIX MONTHS SIX MONTHS YEAR SIX MONTHS
ENDED YEAR ENDED ENDED ENDED ENDED YEAR ENDED
DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30,
1996 1996 1996 1996 1996 1996
------------- ----------- ------------- --------- ------------- -----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
CAPITAL TRANSACTIONS:
FIDUCIARY SHARES:
Proceeds from shares issued.... $ 26,568 $ 35,008 $ 64,730 $ 196,323 $ 82,275 $ 102,645
Proceeds from shares issued in
connection with
acquisition.................. -- -- -- 115,134 -- --
Dividends reinvested........... 139 923 1,543 8,093 472 2,976
Cost of shares redeemed........ (11,677 ) (29,367 ) (85,375 ) (129,046) (38,775 ) (62,091 )
------------- ----------- ------------- --------- ------------- -----------
Change in net assets from
Fiduciary Share
transactions................. $ 15,030 $ 6,564 $ (19,102 ) $ 190,504 $ 43,972 $ 43,530
------------- ----------- ------------- --------- ------------- -----------
------------- ----------- ------------- --------- ------------- -----------
CLASS A SHARES:
Proceeds from shares issued.... $ 2,286 $ 2,666 $ 2,856 $ 126,619 $ 2,556 $ 12,374
Proceeds from shares issued in
connection with
acquisition.................. -- -- -- 8,153 -- --
Dividends reinvested........... 109 89 455 569 314 381
Cost of shares redeemed........ (1,110 ) (3,395 ) (3,830 ) (118,533) (2,282 ) (3,716 )
------------- ----------- ------------- --------- ------------- -----------
Change in net assets from Class
A Share transactions......... $ 1,285 $ (640 ) $ (519 ) $ 16,808 $ 588 $ 9,039
------------- ----------- ------------- --------- ------------- -----------
------------- ----------- ------------- --------- ------------- -----------
CLASS B SHARES:
Proceeds from shares issued.... $ 555 $ 1,030 $ 508 $ 2,630 $ 2,061 $ 6,156
Proceeds from shares issued in
connection with
acquisition.................. -- -- -- 386 -- --
Dividends reinvested........... 24 16 113 135 139 80
Cost of shares redeemed........ (51 ) (55 ) (501 ) (704) (648 ) (333 )
------------- ----------- ------------- --------- ------------- -----------
Change in net assets from Class
B Share transactions......... $ 528 $ 991 $ 120 $ 2,447 $ 1,552 $ 5,903
------------- ----------- ------------- --------- ------------- -----------
------------- ----------- ------------- --------- ------------- -----------
SHARE TRANSACTIONS:
FIDUCIARY SHARES:
Issued......................... 2,704 3,560 6,184 19,600 8,327 10,266
Issued in connection with
acquisition.................. -- -- -- 10,936 -- --
Reinvested..................... 14 94 148 768 48 296
Redeemed....................... (1,187 ) (2,989 ) (8,169 ) (12,260) (3,909 ) (6,200 )
------------- ----------- ------------- --------- ------------- -----------
Change in Fiduciary Shares..... 1,531 665 (1,837 ) 19,044 4,466 4,362
------------- ----------- ------------- --------- ------------- -----------
------------- ----------- ------------- --------- ------------- -----------
CLASS A SHARES:
Issued......................... 233 269 273 11,297 257 1,231
Issued in connection with
acquisition.................. -- -- -- 775 -- --
Reinvested..................... 11 10 44 54 32 39
Redeemed....................... (113 ) (344 ) (366 ) (11,265) (230 ) (373 )
------------- ----------- ------------- --------- ------------- -----------
Change in Class A Shares....... 131 (65 ) (49 ) 861 59 897
------------- ----------- ------------- --------- ------------- -----------
------------- ----------- ------------- --------- ------------- -----------
CLASS B SHARES:
Issued......................... 57 105 48 215 208 617
Issued in connection with
acquisition.................. -- -- -- 36 -- --
Reinvested..................... 2 1 11 12 14 8
Redeemed....................... (5 ) (5 ) (48 ) (68) (65 ) (34 )
------------- ----------- ------------- --------- ------------- -----------
Change in Class B Shares....... 54 101 11 195 157 591
------------- ----------- ------------- --------- ------------- -----------
------------- ----------- ------------- --------- ------------- -----------
</TABLE>
CONTINUED
- ----28
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED DECEMBER 31, 1996
<TABLE>
<CAPTION>
(Amounts in Thousands)
<S> <C> <C> <C> <C>
GOVERNMENT BOND FUND INCOME BOND FUND
------------------------ ------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30,
1996 1995 1996 1995
------------- --------- ------------- ---------
(UNAUDITED) (UNAUDITED)
CAPITAL TRANSACTIONS:
FIDUCIARY SHARES:
Proceeds from shares issued................................ $ 96,347 $ 135,419 $ 113,518 $ 154,901
Proceeds from shares issued in connection with
acquisition.............................................. -- 273,384 -- --
Dividends reinvested....................................... 1,370 7,234 2,907 12,601
Cost of shares redeemed.................................... (117,108 ) (128,141) (59,996 ) (109,230)
------------- --------- ------------- ---------
Change in net assets from Fiduciary Share transactions..... $ (19,391 ) $ 287,896 $ 56,429 $ 58,272
------------- --------- ------------- ---------
------------- --------- ------------- ---------
CLASS A SHARES:
Proceeds from shares issued................................ $ 4,969 $ 307,157 $ 3,500 $ 6,470
Proceeds from shares issued in connection with
acquisition.............................................. -- 26,507 -- --
Dividends reinvested....................................... 813 647 298 391
Cost of shares redeemed.................................... (7,566 ) (278,122) (1,566 ) (3,302)
------------- --------- ------------- ---------
Change in net assets from Class A Share transactions....... $ (1,784 ) $ 56,189 $ 2,232 $ 3,559
------------- --------- ------------- ---------
------------- --------- ------------- ---------
CLASS B SHARES:
Proceeds from shares issued................................ $ 1,276 $ 9,312 $ 3,199 $ 4,798
Proceeds from shares issued in connection with
acquisition.............................................. -- 1,973 -- --
Dividends reinvested....................................... 232 200 146 114
Cost of shares redeemed.................................... (1,142 ) (954) (493 ) (558)
------------- --------- ------------- ---------
Change in net assets from Class B Share transactions....... $ 366 $ 10,531 $ 2,852 $ 4,354
------------- --------- ------------- ---------
------------- --------- ------------- ---------
SHARE TRANSACTIONS:
FIDUCIARY SHARES:
Issued..................................................... 9,995 16,246 12,081 16,245
Issued in connection with acquisition...................... -- 27,974 -- --
Reinvested................................................. 143 735 312 1,318
Redeemed................................................... (12,152 ) (12,833) (6,380 ) (11,460)
------------- --------- ------------- ---------
Change in Fiduciary Shares................................. (2,014 ) 32,122 6,013 6,103
------------- --------- ------------- ---------
------------- --------- ------------- ---------
CLASS A SHARES:
Issued..................................................... 517 28,902 373 680
Issued in connection with acquisition...................... -- 2,711 -- --
Reinvested................................................. 84 66 32 41
Redeemed................................................... (784 ) (28,451) (167 ) (347)
------------- --------- ------------- ---------
Change in Class A Shares................................... (183 ) 3,228 238 374
------------- --------- ------------- ---------
------------- --------- ------------- ---------
CLASS B SHARES:
Issued..................................................... 132 749 338 500
Issued in connection with acquisition...................... -- 202 -- --
Reinvested................................................. 24 20 15 12
Redeemed................................................... (118 ) (99) (52 ) (58)
------------- --------- ------------- ---------
Change in Class B Shares................................... 38 872 301 454
------------- --------- ------------- ---------
------------- --------- ------------- ---------
</TABLE>
CONTINUED
29----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED DECEMBER 31, 1996
(Unaudited)
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 Ultra Short-Term Income 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 paid monthly, at an annual rate of 0.20% on
the first $1.5 billion of Trust net assets (excluding the Investor Growth
Fund, the Investor Growth & Income Fund, the Investor Conservative Growth
Fund and the Investor Balanced Fund (the "Investor Funds") and 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 Investor Funds and the Institutional Money Market
Funds); and 0.16% of Trust net assets (excluding the Investor Funds and 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 March 25, 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 distribution and
shareholder services plans (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 Ultra Short-Term Income 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
period ended December 31, 1996, the Distributor received $279,753 from
commissions earned on sales of Class A Shares and redemptions of Class B
Shares, of which the Distributor re-allowed $189,433 to affiliated
broker-dealers of the Funds.
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.
CONTINUED
- ----30
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED DECEMBER 31, 1996
(Unaudited)
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, the Administrator and the Distributor voluntarily agreed to
waive a portion of their fees. For the period ended December 31, 1996, fees
in the following amounts were waived (amounts in thousands):
<TABLE>
<CAPTION>
12B-1 FEES WAIVED
INVESTMENT
ADVISORY FEES ADMINISTRATION FEES --------------------------
WAIVED WAIVED CLASS A CLASS B
----------------- ------------------- ----------- -------------
<S> <C> <C> <C> <C>
Ultra Short-Term Income Fund.................................... $ 139 $ 46 $ 2 $ 1
Limited Volatility Bond Fund.................................... 937 -- 11 3
Intermediate Bond Fund.......................................... 412 -- 7 4
Government Bond Fund............................................ 49 55 19 6
Income Bond Fund................................................ 577 -- 6 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 period
ended December 31, 1996 were as follows (amounts in thousands):
<TABLE>
<CAPTION>
U.S. GOVERNMENT
SECURITIES OTHER SECURITIES
----------------------- ----------------------
PURCHASES SALES PURCHASES SALES
----------- ---------- ----------- ---------
<S> <C> <C> <C> <C>
Ultra Short-Term Income Bond Fund.................................... $ 33,003 $ 13,531 $ 7,270 $ 108
Limited Volatility Bond Fund......................................... 83,226 130,615 39,704 18,469
Intermediate Bond Fund............................................... 96,076 57,608 33,093 13,900
Government Bond Fund................................................. 159,212 169,811 -- --
Income Bond Fund..................................................... 97,956 53,571 84,315 66,940
</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
fluctuations in securities.
7. 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.
CONTINUED
31----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED DECEMBER 31, 1996
(Unaudited)
The Reorganization, which qualified as a tax-free exchange for Federal income
tax purposes, was completed on March 25, 1996 following approval by
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.
8. SUBSEQUENT EVENT
Subsequent to December 31, 1996 net assets of certain common trust funds
managed by the Adviser were exchanged in a tax-free conversion for shares of
the corresponding One Group Funds as follows:
<TABLE>
<CAPTION>
FUND NAME AMOUNT CONVERTED (IN THOUSANDS)
- ----------------------------------------------------------------------------------- ----------------------------------
<S> <C>
One Group Intermediate Bond........................................................ $ 204,881
One Group Income Bond.............................................................. 128,177
</TABLE>
- ----32
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
ULTRA SHORT-TERM INCOME FUND
--------------------------------------------------------------------------
FIDUCIARY
--------------------------------------------------------------------------
SIX MONTHS
ENDED YEARS ENDED JUNE 30,
DECEMBER 31, -----------------------------------------------------------
1996 1996 1995 1994 1993 (A)
------------ ------------ ------------ ------------- -------------
<S> <C> <C> <C> <C> <C>
(UNAUDITED)
NET ASSET VALUE,
BEGINNING OF PERIOD............................. $ 9.79 $ 9.84 $ 9.85 $ 10.03 $ 10.00
------------ ------------ ------------ ------------- -------------
Investment Activities
Net investment income........................... 0.31 0.62 0.55 0.36 0.17
Net realized and unrealized gains (losses) from
investments and futures....................... 0.04 (0.07) (0.05) (0.15) 0.03
------------ ------------ ------------ ------------- -------------
Total from Investment Activities.............. 0.35 0.55 0.50 0.21 0.20
------------ ------------ ------------ ------------- -------------
Distributions
Net investment income........................... (0.30) (0.60) (0.48) (0.37) (0.17)
In excess of net investment income.............. -- -- (0.03) (0.02) --
------------ ------------ ------------ ------------- -------------
Total Distributions........................... (0.30) (0.60) (0.51) (0.39) (0.17)
------------ ------------ ------------ ------------- -------------
NET ASSET VALUE,
END OF PERIOD................................... $ 9.84 $ 9.79 $ 9.84 $ 9.85 $ 10.03
------------ ------------ ------------ ------------- -------------
------------ ------------ ------------ ------------- -------------
Total Return (Excludes Sales Charge).............. 3.70%(c) 5.71% 5.14% 2.16% 4.93%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)............... $ 72,650 $ 57,276 $ 51,050 $ 139,593 $ 154,413
Ratio of expenses to average net assets......... 0.32%(b) 0.45% 0.61% 0.65% 0.58%(b)
Ratio of net investment income to average net
assets........................................ 6.05%(b) 6.20% 5.18% 3.70% 4.71%(b)
Ratio of expenses to average net assets*........ 0.82%(b) 1.06% 1.01% 0.81% 1.03%(b)
Ratio of net investment income to average net
assets*....................................... 5.55%(b) 5.59% 4.78% 3.54% 4.26%(b)
Portfolio Turnover (d).......................... 19.81% 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) 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.
33----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
ULTRA SHORT-TERM INCOME FUND
-----------------------------------------------------
CLASS A
-----------------------------------------------------
SIX MONTHS
ENDED YEARS ENDED JUNE 30,
DECEMBER ---------------------------------------
31, 1996 1996 1995 1994
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
(UNAUDITED)
NET ASSET VALUE,
BEGINNING OF PERIOD................................................. $ 9.78 $ 9.83 $ 9.84 $ 10.03
----------- ----------- ----------- -----------
Investment Activities
Net investment income............................................... 0.29 0.58 0.52 0.36
Net realized and unrealized gains (losses) from investments and
futures........................................................... 0.05 (0.06) (0.06) (0.17)
----------- ----------- ----------- -----------
Total from Investment Activities.................................. 0.34 0.52 0.46 0.19
----------- ----------- ----------- -----------
Distributions
Net investment income............................................... (0.29) (0.57) (0.46) (0.34)
In excess of net investment income.................................. -- -- (0.01) (0.04)
----------- ----------- ----------- -----------
Total Distributions............................................... (0.29) (0.57) (0.47) (0.38)
----------- ----------- ----------- -----------
NET ASSET VALUE,
END OF PERIOD....................................................... $ 9.83 $ 9.78 $ 9.83 $ 9.84
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
Total Return (Excludes Sales Charge)................................ 3.48%(c) 5.42% 4.84% 1.95%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................................... $ 5,277 $ 3,969 $ 4,631 $ 19,053
Ratio of expenses to average net assets............................. 0.57%(b) 0.70% 0.86% 0.89%
Ratio of net investment income to average net assets................ 5.79%(b) 5.95% 4.88% 3.54%
Ratio of expenses to average net assets*............................ 1.21%(b) 1.41% 1.36% 1.14%
Ratio of net investment income to average net assets*............... 5.15%(b) 5.24% 4.38% 3.29%
Portfolio Turnover (d).............................................. 19.81% 67.65% 2.91% 242.20%
<CAPTION>
1993 (A)
-----------
<S> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD................................................. $ 10.00
-----------
Investment Activities
Net investment income............................................... 0.14
Net realized and unrealized gains (losses) from investments and
futures........................................................... 0.03
-----------
Total from Investment Activities.................................. 0.17
-----------
Distributions
Net investment income............................................... (0.14)
In excess of net investment income.................................. --
-----------
Total Distributions............................................... (0.14)
-----------
NET ASSET VALUE,
END OF PERIOD....................................................... $ 10.03
-----------
-----------
Total Return (Excludes Sales Charge)................................ 4.78%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................................... $ 3,106
Ratio of expenses to average net assets............................. 0.81%(b)
Ratio of net investment income to average net assets................ 4.47%(b)
Ratio of expenses to average net assets*............................ 1.34%(b)
Ratio of net investment income to average net assets*............... 3.95%(b)
Portfolio Turnover (d).............................................. 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 offering on March 10, 1993.
</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.
- ----34
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
ULTRA SHORT-TERM INCOME FUND
------------------------------------------------------
CLASS B
------------------------------------------------------
SIX MONTHS
ENDED YEARS ENDED JUNE 30,
DECEMBER ----------------------------------------
31, 1996 1996 1995 1994 (A)
----------- ----------- ----------- ------------
<S> <C> <C> <C> <C>
(UNAUDITED)
NET ASSET VALUE,
BEGINNING OF PERIOD................................................. $ 9.76 $ 9.84 $ 9.86 $ 9.98
----------- ----------- ----------- ------------
Investment Activities
Net investment income............................................... 0.26 0.52 0.47 0.12
Net realized and unrealized gains (losses) from investments and
futures........................................................... 0.04 (0.07) (0.04) (0.11)
----------- ----------- ----------- ------------
Total from Investment Activities.................................. 0.30 0.45 0.43 0.01
----------- ----------- ----------- ------------
Distributions
Net investment income............................................... (0.27) (0.53) (0.45) (0.12)
In excess of net investment income.................................. -- -- -- (0.01)
----------- ----------- ----------- ------------
Total Distributions............................................... (0.27) (0.53) (0.45) (0.13)
----------- ----------- ----------- ------------
NET ASSET VALUE,
END OF PERIOD....................................................... $ 9.79 $ 9.76 $ 9.84 $ 9.86
----------- ----------- ----------- ------------
----------- ----------- ----------- ------------
Total Return (Excludes Sales Charge).................................. 3.13%(c) 4.63% 4.77% (0.09)%(c)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................................... $ 1,675 $ 1,144 $ 160 $ 15
Ratio of expenses to average net assets............................. 1.22%(b) 1.20% 1.31% 1.41%(b)
Ratio of net investment income to average net assets................ 5.15%(b) 5.45% 4.91% 3.49%(b)
Ratio of expenses to average net assets*............................ 1.81%(b) 2.06% 1.96% 1.83%(b)
Ratio of net investment income to average net assets*............... 4.56%(b) 4.59% 4.26% 3.07%(b)
Portfolio Turnover (d).............................................. 19.81% 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) The Fund 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.
35----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LIMITED VOLATILITY BOND FUND
---------------------------------------------
FIDUCIARY
---------------------------------------------
SIX MONTHS
ENDED YEARS ENDED JUNE 30,
DECEMBER 31, -----------------------------
1996 1996 1995
------------- ------------- -------------
<S> <C> <C> <C>
(UNAUDITED)
NET ASSET VALUE,
BEGINNING OF PERIOD................................................. $ 10.42 $ 10.53 $ 10.33
------------- ------------- -------------
Investment Activities
Net investment income............................................... 0.32 0.64 0.60
Net realized and unrealized gains (losses) from investments and
futures........................................................... 0.06 (0.11) 0.19
------------- ------------- -------------
Total from Investment Activities.................................. 0.38 0.53 0.79
------------- ------------- -------------
Distributions
Net investment income............................................... (0.32) (0.64) (0.59)
In excess of net investment income.................................. -- -- --
Net realized gains.................................................. -- -- --
------------- ------------- -------------
Total Distributions............................................... (0.32) (0.64) (0.59)
------------- ------------- -------------
NET ASSET VALUE,
END OF PERIOD....................................................... $ 10.48 $ 10.42 $ 10.53
------------- ------------- -------------
------------- ------------- -------------
Total Return (Excludes Sales Charge).................................. 3.65%(b) 5.13% 7.96%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................................... $ 589,229 $ 604,916 $ 410,746
Ratio of expenses to average net assets............................. 0.51%(a) 0.51% 0.52%
Ratio of net investment income to average net assets................ 5.98%(a) 6.06% 5.82%
Ratio of expenses to average net assets*............................ 0.81%(a) 0.82% 0.85%
Ratio of net investment income to average net assets*............... 5.68%(a) 5.75% 5.49%
Portfolio Turnover (c).............................................. 21.27% 75.20% 76.43%
<CAPTION>
1994 1993 1992
------------- ------------- -------------
<S> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD................................................. $ 10.87 $ 10.72 $ 10.26
------------- ------------- -------------
Investment Activities
Net investment income............................................... 0.54 0.61 0.70
Net realized and unrealized gains (losses) from investments and
futures........................................................... (0.45) 0.25 0.47
------------- ------------- -------------
Total from Investment Activities.................................. 0.09 0.86 1.17
------------- ------------- -------------
Distributions
Net investment income............................................... (0.55) (0.62) (0.70)
In excess of net investment income.................................. (0.02) -- --
Net realized gains.................................................. (0.06) (0.09) (0.01)
------------- ------------- -------------
Total Distributions............................................... (0.63) (0.71) (0.71)
------------- ------------- -------------
NET ASSET VALUE,
END OF PERIOD....................................................... $ 10.33 $ 10.87 $ 10.72
------------- ------------- -------------
------------- ------------- -------------
Total Return (Excludes Sales Charge).................................. 0.79% 8.27% 11.75%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................................... $ 447,394 $ 397,820 $ 301,907
Ratio of expenses to average net assets............................. 0.50% 0.56% 0.52%
Ratio of net investment income to average net assets................ 5.10% 5.70% 6.63%
Ratio of expenses to average net assets*............................ 0.85% 0.90% 1.04%
Ratio of net investment income to average net assets*............... 4.75% 5.36% 6.11%
Portfolio Turnover (c).............................................. 30.61% 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) Annualized.
</TABLE>
<TABLE>
<C> <S>
(b) Not 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.
- ----36
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LIMITED VOLATILITY BOND FUND
---------------------------------------------
CLASS A
---------------------------------------------
SIX MONTHS
ENDED YEARS ENDED JUNE 30,
DECEMBER 31, -----------------------------
1996 1996 1995
------------- ------------- -------------
<S> <C> <C> <C>
(UNAUDITED)
NET ASSET VALUE,
BEGINNING OF PERIOD................................................. $ 10.41 $ 10.52 $ 10.32
------------- ------------- -------------
Investment Activities
Net investment income............................................... 0.30 0.63 0.56
Net realized and unrealized gains (losses) from investments and
futures........................................................... 0.07 (0.13) 0.21
------------- ------------- -------------
Total from Investment Activities.................................. 0.37 0.50 0.77
------------- ------------- -------------
Distributions
Net investment income............................................... (0.30) (0.61) (0.56)
In excess of net investment income.................................. -- -- (0.01)
Net realized gains.................................................. -- -- --
------------- ------------- -------------
Total Distributions............................................... (0.30) (0.61) (0.57)
------------- ------------- -------------
NET ASSET VALUE,
END OF PERIOD....................................................... $ 10.48 $ 10.41 $ 10.52
------------- ------------- -------------
------------- ------------- -------------
Total Return (Excludes Sales Charge).................................. 3.60%(c) 4.86% 7.67%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................................... $ 20,953 $ 21,343 $ 12,516
Ratio of expenses to average net assets............................. 0.76%(b) 0.76% 0.77%
Ratio of net investment income to average net assets................ 5.73%(b) 5.81% 5.57%
Ratio of expenses to average net assets*............................ 1.15%(b) 1.17% 1.20%
Ratio of net investment income to average net assets*............... 5.34%(b) 5.40% 5.14%
Portfolio Turnover (d).............................................. 21.27% 75.20% 76.43%
<CAPTION>
1994 1993 1992 (A)
------------- ------------- -------------
<S> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD................................................. $ 10.87 $ 10.72 $ 10.61
------------- ------------- ------
Investment Activities
Net investment income............................................... 0.52 0.59 0.24
Net realized and unrealized gains (losses) from investments and
futures........................................................... (0.46) 0.24 0.13
------------- ------------- ------
Total from Investment Activities.................................. 0.06 0.83 0.37
------------- ------------- ------
Distributions
Net investment income............................................... (0.51) (0.59) (0.26)
In excess of net investment income.................................. (0.04) -- --
Net realized gains.................................................. (0.06) (0.09) --
------------- ------------- ------
Total Distributions............................................... (0.61) (0.68) (0.26)
------------- ------------- ------
NET ASSET VALUE,
END OF PERIOD....................................................... $ 10.32 $ 10.87 $ 10.72
------------- ------------- ------
------------- ------------- ------
Total Return (Excludes Sales Charge).................................. 0.49% 8.04% 9.84%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................................... $ 15,216 $ 15,719 $ 161
Ratio of expenses to average net assets............................. 0.75% 0.76% 0.99%(b)
Ratio of net investment income to average net assets................ 4.92% 5.35% 5.95%(b)
Ratio of expenses to average net assets*............................ 1.20% 1.27% 1.29%(b)
Ratio of net investment income to average net assets*............... 4.47% 4.84% 5.65%(b)
Portfolio Turnover (d).............................................. 30.61% 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) Class A Shares commenced offering on February 18, 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.
37----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LIMITED VOLATILITY BOND FUND
-----------------------------------------------------
CLASS B
-----------------------------------------------------
SIX MONTHS
ENDED YEARS ENDED JUNE 30,
DECEMBER ---------------------------------------
31, 1996 1996 1995 1994 (A)
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
(UNAUDITED)
NET ASSET VALUE,
BEGINNING OF PERIOD................................................. $ 10.49 $ 10.60 $ 10.40 $ 10.78
----------- ----------- ----------- -----------
Investment Activities
Net investment income............................................... 0.27 0.55 0.53 0.17
Net realized and unrealized gains (losses) from investments and
futures........................................................... 0.06 (0.10) 0.19 (0.37)
----------- ----------- ----------- -----------
Total from Investment Activities.................................. 0.33 0.45 0.72 (0.20)
----------- ----------- ----------- -----------
Distributions
Net investment income............................................... (0.27) (0.56) (0.52) (0.15)
In excess of net realized gains..................................... -- -- -- (0.03)
----------- ----------- ----------- -----------
Total Distributions............................................... (0.27) (0.56) (0.52) (0.18)
----------- ----------- ----------- -----------
NET ASSET VALUE,
END OF PERIOD....................................................... $ 10.55 $ 10.49 $ 10.60 $ 10.40
----------- ----------- ----------- -----------
----------- ----------- ----------- -----------
Total Return (Excludes Sales Charge).................................. 3.18%(c) 4.28% 7.18% (1.81)%(c)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................................... $ 5,073 $ 4,923 $ 2,906 $ 1,974
Ratio of expenses to average net assets............................. 1.41%(b) 1.26% 1.28% 1.26%(b)
Ratio of net investment income to average net assets................ 5.08%(b) 5.31% 5.10% 4.39%(b)
Ratio of expenses to average net assets*............................ 1.81%(b) 1.82% 1.86% 1.86%(b)
Ratio of net investment income to average net assets*............... 4.68%(b) 4.75% 4.52% 3.79%(b)
Portfolio Turnover (d).............................................. 21.27% 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.
- ----38
<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
--------- ---------
<S> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD................................................................................. $ 10.38 $ 10.78
--------- ---------
Investment Activities
Net investment income............................................................................... 0.51 0.10
Net realized and unrealized gains (losses) from investments and futures............................. 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.
39----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERMEDIATE BOND FUND
---------------------------------------------
FIDUCIARY
---------------------------------------------
SIX MONTHS
ENDED YEARS ENDED JUNE 30,
DECEMBER 31, -----------------------------
1996 1996 1995
------------- ------------- -------------
<S> <C> <C> <C>
(UNAUDITED)
NET ASSET VALUE,
BEGINNING OF PERIOD................................................. $ 9.84 $ 10.01 $ 9.72
------------- ------------- -------------
Investment Activities
Net investment income............................................... 0.33 0.66 0.66
Net realized and unrealized gains (losses) from investments and
futures........................................................... 0.12 (0.17) 0.29
------------- ------------- -------------
Total from Investment Activities.................................. 0.45 0.49 0.95
------------- ------------- -------------
Distributions
Net investment income............................................... (0.33) (0.66) (0.66)
In excess of net investment income.................................. -- -- --
Net realized gains.................................................. -- -- --
------------- ------------- -------------
Total Distributions............................................... (0.33) (0.66) (0.66)
------------- ------------- -------------
NET ASSET VALUE,
END OF PERIOD....................................................... $ 9.96 $ 9.84 $ 10.01
------------- ------------- -------------
------------- ------------- -------------
Total Return (Excludes Sales Charge).................................. 4.60%(c) 4.95% 10.15%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................................... $ 278,201 $ 230,812 $ 191,216
Ratio of expenses to average net assets............................. 0.52%(b) 0.54% 0.56%
Ratio of net investment income to average net assets................ 6.53%(b) 6.56% 6.88%
Ratio of expenses to average net assets*............................ 0.81%(b) 0.87% 0.99%
Ratio of net investment income to average net assets*............... 6.24%(b) 6.23% 6.45%
Portfolio Turnover (d).............................................. 26.00% 101.06% 99.71%
<CAPTION>
1994 1993 1992 (A)
------------- ------------- -------------
<S> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD................................................. $ 10.51 $ 10.09 $ 10.00
------------- ------------- -------------
Investment Activities
Net investment income............................................... 0.60 0.63 0.22
Net realized and unrealized gains (losses) from investments and
futures........................................................... (0.67) 0.42 0.08
------------- ------------- -------------
Total from Investment Activities.................................. (0.07) 1.05 0.30
------------- ------------- -------------
Distributions
Net investment income............................................... (0.60) (0.63) (0.21)
In excess of net investment income.................................. (0.02) -- --
Net realized gains.................................................. (0.10) -- --
------------- ------------- -------------
Total Distributions............................................... (0.72) (0.63) (0.21)
------------- ------------- -------------
NET ASSET VALUE,
END OF PERIOD....................................................... $ 9.72 $ 10.51 $ 10.09
------------- ------------- -------------
------------- ------------- -------------
Total Return (Excludes Sales Charge).................................. (0.74)% 10.67% 3.00%(c)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................................... $ 98,483 $ 44,252 $ 23,457
Ratio of expenses to average net assets............................. 0.32% 0.39% 0.36%(b)
Ratio of net investment income to average net assets................ 6.04% 6.14% 6.99%(b)
Ratio of expenses to average net assets*............................ 0.87% 1.17% 1.33%(b)
Ratio of net investment income to average net assets*............... 5.49% 5.36% 6.02%(b)
Portfolio Turnover (d).............................................. 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.
- ----40
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERMEDIATE BOND FUND
---------------------------------------------
CLASS A
---------------------------------------------
SIX MONTHS YEARS ENDED JUNE 30,
ENDED
DECEMBER 31, -----------------------------
1996 1996 1995 (A)
------------- ------------- -------------
<S> <C> <C> <C>
(UNAUDITED)
NET ASSET VALUE,
BEGINNING OF PERIOD................................................. $ 9.87 $ 10.04 $ 9.45
------------- ------------- ------
Investment Activities
Net investment income............................................... 0.31 0.64 0.37
Net realized and unrealized gains (losses) from investments and
futures........................................................... 0.12 (0.17) 0.59
------------- ------------- ------
Total from Investment Activities.................................. 0.43 0.47 0.96
------------- ------------- ------
Distributions
Net investment income............................................... (0.31) (0.64) (0.37)
------------- ------------- ------
Total Distributions............................................... (0.31) (0.64) (0.37)
------------- ------------- ------
NET ASSET VALUE,
END OF PERIOD....................................................... $ 9.99 $ 9.87 $ 10.04
------------- ------------- ------
------------- ------------- ------
Total Return (Excludes Sales Charge).................................. 4.46%(c) 4.77% 10.29%(c)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................................... $ 14,468 $ 13,706 $ 4,941
Ratio of expenses to average net assets............................. 0.77%(b) 0.79% 0.83%(b)
Ratio of net investment income to average net assets................ 6.28%(b) 6.31% 6.64%(b)
Ratio of expenses to average net assets*............................ 1.15%(b) 1.22% 1.66%(b)
Ratio of net investment income to average net assets*............... 5.90%(b) 5.88% 5.81%(b)
Portfolio Turnover (d).............................................. 26.00% 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.
41----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERMEDIATE BOND FUND
---------------------------------------------
CLASS B
---------------------------------------------
SIX MONTHS YEARS ENDED JUNE 30,
ENDED
DECEMBER 31, -----------------------------
1996 1996 1995 (A)
------------- ------------- -------------
<S> <C> <C> <C>
(UNAUDITED)
NET ASSET VALUE,
BEGINNING OF PERIOD................................................. $ 9.83 $ 10.01 $ 9.45
------ ------------- ------
Investment Activities
Net investment income............................................... 0.28 0.58 0.23
Net realized and unrealized gains (losses) from investments and
futures........................................................... 0.13 (0.18) 0.56
------ ------------- ------
Total from Investment Activities.................................. 0.41 0.40 0.79
------ ------------- ------
Distributions
Net investment income............................................... (0.28) (0.58) (0.23)
------ ------------- ------
Total Distributions............................................... (0.28) (0.58) (0.23)
------ ------------- ------
NET ASSET VALUE,
END OF PERIOD....................................................... $ 9.96 $ 9.83 $ 10.01
------ ------------- ------
------ ------------- ------
Total Return (Excludes Sales Charge).................................. 4.23%(c) 4.10% 8.22%(c)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................................... $ 7,716 $ 6,077 $ 266
Ratio of expenses to average net assets............................. 1.42%(b) 1.44% 1.51%(b)
Ratio of net investment income to average net assets................ 5.63%(b) 5.66% 6.15%(b)
Ratio of expenses to average net assets*............................ 1.82%(b) 1.87% 2.34%(b)
Ratio of net investment income to average net assets*............... 5.23%(b) 5.23% 5.31%(b)
Portfolio Turnover (d).............................................. 26.00% 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) The Fund 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.
- ----42
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
GOVERNMENT BOND FUND
---------------------------------------------
FIDUCIARY
---------------------------------------------
SIX MONTHS
ENDED YEARS ENDED JUNE 30,
DECEMBER 31, -----------------------------
1996 1996 1995
------------- ------------- -------------
<S> <C> <C> <C>
(UNAUDITED)
NET ASSET VALUE,
BEGINNING OF PERIOD................................................. $ 9.56 $ 9.81 $ 9.35
------------- ------------- -------------
Investment Activities
Net investment income............................................... 0.31 0.62 0.62
Net realized and unrealized gains (losses) from investments and
futures........................................................... 0.15 (0.25) 0.46
------------- ------------- -------------
Total from Investment Activities.................................. 0.46 0.37 1.08
------------- ------------- -------------
Distributions
Net investment income............................................... (0.31) (0.62) (0.61)
In excess of net investment income.................................. -- -- (0.01)
In excess of net realized gains..................................... -- -- --
------------- ------------- -------------
Total Distributions............................................... (0.31) (0.62) (0.62)
------------- ------------- -------------
NET ASSET VALUE,
END OF PERIOD....................................................... $ 9.71 $ 9.56 $ 9.81
------------- ------------- -------------
------------- ------------- -------------
Total Return (Excludes Sales Charge).................................. 4.90%(c) 3.81% 12.04%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................................... $ 668,024 $ 677,326 $ 379,826
Ratio of expenses to average net assets............................. 0.63%(b) 0.68% 0.71%
Ratio of net investment income to average net assets................ 6.42%(b) 6.34% 6.65%
Ratio of expenses to average net assets*............................ 0.66%(b) 0.69% 0.73%
Ratio of net investment income to average net assets*............... 6.39%(b) 6.33% 6.63%
Portfolio Turnover (d).............................................. 22.24% 62.70% 106.14%
<CAPTION>
1994 1993 (A)
------------- -------------
<S> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD................................................. $ 10.15 $ 10.00
------------- -------------
Investment Activities
Net investment income............................................... 0.51 0.20
Net realized and unrealized gains (losses) from investments and
futures........................................................... (0.77) 0.15
------------- -------------
Total from Investment Activities.................................. (0.26) 0.35
------------- -------------
Distributions
Net investment income............................................... (0.50) (0.20)
In excess of net investment income.................................. (0.02) --
In excess of net realized gains..................................... (0.02) --
------------- -------------
Total Distributions............................................... (0.54) (0.20)
------------- -------------
NET ASSET VALUE,
END OF PERIOD....................................................... $ 9.35 $ 10.15
------------- -------------
------------- -------------
Total Return (Excludes Sales Charge).................................. (2.73)% 9.03%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................................... $ 209,692 $ 52,152
Ratio of expenses to average net assets............................. 0.68% 0.69%(b)
Ratio of net investment income to average net assets................ 5.13% 5.43%(b)
Ratio of expenses to average net assets*............................ 0.71% 1.05%(b)
Ratio of net investment income to average net assets*............... 5.10% 5.07%(b)
Portfolio Turnover (d).............................................. 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 February 8, 1993.
</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.
43----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
GOVERNMENT BOND FUND
---------------------------------------------
CLASS A
---------------------------------------------
SIX MONTHS
ENDED YEARS ENDED JUNE 30,
DECEMBER 31, -----------------------------
1996 1996 1995
------------- ------------- -------------
<S> <C> <C> <C>
(UNAUDITED)
NET ASSET VALUE,
BEGINNING OF PERIOD................................................. $ 9.56 $ 9.81 $ 9.35
------------- ------------- -------------
Investment Activities
Net investment income............................................... 0.30 0.60 0.61
Net realized and unrealized gains (losses) from investments and
futures........................................................... 0.15 (0.25) 0.45
------------- ------------- -------------
Total from Investment Activities.................................. 0.45 0.35 1.06
------------- ------------- -------------
Distributions
Net investment income............................................... (0.30) (0.60) (0.59)
In excess of net investment income.................................. -- -- (0.01)
In excess of net realized gains..................................... -- -- --
------------- ------------- -------------
Total Distributions............................................... (0.30) (0.60) (0.60)
------------- ------------- -------------
NET ASSET VALUE,
END OF PERIOD....................................................... $ 9.71 $ 9.56 $ 9.81
------------- ------------- -------------
------------- ------------- -------------
Total Return (Excludes Sales Charge).................................. 4.77%(c) 3.58% 11.84%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................................... $ 37,606 $ 38,800 $ 8,130
Ratio of expenses to average net assets............................. 0.88%(b) 0.93% 0.97%
Ratio of net investment income to average net assets................ 6.17%(b) 6.09% 6.46%
Ratio of expenses to average net assets*............................ 1.01%(b) 1.04% 1.09%
Ratio of net investment income to average net assets*............... 6.04%(b) 5.98% 6.34%
Portfolio Turnover (d).............................................. 22.24% 62.70% 106.14%
<CAPTION>
1994 1993 (A)
------------- -------------
<S> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD................................................. $ 10.17 $ 10.22
------------- -------------
Investment Activities
Net investment income............................................... 0.48 0.17
Net realized and unrealized gains (losses) from investments and
futures........................................................... (0.79) (0.05)
------------- -------------
Total from Investment Activities.................................. (0.31) 0.12
------------- -------------
Distributions
Net investment income............................................... (0.47) (0.17)
In excess of net investment income.................................. (0.02) --
In excess of net realized gains..................................... (0.02) --
------------- -------------
Total Distributions............................................... (0.51) (0.17)
------------- -------------
NET ASSET VALUE,
END OF PERIOD....................................................... $ 9.35 $ 10.17
------------- -------------
------------- -------------
Total Return (Excludes Sales Charge).................................. (3.16)% 5.35%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................................... $ 1,690 $ 840
Ratio of expenses to average net assets............................. 0.92% 0.95%(b)
Ratio of net investment income to average net assets................ 4.84% 5.56%(b)
Ratio of expenses to average net assets*............................ 1.05% 1.44%(b)
Ratio of net investment income to average net assets*............... 4.71% 5.07%(b)
Portfolio Turnover (d).............................................. 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) 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.
- ----44
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
GOVERNMENT BOND FUND
---------------------------------------------
CLASS B
---------------------------------------------
SIX MONTHS
ENDED YEARS ENDED JUNE 30,
DECEMBER 31, -----------------------------
1996 1996 1995
------------- ------------- -------------
<S> <C> <C> <C>
(UNAUDITED)
NET ASSET VALUE,
BEGINNING OF PERIOD................................................. $ 9.56 $ 9.81 $ 9.35
------------- ------------- -------------
Investment Activities
Net investment income............................................... 0.27 0.54 0.55
Net realized and unrealized gains (losses) from investments and
futures........................................................... 0.15 (0.25) 0.46
------------- ------------- -------------
Total from Investment Activities.................................. 0.42 0.29 1.01
------------- ------------- -------------
Distributions
Net investment income............................................... (0.27) (0.54) (0.55)
In excess of net investment income.................................. -- -- --
In excess of net realized gains..................................... -- -- --
------------- ------------- -------------
Total Distributions............................................... (0.27) (0.54) (0.55)
------------- ------------- -------------
NET ASSET VALUE,
END OF PERIOD....................................................... $ 9.71 $ 9.56 $ 9.81
------------- ------------- -------------
------------- ------------- -------------
Total Return (Excludes Sales Charge).................................. 4.43%(c) 2.95% 11.20%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................................... $ 11,316 $ 10,782 $ 2,513
Ratio of expenses to average net assets............................. 1.53%(b) 1.58% 1.62%
Ratio of net investment income to average net assets................ 5.52%(b) 5.44% 5.76%
Ratio of expenses to average net assets*............................ 1.66%(b) 1.69% 1.74%
Ratio of net investment income to average net assets*............... 5.39%(b) 5.33% 5.64%
Portfolio Turnover (d).............................................. 22.24% 62.70% 106.14%
<CAPTION>
1994 (A)
-------------
<S> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD................................................. $ 10.04
-------------
Investment Activities
Net investment income............................................... 0.18
Net realized and unrealized gains (losses) from investments and
futures........................................................... (0.69)
-------------
Total from Investment Activities.................................. (0.51)
-------------
Distributions
Net investment income............................................... (0.16)
In excess of net investment income.................................. (0.02)
In excess of net realized gains..................................... --
-------------
Total Distributions............................................... (0.18)
-------------
NET ASSET VALUE,
END OF PERIOD....................................................... $ 9.35
-------------
-------------
Total Return (Excludes Sales Charge).................................. (4.99%)(c)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................................... $ 656
Ratio of expenses to average net assets............................. 1.52%(b)
Ratio of net investment income to average net assets................ 4.60%(b)
Ratio of expenses to average net assets*............................ 1.63%(b)
Ratio of net investment income to average net assets*............... 4.49%(b)
Portfolio Turnover (d).............................................. 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.
45----
<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 and
futures........................................................... 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) 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.
- ----46
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INCOME BOND FUND
---------------------------------------------
FIDUCIARY
---------------------------------------------
SIX MONTHS
ENDED YEARS ENDED JUNE 30,
DECEMBER 31, -----------------------------
1996 1996 1995
------------- ------------- -------------
<S> <C> <C> <C>
(UNAUDITED)
NET ASSET VALUE,
BEGINNING OF PERIOD................................................. $ 9.33 $ 9.54 $ 9.23
------------- ------------- -------------
Investment Activities
Net investment income............................................... 0.32 0.65 0.64
Net realized and unrealized gains (losses) from investments and
futures........................................................... 0.13 (0.21) 0.35
------------- ------------- -------------
Total from Investment Activities.................................. 0.45 0.44 0.99
------------- ------------- -------------
Distributions
Net investment income............................................... (0.32) (0.65) (0.64)
Net realized gains.................................................. -- -- (0.04)
------------- ------------- -------------
Total Distributions............................................... (0.32) (0.65) (0.68)
------------- ------------- -------------
NET ASSET VALUE,
END OF PERIOD....................................................... $ 9.46 $ 9.33 $ 9.54
------------- ------------- -------------
------------- ------------- -------------
Total Return (Excludes Sales Charge).................................. 4.92%(b) 4.62% 11.29%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................................... $ 584,762 $ 520,239 $ 474,124
Ratio of expenses to average net assets............................. 0.59%(a) 0.59% 0.59%
Ratio of net investment income to average net assets................ 6.78%(a) 6.76% 6.94%
Ratio of expenses to average net assets*............................ 0.79%(a) 0.81% 0.86%
Ratio of net investment income to average net assets*............... 6.58%(a) 6.54% 6.67%
Portfolio Turnover (c).............................................. 21.77% 95.52% 262.25%
<CAPTION>
1994 1993 1992
------------- ------------- -------------
<S> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD................................................. $ 10.43 $ 10.18 $ 9.59
------------- ------------- -------------
Investment Activities
Net investment income............................................... 0.54 0.66 0.71
Net realized and unrealized gains (losses) from investments and
futures........................................................... (0.74) 0.38 0.59
------------- ------------- -------------
Total from Investment Activities.................................. (0.20) 1.04 1.30
------------- ------------- -------------
Distributions
Net investment income............................................... (0.57) (0.66) (0.71)
Net realized gains.................................................. (0.43) (0.13) --
------------- ------------- -------------
Total Distributions............................................... (1.00) (0.79) (0.71)
------------- ------------- -------------
NET ASSET VALUE,
END OF PERIOD....................................................... $ 9.23 $ 10.43 $ 10.18
------------- ------------- -------------
------------- ------------- -------------
Total Return (Excludes Sales Charge).................................. (2.54)% 10.62% 13.85%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................................... $ 560,071 $ 483,291 $ 376,898
Ratio of expenses to average net assets............................. 0.53% 0.56% 0.49%
Ratio of net investment income to average net assets................ 5.35% 6.44% 7.18%
Ratio of expenses to average net assets*............................ 0.85% 0.90% 1.04%
Ratio of net investment income to average net assets*............... 5.03% 6.10% 6.63%
Portfolio Turnover (c).............................................. 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) Annualized.
</TABLE>
<TABLE>
<C> <S>
(b) Not 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.
47----
<PAGE>
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- -------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INCOME BOND FUND
---------------------------------------------
CLASS A
---------------------------------------------
SIX MONTHS
ENDED YEARS ENDED JUNE 30,
DECEMBER 31, -----------------------------
1996 1996 1995
------------- ------------- -------------
<S> <C> <C> <C>
(UNAUDITED)
NET ASSET VALUE,
BEGINNING OF PERIOD................................................. $ 9.32 $ 9.54 $ 9.22
------------- ------------- -------------
Investment Activities
Net investment income............................................... 0.31 0.63 0.61
Net realized and unrealized gains (losses) from investments and
futures........................................................... 0.13 (0.23) 0.36
------------- ------------- -------------
Total from Investment Activities.................................. 0.44 0.40 0.97
------------- ------------- -------------
Distributions
Net investment income............................................... (0.31) (0.62) (0.60)
In excess of net investment income.................................. -- -- (0.01)
Net realized gains.................................................. -- -- (0.04)
------------- ------------- -------------
Total Distributions............................................... (0.31) (0.62) (0.65)
------------- ------------- -------------
NET ASSET VALUE,
END OF PERIOD....................................................... $ 9.45 $ 9.32 $ 9.54
------------- ------------- -------------
------------- ------------- -------------
Total Return (Excludes Sales Charge).................................. 4.79%(c) 4.26% 10.90%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................................... $ 12,527 $ 10,127 $ 6,796
Ratio of expenses to average net assets............................. 0.84%(b) 0.84% 1.01%
Ratio of net investment income to average net assets................ 6.53%(b) 6.51% 6.57%
Ratio of expenses to average net assets*............................ 1.14%(b) 1.16% 1.38%
Ratio of net investment income to average net assets*............... 6.23%(b) 6.19% 6.20%
Portfolio Turnover (d).............................................. 21.77% 95.52% 262.25%
<CAPTION>
1994 1993 1992 (A)
------------- ------------- -------------
<S> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD................................................. $ 10.43 $ 10.16 $ 10.06
------------- ------------- ------
Investment Activities
Net investment income............................................... 0.52 0.63 0.26
Net realized and unrealized gains (losses) from investments and
futures........................................................... (0.75) 0.41 0.11
------------- ------------- ------
Total from Investment Activities.................................. (0.23) 1.04 0.37
------------- ------------- ------
Distributions
Net investment income............................................... (0.55) (0.64) (0.27)
In excess of net investment income.................................. -- -- --
Net realized gains.................................................. (0.43) (0.13) --
------------- ------------- ------
Total Distributions............................................... (0.98) (0.77) (0.27)
------------- ------------- ------
NET ASSET VALUE,
END OF PERIOD....................................................... $ 9.22 $ 10.43 $ 10.16
------------- ------------- ------
------------- ------------- ------
Total Return (Excludes Sales Charge).................................. (2.33)% 10.58% 10.16%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................................... $ 5,347 $ 7,064 $ 188
Ratio of expenses to average net assets............................. 0.78% 0.77% 0.97%(b)
Ratio of net investment income to average net assets................ 5.25% 6.12% 6.58%(b)
Ratio of expenses to average net assets*............................ 1.20% 1.26% 1.27%(b)
Ratio of net investment income to average net assets*............... 4.83% 5.63% 6.28%(b)
Portfolio Turnover (d).............................................. 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) 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>
INCOME BOND FUND
---------------------------------------------
CLASS B
---------------------------------------------
SIX MONTHS
ENDED YEARS ENDED JUNE 30,
DECEMBER 31, -----------------------------
1996 1996 1995
------------- ------------- -------------
<S> <C> <C> <C>
(UNAUDITED)
NET ASSET VALUE,
BEGINNING OF PERIOD................................................. $ 9.40 $ 9.62 $ 9.29
------ ------ -------------
Investment Activities
Net investment income............................................... 0.28 0.56 0.56
Net realized and unrealized gains (losses) from investments and
futures........................................................... 0.14 (0.21) 0.38
------ ------ -------------
Total from Investment Activities.................................. 0.42 0.35 0.94
------ ------ -------------
Distributions
Net investment income............................................... (0.28) (0.57) (0.57)
Net realized gains.................................................. -- -- (0.04)
------ ------ -------------
Total Distributions............................................... (0.28) (0.57) (0.61)
------ ------ -------------
NET ASSET VALUE,
END OF PERIOD....................................................... $ 9.54 $ 9.40 $ 9.62
------ ------ -------------
------ ------ -------------
Total Return (Excludes Sales Charge).................................. 4.56%(c) 3.65% 10.63%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................................... $ 9,075 $ 6,110 $ 1,887
Ratio of expenses to average net assets............................. 1.49%(b) 1.49% 1.49%
Ratio of net investment income to average net assets................ 5.88%(b) 5.86% 6.16%
Ratio of expenses to average net assets*............................ 1.81%(b) 1.81% 1.86%
Ratio of net investment income to average net assetss*.............. 5.56%(b) 5.54% 5.80%
Portfolio Turnover (d).............................................. 21.77% 95.52% 262.25%
<CAPTION>
1994 (A)
-------------
<S> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD................................................. $ 9.97
------
Investment Activities
Net investment income............................................... 0.17
Net realized and unrealized gains (losses) from investments and
futures........................................................... (0.70)
------
Total from Investment Activities.................................. (0.53)
------
Distributions
Net investment income............................................... (0.15)
Net realized gains.................................................. --
------
Total Distributions............................................... (0.15)
------
NET ASSET VALUE,
END OF PERIOD....................................................... $ 9.29
------
------
Total Return (Excludes Sales Charge).................................. (5.29)%(c)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)................................... $ 723
Ratio of expenses to average net assets............................. 1.45%(b)
Ratio of net investment income to average net assets................ 5.20%(b)
Ratio of expenses to average net assets*............................ 1.84%(b)
Ratio of net investment income to average net assetss*.............. 4.81%(b)
Portfolio Turnover (d).............................................. 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.
49----
<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 and futures.................... 0.40 (0.94)
------------- -------------
Total from Investment Activities......................................................... 0.89 (0.82)
------------- -------------
Distributions
Net investment income...................................................................... (0.51) (0.10)
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 and 1996, 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.
- ----50
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