<PAGE> 1
Income Funds
Annual Report
For the year ended June 30, 1998
Ultra Short-Term Income Fund
Limited Volatility Bond Fund
Intermediate Bond Fund
Government Bond Fund
Income Bond Fund
Treasury & Agency Fund
THE ONE GROUP
----------------------
FAMILY OF MUTUAL FUNDS
<PAGE> 2
IMPORTANT CUSTOMER INFORMATION. INVESTMENT PRODUCTS:
- are not deposits or obligations of, or guaranteed by,
BANC ONE CORPORATION or any of its affiliates, [FDIC LOGO
WITH SLASH
- are not insured by the FDIC, and THOUGH IT]
- are subject to investment risks, including possible
loss of the principal amount invested.
<PAGE> 3
- --------------------------------------------------------------------------------
Table of Contents
- --------------------------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1998
Portfolio Performance Review...................................................2
Schedules of Portfolio Investments............................................14
Statements of Assets and Liabilities..........................................34
Statements of Operations......................................................36
Statements of Changes in Net Assets...........................................38
Statements of Cash Flows......................................................40
Notes to Financial Statements.................................................41
Financial Highlights..........................................................52
Report of Independent Accountants.............................................71
1
<PAGE> 4
The One Group Ultra Short-Term Income Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1998
HOW DID THE FUND PERFORM?
For the year ended June 30, 1998, the One Group Ultra Short-Term Income Fund
Fiduciary share class posted a total return of 6.00%. (For information on other
share classes and performance comparisons to indexes, please see page 3.)
WHAT HAPPENED WITH INTEREST RATES?
Interest rates declined during the year, as expectations of higher inflation and
tighter monetary policy quickly gave way to disinflationary and credit-quality
concerns due to the events in Asia. But, more important for the Fund, the U.S.
yield curve flattened dramatically, causing significant refinancings of
adjustable-rate mortgage (ARM) securities. For example, at the beginning of the
year, the yields on the one-year Treasury bill and the 10-year Treasury note
were 5.65% and 6.49%, respectively. By the end of the year, the yields had
dropped to 5.37% and 5.45%, for a difference of only eight basis points (one
basis point equals 1/100th of a percent.)
With interest rates falling and residential mortgage refinancings hitting
all-time highs during the fiscal year, the Fund's SEC yield declined somewhat.
On June 30, 1998, the Fund's SEC yield for the Fiduciary share class was 5.85%,
compared to 6.08% a year earlier.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
The increase in refinancings has caused a decline in the market value of most
conventional ARMs. Within the ARM sector, certain COFI (Cost of Funds Index)
ARMs were the only securities that outperformed because they exhibited more
stable and predictable prepayment behavior. Asset-backed securities and
commercial mortgages suffered somewhat in the fall of 1997, but they quickly
rebounded and finished the year relatively strong.
As such, our primary efforts during the year were to reduce the Fund's exposure
to conventional one-year ARMs and increase exposure to COFI ARMs, asset-backed
securities, commercial mortgage-backed securities and corporate securities. This
strategy helped us minimize share price volatility and enhance the Fund's yield.
We also chose to maintain the Fund's duration at 0.85 year throughout most of
the year. (Duration is a measure of a fund's price sensitivity to interest rate
changes. A longer duration indicates greater price movement; a shorter duration
indicates less.) While this is within our targeted duration range, the heavy
prepayments experienced in the ARM market caused the Fund to behave as if it had
a shorter duration. As a result, the Fund lost some price appreciation it would
have captured if strong prepayments were not a factor.
WHAT IS YOUR OUTLOOK FOR THE FUND?
The current level of U.S. economic growth probably would have led the Federal
Reserve to raise interest rates. Nevertheless, the developing recessions in Asia
and Eastern Europe have led to significant declines in commodity prices and have
created the potential for disinflation in the United States. Therefore, the U.S.
yield curve is likely to remain flat until Asia shows signs of recovery or the
U.S. economy slows down. But, if the economy slows down and Asia deteriorates,
the yield curve could invert, meaning yields on shorter-term securities would be
greater than yields on longer-term securities.
In this scenario, mortgage-backed and corporate spreads would likely be under
some near-term pressure. In the mortgage market, refinancings could increase
temporarily, and in the corporate market, Asian troubles could cause earnings to
decline. Furthermore, any reduction in U.S. economic growth is likely to
negatively affect corporate earnings and consumer spending. Therefore, we view
any widening of spreads as opportunities.
/s/ Michael J. Sais
Michael J. Sais, CFA
Fund Manager
/s/ Gary J. Madich
Gary J. Madich, CFA
Senior Managing Director of Fixed-Income Securities
Please refer to the prospectus and the accompanying financial statements for
further information about your Fund.
2
<PAGE> 5
The One Group Ultra Short-Term Income Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1998
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1998
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (2/2/93)
<S> <C> <C> <C>
Fiduciary 6.00% 5.20% 5.18%
</TABLE>
VALUE OF $10,00 INVESTMENT
<TABLE>
<CAPTION>
Lehman
Brothers 1-3
Year
Measurement Period Government Lipper ARM
(Fiscal Year Covered) Index Funds Index Fiduciary
<S> <C> <C> <C>
2/93 $10,000 $10,000 $10,000
6/93 10,142 10,134 10,201
6/94 10,297 10,190 10,421
6/95 11,086 10,499 10,957
6/96 11,693 10,961 11,571
6/97 12,462 11,668 12,397
6/98 $13,307 $12,289 $13,141
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1998
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (3/10/93)
<S> <C> <C> <C>
Class A 5.75% 4.98% 4.97%
Class A* 2.52% 4.34% 4.37%
</TABLE>
* Reflects 3.00% Sales Charge.
VALUE OF $10,00 INVESTMENT
<TABLE>
<CAPTION>
Lehman
Brothers 1-3
Year
Measurement Period Government Lipper ARM
(Fiscal Year Covered) Index Funds Index Class A* Class A
<S> <C> <C> <C> <C>
3/93 $10,000 $10,000 $ 9,700 $10,000
6/93 10,111 10,109 9,842 10,146
6/94 10,265 10,166 10,033 10,344
6/95 11,052 10,474 10,519 10,845
6/96 11,657 10,935 11,089 11,432
6/97 12,423 11,640 11,866 12,233
6/98 $13,265 $12,259 $12,548 $12,935
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1998
<TABLE>
<CAPTION>
Since
Inception
1 Year (1/14/94)
<S> <C> <C>
Class B 5.32% 4.66%
Class B** 2.32% 4.66%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,00 INVESTMENT
<TABLE>
<CAPTION>
Lehman
Brothers 1-3
Year
Measurement Period Government Lipper ARM
(Fiscal Year Covered) Index Funds Index Class B** Class B
<S> <C> <C> <C> <C>
1/94 $10,000 $10,000 $10,000 $10,000
6/94 9,889 9,905 9,991 9,991
6/95 10,648 10,206 10,468 10,468
6/96 11,231 10,654 10,953 10,953
6/97 11,969 11,342 11,634 11,634
6/98 $12,780 $11,945 $12,252 $12,252
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The performance of the Ultra Short Term Income Fund is measured against the
Lehman Brothers 1 to 3 Year Government Index, an unmanaged index comprised of US
Government and agency securities with maturities of one to three years.
Investors are unable to purchase the index directly, although they can invest in
the underlying securities. The performance of the index does not reflect the
deduction of expenses associated with a mutual fund, such as investment
management. By contrast, the performance of the fund reflects the deduction of
these value-added services as well as the deduction of sales charges on Class A
Shares and applicable contingent deferred sales charges on Class B Shares.
The Lipper ARM Funds Index consists of the equally weighted average monthly
return of the largest funds within the universe of all funds in the category.
3
<PAGE> 6
The One Group Limited Volatility Bond Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1998
HOW DID THE FUND PERFORM?
For the year ended June 30, 1998, The One Group Limited Volatility Bond Fund
Fiduciary share class posted a total return of 6.59%. (For information on other
share classes and performance comparisons to indexes, please see page 5.)
HOW DID INTEREST RATES INFLUENCE PERFORMANCE?
Interest rates among five-year securities (the area of the yield curve where the
Fund is most heavily invested) declined 0.91 percentage points during the fiscal
year. The Fund's Fiduciary share class 30-day SEC yield also declined, dropping
from 6.18% on June 30, 1997, to 5.75% on June 30, 1998.
Because interest rates declined during the year, prices on most of the Fund's
bonds appreciated and, therefore, added to the Fund's total return. (Bond prices
and interest rates move inversely of each other. When rates fall, bond prices
rise, and vice versa.) The only exceptions were the few Asian bonds in the
Fund's portfolio, which declined in value when the Asian market crisis hit in
1997.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
The Fund's strategy included investing in securities that offered attractive
yields within our maturity and high credit-quality guidelines. As such, we
continued to emphasize government agency mortgage pass-through securities
because they offered yield advantages over other government securities. And, we
focused on 15-year, current coupon issues because they are less likely to be
refinanced even if interest rates fall further. We also invested in asset-backed
securities and high-grade corporate bonds, which provided an excellent
combination of yield, total return and relative safety.
With interest rates declining, we maintained the Fund's duration in a range of
2.3 years to 2.5 years. (Duration is a measure of a fund's price sensitivity to
interest rate changes. A longer duration indicates greater sensitivity; a
shorter duration indicates less.) This, coupled with the Fund's emphasis on
yield, contributed to the Fund's solid return.
DID THE FUND'S OVERALL QUALITY CHANGE DURING THE YEAR?
Because the majority of the Fund's assets always are invested in U.S.
government-related securities (69% of the portfolio at year-end), the Fund's
average quality remains high. On June 30, 1998, 80% of the Fund's securities
were rated AAA (the highest rating), 18% were rated A, and 2% were rated Baa,
giving the Fund an overall quality rating of AA.
WHAT IS YOUR OUTLOOK FOR THE FUND?
We expect positive economic growth to continue, but at a slower pace. This
should help keep inflation low for the near-term, which should perpetuate the
current interest-rate trading range and market status quo. In the corporate
sector, though, a potential negative influence is the steady slowdown in
corporate earnings growth, which could cause corporate yield spreads to widen.
(Corporate spreads refer to the difference in yield between corporate bonds and
comparable-maturity Treasury bonds. When spreads widen, prices on corporate
bonds decline, and vice versa.) We believe a strong offset to this, though, is
the healthy economy, which gives us reason not to abandon the corporate sector.
As a precaution, we will focus on corporate bonds with maturities of five years
or less.
/s/ Roger Craig
Roger Craig
Fund Manager
/s/ Gary J. Madich
Gary J. Madich, CFA
Senior Managing Director of Fixed-Income Securities
Please refer to the prospectus and the accompanying financial statements for
further information about your Fund.
4
<PAGE> 7
The One Group Limited Volatility Bond Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1998
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1998
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (9/4/90)
<S> <C> <C> <C>
Fiduciary 6.59% 5.41% 7.03%
</TABLE>
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
Lehman
Brothers 1-3 Lipper Short US
Year Government
Measurement Period Government Bond Funds
(Fiscal Year Covered) Index Index Fiduciary
<S> <C> <C> <C>
9/90 $10,000 $10,000 $10,000
6/91 10,768 10,710 10,799
6/92 11,881 11,730 12,068
6/93 12,659 12,515 13,066
6/94 12,852 12,668 13,170
6/95 13,837 13,604 14,218
6/96 14,595 14,309 14,947
6/97 15,554 15,153 15,957
6/98 $16,609 $16,136 $17,008
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1998
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (2/18/92)
<S> <C> <C> <C>
Class A 6.32% 5.13% 5.86%
Class A* 3.16% 4.49% 5.35%
</TABLE>
* Reflects 3.00% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
Lehman
Brothers 1-3 Lipper Short US
Year Government
Measurement Period Government Bond Funds
(Fiscal Year Covered) Index Index Class A* Class A
<S> <C> <C> <C> <C>
2/92 $10,000 $10,000 $ 9,700 $10,000
6/92 10,284 10,274 10,045 10,356
6/93 10,957 10,962 10,853 11,188
6/94 11,123 11,096 10,906 11,243
6/95 11,976 11,916 11,742 12,105
6/96 12,632 12,534 12,314 12,694
6/97 13,462 13,273 13,110 13,515
6/98 $14,375 $14,134 $13,935 $14,368
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1998
<TABLE>
<CAPTION>
Since
Inception
1 Year (1/14/94)
<S> <C> <C> <C>
Class B 5.98% 4.75%
Class B** 2.98% 4.75%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
Lehman
Brothers 1-3 Lipper Short US
Year Government
Measurement Period Government Bond Funds
(Fiscal Year Covered) Index Index Class B** Class B
<S> <C> <C> <C> <C>
1/94 $10,000 $10,000 $10,000 $10,000
6/94 9,889 9,874 9,819 9,819
6/95 10,648 10,603 10,524 10,524
6/96 11,231 11,153 10,974 10,974
6/97 11,969 11,811 11,604 11,604
6/98 $12,780 $12,578 $12,297 $12,297
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The performance of the Limited Volatility Bond Fund is measured against the
Lehman Brothers 1 to 3 Year Government Index, an unmanaged index comprised of US
Government and agency securities with maturities of one to three years.
Investors are unable to purchase the index directly, although they can invest in
the underlying securities. The performance of the index does not reflect the
deduction of expenses associated with a mutual fund, such as investment
management. By contrast, the performance of the fund reflects the deduction of
these value-added services as well as the deduction of sales charges on Class A
Shares and applicable contingent deferred sales charges on Class B Shares.
The Lipper Short US Government Bond Funds Index consists of the equally weighted
average monthly return of the largest funds within the universe of all funds in
the category.
5
<PAGE> 8
The One Group Intermediate Bond Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1998
HOW DID THE FUND PERFORM?
The One Group Intermediate Bond Fund Fiduciary share class offered a total
return of 8.71% for the year ended June 30, 1998. (For information on other
share classes and performance comparisons to indexes, please see page 7.)
HOW DID MARKET DEVELOPMENTS INFLUENCE PERFORMANCE?
Throughout the year, three key trends developed in the bond market:
1. Interest rates, in general, declined, resulting in gains for most bonds and
an overall increase in the Fund's net asset value (NAV).
2. Lower interest rates led to a rise in homeowner refinancing activity, which
caused the performance on many higher-rate mortgage-backed bonds to suffer.
3. Many foreign economies, especially those in Asia, fell into recession, and
prices declined on many Yankee bonds (U.S. dollar-denominated foreign bonds)
associated with these markets.
Overall, the positive influence from the drop in interest rates had a greater
impact on the Fund's performance than the negative influence from holding select
mortgage and Yankee bonds.
While the Fund enjoyed a solid total return and an approximately 2.0% gain in
NAV for the one year period, the declining interest rate environment pushed the
Fund's yield slightly lower-from 6.35% on June 30, 1997, to 5.90% on June 30,
1998.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Once again, duration management remained a key strategy in generating return and
controlling risk. (Duration is a measure of a fund's price sensitivity to
interest rate changes. A longer duration indicates greater sensitivity; a
shorter duration indicates less.) We managed the Fund's duration within a tight,
shorter-than-market-average range during the year, which limited some of the
price gains that occurred mid-year when interest rates fell. While we do manage
the Fund's exposure to changes in interest rates, we also purposely limit the
degree to which we alter duration. We believe these risk-control guidelines
protect us from making ill-timed "bets" on the magnitude and direction of
possible interest rate movements.
Nevertheless, the Fund's strong yield helped make up for the effects of our
shorter duration. Furthermore, the Fund's holdings in long-duration U.S.
Treasury and corporate bonds and select commercial mortgage-backed securities
helped overall performance during the year.
Another key move during the Fund's fiscal year occurred in early 1998, when we
reduced the Fund's small exposure to Asian Yankee bonds, which deteriorated
along with many Asian economies. By fiscal year-end, the Fund held about 1.5% of
its assets in Asian-based Yankee bonds, all of which maintained investment-grade
quality ratings (rated BBB or better).
WHAT IS YOUR OUTLOOK FOR THE FUND?
Our forecast calls for the U.S. economy to maintain its steady, albeit slower,
growth pattern over the next year. As a result, inflation should remain tame and
interest rates stable to lower.
At the same time, the prospect for unfavorable developments has risen. For
example, the economy is operating at employment levels that typically lead to
increasing rates of inflation. This, however, is being offset by economic
recession in many Asian countries. While we remain optimistic, unexpected
changes in these or other important economic dynamics could lead to
greater-than-expected volatility in the U.S. financial markets.
/s/ James A. Sexton
James A. Sexton, CFA
Fund Manager
/s/ Gary J. Madich
Gary J. Madich, CFA
Senior Managing Director of Fixed-Income Securities
Please refer to the prospectus and the accompanying financial statements for
further information about your Fund.
6
<PAGE> 9
The One Group Intermediate Bond Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1998
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1998
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (2/29/92)
<S> <C> <C> <C>
Fiduciary 8.71% 6.08% 6.96%
</TABLE>
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
Lehman Lipper
Brothers Inertmediate US
Intermediate Government
Measurement Period Government/Corporate Bond Funds
(Fiscal Year Covered) Bond Index Index Fiduciary
<S> <C> <C> <C>
2/92 $10,000 $10,000 $10,000
6/92 10,355 10,307 10,300
6/93 11,442 11,357 11,400
6/94 11,413 11,162 11,315
6/95 12,597 12,260 12,463
6/96 13,228 12,786 13,080
6/97 14,182 13,670 14,084
6/98 $15,394 $14,959 $15,310
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1998
<TABLE>
<CAPTION>
Since
Inception
1 Year (11/30/94)
<S> <C> <C> <C>
Class A 8.47% 8.66%
Class A* 3.58% 7.26%
</TABLE>
* Reflects 4.50% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
Lehman Lipper
Brothers Intermediate US
Intermediate Government
Measurement Period Government/Corporate Bond Funds
(Fiscal Year Covered) Bond Index Index Class A* Class A
<S> <C> <C> <C> <C>
11/94 $10,000 $10,000 $ 9,550 $10,000
6/95 10,999 10,984 10,533 11,029
6/96 11,550 11,480 11,036 11,556
6/97 12,383 12,274 11,853 12,411
6/98 $13,441 $13,431 $12,850 $13,462
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1998
<TABLE>
<CAPTION>
Since
Inception
1 Year (11/30/94)
<S> <C> <C> <C>
Class B 7.78% 7.59%
Class B** 3.78% 6.90%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
Lehman Lipper
Brothers Intermediate US
Intermediate Government
Measurement Period Government/Corporate Bond Funds
(Fiscal Year Covered) Bond Index Class B** Class B
<S> <C> <C> <C> <C>
11/94 $10,000 $10,000 $10,000 $10,000
6/95 10,999 10,984 10,845 10,845
6/96 11,550 11,480 11,290 11,290
6/97 12,383 12,274 12,061 12,061
6/98 $13,441 $13,431 $12,699 $12,999
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1998
<TABLE>
<CAPTION>
Since
Inception
(11/4/97)
<S> <C>
Class C 8.20%
Class C** 7.20%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
<TABLE>
<CAPTION>
Lehman Lipper
Brothers Intermediate US
Intermediate Government
Measurement Period Government/Corporate Bond Funds
(Fiscal Year Covered) Bond Index Class C** Class C
<S> <C> <C> <C> <C>
11/97 $10,000 $10,000 $10,000 $10,000
6/98 $10,430 $10,455 $10,719 $10,819
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The performance of the Intermediate Bond Fund is measured against the Lehman
Brothers Intermediate Government/Corporate Bond Index, an unmanaged index
comprised of US Government agency and Treasury securities and investment grade
corporate bonds. Investors are unable to purchase the index directly, although
they can invest in the underlying securities. The performance of the index does
not reflect the deduction of expenses associated with a mutual fund, such as
investment management. By contrast, the performance of the fund reflects the
deduction of these value-added services as well as the deduction of sales
charges on Class A Shares and applicable contingent deferred sales charges on
Class B and Class C Shares.
The Lipper Intermediate US Government Bond Funds Index consists of the equally
weighted average monthly return of the largest funds within the universe of all
funds in the category.
7
<PAGE> 10
The One Group Government Bond Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1998
HOW DID THE FUND PERFORM?
The One Group Government Bond Fund Fiduciary share class posted a total return
of 10.81% for the year ended June 30, 1998. (For information on other share
classes and performance comparisons to indexes, please see page 9.)
WHAT HAPPENED TO INTEREST RATES?
Interest rates declined significantly during the year, as demonstrated by the
yield on 10-year Treasury notes, which dropped from 6.49% to 5.45%, and
five-year Treasury notes, which fell from 6.37% to 5.47%. The Fund's Fiduciary
share class 30-day SEC yield also declined, from 6.24% on June 30, 1997, to
5.88% on June 30, 1998.
In addition, the yield curve flattened during the year, as the difference in
yield between one- and 10-year Treasuries went from 85 basis points at the
beginning of the year to only eight basis points at the end of the year. (One
basis point equals 1/100th of a percent.)
WHAT AFFECT DID THE RATE DECLINE HAVE ON THE FUND'S INVESTMENTS?
The decline in interest rates put pressure on mortgage spreads, as fear of
increasing supply due to refinancings and record interest rate volatility
permeated the market. (The trading of fixed-rate mortgages is based on spreads,
or the difference in yield between mortgage-backed securities and Treasury
securities with the same average life.) The mortgage prepayment surge had the
effect of rapidly shortening duration on the Fund's mortgage-backed securities,
which forced us to frequently readjust the Fund's mortgage holdings. (Duration
is a measure of price sensitivity to interest rate changes. A shorter duration
indicates less sensitivity; a longer duration indicates greater sensitivity.)
Despite the level of prepayments, mortgage-backed securities returned 8.93% for
the year. The Fund's return surpassed this, without making an extraordinary
duration or asset-mix commitment.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Throughout the year we maintained investments in U.S. Treasuries, agency
securities and agency-issued mortgage-backed securities. Thus, the impact of the
Asian crisis on the Fund was realized in the strong performance of Treasury
securities, which benefited from the flight-to-quality environment.
We maintained the Fund's duration in a tight band around our five-year target,
which limited price movements caused by interest-rate volatility. This strategy
is a reflection of the Fund's greater emphasis on yield than price appreciation.
WHAT IS YOUR OUTLOOK FOR THE FUND?
We expect the economy to moderate eventually and yields to decline further.
Nevertheless, we don't foresee this having a significant effect on the Fund's
overall strategy. We may focus on different types of mortgage-backed securities
in response to economic and market conditions, but we plan to largely maintain
the Fund's current sector allocations. Any changes should be tactical in nature,
rather than strategic or stylistic. We believe that the Fund's emphasis on yield
and tight duration should continue to serve investors well.
/s/ Michael J. Sais
Michael J. Sais, CFA
Fund Manager
/s/ Thomas E. Donne
Thomas E. Donne, CFA
Fund Co-Manager
/s/ Gary J. Madich
Gary J. Madich, CFA
Senior Managing Director of Fixed-Income Securities
Please refer to the prospectus and the accompanying financial statements for
further information about your Fund.
8
<PAGE> 11
The One Group Government Bond Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1998
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1998
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (2/8/93)
<S> <C> <C> <C>
Fiduciary 10.81% 6.27% 6.48%
</TABLE>
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
Salomon Lipper US
Brothers 3-7 Government
Measurement Period Year Bond Funds
(Fiscal Year Covered) Treasury Index Index Fiduciary
<S> <C> <C> <C>
3/93 $10,000 $10,000 $10,000
6/93 10,275 10,289 10,351
6/94 10,174 9,973 10,068
6/95 11,275 11,028 11,281
6/96 11,790 11,440 11,710
6/97 12,623 12,256 12,659
6/98 $13,701 $13,477 $14,027
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1998
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (3/5/93)
<S> <C> <C> <C>
Class A 10.54% 5.98% 5.95%
Class A* 5.53% 5.01% 5.03%
</TABLE>
* Reflects 4.50% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
Salomon Lipper US
Brothers 3-7 Government
Measurement Period Year Treasury Bond Funds
(Fiscal Year Covered) Index Index Class A* Class A
<S> <C> <C> <C> <C>
3/93 $10,000 $10,000 $ 9,550 $10,000
6/93 10,237 10,252 9,713 10,171
6/94 10,136 9,937 9,406 9,849
6/95 11,233 10,989 10,519 11,015
6/96 11,746 11,399 10,896 11,410
6/97 12,576 12,212 11,749 12,303
6/98 $13,650 $13,428 $12,986 $13,598
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1998
<TABLE>
<CAPTION>
Since
Inception
1 Year (1/14/94)
<S> <C> <C>
Class B 9.86% 5.70%
Class B** 5.86% 5.33%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
Salomon Lipper US
Brothers 3-7 Government
Measurement Period Year Treasury Bond Funds
(Fiscal Year Covered) Index Index Class B** Class B
<S> <C> <C> <C> <C>
1/94 $10,000 $10,000 $10,000 $10,000
6/94 9,560 9,377 9,501 9,501
6/95 10,595 10,369 10,566 10,566
6/96 11,079 10,757 10,877 10,877
6/97 11,862 11,524 11,654 11,654
6/98 $12,875 $12,672 $12,602 $12,802
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The performance of the Government Bond Fund is measured against the Salomon
Brothers 3 to 7 Year Treasury Index, an unmanaged index comprised of US
Government agency and Treasury securities and agency mortgaged-backed
securities. Investors are unable to purchase the index directly, although they
can invest in the underlying securities. The performance of the index does not
reflect the deduction of expenses associated with a mutual fund, such as
investment management. By contrast, the performance of the fund reflects the
deduction of these value-added services as well as the deduction of sales
charges on Class A Shares and applicable contingent deferred sales charges on
Class B Shares.
The Lipper US Government Bond Funds Index consists of the equally weighted
average monthly return of the largest funds within the universe of all funds in
the category.
9
<PAGE> 12
The One Group Income Bond Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1998
HOW DID THE FUND PERFORM?
For the year ended June 30, 1998, The One Group Income Bond Fund Fiduciary share
class posted a total return of 7.97%. (For information on other share classes
and performance comparisons to indexes, please see page 11.)
In general, interest rates declined by approximately one percentage point during
the fiscal year. The Fund's Fiduciary share class 30-day SEC yield also
declined, dropping from 6.70% on June 30, 1997, to 6.13% on June 30, 1998.
WAS THERE A PARTICULAR TYPE OF SECURITY THAT AFFECTED PERFORMANCE?
Even though the Fund's yield fell, it remained attractive due to the Fund's
emphasis on higher-yielding investment-grade securities. Included among those
securities are Yankee bonds (U.S. dollar-denominated foreign bonds), which
performed well and contributed greatly to the Fund's total return until the
fourth quarter of 1997. As the financial crisis overtook Asia, the value of the
Fund's Asian Yankee bonds declined rapidly and, at 10% of Fund assets, caused
significant underperformance. Once prices stabilized and began to improve, we
implemented a control strategy for these bonds, reducing them to only 1.5% of
Fund assets. This measured reduction caused the Fund's performance to return to
above-average.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
The Fund's strategy is to try to maintain a relatively stable duration of
approximately 4.6 years and to enhance yield through a widely diversified
portfolio of corporate bonds and mortgage securities. (Duration is a measure of
a fund's price sensitivity to interest rate changes. A longer duration indicates
greater sensitivity; a shorter duration indicates less.) We purposely avoid
making significant changes to the Fund's duration, because we manage the Fund
primarily to maximize income, rather than to seek capital gains by making "bets"
on interest rate movements. We try to maintain a neutral duration and position
the Fund to earn a relatively good rate of interest income.
This strategy has worked well, as the Fund has been able to generate incremental
returns without incurring additional interest rate risk. At the same time, the
strategy involves some exposure to credit risk, which, for short periods of
time, may adversely affect returns, as witnessed in late-1997. But, over full
interest rate and credit cycles, the strategy has proven successful to date.
DID THE FUND'S OVERALL QUALITY CHANGE DURING THE YEAR?
In April 1997, shareholders approved a measure that allows the Fund to invest up
to 30% of its assets in high-yield securities, or those rated BB or B. As
outlined at that time, the Fund's entry into this sector will be slow and
measured. Since then, we have added a 4% exposure to BB-rated bonds.
The Fund maintained a good quality profile during the fiscal year, with 52% of
its assets invested in securities rated AAA; 5% in those rated AA; 16% in
A-rated; 23% in BBB-rated; and 4% in BB-rated. The Fund's overall quality rating
was A+ at the end of the year.
WHAT IS YOUR OUTLOOK FOR THE FUND?
Moving forward, we expect economic growth to continue, but at a slower pace. We
also expect inflation to remain low for the near term. The bond market
environment is likely to be characterized as a "trading range," which is a
market that doesn't change much. In such a climate, higher-yielding securities
typically produce better results.
In the corporate sector, a potential negative influence is the steady decline in
corporate earnings growth, which could cause corporate yield spreads to widen.
(Corporate spreads refer to the difference in yield between corporate bonds and
comparable-maturity Treasury bonds. When spreads widen, prices on corporate
bonds decline, and vice versa.) A strong offset to this, though, is the healthy
economy, which gives us reason not to abandon this sector. As a precaution, we
will focus on corporate bonds with maturities of five years or less. In the
mortgage market, most of the Fund's recent purchases have been 15-year, current
coupon issues, which we believe are less likely to be refinanced even if
interest rates fall further.
/s/ Roger Craig
Roger Craig
Fund Manager
/s/ Gary J. Madich
Gary J. Madich, CFA
Senior Managing Director of Fixed-Income Securities
Please refer to the prospectus and the accompanying financial statements for
further information about your Fund.
10
<PAGE> 13
The One Group Income Bond Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1998
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1998
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (7/2/87)
<S> <C> <C> <C> <C>
Fiduciary 7.97% 5.85% 7.63% 7.30%
</TABLE>
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
Lipper
Lehman Inertmediate
Brothers Investment
Measurement Period Aggregate Bond Grade Bond
(Fiscal Year Covered) Index Funds Index Fiduciary
<S> <C> <C> <C>
6/88 $10,000 $10,000 $10,000
6/89 11,222 11,005 10,732
6/90 12,103 11,632 11,417
6/91 13,397 12,632 12,467
6/92 15,278 14,394 14,193
6/93 17,079 16,087 15,701
6/94 16,857 15,872 15,352
6/95 18,972 17,634 17,086
6/96 19,923 18,492 17,876
6/97 21,547 19,901 19,324
6/98 $23,818 $21,817 $20,864
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1998
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (2/18/92)
<S> <C> <C> <C>
Class A 7.82% 5.60% 6.64%
Class A* 3.00% 4.63% 5.87%
</TABLE>
* Reflects 4.50% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
Lipper
Lehman Intermediate
Brothers Investment
Measurement Period Aggregate Bond Grade Bond
(Fiscal Year Covered) Index Funds Index Class A* Class A
<S> <C> <C> <C> <C>
2/92 $10,000 $10,000 $ 9,550 $10,000
6/92 10,345 10,356 9,901 10,368
6/93 11,564 11,574 10,948 11,464
6/94 11,413 11,420 10,693 11,197
6/95 12,845 12,688 11,859 12,418
6/96 13,490 13,305 12,365 12,947
6/97 14,589 14,319 13,335 13,964
6/98 $16,127 $15,702 $14,381 $15,052
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1998
<TABLE>
<CAPTION>
Since
Inception
1 Year (1/14/94)
<S> <C> <C>
Class B 7.13% 5.07%
Class B** 3.13% 4.70%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
Lipper
Lehman Intermediate
Brothers Investment
Measurement Period Aggregate Bond Grade Bond
(Fiscal Year Covered) Index Funds Index Class B** Class B
<S> <C> <C> <C> <C>
1/94 $10,000 $10,000 $10,000 $10,000
6/94 9,485 9,488 9,471 9,471
6/95 10,675 10,542 10,478 10,478
6/96 11,211 11,055 10,860 10,860
6/97 12,124 11,897 11,637 11,637
6/98 $13,402 $13,046 $12,274 $12,466
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The performance of the Income Bond Fund is measured against the Lehman Brothers
Aggregate Bond Index, an unmanaged index comprised of US Government, mortgage,
corporate and asset-backed securities. Investors are unable to purchase the
index directly, although they can invest in the underlying securities. The
performance of the index does not reflect the deduction of expenses associated
with a mutual fund, such as investment management. By contrast, the performance
of the fund reflects the deduction of these value-added services as well as the
deduction of sales charges on Class A Shares and applicable contingent deferred
sales charges on Class B Shares.
The Lipper Intermediate Investment Grade Bond Funds Index consists of the
equally weighted average monthly return of the largest funds within the universe
of all funds in the category.
11
<PAGE> 14
The One Group Treasury & Agency Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1998
HOW DID THE FUND PERFORM?
For the year ended June 30, 1998, The One Group Treasury & Agency Fund Fiduciary
share class returned 7.91%. (For information on other share classes and
performance comparisons to indexes, please see page 13.)
In response to the weakening global economy led by the turmoil in Asia, market
yields generally declined during the year and bond prices increased. Following
suit, the Fund's share price increased by approximately 1%, and the Fund's
30-day SEC yield declined from 6.04% on June 30, 1997, to 5.37% on June 30, 1998
(Fiduciary share class).
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
With a focus on Treasuries, our primary strategy during the year was to select
those Treasury securities that offered the highest potential return. To do this,
we analyzed the yield differentials and possible future dynamics for Treasury
securities of different maturities. Our research indicated that Treasuries in
the one- to two-year, four-year and seven- to eight-year maturity ranges were
the most attractive, and we subsequently purchased those securities.
We also invested in select federal agency securities, which provided some yield
advantage over Treasuries. In addition, we invested in certain callable
securities when our analysis indicated that the return potential more than
compensated for any chance that the security may be "called" prior to maturity.
(The call feature refers to the bond issuer's right to repay, or "call," the
bond before the scheduled maturity date. Securities that have this feature
typically offer higher yields in return for the call risk.) In fact, the best
relative performance came from callable federal agency bonds. The Fund benefited
from the relatively higher yields on these securities, and, because interest
rates only moved down modestly, the securities were not called.
We maintained the Fund's duration close to its target of 2.9 years, except
during the fourth quarter of 1997, when concerns about events in Asia caused us
to lower duration to 2.6 years. (Duration is a measure of a fund's sensitivity
to interest rate changes. A longer duration indicates greater sensitivity; a
shorter duration indicates less.) As it turned out, Asia had a greater impact on
slowing the U.S. economy than we originally expected, so we brought the Fund's
duration back to 2.9 years. This enabled the Fund to experience greater benefits
from the declining rate environment.
WHAT IS YOUR OUTLOOK FOR THE FUND?
We expect market yields and bond prices to fluctuate, but not to change
significantly from today's levels. As such, we plan to maintain the Fund's
duration of 2.9 years into fiscal year 1999. It's likely that we will increase
the Fund's agency holdings to capture yield advantages over Treasuries. In
addition, we will continue to invest in callable securities, as we do not expect
dramatic fluctuations in the bond market.
/s/ Scott E. Grimshaw
Scott E. Grimshaw
Fund Manager
/s/ Gary J. Madich
Gary J. Madich, CFA
Senior Managing Director of Fixed-Income Securities
Please refer to the prospectus and the accompanying financial statements for
further information about your Fund.
12
<PAGE> 15
The One Group Treasury & Agency Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1998
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1998
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (4/30/88)
<S> <C> <C> <C> <C>
Fiduciary 7.91% 6.30% 7.42% 7.39%
</TABLE>
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
Lehman
Brothers
Measurement Period Intermediate
(Fiscal Year Covered) Treasury Index Lipper Mix Fiduciary
<S> <C> <C> <C>
6/88 $10,000 $10,000 $10,000
6/89 11,005 11,005 10,904
6/90 11,844 11,834 11,715
6/91 13,082 12,876 12,804
6/92 14,767 14,104 14,132
6/93 16,263 15,048 15,073
6/94 16,232 15,232 15,313
6/95 17,809 16,356 17,047
6/96 18,679 17,205 17,730
6/97 19,961 18,219 18,962
6/98 $21,642 $19,402 $20,462
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1998
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (4/30/88)
<S> <C> <C> <C> <C>
Class A 8.10% 6.16% 7.21% 7.18%
Class A* 4.85% 5.53% 6.88% 6.86%
</TABLE>
* Reflects 3.00% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
Lehman
Brothers
Measurement Period Intermediate
(Fiscal Year Covered) Treasury Index Lipper Mix Class A* Class A
<S> <C> <C> <C> <C>
6/88 $10,000 $10,000 $ 9,700 $10,000
6/89 11,005 11,005 10,540 10,866
6/90 11,844 11,834 11,310 11,660
6/91 13,082 12,876 12,326 12,707
6/92 14,767 14,104 13,569 13,989
6/93 16,263 15,048 14,427 14,873
6/94 16,232 15,232 14,637 15,090
6/95 17,809 16,356 16,230 16,732
6/96 18,679 17,205 16,843 17,364
6/97 19,961 18,219 17,994 18,551
6/98 $21,642 $19,402 $19,452 $20,054
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1998
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (4/30/88)
<S> <C> <C> <C> <C>
Class B 7.33% 5.59% 6.66% 6.63%
Class B** 4.33% 5.59% 6.66% 6.63%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
Lehman
Brothers
Measurement Period Intermediate
(Fiscal Year Covered) Treasury Index Lipper Mix Class B** Class B
<S> <C> <C> <C> <C>
6/88 $10,000 $10,000 $10,000 $10,000
6/89 11,005 11,005 10,813 10,813
6/90 11,844 11,834 11,539 11,539
6/91 13,082 12,876 12,525 12,525
6/92 14,767 14,104 13,719 13,719
6/93 16,263 15,048 14,515 14,515
6/94 16,232 15,232 14,636 14,636
6/95 17,809 16,356 16,176 16,176
6/96 18,679 17,205 16,695 16,695
6/97 19,961 18,219 17,747 17,747
6/98 $21,642 $19,402 $19,048 $19,048
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The above-quoted performance data includes the performance of the Treasury &
Agency Collective Trust Fund for the period prior to the commencement of
operations of the Treasury & Agency Fund on January 20, 1997, adjusted to
reflect the deduction of fees and expenses (absent any waivers) applicable to
the Fiduciary, Class A and Class B shares of the Treasury & Agency Fund. The
Treasury & Agency Collective Trust Fund was not registered under the Investment
Company Act of 1940 ("1940 Act") and, therefore, was not subject to certain
investment restrictions, limitations and diversification requirements imposed by
the 1940 Act and the Internal Revenue Code. If the Treasury & Agency Collective
Trust Fund had been registered under the 1940 Act, its performance may have been
adversely affected.
The performance of the Treasury & Agency Fund is measured against the Lehman
Brothers Intermediate Treasury Index, an unmanaged index comprised of US
Treasury-issued securities with maturities of one to ten years. Investors are
unable to purchase the index directly, although they can invest in the
underlying securities. The performance of the index does not reflect the
deduction of expenses associated with a mutual fund, such as investment
management. By contrast, the performance of the fund reflects the deduction of
these value-added services as well as the deduction of sales charges on Class A
Shares and applicable contingent deferred sales charges on Class B Shares.
The Lipper Mix for all the classes consists of the average monthly returns of
the Lipper Intermediate Treasury Bond Funds Index from April 1988 through
December 1989. Thereafter, the data is from the Lipper Short US Government Bond
Funds Index which corresponds with the initiation of the Index on January 1,
1989. The Lipper Indices consist of the equally weighted average monthly return
of the largest funds within the universe of all funds in the category.
13
<PAGE> 16
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
Ultra Short-Term Income Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1998
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- --------------------------------- --------
<C> <S> <C>
ASSET BACKED SECURITIES (20.1%):
$ 718 Auto Finance Group, Inc., Series
1997-B, Class B, 6.40%,
2/15/03........................ $ 719
1,437 Auto Finance Group, Inc., Series
1997-B, Class C, 7.00%,
2/15/03........................ 1,418
1,897 Countrywide Home Equity, Series
1997-D, Class A, 5.86%,
12/15/23*...................... 1,897
4,157 Greentree Financial Home Equity
Loan, Series 1997-D, 5.88%,
9/15/28*....................... 4,157
4,776 Greentree Financial Home Equity
Loan, Series 1998-B, Class A1B,
ARM, 5.88%, 11/15/29*.......... 4,774
2,732 Hyundai Auto Receivables Trust,
Series 1998-A, Class A1, 5.90%,
4/15/01........................ 2,730
2,000 Loop Funding Master Trust I,
Series 1997-A144, Class C1,
6.44%, 12/26/07*............... 2,000
5,000 MBNA Master Credit Card Trust,
Series 1997-E, Class B, 5.94%,
9/15/04*....................... 5,000
2,242 Merrill Lynch Home Equity Loan,
Series 1997-1, Class A, 5.83%,
9/25/27*....................... 2,242
747 Morgan Stanley Capital Issue,
Series 1997-C1, Class A2,
6.05%, 2/15/20*................ 745
3,000 People's Bank Credit Card Master
Trust, Series 1997-2, Class B,
5.98%, 4/15/05*................ 2,999
1,283 Structured Asset Securities
Corp., Series 1997-1, Class B2,
6.52%, 11/15/26*............... 1,291
886 Structured Asset Securities
Corp., Series 1997-C1, Class D,
6.26%, 8/25/00*................ 886
1,942 Structured Asset Securities
Corp., Series 1998-C2A, Class
C, 6.09%, 1/25/01*............. 1,941
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- --------------------------------- --------
<C> <S> <C>
ASSET BACKED SECURITIES, CONTINUED:
$ 1,969 Structured Asset Securities
Corp., Series 1998-C2A, Class
D, 6.26%, 1/25/01*............. $ 1,968
5,000 Student Loan Marketing Assoc.,
Series 1997-3, 6.02%,
10/25/12*...................... 5,007
3,697 The Money Store Home Equity
Trust, Series 1993-D, Series
A2, 5.08%, 2/15/18............. 3,655
286 UCFC Home Equity Loan, Series
1993-B2, Class A2, 6.20%,
7/25/14........................ 285
--------
Total Asset Backed Securities 43,714
--------
COLLATERALIZED MORTGAGE OBLIGATIONS (14.8%):
3,543 AMAC, Series 1998-1, Class A5,
6.50%, 4/25/28................. 3,560
2,058 American Housing Trust, Series
VII, Class D, 9.25%,
11/25/20....................... 2,357
1,103 Chemical Mortgage Acceptance
Corp., Series 1988-2, Class A,
7.46%, 5/25/18*................ 1,131
3,276 Citicorp Mortgage Securities,
Series 1988-17, Class A1,
7.29%, 11/25/18*............... 3,328
2,007 First Boston Mortgage Securities,
Series 1992-5, Class 2A, 7.67%,
1/25/23*....................... 2,056
5,000 GE Capital Mortgage Services,
Inc., Series 1998-10, Class
1A2, 6.50%, 5/25/28............ 5,021
2,679 Glendale Federal Bank, Series
1990-1, Class A, 7.11%,
10/25/29*...................... 2,727
2,000 Nomura Depositor Trust, Series
1998-ST1, Class A2, 6.08%,
1/15/03*....................... 2,002
1,595 Nomura Mortgage Capital Corp.,
Series 1990-1, Class H, 7.00%,
6/17/20........................ 1,621
510 Prudential Home Mortgage
Securities, Series 1992-45,
Class A4, 6.50%, 1/25/00....... 512
</TABLE>
Continued
14
<PAGE> 17
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
Ultra Short-Term Income Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1998
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- --------------------------------- --------
<C> <S> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED:
$ 2,882 Salomon Brothers Mortgage
Securities, Series 1987-2,
Class A, 7.09%, 12/25/17*...... $ 2,932
3,926 Salomon Brothers Mortgage
Securities, Series 1988-2,
Class A, 6.70%, 6/25/18*....... 3,907
1,105 Sears Mortgage Securities Corp.
Services, Series 1992-18A,
Class A3, 7.78%, 9/25/22*...... 1,125
--------
Total Collateralized Mortgage Obligations 32,279
--------
CORPORATE BONDS (3.2%):
Financial Services (3.2%):
2,000 Lehman Brothers Holdings, 6.21%,
6/3/02*........................ 1,987
5,000 MBNA Corp., 6.29%, 5/23/03*...... 5,015
--------
Total Corporate Bonds 7,002
--------
U.S. GOVERNMENT AGENCY MORTGAGES (61.2%):
Federal Home Loan Mortgage Corp. (16.6%):
1,934 6.00%, 10/1/00, Gold Pool
#G50424........................ 1,950
971 7.50%, 7/15/06, Series 1106,
Class E........................ 995
2,000 6.50%, 5/15/09, Series 1628 LC... 2,072
3,393 8.00%, 12/1/09, Pool #G10314..... 3,509
95 8.00%, 1/1/10, Pool #E00355...... 98
2,671 8.00%, 1/1/10, Pool #G10307...... 2,762
358 8.00%, 4/1/10, Pool #E00371...... 370
2,229 7.86%, 5/1/18, Pool #840160, 1
Year CMT ARM*.................. 2,305
7,380 3.50%, 11/15/21, Series 1584
HA............................. 6,481
413 6.91%, 12/1/21, Pool #645083, 1
Year CMT ARM*.................. 415
3,943 7.79%, 2/1/23, Pool #845297...... 4,089
4,894 6.14%, 12/15/23, Series 1637 LG,
CMO*........................... 4,839
2,110 9.00%, 2/1/25, Pool #C00387...... 2,248
4,014 6.44%, 6/1/26, Pool #785586, 1
Year CMT ARM*.................. 4,051
--------
36,184
--------
Federal National Mortgage Assoc. (32.6%):
295 6.50%, 11/1/03, Pool #44174...... 302
1,281 5.75%, 9/1/06, Pool #411526...... 1,271
1,804 6.50%, 4/1/16, Pool #344051...... 1,814
908 6.75%, 3/1/17, Pool #47109, 1
Year CMT ARM*.................. 921
1,501 7.01%, 5/1/18, Pool #75505, 6
Month T-Bill ARM*.............. 1,548
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- --------------------------------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Federal National Mortgage Assoc., continued:
$ 421 6.82%, 6/1/18, Pool #70793, 6
Month T-Bill ARM*.............. $ 436
2,542 7.12%, 1/1/20, Pool #90031, 1
Year CMT ARM*.................. 2,600
1,828 6.25%, 1/25/20, Series 1993-102
G.............................. 1,840
1,676 7.70%, 5/1/20, Pool #96195*...... 1,725
5,346 7.18%, 7/1/20, Pool #133558, 1
Year CMT ARM* (b).............. 5,466
2,428 7.35%, 12/1/20, Pool #116590, 1
Year CMT ARM*.................. 2,501
2,689 6.60%, 12/25/20, Series 1990-145,
Class A, CMO*.................. 2,705
1,519 7.30%, 4/1/21, Pool #70983, 1
Year CMT ARM*.................. 1,554
957 9.00%, 8/1/21, Pool #348983...... 1,001
878 7.81%, 11/1/21, Pool #124510, 1
Year CMT ARM*.................. 919
421 7.75%, 11/1/22, Pool #193013, 1
Year CMT ARM*.................. 434
2,309 7.31%, 3/1/23, Pool #202670,
6 Month CD ARM*................ 2,397
1,352 7.54%, 11/1/23, Pool #241828,
6 Month CD ARM*................ 1,396
578 8.50%, 7/1/24, Pool #342036...... 606
1,056 8.50%, 10/1/24, Pool #345876..... 1,105
1,265 9.00%, 4/1/25, Pool #370122...... 1,323
778 7.63%, 7/1/25, Pool #326092, 1
Year CMT ARM*.................. 806
1,190 9.00%, 8/1/25, Pool #361354...... 1,245
4,784 7.63%, 6/1/26, Pool #313555*..... 4,897
1,315 7.48%, 11/1/26, Pool #363030, 1
Year CMT ARM*.................. 1,346
3,081 6.29%, 3/18/27, Series 1997-7 FB,
CMO*........................... 3,084
3,725 7.27%, 7/1/27, Pool #70179, 1
Year CMT ARM*.................. 3,841
4,600 7.00%, 12/1/25, Pool #315687,
COFI ARM TBA................... 4,629
4,101 6.22%, 10/1/28, Pool #67694, COFI
ARM*........................... 4,130
4,567 6.20%, 8/1/29, Pool #303742*..... 4,598
3,981 7.66%, 1/1/31, Pool #124945, 1
Year CMT ARM*.................. 4,155
4,146 6.22%, 5/1/36, Pool #313600*..... 4,175
--------
70,770
--------
Government National Mortgage Assoc. (12.0%):
1,830 9.00%, 11/15/24, Pool #780029.... 1,988
45 6.88%, 2/20/27, Pool #80045...... 46
</TABLE>
Continued
15
<PAGE> 18
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
Ultra Short-Term Income Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1998
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- --------------------------------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Government National Mortgage Assoc., continued:
$13,883 6.00%, 7/20/27, Pool #80094, 1
Year CMT ARM................... $ 14,143
4,864 8.00%, 10/15/27, Pool #412336.... 5,043
4,754 6.00%, 11/20/27, Pool #80136*.... 4,831
--------
26,051
--------
Total U.S. Government Agency Mortgages 133,005
--------
YANKEE & EURODOLLAR (1.0%):
1,275 BHN, Series 1997-1, Class A1,
7.10%, 3/25/11*................ 1,264
1,000 Poland (Discount Brady), 6.69%,
10/27/24*...................... 980
--------
Total Yankee & Eurodollar 2,244
--------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- --------------------------------- --------
<C> <S> <C>
REPURCHASE AGREEMENTS (1.7%):
$ 3,724 Prudential Securities, 6.10%,
7/1/98 (Collateralized by
$3,833 U.S. Treasury Bills,
9/3/98, market value $3,799)... $ 3,724
--------
Total Repurchase Agreements 3,724
--------
Total (Cost $221,196) (a) $221,968
========
</TABLE>
- ------------
Percentages indicated are based on net assets of $217,411.
(a) Represents cost for financial reporting and federal income tax purposes and
differs from value by net unrealized appreciation of securities as follows
(amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation..................................... $1,206
Unrealized depreciation..................................... (434)
------
Net unrealized appreciation................................. $ 772
======
</TABLE>
(b) Serves as collateral for futures contracts.
At June 30, 1998, the Portfolio's open futures contracts were as follows:
<TABLE>
<CAPTION>
CURRENT
NUMBER OPENING MARKET
OF POSITIONS VALUE
CONTRACTS CONTRACT TYPE (000) (000)
--------- ------------- ----- -----
<C> <S> <C> <C>
50 Short U.S. 5 Year Note March, 1998 Futures $ (5,463) $ (5,484)
75 Short U.S. 2 Year Note March, 1998 Futures (15,605) (15,628)
-------- --------
$(21,068) $(21,112)
======== ========
</TABLE>
* The interest rate, for this variable rate note, which will change
periodically, is based upon prime rates or an index of market rates. The rate
reflected on the Schedule of Portfolio Investments is the rate in effect at
June 30, 1998.
<TABLE>
<S> <C>
ARM Adjustable Rate Mortgage
CD Certificate of Deposit
CMO Collateralized Mortgage Obligation
CMT Collateralized Mortgage Trust
COFI Cost of Funds Index
TBA To be announced
</TABLE>
See notes to financial statements.
16
<PAGE> 19
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
Limited Volatility Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1998
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ----------------------------------- --------
<C> <S> <C>
ASSET BACKED SECURITIES (13.1%):
$ 1,488 Bay View Auto Trust, Series 97-RA1,
Class A1, 6.29%, 12/15/01........ $ 1,488
2,985 Case Equipment Loan Trust, Series
96-A, Class A2, 5.50%, 2/15/03... 2,981
5,000 CIT RV Trust, Series 1998-A, Class
B, 6.29%, 1/15/17................ 5,003
5,000 Citibank Credit Card Master Trust,
Series 1998-1, Class B, 5.88%,
1/15/03.......................... 4,987
7,750 Citibank, Master Trust, Series
97-9, Class A, 0.00%, 8/15/06.... 5,370
3,700 Consumer Portfolio Services, Series
1997-2 A, 6.65%, 10/15/02........ 3,730
2,073 Countrywide Asset-Backed
Certificate, 6.53%, 2/25/14...... 2,077
5,045 DVI Equipment Receivables Trust,
Series 1997-A, Class A, 6.45%,
1/15/04.......................... 5,069
3,909 Fifth Third Auto Grantor Trust,
1996-A, Class A, 6.20%,
9/15/01.......................... 3,923
3,320 Fifth Third Auto Grantor Trust,
1996-B, Class A, 6.45%,
3/15/02.......................... 3,338
5,000 Ford Motor Credit Auto Loan Master,
Series 1995-1, Class A, 6.50%,
8/15/02.......................... 5,061
5,000 Ford Motor Credit Auto Owner Trust,
Series 1998-B, Class B, 6.15%,
9/15/02.......................... 5,024
6,500 Metris Mastertrust, 7.11%,
10/1/05.......................... 6,764
7,569 Newcourt Receivables Trust, Series
1996-3, Class A, 6.24%,
12/20/04......................... 7,572
1,067 Olympic Automobile Receivables
Trust, Series 1996-D, Class A2,
5.75%, 4/15/00................... 1,066
4,425 Olympic Automobile Receivables
Trust, Series 1996-D, Class A3,
5.95%, 6/15/01................... 4,428
7,000 Proffitt's Credit Card Master
Trust, Series 1997-2, Class B,
6.69%, 12/15/05.................. 7,172
5,000 Ryder Vehicle Lease, Series 1998-A,
Class A, 6.10%, 9/15/08.......... 5,009
--------
Total Asset Backed Securities 80,062
--------
COMMERCIAL MORTGAGE BACKED SECURITIES (0.9%):
5,281 CMC Securities Corp. III, Series
1994-D, Class M, 6.00%,
3/25/24.......................... 5,217
--------
Total Commercial Mortgage Backed Securities 5,217
--------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ----------------------------------- --------
<C> <S> <C>
CORPORATE BONDS (16.0%):
Banking, Finance & Insurance (13.5%):
$ 3,000 Avco Financial Services, 7.25%,
7/15/99.......................... $ 3,045
5,000 Bear Stearns, 6.13%, 2/1/03........ 4,950
1,000 Caterpillar Financial Services,
6.35%, 4/1/99.................... 1,004
3,000 Citicorp, 8.00%, 2/1/03............ 3,221
1,000 Dean Witter Discover & Co., 6.25%,
3/15/00.......................... 1,006
7,000 Ford Motor Credit Corp., 8.38%,
1/15/00.......................... 7,254
1,850 Ford Motor Credit Corp., 7.45%,
4/13/00.......................... 1,899
2,650 GMAC, 7.13%, 5/10/00............... 2,703
5,000 GMAC, 6.75%, 2/7/02................ 5,106
7,000 Goldman Sachs Group, 7.80%,
7/15/02, 144A.................... 7,420
5,000 Goldman Sachs Group, 6.65%, 8/1/03,
144A............................. 5,088
10,000 Greenwich Capital, 7.04%, 12/13/99,
144A............................. 9,997
3,250 HSBC Financial, 7.40%, 4/15/03..... 3,372
4,871 J.P. Morgan Commercial Mortgage
Financial Corp., 6.37%,
1/15/30.......................... 4,916
5,000 Lehman Brothers Holdings, Inc.,
7.63%, 8/1/98.................... 5,005
4,500 Lehman Brothers Holdings, Inc.,
8.88%, 11/1/98................... 4,540
3,000 Lehman Brothers Holdings, Inc.,
10.00%, 5/15/99.................. 3,100
4,000 Lehman Brothers Holdings, Inc.,
9.88%, 10/15/00.................. 4,320
5,000 Visa International, 6.72%, 2/4/02,
144A............................. 5,059
--------
83,005
--------
Industrial Goods & Services (2.5%):
5,000 Avon Products, 6.25%, 5/1/03,
144A............................. 5,038
5,000 Carpenter Technology, 6.28%,
4/7/03........................... 5,019
5,000 Sears Roebuck Co., 6.69%,
8/13/01.......................... 5,087
--------
15,144
--------
Total Corporate Bonds 98,149
--------
OTHER MORTGAGE BACKED SECURITIES (1.5%):
5,150 Evans Withycombe Finance Trust,
Series 1, Class A1, 7.98%,
8/1/01........................... 5,423
3,987 Nomura Mortgage Capital Corp.,
Series 90-1, Class H, 7.00%,
6/17/20.......................... 4,052
--------
Total Other Mortgage Backed Securities 9,475
--------
</TABLE>
Continued
17
<PAGE> 20
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
Limited Volatility Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1998
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ----------------------------------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES (36.6%):
Federal Home Loan Mortgage Corp. (15.6%):
$ 1,628 6.50%, 1/1/01, Pool #M8038......... $ 1,644
8,348 7.00%, 1/1/02, Pool #G50415........ 8,481
9,026 6.50%, 5/1/02, Pool #G50444........ 9,116
289 9.00%, 12/1/05, Pool #G00005....... 302
281 9.00%, 1/1/06, Pool #G00012........ 294
559 8.00%, 10/1/06, Pool #G00052....... 577
1,807 7.00%, 3/1/07, Pool #G34594........ 1,847
2,162 7.50%, 4/1/07, Pool #G00084........ 2,229
1,665 7.00%, 4/1/07, Pool #G00087........ 1,701
2,667 7.50%, 11/1/07, Pool #E00165....... 2,749
3,519 8.50%, 2/1/08, Gold Pool #10133.... 3,667
1,852 7.00%, 12/1/08, Pool #E20065....... 1,895
1,900 8.00%, 1/1/10, Pool #G00355........ 1,960
5,766 8.00%, 2/1/10, Pool #G10328........ 5,950
8,236 7.00%, 10/1/10, Gold Pool
#E61709.......................... 8,416
11,633 7.00%, 5/1/11, Pool #E20241........ 11,898
9,967 6.50%, 5/1/13, Pool #E70383........ 10,036
5,404 5.25%, 9/15/15, REMIC/CMO, Series
1638, Class BC................... 5,392
13,209 8.25%, 12/15/16, REMIC/CMO, Series
1770, Class PD................... 13,455
3,780 6.68%, 10/1/26, Pool #785652....... 3,860
--------
95,469
--------
Federal National Mortgage Assoc. (15.5%):
8,390 6.50%, 8/1/01, Pool #190976........ 8,463
14,156 7.00%, 7/17/05, Series 97-26 Gd.... 14,521
166 9.00%, 9/1/05, Pool #50340......... 174
20,079 6.60%, 10/18/05, Series 97-26 B.... 20,340
171 9.00%, 11/1/05, Pool #50361........ 179
172 8.50%, 4/1/06, Pool #116875........ 179
13,804 7.42%, 9/1/06, Pool #73618......... 14,978
6,150 7.00%, 6/1/10, Pool #315928........ 6,282
5,542 6.50%, 9/1/10, Pool #325479........ 5,598
4,422 6.50%, 10/1/10, Pool #250377....... 4,466
2,692 7.00%, 11/1/10, Pool #250387....... 2,750
2,947 7.50%, 2/1/11, Pool #303755........ 3,037
9,732 6.50%, 4/1/13, Pool #425396........ 9,790
5,000 6.50%, 6/25/13, Series 94-1 K...... 5,064
--------
95,821
--------
Government National Mortgage Assoc. (2.1%):
2 8.00%, 2/15/02, Pool #192917....... 2
17 8.00%, 3/15/02, Pool #209172....... 18
3 9.00%, 6/15/02, Pool #229311....... 3
43 9.00%, 10/15/02, Pool #229569...... 45
12 8.00%, 6/15/05, Pool #28827........ 12
9 9.00%, 9/15/05, Pool #292569....... 9
53 9.00%, 10/15/05, Pool #292589...... 56
14 8.00%, 5/15/06, Pool #303851....... 14
5 8.00%, 7/15/06, Pool #307231....... 5
38 8.00%, 8/15/06, Pool #311166....... 39
36 8.00%, 9/15/06, Pool #311301....... 37
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ----------------------------------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Government National Mortgage Assoc., continued:
$ 272 8.00%, 10/15/06, Pool #316915...... $ 282
77 8.00%, 11/15/06, Pool #315078...... 80
224 8.00%, 11/15/06, Pool #313528...... 233
97 8.00%, 11/15/06, Pool #316671...... 101
41 8.00%, 11/15/06, Pool #311131...... 42
353 8.00%, 11/15/06, Pool# 312210...... 366
143 8.00%, 12/15/06, Pool #311384...... 149
97 8.00%, 1/15/07, Pool #317663....... 100
258 8.00%, 2/15/07, Pool #316086....... 268
68 8.00%, 3/15/07, Pool #178684....... 71
164 8.00%, 3/15/07, Pool #318825....... 170
128 8.00%, 4/15/07, Pool #316441....... 133
7,567 6.88%, 11/20/25, Pool #8746 ARM.... 7,723
3,013 7.00%, 1/20/26, Pool #8790......... 3,073
--------
13,031
--------
U.S. Government Agencies (3.4%):
20,000 Tennessee Valley Authority, 8.38%,
10/1/99.......................... 20,600
--------
Total U.S. Government Agency Mortgages 224,921
--------
U.S. GOVERNMENT AGENCY SECURITIES (14.5%):
Federal Home Loan Bank (5.8%):
750 5.99%, 8/27/98..................... 750
1,000 5.97%, 8/27/98..................... 1,001
2,000 5.64%, 11/9/98..................... 2,000
4,000 6.60%, 4/13/99 (b)................. 4,030
17,000 5.58%, 2/23/01 (b)................. 16,900
10,000 7.78%, 10/19/01 (b)................ 10,619
--------
35,300
--------
Federal National Mortgage Assoc. (8.7%):
2,000 5.55%, 3/12/99..................... 1,999
4,000 6.35%, 4/8/99...................... 4,022
22,000 5.72%, 3/8/01 (b).................. 22,014
10,000 6.16%, 3/29/01 (b)................. 10,117
15,000 6.50%, 7/16/07..................... 15,687
--------
53,839
--------
Total U.S. Government Agency Securities 89,139
--------
U.S. TREASURY OBLIGATIONS (15.1%):
U.S. Treasury Notes (8.3%):
1,500 6.38%, 1/15/99 (b)................. 1,506
3,000 6.50%, 4/30/99 (b)................. 3,025
16,300 5.88%, 11/15/99 (b)................ 16,377
3,500 8.50%, 2/15/00 (b)................. 3,660
4,000 8.88%, 5/15/00 (b)................. 4,239
1,250 6.13%, 9/30/00 (b)................. 1,266
15,000 6.38%, 9/30/01 (b)................. 15,361
5,000 6.25%, 8/31/02 (b)................. 5,130
--------
50,564
--------
</TABLE>
Continued
18
<PAGE> 21
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
Limited Volatility Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1998
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ----------------------------------- --------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS, CONTINUED:
U.S. Treasury STRIPS (6.8%):
$17,500 2/15/00 (b)........................ $ 16,040
18,500 11/15/01 (b)....................... 15,422
15,500 7/15/05............................ 10,486
--------
41,948
--------
Total U.S. Treasury Obligations 92,512
--------
YANKEE & EURODOLLAR (0.8%):
5,000 Peoples Republic of China, 7.38%,
7/3/01 (b)....................... 5,031
--------
Total Yankee & Eurodollar 5,031
--------
REPURCHASE AGREEMENTS (0.8%):
4,688 Prudential Securities, 6.10%,
7/1/98, (Collateralized by $4,825
U.S. Treasury Bills, 9/3/98,
market value $4,782)............. 4,688
--------
Total Repurchase Agreements 4,688
--------
SHORT-TERM SECURITIES HELD AS COLLATERAL (9.0%):
Master Notes (1.5%):
2,527 Bear Stearns Mortgage Capital,
6.77%, 10/9/98*.................. 2,527
1,684 Danaher Corp., 6.68%, 10/9/98*..... 1,684
2,527 Merrill Lynch Mortgage Capital,
6.75%, 7/23/98*.................. 2,527
2,274 NationsBanc Capital Markets, 6.70%,
7/1/98*.......................... 2,274
--------
9,012
--------
Put Bonds (1.0%):
2,527 Citicorp, 5.94%, 8/3/98*........... 2,527
1,684 GMAC, 5.85%, 11/10/99*............. 1,687
1,684 Greenwich Capital, 6.11%,
12/13/99*........................ 1,684
--------
5,898
--------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ----------------------------------- --------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Repurchase Agreements (6.5%):
$ 9,264 Donaldson, Lufkin & Jenrette,
6.65%, 7/1/98 (Collateralized by
$9,472 various Corporate and
Government Securities,
2.85% - 17.25%, 10/15/02 -
4/15/35, market value $9,621).... $ 9,264
8,422 Goldman Sachs, 6.65%, 7/1/98
(Collateralized by $8,977 various
Corporate Bonds, 0.00%, 7/7/98 -
9/18/98, market value $8,944).... 8,422
18,530 Lehman Brothers, 6.65%, 7/1/98
(Collateralized by $18,993
various Corporate Bonds,
0.00% - 10.13%,
9/15/99 - 10/17/96, market value
$19,880)......................... 18,530
1,735 Lehman Brothers, 6.47%, 7/1/98
(Collateralized by $1,822 Media
One Group Bonds, 0.00%, 10/5/98,
market value $1,822)............. 1,735
2,190 Lehman Brothers, 6.00%, 7/1/98
(Collateralized by $13,709
various Government Securities,
0.00% - 10.00%, 12/1/18 - 5/1/24,
market value $2,254)............. 2,190
--------
40,141
--------
Total Short-Term Securities Held as
Collateral 55,051
--------
Total (Cost $654,845) (a) $664,245
========
</TABLE>
- ------------
Percentages indicated are based on net assets of $613,102.
(a) Represents cost for financial reporting and federal income tax purposes and
differs from value by net unrealized appreciation of securities as follows
(amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation..................................... $9,537
Unrealized depreciation..................................... (137)
------
Net unrealized appreciation................................. $9,400
======
</TABLE>
(b) A portion of this security was loaned as of June 30, 1998.
* The interest rate, for this variable rate note, which will change
periodically, is based upon prime rates or an index of market rates. The rate
reflected on the Schedule of Portfolio Investments is the rate in effect at
June 30, 1998.
ARM Adjustable Rate Mortgage
CMO Collateralized Mortgage Obligation
REMIC Real Estate Mortgage Investment Conduit
See notes to financial statements.
19
<PAGE> 22
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
Intermediate Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1998
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ----------------------------------- --------
<C> <S> <C>
ASSET BACKED SECURITIES (8.7%):
$ 1,000 Advanta Credit Card Master Trust,
Series 96-A, 6.00%, 11/15/05..... $ 1,025
309 Advanta Mortgage Loan Trust, Series
94-4, Class A1, 8.55%,
11/25/12......................... 314
5,000 Aesop Funding II, Series 97-1,
Class A2, 6.40%, 10/20/03........ 5,041
2,622 Aircraft Lease Portfolio
Securitization Ltd., Series 94-1,
Class A2, 7.15%, 9/15/04......... 2,639
552 Chase Manhattan Guarantor Trust,
Series 96-A, Class A, 5.20%,
2/15/02.......................... 550
5,440 Circuit City Credit Card Master
Trust, Series 95-1, Class A,
6.38%,
8/15/05.......................... 5,505
6,000 EQCC Home Equity Loan Trust, Series
96-4, Class A6, 6.88%,
7/15/14.......................... 6,180
2,000 First Bank Corporate Card Master
Trust, Series 97-1, Class B,
6.55%, 2/15/03................... 2,054
4,000 Greentree Financial Corp., Series
93-2, Class B, 8.00%, 7/15/18.... 4,200
3,000 Greentree Financial Home
Improvement Corp., Series 97-D,
Class HIA2, 6.45%, 10/15/23...... 3,030
5,000 Greentree Home Improvement Loan
Trust, Series 95-D, 6.95%,
9/15/25.......................... 5,075
10,000 KeyCorp Auto, Series 97-2A4, 6.15%,
10/15/01......................... 10,041
750 Prime Credit Card Master Trust,
Series 96-1, 6.70%, 7/15/04...... 767
5,000 Rental Car Finance, Series 97-1,
Class A2, 6.45%, 8/25/04......... 5,063
467 Sears Credit Account Master Trust,
Series 95-4, Class A, 6.25%,
1/15/03.......................... 468
4,000 Team Fleet Financing Corp., Series
97-1, Class A, 7.35%, 5/15/03.... 4,139
350 UFSB, Series 94-B, Class B, 6.43%,
7/10/00.......................... 350
2,296 Union Acceptance Corp., Series
95-D, 6.03%, 1/7/03.............. 2,296
6,000 World Financial Network Credit
Card, Series 96-1, Class A,
6.70%,
2/15/04.......................... 6,138
--------
Total Asset Backed Securities 64,875
--------
CORPORATE BONDS (20.0%):
Banking, Finance & Insurance (8.8%):
5,000 Bankers' Trust, 7.25%, 1/15/03..... 5,206
4,000 Capital One Bank, 6.61%, 6/22/99... 4,010
3,000 First Hawaiian, Inc., 6.25%,
8/15/00.......................... 3,008
1,000 Ford Motor Credit Corp., 6.63%,
6/30/03.......................... 1,023
4,000 General Motors Acceptance Corp.,
5.88%, 1/22/03................... 3,940
10,000 Goldman Sachs Group, 6.38%,
6/15/00.......................... 10,074
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ----------------------------------- --------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Banking, Finance & Insurance, continued:
$ 5,000 Greenwich Capital, 7.04%, 12/13/99,
Private Placement................ $ 4,999
5,000 International Lease, 6.38%,
8/1/02........................... 5,063
3,000 Lehman Brothers Holdings, Inc.,
9.88%, 10/15/00.................. 3,240
5,000 Lehman Brothers Holdings, Inc.,
8.88%, 3/1/02.................... 5,431
3,000 Lehman Brothers Holdings, Inc.,
7.25%, 4/15/03................... 3,124
6,000 Liberty Mutual Insurance, 8.20%,
5/4/07........................... 6,697
5,000 MBNA Corp., 6.29%, 5/23/03*........ 5,015
4,000 Metropolitan Life, 7.00%,
11/1/05.......................... 4,130
--------
64,960
--------
Gas & Electric Utility (1.4%):
2,500 Duke Power Co., 7.00%, 6/1/00...... 2,550
1,931 Kern River Fund, 6.42%, 3/31/01
(b).............................. 1,942
6,000 Ohio Power, 6.73%, 11/1/04......... 6,172
--------
10,664
--------
Industrial Goods & Services (5.1%):
5,000 Atlas Copco AB, 6.50%, 4/1/08...... 5,025
5,000 Cox Radio, Inc., 6.38%, 5/15/05,
Series 144A...................... 5,038
5,000 Excel Paralubes Funding, 7.13%,
11/1/11.......................... 5,255
2,000 Limited, Inc., 8.88%, 8/15/99...... 2,055
600 Lockheed Martin Corp., 9.38%,
10/15/99......................... 625
4,000 Oracle Corp., 6.72%, 2/15/04....... 4,105
5,000 Sears Roebuck Acceptance, Series
MTN3, 7.07%, 9/18/01............. 5,143
5,000 Thomas & Betts, Series MTN, 6.29%,
2/13/03.......................... 5,000
5,000 Tyco International Group SA, 6.25%,
6/15/03.......................... 4,988
650 VF Corp., 6.63%, 3/15/03........... 663
--------
37,897
--------
Real Estate (1.2%):
5,000 Meditrust, 7.60%, 7/15/01.......... 5,150
4,000 Prime Properties Funding, 6.80%,
8/15/02.......................... 4,080
--------
9,230
--------
Telecommunications (0.5%):
4,000 Cable & Wire Communications, 6.63%,
3/6/05........................... 4,045
--------
Yankee & Eurodollar (3.0%):
5,000 Avon Energy Partners, 7.05%,
12/11/07, Series 144A............ 5,200
3,000 D.R. Investments, 7.10%, 5/15/02... 3,090
4,000 Dao Heng Bank, 7.75%, 1/24/07...... 3,245
2,000 Kingdom of Thailand, 7.75%,
4/15/07 (b)...................... 1,788
</TABLE>
Continued
20
<PAGE> 23
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
Intermediate Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1998
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ----------------------------------- --------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Yankee & Eurodollar, continued:
$ 500 Nippon Telephone & Telegraph,
9.50%, 7/27/98................... $ 501
6,225 Petronas, 6.88%, 7/1/03 (b)........ 5,517
3,000 Ras Laffan Gas, 7.63%, 9/15/06..... 2,906
--------
22,247
--------
Total Corporate Bonds 149,043
--------
OTHER MORTGAGE BACKED SECURITIES (3.7%):
1,657 BHN, Series 97-1, Class A2, 7.92%,
7/25/09.......................... 1,641
4,000 Equitable, Series 174, Class A1,
7.24%, 5/15/06, Private
Placement........................ 4,258
2,000 J.P. Morgan & Co., Series 97, Class
C4, 7.47%, 12/26/28.............. 2,134
5,000 JPMC, Series 96-C2, Class B, 6.80%,
11/25/27......................... 5,113
5,000 MLMI, Series 97-C2 A2, 6.54%,
12/10/29......................... 5,140
4,000 Mortgage Capital Funding Inc.,
Series 96-MC2, Class A3, 7.08%,
9/20/06.......................... 4,188
1,740 Prudential Home Mortgage
Securities, 6.50%, 5/25/00....... 1,737
3,022 Wells Fargo Capital Markets, Series
96-1, Class A1, 6.56%,
12/29/05......................... 3,056
--------
Total Other Mortgage Backed Securities 27,267
--------
U.S. GOVERNMENT AGENCY MORTGAGES (40.4%):
Federal Home Loan Mortgage Corp. (15.5%):
9,294 6.50%, 10/1/04, Gold Pool
#M80495.......................... 9,384
2,000 7.00%, 6/15/06, Series #1457-PH,
CMO.............................. 2,035
49 8.00%, 4/1/07, Pool #160022........ 51
806 7.50%, 8/1/08, Gold Pool #G10117... 831
9,622 6.00%, 12/15/08, Series #1624,
CMO.............................. 9,595
2,897 8.50%, 1/1/10, Gold Pool #G10305... 3,019
1,450 8.50%, 1/1/10, Gold Pool #E00356... 1,511
203 7.00%, 8/1/10, Gold Pool #E20187... 208
3,165 7.00%, 9/1/10, Gold Pool #E00393... 3,237
2,873 7.50%, 7/1/11, Gold Pool #E20253... 2,964
8,733 7.00%, 9/1/12, Gold Pool #E00506... 8,896
6,753 6.50%, 1/1/13, Pool #E68904........ 6,799
9,798 6.50%, 4/1/13, Gold Pool #E69986... 9,865
5,029 6.50%, 4/1/13, Pool #E00542........ 5,064
8,000 8.00%, 2/15/20, Gold Series
#1770-PE, CMO.................... 8,185
3,000 6.00%, 4/15/20, Series #1534-F,
CMO.............................. 2,970
540 8.00%, 7/1/20, Gold Pool #A01047... 564
9,440 6.50%, 10/15/21, Series #1590-GA,
CMO.............................. 9,596
25 7.00%, 4/1/22, Pool #D17544........ 26
2,187 8.00%, 8/1/24, Pool #G00245........ 2,270
1,934 8.00%, 11/1/24, Gold Pool
#C00376.......................... 2,007
3,206 7.50%, 8/1/25, Gold Pool #C00414... 3,297
3,362 7.00%, 4/1/26, Pool #C00452........ 3,423
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ----------------------------------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED
Federal Home Loan Mortgage Corp., continued:
$ 3,107 6.98%, 7/1/26, Pool #785618........ $ 3,127
7,038 7.50%, 1/15/27, Series 1927, CMO... 7,544
9,968 6.50%, 3/1/28, Pool #D87734........ 9,938
--------
116,406
--------
Federal National Mortgage Assoc. (11.4%):
2 6.50%, 12/1/02, Pool #6345......... 2
1,511 8.00%, 9/25/04, Series 91-155G..... 1,544
1,504 6.75%, 12/25/04, Series 93-6C,
CMO.............................. 1,511
10,944 6.88%, 9/1/05, Pool #73192......... 11,408
7,613 6.95%, 4/1/06, Pool #73429......... 8,013
1,500 7.05%, 6/25/06, Series 93-11, Class
G................................ 1,516
515 7.00%, 1/1/07, Pool #145771........ 526
2,500 7.50%, 8/25/07, Series G92-48,
Class H, CMO..................... 2,553
189 7.50%, 11/1/09, Pool #158.......... 195
2,152 7.00%, 6/1/10, Pool #312903........ 2,198
3,741 6.50%, 12/1/10, Pool #322598....... 3,778
1,481 6.50%, 4/1/11, Pool #337903........ 1,496
199 7.50%, 5/1/14, Pool #57930......... 207
513 5.70%, 8/25/16, Series G93-39,
Class A, CMO..................... 508
91 7.00%, 4/1/17, Pool #44696......... 93
459 7.95%, 8/25/19, Series 90-14,
CMO.............................. 468
500 6.25%, 11/25/19, Series G93-32,
Class PG......................... 501
87 8.00%, 3/1/21, Pool #70825......... 91
2,000 5.00%, 5/25/22, Series G93-10,
Class G, CMO..................... 1,911
2,721 7.50%, 11/1/22, Pool #189190....... 2,807
9,700 6.00%, 3/25/23, Series 93-41....... 9,736
1,756 8.00%, 5/1/24, Pool #250066........ 1,825
3,232 8.50%, 7/1/24, Pool #250103........ 3,386
2,245 7.50%, 10/1/24, Pool #303031....... 2,312
754 8.50%, 5/1/25, Pool #308499........ 791
153 7.50%, 5/1/25, Pool #293928........ 158
664 7.50%, 5/1/25, Pool #311810........ 684
930 8.50%, 6/1/25, Pool #315277........ 976
2,763 7.00%, 7/1/25, Pool #290387........ 2,812
3,263 7.00%, 7/1/25, Pool #312931........ 3,321
3,931 7.13%, 6/1/26, Pool #341503........ 4,012
4,611 7.00%, 9/1/27, Pool #313687........ 4,698
9,000 6.00%, 11/1/27, Series 97-79,
Class PE......................... 8,806
--------
84,843
--------
Government National Mortgage Assoc. (13.5%):
3 11.00%, 6/15/99, Pool #110948...... 3
4 11.00%, 3/15/00, Pool #123750...... 4
5 10.00%, 12/15/00, Pool #136214..... 5
44 10.00%, 1/15/01, Pool #145167...... 46
33 10.00%, 1/15/01, Pool #145328...... 34
7 9.00%, 6/15/01, Pool #166985....... 7
1 9.00%, 6/15/01, Pool #164431....... 1
4 9.00%, 6/15/01, Pool #161443....... 4
3 8.50%, 6/15/01, Pool #162447....... 4
32 8.50%, 6/15/01, Pool #137056....... 33
57 6.50%, 6/15/01, Pool #1305......... 57
</TABLE>
Continued
21
<PAGE> 24
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
Intermediate Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1998
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ----------------------------------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED
Government National Mortgage Assoc., continued:
$ 7 9.00%, 7/15/01, Pool #155822....... $ 7
36 9.00%, 8/15/01, Pool #173460....... 37
49 8.50%, 8/15/01, Pool #164207....... 52
5 9.00%, 9/15/01, Pool #177121....... 5
48 9.00%, 10/15/01, Pool #179852...... 51
6 9.00%, 10/15/01, Pool #185596...... 6
3 9.00%, 10/15/01, Pool #177634...... 4
69 9.00%, 11/15/01, Pool #191819...... 72
8 9.00%, 11/15/01, Pool #174365...... 9
3 8.50%, 11/15/01, Pool #183462...... 3
43 8.50%, 12/15/01, Pool #199182...... 45
35 8.50%, 12/15/01, Pool #199837...... 37
9 8.50%, 12/15/01, Pool #182959...... 10
7 9.00%, 1/15/02, Pool #205001....... 8
40 8.00%, 3/15/02, Pool #210065....... 42
56 8.00%, 3/15/02, Pool #205933....... 59
39 8.50%, 5/15/02, Pool #213776....... 41
23 8.00%, 5/15/02, Pool #203042....... 24
51 8.00%, 5/15/02, Pool #180296....... 53
68 8.50%, 6/15/02, Pool #2297......... 71
30 9.00%, 8/15/02, Pool #232424....... 31
36 9.00%, 10/15/02, Pool #246307...... 38
9 9.00%, 11/15/02, Pool #235553...... 9
3 9.00%, 6/15/03, Pool #247863....... 3
31 8.50%, 9/15/04, Pool #274390....... 32
74 9.00%, 10/15/04, Pool #281655...... 77
47 9.00%, 10/15/04, Pool #229506...... 49
45 8.50%, 10/15/04, Pool #277469...... 47
90 8.50%, 11/15/04, Pool #253471...... 94
70 9.00%, 5/15/05, Pool #288771....... 74
26 9.00%, 6/15/05, Pool #283904....... 27
36 9.00%, 8/15/05, Pool #297031....... 38
29 9.50%, 10/15/05, Pool #291846...... 31
12 9.00%, 10/15/05, Pool #292589...... 12
75 9.00%, 11/15/05, Pool #292610...... 79
33 9.00%, 11/15/05, Pool #299161...... 35
30 9.00%, 12/15/05, Pool #299569...... 32
61 7.50%, 2/15/06, Pool #7855......... 64
70 8.50%, 4/15/06, Pool #307487....... 73
46 7.50%, 6/15/06, Pool #7855......... 48
29 8.00%, 10/15/06, Pool #11503....... 30
55 8.00%, 1/15/07, Pool #14709........ 58
25 7.50%, 4/15/07, Pool #16991........ 26
222 7.50%, 5/15/07, Pool #329528....... 230
62 7.50%, 7/15/07, Pool #17316........ 64
119 7.50%, 8/15/07, Pool #19015........ 124
21 9.00%, 1/15/09, Pool #26076........ 23
111 9.00%, 4/15/09, Pool #30352........ 120
72 8.00%, 5/15/09, Pool #385676....... 74
4,030 6.50%, 7/15/09, Pool #780316....... 4,097
19 8.00%, 8/15/09, Pool #372143....... 20
37 9.50%, 10/15/09, Pool #36582....... 40
543 8.00%, 10/15/09, Pool #380639...... 563
1,249 7.50%, 2/15/12, Pool #393363....... 1,291
1,875 7.50%, 3/15/12, Pool #399163....... 1,938
1,217 7.50%, 3/15/12, Pool #441145....... 1,258
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ----------------------------------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED
Government National Mortgage Assoc., continued:
$ 39 10.50%, 2/15/13, Pool #6507........ $ 43
2 12.00%, 1/15/15, Pool #112920...... 2
61 9.00%, 8/15/16, Pool #164502....... 66
36 9.50%, 9/15/16, Pool #158201....... 40
15 9.00%, 9/15/16, Pool #168987....... 16
15 9.00%, 9/15/16, Pool #175362....... 16
46 9.00%, 9/15/16, Pool #179044....... 50
57 9.00%, 12/15/16, Pool #198652...... 62
44 9.50%, 1/15/17, Pool #185619....... 48
114 8.50%, 1/15/17, Pool #203625....... 122
23 9.00%, 3/15/17, Pool #180330....... 25
8 8.50%, 3/15/17, Pool #196700....... 8
190 8.50%, 5/15/17, Pool #217536....... 203
9 8.50%, 6/15/17, Pool #188545....... 10
2,179 8.50%, 11/15/17, Pool #780086...... 2,340
141 9.00%, 7/15/18, Pool #226769....... 153
7 9.50%, 9/15/18, Pool #258627....... 8
37 9.50%, 12/15/18, Pool #229531...... 40
27 9.50%, 10/15/19, Pool # 279630..... 29
60 9.00%, 11/15/19, Pool #279649...... 65
129 9.50%, 2/15/20, Pool #281655....... 140
36 9.00%, 2/15/20, Pool #286315....... 39
46 9.50%, 9/15/20, Pool #292918....... 51
37 9.00%, 7/15/21, Pool #311256....... 40
145 8.00%, 4/15/22, Pool #325461....... 151
226 8.00%, 5/15/22, Pool #317346....... 237
77 8.00%, 5/15/22, Pool #320675....... 80
11 8.00%, 5/15/22, Pool #317358....... 12
2,300 8.00%, 7/15/22, Pool #426612....... 2,390
366 8.00%, 7/15/22, Pool #183670....... 382
451 7.50%, 8/15/22, Pool #333881....... 467
1,592 7.00%, 8/15/23, Pool #352108....... 1,625
6,595 7.00%, 9/15/23, Pool #363030....... 6,735
2,240 7.00%, 11/15/23, Pool #352022...... 2,288
8,362 6.50%, 1/15/24, Pool #366706....... 8,406
10,346 7.00%, 2/15/24, Pool #371281....... 10,562
2,917 9.00%, 11/15/24, Pool #780029...... 3,170
1,722 7.50%, 1/15/26, Pool #416874....... 1,778
1,655 7.50%, 3/15/26, Pool #422292....... 1,708
2,487 7.50%, 4/15/26, Pool #426059....... 2,565
1,587 8.00%, 7/15/26, Pool #428509....... 1,649
2,644 7.50%, 11/15/26, Pool #442119...... 2,723
9,615 7.00%, 6/15/27, Pool #780584....... 9,804
3,768 7.50%, 7/15/27, Pool #442119....... 3,876
4,793 7.50%, 7/15/27, Pool #411829....... 4,931
9,975 6.00%, 3/20/28, Pool #2562......... 9,700
10,000 7.00%, 4/15/28, Pool # 426691...... 10,158
--------
100,696
--------
Total U.S. Government Agency Mortgages 301,945
--------
U.S. GOVERNMENT AGENCY SECURITIES (0.1%):
Federal Home Loan Bank (0.1%):
800 7.06%, 2/12/99..................... 807
--------
Total U.S. Government Agency Securities 807
--------
</TABLE>
Continued
22
<PAGE> 25
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
Intermediate Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1998
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ----------------------------------- --------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS (24.7%):
U.S. Treasury Bonds (6.5%):
$ 3,000 10.75%, 5/15/03 (b)................ $ 3,656
13,000 7.50%, 11/15/16 (b)................ 15,608
3,000 8.75%, 5/15/17 (b)................. 4,041
11,000 8.13%, 8/15/19 (b)................. 14,186
10,000 6.25%, 8/15/23 (b)................. 10,715
--------
48,206
--------
U.S. Treasury Inflation Protected Bonds (1.3%):
10,256 3.38%, 1/15/07 (b)................. 9,935
--------
U.S. Treasury Notes (15.9%):
5,000 8.25%, 7/15/98 (b)................. 5,006
4,000 4.75%, 8/31/98 (b)................. 3,998
3,000 8.88%, 11/15/98 (b)................ 3,038
3,000 5.88%, 3/31/99..................... 3,009
6,000 8.00%, 8/15/99 (b)................. 6,163
10,000 7.50%, 10/31/99 (b)................ 10,250
1,000 7.88%, 11/15/99 (b)................ 1,031
16,000 5.63%, 11/30/99 (b)................ 16,027
5,000 7.75%, 1/31/00 (b)................. 5,167
3,000 6.75%, 4/30/00 (b)................. 3,064
6,000 5.88%, 6/30/00 (b)................. 6,044
3,000 6.13%, 7/31/00 (b)................. 3,036
1,000 8.75%, 8/15/00..................... 1,064
5,000 7.75%, 2/15/01 (b)................. 5,268
5,000 6.25%, 10/31/01 (b)................ 5,105
7,000 7.50%, 11/15/01 (b)................ 7,414
7,000 6.25%, 2/28/02 (b)................. 7,159
11,000 5.75%, 8/15/03 (b)................. 11,121
6,000 7.25%, 5/15/04 (b)................. 6,511
5,000 7.25%, 8/15/04 (b)................. 5,438
4,000 7.88%, 11/15/04 (b)................ 4,493
--------
119,406
--------
U.S. Treasury STRIPS (1.0%):
20,000 5/15/16............................ 7,249
--------
Total U.S. Treasury Obligations 184,796
--------
REPURCHASE AGREEMENTS (1.5%):
10,855 Prudential Securities, 6.10%,
7/1/98 (Collateralized by $11,011
various U.S. Government
Securities, 5.63% - 6.10%,
11/30/99 - 6/26/03, market value
$11,073)......................... 10,855
--------
Total Repurchase Agreements 10,855
--------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ----------------------------------- --------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL (16.5%):
Master Notes (2.7%):
$ 5,638 Bear Stearns Mortgage Capital,
6.77%, 10/9/98*.................. $ 5,638
3,759 Danaher Corp., 6.68%, 10/9/98*..... 3,759
5,639 Merrill Lynch Mortgage Capital,
6.75%, 7/23/98*.................. 5,639
5,075 NationsBanc Capital Markets, 6.70%,
7/1/98*.......................... 5,075
--------
20,111
--------
Put Bonds (1.8%):
5,639 Citicorp, 5.94%, 8/3/98*........... 5,639
3,759 GMAC, 5.85%, 11/10/99*............. 3,764
3,759 Greenwich Capital, 6.11%,
12/13/99*........................ 3,759
--------
13,162
--------
Repurchase Agreements (12.0%):
20,674 Donaldson, Lufkin & Jenrette,
6.65%, 7/1/98 (Collateralized by
$21,137 various Corporate and
Government Securities,
2.85% - 17.25%, 10/15/02 -
4/15/35, market value $21,470)... 20,674
18,795 Goldman Sachs, 6.65%, 7/1/98
(Collateralized by $20,032
various Corporate Bonds, 0.00%,
7/7/98 - 9/18/98, market value
$19,960)......................... 18,795
41,349 Lehman Brothers, 6.65%, 7/1/98
(Collateralized by $42,384
various Corporate Bonds,
0.00% - 10.13%,
9/15/99 - 10/17/96, market value
$44,363)......................... 41,349
3,872 Lehman Brothers, 6.47%, 7/1/98
(Collateralized by $4,067 Media
One Group Bonds, 0.00%, 10/5/98,
market value $4,067)............. 3,872
4,887 Lehman Brothers, 6.00%, 7/1/98
(Collateralized by $30,592
various Government Securities,
0.00% - 10.00%, 12/1/18 - 5/1/24,
market value $5,030)............. 4,887
--------
89,577
--------
Total Short-Term Securities Held as
Collateral 122,850
--------
Total (Cost $848,429) (a) $862,438
========
</TABLE>
Continued
23
<PAGE> 26
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
Intermediate Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1998
(Amounts in Thousands)
- ------------
Percentages indicated are based on net assets of $746,159.
(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 $98. Cost for federal income tax purposes differs from value
by net unrealized appreciation of securities as follows (amounts in
thousands):
<TABLE>
<S> <C>
Unrealized appreciation..................................... $ 16,730
Unrealized depreciation..................................... (2,819)
--------
Net unrealized appreciation................................. $ 13,911
========
</TABLE>
(b) A portion of this security was loaned as of June 30, 1998.
* The interest rate, for this variable rate note, which will change
periodically, is based upon prime rates or an index of market rates. The rate
reflected on the Schedule of Portfolio Investments is the rate in effect at
June 30, 1998.
<TABLE>
<S> <C>
CMO Collateralized Mortgage Obligation
</TABLE>
See notes to financial statements.
24
<PAGE> 27
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
Government Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1998
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ----------------------------------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES (73.0%):
Federal Home Loan Mortgage Corp. (27.1%):
$ 7,389 6.00%, 4/15/01, Gold Balloon, Pool
#G50347.......................... $ 7,393
1,000 7.00%, 10/15/06, Series 1150, Class
I................................ 1,023
4,508 7.50%, 4/1/09, Gold Pool #E00315... 4,650
16,500 6.50%, 9/15/09, Series 1838 G,
CMO.............................. 16,723
3,090 8.50%, 1/1/10, Gold Pool #G10305... 3,220
9,849 6.50%, 3/1/13, Pool #E00538........ 9,917
31,272 6.50%, 4/1/13, Pool #E00542........ 31,486
11,912 6.00%, 4/1/13, Pool# E00543........ 11,801
211 9.00%, 10/1/17, Gold Pool
#A00756.......................... 225
169 9.00%, 4/1/18, Gold Pool #A01143... 180
44 9.00%, 10/1/20, Gold Pool
#A01134.......................... 47
55 9.00%, 1/1/21, Gold Pool #A00948... 59
500 7.25%, 2/15/21, Series 1464, CMO... 509
54 9.00%, 4/1/21, Gold Pool #D04193... 58
83 9.00%, 6/1/21, Gold Pool #A01017... 88
86 9.00%, 7/1/21, Gold Pool #A01093... 92
45 9.00%, 9/1/21, Gold Pool #D32271... 48
85 9.00%, 11/1/21, Gold Pool
#D11191.......................... 91
89 9.00%, 11/1/21, Gold Pool
#D11866.......................... 95
52 9.00%, 11/1/21, Gold Pool
#C00078.......................... 56
172 9.00%, 5/1/22, Gold Pool #D19203... 184
75 9.00%, 5/1/22, Gold Pool #D19142... 80
900 7.00%, 8/25/22, Series 13, Class
PL............................... 933
10,000 5.50%, 9/15/22, Series 1367-K...... 9,480
3,729 7.00%, 4/15/23, Pool #348645....... 3,809
6,272 10.00%, 10/15/23, Series 1591 E,
CMO.............................. 7,096
8,837 6.00%, 10/15/23, Series 1785A...... 8,613
17,851 5.00%, 11/15/23, Series 1686 PG,
CMO.............................. 17,161
9,268 6.50%, 1/1/24, Gold Pool #C80091... 9,280
3,636 8.50%, 5/1/24, Gold Pool #G00229... 3,836
3,088 8.50%, 7/1/24, Gold Pool #C00354... 3,235
4,545 7.50%, 9/1/24, Gold Pool #D56307... 4,674
4,835 8.00%, 11/1/24, Gold Pool
#C00376.......................... 5,018
3,206 7.50%, 8/1/25, Gold Pool #C00414... 3,297
3,991 7.00%, 8/1/25, Gold Pool #C00418... 4,066
3,691 8.00%, 9/1/25, Gold Pool #D63705... 3,831
3,823 7.00%, 9/1/25, Gold Pool #D63303... 3,894
8,578 6.50%, 2/1/26, Gold Pool #D68098... 8,578
8,730 6.50%, 3/1/26, Gold Pool #G00453... 8,730
10,733 7.00%, 4/1/26, Gold Pool #D69811... 10,928
4,539 6.50%, 6/1/26, Pool #250575........ 4,532
10,000 6.50%, 10/17/26, Series 1985,
Class PL......................... 10,250
14,975 6.50%, 4/1/28, Gold Pool #D89085... 14,928
10,000 6.50%, 6/1/28, #C10103............. 9,969
--------
244,163
--------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ----------------------------------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Federal National Mortgage Assoc. (19.9%):
$ 8,222 6.00%, 3/1/01, Pool #50783......... $ 8,199
6,494 7.00%, 4/1/03, Pool #303876........ 6,585
758 7.50%, 5/1/03, Pool #347175........ 771
1,838 7.50%, 7/1/03, Pool #250656........ 1,870
6,360 7.00%, 7/17/05, Series 97-26 GD.... 6,524
3,227 7.00%, 4/1/08, Pool #211750........ 3,297
8,000 6.00%, 6/25/09, Series 1994-86 PJ,
CMO.............................. 7,975
3,186 7.00%, 7/1/10, Pool #250326........ 3,255
2,172 6.50%, 12/1/10, Pool #332301....... 2,194
12,215 6.00%, 3/1/11, Pool #340683........ 12,147
9,394 6.00%, 1/17/13, Series 98-37 VB,
CMO.............................. 9,256
10,000 6.50%, 6/25/13, Series 94-1 K...... 10,129
3,596 6.35%, 8/25/13, Series 1993-225B
VG, CMO.......................... 3,622
3,429 7.50%, 6/1/14, Pool #250081........ 3,532
2,761 7.50%, 7/1/14, Pool #250082........ 2,844
124 10.00%, 10/1/16, Pool #70110....... 135
5,963 10.00%, 9/1/17, Pool #303969....... 6,477
342 10.00%, 10/1/19, Pool #231675...... 372
8,169 7.00%, 5/25/20, Series 1990-57..... 8,330
216 10.00%, 7/1/20, Pool #050318....... 235
5,584 6.50%, 5/25/21, Series 1992-205 K,
CMO.............................. 5,618
5,000 7.00%, 9/25/21, Series G92-64 K,
CMO.............................. 5,045
374 10.00%, 11/1/21, Pool #208374...... 407
523 10.00%, 11/1/21, Pool #208372...... 569
5,000 6.55%, 12/25/21, Pool #1993-137 PH,
CMO.............................. 5,046
1,000 7.25%, 5/25/22, Series G93-9, Class
K................................ 1,022
800 7.50%, 7/25/22, Series G92-35,
CMO.............................. 823
10,785 6.50%, 2/17/23, Series #G94-12 C,
CMO.............................. 10,545
5,000 6.50%, 5/25/23, Series 1994-110 H,
CMO.............................. 4,985
9,094 6.35%, 12/25/23, Series 1994-43 PJ,
CMO.............................. 9,085
5,042 7.00%, 1/25/24, Series 1994-62 PJ,
CMO.............................. 5,205
7,453 7.00%, 2/1/24, Pool #190257........ 7,590
2,525 9.00%, 12/1/24, Pool #353898....... 2,671
3,905 7.00%, 8/1/25, Pool #315500........ 3,975
19,867 6.50%, 3/1/28, Pool #251613........ 19,786
--------
180,121
--------
Government National Mortgage Assoc. (26.0%):
9 10.00%, 9/15/00, Pool #138814...... 10
7 10.00%, 12/15/00, Pool #136214..... 7
28 8.50%, 6/15/01, Pool #166491....... 29
3 8.50%, 7/15/01, Pool #161997....... 3
</TABLE>
Continued
25
<PAGE> 28
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
Government Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1998
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ----------------------------------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Government National Mortgage Assoc., continued:
$ 41 9.50%, 9/15/01, Pool #180786....... $ 43
4 9.00%, 9/15/01, Pool #174330....... 4
52 9.00%, 9/15/01, Pool #166928....... 55
8 9.50%, 11/15/01, Pool #182995...... 9
48 8.50%, 11/15/01, Pool #179383...... 50
37 9.00%, 12/15/01, Pool #187723...... 39
35 8.50%, 12/15/01, Pool #199837...... 37
56 8.00%, 3/15/02, Pool #205933....... 59
133 9.00%, 5/15/03, Pool #154134....... 139
105 9.00%, 6/15/05, Pool #283904....... 110
41 9.00%, 8/15/05, Pool #291836....... 43
37 9.00%, 9/15/05, Pool #292898....... 39
16 9.00%, 9/15/05, Pool #295227....... 17
54 8.00%, 7/15/06, Pool #11337........ 57
26 7.50%, 7/15/07, Pool #17316........ 27
63 8.00%, 8/15/07, Pool #18677........ 66
41 8.00%, 8/15/07, Pool #18539........ 43
209 7.50%, 12/15/07, Pool #338189...... 216
46 9.00%, 11/15/08, Pool #27932....... 49
83 9.00%, 4/15/09, Pool #30352........ 90
13 9.00%, 5/15/09, Pool #32214........ 14
4 9.50%, 7/15/09, Pool #34487........ 4
107 9.50%, 9/15/09, Pool #34878........ 116
32 9.50%, 10/15/09, Pool #36804....... 35
19 11.00%, 11/15/09, Pool #37615...... 21
1 12.00%, 4/15/15, Pool #125262...... 1
12 11.00%, 6/15/15, Pool #130125...... 14
64 9.00%, 5/15/16, Pool #149877....... 70
61 9.00%, 6/15/16, Pool #166130....... 67
12 9.50%, 7/15/16, Pool #166772....... 13
83 9.00%, 7/15/16, Pool #158921....... 90
74 9.50%, 8/15/16, Pool #177531....... 81
129 9.00%, 9/15/16, Pool #179044....... 140
17 9.50%, 1/15/17, Pool #185619....... 18
238 9.00%, 2/15/17, Pool #195058....... 259
237 9.00%, 6/15/17, Pool #219079....... 257
45 9.50%, 8/15/17, Pool #218841....... 49
42 9.50%, 8/15/17, Pool #224015....... 46
20 9.00%, 8/15/17, Pool #225825....... 21
88 9.00%, 6/15/18, Pool #238161....... 95
57 9.50%, 8/15/18, Pool #248390....... 62
19 9.00%, 10/15/18, Pool #253188...... 20
113 9.50%, 12/15/18, Pool #263400...... 123
3 9.00%, 10/15/19, Pool #267676...... 3
54 9.00%, 11/15/19, Pool #162768...... 58
65 9.00%, 1/15/20, Pool #283138....... 70
44 9.00%, 2/15/20, Pool #276157....... 48
123 9.00%, 3/15/20, Pool #285283....... 133
46 9.50%, 9/15/20, Pool #292918....... 51
72 9.50%, 12/15/20, Pool #291865...... 79
242 9.00%, 6/15/21, Pool #307120....... 263
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ----------------------------------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Government National Mortgage Assoc., continued:
$11,908 9.00%, 8/15/21, Pool #306081....... $ 12,937
3,522 9.00%, 12/15/21, Pool #780284...... 3,783
28 7.50%, 2/15/22, Pool #324025....... 29
402 8.00%, 7/15/22, Pool #321560....... 420
709 7.50%, 8/15/22, Pool #337141....... 733
31 7.00%, 10/15/22, Pool #337175...... 32
191 7.00%, 11/15/22, Pool #323008...... 195
30 7.00%, 12/15/22, Pool #339969...... 31
405 7.00%, 1/15/23, Pool #332022....... 414
388 7.00%, 1/15/23, Pool #342248....... 396
38 7.00%, 1/15/23, Pool #321675....... 38
233 7.00%, 1/15/23, Pool #346214....... 238
372 7.00%, 1/15/23, Pool #341536....... 380
47 7.00%, 3/15/23, Pool #350110....... 48
734 7.00%, 5/15/23, Pool #346572....... 750
692 7.00%, 5/15/23, Pool #351041....... 707
729 7.00%, 5/15/23, Pool #342348....... 744
55 7.00%, 5/15/23, Pool #338005....... 57
615 7.00%, 5/15/23, Pool #221604....... 628
320 6.50%, 5/15/23, Pool #343208....... 321
360 6.50%, 6/15/23, Pool #348677....... 362
50 6.50%, 6/15/23, Pool #358250....... 50
51 6.50%, 6/15/23, Pool #349788....... 51
75 6.50%, 6/15/23, Pool #346624....... 76
491 7.00%, 7/15/23, Pool #360697....... 501
405 7.00%, 7/15/23, Pool #360889....... 414
410 7.00%, 7/15/23, Pool #358382....... 418
787 7.00%, 7/15/23, Pool #346673....... 804
230 7.00%, 7/15/23, Pool #325977....... 235
23 7.00%, 7/15/23, Pool #350709....... 23
173 7.00%, 7/15/23, Pool #357782....... 176
794 7.00%, 7/15/23, Pool #362982....... 811
313 7.00%, 7/15/23, Pool #353569....... 320
28 7.00%, 7/15/23, Pool #354538....... 28
265 6.50%, 7/15/23, Pool #322200....... 266
272 6.50%, 8/15/23, Pool #360738....... 274
144 6.50%, 8/15/23, Pool #360713....... 145
159 6.50%, 8/15/23, Pool #359027....... 160
383 6.50%, 8/15/23, Pool #353137....... 385
544 6.50%, 8/15/23, Pool #356717....... 547
308 6.50%, 8/15/23, Pool #344505....... 309
687 6.50%, 9/15/23, Pool #345375....... 691
49 6.50%, 9/15/23, Pool #339041....... 50
3,278 8.00%, 10/15/23, Pool #354681...... 3,414
206 6.50%, 10/15/23, Pool #345391...... 207
420 6.00%, 10/15/23, Pool #364717...... 413
33 6.00%, 10/15/23, Pool #370006...... 33
388 6.00%, 10/15/23, Pool #345389...... 382
571 6.50%, 11/15/23, Pool #369356...... 574
18 6.50%, 11/15/23, Pool #370927...... 18
569 6.50%, 12/15/23, Pool #369830...... 572
</TABLE>
Continued
26
<PAGE> 29
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
Government Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1998
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ----------------------------------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Government National Mortgage Assoc., continued:
$ 134 6.50%, 12/15/23, Pool #349944...... $ 135
32 6.50%, 12/15/23, Pool #370289...... 32
925 6.50%, 12/15/23, Pool #349265...... 930
97 6.50%, 12/15/23, Pool #365740...... 98
556 6.50%, 1/15/24, Pool #379127....... 559
19,918 6.50%, 2/15/24, Pool #354747....... 20,025
341 6.50%, 2/15/24, Pool #389200....... 343
1,165 6.50%, 2/15/24, Pool #362341....... 1,172
271 6.50%, 2/15/24, Pool #370338....... 272
161 6.50%, 2/15/24, Pool #380818....... 162
343 6.50%, 2/15/24, Pool #371999....... 345
933 7.00%, 2/16/24, Series 1996-21,
CMO.............................. 950
371 7.50%, 6/15/24, Pool #388747....... 383
79 7.50%, 6/15/24, Pool #389827....... 81
296 8.00%, 9/15/24, Pool #393908....... 308
2,990 8.00%, 9/15/24, Pool #403212....... 3,113
7,293 9.00%, 11/15/24, Pool #780029...... 7,924
924 7.25%, 12/15/25, Pool #411361...... 948
3,947 7.50%, 3/15/26, Pool #422308....... 4,072
7,845 8.00%, 7/15/26, Pool #412644....... 8,149
10,963 8.00%, 12/20/26, Pool #2344........ 11,329
14,500 6.50%, 6/20/27, Series 1997-19
PJ............................... 14,561
9,209 6.00%, 7/20/27, Pool #80094........ 9,381
15,000 6.25%, 8/20/27, Series 98-1 PD..... 14,939
14,592 8.00%, 10/15/27, Pool# 412336...... 15,130
9,900 7.00%, 12/15/27, Pool # 449494..... 10,065
9,664 7.50%, 1/15/28, Pool #461625....... 9,936
9,905 7.00%, 1/15/28, Pool #462495....... 10,066
14,794 7.50%, 2/15/28, Pool #462562....... 15,205
9,968 6.50%, 3/15/28, Pool #467705....... 9,947
9,990 7.00%, 6/15/28, Pool #472679....... 10,149
15,000 7.50%, 7/1/28...................... 15,389
--------
235,250
--------
Total U.S. Government Agency Mortgages 659,534
--------
U.S. GOVERNMENT AGENCY SECURITIES (16.9%):
Federal Farm Credit Bank (0.6%):
5,000 6.88%, 5/1/00...................... 5,105
--------
Federal Home Loan Bank (2.5%):
2,000 9.25%, 11/25/98.................... 2,029
2,000 9.30%, 1/25/99..................... 2,041
3,000 8.60%, 6/25/99..................... 3,084
10,000 5.91%, 12/23/02.................... 10,076
5,000 6.27%, 1/14/04 (b)................. 5,000
--------
22,230
--------
Federal Home Loan Mortgage Corp. (0.7%):
2,000 6.44%, 1/28/00..................... 2,023
4,500 7.13%, 11/18/02.................... 4,744
--------
6,767
--------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ----------------------------------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY SECURITIES, CONTINUED:
Federal National Mortgage Assoc. (6.8%):
$15,000 5.43%, 7/21/98..................... $ 14,955
4,000 8.70%, 6/10/99..................... 4,111
3,000 8.90%, 6/12/00..................... 3,177
3,000 6.20%, 11/12/03.................... 2,994
15,000 7.16%, 5/11/05..................... 16,183
10,000 5.88%, 2/2/06...................... 10,033
10,000 6.70%, 6/19/07..................... 10,593
--------
62,046
--------
Resolution Funding Corp. (3.4%):
25,000 Principal STRIPS, 7/15/20.......... 6,881
50,000 Principal STRIPS, 7/15/20.......... 13,762
25,000 Principal STRIPS, 10/15/20......... 6,781
15,000 Principal STRIPS, 4/15/28.......... 2,692
5,000 Principal STRIPS, 4/15/30 (b)...... 800
--------
30,916
--------
Tennessee Valley Authority (2.9%):
25,000 6.24%, 7/15/45, Putable on 7/15/01
@ 100............................ 25,906
--------
Total U.S. Government Agency Securities 152,970
--------
U.S. TREASURY OBLIGATIONS (11.0%):
U.S. Treasury Bonds (4.7%):
25,000 8.13%, 8/15/19..................... 32,241
10,000 6.13%, 11/15/27 (b)................ 10,721
--------
42,962
--------
U.S. Treasury Notes (4.6%):
1,350 6.75%, 4/30/00..................... 1,379
1,500 6.25%, 5/31/00..................... 1,520
4,500 6.13%, 7/31/00..................... 4,554
2,800 6.25%, 4/30/01..................... 2,853
1,000 7.88%, 8/15/01..................... 1,066
500 6.38%, 8/15/02..................... 515
5,000 5.63%, 12/31/02 (b)................ 5,021
250 6.25%, 2/15/03..................... 257
2,500 6.50%, 8/15/05..................... 2,638
20,700 6.50%, 10/15/06 (b)................ 21,975
--------
41,778
--------
U.S. Treasury STRIPS (1.7%):
5,000 8/15/02 (b)........................ 4,003
50,000 2/15/25 (b)........................ 11,111
--------
15,114
--------
Total U.S. Treasury Obligations 99,854
--------
REPURCHASE AGREEMENTS (0.6%):
5,215 Prudential Securities, 6.10%,
7/1/98 (Collateralized by $5,368
U.S. Treasury Bills, 9/3/98,
market value $5,320)............. 5,215
--------
Total Repurchase Agreements 5,215
--------
</TABLE>
Continued
27
<PAGE> 30
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
Government Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1998
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ----------------------------------- --------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL (5.5%):
Repurchase Agreements (5.5%):
$49,499 Paine Webber, 6.15%, 7/1/98
(Collateralized by $49,680
various U.S. Government
Securities, 0.00% - 9.35%,
9/25/98 - 9/18/27, market value
$50,527)......................... $ 49,499
--------
Total Short-Term Securities Held as
Collateral 49,499
--------
Total (Cost $933,275) (a) $967,072
========
</TABLE>
- ------------
Percentages indicated are based on net assets of $903,987.
(a) Represents cost for financial reporting and federal income tax purposes and
differs from value by net unrealized appreciation of securities as follows
(amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation..................................... $34,016
Unrealized depreciation..................................... (219)
-------
Net unrealized appreciation................................. $33,797
=======
</TABLE>
(b) A portion of this security was loaned as of June 30, 1998.
CMO Collateralized Mortgage Obligation
See notes to financial statements.
28
<PAGE> 31
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
Income Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1998
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ---------------------------------- ----------
<C> <S> <C>
ASSET BACKED SECURITIES (6.4%):
$ 4,927 Advanta Mortgage Loan Trust,
Series 1995-1, Class A5, 8.32%,
12/25/19........................ $ 5,201
5,000 Advanta Mortgage Loan Trust,
Series 1997-2, Class A4, 7.60%,
6/25/27......................... 5,280
4,195 Aircraft Lease Portfolio
Securitization Ltd., Series
1994-1, Class A2, 7.15%,
9/15/04......................... 4,222
1,796 Auto Finance Group, Inc., Series
1997-B, Class C, 7.00%,
2/15/03......................... 1,772
5,000 EQCC Home Loan Trust, Series
1998-2, Class A3F, 6.23%,
3/15/13......................... 5,001
5,000 Greentree Financial Corp., Series
1993-2, Class B, 8.00%,
7/15/18......................... 5,249
5,000 Greentree Financial Corp., Series
1995-10, Class B1, 7.05%,
2/15/27......................... 4,961
4,350 Greentree Financial Corp., Series
1995-2, Class B1, 8.60%,
5/15/26......................... 4,535
5,000 Greentree Home Improvement Loan
Trust, Series 1995-D, Class M1,
6.95%, 9/15/25.................. 5,075
3,000 MBNA, Series 1998-C, 6.35%,
11/15/05........................ 3,000
3,073 Olympic Automobile Receivables
Trust, Series 1994-B, Class A2,
6.85%, 6/15/01.................. 3,132
3,919 Olympic Automobile Receivables
Trust, Series 1995-B, Class A2,
7.35%, 10/15/01................. 3,958
3,000 Team Fleet Financial Corp., Series
1998-2A, Class C, 6.53%,
7/25/02......................... 2,998
5,000 World Omni, Series 1997, Class A7,
6.48%, 12/12/08................. 5,017
----------
Total Asset Backed Securities 59,401
----------
COLLATERALIZED BOND OBLIGATIONS (0.6%):
5,000 Merrill Lynch, 1996 PM1, 7.87%,
12/17/06........................ 5,167
----------
Total Collateralized Bond Obligations 5,167
----------
CORPORATE BONDS (39.3%):
Banking, Finance & Insurance (13.3%):
2,000 American Health Properties, 7.50%,
1/15/07......................... 2,143
9,000 Associates Corp., 8.34%,
11/25/99........................ 9,292
6,000 Associates Corp., 8.15%, 8/1/09... 6,878
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ---------------------------------- ----------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Banking, Finance & Insurance, continued:
$ 5,000 BankAmerica Corp., 9.50%,
4/1/01.......................... $ 5,431
5,000 Bear Stearns Co., Inc., 8.25%,
2/1/02.......................... 5,338
5,000 Bradley Operating, 7.20%,
1/15/08......................... 5,038
6,500 Corestates Capital, 8.00%,
12/15/26........................ 7,141
5,000 Cullen Frost Bank Capital Trust,
8.42%, 2/1/27................... 5,638
5,000 First Chicago Capital Trust,
7.95%, 12/1/26.................. 5,500
2,000 Fleet Financial Group, Inc.,
8.13%, 7/1/04................... 2,190
3,500 Ford Capital BV, 10.13%,
11/15/00........................ 3,815
1,500 Ford Motor Credit Corp., 6.38%,
10/6/00......................... 1,515
3,000 General Motors Acceptance Corp.,
8.40%, 10/15/99................. 3,094
8,000 General Motors Acceptance Corp.,
7.00%, 3/1/00................... 8,129
10,000 Lehman Brothers Holdings, Inc.,
8.88%, 3/1/02................... 10,862
5,000 Lehman Brothers Holdings, Inc.,
11.63%, 5/15/05................. 6,450
5,000 Lehman Brothers Holdings, Inc.,
8.80%, 3/1/15................... 5,969
6,000 Massachusetts Mutual Life
Insurance, 7.50%, 3/1/24,
144A............................ 6,563
5,000 MIC Financial Trust, 8.38%,
2/1/27.......................... 5,525
6,000 Morgan Stanley Dean Witter & Co.,
6.13%, 10/1/03.................. 5,993
5,000 Principal Mutual, 7.88%, 3/1/24... 5,381
5,000 Sun Life Capital Trust, 8.53%,
5/29/49......................... 5,706
----------
123,591
----------
Food Products & Services (0.3%):
2,500 RJR Nabisco Corp., 8.75%,
8/15/05......................... 2,666
----------
Industrial Goods & Services (9.7%):
1,500 Advanced Micro Devices, Inc.,
11.00%, 8/1/03 (b).............. 1,594
5,000 Atlas Copco AB, 6.50%, 4/1/08..... 5,025
5,000 Avon Products Inc., Series 144A,
6.25%, 5/1/03................... 5,038
3,000 Boise Cascade Co., 9.45%,
11/1/09......................... 3,630
4,000 Comcast Cable, 8.38%, 5/1/07,
144A............................ 4,490
1,500 Comcast Cellular Holdings, 9.50%,
5/1/07.......................... 1,569
1,500 D.R. Horton, Inc., 8.38%,
6/15/04......................... 1,511
2,500 Fred Meyer, Inc., 7.38%, 3/1/05... 2,519
2,000 Freeport McMoran, Copper & Gold,
7.50%, 11/15/06................. 1,628
5,000 General Motors Corp., 9.13%,
7/15/01......................... 5,424
3,000 Golden State Petroleum, 8.04%,
2/1/19, 144A.................... 3,191
</TABLE>
Continued
29
<PAGE> 32
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
Income Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1998
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ---------------------------------- ----------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Industrial Goods & Services, continued:
$ 5,000 Hilton Hotels Corp., 7.95%,
4/15/07......................... $ 5,231
2,500 Loewen Group, Inc., 8.25%,
4/15/03, Callable 4/15/00 @
104.13.......................... 2,591
2,500 Mississippi Chemical Corp., 7.25%,
11/15/17........................ 2,538
4,640 Newmont Gold Co., 8.91%, 1/5/09... 5,185
1,500 Nine West Group, Inc., 8.38%,
8/15/05......................... 1,474
2,500 Northrop-Grumman Corp., 7.00%,
3/1/06.......................... 2,594
4,604 Oslo Seismic Service, 8.28%,
6/1/11, 144A.................... 5,027
2,500 Owens-Illinois, Inc., 7.15%,
5/15/05......................... 2,528
9,000 Penske Truck Leasing, 8.25%,
11/1/99......................... 9,269
1,500 Pride Petroleum Services, Inc.,
9.38%, 5/1/07................... 1,584
5,000 Tele-Commun, Inc., 7.38%,
2/15/00......................... 5,100
1,500 Tenet Healthcare Corp., 8.00%,
1/15/05......................... 1,560
1,500 Terra Industries, 10.50%, 6/15/05,
Callable 6/15/00 @ 105.25 (b)... 1,622
1,500 Trico Marine Services, Inc.,
8.50%, 8/1/05................... 1,470
5,000 U.S. Filter Corp., 6.38%,
5/15/01......................... 5,006
2,000 Wyman-Gordon Co., 8.00%,
12/15/07........................ 2,050
----------
90,448
----------
Real Estate (5.9%):
2,000 Avalon Properties, Inc., 7.38%,
9/15/02......................... 2,070
1,500 Dynex Capital, Inc., 7.88%,
7/15/02......................... 1,524
4,750 Meditrust, Inc., 7.77%, 8/16/02... 4,952
3,000 Meditrust, Inc., 7.82%, 9/10/26... 3,431
3,500 MEPC Finance, Inc., 7.50%,
5/1/03.......................... 3,745
5,000 Security Capital Pacific Trust,
6.95%, 10/15/02................. 5,113
2,500 Security Capital Pacific Trust,
7.15%, 10/15/03................. 2,566
5,000 Security Pacific Corp., 11.00%,
3/1/01.......................... 5,600
5,000 Spieker Properties, Inc., 6.65%,
12/15/00........................ 5,044
4,000 Spieker Properties, Inc., 8.00%,
7/19/05......................... 4,300
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ---------------------------------- ----------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Real Estate, continued:
$ 8,000 Taubman Realty Group, 7.00%,
10/1/03......................... $ 8,109
3,000 Wellsford Residential Property,
7.25%, 8/15/00.................. 3,064
5,000 Western Banktrust REIT, 7.88%,
2/15/04......................... 5,300
----------
54,818
----------
Transportation & Shipping (1.3%):
5,000 Enterprise Rental-A-Car, 6.38%,
5/15/03......................... 5,000
5,000 Union Pacific Co., 9.63%,
12/15/02........................ 5,638
1,500 Viking Star Shipping, 9.63%,
7/15/03......................... 1,571
----------
12,209
----------
Utilities (1.1%):
7,000 NRG Energy Corp., 7.63%, 2/1/06... 7,411
2,819 Salton Sea Funding Corp., 6.69%,
5/30/00......................... 2,847
----------
10,258
----------
Yankee & Eurodollar (7.7%):
5,000 BCH Cayman Islands, 8.25%,
6/15/04 (b)..................... 5,456
4,000 BCH Cayman Islands, 7.50%,
6/15/05......................... 4,240
5,000 Celulosa Arauco, 6.75%,
12/15/03........................ 4,869
12,302 Centra Gas, 10.65%, 12/1/10,
144A............................ 12,702
5,000 China International Trust &
Investing, 9.00%, 10/15/06
(b)............................. 5,056
5,000 China Light & Power Ltd., 7.50%,
4/15/06......................... 4,906
5,000 Coca-Cola Femsa, 8.95%, 11/1/06... 5,056
2,000 Kansalis-Osake Pankki, 9.75%,
12/15/98........................ 2,030
2,000 Petroleos Mexicanos, 8.85%,
9/15/07......................... 1,973
2,500 Petroliam Nasional Berhad, 7.13%,
10/18/06 (b).................... 2,122
4,250 Ras Laffan Gas, 7.63%, 9/15/06,
144A............................ 4,117
5,000 Scotland International Finance,
8.80%, 1/27/04, 144A............ 5,588
4,000 Scotland International Finance,
8.85%, 11/1/06, 144A............ 4,630
</TABLE>
Continued
30
<PAGE> 33
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
Income Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1998
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ---------------------------------- ----------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Yankee & Eurodollar, continued:
$ 4,000 Termoemcali Funding Corp., 10.13%,
12/15/14, 144A.................. $ 3,770
2,400 Yanacocha, 8.40%, 6/15/04......... 2,381
2,426 Ypf Sociedad Anomima, 7.00%,
10/26/02........................ 2,435
----------
71,331
----------
Total Corporate Bonds 365,321
----------
EQUIPMENT TRUST CERTIFICATES (2.6%):
4,886 Federal Express, Series A-1,
7.85%,
1/30/15......................... 5,313
10,966 Northwest Air Trust, Series 2,
Class A, 9.25%, 12/21/12........ 13,064
4,569 Northwest Air Trust, Series B,
10.23%, 12/21/12................ 5,523
----------
Total Equipment Trust Certificates 23,900
----------
OTHER MORTGAGED BACKED SECURITIES (1.1%):
2,485 BHN, Series 1997-1, Class A2,
7.92%, 7/25/09.................. 2,462
2,750 BHN, Series 1997-2, Class A2,
7.54%, 5/31/17.................. 2,742
5,000 Residential Funding Corp., Series
1996-HS2, Class A4, 7.55%,
9/25/12......................... 5,210
----------
Total Other Mortgaged Backed Securities 10,414
----------
U.S. GOVERNMENT AGENCY MORTGAGES (23.8%):
Federal Home Loan Mortgage Corp. (13.1%):
5,000 7.13%, 7/21/99.................... 5,074
18,000 0.00%, 8/15/02 (b)................ 14,277
3,684 7.00%, 6/1/09, Pool #E00313....... 3,765
6,722 7.50%, 5/1/11, Pool #E00438....... 6,934
6,853 7.00%, 5/1/11, Pool #E00434....... 7,003
6,423 7.00%, 6/1/11, Pool #E64220....... 6,563
19,794 6.50%, 4/1/13, Gold Pool
#E69986......................... 19,931
9,969 6.50%, 5/1/13, Gold Pool
#E70312......................... 10,037
9,967 6.50%, 5/1/13, Pool #E70383....... 10,036
9,506 6.50%, 1/1/24, Gold Pool
#C80091......................... 9,518
965 7.50%, 6/1/24, Pool #C80161....... 993
13,594 7.00%, 9/1/24, Pool #G00271....... 13,849
5,472 7.50%, 10/1/24, Pool #C80245...... 5,627
8,284 7.00%, 11/1/24, Pool #G00278...... 8,439
----------
122,046
----------
Federal National Mortgage Assoc. (7.5%):
6,494 7.00%, 4/1/03, Pool #303865....... 6,585
15,747 8.00%, 12/1/09, Pool #250168...... 16,294
9,903 6.50%, 5/1/13, Pool #251700....... 9,961
15,000 6.00%, 6/1/13, Pool #423196....... 14,841
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ---------------------------------- ----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Federal National Mortgage Assoc., continued:
$ 2,000 8.20%, 3/10/16 (b)................ $ 2,488
8,871 7.50%, 9/1/25, Pool #324179....... 9,137
9,972 6.50%, 4/1/28, Pool #420165....... 9,931
----------
69,237
----------
Government National Mortgage Assoc. (3.2%):
2,552 9.00%, 11/15/24, Pool #780029..... 2,773
7,780 7.50%, 7/15/26, Pool #430999...... 8,018
8,543 7.50%, 7/20/27, Pool #2457........ 8,751
9,860 6.50%, 2/15/28, Pool #460759...... 9,839
----------
29,381
----------
Total U.S. Government Agency Mortgages 220,664
----------
U.S. GOVERNMENT AGENCY SECURITIES (0.6%):
Government Trust Certificate (0.2%):
1,768 Israel, 9.40%, 5/15/02............ 1,830
----------
Tennessee Valley Authority (0.4%):
3,200 8.63%, 11/15/29................... 3,536
----------
Total U.S. Government Agency Securities 5,366
----------
U.S. TREASURY OBLIGATIONS (24.1%):
U.S. Treasury Bonds (8.5%):
2,250 13.38%, 8/15/01 (b)............... 2,751
9,600 11.88%, 11/15/03 (b).............. 12,376
14,000 9.00%, 11/15/18................... 19,460
11,250 8.13%, 8/15/21 (b)................ 14,660
7,125 8.00%, 11/15/21 (b)............... 9,182
17,600 7.13%, 2/15/23 (b)................ 20,817
----------
79,246
----------
U.S. Treasury Notes (13.0%):
15,000 6.25%, 8/31/00 (b)................ 15,222
34,800 6.63%, 6/30/01 (b)................ 35,819
15,000 6.25%, 6/30/02 (b)................ 15,377
30,000 6.25%, 2/15/03 (b)................ 30,880
11,500 6.25%, 2/15/07 (b)................ 12,045
10,000 6.63%, 5/15/07 (b)................ 10,737
----------
120,080
----------
U.S. Treasury STRIPS (2.6%):
85,000 10/15/19.......................... 24,496
----------
Total U.S. Treasury Obligations 223,822
----------
REPURCHASE AGREEMENTS (0.3%):
3,102 Prudential Securities, 6.10%,
7/1/98 (Collateralized by $3,193
U.S. Treasury Bills, 9/3/98,
market value $3,165)............ 3,102
----------
Total Repurchase Agreements 3,102
----------
</TABLE>
Continued
31
<PAGE> 34
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
Income Bond Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1998
(Amounts in Thousands)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ---------------------------------- ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL (16.0%):
Master Notes (2.6%):
$ 6,835 Bear Stearns Mortgage Capital,
6.77%, 10/9/98*................. $ 6,835
4,557 Danaher Corp., 6.68%, 10/9/98*.... 4,557
6,835 Merrill Lynch Mortgage Capital,
6.75%, 7/23/98*................. 6,835
6,151 NationsBanc Capital Markets,
6.70%, 7/1/98*.................. 6,151
----------
24,378
----------
Put Bonds (1.7%):
6,835 Citicorp, 5.94%, 8/3/98*.......... 6,835
4,557 GMAC, 5.85%, 11/10/99*............ 4,563
4,557 Greenwich Capital, 6.11%,
12/13/99*....................... 4,557
----------
15,955
----------
Repurchase Agreements (11.7%):
25,061 Donaldson, Lufkin & Jenrette,
6.65%, 7/1/98 (Collateralized by
$25,622 various Corporate and
Government Securities,
2.85% - 17.25%,
10/15/02 - 4/15/35, market value
$26,025)........................ 25,061
22,783 Goldman Sachs, 6.65%, 7/1/98
(Collateralized by $24,283
various Corporate Bonds, 0.00%,
7/7/98 - 9/18/98, market value
$24,195)........................ 22,783
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ---------------------------------- ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Repurchase Agreements, continued:
$50,121 Lehman Brothers, 6.65%, 7/1/98
(Collateralized by $51,377
various Corporate Bonds,
0.00% - 10.13%,
9/15/99 - 10/17/96, market value
$53,776)........................ $ 50,121
4,694 Lehman Brothers, 6.47%, 7/1/98
(Collateralized by $4,929 Media
One Group Bonds, 0.00%, 10/5/98,
market value $4,929)............ 4,694
5,924 Lehman Brothers, 6.00%, 7/1/98
(Collateralized by $37,083
various Government Securities,
0.00% - 10.00%,
12/1/18 - 5/1/24, market value
$6,098)......................... 5,924
----------
108,583
----------
Total Short-Term Securities Held as
Collateral 148,916
----------
Total (Cost $1,021,032) (a) $1,066,073
==========
</TABLE>
- ------------
Percentages indicated are based on net assets of $928,512.
(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 $79. Cost for federal income tax purposes differs from value
by net unrealized appreciation of securities as follows (amounts in
thousands):
<TABLE>
<S> <C>
Unrealized appreciation..................................... $46,870
Unrealized depreciation..................................... (1,908)
-------
Net unrealized appreciation................................. $44,962
=======
</TABLE>
(b) A portion of this security was loaned as of June 30, 1998.
* The interest rate for this variable rate note, which will change periodically,
is based upon an index of market rates. The rate reflected on the Schedule of
Portfolio Investments is the rate in effect at June 30, 1998.
<TABLE>
<S> <C>
REIT Real Estate Investment Trust
</TABLE>
See notes to financial statements.
32
<PAGE> 35
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
Treasury & Agency Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1998
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ----------------------------------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY (28.2%):
Federal Farm Credit Bank (9.1%):
$ 7,000 7.16%, 5/15/06..................... $ 7,580
3,100 7.60%, 7/24/06..................... 3,447
2,000 5.93%, 7/6/10...................... 2,017
--------
13,044
--------
Federal Home Loan Bank (4.9%):
5,000 6.66%, 6/3/03...................... 5,006
2,000 6.26%, 11/26/03.................... 1,998
--------
7,004
--------
Other U.S. Agencies (14.2%):
4,000 Student Loan Marketing Association,
7.20%, 11/9/00................... 4,132
6,000 Student Loan Marketing Association,
6.00%, 3/5/01.................... 6,000
10,000 Tennessee Valley Authority, 6.13%,
7/15/03.......................... 10,087
--------
20,219
--------
Total U.S. Government Agency 40,267
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ----------------------------------- --------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS (68.3%):
U.S. Treasury Inflation Protected Bonds (3.5%):
$ 5,128 3.38%, 1/15/07..................... $ 4,968
--------
U.S. Treasury Notes (64.8%):
27,000 7.75%, 11/30/99.................... 27,809
36,000 6.63%, 6/30/01..................... 37,054
8,500 6.25%, 2/28/02 (b)................. 8,694
13,000 7.88%, 11/15/04 (b)................ 14,602
4,000 6.88%, 5/15/06..................... 4,331
--------
92,490
--------
Total U.S. Treasury Obligations 97,458
--------
INVESTMENT COMPANIES (2.5%):
3,627 The One Group Treasury Only Money
Market Fund...................... 3,627
--------
Total Investment Companies 3,627
--------
SHORT-TERM SECURITIES HELD AS COLLATERAL (12.1%):
Repurchase Agreements (12.1%):
$17,229 Paine Webber, 6.15%, 7/1/98
(Collateralized by $17,292
various U.S. Government
Securities, 0.00% - 9.35%,
9/25/98 - 9/18/27, market value
$17,587)......................... 17,229
--------
Total Short-Term Securities Held as
Collateral 17,229
--------
Total (Cost $155,725) (a) $158,581
========
</TABLE>
- ------------
Percentages indicated are based on net assets of $142,769.
(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 $34. Cost for federal income tax purposes differs from value
by net unrealized appreciation of securities as follows (amounts in
thousands):
<TABLE>
<S> <C>
Unrealized appreciation..................................... $2,894
Unrealized depreciation..................................... (72)
------
Net unrealized appreciation................................. $2,822
======
</TABLE>
(b) A portion of this security was loaned as of June 30, 1998.
See notes to financial statements.
33
<PAGE> 36
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 1998
(Amounts in Thousands, except per share amounts)
<TABLE>
<CAPTION>
ULTRA SHORT- LIMITED VOLATILITY INTERMEDIATE
TERM INCOME BOND BOND
FUND FUND FUND
------------ ------------------ ------------
<S> <C> <C> <C>
ASSETS:
Investments, at value....................................... $218,244 $619,416 $762,006
Repurchase agreements, at cost.............................. 3,724 44,829 100,432
-------- -------- --------
Total (cost $221,196; $654,845; $848,429, respectively)..... 221,968 664,245 862,438
Cash........................................................ -- 1 --
Interest receivable......................................... 1,278 6,935 7,536
Receivable from brokers for investments sold................ 401 290 3,001
Receivable for capital shares issued........................ 15 37 311
Prepaid expenses and other assets........................... 1 4 3
-------- -------- --------
TOTAL ASSETS................................................ 223,663 671,512 873,289
-------- -------- --------
LIABILITIES:
Dividends payable........................................... 1,016 2,991 3,821
Payable to brokers for investments purchased................ 5,113 -- --
Payable for capital shares redeemed......................... 6 24 11
Payable for return of collateral received for securities on
loan...................................................... -- 55,051 122,850
Net payable for variation margin on futures contracts....... 15 -- --
Accrued expenses and other payables:
Investment advisory fees.................................. 39 162 209
Administration fees....................................... -- 87 104
12b-1 fees................................................ 10 7 24
Other..................................................... 53 88 111
-------- -------- --------
TOTAL LIABILITIES........................................... 6,252 58,410 127,130
-------- -------- --------
NET ASSETS:
Capital..................................................... 221,218 617,555 736,895
Undistributed (distributions in excess of) net investment
income.................................................... (411) (194) 76
Accumulated undistributed net realized gains (losses) from
investment and futures transactions....................... (4,124) (13,659) (4,821)
Net unrealized appreciation (depreciation) from investments
and futures............................................... 728 9,400 14,009
-------- -------- --------
NET ASSETS.................................................. $217,411 $613,102 $746,159
======== ======== ========
NET ASSETS:
Fiduciary............................................... $188,133 $592,669 $680,800
Class A................................................. 24,747 15,582 44,567
Class B................................................. 4,531 4,851 19,924
Class C................................................. -- -- 868
-------- -------- --------
Total....................................................... $217,411 $613,102 $746,159
======== ======== ========
OUTSTANDING UNITS OF BENEFICIAL INTEREST (SHARES):
Fiduciary............................................... 19,053 56,405 67,296
Class A................................................. 2,507 1,483 4,392
Class B................................................. 462 459 1,969
Class C................................................. -- -- 86
-------- -------- --------
Total....................................................... 22,022 58,347 73,743
======== ======== ========
Net asset value
Fiduciary Offering and redemption price per share......... $ 9.87 $ 10.51 $ 10.12
======== ======== ========
Class A Redemption price per share........................ $ 9.87 $ 10.50 $ 10.15
======== ======== ========
Maximum sales charge.................................... 3.00% 3.00% 4.50%
======== ======== ========
Maximum offering price (100%/(100%--maximum sales
charge) of net asset value adjusted to nearest cent)
per share............................................. $ 10.18 $ 10.82 $ 10.63
======== ======== ========
Class B Offering price per share (a)...................... $ 9.81 $ 10.57 $ 10.12
======== ======== ========
Class C Offering price per share (a)...................... $ -- $ -- $ 10.14
======== ======== ========
</TABLE>
- ------------
(a) Redemption price per Class B and Class C shares varies based on length of
time shares are held.
See notes to financial statements.
34
<PAGE> 37
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 1998
(Amounts in Thousands, except per share amounts)
<TABLE>
<CAPTION>
GOVERNMENT INCOME TREASURY &
BOND BOND AGENCY
FUND FUND FUND
---------- -------- ----------
<S> <C> <C> <C>
ASSETS:
Investments, at value....................................... $912,358 $954,388 $141,352
Repurchase agreements, at cost.............................. 54,714 111,685 17,229
-------- -------- --------
Total (cost $933,275; $1,021,032; $155,725, respectively)... 967,072 1,066,073 158,581
Interest receivable......................................... 6,759 11,508 1,432
Receivable from brokers for investment sold................. -- 5,340 2,165
Receivable for capital shares issued........................ 192 23 579
Deferred organization costs................................. -- -- 2
Prepaid expenses and other assets........................... 5 5 1
-------- -------- --------
TOTAL ASSETS................................................ 974,028 1,082,949 162,760
-------- -------- --------
LIABILITIES:
Dividends payable........................................... 4,401 4,852 679
Payable to brokers for investments purchased................ 15,417 -- 1,999
Payable for capital shares redeemed......................... 6 65 --
Payable for return of collateral received for securities on
loan...................................................... 49,499 148,916 17,229
Accrued expenses and other payables:
Investment advisory fees.................................. 335 305 23
Administration fees....................................... 99 130 8
12b-1 fees................................................ 22 14 14
Other..................................................... 262 155 39
-------- -------- --------
TOTAL LIABILITIES........................................... 70,041 154,437 19,991
-------- -------- --------
NET ASSETS:
Capital..................................................... 884,829 951,477 139,823
Undistributed (distributions in excess of) net investment
income.................................................... (100) 296 --
Accumulated undistributed net realized gains (losses) from
investment and
futures transactions...................................... (14,539) (68,302) 90
Net unrealized appreciation (depreciation) from investments
and futures............................................... 33,797 45,041 2,856
-------- -------- --------
NET ASSETS.................................................. $903,987 $928,512 $142,769
======== ======== ========
NET ASSETS:
Fiduciary............................................... $851,517 $898,263 $ 95,073
Class A................................................. 31,548 14,738 35,213
Class B................................................. 20,922 15,511 12,483
-------- -------- --------
Total....................................................... $903,987 $928,512 $142,769
======== ======== ========
OUTSTANDING UNITS OF BENEFICIAL INTEREST (SHARES):
Fiduciary............................................... 84,263 94,421 9,425
Class A................................................. 3,122 1,550 3,490
Class B................................................. 2,070 1,617 1,238
-------- -------- --------
Total....................................................... 89,455 97,588 14,153
======== ======== ========
Net asset value
Fiduciary Offering and redemption price per share......... $ 10.11 $ 9.51 $ 10.09
======== ======== ========
Class A Redemption price per share........................ $ 10.11 $ 9.51 $ 10.09
======== ======== ========
Maximum sales charge.................................... 4.50% 4.50% 3.00%
======== ======== ========
Maximum offering price (100%/(100%--maximum sales
charge) of net asset value adjusted to nearest cent)
per share............................................. $ 10.59 $ 9.96 $ 10.40
======== ======== ========
Class B Offering price per share (a)...................... $ 10.11 $ 9.59 $ 10.08
======== ======== ========
</TABLE>
- ------------
(a) Redemption price per Class B and Class C shares varies based on length of
time shares are held.
See notes to financial statements.
35
<PAGE> 38
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS FOR THE YEAR ENDED JUNE 30, 1998
(Amounts in Thousands)
<TABLE>
<CAPTION>
ULTRA SHORT- LIMITED VOLATILITY INTERMEDIATE
TERM INCOME BOND BOND
FUND FUND FUND
------------ ------------------ ------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income............................................ $12,689 $38,915 $45,357
Income from securities lending............................. -- 144 287
------- ------- -------
Total Income............................................... 12,689 39,059 45,644
------- ------- -------
EXPENSES:
Investment advisory fees................................... 1,124 3,580 3,951
Administration fees........................................ 335 977 1,078
12b-1 fees (Class A)....................................... 128 63 110
12b-1 fees (Class B)....................................... 34 49 147
12b-1 fees (Class C)....................................... -- -- 3
Custodian and accounting fees.............................. 32 74 96
Legal and audit fees....................................... 10 24 21
Organization costs......................................... 3 -- --
Trustees' fees and expenses................................ 3 11 10
Transfer agent fees........................................ 47 88 78
Registration and filing fees............................... 67 48 157
Printing costs............................................. 10 36 32
Other...................................................... 4 25 10
------- ------- -------
Total expenses before waivers.............................. 1,797 4,975 5,693
Less waivers............................................... (1,079) (1,730) (1,773)
------- ------- -------
Net Expenses............................................... 718 3,245 3,920
------- ------- -------
Net Investment Income...................................... 11,971 35,814 41,724
------- ------- -------
REALIZED/UNREALIZED GAINS (LOSSES) FROM INVESTMENTS AND
FUTURES:
Net realized gains (losses) from investment and futures
transactions............................................. (446) (2,526) 467
Net change in unrealized appreciation (depreciation) from
investments and futures.................................. 200 4,699 11,026
------- ------- -------
Net realized/unrealized gains (losses) from investments and
futures.................................................. (246) 2,173 11,493
------- ------- -------
Change in net assets resulting from operations............. $11,725 $37,987 $53,217
======= ======= =======
</TABLE>
See notes to financial statements.
36
<PAGE> 39
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS FOR THE YEAR ENDED JUNE 30, 1998
(Amounts in Thousands)
<TABLE>
<CAPTION>
GOVERNMENT INCOME TREASURY &
BOND BOND AGENCY
FUND FUND FUND
---------- ------- -----------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income............................................. $56,100 $61,807 $7,390
Dividend income............................................. -- -- 159
Income from securities lending.............................. 127 280 13
------- ------- ------
Total Income................................................ 56,227 62,087 7,562
------- ------- ------
EXPENSES:
Investment advisory fees.................................... 3,795 5,074 465
Administration fees......................................... 1,381 1,385 190
12b-1 fees (Class A)........................................ 116 51 38
12b-1 fees (Class B)........................................ 152 138 39
Custodian and accounting fees............................... 125 74 8
Legal and audit fees........................................ 34 27 5
Organization costs.......................................... 2 -- 1
Trustees' fees and expenses................................. 17 13 1
Transfer agent fees......................................... 122 80 25
Registration and filing fees................................ 67 114 55
Printing costs.............................................. 55 62 4
Other....................................................... 38 17 2
------- ------- ------
Total expenses before waivers............................... 5,904 7,035 833
Less waivers................................................ (454) (1,720) (374)
------- ------- ------
Net Expenses................................................ 5,450 5,315 459
------- ------- ------
Net Investment Income....................................... 50,777 56,772 7,103
------- ------- ------
REALIZED/UNREALIZED GAINS (LOSSES) FROM INVESTMENTS AND
FUTURES:
Net realized gains (losses) from investment and futures
transactions.............................................. 6,626 (13,587) 430
Net change in unrealized appreciation (depreciation) from
investments and futures................................... 27,673 21,151 1,288
------- ------- ------
Net realized/unrealized gains (losses) from investments and
futures................................................... 34,299 7,564 1,718
------- ------- ------
Change in net assets resulting from operations.............. $85,076 $64,336 $8,821
======= ======= ======
</TABLE>
See notes to financial statements.
37
<PAGE> 40
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in Thousands)
<TABLE>
<CAPTION>
ULTRA SHORT-TERM LIMITED VOLATILITY
INCOME FUND BOND FUND
----------------------- -----------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30,
1998 1997 1998 1997
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income.................................. $ 11,971 $ 5,647 $ 35,814 $ 36,887
Net realized gains (losses) from investment and futures
transactions........................................ (446) (269) (2,526) (2,851)
Net change in unrealized appreciation (depreciation)
from investments and futures........................ 200 1,032 4,699 5,502
-------- -------- -------- ---------
Change in net assets resulting from operations........... 11,725 6,410 37,987 39,538
-------- -------- -------- ---------
DISTRIBUTIONS TO FIDUCIARY SHAREHOLDERS:
From net investment income............................. (9,591) (4,769) (34,511) (35,406)
From net realized gains from investment transactions... -- -- -- --
DISTRIBUTIONS TO CLASS A SHAREHOLDERS:
From net investment income............................. (2,049) (761) (1,040) (1,219)
From net realized gains from investment transactions... -- -- -- --
DISTRIBUTIONS TO CLASS B SHAREHOLDERS:
From net investment income............................. (177) (94) (263) (262)
From net realized gains from investment transactions... -- -- -- --
DISTRIBUTIONS TO CLASS C SHAREHOLDERS:
From net investment income............................. -- -- -- --
-------- -------- -------- ---------
Change in net assets from shareholder distributions...... (11,817) (5,624) (35,814) (36,887)
-------- -------- -------- ---------
CAPITAL TRANSACTIONS:
Proceeds from shares issued............................ 210,232 109,550 120,557 117,648
Proceeds from shares issued in conversion.............. 1,303 -- 41,843 --
Dividends reinvested................................... 1,953 790 2,149 3,251
Cost of shares redeemed................................ (142,859) (26,641) (142,574) (165,778)
-------- -------- -------- ---------
Change in net assets from share transactions............. 70,629 83,699 21,975 (44,879)
-------- -------- -------- ---------
Change in net assets..................................... 70,537 84,485 24,148 (42,228)
NET ASSETS:
Beginning of period.................................... 146,874 62,389 588,954 631,182
-------- -------- -------- ---------
End of period.......................................... $217,411 $146,874 $613,102 $ 588,954
======== ======== ======== =========
SHARE TRANSACTIONS:
Issued................................................. 21,267 11,129 11,459 11,253
Issued in conversion................................... 132 -- 3,970 --
Reinvested............................................. 198 81 204 311
Redeemed............................................... (14,453) (2,708) (13,545) (15,866)
-------- -------- -------- ---------
Change in shares......................................... 7,144 8,502 2,088 (4,302)
======== ======== ======== =========
</TABLE>
- ------------
(a) Period from commencement of operations.
(b) Amount is less than 1,000.
See notes to financial statements.
38
<PAGE> 41
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in Thousands)
<TABLE>
<CAPTION>
INTERMEDIATE BOND FUND GOVERNMENT BOND FUND INCOME BOND FUND TREASURY & AGENCY FUND
- ----------------------- ----------------------- ----------------------- -----------------------------
JANUARY 20, 1997
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED TO
JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30,
1998 1997 1998 1997 1998 1997 1998 1997 (A)
- ---------- ---------- ---------- ---------- ---------- ---------- ---------- ----------------
<S> <C> <C> <C> <C> <C> <C> <C>
$ 41,724 $ 26,017 $ 50,777 $ 46,994 $ 56,772 $ 44,089 $ 7,103 $ 3,196
467 (935) 6,626 (894) (13,587) (280) 430 178
11,026 3,378 27,673 10,875 21,151 6,049 1,288 (341)
- --------- -------- -------- --------- -------- --------- -------- --------
53,217 28,460 85,076 56,975 64,336 49,858 8,821 3,033
- --------- -------- -------- --------- -------- --------- -------- --------
(38,981) (24,622) (48,072) (44,081) (55,018) (42,737) (6,265) (3,196)
-- -- -- -- -- -- (474) --
(1,927) (940) (1,922) (2,290) (951) (828) (626) --(b)
-- -- -- -- -- -- (32) --
(802) (455) (783) (623) (803) (524) (212) --(b)
-- -- -- -- -- -- (12) --
(14) -- -- -- -- -- -- --
- --------- -------- -------- --------- -------- --------- -------- --------
(41,724) (26,017) (50,777) (46,994) (56,772) (44,089) (7,621) (3,196)
- --------- -------- -------- --------- -------- --------- -------- --------
244,229 187,226 252,076 229,453 296,548 224,558 54,786 6,409
55,814 207,582 26,687 -- -- 132,470 -- 113,243
3,150 1,664 2,675 3,881 2,610 4,757 897 --(b)
(119,865) (98,172) (182,629) (199,344) (134,162) (148,078) (24,372) (9,231)
- --------- -------- -------- --------- -------- --------- -------- --------
183,328 298,300 98,809 33,990 164,996 213,707 31,311 110,421
- --------- -------- -------- --------- -------- --------- -------- --------
194,821 300,743 133,108 43,971 172,560 219,476 32,511 110,258
551,338 250,595 770,879 726,908 755,952 536,476 110,258 --
- --------- -------- -------- --------- -------- --------- -------- --------
$746,159 $551,338 $903,987 $ 770,879 $928,512 $ 755,952 $142,769 $110,258
========= ======== ======== ========= ======== ========= ======== ========
24,230 18,923 25,308 23,794 31,146 23,912 5,441 644
5,521 20,926 2,663 -- -- 14,063 -- 11,324
312 169 268 404 274 508 89 --(b)
(11,889) (9,913) (18,328) (20,680) (14,088) (15,750) (2,418) (927)
- --------- -------- -------- --------- -------- --------- -------- --------
18,174 30,105 9,911 3,518 17,332 22,733 3,112 11,041
========= ======== ======== ========= ======== ========= ======== ========
</TABLE>
See notes to financial statements.
39
<PAGE> 42
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF CASH FLOWS For the Year Ended June 30, 1998
(Amounts in Thousands)
<TABLE>
<CAPTION>
LIMITED INTERMEDIATE
VOLATILITY BOND INCOME BOND
BOND FUND FUND FUND
---------- ------------- -----------
<S> <C> <C> <C>
CASH FLOWS FROM OPERATING ACTIVITIES:
Total investment income.................................. $ 39,059 $ 45,644 $ 62,087
Net expenses............................................. (3,245) (3,920) (5,315)
---------- ----------- -----------
Net investment income (loss).......................... 35,814 41,724 56,772
Adjustments to reconcile net investment income to net cash
provided (used) by operating activities:
(Amortization)/accretion of discount/premium............. (2,611) (1,104) (1,407)
Change in interest and dividends receivable.............. (659) (1,144) (131)
Change in accrued expenses and other payables............ 109 159 168
---------- ----------- -----------
Total adjustments........................................ (3,161) (2,089) (1,370)
---------- ----------- -----------
Net cash provided (used) by operating activities...... 32,653 39,635 55,402
CASH FLOWS FROM INVESTING ACTIVITIES:
Proceeds from sales of short-term investments............ 2,964,519 5,141,279 5,185,917
Proceeds from sales of long-term investments............. 355,314 383,504 252,284
Purchases of short-term investments...................... (3,004,791) (5,193,473) (5,185,936)
Purchases of long-term investments....................... (333,519) (512,683) (416,548)
Purchases of short-term investments with cash received as
collateral from securities lending.................... (55,051) (122,850) (148,916)
Mark to market of futures................................ -- 30 32
---------- ----------- -----------
Net cash provided (used) by investing activities...... (73,528) (304,193) (313,167)
CASH FLOWS FROM FINANCING ACTIVITIES:
Proceeds from shares issued.............................. 162,120 299,301 296,540
Cost of shares redeemed.................................. (142,553) (119,859) (134,122)
Distributions paid to shareholders....................... (35,891) (40,884) (56,179)
Dividends reinvested..................................... 2,149 3,150 2,610
Collateral received from securities lending.............. 55,051 122,850 148,916
---------- ----------- -----------
Net cash provided (used) by financing activities...... 40,876 264,558 257,765
Net increase (decrease) in cash............................ 1 -- --
Cash at beginning of period................................ -- -- --
---------- ----------- -----------
Cash at end of period...................................... $ 1 $ -- $ --
========== =========== ===========
</TABLE>
See notes to financial statements.
40
<PAGE> 43
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS JUNE 30, 1998
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 accompanying financial
statements and financial highlights are those of the Ultra Short-Term Income
Fund, the Limited Volatility Bond Fund, the Intermediate Bond Fund, the
Government Bond Fund, the Income Bond Fund, and the Treasury & Agency Fund
(individually a "Fund," collectively the "Funds") only. Each Fund is a
diversified mutual fund.
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 A high level of current income by investing primarily in a
diversified portfolio of high, medium and low grade debt
securities.
Treasury & Agency Fund A high level of current income by investing in U.S. Treasury
and other U.S. Agency obligations with a primary, but not
exclusive, focus on issues that produce income exempt from
state income taxes.
</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
Debt securities (other than short-term investments maturing in 60 days or
less), including municipal securities, are valued on the basis of
valuations provided by dealers or by an independent pricing service
approved by the Board of Trustees. Short-term investments maturing in
60 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. Invest-
ments for which there are no such quotations or valuations are carried
at fair value as determined by the Fair Value Committee which is
Continued
41
<PAGE> 44
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1998
comprised of members from Banc One Investment Advisors Corporation (the
"Advisor") and The One Group Services Company (the "Administrator")
under the direction of the Board of Trustees.
REPURCHASE AGREEMENTS
The Funds (except for the Treasury & Agency Fund) may invest in
repurchase agreements with institutions that are deemed by the Advisor
to be of good standing and creditworthy under guidelines established
by the Board of Trustees. 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 under the 1940 Act.
WRITTEN OPTIONS
The Funds (except for the Limited Volatility Bond Fund and the Treasury
& Agency Fund) may write covered call or secured 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 (except for the Limited Volatility Bond Fund and the Treasury
& Agency Fund) 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 (except for the Limited Volatility Bond Fund and the Treasury
& Agency Fund) 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 (except for the Treasury & Agency Fund) 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.
Continued
42
<PAGE> 45
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1998
SECURITIES LENDING
To generate additional income, the Funds may lend up to 33% of
securities in which they are invested pursuant to agreements requiring
that the loan be continuously secured by cash, U.S. Government or U.S.
Government Agency securities, shares of an investment trust or mutual
fund, or any combination of cash and such securities as collateral equal
at all times to at least 100% of the market value plus accrued interest
on the securities lent. The Funds continue to earn interest on
securities lent while simultaneously seeking to earn interest on the
investment of collateral. Collateral is marked to market daily to
provide a level of collateral at least equal to the market value of
securities lent. There may be risks of delay in recovery of the
securities or even loss of rights in the collateral should the borrower
of the securities fail financially. However, loans will be made only to
borrowers deemed by the Advisor to be of good standing and creditworthy
under guidelines established by the Board of Trustees and when, in the
judgment of the Advisor, the consideration which can be earned currently
from such securities loans justifies the attendant risks. Loans are
subject to termination by the Funds or the borrower at any time, and
are, therefore, not considered to be illiquid investments. As of June
30, 1998, the following Funds had securities with the following market
values on loan (amounts in thousands):
<TABLE>
<CAPTION>
MARKET VALUE MARKET VALUE MARKET VALUE
OF CASH OF NON-CASH OF LOANED
COLLATERAL COLLATERAL SECURITIES
------------ ------------ ------------
<S> <C> <C> <C>
Limited Volatility Bond Fund................ $ 55,051 $85,299 $135,236
Intermediate Bond Fund...................... 122,850 55,018 172,710
Government Bond Fund........................ 49,499 -- 48,395
Income Bond Fund............................ 148,916 58,526 201,185
Treasury & Agency Fund...................... 17,229 -- 16,847
</TABLE>
The loaned securities were fully collateralized by cash, U.S. Government
securities, and commercial paper as of June 30, 1998.
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 daily 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 due to differences in separate class expenses.
Continued
43
<PAGE> 46
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1998
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.
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. The Trust is registered to offer forty
series and five classes of shares: Fiduciary Class, Class A, Class B, Class C
and Service Class. Currently, the Trust consists of thirty-three active
funds. The Funds are each authorized to issue Fiduciary Class, Class A, Class
B and Class C Shares. Class A Shares are subject to initial sales charges,
imposed at the time of purchase, in accordance with the Funds' prospectus.
Certain redemptions of Class B and Class C Shares are subject to contingent
deferred sales charges in accordance with the Funds' prospectus. As of June
30, 1998, no shareholders were in Class C of the Funds except for the
Intermediate Bond Fund. 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 fiscal years ending June 30, 1998 and
1997.
Continued
44
<PAGE> 47
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1998
(Amounts in Thousands)
<TABLE>
<CAPTION>
ULTRA SHORT-TERM INCOME FUND LIMITED VOLATILITY BOND FUND
---------------------------- ----------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30,
1998 1997 1998 1997
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
FIDUCIARY SHARES:
Proceeds from shares issued........................ $ 185,046 $ 77,614 $ 116,789 $ 111,732
Proceeds from shares issued in conversion.......... 1,303 -- 41,843 --
Dividends reinvested............................... 28 148 1,189 2,151
Cost of shares redeemed............................ (112,580) (21,314) (133,214) (157,344)
--------- -------- --------- ---------
Change in net assets from Fiduciary Share
transactions.................................... $ 73,797 $ 56,448 $ 26,607 $ (43,461)
========= ======== ========= =========
CLASS A SHARES:
Proceeds from shares issued........................ $ 22,649 $ 29,729 $ 2,909 $ 5,026
Dividends reinvested............................... 1,798 578 722 870
Cost of shares redeemed............................ (29,331) (4,720) (8,184) (7,282)
--------- -------- --------- ---------
Change in net assets from Class A Share
transactions.................................... $ (4,884) $ 25,587 $ (4,553) $ (1,386)
========= ======== ========= =========
CLASS B SHARES:
Proceeds from shares issued........................ $ 2,537 $ 2,207 $ 859 $ 890
Dividends reinvested............................... 127 64 238 230
Cost of shares redeemed............................ (948) (607) (1,176) (1,152)
--------- -------- --------- ---------
Change in net assets from Class B Share
transactions.................................... $ 1,716 $ 1,664 $ (79) $ (32)
========= ======== ========= =========
SHARE TRANSACTIONS:
FIDUCIARY SHARES:
Issued............................................. 18,717 7,886 11,101 10,686
Issued in conversion............................... 132 -- 3,970 --
Reinvested......................................... 3 15 113 206
Redeemed........................................... (11,387) (2,166) (12,655) (15,059)
--------- -------- --------- ---------
Change in Fiduciary Shares......................... 7,465 5,735 2,529 (4,167)
========= ======== ========= =========
CLASS A SHARES:
Issued............................................. 2,292 3,018 276 482
Reinvested......................................... 182 59 69 83
Redeemed........................................... (2,970) (480) (779) (697)
--------- -------- --------- ---------
Change in Class A Shares........................... (496) 2,597 (434) (132)
========= ======== ========= =========
CLASS B SHARES:
Issued............................................. 258 225 82 85
Reinvested......................................... 13 7 22 22
Redeemed........................................... (96) (62) (111) (110)
--------- -------- --------- ---------
Change in Class B Shares........................... 175 170 (7) (3)
========= ======== ========= =========
</TABLE>
Continued
45
<PAGE> 48
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1998
(Amounts in Thousands)
<TABLE>
<CAPTION>
INTERMEDIATE BOND FUND GOVERNMENT BOND FUND
--------------------------- ---------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30,
1998 1997 1998 1997
------------ ------------ ------------ ------------
<S> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
FIDUCIARY SHARES:
Proceeds from shares issued........................... $ 201,043 $172,698 $ 234,966 $ 217,351
Proceeds from shares issued in conversion............. 55,814 207,582 26,687 --
Dividends reinvested.................................. 963 661 720 1,826
Cost of shares redeemed............................... (110,226) (91,579) (167,601) (181,374)
--------- -------- --------- ---------
Change in net assets from Fiduciary Share
transactions....................................... $ 147,594 $289,362 $ 94,772 $ 37,803
========= ======== ========= =========
CLASS A SHARES:
Proceeds from shares issued........................... $ 30,840 $ 9,430 $ 6,410 $ 9,184
Dividends reinvested.................................. 1,554 671 1,363 1,575
Cost of shares redeemed............................... (7,067) (5,173) (12,344) (15,371)
--------- -------- --------- ---------
Change in net assets from Class A Share
transactions....................................... $ 25,327 $ 4,928 $ (4,571) $ (4,612)
========= ======== ========= =========
CLASS B SHARES:
Proceeds from shares issued........................... $ 11,110 $ 5,098 $ 10,700 $ 2,918
Dividends reinvested.................................. 622 332 592 480
Cost of shares redeemed............................... (2,193) (1,420) (2,684) (2,599)
--------- -------- --------- ---------
Change in net assets from Class B Share
transactions....................................... $ 9,539 $ 4,010 $ 8,608 $ 799
========= ======== ========= =========
CLASS C SHARES:
Proceeds from shares issued........................... $ 1,236 $ -- $ -- $ --
Dividends reinvested.................................. 11 -- -- --
Cost of shares redeemed............................... (379) -- -- --
--------- -------- --------- ---------
Change in net assets from Class C Share
transactions....................................... $ 868 $ -- $ -- $ --
========= ======== ========= =========
SHARE TRANSACTIONS:
FIDUCIARY SHARES:
Issued................................................ 19,955 17,457 23,598 22,536
Issued in conversion.................................. 5,521 20,926 2,663 --
Reinvested............................................ 95 67 72 190
Redeemed.............................................. (10,935) (9,247) (16,821) (18,817)
--------- -------- --------- ---------
Change in Fiduciary Shares............................ 14,636 29,203 9,512 3,909
========= ======== ========= =========
CLASS A SHARES:
Issued................................................ 3,051 951 640 956
Reinvested............................................ 154 68 137 164
Redeemed.............................................. (699) (522) (1,238) (1,593)
--------- -------- --------- ---------
Change in Class A Shares.............................. 2,506 497 (461) (473)
========= ======== ========= =========
CLASS B SHARES:
Issued................................................ 1,102 515 1,070 302
Reinvested............................................ 62 34 59 50
Redeemed.............................................. (218) (144) (269) (270)
--------- -------- --------- ---------
Change in Class B Shares.............................. 946 405 860 82
========= ======== ========= =========
CLASS C SHARES:
Issued................................................ 122 -- -- --
Reinvested............................................ 1 -- -- --
Redeemed.............................................. (37) -- -- --
--------- -------- --------- ---------
Change in Class C Shares.............................. 86 -- -- --
========= ======== ========= =========
</TABLE>
Continued
46
<PAGE> 49
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1998
(Amounts in Thousands)
<TABLE>
<CAPTION>
INCOME BOND FUND TREASURY & AGENCY FUND
---------------------------- ------------------------------------
YEAR ENDED YEAR ENDED YEAR ENDED JANUARY 20, 1997 TO
JUNE 30, JUNE 30, JUNE 30, JUNE 30,
1998 1997 1998 1997(A)
------------ ------------ ------------- -------------------
<S> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
FIDUCIARY SHARES:
Proceeds from shares issued.............. $ 282,984 $ 210,985 $ 7,487 $ 6,235
Proceeds from shares issued in
conversion............................ -- 132,470 -- 113,243
Dividends reinvested..................... 1,242 3,766 373 --(b)
Cost of shares redeemed.................. (124,033) (142,285) (23,978) (9,231)
--------- --------- -------- --------
Change in net assets from Fiduciary Share
transactions.......................... $ 160,193 $ 204,936 $(16,118) $110,247
========= ========= ======== ========
CLASS A SHARES:
Proceeds from shares issued.............. $ 6,801 $ 7,637 $ 34,752 $ 94
Dividends reinvested..................... 770 647 417 --(b)
Cost of shares redeemed.................. (7,302) (4,192) (121) --
--------- --------- -------- --------
Change in net assets from Class A Share
transactions.......................... $ 269 $ 4,092 $ 35,048 $ 94
========= ========= ======== ========
CLASS B SHARES:
Proceeds from shares issued.............. $ 6,763 $ 5,936 $ 12,547 $ 80
Dividends reinvested..................... 598 344 107 --(b)
Cost of shares redeemed.................. (2,827) (1,601) (273) --(b)
--------- --------- -------- --------
Change in net assets from Class B Share
transactions.......................... $ 4,534 $ 4,679 $ 12,381 $ 80
========= ========= ======== ========
SHARE TRANSACTIONS:
FIDUCIARY SHARES:
Issued................................... 29,726 22,470 743 627
Issued in conversion..................... -- 14,063 -- 11,324
Reinvested............................... 131 403 37 --(b)
Redeemed................................. (13,025) (15,133) (2,379) (927)
--------- --------- -------- --------
Change in Fiduciary Shares............... 16,832 21,803 (1,599) 11,024
========= ========= ======== ========
CLASS A SHARES:
Issued................................... 715 814 3,452 9
Reinvested............................... 81 69 41 --(b)
Redeemed................................. (768) (448) (12) --
--------- --------- -------- --------
Change in Class A Shares................. 28 435 3,481 9
========= ========= ======== ========
CLASS B SHARES:
Issued................................... 705 628 1,246 8
Reinvested............................... 62 36 11 --(b)
Redeemed................................. (295) (169) (27) --(b)
--------- --------- -------- --------
Change in Class B Shares................. 472 495 1,230 8
========= ========= ======== ========
</TABLE>
- ------------
(a) Period from commencement of operations.
(b) Amounts are less than 1,000.
Continued
47
<PAGE> 50
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1998
4. INVESTMENT ADVISORY, ADMINISTRATIVE, AND DISTRIBUTION AGREEMENTS:
The Trust and the Advisor are parties to an investment advisory agreement
under which the Advisor 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;
0.45% of the Government Bond Fund; and 0.40% of the Treasury & Agency Fund.
The Trust and 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 Advisor also serves as Sub-Administrator to each fund of the
Trust, pursuant to an agreement between the Administrator and the Advisor.
Pursuant to this agreement, the Advisor performs many of the Administrator's
duties, for which the Advisor receives a fee paid by the Administrator.
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, Class B, and Class C Shares are subject to a
distribution and shareholder services plan (the "Plans") pursuant to Rule
12b-1 under the 1940 Act. As provided in the Plans, the Trust will pay the
Distributor a fee of 0.35% of the average daily net assets of Class A Shares
of each of the Funds and 1.00% of the average daily net assets of the Class B
and Class C 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 the Ultra Short-Term Income Fund, the
Limited Volatility Bond Fund and the Treasury & Agency Fund, 0.90% of average
daily net assets of the Class B Shares of the Intermediate Bond Fund, the
Government Bond Fund and the Income Bond Fund and 0.90% of the average daily
net assets of the Class C Shares of the Intermediate 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 Advisor), brokers, dealers and other institutions, including the
Distributor's affiliates and subsidiaries as compensation for services or
reimbursement of expenses incurred in connection with distribution assistance
or provision of shareholder services. Fiduciary Class Shares of each Fund are
offered without distribution fees. For the year ended June 30, 1998, the
Distributor received $1,877,779 from commissions earned on sales of Class A
Shares and redemptions of Class B and Class C Shares, of which the
Distributor re-allowed $1,866,957 to affiliated broker-dealers of the Funds.
Certain officers of the Trust are affiliated with the Administrator. Such
officers receive no compensation from the Funds for serving in their
respective roles.
Continued
48
<PAGE> 51
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1998
The Advisor, the Administrator and the Distributor voluntarily agreed to
waive a portion of their fees. For the year ended June 30, 1998, fees in the
following amounts were waived (amounts in thousands):
<TABLE>
<CAPTION>
INVESTMENT 12B-1 FEES
ADVISORY WAIVED
FEES ADMINISTRATION -----------------
WAIVED FEES WAIVED CLASS A CLASS B
------ ----------- ------- -------
<S> <C> <C> <C> <C>
Ultra Short-Term Income Fund.................... $ 698 $335 $37 $ 9
Limited Volatility Bond Fund.................... 1,700 -- 18 12
Intermediate Bond Fund.......................... 1,726 -- 32 15
Government Bond Fund............................ 80 326 33 15
Income Bond Fund................................ 1,691 -- 15 14
Treasury & Agency Fund.......................... 232 121 11 10
</TABLE>
5. SECURITIES TRANSACTIONS:
The cost of security purchases and the proceeds from the sale of securities
(excluding short-term securities and purchased options) during the year ended
June 30, 1998 were as follows (amounts in thousands):
<TABLE>
<CAPTION>
PURCHASES SALES
--------- --------
<S> <C> <C> <C> <C>
Ultra Short-Term Income Fund...................... $162,771 $ 79,715
Limited Volatility Bond Fund...................... 333,519 355,314
Intermediate Bond Fund............................ 512,683 383,504
Government Bond Fund.............................. 839,328 761,985
Income Bond Fund.................................. 416,548 252,284
Treasury & Agency Fund............................ 78,500 51,034
</TABLE>
6. FINANCIAL INSTRUMENTS:
Investing in financial instruments such as written options, futures,
structured notes and indexed securities involves risks 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. CONVERSION OF COMMON TRUST FUNDS:
On December 19, 1997, the net assets of certain common trust funds managed by
the Advisor were exchanged in a tax-free conversion for shares of the
corresponding One Group Funds. The transaction was accounted for by a method
followed for tax purposes in a tax-free business combination. The following
is a summary of shares
Continued
49
<PAGE> 52
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1998
issued, net assets converted, net asset value per share issued and unrealized
appreciation of assets acquired as of the conversion date (amounts in
thousands except per share amounts):
<TABLE>
<CAPTION>
NET ASSET
VALUE
SHARES NET ASSETS PER SHARE UNREALIZED
ISSUED CONVERTED ISSUED APPRECIATION
------ ---------- ---------- ------------
<S> <C> <C> <C> <C>
Ultra Short-Term Income Fund..................... 132 $ 1,303 $ 9.89 $ --
Limited Volatility Bond Fund..................... 3,970 41,843 10.54 254
Intermediate Bond Fund........................... 5,521 55,814 10.11 639
Government Bond Fund............................. 2,663 26,687 10.02 127
</TABLE>
On January 20, 1997, the net assets of certain common trust funds managed by
the Advisor were exchanged in a tax-free conversion for shares of the
corresponding One Group Funds. The transaction was accounted for by a method
followed for tax purposes in a tax-free business combination. The following is
a summary of shares issued, net assets converted, net asset value per share
issued and unrealized appreciation of assets acquired as of the conversion
date (amounts in thousands except per share amounts):
<TABLE>
<CAPTION>
NET ASSET
VALUE
SHARES NET ASSETS PER SHARE UNREALIZED
ISSUED CONVERTED ISSUED APPRECIATION
------ ---------- ---------- ------------
<S> <C> <C> <C> <C>
Income Bond Fund................................. 14,063 $132,470 $ 9.42 $4,511
Intermediate Bond Fund........................... 20,926 207,582 9.92 1,740
Treasury & Agency Fund........................... 11,324 113,243 10.00 1,909
</TABLE>
8. FEDERAL TAX INFORMATION (UNAUDITED):
The accompanying table below details distributions from long-term capital
gains for the following funds for the fiscal year ended June 30, 1998
(amounts in thousands):
<TABLE>
<CAPTION>
20% 28%
FUND DISTRIBUTION DISTRIBUTIONS
---- ------------ -------------
<S> <C> <C>
Treasury & Agency Fund.................................. $241 $37
</TABLE>
Continued
50
<PAGE> 53
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1998
At June 30, 1998 the following funds have capital loss carryforwards which are
available to offset future capital gains, if any (amounts in thousands):
<TABLE>
<CAPTION>
CAPITAL LOSS
CARRYFORWARDS EXPIRES
------------- -------
<S> <C> <C>
Ultra Short-Term Income Fund................................ $ 2,283 2003
Ultra Short-Term Income Fund................................ 1,065 2004
Ultra Short-Term Income Fund................................ 682 2005
Ultra Short-Term Income Fund................................ 139 2006
Limited Volatility Bond Fund................................ 197 2000
Limited Volatility Bond Fund................................ 165 2001
Limited Volatility Bond Fund................................ 443 2002
Limited Volatility Bond Fund................................ 2,720 2003
Limited Volatility Bond Fund................................ 3,301 2004
Limited Volatility Bond Fund................................ 651 2005
Limited Volatility Bond Fund................................ 2,646 2006
Intermediate Bond Fund...................................... 47 2000
Intermediate Bond Fund...................................... 845 2001
Intermediate Bond Fund...................................... 1,321 2002
Intermediate Bond Fund...................................... 1,980 2003
Intermediate Bond Fund...................................... 530 2005
Government Bond Fund........................................ 9,225 2003
Government Bond Fund........................................ 5,314 2004
Income Bond Fund............................................ 50,654 2003
Income Bond Fund............................................ 1,963 2004
Income Bond Fund............................................ 2,229 2006
</TABLE>
Capital losses incurred after October 31 within the Fund's fiscal year may be
deferred and treated as occurring on the first day of the following fiscal
year. The following deferred losses will be treated as arising on the first
day of the fiscal year ended June 30, 1999 (amounts in thousands):
<TABLE>
<CAPTION>
FUND AMOUNT
---- -------
<S> <C>
Limited Volatility Bond Fund................................ $ 3,536
Income Bond Fund............................................ 13,376
</TABLE>
9. SUBSEQUENT EVENTS:
On May 21, 1998, the Board of Trustees approved an agreement and plan of
reorganization and liquidation ("the Plan") with the Marquis Family of Funds
(the "Marquis Funds"). Under the Plan, the assets and liabilities of each
Marquis fund were transferred to a comparable One Group fund. Shares of the
comparable One Group fund were distributed to the Marquis shareholders in a
complete liquidation of each Marquis fund. A special Shareholder Meeting to
approve the plan was held on July 30, 1998. In a tax-free exchange on August
10, 1998, net assets of the Marquis funds were exchanged for shares of a
corresponding fund of The One Group as follows (amounts in thousands):
<TABLE>
<CAPTION>
SHARES NET ASSETS
ONE GROUP FUND ISSUED MARQUIS FUND CONVERTED
-------------- ------- --------------------------- -----------
<S> <C> <C> <C>
Government Bond................... 14,229 Government Securities Fund $144,002
Income Bond....................... 1,784 Strategic Income Bond Fund 16,989
</TABLE>
51
<PAGE> 54
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
ULTRA SHORT-TERM INCOME FUND
-------------------------------------------------------
FIDUCIARY
-------------------------------------------------------
YEAR ENDED JUNE 30,
-------------------------------------------------------
1998 1997 1996 1995 1994
-------- -------- ------- -------- --------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................................... $ 9.87 $ 9.79 $ 9.84 $ 9.85 $ 10.03
-------- -------- ------- -------- --------
Investment Activities:
Net investment income..................................... 0.59 0.62 0.62 0.55 0.36
Net realized and unrealized gains (losses) from
investments and futures................................. (0.01) 0.05 (0.07) (0.05) (0.15)
-------- -------- ------- -------- --------
Total from Investment Activities........................ 0.58 0.67 0.55 0.50 0.21
-------- -------- ------- -------- --------
Distributions:
Net investment income..................................... (0.58) (0.59) (0.60) (0.48) (0.37)
In excess of net investment income........................ -- -- -- (0.03) (0.02)
-------- -------- ------- -------- --------
Total Distributions..................................... (0.58) (0.59) (0.60) (0.51) (0.39)
-------- -------- ------- -------- --------
NET ASSET VALUE,
END OF PERIOD............................................. $ 9.87 $ 9.87 $ 9.79 $ 9.84 $ 9.85
======== ======== ======= ======== ========
Total Return................................................ 6.00% 7.14% 5.71% 5.14% 2.16%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $188,133 $114,413 $57,276 $ 51,050 $139,593
Ratio of expenses to average net assets................... 0.30% 0.35% 0.45% 0.61% 0.65%
Ratio of net investment income to average net assets...... 5.92% 6.02% 6.20% 5.18% 3.70%
Ratio of expenses to average net assets*.................. 0.81% 0.81% 1.06% 1.01% 0.81%
Ratio of net investment income to average net assets*..... 5.41% 5.56% 5.59% 4.78% 3.54%
Portfolio Turnover (a).................................... 41.15% 70.36% 67.65% 2.91% 242.20%
</TABLE>
- ------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
52
<PAGE> 55
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
ULTRA SHORT-TERM INCOME FUND
-------------------------------------------------
<S> <C> <C> <C> <C> <C>
CLASS A
-------------------------------------------------
<CAPTION>
YEAR ENDED JUNE 30,
-------------------------------------------------
1998 1997 1996 1995 1994
------- ------- ------ ------ -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................................... $ 9.87 $ 9.78 $ 9.83 $ 9.84 $ 10.03
------- ------- ------ ------ -------
Investment Activities:
Net investment income..................................... 0.56 0.58 0.58 0.52 0.36
Net realized and unrealized gains (losses) from
investments and futures................................. (0.01) 0.09 (0.06) (0.06) (0.17)
------- ------- ------ ------ -------
Total from Investment Activities........................ 0.55 0.67 0.52 0.46 0.19
------- ------- ------ ------ -------
Distributions:
Net investment income..................................... (0.55) (0.58) (0.57) (0.46) (0.34)
In excess of net investment income........................ -- -- -- (0.01) (0.04)
------- ------- ------ ------ -------
Total Distributions..................................... (0.55) (0.58) (0.57) (0.47) (0.38)
------- ------- ------ ------ -------
NET ASSET VALUE,
END OF PERIOD............................................. $ 9.87 $ 9.87 $ 9.78 $ 9.83 $ 9.84
======= ======= ====== ====== =======
Total Return (Excludes Sales Charge)........................ 5.75% 7.00% 5.42% 4.84% 1.95%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $24,747 $29,643 $3,969 $4,631 $19,053
Ratio of expenses to average net assets................... 0.54% 0.61% 0.70% 0.86% 0.89%
Ratio of net investment income to average net assets...... 5.66% 5.78% 5.95% 4.88% 3.54%
Ratio of expenses to average net assets*.................. 1.15% 1.17% 1.41% 1.36% 1.14%
Ratio of net investment income to average net assets*..... 5.05% 5.22% 5.24% 4.38% 3.29%
Portfolio Turnover (a).................................... 41.15% 70.36% 67.65% 2.91% 242.20%
</TABLE>
- ------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
53
<PAGE> 56
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
ULTRA SHORT-TERM INCOME FUND
----------------------------------------------------
<S> <C> <C> <C> <C> <C>
CLASS B
----------------------------------------------------
<CAPTION>
JANUARY 14,
YEAR ENDED JUNE 30, 1994 TO
------------------------------------- JUNE 30,
1998 1997 1996 1995 1994(A)
------ ------ ------ ------- -----------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................................... $ 9.81 $ 9.76 $ 9.84 $ 9.86 $ 9.98
------ ------ ------ ------- -------
Investment Activities:
Net investment income..................................... 0.52 0.54 0.52 0.47 0.12
Net realized and unrealized gains (losses) from
investments and futures................................. (0.01) 0.05 (0.07) (0.04) (0.11)
------ ------ ------ ------- -------
Total from Investment Activities........................ 0.51 0.59 0.45 0.43 0.01
------ ------ ------ ------- -------
Distributions:
Net investment income..................................... (0.51) (0.54) (0.53) (0.45) (0.12)
In excess of net investment income........................ -- -- -- -- (0.01)
------ ------ ------ ------- -------
Total Distributions..................................... (0.51) (0.54) (0.53) (0.45) (0.13)
------ ------ ------ ------- -------
NET ASSET VALUE,
END OF PERIOD............................................. $ 9.81 $ 9.81 $ 9.76 $ 9.84 $ 9.86
====== ====== ====== ======= =======
Total Return (Excludes Sales Charge)........................ 5.32% 6.22% 4.63% 4.77% (0.09%)(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $4,531 $2,818 $1,144 $ 160 $ 15
Ratio of expenses to average net assets................... 0.99% 1.07% 1.20% 1.31% 1.41%(c)
Ratio of net investment income to average net assets...... 5.23% 5.18% 5.45% 4.91% 3.49%(c)
Ratio of expenses to average net assets*.................. 1.75% 1.81% 2.06% 1.96% 1.83%(c)
Ratio of net investment income to average net assets*..... 4.47% 4.44% 4.59% 4.26% 3.07%(c)
Portfolio Turnover (d).................................... 41.15% 70.36% 67.65% 2.91% 242.20%
</TABLE>
- ------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
(d) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
54
<PAGE> 57
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LIMITED VOLATILITY BOND FUND
--------------------------------------------------------
<S> <C> <C> <C> <C> <C>
FIDUCIARY
--------------------------------------------------------
<CAPTION>
YEAR ENDED JUNE 30,
--------------------------------------------------------
1998 1997 1996 1995 1994
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD...................................... $ 10.47 $ 10.42 $ 10.53 $ 10.33 $ 10.87
-------- -------- -------- -------- --------
Investment Activities:
Net investment income.................................... 0.63 0.63 0.64 0.60 0.54
Net realized and unrealized gains (losses) from
investments and futures................................ 0.04 0.05 (0.11) 0.19 (0.45)
-------- -------- -------- -------- --------
Total from Investment Activities....................... 0.67 0.68 0.53 0.79 0.09
-------- -------- -------- -------- --------
Distributions:
Net investment income.................................... (0.63) (0.63) (0.64) (0.59) (0.55)
In excess of net investment income....................... -- -- -- -- (0.02)
Net realized gains....................................... -- -- -- -- (0.06)
-------- -------- -------- -------- --------
Total Distributions.................................... (0.63) (0.63) (0.64) (0.59) (0.63)
-------- -------- -------- -------- --------
NET ASSET VALUE,
END OF PERIOD............................................ $ 10.51 $ 10.47 $ 10.42 $ 10.53 $ 10.33
======== ======== ======== ======== ========
Total Return............................................... 6.59% 6.75% 5.13% 7.96% 0.79%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)........................ $592,669 $563,979 $604,916 $410,746 $447,394
Ratio of expenses to average net assets.................. 0.53% 0.51% 0.51% 0.52% 0.50%
Ratio of net investment income to average net assets..... 6.01% 6.06% 6.06% 5.82% 5.10%
Ratio of expenses to average net assets*................. 0.82% 0.81% 0.82% 0.85% 0.85%
Ratio of net investment income to average
net assets*............................................ 5.72% 5.76% 5.75% 5.49% 4.75%
Portfolio Turnover (a)................................... 56.99% 66.61% 75.20% 76.43% 30.61%
</TABLE>
- ------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
55
<PAGE> 58
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LIMITED VOLATILITY BOND FUND
---------------------------------------------------
<S> <C> <C> <C> <C> <C>
CLASS A
---------------------------------------------------
<CAPTION>
YEAR ENDED JUNE 30,
---------------------------------------------------
1998 1997 1996 1995 1994
------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................................... $ 10.46 $ 10.41 $ 10.52 $ 10.32 $ 10.87
------- ------- ------- ------- -------
Investment Activities:
Net investment income..................................... 0.61 0.61 0.63 0.56 0.52
Net realized and unrealized gains (losses) from
investments and futures................................. 0.04 0.05 (0.13) 0.21 (0.46)
------- ------- ------- ------- -------
Total from Investment Activities........................ 0.65 0.66 0.50 0.77 0.06
------- ------- ------- ------- -------
Distributions:
Net investment income..................................... (0.61) (0.61) (0.61) (0.56) (0.51)
In excess of net investment income........................ -- -- -- (0.01) (0.04)
Net realized gains........................................ -- -- -- -- (0.06)
------- ------- ------- ------- -------
Total Distributions..................................... (0.61) (0.61) (0.61) (0.57) (0.61)
------- ------- ------- ------- -------
NET ASSET VALUE,
END OF PERIOD............................................. $ 10.50 $ 10.46 $ 10.41 $ 10.52 $ 10.32
======= ======= ======= ======= =======
Total Return (Excludes Sales Charge)........................ 6.32% 6.47% 4.86% 7.67% 0.49%
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $15,582 $20,055 $21,343 $12,516 $15,216
Ratio of expenses to average net assets................... 0.78% 0.76% 0.76% 0.77% 0.75%
Ratio of net investment income to average net assets...... 5.77% 5.81% 5.81% 5.57% 4.92%
Ratio of expenses to average net assets*.................. 1.17% 1.16% 1.17% 1.20% 1.20%
Ratio of net investment income to average
net assets*............................................. 5.38% 5.41% 5.40% 5.14% 4.47%
Portfolio Turnover (a).................................... 56.99% 66.61% 75.20% 76.43% 30.61%
</TABLE>
- ------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
56
<PAGE> 59
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LIMITED VOLATILITY BOND FUND
---------------------------------------------------
<S> <C> <C> <C> <C> <C>
CLASS B
---------------------------------------------------
<CAPTION>
JANUARY 14,
YEAR ENDED JUNE 30, 1994 TO
------------------------------------ JUNE 30,
1998 1997 1996 1995 1994(A)
------ ------ ------ ------ -----------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................................... $10.53 $10.49 $10.60 $10.40 $10.78
------ ------ ------ ------ ------
Investment Activities:
Net investment income..................................... 0.58 0.55 0.55 0.53 0.17
Net realized and unrealized gains (losses) from
investments
and futures............................................. 0.04 0.04 (0.10) 0.19 (0.37)
------ ------ ------ ------ ------
Total from Investment Activities........................ 0.62 0.59 0.45 0.72 (0.20)
------ ------ ------ ------ ------
Distributions:
Net investment income..................................... (0.58) (0.55) (0.56) (0.52) (0.15)
In excess of net realized gains........................... -- -- -- -- (0.03)
------ ------ ------ ------ ------
Total Distributions..................................... (0.58) (0.55) (0.56) (0.52) (0.18)
------ ------ ------ ------ ------
NET ASSET VALUE,
END OF PERIOD............................................. $10.57 $10.53 $10.49 $10.60 $10.40
====== ====== ====== ====== ======
Total Return (Excludes Sales Charge)........................ 5.98% 5.74% 4.28% 7.18% (1.81%)(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $4,851 $4,920 $4,923 $2,906 $1,974
Ratio of expenses to average net assets................... 1.11% 1.20% 1.26% 1.28% 1.26%(c)
Ratio of net investment income to average net assets...... 5.44% 5.21% 5.31% 5.10% 4.39%(c)
Ratio of expenses to average net assets*.................. 1.64% 1.81% 1.82% 1.86% 1.86%(c)
Ratio of net investment income to average net assets*..... 4.91% 4.60% 4.75% 4.52% 3.79%(c)
Portfolio Turnover (d).................................... 56.99% 66.61% 75.20% 76.43% 30.61%
</TABLE>
- ------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
(d) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
57
<PAGE> 60
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERMEDIATE BOND FUND
-------------------------------------------------------
<S> <C> <C> <C> <C> <C>
FIDUCIARY
-------------------------------------------------------
<CAPTION>
YEAR ENDED JUNE 30,
-------------------------------------------------------
1998 1997 1996 1995 1994
-------- -------- -------- -------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................................... $ 9.92 $ 9.84 $ 10.01 $ 9.72 $ 10.51
-------- -------- -------- -------- -------
Investment Activities:
Net investment income..................................... 0.64 0.65 0.66 0.66 0.60
Net realized and unrealized gains (losses) from
investments and futures................................. 0.20 0.08 (0.17) 0.29 (0.67)
-------- -------- -------- -------- -------
Total from Investment Activities........................ 0.84 0.73 0.49 0.95 (0.07)
-------- -------- -------- -------- -------
Distributions:
Net investment income..................................... (0.64) (0.65) (0.66) (0.66) (0.60)
In excess of net investment income........................ -- -- -- -- (0.02)
Net realized gains........................................ -- -- -- -- (0.10)
-------- -------- -------- -------- -------
Total Distributions..................................... (0.64) (0.65) (0.66) (0.66) (0.72)
-------- -------- -------- -------- -------
NET ASSET VALUE,
END OF PERIOD............................................. $ 10.12 $ 9.92 $ 9.84 $ 10.01 $ 9.72
======== ======== ======== ======== =======
Total Return................................................ 8.71% 7.68% 4.95% 10.15% (0.74%)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $680,800 $522,423 $230,812 $191,216 $98,483
Ratio of expenses to average net assets................... 0.56% 0.54% 0.54% 0.56% 0.32%
Ratio of net investment income to average net assets...... 6.37% 6.63% 6.56% 6.88% 6.04%
Ratio of expenses to average net assets*.................. 0.83% 0.81% 0.87% 0.99% 0.87%
Ratio of net investment income to average net assets*..... 6.10% 6.36% 6.23% 6.45% 5.49%
Portfolio Turnover (a).................................... 60.08% 55.91% 101.06% 99.71% 85.62%
</TABLE>
- ------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
58
<PAGE> 61
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERMEDIATE BOND FUND
---------------------------------------------
<S> <C> <C> <C> <C>
CLASS A
---------------------------------------------
<CAPTION>
NOVEMBER 30,
YEAR ENDED JUNE 30, 1994 TO
----------------------------- JUNE 30,
1998 1997 1996 1995(A)
------- ------- ------- ------------
<S> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................................... $ 9.95 $ 9.87 $ 10.04 $ 9.45
------- ------- ------- ------
Investment Activities:
Net investment income..................................... 0.62 0.63 0.64 0.37
Net realized and unrealized gains (losses) from
investments and futures................................. 0.20 0.08 (0.17) 0.59
------- ------- ------- ------
Total from Investment Activities........................ 0.82 0.71 0.47 0.96
------- ------- ------- ------
Distributions:
Net investment income..................................... (0.62) (0.63) (0.64) (0.37)
------- ------- ------- ------
Total Distributions..................................... (0.62) (0.63) (0.64) (0.37)
------- ------- ------- ------
NET ASSET VALUE,
END OF PERIOD............................................. $ 10.15 $ 9.95 $ 9.87 $10.04
======= ======= ======= ======
Total Return (Excludes Sales Charge)........................ 8.47% 7.40% 4.77% 10.29%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $44,567 $18,763 $13,706 $4,941
Ratio of expenses to average net assets................... 0.81% 0.78% 0.79% 0.83%(c)
Ratio of net investment income to average net assets...... 6.12% 6.35% 6.31% 6.64%(c)
Ratio of expenses to average net assets*.................. 1.18% 1.16% 1.22% 1.66%(c)
Ratio of net investment income to average net assets*..... 5.75% 5.97% 5.88% 5.81%(c)
Portfolio Turnover (d).................................... 60.08% 55.91% 101.06% 99.71%
</TABLE>
- ------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
(d) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
59
<PAGE> 62
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERMEDIATE BOND FUND
---------------------------------------------
<S> <C> <C> <C> <C>
CLASS B
---------------------------------------------
<CAPTION>
NOVEMBER 30,
YEAR ENDED JUNE 30, 1994 TO
----------------------------- JUNE 30,
1998 1997 1996 1995(A)
------- ------- ------- ------------
<S> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................................... $ 9.92 $ 9.83 $ 10.01 $ 9.45
------- ------- ------- ------
Investment Activities:
Net investment income..................................... 0.55 0.56 0.58 0.23
Net realized and unrealized gains (losses) from
investments and futures................................. 0.20 0.09 (0.18) 0.56
------- ------- ------- ------
Total from Investment Activities........................ 0.75 0.65 0.40 0.79
------- ------- ------- ------
Distributions:
Net investment income..................................... (0.55) (0.56) (0.58) (0.23)
------- ------- ------- ------
Total Distributions..................................... (0.55) (0.56) (0.58) (0.23)
------- ------- ------- ------
NET ASSET VALUE,
END OF PERIOD............................................. $ 10.12 $ 9.92 $ 9.83 $10.01
======= ======= ======= ======
Total Return (Excludes Sales Charge)........................ 7.78% 6.83% 4.10% 8.22%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $19,924 $10,152 $ 6,077 $ 266
Ratio of expenses to average net assets................... 1.46% 1.44% 1.44% 1.51%(c)
Ratio of net investment income to average net assets...... 5.47% 5.71% 5.66% 6.15%(c)
Ratio of expenses to average net assets*.................. 1.83% 1.81% 1.87% 2.34%(c)
Ratio of net investment income to average net assets*..... 5.10% 5.34% 5.23% 5.31%(c)
Portfolio Turnover (d).................................... 60.08% 55.91% 101.06% 99.71%
</TABLE>
- ------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
(d) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
60
<PAGE> 63
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERMEDIATE BOND FUND
----------------------
CLASS C
----------------------
NOVEMBER 4,
1997 TO
JUNE 30,
1998(A)
----------------------
<S> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................................... $10.07
------
Investment Activities:
Net investment income..................................... 0.73
Net realized and unrealized gains (losses) from
investments and futures................................. 0.07
------
Total from Investment Activities........................ 0.80
------
Distributions:
Net investment income..................................... (0.73)
------
Total Distributions..................................... (0.73)
------
NET ASSET VALUE,
END OF PERIOD............................................. $10.14
======
Total Return (Excludes Sales Charge)........................ 8.20%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $ 868
Ratio of expenses to average net assets................... 1.46%(c)
Ratio of net investment income to average net assets...... 5.44%(c)
Ratio of expenses to average net assets*.................. 1.82%(c)
Ratio of net investment income to average net assets*..... 5.08%(c)
Portfolio Turnover (d).................................... 60.08%
</TABLE>
- ------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations
(b) Not annualized.
(c) Annualized.
(d) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
61
<PAGE> 64
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
GOVERNMENT BOND FUND
--------------------------------------------------------
<S> <C> <C> <C> <C> <C>
FIDUCIARY
--------------------------------------------------------
<CAPTION>
YEAR ENDED JUNE 30,
--------------------------------------------------------
1998 1997 1996 1995 1994
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD...................................... $ 9.69 $ 9.56 $ 9.81 $ 9.35 $ 10.15
-------- -------- -------- -------- --------
Investment Activities:
Net investment income.................................... 0.60 0.62 0.62 0.62 0.51
Net realized and unrealized gains (losses) from
investments and futures................................ 0.42 0.13 (0.25) 0.46 (0.77)
-------- -------- -------- -------- --------
Total from Investment Activities....................... 1.02 0.75 0.37 1.08 (0.26)
-------- -------- -------- -------- --------
Distributions:
Net investment income.................................... (0.60) (0.62) (0.62) (0.61) (0.50)
In excess of net investment income....................... -- -- -- (0.01) (0.02)
In excess of net realized gains.......................... -- -- -- -- (0.02)
-------- -------- -------- -------- --------
Total Distributions.................................... (0.60) (0.62) (0.62) (0.62) (0.54)
-------- -------- -------- -------- --------
NET ASSET VALUE,
END OF PERIOD............................................ $ 10.11 $ 9.69 $ 9.56 $ 9.81 $ 9.35
======== ======== ======== ======== ========
Total Return............................................... 10.81% 8.10% 3.81% 12.04% (2.73%)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)........................ $851,517 $724,423 $677,326 $379,826 $209,692
Ratio of expenses to average net assets.................. 0.62% 0.62% 0.68% 0.71% 0.68%
Ratio of net investment income to average net assets..... 6.05% 6.45% 6.34% 6.65% 5.13%
Ratio of expenses to average net assets*................. 0.67% 0.68% 0.69% 0.73% 0.71%
Ratio of net investment income to average net assets*.... 6.00% 6.39% 6.33% 6.63% 5.10%
Portfolio Turnover (a)................................... 91.49% 60.53% 62.70% 106.14% 377.78%
</TABLE>
- ------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
62
<PAGE> 65
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
GOVERNMENT BOND FUND
-------------------------------------------------
<S> <C> <C> <C> <C> <C>
CLASS A
-------------------------------------------------
<CAPTION>
YEAR ENDED JUNE 30,
-------------------------------------------------
1998 1997 1995 1994 1994
------- ------- ------- ------ ------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................................... $ 9.69 $ 9.56 $ 9.81 $ 9.35 $10.17
------- ------- ------- ------ ------
Investment Activities:
Net investment income..................................... 0.58 0.60 0.60 0.61 0.48
Net realized and unrealized gains (losses) from
investments and futures................................. 0.42 0.13 (0.25) 0.45 (0.79)
------- ------- ------- ------ ------
Total from Investment Activities........................ 1.00 0.73 0.35 1.06 (0.31)
------- ------- ------- ------ ------
Distributions:
Net investment income..................................... (0.58) (0.60) (0.60) (0.59) (0.47)
In excess of net investment income........................ -- -- -- (0.01) (0.02)
In excess of net realized gains........................... -- -- -- -- (0.02)
------- ------- ------- ------ ------
Total Distributions..................................... (0.58) (0.60) (0.60) (0.60) (0.51)
------- ------- ------- ------ ------
NET ASSET VALUE,
END OF PERIOD............................................. $ 10.11 $ 9.69 $ 9.56 $ 9.81 $ 9.35
======= ======= ======= ====== ======
Total Return (Excludes Sales Charge)........................ 10.54% 7.83% 3.58% 11.84% (3.16%)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $31,548 $34,727 $38,800 $8,130 $1,690
Ratio of expenses to average net assets................... 0.87% 0.87% 0.93% 0.97% 0.92%
Ratio of net investment income to average net assets...... 5.80% 6.20% 6.09% 6.46% 4.84%
Ratio of expenses to average net assets*.................. 1.02% 1.03% 1.04% 1.09% 1.05%
Ratio of net investment income to average net assets*..... 5.65% 6.04% 5.98% 6.34% 4.71%
Portfolio Turnover (a).................................... 91.49% 60.53% 62.70% 106.14% 377.78%
</TABLE>
- ------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
63
<PAGE> 66
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
GOVERNMENT BOND FUND
------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CLASS B
------------------------------------------------------
<CAPTION>
JANUARY 14,
YEAR ENDED JUNE 30, 1994 TO
--------------------------------------- JUNE 30,
1998 1997 1996 1995 1994(A)
------- ------- ------- ------ -----------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................................... $ 9.69 $ 9.56 $ 9.81 $ 9.35 $10.04
------- ------- ------- ------ ------
Investment Activities:
Net investment income..................................... 0.52 0.54 0.54 0.55 0.18
Net realized and unrealized gains (losses) from
investments and futures................................. 0.42 0.13 (0.25) 0.46 (0.69)
------- ------- ------- ------ ------
Total from Investment Activities........................ 0.94 0.67 0.29 1.01 (0.51)
------- ------- ------- ------ ------
Distributions:
Net investment income..................................... (0.52) (0.54) (0.54) (0.55) (0.16)
In excess of net investment income........................ -- -- -- -- (0.02)
------- ------- ------- ------ ------
Total Distributions..................................... (0.52) (0.54) (0.54) (0.55) (0.18)
------- ------- ------- ------ ------
NET ASSET VALUE,
END OF PERIOD............................................. $ 10.11 $ 9.69 $ 9.56 $ 9.81 $ 9.35
======= ======= ======= ====== ======
Total Return (Excludes Sales Charge)........................ 9.86% 7.14% 2.95% 11.20% (4.99%)(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $20,922 $11,729 $10,782 $2,513 $ 656
Ratio of expenses to average net assets................... 1.52% 1.52% 1.58% 1.62% 1.52%(c)
Ratio of net investment income to average net assets...... 5.14% 5.55% 5.44% 5.76% 4.60%(c)
Ratio of expenses to average net assets*.................. 1.67% 1.68% 1.69% 1.74% 1.63%(c)
Ratio of net investment income to average net assets*..... 4.99% 5.39% 5.33% 5.64% 4.49%(c)
Portfolio Turnover (d).................................... 91.49% 60.53% 62.70% 106.14% 377.78%
</TABLE>
- ------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
(d) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
64
<PAGE> 67
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INCOME BOND FUND
--------------------------------------------------------
<S> <C> <C> <C> <C> <C>
FIDUCIARY
--------------------------------------------------------
<CAPTION>
YEAR ENDED JUNE 30,
--------------------------------------------------------
1998 1997 1996 1995 1994
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD...................................... $ 9.42 $ 9.33 $ 9.54 $ 9.23 $ 10.43
-------- -------- -------- -------- --------
Investment Activities:
Net investment income 0.64 0.64 0.65 0.64 0.54
Net realized and unrealized gains (losses) from
investments and futures................................ 0.09 0.09 (0.21) 0.35 (0.74)
-------- -------- -------- -------- --------
Total from Investment Activities....................... 0.73 0.73 0.44 0.99 (0.20)
-------- -------- -------- -------- --------
Distributions:
Net investment income.................................... (0.64) (0.64) (0.65) (0.64) (0.57)
Net realized gains....................................... -- -- -- (0.04) (0.43)
-------- -------- -------- -------- --------
Total Distributions.................................... (0.64) (0.64) (0.65) (0.68) (1.00)
-------- -------- -------- -------- --------
NET ASSET VALUE,
END OF PERIOD............................................ $ 9.51 $ 9.42 $ 9.33 $ 9.54 $ 9.23
======== ======== ======== ======== ========
Total Return............................................... 7.97% 8.10% 4.62% 11.29% (2.54%)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)........................ $898,263 $730,754 $520,239 $474,124 $560,071
Ratio of expenses to average net assets.................. 0.61% 0.60% 0.59% 0.59% 0.53%
Ratio of net investment income to average net assets..... 6.73% 6.85% 6.76% 6.94% 5.35%
Ratio of expenses to average net assets*................. 0.81% 0.80% 0.81% 0.86% 0.85%
Ratio of net investment income to average net assets*.... 6.53% 6.65% 6.54% 6.67% 5.03%
Portfolio Turnover (a)................................... 30.83% 55.18% 95.52% 262.25% 131.04%
</TABLE>
- ------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
65
<PAGE> 68
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INCOME BOND FUND
---------------------------------------------------
<S> <C> <C> <C> <C> <C>
CLASS A
---------------------------------------------------
<CAPTION>
YEAR ENDED JUNE 30,
---------------------------------------------------
1998 1997 1996 1995 1994
------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................................... $ 9.41 $ 9.32 $ 9.54 $ 9.22 $ 10.43
------- ------- ------- ------- -------
Investment Activities:
Net investment income..................................... 0.62 0.62 0.63 0.61 0.52
Net realized and unrealized gains (losses) from
investments and futures................................. 0.10 0.09 (0.23) 0.36 (0.75)
------- ------- ------- ------- -------
Total from Investment Activities........................ 0.72 0.71 0.40 0.97 (0.23)
------- ------- ------- ------- -------
Distributions:
Net investment income..................................... (0.62) (0.62) (0.62) (0.60) (0.55)
In excess of net investment income........................ -- -- -- (0.01) --
Net realized gains........................................ -- -- -- (0.04) (0.43)
------- ------- ------- ------- -------
Total Distributions..................................... (0.62) (0.62) (0.62) (0.65) (0.98)
------- ------- ------- ------- -------
NET ASSET VALUE,
END OF PERIOD............................................. $ 9.51 $ 9.41 $ 9.32 $ 9.54 $ 9.22
======= ======= ======= ======= =======
Total Return (Excludes Sales Charge)........................ 7.82% 7.85% 4.26% 10.90% (2.33%)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $14,738 $14,325 $10,127 $ 6,796 $ 5,347
Ratio of expenses to average net assets................... 0.86% 0.85% 0.84% 1.01% 0.78%
Ratio of net investment income to average net assets...... 6.49% 6.59% 6.51% 6.57% 5.25%
Ratio of expenses to average net assets*.................. 1.16% 1.15% 1.16% 1.38% 1.20%
Ratio of net investment income to average net assets*..... 6.19% 6.29% 6.19% 6.20% 4.83%
Portfolio Turnover (a).................................... 30.83% 55.18% 95.52% 262.25% 131.04%
</TABLE>
- ------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
66
<PAGE> 69
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INCOME BOND FUND
------------------------------------------------------
<S> <C> <C> <C> <C> <C>
CLASS B
------------------------------------------------------
<CAPTION>
JANUARY 17,
YEAR ENDED JUNE 30, 1994 TO
--------------------------------------- JUNE 30,
1998 1997 1996 1995 1994(A)
------- ------- ------ ------- -----------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................................... $ 9.49 $ 9.40 $ 9.62 $ 9.29 $ 9.97
------- ------- ------ ------- -------
Investment Activities:
Net investment income..................................... 0.56 0.56 0.56 0.56 0.17
Net realized and unrealized gains (losses) from
investments and futures................................. 0.10 0.09 (0.21) 0.38 (0.70)
------- ------- ------ ------- -------
Total from Investment Activities........................ 0.66 0.65 0.35 0.94 (0.53)
------- ------- ------ ------- -------
Distributions:
Net investment income..................................... (0.56) (0.56) (0.57) (0.57) (0.15)
Net realized gains........................................ -- -- -- (0.04) --
------- ------- ------ ------- -------
Total Distributions..................................... (0.56) (0.56) (0.57) (0.61) (0.15)
------- ------- ------ ------- -------
NET ASSET VALUE,
END OF PERIOD............................................. $ 9.59 $ 9.49 $ 9.40 $ 9.62 $ 9.29
======= ======= ====== ======= =======
Total Return (Excludes Sales Charge)........................ 7.13% 7.15% 3.65% 10.63% (5.29%)(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $15,511 $10,873 $6,110 $ 1,887 $ 723
Ratio of expenses to average net assets................... 1.51% 1.50% 1.49% 1.49% 1.45%(c)
Ratio of net investment income to average net assets...... 5.83% 5.95% 5.86% 6.16% 5.20%(c)
Ratio of expenses to average net assets*.................. 1.81% 1.80% 1.81% 1.86% 1.84%(c)
Ratio of net investment income to average net assets*..... 5.53% 5.65% 5.54% 5.80% 4.81%(c)
Portfolio Turnover (d).................................... 30.83% 55.18% 95.52% 262.25% 131.04%
</TABLE>
- ------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
(d) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
67
<PAGE> 70
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
TREASURY & AGENCY FUND
----------------------------
FIDUCIARY
----------------------------
YEAR JANUARY 20, 1997
ENDED TO
JUNE 30, JUNE 30,
1998 1997(A)
-------- ----------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 9.99 $ 10.00
------- --------
Investment Activities:
Net investment income..................................... 0.62 0.28
Net realized and unrealized gains (losses) from
investments and futures................................. 0.15 (0.01)
------- --------
Total from Investment Activities........................ 0.77 0.27
------- --------
Distributions:
Net investment income..................................... (0.62) (0.28)
Net realized gains........................................ (0.05) --
------- --------
Total Distributions..................................... (0.67) (0.28)
------- --------
NET ASSET VALUE, END OF PERIOD.............................. $ 10.09 $ 9.99
======= ========
Total Return................................................ 7.91% 2.78%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $95,073 $110,084
Ratio of expenses to average net assets................... 0.35% 0.45%(c)
Ratio of net investment income to average net assets...... 6.16% 6.44%(c)
Ratio of expenses to average net assets*.................. 0.65% 0.78%(c)
Ratio of net investment income to average net assets*..... 5.86% 6.11%(c)
Portfolio Turnover (d).................................... 41.60% 54.44%
</TABLE>
- ------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
(d) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
68
<PAGE> 71
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
TREASURY & AGENCY FUND
----------------------------
CLASS A
----------------------------
YEAR JANUARY 20, 1997
ENDED TO
JUNE 30, JUNE 30,
1998 1997(A)
-------- ----------------
<S> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................................... $ 9.98 $10.00
------- ------
Investment Activities: Net investment income................ 0.63 0.29
Net realized and unrealized gains (losses) from
investments and futures................................. 0.16 (0.02)
------- ------
Total from Investment Activities........................ 0.79 0.27
------- ------
Distributions:
Net investment income..................................... (0.63) (0.29)
Net realized gains........................................ (0.05) --
------- ------
Total Distributions..................................... (0.68) (0.29)
------- ------
NET ASSET VALUE, END OF PERIOD.............................. $ 10.09 $ 9.98
======= ======
Total Return (Excludes Sales Charge)........................ 8.10% 2.78%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $35,213 $ 94
Ratio of expenses to average net assets................... 0.58% 0.71%(c)
Ratio of net investment income to average net assets...... 5.87% 6.47%(c)
Ratio of expenses to average net assets*.................. 0.98% 1.15%(c)
Ratio of net investment income to average net assets*..... 5.47% 6.03%(c)
Portfolio Turnover (d).................................... 41.60% 54.44%
</TABLE>
- ------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
(d) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
69
<PAGE> 72
- --------------------------------------------------------------------------------
The One Group Family of Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
TREASURY & AGENCY FUND
----------------------------
CLASS B
----------------------------
YEAR JANUARY 20, 1997
ENDED TO
JUNE 30, JUNE 30,
1998 1997(A)
-------- ----------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 9.99 $10.00
------- ------
Investment Activities:
Net investment income..................................... 0.58 0.26
Net realized and unrealized gains (losses) from
investments and futures................................. 0.14 (0.01)
------- ------
Total from Investment Activities........................ 0.72 0.25
------- ------
Distributions:
Net investment income..................................... (0.58) (0.26)
Net realized gains........................................ (0.05) --
------- ------
Total Distributions..................................... (0.63) (0.26)
------- ------
NET ASSET VALUE, END OF PERIOD.............................. $ 10.08 $ 9.99
======= ======
Total Return (Excludes Sales Charge)........................ 7.33% 2.58%(b)
RATIOS/SUPPLEMENTARY DATA:
Net Assets at end of period (000)......................... $12,483 $ 80
Ratio of expenses to average net assets................... 1.08% 1.23%(c)
Ratio of net investment income to average net assets...... 5.39% 6.30%(c)
Ratio of expenses to average net assets*.................. 1.63% 1.81%(c)
Ratio of net investment income to average net assets*..... 4.84% 5.72%(c)
Portfolio Turnover (d).................................... 41.60% 54.44%
</TABLE>
- ------------
* During the period certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
(d) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
70
<PAGE> 73
- --------------------------------------------------------------------------------
Report of Independent Accountants
- --------------------------------------------------------------------------------
THE ONE GROUP FAMILY OF MUTUAL FUNDS JUNE 30, 1998
To the Shareholders and Board of Trustees of
The One Group Family of Mutual Funds:
In our opinion, the accompanying statements of assets and liabilities, including
the portfolios of investments, and related statements of operations, of changes
in net assets and of cash flows and the financial highlights present fairly, in
all material respects, the financial position of the Ultra Short-Term Income
Fund, the Limited Volatility Bond Fund, the Intermediate Bond Fund, the
Government Bond Fund, the Income Bond Fund, and the Treasury & Agency Fund (six
series of The One Group Family of Mutual Funds), at June 30, 1998, the results
of each of their operations for the period then ended, the changes in each of
their net assets, and the cash flows of the Limited Volatility Bond Fund, the
Intermediate Bond Fund and the Income Bond Fund for the periods presented and
the financial highlights for each of the periods presented, in conformity with
generally accepted accounting principles. These financial statements and
financial highlights (hereafter referred to as "financial statements") are the
responsibility of The One Group Family of Mutual Funds' management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with generally accepted auditing standards which require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at June
30, 1998 by correspondence with the custodian and brokers, provide a reasonable
basis for the opinion expressed above.
PricewaterhouseCoopers LLP
August 18, 1998
71
<PAGE> 74
Important Customer Information.
Please Read:
Shares of The One Group:
- - are not deposits or obligations
of, or guaranteed by BANC ONE
CORPORATION or its affiliates
- - are not insured or guaranteed by the
FDIC or by any other governmental
agency or government-sponsored
agency of the federal government
or any state
- - are subject to investment risks,
including possible loss of the
principal amount invested.
Banc One Investment Advisors
Corporation, a registered investment
advisor and an indirect subsidiary of
BANC ONE CORPORATION, serves
as an investment advisor to The One
Group, for which it receives advisory
fees. The One Group is distributed by
The One Group Services Company,
3435 Stelzer Road, Columbus,
Ohio 43219, which is not affiliated
with BANC ONE CORPORATION and
is not a bank. Contact us at our web
site address: www.onegroup.com or
e-mail us at [email protected]
For more complete information on
any of The One Group Funds, includ-
ing management fees and expenses,
you may obtain a prospectus from
The One Group Services Company.
Read the prospectus carefully
before investing.
BANC ONE
INVESTMENT
ADVISORS
CORPORATION
[BANC ONE LOGO]
