<PAGE> 1
EQUITY
FUNDS
ANNUAL REPORT
FOR THE YEAR ENDED JUNE 30, 1999
SMALL CAP GROWTH FUND
SMALL CAP VALUE FUND
MID CAP GROWTH FUND
MID CAP VALUE FUND
DIVERSIFIED MID CAP FUND
LARGE CAP GROWTH FUND
LARGE CAP VALUE FUND
EQUITY INCOME FUND
DIVERSIFIED EQUITY FUND
BALANCED FUND
EQUITY INDEX FUND
MARKET EXPANSION INDEX FUND
INTERNATIONAL EQUITY INDEX FUND
DIVERSIFIED INTERNATIONAL FUND
[ONE GROUP LOGO]
<PAGE> 2
IMPORTANT CUSTOMER INFORMATION. INVESTMENT PRODUCTS:
- are not deposits or obligations of, or guaranteed by,
BANK ONE CORPORATION or any of its affiliates,
- are not insured by the FDIC, and
- are subject to investment risks, including possible loss of
the principal amount invested.
[not insured by FDIC Logo]
<PAGE> 3
- --------------------------------------------------------------------------------
Table of Contents
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
Portfolio Performance Review............................................. 2
Schedules of Portfolio Investments......................................... 52
Statements of Assets and Liabilities........................................ 147
Statements of Operations.................................................... 150
Statements of Changes in Net Assets......................................... 154
Statements of Cash Flows.................................................... 161
Notes to Financial Statements............................................... 162
Financial Highlights........................................................ 185
Report of Independent Accountants........................................... 240
1
<PAGE> 4
One Group Small Cap Growth Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
HOW DID THE FUND PERFORM?
For the year ended June 30, 1999, One Group Small Cap Growth Fund, formerly One
Group Small Capitalization Fund, I share class posted a total return of -0.72%.
(For information on other share classes and performance comparisons to indexes,
please see page 4.)
Once again, the performance of small-cap stocks generally lagged that of
larger-cap stocks, and small cap funds lagged most other stock funds during the
past year. Investors continued to favor the earnings predictability and
liquidity of large- and mid-cap stocks.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
After the Fund's focus changed from general small cap to small-cap growth in
late 1998 and early 1999, we increased the weightings of higher growth sectors,
such as technology, business and consumer services and health care, and reduced
the Fund's weightings in the commodity and manufacturing sectors. Within these
growth sectors, we selected stocks on an individual basis, relying on in-depth
research to uncover companies with promising growth characteristics.
In the current market environment, negative earnings surprises quickly and
sharply drive down stock prices. In general, stocks have continued to
underperform for long periods after the first negative fundamental news. Because
such news especially hurts higher-valuation growth stocks, we carefully
monitored several key factors to help protect the Fund from earnings
disappointments. We watched trends in earnings estimates, sales and margins, as
well as other early warning signs such as excessive inventory and receivables
growth.
DID THE FUND BENEFIT FROM ANY PARTICULARLY STRONG HOLDINGS?*
The majority of the Fund's performance was driven by its largest sector,
technology. We invest approximately 25% of the Fund's assets in technology
stocks, and we plan to maintain that exposure going forward.
As has been the case for several years, many technology companies continue to
grow earnings well above 30% per year, as they fuel the growth of businesses in
all sectors of the economy. Companies such as Sanmina, a long-term holding in
the Fund with an above-average market capitalization, moved ahead 75% for the
year, as earnings expanded and the valuation became more inline with mid- and
large-cap growth stocks. The Fund is participating in the newest of industries,
the internet. With the average internet stock up more than 50% just in the first
quarter of 1999, the Fund has reaped some nice rewards from this industry.
HOW DID THE FUND'S TOP 10 HOLDINGS CHANGE?*
All of the Fund's top 10 holdings changed from June 30, 1998, to June 30, 1999,
as we shifted the Fund's focus to growth stocks. The top 10 holdings included
VISX Inc. (healthcare), 2.1%; FirstMerit Corp. (financial services), 1.3%;
Novellus Systems (technology), 1.2%; Valassis Comm., Inc. (utilities), 1.1%;
American Bankers Insurance (financial services), 1.0%; Legg Mason, Inc.
(financial services), 1.0%; Acxiom Corp. (business equipment & services), 1.0%;
Williams Sonoma (retail), 1.0%; Ethan Allen (shelter), 1.0%; and Gentex Corp.
(consumer durables), 0.9%.
WHAT IS YOUR OUTLOOK FOR THE FUND?
As larger-cap valuations fell during the last several months of the fiscal year,
money flowed into smaller-cap stocks, which caused small-cap stocks to
outperform larger-cap issues. We believe this trend may continue, as large-cap
valuations remain historically high relative to small-cap valuations. Going
forward, we remain optimistic about continued U.S. economic growth and low
inflation.
2
<PAGE> 5
One Group Small Cap Growth Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
Our focus will continue to be on high-quality growth companies that have capable
management teams and a reputation for delivering consistent sales and earnings
results. We believe that companies with upward-trending earnings estimates, good
balance sheets, niche products and/or a dominant market share likely will, over
the longer term, deliver superior stock performance if purchased at reasonable
valuations.
/s/ Richard R. Jandrain
- --------------------------------
Richard R. Jandrain III
Chief Investment Officer of Equity Securities
- ---------------
* Holdings are subject to change.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
3
<PAGE> 6
One Group Small Cap Growth Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (7/1/91)
<S> <C> <C> <C>
Class I (0.72)% 13.57% 14.71%
</TABLE>
[Value of $10,000 Investment Line Graph]
<TABLE>
<CAPTION>
S&P/BARRA SMALL CAP
CLASS I S&P 600 GROWTH
------- ------- -------------------
<S> <C> <C> <C>
7/91 10000 10000 10000
6/92 12122 11710 11710
6/93 15309 15046 15046
6/94 15874 15326 14673
6/95 17759 18447 17919
6/96 21543 23246 22713
6/97 24438 28287 25381
6/98 30200 33792 29057
6/99 29983 33011 28772
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (7/1/91)
<S> <C> <C> <C>
Class A (0.53)% 13.48% 14.66%
Class A* (5.78)% 12.27% 13.90%
</TABLE>
* Reflects 5.25% Sales Charge.
[Value of $10,000 Investment Line Graph]
<TABLE>
<CAPTION>
S&P/BARRA SMALL
CLASS A CLASS A* S&P 600 CAP GROWTH
------- -------- ------- ---------------
<S> <C> <C> <C> <C>
7/91 10000 9475 10000 10000
6/92 12122 11493 11710 11710
6/93 15309 14514 15046 15046
6/94 15873 15046 15326 14673
6/95 17759 16834 18447 17919
6/96 21460 20342 23246 22713
6/97 24362 23093 28287 25381
6/98 30034 28470 33792 29057
6/99 29875 28319 33011 28772
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year (9/12/94)
<S> <C> <C> <C>
Class B (1.69)% 11.97%
Class B** (6.05)% 11.70%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
[Value of $10,000 Investment Line Graph]
<TABLE>
<CAPTION>
S&P/BARRA SMALL
CLASS B CLASS B** S&P 600 CAP GROWTH
------- --------- ------- ---------------
<S> <C> <C> <C> <C>
9/94 10000 10000 10000 10000
6/95 10589 10589 11188 11116
6/96 12697 12697 14098 14091
6/97 14315 14315 17156 15746
6/98 17499 17499 20494 18026
6/99 17203 17006 20021 17850
</TABLE>
4
<PAGE> 7
One Group Small Cap Growth Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year (11/4/97)
<S> <C> <C>
Class C (1.75)% 0.77%
Class C** (2.62)% 0.77%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
<TABLE>
<CAPTION>
S&P BARRA SMALL
CLASS C CLASS C** S&P 600 CAP GROWTH
------- --------- ------- ---------------
<S> <C> <C> <C> <C>
11/97 10000 10000 10000 10000
6/98 10307 10307 10826 10628
6/99 10128 10128 10576 10523
</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.
Small capitalization funds typically carry additional risks since smaller
companies generally have a higher risk of failure.
The above-quoted performance data includes the performance of the Paragon Gulf
South Growth Fund for the period prior to the commencement of operations of the
One Group Small Cap Growth Fund on March 26, 1996. Prior to March 26, 1996
performance for the Class I Shares is based on Class A Share performance
adjusted to reflect the absence of sales charges.
The performance of the Small Cap Growth Fund is measured against the S&P/Barra
Small Cap Growth Index, an unmanaged index generally representative of the
performance of 600 small capitalization domestic stocks with a higher price to
book ratio. 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 S&P 600 Index represents the performance of small companies in the US stock
market.
The benchmark index for the Small Cap Growth Fund has changed from the S&P 600
Index to the S&P/Barra Small Cap Growth Index in order to better represent the
investment policies for comparison purposes.
5
<PAGE> 8
One Group Small Cap Value Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
HOW DID THE FUND PERFORM?
One Group Small Cap Value Fund I share class offered a total return of -4.48%
for the six-month period ended June 30, 1999.(1) For the year ended June 30,
1999, the Fund's total return on I shares was -13.26%. (For information on other
share classes and performance comparisons to indexes, please see page 8.)
Overall, small cap value stocks lagged most other sectors of the market during
the 12-month period. We believe this reflects an aversion to risk and shorter
investment horizon on the part of investors, given the significant economic and
political uncertainties that existed during the period. Investors continued to
prefer the liquidity and earnings visibility of large- and mid-cap growth
companies.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Our ongoing, primary strategy is to attempt to invest in attractively valued
companies with strong prospects for growth and profitability. We look for
companies that have been overlooked by the market, despite having a market niche
in a growing industry, prospects for improving earnings and the potential for
higher stock valuation.
During the past year, our high-quality orientation in selecting stocks actually
hurt the Fund's performance. That was because many of the market leaders in the
small cap sector were unprofitable companies, including a number of high-flying
Internet stocks as well as troubled energy stocks and other deep cyclicals. The
Fund's emphasis on tangible earnings and reasonable valuations largely precluded
us from actively investing in these companies.
In addition, the Fund's holdings in the financial services and health care
industries detracted from performance, due to rising interest rates and new
government reimbursement proposals, respectively. However, our stock selections
in the broader technology sector and in the transportation industry were quite
favorable and added to performance during the year.
In recent months, Fund activity increased in an effort to position the Fund in a
more sector-neutral fashion. As such, we increased holdings in the financial
services and utility sectors and decreased holdings in capital goods and
technology. The number of Fund holdings also increased to gain greater
diversification and to more closely align the Fund's sector weightings with the
benchmark index.
DID THE FUND BENEFIT FROM ANY PARTICULARLY STRONG HOLDINGS?*
The Fund owned a number of outstanding performers during the last 12 months. The
largest positive contributor to performance was Quanta Services, a provider of
specialty electrical contracting and maintenance services, up by 183% since the
Fund's initial purchase in October 1998. Other strong performers included
National Instruments, Unitrode and Burr-Brown in the technology sector, and
USFreightways and C.H. Robinson in the transportation sector.
Disappointing holdings included a number of financial services holdings that
were influenced by company-specific issues, tightening credit availability and
higher interest rates. These included Stirling Cooke Brown, Unicapital and ARM
Financial Group.
HOW DID THE FUND'S TOP 10 HOLDINGS CHANGE?*
Most of the Fund's top 10 holdings changed during the period. At June 30, 1999,
those that remained among the top 10 included Zale Corp. (retail), 2.3%; SPS
Technologies (consumer durable), 1.8%; Universal Health Services (health care),
1.6%; and Men's Wearhouse (retail), 1.4%. The new members included USFreightways
(transportation), 1.9%; Aptargroup (consumer non-durables), 1.7%; Spartech Corp.
(raw materials), 1.7%; Dallas Semiconductor (technology), 1.6%; CH Robinson
Worldwide (transportation), 1.5% and Unitrode (technology), 1.5%.
6
<PAGE> 9
One Group Small Cap Value Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
WHAT IS YOUR OUTLOOK FOR THE FUND?
Despite the recent lagging performance of small cap stocks, we remain confident
in the merits of exposure to small companies, and we are optimistic that small
cap stocks will begin to regain some ground lost over the past four years to
large cap stocks. Economic stabilization in the Far East, interest rate cuts in
Europe and better-than-expected profitability in the United States has reduced
some of the economic uncertainty that has prevailed and prompted investors to
broaden their horizons into the small cap arena. In addition, the wide valuation
disparity between small and large companies has caught investors' attention.
Also, we have seen increased acquisition activity among smaller companies--from
larger companies with richly valued stock prices and from private buyers taking
advantage of the depressed valuations of many small companies.
/s/ Richard R. Jandrain
- ----------------------------------
Richard R. Jandrain III
Chief Investment Officer of Equity Securities
- ---------------
(1) The Fund previously was a member of the Pegasus Funds, which had a fiscal
year-end of December 31, 1998 -- the date of the last Pegasus Funds annual
report. The Pegasus Funds merged with the One Group in March 1999, and the
Fund's fiscal year-end is now June 30.
* Holdings are subject to change.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
7
<PAGE> 10
One Group Small Cap Value Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (6/30/72)
<S> <C> <C> <C> <C>
Class I (13.26)% 14.38% 13.71% 9.76%
</TABLE>
[Value of $10,000 Investment Line Graph]
<TABLE>
<CAPTION>
S&P/BARRA SMALL CAP
CLASS 1 VALUE RUSSELL 2000
------- ------------------- ------------
<S> <C> <C> <C>
6/89 10000 10000 10000
6/90 10596 9934 10303
6/91 12808 9746 10429
6/92 15827 11412 11945
6/93 19481 14663 15045
6/94 18462 15560 15708
6/95 20491 18428 18861
6/96 25935 23007 23369
6/97 34816 30353 27186
6/98 41670 37871 31668
6/99 36145 36387 32141
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (6/30/72)
<S> <C> <C> <C> <C>
Class A (13.44)% 13.92% 13.19% 9.19%
Class A* (17.96)% 12.70% 12.58% 8.96%
</TABLE>
* Reflects 5.25% Sales Charge.
[Value of $10,000 Investment Line Graph]
<TABLE>
<CAPTION>
S&P/BARRA SMALL
CLASS A CLASS A* CAP VALUE RUSSELL 2000
------- -------- --------------- ------------
<S> <C> <C> <C> <C>
6/89 10000 9475 10000 10000
6/90 10561 10000 9934 10303
6/91 12692 12018 9746 10429
6/92 15589 14761 11412 11945
6/93 19103 18089 14663 15045
6/94 18000 17044 15560 15708
6/95 19912 18855 18428 18861
6/96 25086 23754 23007 23369
6/97 33454 31677 30353 27186
6/98 39895 37776 37871 31668
6/99 34534 32701 36387 32141
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (6/30/72)
<S> <C> <C> <C> <C>
Class B (13.99)% 13.29% 12.88% 9.08%
Class B** (18.17)% 13.04% 12.88% 9.08%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
[Value of $10,000 Investment Line Graph]
<TABLE>
<CAPTION>
S&P/BARRA SMALL
CLASS B CLASS B** CAP VALUE RUSSELL 2000
------- --------- --------------- ------------
<S> <C> <C> <C> <C>
6/89 10000 10000 10000 10000
6/90 10561 10561 9934 10303
6/91 12692 12692 9746 10429
6/92 15589 15589 11412 11945
6/93 19103 19103 14663 15045
6/94 18000 18000 15560 15708
6/95 19813 19813 18428 18861
6/96 24812 24812 23007 23369
6/97 32977 32977 30353 27186
6/98 39054 39054 37871 31668
6/99 33590 33590 36387 32141
</TABLE>
8
<PAGE> 11
One Group Small Cap Value Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
(3/22/99)
<S> <C>
Class C 14.19%
Class C** 13.19%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
[Value of $10,000 Investment Line Graph]
<TABLE>
<CAPTION>
S&P/BARRA SMALL
CLASS C CLASS C** CAP VALUE RUSSELL 2000
------- --------- --------------- ------------
<S> <C> <C> <C> <C>
3/99 10000 10000 10000 10000
6/99 11419 11319 11991 11555
</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.
Small capitalization funds typically carry additional risks since smaller
companies generally have a higher risk of failure.
The above-quoted performance data includes the performance of the Pegasus Small
Cap Opportunity Fund for the period prior to the commencement of operations of
the One Group Small Cap Value Fund on March 22, 1999.
The above-quoted performance data includes the performance of a common trust
fund for the period prior to the commencement of operations of the mutual fund
on January 27, 1995, adjusted to reflect the deduction of fees and expenses.
Common trust funds are not registered under the Investment Company Act of 1940
("1940 Act") and, therefore, are not subject to certain investment restrictions,
limitations and diversification requirements imposed by the 1940 Act and the
Internal Revenue Code. If the common trust fund had been registered under the
1940 Act, its performance may have been adversely affected.
The performance of the Small Cap Value Fund is measured against the S&P/Barra
Small Cap Value Index, an unmanaged index generally representative of the
performance of 600 small capitalization domestic stocks with a lower price to
book ratio. 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 Russell 2000 Index is an unmanaged index generally representative of the
small-cap equity market.
The benchmark index for the Small Cap Value Fund has changed from the Russell
2000 Index to the S&P/Barra Small Cap Value Index in order to better represent
the investment policies for comparison purposes.
9
<PAGE> 12
One Group Mid Cap Growth Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
HOW DID THE FUND PERFORM?
For the year ended June 30, 1999, One Group Mid Cap Growth Fund, formerly One
Group Growth Opportunities Fund, I share class posted a total return of 28.39%.
(For information on other share classes and performance comparisons to indexes,
please see page 11.)
The market uncertainty and global economic concerns that characterized much of
the fiscal year kept the country's largest, growth-oriented corporations among
the favored stock investments. Investors preferred the liquidity and earnings
stability these companies offered compared to smaller and value-oriented
companies.
However, after a series of Federal Reserve rate cuts in late 1998 helped restore
some stability to the financial markets, concerns over a global economic
slowdown gradually diminished. Also, U.S. economic growth was stronger than
expected. Investors didn't feel as compelled to own the biggest companies, and
strong earnings and solid valuations among many mid-cap growth stocks fueled
interest in this area of the market.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Our primary investment strategy is to identify high growth companies within
attractive, fast-growing industries. We look for companies that will benefit
from strong management teams and competitive advantages. These factors should
allow sustained high growth at a rate that outpaces the industry average.
We maintained a strong position in the technology sector during the year, as we
believed the industry fundamentals were compelling. As businesses continue to
strive for improvements in productivity and efficiency, spending on technology
has increased. Also, we've seen a deluge of spending on Internet-related
activities, e-commerce and Y2K readiness, all of which helped make the
technology sector the best-performing sector for the fiscal year ended June 30,
1999.
DID THE FUND BENEFIT FROM ANY PARTICULARLY STRONG HOLDINGS?*
As a group, the Fund's technology holdings offered stellar performance. Notable
performers in the technology sector included Altera Corp., Xilinx and Qualcomm.
Continued economic growth helped the retail sector post solid returns. Companies
such as Abercrombie & Fitch and Tiffany offered strong returns.
Health services stocks were among the poorest-performing due to Medicare reform
and pricing and reimbursement issues. The energy sector suffered from falling
crude oil and natural gas prices. The Fund had minimal exposure to both of these
sectors.
HOW DID THE FUND'S TOP 10 HOLDINGS CHANGE?*
On June 30, 1999, the Fund's top 10 holdings consisted of ten new companies
versus the top 10 of the previous fiscal year-end. They included Qualcomm
(technology), 4.1% of assets; Linear Technology (technology), 2.1%; Lexmark
International Group (technology), 1.9%; Xilinx (technology), 1.9%; Maxim
Integrated Products (technology), 1.8%; Harley Davidson (consumer durables),
1.7%; Altera (technology), 1.5%; E*Trade Group (financial services), 1.5%; and
Cintas (business equipment & services), 1.5%.
WHAT IS YOUR OUTLOOK FOR THE FUND?
In recent years, economic growth, low inflation and relatively low interest
rates have supported strong stock returns. Investors enjoyed the benefit of
expanding price/earnings (P/E) ratios and robust earnings growth. Going forward,
we think the economy will continue to grow, inflation will remain low and
interest rates will remain low. If interest rates rise, this will put pressure
on P/E ratios, and most of the growth in stock prices will have to come from
earnings. We expect reasonably priced growth stocks to continue to do well, but
perhaps not at the pace we have seen over the last few years.
/s/ Richard R. Jandrain
- ----------------------------------
Richard R. Jandrain III
Team Leader
Banc One Investment Advisors Growth Team
Chief Investment Officer of Equity Securities
- ---------------
* Holdings are subject to change.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
10
<PAGE> 13
One Group Mid Cap Growth Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (3/2/89)
<S> <C> <C> <C> <C>
Class I 28.39% 25.26% 19.04% 19.29%
</TABLE>
[Value of $10,000 Investment Line Graph]
<TABLE>
<CAPTION>
CLASS I S&P/BARRA MIDCAP 400 GROWTH
------- ---------------------------
<S> <C> <C>
3/89 10000 10000
6/89 10822 10883
6/90 13077 12677
6/91 14364 13165
6/92 16543 15441
6/93 20076 17545
6/94 20044 17792
6/95 24002 22430
6/96 29915 28311
6/97 36721 34939
6/98 48145 44334
6/99 61816 57772
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (2/18/92)
<S> <C> <C> <C>
Class A 27.87% 24.97% 17.43%
Class A* 21.15% 23.63% 16.57%
</TABLE>
* Reflects 5.25% Sales Charge.
[Value of $10,000 Investment Line Graph]
<TABLE>
<CAPTION>
S&P/BARRA MIDCAP 400
CLASS A CLASS A* GROWTH
------- -------- --------------------
<S> <C> <C> <C>
2/92 10000 9475 10000
6/92 8847 8381 9992
6/93 10766 10199 11354
6/94 10710 10146 11514
6/95 12799 12125 14515
6/96 15912 15074 18321
6/97 19495 18468 22611
6/98 25528 24183 28691
6/99 32641 30922 37387
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (1/14/94)
<S> <C> <C> <C>
Class B 26.96% 23.99% 19.67%
Class B** 21.96% 23.82% 19.59%
</TABLE>
[Value of $10,000 Investment Line Graph]
** Reflects Applicable Contingent Deferred Sales Charge.
<TABLE>
<CAPTION>
S&P/BARRA MIDCAP 400
CLASS B CLASS B** GROWTH
------- --------- --------------------
<S> <C> <C> <C>
1/94 10000 10000 10000
6/94 9093 9093 9344
6/95 10772 10772 11779
6/96 13307 13307 14868
6/97 16198 16198 18349
6/98 20983 20983 23283
6/99 26642 26542 30340
</TABLE>
11
<PAGE> 14
1
One Group Mid Cap Growth Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year (11/4/97)
<S> <C> <C>
Class C 27.57% 25.63%
Class C** 26.57% 25.63%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
<TABLE>
<CAPTION>
S&P/BARRA MIDCAP 400
CLASS C CLASS C** GROWTH
------- --------- --------------------
<S> <C> <C> <C>
11/97 10000 10000 10000
6/98 11427 11427 11373
6/99 14578 14578 14820
</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 One Group Mid Cap Growth Fund is measured against the
S&P/BARRA Midcap 400 Growth Index, an unmanaged index representing the
performance of the highest price to book securities in the S&P Midcap 400 Index.
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 S&P/BARRA Midcap 400 Growth Index for the Class I Shares consists of the
average monthly returns of the Russell 2000 Index for periods prior to June,
1991. Thereafter, the data are from the S&P/BARRA Midcap 400 Growth Index which
corresponds with the initiation of the S&P/BARRA Midcap 400 Growth Index on June
30, 1991.
12
<PAGE> 15
One Group Mid Cap Value Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
HOW DID THE FUND PERFORM?
For the year ended June 30, 1999, One Group Mid Cap Value Fund, formerly One
Group Disciplined Value Fund, I share class posted a total return of 3.82%. (For
information on other share classes and performance comparisons to indexes,
please see page 15.)
HOW DID MARKET EVENTS INFLUENCE FUND PERFORMANCE?
There are two factors that move stock prices -- valuation and fundamentals, such
as earnings growth. During the past fiscal year, we witnessed extreme cases of
valuation driving stock prices at certain times and fundamentals driving stock
prices at others. This created a lot of volatility and uncertainty in the
market.
At the beginning of the fiscal year, with market and economic crises developing
abroad, investors wanted to avoid stocks with foreign market exposure and to
focus on those with reliable fundamentals. As the situations in Asia, Russia and
Brazil intensified, the pool of favored stocks became narrower, and a small
group of growth stocks soared to levels not seen before. The market paid dearly
for fundamentals it could rely on, and valuation became less and less important.
Similarly, the market chose larger-capitalization stocks as its preferred
vehicle over mid- and small-capitalization stocks. As a result, in virtually any
category, large-capitalization stocks meaningfully outperformed mid-and
small-cap stocks.
Then, early in 1999, the Federal Reserve showed signs of moving toward a
tightening bias, and almost overnight investors no longer sought out stocks with
good fundamentals. They wanted valuation, and the cheaper the stock, the better.
Of course, neither of these extreme scenarios is ideal. Instead, we like to see
a proper blend of fundamentals and valuation. So, given these events, the Fund's
performance lagged in the first half of the fiscal year, when growth stocks were
the favored investment. And, even when value stocks gained strength in the
second half, the Fund did not significantly participate in the rally because the
stocks fueling the turnaround were large-cap stocks. Investors continued to
favor large-cap stocks over mid-cap stocks because of the market liquidity and
earnings predictability that larger-company stocks offered.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Our strategy involves implementing traditional value-investing techniques,
including focusing on stocks with below-average price-to-earnings and
price-to-book ratios. We employ this approach within the context of our basis
research discipline -- investing in attractively priced stocks with improving
earnings growth that will lead to eventual price appreciation. We generally
focus on companies with market capitalizations of less than $7 billion.
In our search for value stocks, we look for companies that exhibit an "earnings
catalyst," or some factor expected to improve the company's earnings growth.
This catalyst can be any one of a number of factors, including introducing a new
product, implementing a management turnaround, entering a new market, etc.
During the second half of the fiscal year, there were many value stocks being
purchased, but none exhibited an earnings catalyst. We chose not to chase stocks
that we felt were inexpensively priced and would stay that way. Instead, we
remained dedicated to our long-term strategy and research discipline.
WHAT IS AN EXAMPLE OF A FUND HOLDING THAT BENEFITED FROM AN EARNINGS CATALYST?*
The Fund benefited from its technology holdings, which generally experienced
growth in revenues and earnings. In addition, earnings among technology stocks
were much more sustainable than in other industries. In particular, the Fund
benefited from its holding in LSI Logic. In the last 12 months, LSI benefited
from its ability to sell its semiconductor products into the consumer and
commercial markets, while similar companies with distribution limited to the
personal computer end markets faltered.
WHAT WERE THE FUND'S TOP 10 HOLDINGS?*
Only two of the Fund's top 10 holdings -- utilities companies El Paso Energy
Corp., at 1.7% of assets, and Allegheny Energy, Inc., 1.4% -- remained among the
top 10 holdings from the previous fiscal year. The remaining eight as of June
30, 1999, included Intuit (technology), 1.6%; Marshall & Ilsley Corp. (financial
13
<PAGE> 16
One Group Mid Cap Value Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
services), 1.4%; Reliastar Financial (financial services), 1.4%; Charter One
Financial (financial services), 1.4%; Pinnacle West (utilities), 1.4%; Saks,
Inc. (retail), 1.3%; AMBAC Financial Group (financial services), 1.2%; and
Energy East Corp. (utilities), 1.2%.
WHAT IS YOUR OUTLOOK FOR THE FUND?
While the market continues to struggle with leadership issues, we will remain
true to our management discipline and continue to look for stocks with
attractive valuations and identifiable earnings catalysts.
/s/ Kathleen Cole
- --------------------------------
Kathleen Cole
Team Leader
Banc One Investment Advisors Value Team
/s/ Richard R. Jandrain
- --------------------------------
Richard R. Jandrain III
Chief Investment Officer of Equity Securities
- ---------------
* Holdings are subject to change.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
14
<PAGE> 17
One Group Mid Cap Value Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (3/2/89)
<S> <C> <C> <C> <C>
Class I 3.82% 17.47% 12.46% 13.07%
</TABLE>
[Value of $10,000 Investment Line Graph]
<TABLE>
<CAPTION>
CLASS I S&P/BARRA MIDCAP 400 VALUE
------- --------------------------
<S> <C> <C>
3/89 10000 10000
6/89 10989 10883
6/90 11372 12677
6/91 11572 13615
6/92 13451 15441
6/93 15278 17545
6/94 15895 17792
6/95 18443 22430
6/96 22150 27627
6/97 26704 34233
6/98 34253 43366
6/99 35561 45560
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (2/18/92)
<S> <C> <C> <C>
Class A 3.70% 17.13% 14.07%
Class A* (1.76)% 15.88% 13.23%
</TABLE>
* Reflects 5.25% Sales Charge.
[Value of $10,000 Investment Line Graph]
<TABLE>
<CAPTION>
S&P/BARRA MIDCAP 400
CLASS A CLASS A* VALUE
------- -------- --------------------
<S> <C> <C> <C>
2/92 10000 9475 10000
6/92 10121 9587 9992
6/93 11464 10859 11354
6/94 11956 11325 11514
6/95 13801 13073 14515
6/96 16534 15662 17879
6/97 19875 18827 22153
6/98 25419 24079 28063
6/99 26360 24969 29483
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (1/14/94)
<S> <C> <C> <C>
Class B 2.76% 16.29% 13.76%
Class B** (1.63)% 16.07% 13.65%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
[Value of $10,000 Investment Line Graph]
<TABLE>
<CAPTION>
S&P/BARRA MIDCAP 400
CLASS B CLASS B** VALUE
------- --------- --------------------
<S> <C> <C> <C>
1/94 10000 10000 10000
6/94 9500 9500 9344
6/95 10918 10918 11779
6/96 12985 12985 14509
6/97 15476 15476 17978
6/98 19665 19665 22775
6/99 20208 20108 23927
</TABLE>
15
<PAGE> 18
One Group Mid Cap Value Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
(3/22/99)
<S> <C>
Class C 11.39%
Class C** 10.39%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
<TABLE>
<CAPTION>
S&P/BARRA MIDCAP 400
CLASS C CLASS C** VALUE
------- --------- --------------------
<S> <C> <C> <C>
3/99 10000 10000 10000
6/99 11139 11039 11493
</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 Mid Cap Value Fund is measured against the S&P/BARRA
Midcap 400 Value Index, an unmanaged index representing the performance of the
lowest price to book securities in the S&P Midcap 400 Index. 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 S&P/BARRA Midcap 400 Value Index consists of the average monthly returns of
the S&P 500 Index for periods prior to June 1991. Thereafter, the data are from
the S&P/BARRA Midcap 400 Value Index which corresponds with the initiation of
the S&P/BARRA Midcap 400 Value Index on June 30, 1991.
16
<PAGE> 19
One Group Diversified Mid Cap Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
HOW DID THE FUND PERFORM?
For the six months ended June 30, 1999, One Group Diversified Mid Cap Fund I
share class posted a total return of 8.32%.(1) For the year ended June 30, 1999,
the Fund's total return on I shares was 5.47%. (For information on other share
classes and performance comparisons to indexes, please see page 19.)
The economic backdrop over the last 12 months was ideal for equity investing.
Interest rates remained relatively steady and at low levels, inflation stayed
under control, and economic growth proceeded at a sustainable pace.
The strongest equity performers in this environment continued to be larger-cap,
growth-oriented companies. But, that phenomenon started showing some signs of
reversing toward the end of the period, as investors started seeking companies
with better value characteristics and more cyclical sensitivity. In addition,
smaller-cap stocks started gaining investor interest.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Our long-standing investment strategy is to use a bottom up approach in
selecting stocks. We look for companies with sustainable, above-average growth
prospects and superior levels of profitability. We prefer companies that display
competitive advantages and are protected from new competitive threats. We also
look for companies with shareholder-oriented management, solid financial
positions and reasonable liquidity. Once we screen for these characteristics, we
employ valuation criteria to ensure we are paying a reasonable price for the
stock.
This approach has proven to be very effective over the long term. But, there are
shorter periods when other styles of investing, such as those that emphasize
pure growth with little concern for valuation, dominate the market. This was the
case for most of the past fiscal year.
In terms of tactics, we significantly increased the number of companies
represented in the portfolio, as we worked to become sector-neutral and
attempted to derive all our valued-added from stock selection. The number of
names in the portfolio increased during the period from 66 to approximately 97.
As a result of these efforts, we dramatically reduced the Fund's capital goods
exposure and substantially increased the technology exposure. We also added
holdings in the utilities sector for the first time.
DID THE FUND BENEFIT FROM ANY PARTICULARLY STRONG HOLDINGS?*
Top performers for the year included Xilinx (technology), Lexmark (technology),
Microchip Technology (technology), Waters Corp. (health care), Omnicom Group,
Inc. (business equipment & services) and Harley-Davidson (consumer durables).
Each of these companies capitalized on their competitive advantages and produced
strong earnings growth during the year.
HOW DID THE FUND'S TOP 10 HOLDINGS CHANGE?*
Three of the Fund's top 10 holdings at December 31, 1998 remained in the group:
Charter One Financial (financial services), 2.8% of assets; Crane Co. (capital
goods), 2.0%; and Tower Automotive (consumer durables), 2.0%; The remaining
members of the top 10 included Zale Corp. (retail), 2.1%; TCF Financial
(financial services), 2.0%; Borg-Warner Automotive (consumer durables), 1.9%;
Apache Corp. (energy), 1.9%; Legget & Platt (shelter), 1.9%; Heller Financial
(financial services), 1.8%; and Teleflex (capital goods), 1.7%.
17
<PAGE> 20
One Group Diversified Mid Cap Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
WHAT IS YOUR OUTLOOK FOR THE FUND?
We expect the economic environment to remain relatively stable in the United
States and to improve internationally. This should prove a positive backdrop for
investing in attractively valued mid-cap stocks. In fact, we believe that
mid-cap and small-cap stocks enjoy the best relative outlook in the market, and
we will continue to seek sound companies selling at reasonable prices.
/s/ Richard R. Jandrain
- -------------------------------------
Richard R. Jandrain III
Chief Investment Officer of Equity Securities
- ---------------
(1) The Fund previously was a member of the Pegasus Funds, which had a fiscal
year-end of December 31, 1998 -- the date of the last Pegasus Funds annual
report. The Pegasus Funds merged with the One Group in March 1999, and the
Fund's fiscal year-end is now June 30.
* Holdings are subject to change.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
18
<PAGE> 21
One Group Diversified Mid Cap Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (12/31/83)
<S> <C> <C> <C> <C>
Class I 5.47% 17.14% 15.20% 14.69%
</TABLE>
[Value of $10,000 Investment Line Graph]
<TABLE>
<CAPTION>
CLASS I RUSSELL 2500
------- ------------
<S> <C> <C>
6/89 10000 10000
6/90 10615 10412
6/91 11641 10984
6/92 13030 12808
6/93 17420 15986
6/94 18667 16433
6/95 21449 20162
6/96 25156 25033
6/97 32439 30065
6/98 39026 35508
6/99 41163 37408
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (12/31/83)
<S> <C> <C> <C> <C>
Class A 5.21% 16.96% 15.11% 14.63%
Class A* (0.32)% 15.71% 14.49% 14.23%
</TABLE>
* Reflects 5.25% Sales Charge.
[Value of $10,000 Investment Line Graph]
<TABLE>
<CAPTION>
CLASS A CLASS A* RUSSELL 2500
------- -------- ------------
<S> <C> <C> <C>
6/89 10000 9475 10000
6/90 10615 10057 10412
6/91 11641 11029 10984
6/92 13030 12345 12808
6/93 17420 16504 15986
6/94 18667 17685 16433
6/95 21449 20321 20162
6/96 25156 23833 25033
6/97 32354 30653 30065
6/98 38828 36787 35508
6/99 40850 38703 37408
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (12/31/83)
<S> <C> <C> <C> <C>
Class B 4.37% 16.66% 14.98% 14.54%
Class B** (0.63)% 16.44% 14.98% 14.54%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
[Value of $10,000 Investment Line Graph]
<TABLE>
<CAPTION>
CLASS B CLASS B** RUSSELL 2500
------- --------- ------------
<S> <C> <C> <C>
6/89 10000 10000 10000
6/90 10632 10632 10412
6/91 11658 11658 10984
6/92 13053 13053 12808
6/93 17447 17447 15986
6/94 18684 18684 16433
6/95 21474 21474 20162
6/96 25184 25184 25033
6/97 32295 32295 30065
6/98 38683 38683 35508
6/99 40373 40373 37408
</TABLE>
19
<PAGE> 22
One Group Diversified Mid Cap Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
(3/22/99)
<S> <C>
Class C 15.99%
Class C** 14.99%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
[Value of $10,000 Investment Line Graph]
<TABLE>
<CAPTION>
CLASS C CLASS C** RUSSELL 2500
------- --------- ------------
<S> <C> <C> <C>
3/99 10000 10000 10000
6/99 11599 11499 11640
</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 Pegasus Mid
Cap Opportunity Fund for the period prior to the commencement of operations of
the One Group Diversified Mid Cap Fund on March 22, 1999.
The above-quoted performance data includes the performance of a common trust
fund for the period prior to the commencement of operations of the mutual fund
on June 1, 1991, adjusted to reflect the deduction of fees and expenses. Common
trust funds are not registered under the Investment Company Act of 1940 ("1940
Act") and, therefore, are not subject to certain investment restrictions,
limitations and diversification requirements imposed by the 1940 Act and the
Internal Revenue Code. If the common trust fund had been registered under the
1940 Act, its performance may have been adversely affected.
The performance of the Diversified Mid Cap Fund is measured against the Russell
2500 Index, an unmanaged index generally representative of the performance of
the 2500 smallest companies in the Russell 3000 index which represents
approximately 17% of the total market capitalization of the Russell 3000 Index.
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.
20
<PAGE> 23
One Group Large Cap Growth Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
HOW DID THE FUND PERFORM?
For the year ended June 30, 1999, One Group Large Cap Growth Fund, formerly One
Group Large Company Growth Fund, I share class posted a total return of 28.78%.
(For information on other share classes and performance comparisons to indexes,
please see page 23.)
Large-capitalization growth stocks once again offered strong, double-digit
returns. For most of the fiscal year, market uncertainty and global economic
concerns caused investors to favor the country's largest, growth-oriented
corporations because of the liquidity and earnings stability they offered.
But, after a series of Federal Reserve rate cuts in late 1998 helped restore
some stability to the financial markets, concerns over a global economic
slowdown gradually diminished. Also, U.S. economic growth was stronger than
expected. Investors didn't feel as compelled to own the biggest companies, and
strong earnings and solid valuations among many mid-cap growth stocks fueled
interest in this area of the market.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Our primary, ongoing investment strategy is to search for good companies within
industries that are growing at a faster rate than the economy. These are
companies we believe have the ability to exhibit sustained growth at a defined
multiple of their underlying industry growth rate. In addition, we search for
strong management teams and superior product positioning.
We maintained a strong position in the technology sector during the year, as we
believed the industry fundamentals were compelling. As businesses continue to
strive for improvements in productivity and efficiency, spending on technology
has increased. Also, we've seen a deluge of spending on Internet-related
activities, e-commerce and Y2K readiness, all of which helped make the
technology sector the best-performing sector for the fiscal year ended June 30,
1999.
DID THE FUND BENEFIT FROM ANY PARTICULARLY STRONG HOLDINGS?*
As a group, the Fund's technology holdings were up more than 75% for the fiscal
year. In addition, several retail holdings performed well due to continued
economic growth. Wal-Mart, Gap and Staples were among the top retail performers.
The Fund also enjoyed strong performance from a number of stocks in other
sectors, including Charles Schwab (financial services), America Online (business
equipment & services), Tele-Communications Inc. (consumer services), Comcast
(consumer services), and Tyco (capital goods).
Energy and consumer non-durable stocks were among the poorest-performing. The
energy sector suffered from falling crude oil and natural gas prices, while
consumer non-durable stocks were negatively affected by slowing demand from
foreign markets. The Fund had minimal exposure to the energy sector.
HOW DID THE FUND'S TOP 10 HOLDINGS CHANGE?*
As of June 30, 1999, the Fund's top 10 holdings included Microsoft (technology),
7.3% of assets; General Electric (capital goods), 6.1%; IBM (technology), 4.1%;
Cisco Systems (technology), 3.7%; Lucent Technologies (technology), 3.5%;
Wal-Mart (retail), 3.1%; Intel (technology), 2.9%; Bristol-Myers Squibb (health
care), 2.6%; MCI Worldcom (utilities), 2.5%; and Merck (health care), 2.4%. Six
of the holdings remained among the top 10 from the previous fiscal year. The
four new members included IBM, Cisco, Intel and MCI Worldcom.
21
<PAGE> 24
One Group Large Cap Growth Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
WHAT IS YOUR OUTLOOK FOR THE FUND?
In recent years, economic growth, low inflation and relatively low interest
rates have supported strong stock returns. Investors enjoyed the benefit of
expanding price/earnings (P/E) ratios and robust earnings growth. Going forward,
we think the economy will continue to grow, inflation will remain low and
interest rates will remain low. If interest rates rise, this will put pressure
on P/E ratios, and most of the growth in stock prices will have to come from
earnings. We expect reasonably priced growth stocks to continue to do well, but
perhaps not at the pace we have seen over the last few years.
/s/ Richard R. Jandrain
Richard R. Jandrain III
Chief Investment Officer of Equity Securities
- ---------------
* Holdings are subject to change.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
22
<PAGE> 25
One Group Large Cap Growth Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (2/28/92)
<S> <C> <C> <C>
Class I 28.78% 27.18% 21.06%
</TABLE>
VALUE OF $10,000 INVESTMENT
[Large Cap Growth Fund
Class 1 Performance Graph]
<TABLE>
<CAPTION>
CLASS I S&P/BARRA 500 GROWTH
------- --------------------
<S> <C> <C>
2/92 10000 10000
6/92 9920 9743
6/93 11301 10550
6/94 12210 10522
6/95 14878 13755
6/96 17461 17505
6/97 23243 24215
6/98 31553 32661
6/99 40634 41868
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (2/22/94)
<S> <C> <C> <C>
Class A 28.43% 26.77% 24.57%
Class A* 21.70% 25.42% 23.33%
</TABLE>
* Reflects 5.25% Sales Charge.
VALUE OF $10,000 INVESTMENT
[Large Cap Growth
Fund Class A Performance Graph]
<TABLE>
<CAPTION>
CLASS A CLASS A* S&P/BARRA 500 GROWTH
------- -------- --------------------
<S> <C> <C> <C>
2/94 10000 9475 10000
6/94 9898 9380 9530
6/95 12028 11399 12458
6/96 14054 13319 15854
6/97 18631 17657 21931
6/98 25230 23912 29581
6/99 32404 30710 37920
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (1/14/94)
<S> <C> <C> <C>
Class B 27.54% 25.96% 23.40%
Class B** 22.54% 25.80% 23.33%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
[Large Cap Growth Fund
Class B Performance Graph]
<TABLE>
<CAPTION>
CLASS B CLASS B** S&P/BARRA 500 GROWTH
------- --------- --------------------
<S> <C> <C> <C>
1/94 10000 10000 10000
6/94 9934 9934 9539
6/95 11831 11831 12235
6/96 13952 13952 15570
6/97 18381 18381 21539
6/98 24696 24696 29052
6/99 31499 31399 37242
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year (11/4/97)
<S> <C> <C> <C>
Class C 27.52% 34.29%
Class C** 26.52% 34.29%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
[Large Cap Growth Fund Class C
Fiduciary Performance Graph]
<TABLE>
<CAPTION>
CLASS C CLASS C** S&P/BARRA 500 GROWTH
------- --------- --------------------
<S> <C> <C> <C>
11/97 10000 10000 10000
6/98 12763 12763 12458
6/99 16275 16275 15970
</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 Large Cap Growth Fund is measured against the S&P/BARRA
500 Growth Index, an unmanaged index representing the performance of the highest
price to book securities in the S&P 500. 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.
23
<PAGE> 26
One Group Large Cap Value Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
HOW DID THE FUND PERFORM?
For the year ended June 30, 1999, One Group Large Cap Value Fund, formerly One
Group Large Company Value Fund, I share class posted a total return of 17.26%.
(For information on other share classes and performance comparisons to indexes,
please see page 26.)
HOW DID MARKET EVENTS INFLUENCE FUND PERFORMANCE?
There are two factors that move stock prices -- valuation and fundamentals, such
as earnings growth. During the past fiscal year, we witnessed extreme cases of
valuation driving stock prices at certain times and fundamentals driving stock
prices at others. This created a lot of volatility and uncertainty in the
market.
At the beginning of the fiscal year, with market and economic crises developing
abroad, investors wanted to avoid stocks with foreign market exposure and to
focus on those with reliable fundamentals. As the situations in Asia, Russia and
Brazil intensified, the pool of favored stocks became narrower, and a small
group of growth stocks soared to levels not seen before. The market paid dearly
for fundamentals it could rely on, and valuation became less and less important.
Similarly, the market chose larger-capitalization stocks as its preferred
vehicle over mid- and small-capitalization stocks. As a result, in virtually any
category, large-capitalization stocks meaningfully outperformed mid-and
small-cap stocks.
Then, early in 1999, the Federal Reserve showed signs of moving toward a
tightening bias, and almost overnight investors no longer sought out stocks with
good fundamentals. They wanted valuation, and the cheaper the stock, the better.
Of course, neither of these extreme scenarios is ideal. Instead, we like to see
a proper blend of fundamentals and valuation. Given these events, the Fund's
performance lagged somewhat in the first half of the fiscal year, when growth
stocks were the favored investment. In the second half, value stocks gained
strength, particularly large-cap value stocks, such as those the Fund invests
in. Liquidity and earnings predictability continued to sway investors, and they
found both of those qualities among the stocks of larger, value-oriented
companies.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Our strategy involves implementing traditional value-investing techniques,
including focusing on stocks with below-average price-to-earnings and
price-to-book ratios. We employ this approach within the context of our basis
research discipline -- investing in attractively priced stocks with improving
earnings growth that will lead to eventual price appreciation. We generally
focus on companies with market capitalization greater than $10 billion.
In our search for value stocks, we look for companies that exhibit an "earnings
catalyst," or some factor expected to improve the company's earnings growth.
This catalyst can be any one of a number of factors, including introducing a new
product, implementing a management turnaround, entering a new market, etc.
During the second half of the fiscal year, there were many value stocks being
purchased, but none exhibited an earnings catalyst. We chose not to chase stocks
that we felt were inexpensively priced and would stay that way. Instead, we
remained dedicated to our long-term strategy and research discipline.
WHAT ARE SOME EXAMPLES OF FUND HOLDINGS THAT BENEFITED FROM AN EARNINGS
CATALYST?*
The Fund benefited from owning stock in Wells Fargo bank. This company had many
earnings catalysts, but the most notable was its merger with Norwest Corp.,
which resulted in significant revenue growth. For IBM, in the technology sector,
the catalyst was a new management team that produced stellar stock returns. The
Fund also enjoyed strong returns from Cigna, a health care insurance provider
that benefited from a merger and a subsequent transition from a general
insurance company to one specializing in health care.
WHAT WERE THE FUND'S TOP 10 HOLDINGS?*
As of June 30, 1999, the Fund's top 10 holdings included five that were part of
the top 10 last year: Citigroup (financial services), 4.3% of the Fund's assets;
Bank of America (financial services), 3.3%; IBM (technology), 2.8%; Exxon
(energy), 2.6%; and Royal Dutch Petroleum (energy), 2.1%. The remaining mem-
24
<PAGE> 27
One Group Large Cap Value Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
bers included Cigna Corp. (financial services), 2.7%; American International
Group (financial services), 2.5%; Mobil Corp. (energy), 2.4%; Philip Morris
(tobacco), 1.8%; and FNMA (financial services), 1.8%.
WHAT IS YOUR OUTLOOK FOR THE FUND?
While the market continues to struggle with leadership issues, we will remain
true to our management discipline and continue to look for stocks with
attractive valuations and identifiable earnings catalysts.
/s/ Kathleen Cole
-------------------
Kathleen Cole
Team Leader
Banc One Investment Advisors Value Team
/s/ Richard R. Jandrain
-------------------
Richard R. Jandrain III
Chief Investment Officer of Equity Securities
- ---------------
* Holdings are subject to change.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
25
<PAGE> 28
One Group Large Cap Value Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (3/1/91)
<S> <C> <C> <C>
Class I 17.26% 20.29% 14.99%
</TABLE>
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
CLASS I S&P/BARRA 500 VALUE
------- -------------------
<S> <C> <C>
3/91 10000 10000
6/91 10148 10035
6/92 11721 11405
6/93 12511 13514
6/94 12709 13932
6/95 15685 16903
6/96 17678 21094
6/97 22470 27610
6/98 27292 34546
6/99 32008 40260
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (2/18/92)
<S> <C> <C> <C>
Class A 17.39% 20.00% 14.45%
Class A* 11.22% 18.71% 13.62%
</TABLE>
* Reflects 5.25% Sales Charge.
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
CLASS A CLASS A* S&P/BARRA 500 VALUE
------- -------- -------------------
<S> <C> <C> <C>
2/92 10000 9475 10000
6/92 9988 9466 10267
6/93 10652 10095 12165
6/94 10862 10295 12542
6/95 13321 12625 15217
6/96 14973 14190 18990
6/97 19000 18007 24856
6/98 23018 21817 31100
6/99 27024 25611 36244
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (1/14/94)
<S> <C> <C> <C>
Class B 16.30% 19.21% 16.71%
Class B** 11.30% 19.02% 16.62%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
CLASS B CLASS B** S&P/BARRA 500 VALUE
------- --------- -------------------
<S> <C> <C> <C>
1/94 10000 10000 10000
6/94 9652 9652 9643
6/95 11802 11802 11317
6/96 13213 13213 14123
6/97 16630 16630 18485
6/98 19983 19983 23128
6/99 23242 23142 26953
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
(3/22/99)
<S> <C>
Class C 8.06%
Class C** 7.06%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
CLASS C CLASS C** S&P/BARRA 500 VALUE
------- --------- -------------------
<S> <C> <C> <C>
3/99 10000 10000 10000
6/99 10806 10706 11080
</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 Large Cap Value Fund is measured against the S&P/BARRA
500 Value Index, an unmanaged index representing the performance of the lowest
price to book securities in the S&P 500. 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.
26
<PAGE> 29
One Group Equity Income Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
HOW DID THE FUND PERFORM?
One Group Equity Income Fund, formerly One Group Income Equity Fund, I share
class posted a total return of 11.29% for the year ended June 30, 1999. (For
information on other share classes and performance comparisons to the Fund's
benchmark index, please see page 29.)
Despite mixed economic and market factors, it was the fifth-consecutive fiscal
year of double-digit returns. Throughout the period, the U.S. economy and
corporate profits performed in an exemplary manner, but near the end of the year
growing concerns over economic "overheating" and fears of higher interest rates
tempered investor enthusiasm.
TO WHAT DO YOU ATTRIBUTE SUCH STRONG PERFORMANCE?
In a market environment characterized by rotation of strength and weakness, the
Fund was rewarded by "staying the course." The Fund remained invested in a
balance of investments selected for their high current income and those selected
for their total return potential. This balance allowed the Fund to participate
in strong markets while maintaining defensive characteristics. This approach
proved beneficial, with the total return portion performing well during the
first six months of the fiscal year, as interest rates declined. In the second
half, interest rates reversed course, with interest-rate sensitive and
high-multiple growth stocks underperforming.
WHAT WERE SOME OTHER STRATEGIES AND TACTICS?
Our efforts during the fiscal year centered on managing volatility, which
remained at high levels due to a variety of developments, including the hedge
fund illiquidity crisis, the presidential impeachment trial, accelerating U.S.
economic growth, speculation in technology securities, and the crisis in Kosovo.
The result was aggressive rotation and volatile price moves in the major market
indexes. Because the Fund is targeted toward the long term, we used these big
price swings to build positions in issues we believe possess superior earnings
prospects.
The Fund's asset allocation remained unchanged from last year. On average, the
Fund held 89% of its assets in common stocks, 6% in convertible securities, 4%
in real estate investment trusts (REITs) and 1% in cash during the fiscal year.
DID THE FUND BENEFIT FROM ANY PARTICULARLY STRONG HOLDINGS?*
The Fund enjoyed solid performance from a variety of holdings in various
industries. In the communications sector, Sprint, SBC Communications and
BellSouth posted strong gains. Among technology stocks, IBM and Hewlett Packard
offered solid returns.
Retailer Wal-Mart also offered strong fiscal-year performance. In the industrial
sector, United Technologies, Dow Chemical, General Electric and Kimberly Clark
posted strong gains. And, in the energy sector, the Fund benefited from its
holdings in BP Amoco and Mobil.
Disappointing performance was related to company-specific problems that resulted
in earnings shortfalls and negative sentiment toward the company's prospects.
American Greetings, Deere, Allstate, Lockheed Martin, First Union, U.S. Bancorp
and Coca-Cola were among the poorer performers.
Our policy in handling such issues is to reduce the position size when earnings
expectations are not being met, and to sell out completely if a turnaround is
unlikely. To help avoid problem situations, we employ both strategic and
fundamental reviews in an effort to focus on areas with favorable growth
prospects.
HOW DID THE FUND'S TOP 10 HOLDINGS CHANGE?*
The Fund's holdings and largest positions changed considerably during the fiscal
year. Six new issues moved into the top 10 at year end -- IBM (technologies),
2.7%; Citigroup (financial services), 2.1%; FNMA (financial services), 2.1%;
Mobil (energy), 2.0%; SBC Communications (utilities), 2.0%; and Merck (health
care), 1.9%. The remaining four included General Electric (capital goods), 4.4%;
Exxon (energy), 2.0%; Bristol Myers Squibb (health care), 1.9%; and Bank of
America Corp. (financial services), 1.9%.
WHAT IS YOUR OUTLOOK FOR THE FUND?
After five years of significant gains in the U.S. equity market, along with a
favorable interest rate environ-
27
<PAGE> 30
One Group Equity Income Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
ment and minimal inflation, it appears that conditions may be changing. With
interest rates and inflation potentially on the rise, investors must look to
better corporate earnings to lift stock prices.
The strong economy is having a favorable impact on earnings, and our
expectations are for corporate earnings to accelerate next year. In addition,
the broadening of the market should continue to favor sectors that have been
neglected in the past several years. All of this bodes well for the Fund, as our
security selection criteria places the most importance on finding good earnings,
regardless of the industry or the size of the company.
/s/ Michael Weiner
-------------------
Michael Weiner
Team Leader
Banc One Investment Advisors Balanced Team
/s/ Richard R. Jandrain
-------------------
Richard R. Jandrain III
Chief Investment Officer of Equity Securities
- ---------------
* Holdings are subject to change.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
28
<PAGE> 31
One Group Equity Income Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (7/2/87)
<S> <C> <C> <C> <C>
Class I 11.29% 22.02% 15.55% 13.76%
</TABLE>
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
CLASS I S&P 500
------- -------
<S> <C> <C>
6/89 10000.00 10000.00
6/90 11279.00 11649.00
6/91 12123.00 12510.00
6/92 13662.00 14188.00
6/93 15197.00 16122.00
6/94 15693.00 16349.00
6/95 18996.00 20611.00
6/96 23657.00 25970.00
6/97 30966.00 34981.00
6/98 38142.00 45532.00
6/99 42447.00 55894.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (2/18/92)
<S> <C> <C> <C>
Class A 10.94% 21.70% 16.53%
Class A* 5.12% 20.39% 15.68%
</TABLE>
* Reflects 5.25% Sales Charge.
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
CLASS A CLASS A* S&P 500
------- -------- -------
<S> <C> <C> <C>
2/92 10000 9475 10000
6/92 10079 9552 9992
6/93 11226 10640 11354
6/94 11557 10954 11514
6/95 13961 13230 14515
6/96 17353 16445 18289
6/97 22625 21442 24635
6/98 27806 26355 32065
6/99 30848 29237 39363
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (1/14/94)
<S> <C> <C> <C>
Class B 10.18% 20.83% 18.18%
Class B** 5.18% 20.64% 18.10%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
CLASS B CLASS B** S&P 500
------- --------- -------
<S> <C> <C> <C>
1/94 10000 10000 10000
6/94 9663 9663 9344
6/95 11587 11587 11779
6/96 14300 14300 14842
6/97 18515 18515 19992
6/98 22587 22587 26022
6/99 24888 24788 31945
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year (11/4/97)
<S> <C> <C> <C>
Class C 10.24% 16.39%
Class C** 9.24% 16.39%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
CLASS C CLASS C** S&P 500
------- --------- -------
<S> <C> <C> <C>
11/97 10000 10000 10000
6/98 11656 11656 11973
6/99 12850 12850 14698
</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 Equity Income Fund is measured against the S&P 500 Index,
an unmanaged index generally representative of the performance of large
companies in the US stock market. 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.
29
<PAGE> 32
One Group Diversified Equity Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
HOW DID THE FUND PERFORM?
One Group Diversified Equity Fund, formerly One Group Value Growth Fund, I share
class posted a total return of 20.72% for the year ended June 30, 1999. (For
information on other share classes and performance comparisons to indexes,
please see page 32.)
For most of the fiscal year, large- and mid-company growth stocks continued to
outperform all other types of stocks. Then, in April, it became apparent that
worldwide economic growth would be a little better than expected. Encouraged by
this news, as well as positive first-quarter earnings surprises in a wide range
of companies, the market finally turned its attention away from the growth
sector and toward value stocks. By the end of the fiscal year, the market had
not assigned a leadership role to any one group of companies, and a "trendless"
market had emerged.
HOW DID THIS SENTIMENT INFLUENCE FUND PERFORMANCE?
From the beginning of the fiscal year through April 1999, the Fund benefited
from its overweighting in growth stocks. However, as the market sentiment
quickly shifted in April, the larger-cap, growth orientation hindered
performance somewhat. By fiscal year-end, we had reduced the Fund's growth
weighting from 62% to about 55%.
WAS THE GROWTH OVERWEIGHT AN INTENTIONAL PART OF YOUR STRATEGY?
Rather than emphasizing particular market sectors or trying to time the market's
next moves, we research, evaluate and select stocks on an individual basis to
build a diversified portfolio of our "best ideas." We don't consciously
overweight a single sector or a single style of stock. Instead, we try to
purchase the most attractive stocks, or those offering great return potential
relative to their level of risk, in four different styles --
large-capitalization growth, large-capitalization value, mid-capitalization
growth and mid-capitalization value.
By building a portfolio one stock at a time, we occasionally may end up with an
unintentional style bias. As such, we formally review the Fund's style bias once
a month to make sure it makes sense. While we believed that the market's bias
toward growth stocks was not sustainable over the long term, we did not expect
sentiment to change so rapidly and significantly. We expected the shift to value
stocks to be more gradual, giving us time to adjust the Fund's style bias. In
addition, many of the value-oriented stocks that moved up the fastest were those
that historically do not see such severe price appreciation.
HOW WOULD YOU SUMMARIZE YOUR STRATEGY?
Ideally, we want to find stocks with an appropriate balance of earnings
revisions and price momentum. We believe that a combination of good growth and
good value equals a good stock.
DID THE FUND BENEFIT FROM ANY PARTICULARLY STRONG HOLDINGS?*
The Fund benefited from particularly strong performance among several individual
stocks. Wal-Mart (retail), for example, continued to beat earnings expectations
for each of the fiscal year's four quarters. Tyco International (capital goods)
posted strong results due, in part, to its purchase of Amp and its efforts in
making Amp a better-performing company. Time Warner (consumer services)
benefited from an across-the-board interest in the company's various lines of
business. America Online showed significant strength as its price increased
six-fold during the fiscal year.
WHAT WERE THE FUND'S TOP 10 HOLDINGS?*
The Fund's 10 largest holdings as of June 30, 1999, included Microsoft
(technology), at 4.0% of assets; General Electric (capital goods), 3.3%; IBM
(technology), 2.7%, Intel (technology), 2.3%, Citigroup (financial services),
2.0%; Cisco Systems (technology), 2.0%; SBC Communications (utilities), 1.9%;
MCI Worldcom (utilities), 1.9%; Mobil (energy), 1.8%; Bristol-Myers Squibb
(health care), 1.8%.
30
<PAGE> 33
One Group Diversified Equity Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
WHAT IS YOUR OUTLOOK FOR THE FUND?
The significant risk factors to equities over the next year are the degree to
which international economies have or have not recovered and the degree to which
the Federal Reserve changes interest rates. At the same time, we expect stock
investors to continue searching for leadership, and in the process the market
may experience moderate volatility. Because of these factors, we will continue
to work to restore a growth/value balance in the portfolio on a stock-by-stock
basis.
/s/ Michael Weiner
Michael Weiner
Team Leader
Banc One Investment Advisors Balanced Team
/s/ Richard R. Jandrain
Richard R. Jandrain III
Chief Investment Officer of Equity Securities
- ---------------
* Holdings are subject to change.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
31
<PAGE> 34
One Group Diversified Equity Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (12/29/89)
<S> <C> <C> <C>
Class I 20.72% 24.33% 18.26%
</TABLE>
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
CLASS I S&P 1500
------- --------
<S> <C> <C>
12/89 10000 10000
6/90 10677 10309
6/91 11637 11072
6/92 13873 12557
6/93 16590 14268
6/94 16560 14469
6/95 19281 18241
6/96 23346 22959
6/97 30810 30524
6/98 40749 39510
6/99 49193 47945
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (12/29/89)
<S> <C> <C> <C>
Class A 20.36% 24.09% 18.14%
Class A* 14.02% 22.76% 17.47%
</TABLE>
* Reflects 5.25% Sales Charge.
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
CLASS A CLASS A* S&P 1500
------- -------- --------
<S> <C> <C> <C>
12/89 10000 9475 10000
6/90 10677 10121 10309
6/91 11637 11031 11072
6/92 13873 13150 12557
6/93 16590 15725 14268
6/94 16559 15697 14469
6/95 19281 18276 18241
6/96 23327 22112 22959
6/97 30683 29085 30524
6/98 40489 38380 39510
6/99 48732 46193 47945
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year (9/9/94)
<S> <C> <C>
Class B 19.52% 22.49%
Class B** 14.52% 22.29%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
CLASS B CLASS B** S&P 1500
------- --------- --------
<S> <C> <C> <C>
9/94 10000 10000 10000
6/95 10812 10812 12019
6/96 12988 12988 15129
6/97 16942 16942 20113
6/98 22175 22175 26034
6/99 26503 26303 31592
</TABLE>
32
<PAGE> 35
One Group Diversified Equity Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year (11/4/97)
<S> <C> <C>
Class C 19.57% 24.97%
Class C** 18.57% 24.97%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
CLASS C CLASS C** S&P 1500
------- --------- --------
<S> <C> <C> <C>
11/97 10000 10000 10000
6/98 12087 12087 11858
6/99 14452 14452 14390
</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 Paragon Value
Equity Income Fund for the period prior to the commencement of operations of the
One Group Diversified Equity Fund on March 26, 1996. Prior to March 26, 1996
performance for the Class I Shares is based on Class A Share performance
adjusted to reflect the absence of sales charges.
The performance of the Diversified Equity Fund is measured against the S&P 1500
Index, an unmanaged index generally representative of the performance of large
and small companies in the US stock market. 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 S&P 1500 Index for all classes consists of the average monthly returns of
the S&P 500 Index from December 1989 through December 1994. Thereafter, the data
are from the S&P 1500 Index which corresponds with the initiation of the S&P
1500 Index on January 1, 1995.
33
<PAGE> 36
One Group Balanced Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
HOW DID THE FUND PERFORM?
One Group Balanced Fund, formerly One Group Asset Allocation Fund, I share class
posted a total return of 12.74% for the year ended June 30, 1999. (For
information on other share classes and performance comparisons to indexes,
please see page 36.)
WHAT WAS THE FUND'S ASSET ALLOCATION?
The Fund maintained an asset allocation of 60% stocks and 40% bonds throughout
the year. This represents a slightly higher stock allocation than the previous
fiscal year, but reflects our target asset allocation.
While the stock component of the portfolio had a growth bias throughout the year
it is important to note that we don't consciously overweight a single sector or
a single style of stock. Instead, we try to purchase the most attractive stocks,
or those offering greater return potential relative to their level of risk, in
four different styles -- large-capitalization growth, large-capitalization
value, mid-capitalization growth and mid-capitalization value.
By purchasing stocks one at a time, we occasionally may end up with an
unintentional style bias. As such, we formally review the portfolio's style bias
once a month to make sure it makes sense.
The fixed income portfolio was invested in a mix of Treasury, agency, corporate,
mortgage-backed and asset-backed securities.
HOW DID EVENTS PLAY OUT IN THE FUND'S STOCK PORTFOLIO?
For most of the fiscal year, large- and mid-company growth stocks continued to
outperform all other types of stocks. Then, in April, it became apparent that
worldwide economic growth would be a little better than expected. Encouraged by
this news, as well as positive first-quarter earnings surprises in a wide range
of companies, the market finally turned its attention away from the growth
sector and toward value stocks. While we believed that the market's bias toward
growth stocks was not sustainable over the long term, we did not expect
sentiment to change so rapidly and significantly. We expected the shift to value
stocks to be more gradual, giving us time to adjust the portfolio's style bias.
By the end of the fiscal year, the market had not assigned a leadership role to
any one group of companies, and a "trendless" market had emerged.
HOW DID THIS SENTIMENT INFLUENCE PERFORMANCE?
From the beginning of the fiscal year through April 1999, the equity portion of
the Fund benefited from its growth-stock bias. However, as the market sentiment
quickly shifted in April, this larger-cap, growth orientation hindered
performance somewhat. By fiscal year-end, we had increased the value focus and
reduced the growth weighting from 62% to approximately 55%.
DID THE STOCK PORTFOLIO BENEFIT FROM ANY PARTICULARLY STRONG HOLDINGS?*
The Fund's stock portfolio benefited from particularly strong performance among
several individual stocks. Wal-Mart (retail), for example, continued to beat
earnings expectations for each of the fiscal year's four quarters. Tyco
International (capital goods) posted strong results due, in part, to its
purchase of Amp and its efforts in making Amp a better-performing company. Time
Warner (consumer services) benefited from an across-the-board interest in the
company's various lines of business. America Online showed significant strength
as its price increased six-fold during the fiscal year.
WHAT WERE THE STOCK PORTFOLIO'S TOP 10 HOLDINGS?*
The Fund's 10 largest stock holdings as of June 30, 1999, included Microsoft
(technology), at 4.1% of assets; General Electric (capital goods), 3.4%; IBM
(technology), 2.7%, Intel (technology), 2.3%, Citigroup (financial services),
2.1%; Cisco Systems (technology), 2.0%; MCI Worldcom (utilities), 1.9%; Exxon
(energy), 1.9%; Bristol-Myer Squibb (health care), 1.8% and Wal-Mart (retail),
1.8%.
WHAT WAS YOUR STRATEGY IN THE FIXED INCOME PORTFOLIO?
Early in the fiscal year, concerns about the health of the economy caused us to
increase the portfolio's credit quality and shorten the average maturity of the
corporate and asset-backed securities we held. With the possibility of a slowing
economy, the risk of corporate bankruptcies increased, so we wanted to decrease
exposure to credit risk. We also sold some Treasury
34
<PAGE> 37
One Group Balanced Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
securities and increased the portfolio's agency exposure in order to gain some
yield advantage.
Despite severe volatility in the fixed income market during the fiscal year, we
eventually were rewarded for maintaining our investment discipline. Last fall,
when economic and market crises in Asia, Russia and South America emerged,
investors demanded quality securities and caused a huge rally in the U.S.
Treasury market. All other fixed income investments lagged Treasuries.
Nevertheless, we did not panic and sell our non-Treasury securities. We had
structured the portfolio with securities we believed would provide long-term
advantages over Treasuries. By the spring of 1999, the Treasury rally had
subsided, and non-Treasury securities showed significant improvement.
We also avoided significantly altering the portfolio's duration, which remained
in a neutral range of 3.5 years to 3.8 years during the year. (Duration is a
measure of a portfolio's price sensitivity to interest rate changes. A longer
duration indicates greater sensitivity; a shorter duration indicates less.)
Instead of making "bets" on interest rate movements by significantly changing
duration, we preferred to concentrate on the yield component of total return.
WHAT IS YOUR OUTLOOK FOR THE FUND?
The significant risk factors to equities over the next year are the degree to
which international economies have or have not recovered and the degree to which
the Federal Reserve changes interest rates. At the same time, we expect stock
investors to continue searching for leadership, and in the process the market
may experience moderate volatility. Because of these factors, we will continue
to work to restore a growth/value balance in the equity portfolio on a
stock-by-stock basis.
In the fixed income portfolio, we expect to maintain our emphasis on
non-Treasury securities. We continue to believe that they offer long-term
performance advantages. Within the corporate bond sector, we expect to maintain
our focus on higher-quality, shorter-
maturity securities due to lingering uncertainty regarding interest rates and
the health of certain international markets.
/s/ Michael Weiner
Michael Weiner
Team Leader
Banc One Investment Advisors Balanced Team
/s/ Douglas Swanson
Douglas Swanson
Team Leader
Banc One Investment Advisors Taxable Bond Team
/s/ Richard R. Jandrain
Richard R. Jandrain III
Chief Investment Officer of Equity Securities
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
- ---------------
* Holdings are subject to change.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
35
<PAGE> 38
One Group Balanced Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (4/5/93)
<S> <C> <C> <C>
Class I 12.74% 17.12% 13.56%
</TABLE>
VALUE OF $10,000 INVESTMENT
[Balanced Fund Class I Performance Graph]
<TABLE>
<CAPTION>
Class 1 S&P 500 Lipper Balanced
<S> <C> <C> <C>
4/93 10000 10000 10000
6/93 10129 10298 10283
6/94 10027 10442 10366
6/95 11636 13165 11974
6/96 13356 16588 13749
6/97 16048 22343 16584
6/98 19596 29082 19637
6/99 22094 35701 21903
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (4/2/93)
<S> <C> <C> <C>
Class A 12.45% 16.80% 13.25%
Class A* 6.51% 15.56% 12.28%
</TABLE>
* Reflects 5.25% Sales Charge.
VALUE OF $10,000 INVESTMENT
[Balanced Fund Class A Performance Graph]
<TABLE>
<CAPTION>
Class A Class A* S&P 500 Lipper Balanced
<S> <C> <C> <C> <C>
4/93 10000 9475 10000 10000
6/93 10124 9596 10298 10283
6/94 10003 9481 10442 10336
6/95 11580 10976 13165 11974
6/96 13257 12564 16588 13749
6/97 15888 15059 22343 16584
6/98 19336 18328 29082 19637
6/99 21744 20611 35701 21903
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (1/14/94)
<S> <C> <C> <C>
Class B 11.59% 15.97% 13.26%
Class B** 6.59% 15.75% 13.15%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
[Balanced Fund Class A Performance Graph]
<TABLE>
<CAPTION>
Class B Class B** S&P 500 Lipper Balanced
<S> <C> <C> <C> <C>
1/94 10000 10000 10000 10000
6/94 9402 9402 9344 9376
6/95 10803 10803 11779 10803
6/96 12292 12292 14842 12435
6/97 14616 14616 19992 14999
6/98 17676 17676 26022 17760
6/99 19726 19626 31944 19810
</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 Balanced Fund is measured against the S&P 500 Index, an
unmanaged index generally representative of the performance of large companies
in the US stock market. 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 Balanced Funds Index is a blended index consisting of both stocks and
bonds with a typical stock to bond ratio of around 60% to 40%.
36
<PAGE> 39
One Group Equity Index Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
HOW DID THE FUND PERFORM?
One Group Equity Index Fund I share class offered a total return of 22.50% for
the year ended June 30, 1999. (For information on other share classes and
performance comparisons to indexes, please see page 39.)
As it is designed to do, the Fund offered a return that nearly matched that of
the S&P 500 Index, the unmanaged group of stocks the Fund seeks to track with
little or no excess risk. The S&P 500 Index returned 22.76% for the year. The
slight difference in returns between the Fund and the Index is due to fees and
transaction costs charged to the Fund but not to the Index. Also, the frequency
of cash inflows and outflows affects Fund performance.
WHAT CONTRIBUTED TO SUCH A STRONG RETURN?
Once again, corporate profits among large U.S. companies surprised investors
favorably. Year-over-year operating earnings for the S&P 500 increased more than
10%. Companies in the S&P 500 proved to have some pricing power as well as an
ability to expand margins through further cost reductions, and the Fund's
performance was correlated to those companies.
HOW DO YOU SEEK TO REDUCE TRANSACTION COSTS AND ADD TO PERFORMANCE?
Our strategy is to invest the daily cash inflows in S&P futures contracts. Once
those contracts reached about 3.5% of the Fund, we swap a small percentage back
to stocks using a process called "exchange for physical," which helps reduce
transaction costs. We also hold S&P 500 futures contracts for liquidity
purposes, and must roll them over four times a year. We use our proprietary
futures valuation model to find the best opportunities to do so as we approach
the contract expiration dates.
In addition, we implemented a new strategy called "acceleration of additions and
deletions," whereby we buy stocks in anticipation of their additions to and
deletions from the Index. Systematically, we purchase those companies that are
going to enter the Index and sell those that are exiting based on
pre-announcements. This strategy added roughly 0.12 percentage points to the
Fund's gross performance in 1999.
WHICH MARKET SECTORS OFFERED NOTABLE PERFORMANCE?
The Fund offered exposure to most economic sectors. The most active sector was
technology, which was bolstered by encouraging earnings results from Apple
Computer, Oracle, Intel, Microsoft and IBM. Internet related stocks, such as
America Online, also offered stellar returns. At year-end, the technology sector
had posted the best upward earnings revision trend over the last several months.
In addition, the utilities/telecommunications area showed positive returns, as
did many electric utilities including Bell Atlantic, BellSouth and Ameritech.
The battered energy sector was the worst-performing.
WHAT WERE THE FUND'S TOP 10 HOLDINGS?*
The major changes in the Fund's holdings during the year resulted from merger
and acquisition activities and the quarterly rebalancing of the Index. Five
holdings -- Microsoft (technology), 4.0% of assets; General Electric (capital
goods), 3.3%; Wal-Mart (retail), 1.9%; Intel (technology), 1.8%; and Exxon
(energy), 1.7% -- remained among the top 10 from June 30, 1998. The remaining
five included IBM (technology), 2.1%; Cisco Systems (technology), 1.8%; Lucent
Technologies (technology), 1.8%; AT&T (utilities), 1.6%; and Merck (healthcare),
1.6%.
37
<PAGE> 40
One Group Equity Index Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
WHAT IS YOUR OUTLOOK FOR THE STOCK MARKET?
The stock market's negative bias toward cyclical and economic-sensitive issues
may be waning. Recently, the market has shown signs of decreased harshness
toward stocks that depend on economic strength and economy-wide pricing factors.
With regard to long-term interest rates, we believe the market will continue to
hold out for lower yields, which, along with strong economic growth, would be
positive for equity investing.
/s/ Richard R. Jandrain
Richard R. Jandrain III
Chief Investment Officer of Equity Securities
- ---------------
* Holdings are subject to change.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
38
<PAGE> 41
One Group Equity Index Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (7/2/91)
<S> <C> <C> <C>
Class I 22.50% 27.50% 20.00%
</TABLE>
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
CLASS I S&P 500
------- -------
<S> <C> <C>
7/91 10000 10000
6/92 11211 10836
6/93 12673 12313
6/94 12753 12486
6/95 16043 15741
6/96 20129 19834
6/97 27033 26717
6/98 35070 34775
6/99 42972 42690
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (2/18/92)
<S> <C> <C> <C>
Class A 22.22% 27.15% 19.82%
Class A* 15.82% 25.80% 18.94%
</TABLE>
* Reflects 5.25% Sales Charge.
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
Measurement Period
<S> <C> <C> <C>
(Fiscal Year Covered) S&P 500 Class A* Class A
6/98 32066 29574 30976
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (1/14/94)
<S> <C> <C> <C>
Class B 21.32% 26.21% 22.48%
Class B** 16.32% 26.05% 22.40%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
CLASS B CLASS B** S&P 500
------- --------- -------
<S> <C> <C> <C>
1/94 10000.00 10000.00 10000.00
6/94 9443.00 9443.00 9344.00
6/95 11765.00 11765.00 11779.00
6/96 14595.00 14595.00 14842.00
6/97 19400.00 19400.00 19992.00
6/98 24921.00 24921.00 26022.00
6/99 30239.00 30139.00 31945.00
6/97 24635 22869 24635
6/96 18289 17075 18289
6/95 14515 13644 14515
6/94 11514 10879 11514
6/93 11354 10818 11354
6/92 9992 9595 9992
2/92 10000 9550 10000
</TABLE>
39
<PAGE> 42
One Group Equity Index Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year (11/4/97)
<S> <C> <C> <C>
Class C 21.52% 26.33%
Class C** 20.52% 26.33%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
Measurement Period
(Fiscal Year Covered) S&P 500 Class C** Class C
<S> <C> <C> <C>
11/97 10000 10000 10000
6/98 11973 12006 12106
</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 Equity Index Fund is measured against the S&P 500 Index,
an unmanaged index generally representative of the performance of large
companies in the US stock market. 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.
40
<PAGE> 43
One Group Market Expansion Index Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
HOW DID THE FUND PERFORM?
One Group Market Expansion Index Fund I share class offered a total return of
4.54% for the six-month period ended June 30, 1999.(1) From the Fund's inception
date, July 30, 1998, to June 30, 1999, the Fund's total return on I shares was
14.90%. (For information on other share classes and performance comparisons to
indexes, please see page 42.)
As it is designed to do, the Fund's performance closely matched that of a market
cap-adjusted average of the returns on the S&P MidCap 400 Index and the S&P
SmallCap 600 Index. The Fund has management fees and transaction expenses that
do not apply to the indexes. In addition, we expect small deviations to occur
due to slight differentials between security weightings in the Fund and
weightings in the indexes.
WHAT CONTRIBUTED TO THE FUND'S RETURN?
For much of the period, mid-cap stocks started to gain some of the ground they
had lost to their larger counterparts over the last few years. Small-cap stocks,
though, continued to lag due to investors' preference for the liquidity and
earnings stability of larger-company stocks.
Value stocks also gained some ground recently, as strong economic growth and a
rising interest rate environment favored these stocks. What's more, the strong
U.S. economy and improved prospects for the economy's future have caused
investors to reevaluate the growth prospects of many cyclical companies.
WHICH MARKET SECTORS OFFERED NOTABLE
PERFORMANCE?
The Fund offered exposure to most economic sectors. Technology stocks showed the
sharpest earnings estimate reductions over the past several months. In light of
their expanded valuations, such developments should result in a more cautious
position toward the group. From a valuation standpoint, technology stocks have
the unfortunate characteristics of eroding earnings and expanding valuations.
Financial stocks -- particularly those from larger companies -- enjoyed the
strongest earnings estimate adjustments over the past several months.
WHAT WERE THE FUND'S TOP 10 HOLDINGS?*
As of June 30, 1999, the Fund's top 10 holdings included Qualcomm (technology),
at 1.6% of Fund assets; Linear Technology (technology), 0.8%; Starbucks Corp.
(retail), 0.8%; Biogen (health care), 0.8%; E*Trade Group (financial), 0.7%;
Maxim Integrated (technology), 0.7%; Lexmark International Group (technology),
0.7%, Harley-Davidson (consumer durables), 0.7%; XiLink (technology), 0.6%; and
Office Depot (retail), 0.6%.
WHAT IS YOUR OUTLOOK FOR THE FUND?
We believe that small- and mid-cap stocks are still trading near historically
low discounts to their large-cap counterparts. We believe that the performance
differences between large-cap and small- and mid-cap stocks is not sustainable
over the long term, and we expect small- and mid-cap stocks to gain some ground
in the future. We think that the momentum in the economic cycle is the key to
boosting the performance of these stocks in the near term.
/s/ Richard R. Jandrain
- ------------------------
Richard R. Jandrain III
Chief Investment Officer of Equity Securities
- ---------------
(1) The Fund previously was a member of the Pegasus Funds, which had a fiscal
year-end of December 31, 1998 -- the date of the last Pegasus Funds annual
report. The Pegasus Funds merged with the One Group in March 1999, and the
Fund's fiscal year-end is now June 30. This Fund commenced operations on
July 31, 1998.
* Holdings are subject to change.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
41
<PAGE> 44
One Group Market Expansion Index Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
(7/30/98)
<S> <C> <C>
Class I 14.90%
</TABLE>
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
CLASS I S&P 400 S&P 600
------- ------- -------
<S> <C> <C> <C>
7/98 10000.00 10000.00 10000.00
6/99 11490.00 12191.00 10578.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
(7/30/98)
<S> <C> <C>
Class A 14.66%
Class A* 8.69%
</TABLE>
* Reflects 5.25% Sales Charge.
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
CLASS A CLASS A* S&P 400 S&P 600
------- -------- ------- -------
<S> <C> <C> <C> <C>
7/98 10000 10000 10000 10000
6/99 11466 10869 12191 10578
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
(7/30/98)
<S> <C> <C>
Class B 15.59%
Class B** 10.59%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
CLASS B CLASS B** S&P 400 S&P 600
------- --------- ------- -------
<S> <C> <C> <C> <C>
7/98 10000.00 10000.00 10000.00 10000.00
6/99 11559.00 11059.00 12191.00 10578.00
</TABLE>
42
<PAGE> 45
One Group Market Expansion Index Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
(3/22/99)
<S> <C> <C>
Class C 14.25%
Class C** 13.25%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
CLASS C CLASS C** S&P 400 S&P 600
------- --------- ------- -------
<S> <C> <C> <C> <C>
3/99 10000.00 10000.00 10000.00 10000.00
6/99 11425.00 11325.00 12191.00 10578.00
</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 Pegasus Market
Expansion Index Fund for the period prior to the commencement of operations of
the One Group Market Expansion Index Fund on March 22, 1999.
The performance of the Market Expansion Index Fund is measured against the S&P
400 Index, an unmanaged index generally representative of the mid-cap stock
market. 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 S&P 600 Index is an unmanaged index generally representative of the small
companies stock market.
43
<PAGE> 46
One Group International Equity Index Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
HOW DID THE FUND PERFORM?
For the year ended June 30, 1999, One Group International Equity Index Fund I
share class posted a total return of 11.27%. (For information on other share
classes and a performance comparison to the index, please see page 46.)
TO WHAT DO YOU ATTRIBUTE THE FUND'S PERFORMANCE?
The Fund employs a passive strategy whereby we invest 92% of its assets in the
developed international markets in a manner designed to track the Morgan Stanley
Capital International Europe, Australia, Far East Gross Domestic Product (EAFE
GDP) Index. We invest the remaining 8% of assets to track a benchmark of equally
weighted emerging markets.
The Fund's strategy of tracking the EAFE GDP index rather than the EAFE index
proved beneficial to performance. EAFE GDP has a country weighting scheme that
is more evenly distributed than that of EAFE, relying less on the performance of
only a couple large markets.
The GDP weights added value this past year, primarily due to a 10% overweight in
Japan versus the EAFE index. The Japanese market increased approximately 19%
during the year. Also, a 10% underweight in the United Kingdom also contributed
to additional returns versus EAFE, as the U.K. rose, but at a lesser rate than
Japan. The U.K. was up approximately 4%. Finally, the Fund's exposure to
emerging markets also boosted the Fund's performance, as the emerging market
index the Fund tracks rose approximately 25%.
WHAT CONTRIBUTED TO SUCH STRONG EMERGING MARKET RETURNS?
The emerging markets of Asia were among the best-performing countries, with
Thailand up 124% and Singapore up 69%. These markets rallied on strong U.S.
stock market performance and the three successive Federal Reserve rate cuts in
late 1998. These interest rate cuts raised the possibility of further rate cuts
throughout Asia. Investors also were optimistic that the economic situation in
Asia is improving.
WHAT HAPPENED IN EUROPE?
European countries were weaker during the year, pulled lower in the early part
of the period by the economic and political crisis in Russia. Later in the
fiscal year, markets were under pressure as the euro dropped on concerns about
the impact of war in Kosovo and slowing growth in Europe compared to the United
States. Austria and Norway posted the worst performance during the year, down
27% and 18%, respectively. Austrian banks fell on fears that Russian borrowers
would not be able to repay their loans. Norwegian stocks fell as a weaker
currency prompted the central bank to raise its key deposit and lending rates.
The slump in oil prices also pushed stock prices lower, as oil is the country's
main export.
WHAT WERE THE FUND'S TOP 10 HOLDINGS?*
Due to the passive nature of the Fund, the largest holdings are concentrated in
the countries with the largest index weight. Japan, at 32% of assets, had the
largest weighting, followed by Germany at 12%, France at 9%, United Kingdom at
9% and Italy at 8%.
On June 30, 1999, the Fund's top 10 holdings included Nippon Telegraph and
Telephone Corp. (Japan), 2.1% of assets; Deutsche Telekom (Germany), 1.8%;
Toyota Motor Corp. (Japan), 1.7%; DaimlerChrysler (Germany), 1.6%; Allianz AG
(Germany), 1.2%; Eni (Italy), 1.0%; Bank of Tokyo Mitsubishi (Japan), 1.0%;
Mannesmann AG (Germany), 1.0%; France Telecom (France), 0.9%; BP Amoco (U.K.),
0.8%.
WHAT IS YOUR OUTLOOK FOR THE FUND?
The major factors expected to influence the international markets, and the Fund,
over the next year are the Kosovo crisis and the U.S. market. The rest of the
world has been watching the U.S. market closely to see if the stock market will
experience a correction. Also, higher interest rates in the United States
increase the chance that other markets will follow suit and raise rates. Higher
interest rates may put pressure on stock markets worldwide, while a market
correction in the United States would drag other stock markets down.
44
<PAGE> 47
One Group International Equity Index Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
We will continue our strategy of tracking the EAFE GDP Index with the bulk of
the Fund's assets and investing broadly across the emerging markets. The Fund
will be rebalanced to new GDP weights on July 1, 1999, with the major shifts in
country weights being a lower weight in Japan and a higher weight in the United
Kingdom.
/s/ Norman Meltz
Norman Meltz
Independence International Associates Inc.
Fund Sub-Advisor
/s/ Richard R. Jandrain
Richard R. Jandrain III
Chief Investment Officer of Equity Securities
- ---------------
* Holdings are subject to change.
Please refer to the prospectus and accompanying financial statements for more
information about the Fund.
45
<PAGE> 48
One Group International Equity Index Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (10/28/92)
<S> <C> <C> <C>
Class I 11.27% 10.12% 12.61%
</TABLE>
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
CLASS I MORGAN STANLEY EAFE/GDP
------- -----------------------
<S> <C> <C>
10/92 10000.00 10000.00
6/93 11812.00 12248.00
6/94 13636.00 14527.00
6/95 14209.00 15057.00
6/96 15803.00 16946.00
6/97 18116.00 19378.00
6/98 19843.00 22312.00
6/99 22080.00 24508.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (4/23/93)
<S> <C> <C> <C>
Class A 11.21% 9.93% 10.37%
Class A* 5.35% 8.75% 9.41%
</TABLE>
* Reflects 5.25% Sales Charge.
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
MORGAN STANLEY
CLASS A CLASS A* EAFE/GDP
------- -------- --------------
<S> <C> <C> <C>
4/93 10000.00 9475.00 10000.00
6/93 9958.00 9432.00 9981.00
6/94 11469.00 10864.00 11837.00
6/95 11913.00 11284.00 12269.00
6/96 13248.00 12546.00 13808.00
6/97 15144.00 14343.00 15790.00
6/98 16556.00 15683.00 18181.00
6/99 18412.00 17441.00 19970.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (1/14/94)
<S> <C> <C> <C>
Class B 10.15% 8.97% 8.82%
Class B** 5.15% 8.69% 8.70%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
MORGAN STANLEY
CLASS B CLASS B** EAFE/GDP
------- --------- --------------
<S> <C> <C> <C>
1/94 10000.00 10000.00 10000.00
6/94 10323.00 10323.00 10057.00
6/95 10650.00 10650.00 10424.00
6/96 11712.00 11712.00 11732.00
6/97 13278.00 13278.00 13415.00
6/98 14403.00 14403.00 15446.00
6/99 15865.00 15765.00 16966.00
</TABLE>
46
<PAGE> 49
One Group International Equity Index Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year (11/4/97)
<S> <C> <C> <C>
Class C 10.78% 16.60%
Class C** 9.78% 16.60%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
Measurement Period Morgan Stanley
(Fiscal Year Covered) EAFE/GDP Class C** Class C
<S> <C> <C> <C>
11/97 10000 10000 10000
6/98 12365 11534 11634
6/99 13582 12889 12889
</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.
International investing involves increased risk and volatility.
The performance of the International Equity Index Fund is measured against the
Morgan Stanley EAFE/GDP Index, an unmanaged index generally representative of
the performance of international stock markets. 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.
47
<PAGE> 50
One Group Diversified International Fund
Portfolio Performance Review
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
HOW DID THE FUND PERFORM?
One Group Diversified International Fund I share class posted a total return of
8.61% for the six months ended June 30, 1999.(1) For the year ended June 30,
1999, the Fund's total return on I shares was 11.33%. (For information on other
share classes and performance comparisons to indexes, please see page 50.)
International equity markets appreciated during the 12-month period ended June
30, 1999, as economic and financial uncertainties centered in Asia, Russia and
Brazil began to ease. Equity markets rebounded after central banks around the
world cut interest rates, which improved economic growth prospects and investor
sentiment.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Our primary investment strategy is to invest in countries with improving
economic and stock market fundamentals at reasonable valuation levels. We focus
on maintaining a broadly diversified portfolio to avoid excessive risk.
Over the last 12 months, we were able to put this strategy to work in Asia.
During the last quarter of 1998, interest rates declined and the worst of the
economic recession in Asia appeared to be near. In anticipation of improving
fundamentals in Asia, we increased the Fund's investments in Japan, Singapore,
Australia and New Zealand. We funded these purchases by reducing the Fund's
European exposure and by using our cash equivalents.
In retrospect, this proved to be an important move for the Fund, as the Fund's
one-year return primarily came from investments in four countries, including
Singapore, where stock markets were up 95%, and Japan, where the market returned
30%. In addition, Finland advanced 72% for the year, and our Mexican holdings
were up 30%.
Reductions in Europe also proved to be an important decision. European countries
were weaker during the year, pulled lower in the early part of the period by the
economic and political crisis in Russia. Later in the fiscal year, markets were
under pressure as the euro dropped on concerns about the impact of war in Kosovo
and slowing growth in Europe compared to the United States.
WHAT WERE THE FUND'S TOP 10 HOLDINGS?*
The Fund's top 10 holdings on June 30, 1999, included Nokia (Finland), with a
6.2% weighting; Telefonica (Spain), 1.4%; HSBC Holdings (United Kingdom), 1.4%;
Royal Dutch Petroleum (Netherlands), 1.4%; Telefonos de Mexico (Mexico), 1.2%;
British Petroleum (United Kingdom), 1.2%; CRH (Ireland), 1.2%; British Telecom
(United Kingdom), 1.1%; Nippon Telegraph and Telephone (Japan), 1.1%; and Allied
Irish Banks (Ireland), 1.0%. Most of these holdings remained among the top 10
from the previous fiscal year-end. Only Telefonos de Mexico and Nippon Telegraph
and Telephone were new to the list since December 31, 1998.
WHAT WERE THE MAJOR COUNTRY WEIGHTINGS?
Our investment approach focuses on country selection, based on favorable
macroeconomic and investment variables. The countries we emphasized during the
year included the United Kingdom, with a 15.7% average weight; Japan, 15.1%;
Germany, 7.8%; Finland, 7.7%; France, 7.0%; Spain, 6.4%; and the Netherlands,
5.1%.
WHAT IS YOUR OUTLOOK FOR THE FUND?
While it is always difficult to forecast economic growth, we believe that our
shareholders are best served by focusing on countries with good economic growth
and low inflation, and by avoiding markets with poor economic prospects. We
expect that global economic growth will continue in the months ahead and that
the recovery in Asia will continue.
48
<PAGE> 51
One Group Diversified International Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
In an environment of improving global economic growth and a positive corporate
earnings outlook, several international markets appear attractive based on
various valuation measures. We continue to recommend that investors have a
portion of their assets invested internationally to capture the benefits of
portfolio diversification and capital appreciation potential.
/s/ Clyde L. Carter, Jr.
Clyde Carter
Team Leader
Banc One Investment Advisors International Team
/s/ Richard R. Jandrain
Richard R. Jandrain III
Chief Investment Officer of Equity Securities
- ---------------
(1) The Fund previously was a member of the Pegasus Funds, which had a fiscal
year-end of December 31, 1998 -- the date of the last Pegasus Funds annual
report. The Pegasus Funds merged with the One Group in March 1999, and the
Fund's fiscal year-end is now June 30.
* Holdings are subject to change.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
49
<PAGE> 52
One Group Diversified International Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (4/30/86)
<S> <C> <C> <C> <C>
Class I 11.33% 9.52% 7.44% 9.68%
</TABLE>
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
MSCI EAFE (CAP-
CLASS I MSCI EAFE + EMF WEIGHTED)
------- --------------- ---------------
<S> <C> <C> <C>
6/89 10000.00 10000.00 10000.00
6/90 12244.00 10433.00 10326.00
6/91 10182.00 9327.00 9134.00
6/92 10532.00 9409.00 9075.00
6/93 11284.00 11340.00 10915.00
6/94 13009.00 13422.00 12771.00
6/95 13658.00 13628.00 12982.00
6/96 15152.00 15405.00 14707.00
6/97 17165.00 17488.00 16594.00
6/98 18414.00 17696.00 17607.00
6/99 20501.00 19443.00 18947.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (4/30/86)
<S> <C> <C> <C> <C>
Class A 11.06% 9.32% 7.35% 9.61%
Class A* 5.19% 8.14% 6.77% 9.16%
</TABLE>
* Reflects 5.25% Sales Charge.
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
MSCI EAFE (CAP-
CLASS A CLASS A* MSCI EAFE + EMF WEIGHTED)
------- -------- --------------- ---------------
<S> <C> <C> <C> <C>
6/89 10000 9475 10000 10000
6/90 12244 11597 10433 10326
6/91 10182 9644 9327 9134
6/92 10532 9975 9409 9075
6/93 11284 10688 11340 10915
6/94 13022 12334 13422 12771
6/95 13658 12936 13628 12982
6/96 15153 14352 15405 14707
6/97 17097 16193 17488 16594
6/98 18304 17337 17696 17607
6/99 20327 19254 19443 18947
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (4/30/86)
<S> <C> <C> <C> <C>
Class B 10.33% 8.78% 7.08% 9.40%
Class B** 5.33% 8.49% 7.08% 9.40%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
MSCI EAFE (CAP-
CLASS B CLASS B** MSCI EAFE + EMF WEIGHTED)
------- --------- --------------- ---------------
<S> <C> <C> <C> <C>
6/89 10000.00 10000.00 10000.00 10000.00
6/90 12255.00 12255.00 10433.00 10326.00
6/91 10194.00 10194.00 9327.00 9134.00
6/92 10539.00 10539.00 9409.00 9075.00
6/93 11286.00 11286.00 11340.00 10915.00
6/94 13015.00 13015.00 13422.00 12771.00
6/95 13665.00 13665.00 13628.00 12982.00
6/96 15173.00 15173.00 15405.00 14707.00
6/97 16862.00 16862.00 17488.00 16594.00
6/98 17964.00 17964.00 17696.00 17607.00
6/99 19820.00 19820.00 19443.00 18947.00
</TABLE>
50
<PAGE> 53
One Group Diversified International Fund
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 1999
<TABLE>
<CAPTION>
Since
Inception
(3/22/99)
<S> <C> <C>
Class C 5.00%
Class C** 4.00%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
[VALUE OF $10,000 INVESTMENT LINE GRAPH]
<TABLE>
<CAPTION>
CLASS C CLASS C** MSCI EAFE + EMF
------- --------- ---------------
<S> <C> <C> <C>
3/99 10000 10000 10000
6/99 10500 10400 10449
</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.
International investing involves increased risk and volatility.
The above-quoted performance data includes the performance of the Pegasus
International Equity Fund for the period prior to the commencement of operations
of the One Group Diversified International Fund on March 22, 1999.
The above-quoted performance data includes the performance of a common trust
fund for the period prior to the commencement of operations of the mutual fund
on December 3, 1994, adjusted to reflect the deduction of fees and expenses.
Common trust funds are not registered under the Investment Company Act of 1940
("1940 Act") and, therefore, are not subject to certain investment restrictions,
limitations and diversification requirements imposed by the 1940 Act and the
Internal Revenue Code. If the common trust fund had been registered under the
1940 Act, its performance may have been adversely affected.
The performance of the Diversified International Fund is measured against the
MSCI EAFE + EMF Index, an unmanaged index generally representative of the
performance of international stock markets and of emerging markets. 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 MSCI EAFE (Cap-Weighted) Index is an unmanaged index generally
representative of the foreign equity market as a whole.
The benchmark index for the Diversified International Fund has changed from the
MSCI EAFE (Cap-Weighted) 2000 Index to the MSCI EAFE + EMF Index in order to
better represent the investment policies for comparison purposes.
51
<PAGE> 54
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
SMALL CAP GROWTH FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS (96.7%):
Advertising (0.7%):
30 Advo, Inc. (b)....................... $ 624
58 Ha-Lo Industries, Inc. (b)........... 569
--------
1,193
--------
Automotive (0.3%):
10 Polaris Industries, Inc. ............ 435
--------
Broadcasting & Publishing (0.5%):
15 Metro Networks, Inc. (b)............. 801
--------
Business Equipment & Services (8.3%):
20 ABM Industries, Inc. ................ 614
68 Acxiom Corp. (b)(c).................. 1,684
36 American Management Systems (b)...... 1,141
41 Billing Information Concepts (b)..... 460
16 Catalina Marketing Corp. (b)......... 1,472
28 Central Parking Corp. (c)............ 959
20 Consolidated Graphics, Inc. (b)...... 1,010
5 Corporate Executive Board Co. (b).... 174
6 Florida Rock Industries.............. 255
18 Henry (Jack) & Associates............ 707
35 Insight Enterprises, Inc. (b)........ 866
18 Inter-Tel, Inc. ..................... 319
22 Labor Ready, Inc. (b)................ 715
4 Media Metrix, Inc. (b)(c)............ 213
10 Nextera Enterprises, Inc. (b)........ 63
15 SEI Corp. ........................... 1,350
20 True North Communications............ 606
23 Zebra Technologies, Class A (b)...... 884
--------
13,492
--------
Capital Goods (2.7%):
29 Applied Power, Inc., Class A......... 792
11 Astec Industries, Inc. (b)........... 448
28 Blount International, Inc., Class
A.................................. 761
41 Clarcor, Inc. ....................... 787
13 Libbey, Inc. ........................ 377
17 Manitowoc Co., Inc. ................. 687
19 Roper Industries, Inc. .............. 608
--------
4,460
--------
Commercial Services (2.2%):
12 Lason, Inc. (b)...................... 571
35 Prepaid Legal Services (b)........... 952
21 Profit Recovery Group International
(b)................................ 1,006
31 Whittman-Hart, Inc. (b).............. 997
--------
3,526
--------
Computer Software (5.7%):
5 Avid Technology (b).................. 81
20 Computer Task Group, Inc. ........... 345
3 Customtracks Corp. (b)............... 140
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Computer Software, continued:
11 Factset Research Systems, Inc. (b)... $ 640
9 Infocure Corp. (b)................... 482
31 Mercury Interactive (b).............. 1,086
28 National Data Corp. ................. 1,213
28 National Instruments Corp. (b)....... 1,142
19 Progress Software Corp. (b).......... 534
30 Software.com, Inc. (b)(c)............ 696
30 Viant Corp. (b)(c)................... 1,050
27 Visio Corp. (b)...................... 1,028
23 Xircom (b)........................... 691
10 Ziplink, Inc. (b)(c)................. 125
--------
9,253
--------
Consumer Durable (1.3%):
54 Gentex Corp. (b)..................... 1,512
7 SPX Corp. (b)........................ 585
--------
2,097
--------
Consumer Non-Durable (3.4%):
37 AptarGroup, Inc. .................... 1,110
8 Coca-Cola Bottling Co. .............. 448
16 Fossil, Inc. (b)..................... 774
10 Mohawk Industries Co. (b)............ 304
35 Nautica Enterprises, Inc. (b)........ 591
27 Pacific Sunwear of California (b).... 658
32 Smithfield Foods, Inc. (b)........... 1,080
2 Timberland Co., Class A (b).......... 129
16 Westpoint Stevens, Inc. ............. 477
--------
5,571
--------
Consumer Services (0.8%):
7 Action Performance Co., Inc.
(b)(c)............................. 231
7 Anchor Gaming (b).................... 336
21 Westwood One, Inc. (b)............... 750
--------
1,317
--------
Containers & Packaging (0.4%):
34 Shorewood Packaging (b).............. 627
--------
Electrical & Electronic (4.3%):
17 Alpha Industries, Inc. (b)........... 810
31 Burr-Brown Corp. (b)................. 1,135
32 C-Cube Microsystems, Inc. (b)........ 1,017
35 Cognex Corp. (b)..................... 1,089
23 Dallas Semi-Conductor Corp. ......... 1,181
20 Methode Electronics, Class A......... 458
17 Micros Systems, Inc. (b)............. 578
37 Vicor Corp. (b)...................... 784
--------
7,052
--------
</TABLE>
Continued
52
<PAGE> 55
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
SMALL CAP GROWTH FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Energy (1.6%):
24 Barrett Resources Corp. (b).......... $ 921
43 Newfield Exploration Co. (b)......... 1,223
11 Stone Energy Corp. (b)............... 466
--------
2,610
--------
Environmental Services (0.5%):
54 Tetra Tech, Inc. (b)................. 887
--------
Financial Services (12.9%):
32 American Bankers Insurance Group..... 1,741
48 Americredit Corp. (b)................ 768
13 Arthur J. Gallagher & Co. ........... 644
10 Blanch (E.W.) Holdings, Inc. ........ 682
11 CCB Financial Corp. ................. 582
23 Centura Banks, Inc. ................. 1,308
25 Commerce Bancorp, Inc. .............. 1,069
35 Community First Bankshares........... 836
36 Cullen/Frost Bankers, Inc. .......... 992
10 DLJDirect (b)(c)..................... 295
10 Eaton Vance.......................... 344
20 First Midwest Bancgroup, Inc. ....... 795
23 Firstbank Puerto Rico................ 519
78 FirstMerit Corp. .................... 2,188
19 Hambrecht & Quist Group (b).......... 705
35 Hudson United Bancorp................ 1,072
45 Legg Mason, Inc. .................... 1,732
30 Mutual Risk Management Ltd. (c)...... 1,001
10 Premier Bancshares, Inc. ............ 183
15 Protective Life Corp. ............... 479
12 Queens County Bancorp................ 389
5 TD Waterhouse Group (b)(c)........... 125
14 Trustco Bank Corp. .................. 376
33 United Bankshares, Inc. ............. 875
13 US Trust Corp. ...................... 1,203
10 Whitney Holding Corp. ............... 398
--------
21,301
--------
Health Care (15.7%):
23 Alpharm, Inc., Class A (c)........... 800
27 Ballard Medical Products............. 632
19 Barr Laboratories, Inc. (b).......... 758
44 BIO Technology General Corp. (b)..... 286
20 Biomatrix, Inc. (b)(c)............... 433
26 Cephalon, Inc. (b)................... 452
54 Ciber, Inc. (b)...................... 1,031
21 Express Scripts, Inc., Class A (b)... 1,270
17 IDEC Pharmaceuticals Corp. (b)(c).... 1,333
33 IDEXX Laboratories, Inc. (b)......... 767
25 Incyte Pharmaceuticals, Inc. (b)..... 672
25 Interdent, Inc. (b).................. 183
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Health Care, continued:
26 Invacare Corp. ...................... $ 706
25 Jones Pharma, Inc. .................. 969
32 Liposome Co., Inc. (b)............... 612
19 MedImmune, Inc. (b)(c)............... 1,287
31 Medquist, Inc. (b)................... 1,356
25 Mentor Corp. ........................ 460
63 Orthodontic Centers of America (b)... 883
30 Patterson Dental Co. (b)............. 1,025
26 Pharmaceutical Product Development
(b)................................ 720
19 Priority Healthcare Corp., Class B
(b)................................ 656
47 Renal Care Group (b)................. 1,203
31 Respironics, Inc. (b)................ 464
51 Safeskin Corp. (b)................... 616
37 Summit Technology, Inc. (b).......... 814
31 Universal Health Services, Class B
(b)................................ 1,455
45 VISX, Inc. (b)....................... 3,523
16 Wesley Jessen Visioncare (b)......... 518
--------
25,884
--------
Industrial Goods & Services (2.6%):
23 Dycom (b)(c)......................... 1,259
21 G & K Services, Inc., Class A........ 1,097
18 Geon Co. ............................ 581
17 Micrel, Inc. (b)..................... 1,251
--------
4,188
--------
Machinery & Equipment (0.7%):
35 JLG Industries, Inc. ................ 713
22 Mascotech, Inc. ..................... 373
--------
1,086
--------
Manufacturing-Consumer Goods (0.5%):
20 Graco, Inc. ......................... 587
5 Pentair, Inc. ....................... 229
--------
816
--------
Raw Materials (2.0%):
36 Cambrex Corp. ....................... 944
16 Scotts Co., Class A (b).............. 762
23 Stillwater Mining Company (b)........ 752
34 Tredegar Industries, Inc. ........... 740
--------
3,198
--------
Retail (8.8%):
18 Ames Department Stores, Inc. (b)..... 821
21 Ann Taylor Stores Corp. (b).......... 944
23 Applebee's International............. 693
36 Casey's General Stores, Inc. ........ 533
12 CEC Entertainment (b)................ 507
16 Cheesecake Factory (b)............... 488
29 Delta Pine & Land Co. ............... 914
</TABLE>
Continued
53
<PAGE> 56
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
SMALL CAP GROWTH FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Retail, continued:
31 Foodmaker, Inc. (b).................. $ 880
19 Kroll-O'Gara Company (b)............. 426
18 Linens 'n Things, Inc. (b)........... 774
31 Men's Wearhouse, Inc. (b)............ 778
18 O'Reilly Automotive, Inc. (b)........ 926
10 Papa John's International, Inc.
(b)................................ 447
80 Pier 1 Imports, Inc. ................ 900
8 Quiksilver, Inc. (b)................. 209
32 Regis Corp. ......................... 619
44 Ruby Tuesday, Inc. (b)............... 836
8 Sonic Corp. (b)...................... 261
16 Whole Foods Market, Inc. (b)(c)...... 779
48 Williams Sonoma, Inc. (b)............ 1,653
--------
14,388
--------
Shelter (2.0%):
12 Caraustar Industries, Inc. .......... 296
38 Champion Enterprises, Inc. (b)....... 708
44 Ethan Allen Interiors, Inc. ......... 1,590
29 La-Z-Boy, Inc. ...................... 667
--------
3,261
--------
Technology (12.1%):
12 Alliant Techsystems, Inc. (b)........ 995
5 Comverse Technology, Inc. (b)........ 408
39 Datastream Systems, Inc. (b)......... 624
53 Devry, Inc. (b)...................... 1,185
15 Dialogic Corp. (b)................... 658
33 DSP Communications, Inc. (b)......... 953
19 Etec Systems, Inc. (b)............... 632
17 HNC Software (b)..................... 508
42 Intervoice (b)....................... 606
12 Kronos, Inc. (b)..................... 546
9 Lattice Semiconductor Corp. (b)...... 560
19 MacDermid, Inc. ..................... 884
35 Macromedia, Inc. (b)................. 1,215
29 National Computer Systems, Inc. ..... 972
29 Novellus Systems, Inc. (b)........... 1,958
14 Oak Industries, Inc. (b)............. 612
25 Photronics, Inc. (b)................. 608
16 Plantronics, Inc. (b)................ 1,042
14 Plexus Corp. (b)..................... 431
18 Powerwave Technologies, Inc. (b)..... 581
18 Sanmina Corp. (b).................... 1,388
35 Security Dynamics Technologies, Inc.
(b)................................ 744
21 SPS Technologies, Inc. (b)........... 788
4 Teleflex, Inc. ...................... 174
28 Unitrode Corp. (b)................... 812
--------
19,884
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Transportation (1.6%):
25 Air Express International Corp. ..... $ 634
34 Expeditors International of
Washington, Inc. .................. 927
25 Heartland Express, Inc. (b).......... 409
24 Skywest, Inc. ....................... 599
--------
2,569
--------
Utilities (5.1%):
15 Atmos Energy Corp. .................. 375
11 Cilcorp, Inc. ....................... 688
38 Commscope, Inc. (b).................. 1,169
13 CTS Corp. ........................... 931
18 Dionex Corp. (b)..................... 733
14 New Jersey Resources Corp. .......... 524
30 Philadelphia Suburban Corp. ......... 692
10 Piedmont Natural Gas Company,
Inc. .............................. 324
11 SLI, Inc. (b)........................ 297
26 Talk.Com, Inc. (b)................... 293
49 Valassis Communications, Inc. (b).... 1,784
17 Wicor, Inc. ......................... 475
--------
8,285
--------
Total Common Stocks 158,181
--------
INVESTMENT COMPANIES (3.6%):
5,816 One Group Prime Money Market Fund,
Class I............................ 5,816
--------
Total Investment Companies 5,816
--------
SHORT-TERM SECURITIES HELD AS COLLATERAL (6.1%):
Master Notes (0.8%):
$ 465 Bear Stearns Mortgage Capital, 6.27%,
7/6/99*............................ 465
232 Merrill Lynch, 6.20%, 7/1/99*........ 232
139 NationsBanc Capital Markets, 6.20%,
7/1/99*............................ 139
466 Willamette Industries, Inc., 5.07%,
9/14/99*........................... 466
--------
1,302
--------
Put Bonds (3.5%):
621 Amex Centurion, 5.11%, 2/18/00*...... 621
310 Branch Banking & Trust, 5.14%,
12/10/99*.......................... 310
201 Branch Banking & Trust, 5.14%,
5/25/00*........................... 201
465 Caterpillar Financial, 5.20%,
5/1/01*............................ 465
387 Chase Manhattan, 5.26%, 5/6/02*...... 387
356 Evangelical Lutheran, 5.30%,
4/28/00*........................... 356
387 Fleet National Bank, 5.07%,
4/18/00*........................... 387
387 GMAC, 5.22%, 5/3/01*................. 387
</TABLE>
Continued
54
<PAGE> 57
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
SMALL CAP GROWTH FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Put Bonds, continued:
$ 155 J.P. Morgan & Co., 5.10%, 5/4/00*.... $ 155
387 J.P. Morgan & Co., 5.16%, 5/4/01*.... 387
387 Lehman Brothers, 5.20%, 7/20/00*..... 387
155 Liberty Lighthouse, 5.15%, 5/5/00*... 155
387 Merrill Lynch, 5.31%, 5/6/02*........ 387
178 Salomon Smith Barney, 5.44%,
2/5/01*............................ 178
387 Sigma Finance, Inc., 5.14%,
3/31/00*........................... 387
466 SPARCC, 5.38%, 3/24/00*.............. 466
--------
5,616
--------
Repurchase Agreements (1.8%):
1,162 Goldman Sachs, 6.09%, 7/1/99
(Collateralized by $1,233 various
Corporate Bonds, 5.33% - 9.88%,
10/1/99 - 10/30/45, market value
$1,227)............................ 1,162
135 Lehman Brothers, 5.85%, 7/1/99
(Collateralized by $142 various
Commercial Papers, 0.00% - 5.06%,
9/20/99 - 10/4/99, market value
$142).............................. 135
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Repurchase Agreements, continued:
$ 930 Lehman Brothers, 6.25%, 7/1/99
(Collateralized by $25 various
Equity Securities, market value
$981).............................. $ 930
775 Merril Lynch, 6.10%, 7/1/99
(Collateralized by $815 various
Commercial Papers, 0.00% - 5.12%,
7/8/99 - 8/2/99, market value
$814).............................. 775
--------
3,002
--------
Total Short-Term Securities Held as Collateral 9,920
--------
Repurchase Agreements (2.4%):
4,000 State Street Bank and Trust, 4.90%,
7/1/99 (Collateralized by $4,045
Federal Home Loan Mortgage
Corporate Bond, 5.25%, 2/16/01,
market value $4,085)............... 4,000
--------
Total Repurchase Agreements 4,000
--------
Total (Cost $161,292) (a) $177,917
========
</TABLE>
- ------------
Percentages indicated are based on net assets of $163,462.
(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 $346. 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...................... $23,210
Unrealized depreciation...................... (6,931)
-------
Net unrealized appreciation.................. $16,279
=======
</TABLE>
(b) Non-income producing securities.
(c) A portion of this security was loaned as June 30, 1999.
* 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, 1999.
See notes to financial statements.
55
<PAGE> 58
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
SMALL CAP VALUE FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS (96.4%):
Business Equipment & Services (3.6%):
104 Education Management Corp. (b)....... $ 2,152
141 Integrated Electrical Services, Inc.
(b)................................ 2,272
155 Littelfuse, Inc. (b)................. 2,986
104 Omniquip International, Inc. ........ 820
98 Structural Dynamics Research Corp.
(b)................................ 1,815
--------
10,045
--------
Capital Goods (8.2%):
98 Champion Enterprises, Inc. (b)....... 1,825
83 Crossmann Communities, Inc. (b)...... 2,424
75 D.R. Horton, Inc. ................... 1,247
141 Doncasters PLC (b)................... 2,464
110 DT Industries, Inc. ................. 1,012
76 Dura Automotive Systems, Inc. (b).... 2,540
40 Hughes Supply, Inc. ................. 1,188
53 Idex Corp. .......................... 1,742
161 Lithia Motors, Inc., Class A (b)..... 3,300
40 Orbital Sciences Corp. (b)........... 945
35 Roper Industries, Inc. .............. 1,120
182 Watsco, Inc. ........................ 2,987
--------
22,794
--------
Commercial Services (0.7%):
46 Quanta Services, Inc. (b)............ 2,024
--------
Consumer Durable (7.5%):
75 General Cable Corp. ................. 1,206
43 Mueller Industries, Inc. (b)......... 1,459
81 OM Group, Inc. ...................... 2,795
73 Simpson Manufacturing Co., Inc.
(b)................................ 3,472
130 SPS Technologies, Inc. (b)........... 4,876
189 Stoneridge, Inc. (b)................. 2,546
24 Texas Industries, Inc. .............. 930
30 The Valspar Corp. ................... 1,140
55 Tower Automotive, Inc. (b)........... 1,399
43 Tredegar Industries Corp. ........... 935
--------
20,758
--------
Consumer Non-Durable (5.3%):
151 AptarGroup, Inc. .................... 4,527
42 Corn Products International, Inc. ... 1,278
200 Del Monte Foods Co. (b).............. 3,350
114 Michael Foods, Inc. ................. 2,667
40 Smithfield Foods, Inc. (b)........... 1,338
57 The Earthgrains Co. ................. 1,471
--------
14,631
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Energy (3.1%):
38 Barrett Resources Corp. (b).......... $ 1,458
28 Cabot Oil & Gas Corp., Class A....... 522
37 Devon Energy Corp. (c)............... 1,323
49 Newfield Exploration Co. (b)......... 1,393
47 Pogo Producing Co. (c)............... 875
281 Unit Corp. (b)....................... 2,301
60 Vintage Petroleum, Inc. ............. 645
--------
8,517
--------
Financial Services (19.5%):
174 Arm Financial Group, Inc., Class A
(b)................................ 1,479
100 Banknorth Group, Inc. ............... 3,300
32 Centura Banks, Inc. ................. 1,804
75 Commerce Bancorp, Inc. .............. 3,206
110 Commercial Federal Corp. ............ 2,551
202 Conning Corp. ....................... 3,286
60 Cullen/Frost Bankers, Inc. .......... 1,654
186 Enhance Financial Services Group,
Inc. .............................. 3,673
132 Financial Federal Corp. (b).......... 2,893
35 First Midwest Bancorp, Inc. ......... 1,391
100 FirstMerit Corp. .................... 2,806
50 FPIC Insurance Group, Inc. (b)....... 2,425
94 Fremont General Corp. ............... 1,774
100 HCC Insurance Holding, Inc. ......... 2,269
43 Jefferies Group, Inc. ............... 1,290
65 Legg Mason, Inc. .................... 2,503
224 Litchfield Financial Corp. .......... 3,798
125 Peoples Heritage Financial Group,
Inc. .............................. 2,352
58 Radian Group, Inc. .................. 2,831
45 Reinsurance Group of America,
Inc. .............................. 1,508
148 Triad Guaranty, Inc. (b)............. 2,662
348 UniCapital Corp. (b)................. 2,197
--------
53,652
--------
Health Care (9.4%):
31 Alpharma, Inc. ...................... 1,102
78 Arrow International, Inc. ........... 2,021
98 Colorado Medtech, Inc. (b)........... 2,143
62 Coventry Health Care, Inc. (b)....... 678
177 Hanger Orthopedic Group, Inc. (b).... 2,513
45 IDEXX Laboratories, Inc. (b)......... 1,049
120 Orthodontic Centers of America, Inc.
(b)................................ 1,698
82 Patterson Dental Co. (b)............. 2,839
70 Renal Care Group, Inc. (b)........... 1,811
36 Roberts Pharmaceutical Corp. (b)..... 873
91 Universal Health Services, Inc.,
Class B (b)........................ 4,365
</TABLE>
Continued
56
<PAGE> 59
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
SMALL CAP VALUE FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Health Care, continued:
144 Veterinary Centers of America, Inc.
(b)................................ $ 1,958
95 Wesley Jessen VisionCare, Inc. (b)... 3,073
--------
26,123
--------
Raw Materials (2.8%):
75 Reliance Steel And Aluminum Co. ..... 2,917
152 Spartech Corp. ...................... 4,653
14 Universal Forest Products, Inc. ..... 303
--------
7,873
--------
Retail (10.3%):
59 99 Cents Only Stores (b)............. 2,954
39 Ann Taylor Stores Corp. (b).......... 1,755
35 Applebee's International, Inc. ...... 1,054
148 Consolidated Products, Inc. (b)...... 2,668
95 IHOP Corp. (b)....................... 2,286
25 K Swiss, Inc. ....................... 1,163
31 Linens 'N Things, Inc. (b)........... 1,356
150 Men's Wearhouse, Inc. (b)............ 3,816
33 Michaels Stores, Inc. (b)............ 1,011
41 Nautica Enterprises, Inc. (b)........ 692
36 Pacific Sunwear of California, Inc.
(b)................................ 878
103 School Specialty, Inc. (b)........... 1,653
13 Timberland Co. (b)................... 885
155 Zale Corp. (b)....................... 6,207
--------
28,378
--------
Shelter (2.0%):
93 Ethan Allen Interiors, Inc. ......... 3,511
15 Holophane Corp. (b).................. 564
59 La-Z-Boy, Inc. ...................... 1,357
--------
5,432
--------
Technology (16.6%):
174 Advanced Communications Systems, Inc.
(b)................................ 2,376
40 Avnet, Inc. ......................... 1,851
20 Benchmark Electronics, Inc. (b)...... 715
70 Burr-Brown Corp. (b)................. 2,575
50 Cognex Corp. (b)..................... 1,578
35 Complete Business Solutions, Inc.
(b)................................ 628
14 CustomTracks Corp.(b)................ 783
86 Dallas Semiconductor Corp. .......... 4,358
75 Digital Microwave Corp. (b).......... 956
69 Dupont Photomasks, Inc. (b).......... 3,313
60 Hutchinson Technology, Inc. (b)...... 1,665
116 Interim Services, Inc. (b)........... 2,393
28 Lattice Semiconductor Corp. (b)...... 1,743
80 Metzler Group, Inc. (b).............. 2,199
35 Microchip Technology, Inc. (b)....... 1,658
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
39 National Data Corp. ................. $ 1,667
91 National Instruments Corp. (b)....... 3,658
42 Regis Corp. ......................... 806
87 SPSS, Inc. (b)....................... 2,245
37 Superior Services, Inc. (b).......... 987
140 Unitrode Corp. (b)................... 4,016
63 Vicor Corp. (b)...................... 1,335
80 World Color Press, Inc. (b)(c)....... 2,200
--------
45,705
--------
Transportation (4.2%):
45 Air Express International Corp. ..... 1,139
110 C.H. Robinson Worldwide, Inc. ....... 4,054
109 US Freightways Corp. ................ 5,062
55 Westinghouse Air Brake Co. .......... 1,406
--------
11,661
--------
Utilities (3.2%):
103 Atmos Energy Corp. (c)............... 2,575
65 New Jersey Resources Corp. .......... 2,433
50 Philadelphia Suburban Corp. ......... 1,153
88 Piedmont Natural Gas, Inc. .......... 2,749
--------
8,910
--------
Total Common Stocks 266,503
--------
INVESTMENT COMPANIES (1.8%):
5,100 One Group Prime Money Market Fund,
Class I............................ 5,100
--------
Total Investment Companies 5,100
--------
SHORT-TERM SECURITIES HELD AS COLLATERAL (0.9%):
Master Notes (0.1%):
$ 115 Bear Stearns Mortgage Capital, 6.27%,
7/6/99*............................ 115
58 Merrill Lynch, 6.20%, 7/1/99*........ 58
35 NationsBanc Capital Markets, 6.20%,
7/1/99*............................ 35
115 Willamette Industries, Inc., 5.07%,
9/14/99*........................... 115
--------
323
--------
Put Bonds (0.5%):
154 Amex Centurion, 5.11%, 2/18/00*...... 154
50 Branch Banking & Trust, 5.14%,
5/25/00*........................... 50
77 Branch Banking & Trust, 5.14%,
12/10/99*.......................... 77
115 Caterpillar Financial, 5.20%,
5/1/01*............................ 115
96 Chase Manhattan, 5.26%, 5/6/02*...... 96
88 Evangelical Lutheran, 5.30%,
4/28/00*........................... 88
</TABLE>
Continued
57
<PAGE> 60
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
SMALL CAP VALUE FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Put Bonds, continued:
$ 96 Fleet National Bank, 5.07%,
4/18/00*........................... $ 96
96 GMAC, 5.22%, 5/3/01*................. 96
96 J.P. Morgan & Co., 5.16%, 5/4/01*.... 96
38 J.P. Morgan & Co., 5.10%, 5/4/00*.... 38
96 Lehman Brothers, 5.20%, 7/20/00*..... 96
38 Liberty Lighthouse, 5.15%, 5/5/00*... 38
96 Merrill Lynch, 5.31%, 5/6/02*........ 96
44 Salomon Smith Barney, 5.44%,
2/5/01*............................ 44
96 Sigma Finance, Inc., 5.14%,
3/31/00*........................... 96
116 SPARCC, 5.38%, 3/24/00*.............. 116
--------
1,392
--------
Repurchase Agreements (0.3%):
288 Goldman Sachs, 6.09%, 7/1/99,
(Collateralized by $306 various
Corporate Bonds, 5.33% - 9.88%,
10/1/99 - 10/30/45, market value
$304).............................. 288
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Repurchase Agreements, continued:
$ 231 Lehman Brothers, 6.25%, 7/1/99,
(Collateralized by $6 various
Equity Securities, market value
$243).............................. $ 231
34 Lehman Brothers, 5.85%, 7/1/99,
(Collateralized by $35 various
Commercial Papers, 0.00% - 5.06%,
9/20/99 - 10/4/99, market value
$35)............................... 34
192 Merrill Lynch, 6.10%, 7/1/99,
(Collateralized by $202 various
Commerical Papers, 0.00% - 5.12%,
7/8/99 - 8/2/99, market value
$202).............................. 192
--------
745
--------
Total Short-Term Securities Held as Collateral 2,460
--------
Total (Cost $255,057) (a) $274,063
========
</TABLE>
- ------------
Percentages indicated are based on net assets of $276,643.
(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 $206. 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...................... $ 40,672
Unrealized depreciation...................... (21,872)
--------
Net unrealized appreciation.................. $ 18,800
========
</TABLE>
(b) Non-income producing securities.
(c) A portion of this security was loaned as of June 30, 1999.
* Variable rate securities having liquidity sources through bank letters of
credit or other cards and/or liquidity agreements. The interest rate, which
will change periodically, is based upon bank 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, 1999.
See notes to financial statements.
58
<PAGE> 61
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
MID CAP GROWTH FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS (96.6%):
Automotive (0.3%):
204 Meritor Automotive, Inc. ........... $ 5,201
----------
Broadcasting & Publishing (0.4%):
79 Hispanic Broadcasting Corp. ........ 5,964
----------
Business Equipment & Services (6.4%):
327 Cintas Corp. ....................... 22,000
469 Comdisco, Inc. ..................... 12,010
278 Fiserv, Inc. (b).................... 8,689
264 Miller (Herman), Inc. .............. 5,540
154 Modis Professional Services (b)..... 2,115
166 Nova Corp./Georgia (b)(c)........... 4,160
123 Policy Management Systems Corp.
(b)............................... 3,678
241 Reynolds & Reynolds Co. ............ 5,614
281 Sterling Commerce, Inc. (b)......... 10,247
335 Sungard Data Systems, Inc. (b)(c)... 11,540
295 Viad Corp. ......................... 9,130
----------
94,723
----------
Capital Goods (2.4%):
137 Donaldson Co., Inc. ................ 3,365
117 Fastenal Co. (c).................... 6,135
140 Federal Signal Corp. ............... 2,973
90 Hubbell, Inc., Class B.............. 4,084
139 Martin Marietta Materials, Inc. .... 8,206
219 Molex, Inc. ........................ 8,103
130 UCAR International, Inc. (b)........ 3,277
----------
36,143
----------
Commercial Services (0.1%):
66 ACNielson Corp. .................... 1,997
----------
Computer Software (2.2%):
258 Rational Software Corp. (b)......... 8,485
94 Transaction Systems Architects, Inc.
(b)............................... 3,647
213 Veritas Software Corp. (b)(c)....... 20,221
----------
32,353
----------
Consumer Durable (3.1%):
222 American Standard Companies (b)..... 10,494
47 Eaton Corp. ........................ 4,287
41 Federal Mogul Corp. (c)............. 2,116
471 Harley-Davidson, Inc. .............. 25,598
95 Kaydon Corp. ....................... 3,201
----------
45,696
----------
Consumer Non-Durable (3.7%):
322 Dial Corp. ......................... 11,974
311 Flowers Industries, Inc. ........... 6,751
127 Hormel Foods Corp. ................. 5,112
445 Jones Apparel Group, Inc. (b)....... 15,283
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Consumer Non-Durable, continued:
211 McCormick & Co., Inc. .............. $ 6,669
225 U.S. Foodservice (b)................ 9,578
----------
55,367
----------
Consumer Services (4.0%):
80 Blyth Industries (b)................ 2,747
169 International Game Technologies..... 3,128
72 Media General Inc., Class A......... 3,677
62 Nextera Enterprises, Inc. (b)....... 399
325 Readers Digest Assoc., Inc. (c)..... 12,915
150 TCA Cable TV, Inc. ................. 8,347
191 Univision Communications (b)........ 12,577
30 Washington Post Co. ................ 16,293
----------
60,083
----------
Education (1.0%):
378 Apollo Group, Inc., Class A (b)..... 10,051
158 Sylvan Learning Systems, Inc. (b)... 4,304
----------
14,355
----------
Electrical & Electronic (0.1%):
62 Ametek, Inc. ....................... 1,421
----------
Energy (0.6%):
610 Global Marine, Inc. (b)............. 9,423
----------
Financial Services (8.9%):
102 Charter One Financial, Inc. ........ 2,829
381 Concord EFS, Inc. (b)............... 16,134
532 Convergys Corp. (b)................. 10,239
564 E*Trade Group, Inc. (b)(c).......... 22,524
9 E-Loan, Inc. ....................... 359
457 First Tennessee National Corp. ..... 17,489
76 Huntington Bancshares............... 2,674
82 Investment Technology Group......... 2,668
550 North Fork Bancorp, Inc. ........... 11,724
276 Old Kent Financial Corp. (c)........ 11,551
134 Robert Half International, Inc.
(b)............................... 3,474
65 Summit Bancorp...................... 2,701
360 T. Rowe Price Associates, Inc. ..... 13,830
19 TD Waterhouse Group (b)(c).......... 464
218 Zions Bancorp (c)................... 13,856
----------
132,516
----------
Health Care (13.1%):
79 Beckman Coulter, Inc. .............. 3,856
508 Bergen Brunswig Corp. .............. 8,765
451 Biogen, Inc. (b).................... 29,004
233 Centocor, Inc. (b)(c)............... 10,864
7 Chiron Corp. (b).................... 145
84 Covance, Inc. (b)(c)................ 2,004
125 Dentsply International, Inc. ....... 3,500
</TABLE>
Continued
59
<PAGE> 62
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
MID CAP GROWTH FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Health Care, continued:
259 Forest Laboratories, Inc., Class A
(b)............................... $ 11,960
749 Health Management Associates, Inc.
(b)............................... 8,425
281 Healthsouth Corp. (b)............... 4,200
192 Hillenbrand Industries, Inc. (c).... 8,291
196 ICN Pharmaceuticals, Inc. .......... 6,309
101 Lincare Holdings, Inc. (b).......... 2,533
164 Med Immune (b)(c)................... 11,107
372 Mylan Laboratories, Inc. ........... 9,858
247 Oxford Health Plans, Inc. (b)....... 3,847
381 Quintiles Transnational Corp. (b)... 15,998
88 Sepracor Inc. (b)(c)................ 7,118
125 Steris Corp. (b).................... 2,419
297 Stryker Corp. (c)................... 17,863
317 Sybron International Corp. (b)...... 8,728
151 Total Renal Care Holdings, Inc.
(b)............................... 2,357
192 VISX, Inc. (b)...................... 15,180
----------
194,331
----------
Investment Trust (1.2%):
161 Nasdaq-100 (b)(c)................... 18,508
----------
Multi-Industry (0.4%):
314 Whittman Corp. ..................... 5,657
----------
Oil & Gas Exploration (0.8%):
470 Keyspan Corp. ...................... 12,394
----------
Printing & Publishing (0.3%):
82 Houghton Mifflin Co. ............... 3,873
----------
Raw Materials (2.3%):
546 Allied Waste Industries, Inc.
(b)(c)............................ 10,787
163 Crompton & Knowles Corp. ........... 3,183
109 Ferro Corp. ........................ 2,988
103 Newport News Shipbuilding........... 3,039
359 Solutia, Inc. ...................... 7,643
84 Southdown, Inc. .................... 5,410
14 Vulcan Materials Co. ............... 663
----------
33,713
----------
Retail (8.6%):
378 Abercrombie & Fitch (b)............. 18,163
215 Barnes & Noble, Inc. (b)............ 5,889
321 Bed Bath & Beyond, Inc. (b)(c)...... 12,339
89 BJ's Wholesale Club, Inc. .......... 2,676
200 Borders Group, Inc. (b)............. 3,161
524 Family Dollar Stores, Inc. ......... 12,575
70 Linens 'n Things, Inc. (b).......... 3,067
234 Officemax, Inc. (b)................. 2,802
322 Outback Steakhouse, Inc. (b)........ 12,643
230 Ross Stores, Inc. .................. 11,561
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Retail, continued
117 Saks, Inc. (b)...................... $ 3,375
104 Sotheby's Holdings.................. 3,965
468 Starbucks Corp. (b)................. 17,568
194 Tandy Corp. ........................ 9,472
87 Tiffany & Co. ...................... 8,396
----------
127,652
----------
Shelter (2.4%):
180 Hon Industries, Inc. ............... 5,252
588 Leggett & Platt, Inc. .............. 16,359
405 Shaw Industries, Inc. (b)........... 6,679
240 Sonoco Products Co. ................ 7,185
----------
35,475
----------
Technology (30.8%):
434 ADC Telecommunications, Inc. (b).... 19,751
59 Aliant Communications, Inc. ........ 2,725
631 Altera Corp. (b).................... 23,218
584 American Power Conversion Corp.
(b)............................... 11,752
428 Analog Devices, Inc. (b)............ 21,480
85 Centurytel, Inc. ................... 3,391
298 Citrix Systems, Inc. (b)............ 16,820
230 Comverse Technology, Inc. (b)(c).... 17,373
187 Electronic Arts, Inc. (b)........... 10,139
227 Gulfstream Aerospace Corp. (b)...... 15,316
250 Jabil Circuit, Inc. (b)............. 11,263
147 Keane, Inc. (b)(c).................. 3,319
54 Legato Systems, Inc. (b)............ 3,107
443 Lexmark International Group, Inc.
(b)............................... 29,291
479 Linear Technology Corp. ............ 32,208
420 Maxim Integrated Products, Inc.
(b)............................... 27,923
175 Microchip Technology, Inc. (b)...... 8,300
178 Platinum Tech. (b)(c)............... 5,195
439 Qualcomm, Inc. (b)(c)............... 62,978
183 Sanmina Corp. (b)(c)................ 13,893
273 Siebel Systems, Inc. (b)............ 18,103
156 Snyder Communications, Inc.
(b)(c)............................ 5,109
56 Solectron Corp. (b)................. 3,735
93 SPX Corp. .......................... 7,766
155 Symantec Corp. (b).................. 3,953
298 Symbol Technologies, Inc. .......... 10,991
182 Synopsys, Inc. (b).................. 10,033
221 Teradyne, Inc. (b).................. 15,857
230 Vitesse Semiconductor (b)........... 15,524
496 Xilinx, Inc. (b)(c)................. 28,385
38 Ziplink, Inc. (b)(c)................ 469
----------
459,367
----------
</TABLE>
Continued
60
<PAGE> 63
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
MID CAP GROWTH FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Transportation (0.3%):
52 Airborne Freight Corp. ............. $ 1,437
140 Comair Holdings, Inc. .............. 2,912
----------
4,349
----------
Utilities (3.2%):
82 Carlisle Cos., Inc. ................ 3,961
424 Cincinnati Bell, Inc. (c)........... 10,577
54 Interstate Energy Corp. ............ 1,521
289 Ipalco Enterprise, Inc. ............ 6,113
432 LG&E Energy Corp. .................. 9,064
121 Montana Power Co. .................. 8,531
134 USG Corp. .......................... 7,499
----------
47,266
----------
Total Common Stocks 1,437,827
----------
U.S. TREASURY OBLIGATIONS (0.1%):
1,740 U.S. T-Bills, 9/23/99 (d)........... 1,721
----------
Total U.S. Treasury Obligations 1,721
----------
INVESTMENT COMPANIES (3.9%):
57,828 One Group Prime Money Market Fund,
Class I........................... 57,828
----------
Total Investment Companies 57,828
----------
REPURCHASE AGREEMENTS (0.5%):
$ 7,000 State Street Bank, 4.90%, 7/1/99
(Collateralized by $7,075 Federal
Home Loan Mortgage Corporation
Bond, 5.25%, 2/16/01, market value
$7,145)........................... 7,000
----------
Total Repurchase Agreements 7,000
----------
SHORT-TERM SECURITIES HELD AS COLLATERAL (12.5%):
Master Notes (1.6%):
8,645 Bear Stearns Mortgage Capital,
6.27%, 7/6/99*.................... 8,645
4,322 Merrill Lynch, 6.20%, 7/1/99*....... 4,322
2,593 NationsBanc Capital Markets, 6.20%,
7/1/99*........................... 2,593
8,645 Willamette Industries, Inc., 5.07%,
9/14/99*.......................... 8,645
----------
24,205
----------
Put Bonds (7.1%):
11,527 Amex Centurion, 5.11%, 2/18/00*..... 11,527
5,763 Branch Banking & Trust, 5.14%,
12/10/99*......................... 5,763
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Put Bonds, continued:
$ 3,746 Branch Banking & Trust, 5.14%,
5/25/00*.......................... $ 3,744
8,645 Caterpillar Financial, 5.20%,
5/1/01*........................... 8,645
7,204 Chase Manhattan, 5.26%, 5/6/02*..... 7,204
6,628 Evangelical Lutheran, 5.30%,
4/28/00*.......................... 6,616
7,204 Fleet National Bank, 5.07%,
4/18/00*.......................... 7,204
7,204 GMAC, 5.22%, 5/3/01*................ 7,204
2,257 Goldman Sachs, 5.28%, 11/21/00...... 2,257
2,882 J.P. Morgan & Co., 5.10%, 5/4/00*... 2,882
7,204 J.P. Morgan & Co., 5.16%, 5/4/01*... 7,204
7,204 Lehman Brothers, 5.20%, 7/20/00*.... 7,204
2,882 Liberty Lighthouse, 5.15%,
5/5/00*........................... 2,882
7,204 Merrill Lynch, 5.31%, 5/6/02*....... 7,204
3,314 Salomon Smith Barney, 5.44%,
2/5/01*........................... 3,314
7,204 Sigma Finance, Inc., 5.14%,
3/31/00*.......................... 7,204
8,645 SPARCC, 5.38%, 3/24/00*............. 8,645
----------
106,703
----------
Repurchase Agreements (3.8%):
21,611 Goldman Sachs, 6.09%, 7/1/99,
(Collateralized by $22,921 various
Corporate Bonds, 5.33% - 9.88%,
10/1/99 - 10/30/45, market value
$22,809).......................... 21,611
2,520 Lehman Brothers, 5.85%, 7/1/99,
(Collateralized by $2,646 various
Commercial Papers, 0.00% - 5.06%,
9/20/99 - 10/4/99, market value
$2,646)........................... 2,520
17,290 Lehman Brothers, 6.25%, 7/1/99,
(Collateralized by $460 various
Equity Securities, market value
$18,250).......................... 17,290
14,408 Merrill Lynch, 6.10%, 7/1/99,
(Collateralized by $15,164 various
Commerical Papers, 0.00% - 5.12%,
7/8/99 - 8/2/99, market value
$15,129).......................... 14,408
----------
55,829
----------
Total Short-Term Securities Held as Collateral 186,737
----------
Total (Cost $1,400,771)(a) $1,691,113
==========
</TABLE>
Continued
61
<PAGE> 64
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
MID CAP GROWTH FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
- ------------
Percentages indicated are based on net assets of $1,488,373.
(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 $8,776. 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...................... $329,839
Unrealized depreciation...................... (48,273)
--------
Net unrealized appreciation.................. $281,566
========
</TABLE>
(b) Non-income producing securities.
(c) A portion of this security was loaned as of June 30, 1999.
(d) Serves as collateral for futures.
<TABLE>
<CAPTION>
CURRENT
OPENING MARKET
NUMBER OF POSITIONS VALUE
CONTRACTS CONTRACT TYPE (000) (000)
- --------- ------------- --------- -------
<C> <S> <C> <C>
24 Long Mid Cap 400, September 1999 Futures $ 4,993 $ 5,032
75 Long S & P 500, September 1999 Futures 25,372 25,907
------- -------
$30,365 $30,939
======= =======
</TABLE>
* 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 at June 30, 1999.
See notes to financial statements.
62
<PAGE> 65
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
MID CAP VALUE FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS (95.4%):
Business Equipment & Services (1.5%):
53 Affiliated Computer Services, Inc.
(b)............................... $ 2,683
120 Apollo Group, Inc., Class A (b)..... 3,188
97 First Data Corp. ................... 4,747
157 Manpower, Inc. ..................... 3,552
229 Modis Professional Services, Inc.
(b)............................... 3,154
60 Wallace Computer Services, Inc. .... 1,500
----------
18,824
----------
Capital Goods (3.1%):
60 Carlisle Companies, Inc. ........... 2,888
118 Harsco Corp. ....................... 3,770
46 Honeywell, Inc. .................... 5,330
66 Jacobs Engineering Group, Inc.
(b)............................... 2,500
306 Mark IV Industries, Inc. ........... 6,464
155 Precision Castparts Corp. .......... 6,588
89 Southdown, Inc. .................... 5,718
103 Teleflex, Inc. ..................... 4,483
----------
37,741
----------
Consumer Durable (3.2%):
108 Borg-Warner Automotive, Inc. ....... 5,940
156 Delphi Automotive Systems Corp. .... 2,896
55 Eaton Corp. ........................ 5,060
180 Federal Mogul Corp. ................ 9,337
97 Genuine Parts Co. .................. 3,395
94 Lear Corp. (b)...................... 4,677
261 Mohawk Industries, Inc. (b)......... 7,919
----------
39,224
----------
Consumer Non-Durable (5.8%):
79 Dean Foods Co. ..................... 3,283
147 Dole Food Co., Inc. ................ 4,318
436 IBP, Inc. .......................... 10,355
235 Interstate Bakeries Corp. .......... 5,279
182 Lancaster Colony Corp. ............. 6,279
320 R.J. Reynolds Tobacco Holdings, Inc.
(b)............................... 10,080
60 Suiza Foods Corp. (b)............... 2,513
534 Tyson Foods, Inc., Class A.......... 12,015
90 Universal Corp. .................... 2,548
214 UST, Inc. .......................... 6,271
286 Warnaco Group, Inc., Class A........ 7,651
----------
70,592
----------
Consumer Services (4.2%):
396 Belo ( A.H.) Corp., Series A........ 7,800
40 Chris-Craft Industries, Inc. (b).... 1,893
130 Harte-Hanks, Inc. .................. 3,526
35 Hispanic Broadcasting Corp. (b)..... 2,686
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Consumer Services, continued:
244 Mandalay Resort Group (b)(c)........ $ 5,155
168 Mattel, Inc. ....................... 4,442
91 MGM Grand, Inc. (b)(c).............. 4,459
143 New York Times Co., Class A......... 5,264
404 Promus Hotel Corp. (b).............. 12,523
243 Stewart Enterprises Corp., Class A
(c)............................... 3,539
----------
51,287
----------
Energy (7.3%):
172 Apache Corp. ....................... 6,708
71 Atlantic Richfield Co. ............. 5,935
316 BJ Services Co. (b)(c).............. 9,302
128 Murphy Oil Corp. ................... 6,248
186 Nabors Industries, Inc. (b)......... 4,545
464 Noble Drilling Corp. (b)............ 9,135
185 Smith International, Inc. (b)(c).... 8,036
524 Tosco Corp. (c)..................... 13,592
417 Transocean Offshore, Inc. .......... 10,956
224 Ultramar Diamond Shamrock Corp. .... 4,886
270 Weatherford International, Inc.
(b)............................... 9,889
----------
89,232
----------
Financial Services (17.6%):
284 A.G. Edwards, Inc. ................. 9,159
149 Allmerica Financial Corp. .......... 9,061
248 AMBAC Financial Group, Inc. ........ 14,167
34 American Financial Group, Inc. ..... 1,158
276 Associated Banc-Corp. .............. 11,454
93 Associated Estates Realty Corp. .... 1,095
107 Astoria Financial Corp. ............ 4,701
64 CCB Financial Corp. ................ 3,384
590 Charter One Financial, Inc. ........ 16,418
240 Dime Bancorp, Inc. ................. 4,830
148 Finova Group, Inc. ................. 7,789
407 First Security Corp. ............... 11,091
88 First Tennessee National Corp. ..... 3,372
121 First Virginia Banks, Inc. ......... 5,939
233 Greenpoint Financial Corp. ......... 7,645
336 Hibernia Corp., Class A............. 5,271
109 Keystone Financial, Inc. ........... 3,222
262 Marshall & Ilsley Corp. ............ 16,865
225 Mercantile Bankshares Corp. ........ 7,942
126 North Fork Bancorp, Inc. ........... 2,685
682 Old Republic International Corp. ... 11,814
376 Pacific Century Financial Corp. .... 8,101
45 PMI Group, Inc. .................... 2,827
287 Protective Life Corp. .............. 9,471
</TABLE>
Continued
63
<PAGE> 66
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
MID CAP VALUE FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Financial Services, continued:
90 Provident Financial Group, Inc. .... $ 3,938
381 Reliastar Financial Corp. .......... 16,669
330 Sovereign Bancorp, Inc. ............ 4,001
278 TCF Financial Corp. ................ 7,749
64 Unitrin, Inc. ...................... 2,624
----------
214,442
----------
Health Care (5.4%):
440 Chiron Corp. (b).................... 9,130
332 Foundation Health Systems, Class A
(b)............................... 4,980
233 Genzyme Corp. (b)................... 11,300
42 Genzyme Surgical Products (b)....... 184
243 Healthsouth Corp. (b)............... 3,630
325 Ivax Corp. (b)...................... 4,591
19 Lincare Holdings, Inc. (b).......... 476
235 Mylan Laboratories, Inc. ........... 6,228
79 Pacificare Health Systems, Inc.
(b)............................... 5,683
135 PSS World Medical, Inc. (b)......... 1,508
132 Steris Corp. (b).................... 2,558
230 Tenet Healthcare Corp. (b).......... 4,269
160 Total Renal Care Holdings, Inc.
(b)............................... 2,490
94 Trigon Healthcare, Inc. (b)......... 3,419
65 Wellpoint Health Networks, Inc.
(b)............................... 5,517
----------
65,963
----------
Raw Materials (6.1%):
130 A. Schulman, Inc. .................. 2,234
99 Air Products & Chemical, Inc. ...... 3,985
129 Airgas, Inc. (b).................... 1,580
147 AK Steel Holding Corp. ............. 3,308
367 Cabot Corp. ........................ 8,877
254 Cytec Industries, Inc. (b).......... 8,096
94 Dexter Corp. ....................... 3,836
143 Ferro Corp. ........................ 3,933
349 IMC Global, Inc. ................... 6,151
140 Lubrizol Corp. ..................... 3,929
441 Lyondell Petrochemical Co. ......... 9,095
45 Minerals Technologies, Inc. ........ 2,512
591 RPM, Inc. .......................... 8,385
69 Sigma-Aldrich Corp. ................ 2,376
54 USG Corp. .......................... 3,024
189 Witco Corp. ........................ 3,780
----------
75,101
----------
Retail (5.3%):
52 AnnTaylor Stores Corp. (b).......... 2,340
347 Borders Group, Inc. (b)............. 5,487
71 Circuit City Stores, Inc. .......... 6,603
69 Hannaford Brothers Co. ............. 3,687
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Retail, continued:
171 Jones Apparel Group, Inc. (b)....... $ 5,863
274 Office Depot, Inc. (b).............. 6,043
130 Outback Steakhouse, Inc. (b)........ 5,111
80 Payless Shoesource, Inc. (b)........ 4,253
519 Saks, Inc. (b)...................... 14,986
102 Tandy Corp. ........................ 4,985
85 Wendy's International, Inc. ........ 2,407
70 Williams Sonoma, Inc. (b)........... 2,437
----------
64,202
----------
Shelter (4.4%):
141 Bowater, Inc. (c)................... 6,662
97 Chesapeake Corp. ................... 3,631
675 Clayton Homes, Inc. ................ 7,720
193 Consolidated Papers, Inc. .......... 5,163
278 Furniture Brands International, Inc.
(b)............................... 7,749
50 Georgia Pacific Corp. .............. 2,369
117 Georgia Pacific Timber Corp. ....... 2,954
235 Pentair, Inc. ...................... 10,752
72 Rayonier, Inc. ..................... 3,577
220..... Shaw Industry, Inc. (b)............. 3,630
----------
54,207
----------
Technology (11.8%):
79 Analog Devices, Inc. (b)............ 3,965
59 Applied Materials, Inc. (b)......... 4,359
278 Arrow Electronics, Inc. (b)......... 5,286
177 ATMEL Corp. (b)..................... 4,635
135 Avnet, Inc. ........................ 6,254
458 Cadence Design Systems, Inc. (b).... 5,784
83 Carpenter Technology Corp. ......... 2,371
189 Cordant Technology, Inc. ........... 8,531
168 Fiserv, Inc. (b).................... 5,271
209 Intuit, Inc. (b).................... 18,835
47 KLA-Tencor Corp. (b)................ 3,049
111 Litton Industries, Inc. (b)......... 7,979
134 Lockheed Martin Corp. .............. 4,992
59 LSI Logic Corp. (b)................. 2,721
45 Martin Marietta Materials, Inc. .... 2,655
126 NCR Corp. (b)....................... 6,150
358 Networks Associates, Inc. (b)....... 5,258
567 Quantum Corp. (b)................... 13,686
60 Raytheon Co., Class B............... 4,223
261 SCI Systems, Inc. (b)............... 12,379
114 Sterling Software, Inc. (b)......... 3,042
157 Storage Technology Corp. (b)........ 3,734
235 Tech Data Corp. (b)................. 8,989
----------
144,148
----------
</TABLE>
Continued
64
<PAGE> 67
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
MID CAP VALUE FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Transportation (1.3%):
103 Airborne Freight Corp. ............. $ 2,865
99 Alaska Air Group, Inc. (b).......... 4,133
144 Alexander & Baldwin, Inc. .......... 3,204
108 CNF Transportation, Inc. ........... 4,144
47 GATX Corp. ......................... 1,789
----------
16,135
----------
Utilities (18.4%):
528 Allegheny Energy, Inc. ............. 16,928
207 American Water Works, Inc. ......... 6,365
178 Centurytel, Inc. ................... 7,076
82 CMS Energy Corp. ................... 3,434
172 Conectiv, Inc. ..................... 4,203
159 Devon Energy Corp. (c).............. 5,684
611 DPL, Inc. .......................... 11,227
586 El Paso Energy Corp. ............... 20,619
539 Energy East Corp. .................. 14,014
57 Frontier Corp. ..................... 3,363
125 General Public Utilities Corp. ..... 5,273
198 Interstate Energy Corp. ............ 5,618
344 L G & E Energy Corp. ............... 7,224
195 MCN Energy Group, Inc. ............. 4,107
374 Midamerican Energy Holdings Co. .... 12,950
78 Montana Power Co. .................. 5,485
89 New Century Energies, Inc. ......... 3,454
158 New England Electric System......... 7,920
327 NiSource Corp. ..................... 8,441
234 Northeast Utilities (b)............. 4,139
130 OGE Energy Corp. ................... 3,088
101 Peco Energy Corp. .................. 4,248
403 Pinnacle West Capital Corp. ........ 16,205
303 Potomac Electric Power Co. (c)...... 8,920
98 SCANA Corp. ........................ 2,291
224 TECO Energy, Inc. (c)............... 5,096
90 Telephone & Data Systems, Inc. ..... 6,576
264 The Williams Companies, Inc. ....... 11,228
150 UtiliCorp United, Inc. ............. 3,647
202 Wisconsin Energy Corp. (c).......... 5,063
----------
223,886
----------
Total Common Stocks 1,164,984
----------
INVESTMENT COMPANIES (1.8%):
21,947 One Group Prime Money Market Fund,
Class I........................... 21,947
----------
Total Investment Companies 21,947
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL (3.4%):
Master Notes (0.4%):
$ 1,813 Bear Stearns Mortgage Capital,
6.27%, 7/6/99*.................... $ 1,813
906 Merrill Lynch, 6.20%, 7/1/99*....... 906
544 NationsBanc Capital Markets, 6.20%,
7/1/99*........................... 544
1,813 Williamette Industries, Inc., 5.07%,
9/14/99*.......................... 1,813
----------
5,076
----------
Put Bonds (2.0%):
2,416 Amex Centurion, 5.11%, 2/18/00*..... 2,416
786 Branch Banking & Trust, 5.14%,
5/25/00*.......................... 785
1,209 Branch Banking & Trust, 5.14%,
12/10/99*......................... 1,209
1,813 Caterpillar Finance, 5.20%,
5/1/01*........................... 1,813
1,511 Chase Manhattan, 5.26%, 5/6/02*..... 1,511
1,390 Evangelical Lutheran, 5.30%,
4/28/00*.......................... 1,387
1,511 Fleet National Bank, 5.07%,
4/18/00*.......................... 1,511
1,511 GMAC, 5.22%, 5/3/01*................ 1,511
3,197 Goldman Sachs, 5.28%, 11/21/00*..... 3,197
1,511 J.P. Morgan & Co., 5.16%, 5/4/01*... 1,511
604 J.P. Morgan & Co., 5.10%, 5/4/00*... 604
1,511 Lehman Brothers Holdings, 5.20%,
7/20/00*.......................... 1,511
604 Liberty Lighthouse, 5.15%,
5/5/00*........................... 604
1,511 Merrill Lynch, 5.31%, 5/6/02*....... 1,511
695 Salomon Smith Barney, 5.44%,
2/5/01*........................... 695
1,511 Sigma Finance, Inc., 5.14%,
3/31/00*.......................... 1,511
1,812 SPARCC, 5.38%, 3/24/00*............. 1,812
----------
25,099
----------
Repurchase Agreements (1.0%):
4,532 Goldman Sachs, 6.09%, 7/1/99,
(Collateralized by $4,806 various
Corporate Bonds, 5.33% - 9.88%,
10/1/99 - 10/30/45, market value
$4,783)........................... 4,532
528 Lehman Brothers, 5.85%, 7/1/99,
(Collateralized by $555 various
Commercial Papers, 0.00% - 5.06%,
9/20/99 - 10/4/99, market value
$555)............................. 528
3,626 Lehman Brothers, 6.25%, 7/1/99,
(Collateralized by $96 various
Equity Securities, market value
$3,827)........................... 3,626
</TABLE>
Continued
65
<PAGE> 68
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
MID CAP VALUE FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Repurchase Agreements, continued:
$ 3,021 Merrill Lynch, 6.10%, 7/1/99,
(Collateralized by $3,180 various
Commercial Papers, 0.00% - 5.12%,
7/8/99 - 8/2/99, market value
$3,172)........................... $ 3,021
----------
11,707
----------
Total Short-Term Securities Held as Collateral 41,882
----------
Total (Cost $1,143,118) (a) $1,228,813
==========
</TABLE>
- ------------
Percentages indicated are based on net assets of $1,221,647.
(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 $3,104. 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...................... $124,659
Unrealized depreciation...................... (42,068)
--------
Net unrealized appreciation.................. $ 82,591
========
</TABLE>
(b) Non-income producing securities.
(c) A portion of this security was loaned as of June 30, 1999.
* 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, 1999.
See notes to financial statements.
66
<PAGE> 69
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
DIVERSIFIED MID CAP FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS (99.6%):
Business Equipment & Services (9.6%):
367 Affiliated Computer Services, Inc.
(b)............................... $ 18,559
320 DST Systems, Inc. (b)............... 20,117
484 DT Industries, Inc. ................ 4,448
650 HON Industries, Inc. ............... 18,972
349 IDEX Corp. ......................... 11,471
409 Littelfuse, Inc. (b)................ 7,877
240 Omnicom Group, Inc. ................ 19,168
396 Young & Rubicam, Inc. .............. 18,014
----------
118,626
----------
Capital Goods (8.9%):
540 Ametek, Inc. ....................... 12,420
185 Applied Power, Inc. ................ 5,061
771 Crane Co. .......................... 24,227
149 Harsco Corp. ....................... 4,774
143 Hubbell, Inc., Class B.............. 6,468
797 Juno Lighting, Inc. ................ 19,533
8 Molex, Inc. ........................ 289
503 Molex, Inc., Class A................ 15,837
496 Teleflex, Inc. ..................... 21,558
----------
110,167
----------
Consumer Durable (5.5%):
434 Borg-Warner Automotive, Inc. ....... 23,850
335 Harley-Davidson, Inc. (c)........... 18,243
1,014 Tower Automotive, Inc. (b).......... 25,793
----------
67,886
----------
Consumer Non-Durable (3.9%):
550 AptarGroup, Inc. ................... 16,498
338 Lancaster Colony Corp. ............. 11,644
408 U.S. Foodservice, Inc. (b).......... 17,403
80 Westpoint Stevens, Inc. ............ 2,385
----------
47,930
----------
Consumer Services (1.2%):
278 Galileo International, Inc. ........ 14,845
----------
Energy (4.4%):
601 Apache Corp. (c).................... 23,457
787 Global Industries, Ltd. (b)......... 10,080
448 Noble Affiliates, Inc. ............. 12,621
65 Smith International, Inc. (b)....... 2,823
140 Weatherford International (b)....... 5,128
----------
54,109
----------
Financial Services (19.5%):
490 A.G. Edwards, Inc. ................. 15,787
239 Associated Banc Corp. .............. 9,908
1,255 Charter One Financial, Inc. ........ 34,902
172 Concord EFS, Inc. (b)............... 7,290
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Financial Services, continued:
320 E*Trade Group, Inc. (b)(c).......... $ 12,780
657 Everest Reinsurance Holdings,
Inc. ............................. 21,429
388 Finova Group, Inc. ................. 20,405
419 First Tennessee National Corp. ..... 16,056
780 Heller Financial, Inc. ............. 21,680
870 Peoples Heritage Financial Group,
Inc. ............................. 16,374
358 Radian Group, Inc. ................. 17,485
871 TCF Financial Corp. ................ 24,291
133 Transatlantic Holdings, Inc. ....... 9,934
474 Waddell & Reed Financial, Class A... 13,005
----------
241,326
----------
Health Care (9.8%):
102 Biogen, Inc. (b).................... 6,560
422 Ciber, Inc. (b)(c).................. 8,069
275 Dentsply International, Inc. ....... 7,700
105 Forest Laboratories, Inc. (b)....... 4,856
235 HCR Manor Care, Inc. (b)............ 5,694
1,139 Health Management Association, Inc.,
Class A (b)....................... 12,810
75 MedImmune, Inc. (b)................. 5,081
165 Mylan Laboratories, Inc. ........... 4,359
729 Sybron International Corp. (b)...... 20,082
335 Universal Health Services, Inc.,
Class B (b)....................... 16,011
80 VISX, Inc. (b)...................... 6,335
349 Waters Corp. (b).................... 18,551
150 Watson Pharmaceutical, Inc. (b)..... 5,256
----------
121,364
----------
Industrial Goods & Services (1.3%):
464 OM Group, Inc. ..................... 16,022
----------
Retail (11.0%):
314 Abercrombie & Fitch Co., Class A
(b)............................... 15,072
240 Best Buy, Inc. ..................... 16,200
198 Kohl's Corp. (b).................... 15,292
787 Men's Wearhouse, Inc. (b)........... 20,075
305 Office Depot, Inc. (b).............. 6,729
610 Saks, Inc. (b)...................... 17,626
105 Starbucks Corp. (b)................. 3,944
218 Tommy Hilfiger Corp. (b)............ 16,021
635 Zale Corp. (b)...................... 25,397
----------
136,356
----------
Shelter (1.9%):
840 Leggett & Platt, Inc. .............. 23,351
----------
Technology (19.7%):
125 ADC Telecommunications, Inc.
(b)(c)............................ 5,695
108 Altera Corp. (b).................... 3,990
</TABLE>
Continued
67
<PAGE> 70
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
DIVERSIFIED MID CAP FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
231 Analog Devices, Inc. (b)............ $ 11,613
224 Auto Desk, Inc. .................... 6,610
118 Citrix System, Inc. (b)............. 6,667
206 Comverse Technology, Inc. (b)(c).... 15,542
78 Intuit, Inc. (b).................... 7,012
322 Lexmark International (b)........... 21,258
98 Maxim Integrated Products, Inc.
(b)............................... 6,544
321 Microchip Technology, Inc. (b)...... 15,218
342 National Data Corp. ................ 14,625
128 Qualcomm, Inc. (b)(c)............... 18,368
217 Quantum Corp. (b)................... 5,235
256 SCI Systems, Inc. (b)............... 12,170
113 Siebel Systems, Inc. (b)............ 7,513
45 SPX Corp. (b)....................... 3,758
568 Sterling Commerce, Inc. (b)......... 20,720
565 Sungard Data Systems, Inc. (b)...... 19,477
89 Synopsys, Inc. (b).................. 4,890
237 Teradyne, Inc. (b).................. 17,006
335 Xilinx, Inc. (b)(c)................. 19,176
----------
243,087
----------
Utilities (2.9%):
168 Cincinnati Bell, Inc. .............. 4,190
130 Florida Progress Corp. ............. 5,370
75 Montana Power Co. .................. 5,288
241 Nevada Power Co. ................... 6,034
110 Pinnacle West Capital Corp. ........ 4,428
164 Potomac Electric Power Co. (c)...... 4,828
165 Sierra Pacific Resources............ 5,994
----------
36,132
----------
Total Common Stocks 1,231,201
----------
INVESTMENT COMPANIES (0.5%):
5,577 One Group Prime Money Market Fund,
Class I........................... 5,577
----------
Total Investment Companies 5,577
----------
SHORT-TERM SECURITIES HELD AS COLLATERAL (3.1%):
Master Notes (0.4%):
$1,818 Bear Stearns Mortgage Capital,
6.27%, 7/6/99*.................... 1,818
909 Merrill Lynch, 6.20%, 7/1/99*....... 909
545 NationsBanc Capital Markets, 6.20%,
7/1/99*........................... 545
1,818 Willamette Industries, Inc., 5.07%,
9/14/99*.......................... 1,818
----------
5,090
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Put Bonds (1.7%):
$2,424 Amex Centurion, 5.11%, 2/18/00*..... $ 2,424
1,212 Branch Banking & Trust, 5.14%,
12/10/99*......................... 1,212
788 Branch Banking & Trust, 5.14%,
5/25/00*.......................... 787
1,818 Caterpillar Financial, 5.20%,
5/1/01*........................... 1,818
1,515 Chase Manhattan, 5.26%, 5/6/02*..... 1,515
1,394 Evangelical Lutheran, 5.30%,
4/28/00*.......................... 1,391
1,515 Fleet National Bank, 5.07%,
4/18/00*.......................... 1,515
1,515 GMAC, 5.22%, 5/3/01*................ 1,515
606 J.P. Morgan & Co., 5.10%, 5/4/00*... 606
1,515 J.P. Morgan & Co., 5.16%, 5/4/01*... 1,515
1,515 Lehman Brothers, 5.20%, 7/20/00*.... 1,515
606 Liberty Lighthouse, 5.15%,
5/5/00*........................... 606
1,515 Merrill Lynch, 5.31%, 5/6/02*....... 1,515
697 Salomon Smith Barney, 5.44%,
2/5/01*........................... 697
1,515 Sigma Finance, Inc., 5.14%,
3/31/00*.......................... 1,515
1,818 SPARCC, 5.38%, 3/24/00*............. 1,818
----------
21,964
----------
Repurchase Agreements (1.0%):
4,545 Goldman Sachs, 6.09%, 7/1/99,
(Collateralized by $4,820 various
Corporate Bonds, 5.33% - 9.88%,
10/1/99 - 10/30/45, market value
$4,797)........................... 4,545
3,636 Lehman Brothers, 6.25%, 7/1/99,
(Collateralized by $97 various
Equity Securities, market value
$3,838)........................... 3,636
530 Lehman Brothers, 5.85%, 7/1/99,
(Collateralized by $556 various
Commercial Papers, 0.00% - 5.06%,
9/20/99 - 10/4/99, market value
$556)............................. 530
3,030 Merrill Lynch, 6.10%, 7/1/99,
(Collateralized by $3,189 various
Commerical Papers, 0.00% - 5.12%,
7/8/99 - 8/2/99, market value
$3,181)........................... 3,030
----------
11,741
----------
Total Short-Term Securities Held as Collateral 38,795
----------
Total (Cost $914,899) (a) $1,275,573
==========
</TABLE>
Continued
68
<PAGE> 71
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
DIVERSIFIED MID CAP FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
- ------------
Percentages indicated are based on net assets of $1,235,885.
(a) Represents cost for financial reporting purposes and differs from value by
net unrealized appreciation of securities as follows (amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $400,615
Unrealized depreciation...................... (39,941)
--------
Net unrealized appreciation.................. $360,674
========
</TABLE>
(b) Non-income producing securities.
(c) A portion of this security was loaned as of June 30,1999.
* 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, 1999.
See notes to financial statements.
69
<PAGE> 72
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
LARGE CAP GROWTH FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMERCIAL PAPER (2.9%):
Financial Services (2.9%):
$120,000 Ford Motor Corp., 5.04%, 9/15/99.... $ 118,687
----------
Total Commercial Paper 118,687
----------
COMMON STOCKS (94.2%):
Banking (1.8%):
174 Firstar Corp. ...................... 4,880
230 Mercantile Bancorp.................. 13,144
1,297 Wells Fargo Co. .................... 55,452
----------
73,476
----------
Business Equipment & Services (3.6%):
605 America Online (b).................. 66,798
431 Automatic Data Processing, Inc. .... 18,968
283 Interpublic Group Co., Inc. ........ 24,489
747 Waste Management, Inc. (c).......... 40,151
----------
150,406
----------
Capital Goods (7.9%):
2,260 General Electric Co. ............... 255,357
751 Tyco International, Ltd. (c)........ 71,129
----------
326,486
----------
Consumer Non-Durable (8.7%):
458 Anheuser Busch Co., Inc. ........... 32,475
345 Avon Products, Inc. ................ 19,120
1,289 Coca-Cola Co. ...................... 80,549
391 Coca-Cola Enterprises (c)........... 11,632
337 Gillette Co. ....................... 13,813
876 PepsiCo, Inc. ...................... 33,906
1,389 Philip Morris Co., Inc. ............ 55,816
796 Proctor & Gamble Co. ............... 71,050
237 Quaker Oats Co. .................... 15,731
1,041 Sara Lee Corp. ..................... 23,624
----------
357,716
----------
Consumer Services (0.7%):
340 Comcast Corp., Class A.............. 13,065
225 Time Warner, Inc. .................. 16,200
----------
29,265
----------
Electronic Components/Instruments (0.5%):
336 Solectron Corp. (b)(c).............. 22,394
----------
Financial Services (5.0%):
181 American Express Co. ............... 23,566
492 American International Group,
Inc. ............................. 57,619
105 Capital One Financial Corp. ........ 5,847
260 Charles Schwab Corp. ............... 28,611
449 Freddie Mac......................... 26,048
901 MBNA Corp. ......................... 27,585
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Financial Services, continued:
156 Providian Financial................. $ 14,623
690 U.S. Bancorp........................ 23,443
----------
207,342
----------
Food Products & Services (1.1%):
262 General Mills, Inc. ................ 21,018
346 Unilever............................ 24,132
----------
45,150
----------
Health Care (17.7%):
931 Abbott Labs......................... 42,341
185 Alza Corp. (b)...................... 9,416
747 American Home Products Co. ......... 42,935
333 Amgen, Inc. (b)..................... 20,247
138 Baxter International, Inc. ......... 8,360
433 Boston Scientific Corp. (b)......... 19,029
1,550 Bristol Myers Squibb Co. ........... 109,143
224 Cardinal Health, Inc. .............. 14,377
515 Eli Lilly & Co. .................... 36,880
94 Guidant Corp. ...................... 4,856
806 Johnson & Johnson................... 79,027
550 Medtronic, Inc. .................... 42,839
1,396 Merck & Co., Inc. .................. 103,298
776 Pfizer, Inc. ....................... 85,144
1,197 Schering Plough Corp. .............. 63,425
619 Warner Lambert Co. ................. 42,964
----------
724,281
----------
Insurance (0.3%):
148 Cigna Corp. ........................ 13,163
----------
Investment Trust (0.5%):
183 Nasdaq-100 (b)...................... 21,139
----------
Office Equipment & Services (0.2%):
123 Pitney Bowes, Inc. ................. 7,928
----------
Pipelines (0.4%):
430 Williams Co. ....................... 18,293
----------
Printing & Publishing (0.3%):
317 New York Times Co. ................. 11,662
----------
Retail (7.4%):
381 CVS Corp. .......................... 19,331
210 Dayton Hudson Corp. ................ 13,657
572 Dollar General...................... 16,598
449 Gap, Inc. .......................... 22,623
823 Home Depot, Inc. (c)................ 53,006
285 Kohl's Corp. (b).................... 21,998
284 Staples (b)......................... 8,779
</TABLE>
Continued
70
<PAGE> 73
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
LARGE CAP GROWTH FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Retail, continued:
2,704 Wal-Mart Stores, Inc. (c)........... $ 130,483
646 Walgreen Co. ....................... 18,973
----------
305,448
----------
Retail-General Merchandise (0.3%):
254 Tandy Corp. ........................ 12,400
----------
Shelter (0.5%):
365 Kimberly Clark Corp. ............... 20,782
----------
Technology (28.9%):
149 BMC Software (b).................... 8,046
2,440 Cisco Systems, Inc. (b)............. 156,903
361 Computer Associates International,
Inc. ............................. 19,872
1,497 Dell Computer Corp. (b)............. 55,385
828 EMC Corp. (b)....................... 45,513
2,054 Intel Corp. ........................ 122,220
1,324 International Business Machines..... 171,101
2,178 Lucent Technologies, Inc. .......... 146,898
3,391 Microsoft Corp. (b)................. 305,805
839 Oracle Corp. (b).................... 31,159
775 Sun Microsystems, Inc. (b).......... 53,364
468 Tellabs, Inc. (b)................... 31,606
281 Texas Instruments, Inc. ............ 40,803
----------
1,188,675
----------
Telecommunications-Services and Equipment (1.0%):
491 Nortel Networks Corp. (c)........... 42,599
----------
Transportation (0.4%):
541 Southwest Airlines Co. (c).......... 16,845
----------
Utilities (6.9%):
732 Ameritech Corp. .................... 53,809
105 Enron Corp. ........................ 8,592
100 Frontier Corp. ..................... 5,900
318 GTE Corp. .......................... 24,046
1,238 MCI Worldcom, Inc. (b).............. 106,795
1,278 SBC Communications, Inc. ........... 74,141
194 U.S. West, Inc. .................... 11,398
----------
284,681
----------
Wholesale Distribution (0.1%):
181 McKesson HBOC, Inc. (c)............. 5,823
----------
Total Common Stocks 3,885,954
----------
U.S. TREASURY OBLIGATIONS (0.2%):
U.S. Treasury Bills (0.2%):
$ 9,470 7/22/99 (d)......................... 9,448
815 9/23/99 (d)......................... 806
----------
Total U.S. Treasury Obligations 10,254
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
INVESTMENT COMPANIES (1.3%):
$ 52,960 One Group Prime Money Market Fund,
Class I........................... $ 52,960
----------
Total Investment Companies 52,960
----------
SHORT-TERM SECURITIES HELD AS COLLATERAL (2.5%):
Master Notes (0.3%):
$ 3,849 Bear Stearns Mortgage Capital,
6.27%, 7/6/99*.................... 3,849
1,924 Merrill Lynch, 6.20%, 7/1/99*....... 1,924
1,155 NationsBanc Capital Markets, 6.20%,
7/1/99*........................... 1,155
3,849 Willamette Industries, Inc., 5.07%,
9/14/99*.......................... 3,849
----------
10,777
----------
Put Bonds (1.6%):
5,133 Amex Centurion, 5.11%, 2/18/00*..... 5,133
2,566 Branch Banking & Trust, 5.14%,
12/10/99*......................... 2,566
1,668 Branch Banking & Trust, 5.14%,
5/25/00*.......................... 1,667
3,849 Caterpillar Financial, 5.20%,
5/1/01*........................... 3,849
3,207 Chase Manhattan, 5.26%, 5/6/02*..... 3,207
2,951 Evangelical Lutheran, 5.30%,
4/28/00*.......................... 2,946
3,207 Fleet National Bank, 5.07%,
4/18/00*.......................... 3,207
3,207 GMAC, 5.22%, 5/3/01*................ 3,207
21,241 Greenwich Capital Markets, 5.41%,
7/9/01*........................... 21,241
1,283 J.P. Morgan & Co., 5.10%, 5/4/00*... 1,283
3,207 J.P. Morgan & Co., 5.16%, 5/4/01*... 3,207
3,207 Lehman Brothers, 5.20%, 7/20/00*.... 3,207
1,283 Liberty Lighthouse, 5.15%,
5/5/00*........................... 1,283
3,207 Merrill Lynch, 5.31%, 5/6/02*....... 3,207
1,475 Salomon Smith Barney, 5.44%,
2/5/01*........................... 1,475
3,207 Sigma Finance, Inc., 5.14%,
3/31/00*.......................... 3,207
3,850 SPARCC, 5.38%, 3/24/00*............. 3,850
----------
67,742
----------
Repurchase Agreements (0.6%):
$ 9,622 Goldman Sachs, 6.09%, 7/1/99,
(Collateralized by $10,205 various
Corporate Bonds, 5.33%-9.88%,
10/1/99-10/30/45, market value
$10,155).......................... 9,622
7,698 Lehman Brothers, 6.25%, 7/1/99,
(Collateralized by $205 various
Equity Securities, market value
$8,125)........................... 7,698
</TABLE>
Continued
71
<PAGE> 74
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
LARGE CAP GROWTH FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Repurchase Agreements, continued:
$ 1,122 Lehman Brothers, 5.85%, 7/1/99,
(Collateralized by $1,178 various
Commercial Papers, 0.00%-5.06%,
9/20/99-10/4/99, market value
$1,178)........................... $ 1,122
6,415 Merrill Lynch, 6.10%, 7/1/99,
(Collateralized by $6,751 various
Commerical Papers, 0.00%-5.12%,
7/8/99-8/2/99, market value
$6,736............................ 6,415
----------
24,857
----------
Total Short-Term Securities Held as Collateral 103,376
----------
Total (Cost $2,719,875) (a) $4,171,231
==========
</TABLE>
- ------------
Percentages indicated are based on net assets of $4,126,165.
(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 $3,784. 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...................... $1,475,997
Unrealized depreciation...................... (28,425)
----------
Net unrealized appreciation.................. $1,447,572
==========
</TABLE>
(b) Non-income producing securities.
(c) A portion of this security was loaned as of June 30, 1999.
(d) Serves as collateral for future contracts.
<TABLE>
<CAPTION>
CURRENT
OPENING MARKET
NUMBER OF POSITIONS VALUE
CONTRACTS CONTRACT TYPE (000) (000)
- --------- ------------- --------- --------
<C> <S> <C> <C>
521 Long S&P 500, September 1999 Futures $173,748 $179,966
</TABLE>
* The interest rate for this variable rate note, which will change
periodically, is based upon an index of market rates. The rate reflected on
Schedule of Portfolio Investments is the rate in effect at June 30,1999.
See notes to financial statements.
72
<PAGE> 75
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
LARGE CAP VALUE FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS (98.7%):
Aircraft (0.5%):
140 Lockheed Martin Corp................ $ 5,215
----------
Beverages (0.5%):
180 Coca Cola Enterprises............... 5,355
----------
Business Equipment & Services (1.2%):
111 Browning-Ferris Industries, Inc. ... 4,777
75 First Data Corp. ................... 3,670
100 Waste Management, Inc. ............. 5,375
----------
13,822
----------
Capital Goods (3.2%):
50 Case Corp. ......................... 2,406
60 Cooper Industries, Inc. ............ 3,120
250 Cypress Semiconductor Corp. (b)..... 4,125
50 Deere & Co. ........................ 1,981
60 Emerson Electric Co. ............... 3,773
150 Honeywell, Inc. .................... 17,381
150 Sherwin-Williams Co. ............... 4,163
----------
36,949
----------
Consumer Durable (4.0%):
75 Autozone, Inc. (b).................. 2,259
156 DaimlerChrysler AG.................. 13,853
175 Delphi Automotive Systems........... 3,243
75 Eaton Corp. ........................ 6,900
250 General Motors Corp. ............... 16,501
100 Genuine Parts Co. .................. 3,500
----------
46,256
----------
Consumer Goods & Services (4.0%):
200 CBS Corp. (b)....................... 8,688
146 Comcast Corp. ...................... 5,612
150 Hasbro, Inc. ....................... 4,191
100 Mattel.............................. 2,644
75 Time Warner, Inc. .................. 5,400
290 Viacom, Inc., Class A (b)........... 12,795
200 Walt Disney Co. .................... 6,163
----------
45,493
----------
Consumer Non-Durable (3.1%):
100 American Greetings Corp., Class A... 3,013
115 Archer-Daniels-Midland Co. ......... 1,779
50 Eastman Kodak Co. .................. 3,388
100 Fortune Brands, Inc. ............... 4,138
200 Nike, Inc. ......................... 12,662
400 Supervalu, Inc. .................... 10,274
----------
35,254
----------
Defense (1.5%):
45 Litton Industries, Inc. (b)......... 3,250
200 Raytheon Co., Class B............... 14,075
----------
17,325
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Energy (11.8%):
100 Burlington Resources, Inc. ......... $ 4,325
100 Chevron Corp. (c)................... 9,519
400 Exxon Corp. ........................ 30,849
170 Halliburton Co. .................... 7,693
286 Mobil Corp. ........................ 28,353
400 Royal Dutch Petroleum Co. .......... 24,100
100 Schlumberger Ltd. .................. 6,369
250 Texaco, Inc. ....................... 15,625
100 Tosco Corp. (c)..................... 2,594
200 USX-Marathon Group.................. 6,513
----------
135,940
----------
Financial Services (31.3%):
150 Allstate Corp. ..................... 5,381
45 American Express Co. ............... 5,856
50 American General Corp. (c).......... 3,769
250 American International Group........ 29,266
100 Associates First Capital, Class A... 4,431
526 Bank of America Corp. .............. 38,585
200 BankBoston Corp. ................... 10,225
158 Bear Stearns Cos., Inc. (c)......... 7,363
400 Charter One Financial, Inc. ........ 11,125
100 Chase Manhattan Corp. .............. 8,663
350 Cigna Corp. ........................ 31,149
1,050 Citigroup, Inc. .................... 49,874
142 Federal Home Loan Mortgage Corp. ... 8,236
300 Federal National Mortgage
Association....................... 20,513
100 Fifth Third Bancorp................. 6,656
100 First Union Corp. .................. 4,700
93 Franklin Resources, Inc. ........... 3,782
21 Goldman Sachs Group, Inc. (b)....... 1,535
200 Hartford Financial Services Group... 11,663
250 Household International............. 11,844
50 Huntington Bancshares............... 1,750
100 KeyCorp. ........................... 3,213
170 Lincoln National Corp. ............. 8,893
152 MBNA Corp. ......................... 4,655
100 Mercantile Bancorp.................. 5,713
125 Morgan Stanley Dean Witter
Discover.......................... 12,813
200 PNC Bank Corp. ..................... 11,525
200 Southtrust Corp. ................... 7,675
60 State Street Corp. ................. 5,123
100 Summit Bancorp...................... 4,181
60 TransAmerica Corp. ................. 4,500
150 U.S. Bancorp........................ 5,100
250 Wells Fargo Co. .................... 10,688
----------
360,445
----------
</TABLE>
Continued
73
<PAGE> 76
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
LARGE CAP VALUE FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Health Care (1.7%):
150 Biomet, Inc. ....................... $ 5,963
650 Healthsouth Corp. (b)(c)............ 9,708
200 Tenet Healthcare Corp. (b).......... 3,713
----------
19,384
----------
Multi Industry (1.3%):
100 Allied Signal, Inc. ................ 6,300
30 Loews Corp. ........................ 2,374
75 Minnesota Mining & Manufacturing
Co. .............................. 6,520
----------
15,194
----------
Pharmaceuticals (0.4%):
100 Elan Corporation PLC (b)(c)......... 2,775
35 Pharmacia & Upjohn, Inc. ........... 1,988
----------
4,763
----------
Raw Materials (4.1%):
100 Air Products & Chemical, Inc. ...... 4,025
50 B. F. Goodrich Co. (c).............. 2,125
300 Du Pont (EI) De Nemours & Co. ...... 20,494
102 Lyondell Chemical Co. .............. 2,097
150 Monsanto Co. ....................... 5,916
150 Nalco Chemical Co. ................. 7,781
100 Praxair, Inc. ...................... 4,894
----------
47,332
----------
Retail (2.8%):
79 Albertsons, Inc. ................... 4,061
158 CVS Corp. .......................... 8,019
50 Lowe's Co. ......................... 2,834
190 McDonald's Corp. ................... 7,849
200 Sears Roebuck & Co. ................ 8,912
----------
31,675
----------
Shelter (2.2%):
150 International Paper Co. ............ 7,575
300 Masco Corp. (c)..................... 8,663
127 Weyerhaeuser Co. ................... 8,731
----------
24,969
----------
Technology (6.6%):
200 Compaq Computer Corp. .............. 4,738
250 International Business Machines..... 32,312
150 LSI Logic Corp. (b)................. 6,919
75 Micron Technology, Inc. (b)......... 3,023
100 Motorola, Inc. ..................... 9,475
84 Texas Instruments, Inc. ............ 12,180
100 United Technologies Corp. .......... 7,169
----------
75,816
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Tobacco (3.0%):
447 Nabisco Group Holdings.............. $ 8,752
525 Philip Morris Cos., Inc. ........... 21,098
149 R.J. Reynolds Tobacco (b)........... 4,698
----------
34,548
----------
Transportation (0.2%):
90 Burlington Northern Santa Fe
Corp. ............................ 2,790
----------
Utilities (15.3%):
163 Allegheny Energy, Inc. ............. 5,226
100 Ameritech Corp. .................... 7,350
300 AT&T Corp. (c)...................... 16,744
200 BellSouth Corp. .................... 9,375
100 Centurytel, Inc. ................... 3,975
150 Cinergy Corp. ...................... 4,800
100 CMS Energy Corp. ................... 4,188
250 Constellation Energy Group.......... 7,406
250 Edison International................ 6,688
201 El Paso Energy Corp. ............... 7,086
100 Entergy Corp. ...................... 3,125
150 General Public Utilities Corp. ..... 6,328
200 MCI Worldcom, Inc. (b).............. 17,249
115 New Century Energies, Inc. ......... 4,475
100 Peco Energy Corp. .................. 4,206
72 Pinnacle West Capital............... 2,898
200 Public Service Enterprises, Inc. ... 8,175
50 Qwest Communications International
(b)............................... 1,653
224 SBC Communications, Inc. ........... 12,992
87 Southern Co. ....................... 2,306
300 Sprint Corp. ....................... 15,844
75 Sprint Corp. PCS (b)................ 4,284
200 Texas Utilities Corp. .............. 8,250
266 Williams Co., Inc. (c).............. 11,341
----------
175,964
----------
Total Common Stocks 1,134,489
----------
INVESTMENT COMPANIES (3.0%):
34,637 One Group Prime Money Market Fund,
Class I........................... 34,637
----------
Total Investment Companies 34,637
----------
SHORT-TERM SECURITIES HELD AS COLLATERAL (2.4%):
Master Notes (0.2%):
$ 941 Bear Stearns Mortgage Capital,
6.27%, 7/6/99*.................... 941
471 Merrill Lynch, 6.20%, 7/1/99*....... 471
</TABLE>
Continued
74
<PAGE> 77
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
LARGE CAP VALUE FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Master Notes, continued:
$ 282 NationsBanc Capital Markets, 6.20%,
7/1/99*........................... $ 282
942 Willamette Industries, Inc., 5.07%,
9/14/99*.......................... 942
----------
2,636
----------
Put Bonds (1.7%):
1,254 Amex Centurion, 5.11%, 2/18/00*..... 1,254
628 Branch Banking & Trust, 5.14%,
12/10/99*......................... 628
408 Branch Banking & Trust, 5.14%,
5/25/00*.......................... 408
940 Caterpillar Financial, 5.20%,
5/1/01*........................... 940
785 Chase Manhattan, 5.26%, 5/6/02*..... 785
722 Evangelical Lutheran, 5.30%,
4/28/00*.......................... 721
785 Fleet National Bank, 5.07%,
4/18/00*.......................... 785
785 GMAC, 5.22%, 5/3/01*................ 785
7,287 Goldman Sachs, 5.28%, 11/21/00...... 7,287
314 J.P. Morgan & Co., 5.10%, 5/4/00*... 314
785 J.P. Morgan & Co., 5.16%, 5/4/01*... 785
785 Lehman Brothers, 5.20%, 7/20/00*.... 785
314 Liberty Lighthouse, 5.15%,
5/5/00*........................... 314
785 Merrill Lynch, 5.31%, 5/6/02*....... 785
361 Salomon Smith Barney, 5.44%,
2/5/01*........................... 361
785 Sigma Finance, Inc., 5.14%,
3/31/00*.......................... 785
940 SPARCC, 5.38%, 3/24/00*............. 940
----------
18,662
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Repurchase Agreements (0.5%):
$ 2,354 Goldman Sachs, 6.09%, 7/1/99,
(Collateralized by $2,496 various
Corporate Bonds, 5.33% - 9.88%,
10/1/99 - 10/30/45, market value
$2,484)........................... $ 2,354
274 Lehman Brothers, 5.85%, 7/1/99,
(Collateralized by $288 various
Commercial Papers, 0.00% - 5.06%,
9/20/99 - 10/4/99, market value
$288)............................. 274
1,883 Lehman Brothers, 6.25%, 7/1/99,
(Collateralized by $50 various
Equity Securities, market value
$1,987)........................... 1,883
1,569 Merrill Lynch, 6.10%, 7/1/99,
(Collateralized by $1,651 various
Commerical Papers, 0.00% - 5.12%,
7/8/99 - 8/2/99, market value
$1,648)........................... 1,569
----------
6,080
----------
Total Short-Term Securities Held as Collateral 27,378
----------
Total (Cost $928,958) (a) $1,196,504
==========
</TABLE>
- ------------
Percentages indicated are based on net assets of $1,149,146.
(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 $3,656. 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...................... $279,734
Unrealized depreciation...................... (15,844)
--------
Net unrealized appreciation.................. $263,890
========
</TABLE>
(b) Non-income producing securities.
(c) A portion of this security was loaned as of June 30, 1999.
* 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, 1999.
See notes to financial statements.
75
<PAGE> 78
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
EQUITY INCOME FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS (94.2%):
Auto Parts (0.2%):
115 Bandag, Inc. ....................... $ 3,234
----------
Beverages & Tobacco (2.6%):
350 Coca-Cola Co. ...................... 21,875
100 Diageo Plc Sponsored ADR (b)........ 4,300
300 PepsiCo, Inc. ...................... 11,606
----------
37,781
----------
Business Equipment & Services (1.0%):
146 Automatic Data Processing, Inc. .... 6,424
225 Dun & Bradstreet.................... 7,973
----------
14,397
----------
Capital Goods (8.0%):
185 Browning-Ferris Industries, Inc. ... 7,955
200 Cooper Industries, Inc. ............ 10,400
215 Emerson Electric Co. ............... 13,518
560 General Electric Co. ............... 63,279
60 Honeywell, Inc. (b)................. 6,953
130 Johnson Controls, Inc. ............. 9,011
200 Sherwin-Williams Co. ............... 5,550
----------
116,666
----------
Consumer Durable (1.0%):
250 Ford Motor Co. ..................... 14,109
----------
Consumer Goods & Services (2.5%):
70 General Mills, Inc. ................ 5,626
210 Kimberly Clark Corp. ............... 11,970
314 Masco Corp. ........................ 9,062
75 Mattel.............................. 1,983
281 Sonoco Products Co. ................ 8,412
----------
37,053
----------
Consumer Non-Durable (8.2%):
200 Campbell Soup Co. .................. 8,975
55 Clorox Co. ......................... 5,875
400 ConAgra, Inc. ...................... 10,650
100 Eastman Kodak Co. .................. 6,775
150 Enesco Group, Inc. ................. 3,469
125 H.J. Heinz Co. ..................... 6,266
90 International Flavors & Fragrances,
Inc. (b).......................... 3,994
180 McCormick & Co., Inc. .............. 5,681
190 National Presto Industries, Inc. ... 7,268
500 Philip Morris Co., Inc. ............ 20,093
215 Proctor & Gamble Co. ............... 19,188
175 Quaker Oats Co. .................... 11,616
88 Russ Berrie & Co., Inc. ............ 2,166
300 Sara Lee Corp. ..................... 6,806
----------
118,822
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Consumer Services (0.7%):
200 McGraw-Hill Co., Inc. .............. $ 10,788
----------
Energy (9.5%):
125 Atlantic Richfield Co. ............. 10,445
200 BP Amoco ADR (b).................... 21,700
60 El Paso Energy Corp. ............... 2,111
370 Exxon Corp. ........................ 28,536
165 Halliburton Co. .................... 7,466
299 Mobil Corp. ........................ 29,562
350 Royal Dutch Petroleum Co. .......... 21,088
325 Southwest Gas Corp. ................ 9,303
135 Texaco, Inc. ....................... 8,406
----------
138,617
----------
Financial Services (17.8%):
200 Allstate Corp. ..................... 7,175
150 American Express Co. ............... 19,519
100 Associates First Capital, Class A... 4,431
377 Bank of America Corp. .............. 27,608
140 Chase Manhattan Corp. .............. 12,128
638 Citigroup, Inc. .................... 30,281
440 Fannie Mae.......................... 30,085
250 First Tennessee National Corp.
(b)............................... 9,578
200 First Union Corp. .................. 9,400
6 Franchise Finance Corp. of
America........................... 139
70 J.P. Morgan & Co., Inc. ............ 9,835
230 Lincoln National Corp. ............. 12,032
185 National City Corp. ................ 12,118
720 Pacific Century Financial Corp. .... 15,525
180 Reliastar Financial Corp. .......... 7,875
180 SouthTrust Corp. ................... 6,908
120 TransAmerica Corp. ................. 9,000
375 U.S. Bancorp........................ 12,750
475 Wells Fargo Co. .................... 20,306
----------
256,693
----------
Health Care (12.3%):
285 Abbott Labs......................... 12,968
425 American Home Products Co. ......... 24,438
245 Baxter International, Inc. ......... 14,853
390 Bristol-Myers Squibb Co. ........... 27,470
205 Johnson & Johnson................... 20,090
370 Merck & Co., Inc. .................. 27,379
170 Pfizer, Inc. ....................... 18,658
315 Schering Plough Corp. .............. 16,695
240 Warner Lambert Co. ................. 16,650
----------
179,201
----------
</TABLE>
Continued
76
<PAGE> 79
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
EQUITY INCOME FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Industrial Goods & Services (0.9%):
200 Air Products & Chemical, Inc. ...... $ 8,050
105 NCH Corp. .......................... 5,198
----------
13,248
----------
Insurance (1.9%):
77 American National Insurance Co. .... 5,501
195 Financial Security Assurance
Hldgs............................. 10,140
275 Safeco Corp. (b).................... 12,134
----------
27,775
----------
Medical Equipment & Supplies (0.3%):
125 Becton, Dickinson & Co. ............ 3,750
----------
Multi-Industry (0.4%):
70 Minnesota Mining & Manufacturing
Co. .............................. 6,086
----------
Raw Materials (2.1%):
100 Dow Chemical Co. ................... 12,688
260 Du Pont (EI) de Nemours & Co. ...... 17,761
----------
30,449
----------
Real Estate Investment Trust (3.1%):
209 Amli Residential Properties Trust... 4,666
90 Archstone Communities Trust......... 1,981
48 Avalon Bay Communities, Inc. ....... 1,783
46 Boston Properties, Inc. (b)......... 1,639
51 Camden Property Trust............... 1,418
45 Carramerica Realty Corp. ........... 1,130
63 CBL & Associates Properties......... 1,659
40 Chelsea GCA Realty, Inc. (b)........ 1,485
50 Colonial Properties Trust........... 1,404
51 Developers Diversified Realty
Corp. ............................ 848
49 Duke Realty Investments, Inc. ...... 1,099
101 Equity Office Properties Trust
(b)............................... 2,583
43 Equity Residential Properties
Trust............................. 1,939
40 Highwoods Properties................ 1,100
5 Kimco Realty........................ 180
74 Liberty Property Trust.............. 1,848
35 Macerich Co. ....................... 916
65 Mack Cali Realty Corp. ............. 2,008
62 Mills Corp. ........................ 1,353
75 Prentiss Properties Trust........... 1,763
57 Public Storage, Inc. ............... 1,590
29 Shurgard Storage Centers............ 781
33 Simon Property Group,Inc. .......... 832
49 Spieker Properties, Inc. ........... 1,905
76 Starwood Hotels & Resorts
Worldwide......................... 2,323
77 Summit Properties, Inc. ............ 1,517
84 Taubman Centers, Inc. .............. 1,106
55 Vornado Realty Trust................ 1,925
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Real Estate Investment Trust, continued:
32 Weeks Corp. ........................ $ 985
----------
45,766
----------
Retail (2.7%):
230 Albertsons, Inc. (b)................ 11,860
125 Fortune Brands, Inc. ............... 5,172
233 May Department Stores Co. .......... 9,503
180 Wal-Mart Stores, Inc. .............. 8,685
160 Walgreen Co. ....................... 4,700
----------
39,920
----------
Technology (6.8%):
100 Boeing Co. ......................... 4,419
150 Hewlett Packard Co. ................ 15,075
300 International Business Machines..... 38,774
450 Lockheed Martin Corp. .............. 16,762
120 United Technologies Corp. .......... 8,603
250 Xerox Corp. ........................ 14,766
----------
98,399
----------
Transportation (1.2%):
200 Canadian National Railway Co. (b)... 13,400
115 Norfolk Southern Corp. ............. 3,464
----------
16,864
----------
Utilities (11.0%):
100 Ameritech Corp. .................... 7,350
465 AT&T Corp. ......................... 25,953
115 Bell Atlantic....................... 7,518
370 BellSouth Corp. .................... 17,344
200 Central & South West Corp. ......... 4,675
160 Entergy Corp. ...................... 5,000
300 GTE Corp. .......................... 22,706
220 L G & E Energy Corp. ............... 4,628
145 New Century Energies, Inc. ......... 5,628
215 Northern States Power Co. .......... 5,200
500 SBC Communications, Inc. ........... 29,000
300 Sierra Pacific Resources............ 10,913
260 Sprint Corp. ....................... 13,731
----------
159,646
----------
Total Common Stocks 1,369,264
----------
CONVERTIBLE BONDS (2.3%):
Health Care (0.5%):
$ 5,000 Alza Corp., 5.00%, 5/1/06........... 6,856
----------
Industrial Goods & Services (0.4%):
5,500 Athena Neuroscience, 4.75%, 11/15/04
(b)............................... 5,803
----------
</TABLE>
Continued
77
<PAGE> 80
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
EQUITY INCOME FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
CONVERTIBLE BONDS, CONTINUED:
Shelter (0.6%):
$ 9,500 Hilton Hotels Corp., 5.00%,
5/15/06........................... $ 8,669
----------
Utilities (0.8%):
125 El Paso Energy Corp., 4.75%,
3/31/28........................... 6,187
5,000 Waste Management, 2.00%,
1/24/05........................... 5,481
----------
11,668
----------
Total Convertible Bonds 32,996
----------
PREFERRED STOCKS (2.7%):
Capital Goods (0.6%):
310 Ingersoll-Rand Co. ................. 9,300
----------
Consumer Goods & Services (0.8%):
550 Mattel, Inc. ....................... 5,500
130 Ralston Purina...................... 6,045
----------
11,545
----------
Financial Services (0.9%):
145 Newell Financial Trust.............. 8,029
85 St. Paul Capital.................... 4,994
----------
13,023
----------
Gas & Electric Utility (0.4%):
331 Avista Corp. (b).................... 5,632
----------
Total Preferred Stocks 39,500
----------
INVESTMENT COMPANIES (0.4%):
5,843 One Group Prime Money Market Fund,
Class I........................... 5,843
----------
Total Investment Companies 5,843
----------
SHORT-TERM SECURITIES HELD AS COLLATERAL (3.8%):
Master Notes (0.4%):
$ 1,938 Bear Stearns Mortgage Capital,
6.27%, 7/6/99*.................... 1,938
969 Merrill Lynch, 6.20%, 7/1/99*....... 969
581 NationsBanc Capital Markets, 6.20%,
7/1/99*........................... 581
1,939 Willamette Industries, Inc., 5.07%,
9/14/99*.......................... 1,939
----------
5,427
----------
Put Bonds (2.5%):
2,585 Amex Centurion, 5.11%, 2/18/00*..... 2,585
1,292 Branch Banking & Trust, 5.14%,
12/10/99*......................... 1,292
840 Branch Banking & Trust, 5.14%,
5/25/00*.......................... 839
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Put Bonds, continued:
$ 1,938 Caterpillar Financial, 5.20%,
5/1/01*........................... $ 1,938
1,615 Chase Manhattan, 5.26%, 5/6/02*..... 1,615
1,486 Evangelical Lutheran, 5.30%,
4/28/00*.......................... 1,483
1,615 Fleet National Bank, 5.07%,
4/18/00*.......................... 1,615
1,615 GMAC, 5.22%, 5/3/01*................ 1,615
13,600 Greenwich Capital Markets, 5.41%,
7/9/01*........................... 13,600
646 J.P. Morgan & Co., 5.10%, 5/4/00*... 646
1,615 J.P. Morgan & Co., 5.16%, 5/4/01*... 1,615
1,615 Lehman Brothers, 5.20%, 7/20/00*.... 1,615
646 Liberty Lighthouse, 5.15%,
5/5/00*........................... 646
1,615 Merrill Lynch, 5.31%, 5/6/02*....... 1,615
743 Salomon Smith Barney, 5.44%,
2/5/01*........................... 743
1,615 Sigma Finance, Inc., 5.14%,
3/31/00*.......................... 1,615
1,938 SPARCC, 5.38%, 3/24/00*............. 1,938
----------
37,015
----------
Repurchase Agreements (0.9%):
4,846 Goldman Sachs, 6.09%, 7/1/99,
(Collateralized by $5,139 various
Corporate Bonds, 5.33%-9.88%,
10/1/99 - 10/30/99, market value
$5,114)........................... 4,846
3,876 Lehman Brothers, 6.25%, 7/1/99,
(Collateralized by $103 various
Equity Securities, market value
$4,092)........................... 3,876
565 Lehman Brothers, 5.85%, 7/1/99,
(Collateralized by $593 various
Commercial Papers, 0.00%-5.06%,
9/20/99 - 10/4/99, market value
$593)............................. 565
3,230 Merrill Lynch, 6.10%, 7/1/99,
(Collateralized by $3,400 various
Commerical Papers, 0.00%-5.12%,
7/8/99 - 8/2/99, market value
$3,392)........................... 3,230
----------
12,517
----------
Total Short-Term Securities Held as Collateral 54,959
----------
Total (Cost $911,774) (a) $1,502,562
==========
</TABLE>
Continued
78
<PAGE> 81
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
EQUITY INCOME FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
- ------------
Percentages indicated are based on net assets of $1,453,275.
(a) Represents cost for financial reporting purposes and differs from value by
net unrealized appreciation of securities as follows (amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $611,516
Unrealized depreciation...................... (20,728)
--------
Net unrealized appreciation.................. $590,788
========
</TABLE>
(b) A portion of this security was loaned as of June 30, 1999.
ADR American Depository Receipt
* 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, 1999.
See notes to financial statements.
79
<PAGE> 82
- --------------------------------------------------------------------------------
One Group Mutual Funds
Diversified Equity Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMERCIAL PAPER (1.1%):
Financial Services (1.1%):
$27,000 GE Capital Corp., 5.04%, 9/15/99.... $ 26,995
----------
Total Commercial Paper 26,995
----------
COMMON STOCKS (98.6%):
Business Equipment & Services (2.0%):
465 Automatic Data Processing, Inc. .... 20,464
296 Electronic Data Systems Corp. ...... 16,737
218 Waste Management, Inc. ............. 11,723
----------
48,924
----------
Capital Goods (6.2%):
740 General Electric Co. ............... 83,619
192 Johnson Controls, Inc. ............. 13,308
217 Lancaster Colony Corp. ............. 7,473
277 Mark IV Industries, Inc. ........... 5,852
368 Tyco International Ltd. (c)......... 34,906
223 York International Corp. ........... 9,556
----------
154,714
----------
Consumer Durable (1.5%):
93 Delphi Automotive Systems Corp. .... 1,729
238 Ford Motor Co. ..................... 13,432
133 General Motors Corp. ............... 8,798
70 Lear Corp. (b)...................... 3,468
117 SPX Corp. (b)....................... 9,778
----------
37,205
----------
Consumer Non-Durable (7.9%):
248 Anheuser Busch Co., Inc. ........... 17,607
224 Bestfoods........................... 11,098
298 Coca Cola Enterprises (c)........... 8,854
131 Coca-Cola Co. ...................... 8,200
539 ConAgra, Inc. ...................... 14,362
85 General Mills, Inc. ................ 6,848
314 McDonald's Corp. ................... 12,972
303 Newell Rubbermaid, Inc. (c)......... 14,076
458 PepsiCo, Inc. ...................... 17,699
850 Philip Morris Co., Inc. ............ 34,142
123 Procter & Gamble Co. ............... 10,978
190 Quaker Oats Co. .................... 12,631
82 Revlon, Inc., Class A (b)(c)........ 2,471
476 Sara Lee Corp. ..................... 10,795
129 U.S. Foodservices (b)............... 5,499
115 Whirlpool Corp. .................... 8,495
----------
196,727
----------
Consumer Services (5.3%):
245 Boeing Co. ......................... 10,808
242 Gannett Co., Inc. .................. 17,294
164 Hilton Hotels Corp. (c)............. 2,328
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Consumer Services, continued:
396 Mattel, Inc. (c).................... $ 10,464
183 MGM Grand, Inc. (b)(c).............. 8,982
459 New York Times Co. ................. 16,882
216 Promus Hotel Corp. (b).............. 6,693
394 Time Warner, Inc. (c)............... 28,354
355 Viacom, Inc., Class B (b)........... 15,602
464 Walt Disney Co. .................... 14,297
----------
131,704
----------
Energy (5.4%):
175 BP Amoco PLC. (c)................... 18,951
255 Exxon Corp. ........................ 19,675
468 Mobil Corp. ........................ 46,371
348 Schlumberger Ltd. .................. 22,163
224 Texaco, Inc. ....................... 14,000
279 Tosco Corp. (c)..................... 7,244
243 Transocean Offshore, Inc. .......... 6,374
----------
134,778
----------
Financial Services (16.4%):
312 Allstate Corp. ..................... 11,193
110 American Express Co. ............... 14,327
364 American International Group,
Inc. ............................. 42,571
268 Associates First Capital, Class A... 11,876
538 Bank of America Corp. .............. 39,435
269 Charter One Financial, Inc. ........ 7,484
228 Chase Manhattan Corp. .............. 19,733
246 Chubb Corp. ........................ 17,083
178 Cigna Corp. ........................ 15,806
1,081 Citigroup, Inc. .................... 51,339
2 Fannie Mae.......................... 137
181 First Tennessee National Corp. ..... 6,927
537 Freddie Mac......................... 31,146
233 Hartford Financial Services Group... 13,558
266 Morgan Stanley Dean Witter
Discover.......................... 27,214
276 National City Corp. ................ 18,098
267 Pacific Century Financial Corp. .... 5,746
242 PNC Bank Corp. ..................... 13,916
143 Reliastar Financial Corp. .......... 6,248
267 SouthTrust Corp. ................... 10,237
138 Summit Bancorp...................... 5,778
925 Wells Fargo Co. .................... 39,522
----------
409,374
----------
Health Care (10.4%):
494 Abbott Laboratories................. 22,477
528 American Home Products Corp. ....... 30,331
314 Becton, Dickinson & Co. ............ 9,408
176 Biomet, Inc. ....................... 6,984
</TABLE>
Continued
80
<PAGE> 83
- --------------------------------------------------------------------------------
One Group Mutual Funds
Diversified Equity Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Health Care, continued:
195 Boston Scientific Corp. (b)......... $ 8,581
646 Bristol-Myers Squibb Co. ........... 45,474
62 Cardinal Health, Inc. .............. 3,963
55 Elan Corp. PLC (b)(c)............... 1,532
152 IMS Health, Inc. ................... 4,744
124 Johnson & Johnson................... 12,152
128 McKesson HBOC, Inc. (c)............. 4,096
193 Medtronic, Inc. .................... 14,999
336 Merck & Co., Inc. .................. 24,857
186 Pfizer, Inc. ....................... 20,446
476 Schering Plough Corp. .............. 25,233
242 Warner-Lambert Co. ................. 16,761
209 Watson Pharmaceutical, Inc. (b)..... 7,321
----------
259,359
----------
Industrial Goods & Services (2.0%):
204 Cabot Corp. ........................ 4,944
276 Cytec Industries, Inc. (b).......... 8,788
135 Eaton Corp. ........................ 12,402
146 Raytheon Co., Class B............... 10,282
165 RPM, Inc. .......................... 2,338
296 Sigma-Aldrich Corp. (c)............. 10,183
----------
48,937
----------
Raw Materials (2.8%):
140 Cordant Technologies, Inc. ......... 6,313
269 Crompton & Knowles Corp. ........... 5,254
327 Du Pont (EI) de Nemours & Co. ...... 22,345
304 Ferro Corp. ........................ 8,356
168 Georgia-Pacific Corp. .............. 7,950
292 Lyondell Chemical Co. .............. 6,023
270 Monsanto Co. ....................... 10,652
49 Rohm & Haas Co.,.................... 2,093
----------
68,986
----------
Retail (6.3%):
242 Abercrombie & Fitch (b)............. 11,635
345 CVS Corp. .......................... 17,504
358 Jones Apparel Group, Inc. (b)....... 12,294
225 Kohl's Corp. (b).................... 17,383
307 Nike, Inc. ......................... 19,412
369 Office Depot, Inc. (b).............. 8,134
252 Saks, Inc. (b)...................... 7,277
380 The Warnaco Group, Inc. ............ 10,154
931 Wal-Mart Stores, Inc. .............. 44,916
259 Williams Sonoma, Inc. (b)........... 9,030
----------
157,739
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Shelter (1.2%):
158 Leggett & Platt, Inc. .............. $ 4,383
502 Masco Corp. ........................ 14,481
234 Pentair, Inc. ...................... 10,683
----------
29,547
----------
Technology (19.2%):
231 America Online (b).................. 25,514
107 Applied Materials, Inc. (b)......... 7,882
196 BMC Software, Inc. (b).............. 10,557
779 Cisco Systems, Inc. (b)............. 50,122
409 Compaq Computer Corp. .............. 9,688
633 Dell Computer Corp. (b)............. 23,428
460 EMC Corp. (b)(c).................... 25,295
329 Hewlett Packard Co. ................ 33,024
951 Intel Corp. ........................ 56,596
522 International Business Machines..... 67,507
390 Lucent Technologies, Inc. (c)....... 26,274
226 Maxim Integrated Products, Inc.
(b)............................... 15,029
1,121 Microsoft Corp. (b)................. 101,119
177 SCI Systems, Inc. (b)............... 8,422
82 Solectron Corp. (b)(c).............. 5,495
185 Tech Data Corp. (b)................. 7,065
144 Xilinx, Inc. (b).................... 8,255
----------
481,272
----------
Utilities (12.0%):
311 AT&T Corp. ......................... 17,376
439 Bell Atlantic....................... 28,693
403 CenturyTel, Inc. ................... 16,019
244 CMS Energy Corp. ................... 10,226
224 El Paso Energy Corp. ............... 7,871
308 Energy East Corp. .................. 8,008
294 Enron Corp. ........................ 24,018
271 Florida Power & Light, Inc. ........ 14,787
135 General Public Utilities Corp. ..... 5,700
554 MCI Worldcom, Inc. (b).............. 47,783
167 Peco Energy Corp. .................. 7,029
417 Pinnacle West Capital Corp. ........ 16,768
224 Qwest Communications International
(b)(c)............................ 7,422
841 SBC Communications, Inc. ........... 48,760
442 Sprint Corp. ....................... 23,327
380 Williams Co. (c).................... 16,178
----------
299,965
----------
Total Common Stocks 2,459,231
----------
</TABLE>
Continued
81
<PAGE> 84
- --------------------------------------------------------------------------------
One Group Mutual Funds
Diversified Equity Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS (0.1%):
U.S. Treasury Bills (0.1%):
$ 1,700 9/23/99 (d)......................... $ 1,682
----------
Total U.S. Treasury Obligations 1,682
----------
INVESTMENT COMPANIES (0.1%):
2,019 One Group Prime Money Market Fund,
Class I........................... 2,019
----------
Total Investment Companies 2,019
----------
SHORT-TERM SECURITIES HELD AS COLLATERAL (3.3%):
Master Notes (0.4%):
$ 3,734 Bear Stearns Mortgage Capital,
6.27%, 7/6/99*.................... 3,734
1,867 Merrill Lynch, 6.20%, 7/1/99*....... 1,867
1,120 NationsBanc Capital Markets, 6.20%,
7/1/99*........................... 1,120
3,734 Willamette Industries, Inc., 5.07%,
9/14/99*.......................... 3,734
----------
10,455
----------
Put Bonds (1.9%):
4,979 Amex Centurion, 5.11%, 2/18/00*..... 4,979
2,489 Branch Banking & Trust, 5.14%,
12/10/99*......................... 2,489
1,618 Branch Banking & Trust, 5.14%,
5/25/00*.......................... 1,617
3,734 Caterpillar Financial, 5.20%,
5/1/01*........................... 3,734
3,111 Chase Manhattan, 5.26%, 5/6/02*..... 3,111
2,862 Evangelical Lutheran, 5.30%,
4/28/00*.......................... 2,858
3,111 Fleet National Bank, 5.07%,
4/18/00*.......................... 3,111
3,111 GMAC, 5.22%, 5/3/01*................ 3,111
1,726 Goldman Sachs, 5.28%, 11/21/00*..... 1,726
1,245 J.P. Morgan & Co., 5.10%, 5/4/00*... 1,245
3,111 J.P. Morgan & Co., 5.16%, 5/4/01*... 3,111
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Put Bonds, continued:
$ 3,111 Lehman Brothers, 5.20%, 7/20/00*.... $ 3,111
1,245 Liberty Lighthouse, 5.15%,
5/5/00*........................... 1,245
3,111 Merrill Lynch, 5.31%, 5/6/02*....... 3,111
1,431 Salomon Smith Barney, 5.44%,
2/5/01*........................... 1,431
3,111 Sigma Finance, Inc., 5.14%,
3/31/00*.......................... 3,111
3,735 SPARCC, 5.38%, 3/24/00*............. 3,735
----------
46,836
----------
Repurchase Agreements (1.0%):
9,334 Goldman Sachs, 6.09%, 7/1/99,
(Collateralized by $9,899 various
Corporate Bond, 5.33% - 9.88%,
10/1/99 - 10/30/45, market value
$9,851)........................... 9,334
7,467 Lehman Brothers, 6.25%, 7/1/99,
(Collateralized by $199 various
Equity Securities, market value
$7,882)........................... 7,467
1,088 Lehman Brothers, 5.85%, 7/1/99,
(Collateralized by $1,143 various
Commercial Papers, 0.00% - 5.06%,
9/20/99 - 10/4/99, market value
$1,143)........................... 1,088
6,223 Merrill Lynch, 6.10%, 7/1/99,
(Collateralized by $6,549 various
Commercial Papers, 0.00% - 5.12%,
7/8/99 - 8/2/99, market value
$6,534)........................... 6,223
----------
24,112
----------
Total Short-Term Securities Held as Collateral 81,403
----------
Total (Cost $1,957,473) (a) $2,571,330
==========
</TABLE>
Continued
82
<PAGE> 85
- --------------------------------------------------------------------------------
One Group Mutual Funds
Diversified Equity Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
- ------------
Percentages indicated are based on net assets of $2,490,738.
(a) Represents cost for financial reporting purposes and differs from cost
basis for federal income tax purposes by the amount of losses reorganized
for financial reporting purposes in excess of federal income tax reporting
of approximately $241. 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...................... $641,492
Unrealized depreciation...................... (27,876)
--------
Net unrealized appreciation.................. $613,616
========
</TABLE>
(b) Non-income producing securities.
(c) A portion of this security was loaned as of June 30, 1999.
(d) Serves as collateral for futures contracts.
* 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,
1999.
<TABLE>
<CAPTION>
CURRENT
OPENING MARKET
NUMBER OF POSITIONS VALUE
CONTRACTS CONTRACT TYPE (000) (000)
- --------- ------------- --------- -------
<C> <S> <C> <C>
84 Long S&P 500, September 1999 Futures $27,723 $29,016
</TABLE>
See notes to financial statements.
83
<PAGE> 86
- --------------------------------------------------------------------------------
One Group Mutual Funds
Balanced Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
ASSET BACKED SECURITIES (6.1%):
Financial Services (6.1%):
$ 1,000 Advanta Automobile Receivables Trust,
Series 1998-1, Class A2, 6.09%,
12/15/03........................... $ 996
2,035 Advanta Equipment Receivables,
Series 1998-1, Class A4, 5.98%,
12/15/06........................... 2,028
685 Advanta Equipment Receivables,
Series 1998-1, Class A2, 5.82%,
12/15/06........................... 681
909 Advanta Mortgage Loan Trust,
Series 1997-2, Class A2, 7.05%,
5/25/21............................ 914
400 Americredit Automobile Receivables
Trust, Series 1997-C, Class A3,
6.30%, 7/5/03...................... 403
700 Arcadia Automobile Receivables Trust,
Series 1997-C, Class A5, 6.55%,
6/15/05............................ 706
2,000 BankBoston RV Asset Backed Trust,
Series 1997-1, Class A6, 6.44%,
1/15/07............................ 2,005
900 Barnett Auto Trust, Series 1997-A,
Class A5, 6.26%, 2/15/03........... 903
411 Capita Equipment Receivables Trust,
Series 1996-1, Class A4, 6.28%,
6/15/00............................ 412
1,500 Capita Equipment Receivables Trust,
Series 1997-1, Class A4, 6.19%,
2/15/02............................ 1,507
610 Case Equipment Loan Trust,
Series 1998-B, Class A3, 5.81%,
5/15/03............................ 610
234 Case Equipment Loan Trust,
Series 1996-B, Class A3, 6.65%,
9/15/03............................ 235
2,000 Chemical Master Credit Card Trust,
Series 1995-2, Class A, 6.23%,
6/15/03............................ 2,012
432 Copelco Capital Funding Corp.,
Series 1996-A, Class A, 6.34%,
7/20/04............................ 433
400 Dayton Hudson Credit Card Master
Trust, Series 1997-1, Class A,
6.25%, 8/25/05..................... 399
200 EQCC Home Equity Loan Trust,
Series 1998-1, Class A3F, 6.23%,
12/15/12........................... 200
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
ASSET BACKED SECURITIES, CONTINUED:
Financial Services, continued:
$ 267 EQCC Home Equity Loan Trust,
Series 1997-2, Class A7, 6.89%,
2/15/20............................ $ 270
750 EQCC Home Equity Loan Trust,
Series 1998-2, Class A4F, 6.33%,
1/15/22............................ 744
670 EQCC Home Equity Loan Trust,
Series 1998-2, Class A6F, 6.16%,
4/15/08............................ 658
1,107 Fleetwood Credit Corp Grantor Trust,
Series 1997-B, Class A, 6.40%,
5/15/13............................ 1,112
242 Green Tree Financial Corp.,
Series 1994-1, Class A3, 6.90%,
4/15/19............................ 243
471 Green Tree Financial Corp.,
Series 1997-1, Class A3, 6.23%,
3/15/28............................ 472
432 Green Tree Financial Corp.,
Series 1996-3, Class A3, 6.70%,
5/15/27............................ 434
742 Green Tree Financial Corp.,
Series 1996-7, Class A4, 6.80%,
10/15/27........................... 748
1,000 Green Tree Home Improvement Loan
Trust, Series 1996-C, Class HEA3,
7.55%, 6/15/26..................... 1,011
125 Green Tree Recreational, Equipment
and Consulting, Series 1998-C,
Class A3, 5.92%, 2/15/09........... 125
200 Green Tree Recreational, Equipment
and Consulting, Series 1998-B,
Class A5, 6.10%, 12/15/13.......... 199
507 Green Tree Recreational, Equipment
and Consulting, 5.55%, 2/15/18..... 502
350 Household Affinity Credit Card Master
Trust, Series 1993-2, Class A,
5.60%, 5/15/02..................... 350
200 Key Auto Finance Trust, Series 97-2,
Class A5, 6.25%, 10/15/03.......... 201
425 MBNA Master Credit Card Trust,
Series 1995-F, Class A, 6.60%,
1/15/03............................ 430
335 MBNA Master Credit Card Trust,
Series 1995-D, Class A, 6.05%,
11/15/02........................... 337
512 Olympic Automobile Receivables Trust,
Series 1996-D, Class A4, 6.05%,
8/15/02............................ 514
</TABLE>
Continued
84
<PAGE> 87
- --------------------------------------------------------------------------------
One Group Mutual Funds
Balanced Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
ASSET BACKED SECURITIES, CONTINUED:
Financial Services, continued:
$ 797 Olympic Automobile Receivables Trust,
Series 1996-B, Class A4, 6.70%,
3/15/02............................ $ 802
2,000 Onyx Acceptance Grantor Trust,
Series 1998-A, Class CTFS, 5.99%,
1/15/05............................ 1,982
1,000 Premier Auto Trust, Series 1996-4,
Class A4, 6.45%, 10/6/01........... 1,005
133 Premier Auto Trust, Series 1997-2,
Class A3, 6.15%, 9/6/00............ 133
2,500 SLM Student Loan Trust, Series
1999-1, Class A1T, 5.76%,
4/25/08............................ 2,499
198 The Money Store Auto Grantor Trust,
Series 1996-2, Class A3, 6.25%,
6/20/03............................ 199
595 The Money Store Home Equity Trust,
Series 1997-C, Class AF5, 6.54%,
6/15/21............................ 598
474 The Money Store Home Equity Trust,
Series 1996-B, Class A8, 7.91%,
5/15/24............................ 484
400 The Money Store Home Equity Trust,
Series 1996-A, Class A8, 7.66%,
8/15/26............................ 405
5 The Money Store Home Equity Trust,
Series 1993-C, 5.18%, 7/15/06...... 5
2,000 Union Acceptance Corp., Series
1998-B, Class A5, 6.02%, 1/9/06.... 1,988
505 World Omni Automobile Lease
Securitization Trust, Series
1996-A, Class A2, 6.55%, 6/25/02... 506
--------
Total Asset Backed Securities 33,400
--------
COMMERCIAL PAPER (4.4%):
Financial Services (4.4%):
24,000 GE Capital Corp., 5.04%, 9/15/99..... 23,996
--------
Total Commercial Paper 23,996
--------
COMMON STOCKS (51.9%):
Business Equipment & Service (0.3%):
30 Waste Management, Inc. .............. 1,596
--------
Capital Goods (2.8%):
88 General Electric Co. ................ 9,933
33 Mark IV Industries, Inc. ............ 691
16 Southdown, Inc. ..................... 1,002
22 Trinity Industries................... 750
33 Tyco International, Ltd. ............ 3,155
--------
15,531
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Consumer Durable (0.9%):
29 Ford Motor Co. ...................... $ 1,652
23 Lear Corp. (b)....................... 1,134
14 SPX Corp. (b)........................ 1,177
25 York International Corp. ............ 1,053
--------
5,016
--------
Consumer Non-Durable (4.1%):
49 Coca Cola Enterprises (c)............ 1,446
20 Coca-Cola Co. ....................... 1,250
64 ConAgra, Inc. ....................... 1,691
18 General Mills, Inc. ................. 1,471
50 Interstate Bakeries Corp. ........... 1,124
43 Lancaster Colony Corp. .............. 1,470
100 Philip Morris Co., Inc. ............. 4,018
29 Proctor & Gamble Co. ................ 2,606
28 Quaker Oats Co. ..................... 1,852
81 Revlon, Inc. (b) (c)................. 2,450
65 Sara Lee Corp. ...................... 1,477
36 Shaw Industries, Inc. (b)............ 599
26 U.S. Foodservices (b)................ 1,108
--------
22,562
--------
Consumer Services (3.8%):
28 Anheuser Busch Co., Inc.............. 1,979
16 Eaton Corp. ......................... 1,454
20 Georgia Pacific Corp. ............... 933
81 Hilton Hotels Corp. (c).............. 1,146
50 Mattel, Inc. ........................ 1,325
28 MGM Grand, Inc. (b).................. 1,377
41 New York Times Co. .................. 1,524
21 Newell Rubbermaid, Inc. ............. 986
36 Nike, Inc. .......................... 2,292
35 Promus Hotel Corp. (b)............... 1,091
47 Time Warner, Inc. ................... 3,355
40 Viacom, Inc. (b)..................... 1,769
57 Walt Disney Co. ..................... 1,750
--------
20,981
--------
Energy (3.4%):
73 Exxon Corp. ......................... 5,599
32 Halliburton Co. ..................... 1,453
35 Lyondell Chemical Co. ............... 722
21 Mobil Corp. ......................... 2,039
49 Royal Dutch Petroleum, NY Shares..... 2,922
31 Texaco, Inc. ........................ 1,963
46 Tosco Corp. (c)...................... 1,183
44 Transocean Offshore, Inc. ........... 1,163
50 USX-Marathon Group................... 1,618
--------
18,662
--------
</TABLE>
Continued
85
<PAGE> 88
- --------------------------------------------------------------------------------
One Group Mutual Funds
Balanced Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Financial Services (8.5%):
37 Allstate Corp. ...................... $ 1,313
13 American Express Co. ................ 1,679
40 American International Group,
Inc. .............................. 4,651
39 Associates First Capital, Class A.... 1,715
64 BankAmerica Corp. ................... 4,669
44 Charter One Financial, Inc. ......... 1,227
28 Chase Manhattan Corp. ............... 2,417
17 Cigna Corp. ......................... 1,469
132 Citigroup Inc. ...................... 6,288
33 Federal Home Loan Mortgage Corp. .... 1,914
24 Federal National Mortgage Assoc. .... 1,662
21 First Tennessee National Corp. ...... 816
29 Hartford Financial Services Group.... 1,668
34 Morgan Stanley Dean Witter
Discover........................... 3,465
24 National City Corp. ................. 1,565
55 Pacific Century Financial Corp. ..... 1,192
31 PNC Bank Corp. ...................... 1,758
22 Reliastar Financial Corp. ........... 941
32 SouthTrust Corp. .................... 1,236
16 Summit Bancorp....................... 682
103 Wells Fargo Co. ..................... 4,385
--------
46,712
--------
Health Care (5.7%):
25 Abbott Labs.......................... 1,138
49 American Home Products Co. .......... 2,806
45 Becton Dickinson & Co. .............. 1,344
27 Biomet, Inc. ........................ 1,061
34 Boston Scientific Corp. (b).......... 1,507
75 Bristol Myers Squibb Co. ............ 5,255
23 Cardinal Health, Inc. ............... 1,501
16 Elan Corporation PLC (b)(c).......... 455
17 Johnson & Johnson.................... 1,627
27 Medtronic, Inc. ..................... 2,071
40 Merck & Co., Inc. ................... 2,923
44 Pfizer, Inc. ........................ 4,807
36 Schering Plough Corp. ............... 1,919
30 Warner Lambert Co. .................. 2,088
29 Watson Pharmaceutical, Inc. (b)...... 1,013
--------
31,515
--------
Raw Materials (1.7%):
31 Cabot Corp. ......................... 740
28 Cytec Industries, Inc. (b)........... 883
43 Du Pont (EI) de Nemours & Co. ....... 2,924
33 Ferro Corp. ......................... 919
15 Martin Marietta Materials............ 885
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Raw Materials, continued:
31 Monsanto Co. ........................ $ 1,230
54 RPM, Inc. ........................... 762
29 Sigma-Aldrich Corp. ................. 1,009
--------
9,352
--------
Retail (3.1%):
32 Abercrombie & Fitch (b).............. 1,546
41 CVS Corporation...................... 2,060
46 Jones Apparel Group, Inc. (b)........ 1,561
26 Kohl's Corp. (b)..................... 2,007
37 McDonald's Corp. .................... 1,508
36 Saks, Inc. (b)....................... 1,042
109 Wal-Mart Stores, Inc. ............... 5,250
34 Warnaco.............................. 899
35 Williams Sonoma, Inc. (b)............ 1,218
--------
17,091
--------
Shelter (0.6%):
39 Leggett & Platt, Inc. ............... 1,090
36 Masco Corp. ......................... 1,037
26 Pentair, Inc. ....................... 1,199
--------
3,326
--------
Technology (12.3%):
33 America Online (b)................... 3,691
42 Applied Materials, Inc. (b).......... 3,081
22 BMC Software, Inc. (b)............... 1,166
53 Centurytel, Inc. .................... 2,087
85 Cisco Systems, Inc. (b).............. 5,460
18 Cordant Technology................... 800
76 Dell Computer Corp. (b).............. 2,816
53 EMC Corp. (b)........................ 2,904
29 Hewlett Packard Co. ................. 2,935
119 Intel Corp. ......................... 7,069
61 International Business Machines...... 7,832
71 Lucent Technologies, Inc. ........... 4,788
27 Maxim Integrated Products, Inc.
(b)................................ 1,809
132 Microsoft Corp. (b).................. 11,904
17 Nortel Networks Corp. ............... 1,502
16 Raytheon Co. Class B................. 1,112
22 SCI Systems, Inc. (b)................ 1,031
36 Solectron Corp. (b).................. 2,387
22 Tech Data Corp. (b).................. 830
31 Xilinx, Inc. (b)..................... 1,786
--------
66,990
--------
Transportation (0.2%):
18 Kansas City Southern Industries...... 1,129
--------
</TABLE>
Continued
86
<PAGE> 89
- --------------------------------------------------------------------------------
One Group Mutual Funds
Balanced Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Utilities (4.5%):
26 Ameritech Corp. ..................... $ 1,889
35 AT&T Corp. .......................... 1,945
36 Constellation Energy Group........... 1,055
28 El Paso Energy Corp. ................ 968
31 Energy East Corp. ................... 801
22 General Public Utilities Corp. ...... 937
36 L G & E Energy Corp. ................ 746
67 MCI Worldcom, Inc. (b)............... 5,769
20 New Century Energies, Inc. .......... 788
25 Qwest Communications International
(b)................................ 836
77 SBC Communications, Inc. ............ 4,448
60 Sprint Corp. ........................ 3,179
33 Williams Cos., Inc. (c).............. 1,409
--------
24,770
--------
Total Common Stocks 285,233
--------
CORPORATE BONDS (7.2%):
Banking, Finance & Insurance (3.5%):
$ 1,000 Association Corp., 8.27%, 11/8/01.... 1,041
1,000 BankAmerica Corp., 8.13%, 2/1/02..... 1,040
500 Chrysler Financial Corp., 5.88%,
2/7/01............................. 498
1,850 Circuit City Credit Card Master
Trust, 6.38%, 8/15/05.............. 1,865
1,350 Contimortgage Home Equity Loan Trust,
Series 1998-1, Class A6, 6.58%,
12/15/18........................... 1,342
2,000 First Hawaiian, Inc., 6.25%,
8/15/00............................ 2,001
610 Ford Credit Auto Loan Master Trust,
5.50%, 2/15/03..................... 605
500 Ford Motor Credit Corp., 8.38%,
1/15/00............................ 507
250 General Motors Acceptance Corp.,
7.00%, 3/1/00...................... 251
1,250 General Motors Acceptance Corp.,
8.25%, 2/24/04..................... 1,324
2,000 Goldman Sachs Group, 7.20%, 3/1/07,
144 A.............................. 2,017
750 Huntington National Bank, 6.75%,
6/15/03............................ 757
1,000 International Lease Finance Corp.,
5.88%, 1/15/01..................... 997
1,000 KeyCorp, 7.00%, 5/11/05.............. 1,032
500 Lehman Brothers, Inc., 9.88%,
10/15/00........................... 522
800 McDonnell Douglas Corp., 9.30%,
9/11/02............................ 803
307 McDonnell Douglas Corp., 6.45%,
12/5/02............................ 305
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Banking, Finance & Insurance, continued:
$ 250 Nationsbank Texas, 6.75%, 8/15/00.... $ 251
1,000 Society National Bank, 6.75%,
6/15/03............................ 1,002
500 Suntrust Banks, 7.38%, 7/1/02........ 513
--------
18,673
--------
Capital Goods (0.5%):
1,000 Cummins Engine Co., Inc., 6.45%,
3/1/05............................. 954
2,000 Tyco International Group SA, 6.25%,
6/15/03............................ 1,970
--------
2,924
--------
Consumer Durable (0.0%):
250 Ford Motor Co., 9.00%, 9/15/01....... 263
--------
Consumer Non-Durable (0.1%):
250 Anheuser Busch Co., 8.75%, 12/1/99... 253
500 Campbell Soup Co., 5.63%, 9/15/03.... 488
--------
741
--------
Consumer Services (0.8%):
1,627 Hertz, 6.00%, 1/15/03................ 1,585
2,400 Rental Car Finance, 6.45%, 8/25/05... 2,358
--------
3,943
--------
Energy (0.3%):
1,250 Occidental Petroleum, 9.25%,
8/1/19............................. 1,355
500 Union Pacific Co., 7.60%, 5/1/05..... 512
--------
1,867
--------
Governments (Foreign) (0.4%):
2,000 Province of Quebec, 6.50%, 1/17/06... 1,952
--------
Health Care (0.0%):
250 Johnson & Johnson, 7.38%, 6/29/02.... 257
--------
Raw Materials (0.0%):
200 Du Pont (EI) de Nemours & Co., 8.70%,
2/7/01............................. 208
--------
Retail (0.8%):
1,000 Dayton Hudson Corp., 7.25%, 9/1/04... 1,023
2,093 JC Penney, 7.25%, 4/1/02............. 2,123
750 Sears Roebuck Acceptance, 7.13%,
5/2/03............................. 758
--------
3,904
--------
Technology (0.1%):
750 Lockhead Corp., 7.63%, 6/15/04....... 777
--------
Utilities (0.7%):
750 AT&T Corp., 7.50%, 6/1/06............ 781
2,400 Columbia Gas System, 6.80%,
11/28/05........................... 2,364
</TABLE>
Continued
87
<PAGE> 90
- --------------------------------------------------------------------------------
One Group Mutual Funds
Balanced Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Utilities, continued:
$ 250 Duke Power Co., 7.00%, 7/1/00........ $ 252
500 Virginia Electric & Power, 6.63%,
4/1/03............................. 504
--------
3,901
--------
Total Corporate Bonds 39,410
--------
U.S. GOVERNMENT AGENCY (1.5%):
Federal Home Loan Bank (1.5%):
1,000 5.88%, 11/25/08...................... 944
8,000 5.61%, 2/11/09 (c)................... 7,502
--------
Total U.S. Government Agency................... 8,446
--------
U.S. GOVERNMENT AGENCY MORTGAGES (16.1%):
Fannie Mae (6.5%):
2,933 7.24%, 10/1/03, Pool #73712.......... 3,000
5,000 5.88%, 2/2/06 (c).................... 4,897
554 7.00%, 9/1/07, Pool #185265.......... 558
1,298 6.53%, 12/1/07, Pool #375568......... 1,287
1,593 7.50%, 8/1/09, Pool #292020.......... 1,621
640 6.50%, 5/1/11, Pool #337195.......... 633
1,344 6.50%, 4/1/13, Pool #414513.......... 1,328
779 7.00%, 6/1/13, Pool #427488.......... 783
2,000 6.50%, 6/25/13....................... 1,994
2,443 6.00%, 1/1/14, Pool #440777.......... 2,363
94 8.25%, 1/25/18....................... 94
1,584 8.50%, 11/1/18, Pool #313280......... 1,666
710 8.50%, 1/25/20....................... 742
332 8.00%, 7/25/21....................... 342
1,067 7.50%, 7/25/22....................... 1,086
500 7.50%, 10/25/22...................... 509
2,066 8.00%, 11/1/22, Pool #124555......... 2,131
3,774 7.13%, 5/18/23....................... 3,781
570 7.00%, 7/1/25, Pool #317252.......... 566
614 6.50%, 2/1/26, Pool #337115.......... 597
731 7.00%, 3/1/26, Pool #365488.......... 726
950 8.00%, 3/18/26....................... 969
460 7.50%, 5/1/26, Pool #344916.......... 466
583 7.00%, 5/1/26, Pool #346269.......... 579
359 7.50%, 11/1/26, Pool #363626......... 364
958 6.50%, 2/1/28, Pool #417157.......... 929
1,973 6.00%, 8/1/28, Pool #436125.......... 1,861
--------
35,872
--------
Federal National Conventional Loan (0.3%):
886 6.79%, 11/1/07, Pool #313832......... 898
180 8.00%, 6/1/24, Pool #250085.......... 185
344 8.00%, 6/1/24, Pool #270402.......... 354
--------
1,437
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac (3.7%):
$ 1 7.00%, 4/1/00, Pool #253036.......... $ 1
37 10.00%, 9/1/03, Pool #E30407......... 38
31 9.00%, 5/1/06, Pool #B0-0282......... 32
446 8.00%, 7/15/07....................... 447
182 8.00%, 3/1/08, Pool #E45796.......... 188
195 9.00%, 8/1/09, Pool #279063.......... 207
612 7.00%, 1/1/12, Pool #E66116.......... 616
1,299 6.50%, 3/1/13, Pool #E69466.......... 1,285
796 7.00%, 6/1/13, Pool #E00554.......... 801
879 6.50%, 6/1/13, Pool # E00552......... 869
2,482 6.00%, 4/1/14, Pool #E76469.......... 2,404
264 10.50%, 10/1/20, Pool #D24679........ 287
1,486 6.50%, 11/15/22, Pool #1152.......... 1,445
2,000 7.15%, 1/15/23, Pool #1517-I......... 2,002
273 8.00%, 4/1/25, Pool #C00401.......... 281
193 8.00%, 5/1/25, Pool #D60455.......... 198
318 7.00%, 2/1/26, Pool #D69343.......... 316
572 6.50%, 2/1/26, Pool #D68616.......... 556
675 6.50%, 2/1/26, Pool #D68124.......... 656
447 7.00%, 3/1/26, Pool #D69430.......... 444
502 7.50%, 5/1/26, Pool #C00460.......... 509
305 8.50%, 7/1/26, Pool #C00472.......... 319
883 7.00%, 10/1/26, Pool #D75494......... 877
526 7.50%, 12/1/27, Pool #C00542......... 533
1,354 8.50%, 7/1/28, Gold Pool #G00981..... 1,417
1,981 6.00%, 8/1/28, Pool #C13638.......... 1,871
1,592 8.00%, 11/15/28...................... 1,770
--------
20,369
--------
Government National Mortgage Assoc. (5.6%):
222 7.50%, 8/15/07, Pool #329613......... 228
1,876 7.00%, 7/15/08, Pool #348872......... 1,905
282 7.00%, 7/15/08, Pool #326444......... 286
383 6.50%, 7/15/08, Pool #349693......... 382
45 6.50%, 3/15/09, Pool #367398......... 45
1,026 6.50%, 5/15/09, Pool #366779......... 1,024
548 5.50%, 4/20/11, Pool #2222........... 518
5 13.50%, 5/15/11, Pool #047241........ 6
1,938 6.50%, 10/1/13, Pool #468228......... 1,920
13 12.00%, 3/15/14, Pool #109220........ 15
8 13.50%, 9/15/14, Pool #119582........ 9
63 9.00%, 12/15/16, Pool #203620........ 68
58 8.00%, 4/15/17, Pool #192100......... 61
71 10.00%, 7/15/18, Pool #248404........ 77
38 10.00%, 3/15/19, Pool #265770........ 42
27 8.00%, 5/15/22, Pool #329176......... 28
1,544 8.50%, 6/15/22, Pool #323423......... 1,622
783 8.50%, 12/15/22, Pool #780708........ 825
72 6.50%, 1/15/24, Pool #376656......... 70
</TABLE>
Continued
88
<PAGE> 91
- --------------------------------------------------------------------------------
One Group Mutual Funds
Balanced Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Government National Mortgage Assoc., continued:
$ 133 8.00%, 4/15/24, Pool #376038......... $ 137
688 7.00%, 4/15/24, Pool #355120......... 682
421 8.00%, 8/15/24, Pool #394024......... 434
920 7.50%, 6/15/25, Pool #401860......... 933
1,074 7.00%, 8/15/25, Pool #413007......... 1,064
1,755 8.50%, 9/20/25, Pool# 412336......... 1,827
4,721 7.00%, 2/15/26, Pool #426280......... 4,675
800 6.50%, 4/15/26, Pool #424185......... 775
906 6.50%, 4/15/26, Pool #416192......... 879
284 8.00%, 5/15/26, Pool #426783......... 292
416 7.50%, 5/15/26, Pool #375345......... 422
486 7.50%, 5/15/26, Pool #408313......... 493
708 7.00%, 5/15/26, Pool #375344......... 700
210 8.50%, 1/15/27, Pool #432266......... 221
631 8.00%, 9/15/27, Pool #451932......... 649
731 7.50%, 12/15/27, Pool #455358........ 741
938 6.50%, 3/15/28, Pool #430634......... 906
698 7.00%, 4/15/28, Pool #473915......... 690
872 7.50%, 5/15/28, Pool# 465069......... 883
829 7.00%, 6/15/28, Pool #477123......... 820
1,290 8.00%, 7/20/28, Pool #2619........... 1,318
1,964 6.00%, 10/20/28, Pool #2657.......... 1,836
--------
30,508
--------
Total U.S. Government Agency Mortgages 88,186
--------
U.S. TREASURY OBLIGATIONS (9.7%):
U.S. Treasury Bills (0.3%):
1,500 8/19/99 (d).......................... 1,491
--------
U.S. Treasury Bonds (4.0%):
8,000 11.63%, 11/15/02 (c)................. 9,415
8,000 11.75%, 11/15/14 (c)................. 11,388
1,000 7.13%, 2/15/23 (c)................... 1,105
--------
21,908
--------
U.S. Treasury Notes (5.4%):
500 8.50%, 2/15/00 (c)................... 510
2,000 6.25%, 10/31/01 (c).................. 2,029
4,150 6.25%, 2/15/03 (c)................... 4,221
17,000 12.75%, 11/15/10 (c)................. 22,913
--------
29,673
--------
Total U.S. Treasury Obligations 53,072
--------
INVESTMENT COMPANIES (2.7%):
14,681 One Group Prime Money Market Fund,
Class I............................ 14,681
--------
Total Investment Companies 14,681
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL (7.0%):
Master Notes (0.9%):
$ 1,774 Bear Stearns Mortgage Capital, 6.27%,
7/6/99*............................ $ 1,774
887 Merrill Lynch, 6.20%, 7/1/99*........ 887
532 NationsBanc Capital Markets, 6.20%,
7/1/99*............................ 532
1,775 Willamette Industries, Inc., 5.07%,
9/14/99*........................... 1,775
--------
4,968
--------
Put Bonds (4.0%):
2,365 Amex Centurion, 5.11%, 2/18/00*...... 2,365
1,183 Branch Banking & Trust, 5.14%,
12/10/99*.......................... 1,183
769 Branch Banking & Trust, 5.14%,
5/25/00*........................... 768
1,774 Caterpillar Financial, 5.20%,
5/1/01*............................ 1,774
1,479 Chase Manhattan, 5.26%, 5/6/02*...... 1,479
1,360 Evangelical Lutheran, 5.30%,
4/28/00*........................... 1,358
1,479 Fleet National Bank, 5.07%,
4/18/00*........................... 1,479
1,479 GMAC, 5.22%, 5/3/01*................. 1,479
328 Goldman Sachs, 5.28%, 11/21/00*...... 328
591 J.P. Morgan & Co., 5.10%, 5/4/00*.... 591
1,479 J.P. Morgan & Co., 5.16%, 5/4/01*.... 1,479
1,479 Lehman Brothers, 5.20%, 7/20/00*..... 1,479
591 Liberty Lighthouse, 5.15%, 5/5/00*... 591
1,479 Merrill Lynch, 5.31%, 5/6/02*........ 1,479
680 Salomon Smith Barney, 5.44%,
2/5/01*............................ 680
1,479 Sigma Finance, Inc., 5.14%,
3/31/00*........................... 1,479
1,774 SPARCC, 5.38%, 3/24/00*.............. 1,774
--------
21,765
--------
Repurchase Agreements (2.1%):
4,436 Goldman Sachs, 6.09%, 7/1/99,
(Collateralized by $4,704 various
Corporate Bonds, 5.33% - 9.88%,
10/1/99 - 10/30/45, market value
$4,682)............................ 4,436
3,549 Lehman Brothers, 6.25%, 7/1/99,
(Collateralized by $94 various
Equity Securities, market value
$3,746)............................ 3,549
517 Lehman Brothers, 5.85%, 7/1/99,
(Collateralized by $543 various
Commercial Paper, 0.00% - 5.06%,
9/20/99 - 10/4/99, market value
$543).............................. 517
</TABLE>
Continued
89
<PAGE> 92
- --------------------------------------------------------------------------------
One Group Mutual Funds
Balanced Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Repurchase Agreements, continued:
$ 2,957 Merrill Lynch, 6.10%, 7/1/99,
(Collateralized by $3,112 various
Commerical Paper, 0.00% - 5.12%,
7/8/99 - 8/2/99, market value
$3,105)............................ $ 2,957
--------
11,459
--------
Total Short-Term Securities Held as Collateral 38,192
--------
Total (Cost $524,113) (a) $584,616
========
</TABLE>
- ------------
Percentages indicated are based on net assets of $548,317.
(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 $252. 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...................... $68,321
Unrealized depreciation...................... (8,070)
-------
Net unrealized appreciation.................. $60,251
=======
</TABLE>
(b) Non-income producing securities.
(c) A portion of this security was loaned as of June 30, 1999.
(d) Serves as collateral for futures contracts.
<TABLE>
<CAPTION>
CURRENT
OPENING MARKET
NUMBER OF POSITIONS VALUE
CONTRACTS CONTRACT TYPE (000) (000)
- --------- ------------- --------- -------
<C> <S> <C> <C>
76 Long S&P 500, September 1999 Futures $25,082 $26,252
</TABLE>
* 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, 1999.
See notes to financial statements.
90
<PAGE> 93
- --------------------------------------------------------------------------------
One Group Mutual Funds
Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMERCIAL PAPER (0.3%):
Financial Services (0.3%):
$10,000 Lehman Brothers, 5.05%, 9/10/99..... $ 9,896
----------
Total Commercial Paper 9,896
----------
COMMON STOCKS (99.3%):
Business Equipment & Services (1.9%):
140 Automatic Data Processing, Inc. .... 6,162
52 Browning-Ferris Industries, Inc. ... 2,250
20 Canadian Moore Corp., Ltd. ......... 164
40 Ceridian Corp. (b).................. 1,309
45 Computer Sciences Corp. (b)......... 3,081
14 Deluxe Corp. ....................... 541
48 Dun & Bradstreet Corp. ............. 1,708
33 Ecolab, Inc. ....................... 1,433
142 Electronic Data System Corp. ....... 8,032
42 Equifax, Inc. ...................... 1,508
127 First Data Corp. ................... 6,211
34 H & R Block, Inc. .................. 1,695
50 Ikon Office Solutions............... 748
37 Interpublic Group of Companies,
Inc. ............................. 3,192
57 Laidlaw, Inc. ...................... 418
6 National Service Industries,
Inc. ............................. 226
47 Omnicom Group, Inc. ................ 3,760
70 Paychex, Inc. ...................... 2,233
79 Pitney Bowes, Inc. ................. 5,099
38 R.R. Donnelley & Sons Co. (c)....... 1,419
13 Ryder Systems, Inc. ................ 328
78 Service Corporation International... 1,499
165 Waste Management, Inc. ............. 8,841
----------
61,857
----------
Capital Goods (5.6%):
26 Black & Decker Corp. (c)............ 1,673
13 Case Corp. ......................... 615
107 Caterpillar, Inc. .................. 6,399
31 Cooper Industries, Inc. ............ 1,606
23 Crane Co. .......................... 708
6 Cummins Engine, Inc. (c)............ 349
72 Deere & Co. ........................ 2,835
63 Dover Corp. (c)..................... 2,411
124 Emerson Electric Co. ............... 7,784
22 Fluor Corp. ........................ 882
9 Foster Wheeler Corp. ............... 133
922 General Electric Co. ............... 104,167
26 Grainger W.W., Inc. ................ 1,420
12 Harnischfeger Industries, Inc.
(c)............................... 23
37 Honeywell, Inc. .................... 4,309
73 Illinois Tool Works................. 5,975
44 Ingersoll Rand Co. ................. 2,868
25 Johnson Controls, Inc. ............. 1,698
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Capital Goods, continued:
6 Milacron, Inc. ..................... $ 109
1 Nacco Industries, Inc. ............. 104
26 Navistar International Corp. (b).... 1,321
12 Owens-Corning Fiberglass Corp. ..... 427
25 Paccar, Inc. ....................... 1,347
32 Parker-Hannifin Corp. .............. 1,465
52 PPG Industries, Inc. ............... 3,096
45 Sherwin-Williams Co. ............... 1,261
13 Snap-On, Inc. ...................... 479
16 Stanley Works....................... 499
24 Thermo Electron Corp. (b)........... 481
9 Timken Co. ......................... 177
229 Tyco International, Ltd. (c)........ 21,679
----------
178,300
----------
Consumer Durable (1.6%):
43 Autozone, Inc. (b).................. 1,305
3 Briggs & Stratton Corp. ............ 200
33 Cooper Tire & Rubber Co. ........... 770
49 Dana Corp. ......................... 2,259
35 Danaher Corp. ...................... 2,052
129 Delphi Automotive Systems Corp. .... 2,389
21 Eaton Corp. ........................ 1,912
344 Ford Motor Co. ..................... 19,389
184 General Motors Corp. ............... 12,116
49 Genuine Parts Co. .................. 1,731
44 Goodyear Tire & Rubber Co. ......... 2,584
35 ITT Industries, Inc. ............... 1,352
25 Maytag Corp. ....................... 1,757
23 Whirlpool Corp. .................... 1,697
----------
51,513
----------
Consumer Non-Durable (8.2%):
24 Alberto Culver Co., Class B......... 643
11 American Greetings Corp., Class A... 319
140 Anheuser Busch Co. ................. 9,911
169 Archer-Daniels-Midland Co. ......... 2,610
75 Avon Products, Inc. ................ 4,154
11 Ball Corp. ......................... 444
12 Bemis Co. .......................... 477
82 Bestfoods........................... 4,049
17 Brown-Forman Corp., Class B......... 1,119
125 Campbell Soup Co. .................. 5,623
31 Clorox Co. ......................... 3,291
114 Coca Cola Enterprises (c)........... 3,389
691 Coca-Cola Co. ...................... 43,210
83 Colgate Palmolive Co. .............. 8,165
139 ConAgra, Inc. ...................... 3,697
7 Coors Adolph Co., Class B........... 365
</TABLE>
Continued
91
<PAGE> 94
- --------------------------------------------------------------------------------
One Group Mutual Funds
Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Consumer Non-Durable, continued:
34 Crown Cork & Seal Co. .............. $ 983
92 Eastman Kodak Co. .................. 6,240
60 Fort James Corp. ................... 2,266
48 Fortune Brands, Inc. ............... 2,006
21 Fruit of the Loom, Inc. (b)(c)...... 206
45 General Mills, Inc. ................ 3,601
309 Gillette Co. ....................... 12,656
104 H.J. Heinz Co. ..................... 5,196
40 Hershey Foods Corp. ................ 2,395
29 International Flavors & Fragrances,
Inc.(c)........................... 1,301
10 Jostens, Inc. ...................... 202
116 Kellogg Co. (c)..................... 3,831
11 Liz Claiborne, Inc. ................ 417
89 Nabisco Group Holdings.............. 1,749
78 Newell Rubbermaid, Inc. (c)......... 3,620
84 Nike, Inc., Class B................. 5,304
412 PepsiCo, Inc. ...................... 15,930
683 Philip Morris Co., Inc. ............ 27,451
66 Pioneer Hi-Bred International,
Inc. ............................. 2,563
10 Polaroid Corp. ..................... 273
373 Procter & Gamble Co. ............... 33,255
38 Quaker Oats Co. .................... 2,490
29 R.J. Reynolds Tobacco Holdings, Inc.
(b)............................... 927
92 Ralston Purina Group................ 2,796
9 Reebok International Ltd. (b)....... 160
19 Russell Corp. ...................... 380
262 Sara Lee Corp. ..................... 5,955
109 Seagram Co., Ltd. (c)............... 5,476
3 Springs Industries, Inc., Class A... 141
18 Supervalu, Inc. .................... 464
92 Sysco Corp. ........................ 2,741
13 Tupperware Corp. ................... 333
159 Unilever N.V. ...................... 11,088
54 UST, Inc. .......................... 1,574
33 V.F. Corp. ......................... 1,431
33 Wrigley (Wm.) Junior Co. ........... 2,927
----------
261,794
----------
Consumer Services (4.0%):
33 Brunswick Corp. .................... 927
167 Carnival Corp., Class A............. 8,104
202 CBS Corp. (b)(c).................... 8,789
239 Cendant Corp. (b)................... 4,895
73 Clear Channel Communications
(b)(c)............................ 5,027
211 Comcast Corp., Class A.............. 8,116
27 Dow Jones & Co., Inc. .............. 1,434
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Consumer Services, continued:
80 Gannett Co., Inc. .................. $ 5,687
22 Harrah's Entertainment, Inc. (b).... 479
51 Hasbro, Inc. ....................... 1,437
74 Hilton Hotels Corp. (c)............. 1,053
11 King World Productions, Inc. (b).... 383
22 Knight-Ridder, Inc. (c)............. 1,206
71 Marriott International, Class A..... 2,654
81 Mattel, Inc. ....................... 2,149
54 McGraw-Hill Co., Inc. .............. 2,916
169 Media One Group, Inc. (b)(c)........ 12,591
11 Meredith Corp. ..................... 389
31 Mirage Resorts, Inc. (b)............ 525
48 New York Times Co., Class A......... 1,765
344 Time Warner, Inc. .................. 24,773
25 Times Mirror Co., Class A........... 1,494
33 Tribune Co. ........................ 2,897
200 Viacom, Inc., Class B (b)........... 8,781
579 Walt Disney Co. .................... 17,828
----------
126,299
----------
Energy (5.9%):
24 Amerada Hess Corp. ................. 1,451
34 Anadarko Petroleum Corp. ........... 1,253
25 Apache Corp. ....................... 958
21 Ashland, Inc. ...................... 832
92 Atlantic Richfield Co. ............. 7,706
88 Baker Hughes, Inc. ................. 2,935
50 Burlington Northern................. 2,141
184 Chevron Corp. (c)................... 17,505
682 Exxon Corp. ........................ 52,584
125 Halliburton Co. .................... 5,648
10 Helmerich & Payne, Inc. ............ 236
14 Kerr McGee Corp. ................... 704
31 McDermott International, Inc. ...... 866
219 Mobil Corp. ........................ 21,665
99 Occidental Petroleum Corp. ......... 2,091
75 Phillips Petroleum Co. ............. 3,792
82 Reliant Energy, Inc. ............... 2,277
13 Rowan Cos., Inc. (b)................ 235
601 Royal Dutch Petroleum Co. .......... 36,201
157 Schlumberger Ltd. .................. 9,972
48 Tenneco, Inc. ...................... 1,152
153 Texaco, Inc. ....................... 9,587
84 Union Pacific Resources Group,
Inc. ............................. 1,365
74 Unocal Corp. ....................... 2,937
86 USX-Marathon Group.................. 2,789
----------
188,882
----------
</TABLE>
Continued
92
<PAGE> 95
- --------------------------------------------------------------------------------
One Group Mutual Funds
Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Financial Services (15.6%):
74 AFLAC, Inc. ........................ $ 3,538
231 Allstate Corp. ..................... 8,272
128 American Express Co. ............... 16,610
72 American General Corp. (c).......... 5,432
347 American International Group,
Inc. ............................. 40,667
30 AmSouth Bancorp. ................... 703
74 Aon Corp. .......................... 3,040
202 Associates First Capital, Class A... 8,958
485 Bank of America..................... 35,563
212 Bank of New York Co., Inc. ......... 7,792
328 Bank One Corp. ..................... 19,538
83 BankBoston Corp. ................... 4,254
81 BB&T Corp. ......................... 2,970
34 Bear Stearns Co., Inc. (c).......... 1,594
57 Capital One Financial Corp. ........ 3,163
114 Charles Schwab Corp. (c)............ 12,526
238 Chase Manhattan Corp. .............. 20,612
47 Chubb Corp. ........................ 3,276
58 Cigna Corp. ........................ 5,197
48 Cincinnati Financial Corp. ......... 1,792
957 Citigroup, Inc. .................... 45,464
46 Comerica, Inc. ..................... 2,727
89 Conseco, Inc. ...................... 2,704
30 Countrywide Credit Industries,
Inc. ............................. 1,300
291 Fannie Mae.......................... 19,902
76 Fifth Third Bancorp................. 5,052
275 First Union Corp. .................. 12,911
186 Firstar Corp. ...................... 5,219
159 Fleet Financial Group, Inc. ........ 7,062
71 Franklin Resources, Inc. ........... 2,890
192 Freddie Mac......................... 11,115
16 Golden West Financial Corp. ........ 1,593
66 Hartford Financial Services Group... 3,841
136 Household International, Inc. ...... 6,436
59 Huntington Bancshares............... 2,050
49 J.P. Morgan & Co., Inc. ............ 6,910
28 Jefferson Pilot Corp. .............. 1,864
124 KeyCorp............................. 3,994
33 Lehman Brothers Holding, Inc. ...... 2,059
58 Lincoln National Corp. ............. 3,051
73 Marsh & McLennan Co. ............... 5,514
28 MBIA, Inc. (c)...................... 1,842
211 MBNA Corp. ......................... 6,464
151 Mellon Bank Corp. .................. 5,495
41 Mercantile Bancorp.................. 2,341
98 Merrill Lynch & Co. ................ 7,851
32 MGIC Investment Corp. .............. 1,482
162 Morgan Stanley Dean Witter
Discover.......................... 16,588
93 National City Corp. ................ 6,074
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Financial Services, continued:
32 Northern Trust Corp. ............... $ 3,125
43 Paine Webber Group, Inc. ........... 2,006
85 PNC Bank Corp. ..................... 4,909
21 Progressive Corp. .................. 2,997
38 Provident Co., Inc. ................ 1,512
39 Providian Financial................. 3,666
61 Regions Financial Corp. ............ 2,349
30 Republic New York Corp. ............ 2,072
35 SAFECO Corp. ....................... 1,540
48 SLM Holding Corp. .................. 2,217
29 Southtrust Corp. ................... 1,124
63 St. Paul Co., Inc. (c).............. 2,011
46 State Street Corp. ................. 3,919
51 Summit Bancorp...................... 2,114
75 SunTrust Banks, Inc. ............... 5,182
74 Synovus Financial Corp. (c)......... 1,462
40 Torchmark Corp. .................... 1,360
35 TransAmerica Corp. ................. 2,640
207 U.S. Bancorp........................ 7,032
37 Union Planters Corp. ............... 1,649
39 UNUM Corp. ......................... 2,158
57 Wachovia Corp. (c).................. 4,904
170 Washington Mutual, Inc. ............ 6,012
456 Wells Fargo & Co. .................. 19,477
----------
494,729
----------
Health Care (10.9%):
430 Abbott Laboratories................. 19,567
42 Aetna............................... 3,785
19 Allergan, Inc. ..................... 2,069
25 Alza Corp. (b)...................... 1,248
370 American Home Products Corp. ....... 21,278
141 Amgen, Inc. (b)..................... 8,555
8 Bard C.R., Inc. .................... 380
15 Bausch & Lomb, Inc. ................ 1,164
82 Baxter International, Inc. ......... 4,959
72 Becton Dickinson & Co. ............. 2,156
32 Biomet, Inc. ....................... 1,259
115 Boston Scientific Corp. (b)......... 5,052
561 Bristol Myers Squibb Co. ........... 39,503
59 Cardinal Health, Inc. .............. 3,771
174 Columbia/HCA Healthcare Corp. ...... 3,969
310 Eli Lilly & Co. .................... 22,214
88 Guidant Corp. ...................... 4,509
30 HCR Manor Care, Inc. (b)............ 717
116 Healthsouth Corp. (b)............... 1,725
47 Humana, Inc. (b).................... 603
92 IMS Health, Inc. ................... 2,876
379 Johnson & Johnson................... 37,111
</TABLE>
Continued
93
<PAGE> 96
- --------------------------------------------------------------------------------
One Group Mutual Funds
Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Health Care, continued:
9 Lifepoint Hospital Incorporation
(b)............................... $ 121
11 Mallinckrodt Group, Inc. ........... 389
63 McKesson HBOC, Inc. ................ 2,016
137 Medtronic, Inc. .................... 10,642
670 Merck & Co., Inc. .................. 49,595
10 Millipore Corp. .................... 399
14 Pe Corp. Biosystems (b)............. 1,599
366 Pfizer, Inc. ....................... 40,141
143 Pharmacia & Upjohn, Inc. ........... 8,125
412 Schering Plough Corp. .............. 21,849
5 Shared Medical Systems Corp. ....... 329
13 St. Jude Medical Center, Inc. (b)... 453
88 Tenet Healthcare Corp. (b).......... 1,638
9 Triad Hospitals, Inc. (b)........... 122
59 United Healthcare Corp. ............ 3,708
0 United States Surgical Corp.
(b)(e)............................ 0
232 Warner Lambert Co. ................. 16,100
27 Watson Pharmaceuticals, Inc. (b).... 936
19 Wellpoint Health Networks, Inc.
(b)............................... 1,587
----------
348,219
----------
Multi-Industry (1.1%):
164 Allied Signal, Inc. ................ 10,339
68 Corning, Inc. (c)................... 4,783
12 FMC Corp. (b)....................... 853
20 Harcourt General, Inc. ............. 1,023
33 Loews Corp. ........................ 2,573
114 Minnesota Mining & Manufacturing
Co. .............................. 9,939
47 Textron, Inc. ...................... 3,879
37 TRW, Inc. .......................... 2,022
----------
35,411
----------
Raw Materials (2.6%):
69 Air Products & Chemical, Inc. ...... 2,776
62 Alcan Aluminum Ltd. (c)............. 1,970
103 Alcoa, Inc. ........................ 6,359
51 Allegheny Teledyne, Inc. ........... 1,159
10 ASARCO, Inc. ....................... 180
32 Avery Dennison Corp. ............... 1,921
11 B. F. Goodrich Co. (c).............. 476
103 Barrick Gold Corp. (c).............. 1,998
35 Battle Mountain Gold Co. ........... 85
21 Bethlehem Steel Corp. (b)........... 158
21 Cyprus Amax Minerals Co. ........... 318
66 Dow Chemical Co. ................... 8,316
318 Du Pont (EI) de Nemours & Co. ...... 21,709
22 Eastman Chemical Co. ............... 1,136
43 Engelhard Corp. .................... 970
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Raw Materials, continued:
30 Freeport-McMoran Copper & Gold,
Class B........................... $ 533
20 Great Lakes Chemical Corp. ......... 913
17 Hercules, Inc. ..................... 686
97 Homestake Mining Co. ............... 791
65 Inco Ltd. (c)....................... 1,173
114 International Paper Co. ............ 5,750
178 Monsanto Co. ....................... 7,023
10 Nalco Chemical Co. ................. 516
29 Newmont Mining Corp. ............... 568
23 Nucor Corp. ........................ 1,108
39 Pall Corp. (c)...................... 865
17 Phelps Dodge Corp. ................. 1,040
69 Placer Dome, Inc. .................. 821
44 Praxair, Inc. ...................... 2,171
19 Reynolds Metals Co. ................ 1,100
64 Rohm & Haas Co. (c)................. 2,764
15 Sigma-Aldrich Corp. ................ 519
39 Union Carbide Corp. ................ 1,905
32 USX-U.S. Steel Group, Inc. ......... 853
11 W.R. Grace & Co. (b)................ 205
21 Worthington Industries, Inc. ....... 350
----------
81,185
----------
Retail (7.1%):
119 Albertsons, Inc. (c)................ 6,120
54 Best Buy, Inc. (b).................. 3,618
29 Circuit City Stores, Inc. .......... 2,665
17 Consolidated Stores Co. (b)......... 446
61 Costco Companies, Inc. (b).......... 4,879
112 CVS Corp. .......................... 5,690
59 Darden Restaurants, Inc. ........... 1,278
125 Dayton Hudson Corp. ................ 8,098
19 Dillard Department Stores, Inc.,
Class A........................... 658
66 Dollar General Corp. ............... 1,910
61 Federated Department Stores, Inc.
(b)............................... 3,223
246 Gap, Inc. .......................... 12,374
6 Great Atlantic & Pacific Tea,
Inc. ............................. 196
426 Home Depot, Inc. ................... 27,462
73 J.C. Penney, Inc. .................. 3,565
136 K-Mart, Inc. (b).................... 2,240
45 Kohl's Corp. (b).................... 3,504
238 Kroger Co. (b)...................... 6,637
64 Limited, Inc. ...................... 2,914
5 Longs Drug Stores, Inc. ............ 176
101 Lowe's Co. ......................... 5,736
101 May Department Stores Co. .......... 4,128
</TABLE>
Continued
94
<PAGE> 97
- --------------------------------------------------------------------------------
One Group Mutual Funds
Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Retail, continued:
384 McDonald's Corp. ................... $ 15,852
41 Nordstrom, Inc. (c)................. 1,371
96 Office Depot, Inc. (b).............. 2,114
14 Pep Boys-Manny, Moe & Jack.......... 308
73 Rite Aid Corp. (c).................. 1,786
134 Safeway, Inc. (b)................... 6,623
109 Sears Roebuck & Co. ................ 4,868
127 Staples, Inc. (b)................... 3,937
56 Tandy Corp. ........................ 2,753
90 TJX Co., Inc. ...................... 3,007
74 Toys R Us, Inc. (b)................. 1,540
44 Tricon Global Restaurants (b)....... 2,368
1,263 Wal-Mart Stores, Inc. .............. 60,946
284 Walgreen Co. ....................... 8,334
22 Wendy's International, Inc. ........ 615
44 Winn Dixie Stores, Inc. ............ 1,627
----------
225,566
----------
Shelter (1.0%):
6 Armstrong World Industries, Inc. ... 347
23 Boise Cascade Corp. ................ 972
23 Centex Corp. ....................... 870
27 Champion International Co. ......... 1,316
5 Fleetwood Enterprises, Inc. ........ 140
52 Georgia Pacific Corp. .............. 2,445
26 Kaufman & Broad Home Corp. (c)...... 655
161 Kimberly Clark Corp. ............... 9,178
16 Louisiana Pacific Corp. ............ 389
96 Masco Corp. ........................ 2,773
18 Mead Corp. ......................... 748
42 Owens-Illinois, Inc. (b)............ 1,372
6 Potlatch Corp. ..................... 275
11 Pulte Corp. ........................ 257
24 Sealed Air Corp. (b)(c)............. 1,573
14 Sunoco, Inc. ....................... 431
17 Temple Inland, Inc. ................ 1,188
15 Westvaco Corp. ..................... 441
58 Weyerhaeuser Co. ................... 3,995
33 Williamette Industries, Inc. ....... 1,533
----------
30,898
----------
Technology (21.3%):
100 3Com Corp. (b)...................... 2,661
18 Adobe Systems, Inc. ................ 1,516
41 Advanced Micro Devices, Inc.
(b)(c)............................ 743
288 America Online, Inc. (b)............ 31,868
15 Andrew Corp. (b).................... 285
38 Apple Computer, Inc. (b)(c)......... 1,780
106 Applied Materials, Inc. (b)......... 7,805
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
7 Auto Desk, Inc. .................... $ 210
60 BMC Software, Inc. (b)(c)........... 3,229
282 Boeing Co. ......................... 12,467
25 Cabletron Systems, Inc. (b)......... 320
888 Cisco Systems, Inc. (b)............. 57,118
479 Compaq Computer Corp. .............. 11,353
157 Computer Associates International,
Inc. ............................. 8,655
100 Compuware Corp. (b)................. 3,175
11 Data General Corp. (b).............. 158
717 Dell Computer Corp. (b)............. 26,536
11 EG&G, Inc. ......................... 406
280 EMC Corp. (b)....................... 15,396
45 Gateway, Inc. (b)................... 2,665
33 General Dynamics Corp. (c).......... 2,259
44 General Instrument Corp. (b)........ 1,885
23 Harris Corp. ....................... 898
292 Hewlett Packard Co. (c)............. 29,371
941 Intel Corp. ........................ 55,970
525 International Business Machines..... 67,839
28 KLA-Tencor Corp. (b)................ 1,798
93 Lockheed Martin Corp. .............. 3,450
24 LSI Logic Corp. (b)................. 1,122
839 Lucent Technologies, Inc. .......... 56,549
62 Micron Technology, Inc. (b)......... 2,513
1,417 Microsoft Corp. (b)................. 127,767
173 Motorola, Inc. ..................... 16,388
25 National Semiconductor Corp. (b).... 635
19 Network Appliance, Inc. (b)......... 1,073
183 Nortel Networks Corp. .............. 15,917
19 Northrop Grumman Corp. ............. 1,279
108 Novell, Inc. (b)(c)................. 2,862
410 Oracle Corp. (b).................... 15,209
74 Parametric Technology Corp. (b)..... 1,033
7 Pe Corp. Celera Genomics............ 111
66 Peoplesoft, Inc. (b)(c)............. 1,132
14 Raychem Corp. ...................... 512
92 Raytheon Co., Class B............... 6,453
55 Rockwell International Corp. ....... 3,341
11 Scientific-Atlanta, Inc. ........... 409
71 Seagate Technology, Inc. (b)........ 1,808
55 Silicon Graphics, Inc. (b).......... 899
66 Solectron Corp. (b)(c).............. 4,381
215 Sun Microsystems, Inc. (b).......... 14,804
10 Tektronix, Inc. .................... 315
109 Tellabs, Inc. (b)................... 7,345
114 Texas Instruments, Inc. ............ 16,503
18 Thomas & Betts Corp. ............... 857
70 Unisys Corp. (b).................... 2,724
</TABLE>
Continued
95
<PAGE> 98
- --------------------------------------------------------------------------------
One Group Mutual Funds
Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
128 United Technologies Corp. .......... $ 9,150
185 Xerox Corp. (c)..................... 10,945
----------
675,852
----------
Transportation (1.0%):
52 AMR Corp. (b)....................... 3,527
132 Burlington Northern Santa Fe
Corp. ............................ 4,103
62 CSX Corp. .......................... 2,816
42 Delta Air Lines, Inc. .............. 2,419
81 FDX Corp. (b)....................... 4,418
30 Kansas City Southern Industries..... 1,902
107 Norfolk Southern Corp. ............. 3,224
95 Southwest Airlines Co. ............. 2,965
72 Union Pacific Corp. ................ 4,173
25 US Airways Group, Inc. (b).......... 1,088
----------
30,635
----------
Utilities (11.5%):
51 AES Corp. (b)....................... 2,970
79 Alltel Corp. ....................... 5,663
37 Ameren Corp. ....................... 1,433
55 American Electric Power, Inc. ...... 2,072
309 Ameritech Corp. .................... 22,714
919 AT&T Corp. ......................... 51,277
436 Bell Atlantic Corp. ................ 28,518
549 BellSouth Corp. .................... 25,727
43 Carolina Power & Light Co. ......... 1,843
57 Central & South West Corp. ......... 1,338
38 Centurytel, Inc. ................... 1,491
43 Cinergy Corp. ...................... 1,374
3 CMS Energy Corp. ................... 117
58 Coastal Corp. ...................... 2,320
20 Columbia Gas System, Inc. .......... 1,256
70 Consolidated Edison, Inc. (c)....... 3,146
26 Consolidated Natural Gas Co. ....... 1,594
43 Constellation Energy Group.......... 1,288
41 Detroit Edison Co. ................. 1,632
57 Dominion Resources, Inc. ........... 2,455
104 Duke Power Co., Inc. ............... 5,628
5 Eastern Enterprises................. 197
98 Edison International................ 2,615
94 Enron Corp. ........................ 7,669
73 Entergy Corp. ...................... 2,274
68 First Energy Corp. ................. 2,121
54 Florida Power & Light Group,
Inc. ............................. 2,957
26 Florida Progress Corp. ............. 1,066
48 Frontier Corp. ..................... 2,836
35 General Public Utilities Corp. ..... 1,494
270 GTE Corp. .......................... 20,457
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Utilities, continued:
513 MCI Worldcom, Inc. (b).............. $ 44,216
31 New Century Energies, Inc. ......... 1,219
79 Nextel Communications, Inc., Class A
(b)(c)............................ 3,984
60 Niagara Mohawk Holdings, Inc. (b)... 969
10 NICOR, Inc. ........................ 380
41 Northern States Power Co. .......... 984
4 Oneok, Inc. ........................ 128
84 Pacificorp.......................... 1,537
63 Peco Energy Corp. .................. 2,640
8 Peoples Energy Corp. ............... 301
112 PG&E Corp. ......................... 3,650
48 PP&L Resources, Inc. ............... 1,490
63 Public Service Enterprise Group..... 2,590
550 SBC Communications, Inc. ........... 31,890
69 Sempra Energy....................... 1,562
17 Sonat, Inc. ........................ 550
188 Southern Co. ....................... 4,993
250 Sprint Corp. ....................... 13,202
118 Sprint Corp., PCS (b)(c)............ 6,748
78 Texas Utilities..................... 3,203
122 The Williams Companies, Inc. ....... 5,202
61 Unicom Corp. ....................... 2,343
141 US West, Inc. ...................... 8,302
80 Vodafone Group PLC, ADR............. 15,829
----------
367,454
----------
Total Common Stocks 3,158,594
----------
U.S. TREASURY OBLIGATIONS (0.1%):
U.S. Treasury Bills (0.1%):
$ 1,675 7/22/99 (d)......................... 1,671
1,585 8/19/99 (d)......................... 1,575
----------
Total U.S Treasury Obligations 3,246
----------
INVESTMENT COMPANIES (0.1%):
3,591 One Group Prime Money Market Fund,
Class I........................... 3,591
----------
Total Investment Companies 3,591
----------
SHORT-TERM SECURITIES HELD AS COLLATERAL (3.9%):
Master Notes (0.4%):
$ 4,831 Bear Stearns Mortgage Capital,
6.27%, 7/6/99*.................... 4,831
2,415 Merrill Lynch, 6.20%, 7/1/99*....... 2,415
1,449 NationsBanc Capital Markets, 6.20%,
7/1/99*........................... 1,449
4,832 Williamette Industries, Inc., 5.07%,
9/14/99*.......................... 4,832
----------
13,527
----------
</TABLE>
Continued
96
<PAGE> 99
- --------------------------------------------------------------------------------
One Group Mutual Funds
Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Put Bonds (2.5%):
$ 6,441 Amex Centurion, 5.11%, 2/18/00*..... $ 6,441
3,221 Branch Banking & Trust, 5.14%,
12/10/99*......................... 3,221
2,093 Branch Banking & Trust, 5.14%,
5/25/00*.......................... 2,092
4,831 Caterpiller Finance,
5.20%,5/1/01*..................... 4,831
4,026 Chase Manhattan, 5.26%, 5/6/02*..... 4,026
3,704 Evangelical Lutheran, 5.30%,
4/28/00*.......................... 3,697
4,026 Fleet National Bank, 5.07%,
4/18/00*.......................... 4,026
4,026 GMAC, 5.22%, 5/3/01*................ 4,026
10,201 Goldman Sachs, 5.28%, 11/21/00*..... 10,201
10,160 Greenwich Capital, 5.41%, 7/9/01*... 10,160
1,610 J.P. Morgan & Co., 5.10%, 5/4/00*... 1,610
4,026 J.P. Morgan & Co., 5.16%, 5/4/01*... 4,026
4,026 Lehman Brothers Holdings, 5.20%,
7/20/00*.......................... 4,026
1,610 Liberty Lighthouse, 5.15%,
5/5/00*........................... 1,610
4,026 Merrill Lynch, 5.31%, 5/6/02*....... 4,026
1,852 Salomon Smith Barney, 5.44%,
2/5/01*........................... 1,852
4,026 Sigma Finance, Inc., 5.14%,
3/31/00*.......................... 4,026
4,831 SPARCC, 5.38%, 3/24/00*............. 4,831
----------
78,728
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Repurchase Agreements (1.0%):
$12,077 Goldman Sachs, 6.09%, 7/1/99,
(Collateralized by $12,809 various
Corporate Bonds, 5.33% - 9.88%,
10/1/99 - 10/30/45, market value
$12,746).......................... $ 12,077
1,408 Lehman Brothers, 5.85%, 7/1/99,
(Collateralized by $1,479 various
Commercial Papers, 0.00% - 5.06%,
9/20/99 - 10/4/99, market value
$1,479)........................... 1,408
9,662 Lehman Brothers, 6.25%, 7/1/99,
(Collateralized by $257 various
Equity Securities, market value
$10,199).......................... 9,662
8,052 Merrill Lynch, 6.10%, 7/1/99,
(Collateralized by $8,474 various
Commercial Papers, 0.00% - 5.12%,
7/8/99 - 8/2/99, market value
$8,454)........................... 8,052
----------
31,199
----------
Total Short-Term Securities Held as Collateral 123,454
----------
Total (Cost $1,854,395) (a) $3,298,781
==========
</TABLE>
- ------------
Percentages indicated are based on net assets of $3,182,091.
(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 $4,575. 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...................... $1,466,173
Unrealized depreciation...................... (26,362)
----------
Net unrealized appreciation.................. $1,439,811
==========
</TABLE>
(b) Non-income producing securities.
(c) A portion of this security was loaned as of June 30, 1999.
(d) Serves as collateral for futures contracts.
(e) Amount is less than 1,000
<TABLE>
<CAPTION>
CURRENT
OPENING MARKET
NUMBER OF POSITIONS VALUE
CONTRACTS CONTRACT TYPE (000) (000)
- --------- ------------- --------- -------
<C> <S> <C> <C>
52 Long S&P 500, September 1999 Futures $17,134 $17,962
</TABLE>
* 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 at June 30, 1999.
ADR American Depository Receipt.
See notes to financial statements.
97
<PAGE> 100
- --------------------------------------------------------------------------------
One Group Mutual Funds
Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS (97.3%):
Building Products (0.4%):
1 Apogee Enterprises, Inc. ............. $ 8
1 Insituform Technologies............... 13
0 TJ International, Inc. (d)............ 12
1 Universal Forest Products............. 11
1 USG Corp. ............................ 62
1 Watsco, Inc. ......................... 10
-------
116
-------
Business Equipment & Services (4.7%):
1 A.C. Nielson Corp. (b)................ 39
1 ABM Industries, Inc. ................. 15
1 Advo, Inc. (b)........................ 10
1 Blount International, Inc. ........... 24
1 Brady ( W. H.) Co. ................... 16
0 Butler Manufacturing Co. (d).......... 6
0 Castle ( A. M.) & Co. (d)............. 6
0 Catalina Marketing Corp. (b)(d)....... 37
0 Chemed Corp. (d)...................... 7
3 Comdisco, Inc. ....................... 88
1 Dycom Industries, Inc. ............... 28
0 G & K Services, Inc. (d).............. 23
1 Ha-Lo Industries, Inc. (b)............ 10
1 HON Industries, Inc. ................. 41
1 Information Resources, Inc. .......... 5
1 Inter-Tel, Inc. ...................... 11
1 Interim Services, Inc. (b)............ 23
1 John H. Harland Co. .................. 14
1 Kelly Services, Inc. ................. 26
0 Lawson Products, Inc. (d)............. 5
2 Manpower, Inc. ....................... 41
2 Miller (Herman), Inc. ................ 40
3 Modis Professional Services (b)....... 34
1 Morrison Knudsen Corp. ............... 11
0 New England Business Services (d)..... 9
2 Nova Corp. (Georgia) (b).............. 40
8 Office Depot, Inc. (b)................ 185
1 Ogden Corp. .......................... 30
2 Olsten Corp. ......................... 11
1 Pittston Co. ......................... 26
1 Prepaid Legal Services, Inc. (b)...... 14
1 Primark Corp. (b)..................... 14
3 Quintiles Transnational Corp. (b)..... 107
0 Republic Group, Inc. (d).............. 6
2 Robert Half International, Inc. (b)... 55
1 Rollins, Inc. ........................ 12
0 Service Experts, Inc. (d)............. 9
2 Snyder Communications, Inc. (b)....... 49
1 Sotheby's Holdings.................... 50
1 Standard Pacific Corp. ............... 8
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Business Equipment & Services, continued:
1 Standard Register Co. ................ $ 18
0 Thor Industries, Inc. (d)............. 9
1 True North Communications, Inc. ...... 30
1 Varian Semiconductor Equipment
Associates, Inc. ................... 14
1 Varian, Inc. ......................... 11
2 Viad Corp. ........................... 71
1 Volt Information Sciences, Inc. (b)... 14
1 Wallace Computer Services, Inc. ...... 25
-------
1,377
-------
Capital Goods (4.1%):
1 AAR Corp. ............................ 14
0 Alliant Techsystems, Inc. (b)(d)...... 26
4 Allied Waste Industries, Inc. (b)..... 83
1 American Management Systems, Inc.
(b)................................. 32
4 American Power Conversion (b)......... 89
1 Ametek, Inc. ......................... 16
0 Applied Industrial Technologies, Inc.
(d)................................. 9
1 Arctic Cat, Inc. ..................... 5
1 Belden, Inc. ......................... 14
0 Bell Industries, Inc. (d)............. 1
1 Carlisle Companies, Inc. ............. 34
1 Cleco Corp. .......................... 15
1 Federal Signal Corp. ................. 21
1 Graco, Inc. .......................... 15
2 Gulfstream Aerospace Corp. ........... 114
1 Harsco Corp. ......................... 32
1 Hubbell, Inc. ........................ 67
1 Imation Corp. (b)..................... 22
1 Jacobs Engineering Group, Inc. (b).... 23
0 Kaman Corp. (d)....................... 7
1 Kennametal, Inc. ..................... 22
1 Kulicke & Soffa Industries (b)........ 13
0 Lason, Inc. (d)....................... 20
1 Manitowoc Co., Inc. .................. 22
1 Mark IV Industries, Inc. ............. 25
4 Molex, Inc. .......................... 130
0 Myers Industries, Inc. (d)............ 8
1 NFO Worldwide, Inc. .................. 7
0 Nordson Corp. (d)..................... 25
1 Orbital Sciences Corp. (b)............ 19
1 Precision Castparts Corp. ............ 26
1 Roper Industries, Inc. ............... 22
0 Scott Technologies, Inc. (b)(d)....... 8
0 Sequa Corp. (b)(d).................... 16
1 Southdown, Inc. ...................... 59
1 Stewart & Stevenson Services.......... 9
0 Stone & Webster, Inc. (d)............. 8
</TABLE>
Continued
98
<PAGE> 101
- --------------------------------------------------------------------------------
One Group Mutual Funds
Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Capital Goods, continued:
1 Superior Services, Inc. (b)........... $ 19
1 Tecumseh Products Co. ................ 30
1 Trinity Industries, Inc. ............. 32
1 York International Corp. ............. 39
-------
1,198
-------
Consumer Durable (3.5%):
1 Arvin Industries, Inc. ............... 23
1 Ashworth, Inc. (b).................... 3
1 Bandag, Inc. ......................... 17
0 Bassett Furniture Industries, Inc.
(d)................................. 7
1 Borg-Warner Automotive, Inc. ......... 33
2 Callaway Golf Co. .................... 25
0 Cross (A.T.) Company (b)(d)........... 2
2 Federal Mogul Corp. .................. 82
1 Galey & Lord, Inc. (b)................ 2
1 Griffon Corp. ........................ 5
0 Guilford Mills (d).................... 5
4 Harley-Davidson, Inc. ................ 189
0 Harman International (d).............. 18
0 Huffy Corp. (d)....................... 3
0 Ionics, Inc. (d)...................... 15
1 Justin Industries, Inc. .............. 8
1 Kellwood Co. ......................... 14
2 Lear Corp. (b)........................ 75
1 Longview Fibre Co. ................... 19
1 Mohawk Industries, Inc. (b)........... 43
0 Nashua Corp. (b)(d)................... 1
0 National Presto Industries, Inc.
(d)................................. 8
1 Nautica Enterprises, Inc. (b)......... 14
1 Oshkosh 'B' Gosh, Inc. ............... 13
0 Oxford Industries, Inc. (d)........... 6
1 Paxar Corp. .......................... 10
2 Perrigo Co. .......................... 12
0 Pillowtex Corp. (d)................... 5
1 Polaris Industries, Inc. ............. 26
1 Regal Beloit.......................... 12
1 Smith ( A.O.) Corp. .................. 14
2 Sonoco Products Co. .................. 71
0 Sps Technologies, Inc. (d)............ 11
1 SPX Corp. (b)......................... 58
0 St. John Knits, Inc. (d).............. 12
0 Standex International Corp. (d)....... 8
1 Sturm Ruger & Co., Inc. .............. 6
1 Superior Industries International..... 17
0 Swiss Army Brands, Inc. (b)(d)........ 2
1 The Kroll-O'Gara Co. ................. 11
0 Timberland Co. (b)(d)................. 20
0 Toro Co. (d).......................... 10
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Consumer Durable, continued:
1 Unifi, Inc. .......................... $ 28
1 Valmont Industries.................... 10
1 Wabash National Corp. ................ 10
0 Walbro Corp. (d)...................... 2
1 Westpoint Stevens, Inc. (b)........... 39
0 Wynns International, Inc. (d)......... 8
-------
1,032
-------
Consumer Non-Durable (4.1%):
2 Chiquita Brands....................... 14
1 Clarcor, Inc. ........................ 12
0 Coca-Cola Bottling (d)................ 11
1 Corn Products International, Inc. .... 24
1 Dean Foods Co. ....................... 41
1 Delta & Pine Land Co. ................ 28
2 Dial Corp. ........................... 88
1 Dimon, Inc. .......................... 5
1 Dole Food Co., Inc. .................. 41
1 Dreyer's Grand Ice Cream, Inc. ....... 9
1 Earthgrains Co. ...................... 26
1 Fleming Co. .......................... 9
2 Flowers Industries, Inc. ............. 50
1 Foodmaker, Inc. ...................... 26
0 Frozen Food Express Inds. (d)......... 3
0 Gibson Greetings, Inc. (b)(d)......... 2
2 Hormel Foods Corp. ................... 68
2 IBP, Inc. ............................ 50
0 Intermagnetics General Corp. (d)...... 2
0 International Multifoods Corp. (d).... 10
2 Interstate Bakeries Corp. ............ 54
0 J & J Snack Foods Corp. (d)........... 5
0 K Swiss, Inc. (d)..................... 9
1 La-Z-Boy Chair Co. ................... 28
1 Lancaster Colony Corp. ............... 33
1 Lance, Inc. .......................... 13
2 McCormick & Co., Inc. ................ 54
1 Michael Foods, Inc. .................. 12
0 Natures Sunshine Products, Inc. (d)... 4
0 NCH Corp. (d)......................... 5
1 Papa John's International............. 31
1 Premark International, Inc. .......... 53
1 Ralcorp Holdings, Inc. ............... 11
0 Royal Appliance Manufacturing Co.
(d)................................. 3
1 Shorewood Packaging................... 11
1 Smithfield Foods, Inc. (b)............ 30
1 Smucker (J. M.) Co. .................. 16
1 Suiza Foods Corp. .................... 34
5 Tyson Foods, Inc. .................... 119
1 U.S. Foodservice (b).................. 47
</TABLE>
Continued
99
<PAGE> 102
- --------------------------------------------------------------------------------
One Group Mutual Funds
Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Consumer Non-durable, continued:
1 Universal Corp. ...................... $ 23
1 Universal Foods Corp. ................ 25
1 Vlasic Foods International, Inc. ..... 7
1 Warnaco Group, Inc. .................. 37
1 Whole Foods Market, Inc. ............. 29
-------
1,212
-------
Consumer Services (4.5%):
1 Aliant Communications, Inc. .......... 37
0 Anchor Gaming (b)(d).................. 14
0 Angelica Corp. (d).................... 4
2 Apollo Group, Inc. ................... 48
1 AptarGroup, Inc. ..................... 24
1 Aztar Corp. (b)....................... 8
1 Banta Corp. .......................... 15
2 Barnes & Noble, Inc. (b).............. 44
3 Belo ( A.H.) Corp., Series A.......... 55
1 Bowne & Co., Inc. .................... 10
0 Carmike Cinemas, Inc. (d)............. 3
1 Central Parking Corp. ................ 24
1 Chris-Craft Industries, Inc. (b)...... 39
2 Cintas Corp. ......................... 160
0 Coachmen Industries, Inc. (d)......... 9
0 Consolidated Graphics, Inc. (b)(d).... 15
0 CPI Corp. (d)......................... 7
0 Cyrk, Inc. (d)........................ 2
2 DeVry, Inc. (b)....................... 36
1 Energen Corp. ........................ 13
1 Family Golf Centers, Inc. (b)......... 4
1 Franklin Covey Co. ................... 4
0 General Cinema Cos., Inc. (d)......... 7
1 Gtech Holdings Corp. (b).............. 21
1 Hollywood Park, Inc. (b).............. 10
1 Houghton Mifflin Co. ................. 33
1 Hughes Supply, Inc. .................. 18
0 Imco Recycling, Inc. (d).............. 7
1 Insight Enterprises, Inc. ............ 15
2 International Game Technologies....... 44
1 Jan Bell Marketing, Inc. ............. 2
0 K2, Inc. (d).......................... 4
1 Lee Enterprises, Inc. ................ 31
2 Mandalay Resort Group................. 45
1 Marcus Corp. ......................... 9
1 Media General, Inc. .................. 31
0 Merrill Corp. (d)..................... 6
0 Metro Networks, Inc. (d).............. 21
0 Microage, Inc. (b)(d)................. 1
0 Nash Finch Co. (d).................... 2
1 Norrell Corp. ........................ 11
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Consumer Services, continued:
1 Players International, Inc. .......... $ 5
1 Prime Hospitality Corp. (b)........... 13
2 Promus Hotel Corp. (b)................ 62
0 Reliance Steel & Aluminum Co. (d)..... 16
0 Rural/Metro Corp. (d)................. 3
1 Ryerson Tull, Inc. ................... 14
0 Scholastic Corp. (d).................. 20
3 Stewart Enterprises Corp. ............ 36
1 TCA Cable TV, Inc. ................... 61
0 Thomas Nelson, Inc. (d)............... 3
1 Valassis Communications, Inc. ........ 48
0 Washington Post Co. (d)............... 108
1 Westwood One, Inc. (b)................ 25
1 World Color Press, Inc. .............. 25
-------
1,332
-------
Energy (4.5%):
2 Alliant Energy Corp. ................. 51
1 Atmos Energy Corp. ................... 18
2 BJ Services Co. ...................... 47
1 Cabot Oil & Gas Corp. ................ 11
1 Calgon Carbon Corp. .................. 5
1 Commonwealth Energy System............ 21
1 Cross Timbers Oil Co. ................ 16
3 ENSCO International, Inc. ............ 64
1 Flowserve Corp. ...................... 17
4 Global Marine, Inc. (b)............... 62
1 HS Resources, Inc. (b)................ 7
2 K N Energy, Inc. ..................... 21
1 Midamerican Energy Holdings........... 48
1 Murphy Oil Corp. ..................... 49
2 Nabors Industries, Inc. (b)........... 56
1 Newfield Exploration Co. (b).......... 26
1 Noble Affiliates, Inc. ............... 39
3 Noble Drilling Corp. (b).............. 58
2 Ocean Energy, Inc. (New).............. 17
2 Parker Drilling Co. (b)............... 5
0 Pennsylvania Enterprises, Inc. (d).... 6
2 Pennzoil-Quaker State Co. ............ 26
1 Piedmont Natural Gas Co., Inc. ....... 22
2 Pioneer Natural Resources Co. ........ 25
0 Plains Resources, Inc. (b)(d)......... 8
1 Pogo Producing Co. ................... 17
1 Pool Energy Services Co. (b).......... 10
1 Pride International, Inc. (b)......... 13
3 Ranger Oil Ltd. (b)................... 14
2 Santa Fe Snyder Corp. ................ 17
1 Sierra Pacific Resources.............. 25
1 Smith International, Inc. (b)......... 48
</TABLE>
Continued
100
<PAGE> 103
- --------------------------------------------------------------------------------
One Group Mutual Funds
Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Energy, continued:
0 Southern Energy Homes, Inc. (d)....... $ 2
0 Stone Energy Corp. (d)................ 13
1 Tidewater, Inc. ...................... 40
4 Tosco Corp. .......................... 91
2 Transocean Offshore, Inc. ............ 60
1 Tuboscope Vetco International Corp.
(b)................................. 14
2 Ultramar Diamond Shamrock Corp. ...... 43
1 Valero Energy Corp. .................. 28
2 Varco International, Inc. (b)......... 16
1 Vicor Corp. .......................... 19
1 Vintage Pete, Inc. ................... 13
1 Watts Industries, Inc. ............... 12
0 WD-40 Co. (b)(d)...................... 10
2 Weatherford International (b)......... 85
-------
1,315
-------
Financial Services (12.8%):
2 A.G. Edwards, Inc. ................... 72
0 AFLAC, Inc. (d)....................... 14
2 AMBAC Financial Group, Inc. .......... 91
1 American Bankers Insurance Group,
Inc. ............................... 54
1 American Financial Group, Inc. ....... 48
1 Americredit Corp. (b)................. 22
1 Amresco, Inc. ........................ 6
0 Anchor Bancorp Wisconsin, Inc. (d).... 7
1 Associated Banc-Corp. ................ 59
1 Astoria Financial Corp. .............. 57
1 Banknorth Group, Inc. ................ 17
1 Billing Information Concepts (b)...... 10
1 BISYS Group, Inc. (b)................. 35
1 Capital RE Corp. ..................... 11
1 Carolina First Corp. ................. 12
1 CCB Financial Corp. .................. 48
1 Centura Banks, Inc. .................. 34
4 Charter One Financial, Inc. .......... 107
1 Commerce Bancorp, Inc. ............... 27
1 Commercial Federal Corp. ............. 33
3 Concord Efs, Inc. .................... 123
1 Culen Frost Bankers, Inc. ............ 35
0 Dain Rauscher Corp. (d)............... 16
1 Delphi Financial Group (b)............ 19
3 Dime Bancorp, Inc. ................... 52
1 Downey Financial Corp. ............... 13
5 E*Trade Group, Inc. .................. 213
1 Eaton Vance Corp. .................... 28
1 Enhance Financial Services Group...... 16
1 Everest Reinsurance Holdings Inc. .... 39
0 Executive Risk, Inc. (d).............. 26
1 Fidelity National Financial, Inc. .... 14
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Financial Services, continued:
1 Finova Group, Inc. ................... $ 74
1 First American Financial Corp. ....... 24
1 First Bancorp/Puerto Rico. ........... 16
1 First Midwest Bancorp, Inc. .......... 27
4 First Security Corp. ................. 119
3 First Tennessee National Corp. ....... 111
1 First Virginia Banks, Inc. ........... 59
2 Firstmerit Corp. ..................... 56
2 Fremont General Corp. ................ 30
1 Frontier Insurance Group, Inc. ....... 12
0 Gallagher (Arthur J.) & Co. (d)....... 20
3 Greenpoint Financial Corp. ........... 82
4 Hibernia Corp. ....................... 56
0 Hilb, Rogal & Hamilton Co. (d)........ 7
1 Horace Mann Educators................. 27
1 HSB Group, Inc. ...................... 31
1 Hudson United Bancorp ................ 31
0 Insurance Auto Auctions, Inc.
(b)(d).............................. 3
1 Investment Technology Group........... 16
1 Jefferies Group, Inc. ................ 15
0 JSB Financial, Inc. (d)............... 10
1 Keystone Financial, Inc. ............. 34
1 Legg Mason, Inc. ..................... 50
1 MAF Bancorp, Inc. .................... 15
2 Marshall & Ilsley Corp. .............. 155
2 Mercantile Bankshares Corp. .......... 57
1 Mutual Risk Management Ltd............ 30
1 National City Corp. .................. 41
3 North Fork Bancorp, Inc. ............. 70
3 Old Kent Financial Corp. ............. 106
3 Old Republic International Corp. ..... 54
1 Orion Capital Corp. .................. 22
2 Pacific Century Financial Corp. ...... 39
0 Paine Webber Group, Inc. (d).......... 9
1 Pioneer Group, Inc. .................. 10
1 PMI Group, Inc. ...................... 44
1 Premier Bancshares, Inc. ............. 11
2 Protective Life Corp. ................ 50
1 Provident Bankshares Corp. ........... 15
1 Provident Financial Group............. 44
1 Queens County Bancorp, Inc. .......... 16
1 Radian Group, Inc. ................... 24
1 Raymond James Financial, Inc. ........ 26
2 Reliastar Financial Corp. ............ 92
1 Riggs National Corp. Washington
D.C. ............................... 14
1 Selective Insurance Group............. 11
1 Silicon Valley Bankshares............. 12
4 Sovereign Bancorp, Inc. .............. 44
1 St Paul Bancorp, Inc. ................ 26
</TABLE>
Continued
101
<PAGE> 104
- --------------------------------------------------------------------------------
One Group Mutual Funds
Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Financial Services, continued:
1 Susquehanna Bancshares, Inc. ......... $ 14
3 T Rowe Price Associates............... 107
2 TCF Financial Corp. .................. 56
0 Trenwick Group, Inc. (d).............. 7
1 Trustco Bank Corp. New York........... 16
0 U S Trust Corp. (d)................... 37
1 United Bankshares, Inc. .............. 27
1 UST Corp. ............................ 30
1 Whitney Holding Corp. ................ 20
1 Wilmington Trust Corp. ............... 46
0 Xl Capital Ltd. (d)................... 21
2 Zions Bancorp......................... 114
-------
3,800
-------
Health Care (9.8%):
1 Acuson Corp. (b)...................... 10
0 ADAC Laboratories (d)................. 3
1 Advanced Tissue Sciences, Inc. (b).... 3
1 Alliance Pharmaceutical Corp. ........ 2
1 Alpharma, Inc. ....................... 21
1 Apria Healthcare Group................ 20
1 Ballard Medical Products.............. 16
1 Barr Laboratories, Inc. (b)........... 20
1 Beckman Coulter, Inc. ................ 34
3 Bergen Brunswig Corp. ................ 44
2 Beverly Enterprises, Inc. ............ 19
1 Bindley Western Industries, Inc. ..... 15
1 Bio-Technology General Corp. ......... 7
3 Biogen, Inc. (b)...................... 218
1 Biomatrix, Inc. (b)................... 11
1 Carter Wallace, Inc. ................. 22
2 Centocor, Inc. (b).................... 75
1 Cephalon, Inc. (b).................... 10
4 Chiron Corp. (b)...................... 86
1 Concentra Managed Care, Inc. ......... 15
0 Cooper Cos., Inc. (d)................. 7
1 COR Therapeutics, Inc. ............... 7
1 Covance, Inc. (b)..................... 31
1 Coventry Health Care, Inc. ........... 15
0 Curative Health Services, Inc.
(b)(d).............................. 2
1 Cygnus, Inc. ......................... 7
0 Datascope Corp. (b)(d)................ 11
1 Dendrite International, Inc. ......... 18
1 Dentsply International, Inc. ......... 34
0 Diagnostic Products Corp. (d)......... 8
1 Dura Pharmaceuticals, Inc. ........... 13
1 Enzo Biochem, Inc. ................... 5
1 Express Scripts, Inc. (b)............. 48
1 First Health Group Corp. (b).......... 30
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Health Care, continued:
2 Forest Laboratories (b)............... $ 88
3 Foundation Health Systems (b)......... 42
1 Genesis Health........................ 2
2 Genzyme Corp. (b)..................... 92
6 Health Management Association, Inc.
(b)................................. 65
2 Hillenbrand Industries, Inc. ......... 65
0 Hologic, Inc. (d)..................... 2
2 ICN Pharmaceuticals, Inc. ............ 56
1 IDEC Pharmaceuticals Corp. ........... 39
1 IDEXX Laboratories, Inc. (b).......... 21
1 Immune Response Corp. ................ 3
1 Incyte Pharmaceuticals, Inc. (b)...... 16
1 Integrated Health Services, Inc.
(b)................................. 9
1 Invacare Corp. ....................... 19
3 Ivax Corp. ........................... 37
1 Jones Pharma, Inc. ................... 28
1 Lincare Holdings, Inc. (b)............ 35
1 Liposome, Inc. (b).................... 15
1 Magellan Health Services, Inc. ....... 7
1 Mariner Post Acute Network (b)........ 1
0 Maxxim Medical, Inc. (d).............. 7
1 MedImmune, Inc. (b)................... 81
1 Medquist, Inc. (b).................... 31
1 Mentor Corp. (b)...................... 9
3 Mylan Laboratories.................... 80
3 NBTY, Inc. ........................... 19
0 NCS HealthCare, Inc. (d).............. 2
1 North American Vaccine, Inc. ......... 3
1 Noven Pharmaceuticals, Inc. .......... 3
2 Omnicare, Inc. ....................... 25
1 Organogenesis, Inc. .................. 6
1 Orthodontic Centers of America,
Inc. ............................... 16
1 Owens & Minor, Inc. Holding Co. ...... 8
2 Oxford Health Plans................... 28
1 PacifiCare Health Systems, Inc. ...... 72
1 Parexel International Corp. (b)....... 8
1 Patterson Dental Co. (b).............. 31
0 Pediatrix Medical Group, Inc.
(b)(d).............................. 6
1 Pharmaceutical Product Development.... 14
2 Phycor, Inc. ......................... 13
0 Priority Healthcare Corp. (d)......... 16
0 Protein Design Labs, Inc. (b)(d)...... 9
2 PSS World Medical, Inc. (b)........... 18
2 Quorum Health Group, Inc. ............ 20
1 Regeneron Pharmaceutical.............. 5
1 Renal Care Group, Inc. ............... 26
1 Respironics, Inc. .................... 11
1 Roberts Pharmaceutical Corp. ......... 17
1 Safeskin Corp. (b).................... 16
</TABLE>
Continued
102
<PAGE> 105
- --------------------------------------------------------------------------------
One Group Mutual Funds
Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Health Care, continued:
1 Sepracor, Inc. ....................... $ 57
1 Sierra Health Services (b)............ 9
1 Sola International, Inc. ............. 10
0 Spacelabs Medical, Inc. (d)........... 4
2 Steris Corp. (b)...................... 45
2 Stryker Corp. ........................ 131
1 Summit Technology, Inc. .............. 15
1 Sunrise Medical, Inc. ................ 4
2 Sybron International Corp. (b)........ 66
0 Syncor International Corp. (d)........ 11
2 Total Renal Care Holdings (b)......... 30
1 Trigon Healthcare, Inc. (b)........... 36
1 US Bioscience, Inc. .................. 6
1 Universal Health Services, Inc. (b)... 38
1 US Oncology Inc. ..................... 8
1 Varian Medical Systems, Inc. ......... 20
1 Vertex Pharmaceuticals, Inc. ......... 14
1 VISX, Inc. (a)........................ 111
0 Vital Signs, Inc. (d)................. 6
1 Warner Lambert Co. ................... 43
2 Watson Pharmaceuticals, Inc. (b)...... 77
1 Zenith National Insurance............. 12
-------
2,882
-------
Industrial Goods & Services (0.5%):
0 Chemfirst, Inc. (d)................... 10
0 Esterline Technologies Corp. (d)...... 6
2 Ethyl Corp. .......................... 11
1 Ferro Corp. .......................... 22
1 Hanna (M.A.) Co. ..................... 18
0 Hauser, Inc. (d)...................... 1
1 Lilly Industries, Inc. ............... 9
0 O'Sullivan Corp. (d).................. 4
0 Quaker Chemical Corp. (d)............. 3
3 RPM Ohio, Inc. ....................... 36
0 Tetra Technologies, Inc. (d).......... 3
1 Wellman, Inc. ........................ 11
-------
134
-------
Machinery & Equipment (0.5%):
1 Agco Corp. ........................... 16
1 Albany International Corp. ........... 15
1 Applied Power, Inc. .................. 26
0 Astec Industries Inc. (d)............. 16
0 Flow International Corp. (d).......... 3
0 Gardner Denver Machinery, Inc. (d).... 6
1 Helix Technology Corp. ............... 12
1 JLG Industries Inc. .................. 21
0 Lindsay Manufacturing Co. (d)......... 5
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Machinery & Equipment, continued:
1 Magnetek, Inc. ....................... $ 7
0 Robbins & Myers, Inc. (d)............. 4
0 Speedfam-Ipec, Inc. (d)............... 6
0 Thomas Industries, Inc. (d)........... 8
-------
145
-------
Medical Supplies (0.0%):
0 Genzyme Surgical Products (d)......... 1
-------
Multi-Industry (0.2%):
0 Canandaigua Brands, Inc. (d).......... 21
2 Whitman Corp. ........................ 41
-------
62
-------
Oil & Gas (0.2%):
1 Barrett Resources Corp. .............. 27
1 Benton Oil & Gas Coic Co. ............ 1
1 Halter Marine Group, Inc. ............ 4
1 Input/Output, Inc. ................... 8
0 Remington Oil & Gas Corp. (d)......... 2
0 Seacor Holdings, Inc. (d)............. 16
0 St. Mary Land & Exploration (d)....... 4
-------
62
-------
Raw Materials (4.2%):
1 A. Schulman, Inc. .................... 12
2 Airgas, Inc. (b)...................... 20
1 AK Steel Holding Corp. ............... 32
1 Albemarle Corp. ...................... 25
1 Amcol International Corp. ............ 9
1 Authentic Fitness Corp. .............. 9
1 Barnes Group, Inc. ................... 11
1 Birmingham Steel Corp. ............... 3
1 Black Hills Corp. .................... 12
0 Brush Wellman, Inc. (d)............... 7
1 Buckeye Technologies, Inc. (b)........ 12
1 Burlington Industries, Inc. .......... 12
2 Cabot Corp. .......................... 36
1 Cambrex Corp. ........................ 16
1 Caraustar Industries, Inc. ........... 15
0 Church & Dwight, Inc. (d)............. 17
0 Cleveland Cliffs, Inc. (d)............ 10
1 Coeur D'Alene Mines Corp. ............ 2
0 Commercial Metals Co. (d)............. 9
0 Commonwealth Industries, Inc. (d)..... 5
1 Cone Mills Corp. ..................... 4
2 Crompton & Knowles Corp. ............. 31
1 Cytec Industries, Inc. (b)............ 32
1 Delta Woodside Industries, Inc. ...... 3
1 Dexter Corp. ......................... 20
0 Dixie Group, Inc. (d)................. 2
</TABLE>
Continued
103
<PAGE> 106
- --------------------------------------------------------------------------------
One Group Mutual Funds
Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Raw Materials, continued:
1 Donaldson C., Inc. ................... $ 27
0 Fuller (H. B.) Co. (d)................ 21
1 Geon Co. ............................. 16
1 Georgia Gulf Corp. ................... 12
1 Glatfelter (P. H.) Co. ............... 13
1 Hecla Mining Co. ..................... 2
3 IMC Global, Inc. ..................... 45
1 Interface, Inc. ...................... 10
1 Intermet Corp. ....................... 8
1 Kaydon Corp. ......................... 24
1 Lubrizol Corp. ....................... 36
2 Lyondell Petrochemical Co. ........... 36
1 Macdermid, Inc. ...................... 28
1 Mascotech, Inc. ...................... 17
1 Material Sciences Corp. .............. 11
0 Maxxam, Inc. (b)(d)................... 10
1 McWhorter Technologies, Inc. (b)...... 10
1 Minerals Technologies, Inc. .......... 28
1 Mississippi Chemical Corp. ........... 6
1 Mueller Industries, Inc. (b).......... 27
1 Olin Corp. ........................... 17
1 OM Group, Inc. ....................... 17
1 Oregon Steel Mills, Inc. ............. 8
0 Penford Corp. (d)..................... 2
2 Placer Dome Inc. ..................... 20
0 Pope & Talbot, Inc. (d)............... 4
0 Quanex Corp. (d)...................... 9
1 RTI International Metals, Inc. ....... 7
0 Schweitzer-Mauduit International,
Inc. (d)............................ 5
3 Solutia, Inc. ........................ 59
0 Steel Technologies, Inc. (d).......... 2
1 Stillwater Mining Co. (b)............. 25
1 Texas Industries, Inc. ............... 19
0 The Scotts Co. (b)(d)................. 19
1 Tower Automotive Inc. ................ 28
1 Tredegar Industries, Inc. ............ 17
1 Triarc Co., Inc. (b).................. 15
2 Unisource Worldwide, Inc. ............ 19
0 USA Detergents Inc. (d)............... 2
2 Vulcan Materials Co. ................. 110
1 Wausau-Mosinee Paper Corp. ........... 22
0 Wheeling Pittsburgh Steel Co. (d)..... 3
1 Witco Corp. .......................... 26
0 Wolverine Tube, Inc. (b)(d)........... 8
1 Wolverine World Wide, Inc. ........... 14
-------
1,230
-------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Retail (7.5%):
2 Abercrombie & Fitch Co. (b)........... $ 110
1 AnnTaylor Stores Corp. (b)............ 27
1 Applebee's International, Inc. ....... 21
0 Aviation Sales Co. (d)................ 12
0 Baker (J.), Inc. (d).................. 3
3 Bed Bath & Beyond (b)................. 124
2 BJ's Wholesale Club, Inc. (b)......... 51
1 Bob Evans Farms, Inc. ................ 19
1 Bombay Co., Inc. (The)................ 6
0 Books-A-Million, Inc. (d)............. 3
2 Borders Group, Inc. (b)............... 28
2 Brinker International, Inc. (b)....... 41
0 Brown Shoe Company, Inc. (d).......... 9
1 Buffets, Inc. ........................ 12
0 Building Material Holding Co. (d)..... 3
1 Casey's General Stores................ 18
1 Cash America International............ 6
1 Cato Corp. ........................... 7
1 CBRL Group, Inc. ..................... 23
0 CEC Entertainment, Inc. (b)(d)........ 17
1 Cheesecake Factory (The), Inc. ....... 15
1 CKE Restaurants, Inc. ................ 18
1 Claire's Stores, Inc. ................ 31
2 CompUSA, Inc. (b)..................... 16
1 Consolidated Products, Inc. (b)....... 11
0 Damark International, Inc. (d)........ 1
0 Discount Auto Parts, Inc. (d)......... 10
1 Dollar Tree Stores, Inc. (b).......... 62
1 Dress Barn, Inc. (b).................. 8
0 Enesco Group, Inc. (d)................ 9
4 Family Dollar Stores, Inc. ........... 96
1 Fastenal Co. ......................... 47
1 Footstar, Inc. (b).................... 22
2 General Nutrition Co., Inc. (b)....... 35
1 Goody's Family Clothing, Inc. ........ 8
0 Gottschalks, Inc. (d)................. 3
1 Gymboree Corp. ....................... 5
0 Haggar Corp. (d)...................... 3
0 Hancock Fabrics, Inc. (d)............. 2
1 Hannaford Brothers Co. ............... 54
1 Hartmarx Corp. ....................... 3
1 Heilig-Meyers Co. .................... 10
1 IHOP Corp. ........................... 12
0 Jo-Ann Stores, Inc. (d)............... 6
3 Jones Apparel Group, Inc. (b)......... 94
1 Just For Feet......................... 4
1 Landry's Seafood Restaurants.......... 6
1 Lands End, Inc. (b)................... 34
0 Lillian Vernon Corp. (d).............. 3
</TABLE>
Continued
104
<PAGE> 107
- --------------------------------------------------------------------------------
One Group Mutual Funds
Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Retail, continued:
1 Linens 'N Things, Inc. ............... $ 39
1 Lone Star Steakhouse & Saloon......... 8
1 Lubys Cafeterias, Inc. ............... 8
1 Men's Wearhouse, Inc. (b)............. 20
1 Michael's Stores, Inc. (b)............ 21
1 Micro Warehouse, Inc. (b)............. 14
1 O'Reilly Automotive, Inc. ............ 30
1 Oceaneering International, Inc. ...... 8
3 OfficeMax, Inc. (b)................... 35
2 Outback Steakhouse, Inc. (b).......... 67
1 Pacific Sunwear Of California......... 18
1 Panera Bread Co. ..................... 4
1 Payless Shoesource, Inc. (b).......... 43
1 Phillips-Van Heusen................... 6
2 Pier 1 Imports, Inc. ................. 25
1 Regis Corp. .......................... 16
1 Richfood Holdings, Inc. .............. 19
1 Ross Stores, Inc. .................... 55
1 Ruby Tuesday, Inc. ................... 13
1 Ruddick Corp. ........................ 22
1 Russ Berrie & Co, Inc. ............... 12
1 Ryan's Family Steakhouses, Inc. ...... 10
3 Saks, Inc. (b)........................ 95
1 Sbarro, Inc. ......................... 14
1 Shopko Stores, Inc. (b)............... 22
0 Sonic Corp. (d)....................... 13
1 Sports Authority, Inc. (b)............ 3
6 Starbucks Corp. (b)................... 226
1 Stein Mart, Inc. (b).................. 9
1 Stride Rite Corp. .................... 11
0 Taco Cabana, Inc. (d)................. 3
1 TCBY Enterprises, Inc. ............... 8
1 Tiffany & Co. ........................ 77
1 Williams Sonoma, Inc. (b)............. 45
1 Zale Corp. (b)........................ 32
-------
2,219
-------
Shelter (2.8%):
2 American Standard Co. (b)............. 75
1 Bowater, Inc. ........................ 57
1 Champion Enterprises, Inc. (b)........ 20
1 Chesapeake Corp. ..................... 19
3 Clayton Homes, Inc. .................. 38
2 Consolidated Papers, Inc. ............ 56
1 D.R. Horton, Inc. .................... 23
1 Ethan Allen Interiors, Inc. .......... 34
1 Fedders Corp. ........................ 5
0 Florida Rock Industries, Inc. (d)..... 18
1 Furniture Brands International,
Inc. ............................... 33
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Shelter, continued:
2 Georgia Pacific Timber Corp. ......... $ 51
0 Juno Lighting, Inc. (d)............... 10
5 Leggett & Platt, Inc. ................ 124
0 Libbey, Inc. (d)...................... 12
1 Lone Star Industries, Inc. ........... 23
0 MDC Holdings, Inc. (d)................ 9
1 Modine Manufacturing Co. ............. 23
1 Oakwood Homes Corp. .................. 14
1 Pentair, Inc. ........................ 41
1 Rayonier, Inc. ....................... 30
0 Ryland Group, Inc. (d)................ 9
3 Shaw Industry, Inc. .................. 53
0 Skyline Corp. (d)..................... 6
1 Toll Brothers, Inc. .................. 17
0 U S Home Corp. (b)(d)................. 11
1 Winnebago Industries, Inc. ........... 11
-------
822
-------
Technology (22.4%):
2 Acxiom Corp. (b)...................... 45
0 Adaptive Broadband Corp. (d).......... 7
3 ADC Telecommunications, Inc. (b)...... 141
1 Allen Telecom, Inc. .................. 6
5 Altera Corp. (b)...................... 166
0 Amcast Industrial Corp. (d)........... 3
0 Analog Corp. (b)(d)................... 9
4 Analog Devices, Inc. ................. 186
1 Analysts International Corp. ......... 7
1 Anixter International, Inc. (b)....... 16
1 Applied Magnetics Corp. .............. 3
2 Arrow Electronics, Inc. (b)........... 41
1 Aspect Telecommunications Corp. (b)... 12
1 Aspen Technology, Inc. ............... 6
0 AT&T Corp. (d)........................ 14
2 ATMEL Corp. (b)....................... 60
1 Auspex Systems, Inc. ................. 7
1 Avid Technology, Inc. (b)............. 8
1 Avnet, Inc. .......................... 37
0 Banctec, Inc. (b)(d).................. 8
1 BE Aerospace, Inc. ................... 9
0 Benchmark Electronics, Inc. (b)(d).... 11
1 BMC Industries, Inc. ................. 7
1 Breed Technologies, Inc. ............. 2
1 Brightpoint, Inc. .................... 7
1 Burr Brown Corp. ..................... 29
1 C Cube Microsystems, Inc. (b)......... 29
0 C&D Technologies, Inc. (d)............ 9
0 C-Cor Electronics (d)................. 6
1 Cable Design Technologies Corp. ...... 9
</TABLE>
Continued
105
<PAGE> 108
- --------------------------------------------------------------------------------
One Group Mutual Funds
Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
5 Cadence Design Systems, Inc. (b)...... $ 65
1 Cambridge Technology Partners, Inc.
(b)................................. 23
1 Carpenter Technology Corp. ........... 14
0 CDI Corp. (b)(d)...................... 14
0 Centigram Communications Corp. (d).... 1
1 Centurytel, Inc. ..................... 33
1 Cerner Corp. (b)...................... 15
1 Checkpoint Systems, Inc. (b).......... 5
1 Ciber, Inc. (b)....................... 23
1 Cirrus Logic, Inc. ................... 12
2 Citrix System, Inc. (b)............... 113
1 Cognex Corp. ......................... 28
1 Coherent, Inc. ....................... 9
1 Commscope, Inc. ...................... 34
1 Communications Satellite Corp. ....... 39
0 Computer Task Group, Inc. (d)......... 7
2 Comverse Technology, Inc. (b)......... 117
4 Converg's Corp. ...................... 67
1 Cordant Technology, Inc. ............. 36
0 CTS Corp. (d)......................... 21
0 CustomTracks Corp. (d)................ 22
2 Cypress Semiconductor................. 33
1 Dallas Semiconductor Corp. ........... 35
0 Dialogic Corp. (b)(d)................. 18
2 Diebold, Inc. ........................ 49
0 Digi International, Inc. (d).......... 3
1 Digital Microwave Corp. .............. 18
1 Dionex Corp. ......................... 20
0 Eagle Geophysical, Inc. (d)........... 0
0 Electro Scientific Industries, Inc.
(b)(d).............................. 13
0 Electroglas, Inc. (d)................. 8
1 Electronic Arts, Inc. (b)............. 76
1 Epicor Software Corp. ................ 7
1 Etec Systems, Inc. (b)................ 17
1 Exabyte Corp. ........................ 2
0 Factset Research Systems, Inc. (d).... 17
0 Fair Issac & Co., Inc. (d)............ 11
1 Filenet Corp. ........................ 8
3 Fiserv, Inc. (b)...................... 90
1 Gencorp, Inc.......................... 26
1 General Communication, Inc............ 7
1 General Semiconductor, Inc............ 7
2 Gentex Corp. (b)...................... 48
1 Gerber Scientific, Inc................ 11
1 Granite Construction, Inc............. 18
0 Hadco Corp. (b)(d).................... 12
1 Harbinger Corp. ...................... 11
0 Harmon Industries, Inc. (d)........... 4
1 Henry (Jack) & Associates, Inc........ 20
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
1 HNC Software, Inc. (b)................ $ 18
1 Hutchinson Technology, Inc. (b)....... 17
1 Hyperion Solutions Corp. (b).......... 12
1 Inacom Corp. ......................... 13
4 Informix Corp. (b).................... 34
0 Innovex, Inc. (d)..................... 4
0 Insteel Industries, Inc. (d).......... 2
2 Integrated Device Tech, Inc. ......... 20
1 International Rectifier Corp. ........ 16
1 Intervoice, Inc. (b).................. 9
1 Intuit, Inc. (b)...................... 126
0 Itron, Inc. (d)....................... 3
2 Keane, Inc. (b)....................... 36
1 Kemet Corp. .......................... 21
1 Kent Electronics Corp. ............... 12
1 Komag, Inc. .......................... 4
0 Kronos, Inc. (b)(d)................... 14
1 Lattice Semiconductor Corp. .......... 31
1 Legato Systems, Inc................... 52
3 Lexmark International (b)............. 198
4 Linear Technology Corp. (b)........... 236
1 Litton Industries, Inc. (a)........... 72
0 Lydall, Inc. (d)...................... 3
1 Macromedia, Inc. (b).................. 32
0 Marshall Industries Corp. (b)(d)...... 14
1 Martin Marietta Materials, Inc. ...... 65
3 Maxim Integrated Products, Inc. (b)... 206
2 Mentor Graphics Corp. ................ 19
1 Mercury Interactive Corp. (b)......... 28
2 Meritor Automotive, Inc. ............. 41
1 Methode Electronics................... 18
1 Micrel Semiconductor, Inc. ........... 37
1 Microchip Technology, Inc. (b)........ 57
0 Micros Systems, Inc. (b)(d)........... 14
1 Midway Games, Inc. ................... 10
1 National Computer System, Inc. ....... 27
1 National Data Corp. .................. 34
1 National Instruments Corp. (b)........ 32
2 NCR Corp. (b)......................... 112
1 Network Equipment Tech, Inc. ......... 5
3 Networks Associates, Inc. (b)......... 44
1 Novellus Systems, Inc. (b)............ 61
0 Oak Industries, Inc. (b)(d)........... 17
1 Oea, Inc. ............................ 4
2 P-Com, Inc. .......................... 11
0 Park Electrochemical Corp. (d)........ 6
1 Photronics, Inc. (b).................. 15
1 Picturetel Corp. ..................... 6
1 Pioneer Standard Electronics.......... 7
</TABLE>
Continued
106
<PAGE> 109
- --------------------------------------------------------------------------------
One Group Mutual Funds
Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
0 Plantronics, Inc. (d)................. $ 26
2 Platinum Technology International,
Inc. (b)............................ 67
0 Plexus Corp. (b)(d)................... 9
1 Policy Management Systems Corp. (b)... 24
0 Progress Software Corp. (b)(d)........ 11
3 Qualcomm, Inc. (b).................... 475
4 Quantum Corp. (b)..................... 94
2 Rational Software Corp. .............. 66
1 Read-Rite Corp. ...................... 7
2 Reynolds & Reynolds................... 42
1 S3, Inc. ............................. 11
1 Sanmina Corp. (b)..................... 99
1 SCI Systems, Inc. (b)................. 67
0 SEI Corp. (d)......................... 35
1 Seitel, Inc. ......................... 8
2 Sensormatic Electronics Corp. ........ 24
1 Sequent Computer...................... 16
2 Siebel Systems, Inc. (b).............. 133
0 Simpson Industries, Inc. (d).......... 4
0 Spartan Motors, Inc. (d).............. 2
0 Standard Microsystems Corp. (d)....... 2
0 Standard Motor Products (d)........... 7
0 Standard Products Co. (d)............. 10
2 Sterling Commerce, Inc. (b)........... 80
2 Sterling Software, Inc. .............. 51
2 Storage Technology Corp. (b).......... 54
1 Structual Dynamics Research Corp. .... 15
3 Sungard Data Systems, Inc. (b)........ 90
1 Symantec Corp. (b).................... 33
1 Symbol Technologies, Inc. ............ 39
0 Symmetricom, Inc. (d)................. 2
2 Synopsys, Inc. (b).................... 88
1 System Software Association, Inc. .... 2
1 Talk.Com, Inc. ....................... 12
1 TBC Corp. ............................ 4
1 TCSI Corp. ........................... 1
1 Tech Data Corp. (b)................... 46
0 Technitrol, Inc. (d).................. 13
1 Technology Solutions Co. ............. 10
1 Teleflex, Inc. ....................... 39
0 Telxon Corp. (d)...................... 3
2 Teradyne, Inc. (b).................... 136
1 Tetra Tech, Inc. ..................... 14
0 Three-Five Systems, Inc. (d).......... 3
1 Titan International, Inc. ............ 6
1 Trimble Navigation Ltd................ 6
1 Ucar International, Inc. ............. 25
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
1 Ultratech Stepper, Inc. .............. $ 17
0 United Illuminating Co. (d)........... 13
1 United Technologies Corp. ............ 48
1 Unitrode Corp. (b).................... 20
1 Valence Technology, Inc. ............. 4
1 Vantive Corp. ........................ 7
2 Vishay Intertechnology, Inc. (b)...... 42
2 Vitesse Semiconductor Corp. (b)....... 115
0 Watkins-Johnson Co. (d)............... 6
0 Whittaker Corp. (b)(d)................ 11
1 Whittman-Hart, Inc. (b)............... 38
1 X-Rite, Inc. ......................... 3
3 Xilinx, Inc. (b)...................... 189
1 Xircom, Inc. (b)...................... 15
1 Zebra Technologies Corp. (b).......... 27
-------
6,628
-------
Transportation (2.4%):
1 Air Express International Corp. ...... 22
1 Airborne Freight Corp. ............... 33
1 Alaska Air Group, Inc. (b)............ 26
1 Alexander & Baldwin, Inc. ............ 24
1 American Freightways Corp. ........... 14
0 Arkansas Best Corp. (d)............... 4
1 Arnold Industries, Inc. .............. 8
1 CNF Transportation, Inc. ............. 42
2 Comair Holdings, Inc. ................ 47
1 Expeditors International of
Washington, Inc. ................... 30
1 Fritz Cos., Inc. ..................... 9
1 GATX Corp. ........................... 43
1 Heartland Express, Inc. (b)........... 11
1 Hunt (J. B.) Transport Services,
Inc. ............................... 13
3 Kansas City Southern Industries,
Inc. ............................... 159
1 Kirby Corp. (b)....................... 11
0 Landstar System, Inc. (b)(d).......... 7
0 M S Carriers, Inc. (b)(d)............. 9
1 Mesa Air Group, Inc. ................. 5
1 Newport News Shipbuilding, Inc. ...... 24
1 Offshore Logistics, Inc. (b).......... 6
1 Overseas Shipholding Group, Inc. ..... 18
0 Pittston BAX Group (d)................ 4
0 Railtex, Inc. (d)..................... 3
1 Rollins Truck Leasing Corp. .......... 14
1 Skywest, Inc. ........................ 27
1 US Freightways Corp. ................. 28
1 Werner Enterprise, Inc. .............. 22
</TABLE>
Continued
107
<PAGE> 110
- --------------------------------------------------------------------------------
One Group Mutual Funds
Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Transportation, continued:
1 Wisconsin Central Transportation Corp.
(b)................................. $ 23
1 Yellow Corp. ......................... 11
-------
697
-------
Utilities (8.2%):
1 AGL Resources, Inc. .................. 24
3 Allegheny Energy, Inc. ............... 90
0 American States Water Co. (b)(d)...... 6
2 American Water Works, Inc. ........... 58
0 Aquarion Co. (d)...................... 10
1 Baldor Electric Co. .................. 16
0 Bangor Hydro-Electric Co. (d)......... 3
0 Cascade Natural Gas Corp. (d)......... 4
0 Central Hudson Gas/Elec. (d).......... 17
0 Central Vermont Public Services (d)... 4
0 Cilcorp, Inc. (d)..................... 25
3 Cincinnati Bell, Inc. ................ 77
1 Cmp Group, Inc. ...................... 18
2 CMS Energy Corp. ..................... 101
3 Conectiv, Inc. ....................... 61
0 Connecticut Energy Corp. (d).......... 8
1 Devon Energy Corp., Oklahoma.......... 25
4 DPL Corp. ............................ 68
1 Eastern Utilities Associates.......... 15
3 El Paso Energy Corp. ................. 98
3 Energy East Corp. .................... 75
0 Green Mountain Power Corp. (d)........ 1
1 Hawaiian Electric Industries, Inc. ... 25
1 Idacorp, Inc. ........................ 28
2 Illinova Corp. ....................... 44
1 Indiana Energy, Inc. ................. 14
2 Ipalco Enterprises, Inc. ............. 42
1 Kansas City Power & Light Co. ........ 36
3 Keyspan Corp. ........................ 88
3 L G & E Energy Corp. ................. 62
2 MCN Energy Group, Inc. ............... 38
2 Minnesota Power & Light Co. .......... 34
1 Montana Power Co. .................... 92
1 National Fuel Gas Co. ................ 47
1 Nevada Power Co. (b).................. 33
1 New England Electric System........... 70
0 New Jersey Resources Corp. (d)........ 15
3 Nisource, Inc. ....................... 75
3 Northeast Utilities (b)............... 53
1 Northwest Natural Gas................. 14
2 OGE Energy Corp. ..................... 45
0 Orange & Rockland Utilities (d)....... 18
1 Philadelphia Suburban Corp. .......... 22
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Utilities, continued:
2 Pinnacle West Capital Corp. .......... $ 76
3 Potomac Electric Power Co. ........... 79
1 Public Service Co. of New Mexico...... 18
1 Public Service Company of North
Carolina............................ 15
2 Puget Sound Energy, Inc. ............. 46
2 Questar Corp. ........................ 39
2 SCANA Corp. .......................... 56
1 Southwest Gas Corp. .................. 20
1 Southwestern Energy Co. .............. 5
3 TECO Energy, Inc. (b)................. 68
1 Telephone & Data Systems, Inc. ....... 103
0 TNP Enterprises, Inc. (d)............. 11
1 United Water Resources, Inc. ......... 20
2 UtiliCorp United, Inc. ............... 50
1 Washington Gas Light Co. (b).......... 29
1 Wicor, Inc. .......................... 25
3 Wisconsin Energy Corp. ............... 65
-------
2,424
-------
Total Common Stocks 28,688
-------
INVESTMENT COMPANIES (2.2%):
653 One Group Prime Money Market Fund,
Class I............................. 653
-------
Total Investment Companies 653
-------
SHORT-TERM SECURITIES HELD AS COLLATERAL (5.6%):
Master Notes (0.7%):
$ 77 Bear Stearns Mortgage Capital, 6.27%,
7/6/99*............................. 77
38 Merrill Lynch, 6.20%, 7/1/99*......... 38
23 NationsBanc Capital Markets, 6.20%,
7/1/99*............................. 23
77 Willamette Industries, Inc., 5.07%,
9/14/99*............................ 77
-------
215
-------
Put Bonds (3.2%):
104 Amex Centurion, 5.11%, 2/18/00*....... 104
51 Branch Banking & Trust, 5.14%,
12/10/99*........................... 51
33 Branch Banking & Trust, 5.14%,
5/25/00*............................ 33
77 Caterpillar Finance, 5.20%, 5/1/01*... 77
64 Chase Manhattan, 5.26%, 5/6/02*....... 64
59 Evangelical Lutheran, 5.30%,
4/28/00*............................ 59
64 Fleet National Bank, 5.07%,
4/18/00*............................ 64
64 GMAC, 5.22%, 5/03/01*................. 64
26 J.P. Morgan & Co., 5.10%, 5/4/00*..... 26
64 J.P. Morgan & Co., 5.16%, 5/4/01*..... 64
64 Lehman Brothers, 5.20%, 7/20/00*...... 64
26 Liberty Lighthouse, 5.15%, 5/5/00*.... 26
</TABLE>
Continued
108
<PAGE> 111
- --------------------------------------------------------------------------------
One Group Mutual Funds
Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Put Bonds, continued:
$ 64 Merrill Lynch, 5.31%, 5/6/02*......... $ 64
29 Salomon Smith Barney, 5.44%,
2/5/01*............................. 29
64 Sigma Finance Inc., 5.14%, 3/31/00*... 64
77 SPARCC, 5.38%, 3/24/00*............... 77
-------
930
-------
Repurchase Agreements (1.7%):
192 Goldman Sachs, 6.09%, 7/1/99,
(Collateralized by $204 various
Corporate Bonds, 5.33% - 9.88%,
10/1/99 - 10/30/45, market value
$203)............................... 192
22 Lehman Brothers, 5.85%, 7/1/99,
(Collateralized by $24 various
Commercial Papers, 0.00% - 5.06%,
9/20/99 - 10/4/99, market value
$24)................................ 22
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Repurchase Agreements, continued:
$ 154 Lehman Brothers, 6.25%, 7/1/99,
(Collateralized by $4 various Equity
Securities, market value $162)...... $ 154
128 Merrill Lynch, 6.10%, 7/1/99,
(Collateralized by $135 various
Commercial Papers, 0.00% - 5.12%,
7/8/99 - 8/2/99, market value
$135)............................... 128
-------
496
-------
Total Short-Term Securities Held as Collateral 1,641
-------
Total (Cost $26,179) (a) $30,982
=======
</TABLE>
- ------------
Percentages indicated are based on net assets of $29,475.
(a) Represents cost for financial reporting purposes and differs from value by
net unrealized appreciation of securities as follows (amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 7,049
Unrealized depreciation...................... (2,246)
-------
Net unrealized appreciation.................. $ 4,803
=======
</TABLE>
(b) Non-income producing securities.
(c) A portion of this security was loaned as of June 30, 1999.
(d) Rounds to less than 1,000
* Variable rate securities having liquidity agreements. The interest rate,
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, 1999.
See notes to financial statements.
109
<PAGE> 112
- --------------------------------------------------------------------------------
One Group Mutual Funds
International Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS (94.0%):
ARGENTINA (0.6%):
Banking & Finance (0.1%):
48 Banco de Galicia Bue, Class B........ $ 251
23 Banco Frances Rio Pl................. 153
--------
404
--------
Beverages & Tobacco (0.0%):
0 Buenos Aires Embottelladora SA,
Class B (b)(e)..................... 0
--------
Construction (0.0%):
68 Astra Cia Argentin (b)............... 122
--------
Metals & Mining (0.0%):
6 Siderar SA, Class A.................. 20
156 Siderca SA........................... 209
--------
229
--------
Oil & Gas Exploration, Production & Services (0.4%):
57 Perez Companc SA..................... 331
54 YPF Sociedad Anonima................. 2,144
--------
2,475
--------
Telecommunications (0.1%):
276 Telefonica de Argentina SA, Class
B.................................. 885
--------
4,115
--------
AUSTRALIA (2.4%):
Banking (0.6%):
136 National Australia Bank, Ltd. ....... 2,253
181 Westpac Banking Corp., Ltd. (c)...... 1,172
--------
3,425
--------
Beverages & Tobacco (0.0%):
68 Coca-Cola Amatil Ltd. ............... 276
--------
Brewery (0.1%):
151 Foster's Brewing Group............... 426
--------
Broadcasting & Publishing (0.3%):
155 News Corp., Ltd. (b)................. 1,322
144 News Corporation Preferred Limited
Voting Shares...................... 1,099
--------
2,421
--------
Building Products (0.1%):
162 Boral Ltd. .......................... 276
89 CSR Ltd. ............................ 254
28 Hardie (James) Industries............ 73
13 Metal Manufactures Limited........... 16
71 Pioneer International Ltd. .......... 180
--------
799
--------
Chemicals (0.0%):
33 Orica Ltd. .......................... 179
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Australia, continued:
Containers & Packaging (0.0%):
5 Amcor Ltd. .......................... $ 29
--------
Diversified (0.1%):
44 Futuris Corporation Ltd. ............ 64
15 Smith (Howard) Ltd. ................. 115
82 Southcorp Holdings Ltd. ............. 331
--------
510
--------
Engineering (0.0%):
35 Leighton Holdings Ltd. .............. 137
--------
Entertainment (0.0%):
3 Publishing and Broadcasting.......... 20
14 Tabcorp Holdings Ltd. ............... 95
--------
115
--------
Food Products & Services (0.0%):
284 Goodman Fielder Ltd. ................ 253
--------
Gas Utility (0.1%):
71 Australian Gas Light Co. ............ 431
--------
Insurance (0.2%):
93 Amp Ltd. ............................ 1,012
37 QBE Insurance Group Ltd. ............ 140
--------
1,152
--------
Manufacturing-Capital Goods (0.0%):
110 Pacific Dunlop Ltd. ................. 159
--------
Metals (0.0%):
5 Iluka Resources Ltd. ................ 10
--------
Metals & Mining (0.2%):
131 Broken Hill Proprietary Co., Ltd. ... 1,513
74 Santos Ltd. ......................... 242
13 WMC Ltd. ............................ 56
--------
1,811
--------
Metals (Non-ferrous) (0.0%):
8 Rio Tinto Ltd. ...................... 134
--------
Real Estate (0.2%):
186 General Property Trust............... 303
42 Lend Lease Corp. .................... 571
135 Stockland Trust Group................ 309
174 Westfield Trust...................... 351
--------
1,534
--------
Retail-Stores/Catalog (0.1%):
138 Coles Myer Ltd. ..................... 804
--------
Services (0.1%):
24 Brambles Industries Ltd. ............ 632
--------
</TABLE>
Continued
110
<PAGE> 113
- --------------------------------------------------------------------------------
One Group Mutual Funds
International Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Australia, continued:
Telecommunications-Equipment (0.3%):
375 Telstra Corporation Ltd. ............ $ 2,147
--------
Tobacco (0.0%):
5 Rothmans Holdings.................... 49
--------
17,433
--------
AUSTRIA (1.3%):
Airlines (0.1%):
19 Austrian Airlines.................... 459
--------
Banking & Finance (0.5%):
56 Bank Austria AG, Participating
Certificates....................... 2,921
--------
Beverages & Tobacco (0.0%):
4 Osterreichische Brau-Beteiligungs
AG................................. 175
--------
Building Products (0.1%):
19 Wienerberger Baustoffindustrie AG.... 492
--------
Chemicals (0.0%):
3 Lenzing AG........................... 145
--------
Engineering (0.1%):
7 VA Technologie AG.................... 589
--------
Environmental Services (0.0%):
1 BWT AG............................... 208
--------
Insurance (0.1%):
3 EA-Generali AG....................... 523
--------
Miscellaneous Materials & Commodities (0.0%):
10 Radex-Heraklith Industriebeteiligungs
AG................................. 278
--------
Oil & Gas Exploration, Production & Services (0.1%):
11 OMV AG............................... 1,012
--------
Paper Products (0.0%):
1 Mayr-Melnhof Karton AG............... 36
--------
Steel (0.0%):
2 Boehler Uddeholm..................... 119
--------
Telecommunications-Services and Equipment (0.3%):
14 Osterreichische
Elekrizitaitswirtschafts-AG, Class
A (b).............................. 1,973
--------
Tobacco (0.0%):
5 Austria Tabakwerke AG................ 315
--------
Transportation (0.0%):
8 Flughafen Wien AG.................... 350
--------
9,595
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
BELGIUM (1.5%):
Automotive (0.0%):
0 SA D'Ieteren NV (e).................. $ 185
--------
Banking (0.2%):
30 Kredietbank NV....................... 1,782
13 Kredietbank Strip (b)................ 0
--------
1,782
--------
Chemicals (0.1%):
9 Solvay SA............................ 626
--------
Electric Utility (0.1%):
7 Tractebel Inv Cap.................... 1,010
--------
Industrial Holding Company (0.1%):
3 Groupe Bruxelles Lambert SA.......... 578
--------
Insurance (0.4%):
67 Foritg AG............................ 2,114
--------
Merchandising (0.1%):
7 Delhaize-Le Lion SA.................. 613
--------
Metals & Mining (0.0%):
3 Union Miniere Group.................. 123
--------
Oil & Gas Exploration, Production & Services (0.2%):
3 PetroFina SA......................... 1,476
--------
Pharmaceuticals (0.1%):
13 UCB Cap Npv Ord...................... 544
--------
Retail-Stores/Catalog (0.0%):
0 Colrayt (e).......................... 66
--------
Telecommunications-Services and Equipment (0.2%):
5 Electrabel SA........................ 1,622
--------
10,739
--------
BRAZIL (0.2%):
Auto Parts (0.0%):
8 Marcopolo SA......................... 9
--------
Banking (0.0%):
2,485 Banco do Estado De SA................ 106
3,218 Uniao de Bancos Brasileir............ 54
--------
160
--------
Beverages & Tobacco (0.0%):
41 Companhia Cervejaria Brahma.......... 16
--------
Chemicals (0.0%):
41 White Martins SA..................... 19
--------
</TABLE>
Continued
111
<PAGE> 114
- --------------------------------------------------------------------------------
One Group Mutual Funds
International Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Brazil, continued:
Electric Utility (0.2%):
43,175 Centrais Electricas Brasileiras SA... $ 817
8,991 Centrais Geradoras (b)............... 7
195 Cia Paulista De Forca E Luz.......... 12
--------
836
--------
Gaming (0.0%):
5 Companhia Vidraria Santa Maria....... 6
--------
Steel (0.0%):
3,589 Companhia Siderurgica Nacional....... 92
--------
Telecommunications (0.0%):
1,865 Embratel Participacoes SA (b)........ 14
1,865 Tele Centro Sul Participacoes (b).... 10
1,865 Tele Norte Leste Participacoes (b)... 17
1,865 Telesp Celular Participacoes......... 10
193 Telesp Celular SA.................... 6
1,865 Telesp Participacoes SA.............. 23
--------
80
--------
Tobacco (0.0%):
33 Souza Cruz SA........................ 232
--------
1,450
--------
CHILE (0.4%):
Banking & Finance (0.0%):
7 Banco de Santiago ADR................ 140
--------
Beverages & Tobacco (0.1%):
11 Embotelladora Andina SA ADR.......... 174
7 Embotelladora Andina SA, Series A
ADR................................ 137
5 Vina Concho y Toro SA ADR............ 162
--------
473
--------
Chemicals (0.0%):
6 Quimica Y Minera Chile SA ADR........ 227
--------
Electric Utility (0.1%):
2 Chilectra SA ADR..................... 48
23 Enersis SA ADR....................... 518
15 Gener SA ADR......................... 259
--------
825
--------
Forest Products (0.0%):
14 Masisa SA ADR........................ 145
--------
Metals & Mining (0.0%):
17 Madeco SA ADR........................ 175
--------
Packaging (0.0%):
9 Cristalerias de Chile ADR............ 131
--------
Pharmaceuticals (0.0%):
9 Laboratorio Chile ADR................ 162
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Chile, continued:
Telecommunications (0.2%):
35 Telecomunicaciones de Chile SA ADR... $ 859
--------
3,137
--------
DENMARK (1.1%):
Banking & Finance (0.3%):
7 Danske Bank.......................... 808
8 Unidanmark A/S, Class A.............. 541
--------
1,349
--------
Beverages & Tobacco (0.0%):
3 Carlsberg A/S, Class A............... 119
3 Carlsberg A/S, Class B............... 140
--------
259
--------
Commercial Services (0.0%):
4 ISS International Service System A/S,
Class B (b)........................ 198
--------
Diversified (0.0%):
13 Superfos A/S......................... 171
--------
Electronics (0.0%):
2 Bang & Olufsen Holding............... 118
--------
Engineering (0.0%):
6 FLS Industries A/S B................. 152
--------
Food Products & Services (0.1%):
9 Danisco A/S.......................... 384
--------
Pharmaceuticals (0.1%):
9 Novo Nordisk A/S, Class B............ 994
--------
Telecommunications (0.1%):
22 Tele Danmark A/S, Class B............ 1,088
--------
Telecommunications-Equipment (0.0%):
2 GN Store Nord........................ 71
--------
Transportation & Shipping (0.5%):
0 D/S 1912, Class B (e)................ 1,490
0 D/S Svendborg A/S, Class B (e)....... 1,462
5 SAS Danmark A/S...................... 47
--------
2,999
--------
7,783
--------
FINLAND (1.0%):
Banking & Finance (0.1%):
67 Merita Ltd., Class A................. 381
--------
Computer Software (0.0%):
0 Tieto Corp, Class B (e).............. 20
--------
Food Products & Services (0.0%):
13 Raisio Group PLC..................... 123
--------
</TABLE>
Continued
112
<PAGE> 115
- --------------------------------------------------------------------------------
One Group Mutual Funds
International Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Finland, continued:
Forest Products (0.1%):
22 UPM-Kymmene Corp. ................... $ 671
--------
Health Care (0.0%):
3 Instrumentarium Group, Series A...... 130
--------
Insurance (0.0%):
4 Pohjola Insurance Group, Class B..... 180
6 Sampo Insurance Co. ................. 159
--------
339
--------
Metals (0.0%):
20 Outokumpo OY, Class A................ 226
--------
Telecommunications (0.8%):
57 Nokia Oyj, Class A................... 4,997
23 Sonera Group Oyj..................... 497
--------
5,494
--------
7,384
--------
FRANCE (9.2%):
Aluminum (0.0%):
4 Pechiney SA, Class A................. 161
--------
Appliances & Household Products (0.0%):
0 Group Seb SA (e)..................... 25
--------
Automotive (0.2%):
4 PSA Peugeot.......................... 684
6 Valeo................................ 512
--------
1,196
--------
Banking (0.7%):
23 Banque Nationale de Paris (c)........ 1,878
15 Paribas.............................. 1,635
10 Societe Generale..................... 1,789
--------
5,302
--------
Beverages & Tobacco (0.4%):
9 LVMH (Moet Hennessy Louis Vuitton)... 2,545
6 Pernod Ricard........................ 387
--------
2,932
--------
Broadcasting/Cable (0.1%):
3 Canal Plus........................... 851
--------
Building Products (0.2%):
2 Imetal SA............................ 371
9 Lafarge SA........................... 879
--------
1,250
--------
Business Service (0.6%):
50 Vivendi (c).......................... 4,042
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
France, continued:
Chemicals (0.4%):
8 L'Air Liquide........................ $ 1,273
30 Rhone-Poulenc SA (c)................. 1,384
--------
2,657
--------
Commercial Services (0.1%):
4 Sodexho SA........................... 676
--------
Computer Software (0.0%):
9 Dassault Systems SA.................. 303
--------
Construction (0.1%):
3 Bouygues (c)......................... 707
--------
Defense (0.1%):
1 Sagem SA (c)......................... 371
16 Thomson CSF (c)...................... 551
--------
922
--------
Diversified (0.1%):
1 Chargeurs International SA........... 43
12 Lagardere SCA........................ 460
--------
503
--------
Electrical & Electronic (0.6%):
19 Alcatel Alsthom...................... 2,723
3 Legrand SA........................... 531
16 Schneider SA......................... 879
--------
4,133
--------
Energy (0.9%):
25 Elf Aquitane SA...................... 3,656
21 Total SA, Class B.................... 2,742
--------
6,398
--------
Engineering (0.1%):
2 Compagnie Francaise d'Etudes et de
Construction Technip............... 278
1 Groupe Gtm (b)....................... 110
--------
388
--------
Financial Services (0.0%):
1 CPR SA............................... 54
0 Eurafrance (e)....................... 185
2 Natexis SA........................... 127
--------
366
--------
Food & Household Products (0.1%):
4 Eridania Beghin-Say SA (c)........... 564
--------
Food Products & Services (0.2%):
7 Groupe Danone........................ 1,804
--------
</TABLE>
Continued
113
<PAGE> 116
- --------------------------------------------------------------------------------
One Group Mutual Funds
International Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
France, continued:
Health & Personal Care (0.9%):
6 L'Oreal.............................. $ 4,121
63 Sanofi Synthelabo SA (b)............. 2,675
--------
6,796
--------
Industrial Goods & Services (0.1%):
14 Michelin Class B, Registered......... 558
--------
Industrial Holding Company (0.3%):
13 Lyonnaise des Eaux SA................ 2,298
--------
Insurance (0.7%):
1 AXA Certificates Of Gaurantee (b).... 4
32 AXA SA............................... 3,873
6 Cap Gemini (c)....................... 957
--------
4,834
--------
Leisure (0.1%):
4 Accor SA............................. 884
--------
Lodging (0.0%):
0 Club Mediterranee (e)................ 35
--------
Machine-Diversified (0.0%):
3 Sidel................................ 343
--------
Media (0.1%):
4 Pathe SA (c)......................... 485
--------
Medical Supplies (0.0%):
1 Essilor Intl......................... 189
--------
Merchandising (0.9%):
20 Carrefour............................ 2,944
7 Casino Guichard-Perrachon (c)........ 594
10 Pinault Printemps Redoute SA......... 1,762
2 Promodes (c)......................... 1,105
--------
6,405
--------
Metals (Non-ferrous) (0.0%):
21 Usinor (c)........................... 312
--------
Office Equipment & Services (0.0%):
6 BIC.................................. 330
--------
Oil & Gas (0.2%):
1 Cie Gen Geophysiq.................... 32
1 Coflexip SA.......................... 77
8 Compagnie de Saint Gobain (c)........ 1,313
--------
1,422
--------
Telecommunications-Services and Equipment (1.0%):
93 France Telecom (c)................... 7,064
--------
Tobacco (0.0%):
2 Seita................................ 92
--------
67,227
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
GERMANY (13.9%):
Airlines (0.1%):
52 Lufthansa AG......................... $ 935
--------
Automotive (2.1%):
137 DaimlerChrysler (b)(c)............... 11,890
20 Man AG............................... 696
2 Man AG Vorzugsaktien................. 47
43 Volkswagen AG........................ 2,771
--------
15,404
--------
Banking (2.1%):
95 Bayer AG............................. 3,946
55 Bayerische Vereinsbank AG............ 3,567
84 Deutsche Bank AG..................... 5,140
71 Dresdner Bank AG..................... 2,776
--------
15,429
--------
Building Products (0.1%):
6 Heidelberger Zement AG............... 518
--------
Chemicals (0.5%):
81 BASF AG.............................. 3,598
--------
Computer Software (0.7%):
8 SAP AG............................... 2,689
6 SAP AG, Vorzugsaktien................ 2,258
--------
4,947
--------
Conglomerates (1.2%):
35 Metro AG (c)......................... 2,176
24 Preussag AG.......................... 1,290
64 VEBA AG.............................. 3,739
3 Viag AG (c).......................... 1,441
--------
8,646
--------
Construction (0.1%):
9 Hochtief AG.......................... 411
--------
Consumer Goods & Services (0.1%):
5 Adidas AG (c)........................ 513
--------
Electrical & Electronic (0.8%):
79 Siemens AG........................... 6,104
--------
Engineering (1.1%):
5 AGIV AG.............................. 122
5 Bilfinger & Berger Bau AG............ 130
52 Mannesmann AG (c).................... 7,689
--------
7,941
--------
</TABLE>
Continued
114
<PAGE> 117
- --------------------------------------------------------------------------------
One Group Mutual Funds
International Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Germany, continued:
Gas & Electric Utility (0.4%):
59 RWE AG............................... $ 2,736
11 RWE AG -- Pfd........................ 373
--------
3,109
--------
Health Care (0.1%):
8 Schering AG (c)...................... 825
--------
Industrial Goods & Services (0.0%):
3 Carbon AG (b)........................ 203
--------
Insurance (2.1%):
32 Allianz AG (c)....................... 8,961
7 AMB Aachener und Muenchener
Beteiligungs AG.................... 680
3 CKAG Colonia Konzern AG.............. 294
9 Muenchener Rueckver (b).............. 1,678
0 Muenchener Rueckversicherungs
Gesellschaft AG, Bearer Shares
(e)................................ 85
20 Muenchener Rueckversicherungs
Gesellschaft AG, Registered Shares
(c)................................ 3,645
--------
15,343
--------
Investment Company (0.1%):
10 Beiersdorf AG (b).................... 690
--------
Machinery & Equipment (0.1%):
7 Kloeckner-Humbolt-Deutz AG (b)....... 49
1 Linde AG............................. 641
4 Rheinmetall AG....................... 78
--------
768
--------
Metals & Mining (0.2%):
9 Kugelfischer Georg Schaefer AG....... 94
68 Thyssen Krupp AG (b)................. 1,505
--------
1,599
--------
Pharmaceuticals (0.1%):
22 Merck KGaA........................... 716
--------
Retail (0.1%):
1 Karstadt AG.......................... 557
--------
Retail-General Merchandise (0.0%):
5 Douglas Holding AG................... 210
--------
Retail-Stores/Catalog (0.0%):
1 Metro AG............................. 17
--------
Telecommunications (1.8%):
321 Deutsche Telekom AG (b).............. 13,456
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Germany, continued:
Tire & Rubber (0.0%):
10 Continental AG....................... $ 244
--------
102,183
--------
GREECE (0.5%):
Appliances & Household Products (0.0%):
3 Fourlis Brothers Corp. .............. 61
--------
Banking & Finance (0.3%):
7 Alpha Credit Bank.................... 470
6 Commercial Bank of Greece SA......... 394
3 Ergo Bank SA......................... 347
9 National Bank of Greece SA........... 575
--------
1,786
--------
Beverages & Tobacco (0.0%):
9 Hellenic Bottling Co. SA............. 217
2 Papastratos Cigarette................ 53
--------
270
--------
Food Products & Services (0.0%):
2 Elais Co. ........................... 47
--------
Health Care (0.0%):
4 Athens Medical Care.................. 110
--------
Insurance (0.0%):
4 Aspis Pronia (b)..................... 74
--------
Miscellaneous Materials & Commodities (0.0%):
0 Silver & Baryte Ores Mining (e)...... 7
--------
Packaging (0.0%):
3 Hellas Can SA........................ 113
--------
Telecommunications (0.2%):
38 Hellenic Telecommunication
Organization....................... 822
2 Intracom SA.......................... 155
--------
977
--------
Textile Products (0.0%):
10 El. D. Mouzakis SA................... 85
--------
Transportation & Shipping (0.0%):
11 Attica Enterprises................... 124
--------
3,654
--------
HONG KONG (1.2%):
Airlines (0.1%):
248 Cathay Pacific Airways............... 380
--------
Automotive (0.0%):
250 Tan Chong International Ltd. (b)..... 61
--------
</TABLE>
Continued
115
<PAGE> 118
- --------------------------------------------------------------------------------
One Group Mutual Funds
International Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Hong Kong, continued:
Banking (0.2%):
67 Bank of East Asia Ltd. (b)........... $ 169
88 Hang Seng Bank....................... 984
--------
1,153
--------
Broadcasting & Publishing (0.0%):
75 Television Broadcasts Ltd. .......... 352
--------
Business Service (0.0%):
77 Wharf Holdings....................... 240
--------
Conglomerates (0.0%):
45 Swire Pacific Ltd., Class A.......... 223
--------
Electrical Equipment (0.0%):
255 Elec & Eltek International Holdings
Ltd. .............................. 45
57 Johnson Electric Holdings............ 233
--------
278
--------
Gas Utility (0.1%):
443 Hong Kong & China Gas................ 642
--------
Industrial Holding Company (0.3%):
191 Hutchison Whampoa Ltd. .............. 1,730
--------
Investment Company (0.1%):
169 CLP Holdings......................... 819
--------
Real Estate (0.2%):
51 Cheung Kong (Holdings)............... 454
21 Hysan Development.................... 32
18 Shangri-La Asia Ltd. ................ 22
100 Sino Land Company.................... 57
62 Sun Hung Kai Properties Ltd. ........ 565
--------
1,130
--------
Telecommunications (0.2%):
574 Hong Kong Telecommunications Ltd. ... 1,492
--------
8,500
--------
HUNGARY (0.4%):
Banking (0.1%):
11 Otp Bank Rt.......................... 451
--------
Drugs (0.0%):
8 Gedeon Richter Rt.................... 330
--------
Hotels & Lodging (0.0%):
1 Danubius Hotel and Spa Rt (b)........ 9
--------
Oil & Gas (0.1%):
21 Mol Magyar Olaj-Es Gazipari Rt....... 513
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Hungary, continued:
Telecommunications (0.2%):
263 Matav Rt............................. $ 1,426
--------
2,729
--------
INDIA (0.6%):
Aluminum (0.1%):
17 Hindalco Industries Ltd. GDR......... 334
23 Indian Aluminum Company Ltd. GDR..... 39
--------
373
--------
Automotive (0.0%):
4 Mahindra & Mahindra Ltd. GDR......... 25
15 Tata Engineering & Locomotive Co.,
Ltd. GDR........................... 85
--------
110
--------
Building Products (0.0%):
27 Gujarat Ambuja Cements Ltd. GDR...... 219
--------
Chemicals (0.0%):
10 Indian Petrochemicals Corp., Ltd.
GDR................................ 72
95 Indo Gulf Fertilizers and Chemicals
Corp., Ltd. GDR (b)................ 112
25 United Phosphorus Ltd. GDR........... 67
--------
251
--------
Diversified (0.2%):
30 Grasim Industries Ltd. GDR........... 223
17 ITC Ltd. GDR......................... 487
--------
710
--------
Hotels & Lodging (0.0%):
14 East India Hotels Ltd. GDR........... 68
19 Indian Hotels Co., Ltd. GDR.......... 146
--------
214
--------
Manufacturing-Capital Goods (0.1%):
3 Ashok Leyland Ltd. GDR............... 15
56 India Cements Ltd. GDR............... 54
28 Larsen & Toubro Ltd. GDR............. 431
--------
500
--------
Metals & Mining (0.0%):
20 Steel Authority of India Ltd. GDR.... 51
--------
Pharmaceuticals (0.0%):
20 Ranbaxy Laboratories Ltd. GDR........ 334
--------
</TABLE>
Continued
116
<PAGE> 119
- --------------------------------------------------------------------------------
One Group Mutual Funds
International Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
India, continued:
Textile Products (0.2%):
74 Arvind Mills Ltd. GDR................ $ 67
22 Bombay Dye & Manufacturing Co. GDR... 25
89 Century Textile & Industries Ltd.
GDR................................ 116
41 Indian Rayon & Industries Ltd. GDR... 144
8 Raymond Ltd. GDR..................... 38
61 Reliance Industries Ltd. GDR......... 610
--------
1,000
--------
Transportation (0.0%):
21 Bajaj Auto Ltd. GDR.................. 339
--------
Transportation -- Shipping (0.0%):
21 Great Eastern Shipping Co. GDR....... 64
--------
4,165
--------
IRELAND (0.4%):
Airlines (0.0%):
19 Ryanair Holdings PLC................. 199
--------
Banking & Finance (0.2%):
11 Allied Irish Banks................... 140
90 Allied Irish Banks PLC............... 1,180
--------
1,320
--------
Beverages & Tobacco (0.0%):
77 James Crean PLC...................... 92
--------
Construction (0.1%):
30 CRH PLC.............................. 534
--------
Diversified (0.0%):
5 DCC PLC.............................. 42
--------
Financial Services (0.1%):
36 Irish Permanent PLC.................. 378
--------
Hotels & Lodging (0.0%):
1 Jurys Hotel Group PLC................ 10
--------
Industrial Goods & Services (0.0%):
105 Smufit (Jefferson) Group............. 246
--------
Media (0.0%):
34 Independent Newspapers PLC........... 161
--------
2,982
--------
ISRAEL (0.5%):
Banking (0.2%):
229 Bank Hapoalim Ltd. .................. 587
80 First International Bank of Israel
(1)................................ 97
20 First International Bank of Israel
(5)................................ 125
--------
809
--------
Chemicals (0.0%):
278 Israel Chemicals Ltd. (b)............ 339
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Israel, continued:
Computer Hardware (0.0%):
8 Scitex Corp., Ltd. .................. $ 78
--------
Construction (0.0%):
35 Industrial Buildings Corp. .......... 66
--------
Diversified (0.0%):
6 Elco Holdings Ltd. .................. 59
6 IDB Holding Corp., Ltd. ............. 167
1 Israel Corp., Ltd. (b)............... 111
--------
337
--------
Food Products & Services (0.0%):
17 Osem Investment Ltd. (b)............. 102
11 Super-Sol Ltd. ADR................... 161
--------
263
--------
Insurance (0.0%):
9 Clal Insurance Enterprise Holdings... 124
--------
Investment Company (0.0%):
94 Makhteshim Agan Industries (b)....... 212
--------
Materials (0.0%):
0 Israel Petrochemical Enterprises
(b)(e)............................. 2
--------
Paper Products (0.0%):
1 American Israeli Paper Mills......... 44
--------
Pharmaceuticals (0.1%):
1 Agis Industries Ltd. (b)............. 5
11 Teva Pharmaceutical ADR.............. 524
--------
529
--------
Real Estate (0.0%):
0 Africa-Israel Investments Ltd.
(b)(e)............................. 14
1 Property & Building Corp., Ltd. ..... 66
--------
80
--------
Telecommunications (0.1%):
113 Bezeq Israeli Telecom Co. (b)........ 456
3 Koor Industries ADR.................. 61
--------
517
--------
Telecommunications-Equipment (0.1%):
13 ECI Telecommunications............... 441
1 Gilat Satellite Networks Ltd. ....... 58
--------
499
--------
3,899
--------
ITALY (7.3%):
Agriculture (0.0%):
221 Parmalat Finanziaria SpA (c)......... 289
--------
</TABLE>
Continued
117
<PAGE> 120
- --------------------------------------------------------------------------------
One Group Mutual Funds
International Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Italy, continued:
Airlines (0.1%):
230 Alitalia SpA......................... $ 598
--------
Auto Parts (0.0%):
132 Magneti Marelli SpA (c).............. 175
--------
Automotive (0.3%):
598 Fiat SpA (c)......................... 1,892
182 Fiat SpA di Risp (Non-convertible)... 311
--------
2,203
--------
Banking (1.5%):
294 Banca Commerciale Italiana (c)....... 2,147
150 Banca Intesa SpA RNC (c)............. 336
50 Banca Popolare di Milano............. 389
220 Bancario San Paolo di Torino......... 2,997
392 Banco Ambrosiano Veneto SpA.......... 1,884
792 Credito Italiano SpA (c)............. 3,479
--------
11,232
--------
Broadcasting & Publishing (0.2%):
189 Mediaset SpA (c)..................... 1,677
--------
Building Products (0.1%):
10 Cementir SpA......................... 11
31 Italcementi SpA (c).................. 387
13 Italcementi SpA RNC.................. 63
--------
461
--------
Chemicals (0.2%):
626 Montedison SpA (c)................... 1,020
224 Montedison SpA-RNC................... 260
120 Snia MPD SpA (c)..................... 150
--------
1,430
--------
Engineering (0.0%):
125 Impregilo SpA (b)(c)................. 106
--------
Financial Services (0.2%):
126 Mediobanca SpA....................... 1,316
--------
Gas & Electric Utility (0.2%):
92 Edison SpA (c)....................... 794
101 Italgas SpA (c)...................... 424
--------
1,218
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Italy, continued:
Insurance (1.1%):
150 Assicurazioni Generali............... $ 5,190
593 Istituto Nazionale delle
Assicurazioni (c).................. 1,377
77 Riuniune Adriatici de Sicurta SpA
(c)................................ 746
44 Riuniune Adriatici de Sicurta SpA
RNC................................ 370
21 SAI SpA RNC.......................... 107
24 Societa Assicuratrice Industriale
(SAI) SpA.......................... 245
658 Unione Immobiliare (b)(c)............ 292
--------
8,327
--------
Jewelry (0.0%):
44 Bulgari SpA.......................... 293
--------
Office Equipment & Services (0.2%):
481 Olivetti SpA (b)(c).................. 1,156
--------
Oil & Gas (1.0%):
1,247 Ente Nazionale Idrocarburi (ENI) SpA
(c)................................ 7,444
--------
Paper Products (0.0%):
25 Burgo (Cartiere) SpA................. 160
--------
Printing & Publishing (0.1%):
25 Mandadori............................ 428
--------
Retail (0.0%):
37 La Rinascente SpA (c)................ 277
--------
Telecommunications (1.9%):
22 Sirti SpA (c)........................ 105
1,015 Telecom Italia Mobile SpA di Risp
(Non-convertible) (c).............. 6,059
563 Telecom Italia SpA................... 5,849
232 Telecom Italia SpA (c)............... 852
133 Telecom Italia SpA RNC............... 721
--------
13,586
--------
Textile Products (0.1%):
308 Benetton Group SpA................... 606
13 Marzotto (Gaetano) & Figli SpA....... 102
--------
708
--------
Tire & Rubber (0.1%):
283 Pirelli SpA (c)...................... 771
--------
53,855
--------
JAPAN (28.6%):
Airlines (0.1%):
20 All Nippon Airways Co., Ltd. (b)..... 61
218 Japan Airlines (c)................... 721
--------
782
--------
</TABLE>
Continued
118
<PAGE> 121
- --------------------------------------------------------------------------------
One Group Mutual Funds
International Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Japan, continued:
Appliances & Household Products (1.7%):
229 Matsushita Electric Industrial Co.,
Ltd. .............................. $ 4,446
19 Pioneer Electronic Corp. ............ 370
229 Sanyo Electric Co. .................. 931
129 Sharp Corp. (c)...................... 1,524
45 Sony Corp. .......................... 4,852
--------
12,123
--------
Automotive (2.6%):
5 Autobacs Seven Co. .................. 262
108 Honda Motor Co., Ltd. ............... 4,578
225 Nissan Motor Co., Ltd. (b)........... 1,075
22 Sanden............................... 175
33 Toyoda Automatic Loom Works (c)...... 560
413 Toyota Motor Corp. .................. 13,070
--------
19,720
--------
Banking (2.9%):
54 77th Bank Ltd. ...................... 473
282 Asahi Bank Ltd. ..................... 1,351
118 Ashikaga Bank........................ 230
512 Bank of Tokyo -- Mitsubishi.......... 7,284
91 Bank of Yokohama Ltd. ............... 234
74 Chiba Bank Ltd. (c).................. 273
310 Fuji Bank Ltd. (c)................... 2,162
81 Gunma Bank (c)....................... 509
81 Higo Bank Ltd. ...................... 331
116 Hokuriku Bank (b).................... 230
116 Industrial Bank of Japan............. 920
132 Joyo Bank............................ 514
76 Mitsubishi Trust & Banking Corp. .... 738
225 Sakura Bank Ltd. .................... 853
344 Sumitomo Bank (b)(c)................. 4,267
186 Tokai Bank (c)....................... 1,060
41 Yamaguchi Bank....................... 371
--------
21,800
--------
Basic Industry (0.1%):
69 Sekisui Chemical Co., Ltd. .......... 400
--------
Beverages & Tobacco (0.4%):
79 Asahi Breweries Ltd. ................ 983
109 Kirin Brewery Co., Ltd. ............. 1,305
36 Sapporo Breweries.................... 160
25 Takara Shuzo (c)..................... 204
--------
2,652
--------
Broadcasting & Publishing (0.0%):
21 Tokyo Broadcasting System............ 304
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Japan, continued:
Building Products (0.2%):
113 Chichibu Onoda Cement Co. ........... $ 324
8 Dianippon Screen Manufacturing Co.,
Ltd. (b)........................... 41
35 Sanwa Shutter Corp. ................. 190
28 Tostem Corp.......................... 537
8 Toyo Exterior Co., Ltd. ............. 93
--------
1,185
--------
Chemicals (1.6%):
166 Asahi Chemical Industry Co., Ltd. ... 920
53 Daicel Chemical Industries Ltd. ..... 195
103 Dainippon Ink & Chemicals, Inc. ..... 351
56 Denki Kagaku Kogyo K.K. ............. 123
59 Ishihara Sangyo Kaisha (b)........... 112
43 Kaneka Corp. ........................ 405
40 Konica Corp. ........................ 165
36 Kureha Chemical Industry............. 96
232 Mitsubishi Chemical Corp. (c)........ 803
68 Mitsubishi Gas Chemical Co. ......... 215
24 Nippon Shokubai K.K. Co. ............ 143
17 NOF Corp. ........................... 44
46 Shin-Etsu Chemical Co. (c)........... 1,553
133 Showa Denko K.K. .................... 170
192 Sumitomo Chemical Co. (c)............ 880
102 Takeda Chemical Industries........... 4,727
171 Toray Industries, Inc. (c)........... 856
77 Tosoh Corp. ......................... 215
116 Ube Industries Ltd. 250
--------
12,223
--------
Commercial Services (0.0%):
8 Oyo Corp. ........................... 149
--------
Computer Software (0.1%):
10 CSK Corp. ........................... 218
8 Konami Co., Ltd. (c)................. 347
--------
565
--------
Construction (0.3%):
67 Aoki Corp. (b)(c).................... 43
5 Daikyo, Inc. (b)..................... 18
64 Daiwa House Industry Co., Ltd. ...... 673
103 Kumagai Gumi Co., Ltd. (b)(c)........ 115
38 Okumura Corp. ....................... 141
72 Penta-Ocean Construction Co., Ltd.
(b)................................ 126
85 Sekisui House Ltd. (c)............... 917
97 Shimizu Corp. (c).................... 378
--------
2,411
--------
</TABLE>
Continued
119
<PAGE> 122
- --------------------------------------------------------------------------------
One Group Mutual Funds
International Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Japan, continued:
Consumer Goods & Services (0.2%):
67 Nippon Sheet Glass Co., Ltd. ........ $ 239
16 Shimano, Inc. ....................... 379
14 Tokyo Style Co., Ltd. ............... 150
48 Toto Ltd. (c)........................ 367
--------
1,135
--------
Cosmetics/Personal Care (0.1%):
48 Shisiedo Co., Ltd. .................. 719
--------
Data Processing & Reproduction (0.6%):
205 Fujitsu Ltd. (c)..................... 4,124
3 Trans Cosmos, Inc. .................. 240
--------
4,364
--------
Distribution (0.1%):
171 Itochu Corp. (b)..................... 425
--------
Diversified (0.1%):
21 Amano Corp. ......................... 173
8 Sanrio Co., Ltd...................... 273
18 Yamaha Corp. ........................ 216
--------
662
--------
Electrical & Electronic (0.7%):
44 Casio Computer Co., Ltd. ............ 334
19 Kyocera Corp. ....................... 1,103
251 Mitsubishi Electric Corp. ........... 964
38 Nikon Corp. ......................... 622
31 Omron Corp. ......................... 538
12 Rohm Co. ............................ 1,879
--------
5,440
--------
Electrical Equipment (0.2%):
19 Alps Electric Co., Ltd. (c).......... 445
8 SMC Corp. (c)........................ 862
10 Taiyo Yuden Co., Ltd. ............... 164
--------
1,471
--------
Electronic Components/Instruments (1.2%):
10 Adventest Corp. ..................... 1,132
24 Fanuc Co., Ltd. ..................... 1,267
4 Hirose Electric...................... 384
379 Hitachi Ltd. (b)(c).................. 3,555
183 NEC Corp. ........................... 2,275
18 Yokogawa Electric Corp. ............. 106
--------
8,719
--------
Electronics (0.1%):
18 Nitto Denko Corp. (c)................ 378
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Japan, continued:
Energy (0.1%):
129 Japan Energy Corp. .................. $ 151
196 Nippon Oil Co. ...................... 826
--------
977
--------
Engineering (0.4%):
20 Daito Trust Construction Co.,
Ltd. .............................. 228
78 Fujita Corp. (b)(c).................. 58
45 Hazama Corp. (b)..................... 38
32 JGC Corp. (b)(c)..................... 85
118 Kajima Corp. (c)..................... 429
30 Kandenko Co., Ltd. .................. 184
177 Kawasaki Heavy Industries............ 479
45 Kinden Corp. ........................ 483
39 Kyudenko Corporation................. 223
12 Maeda Road Construction.............. 81
39 Nishimatsu Construction (c).......... 224
81 Obayashi Corp. ...................... 408
22 Sato Kogyo (b)(c).................... 18
23 Toa Corp. ........................... 43
--------
2,981
--------
Entertainment (0.1%):
29 Toei................................. 119
2 Toho Co. ............................ 335
27 Tokyo Dome Corp. (b)................. 157
64 Tokyotokeiba......................... 105
--------
716
--------
Financial Services (0.6%):
18 Acom Co., Ltd. ...................... 1,536
152 Daiwa Securities Co., Ltd. .......... 1,005
36 Jaccs Co., Ltd. ..................... 165
73 Nippon Shinpan Co. .................. 242
68 Nomura Securities Co. ............... 796
65 Orient Corp. ........................ 189
8 Orix Corp. .......................... 741
--------
4,674
--------
Food & Household Products (0.5%):
70 Ajinomoto Co., Inc. ................. 798
75 Kao Corp. ........................... 2,107
42 Nippon Meat Packers, Inc. ........... 548
14 Nissin Food Products................. 341
--------
3,794
--------
</TABLE>
Continued
120
<PAGE> 123
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
INTERNATIONAL EQUITY INDEX FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Japan, continued:
Food Products & Services (0.3%):
59 Daiei, Inc. (b)(c)................... $ 202
15 House Foods Industry................. 221
64 Itoham Foods......................... 260
24 Kikkoman Corp. (c)................... 203
42 Meiji Milk Products Co., Ltd. ....... 150
49 Nichirei Corp. ...................... 130
28 Nippon Suisan Kaisha Ltd. ........... 44
21 Q.P. Corporation..................... 151
41 Snow Brand Milk...................... 200
27 Yamazaki Baking Co., Ltd. ........... 335
--------
1,896
--------
Forest Products (0.2%):
34 Mitsubishi Paper Mills............... 64
106 New Oji Paper Co. ................... 615
92 Nippon Paper Industries Co. ......... 480
26 Sumitomo Forestry Co., Ltd. ......... 202
--------
1,361
--------
Gas & Electric Utility (1.2%):
120 Kansai Electric Power Co., Inc. ..... 2,271
290 Osaka Gas Co. ....................... 985
90 Tohoku Electric Power................ 1,368
169 Tokyo Electric Power................. 3,563
340 Tokyo Gas Co., Ltd. (c).............. 837
--------
9,024
--------
Health & Personal Care (0.5%):
28 Chugai Pharmaceutical Co., Ltd. ..... 302
49 Kyowa Hakko Kogyo Co., Ltd. ......... 281
30 Lion Corp. .......................... 124
55 Sankyo Co., Ltd. .................... 1,386
40 Yamanouchi Pharmaceutical Co., Ltd.
(c)................................ 1,529
--------
3,622
--------
Hotels & Lodging (0.0%):
18 Fujita Kanko, Inc. .................. 171
--------
Industrial Goods & Services (1.0%):
95 Bridgestone Corp. (c)................ 2,873
101 Denso Corp. ......................... 2,053
39 Inax Co. ............................ 238
90 Mitsui Engineering & Shipbuilding
Co., Ltd. (b)...................... 102
48 NGK Insulators Ltd. (c).............. 501
31 NGK Spark Plug Co. (c)............... 319
85 Sumitomo Electric Industries (c)..... 966
--------
7,052
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Japan, continued:
Insurance (0.5%):
92 Mitsui Marine & Fire Insurance Co.,
Ltd. .............................. $ 452
59 Nichido Fire & Marine Insurance Co.,
Ltd. .............................. 302
76 Nippon Fire & Marine Insurance....... 257
83 Sumitomo Marine & Fire Insurance
(c)................................ 501
175 Tokio Marine & Fire Insurance Co. ... 1,901
--------
3,413
--------
Jewelry (0.1%):
34 Citizen Watch Co., Ltd. ............. 295
12 Hoya Corp. .......................... 677
--------
972
--------
Leasing (0.1%):
26 Daiwa Kosho Lease.................... 114
50 Yamato Transport Co., Ltd. .......... 871
--------
985
--------
Leisure (0.0%):
8 Namco................................ 212
--------
Machinery & Equipment (1.1%):
38 Amada Co., Ltd. ..................... 268
30 Brother Industries Ltd. ............. 103
20 Daifuku Co., Ltd. ................... 140
35 Daikin Industries Ltd. .............. 406
37 Ebara Corp. (c)...................... 440
116 Komatsu Ltd. (c)..................... 741
10 Komori Corp. ........................ 180
29 Koyo Seiko Co., Ltd. (c)............. 253
160 Kubota Corp. ........................ 479
18 Kurita Water......................... 323
9 Makino Milling Machine............... 62
44 Minebea Co., Ltd. ................... 491
396 Mitsubishi Heavy Industries, Ltd. ... 1,605
14 Mori Seiki........................... 191
59 Nigata Engineering Co., Ltd. (b)..... 57
69 NSK Ltd. ............................ 379
63 NTN Corp. ........................... 215
18 Okuma Corp. ......................... 84
79 Sumitomo Heavy Industries Ltd. ...... 176
14 Takuma Co., Ltd. .................... 129
19 Tokyo Electron Ltd. (c).............. 1,267
26 Tsubakimoto Chain.................... 93
--------
8,082
--------
</TABLE>
Continued
121
<PAGE> 124
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
INTERNATIONAL EQUITY INDEX FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Japan, continued:
Manufacturing-Capital Goods (0.4%):
48 Fujikura Ltd. ....................... $ 229
18 Kokuyo Co., Ltd. .................... 290
17 Makita Corp. ........................ 192
25 Murata Manufacturing Co., Ltd. ...... 1,644
39 Nippon Sharyo Ltd. .................. 126
19 Noritake Co., Ltd. .................. 99
15 Takara Standard...................... 94
--------
2,674
--------
Manufacturing-Consumer Goods (0.7%):
95 Canon, Inc. (c)...................... 2,731
57 Fuji Photo Film Co., Ltd. ........... 2,157
12 Sega Enterprises (c)................. 164
--------
5,052
--------
Materials (0.2%):
135 Asahi Glass Co., Ltd. ............... 875
30 Kansai Paint......................... 92
36 Okamoto Industries, Inc. ............ 92
59 Sumitomo Osaka Cement Co., Ltd. ..... 115
--------
1,174
--------
Medical Supplies (0.0%):
24 Olympus Optical...................... 355
--------
Merchandising (0.6%):
46 ITO-Yokado Co., Ltd. ................ 3,078
37 JUSCO Co. ........................... 673
41 Marui Co., Ltd. ..................... 677
--------
4,428
--------
Metals & Mining (0.2%):
82 Furukawa Electric Co. ............... 375
141 Hitachi Zosen Corp. ................. 170
51 Japan Steel Works (b)................ 64
86 Mitsubishi Materials Corp. (b)....... 193
32 Mitsui Mining & Smelting (c)......... 165
37 Sumitomo Metal Mining Co. ........... 153
--------
1,120
--------
Office Equipment & Services (0.2%):
98 Dai Nippon Printing Co., Ltd. ....... 1,567
--------
Oil & Gas Exploration, Production & Services (0.1%):
11 Arabian Oil Co. ..................... 194
76 Teikoku Oil Co. ..................... 246
--------
440
--------
Oil & Gas Transmission (0.0%):
4 Iwatani International Corp. ......... 10
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Japan, continued:
Packaging (0.1%):
26 Toyo Seikan Kaisha................... $ 582
--------
Paper Products (0.1%):
9 Uni-Charm Corp. ..................... 369
--------
Pharmaceuticals (0.5%):
34 Dai-Ichi Pharmaceuticals............. 528
36 Eisai Co., Ltd. ..................... 709
7 Kissei Pharmaceutical................ 139
40 Meiji Seika.......................... 224
37 Shionogi & Co. ...................... 293
44 Taisho Pharmaceutical Co. ........... 1,453
--------
3,346
--------
Real Estate (0.3%):
140 Mitsubishi Estate Co. ............... 1,366
87 Mitsui Fudosan....................... 704
32 Tokyo Tatemono Co., Ltd. (c)......... 74
--------
2,144
--------
Restaurants (0.0%):
13 Skylark Co., Ltd. (c)................ 279
--------
Retail (0.4%):
9 Aoyama Trading Co., Ltd. ............ 284
24 Credit Saison Co., Ltd. ............. 501
37 Daimura, Inc. ....................... 181
30 Hankyu Department Stores............. 199
25 Isetan Co. .......................... 215
59 Mitsukoshi Ltd. (b)(c)............... 256
44 Mycal Corp. ......................... 276
15 Seiyu (b)............................ 83
7 Shimachu Co. ........................ 148
39 Takashimaya Co. ..................... 373
22 Uny Co., Ltd. ....................... 331
--------
2,847
--------
Services (0.4%):
15 Secom................................ 1,561
91 Toppan Printing Co., Ltd. (c)........ 1,016
--------
2,577
--------
Steel (0.4%):
63 Daido Steel Co., Ltd. ............... 100
364 Kawasaki Steel Corp. ................ 680
777 Nippon Steel Co. .................... 1,804
16 Tokyo Steel.......................... 86
--------
2,670
--------
</TABLE>
Continued
122
<PAGE> 125
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
INTERNATIONAL EQUITY INDEX FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Japan, continued:
Storage (0.1%):
30 Mitsubishi Logistics Corp. .......... $ 337
39 Mitsui-Soko Co., Ltd. ............... 130
--------
467
--------
Telecommunications (2.1%):
19 Nippon Comsys Corp. (c).............. 308
1 Nippon Telegraph & Telephone
Corp. ............................. 15,961
--------
16,269
--------
Telecommunications-Equipment (0.0%):
5 Uniden Corp. ........................ 51
--------
Textile Products (0.3%):
31 Gunze Ltd. .......................... 82
91 Kanebo Ltd. (b)...................... 149
46 Kuraray Co., Ltd. ................... 553
101 Mitsubishi Rayon Co., Ltd. .......... 288
42 Nisshinbo Industries................. 191
22 Onward Kashiyama Co., Ltd. .......... 242
118 Teijin Ltd. ......................... 478
118 Toyobo Ltd. ......................... 178
18 Wacoal............................... 183
--------
2,344
--------
Transportation & Shipping (0.5%):
0 East Japan Railway Co. (e)........... 2,330
31 Kamigumi Co., Ltd. .................. 159
61 Kawasaki Kisen Kaisha Ltd. .......... 132
120 Mitsui OSK Lines, Ltd. .............. 258
135 Nippon Yusen Kabushiki Kaisha........ 520
17 Seino Transportation (c)............. 101
--------
3,500
--------
Transportation -- Road & Railroad (0.5%):
81 Hankyu Corp. ........................ 321
95 Keihin Electric Express Railway...... 314
154 Kinki Nippon Railway (c)............. 757
127 Nagoya Railroad Co. ................. 418
82 Nankai Electric Railway.............. 380
123 Nippon Express Co., Ltd. ............ 737
103 Odakyu Electric Railway.............. 345
116 Tobu Railway Co., Ltd. .............. 329
131 Tokyu Corp. ......................... 330
--------
3,931
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Japan, continued:
Wholesale & International Trade (0.5%):
165 Marubeni Corp. ...................... $ 345
179 Mitsubishi Corp. (c)................. 1,213
182 Mitsui & Co. (c)..................... 1,269
125 Sumitomo Corp. ...................... 914
--------
3,741
--------
Wholesale Distribution (0.0%):
19 Nagase & Co. ........................ 90
--------
209,586
--------
MALAYSIA (0.8%):
Agriculture (0.0%):
136 Golden Hope Plantations.............. 106
118 Highlands & Lowlands Berhad.......... 74
79 Kuala Lumpur Kepong Berhad........... 97
--------
277
--------
Automotive (0.2%):
114 Oriental Holdings Berhad............. 281
857 Tan Chong Motors (b)................. 451
--------
732
--------
Banking (0.3%):
290 Malayan Banking Berhad............... 782
420 Public Bank Berhad................... 288
420 RHB Capital Berhad................... 488
--------
1,558
--------
Construction (0.0%):
148 YTL Corp. Berhad..................... 280
--------
Diversified (0.0%):
281 Sime Darby Malaysia.................. 332
--------
Entertainment (0.0%):
120 Resort World......................... 255
--------
Food Products & Services (0.0%):
54 Nestle (Malaysia) Berhad............. 192
--------
Steel (0.0%):
146 Malayawata Steel Berhad.............. 52
--------
Telecommunications (0.3%):
353 Telekom Malaysia..................... 1,187
288 Tenaga Nasional Berhad............... 597
--------
1,784
--------
Tobacco (0.0%):
19 Rothmans Pall Mall................... 129
--------
Transportation (0.0%):
107 Malaysia Intl. ...................... 174
--------
5,765
--------
</TABLE>
Continued
123
<PAGE> 126
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
INTERNATIONAL EQUITY INDEX FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
MEXICO (0.7%):
Beverages & Tobacco (0.2%):
11 Compania Cervezas Unidas SA ADR...... $ 327
33 Grupo Continental SA................. 52
116 Grupo Modelo SA, Series C............ 330
--------
709
--------
Brewery (0.0%):
32 Fomento Economico Mexica UBD......... 126
--------
Building Products (0.0%):
13 Apasco SA de CV...................... 85
14 Cemex SA de CV, Series A............. 71
7 Cemex SA de CV, Series B............. 36
--------
192
--------
Diversified (0.0%):
32 ALFA SA de CV, Class A............... 134
65 Desc SA de CV, Series B.............. 72
33 Grupo Carso SA de CV, Series A-1
(b)................................ 150
--------
356
--------
Engineering (0.0%):
60 Empresas ICA Sociedad Controladora SA
de CV.............................. 66
--------
Financial Services (0.0%):
40 Grupo Financiero Banamex Accival SA
de CV, Class B (b)................. 101
240 Grupo Financiero Bancomer -- O (b)... 86
33 Grupo Financiero Inbursa SA de CV,
Class B (b)........................ 80
--------
267
--------
Food & Household Products (0.0%):
85 Kimberly-Clark de Mexico SA de CV,
Class A............................ 347
--------
Food Products & Services (0.0%):
22 Empresas La Moderna SA de CV (b)..... 123
--------
Industrial Goods & Services (0.0%):
76 Grupo Industrial Bimbo SA de CV,
Series A........................... 169
--------
Merchandising (0.2%):
124 Cifra SA de CV, Series C (b)......... 223
209 Cifra SA de CV, Series V (b)......... 401
--------
624
--------
Metals & Mining (0.0%):
33 Grupo Mexico SA, Series B (b)........ 141
32 Industrias Penoles SA, Series CP
(b)................................ 92
--------
233
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Mexico, continued:
Retail-General Merchandise (0.0%):
39 Controladora Comercial Mexicana SA de
CV (b)............................. $ 39
--------
Retail-Stores/Catalog (0.0%):
35 Grupo Elektra SA..................... 21
--------
Telecommunications (0.3%):
13 Grupo Televisa SA, Series CPO (b).... 290
83 Telefonos de Mexico SA, Series A..... 330
300 Telefonos de Mexico SA, Series L..... 1,199
--------
1,819
--------
Transportation -- Shipping (0.0%):
30 Vitro SA............................. 51
--------
5,142
--------
NETHERLANDS (2.2%):
Airlines (0.0%):
3 KLM.................................. 91
--------
Appliances & Household Products (0.2%):
14 Philips Electronics NV............... 1,339
--------
Banking (0.2%):
61 ABN AMRO Holding NV.................. 1,317
--------
Beverages & Tobacco (0.1%):
14 Heineken NV.......................... 698
--------
Broadcasting & Publishing (0.1%):
37 Elsevier NV.......................... 423
--------
Chemicals (0.1%):
15 Akzo Nobel NV........................ 614
--------
Energy (0.5%):
79 Royal Dutch Petroleum................ 4,618
--------
Financial Services (0.3%):
38 ING Groep NV......................... 2,047
--------
Food Products & Services (0.3%):
23 Ahold (Kon) NV....................... 785
22 Unilever NV CVA...................... 1,486
--------
2,271
--------
Insurance (0.2%):
22 Aegon NV............................. 1,589
--------
Printing & Publishing (0.0%):
1 Wolters Kluwer CVA................... 56
--------
Services (0.1%):
20 TNT Post Group NV.................... 478
--------
Steel (0.0%):
1 Kon Hoogovens NV CVA................. 37
--------
</TABLE>
Continued
124
<PAGE> 127
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
INTERNATIONAL EQUITY INDEX FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Netherlands, continued:
Telecommunications-Services and Equipment (0.1%):
20 Koninklijke KPN...................... $ 937
--------
16,515
--------
NEW ZEALAND (0.4%):
Appliances & Household Products (0.0%):
78 Fisher & Paykel...................... 246
--------
Beverages & Tobacco (0.0%):
125 Lion Nathan Ltd. .................... 300
--------
Building Products (0.0%):
89 Fletcher Challenge Building.......... 129
--------
Financial Services (0.0%):
591 Brierley Investment (b).............. 166
--------
Forest Products (0.1%):
268 Carter Holt Harvey................... 321
136 Fletcher Challenge Forestry (b)...... 77
125 Fletcher Challenge Paper............. 93
--------
491
--------
Oil & Gas (0.0%):
74 Fletcher Challenge Energy............ 200
--------
Telecommunications (0.3%):
358 Telecom Corp. of New Zealand Ltd. ... 1,538
--------
3,070
--------
NORWAY (0.8%):
Airlines (0.0%):
17 SAS Norge ASA, B Shares.............. 154
--------
Banking (0.2%):
102 Christiania Bank Og Kreditkasse...... 365
117 Den Norske Bank ASA.................. 386
--------
751
--------
Computer Software (0.0%):
25 Merkantildata ASA.................... 238
--------
Engineering (0.0%):
6 Kvaerner AS Series 'B' (b)........... 99
12 Kvaerner ASA (b)..................... 240
--------
339
--------
Entertainment (0.0%):
46 NCL Holdings ASA (b)(c).............. 153
--------
Environmental Services (0.0%):
7 Tomra Systems ASA.................... 248
--------
Forest Products (0.0%):
6 Norske Skogsindustrier ASA........... 186
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Norway, continued:
Insurance (0.0%):
54 Storebrand ASA (b)................... $ 363
--------
Manufacturing-Consumer Goods (0.2%):
4 Orkla ASA 'B'........................ 49
27 Orkla ASA, Series A.................. 427
--------
476
--------
Medical Equipment & Supplies (0.0%):
11 Hafslund Ser 'A'..................... 74
43 Hafslund ASA, Class B................ 180
--------
254
--------
Metals & Mining (0.0%):
15 Elkem ASA............................ 260
--------
Oil & Gas (0.1%):
18 Petroleum Geo-Services ASA (b)....... 274
7 Smedvig ASA, A Shares................ 60
6 Swedvig ASA, B Shares................ 50
--------
384
--------
Oil & Gas Exploration, Production & Services (0.3%):
41 Norsk Hydro ASA (c).................. 1,544
--------
Printing & Publishing (0.0%):
11 Schibsted ASA........................ 126
--------
Transportation & Shipping (0.0%):
17 Leif Hoegh & Co. ASA................. 222
--------
5,698
--------
PHILIPPINES (0.6%):
Banking (0.0%):
33 Security Bank Corp. (b).............. 28
35 Union Bank Philippines (b)........... 25
--------
53
--------
Banking & Finance (0.1%):
81 Metropolitan Bank & Trust Co. ....... 806
55 Philippine National Bank............. 149
--------
955
--------
Beverages & Tobacco (0.1%):
199 San Miguel Corp., Class B............ 435
--------
Building Products (0.0%):
710 DMCI Holdings, Inc. (b).............. 42
2,494 Southeast Asia Cement Holdings, Inc.
(b)................................ 36
--------
78
--------
Electronic Components/Instruments (0.0%):
149 Ionics Circuit, Inc. (b)............. 56
--------
</TABLE>
Continued
125
<PAGE> 128
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
INTERNATIONAL EQUITY INDEX FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Philippines, continued:
Food Products & Services (0.0%):
300 Universal Robina Corp. .............. $ 64
--------
Homebuilders (0.0%):
1,234 C&P Homes, Inc. (b).................. 40
--------
Oil & Gas Exploration, Production & Services (0.0%):
1,928 Petron Corp. ........................ 205
--------
Real Estate (0.2%):
920 Ayala Land, Inc. .................... 290
825 Filinvest Land, Inc. (b)............. 93
3,802 SM Prime Holdings, Inc. ............. 860
--------
1,243
--------
Telecommunications (0.2%):
71 Manila Electric Co., Class B......... 254
37 Philippine Long Distance Telephone
Co. ............................... 1,124
--------
1,378
--------
Transportation & Shipping (0.0%):
137 International Container Terminal
Services, Inc. (b)................. 18
--------
4,525
--------
PORTUGAL (0.6%):
Banking (0.3%):
27 Banco Comercial Portugues SA......... 704
14 Banco Espirito Santo e Commerical de
Lisboa SA, Registered.............. 334
22 BPI-SGPS SA, Registered.............. 463
--------
1,501
--------
Beverages & Tobacco (0.0%):
0 UNICER-Uniao Cervejeira SA (e)....... 1
--------
Building Products (0.0%):
10 Cimpor-Cimentos de Portugal, SGPS
SA................................. 253
--------
Electric Utility (0.1%):
46 Electricidade de Portugal SA......... 835
--------
Food & Household Products (0.1%):
14 Estabelecimentos Jeronimo Martins &
Filho SA........................... 466
--------
Industrial Holding Company (0.0%):
4 Sonae Investimentos SA............... 146
--------
Retail-General Merchandise (0.0%):
5 Modelo Continente-Sociedade Gestora
de Participacoes Sociais SA........ 101
--------
Telecommunications (0.1%):
25 Portugal Telecom SA.................. 1,025
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Portugal, continued:
Transportation (0.0%):
6 Brisa Auto-Estradas.................. $ 260
--------
4,588
--------
SINGAPORE (0.5%):
Automotive (0.0%):
20 Cycle & Carriage..................... 115
--------
Banking (0.1%):
31 Oversea -- Chinese Banking Corp.,
Ltd. .............................. 259
38 United Overseas Bank................. 265
--------
524
--------
Conglomerates (0.1%):
654 United Industries.................... 442
--------
Electrical Equipment (0.0%):
5 Creative Technology Ltd. ............ 65
--------
Health Care (0.0%):
52 Parkway Holdings..................... 128
--------
Machinery & Equipment (0.0%):
86 Keppel Corp. (b)..................... 293
--------
Printing & Publishing (0.1%):
44 Singapore Press Hd................... 756
--------
Real Estate (0.1%):
38 City Developments Ltd. .............. 243
106 DBS Land Ltd. ....................... 212
--------
455
--------
Telecommunications (0.1%):
501 Singapore Telecommunications Ltd.
(c)................................ 860
--------
Transportation & Shipping (0.0%):
176 Neptune Orient Lines Ltd. (b)........ 215
--------
3,853
--------
SOUTH AFRICA (0.5%):
Banking & Finance (0.1%):
32 Amalgamated Banks of South Africa.... 179
3 Investec Group Ltd. ................. 143
12 Nedcor Ltd. ......................... 273
--------
595
--------
Brewery (0.0%):
1 Edgars Stores........................ 9
33 South African Breweries Ltd. (b)..... 291
--------
300
--------
Computer Hardware (0.0%):
30 Dimension Data Holdings Ltd. (b)..... 135
--------
</TABLE>
Continued
126
<PAGE> 129
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
INTERNATIONAL EQUITY INDEX FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
South Africa, continued:
Diversified (0.1%):
9 Anglovaal Industries Ltd. ........... $ 13
13 Barlow Ltd. ......................... 77
12 Imperial Holdings Ltd. (b)........... 115
24 Rembrandt Group Ltd. ................ 197
--------
402
--------
Engineering (0.0%):
31 Murray & Roberts Holdings Ltd. ...... 15
--------
Entertainment (0.0%):
55 Sun International (South Africa)
Ltd. .............................. 13
--------
Food & Household Products (0.0%):
9 Tiger Oats Ltd. ..................... 77
--------
Forest Products (0.0%):
11 Nampak Ltd. ......................... 31
13 Sappi Ltd. .......................... 92
--------
123
--------
Industrial Goods & Services (0.0%):
42 African Oxygen Ltd. ................. 61
--------
Insurance (0.1%):
342 Firstrand Ltd. ...................... 391
6 Liberty International PLC............ 38
12 Liberty Life Association of Africa
Ltd. .............................. 154
33 Metropolitan Life Ltd. .............. 49
--------
632
--------
Metals (0.0%):
3 Anglogold Ltd. ...................... 111
143 Iscor Ltd. .......................... 45
4 Western Areas Gold Mining (b)........ 13
--------
169
--------
Metals & Mining (0.2%):
17 DeBeers Centenary AG................. 412
39 Driefontein Consolidated Ltd. ....... 135
8 Randfontein Estates Gold Mining Co.
(b)................................ 14
12 Rustenburg Platinum Holdings Ltd. ... 268
--------
829
--------
Oil & Gas Exploration, Production & Services (0.0%):
37 Sasol Ltd. .......................... 265
--------
Printing & Publishing (0.0%):
8 Nasionale Pers Beperk, Series N...... 50
--------
Retail-Stores/Catalog (0.0%):
13 Pepkor Ltd. ......................... 51
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
South Africa, continued:
Telecommunications-Services and Equipment (0.0%):
18 M Web Holdings Ltd. (b).............. $ 75
--------
3,792
--------
SPAIN (3.4%):
Agriculture (0.0%):
9 Azucarera Ebro Agricolas............. 142
--------
Automotive (0.0%):
8 Autopistas Cesa...................... 90
--------
Banking (1.2%):
56 Argentaria SA (c).................... 1,269
243 Banco Bilbao Vizcaya................. 3,506
381 Banco Santander Central
Hispanoamericano................... 3,968
--------
8,743
--------
Beverages & Tobacco (0.1%):
24 Tabacalera SA (c).................... 479
--------
Building Products (0.0%):
9 Uralita SA........................... 71
--------
Construction (0.1%):
4 ACS, Actividades de Construccion y
Servicios SA....................... 128
6 Fomento de Construcciones y Contratas
SA................................. 338
--------
466
--------
Drugs (0.0%):
1 Fabrica Espanola de Productos
Quimicos y Farmaceuticos........... 10
--------
Energy (0.3%):
1 Aquas de Barcelona................... 73
100 Repsol SA, Bearer Shares (c)......... 2,032
--------
2,105
--------
Engineering (0.0%):
21 Grupo Dragados SA.................... 246
--------
Food Products & Services (0.0%):
49 Puleva SA (b)........................ 25
22 Telepizza SA (b)(c).................. 115
--------
140
--------
Gas & Electric Utility (0.6%):
35 Empresa Nacional de Electricidad
SA................................. 419
93 Endesa SA (c)........................ 1,992
89 Iberdrola SA (c)..................... 1,356
32 Union Electric Fenosa SA (c)......... 412
--------
4,179
--------
</TABLE>
Continued
127
<PAGE> 130
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
INTERNATIONAL EQUITY INDEX FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Spain, continued:
Hotels & Lodging (0.0%):
3 Sol Melia SA......................... $ 114
--------
Industrial Holding Company (0.1%):
2 Corporacion Financiara Alba.......... 389
--------
Insurance (0.0%):
15 Corporacion Mapfre................... 299
--------
Metals (0.0%):
8 Acerinox SA.......................... 246
--------
Miscellaneous Materials & Commodities (0.0%):
13 Viscofan Industra Navarra de
Envolturas Celulosicas SA.......... 147
--------
Oil & Gas Exploration, Production & Services (0.2%):
17 Gas Natural SDG...................... 1,221
--------
Real Estate (0.0%):
7 Inmobiliaria Metro................... 144
7 Metrovacesa SA....................... 7
15 Vallehermoso SA...................... 145
--------
296
--------
Telecommunications (0.8%):
119 Telefonica de Espana (b)(c).......... 5,735
--------
25,118
--------
SWEDEN (1.4%):
Automotive (0.1%):
2 Volvo AB, A Shares................... 55
19 Volvo AB, Series B................... 546
--------
601
--------
Banking & Finance (0.2%):
32 Skandiaviska Enskilda Banken, Class
A.................................. 369
25 Sparbanken Sverige AB, Swedbank...... 351
34 Svenska Handelsbanken, A Shares...... 410
--------
1,130
--------
Computer Hardware (0.0%):
2 Wm-Data AB, B Shares................. 67
--------
Consumer Goods & Services (0.0%):
18 Securitas AB, B Shares............... 272
--------
Engineering (0.1%):
32 ABB AB, A Shares..................... 418
11 ABB AB, B Shares..................... 147
5 Drott AB............................. 43
5 Skanska AB, Series B................. 198
--------
806
--------
Forest Products (0.0%):
14 Svenska Cellulosa AB, Series B....... 355
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Sweden, continued:
Insurance (0.1%):
27 Skandia Forsakrings AB............... $ 501
--------
Machinery & Equipment (0.0%):
11 Atlas Copco AB, Series A............. 304
--------
Manufacturing-Consumer Goods (0.0%):
16 Electrolux AB, Series B.............. 340
--------
Metals & Mining (0.0%):
3 Boliden Limited (b).................. 7
6 SKF AB, Series B..................... 111
8 Trelleborg AB, Series B.............. 70
--------
188
--------
Office Equipment & Services (0.0%):
5 Esselte AB, Series B................. 47
5 Meto AG (b).......................... 23
--------
70
--------
Pharmaceuticals (0.3%):
33 Astrazeneca PLC (b).................. 1,287
--------
Retail-Special Line (0.1%):
39 Hennes & Mauritz B Shs............... 963
--------
Telecommunications (0.5%):
97 Telefonaktiebolaget LM Ericsson,
Series B........................... 3,095
--------
Telecommunications-Services and Equipment (0.0%):
5 Netcom AB B (b)...................... 172
--------
10,151
--------
SWITZERLAND (1.6%):
Commercial Services (0.1%):
1 Adecco SA............................ 318
0 Adecco SA, Registered Shares (e)..... 188
0 Societe Generale de Surveillance
Holdings SA (e).................... 102
--------
608
--------
Diversified (0.1%):
0 Alusuisse-Lonza Holding AG,
Registered (e)..................... 175
0 SFR ABB AG (e)....................... 385
--------
560
--------
Financial Services (0.4%):
7 CS Holding AG, Registered............ 1,158
6 Union Bank of Switzerland AG,
Registered......................... 1,654
--------
2,812
--------
</TABLE>
Continued
128
<PAGE> 131
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
INTERNATIONAL EQUITY INDEX FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Switzerland, continued:
Food Products & Services (0.2%):
1 Nestle SA, Registered................ $ 1,423
--------
Insurance (0.2%):
0 Swiss Reinsurance Co., Registered
(e)................................ 647
1 Zurich Allied AG..................... 740
--------
1,387
--------
Jewelry (0.0%):
1 Swatch Group AG, Registered (c)...... 164
--------
Pharmaceuticals (0.5%):
1 Novartis AG, Bearer.................. 2,035
0 Roche Holding AG (e)................. 774
0 Roche Holding AG, Bearer (e)......... 1,521
--------
4,330
--------
Telecommunications (0.1%):
1 Swisscom AG, Registered.............. 531
--------
11,815
--------
THAILAND (0.7%):
Auto Parts (0.0%):
141 Thairung Union Car Public Co. (b).... 130
--------
Beverages & Tobacco (0.0%):
6 Serm Suk Co., Ltd. .................. 30
--------
Broadcasting/Cable (0.0%):
307 United Broadcasting (b).............. 208
--------
Building Products (0.2%):
31 Siam Cement, Foreign Registered
Shares (b)......................... 941
73 Tipco Asphalt Co., Ltd. (b).......... 119
--------
1,060
--------
Computer Hardware (0.1%):
107 K.R. Precision Public Co. (b)........ 66
124 Shinawatra Computer PLC (b).......... 580
--------
646
--------
Construction (0.0%):
106 Italian-Thai Development Public Ltd.
(b)................................ 275
--------
Cosmetics/Personal Care (0.0%):
57 I.C.C. International Pcl............. 139
--------
Electric Utility (0.0%):
144 Electricity Generating Public Co.,
Ltd................................ 275
--------
Electronic Components/Instruments (0.0%):
70 Hana Microelectronics Co., Ltd.,
Foreign Registered Shares (b)...... 210
--------
Oil & Gas (0.1%):
87 PTT Exploration & Production (b)..... 657
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Thailand, continued:
Paper Products (0.0%):
242 Advance Agro Public Co., Ltd. (b).... $ 177
--------
Printing & Publishing (0.0%):
189 Nation Multimedia Group PLC (b)...... 95
282 Nation Multimedia Group, Foreign
Registered Shares (b).............. 159
--------
254
--------
Restaurants (0.0%):
31 Pizza Co., Ltd. ..................... 112
--------
Telecommunications (0.3%):
1,103 TelecomAsia Corp., Foreign Registered
Shares (b)......................... 1,113
--------
5,286
--------
TURKEY (0.6%):
Appliances & Household Products (0.0%):
3,387 Arcelik AS........................... 120
--------
Automotive (0.0%):
4,956 Otosan Otomobil Sanayii AS (b)....... 80
4,784 Tofas Turk Otomobil Fabrikas AS
(b)................................ 19
--------
99
--------
Banking & Finance (0.2%):
84,136 Turkiye Garanti Bankasi AS (b)....... 628
--------
Beverages & Tobacco (0.0%):
776 Ege Biracilik ve Malt Sanayi AS...... 58
--------
Building Products (0.0%):
8,467 Akcansa Cimento AS................... 87
1,967 Cimentas AS (b)...................... 47
3,996 Cimsa Cimento Sanayi ve Ticaret AS... 37
2,473 Trakya Cam Sanayii................... 19
--------
190
--------
Diversified (0.0%):
2,219 Alarko Holding (b)................... 41
1,173 Ihlas Holding (b).................... 31
--------
72
--------
Electrical & Electronic (0.0%):
1,071 Raks Elektronik (b).................. 3
--------
Electronics (0.0%):
939 Vestel Elektronik Sanayi (b)......... 102
--------
Financial Services (0.4%):
82,463 Turkiye Is Bankasi AS, Class C....... 1,466
9 Turkiye Is Bankasi, Class B.......... 16
74,023 Yapi ve Kredi Bankasi AS............. 1,070
--------
2,552
--------
</TABLE>
Continued
129
<PAGE> 132
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
INTERNATIONAL EQUITY INDEX FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Turkey, continued:
Food Products & Services (0.0%):
1,079 Tat Konserve Sanayii AS.............. $ 31
--------
Forest Products (0.0%):
569 Kartonsan Karton Sanayi ve Ticaret
AS................................. 24
--------
Industrial Goods & Services (0.0%):
2,275 Kordsa Kord Bezi Sanayi ve Ticaret
AS................................. 25
--------
Manufacturing-Capital Goods (0.0%):
2,833 Turk Demir Dokum Fabrikalari AS...... 12
--------
Metals & Mining (0.0%):
10,492 Eregli Demir ve Celik Fabrikalari TAS
(b)................................ 147
--------
Oil & Gas (0.0%):
888 Turcas Petrolculuk AS................ 16
--------
Oil & Gas Exploration, Production & Services (0.0%):
1,125 Aygaz AS............................. 100
--------
Pharmaceuticals (0.0%):
7,048 Eczacibasi Ilac Sanayi Ve Ti (b)..... 84
--------
Telecommunications (0.0%):
124 Cukurova Elektrik AS................. 79
1,525 Netas-Northern Elektrik
Telekomunikasyon AS (b)............ 32
--------
111
--------
Textile Products (0.0%):
1,711 Aksa Akrilik Kimya Sanayii AS (b).... 30
--------
Tire & Rubber (0.0%):
931 Brisa Bridgestone Sabanci Lastik SAN,
ve Tic AS.......................... 21
2,157 Goodyear Lastikleri TAS.............. 29
--------
50
--------
Wholesale Distribution (0.0%):
247 Migros Turk TAS...................... 307
--------
4,761
--------
UNITED KINGDOM (8.1%):
Aerospace & Military Technology (0.2%):
81 British Aerospace PLC................ 530
51 Rolls-Royce PLC...................... 215
33 Smiths Industries PLC................ 439
--------
1,184
--------
Airlines (0.1%):
10 BAA PLC.............................. 91
57 British Airways PLC.................. 389
--------
480
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
United Kingdom, continued:
Appliances & Household Products (0.0%):
32 EMI Group PLC........................ $ 256
--------
Banking (0.9%):
55 Abbey National PLC................... 1,022
53 Barclays PLC......................... 1,551
31 HSBC Holdings PLC.................... 1,099
65 HSBC Holdings PLC (Hong Kong
Dollars)........................... 2,313
34 Royal Bank of Scotland Group PLC..... 682
11 Schroders............................ 216
--------
6,883
--------
Beverages & Tobacco (0.3%):
53 British American Tobacco PLC......... 497
133 Diageo PLC........................... 1,389
50 Scottish & Newcastle PLC............. 524
--------
2,410
--------
Brewery (0.1%):
36 Bass PLC............................. 519
--------
Broadcasting/Cable (0.1%):
64 British Sky Broadcasting Group PLC... 595
--------
Building Products (0.1%):
50 Rugby Group PLC...................... 89
96 Tarmac PLC........................... 180
68 Williams Holdings.................... 447
--------
716
--------
Chemicals (0.0%):
33 Imperial Chemical Industries PLC..... 326
--------
Computer Software (0.0%):
10 Misys PLC............................ 88
--------
Conglomerates (0.1%):
55 Allied Zurich PLC (b)................ 691
26 Lonrho PLC........................... 239
--------
930
--------
Construction (0.0%):
22 Taylor Woodrow PLC................... 63
--------
Diversified (0.1%):
132 Invensys PLC......................... 626
83 Rentokil Initial PLC................. 323
--------
949
--------
</TABLE>
Continued
130
<PAGE> 133
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
INTERNATIONAL EQUITY INDEX FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
United Kingdom, continued:
Electric Utility (0.2%):
79 National Grid........................ $ 549
24 Scottish & Southern Energy PLC....... 243
56 Scottish Power....................... 482
--------
1,274
--------
Electrical & Electronic (0.2%):
25 Bowthorpe PLC........................ 214
29 Electrocomponents PLC................ 217
100 General Electric Co., PLC............ 1,012
--------
1,443
--------
Energy (0.9%):
345 British Petroleum Co., PLC........... 6,182
144 Centrica PLC (b)..................... 339
--------
6,521
--------
Engineering (0.0%):
14 Barratt Developments PLC............. 77
--------
Financial Services (0.5%):
79 Halifax PLC.......................... 937
188 Lloyds TSB Group PLC................. 2,536
43 St. James's Place Capital PLC........ 157
--------
3,630
--------
Food & Household Products (0.2%):
85 Cadbury Schweppes PLC................ 540
100 Unilever PLC......................... 902
--------
1,442
--------
Food Products & Services (0.1%):
5 Associated British Foods............. 32
6 Compass Group........................ 58
91 J Sainsbury PLC...................... 575
--------
665
--------
Forest Products (0.0%):
31 Arjo Wiggins Appleton................ 109
--------
Health & Personal Care (0.7%):
127 Glaxo Wellcome PLC................... 3,514
47 Zeneca PLC........................... 1,809
--------
5,323
--------
Industrial Holding Company (0.1%):
47 Hanson PLC........................... 416
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
United Kingdom, continued:
Insurance (0.4%):
49 Commercial Union PLC................. $ 703
189 Legal & General Group PLC............ 480
73 Prudential Corp. PLC................. 1,079
51 Royal & Sun Alliance Insurance Group
PLC................................ 461
--------
2,723
--------
Leisure (0.2%):
48 Granada Group PLC.................... 896
30 Ladbroke Group PLC................... 118
31 Rank Group PLC....................... 121
--------
1,135
--------
Machinery & Equipment (0.1%):
43 GKN PLC.............................. 741
--------
Merchandising (0.0%):
43 Safeway PLC.......................... 172
--------
Metals & Mining (0.1%):
89 British Steel PLC.................... 228
43 RTZ Corp., PLC, Registered........... 708
--------
936
--------
Miscellaneous Materials & Commodities (0.0%):
37 Elementis 1998 PLC................... 61
--------
Oil & Gas Exploration, Production & Services (0.2%):
151 BG PLC............................... 927
61 LASMO PLC............................ 137
51 Pilkington PLC....................... 70
--------
1,134
--------
Paper Products (0.0%):
32 Rexam PLC New........................ 128
--------
Pharmaceuticals (0.3%):
193 SmithKline Beecham PLC............... 2,506
--------
Printing & Publishing (0.2%):
20 Pearson.............................. 396
41 Reed International PLC............... 276
62 Reuters Group........................ 814
--------
1,486
--------
Real Estate (0.1%):
19 British Land Co., PLC................ 155
21 Land Securities PLC.................. 281
--------
436
--------
</TABLE>
Continued
131
<PAGE> 134
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
INTERNATIONAL EQUITY INDEX FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
United Kingdom, continued:
Real Estate Investment Trust (0.0%):
23 Peninsular & Oriental Steam
Navigation Co. .................... $ 344
--------
Retail-General Merchandise (0.1%):
45 Kingfisher........................... 522
--------
Retail-Stores/Catalog (0.3%):
44 Boots Co., PLC....................... 521
41 Great Universal Stores PLC........... 459
99 Marks & Spencer PLC.................. 576
23 Next PLC............................. 276
282 Tesco PLC............................ 732
--------
2,564
--------
Telecommunications (1.1%):
232 British Telecommunications PLC....... 3,869
91 Cable & Wireless PLC................. 1,161
44 National Power PLC................... 318
117 Vodaphone Group PLC.................. 2,309
--------
7,657
--------
Textile Products (0.0%):
24 Courtaulds Textiles PLC.............. 63
--------
Transportation -- Road & Railroad (0.1%):
21 Railtrack Group PLC.................. 424
--------
59,331
--------
Total Common Stocks (Cost $533,045) 689,826
--------
CORPORATE BONDS (0.0%):
SPAIN (0.0%):
Banking (0.0%):
$ 1 Banco Santander, 2.00%, 10/01/03..... 32
--------
Total Corporate Bonds (Cost $39) 32
--------
OPALS (1.2%):
KOREA (0.5%):
30 Morgan Stanley Composite Index....... 3,858
--------
TAIWAN (0.7%):
36 Morgan Stanley Composite Index....... 4,969
--------
Total OPALS (Cost $6,826) 8,827
--------
PREFERRED STOCKS (0.5%):
BRAZIL (0.3%):
Banking (0.1%):
33,519 Banco Bradesco SA.................... 168
623 Banco Itau SA........................ 318
--------
486
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
PREFERRED STOCKS, CONTINUED:
Brazil, continued:
Beverages & Tobacco (0.0%):
151 Companhia Cervejaria Brahma.......... $ 83
--------
Electric Utility (0.1%):
20,012 Centrais Electricas Brasilieras SA... 403
3,761 Companhia Energetica de Minas
Gerais............................. 78
--------
481
--------
Oil & Gas Exploration, Production & Services (0.0%):
5,931 Petroleo Brasileiro SA............... 914
--------
Steel (0.0%):
12 Companhia Vale do Rio Doce, Series
A.................................. 232
--------
Telecommunications (0.1%):
3,900 Embratel Participacoes............... 55
3,900 Tele Centro Sul Participacoes........ 43
5,300 Tele Norte Leste Participacoes (b)... 97
3,900 Telesp Celular Participacoes......... 41
441 Telesp Celular SA.................... 23
8,700 Telesp Participacoes SA.............. 198
3,900 Telesudeste Celular (b).............. 22
--------
479
--------
2,675
--------
GERMANY (0.1%):
Automotive (0.1%):
16 Volkswagen........................... 597
--------
Building Products (0.0%):
0 Dyckerhoff AG (e).................... 142
--------
Machinery & Equipment (0.0%):
5 Rheinmetall AG....................... 81
--------
Textile Products (0.0%):
1 Escada AG............................ 80
--------
900
--------
ITALY (0.1%):
Automotive (0.1%):
237 Fiat SpA (b)......................... 380
--------
Total Preferred Stocks (Cost $3,604) 3,955
--------
RIGHTS-FOREIGN SECURITIES (0.0%):
ARGENTINA (0.0%):
Banking & Finance (0.0%):
23 Banco Frances SA (b)(e).............. 0
--------
BRAZIL (0.0%):
Steel (0.0%):
11 Companhia Vale do Rio Doce (b)(e).... 0
--------
</TABLE>
Continued
132
<PAGE> 135
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
INTERNATIONAL EQUITY INDEX FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
RIGHTS-FOREIGN SECURITIES, CONTINUED:
FRANCE (0.0%):
Construction (0.0%):
3 Bouygues (b)(c)...................... $ 7
--------
GERMANY (0.0%):
Conglomerates (0.0%):
18 Preussag AG (b)...................... 2
--------
ITALY (0.0%):
Office Equipment & Services (0.0%):
451 Olivetti SpA (b)..................... 65
--------
PORTUGAL (0.0%):
Telecommunications (0.0%):
18 Portugal Telecom SA (b)(e)........... 0
--------
SPAIN (0.0%):
Drugs (0.0%):
1 Fabrica Espanola De Productos
Quimicos (b)....................... 1
--------
Engineering (0.0%):
8 Autopista (Acesa).................... 4
--------
5
--------
TURKEY (0.0%):
Automotive (0.0%):
2,734 Tofas Turk Otomobil Fabrikas (b)..... 8
--------
Total Rights-Foreign Securities (Cost $0) 87
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS (0.3%):
U.S. Treasury Bills (0.3%):
$1,960 9/16/99 (d).......................... 1,941
--------
Total U.S. Treasury Obligations (Cost $1,941) 1,941
--------
INVESTMENT COMPANIES (4.7%):
UNITED STATES (4.7%):
34,670 One Group Prime Money Market Fund,
Class I............................ $ 34,670
--------
Total Investment Companies (Cost $34,670) 34,670
--------
SHORT-TERM SECURITIES HELD AS COLLATERAL (16.8%):
Repurchase Agreements (16.8%):
$114,303 Lehman Brothers, 6.25%, 7/1/99,
(Collateralized by $3,039 various
Equity Securities, market value
$120,652).......................... 114,303
7,244 Lehman Brothers, 5.00%, 7/6/99
(Collateralized by $121 various
Equity Securities, market value
$7,956)............................ 7,244
2,139 Lehman Brothers, 5.85%, 7/1/99,
(Collateralized by $2,246 various
Commercial Papers, 0.00%-5.06%,
9/20/99 - 10/4/99, market value
$2,246)............................ 2,139
--------
Total Short-Term Securities Held as Collateral
(Cost $123,686) 123,686
--------
Total (Cost $703,811) (a) $863,024
========
</TABLE>
- ------------
Percentages indicated are based on net assets of $734,421.
(a) Represents cost for financial reporting purposes and differs from cost basis
for federal income tax purposes by the amount of mark to market adjustments
for passive foreign investment companies and the amount of losses recognized
for financial reporting purposes in excess of federal income tax reporting
of approximately $9,920. 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...................... $189,291
Unrealized depreciation...................... (39,998)
--------
Net unrealized appreciation.................. $149,293
========
</TABLE>
(b) Non-income producing securities.
(c) A portion of this security was loaned as of June 30, 1999.
(d) Serves as collateral for futures contracts.
(e) Rounds to less than 1,000.
Continued
133
<PAGE> 136
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
INTERNATIONAL EQUITY INDEX FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<S> <C>
ADR American Depository Receipt
GDR Global Depository Receipt
</TABLE>
At June 30, 1999, the Fund's open forward currency contracts were as follows:
<TABLE>
<CAPTION>
UNREALIZED
DELIVERY CONTRACT CONTRACT CONTRACT MARKET APPRECIATION/
CURRENCY DATE PRICE AMOUNT VALUE VALUE (DEPRECIATION)
-------- -------- -------- ---------- -------- ------- --------------
<S> <C> <C> <C> <C> <C> <C>
Long Contracts:
British Pound............................. 9/17/99 $0.6266 $ 3,982 $ 6,354 $6,286 $ (68)
Euro...................................... 9/17/99 0.9611 4,779 4,972 4,978 6
Euro...................................... 9/30/99 0.9600 4,111 4,282 4,286 4
Japanese Yen.............................. 9/09/99 118.504 3,110,500 26,247 25,963 (284)
------- ------- -----
Total Long Contracts...................... $41,855 $41,513 $(342)
======= ======= =====
Short Contracts:
British Pound............................. 9/17/99 0.6329 2,569 4,058 4,055 3
Euro...................................... 9/17/99 0.9649 2,931 3,037 3,053 (15)
Euro...................................... 9/30/99 0.9642 2,574 2,670 2,684 (14)
Japanese Yen.............................. 9/09/99 119.744 1,357,400 11,336 11,330 5
------- ------- -----
Total Short Contracts..................... $21,101 $21,122 $ (21)
======= ======= =====
</TABLE>
At June 30, 1999, the Fund's open futures contracts were as follows:
<TABLE>
<CAPTION>
CURRENT
NUMBER OF OPEN MARKET
CONTRACTS CONTRACT TYPE POSITIONS VALUE
- --------- ------------- --------- -------
<C> <S> <C> <C>
166 Long Nikkei 225, September 1999 Futures $14,441 $14,737
35 Long CAC 40, September 1999 Futures 1,568 1,597
14 Long DAX, September 1999 Futures 1,895 1,886
22 Long FTSE 100, September 1999 Futures 1,427 1,396
------- -------
$19,331 $19,616
======= =======
</TABLE>
See notes to financial statements.
134
<PAGE> 137
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
DIVERSIFIED INTERNATIONAL FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS (94.8%):
ARGENTINA (1.2%):
Banking & Finance (0.2%):
199 Banco De Galicia Bue, Class B........ $ 1,039
52 Banco Frances Rio SA................. 345
--------
1,384
--------
Beverages & Tobacco (0.0%):
0 Buenos Aires Embottelladora SA, Class
B (b)(e)........................... 0
--------
Construction (0.1%):
291 Astra Cia Argentin (b)............... 524
--------
Energy (0.0%):
0 Comercial Del Plata (b)(e)........... 0
--------
Metals & Mining (0.1%):
38 Siderar SA, Class A.................. 119
489 Siderca SA........................... 655
--------
774
--------
Oil & Gas Exploration, Production & Services (0.3%):
300 Perez Companc SA..................... 1,739
--------
Telecommunications (0.5%):
966 Telefonica de Argentina SA, Class
B.................................. 3,099
--------
7,520
--------
AUSTRALIA (1.6%):
Banking (0.4%):
40 Australia & New Zealand Banking Group
Ltd. .............................. 294
85 National Australia Bank Ltd. ........ 1,411
131 Westpac Banking Corp., Ltd. (c)...... 847
--------
2,552
--------
Beverages & Tobacco (0.0%):
25 Coca-Cola Amatil Ltd. ............... 100
--------
Broadcasting & Publishing (0.1%):
91 News Corp., Ltd. (b)................. 774
--------
Building Products (0.0%):
80 CSR Ltd. ............................ 229
--------
Chemicals (0.1%):
84 Orica Ltd. .......................... 458
--------
Containers & Packaging (0.0%):
51 Amcor Ltd. .......................... 281
--------
Electric Integrated (0.0%):
175 Contact Energy (b)................... 284
--------
Food Products & Services (0.0%):
55 Goodman Fielder Ltd. ................ 49
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Australia, continued:
Metals (0.1%):
109 MIM Holdings Ltd. ................... $ 78
36 Rio Tinto Ltd. ...................... 588
--------
666
--------
Metals & Mining (0.4%):
104 Broken Hill Proprietary Co., Ltd. ... 1,209
82 Santos Ltd. ......................... 270
182 WMC Ltd. ............................ 781
--------
2,260
--------
Oil & Gas Exploration, Production & Services (0.0%):
100 Oil Search Ltd. (b).................. 148
--------
Real Estate (0.1%):
1 General Property Trust............... 2
45 Lend Lease Corp. .................... 612
--------
614
--------
Retail-Stores/Catalog (0.1%):
47 Coles Myer Ltd. ..................... 273
23 Woolworth Ltd. ...................... 77
--------
350
--------
Services (0.1%):
14 Brambles Industries Ltd. ............ 356
--------
Telecommunications-Services and Equipment (0.2%):
430 Cable & Wireless Optus Ltd. (b)...... 979
--------
10,100
--------
BELGIUM (1.6%):
Banking (0.2%):
24 Kredietbank NV....................... 1,405
--------
Chemicals (0.3%):
29 Solvay SA............................ 1,901
--------
Construction (0.0%):
2 Glaverbel Mecansa.................... 141
--------
Electric Utility (0.2%):
8 Tractebel Investment Capital......... 1,175
--------
Industrial Holding Company (0.1%):
3 Groupe Bruxelles Lambert SA.......... 552
--------
Insurance (0.4%):
71 Fortis............................... 2,243
--------
Merchandising (0.1%):
1 Bekaert SA........................... 398
2 Delhaize-Le Lion SA.................. 153
--------
551
--------
</TABLE>
Continued
135
<PAGE> 138
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
DIVERSIFIED INTERNATIONAL FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Belgium, continued:
Metals & Mining (0.0%):
8 Union Miniere Group.................. $ 318
--------
Telecommunications-Services and Equipment (0.3%):
7 Electrabel SA........................ 2,152
--------
10,438
--------
BRAZIL (1.6%):
Electric Utility (0.2%):
77 Centrais Eletricas Brasileiras ADR... 775
8 Centrais Geradoras do Sul do Brasil
ADR................................ 31
30 Companhia Energetica de Minas Gerais
ADR................................ 633
--------
1,439
--------
Financial Services (0.2%):
62 Unibanco Holdings GDR................ 1,492
--------
Food Products & Services (0.1%):
20 Pao De Acucar GDR.................... 374
--------
Industrial Holding Company (0.1%):
20 Aracruz Celulose ADR................. 429
--------
Metals & Mining (0.1%):
21 Compania Vale do Rio Doce ADR........ 417
--------
Oil & Gas Exploration, Production & Services (0.1%):
56 Petroleo Brasileiro ADR.............. 862
--------
Paper Products (0.0%):
8 Klabin Fabricadora ADR (b)........... 40
--------
Steel (0.0%):
6 Sider Nacional ADR................... 158
--------
Telecommunications (0.0%):
57 Telecomunicacoes Brasileiras ADR
(b)................................ 4
--------
Telecommunications-Services and Equipment (0.8%):
28 Globo Cabo SA ADR (b)................ 119
57 Telecomunicacoes Brasileiras SA...... 5,140
--------
5,259
--------
10,474
--------
CHILE (0.4%):
Airlines (0.0%):
10 Lan Chile Sponsored ADR.............. 72
--------
Electric Utility (0.0%):
10 Gener SA ADR......................... 178
--------
Financial Services (0.0%):
14 Banco Santander ADR.................. 217
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Chile, continued:
Gas & Electric Utility (0.1%):
27 Enersis SA ADR....................... $ 622
--------
Telecommunications (0.3%):
50 Telecomunicaciones de Chile SA ADR... 1,237
--------
2,326
--------
DENMARK (1.7%):
Banking & Finance (0.4%):
17 Danske Bank.......................... 1,817
12 Unidanmark A/S, Class A.............. 783
--------
2,600
--------
Beverages & Tobacco (0.0%):
7 Carlsberg A/S, Class B............... 288
--------
Commercial Services (0.1%):
8 ISS International Service System A/S,
Class B (b)........................ 431
--------
Environmental Services (0.1%):
7 Ratin A/S, Class B................... 814
--------
Food Products & Services (0.1%):
10 Danisco A/S.......................... 445
--------
Pharmaceuticals (0.3%):
20 Novo Nordisk A/S, Class B............ 2,153
--------
Security Services (0.0%):
3 Falck A/S............................ 246
--------
Transportation & Shipping (0.7%):
0 D/S 1912, Class B (e)................ 1,508
0 D/S Svendborg A/S, Class B (e)....... 2,478
--------
3,986
--------
10,963
--------
FINLAND (8.3%):
Banking & Finance (0.4%):
396 Merita Ltd., Class A................. 2,250
--------
Construction (0.1%):
17 Metra AB, Class B.................... 362
--------
Consumer Goods & Services (0.0%):
11 Amer Group, Class A.................. 158
--------
Forest Products (0.8%):
9 Rauma OY............................. 103
169 UPM-Kymmene Corp. ................... 5,213
--------
5,316
--------
</TABLE>
Continued
136
<PAGE> 139
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
DIVERSIFIED INTERNATIONAL FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Finland, continued:
Insurance (0.2%):
16 Pohjola Insurance Group, Class B..... $ 816
24 Sampo Insurance Co. ................. 707
--------
1,523
--------
Machinery & Equipment (0.1%):
5 Kone Corp., Class B.................. 674
--------
Metals (0.1%):
60 Outokumpo OY, Class A................ 672
--------
Retail (0.2%):
62 Kesko................................ 835
15 Stockmann Oyj, Class A............... 304
3 Stockmann Oyj, Class B............... 38
--------
1,177
--------
Telecommunications (0.3%):
100 Sonera Group Oyj..................... 2,186
--------
Telecommunications-Services and Equipment (6.1%):
440 Nokia (Ab)........................... 38,587
--------
52,905
--------
FRANCE (7.6%):
Automotive (0.2%):
6 PSA Peugeot.......................... 903
4 Valeo SA............................. 290
--------
1,193
--------
Banking (0.8%):
17 Banque Nationale de Paris............ 1,404
10 Paribas.............................. 1,145
9 Societe Generale..................... 1,600
--------
4,149
--------
Banking & Finance (0.0%):
2 Dexia France......................... 206
--------
Beverages & Tobacco (0.3%):
6 LVMH (Moet Hennessy Louis Vuitton)... 1,875
4 Pernod Ricard........................ 259
--------
2,134
--------
Broadcasting/Cable (0.1%):
2 Canal Plus........................... 444
--------
Building Products (0.1%):
1 Imetal SA............................ 163
7 Lafarge SA........................... 620
--------
783
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
France, continued:
Chemicals (0.3%):
7 L'Air Liquide, Registered (b)........ $ 1,080
23 Rhone-Poulenc SA..................... 1,048
--------
2,128
--------
Defense (0.0%):
7 Thomson CSF (c)...................... 242
--------
Diversified (0.4%):
34 Vivendi (c).......................... 2,756
--------
Electrical & Electronic (0.5%):
15 Alcatel Alsthom...................... 2,070
2 Legrand SA........................... 397
9 Schneider SA......................... 495
--------
2,962
--------
Energy (1.4%):
16 Elf Aquitane SA...................... 2,359
45 Total SA, Class B (b)................ 5,781
--------
8,140
--------
Food & Household Products (0.0%):
2 Eridania Beghin-Say SA (c)........... 231
--------
Food Products & Services (0.3%):
8 Groupe Danone........................ 2,040
--------
Health & Personal Care (0.6%):
4 L'OREAL.............................. 2,588
28 Sanofi Synthelabo SA (b)............. 1,179
--------
3,767
--------
Industrial Goods & Services (0.1%):
18 Michelin, Class B, Registered........ 740
--------
Industrial Holding Company (0.3%):
10 Lyonnaise des Eaux SA................ 1,786
--------
Insurance (0.5%):
26 AXA SA............................... 3,112
--------
Leisure (0.2%):
6 Accor SA............................. 1,555
--------
Merchandising (0.6%):
15 Carrefour SA......................... 2,273
6 Pinault-Printemps-Redo SA............ 1,073
1 Promodes (c)......................... 744
--------
4,090
--------
Metals (Non-ferrous) (0.1%):
27 Usinor (c)........................... 402
--------
Office Equipment & Services (0.0%):
4 BIC (a).............................. 222
--------
</TABLE>
Continued
137
<PAGE> 140
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
DIVERSIFIED INTERNATIONAL FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
France, continued:
Oil & Gas (0.2%):
7 Compagnie de Saint Gobain............ $ 1,081
--------
Telecommunications-Services and Equipment (0.6%):
53 France Telecom (c)................... 4,040
--------
48,203
--------
GERMANY (7.1%):
Airlines (0.1%):
34 Lufthansa AG......................... 620
--------
Automotive (0.8%):
34 DaimlerChrysler...................... 2,983
30 Volkswagen AG NPV.................... 1,915
--------
4,898
--------
Banking (1.0%):
50 Bayer AG............................. 2,071
19 Bayerische Vereinsbank AG............ 1,224
38 Deutsche Bank AG..................... 2,337
30 Dresdner Bank AG..................... 1,174
--------
6,806
--------
Business Service (0.3%):
5 SAP AG............................... 1,663
--------
Chemicals (0.3%):
37 BASF AG.............................. 1,606
--------
Conglomerates (0.7%):
28 Metro AG............................. 1,763
32 VEBA AG.............................. 1,911
2 Viag AG.............................. 939
--------
4,613
--------
Construction (0.1%):
11 Hochtief AG.......................... 520
--------
Cosmetics/Personal Care (0.1%):
6 Beiersdorf AG, Series ABC............ 412
--------
Diversified (0.3%):
29 Man AG -- Vorzugsaktien.............. 658
26 Preussag AG.......................... 1,396
--------
2,054
--------
Electrical & Electronic (0.4%):
36 Siemens AG........................... 2,776
--------
Engineering (0.7%):
28 Mannesmann AG........................ 4,226
--------
Health Care (0.1%):
6 Schering AG.......................... 603
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Germany, continued:
Insurance (0.9%):
15 Allianz AG........................... $ 4,314
7 Muenchener Rueckversicherungs
Gesellschaft AG, Registered Shares
(c)................................ 1,260
--------
5,574
--------
Machinery & Equipment (0.1%):
1 Linde AG............................. 334
--------
Manufacturing Miscellaneous (0.1%):
25 Thyssen Krupp AG (b)................. 540
--------
Reinsurance (0.2%):
7 Muenchener Rueckversicherungs AG
(b)................................ 1,249
--------
Telecommunications (0.9%):
133 Deutsche Telekom AG (b).............. 5,570
18 RWE AG............................... 855
--------
6,425
--------
44,919
--------
HONG KONG (1.4%):
Banking (0.2%):
101 Hang Seng Bank....................... 1,127
--------
Banking & Finance (0.0%):
69 Wing Lung Bank....................... 267
--------
Business Service (0.0%):
101 Wharf Holdings....................... 315
--------
Conglomerates (0.1%):
91 Swire Pacific Ltd., Class A.......... 448
--------
Electric Utility (0.0%):
21 Hong Kong Electric................... 67
--------
Gas Utility (0.1%):
314 Hong Kong & China Gas................ 455
--------
Industrial Holding Company (0.3%):
191 Hutchison Whampoa Ltd. .............. 1,729
--------
Investment Company (0.1%):
97 CLP Holdings......................... 470
--------
Real Estate (0.4%):
129 Cheung Kong (Holdings)............... 1,147
62 Hysan Development.................... 94
86 New World Development Co. ........... 257
131 Sun Hung Kai Properties Ltd. ........ 1,192
--------
2,690
--------
</TABLE>
Continued
138
<PAGE> 141
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
DIVERSIFIED INTERNATIONAL FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Hong Kong, continued:
Telecommunications (0.2%):
588 Hong Kong Telecommunications Ltd. ... $ 1,527
--------
9,095
--------
IRELAND (4.0%):
Banking (1.5%):
471 Allied Irish Banks PLC (b)........... 6,198
192 Bank Of Ireland (Dublin Listing)..... 3,220
--------
9,418
--------
Construction (1.2%):
417 CRH PLC (b).......................... 7,389
--------
Financial Services (0.3%):
207 Irish Life & Permanent PLC (b)....... 2,192
--------
Food Products & Services (0.4%):
237 Greencore Group (b).................. 734
163 Kerry Group, Class A (b)............. 1,928
--------
2,662
--------
Industrial Goods & Services (0.4%):
1,121 Smufit (Jefferson) Group (b)......... 2,630
--------
Media (0.2%):
276 Independent Newspapers PLC (b)....... 1,326
--------
25,617
--------
ITALY (1.9%):
Banking (0.4%):
80 Banca Commerciale Italiana........... 584
222 Credito Italiano SpA................. 975
79 Instituto Bancario San Paolo di
Torino............................. 1,082
--------
2,641
--------
Broadcasting & Publishing (0.2%):
177 Mediaset SpA (c)..................... 1,573
--------
Insurance (0.4%):
58 Assicurazioni Generali............... 2,010
200 Istituto Nazionale delle
Assicurazioni (c).................. 464
--------
2,474
--------
Oil & Gas (0.2%):
166 Ente Nazionale Idrocarburi SpA
(ENI).............................. 991
--------
Real Estate (0.0%):
200 Unione Immobiliare................... 89
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Italy, continued:
Telecommunications (0.7%):
300 Telecom Italia Mobile SpA di Risp
(Non-convertible) (c).............. $ 1,791
270 Telecom Italia SpA (c)............... 2,807
--------
4,598
--------
12,366
--------
JAPAN (14.3%):
Airlines (0.1%):
110 Japan Airlines (c)................... 364
--------
Appliances & Household Products (1.8%):
217 Matsushita Electric Industrial Co.,
Ltd. .............................. 4,213
154 Sanyo Electric Co. .................. 626
63 Sharp Corp. (c)...................... 744
52 Sony Corp. (c)....................... 5,552
--------
11,135
--------
Automotive (1.5%):
74 Honda Motor Co., Ltd. ............... 3,136
186 Toyota Motor Corp. .................. 5,886
--------
9,022
--------
Banking (1.3%):
114 Asahi Bank Ltd. ..................... 546
156 Bank of Tokyo -- Mitsubishi.......... 2,221
155 Dai-Ichi Kangyo Bank................. 999
144 Fuji Bank Ltd. (c)................... 1,004
106 Industrial Bank of Japan............. 841
127 Sakura Bank Ltd. .................... 482
150 Sumitomo Bank........................ 1,860
97 Tokai Bank (c)....................... 553
--------
8,506
--------
Basic Industry (0.0%):
40 Sekisui Chemical Co., Ltd. .......... 232
--------
Building Products (0.1%):
19 Tostem Corp. ........................ 365
--------
Chemicals (1.2%):
140 Asahi Chemical Industry Co., Ltd. ... 776
82 Dainippon Ink & Chemicals, Inc. ..... 279
32 Shin-Etsu Chemical Co. .............. 1,071
135 Sumitomo Chemical Co. (c)............ 619
90 Takeda Chemical Industries........... 4,172
147 Toray Industries, Inc. (c)........... 736
--------
7,653
--------
</TABLE>
Continued
139
<PAGE> 142
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
DIVERSIFIED INTERNATIONAL FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Japan, continued:
Construction (0.4%):
60 Daiwa House Industry Co., Ltd. ...... $ 631
157 Sekisui House Ltd. (c)............... 1,694
--------
2,325
--------
Consumer Goods & Services (0.0%):
40 Toto Ltd. ........................... 309
--------
Data Processing & Reproduction (0.7%):
178 Fujitsu Ltd. (c)..................... 3,581
75 Ricoh................................ 1,032
--------
4,613
--------
Distribution (0.1%):
167 Itochu Corp. (b)..................... 415
--------
Electrical & Electronic (0.3%):
17 Kyocera Corp. ....................... 997
125 Mitsubishi Electric Corp. ........... 480
36 Omron Corp. ......................... 625
--------
2,102
--------
Electronic Components/Instruments (0.5%):
15 Fanuc Co., Ltd. ..................... 806
233 Hitachi Ltd. (c)..................... 2,184
--------
2,990
--------
Energy (0.1%):
120 Nippon Oil Co. ...................... 506
--------
Engineering (0.0%):
35 Obayashi Corp. ...................... 176
--------
Financial Services (0.6%):
149 Daiwa Securities Co., Ltd. .......... 985
50 Mitsubishi Trust & Banking Co. ...... 486
127 Nomura Securities Co. (c)............ 1,486
7 Orix Corp. .......................... 625
--------
3,582
--------
Food & Household Products (0.1%):
74 Ajinomoto Co., Inc. ................. 844
--------
Gas & Electric Utility (0.7%):
59 Kansai Electric Power Co., Inc. ..... 1,123
271 Osaka Gas Co. ....................... 920
102 Tokyo Electric Power................. 2,160
137 Tokyo Gas Co., Ltd. ................. 337
--------
4,540
--------
Health & Personal Care (0.2%):
58 Sankyo Co., Ltd. .................... 1,462
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Japan, continued:
Industrial Goods & Services (0.4%):
78 Bridgestone Corp. (c)................ $ 2,359
20 Denso Corp. ......................... 406
--------
2,765
--------
Machinery & Equipment (0.4%):
70 Komatsu Ltd. (c)..................... 447
136 Kubota Corp. ........................ 407
247 Mitsubishi Heavy Industries Ltd. .... 1,002
83 Sumitomo Heavy Industries Ltd. (b)... 185
10 Tokyo Electron Ltd. (c).............. 678
--------
2,719
--------
Manufacturing-Consumer Goods (0.5%):
69 Canon, Inc. (c)...................... 1,984
36 Fuji Photo Film Co., Ltd. (c)........ 1,362
--------
3,346
--------
Merchandising (0.8%):
38 ITO-Yokado Co., Ltd. ................ 2,543
28 Seven-Eleven Japan Ltd. ............. 2,744
--------
5,287
--------
Office Equipment & Services (0.2%):
74 Dai Nippon Printing Co., Ltd. ....... 1,183
--------
Packaging (0.1%):
15 Toyo Seikan Kaisha................... 337
--------
Pharmaceuticals (0.3%):
117 Dai-Ichi Pharmaceuticals............. 1,815
--------
Real Estate (0.2%):
153 Mitsubishi Estate Co. ............... 1,493
--------
Retail (0.1%):
78 Mycal Corp. ......................... 490
--------
Steel (0.2%):
341 Nippon Steel Co. .................... 792
262 Sumitomo Metal Industries (b)........ 327
--------
1,119
--------
Telecommunications (1.1%):
1 Nippon Telegraph & Telephone
Corp. ............................. 6,920
--------
Transportation & Shipping (0.0%):
0 East Japan Railway Co. (e)........... 204
--------
Transportation -- Road & Railroad (0.1%):
89 Hankyu Corp. ........................ 353
148 Tokyu Corp. ......................... 373
--------
726
--------
</TABLE>
Continued
140
<PAGE> 143
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
DIVERSIFIED INTERNATIONAL FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Japan, continued:
Wholesale & International Trade (0.2%):
208 Marubeni Corp. ...................... $ 435
78 Mitsubishi Corp. .................... 528
74 Sumitomo Corp. ...................... 541
--------
1,504
--------
91,049
--------
MEXICO (4.4%):
Beverages & Tobacco (0.6%):
33 Fomento Economico Mexicano SA de CV
ADR................................ 1,333
873 Grupo Modelo SA, Series C............ 2,485
--------
3,818
--------
Building Products (0.4%):
50 Apasco SA de CV...................... 327
384 Cemex SA de CV, Series A............. 1,890
50 Cemex SA de CV, Series CPO........... 244
--------
2,461
--------
Diversified (0.4%):
160 ALFA SA de CV, Class A............... 661
646 Desc SA de CV, Series B.............. 711
229 Grupo Carso SA de CV, Series A-1
(b)................................ 1,060
--------
2,432
--------
Financial Services (0.3%):
334 Grupo Financiero Banamex-AC, Series O
(b)................................ 842
2,257 Grupo Financiero Bancomer, Series
O.................................. 812
109 Grupo Financiero Inbursa SA de CV,
Class B (b)........................ 263
--------
1,917
--------
Food & Household Products (0.3%):
485 Kimberly-Clark de Mexico SA de CV,
Class A............................ 1,977
--------
Food Products & Services (0.1%):
154 Empresas La Moderna SA de CV (b)..... 861
--------
Industrial Goods & Services (0.2%):
609 Grupo Industrial Bimbo SA de CV,
Series A........................... 1,355
--------
Merchandising (0.3%):
1,135 Cifra SA de CV, Series V (b)......... 2,177
--------
Metals & Mining (0.2%):
203 Grupo Mexico SA, Series B (b)........ 862
104 Industrias Penoles SA, Series CP
(b)................................ 301
--------
1,163
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Mexico, continued:
Telecommunications (1.6%):
99 Grupo Televisa SA, Series CPO (b).... $ 2,215
1,940 Telefonos de Mexico SA, Series L..... 7,752
--------
9,967
--------
28,128
--------
NETHERLANDS (4.9%):
Airlines (0.0%):
10 KLM.................................. 284
--------
Banking (0.4%):
115 ABN AMRO Holding NV (c).............. 2,484
--------
Beverages & Tobacco (0.2%):
20 Heineken NV.......................... 1,018
--------
Broadcasting & Publishing (0.1%):
74 Elsevier NV.......................... 863
--------
Chemicals (0.2%):
35 Akzo Nobel NV........................ 1,471
--------
Construction (0.0%):
11 Hollandsche Benton................... 135
--------
Distribution (0.0%):
6 Buhrmann NV (Post Cons).............. 96
--------
Electronic Components/Instruments (0.4%):
25 Koninklijke Philips Electronic NV.... 2,438
--------
Energy (1.6%):
147 Royal Dutch Petroleum................ 8,633
17 Royal Dutch Petroleum, NY Registered
Shares............................. 1,012
--------
9,645
--------
Financial Services (0.7%):
72 ING Groep NV......................... 3,904
--------
Food Products & Services (0.8%):
38 Ahold (Kon) NV....................... 1,309
51 Unilever NV CVA...................... 3,436
--------
4,745
--------
Office Equipment & Services (0.0%):
6 Oce.................................. 155
--------
Printing & Publishing (0.1%):
22 Wolters Kluwer CVA................... 879
--------
Services (0.1%):
40 TNT Post Groep NV.................... 954
--------
Steel (0.0%):
4 Kon Hoogovens NV CVA................. 201
--------
</TABLE>
Continued
141
<PAGE> 144
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
DIVERSIFIED INTERNATIONAL FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Netherlands, continued:
Telecommunications-Services and Equipment (0.3%):
40 Koninklijke KPN...................... $ 1,886
--------
31,158
--------
NEW ZEALAND (1.0%):
Beverages & Tobacco (0.1%):
270 Lion Nathan Ltd. .................... 647
--------
Building Products (0.1%):
262 Fletcher Challenge Building.......... 381
--------
Forest Products (0.0%):
225 Fletcher Challenge Paper............. 168
--------
Telecommunications (0.4%):
595 Telecom Corp. of New Zealand Ltd. ... 2,554
--------
Telecommunications-Services and Equipment (0.4%):
55 Tele Danmark As, Series B............ 2,696
--------
6,446
--------
NORWAY (1.8%):
Banking (0.1%):
70 Christiania Bank OG Kreditkasse...... 252
155 Den Norske Bank ASA.................. 512
--------
764
--------
Computer Software (0.1%):
70 Merkantildata ASA.................... 676
--------
Forest Products (0.1%):
23 Norske Skogsindustrier, Class A
(c)................................ 858
--------
Insurance (0.2%):
160 Storebrand ASA (b)................... 1,075
--------
Manufacturing-Consumer Goods (0.3%):
113 Orkla ASA, Series A.................. 1,758
--------
Medical Equipment & Supplies (0.0%):
30 Hafslund, Class A.................... 200
--------
Oil & Gas (0.1%):
47 Petroleum Geo-Services ASA (b)....... 705
--------
Oil & Gas Exploration, Production & Services (0.6%):
16 Aker ASA, Class B.................... 219
70 Norsk Hydro ASA (c).................. 2,628
30 Smedvig, Class A..................... 278
--------
3,125
--------
Pharmaceuticals (0.2%):
220 Nycomed Amersham PLC, Class B........ 1,566
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Norway, continued:
Transportation & Shipping (0.1%):
21 Bergesen Dy As, Class A.............. $ 311
18 Leif Hoegh & Co., ASA................ 234
--------
545
--------
11,272
--------
SINGAPORE (2.1%):
Airlines (0.3%):
209 Singapore Airlines (Alien Market).... 1,989
--------
Automotive (0.1%):
102 Cycle & Carriage..................... 587
--------
Banking (0.6%):
67 Development Bank Singapore (Alien
Market) (c)........................ 815
193 Oversea -- Chinese Banking Corp.,
Ltd. .............................. 1,605
224 United Overseas Bank (Alien
Market)............................ 1,569
--------
3,989
--------
Beverages & Tobacco (0.1%):
87 Fraser & Neave....................... 388
--------
Distribution (0.0%):
80 Inchcape Motors Ltd. ................ 129
--------
Diversified (0.2%):
281 Keppel Corp. ........................ 956
--------
Electrical & Electronic (0.0%):
75 Elec & Eltek International Co.,
Ltd. .............................. 293
--------
Electrical Equipment (0.0%):
5 Creative Technology Ltd. ............ 65
--------
Electronic Components/Instruments (0.2%):
150 Venture Manufacturing................ 1,154
--------
Real Estate (0.3%):
171 City Developments Ltd. .............. 1,092
358 DBS Land Ltd. ....................... 715
--------
1,807
--------
Telecommunications (0.3%):
1,118 Singapore Telecommunications Ltd.
(c)................................ 1,918
--------
Telecommunications-Services and Equipment (0.0%):
270 MMI Holdings Ltd. ................... 246
--------
13,521
--------
SOUTH KOREA (1.0%):
Banking (0.2%):
84 Hana Bank............................ 1,234
--------
Electric Integrated (0.2%):
33 Kepco Korea Electric Power........... 1,359
--------
</TABLE>
Continued
142
<PAGE> 145
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
DIVERSIFIED INTERNATIONAL FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
South Korea, continued:
Electronic Components/Instruments (0.6%):
10 Samsung Display Devices.............. $ 558
29 Samsung Electronics.................. 3,160
--------
3,718
--------
6,311
--------
SPAIN (6.0%):
Automotive (0.1%):
55 Autopistas Cesa...................... 649
--------
Banking (2.1%):
371 Banco Bilbao Vizcaya................. 5,353
589 Banco Santander Central Hispano
Americano SA....................... 6,135
89 Corporacion Bancaria de Espana SA
(c)................................ 2,017
--------
13,505
--------
Beverages & Tobacco (0.1%):
37 Tabacalera SA (c).................... 757
--------
Construction (0.1%):
16 Fomento de Construcciones y Contratas
SA................................. 896
--------
Gas & Electric Utility (1.1%):
182 Endesa SA (c)........................ 3,874
139 Iberdrola SA (c)..................... 2,111
64 Union Electric Fenosa SA (c)......... 840
--------
6,825
--------
Insurance (0.1%):
17 Corporacion Mapfre................... 346
--------
Machinery & Equipment (0.1%):
26 Zardoya-Otis......................... 664
--------
Oil & Gas Exploration, Production & Services (0.8%):
25 Gas Natural SDG...................... 1,850
157 Repsol SA (c)........................ 3,199
--------
5,049
--------
Real Estate (0.0%):
29 Vallehermoso SA...................... 281
--------
Steel (0.1%):
13 Acerinox SA, Registered.............. 384
--------
Telecommunications (1.4%):
186 Telefonica de Espana (b)(c).......... 8,977
--------
Transportation (0.0%):
55 Autopistas Concesionaria Espanola SA-
Bonus Shares....................... 32
--------
38,365
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
SWEDEN (1.8%):
Automotive (0.2%):
33 Volvo AB, Series B................... $ 957
--------
Banking & Finance (0.2%):
99 Svenska Handelsdanken, Class A....... 1,188
--------
Engineering (0.1%):
67 ABB AB, Class A...................... 891
--------
Insurance (0.0%):
15 Skandia Forsakring................... 281
--------
Medical-Drugs (0.3%):
48 Astrazeneca (b)...................... 1,865
--------
Paper Products (0.0%):
5 Mo Och Domsjo Ab, Series B........... 116
--------
Retail-General Merchandise (0.3%):
68 Hennes & Mauritz AB, Series B........ 1,680
--------
Telecommunications (0.7%):
145 Telefonaktiebolaget LM Ericsson,
Series B (c)....................... 4,647
--------
11,625
--------
SWITZERLAND (3.5%):
Building Products (0.1%):
1 Holderbank Financiera Glarus
Bearer............................. 659
--------
Diversified (0.2%):
0 Alusuisse-Lonza Holding AG,
Registered (e)..................... 289
1 SFR ABB AG........................... 814
--------
1,103
--------
Fertilizers (0.0%):
1 Societe Suisse pour la
Microelectronique et l'Horlogerie
AG................................. 104
--------
Financial Services (0.8%):
10 CS Holding AG, Registered............ 1,648
11 Union Bank of Switzerland AG,
Registered......................... 3,226
--------
4,874
--------
Food Products & Services (0.5%):
2 Nestle SA, Registered................ 3,377
--------
Insurance (0.4%):
0 Swiss Reinsurance Corp., Registered
(e)................................ 57
4 Zurich Allied AG, Registered......... 2,328
--------
2,385
--------
Jewelry (0.0%):
0 Swatch Group, Bearer (e)............. 111
--------
</TABLE>
Continued
143
<PAGE> 146
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
DIVERSIFIED INTERNATIONAL FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Switzerland, continued:
Pharmaceuticals (1.5%):
3 Novartis AG, Registered.............. $ 4,586
0 Roche Holding AG, Bearer (e)......... 4,964
--------
9,550
--------
22,163
--------
UNITED KINGDOM (15.6%):
Aerospace & Military Technology (0.3%):
84 British Aerospace PLC................ 550
127 Rolls-Royce PLC...................... 539
43 Smiths Industries PLC................ 568
--------
1,657
--------
Airlines (0.1%):
84 British Airways PLC.................. 575
--------
Appliances & Household Products (0.1%):
51 EMI Group PLC........................ 410
--------
Banking (2.1%):
72 Abbey National PLC................... 1,340
116 Barclays PLC......................... 3,368
162 HSBC Holdings PLC.................... 5,758
88 HSBC Holdings PLC, Class A........... 3,134
--------
13,600
--------
Beverages & Tobacco (0.8%):
109 British American Tobacco PLC......... 1,019
25 Coca-Cola Beverage (b)............... 52
373 Diageo PLC........................... 3,891
31 Imperial Tobacco..................... 343
--------
5,305
--------
Brewery (0.2%):
97 Bass PLC............................. 1,414
--------
Broadcasting/Cable (0.2%):
94 British Sky Broadcasting Group PLC... 870
86 Carlton Communications............... 716
--------
1,586
--------
Building Products (0.1%):
27 RMC Group............................ 428
--------
Chemicals (0.2%):
40 BOC Group............................ 793
77 Imperial Chemical Industries PLC..... 764
--------
1,557
--------
Construction (0.0%):
110 Taylor Woodrow PLC................... 316
--------
Electric Utility (0.0%):
22 Scottish Power....................... 193
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
United Kingdom, continued:
Electrical & Electronic (0.4%):
227 General Electric Co., PLC............ $ 2,297
--------
Energy (1.4%):
433 British Petroleum Co., PLC........... 7,745
58 Thames Water Ord..................... 925
--------
8,670
--------
Financial Services (0.8%):
364 Lloyds TSB Group, PLC................ 4,925
--------
Food Products & Services (0.7%):
58 Associated British Foods............. 381
110 Cadbury Schweppes PLC................ 702
187 J Sainsbury PLC...................... 1,177
232 Unilever PLC......................... 2,100
--------
4,360
--------
Health & Personal Care (1.3%):
221 Glaxo Wellcome PLC................... 6,134
58 Zeneca PLC........................... 2,229
--------
8,363
--------
Industrial Holding Company (0.1%):
69 Hanson Trust PLC..................... 606
--------
Insurance (0.9%):
109 Allied Zurich PLC.................... 1,364
197 Prudential Corp. PLC................. 2,918
161 Royal & Sun Alliance Insurance Group
PLC................................ 1,448
--------
5,730
--------
Leisure (0.4%):
81 Granada Group PLC (b)................ 1,515
200 Ladbroke Group PLC................... 792
89 Rank Group PLC....................... 353
--------
2,660
--------
Manufacturing Miscellaneous (0.2%):
208 Siebe PLC............................ 984
--------
Merchandising (0.1%):
157 Safeway PLC.......................... 629
--------
Metals & Mining (0.3%):
233 British Steel PLC.................... 600
96 Rio Tinto PLC........................ 1,593
--------
2,193
--------
Oil & Gas Exploration, Production & Services (0.3%):
285 BG PLC............................... 1,742
--------
Pharmaceuticals (0.7%):
351 SmithKline Beecham PLC............... 4,557
--------
</TABLE>
Continued
144
<PAGE> 147
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
DIVERSIFIED INTERNATIONAL FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
United Kingdom, continued:
Printing & Publishing (0.4%):
40 Reed International PLC............... $ 269
151 Reuters Group........................ 1,984
--------
2,253
--------
Real Estate (0.1%):
103 Mepc Ord............................. 837
--------
Retail (0.2%):
97 Kingfisher PLC....................... 1,115
24 Selfridges Ord....................... 99
--------
1,214
--------
Retail-Stores/Catalog (0.6%):
62 Boots Co., PLC....................... 743
68 Great Universal Stores PLC........... 765
212 Marks & Spencer PLC.................. 1,233
475 Tesco PLC............................ 1,231
--------
3,972
--------
Telecommunications (2.6%):
429 British Telecommunications PLC....... 7,163
180 Cable & Wireless PLC................. 2,285
229 Centrica PLC (b)..................... 540
79 National Power PLC................... 577
282 Vodaphone Group PLC.................. 5,579
--------
16,144
--------
99,177
--------
UNITED STATES (0.0%):
Oil & Gas Exploration, Production & Services (0.0%):
4 Transocean Offshore Inc. ............ 105
--------
Total Common Stocks 604,246
--------
PREFERRED STOCKS (0.5%):
AUSTRALIA (0.1%):
Broadcasting & Publishing (0.1%):
70 News Corp., Ltd. .................... 536
--------
BRAZIL (0.0%):
Telecommunications-Services and Equipment (0.0%):
966 Telesp Tel Sao Paulo Npv............. 115
--------
GERMANY (0.4%):
Business Service (0.3%):
4 SAP AG............................... 1,590
--------
Telecommunications (0.1%):
10 RWE AG............................... 341
--------
1,931
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
PREFERRED STOCKS, CONTINUED:
NETHERLANDS (0.0%):
Food Products & Services (0.0%):
57 Unilever NV (b)...................... $ 306
--------
Total Preferred Stocks 2,888
--------
RIGHTS-FOREIGN SECURITIES (0.0%):
ARGENTINA (0.0%):
Banking & Finance (0.0%):
52 Banco Frances SA (b)................. 0
--------
SWITZERLAND (0.0%):
Building Products (0.0%):
1 Holderbank Fn Glarus (b)............. 8
--------
Total Rights-Foreign Securities 8
--------
WARRANTS (0.0%):
THAILAND (0.0%):
Banking (0.0%):
28 Siam Commercial Bank, Expire 12/31/02
(b)................................ 12
--------
Total Warrants 12
--------
U.S. TREASURY OBLIGATIONS (0.2%):
U.S. Treasury Bills (0.2%):
$ 1,200 9/30/99 (d).......................... 1,207
--------
Total U.S. Treasury Obligations 1,207
--------
INVESTMENT COMPANIES (1.8%):
UNITED STATES (1.8%):
11,576 One Group Prime Money Market Fund,
Class I............................ 11,576
--------
Total Investment Companies 11,576
--------
SHORT-TERM SECURITIES HELD AS COLLATERAL (7.8%):
Repurchase Agreements (7.8%):
$ 2,896 Lehman Brothers, 5.00%, 7/6/99
(Collateralized by $48 various
Equity Securities, market value
$3,181)............................ 2,896
855 Lehman Brothers, 5.85%, 7/1/99
(Collateralized by $898 various
Commercial Papers,
0.00 - 5.06%, 9/20/99 - 10/4/99,
market value $898)................. 855
45,697 Lehman Brothers, 6.25%, 7/1/99,
(Collateralized by $1,215 various
Equity Securities, market value
$48,235)........................... 45,697
--------
Total Short-Term Securities Held as
Collateral 49,448
--------
Total (Cost $488,926) (a) $669,385
========
</TABLE>
Continued
145
<PAGE> 148
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
DIVERSIFIED INTERNATIONAL FUND
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
- ------------
Percentages indicated are based on net assets of $636,693.
(a) Represents cost for financial reporting purposes and differs from cost basis
for federal income tax purposes by the amount of mark to market adjustments for
passive foreign investment companies and the amount of losses recognized for
financial reporting purposes in excess of federal income tax reporting of
approximately $1,833. 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...................... $221,692
Unrealized depreciation...................... (43,066)
--------
Net unrealized appreciation.................. $178,626
========
</TABLE>
(b) Non-income producing securities.
(c) A portion of this security was loaned as of June 30, 1999.
(d) Serves as collateral for futures contracts.
(e) Rounds to less than 1,000.
<TABLE>
<S> <C>
ADR American Depository Receipt
GDR Global Depository Receipt
</TABLE>
At June 30, 1999, the Fund's open forward currency contracts were as follows:
<TABLE>
<CAPTION>
UNREALIZED
DELIVERY CONTRACT CONTRACT CONTRACT MARKET APPRECIATION/
CURRENCY DATE PRICE AMOUNT VALUE VALUE (DEPRECIATION)
-------- -------- -------- --------- -------- ------- --------------
<S> <C> <C> <C> <C> <C> <C>
Short Contracts:
Japanese Yen.............................. 7/6/99 $109.89 $(549,450) $(5,000) $(4,542) $ 458
Japanese Yen.............................. 7/13/99 106.92 (534,600) (5,000) (4,423) 577
-------- ------- ------
Total short contracts..................... $(10,000) $(8,965) $1,035
======== ======= ======
</TABLE>
<TABLE>
<CAPTION>
CURRENT
NUMBER OF OPEN MARKET
CONTRACTS CONTRACT TYPE POSITIONS VALUE
--------- ------------- --------- -------
<C> <S> <C> <C>
150 Topix, September 1999....................... $16,479 $17,437
</TABLE>
See notes to financial statements.
146
<PAGE> 149
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 1999
(Amounts in Thousands, except per share amounts)
<TABLE>
<CAPTION>
SMALL CAP SMALL CAP MID CAP MID CAP DIVERSIFIED
GROWTH VALUE GROWTH VALUE MID CAP
FUND FUND FUND FUND FUND
--------- --------- ---------- ---------- -----------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments, at value...................................... $170,915 $273,318 $1,628,284 $1,217,106 $1,263,832
Repurchase agreements, at cost............................. 7,002 745 62,829 11,707 11,741
-------- -------- ---------- ---------- ----------
Total (cost $161,292; $255,057; $1,400,771; $1,143,118;
$914,899; respectively)................................... 177,917 274,063 1,691,113 1,228,813 1,275,573
Cash....................................................... -- -- 1 -- --
Interest and dividends receivable.......................... 85 153 764 929 413
Receivable for capital shares issued....................... 155 50 1,795 108 93
Receivable from brokers for investments sold............... 17,477 9,732 113,564 146,381 --
Net receivable for variation margin on futures contracts... -- -- 486 -- --
Unamortized organization costs............................. -- 8 -- -- --
Prepaid expenses and other assets.......................... 2 2 14 12 7
-------- -------- ---------- ---------- ----------
TOTAL ASSETS............................................... 195,636 284,008 1,807,737 1,376,243 1,276,086
-------- -------- ---------- ---------- ----------
LIABILITIES:
Dividends payable.......................................... -- -- -- 538 --
Payable to brokers for investments purchased............... 21,980 4,671 130,374 110,643 --
Payable for capital shares redeemed........................ 59 37 408 185 89
Payable for return of collateral received for securities on
loan...................................................... 9,920 2,460 186,737 41,882 38,795
Accrued expenses and other payables:
Investment advisory fees.................................. 93 126 863 710 587
Administration fees....................................... 17 30 194 159 141
12b-1 Fees................................................ 25 17 311 125 121
Other..................................................... 80 24 477 354 468
-------- -------- ---------- ---------- ----------
TOTAL LIABILITIES.......................................... 32,174 7,365 319,364 154,596 40,201
-------- -------- ---------- ---------- ----------
NET ASSETS:
Capital.................................................... 136,287 269,406 1,018,010 1,045,603 754,179
Undistributed (distributions in excess) of net investment
income.................................................... -- 1 -- (17) --
Accumulated undistributed net realized gains (losses) from
investment, options and futures transactions.............. 10,550 (11,770) 179,447 90,366 121,032
Net unrealized appreciation (depreciation) from
investments, futures and options.......................... 16,625 19,006 290,916 85,695 360,674
-------- -------- ---------- ---------- ----------
NET ASSETS................................................. $163,462 $276,643 $1,488,373 $1,221,647 $1,235,885
======== ======== ========== ========== ==========
NET ASSETS
Class I................................................... $130,974 $246,712 $1,164,884 $1,057,827 $ 987,059
Class A................................................... 22,081 26,592 159,292 122,392 242,528
Class B................................................... 10,278 3,320 147,600 41,380 6,283
Class C................................................... 129 19 16,597 48 15
-------- -------- ---------- ---------- ----------
Total...................................................... $163,462 $276,643 $1,488,373 $1,221,647 $1,235,885
======== ======== ========== ========== ==========
OUTSTANDING UNITS OF BENEFICIAL INTEREST (SHARES):
Class I................................................... 12,335 17,305 46,005 71,101 44,665
Class A................................................... 2,081 1,894 6,368 8,200 11,044
Class B................................................... 1,002 243 6,236 2,796 614
Class C................................................... 12 1 663 3 1
-------- -------- ---------- ---------- ----------
Total...................................................... 15,430 19,443 59,272 82,100 56,324
======== ======== ========== ========== ==========
Net Asset Value
Class I Offering and redemption price per share........... $ 10.62 $ 14.26 $ 25.32 $ 14.88 $ 22.10
======== ======== ========== ========== ==========
Class A Redemption price per share........................ $ 10.61 $ 14.04 $ 25.02 $ 14.93 $ 21.96
======== ======== ========== ========== ==========
Maximum sales charge.................................... 5.25% 5.25% 5.25% 5.25% 5.25%
======== ======== ========== ========== ==========
Maximum offering price per share (100%/(100% -- maximum
sales charge) of net asset value adjusted to nearest
cent).................................................. $ 11.20 $ 14.82 $ 26.41 $ 15.76 $ 23.18
======== ======== ========== ========== ==========
Class B Offering price per share (a)...................... $ 10.26 $ 13.63 $ 23.67 $ 14.80 $ 10.23
======== ======== ========== ========== ==========
Class C Offering price per share (a)...................... $ 10.43 $ 13.60 $ 25.04 $ 14.80 $ 10.23
======== ======== ========== ========== ==========
</TABLE>
- ------------
(a) Redemption price per Class B and Class C share varies based on length of
time shares are held.
See notes to financial statements.
147
<PAGE> 150
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 1999
(Amounts in Thousands, except per share amounts)
<TABLE>
<CAPTION>
LARGE LARGE
CAP CAP EQUITY DIVERSIFIED
GROWTH VALUE INCOME EQUITY BALANCED
FUND FUND FUND FUND FUND
---------- ---------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments, at value...................................... $4,146,374 $1,190,424 $1,490,045 $2,547,218 $573,157
Repurchase agreements, at cost............................. 24,857 6,080 12,517 24,112 11,459
---------- ---------- ---------- ---------- --------
Total (cost $2,719,875; $928,958; $911,774; $1,957,473;
$524,113; respectively)................................... 4,171,231 1,196,504 1,502,562 2,571,330 584,616
Interest and dividends receivable.......................... 3,010 1,311 2,424 1,579 2,522
Receivable for capital shares issued....................... 2,306 319 578 1,526 1,143
Receivable from brokers for investments sold............... 165,527 72,238 6,650 -- 6
Net receivable for variation margin on futures contracts... 3,256 -- -- 525 475
Prepaid expenses and other assets.......................... 19 8 11 14 4
---------- ---------- ---------- ---------- --------
TOTAL ASSETS............................................... 4,345,349 1,270,380 1,512,225 2,574,974 588,766
---------- ---------- ---------- ---------- --------
LIABILITIES:
Dividends payable.......................................... -- 521 1,090 -- 998
Payable to brokers for investments purchased............... 110,172 91,508 822 -- --
Payable for capital shares redeemed........................ 835 53 450 296 296
Payable for return of collateral received for securities on
loan...................................................... 103,376 27,378 54,959 81,403 38,192
Options written, at value (premiums received $661)......... -- 619 -- -- --
Accrued expenses and other payables:
Investment advisory fees.................................. 2,229 679 702 1,411 241
Administration fees....................................... 513 154 136 303 71
12b-1 Fees................................................ 1,145 49 379 235 404
Other..................................................... 914 273 412 588 247
---------- ---------- ---------- ---------- --------
TOTAL LIABILITIES.......................................... 219,184 121,234 58,950 84,236 40,449
---------- ---------- ---------- ---------- --------
NET ASSETS:
Capital.................................................... 2,265,868 813,049 836,615 1,742,683 465,576
Undistributed (distributions in excess) of net investment
income.................................................... -- 83 114 -- 53
Accumulated undistributed net realized gains (losses) from
investment, options and futures transactions.............. 402,723 68,426 25,758 132,905 21,015
Net unrealized appreciation (depreciation) from
investments, futures and options.......................... 1,457,574 267,588 590,788 615,150 61,673
---------- ---------- ---------- ---------- --------
NET ASSETS................................................. $4,126,165 $1,149,146 $1,453,275 $2,490,738 $548,317
========== ========== ========== ========== ========
NET ASSETS
Class I................................................... $3,052,897 $1,095,686 $1,120,181 $2,089,940 $229,008
Class A................................................... 447,234 28,448 135,420 340,736 80,819
Class B................................................... 617,706 24,877 197,016 52,004 238,490
Class C................................................... 8,328 135 658 8,058 --
---------- ---------- ---------- ---------- --------
Total...................................................... $4,126,165 $1,149,146 $1,453,275 $2,490,738 $548,317
========== ========== ========== ========== ========
OUTSTANDING UNITS OF BENEFICIAL INTEREST (SHARES):
Class I................................................... 116,746 60,555 45,726 137,619 16,205
Class A................................................... 16,652 1,560 5,539 22,477 5,715
Class B................................................... 23,832 1,363 8,042 3,474 16,793
Class C................................................... 324 7 27 535 --
---------- ---------- ---------- ---------- --------
Total...................................................... 157,554 63,485 59,334 164,105 38,713
========== ========== ========== ========== ========
Net Asset Value
Class I Offering and redemption price per share........... $ 26.15 $ 18.09 $ 24.50 $ 15.19 $ 14.13
========== ========== ========== ========== ========
Class A Redemption price per share........................ $ 26.86 $ 18.24 $ 24.45 $ 15.16 $ 14.14
========== ========== ========== ========== ========
Maximum sales charge.................................... 5.25% 5.25% 5.25% 5.25% 5.25%
========== ========== ========== ========== ========
Maximum offering price per share (100%/(100% -- maximum
sales charge) of net asset value adjusted to nearest
cent).................................................. $ 28.35 $ 19.25 $ 25.80 $ 16.00 $ 14.92
========== ========== ========== ========== ========
Class B Offering price per share (a)...................... $ 25.92 $ 18.25 $ 24.50 $ 14.97 $ 14.20
========== ========== ========== ========== ========
Class C Offering price per share (a)...................... $ 25.71 $ 18.24 $ 24.51 $ 15.06
========== ========== ========== ==========
</TABLE>
- ------------
(a) Redemption price per Class B and Class C share varies based on length of
time shares are held.
See notes to financial statements.
148
<PAGE> 151
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 1999
(Amounts in Thousands, except per share amounts)
<TABLE>
<CAPTION>
MARKET
EQUITY EXPANSION INTERNATIONAL DIVERSIFIED
INDEX INDEX EQUITY INTERNATIONAL
FUND FUND INDEX FUND FUND
---------- --------- ------------- -------------
<S> <C> <C> <C> <C>
ASSETS:
Investments, at value....................................... $3,267,582 $30,486 $739,338 $619,937
Repurchase agreements, at cost.............................. 31,199 496 123,686 49,448
---------- ------- -------- --------
Total (cost $1,854,395; $26,179; $703,811; $488,926;
respectively).............................................. 3,298,781 30,982 863,024 669,385
Cash........................................................ -- 115 -- --
Foreign currency, at value (cost $8,054).................... -- -- -- 7,996
Interest and dividends receivable........................... 3,329 19 3,427 2,076
Receivable for capital shares issued........................ 7,943 3 1,323 30
Receivable from brokers for investments sold................ -- 21 29,634 6,420
Receivable for forward foreign currency contracts........... -- -- -- 1,035
Net receivable for variation margin on futures contracts.... 325 -- -- --
Tax reclaim receivable...................................... -- -- 825 1,008
Prepaid expenses and other assets........................... 18 -- 6 4
---------- ------- -------- --------
TOTAL ASSETS................................................ 3,310,396 31,140 898,239 687,954
---------- ------- -------- --------
LIABILITIES:
Foreign currency overdraft, at value (cost $1,054).......... -- -- 1,042 --
Dividends payable........................................... 1,388 13 -- --
Payable to brokers for investments purchased................ -- -- 37,006 496
Payable for capital shares redeemed......................... 543 -- 115 161
Payable for return of collateral received for securities on
loan....................................................... 123,454 1,641 123,686 49,448
Payable for forward foreign currency contracts.............. -- -- 363 --
Net payable for variation margin on futures contracts....... -- -- 51 235
Accrued expenses and other payables:
Investment advisory fees................................... 367 1 325 440
Administration fees........................................ 237 3 99 76
12b-1 Fees................................................. 1,274 -- 54 14
Other...................................................... 1,042 7 1,077 391
---------- ------- -------- --------
TOTAL LIABILITIES........................................... 128,305 1,665 163,818 51,261
---------- ------- -------- --------
NET ASSETS:
Capital..................................................... 1,712,254 19,390 579,138 464,587
Undistributed (distributions in excess) of net investment
income..................................................... 173 1 (5,588) 1,819
Accumulated undistributed net realized gains (losses) from
investment, options and futures transactions............... 24,450 5,281 1,785 (12,188)
Net unrealized appreciation (depreciation) from investments,
futures, options and translation of assets and liabilities
in foreign currencies...................................... 1,445,214 4,803 159,086 182,475
---------- ------- -------- --------
NET ASSETS.................................................. $3,182,091 $29,475 $734,421 $636,693
========== ======= ======== ========
NET ASSETS
Class I.................................................... $1,855,947 $28,871 $657,902 $599,310
Class A.................................................... 732,325 277 55,691 34,900
Class B.................................................... 534,777 309 18,489 2,478
Class C.................................................... 59,042 18 2,339 5
---------- ------- -------- --------
Total....................................................... $3,182,091 $29,475 $734,421 $636,693
========== ======= ======== ========
OUTSTANDING UNITS OF BENEFICIAL INTEREST (SHARES):
Class I.................................................... 58,386 2,715 35,318 39,623
Class A.................................................... 23,041 26 2,981 2,315
Class B.................................................... 16,861 29 1,033 176
Class C.................................................... 1,859 1 126 --(b)
---------- ------- -------- --------
Total....................................................... 100,147 2,771 39,458 42,114
========== ======= ======== ========
Net Asset Value
Class I Offering and redemption price per share............ $ 31.79 $ 10.63 $ 18.63 $ 15.13
========== ======= ======== ========
Class A Redemption price per share......................... $ 31.78 $ 10.63 $ 18.68 $ 15.08
========== ======= ======== ========
Maximum sales charge..................................... 5.25% 5.25% 5.25% 5.25%
========== ======= ======== ========
Maximum offering price per share (100%/(100% -- maximum
sales charge) of net asset value adjusted to nearest
cent)................................................... $ 33.54 $ 11.22 $ 19.72 $ 15.92
========== ======= ======== ========
Class B Offering price per share (a)....................... $ 31.72 $ 10.74 $ 17.89 $ 14.08
========== ======= ======== ========
Class C Offering price per share (a)....................... $ 31.76 $ 10.57 $ 18.55 $ 14.08
========== ======= ======== ========
</TABLE>
- ------------
(a) Redemption price per Class B and Class C share varies based on length of
time shares are held.
(b) Amount is less than 1,000.
See notes to financial statements.
149
<PAGE> 152
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
(Amounts in Thousands)
<TABLE>
<CAPTION>
SMALL CAP SMALL CAP MID CAP
GROWTH VALUE GROWTH
FUND FUND FUND
----------- ----------------------------- ----------
YEAR ENDED SIX MONTHS YEAR ENDED YEAR ENDED
JUNE 30, ENDED JUNE 30, DECEMBER 31, JUNE 30,
1999 1999 1998 1999
----------- -------------- ------------ ----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income.................................. $ 536 $ 55 $ 183 $ 437
Dividend income.................................. 802 765 1,141 6,665
Income from securities lending................... 77 2 -- 420
------- -------- -------- --------
Total Income..................................... 1,415 822 1,324 7,522
------- -------- -------- --------
EXPENSES:
Investment advisory fees......................... 992 987 2,004 8,646
Administration fees.............................. 218 215 429 1,897
12b-1 fees (Class A)............................. 64 40 72 408
12b-1 fees (Class B)............................. 88 16 32 1,086
12b-1 fees (Class C)............................. 1 --(a) -- 55
Custodian and accounting fees.................... 30 14 67 73
Legal and audit fees............................. 6 13 35 19
Trustees' fees and expenses...................... 1 4 -- 13
Transfer agent fees.............................. 134 81 113 669
Registration and filing fees..................... 63 77 29 141
Printing costs................................... 11 20 8 106
Amortization of deferred organization costs...... -- 7 15 --
Other............................................ 2 1 -- 15
------- -------- -------- --------
Total expenses before waivers.................... 1,610 1,475 2,804 13,128
Less waivers..................................... (59) (119) -- (117)
------- -------- -------- --------
Net Expenses..................................... 1,551 1,356 2,804 13,011
------- -------- -------- --------
Net Investment Income (Loss)..................... (136) (534) (1,480) (5,489)
------- -------- -------- --------
REALIZED/UNREALIZED GAINS (LOSSES) FROM
INVESTMENTS, OPTIONS AND FUTURES:
Net realized gains (losses) from investment,
option and future transactions................. 11,042 (8,680) 5,058 253,940
Net change in unrealized appreciation
(depreciation) from investments, options and
futures........................................ (9,010) (6,643) (21,720) 73,586
------- -------- -------- --------
Net realized/unrealized gains (losses) from
investments, options and futures............... 2,032 (15,323) (16,662) 327,526
------- -------- -------- --------
Change in net assets resulting from operations... $ 1,896 $(15,857) $(18,142) $322,037
======= ======== ======== ========
</TABLE>
- ---------------
(a) Amount is less than $1,000.
See notes to financial statements.
150
<PAGE> 153
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
(Amounts in Thousands)
<TABLE>
<CAPTION>
MID CAP DIVERSIFIED LARGE CAP LARGE CAP
VALUE MID CAP GROWTH VALUE
FUND FUND FUND FUND
---------- ----------------------------- ---------- ----------
YEAR ENDED SIX MONTHS YEAR ENDED YEAR ENDED YEAR ENDED
JUNE 30, ENDED JUNE 30, DECEMBER 31, JUNE 30, JUNE 30,
1999 1999 1998 1999 1999
---------- -------------- ------------ ---------- ----------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income........................ $ 767 $ 316 $ 546 $ 1,563 $ 932
Dividend income........................ 15,287 4,459 8,678 24,630 17,722
Income from securities lending......... 130 15 -- 357 156
-------- -------- -------- -------- --------
Total Income........................... 16,184 4,790 9,224 26,550 18,810
-------- -------- -------- -------- --------
EXPENSES:
Investment advisory fees............... 6,469 3,987 6,833 19,303 6,650
Administration fees.................... 1,419 926 1,708 4,340 1,459
12b-1 fees (Class A)................... 218 364 681 997 69
12b-1 fees (Class B)................... 379 31 59 4,013 187
12b-1 fees (Class C)................... --(a) --(a) -- 28 --(a)
Custodian and accounting fees.......... 46 35 149 100 43
Legal and audit fees................... 18 34 59 53 12
Trustees' fees and expenses............ 8 22 -- 25 12
Transfer agent fees.................... 260 502 1,107 1,312 139
Registration and filing fees........... 52 98 134 166 68
Printing costs......................... 73 106 36 263 94
Other.................................. 9 1 166 24 16
-------- -------- -------- -------- --------
Total expenses before waivers.......... 8,951 6,106 10,932 30,624 8,749
Less waivers........................... (92) (476) -- (285) (20)
-------- -------- -------- -------- --------
Net Expenses........................... 8,859 5,630 10,932 30,339 8,729
-------- -------- -------- -------- --------
Net Investment Income (Loss)........... 7,325 (840) (1,708) (3,789) 10,081
-------- -------- -------- -------- --------
REALIZED/UNREALIZED GAINS (LOSSES) FROM
INVESTMENTS, OPTIONS AND FUTURES:
Net realized gains (losses) from
investment, option and future
transactions......................... 134,821 121,086 68,220 440,956 76,731
Net change in unrealized appreciation
(depreciation) from investments,
options and futures.................. (60,099) (27,196) (17,121) 199,952 72,181
-------- -------- -------- -------- --------
Net realized/unrealized gains (losses)
from investments, options and
futures.............................. 74,722 93,890 51,099 640,908 148,912
-------- -------- -------- -------- --------
Change in net assets resulting from
operations........................... $ 82,047 $ 93,050 $ 49,391 $637,119 $158,993
======== ======== ======== ======== ========
</TABLE>
- ---------------
(a) Amount is less than $1,000.
See notes to financial statements.
151
<PAGE> 154
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
(Amounts in Thousands)
<TABLE>
<CAPTION>
EQUITY DIVERSIFIED EQUITY
INCOME EQUITY BALANCED INDEX
FUND FUND FUND FUND
---------- ----------- ---------- ----------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30,
1999 1999 1999 1999
---------- ----------- ---------- ----------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income........................................ $ 1,469 $ 1,618 $11,846 $ 969
Dividend income........................................ 23,271 14,991 3,301 25,247
Income from securities lending......................... 146 192 137 292
-------- -------- ------- --------
Total Income........................................... 24,886 16,801 15,284 26,508
-------- -------- ------- --------
EXPENSES:
Investment advisory fees............................... 7,939 8,977 2,893 5,423
Administration fees.................................... 1,742 1,999 723 2,932
12b-1 fees (Class A)................................... 421 547 222 1,311
12b-1 fees (Class B)................................... 1,759 357 1,640 4,135
12b-1 fees (Class C)................................... 8 35 -- 231
Custodian and accounting fees.......................... 55 54 58 100
Legal and audit fees................................... 28 36 9 40
Trustees' fees and expenses............................ 12 12 5 18
Transfer agent fees.................................... 573 446 382 1,322
Registration and filing fees........................... 101 99 93 163
Printing costs......................................... 119 122 45 220
Other.................................................. 13 10 6 17
-------- -------- ------- --------
Total expenses before waivers.......................... 12,770 12,694 6,076 15,912
Less waivers........................................... (869) (156) (498) (4,283)
-------- -------- ------- --------
Net Expenses........................................... 11,901 12,538 5,578 11,629
-------- -------- ------- --------
Net Investment Income.................................. 12,985 4,263 9,706 14,879
-------- -------- ------- --------
REALIZED/UNREALIZED GAINS (LOSSES) FROM INVESTMENTS,
OPTIONS AND FUTURES:
Net realized gains (losses) from investment, option and
future transactions.................................. 43,431 136,825 36,794 51,142
Net change in unrealized appreciation (depreciation)
from investments, options and futures................ 67,316 106,078 10,119 316,773
-------- -------- ------- --------
Net realized/unrealized gains (losses) from
investments, options and futures..................... 110,747 242,903 46,913 367,915
-------- -------- ------- --------
Change in net assets resulting from operations......... $123,732 $247,166 $56,619 $382,794
======== ======== ======= ========
</TABLE>
See notes to financial statements.
152
<PAGE> 155
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
(Amounts in Thousands)
<TABLE>
<CAPTION>
MARKET INTERNATIONAL DIVERSIFIED
EXPANSION EQUITY INTERNATIONAL
INDEX FUND INDEX FUND FUND
--------------------------------- ------------- -----------------------------
SIX MONTHS JULY 31, 1998 TO YEAR ENDED SIX MONTHS YEAR ENDED
ENDED JUNE 30, DECEMBER 31, JUNE 30, ENDED JUNE 30, DECEMBER 31,
1999 1998(a) 1999 1999 1998
-------------- ---------------- ------------- -------------- ------------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income....................... $ 7 $ 1 $ 241 $ 213 $ 1,164
Dividend income....................... 151 131 12,356 8,905 11,984
Income from securities lending........ 1 -- 857 73 --
Foreign tax withholding............... -- -- (1,399) (1,003) (946)
------- ------ ------- ------- --------
Total Income.......................... 159 132 12,055 8,188 12,202
------- ------ ------- ------- --------
EXPENSES:
Investment advisory fees.............. 27 46 3,504 2,436 4,578
Administration fees................... 20 15 1,035 483 858
12b-1 fees (Class A).................. --(b) --(b) 110 57 99
12b-1 fees (Class B).................. 1 --(b) 146 12 23
12b-1 fees (Class C).................. --(b) -- 7 --(b) --
Custodian and accounting fees......... 18 18 547 233 540
Legal and audit fees.................. 5 15 9 17 69
Trustees' fees and expenses........... --(b) --(b) 6 9 --
Transfer agent fees................... 5 --(b) 149 70 122
Registration and filing fees.......... 47 18 83 73 61
Printing costs........................ 2 2 50 44 16
Amortization of deferred organization
costs............................... -- -- -- -- 13
Other................................. -- -- 9 1 --
------- ------ ------- ------- --------
Total expenses before waivers......... 125 114 5,655 3,435 6,379
Less waivers.......................... (31) (41) (31) (93) --
Less expense reimbursement from
Investment Advisor.................. (21) (16) -- -- --
------- ------ ------- ------- --------
Net Expenses.......................... 73 57 5,624 3,342 6,379
------- ------ ------- ------- --------
Net Investment Income................. 86 75 6,431 4,846 5,823
------- ------ ------- ------- --------
REALIZED/UNREALIZED GAINS (LOSSES)
FROM INVESTMENTS, OPTIONS AND
FUTURES:
Net realized gains (losses) from
investment, option and future
transactions........................ 5,281 1,751 38,944 14,091 (17,985)
Net change in unrealized appreciation
(depreciation) from investments,
options and futures................. (4,171) 524 25,206 32,957 97,612
------- ------ ------- ------- --------
Net realized/unrealized gains (losses)
from investments, options and
futures............................. 1,110 2,275 64,150 47,048 79,627
------- ------ ------- ------- --------
Change in net assets resulting from
operations.......................... $ 1,196 $2,350 $70,581 $51,894 $ 85,450
======= ====== ======= ======= ========
</TABLE>
- ---------------
(a) Commencement of operations.
(b) Amount is less than $1,000.
See notes to financial statements.
153
<PAGE> 156
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in Thousands)
<TABLE>
<CAPTION>
SMALL CAP GROWTH FUND SMALL CAP VALUE FUND
--------------------- -----------------------------------------
YEAR YEAR SIX MONTHS YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, JUNE 30, DECEMBER 31, DECEMBER 31,
1999 1998 1999 1998 1997
-------- -------- ----------- ------------ ------------
<S> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income (loss)..................... $ (136) $ (163) $ (534) $ (1,480) $ (819)
Net realized gains (losses) from investment,
option and future transactions................. 11,042 21,421 (8,680) 5,058 23,580
Net change in unrealized appreciation
(depreciation) from investments, options and
futures........................................ (9,010) 1,800 (6,643) (21,720) 23,978
-------- -------- -------- -------- --------
Change in net assets resulting from operations....... 1,896 23,058 (15,857) (18,142) 46,739
-------- -------- -------- -------- --------
DISTRIBUTIONS TO CLASS I SHAREHOLDERS:
From net investment income....................... -- -- -- (8) --(a)
From net realized gains from investment
transactions................................... (11,315) (9,265) (1,455) (7,930) (21,480)
In excess of net realized gains from investment
transactions................................... -- -- -- (1,315) --
DISTRIBUTIONS TO CLASS A SHAREHOLDERS:
From net investment income....................... -- -- -- --(a) --(a)
From net realized gains from investment
transactions................................... (2,155) (1,939) (168) (918) (1,940)
In excess of net realized gains from investment
transactions................................... -- -- -- (152) --
DISTRIBUTIONS TO CLASS B SHAREHOLDERS:
From net realized gain from investment
transactions................................... (932) (521) (21) (114) (141)
In excess of net realized gains from investment
transactions................................... -- -- -- (19) --
DISTRIBUTIONS TO CLASS C SHAREHOLDERS:
From net realized gain from investment
transactions................................... (6) --(a) -- -- --
-------- -------- -------- -------- --------
Change in net assets from shareholder
distributions...................................... (14,408) (11,725) (1,644) (10,456) (23,561)
-------- -------- -------- -------- --------
CAPITAL TRANSACTIONS:
Proceeds from shares issued...................... 66,893 59,655 59,827 151,638 96,893
Proceeds from shares issued in Marquis
acquisition.................................... 3,669 -- -- -- --
Dividends reinvested............................. 13,015 10,295 1,446 5,721 13,802
Cost of shares redeemed.......................... (52,845) (35,493) (80,114) (57,318) (24,979)
-------- -------- -------- -------- --------
Change in net assets from share transactions......... 30,732 34,457 (18,841) 100,041 85,716
-------- -------- -------- -------- --------
Change in net assets................................. 18,220 45,790 (36,342) 71,443 108,894
NET ASSETS:
Beginning of period.............................. 145,242 99,452 312,985 241,542 132,648
-------- -------- -------- -------- --------
End of period.................................... $163,462 $145,242 $276,643 $312,985 $241,542
======== ======== ======== ======== ========
SHARE TRANSACTIONS:
Issued........................................... 7,121 4,975 4,421 9,468 6,096
Issued in Marquis acquisition.................... 376 -- -- -- --
Reinvested....................................... 1,382 946 111 380 852
Redeemed......................................... (5,525) (2,939) (5,968) (3,876) (1,653)
-------- -------- -------- -------- --------
Change in shares..................................... 3,354 2,982 (1,436) 5,972 5,295
======== ======== ======== ======== ========
</TABLE>
- ------------
(a) Amount is less than $1,000.
See notes to financial statements.
154
<PAGE> 157
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in Thousands)
<TABLE>
<CAPTION>
MID CAP GROWTH FUND MID CAP VALUE FUND
------------------------ ------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30,
1999 1998 1999 1998
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income (loss)............................ $ (5,489) $ (3,938) $ 7,325 $ 5,151
Net realized gains (losses) from investment, option and
future transactions................................... 253,940 140,625 134,821 141,237
Net change in unrealized appreciation (depreciation)
from investments, options and futures................. 73,586 99,487 (60,099) 9,794
---------- ---------- ---------- ---------
Change in net assets resulting from operations.............. 322,037 236,174 82,047 156,182
---------- ---------- ---------- ---------
DISTRIBUTIONS TO CLASS I SHAREHOLDERS:
From net investment income.............................. -- -- (7,181) (4,991)
From net realized gains from investment transactions.... (108,930) (80,645) (88,001) (91,826)
DISTRIBUTIONS TO CLASS A SHAREHOLDERS:
From net investment income.............................. -- -- (204) (169)
From net realized gains from investment transactions.... (13,351) (7,223) (4,201) (4,398)
DISTRIBUTIONS TO CLASS B SHAREHOLDERS:
From net investment income.............................. -- -- 42 (7)
From net realized gain from investment transactions..... (12,611) (7,104) (4,305) (3,742)
DISTRIBUTIONS TO CLASS C SHAREHOLDERS:
From net realized gain from investment transactions..... (277) --(a) -- --
---------- ---------- ---------- ---------
Change in net assets from shareholder distributions......... (135,169) (94,972) (103,850) (105,133)
---------- ---------- ---------- ---------
CAPITAL TRANSACTIONS:
Proceeds from shares issued............................. 342,385 305,038 191,063 153,275
Proceeds from shares issued in Marquis acquisition...... 38,617 -- 136,943 --
Proceeds from shares issued in Pegasus acquisition...... -- -- 431,541 --
Proceeds from shares issued in conversion............... -- 57,769 -- --
Dividends reinvested.................................... 86,045 63,284 78,554 54,080
Cost of shares redeemed................................. (222,108) (215,417) (288,860) (170,905)
---------- ---------- ---------- ---------
Change in net assets from share transactions................ 244,939 210,674 549,241 36,450
---------- ---------- ---------- ---------
Change in net assets........................................ 431,807 351,876 527,438 87,499
NET ASSETS:
Beginning of period..................................... 1,056,566 704,690 694,209 606,710
---------- ---------- ---------- ---------
End of period........................................... $1,488,373 $1,056,566 $1,221,647 $ 694,209
========== ========== ========== =========
SHARE TRANSACTIONS:
Issued.................................................. 16,176 14,578 11,829 9,189
Issued in Marquis acquisition........................... 1,962 -- 9,923 --
Issued in Pegasus acquisition........................... -- -- 32,183 --
Issued in conversion.................................... -- 3,113 -- --
Reinvested.............................................. 4,452 3,314 5,557 3,435
Redeemed................................................ (10,484) (10,127) (18,477) (10,296)
---------- ---------- ---------- ---------
Change in shares............................................ 12,106 10,878 41,015 2,328
========== ========== ========== =========
</TABLE>
- ------------
(a) Amount is less than $1,000.
See notes to financial statements.
155
<PAGE> 158
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in Thousands)
<TABLE>
<CAPTION>
LARGE CAP GROWTH
DIVERSIFIED MID CAP FUND FUND
---------------------------------------- -----------------------
SIX MONTHS YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER 31, DECEMBER 31, JUNE 30, JUNE 30,
1999 1998 1997 1999 1998
---------- ------------ ------------ ---------- ----------
<S> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income (loss)......................... $ (840) $ (1,708) $ 76 $ (3,789) $ 983
Net realized gains (losses) from investment, option
and future transactions............................ 121,086 68,219 75,612 440,956 278,531
Net change in unrealized appreciation (depreciation)
from investments, options and futures.............. (27,196) (17,120) 143,184 199,952 237,485
---------- ---------- ---------- ---------- ----------
Change in net assets resulting from operations........... 93,050 49,391 218,872 637,119 516,999
---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS TO CLASS I SHAREHOLDERS:
From net investment income........................... -- -- (76) -- (1,456)
From net realized gains from investment
transactions....................................... (2,582) (52,983) (56,801) (158,144) (167,063)
DISTRIBUTIONS TO CLASS A SHAREHOLDERS:
From net investment income........................... -- -- -- -- (14)
In excess of net investment income................... -- -- -- -- (44)
From net realized gains from investment
transactions....................................... (720) (18,434) (15,608) (20,892) (20,430)
DISTRIBUTIONS TO CLASS B SHAREHOLDERS:
From net realized gain from investment
transactions....................................... (37) (819) (431) (31,268) (24,184)
DISTRIBUTIONS TO CLASS C SHAREHOLDERS:
From net realized gain from investment
transactions....................................... -- -- -- (70) (4)
---------- ---------- ---------- ---------- ----------
Change in net assets from shareholder distributions...... (3,339) (72,236) (72,916) (210,374) (213,195)
---------- ---------- ---------- ---------- ----------
CAPITAL TRANSACTIONS:
Proceeds from shares issued.......................... 84,924 265,283 340,893 740,186 343,977
Proceeds from shares issued in Pegasus acquisition... -- -- -- 1,040,465 --
Proceeds from shares issued in conversion............ -- 206,155 -- 162,412 81,659
Dividends reinvested................................. 3,305 61,242 60,564 168,755 119,823
Cost of shares redeemed.............................. (214,699) (278,845) (275,037) (403,026) (259,677)
---------- ---------- ---------- ---------- ----------
Change in net assets from share transactions............. (126,470) 253,835 126,420 1,708,792 285,782
---------- ---------- ---------- ---------- ----------
Change in net assets..................................... (36,759) 230,990 272,376 2,135,537 589,586
NET ASSETS:
Beginning of period.................................. 1,272,644 1,041,654 769,278 1,990,628 1,401,042
---------- ---------- ---------- ---------- ----------
End of period........................................ $1,235,885 $1,272,644 $1,041,654 $4,126,165 $1,990,628
========== ========== ========== ========== ==========
SHARE TRANSACTIONS:
Issued............................................... 4,370 13,255 17,219 30,955 17,372
Issued in Pegasus acquisition........................ -- -- -- 40,807 --
Issued in conversion................................. -- 10,206 -- 6,735 4,595
Reinvested........................................... 65 3,119 2,933 8,406 6,450
Redeemed............................................. (10,790) (13,870) (13,870) (16,769) (12,865)
---------- ---------- ---------- ---------- ----------
Change in shares......................................... (6,355) 12,710 6,282 70,134 15,552
========== ========== ========== ========== ==========
</TABLE>
See notes to financial statements.
156
<PAGE> 159
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in Thousands)
<TABLE>
<CAPTION>
LARGE CAP VALUE FUND EQUITY INCOME FUND
----------------------- ------------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30,
1999 1998 1999 1998
---------- --------- ---------- ----------
<S> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income (loss)............................ $ 10,081 $ 10,029 $ 12,985 $ 10,905
Net realized gains (losses) from investment, option and
future transactions................................... 76,731 71,328 43,431 76,585
Net change in unrealized appreciation (depreciation)
from investments, options and futures................. 72,181 66,164 67,316 98,696
---------- --------- ---------- ---------
Change in net assets resulting from operations.............. 158,993 147,521 123,732 186,186
---------- --------- ---------- ---------
DISTRIBUTIONS TO CLASS I SHAREHOLDERS:
From net investment income.............................. (9,801) (9,741) (10,930) (9,093)
From net realized gains from investment transactions.... (50,121) (41,719) (47,232) (62,899)
DISTRIBUTIONS TO CLASS A SHAREHOLDERS:
From net investment income.............................. (176) (177) (1,362) (1,122)
From net realized gains from investment transactions.... (1,030) (1,000) (8,323) (9,117)
DISTRIBUTIONS TO CLASS B SHAREHOLDERS:
From net investment income.............................. (63) (70) (736) (521)
From net realized gain from investment transactions..... (1,092) (700) (12,186) (10,250)
DISTRIBUTIONS TO CLASS C SHAREHOLDERS:
From net investment income.............................. --(a) -- (3) (2)
From net realized gain from investment transactions..... -- -- (59) (11)
---------- --------- ---------- ---------
Change in net assets from shareholder distributions......... (62,283) (53,407) (80,831) (93,015)
---------- --------- ---------- ---------
CAPITAL TRANSACTIONS:
Proceeds from shares issued............................. 301,087 145,236 108,058 175,771
Proceeds from shares issued in Pegasus acquisition...... -- -- 520,041 --
Proceeds from shares issued in conversion............... -- -- -- 70,389
Dividends reinvested.................................... 40,415 24,049 50,383 36,266
Cost of shares redeemed................................. (114,568) (148,173) (244,276) (206,930)
---------- --------- ---------- ---------
Change in net assets from share transactions................ 226,934 21,112 434,206 75,496
---------- --------- ---------- ---------
Change in net assets........................................ 323,644 115,226 477,107 168,667
NET ASSETS:
Beginning of period..................................... 825,502 710,276 976,168 807,501
---------- --------- ---------- ---------
End of period........................................... $1,149,146 $ 825,502 $1,453,275 $ 976,168
========== ========= ========== =========
SHARE TRANSACTIONS:
Issued.................................................. 18,354 9,198 4,774 7,871
Issued in Pegasus acquisition........................... -- -- 22,262 --
Issued in conversion.................................... -- -- -- 3,342
Reinvested.............................................. 2,692 1,586 2,328 1,690
Redeemed................................................ (6,990) (9,357) (10,586) (9,166)
---------- --------- ---------- ---------
Change in shares............................................ 14,056 1,427 18,778 3,737
========== ========= ========== =========
</TABLE>
- ------------
(a) Amount is less than $1,000.
See notes to financial statements.
157
<PAGE> 160
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in Thousands)
<TABLE>
<CAPTION>
DIVERSIFIED EQUITY FUND BALANCED FUND
----------------------- --------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30,
1999 1998 1999 1998
---------- --------- -------- --------
<S> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income (loss)............................ $ 4,263 $ 3,666 $ 9,706 $ 5,521
Net realized gains (losses) from investment, option and
future transactions................................... 136,825 72,571 36,794 15,512
Net change in unrealized appreciation (depreciation)
from investments, options and futures................. 106,078 92,392 10,119 19,656
---------- --------- -------- --------
Change in net assets resulting from operations.............. 247,166 168,629 56,619 40,689
---------- --------- -------- --------
DISTRIBUTIONS TO CLASS I SHAREHOLDERS:
From net investment income.............................. (4,039) (3,380) (5,594) (2,881)
From net realized gains from investment transactions.... (39,245) (54,060) (11,900) (10,063)
DISTRIBUTIONS TO CLASS A SHAREHOLDERS:
From net investment income.............................. (325) (243) (1,473) (1,102)
From net realized gains from investment transactions.... (5,119) (6,125) (3,890) (3,738)
DISTRIBUTIONS TO CLASS B SHAREHOLDERS:
From net investment income.............................. -- (2) (2,613) (1,516)
From net realized gain from investment transactions..... (1,734) (1,479) (9,427) (6,134)
DISTRIBUTIONS TO CLASS C SHAREHOLDERS:
From net investment income.............................. -- --(a) -- --
From net realized gain from investment transactions..... (106) --(a) -- --
---------- --------- -------- --------
Change in net assets from shareholder distributions......... (50,568) (65,289) (34,897) (25,434)
---------- --------- -------- --------
CAPITAL TRANSACTIONS:
Proceeds from shares issued............................. 338,053 244,292 192,649 116,110
Proceeds from shares issued in Marquis acquisition...... -- -- 141,641 --
Proceeds from shares issued in Pegasus acquisition...... 1,497,085 -- -- --
Dividends reinvested.................................... 39,325 30,601 21,646 16,312
Cost of shares redeemed................................. (317,898) (129,318) (99,997) (47,271)
---------- --------- -------- --------
Change in net assets from share transactions................ 1,556,565 145,575 255,939 85,151
---------- --------- -------- --------
Change in net assets........................................ 1,753,163 248,915 277,661 100,406
NET ASSETS:
Beginning of period..................................... 737,575 488,660 270,656 170,250
---------- --------- -------- --------
End of period........................................... $2,490,738 $ 737,575 $548,317 $270,656
========== ========= ======== ========
SHARE TRANSACTIONS:
Issued.................................................. 24,525 19,945 14,080 8,804
Issued in Marquis acquisition........................... -- -- 10,802 --
Issued in Pegasus acquisition........................... 104,067 -- -- --
Reinvested.............................................. 3,242 2,642 1,634 1,278
Redeemed................................................ (22,334) (10,452) (7,372) (3,607)
---------- --------- -------- --------
Change in shares............................................ 109,500 12,135 19,144 6,475
========== ========= ======== ========
</TABLE>
- ------------
(a) Amount is less than $1,000.
See notes to financial statements.
158
<PAGE> 161
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in Thousands)
<TABLE>
<CAPTION>
EQUITY INDEX FUND MARKET EXPANSION INDEX FUND
------------------------ ------------------------------
YEAR YEAR SIX MONTHS JULY 31, 1998
ENDED ENDED ENDED TO
JUNE 30, JUNE 30, JUNE 30, DECEMBER 31,
1999 1998 1999 1998(a)
---------- ---------- ---------- ----------------
<S> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income (loss)............................ $ 14,879 $ 10,625 $ 86 $ 76
Net realized gains (losses) from investment, option and
future transactions................................... 51,142 26,070 5,281 1,751
Net change in unrealized appreciation (depreciation)
from investments, options and futures................. 316,773 216,751 (4,171) 524
---------- ---------- ------- -------
Change in net assets resulting from operations.............. 382,794 253,446 1,196 2,351
---------- ---------- ------- -------
DISTRIBUTIONS TO CLASS I SHAREHOLDERS:
From net investment income.............................. (10,744) (7,794) (88) (73)
From net realized gains from investment transactions.... (22,635) (14,824) (712) (1,035)
DISTRIBUTIONS TO CLASS A SHAREHOLDERS:
From net investment income.............................. (3,111) (1,688) --(b) --(b)
From net realized gains from investment transactions.... (8,189) (3,454) (1) (1)
DISTRIBUTIONS TO CLASS B SHAREHOLDERS:
From net investment income.............................. (876) (1,052) --(b) --
From net realized gain from investment transactions..... (12,709) (5,722) (1) --(b)
DISTRIBUTIONS TO CLASS C SHAREHOLDERS:
From net investment income.............................. (63) (3) --(b) --
From net realized gain from investment transactions..... (354) (1) -- --
---------- ---------- ------- -------
Change in net assets from shareholder distributions......... (58,681) (34,538) (802) (1,109)
---------- ---------- ------- -------
CAPITAL TRANSACTIONS:
Proceeds from shares issued............................. 634,070 453,171 4,180 1,424
Proceeds from shares issued in Pegasus acquisition...... 1,102,256 -- -- --
Proceeds from shares issued in conversion............... 273,174 -- -- 26,440
Dividends reinvested.................................... 37,787 16,587 620 893
Cost of shares redeemed................................. (434,087) (191,744) (3,233) (2,485)
---------- ---------- ------- -------
Change in net assets from share transactions................ 1,613,200 278,014 1,567 26,272
---------- ---------- ------- -------
Change in net assets........................................ 1,937,313 496,922 1,961 27,514
NET ASSETS:
Beginning of period..................................... 1,244,778 747,856 27,514 --
---------- ---------- ------- -------
End of period........................................... $3,182,091 $1,244,778 $29,475 $27,514
========== ========== ======= =======
SHARE TRANSACTIONS:
Issued.................................................. 21,941 18,855 416 144
Issued in Pegasus acquisition........................... 36,590 -- -- --
Issued in conversion.................................... 9,509 -- -- 2,644
Reinvested.............................................. 1,444 719 63 91
Redeemed................................................ (15,182) (8,031) (323) (264)
---------- ---------- ------- -------
Change in shares............................................ 54,302 11,543 156 2,615
========== ========== ======= =======
</TABLE>
- ------------
(a) Commencement of operations.
(b) Amount is less than $1,000.
See notes to financial statements.
159
<PAGE> 162
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in Thousands)
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY
INDEX FUND DIVERSIFIED INTERNATIONAL FUND
-------------------- ----------------------------------------
YEAR YEAR SIX MONTHS YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, JUNE 30, DECEMBER 31, DECEMBER 31,
1999 1998 1999 1998 1997
--------- -------- ---------- ------------ ------------
<S> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income (loss)...................... $ 6,431 $ 6,397 $ 4,846 $ 5,823 $ 4,872
Net realized gains (losses) from investment,
option and future transactions.................. 38,944 172 14,091 (17,985) (7,365)
Net change in unrealized appreciation
(depreciation) from investments, options and
futures......................................... 25,206 43,167 32,957 97,612 22,818
--------- -------- -------- --------- --------
Change in net assets resulting from operations........ 70,581 49,736 51,894 85,450 20,325
--------- -------- -------- --------- --------
DISTRIBUTIONS TO CLASS I SHAREHOLDERS:
From net investment income........................ (13,132) (623) -- (5,812) (4,474)
In excess of net investment income................ -- -- -- (2,146) --
From net realized gains from investment
transactions.................................... (27,653) (12,040) -- -- --
DISTRIBUTIONS TO CLASS A SHAREHOLDERS:
From net investment income........................ (479) (4) -- (390) (159)
In excess of net investment income................ -- -- -- (144) --
From net realized gains from investment
transactions.................................... (1,113) (435) -- -- --
DISTRIBUTIONS TO CLASS B SHAREHOLDERS:
From net investment income........................ (205) -- -- (16) (7)
In excess of net investment income................ -- -- -- (6) --
From net realized gain from investment
transactions.................................... (701) (301) -- -- --
DISTRIBUTIONS TO CLASS C SHAREHOLDERS:
From net investment income........................ (7) -- -- -- --
From net realized gain from investment
transactions.................................... (17) --(a) -- -- --
--------- -------- -------- --------- --------
Change in net assets from shareholder distributions... (43,307) (13,403) -- (8,514) (4,640)
--------- -------- -------- --------- --------
CAPITAL TRANSACTIONS:
Proceeds from shares issued....................... 347,533 200,947 48,719 137,042 163,776
Proceeds from shares issued in Marquis
acquisition..................................... 1,666 -- -- -- --
Proceeds from shares issued in conversion......... -- -- -- -- 25,851
Dividends reinvested.............................. 5,682 8,154 378 2,500 1,648
Cost of shares redeemed........................... (271,961) (93,751) (80,596) (116,633) (92,471)
--------- -------- -------- --------- --------
Change in net assets from share transactions.......... 82,920 115,350 (31,499) 22,909 98,804
--------- -------- -------- --------- --------
Change in net assets.................................. 110,194 151,683 20,395 99,845 114,489
NET ASSETS:
Beginning of period............................... 624,227 472,544 616,298 516,453 401,964
--------- -------- -------- --------- --------
End of period..................................... $ 734,421 $624,227 $636,693 $ 616,298 $516,453
========= ======== ======== ========= ========
SHARE TRANSACTIONS:
Issued............................................ 19,609 11,868 3,387 10,549 13,765
Issued in Marquis acquisition..................... 96 -- -- -- --
Issued in conversion.............................. -- -- -- -- 2,160
Reinvested........................................ 334 539 27 193 134
Redeemed.......................................... (15,340) (5,635) (5,576) (9,020) (7,595)
--------- -------- -------- --------- --------
Change in shares...................................... 4,699 6,772 (2,162) 1,722 8,464
========= ======== ======== ========= ========
</TABLE>
- ------------
(a) Amount is less than $1,000.
See notes to financial statements.
160
<PAGE> 163
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF CASH FLOWS FOR THE YEAR ENDED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
MID CAP INTERNATIONAL
GROWTH EQUITY INDEX
FUND FUND
----------- -------------
<S> <C> <C>
CASH FLOWS FROM OPERATING ACTIVITIES:
Total net investment income............................ $ (5,489) $ 6,431
Adjustments to reconcile net investment income to net cash
provided (used) by operating activities:
Purchases of investments............................... (3,802,458) (1,513,839)
Proceeds from disposition of investment securities..... 3,785,522 1,471,626
Decrease (increase) in investments purchased with cash
collateral from securities lending.................... 19,225 (31,325)
Decrease (increase) in dividends and interest
receivable............................................ (337) (1,137)
Increase (decrease) in payable for return of collateral
received from securities lending...................... (19,225) 31,325
Increase (decrease) in accrued expenses................ 671 4,318
Net amortization/accretion from investments............ 1 33
----------- -----------
Net cash provided (used) by operating activities....... (22,090) (32,568)
----------- -----------
CASH FLOWS FROM FINANCING ACTIVITIES:
Proceeds from shares issued............................ 379,697 347,941
Payment of shares redeemed............................. (222,438) (272,066)
Cash distributions paid................................ (135,169)(a) (43,307)(b)
----------- -----------
Net cash provided (used) by financing activities....... (22,090) 32,568
----------- -----------
Net increase (decrease) in cash............................. -- --
Cash:
Beginning balance...................................... 1 --
----------- -----------
Ending balance......................................... $ 1 $ --
=========== ===========
</TABLE>
- ------------
(a) Non-cash financing activities not included herein consist of reinvestment of
dividends and distributions of $86,045.
(b) Non-cash financing activities not included herein consist of reinvestment of
dividends and distributions of $5,682.
See notes to financial statements.
161
<PAGE> 164
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS JUNE 30, 1999
1. ORGANIZATION:
The One Group Mutual Funds (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 Small Cap
Growth Fund (previously named the Small Capitalization Fund), the Small Cap
Value Fund (previously named the Pegasus Small Cap Opportunity Fund), the Mid
Cap Growth Fund (previously named the Growth Opportunities Fund), Mid Cap
Value Fund (previously named the Disciplined Value Fund), the Diversified Mid
Cap Fund (previously named the Pegasus Mid Cap Opportunity Fund), the Large
Cap Growth Fund (previously named the Large Company Growth Fund), the Large
Cap Value Fund (previously named the Large Company Value Fund), the Equity
Income Fund (previously named the Income Equity Fund), the Diversified Equity
Fund (previously named the Value Growth Fund), the Balanced Fund (previously
named the Asset Allocation Fund), the Equity Index Fund, the Market Expansion
Index Fund (previously named the Pegasus Market Expansion Index Fund), the
International Equity Index Fund and the Diversified International Fund
(previously named the Pegasus International Equity Fund), (individually a
"Fund", collectively the "Funds") only. Each Fund is a diversified mutual
fund.
The Trust entered into an Agreement and Plan of Reorganization (the "Marquis
Agreement") with the Marquis Family of Funds ("Marquis"), a Massachusetts
business trust. Pursuant to the Marquis Agreement, all of the assets and
liabilities of each Marquis Fund transferred to a Fund of the One Group on
August 10, 1998 in exchange for shares of the corresponding Fund of the One
Group.
The Trust entered into an Agreement and Plan of Reorganization (the "Pegasus
Agreement") with the Pegasus Funds ("Pegasus"), a Massachusetts business
trust. Pursuant to the Pegasus Agreement, all of the assets and liabilities
of each Pegasus Fund transferred to a Fund of the One Group on March 22, 1999
in exchange for shares of the corresponding Fund of the One Group. Subsequent
to the reorganization, the fiscal period year changed from December 31 to
June 30 for the Small Cap Value Fund, Diversified Mid Cap Fund, Market
Expansion Index Fund and Diversified International Fund. Therefore the most
recent period presented for the statements of operations, statements of
changes in net assets and financial highlights for those Funds present the
results for the six months ended June 30, 1999. Capital and share
transactions for the periods prior to March 22, 1999 represent the
predecessor fund.
The Funds' investment objectives are as follows:
<TABLE>
<CAPTION>
FUND OBJECTIVE
---- ---------
<S> <C>
Small Cap Growth Fund Seeks long-term capital growth primarily by investing in a
portfolio of equity securities of small capitalization and
emerging growth companies.
Small Cap Value Fund Seeks long-term capital growth primarily by investing
primarily in equity securities of companies with small
capitalizations.
Mid Cap Growth Fund Seeks growth of capital and secondarily, current income by
investing primarily in equity securities.
Mid Cap Value Fund Seeks capital appreciation with the secondary goal of
achieving current income by investing primarily in equity
securities.
Diversified Mid Cap Fund Seeks long-term capital growth by investing primarily in
equity securities of companies with intermediate
capitalizations.
Large Cap Growth Fund Seeks long-term capital appreciation and growth of income by
investing primarily in equity securities.
</TABLE>
Continued
162
<PAGE> 165
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
<TABLE>
<CAPTION>
FUND OBJECTIVE
---- ---------
<S> <C>
Large Cap Value Fund Seeks capital appreciation with the incidental goal of
achieving current income by investing primarily in equity
securities.
Equity Income Fund Seeks current income through regular payment of dividends
with the secondary goal of achieving capital appreciation
by investing primarily in equity securities.
Diversified Equity Fund Seeks long-term capital growth and growth of income with a
secondary objective of providing a moderate level of
current income.
Balanced Fund Seeks to provide total return while preserving capital.
Equity Index Fund Seeks investment results that correspond to the aggregate
price and dividend performance of securities in the
Standard & Poor's 500 Composite Stock Price Index ("S&P
500").
Market Expansion Index Fund Seeks to provide a return which substantially duplicates the
price and yield performance of domestically traded common
stocks in the small and mid-capitalization equity markets,
as represented by a market capitalization weighted
combination of the Standard & Poor's Small Cap 600 Index
("S&P Small Cap 600") and the Standard & Poor's Mid Cap 400
Index ("S&P Mid Cap 400").
International Equity Index Fund Seeks to provide investment results that correspond to the
aggregate price and dividend performance of the securities
in the MSCI EAFE GDP Index.
Diversified International Fund Seeks long-term capital growth by investing primarily in
equity securities of foreign issuers.
</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
Listed securities are valued at the latest available sales price on the
principal exchange where such securities are traded. Unlisted securities or
listed securities for which latest sales prices are not available are
valued at the mean of the latest bid and ask price in the principal market
where such securities are normally traded. Corporate debt securities and
debt securities of U.S. issuers (other than short-term investments maturing
in 60 days or less), including municipal securities, are valued on the
basis of valuations provided by dealers or by an independent pricing
service approved by the Board of Trustees. Short-term investments maturing
in 60 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 exchange on which they are traded.
Options traded on an exchange are valued using the last sale price or, in
the absence of a sale, the last offering price. Options traded
over-the-counter are valued using dealer-supplied valuations. Investments
for which there are no such quotations or valuations are carried at fair
value as determined by the Fair Value Committee which is
Continued
163
<PAGE> 166
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
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.
FOREIGN CURRENCY TRANSLATION
Investment valuations, other assets and liabilities initially expressed in
foreign currencies are converted each business day into U.S. dollars based
upon current exchange rates. Purchases and sales of foreign investments and
income and expenses are converted into U.S. dollars based upon exchange
rates prevailing on the respective dates of such transactions. That portion
of realized gains or losses and unrealized appreciation or depreciation
from investments due to fluctuations in foreign currency exchange rates is
not separately disclosed. Such fluctuations are included with the net
realized and unrealized gain or loss from investments.
FORWARD FOREIGN CURRENCY CONTRACTS
Forward foreign currency contracts are valued at the daily exchange rate of
the underlying currency. Purchases and sales of forward foreign currency
contracts having the same settlement date and broker are presented net on
the Statement of Assets and Liabilities. The forward foreign currency
exchange contracts are adjusted by the daily exchange rate of the
underlying currency and any gains or losses are recorded for financial
statement purposes as unrealized appreciation or depreciation until the
contract settlement date. Gains or losses from the purchase or sale of
forward foreign currency contracts having the same settlement date and
broker are recorded as realized on the date of offset; otherwise gains or
losses are recorded as realized on settlement date.
REPURCHASE AGREEMENTS
The Funds 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 under the 1940 Act.
WRITTEN OPTIONS
The Funds 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 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.
Continued
164
<PAGE> 167
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
INDEXED SECURITIES
The Balanced 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.
SECURITIES LENDING
To generate additional income, the Funds may lend up to 33 1/3% 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,
letters of credit or any combination of cash, such securities, shares, or
letters of credit 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 dividends and 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, 1999, the following Funds had securities with the following market
values on loan (amounts in thousands):
<TABLE>
<CAPTION>
MARKET MARKET MARKET
VALUE VALUE VALUE
OF CASH OF NON-CASH OF LOANED
COLLATERAL COLLATERAL SECURITIES
----------- ------------ -----------
<S> <C> <C> <C>
Small Cap Growth Fund.......................... $ 9,920 $ -- $ 9,918
Small Cap Value Fund........................... 2,460 -- 2,459
Mid Cap Growth Fund............................ 186,737 -- 186,693
Mid Cap Value Fund............................. 41,882 -- 41,873
Diversified Mid Cap Fund....................... 38,795 -- 38,786
Large Cap Growth Fund.......................... 103,376 -- 103,356
Large Cap Value Fund........................... 27,378 -- 27,373
Equity Income Fund............................. 54,959 -- 54,950
Diversified Equity Fund........................ 81,402 -- 81,383
Balanced Fund.................................. 38,192 30,168 67,104
Equity Index Fund.............................. 123,454 -- 123,430
Market Expansion Index Fund.................... 1,641 -- 1,641
International Equity Index Fund................ 123,686 -- 123,061
Diversified International Fund................. 49,448 -- 49,198
</TABLE>
The loaned securities were fully collateralized by cash and U.S. Government
securities, equities, corporate bonds and commercial paper as of June 30,
1999.
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.
Continued
165
<PAGE> 168
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
EXPENSES
Expenses directly attributable to a Fund are charged directly to that Fund,
while the expenses, which are attributable to more than one Fund of the
Trust, are allocated among the respective Funds. Each class of shares bears
its pro-rata portion of expenses attributable to its series, except that
each class separately bears expenses related specifically to that class,
such as distribution fees.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income are declared and paid monthly for the
Funds except for the International Equity Index Fund which declares and
pays dividends, if any, at least annually. 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.
Distributions from net investment income and from net capital gains are
determined in accordance with income tax regulations, which may differ from
generally accepted accounting principles. These differences are primarily
due to differing treatments for expiring capital loss carryforwards,
foreign currency transactions, and deferrals of certain losses. Permanent
book and tax basis differences have been reclassified among the components
of net assets.
FEDERAL INCOME TAXES
Each Fund intends to continue to qualify as a regulated investment company
by complying with the provisions available to certain investment companies
as defined in applicable sections of the Internal Revenue Code, and to make
distributions from net investment income and from net realized capital
gains sufficient to relieve it from all, or substantially all, Federal
income taxes. Withholding taxes on foreign dividends have been paid or
provided for in accordance with the applicable country's tax rules and
rates.
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
fifty-nine series and five classes of shares: Class I, Class A, Class B,
Class C and Service Class (Prior to November 1, 1998, Class I was known as
Fiduciary Class). Currently, the Trust consists of forty-nine active funds.
The Funds are each authorized to issue Class I, 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 Fund's prospectus. Certain
redemptions of Class B and Class C shares are subject to contingent deferred
sales charges in accordance with the Fund's prospectus. As of June 30, 1999,
there were no shareholders in Class C of the Balanced Fund. Shareholders are
entitled to one vote for each full share held and vote in the aggregate and
not by class or series, except as otherwise expressly required by law or when
the Board of Trustees has determined that the matter to be voted on affects
only the interest of shareholders of a particular class or series. The
following is a summary of transactions in fund shares for the periods noted:
Continued
166
<PAGE> 169
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
SMALL CAP SMALL CAP
GROWTH FUND VALUE FUND
------------------- ----------------------------------------
YEAR YEAR SIX MONTHS YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, JUNE 30, DECEMBER 31, DECEMBER 31,
1999 1998 1999 1998 1997
-------- -------- ---------- ------------ ------------
<S> <C> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued......................... $42,905 $50,388 $ 54,182 $128,376 $ 78,450
Proceeds from shares issued in Marquis
acquisition....................................... 2,300 -- -- -- --
Dividends reinvested................................ 9,999 7,886 1,259 4,636 12,027
Cost of shares redeemed............................. (30,329) (30,812) (70,359) (49,084) (21,125)
-------- -------- -------- -------- --------
Change in net assets from Class I Share
transactions...................................... $24,875 $27,462 $(14,918) $ 83,928 $ 69,352
======== ======== ======== ======== ========
CLASS A SHARES:
Proceeds from shares issued......................... $20,005 $ 4,568 $ 5,172 $ 20,319 $ 16,824
Proceeds from shares issued in Marquis
acquisition....................................... 898 -- -- -- --
Dividends reinvested................................ 2,086 1,888 167 953 1,651
Cost of shares redeemed............................. (19,798) (3,978) (8,832) (7,795) (3,825)
-------- -------- -------- -------- --------
Change in net assets from Class A Share
transactions...................................... $ 3,191 $ 2,478 $ (3,493) $ 13,477 $ 14,650
======== ======== ======== ======== ========
CLASS B SHARES:
Proceeds from shares issued......................... $ 3,882 $ 4,606 $ 455 $ 2,943 $ 1,619
Proceeds from shares issued in Marquis
acquisition....................................... 471 -- -- -- --
Dividends reinvested................................ 924 521 20 132 125
Cost of shares redeemed............................. (2,647) (703) (923) (439) (29)
-------- -------- -------- -------- --------
Change in net assets from Class B Share
transactions...................................... $ 2,630 $ 4,424 $ (448) $ 2,636 $ 1,715
======== ======== ======== ======== ========
CLASS C SHARES:
Proceeds from shares issued......................... $ 101 $ 93 $ 18
Dividends reinvested................................ 6 --(a) --
Cost of shares redeemed............................. (71) -- --
-------- -------- --------
Change in net assets from Class C Share
transactions...................................... $ 36 $ 93 $ 18
======== ======== ========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued.............................................. 4,687 4,210 4,005 8,012 4,974
Issued in Marquis acquisition....................... 235 -- -- -- --
Reinvested.......................................... 1,059 724 97 305 741
Redeemed............................................ (3,188) (2,551) (5,222) (3,323) (1,400)
-------- -------- -------- -------- --------
Change in Class I Shares............................ 2,793 2,383 (1,120) 4,994 4,315
======== ======== ======== ======== ========
CLASS A SHARES:
Issued.............................................. 2,006 374 380 1,271 1,022
Issued in Marquis acquisition....................... 92 -- -- -- --
Reinvested.......................................... 222 173 13 65 103
Redeemed............................................ (2,039) (329) (675) (522) (252)
-------- -------- -------- -------- --------
Change in Class A Shares............................ 281 218 (282) 814 873
======== ======== ======== ======== ========
CLASS B SHARES:
Issued.............................................. 417 384 35 186 100
Issued in Marquis acquisition....................... 49 -- -- -- --
Reinvested.......................................... 100 49 1 9 8
Redeemed............................................ (291) (59) (71) (31) (2)
-------- -------- -------- -------- --------
Change in Class B Shares............................ 275 374 (35) 164 106
======== ======== ======== ======== ========
CLASS C SHARES:
Issued.............................................. 11 7 1
Reinvested.......................................... 1 --(a) --
Redeemed............................................ (7) -- --
-------- -------- --------
Change in Class C Shares............................ 5 7 1
======== ======== ========
</TABLE>
- ------------
(a) Amount is less than 1,000.
Continued
167
<PAGE> 170
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
MID CAP MID CAP
GROWTH FUND VALUE FUND
--------------------- ---------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30,
1999 1998 1999 1998
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued................................ $ 203,550 $ 203,143 $ 160,195 $ 137,992
Proceeds from shares issued in Marquis acquisition......... 33,494 -- 109,518 --
Proceeds from shares issued in Pegasus acquisition......... -- -- 328,403 --
Proceeds from shares issued in conversion.................. -- 57,769 -- --
Dividends reinvested....................................... 60,220 49,055 69,817 45,915
Cost of shares redeemed.................................... (152,763) (189,297) (220,903) (158,657)
--------- --------- --------- ---------
Change in net assets from Class I Share transactions....... $ 144,501 $ 120,670 $ 447,030 $ 25,250
========= ========= ========= =========
CLASS A SHARES:
Proceeds from shares issued................................ $ 79,035 $ 56,011 $ 23,415 $ 8,085
Proceeds from shares issued in Marquis acquisition......... 2,987 -- 15,353 --
Proceeds from shares issued in Pegasus acquisition......... -- -- 99,254 --
Dividends reinvested....................................... 13,000 7,158 4,468 4,444
Cost of shares redeemed.................................... (48,657) (19,911) (56,125) (9,149)
--------- --------- --------- ---------
Change in net assets from Class A Share transactions....... $ 46,365 $ 43,258 $ 86,365 $ 3,380
========= ========= ========= =========
CLASS B SHARES:
Proceeds from shares issued................................ $ 45,055 $ 44,814 $ 7,406 $ 7,198
Proceeds from shares issued in Marquis acquisition......... 2,136 -- 12,072 --
Proceeds from shares issued in Pegasus acquisition......... -- -- 3,884 --
Dividends reinvested....................................... 12,547 7,071 4,269 3,721
Cost of shares redeemed.................................... (19,465) (6,203) (11,832) (3,099)
--------- --------- --------- ---------
Change in net assets from Class B Share transactions....... $ 40,273 $ 45,682 $ 15,799 $ 7,820
========= ========= ========= =========
CLASS C SHARES:
Proceeds from shares issued................................ $ 14,745 $ 1,070 $ 47
Dividends reinvested....................................... 278 --(a) --(a)
Cost of shares redeemed.................................... (1,223) (6) --(a)
--------- --------- ---------
Change in net assets from Class C Share transactions....... $ 13,800 $ 1,064 $ 47
========= ========= =========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued..................................................... 9,697 9,733 10,483 8,280
Issued in Marquis acquisition.............................. 1,696 -- 7,937 --
Issued in Pegasus acquisition.............................. -- -- 24,507 --
Issued in conversion....................................... -- 3,113 -- --
Reinvested................................................. 3,104 2,574 4,933 2,926
Redeemed................................................... (7,089) (8,883) (14,319) (9,567)
--------- --------- --------- ---------
Change in Class I Shares................................... 7,408 6,537 33,541 1,639
========= ========= ========= =========
CLASS A SHARES:
Issued..................................................... 3,639 2,614 1,004 481
Issued in Marquis acquisition.............................. 152 -- 1,109 --
Issued in Pegasus acquisition.............................. -- -- 7,385 --
Reinvested................................................. 663 365 310 277
Redeemed................................................... (2,364) (940) (3,347) (544)
--------- --------- --------- ---------
Change in Class A Shares................................... 2,090 2,039 6,461 214
========= ========= ========= =========
CLASS B SHARES:
Issued..................................................... 2,187 2,183 339 428
Issued in Marquis acquisition.............................. 114 -- 877 --
Issued in Pegasus acquisition.............................. -- -- 291 --
Reinvested................................................. 671 375 314 232
Redeemed................................................... (978) (304) (811) (185)
--------- --------- --------- ---------
Change in Class B Shares................................... 1,994 2,254 1,010 475
========= ========= ========= =========
CLASS C SHARES:
Issued..................................................... 653 48 3
Reinvested................................................. 14 --(a) --(a)
Redeemed................................................... (53) --(a) --(a)
--------- --------- ---------
Change in Class C Shares................................... 614 48 3
========= ========= =========
</TABLE>
- ------------
(a) Amount is less than 1,000.
Continued
168
<PAGE> 171
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
LARGE CAP
DIVERSIFIED MID CAP FUND GROWTH FUND
---------------------------------------- ----------------------
SIX MONTHS YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER 31, DECEMBER 31, JUNE 30, JUNE 30,
1999 1998 1997 1999 1998
---------- ------------ ------------ ---------- ---------
<S> <C> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued......................... $ 61,324 $ 164,165 $ 207,175 $ 283,311 $ 181,645
Proceeds from shares issued in Pegasus
acquisition....................................... -- -- -- 899,987 --
Proceeds from shares issued in conversion........... -- 206,155 -- 162,412 81,659
Dividends reinvested................................ 2,562 42,744 46,221 117,120 75,483
Cost of shares redeemed............................. (137,780) (215,552) (253,407) (234,012) (208,952)
--------- --------- --------- ---------- ---------
Change in net assets from Class I Share
transactions...................................... $ (73,894) $ 197,512 $ (11) $1,228,818 $ 129,835
========= ========= ========= ========== =========
CLASS A SHARES:
Proceeds from shares issued......................... $ 23,402 $ 97,258 $ 130,159 $ 167,751 $ 57,440
Proceeds from shares issued in Pegasus
acquisition....................................... -- -- -- 133,163 --
Dividends reinvested................................ 707 17,695 13,954 20,453 20,287
Cost of shares redeemed............................. (75,470) (62,548) (21,536) (119,384) (33,812)
--------- --------- --------- ---------- ---------
Change in net assets from Class A Share
transactions...................................... $ (51,361) $ 52,405 $ 122,577 $ 201,983 $ 43,915
========= ========= ========= ========== =========
CLASS B SHARES:
Proceeds from shares issued......................... $ 185 $ 3,861 $ 3,558 $ 281,642 $ 104,460
Proceeds from shares issued in Pegasus
acquisition....................................... -- -- -- 7,315 --
Dividends reinvested................................ 36 803 389 31,112 24,050
Cost of shares redeemed............................. (1,449) (746) (93) (49,320) (16,913)
--------- --------- --------- ---------- ---------
Change in net assets from Class B Share
transactions...................................... $ (1,228) $ 3,918 $ 3,854 $ 270,749 $ 111,597
========= ========= ========= ========== =========
CLASS C SHARES:
Proceeds from shares issued......................... $ 13 $ 7,482 $ 432
Dividends reinvested................................ -- 70 3
Cost of shares redeemed............................. -- (310) --
--------- ---------- ---------
Change in net assets from Class C Share
transactions...................................... $ 13 $ 7,242 $ 435
========= ========== =========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued.............................................. 3,182 8,188 10,476 12,073 9,422
Issued in Pegasus acquisition....................... -- -- -- 35,419 --
Issued in conversion................................ -- 10,206 -- 6,735 4,595
Reinvested.......................................... 30 2,142 2,224 5,881 4,107
Redeemed............................................ (6,810) (10,665) (12,783) (9,885) (10,404)
--------- --------- --------- ---------- ---------
Change in Class I Shares............................ (3,598) 9,871 (83) 50,223 7,720
========= ========= ========= ========== =========
CLASS A SHARES:
Issued.............................................. 1,167 4,701 6,413 6,770 2,777
Issued in Pegasus acquisition....................... -- -- -- 5,098 --
Reinvested.......................................... 31 892 672 983 1,060
Redeemed............................................ (3,826) (3,124) (1,078) (4,733) (1,625)
--------- --------- --------- ---------- ---------
Change in Class A Shares............................ (2,628) 2,469 6,007 8,118 2,212
========= ========= ========= ========== =========
CLASS B SHARES:
Issued.............................................. 20 366 330 11,800 5,151
Issued in Pegasus acquisition....................... -- -- -- 290 --
Reinvested.......................................... 4 85 37 1,539 1,283
Redeemed............................................ (154) (81) (9) (2,138) (836)
--------- --------- --------- ---------- ---------
Change in Class B Shares............................ (130) 370 358 11,491 5,598
========= ========= ========= ========== =========
CLASS C SHARES:
Issued.............................................. 1 312 22
Reinvested.......................................... -- 3 --(a)
Redeemed............................................ -- (13) --
--------- ---------- ---------
Change in Class C Shares............................ 1 302 22
========= ========== =========
</TABLE>
- ------------
(a) Amount is less than 1,000.
Continued
169
<PAGE> 172
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
LARGE CAP EQUITY
VALUE FUND INCOME FUND
-------------------- ---------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30,
1999 1998 1999 1998
-------- --------- --------- ---------
<S> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued................................ $257,159 $ 126,127 $ 42,420 $ 58,578
Proceeds from shares issued in Pegasus acquisition......... -- -- 505,408 --
Proceeds from shares issued in conversion.................. -- -- -- 70,389
Dividends reinvested....................................... 38,150 22,134 28,320 15,841
Cost of shares redeemed.................................... (84,610) (132,244) (182,394) (171,640)
-------- --------- --------- ---------
Change in net assets from Class I Share transactions....... $210,699 $ 16,017 $ 393,754 $ (26,832)
======== ========= ========= =========
CLASS A SHARES:
Proceeds from shares issued................................ $33,730 $ 11,457 $ 24,665 $ 40,534
Proceeds from shares issued in Pegasus acquisition......... -- -- 11,551 --
Dividends reinvested....................................... 1,116 1,150 9,250 9,837
Cost of shares redeemed.................................... (24,553) (13,864) (31,094) (21,803)
-------- --------- --------- ---------
Change in net assets from Class A Share transactions....... $10,293 $ (1,257) $ 14,372 $ 28,568
======== ========= ========= =========
CLASS B SHARES:
Proceeds from shares issued................................ $10,060 $ 7,652 $ 40,461 $ 75,943
Proceeds from shares issued in Pegasus acquisition......... -- -- 3,082 --
Dividends reinvested....................................... 1,149 765 12,751 10,575
Cost of shares redeemed.................................... (5,399) (2,065) (30,054) (13,487)
-------- --------- --------- ---------
Change in net assets from Class B Share transactions....... $ 5,810 $ 6,352 $ 26,240 $ 73,031
======== ========= ========= =========
CLASS C SHARES:
Proceeds from shares issued................................ $ 138 $ 512 $ 716
Dividends reinvested....................................... --(a) 62 13
Cost of shares redeemed.................................... (6) (734) --
-------- --------- ---------
Change in net assets from Class C Share transactions....... $ 132 $ (160) $ 729
======== ========= =========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued..................................................... 15,673 8,011 1,902 2,678
Issued in Pegasus acquisition.............................. -- -- 21,634 --
Issued in conversion....................................... -- -- -- 3,342
Reinvested................................................. 2,544 1,462 1,316 736
Redeemed................................................... (5,136) (8,381) (7,868) (7,605)
-------- --------- --------- ---------
Change in Class I Shares................................... 13,081 1,092 16,984 (849)
======== ========= ========= =========
CLASS A SHARES:
Issued..................................................... 2,073 712 1,094 1,796
Issued in Pegasus acquisition.............................. -- -- 496 --
Reinvested................................................. 73 75 424 459
Redeemed................................................... (1,522) (849) (1,370) (966)
-------- --------- --------- ---------
Change in Class A Shares................................... 624 (62) 644 1,289
======== ========= ========= =========
CLASS B SHARES:
Issued..................................................... 601 475 1,757 3,365
Issued in Pegasus acquisition.............................. -- -- 132 --
Reinvested................................................. 75 49 585 494
Redeemed................................................... (332) (127) (1,318) (595)
-------- --------- --------- ---------
Change in Class B Shares................................... 344 397 1,156 3,264
======== ========= ========= =========
CLASS C SHARES:
Issued..................................................... 7 21 32
Reinvested................................................. --(a) 3 1
Redeemed................................................... --(a) (30) --
-------- --------- ---------
Change in Class C Shares................................... 7 (6) 33
======== ========= =========
</TABLE>
- ------------
(a) Amount is less than 1,000.
Continued
170
<PAGE> 173
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
DIVERSIFIED
EQUITY FUND BALANCED FUND
---------------------- -------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30,
1999 1998 1999 1998
---------- --------- -------- --------
<S> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued................................ $ 244,173 $ 203,642 $36,925 $ 30,168
Proceeds from shares issued in Marquis acquisition......... -- -- 131,827 --
Proceeds from shares issued in Pegasus acquisition......... 1,221,365 -- -- --
Dividends reinvested....................................... 32,229 22,920 4,716 4,088
Cost of shares redeemed.................................... (204,131) (117,078) (62,537) (30,385)
---------- --------- -------- --------
Change in net assets from Class I Share transactions....... $1,293,636 $ 109,484 $110,931 $ 3,871
========== ========= ======== ========
CLASS A SHARES:
Proceeds from shares issued................................ $ 69,391 $ 26,868 $31,853 $ 19,947
Proceeds from shares issued in Marquis acquisition......... -- -- 4,842 --
Proceeds from shares issued in Pegasus acquisition......... 265,416 -- -- --
Dividends reinvested....................................... 5,259 6,201 5,175 4,728
Cost of shares redeemed.................................... (104,515) (10,432) (13,842) (8,491)
---------- --------- -------- --------
Change in net assets from Class A Share transactions....... $ 235,551 $ 22,637 $28,028 $ 16,184
========== ========= ======== ========
CLASS B SHARES:
Proceeds from shares issued................................ $ 17,518 $ 12,570 $123,871 $ 65,995
Proceeds from shares issued in Marquis acquisition......... -- -- 4,972 --
Proceeds from shares issued in Pegasus acquisition......... 10,304 -- -- --
Dividends reinvested....................................... 1,731 1,480 11,755 7,496
Cost of shares redeemed.................................... (8,289) (1,805) (23,618) (8,395)
---------- --------- -------- --------
Change in net assets from Class B Share transactions....... $ 21,264 $ 12,245 $116,980 $ 65,096
========== ========= ======== ========
CLASS C SHARES:
Proceeds from shares issued................................ $ 6,971 $ 1,212
Dividends reinvested....................................... 106 --(a)
Cost of shares redeemed.................................... (963) (3)
---------- ---------
Change in net assets from Class C Share transactions....... $ 6,114 $ 1,209
========== =========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued..................................................... 18,009 16,681 2,761 2,320
Issued in Marquis acquisition.............................. -- -- 10,055 --
Issued in Pegasus acquisition.............................. 84,872 -- -- --
Reinvested................................................. 2,658 1,984 360 322
Redeemed................................................... (14,566) (9,458) (4,598) (2,330)
---------- --------- -------- --------
Change in Class I Shares................................... 90,973 9,207 8,578 312
========== ========= ======== ========
CLASS A SHARES:
Issued..................................................... 4,832 2,167 2,324 1,513
Issued in Marquis acquisition.............................. -- -- 379 --
Issued in Pegasus acquisition.............................. 18,470 -- -- --
Reinvested................................................. 431 531 390 370
Redeemed................................................... (7,220) (847) (1,030) (645)
---------- --------- -------- --------
Change in Class A Shares................................... 16,513 1,851 2,063 1,238
========== ========= ======== ========
CLASS B SHARES:
Issued..................................................... 1,175 1,005 8,995 4,971
Issued in Marquis acquisition.............................. -- -- 368 --
Issued in Pegasus acquisition.............................. 725 -- -- --
Reinvested................................................. 144 127 884 586
Redeemed................................................... (473) (147) (1,744) (632)
---------- --------- -------- --------
Change in Class B Shares................................... 1,571 985 8,503 4,925
========== ========= ======== ========
CLASS C SHARES:
Issued..................................................... 509 92
Reinvested................................................. 9 --(a)
Redeemed................................................... (75) --(a)
---------- ---------
Change in Class C Shares................................... 443 92
========== =========
</TABLE>
- ------------
(a) Amount is less than 1,000.
Continued
171
<PAGE> 174
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
MARKET EXPANSION
EQUITY INDEX FUND INDEX FUND
---------------------- -------------------------
YEAR YEAR SIX MONTHS JULY 31,
ENDED ENDED ENDED 1998 TO
JUNE 30, JUNE 30, JUNE 30, DECEMBER 31,
1999 1998 1999 1998(a)
---------- --------- ---------- ------------
<S> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued................................ $ 174,081 $ 190,730 $ 3,525 $ 1,396
Proceeds from shares issued in Pegasus acquisition......... 749,135 -- -- --
Proceeds from shares issued in conversion.................. 273,174 -- -- 26,440
Dividends reinvested....................................... 12,878 4,908 619 893
Cost of shares redeemed.................................... (203,117) (132,565) (3,116) (2,485)
---------- --------- ------- -------
Change in net assets from Class I Share transactions....... $1,006,151 $ 63,073 $ 1,028 $26,244
========== ========= ======= =======
CLASS A SHARES:
Proceeds from shares issued................................ $ 254,473 $ 115,183 $ 234 $ 28
Proceeds from shares issued in Pegasus acquisition......... 346,768 -- -- --
Dividends reinvested....................................... 10,991 4,949 --(b) --(b)
Cost of shares redeemed.................................... (167,505) (34,893) --(b) --
---------- --------- ------- -------
Change in net assets from Class A Share transactions....... $ 444,727 $ 85,239 $ 234 $ 28
========== ========= ======= =======
CLASS B SHARES:
Proceeds from shares issued................................ $ 151,543 $ 144,112 $ 405 $ --(b)
Proceeds from shares issued in Pegasus acquisition......... 6,353 -- -- --
Dividends reinvested....................................... 13,505 6,727 1 --(b)
Cost of shares redeemed.................................... (59,306) (24,214) (117) --
---------- --------- ------- -------
Change in net assets from Class B Share transactions....... $ 112,095 $ 126,625 $ 289 $ --
========== ========= ======= =======
CLASS C SHARES:
Proceeds from shares issued................................ $ 53,973 $ 3,146 $ 16
Dividends reinvested....................................... 413 3 --(b)
Cost of shares redeemed.................................... (4,159) (72) --(b)
---------- --------- -------
Change in net assets from Class C Share transactions....... $ 50,227 $ 3,077 $ 16
========== ========= =======
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued..................................................... 6,096 8,081 352 141
Issued in Pegasus acquisition.............................. 24,863 -- -- 2,644
Issued in conversion....................................... 9,509 -- -- --
Reinvested................................................. 503 212 63 91
Redeemed................................................... (7,304) (5,630) (312) (264)
---------- --------- ------- -------
Change in Class I Shares................................... 33,667 2,663 103 2,612
========== ========= ======= =======
CLASS A SHARES:
Issued..................................................... 8,685 4,740 23 3
Issued in Pegasus acquisition.............................. 11,516 -- -- --
Reinvested................................................. 412 213 --(b) --(b)
Redeemed................................................... (5,621) (1,415) --(b) --
---------- --------- ------- -------
Change in Class A Shares................................... 14,992 3,538 23 3
========== ========= ======= =======
CLASS B SHARES:
Issued..................................................... 5,293 5,913 40 --(b)
Issued in Pegasus acquisition.............................. 211 -- -- --
Reinvested................................................. 514 294 --(b) --(b)
Redeemed................................................... (2,116) (984) (11) --
---------- --------- ------- -------
Change in Class B Shares................................... 3,902 5,223 29 --(b)
========== ========= ======= =======
CLASS C SHARES:
Issued..................................................... 1,867 121 1
Reinvested................................................. 15 --(b) --(b)
Redeemed................................................... (141) (2) --(b)
---------- --------- -------
Change in Class C Shares................................... 1,741 119 1
========== ========= =======
</TABLE>
- ------------
(a) Commencement of operations.
(b) Amount is less than 1,000.
Continued
172
<PAGE> 175
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
(Amounts in Thousands)
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY DIVERSIFIED
INDEX FUND INTERNATIONAL FUND
-------------------- ----------------------------------------
YEAR YEAR SIX MONTHS YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, JUNE 30, DECEMBER 31, DECEMBER 31,
1999 1998 1999 1998 1997
--------- -------- ---------- ------------ ------------
<S> <C> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued......................... $ 148,687 $172,750 $ 25,895 $ 109,588 $144,397
Proceeds from shares issued in Marquis
acquisition....................................... 1,093 -- -- -- --
Proceeds from shares issued in conversion........... -- -- -- -- 25,851
Dividends reinvested................................ 3,210 7,260 245 2,089 1,489
Cost of shares redeemed............................. (104,900) (77,664) (44,735) (101,966) (89,222)
--------- -------- -------- --------- --------
Change in net assets from Class I Share
transactions...................................... $ 48,090 $102,346 $(18,595) $ 9,711 $ 82,515
========= ======== ======== ========= ========
CLASS A SHARES:
Proceeds from shares issued......................... $ 189,671 $23,709 $ 22,419 $ 26,637 $ 18,568
Proceeds from shares issued in Marquis
acquisition....................................... 305 -- -- -- --
Dividends reinvested................................ 1,546 536 128 391 152
Cost of shares redeemed............................. (163,287) (13,917) (35,203) (14,357) (3,048)
--------- -------- -------- --------- --------
Change in net assets from Class A Share
transactions...................................... $ 28,235 $10,328 $(12,656) $ 12,671 $ 15,672
========= ======== ======== ========= ========
CLASS B SHARES:
Proceeds from shares issued......................... $ 6,916 $ 4,365 $ 400 $ 818 $ 812
Proceeds from shares issued in Marquis
acquisition....................................... 268 -- -- -- --
Dividends reinvested................................ 902 358 5 19 7
Cost of shares redeemed............................. (3,621) (2,165) (658) (310) (202)
--------- -------- -------- --------- --------
Change in net assets from Class B Share
transactions...................................... $ 4,465 $ 2,558 $ (253) $ 527 $ 617
========= ======== ======== ========= ========
CLASS C SHARES:
Proceeds from shares issued......................... $ 2,259 $ 123 $ 5
Dividends reinvested................................ 24 --(a) --
Cost of shares redeemed............................. (153) (5) --
--------- -------- --------
Change in net assets from Class C Share
transactions...................................... $ 2,130 $ 118 $ 5
========= ======== ========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued.............................................. 8,534 10,217 1,809 8,439 12,175
Issued in Marquis acquisition....................... 63 -- -- -- --
Issued in conversion................................ -- -- -- -- 2,160
Reinvested.......................................... 188 481 18 162 120
Redeemed............................................ (6,114) (4,685) (3,100) (7,899) (7,329)
--------- -------- -------- --------- --------
Change in Class I Shares............................ 2,671 6,013 (1,273) 702 7,126
========= ======== ======== ========= ========
CLASS A SHARES:
Issued.............................................. 10,538 1,376 1,550 2,044 1,520
Issued in Marquis acquisition....................... 17 -- -- -- --
Reinvested.......................................... 90 34 9 30 12
Redeemed............................................ (9,001) (816) (2,428) (1,095) (248)
--------- -------- -------- --------- --------
Change in Class A Shares............................ 1,644 594 (869) 979 1,284
========= ======== ======== ========= ========
CLASS B SHARES:
Issued.............................................. 410 268 28 65 70
Issued in Marquis acquisition....................... 16 -- -- -- --
Reinvested.......................................... 55 24 --(a) 1 1
Redeemed............................................ (216) (134) (48) (26) (18)
--------- -------- -------- --------- --------
Change in Class B Shares............................ 265 158 (20) 40 53
========= ======== ======== ========= ========
CLASS C SHARES:
Issued.............................................. 127 7 --(a)
Reinvested.......................................... 1 --(a) --
Redeemed............................................ (9) --(a) --
--------- -------- --------
Change in Class C Shares............................ 119 7 --(a)
========= ======== ========
</TABLE>
- ------------
(a) Amount is less than 1,000.
Continued
173
<PAGE> 176
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
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 a fee, computed daily and paid
monthly, at the annual rate of 0.74% of the average net assets on the first
$1.5 billion, 0.70% of the average net assets on the next $ 500 million and
0.65% of the average net assets over $2 billion of the Small Cap Growth Fund,
the Mid Cap Growth, the Mid Cap Value Fund, the Large Cap Growth Fund, the
Large Cap Value Fund, the Equity Income Fund, the Diversified Equity Fund,
the Small Cap Value Fund and the Diversified Mid Cap Fund; 0.65% of the
average daily net assets of the Balanced Fund; 0.30% of the average daily net
assets of the Equity Index Fund; 0.35% of the average daily net assets of the
Market Expansion Index Fund; 0.55% of the average daily net assets of the
International Equity Index Fund; and 0.80% of the average daily net assets of
the Diversified International Fund.
Prior to March 22, 1999 the Pegasus Funds and First Chicago NBD Investment
Management Company ("FCNIMCO") were parties to an investment advisory
agreement under which the Advisor was entitled to a fee, computed daily and
paid monthly, at an annual rate of 0.70% of the average net assets of the
Small Cap Value Fund; 0.60% of the average net assets of the Diversified Mid
Cap Fund; 0.25% of the average net assets of the Market Expansion Index Fund;
and 0.80% of the average net assets of the Diversified International Fund.
Independence International Associates, Inc. ("IIA"), an indirect subsidiary
of John Hancock Mutual Life Insurance Company, manages the investment
portfolio of the International Equity Index Fund subject to the supervision
of the Advisor pursuant to a Sub-Advisory Agreement with the Advisor. For its
services, IIA is paid a fee by the Advisor, computed daily and paid monthly,
at the annual rate of 0.275% of average daily net assets up to $10 million,
0.225% of average daily net assets over $10 million up to $25 million, 0.195%
of net assets over $25 million up to $50 million, 0.125% of the average daily
net assets over $50 million up to $100 million and 0.060% of the average
daily net assets over $100 million.
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, the
Government Money Market Fund and the Institutional Prime 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.
Prior to March 22, 1999 FCNIMCO and BISYS Fund Services ("Co-Administrators")
were parties to a Co-Administration agreement under which the
Co-Administrators were entitled to a fee, computed daily and paid monthly, at
an annual rate of 0.15% of the average net assets of the Small Cap Value
Fund, the Diversified Mid Cap Fund, the Market Expansion Index Fund, and the
Diversified International Fund.
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
distribution and shareholder services plans (the "Plans") pursuant to Rule
12b-1 under the 1940 Act. As provided in the Plans, the Trust will pay the
Distributor a fee of 0.35% of the average daily net assets of Class A shares
of each of the funds and 1.00% of the average daily net assets of the Class B
shares 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. 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
Continued
174
<PAGE> 177
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
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. Class I shares of each fund are offered without
distribution fees. For the year ended June 30, 1999, the Distributor received
$11,610,443 from commissions earned on sales of Class A shares and redemption
of Class B shares and Class C shares, of which, the Distributor re-allowed
$9,802,106 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.
The Advisor, the Administrator and the Distributor voluntarily agreed to
waive a portion of their fees. For the year ended June 30, 1999, fees in the
following amounts were waived (amounts in thousands):
<TABLE>
<CAPTION>
INVESTMENT 12b-1 FEES
ADVISORY FEES ADMINISTRATION WAIVED
WAIVED FEES WAIVED CLASS A
------------- --------------- ----------
<S> <C> <C> <C>
Small Cap Growth Fund.................................... $ 5 $ 36 $ 18
Small Cap Value Fund*.................................... 105 8 6
Mid Cap Growth Fund...................................... -- -- 117
Mid Cap Value Fund....................................... 30 -- 62
Diversified Mid Cap Fund*................................ 418 -- 58
Large Cap Growth Fund.................................... -- -- 285
Large Cap Value Fund..................................... -- -- 20
Equity Income Fund....................................... 542 207 120
Diversified Equity Fund.................................. -- -- 156
Balanced Fund............................................ 411 23 64
Equity Index Fund........................................ 2,882 1,026 375
Market Expansion Index Fund*............................. 27 4 --
International Equity Index Fund.......................... -- -- 31
Diversified International Fund*.......................... 66 18 9
</TABLE>
- ------------
* Amounts are for six months ended June 30, 1999
5. SECURITIES TRANSACTIONS:
The cost of security purchases and the proceeds from the sale of securities
(excluding short-term securities and purchased options) for the year ended
June 30, 1999 were as follows (amounts in thousands):
<TABLE>
<CAPTION>
PURCHASES SALES
---------- ----------
<S> <C> <C>
Small Cap Growth Fund.............................. $ 179,892 $ 157,417
Small Cap Value Fund*.............................. 141,290 170,533
Mid Cap Growth Fund................................ 1,661,099 1,631,268
Mid Cap Value Fund................................. 985,254 1,122,720
Diversified Mid Cap Fund*.......................... 280,832 398,729
Large Cap Growth Fund.............................. 2,437,117 2,284,799
Large Cap Value Fund............................... 556,695 351,990
Equity Income Fund................................. 174,110 292,547
Diversified Equity Fund............................ 742,033 627,617
Balanced Fund...................................... 451,151 358,572
Equity Index Fund.................................. 295,724 97,585
Market Expansion Index Fund*....................... 9,332 9,270
International Equity Index Fund.................... 240,576 211,843
Diversified International Fund*.................... 17,743 45,242
</TABLE>
- ------------
* Amounts are for six months ended June 30, 1999
Continued
175
<PAGE> 178
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
6. FINANCIAL INSTRUMENTS:
Investing in financial instruments such as options, futures, indexed
securities and sales of forward foreign currency contracts involves risk in
excess of the amounts reflected in the Statements 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, and changes in
the value of currency relative to the U.S. dollar. The Funds enter into these
contracts primarily as a means to hedge against adverse fluctuations in the
value of securities held or planned to be purchased by the Funds.
The following is a summary of option activity for the year ended June 30,
1999 by the Funds (amounts in thousands):
<TABLE>
<CAPTION>
LARGE CAP VALUE FUND
--------------------------
SHARES SUBJECT
TO CONTRACT PREMIUMS
-------------- --------
<S> <C> <C>
COVERED CALL OPTIONS
Balance at beginning of period.............................. 100 $ 97
Options written............................................. 1,170 2,340
Options expired............................................. (1,000) (1,402)
Options exercised........................................... (220) (374)
Options split............................................... 25
------ -------
Options outstanding at end of period........................ 75 $ 661
====== =======
</TABLE>
<TABLE>
<CAPTION>
LARGE CAP GROWTH FUND
--------------------------
SHARES SUBJECT
TO CONTRACT PREMIUMS
-------------- --------
<S> <C> <C>
PURCHASED CALL OPTIONS
Balance at beginning period................................. -- $ --
Options Purchased........................................... 5,490 8,410
Options Sold................................................ (490) (8,171)
Options Expired............................................. (5,000) (239)
------ -------
Options outstanding at end of period........................ -- $ --
====== =======
</TABLE>
<TABLE>
<CAPTION>
LARGE CAP VALUE FUND
--------------------------
SHARES SUBJECT
TO CONTRACT PREMIUMS
-------------- --------
<S> <C> <C>
COVERED CALL OPTIONS
Options outstanding at end of period consist of:
IBM, $220, 7/21/99.......................................... 50 $525
Motorola, $95, 7/19/99...................................... 25 94
</TABLE>
Continued
176
<PAGE> 179
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
7. CONVERSION OF COMMON TRUST FUNDS:
The net assets of certain common trust funds managed by FCNIMCO were
exchanged in a tax-free conversion for Class I shares of the corresponding
Funds. The transactions were accounted for by a method followed for tax
purposes in a tax-free business combination. The following is a summary of
dates, shares issued, net asset value per share issued and unrealized
appreciation of assets acquired as of the conversion date:
<TABLE>
<CAPTION>
NET ASSET
VALUE
SHARES NET ASSETS PER SHARE UNREALIZED
ISSUED CONVERTED ISSUED APPRECIATION
------ ---------- ------------ ------------
<S> <C> <C> <C> <C>
December 12, 1997
Diversified International Fund....................... 2,160 $ 25,851 $11.97 $ 5,338
June 19, 1998
Diversified Mid Cap Fund............................. 740 14,935 20.19 7,648
July 31, 1998
Diversified Mid Cap Fund............................. 9,466 191,220 20.20 57,931
Market Expansion Index Fund.......................... 2,644 26,440 10.00 8,449
February 21, 1999
Equity Index Fund.................................... 9,509 273,174 28.73 151,207
Large Cap Growth Fund................................ 6,735 162,412 24.11 98,725
</TABLE>
On December 19, 1997, the net assets of certain common trust funds managed by
the Advisor were exchanged in a tax-free conversion for Class I 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>
Equity Income Fund................................... 3,342 $70,389 $21.06 $23,821
Large Cap Growth Fund................................ 4,595 81,659 17.77 33,084
Mid Cap Growth Fund.................................. 3,113 57,769 18.56 15,137
</TABLE>
8. MARQUIS REORGANIZATION:
The Trust entered an agreement and plan of reorganization and liquidation
("the Marquis Reorganization") with the Marquis Family of Funds (the "Marquis
Funds") pursuant to which all of the assets and liabilities of each Marquis
Fund transferred to a fund of the One Group in exchange for shares of the
corresponding fund of the One Group. The Marquis Reorganization, which
qualified as a tax-free exchange for Federal income tax purposes, was
completed on August 10, 1998 following approval by shareholders of the
Marquis Funds at a special shareholder meeting. The following is a summary of
shares outstanding, net assets, net asset value per
Continued
177
<PAGE> 180
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
share issued and unrealized appreciation immediately before and after the
Marquis Reorganization (amounts in thousands except per share amounts):
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
----------------------------------------- --------------
MARQUIS
BALANCED BALANCED BALANCED
FUND FUND FUND
-------------------- ------------------ --------------
<S> <C> <C> <C>
Shares............................................... 12,183 21,074 31,876
Net assets........................................... $141,641 $276,845 $418,486
Net asset value:
Class I............................................ -- 13.11 13.11
Class A............................................ 11.62 13.12 13.12
Class B............................................ 11.69 13.17 13.17
Unrealized appreciation.............................. 14,690 25,535 40,225
</TABLE>
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
----------------------------------------- --------------
MARQUIS MID CAP MID CAP
VALUE EQUITY VALUE VALUE
FUND FUND FUND
-------------------- ------------------ --------------
<S> <C> <C> <C>
Shares............................................... 10,265 46,635 56,558
Net assets........................................... $136,943 $643,645 $780,588
Net asset value:
Class I............................................ -- 13.80 13.80
Class A............................................ 13.34 13.84 13.84
Class B............................................ 13.38 13.76 13.76
Unrealized appreciation.............................. 16,925 47,342 64,267
</TABLE>
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
----------------------------------------- --------------
MARQUIS MID CAP MID CAP
GROWTH EQUITY GROWTH GROWTH
FUND FUND FUND
-------------------- ------------------ --------------
<S> <C> <C> <C>
Shares............................................... 2,556 50,864 52,826
Net assets........................................... $38,617 $998,973 $1,037,590
Net asset value:
Class I............................................ -- 19.76 19.76
Class A............................................ 15.11 19.59 19.59
Class B............................................ 14.96 18.71 18.71
Unrealized appreciation.............................. 7,181 133,789 140,970
</TABLE>
Continued
178
<PAGE> 181
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
----------------------------------------- --------------
MARQUIS SMALL SMALL
SMALL CAPITALIZATION CAP GROWTH CAP GROWTH
EQUITY FUND FUND FUND
-------------------- ------------------ --------------
<S> <C> <C> <C>
Shares............................................... 402 13,518 13,894
Net assets........................................... $3,669 $132,213 $135,882
Net asset value:
Class I............................................ -- 9.80 9.80
Class A............................................ 9.15 9.77 9.77
Class B............................................ 9.04 9.56 9.56
Unrealized appreciation (depreciation)............... (290) 13,114 12,824
</TABLE>
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
----------------------------------------- --------------
MARQUIS INTERNATIONAL INTERNATIONAL
INTERNATIONAL EQUITY INDEX EQUITY INDEX
EQUITY FUND FUND FUND
-------------------- ------------------ --------------
<S> <C> <C> <C>
Shares............................................... 154 35,324 35,420
Net assets........................................... $1,666 $615,179 $616,845
Net asset value:
Class I............................................ -- 17.43 17.43
Class A............................................ 10.84 17.44 17.44
Class B............................................ 10.75 16.79 16.79
Unrealized appreciation (depreciation)............... (10) 77,441 77,431
</TABLE>
9. PEGASUS REORGANIZATION:
The Trust entered an agreement and plan of reorganization and liquidation
("the Pegasus Reorganization") with the Pegasus Family of Funds (the "Pegasus
Funds") pursuant to which all of the assets and liabilities of each Pegasus
Fund transferred to a fund of the One Group in exchange for shares of the
corresponding Fund of the One Group. The Pegasus Reorganization, which
qualified as a tax-free exchange for Federal income tax purposes, was
completed on March 22, 1999 following approval by shareholders of the Pegasus
Funds at a special shareholder meeting. The following is a summary of shares
outstanding, net assets, net asset value per share issued and unrealized
appreciation immediately before and after the Pegasus Reorganization (amounts
in thousands except per share amounts):
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
----------------------------------------- --------------
PEGASUS SMALL CAP SMALL CAP SMALL CAP
OPPORTUNITY VALUE VALUE
FUND FUND FUND
-------------------- ------------------ --------------
<S> <C> <C> <C>
Shares............................................... 21,113 -- 21,113
Net assets........................................... $265,568 -- $265,568
Net asset value:
Class I............................................ 12.60 -- 12.60
Class A............................................ 12.42 -- 12.42
Class B............................................ 12.06 -- 12.06
Unrealized appreciation.............................. (27,398) -- (27,398)
</TABLE>
Continued
179
<PAGE> 182
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
----------------------------------------- --------------
PEGASUS INTRINSIC DISCIPLINED MID CAP
VALUE VALUE VALUE
FUND FUND FUND
-------------------- ------------------ --------------
<S> <C> <C> <C>
Shares............................................... 35,077 56,933 89,116
Net assets........................................... $431,541 $762,902 $1,194,443
Net asset value:
Class I............................................ 12.36 13.40 13.40
Class A............................................ 12.35 13.44 13.44
Class B............................................ 8.44 13.34 13.34
Unrealized appreciation.............................. 20,796 5,804 26,600
</TABLE>
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
----------------------------------------- --------------
PEGASUS MID CAP DIVERSIFIED DIVERSIFIED
OPPORTUNITY MID CAP MID CAP
FUND FUND FUND
-------------------- ------------------ --------------
<S> <C> <C> <C>
Shares............................................... 60,666 -- 60,666
Net assets........................................... $1,158,396 -- $1,158,396
Net asset value:
Class I............................................ 19.23 -- 19.23
Class A............................................ 19.12 -- 19.12
Class B............................................ 8.93 -- 8.93
Unrealized appreciation.............................. 279,698 -- 279,698
</TABLE>
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
----------------------------------------- --------------
PEGASUS LARGE COMPANY LARGE CAP
GROWTH GROWTH GROWTH
FUND FUND FUND
-------------------- ------------------ --------------
<S> <C> <C> <C>
Shares............................................... 57,006 112,233 153,039
Net assets........................................... $1,040,465 $2,857,472 $3,897,937
Net asset value:
Class I............................................ 18.26 25.41 25.41
Class A............................................ 18.20 26.12 26.12
Class B............................................ 17.71 25.25 25.25
Unrealized appreciation.............................. 440,128 1,159,202 1,599,331
</TABLE>
Continued
180
<PAGE> 183
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
----------------------------------------- --------------
PEGASUS
EQUITY INCOME EQUITY
INCOME EQUITY INCOME
FUND FUND FUND
-------------------- ------------------ --------------
<S> <C> <C> <C>
Shares............................................... 48,278 40,743 63,004
Net assets........................................... $520,041 $ 951,505 $1,471,546
Net asset value:
Class I............................................ 10.77 23.36 23.36
Class A............................................ 10.81 23.31 23.31
Class B............................................ 10.81 23.35 23.35
Class C............................................ -- 23.36 23.36
Unrealized appreciation.............................. 44,636 480,939 525,575
</TABLE>
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
----------------------------------------- --------------
PEGASUS VALUE DIVERSIFIED
GROWTH & VALUE GROWTH EQUITY
FUND FUND FUND
-------------------- ------------------ --------------
<S> <C> <C> <C>
Shares............................................... 99,661 63,546 167,613
Net assets........................................... $1,497,085 $ 913,820 $2,410,905
Net asset value:
Class I............................................ 15.11 14.39 14.39
Class A............................................ 15.10 14.37 14.37
Class B............................................ 8.08 14.21 14.21
Class C............................................ -- 14.30 14.30
Unrealized appreciation.............................. 339,726 252,416 592,142
</TABLE>
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
----------------------------------------- --------------
PEGASUS EQUITY EQUITY EQUITY
INDEX INDEX INDEX
FUND FUND FUND
-------------------- ------------------ --------------
<S> <C> <C> <C>
Shares............................................... 41,635 60,792 97,382
Net assets........................................... $1,102,256 $1,830,394 $2,932,650
Net asset value:
Class I............................................ 26.59 30.13 30.13
Class A............................................ 26.58 30.10 30.10
Class B............................................ 15.21 30.07 30.07
Class C............................................ -- 30.11 30.11
Unrealized appreciation.............................. 533,510 747,825 1,281,335
</TABLE>
Continued
181
<PAGE> 184
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
----------------------------------------- --------------
PEGASUS MARKET MARKET MARKET
EXPANSION EXPANSION EXPANSION
INDEX FUND INDEX FUND INDEX FUND
-------------------- ------------------ --------------
<S> <C> <C> <C>
Shares............................................... 2,480 -- 2,480
Net assets........................................... $23,239 -- $23,239
Net asset value:
Class I............................................ 9.37 -- 9.37
Class A............................................ 9.37 -- 9.37
Class B............................................ 9.32 -- 9.32
Unrealized appreciation.............................. 4,213 -- 4,213
</TABLE>
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
------------------------------------ --------------
PEGASUS DIVERSIFIED DIVERSIFIED
INTERNATIONAL EQUITY INTERNATIONAL INTERNATIONAL
FUND FUND FUND
-------------------- ------------- --------------
<S> <C> <C> <C>
Shares............................................... 43,389 -- 43,389
Net assets........................................... $ 626,584 -- $ 626,584
Net asset value:
Class I............................................ 14.45 -- 14.45
Class A............................................ 14.40 -- 14.40
Class B............................................ 13.47 -- 13.47
Unrealized appreciation.............................. 166,871 -- 166,871
</TABLE>
10. SPECIAL MEETING OF SHAREHOLDERS (UNAUDITED):
A Special Meeting of Shareholders of the One Group Mutual Funds was held on
May 17, 1999. At the meeting, shareholders voted and approved the following
proposals:
1. To elect the Board of Trustees of the One Group Mutual Funds.
<TABLE>
<CAPTION>
BROKER
FUND NAME FOR AGAINST ABSTAIN NON-VOTE
--------- ----------- ------- ------- --------
<S> <C> <C> <C> <C>
Small Cap Growth Fund........................... 11,938,906 -- 10,260 --
Mid Cap Growth Fund............................. 49,270,768 -- 99,549 --
Mid Cap Value Fund.............................. 52,969,533 -- 44,219 --
Large Cap Growth Fund........................... 95,204,165 -- 187,184 --
Large Cap Value Fund............................ 56,293,013 -- 16,281 --
Equity Income Fund.............................. 35,319,474 -- 46,683 --
Diversified Equity Fund......................... 56,993,364 -- 48,654 --
Balanced Fund................................... 27,260,765 -- 77,100 --
Equity Index Fund............................... 47,912,441 -- 141,782 --
International Equity Index Fund................. 35,862,485 -- 16,386 --
</TABLE>
Continued
182
<PAGE> 185
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
2. To ratify the selection of independent accountants.
<TABLE>
<CAPTION>
BROKER
FUND NAME FOR AGAINST ABSTAIN NON-VOTE
--------- ----------- ------- ------- --------
<S> <C> <C> <C> <C>
Small Cap Growth Fund........................... 11,936,586 4,599 7,981 --
Mid Cap Growth Fund............................. 49,216,452 24,357 129,507 --
Mid Cap Value Fund.............................. 52,953,636 38,776 21,339 --
Large Cap Growth Fund........................... 95,084,767 82,328 224,252 --
Large Cap Value Fund............................ 56,289,434 1,130 18,730 --
Equity Income Fund.............................. 35,226,208 32,814 107,135 --
Diversified Equity Fund......................... 56,891,314 12,333 138,370 --
Balanced Fund................................... 27,080,842 97,567 159,456 --
Equity Index Fund............................... 47,781,811 47,018 225,393 --
International Equity Index Fund................. 35,855,977 2,141 20,752 --
</TABLE>
3. To approve a change to a fundamental investment restriction by eliminating
language which prohibits the One Group Mutual Funds from participating on
a joint or a joint and several basis in any trading account in securities.
<TABLE>
<CAPTION>
BROKER
FUND NAME FOR AGAINST ABSTAIN NON-VOTE
--------- ----------- ------- ------- ----------
<S> <C> <C> <C> <C>
Small Cap Growth Fund......................... 11,238,806 8,305 16,875 685,181
Mid Cap Growth Fund........................... 42,864,862 47,958 83,546 6,373,951
Mid Cap Value Fund............................ 49,817,819 79,698 38,289 3,077,946
Large Cap Growth Fund......................... 81,571,974 139,352 267,201 13,412,822
Large Cap Value Fund.......................... 55,298,098 16,596 14,881 979,719
Equity Income Fund............................ 28,974,764 69,655 120,774 6,200,964
Diversified Equity Fund....................... 53,092,567 28,023 163,736 3,757,692
Balanced Fund................................. 17,688,647 135,748 162,552 9,350,918
Equity Index Fund............................. 33,863,444 111,680 221,908 13,857,191
International Equity Index Fund............... 34,609,736 12,627 25,541 1,230,967
</TABLE>
11. 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, 1999
(amounts in thousands):
<TABLE>
<CAPTION>
FUND AMOUNT
---- --------
<S> <C>
Small Cap Growth Fund....................................... $ 11,117
Small Cap Value Fund*....................................... 1,645
Mid Cap Growth Fund......................................... 120,718
Mid Cap Value Fund.......................................... 71,096
Diversified Mid Cap Fund*................................... 3,177
Large Cap Growth Fund....................................... 157,700
Large Cap Value Fund........................................ 41,791
Equity Income Fund.......................................... 66,354
Diversified Equity Fund..................................... 30,731
Balanced Fund............................................... 22,027
Equity Index Fund........................................... 41,714
Market Expansion Index Fund*................................ 688
International Equity Index Fund............................. 29,484
Diversified International Fund*............................. 0
</TABLE>
- ------------
* Amounts for six months ended June 30, 1999.
Continued
183
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One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 1999
On June 30, 1999 the following funds have capital loss carryforwards which are
available to offset future capital gains, if any (amounts in thousands):
<TABLE>
<CAPTION>
FUND 2006 2007 TOTAL
---- ------- ------- -------
<S> <C> <C> <C>
Small Cap Value Fund........................................ $ -- $11,564 $11,564
Mid Cap Value Fund.......................................... 6,250 -- 6,250
Diversified International Fund.............................. 12,177 -- 12,177
</TABLE>
Capital losses and currency 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 year. The following deferred losses will be treated as arising on the
first day of the fiscal year ended June 30, 2000 (amounts in thousands):
<TABLE>
<CAPTION>
FUND AMOUNT
---- ------
<S> <C>
International Equity Index Fund............................. $4,946
</TABLE>
ELIGIBLE DISTRIBUTIONS:
The Trust designates the following percentage of distributions eligible for the
dividends received deductions for corporations.
<TABLE>
<CAPTION>
FUND AMOUNT
---- -------
<S> <C>
Small Cap Growth Fund....................................... --%
Small Cap Value Fund*....................................... --%
Mid Cap Growth Fund......................................... 4.84%
Mid Cap Value Fund.......................................... 27.38%
Diversified Mid Cap Fund*................................... --%
Large Cap Growth Fund....................................... 32.74%
Large Cap Value Fund........................................ 60.10%
Equity Income Fund.......................................... 100.00%
Diversified Equity Fund..................................... 35.28%
Balanced Fund............................................... 15.60%
Equity Index Fund........................................... 18.23%
Market Expansion Index Fund*................................ 59.02%
International Equity Index Fund............................. --%
Diversified International Fund*............................. --%
</TABLE>
- ------------
* Amounts for six months ended June 30, 1999.
184
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- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SMALL CAP GROWTH FUND
-------------------------------------------
CLASS I SHARES
-------------------------------------------
MARCH 26,
YEAR ENDED JUNE 30, 1996 TO
------------------------------- JUNE 30,
1999 1998 1997 1996 (a)
-------- -------- ------- ---------
<S> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD...................................... $ 12.05 $ 10.94 $ 10.75 $ 10.00
-------- -------- ------- -------
Investment Activities:
Net investment income (loss)............................. -- -- (0.02) --
Net realized and unrealized gains (losses) from
investments............................................ (0.24) 2.44 1.31 0.78
-------- -------- ------- -------
Total from Investment Activities....................... (0.24) 2.44 1.29 0.78
-------- -------- ------- -------
Distributions:
Net realized gains....................................... (1.19) (1.33) (1.10) (0.03)
-------- -------- ------- -------
Total Distributions.................................... (1.19) (1.33) (1.10) (0.03)
-------- -------- ------- -------
NET ASSET VALUE, END OF PERIOD............................. $ 10.62 $ 12.05 $ 10.94 $ 10.75
======== ======== ======= =======
Total Return............................................... (0.72)% 23.58% 13.44% 13.39%(b)(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)........................ $130,974 $114,951 $78,318 $83,371
Ratio of expenses to average net assets.................. 1.06% 1.06% 1.02% 0.96%(d)
Ratio of net investment income to average net assets..... 0.00% (0.05)% (0.16)% (0.16)%(d)
Ratio of expenses to average net assets*................. 1.09% 1.09% 1.12% 1.05%(d)
Ratio of net investment income to average net assets*.... (0.03)% (0.08)% (0.26)% (0.25)%(d)
Portfolio turnover (e)................................... 127.83% 83.77% 92.01% 59.57%
</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 date reorganized as a fund of the One Group.
(b) Not annualized.
(c) Represents total return for Class A Shares from December 1, 1995 through
March 25, 1996 plus total return for Class I Shares for the period from
March 26, 1996 through June 30, 1996.
(d) Annualized.
(e) 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.
185
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- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SMALL CAP GROWTH FUND
------------------------------------------------------------------
CLASS A SHARES
------------------------------------------------------------------
SEVEN MONTHS YEAR ENDED
YEAR ENDED JUNE 30, ENDED NOVEMBER 30,
----------------------------- JUNE 30, ------------------
1999 1998 1997 1996 (a) 1995 1994
------- ------- ------- ------------ ------- -------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD..... $ 12.02 $ 10.94 $ 10.73 $ 11.50 $ 9.36 $ 10.11
------- ------- ------- ------- ------- -------
Investment Activities:
Net investment income (loss)........... (0.02) (0.03) (0.04) (0.07) (0.04) (0.04)
Net realized and unrealized gains
(losses) from investments............ (0.20) 2.44 1.35 1.40 2.35 (0.63)
------- ------- ------- ------- ------- -------
Total from Investment Activities..... (0.22) 2.41 1.31 1.33 2.31 (0.67)
------- ------- ------- ------- ------- -------
Distributions:
Net realized gains..................... (1.19) (1.33) (1.10) (2.10) (0.17) (0.08)
------- ------- ------- ------- ------- -------
Total Distributions.................. (1.19) (1.33) (1.10) (2.10) (0.17) (0.08)
------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD........... $ 10.61 $ 12.02 $ 10.94 $ 10.73 $ 11.50 $ 9.36
======= ======= ======= ======= ======= =======
Total Return (Excludes Sales Charge)..... (0.53)% 23.28% 13.52% 12.85%(b) 25.07% (6.66)%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)...... $22,081 $21,634 $17,299 $18,356 $95,467 $77,540
Ratio of expenses to average net
assets............................... 1.31% 1.31% 1.27% 1.05%(c) 1.03% 1.00%
Ratio of net investment income to
average net assets................... (0.24)% (0.31)% (0.41)% (0.33)%(c) (0.36)% (0.38)%
Ratio of expenses to average net
assets*.............................. 1.44% 1.44% 1.45% 1.07%(c) 1.03% 1.00%
Ratio of net investment income to
average net assets*.................. (0.37)% (0.44)% (0.59)% (0.35)%(c) (0.36)% (0.38)%
Portfolio turnover (d)................. 127.83% 83.77% 92.01% 59.57% 65.00% 51.00%
</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) Upon reorganizing as a fund of the One Group, the Paragon Gulf South Growth
Fund became the Gulf South Growth Fund. Financial highlights for the periods
prior to March 26, 1996 represents the Paragon Gulf South Growth Fund. The
per share data for the periods prior to March 26, 1996 have been restated to
reflect the impact of restatement of net asset value from $15.70 to $10.00
effective March 26, 1996.
(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.
186
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- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SMALL CAP GROWTH FUND
-------------------------------------------------------------------------------
CLASS B SHARES
-------------------------------------------------------------------------------
SEVEN MONTHS YEAR SEPTEMBER 12,
YEAR ENDED JUNE 30, ENDED ENDED 1994 TO
--------------------------------- JUNE 30, NOVEMBER 30, NOVEMBER 30,
1999 1998 1997 1996 (a) 1995 1994 (b)
------- ------ ------ ------------ ------------ -------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD........................ $ 11.79 $10.84 $10.72 $11.56 $ 9.47 $10.40
------- ------ ------ ------ ------ ------
Investment Activities:
Net investment income
(loss)...................... (0.06) (0.03) (0.10) (0.06) (0.07) (0.01)
Net realized and unrealized
gains (losses) from
investments................. (0.28) 2.31 1.32 1.35 2.33 (0.92)
------- ------ ------ ------ ------ ------
Total from Investment
Activities............... (0.34) 2.28 1.22 1.29 2.26 (0.93)
------- ------ ------ ------ ------ ------
Distributions:
Net realized gains............ (1.19) (1.33) (1.10) (2.13) (0.17) --
------- ------ ------ ------ ------ ------
Total Distributions......... (1.19) (1.33) (1.10) (2.13) (0.17) --
------- ------ ------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD.. $ 10.26 $11.79 $10.84 $10.72 $11.56 $ 9.47
======= ====== ====== ====== ====== ======
Total Return (Excludes Sales
Charge)....................... (1.69)% 22.24% 12.74% 12.47%(c) 24.21% (9.08)%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000)....................... $10,278 $8,567 $3,835 $2,545 $1,814 $ 231
Ratio of expenses to average
net assets.................. 2.06% 2.06% 2.02% 1.87%(d) 1.78% 1.75%(d)
Ratio of net investment income
to average net assets....... (1.00)% (1.02)% (1.16)% (1.10)%(d) (1.16)% (0.90)%(d)
Ratio of expenses to average
net assets*................. 2.09% 2.09% 2.12% 1.92%(d) 1.78% 1.75%(d)
Ratio of net investment income
to average net assets*...... (1.03)% (1.05)% (1.26)% (1.15)%(d) (1.16)% (0.90)%(d)
Portfolio turnover (e)........ 127.83% 83.77% 92.01% 59.57% 65.00% 51.00%
</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) Upon reorganizing as a fund of the One Group, the Paragon Gulf South Growth
Fund became the Gulf South Growth Fund. Financial highlights for the periods
prior to March 26, 1996 represents the Paragon Gulf South Growth Fund. The
per share data for the periods prior to March 26, 1996 have been restated to
reflect the impact of restatement of net asset value from $15.48 to $10.00
effective March 26, 1996.
(b) Period from commencement of operations.
(c) Not annualized.
(d) Annualized.
(e) 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.
187
<PAGE> 190
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SMALL CAP GROWTH FUND
----------------------
CLASS C SHARES
----------------------
YEAR NOVEMBER 4,
ENDED 1997 TO
JUNE 30, JUNE 30,
1999 1998 (a)
-------- -----------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $11.97 $13.03
------ ------
Investment Activities:
Net investment income (loss).............................. (0.08) (0.02)
Net realized and unrealized gains (losses) from
investments............................................ (0.27) 0.29
------ ------
Total from Investment Activities....................... (0.35) 0.27
------ ------
Distributions:
Net realized gains........................................ (1.19) (1.33)
------ ------
Total Distributions.................................... (1.19) (1.33)
------ ------
NET ASSET VALUE, END OF PERIOD.............................. $10.43 $11.97
====== ======
Total Return (Excludes Sales Charge)........................ (1.75)% 3.08%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $ 129 $ 90
Ratio of expenses to average net assets................... 2.06% 2.05%(c)
Ratio of net investment income to average net assets...... (1.02)% (0.85)%(c)
Ratio of expenses to average net assets*.................. 2.09% 2.07%(c)
Ratio of net investment income to average net assets*..... (1.05)% (0.87)%(c)
Portfolio turnover (d).................................... 127.83% 83.77%
</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.
188
<PAGE> 191
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SMALL CAP VALUE FUND
-----------------------------------------------------------
CLASS I SHARES
-----------------------------------------------------------
SIX MONTHS JANUARY 27,
ENDED YEAR ENDED DECEMBER 31, 1995 TO
JUNE 30, ------------------------------ DECEMBER 31,
1999 1998 1997 1996 1995 (a)
---------- -------- -------- -------- ------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........... $ 15.02 $ 16.22 $ 13.80 $ 12.19 $ 10.00
-------- -------- -------- -------- -------
Investment Activities:
Net investment income (loss)................. (0.02) (0.07) (0.05) (0.01) 0.06
Net realized and unrealized gains (losses)
from investments........................... (0.66) (0.60) 4.24 3.13 2.44
-------- -------- -------- -------- -------
Total from Investment Activities........... (0.68) (0.67) 4.19 3.12 2.50
-------- -------- -------- -------- -------
Distributions:
Net investment income........................ -- -- -- -- (0.06)
In excess of net investment income........... -- -- -- (0.01) --
Net realized gains........................... (0.08) (0.46) (1.77) (1.50) (0.25)
In excess of net realized gains.............. -- (0.07) -- -- --
-------- -------- -------- -------- -------
Total Distributions........................ (0.08) (0.53) (1.77) (1.51) (0.31)
-------- -------- -------- -------- -------
NET ASSET VALUE, END OF PERIOD................. $ 14.26 $ 15.02 $ 16.22 $ 13.80 $ 12.19
======== ======== ======== ======== =======
Total Return................................... (4.48)%(b) (4.11)% 30.60% 25.63% 25.08%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)............ $246,712 $276,754 $217,908 $125,840 $92,926
Ratio of expenses to average net assets...... 0.94%(c) 0.94% 0.93% 0.88% 0.85%(c)
Ratio of net investment income to average net
assets..................................... (0.35)%(c) (0.48)% (0.43)% (0.04)% 0.59%(c)
Ratio of expenses to average net assets*..... 1.03%(c) 0.94% 0.93% 1.02% 1.09%(c)
Ratio of net investment income to average net
assets*.................................... (0.44)%(c) (0.48)% (0.43)% (0.18)% 0.35%(c)
Portfolio turnover (d)....................... 50.90% 42.39% 58.29% 93.82% 38.89%
</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.
189
<PAGE> 192
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SMALL CAP VALUE FUND
----------------------------------------------------------
CLASS A SHARES
----------------------------------------------------------
SIX MONTHS JANUARY 27,
ENDED YEAR ENDED DECEMBER 31, 1995 TO
JUNE 30, ---------------------------- DECEMBER 31,
1999 1998 1997 1996 1995 (a)
---------- ------- ------- ------ ------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD.......... $ 14.81 $ 16.03 $ 13.70 $12.20 $10.00
------- ------- ------- ------ ------
Investment Activities:
Net investment income (loss)................ (0.05) (0.10) (0.06) (0.02) 0.02
Net realized and unrealized gains (losses)
from investments.......................... (0.64) (0.59) 4.16 3.02 2.45
------- ------- ------- ------ ------
Total from Investment Activities.......... (0.69) (0.69) 4.10 3.00 2.47
------- ------- ------- ------ ------
Distributions:
Net investment income....................... -- -- -- -- (0.02)
Net realized gains.......................... (0.08) (0.46) (1.77) (1.50) (0.25)
In excess of net realized gains............. -- (0.07) -- -- --
------- ------- ------- ------ ------
Total Distributions....................... (0.08) (0.53) (1.77) (1.50) (0.27)
------- ------- ------- ------ ------
NET ASSET VALUE, END OF PERIOD................ $ 14.04 $ 14.81 $ 16.03 $13.70 $12.20
======= ======= ======= ====== ======
Total Return (Excludes Sales Charge).......... (4.61)%(b) (4.29)% 30.16% 24.59% 24.80%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)........... $26,592 $32,217 $21,836 $6,697 $ 672
Ratio of expenses to average net assets..... 1.17%(c) 1.19% 1.18% 1.13% 1.25%(c)
Ratio of net investment income to average
net assets................................ (0.58)%(c) (0.73)% (0.68)% (0.29)% 0.19%(c)
Ratio of expenses to average net assets*.... 1.29%(c) 1.19% 1.18% 1.24% 2.56%(c)
Ratio of net investment income to average
net assets*............................... (0.70)%(c) (0.73)% (0.68)% (0.40)% (1.12)%(c)
Portfolio turnover (d)...................... 50.90% 42.39% 58.29% 93.82% 38.89%
</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.
190
<PAGE> 193
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SMALL CAP VALUE FUND
-----------------------------------------------------
CLASS B SHARES
-----------------------------------------------------
SIX MONTHS JANUARY 27,
ENDED YEAR ENDED DECEMBER 31, 1995 TO
JUNE 30, ------------------------ DECEMBER 31,
1999 1998 1997 1996 1995 (a)
---------- ------ ------ ------ ------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD................. $14.41 $15.74 $13.58 $12.12 $10.00
------ ------ ------ ------ ------
Investment Activities:
Net investment income.............................. (0.11) (0.17) (0.07) (0.04) (0.03)
Net realized and unrealized gains (losses) from
investments...................................... (0.59) (0.63) 4.00 3.00 2.40
------ ------ ------ ------ ------
Total from Investment Activities................. (0.70) (0.80) 3.93 2.96 2.37
------ ------ ------ ------ ------
Distributions:
Net realized gains................................. (0.08) (0.46) (1.77) (1.50) (0.25)
In excess of net realized gains.................... -- (0.07) -- -- --
------ ------ ------ ------ ------
Total Distributions.............................. (0.08) (0.53) (1.77) (1.50) (0.25)
------ ------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD....................... $13.63 $14.41 $15.74 $13.58 $12.12
====== ====== ====== ====== ======
Total Return (Excludes Sales Charge)................. (4.81)%(b) (5.11)% 29.17% 24.42% 23.76%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000).................. $3,320 $4,014 $1,799 $ 110 $ 15
Ratio of expenses to average net assets............ 1.94%(c) 1.94% 1.93% 1.88% 2.00%(c)
Ratio of net investment income to average net
assets........................................... (1.34)%(c) (1.48)% (1.43)% (1.04)% (0.51)%(c)
Ratio of expenses to average net assets*........... 2.02%(c) 1.94% 1.93% 3.04% 9.52%(c)
Ratio of net investment income to average net
assets*.......................................... (1.42)%(c) (1.48)% (1.43)% (2.20)% (8.03)%(c)
Portfolio turnover (d)............................. 50.90% 42.39% 58.29% 93.82% 38.89%
</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.
191
<PAGE> 194
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SMALL CAP VALUE FUND
--------------------
CLASS C SHARES
--------------------
MARCH 22,
1999 TO
JUNE 30,
1999 (a)
--------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $12.07
------
Investment Activities:
Net realized and unrealized gains (losses) from
investments............................................ 1.53
------
Total from Investment Activities....................... 1.53
------
Distributions:
Total Distributions.................................... --
------
NET ASSET VALUE, END OF PERIOD.............................. $13.60
======
Total Return (Excludes Sales Charge)........................ 12.68%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $ 19
Ratio of expenses to average net assets................... 1.94%(c)
Ratio of net investment income to average net assets...... (1.13)%(c)
Ratio of expenses to average net assets*.................. 2.11%(c)
Ratio of net investment income to average net assets*..... (1.30)%(c)
Portfolio turnover (d).................................... 50.90%
</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.
192
<PAGE> 195
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One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MID CAP GROWTH FUND
------------------------------------------------------
CLASS I SHARES
------------------------------------------------------
YEAR ENDED JUNE 30,
------------------------------------------------------
1999 1998 1997 1996 1995
---------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD................. $ 22.51 $ 19.46 $ 18.81 $ 18.40 $ 15.96
---------- -------- -------- -------- --------
Investment Activities:
Net investment income (loss)....................... (0.07) (0.07) 0.25 0.20 0.06
Net realized and unrealized gains (losses) from
investments...................................... 5.58 5.70 3.59 3.83 2.98
---------- -------- -------- -------- --------
Total from Investment Activities................. 5.51 5.63 3.84 4.03 3.04
---------- -------- -------- -------- --------
Distributions:
Net investment income.............................. -- -- (0.25) (0.20) (0.06)
In excess of net investment income................. -- -- (0.02) -- --
Net realized gains................................. (2.70) (2.58) (2.92) (3.42) (0.54)
---------- -------- -------- -------- --------
Total Distributions.............................. (2.70) (2.58) (3.19) (3.62) (0.60)
---------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD....................... $ 25.32 $ 22.51 $ 19.46 $ 18.81 $ 18.40
========== ======== ======== ======== ========
Total Return......................................... 28.39% 31.11% 22.75% 24.63% 19.75%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000).................. $1,164,884 $868,901 $623,911 $532,525 $413,518
Ratio of expenses to average net assets............ 0.99% 1.00% 0.99% 1.00% 0.98%
Ratio of net investment income to average net
assets........................................... (0.35)% (0.36)% 1.32% 1.15% 0.38%
Ratio of expenses to average net assets*........... 0.99% 1.00% 0.99% 1.01% 0.98%
Ratio of net investment income to average net
assets*.......................................... (0.35)% (0.36)% 1.32% 1.14% 0.38%
Portfolio turnover (a)............................. 141.46% 158.43% 301.35% 435.30% 132.63%
</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.
193
<PAGE> 196
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MID CAP GROWTH FUND
------------------------------------------------
CLASS A SHARES
------------------------------------------------
YEAR ENDED JUNE 30,
------------------------------------------------
1999 1998 1997 1996 1995
-------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD...................... $ 22.36 $ 19.37 $ 18.76 $ 18.36 $ 15.93
-------- ------- ------- ------- -------
Investment Activities:
Net investment income (loss)............................ (0.10) (0.08) 0.21 0.17 0.02
Net realized and unrealized gains (losses) from
investments........................................... 5.46 5.65 3.58 3.80 2.98
-------- ------- ------- ------- -------
Total from Investment Activities...................... 5.36 5.57 3.79 3.97 3.00
-------- ------- ------- ------- -------
Distributions:
Net investment income................................... -- -- (0.24) (0.15) (0.01)
In excess of net investment income...................... -- -- (0.02) -- (0.02)
Net realized gains...................................... (2.70) (2.58) (2.92) (3.42) (0.54)
-------- ------- ------- ------- -------
Total Distributions................................... (2.70) (2.58) (3.18) (3.57) (0.57)
-------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD............................ $ 25.02 $ 22.36 $ 19.37 $ 18.76 $ 18.36
======== ======= ======= ======= =======
Total Return (Excludes Sales Charge)...................... 27.87% 30.95% 22.52% 24.32% 19.50%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)....................... $159,292 $95,647 $43,370 $28,052 $11,178
Ratio of expenses to average net assets................. 1.24% 1.25% 1.25% 1.25% 1.23%
Ratio of net investment income to average net assets.... (0.60)% (0.60)% 0.92% 0.90% 0.12%
Ratio of expenses to average net assets*................ 1.34% 1.35% 1.34% 1.36% 1.33%
Ratio of net investment income to average net assets*... (0.70)% (0.70)% 0.83% 0.79% 0.02%
Portfolio turnover (a).................................. 141.46% 158.43% 301.35% 435.30% 132.63%
</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.
194
<PAGE> 197
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MID CAP GROWTH FUND
-----------------------------------------------
CLASS B SHARES
-----------------------------------------------
YEAR ENDED JUNE 30,
-----------------------------------------------
1999 1998 1997 1996 1995
-------- ------- ------- ------- ------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD....................... $ 21.44 $ 18.82 $ 18.43 $ 18.14 $15.85
-------- ------- ------- ------- ------
Investment Activities:
Net investment income (loss)............................. (0.18) (0.15) 0.11 0.09 (0.07)
Net realized and unrealized gains (losses) from
investments............................................ 5.11 5.35 3.44 3.69 2.90
-------- ------- ------- ------- ------
Total from Investment Activities....................... 4.93 5.20 3.55 3.78 2.83
-------- ------- ------- ------- ------
Distributions:
Net investment income.................................... -- -- (0.22) (0.07) --
In excess of net investment income....................... -- -- (0.02) -- --
Net realized gains....................................... (2.70) (2.58) (2.92) (3.42) (0.54)
-------- ------- ------- ------- ------
Total Distributions.................................... (2.70) (2.58) (3.16) (3.49) (0.54)
-------- ------- ------- ------- ------
NET ASSET VALUE, END OF PERIOD............................. $ 23.67 $ 21.44 $ 18.82 $ 18.43 $18.14
======== ======= ======= ======= ======
Total Return (Excludes Sales Charge)....................... 26.96% 29.79% 21.73% 23.53% 18.47%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)........................ $147,600 $90,930 $37,409 $12,910 $2,787
Ratio of expenses to average net assets.................. 1.99% 2.00% 2.00% 2.00% 1.98%
Ratio of net investment income to average net assets..... (1.35)% (1.35)% 0.01% 0.15% (0.63)%
Ratio of expenses to average net assets*................. 1.99% 2.00% 2.00% 2.01% 1.98%
Ratio of net investment income to average net assets*.... (1.35)% (1.35)% 0.01% 0.14% (0.63)%
Portfolio turnover (a)................................... 141.46% 158.43% 301.35% 435.30% 132.63%
</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.
195
<PAGE> 198
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MID CAP GROWTH FUND
------------------------
CLASS C SHARES
------------------------
YEAR NOVEMBER 4,
ENDED 1997 TO
JUNE 30, JUNE 30,
1999 1998 (a)
-------- -----------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 22.42 $ 21.47
------- -------
Investment Activities:
Net investment income (loss).............................. (0.15) (0.04)
Net realized and unrealized gains (losses) from
investments............................................. 5.47 2.77
------- -------
Total from Investment Activities........................ 5.32 2.73
------- -------
Distributions:
Net realized gains........................................ (2.70) (1.78)
------- -------
Total Distributions..................................... (2.70) (1.78)
------- -------
NET ASSET VALUE, END OF PERIOD.............................. $ 25.04 $ 22.42
======= =======
Total Return (Excludes Sales Charge)........................ 27.57% 14.27%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $16,597 $ 1,088
Ratio of expenses to average net assets................... 1.99% 2.01%(c)
Ratio of net investment income to average net assets...... (1.32)% (1.31)%(c)
Portfolio turnover (d).................................... 141.46% 158.43%
</TABLE>
- ------------
(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.
196
<PAGE> 199
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MID CAP VALUE FUND
------------------------------------------------------
CLASS I SHARES
------------------------------------------------------
YEAR ENDED JUNE 30,
------------------------------------------------------
1999 1998 1997 1996 1995
---------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD............... $ 16.90 $ 15.65 $ 14.69 $ 13.20 $ 11.90
---------- -------- -------- -------- --------
Investment Activities:
Net investment income (loss)..................... 0.13 0.14 0.22 0.29 0.28
Net realized and unrealized gains (losses) from
investments.................................... 0.24 3.99 2.57 2.27 1.57
---------- -------- -------- -------- --------
Total from Investment Activities............... 0.37 4.13 2.79 2.56 1.85
---------- -------- -------- -------- --------
Distributions:
Net investment income............................ (0.13) (0.14) (0.22) (0.29) (0.27)
Net realized gains............................... (2.26) (2.74) (1.61) (0.78) (0.28)
---------- -------- -------- -------- --------
Total Distributions............................ (2.39) (2.88) (1.83) (1.07) (0.55)
---------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD..................... $ 14.88 $ 16.90 $ 15.65 $ 14.69 $ 13.20
========== ======== ======== ======== ========
Total Return....................................... 3.82% 28.27% 20.56% 20.10% 16.03%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)................ $1,057,827 $634,672 $562,302 $522,474 $448,530
Ratio of expenses to average net assets.......... 0.95% 0.96% 0.98% 0.99% 1.00%
Ratio of net investment income to average net
assets......................................... 0.94% 0.85% 1.52% 2.04% 2.21%
Ratio of expenses to average net assets*......... 0.96% 0.96% 0.98% 1.00% 1.10%
Ratio of net investment income to average net
assets*........................................ 0.93% 0.85% 1.52% 2.03% 2.11%
Portfolio turnover (a)........................... 115.65% 106.41% 92.66% 90.55% 176.66%
</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.
197
<PAGE> 200
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MID CAP VALUE FUND
------------------------------------------------
CLASS A SHARES
------------------------------------------------
YEAR ENDED JUNE 30,
------------------------------------------------
1999 1998 1997 1996 1995
-------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD..................... $ 16.93 $ 15.68 $ 14.72 $ 13.22 $ 11.91
-------- ------- ------- ------- -------
Investment Activities:
Net investment income (loss)........................... 0.09 0.10 0.19 0.25 0.24
Net realized and unrealized gains (losses) from
investments.......................................... 0.26 3.99 2.57 2.28 1.59
-------- ------- ------- ------- -------
Total from Investment Activities..................... 0.35 4.09 2.76 2.53 1.83
-------- ------- ------- ------- -------
Distributions:
Net investment income.................................. (0.09) (0.10) (0.19) (0.25) (0.24)
Net realized gains..................................... (2.26) (2.74) (1.61) (0.78) (0.26)
In excess of net realized gains........................ -- -- -- -- (0.02)
-------- ------- ------- ------- -------
Total Distributions.................................. (2.35) (2.84) (1.80) (1.03) (0.52)
-------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD........................... $ 14.93 $ 16.93 $ 15.68 $ 14.72 $ 13.22
======== ======= ======= ======= =======
Total Return (Excludes Sales Charge)..................... 3.70% 27.90% 20.21% 19.80% 15.43%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)...................... $122,392 $29,443 $23,909 $20,838 $13,560
Ratio of expenses to average net assets................ 1.21% 1.21% 1.23% 1.24% 1.26%
Ratio of net investment income to average net assets... 0.28% 0.60% 1.26% 1.79% 1.99%
Ratio of expenses to average net assets*............... 1.31% 1.31% 1.31% 1.35% 1.36%
Ratio of net investment income to average net
assets*.............................................. 0.18% 0.50% 1.18% 1.68% 1.89%
Portfolio turnover (a)................................. 115.65% 106.41% 92.66% 90.55% 176.66%
</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.
198
<PAGE> 201
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MID CAP VALUE FUND
-----------------------------------------------
CLASS B SHARES
-----------------------------------------------
YEAR ENDED JUNE 30,
-----------------------------------------------
1999 1998 1997 1996 1995
------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD...................... $ 16.85 $ 15.64 $ 14.69 $ 13.19 $ 11.90
------- ------- ------- ------- -------
Investment Activities:
Net investment income (loss)............................ -- (0.02) 0.08 0.15 0.15
Net realized and unrealized gains (losses) from
investments........................................... 0.22 3.98 2.55 2.27 1.58
------- ------- ------- ------- -------
Total from Investment Activities...................... 0.22 3.96 2.63 2.42 1.73
------- ------- ------- ------- -------
Distributions:
Net investment income................................... (0.01) (0.01) (0.07) (0.14) (0.15)
In excess of net investment income...................... -- -- -- -- (0.01)
Net realized gains...................................... (2.26) (2.74) (1.61) (0.78) (0.28)
------- ------- ------- ------- -------
Total Distributions................................... (2.27) (2.75) (1.68) (0.92) (0.44)
------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD............................ $ 14.80 $ 16.85 $ 15.64 $ 14.69 $ 13.19
======= ======= ======= ======= =======
Total Return (Excludes Sales Charge)...................... 2.76% 26.97% 19.19% 18.93% 14.92%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)....................... $41,380 $30,094 $20,499 $16,305 $11,222
Ratio of expenses to average net assets................. 1.95% 1.96% 1.98% 1.99% 2.00%
Ratio of net investment income to average net assets.... (0.25)% (0.15)% 0.51% 1.04% 1.26%
Ratio of expenses to average net assets*................ 1.96% 1.96% 1.98% 2.00% 2.01%
Ratio of net investment income to average net assets*... (0.26)% (0.15)% 0.51% 1.03% 1.25%
Portfolio turnover (a).................................. 115.65% 106.41% 92.66% 90.55% 176.66%
</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.
199
<PAGE> 202
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MID CAP VALUE FUND
------------------
CLASS C SHARES
------------------
MARCH 22,
1999 TO
JUNE 30,
1999 (a)
------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $13.34
------
Investment Activities:
Net realized and unrealized gains (losses) from
investments............................................ 1.46
------
Total from Investment Activities....................... 1.46
------
Distributions:
Total Distributions.................................... --
------
NET ASSET VALUE, END OF PERIOD.............................. $14.80
======
Total Return (Excludes Sales Charge)........................ 10.98%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $ 48
Ratio of expenses to average net assets................... 1.95%(c)
Ratio of net investment income to average net assets...... (0.44)%(c)
Ratio of expenses to average net assets*.................. 1.96%(c)
Ratio of net investment income to average net assets*..... (0.45)%(c)
Portfolio turnover (d).................................... 115.65%
</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.
200
<PAGE> 203
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED MID CAP FUND
--------------------------------------------------------------------
CLASS I SHARES
--------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
JUNE 30, ----------------------------------------------------
1999 1998 1997 1996 1995 1994
------------ -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD...... $ 20.46 $ 20.93 $ 17.61 $ 15.15 $ 13.34 $ 14.49
-------- -------- -------- -------- -------- --------
Investment Activities:
Net investment income (loss)............ (0.01) (0.01) 0.01 0.04 0.06 0.07
Net realized and unrealized gains
(losses) from investments............. 1.70 0.93 4.88 3.74 2.57 (0.54)
-------- -------- -------- -------- -------- --------
Total from Investment Activities...... 1.69 0.92 4.89 3.78 2.63 (0.47)
-------- -------- -------- -------- -------- --------
Distributions:
Net investment income................... -- -- (0.01) (0.04) (0.06) (0.07)
Net realized gains...................... (0.05) (1.39) (1.56) (1.28) (0.76) (0.49)
In excess of net realized gains......... -- -- -- -- -- (0.02)
Return of Capital....................... -- -- -- -- -- (0.10)
-------- -------- -------- -------- -------- --------
Total Distributions................... (0.05) (1.39) (1.57) (1.32) (0.82) (0.68)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD............ $ 22.10 $ 20.46 $ 20.93 $ 17.61 $ 15.15 $ 13.34
======== ======== ======== ======== ======== ========
Total Return.............................. 8.32%(a) 4.61% 27.91% 25.03% 19.88% (3.27)%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)....... $987,059 $987,256 $803,670 $677,608 $579,094 $460,673
Ratio of expenses to average net
assets................................ 0.90%(b) 0.90% 0.84% 0.81% 0.89% 0.90%
Ratio of net investment income to
average net assets.................... (0.09)%(b) (0.08)% 0.05% 0.24% 0.37% 0.53%
Ratio of expenses to average net
assets*............................... 0.97%(b) 0.90% 0.84% 0.81% 0.89% 0.90%
Ratio of net investment income to
average net assets*................... (0.16)%(b) (0.08)% 0.05% 0.24% 0.37% 0.53%
Portfolio turnover (c).................. 23.53% 26.89% 37.54%(d) 34.87% 53.55% 37.51%
</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) Not annualized.
(b) Annualized.
(c) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
(d) The Portfolio Turnover Percentage was adjusted for Redemptions In-Kind for
shareholders that took place during 1997. The Fund's securities sales were
appropriately reduced by the fair market value of the Redemptions In-Kind.
The Redemptions In-Kind for the Fund was approximately $4 million.
See notes to financial statements.
201
<PAGE> 204
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED MID CAP FUND
-----------------------------------------------------------------
CLASS A SHARES
-----------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
JUNE 30, -------------------------------------------------
1999 1998 1997 1996 1995 1994
------------ -------- -------- ------- ------- -------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE BEGINNING OF PERIOD...... $ 20.35 $ 20.89 $ 17.61 $ 15.15 $ 13.34 $ 14.49
-------- -------- -------- ------- ------- -------
Investment Activities:
Net investment income (loss)........... (0.04) (0.07) (0.03) 0.02 0.06 0.07
Net realized and unrealized gains
(losses) from investments............ 1.70 0.92 4.87 3.74 2.57 (0.54)
-------- -------- -------- ------- ------- -------
Total from Investment Activities..... 1.66 0.85 4.84 3.76 2.63 (0.47)
-------- -------- -------- ------- ------- -------
Distributions:
Net investment income.................. -- -- -- (0.02) (0.06) (0.07)
Net realized gains..................... (0.05) (1.39) (1.56) (1.28) (0.76) (0.49)
In excess of net realized gains........ -- -- -- -- -- (0.02)
Return of Capital...................... -- -- -- -- -- (0.10)
-------- -------- -------- ------- ------- -------
Total Distributions.................. (0.05) (1.39) (1.56) (1.30) (0.82) (0.68)
-------- -------- -------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD........... $ 21.96 $ 20.35 $ 20.89 $ 17.61 $ 15.15 $ 13.34
======== ======== ======== ======= ======= =======
Total Return (Excludes Sales Charge)..... 8.21%(a) 4.30% 27.56% 24.91% 19.88% (3.27)%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)...... $242,528 $278,279 $234,020 $91,516 $71,858 $64,326
Ratio of expenses to average net
assets............................... 1.10%(b) 1.15% 1.09% 0.93% 0.89% 0.90%
Ratio of net investment income to
average net assets................... (0.30)%(b) (0.33)% (0.20)% 0.12% 0.37% 0.53%
Ratio of expenses to average net
assets*.............................. 1.22%(b) 1.15% 1.09% 0.93% 0.89% 0.90%
Ratio of net investment income to
average net assets*.................. (0.42)%(b) (0.33)% (0.20)% 0.12% 0.37% 0.53%
Portfolio turnover (c)................. 23.53% 26.89% 37.54%(d) 34.87% 53.55% 37.51%
</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) Not annualized.
(b) Annualized.
(c) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
(d) The Portfolio Turnover Percentage was adjusted for Redemptions In-Kind for
shareholders that took place during 1997. The Fund's securities sales were
appropriately reduced by the fair market value of the Redemptions In-Kind.
The Redemptions In-Kind for the Fund was approximately $4 million.
See notes to financial statements.
202
<PAGE> 205
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED MID CAP FUND
------------------------------------------------
CLASS B SHARES
------------------------------------------------
SIX MONTHS YEAR ENDED SEPTEMBER 23,
ENDED DECEMBER 31, 1996 TO
JUNE 30, ---------------- DECEMBER 31,
1999 1998 1997 1996 (a)
----------- ------ ------ --------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD................... $ 9.55 $10.58 $ 9.57 $10.00
------ ------ ------ ------
Investment Activities:
Net investment income (loss)......................... (0.07) (0.09) (0.03) --
Net realized and unrealized gains (losses) from
investments........................................ 0.80 0.45 2.60 0.79
------ ------ ------ ------
Total from Investment Activities................... 0.73 0.36 2.57 0.79
------ ------ ------ ------
Distributions:
Net investment income................................ -- -- -- (0.01)
Net realized gains................................... (0.05) (1.39) (1.56) (1.21)
------ ------ ------ ------
Total Distributions................................ (0.05) (1.39) (1.56) (1.22)
------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD......................... $10.23 $ 9.55 $10.58 $ 9.57
====== ====== ====== ======
Total Return (Excludes Sales Charge)................... 7.76%(b) 3.79% 27.10% 7.94%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000).................... $6,283 $7,108 $3,965 $ 154
Ratio of expenses to average net assets.............. 1.88%(c) 1.90% 1.84% 1.81%(c)
Ratio of net investment income to average net
assets............................................. (1.08)%(c) (1.08)% (0.95)% (0.59)%(c)
Ratio of expenses to average net assets*............. 1.95%(c) 1.90% 1.84% 1.81%(c)
Ratio of net investment income to average net
assets*............................................ (1.15)%(c) (1.08)% (0.95)% (0.59)%(c)
Portfolio turnover (d)............................... 23.53% 26.89% 37.54%(e) 34.87%
</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.
(e) The Portfolio Turnover Percentage was adjusted for Redemptions In-Kind for
shareholders that took place during 1997. The Fund's securities sales were
appropriately reduced by the fair market value of the Redemptions In-Kind.
The Redemptions In-Kind for the Fund was approximately $4 million.
See notes to financial statements.
203
<PAGE> 206
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED MID CAP FUND
------------------------
CLASS C SHARES
------------------------
MARCH 22,
1999 TO
JUNE 30,
1999 (a)
------------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 8.93
------
Investment Activities:
Net realized and unrealized gains (losses) from
investments............................................. 1.30
------
Total from Investment Activities........................ 1.30
------
Distributions:
------
Total Distributions..................................... --
------
NET ASSET VALUE, END OF PERIOD.............................. $10.23
======
Total Return (Excludes Sales Charge)........................ 14.56%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $ 15
Ratio of expenses to average net assets................... 1.88%(c)
Ratio of net investment income to average net assets...... (1.20)%(c)
Ratio of expenses to average net assets*.................. 1.99%(c)
Ratio of net investment income to average net assets*..... (1.31)%(c)
Portfolio turnover (d).................................... 23.53%
</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.
204
<PAGE> 207
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LARGE CAP GROWTH FUND
--------------------------------------------------------------
CLASS I SHARES
--------------------------------------------------------------
YEAR ENDED JUNE 30,
--------------------------------------------------------------
1999 1998 1997 1996 1995
---------- ---------- ---------- -------- --------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD... $ 22.71 $ 19.44 $ 15.44 $ 13.47 $ 11.32
---------- ---------- ---------- -------- --------
Investment Activities:
Net investment income (loss)......... -- 0.04 0.12 0.18 0.20
Net realized and unrealized gains
(losses) from investments......... 5.80 6.13 4.79 2.14 3.04
---------- ---------- ---------- -------- --------
Total from Investment
Activities...................... 5.80 6.17 4.91 2.32 3.24
---------- ---------- ---------- -------- --------
Distributions:
Net investment income................ -- (0.02) (0.11) (0.18) (0.20)
Net realized gains................... (2.36) (2.88) (0.80) (0.17) (0.89)
---------- ---------- ---------- -------- --------
Total Distributions............... (2.36) (2.90) (0.91) (0.35) (1.09)
---------- ---------- ---------- -------- --------
NET ASSET VALUE, END OF PERIOD......... $ 26.15 $ 22.71 $ 19.44 $ 15.44 $ 13.47
========== ========== ========== ======== ========
Total Return........................... 28.78% 35.75% 33.11% 17.36% 21.85%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000).... $3,052,729 $1,510,521 $1,142,864 $745,986 $531,595
Ratio of expenses to average net
assets............................ 0.96% 0.99% 0.99% 0.96% 1.00%
Ratio of net investment income to
average net assets................ 0.07% 0.21% 0.69% 1.20% 1.72%
Ratio of expenses to average net
assets*........................... 0.96% 0.99% 0.99% 0.99% 1.00%
Ratio of net investment income to
average net assets*............... 0.07% 0.21% 0.69% 1.17% 1.72%
Portfolio turnover (a)............... 86.34% 117.34% 57.17% 35.51% 14.22%
</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.
205
<PAGE> 208
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LARGE CAP GROWTH FUND
------------------------------------------------------
CLASS A SHARES
------------------------------------------------------
YEAR ENDED JUNE 30,
------------------------------------------------------
1999 1998 1997 1996 1995
-------- -------- -------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD......... $ 23.32 $ 19.92 $ 15.83 $ 13.83 $ 11.62
-------- -------- -------- ------- -------
Investment Activities:
Net investment income (loss)............... (0.07) (0.01) 0.08 0.14 0.17
Net realized and unrealized gains (losses)
from investments........................ 5.97 6.30 4.88 2.17 3.10
-------- -------- -------- ------- -------
Total from Investment Activities........ 5.90 6.29 4.96 2.31 3.27
-------- -------- -------- ------- -------
Distributions:
Net investment income...................... -- -- (0.07) (0.14) (0.16)
In excess of net investment income......... -- (0.01) -- -- (0.01)
Net realized gains......................... (2.36) (2.88) (0.80) (0.17) (0.89)
-------- -------- -------- ------- -------
Total Distributions..................... (2.36) (2.89) (0.87) (0.31) (1.06)
-------- -------- -------- ------- -------
NET ASSET VALUE, END OF PERIOD............... $ 26.86 $ 23.32 $ 19.92 $ 15.83 $ 13.83
======== ======== ======== ======= =======
Total Return (Excludes Sales Charge)......... 28.43% 35.43% 32.57% 16.85% 21.52%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000).......... $447,209 $199,052 $125,910 $75,114 $27,428
Ratio of expenses to average net assets.... 1.21% 1.24% 1.24% 1.21% 1.26%
Ratio of net investment income to average
net assets.............................. (0.43)% (0.04)% 0.44% 0.95% 1.49%
Ratio of expenses to average net assets*... 1.31% 1.34% 1.32% 1.34% 1.36%
Ratio of net investment income to average
net assets*............................. (0.53)% (0.14)% 0.36% 0.82% 1.39%
Portfolio turnover (a)..................... 86.34% 117.34% 57.17% 35.51% 14.22%
</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.
206
<PAGE> 209
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LARGE CAP GROWTH FUND
-----------------------------------------------------
CLASS B SHARES
-----------------------------------------------------
YEAR ENDED JUNE 30,
-----------------------------------------------------
1999 1998 1997 1996 1995
-------- -------- -------- ------- ------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD................ $ 22.73 $ 19.61 $ 15.63 $ 13.63 $11.47
-------- -------- -------- ------- ------
Investment Activities:
Net investment income (loss)...................... (0.09) (0.10) (0.04) 0.05 0.09
Net realized and unrealized gains (losses) from
investments..................................... 5.64 6.10 4.82 2.17 3.06
-------- -------- -------- ------- ------
Total from Investment Activities................ 5.55 6.00 4.78 2.22 3.15
-------- -------- -------- ------- ------
Distributions:
Net investment income............................. -- -- -- (0.05) (0.09)
In excess of net investment income................ -- -- -- -- (0.01)
Net realized gains................................ (2.36) (2.88) (0.80) (0.17) (0.89)
-------- -------- -------- ------- ------
Total Distributions............................. (2.36) (2.88) (0.80) (0.22) (0.99)
-------- -------- -------- ------- ------
NET ASSET VALUE, END OF PERIOD...................... $ 25.92 $ 22.73 $ 19.61 $ 15.63 $13.63
======== ======== ======== ======= ======
Total Return (Excludes Sales Charge)................ 27.54% 34.39% 31.74% 16.41% 20.65%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)................. $617,672 $280,563 $132,268 $56,261 $6,918
Ratio of expenses to average net assets........... 1.96% 1.99% 2.00% 1.96% 2.01%
Ratio of net investment income to average net
assets.......................................... (0.98)% (0.80)% (0.33)% 0.20% 0.74%
Ratio of expenses to average net assets*.......... 1.96% 1.99% 2.00% 1.99% 2.01%
Ratio of net investment income to average net
assets*......................................... (0.98)% (0.80)% (0.33)% 0.17% 0.74%
Portfolio turnover (a)............................ 86.34% 117.34% 57.17% 35.51% 14.22%
</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.
207
<PAGE> 210
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LARGE CAP GROWTH FUND
--------------------------
CLASS C SHARES
--------------------------
YEAR NOVEMBER 4,
ENDED 1997 TO
JUNE 30, JUNE 30,
1999 1998 (a)
------------ -----------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $22.57 $ 18.98
------ -------
Investment Activities:
Net investment income (loss).............................. (0.04) (0.06)
Net realized and unrealized gains (losses) from
investments............................................ 5.54 4.99
------ -------
Total from Investment Activities....................... 5.50 4.93
------ -------
Distributions:
Net realized gains........................................ (2.36) (1.34)
------ -------
Total Distributions.................................... (2.36) (1.34)
------ -------
NET ASSET VALUE, END OF PERIOD.............................. $25.71 $ 22.57
====== =======
Total Return (Excludes Sales Charge)........................ 27.52% 27.63%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $8,328 $ 492
Ratio of expenses to average net assets................... 1.95% 1.98%(c)
Ratio of net investment income to average net assets...... (0.94)% (0.87)%(c)
Portfolio turnover (d).................................... 86.34% 117.34%
</TABLE>
- ------------
(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.
208
<PAGE> 211
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LARGE CAP VALUE FUND
------------------------------------------------------
CLASS I SHARES
------------------------------------------------------
YEAR ENDED JUNE 30,
------------------------------------------------------
1999 1998 1997 1996 1995
---------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD.............................. $ 16.70 $ 14.79 $ 12.83 $ 12.87 $ 11.34
---------- -------- -------- -------- --------
Investment Activities:
Net investment income (loss)..................... 0.18 0.21 0.27 0.31 0.31
Net realized and unrealized gains (losses) from
investments.................................... 2.44 2.84 3.01 1.20 2.18
---------- -------- -------- -------- --------
Total from Investment Activities............... 2.62 3.05 3.28 1.51 2.49
---------- -------- -------- -------- --------
Distributions:
Net investment income............................ (0.18) (0.21) (0.26) (0.31) (0.32)
Net realized gains............................... (1.05) (0.93) (1.06) (1.24) (0.64)
---------- -------- -------- -------- --------
Total Distributions............................ (1.23) (1.14) (1.32) (1.55) (0.96)
---------- -------- -------- -------- --------
NET ASSET VALUE,
END OF PERIOD.................................... $ 18.09 $ 16.70 $ 14.79 $ 12.83 $ 12.87
========== ======== ======== ======== ========
Total Return....................................... 17.26% 21.46% 27.10% 12.71% 23.42%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)................ $1,095,686 $792,649 $686,156 $584,527 $365,376
Ratio of expenses to average net assets.......... 0.95% 0.95% 0.97% 0.97% 1.00%
Ratio of net investment income to average net
assets......................................... 1.15% 1.34% 1.99% 2.43% 2.74%
Ratio of expenses to average net assets*......... 0.95% 0.95% 0.97% 0.98% 1.01%
Ratio of net investment income to average net
assets*........................................ 1.15% 1.34% 1.99% 2.42% 2.73%
Portfolio turnover (a)........................... 40.69% 47.35% 77.05% 186.84% 203.13%
</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.
209
<PAGE> 212
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LARGE CAP VALUE FUND
---------------------------------------------
CLASS A SHARES
---------------------------------------------
YEAR ENDED JUNE 30,
---------------------------------------------
1999 1998 1997 1996 1995
------- ------- ------- ------ ------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................................... $ 16.77 $ 14.85 $ 12.87 $12.89 $11.34
------- ------- ------- ------ ------
Investment Activities:
Net investment income (loss).............................. 0.14 0.18 0.23 0.27 0.28
Net realized and unrealized gains (losses) from
investments............................................. 2.52 2.84 3.04 1.22 2.20
------- ------- ------- ------ ------
Total from Investment Activities........................ 2.66 3.02 3.27 1.49 2.48
------- ------- ------- ------ ------
Distributions:
Net investment income..................................... (0.14) (0.17) (0.23) (0.27) (0.27)
In excess of net investment income........................ -- -- -- -- (0.02)
Net realized gains........................................ (1.05) (0.93) (1.06) (1.24) (0.64)
------- ------- ------- ------ ------
Total Distributions..................................... (1.19) (1.10) (1.29) (1.51) (0.93)
------- ------- ------- ------ ------
NET ASSET VALUE,
END OF PERIOD............................................. $ 18.24 $ 16.77 $ 14.85 $12.87 $12.89
======= ======= ======= ====== ======
Total Return (Excludes Sales Charge)........................ 17.39% 21.14% 26.90% 12.40% 22.64%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $28,448 $15,699 $14,832 $9,380 $3,481
Ratio of expenses to average net assets................... 1.20% 1.20% 1.22% 1.22% 1.25%
Ratio of net investment income to average net assets...... 0.90% 1.10% 1.72% 2.18% 2.52%
Ratio of expenses to average net assets*.................. 1.30% 1.30% 1.31% 1.33% 1.37%
Ratio of net investment income to average net assets*..... 0.80% 1.00% 1.63% 2.07% 2.41%
Portfolio turnover (a).................................... 40.69% 47.35% 77.05% 186.84% 203.13%
</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.
210
<PAGE> 213
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LARGE CAP VALUE FUND
--------------------------------------------
CLASS B SHARES
--------------------------------------------
YEAR ENDED JUNE 30,
--------------------------------------------
1999 1998 1997 1996 1995
------- ------- ------ ------ ------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................................... $ 16.84 $ 14.95 $12.98 $12.96 $11.41
------- ------- ------ ------ ------
Investment Activities:
Net investment income (loss).............................. 0.03 0.07 0.14 0.18 0.17
Net realized and unrealized gains (losses) from
investments............................................. 2.48 2.84 3.04 1.26 2.19
------- ------- ------ ------ ------
Total from Investment Activities........................ 2.51 2.91 3.18 1.44 2.36
------- ------- ------ ------ ------
Distributions:
Net investment income..................................... (0.05) (0.09) (0.15) (0.18) (0.17)
Net realized gains........................................ (1.05) (0.93) (1.06) (1.24) (0.64)
------- ------- ------ ------ ------
Total Distributions..................................... (1.10) (1.02) (1.21) (1.42) (0.81)
------- ------- ------ ------ ------
NET ASSET VALUE,
END OF PERIOD............................................. $ 18.25 $ 16.84 $14.95 $12.98 $12.96
======= ======= ====== ====== ======
Total Return (Excludes Sales Charge)........................ 16.30% 20.18% 25.86% 11.95% 22.28%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $24,877 $17,154 $9,288 $4,135 $ 861
Ratio of expenses to average net assets................... 1.95% 1.95% 1.97% 1.97% 2.00%
Ratio of net investment income to average net assets...... 0.15% 0.33% 0.96% 1.43% 1.74%
Ratio of expenses to average net assets*.................. 1.95% 1.95% 1.97% 1.98% 2.01%
Ratio of net investment income to average net assets*..... 0.15% 0.33% 0.96% 1.42% 1.72%
Portfolio turnover (a).................................... 40.69% 47.35% 77.05% 186.84% 203.13%
</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.
211
<PAGE> 214
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LARGE CAP VALUE FUND
--------------------
CLASS C SHARES
--------------------
MARCH 22,
1999 TO
JUNE 30,
1999(a)
--------------------
<S> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................................... $16.96
------
Investment Activities:
Net investment income (loss).............................. 0.03
Net realized and unrealized gains (losses) from
investments............................................. 1.28
------
Total from Investment Activities........................ 1.31
------
Distributions:
Net investment income..................................... (0.03)
------
Total Distributions..................................... (0.03)
------
NET ASSET VALUE,
END OF PERIOD............................................. $18.24
======
Total Return (Excludes Sales Charge)........................ 7.74%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $ 135
Ratio of expenses to average net assets................... 1.95%(c)
Ratio of net investment income to average net assets...... 0.34%(c)
Portfolio turnover (d).................................... 40.69%
</TABLE>
- ------------
(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.
212
<PAGE> 215
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
EQUITY INCOME FUND
------------------------------------------------------
CLASS I SHARES
------------------------------------------------------
YEAR ENDED JUNE 30,
------------------------------------------------------
1999 1998 1997 1996 1995
---------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD............... $ 24.07 $ 21.93 $ 17.65 $ 15.13 $ 13.22
---------- -------- -------- -------- --------
Investment Activities:
Net investment income (loss)..................... 0.31 0.32 0.36 0.40 0.40
Net realized and unrealized gains (losses) from
investments.................................... 2.11 4.36 4.89 3.22 2.28
---------- -------- -------- -------- --------
Total from Investment Activities............... 2.42 4.68 5.25 3.62 2.68
---------- -------- -------- -------- --------
Distributions:
Net investment income............................ (0.31) (0.31) (0.36) (0.40) (0.40)
Net realized gains............................... (1.68) (2.23) (0.61) (0.70) (0.37)
---------- -------- -------- -------- --------
Total Distributions............................ (1.99) (2.54) (0.97) (1.10) (0.77)
---------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD..................... $ 24.50 $ 24.07 $ 21.93 $ 17.65 $ 15.13
========== ======== ======== ======== ========
Total Return....................................... 11.29% 23.18% 30.90% 24.53% 21.04%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)................ $1,120,181 $691,878 $649,007 $321,827 $170,919
Ratio of expenses to average net assets.......... 0.91% 1.00% 1.00% 0.98% 1.01%
Ratio of net investment income to average net
assets......................................... 1.40% 1.39% 1.91% 2.44% 2.85%
Ratio of expenses to average net assets*......... 0.98% 1.00% 1.00% 1.01% 1.01%
Ratio of net investment income to average net
assets*........................................ 1.33% 1.39% 1.91% 2.41% 2.85%
Portfolio turnover (a)........................... 16.22% 14.64% 28.18% 14.92% 4.03%
</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.
213
<PAGE> 216
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
EQUITY INCOME FUND
-------------------------------------------------
CLASS A SHARES
-------------------------------------------------
YEAR ENDED JUNE 30,
-------------------------------------------------
1999 1998 1997 1996 1995
-------- -------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD.................... $ 24.04 $ 21.90 $ 17.64 $ 15.11 $ 13.20
-------- -------- ------- ------- -------
Investment Activities:
Net investment income (loss).......................... 0.27 0.25 0.31 0.38 0.03
Net realized and unrealized gains (losses) from
investments......................................... 2.08 4.37 4.87 3.20 2.29
-------- -------- ------- ------- -------
Total from Investment Activities.................... 2.35 4.62 5.18 3.58 2.32
-------- -------- ------- ------- -------
Distributions:
Net investment income................................. (0.26) (0.25) (0.31) (0.35) (0.03)
In excess of net investment income.................... -- -- -- -- (0.01)
Net realized gains.................................... (1.68) (2.23) (0.61) (0.70) (0.37)
-------- -------- ------- ------- -------
Total Distributions (1.94) (2.48) (0.92) (1.05) (0.41)
-------- -------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD.......................... $ 24.45 $ 24.04 $ 21.90 $ 17.64 $ 15.11
======== ======== ======= ======= =======
Total Return (Excludes Sales Charge).................... 10.94% 22.91% 30.39% 24.23% 20.79%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)..................... $135,420 $117,682 $78,976 $44,284 $13,793
Ratio of expenses to average net assets............... 1.18% 1.25% 1.25% 1.23% 1.26%
Ratio of net investment income to average net
assets.............................................. 1.17% 1.15% 1.65% 2.19% 2.61%
Ratio of expenses to average net assets*.............. 1.34% 1.35% 1.34% 1.36% 1.36%
Ratio of net investment income to average net
assets*............................................. 1.01% 1.05% 1.56% 2.06% 2.51%
Portfolio turnover (a)................................ 16.22% 14.64% 28.18% 14.92% 4.03%
</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.
214
<PAGE> 217
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
EQUITY INCOME FUND
------------------------------------------------
CLASS B SHARES
------------------------------------------------
YEAR ENDED JUNE 30,
------------------------------------------------
1999 1998 1997 1996 1995
-------- -------- ------- ------- ------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD..................... $ 24.08 $ 21.95 $ 17.68 $ 15.14 $13.23
-------- -------- ------- ------- ------
Investment Activities:
Net investment income (loss)........................... 0.09 0.26 0.17 0.24 0.26
Net realized and unrealized gains (losses) from
investments.......................................... 2.10 4.36 4.89 3.23 2.29
-------- -------- ------- ------- ------
Total from Investment Activities..................... 2.19 4.62 5.06 3.47 2.55
-------- -------- ------- ------- ------
Distributions:
Net investment income.................................. (0.09) (0.26) (0.18) (0.23) (0.25)
In excess of net investment income..................... -- -- -- -- (0.02)
Net realized gains..................................... (1.68) (2.23) (0.61) (0.70) (0.37)
-------- -------- ------- ------- ------
Total Distributions.................................. (1.77) (2.49) (0.79) (0.93) (0.64)
-------- -------- ------- ------- ------
NET ASSET VALUE, END OF PERIOD........................... $ 24.50 $ 24.08 $ 21.95 $ 17.68 $15.14
======== ======== ======= ======= ======
Total Return (Excludes Sales Charge)..................... 10.18% 21.97% 29.48% 23.41% 19.91%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)...................... $197,016 $165,813 $79,518 $29,169 $3,468
Ratio of expenses to average net assets................ 1.93% 1.99% 2.00% 1.98% 2.01%
Ratio of net investment income to average net assets... 0.40% 0.39% 0.89% 1.44% 1.88%
Ratio of expenses to average net assets*............... 1.99% 1.99% 2.00% 2.01% 2.02%
Ratio of net investment income to average net
assets*.............................................. 0.34% 0.39% 0.89% 1.41% 1.87%
Portfolio turnover (a)................................. 16.22% 14.64% 28.18% 14.92% 4.03%
</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.
215
<PAGE> 218
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
EQUITY INCOME FUND
----------------------
CLASS C SHARES
----------------------
YEAR NOVEMBER 4,
ENDED 1997 TO
JUNE 30, JUNE 30,
1999 1998 (a)
-------- -----------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $24.08 $21.40
------ ------
Investment Activities:
Net investment income (loss).............................. 0.10 0.06
Net realized and unrealized gains (losses) from
investments............................................ 2.11 3.39
------ ------
Total from Investment Activities....................... 2.21 3.45
------ ------
Distributions:
Net investment income..................................... (0.10) (0.07)
Net realized gains........................................ (1.68) (0.70)
------ ------
Total Distributions.................................... (1.78) (0.77)
------ ------
NET ASSET VALUE, END OF PERIOD.............................. $24.51 $24.08
====== ======
Total Return (Excludes Sales Charge)........................ 10.24% 16.57%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $ 658 $ 795
Ratio of expenses to average net assets................... 1.94% 1.98%(c)
Ratio of net investment income to average net assets...... 0.36% 0.38%(c)
Ratio of expenses to average net assets*.................. 1.99% 1.98%(c)
Ratio of net investment income to average net assets*..... 0.31% 0.38%(c)
Portfolio turnover (d).................................... 16.22% 14.64%
</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.
216
<PAGE> 219
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED EQUITY FUND
--------------------------------------------
CLASS I SHARES
--------------------------------------------
MARCH 26,
YEAR ENDED JUNE 30, 1996 TO
-------------------------------- JUNE 30,
1999 1998 1997 1996 (a)
---------- -------- -------- ---------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD..................... $ 13.51 $ 11.51 $ 10.39 $ 10.00
---------- -------- -------- --------
Investment Activities:
Net investment income (loss)........................... 0.05 0.08 0.11 0.03
Net realized and unrealized gains (losses) from
investments.......................................... 2.52 3.36 2.85 0.39
---------- -------- -------- --------
Total from Investment Activities..................... 2.57 3.44 2.96 0.42
---------- -------- -------- --------
Distributions:
Net investment income.................................. (0.05) (0.08) (0.11) (0.03)
Net realized gains..................................... (0.84) (1.36) (1.73) --
---------- -------- -------- --------
Total Distributions.................................. (0.89) (1.44) (1.84) (0.03)
---------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD........................... $ 15.19 $ 13.51 $ 11.51 $ 10.39
========== ======== ======== ========
Total Return............................................. 20.72% 32.26% 31.97% 10.49%(b)(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)...................... $2,089,940 $630,340 $430,837 $191,212
Ratio of expenses to average net assets................ 0.95% 0.98% 0.98% 0.95%(d)
Ratio of net investment income to average net assets... 0.42% 0.66% 1.06% 1.13%(d)
Ratio of expenses to average net assets*............... 0.95% 0.98% 1.00% 1.04%(d)
Ratio of net investment income to average net
assets*.............................................. 0.42% 0.66% 1.04% 1.04%(d)
Portfolio turnover (e)................................. 50.82% 62.37% 113.17% 65.21%
</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 date reorganized as a fund of the One Group Mutual Funds.
(b) Represents total return for Class A Shares from December 1, 1995 through
March 25, 1996 plus total return for Class I Shares for the period from
March 26, 1996 through June 30, 1996.
(c) Not annualized.
(d) Annualized.
(e) 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.
217
<PAGE> 220
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED EQUITY FUND
----------------------------------------------------------------
CLASS A SHARES
----------------------------------------------------------------
SEVEN
MONTHS YEAR ENDED
YEAR ENDED JUNE 30, ENDED NOVEMBER 30,
---------------------------- JUNE 30, -------------------
1999 1998 1997 1996 (a) 1995 1994
-------- ------- ------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........ $ 13.50 $ 11.50 $ 10.39 $ 11.15 $ 9.00 $ 10.02
-------- ------- ------- ------- -------- --------
Investment Activities:
Net investment income (loss).............. 0.02 0.05 0.09 0.94 0.12 0.13
Net realized and unrealized gains (losses)
from investments........................ 2.51 3.36 2.83 0.08 2.44 (0.56)
-------- ------- ------- ------- -------- --------
Total from Investment Activities........ 2.53 3.41 2.92 1.02 2.56 (0.43)
-------- ------- ------- ------- -------- --------
Distributions:
Net investment income..................... (0.03) (0.05) (0.08) (0.94) (0.12) (0.14)
In excess of net investment income........ -- -- -- (0.01) -- --
Net realized gains........................ (0.84) (1.36) (1.73) (0.83) (0.29) (0.45)
-------- ------- ------- ------- -------- --------
Total Distributions..................... (0.87) (1.41) (1.81) (1.78) (0.41) (0.59)
-------- ------- ------- ------- -------- --------
NET ASSET VALUE, END OF PERIOD.............. $ 15.16 $ 13.50 $ 11.50 $ 10.39 $ 11.15 $ 9.00
======== ======= ======= ======= ======== ========
Total Return (Excludes Sales Charge)........ 20.36% 31.96% 31.53% 10.40%(b) 29.57% (4.32)%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......... $340,736 $80,500 $47,306 $35,984 $217,978 $173,198
Ratio of expenses to average net assets... 1.20% 1.23% 1.23% 0.97%(c) 0.95% 0.96%
Ratio of net investment income to average
net assets.............................. 0.10% 0.40% 0.83% 0.85%(c) 1.25% 1.34%
Ratio of expenses to average net
assets*................................. 1.30% 1.33% 1.34% 1.05%(c) 0.95% 0.96%
Ratio of net investment income to average
net assets*............................. 0.00% 0.30% 0.72% 0.77%(c) 1.25% 1.35%
Portfolio turnover (d).................... 50.82% 62.37% 113.17% 65.21% 77.00% 53.00%
</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) Upon reorganizing as a fund of the One Group, the Paragon Value Growth Fund
became the Value Growth Fund. Financial highlights for the periods prior to
March 26, 1996 represent the Paragon Value Growth Fund. The per share data
for the periods prior to March 26, 1996 have been restated to reflect the
impact of restatement of net asset value from $15.26 to $10.00 effective
March 26, 1996.
(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.
218
<PAGE> 221
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED EQUITY FUND
--------------------------------------------------------------------
CLASS B SHARES
--------------------------------------------------------------------
SEVEN
MONTHS SEPTEMBER 9,
YEAR ENDED JUNE 30, ENDED YEAR ENDED 1994 TO
--------------------------- JUNE 30, NOVEMBER 30, NOVEMBER 30,
1999 1998 1997 1996 (a) 1995 1994 (b)
------- ------- ------- -------- ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD............................. $ 13.40 $ 11.47 $ 10.39 $11.16 $ 9.01 $ 9.85
------- ------- ------- ------ ------ ------
Investment Activities:
Net investment income (loss)....... (0.07) (0.02) 0.01 0.91 0.05 0.02
Net realized and unrealized gains
(losses) from investments........ 2.48 3.31 2.82 0.07 2.46 (0.84)
------- ------- ------- ------ ------ ------
Total from Investment
Activities.................... 2.41 3.29 2.83 0.98 2.51 (0.82)
------- ------- ------- ------ ------ ------
Distributions:
Net investment income.............. -- -- (0.02) (0.91) (0.07) (0.02)
In excess of net investment
income........................... -- -- -- (0.01) -- --
Net realized gains................. (0.84) (1.36) (1.73) (0.83) (0.29) --
------- ------- ------- ------ ------ ------
Total Distributions.............. (0.84) (1.36) (1.75) (1.75) (0.36) (0.02)
------- ------- ------- ------ ------ ------
NET ASSET VALUE, END OF PERIOD....... $ 14.97 $ 13.40 $ 11.47 $10.39 $11.16 $ 9.01
======= ======= ======= ====== ====== ======
Total Return (Excludes Sales
Charge)............................ 19.52% 30.89% 30.52% 9.96%(c) 28.74% (8.31)%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000)............................ $52,004 $25,501 $10,517 $4,673 $2,923 $ 412
Ratio of expenses to average net
assets........................... 1.96% 1.98% 1.98% 1.86%(d) 1.70% 1.71%(d)
Ratio of net investment income to
average net assets............... (0.80)% (0.35)% 0.07% 0.13%(d) 0.38% 0.76%(d)
Ratio of expenses to average net
assets*.......................... 1.96% 1.98% 2.00% 1.94%(d) 1.70% 1.71%(d)
Ratio of net investment income to
average net assets*.............. (0.80)% (0.35)% 0.05% 0.05%(d) 0.38% 0.76%(d)
Portfolio turnover (e)............. 50.82% 62.37% 113.17% 65.21% 77.00% 53.00%
</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) Upon reorganizing as a fund of the One Group, the Paragon Value Growth Fund
became the Value Growth Fund. Financial highlights for the periods prior to
March 26, 1996 represent the Paragon Value Growth Fund. The per share data
for the periods prior to March 26, 1996 have been restated to reflect the
impact of restatement of net asset value from $15.21 to $10.00 effective
March 26, 1996.
(b) Period from commencement of operations.
(c) Not annualized.
(d) Annualized.
(e) 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.
219
<PAGE> 222
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED EQUITY FUND
------------------------
CLASS C SHARES
------------------------
YEAR NOVEMBER 4,
ENDED 1997 TO
JUNE 30, JUNE 30,
1999 1998 (a)
--------- ------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $13.47 $11.76
------ ------
Investment Activities:
Net investment income (loss).............................. (0.03) --
Net realized and unrealized gains (losses) from
investments............................................ 2.46 2.35
------ ------
Total from Investment Activities....................... 2.43 2.35
------ ------
Distributions:
Net investment income..................................... -- (0.01)
Net realized gains........................................ (0.84) (0.63)
------ ------
Total Distributions.................................... (0.84) (0.64)
------ ------
NET ASSET VALUE, END OF PERIOD.............................. $15.06 $13.47
====== ======
Total Return (Excludes Sales Charge)........................ 19.57% 20.87%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $8,058 $1,234
Ratio of expenses to average net assets................... 1.96% 1.99%(c)
Ratio of net investment income to average net assets...... (0.57)% (0.43)%(c)
Portfolio turnover (d).................................... 50.82% 62.37%
</TABLE>
- ------------
(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.
220
<PAGE> 223
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
BALANCED FUND
-----------------------------------------------------
CLASS I SHARES
-----------------------------------------------------
YEAR ENDED JUNE 30,
-----------------------------------------------------
1999 1998 1997 1996 1995
-------- -------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD..................... $ 13.80 $ 12.98 $ 11.71 $ 10.73 $ 9.64
-------- -------- ------- ------- -------
Investment Activities:
Net investment income (loss)........................... 0.34 0.40 0.43 0.41 0.38
Net realized and unrealized gains (losses) from
investments.......................................... 1.28 2.24 1.81 1.16 1.12
-------- -------- ------- ------- -------
Total from Investment Activities..................... 1.62 2.64 2.24 1.57 1.50
-------- -------- ------- ------- -------
Distributions:
Net investment income.................................. (0.34) (0.39) (0.43) (0.41) (0.37)
Net realized gains..................................... (0.95) (1.43) (0.54) (0.18) (0.04)
-------- -------- ------- ------- -------
Total Distributions.................................. (1.29) (1.82) (0.97) (0.59) (0.41)
-------- -------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD........................... $ 14.13 $ 13.80 $ 12.98 $ 11.71 $ 10.73
======== ======== ======= ======= =======
Total Return............................................. 12.74% 22.12% 20.16% 14.87% 16.06%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)...................... $229,008 $105,243 $94,971 $50,323 $37,658
Ratio of expenses to average net assets................ 0.85% 0.85% 0.80% 0.94% 1.06%
Ratio of net investment income to average net assets... 2.59% 3.03% 3.55% 3.58% 3.72%
Ratio of expenses to average net assets*............... 0.95% 1.03% 1.00% 1.19% 1.31%
Ratio of net investment income to average net
assets*.............................................. 2.49% 2.85% 3.35% 3.33% 3.47%
Portfolio turnover (a)................................. 85.81% 46.04% 80.96% 73.38% 115.36%
</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.
221
<PAGE> 224
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
BALANCED FUND
---------------------------------------------------
CLASS A SHARES
---------------------------------------------------
YEAR ENDED JUNE 30,
---------------------------------------------------
1999 1998 1997 1996 1995
------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD....................... $ 13.81 $ 13.00 $ 11.72 $ 10.74 $ 9.65
------- ------- ------- ------- -------
Investment Activities:
Net investment income (loss)............................. 0.31 0.36 0.39 0.37 0.35
Net realized and unrealized gains (losses) from
investments............................................ 1.28 2.24 1.83 1.16 1.13
------- ------- ------- ------- -------
Total from Investment Activities....................... 1.59 2.60 2.22 1.53 1.48
------- ------- ------- ------- -------
Distributions:
Net investment income.................................... (0.31) (0.36) (0.40) (0.37) (0.34)
In excess of net investment income....................... -- -- -- -- (0.01)
Net realized gains....................................... (0.95) (1.43) (0.54) (0.18) (0.04)
------- ------- ------- ------- -------
Total Distributions.................................... (1.26) (1.79) (0.94) (0.55) (0.39)
------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD............................. $ 14.14 $ 13.81 $ 13.00 $ 11.72 $ 10.74
======= ======= ======= ======= =======
Total Return (Excludes Sales Charge)....................... 12.45% 21.71% 19.85% 14.48% 15.76%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)........................ $80,819 $50,456 $31,379 $17,849 $ 4,745
Ratio of expenses to average net assets.................. 1.10% 1.10% 1.05% 1.19% 1.31%
Ratio of net investment income to average net assets..... 2.33% 2.77% 3.30% 3.33% 3.57%
Ratio of expenses to average net assets*................. 1.30% 1.38% 1.34% 1.54% 1.66%
Ratio of net investment income to average net assets*.... 2.13% 2.49% 3.01% 2.98% 3.22%
Portfolio turnover (a)................................... 85.81% 46.04% 80.96% 73.38% 115.36%
</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.
222
<PAGE> 225
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
BALANCED FUND
-----------------------------------------------------
CLASS B SHARES
-----------------------------------------------------
YEAR ENDED JUNE 30,
-----------------------------------------------------
1999 1998 1997 1996 1995
-------- -------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD..................... $ 13.87 $ 13.04 $ 11.76 $ 10.76 $ 9.67
-------- -------- ------- ------- -------
Investment Activities:
Net investment income (loss)........................... 0.21 0.26 0.30 0.28 0.27
Net realized and unrealized gains (losses) from
investments.......................................... 1.28 2.26 1.83 1.18 1.14
-------- -------- ------- ------- -------
Total from Investment Activities..................... 1.49 2.52 2.13 1.46 1.41
-------- -------- ------- ------- -------
Distributions:
Net investment income.................................. (0.21) (0.26) (0.31) (0.28) (0.27)
In excess of net investment income..................... -- -- -- -- (0.01)
Net realized gains..................................... (0.95) (1.43) (0.54) (0.18) (0.04)
-------- -------- ------- ------- -------
Total Distributions.................................. (1.16) (1.69) (0.85) (0.46) (0.32)
-------- -------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD........................... $ 14.20 $ 13.87 $ 13.04 $ 11.76 $ 10.76
======== ======== ======= ======= =======
Total Return (Excludes Sales Charge)..................... 11.59% 20.95% 18.90% 13.79% 14.90%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)...................... $238,490 $114,957 $43,900 $18,575 $ 3,019
Ratio of expenses to average net assets................ 1.85% 1.85% 1.81% 1.94% 2.07%
Ratio of net investment income to average net assets... 1.58% 2.01% 2.54% 2.58% 2.77%
Ratio of expenses to average net assets*............... 1.95% 2.03% 2.01% 2.19% 2.31%
Ratio of net investment income to average net
assets*.............................................. 1.48% 1.83% 2.34% 2.33% 2.52%
Portfolio turnover (a)................................. 85.81% 46.04% 80.96% 73.38% 115.36%
</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.
223
<PAGE> 226
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
EQUITY INDEX FUND
------------------------------------------------------
CLASS I SHARES
------------------------------------------------------
YEAR ENDED JUNE 30,
------------------------------------------------------
1999 1998 1997 1996 1995
---------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD.............................. $ 27.16 $ 21.80 $ 16.66 $ 14.03 $ 11.59
---------- -------- -------- -------- --------
Investment Activities:
Net investment income (loss)..................... 0.31 0.33 0.35 0.33 0.32
Net realized and unrealized gains (losses) from
investments.................................... 5.54 5.98 5.27 3.16 2.59
---------- -------- -------- -------- --------
Total from Investment Activities............... 5.85 6.31 5.62 3.49 2.91
---------- -------- -------- -------- --------
Distributions:
Net investment income............................ (0.30) (0.32) (0.33) (0.33) (0.29)
In excess of net investment income............... -- -- -- (0.01) (0.02)
Net realized gains............................... (0.92) (0.63) (0.15) (0.52) (0.16)
---------- -------- -------- -------- --------
Total Distributions............................ (1.22) (0.95) (0.48) (0.86) (0.47)
---------- -------- -------- -------- --------
NET ASSET VALUE,
END OF PERIOD.................................... $ 31.79 $ 27.16 $ 21.80 $ 16.66 $ 14.03
========== ======== ======== ======== ========
Total Return....................................... 22.50% 29.73% 34.30% 25.47% 25.79%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)................ $1,855,947 $671,422 $480,819 $321,058 $234,895
Ratio of expenses to average net assets.......... 0.35% 0.35% 0.30% 0.30% 0.33%
Ratio of net investment income to average net
assets......................................... 1.14% 1.37% 1.87% 2.18% 2.57%
Ratio of expenses to average net assets*......... 0.57% 0.62% 0.61% 0.59% 0.66%
Ratio of net investment income to average net
assets*........................................ 0.92% 1.10% 1.56% 1.89% 2.24%
Portfolio turnover (a)........................... 5.37% 4.32% 5.81% 9.08% 2.71%
</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) 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.
224
<PAGE> 227
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
EQUITY INDEX FUND
------------------------------------------------
CLASS A SHARES
------------------------------------------------
YEAR ENDED JUNE 30,
------------------------------------------------
1999 1998 1997 1996 1995
-------- -------- ------- ------- ------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD................................... $ 27.15 $ 21.81 $ 16.67 $ 14.02 $11.59
-------- -------- ------- ------- ------
Investment Activities:
Net investment income (loss).......................... 0.22 0.26 0.29 0.27 0.29
Net realized and unrealized gains (losses) from
investments......................................... 5.56 5.97 5.28 3.18 2.58
-------- -------- ------- ------- ------
Total from Investment Activities.................... 5.78 6.23 5.57 3.45 2.87
-------- -------- ------- ------- ------
Distributions:
Net investment income................................. (0.23) (0.26) (0.28) (0.27) (0.28)
In excess of net investment income.................... -- -- -- (0.01) --
Net realized gains.................................... (0.92) (0.63) (0.15) (0.52) (0.16)
-------- -------- ------- ------- ------
Total Distributions................................. (1.15) (0.89) (0.43) (0.80) (0.44)
-------- -------- ------- ------- ------
NET ASSET VALUE,
END OF PERIOD......................................... $ 31.78 $ 27.15 $ 21.81 $ 16.67 $14.02
======== ======== ======= ======= ======
Total Return (Excludes Sales Charge).................... 22.22% 29.33% 33.94% 25.16% 25.43%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)..................... $732,325 $218,518 $98,338 $32,186 $3,003
Ratio of expenses to average net assets............... 0.60% 0.60% 0.55% 0.55% 0.56%
Ratio of net investment income to average net
assets.............................................. 0.79% 1.11% 1.59% 1.93% 2.38%
Ratio of expenses to average net assets*.............. 0.92% 0.96% 0.95% 0.94% 1.01%
Ratio of net investment income to average net
assets*............................................. 0.47% 0.75% 1.19% 1.54% 1.94%
Portfolio turnover (a)................................ 5.37% 4.32% 5.81% 9.08% 2.71%
</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) 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.
225
<PAGE> 228
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
EQUITY INDEX FUND
-------------------------------------------------
CLASS B SHARES
-------------------------------------------------
YEAR ENDED JUNE 30,
-------------------------------------------------
1999 1998 1997 1996 1995
-------- -------- -------- ------- ------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD................................... $ 27.13 $ 21.80 $ 16.68 $ 14.05 $11.61
-------- -------- -------- ------- ------
Investment Activities:
Net investment income (loss).......................... 0.04 0.10 0.16 0.16 0.18
Net realized and unrealized gains (losses) from
investments......................................... 5.53 5.97 5.27 3.16 2.61
-------- -------- -------- ------- ------
Total from Investment Activities.................... 5.57 6.07 5.43 3.32 2.79
-------- -------- -------- ------- ------
Distributions:
Net investment income................................. (0.06) (0.11) (0.16) (0.16) (0.19)
In excess of net investment income.................... -- -- -- (0.01) --
Net realized gains.................................... (0.92) (0.63) (0.15) (0.52) (0.16)
-------- -------- -------- ------- ------
Total Distributions................................. (0.98) (0.74) (0.31) (0.69) (0.35)
-------- -------- -------- ------- ------
NET ASSET VALUE,
END OF PERIOD......................................... $ 31.72 $ 27.13 $ 21.80 $ 16.68 $14.05
======== ======== ======== ======= ======
Total Return (Excludes Sales Charge).................... 21.32% 28.47% 32.93% 24.05% 24.58%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)..................... $534,777 $351,624 $168,699 $38,538 $1,408
Ratio of expenses to average net assets............... 1.35% 1.35% 1.30% 1.30% 1.34%
Ratio of net investment income to average net
assets.............................................. 0.12% 0.36% 0.83% 1.18% 1.60%
Ratio of expenses to average net assets*.............. 1.57% 1.61% 1.61% 1.59% 1.67%
Ratio of net investment income to average net
assets*............................................. (0.10)% 0.10% 0.52% 0.89% 1.27%
Portfolio turnover (a)................................ 5.37% 4.32% 5.81% 9.08% 2.71%
</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) 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.
226
<PAGE> 229
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
EQUITY INDEX FUND
----------------------
CLASS C SHARES
----------------------
YEAR NOVEMBER 4,
ENDED 1997 TO
JUNE 30, JUNE 30,
1999 1998 (a)
-------- -----------
<S> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................................... $ 27.14 $22.60
------- ------
Investment Activities:
Net investment income (loss).............................. 0.07 0.07
Net realized and unrealized gains (losses) from
investments............................................ 5.55 4.67
------- ------
Total from Investment Activities....................... 5.62 4.74
------- ------
Distributions:
Net investment income..................................... (0.08) (0.08)
Net realized gains........................................ (0.92) (0.12)
------- ------
Total Distributions.................................... (1.00) (0.20)
------- ------
NET ASSET VALUE,
END OF PERIOD............................................. $ 31.76 $27.14
======= ======
Total Return (Excludes Sales Charge)........................ 21.52% 21.07%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $59,042 $3,214
Ratio of expenses to average net assets................... 1.35% 1.35%(c)
Ratio of net investment income to average net assets...... 0.11% 0.27%(c)
Ratio of expenses to average net assets*.................. 1.57% 1.60%(c)
Ratio of net investment income to average net assets*..... (0.11)% 0.02%(c)
Portfolio turnover (d).................................... 5.37% 4.32%
</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.
227
<PAGE> 230
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MARKET EXPANSION INDEX
FUND
--------------------------
CLASS I SHARES
--------------------------
SIX MONTHS JULY 31,
ENDED 1998 TO
JUNE 30, DECEMBER 31,
1999 1998 (a)
---------- ------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 10.52 $ 10.00
------- -------
Investment Activities:
Net investment income (loss).............................. 0.03 0.03
Net realized and unrealized gains (losses) from
investments............................................. 0.40 0.93
------- -------
Total from Investment Activities........................ 0.43 0.96
------- -------
Distributions:
Net investment income..................................... (0.03) (0.03)
Net realized gains........................................ (0.29) (0.41)
------- -------
Total Distributions..................................... (0.32) (0.44)
------- -------
NET ASSET VALUE, END OF PERIOD.............................. $ 10.63 $ 10.52
======= =======
Total Return................................................ 4.54%(b) 9.91%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $28,871 $27,483
Ratio of expenses to average net assets................... 0.57%(c) 0.56%(c)
Ratio of net investment income to average net assets...... 0.68%(c) 0.75%(c)
Ratio of expenses to average net assets*.................. 0.97%(c) 1.12%(c)
Ratio of net investment income to average net assets*..... 0.28%(c) 0.19%(c)
Portfolio turnover (d).................................... 36.50% 20.18%
</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.
228
<PAGE> 231
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MARKET EXPANSION INDEX
FUND
--------------------------
CLASS A SHARES
--------------------------
SIX MONTHS JULY 31,
ENDED 1998 TO
JUNE 30, DECEMBER 31,
1999 1998 (a)
---------- ------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $10.53 $10.00
------ ------
Investment Activities:
Net investment income (loss).............................. 0.03 --
Net realized and unrealized gains (losses) from
investments............................................. 0.39 0.95
------ ------
Total from Investment Activities........................ 0.42 0.95
------ ------
Distributions:
Net investment income..................................... (0.03) (0.01)
Net realized gains........................................ (0.29) (0.41)
------ ------
Total Distributions..................................... (0.32) (0.42)
------ ------
NET ASSET VALUE, END OF PERIOD.............................. $10.63 $10.53
====== ======
Total Return (Excludes Sales Charge)........................ 4.39%(b) 9.30%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $ 277 $ 30
Ratio of expenses to average net assets................... 0.85%(c) 0.77%(c)
Ratio of net investment income to average net assets...... 0.43%(c) 0.47%(c)
Ratio of expenses to average net assets*.................. 1.42%(c) 1.24%(c)
Ratio of net investment income to average net assets*..... (0.14)%(c) 0.00%(c)
Portfolio turnover (d).................................... 36.50% 20.18%
</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.
229
<PAGE> 232
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MARKET EXPANSION INDEX
FUND
--------------------------
CLASS B SHARES
--------------------------
SIX MONTHS JULY 31,
ENDED 1998 TO
JUNE 30, DECEMBER 31,
1999 1998 (a)
---------- ------------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $10.49 $10.00
------ ------
Investment Activities:
Net investment income (loss).............................. 0.02 (0.02)
Net realized and unrealized gains (losses) from
investments............................................. 0.54 0.92
------ ------
Total from Investment Activities........................ 0.56 0.90
------ ------
Distributions:
Net investment income..................................... (0.02) --
Net realized gains........................................ (0.29) (0.41)
------ ------
Total Distributions..................................... (0.31) (0.41)
------ ------
NET ASSET VALUE, END OF PERIOD.............................. $10.74 $10.49
====== ======
Total Return (Excludes Sales Charge)........................ 5.75%(b) 9.85%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $ 309 $ --(c)
Ratio of expenses to average net assets................... 1.60%(d) 1.87%(d)
Ratio of net investment income to average net assets...... (0.34)%(d) (0.59)%(d)
Ratio of expenses to average net assets*.................. 2.13%(d) 2.14%(d)
Ratio of net investment income to average net assets*..... (0.87)%(d) (0.86)%(d)
Portfolio turnover (e).................................... 36.50% 20.18%
</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) Amount is less than $1,000.
(d) Annualized.
(e) 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.
230
<PAGE> 233
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MARKET EXPANSION INDEX
FUND
----------------------
CLASS C SHARES
----------------------
MARCH 22,
1999 TO
JUNE 30,
1999 (a)
----------------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 9.32
------
Investment Activities:
Net investment income (loss).............................. 0.02
Net realized and unrealized gains (losses) from
investments............................................. 1.25
------
Total from Investment Activities........................ 1.27
------
Distributions:
Net investment income..................................... (0.02)
------
Total Distributions..................................... (0.02)
------
NET ASSET VALUE, END OF PERIOD.............................. $10.57
======
Total Return (Excludes Sales Charge)........................ 13.64%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $ 18
Ratio of expenses to average net assets................... 1.58%(c)
Ratio of net investment income to average net assets...... (0.33)%(c)
Ratio of expenses to average net assets*.................. 2.17%(c)
Ratio of net investment income to average net assets*..... (0.92)%(c)
Portfolio turnover (d).................................... 36.50%
</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.
231
<PAGE> 234
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY INDEX FUND
--------------------------------------------------------
CLASS I SHARES
--------------------------------------------------------
YEAR ENDED JUNE 30,
--------------------------------------------------------
1999 1998 1997 1996 1995
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD.................. $ 17.97 $ 16.89 $ 15.17 $ 13.93 $ 13.46
-------- -------- -------- -------- --------
Investment Activities:
Net investment income (loss)........................ 0.19 0.21 0.15 0.11 0.13
Net realized and unrealized gains (losses) from
investments....................................... 1.71 1.32 2.02 1.43 0.46
-------- -------- -------- -------- --------
Total from Investment Activities.................. 1.90 1.53 2.17 1.54 0.59
-------- -------- -------- -------- --------
Distributions:
Net investment income............................... (0.39) (0.02) (0.17) (0.16) (0.08)
In excess of net investment income.................. -- -- (0.13) (0.02) --
Net realized gains.................................. (0.85) (0.43) (0.15) (0.12) (0.04)
-------- -------- -------- -------- --------
Total Distributions............................... (1.24) (0.45) (0.45) (0.30) (0.12)
-------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD........................ $ 18.63 $ 17.97 $ 16.89 $ 15.17 $ 13.93
======== ======== ======== ======== ========
Total Return.......................................... 11.27% 9.54% 14.64% 11.22% 4.20%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)................... $657,902 $586,741 $449,949 $347,790 $218,299
Ratio of expenses to average net assets............. 0.85% 0.88% 0.86% 0.97% 1.04%
Ratio of net investment income to average net
assets............................................ 1.03% 1.29% 1.00% 1.04% 1.25%
Ratio of expenses to average net assets*............ 0.85% 0.88% 0.86% 1.00% 1.04%
Ratio of net investment income to average net
assets*........................................... 1.03% 1.29% 1.00% 1.01% 1.25%
Portfolio turnover (a).............................. 33.99% 9.90% 9.61% 6.28% 4.67%
</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.
232
<PAGE> 235
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY INDEX FUND
--------------------------------------------------
CLASS A SHARES
--------------------------------------------------
YEAR ENDED JUNE 30,
--------------------------------------------------
1999 1998 1997 1996 1995
------- ------- ------- ------- ------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 17.99 $ 16.92 $ 15.16 $ 13.92 $13.49
------- ------- ------- ------- ------
Investment Activities:
Net investment income (loss).............................. 0.29 0.19 0.11 0.14 0.12
Net realized and unrealized gains (losses) from
investments............................................. 1.60 1.31 2.03 1.40 0.43
------- ------- ------- ------- ------
Total from Investment Activities........................ 1.89 1.50 2.14 1.54 0.55
------- ------- ------- ------- ------
Distributions:
Net investment income..................................... (0.35) -- (0.13) (0.16) (0.08)
In excess of net investment income........................ -- -- (0.10) (0.02) --
Net realized gains........................................ (0.85) (0.43) (0.15) (0.12) (0.04)
------- ------- ------- ------- ------
Total Distributions..................................... (1.20) (0.43) (0.38) (0.30) (0.12)
------- ------- ------- ------- ------
NET ASSET VALUE, END OF PERIOD.............................. $ 18.68 $ 17.99 $ 16.92 $ 15.16 $13.92
======= ======= ======= ======= ======
Total Return (Excludes Sales Charge)........................ 11.21% 9.34% 14.31% 11.20% 3.87%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $55,691 $24,060 $12,562 $10,789 $5,028
Ratio of expenses to average net assets................... 1.10% 1.13% 1.11% 1.22% 1.28%
Ratio of net investment income to average net assets...... 1.06% 1.11% 0.73% 0.79% 1.09%
Ratio of expenses to average net assets*.................. 1.20% 1.23% 1.19% 1.35% 1.38%
Ratio of net investment income to average net assets*..... 0.96% 1.01% 0.65% 0.66% 0.99%
Portfolio turnover (a).................................... 33.99% 9.90% 9.61% 6.28% 4.67%
</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.
233
<PAGE> 236
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY INDEX FUND
-------------------------------------------------
CLASS B SHARES
-------------------------------------------------
YEAR ENDED JUNE 30,
-------------------------------------------------
1999 1998 1997 1996 1995
------- ------- ------- ------ ------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 17.33 $ 16.44 $ 14.79 $13.73 $13.40
------- ------- ------- ------ ------
Investment Activities:
Net investment income (loss).............................. 0.10 0.08 0.09 0.03 0.03
Net realized and unrealized gains (losses) from
investments............................................. 1.55 1.24 1.86 1.32 0.41
------- ------- ------- ------ ------
Total from Investment Activities........................ 1.65 1.32 1.95 1.35 0.44
------- ------- ------- ------ ------
Distributions:
Net investment income..................................... (0.24) -- (0.08) (0.15) (0.07)
In excess of net investment income........................ -- -- (0.07) (0.02) --
Net realized gains........................................ (0.85) (0.43) (0.15) (0.12) (0.04)
------- ------- ------- ------ ------
Total Distributions..................................... (1.09) (0.43) (0.30) (0.29) (0.11)
------- ------- ------- ------ ------
NET ASSET VALUE, END OF PERIOD.............................. $ 17.89 $ 17.33 $ 16.44 $14.79 $13.73
======= ======= ======= ====== ======
Total Return (Excludes Sales Charge)........................ 10.15% 8.48% 13.37% 9.97% 3.17%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $18,489 $13,307 $10,033 $5,856 $3,687
Ratio of expenses to average net assets................... 1.83% 1.88% 1.86% 1.97% 2.04%
Ratio of net investment income to average net assets...... 0.10% 0.26% 0.08% 0.04% 0.25%
Ratio of expenses to average net assets*.................. 1.83% 1.88% 1.86% 2.00% 2.04%
Ratio of net investment income to average net assets*..... 0.10% 0.26% 0.08% 0.01% 0.25%
Portfolio turnover (a).................................... 33.99% 9.90% 9.61% 6.28% 4.67%
</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.
234
<PAGE> 237
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY
INDEX FUND
-----------------------
CLASS C SHARES
-----------------------
YEAR NOVEMBER 4,
ENDED 1997 TO
JUNE 30, JUNE 30,
1999 1998 (a)
-------- -----------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $17.91 $15.70
------ ------
Investment Activities:
Net investment income (loss).............................. 0.30 0.06
Net realized and unrealized gains (losses) from
investments............................................. 1.51 2.45
------ ------
Total from Investment Activities........................ 1.81 2.51
------ ------
Distributions:
Net investment income..................................... (0.32) --
Net realized gains........................................ (0.85) (0.30)
------ ------
Total Distributions..................................... (1.17) (0.30)
------ ------
NET ASSET VALUE, END OF PERIOD.............................. $18.55 $17.91
====== ======
Total Return (Excludes Sales Charge)........................ 10.78% 16.34%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $2,339 $ 119
Ratio of expenses to average net assets................... 1.86% 1.87%(c)
Ratio of net investment income to average net assets...... 0.73% 2.88%(c)
Portfolio turnover (d).................................... 33.99% 9.90%
</TABLE>
- ------------
(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.
235
<PAGE> 238
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED INTERNATIONAL FUND
----------------------------------------------------------------------
CLASS I SHARES
----------------------------------------------------------------------
SIX MONTHS DECEMBER 3,
ENDED YEAR ENDED DECEMBER 31, 1994 TO
JUNE 30, ----------------------------------------- DECEMBER 31,
1999 1998 1997 1996 1995 1994 (a)
---------- -------- -------- -------- -------- ------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD...... $ 13.93 $ 12.14 $ 11.79 $ 11.05 $ 10.01 $ 10.00
-------- -------- -------- -------- -------- -------
Investment Activities:
Net investment income (loss)............ 0.11 0.14 0.10 0.11 0.10 0.01
Net realized and unrealized gains
(losses) from investments............. 1.09 1.85 0.37 0.74 1.05 --
-------- -------- -------- -------- -------- -------
Total from Investment Activities...... 1.20 1.99 0.47 0.85 1.15 0.01
-------- -------- -------- -------- -------- -------
Distributions:
Net investment income................... -- (0.15) (0.12) (0.11) (0.11) --
Net realized gains...................... -- (0.05) -- -- -- --
-------- -------- -------- -------- -------- -------
Total Distributions................... -- (0.20) (0.12) (0.11) (0.11) --
-------- -------- -------- -------- -------- -------
NET ASSET VALUE, END OF PERIOD............ $ 15.13 $ 13.93 $ 12.14 $ 11.79 $ 11.05 $ 10.01
======== ======== ======== ======== ======== =======
Total Return.............................. 8.61%(c) 16.43% 3.98% 7.90% 11.47% 1.26%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)....... $599,310 $569,522 $487,986 $389,997 $106,300 $36,545
Ratio of expenses to average net
assets................................ 1.06%(b) 1.09% 1.10% 1.10% 1.16% 1.15%(b)
Ratio of net investment income to
average net assets.................... 1.59%(b) 1.04% 1.05% 1.01% 1.43% 1.18%(b)
Ratio of expenses to average net
assets*............................... 1.09%(b) 1.09% 1.10% 1.10% 1.24% 1.92%(b)
Ratio of net investment income to
average net assets*................... 1.56%(b) 1.04% 1.05% 1.01% 1.35% 0.41%(b)
Portfolio turnover (d).................. 2.96% 8.50% 3.56% 6.37% 2.09% 0.30%
</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) Annualized.
(c) Not 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.
236
<PAGE> 239
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED INTERNATIONAL FUND
-----------------------------------------------------
CLASS A SHARES
-----------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
JUNE 30, ---------------------------------------
1999 1998 1997 1996 1995
---------- ------- ------- ------- ------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD......................... $ 13.89 $ 12.11 $ 11.77 $ 11.05 $10.01
------- ------- ------- ------- ------
Investment Activities:
Net investment income (loss)................ 0.08 0.11 0.07 0.10 0.10
Net realized and unrealized gains (losses)
from investments......................... 1.11 1.84 0.36 0.72 1.05
------- ------- ------- ------- ------
Total from Investment Activities......... 1.19 1.95 0.43 0.82 1.15
------- ------- ------- ------- ------
Distributions:
Net investment income....................... -- (0.13) (0.09) (0.10) (0.11)
In excess of net investment income.......... -- (0.04) -- -- --
------- ------- ------- ------- ------
Total Distributions...................... -- (0.17) (0.09) (0.10) (0.11)
------- ------- ------- ------- ------
NET ASSET VALUE,
END OF PERIOD............................... $ 15.08 $ 13.89 $ 12.11 $ 11.77 $11.05
======= ======= ======= ======= ======
Total Return (Excludes Sales Charge).......... 8.57%(a) 16.12% 3.69% 7.50% 11.47%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)........... $34,900 $44,232 $26,703 $10,836 $ 988
Ratio of expenses to average net assets..... 1.29%(b) 1.34% 1.35% 1.23% 1.16%
Ratio of net investment income to average
net assets............................... 1.25%(b) 0.79% 0.80% 0.88% 1.43%
Ratio of expenses to average net assets*.... 1.37%(b) 1.34% 1.35% 1.23% 1.24%
Ratio of net investment income to average
net assets*.............................. 1.17%(b) 0.79% 0.80% 0.88% 1.35%
Portfolio turnover (c)...................... 2.96% 8.50% 3.56%(d) 6.37% 2.09%
</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) Not annualized.
(b) Annualized.
(c) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
(d) The Portfolio Turnover Percentage was adjusted for a conversion of assets
from First National Bank of Chicago's International Equity Common Trust
Fund, which took place during 1997. The Fund's securities purchases were
appropriately reduced by the fair market value of the asset transfer
approximating $20 million.
See notes to financial statements.
237
<PAGE> 240
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED INTERNATIONAL FUND
---------------------------------------------
CLASS B SHARES
---------------------------------------------
SIX MONTHS YEAR ENDED AUGUST 24,
ENDED DECEMBER 31, 1996 TO
JUNE 30, ---------------- DECEMBER 31,
1999 1998 1997 1996 (a)
---------- ------ ------ ------------
<S> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD.................................. $13.01 $11.37 $11.08 $10.84
------ ------ ------ ------
Investment Activities:
Net investment income (loss)......................... 0.03 0.01 0.01 0.04
Net realized and unrealized gains (losses) from
investments....................................... 1.04 1.74 0.34 0.24
------ ------ ------ ------
Total from Investment Activities.................. 1.07 1.75 0.35 0.28
------ ------ ------ ------
Distributions:
Net investment income................................ -- (0.08) (0.06) (0.04)
In excess of net investment income................... -- (0.03) -- --
------ ------ ------ ------
Total Distributions............................... -- (0.11) (0.06) (0.04)
------ ------ ------ ------
NET ASSET VALUE,
END OF PERIOD........................................ $14.08 $13.01 $11.37 $11.08
====== ====== ====== ======
Total Return (Excludes Sales Charge)................... 8.22%(b) 15.43% 2.90% 2.62%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000).................... $2,478 $2,545 $1,763 $1,131
Ratio of expenses to average net assets.............. 2.05%(c) 2.09% 2.10% 2.05%(c)
Ratio of net investment income to average net
assets............................................ 0.57%(c) 0.04% 0.05% 0.75%(c)
Ratio of expenses to average net assets*............. 2.08%(c) 2.09% 2.10% 2.05%(c)
Ratio of net investment income to average net
assets*........................................... 0.54%(c) 0.04% 0.05% 0.75%(c)
Portfolio turnover (d)............................... 2.96% 8.50% 3.56% 6.37%
</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.
238
<PAGE> 241
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED INTERNATIONAL FUND
------------------------------
CLASS C SHARES
------------------------------
MARCH 22,
1999 TO
JUNE 30,
1999(a)
------------------------------
<S> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................................... $13.47
------
Investment Activities:
Net realized and unrealized gains (losses) from
investments............................................ 0.61
------
Total from Investment Activities....................... 0.61
------
Distributions:
Total Distributions.................................... --
------
NET ASSET VALUE,
END OF PERIOD............................................. $14.08
======
Total Return (Excludes Sales Charge)........................ 4.53%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $ 5
Ratio of expenses to average net assets................... 2.00%(c)
Ratio of net investment income to average net assets...... 1.58%(c)
Portfolio turnover (d).................................... 2.96%
</TABLE>
- ------------
(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.
239
<PAGE> 242
- --------------------------------------------------------------------------------
Report of Independent Accountants
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 1999
To the Shareholders and Board of Trustees of
One Group Mutual Funds:
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of portfolio investments, and the 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 Small Cap Growth Fund (formerly the Small Capitalization Fund), the Small
Cap Value Fund (formerly the Pegasus Small Cap Opportunity Fund), the Mid Cap
Growth Fund (formerly the Growth Opportunities Fund), the Mid Cap Value Fund
(formerly the Disciplined Value Fund), the Diversified Mid Cap Fund (formerly
the Pegasus Mid Cap Opportunity Fund), the Large Cap Growth Fund (formerly the
Large Company Growth Fund), the Large Cap Value Fund (formerly the Large Company
Value Fund), the Equity Income Fund (formerly the Income Equity Fund), the
Diversified Equity Fund (formerly the Value Growth Fund), the Balanced Fund
(formerly the Asset Allocation Fund), the Equity Index Fund, the Market
Expansion Fund (formerly the Pegasus Market Expansion Fund), the International
Equity Index Fund and the Diversified International Fund (formerly the Pegasus
International Equity Fund) (fourteen series of One Group Mutual Funds, hereafter
referred to as the "Funds") at June 30, 1999, the results of each of their
operations for each of the periods presented, the changes in each of their net
assets for each of the periods presented, the cash flows of the International
Mid Cap Growth Fund and the Equity Index Fund for the year then ended and the
financial highlights for each of the periods presented (other than those
statements of operations, statements of changes in net assets and financial
highlights that have been audited by other independent accountants), in
conformity with generally accepted accounting principles. These financial
statements and financial highlights (hereafter referred to as "financial
statements") are the responsibility of the Funds' management; our responsibility
is to express an opinion on these financial statements based on our audits. We
conducted our audits of these 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, 1999 by
correspondence with the custodian and brokers, provide a reasonable basis for
the opinion expressed above. The financial statements of the Small Cap Value
Fund, the Diversified Mid Cap Fund, the Market Expansion Fund and the
Diversified International Fund for all periods ended on or before December 31,
1998 were audited by other independent accountants whose report dated February
12, 1999, expressed an unqualified opinion on those statements and financial
highlights.
PricewaterhouseCoopers LLP
Columbus, Ohio
August 20, 1999
240
<PAGE> 243
(This page has been left blank intentionally.)
<PAGE> 244
Important Customer Information.
Please Read:
Shares of One Group:
- - are not deposits or obligations of, or guaranteed by, BANK 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 BANK ONE CORPORATION, serves as an investment advisor to
One Group, for which it receives advisory fees. One Group is distributed by The
One Group Services Company, 3435 Stelzer Road, Columbus, Ohio 43219, which is
not affiliated with BANK 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 One Group Funds, including 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
[BANK ONE LOGO]
TOG-F-038-AN (8/99)
