<PAGE> 1
EQUITY FUNDS
SEMI-ANNUAL REPORT
FOR THE SIX MONTHS ENDED DECEMBER 31, 1999
[LOGO] ONE GROUP MUTUAL FUNDS
ONE GROUP(R) SMALL CAP GROWTH FUND
ONE GROUP(R) SMALL CAP VALUE FUND
ONE GROUP(R) MID CAP GROWTH FUND
ONE GROUP(R) MID CAP VALUE FUND
ONE GROUP(R) DIVERSIFIED MID CAP FUND
ONE GROUP(R) LARGE CAP GROWTH FUND
ONE GROUP(R) LARGE CAP VALUE FUND
ONE GROUP(R) EQUITY INCOME FUND
ONE GROUP(R) DIVERSIFIED EQUITY FUND
ONE GROUP(R) BALANCED FUND
ONE GROUP(R) EQUITY INDEX FUND
ONE GROUP(R) MARKET EXPANSION INDEX FUND
ONE GROUP(R) INTERNATIONAL EQUITY INDEX FUND
ONE GROUP(R) DIVERSIFIED INTERNATIONAL FUND
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-----------------------------------------------------
NOT FDIC INSURED - NO BANK GUARANTEE - MAY LOSE VALUE
-----------------------------------------------------
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- --------------------------------------------------------------------------------
Table of Contents
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS DECEMBER 31, 1999
Portfolio Performance Review.................................................. 2
Schedules of Portfolio Investments............................................ 4
Statements of Assets and Liabilities......................................... 97
Statements of Operations.................................................... 100
Statements of Changes in Net Assets......................................... 104
Statements of Cash Flows.................................................... 109
Schedules of Capital Stock Activity......................................... 110
Financial Highlights........................................................ 117
Notes to Financial Statements............................................... 172
1
<PAGE> 4
- --------------------------------------------------------------------------------
Portfolio Performance Review
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS DECEMBER 31, 1999
STOCKS END YEAR ON STRONG NOTE
In general, most stock market averages finished 1999 on a strong note. For
example, both the S&P 500 Index and the Dow Jones Industrial Average posted
solid double-digit returns for an unprecedented fifth-consecutive year. For the
12 months ended December 31, 1999, the S&P posted a total return of 21.04%, and
the Dow showed a total return of 27.21%.
Perhaps the biggest stock market story of 1999 occurred on NASDAQ. The
technology-heavy index enjoyed a record-breaking year, increasing 85.6% during
1999. Even more amazing, more than half of that gain occurred after November 3,
the day the index topped the 3000 mark. NASDAQ's 1999 performance represents the
greatest single-year gain ever posted by a U.S. stock market index.
GROWTH SOARS, WHILE VALUE STRUGGLES
In terms of styles, large-capitalization growth stocks maintained their favored
status among investors, as evidenced by the S&P 500/BARRA Growth Index's six-
month total return of 15.56% and one-year total return of 28.25%, as of December
31, 1999. But, the fondness for growth stocks extended into other areas of the
market. The S&P MidCap 400/BARRA Growth Index posted a six-month total return of
18.99% and a one-year total return of 28.74%, as of December 31, 1999. Small-cap
growth stocks, as represented by the S&P SmallCap 600/BARRA Growth Index, posted
a six-month and one-year total return of 17.60% and 19.57%, respectively, for
the periods ended December 31, 1999.
Value stocks, in general, suffered a disappointing second half that capped off a
difficult year. Several factors worked against value stocks, including rising
interest rates, the dominance of the growth sector, and the frenzy for
high-flying technology stocks. As of December 31, 1999, large-capitalization
value stocks, as represented by the S&P 500/BARRA Value Index, offered a
six-month total return of -1.08% and a one-year total return of 12.72%.
Smaller-cap value stocks didn't fare nearly as well. For example, the S&P MidCap
400/ BARRA Value Index posted a six-month total return of -3.17% and a one-year
total return of 2.33%; and the S&P SmallCap 600/BARRA Value Index posted six-
month and one-year total returns of -5.00% and 3.03%, respectively, for the
periods ended December 31, 1999.
TECHNOLOGY STOCKS DRIVE GROWTH SURGE
While growth stocks enjoyed solid overall returns in the second half of 1999,
much of that performance was concentrated in a single sector--technology.
Investors demonstrated strong demand for fast-growing technology plays. In
particular, Internet-related and wireless communications-related sectors
attracted significant investments and offered spectacular performance.
Many non-technology sectors, including some traditional growth sectors, actually
suffered during the period. For example, the growth-oriented health care sector
posted negative returns.
INTERNATIONAL STOCKS ENJOY TURNAROUND
The second half of 1999 saw the international stock market, as measured by the
Europe, Australia and Far East Gross Domestic Product (EAFE GDP) Index, stage a
turnaround. In fact, the EAFE index outperformed the S&P 500 Index for the final
six months of 1999 and for the entire 12-month period ended December 31, 1999.
EAFE GDP's six-month and one-year total returns were 23.99% and 31.00%,
respectively.
Despite a slow start to 1999, due primarily to problems associated with the
euro, Europe staged a comeback in the second half of the year. Also, Asia's
recovery came quicker and stronger than most expected. The emerging markets also
offered strong performance.
ONE GROUP FUNDS STAY TRUE TO STYLES
By staying true to their disciplines and stated style objectives, most One Group
stock funds offered solid total returns for the six-month and one-year periods.
In the growth sector, our funds remained focused on companies with predictable
earnings streams and solid earnings growth prospects. Our value-oriented funds
focused on attractively priced stocks with improving fundamentals.
Despite the performance advantages in the technology sector, our funds stayed
true to their stated style and diversification objectives. Many of our funds
were able to benefit from the technology rally, but within the
2
<PAGE> 5
- --------------------------------------------------------------------------------
Portfolio Performance Review, continued
- --------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS DECEMBER 31, 1999
guidelines of our disciplined strategies. We did not significantly alter our
sector weightings or chase the best-performing technology stocks to boost
short-term performance. Instead, we simply invested in those issues--in the
technology sector and all others--that our research efforts identified as good
long-term prospects. We believe this is a prudent long-term strategy, regardless
of what happens over short-term time periods.
OUTLOOK REMAINS GOOD
We believe that conditions remain favorable for continued stock market growth,
though probably not at the pace we've seen over the last several years. We think
that interest rates will continue their upward course, at least for the first
half of 2000. This should continue to put some pressure on the stock market.
Once rates subside, we hope to see market participation widen into the value
sector.
We believe that diversification will be a key strategy in 2000. Investors should
avoid the temptation to chase 1999's big winners and make sure they maintain a
broadly diversified equity portfolio that includes a variety of domestic and
international stocks.
/s/ Richard R. Jandrain
Richard R. Jandrain III
Chief Investment Officer of Equity Securities
Banc One Investment Advisors
S&P 500/BARRA Growth Index contains those stocks in the S&P 500 with higher
price-to-book ratios. S&P MidCap 400/BARRA Growth Index is an unmanaged index
representing the performance of the highest price-to-book securities in the S&P
Midcap 400 Index. S&P Small Cap 600/ BARRA Growth Index is an unmanaged index
generally representative of the performance of 600 small capitalization domestic
stocks with a higher price-to-book ratio. S&P 500/BARRA Value Index contains
those stocks in the S&P 500 with lower price-to-book ratios. S&P MidCap 400/
BARRA Value Index is an unmanaged index representing the performance of the
lowest price-to-book securities in the S&P Midcap 400 Index. S&P SmallCap
600/BARRA Value Index is an unmanaged index generally representative of the
performance of 600 small capitalization domestic stocks with a lower
price-to-book ratio. Morgan Stanley EAFE/GDP Index is an unmanaged index
generally representative of the performance of international stock markets.
Investors are unable to purchase the indexes directly, although they can invest
in the underlying securities.
3
<PAGE> 6
- --------------------------------------------------------------------------------
One Group Mutual Funds
Small Cap Growth Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS (97.3%):
Business Equipment & Services (21.2%):
30 Advo, Inc. (b)....................... $ 717
54 American Management Systems (b)...... 1,694
23 Catalina Marketing Corp. (b)......... 2,628
38 Choicepoint, Inc. (b)................ 1,560
77 Ciber, Inc. (b)...................... 2,104
30 Clarify, Inc. (b).................... 3,818
24 Computer Task Group, Inc. ........... 348
20 Concord Communications, Inc. (b)..... 888
48 Dendrite International, Inc. (b)..... 1,612
20 Factset Research Systems, Inc. ...... 1,577
26 Henry (Jack) & Associates............ 1,412
27 HNC Software, Inc. (b)............... 2,834
41 Hyperion Solutions Corp. (b)......... 1,784
40 Insight Enterprises, Inc. (b)........ 1,617
16 Issac Fair & Company, Inc. .......... 848
36 John H. Harland Co. ................. 659
39 Labor Ready, Inc. (b)................ 470
25 Maximus, Inc. (b).................... 848
4 Media Metrix, Inc. (b)............... 157
47 Medquist, Inc. (b)................... 1,208
42 National Computer Systems, Inc. ..... 1,561
27 Prepaid Legal Services, Inc. (b)..... 650
59 Profit Recovery Group International
(b)................................ 1,570
18 QRS Corp. (b)........................ 1,867
47 RSA Security, Inc. (b)............... 3,612
22 SEI Corp. ........................... 2,618
55 Technology Solutions Co. (b)......... 1,801
58 True North Communications............ 2,596
71 Whittman-Hart, Inc. (b).............. 3,818
38 Zebra Technologies Corp., Class A
(b)................................ 2,223
--------
51,099
--------
Capital Goods (5.6%):
20 C&D Technologies, Inc. .............. 842
18 Crane Co. ........................... 358
24 Elcor Corp. ......................... 732
16 Electro Scientific Industries, Inc.
(b)................................ 1,168
33 Graco, Inc. ......................... 1,170
28 Helix Technology Corp. .............. 1,232
33 Insituform Technologies (b).......... 932
43 Manitowoc Co., Inc. ................. 1,445
43 Methode Electronics, Class A......... 1,388
38 Roper Industries, Inc. .............. 1,444
20 Technitrol, Inc. .................... 890
50 Vicor Corp. (b)...................... 2,025
--------
13,626
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Consumer Durable (2.2%):
26 Copart, Inc. (b)..................... $ 1,148
90 Gentex Corp. (b)..................... 2,492
33 Polaris Industries, Inc. ............ 1,182
27 Winnebago Industries, Inc. .......... 544
--------
5,366
--------
Consumer Non-Durable (2.5%):
20 AptarGroup, Inc. .................... 497
28 Biomatrix, Inc. (b).................. 533
9 Coca-Cola Bottling Co. .............. 441
39 Fossil, Inc. (b)..................... 904
26 Libbey, Inc. ........................ 750
41 Pacific Sunwear of California (b).... 1,323
23 Quiksilver, Inc. (b)................. 355
25 Timberland Co., Class A (b).......... 1,344
--------
6,147
--------
Consumer Services (1.7%):
46 Midway Games, Inc. (b)............... 1,101
22 THQ, Inc. (b)........................ 510
62 Valassis Communications, Inc. (b).... 2,601
--------
4,212
--------
Energy (0.5%):
19 Cal Dive International, Inc. (b)..... 629
25 Newfield Exploration Co. (b)......... 661
--------
1,290
--------
Financial Services (5.6%):
23 Arthur J. Gallagher & Co. ........... 1,515
17 Blanch (E.W.) Holdings, Inc. ........ 1,029
37 Chittenden Corp. .................... 1,090
37 Commerce Bancorp, Inc. .............. 1,512
44 Eaton Vance Corp. ................... 1,688
63 Hudson United Bancorp ............... 1,610
13 Investors Financial Services
Corp. ............................. 575
32 Pioneer Group, Inc. (b).............. 504
38 Premier Bancshares, Inc. ............ 518
28 Queens County Bancorp ............... 762
66 Trustco Bank Corp. .................. 873
24 US Trust Corp. ...................... 1,901
--------
13,577
--------
Health Care (12.5%):
40 Alpharm, Inc., Class A............... 1,227
32 Barr Laboratories, Inc. (b).......... 988
71 BIO Technology General Corp. (b)..... 1,089
44 Cephalon, Inc. (b)................... 1,514
36 Cor Therapeutics, Inc. (b)........... 962
37 Cygnus, Inc. (b)..................... 675
</TABLE>
Continued
4
<PAGE> 7
- --------------------------------------------------------------------------------
One Group Mutual Funds
Small Cap Growth Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Health Care, continued:
35 Enzo Biochem, Inc. (b)............... $ 1,568
38 Hooper Holmes, Inc. ................. 984
53 IDEC Pharmaceuticals Corp. (b)....... 5,168
34 Incyte Pharmaceuticals, Inc. (b)..... 2,022
55 Jones Pharma, Inc. .................. 2,406
31 Laser Vision Centers, Inc. (b)....... 323
59 Liposome Co., Inc. (b)............... 720
34 Mentor Corp. ........................ 865
44 Patterson Dental Co. (b)............. 1,871
25 Protein Design Labs, Inc. (b)........ 1,750
56 Renal Care Group, Inc. (b)........... 1,300
21 Resmed, Inc. (b)..................... 877
69 Safeskin Corp. (b)................... 840
67 Summit Technology, Inc. (b).......... 781
35 Vertex Pharmaceuticals, Inc. (b)..... 1,225
25 Wesley Jessen Visioncare (b)......... 928
--------
30,083
--------
Raw Materials (3.0%):
48 Buckeye Technologies, Inc. (b)....... 715
10 Cambrex Corp. ....................... 344
29 Geon Co. ............................ 949
30 MacDermid, Inc. ..................... 1,244
35 Scotts Co., Class A (b).............. 1,393
26 Techne Corp. (b)..................... 1,433
38 Valence Technology, Inc. (b)......... 722
19 WD-40 Co. ........................... 420
--------
7,220
--------
Retail (4.7%):
36 Applebees International, Inc. ....... 1,053
33 CEC Entertainment, Inc. (b).......... 931
25 Cost Plus Inc./ California (b)....... 891
34 Delta Pine & Land Co. ............... 592
46 Jack In The Box, Inc. (b)............ 958
48 Linens 'n Things, Inc. (b)........... 1,416
62 O'Reilly Automotive, Inc. (b)........ 1,322
55 Regis Corp. ......................... 1,045
25 Sonic Corp. (b)...................... 718
25 The Cheesecake Factory (b)........... 861
31 Whole Foods Market, Inc. (b)......... 1,456
--------
11,243
--------
Shelter (0.7%):
50 Ethan Allen Interiors, Inc. ......... 1,594
--------
Technology (33.5%):
19 Adative Broadband Corp. (b).......... 1,402
13 Alliant Techsystems, Inc. (b)........ 823
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
24 Alpha Industries, Inc. (b)........... $ 1,364
25 Apex, Inc. (b)....................... 806
45 Artesyn Technologies, Inc. (b)....... 951
56 Aspect Communications Corp. ......... 2,203
34 Aspen Technology, Inc. (b)........... 899
25 Black Box Corp. (b).................. 1,675
65 Burr-Brown Corp. (b)................. 2,357
18 C-Cor.Net Corp. (b).................. 1,379
50 C-Cube Microsystems, Inc. (b)........ 3,106
51 Cognex Corp. (b)..................... 1,977
62 Commscope, Inc. (b).................. 2,511
34 CTS Corp. ........................... 2,563
35 Dallas Semi-Conductor Corp. ......... 2,281
82 Digital Microwave Corp. (b).......... 1,929
28 Dionex Corp. (b)..................... 1,133
32 Dycom (b)............................ 1,406
21 Electroglas, Inc. (b)................ 530
28 Etec Systems, Inc. (b)............... 1,261
44 Filenet Corp. (b).................... 1,122
51 Harbinger Corp. (b).................. 1,622
31 Inter-Tel, Inc. ..................... 765
39 Intervoice, Inc. (b)................. 904
48 Kemet Corp. (b)...................... 2,163
15 Kronos, Inc. (b)..................... 894
28 Kulicke & Soffa Industries (b)....... 1,192
58 Lattice Semiconductor Corp. (b)...... 2,733
62 Macromedia, Inc. (b)................. 4,519
48 Mercury Interactive (b).............. 5,128
50 Micrel, Inc. (b)..................... 2,870
20 Micros Systems, Inc. (b)............. 1,487
64 National Instruments Corp. (b)....... 2,459
21 Oak Industries, Inc. (b)............. 2,250
78 P-Com, Inc. (b)...................... 690
21 Plantronics, Inc. (b)................ 1,467
22 Plexus Corp. (b)..................... 955
25 Powerwave Technologies, Inc. (b)..... 1,454
22 Progress Software Corp. (b).......... 1,231
28 Project Software & Development, Inc.
(b)................................ 1,554
14 Proxim, Inc. (b)..................... 1,540
37 Remedy Corp. (b)..................... 1,776
27 Trimble Navigation, Ltd. (b)......... 584
39 Verity, Inc. (b)..................... 1,660
38 Visio Corp. (b)...................... 1,824
35 Xircom, Inc. (b)..................... 2,603
18 Zixit Corp. (b)...................... 725
--------
80,727
--------
</TABLE>
Continued
5
<PAGE> 8
- --------------------------------------------------------------------------------
One Group Mutual Funds
Small Cap Growth Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Transportation (2.5%):
44 Air Express International Corp. ..... $ 1,428
32 Eagle USA Airfreight, Inc. (b)....... 1,384
62 Expeditors International of
Washington, Inc. .................. 2,699
17 Midwest Express Holdings (b)......... 542
--------
6,053
--------
Utilities (1.1%):
50 Philadelphia Suburban Corp. ......... 1,028
97 Talk.Com, Inc. (b)................... 1,717
--------
2,745
--------
Total Common Stocks 234,982
--------
INVESTMENT COMPANIES (2.5%):
5,971 One Group Prime Money Market Fund,
Class I............................ 5,971
--------
Total Investment Companies 5,971
--------
U.S. TREASURY OBLIGATIONS (0.2%):
U.S. Treasury Bills (0.2%):
$ 395 1/20/00.............................. 394
115 3/23/00.............................. 114
--------
Total U.S. Treasury Obligations 508
--------
SHORT-TERM SECURITIES HELD AS COLLATERAL (4.9%):
Investment Companies (0.9%):
1,715 Aim Liquid Asset Money Market Fund... 1,715
343 One Group Prime Money Market Fund,
Class I............................ 343
--------
2,058
--------
Master Notes (0.4%):
$ 401 Bear Stearns Mortgage Capital, 4.77%,
1/3/00*............................ 401
171 Lehman Brothers, 4.88%, 1/3/00*...... 171
171 Merrill Lynch, 4.68%, 1/3/00*........ 171
103 NationsBanc Capital Markets, 4.70%,
1/3/00*............................ 103
--------
846
--------
Put Bonds (1.8%):
457 Amex Centurion, 5.08%, 2/18/00*...... 457
149 Branch Banking & Trust, 5.11%,
5/25/00*........................... 149
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Put Bonds, continued:
$ 343 Caterpillar Financial, 5.17%,
5/1/01*............................ $ 343
286 Chase Manhattan, 5.23%, 5/6/02*...... 286
263 Evangelical Lutheran, 6.64%,
4/28/00*........................... 262
286 Fleet National Bank, 5.04%,
4/18/00*........................... 286
286 GMAC, 5.19%, 5/3/01*................. 286
114 J.P. Morgan & Co., 5.07%, 5/4/00*.... 114
286 J.P. Morgan & Co., 5.13%, 5/4/01*.... 286
286 Lehman Brothers, 6.64%, 7/20/00*..... 286
114 Liberty Lighthouse, 5.12%, 5/5/00*... 114
286 Merrill Lynch, 5.28%, 5/6/02*........ 286
514 Morgan Stanley, 5.25%, 01/21/00*..... 514
131 Salomon Smith Barney, 5.01%,
2/5/01*............................ 131
286 Sigma Finance, Inc., 5.11%,
3/31/00*........................... 286
343 SPARCC, 6.05%, 3/24/00*.............. 343
--------
4,429
--------
Repurchase Agreements (1.8%):
1,143 HSBC, 4.67%, 1/3/00, (Collateralized
by $3,578 various Government
Securities, 0.00% - 10.63%,
1/28/00 - 4/15/29, market value
$1,166)............................ 1,143
857 HSBC, 4.62%, 1/3/00, (Collateralized
by $1,166, various Government
Securities, 0.00% - 13.38%,
1/20/00 - 3/7/12, market value
$875).............................. 857
1,372 Lehman Brothers, 4.85%, 1/3/00,
(Collateralized by 32 various
Equity Securities, market value
$1,444)............................ 1,372
1,095 Lehman Brothers, 4.65%, 1/3/00
(Collateralized by $1,149 various
Commercial Paper, 0.00%, 1/10/00 -
5/23/00, market value $1,149)...... 1,095
--------
4,467
--------
Total Short-Term Securities Held as Collateral 11,800
--------
Total (Cost $207,222) (a) $253,261
========
</TABLE>
- ------------
Percentages indicated are based on net assets of $241,508.
Continued
6
<PAGE> 9
- --------------------------------------------------------------------------------
One Group Mutual Funds
Small Cap Growth Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
(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...................... $52,462
Unrealized depreciation...................... (6,423)
-------
Net unrealized appreciation.................. $46,039
=======
</TABLE>
(b) Non-income producing securities.
* 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 December 31,
1999.
See notes to financial statements.
7
<PAGE> 10
- --------------------------------------------------------------------------------
One Group Mutual Funds
Small Cap Value Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS (95.8%):
Capital Goods (8.8%):
100 Hubbell, Inc., Class B............... $ 2,725
150 Interface, Inc. ..................... 863
6 Nacco Industries, Class A............ 333
90 Snap-On, Inc. ....................... 2,391
70 Tecumseh Products Co. ............... 3,302
85 Trinity Industries, Inc. ............ 2,417
125 Wabash National Corp. ............... 1,875
145 Watsco, Inc. ........................ 1,677
140 Watts Industries, Inc., Class A...... 2,065
150 X-Rite, Inc. ........................ 938
--------
18,586
--------
Commercial Services (7.1%):
125 A.H. Belo Corp. ..................... 2,383
106 Interim Services, Inc. (b)........... 2,624
140 Kelly Services, Inc. ................ 3,518
50 Lawson Products, Inc. ............... 1,156
151 Olsten Corp. ........................ 1,709
100 Thomas Nelson, Inc. ................. 925
215 Unifirst Corp. ...................... 2,714
--------
15,029
--------
Consumer Durable (5.9%):
100 Arctic Cat, Inc. .................... 1,000
50 Borg Warner Automotive, Inc. ........ 2,025
50 Cooper Tire & Rubber Co. ............ 778
29 La-Z-Boy, Inc. ...................... 483
55 Littelfuse, Inc. (b)................. 1,337
47 Myers Industries, Inc. .............. 740
100 Simpson Industries................... 1,125
40 Simpson Manufacturing Co., Inc.
(b)................................ 1,741
150 Tower Automotive, Inc. (b)........... 2,316
100 Transpro, Inc. ...................... 644
20 Tredegar Industries Corp. ........... 405
--------
12,594
--------
Consumer Non-Durable (6.3%):
66 AptarGroup, Inc. .................... 1,656
46 Canandaigua Brands Inc., Class A
(b)................................ 2,361
60 Dean Foods........................... 2,385
15 IBP, Inc. ........................... 270
50 Libbey, Inc. ........................ 1,432
64 Michael Foods, Inc. ................. 1,564
135 Smithfield Foods, Inc. (b)........... 3,240
32 The Earthgrains Co. ................. 519
--------
13,427
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Energy (3.5%):
100 Ashland Co., Inc. ................... $ 3,294
53 Cabot Oil & Gas Corp., Class A....... 851
175 Ocean Energy, Inc. (b)............... 1,356
95 Valero Energy Corp. ................. 1,888
--------
7,389
--------
Financial Services (16.7%):
100 Banknorth Group, Inc. ............... 2,675
32 Centura Banks, Inc. ................. 1,399
75 Commerce Group, Inc. ................ 1,959
65 Community First Bankshares........... 1,017
75 Countrywide Credit Industries,
Inc. .............................. 1,894
25 Enhance Financial Services Group,
Inc. .............................. 406
100 First American Financial Corp. ...... 1,244
50 First Virginia Banks, Inc. .......... 2,150
60 FirstMerit Corp. .................... 1,380
160 Horace Mann Educators................ 3,139
35 Legg Mason, Inc. .................... 1,269
100 Liberty Financial Companies, Inc. ... 2,294
100 Pacific Century Financial Corp. ..... 1,869
150 Phoenix Investment Partners.......... 1,219
25 PMI Group, Inc. ..................... 1,220
50 Radian Group, Inc. .................. 2,388
37 Reinsurance Group Of America,
Inc. .............................. 1,013
38 Sovereign Bancorp, Inc. ............. 280
125 State Auto Financial Corp. .......... 1,141
110 Susquehanna Bancshares, Inc. ........ 1,741
77 Triad Guaranty, Inc. (b)............. 1,745
85 Washington Federal, Inc. ............ 1,679
--------
35,121
--------
Health Care (7.2%):
197 Amerisource Health Corp., Class A
(b)................................ 2,990
50 Arrow International, Inc. ........... 1,457
145 Bindley Western Industries, Inc. .... 2,184
112 Coventry Health Care, Inc. (b)....... 756
176 Foundation Health Systems, Inc.,
Class A (b)........................ 1,749
4 Pacificare Health (b)................ 228
85 Quest Diagnostics, Inc. (b).......... 2,598
18 Rightchoice Managed Care, Class A
(b)................................ 201
99 St Jude Medical, Inc. (b)............ 3,033
--------
15,196
--------
Raw Materials (10.0%):
100 A. Schulman, Inc. ................... 1,631
58 Caraustar Industries, Inc. .......... 1,390
100 Cleveland Cliffs, Inc. .............. 3,112
40 Crown Cork & Seal Co., Inc. ......... 895
</TABLE>
Continued
8
<PAGE> 11
- --------------------------------------------------------------------------------
One Group Mutual Funds
Small Cap Value Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Raw Materials, continued:
25 Florida Rock Industries.............. $ 854
71 OM Group, Inc. ...................... 2,445
15 Rayonier Inc. ....................... 725
75 Reliance Steel And Aluminum Co. ..... 1,758
100 Rock-Tenn, Class A................... 1,475
75 RPM, Inc. ........................... 764
60 Ryerson Tull, Inc. .................. 1,162
75 Sherwin Williams Co. ................ 1,575
30 The Valspar Corp. ................... 1,256
23 Universal Forest Products, Inc. ..... 339
100 Wellman, Inc. ....................... 1,863
--------
21,244
--------
Real Estate Investment Trust (2.7%):
75 Centerpoint Properties Corp. ........ 2,691
134 Great Lakes REIT, Inc. .............. 1,925
125 Thornburg Mortgage Asset Group....... 1,031
--------
5,647
--------
Retail (5.8%):
200 Bob Evans Farms, Inc. ............... 3,088
175 Bon-Ton Stores (b)................... 645
70 Buffets, Inc. (b).................... 700
59 Consolidated Products, Inc. (b)...... 601
151 Dillard's, Inc. ..................... 3,056
100 Goody's Family Clothing, Inc. (b).... 538
50 IHOP Corp. (b)....................... 834
65 Lone Star Steakhouse & Saloon (b).... 580
107 Pier 1 Imports, Inc. ................ 682
57 Prime Hospitality Corp. (b).......... 502
50 Ruddick Corp. ....................... 775
53 Stride Rite Corp. ................... 345
--------
12,346
--------
Shelter (3.1%):
60 Armstrong World Industries, Inc. .... 2,003
98 Crossmann Communities, Inc. (b)...... 1,525
25 D.R. Horton, Inc. ................... 345
100 Fleetwood Enterprises................ 2,063
38 MDC Holdings, Inc. .................. 593
--------
6,529
--------
Technology (10.2%):
95 Advanced Communications Systems, Inc.
(b)................................ 1,819
76 Analysts International Corp. ........ 948
135 Arrow Electronics, Inc. (b).......... 3,425
90 Autodesk, Inc. ...................... 3,037
40 Avnet, Inc. ......................... 2,407
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
100 Benchmark Electronics, Inc. (b)...... $ 2,291
24 Burr-Brown Corp. (b)................. 858
100 Information Resources, Inc. (b)...... 925
50 Kent Electronics Corp. (b)........... 1,138
25 National Instruments Corp. (b)....... 956
50 Silicon Valley Group, Inc. (b)....... 888
52 SPSS, Inc. (b)....................... 1,323
125 Structural Dynamics Research Corp.
(b)................................ 1,594
3 Tetra Tech, Inc. (b)................. 42
--------
21,651
--------
Transportation (4.5%):
110 Airborne Freight Corp. .............. 2,420
110 Alexander & Baldwin, Inc. ........... 2,508
150 J.B. Hunt Transport Services,
Inc. .............................. 2,077
150 Pittston Bax Group................... 1,594
60 Yellow Corp. (b)..................... 1,014
--------
9,613
--------
Utilities (4.0%):
50 American Water Works Co., Inc. ...... 1,063
103 Atmos Energy Corp. .................. 2,105
150 DPL, Inc. ........................... 2,596
25 New Jersey Resources Corp. .......... 973
80 Northwest Natural Gas Co. ........... 1,755
--------
8,492
--------
Total Common Stocks 202,864
--------
INVESTMENT COMPANIES (3.9%):
8,252 One Group Prime Money Market Fund,
Class I............................ 8,252
--------
Total Investment Companies 8,252
--------
REPURCHASE AGREEMENTS (0.4%):
$ 767 State Street Bank & Trust, 3.00%,
1/3/00, (Collateralized by $767
U.S. Government Security, 0.00%,
6/15/00, market value $783)........ 767
--------
Total Repurchase Agreements 767
--------
SHORT-TERM SECURITIES HELD AS COLLATERAL (0.7%):
Investment Companies (0.1%):
201 Aim Liquid Asset Money Market Fund... 201
40 One Group Prime Money Market Fund,
Class I............................ 40
--------
241
--------
</TABLE>
Continued
9
<PAGE> 12
- --------------------------------------------------------------------------------
One Group Mutual Funds
Small Cap Value Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Master Notes (0.0%):
$ 47 Bear Stearns, 4.77%, 1/3/00*......... $ 47
20 Lehman Brothers, 4.88%, 1/3/00*...... 20
20 Merrill Lynch, 4.68%, 1/3/00*........ 20
12 NationsBanc, 4.70%, 1/3/00*.......... 12
--------
99
--------
Put Bonds (0.3%):
53 Amex Centurion, 5.08%, 2/18/00*...... 53
17 Branch Banking & Trust, 5.11%,
5/25/00*........................... 17
40 Caterpillar Financial, 5.17%,
5/1/01*............................ 40
34 Chase Manhattan, 5.23%, 5/6/02*...... 34
31 Evangelical Lutheran, 6.64%,
4/28/00*........................... 31
34 Fleet National Bank, 5.04%,
4/18/00*........................... 34
34 GMAC, 5.19%, 5/3/01*................. 34
34 J.P. Morgan & Co., 5.13%, 5/4/01*.... 34
13 J.P. Morgan & Co., 5.07%, 5/4/00*.... 13
34 Lehman Brothers, 6.64%, 7/20/00*..... 34
13 Liberty Lighthouse, 5.12%, 5/5/00*... 13
34 Merrill Lynch, 5.28%, 5/6/02*........ 34
59 Morgan Stanley, 5.25%, 1/21/00*...... 59
15 Salomon Smith Barney, 5.01%,
2/5/01*............................ 15
34 Sigma Finance, Inc., 5.11%,
3/31/00*........................... 34
40 SPARCC, 6.05%, 3/24/00*.............. 40
--------
519
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Repurchase Agreements (0.3%):
$ 101 HSBC, 4.62%, 1/3/00, (Collateralized
by $137 various Government
Securities, 0.00% - 13.38%,
1/20/00 - 3/7/12, market value
$103).............................. $ 101
134 HSBC, 4.67%, 1/3/00, (Collateralized
by $420 various Government
Securities, 0.00% - 10.63%,
1/28/00 - 4/15/29, market value
$137).............................. 134
162 Lehman Brothers, 4.85%, 1/3/00,
(Collateralized by 4 various Equity
Securities, market value $169)..... 162
128 Lehman Brothers, 4.65%, 1/3/00,
(Collateralized by $135 various
Commercial Paper, 0.00%, 1/10/00 -
5/23/00, market value $135)........ 128
--------
525
--------
Total Short-Term Securities Held as Collateral 1,384
--------
Total (Cost $214,930) (a) $213,267
========
</TABLE>
- ------------
Percentages indicated are based on net assets of $211,672.
(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...................... $ 13,180
Unrealized depreciation...................... (14,843)
--------
Net unrealized appreciation.................. $ (1,663)
========
</TABLE>
(b) Non-income producing securities.
* 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 December 31, 1999.
See notes to financial statements.
10
<PAGE> 13
- --------------------------------------------------------------------------------
One Group Mutual Funds
Mid Cap Growth Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMERCIAL PAPER (2.3%):
Financial Services (2.3%):
$42,000 GE Capital Corp., 6.17%, 3/16/00.... $ 41,521
----------
Total Commercial Paper 41,521
----------
COMMON STOCKS (93.7%):
Business Equipment & Services (12.9%):
23 Agency.com, Ltd. (b)................ 1,188
280 Apollo Group, Inc., Class A (b)..... 5,624
167 Checkfree Holdings Corp. (b)........ 17,399
405 Cintas Corp. ....................... 21,537
597 Comdisco, Inc. ..................... 22,235
729 Concord EFS, Inc. (b)............... 18,763
621 Convergys Corp. (b)................. 19,086
431 Fiserv, Inc. (b).................... 16,497
14 Internet Capital Group, Inc. (b).... 2,380
278 Manpower, Inc....................... 10,445
336 Miller (Herman), Inc. .............. 7,730
12 Netratings, Inc. (b)................ 582
49 Omnicom Group, Inc. ................ 4,880
23 Optio Software, Inc. (b)............ 548
143 QLogic Corp. (b).................... 22,878
259 Reynolds & Reynolds Co. ............ 5,832
520 Robert Half International, Inc.
(b)............................... 14,853
392 Staples, Inc. (b)................... 8,142
376 Viad Corp. ......................... 10,481
368 Waters Corp. (b).................... 19,493
37 Xpedior, Inc. (b)................... 1,070
----------
231,643
----------
Capital Goods (1.7%):
259 American Standard Companies (b)..... 11,868
259 Fastenal Co. ....................... 11,621
138 USG Corp. .......................... 6,522
----------
30,011
----------
Consumer Durable (2.8%):
547 Harley-Davidson, Inc. .............. 35,010
178 SPX Corp. (b)....................... 14,393
----------
49,403
----------
Consumer Non-Durable (2.6%):
182 American Eagle Outfitters (b)....... 8,181
525 Dial Corp. ......................... 12,771
155 Hormel Foods Corp. ................. 6,305
436 Jones Apparel Group, Inc. (b)....... 11,818
269 McCormick & Co., Inc. .............. 8,009
----------
47,084
----------
Consumer Services (6.2%):
196 Hispanic Broadcasting Corp. (b)..... 18,029
187 International Speedway Corp. ....... 9,400
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Consumer Services, continued:
414 Readers Digest Assoc., Inc. ........ $ 12,104
413 Univision Communications (b)........ 42,151
180 Viacom, Inc. (b).................... 10,849
251 Westwood One, Inc. (b).............. 19,076
----------
111,609
----------
Financial Services (4.2%):
817 E*Trade Group, Inc. (b)............. 21,336
609 First Tennessee National Corp. ..... 17,357
39 Hartford Financial Services Group... 1,867
154 Legg Mason, Inc. ................... 5,586
209 National Commerce Bancorp........... 4,748
211 North Fork Bancorp, Inc. ........... 3,687
338 Zions Bancorp....................... 19,982
----------
74,563
----------
Health Care (13.9%):
84 Beckman Coulter, Inc. .............. 4,263
649 Biogen, Inc. (b).................... 54,842
152 Biomet, Inc. ....................... 6,084
434 Chiron Corp. (b).................... 18,403
293 Forest Laboratories, Inc., Class A
(b)............................... 18,007
234 Gilead Sciences, Inc. (b)........... 12,660
682 Health Management Associates, Inc.
(b)............................... 9,124
327 Ivax Corp. (b)...................... 8,423
265 MedImmune (b)....................... 43,940
119 Millennium Pharmaceuticals (b)...... 14,542
120 Minimed, Inc. (b)................... 8,775
112 Sepracor, Inc. (b).................. 11,069
332 Stryker Corp. ...................... 23,102
226 VISX, Inc. (b)...................... 11,675
129 Watson Pharmaceutical, Inc. (b)..... 4,623
----------
249,532
----------
Multi-Industry (0.2%):
48 Chartered Semiconductor ADR (b)..... 3,497
19 Metalink, Ltd. (b).................. 381
----------
3,878
----------
Retail (7.3%):
298 Abercrombie & Fitch (b)............. 7,964
101 AnnTaylor Stores Corp. (b).......... 3,492
277 BJ's Wholesale Club, Inc. (b)....... 10,121
96 CDW Computer Center, Inc. (b)....... 7,532
189 Circuit City Stores, Inc. .......... 8,494
218 Dollar Tree Stores, Inc. (b)........ 10,555
511 Family Dollar Stores, Inc. ......... 8,337
146 Hannaford Brothers Co. ............. 10,120
238 Outback Steakhouse, Inc. (b)........ 6,160
</TABLE>
Continued
11
<PAGE> 14
- --------------------------------------------------------------------------------
One Group Mutual Funds
Mid Cap Growth Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Retail, continued:
669 Starbucks Corp. (b)................. $ 16,216
331 Tiffany & Co. ...................... 29,524
287 Williams Sonoma, Inc. (b)........... 13,211
----------
131,726
----------
Technology (38.7%):
142 Adtran, Inc. (b).................... 7,299
662 Altera Corp. (b).................... 32,820
744 American Power Conversion Corp.
(b)............................... 19,616
29 Applied Materials, Inc. (b) (b)..... 3,623
704 ATMEL Corp. (b)..................... 20,800
14 Cacheflow, Inc. (b)................. 1,830
873 Cadence Design Systems, Inc. (b).... 20,950
33 Caliper Technologies Corp. (b)...... 2,169
55 Comverse Technology, Inc. (b)....... 7,990
327 Cypress Semiconductor Corp. (b)..... 10,600
230 Electronic Arts, Inc. (b)........... 19,337
5 Freemarkets, Inc. (b)............... 1,604
10 Intertrust Technologies Corp. (b)... 1,129
664 Intuit, Inc. (b).................... 39,804
310 Jabil Circuit, Inc. (b)............. 22,594
187 Keane, Inc. (b)..................... 5,937
280 Legato Systems, Inc. (b)............ 19,254
549 Linear Technology Corp. ............ 39,252
1,000 Maxim Integrated Products, Inc.
(b)............................... 47,197
33 McAfee.com Corp. (b)................ 1,467
110 Microchip Technology, Inc. (b)...... 7,501
111 Novellus Systems (b)................ 13,625
488 Rational Software Corp. (b)......... 23,973
206 Sanmina Corp. (b)................... 20,604
357 SCI Systems, Inc. (b)............... 29,341
636 Siebel Systems, Inc. (b)............ 53,390
365 Symantec Corp. (b).................. 21,398
502 Symbol Technologies, Inc. .......... 31,915
274 Synopsys, Inc. (b).................. 18,256
5 VA Linux Systems, Inc. (b).......... 950
851 Veritas Software Corp. (b).......... 121,793
427 Vitesse Semiconductor (b)........... 22,407
106 Xilinx, Inc. (b).................... 4,820
----------
695,245
----------
Utilities (3.2%):
74 Alltel.............................. 6,078
786 Broadwing, Inc. (b)................. 28,991
286 Calpine Corp. (b)................... 18,304
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Utilities, continued:
66 Centurytel, Inc. ................... $ 3,127
25 Tritel, Inc. (b).................... 792
----------
57,292
----------
Total Common Stocks 1,681,986
----------
INVESTMENT COMPANIES (5.1%):
375 Mid Cap 400 Depository Receipt...... 30,422
60 Nasdaq-100 (b)...................... 10,928
50,404 One Group Prime Money Market Fund,
Class I........................... 50,405
----------
Total Investment Companies 91,755
----------
U.S. TREASURY OBLIGATIONS (0.2%):
U.S. Treasury Bills (0.2%):
$ 2,845 1/20/00 (c)......................... 2,839
----------
Total U.S. Treasury Obligations 2,839
----------
SHORT-TERM SECURITIES HELD AS COLLATERAL (13.3%):
Investment Companies (2.3%):
34,755 Aim Liquid Asset Money Market
Fund.............................. 34,755
6,951 One Group Prime Money Market Fund,
Class I........................... 6,951
----------
41,706
----------
Master Notes (1.0%):
$ 8,110 Bear Stearns, 4.77%, 1/3/00*........ 8,110
3,475 Lehman Brothers, 4.88%, 1/3/00*..... 3,475
3,476 Merrill Lynch, 4.68%, 1/3/00*....... 3,476
2,085 NationsBanc, 4.70%, 1/3/00*......... 2,085
----------
17,146
----------
Put Bonds (5.0%):
9,269 Amex Centurion, 5.08%, 2/18/00*..... 9,269
3,012 Branch Banking & Trust, 5.11%,
5/25/00*.......................... 3,010
6,951 Caterpillar Financial, 5.17%,
5/1/01*........................... 6,951
5,792 Chase Manhattan, 5.23%, 5/6/02*..... 5,792
5,329 Evangelical Lutheran, 6.64%,
4/28/00*.......................... 5,320
5,792 Fleet National Bank, 5.04%,
4/18/00*.......................... 5,792
5,792 GMAC, 5.19%, 5/3/01*................ 5,792
2,317 J.P. Morgan & Co., 5.07%, 5/4/00*... 2,317
5,792 J.P. Morgan & Co., 5.13%, 5/4/01*... 5,792
5,792 Lehman Brothers, 6.64%, 7/20/00*.... 5,792
2,317 Liberty Lighthouse, 5.12%,
5/5/00*........................... 2,317
5,792 Merrill Lynch, 5.28%, 5/6/02*....... 5,792
10,427 Morgan Stanley, 5.25%, 1/21/00*..... 10,427
2,665 Salomon Smith Barney, 5.01%,
2/5/01*........................... 2,665
</TABLE>
Continued
12
<PAGE> 15
- --------------------------------------------------------------------------------
One Group Mutual Funds
Mid Cap Growth Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Put Bonds, continued:
$ 5,792 Sigma Finance, Inc., 5.11%,
3/31/00*.......................... $ 5,792
6,952 SPARCC, 6.05%, 3/24/00*............. 6,952
----------
89,772
----------
Repurchase Agreements (5.0%):
23,170 HSBC, 4.67%, 1/3/00,
(Collateralized by $72,511 various
Government Securities,
0.00% - 10.63%, 1/28/00 - 4/15/29,
market value $23,634)............. 23,170
17,377 HSBC, 4.62%, 1/3/00,
(Collateralized by $23,634,
various Government Securities,
0.00% - 13.38%, 1/20/00 - 3/7/12,
market value $17,726)............. 17,377
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Repurchase Agreements, continued:
$27,805 Lehman Brothers, 4.85%, 1/3/00,
(Collateralized by 854 various
Equity Securities, market value
$29,276).......................... $ 27,805
22,183 Lehman Brothers, 4.65%, 1/3/00,
(Collateralized by $23,293 various
Commercial Paper, 0.00%, 1/10/00 -
5/23/00, market value $23,293).... 22,183
----------
90,535
----------
Total Short-Term Securities Held as Collateral 239,159
----------
Total (Cost $1,565,146) (a) $2,057,260
==========
</TABLE>
- ------------
Percentages indicated are based on net assets of $1,794,454.
(a) Represents cost for financial reporting purposes and differs from value by
net unrealized appreciation of securities as follow (amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $529,866
Unrealized depreciation...................... (37,752)
--------
Net unrealized appreciation.................. $492,114
========
</TABLE>
(b) Non-income producing securities.
(c) Serves as collateral for Future 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 December 31,
1999.
See notes to financial statements.
13
<PAGE> 16
- --------------------------------------------------------------------------------
One Group Mutual Funds
Mid Cap Value Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS (93.6%):
Business Equipment & Services (6.2%):
90 A.C. Nielson Corp. (b).............. $ 2,209
172 Acxiom Corp. (b).................... 4,116
145 Affiliated Computer Services, Inc.
(b)............................... 6,670
149 Cambridge Technology Partners,
Inc. (b).......................... 3,911
165 DST Systems, Inc. (b)............... 12,592
61 First Data Corp. ................... 3,008
171 Jacobs Engineering Group, Inc.
(b)............................... 5,551
226 Modis Professional Services, Inc.
(b)............................... 3,221
212 Office Depot, Inc. (b).............. 2,322
76 Pittston Corp. ..................... 1,665
76 Robert Half International, Inc.
(b)............................... 2,171
211 Sterling Commerce, Inc. (b)......... 7,187
323 Sungard Data Systems, Inc. (b)...... 7,671
82 Waters Corp. (b).................... 4,346
----------
66,640
----------
Capital Goods (3.7%):
159 Crane Corp. ........................ 3,160
170 Diebold, Inc. ...................... 3,995
243 Harsco Corp. ....................... 7,709
80 Hubbell, Inc., Class B.............. 2,180
172 Mark IV Industries, Inc. ........... 3,042
118 Martin Marietta Materials, Inc. .... 4,838
55 Southdown, Inc. .................... 2,839
90 Teleflex, Inc. ..................... 2,821
183 USG Corp. .......................... 8,625
----------
39,209
----------
Consumer Durable (2.2%):
130 Borg-Warner Automotive, Inc. ....... 5,265
270 Federal Mogul Corp. ................ 5,434
246 Lear Corp. (b)...................... 7,871
56 SPX Corp. (b) ...................... 4,526
----------
23,096
----------
Consumer Non-Durable (5.9%):
131 ConAgra, Inc. ...................... 2,956
79 Dean Foods Co. ..................... 3,140
147 Dole Food Co., Inc. ................ 2,389
88 Flowers Industries, Inc. ........... 1,403
196 IBP, Inc. .......................... 3,528
162 Interstate Bakeries Corp. .......... 2,936
73 Intimate Brands, Inc. .............. 3,148
150 Lancaster Colony Corp. ............. 4,969
87 Liz Claiborne, Inc. ................ 3,273
266 Mohawk Industries, Inc. (b)......... 7,021
367 R.J. Reynolds Tobacco Holdings,
Inc. ............................. 6,468
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Consumer Non-Durable, continued:
60 Suiza Foods Corp. (b)............... $ 2,378
534 Tyson Foods, Inc., Class A.......... 8,677
379 U.S. Foodservice (b)................ 6,348
48 Universal Corp. .................... 1,086
239 Whittman Corp. ..................... 3,212
----------
62,932
----------
Consumer Services (5.4%):
370 Belo ( A.H.) Corp., Series A........ 7,057
94 Chris-Craft Industries, Inc. (b).... 6,780
184 Harte-Hanks, Inc. .................. 4,002
34 Houghton Mifflin Co. ............... 1,447
143 International Game Technologies..... 2,905
266 Mandalay Resort Group (b)........... 5,353
42 Media General, Inc. ................ 2,184
835 Park Place Entertainment (b)........ 10,437
228 Premier Parks, Inc. (b)............. 6,584
19 Washington Post Co. ................ 10,561
----------
57,310
----------
Energy (8.4%):
190 Anadarko Petroleum Corp. ........... 6,484
216 BJ Services Co. (b)................. 9,032
263 Devon Energy Corp. ................. 8,646
176 Murphy Oil Corp. ................... 10,098
464 Noble Drilling Corp. (b)............ 15,196
185 Smith International, Inc. (b)....... 9,192
155 Tidewater, Inc. .................... 5,580
114 Tosco Corp. ........................ 3,099
129 Transocean Offshore Sedco
Forex, Inc. ...................... 4,346
224 Ultramar Diamond Shamrock Corp. .... 5,082
334 Weatherford International, Inc.
(b)............................... 13,339
----------
90,094
----------
Financial Services (17.6%):
330 A.G. Edwards, Inc. ................. 10,581
95 Allmerica Financial Corp. .......... 5,284
248 AMBAC Financial Group, Inc. ........ 12,943
75 American Financial Group, Inc. ..... 1,978
133 Associated Banc-Corp. .............. 4,555
107 Astoria Financial Corp. ............ 3,257
88 CCB Financial Corp. ................ 3,834
620 Charter One Financial, Inc. ........ 11,854
44 Comerica, Inc. ..................... 2,054
208 Compass Bancshares, Inc. ........... 4,641
240 Dime Bancorp, Inc. ................. 3,630
167 Everest Reinsurance Holdings,
Inc. ............................. 3,726
</TABLE>
Continued
14
<PAGE> 17
- --------------------------------------------------------------------------------
One Group Mutual Funds
Mid Cap Value Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Financial Services, continued:
148 Finova Group, Inc. ................. $ 5,254
607 First Security Corp. ............... 15,496
88 First Tennessee National Corp. ..... 2,508
72 First Virginia Banks, Inc. ......... 3,092
102 Firstmerit Corp. ................... 2,346
77 GATX Corp. ......................... 2,599
233 Greenpoint Financial Corp. ......... 5,548
336 Hibernia Corp., Class A............. 3,570
109 Keystone Financial, Inc. ........... 2,296
266 Marshall & Ilsley Corp. ............ 16,707
174 Mercantile Bankshares Corp. ........ 5,541
499 North Fork Bancorp, Inc. ........... 8,733
187 Pacific Century Financial Corp. .... 3,489
176 PMI Group, Inc. .................... 8,567
220 Protective Life Corp. .............. 6,999
51 Provident Financial Group, Inc. .... 1,830
43 Radian Group, Inc. ................. 2,053
280 Reliastar Financial Corp. .......... 10,973
471 Sovereign Bancorp, Inc. ............ 3,512
103 T. Rowe Price Associates............ 3,805
113 TCF Financial Corp. ................ 2,811
56 Unitrin, Inc........................ 2,107
----------
188,173
----------
Health Care (4.7%):
107 Express Scripts, Inc., Class A
(b)............................... 6,848
273 Foundation Health Systems,
Class A (b)....................... 2,713
203 Genzyme Corp. (b)................... 9,135
201 ICN Pharmaceuticals, Inc. .......... 5,088
132 IDEXX Laboratories, Inc. (b)........ 2,129
119 Lincare Holdings, Inc. (b).......... 4,117
258 Mylan Laboratories, Inc. ........... 6,498
48 Pacificare Health Systems, Inc.
(b)............................... 2,544
132 Steris Corp. (b).................... 1,361
123 Tenet Healthcare Corp. (b).......... 2,891
108 Trigon Healthcare, Inc. (b)......... 3,186
118 Watson Pharmaceuticals, Inc. (b).... 4,226
----------
50,736
----------
Multi-Industry (0.3%):
51 Honeywell International, Inc. ...... 2,964
----------
Raw Materials (5.0%):
69 A. Schulman, Inc. .................. 1,126
244 AK Steel Holding Corp. ............. 4,606
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Raw Materials, continued:
295 Cabot Corp. ........................ $ 6,010
83 Carpenter Technology Corp. ......... 2,277
384 CK Witco Corporation................ 5,136
209 Cytec Industries, Inc. (b).......... 4,833
94 Dexter Corp. ....................... 3,737
62 Ferro Corp. ........................ 1,368
238 IMC Global, Inc. ................... 3,897
140 Lubrizol Corp. ..................... 4,323
352 Lyondell Petrochemical Co. ......... 4,488
66 Minerals Technologies, Inc. ........ 2,644
124 Olin Corp. ......................... 2,457
462 RPM, Inc. .......................... 4,707
69 Sigma-Aldrich Corp. ................ 2,074
----------
53,683
----------
Retail (4.1%):
412 Borders Group, Inc. (b)............. 6,618
268 Brinker International, Inc. (b)..... 6,432
46 Circuit City Stores, Inc. .......... 2,073
275 Furniture Brands International,
Inc. (b).......................... 6,050
88 Hannaford Brothers Co. ............. 6,094
115 Neiman-Marcus Group,
Inc., Class A (b)................. 3,213
293 Outback Steakhouse, Inc. (b)........ 7,599
182 Saks, Inc. (b)...................... 2,832
52 Williams Sonoma, Inc. (b)........... 2,392
----------
43,303
----------
Shelter (4.2%):
141 Bowater, Inc. ...................... 7,657
97 Chesapeake Corp. ................... 2,959
156 Clayton Homes, Inc. ................ 1,433
193 Consolidated Papers, Inc. .......... 6,140
50 Georgia Pacific Corp. .............. 2,538
672 Homefed Corp. (b)................... 588
235 Pentair, Inc. ...................... 9,047
73 Rayonier, Inc. ..................... 3,517
351 Shaw Industry, Inc. ................ 5,419
248 Sonoco Products Co. ................ 5,642
----------
44,940
----------
</TABLE>
Continued
15
<PAGE> 18
- --------------------------------------------------------------------------------
One Group Mutual Funds
Mid Cap Value Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology (5.5%):
28 Applied Materials, Inc. (b)......... $ 3,547
186 Arrow Electronics, Inc. (b)......... 4,725
210 ATMEL Corp. (b)..................... 6,194
92 Avnet, Inc. ........................ 5,566
80 Cordant Technology, Inc. ........... 2,633
192 Harris Corp. ....................... 5,124
111 Litton Industries, Inc. (b)......... 5,546
126 NCR Corp. (b)....................... 4,772
55 SCI Systems, Inc. (b)............... 4,487
291 Sterling Software, Inc. (b)......... 9,161
234 Storage Technology Corp. (b)........ 4,314
89 Vishay Intertechnology, Inc. (b).... 2,815
----------
58,884
----------
Transportation (1.4%):
176 Airborne Freight Corp. ............. 3,871
60 Alaska Air Group, Inc. (b).......... 2,108
144 Alexander & Baldwin, Inc. .......... 3,285
108 CNF Transportation, Inc. ........... 3,726
118 Wisconsin Central Transportation
Corp. (b)......................... 1,586
----------
14,576
----------
Utilities (19.0%):
382 Allegheny Energy, Inc. ............. 10,289
207 American Water Works, Inc. ......... 4,399
50 Calpine Corp. (b)................... 3,200
78 CMS Energy Corp. ................... 2,433
224 Conectiv, Inc. ..................... 3,766
424 DPL, Inc. .......................... 7,341
180 DQE, Inc. .......................... 6,233
122 El Paso Energy Corp. ............... 4,735
353 Energy East Corp. .................. 7,347
170 Illinova Corp. ..................... 5,908
198 Interstate Energy Corp. ............ 5,445
110 Kansas City Power & Light Co. ...... 2,427
226 Keyspan Corp. ...................... 5,240
277 Kinder Morgan Inc. ................. 5,592
409 L G & E Energy Corp. ............... 7,132
279 MidAmerican Energy Holdings Co. .... 9,398
151 Minnesota Power & Light Co. ........ 2,558
382 Montana Power Co. .................. 13,757
158 New England Electric System Co. .... 8,176
97 NiSource Corp. ..................... 1,734
419 Northeast Utilities................. 8,615
103 NSTAR............................... 4,172
199 OGE Energy Corp. ................... 3,781
105 Pinnacle West Capital Corp. ........ 3,197
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Utilities, continued:
237 Potomac Electric Power Co. ......... $ 5,436
145 Puget Sound Energy, Inc. ........... 2,809
492 Questar Corp. ...................... 7,380
263 SCANA Corp. ........................ 7,068
122 Sierra Pacific Resources............ 2,112
224 TECO Energy, Inc. .................. 4,158
57 TeleCorp PCS, Inc. (b).............. 2,169
154 Telephone & Data Systems, Inc. ..... 19,403
214 The Williams Companies, Inc. ....... 6,535
25 Tritel, Inc. (b).................... 792
246 UtiliCorp United, Inc. ............. 4,782
202 Wisconsin Energy Corp. (c).......... 3,889
----------
203,408
----------
Total Common Stocks 999,948
----------
INVESTMENT COMPANIES (6.4%):
65 Mid Cap 400 Depositary Reciept...... 5,273
42,485 One Group Prime Money Market Fund,
Class I........................... 42,485
144 S&P 500 Depositary Receipt.......... 21,150
----------
Total Investment Companies 68,908
----------
REPURCHASE AGREEMENTS (2.0%):
$21,441 State Street Bank And Trust, 3.00%,
1/3/00, (Collateralized by $21,710
U.S. Government Security, 5.88%,
9/17/01, market value $21,873).... 21,441
----------
Total Repurchase Agreements 21,441
----------
SHORT-TERM SECURITIES HELD AS COLLATERAL (4.7%):
Investment Companies (0.8%):
6,749 Aim Liquid Asset Money Market
Fund.............................. 6,749
1,350 One Group Prime Money Market Fund,
Class I........................... 1,350
----------
8,099
----------
Master Notes (0.5%):
$ 1,575 Bear Stearns, 4.77%, 1/3/00*........ 1,575
675 Lehman Brothers, 4.88%, 1/3/00*..... 675
1,800 Lehman Brothers, 4.88%, 1/3/00*..... 1,800
675 Merrill Lynch, 4.68%, 1/3/00*....... 675
405 NationsBanc, 4.70%, 1/3/00*......... 405
----------
5,130
----------
Put Bonds (1.8%):
585 Branch Banking & Trust, 5.11%,
5/25/00*.......................... 585
1,350 Caterpiller Finance, 5.17%,
5/1/01*........................... 1,350
1,125 Chase Manhattan, 5.23%, 5/6/02*..... 1,125
</TABLE>
Continued
16
<PAGE> 19
- --------------------------------------------------------------------------------
One Group Mutual Funds
Mid Cap Value Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Put Bonds, continued:
$ 1,035 Evangelical Lutheran, 6.64%,
4/28/00*.......................... $ 1,033
1,125 Fleet National Bank, 5.04%,
4/18/00*.......................... 1,125
1,125 GMAC, 5.19%, 5/3/01*................ 1,125
4,069 Goldman Sachs, 5.25%, 11/21/00*..... 4,069
450 J.P. Morgan & Co., 5.07%, 5/4/00*... 450
1,125 J.P. Morgan & Co., 5.13%, 5/4/01*... 1,125
1,125 Lehman Brothers, 6.64%, 7/20/00*.... 1,125
450 Liberty Lighthouse, 5.12%,
5/5/00*........................... 450
1,125 Merrill Lynch, 5.28%, 5/6/02*....... 1,125
2,024 Morgan Stanley, 5.25%, 1/21/00*..... 2,024
517 Salomon Smith Barney, 5.01%,
2/5/01*........................... 517
1,125 Sigma Finance, Inc., 5.11%,
3/31/00*.......................... 1,125
1,350 SPARCC, 6.05%, 3/24/00*............. 1,350
----------
19,703
----------
Repurchase Agreements (1.6%):
4,500 HSBC, 4.62%, 1/3/00, (Collateralized
by $14,081 various Government
Securities, 0.00% - 13.38%,
1/20/00 - 3/7/12, market value
$4,590)........................... 4,500
3,375 HSBC, 4.67%, 1/3/00, (Collateralized
by $4,590 various Government
Securities, 0.00% - 10.63%,
1/28/00 - 4/15/29, market value
$3,442)........................... 3,375
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Repurchase Agreements, continued:
$ 4,308 Lehman Brothers, 4.65%, 1/3/00,
(Collateralized by $4,524 various
Commercial Paper, 0.00%, 1/10/00 -
5/23/00, market value $4,524)..... $ 4,308
5,399 Lehman Brothers, 4.85%, 1/3/00,
(Collateralized by 127 various
Equity Securities, market value
$5,685)........................... 5,399
----------
17,582
----------
Total Short-Term Securities Held as Collateral 50,514
----------
Total (Cost $1,139,676) (a) $1,140,811
==========
</TABLE>
- ------------
Percentages indicated are based on net assets of $1,068,807.
(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...................... $100,774
Unrealized depreciation...................... (99,639)
--------
Net unrealized appreciation.................. $ 1,135
========
</TABLE>
(b) Non-income producing securities.
* 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 December 31, 1999.
See notes to financial statements.
17
<PAGE> 20
- --------------------------------------------------------------------------------
One Group Mutual Funds
Diversified Mid Cap Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS (90.2%):
Business Equipment & Services (11.9%):
201 Affiliated Computer Services, Inc.
(b)............................... $ 9,264
99 Cintas Corp. ....................... 5,238
258 Concord EFS, Inc. (b)............... 6,655
200 Convergys Corp. (b)................. 6,150
187 DST Systems, Inc. (b)............... 14,298
168 Fiserv, Inc. (b).................... 6,421
48 Jacobs Engineering Group, Inc.
(b)............................... 1,560
197 Manpower, Inc. ..................... 7,420
240 Omnicom Group, Inc. ................ 23,960
37 Qlogic Corp. (b).................... 5,963
235 Reynolds & Reynolds, Class A........ 5,281
366 Sungard Data Systems, Inc. (b)...... 8,694
260 Waters Corp. (b).................... 13,775
326 Young & Rubicam, Inc. .............. 23,096
----------
137,775
----------
Capital Goods (3.6%):
346 Ametek, Inc. ....................... 6,596
305 Crane Co. .......................... 6,056
149 Harsco Corp. ....................... 4,737
68 Huttig Building Products, Inc.
(b)............................... 334
150 IDEXX Corp. ........................ 4,569
231 Littelfuse, Inc. (b)................ 5,595
195 Molex, Inc., Class A................ 8,846
154 Teleflex, Inc. ..................... 4,809
----------
41,542
----------
Commercial Services (1.1%):
165 A. H. Belo Corp. ................... 3,145
120 Reader's Digest Association,
Inc. ............................. 3,510
55 Univision Communications, Inc.
(b)............................... 5,621
----------
12,276
----------
Consumer Durable (4.0%):
334 Borg-Warner Automotive, Inc. ....... 13,512
282 Dana Corp. ......................... 8,454
162 Harley-Davidson, Inc. .............. 10,391
87 SPX Corp. (b)....................... 7,031
434 Tower Automotive, Inc. (b).......... 6,706
----------
46,094
----------
Consumer Non-Durable (5.1%):
550 AptarGroup, Inc. ................... 13,816
343 Dial Corp. ......................... 8,342
211 Lancaster Colony Corp. ............. 6,996
81 Liz Claiborne, Inc. ................ 3,033
316 Tommy Hilfiger Corp. (b)............ 7,374
602 U.S. Foodservice, Inc. (b).......... 10,084
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Consumer Non-Durable, continued:
80 Westpoint Stevens, Inc. ............ $ 1,400
585 Whitman Corp. ...................... 7,862
----------
58,907
----------
Energy (5.3%):
381 Apache Corp. ....................... 14,090
138 BJ Services Co. (b)................. 5,770
177 Devon Energy Corp. ................. 5,819
89 Murphy Oil Corp. ................... 5,078
216 Nabors Industries, Inc. (b)......... 6,683
170 Nobile Drilling Corp. (b)........... 5,568
65 Smith International, Inc. (b)....... 3,230
100 Tosco Corp. ........................ 2,719
163 Transocean Sedco Forex, Inc. ....... 5,491
189 Weatherford International (b)....... 7,547
----------
61,995
----------
Financial Services (8.5%):
254 A.G. Edwards, Inc. ................. 8,134
239 Associated Banc Corp. .............. 8,177
454 Charter One Financial, Inc. ........ 8,680
320 E*Trade Group, Inc. (b)............. 8,360
339 Everest Reinsurance Holdings,
Inc. ............................. 7,571
180 Finova Group, Inc. ................. 6,406
419 First Tennessee National Corp. ..... 11,944
247 Heller Financial, Inc. ............. 4,947
870 Peoples Heritage Financial
Group, Inc. ...................... 13,110
239 Radian Group, Inc. ................. 11,394
133 Transatlantic Holdings, Inc. ....... 10,348
----------
99,071
----------
Health Care (8.6%):
190 Bergen Brunswig Corp. .............. 1,579
146 Biogen, Inc. (b).................... 12,337
105 Forest Laboratories, Inc. (b)....... 6,451
39 Gilead Sciences, Inc. (b)........... 2,133
1,139 Health Management Association, Inc.,
Class A (b)....................... 15,230
110 ICN Pharmaceuticals, Inc. .......... 2,784
110 Ivax Corp. (b)...................... 2,833
75 MedImmune, Inc. (b)................. 12,441
165 Mylan Laboratories, Inc. ........... 4,143
729 Sybron International Corp. (b)...... 17,987
335 Universal Health Services, Inc.,
Class B (b)....................... 12,071
</TABLE>
Continued
18
<PAGE> 21
- --------------------------------------------------------------------------------
One Group Mutual Funds
Diversified Mid Cap Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Health Care, continued:
80 VISX, Inc. (b)...................... $ 4,140
150 Watson Pharmaceutical, Inc. (b)..... 5,368
----------
99,497
----------
Raw Materials (1.2%):
409 OM Group, Inc. ..................... 14,099
----------
Retail (4.1%):
113 BJ'S Wholesale Club, Inc. (b)....... 4,125
83 Dollar Tree Stores, Inc. (b)........ 4,011
168 Kohl's Corp. (b).................... 12,135
178 Limited, Inc. ...................... 7,701
105 Starbucks Corp. (b)................. 2,546
125 Tiffany & Co. ...................... 11,165
126 Zale Corp. (b)...................... 6,093
----------
47,776
----------
Shelter (2.5%):
97 Bowater, Inc. ...................... 5,263
515 HON Industries, Inc. ............... 11,298
602 Leggett & Platt, Inc. .............. 12,896
----------
29,457
----------
Technology (27.3%):
237 Altera Corp. (b).................... 11,726
250 American Power Conversion Corp.
(b)............................... 6,594
231 Analog Devices, Inc. (b)............ 21,520
315 Cadence Design System, Inc. (b)..... 7,560
33 Citrix System, Inc. (b)............. 4,047
87 Comverse Technology, Inc. (b)....... 12,629
86 Electronic Arts, Inc. (b)........... 7,224
233 Intuit, Inc. (b) ................... 13,989
105 Jabil Circuit, Inc. (b)............. 7,665
110 Legato Systems, Inc. (b)............ 7,569
210 Lexmark International, Inc. (b)..... 18,978
130 Linear Technology Corp. ............ 9,303
197 Maxim Integrated Products, Inc.
(b)............................... 9,287
209 Microchip Technology, Inc. (b)...... 14,298
144 Parametric Technology Corp. (b)..... 3,889
217 Quantum Corp. (b)................... 3,282
185 Rational Software Corp. (b)......... 9,103
256 SCI Systems, Inc. (b)............... 21,056
227 Siebel Systems, Inc. (b)............ 19,034
110 Sterling Software, Inc. (b)......... 3,465
109 Synopsys, Inc. (b).................. 7,242
389 Teradyne, Inc. (b).................. 25,676
308 Veritas Software Corp. (b).......... 44,012
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
82 Vitesse Semiconductor Corp. (b)..... $ 4,289
524 Xilinx, Inc. (b).................... 23,839
----------
317,276
----------
Transportation (0.5%):
256 Comair Holdings, Inc................ 5,991
----------
Utilities (6.5%):
315 Allegheny Energy, Inc. ............. 8,485
168 Broadwing, Inc. (b)................. 6,195
182 Constellation Energy Group.......... 5,278
155 El Paso Energy Corp. ............... 6,016
275 Energy East Corp. .................. 5,713
130 Florida Progress Corp. ............. 5,501
243 Montana Power Co. .................. 8,763
393 Northeast Utilities................. 8,081
110 Pinnacle West Capital Corp. ........ 3,362
164 Potomac Electric Power Co. ......... 3,762
115 Puget Sound Energy, Inc. ........... 2,228
135 Scana Corp. ........................ 3,628
479 Sierra Pacific Resources............ 8,288
----------
75,300
----------
Total Common Stocks 1,047,056
----------
U.S. TREASURY OBLIGATIONS (0.1%):
U.S. Treasury Bills (0.1%):
$ 1,485 2/17/00 (c)......................... 1,476
----------
Total U.S. Treasury Obligations 1,476
----------
INVESTMENT COMPANIES (4.0%):
45,972 One Group Prime Money Market Fund,
Class I........................... 45,972
----------
Total Investment Companies 45,972
----------
REPURCHASE AGREEMENTS (3.1%):
$35,564 State Street Bank and Trust, 3.00%,
1/3/00, (Collateralized by $35,564
various U.S. Government
Securities, 0.00% - 6.35%,
1/16/00 - 6/22/01, market value
$36,345).......................... 35,564
----------
Total Repurchase Agreements 35,564
----------
SHORT-TERM SECURITIES HELD AS COLLATERAL (8.1%):
Investment Companies (1.4%):
13,616 Aim Liquid Asset Money Market
Fund.............................. 13,616
2,723 One Group Prime Money Market Fund,
Class I........................... 2,723
----------
16,339
----------
</TABLE>
Continued
19
<PAGE> 22
- --------------------------------------------------------------------------------
One Group Mutual Funds
Diversified Mid Cap Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Master Notes (0.6%):
$ 3,176 Bear Stearns, 4.77%, 1/3/00*........ $ 3,176
1,362 Lehman Brothers, 4.88%, 1/3/00*..... 1,362
1,362 Merrill Lynch, 4.68%, 1/3/00*....... 1,362
817 NationsBanc, 4.70%, 1/3/00*......... 817
----------
6,717
----------
Put Bonds (3.1%):
3,632 Amex Centurion, 5.08%, 2/18/00*..... 3,632
1,180 Branch Banking & Trust, 5.11%,
5/25/00*.......................... 1,179
2,723 Caterpillar Financial, 5.17%,
5/1/00*........................... 2,723
2,269 Chase Manhattan, 5.23%, 5/6/00*..... 2,269
2,088 Evangelical Lutheran, 6.64%,
4/28/00*.......................... 2,084
2,269 Fleet National Bank, 5.04%,
4/18/00*.......................... 2,269
2,269 GMAC, 5.19%, 5/3/01*................ 2,269
252 Goldman Sachs, 5.25%, 11/21/00*..... 252
2,269 J.P. Morgan & Co., 5.13%, 5/4/01*... 2,269
908 J.P. Morgan & Co., 5.07%, 5/4/00*... 908
2,269 Lehman Brothers, 6.64%, 7/20/00*.... 2,269
908 Liberty Lighthouse, 5.12%,
5/5/00*........................... 908
2,269 Merrill Lynch, 5.28%, 5/6/02*....... 2,269
4,086 Morgan Stanley, 5.25%, 1/21/00*..... 4,086
1,044 Salomon Smith Barney, 5.01%,
2/5/01*........................... 1,044
2,269 Sigma Finance, Inc., 5.11%,
3/31/00*.......................... 2,269
2,724 SPARCC, 6.05%, 3/24/00*............. 2,724
----------
35,423
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Repurchase Agreements (3.0%):
$ 9,077 HSBC, 4.67%, 1/3/00, (Collateralized
by $28,408, various Government
Securities, 0.00% - 10.63%,
1/28/00 - 4/15/29, market value
$9,259)........................... $ 9,077
6,808 HSBC, 4.62%, 1/3/00, (Collateralized
by $9,259 various Government
Securities, 0.00% - 13.38%,
1/20/00 - 3/7/12, market value
$6,945)........................... 6,808
10,893 Lehman Brothers, 4.85%, 1/3/00,
(Collateralized by 256,051 various
Equity Securities, market value
$11,469).......................... 10,893
8,691 Lehman Brothers, 4.65%, 1/3/00,
(Collateralized by $9,126 various
Commercial Paper, 0.00%, 1/10/00 -
5/23/00, market value $9,126)..... 8,691
----------
35,469
----------
Total Short-Term Securities Held as Collateral 93,948
----------
Total (Cost $911,675) (a) $1,224,016
==========
</TABLE>
- ------------
Percentages indicated are based on net assets of $1,160,175.
(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...................... $368,028
Unrealized depreciation...................... (55,687)
--------
Net unrealized appreciation.................. $312,341
========
</TABLE>
(b) Non-income producing securities.
(c) Serves as collateral for Future 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 December 31,
1999.
See notes to financial statements.
20
<PAGE> 23
- --------------------------------------------------------------------------------
One Group Mutual Funds
Large Cap Growth Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS (95.3%):
Business Equipment & Services (1.7%):
438 Automatic Data Processing, Inc. .... $ 23,603
670 Interpublic Group Co., Inc. ........ 38,639
760 Staples (b)......................... 15,770
----------
78,012
----------
Capital Goods (9.0%):
2,320 General Electric Co. ............... 359,020
1,751 Tyco International, Ltd. ........... 68,082
----------
427,102
----------
Consumer Non-Durable (7.8%):
598 Anheuser Busch Co., Inc. ........... 42,376
1,664 Coca-Cola Co. ...................... 96,922
411 Colgate Palmolive Co. .............. 26,702
716 Gillette Co. ....................... 29,503
1,002 PepsiCo, Inc. ...................... 35,303
931 Proctor & Gamble Co. ............... 102,035
1,542 Sara Lee Corp. ..................... 34,012
----------
366,853
----------
Consumer Services (2.6%):
1,066 Comcast Corp., Class A.............. 53,920
924 Time Warner, Inc. .................. 66,918
----------
120,838
----------
Financial Services (1.3%):
183 Charles Schwab Corp. ............... 7,030
284 Citigroup, Inc. .................... 15,796
67 Hartford Financial Services Group... 3,174
160 Morgan Stanley Dean Witter
Discover.......................... 22,884
117 Providian Financial................. 10,636
----------
59,520
----------
Health Care (13.3%):
399 Abbott Labs......................... 14,485
458 American Home Products Co. ......... 18,047
1,114 Amgen, Inc. (b)..................... 66,886
423 Baxter International, Inc. ......... 26,563
1,779 Bristol Myers Squibb Co. ........... 114,208
243 Eli Lilly & Co. .................... 16,166
379 Guidant Corp. ...................... 17,790
912 Johnson & Johnson................... 84,911
1,169 Medtronic, Inc. .................... 42,599
1,048 Merck & Co., Inc. .................. 70,282
2,140 Pfizer, Inc. ....................... 69,400
980 Schering Plough Corp. .............. 41,352
568 Warner Lambert Co. ................. 46,549
----------
629,238
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Multi-Industry (0.7%):
77 Corning, Inc. ...................... $ 9,902
423 Honeywell International, Inc. ...... 24,385
----------
34,287
----------
Retail (8.6%):
214 Circuit City Stores, Inc. .......... 9,630
1,527 Home Depot, Inc..................... 104,695
367 Kohl's Corp. (b).................... 26,464
3,417 Wal-Mart Stores, Inc. .............. 236,228
1,068 Walgreen Co. ....................... 31,230
----------
408,247
----------
Shelter (1.0%):
734 Kimberly Clark Corp. ............... 47,887
----------
Technology (44.8%):
1,756 America Online (b).................. 132,468
432 Applied Materials, Inc. (b)......... 54,716
2,455 Cisco Systems, Inc. (b)............. 262,970
752 Compuware Corp. (b)................. 28,023
1,904 Dell Computer Corp. (b)............. 97,089
349 Electronic Data Systems Corp. ...... 23,375
964 EMC Corp. (b)....................... 105,317
2,137 Intel Corp. ........................ 175,935
886 International Business Machines..... 95,677
2,066 Lucent Technologies, Inc. .......... 154,570
3,465 Microsoft Corp. (b)................. 404,503
1,290 Nortel Networks Corp. .............. 130,240
966 Oracle Corp. (b).................... 108,196
718 Parametric Technology Corp. (b)..... 19,439
381 Qualcomm, Inc. ..................... 67,187
294 SCI Systems, Inc. .................. 24,138
183 Solectron Corp. (b)................. 17,427
1,276 Sun Microsystems, Inc. (b).......... 98,772
294 Tellabs, Inc. (b)................... 18,858
498 Texas Instruments, Inc. ............ 48,263
120 Yahoo, Inc. ........................ 52,009
----------
2,119,172
----------
Utilities (4.5%):
244 Nextel Communications, Inc. Class
A................................. 25,173
2,230 SBC Communications, Inc. ........... 108,717
616 Sprint Corp. ....................... 63,109
235 U.S. West, Inc. .................... 16,920
----------
213,919
----------
Total Common Stocks 4,505,075
----------
</TABLE>
Continued
21
<PAGE> 24
- --------------------------------------------------------------------------------
One Group Mutual Funds
Large Cap Growth Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<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%):
$ 1,500 1/20/00 (d)......................... $ 1,497
3,315 3/23/00 (d)......................... 3,277
----------
Total U.S. Treasury Obligations 4,774
----------
WARRANTS (0.0%):
Business Equipment & Services (0.0%):
0 Morrison Knudson (c)................ 1
----------
Total Warrants 1
----------
INVESTMENT COMPANIES (4.5%):
175 Nasdaq-100 (b)...................... 31,981
181,969 One Group Prime Money Market Fund,
Class I........................... 181,969
----------
Total Investment Companies 213,950
----------
SHORT-TERM SECURITIES HELD AS COLLATERAL (5.1%):
Investment Companies (0.8%):
32,085 Aim Liquid Asset Money Market
Fund.............................. 32,085
6,417 One Group Prime Money Market Fund,
Class I........................... 6,417
----------
38,502
----------
Master Notes (0.3%):
$ 7,486 Bear Stearns, 4.77%, 1/3/00*........ 7,486
3,209 Lehman Brothers, 4.88%, 1/3/00*..... 3,209
3,209 Merrill Lynch, 4.68%, 1/3/00*....... 3,209
1,925 NationsBanc, 4.70%, 1/3/00*......... 1,925
----------
15,829
----------
Put Bonds (2.2%):
8,555 Amex Centurion, 5.08%, 2/18/00*..... 8,555
2,781 Branch Banking & Trust, 5.11%,
5/25/00*.......................... 2,779
6,417 Caterpillar Financial, 5.17%,
5/1/01*........................... 6,417
5,348 Chase Manhattan, 5.23%, 5/6/02*..... 5,348
4,920 Evangelical Lutheran, 6.64%,
4/28/00*.......................... 4,911
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Put Bonds continued:
$ 5,348 Fleet National Bank, 5.04%,
4/18/00*.......................... $ 5,348
5,348 GMAC, 5.19%, 5/3/01*................ 5,348
3,985 Greenwich Capital, 6.91%, 7/9/01*... 3,985
13,946 Greenwich Capital, 6.93%,
12/2/02*.......................... 13,946
2,139 J.P. Morgan & Co., 5.07%, 5/4/00*... 2,139
5,348 J.P. Morgan & Co., 5.13%, 5/4/01*... 5,348
5,348 Lehman Brothers, 6.64%, 7/20/00*.... 5,348
2,139 Liberty Lighthouse, 5.12%,
5/5/00*........................... 2,139
5,348 Merrill Lynch, 5.28%, 5/6/02*....... 5,348
9,625 Morgan Stanley, 5.25%, 1/21/00*..... 9,625
2,460 Salomon Smith Barney, 5.01%,
2/5/01*........................... 2,460
5,348 Sigma Finance, Inc., 5.11%,
3/31/00*.......................... 5,348
6,416 SPARCC, 6.05%, 3/24/00*............. 6,416
----------
100,808
----------
REPURCHASE AGREEMENTS (1.8%):
21,390 HSBC, 4.67%, 1/3/00, (Collateralized
by $66,941 various Government
Securities, 0.00% - 10.63%,
1/28/00 - 4/15/29, market value
$21,819).......................... 21,390
16,043 HSBC, 4.62%, 1/3/00, (Collateralized
by $21,818 various Government
Securities, 0.00% - 13.38%,
1/20/00 - 3/7/12, market value
$16,364).......................... 16,043
25,668 Lehman Brothers, 4.85%, 1/3/00,
(Collateralized by 603 various
Equity Securities, market value
$27,027).......................... 25,668
20,479 Lehman Brothers, 4.65%, 1/3/00,
(Collateralized by $21,504 various
Commercial Paper, 0.00%, 1/10/00 -
5/23/00, market value $21,504).... 20,479
----------
83,580
----------
Total Short-Term Securities Held as Collateral 238,719
----------
Total (Cost $2,985,989)(a) $4,962,519
==========
</TABLE>
- ------------
Percentages indicated are based on net assets of $4,724,440.
(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...................... $2,010,345
Unrealized depreciation...................... (33,815)
----------
Net unrealized appreciation.................. $1,976,530
==========
</TABLE>
Continued
22
<PAGE> 25
- --------------------------------------------------------------------------------
One Group Mutual Funds
Large Cap Growth Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
(b) Non-income producing securities.
(c) Amount is less than 1,000.
(d) Serves as collateral for Future 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
Schedule of Portfolio Investments is the rate in effect at December 31, 1999.
See notes to financial statements.
23
<PAGE> 26
- --------------------------------------------------------------------------------
One Group Mutual Funds
Large Cap Value Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS (98.2%):
Business Equipment & Services (2.4%):
220 Electronic Data Systems Corp. ...... $ 14,727
90 First Data Corp. ................... 4,438
105 Novell, Inc. (b).................... 4,193
275 Office Depot, Inc. (b).............. 3,008
175 Staples, Inc. (b)................... 3,631
----------
29,997
----------
Capital Goods (3.3%):
220 Crane Co. .......................... 4,373
195 Deere & Co. ........................ 8,458
195 Dover Corp. ........................ 8,848
0 Huttig Building Products, Inc.
(b)(c)............................ 0
61 Illinois Tool Works................. 4,121
70 Ingersoll Rand Co. ................. 3,854
150 Parker-Hannifin Corp. .............. 7,697
80 Tyco International Ltd. ............ 3,110
----------
40,461
----------
Consumer Durable (3.4%):
90 Dana Corp. ......................... 2,694
110 Danaher Corp. ...................... 5,308
200 Delphi Automotive Systems........... 3,150
315 Ford Motor Co. ..................... 16,833
185 General Motors Corp. ............... 13,447
----------
41,432
----------
Consumer Non-Durable (3.0%):
220 Archer-Daniels-Midland Co. ......... 2,681
50 Eastman Kodak Co. .................. 3,313
95 Newell Rubbermaid Inc............... 2,755
55 Nike, Inc. ......................... 2,726
600 Philip Morris Cos., Inc. ........... 13,912
100 Safeway Inc. (b).................... 3,556
100 Seagram Co., Ltd.................... 4,494
280 Whittman Corp. ..................... 3,763
----------
37,200
----------
Consumer Services (7.2%):
235 Belo (A.H.) Corp., Class A.......... 4,480
140 Carnival Corp., Class A............. 6,694
200 CBS Corp. (b)....................... 12,788
100 Cendant Corp. (b)................... 2,656
48 Clear Channel Communications (b).... 4,284
60 Gannett, Inc. ...................... 4,894
75 Gillette Co. ....................... 3,089
160 Liz Claiborne, Inc. ................ 6,020
40 Mcgraw-Hill Cos., Inc. ............. 2,465
145 Media One Group, Inc. (b)........... 11,138
35 New York Times Co. ................. 1,719
40 Time Warner, Inc. .................. 2,898
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Consumer Services, continued:
195 Viacom, Inc., Class A (b)........... $ 11,785
460 Walt Disney Co. .................... 13,454
----------
88,364
----------
Energy (11.1%):
130 Anadarko Petroleum Corp. ........... 4,436
120 Chevron Corp. ...................... 10,395
773 Exxon Mobil Corp. .................. 62,282
170 Halliburton Co. .................... 6,843
325 Occidental Petroleums Corp. ........ 7,028
360 Royal Dutch Petroleum Co. .......... 21,758
180 Texaco, Inc. ....................... 9,776
120 Tosco Corp. ........................ 3,263
155 Transocan Offshore Inc. ............ 5,105
255 USX-Marathon Group, Inc. ........... 6,295
----------
137,181
----------
Financial Services (26.3%):
80 Aflac, Inc. ........................ 3,775
85 American Express Co. ............... 14,131
50 American General Corp. ............. 3,794
363 American International Group........ 39,194
185 Associates First Capital Corp.,
Class A........................... 5,076
456 Bank of America Corp. .............. 22,901
150 Bank of New York Co., Inc. ......... 6,000
180 Capital One Financial Corp. ........ 8,674
130 Chase Manhattan Corp. .............. 10,099
40 Cigna Corp. ........................ 3,223
810 Citigroup, Inc. .................... 45,005
255 Federal National Mortgage
Association....................... 15,921
71 Fifth Third Bancorp ................ 5,210
135 First Security Corp. ............... 3,447
130 First Tennessee National Corp. ..... 3,705
90 First Union Corp. .................. 2,953
186 Firstar Corp. ...................... 3,937
299 Fleetboston Financial Corp. ........ 10,423
170 Hartford Financial Services Group... 8,054
160 Household International............. 5,960
20 J.P. Morgan & Co., Inc. ............ 2,533
100 KeyCorp. ........................... 2,213
110 Marsh & Mclennan Co. ............... 10,526
220 Mellon Financial Corp. ............. 7,494
120 Merrill Lynch & Co. ................ 10,020
170 Morgan Stanley Dean Witter
Discover.......................... 24,267
110 National City Corp. ................ 2,606
190 North Fork Bankcorp, Inc. .......... 3,325
130 Northern Trust Corp. ............... 6,890
130 Price (T. Rowe) Associates.......... 4,802
</TABLE>
Continued
24
<PAGE> 27
- --------------------------------------------------------------------------------
One Group Mutual Funds
Large Cap Value Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Financial Services, continued:
60 Regions Financial Corp. ............ $ 1,508
165 Southtrust Corp. ................... 6,239
40 State Street Corp. ................. 2,923
35 SunTrust Banks, Inc. ............... 2,408
165 U.S. Bancorp. ...................... 3,929
297 Wells Fargo Co. .................... 12,010
----------
325,175
----------
Health Care (3.5%):
350 American Home Products Corp. ....... 13,802
125 Baxter International, Inc. ......... 7,852
165 Biomet, Inc. ....................... 6,600
85 Pharmacia & Upjohn, Inc. ........... 3,825
220 Tenet Healthcare Corp. (b).......... 5,170
151 Watson Pharmaceutical, Inc. (b)..... 5,408
----------
42,657
----------
Multi Industry (1.6%):
219 Honeywell International Inc. ....... 12,619
75 Minnesota Mining & Manufacturing
Co. .............................. 7,341
----------
19,960
----------
Raw Materials (4.5%):
140 Alcan Aluminum, Ltd. ............... 5,766
120 Alcoa Inc. ......................... 9,960
205 Du Pont (EI) De Nemours & Co. ...... 13,504
160 Engelhard Corp. .................... 3,020
173 Monsanto Co. ....................... 6,163
70 Praxair, Inc. ...................... 3,522
125 Rohm & Haas Co. .................... 5,086
125 Union Carbide Corp. ................ 8,344
----------
55,365
----------
Retail (3.6%):
100 Circuit City Stores, Inc. .......... 4,506
70 Costco Wholesale Corp. (b).......... 6,388
95 Dayton Hudson Corp. ................ 6,977
80 Kohl's Corp. (b).................... 5,775
195 Limited, Inc. ...................... 8,445
80 Lowe's Co. ......................... 4,780
185 McDonald's Corp. ................... 7,458
----------
44,329
----------
Shelter (2.8%):
68 Champion International Co. ......... 4,212
155 International Paper Co. ............ 8,747
125 Leggett & Platt, Inc. .............. 2,680
82 Masco Corp. ........................ 2,081
120 Pentair, Inc. ...................... 4,620
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Shelter, continued:
95 Temple Inland, Inc. ................ $ 6,264
81 Weyerhaeuser Co. ................... 5,817
----------
34,421
----------
Technology (7.0%):
65 3com Corp. (b)...................... 3,055
75 Analog Devices, Inc. (b)............ 6,975
50 Apple Computer, Inc. (b)............ 5,141
85 Boeing Co. ......................... 3,533
125 Cabletron Systems (b)............... 3,250
283 Compaq Computer Corp. .............. 7,659
200 Hewlett-Packard Co. ................ 22,787
20 Kla-Tencor Corp. (b)................ 2,228
30 LSI Logic Corp. (b)................. 2,025
55 Micron Technology, Inc. (b)......... 4,276
145 Motorola, Inc. ..................... 21,350
50 Seagate Technology, Inc. (b)........ 2,328
55 Unisys Corp. (b).................... 1,757
----------
86,364
----------
Transportation (1.1%):
225 Canadian National Railway Co. ...... 5,920
170 Southwest Airlines Co. ............. 2,752
67 United Parcel Service, Inc., Class
B................................. 4,623
----------
13,295
----------
Utilities (17.4%):
45 Aes Corp. (b)....................... 3,364
115 Alltel Corp. ....................... 9,509
30 Ameren Corp. ....................... 983
30 American Electric Power, Inc. ...... 964
600 AT&T Corp. ......................... 30,449
180 Bell Atlantic Corp. ................ 11,081
170 BellSouth Corp. .................... 7,958
35 Carolina Power & Light Co. ......... 1,065
100 Centurytel, Inc. ................... 4,738
40 Consolidated Edison Inc. ........... 1,380
80 Constellation Energy Group.......... 2,320
35 Dominion Resources, Inc. ........... 1,374
70 Duke Energy Corp. .................. 3,509
145 Edison International................ 3,797
171 El Paso Energy Corp. ............... 6,652
145 Enron Corp. ........................ 6,434
40 Entergy Corp. ...................... 1,030
50 First Energy Corp. ................. 1,134
82 Florida Power & Light Group,
Inc. ............................. 3,511
20 Florida Progress Corp. ............. 846
155 Global Crossing Ltd. (b)............ 7,750
320 GTE Corp. .......................... 22,579
</TABLE>
Continued
25
<PAGE> 28
- --------------------------------------------------------------------------------
One Group Mutual Funds
Large Cap Value Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Utilities, continued:
591 MCI Worldcom, Inc. (b).............. $ 31,359
50 Nortel Networks Corp. .............. 5,050
70 Peco Energy Corp. .................. 2,433
45 Pg & E Corp. ....................... 923
84 Public Service Enterprises, Inc. ... 2,924
45 Reliant Energy Inc. ................ 1,029
40 Scientific-Atlanta, Inc. ........... 2,225
15 Scottish Power Plc-Adr.............. 406
135 Southern Co. ....................... 3,173
265 Sprint Corp. ....................... 17,838
110 Texas Utilities Corp. .............. 3,912
35 Unicom Corp. ....................... 1,173
306 Williams Co., Inc. ................. 9,366
----------
214,238
----------
Total Common Stocks 1,210,439
----------
INVESTMENT COMPANIES (1.5%):
18,559 One Group Prime Money Market Fund,
Class I........................... 18,559
----------
Total Investment Companies 18,559
----------
SHORT-TERM SECURITIES HELD AS COLLATERAL (4.1%):
Investment Companies (0.6%):
6,569 Aim Liquid Asset Money Market
Fund.............................. 6,569
1,314 One Group Prime Money Market Fund,
Class I........................... 1,314
----------
7,883
----------
Master Notes (0.3%):
$ 1,533 Bear Stearns, 4.77%, 1/3/00*........ 1,533
657 Lehman Brothers, 4.88%, 1/3/00*..... 657
657 Merrill Lynch, 4.68%, 1/3/00*....... 657
394 NationsBanc, 4.70%, 1/3/00*......... 394
----------
3,241
----------
Put Bonds (1.8%):
1,751 Amex Centurion, 5.08%, 2/18/00*..... 1,751
569 Branch Banking & Trust,
5.11%, 5/25/00*................... 569
1,314 Caterpillar Financial, 5.17%,
5/1/01*........................... 1,314
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Put Bonds, continued:
$ 1,095 Chase Manhattan, 5.23%, 5/6/02*..... $ 1,095
1,007 Evangelical Lutheran, 6.64%,
4/28/00*.......................... 1,006
1,095 Fleet National Bank, 5.04%,
4/18/00*.......................... 1,095
1,095 GMAC, 5.19%, 5/3/01*................ 1,095
4,889 Goldman Sachs, 5.25%, 11/21/00*..... 4,889
438 J.P. Morgan & Co., 5.07%, 5/4/00*... 438
1,095 J.P. Morgan & Co., 5.13%, 5/4/01*... 1,095
1,095 Lehman Brothers, 6.64%, 7/20/00*.... 1,095
438 Liberty Lighthouse, 5.12%,
5/5/00*........................... 438
1,095 Merrill Lynch, 5.28%, 5/6/02*....... 1,095
1,970 Morgan Stanley, 5.25%, 1/21/00*..... 1,970
504 Salomon Smith Barney, 5.01%,
2/5/01*........................... 504
1,095 Sigma Finance, Inc., 5.11%,
3/31/00*.......................... 1,095
1,314 SPARCC, 6.05%, 3/24/00*............. 1,314
----------
21,858
----------
Repurchase Agreements (1.4%):
4,379 HSBC, 4.67%, 01/03/00,
(Collateralized by $13,706 various
Government Securities,
0.00% - 10.63%, 1/28/00 - 4/15/29,
market value $4,467).............. 4,379
3,285 HSBC, 4.62%, 01/03/00,
(Collateralized by $4,467, various
Government Securities,
0.00% - 13.38%, 1/20/00 - 3/7/12,
market value $3,351).............. 3,285
4,193 Lehman Brothers, 4.65%, 01/03/00,
(Collateralized by $4,403 various
Commercial Paper, 0.00%, 1/10/00 -
5/23/00, market value $4,403)..... 4,193
5,256 Lehman Brothers, 4.85%, 01/03/00,
(Collateralized by 124 various
Equity Securities, market value
$5,534)........................... 5,256
----------
17,113
----------
Total Short-Term Securities Held as Collateral 50,095
----------
Total (Cost $1,103,810) (a) $1,279,093
==========
</TABLE>
- ------------
Percentages indicated are based on net assets of $1,231,947.
(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...................... $206,771
Unrealized depreciation...................... (31,488)
--------
Net unrealized appreciation.................. $175,283
========
</TABLE>
Continued
26
<PAGE> 29
- --------------------------------------------------------------------------------
One Group Mutual Funds
Large Cap Value Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
(b) Non-income producing securities.
(c) Rounds to less than 1,000.
* 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 December 31,
1999.
See notes to financial statements.
27
<PAGE> 30
- --------------------------------------------------------------------------------
One Group Mutual Funds
Equity Income Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS (94.5%):
Business Equipment & Services (1.1%):
160 Automatic Data Processing, Inc. .... $ 8,620
125 Dun & Bradstreet.................... 3,688
----------
12,308
----------
Capital Goods (9.2%):
185 Cooper Industries, Inc. ............ 7,481
175 Emerson Electric Co. ............... 10,041
480 General Electric Co. ............... 74,279
120 Johnson Controls, Inc. ............. 6,825
200 Sherwin-Williams Co. ............... 4,200
----------
102,826
----------
Consumer Durable (2.4%):
125 Dana Corp. ......................... 3,742
250 Ford Motor Co. ..................... 13,360
130 General Motors Corp. ............... 9,449
----------
26,551
----------
Consumer Non-Durable (10.2%):
80 Campbell Soup Co. .................. 3,095
70 Clorox Co. ......................... 3,526
300 Coca-Cola Co. ...................... 17,474
400 ConAgra, Inc. ...................... 9,025
100 Eastman Kodak Co. .................. 6,625
125 Fortune Brands, Inc. ............... 4,133
150 General Mills, Inc. ................ 5,363
90 International Flavors & Fragrances,
Inc. (b).......................... 3,398
170 McCormick & Co., Inc. .............. 5,058
120 Nike, Inc. ......................... 5,948
250 PepsiCo, Inc. ...................... 8,813
375 Philip Morris Co., Inc. ............ 8,695
155 Proctor & Gamble Co. ............... 16,982
125 Quaker Oats Co. .................... 8,203
375 Sara Lee Corp. ..................... 8,273
----------
114,611
----------
Consumer Services (1.9%):
300 Belo (A.H.) Corp., Class A.......... 5,719
225 Mattel.............................. 2,953
200 McGraw-Hill Co., Inc. .............. 12,325
----------
20,997
----------
Energy (9.2%):
100 Atlantic Richfield Co. ............. 8,650
110 BP Amoco ADR (b).................... 6,524
650 Exxon Mobil Corp. .................. 52,366
165 Halliburton Co. .................... 6,641
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Energy, continued:
350 Royal Dutch Petroleum Co. .......... $ 21,153
135 Texaco, Inc. ....................... 7,305
----------
102,639
----------
Financial Services (17.8%):
86 Aegon NV............................ 8,230
100 Allstate Corp. ..................... 2,400
85 American Express Co. ............... 14,131
23 American National Insurance Co. .... 1,466
140 Associates First Capital, Class A... 3,841
350 Bank of America Corp. .............. 17,566
140 Chase Manhattan Corp. .............. 10,876
638 Citigroup, Inc. .................... 35,420
325 Fannie Mae.......................... 20,291
125 Financial Security Assurance
Hldgs............................. 6,516
235 First Tennessee National Corp.
(b)............................... 6,698
100 First Union Corp. .................. 3,281
116 Franchise Finance Corp. of
America........................... 2,784
70 J.P. Morgan & Co., Inc. ............ 8,864
175 Lincoln National Corp. ............. 7,000
60 Marsh & Mclennan Co. ............... 5,741
250 National City Corp. ................ 5,922
350 Pacific Century Financial Corp. .... 6,541
180 Reliastar Financial Corp. .......... 7,054
170 SouthTrust Corp. ................... 6,428
300 U.S. Bancorp........................ 7,144
275 Wells Fargo Co. .................... 11,120
----------
199,314
----------
Health Care (12.6%):
175 Abbott Labs......................... 6,355
375 American Home Products Co. ......... 14,789
245 Baxter International, Inc. ......... 15,389
350 Bristol Myers Squibb Co. ........... 22,465
190 Johnson & Johnson................... 17,694
300 Merck & Co., Inc. .................. 20,118
475 Pfizer, Inc. ....................... 15,408
300 Schering Plough Corp. .............. 12,656
200 Warner Lambert Co. ................. 16,388
----------
141,262
----------
Multi-Industry (1.7%):
60 El Paso Energy Corp. ............... 2,329
150 Honeywell International Inc. ....... 8,653
80 Minnesota Mining & Manufacturing
Co. .............................. 7,830
----------
18,812
----------
</TABLE>
Continued
28
<PAGE> 31
- --------------------------------------------------------------------------------
One Group Mutual Funds
Equity Income Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Raw Materials (3.1%):
225 Air Products & Chemical, Inc. ...... $ 7,552
90 Dow Chemical Co. ................... 12,026
230 Du Pont (EI) de Nemours & Co. ...... 15,151
----------
34,729
----------
Retail (2.5%):
200 Albertsons, Inc. (b)................ 6,450
75 May Department Stores Co. .......... 2,419
200 Wal-Mart Stores, Inc. .............. 13,825
180 Walgreen Co. ....................... 5,265
----------
27,959
----------
Shelter (5.4%):
70 Archstone Communities Trust......... 1,441
78 Avalon Bay Communities, Inc. ....... 2,683
21 Camden Property Trust............... 578
130 Carramerica Realty Corp. ........... 2,750
28 CBL & Associates Properties......... 575
110 Colonial Properties Trust........... 2,544
171 Developers Diversified Realty
Corp. ............................ 2,202
133 Duke Realty Investments, Inc. ...... 2,599
116 Equity Office Properties Trust
(b)............................... 2,852
63 Equity Residential Properties
Trust............................. 2,690
225 Kimberly Clark Corp. ............... 14,681
75 Kimco Realty........................ 2,527
75 Masco Corp. ........................ 1,903
20 Prentiss Properties Trust........... 420
117 Public Storage, Inc. ............... 2,650
113 Simon Property Group, Inc. ......... 2,587
300 Sonoco Products Co. ................ 6,825
69 Spieker Properties, Inc. ........... 2,514
20 Summit Properties, Inc. ............ 358
50 Temple Inland, Inc. ................ 3,297
44 Vornado Realty Trust................ 1,420
----------
60,096
----------
Technology (5.4%):
125 Boeing Co. ......................... 5,195
150 Hewlett Packard Co. ................ 17,091
215 International Business Machines..... 23,220
175 Lockheed Martin Corp. .............. 3,828
140 United Technologies Corp. .......... 9,100
100 Xerox Corp. ........................ 2,269
----------
60,703
----------
Transportation (0.9%):
300 Canadian National Railway Co. (b)... 7,894
32 United Parcel Service, Class B...... 2,208
----------
10,102
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Utilities (11.1%):
440 AT&T Corp. ......................... $ 22,330
115 Bell Atlantic....................... 7,080
225 BellSouth Corp. .................... 10,533
200 Central & South West Corp. ......... 4,000
170 Entergy Corp. ...................... 4,378
275 GTE Corp. .......................... 19,405
235 L G & E Energy Corp. ............... 4,105
75 New Century Energies, Inc. ......... 2,278
230 Northern States Power Co. .......... 4,485
475 SBC Communications, Inc. ........... 23,155
300 Sierra Pacific Resources............ 5,194
260 Sprint Corp. ....................... 17,501
----------
124,444
----------
Total Common Stocks 1,057,353
----------
CONVERTIBLE BONDS (2.0%):
Health Care (0.5%):
$ 5,000 Alza Corp., 5.00%, 5/1/06........... 5,263
----------
Industrial Goods & Services (0.5%):
5,500 Athena Neuroscience, 4.75%, 11/15/04
(b)............................... 5,610
----------
Shelter (0.5%):
7,500 Hilton Hotels Corp., 5.00%,
5/15/06........................... 5,728
----------
Utilities (0.5%):
125 El Paso Energy Corp., 4.75%,
3/31/28........................... 6,297
----------
Total Convertible Bonds 22,898
----------
CONVERTIBLE PREFERRED STOCKS (2.9%):
Consumer Non-Durable (1.1%):
310 Ingersoll-Rand Co. ................. 7,906
130 Ralston Purina...................... 4,753
----------
12,659
----------
Financial Services (0.5%):
95 St. Paul Capital.................... 5,605
----------
Multi-Industry (0.8%):
100 Monsanto Co. ....................... 3,313
150 Newell Financial Trust.............. 5,643
----------
8,956
----------
Utilities (0.5%):
331 Avista Corp. (b).................... 5,052
----------
Total Convertible Preferred Stocks 32,272
----------
</TABLE>
Continued
29
<PAGE> 32
- --------------------------------------------------------------------------------
One Group Mutual Funds
Equity Income Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
INVESTMENT COMPANIES (0.3%):
3,047 One Group Prime Money Market Fund,
Class I........................... $ 3,047
----------
Total Investment Companies 3,047
----------
SHORT-TERM SECURITIES HELD AS COLLATERAL (3.3%):
Investment Companies (0.4%):
4,123 Aim Liquid Asset Money Market
Fund.............................. 4,123
825 One Group Prime Money Market Fund,
Class I........................... 825
----------
4,948
----------
Master Notes (0.2%):
$ 963 Bear Stearns, 4.77%, 1/3/00*........ 963
412 Lehman Brothers, 4.88%, 1/3/00*..... 412
412 Merrill Lynch, 4.68%, 1/3/00*....... 412
247 NationsBanc, 4.70%, 1/3/00*......... 247
----------
2,034
----------
Put Bonds (1.7%):
1,100 Amex Centurion, 5.08%, 2/18/00*..... 1,100
357 Branch Banking & Trust, 5.11%,
5/25/00*.......................... 357
825 Caterpillar Finance, 5.17%,
5/1/01*............................. 825
687 Chase Manhattan, 5.23%, 5/6/02*..... 687
632 Evangelical Lutheran, 6.64%,
4/28/00*............................ 631
687 Fleet National Bank, 5.04%,
4/18/00*............................ 687
687 GMAC, 5.19%, 5/3/01*................ 687
1,867 Greenwich Capital, 6.91%, 7/9/01*... 1,867
6,534 Greenwich Capital, 6.93%,
12/2/02*............................ 6,534
275 J.P. Morgan & Co., 5.07%, 5/4/00*... 275
687 J.P. Morgan & Co., 5.13%, 5/4/01*... 687
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Put Bonds, continued:
$ 687 Lehman Brothers, 6.64%, 7/20/00*.... $ 687
275 Liberty Lighthouse, 5.12%,
5/5/00*............................. 275
687 Merrill Lynch, 5.28%, 5/6/02*....... 687
1,237 Morgan Stanley, 5.25%, 1/21/00*..... 1,237
316 Salomon Smith Barney, 5.01%,
2/5/01*............................. 316
687 Sigma Finance, Inc., 5.11%,
3/31/00*............................ 687
825 SPARCC, 6.05%, 3/24/00*............. 825
----------
19,051
----------
Repurchase Agreements (1.0%):
2,749 HSBC, 4.67%, 1/3/00, (Collateralized
by $8,603 various Government
Securities, 0.00% - 10.63%,
1/28/00 - 4/15/29, market value
$2,804)........................... 2,749
2,062 HSBC, 4.62%, 1/3/00, (Collateralized
by $2,804 Various Government
Securities, 0.00% - 13.38%,
1/20/00 - 3/7/12, market value
$2,103)........................... 2,062
2,632 Lehman Brothers, 4.65%, 1/3/00,
(Collateralized by $2,764 various
Commercial Paper, 0.00%, 1/10/00 -
5/23/00, market value $2,764)..... 2,632
3,298 Lehman Brothers, 4.85%, 1/3/00,
(Collateralized by 78 various
Equity Securities, market value
$3,473)........................... 3,298
----------
10,741
----------
Total Short-Term Securities Held as Collateral 36,774
----------
Total (Cost $694,832) (a) $1,152,344
==========
</TABLE>
- ------------
Percentages indicated are based on net assets of $1,118,906.
(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...................... $487,788
Unrealized depreciation...................... $(30,276)
--------
Net unrealized appreciation.................. $457,512
========
</TABLE>
(b) Non-income producing securities.
* 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 December 31,
1999.
ADR American Depository Receipt
See notes to financial statements.
30
<PAGE> 33
- --------------------------------------------------------------------------------
One Group Mutual Funds
Diversified Equity Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS (98.7%):
Business Equipment & Services (0.7%):
168 Automatic Data Processing, Inc. .... $ 9,061
149 Waters Corp. (b).................... 7,908
----------
16,969
----------
Capital Goods (6.7%):
338 Crane Co. .......................... 6,718
153 Fastenal Co. ....................... 6,862
597 General Electric Co. ............... 92,323
185 Johnson Controls, Inc. ............. 10,499
305 Mark IV Industries, Inc. ........... 5,402
734 Tyco International Ltd. ............ 28,534
145 USG Corp. .......................... 6,852
----------
157,190
----------
Consumer Durable (1.8%):
34 Danaher Corp. ...................... 1,626
236 General Motors Corp. ............... 17,133
208 Lear Corp. (b)...................... 6,653
113 SPX Corp. (b)....................... 9,091
110 Whirlpool Corp. .................... 7,183
----------
41,686
----------
Consumer Non-Durable (5.8%):
447 Coca Cola Enterprises............... 9,004
126 Coca-Cola Co. ...................... 7,345
442 Gillette Co. ....................... 18,197
142 Intimate Brands, Inc. .............. 6,128
344 Jones Apparel Group, Inc. (b)....... 9,342
295 Nike, Inc. ......................... 14,606
1,258 Philip Morris Co., Inc. ............ 29,177
118 Procter & Gamble Co. ............... 12,950
1,142 Sara Lee Corp. ..................... 25,198
249 U.S. Foodservices (b)............... 4,164
----------
136,111
----------
Consumer Services (5.1%):
343 Belo (A.H.) Corp., Series A......... 6,535
263 CBS Corp. (b)....................... 16,809
280 Comcast Corp. ...................... 14,163
679 Hilton Hotels Corp. ................ 6,531
289 International Game Technologies..... 5,866
441 New York Times Co. ................. 21,654
379 Time Warner, Inc. .................. 27,417
341 Viacom, Inc., Class B (b)........... 20,603
----------
119,578
----------
Energy (4.9%):
840 Exxon Mobil Corp. .................. 67,637
240 Halliburton Co. .................... 9,640
248 Occidental Petroleums Corp. ........ 5,369
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Energy, continued:
215 Texaco, Inc. ....................... $ 11,688
269 Tosco Corp. ........................ 7,300
233 Transocean Sedco Forex, Inc. ....... 7,859
203 USX-Marathon Group.................. 5,014
----------
114,507
----------
Financial Services (14.1%):
106 American Express Co. ............... 17,589
437 American International Group,
Inc. ............................. 47,237
258 Associates First Capital, Class A... 7,068
568 Bank of America Corp. .............. 28,527
272 Charter One Financial, Inc. ........ 5,193
250 Chase Manhattan Corp. .............. 19,430
171 Cigna Corp. ........................ 13,752
829 Citigroup, Inc. .................... 46,086
516 Federal Home Loan Mortgage Corp. ... 24,289
414 First Security Corp. ............... 10,562
174 First Tennessee National Corp. ..... 4,956
572 Fleetboston Financial Corp. ........ 19,920
224 Hartford Financial Services Group... 10,588
159 Marsh & Mclennan Co. ............... 15,176
255 Morgan Stanley Dean Witter
Discover.......................... 36,416
256 Pacific Century Financial Corp. .... 4,786
256 SouthTrust Corp. ................... 9,693
233 Wells Fargo Co. .................... 9,422
----------
330,690
----------
Health Care (8.9%):
300 Abbott Laboratories................. 10,908
368 American Home Products Corp. ....... 14,529
201 Baxter International, Inc. ......... 12,650
169 Biomet, Inc. ....................... 6,752
555 Bristol Myers Squibb Co. ........... 35,631
117 Gilead Sciences, Inc. (b)........... 6,354
141 Guidant Corp. (b)................... 6,632
356 IDEXX Laboratories, Inc. (b)........ 5,742
119 Johnson & Johnson................... 11,101
54 MedImmune (b)....................... 8,974
370 Medtronic, Inc. .................... 13,493
323 Merck & Co., Inc. .................. 21,648
537 Pfizer, Inc. ....................... 17,425
560 Schering Plough Corp. .............. 23,621
163 Warner-Lambert Co. ................. 13,339
----------
208,799
----------
Raw Materials (3.2%):
239 Alcoa, Inc. ........................ 19,795
197 Cabot Corp. ........................ 4,004
</TABLE>
Continued
31
<PAGE> 34
- --------------------------------------------------------------------------------
One Group Mutual Funds
Diversified Equity Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Raw Materials, continued:
263 CK Witco Corp. ..................... $ 3,514
265 Cytec Industries, Inc. (b).......... 6,128
192 Du Pont (EI) de Nemours & Co. ...... 12,648
292 Ferro Corp. ........................ 6,425
281 Lyondell Chemical Co. .............. 3,579
260 Monsanto Co. ....................... 9,248
158 RPM, Inc. .......................... 1,613
284 Sigma-Aldrich Corp. ................ 8,547
----------
75,501
----------
Retail (4.8%):
131 AnnTaylor Stores Corp. (b).......... 4,501
175 Applebee's International............ 5,160
332 CVS Corp. .......................... 13,239
216 Kohl's Corp. (b).................... 15,621
305 TJX Co., Inc. ...................... 6,235
309 Tricon Global Restaurants (b)....... 11,931
655 Wal-Mart Stores, Inc. .............. 45,285
249 Williams Sonoma, Inc. (b)........... 11,472
----------
113,444
----------
Shelter (2.2%):
280 Georgia-Pacific Corp. .............. 14,215
75 Huttig Building Products (b)........ 371
432 Kimberly Clark Corp. ............... 28,182
225 Pentair, Inc. ...................... 8,643
----------
51,411
----------
Technology (28.8%):
138 ADC Telecommunications, Inc. (b).... 10,043
444 America Online (b).................. 33,479
142 Applied Materials, Inc. (b)......... 17,990
188 BMC Software, Inc. (b).............. 15,020
235 Boeing Co. ......................... 9,771
749 Cisco Systems, Inc. (b)............. 80,252
69 Comverse Technology Inc. (b)........ 9,987
149 Cordant Technologies, Inc. ......... 4,917
609 Dell Computer Corp. (b)............. 31,039
285 Electronic Data Systems Corp. ...... 19,044
365 EMC Corp. (b)....................... 39,909
174 Hewlett Packard Co. ................ 19,780
634 Intel Corp. ........................ 52,194
224 International Business Machines..... 24,160
486 Lucent Technologies, Inc. .......... 36,359
308 Maxim Integrated Products, Inc.
(b)............................... 14,524
939 Microsoft Corp. (b)................. 109,639
366 Nortel Networks Corporation......... 36,996
133 Oracle Corp. (b).................... 14,916
144 Rational Software Corp. (b)......... 7,051
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
170 SCI Systems, Inc. (b)............... $ 14,005
79 Solectron Corp. (b)................. 7,534
378 Sun Microsystems, Inc. (b).......... 29,302
175 Symantec Corp. (b).................. 10,271
169 Symbol Technologies, Inc. .......... 10,723
307 Xilinx, Inc. (b).................... 13,977
----------
672,882
----------
Transportation (0.8%):
143 Kansas City Southern Industries..... 10,701
125 United Parcel Service, Class B...... 8,646
----------
19,347
----------
Utilities (10.9%):
304 AT&T Corp. ......................... 15,450
422 Bell Atlantic....................... 25,973
386 CenturyTel, Inc. ................... 18,296
235 CMS Energy Corp. ................... 7,320
215 El Paso Energy Corp. ............... 8,345
296 Energy East Corp. .................. 6,163
388 Enron Corp. ........................ 17,222
260 Florida Power & Light, Inc. ........ 11,140
130 General Public Utilities Corp. ..... 3,886
793 MCI Worldcom, Inc. (b).............. 42,088
401 Pinnacle West Capital Corp. ........ 12,240
216 Qwest Communications International
(b)............................... 9,274
808 SBC Communications, Inc. ........... 39,390
425 Sprint Corp. ....................... 28,574
365 Williams Co. ....................... 11,168
----------
256,529
----------
Total Common Stocks 2,314,644
----------
INVESTMENT COMPANIES (0.9%):
21,900 One Group Prime Money Market Fund,
Class I........................... 21,900
----------
Total Investment Companies 21,900
----------
SHORT-TERM SECURITIES HELD AS COLLATERAL (4.6%):
Investment Companies (0.8%):
15,122 Aim Liquid Asset Money Market
Fund.............................. 15,122
3,024 One Group Prime Money Market Fund,
Class I........................... 3,024
----------
18,146
----------
Master Notes (0.3%):
$ 3,529 Bear Stearns, 4.77%, 1/3/00*........ 3,529
1,512 Lehman Brothers, 4.88%, 1/3/00*..... 1,512
</TABLE>
Continued
32
<PAGE> 35
- --------------------------------------------------------------------------------
One Group Mutual Funds
Diversified Equity Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Master Notes, continued:
$ 1,512 Merrill Lynch, 4.68%, 1/3/00*....... $ 1,512
907 NationsBanc, 4.70%, 1/3/00*......... 907
----------
7,460
----------
Put Bonds (1.8%):
4,033 Amex Centurion, 5.11%, 2/18/00*..... 4,033
1,311 Branch Banking & Trust, 5.11%,
5/25/00*.......................... 1,310
3,024 Caterpillar Finance, 5.17%,
5/1/01*........................... 3,024
2,520 Chase Manhattan, 5.23%, 5/6/02*..... 2,520
2,319 Evangelical Lutheran, 6.64%,
4/28/00*.......................... 2,315
2,520 Fleet National Bank, 5.04%,
4/18/00*.......................... 2,520
2,520 GMAC, 5.19%, 5/3/01*................ 2,520
3,960 Goldman Sachs, 5.25%, 11/21/00*..... 3,960
1,008 J.P. Morgan & Co., 5.07%, 5/4/00*... 1,008
2,520 J.P. Morgan & Co., 5.13%, 5/4/01*... 2,520
2,520 Lehman Brothers, 6.64%, 7/20/00*.... 2,520
1,008 Liberty Lighthouse, 5.12%,
5/5/00*........................... 1,008
2,520 Merrill Lynch, 5.28%, 5/6/02*....... 2,520
4,537 Morgan Stanley, 5.25%, 1/21/00*..... 4,537
1,159 Salomon Smith Barney, 5.01%,
2/5/01*........................... 1,159
2,520 Sigma Finance, Inc., 5.11%,
3/31/00*.......................... 2,520
3,024 SPARCC, 6.05%, 3/24/00*............. 3,024
----------
43,018
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Repurchase Agreements (1.7%):
$10,081 HSBC, 4.67%, 1/3/00, (Collateralized
by $31,549 various Government
Securities, 0.00% - 10.63%,
1/28/00 - 4/15/29, market value
$10,283).......................... $ 10,081
7,561 HSBC, 4.62%, 1/3/00, (Collateralized
by $10,283 various Government
Securities, 0.00% - 13.38%,
1/20/00 - 3/7/12, market value
$7,712)........................... 7,561
9,652 Lehman Brothers, 4.65%, 1/3/00
(Collateralized by $10,135 various
Commercial Paper, 0.00% - 0.00%,
1/10/00 - 5/23/00, market value
$10,135).......................... 9,652
12,097 Lehman Brothers, 4.85%, 1/3/00
(Collateralized by 284 various
Equity Securities, market value
$12,738).......................... 12,097
----------
39,391
----------
Total Short-Term Securities Held as Collateral 108,015
----------
Total (Cost $1,801,885) (a) $2,444,559
==========
</TABLE>
- ------------
Percentages indicated are based on net assets of $2,345,246.
(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...................... $731,176
Unrealized depreciation...................... (88,502)
--------
Net unrealized appreciation.................. $642,674
========
</TABLE>
(b) Non-income producing securities.
* 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 December 31,
1999.
See notes to financial statements.
33
<PAGE> 36
- --------------------------------------------------------------------------------
One Group Mutual Funds
Balanced Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
ASSET BACKED SECURITIES (5.2%):
Financial Services (4.5%):
$ 1,000 Advanta Automobile Receivables Trust,
Series 1998-1, Class A2, 6.09%,
12/15/03........................... $ 984
433 Advanta Equipment Receivables,
Series 1998-1, Class A2, 5.82%,
12/15/06........................... 430
2,035 Advanta Equipment Receivables,
Series 1998-1, Class A4, 5.98%,
12/15/06........................... 1,988
494 Advanta Mortgage Loan Trust,
Series 1997-2, Class A2, 7.05%,
5/25/21............................ 492
384 Americredit Automobile Receivables
Trust, Series 1997-C, Class A3,
6.30%,
7/5/03............................. 383
700 Arcadia Automobile Receivables Trust,
Series 1997-C, Class A5, 6.55%,
6/15/05............................ 696
2,000 BankBoston RV Asset Backed Trust,
Series 1997-1, Class A6, 6.44%,
1/15/07............................ 1,995
900 Barnett Auto Trust,
Series 1997-A, Class A5, 6.26%,
2/15/03............................ 895
101 Capita Equipment Receivables Trust,
Series 1996-1, Class A4, 6.28%,
6/15/00............................ 101
1,500 Capita Equipment Receivables Trust,
Series 1997-1, Class A4, 6.19%,
2/15/02............................ 1,487
610 Case Equipment Loan Trust,
Series 1998-B, Class A3, 5.81%,
5/15/03............................ 608
112 Case Equipment Loan Trust,
Series 1996-B, Class A3, 6.65%,
9/15/03............................ 112
2,000 Chemical Master Credit Card Trust,
Series 1995-2, Class A, 6.23%,
6/15/03............................ 1,996
276 Copelco Capital Funding Corp.,
Series 1996-A, Class A, 6.34%,
7/20/04............................ 276
400 Dayton Hudson Credit Card Master
Trust, Series 1997-1, Class A,
6.25%,
8/25/05............................ 393
670 EQCC Home Equity Loan Trust,
Series 1998-2, Class A6F, 6.16%,
4/15/08............................ 647
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
ASSET BACKED SECURITIES, CONTINUED:
Financial Services, continued:
$ 200 EQCC Home Equity Loan Trust,
Series 1998-1, Class A3F, 6.23%,
12/15/12........................... $ 199
267 EQCC Home Equity Loan Trust,
Series 1997-2, Class A7, 6.89%,
2/15/20............................ 266
750 EQCC Home Equity Loan Trust,
Series 1998-2, Class A4F, 6.33%,
1/15/22............................ 730
925 Fleetwood Credit Corp Grantor Trust,
Series 1997-B, Class A, 6.40%,
5/15/13............................ 919
53 Green Tree Financial Corp.,
Series 1994-1, Class A3, 6.90%,
4/15/19............................ 53
250 Green Tree Financial Corp.,
Series 1996-3, Class A3, 6.70%,
5/15/27............................ 250
481 Green Tree Financial Corp.,
Series 1996-7, Class A4, 6.80%,
10/15/27........................... 482
29 Green Tree Financial Corp.,
Series 1997-1, Class A3, 6.23%,
3/15/28............................ 29
556 Green Tree Home Improvement Loan
Trust, Series 1996-C, Class HEA3,
7.55%, 6/15/26..................... 558
125 Green Tree Recreational, Equipment
and Consulting, Series 1998-C,
Class A3,
5.92%, 2/15/09..................... 124
200 Green Tree Recreational, Equipment
and Consulting, Series 1998-B,
Class A5,
6.10%, 12/15/13.................... 195
383 Green Tree Recreational, Equipment
and Consulting, Series 1996-A,
Class A1,
5.55%, 2/15/18..................... 373
321 Household Affinity Credit Card Master
Trust, Series 1993-2, Class A,
5.60%, 5/15/02..................... 320
200 Key Auto Finance Trust,
Series 97-2, Class A5, 6.25%,
10/15/03........................... 199
335 MBNA Master Credit Card Trust,
Series 1995-D, Class A, 6.05%,
11/15/02........................... 335
425 MBNA Master Credit Card Trust,
Series 1995-F, Class A, 6.60%,
1/15/03............................ 426
</TABLE>
Continued
34
<PAGE> 37
- --------------------------------------------------------------------------------
One Group Mutual Funds
Balanced Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
ASSET BACKED SECURITIES, CONTINUED:
Financial Services, continued:
$ 426 Olympic Automobile Receivables Trust,
Series 1996-B, Class A4, 6.70%,
3/15/02............................ $ 427
315 Olympic Automobile Receivables Trust,
Series 1996-D, Class A4, 6.05%,
8/15/02............................ 315
2,000 Onyx Acceptance Grantor Trust,
Series 1998-A, Class CTFS, 5.99%,
1/15/05............................ 1,956
516 Premier Auto Trust,
Series 1996-4, Class A4, 6.45%,
10/6/01............................ 517
2,314 SLM Student Loan Trust,
Series 1999-1, Class A1T, 5.76%,
4/25/08............................ 2,304
115 The Money Store Auto Grantor Trust,
Series 1996-2, Class A3, 6.25%,
6/20/03............................ 115
595 The Money Store Home Equity Trust,
Series 1997-C, Class AF5, 6.54%,
6/15/21............................ 591
474 The Money Store Home Equity Trust,
Series 1996-B, Class A8, 7.91%,
5/15/24............................ 476
400 The Money Store Home Equity Trust,
Series 1996-A, Class A8, 7.66%,
8/15/26............................ 389
2,000 Union Acceptance Corp.,
Series 1998-B, Class A5, 6.02%,
1/9/06............................. 1,960
--------
27,991
--------
Student Loan Marketing Association (0.7%):
4,000 Student Loan Marketing Association,
7.20%, 11/9/00..................... 4,027
--------
Total Asset Backed Securities 32,018
--------
COMMERCIAL PAPER (3.7%):
Financial Services (3.7%):
23,000 GE Capital Corp., 6.35%, 1/21/00..... 22,938
--------
Total Commercial Paper......................... 22,938
--------
COMMON STOCKS (52.9%):
Business Equipment & Service (1.1%):
77 America Online, Inc. (b)............. 5,813
21 Waters Corp. ........................ 1,087
--------
6,900
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Capital Goods (3.6%):
47 Crane Co. ........................... $ 936
21 Fastenal Co. ........................ 948
84 General Electric Co. ................ 13,022
24 Johnson Controls, Inc. .............. 1,349
43 Mark IV Industries, Inc. ............ 767
24 Trinity Industries................... 688
97 Tyco International, Ltd. ............ 3,765
21 USG Corp. ........................... 966
--------
22,441
--------
Consumer Durable (0.9%):
5 Danaher Corp. ....................... 232
33 General Motors Corp. ................ 2,416
26 Lear Corp. (b)....................... 846
16 SPX Corp. (b)........................ 1,328
15 Whirlpool Corp. ..................... 995
--------
5,817
--------
Consumer Non-Durable (3.4%):
56 Coca Cola Enterprises................ 1,124
23 Coca-Cola Co. ....................... 1,357
63 Gillette Co. ........................ 2,587
20 Intimate Brands, Inc. ............... 853
52 Jones Apparel Group, Inc. (b)........ 1,420
42 Nike, Inc. .......................... 2,088
179 Philip Morris Co., Inc. ............. 4,144
25 Proctor & Gamble Co. ................ 2,750
162 Sara Lee Corp. ...................... 3,576
60 U.S. Foodservices (b)................ 1,008
--------
20,907
--------
Consumer Services (2.6%):
48 Belo (A.H.) Corp., Series A.......... 909
36 CBS Corp. (b)........................ 2,315
39 Comcast Corp. Special................ 1,952
94 Hilton Hotels Corp................... 906
40 International Game Technology........ 810
48 New York Times Co. .................. 2,364
55 Time Warner, Inc. ................... 3,967
48 Viacom, Inc. (b)..................... 2,923
--------
16,146
--------
Energy (3.6%):
117 Exxon Mobil Corp. ................... 9,392
37 Halliburton Co. ..................... 1,504
55 Occidental Petroleums Corp. ......... 1,185
56 Royal Dutch Petroleum Co., NY
Shares............................. 3,359
37 Texaco, Inc. ........................ 1,991
52 Tosco Corp. ......................... 1,402
</TABLE>
Continued
35
<PAGE> 38
- --------------------------------------------------------------------------------
One Group Mutual Funds
Balanced Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Energy, continued:
51 Transocan Sedco Forex, Inc. ......... $ 1,718
58 USX-Marathon Group, Inc. ............ 1,442
--------
21,993
--------
Financial Services (7.8%):
15 American Express Co. ................ 2,489
57 American International Group,
Inc. .............................. 6,208
45 Associates First Capital Corp., Class
A.................................. 1,223
81 BankAmerica Corp. ................... 4,071
54 Charter One Financial, Inc. ......... 1,029
36 Chase Manhattan Corp. ............... 2,804
25 Cigna Corp. ......................... 2,025
125 Citigroup, Inc. ..................... 6,958
36 Federal Home Loan Mortgage Corp. .... 1,680
30 Federal National Mortgage Assoc. .... 1,881
57 First Security Corp. ................ 1,455
25 First Tennessee National Corp. ...... 705
80 Fleetboston Financial Corp. ......... 2,792
34 Hartford Financial Services Group.... 1,607
22 Marsh & Mclennan Co. ................ 2,107
39 Morgan Stanley Dean Witter
Discover........................... 5,626
37 Pacific Century Financial Corp. ..... 699
38 SouthTrust Corp. .................... 1,419
33 Wells Fargo Co. ..................... 1,325
--------
48,103
--------
Health Care (5.0%):
29 Abbott Labs.......................... 1,056
57 American Home Products Co. .......... 2,237
28 Baxter International, Inc. .......... 1,785
31 Biomet, Inc. ........................ 1,241
77 Bristol Myers Squibb Co. ............ 4,958
16 Gilead Sciences, Inc. (b)............ 877
20 Guidant Corp. (b).................... 924
50 IDEXX Laboratories, Inc. (b)......... 808
19 Johnson & Johnson.................... 1,784
8 MedImmune, Inc. (b).................. 1,257
62 Medtronic, Inc. ..................... 2,263
46 Merck & Co., Inc. ................... 3,082
108 Pfizer, Inc. ........................ 3,502
78 Schering Plough Corp. ............... 3,270
25 Warner Lambert Co. .................. 2,063
--------
31,107
--------
Multi-Industry (0.0%):
10 Huttig Building Products, Inc. (b)... 52
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Raw Materials (1.7%):
34 Alcoa, Inc. ......................... $ 2,815
35 Cabot Corp. ......................... 717
3 CK Witco Corp. ...................... 35
32 Cytec Industries, Inc. (b)........... 739
27 Du Pont (EI) de Nemours & Co. ....... 1,781
39 Ferro Corp. ......................... 863
41 Lyondell Chemical Co. ............... 518
36 Monsanto Co. ........................ 1,286
62 RPM, Inc. ........................... 634
34 Sigma-Aldrich Corp. ................. 1,020
--------
10,408
--------
Retail (2.6%):
18 Anntaylor Stores Corp. (b)........... 629
24 Applebee's International............. 719
47 CVS Corp. ........................... 1,884
30 Kohl's Corp. (b)..................... 2,175
43 TJX Co., Inc. ....................... 874
43 Tricon Global Restaurants, Inc.
(b)................................ 1,680
92 Wal-Mart Stores, Inc. ............... 6,331
41 Williams Sonoma, Inc. (b)............ 1,902
--------
16,194
--------
Shelter (1.2%):
39 Georgia Pacific Corp. ............... 2,004
61 Kimberly Clark Corp. ................ 4,010
31 Pentair, Inc. ....................... 1,190
--------
7,204
--------
Technology (14.0%):
19 ADC Telecommunications, Inc. (b)..... 1,386
23 Applied Materials, Inc. (b).......... 2,877
25 BMC Software, Inc. (b)............... 2,018
99 Cisco Systems, Inc. (b).............. 10,595
10 Comverse Technology, Inc. (b)........ 1,394
22 Cordant Technology, Inc. ............ 728
88 Dell Computer Corp. (b).............. 4,512
51 EMC Corp. (b)........................ 5,584
22 Hewlett Packard Co. ................. 2,520
89 Intel Corp. ......................... 7,321
32 International Business Machines
Corp. ............................. 3,481
83 Lucent Technologies, Inc. ........... 6,181
46 Maxim Integrated Products, Inc.
(b)................................ 2,160
128 Microsoft Corp. (b).................. 14,965
51 Nortel Networks Corp. ............... 5,193
13 Oracle Corp. (b)..................... 1,468
20 Rational Software Corp. (b).......... 973
25 SCI Systems, Inc. (b)................ 2,073
18 Solectron Corp. (b).................. 1,688
</TABLE>
Continued
36
<PAGE> 39
- --------------------------------------------------------------------------------
One Group Mutual Funds
Balanced Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
52 Sun Microsystems, Inc. (b)........... $ 4,027
25 Symantec Corp. (b)................... 1,436
23 Symbol Technologies, Inc. ........... 1,475
41 Xilinx, Inc. (b)..................... 1,868
--------
85,923
--------
Transportation (0.4%):
20 Kansas City Southern Industries...... 1,518
18 United Parcel Service, Inc. -- Class
B.................................. 1,214
--------
2,732
--------
Utilities (5.0%):
40 AT&T Corp. .......................... 2,042
61 Centurytel, Inc. .................... 2,881
3 CMS Energy Corp. .................... 83
39 Constellation Energy Group, Inc. .... 1,117
32 El Paso Energy Corp. ................ 1,247
39 Energy East Corp. ................... 807
2 Florida Power & Light, Inc. ......... 95
27 General Public Utilities Corp. ...... 822
38 L G & E Energy Corp. ................ 670
117 MCI Worldcom, Inc. (b)............... 6,193
22 New Century Energies, Inc. .......... 665
28 Pinnacle West Capital Corp. ......... 856
30 Qwest Communications International
(b)................................ 1,293
128 SBC Communications, Inc. ............ 6,237
70 Sprint Corp. ........................ 4,717
40 Williams Cos., Inc. ................. 1,208
--------
30,933
--------
Total Common Stocks 326,860
--------
WARRANTS (0.0%):
Business Equipment & Service (0.0%):
0 Morrison Knudson Corp. (c)........... 0
--------
Total Warrants 0
--------
CORPORATE BONDS (7.2%):
Capital Goods (0.5%):
$ 1,000 Cummins Engine Co., Inc., 6.45%,
3/1/05............................. 938
2,000 Tyco International Group SA, 6.25%,
6/15/03............................ 1,897
--------
2,835
--------
Consumer Durable (0.0%):
250 Ford Motor Co., 9.00%, 9/15/01....... 258
--------
Consumer Non-Durable (0.1%):
500 Campbell Soup Co., 5.63%, 9/15/03.... 482
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Consumer Services (0.7%):
$ 505 Hertz Corp., 7.00%, 5/1/02........... $ 503
1,627 Hertz Corp., 6.00%, 1/15/03.......... 1,571
2,400 Rental Car Finance, 6.45%, 8/25/05... 2,330
--------
4,404
--------
Energy (0.3%):
1,250 Occidental Petroleum, Corp., 9.25%,
8/1/19............................. 1,394
500 Union Pacific Co., 7.60%, 5/1/05..... 501
--------
1,895
--------
Financial Services (3.3%):
1,000 Associates Corp., Series G, 8.27%,
11/8/01............................ 1,024
1,000 Associates Corp., Series G, 8.58%,
11/23/04........................... 1,050
1,000 BankAmerica Corp., 8.13%, 2/1/02..... 1,022
500 Capital One Bank, 6.88%, 4/24/00..... 501
500 Chrysler Financial Corp., 5.88%,
2/7/01............................. 496
2,725 Circuit City Credit Card Master
Trust, 6.38%, 8/15/05.............. 2,725
1,350 Contimortgage Home Equity Loan Trust,
Series 1998-1, Class A6, 6.58%,
12/15/18........................... 1,318
2,000 First Hawaiian, Inc., 6.25%,
8/15/00............................ 1,993
610 Ford Credit Auto Loan Master Trust,
5.50%, 2/15/03..................... 602
500 Ford Motor Credit Corp., 8.38%,
1/15/00............................ 500
250 General Motors Acceptance Corp.,
7.00%, 3/1/00...................... 250
1,250 General Motors Acceptance Corp.,
8.25%, 2/24/04..................... 1,295
2,000 Goldman Sachs Group, Inc., 7.20%,
3/1/07............................. 1,922
750 Huntington National Bank, 6.75%,
6/15/03............................ 744
1,000 International Lease Finance Corp.,
5.88%, 1/15/01..................... 991
1,000 KeyCorp, 7.00%, 5/11/05.............. 1,001
500 Lehman Brothers, Inc., 9.88%,
10/15/00........................... 511
307 McDonnell Douglas Corp., 6.45%,
12/5/02............................ 301
250 Nationsbank Texas, 6.75%, 8/15/00.... 250
1,000 Society National Bank, 6.75%,
6/15/03............................ 985
500 Suntrust Banks, 7.38%, 7/1/02........ 503
--------
19,984
--------
</TABLE>
Continued
37
<PAGE> 40
- --------------------------------------------------------------------------------
One Group Mutual Funds
Balanced Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Health Care (0.0%):
$ 250 Johnson & Johnson, 7.38%, 6/29/02.... $ 253
--------
Raw Materials (0.0%):
200 Du Pont (EI) de Nemours & Co., 8.70%,
2/7/01............................. 204
--------
Retail (0.6%):
1,000 Dayton Hudson Corp., 7.25%, 9/1/04... 1,009
2,093 JC Penney Co., 7.25%, 4/1/02......... 2,053
750 Sears Roebuck Acceptance, 7.13%,
5/2/03............................. 740
--------
3,802
--------
Technology (0.1%):
750 Lockhead Corp., 7.63%, 6/15/04....... 740
--------
Utilities (1.6%):
750 AT&T Corp., 7.50%, 6/1/06............ 764
2,400 Columbia Gas System, 6.80%,
11/28/05........................... 2,320
250 Duke Power Co., 7.00%, 7/1/00........ 251
2,500 Hydro Quebec, 6.52%, 2/23/06......... 2,375
3,500 Tennessee Valley Authority, 5.00%,
12/18/03........................... 3,286
500 Virginia Electric & Power, 6.63%,
4/1/03............................. 492
--------
9,488
--------
Total Corporate Bonds 44,345
--------
U.S. GOVERNMENT AGENCY (1.3%):
Federal Home Loan Bank (1.3%):
1,000 5.88%, 11/25/08...................... 908
8,000 5.61%, 2/11/09....................... 7,221
--------
Total U.S. Government Agency 8,129
--------
U.S. GOVERNMENT AGENCY MORTGAGES (17.7%):
Fannie Mae (8.9%):
2,918 7.24%, 10/1/03, Pool #73712.......... 2,916
1,000 5.41%, 11/5/03....................... 952
5,000 5.88%, 2/2/06........................ 4,736
181 6.65%, 3/25/06....................... 180
2,752 7.00%, 4/25/06....................... 2,744
2,168 7.13%, 7/1/06, Pool #381781.......... 2,151
471 7.00%, 9/1/07, Pool #185265.......... 469
1,291 6.53%, 12/1/07, Pool #375568......... 1,232
402 7.00%, 5/25/08, Pool #1991-134....... 401
1,195 7.50%, 8/1/09, Pool #292020.......... 1,206
578 6.50%, 5/1/11, Pool #337195.......... 564
1,305 6.50%, 4/1/13, Pool #414513.......... 1,270
623 7.00%, 6/1/13, Pool #427488.......... 617
2,000 6.50%, 6/25/13....................... 1,959
2,333 6.00%, 1/1/14, Pool #440777.......... 2,218
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
$ 1,637 5.75%, 11/25/17...................... $ 1,628
826 6.25%, 3/25/18....................... 823
1,314 8.50%, 11/1/18, Pool #313280......... 1,358
836 7.50%, 3/17/19, Pool #G97-5A......... 840
588 8.50%, 1/25/20....................... 599
293 9.50%, 4/25/20....................... 307
254 7.00%, 7/25/20....................... 254
2,090 7.00%, 8/18/20....................... 2,090
991 8.50%, 9/25/20....................... 1,017
774 6.50%, 10/25/20...................... 768
273 8.00%, 7/25/21....................... 277
500 6.85%, 8/25/21, Pool #1993-17........ 488
874 6.50%, 1/18/22....................... 866
1,836 7.00%, 2/18/22....................... 1,835
1,067 7.50%, 7/25/22....................... 1,055
500 7.50%, 10/25/22...................... 496
1,863 8.00%, 11/1/22, Pool #124555......... 1,881
921 6.65%, 12/18/22...................... 915
2,101 7.13%, 5/18/23....................... 2,103
1,411 9.50%, 9/20/23....................... 1,453
477 7.25%, 7/18/24....................... 477
644 9.00%, 8/1/24, Pool #250114.......... 672
1,043 9.50%, 11/18/24...................... 1,084
1,108 9.00%, 5/18/25....................... 1,142
561 7.00%, 7/1/25, Pool #317252.......... 546
610 6.50%, 2/1/26, Pool #337115.......... 579
683 7.00%, 3/1/26, Pool #365488.......... 667
950 8.00%, 3/18/26....................... 961
512 7.00%, 5/1/26, Pool #346269.......... 497
424 7.50%, 5/1/26, Pool #344916.......... 420
300 6.00%, 6/25/26....................... 260
357 7.50%, 11/1/26, Pool #363626......... 353
931 6.50%, 2/1/28, Pool #417157.......... 881
1,945 6.00%, 8/1/28, Pool #436125.......... 1,782
--------
54,989
--------
Federal National Conventional Loan (0.2%):
881 6.79%, 11/1/07, Pool #313832......... 860
160 8.00%, 6/1/24, Pool #250085.......... 161
313 8.00%, 6/1/24, Pool #270402.......... 315
--------
1,336
--------
Freddie Mac (4.2%):
25 10.00%, 9/1/03, Pool #E30407......... 25
375 6.25%, 1/15/06....................... 374
22 9.00%, 5/1/06, Pool #B0-0282......... 23
168 8.00%, 3/1/08, Pool #E45796.......... 171
165 9.00%, 8/1/09, Pool #279063.......... 172
</TABLE>
Continued
38
<PAGE> 41
- --------------------------------------------------------------------------------
One Group Mutual Funds
Balanced Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
$ 482 7.00%, 1/1/12, Pool #E66116.......... $ 478
1,142 6.50%, 3/1/13, Pool #E69466.......... 1,113
821 6.50%, 6/1/13, Pool #E00552.......... 799
747 7.00%, 6/1/13, Pool #E00554.......... 740
2,410 6.00%, 4/1/14, Pool #E76469.......... 2,295
999 6.50%, 10/15/18...................... 998
800 6.50%, 9/25/19....................... 797
134 10.50%, 10/1/20, Pool #D24679........ 144
514 7.50%, 2/15/21....................... 516
176 9.00%, 4/20/21....................... 176
568 7.30%, 11/15/21, Pool #1355 K........ 569
341 7.00%, 7/17/22....................... 341
1,486 6.50%, 11/15/22, Pool #1152.......... 1,403
2,000 7.15%, 1/15/23, Pool #1517-I......... 1,920
500 6.50%, 5/25/23....................... 477
1,276 7.00%, 8/15/24, Pool #1883J.......... 1,275
489 9.50%, 9/15/24....................... 502
224 8.00%, 4/1/25, Pool #C00401.......... 226
741 8.00%, 5/1/25, Pool #C80313.......... 747
184 8.00%, 5/1/25, Pool #D60455.......... 186
605 6.50%, 2/1/26, Pool #D68124.......... 574
504 6.50%, 2/1/26, Pool #D68616.......... 478
272 7.00%, 2/1/26, Pool #D69343.......... 264
442 7.00%, 3/1/26, Pool #D69430.......... 429
450 7.50%, 5/1/26, Pool #C00460.......... 446
250 8.50%, 7/1/26, Pool #C00472.......... 257
876 7.00%, 10/1/26, Pool #D75494......... 850
474 7.50%, 8/1/27, Pool #C00542.......... 470
234 6.00%, 10/15/27...................... 211
1,000 6.00%, 1/15/28....................... 906
1,128 8.50%, 7/1/28, Gold Pool #G00981..... 1,159
1,968 6.00%, 8/1/28, Pool #C13638.......... 1,805
1,592 8.00%, 11/15/28...................... 1,659
--------
25,975
--------
Government National Mortgage Assoc. (4.4%):
354 6.50%, 12/16/06...................... 353
208 7.50%, 8/15/07, Pool #329613......... 212
340 6.50%, 7/15/08, Pool #349693......... 334
1,708 7.00%, 7/15/08, Pool #348872......... 1,708
244 7.00%, 7/15/08, Pool #326444......... 244
43 6.50%, 3/15/09, Pool #367398......... 42
931 6.50%, 5/15/09, Pool #366779......... 912
475 5.50%, 4/20/11, Pool #2222........... 443
5 13.50%, 5/15/11, Pool #047241........ 5
1,866 6.50%, 10/1/13, Pool #468228......... 1,813
13 12.00%, 3/15/14, Pool #109220........ 15
8 13.50%, 9/15/14, Pool #119582........ 9
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Government National Mortgage Assoc., continued:
$ 63 9.00%, 12/15/16, Pool #203620........ $ 66
53 8.00%, 4/15/17, Pool #192100......... 55
66 10.00%, 7/15/18, Pool #248404........ 71
27 8.00%, 5/15/22, Pool #329176......... 28
1,113 8.50%, 6/15/22, Pool #323423......... 1,151
685 8.50%, 12/15/22, Pool #780708........ 710
67 6.50%, 1/15/24, Pool #376656......... 64
598 7.00%, 4/15/24, Pool #355120......... 582
100 8.00%, 4/15/24, Pool #376038......... 101
332 8.00%, 8/15/24, Pool #394024......... 337
716 7.50%, 6/15/25, Pool #401860......... 710
1,008 7.00%, 8/15/25, Pool #413007......... 978
1,490 8.50%, 9/20/25, Pool #412336......... 1,527
4,510 7.00%, 2/15/26, Pool #426280......... 4,368
884 6.50%, 4/15/26, Pool #416192......... 834
758 6.50%, 4/15/26, Pool #424185......... 716
579 7.00%, 5/15/26, Pool #375344......... 560
389 7.50%, 5/15/26, Pool #375345......... 386
443 7.50%, 5/15/26, Pool #408313......... 439
282 8.00%, 5/15/26, Pool #426783......... 285
169 8.50%, 1/15/27, Pool #432266......... 174
549 8.00%, 9/15/27, Pool #451932......... 555
686 7.50%, 12/15/27, Pool #455358........ 680
889 6.50%, 3/15/28, Pool #430634......... 836
576 7.00%, 4/15/28, Pool #473915......... 558
866 7.50%, 5/15/28, Pool #465069......... 858
825 7.00%, 6/15/28, Pool #477123......... 798
1,024 8.00%, 7/20/28, Pool #2619........... 1,031
1,914 6.00%, 10/20/28, Pool #2657.......... 1,738
--------
27,286
--------
Total U.S. Government Agency Mortgages 109,586
--------
U.S. TREASURY OBLIGATIONS (8.0%):
U.S. Treasury Bills (0.4%):
1,200 1/20/00.............................. 1,197
1,505 2/17/00 (d).......................... 1,496
--------
2,693
--------
U.S. Treasury Bonds (5.8%):
2,000 11.63%, 11/15/02..................... 2,273
27,000 10.38%, 11/15/12..................... 32,813
--------
35,086
--------
U.S. Treasury Notes (1.4%):
1,150 6.25%, 2/15/03....................... 1,147
6,000 12.75%, 11/15/10..................... 7,757
--------
8,904
--------
</TABLE>
Continued
39
<PAGE> 42
- --------------------------------------------------------------------------------
One Group Mutual Funds
Balanced Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS, CONTINUED:
U.S. Treasury STRIPS (0.4%):
$ 7,000 0.00%, 2/15/15....................... $ 2,499
--------
Total U.S. Treasury Obligations 49,182
--------
INVESTMENT COMPANIES (3.3%):
20,687 One Group Prime Money Market Fund,
Class I............................ 20,687
--------
Total Investment Companies 20,687
--------
SHORT-TERM SECURITIES HELD AS COLLATERAL (8.1%):
Investment Companies (1.4%):
7,212 Aim Liquid Asset Money Market Fund... 7,212
1,442 One Group Prime Money Market Fund,
Class I............................ 1,442
--------
8,654
--------
Master Notes (0.6%):
$ 1,683 Bear Stearns, 4.77%, 1/3/00*......... 1,683
721 Lehman Brothers, 4.88%, 1/3/00*...... 721
721 Merrill Lynch, 4.68%, 1/3/00*........ 721
433 NationsBanc, 4.70%, 1/3/00*.......... 433
--------
3,558
--------
Put Bonds (3.1%):
1,923 Amex Centurion, 5.08%, 2/18/00*...... 1,923
625 Branch Banking & Trust, 5.11%,
5/25/00*........................... 625
1,442 Caterpillar Financial, 5.17%,
5/1/01*............................ 1,442
1,202 Chase Manhattan, 5.23%, 5/6/02*...... 1,202
1,106 Evangelical Lutheran, 5.64%,
4/28/00*........................... 1,104
1,202 Fleet National Bank, 5.04%,
4/18/00*........................... 1,202
1,202 GMAC, 5.19%, 5/3/01*................. 1,202
353 Goldman Sachs, 5.25%, 11/21/00*...... 353
481 J.P. Morgan & Co., 5.07%, 5/4/00*.... 481
1,202 J.P. Morgan & Co., 5.19%, 5/4/01*.... 1,202
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Put Bonds, continued:
$ 1,202 Lehman Brothers, 6.64%, 7/20/00*..... $ 1,202
481 Liberty Lighthouse, 5.12%, 5/5/00*... 481
1,202 Merrill Lynch, 5.28%, 5/6/02*........ 1,202
2,164 Morgan Stanley, 5.25%, 1/21/00*...... 2,164
553 Salomon Smith Barney, 5.01%,
2/5/01*............................ 553
1,202 Sigma Finance, Inc., 5.11%,
3/31/00*........................... 1,202
1,442 SPARCC, 6.05%, 3/24/00*.............. 1,442
--------
18,982
--------
Repurchase Agreements (3.0%):
3,606 HSBC, 4.62%, 1/3/00,
(Collateralized by $4,904 various
Government Securities,
0.00% - 13.38%, 1/20/00 - 3/7/12,
market value $3,678)............... 3,606
4,808 HSBC, 4.67%, 1/3/00,
(Collateralized by $15,047 various
Government Securities,
0.00% - 10.63%, 1/28/00 - 4/15/29,
market value $4,904)............... 4,808
4,603 Lehman Brothers, 4.65%, 1/3/00,
(Collateralized by $4,834 various
Commercial Paper, 0.00%, 1/10/00 -
5/23/00, market value $4,834)...... 4,603
5,770 Lehman Brothers, 4.85%, 1/3/00,
(Collateralized by 136 various
Equity Securities, market value
$6,075)............................ 5,770
--------
18,787
--------
Total Short-Term Securities Held as Collateral 49,981
--------
Total (Cost $592,672) (a) $663,726
========
</TABLE>
- ------------
Percentages indicated are based on net assets of $617,745.
(a) Represents cost for financial reporting purposes and differs from value by
net unrealized of securities as follows (amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 91,546
Unrealized depreciation...................... (20,492)
--------
Net unrealized appreciation.................. $ 71,054
========
</TABLE>
(b) Non-income producing securities.
(c) Amount is less than 1,000.
(d) Portion of the securities serves as collateral for Future 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 December 31,
1999.
See notes to financial statements.
40
<PAGE> 43
- --------------------------------------------------------------------------------
One Group Mutual Funds
Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMERCIAL PAPER (0.3%):
Financial Services (0.3%):
$ 5,000 Moat Funding, 6.55%, 1/14/00........ $ 4,991
5,000 Moat Funding, 6.15%, 2/25/00........ 4,958
----------
Total Commercial Paper 9,949
----------
COMMON STOCKS (98.3%):
Business Equipment & Services (3.9%):
55 Allied Waste Industries, Inc. ...... 488
643 America Online, Inc. (b)............ 48,485
179 Automatic Data Processing, Inc. .... 9,668
41 Ceridian Corp. (b).................. 894
46 Computer Sciences Corp. (b)......... 4,365
23 Deluxe Corp. ....................... 620
50 Dun & Bradstreet Corp. ............. 1,469
34 Ecolab, Inc. ....................... 1,332
143 Electronic Data System Corp. ....... 9,552
44 Equifax, Inc. ...................... 1,029
125 First Data Corp. ................... 6,175
28 H & R Block, Inc. .................. 1,234
51 Ikon Office Solutions, Inc. ........ 349
76 Interpublic Group of Companies,
Inc. ............................. 4,407
7 National Service Industries,
Inc. ............................. 197
99 Office Depot, Inc. (b).............. 1,085
49 Omnicom Group, Inc. ................ 4,870
72 Paychex, Inc. ...................... 2,898
78 Pitney Bowes, Inc. ................. 3,766
39 R.R. Donnelley & Sons Co. .......... 979
13 Ryder Systems, Inc. ................ 325
80 Service Corporation International... 558
132 Staples, Inc. (b)................... 2,734
170 Waste Management, Inc. ............. 2,929
69 Yahoo, Inc. (b)..................... 29,726
----------
140,134
----------
Capital Goods (5.8%):
27 Black & Decker Corp. ............... 1,431
103 Caterpillar, Inc. .................. 4,855
27 Cooper Industries, Inc. ............ 1,108
23 Crane Corp. ........................ 461
12 Cummins Engine, Inc. ............... 590
67 Deere & Co. ........................ 2,921
65 Dover Corp. ........................ 2,950
128 Emerson Electric Co. ............... 7,344
22 Fluor Corp. ........................ 1,032
10 Foster Wheeler Corp. ............... 87
949 General Electric Co. ............... 146,877
27 Grainger W.W., Inc. ................ 1,305
73 Illinois Tool Works................. 4,923
46 Ingersoll Rand Co. ................. 2,531
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Capital Goods, continued:
25 Johnson Controls, Inc. ............. $ 1,439
6 Milacron, Inc. ..................... 97
43 Molex, Inc. ........................ 2,442
2 Nacco Industries, Inc. ............. 90
19 Navistar International Corp. (b).... 910
13 Owens-Corning Fiberglas Corp. ...... 250
26 Paccar, Inc. ....................... 1,150
33 Parker-Hannifin Corp. .............. 1,700
50 PPG Industries, Inc. ............... 3,154
47 Sherwin-Williams Co. ............... 988
14 Snap-On, Inc. ...................... 368
26 Stanley Works....................... 777
46 Thermo Electron Corp. (b)........... 687
10 Timken Co. ......................... 198
474 Tyco International, Ltd. ........... 18,407
----------
211,072
----------
Consumer Durable (1.3%):
45 Autozone, Inc. (b).................. 1,445
4 Briggs & Stratton Corp. ............ 196
22 Cooper Tire & Rubber Co. ........... 342
51 Dana Corp. ......................... 1,516
37 Danaher Corp. ...................... 1,771
164 Delphi Automotive Systems Corp. .... 2,581
21 Eaton Corp. ........................ 1,560
351 Ford Motor Co. ..................... 18,764
190 General Motors Corp. ............... 13,795
51 Genuine Parts Co. .................. 1,270
45 Goodyear Tire & Rubber Co. ......... 1,281
26 ITT Industries, Inc. ............... 855
26 Maytag Corp. ....................... 1,248
10 Tenneco Automotive, Inc. ........... 92
24 Whirlpool Corp. .................... 1,538
----------
48,254
----------
Consumer Non-Durable (6.8%):
16 Alberto Culver Co., Class B......... 420
20 American Greetings Corp., Class A... 463
138 Anheuser Busch Co. ................. 9,775
183 Archer-Daniels-Midland Co. ......... 2,236
77 Avon Products, Inc. ................ 2,549
11 Ball Corp. ......................... 426
12 Bemis Co. .......................... 436
84 Bestfoods........................... 4,436
18 Brown-Forman Corp., Class B......... 1,023
129 Campbell Soup Co. .................. 5,006
64 Clorox Co. ......................... 3,220
715 Coca-Cola Co. ...................... 41,652
</TABLE>
Continued
41
<PAGE> 44
- --------------------------------------------------------------------------------
One Group Mutual Funds
Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Consumer Non-Durable, continued:
118 Coca-Cola Enterprises............... $ 2,373
171 Colgate Palmolive Co. .............. 11,113
144 ConAgra, Inc. ...................... 3,239
8 Coors Adolph Co., Class B........... 409
36 Crown Cork & Seal Co. .............. 798
95 Eastman Kodak Co. .................. 6,307
62 Fort James Corp. ................... 1,695
50 Fortune Brands, Inc. ............... 1,656
92 General Mills, Inc. ................ 3,303
319 Gillette Co. ....................... 13,145
107 H.J. Heinz Co. ..................... 4,267
42 Hershey Foods Corp. ................ 1,982
30 International Flavors & Fragrances,
Inc. ............................. 1,145
10 Jostens, Inc. ...................... 241
120 Kellogg Co. ........................ 3,697
12 Liz Claiborne, Inc. ................ 449
93 Nabisco Group Holdings Corp. ....... 983
81 Newell Rubbermaid, Inc. ............ 2,336
82 Nike, Inc., Class B................. 4,043
50 Pactiv Corp. (b).................... 530
426 PepsiCo, Inc. ...................... 15,011
700 Philip Morris Co., Inc. ............ 16,221
10 Polaroid Corp. ..................... 194
385 Procter & Gamble Co. ............... 42,204
39 Quaker Oats Co. .................... 2,541
95 Ralston-Ralston Purina Group........ 2,647
9 Reebok International Ltd. (b)....... 74
20 Russell Corp. ...................... 332
262 Sara Lee Corp. ..................... 5,782
124 Seagram Co., Ltd. .................. 5,581
3 Springs Industries, Inc., Class A... 137
35 Supervalu, Inc. .................... 695
95 Sysco Corp. ........................ 3,760
14 Tupperware Corp. ................... 229
164 Unilever N.V. ...................... 8,953
56 UST, Inc. .......................... 1,398
35 V.F. Corp. ......................... 1,040
34 Wrigley (Wm.) Junior Co. ........... 2,789
----------
244,941
----------
Consumer Services (4.1%):
27 Brunswick Corp. .................... 593
173 Carnival Corp., Class A............. 8,272
226 CBS Corp. (b)....................... 14,435
222 Cendant Corp. (b)................... 5,904
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Consumer Services, continued:
96 Clear Channel Communications (b).... $ 8,596
218 Comcast Corp., Class A.............. 11,040
28 Dow Jones & Co., Inc. .............. 1,899
82 Gannett Co., Inc. .................. 6,711
21 Harcourt General, Inc. ............. 827
37 Harrah's Entertainment, Inc. (b).... 977
53 Hasbro, Inc. ....................... 1,016
77 Hilton Hotels Corp. ................ 743
23 Knight-Ridder, Inc. ................ 1,348
73 Marriott International, Class A..... 2,317
121 Mattel, Inc. ....................... 1,586
56 McGraw-Hill Co., Inc. .............. 3,449
175 Media One Group, Inc. (b)........... 13,450
12 Meredith Corp. ..................... 489
58 Mirage Resorts, Inc. (b)............ 883
50 New York Times Co., Class A......... 2,439
374 Time Warner, Inc. .................. 27,083
21 Times Mirror Co., Class A........... 1,394
69 Tribune Co. ........................ 3,794
200 Viacom, Inc., Class B (b)........... 12,103
598 Walt Disney Co. .................... 17,503
----------
148,851
----------
Energy (5.4%):
25 Amerada Hess Corp. ................. 1,435
35 Anadarko Petroleum Corp. ........... 1,203
32 Apache Corp. ....................... 1,199
21 Ashland, Inc. ...................... 706
95 Atlantic Richfield Co. ............. 8,245
91 Baker Hughes, Inc. ................. 1,910
51 Burlington Resources, Inc. ......... 1,700
190 Chevron Corp. ...................... 16,476
181 Conoco, Inc., Class B............... 4,512
1,004 Exxon Mobil Corp. .................. 80,873
129 Halliburton Co. .................... 5,193
10 Helmerich & Payne, Inc. ............ 227
25 Kerr McGee Corp. ................... 1,558
17 McDermott International, Inc. ...... 155
102 Occidental Petroleum Corp. ......... 2,214
73 Phillips Petroleum Co. ............. 3,439
14 Rowan Cos., Inc. (b)................ 294
621 Royal Dutch Petroleum Co. .......... 37,552
159 Schlumberger Ltd. .................. 8,920
26 Sunoco, Inc. ....................... 617
159 Texaco, Inc. ....................... 8,619
</TABLE>
Continued
42
<PAGE> 45
- --------------------------------------------------------------------------------
One Group Mutual Funds
Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Energy, continued:
42 Tosco Corp. ........................ $ 1,142
31 Transocean Offshore Sedco Forex,
Inc. ............................. 1,034
73 Union Pacific Resources Group,
Inc. ............................. 932
70 Unocal Corp. ....................... 2,357
89 USX-Marathon Group, Inc. ........... 2,189
----------
194,701
----------
Financial Services (13.1%):
77 AFLAC, Inc. ........................ 3,610
238 Allstate Corp. ..................... 5,721
132 American Express Co. ............... 21,936
74 American General Corp. ............. 5,650
449 American International Group,
Inc. ............................. 48,552
114 AmSouth BanCorp. ................... 2,196
76 Aon Corp. .......................... 3,044
209 Associates First Capital Corp.,
Class A........................... 5,739
506 Bank of America Corp. .............. 25,388
220 Bank of New York Co., Inc. ......... 8,783
339 Bank One Corp. ..................... 10,877
91 BB&T Corp. ......................... 2,496
37 Bear Stearns Co., Inc. ............. 1,586
59 Capital One Financial Corp. ........ 2,829
236 Charles Schwab Corp. ............... 9,049
246 Chase Manhattan Corp. .............. 19,115
49 Chubb Corp. ........................ 2,750
60 Cigna Corp. ........................ 4,858
49 Cincinnati Financial Corp. ......... 1,538
980 Citigroup, Inc. .................... 54,456
47 Comerica, Inc. ..................... 2,212
92 Conseco, Inc. ...................... 1,643
32 Countrywide Credit Industries,
Inc. ............................. 795
297 Fannie Mae.......................... 18,567
79 Fifth Third Bancorp. ............... 5,775
284 First Union Corp. .................. 9,319
282 Firstar Corp. ...................... 5,951
266 Fleetboston Financial Corp. ........ 9,274
74 Franklin Resources, Inc. ........... 2,358
198 Freddie Mac......................... 9,330
50 Golden West Financial Corp. ........ 1,688
68 Hartford Financial Services Group... 3,225
140 Household International, Inc. ...... 5,228
67 Huntington Bancshares............... 1,591
51 J.P. Morgan & Co., Inc. ............ 6,443
29 Jefferson Pilot Corp. .............. 1,991
129 Key Corp. .......................... 2,846
34 Lehman Brothers Holding, Inc. ...... 2,903
60 Lincoln National Corp. ............. 2,409
34 Loews Corp. ........................ 2,034
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Financial Services, continued:
76 Marsh & McLennan Co. ............... $ 7,238
29 MBIA, Inc. ......................... 1,555
233 MBNA Corp. ......................... 6,338
156 Mellon Financial Corp. ............. 5,316
107 Merrill Lynch & Co. ................ 8,911
33 MGIC Investment Corp. .............. 1,963
167 Morgan Stanley Dean Witter
Discover.......................... 23,873
182 National City Corp. ................ 4,322
67 Northern Trust Corp. ............... 3,526
31 Old Kent Financial Corp. ........... 1,093
44 Paine Webber Group, Inc. ........... 1,719
88 PNC Bank Corp. ..................... 3,920
21 Progressive Corp. .................. 1,563
41 Providian Financial Corp. .......... 3,698
63 Regions Financial Corp. ............ 1,588
31 Republic New York Corp. ............ 2,260
36 SAFECO Corp. ....................... 901
50 SLM Holding Corp. .................. 2,108
49 Southtrust Corp. ................... 1,834
65 St. Paul Co., Inc. ................. 2,200
47 State Street Corp. ................. 3,470
52 Summit Bancorp. .................... 1,597
93 SunTrust Banks, Inc. ............... 6,422
76 Synovus Financial Corp. ............ 1,514
33 T. Rowe Price Associates............ 1,204
41 Torchmark Corp. .................... 1,193
214 U.S. Bancorp. ...................... 5,091
38 Union Planters Corp. ............... 1,510
69 Unumprovident Corp. ................ 2,219
59 Wachovia Corp. ..................... 4,027
176 Washington Mutual, Inc. ............ 4,567
479 Wells Fargo & Co. .................. 19,382
----------
473,877
----------
Health Care (9.1%):
445 Abbott Laboratories................. 16,150
41 Aetna, Inc. ........................ 2,284
39 Allergan, Inc. ..................... 1,920
26 Alza Corp. (b)...................... 884
383 American Home Products Corp. ....... 15,087
291 Amgen, Inc. (b)..................... 17,471
15 Bard C.R., Inc. .................... 792
16 Bausch & Lomb, Inc. ................ 1,076
85 Baxter International, Inc. ......... 5,314
74 Becton Dickinson & Co. ............. 1,987
33 Biomet, Inc. ....................... 1,311
119 Boston Scientific Corp. (b)......... 2,600
576 Bristol Myers Squibb Co. ........... 36,973
</TABLE>
Continued
43
<PAGE> 46
- --------------------------------------------------------------------------------
One Group Mutual Funds
Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Health Care, continued:
79 Cardinal Health, Inc. .............. $ 3,783
165 Columbia/HCA Healthcare Corp. ...... 4,830
321 Eli Lilly & Co. .................... 21,322
91 Guidant Corp. ...................... 4,261
119 Healthsouth Corp. (b)............... 642
48 Humana, Inc. (b).................... 395
95 IMS Health, Inc. ................... 2,583
392 Johnson & Johnson................... 36,485
21 Mallinckrodt Group, Inc. ........... 655
31 Manor Care, Inc. (b)................ 490
80 McKesson HBOC, Inc. ................ 1,811
339 Medtronic, Inc. .................... 12,353
684 Merck & Co., Inc. .................. 45,903
10 Millipore Corp. .................... 396
1,126 Pfizer, Inc. ....................... 36,530
148 Pharmacia & Upjohn, Inc. ........... 6,656
67 Quintiles Transnational Corp. ...... 1,245
426 Schering Plough Corp. .............. 17,986
5 Shared Medical Systems Corp. ....... 267
24 St. Jude Medical Center, Inc. (b)... 749
91 Tenet Healthcare Corp. (b).......... 2,144
50 United Healthcare Corp. ............ 2,667
0 United States Surgical Corp.
(b)(d)............................ 0
247 Warner Lambert Co. ................. 20,220
28 Watson Pharmaceuticals, Inc. (b).... 988
19 Wellpoint Health Networks, Inc.
(b)............................... 1,279
----------
330,489
----------
Multi-Industry (1.1%):
71 Corning, Inc. ...................... 9,092
9 FMC Corp. (b)....................... 526
229 Honeywell International, Inc. ...... 13,209
5 Huttig Building Products, Inc.
(b)............................... 25
118 Minnesota Mining & Manufacturing
Co. .............................. 11,560
49 Scottish Power PLC-ADR.............. 1,384
44 Textron, Inc. ...................... 3,354
38 TRW, Inc. .......................... 1,976
----------
41,126
----------
Raw Materials (2.2%):
71 Air Products & Chemical, Inc. ...... 2,389
64 Alcan Aluminum Ltd. ................ 2,627
106 Alcoa, Inc. ........................ 8,820
27 Allegheny Technologies, Inc. ....... 596
33 Avery Dennison Corp. ............... 2,399
22 B. F. Goodrich Co. ................. 602
107 Barrick Gold Corp. ................. 1,891
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Raw Materials, continued:
22 Bethlehem Steel Corp. (b)........... $ 182
64 Dow Chemical Co. ................... 8,517
302 Du Pont (EI) de Nemours & Co. ...... 19,870
23 Eastman Chemical Co. ............... 1,081
44 Engelhard Corp. .................... 832
47 Freeport-McMoran Copper & Gold,
Inc., Class B (b)................. 1,002
20 Great Lakes Chemical Corp. ......... 776
29 Hercules, Inc. ..................... 815
99 Homestake Mining Co. ............... 774
56 Inco Ltd. (b)....................... 1,311
184 Monsanto Co. ....................... 6,561
49 Newmont Mining Corp. ............... 1,190
24 Nucor Corp. ........................ 1,330
40 Pall Corp. ......................... 866
25 Phelps Dodge Corp. ................. 1,671
73 Placer Dome, Inc. .................. 780
46 Praxair, Inc. ...................... 2,308
19 Reynolds Metals Co. ................ 1,483
62 Rohm & Haas Co. .................... 2,509
29 Sigma-Aldrich Corp. ................ 880
40 Union Carbide Corp. ................ 2,689
32 USX-U.S. Steel Group, Inc. ......... 1,072
28 Vulcan Materials Co. ............... 1,126
12 W.R. Grace & Co. (b)................ 165
22 Worthington Industries, Inc. ....... 367
----------
79,481
----------
Retail (6.9%):
123 Albertsons, Inc. ................... 3,957
34 Bed Bath & Beyond, Inc. (b)......... 1,164
59 Best Buy, Inc. (b).................. 2,976
59 Circuit City Stores, Inc. .......... 2,668
18 Consolidated Stores Co. (b)......... 286
63 Costco Wholesale Corp. (b).......... 5,752
116 CVS Corp. .......................... 4,630
39 Darden Restaurants, Inc. ........... 701
129 Dayton Hudson Corp. ................ 9,458
31 Dillard Department Stores, Inc.,
Class A........................... 625
68 Dollar General Corp. ............... 1,551
63 Federated Department Stores, Inc.
(b)............................... 3,185
249 Gap, Inc. .......................... 11,465
6 Great Atlantic & Pacific Tea,
Inc. ............................. 172
645 Home Depot, Inc. ................... 44,223
76 J.C. Penney, Inc. .................. 1,516
141 K-Mart, Inc. (b).................... 1,418
47 Kohl's Corp. (b).................... 3,393
</TABLE>
Continued
44
<PAGE> 47
- --------------------------------------------------------------------------------
One Group Mutual Funds
Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Retail, continued:
246 Kroger Co. (b)...................... $ 4,635
62 Limited, Inc. ...................... 2,681
5 Longs Drug Stores, Inc. ............ 142
105 Lowe's Co. ......................... 6,261
97 May Department Stores Co. .......... 3,125
397 McDonald's Corp. ................... 15,992
42 Nordstrom, Inc. .................... 1,108
15 Pep Boys-Manny, Moe & Jack.......... 135
75 Rite Aid Corp. ..................... 839
144 Safeway, Inc. (b)................... 5,125
113 Sears Roebuck & Co. ................ 3,434
58 Tandy Corp. ........................ 2,864
93 TJX Co., Inc. ...................... 1,908
77 Toys R Us, Inc. (b)................. 1,100
45 Tricon Global Restaurants, Inc.
(b)............................... 1,744
1,291 Wal-Mart Stores, Inc. .............. 89,222
293 Walgreen Co. ....................... 8,579
36 Wendy's International, Inc. ........ 739
45 Winn Dixie Stores, Inc. ............ 1,088
----------
249,861
----------
Shelter (1.1%):
12 Armstrong World Industries, Inc. ... 387
16 Boise Cascade Corp. ................ 663
17 Centex Corp. ....................... 424
28 Champion International Co. ......... 1,758
6 Fleetwood Enterprises, Inc. ........ 115
53 Georgia Pacific Corp. .............. 2,701
118 International Paper Co. ............ 6,652
14 Kaufman & Broad Home Corp. ......... 337
154 Kimberly Clark Corp. ............... 10,073
52 Leggett & Platt, Inc. .............. 1,105
31 Louisiana Pacific Corp. ............ 443
128 Masco Corp. ........................ 3,254
29 Mead Corp. ......................... 1,278
43 Owens-Illinois, Inc. (b)............ 1,090
7 Potlatch Corp. ..................... 293
12 Pulte Corp. ........................ 259
25 Sealed Air Corp. (b)................ 1,298
18 Temple Inland, Inc. ................ 1,181
29 Westvaco Corp. ..................... 950
60 Weyerhaeuser Co. ................... 4,324
34 Williamette Industries, Inc. ....... 1,597
----------
40,182
----------
Technology (26.8%):
103 3Com Corp. (b)...................... 4,846
30 Adaptec, Inc. (b)................... 1,471
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
39 ADC Telecommunications, Inc. ....... $ 2,830
38 Adobe Systems, Inc. ................ 2,556
43 Advanced Micro Devices, Inc. (b).... 1,231
50 Analog Devices, Inc. (b)............ 4,669
16 Andrew Corp. (b).................... 300
46 Apple Computer, Inc. (b)............ 4,754
109 Applied Materials, Inc. (b)......... 13,840
17 Auto Desk, Inc. .................... 574
68 BMC Software, Inc. (b).............. 5,468
282 Boeing Co. ......................... 11,739
50 Cabletron Systems, Inc. (b)......... 1,300
942 Cisco Systems, Inc. (b)............. 100,936
26 Citrix System, Inc. (b)............. 3,173
496 Compaq Computer Corp. .............. 13,412
156 Computer Associates International,
Inc. (b).......................... 10,887
103 Compuware Corp. (b)................. 3,848
20 Comverse Technology, Inc. (b)....... 2,895
736 Dell Computer Corp. (b)............. 37,515
293 EMC Corp. (b)....................... 32,023
93 Gateway, Inc. (b)................... 6,734
58 General Dynamics Corp. ............. 3,043
46 General Instrument Corp. (b)........ 3,914
294 Hewlett Packard Co. ................ 33,537
963 Intel Corp. ........................ 79,232
526 International Business Machines
Corp. ............................ 56,837
29 KLA-Tencor Corp. (b)................ 3,187
36 Lexmark International Group, Inc.
(b)............................... 3,276
114 Lockheed Martin Corp. .............. 2,503
42 LSI Logic Corp. (b)................. 2,803
882 Lucent Technologies, Inc. .......... 65,995
73 Micron Technology, Inc. (b)......... 5,655
1,481 Microsoft Corp. (b)................. 172,879
175 Motorola, Inc. ..................... 25,762
49 National Semiconductor Corp. (b).... 2,084
40 Network Appliance, Inc. (b)......... 3,306
381 Nortel Networks Corp. .............. 38,500
20 Northrop Grumman Corp. ............. 1,081
98 Novell, Inc. (b).................... 3,902
417 Oracle Corp. (b).................... 46,772
77 Parametric Technology Corp. (b)..... 2,085
29 PE Corp.-PE Biosystems Group........ 3,474
68 Peoplesoft, Inc. (b)................ 1,447
12 Perkinelmer, Inc. .................. 492
186 Qualcomm, Inc. (b).................. 32,853
95 Raytheon Co., Class B............... 2,523
57 Rockwell International Corp. ....... 2,724
22 Scientific-Atlanta, Inc. ........... 1,205
</TABLE>
Continued
45
<PAGE> 48
- --------------------------------------------------------------------------------
One Group Mutual Funds
Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
64 Seagate Technology, Inc. (b)........ $ 3,002
57 Silicon Graphics, Inc. (b).......... 555
74 Solectron Corp. (b)................. 6,992
445 Sun Microsystems, Inc. (b).......... 34,450
11 Tektronix, Inc. .................... 425
113 Tellabs, Inc. (b)................... 7,222
50 Teradyne, Inc. (b).................. 3,280
227 Texas Instruments, Inc. ............ 22,032
19 Thomas & Betts Corp. ............... 594
73 Unisys Corp. (b).................... 2,333
140 United Technologies Corp. .......... 9,089
192 Xerox Corp. ........................ 4,350
88 Xilinx, Inc. (b).................... 3,979
----------
966,375
----------
Transportation (0.7%):
44 AMR Corp. (b)....................... 2,980
137 Burlington Northern Santa Fe
Corp. ............................ 3,319
64 CSX Corp. .......................... 2,016
43 Delta Air Lines, Inc. .............. 2,156
84 FDX Corp. (b)....................... 3,449
31 Kansas City Southern Industries..... 2,298
111 Norfolk Southern Corp. ............. 2,268
148 Southwest Airlines Co. ............. 2,392
74 Union Pacific Corp. ................ 3,226
26 US Airways Group, Inc. (b).......... 823
----------
24,927
----------
Utilities (10.0%):
53 AES Corp. (b)....................... 3,962
89 Alltel Corp. ....................... 7,326
39 Ameren Corp. ....................... 1,268
57 American Electric Power, Inc. ...... 1,833
923 AT&T Corp. ......................... 46,844
451 Bell Atlantic Corp. ................ 27,772
549 BellSouth Corp. .................... 25,721
45 Carolina Power & Light Co. ......... 1,356
59 Central & South West Corp. ......... 1,186
39 Centurytel, Inc. ................... 1,843
44 Cinergy Corp. ...................... 1,072
34 CMS Energy Corp. ................... 1,060
60 Coastal Corp. ...................... 2,130
21 Columbia Gas System, Inc. .......... 1,318
66 Consolidated Edison, Inc. .......... 2,275
27 Consolidated Natural Gas Co. ....... 1,763
45 Constellation Energy Group, Inc. ... 1,302
42 Detroit Edison Co. ................. 1,324
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Utilities, continued:
59 Dominion Resources, Inc. ........... $ 2,299
107 Duke Power Co., Inc. ............... 5,363
5 Eastern Enterprises................. 296
101 Edison International................ 2,646
66 El Paso Energy Corp. ............... 2,546
205 Enron Corp. ........................ 9,107
75 Entergy Corp. ...................... 1,936
71 First Energy Corp. ................. 1,602
56 Florida Power & Light Group,
Inc. ............................. 2,391
27 Florida Progress Corp. ............. 1,130
37 General Public Utilities Corp. ..... 1,096
223 Global Crossing Ltd. (b)............ 11,150
280 GTE Corp. .......................... 19,735
810 MCI Worldcom, Inc. (b).............. 42,968
33 New Century Energies, Inc. ......... 987
96 Nextel Communications, Inc., Class A
(b)............................... 9,918
62 Niagara Mohawk Holdings, Inc. (b)... 866
10 NICOR, Inc. ........................ 341
42 Northern States Power Co. .......... 821
4 Oneok, Inc. ........................ 109
56 Peco Energy Corp. .................. 1,934
8 Peoples Energy Corp. ............... 278
116 PG&E Corp. ......................... 2,378
24 Pinnacle West Capital Corp. ........ 718
50 PP&L Resources, Inc. ............... 1,143
65 Public Service Enterprise Group..... 2,279
85 Reliant Energy, Inc. ............... 1,950
989 SBC Communications, Inc. ........... 48,226
71 Sempra Energy....................... 1,240
195 Southern Co. ....................... 4,580
251 Sprint Corp. ....................... 16,887
128 Sprint Corp., PCS (b)............... 13,071
80 Texas Utilities Co. ................ 2,854
126 The Williams Companies, Inc. ....... 3,864
63 Unicom Corp. ....................... 2,106
146 US West, Inc. ...................... 10,527
----------
362,697
----------
Total Common Stocks 3,556,968
----------
INVESTMENT COMPANIES (1.1%):
38,787 One Group Prime Money Market Fund,
Class I........................... 38,787
----------
Total Investment Companies 38,787
----------
</TABLE>
Continued
46
<PAGE> 49
- --------------------------------------------------------------------------------
One Group Mutual Funds
Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
WARRANTS (0.0%):
Business Equipment & Services (0.0%):
0 Morrison Knudson (d)................ $ 0
----------
Total Warrants 0
----------
U.S. TREASURY OBLIGATIONS (0.1%):
U.S. Treasury Bills (0.1%):
$ 1,575 1/20/00 (c)......................... 1,571
2,610 2/17/00 (c)......................... 2,594
----------
Total U.S. Treasury Obligations 4,165
----------
SHORT-TERM SECURITIES HELD AS COLLATERAL (6.1%):
Investment Companies (0.9%):
27,679 Aim Liquid Asset Money Market
Fund.............................. 27,679
5,536 One Group Prime Money Market Fund,
Class I........................... 5,536
----------
33,215
----------
Master Notes (0.4%):
$ 6,458 Bear Stearns, 4.77%, 1/3/00*........ 6,458
2,768 Lehman Brothers, 4.88%, 1/3/00*..... 2,768
2,768 Merrill Lynch, 4.68%, 1/3/00*....... 2,768
1,661 NationsBanc, 4.70%, 1/3/00*......... 1,661
----------
13,655
----------
Put Bonds (2.8%):
7,381 Amex Centurion, 5.08%, 2/18/00*..... 7,381
2,399 Branch Banking & Trust, 5.11%,
5/25/00*.......................... 2,397
5,536 Caterpillar Finance, 5.17%,
5/1/01*........................... 5,536
4,613 Chase Manhattan, 5.23%, 5/6/02*..... 4,613
4,244 Evangelical Lutheran, 6.64%,
4/28/00*.......................... 4,237
4,613 Fleet National Bank, 5.04%,
4/18/00*.......................... 4,613
4,613 GMAC, 5.19%, 5/3/01*................ 4,613
11,476 Goldman Sachs, 5.25%, 11/21/00*..... 11,476
4,149 Greenwich Capital, 6.91%, 7/9/01*... 4,149
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Put Bonds, continued:
$14,521 Greenwich Capital, 6.93%,
12/2/02*.......................... $ 14,521
1,845 J.P. Morgan & Co., 5.07%, 5/4/00*... 1,845
4,613 J.P. Morgan & Co., 5.13%, 5/4/01*... 4,613
4,613 Lehman Brothers, 6.64%, 7/20/00*.... 4,613
1,845 Liberty Lighthouse, 5.12%,
5/5/00*........................... 1,845
4,613 Merrill Lynch, 5.28%, 5/6/02*....... 4,613
8,304 Morgan Stanley, 5.25%, 1/21/00*..... 8,304
2,122 Salomon Smith Barney, 5.01%,
2/5/01*........................... 2,122
4,613 Sigma Finance, Inc., 5.11%,
3/31/00*.......................... 4,613
5,536 SPARCC, 6.05%, 3/24/00*............. 5,536
----------
101,640
----------
Repurchase Agreements (2.0%):
18,453 HSBC, 4.67%, 1/3/00, (Collaterized
by $4,590 various Government
Securities, 0.00% - 10.63%,
1/28/00 - 4/15/29, market value
$3,442)........................... 18,453
13,840 HSBC, 4.62%, 1/3/00, (Collaterized
by $14,081 various Government
Securities, 0.00% - 13.38%,
1/20/00 - 3/7/12, market value
$4,590)........................... 13,840
22,143 Lehman Brothers, 4.85%, 1/3/00
(Collateralized by 521 various
Equity Securities, market value
$23,315).......................... 22,143
17,667 Lehman Brothers, 4.65%, 1/3/00,
(Collateralized by $18,551 various
Commercial Paper, 0.00%, 1/10/00 -
5/23/00, market value $18,551).... 17,667
----------
72,103
----------
Total Short-Term Securities Held as Collateral 220,613
----------
Total (Cost $2,173,387) (a) $3,830,482
==========
</TABLE>
- ------------
Percentages indicated are based on net assets of $3,615,387.
(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...................... $1,744,288
Unrealized depreciation...................... (87,193)
----------
Net unrealized appreciation.................. $1,657,095
==========
</TABLE>
(b) Non-income producing securities.
(c) Serves as collateral for Futures Contracts.
(d) Amount is less than 1,000.
* 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 December 31, 1999.
See notes to financial statements.
47
<PAGE> 50
- --------------------------------------------------------------------------------
One Group Mutual Funds
Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS (100.5%):
Building Products (0.4%):
1 Apogee Enterprises, Inc. ............. $ 3
1 Insituform Technologies (b)........... 17
0 TJ International, Inc. (c)............ 17
1 Universal Forest Products............. 7
1 USG Corp. ............................ 52
1 Watsco, Inc. ......................... 7
-------
103
-------
Business Equipment & Services (4.2%):
1 A.C. Nielson Corp. (b)................ 32
1 ABM Industries, Inc. ................. 10
1 Advo, Inc. (b)........................ 12
1 Brady (W. H.) Co. .................... 17
0 Butler Manufacturing Co. (c).......... 4
0 Castle (A.M.) & Co. (c)............... 4
0 Catalina Marketing Corp. (b)(c)....... 23
0 Chemed Corp. (c)...................... 6
4 Comdisco, Inc. ....................... 129
1 Dycom Industries, Inc. (b)............ 22
0 G & K Services, Inc. (c).............. 14
1 Ha-Lo Industries, Inc. (b)............ 8
1 HON Industries, Inc. ................. 31
1 Information Resources, Inc. (b)....... 6
1 Inter-Tel, Inc. ...................... 15
2 Interim Services, Inc. (b)............ 41
1 John H. Harland Co. .................. 13
1 Kelly Services, Inc. ................. 20
0 Lawson Products, Inc. (c)............. 5
2 Manpower, Inc. ....................... 67
2 Miller (Herman), Inc. ................ 44
3 Modis Professional Services (b)....... 36
1 Morrison Knudsen Corp. (b)............ 9
0 New England Business Services (c)..... 7
2 Nova Corp. (Georgia) (b).............. 51
1 Ogden Corp. .......................... 13
2 Olsten Corp. ......................... 19
1 Omnova Solutions, Inc. ............... 8
1 Pittston Co. ......................... 22
1 Prepaid Legal Services, Inc. (b)...... 12
1 Primark Corp. (b)..................... 14
0 Republic Group, Inc. (c).............. 5
2 Robert Half International, Inc. (b)... 60
1 Rollins, Inc. ........................ 11
3 RPM Ohio, Inc. ....................... 25
0 Service Experts, Inc. (b) (c)......... 2
2 Snyder Communications, Inc. (b)....... 29
1 Sotheby's Holdings.................... 39
1 Standard Pacific Corp. ............... 7
</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. ................ $ 12
0 Tetra Technologies, Inc. (b)(c)....... 2
0 Thor Industries, Inc. (c)............. 9
1 True North Communications, Inc. ...... 45
2 Viad Corp. ........................... 63
1 Volt Information Sciences, Inc. (b)... 14
1 Wallace Computer Services, Inc. ...... 17
-------
1,054
-------
Capital Goods (4.0%):
1 AAR Corp. ............................ 11
1 Agco Corp. ........................... 19
1 Albany International Corp. (b)........ 11
0 Alliant Techsystems, Inc. (b)(c)...... 6
0 American Management Systems, Inc.
(b)(c).............................. 13
5 American Power Conversion (b)......... 123
1 Ametek, Inc. ......................... 13
0 Applied Industrial Technologies, Inc.
(c)................................. 8
1 Applied Power, Inc. .................. 33
1 Arctic Cat, Inc. ..................... 6
0 Astec Industries, Inc. (b)(c)......... 8
1 Belden, Inc. ......................... 13
1 Carlisle Companies, Inc. ............. 25
0 Chemfirst, Inc. (c)................... 9
0 Circor International, Inc. (b)(c)..... 3
3 CK Witco Corp. ....................... 37
0 Esterline Technologies Corp. (b)(c)... 5
2 Ethyl Corp. .......................... 7
1 Federal Signal Corp. ................. 16
1 Ferro Corp. .......................... 18
0 Flow International Corp. (b)(c)....... 3
0 Gardner Denver Machinery, Inc.
(b)(c).............................. 7
1 Global Industrial Technologies, Inc.
(b)................................. 6
1 Graco, Inc. .......................... 18
1 Hanna (M.A) Co. ...................... 12
1 Harsco Corp. ......................... 32
1 Helix Technology Corp. ............... 22
1 Hubbell, Inc. ........................ 40
1 Imation Corp. (b)..................... 30
1 Jacobs Engineering Group, Inc. (b).... 20
1 JLG Industries, Inc. ................. 16
0 Kaman Corp. (c)....................... 6
1 Kennametal, Inc. ..................... 24
1 Kulicke & Soffa Industries (b)........ 21
0 Lason, Inc. (b)(c).................... 4
1 Lilly Industries, Inc. ............... 7
0 Lindsay Manufacturing Co. (c)......... 5
</TABLE>
Continued
48
<PAGE> 51
- --------------------------------------------------------------------------------
One Group Mutual Funds
Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Capital Goods, continued:
1 Magnetek, Inc. (b).................... $ 5
1 Manitowoc Co., Inc. .................. 18
1 Mark IV Industries, Inc. ............. 21
0 Myers Industries, Inc. (c)............ 7
1 NFO Worldwide, Inc. (b)............... 11
0 Nordson Corp. (c)..................... 19
1 Orbital Sciences Corp. (b)............ 15
1 Precision Castparts Corp. ............ 16
0 Quaker Chemical Corp. (c)............. 3
0 Robbins & Myers, Inc. (c)............. 5
1 Roper Industries, Inc. ............... 26
0 Scott Technologies, Inc. (b)(c)....... 8
0 Sequa Corp. (b)(c).................... 13
1 Southdown, Inc. ...................... 48
0 Speedfam-Ipec, Inc. (b)(c)............ 5
1 Stewart & Stevenson Services.......... 7
0 Stone & Webster, Inc. (c)............. 5
1 Tecumseh Products Co. ................ 24
0 Thomas Industries, Inc. (c)........... 8
1 Trinity Industries, Inc. ............. 27
1 Wellman, Inc. ........................ 13
1 York International Corp. ............. 25
-------
986
-------
Consumer Durable (3.6%):
1 Arvin Industries, Inc. ............... 17
1 Ashworth, Inc. (b).................... 3
1 Bandag, Inc. ......................... 13
0 Bassett Furniture Industries, Inc.
(c)................................. 5
1 Borg-Warner Automotive, Inc. ......... 24
2 Callaway Golf Co. .................... 30
0 Cross (A.T.) Co. (b)(c)............... 2
2 Federal Mogul Corp. .................. 42
1 Galey & Lord, Inc. (b)................ 1
1 Griffon Corp. (b)..................... 5
0 Guilford Mills (c).................... 3
3 Harley-Davidson, Inc. ................ 186
0 Harman International (c).............. 22
0 Huffy Corp. (c)....................... 1
0 Ionics, Inc. (b)(c)................... 11
1 Justin Industries, Inc. .............. 9
1 Kellwood Co. ......................... 10
1 Kroll-O'Gara Co. (The) (b)............ 8
2 Lear Corp. (b)........................ 64
1 Longview Fibre Co. ................... 17
1 Mohawk Industries, Inc. (b)........... 37
0 Nashua Corp. (b)(c)................... 1
0 National Presto Industries, Inc.
(c)................................. 7
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Consumer Durable, continued:
1 Nautica Enterprises, Inc. (b)......... $ 9
0 Oshkosh 'B' Gosh, Inc. (c)............ 8
0 Oxford Industries, Inc. (c)........... 4
1 Paxar Corp. (b)....................... 9
2 Perrigo Co. (b)....................... 13
0 Pillowtex Corp. (c)................... 2
0 Polaris Industries, Inc. (c).......... 7
2 Reader's Digest Association, Inc. .... 71
1 Regal Beloit.......................... 10
1 Smith (A.O.) Corp. ................... 11
2 Sonoco Products Co. .................. 54
0 SPS Technologies, Inc. (b)(c)......... 10
1 SPX Corp. (b)......................... 57
0 Standex International Corp. (c)....... 6
1 Sturm Ruger & Co., Inc. .............. 5
1 Superior Industries International..... 16
0 Swiss Army Brands, Inc. (b)(c)........ 2
0 Timberland Co. (b)(c)................. 11
0 Toro Co. (c).......................... 9
1 Unifi, Inc. (b)....................... 16
1 Valmont Industries.................... 10
1 Wabash National Corp. ................ 8
1 Westpoint Stevens, Inc. .............. 23
0 Wynns International, Inc. (c)......... 6
-------
895
-------
Consumer Non-Durable (3.4%):
2 Chiquita Brands....................... 7
1 Clarcor, Inc. ........................ 11
0 Coca-Cola Bottling (c)................ 9
1 Corn Products International, Inc. .... 26
1 Dean Foods Co. ....................... 39
0 Delta & Pine Land Co. (c)............. 7
2 Dial Corp. ........................... 58
1 Dimon, Inc. .......................... 3
1 Dole Food Co., Inc. .................. 23
1 Dreyer's Grand Ice Cream, Inc. ....... 10
0 Earthgrains Co. (c)................... 6
1 Fleming Co. .......................... 8
2 Flowers Industries, Inc. ............. 36
0 Frozen Food Express Industries, Inc.
(c)................................. 2
0 Gibson Greetings, Inc. (b)(c)......... 3
2 Hormel Foods Corp. ................... 69
2 IBP, Inc. ............................ 38
0 Intermagnetics General Corp. (b)(c)... 3
0 International Multifoods Corp. (c).... 6
2 Interstate Bakeries Corp. ............ 44
0 J & J Snack Foods Corp. (b)(c)........ 4
</TABLE>
Continued
49
<PAGE> 52
- --------------------------------------------------------------------------------
One Group Mutual Funds
Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Consumer Non-Durable, continued:
0 K Swiss, Inc. (c)..................... $ 4
1 La-Z-Boy Chair Co. ................... 8
1 Lancaster Colony Corp. ............... 31
1 Lance, Inc. .......................... 8
2 McCormick & Co., Inc. ................ 51
1 Michael Foods, Inc. .................. 12
0 Natures Sunshine Products, Inc. (c)... 3
0 NCH Corp. (c)......................... 4
1 Papa John's International (b)......... 18
1 Ralcorp Holdings, Inc. (b)............ 14
0 Royal Appliance Manufacturing Co.
(b)(c).............................. 2
1 Shorewood Packaging (b)............... 11
0 Smithfield Foods, Inc. (b)(c)......... 10
1 Smucker (J. M.) Co. .................. 14
1 Suiza Foods Corp. (b)................. 32
5 Tyson Foods, Inc. .................... 88
2 U.S. Foodservice (b).................. 37
1 Universal Corp. ...................... 18
1 Universal Foods Corp. ................ 24
1 Vlasic Foods International, Inc.
(b)................................. 6
1 Warnaco Group, Inc. .................. 17
1 Whole Foods Market, Inc. (b).......... 28
-------
852
-------
Consumer Services (6.3%):
0 Anchor Gaming (b)(c).................. 13
0 Angelica Corp. (c).................... 2
2 Apollo Group, Inc. (b)................ 36
1 AptarGroup, Inc. ..................... 20
1 Aztar Corp. (b)....................... 10
1 Banta Corp. .......................... 16
2 Barnes & Noble, Inc. (b).............. 33
3 Belo (A.H.) Corp., Series A........... 53
1 Blyth Industries (b).................. 34
1 Bowne & Co., Inc. .................... 11
0 Carmike Cinemas, Inc. (b)(c).......... 2
1 Central Parking Corp. ................ 13
1 Chris-Craft Industries, Inc. (b)...... 59
3 Cintas Corp. ......................... 143
0 Circle.Com (b)(c)..................... 5
0 Coachmen Industries, Inc. (c)......... 6
0 Consolidated Graphics, Inc. (b)(c).... 4
0 Cox Communications, Inc. (b)(c)....... 0
0 CPI Corp. (c)......................... 5
0 Cyrk, Inc. (b)(c)..................... 4
1 DeVry, Inc. (b)....................... 13
1 Energen Corp. ........................ 13
1 Family Golf Centers, Inc. (b)......... 1
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Consumer Services, continued:
1 Franklin Covey Co. (b)................ $ 4
0 General Cinema Cos., Inc. (b)(c)...... 5
1 Gtech Holdings Corp. (b).............. 20
2 Harte Hanks Communication............. 46
2 Hispanic Broadcasting Corp. (b)....... 138
1 Hollywood Park, Inc. (b).............. 13
1 Houghton Mifflin Co. ................. 30
1 Hughes Supply, Inc. .................. 13
0 Imco Recycling, Inc. (c).............. 5
1 Insight Enterprises, Inc. (b)......... 24
2 International Game Technologies....... 49
1 Jan Bell Marketing, Inc. (b).......... 2
0 K2, Inc. (c).......................... 3
1 Lee Enterprises, Inc. ................ 32
2 Mandalay Resort Group (b)............. 43
1 Marcus Corp. ......................... 9
1 Media General, Inc. .................. 31
0 Microage, Inc. (b)(c)................. 1
0 Nash Finch Co. (c).................... 1
1 Players International, Inc. (b)....... 6
1 Prime Hospitality Corp. (b)........... 10
1 Reliance Steel & Aluminum Co. ........ 14
0 Rural/Metro Corp. (b)(c).............. 1
1 Ryerson Tull, Inc. ................... 12
0 Scholastic Corp. (b)(c)............... 25
3 Stewart Enterprises Corp. ............ 12
2 Sylvan Learning Systems, Inc. (b)..... 20
0 Thomas Nelson, Inc. (c)............... 3
3 Univision Communications, Inc. (b).... 276
1 Valassis Communications, Inc. (b)..... 25
0 Washington Post Co. (c)............... 131
1 Westwood One, Inc. (b)................ 68
-------
1,568
-------
Energy (5.2%):
2 Alliant Energy Corp. ................. 50
1 Atmos Energy Corp. ................... 14
0 Barrett Resources Corp. (b)(c)........ 9
1 Benton Oil & Gas Coic Co. (b)......... 1
2 BJ Services Co. (b)................... 67
1 Cabot Oil & Gas Corp. ................ 10
1 Cross Timbers Oil Co. ................ 10
1 Devon Energy Corp. ................... 23
3 ENSCO International, Inc. ............ 73
1 Flowserve Corp. ...................... 15
0 Friede Goldman Halter, Inc. (b)(c).... 2
4 Global Marine, Inc. (b)............... 67
1 HS Resources, Inc. (b)................ 9
</TABLE>
Continued
50
<PAGE> 53
- --------------------------------------------------------------------------------
One Group Mutual Funds
Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Energy, continued:
1 Input/Output, Inc. (b)................ $ 6
2 Kinder Morgan, Inc. .................. 31
1 Midamerican Energy Holdings........... 47
1 Murphy Oil Corp. ..................... 57
3 Nabors Industries, Inc. (b)........... 87
1 Newfield Exploration Co. (b).......... 24
1 Noble Affiliates, Inc. ............... 30
3 Noble Drilling Corp. (b).............. 96
3 Ocean Energy, Inc. (New) (b).......... 26
2 Pennzoil-Quaker State Co. ............ 18
1 Piedmont Natural Gas Co., Inc. ....... 21
2 Pioneer Natural Resources Co. (b)..... 21
0 Plains Resources, Inc. (b)(c)......... 5
1 Pogo Producing Co. ................... 18
1 Pride International, Inc. (b)......... 18
0 Remington Oil & Gas Corp. (b)(c)...... 2
4 Santa Fe Snyder Corp. (b)............. 29
0 Seacor Smit, Inc. (b)(c).............. 16
1 Smith International, Inc. (b)......... 55
0 Southern Energy Homes, Inc. (b)(c).... 1
0 Southern Union Co. (b)(c)............. 6
0 St. Mary Land & Exploration (c)....... 5
0 Stone Energy Corp. (b)(c)............. 11
1 Tidewater, Inc. ...................... 47
1 Tuboscope Vetco International Corp.
(b)................................. 16
2 Ultramar Diamond Shamrock Corp. ...... 45
1 Valero Energy Corp. .................. 26
2 Varco International, Inc. (b)......... 15
1 Vicor Corp. (b)....................... 36
1 Vintage Pete, Inc. ................... 14
1 Watts Industries, Inc. ............... 9
0 WD-40 Co. (c)......................... 9
2 Weatherford International (b)......... 92
-------
1,289
-------
Financial Services (11.5%):
2 A.G. Edwards, Inc. ................... 71
0 Ace Ltd. (c).......................... 8
1 Allmerica Financial Corp. ............ 67
2 AMBAC Financial Group, Inc. .......... 82
1 American Financial Group, Inc. ....... 37
1 Americredit Corp. (b)................. 26
1 Amresco, Inc. (b)..................... 1
0 Anchor Bancorp Wisconsin, Inc. (c).... 6
1 Associated Banc-Corp. ................ 49
1 Astoria Financial Corp. .............. 40
1 Banknorth Group, Inc. ................ 13
1 Billing Information Concepts (b)...... 6
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Financial Services, continued:
0 BISYS Group, Inc. (b)(c).............. $ 20
1 Carolina First Corp. ................. 9
1 CCB Financial Corp. .................. 39
0 Centura Banks, Inc. (c)............... 13
5 Charter One Financial, Inc. .......... 92
0 Commerce Bancorp, Inc. (c)............ 9
1 Commercial Federal Corp. ............. 11
2 Compass Bancshares Inc. .............. 51
5 Concord Efs, Inc. (b)................. 117
0 Culen Frost Bankers, Inc. (c)......... 12
0 Dain Rauscher Corp. (c)............... 14
1 Delphi Financial Group (b)............ 16
3 Dime Bancorp, Inc. ................... 39
1 Downey Financial Corp. ............... 12
5 E*Trade Group, Inc. (b)............... 124
1 Eaton Vance Corp. .................... 30
1 Enhance Financial Services Group...... 13
1 Everest Reinsurance Holdings, Inc. ... 27
1 Fidelity National Financial, Inc. .... 9
1 Finova Group, Inc. ................... 50
1 First American Financial Corp. ....... 17
1 First Bancorp/Puerto Rico............. 15
0 First Midwest Bancorp, Inc. (c)....... 11
4 First Security Corp. ................. 112
3 First Tennessee National Corp. ....... 85
1 First Virginia Banks, Inc. ........... 52
1 Firstmerit Corp. ..................... 21
1 Fremont General Corp. ................ 5
1 Frontier Insurance Group, Inc. ....... 3
0 Gallagher (Arthur J.) & Co. (c)....... 26
2 Greenpoint Financial Corp. ........... 59
4 Hibernia Corp. ....................... 38
0 Hilb, Rogal & Hamilton Co. (c)........ 8
1 Horace Mann Educators................. 20
1 HSB Group, Inc. ...................... 25
0 Hudson United Bancorp (c)............. 11
0 Insurance Auto Auctions, Inc.
(b)(c).............................. 3
1 Investment Technology Group........... 14
1 Jefferies Group, Inc. ................ 11
0 JSB Financial, Inc. (c)............... 10
1 Keystone Financial, Inc. ............. 24
1 Legg Mason, Inc. ..................... 22
1 MAF Bancorp, Inc. .................... 13
3 Marshall & Ilsley Corp. .............. 156
2 Mercantile Bankshares Corp. .......... 51
0 Mutual Risk Management Ltd. (c)....... 7
1 National City Corp. .................. 36
3 North Fork Bancorp, Inc. ............. 58
</TABLE>
Continued
51
<PAGE> 54
- --------------------------------------------------------------------------------
One Group Mutual Funds
Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Financial Services, continued:
3 Old Republic International Corp. ..... $ 42
2 Pacific Century Financial Corp. ...... 34
1 Pioneer Group, Inc. (b)............... 9
1 PMI Group, Inc. ...................... 51
1 Premier Bancshares, Inc. ............. 8
2 Protective Life Corp. ................ 48
1 Provident Bankshares Corp. ........... 11
1 Provident Financial Group............. 36
1 Queens County Bancorp, Inc. .......... 14
1 Radian Group, Inc. ................... 24
1 Raymond James Financial, Inc. ........ 21
2 Reliastar Financial Corp. ............ 76
1 Riggs National Corp. Washington
D.C. ............................... 9
1 Selective Insurance Group............. 10
1 Silicon Valley Bankshares (b)......... 25
4 Sovereign Bancorp, Inc. .............. 27
1 Susquehanna Bancshares, Inc. ......... 13
2 TCF Financial Corp. .................. 50
0 Trenwick Group, Inc. (c).............. 5
1 Trustco Bank Corp. New York........... 16
0 U.S. Trust Corp. (c).................. 16
0 United Bankshares, Inc. (c)........... 10
2 Unitrin, Inc. ........................ 62
0 UST Corp. (c)......................... 13
1 Westamerica Bancorporation............ 34
1 Whitney Holding Corp. ................ 19
1 Wilmington Trust Corp. ............... 39
2 Zions Bancorp 114
-------
2,862
-------
Health Care (11.1%):
1 Acuson Corp. (b)...................... 8
0 ADAC Laboratories (b)(c).............. 4
1 Advanced Tissue Sciences, Inc. (b).... 2
1 Alliance Pharmaceutical Corp. (b)..... 5
1 Alpharma, Inc. ....................... 18
1 Apria Healthcare Group (b)............ 22
1 Barr Laboratories, Inc. (b)........... 16
1 Beckman Coulter, Inc. ................ 36
3 Bergen Brunswig Corp. ................ 24
2 Beverly Enterprises, Inc. (b)......... 10
1 Bindley Western Industries, Inc. ..... 10
1 Bio-Technology General Corp. (b)...... 15
3 Biogen, Inc. (b)...................... 261
1 Biomatrix, Inc. (b)................... 10
1 Carter Wallace, Inc. ................. 22
1 Cephalon, Inc. (b).................... 21
4 Chiron Corp. (b)...................... 178
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Health Care, continued:
0 Cooper Cos., Inc. (c)................. $ 9
1 COR Therapeutics, Inc. (b)............ 13
1 Covance, Inc. (b)..................... 14
1 Coventry Health Care, Inc. (b)........ 9
0 Curative Health Services, Inc.
(b)(c).............................. 2
1 Cygnus, Inc. (b)...................... 9
0 Datascope Corp. (b)(c)................ 14
1 Dendrite International, Inc. (b)...... 25
1 Dentsply International, Inc. ......... 28
0 Diagnostic Products Corp. (c)......... 7
1 Dura Pharmaceuticals, Inc. (b)........ 15
1 Enzo Biochem, Inc. (b)................ 23
0 Express Scripts, Inc. (b)(c).......... 26
1 First Health Group Corp. (b).......... 38
2 Forest Laboratories (b)............... 115
3 Foundation Health Systems (b)......... 28
1 Genesis Health (b).................... 2
2 Genzyme Corp. (b)..................... 85
1 Gilead Sciences, Inc. (b)............. 49
6 Health Management Association, Inc.
(b)................................. 77
2 Hillenbrand Industries, Inc. ......... 48
0 Hologic, Inc. (b)(c).................. 2
2 ICN Pharmaceuticals, Inc. ............ 44
0 IDEC Pharmaceuticals Corp. (b)(c)..... 39
1 IDEXX Laboratories, Inc. (b).......... 15
1 Immune Response Corp. (b)............. 2
1 Incyte Pharmaceuticals, Inc. (b)...... 36
1 Invacare Corp. ....................... 14
3 Ivax Corp. (b)........................ 67
0 Jones Pharma, Inc. (c)................ 20
1 Lincare Holdings, Inc. (b)............ 49
1 Liposome, Inc. (b).................... 10
1 Magellan Health Services, Inc. (b).... 4
1 MedImmune, Inc. (b)................... 196
0 Medquist, Inc. (b)(c)................. 8
1 Mentor Corp. ......................... 13
3 Mylan Laboratories.................... 68
1 NBTY, Inc. (b)........................ 14
0 NCS HealthCare, Inc. (b)(c)........... 1
1 North American Vaccine, Inc. (b)...... 3
1 Noven Pharmaceuticals, Inc. (b)....... 9
2 Omnicare, Inc. ....................... 24
1 Organogenesis, Inc. (b)............... 5
1 Orthodontic Centers of America, Inc.
(b)................................. 13
1 Owens & Minor, Inc. Holding Co. ...... 6
2 Oxford Health Plans (b)............... 23
1 PacifiCare Health Systems, Inc. (b)... 69
1 Parexel International Corp. (b)....... 7
</TABLE>
Continued
52
<PAGE> 55
- --------------------------------------------------------------------------------
One Group Mutual Funds
Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Health Care, continued:
0 Patterson Dental Co. (b)(c)........... $ 13
0 Pediatrix Medical Group, Inc.
(b)(c).............................. 2
1 Pharmaceutical Product Development
(b)................................. 6
0 Priority Healthcare Corp. (b)(c)...... 14
0 Protein Design Labs, Inc. (b)(c)...... 28
2 PSS World Medical, Inc. (b)........... 15
2 Quorum Health Group, Inc. (b)......... 15
1 Regeneron Pharmaceutical (b).......... 9
1 Renal Care Group, Inc. (b)............ 23
1 Respironics, Inc. (b)................. 6
1 Safeskin Corp. (b).................... 16
1 Sepracor, Inc. (b).................... 74
1 Shire Pharmaceutical (b).............. 21
1 Sierra Health Services (b)............ 4
1 Sola International, Inc. (b).......... 7
0 Spacelabs Medical, Inc. (b)(c)........ 4
2 Steris Corp. (b)...................... 18
2 Stryker Corp. ........................ 153
1 Summit Technology, Inc. (b)........... 8
1 Sunrise Medical, Inc. (b)............. 3
2 Sybron International Corp. (b)........ 59
0 Syncor International Corp. (b)(c)..... 9
2 Total Renal Care Holdings (b)......... 13
1 Trigon Healthcare, Inc. (b)........... 30
0 Universal Health Services, Inc.
(b)(c).............................. 11
1 US Oncology, Inc. (b)................. 3
1 Varian Medical Systems, Inc. (b)...... 24
1 Vertex Pharmaceuticals, Inc. (b)...... 21
2 VISX, Inc. (b)........................ 83
0 Vital Signs, Inc. (c)................. 7
1 Zenith National Insurance............. 10
-------
2,768
-------
Multi-Industry (0.2%):
0 Canandaigua Brands, Inc. (b)(c)....... 20
2 Whitman Corp. ........................ 31
-------
51
-------
Oil & Gas Explor Prod & Ser (0.3%):
2 Transocean Sedco Forex, Inc. ......... 77
-------
Raw Materials (3.6%):
1 A. Schulman, Inc. .................... 11
2 Airgas, Inc. (b)...................... 15
1 AK Steel Holding Corp. ............... 26
1 Albemarle Corp. ...................... 21
1 Amcol International Corp. ............ 10
1 Barnes Group, Inc. ................... 8
1 Birmingham Steel Corp. ............... 4
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Raw Materials, continued:
1 Black Hills Corp. .................... $ 11
0 Brush Wellman, Inc. (c)............... 7
1 Buckeye Technologies, Inc. (b)........ 12
1 Burlington Industries, Inc. (b)....... 5
2 Cabot Corp. .......................... 31
1 Cambrex Corp. ........................ 21
1 Caraustar Industries, Inc. ........... 14
1 Church & Dwight, Inc. ................ 21
0 Cleveland Cliffs, Inc. (c)............ 9
1 Coeur D'Alene Mines Corp. (b)......... 2
0 Commercial Metals Co. (c)............. 10
0 Commonwealth Industries, Inc. (c)..... 5
1 Cone Mills Corp. (b).................. 3
1 Cytec Industries, Inc. (b)............ 23
1 Delta Woodside Industries, Inc. ...... 1
1 Dexter Corp. ......................... 20
0 Dixie Group, Inc. (b)(c).............. 1
1 Donaldson C., Inc. ................... 26
0 Fuller (H. B.) Co. (c)................ 17
1 Geon Co. ............................. 16
1 Georgia Gulf Corp. ................... 22
1 Glatfelter (P. H.) Co. ............... 13
1 Hecla Mining Co. (b).................. 2
3 IMC Global, Inc. ..................... 43
1 Interface, Inc. ...................... 7
1 Intermet Corp. ....................... 6
1 Kaydon Corp. ......................... 19
1 Lubrizol Corp. ....................... 40
3 Lyondell Petrochemical Co. ........... 42
0 Macdermid, Inc. (c)................... 8
1 Mascotech, Inc. ...................... 13
1 Material Sciences Corp. (b)........... 7
0 Maxxam, Inc. (b)(c)................... 6
1 McWhorter Technologies, Inc. (b)...... 11
1 Minerals Technologies, Inc. .......... 20
1 Mississippi Chemical Corp. ........... 4
1 Mueller Industries, Inc. (b).......... 29
1 Olin Corp. ........................... 26
1 OM Group, Inc. ....................... 17
1 Oregon Steel Mills, Inc. ............. 5
0 Penford Corp. (c)..................... 3
0 Pope & Talbot, Inc. (c)............... 5
0 Quanex Corp. (c)...................... 8
1 RTI International Metals, Inc. (b).... 4
0 Schweitzer-Mauduit International, Inc.
(c)................................. 4
0 Scotts Co. (The) (b)(c)............... 16
3 Solutia, Inc. ........................ 42
0 Steel Technologies, Inc. (c).......... 3
</TABLE>
Continued
53
<PAGE> 56
- --------------------------------------------------------------------------------
One Group Mutual Funds
Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Raw Materials, continued:
1 Stillwater Mining Co. (b)............. $ 24
1 Texas Industries, Inc. ............... 21
1 Tower Automotive, Inc. (b)............ 8
1 Tredegar Industries, Inc. ............ 17
1 Triarc Co., Inc. (b).................. 13
0 USA Detergents, Inc. (b)(c)........... 1
1 Wausau-Mosinee Paper Corp. ........... 14
0 Wheeling Pittsburgh Steel Co.
(b)(c).............................. 4
0 Wolverine Tube, Inc. (b)(c)........... 4
1 Wolverine World Wide, Inc. ........... 11
-------
892
-------
Retail (6.6%):
3 Abercrombie & Fitch Co. (b)........... 67
1 AnnTaylor Stores Corp. (b)............ 21
1 Applebee's International, Inc. ....... 21
0 Aviation Sales Co. (b)(c)............. 5
0 Baker (J.), Inc. (c).................. 2
2 BJ's Wholesale Club, Inc. (b)......... 62
1 Bob Evans Farms, Inc. ................ 15
1 Bombay Co., Inc. (The) (b)............ 4
0 Books-A-Million, Inc. (b)(c).......... 3
2 Borders Group, Inc. (b)............... 29
2 Brinker International, Inc. (b)....... 36
0 Brown Shoe Company, Inc. (c).......... 6
1 Buffets, Inc. (b)..................... 10
0 Building Material Holding Co.
(b)(c).............................. 3
1 Casey's General Stores................ 13
1 Cash America International............ 5
1 Cato Corp. ........................... 8
1 CBRL Group, Inc. ..................... 13
1 CEC Entertainment, Inc. (b)........... 17
1 Cheesecake Factory (The), Inc. (b).... 18
1 CKE Restaurants, Inc. ................ 6
1 Claire's Stores, Inc. ................ 27
2 CompUSA, Inc. (b)..................... 11
1 Consolidated Products, Inc. (b)....... 7
0 Damark International, Inc. (b)(c)..... 2
0 Discount Auto Parts, Inc. (b)(c)...... 7
1 Dollar Tree Stores, Inc. (b).......... 68
1 Dress Barn, Inc. (b).................. 8
0 Enesco Group, Inc. (c)................ 4
4 Family Dollar Stores, Inc. ........... 63
1 Fastenal Co. ......................... 40
0 Footstar, Inc. (b)(c)................. 6
1 Goody's Family Clothing, Inc. (b)..... 4
0 Gottschalks, Inc. (b)(c).............. 2
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Retail, continued:
1 Gymboree Corp. (b).................... $ 3
0 Haggar Corp. (c)...................... 2
0 Hancock Fabrics, Inc. (c)............. 1
1 Hannaford Brothers Co. ............... 69
1 Hartmarx Corp. (b).................... 3
1 Heilig-Meyers Co. .................... 4
1 IHOP Corp. (b)........................ 8
1 Jack In the Box, Inc. (b)............. 19
0 Jo-Ann Stores, Inc. (b)(c)............ 5
3 Jones Apparel Group, Inc. (b)......... 74
1 Just For Feet (b)(d).................. 1
1 Landry's Seafood Restaurants (b)...... 6
1 Lands End, Inc. (b)................... 24
0 Lillian Vernon Corp. (c).............. 2
0 Linens 'N Things, Inc. (b)(c)......... 12
1 Lone Star Steakhouse & Saloon (b)..... 7
1 Luby's, Inc. ......................... 6
1 Men's Wearhouse, Inc. (b)............. 24
1 Michael's Stores, Inc. (b)............ 20
1 Micro Warehouse, Inc. (b)............. 15
0 O'Reilly Automotive, Inc. (b)(c)...... 9
1 Oceaneering International, Inc. (b)... 7
3 OfficeMax, Inc. (b)................... 16
2 Outback Steakhouse, Inc. (b).......... 44
1 Pacific Sunwear Of California (b)..... 24
1 Panera Bread Co. (b).................. 5
1 Payless Shoesource, Inc. (b).......... 38
1 Phillips-Van Heusen................... 5
2 Pier 1 Imports, Inc. ................. 14
1 Regis Corp. .......................... 16
3 RJ Reynolds Tobacco................... 55
2 Ross Stores, Inc. .................... 39
1 Ruby Tuesday, Inc. ................... 13
1 Ruddick Corp. ........................ 17
1 Russ Berrie & Co, Inc. ............... 13
1 Ryan's Family Steakhouses, Inc. (b)... 8
3 Saks, Inc. (b)........................ 45
1 Shopko Stores, Inc. (b)............... 14
0 Sonic Corp. (b)(c).................... 11
1 Sports Authority, Inc. (b)............ 1
4 Starbucks Corp. (b)................... 101
1 Stein Mart, Inc. (b).................. 6
1 Stride Rite Corp. .................... 7
0 Taco Cabana, Inc. (b)(c).............. 2
1 TCBY Enterprises, Inc. ............... 5
2 Tiffany & Co. ........................ 169
</TABLE>
Continued
54
<PAGE> 57
- --------------------------------------------------------------------------------
One Group Mutual Funds
Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Retail, continued:
1 Williams Sonoma, Inc. (b)............. $ 23
0 Zale Corp. (b)(c)..................... 19
-------
1,644
-------
Shelter (2.6%):
2 American Standard Co. (b)............. 75
1 Bowater, Inc. ........................ 65
1 Champion Enterprises, Inc. (b)........ 9
1 Chesapeake Corp. ..................... 15
3 Clayton Homes, Inc. .................. 31
2 Consolidated Papers, Inc. ............ 67
1 D.R. Horton, Inc. .................... 19
0 Ethan Allen Interiors, Inc. (c)....... 13
1 Fedders Corp. ........................ 4
0 Florida Rock Industries, Inc. (c)..... 14
1 Furniture Brands International, Inc.
(b)................................. 26
2 Georgia Pacific Timber Corp. ......... 49
6 Hilton Hotels Corp. .................. 58
0 Libbey, Inc. (c)...................... 12
0 MDC Holdings, Inc. (c)................ 6
1 Modine Manufacturing Co. ............. 18
1 Oakwood Homes Corp. .................. 3
1 Pentair, Inc. ........................ 35
1 Rayonier, Inc. ....................... 29
0 Ryland Group, Inc. (c)................ 7
3 Shaw Industry, Inc. .................. 49
0 Skyline Corp. (c)..................... 5
1 Toll Brothers, Inc. (b)............... 15
0 U.S. Home Corp. (b)(c)................ 8
1 Winnebago Industries, Inc. ........... 10
-------
642
-------
Technology (28.2%):
1 Acxiom Corp. (b)...................... 19
0 Adaptive Broadband Corp. (b)(c)....... 22
1 Affiliated Computer Services, Inc.
(b)................................. 64
1 Allen Telecom, Inc. (b)............... 7
4 Altera Corp. (b)...................... 188
0 Amcast Industrial Corp. (c)........... 3
0 Analog Corp. (c)...................... 10
1 Analysts International Corp. ......... 6
1 Anixter International, Inc. (b)....... 19
1 Applied Magnetics Corp. (b)........... 0
2 Arrow Electronics, Inc. (b)........... 55
1 Aspect Communications Corp. (b)....... 47
1 Aspen Technology, Inc. (b)............ 13
5 ATMEL Corp. (b)....................... 136
1 Auspex Systems, Inc. ................. 6
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
1 Avid Technology, Inc. (b)............. $ 7
1 Avnet, Inc. .......................... 68
1 BE Aerospace, Inc. (b)................ 4
0 Benchmark Electronics, Inc. (b)(c).... 7
1 BMC Industries, Inc. ................. 3
1 Breed Technologies, Inc. (b)(e)....... 0
1 Brightpoint, Inc. (b)................. 14
3 Broadwing, Inc. (b)................... 114
1 Burr Brown Corp. (b).................. 43
0 C Cube Microsystems, Inc. (b)(c)...... 25
0 C&D Technologies, Inc. (c)............ 13
0 C-Cor Electronics (b)(c).............. 15
1 Cable Design Technologies Corp. (b)... 14
6 Cadence Design Systems, Inc. (b)...... 135
1 Cambridge Technology Partners, Inc.
(b)................................. 34
1 Carpenter Technology Corp. ........... 14
0 CDI Corp. (b)(c)...................... 10
0 Centigram Communications Corp.
(b)(c).............................. 2
1 Cerner Corp. (b)...................... 14
1 Checkpoint Systems, Inc. (b).......... 6
1 Ciber, Inc. (b)....................... 33
1 Cirrus Logic, Inc. (b)................ 19
1 Cleco Corp. .......................... 16
0 Cognex Corp. (b)(c)................... 16
1 Coherent, Inc. (b).................... 13
1 Commscope, Inc. (b)................... 20
1 Communications Satellite Corp. ....... 24
0 Computer Task Group, Inc. (c)......... 6
4 Converg's Corp. (b)................... 108
1 Cordant Technology, Inc. ............. 26
1 CTS Corp. (c)......................... 45
2 Cypress Semiconductor (b)............. 65
0 Dallas Semiconductor Corp. (c)........ 19
2 Diebold, Inc. ........................ 40
0 Digi International, Inc. (b)(c)....... 3
1 Digital Microwave Corp. (b)........... 33
1 Dionex Corp. (b)...................... 21
2 DST Systems, Inc. (b)................. 145
0 Electro Scientific Industries, Inc.
(b)(c).............................. 22
0 Electroglas, Inc. (b)(c).............. 10
2 Electronic Arts, Inc. (b)............. 151
1 Epicor Software Corp. (b)............. 5
1 Etec Systems, Inc. (b)................ 22
1 Exabyte Corp. (b)..................... 4
0 Factset Research Systems, Inc. (c).... 24
0 Fair Issac & Co., Inc. (c)............ 16
1 Filenet Corp. (b)..................... 18
2 Fiserv, Inc. (b)...................... 95
</TABLE>
Continued
55
<PAGE> 58
- --------------------------------------------------------------------------------
One Group Mutual Funds
Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
3 Gartner Group Inc., Class B (b)....... $ 43
1 Gencorp, Inc. ........................ 10
1 General Communication, Inc. (b)....... 5
1 General Semiconductor, Inc. (b)....... 11
1 Gentex Corp. (b)...................... 19
1 Gerber Scientific, Inc. .............. 11
1 Granite Construction, Inc. ........... 11
0 Hadco Corp. (b)(c).................... 15
1 Harbinger Corp. (b)................... 29
0 Harmon Industries, Inc. (c)........... 2
1 Henry (Jack) & Associates, Inc. ...... 27
0 HNC Software, Inc. (b)(c)............. 21
1 Hutchinson Technology, Inc. (b)....... 13
1 Hyperion Solutions Corp. (b).......... 30
1 Inacom Corp. (b)...................... 7
4 Informix Corp. (b).................... 46
0 Innovex, Inc. (c)..................... 3
0 Insteel Industries, Inc. (c).......... 2
2 Integrated Device Tech, Inc. (b)...... 52
1 International Rectifier Corp. (b)..... 31
1 Intervoice, Inc. (b).................. 14
4 Intuit, Inc. (b)...................... 215
0 Itron, Inc. (b)(c).................... 2
2 Jabil Circuit, Inc. (b)............... 131
2 Keane, Inc. (b)....................... 51
1 Kemet Corp. (b)....................... 41
1 Kent Electronics Corp. (b)............ 14
1 Komag, Inc. (b)....................... 4
0 Kronos, Inc. (b)(c)................... 18
0 Lattice Semiconductor Corp. (b)(c).... 19
2 Legato Systems, Inc. (b).............. 138
3 Linear Technology Corp. .............. 215
1 Litton Industries, Inc. (b)........... 65
0 Lydall, Inc. (b)(c)................... 2
1 Macromedia, Inc. (b).................. 66
1 Martin Marietta Materials, Inc. ...... 45
6 Maxim Integrated Products, Inc. (b)... 285
2 Mentor Graphics Corp. (b)............. 20
0 Mercury Interactive Corp. (b)(c)...... 43
2 Meritor Automotive, Inc. ............. 31
1 Methode Electronics................... 26
0 Micrel Semiconductor, Inc. (b)(c)..... 23
1 Microchip Technology, Inc. (b)........ 82
0 Micros Systems, Inc. (b)(c)........... 30
1 Midway Games, Inc. (b)................ 19
0 National Computer Systems, Inc. (c)... 11
0 National Data Corp. (c)............... 10
0 National Instruments Corp. (b)(c)..... 17
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
2 NCR Corp. (b)......................... $ 84
1 Network Equipment Tech, Inc. (b)...... 6
3 Networks Associates, Inc. (b)......... 80
0 Novellus Systems, Inc. (b)(c)......... 49
0 Oak Industries, Inc. (b)(c)........... 42
2 P-Com, Inc. (b)....................... 19
0 Park Electrochemical Corp. (c)........ 5
0 Peoplesoft, Inc. (b)(c)............... 11
1 Photronics, Inc. (b).................. 17
1 Picturetel Corp. (b).................. 3
1 Pioneer Standard Electronics.......... 9
0 Plantronics, Inc. (b)(c).............. 29
0 Plexus Corp. (b)(c)................... 13
1 Policy Management Systems Corp. (b)... 20
0 Progress Software Corp. (b)(c)........ 23
3 Quantum Corp. DLT and Storage (b)..... 51
2 Rational Software Corp. (b)........... 98
1 Read-Rite Corp. (b)................... 5
2 Reynolds & Reynolds................... 41
1 S3, Inc. (b).......................... 14
1 Sanmina Corp. (b)..................... 110
2 SCI Systems, Inc. (b)................. 132
0 SEI Corp. (c)......................... 24
1 Seitel, Inc. (b)...................... 3
2 Sensormatic Electronics Corp. (b)..... 30
2 Siebel Systems, Inc. (b).............. 162
0 Simpson Industries, Inc. (c).......... 5
0 Spartan Motors, Inc. (c).............. 1
0 Standard Microsystems Corp. (b)(c).... 3
0 Standard Motor Products (c)........... 5
2 Sterling Commerce, Inc. (b)........... 75
2 Sterling Software, Inc. (b)........... 60
2 Storage Technology Corp. (b).......... 42
1 Structual Dynamics Research Corp.
(b)................................. 10
3 Sungard Data Systems, Inc. (b)........ 59
1 Symantec Corp. (b).................... 76
2 Symbol Technologies, Inc. ............ 111
0 Symmetricom, Inc. (b)(c).............. 3
2 Synopsys, Inc. (b).................... 120
0 System Software Association, Inc.
(b)(c).............................. 1
1 TALK.com, Inc. (b).................... 20
1 TBC Corp. (b)......................... 3
1 TCSI Corp. (b)........................ 2
1 Tech Data Corp. (b)................... 33
0 Technitrol, Inc. (c).................. 18
1 Technology Solutions Co. (b).......... 29
1 Teleflex, Inc. ....................... 28
0 Telxon Corp. (c)...................... 6
</TABLE>
Continued
56
<PAGE> 59
- --------------------------------------------------------------------------------
One Group Mutual Funds
Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
1 Tetra Tech Inc., (b).................. 313
0 Texas Instruments, Inc. (c)........... 34
0 Three-Five Systems, Inc. (b)(c)....... 11
1 Titan International, Inc. ............ 3
1 Transaction Systems Architects, Inc.
(b)................................. 25
1 Trimble Navigation Ltd. (b)........... 11
1 Ucar International, Inc. (b).......... 18
1 Ultratech Stepper, Inc. (b)........... 18
0 United Illuminating Co. (c)........... 15
1 Valence Technology, Inc. (b).......... 11
3 Veritas Software Corp. (b)............ 491
2 Vishay Intertechnology, Inc. (b)...... 63
4 Vitesse Semiconductor Corp. (b)....... 199
0 Watkins-Johnson Co. (c)............... 8
1 Whittman-Hart, Inc. (b)............... 27
1 X-Rite, Inc. ......................... 3
1 Xircom, Inc. (b)...................... 38
0 Zebra Technologies Corp. (b)(c)....... 18
0 Zixit Corp. (b)(c).................... 16
-------
6,993
-------
Transportation (1.9%):
1 Air Express International Corp. ...... 27
1 Airborne Freight Corp. ............... 26
1 Alaska Air Group, Inc. (b)............ 22
1 Alexander & Baldwin, Inc. ............ 25
1 American Freightways Corp. (b)........ 11
0 Arkansas Best Corp. (b)(c)............ 5
1 Arnold Industries, Inc. .............. 7
1 CNF Transportation, Inc. ............. 38
1 Expeditors International of
Washington, Inc. ................... 22
1 Fritz Cos., Inc. (b).................. 8
1 GATX Corp. ........................... 39
1 Heartland Express, Inc. (b)........... 11
1 Hunt (J. B.) Transport Services,
Inc. ............................... 11
1 Kirby Corp. (b)....................... 10
0 Landstar System, Inc. (b)(c).......... 9
0 M.S. Carriers, Inc. (b)(c)............ 7
1 Mesa Air Group, Inc. (b).............. 3
1 Newport News Shipbuilding, Inc. ...... 22
1 Offshore Logistics, Inc. (b).......... 5
1 Overseas Shipholding Group, Inc. ..... 21
0 Pittston BAX Group (c)................ 4
0 Railtex, Inc. (b)(c).................. 4
1 Rollins Truck Leasing Corp. .......... 16
1 Skywest, Inc. ........................ 17
2 Swift Transportation Co., Inc. (b).... 33
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Transportation, continued:
1 US Freightways Corp. ................. $ 29
1 Werner Enterprise, Inc. .............. 15
1 Wisconsin Central Transportation Corp.
(b)................................. 16
1 Yellow Corp. (b)...................... 10
-------
473
-------
Utilities (7.4%):
1 AGL Resources, Inc. .................. 22
3 Allegheny Energy, Inc. ............... 72
0 American States Water Co. (c)......... 7
3 American Water Works, Inc. ........... 60
0 Aquarion Co. (c)...................... 11
1 Baldor Electric Co. .................. 15
0 Bangor Hydro-Electric Co. (c)......... 3
0 Cascade Natural Gas Corp. (c)......... 3
0 Central Vermont Public Services (c)... 3
0 CH Energy Group, Inc. (c)............. 13
1 CMP Group, Inc. ...................... 19
2 Conectiv, Inc. ....................... 36
0 Connecticut Energy Corp. (c).......... 8
4 DPL Corp. ............................ 64
1 Eastern Utilities Associates.......... 15
3 Energy East Corp. .................... 60
0 Green Mountain Power Corp. (c)........ 1
1 Hawaiian Electric Industries, Inc. ... 20
1 Idacorp, Inc. ........................ 24
2 Illinova Corp. ....................... 56
1 Indiana Energy, Inc. ................. 12
2 Ipalco Enterprises, Inc. ............. 34
1 Kansas City Power & Light Co. ........ 31
3 Keyspan Corp. ........................ 74
3 LG&E Energy Corp. .................... 52
2 MCN Energy Group, Inc. ............... 43
2 Minnesota Power & Light Co. .......... 29
3 Montana Power Co. .................... 97
1 National Fuel Gas Co. ................ 45
1 New England Electric System........... 72
0 New Jersey Resources Corp. (c)........ 16
3 Nisource, Inc. ....................... 52
3 Northeast Utilities................... 62
1 Northwest Natural Gas................. 13
2 OGE Energy Corp. ..................... 36
1 Philadelphia Suburban Corp. .......... 20
3 Potomac Electric Power Co. ........... 62
1 Public Service Company of New
Mexico.............................. 15
1 Public Service Company of North
Carolina............................ 16
2 Puget Sound Energy, Inc. ............. 37
</TABLE>
Continued
57
<PAGE> 60
- --------------------------------------------------------------------------------
One Group Mutual Funds
Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Utilities, continued:
2 Questar Corp. ........................ $ 30
2 SCANA Corp. .......................... 65
1 Sierra Pacific Resources.............. 10
1 Southwest Gas Corp. .................. 16
1 Southwestern Energy Co. .............. 3
3 TECO Energy, Inc. .................... 56
1 Telephone & Data Systems, Inc. ....... 151
0 TNP Enterprises, Inc. (c)............. 12
1 United Water Resources, Inc. ......... 31
2 UtiliCorp United, Inc. ............... 40
1 Washington Gas Light Co. ............. 30
1 Wicor, Inc. .......................... 26
3 Wisconsin Energy Corp. ............... 52
-------
1,852
-------
Total Common Stocks 25,001
-------
U.S. TREASURY OBLIGATIONS (0.3%):
U.S. Treasury Bills (0.3%):
$ 25 2/17/00 (f)........................... 25
60 1/20/00 (f)........................... 60
-------
Total U.S. Treasury Obligations 85
-------
SHORT-TERM SECURITIES HELD AS COLLATERAL (4.8%):
Investment Companies (0.8%):
173 Aim Liquid Asset Money Market Fund.... 173
35 One Group Prime Money Market Fund,
Class I............................. 35
-------
208
-------
Master Notes (0.3%):
$ 41 Bear Stearns, 4.77%, 1/3/00*.......... 41
17 Lehman Brothers, 4.88%, 1/3/00*....... 17
17 Merrill Lynch, 4.68%, 1/3/00*......... 17
10 NationsBanc, 4.70%, 1/3/00*........... 10
-------
85
-------
Put Bonds (1.8%):
46 Amex Centurion, 5.08%, 2/18/00*....... 45
15 Branch Banking & Trust, 5.11%,
5/25/00*............................ 15
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- -------------------------------------- -------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Put Bonds, continued:
$ 35 Caterpillar Finance, 5.17%, 5/1/01*... $ 35
29 Chase Manhattan, 5.23%, 5/6/02*....... 29
27 Evangelical Lutheran, 6.64%,
4/28/00*............................ 26
29 Fleet National Bank, 5.04%,
4/18/00*............................ 29
29 GMAC, 5.19%, 5/3/01*.................. 29
29 J.P. Morgan & Co., 5.13%, 5/4/01*..... 29
12 J.P. Morgan & Co., 5.07%, 5/4/00*..... 12
29 Lehman Brothers, 6.64%, 7/20/00*...... 29
12 Liberty Lighthouse, 5.12%, 5/5/00*.... 12
29 Merrill Lynch, 5.28%, 5/6/02*......... 29
51 Morgan Stanley, 5.25%, 1/21/00*....... 51
13 Salomon Smith Barney, 5.01%,
2/5/01*............................. 13
29 Sigma Finance, Inc., 5.11%,
3/31/00*............................ 29
35 SPARCC, 6.05%, 3/24/00*............... 35
-------
447
-------
Repurchase Agreements (1.9%):
115 HSBC, 4.67%, 1/3/00, (Collateralized
by $361 various Government
Securities, 0.00% - 10.63%,
1/28/00 - 4/15/29, market value
$118)............................... 115
87 HSBC, 4.62%, 1/3/00, (Collateralized
by $118 various Government
Securities, 0.00% - 13.38%,
1/20/00 - 3/7/12, market value
$88)................................ 87
139 Lehman Brothers, 4.85%, 1/3/00,
(Collateralized by 3 various Equity
Securities, market value $146)...... 139
110 Lehman Brothers, 4.65%, 1/3/00,
(Collateralized by $116 various
Commercial Paper, 0.00%, 1/10/00 -
5/23/00, market value $116)......... 110
-------
451
-------
Total Short-Term Securities Held as Collateral 1,191
-------
Total (Cost $22,473) (a) $26,277
=======
</TABLE>
- ------------
Percentages indicated are based on net assets of $24,893.
Continued
58
<PAGE> 61
- --------------------------------------------------------------------------------
One Group Mutual Funds
Market Expansion Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
(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...................... $ 7,414
Unrealized depreciation...................... (3,610)
-------
Net unrealized appreciation.................. $ 3,804
=======
</TABLE>
(b) Non-income producing securities.
(c) Rounds to less than 1,000.
(d) Just for Feet, which filed for protection under Chapter 11 of the Federal
Bankruptcy Code, has amortized cost of $7.
(e) Breed Technologies, Inc., which filed for protection under Chapter 11 of
the Federal Bankruptcy Code, has amortized cost of $4.
(f) Serves as collateral for Future Contracts.
* 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 December 31, 1999.
See notes to financial statements.
59
<PAGE> 62
- --------------------------------------------------------------------------------
One Group Mutual Funds
International Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS (97.2%):
ARGENTINA (0.5%):
Banking & Finance (0.1%):
114 Banco de Galicia Bue, Class B....... $ 569
56 Banco Frances Rio Pl................ 442
----------
1,011
----------
Construction (0.0%):
122 Astra Cia Argentin (b).............. 260
----------
Metals & Mining (0.1%):
6 Siderar SA, Class A................. 25
254 Siderca SA.......................... 534
----------
559
----------
Oil & Gas Exploration, Production & Services (0.1%):
173 Perez Companc SA.................... 886
----------
Telecommunications (0.2%):
461 Telefonica de Argentina SA, Class
B................................. 1,414
----------
4,130
----------
AUSTRALIA (1.9%):
Banking (0.5%):
140 National Australia Bank, Ltd. ...... 2,127
181 Westpac Banking Corp., Ltd. ........ 1,241
----------
3,368
----------
Beverages & Tobacco (0.0%):
68 Coca-Cola Amatil Ltd. .............. 186
----------
Brewery (0.0%):
151 Foster's Brewing Group.............. 432
----------
Broadcasting & Publishing (0.3%):
155 News Corp., Ltd. ................... 1,498
144 News Corporation Preferred Limited
Voting Shares..................... 1,232
----------
2,730
----------
Building Products (0.1%):
162 Boral Ltd. ......................... 251
89 CSR Ltd. ........................... 215
28 Hardie (James) Industries........... 72
13 Metal Manufactures Ltd. ............ 19
71 Pioneer International Ltd. ......... 213
----------
770
----------
Chemicals (0.0%):
33 Orica Ltd. ......................... 176
----------
Containers & Packaging (0.0%):
5 Amcor Ltd. ......................... 24
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Australia, continued:
Diversified (0.1%):
49 Futuris Corporation Ltd. ........... $ 68
15 Smith (Howard) Ltd. ................ 102
82 Southcorp Holdings Ltd. ............ 288
----------
458
----------
Engineering (0.0%):
35 Leighton Holdings Ltd. ............. 135
----------
Entertainment (0.0%):
3 Publishing and Broadcasting......... 23
14 Tabcorp Holdings Ltd. .............. 95
----------
118
----------
Food Products & Services (0.0%):
284 Goodman Fielder Ltd. ............... 253
----------
Gas Utility (0.0%):
71 Australian Gas Light Co. ........... 414
----------
Insurance (0.1%):
93 Amp Ltd. ........................... 1,020
37 QBE Insurance Group Ltd. ........... 171
----------
1,191
----------
Manufacturing-Capital Goods (0.0%):
110 Pacific Dunlop Ltd. ................ 155
----------
Metals (0.0%):
5 Iluka Resources Ltd. ............... 12
----------
Metals & Mining (0.2%):
131 Broken Hill Proprietary Co.,
Ltd. ............................. 1,710
74 Santos Ltd. ........................ 200
13 WMC Ltd. ........................... 72
----------
1,982
----------
Metals (Non-ferrous) (0.0%):
8 Rio Tinto Ltd. ..................... 176
----------
Real Estate (0.2%):
186 General Property Trust.............. 302
42 Lend Lease Corp. ................... 581
135 Stockland Trust Group............... 283
174 Westfield Trust..................... 339
----------
1,505
----------
Retail-Stores/Catalog (0.1%):
138 Coles Myer Ltd. .................... 712
----------
Services (0.1%):
24 Brambles Industries Ltd. ........... 661
----------
Telecommunications-Equipment (0.2%):
375 Telstra Corporation Ltd. ........... 2,030
----------
</TABLE>
Continued
60
<PAGE> 63
- --------------------------------------------------------------------------------
One Group Mutual Funds
International Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Australia, continued:
Tobacco (0.0%):
5 Rothmans Holdings................... $ 48
----------
17,536
----------
AUSTRIA (1.0%):
Airlines (0.0%):
19 Austrian Airlines................... 360
----------
Banking & Finance (0.4%):
56 Bank Austria AG, Participating
Certificates...................... 3,135
----------
Beverages & Tobacco (0.0%):
4 Osterreichische Brau-Beteiligungs
AG................................ 159
----------
Building Products (0.0%):
19 Wienerberger Baustoffindustrie AG... 413
----------
Chemicals (0.0%):
3 Lenzing AG.......................... 139
----------
Engineering (0.0%):
7 VA Technologie AG................... 429
----------
Environmental Services (0.0%):
1 BWT AG.............................. 148
----------
Insurance (0.1%):
3 EA-Generali AG...................... 478
----------
Miscellaneous Materials & Commodities (0.0%):
10 Radex-Heraklith
Industriebeteiligungs AG.......... 295
----------
Oil & Gas Exploration, Production & Services (0.2%):
11 OMV AG.............................. 1,104
----------
Paper Products (0.0%):
1 Mayr-Melnhof Karton AG.............. 37
----------
Steel (0.0%):
2 Boehler Uddeholm.................... 111
----------
Telecommunications-Services and Equipment (0.3%):
14 Osterreichische
Elekrizitaitswirtschafts-AG, Class
A (b)............................. 1,906
----------
Tobacco (0.0%):
5 Austria Tabakwerke AG............... 261
----------
Transportation (0.0%):
8 Flughafen Wien AG................... 290
----------
9,265
----------
BELGIUM (1.3%):
Automotive (0.0%):
0 SA D'Ieteren NV (c)................. 164
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Belgium, continued:
Banking (0.2%):
30 Kredietbank NV...................... $ 1,621
13 Kredietbank Strip (b)............... 0
----------
1,621
----------
Chemicals (0.1%):
9 Solvay SA........................... 779
----------
Electric Utility (0.1%):
7 Suez Lyonnaise Des Eaux............. 1,160
7 Suez Lyonnaise Des Eaux Strip (b)... 0
----------
1,160
----------
Energy (0.2%):
12 Total Fina SA Strips (b)............ 0
12 Total Fina SA, Class B.............. 1,555
----------
Industrial Holding Company (0.1%):
3 Groupe Bruxelles Lambert SA......... 689
----------
Insurance (0.2%):
75 Foritg AG........................... 2,721
----------
Merchandising (0.1%):
7 Delhaize-Le Lion SA................. 543
----------
Metals & Mining (0.0%):
3 Union Miniere Group................. 116
----------
Pharmaceuticals (0.1%):
13 UCB Cap Npv Ord..................... 551
----------
Retail-Stores/Catalog (0.0%):
1 Colrayt............................. 57
0 Dolmen Computer Applications
(b)(c)............................ 3
----------
60
----------
Telecommunications-Services and Equipment (0.2%):
5 Electrabel SA....................... 1,647
----------
11,606
----------
BRAZIL (0.2%):
Auto Parts (0.0%):
8 Marcopolo SA........................ 9
----------
Banking (0.0%):
2,485 Banco do Estado De SA (b)........... 88
3,218 Uniao de Bancos Brasileir........... 88
----------
176
----------
Beverages & Tobacco (0.0%):
41 Companhia Cervejaria Brahma......... 19
----------
Chemicals (0.0%):
41 White Martins SA.................... 29
----------
</TABLE>
Continued
61
<PAGE> 64
- --------------------------------------------------------------------------------
One Group Mutual Funds
International Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<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................................ $ 948
8,991 Centrais Geradoras (b).............. 9
195 Cia Paulista De Forca E Luz......... 10
----------
967
----------
Gaming (0.0%):
5 Companhia Vidraria Santa Maria...... 6
----------
Steel (0.0%):
4,228 Companhia Siderurgica Nacional...... 165
----------
Telecommunications (0.0%):
1,865 Embratel Participacoes SA........... 31
1,865 Tele Centro Sul Participacoes....... 20
3,591 Tele Norte Leste Participacoes
(b)............................... 66
1,865 Telesp Celular Participacoes........ 18
193 Telesp Celular SA................... 10
4,045 Telesp Participacoes SA............. 56
----------
201
----------
Tobacco (0.0%):
33 Souza Cruz SA....................... 245
----------
1,817
----------
CHILE (0.3%):
Banking & Finance (0.0%):
9 Banco de Santiago ADR............... 194
----------
Beverages & Tobacco (0.1%):
14 Embotelladora Andina SA ADR......... 207
7 Embotelladora Andina SA, Series A
ADR............................... 122
5 Vina Concho y Toro SA ADR........... 170
----------
499
----------
Chemicals (0.0%):
6 Quimica Y Minera Chile SA ADR....... 202
----------
Electric Utility (0.1%):
6 Chilectra SA ADR.................... 117
23 Enersis SA ADR...................... 532
16 Gener SA ADR........................ 251
----------
900
----------
Forest Products (0.0%):
14 Masisa SA ADR....................... 178
----------
Metals & Mining (0.0%):
17 Madeco SA ADR....................... 193
----------
Packaging (0.0%):
9 Cristalerias de Chile ADR........... 122
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Chile, continued:
Pharmaceuticals (0.0%):
9 Laboratorio Chile ADR............... $ 162
----------
Telecommunications (0.1%):
35 Telecomunicaciones de Chile SA
ADR............................... 634
----------
3,084
----------
DENMARK (1.1%):
Banking & Finance (0.2%):
7 Danske Bank......................... 817
8 Unidanmark A/S, Class A............. 571
----------
1,388
----------
Beverages & Tobacco (0.0%):
3 Carlsberg A/S, Class A.............. 109
3 Carlsberg A/S, Class B.............. 127
----------
236
----------
Commercial Services (0.0%):
4 ISS International Service System
A/S, Class B (b).................. 249
----------
Electronics (0.0%):
2 Bang & Olufsen Holding.............. 68
----------
Engineering (0.0%):
6 FLS Industries A/S B................ 147
----------
Food Products & Services (0.0%):
9 Danisco A/S......................... 332
----------
Pharmaceuticals (0.1%):
9 Novo Nordisk A/S, Class B........... 1,221
----------
Telecommunications (0.3%):
31 Tele Danmark A/S, Class B........... 2,291
----------
Telecommunications-Equipment (0.0%):
2 GN Store Nord....................... 104
----------
Transportation & Shipping (0.5%):
0 D/S 1912, Class B (c)............... 1,980
0 D/S Svendborg A/S, Class B (c)...... 1,966
5 SAS Danmark A/S..................... 47
----------
3,993
----------
10,029
----------
FINLAND (1.6%):
Banking & Finance (0.0%):
67 Merita Ltd., Class A................ 396
----------
Computer Software (0.0%):
0 Tieto Corp, Class B (c)............. 30
----------
Diversified (0.0%):
3 FNM Instrumentarium................. 104
----------
</TABLE>
Continued
62
<PAGE> 65
- --------------------------------------------------------------------------------
One Group Mutual Funds
International Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Finland, continued:
Food Products & Services (0.0%):
13 Raisio Group PLC.................... $ 52
----------
Forest Products (0.2%):
22 UPM-Kymmene Corp. .................. 874
----------
Insurance (0.0%):
4 Pohjola Insurance Group, Class B.... 212
6 Sampo Insurance Co. ................ 192
----------
404
----------
Metals (0.0%):
20 Outokumpo OY, Class A............... 285
----------
Telecommunications (1.4%):
57 Nokia Oyj, Class A.................. 10,341
23 Sonera Group Oyj.................... 1,558
----------
11,899
----------
14,044
----------
FRANCE (9.9%):
Aluminum (0.0%):
4 Pechiney SA, Class A................ 268
----------
Appliances & Household Products (0.0%):
0 Group Seb SA (c).................... 23
----------
Automotive (0.2%):
4 PSA Peugeot......................... 984
6 Valeo............................... 479
----------
1,463
----------
Banking (0.7%):
44 Banque Nationale de Paris........... 4,033
10 Societe Generale.................... 2,363
----------
6,396
----------
Beverages & Tobacco (0.5%):
9 LVMH (Moet Hennessy Louis
Vuitton).......................... 3,897
6 Pernod Ricard....................... 330
----------
4,227
----------
Broadcasting/Cable (0.2%):
12 Canal Plus.......................... 1,767
----------
Building Products (0.2%):
2 Imetal SA........................... 372
9 Lafarge SA.......................... 1,078
----------
1,450
----------
Business Service (0.6%):
56 Vivendi............................. 5,056
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
France, continued:
Chemicals (0.3%):
8 L'Air Liquide....................... $ 1,356
30 Rhone-Poulenc SA.................... 1,761
----------
3,117
----------
Closed End Funds (0.3%):
90 Webs-France Index Series............ 2,499
----------
Commercial Services (0.1%):
4 Sodexho SA.......................... 695
----------
Computer Software (0.1%):
9 Dassault Systems SA................. 599
----------
Construction (0.2%):
3 Bouygues............................ 1,702
----------
Defense (0.2%):
1 Sagem SA............................ 963
16 Thomson CSF......................... 524
----------
1,487
----------
Diversified (0.1%):
1 Chargeurs International SA.......... 43
12 Lagardere SCA....................... 673
----------
716
----------
Electrical & Electronic (0.7%):
19 Alcatel Alsthom..................... 4,446
3 Legrand SA.......................... 621
16 Schneider SA........................ 1,229
----------
6,296
----------
Energy (0.8%):
14 Elf Aquitane SA..................... 2,190
37 Total SA, Class B................... 4,929
----------
7,119
----------
Engineering (0.0%):
2 Compagnie Francaise d'Etudes et de
Construction Technip.............. 254
1 Groupe Gtm.......................... 100
----------
354
----------
Financial Services (0.0%):
1 CPR SA.............................. 48
0 Eurafrance (c)...................... 180
2 Natexis SA.......................... 176
----------
404
----------
Food & Household Products (0.0%):
4 Eridania Beghin-Say SA.............. 424
----------
</TABLE>
Continued
63
<PAGE> 66
- --------------------------------------------------------------------------------
One Group Mutual Funds
International Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
France, continued:
Food Products & Services (0.2%):
7 Groupe Danone....................... $ 1,650
----------
Health & Personal Care (0.8%):
6 L'Oreal............................. 4,894
63 Sanofi Synthelabo SA (b)............ 2,626
----------
7,520
----------
Industrial Goods & Services (0.1%):
14 Michelin Class B, Registered
Shares............................ 536
----------
Industrial Holding Company (0.2%):
13 Lyonnaise des Eaux SA............... 2,043
----------
Insurance (0.7%):
1 AXA Certificates Of Gaurantee (b)... 0
32 AXA SA.............................. 4,428
6 Cap Gemini.......................... 1,546
----------
5,974
----------
Leisure (0.1%):
18 Accor SA............................ 851
----------
Lodging (0.0%):
0 Club Mediterranee (b)(c)............ 39
----------
Machine-Diversified (0.0%):
3 Sidel............................... 291
----------
Medical Supplies (0.0%):
1 Essilor Intl........................ 188
----------
Merchandising (1.0%):
30 Carrefour........................... 5,560
7 Casino Guichard-Perrachon........... 777
10 Pinault Printemps Redoute SA........ 2,712
----------
9,049
----------
Metals (Non-ferrous) (0.0%):
21 Usinor.............................. 394
----------
Office Equipment & Services (0.0%):
6 BIC................................. 285
----------
Oil & Gas (0.2%):
1 Cie Gen Geophysiq (b)............... 43
1 Coflexip SA......................... 65
8 Compagnie de Saint Gobain........... 1,552
----------
1,660
----------
Telecommunications-Services and Equipment (1.4%):
93 France Telecom...................... 12,372
----------
88,914
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
GERMANY (14.7%):
Airlines (0.1%):
52 Lufthansa AG........................ $ 1,200
----------
Automotive (1.5%):
137 DaimlerChrysler..................... 10,679
20 Man AG.............................. 767
2 Man AG Vorzugsaktien................ 45
43 Volkswagen AG....................... 2,440
----------
13,931
----------
Banking (2.2%):
95 Bayer AG............................ 4,486
55 Bayerische Vereinsbank AG........... 3,751
84 Deutsche Bank AG, Registered
Shares............................ 7,121
71 Dresdner Bank AG, Registered
Shares............................ 3,865
----------
19,223
----------
Building Products (0.1%):
6 Heidelberger Zement AG.............. 494
----------
Chemicals (0.5%):
81 BASF AG............................. 4,185
----------
Closed End Funds (0.4%):
151 Webs -- Germany Index Series........ 4,028
----------
Computer Software (0.8%):
8 SAP AG.............................. 3,918
6 SAP AG, Vorzugsaktien............... 3,405
----------
7,323
----------
Conglomerates (0.9%):
35 Metro AG............................ 1,887
24 Preussag AG......................... 1,338
64 VEBA AG............................. 3,092
79 Viag AG............................. 1,455
----------
7,772
----------
Construction (0.0%):
9 Hochtief AG......................... 333
----------
Consumer Goods & Services (0.0%):
5 Adidas AG........................... 388
----------
Engineering (1.4%):
5 AGIV AG............................. 98
5 Bilfinger & Berger Bau AG........... 114
52 Mannesmann AG....................... 12,438
----------
12,650
----------
Gas & Electric Utility (0.3%):
59 RWE AG.............................. 2,317
----------
</TABLE>
Continued
64
<PAGE> 67
- --------------------------------------------------------------------------------
One Group Mutual Funds
International Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Germany, continued:
Health Care (0.1%):
8 Schering AG......................... $ 941
----------
Industrial Goods & Services (1.1%):
3 Carbon AG (b)....................... 175
79 Siemens AG, Registered Shares....... 10,073
----------
10,248
----------
Insurance (2.1%):
32 Allianz AG.......................... 10,858
7 AMB Aachener und Muenchener
Beteiligungs AG................... 465
3 CKAG Colonia Konzern AG............. 294
29 Muenchener Rueckversicherungs
Gesellschaft AG,.................. 7,418
----------
Registered Shares................... 19,035
----------
Investment Company (0.1%):
10 Beiersdorf AG....................... 697
----------
Machinery & Equipment (0.1%):
7 Kloeckner-Humbolt-Deutz AG (b)...... 42
11 Linde AG............................ 585
4 Rheinmetall AG...................... 55
----------
682
----------
Metals & Mining (0.2%):
9 Kugelfischer Georg Schaefer AG...... 83
68 Thyssen Krupp AG (b)................ 2,086
----------
2,169
----------
Pharmaceuticals (0.1%):
22 Merck KGaA.......................... 684
----------
Retail-General Merchandise (0.0%):
5 Douglas Holding AG.................. 202
----------
Retail-Stores/Catalog (0.1%):
12 Karstadt Quelle AG.................. 465
1 Metro AG............................ 15
----------
480
----------
Telecommunications (2.6%):
321 Deutsche Telekom AG................. 22,844
----------
Textile Products (0.0%):
1 Escada AG........................... 63
----------
Tire & Rubber (0.0%):
10 Continental AG...................... 206
----------
132,095
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
GREECE (0.6%):
Appliances & Household Products (0.0%):
3 Fourlis Brothers Corp. ............. $ 120
----------
Banking & Finance (0.4%):
8 Alpha Credit Bank................... 610
7 Commercial Bank of Greece SA........ 524
2 Ergo Bank SA........................ 174
3 Eurobank (b)........................ 151
11 National Bank of Greece SA.......... 850
----------
2,309
----------
Beverages & Tobacco (0.0%):
9 Hellenic Bottling Co. SA............ 210
2 Papastratos Cigarette............... 68
----------
278
----------
Food Products & Services (0.0%):
2 Elais Co. .......................... 73
----------
Health Care (0.0%):
4 Athens Medical Care................. 228
----------
Insurance (0.0%):
4 Aspis Pronia (b).................... 82
----------
Miscellaneous Materials & Commodities (0.0%):
0 Silver & Baryte Ores Mining (c)..... 12
----------
Packaging (0.0%):
3 Hellas Can SA....................... 174
----------
Telecommunications (0.2%):
38 Hellenic Telecommunication
Organization...................... 915
7 Intracom SA......................... 327
----------
1,242
----------
Textile Products (0.0%):
10 El. D. Mouzakis SA.................. 256
----------
Transportation & Shipping (0.0%):
12 Attica Enterprises.................. 229
----------
5,003
----------
HONG KONG (1.1%):
Airlines (0.0%):
248 Cathay Pacific Airways.............. 442
----------
Automotive (0.0%):
250 Tan Chong International Ltd. ....... 53
----------
Banking (0.1%):
67 Bank of East Asia Ltd. ............. 186
88 Hang Seng Bank...................... 1,004
----------
1,190
----------
</TABLE>
Continued
65
<PAGE> 68
- --------------------------------------------------------------------------------
One Group Mutual Funds
International Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Hong Kong, continued:
Broadcasting & Publishing (0.1%):
75 Television Broadcasts Ltd........... $ 511
----------
Business Service (0.0%):
30 Wharf Holdings...................... 70
----------
Conglomerates (0.0%):
45 Swire Pacific Ltd., Class A......... 266
----------
Electrical Equipment (0.0%):
255 Elec & Eltek International Holdings
Ltd. ............................. 48
57 Johnson Electric Holdings........... 362
----------
410
----------
Gas Utility (0.1%):
443 Hong Kong & China Gas............... 607
----------
Industrial Holding Company (0.3%):
191 Hutchison Whampoa Ltd. ............. 2,777
----------
Investment Company (0.1%):
169 CLP Holdings........................ 776
----------
Real Estate (0.2%):
51 Cheung Kong (Holdings).............. 647
21 Hysan Development................... 27
18 Shangri-La Asia Ltd. ............... 21
101 Sino Land Company................... 58
62 Sun Hung Kai Properties Ltd. ....... 646
----------
1,399
----------
Telecommunications (0.2%):
585 Hong Kong Telecommunications
Ltd. ............................. 1,688
----------
10,189
----------
HUNGARY (0.4%):
Banking (0.1%):
11 Otp Bank Rt......................... 633
----------
Drugs (0.1%):
8 Gedeon Richter Rt................... 500
----------
Hotels & Lodging (0.0%):
4 Danubius Hotel and Spa Rt (b)....... 69
----------
Oil & Gas (0.1%):
22 Mol Magyar Olaj-Es Gazipari Rt...... 466
----------
Telecommunications (0.1%):
270 Matav Rt............................ 1,894
----------
3,562
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
INDIA (0.6%):
Aluminum (0.1%):
17 Hindalco Industries Ltd. GDR........ $ 405
23 Indian Aluminum Co. Ltd. GDR........ 49
----------
454
----------
Automotive (0.0%):
8 Mahindra & Mahindra Ltd. GDR........ 84
16 Tata Engineering & Locomotive Co.,
Ltd. GDR.......................... 86
----------
170
----------
Building Products (0.0%):
53 Gujarat Ambuja Cements Ltd. GDR..... 419
----------
Chemicals (0.0%):
10 Indian Petrochemicals Corp., Ltd.
GDR............................... 94
95 Indo Gulf Fertilizers and Chemicals
Corp., Ltd. GDR (b)............... 154
25 United Phosphorus Ltd. GDR.......... 80
----------
328
----------
Diversified (0.1%):
30 Grasim Industries Ltd. GDR.......... 415
17 ITC Ltd. GDR........................ 337
----------
752
----------
Hotels & Lodging (0.0%):
14 East India Hotels Ltd. GDR.......... 70
19 Indian Hotels Co., Ltd. GDR......... 183
----------
253
----------
Manufacturing-Capital Goods (0.2%):
3 Ashok Leyland Ltd. GDR.............. 22
56 India Cements Ltd. GDR.............. 104
28 Larsen & Toubro Ltd. GDR............ 931
----------
1,057
----------
Metals & Mining (0.0%):
20 Steel Authority of India Ltd. GDR... 79
----------
Pharmaceuticals (0.0%):
20 Ranbaxy Laboratories Ltd. GDR....... 446
----------
Textile Products (0.2%):
74 Arvind Mills Ltd. GDR............... 37
22 Bombay Dye & Manufacturing Co.
GDR............................... 59
89 Century Textile & Industries Ltd.
GDR............................... 112
41 Indian Rayon & Industries Ltd.
GDR............................... 106
8 Raymond Ltd. GDR.................... 25
61 Reliance Industries Ltd. GDR........ 850
----------
1,189
----------
</TABLE>
Continued
66
<PAGE> 69
- --------------------------------------------------------------------------------
One Group Mutual Funds
International Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
India, continued:
Transportation (0.0%):
21 Bajaj Auto Ltd. GDR................. $ 197
----------
Transportation -- Shipping (0.0%):
21 Great Eastern Shipping Co. GDR...... 49
----------
5,393
----------
IRELAND (0.4%):
Airlines (0.0%):
19 Ryanair Holdings PLC (b)............ 206
----------
Banking & Finance (0.3%):
122 Allied Irish Banks.................. 1,385
----------
Beverages & Tobacco (0.0%):
77 James Crean PLC..................... 27
77 Oakhill Group (b)................... 26
----------
53
----------
Construction (0.1%):
47 CRH PLC............................. 1,018
----------
Diversified (0.0%):
5 DCC PLC............................. 38
----------
Financial Services (0.0%):
38 Irish Permanent PLC................. 365
----------
Hotels & Lodging (0.0%):
1 Jurys Hotel Group PLC (b)........... 9
----------
Industrial Goods & Services (0.0%):
105 Smufit (Jefferson) Group............ 317
----------
Media (0.0%):
34 Independent Newspapers PLC.......... 220
----------
3,611
----------
ISRAEL (0.6%):
Banking (0.2%):
229 Bank Hapoalim Ltd. ................. 714
80 First International Bank of Israel
(1)............................... 106
20 First International Bank of Israel
(5)............................... 135
----------
955
----------
Chemicals (0.0%):
278 Israel Chemicals Ltd. .............. 306
----------
Computer Hardware (0.0%):
8 Scitex Corp., Ltd. ................. 114
----------
Construction (0.0%):
49 Industrial Buildings Corp. ......... 75
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Israel, continued:
Diversified (0.0%):
6 Elco Holdings Ltd. ................. $ 51
7 IDB Holding Corp., Ltd. (b)......... 222
1 Israel Corp., Ltd. ................. 141
----------
414
----------
Food Products & Services (0.0%):
22 Osem Investment Ltd. ............... 140
11 Super-Sol Ltd. ADR.................. 187
----------
327
----------
Insurance (0.0%):
9 Clal Insurance Enterprise
Holdings.......................... 136
----------
Investment Company (0.0%):
94 Makhteshim Agan Industries (b)...... 165
----------
Materials (0.0%):
0 Israel Petrochemical Enterprises
(c)............................... 2
----------
Paper Products (0.0%):
2 American Israeli Paper Mills........ 116
----------
Pharmaceuticals (0.1%):
1 Agis Industries Ltd. (b)............ 5
11 Teva Pharmaceutical ADR............. 767
----------
772
----------
Real Estate (0.0%):
0 Africa-Israel Investments Ltd.
(b)(c)............................ 46
1 Property & Building Corp., Ltd. .... 107
----------
153
----------
Telecommunications (0.1%):
113 Bezeq Israeli Telecom Co. (b)....... 565
6 Koor Industries ADR................. 122
----------
687
----------
Telecommunications-Equipment (0.2%):
13 ECI Telecommunications.............. 421
3 Gilat Satellite Networks Ltd. ...... 356
----------
777
----------
4,999
----------
ITALY (7.3%):
Agriculture (0.0%):
221 Parmalat Finanziaria SpA............ 283
----------
Airlines (0.1%):
230 Alitalia SpA........................ 548
----------
Auto Parts (0.0%):
66 Magneti Marelli SpA................. 253
----------
</TABLE>
Continued
67
<PAGE> 70
- --------------------------------------------------------------------------------
One Group Mutual Funds
International Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Italy, continued:
Automotive (0.2%):
60 Fiat SpA............................ $ 1,708
18 Fiat SpA (Non-convertible).......... 268
----------
1,976
----------
Banking (1.3%):
307 Banca Commerciale Italiana.......... 1,671
150 Banca Intesa SpA RNC................ 306
50 Banca Popolare di Milano............ 392
225 Bancario San Paolo di Torino........ 3,057
438 Banco Ambrosiano Veneto SpA......... 1,779
855 Credito Italiano SpA................ 4,203
----------
11,408
----------
Broadcasting & Publishing (0.4%):
207 Mediaset SpA........................ 3,223
----------
Building Products (0.0%):
10 Cementir SpA........................ 13
31 Italcementi SpA..................... 369
13 Italcementi SpA RNC................. 55
----------
437
----------
Chemicals (0.2%):
626 Montedison SpA...................... 1,025
224 Montedison SpA RNC.................. 215
120 Snia MPD SpA........................ 129
----------
1,369
----------
Engineering (0.0%):
125 Impregilo SpA....................... 77
----------
Financial Services (0.2%):
225 Beni Stabili SpA (b)................ 79
126 Mediobanca SpA...................... 1,284
----------
1,363
----------
Gas & Electric Utility (0.1%):
92 Edison SpA.......................... 752
101 Italgas SpA......................... 383
----------
1,135
----------
Insurance (0.8%):
166 Assicurazioni Generali.............. 5,488
77 Riuniune Adriatici de Sicurta SpA... 771
44 Riuniune Adriatici de Sicurta SpA
RNC............................... 354
21 SAI SpA RNC......................... 102
24 Societa Assicuratrice Industriale
(SAI) SpA......................... 266
658 Unione Immobiliare.................. 305
----------
7,286
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Italy, continued:
Jewelry (0.0%):
44 Bulgari SpA......................... $ 392
----------
Office Equipment & Services (0.2%):
771 Olivetti SpA (b).................... 2,234
----------
Oil & Gas (0.8%):
1,289 Ente Nazionale Idrocarburi (ENI) SpA
(c)............................... 7,091
----------
Paper Products (0.0%):
25 Burgo (Cartiere) SpA................ 164
----------
Printing & Publishing (0.1%):
25 Mandadori........................... 784
----------
Retail (0.0%):
37 La Rinascente SpA................... 235
----------
Telecommunications (2.7%):
22 Sirti SpA........................... 78
1,082 Telecom Italia Mobile SpA di Risp
(Non-convertible)................. 12,097
673 Telecom Italia SpA.................. 9,491
239 Telecom Italia SpA.................. 1,139
143 Telecom Italia SpA RNC.............. 871
----------
23,676
----------
Textile Products (0.1%):
308 Benetton Group SpA.................. 707
13 Marzotto (Gaetano) & Figli SpA...... 94
----------
801
----------
Tire & Rubber (0.1%):
283 Pirelli SpA......................... 778
----------
65,513
----------
JAPAN (31.7%):
Airlines (0.1%):
218 Japan Airlines...................... 645
----------
Appliances & Household Products (2.6%):
199 Matsushita Electric Industrial Co.,
Ltd. ............................. 5,503
19 Pioneer Electronic Corp. ........... 501
229 Sanyo Electric Co. ................. 929
129 Sharp Corp. ........................ 3,296
45 Sony Corp. ......................... 13,323
----------
23,552
----------
</TABLE>
Continued
68
<PAGE> 71
- --------------------------------------------------------------------------------
One Group Mutual Funds
International Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Japan, continued:
Automotive (2.8%):
5 Autobacs Seven Co. ................. $ 177
88 Honda Motor Co., Ltd. .............. 3,268
225 Nissan Motor Co., Ltd. (b).......... 884
22 Sanden.............................. 131
413 Toyota Motor Corp. ................. 19,976
----------
24,436
----------
Banking (2.7%):
54 77th Bank Ltd. ..................... 565
282 Asahi Bank Ltd. .................... 1,736
118 Ashikaga Bank (b)................... 235
512 Bank of Tokyo-Mitsubishi............ 7,120
91 Bank of Yokohama Ltd. .............. 419
328 Fuji Bank Ltd. ..................... 3,183
81 Gunma Bank.......................... 526
116 Hokuriku Bank (b)................... 274
118 Industrial Bank of Japan............ 1,136
132 Joyo Bank........................... 606
76 Mitsubishi Trust & Banking Corp. ... 668
300 Sakura Bank Ltd. ................... 1,735
344 Sumitomo Bank....................... 4,703
186 Tokai Bank.......................... 1,170
----------
24,076
----------
Basic Industry (0.0%):
69 Sekisui Chemical Co., Ltd. ......... 305
----------
Beverages & Tobacco (0.3%):
79 Asahi Breweries Ltd. ............... 863
109 Kirin Brewery Co., Ltd. ............ 1,145
36 Sapporo Breweries................... 116
25 Takara Shuzo........................ 394
----------
2,518
----------
Broadcasting & Publishing (0.1%):
21 Tokyo Broadcasting System........... 710
----------
Building Products (0.1%):
113 Chichibu Onoda Cement Co. .......... 215
8 Dianippon Screen Manufacturing Co.,
Ltd. (b).......................... 48
35 Sanwa Shutter Corp. ................ 130
28 Tostem Corp. ....................... 502
----------
895
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Japan, continued:
Chemicals (1.4%):
166 Asahi Chemical Industry Co.,
Ltd. ............................. $ 852
53 Daicel Chemical Industries Ltd. .... 148
103 Dainippon Ink & Chemicals, Inc. .... 305
56 Denki Kagaku Kogyo K.K. ............ 167
59 Ishihara Sangyo Kaisha (b).......... 78
43 Kaneka Corp. ....................... 549
40 Konica Corp. ....................... 149
36 Kureha Chemical Industry............ 88
232 Mitsubishi Chemical Corp. .......... 816
68 Mitsubishi Gas Chemical Co. ........ 132
24 Nippon Shokubai K.K. Co. ........... 111
17 NOF Corp. .......................... 40
46 Shin-Etsu Chemical Co. ............. 1,995
133 Showa Denko K.K. ................... 152
192 Sumitomo Chemical Co. .............. 901
102 Takeda Chemical Industries.......... 5,033
171 Toray Industries, Inc. ............. 662
77 Tosoh Corp. ........................ 293
116 Ube Industries Ltd. ................ 241
----------
12,712
----------
Closed End Funds (0.6%):
333 Webs-Japan Index Series............. 5,429
----------
Commercial Services (0.1%):
3 Benesse Corp. ...................... 721
8 Oyo Corp. .......................... 107
----------
828
----------
Computer Software (0.9%):
10 CSK Corp. .......................... 1,557
8 Konami Co., Ltd. ................... 1,498
5 Softbank Corp. ..................... 4,778
----------
7,833
----------
Construction (0.2%):
64 Daiwa House Industry Co., Ltd. ..... 475
103 Kumagai Gumi Co., Ltd. (b).......... 70
38 Okumura Corp. ...................... 128
72 Penta-Ocean Construction Co., Ltd.
(b)............................... 103
85 Sekisui House Ltd. ................. 753
97 Shimizu Corp. ...................... 320
----------
1,849
----------
</TABLE>
Continued
69
<PAGE> 72
- --------------------------------------------------------------------------------
One Group Mutual Funds
International Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Japan, continued:
67 Nippon Sheet Glass Co., Ltd. ....... $ 347
16 Shimano, Inc. ...................... 281
14 Tokyo Style Co., Ltd. .............. 115
48 Toto Ltd. .......................... 287
----------
1,030
----------
Cosmetics/Personal Care (0.1%):
48 Shisiedo Co., Ltd. ................. 699
----------
Data Processing & Reproduction (1.2%):
205 Fujitsu Ltd. ....................... 9,334
3 Trans Cosmos, Inc. ................. 1,406
----------
10,740
----------
Distribution (0.1%):
171 Itochu Corp. (b).................... 850
----------
Diversified (0.1%):
21 Amano Corp. ........................ 125
8 Sanrio Co., Ltd. ................... 295
18 Yamaha Corp. ....................... 117
----------
537
----------
Electrical & Electronic (1.5%):
44 Casio Computer Co., Ltd. ........... 365
19 Kyocera Corp. ...................... 4,868
251 Mitsubishi Electric Corp. .......... 1,619
38 Nikon Corp. ........................ 1,114
31 Omron Corp. ........................ 713
12 Rohm Co. ........................... 4,925
----------
13,604
----------
Electrical Equipment (0.3%):
19 Alps Electric Co., Ltd. ............ 289
8 SMC Corp. .......................... 1,702
10 Taiyo Yuden Co., Ltd. .............. 592
----------
2,583
----------
Electronic Components/Instruments (2.0%):
10 Adventest Corp. .................... 2,717
24 Fanuc Co., Ltd. .................... 3,000
4 Hirose Electric..................... 828
379 Hitachi Ltd. ....................... 6,074
183 NEC Corp. .......................... 4,354
70 Toshiba Corp. ...................... 534
18 Yokogawa Electric Corp. ............ 127
----------
17,634
----------
Electronics (0.1%):
18 Nitto Denko Corp. .................. 899
----------
</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. ................. $ 117
196 Nippon Oil Co. ..................... 862
----------
979
----------
Engineering (0.2%):
20 Daito Trust Construction Co.,
Ltd. ............................. 227
78 Fujita Corp. (b).................... 42
32 JGC Corp. (b)....................... 78
118 Kajima Corp. ....................... 352
177 Kawasaki Heavy Industries........... 235
45 Kinden Corp. ....................... 344
12 Maeda Road Construction............. 58
39 Nishimatsu Construction............. 156
81 Obayashi Corp. ..................... 383
23 Toa Corp. .......................... 31
----------
1,906
----------
Entertainment (0.2%):
7 Nintendo Co. ....................... 1,228
29 Toei................................ 160
2 Toho Co. ........................... 336
27 Tokyo Dome Corp. (b)................ 129
64 Tokyotokeiba........................ 88
----------
1,941
----------
Financial Services (1.2%):
18 Acom Co., Ltd. ..................... 1,741
152 Daiwa Securities Co., Ltd. ......... 2,374
36 Jaccs Co., Ltd. .................... 141
73 Nippon Shinpan Co. ................. 170
68 Nomura Securities Co. .............. 1,226
80 Nomura Securities Co., Ltd. (b)..... 1,442
65 Orient Corp. ....................... 188
8 Orix Corp. ......................... 1,867
10 Takefuji............................ 1,250
----------
10,399
----------
Food & Household Products (0.4%):
70 Ajinomoto Co., Inc. ................ 728
75 Kao Corp. .......................... 2,136
42 Nippon Meat Packers, Inc. .......... 544
14 Nissin Food Products................ 329
----------
3,737
----------
</TABLE>
Continued
70
<PAGE> 73
- --------------------------------------------------------------------------------
One Group Mutual Funds
International Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Japan, continued:
59 Daiei, Inc. (b)..................... $ 233
15 House Foods Industry................ 227
24 Kikkoman Corp. ..................... 159
42 Meiji Milk Products Co., Ltd. ...... 128
49 Nichirei Corp. ..................... 127
28 Nippon Suisan Kaisha Ltd. .......... 43
41 Snow Brand Milk..................... 165
27 Yamazaki Baking Co., Ltd. .......... 293
----------
1,375
----------
Forest Products (0.2%):
34 Mitsubishi Paper Mills.............. 46
106 New Oji Paper Co. .................. 638
92 Nippon Paper Industries Co. ........ 506
26 Sumitomo Forestry Co., Ltd. ........ 201
----------
1,391
----------
Gas & Electric Utility (1.0%):
120 Kansai Electric Power Co., Inc. .... 2,080
290 Osaka Gas Co. ...................... 697
90 Tohoku Electric Power............... 1,343
139 Tokyo Electric Power................ 3,716
340 Tokyo Gas Co., Ltd. ................ 827
----------
8,663
----------
Health & Personal Care (0.3%):
28 Chugai Pharmaceutical Co., Ltd. .... 302
49 Kyowa Hakko Kogyo Co., Ltd. ........ 294
55 Sankyo Co., Ltd. ................... 1,129
40 Yamanouchi Pharmaceutical Co.,
Ltd. ............................. 1,395
----------
3,120
----------
Hotels & Lodging (0.0%):
8 Fujita Kanko, Inc. ................. 48
----------
Industrial Goods & Services (0.7%):
95 Bridgestone Corp. .................. 2,089
101 Denso Corp. ........................ 2,407
39 Inax Co. ........................... 218
90 Mitsui Engineering & Shipbuilding
Co., Ltd. (b)..................... 62
48 NGK Insulators Ltd. ................ 356
31 NGK Spark Plug Co. ................. 283
85 Sumitomo Electric Industries........ 981
----------
6,396
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Japan, continued:
Insurance (0.3%):
92 Mitsui Marine & Fire Insurance Co.,
Ltd. ............................. $ 545
1 Nichido Fire & Marine Insurance Co.,
Ltd. ............................. 4
83 Sumitomo Marine & Fire Insurance.... 511
175 Tokio Marine & Fire Insurance
Co. .............................. 2,043
----------
3,103
----------
Jewelry (0.1%):
34 Citizen Watch Co., Ltd. ............ 216
12 Hoya Corp. ......................... 944
----------
1,160
----------
Leasing (0.2%):
26 Daiwa Kosho Lease................... 84
50 Yamato Transport Co., Ltd. ......... 1,934
----------
2,018
----------
Leisure (0.1%):
8 Namco .............................. 511
----------
Machinery & Equipment (1.0%):
38 Amada Co., Ltd. .................... 208
30 Brother Industries Ltd. ............ 69
20 Daifuku Co., Ltd. .................. 115
35 Daikin Industries Ltd. ............. 475
37 Ebara Corp. ........................ 412
116 Komatsu Ltd. ....................... 533
10 Komori Corp. ....................... 190
29 Koyo Seiko Co., Ltd. ............... 250
160 Kubota Corp. ....................... 611
18 Kurita Water........................ 286
9 Makino Milling Machine.............. 59
44 Minebea Co., Ltd. .................. 754
396 Mitsubishi Heavy Industries,
Ltd. ............................. 1,319
14 Mori Seiki.......................... 187
69 NSK Ltd. ........................... 471
63 NTN Corp. .......................... 186
18 Okuma Corp. ........................ 56
79 Sumitomo Heavy Industries Ltd.
(b)............................... 216
14 Takuma Co., Ltd. ................... 100
19 Tokyo Electron Ltd. ................ 2,559
26 Tsubakimoto Chain................... 95
----------
9,151
----------
</TABLE>
Continued
71
<PAGE> 74
- --------------------------------------------------------------------------------
One Group Mutual Funds
International Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Japan, continued:
Manufacturing-Capital Goods (0.7%):
48 Fujikura Ltd. ...................... $ 190
18 Kokuyo Co., Ltd. ................... 239
17 Makita Corp. ....................... 153
25 Murata Manufacturing Co., Ltd. ..... 5,863
39 Nippon Sharyo Ltd. ................. 84
19 Noritake Co., Ltd. ................. 67
15 Takara Standard..................... 74
----------
6,670
----------
Manufacturing-Consumer Goods (0.7%):
95 Canon, Inc. ........................ 3,769
57 Fuji Photo Film Co., Ltd. .......... 2,077
12 Sega Enterprises.................... 394
----------
6,240
----------
Materials (0.1%):
135 Asahi Glass Co., Ltd. .............. 1,043
59 Sumitomo Osaka Cement Co., Ltd. .... 78
----------
1,121
----------
Medical Supplies (0.0%):
24 Olympus Optical..................... 339
----------
Merchandising (0.6%):
36 ITO-Yokado Co., Ltd. ............... 3,905
37 JUSCO Co. .......................... 644
41 Marui Co., Ltd. .................... 611
----------
5,160
----------
Metals & Mining (0.2%):
82 Furukawa Electric Co. .............. 1,242
141 Hitachi Zosen Corp. (b)............. 106
51 Japan Steel Works (b)............... 56
86 Mitsubishi Materials Corp. (b)...... 210
32 Mitsui Mining & Smelting............ 151
37 Sumitomo Metal Mining Co. (b)....... 82
----------
1,847
----------
Office Equipment & Services (0.2%):
98 Dai Nippon Printing Co., Ltd. ...... 1,561
----------
Oil & Gas Exploration, Production & Services (0.0%):
11 Arabian Oil Co. .................... 187
76 Teikoku Oil Co. .................... 231
----------
418
----------
Packaging (0.0%):
26 Toyo Seikan Kaisha.................. 375
----------
Paper Products (0.1%):
9 Uni-Charm Corp. .................... 489
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Japan, continued:
Pharmaceuticals (0.3%):
34 Dai-Ichi Pharmaceuticals............ $ 442
36 Eisai Co., Ltd. .................... 691
40 Meiji Seika......................... 227
27 Shionogi & Co. ..................... 327
44 Taisho Pharmaceutical Co. .......... 1,290
----------
2,977
----------
Real Estate (0.2%):
140 Mitsubishi Estate Co. .............. 1,364
87 Mitsui Fudosan...................... 588
32 Tokyo Tatemono Co., Ltd. ........... 57
----------
2,009
----------
Restaurants (0.0%):
13 Skylark Co., Ltd. .................. 306
----------
Retail (0.2%):
9 Aoyama Trading Co., Ltd. ........... 193
24 Credit Saison Co., Ltd. ............ 416
37 Daimura, Inc. ...................... 125
30 Hankyu Department Stores............ 158
25 Isetan Co. ......................... 183
59 Mitsukoshi Ltd. (b)................. 208
44 Mycal Corp. ........................ 191
15 Seiyu (b)........................... 51
7 Shimachu Co. ....................... 92
39 Takashimaya Co. .................... 268
22 Uny Co., Ltd. ...................... 215
----------
2,100
----------
Services (0.5%):
30 Secom............................... 3,298
91 Toppan Printing Co., Ltd. .......... 907
----------
4,205
----------
Steel (0.3%):
364 Kawasaki Steel Corp. (b)............ 651
777 Nippon Steel Co. ................... 1,814
----------
2,465
----------
Storage (0.0%):
30 Mitsubishi Logistics Corp. ......... 192
39 Mitsui-Soko Co., Ltd. .............. 80
----------
272
----------
Telecommunications (2.6%):
19 Nippon Comsys Corp. ................ 394
1 Nippon Telegraph & Telephone
Corp. ............................ 23,426
----------
23,820
----------
</TABLE>
Continued
72
<PAGE> 75
- --------------------------------------------------------------------------------
One Group Mutual Funds
International Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Japan, continued:
Textile Products (0.2%):
31 Gunze Ltd. ......................... $ 82
91 Kanebo Ltd. (b)..................... 147
46 Kuraray Co., Ltd. .................. 465
101 Mitsubishi Rayon Co., Ltd. ......... 245
42 Nisshinbo Industries................ 190
22 Onward Kashiyama Co., Ltd. (b)...... 301
118 Teijin Ltd. ........................ 435
118 Toyobo Ltd. ........................ 153
18 Wacoal.............................. 158
----------
2,176
----------
Transportation & Shipping (0.4%):
0 East Japan Railway Co. (c).......... 2,337
31 Kamigumi Co., Ltd. ................. 130
61 Kawasaki Kisen Kaisha Ltd. ......... 91
135 Nippon Yusen Kabushiki Kaisha....... 551
17 Seino Transportation................ 90
----------
3,199
----------
Transportation -- Road & Railroad (0.3%):
95 Keihin Electric Express Railway..... 324
154 Kinki Nippon Railway................ 618
42 Nankai Electric Railway............. 172
123 Nippon Express Co., Ltd. ........... 680
0 Odakyu Electric Railway (c)......... 0
116 Tobu Railway Co., Ltd. ............. 340
131 Tokyu Corp. ........................ 319
----------
2,453
----------
Wholesale & International Trade (0.5%):
165 Marubeni Corp. ..................... 692
179 Mitsubishi Corp. ................... 1,380
182 Mitsui & Co. ....................... 1,272
125 Sumitomo Corp. ..................... 1,210
----------
4,554
----------
285,018
----------
MEXICO (0.8%):
Beverages & Tobacco (0.2%):
11 Compania Cervezas Unidas SA ADR..... 366
33 Grupo Continental SA................ 48
160 Grupo Modelo SA, Series C........... 437
----------
851
----------
Brewery (0.0%):
40 Fomento Economico Mexica UBD........ 178
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Mexico, continued:
Building Products (0.0%):
13 Apasco SA de CV..................... $ 81
23 Cemex SA de CV, Series CPO.......... 126
----------
207
----------
Diversified (0.0%):
32 ALFA SA de CV, Class A (b).......... 151
65 Desc SA de CV, Series B (b)......... 53
40 Grupo Carso SA de CV, Series A-1
(b)............................... 197
----------
401
----------
Engineering (0.0%):
60 Empresas ICA Sociedad Controladora
SA de CV.......................... 34
----------
Financial Services (0.1%):
76 Grupo Financiero Banamex Accival SA
de CV, Class B (b)................ 304
240 Grupo Financiero Bancomer-O......... 100
33 Grupo Financiero Inbursa SA de CV,
Class B (b)....................... 127
----------
531
----------
Food & Household Products (0.0%):
85 Kimberly-Clark de Mexico SA de CV,
Class A........................... 331
----------
Food Products & Services (0.0%):
22 Empresas La Moderna SA de CV (b).... 127
----------
Industrial Goods & Services (0.0%):
85 Grupo Industrial Bimbo SA de CV,
Series A (b)...................... 189
----------
Merchandising (0.1%):
124 Cifra SA de CV, Series C (b)........ 235
209 Cifra SA de CV, Series V (b)........ 418
----------
653
----------
Metals & Mining (0.0%):
33 Grupo Mexico SA, Series B........... 163
32 Industrias Penoles SA, Series CP.... 92
----------
255
----------
Retail-General Merchandise (0.0%):
25 Controladora Comercial Mexicana SA
de CV (b)......................... 33
39 Controladora Comercial Mexicana SA
de CV (b)......................... 45
----------
78
----------
</TABLE>
Continued
73
<PAGE> 76
- --------------------------------------------------------------------------------
One Group Mutual Funds
International Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Mexico, continued:
Retail-Stores/Catalog (0.0%):
35 Grupo Elektra SA.................... $ 34
----------
Telecommunications (0.4%):
16 Grupo Televisa SA, Series CPO (b)... 539
83 Telefonos de Mexico SA, Series A.... 468
329 Telefonos de Mexico SA, Series L.... 1,835
----------
2,842
----------
Transportation -- Shipping (0.0%):
30 Vitro SA............................ 56
----------
6,767
----------
NETHERLANDS (2.1%):
Appliances & Household Products (0.2%):
14 Philips Electronics NV.............. 1,846
----------
Banking (0.2%):
61 ABN AMRO Holding NV................. 1,520
----------
Beverages & Tobacco (0.1%):
14 Heineken NV......................... 665
----------
Broadcasting & Publishing (0.0%):
37 Elsevier NV......................... 436
----------
Chemicals (0.1%):
15 Akzo Nobel NV....................... 733
----------
Energy (0.5%):
80 Royal Dutch Petroleum............... 4,891
----------
Financial Services (0.3%):
38 ING Groep NV........................ 2,284
----------
Food Products & Services (0.2%):
23 Ahold (Kon) NV...................... 675
22 Unilever NV CVA..................... 1,219
----------
1,894
----------
Insurance (0.2%):
22 Aegon NV............................ 2,165
----------
Printing & Publishing (0.0%):
1 Wolters Kluwer CVA.................. 47
----------
Services (0.1%):
20 TNT Post Group NV................... 574
----------
Steel (0.0%):
20 Corus Group PLC ASA (b)............. 53
----------
Telecommunications-Services and Equipment (0.2%):
20 Koninklijke KPN..................... 1,950
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Netherlands, continued:
Transportation (0.0%):
2 KLM Royal Dutch Air................. $ 62
----------
19,120
----------
NEW ZEALAND (0.4%):
Appliances & Household Products (0.0%):
78 Fisher & Paykel..................... 295
----------
Beverages & Tobacco (0.0%):
125 Lion Nathan Ltd. ................... 291
----------
Building Products (0.0%):
89 Fletcher Challenge Building......... 130
----------
Financial Services (0.0%):
591 Brierley Investment (b)............. 123
----------
Forest Products (0.1%):
268 Carter Holt Harvey.................. 349
136 Fletcher Challenge Forestry (b)..... 55
125 Fletcher Challenge Paper............ 87
----------
491
----------
Oil & Gas (0.0%):
74 Fletcher Challenge Energy........... 192
----------
Telecommunications (0.3%):
358 Telecom Corp. of New Zealand
Ltd. ............................. 1,681
----------
3,203
----------
NORWAY (0.7%):
Airlines (0.0%):
17 SAS Norge ASA, B Shares............. 184
----------
Banking (0.2%):
114 Christiania Bank Og Kreditkasse..... 560
117 Den Norske Bank ASA................. 479
----------
1,039
----------
Computer Software (0.0%):
25 Merkantildata ASA................... 299
----------
Engineering (0.0%):
6 Kvaerner AS, Series B (b)........... 111
12 Kvaerner ASA (b).................... 246
----------
357
----------
Environmental Services (0.0%):
13 Tomra Systems ASA................... 224
----------
Forest Products (0.0%):
6 Norske Skogsindustrier ASA.......... 259
----------
Insurance (0.0%):
54 Storebrand ASA (b).................. 410
----------
</TABLE>
Continued
74
<PAGE> 77
- --------------------------------------------------------------------------------
One Group Mutual Funds
International Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Norway, continued:
Manufacturing-Consumer Goods (0.1%):
31 Orkla ASA, Series A................. $ 534
----------
Medical Equipment & Supplies (0.0%):
43 Hafslund ASA, Class B............... 167
11 Hafslund ASA, Series A.............. 67
----------
234
----------
Metals & Mining (0.0%):
15 Elkem ASA........................... 337
----------
Oil & Gas (0.1%):
18 Petroleum Geo-Services ASA (b)...... 323
7 Smedvig ASA, A Shares............... 81
6 Swedvig ASA, B Shares............... 65
----------
469
----------
Oil & Gas Exploration, Production & Services (0.3%):
43 Norsk Hydro ASA..................... 1,801
----------
Printing & Publishing (0.0%):
11 Schibsted ASA....................... 208
----------
Transportation & Shipping (0.0%):
17 Leif Hoegh & Co. ASA................ 207
----------
6,562
----------
PHILIPPINES (0.4%):
Banking (0.0%):
33 Security Bank Corp. (b)............. 30
35 Union Bank Philippines (b).......... 36
----------
66
----------
Banking & Finance (0.1%):
89 Metropolitan Bank & Trust Co. ...... 642
55 Philippine National Bank (b)........ 130
----------
772
----------
Beverages & Tobacco (0.0%):
199 San Miguel Corp., Class B........... 283
----------
Building Products (0.0%):
710 DMCI Holdings, Inc. (b)............. 19
2,543 Southeast Asia Cement Holdings, Inc.
(b)............................... 30
----------
49
----------
Electronic Components/Instruments (0.0%):
149 Ionics Circuit, Inc. (b)............ 52
----------
Food Products & Services (0.0%):
300 Universal Robina Corp. ............. 54
----------
Oil & Gas Exploration, Production & Services (0.0%):
1,928 Petron Corp. ....................... 154
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Philippines, continued:
Real Estate (0.1%):
920 Ayala Land, Inc. ................... $ 241
825 Filinvest Land, Inc. (b)............ 84
3,802 SM Prime Holdings, Inc. ............ 720
----------
1,045
----------
Telecommunications (0.2%):
71 Manila Electric Co., Class B........ 202
37 Philippine Long Distance Telephone
Co. .............................. 943
----------
1,145
----------
Transportation & Shipping (0.0%):
137 International Container Terminal
Services, Inc. (b)................ 12
----------
3,632
----------
PORTUGAL (0.6%):
Banking (0.3%):
179 Banco Commercial Portuguese......... 995
14 Banco Espirito Santo e Commerical de
Lisboa SA, Registered Shares...... 404
143 BPI-SGPS SA, Registered Shares...... 611
----------
2,010
----------
Beverages & Tobacco (0.0%):
0 UNICER-Uniao Cervejeira SA (c)...... 1
----------
Building Products (0.0%):
16 Cimpor-Cimentos de Portugal, SGPS
SA................................ 261
----------
Electric Utility (0.1%):
46 Electricidade de Portugal SA........ 810
----------
Food & Household Products (0.0%):
14 Estabelecimentos Jeronimo Martins &
Filho SA.......................... 361
----------
Industrial Holding Company (0.0%):
4 Sonae Investimentos SA.............. 227
----------
Retail-General Merchandise (0.0%):
8 Modelo Continente-Sociedade Gestora
de Participacoes Sociais SA....... 152
----------
Telecommunications (0.2%):
160 Portugal Telecom SA................. 1,751
----------
Transportation (0.0%):
31 Brisa Auto-Estradas................. 242
----------
5,815
----------
SINGAPORE (0.5%):
Automotive (0.0%):
20 Cycle & Carriage.................... 62
----------
</TABLE>
Continued
75
<PAGE> 78
- --------------------------------------------------------------------------------
One Group Mutual Funds
International Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Singapore, continued:
Banking (0.1%):
33 Oversea -- Chinese Banking Corp.,
Ltd. ............................. $ 299
40 United Overseas Bank (b)............ 354
----------
653
----------
Conglomerates (0.0%):
654 United Industries................... 369
----------
Electrical Equipment (0.0%):
5 Creative Technology Ltd. ........... 91
----------
Health Care (0.0%):
52 Parkway Holdings.................... 118
----------
Machinery & Equipment (0.0%):
86 Keppel Corp. ....................... 225
----------
Printing & Publishing (0.2%):
44 Singapore Press Hd.................. 962
----------
Real Estate (0.0%):
38 City Developments Ltd. ............. 222
106 DBS Land Ltd. ...................... 209
----------
431
----------
Telecommunications (0.2%):
501 Singapore Telecommunications Ltd.
(c)............................... 1,035
----------
Transportation & Shipping (0.0%):
176 Neptune Orient Lines Ltd. (b)....... 236
----------
4,182
----------
SOUTH AFRICA (0.5%):
Banking & Finance (0.1%):
32 Amalgamated Banks of South Africa... 142
4 Investec Group Ltd. ................ 186
13 Nedcor Ltd. ........................ 285
4 Standard Bank....................... 16
----------
629
----------
Brewery (0.0%):
1 Edgars Stores....................... 16
33 South African Breweries Ltd. ....... 339
----------
355
----------
Computer Hardware (0.0%):
31 Dimension Data Holdings Ltd. (b).... 193
----------
</TABLE>
<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. .......... $ 9
9 Aveng Ltd. (b)...................... 11
13 Barlow Ltd. ........................ 96
12 Imperial Holdings Ltd. (b).......... 129
24 Rembrandt Group Ltd. ............... 225
----------
470
----------
Engineering (0.0%):
31 Murray & Roberts Holdings Ltd. ..... 23
----------
Entertainment (0.0%):
55 Sun International (South Africa)
Ltd. ............................. 12
----------
Food & Household Products (0.0%):
9 Tiger Oats Ltd. .................... 98
----------
Forest Products (0.0%):
19 Nampak Ltd. ........................ 57
13 Sappi Ltd. ......................... 123
----------
180
----------
Industrial Goods & Services (0.0%):
42 African Oxygen Ltd. ................ 90
----------
Insurance (0.1%):
342 Firstrand Ltd. ..................... 490
15 Liberty Life Association of Africa
Ltd. ............................. 177
33 Metropolitan Life Ltd. ............. 58
----------
725
----------
Metals (0.0%):
3 Anglogold Ltd. ..................... 148
14 Iscor Ltd. ......................... 54
4 Western Areas Gold Mining (b)....... 15
----------
217
----------
Metals & Mining (0.2%):
19 DeBeers Centenary AG................ 559
39 Driefontein Consolidated Ltd. ...... 190
8 Randfontein Estates Gold Mining
Co. .............................. 11
12 Rustenburg Platinum Holdings
Ltd. ............................. 350
----------
1,110
----------
Oil & Gas Exploration, Production & Services (0.0%):
37 Sasol Ltd. ......................... 304
----------
Printing & Publishing (0.0%):
8 Nasionale Pers Beperk, Series N..... 79
----------
Retail-Stores/Catalog (0.0%):
13 Pepkor Ltd. ........................ 60
----------
</TABLE>
Continued
76
<PAGE> 79
- --------------------------------------------------------------------------------
One Group Mutual Funds
International Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<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)............. $ 11
18 Mih Holdings Ltd. (b)............... 106
----------
117
----------
4,662
----------
SPAIN (3.5%):
Agriculture (0.0%):
9 Azucarera Ebro Agricolas............ 136
----------
Automotive (0.0%):
8 Autopistas Cesa..................... 79
----------
Banking (1.3%):
67 Argentaria SA....................... 1,568
258 Banco Bilbao Vizcaya................ 3,673
462 Banco Santander Central
Hispanoamericano.................. 5,231
----------
10,472
----------
Beverages & Tobacco (0.0%):
29 Tabacalera SA....................... 412
----------
Building Products (0.0%):
9 Uralita SA.......................... 60
----------
Construction (0.0%):
4 ACS, Actividades de Construccion y
Servicios SA...................... 106
----------
Drugs (0.0%):
1 Fabrica Espanola de Productos
Quimicos y Farmaceuticos.......... 9
----------
Energy (0.3%):
4 Aquas de Barcelona.................. 62
114 Repsol SA, Bearer Shares............ 2,633
----------
2,695
----------
Engineering (0.0%):
21 Grupo Dragados SA................... 185
----------
Food Products & Services (0.0%):
16 Puleva SA (b)....................... 24
22 Telepizza SA (b).................... 94
----------
118
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Spain, continued:
Gas & Electric Utility (0.5%):
43 Empresa Nacional de Electricidad
SA................................ $ 615
96 Endesa SA........................... 1,909
12 Fomento De Construc Y Contra........ 240
89 Iberdrola SA........................ 1,234
32 Union Electric Fenosa SA............ 551
----------
4,549
----------
Hotels & Lodging (0.0%):
8 Sol Melia SA........................ 92
----------
Industrial Holding Company (0.1%):
14 Corporacion Financiara Alba......... 493
----------
Insurance (0.0%):
15 Corporacion Mapfre.................. 242
----------
Metals (0.0%):
8 Acerinox SA......................... 335
----------
Miscellaneous Materials & Commodities (0.0%):
13 Viscofan Industra Navarra de
Envolturas Celulosicas SA......... 101
----------
Oil & Gas Exploration, Production & Services (0.1%):
50 Gas Natural SDG..................... 1,162
----------
Real Estate (0.0%):
7 Inmobiliaria Metro.................. 127
15 Vallehermoso SA..................... 106
----------
233
----------
Telecommunications (1.2%):
417 Telefonica de Espana (b)............ 10,430
----------
31,909
----------
SWEDEN (1.5%):
Automotive (0.1%):
2 Volvo AB, A Shares.................. 48
19 Volvo AB, Series B.................. 488
----------
536
----------
Banking & Finance (0.2%):
38 Skandiaviska Enskilda Banken, Class
A................................. 384
25 Sparbanken Sverige AB, Swedbank..... 366
34 Svenska Handelsbanken, A Shares..... 432
----------
1,182
----------
Computer Hardware (0.0%):
2 Wm-Data AB, B Shares................ 108
----------
Consumer Goods & Services (0.0%):
18 Securitas AB, B Shares.............. 330
----------
</TABLE>
Continued
77
<PAGE> 80
- --------------------------------------------------------------------------------
One Group Mutual Funds
International Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Sweden, continued:
Engineering (0.1%):
7 ABB Ltd. (b)........................ $ 831
5 Drott AB............................ 60
5 Skanska AB, Series B................ 196
----------
1,087
----------
Forest Products (0.0%):
14 Svenska Cellulosa AB, Series B...... 406
----------
Insurance (0.1%):
27 Skandia Forsakrings AB.............. 811
----------
Machinery & Equipment (0.0%):
11 Atlas Copco AB, Series A............ 330
----------
Manufacturing-Consumer Goods (0.0%):
16 Electrolux AB, Series B............. 409
----------
Metals & Mining (0.0%):
3 Boliden Limited (b)................. 10
6 SKF AB, Series B.................... 145
8 Trelleborg AB, Series B............. 72
----------
227
----------
Office Equipment & Services (0.0%):
5 Esselte AB, Series B................ 35
----------
Retail-Special Line (0.2%):
39 Hennes & Mauritz, B Shares.......... 1,308
----------
Telecommunications (0.8%):
99 Telefonaktiebolaget LM Ericsson,
Series B.......................... 6,399
----------
Telecommunications-Services and Equipment (0.0%):
5 Netcom AB B (b)..................... 359
----------
13,527
----------
SWITZERLAND (1.4%):
Commercial Services (0.1%):
1 Adecco SA (b)....................... 466
0 Adecco SA, Registered Shares (c).... 273
0 Societe Generale de Surveillance
Holdings SA (b)(c)................ 126
----------
865
----------
Diversified (0.1%):
7 ABB AG (b).......................... 832
0 Alusuisse-Lonza Holding AG,
Registered Shares (c)............. 111
----------
943
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Switzerland, continued:
Financial Services (0.3%):
7 CS Holding AG, Registered Shares.... $ 1,389
6 Union Bank of Switzerland AG,
Registered Shares................. 1,516
----------
2,905
----------
Food Products & Services (0.2%):
1 Nestle SA, Registered Shares........ 1,447
----------
Insurance (0.2%):
0 Swiss Reinsurance Co., Registered
Shares (c)........................ 698
1 Zurich Allied AG.................... 753
----------
1,451
----------
Jewelry (0.0%):
1 Swatch Group AG, Registered
Shares............................ 268
----------
Pharmaceuticals (0.4%):
1 Novartis AG, Bearer Shares.......... 2,046
0 Roche Holding AG (c)................ 767
0 Roche Holding AG, Bearer Shares
(c)............................... 1,756
----------
4,569
----------
Telecommunications (0.1%):
1 Swisscom AG, Registered Shares...... 570
----------
13,018
----------
THAILAND (0.7%):
Auto Parts (0.0%):
141 Thairung Union Car Public Co. (b)... 141
----------
Beverages & Tobacco (0.0%):
6 Serm Suk Co., Ltd. ................. 30
----------
Broadcasting/Cable (0.0%):
307 United Broadcasting (b)............. 332
----------
Building Products (0.1%):
31 Siam Cement, Foreign Registered
Shares (b)........................ 1,031
73 Tipco Asphalt Co., Ltd. (b)......... 66
----------
1,097
----------
Computer Hardware (0.2%):
144 K.R. Precision Public Co. (b)....... 112
124 Shinawatra Computer PLC (b)......... 1,175
----------
1,287
----------
Construction (0.0%):
106 Italian-Thai Development Public Ltd.
(b)............................... 140
----------
Cosmetics/Personal Care (0.0%):
57 I.C.C. International Pcl............ 111
----------
</TABLE>
Continued
78
<PAGE> 81
- --------------------------------------------------------------------------------
One Group Mutual Funds
International Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Thailand, continued:
Electric Utility (0.0%):
144 Electricity Generating Public Co.,
Ltd. ............................. $ 179
----------
Electronic Components/Instruments (0.0%):
70 Hana Microelectronics Co., Ltd.,
Foreign Registered Shares (b)..... 333
----------
Oil & Gas (0.1%):
87 PTT Exploration & Production........ 533
----------
Paper Products (0.0%):
242 Advance Agro Public Co., Ltd. (b)... 138
----------
Printing & Publishing (0.0%):
189 Nation Multimedia Group PLC (b)..... 95
282 Nation Multimedia Group, Foreign
Registered Shares (b)............. 150
----------
245
----------
Restaurants (0.0%):
31 Pizza Co., Ltd. .................... 60
----------
Telecommunications (0.3%):
1,103 TelecomAsia Corp., Foreign
Registered Shares (b)............. 1,437
----------
6,063
----------
TURKEY (1.3%):
Appliances & Household Products (0.1%):
8,642 Arcelik AS.......................... 566
----------
Automotive (0.0%):
6,566 Otosan Otomobil Sanayii AS (b)...... 291
9,841 Tofas Turk Otomobil Fabrikas AS
(b)............................... 120
----------
411
----------
Banking & Finance (0.1%):
84,136 Turkiye Garanti Bankasi AS (b)...... 1,273
----------
Beverages & Tobacco (0.0%):
3,006 Ege Biracilik ve Malt Sanayi AS..... 230
----------
Building Products (0.1%):
10,347 Akcansa Cimento AS.................. 233
1,967 Cimentas AS (b)..................... 79
3,996 Cimsa Cimento Sanayi ve Ticaret
AS................................ 100
10,429 Trakya Cam Sanayii (b).............. 133
----------
545
----------
Diversified (0.0%):
4,066 Alarko Holding (b).................. 232
1,173 Ihlas Holding (b)................... 88
----------
320
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Turkey, continued:
Electrical & Electronic (0.0%):
1,071 Raks Elektronik (b)................. $ 4
----------
Electronics (0.0%):
1,069 Vestel Elektronik Sanayi (b)........ 256
----------
Financial Services (0.8%):
82,463 Turkiye Is Bankasi AS, Class C...... 3,956
14 Turkiye Is Bankasi, Class B......... 47
74,023 Yapi ve Kredi Bankasi AS............ 2,287
----------
6,290
----------
Food Products & Services (0.0%):
2,158 Tat Konserve Sanayii AS (b)......... 54
----------
Forest Products (0.0%):
569 Kartonsan Karton Sanayi ve Ticaret
AS................................ 36
----------
Industrial Goods & Services (0.0%):
2,275 Kordsa Kord Bezi Sanayi ve Ticaret
AS................................ 74
----------
Manufacturing-Capital Goods (0.0%):
2,833 Turk Demir Dokum Fabrikalari AS
(b)............................... 61
----------
Metals & Mining (0.1%):
10,971 Eregli Demir ve Celik Fabrikalari
TAS (b)........................... 455
----------
Oil & Gas Exploration, Production & Services (0.0%):
1,263 Aygaz AS............................ 245
----------
Pharmaceuticals (0.0%):
7,048 Eczacibasi Ilac Sanayi Ve Ti (b).... 192
----------
Telecommunications (0.0%):
124 Cukurova Elektrik AS................ 149
1,525 Netas-Northern Elektrik
Telekomunikasyon AS (b)........... 202
----------
351
----------
Textile Products (0.0%):
1,711 Aksa Akrilik Kimya Sanayii AS (b)... 80
----------
Tire & Rubber (0.0%):
931 Brisa Bridgestone Sabanci Lastik
SAN, ve Tic AS.................... 56
2,157 Goodyear Lastikleri TAS (b)......... 57
----------
113
----------
Wholesale Distribution (0.1%):
904 Migros Turk TAS..................... 583
----------
12,139
----------
</TABLE>
Continued
79
<PAGE> 82
- --------------------------------------------------------------------------------
One Group Mutual Funds
International Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
UNITED KINGDOM (7.6%):
Advertising (0.1%):
30 WPP Group PLC....................... $ 472
----------
Aerospace & Military Technology (0.1%):
124 British Aerospace PLC............... 821
14 British Aerospace PLC (b)........... 21
33 Smiths Industries PLC............... 484
----------
1,326
----------
Airlines (0.0%):
10 BAA PLC............................. 66
57 British Airways PLC................. 367
----------
433
----------
Appliances & Household Products (0.0%):
32 EMI Group PLC....................... 311
----------
Banking (0.8%):
55 Abbey National PLC.................. 870
53 Barclays PLC........................ 1,535
289 HSBC Holdings PLC................... 4,008
34 Royal Bank of Scotland Group PLC.... 592
11 Schroders........................... 205
----------
7,210
----------
Beverages & Tobacco (0.2%):
53 British American Tobacco PLC........ 298
133 Diageo PLC.......................... 1,071
----------
1,369
----------
Brewery (0.0%):
36 Bass PLC............................ 443
----------
Broadcasting/Cable (0.1%):
64 British Sky Broadcasting Group
PLC............................... 1,037
----------
Building Products (0.1%):
19 Tarmac PLC.......................... 177
68 Williams Holdings................... 310
----------
487
----------
Business Service (0.1%):
30 Hays................................ 478
----------
Chemicals (0.0%):
33 Imperial Chemical Industries PLC.... 350
----------
Closed End Funds (0.2%):
82 Webs -- United Kingdom Index
Series............................ 1,768
----------
Commercial Services (0.0%):
15 Logica PLC.......................... 385
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
United Kingdom, continued:
Computer Software (0.1%):
10 Misys PLC........................... $ 161
40 The Sage Group PLC.................. 488
----------
649
----------
Conglomerates (0.1%):
55 Allied Zurich PLC................... 656
----------
Construction (0.0%):
22 Taylor Woodrow PLC.................. 47
----------
Diversified (0.1%):
132 Invensys PLC........................ 720
83 Rentokil Initial PLC................ 302
----------
1,022
----------
Electric Utility (0.1%):
79 National Grid....................... 601
56 Scottish Power...................... 421
----------
1,022
----------
Electrical & Electronic (0.3%):
6 Arm Holdings PLC (b)................ 401
15 Dixons Group PLC.................... 361
29 Electrocomponents PLC............... 324
100 Marconin PLC........................ 1,767
----------
2,853
----------
Energy (0.9%):
690 Amoco PLC........................... 6,953
144 Centrica PLC........................ 416
----------
7,369
----------
Engineering (0.0%):
14 Barratt Developments PLC............ 63
----------
Financial Services (0.4%):
79 Halifax PLC......................... 871
188 Lloyds TSB Group PLC................ 2,342
----------
3,213
----------
Food & Household Products (0.1%):
85 Cadbury Schweppes PLC............... 497
100 Unilever PLC........................ 696
----------
1,193
----------
Food Products & Services (0.1%):
6 Compass Group....................... 80
91 J Sainsbury PLC..................... 513
----------
593
----------
Forest Products (0.0%):
31 Arjo Wiggins Appleton............... 102
----------
</TABLE>
Continued
80
<PAGE> 83
- --------------------------------------------------------------------------------
One Group Mutual Funds
International Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
United Kingdom, continued:
Health & Personal Care (0.8%):
127 Glaxo Wellcome PLC.................. $ 3,583
80 Zeneca PLC.......................... 3,309
----------
6,892
----------
Industrial Holding Company (0.0%):
47 Hanson PLC.......................... 392
----------
Insurance (0.3%):
49 Commercial Union PLC................ 774
189 Legal & General Group PLC........... 515
73 Prudential Corp. PLC................ 1,431
----------
2,720
----------
Investment Company (0.0%):
20 3I Group PLC........................ 359
----------
Leisure (0.1%):
96 Granada Group PLC................... 968
30 Ladbroke Group PLC.................. 94
31 Rank Group PLC...................... 97
----------
1,159
----------
Machinery & Equipment (0.1%):
43 GKN PLC............................. 703
----------
Medical Supplies (0.0%):
25 Nycomed Amersham PLC................ 161
----------
Metals (0.0%):
89 Corus Group PLC..................... 231
----------
Metals & Mining (0.1%):
43 RTZ Corp., PLC, Registered Shares... 1,021
----------
Oil & Gas Exploration, Production & Services (0.1%):
135 BG Group............................ 862
61 LASMO PLC........................... 117
51 Pilkington PLC...................... 69
----------
1,048
----------
Paper Products (0.0%):
32 Rexam PLC New....................... 128
----------
Pharmaceuticals (0.3%):
193 SmithKline Beecham PLC.............. 2,454
----------
Printing & Publishing (0.2%):
20 Pearson............................. 636
41 Reed International PLC.............. 306
62 Reuters Group....................... 850
----------
1,792
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
United Kingdom, continued:
Real Estate (0.1%):
19 British Land Co., PLC............... $ 123
25 Canary Wharf Group PLC (b).......... 155
21 Land Securities PLC................. 233
----------
511
----------
Real Estate Investment Trust (0.0%):
23 Peninsular & Oriental Steam
Navigation Co. ................... 380
----------
Retail-General Merchandise (0.1%):
45 Kingfisher.......................... 499
----------
Retail-Stores/Catalog (0.2%):
44 Boots Co., PLC...................... 426
41 Great Universal Stores PLC.......... 227
99 Marks & Spencer PLC................. 472
282 Tesco PLC........................... 861
----------
1,986
----------
Telecommunications (1.3%):
232 British Telecommunications PLC...... 5,610
61 Cable & Wireless PLC................ 1,035
44 National Power PLC.................. 250
867 Vodaphone Group PLC................. 4,274
----------
11,169
----------
Transportation -- Road & Railroad (0.0%):
21 Railtrack Group PLC................. 341
----------
68,797
----------
Total Common Stocks 875,204
----------
CORPORATE BONDS (0.0%):
SPAIN (0.0%):
Banking (0.0%):
$ 1 Banco Santander, 2.00%, 10/01/03.... 30
----------
UNITED KINGDOM (0.0%):
Oil & Gas Transmission (0.0%):
19 BG Transco Holdings, 4.19%,
12/14/22*......................... 31
19 BG Transco Holdings, 7.00%,
12/16/24.......................... 30
19 BG Transco Holdings, 7.06%,
12/14/09*......................... 30
----------
91
----------
Total Corporate Bonds 121
----------
</TABLE>
Continued
81
<PAGE> 84
- --------------------------------------------------------------------------------
One Group Mutual Funds
International Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
OPALS (1.2%):
KOREA (0.6%):
40 Morgan Stanley Composite Index...... $ 5,149
----------
TAIWAN (0.6%):
36 Morgan Stanley Composite Index...... 5,275
----------
Total OPALS 10,424
----------
PREFERRED STOCKS (0.7%):
BRAZIL (0.6%):
Banking (0.1%):
33,519 Banco Bradesco SA................... 264
6,230 Banco Itau SA....................... 537
----------
801
----------
Beverages & Tobacco (0.0%):
207 Companhia Cervejaria Brahma......... 152
----------
Electric Utility (0.1%):
20,012 Centrais Electricas Brasilieras
SA................................ 479
3,761 Companhia Energetica de Minas
Gerais............................ 85
----------
564
----------
Oil & Gas Exploration, Production & Services (0.2%):
5,931 Petroleo Brasileiro SA.............. 1,516
----------
Steel (0.1%):
29 Companhia Vale do Rio Doce, Series
A................................. 797
----------
Telecommunications (0.1%):
10,020 Embratel Participacoes.............. 259
9,577 Tele Centro Sul Participacoes....... 176
11,477 Tele Norte Leste Participacoes
(b)............................... 308
8,938 Telesp Celular Participacoes........ 159
441 Telesp Celular SA................... 35
11,773 Telesp Participacoes SA............. 287
3,900 Telesudeste Celular................. 29
----------
1,253
----------
5,083
----------
GERMANY (0.1%):
Automotive (0.1%):
16 Volkswagen.......................... 518
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
PREFERRED STOCKS, CONTINUED:
Germany, continued:
Building Products (0.0%):
5 Dyckerhoff AG....................... $ 144
----------
Gas & Electric Utility (0.0%):
11 RWE AG.............................. 331
----------
Machinery & Equipment (0.0%):
5 Rheinmetall AG...................... 48
----------
Textile Products (0.0%):
1 Escada AG........................... 68
----------
1,109
----------
ITALY (0.0%):
Automotive (0.0%):
24 Fiat SpA............................ 343
----------
Total Preferred Stocks 6,535
----------
RIGHTS-FOREIGN SECURITIES (0.0%):
BRAZIL (0.0%):
Banking (0.0%):
33,519 Banco Bradesco (b).................. 9
----------
Total Rights-Foreign Securities 9
----------
U.S. TREASURY OBLIGATIONS (0.1%):
U.S. Treasury Notes (0.1%):
$ 575 6.25%, 5/31/00 (d).................. 576
----------
Total U.S. Treasury Obligations 576
----------
WARRANTS (0.0%):
MEXICO (0.0%):
Building Products (0.0%):
1 Cemex SA ADR (b).................... 0
----------
Total Warrants 0
----------
INVESTMENT COMPANIES (0.4%):
UNITED STATES (0.4%):
3,259 One Group Prime Money Market Fund,
Class I........................... 3,259
----------
Total Investment Companies 3,259
----------
</TABLE>
Continued
82
<PAGE> 85
- --------------------------------------------------------------------------------
One Group Mutual Funds
International Equity Index Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL (14.2%):
Commercial Paper (3.6%):
$32,841 Sigma Finance, 6.00%, 3/2/00........ $ 32,345
----------
Investment Companies (1.7%):
15,281 One Group Prime Money Market Fund,
Class I........................... 15,281
----------
Put Bonds (1.7%):
$15,281 Morgan Stanley, 5.25%, 1/28/00*..... 15,281
----------
Repurchase Agreements (7.2%):
61,125 Lehman Brothers, 4.85%, 1/3/00,
(Collateralized by 1,437 various
Equity Securities, market value
$64,360).......................... 61,125
4,087 Lehman Brothers, 4.65%,1/3/00,
(Collateralized by $4,291 various
Commercial Paper, 0.00%-0.00%,
1/10/00 - 5/23/00, market value
$4,291)........................... 4,087
----------
65,212
----------
Total Short-Term Securities Held as Collateral 128,119
----------
Total (Cost $697,459) (a) $1,024,247
==========
</TABLE>
- ------------
Percentages indicated are based on net assets of $899,673.
(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...................... $367,884
Unrealized depreciation...................... (41,096)
--------
Net unrealized appreciation.................. $326,788
========
</TABLE>
(b) Non-income producing securities.
(c) Rounds to less than 1,000.
(d) Serves as collateral for Future Contracts.
* The interest rate for this variable rate bond, 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 December 31,
1999.
<TABLE>
<S> <C>
ADR American Depository Receipt
GDR Global Depository Receipt
</TABLE>
See notes to financial statements.
83
<PAGE> 86
- --------------------------------------------------------------------------------
One Group Mutual Funds
Diversified International Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
CORPORATE BONDS (0.0%):
UNITED KINGDOM (0.0%):
Gas-Distribution (0.0%):
$ 36 BG Transco Holdings PLC, 7.00%,
12/16/24........................... $ 56
36 BG Transco Holdings PLC, 7.06%,
12/14/09*.......................... 59
36 BG Transco Holdings PLC, 4.19%,
12/14/22*.......................... 58
--------
173
--------
Total Corporate Bonds 173
--------
COMMON STOCKS (96.5%):
ARGENTINA (1.0%):
Banking & Finance (0.2%):
230 Banco De Galicia Bue, Class B........ 1,141
58 Banco Frances Rio SA................. 461
--------
1,602
--------
Beverages & Tobacco (0.0%):
0 Buenos Aires Embottelladora SA, Class
B (b)(c)........................... 1
--------
Construction (0.1%):
291 Astra Cia Argentin (b)............... 619
--------
Metals & Mining (0.1%):
38 Siderar SA, Class A.................. 154
489 Siderca SA........................... 1,026
--------
1,180
--------
Oil & Gas Exploration, Production & Services (0.2%):
300 Perez Companc SA..................... 1,535
--------
Telecommunications (0.4%):
966 Telefonica de Argentina SA, Class
B.................................. 2,963
--------
7,900
--------
AUSTRALIA (1.4%):
Banking (0.3%):
42 Australia & New Zealand Banking Group
Ltd. .............................. 305
89 National Australia Bank Ltd. ........ 1,360
131 Westpac Banking Corp., Ltd. ......... 897
--------
2,562
--------
Broadcasting & Publishing (0.1%):
91 News Corp., Ltd. .................... 879
--------
Building Products (0.0%):
80 CSR Ltd. ............................ 194
--------
Chemicals (0.1%):
84 Orica Ltd. .......................... 450
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Australia, continued:
Containers & Packaging (0.0%):
51 Amcor Ltd. .......................... $ 236
--------
Electric Integrated (0.0%):
175 Contact Energy....................... 306
--------
Metals (0.1%):
36 Rio Tinto Ltd. ...................... 768
--------
Metals & Mining (0.4%):
139 Broken Hill Proprietary Co., Ltd. ... 1,818
82 Santos Ltd. ......................... 224
182 WMC Ltd. ............................ 999
--------
3,041
--------
Oil & Gas Exploration, Production & Services (0.0%):
100 Oil Search Ltd. (b).................. 131
--------
Real Estate (0.1%):
45 Lend Lease Corp. .................... 632
--------
Retail-Stores/Catalog (0.1%):
47 Coles Myer Ltd. ..................... 243
46 Woolworth Ltd. ...................... 158
--------
401
--------
Services (0.0%):
14 Brambles Industries Ltd. ............ 373
--------
Telecommunications-Services and Equipment (0.2%):
390 Cable & Wireless Optus Ltd. (b)...... 1,299
--------
11,272
--------
BELGIUM (1.5%):
Banking (0.1%):
17 Kredietbank NV....................... 900
--------
Chemicals (0.3%):
29 Solvay SA............................ 2,367
--------
Construction (0.0%):
2 Glaverbel Mecansa.................... 130
--------
Electric Utility (0.1%):
3 Suez Lyonnaise Des Eaux.............. 544
3 Suez Lyonnaise Des Eaux Strip (b).... 0
--------
544
--------
Industrial Holding Company (0.1%):
3 Groupe Bruxelles Lambert SA.......... 658
--------
Insurance (0.2%):
51 Fortis............................... 1,857
--------
</TABLE>
Continued
84
<PAGE> 87
- --------------------------------------------------------------------------------
One Group Mutual Funds
Diversified International Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Belgium, continued:
Merchandising (0.1%):
9 Bekaert SA........................... $ 516
2 Delhaize-Le Lion SA.................. 136
--------
652
--------
Metals & Mining (0.0%):
8 Union Miniere Group.................. 300
--------
Oil & Gas (0.4%):
26 Total Fina SA Class B................ 3,457
26 Total Fina SA Strip (b)(c)........... 0
--------
3,457
--------
Telecommunications-Services and Equipment (0.2%):
4 Electrabel SA........................ 1,332
--------
12,197
--------
BRAZIL (1.9%):
Electric Utility (0.2%):
77 Centrais Eletricas Brasileiras ADR... 926
8 Centrais Geradoras do Sul do Brasil
ADR................................ 42
30 Companhia Energetica de Minas Gerais
ADR................................ 685
--------
1,653
--------
Financial Services (0.2%):
62 Unibanco Holdings GDR................ 1,868
--------
Food Products & Services (0.1%):
20 Pao De Acucar GDR.................... 646
--------
Industrial Holding Company (0.1%):
20 Aracruz Celulose ADR................. 512
--------
Metals & Mining (0.1%):
21 Compania Vale do Rio Doce ADR........ 585
--------
Oil & Gas Exploration, Production & Services (0.2%):
56 Petroleo Brasileiro ADR.............. 1,436
--------
Paper Products (0.0%):
8 Klabin Fabricadora ADR............... 67
--------
Steel (0.0%):
6 Sider Nacional ADR................... 221
--------
Telecommunications (0.0%):
57 Telecomunicacoes Brasileiras SA
ADR................................ 1
--------
Telecommunications-Services and Equipment (1.0%):
28 Globo Cabo SA ADR.................... 504
57 Telecomunicacoes Brasileiras SA
ADR................................ 7,325
--------
7,829
--------
14,818
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
CHILE (0.3%):
Airlines (0.0%):
10 Lan Chile Sponsored ADR.............. $ 76
--------
Electric Utility (0.0%):
10 Gener SA ADR......................... 155
--------
Financial Services (0.0%):
14 Banco Santander ADR.................. 214
--------
Gas & Electric Utility (0.1%):
27 Enersis SA ADR....................... 639
--------
Telecommunications (0.2%):
50 Telecomunicaciones de Chile SA ADR... 912
--------
1,996
--------
DENMARK (1.4%):
Banking & Finance (0.2%):
14 Danske Bank.......................... 1,509
7 Unidanmark A/S, Class A.............. 474
--------
1,983
--------
Beverages & Tobacco (0.0%):
3 Carlsberg A/S, Class B............... 110
--------
Commercial Services (0.1%):
8 ISS International Service System A/S,
Class B (b)........................ 541
--------
Environmental Services (0.0%):
3 Ratin A/S, Class B................... 374
--------
Food Products & Services (0.0%):
6 Danisco A/S.......................... 229
--------
Pharmaceuticals (0.4%):
20 Novo Nordisk A/S, Class B............ 2,646
--------
Security Services (0.0%):
3 Falck A/S............................ 315
--------
Transportation & Shipping (0.7%):
0 D/S 1912, Class B (c)................ 1,532
0 D/S Svendborg A/S, Class B (c)....... 3,333
--------
4,865
--------
11,063
--------
FINLAND (10.2%):
Banking & Finance (0.3%):
396 Merita Ltd., Class A (b)............. 2,331
--------
Construction (0.0%):
14 Metra AB, Class B.................... 263
1 Sanitec Oyj (b)...................... 17
--------
280
--------
</TABLE>
Continued
85
<PAGE> 88
- --------------------------------------------------------------------------------
One Group Mutual Funds
Diversified International Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Finland, continued:
Consumer Goods & Services (0.0%):
11 Amer Group, Class A.................. $ 223
--------
Forest Products (0.8%):
9 Metso Oyj (b)........................ 123
149 UPM-Kymmene Corp. ................... 5,986
--------
6,109
--------
Insurance (0.2%):
16 Pohjola Insurance Group, Class B..... 962
18 Sampo Insurance Co. ................. 643
--------
1,605
--------
Machinery & Equipment (0.1%):
15 Kone Corp., Class B.................. 733
--------
Metals (0.1%):
60 Outokumpo OY, Class A................ 847
--------
Retail (0.1%):
62 Kesko................................ 787
15 Stockmann Oyj, Class A............... 242
3 Stockmann Oyj, Class B............... 36
--------
1,065
--------
Telecommunications (0.9%):
100 Sonera Group Oyj..................... 6,858
--------
Telecommunications-Services and Equipment (7.7%):
3 Comptel PLC (b)...................... 211
7 Helsingin Puhelin Oyj, Class E....... 583
330 Nokia (Ab)........................... 59,904
--------
60,698
--------
80,749
--------
FRANCE (7.0%):
Automotive (0.2%):
6 PSA Peugeot.......................... 1,300
4 Valeo SA............................. 271
--------
1,571
--------
Banking (0.6%):
32 Banque Nationale de Paris............ 2,921
9 Societe Generale..................... 2,113
--------
5,034
--------
Banking & Finance (0.0%):
2 Dexia (b)............................ 261
2 Dexia Strips (b)(c).................. 0
--------
261
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
France, continued:
Beverages & Tobacco (0.4%):
6 LVMH (Moet Hennessy Louis Vuitton)... $ 2,610
4 Pernod Ricard........................ 221
--------
2,831
--------
Broadcasting/Cable (0.1%):
6 Canal Plus........................... 923
--------
Building Products (0.1%):
1 Imetal SA............................ 164
7 Lafarge SA........................... 777
--------
941
--------
Chemicals (0.3%):
7 L'Air Liquide, Registered............ 1,150
23 Rhone-Poulenc SA..................... 1,334
--------
2,484
--------
Defense (0.0%):
7 Thomson CSF.......................... 230
--------
Diversified (0.4%):
34 Vivendi.............................. 3,074
--------
Electrical & Electronic (0.6%):
15 Alcatel Alsthom...................... 3,379
2 Legrand SA........................... 464
9 Schneider SA......................... 693
--------
4,536
--------
Energy (0.7%):
43 Total SA, Class B.................... 5,691
--------
Food & Household Products (0.0%):
2 Eridania Beghin-Say SA............... 173
--------
Food Products & Services (0.2%):
8 Groupe Danone........................ 1,866
--------
Health & Personal Care (0.5%):
4 L'Oreal.............................. 3,073
28 Sanofi Synthelabo SA (b)............. 1,157
--------
4,230
--------
Industrial Goods & Services (0.1%):
18 Michelin, Class B, Registered........ 711
--------
Industrial Holding Company (0.2%):
10 Lyonnaise des Eaux SA................ 1,588
--------
Insurance (0.4%):
26 AXA SA............................... 3,559
--------
Leisure (0.2%):
31 Accor SA............................. 1,497
--------
</TABLE>
Continued
86
<PAGE> 89
- --------------------------------------------------------------------------------
One Group Mutual Funds
Diversified International Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
France, continued:
Merchandising (0.7%):
22 Carrefour SA......................... $ 4,110
6 Pinault-Printemps-Redo SA............ 1,650
--------
5,760
--------
Metals (Non-ferrous) (0.1%):
27 Usinor............................... 507
--------
Office Equipment & Services (0.0%):
4 BIC.................................. 191
--------
Oil & Gas (0.2%):
7 Compagnie de Saint Gobain............ 1,277
--------
Telecommunications-Services and Equipment (1.0%):
53 France Telecom....................... 7,075
--------
56,010
--------
GERMANY (7.2%):
Airlines (0.1%):
34 Lufthansa AG......................... 807
--------
Automotive (0.5%):
34 DaimlerChrysler...................... 2,681
30 Volkswagen AG NPV.................... 1,675
--------
4,356
--------
Banking (1.1%):
50 Bayer AG............................. 2,368
19 Bayerische Vereinsbank AG............ 1,315
38 Deutsche Bank AG..................... 3,246
30 Dresdner Bank AG..................... 1,640
--------
8,569
--------
Business Service (0.3%):
5 SAP AG............................... 2,385
--------
Chemicals (0.2%):
37 BASF AG.............................. 1,912
--------
Conglomerates (0.5%):
28 Metro AG............................. 1,516
32 VEBA AG.............................. 1,584
53 Viag AG.............................. 982
--------
4,082
--------
Construction (0.1%):
11 Hochtief AG.......................... 429
--------
Cosmetics/Personal Care (0.1%):
6 Beiersdorf AG, Series ABC............ 419
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Germany, continued:
Diversified (0.3%):
29 Man AG -- Vorzugsaktien.............. $ 631
26 Preussag AG.......................... 1,459
--------
2,090
--------
Electrical & Electronic (0.6%):
36 Siemens AG........................... 4,607
--------
Engineering (0.9%):
28 Mannesmann AG........................ 6,847
--------
Health Care (0.1%):
6 Schering AG.......................... 682
--------
Insurance (1.1%):
15 Allianz AG........................... 5,188
13 Muenchener Rueckversicherungs
Gesellschaft AG, Registered
Shares............................. 3,412
--------
8,600
--------
Machinery & Equipment (0.0%):
6 Linde AG............................. 307
--------
Manufacturing Miscellaneous (0.1%):
25 Thyssen Krupp AG (b)................. 764
--------
Telecommunications (1.2%):
133 Deutsche Telekom AG.................. 9,330
18 RWE AG............................... 735
--------
10,065
--------
56,921
--------
HONG KONG (2.4%):
Banking (0.1%):
101 Hang Seng Bank....................... 1,151
--------
Banking & Finance (0.0%):
69 Wing Lung Bank....................... 278
--------
Business Service (0.0%):
104 Wharf Holdings....................... 241
--------
Conglomerates (0.1%):
91 Swire Pacific Ltd., Class A.......... 534
--------
Electric Utility (0.0%):
21 Hong Kong Electric................... 65
--------
Financial Services (0.0%):
0 New World China Land Ltd. (b)(c)..... 0
--------
Gas Utility (0.1%):
314 Hong Kong & China Gas................ 430
--------
Industrial Holding Company (0.3%):
191 Hutchison Whampoa Ltd. .............. 2,776
--------
</TABLE>
Continued
87
<PAGE> 90
- --------------------------------------------------------------------------------
One Group Mutual Funds
Diversified International Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Hong Kong, continued:
Investment Company (0.7%):
97 CLP Holdings......................... $ 445
2,150 Tracker Fund of Hong Kong (b)........ 4,647
--------
5,092
--------
Real Estate (0.4%):
129 Cheung Kong (Holdings)............... 1,638
62 Hysan Development.................... 79
86 New World Development Co. ........... 193
131 Sun Hung Kai Properties Ltd. ........ 1,362
--------
3,272
--------
Telecommunications (0.7%):
500 China Telecom Ltd. (b)............... 3,125
612 Hong Kong Telecommunications Ltd. ... 1,768
--------
4,893
--------
Telecommunications-Services and Equipment (0.0%):
0 I-Cable Communications Ltd. (b)(c)... 0
--------
18,732
--------
IRELAND (2.8%):
Banking (0.8%):
281 Allied Irish Banks PLC............... 3,207
383 Bank of Ireland (b).................. 3,051
--------
6,258
--------
Construction (1.0%):
333 CRH PLC.............................. 7,172
--------
Food Products & Services (0.2%):
163 Kerry Group, Class A................. 1,949
--------
Industrial Goods & Services (0.4%):
1,121 Smufit (Jefferson) Group............. 3,390
--------
Media (0.2%):
279 Independent Newspapers PLC........... 1,831
--------
Telecommunications (0.2%):
315 Eircom PLC........................... 1,375
--------
21,975
--------
ISRAEL (0.1%):
Telecommunications (0.1%):
25 Partner Communications ADR........... 647
--------
ITALY (2.0%):
Banking (0.3%):
80 Banca Commerciale Italiana (b)....... 435
79 Beni Stabili SpA (b)................. 28
222 Credito Italiano SpA................. 1,092
79 Instituto Bancario San Paolo di
Torino............................. 1,080
--------
2,635
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Italy, continued:
Broadcasting & Publishing (0.3%):
177 Mediaset SpA......................... $ 2,754
--------
Insurance (0.3%):
58 Assicurazioni Generali............... 1,917
200 Istituto Nazionale delle
Assicurazioni...................... 530
--------
2,447
--------
Oil & Gas (0.1%):
166 Ente Nazionale Idrocarburi SpA
(ENI).............................. 913
--------
Real Estate (0.0%):
200 Unione Immobiliare................... 93
--------
Telecommunications (1.0%):
300 Telecom Italia Mobile SpA di Risp
(Non-convertible).................. 3,353
270 Telecom Italia SpA................... 3,811
--------
7,164
--------
16,006
--------
JAPAN (18.1%):
Airlines (0.0%):
110 Japan Airlines....................... 326
--------
Appliances & Household Products (2.8%):
97 Matsushita Electric Industrial Co.,
Ltd. .............................. 2,682
154 Sanyo Electric Co. .................. 624
113 Sharp Corp. ......................... 2,887
52 Sony Corp. .......................... 15,248
--------
21,441
--------
Automotive (1.2%):
14 Honda Motor Co., Ltd. ............... 520
192 Toyota Motor Corp. .................. 9,287
--------
9,807
--------
Banking (1.3%):
114 Asahi Bank Ltd. ..................... 702
156 Bank of Tokyo -- Mitsubishi.......... 2,170
65 Dai-Ichi Kangyo Bank................. 607
144 Fuji Bank Ltd. ...................... 1,397
76 Industrial Bank of Japan............. 731
127 Sakura Bank Ltd. .................... 735
100 Sanwa Bank........................... 1,215
150 Sumitomo Bank........................ 2,051
97 Tokai Bank........................... 610
--------
10,218
--------
Basic Industry (0.0%):
40 Sekisui Chemical Co., Ltd. .......... 177
--------
</TABLE>
Continued
88
<PAGE> 91
- --------------------------------------------------------------------------------
One Group Mutual Funds
Diversified International Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Japan, continued:
Building Products (0.1%):
39 Tostem Corp. ........................ $ 699
--------
Chemicals (1.0%):
140 Asahi Chemical Industry Co., Ltd. ... 718
82 Dainippon Ink & Chemicals, Inc. ..... 243
32 Shin-Etsu Chemical Co. .............. 1,376
135 Sumitomo Chemical Co. ............... 633
100 Takeda Chemical Industries........... 4,934
77 Toray Industries, Inc. .............. 298
--------
8,202
--------
Computer Software (0.1%):
0 Konami Computer Entertainment
(b)(c)............................. 492
--------
Construction (0.2%):
40 Daiwa House Industry Co., Ltd. ...... 297
107 Sekisui House Ltd. .................. 946
--------
1,243
--------
Consumer Goods & Services (0.0%):
40 Toto Ltd. ........................... 242
--------
Data Processing & Reproduction (1.3%):
178 Fujitsu Ltd. ........................ 8,106
75 Ricoh................................ 1,411
2 Trans Cosmos......................... 852
--------
10,369
--------
Distribution (0.1%):
167 Itochu Corp. (b)..................... 831
--------
Electrical & Electronic (0.8%):
17 Kyocera Corp. ....................... 4,403
125 Mitsubishi Electric Corp. ........... 806
36 Omron Corp. ......................... 828
--------
6,037
--------
Electronic Components/Instruments (1.0%):
5 Advantest............................ 1,319
15 Fanuc Co., Ltd. ..................... 1,907
233 Hitachi Ltd. ........................ 3,733
5 Murata Manufacturing................. 1,173
--------
8,132
--------
Energy (0.1%):
120 Nippon Oil Co. ...................... 528
--------
Engineering (0.0%):
35 Obayashi Corp. ...................... 165
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Japan, continued:
Financial Services (1.0%):
16 Acom Co., Ltd. ...................... $ 1,565
124 Daiwa Securities Co., Ltd. .......... 1,937
50 Mitsubishi Trust & Banking Co. ...... 440
127 Nomura Securities Co. ............... 2,289
7 Orix Corp. .......................... 1,575
--------
7,806
--------
Food & Household Products (0.1%):
74 Ajinomoto Co., Inc. ................. 770
--------
Gas & Electric Utility (0.6%):
59 Kansai Electric Power Co., Inc. ..... 1,029
271 Osaka Gas Co. ....................... 651
102 Tokyo Electric Power................. 2,739
137 Tokyo Gas Co., Ltd. ................. 333
--------
4,752
--------
Health & Personal Care (0.2%):
2 Fancl Corporation.................... 402
68 Sankyo Co., Ltd. .................... 1,395
--------
1,797
--------
Industrial Goods & Services (0.2%):
78 Bridgestone Corp. ................... 1,715
--------
Leisure (0.0%):
15 Shimano, Inc. ....................... 264
--------
Machinery & Equipment (1.1%):
70 Komatsu Ltd. ........................ 321
136 Kubota Corp. ........................ 520
177 Mitsubishi Heavy Industries Ltd. .... 590
83 Sumitomo Heavy Industries Ltd. (b)... 227
51 Tokyo Electron Ltd. ................. 6,977
--------
8,635
--------
Manufacturing-Consumer Goods (0.5%):
69 Canon, Inc. ......................... 2,737
36 Fuji Photo Film Co., Ltd. ........... 1,312
--------
4,049
--------
Merchandising (1.5%):
38 ITO-Yokado Co., Ltd. ................ 4,122
48 Seven-Eleven Japan Ltd. ............. 7,598
--------
11,720
--------
Metals (0.1%):
70 NSK Limited.......................... 478
--------
Office Equipment & Services (0.1%):
74 Dai Nippon Printing Co., Ltd. ....... 1,179
--------
</TABLE>
Continued
89
<PAGE> 92
- --------------------------------------------------------------------------------
One Group Mutual Funds
Diversified International Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Japan, continued:
15 Toyo Seikan Kaisha................... $ 217
--------
Pharmaceuticals (0.1%):
87 Dai-Ichi Pharmaceuticals............. 1,130
--------
Real Estate (0.1%):
103 Mitsubishi Estate Co. ............... 1,003
--------
Retail (0.0%):
78 Mycal Corp. ......................... 339
--------
Steel (0.1%):
341 Nippon Steel Co. .................... 796
262 Sumitomo Metal Industries (b)........ 197
--------
993
--------
Telecommunications (1.6%):
1 Nippon Telegraph & Telephone
Corp. ............................. 12,721
--------
Telecommunications-Services and Equipment (0.3%):
0 NTT Data Corp. (c)................... 919
0 NTT Mobile Communication (c)......... 1,344
--------
2,263
--------
Transportation & Shipping (0.1%):
0 East Japan Railway Co. (c)........... 501
--------
Transportation -- Road & Railroad (0.1%):
89 Hankyu Corp. ........................ 317
148 Tokyu Corp. ......................... 361
--------
678
--------
Wholesale & International Trade (0.3%):
208 Marubeni Corp. ...................... 872
78 Mitsubishi Corp. .................... 601
74 Sumitomo Corp. ...................... 717
--------
2,190
--------
144,109
--------
MEXICO (4.2%):
Beverages & Tobacco (0.5%):
33 Fomento Economico Mexicano SA de CV
ADR................................ 1,487
873 Grupo Modelo SA, Series C............ 2,388
--------
3,875
--------
Building Products (0.3%):
50 Apasco SA de CV...................... 310
434 Cemex SA de CV, Series CPO........... 2,417
--------
2,727
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Mexico, continued:
Diversified (0.3%):
160 ALFA SA de CV, Class A (b)........... $ 747
646 Desc SA de CV, Series B (b).......... 530
229 Grupo Carso SA de CV, Series A-1
(b)................................ 1,137
--------
2,414
--------
Financial Services (0.3%):
334 Grupo Financiero Banamex-AC, Series O
(b)................................ 1,335
2,257 Grupo Financiero Bancomer, Series
O.................................. 940
109 Grupo Financiero Inbursa SA de CV,
Class B (b)........................ 419
--------
2,694
--------
Food & Household Products (0.2%):
485 Kimberly-Clark de Mexico SA de CV,
Class A............................ 1,886
--------
Food Products & Services (0.1%):
154 Empresas La Moderna SA de CV (b)..... 887
--------
Industrial Goods & Services (0.2%):
609 Grupo Industrial Bimbo SA de CV,
Series A (b)....................... 1,356
--------
Merchandising (0.3%):
1,135 Cifra SA de CV, Series V (b)......... 2,269
--------
Metals & Mining (0.2%):
203 Grupo Mexico SA, Series B............ 1,004
104 Industrias Penoles SA, Series CP..... 299
--------
1,303
--------
Telecommunications (1.8%):
99 Grupo Televisa SA, Series CPO (b).... 3,340
1,940 Telefonos de Mexico SA, Series L..... 10,818
--------
14,158
--------
33,569
--------
NETHERLANDS (3.5%):
Banking (0.3%):
96 ABN AMRO Holding NV.................. 2,403
--------
Beverages & Tobacco (0.1%):
15 Heineken NV.......................... 726
--------
Broadcasting & Publishing (0.1%):
37 Elsevier NV.......................... 446
--------
Chemicals (0.2%):
25 Akzo Nobel NV........................ 1,253
--------
Construction (0.0%):
11 Hollandsche Benton................... 101
--------
</TABLE>
Continued
90
<PAGE> 93
- --------------------------------------------------------------------------------
One Group Mutual Funds
Diversified International Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Netherlands, continued:
Electronic Components/Instruments (0.3%):
20 Koninklijke Philips Electronic NV.... $ 2,682
--------
Energy (1.0%):
127 Royal Dutch Petroleum................ 7,812
--------
Financial Services (0.6%):
73 ING Groep NV......................... 4,407
--------
Food Products & Services (0.3%):
28 Ahold (Kon) NV....................... 841
34 Unilever NV CVA...................... 1,862
--------
2,703
--------
Office Equipment & Services (0.0%):
16 Oce.................................. 274
--------
Printing & Publishing (0.1%):
19 Wolters Kluwer CVA................... 646
--------
Services (0.1%):
30 TNT Post Groep NV.................... 859
--------
Telecommunications-Services and Equipment (0.4%):
33 Koninklijke KPN...................... 3,242
--------
27,554
--------
NEW ZEALAND (1.1%):
Beverages & Tobacco (0.1%):
270 Lion Nathan Ltd. .................... 626
--------
Building Products (0.0%):
270 Fletcher Challenge Building.......... 397
--------
Forest Products (0.0%):
225 Fletcher Challenge Paper............. 157
--------
Oil & Gas (0.1%):
175 Fletcher Challenge Energy............ 456
--------
Telecommunications (0.4%):
595 Telecom Corp. of New Zealand Ltd. ... 2,791
--------
Telecommunications-Services and Equipment (0.5%):
55 Tele Danmark AS, Series B............ 4,074
--------
8,501
--------
NORWAY (1.5%):
Banking (0.1%):
40 Christiania Bank OG Kreditkasse...... 197
155 Den Norske Bank ASA.................. 636
--------
833
--------
Computer Software (0.1%):
40 Merkantildata ASA.................... 484
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Norway, continued:
Forest Products (0.2%):
23 Norske Skogsindustrier, Class A...... $ 1,214
--------
Insurance (0.2%):
160 Storebrand ASA (b)................... 1,214
--------
Manufacturing-Consumer Goods (0.2%):
129 Orkla ASA, Series A.................. 2,222
--------
Medical Equipment & Supplies (0.0%):
30 Hafslund, Class A.................... 181
--------
Oil & Gas (0.1%):
47 Petroleum Geo-Services ASA (b)....... 835
--------
Oil & Gas Exploration, Production & Services (0.3%):
70 Norsk Hydro ASA...................... 2,918
30 Smedvig, Class A..................... 374
--------
3,292
--------
Pharmaceuticals (0.2%):
220 Nycomed Amersham PLC, Class B........ 1,369
--------
Transportation & Shipping (0.1%):
21 Bergesen Dy As, Class A.............. 384
18 Leif Hoegh & Co., ASA................ 218
--------
602
--------
12,246
--------
PORTUGAL (0.0%):
Telecommunications-Services and Equipment (0.0%):
25 Portugal Telecom Sa.................. 274
--------
SINGAPORE (3.0%):
Airlines (0.3%):
214 Singapore Airlines (Alien Market).... 2,429
--------
Automotive (0.0%):
42 Cycle & Carriage..................... 130
--------
Banking (0.3%):
237 United Overseas Bank (Alien Market)
(b)................................ 2,092
--------
Beverages & Tobacco (0.0%):
87 Fraser & Neave....................... 323
--------
Distribution (0.0%):
160 Inchcape Motors Ltd. ................ 166
--------
Diversified (0.1%):
281 Keppel Corp. ........................ 735
--------
Electrical & Electronic (0.0%):
75 Elec & Eltek International Co.,
Ltd. .............................. 243
--------
Electrical Equipment (0.0%):
20 Creative Technology Ltd. ............ 363
--------
</TABLE>
Continued
91
<PAGE> 94
- --------------------------------------------------------------------------------
One Group Mutual Funds
Diversified International Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Singapore, continued:
Electronic Components/Instruments (0.9%):
60 Chartered Semiconductor ADR.......... $ 4,379
130 Natsteel Electronics Ltd. ........... 687
125 Venture Manufacturing................ 1,434
--------
6,500
--------
Engineering (0.0%):
200 Sembcorp Industries Ltd. ............ 273
--------
Financial Services (0.5%):
78 DBS Group Holdings Ltd. ............. 1,272
202 Overseas Chinese Bank................ 1,858
46 Overseas Union Bank.................. 267
--------
3,397
--------
Food Products & Services (0.2%):
2,400 Del Monte Pacific Ltd. (b)........... 1,944
--------
Metals (0.0%):
100 Natsteel Ltd. ....................... 199
--------
Printing & Publishing (0.0%):
10 Singapore Press Holdings............. 217
--------
Real Estate (0.4%):
221 City Developments Ltd. .............. 1,292
598 DBS Land Ltd. ....................... 1,177
--------
2,469
--------
Telecommunications (0.3%):
1,127 Singapore Telecommunications Ltd. ... 2,328
--------
Telecommunications-Services and Equipment (0.0%):
315 MMI Holdings Ltd. ................... 134
--------
23,942
--------
SOUTH KOREA (3.0%):
Banking (0.2%):
204 Hana Bank............................ 1,595
--------
Computer Hardware (0.2%):
13 Trigem Computer (b).................. 1,447
--------
Electric Integrated (0.2%):
58 Kepco Korea Electric Power........... 1,795
--------
Electronic Components/Instruments (1.0%):
14 Samsung Display Devices.............. 594
33 Samsung Electronics.................. 7,710
--------
8,304
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
South Korea, continued:
Financial Services (1.3%):
14 Dongwon Securities Co. .............. $ 303
60 Good Morning Securities (b).......... 288
3 Sk Telecom Co. Ltd. ................. 9,423
--------
10,014
--------
Steel (0.1%):
3 Pohang Iron & Steel.................. 384
10 Pohang Iron & Steel ADR.............. 350
--------
734
--------
23,889
--------
SPAIN (4.7%):
Automotive (0.0%):
30 Autopistas Cesa...................... 296
--------
Banking (1.5%):
251 Banco Bilbao Vizcaya................. 3,570
519 Banco Santander Central Hispano
Americano SA....................... 5,879
89 Corporacion Bancaria de Espana SA.... 2,082
--------
11,531
--------
Construction (0.1%):
31 Fomento de Construcciones y
Contratas.......................... 637
--------
Gas & Electric Utility (0.6%):
122 Endesa SA............................ 2,417
99 Iberdrola SA......................... 1,367
64 Union Electric Fenosa SA............. 1,122
--------
4,906
--------
Insurance (0.0%):
9 Corporacion Mapfre................... 148
--------
Machinery & Equipment (0.1%):
58 Zardoya-Otis......................... 573
--------
Oil & Gas Exploration, Production & Services (0.6%):
20 Gas Natural SDG...................... 469
187 Repsol SA............................ 4,331
--------
4,800
--------
Real Estate (0.0%):
29 Vallehermoso SA...................... 204
--------
Steel (0.1%):
13 Acerinox SA, Registered.............. 524
--------
</TABLE>
Continued
92
<PAGE> 95
- --------------------------------------------------------------------------------
One Group Mutual Funds
Diversified International Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Spain, continued:
Telecommunications (1.7%):
540 Telefonica de Espana (b)............. $ 13,489
10 Terra Networks SA (b)................ 547
--------
14,036
--------
37,655
--------
SWEDEN (2.2%):
Automotive (0.1%):
33 Volvo AB, Series B................... 855
--------
Banking & Finance (0.2%):
99 Svenska Handelsdanken, Class A....... 1,247
--------
Engineering (0.2%):
11 ABB Ltd. (b)......................... 1,308
--------
Insurance (0.1%):
15 Skandia Forsakring................... 454
--------
Medical-Drugs (0.3%):
48 Astrazeneca (b)...................... 2,031
--------
Paper Products (0.0%):
5 Mo Och Domsjo AB, Series B........... 181
--------
Retail-General Merchandise (0.2%):
68 Hennes & Mauritz AB, Series B........ 2,281
--------
Telecommunications (1.1%):
145 Telefonaktiebolaget LM Ericsson,
Series B........................... 9,335
--------
17,692
--------
SWITZERLAND (2.9%):
Building Products (0.1%):
1 Holderbank Financiera Glarus
Bearer............................. 764
--------
Diversified (0.0%):
0 Alusuisse-Lonza Holding AG,
Registered (c)..................... 183
--------
Engineering (0.1%):
9 ABB Ltd. (b)......................... 1,090
--------
Fertilizers (0.0%):
1 Societe Suisse pour la
Microelectronique et l'Horlogerie
AG................................. 169
--------
Financial Services (0.6%):
10 CS Holding AG, Registered............ 1,893
11 Union Bank of Switzerland AG,
Registered......................... 2,918
--------
4,811
--------
Food Products & Services (0.4%):
2 Nestle SA, Registered................ 3,432
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Switzerland, continued:
Insurance (0.3%):
0 Swiss Reinsurance Corp., Registered
(c)................................ $ 62
4 Zurich Allied AG, Registered......... 2,334
--------
2,396
--------
Jewelry (0.0%):
0 Swatch Group, Bearer (c)............. 190
--------
Pharmaceuticals (1.4%):
3 Novartis AG, Registered.............. 4,611
0 Roche Holding AG, Bearer (c)......... 5,732
--------
10,343
--------
23,378
--------
TAIWAN (0.4%):
Computer Hardware (0.1%):
27 Synnex Technology International
GDR................................ 710
--------
Electronic Components/Instruments (0.3%):
225 Ritek Corp. GDR...................... 2,603
--------
3,313
--------
UNITED KINGDOM (12.7%):
Aerospace & Military Technology (0.2%):
182 British Aerospace PLC................ 1,200
67 Rolls-Royce PLC...................... 231
18 Smiths Industries PLC................ 260
--------
1,691
--------
Airlines (0.1%):
84 British Airways PLC.................. 544
--------
Appliances & Household Products (0.1%):
51 EMI Group PLC........................ 498
--------
Banking (1.5%):
72 Abbey National PLC................... 1,142
101 Barclays PLC......................... 2,901
627 HSBC Holdings Ord.................... 8,703
--------
12,746
--------
Beverages & Tobacco (0.4%):
69 British American Tobacco PLC......... 387
25 Coca-Cola Beverage (b)............... 48
328 Diageo PLC........................... 2,639
--------
3,074
--------
Brewery (0.2%):
97 Bass PLC............................. 1,207
--------
</TABLE>
Continued
93
<PAGE> 96
- --------------------------------------------------------------------------------
One Group Mutual Funds
Diversified International Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
United Kingdom, continued:
Broadcasting/Cable (0.3%):
94 British Sky Broadcasting Group PLC... $ 1,515
86 Carlton Communications............... 850
--------
2,365
--------
Building Products (0.0%):
27 RMC Group............................ 360
--------
Chemicals (0.2%):
40 BOC Group............................ 868
77 Imperial Chemical Industries PLC..... 819
--------
1,687
--------
Construction (0.0%):
110 Taylor Woodrow PLC................... 237
--------
Electric Utility (0.0%):
22 Scottish Power....................... 169
--------
Electrical & Electronic (0.5%):
227 Bps Marconin PLC..................... 4,011
31 British Aerospace PLC (b)............ 48
--------
4,059
--------
Energy (0.1%):
58 Thames Water Ord..................... 716
--------
Financial Services (0.4%):
214 Lloyds TSB Group, PLC................ 2,676
100 Old Mutual PLC (b)................... 272
--------
2,948
--------
Food Products & Services (0.5%):
58 Associated British Foods............. 321
110 Cadbury Schweppes PLC................ 646
187 J Sainsbury PLC...................... 1,052
232 Unilever PLC......................... 1,620
--------
3,639
--------
Health & Personal Care (1.0%):
181 Glaxo Wellcome PLC................... 5,122
65 Zeneca PLC........................... 2,677
--------
7,799
--------
Industrial Holding Company (0.1%):
69 Hanson Trust PLC..................... 572
--------
Insurance (0.8%):
109 Allied Zurich PLC.................... 1,294
197 Prudential Corp., PLC................ 3,869
161 Royal & Sun Alliance Insurance Group
PLC................................ 1,203
--------
6,366
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
United Kingdom, continued:
Leisure (0.3%):
132 Granada Group PLC.................... $ 1,334
200 Ladbroke Group PLC................... 629
89 Rank Group PLC....................... 285
--------
2,248
--------
Manufacturing Miscellaneous (0.1%):
208 Siebe PLC............................ 1,124
--------
Merchandising (0.1%):
157 Safeway PLC.......................... 540
--------
Metals & Mining (0.4%):
346 Corus Group PLC...................... 901
96 Rio Tinto PLC........................ 2,301
--------
3,202
--------
Oil & Gas (1.5%):
253 BG PLC............................... 1,621
985 British Petroleum Ord................ 9,919
--------
11,540
--------
Pharmaceuticals (0.4%):
271 SmithKline Beecham PLC............... 3,445
--------
Printing & Publishing (0.4%):
40 Reed International PLC............... 298
191 Reuters Group........................ 2,627
--------
2,925
--------
Real Estate (0.1%):
103 Mepc Ord............................. 735
--------
Retail (0.1%):
97 Kingfisher PLC....................... 1,074
24 Selfridges Ord....................... 102
--------
1,176
--------
Retail-Stores/Catalog (0.4%):
62 Boots Co., PLC....................... 607
33 Great Universal Stores PLC........... 185
212 Marks & Spencer PLC.................. 1,010
475 Tesco PLC............................ 1,447
--------
3,249
--------
</TABLE>
Continued
94
<PAGE> 97
- --------------------------------------------------------------------------------
One Group Mutual Funds
Diversified International Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
United Kingdom, continued:
Telecommunications (2.5%):
429 British Telecommunications PLC....... $ 10,386
180 Cable & Wireless PLC................. 3,036
229 Centrica PLC (b)..................... 662
79 National Power PLC................... 453
1,211 Vodaphone Group PLC.................. 5,972
--------
20,509
--------
101,370
--------
UNITED STATES (0.0%):
Oil & Gas Exploration, Production & Services (0.0%):
4 Transocean Sedco Forex Inc. ......... 135
--------
Total Common Stocks 767,913
--------
PREFERRED STOCKS (0.5%):
AUSTRALIA (0.1%):
Broadcasting & Publishing (0.1%):
71 News Corp., Ltd. .................... 603
--------
BRAZIL (0.0%):
Telecommunications-Services and Equipment (0.0%):
5,232 Telecomunicacoes De Sao V............ 127
--------
GERMANY (0.3%):
Business Service (0.3%):
4 SAP AG............................... 2,441
--------
Telecommunications (0.0%):
10 RWE AG............................... 301
--------
2,742
--------
SOUTH KOREA (0.1%):
Financial Services (0.1%):
10 Lg Electronics (b)................... 226
25 Lg Investment & Securities........... 230
--------
456
--------
Total Preferred Stocks 3,928
--------
RIGHTS-FOREIGN SECURITIES (0.0%):
MEXICO (0.0%):
Banking (0.0%):
27 Cemex SA ADR (b)..................... 12
--------
SOUTH KOREA (0.0%):
Financial Services (0.0%):
6 Lg Investment & Securities........... 15
--------
Total Rights-Foreign Securities 27
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ------------------------------------- --------
<C> <S> <C>
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 Notes (0.2%):
$ 1,200 6.75%, 4/30/00 (d)................... 1,205
--------
Total U.S. Treasury Obligations 1,205
--------
INVESTMENT COMPANIES (1.5%):
UNITED STATES (1.5%):
11,991 One Group Prime Money Market Fund,
Class I............................ 11,991
--------
Total Investment Companies 11,991
--------
SHORT-TERM SECURITIES HELD AS COLLATERAL (8.7%):
Commercial Paper (1.0%):
$ 8,159 Sigma Finance, 6.00%, 3/2/00......... 8,036
--------
Investment Companies (1.2%):
9,719 One Group Prime Money Market Fund,
Class I............................ 9,719
--------
Put Bonds (1.2%):
$ 9,719 Morgan Stanley, 5.25%, 1/28/00*...... 9,719
--------
Repurchase Agreements (5.3%):
38,875 Lehman Brothers, 4.85%, 1/3/00,
(Collateralized by 913 various
Equity Securities, market value
$40,933)........................... 38,875
2,599 Lehman Brothers, 4.65%, 1/3/00,
(Collateralized by $2,729 various
Commercial Paper, 0.00%, 1/10/00 -
5/23/00, market value $2,729)...... 2,599
--------
41,474
--------
Total Short-Term Securities Held as Collateral 68,948
--------
Total (Cost $517,131) (a) $854,197
========
</TABLE>
Continued
95
<PAGE> 98
- --------------------------------------------------------------------------------
One Group Mutual Funds
Diversified International Fund
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
- ------------
Percentages indicated are based on net assets of $795,151.
(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...................... $371,327
Unrealized depreciation...................... (34,261)
--------
Net unrealized appreciation.................. $337,066
========
</TABLE>
(b) Non-income producing securities.
(c) Rounds to less than 1,000.
(d) Serves as collateral for Futures Contracts.
* The interest rate for this variable rate bond, 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 December 31,
1999.
See notes to financial statements.
96
<PAGE> 99
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31, 1999
(Amounts in Thousands, except per share amounts)
(Unaudited)
<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 cost....................................... $207,222 $214,930 $1,565,146 $1,139,676 $ 911,675
Unrealized appreciation (depreciation) from investments.... 46,039 (1,663) 492,114 1,135 312,341
-------- -------- ---------- ---------- ----------
Investments, at value...................................... 253,261 213,267 2,057,260 1,140,811 1,224,016
Cash....................................................... 86 38 1 -- 1
Interest and dividends receivable.......................... 109 178 912 1,175 1,498
Receivable for capital shares issued....................... 137 47 1,043 149 93
Receivable from brokers for investments sold............... -- 3,241 8,027 26,090 34,956
Net receivable for variation margin on futures contracts... -- -- 175 -- 141
Unamortized organization costs............................. -- 1 -- -- --
Prepaid expenses and other assets.......................... 1 7 9 18 30
-------- -------- ---------- ---------- ----------
TOTAL ASSETS............................................... 253,594 216,779 2,067,427 1,168,243 1,260,735
-------- -------- ---------- ---------- ----------
LIABILITIES:
Payable to brokers for investments purchased............... -- 3,486 31,652 47,505 5,339
Payable for capital shares redeemed........................ 17 51 585 157 206
Payable for return of collateral received for securities on
loan..................................................... 11,800 1,384 239,159 50,514 93,948
Options written, at value (premiums received $231)......... -- -- -- 257 --
Accrued expenses and other payables:
Investment advisory fees................................. 135 110 1,053 624 562
Administration fees...................................... 17 15 123 74 79
12b-1 Fees............................................... 25 6 220 60 66
Other.................................................... 92 55 181 245 360
-------- -------- ---------- ---------- ----------
TOTAL LIABILITIES.......................................... 12,086 5,107 272,973 99,436 100,560
-------- -------- ---------- ---------- ----------
NET ASSETS:
Capital.................................................... 199,154 225,164 1,279,864 1,041,946 820,226
Undistributed (distributions in excess of) net investment
income................................................... (177) 72 (3,166) 13 1,285
Accumulated undistributed net realized gains (losses) from
investment, options and
futures transactions..................................... (3,508) (11,901) 23,863 25,739 25,090
Net unrealized appreciation (depreciation) from
investments, options and futures......................... 46,039 (1,663) 493,893 1,109 313,574
-------- -------- ---------- ---------- ----------
NET ASSETS................................................. $241,508 $211,672 $1,794,454 $1,068,807 $1,160,175
======== ======== ========== ========== ==========
NET ASSETS:
Class I.................................................. $171,538 $188,942 $1,345,458 $ 932,629 $ 929,159
Class A.................................................. 52,049 19,845 212,824 99,685 224,950
Class B.................................................. 17,707 2,845 196,084 36,461 5,978
Class C.................................................. 214 40 40,088 32 88
-------- -------- ---------- ---------- ----------
Total...................................................... $241,508 $211,672 $1,794,454 $1,068,807 $1,160,175
======== ======== ========== ========== ==========
OUTSTANDING UNITS OF BENEFICIAL INTEREST (SHARES):
Class I.................................................. 15,194 14,358 51,848 71,911 47,744
Class A.................................................. 4,618 1,530 8,330 7,659 11,658
Class B.................................................. 1,637 227 8,225 2,832 820
Class C.................................................. 19 3 1,571 2 12
-------- -------- ---------- ---------- ----------
Total...................................................... 21,468 16,118 69,974 82,404 60,234
======== ======== ========== ========== ==========
Net Asset Value
Class I -- Offering and redemption price per share....... $ 11.29 $ 13.16 $ 25.95 $ 12.97 $ 19.46
======== ======== ========== ========== ==========
Class A -- Redemption price per share.................... $ 11.27 $ 12.97 $ 25.55 $ 13.02 $ 19.30
======== ======== ========== ========== ==========
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)............ $ 11.89 $ 13.69 $ 26.97 $ 13.74 $ 20.37
======== ======== ========== ========== ==========
Class B -- Offering price per share (a).................. $ 10.81 $ 12.52 $ 23.84 $ 12.88 $ 7.29
======== ======== ========== ========== ==========
Class C -- Offering price per share (a).................. $ 11.04 $ 12.51 $ 25.52 $ 12.91 $ 7.30
======== ======== ========== ========== ==========
</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.
97
<PAGE> 100
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31, 1999
(Amounts in Thousands, except per share amounts)
(Unaudited)
<TABLE>
<CAPTION>
LARGE CAP LARGE CAP EQUITY DIVERSIFIED
GROWTH VALUE INCOME EQUITY BALANCED
FUND FUND FUND FUND FUND
---------- ---------- ---------- ----------- -----------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments, at cost....................................... $2,985,989 $1,103,810 $ 694,832 $1,801,885 $592,672
Unrealized appreciation (depreciation) from investments.... 1,976,530 175,283 457,512 642,674 71,054
---------- ---------- ---------- ---------- --------
Investments, at value...................................... 4,962,519 1,279,093 1,152,344 2,444,559 663,726
Interest and dividends receivable.......................... 3,069 1,444 2,192 2,124 2,644
Receivable for capital shares issued....................... 3,492 2,223 104 197 853
Receivable from brokers for investments sold............... 8,375 6,421 2,689 9,797 1,397
Net receivable for variation margin on futures contracts... 106 -- -- -- 58
Prepaid expenses and other assets.......................... 44 7 19 43 3
---------- ---------- ---------- ---------- --------
TOTAL ASSETS............................................... 4,977,605 1,289,188 1,157,348 2,456,720 668,681
---------- ---------- ---------- ---------- --------
LIABILITIES:
Cash overdraft............................................. 6 -- -- -- --
Payable to brokers for investments purchased............... 7,164 6,047 -- 990 141
Payable for capital shares redeemed........................ 764 26 294 425 162
Payable for return of collateral received for securities on
loan..................................................... 238,719 50,095 36,774 108,015 49,981
Options written, at value (premiums received $616)......... 2,400 -- -- -- --
Accrued expenses and other payables:
Investment advisory fees................................. 2,637 745 691 1,406 281
Administration fees...................................... 328 85 36 164 43
12b-1 Fees............................................... 801 34 221 132 258
Other.................................................... 346 209 426 342 70
---------- ---------- ---------- ---------- --------
TOTAL LIABILITIES.......................................... 253,165 57,241 38,442 111,474 50,936
---------- ---------- ---------- ---------- --------
NET ASSETS:
Capital.................................................... 2,764,717 1,019,917 647,887 1,666,240 548,710
Undistributed (distributions in excess of) net investment
income................................................... (5,249) 135 6 (24) (35)
Accumulated undistributed net realized gains (losses) from
investment, options and
futures transactions..................................... (10,011) 36,612 13,501 36,356 (2,910)
Net unrealized appreciation (depreciation) from
investments, options and futures......................... 1,974,983 175,283 457,512 642,674 71,980
---------- ---------- ---------- ---------- --------
NET ASSETS................................................. $4,724,440 $1,231,947 $1,118,906 $2,345,246 $617,745
========== ========== ========== ========== ========
NET ASSETS:
Class I.................................................. $3,276,881 $1,154,678 $ 818,362 $1,949,108 $217,539
Class A.................................................. 596,351 48,249 122,236 326,165 116,232
Class B.................................................. 818,992 27,799 177,466 54,856 283,974
Class C.................................................. 32,216 1,221 842 15,117 --
---------- ---------- ---------- ---------- --------
Total...................................................... $4,724,440 $1,231,947 $1,118,906 $2,345,246 $617,745
========== ========== ========== ========== ========
OUTSTANDING UNITS OF BENEFICIAL INTEREST (SHARES):
Class I.................................................. 122,784 71,261 37,428 132,158 15,772
Class A.................................................. 21,711 2,952 5,603 22,162 8,421
Class B.................................................. 31,165 1,702 8,116 3,790 20,483
Class C.................................................. 1,237 75 39 1,037 --
---------- ---------- ---------- ---------- --------
Total...................................................... 176,897 75,990 51,186 159,147 44,676
========== ========== ========== ========== ========
Net Asset Value
Class I -- Offering and redemption price per share....... $ 26.69 $ 16.20 $ 21.86 $ 14.75 $ 13.79
========== ========== ========== ========== ========
Class A -- Redemption price per share.................... $ 27.47 $ 16.34 $ 21.82 $ 14.72 $ 13.80
========== ========== ========== ========== ========
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)............ $ 28.99 $ 17.25 $ 23.03 $ 15.54 $ 14.56
========== ========== ========== ========== ========
Class B -- Offering price per share (a).................. $ 26.28 $ 16.33 $ 21.87 $ 14.47 $ 13.86
========== ========== ========== ========== ========
Class C -- Offering price per share (a).................. $ 26.04 $ 16.31 $ 21.88 $ 14.57
========== ========== ========== ==========
</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.
98
<PAGE> 101
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31, 1999
(Amounts in Thousands, except per share amounts)
(Unaudited)
<TABLE>
<CAPTION>
MARKET
EQUITY EXPANSION INTERNATIONAL DIVERSIFIED
INDEX INDEX EQUITY INTERNATIONAL
FUND FUND INDEX FUND FUND
---------- --------- ------------- -------------
<S> <C> <C> <C> <C>
ASSETS:
Investments, at cost........................................ $2,173,387 $22,473 $697,459 $517,131
Unrealized appreciation (depreciation) from investments..... 1,657,095 3,804 326,788 337,066
---------- ------- -------- --------
Investments, at value....................................... 3,830,482 26,277 1,024,247 854,197
Foreign currency, at value (cost $0; 0; 1,834; 10,098)...... -- -- 1,820 10,030
Interest and dividends receivable........................... 3,407 18 817 1,156
Receivable for capital shares issued........................ 4,429 14 688 15
Receivable from brokers for investments sold................ -- 13 711 263
Net receivable for variation margin on futures contracts.... 107 3 43 147
Tax reclaim receivable...................................... -- -- 312 590
Prepaid expenses and other assets........................... 39 1 5 15
---------- ------- -------- --------
TOTAL ASSETS................................................ 3,838,464 26,326 1,028,643 866,413
---------- ------- -------- --------
LIABILITIES:
Cash overdraft.............................................. -- 218 -- 4
Payable to brokers for investments purchased................ -- -- 2 1,384
Payable for capital shares redeemed......................... 363 -- 14 88
Payable for return of collateral received for securities on
loan...................................................... 220,613 1,191 128,119 68,948
Accrued expenses and other payables:
Investment advisory fees.................................. 427 1 396 505
Administration fees....................................... 153 1 61 43
12b-1 Fees................................................ 871 1 36 5
Other..................................................... 650 21 342 285
---------- ------- -------- --------
TOTAL LIABILITIES........................................... 223,077 1,433 128,970 71,262
---------- ------- -------- --------
NET ASSETS:
Capital..................................................... 1,960,662 19,807 583,923 451,069
Undistributed (distributions in excess of) net investment
income.................................................... 39 1 (6,563) (4,045)
Accumulated undistributed net realized gains (losses) from
investment, options and futures transactions.............. (4,282) 1,250 (4,702) 9,904
Net unrealized appreciation (depreciation) from investments,
options, futures and translation of assets and
liabilities in foreign currencies......................... 1,658,968 3,835 327,015 338,223
---------- ------- -------- --------
NET ASSETS.................................................. $3,615,387 $24,893 $899,673 $795,151
========== ======= ======== ========
NET ASSETS:
Class I................................................... $2,015,835 $22,279 $809,734 $753,894
Class A................................................... 850,770 1,163 57,447 37,033
Class B................................................... 642,608 1,354 24,353 4,088
Class C................................................... 106,174 97 8,139 136
---------- ------- -------- --------
Total....................................................... $3,615,387 $24,893 $899,673 $795,151
========== ======= ======== ========
OUTSTANDING UNITS OF BENEFICIAL INTEREST (SHARES):
Class I................................................... 60,124 2,619 35,743 39,046
Class A................................................... 25,376 137 2,527 1,924
Class B................................................... 19,222 158 1,123 228
Class C................................................... 3,171 12 362 8
---------- ------- -------- --------
Total....................................................... 107,893 2,926 39,755 41,206
========== ======= ======== ========
Net Asset Value
Class I -- Offering and redemption price per share........ $ 33.53 $ 8.50 $ 22.65 $ 19.31
========== ======= ======== ========
Class A -- Redemption price per share..................... $ 33.53 $ 8.50 $ 22.73 $ 19.25
========== ======= ======== ========
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)......................................... $ 35.39 $ 8.97 $ 23.99 $ 20.32
========== ======= ======== ========
Class B -- Offering price per share (a)................... $ 33.43 $ 8.59 $ 21.69 $ 17.93
========== ======= ======== ========
Class C -- Offering price per share (a)................... $ 33.48 $ 8.41 $ 22.50 $ 17.89
========== ======= ======== ========
</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.
99
<PAGE> 102
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS SIX MONTHS ENDED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
SMALL CAP SMALL CAP MID CAP
GROWTH VALUE GROWTH
FUND FUND FUND
--------- --------- --------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income............................................. $ 84 $ 7 $ 781
Discount accretion.......................................... 196 -- 637
Dividend income............................................. 598 1,186 3,845
Income from securities lending.............................. 41 17 339
------- -------- --------
Total Income................................................ 919 1,210 5,602
------- -------- --------
EXPENSES:
Investment advisory fees.................................... 696 882 5,655
Administration fees......................................... 152 192 1,235
12b-1 fees (Class A)........................................ 60 39 305
12b-1 fees (Class B)........................................ 65 15 789
12b-1 fees (Class C)........................................ 1 --(a) 127
Custodian fees.............................................. 15 16 35
Legal and audit fees........................................ 7 7 10
Trustees' fees and expenses................................. 3 3 10
Transfer agent fees......................................... 104 97 532
Registration and filing fees................................ 30 17 54
Printing costs.............................................. 8 21 87
Amortization of deferred organization costs................. -- 7 --
Other....................................................... 5 6 16
------- -------- --------
Total expenses before waivers............................... 1,146 1,302 8,855
Less waivers................................................ (50) (163) (87)
------- -------- --------
Net Expenses................................................ 1,096 1,139 8,768
------- -------- --------
Net Investment Income (Loss)................................ (177) 71 (3,166)
------- -------- --------
REALIZED/UNREALIZED GAINS (LOSSES) FROM INVESTMENTS, OPTIONS
AND FUTURES:
Net realized gains (losses) from investment, option and
future transactions....................................... 2,481 (131) 91,404
Net change in unrealized appreciation (depreciation) from
investments, options and futures.......................... 29,414 (20,669) 202,977
------- -------- --------
Net realized/unrealized gains (losses) from investments,
options and futures....................................... 31,895 (20,800) 294,381
------- -------- --------
Change in net assets resulting from operations.............. $31,718 $(20,729) $291,215
======= ======== ========
</TABLE>
- ------------
(a) Amount is less than $1,000.
See notes to financial statements.
100
<PAGE> 103
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS SIX MONTHS ENDED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
MID CAP DIVERSIFIED LARGE CAP LARGE CAP
VALUE MID CAP GROWTH VALUE
FUND FUND FUND FUND
-------- ----------- --------- ---------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income.......................................... $ 6 $ 326 $ 1,699 $ 2
Discount accretion....................................... -- 128 1,680 --
Dividend income.......................................... 9,756 5,910 15,032 10,247
Income from securities lending........................... 77 107 224 94
Foreign tax withholding.................................. -- -- (29) (4)
-------- -------- -------- --------
Total Income............................................. 9,839 6,471 18,606 10,339
-------- -------- -------- --------
EXPENSES:
Investment advisory fees................................. 4,106 4,199 14,556 4,309
Administration fees...................................... 895 915 3,413 940
12b-1 fees (Class A)..................................... 188 386 865 70
12b-1 fees (Class B)..................................... 189 29 3,413 135
12b-1 fees (Class C)..................................... --(a) --(a) 83 3
Custodian fees........................................... 25 24 48 31
Legal and audit fees..................................... 10 7 18 12
Trustees' fees and expenses.............................. 9 12 24 12
Transfer agent fees...................................... 367 369 1,242 145
Registration and filing fees............................. 29 50 160 71
Printing costs........................................... 29 81 251 42
Other.................................................... 16 18 29 14
-------- -------- -------- --------
Total expenses before waivers............................ 5,863 6,090 24,102 5,784
Less waivers............................................. (154) (904) (247) (20)
-------- -------- -------- --------
Net Expenses............................................. 5,709 5,186 23,855 5,764
-------- -------- -------- --------
Net Investment Income (Loss)............................. 4,130 1,285 (5,249) 4,575
-------- -------- -------- --------
REALIZED/UNREALIZED GAINS (LOSSES) FROM INVESTMENTS,
OPTIONS AND FUTURES:
Net realized gains (losses) from investment, option and
future transactions.................................... 35,090 64,004 116,832 71,737
Net change in unrealized appreciation (depreciation) from
investments, options and futures....................... (84,586) (47,100) 517,409 (92,305)
-------- -------- -------- --------
Net realized/unrealized gains (losses) from investments,
options and futures.................................... (49,496) 16,904 634,241 (20,568)
-------- -------- -------- --------
Change in net assets resulting from operations........... $(45,366) $ 18,189 $628,992 $(15,993)
======== ======== ======== ========
</TABLE>
- ------------
(a) Amount is less than $1,000.
See notes to financial statements.
101
<PAGE> 104
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS SIX MONTHS ENDED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
EQUITY DIVERSIFIED EQUITY
INCOME EQUITY BALANCED INDEX
FUND FUND FUND FUND
--------- ----------- -------- --------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income.......................................... $ 461 $ 52 $ 8,853 $ 307
Discount accretion....................................... 18 18 292 306
Premium amortization..................................... (53) -- (777) --
Dividend income.......................................... 15,015 14,385 2,727 20,846
Income from securities lending........................... 126 188 72 323
Foreign tax withholding.................................. (40) (2) (5) (2)
--------- ------- ------- --------
Total Income............................................. 15,527 14,641 11,162 21,780
--------- ------- ------- --------
EXPENSES:
Investment advisory fees................................. 4,760 8,449 1,888 4,893
Administration fees...................................... 1,038 1,898 469 2,632
12b-1 fees (Class A)..................................... 227 566 183 1,350
12b-1 fees (Class B)..................................... 943 259 1,305 2,835
12b-1 fees (Class C)..................................... 4 56 -- 402
Custodian fees........................................... 27 35 14 47
Legal and audit fees..................................... 7 11 5 15
Trustees' fees and expenses.............................. 12 18 4 22
Transfer agent fees...................................... 388 418 318 1,226
Registration and filing fees............................. 39 97 49 163
Printing costs........................................... 95 143 34 190
Other.................................................... 19 30 14 34
--------- ------- ------- --------
Total expenses before waivers............................ 7,559 11,980 4,283 13,809
Less waivers............................................. (947) (162) (341) (3,899)
--------- ------- ------- --------
Net Expenses............................................. 6,612 11,818 3,942 9,910
--------- ------- ------- --------
Net Investment Income.................................... 8,915 2,823 7,220 11,870
--------- ------- ------- --------
REALIZED/UNREALIZED GAINS (LOSSES) FROM INVESTMENTS,
OPTIONS AND FUTURES:
Net realized gains (losses) from investment, option and
future transactions.................................... 36,350 37,885 (1,488) 18,163
Net change in unrealized appreciation (depreciation) from
investments, options and futures....................... (133,276) 27,524 10,307 213,754
--------- ------- ------- --------
Net realized/unrealized gains (losses) from investments,
options and futures.................................... (96,926) 65,409 8,819 231,917
--------- ------- ------- --------
Change in net assets resulting from operations........... $ (88,011) $68,232 $16,039 $243,787
========= ======= ======= ========
</TABLE>
See notes to financial statements.
102
<PAGE> 105
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS SIX MONTHS ENDED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
MARKET INTERNATIONAL
EXPANSION EQUITY DIVERSIFIED
INDEX INDEX INTERNATIONAL
FUND FUND FUND
--------- ------------- -------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income............................................. $ 3 $ 31 $ 31
Discount accretion.......................................... 1 21 --
Premium amortization........................................ -- --(a) (11)
Dividend income............................................. 163 4,409 4,100
Income from securities lending.............................. 3 433 186
Foreign tax withholding..................................... -- (510) (473)
------- -------- --------
Total Income................................................ 170 4,384 3,833
------- -------- --------
EXPENSES:
Investment advisory fees.................................... 49 2,173 2,692
Administration fees......................................... 23 637 543
12b-1 fees (Class A)........................................ 1 98 62
12b-1 fees (Class B)........................................ 4 103 15
12b-1 fees (Class C)........................................ --(a) 23 --(a)
Custodian fees.............................................. 18 227 186
Legal and audit fees........................................ 5 9 8
Trustees' fees and expenses................................. 2 7 5
Transfer agent fees......................................... 6 139 86
Registration and filing fees................................ 14 38 25
Printing costs.............................................. 1 54 42
Other....................................................... 23 81 25
------- -------- --------
Total expenses before waivers............................... 146 3,589 3,689
Less waivers................................................ (59) (28) (129)
------- -------- --------
Net Expenses................................................ 87 3,561 3,560
------- -------- --------
Net Investment Income....................................... 83 823 273
------- -------- --------
REALIZED/UNREALIZED GAINS (LOSSES) FROM INVESTMENTS, OPTIONS
AND FUTURES:
Net realized gains (losses) from investment, option and
future transactions....................................... 2,339 4,846 29,383
Net change in unrealized appreciation (depreciation) from
investments, options and futures.......................... (968) 167,929 155,748
------- -------- --------
Net realized/unrealized gains (losses) from investments,
options and futures....................................... 1,371 172,775 185,131
------- -------- --------
Change in net assets resulting from operations.............. $ 1,454 $173,598 $185,404
======= ======== ========
</TABLE>
- ------------
(a) Amount is less than $1,000.
See notes to financial statements.
103
<PAGE> 106
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in Thousands)
<TABLE>
<CAPTION>
SMALL CAP GROWTH FUND SMALL CAP VALUE FUND
------------------------- -----------------------------------------
SIX MONTHS YEAR SIX MONTHS SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED
DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
1999 1999 1999 1999(a) 1998
------------ -------- ------------ ----------- ------------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income (loss)..... $ (177) $ (136) $ 71 $ (534) $ (1,480)
Net realized gains (losses) from
investment, option and future
transactions.................. 2,481 11,042 (131) (8,680) 5,058
Net change in unrealized
appreciation (depreciation)
from investments, options and
futures....................... 29,414 (9,010) (20,669) (6,643) (21,720)
-------- -------- -------- -------- --------
Change in net assets resulting from
operations......................... 31,718 1,896 (20,729) (15,857) (18,142)
-------- -------- -------- -------- --------
DISTRIBUTIONS TO CLASS I
SHAREHOLDERS:
From net investment income....... -- -- -- -- (8)
From net realized gains from
investment transactions....... (11,329) (11,315) -- (1,455) (7,930)
DISTRIBUTIONS TO CLASS A
SHAREHOLDERS:
From net investment income....... -- -- -- -- --(b)
From net realized gains from
investment transactions....... (3,893) (2,155) -- (168) (918)
In excess of net realized gains
from investment
transactions.................. -- -- -- -- (152)
DISTRIBUTIONS TO CLASS B
SHAREHOLDERS:
From net realized gains from
investment transactions....... (1,301) (932) -- (21) (114)
In excess of net realized gains
from investment
transactions.................. -- -- -- -- (19)
DISTRIBUTIONS TO CLASS C
SHAREHOLDERS:
From net realized gains from
investment transactions....... (16) (6) -- -- --
-------- -------- -------- -------- --------
Change in net assets from shareholder
distributions...................... (16,539) (14,408) -- (1,644) (10,456)
-------- -------- -------- -------- --------
CAPITAL TRANSACTIONS:
Change in net assets from share
transactions.................. 62,867 30,732 (44,242) (18,841) 100,041
-------- -------- -------- -------- --------
Change in net assets............. 78,046 18,220 (64,971) (36,342) 71,443
NET ASSETS:
Beginning of period.............. 163,462 145,242 276,643 312,985 241,542
-------- -------- -------- -------- --------
End of period.................... $241,508 $163,462 $211,672 $276,643 $312,985
======== ======== ======== ======== ========
</TABLE>
- ------------
(a) Upon reorganizing as a fund of the One Group, the Pegasus Small Cap
Opportunity Fund became the Small Cap Value Fund. The Statements of Changes
in Net Assets for the periods prior to March 21, 1999 represent the Pegasus
Small Cap Opportunity Fund.
(b) Amount is less than $1,000.
See notes to financial statements.
104
<PAGE> 107
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in Thousands)
<TABLE>
<CAPTION>
MID CAP MID CAP DIVERSIFIED
GROWTH FUND VALUE FUND MID CAP FUND
------------------------- ------------------------- ----------------------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
1999 1999 1999 1999 1999 1999(a) 1998
------------ ---------- ------------ ---------- ------------ ---------- ------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income
(loss)................... $ (3,166) $ (5,489) $ 4,130 $ 7,325 $ 1,285 $ (840) $ (1,708)
Net realized gains (losses)
from investment, option
and future
transactions............. 91,404 253,940 35,090 134,821 64,004 121,086 68,219
Net change in unrealized
appreciation
(depreciation) from
investments, options and
futures.................. 202,977 73,586 (84,586) (60,099) (47,100) (27,196) (17,120)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Change in net assets resulting
from operations.............. 291,215 322,037 (45,366) 82,047 18,189 93,050 49,391
---------- ---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS TO CLASS I
SHAREHOLDERS:
From net investment
income................... -- -- (3,814) (7,181) -- -- --
From net realized gains
from investment
transactions............. (185,165) (108,930) (87,055) (88,001) (126,977) (2,582) (52,983)
DISTRIBUTIONS TO CLASS A
SHAREHOLDERS:
From net investment
income................... -- -- (284) (204) -- -- --
From net realized gains
from investment
transactions............. (29,286) (13,351) (9,254) (4,201) (31,194) (720) (18,434)
DISTRIBUTIONS TO CLASS B
SHAREHOLDERS:
From net investment
income................... -- -- (2) 42 -- -- --
From net realized gains
from investment
transactions............. (27,542) (12,611) (3,405) (4,305) (1,750) (37) (819)
DISTRIBUTIONS TO CLASS C
SHAREHOLDERS:
From net investment
income................... -- -- --(b) -- -- -- --
From net realized gains
from investment
transactions............. (4,995) (277) (3) -- (25) -- --
---------- ---------- ---------- ---------- ---------- ---------- ----------
Change in net assets from
shareholder distributions.... (246,988) (135,169) (103,817) (103,850) (159,946) (3,339) (72,236)
---------- ---------- ---------- ---------- ---------- ---------- ----------
CAPITAL TRANSACTIONS:
Change in net assets from
share transactions....... 261,854 244,939 (3,657) 549,241 66,047 (126,470) 253,835
---------- ---------- ---------- ---------- ---------- ---------- ----------
Change in net assets....... 306,081 431,807 (152,840) 527,438 (75,710) (36,759) 230,990
NET ASSETS:
Beginning of period........ 1,488,373 1,056,566 1,221,647 694,209 1,235,885 1,272,644 1,041,654
---------- ---------- ---------- ---------- ---------- ---------- ----------
End of period.............. $1,794,454 $1,488,373 $1,068,807 $1,221,647 $1,160,175 $1,235,885 $1,272,644
========== ========== ========== ========== ========== ========== ==========
</TABLE>
- ------------
(a) Upon reorganizing as a fund of the One Group, the Pegasus Mid Cap
Opportunity Fund became the Diversified Mid Cap Fund. The Statements of
Changes in Net Assets for the periods prior to March 21, 1999 represent the
Pegasus Mid Cap Opportunity Fund.
(b) Amount is less than $1,000.
See notes to financial statements.
105
<PAGE> 108
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in Thousands)
<TABLE>
<CAPTION>
LARGE CAP LARGE CAP EQUITY
GROWTH FUND VALUE FUND INCOME FUND
------------------------- ------------------------- -------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30,
1999 1999 1999 1999 1999 1999
------------ ---------- ------------ ---------- ------------ ----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income (loss).... $ (5,249) $ (3,789) $ 4,575 $ 10,081 $ 8,915 $ 12,985
Net realized gains (losses) from
investment, option and future
transactions.................. 116,832 440,956 71,737 76,731 36,350 43,431
Net change in unrealized
appreciation (depreciation)
from investments, options and
futures....................... 517,409 199,952 (92,305) 72,181 (133,276) 67,316
---------- ---------- ---------- ---------- ---------- ----------
Change in net assets resulting from
operations........................ 628,992 637,119 (15,993) 158,993 (88,011) 123,732
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS TO CLASS I
SHAREHOLDERS:
From net investment income...... -- -- (4,401) (9,801) (7,577) (10,930)
From net realized gains from
investment transactions....... (372,992) (158,144) (97,087) (50,121) (35,889) (47,232)
DISTRIBUTIONS TO CLASS A
SHAREHOLDERS:
From net investment income...... -- -- (112) (176) (873) (1,362)
From net realized gains from
investment transactions....... (63,960) (20,892) (3,992) (1,030) (5,172) (8,323)
DISTRIBUTIONS TO CLASS B
SHAREHOLDERS:
From net investment income...... -- -- (10) (63) (570) (736)
From net realized gains from
investment transactions....... (89,603) (31,268) (2,380) (1,092) (7,511) (12,186)
DISTRIBUTIONS TO CLASS C
SHAREHOLDERS:
From net investment income...... -- -- --(a) --(a) (3) (3)
From net realized gains from
investment transactions....... (3,011) (70) (92) -- (35) (59)
---------- ---------- ---------- ---------- ---------- ----------
Change in net assets from
shareholder distributions......... (529,566) (210,374) (108,074) (62,283) (57,630) (80,831)
---------- ---------- ---------- ---------- ---------- ----------
CAPITAL TRANSACTIONS:
Change in net assets from share
transactions.................. 498,849 1,708,792 206,868 226,934 (188,728) 434,206
---------- ---------- ---------- ---------- ---------- ----------
Change in net assets............ 598,275 2,135,537 82,801 323,644 (334,369) 477,107
NET ASSETS:
Beginning of period............. 4,126,165 1,990,628 1,149,146 825,502 1,453,275 976,168
---------- ---------- ---------- ---------- ---------- ----------
End of period................... $4,724,440 $4,126,165 $1,231,947 $1,149,146 $1,118,906 $1,453,275
========== ========== ========== ========== ========== ==========
</TABLE>
- ------------
(a) Amount is less than $1,000.
See notes to financial statements.
106
<PAGE> 109
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in Thousands)
<TABLE>
<CAPTION>
DIVERSIFIED BALANCED EQUITY
EQUITY FUND FUND INDEX FUND
------------------------- ----------------------- -------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30,
1999 1999 1999 1999 1999 1999
------------ ---------- ------------ -------- ------------ ----------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income (loss)...... $ 2,823 $ 4,263 $ 7,220 $ 9,706 $ 11,870 $ 14,879
Net realized gains (losses) from
investment, option and future
transactions.................... 37,885 136,825 (1,488) 36,794 18,163 51,142
Net change in unrealized
appreciation (depreciation) from
investments, options and
futures......................... 27,524 106,078 10,307 10,119 213,754 316,773
---------- ---------- -------- -------- ---------- ----------
Change in net assets resulting from
operations.......................... 68,232 247,166 16,039 56,619 243,787 382,794
---------- ---------- -------- -------- ---------- ----------
DISTRIBUTIONS TO CLASS I SHAREHOLDERS:
From net investment income........ (2,726) (4,039) (3,196) (5,594) (8,938) (10,744)
From net realized gains from
investment transactions......... (111,989) (39,245) (7,817) (11,900) (26,072) (22,635)
DISTRIBUTIONS TO CLASS A SHAREHOLDERS:
From net investment income........ (121) (325) (1,483) (1,473) (2,773) (3,111)
From net realized gains from
investment transactions......... (18,508) (5,119) (4,313) (3,890) (11,145) (8,189)
DISTRIBUTIONS TO CLASS B SHAREHOLDERS:
From net investment income........ -- -- (2,629) (2,613) (247) (876)
From net realized gains from
investment transactions......... (3,116) (1,734) (10,307) (9,427) (8,356) (12,709)
DISTRIBUTIONS TO CLASS C SHAREHOLDERS:
From net investment income........ -- -- -- -- (46) (63)
From net realized gains from
investment transactions......... (821) (106) -- -- (1,322) (354)
---------- ---------- -------- -------- ---------- ----------
Change in net assets from shareholder
distributions....................... (137,281) (50,568) (29,745) (34,897) (58,899) (58,681)
---------- ---------- -------- -------- ---------- ----------
CAPITAL TRANSACTIONS:
Change in net assets from share
transactions.................... (76,443) 1,556,565 83,134 255,939 248,408 1,613,200
---------- ---------- -------- -------- ---------- ----------
Change in net assets.............. (145,492) 1,753,163 69,428 277,661 433,296 1,937,313
NET ASSETS:
Beginning of period............... 2,490,738 737,575 548,317 270,656 3,182,091 1,244,778
---------- ---------- -------- -------- ---------- ----------
End of period..................... $2,345,246 $2,490,738 $617,745 $548,317 $3,615,387 $3,182,091
========== ========== ======== ======== ========== ==========
</TABLE>
See notes to financial statements.
107
<PAGE> 110
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in Thousands)
<TABLE>
<CAPTION>
MARKET INTERNATIONAL EQUITY
EXPANSION INDEX INDEX FUND
------------------------------------------- -----------------------
SIX MONTHS SIX MONTHS JULY 31, 1998 SIX MONTHS YEAR
ENDED ENDED TO ENDED ENDED
DECEMBER 31, JUNE 30, DECEMBER 31, DECEMBER 31, JUNE 30,
1999 1999(a) 1998(b) 1999 1999
------------ ---------- --------------- ------------ --------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income
(loss)..................... $ 83 $ 86 $ 76 $ 823 $ 6,431
Net realized gains (losses)
from investment, option and
future transactions........ 2,339 5,281 1,751 4,846 38,944
Net change in unrealized
appreciation (depreciation)
from investments, options
and futures................ (968) (4,171) 524 167,929 25,206
------- ------- ------- -------- --------
Change in net assets resulting
from operations................ 1,454 1,196 2,351 173,598 70,581
------- ------- ------- -------- --------
DISTRIBUTIONS TO CLASS I
SHAREHOLDERS:
From net investment income... (81) (88) (73) (1,786) (13,132)
In excess of net investment
income..................... -- -- -- -- --
From net realized gains from
investment transactions.... (5,801) (712) (1,035) (10,208) (27,653)
DISTRIBUTIONS TO CLASS A
SHAREHOLDERS:
From net investment income... (2) --(d) --(d) (12) (479)
In excess of net investment
income..................... -- -- -- -- --
From net realized gains from
investment transactions.... (247) (1) (1) (721) (1,113)
DISTRIBUTIONS TO CLASS B
SHAREHOLDERS:
From net investment income... -- --(d) -- -- (205)
In excess of net investment
income..................... -- -- --(d) -- --
From net realized gains from
investment transactions.... (298) (1) -- (312) (701)
DISTRIBUTIONS TO CLASS C
SHAREHOLDERS:
From net investment income... --(d) --(d) -- -- (7)
From net realized gains from
investment transactions.... (24) -- -- (92) (17)
------- ------- ------- -------- --------
Change in net assets from
shareholder distributions...... (6,453) (802) (1,109) (13,131) (43,307)
------- ------- ------- -------- --------
CAPITAL TRANSACTIONS:
Change in net assets from
share transactions......... 417 1,567 26,272 4,785 82,920
------- ------- ------- -------- --------
Change in net assets......... (4,582) 1,961 27,514 165,252 110,194
NET ASSETS:
Beginning of period.......... 29,475 27,514 -- 734,421 624,227
------- ------- ------- -------- --------
End of period................ $24,893 $29,475 $27,514 $899,673 $734,421
======= ======= ======= ======== ========
<CAPTION>
DIVERSIFIED
INTERNATIONAL FUND
----------------------------------------
SIX MONTHS SIX MONTHS YEAR
ENDED ENDED ENDED
DECEMBER 31, JUNE 30, DECEMBER 31,
1999 1999(C) 1998
------------ ---------- ------------
(UNAUDITED)
<S> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income
(loss)..................... $ 273 $ 4,846 $ 5,823
Net realized gains (losses)
from investment, option and
future transactions........ 29,383 14,091 (17,985)
Net change in unrealized
appreciation (depreciation)
from investments, options
and futures................ 155,748 32,957 97,612
-------- -------- --------
Change in net assets resulting
from operations................ 185,404 51,894 85,450
-------- -------- --------
DISTRIBUTIONS TO CLASS I
SHAREHOLDERS:
From net investment income... (5,869) -- (5,812)
In excess of net investment
income..................... -- -- (2,146)
From net realized gains from
investment transactions.... (6,907) -- --
DISTRIBUTIONS TO CLASS A
SHAREHOLDERS:
From net investment income... (248) -- (390)
In excess of net investment
income..................... -- -- (144)
From net realized gains from
investment transactions.... (344) -- --
DISTRIBUTIONS TO CLASS B
SHAREHOLDERS:
From net investment income... (19) -- (16)
In excess of net investment
income..................... -- -- (6)
From net realized gains from
investment transactions.... (39) -- --
DISTRIBUTIONS TO CLASS C
SHAREHOLDERS:
From net investment income... (1) -- --
From net realized gains from
investment transactions.... (1) -- --
-------- -------- --------
Change in net assets from
shareholder distributions...... (13,428) -- (8,514)
-------- -------- --------
CAPITAL TRANSACTIONS:
Change in net assets from
share transactions......... (13,518) (31,499) 22,909
-------- -------- --------
Change in net assets......... 158,458 20,395 99,845
NET ASSETS:
Beginning of period.......... 636,693 616,298 516,453
-------- -------- --------
End of period................ $795,151 $636,693 $616,298
======== ======== ========
</TABLE>
- ------------
(a) Upon reorganizing as a fund of the One Group, the Pegasus Market Expansion
Index Fund became the Market Expansion Index Fund. The Statements of Changes
in Net Assets for the periods prior to March 21, 1999 represent the Pegasus
Market Expansion Index Fund.
(b) Period from commencement of operations.
(c) Upon reorganizing as a fund of the One Group, the Pegasus International
Equity Fund became the Diversified International Fund. The Statements of
Changes in Net Assets for the periods prior to March 21, 1999 represent the
Pegasus International Equity Fund.
(d) Amount less than $ 1,000.
See notes to financial statements.
108
<PAGE> 111
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
STATEMENT OF CASH FLOWS SIX MONTHS ENDED DECEMBER 31, 1999
(Amounts in Thousands)
(Unaudited)
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY
INDEX FUND
--------------------
<S> <C>
CASH FLOWS FROM OPERATING ACTIVITIES:
Total net investment income............................ $ 823
Adjustments to reconcile net investment income to net cash
provided (used) by operating activities:
Purchases of investments............................... (478,259)
Proceeds from disposition of investment securities..... 492,205
Decrease (increase) in investments purchased with cash
collateral from securities lending.................... (4,433)
Decrease (increase) in dividends and interest
receivable............................................ 3,080
Increase (decrease) in payable for return of collateral
received from securities lending...................... 4,433
Increase (decrease) in accrued expenses................ (720)
Net amortization/accretion from investments............ 21
---------
Net cash provided (used) by operating activities....... 17,150
---------
CASH FLOWS FROM FINANCING ACTIVITIES:
Proceeds from shares issued............................ 285,247
Payment of shares redeemed............................. (289,266)
Cash distributions paid................................ (13,131)(a)
---------
Net cash provided (used) by financing activities....... (17,150)
---------
Net increase (decrease) in cash............................. --
Cash:
Beginning balance...................................... --
---------
Ending Balance......................................... $ --
=========
</TABLE>
- ------------
(a) Non-cash financing activities not included herein consist of reinvestment of
dividends and distributions of $9,338.
See notes to financial statements.
109
<PAGE> 112
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
SCHEDULES OF CAPITAL STOCK ACTIVITY
(Amounts in Thousands)
<TABLE>
<CAPTION>
SMALL CAP GROWTH FUND SMALL CAP VALUE FUND
----------------------- -----------------------------------------
SIX MONTHS YEAR SIX MONTHS SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED
DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
1999 1999 1999 1999 (a) 1998
------------ -------- ------------ ----------- ------------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued......................... $ 47,906 $42,905 $ 16,766 $ 54,182 $128,376
Proceeds from shares issued in Marquis
acquisition....................................... -- 2,300 -- -- --
Dividends reinvested................................ 9,927 9,999 -- 1,259 4,636
Cost of shares redeemed............................. (27,444) (30,329) (56,069) (70,359) (49,084)
-------- -------- -------- -------- --------
Change in net assets from Class I Share
transactions...................................... $ 30,389 $24,875 $(39,303) $(14,918) $ 83,928
======== ======== ======== ======== ========
CLASS A SHARES:
Proceeds from shares issued......................... $ 53,694 $20,005 $ 3,200 $ 5,172 $ 20,319
Proceeds from shares issued in Marquis
acquisition....................................... -- 898 -- -- --
Dividends reinvested................................ 3,733 2,086 -- 167 953
Cost of shares redeemed............................. (31,371) (19,798) (7,954) (8,832) (7,795)
-------- -------- -------- -------- --------
Change in net assets from Class A Share
transactions...................................... $ 26,056 $ 3,191 $ (4,754) $ (3,493) $ 13,477
======== ======== ======== ======== ========
CLASS B SHARES:
Proceeds from shares issued......................... $ 6,338 $ 3,882 $ 356 $ 455 $ 2,943
Proceeds from shares issued in Marquis
acquisition....................................... -- 471 -- -- --
Dividends reinvested................................ 1,287 924 -- 20 132
Cost of shares redeemed............................. (1,278) (2,647) (564) (923) (439)
-------- -------- -------- -------- --------
Change in net assets from Class B Share
transactions...................................... $ 6,347 $ 2,630 $ (208) $ (448) $ 2,636
======== ======== ======== ======== ========
CLASS C SHARES:
Proceeds from shares issued......................... $ 73 $ 101 $ 23 $ 18
Dividends reinvested................................ 16 6 -- --
Cost of shares redeemed............................. (14) (71) -- --
-------- -------- -------- --------
Change in net assets from Class C Share
transactions...................................... $ 75 $ 36 $ 23 $ 18
======== ======== ======== ========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued.............................................. 4,492 4,687 1,283 4,005 8,012
Issued in Marquis acquisition....................... -- 235 -- -- --
Reinvested.......................................... 938 1,059 -- 97 305
Redeemed............................................ (2,571) (3,188) (4,230) (5,222) (3,323)
-------- -------- -------- -------- --------
Change in Class I Shares............................ 2,859 2,793 (2,947) (1,120) 4,994
======== ======== ======== ======== ========
CLASS A SHARES:
Issued.............................................. 5,157 2,006 242 380 1,271
Issued in Marquis acquisition....................... -- 92 -- -- --
Reinvested.......................................... 353 222 -- 13 65
Redeemed............................................ (2,973) (2,039) (606) (675) (522)
-------- -------- -------- -------- --------
Change in Class A Shares............................ 2,537 281 (364) (282) 814
======== ======== ======== ======== ========
CLASS B SHARES:
Issued.............................................. 632 417 28 35 186
Issued in Marquis acquisition....................... -- 49 -- -- --
Reinvested.......................................... 127 100 -- 1 9
Redeemed............................................ (124) (291) (44) (71) (31)
-------- -------- -------- -------- --------
Change in Class B Shares............................ 635 275 (16) (35) 164
======== ======== ======== ======== ========
CLASS C SHARES:
Issued.............................................. 7 11 2 1
Reinvested.......................................... 1 1 -- --
Redeemed............................................ (1) (7) -- --
-------- -------- -------- --------
Change in Class C Shares............................ 7 5 2 1
======== ======== ======== ========
</TABLE>
- ------------
(a) Upon reorganizing as a fund of the One Group, the Pegasus Small Cap
Opportunity Fund became the Small Cap Value Fund. The Schedules of Capital
Stock Activity for the periods prior to March 21, 1999 represent the Pegasus
Small Cap Opportunity Fund.
See notes to financial statements.
110
<PAGE> 113
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
SCHEDULES OF CAPITAL STOCK ACTIVITY
(Amounts in Thousands)
<TABLE>
<CAPTION>
MID CAP GROWTH FUND MID CAP VALUE FUND
------------------------ ------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30,
1999 1999 1999 1999
------------ --------- ------------ ---------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued......................... $ 114,114 $ 203,550 $ 63,029 $ 160,195
Proceeds from shares issued in Marquis
acquisition....................................... -- 33,494 -- 109,518
Proceeds from shares issued in Pegasus
acquisition....................................... -- -- -- 328,403
Dividends reinvested................................ 150,445 60,220 74,690 69,817
Cost of shares redeemed............................. (119,753) (152,763) (133,511) (220,903)
--------- --------- --------- ---------
Change in net assets from Class I Share
transactions...................................... $ 144,806 $ 144,501 $ 4,208 $ 447,030
========= ========= ========= =========
CLASS A SHARES:
Proceeds from shares issued......................... $ 91,008 $ 79,035 $ 12,399 $ 23,415
Proceeds from shares issued in Marquis
acquisition....................................... -- 2,987 -- 15,353
Proceeds from shares issued in Pegasus
acquisition....................................... -- -- -- 99,254
Dividends reinvested................................ 28,704 13,000 9,024 4,468
Cost of shares redeemed............................. (70,997) (48,657) (29,538) (56,125)
--------- --------- --------- ---------
Change in net assets from Class A Share
transactions...................................... $ 48,715 $ 46,365 $ (8,115) $ 86,365
========= ========= ========= =========
CLASS B SHARES:
Proceeds from shares issued......................... $ 28,925 $ 45,055 $ 2,352 $ 7,406
Proceeds from shares issued in Marquis
acquisition....................................... -- 2,136 -- 12,072
Proceeds from shares issued in Pegasus
acquisition....................................... -- -- -- 3,884
Dividends reinvested................................ 27,289 12,547 3,329 4,269
Cost of shares redeemed............................. (10,348) (19,465) (5,420) (11,832)
--------- --------- --------- ---------
Change in net assets from Class B Share
transactions...................................... $ 45,866 $ 40,273 $ 261 $ 15,799
========= ========= ========= =========
CLASS C SHARES:
Proceeds from shares issued......................... $ 20,078 $ 14,745 $ 22 $ 47
Dividends reinvested................................ 4,995 278 3 --(a)
Cost of shares redeemed............................. (2,606) (1,223) (36) --(a)
--------- --------- --------- ---------
Change in net assets from Class C Share
transactions...................................... $ 22,467 $ 13,800 $ (11) $ 47
========= ========= ========= =========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued.............................................. 4,581 9,697 4,620 10,483
Issued in Marquis acquisition....................... -- 1,696 -- 7,937
Issued in Pegasus acquisition....................... -- -- -- 24,507
Reinvested.......................................... 6,032 3,104 5,826 4,933
Redeemed............................................ (4,770) (7,089) (9,636) (14,319)
--------- --------- --------- ---------
Change in Class I Shares............................ 5,843 7,408 810 33,541
========= ========= ========= =========
CLASS A SHARES:
Issued.............................................. 3,705 3,639 901 1,004
Issued in Marquis acquisition....................... -- 152 -- 1,109
Issued in Pegasus acquisition....................... -- -- -- 7,385
Reinvested.......................................... 1,169 663 700 310
Redeemed............................................ (2,912) (2,364) (2,142) (3,347)
--------- --------- --------- ---------
Change in Class A Shares............................ 1,962 2,090 (541) 6,461
========= ========= ========= =========
CLASS B SHARES:
Issued.............................................. 1,246 2,187 170 339
Issued in Marquis acquisition....................... -- 114 -- 877
Issued in Pegasus acquisition....................... -- -- -- 291
Reinvested.......................................... 1,190 671 262 314
Redeemed............................................ (447) (978) (396) (811)
--------- --------- --------- ---------
Change in Class B Shares............................ 1,989 1,994 36 1,010
========= ========= ========= =========
CLASS C SHARES:
Issued.............................................. 810 653 1 3
Reinvested.......................................... 203 14 --(a) --(a)
Redeemed............................................ (105) (53) (2) --(a)
--------- --------- --------- ---------
Change in Class C Shares............................ 908 614 (1) 3
========= ========= ========= =========
</TABLE>
- ------------
(a) Amount is less than 1,000.
See notes to financial statements.
111
<PAGE> 114
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
SCHEDULES OF CAPITAL STOCK ACTIVITY
(Amounts in Thousands)
<TABLE>
<CAPTION>
LARGE CAP
DIVERSIFIED MID CAP FUND GROWTH FUND
---------------------------------------- -------------------------
SIX MONTHS SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED
DECEMBER 31, JUNE 30, DECEMBER 31, DECEMBER 31, JUNE 30,
1999 1999 (a) 1998 1999 1999
------------ ---------- ------------ ------------ ----------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued......................... $ 94,775 $ 61,324 $ 164,165 $ 99,039 $ 283,311
Proceeds from shares issued in Pegasus
acquisition....................................... -- -- -- -- 899,987
Proceeds from shares issued in conversion........... -- -- 206,155 -- 162,412
Dividends reinvested................................ 115,170 2,562 42,744 303,483 117,120
Cost of shares redeemed............................. (155,924) (137,780) (215,552) (250,022) (234,012)
--------- --------- --------- --------- ----------
Change in net assets from Class I Share
transactions...................................... $ 54,021 $ (73,894) $ 197,512 $ 152,500 $1,228,818
========= ========= ========= ========= ==========
CLASS A SHARES:
Proceeds from shares issued......................... $ 24,862 $ 23,402 $ 97,258 $ 153,465 $ 167,751
Proceeds from shares issued in Pegasus
acquisition....................................... -- -- -- -- 133,163
Dividends reinvested................................ 29,815 707 17,695 60,611 20,453
Cost of shares redeemed............................. (44,116) (75,470) (62,548) (78,943) (119,384)
--------- --------- --------- --------- ----------
Change in net assets from Class A Share
transactions...................................... $ 10,561 $ (51,361) $ 52,405 $ 135,133 $ 201,983
========= ========= ========= ========= ==========
CLASS B SHARES:
Proceeds from shares issued......................... $ 406 $ 185 $ 3,861 $ 140,761 $ 281,642
Proceeds from shares issued in Pegasus
acquisition....................................... -- -- -- -- 7,315
Dividends reinvested................................ 1,722 36 803 88,831 31,112
Cost of shares redeemed............................. (756) (1,449) (746) (41,787) (49,320)
--------- --------- --------- --------- ----------
Change in net assets from Class B Share
transactions...................................... $ 1,372 $ (1,228) $ 3,918 $ 187,805 $ 270,749
========= ========= ========= ========= ==========
CLASS C SHARES:
Proceeds from shares issued......................... $ 75 $ 13 $ 21,591 $ 7,482
Dividends reinvested................................ 25 -- 2,993 70
Cost of shares redeemed............................. (7) -- (1,173) (310)
--------- --------- --------- ----------
Change in net assets from Class C Share
transactions...................................... $ 93 $ 13 $ 23,411 $ 7,242
========= ========= ========= ==========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued.............................................. 4,608 3,182 8,188 3,811 12,073
Issued in Pegasus acquisition....................... -- -- -- -- 35,419
Issued in conversion................................ -- -- 10,206 -- 6,735
Reinvested.......................................... 6,107 30 2,142 11,818 5,881
Redeemed............................................ (7,636) (6,810) (10,665) (9,591) (9,885)
--------- --------- --------- --------- ----------
Change in Class I Shares............................ 3,079 (3,598) 9,871 6,038 50,223
========= ========= ========= ========= ==========
CLASS A SHARES:
Issued.............................................. 1,211 1,167 4,701 5,729 6,770
Issued in Pegasus acquisition....................... -- -- -- -- 5,098
Reinvested.......................................... 1,594 31 892 2,292 983
Redeemed............................................ (2,191) (3,826) (3,124) (2,962) (4,733)
--------- --------- --------- --------- ----------
Change in Class A Shares............................ 614 (2,628) 2,469 5,059 8,118
========= ========= ========= ========= ==========
CLASS B SHARES:
Issued.............................................. 46 20 366 5,444 11,800
Issued in Pegasus acquisition....................... -- -- -- -- 290
Reinvested.......................................... 243 4 85 3,510 1,539
Redeemed............................................ (83) (154) (81) (1,621) (2,138)
--------- --------- --------- --------- ----------
Change in Class B Shares............................ 206 (130) 370 7,333 11,491
========= ========= ========= ========= ==========
CLASS C SHARES:
Issued.............................................. 8 1 839 312
Reinvested.......................................... 4 -- 119 3
Redeemed............................................ (1) -- (45) (13)
--------- --------- --------- ----------
Change in Class C Shares............................ 11 1 913 302
========= ========= ========= ==========
</TABLE>
- ------------
(a) Upon reorganizing as a fund of the One Group, the Pegasus Mid Cap
Opportunity Fund became the Diversified Mid Cap Fund. The Schedules of
Capital Stock Activity for the periods prior to March 21, 1999 represent the
Pegasus Mid Cap Opportunity Fund.
See notes to financial statements.
112
<PAGE> 115
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
SCHEDULES OF CAPITAL STOCK ACTIVITY
(Amounts in Thousands)
<TABLE>
<CAPTION>
LARGE CAP VALUE FUND EQUITY INCOME FUND
----------------------- ------------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30,
1999 1999 1999 1999
------------ -------- ------------ ---------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued......................... $147,115 $257,159 $ 15,987 $ 42,420
Proceeds from shares issued in Pegasus
acquisition....................................... -- -- -- 505,408
Dividends reinvested................................ 82,460 38,150 28,372 28,320
Cost of shares redeemed............................. (53,213) (84,610) (236,672) (182,394)
-------- -------- --------- ---------
Change in net assets from Class I Share
transactions...................................... $176,362 $210,699 $(192,313) $ 393,754
======== ======== ========= =========
CLASS A SHARES:
Proceeds from shares issued......................... $ 34,396 $33,730 $ 14,253 $ 24,665
Proceeds from shares issued in Pegasus
acquisition....................................... -- -- -- 11,551
Dividends reinvested................................ 3,649 1,116 5,670 9,250
Cost of shares redeemed............................. (14,502) (24,553) (18,418) (31,094)
-------- -------- --------- ---------
Change in net assets from Class A Share
transactions...................................... $ 23,543 $10,293 $ 1,505 $ 14,372
======== ======== ========= =========
CLASS B SHARES:
Proceeds from shares issued......................... $ 7,618 $10,060 $ 12,917 $ 40,461
Proceeds from shares issued in Pegasus
acquisition....................................... -- -- -- 3,082
Dividends reinvested................................ 2,381 1,149 7,948 12,751
Cost of shares redeemed............................. (4,175) (5,399) (19,065) (30,054)
-------- -------- --------- ---------
Change in net assets from Class B Share
transactions...................................... $ 5,824 $ 5,810 $ 1,800 $ 26,240
======== ======== ========= =========
CLASS C SHARES:
Proceeds from shares issued......................... $ 1,320 $ 138 $ 296 $ 512
Dividends reinvested................................ 86 --(a) 38 62
Cost of shares redeemed............................. (267) (6) (54) (734)
-------- -------- --------- ---------
Change in net assets from Class C Share
transactions...................................... $ 1,139 $ 132 $ 280 $ (160)
======== ======== ========= =========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued.............................................. 8,761 15,673 678 1,902
Issued in Pegasus acquisition....................... -- -- -- 21,634
Reinvested.......................................... 5,138 2,544 1,255 1,316
Redeemed............................................ (3,193) (5,136) (10,231) (7,868)
-------- -------- --------- ---------
Change in Class I Shares............................ 10,706 13,081 (8,298) 16,984
======== ======== ========= =========
CLASS A SHARES:
Issued.............................................. 2,043 2,073 612 1,094
Issued in Pegasus acquisition....................... -- -- -- 496
Reinvested.......................................... 225 73 251 424
Redeemed............................................ (876) (1,522) (799) (1,370)
-------- -------- --------- ---------
Change in Class A Shares............................ 1,392 624 64 644
======== ======== ========= =========
CLASS B SHARES:
Issued.............................................. 441 601 556 1,757
Issued in Pegasus acquisition....................... -- -- -- 132
Reinvested.......................................... 147 75 351 585
Redeemed............................................ (249) (332) (833) (1,318)
-------- -------- --------- ---------
Change in Class B Shares............................ 339 344 74 1,156
======== ======== ========= =========
CLASS C SHARES:
Issued.............................................. 78 7 12 21
Reinvested.......................................... 5 --(a) 2 3
Redeemed............................................ (15) --(a) (2) (30)
-------- -------- --------- ---------
Change in Class C Shares............................ 68 7 12 (6)
======== ======== ========= =========
</TABLE>
- ------------
(a) Amount is less than 1,000.
See notes to financial statements.
113
<PAGE> 116
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
SCHEDULES OF CAPITAL STOCK ACTIVITY
(Amounts in Thousands)
<TABLE>
<CAPTION>
DIVERSIFIED EQUITY FUND BALANCED FUND
------------------------- -----------------------
SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED
DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30,
1999 1999 1999 1999
------------ ---------- ------------ --------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued......................... $ 98,621 $ 244,173 $ 34,143 $ 36,925
Proceeds from shares issued in Marquis
acquisition....................................... -- -- -- 131,827
Proceeds from shares issued in Pegasus
acquisition....................................... -- 1,221,365 -- --
Dividends reinvested................................ 96,448 32,229 7,811 4,716
Cost of shares redeemed............................. (278,348) (204,131) (47,526) (62,537)
--------- ---------- -------- --------
Change in net assets from Class I Share
transactions...................................... $ (83,279) $1,293,636 $ (5,572) $110,931
========= ========== ======== ========
CLASS A SHARES:
Proceeds from shares issued......................... $ 44,425 $ 69,391 $ 45,475 $ 31,853
Proceeds from shares issued in Marquis
acquisition....................................... -- -- -- 4,842
Proceeds from shares issued in Pegasus
acquisition....................................... -- 265,416 -- --
Dividends reinvested................................ 17,676 5,259 5,774 5,175
Cost of shares redeemed............................. (67,090) (104,515) (13,911) (13,842)
--------- ---------- -------- --------
Change in net assets from Class A Share
transactions...................................... $ (4,989) $ 235,551 $ 37,338 $ 28,028
========= ========== ======== ========
CLASS B SHARES:
Proceeds from shares issued......................... $ 6,509 $ 17,518 $ 58,697 $123,871
Proceeds from shares issued in Marquis
acquisition....................................... -- -- -- 4,972
Proceeds from shares issued in Pegasus
acquisition....................................... -- 10,304 -- --
Dividends reinvested................................ 3,086 1,731 13,087 11,755
Cost of shares redeemed............................. (5,039) (8,289) (20,416) (23,618)
--------- ---------- -------- --------
Change in net assets from Class B Share
transactions...................................... $ 4,556 $ 21,264 $ 51,368 $116,980
========= ========== ======== ========
CLASS C SHARES:
Proceeds from shares issued......................... $ 7,450 $ 6,971
Dividends reinvested................................ 820 106
Cost of shares redeemed............................. (1,001) (963)
--------- ----------
Change in net assets from Class C Share
transactions...................................... $ 7,269 $ 6,114
========= ==========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued.............................................. 6,778 18,009 2,447 2,761
Issued in Marquis acquisition....................... -- -- -- 10,055
Issued in Pegasus acquisition....................... -- 84,872 -- --
Reinvested.......................................... 6,674 2,658 570 360
Redeemed............................................ (18,913) (14,566) (3,450) (4,598)
--------- ---------- -------- --------
Change in Class I Shares............................ (5,461) 90,973 (433) 8,578
========= ========== ======== ========
CLASS A SHARES:
Issued.............................................. 3,041 4,832 3,290 2,324
Issued in Marquis acquisition....................... -- -- -- 379
Issued in Pegasus acquisition....................... -- 18,470 -- --
Reinvested.......................................... 1,226 431 420 390
Redeemed............................................ (4,582) (7,220) (1,004) (1,030)
--------- ---------- -------- --------
Change in Class A Shares............................ (315) 16,513 2,706 2,063
========= ========== ======== ========
CLASS B SHARES:
Issued.............................................. 449 1,175 4,214 8,995
Issued in Marquis acquisition....................... -- -- -- 368
Issued in Pegasus acquisition....................... -- 725 -- --
Reinvested.......................................... 218 144 948 884
Redeemed............................................ (351) (473) (1,472) (1,744)
--------- ---------- -------- --------
Change in Class B Shares............................ 316 1,571 3,690 8,503
========= ========== ======== ========
CLASS C SHARES:
Issued.............................................. 514 509
Reinvested.......................................... 57 9
Redeemed............................................ (69) (75)
--------- ----------
Change in Class C Shares............................ 502 443
========= ==========
</TABLE>
See notes to financial statements.
114
<PAGE> 117
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
SCHEDULES OF CAPITAL STOCK ACTIVITY
(Amounts in Thousands)
<TABLE>
<CAPTION>
EQUITY INDEX FUND MARKET EXPANSION INDEX
------------------------- -----------------------------------------
SIX MONTHS YEAR SIX MONTHS SIX MONTHS JULY 31,
ENDED ENDED ENDED ENDED 1998 TO
DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
1999 1999 1999 1999 (a) 1998 (b)
------------ ---------- ------------ ----------- ------------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued......................... $ 186,797 $ 174,081 $ 5,476 $ 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................................ 18,691 12,878 4,905 619 893
Cost of shares redeemed............................. (146,275) (203,117) (12,349) (3,116) (2,485)
--------- ---------- -------- ------- -------
Change in net assets from Class I Share
transactions...................................... $ 59,213 $1,006,151 $ (1,968) $ 1,028 $26,244
========= ========== ======== ======= =======
CLASS A SHARES:
Proceeds from shares issued......................... $ 164,773 $ 254,473 $ 937 234 $ 28
Proceeds from shares issued in Pegasus
acquisition....................................... -- 346,768 -- -- --
Dividends reinvested................................ 13,927 10,991 231 --(c) --(c)
Cost of shares redeemed............................. (104,842) (167,505) (117) --(c) --
--------- ---------- -------- ------- -------
Change in net assets from Class A Share
transactions...................................... $ 73,858 $ 444,727 $ 1,051 $ 234 $ 28
========= ========== ======== ======= =======
CLASS B SHARES:
Proceeds from shares issued......................... $ 99,569 $ 151,543 $ 1,026 405 $ --(c)
Proceeds from shares issued in Pegasus
acquisition....................................... -- 6,353 -- -- --
Dividends reinvested................................ 8,521 13,505 298 1 --(c)
Cost of shares redeemed............................. (33,909) (59,306) (85) (117) --
--------- ---------- -------- ------- -------
Change in net assets from Class B Share
transactions...................................... $ 74,181 $ 112,095 $ 1,239 $ 289 $ --
========= ========== ======== ======= =======
CLASS C SHARES:
Proceeds from shares issued......................... $ 45,496 $ 53,973 $ 91 $ 16
Dividends reinvested................................ 1,263 413 23 --(c)
Cost of shares redeemed............................. (5,603) (4,159) (19) --(c)
--------- ---------- -------- -------
Change in net assets from Class C Share
transactions...................................... $ 41,156 $ 50,227 $ 95 $ 16
========= ========== ======== =======
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued.............................................. 5,832 6,096 549 352 141
Issued in Pegasus acquisition....................... -- 24,863 -- -- 2,644
Issued in conversion................................ -- 9,509 -- -- --
Reinvested.......................................... 571 503 592 63 91
Redeemed............................................ (4,665) (7,304) (1,237) (312) (264)
--------- ---------- -------- ------- -------
Change in Class I Shares............................ 1,738 33,667 (96) 103 2,612
========= ========== ======== ======= =======
CLASS A SHARES:
Issued.............................................. 5,237 8,685 94 23 3
Issued in Pegasus acquisition....................... -- 11,516 -- -- --
Reinvested.......................................... 429 412 28 --(c) --(c)
Redeemed............................................ (3,331) (5,621) (11) --(c) --
--------- ---------- -------- ------- -------
Change in Class A Shares............................ 2,335 14,992 111 23 3
========= ========== ======== ======= =======
CLASS B SHARES:
Issued.............................................. 3,185 5,293 101 40 --(c)
Issued in Pegasus acquisition....................... -- 211 -- -- --
Reinvested.......................................... 261 514 36 --(c) --(c)
Redeemed............................................ (1,085) (2,116) (8) (11) --
--------- ---------- -------- ------- -------
Change in Class B Shares............................ 2,361 3,902 129 29 --(c)
========= ========== ======== ======= =======
CLASS C SHARES:
Issued.............................................. 1,451 1,867 10 1
Reinvested.......................................... 39 15 3 --(c)
Redeemed............................................ (178) (141) (2) --(c)
--------- ---------- -------- -------
Change in Class C Shares............................ 1,312 1,741 11 1
========= ========== ======== =======
</TABLE>
- ------------
(a) Upon reorganizing as a fund of the One Group, the Pegasus Market Expansion
Index Fund became the Market Expansion Index Fund. The Schedules of Capital
Stock Activity for the periods prior to March 21, 1999 represent the Pegasus
Market Expansion Index Fund.
(b) Period from commencement of operations.
(c) Amount is less than 1,000.
See notes to financial statements.
115
<PAGE> 118
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
SCHEDULES OF CAPITAL STOCK ACTIVITY
(Amounts in Thousands)
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY DIVERSIFIED
INDEX FUND INTERNATIONAL FUND
------------------------ -----------------------------------------
SIX MONTHS YEAR SIX MONTHS SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED
DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
1999 1999 1999 1999 (a) 1998
------------ --------- ------------ ----------- ------------
(UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued......................... $ 60,229 $ 148,687 $ 40,756 $ 25,895 $ 109,588
Proceeds from shares issued in Marquis
acquisition....................................... -- 1,093 -- -- --
Dividends reinvested................................ 8,219 3,210 6,000 245 2,089
Cost of shares redeemed............................. (59,954) (104,900) (53,807) (44,735) (101,966)
--------- --------- -------- -------- ---------
Change in net assets from Class I Share
transactions...................................... $ 8,494 $ 48,090 $ (7,051) $(18,595) $ 9,711
========= ========= ======== ======== =========
CLASS A SHARES:
Proceeds from shares issued......................... $ 214,817 $ 189,671 $ 84,342 $ 22,419 $ 26,637
Proceeds from shares issued in Marquis
acquisition....................................... -- 305 -- -- --
Dividends reinvested................................ 716 1,546 531 128 391
Cost of shares redeemed............................. (225,694) (163,287) (92,260) (35,203) (14,357)
--------- --------- -------- -------- ---------
Change in net assets from Class A Share
transactions...................................... $ (10,161) $ 28,235 $ (7,387) $(12,656) $ 12,671
========= ========= ======== ======== =========
CLASS B SHARES:
Proceeds from shares issued......................... $ 4,595 $ 6,916 $ 1,002 $ 400 $ 818
Proceeds from shares issued in Marquis
acquisition....................................... -- 268 -- -- --
Dividends reinvested................................ 311 902 58 5 19
Cost of shares redeemed............................. (3,152) (3,621) (257) (658) (310)
--------- --------- -------- -------- ---------
Change in net assets from Class B Share
transactions...................................... $ 1,754 $ 4,465 $ 803 $ (253) $ 527
========= ========= ======== ======== =========
CLASS C SHARES:
Proceeds from shares issued......................... $ 4,971 $ 2,259 $ 118 $ 5
Dividends reinvested................................ 92 24 1 --
Cost of shares redeemed............................. (365) (153) (2) --
--------- --------- -------- --------
Change in net assets from Class C Share
transactions...................................... $ 4,698 $ 2,130 $ 117 $ 5
========= ========= ======== ========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued.............................................. 3,049 8,534 2,460 1,809 8,439
Issued in Marquis acquisition....................... -- 63 -- -- --
Reinvested.......................................... 394 188 339 18 162
Redeemed............................................ (3,018) (6,114) (3,376) (3,100) (7,899)
--------- --------- -------- -------- ---------
Change in Class I Shares............................ 425 2,671 (577) (1,273) 702
========= ========= ======== ======== =========
CLASS A SHARES:
Issued.............................................. 11,039 10,538 5,355 1,550 2,044
Issued in Marquis acquisition....................... -- 17 -- -- --
Reinvested.......................................... 34 90 29 9 30
Redeemed............................................ (11,527) (9,001) (5,775) (2,428) (1,095)
--------- --------- -------- -------- ---------
Change in Class A Shares............................ (454) 1,644 (391) (869) 979
========= ========= ======== ======== =========
CLASS B SHARES:
Issued.............................................. 242 410 66 28 65
Issued in Marquis acquisition....................... -- 16 -- -- --
Reinvested.......................................... 16 55 3 --(b) 1
Redeemed............................................ (168) (216) (17) (48) (26)
--------- --------- -------- -------- ---------
Change in Class B Shares............................ 90 265 52 (20) 40
========= ========= ======== ======== =========
CLASS C SHARES:
Issued.............................................. 250 127 8 --(b)
Reinvested.......................................... 4 1 --(b) --
Redeemed............................................ (18) (9) --(b) --
--------- --------- -------- --------
Change in Class C Shares............................ 236 119 8 --(b)
========= ========= ======== ========
</TABLE>
- ------------
(a) Upon reorganizing as a fund of the One Group, the Pegasus International
Equity Fund became the Diversified International Fund. The Schedules of
Capital Stock Activity for the periods prior to March 21, 1999 represent the
Pegasus International Equity Fund.
(b) Amount is less than 1,000.
See notes to financial statements.
116
<PAGE> 119
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SMALL CAP GROWTH FUND
-----------------------------------------------------------
CLASS I SHARES
-----------------------------------------------------------
SIX MONTHS MARCH 26,
ENDED YEAR ENDED JUNE 30, 1996 TO
DECEMBER 31, ------------------------------- JUNE 30,
1999 1999 1998 1997 1996 (a)
------------ -------- -------- ------- ---------
(UNAUDITED)
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD......................... $ 10.62 $ 12.05 $ 10.94 $ 10.75 $ 10.00
-------- -------- -------- ------- -------
Investment Activities:
Net investment income (loss)................ (0.01) -- -- (0.02) --
Net realized and unrealized gains (losses)
from investments.......................... 1.56 (0.24) 2.44 1.31 0.78
-------- -------- -------- ------- -------
Total from Investment Activities.......... 1.55 (0.24) 2.44 1.29 0.78
-------- -------- -------- ------- -------
Distributions:
Net realized gains.......................... (0.88) (1.19) (1.33) (1.10) (0.03)
-------- -------- -------- ------- -------
Total Distributions....................... (0.88) (1.19) (1.33) (1.10) (0.03)
-------- -------- -------- ------- -------
NET ASSET VALUE, END OF PERIOD................ $ 11.29 $ 10.62 $ 12.05 $ 10.94 $ 10.75
======== ======== ======== ======= =======
Total Return.................................. 15.13%(b) (0.72)% 23.58% 13.44% 13.39%(b)(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)........... $171,538 $130,974 $114,951 $78,318 $83,371
Ratio of expenses to average net assets..... 1.05%(d) 1.06% 1.06% 1.02% 0.96%(d)
Ratio of net investment income to average
net assets................................ (0.09)%(d) 0.00% (0.05)% (0.16)% (0.16)%(d)
Ratio of expenses to average net assets*.... 1.09%(d) 1.09% 1.09% 1.12% 1.05%(d)
Ratio of net investment income to average
net assets*............................... (0.13)%(d) (0.03)% (0.08)% (0.26)% (0.25)%(d)
Portfolio turnover (e)...................... 63.28% 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.
117
<PAGE> 120
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SMALL CAP GROWTH FUND
----------------------------------------------------------------------------
CLASS A SHARES
----------------------------------------------------------------------------
SIX MONTHS SEVEN MONTHS YEAR
ENDED YEAR ENDED JUNE 30, ENDED ENDED
DECEMBER 31, ----------------------------- JUNE 30, NOVEMBER 30,
1999 1999 1998 1997 1996 (a) 1995
------------ ------- ------- ------- ------------ ------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD............... $ 10.61 $ 12.02 $ 10.94 $ 10.73 $ 11.50 $ 9.36
------- ------- ------- ------- ------- -------
Investment Activities:
Net investment income (loss)...... 0.01 (0.02) (0.03) (0.04) (0.07) (0.04)
Net realized and unrealized gains
(losses) from investments....... 1.53 (0.20) 2.44 1.35 1.40 2.35
------- ------- ------- ------- ------- -------
Total from Investment
Activities................... 1.54 (0.22) 2.41 1.31 1.33 2.31
------- ------- ------- ------- ------- -------
Distributions:
Net realized gains................ (0.88) (1.19) (1.33) (1.10) (2.10) (0.17)
------- ------- ------- ------- ------- -------
Total Distributions............. (0.88) (1.19) (1.33) (1.10) (2.10) (0.17)
------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD...... $ 11.27 $ 10.61 $ 12.02 $ 10.94 $ 10.73 $ 11.50
======= ======= ======= ======= ======= =======
Total Return (Excludes Sales
Charge)........................... 15.05%(b) (0.53)% 23.28% 13.52% 12.85%(b) 25.07%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000)........................... $52,049 $22,081 $21,634 $17,299 $18,356 $95,467
Ratio of expenses to average net
assets.......................... 1.30%(c) 1.31% 1.31% 1.27% 1.05%(c) 1.03%
Ratio of net investment income to
average net assets.............. (0.29)%(c) (0.24)% (0.31)% (0.41)% 0.33%(c) (0.36)%
Ratio of expenses to average net
assets*......................... 1.44%(c) 1.44% 1.44% 1.45% 1.07%(c) 1.03%
Ratio of net investment income to
average net assets*............. (0.43)%(c) (0.37)% (0.44)% (0.59)% (0.35)%(c) (0.36)%
Portfolio turnover (d)............ 63.28% 127.83% 83.77% 92.01% 59.57% 65.00%
</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.
118
<PAGE> 121
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SMALL CAP GROWTH FUND
---------------------------------------------------------------------------
CLASS B SHARES
---------------------------------------------------------------------------
SIX MONTHS SEVEN MONTHS YEAR
ENDED YEAR ENDED JUNE 30, ENDED ENDED
DECEMBER 31, --------------------------- JUNE 30, NOVEMBER 30,
1999 1999 1998 1997 1996 (a) 1995
------------ ------- ------ ------ ------------ ------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD.............................. $ 10.26 $ 11.79 $10.84 $10.72 $11.56 $ 9.47
------- ------- ------ ------ ------ ------
Investment Activities:
Net investment income (loss)........ 0.02 (0.06) (0.03) (0.10) (0.06) (0.07)
Net realized and unrealized gains
(losses) from investments......... 1.41 (0.28) 2.31 1.32 1.35 2.33
------- ------- ------ ------ ------ ------
Total from Investment
Activities..................... 1.43 (0.34) 2.28 1.22 1.29 2.26
------- ------- ------ ------ ------ ------
Distributions:
Net realized gains.................. (0.88) (1.19) (1.33) (1.10) (2.13) (0.17)
------- ------- ------ ------ ------ ------
Total Distributions............... (0.88) (1.19) (1.33) (1.10) (2.13) (0.17)
------- ------- ------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD........ $ 10.81 $ 10.26 $11.79 $10.84 $10.72 $11.56
======= ======= ====== ====== ====== ======
Total Return (Excludes Sales
Charge)............................. 14.48%(b) (1.69)% 22.24% 12.74% 12.47%(b) 24.21%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)... $17,707 $10,278 $8,567 $3,835 $2,545 $1,814
Ratio of expenses to average net
assets............................ 2.05%(c) 2.06% 2.06% 2.02% 1.87%(c) 1.78%
Ratio of net investment income to
average net assets................ (1.07)%(c) (1.00)% (1.02)% (1.16)% (1.10)%(c) (1.16)%
Ratio of expenses to average net
assets*........................... 2.09%(c) 2.09% 2.09% 2.12% 1.92%(c) 1.78%
Ratio of net investment income to
average net assets*............... (1.11)%(c) (1.03)% (1.05)% (1.26)% (1.15)%(c) (1.16)%
Portfolio turnover (d).............. 63.28% 127.83% 83.77% 92.01% 59.57% 65.00%
</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.
119
<PAGE> 122
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SMALL CAP GROWTH FUND
-------------------------------------
CLASS C SHARES
-------------------------------------
SIX MONTHS YEAR NOVEMBER 4,
ENDED ENDED 1997 TO
DECEMBER 31, JUNE 30, JUNE 30,
1999 1999 1998 (a)
------------ -------- -----------
(UNAUDITED)
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $10.43 $11.97 $13.03
------ ------ ------
Investment Activities:
Net investment income (loss).............................. (0.02) (0.08) (0.02)
Net realized and unrealized gains (losses) from
investments............................................. 1.51 (0.27) 0.29
------ ------ ------
Total from Investment Activities........................ 1.49 $(0.35) 0.27
------ ------ ------
Distributions:
Net realized gains........................................ (0.88) (1.19) (1.33)
------ ------ ------
Total Distributions..................................... (0.88) (1.19) (1.33)
------ ------ ------
NET ASSET VALUE, END OF PERIOD.............................. $11.04 $10.43 $11.97
====== ====== ======
Total Return (Excludes Sales Charge)........................ 14.83%(b) (1.75)% 3.08%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $ 214 $ 129 $ 90
Ratio of expenses to average net assets................... 2.05%(c) 2.06% 2.05%(c)
Ratio of net investment income to average net assets...... (1.07)%(c) (1.02)% (0.85)%(c)
Ratio of expenses to average net assets*.................. 2.09%(c) 2.09% 2.07%(c)
Ratio of net investment income to average net assets*..... (1.11)%(c) (1.05)% (0.87)%(c)
Portfolio turnover (d).................................... 63.28% 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.
120
<PAGE> 123
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SMALL CAP VALUE FUND
---------------------------------------------------------------------------
CLASS I SHARES
---------------------------------------------------------------------------
SIX MONTHS SIX MONTHS JANUARY 27,
ENDED ENDED YEAR ENDED DECEMBER 31, 1995 TO
DECEMBER 31, JUNE 30, ------------------------------ DECEMBER 31,
1999 1999 (a) 1998 1997 1996 1995 (b)
------------ ---------- -------- -------- -------- ------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD......................... $ 14.26 $ 15.02 $ 16.22 $ 13.80 $ 12.19 $ 10.00
-------- -------- -------- -------- -------- -------
Investment Activities:
Net investment income (loss)... 0.01 (0.02) (0.07) (0.05) (0.01) 0.06
Net realized and unrealized
gains (losses) from
investments.................. (1.11) (0.66) (0.60) 4.24 3.13 2.44
-------- -------- -------- -------- -------- -------
Total from Investment
Activities................ (1.10) (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... $ 13.16 $ 14.26 $ 15.02 $ 16.22 $ 13.80 $ 12.19
======== ======== ======== ======== ======== =======
Total Return..................... (7.71)%(c) (4.48)%(c) (4.11)% 30.60% 25.63% 25.08%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000)........................ $188,942 $246,712 $276,754 $217,908 $125,840 $92,926
Ratio of expenses to average
net assets................... 0.92%(d) 0.94%(d) 0.94% 0.93% 0.88% 0.85%(d)
Ratio of net investment income
to average net assets........ 0.10%(d) (0.35)%(d) (0.48)% (0.43)% (0.04)% 0.59%(d)
Ratio of expenses to average
net assets*.................. 1.05%(d) 1.03%(d) 0.94% 0.93% 1.02% 1.09%(d)
Ratio of net investment income
to average net assets*....... (0.03)%(d) (0.44)%(d) (0.48)% (0.43)% (0.18)% 0.35%(d)
Portfolio turnover (e)......... 85.38% 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) Upon reorganizing as a fund of the One Group, the Pegasus Small Cap
Opportunity Fund became the Small Cap Value Fund. The Financial Highlights
for the periods prior to March 21, 1999 represent the Pegasus Small Cap
Opportunity Fund.
(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.
121
<PAGE> 124
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SMALL CAP VALUE FUND
-----------------------------------------------------------------------
CLASS A SHARES
-----------------------------------------------------------------------
SIX MONTHS SIX MONTHS JANUARY 27,
ENDED ENDED YEAR ENDED DECEMBER 31, 1995 TO
DECEMBER 31, JUNE 30, -------------------------- DECEMBER 31,
1999 1999 (a) 1998 1997 1996 1995 (b)
------------ ---------- ------- ------- ------ ------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD............................. $ 14.04 $ 14.81 $ 16.03 $ 13.70 $12.20 $10.00
------- ------- ------- ------- ------ ------
Investment Activities:
Net investment income (loss)....... (0.02) (0.05) (0.10) (0.06) (0.02) 0.02
Net realized and unrealized gains
(losses) from investments........ (1.05) (0.64) (0.59) 4.16 3.02 2.45
------- ------- ------- ------- ------ ------
Total from Investment
Activities.................... (1.07) (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....... $ 12.97 $ 14.04 $ 14.81 $ 16.03 $13.70 $12.20
======= ======= ======= ======= ====== ======
Total Return (Excludes Sales
Charge)............................ (7.62)%(c) (4.61)%(c) (4.29)% 30.16% 24.59% 24.80%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000)............................ $19,845 $26,592 $32,217 $21,836 $6,697 $ 672
Ratio of expenses to average net
assets........................... 1.17%(d) 1.17%(d) 1.19% 1.18% 1.13% 1.25%(d)
Ratio of net investment income to
average net assets............... (0.16)%(d) (0.58)%(d) (0.73)% (0.68)% (0.29)% 0.19%(d)
Ratio of expenses to average net
assets*.......................... 1.40%(d) 1.29%(d) 1.19% 1.18% 1.24% 2.56%(d)
Ratio of net investment income to
average net assets*.............. (0.39)%(d) (0.70)%(d) (0.73)% (0.68)% (0.40)% (1.12)%(d)
Portfolio turnover (e)............. 85.38% 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) Upon reorganizing as a fund of the One Group, the Pegasus Small Cap
Opportunity Fund became the Small Cap Value Fund. The Financial Highlights
for the periods prior to March 21, 1999 represent the Pegasus Small Cap
Opportunity Fund.
(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.
122
<PAGE> 125
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SMALL CAP VALUE FUND
---------------------------------------------------------------------
CLASS B SHARES
---------------------------------------------------------------------
SIX MONTHS SIX MONTHS JANUARY 27,
ENDED ENDED YEAR ENDED DECEMBER 31, 1995 TO
DECEMBER 31, JUNE 30, ------------------------ DECEMBER 31,
1999 1999 (a) 1998 1997 1996 1995 (b)
------------ ---------- ------ ------ ------ ------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD... $13.63 $14.41 $15.74 $13.58 $12.12 $10.00
------ ------ ------ ------ ------ ------
Investment Activities:
Net investment income (loss)......... (0.07) (0.11) (0.17) (0.07) (0.04) (0.03)
Net realized and unrealized gains
(losses) from investments.......... (1.04) (0.59) (0.63) 4.00 3.00 2.40
------ ------ ------ ------ ------ ------
Total from Investment Activities... (1.11) (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......... $12.52 $13.63 $14.41 $15.74 $13.58 $12.12
====== ====== ====== ====== ====== ======
Total Return (Excludes Sales Charge)... (8.14)%(c) (4.81)%(c) (5.11)% 29.17% 24.42% 23.76%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000).... $2,845 $3,320 $4,014 $1,799 $ 110 $ 15
Ratio of expenses to average net
assets............................. 1.92%(d) 1.94%(d) 1.94% 1.93% 1.88% 2.00%(d)
Ratio of net investment income to
average net assets................. (0.89)%(d) (1.34)%(d) (1.48)% (1.43)% (1.04)% (0.51)%(d)
Ratio of expenses to average net
assets*............................ 2.05%(d) 2.02%(d) 1.94% 1.93% 3.04% 9.52%(d)
Ratio of net investment income to
average net assets*................ (1.02)%(d) (1.42)%(d) (1.48)% (1.43)% (2.20)% (8.03)%(d)
Portfolio turnover (e)............... 85.38% 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) Upon reorganizing as a fund of the One Group, the Pegasus Small Cap
Opportunity Fund became the Small Cap Value Fund. The Financial Highlights
for the periods prior to March 21, 1999 represent the Pegasus Small Cap
Opportunity Fund.
(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.
123
<PAGE> 126
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SMALL CAP VALUE FUND
-------------------------
CLASS C SHARES
-------------------------
SIX MONTHS MARCH 22,
ENDED 1999 TO
DECEMBER 31, JUNE 30,
1999 1999 (a)
------------ ---------
(UNAUDITED)
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $13.60 $12.07
------ ------
Investment Activities:
Net realized and unrealized gains (losses) from
investments............................................. (1.09) 1.53
------ ------
Total from Investment Activities........................ (1.09) 1.53
------ ------
Distributions:
Total Distributions..................................... -- --
------ ------
NET ASSET VALUE, END OF PERIOD.............................. $12.51 $13.60
====== ======
Total Return (Excludes Sales Charge)........................ (8.01)%(b) 12.68%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $ 40 $ 19
Ratio of expenses to average net assets................... 1.92%(c) 1.94%(c)
Ratio of net investment income to average net assets...... (0.76)%(c) (1.13)%(c)
Ratio of expenses to average net assets*.................. 2.05%(c) 2.11%(c)
Ratio of net investment income to average net assets*..... (0.89)%(c) (1.30)%(c)
Portfolio turnover (d).................................... 85.38% 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.
124
<PAGE> 127
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MID CAP GROWTH FUND
----------------------------------------------------------------------
CLASS I SHARES
----------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED JUNE 30,
DECEMBER 31, ------------------------------------------------------
1999 1999 1998 1997 1996 1995
------------ ---------- -------- -------- -------- --------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD.............................. $ 25.32 $ 22.51 $ 19.46 $ 18.81 $ 18.40 $ 15.96
---------- ---------- -------- -------- -------- --------
Investment Activities:
Net investment income (loss)........ (0.03) (0.07) (0.07) 0.25 0.20 0.06
Net realized and unrealized gains
(losses) from investments......... 4.74 5.58 5.70 3.59 3.83 2.98
---------- ---------- -------- -------- -------- --------
Total from Investment
Activities..................... 4.71 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.................. (4.08) (2.70) (2.58) (2.92) (3.42) (0.54)
---------- ---------- -------- -------- -------- --------
Total Distributions............... (4.08) (2.70) (2.58) (3.19) (3.62) (0.60)
---------- ---------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD........ $ 25.95 $ 25.32 $ 22.51 $ 19.46 $ 18.81 $ 18.40
========== ========== ======== ======== ======== ========
Total Return.......................... 19.27%(a) 28.39% 31.11% 22.75% 24.63% 19.75%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)... $1,345,458 $1,164,884 $868,901 $623,911 $532,525 $413,518
Ratio of expenses to average net
assets............................ 1.00%(b) 0.99% 1.00% 0.99% 1.00% 0.98%
Ratio of net investment income to
average net assets................ (0.27)%(b) (0.35)% (0.36)% 1.32% 1.15% 0.38%
Ratio of expenses to average net
assets*........................... 1.00%(b) 0.99% 1.00% 0.99% 1.01% 0.98%
Ratio of net investment income to
average net assets*............... (0.27)%(b) (0.35)% (0.36)% 1.32% 1.14% 0.38%
Portfolio turnover (c).............. 80.41% 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) 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.
See notes to financial statements.
125
<PAGE> 128
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MID CAP GROWTH FUND
----------------------------------------------------------------
CLASS A SHARES
----------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED JUNE 30,
DECEMBER 31, ------------------------------------------------
1999 1999 1998 1997 1996 1995
------------ -------- ------- ------- ------- -------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD....... $ 25.02 $ 22.36 $ 19.37 $ 18.76 $ 18.36 $ 15.93
-------- -------- ------- ------- ------- -------
Investment Activities:
Net investment income (loss)............. (0.04) (0.10) (0.08) 0.21 0.17 0.02
Net realized and unrealized gains
(losses) from investments.............. 4.65 5.46 5.65 3.58 3.80 2.98
-------- -------- ------- ------- ------- -------
Total from Investment Activities....... 4.61 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....................... (4.08) (2.70) (2.58) (2.92) (3.42) (0.54)
-------- -------- ------- ------- ------- -------
Total Distributions.................... (4.08) (2.70) (2.58) (3.18) (3.57) (0.57)
-------- -------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD............. $ 25.55 $ 25.02 $ 22.36 $ 19.37 $ 18.76 $ 18.36
======== ======== ======= ======= ======= =======
Total Return (Excludes Sales Charge)....... 19.10%(a) 27.87% 30.95% 22.52% 24.32% 19.50%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)........ $212,824 $159,292 $95,647 $43,370 $28,052 $11,178
Ratio of expenses to average net
assets................................. 1.25%(b) 1.24% 1.25% 1.25% 1.25% 1.23%
Ratio of net investment income to average
net assets............................. (0.52)%(b) (0.60)% (0.60)% 0.92% 0.90% 0.12%
Ratio of expenses to average net
assets*................................ 1.35%(b) 1.34% 1.35% 1.34% 1.36% 1.33%
Ratio of net investment income to average
net assets*............................ (0.62)%(b) (0.70)% (0.70)% 0.83% 0.79% 0.02%
Portfolio turnover (c)................... 80.41% 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) 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.
See notes to financial statements.
126
<PAGE> 129
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MID CAP GROWTH FUND
--------------------------------------------------------------
CLASS B SHARES
--------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED JUNE 30,
DECEMBER 31, -----------------------------------------------
1999 1999 1998 1997 1996 1995
------------ -------- ------- ------- ------- ------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........ $ 23.67 $ 21.44 $ 18.82 $ 18.43 $ 18.14 $15.85
-------- -------- ------- ------- ------- ------
Investment Activities:
Net investment income (loss).............. (0.06) (0.18) (0.15) 0.11 0.09 (0.07)
Net realized and unrealized gains (losses)
from investments........................ 4.31 5.11 5.35 3.44 3.69 2.90
-------- -------- ------- ------- ------- ------
Total from Investment Activities........ 4.25 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........................ (4.08) (2.70) (2.58) (2.92) (3.42) (0.54)
-------- -------- ------- ------- ------- ------
Total Distributions..................... (4.08) (2.70) (2.58) (3.16) (3.49) (0.54)
-------- -------- ------- ------- ------- ------
NET ASSET VALUE, END OF PERIOD.............. $ 23.84 $ 23.67 $ 21.44 $ 18.82 $ 18.43 $18.14
======== ======== ======= ======= ======= ======
Total Return (Excludes Sales Charge)........ 18.66%(a) 26.96% 29.79% 21.73% 23.53% 18.47%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......... $196,084 $147,600 $90,930 $37,409 $12,910 $2,787
Ratio of expenses to average net assets... 2.00%(b) 1.99% 2.00% 2.00% 2.00% 1.98%
Ratio of net investment income to average
net assets.............................. (1.27)%(b) (1.35)% (1.35)% 0.01% 0.15% (0.63)%
Ratio of expenses to average net
assets*................................. 2.00%(b) 1.99% 2.00% 2.00% 2.01% 1.98%
Ratio of net investment income to average
net assets*............................. (1.27)%(b) (1.35)% (1.35)% 0.01% 0.14% (0.63)%
Portfolio turnover (c).................... 80.41% 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) 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.
See notes to financial statements.
127
<PAGE> 130
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MID CAP GROWTH FUND
---------------------------------------
CLASS C SHARES
---------------------------------------
SIX MONTHS YEAR NOVEMBER 4,
ENDED ENDED 1997 TO
DECEMBER 31, JUNE 30, JUNE 30,
1999 1999 1998 (a)
------------ -------- -----------
(UNAUDITED)
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 25.04 $ 22.42 $ 21.47
------- ------- -------
Investment Activities:
Net investment income (loss).............................. (0.06) (0.15) (0.04)
Net realized and unrealized gains (losses) from
investments............................................. 4.62 5.47 2.77
------- ------- -------
Total from Investment Activities........................ 4.56 5.32 2.73
------- ------- -------
Distributions:
Net realized gains........................................ (4.08) (2.70) (1.78)
------- ------- -------
Total Distributions..................................... (4.08) (2.70) (1.78)
------- ------- -------
NET ASSET VALUE, END OF PERIOD.............................. $ 25.52 $ 25.04 $ 22.42
======= ======= =======
Total Return (Excludes Sales Charge)........................ 18.87%(b) 27.57% 14.27%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $40,088 $16,597 $ 1,088
Ratio of expenses to average net assets................... 2.00%(c) 1.99% 2.01%
Ratio of net investment income to average net assets...... (1.27)%(c) (1.32)% (1.31)%
Portfolio turnover (d).................................... 80.41% 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.
128
<PAGE> 131
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MID CAP VALUE FUND
-------------------------------------------------------------------------
CLASS I SHARES
-------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED JUNE 30,
DECEMBER 31, ------------------------------------------------------
1999 1999 1998 1997 1996 1995
------------ ---------- -------- -------- -------- --------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD.............. $ 14.88 $ 16.90 $ 15.65 $ 14.69 $ 13.20 $ 11.90
-------- ---------- -------- -------- -------- --------
Investment Activities:
Net investment income (loss)..... 0.05 0.13 0.14 0.22 0.29 0.28
Net realized and unrealized gains
(losses) from investments...... (0.61) 0.24 3.99 2.57 2.27 1.57
-------- ---------- -------- -------- -------- --------
Total from Investment
Activities.................. (0.56) 0.37 4.13 2.79 2.56 1.85
-------- ---------- -------- -------- -------- --------
Distributions:
Net investment income............ (0.05) (0.13) (0.14) (0.22) (0.29) (0.27)
Net realized gains............... (1.30) (2.26) (2.74) (1.61) (0.78) (0.28)
-------- ---------- -------- -------- -------- --------
Total Distributions............ (1.35) (2.39) (2.88) (1.83) (1.07) (0.55)
-------- ---------- -------- -------- -------- --------
NET ASSET VALUE,
END OF PERIOD.................... $ 12.97 $ 14.88 $ 16.90 $ 15.65 $ 14.69 $ 13.20
======== ========== ======== ======== ======== ========
Total Return....................... (3.62)%(a) 3.82% 28.27% 20.56% 20.10% 16.03%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000).......................... $932,629 $1,057,827 $634,672 $562,302 $522,474 $448,530
Ratio of expenses to average
net assets..................... 0.97%(b) 0.95% 0.96% 0.98% 0.99% 1.00%
Ratio of net investment income to
average net assets............. 0.80%(b) 0.94% 0.85% 1.52% 2.04% 2.21%
Ratio of expenses to average
net assets*.................... 0.99%(b) 0.96% 0.96% 0.98% 1.00% 1.10%
Ratio of net investment income to
average net assets*............ 0.78%(b) 0.93% 0.85% 1.52% 2.03% 2.11%
Portfolio Turnover (c)........... 51.33% 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) 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.
See notes to financial statements.
129
<PAGE> 132
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MID CAP VALUE FUND
-----------------------------------------------------------------
CLASS A SHARES
-----------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED JUNE 30,
DECEMBER 31, ------------------------------------------------
1999 1999 1998 1997 1996 1995
------------ -------- ------- ------- ------- -------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD...... $ 14.93 $ 16.93 $ 15.68 $ 14.72 $ 13.22 $ 11.91
------- -------- ------- ------- ------- -------
Investment Activities:
Net investment income (loss)............ 0.04 0.09 0.10 0.19 0.25 0.24
Net realized and unrealized gains
(losses) from investments............. (0.61) 0.26 3.99 2.57 2.28 1.59
------- -------- ------- ------- ------- -------
Total from Investment Activities...... (0.57) 0.35 4.09 2.76 2.53 1.83
------- -------- ------- ------- ------- -------
Distributions:
Net investment income................... (0.04) (0.09) (0.10) (0.19) (0.25) (0.24)
Net realized gains...................... (1.30) (2.26) (2.74) (1.61) (0.78) (0.26)
In excess of net realized gains......... -- -- -- -- -- (0.02)
------- -------- ------- ------- ------- -------
Total Distributions................... (1.34) (2.35) (2.84) (1.80) (1.03) (0.52)
------- -------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD............ $ 13.02 $ 14.93 $ 16.93 $ 15.68 $ 14.72 $ 13.22
======= ======== ======= ======= ======= =======
Total Return (Excludes Sales Charge)...... (3.73)%(a) 3.70% 27.90% 20.21% 19.80% 15.43%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)....... $99,685 $122,392 $29,443 $23,909 $20,838 $13,560
Ratio of expenses to average net
assets................................ 1.22%(b) 1.21% 1.21% 1.23% 1.24% 1.26%
Ratio of net investment income
to average net assets................. 0.56%(b) 0.28% 0.60% 1.26% 1.79% 1.99%
Ratio of expenses to average
net assets*........................... 1.34%(b) 1.31% 1.31% 1.31% 1.35% 1.36%
Ratio of net investment income
to average net assets*................ 0.44%(b) 0.18% 0.50% 1.18% 1.68% 1.89%
Portfolio turnover (c).................. 51.33% 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) 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.
See notes to financial statements.
130
<PAGE> 133
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MID CAP VALUE FUND
------------------------------------------------------------------
CLASS B SHARES
------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED JUNE 30,
DECEMBER 31, -----------------------------------------------
1999 1999 1998 1997 1996 1995
------------ ------- ------- ------- ------- -------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD...... $ 14.80 $ 16.85 $ 15.64 $ 14.69 $ 13.19 $ 11.90
------- ------- ------- ------- ------- -------
Investment Activities:
Net investment income (loss)............ (0.01) -- (0.02) 0.08 0.15 0.15
Net realized and unrealized gains
(losses) from investments............. (0.61) 0.22 3.98 2.55 2.27 1.58
------- ------- ------- ------- ------- -------
Total from Investment Activities...... (0.62) 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...................... (1.30) (2.26) (2.74) (1.61) (0.78) (0.28)
------- ------- ------- ------- ------- -------
Total Distributions................... (1.30) (2.27) (2.75) (1.68) (0.92) (0.44)
------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD............ $ 12.88 $ 14.80 $ 16.85 $ 15.64 $ 14.69 $ 13.19
======= ======= ======= ======= ======= =======
Total Return (Excludes Sales Charge)...... (4.08)%(a) 2.76% 26.97% 19.19% 18.93% 14.92%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)....... $36,461 $41,380 $30,094 $20,499 $16,305 $11,222
Ratio of expenses to average net
assets................................ 1.97%(b) 1.95% 1.96% 1.98% 1.99% 2.00%
Ratio of net investment income to
average net assets.................... (0.20)%(b) (0.25)% (0.15)% 0.51% 1.04% 1.26%
Ratio of expenses to average
net assets*........................... 1.99%(b) 1.96% 1.96% 1.98% 2.00% 2.01%
Ratio of net investment income to
average net assets*................... (0.22)%(b) (0.26)% (0.15)% 0.51% 1.03% 1.25%
Portfolio turnover (c).................. 51.33% 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) 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.
See notes to financial statements.
131
<PAGE> 134
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MID CAP VALUE FUND
------------------------
CLASS C SHARES
------------------------
SIX MONTHS MARCH 22,
ENDED 1999 TO
DECEMBER 31, JUNE 30,
1999 1999 (a)
------------ ---------
(UNAUDITED)
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $14.80 $13.34
------ -------
Investment Activities:
Net realized and unrealized gains (losses) from
investments............................................. (0.59) 1.46
------ -------
Total from Investment Activities........................ (0.59) 1.46
------ -------
Distributions:
Net realized gains........................................ (1.30) --
------ -------
Total Distributions..................................... (1.30) --
------ -------
NET ASSET VALUE, END OF PERIOD.............................. $12.91 $14.80
====== =======
Total Return (Excludes Sales Charge)........................ (3.89)%(b) 10.98%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $ 32 $ 48
Ratio of expenses to average net assets................... 1.97%(c) 1.95%(c)
Ratio of net investment income to average net assets...... (0.20)%(c) (0.44)%(c)
Ratio of expenses to average net assets*.................. 1.99%(c) 1.96%(c)
Ratio of net investment income to average net assets*..... (0.22)%(c) (0.45)%(c)
Portfolio turnover (d).................................... 51.33% 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.
132
<PAGE> 135
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED MID CAP FUND
------------------------------------------------------------------------
CLASS I SHARES
------------------------------------------------------------------------
SIX MONTHS SIX MONTHS
ENDED ENDED YEAR ENDED DECEMBER 31,
DECEMBER 31, JUNE 30, -----------------------------------------
1999 1999 (a) 1998 1997 1996 1995
------------ ----------- -------- -------- -------- --------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD.............................. $ 22.10 $ 20.46 $ 20.93 $ 17.61 $ 15.15 $ 13.34
-------- -------- -------- -------- -------- --------
Investment Activities:
Net investment income (loss)........ 0.03 (0.01) (0.01) 0.01 0.04 0.06
Net realized and unrealized gains
(losses) from investments......... 0.34 1.70 0.93 4.88 3.74 2.57
-------- -------- -------- -------- -------- --------
Total from Investment
Activities..................... 0.37 1.69 0.92 4.89 3.78 2.63
-------- -------- -------- -------- -------- --------
Distributions:
Net investment income............... -- -- -- (0.01) (0.04) (0.06)
Net realized gains.................. (3.01) (0.05) (1.39) (1.56) (1.28) (0.76)
-------- -------- -------- -------- -------- --------
Total Distributions............... (3.01) (0.05) (1.39) (1.57) (1.32) (0.82)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD........ $ 19.46 $ 22.10 $ 20.46 $ 20.93 $ 17.61 $ 15.15
======== ======== ======== ======== ======== ========
Total Return.......................... 2.09%(b) 8.32%(b) 4.61% 27.91% 25.03% 19.88%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)... $929,159 $987,059 $987,256 $803,670 $677,608 $579,094
Ratio of expenses to average
net assets........................ 0.86%(c) 0.90%(c) 0.90% 0.84% 0.81% 0.89%
Ratio of net investment income to
average net assets................ 0.28%(c) (0.09)%(c) (0.08)% 0.05% 0.24% 0.37%
Ratio of expenses to average
net assets*....................... 1.00%(c) 0.97%(c) 0.90% 0.84% 0.81% 0.89%
Ratio of net investment income to
average net assets*............... 0.14%(c) (0.16)%(c) (0.08)% 0.05% 0.24% 0.37%
Portfolio turnover (d).............. 32.47% 23.53% 26.89% 37.54%(e) 34.87% 53.55%
</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 Pegasus Mid Cap
Opportunity Fund became the Diversified Mid Cap Fund. The Financial
Highlights for the periods prior to March 21, 1999 represent the Pegasus Mid
Cap Opportunity Fund.
(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.
133
<PAGE> 136
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED MID CAP FUND
----------------------------------------------------------------------
CLASS A SHARES
----------------------------------------------------------------------
SIX MONTHS SIX MONTHS
ENDED ENDED YEAR ENDED DECEMBER 31,
DECEMBER 31, JUNE 30, ---------------------------------------
1999 1999 (a) 1998 1997 1996 1995
------------ ----------- -------- -------- ------- -------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD............................. $ 21.96 $ 20.35 $ 20.89 $ 17.61 $ 15.15 $ 13.34
-------- -------- -------- -------- ------- -------
Investment Activities:
Net investment income (loss)....... 0.01 (0.04) (0.07) (0.03) 0.02 0.06
Net realized and unrealized gains
(losses) from investments........ 0.34 1.70 0.92 4.87 3.74 2.57
-------- -------- -------- -------- ------- -------
Total from Investment
Activities.................... 0.35 1.66 0.85 4.84 3.76 2.63
-------- -------- -------- -------- ------- -------
Distributions:
Net investment income.............. -- -- -- -- (0.02) (0.06)
Net realized gains................. (3.01) (0.05) (1.39) (1.56) (1.28) (0.76)
-------- -------- -------- -------- ------- -------
Total Distributions.............. (3.01) (0.05) (1.39) (1.56) (1.30) (0.82)
-------- -------- -------- -------- ------- -------
NET ASSET VALUE, END OF PERIOD....... $ 19.30 $ 21.96 $ 20.35 $ 20.89 $ 17.61 $ 15.15
======== ======== ======== ======== ======= =======
Total Return (Excludes Sales
Charge)............................ 2.01%(b) 8.21%(b) 4.30% 27.56% 24.91% 19.88%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000)............................ $224,950 $242,528 $278,279 $234,020 $91,516 $71,858
Ratio of expenses to average
net assets....................... 1.11%(c) 1.10%(c) 1.15% 1.09% 0.93% 0.89%
Ratio of net investment income to
average net assets............... 0.02%(c) (0.30)%(c) (0.33)% (0.20)% 0.12% 0.37%
Ratio of expenses to average
net assets*...................... 1.35%(c) 1.22%(c) 1.15% 1.09% 0.93% 0.89%
Ratio of net investment income to
average net assets*.............. (0.22)%(c) (0.42)%(c) (0.33)% (0.20)% 0.12% 0.37%
Portfolio turnover (d)............. 32.47% 23.53% 26.89% 37.54%(e) 34.87% 53.55%
</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 Pegasus Mid Cap
Opportunity Fund became the Diversified Mid Cap Fund. The Financial
Highlights for the periods prior to March 21, 1999 represent the Pegasus Mid
Cap Opportunity Fund.
(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.
134
<PAGE> 137
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED MID CAP FUND
--------------------------------------------------------------
CLASS B SHARES
--------------------------------------------------------------
SIX MONTHS SIX MONTHS YEAR ENDED SEPTEMBER 23,
ENDED ENDED DECEMBER 31, 1996 TO
DECEMBER 31, JUNE 30, --------------- DECEMBER 31,
1999 1999(a) 1998 1997 1996 (b)
------------ ----------- ------ ------ -------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........... $10.23 $ 9.55 $10.58 $ 9.57 $10.00
------ ------ ------ ------ ------
Investment Activities:
Net investment income (loss)................. 0.01 (0.07) (0.09) (0.03) --
Net realized and unrealized gains (losses)
from investments........................... 0.06 0.80 0.45 2.60 0.79
------ ------ ------ ------ ------
Total from Investment Activities........... 0.07 0.73 0.36 2.57 0.79
------ ------ ------ ------ ------
Distributions:
Net investment income........................ -- -- -- -- (0.01)
Net realized gains........................... (3.01) (0.05) (1.39) (1.56) (1.21)
------ ------ ------ ------ ------
Total Distributions........................ (3.01) (0.05) (1.39) (1.56) (1.22)
------ ------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD................. $ 7.29 $10.23 $ 9.55 $10.58 $ 9.57
====== ====== ====== ====== ======
Total Return (Excludes Sales Charge)........... 1.57%(c) 7.76%(c) 3.79% 27.10% 7.94%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)............ $5,978 $6,283 $7,108 $3,965 $ 154
Ratio of expenses to average net assets...... 1.86%(d) 1.88%(d) 1.90% 1.84% 1.81%(d)
Ratio of net investment income to average
net assets................................. (0.72)%(d) (1.08)%(d) (1.08)% (0.95)% (0.59)%(d)
Ratio of expenses to average net assets*..... 2.00%(d) 1.95%(d) 1.90% 1.84% 1.81%(d)
Ratio of net investment income to average
net assets*................................ (0.86)%(d) (1.15)%(d) (1.08)% (0.95)% (0.59)%(d)
Portfolio turnover (e)....................... 32.47% 23.53% 26.89% 37.54%(f) 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) Upon reorganizing as a fund of the One Group, the Pegasus Mid Cap
Opportunity Fund became the Diversified Mid Cap Fund. The Financial
Highlights for the periods prior to March 21, 1999 represent the Pegasus Mid
Cap Opportunity Fund.
(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.
(f) 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.
135
<PAGE> 138
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED MID CAP FUND
-------------------------
CLASS C SHARES
-------------------------
SIX MONTHS MARCH 22,
ENDED 1999 TO
DECEMBER 31, JUNE 30,
1999 1999 (a)
------------ ---------
(UNAUDITED)
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $10.23 $ 8.93
------ ------
Investment Activities:
Net realized and unrealized gains (losses) from
investments............................................. 0.08 1.30
------ ------
Total from Investment Activities........................ 0.08 1.30
------ ------
Distributions:
Net realized gains........................................ (3.01) --
------ ------
Total Distributions..................................... (3.01) --
------ ------
NET ASSET VALUE,
END OF PERIOD............................................. $ 7.30 $10.23
====== ======
Total Return (Excludes Sales Charge)........................ 1.66%(b) 14.56%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $ 88 $ 15
Ratio of expenses to average net assets................... 1.86%(c) 1.88%(c)
Ratio of net investment income to average net assets...... (0.59)%(c) (1.20)%(c)
Ratio of expenses to average net assets*.................. 2.00%(c) 1.99%(c)
Ratio of net investment income to average net assets*..... (0.73)%(c) (1.31)%(c)
Portfolio turnover (d).................................... 32.47% 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.
136
<PAGE> 139
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LARGE CAP GROWTH FUND
--------------------------------------------------------------------------
CLASS I SHARES
--------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED JUNE 30,
DECEMBER 31, ----------------------------------------------------------
1999 1999 1998 1997 1996 1995
------------ ---------- ---------- ---------- -------- --------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD.......................... $ 26.15 $ 22.71 $ 19.44 $ 15.44 $ 13.47 $ 11.32
---------- ---------- ---------- ---------- -------- --------
Investment Activities:
Net investment income (loss).... (0.01) -- 0.04 0.12 0.18 0.20
Net realized and unrealized
gains (losses) from
investments................... 3.89 5.80 6.13 4.79 2.14 3.04
---------- ---------- ---------- ---------- -------- --------
Total from Investment
Activities................. 3.88 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.............. (3.34) (2.36) (2.88) (0.80) (0.17) (0.89)
---------- ---------- ---------- ---------- -------- --------
Total Distributions........... (3.34) (2.36) (2.90) (0.91) (0.35) (1.09)
---------- ---------- ---------- ---------- -------- --------
NET ASSET VALUE, END OF PERIOD.... $ 26.69 $ 26.15 $ 22.71 $ 19.44 $ 15.44 $ 13.47
========== ========== ========== ========== ======== ========
Total Return...................... 15.34%(a) 28.78% 35.75% 33.11% 17.36% 21.85%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000)......................... $3,276,881 $3,052,729 $1,510,521 $1,142,864 $745,986 $531,595
Ratio of expenses to average net
assets........................ 0.93%(b) 0.96% 0.99% 0.99% 0.96% 1.00%
Ratio of net investment income
to average net assets......... (0.05)%(b) 0.07% 0.21% 0.69% 1.20% 1.72%
Ratio of expenses to average net
assets*....................... 0.93%(b) 0.96% 0.99% 0.99% 0.99% 1.00%
Ratio of net investment income
to average net assets*........ (0.05)%(b) 0.07% 0.21% 0.69% 1.17% 1.72%
Portfolio turnover (c).......... 54.00% 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) 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.
See notes to financial statements.
137
<PAGE> 140
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LARGE CAP GROWTH FUND
-----------------------------------------------------------------
CLASS A SHARES
-----------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED JUNE 30,
DECEMBER 31, --------------------------------------------------
1999 1999 1998 1997 1996 1995
------------ -------- -------- -------- ------- -------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD......... $ 26.86 $ 23.32 $ 19.92 $ 15.83 $ 13.83 $ 11.62
-------- -------- -------- -------- ------- -------
Investment Activities:
Net investment income (loss)............... (0.02) (0.07) (0.01) 0.08 0.14 0.17
Net realized and unrealized gains (losses)
from investments......................... 3.97 5.97 6.30 4.88 2.17 3.10
-------- -------- -------- -------- ------- -------
Total from Investment Activities......... 3.95 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......................... (3.34) (2.36) (2.88) (0.80) (0.17) (0.89)
-------- -------- -------- -------- ------- -------
Total Distributions...................... (3.34) (2.36) (2.89) (0.87) (0.31) (1.06)
-------- -------- -------- -------- ------- -------
NET ASSET VALUE, END OF PERIOD............... $ 27.47 $ 26.86 $ 23.32 $ 19.92 $ 15.83 $ 13.83
======== ======== ======== ======== ======= =======
Total Return (Excludes Sales Charge)......... 15.19%(a) 28.43% 35.43% 32.57% 16.85% 21.52%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000).......... $596,351 $447,209 $199,052 $125,910 $75,114 $27,428
Ratio of expenses to average net assets.... 1.18%(b) 1.21% 1.24% 1.24% 1.21% 1.26%
Ratio of net investment income to average
net assets............................... (0.31)%(b) (0.43)% (0.04)% 0.44% 0.95% 1.49%
Ratio of expenses to average net assets*... 1.28%(b) 1.31% 1.34% 1.32% 1.34% 1.36%
Ratio of net investment income to average
net assets*.............................. (0.41)%(b) (0.53)% (0.14)% 0.36% 0.82% 1.39%
Portfolio turnover (c)..................... 54.00% 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) 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.
See notes to financial statements.
138
<PAGE> 141
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LARGE CAP GROWTH FUND
----------------------------------------------------------------
CLASS B SHARES
----------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED JUNE 30,
DECEMBER 31, -------------------------------------------------
1999 1999 1998 1997 1996 1995
------------ -------- -------- -------- ------- ------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........... $ 25.92 $ 22.73 $ 19.61 $ 15.63 $ 13.63 $11.47
-------- -------- -------- -------- ------- ------
Investment Activities:
Net investment income (loss)................. (0.06) (0.09) (0.10) (0.04) 0.05 0.09
Net realized and unrealized gains (losses)
from investments........................... 3.76 5.64 6.10 4.82 2.17 3.06
-------- -------- -------- -------- ------- ------
Total from Investment Activities........... 3.70 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........................... (3.34) (2.36) (2.88) (0.80) (0.17) (0.89)
-------- -------- -------- -------- ------- ------
Total Distributions........................ (3.34) (2.36) (2.88) (0.80) (0.22) (0.99)
-------- -------- -------- -------- ------- ------
NET ASSET VALUE, END OF PERIOD................. $ 26.28 $ 25.92 $ 22.73 $ 19.61 $ 15.63 $13.63
======== ======== ======== ======== ======= ======
Total Return (Excludes Sales Charge)........... 14.77%(a) 27.54% 34.39% 31.74% 16.41% 20.65%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)............ $818,992 $617,672 $280,563 $132,268 $56,261 $6,918
Ratio of expenses to average net assets...... 1.93%(b) 1.96% 1.99% 2.00% 1.96% 2.01%
Ratio of net investment income to average net
assets..................................... (1.06)%(b) (0.98)% (0.80)% (0.33)% 0.20% 0.74%
Ratio of expenses to average net assets*..... 1.93%(b) 1.96% 1.99% 2.00% 1.99% 2.01%
Ratio of net investment income to average net
assets*.................................... (1.06)%(b) (0.98)% (0.80)% (0.33)% 0.17% 0.74%
Portfolio turnover (c)....................... 54.00% 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) 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.
See notes to financial statements.
139
<PAGE> 142
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LARGE CAP GROWTH FUND
--------------------------------------
CLASS C SHARES
--------------------------------------
SIX MONTHS YEAR NOVEMBER 4,
ENDED ENDED 1997 TO
DECEMBER 31, JUNE 30, JUNE 30,
1999 1999 1998 (a)
------------ -------- -----------
(UNAUDITED)
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 25.71 $22.57 $ 18.98
------- ------ -------
Investment Activities:
Net investment income (loss).............................. (0.02) (0.04) (0.06)
Net realized and unrealized gains (losses) from
investments............................................. 3.69 5.54 4.99
------- ------ -------
Total from Investment Activities........................ 3.67 5.50 4.93
------- ------ -------
Distributions:
Net realized gains........................................ (3.34) (2.36) (1.34)
------- ------ -------
Total Distributions..................................... (3.34) (2.36) (1.34)
------- ------ -------
NET ASSET VALUE, END OF PERIOD.............................. $ 26.04 $25.71 $ 22.57
======= ====== =======
Total Return (Excludes Sales Charge)........................ 14.78%(b) 27.52% 27.63%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $32,216 $8,328 $ 492
Ratio of expenses to average net assets................... 1.93%(c) 1.95% 1.98%(c)
Ratio of net investment income to average net assets...... (1.11)%(c) (0.94)% (0.87)%(c)
Portfolio turnover (d).................................... 54.00% 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.
140
<PAGE> 143
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LARGE CAP VALUE FUND
----------------------------------------------------------------------
CLASS I SHARES
----------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED JUNE 30,
DECEMBER 31, ------------------------------------------------------
1999 1999 1998 1997 1996 1995
------------ ---------- -------- -------- -------- --------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD............... $ 18.09 $ 16.70 $ 14.79 $ 12.83 $ 12.87 $ 11.34
---------- ---------- -------- -------- -------- --------
Investment Activities:
Net investment income (loss)...... 0.07 0.18 0.21 0.27 0.31 0.31
Net realized and unrealized gains
(losses) from investments....... (0.40) 2.44 2.84 3.01 1.20 2.18
---------- ---------- -------- -------- -------- --------
Total from Investment
Activities................... (0.33) 2.62 3.05 3.28 1.51 2.49
---------- ---------- -------- -------- -------- --------
Distributions:
Net investment income............. (0.07) (0.18) (0.21) (0.26) (0.31) (0.32)
Net realized gains................ (1.49) (1.05) (0.93) (1.06) (1.24) (0.64)
---------- ---------- -------- -------- -------- --------
Total Distributions............. (1.56) (1.23) (1.14) (1.32) (1.55) (0.96)
---------- ---------- -------- -------- -------- --------
NET ASSET VALUE,
END OF PERIOD..................... $ 16.20 $ 18.09 $ 16.70 $ 14.79 $ 12.83 $ 12.87
========== ========== ======== ======== ======== ========
Total Return........................ (1.75)%(a) 17.26% 21.46% 27.10% 12.71% 23.42%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000)........................... $1,154,678 $1,095,686 $792,649 $686,156 $584,527 $365,376
Ratio of expenses to average net
assets.......................... 0.96%(b) 0.95% 0.95% 0.97% 0.97% 1.00%
Ratio of net investment income to
average net assets.............. 0.82%(b) 1.15% 1.34% 1.99% 2.43% 2.74%
Ratio of expenses to average net
assets*......................... 0.96%(b) 0.95% 0.95% 0.97% 0.98% 1.01%
Ratio of net investment income to
average net assets*............. 0.82%(b) 1.15% 1.34% 1.99% 2.42% 2.73%
Portfolio turnover (c)............ 83.00% 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) 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.
See notes to financial statements.
141
<PAGE> 144
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LARGE CAP VALUE FUND
---------------------------------------------------------------
CLASS A SHARES
---------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED JUNE 30,
DECEMBER 31, -----------------------------------------------
1999 1999 1998 1997 1996 1995
------------ ------- ------- ------- ------- -------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD...................... $ 18.24 $ 16.77 $ 14.85 $ 12.87 $ 12.89 $ 11.34
------- ------- ------- ------- ------- -------
Investment Activities:
Net investment income (loss)............. 0.05 0.14 0.18 0.23 0.27 0.28
Net realized and unrealized gains
(losses) from investments.............. (0.41) 2.52 2.84 3.04 1.22 2.20
------- ------- ------- ------- ------- -------
Total from Investment Activities....... (0.36) 2.66 3.02 3.27 1.49 2.48
------- ------- ------- ------- ------- -------
Distributions:
Net investment income.................... (0.05) (0.14) (0.17) (0.23) (0.27) (0.27)
In excess of net investment income....... -- -- -- -- -- (0.02)
Net realized gains....................... (1.49) (1.05) (0.93) (1.06) (1.24) (0.64)
------- ------- ------- ------- ------- -------
Total Distributions.................... (1.54) (1.19) (1.10) (1.29) (1.51) (0.93)
------- ------- ------- ------- ------- -------
NET ASSET VALUE,
END OF PERIOD............................ $ 16.34 $ 18.24 $ 16.77 $ 14.85 $ 12.87 $ 12.89
======= ======= ======= ======= ======= =======
Total Return (Excludes Sales Charge)....... (1.91)%(a) 17.39% 21.14% 26.90% 12.40% 22.64%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)........ $48,249 $28,448 $15,699 $14,832 $ 9,380 $ 3,481
Ratio of expenses to average net
assets................................. 1.21%(b) 1.20% 1.20% 1.22% 1.22% 1.25%
Ratio of net investment income to average
net assets............................. 0.55%(b) 0.90% 1.10% 1.72% 2.18% 2.52%
Ratio of expenses to average net
assets*................................ 1.31%(b) 1.30% 1.30% 1.31% 1.33% 1.37%
Ratio of net investment income to average
net assets*............................ 0.45%(b) 0.80% 1.00% 1.63% 2.07% 2.41%
Portfolio turnover (c)................... 83.00% 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) 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.
See notes to financial statements.
142
<PAGE> 145
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LARGE CAP VALUE FUND
--------------------------------------------------------------
CLASS B SHARES
--------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED JUNE 30,
DECEMBER 31, ----------------------------------------------
1999 1999 1998 1997 1996 1995
------------ ------- ------- ------ ------- -------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................... $ 18.25 $ 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........................ (0.42) 2.48 2.84 3.04 1.26 2.19
------- ------- ------- ------ ------- -------
Total from Investment Activities........ (0.42) 2.51 2.91 3.18 1.44 2.36
------- ------- ------- ------ ------- -------
Distributions:
Net investment income..................... (0.01) (0.05) (0.09) (0.15) (0.18) (0.17)
Net realized gains........................ (1.49) (1.05) (0.93) (1.06) (1.24) (0.64)
------- ------- ------- ------ ------- -------
Total Distributions..................... (1.50) (1.10) (1.02) (1.21) (1.42) (0.81)
------- ------- ------- ------ ------- -------
NET ASSET VALUE,
END OF PERIOD............................. $ 16.33 $ 18.25 $ 16.84 $14.95 $ 12.98 $ 12.96
======= ======= ======= ====== ======= =======
Total Return (Excludes Sales Charge)........ (2.25)%(a) 16.30% 20.18% 25.86% 11.95% 22.28%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......... $27,799 $24,877 $17,154 $9,288 $ 4,135 $ 861
Ratio of expenses to average net assets... 1.96%(b) 1.95% 1.95% 1.97% 1.97% 2.00%
Ratio of net investment income to average
net assets.............................. (0.18)%(b) 0.15% 0.33% 0.96% 1.43% 1.74%
Ratio of expenses to average net
assets*................................. 1.96%(b) 1.95% 1.95% 1.97% 1.98% 2.01%
Ratio of net investment income to average
net assets*............................. (0.18)%(b) 0.15% 0.33% 0.96% 1.42% 1.72%
Portfolio turnover (c).................... 83.00% 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) 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.
See notes to financial statements.
143
<PAGE> 146
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LARGE CAP VALUE FUND
------------------------
CLASS C SHARES
------------------------
SIX MONTHS MARCH 22,
ENDED 1999 TO
DECEMBER 31, JUNE 30,
1999 1999 (a)
------------ ---------
(UNAUDITED)
<S> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................................... $18.24 $16.96
------ ------
Investment Activities:
Net investment income (loss).............................. 0.01 0.03
Net realized and unrealized gains (losses) from
investments............................................. (0.44) 1.28
------ ------
Total from Investment Activities........................ (0.43) 1.31
------ ------
Distributions:
Net investment income..................................... (0.01) (0.03)
Net realized gains........................................ (1.49) --
------ ------
Total Distributions..................................... (1.50) (0.03)
------ ------
NET ASSET VALUE,
END OF PERIOD............................................. $16.31 $18.24
====== ======
Total Return (Excludes Sales Charge)........................ (2.28)%(b) 7.74%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $1,221 $ 135
Ratio of expenses to average net assets................... 1.96%(c) 1.95%(c)
Ratio of net investment income to average net assets...... (0.16)%(c) 0.34%(c)
Portfolio turnover (d).................................... 83.00% 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.
144
<PAGE> 147
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
EQUITY INCOME FUND
----------------------------------------------------------------------
CLASS I SHARES
----------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED JUNE 30,
DECEMBER 31, ------------------------------------------------------
1999 1999 1998 1997 1996 1995
------------ ---------- -------- -------- -------- --------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD................ $ 24.50 $ 24.07 $ 21.93 $ 17.65 $ 15.13 $ 13.22
-------- ---------- -------- -------- -------- --------
Investment Activities:
Net investment income (loss)....... 0.19 0.31 0.32 0.36 0.40 0.40
Net realized and unrealized gains
(losses) from investments........ (1.70) 2.11 4.36 4.89 3.22 2.28
-------- ---------- -------- -------- -------- --------
Total from Investment
Activities.................... (1.51) 2.42 4.68 5.25 3.62 2.68
-------- ---------- -------- -------- -------- --------
Distributions:
Net investment income.............. (0.19) (0.31) (0.31) (0.36) (0.40) (0.40)
Net realized gains................. (0.94) (1.68) (2.23) (0.61) (0.70) (0.37)
-------- ---------- -------- -------- -------- --------
Total Distributions.............. (1.13) (1.99) (2.54) (0.97) (1.10) (0.77)
-------- ---------- -------- -------- -------- --------
NET ASSET VALUE,
END OF PERIOD...................... $ 21.86 $ 24.50 $ 24.07 $ 21.93 $ 17.65 $ 15.13
======== ========== ======== ======== ======== ========
Total Return......................... (6.29)%(a) 11.29% 23.18% 30.90% 24.53% 21.04%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000)............................ $818,362 $1,120,181 $691,878 $649,007 $321,827 $170,919
Ratio of expenses to average net
assets........................... 0.86%(b) 0.91% 1.00% 1.00% 0.98% 1.01%
Ratio of net investment income to
average net assets............... 1.56%(b) 1.40% 1.39% 1.91% 2.44% 2.85%
Ratio of expenses to average net
assets*.......................... 0.99%(b) 0.98% 1.00% 1.00% 1.01% 1.01%
Ratio of net investment income to
average net assets*.............. 1.43%(b) 1.33% 1.39% 1.91% 2.41% 2.85%
Portfolio turnover (c)............. 6.23% 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) 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.
See notes to financial statements.
145
<PAGE> 148
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
EQUITY INCOME FUND
----------------------------------------------------------------
CLASS A SHARES
----------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED JUNE 30,
DECEMBER 31, -------------------------------------------------
1999 1999 1998 1997 1996 1995
------------ -------- -------- ------- ------- -------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD..................... $ 24.45 $ 24.04 $ 21.90 $ 17.64 $ 15.11 $ 13.20
-------- -------- -------- ------- ------- -------
Investment Activities:
Net investment income (loss)............ 0.16 0.27 0.25 0.31 0.38 0.03
Net realized and unrealized gains
(losses) from investments............. (1.69) 2.08 4.37 4.87 3.20 2.29
-------- -------- -------- ------- ------- -------
Total from Investment Activities...... (1.53) 2.35 4.62 5.18 3.58 2.32
-------- -------- -------- ------- ------- -------
Distributions:
Net investment income................... (0.16) (0.26) (0.25) (0.31) (0.35) (0.03)
In excess of net investment income...... -- -- -- -- -- (0.01)
Net realized gains...................... (0.94) (1.68) (2.23) (0.61) (0.70) (0.37)
-------- -------- -------- ------- ------- -------
Total Distributions................... (1.10) (1.94) (2.48) (0.92) (1.05) (0.41)
-------- -------- -------- ------- ------- -------
NET ASSET VALUE,
END OF PERIOD........................... $ 21.82 $ 24.45 $ 24.04 $ 21.90 $ 17.64 $ 15.11
======== ======== ======== ======= ======= =======
Total Return (Excludes Sales Charge)...... (6.38)%(a) 10.94% 22.91% 30.39% 24.23% 20.79%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)....... $122,236 $135,420 $117,682 $78,976 $44,284 $13,793
Ratio of expenses to average net
assets................................ 1.11%(b) 1.18% 1.25% 1.25% 1.23% 1.26%
Ratio of net investment income to
average net assets.................... 1.31%(b) 1.17% 1.15% 1.65% 2.19% 2.61%
Ratio of expenses to average net
assets*............................... 1.34%(b) 1.34% 1.35% 1.34% 1.36% 1.36%
Ratio of net investment income to
average net assets*................... 1.08%(b) 1.01% 1.05% 1.56% 2.06% 2.51%
Portfolio turnover (c).................. 6.23% 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) 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.
See notes to financial statements.
146
<PAGE> 149
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
EQUITY INCOME FUND
---------------------------------------------------------------
CLASS B SHARES
---------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED JUNE 30,
DECEMBER 31, ------------------------------------------------
1999 1999 1998 1997 1996 1995
------------ -------- -------- ------- ------- ------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD...................... $ 24.50 $ 24.08 $ 21.95 $ 17.68 $ 15.14 $13.23
-------- -------- -------- ------- ------- ------
Investment Activities:
Net investment income (loss)............. 0.07 0.09 0.26 0.17 0.24 0.26
Net realized and unrealized gains
(losses) from investments.............. (1.69) 2.10 4.36 4.89 3.23 2.29
-------- -------- -------- ------- ------- ------
Total from Investment Activities....... (1.62) 2.19 4.62 5.06 3.47 2.55
-------- -------- -------- ------- ------- ------
Distributions:
Net investment income.................... (0.07) (0.09) (0.26) (0.18) (0.23) (0.25)
In excess of net investment income....... -- -- -- -- -- (0.02)
Net realized gains....................... (0.94) (1.68) (2.23) (0.61) (0.70) (0.37)
-------- -------- -------- ------- ------- ------
Total Distributions.................... (1.01) (1.77) (2.49) (0.79) (0.93) (0.64)
-------- -------- -------- ------- ------- ------
NET ASSET VALUE,
END OF PERIOD............................ $ 21.87 $ 24.50 $ 24.08 $ 21.95 $ 17.68 $15.14
======== ======== ======== ======= ======= ======
Total Return (Excludes Sales Charge)....... (6.72)%(a) 10.18% 21.97% 29.48% 23.41% 19.91%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)........ $177,466 $197,016 $165,813 $79,518 $29,169 $3,468
Ratio of expenses to average net
assets................................. 1.86%(b) 1.93% 1.99% 2.00% 1.98% 2.01%
Ratio of net investment income to average
net assets............................. 0.56%(b) 0.40% 0.39% 0.89% 1.44% 1.88%
Ratio of expenses to average net
assets*................................ 1.99%(b) 1.99% 1.99% 2.00% 2.01% 2.02%
Ratio of net investment income to average
net assets*............................ 0.43%(b) 0.34% 0.39% 0.89% 1.41% 1.87%
Portfolio turnover (c)................... 6.23% 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) 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.
See notes to financial statements.
147
<PAGE> 150
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
EQUITY INCOME FUND
-------------------------------------
CLASS C SHARES
-------------------------------------
SIX MONTHS YEAR NOVEMBER 4,
ENDED ENDED 1997 TO
DECEMBER 31, JUNE 30, JUNE 30,
1999 1999 1998 (a)
------------ -------- -----------
(UNAUDITED)
<S> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................................... $24.51 $24.08 $21.40
------ ------ ------
Investment Activities:
Net investment income (loss).............................. 0.04 0.10 0.06
Net realized and unrealized gains (losses) from
investments............................................. (1.66) 2.11 3.39
------ ------ ------
Total from Investment Activities........................ (1.62) 2.21 3.45
------ ------ ------
Distributions:
Net investment income..................................... (0.07) (0.10) (0.07)
Net realized gains........................................ (0.94) (1.68) (0.70)
------ ------ ------
Total Distributions..................................... (1.01) (1.78) (0.77)
------ ------ ------
NET ASSET VALUE,
END OF PERIOD............................................. $21.88 $24.51 $24.08
====== ====== ======
Total Return (Excludes Sales Charge)........................ (6.70)%(b) 10.24% 16.57%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $ 842 $ 658 $ 795
Ratio of expenses to average net assets................... 1.86%(c) 1.94% 1.98%(c)
Ratio of net investment income to average net assets...... 0.56%(c) 0.36% 0.38%(c)
Ratio of expenses to average net assets*.................. 1.99%(c) 1.99% 1.98%(c)
Ratio of net investment income to average net assets*..... 0.43%(c) 0.31% 0.38%(c)
Portfolio turnover (d).................................... 6.23% 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.
148
<PAGE> 151
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED EQUITY FUND
--------------------------------------------------------------
CLASS I SHARES
--------------------------------------------------------------
SIX MONTHS MARCH 26,
ENDED YEAR ENDED JUNE 30, 1996 TO
DECEMBER 31, -------------------------------- JUNE 30,
1999 1999 1998 1997 1996 (a)
------------ ---------- -------- -------- ---------
(UNAUDITED)
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD..... $ 15.19 $ 13.51 $ 11.51 $ 10.39 $ 10.00
---------- ---------- -------- -------- --------
Investment Activities:
Net investment income (loss)........... 0.02 0.05 0.08 0.11 0.03
Net realized and unrealized gains
(losses) from investments............ 0.43 2.52 3.36 2.85 0.39
---------- ---------- -------- -------- --------
Total from Investment Activities..... 0.45 2.57 3.44 2.96 0.42
---------- ---------- -------- -------- --------
Distributions:
Net investment income.................. (0.02) (0.05) (0.08) (0.11) (0.03)
Net realized gains..................... (0.87) (0.84) (1.36) (1.73) --
---------- ---------- -------- -------- --------
Total Distributions.................. (0.89) (0.89) (1.44) (1.84) (0.03)
---------- ---------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD........... $ 14.75 $ 15.19 $ 13.51 $ 11.51 $ 10.39
========== ========== ======== ======== ========
Total Return............................. 3.11%(c) 20.72% 32.26% 31.97% 10.49%(b)(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)...... $1,949,108 $2,089,940 $630,340 $430,837 $191,212
Ratio of expenses to average
net assets........................... 0.94%(d) 0.95% 0.98% 0.98% 0.95%(d)
Ratio of net investment income to
average
net assets........................... 0.30%(d) 0.42% 0.66% 1.06% 1.13%(d)
Ratio of expenses to average net
assets*.............................. 0.94%(d) 0.95% 0.98% 1.00% 1.04%(d)
Ratio of net investment income to
average net assets*.................. 0.30%(d) 0.42% 0.66% 1.04% 1.04%(d)
Portfolio turnover (e)................. 22.43% 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.
149
<PAGE> 152
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED EQUITY FUND
-----------------------------------------------------------------------
CLASS A SHARES
-----------------------------------------------------------------------
SEVEN
SIX MONTHS MONTHS
ENDED YEAR ENDED JUNE 30, ENDED YEAR ENDED
DECEMBER 31, ---------------------------- JUNE 30, NOVEMBER 30,
1999 1999 1998 1997 1996 (a) 1995
------------ -------- ------- ------- -------- ------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD.... $ 15.16 $ 13.50 $ 11.50 $ 10.39 $ 11.15 $ 9.00
-------- -------- ------- ------- ------- --------
Investment Activities:
Net investment income (loss).......... 0.01 0.02 0.05 0.09 0.94 0.12
Net realized and unrealized gains
(losses) from investments........... 0.43 2.51 3.36 2.83 0.08 2.44
-------- -------- ------- ------- ------- --------
Total from Investment Activities.... 0.44 2.53 3.41 2.92 1.02 2.56
-------- -------- ------- ------- ------- --------
Distributions:
Net investment income................. (0.01) (0.03) (0.05) (0.08) (0.94) (0.12)
In excess of net investment income.... -- -- -- -- (0.01) --
Net realized gains.................... (0.87) (0.84) (1.36) (1.73) (0.83) (0.29)
-------- -------- ------- ------- ------- --------
Total Distributions................. (0.88) (0.87) (1.41) (1.81) (1.78) (0.41)
-------- -------- ------- ------- ------- --------
NET ASSET VALUE, END OF PERIOD.......... $ 14.72 $ 15.16 $ 13.50 $ 11.50 $ 10.39 $ 11.15
======== ======== ======= ======= ======= ========
Total Return (Excludes Sales Charge).... 3.01%(b) 20.36% 31.96% 31.53% 10.40%(b) 29.57%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)..... $326,165 $340,736 $80,500 $47,306 $35,984 $217,978
Ratio of expenses to average net
assets.............................. 1.19%(c) 1.20% 1.23% 1.23% 0.97%(c) 0.95%
Ratio of net investment income to
average net assets.................. 0.05%(c) 0.10% 0.40% 0.83% 0.85%(c) 1.25%
Ratio of expenses to average net
assets*............................. 1.29%(c) 1.30% 1.33% 1.34% 1.05%(c) 0.95%
Ratio of net investment income to
average net assets*................. (0.05)%(c) 0.00% 0.30% 0.72% 0.77%(c) 1.25%
Portfolio turnover (d)................ 22.43% 50.82% 62.37% 113.17% 65.21% 77.00%
</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.
150
<PAGE> 153
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED EQUITY FUND
--------------------------------------------------------------------
CLASS B SHARES
--------------------------------------------------------------------
SEVEN
SIX MONTHS MONTHS YEAR
ENDED YEAR ENDED JUNE 30, ENDED ENDED
DECEMBER 31, --------------------------- JUNE 30, NOVEMBER 30,
1999 1999 1998 1997 1996 (a) 1995
------------ ------- ------- ------- -------- ------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD.... $ 14.97 $ 13.40 $ 11.47 $ 10.39 $11.16 $ 9.01
------- ------- ------- ------- ------ -------
Investment Activities:
Net investment income (loss).......... (0.04) (0.07) (0.02) 0.01 0.91 0.05
Net realized and unrealized gains
(losses) from investments........... 0.41 2.48 3.31 2.82 0.07 2.46
------- ------- ------- ------- ------ -------
Total from Investment Activities.... 0.37 2.41 3.29 2.83 0.98 2.51
------- ------- ------- ------- ------ -------
Distributions:
Net investment income................. -- -- -- (0.02) (0.91) (0.07)
In excess of net investment income.... -- -- -- -- (0.01) --
Net realized gains.................... (0.87) (0.84) (1.36) (1.73) (0.83) (0.29)
------- ------- ------- ------- ------ -------
Total Distributions................. (0.87) (0.84) (1.36) (1.75) (1.75) (0.36)
------- ------- ------- ------- ------ -------
NET ASSET VALUE, END OF PERIOD.......... $ 14.47 $ 14.97 $ 13.40 $ 11.47 $10.39 $ 11.16
======= ======= ======= ======= ====== =======
Total Return (Excludes Sales Charge).... 2.60%(b) 19.52% 30.89% 30.52% 9.96%(b) 28.74%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)..... $54,856 $52,004 $25,501 $10,517 $4,673 $ 2,923
Ratio of expenses to average net
assets.............................. 1.94%(c) 1.96% 1.98% 1.98% 1.86%(c) 1.70%
Ratio of net investment income to
average net assets.................. (0.70)%(c) (0.80)% (0.35)% 0.07% 0.13%(c) 0.38%
Ratio of expenses to average net
assets*............................. 1.94%(c) 1.96% 1.98% 2.00% 1.94%(c) 1.70%
Ratio of net investment income to
average net assets*................. (0.70)%(c) (0.80)% (0.35)% 0.05% 0.05%(c) 0.38%
Portfolio turnover (d)................ 22.43% 50.82% 62.37% 113.17% 65.21% 77.00%
</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) 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.
151
<PAGE> 154
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED EQUITY FUND
-------------------------------------
CLASS C SHARES
-------------------------------------
SIX MONTHS YEAR NOVEMBER 4,
ENDED ENDED 1997 TO
DECEMBER 31, JUNE 30, JUNE 30,
1999 1999 1998 (a)
------------ -------- -----------
(UNAUDITED)
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 15.06 $13.47 $11.76
------- ------ ------
Investment Activities:
Net investment income (loss).............................. (0.02) (0.03) --
Net realized and unrealized gains (losses) from
investments............................................. 0.40 2.46 2.35
------- ------ ------
Total from Investment Activities........................ 0.38 2.43 2.35
------- ------ ------
Distributions:
Net investment income..................................... -- -- (0.01)
Net realized gains........................................ (0.87) (0.84) (0.63)
------- ------ ------
Total Distributions..................................... (0.87) (0.84) (0.64)
------- ------ ------
NET ASSET VALUE, END OF PERIOD.............................. $ 14.57 $15.06 $13.47
======= ====== ======
Total Return (Excludes Sales Charge)........................ 2.65%(b) 19.57% 20.87%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $15,117 $8,058 $1,234
Ratio of expenses to average net assets................... 1.94%(c) 1.96% 1.99%(c)
Ratio of net investment income to average net assets...... (0.70)%(c) (0.57)% (0.43)%(c)
Portfolio turnover (d).................................... 22.43% 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.
152
<PAGE> 155
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
BALANCED FUND
CLASS I SHARES
-----------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED JUNE 30,
DECEMBER 31, -----------------------------------------------------
1999 1999 1998 1997 1996 1995
------------ -------- -------- ------- ------- -------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD...... $ 14.13 $ 13.80 $ 12.98 $ 11.71 $ 10.73 $ 9.64
-------- -------- -------- ------- ------- -------
Investment Activities:
Net investment income (loss)............ 0.21 0.34 0.40 0.43 0.41 0.38
Net realized and unrealized gains
(losses) from investments............. 0.19 1.28 2.24 1.81 1.16 1.12
-------- -------- -------- ------- ------- -------
Total from Investment Activities...... 0.40 1.62 2.64 2.24 1.57 1.50
-------- -------- -------- ------- ------- -------
Distributions:
Net investment income................... (0.21) (0.34) (0.39) (0.43) (0.41) (0.37)
Net realized gains...................... (0.53) (0.95) (1.43) (0.54) (0.18) (0.04)
-------- -------- -------- ------- ------- -------
Total Distributions................... (0.74) (1.29) (1.82) (0.97) (0.59) (0.41)
-------- -------- -------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD............ $ 13.79 $ 14.13 $ 13.80 $ 12.98 $ 11.71 $ 10.73
======== ======== ======== ======= ======= =======
Total Return.............................. 2.89%(a) 12.74% 22.12% 20.16% 14.87% 16.06%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)....... $217,539 $229,008 $105,243 $94,971 $50,323 $37,658
Ratio of expenses to average net
assets................................ 0.86%(b) 0.85% 0.85% 0.80% 0.94% 1.06%
Ratio of net investment income to
average net assets.................... 2.97%(b) 2.59% 3.03% 3.55% 3.58% 3.72%
Ratio of expenses to average net
assets*............................... 0.96%(b) 0.95% 1.03% 1.00% 1.19% 1.31%
Ratio of net investment income to
average net assets*................... 2.87%(b) 2.49% 2.85% 3.35% 3.33% 3.47%
Portfolio turnover (c).................. 28.11% 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) 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.
See notes to financial statements.
153
<PAGE> 156
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
BALANCED FUND
---------------------------------------------------------------------
CLASS A SHARES
---------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED JUNE 30,
DECEMBER 31, ---------------------------------------------------
1999 1999 1998 1997 1996 1995
------------ ------- ------- ------- ------- -------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........ $ 14.14 $ 13.81 $ 13.00 $ 11.72 $ 10.74 $ 9.65
-------- ------- ------- ------- ------- -------
Investment Activities:
Net investment income (loss).............. 0.18 0.31 0.36 0.39 0.37 0.35
Net realized and unrealized gains (losses)
from investments........................ 0.20 1.28 2.24 1.83 1.16 1.13
-------- ------- ------- ------- ------- -------
Total from Investment Activities........ 0.38 1.59 2.60 2.22 1.53 1.48
-------- ------- ------- ------- ------- -------
Distributions:
Net investment income..................... (0.19) (0.31) (0.36) (0.40) (0.37) (0.34)
In excess of net investment income........ -- -- -- -- -- (0.01)
Net realized gains........................ (0.53) (0.95) (1.43) (0.54) (0.18) (0.04)
-------- ------- ------- ------- ------- -------
Total Distributions..................... (0.72) (1.26) (1.79) (0.94) (0.55) (0.39)
-------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD.............. $ 13.80 $ 14.14 $ 13.81 $ 13.00 $ 11.72 $ 10.74
======== ======= ======= ======= ======= =======
Total Return (Excludes Sales Charge)........ 2.76%(a) 12.45% 21.71% 19.85% 14.48% 15.76%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......... $116,232 $80,819 $50,456 $31,379 $17,849 $ 4,745
Ratio of expenses to average net assets... 1.11%(b) 1.10% 1.10% 1.05% 1.19% 1.31%
Ratio of net investment income to average
net assets.............................. 2.74%(b) 2.33% 2.77% 3.30% 3.33% 3.57%
Ratio of expenses to average net
assets*................................. 1.31%(b) 1.30% 1.38% 1.34% 1.54% 1.66%
Ratio of net investment income to average
net assets*............................. 2.54%(b) 2.13% 2.49% 3.01% 2.98% 3.22%
Portfolio turnover (c).................... 28.11% 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) 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.
See notes to financial statements.
154
<PAGE> 157
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
BALANCED FUND
-----------------------------------------------------------------------
CLASS B SHARES
-----------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED JUNE 30,
DECEMBER 31, -----------------------------------------------------
1999 1999 1998 1997 1996 1995
------------ -------- -------- ------- ------- -------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD...... $ 14.20 $ 13.87 $ 13.04 $ 11.76 $ 10.76 $ 9.67
-------- -------- -------- ------- ------- -------
Investment Activities:
Net investment income (loss)............ 0.14 0.21 0.26 0.30 0.28 0.27
Net realized and unrealized gains
(losses) from investments............. 0.19 1.28 2.26 1.83 1.18 1.14
-------- -------- -------- ------- ------- -------
Total from Investment Activities...... 0.33 1.49 2.52 2.13 1.46 1.41
-------- -------- -------- ------- ------- -------
Distributions:
Net investment income................... (0.14) (0.21) (0.26) (0.31) (0.28) (0.27)
In excess of net investment income...... -- -- -- -- -- (0.01)
Net realized gains...................... (0.53) (0.95) (1.43) (0.54) (0.18) (0.04)
-------- -------- -------- ------- ------- -------
Total Distributions................... (0.67) (1.16) (1.69) (0.85) (0.46) (0.32)
-------- -------- -------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD............ $ 13.86 $ 14.20 $ 13.87 $ 13.04 $ 11.76 $ 10.76
======== ======== ======== ======= ======= =======
Total Return (Excludes Sales Charge)...... 2.36%(a) 11.59% 20.95% 18.90% 13.79% 14.90%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)....... $283,974 $238,490 $114,957 $43,900 $18,575 $ 3,019
Ratio of expenses to average net
assets................................ 1.86%(b) 1.85% 1.85% 1.81% 1.94% 2.07%
Ratio of net investment income to
average net assets.................... 1.97%(b) 1.58% 2.01% 2.54% 2.58% 2.77%
Ratio of expenses to average net
assets*............................... 1.96%(b) 1.95% 2.03% 2.01% 2.19% 2.31%
Ratio of net investment income to
average net assets*................... 1.87%(b) 1.48% 1.83% 2.34% 2.33% 2.52%
Portfolio turnover (c).................. 28.11% 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) 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.
See notes to financial statements.
155
<PAGE> 158
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
EQUITY INDEX FUND
----------------------------------------------------------------------
CLASS I SHARES
----------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED JUNE 30,
DECEMBER 31, ------------------------------------------------------
1999 1999 1998 1997 1996 1995
------------ ---------- -------- -------- -------- --------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD................ $ 31.79 $ 27.16 $ 21.80 $ 16.66 $ 14.03 $ 11.59
---------- ---------- -------- -------- -------- --------
Investment Activities:
Net investment income (loss)....... 0.15 0.31 0.33 0.35 0.33 0.32
Net realized and unrealized gains
(losses) from investments........ 2.19 5.54 5.98 5.27 3.16 2.59
---------- ---------- -------- -------- -------- --------
Total from Investment
Activities.................... 2.34 5.85 6.31 5.62 3.49 2.91
---------- ---------- -------- -------- -------- --------
Distributions:
Net investment income.............. (0.15) (0.30) (0.32) (0.33) (0.33) (0.29)
In excess of net investment
income........................... -- -- -- -- (0.01) (0.02)
Net realized gains................. (0.45) (0.92) (0.63) (0.15) (0.52) (0.16)
---------- ---------- -------- -------- -------- --------
Total Distributions.............. (0.60) (1.22) (0.95) (0.48) (0.86) (0.47)
---------- ---------- -------- -------- -------- --------
NET ASSET VALUE,
END OF PERIOD...................... $ 33.53 $ 31.79 $ 27.16 $ 21.80 $ 16.66 $ 14.03
========== ========== ======== ======== ======== ========
Total Return......................... 7.43%(a) 22.50% 29.73% 34.30% 25.47% 25.79%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000)............................ $2,015,835 $1,855,947 $671,422 $480,819 $321,058 $234,895
Ratio of expenses to average
net assets....................... 0.35%(b) 0.35% 0.35% 0.30% 0.30% 0.33%
Ratio of net investment income to
average net assets............... 0.98%(b) 1.14% 1.37% 1.87% 2.18% 2.57%
Ratio of expenses to average
net assets*...................... 0.57%(b) 0.57% 0.62% 0.61% 0.59% 0.66%
Ratio of net investment income to
average net assets*.............. 0.76%(b) 0.92% 1.10% 1.56% 1.89% 2.24%
Portfolio turnover (c)............. 2.06% 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) 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.
See notes to financial statements.
156
<PAGE> 159
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
EQUITY INDEX FUND
---------------------------------------------------------------
CLASS A SHARES
---------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED JUNE 30,
DECEMBER 31, ------------------------------------------------
1999 1999 1998 1997 1996 1995
------------ -------- -------- ------- ------- ------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD..................... $ 31.78 $ 27.15 $ 21.81 $ 16.67 $ 14.02 $11.59
-------- -------- -------- ------- ------- ------
Investment Activities:
Net investment income (loss)............ 0.11 0.22 0.26 0.29 0.27 0.29
Net realized and unrealized gains
(losses) from investments............. 2.20 5.56 5.97 5.28 3.18 2.58
-------- -------- -------- ------- ------- ------
Total from Investment Activities...... 2.31 5.78 6.23 5.57 3.45 2.87
-------- -------- -------- ------- ------- ------
Distributions:
Net investment income................... (0.11) (0.23) (0.26) (0.28) (0.27) (0.28)
In excess of net investment income...... -- -- -- -- (0.01) --
Net realized gains...................... (0.45) (0.92) (0.63) (0.15) (0.52) (0.16)
-------- -------- -------- ------- ------- ------
Total Distributions................... (0.56) (1.15) (0.89) (0.43) (0.80) (0.44)
-------- -------- -------- ------- ------- ------
NET ASSET VALUE,
END OF PERIOD........................... $ 33.53 $ 31.78 $ 27.15 $ 21.81 $ 16.67 $14.02
======== ======== ======== ======= ======= ======
Total Return (Excludes Sales Charge)...... 7.33%(a) 22.22% 29.33% 33.94% 25.16% 25.43%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)....... $850,770 $732,325 $218,518 $98,338 $32,186 $3,003
Ratio of expenses to average net
assets................................ 0.60%(b) 0.60% 0.60% 0.55% 0.55% 0.56%
Ratio of net investment income to
average net assets.................... 0.73%(b) 0.79% 1.11% 1.59% 1.93% 2.38%
Ratio of expenses to average net
assets*............................... 0.92%(b) 0.92% 0.96% 0.95% 0.94% 1.01%
Ratio of net investment income to
average net assets*................... 0.41%(b) 0.47% 0.75% 1.19% 1.54% 1.94%
Portfolio turnover (c).................. 2.06% 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) 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.
See notes to financial statements.
157
<PAGE> 160
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
EQUITY INDEX FUND
----------------------------------------------------------------
CLASS B SHARES
----------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED JUNE 30,
DECEMBER 31, -------------------------------------------------
1999 1999 1998 1997 1996 1995
------------ -------- -------- -------- ------- ------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD..................... $ 31.72 $ 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............. 2.17 5.53 5.97 5.27 3.16 2.61
-------- -------- -------- -------- ------- ------
Total from Investment Activities...... 2.17 5.57 6.07 5.43 3.32 2.79
-------- -------- -------- -------- ------- ------
Distributions:
Net investment income................... (0.01) (0.06) (0.11) (0.16) (0.16) (0.19)
In excess of net investment income...... -- -- -- -- (0.01) --
Net realized gains...................... (0.45) (0.92) (0.63) (0.15) (0.52) (0.16)
-------- -------- -------- -------- ------- ------
Total Distributions................... (0.46) (0.98) (0.74) (0.31) (0.69) (0.35)
-------- -------- -------- -------- ------- ------
NET ASSET VALUE,
END OF PERIOD........................... $ 33.43 $ 31.72 $ 27.13 $ 21.80 $ 16.68 $14.05
======== ======== ======== ======== ======= ======
Total Return (Excludes Sales Charge)...... 6.89%(a) 21.32% 28.47% 32.93% 24.05% 24.58%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)....... $642,608 $534,777 $351,624 $168,699 $38,538 $1,408
Ratio of expenses to average net
assets................................ 1.35%(b) 1.35% 1.35% 1.30% 1.30% 1.34%
Ratio of net investment income to
average net assets.................... (0.02)%(b) 0.12% 0.36% 0.83% 1.18% 1.60%
Ratio of expenses to average net
assets*............................... 1.57%(b) 1.57% 1.61% 1.61% 1.59% 1.67%
Ratio of net investment income to
average net assets*................... (0.24)%(b) (0.10)% 0.10% 0.52% 0.89% 1.27%
Portfolio turnover (c).................. 2.06% 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) 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.
See notes to financial statements.
158
<PAGE> 161
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
EQUITY INDEX FUND
-------------------------------------
CLASS C SHARES
-------------------------------------
SIX MONTHS YEAR NOVEMBER 4,
ENDED ENDED 1997 TO
DECEMBER 31, JUNE 30, JUNE 30,
1999 1999 1998 (a)
------------ -------- -----------
(UNAUDITED)
<S> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................................... $ 31.76 $ 27.14 $22.60
-------- ------- ------
Investment Activities:
Net investment income (loss).............................. 0.01 0.07 0.07
Net realized and unrealized gains (losses) from
investments............................................. 2.18 5.55 4.67
-------- ------- ------
Total from Investment Activities........................ 2.19 5.62 4.74
-------- ------- ------
Distributions:
Net investment income..................................... (0.02) (0.08) (0.08)
Net realized gains........................................ (0.45) (0.92) (0.12)
-------- ------- ------
Total Distributions..................................... (0.47) (1.00) (0.20)
-------- ------- ------
NET ASSET VALUE,
END OF PERIOD............................................. $ 33.48 $ 31.76 $27.14
======== ======= ======
Total Return (Excludes Sales Charge)........................ 6.92%(b) 21.52% 21.07%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $106,174 $59,042 $3,214
Ratio of expenses to average net assets................... 1.35%(c) 1.35% 1.35%(c)
Ratio of net investment income to average net assets...... (0.02)%(c) 0.11% 0.27%(c)
Ratio of expenses to average net assets*.................. 1.57%(c) 1.57% 1.60%(c)
Ratio of net investment income to average net assets*..... (0.24)%(c) (0.11)% 0.02%(c)
Portfolio turnover (d).................................... 2.06% 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.
159
<PAGE> 162
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MARKET EXPANSION INDEX FUND
------------------------------------------
CLASS I SHARES
------------------------------------------
SIX MONTHS SIX MONTHS JULY 31,
ENDED ENDED 1998 TO
DECEMBER 31, JUNE 30, DECEMBER 31,
1999 1999 (a) 1998 (b)
------------ ---------- ------------
(UNAUDITED)
<S> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................................... $ 10.63 $ 10.52 $ 10.00
------- ------- -------
Investment Activities:
Net investment income (loss).............................. 0.03 0.03 0.03
Net realized and unrealized gains (losses) from
investments............................................. 0.60 0.40 0.93
------- ------- -------
Total from Investment Activities........................ 0.63 0.43 0.96
------- ------- -------
Distributions:
Net investment income..................................... (0.03) (0.03) (0.03)
Net realized gains........................................ (2.73) (0.29) (0.41)
------- ------- -------
Total Distributions..................................... (2.76) (0.32) (0.44)
------- ------- -------
NET ASSET VALUE,
END OF PERIOD............................................. $ 8.50 $ 10.63 $ 10.52
======= ======= =======
Total Return................................................ 6.71%(c) 4.54%(c) 9.91%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $22,279 $28,871 $27,483
Ratio of expenses to average net assets................... 0.59%(d) 0.57%(d) 0.56%(d)
Ratio of net investment income to average net assets...... 0.62%(d) 0.68%(d) 0.75%(d)
Ratio of expenses to average net assets*.................. 1.00%(d) 0.97%(d) 1.12%(d)
Ratio of net investment income to average net assets*..... 0.21%(d) 0.28%(d) 0.19%(d)
Portfolio turnover (e).................................... 16.18% 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) Upon reorganizing as a fund of the One Group, the Pegasus Market Expansion
Index Fund became the Market Expansion Index Fund. The Financial Highlights
for the periods prior to March 21, 1999 represent the Pegasus Market
Expansion Index Fund.
(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.
160
<PAGE> 163
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MARKET EXPANSION INDEX FUND
------------------------------------------
CLASS A SHARES
------------------------------------------
SIX MONTHS SIX MONTHS JULY 31,
ENDED ENDED 1998 TO
DECEMBER 31, JUNE 30, DECEMBER 31,
1999 1999 (a) 1998 (b)
------------ ---------- ------------
(UNAUDITED)
<S> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................................... $10.63 $10.53 $10.00
------ ------ ------
Investment Activities:
Net investment income (loss).............................. 0.02 0.03 --
Net realized and unrealized gains (losses) from
investments............................................. 0.60 0.39 0.95
------ ------ ------
Total from Investment Activities........................ 0.62 0.42 0.95
------ ------ ------
Distributions:
Net investment income..................................... (0.02) (0.03) (0.01)
Net realized gains........................................ (2.73) (0.29) (0.41)
------ ------ ------
Total Distributions..................................... (2.75) (0.32) (0.42)
------ ------ ------
NET ASSET VALUE,
END OF PERIOD............................................. $ 8.50 $10.63 $10.53
====== ====== ======
Total Return (Excludes Sales Charge)........................ 6.59%(c) 4.39%(c) 9.30%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $1,163 $ 277 $ 30
Ratio of expenses to average net assets................... 0.84%(d) 0.85%(d) 0.77%(d)
Ratio of net investment income to average net assets...... 0.38%(d) 0.43%(d) 0.47%(d)
Ratio of expenses to average net assets*.................. 1.35%(d) 1.42%(d) 1.24%(d)
Ratio of net investment income to average net assets*..... (0.13)%(d) (0.14)%(d) 0.00%(d)
Portfolio turnover (e).................................... 16.18% 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) Upon reorganizing as a fund of the One Group, the Pegasus Market Expansion
Index Fund became the Market Expansion Index Fund. The Financial Highlights
for the periods prior to March 21, 1999 represent the Pegasus Market
Expansion Index Fund.
(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.
161
<PAGE> 164
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MARKET EXPANSION INDEX FUND
------------------------------------------
CLASS B SHARES
------------------------------------------
SIX MONTHS SIX MONTHS JULY 31,
ENDED ENDED 1998 TO
DECEMBER 31, JUNE 30, DECEMBER 31,
1999 1999 (a) 1998 (b)
------------ ---------- ------------
(UNAUDITED)
<S> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................................... $10.74 $10.49 $10.00
------ ------ ------
Investment Activities:
Net investment income (loss).............................. (0.01) 0.02 (0.02)
Net realized and unrealized gains (losses) from
investments............................................. 0.59 0.54 0.92
------ ------ ------
Total from Investment Activities........................ 0.58 0.56 0.90
------ ------ ------
Distributions:
Net investment income..................................... -- (0.02) --
Net realized gains........................................ (2.73) (0.29) (0.41)
------ ------ ------
Total Distributions..................................... (2.73) (0.31) (0.41)
------ ------ ------
NET ASSET VALUE,
END OF PERIOD............................................. $ 8.59 $10.74 $10.49
====== ====== ======
Total Return (Excludes Sales Charge)........................ 6.14%(c) 5.75%(c) 9.85%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $1,354 $ 309 $ --(d)
Ratio of expenses to average net assets................... 1.59%(e) 1.60%(e) 1.87%(e)
Ratio of net investment income to average net assets...... (0.37)%(e) (0.34)%(e) (0.59)%(e)
Ratio of expenses to average net assets*.................. 2.00%(e) 2.13%(e) 2.14%(e)
Ratio of net investment income to average net assets*..... (0.78)%(e) (0.87)%(e) (0.86)%(e)
Portfolio turnover (f).................................... 16.18% 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) Upon reorganizing as a fund of the One Group, the Pegasus Market Expansion
Index Fund became the Market Expansion Index Fund. The Financial Highlights
for the periods prior to March 21, 1999 represent the Pegasus Market
Expansion Index Fund.
(b) Period from commencement of operations.
(c) Not annualized.
(d) Amount is less than $1,000.
(e) Annualized.
(f) 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.
162
<PAGE> 165
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MARKET EXPANSION INDEX
FUND
-------------------------
CLASS C SHARES
-------------------------
SIX MONTHS MARCH 22,
ENDED 1999 TO
DECEMBER 31, JUNE 30,
1999 1999 (a)
------------ ---------
(UNAUDITED)
<S> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................................... $10.57 $ 9.32
------ ------
Investment Activities:
Net investment income (loss).............................. -- 0.02
Net realized and unrealized gains (losses) from
investments............................................. 0.57 1.25
------ ------
Total from Investment Activities........................ 0.57 1.27
------ ------
Distributions:
Net investment income..................................... -- (0.02)
Net realized gains........................................ (2.73) --
------ ------
Total Distributions..................................... (2.73) (0.02)
------ ------
NET ASSET VALUE,
END OF PERIOD............................................. $ 8.41 $10.57
====== ======
Total Return (Excludes Sales Charge)........................ 6.15%(b) 13.64%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $ 97 $ 18
Ratio of expenses to average net assets................... 1.59%(c) 1.58%(c)
Ratio of net investment income to average net assets...... (0.36)%(c) (0.33)%(c)
Ratio of expenses to average net assets*.................. 2.00%(c) 2.17%(c)
Ratio of net investment income to average net assets*..... (0.77)%(c) (0.92)%(c)
Portfolio turnover (d).................................... 16.18% 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.
163
<PAGE> 166
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY INDEX FUND
------------------------------------------------------------------------
CLASS I SHARES
------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED JUNE 30,
DECEMBER 31, --------------------------------------------------------
1999 1999 1998 1997 1996 1995
------------ -------- -------- -------- -------- --------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD..... $ 18.63 $ 17.97 $ 16.89 $ 15.17 $ 13.93 $ 13.46
-------- -------- -------- -------- -------- --------
Investment Activities:
Net investment income (loss)........... 0.03 0.19 0.21 0.15 0.11 0.13
Net realized and unrealized gains
(losses) from investments............ 4.33 1.71 1.32 2.02 1.43 0.46
-------- -------- -------- -------- -------- --------
Total from Investment Activities..... 4.36 1.90 1.53 2.17 1.54 0.59
-------- -------- -------- -------- -------- --------
Distributions:
Net investment income.................. (0.05) (0.39) (0.02) (0.17) (0.16) (0.08)
In excess of net investment income..... -- -- -- (0.13) (0.02) --
Net realized gains..................... (0.29) (0.85) (0.43) (0.15) (0.12) (0.04)
-------- -------- -------- -------- -------- --------
Total Distributions.................. (0.34) (1.24) (0.45) (0.45) (0.30) (0.12)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD........... $ 22.65 $ 18.63 $ 17.97 $ 16.89 $ 15.17 $ 13.93
======== ======== ======== ======== ======== ========
Total Return............................. 23.54%(a) 11.27% 9.54% 14.64% 11.22% 4.20%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)...... $809,734 $657,902 $586,741 $449,949 $347,790 $218,299
Ratio of expenses to average net
assets............................... 0.85%(b) 0.85% 0.88% 0.86% 0.97% 1.04%
Ratio of net investment income to
average net assets................... 0.26%(b) 1.03% 1.29% 1.00% 1.04% 1.25%
Ratio of expenses to average net
assets*.............................. 0.85%(b) 0.85% 0.88% 0.86% 1.00% 1.04%
Ratio of net investment income to
average net assets*.................. 0.26%(b) 1.03% 1.29% 1.00% 1.01% 1.25%
Portfolio turnover (c)................. 9.61% 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) 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.
See notes to financial statements.
164
<PAGE> 167
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One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY INDEX FUND
------------------------------------------------------------------
CLASS A SHARES
------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED JUNE 30,
DECEMBER 31, --------------------------------------------------
1999 1999 1998 1997 1996 1995
------------ ------- ------- ------- ------- ------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........... $ 18.68 $ 17.99 $ 16.92 $ 15.16 $ 13.92 $13.49
------- ------- ------- ------- ------- ------
Investment Activities:
Net investment income (loss)................. (0.01) 0.29 0.19 0.11 0.14 0.12
Net realized and unrealized gains (losses)
from investments........................... 4.35 1.60 1.31 2.03 1.40 0.43
------- ------- ------- ------- ------- ------
Total from Investment Activities........... 4.34 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........................... (0.29) (0.85) (0.43) (0.15) (0.12) (0.04)
------- ------- ------- ------- ------- ------
Total Distributions........................ (0.29) (1.20) (0.43) (0.38) (0.30) (0.12)
------- ------- ------- ------- ------- ------
NET ASSET VALUE, END OF PERIOD................. $ 22.73 $ 18.68 $ 17.99 $ 16.92 $ 15.16 $13.92
======= ======= ======= ======= ======= ======
Total Return (Excludes Sales Charge)........... 23.39%(a) 11.21% 9.34% 14.31% 11.20% 3.87%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)............ $57,447 $55,691 $24,060 $12,562 $10,789 $5,028
Ratio of expenses to average net assets...... 1.10%(b) 1.10% 1.13% 1.11% 1.22% 1.28%
Ratio of net investment income to average net
assets..................................... 0.03%(b) 1.06% 1.11% 0.73% 0.79% 1.09%
Ratio of expenses to average net assets*..... 1.20%(b) 1.20% 1.23% 1.19% 1.35% 1.38%
Ratio of net investment income to average net
assets*.................................... (0.07)%(b) 0.96% 1.01% 0.65% 0.66% 0.99%
Portfolio turnover (c)....................... 9.61% 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) 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.
See notes to financial statements.
165
<PAGE> 168
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One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY INDEX FUND
-----------------------------------------------------------------
CLASS B SHARES
-----------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED JUNE 30,
DECEMBER 31, -------------------------------------------------
1999 1999 1998 1997 1996 1995
------------ ------- ------- ------- ------ ------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD............ $ 17.89 $ 17.33 $ 16.44 $ 14.79 $13.73 $13.40
------- ------- ------- ------- ------ ------
Investment Activities:
Net investment income (loss).................. (0.04) 0.10 0.08 0.09 0.03 0.03
Net realized and unrealized gains (losses)
from
investments................................. 4.13 1.55 1.24 1.86 1.32 0.41
------- ------- ------- ------- ------ ------
Total from Investment Activities............ 4.09 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............................ (0.29) (0.85) (0.43) (0.15) (0.12) (0.04)
------- ------- ------- ------- ------ ------
Total Distributions......................... (0.29) (1.09) (0.43) (0.30) (0.29) (0.11)
------- ------- ------- ------- ------ ------
NET ASSET VALUE, END OF PERIOD.................. $ 21.69 $ 17.89 $ 17.33 $ 16.44 $14.79 $13.73
======= ======= ======= ======= ====== ======
Total Return (Excludes Sales Charge)............ 23.00%(a) 10.15% 8.48% 13.37% 9.97% 3.17%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)............. $24,353 $18,489 $13,307 $10,033 $5,856 $3,687
Ratio of expenses to average net assets....... 1.85%(b) 1.83% 1.88% 1.86% 1.97% 2.04%
Ratio of net investment income to average net
assets...................................... (0.74)%(b) 0.10% 0.26% 0.08% 0.04% 0.25%
Ratio of expenses to average net assets*...... 1.85%(b) 1.83% 1.88% 1.86% 2.00% 2.04%
Ratio of net investment income to average net
assets*..................................... (0.74)%(b) 0.10% 0.26% 0.08% 0.01% 0.25%
Portfolio turnover (c)........................ 9.61% 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) 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.
See notes to financial statements.
166
<PAGE> 169
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One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY INDEX FUND
---------------------------------------
CLASS C SHARES
---------------------------------------
SIX MONTHS YEAR NOVEMBER 4,
ENDED ENDED 1997 TO
DECEMBER 31, JUNE 30, JUNE 30,
1999 1999 1998 (a)
------------ -------- -----------
(UNAUDITED)
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $18.55 $17.91 $15.70
------ ------ ------
Investment Activities:
Net investment income (loss).............................. (0.04) 0.30 0.06
Net realized and unrealized gains (losses) from
investments............................................. 4.28 1.51 2.45
------ ------ ------
Total from Investment Activities........................ 4.24 1.81 2.51
------ ------ ------
Distributions:
Net investment income..................................... -- (0.32) --
Net realized gains........................................ (0.29) (0.85) (0.30)
------ ------ ------
Total Distributions..................................... (0.29) (1.17) (0.30)
------ ------ ------
NET ASSET VALUE, END OF PERIOD.............................. $22.50 $18.55 $17.91
====== ====== ======
Total Return (Excludes Sales Charge)........................ 22.99%(b) 10.78% 16.34%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $8,139 $2,339 $ 119
Ratio of expenses to average net assets................... 1.85%(c) 1.86% 1.87%(c)
Ratio of net investment income to average net assets...... (0.79)%(c) 0.73% 2.88%(c)
Portfolio turnover (d).................................... 9.61% 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.
167
<PAGE> 170
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One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED INTERNATIONAL FUND
------------------------------------------------------------------------------
CLASS I SHARES
------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS
ENDED ENDED YEAR ENDED DECEMBER 31,
DECEMBER 31, JUNE 30, --------------------------------------------
1999 1999 (a) 1998 1997 1996 1995
------------ ---------- -------- -------- -------- --------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD......................... $ 15.13 $ 13.93 $ 12.14 $ 11.79 $ 11.05 $ 10.01
-------- -------- -------- -------- -------- --------
Investment Activities:
Net investment income (loss)... 0.01 0.11 0.14 0.10 0.11 0.10
Net realized and unrealized
gains (losses) from
investments.................. 4.50 1.09 1.85 0.37 0.74 1.05
-------- -------- -------- -------- -------- --------
Total from Investment
Activities................ 4.51 1.20 1.99 0.47 0.85 1.15
-------- -------- -------- -------- -------- --------
Distributions:
Net investment income.......... (0.15) -- (0.15) (0.12) (0.11) (0.11)
Net realized gains............. (0.18) -- (0.05) -- -- --
-------- -------- -------- -------- -------- --------
Total Distributions.......... (0.33) -- (0.20) (0.12) (0.11) (0.11)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD... $ 19.31 $ 15.13 $ 13.93 $ 12.14 $ 11.79 $ 11.05
======== ======== ======== ======== ======== ========
Total Return..................... 29.99%(b) 8.61%(b) 16.43% 3.98% 7.90% 11.47%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000)........................ $753,894 $599,310 $569,522 $487,986 $389,997 $106,300
Ratio of expenses to average
net assets................... 1.04%(c) 1.06%(c) 1.09% 1.10% 1.10% 1.16%(c)
Ratio of net investment income
to average net assets........ 0.10%(c) 1.59%(c) 1.04% 1.05% 1.01% 1.43%(c)
Ratio of expenses to average
net assets*.................. 1.07%(c) 1.09%(c) 1.09% 1.10% 1.10% 1.24%(c)
Ratio of net investment income
to average net assets*....... 0.07%(c) 1.56%(c) 1.04% 1.05% 1.01% 1.35%(c)
Portfolio turnover (d)......... 8.06% 2.96% 8.50% 3.56% 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) Upon reorganizing as a fund of the One Group, the Pegasus International
Equity Fund became the Diversified International Fund. The Financial
Highlights for the periods prior to March 21, 1999 represent the Pegasus
International Equity Fund.
(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.
168
<PAGE> 171
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED INTERNATIONAL FUND
-------------------------------------------------------------------------
CLASS A SHARES
-------------------------------------------------------------------------
SIX MONTHS SIX MONTHS
ENDED ENDED YEAR ENDED DECEMBER 31,
DECEMBER 31, JUNE 30, -----------------------------------------
1999 1999 (a) 1998 1997 1996 1995
------------ ---------- ------- ------- ------- -------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD.. $ 15.08 $ 13.89 $ 12.11 $ 11.77 $ 11.05 $ 10.01
------- ------- ------- ------- ------- -------
Investment Activities:
Net investment income (loss)........ (0.03) 0.08 0.11 0.07 0.10 0.10
Net realized and unrealized gains
(losses) from investments......... 4.50 1.11 1.84 0.36 0.72 1.05
------- ------- ------- ------- ------- -------
Total from Investment
Activities..................... 4.47 1.19 1.95 0.43 0.82 1.15
------- ------- ------- ------- ------- -------
Distributions:
Net investment income............... (0.12) -- (0.13) (0.09) (0.10) (0.11)
Net realized gains.................. (0.18) -- -- -- -- --
In excess of net investment
income............................ -- -- (0.04) -- -- --
------- ------- ------- ------- ------- -------
Total Distributions............... (0.30) -- (0.17) (0.09) (0.10) (0.11)
------- ------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD........ $ 19.25 $ 15.08 $ 13.89 $ 12.11 $ 11.77 $ 11.05
======= ======= ======= ======= ======= =======
Total Return (Excludes Sales
Charge)............................. 29.76%(b) 8.57%(b) 16.12% 3.69% 7.50% 11.47%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)... $37,033 $34,900 $44,232 $26,703 $10,836 $ 988
Ratio of expenses to average net
assets............................ 1.29%(c) 1.29%(c) 1.34% 1.35% 1.23% 1.16%
Ratio of net investment income to
average net assets................ (0.18)%(c) 1.25%(c) 0.79% 0.80% 0.88% 1.43%
Ratio of expenses to average net
assets*........................... 1.42%(c) 1.37%(c) 1.34% 1.35% 1.23% 1.24%
Ratio of net investment income to
average net assets*............... (0.31)%(c) 1.17%(c) 0.79% 0.80% 0.88% 1.35%
Portfolio turnover (d).............. 8.06% 2.96% 8.50% 3.56%(e) 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) Upon reorganizing as a fund of the One Group, the Pegasus International
Equity Fund became the Diversified International Fund. The Financial
Highlights for the periods prior to March 21, 1999 represent the Pegasus
International Equity Fund.
(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 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.
169
<PAGE> 172
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED INTERNATIONAL FUND
------------------------------------------------------------------
CLASS B SHARES
------------------------------------------------------------------
SIX MONTHS SIX MONTHS YEAR ENDED AUGUST 24,
ENDED ENDED DECEMBER 31, 1996 TO
DECEMBER 31, JUNE 30, ------------------ DECEMBER 31,
1999 1999 (a) 1998 1997 1996 (b)
------------ ---------- ------- ------- ------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD....... $ 14.08 $ 13.01 $ 11.37 $ 11.08 $ 10.84
------- ------- ------- ------- -------
Investment Activities:
Net investment income (loss)............. (0.04) 0.03 0.01 0.01 0.04
Net realized and unrealized gains
(losses) from investments.............. 4.15 1.04 1.74 0.34 0.24
------- ------- ------- ------- -------
Total from Investment Activities....... 4.11 1.07 1.75 0.35 0.28
------- ------- ------- ------- -------
Distributions:
Net investment income.................... (0.08) -- (0.08) (0.06) (0.04)
Net realized gains....................... (0.18) -- -- -- --
In excess of net investment income....... -- -- (0.03) -- --
------- ------- ------- ------- -------
Total Distributions.................... (0.26) -- (0.11) (0.06) (0.04)
------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD............. $ 17.93 $ 14.08 $ 13.01 $ 11.37 $ 11.08
======= ======= ======= ======= =======
Total Return (Excludes Sales Charge)....... 29.36%(c) 8.22%(c) 15.43% 2.90% 2.62%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)........ $ 4,088 $ 2,478 $ 2,545 $ 1,763 $ 1,131
Ratio of expenses to average net
assets................................. 2.04%(d) 2.05%(d) 2.09% 2.10% 2.05%(d)
Ratio of net investment income to average
net assets............................. (0.91)(d) 0.57%(d) 0.04% 0.05% 0.75%(d)
Ratio of expenses to average net
assets*................................ 2.07%(d) 2.08%(d) 2.09% 2.10% 2.05%(d)
Ratio of net investment income to average
net assets*............................ (0.94)%(d) 0.54%(d) 0.04% 0.05% 0.75%(d)
Portfolio turnover (e)................... 8.06% 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) Upon reorganizing as a fund of the One Group, the Pegasus International
Equity Fund became the Diversified International Fund. The Financial
Highlights for the periods prior to March 21, 1999 represent the Pegasus
International Equity Fund.
(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.
170
<PAGE> 173
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED INTERNATIONAL FUND
------------------------------
CLASS C SHARES
------------------------------
SIX MONTHS MARCH 22,
ENDED 1999 TO
DECEMBER 31, JUNE 30,
1999 1999 (a)
------------ ---------
(UNAUDITED)
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 14.08 $ 13.47
------- -------
Investment Activities:
Net investment income (loss).............................. (0.02) --
Net realized and unrealized gains (losses) from
investments............................................. 4.12 0.61
------- -------
Total from Investment Activities........................ 4.10 0.61
------- -------
Distributions:
Net investment income..................................... (0.11) --
Net realized gains........................................ (0.18) --
------- -------
Total Distributions..................................... (0.29) --
------- -------
NET ASSET VALUE, END OF PERIOD.............................. $ 17.89 $ 14.08
======= =======
Total Return (Excludes Sales Charge)........................ 29.30%(b) 4.53%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $ 136 $ 5
Ratio of expenses to average net assets................... 2.04%(c) 2.00%(c)
Ratio of net investment income to average net assets...... (0.83)%(c) 1.58%(c)
Ratio of expenses to average net assets*.................. 2.07%(c) 2.00%(c)
Ratio of net investment income to average net assets*..... (0.86)%(c) 1.58%(c)
Portfolio turnover (d).................................... 8.06% 2.96%
</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.
171
<PAGE> 174
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS DECEMBER 31, 1999
(Unaudited)
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, the Small Cap Value Fund, the Mid Cap Growth Fund, Mid Cap Value
Fund, the Diversified Mid Cap Fund, the Large Cap Growth Fund, the Large Cap
Value Fund, the Equity Income Fund, the Diversified Equity Fund, the Balanced
Fund, the Equity Index Fund, the Market Expansion Index Fund, the
International Equity Index Fund and the Diversified International Fund,
(individually a "Fund", collectively the "Funds") only. Each Fund is a
diversified mutual fund.
The Funds' investment objectives are as follows:
<TABLE>
<CAPTION>
FUND OBJECTIVE
---- ---------
<S> <C>
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 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.
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.
</TABLE>
Continued
172
<PAGE> 175
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED DECEMBER 31, 1999
(Unaudited)
<TABLE>
<CAPTION>
FUND OBJECTIVE
---- ---------
<S> <C>
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 mean of the latest bid and ask prices. 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 Pricing Committee which is
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.
Continued
173
<PAGE> 176
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED DECEMBER 31, 1999
(Unaudited)
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.
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
receive payments from borrowers equivalent to the dividends and interest
that would have been earned on securities lent while simultaneously seeking
to earn interest on the investment of cash 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 December 31,
1999, the following Funds had securities with the following market values
on loan (amounts in thousands):
<TABLE>
<CAPTION>
MARKET MARKET
VALUE VALUE
OF OF LOANED
COLLATERAL SECURITIES
---------- ----------
<S> <C> <C>
Small Cap Growth Fund....................................... $ 12,006 $ 11,755
Small Cap Value Fund........................................ 1,392 1,363
Mid Cap Growth Fund......................................... 248,835 243,419
Mid Cap Value Fund.......................................... 53,834 52,643
Diversified Mid Cap Fund.................................... 103,591 101,206
Large Cap Growth Fund....................................... 260,160 254,328
Large Cap Value Fund........................................ 57,270 55,915
Equity Income Fund.......................................... 47,810 46,531
Diversified Equity Fund..................................... 111,826 109,414
Balanced Fund............................................... 60,785 59,284
Equity Index Fund........................................... 241,200 235,727
Market Expansion Index Fund................................. 1,184 1,159
International Equity Index Fund............................. 129,672 125,744
Diversified International Fund.............................. 69,319 67,717
</TABLE>
The loaned securities were fully collateralized by cash, U.S. government
securities and letters of credit as of December 31, 1999.
Continued
174
<PAGE> 177
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED DECEMBER 31, 1999
(Unaudited)
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 for both financial
reporting and tax purposes using the effective interest method.
EXPENSES
Expenses directly attributable to a Fund are charged directly to that Fund,
while the expenses, which are attributable to more than one Fund of the
Trust, are allocated among the respective Funds. Each class of shares bears
its pro-rata portion of expenses attributable to its series, except that
each class separately bears expenses related specifically to that class,
such as distribution fees.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income are declared and paid quarterly for
the Funds except for the International Equity Index Fund and the
Diversified International Fund which declares and pays dividends, if any,
at least annually and the Equity Income Fund and the Balanced Fund which
declares and pays dividends monthly. 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.
DEFERRED ORGANIZATION COSTS
Costs incurred by the Trust in connection with its organization, including
the fees and expenses of registering and qualifying its shares for
distribution, have been deferred. Prior to June 30, 1998, costs were being
amortized using the straight-line method over a period of five years
beginning with the commencement of each Fund's operations. After June 30,
1998, costs are expensed as incurred. All such costs, which are
attributable to more than one fund of the Trust, have been allocated among
the respective funds pro-rata, based on the relative net assets of each
Fund. In the event that any of the initial shares are redeemed during such
period by any holder thereof, the related fund will be reimbursed by such
holder for any unamortized organization costs in the proportion as the
number of initial shares being redeemed bears to the number of initial
shares outstanding at the time of redemption.
Continued
175
<PAGE> 178
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED DECEMBER 31, 1999
(Unaudited)
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.
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.
The following is a summary of futures outstanding as of December 31, 1999:
<TABLE>
<CAPTION>
OPENING CURRENT
NUMBER POSITIONS MARKET VALUE
FUND CONTRACT TYPE OF CONTRACTS (000) (000)
---- ------------- ------------ --------- ------------
<S> <C> <C> <C> <C>
Mid Cap Growth Fund............ Long Mid Cap 400,
March 2000 Futures 125 $26,293 $28,072
Diversified Mid Cap Fund....... Long Mid Cap 400,
March 2000 Futures 101 21,449 22,682
Large Cap Growth Fund.......... Long S&P 500, March
2000 Futures 125 46,144 46,381
Balanced Fund.................. Long S&P 500, March
2000 Futures 68 24,305 25,231
Equity Index Fund.............. Long S&P 500, March
2000 Futures 126 44,880 46,753
Market Expansion Fund.......... Long S&P 500, March
2000 Futures 3 1,082 1,113
International Equity Index Long Nikkei 225,
Fund......................... March 2000 Futures 90 8,286 8,505
Diversified International Long Topix, March
Fund......................... 2000 Futures 150 23,935 25,216
</TABLE>
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.
Continued
176
<PAGE> 179
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED DECEMBER 31, 1999
(Unaudited)
The following is a summary of option activity for the six months ended
December 31, 1999 by the Funds (amounts in thousands):
<TABLE>
<CAPTION>
MID CAP VALUE FUND LARGE CAP GROWTH FUND
-------------------------- --------------------------
SHARES SUBJECT SHARES SUBJECT
TO CONTRACT PREMIUMS TO CONTRACT PREMIUMS
-------------- -------- -------------- --------
<S> <C> <C> <C> <C>
COVERED CALL OPTIONS
Balance at beginning of period........... -- $ -- -- $ --
Options written.......................... 795 953 80 754
Options expired.......................... (478) (432) (15) (52)
Options exercised........................ (127) (290) (25) (86)
---- ----- --- ----
Options outstanding at end of period..... 190 $ 231 40 $616
==== ===== === ====
</TABLE>
<TABLE>
<CAPTION>
LARGE CAP VALUE FUND
--------------------------
SHARES SUBJECT
TO CONTRACT PREMIUMS
-------------- --------
<S> <C> <C>
COVERED CALL OPTIONS
Balance at beginning of period.............................. 75 $ 661
Options written............................................. 110 212
Options closed.............................................. (25) (74)
Options expired............................................. (110) (212)
Options exercised........................................... (50) (587)
---- -----
Options outstanding at end of period........................ -- --
==== =====
</TABLE>
<TABLE>
<CAPTION>
MID CAP GROWTH FUND
--------------------------
SHARES SUBJECT
TO CONTRACT PREMIUMS
-------------- --------
<S> <C> <C>
PURCHASED CALL OPTIONS
Balance at beginning of period.............................. -- $ --
Options bought.............................................. 100 316
Options sold................................................ (100) (316)
---- -----
Options outstanding at end of period........................ -- --
==== =====
</TABLE>
The following is a summary of options outstanding as of December 31, 1999
(amounts in thousands):
COVERED CALL OPTIONS
<TABLE>
<CAPTION>
SHARES SUBJECT
FUND SECURITY TO CONTRACT MARKET VALUE
---- -------- -------------- ------------
<S> <C> <C> <C>
Mid Cap Value Fund...... ATMEL Corp., $30.00, 1/24/00 50 $ 103
Mid Cap Value Fund...... ATMEL Corp., $32.50, 1/24/00 50 59
Mid Cap Value Fund...... Federal Mogul Corp., $20.00, 1/24/00 40 48
Mid Cap Value Fund...... Federal Mogul Corp., $22.50, 2/21/00 50 47
Large Cap Growth Fund... Yahoo, $400, 1/20/00 40 2,400
</TABLE>
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
Continued
177
<PAGE> 180
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED DECEMBER 31, 1999
(Unaudited)
securities may be more volatile than the referenced instrument itself, but
any loss is limited to the amount of the original investment.
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-four series and six classes of shares: Class I, Class A, Class B, Class
C, Service Class and Class S. 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 only. 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 December 31, 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. See Schedules of Capital Stock Activity.
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 Fund, 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 November 1, 1999, Independence International Associates, Inc.
("IIA"), an indirect subsidiary of John Hancock Mutual Life Insurance
Company, managed 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 was 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
Continued
178
<PAGE> 181
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED DECEMBER 31, 1999
(Unaudited)
between the Administrator and the Advisor. Pursuant to this agreement, the
Advisor performs many of the Administrator's duties, for which the Advisor
receives a fee paid by the Administrator.
The Trust and The One Group Services Company (the "Distributor") are parties
to a distribution agreement under which shares of the Funds are sold on a
continuous basis. Class A, Class B, and Class C shares are subject to
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 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 period ended December 31, 1999, the Distributor
received $6,306,488 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 $ 5,243,206 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 six months ended December 31, 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.................................. $ 9 $ 24 $ 17
Small Cap Value Fund................................... 143 9 11
Mid Cap Growth Fund.................................... -- -- 87
Mid Cap Value Fund..................................... 100 -- 54
Diversified Mid Cap Fund............................... 794 -- 110
Large Cap Growth Fund.................................. -- -- 247
Large Cap Value Fund................................... -- -- 20
Equity Income Fund..................................... 682 200 65
Diversified Equity Fund................................ -- -- 162
Balanced Fund.......................................... 289 -- 52
Equity Index Fund...................................... 2,512 1,001 386
Market Expansion Index Fund............................ 42 17 --(a)
International Equity Index Fund........................ -- -- 28
Diversified International Fund......................... 101 10 18
</TABLE>
- ------------
(a) Amount is less than $ 1,000.
Continued
179
<PAGE> 182
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED DECEMBER 31, 1999
(Unaudited)
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 six months
ended December 31, 1999 were as follows (amounts in thousands):
<TABLE>
<CAPTION>
PURCHASES SALES
---------- ----------
<S> <C> <C>
Small Cap Growth Fund....................................... $ 157,662 $ 111,377
Small Cap Value Fund........................................ 197,792 240,631
Mid Cap Growth Fund......................................... 1,195,608 1,240,442
Mid Cap Value Fund.......................................... 554,892 643,337
Diversified Mid Cap Fund.................................... 353,705 553,206
Large Cap Growth Fund....................................... 2,200,113 2,250,724
Large Cap Value Fund........................................ 1,042,433 945,234
Equity Income Fund.......................................... 79,016 278,178
Diversified Equity Fund..................................... 520,473 725,132
Balanced Fund............................................... 198,327 143,571
Equity Index Fund........................................... 233,767 65,837
Market Expansion Index Fund................................. 4,446 9,387
International Equity Index Fund............................. 92,467 73,926
Diversified International Fund.............................. 52,628 68,604
</TABLE>
6. LINE OF CREDIT:
The Trust and State Street Bank and Trust Company ("State Street") and a
group of banks (collectively, the "Banks") entered into a financing agreement
dated October 19, 1999. Under this agreement, the Banks provide an unsecured
committed credit facility in the aggregate amount of $500 million. The credit
facility is allocated, under the terms of the financing agreement, among the
Banks. Advances under the agreement are taken primarily for temporary or
emergency purposes, including the meeting of redemption requests that
otherwise might require the untimely disposition of securities, and are
subject to each Fund's borrowing restrictions. Interest on borrowings is
payable at the Federal Funds Rate plus 0.50% on an annualized basis. Interest
on borrowings during the period from and including December 15, 1999 to
January 17, 2000, is payable at 0.50% plus the higher of the Fed Funds
Effective Rate plus 0.50% or the Fed Funds Target Rate plus 1.50%. A
commitment fee of 0.10% per annum will be incurred on the unused portion of
the committed facility, which is allocated to all funds.
As of December 31, 1999, there were no loans outstanding under this
agreement. During the six months ended December 31, 1999, borrowings by the
Funds under the Agreement were as follows:
<TABLE>
<CAPTION>
AVERAGE AVERAGE
FUND AMOUNT OUTSTANDING INTEREST RATE
---- ------------------ -------------
<S> <C> <C>
Diversified Equity Fund..................................... $65,217 6.265%
Market Expansion Index Fund................................. 30,978 5.857%
Diversified International Fund.............................. 19,130 6.250%
</TABLE>
The average amount outstanding was calculated based on daily balances during
the period.
7. DEFERRED TRUSTEES FEES:
Independent Trustees of the Funds may participate in a Deferred Compensation
Plan in which they may defer any or all compensation related to performance
of their duties as a Trustee. All deferred compensation is paid by
Continued
180
<PAGE> 183
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED DECEMBER 31, 1999
(Unaudited)
the Funds and invested into various One Group funds elected by each Trustee.
The plan is fully funded and therefore, the Funds bear no additional trustee
expense over and above the normal cash compensation.
8. CONVERSION OF COMMON TRUST FUNDS:
The net assets of certain common trust funds managed by First Chicago NBD
Investment Management Company (an affiliate of the Advisor) 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 acquires 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>
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>
9. 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 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>
Continued
181
<PAGE> 184
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED DECEMBER 31, 1999
(Unaudited)
<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>
<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 EQUITY INDEX EQUITY INDEX
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>
Continued
182
<PAGE> 185
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED DECEMBER 31, 1999
(Unaudited)
10. 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 21, 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 (depreciation)............... (27,398) -- (27,398)
</TABLE>
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
----------------------------------------- --------------
PEGASUS DISCIPLINED MID CAP
INTRINSIC 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>
Continued
183
<PAGE> 186
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED DECEMBER 31, 1999
(Unaudited)
<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>
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
----------------------------------------- --------------
PEGASUS INCOME EQUITY
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>
Continued
184
<PAGE> 187
- --------------------------------------------------------------------------------
One Group Mutual Funds
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED DECEMBER 31, 1999
(Unaudited)
<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>
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
----------------------------------------- --------------
PEGASUS MARKET MARKET MARKET
EXPANSION EXPANSION EXPANSION
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
INTERNATIONAL DIVERSIFIED DIVERSIFIED
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>
185
<PAGE> 188
One Group is distributed by
The One Group Services Company,
which is not affiliated with BANK
ONE CORPORATION. Banc One
Investment Advisors Corporation
serves as investment advisor to
the One Group, for which it
receives advisory fees.
Call Investor Services at
The One Group Service Center
at 1 800 480 4111 for a prospectus
containing complete information
about charges and expenses. Read
carefully before investing. Past
performance is no guarantee of
future results.
BANC ONE
INVESTMENT
ADVISORS
CORPORATION [LOGO] BANK ONE
TOG-F-041 (2/00)
