<PAGE> 1
EQUITY FUNDS
ANNUAL REPORT
For the year ended June 30, 2000
[One Group Logo]
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
<PAGE> 2
NOT FDIC INSURED - NO BANK GUARANTEE - MAY LOSE VALUE
This material must be preceded or accompanied by a current prospectus.
<PAGE> 3
Table of Contents
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
Portfolio Performance Review............................................... 2
Schedules of Portfolio Investments......................................... 48
Statements of Assets and Liabilities........................................ 142
Statements of Operations.................................................... 145
Statements of Changes in Net Assets......................................... 149
Schedules of Capital Stock Activity......................................... 154
Financial Highlights........................................................ 161
Notes to Financial Statements............................................... 217
Report of Independent Accountants........................................... 233
1
<PAGE> 4
One Group Small Cap Growth Fund
Portfolio Performance Review
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
HOW DID THE FUND PERFORM?
One Group Small Cap Growth Fund I share class posted a total return of 32.26%
for the year ended June 30, 2000. (For information on other share classes and
performance comparisons to indexes, please see pages 4-5.)
HOW WOULD YOU DESCRIBE THE MARKET CLIMATE?
The fiscal year 2000 will be remembered for the extreme volatility exhibited in
technology stocks, particularly among the Internet sector. The period from
September 1, 1999, through March 10, 2000, experienced unprecedented moves in
the technology sector, as demonstrated by the NASDAQ Composite Index
outperforming the S&P 500 Index by 78 percentage points.
This represented one of the most overly optimistic periods in market history, as
small cap growth stocks and Internet sectors, often thought of as the most
speculative style and sector of the market, benefited from valuations never seen
before. While the Internet promises to change business and the way people go
about their daily lives, the lack of earnings and negative cash flow of many new
companies eventually led to a quick correction from mid-March through the end of
May. But, even with the sector rotations that occurred, the overall market still
performed positively for the 12-month period. Furthermore, signs that the
economy may be slowing down are providing hope that the Federal Reserve will
discontinue its interest-rate-tightening campaign, allowing strong growth
companies to continue meeting expectations.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Our goal is to own and overweight small-company stocks that exhibit strong
fundamentals, such as increasing earnings estimates and improving sales and
margins. Small cap companies with these characteristics often have niche
products or services that serve large or rapidly growing markets. In addition to
strong fundamentals, we favor companies with attractive valuations over those
with extremely high valuations.
In pursuit of these goals, we continued to invest in the highest growth
companies. We reduced exposure to cyclical and financial stocks and more
value-oriented sectors and increased holdings in the technology and health care
sectors, which provided the greatest growth opportunities.
Early in the fiscal year, the Fund's performance benefited from an over-weighted
position in the technology sector, particularly in the semiconductor area. But,
by February 2000, we thought that optimism and speculation were rising to
unprecedented and dangerous levels. We therefore aggressively cut the Fund's
exposure to technology and biotechnology, where speculation was the highest. In
hindsight, we implemented this strategy only a few weeks early, as the market
correction started in mid-March. Nevertheless, these moves helped lessen the
impact of the correction, and the Fund avoided some of the carnage that many
small-cap growth managers experienced.
HOW DID SECTOR ALLOCATIONS INFLUENCE FUND PERFORMANCE?*
Not surprisingly, the Fund's technology stocks had the largest positive
influence on Fund performance during the fiscal year. Specifically, the
semiconductor, communication technology and software areas offered the greatest
returns, as did participation in the Internet and IPO (initial public offering)
segments of the market. Among technology stocks (excluding most Internet
companies), fundamentals remained strong, but valuations increased significantly
in 1999 and early 2000, driving the strong performance. Internet stocks rose in
1999 and early 2000, almost exclusively on expanding valuations rather than
fundamentals, as most Internet startups lost money and generated negative cash
flows.
The health technology sector also generated strong returns for the Fund due to
the strong biotechnology performance in 1999 and early 2000. In addition,
capital equipment stocks, driven by exposure to companies with technology
end-markets, provided good returns.
The consumer-related sectors were the weakest-performing, even though consumer
spending remained high. Specifically, the consumer capital spending sector
negatively influenced performance, as higher interest rates caused
housing-related and several other industries to weaken.
2
<PAGE> 5
One Group Small Cap Growth Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
WHAT WERE THE FUND'S TOP 10 HOLDINGS?*
As of June 30, 2000, the Fund's top 10 holdings included Lattice Semiconductor
Corp. at 2.0% of the portfolio; SEI Corp., 1.8%; Protein Design Labs, Inc.,
1.8%; Techne Corp., 1.7%; Cognex Corp., 1.6%; Vertex Pharma, Inc., 1.6%; Jones
Pharma, Inc., 1.5%; RSA Security, Inc., 1.5%; Gentex Corp., 1.4%; and Kemet
Corp., 1.4%.
WHAT IS YOUR OUTLOOK FOR THE FUND?
We will continue to focus on finding small companies with strong market
positions and improving fundamentals that are selling at reasonable valuations.
Rather than attempting to project the direction of the overall stock market from
a top-down perspective, we direct most of our efforts toward bottom-up,
company-by-company research. We believe that uncovering companies with
upward-trending earnings estimates, good balance sheets, niche products, a
dominant market share and attractive valuations should deliver superior stock
performance over time.
/s/ Richard R. Jandrain III
Richard R. Jandrain, III
Chief Investment Officer of Equity Securities
Banc One Investment Advisors Corporation
------------
* Holdings are subject to change.
The NASDAQ Composite Index is an unmanaged index generally representative of the
performance of larger-capitalization technology-oriented stocks. The S&P 500
Index is an unmanaged index generally representative of the performance of large
companies in the U.S. stock market. An investor cannot invest directly in an
index.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
3
<PAGE> 6
One Group Small Cap Growth Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (7/1/91)
<S> <C> <C> <C>
Class I 32.26% 17.43% 16.54%
</TABLE>
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
S&P SMALLCAP
CLASS I S&P SMALLCAP 600 600/BARRA GROWTH
------- ---------------- ----------------
<S> <C> <C> <C>
7/91 10000.00 10000.00 10000.00
6/92 12124.00 11710.00 11710.00
6/93 15312.00 15046.00 15046.00
6/94 15873.00 15326.00 14673.00
6/95 17759.00 18447.00 17919.00
6/96 21543.00 23246.00 22713.00
6/97 24438.00 28287.00 25381.00
6/98 30201.00 33792.00 29057.00
6/99 29983.00 33011.00 28773.00
6/00 39655.00 37760.00 36813.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (7/1/91)
<S> <C> <C> <C>
Class A 31.79% 17.26% 16.45%
Class A* 24.85% 15.99% 15.76%
</TABLE>
* Reflects 5.25% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
S&P SMALLCAP
CLASS A CLASS A* S&P SMALLCAP 600 600/BARRA GROWTH
------- -------- ---------------- ----------------
<S> <C> <C> <C> <C>
7/91 10000.00 9475.00 10000.00 10000.00
6/92 12124.00 11493.00 11710.00 11710.00
6/93 15312.00 14514.00 15046.00 15046.00
6/94 15873.00 15046.00 15326.00 14673.00
6/95 17759.00 16834.00 18447.00 17919.00
6/96 21460.00 20342.00 23246.00 22713.00
6/97 24362.00 23093.00 28287.00 25381.00
6/98 30034.00 28470.00 33792.00 29057.00
6/99 29875.00 28319.00 33011.00 28773.00
6/00 39372.00 37322.00 37760.00 36813.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (9/12/94)
<S> <C> <C> <C>
Class B 30.89% 16.29% 15.03%
Class B** 25.89% 16.07% 14.94%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
S&P SMALLCAP
CLASS B CLASS B** S&P SMALLCAP 600 600/BARRA GROWTH
------- --------- ---------------- ----------------
<S> <C> <C> <C> <C>
9/94 10000.00 10000.00 10000.00 10000.00
6/95 10590.00 10590.00 11130.00 11178.00
6/96 12698.00 12698.00 14025.00 14168.00
6/97 14316.00 14316.00 17067.00 15832.00
6/98 17499.00 17499.00 20388.00 18126.00
6/99 17203.00 17203.00 19917.00 17948.00
6/00 22517.00 22417.00 22782.00 22964.00
</TABLE>
4
<PAGE> 7
One Group Small Cap Growth Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year (11/4/97)
<S> <C> <C> <C>
Class C 31.27% 11.33%
Class C** 30.27% 11.33%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
S&P SMALLCAP
CLASS C CLASS C** S&P SMALLCAP 600 600/BARRA GROWTH
------- --------- ---------------- ----------------
<S> <C> <C> <C> <C>
11/97 10000.00 10000.00 10000.00 10000.00
6/98 10308.00 10308.00 10747.00 10426.00
6/99 10128.00 10128.00 10499.00 10324.00
6/00 13294.00 13294.00 12009.00 13209.00
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
Small capitalization funds typically carry additional risks since smaller
companies generally have a higher risk of failure.
The above-quoted performance data includes the performance of the Paragon Gulf
South Growth Fund for the period before it was acquired by the One Group Small
Cap Growth Fund on March 26, 1996. Prior to March 26, 1996 performance for the
Class I shares is based on Class A share performance adjusted to reflect the
absence of sales charges.
The performance of the Small Cap Growth Fund is measured against the S&P
SmallCap 600 Index, an unmanaged index generally representative of the
performance of the small companies within the U.S. stock market. Investors are
unable to purchase the index directly, although they can invest in the
underlying securities. The performance of the index does not reflect the
deduction of expenses associated with a mutual fund, such as investment
management fees. By contrast, the performance of the Fund reflects the deduction
of these services as well as the deduction of sales charges on Class A shares
and applicable contingent deferred sales charges on Class B and Class C shares.
The S&P SmallCap 600/BARRA Growth Index represents the performance of 600 small
capitalization domestic stocks with a higher price to book ratio.
The S&P SmallCap 600/BARRA Growth Index consists of the average monthly returns
of the S&P SmallCap 600 Index for periods prior to January 1994. Thereafter, the
data is from the S&P SmallCap 600/BARRA Growth Index, which corresponds with the
initiation of the S&P SmallCap 600/BARRA Growth Index on January 1, 1994.
5
<PAGE> 8
One Group Small Cap Value Fund
Portfolio Performance Review
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
HOW DID THE FUND PERFORM?
One Group Small Cap Value Fund I share class posted a total return of -2.78% for
the year ended June 30, 2000. (For information on other share classes and
performance comparisons to indexes, please see pages 7-8.)
HOW WOULD YOU DESCRIBE THE MARKET CLIMATE?
Overall, small-cap stocks, as measured by the S&P SmallCap 600 Index,
outperformed their large-cap counterparts, as measured by the S&P 500 Index,
during the fiscal year. The S&P SmallCap 600 Index posted a total return of
14.38%, while the total return for the S&P 500 Index was 7.25%. But, within the
styles, small-cap growth was the place to be, as evidenced by a 27.95% return in
the S&P SmallCap 600/BARRA Growth Index, versus a -0.46% return for the S&P
SmallCap 600/BARRA Value Index.
Interest rates remained on an upward course during the fiscal year. Small-cap
value stocks generally are more sensitive to interest rates and Federal Reserve
activity than other stock styles. Thus, while earnings of the underlying
companies were quite strong throughout the fiscal year, the stocks reacted
negatively to the aggressive rate-tightening policy of the Federal Reserve.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
During late 1999 and early 2000 our efforts focused on restructuring the Fund as
a more traditional-value-oriented portfolio. We sharpened our focus on stocks
with low price/earnings, low price/book and low price/ cash flow
characteristics. By focusing on strong individual companies and only purchasing
them when they were out of favor and low in price relative to earnings, we
attempted to limit downside risk while offering attractive capital appreciation.
As a result of our restructuring efforts, the Fund's P/E and other valuation
characteristics dropped considerably. In taking on a more traditional-value
orientation, the Fund was under-represented in the most highly volatile and
speculative technology sectors. This hurt the Fund's performance earlier in the
fiscal year, but it helped performance substantially as the speculative stocks
corrected later in the fiscal year.
DID THE FUND BENEFIT FROM ANY PARTICULARLY STRONG HOLDINGS?*
The Fund enjoyed strong performance from a number of stocks in the technology
sector, including Tech Data, Arrow Electronics and Park Electrochemical. The
health care sector also offered notable performance, with Amerisource Health,
Bindley Western Industries, St. Jude Medical and Quest Diagnostics posting
strong returns.
WHAT WERE THE FUND'S TOP 10 HOLDINGS?*
Our restructuring efforts led to an entirely new group of top 10 holdings. As of
June 30, 2000, the list included Amerisource Health Corp. at 2.0% of the
portfolio; Smithfield Foods, Inc., 1.9%; Bindley Western Industries, Inc., 1.9%;
Foundation Health Systems, Inc., 1.7%; Ashland Co. Inc., 1.6%; Cummins Engine,
Inc., 1.6%; Kelly Services, Inc., 1.6%; Washington Federal, Inc., 1.6%; Teco
Energy, Inc., 1.6%; and Liberty Financial Companies, 1.6%.
WHAT IS YOUR OUTLOOK FOR THE FUND?
We remain optimistic toward small cap value stocks. We believe the market is
beginning to focus more broadly on the small cap sector overall, and the bloom
appears to be off the more speculative and highly valued stocks. Equally
important is the fact that this sector is especially sensitive to Federal
Reserve interest rate policy. We expect the upward trend in rates to end
sometime in the next several months. This should help the stocks in our
portfolio, as fears of higher rates come to an end.
/s/ Richard R. Jandrain III
Richard R. Jandrain, III
Chief Investment Officer of Equity Securities
Banc One Investment Advisors Corporation
------------
* Holdings are subject to change.
The S&P 500 Index is an unmanaged index generally representative of the
performance of large companies in the U.S. stock market. The S&P SmallCap
600/BARRA Growth Index is an unmanaged index generally representative of the
performance of 600 small-capitalization U.S. stocks with a higher price-to-book
ratio. An investor cannot invest directly in an index.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
6
<PAGE> 9
One Group Small Cap Value Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (6/30/72)
<S> <C> <C> <C> <C>
Class I (2.78)% 11.39% 12.74% 9.29%
</TABLE>
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
S&P SMALLCAP
CLASS I S&P SMALLCAP 600 600/BARRA VALUE
------- ---------------- ---------------
<S> <C> <C> <C>
6/90 10000.00 10000.00 10000.00
6/91 12087.00 9810.00 9810.00
6/92 14936.00 11488.00 11488.00
6/93 18385.00 14760.00 14760.00
6/94 17423.00 15036.00 15663.00
6/95 19338.00 18097.00 18550.00
6/96 24476.00 22805.00 23160.00
6/97 32857.00 27751.00 30554.00
6/98 39325.00 33151.00 38122.00
6/99 34112.00 32385.00 36628.00
6/00 33165.00 37044.00 36460.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (6/30/72)
<S> <C> <C> <C> <C>
Class A (2.94)% 10.98% 12.24% 8.73%
Class A* (8.05)% 9.79% 11.65% 8.51%
</TABLE>
* Reflects 5.25% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
S&P SMALLCAP
CLASS A CLASS A* S&P SMALLCAP 600 600/BARRA VALUE
------- -------- ---------------- ---------------
<S> <C> <C> <C> <C>
6/90 10000.00 9480.00 10000.00 10000.00
6/91 12018.00 11393.00 9810.00 9810.00
6/92 14761.00 13993.00 11488.00 11488.00
6/93 18089.00 17148.00 14760.00 14760.00
6/94 17044.00 16158.00 15036.00 15663.00
6/95 18855.00 17874.00 18097.00 18550.00
6/96 23754.00 22519.00 22805.00 23160.00
6/97 31677.00 30030.00 27751.00 30554.00
6/98 37776.00 35811.00 33151.00 38122.00
6/99 32701.00 31000.00 32385.00 36628.00
6/00 31739.00 30088.00 37044.00 36460.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (6/30/72)
<S> <C> <C> <C> <C>
Class B (3.67)% 10.31% 11.85% 8.60%
Class B** (8.47)% 10.03% 11.85% 8.60%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
S&P SMALLCAP
CLASS B CLASS B** S&P SMALLCAP 600 600/BARRA VALUE
------- --------- ---------------- ---------------
<S> <C> <C> <C> <C>
6/90 10000.00 10000.00 10000.00 10000.00
6/91 12018.00 12018.00 9810.00 9810.00
6/92 14761.00 14761.00 11488.00 11488.00
6/93 18089.00 18089.00 14760.00 14760.00
6/94 17044.00 17044.00 15036.00 15663.00
6/95 18761.00 18761.00 18097.00 18550.00
6/96 23494.00 23494.00 22805.00 23160.00
6/97 31226.00 31226.00 27751.00 30554.00
6/98 36980.00 36980.00 33151.00 38122.00
6/99 31806.00 31806.00 32385.00 36628.00
6/00 30637.00 30637.00 37044.00 36460.00
</TABLE>
7
<PAGE> 10
One Group Small Cap Value Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year (3/22/99)
<S> <C> <C> <C>
Class C (3.57)% 6.73%
Class C** (4.53)% 6.73%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
S&P SMALLCAP
CLASS C CLASS C** S&P SMALLCAP 600 600/BARRA VALUE
------- --------- ---------------- ---------------
<S> <C> <C> <C> <C>
3/99 10000.00 10000.00 10000.00 10000.00
6/99 11268.00 11268.00 11542.00 11991.00
6/00 10866.00 10866.00 13202.00 11936.00
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
Small capitalization funds typically carry additional risks since smaller
companies generally have a higher risk of failure.
The Small Cap Value Fund commenced operations as the Pegasus Small Cap
Opportunity Fund on January 27, 1995 subsequent to the transfer of assets from a
common trust fund with materially equivalent investment objectives, policies,
guidelines and restrictions as the Fund. The quoted performance of the Fund
includes the performance of the common trust fund for the Pegasus Small Cap
Opportunity Fund for periods prior to the Fund's commencement of operations as
adjusted to reflect the expenses associated with the Fund. Common trust funds
are not registered under the Investment Company Act of 1940 ("1940 Act") and,
therefore, are not subject to certain investment restrictions, limitations and
diversification requirements imposed by the 1940 Act and the Internal Revenue
Code. If the common trust fund had been registered under the 1940 Act, its
performance may have been adversely affected. The above quoted performance data
includes the performance of a common trust fund and the Pegasus Small Cap
Opportunity Fund prior to the acquisition by the One Group Small Cap Value Fund
on March 22, 1999.
The performance of the Small Cap Value Fund is measured against the S&P SmallCap
600 Index, an unmanaged index generally representative of the performance of the
small companies within the U.S. stock market. Investors are unable to purchase
the index directly, although they can invest in the underlying securities. The
performance of the index does not reflect the deduction of expenses associated
with a mutual fund, such as investment management fees. By contrast, the
performance of the Fund reflects the deduction of these services as well as the
deduction of sales charges on Class A shares and applicable contingent deferred
sales charges on Class B and Class C shares.
The S&P SmallCap 600/BARRA Value Index represents the performance of 600 small
capitalization domestic stocks with a lower price to book ratio.
The S&P SmallCap 600/BARRA Value Index consists of the average monthly returns
of the S&P SmallCap 600 Index for periods prior to January 1994. Thereafter, the
data is from the S&P SmallCap 600/BARRA Value Index, which corresponds with the
initiation of the S&P SmallCap 600/ BARRA Value Index on January 1, 1994.
8
<PAGE> 11
One Group Mid Cap Growth Fund
Portfolio Performance Review
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
HOW DID THE FUND PERFORM?
The One Group Mid Cap Growth Fund I share class posted a total return of 36.65%
for the year ended June 30, 2000. (For information on other share classes and
performance comparisons to indexes, please see pages 11-12.)
HOW WOULD YOU DESCRIBE THE MARKET CLIMATE?
Even though the Federal Reserve was on a tightening course during the fiscal
year, the U.S. economy continued to grow at a stronger-than-expected pace. In
addition, corporate earnings remained favorable. These factors helped generate
an overall strong, but volatile, year for growth stock performance. Returns
among mid-cap growth stocks were especially attractive. After several years of
market dominance, many large cap stocks were fully priced, prompting investors
to look for attractive alternatives among the mid-cap growth universe.
Regardless of capitalization, much of the success for growth stocks was
concentrated in a single sector: technology. Investors showed an insatiable
appetite for the fastest-growing technology companies, particularly in
Internet-related and wireless communication-related sectors. This demand for
technology companies sent stock prices soaring through mid-March 2000. For
example, during the period from July 1, 1999, through March 10, 2000, the
technology-heavy NASDAQ Composite Index increased approximately 86%.
But, in mid-March, investors became worried about the fundamentals of many
high-flying Internet and dot-com companies. This unease, coupled with growing
concerns about inflationary pressures and the Federal Reserve's response to
those pressures, ignited strong volatility among growth stocks and sent the
technology sector into a full-blown correction. NASDAQ dropped approximately 21%
from March 10, 2000, through June 30, 2000. By the end of May, though, the
situation had improved, as signs of a slowing economy emerged. This helped
reassure investors that the Federal Reserve probably was near the end of its
rate-tightening campaign. In addition, valuations on many growth stocks had
fallen to attractive levels, which lured investors back.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Our primary investment strategy is to identify high-growth companies within
attractive, fast-growing industries. We look for companies that will benefit
from strong management teams and competitive advantages. These factors should
allow sustained high growth at a rate that outpaces the industry average.
We attempted to use the shifts in the market to reposition the portfolio and
take advantage of over- and under-valuations. For example, we began building a
solid position in the health care sector around mid-fiscal-year, when the
industry had experienced a correction and stock prices were relatively cheap.
This proved beneficial to Fund performance, as the health care sector showed a
strong turnaround during the first half of calendar year 2000. In the technology
sector, we took profits as stock prices appreciated and made purchases of
fundamentally sound companies when downside volatility caused their prices to
fall.
Overall, the strong market appreciation, particularly in the technology sector,
led to more turnover than usual. Many of the Fund's technology holdings
experienced so much growth during the fiscal year that they no longer qualified
as mid-cap stocks. Once they moved into the large-cap universe, we sold them.
DID THE FUND BENEFIT FROM ANY PARTICULARLY STRONG HOLDINGS?*
The technology sector offered the best overall performance for the fiscal year.
Within the sector, the Fund's semiconductor and communication technology
holdings were the standout performers, benefiting from a strong capital spending
environment, the growth of the Internet, the need for broadband, and the
acceleration of wireless communication. Companies such as Veritas Software,
Seibel Systems, ADC Telecommunications, Analog Devices, Atmel Corp., and Xilinx
posted strong returns.
In general, portfolio holdings in the retail and consumer non-durables sectors
performed poorly. The Fund's retail stocks were hurt by competitive pressures
and the effects of higher interest rates, while consumer non-durables were hurt
by the strong economic environment.
9
<PAGE> 12
One Group Mid Cap Growth Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
WHAT WERE THE FUND'S TOP 10 HOLDINGS?*
As of June 30, 2000, the Fund's top 10 holdings included Univision
Communications, Inc. at 2.9% of the portfolio; Waters Corp., 2.9%; Rational
Software Corp., 2.6%; Symbol Technologies, Inc., 2.5%; Atmel Corp., 2.5%; Jabil
Circuit, Inc., 2.4%; Millennium Pharmaceuticals, Inc., 2.4%; Vitesse
Semiconductor Corp., 2.3%; Calpine Corp., 2.0%; and Sepracor, Inc., 2.0%.
WHAT IS YOUR OUTLOOK FOR THE FUND?
We expect economic growth to continue but at a slower pace, as the effects of
the Federal Reserve's interest rate hikes eventually take hold. We also expect
corporate earnings growth to remain attractive. But, in an environment where
interest rates are rising and growth is slowing, investors are not likely to get
much more multiple expansion. As such, we believe earnings alone will drive
stock prices higher in the coming year.
We continue to find good investment opportunities, particularly in the
technology and health care sectors. Given the periods of strong market
volatility, we remain focused on finding companies with improving fundamentals
and reasonable valuation support. Of course, "reasonable" has become more
expensive, especially in technology, so we make these assessments relative to
the sector. While we can't be certain where the market is headed, we can stick
with companies exhibiting strong fundamentals that we think will be rewarding in
the years to come.
/s/ Richard R. Jandrain III
Richard R. Jandrain, III
Chief Investment Officer of Equity Securities
Banc One Investment Advisors Corporation
------------
* Holdings are subject to change.
The NASDAQ Composite Index is an unmanaged index generally representative of the
performance of larger-capitalization technology-oriented stocks. An investor
cannot invest directly in an index.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
10
<PAGE> 13
One Group Mid Cap Growth Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (3/2/89)
<S> <C> <C> <C> <C>
Class I 36.65% 28.61% 20.51% 20.73%
</TABLE>
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
S&P MIDCAP 400/BARRA
CLASS I S&P MIDCAP 400 GROWTH
------- -------------- --------------------
<S> <C> <C> <C>
6/90 10000 10000 10000
6/91 10985 11284 11184
6/92 12649 13377 12925
6/93 15351 16413 15674
6/94 15327 16404 15376
6/95 18354 20069 19122
6/96 22875 24402 22825
6/97 28079 30094 28147
6/98 36815 38265 35716
6/99 47269 44841 46542
6/00 64591 52453 63661
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (2/18/92)
<S> <C> <C> <C>
Class A 36.25% 28.29% 19.53%
Class A* 29.08% 26.91% 18.76%
</TABLE>
* Reflects 5.25% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
S&P MIDCAP
CLASS A CLASS A* S&P MIDCAP 400 400/BARRA GROWTH
------- -------- -------------- ----------------
<S> <C> <C> <C> <C>
2/92 10000 9473 10000 10000
6/92 8847 8381 9324 8904
6/93 10766 10199 11440 10798
6/94 10711 10147 11434 10592
6/95 12800 12126 13989 13174
6/96 15912 15074 17009 15724
6/97 19495 18468 20976 19391
6/98 25528 24184 26672 24605
6/99 32642 30923 31255 32064
6/00 44476 42134 36561 43857
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (1/14/94)
<S> <C> <C> <C>
Class B 35.23% 27.31% 21.96%
Class B** 30.23% 27.16% 21.96%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
S&P MIDCAP
CLASS B CLASS B** S&P MIDCAP 400 400/BARRA GROWTH
------- --------- -------------- ----------------
<S> <C> <C> <C> <C>
1/94 10000 10000 10000 10000
6/94 9093 9093 9269 8797
6/95 10772 10772 11341 10940
6/96 13307 13307 13789 13059
6/97 16167 16167 17005 16104
6/98 20984 20984 21623 20434
6/99 26642 26642 25338 26628
6/00 36029 36029 29640 36422
</TABLE>
11
<PAGE> 14
One Group Mid Cap Growth Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year (11/4/97)
<S> <C> <C> <C>
Class C 35.50% 29.26%
Class C** 34.50% 29.26%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
S&P MIDCAP
CLASS C CLASS C** S&P MIDCAP 400 400/BARRA GROWTH
------- --------- -------------- ----------------
<S> <C> <C> <C> <C>
11/97 10000 10000 10000 10000
6/98 11427 11427 11452 11417
6/99 14578 14578 13420 14877
6/00 19753 19753 15699 20349
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The performance of the Mid Cap Growth Fund is measured against the S&P MidCap
400 Index, an unmanaged index generally representative of the performance of the
mid-size company segment of the U.S. market. This index is used by over 95% of
U.S. managers and pension plan sponsors with more than $25 billion being indexed
to the S&P MidCap 400. Investors are unable to purchase the index directly,
although they can invest in the underlying securities. The performance of the
index does not reflect the deduction of expenses associated with a mutual fund,
such as investment management fees. By contrast, the performance of the Fund
reflects the deduction of these services as well as the deduction of sales
charges on Class A shares and applicable contingent deferred sales charges on
Class B and Class C shares.
The S&P MidCap 400/BARRA Growth Index represents the performance of the highest
price to book securities in the S&P MidCap 400 Index.
The S&P MidCap 400/BARRA Growth Index consists of the average monthly returns of
the Russell 2000 Index for periods prior to June 1991. Thereafter, the data is
from the S&P MidCap 400/BARRA Growth Index, which corresponds with the
initiation of the S&P MidCap 400/BARRA Growth Index on June 1, 1991.
12
<PAGE> 15
One Group Mid Cap Value Fund
Portfolio Performance Review
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
HOW DID THE FUND PERFORM?
For the year ended June 30, 2000, One Group Mid Cap Value Fund I share class
posted a total return of 0.38%. (For information on other share classes and
performance comparisons to indexes, please see pages 15-16.)
HOW WOULD YOU DESCRIBE THE MARKET CLIMATE FOR VALUE STOCKS?
Volatility--in its extreme form--was the operative word for the last 12 months.
As the tug between growth and value, or fundamentals and valuation, played out,
the market experienced wild swings. In late 1999 through early 2000 we saw many
technology and other growth stocks take charge because their fundamentals were
stronger. They exhibited greater revenue growth rates and earnings-per-share
growth rates that pushed their valuations to levels not seen in years.
But, toward the end of the fiscal year's third quarter valuations concerns
emerged, predominantly among the fastest-growing technology and Internet stocks.
Investors took note that valuations were getting more and more unreasonable,
particularly because many of the high-flying Internet stocks didn't even have
any earnings on which to base valuations. Also, it became apparent that the rosy
projections for many of the high-growth technology issues wouldn't pan out. All
of this helped make value stocks more attractive, especially as the Federal
Reserve continued to raise interest rates.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Our strategy involves seeking out stocks with below-average price-to-earnings
and price-to-book ratios. Our goal is to invest in attractively priced stocks
with improving earnings growth that will lead to eventual price appreciation.
It's important to emphasize that price isn't the only factor. We won't purchase
a stock simply because it is cheap. Rather, we want stocks with attractive
valuations and an "earnings catalyst," or some factor expected to improve the
company's earnings growth, such as the introduction of a new product, a
management turnaround or a merger. As such, our team of analysts spends a lot of
time seeking these catalysts.
For example, our analysts uncovered evidence that pricing among semiconductor
companies was about to improve, and the Fund was able to participate in the
strong performance of this sector. In the retail sector, the catalyst was strong
consumer confidence, which our analysts believed would positively affect retail
stocks. We were able to attractively position the Fund in this sector.
DID THE FUND BENEFIT FROM ANY PARTICULARLY STRONG HOLDINGS?*
The Fund's best-performing sector was health technology, where our stock
selection was a significant positive factor. Companies such as Waters Corp. and
Watson Pharmaceuticals generated strong returns. The Fund also benefited
strongly from its holdings in the semiconductor industry, where companies such
as Atmel offered standout performance.
Another positive contribution came from our nimble positioning in Policy
Management Systems. In April, Electronic Data Systems (EDS) announced that it
was going to purchase the company for a 50% premium over its current price. The
deal eventually fell through, but we were able to sell the stock for the price
at which EDS intended to acquire it.
WHAT WERE THE FUND'S TOP 10 HOLDINGS?*
As of June 30, 2000, the Fund's top 10 holdings included Telephone & Data
Systems, Inc. at 1.8% of the portfolio; Devon Energy Corp., 1.8%; Ambac
Financial Group, Inc., 1.4%; DST Systems, 1.3%; Sungard Data Systems, Inc. 1.3%;
Kinder Morgan, 1.3%; Weatherford International, Inc., 1.2%; E-Trade Group, Inc.,
1.2%; Broadwing, Inc., 1.2%; and RJ Reynolds Tobacco Holdings, 1.1%.
WHAT IS YOUR OUTLOOK FOR THE FUND?
We expect continued volatility in the market, but not to the extreme levels as
we saw in fiscal 2000. As valuations become more in line with historical
standards, volatility should begin to dissipate. Value stocks continue to trade
at a discount, while growth stocks still trade at a premium. But these
disparities are much less pronounced than previously. There always will be
pricing disparities between growth and value, and while
13
<PAGE> 16
One Group Mid Cap Value Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
the market continues to struggle with leadership issues, we will remain true to
our management style. We will continue to look for companies with attractive
valuations and clear-cut earnings catalysts.
/s/ Kathleen Cole Dodd
Kathleen Cole Dodd
Team Leader, Value Team
Banc One Investment Advisors Corporation
/s/ Richard R. Jandrain III
Richard R. Jandrain, III
Chief Investment Officer of Equity Securities
Banc One Investment Advisors Corporation
------------
* Holdings are subject to change.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
14
<PAGE> 17
One Group Mid Cap Value Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (3/2/89)
<S> <C> <C> <C> <C>
Class I 0.38% 14.12% 12.12% 11.89%
</TABLE>
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
S&P MIDCAP 400/BARRA
CLASS I S&P MIDCAP 400 VALUE
------- -------------- --------------------
<S> <C> <C> <C>
6/90 10000 10000 10000
6/91 10175 11284 11386
6/92 11828 13377 13706
6/93 13434 16413 16900
6/94 13977 16404 16987
6/95 16217 20069 20433
6/96 19477 24402 25110
6/97 23482 30094 31099
6/98 30120 38265 39396
6/99 31270 44841 41388
6/00 31389 52453 41458
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (2/18/92)
<S> <C> <C> <C>
Class A 0.05% 13.83% 12.29%
Class A* (5.22)% 12.61% 11.57%
</TABLE>
* Reflects 5.25% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
S&P MIDCAP
CLASS A CLASS A* S&P MIDCAP 400 400/BARRA VALUE
------- -------- -------------- ---------------
<S> <C> <C> <C> <C>
2/92 10000 9472 10000 10000
6/92 10121 9587 9324 9732
6/93 11464 10859 11440 11999
6/94 11956 11325 11434 12061
6/95 13801 13073 13989 14507
6/96 16534 15662 17009 17828
6/97 19875 18827 20976 22081
6/98 25420 24079 26672 27972
6/99 26360 24970 31255 29386
6/00 26374 24983 36561 29435
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (1/14/94)
<S> <C> <C> <C>
Class B (0.61)% 12.97% 11.40%
Class B** (5.12)% 12.72% 11.40%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
S&P MIDCAP
CLASS B CLASS B** S&P MIDCAP 400 400/BARRA VALUE
------- --------- -------------- ---------------
<S> <C> <C> <C> <C>
1/94 10000 10000 10000 10000
6/94 9500 9500 9269 9704
6/95 10918 10918 11341 11672
6/96 12985 12985 13789 14344
6/97 15488 15488 17005 17766
6/98 19665 19665 21623 22505
6/99 20208 20208 25338 23643
6/00 20084 20084 29640 23683
</TABLE>
15
<PAGE> 18
One Group Mid Cap Value Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year (3/22/99)
<S> <C> <C> <C>
Class C (0.40)% 8.18%
Class C** (1.30)% 8.18%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
S&P MIDCAP
CLASS C CLASS C** S&P MIDCAP 400 400/BARRA VALUE
------- --------- -------------- ---------------
<S> <C> <C> <C> <C>
3/99 10000 10000 10000 10000
6/99 11098 11098 11416 11493
6/00 11054 11054 13354 11512
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The performance of the Mid Cap Value Fund is measured against the S&P MidCap 400
Index, an unmanaged index generally representative of the performance of the
mid-size company segment of the U.S. market. This index is used by over 95% of
U.S. managers and pension plan sponsors with more than $25 billion being indexed
to the S&P MidCap 400. Investors are unable to purchase the index directly,
although they can invest in the underlying securities. The performance of the
index does not reflect the deduction of expenses associated with a mutual fund,
such as investment management fees. By contrast, the performance of the Fund
reflects the deduction of these services as well as the deduction of sales
charges on Class A shares and applicable contingent deferred sales charges on
Class B and Class C shares.
The S&P MidCap 400/BARRA Value Index represents the performance of the lowest
price to book securities in the S&P MidCap 400 Index.
The S&P MidCap 400/BARRA Value Index consists of the average monthly returns of
the Russell 2000 Index for periods prior to June 1991. Thereafter, the data is
from the S&P MidCap 400/BARRA Value Index, which corresponds with the initiation
of the S&P MidCap 400/BARRA Value Index on June 1, 1991.
16
<PAGE> 19
One Group Diversified Mid Cap Fund
Portfolio Performance Review
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
HOW DID THE FUND PERFORM?
The One Group Diversified Mid Cap Fund I share class posted a total return of
14.03% for the year ended June 30, 2000. (For information on other share classes
and performance comparisons to indexes, please see pages 18-19.)
HOW WOULD YOU DESCRIBE THE MARKET CLIMATE?
During the fiscal year investors played tug-of-war between increasing valuations
and an increasingly less-friendly Federal Reserve. The last quarter of calendar
year 1999 saw huge money inflows toward new economy, or "concept," stocks,
regardless of valuation. Concept stocks represent an idea or plan, but little in
the way of revenue or earnings. Hundreds of stocks enjoyed skyrocketing returns,
and for the first time in years it paid huge rewards to invest in a single
sector--technology--and almost nothing else.
Nonetheless, the tightening actions of the Federal Reserve have tempered some of
this enthusiasm so far in 2000. Many of 1999's big winners fell back to earth,
and diversified portfolios once again have been rewarded. The high volatility
that's been present since mid-March has placed emphasis on sector neutrality and
stock selection, which plays to our strengths.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Finding stocks with balance is the key to our strategy. In the value arena, we
want stocks that have good valuations along with a catalyst to prompt market
recognition of their value. Among growth names, we want stocks exhibiting strong
fundamentals at a reasonable price. This approach was ineffective during the
fourth quarter of 1999, when investors shunned balance and wanted only price
momentum. That sentiment eventually subsided, and so far in 2000, our balanced
approach has worked nicely.
The Fund held a substantial number of "old economy" stocks, and we pared back
that exposure to achieve better portfolio balance. We moved away from a heavy
emphasis on financials and industrials and more toward a blend of all economic
sectors. In particular, we added exposure to communication technology and
semiconductors, which added materially to the Fund's performance.
Our restructuring efforts resulted in a portfolio with a slight bias toward
growth stocks. At fiscal year-end, 55% of the portfolio was invested in growth
names and 45% was invested in value names. Given the market's continued fondness
for growth stocks, this orientation has served the Fund well.
DID THE FUND BENEFIT FROM ANY PARTICULARLY STRONG HOLDINGS?*
The health care sector experienced a significant rebound in the first half of
calendar year 2000, and many of the Fund's holdings performed well. The Fund
also enjoyed strong performance from the communication technology sector and
select holdings within the retail sector.
The Fund endured disappointing earnings results in the capital equipment and
consumer sectors.
WHAT WERE THE FUND'S TOP 10 HOLDINGS?*
As of June 30, 2000, the Fund's top 10 holdings included Waters Corp. at 3.5% of
the portfolio; Rational Software Corp., 1.9%; Kohl's Corp., 1.9%; Atmel Corp.,
1.8%; DST Systems, Inc., 1.6%; Jabil Circuit, Inc., 1.5%; Symbol Technologies,
1.4%; AptarGroup, Inc., 1.4%; Health Management Association, Inc., 1.3%; and
Univision Communications, Inc., 1.3%.
WHAT IS YOUR OUTLOOK FOR THE FUND?
Going forward, we expect the market to trade in a range, with the ceiling
provided by anticipated Federal Reserve actions and the floor provided by global
healing and an abundance of stocks substantially off their highs. We will
continue to focus on a bottom-up stock selection process, building the portfolio
one stock at a time. As always, we will seek to uncover attractively valued
stocks with improving fundamentals.
/s/ Michael Weiner
Michael D. Weiner
Team Leader, Balanced Team
Banc One Investment Advisors Corporation
/s/ Richard R. Jandrain III
Richard R. Jandrain, III
Chief Investment Officer of Equity Securities
Banc One Investment Advisors Corporation
------------
* Holdings are subject to change.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
17
<PAGE> 20
One Group Diversified Mid Cap Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (12/31/83)
<S> <C> <C> <C> <C>
Class I 14.03% 16.96% 16.03% 14.65%
</TABLE>
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS I S&P MIDCAP 400 RUSSELL 2500
------- -------------- ------------
<S> <C> <C> <C>
6/90 10000 10000 10000
6/91 10966 11284 10549
6/92 12274 13377 12302
6/93 16410 16413 15354
6/94 17585 16404 15783
6/95 20206 20069 19364
6/96 23698 24402 24043
6/97 30559 30094 28876
6/98 36764 38265 34104
6/99 38777 44841 35928
6/00 44218 52453 42516
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (12/31/83)
<S> <C> <C> <C> <C>
Class A 13.74% 16.72% 15.91% 14.58%
Class A* 7.76% 15.47% 15.28% 14.20%
</TABLE>
* Reflects 5.25% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS A CLASS A* S&P MIDCAP 400 RUSSELL 2500
------- -------- -------------- ------------
<S> <C> <C> <C> <C>
6/90 10000 9473 10000 10000
6/91 10966 10388 11284 10549
6/92 12274 11627 13377 12302
6/93 16410 15545 16413 15354
6/94 17585 16657 16404 15783
6/95 20206 19140 20069 19364
6/96 23698 22448 24402 24043
6/97 30479 28871 30094 28876
6/98 36578 34648 38265 34104
6/99 38483 36453 44841 35928
6/00 43771 41463 52453 42516
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (12/31/83)
<S> <C> <C> <C> <C>
Class B 13.01% 16.27% 15.68% 14.45%
Class B** 9.05% 16.05% 15.68% 14.45%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS B CLASS B** S&P MIDCAP 400 RUSSELL 2500
------- --------- -------------- ------------
<S> <C> <C> <C> <C>
6/90 10000 10000 10000 10000
6/91 10965 10965 11284 10549
6/92 12277 12277 13377 12302
6/93 16411 16411 16413 15354
6/94 17574 17574 16404 15783
6/95 20198 20198 20069 19364
6/96 23688 23688 24402 24043
6/97 30376 30376 30094 28876
6/98 36385 36385 38265 34104
6/99 37974 37974 44841 35928
6/00 42916 42916 52453 42516
</TABLE>
18
<PAGE> 21
One Group Diversified Mid Cap Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year (3/22/99)
<S> <C> <C> <C>
Class C 12.83% 22.32%
Class C** 12.04% 22.32%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS C CLASS C** S&P MIDCAP 400 RUSSELL 2500
------- --------- -------------- ------------
<S> <C> <C> <C> <C>
3/99 10000 10000 10000 10000
6/99 11456 11456 11416 11640
6/00 12926 12926 13354 13774
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The Diversified Mid Cap Fund commenced operations as the Pegasus Mid Cap
Opportunity Fund on June 1, 1991 subsequent to the transfer of assets from a
common trust fund with materially equivalent investment objectives, policies,
guidelines and restrictions as the Fund. The quoted performance of the Fund
includes the performance of the common trust fund for periods prior to the
Fund's commencement of operations as adjusted to reflect the expenses and sales
charges associated with the Fund. Common trust funds are not registered under
the Investment Company Act of 1940 ("1940 Act") and therefore, are not subject
to certain investment restrictions, limitations and diversification requirements
imposed by the 1940 Act and the Internal Revenue Code. If the common trust fund
had been registered under the 1940 Act, its performance may have been adversely
affected. The above quoted performance data includes the performance of a common
trust fund and the Pegasus Mid Cap Opportunity Fund prior to the acquisition by
the One Group Diversified Mid Cap Fund on March 22, 1999.
The performance of the Diversified Mid Cap Fund is measured against the S&P
MidCap 400 Index, an unmanaged index generally representative of the performance
of the mid-size company segment of the U.S. market. This index is used by over
95% of the U.S. managers and pension plan sponsors with more than $25 billion
being indexed to the S&P MidCap 400. Investors are unable to purchase the index
directly, although they can invest in the underlying securities. The performance
of the index does not reflect the deduction of expenses associated with a mutual
fund, such as investment management fees. By contrast, the performance of the
Fund reflects the deduction of these services as well as the deduction of sales
charges on Class A shares and applicable contingent deferred sales charges on
Class B and Class C shares.
The Russell 2500 Index represents the performance of the 2500 smallest companies
in the Russell 3000 Index, which represents approximately 17% of the total
market capitalization of the Russell 3000 Index.
The benchmark index for the Diversified Mid Cap Fund has changed from the
Russell 2500 Index to the S&P MidCap 400 Index in order to better represent the
investment policies for comparison purposes.
19
<PAGE> 22
One Group Large Cap Growth Fund
Portfolio Performance Review
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
HOW DID THE FUND PERFORM?
The One Group Large Cap Growth Fund I share class posted a total return of
15.30% for the year ended June 30, 2000. (For information on other share classes
and performance comparisons to indexes, please see page 22.)
HOW WOULD YOU DESCRIBE THE MARKET CLIMATE?
Even though the Federal Reserve was on a tightening course during the fiscal
year, the U.S. economy continued to grow at a stronger-than-expected pace. In
addition, corporate earnings remained favorable. These factors helped generate
an overall strong, but volatile, year for growth stock performance.
Much of the success for growth stocks was concentrated in a single sector:
technology. Investors showed an insatiable appetite for the fastest-growing
technology companies, particularly in Internet-related and wireless
communication-related sectors. This demand for technology companies sent stock
prices soaring through mid-March 2000. For example, during the period from July
1, 1999, through March 10, 2000, the technology-heavy NASDAQ Composite Index
increased in price 86.56%.
By mid-March, investors had become increasingly worried about the fundamentals
of many high-flying Internet and dot-com companies. This unease, coupled with
growing concerns about inflationary pressures and the Federal Reserve's response
to those pressures, ignited strong volatility among growth stocks and sent the
technology sector into a full-blown correction. The NASDAQ Composite dropped
21.44% in price from March 10, 2000, through June 30, 2000. By the end of May,
though, the situation had improved, as signs of a slowing economy emerged. This
helped reassure investors that the Federal Reserve probably was near the end of
its rate-tightening campaign. In addition, valuations on many growth stocks had
fallen to attractive levels, which lured investors back.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
As always, our goal was to search for good companies within industries that are
growing at a faster rate than the economy. These are companies that we believe
have the ability to exhibit sustained growth at a defined multiple of their
underlying industry growth rate. In addition, we search for strong management
teams and superior product positioning.
We worked toward enhancing the overall diversification of the Fund during the
year. We cut back on the Fund's "mega-cap" holdings, as some of the largest-
capitalization stocks were not the best performers over the fiscal year. In
their place we added companies further down the large-cap range.
We also varied the size of the Fund's industry weights to take advantage of
swings in the market. For example, after the health care sector experienced a
correction late in calendar year 1999, we began building a solid position in
this industry. This proved beneficial to Fund performance, as the health care
sector experienced a strong turnaround during the first half of calendar year
2000. In the technology sector, we attempted to use volatility to the Fund's
advantage, taking profits as stock prices appreciated and making purchases of
fundamentally sound companies when downside volatility caused their prices to
fall.
DID THE FUND BENEFIT FROM ANY PARTICULARLY STRONG HOLDINGS?*
Within the top-performing technology sector, the Fund's semiconductor and
communication technology holdings were the standouts. These companies benefited
from a strong capital spending environment, the growth of the Internet, the need
for broadband, and the acceleration of wireless communication. Companies such as
Applied Materials, Intel, Texas Instruments, Nortel, Oracle and Cisco Systems
all posted triple-digit returns for the fiscal year.
In general, stocks in the telephone utilities and consumer non-durables sectors
performed poorly. These companies tend to perform better in a more defensive
market environment.
WHAT WERE THE FUND'S TOP 10 HOLDINGS?*
As of June 30, 2000, the Fund's top 10 holdings included General Electric Co. at
6.8% of the portfolio; Intel Corp., 6.4%; Cisco Systems, Inc., 6.1%; Microsoft
Corp., 5.0%; Pfizer, Inc., 4.4%; EMC Corp., 2.7%; IBM Corp., 2.6%; Sun
Microsystems, Inc., 2.4%; Lucent Technologies, Inc., 2.4%; and Dell Computer
Corp., 2.1%.
20
<PAGE> 23
One Group Large Cap Growth Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
WHAT IS YOUR OUTLOOK FOR THE FUND?
We expect economic growth to continue but at a slower pace, as the effects of
the Federal Reserve's interest rate hikes eventually take hold. We also expect
corporate earnings growth to remain attractive. But, in an environment where
interest rates are rising and growth is slowing, investors are not likely to get
much more multiple expansion. As such, we believe earnings alone will drive
stock prices higher in the coming year.
We continue to find good investment opportunities, particularly in the
technology and health care sectors. Given the periods of strong market
volatility, we remain focused on finding companies with improving fundamentals
and reasonable valuation support. Of course, "reasonable" has become more
expensive, especially in technology, so we make these assessments relative to
the sector. While we can't be certain where the market is headed, we can stick
with companies exhibiting strong fundamentals that we think will be rewarding in
the years to come.
/s/ Richard R. Jandrain III
Richard R. Jandrain, III
Chief Investment Officer of Equity Securities
Banc One Investment Advisors Corporation
------------
* Holdings are subject to change.
The NASDAQ Composite Index is an unmanaged index, generally representative of
the performance of larger-capitalization technology-oriented stocks. An investor
cannot invest directly in an index.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
21
<PAGE> 24
One Group Large Cap Growth Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (2/28/92)
<S> <C> <C> <C>
Class I 15.30% 25.79% 20.35%
</TABLE>
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS I RUSSELL 1000 GROWTH S&P 500/BARRA GROWTH
------- ------------------- --------------------
<S> <C> <C> <C>
2/92 10000.00 10000.00 10000.00
6/92 9920.00 9620.00 9743.00
6/93 11301.00 10489.00 10550.00
6/94 12210.00 10460.00 10522.00
6/95 14878.00 13652.00 13755.00
6/96 17461.00 17449.00 17505.00
6/97 23244.00 22917.00 24215.00
6/98 31553.00 30111.00 32661.00
6/99 40634.00 38321.00 41869.00
6/00 46852.00 48156.00 49633.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (2/22/94)
<S> <C> <C> <C>
Class A 14.99% 25.37% 23.01%
Class A* 8.94% 24.02% 21.97%
</TABLE>
* Reflects 5.25% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
S&P 500/BARRA
CLASS A CLASS A* RUSSELL 1000 GROWTH GROWTH
------- -------- ------------------- -------------
<S> <C> <C> <C> <C>
2/94 10000 9477 10000 10000
6/94 9898 9380 9419 9530
6/95 12028 11399 12294 12458
6/96 14054 13319 15713 15854
6/97 18631 17657 20637 21931
6/98 25228 23909 27115 29581
6/99 32400 30705 34508 37920
6/00 37255 35307 43364 44952
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (1/14/94)
<S> <C> <C> <C>
Class B 14.16% 24.58% 21.92%
Class B** 9.16% 24.41% 21.92%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
S&P 500/BARRA
CLASS B CLASS B** RUSSELL 1000 GROWTH GROWTH
------- --------- ------------------- -------------
<S> <C> <C> <C> <C>
1/94 10000 10000 10000 10000
6/94 9934 9934 9462 9359
6/95 11985 11985 12349 12235
6/96 13952 13952 15783 15570
6/97 18377 18377 20729 21539
6/98 24697 24697 27237 29051
6/99 31499 31499 34663 37241
6/00 35960 35960 43559 44147
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year (11/4/97)
<S> <C> <C> <C>
Class C 14.20% 26.33%
Class C** 13.20% 26.33%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
S&P 500/BARRA
CLASS C CLASS C** RUSSELL 1000 GROWTH GROWTH
------- --------- ------------------- -------------
<S> <C> <C> <C> <C>
11/97 10000 10000 10000 10000
6/98 12763 12763 12690 13134
6/99 16275 16275 16149 16836
6/00 18587 18587 20294 19958
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The performance of the Large Cap Growth Fund is measured against the Russell
1000 Growth Index, an unmanaged index generally representative of the
performance of those Russell 1000 companies with higher price-to-book ratios and
higher forecasted growth values. Investors are unable to purchase the index
directly, although they can invest in the underlying securities. The performance
of the index does not reflect the deduction of expenses associated with a mutual
fund, such as investment management fees. By contrast, the performance of the
Fund reflects the deduction of these services as well as the deduction of sales
charges on Class A shares and applicable contingent deferred sales charges on
Class B and Class C shares.
The S&P 500/BARRA Growth Index represents the performance of the highest price
to book securities in the S&P 500.
The benchmark index for the Large Cap Growth Fund has changed from the S&P
500/BARRA Growth Index to the Russell 1000 Growth Index in order to better
represent the investment policies for comparison purposes.
22
<PAGE> 25
One Group Large Cap Value Fund
Portfolio Performance Review
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
HOW DID THE FUND PERFORM?
One Group Large Cap Value Fund I share class posted a total return of -5.64% for
the year ended June 30, 2000. (For information on other share classes and
performance comparisons to indexes, please see page 25.)
HOW WOULD YOU DESCRIBE THE MARKET CLIMATE FOR
VALUE STOCKS?
Volatility--in its extreme form--was the operative word for the last 12 months.
As the tug between growth and value, or fundamentals and valuation, played out,
the market experienced wild swings. In late 1999 through early 2000 we saw many
technology and other growth stocks take charge because their fundamentals were
stronger. They exhibited greater revenue growth rates and earnings-per-share
growth rates that pushed their valuations to levels not seen in years.
But, toward the end of the fiscal year's third quarter valuations concerns
emerged, predominantly among the fastest-growing technology and Internet stocks.
Investors took note that valuations were getting more and more unreasonable,
particularly because many of the high-flying Internet stocks didn't even have
any earnings on which to base valuations. Also, it became apparent that the rosy
projections for many of the high-growth technology issues wouldn't pan out. All
of this helped make value stocks more attractive, especially as the Federal
Reserve continued to raise interest rates.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Our strategy involves implementing traditional value investing techniques,
including focusing on stocks with below-average price-to-earnings and
price-to-book ratios. We employ this approach within the context of our basic
research discipline--investing in attractively priced stocks with improving
earnings growth that will lead to eventual price appreciation.
We won't purchase a stock simply because it is cheap. Rather, we want stocks
with attractive valuations and an "earnings catalyst," or some factor expected
to improve the company's earnings growth. As such, our team of analysts spends a
lot of time seeking these catalysts. For example, our analysts uncovered
evidence that pricing among semiconductor companies was about to turn, and the
Fund was able to participate in the strong performance of this sector. In the
retail sector, the catalyst was strong consumer confidence. Our analysts
believed this would positively affect retail stocks, and we were able to
attractively position the Fund in this sector.
DID THE FUND BENEFIT FROM ANY PARTICULARLY STRONG HOLDINGS?*
As mentioned, the Fund benefited strongly from its holdings in the semiconductor
industry, which was the top-performing sector for the fiscal year. Within that
segment of the market, Micron Technology was a standout performer for the Fund.
A position in Merrill Lynch also proved rewarding for the Fund. In the beginning
of 2000, the company was lagging its competitors, but it was spending a lot of
money to make its Internet products competitive. Our analysts felt that this
represented an earnings catalyst, and that the benefits of the company's
investment in the Internet would soon come to fruition. We purchased the stock,
and it ended the fiscal year as one of the Fund's top performers.
Exposure to certain energy companies also enhanced Fund performance, as oil
prices increased sharply. Specifically, exploration and production companies,
such as Fund holding Coastal Corp., have benefited the most.
WHAT WERE THE FUND'S TOP 10 HOLDINGS?*
As of June 30, 2000, the Fund's top 10 holdings included Exxon Mobil Corp. at
5.1% of the portfolio; Citigroup, Inc., 3.8%; American International Group,
Inc., 2.8%; Worldcom, Inc., 2.7%; Bell Atlantic Corp., 2.6%; SBC Communications,
Inc., 2.3%; Morgan Stanley Dean Witter Discover & Co., 2.1%; Hewlett-Packard
Co., 1.8%; Royal Dutch Petroleum Co., 1.7%; and American Home Products Corp.,
1.6%.
WHAT IS YOUR OUTLOOK FOR THE FUND?
We expect continued volatility in the market, but not to the extreme levels as
we saw in fiscal 2000. As valuations become more in line with historical
standards, volatility should begin to dissipate. Value stocks continue to trade
at a discount, while growth stocks still trade at a premium. But these
disparities are much less pronounced than previously. There always will be
pricing disparities between growth and value, and while
23
<PAGE> 26
One Group Large Cap Value Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
the market continues to struggle with leadership issues, we will remain true to
our management style. We will continue to look for companies with attractive
valuations and clear-cut earnings catalysts.
/s/ Kathleen Cole Dodd
Kathleen Cole Dodd
Team Leader, Value Team
Banc One Investment Advisors Corporation
/s/ Richard R. Jandrain III
Richard R. Jandrain, III
Chief Investment Officer of Equity Securities
Banc One Investment Advisors Corporation
------------
* Holdings are subject to change.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
24
<PAGE> 27
One Group Large Cap Value Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (3/1/91)
<S> <C> <C> <C>
Class I (5.64)% 14.00% 12.58%
</TABLE>
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS I S&P 500/BARRA VALUE
------- -------------------
<S> <C> <C>
3/91 10000 10000
6/91 10148 10126
6/92 11724 11509
6/93 12514 13637
6/94 12713 14059
6/95 15689 17057
6/96 17683 21286
6/97 22475 27862
6/98 27303 34859
6/99 32015 40626
6/00 30209 38550
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (2/18/92)
<S> <C> <C> <C>
Class A (6.06)% 13.77% 11.78%
Class A* (10.99)% 12.55% 11.07%
</TABLE>
* Reflects 5.25% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS A CLASS A* S&P 500/BARRA VALUE
------- -------- -------------------
<S> <C> <C> <C>
2/92 10000 9477 10000
6/92 9988 9466 10267
6/93 10652 10095 12165
6/94 10862 10295 12542
6/95 13321 12625 15217
6/96 14973 14190 18990
6/97 19000 18007 24856
6/98 23020 21817 31098
6/99 27024 25611 36243
6/00 25387 24059 34391
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (1/14/94)
<S> <C> <C> <C>
Class B (6.56)% 12.97% 12.76%
Class B** (10.83)% 12.73% 12.76%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS B CLASS B** S&P 500/BARRA VALUE
------- --------- -------------------
<S> <C> <C> <C>
1/94 10000 10000 10000
6/94 9652 9652 9328
6/95 11802 11802 11317
6/96 13213 13213 14123
6/97 16627 16627 18485
6/98 19985 19985 23128
6/99 23242 23242 26954
6/00 21718 21718 25577
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year (3/22/99)
<S> <C> <C> <C>
Class C (6.63)% 0.47%
Class C** (7.48)% 0.47%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS C CLASS C** S&P 500/BARRA VALUE
------- --------- -------------------
<S> <C> <C> <C>
3/99 10000 10000 10000
6/99 10774 10774 11080
6/00 10060 10060 10514
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The performance of the Large Cap Value Fund is measured against the S&P
500/BARRA Value Index, an unmanaged index representing the performance of the
lowest price to book securities in the S&P 500. Investors are unable to purchase
the index directly, although they can invest in the underlying securities. The
performance of the index does not reflect the deduction of expenses associated
with a mutual fund, such as investment management fees. By contrast, the
performance of the Fund reflects the deduction of these services as well as the
deduction of sales charges on Class A shares and applicable contingent deferred
sales charges on Class B and Class C shares.
25
<PAGE> 28
One Group Equity Income Fund
Portfolio Performance Review
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
HOW DID THE FUND PERFORM?
The One Group Equity Income Fund I share class posted a total return of -8.34%
for the year ended June 30, 2000. (For information on other share classes and
performance comparisons to indexes, please see page 28.)
HOW WOULD YOU DESCRIBE THE MARKET EVENTS OF THE FISCAL YEAR?
Investors were preoccupied with the policy actions of the Federal Reserve, which
increased interest rates several times in a determined effort to moderate
economic growth and ease growing inflationary pressures. As a result, many
interest-rate-sensitive sectors performed poorly, including financials, consumer
staples and economic-sensitive industrials. As investors became increasingly
concerned about the effects of an economic slowdown, the best-performing sectors
were concentrated in the fastest-growing segments, especially technology-related
areas.
Overall, the market displayed a mix of poor breadth and concentrated leadership,
with a dramatic disparity between the performance of the broad stock market
averages and the more speculative indexes.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
In a volatile environment, we remained committed to longer-term principles. We
made investments based on reasonable prices and favorable long-term prospects.
The Fund remained concentrated in high-quality, dividend-paying,
consistent-growth companies that offer lower risk characteristics than the
market as a whole. We also used convertible securities and real estate
investment trusts (REITs) to reduce volatility and to produce high levels of
income. Our emphasis on total return helped the Fund's performance in a rapidly
shifting environment.
The major factors affecting the Fund's performance were the price weakness in
the broader market and the preference of investors for companies generating high
earnings growth. Our response was to make substantial changes in the portfolio.
The market's poor breadth gave us an opportunity to upgrade portfolio holdings
into companies with better earnings prospects, including those in the energy,
health care and technology sectors. What's more, we were able to do this without
sacrificing income. We also reduced many larger positions, took profits in
several outperformers and eliminated some laggards. We have been less patient
with turnarounds and companies that are not effectively adopting strategies to
take advantage of technological advancements.
DID THE FUND BENEFIT FROM ANY PARTICULARLY STRONG HOLDINGS?*
The Fund enjoyed solid performance from a number of holdings in various
industries. In the technology sector, Hewlett-Packard and Automatic Data offered
strong performance. In the energy sector, Mobil and El Paso Natural Gas were
among the Fund's top performers. Within the Fund's health care holdings, Warner
Lambert and Pfizer were leading performers. Also, General Electric and Monsanto
in the industrials sector and MetLife and Citigroup in the finance sector
generated attractive returns.
Fund performance also benefited from a number of multi-billion-dollar mergers,
proposed mergers and corporate restructurings, including Exxon/Mobil,
Pfizer/Warner Lambert, Dow Chemical/Union Carbide, WorldCom/Sprint, GTE/Bell
Atlantic, and BPA/Atlantic Richfield. This activity generally resulted in higher
stock prices and improved corporate focus.
Disappointing performance was related to company-specific problems resulting in
earnings shortfalls and negative reassessments by investors. Xerox, First Union,
Mattel and AT&T were among the companies experiencing such problems. In terms of
sectors, the worst performers were concentrated in the interest-rate sensitive
sectors, reflecting the pressure caused by higher interest rates.
WHAT WERE THE FUND'S TOP 10 HOLDINGS?*
As of June 30, 2000, the Fund's largest 10 holdings included General Electric
Co., at 6.6% of the portfolio; Exxon Mobil Corp., 4.7%; Pfizer, Inc., 4.0%;
Citigroup, Inc., 3.6%; Wal-Mart Stores, 3.2%; IBM Corp. Inc., 3.0%; Royal Dutch
Petroleum Co., 2.8%; American Home Products Co., 2.7%; SBC Communications, Inc.,
2.4%; and Hewlett-Packard Co., 1.9%.
26
<PAGE> 29
One Group Equity Income Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
WHAT IS YOUR OUTLOOK FOR THE FUND?
We believe that the past fiscal year represents a period of transition for the
economy and the stock market. We expect a more "normal" environment with returns
reverting to historical averages. Despite 2000 being an election year, the
prospect of additional Federal Reserve actions may continue to hang over the
market for some time. Stock selection will become increasingly important,
considering that the business cycle is not developing in a typical fashion.
Dynamic technological changes are affecting business, and we will have to be
observant to find those companies handling the transition successfully.
/s/ Michael Weiner
Michael D. Weiner
Team Leader, Balanced Team
Banc One Investment Advisors Corporation
/s/ Richard R. Jandrain III
Richard R. Jandrain, III
Chief Investment Officer of Equity Securities
Banc One Investment Advisors Corporation
------------
* Holdings are subject to change.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
27
<PAGE> 30
One Group Equity Income Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (7/2/87)
<S> <C> <C> <C> <C>
Class I (8.34)% 15.42% 13.18% 11.89%
</TABLE>
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS I S&P 500
------- -------
<S> <C> <C>
6/90 10000 10000
6/91 10748 10739
6/92 12077 12180
6/93 13473 13840
6/94 13914 14035
6/95 16842 17693
6/96 20974 22294
6/97 27454 30030
6/98 33817 39087
6/99 37633 47983
6/00 34496 51461
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (2/18/92)
<S> <C> <C> <C>
Class A (8.61)% 15.09% 13.19%
Class A* (13.39)% 13.86% 12.47%
</TABLE>
* Reflects 5.25% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS A CLASS A* S&P 500
------- -------- -------
<S> <C> <C> <C>
2/92 10000 9478 10000
6/92 10079 9552 9992
6/93 11226 10640 11354
6/94 11557 10954 11514
6/95 13961 13231 14515
6/96 17353 16447 18289
6/97 22626 21444 24635
6/98 27809 26357 32066
6/99 30851 29239 39363
6/00 28195 26722 42217
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (1/14/94)
<S> <C> <C> <C>
Class B (9.22)% 14.29% 13.45%
Class B** (13.55)% 14.05% 13.45%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS B CLASS B** S&P 500
------- --------- -------
<S> <C> <C> <C>
1/94 10000 10000 10000
6/94 9663 9663 9344
6/95 11587 11587 11779
6/96 14300 14300 14842
6/97 18520 18520 19992
6/98 22589 22589 26023
6/99 24888 24888 31945
6/00 22593 22593 34260
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year (11/4/97)
<S> <C> <C> <C>
Class C (9.10)% 6.03%
Class C** (9.96)% 6.03%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS C CLASS C** S&P 500
------- --------- -------
<S> <C> <C> <C>
11/97 10000 10000 10000
6/98 11657 11657 12527
6/99 12850 12850 15378
6/00 11681 11681 16493
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The performance of the Equity Income Fund is measured against the S&P 500 Index,
an unmanaged index generally representative of the performance of large
companies in the U.S. stock market. Investors are unable to purchase the index
directly, although they can invest in the underlying securities. The performance
of the index does not reflect the deduction of expenses associated with a mutual
fund, such as investment management fees. By contrast, the performance of the
Fund reflects the deduction of these services as well as the deduction of sales
charges on Class A shares and applicable contingent deferred sales charges on
Class B and Class C shares.
28
<PAGE> 31
One Group Diversified Equity Fund
Portfolio Performance Review
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
HOW DID THE FUND PERFORM?
For the year ended June 30, 2000, One Group Diversified Equity Fund I share
class posted a total return of 5.23%. (For information on other share classes
and performance comparisons to indexes, please see pages 30-31.)
HOW WOULD YOU DESCRIBE THE MARKET CLIMATE?
During the fiscal year investors played tug-of-war between increasing valuations
and an increasingly less-friendly Federal Reserve. The last quarter of 1999 saw
huge money inflows toward new economy, or "concept," stocks, regardless of
valuation. Hundreds of stocks enjoyed returns greater than 50%, and for the
first time in years it paid huge rewards to invest in a single
sector--technology--and almost nothing else.
The rise and fall of the concept stock played a huge part in market and Fund
performance. The company behind a concept stock has a plan, but little or no
revenues or earnings. The market was filled with these concepts, including
Internet ideas, business-to-business ideas and optical networking ideas, to name
a few. When investors were willing to buy these concepts at any price, our Fund
fared poorly in a relative sense.
The tightening actions of the Federal Reserve have tempered some of this
enthusiasm so far in 2000. Many of 1999's big winners, including the concept
stocks, fell back to earth, and diversified portfolios once again have been
rewarded. The high volatility that's been present since mid-March has placed
emphasis on sector neutrality and stock selection, two of our key strengths.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
We look for stocks with balance. Among value names, we want stocks that have
good valuations and a catalyst, such as the introduction of a new product or the
installation of a new management team, that lets the market recognize their
value. In the growth universe, we want stocks exhibiting great fundamentals, but
at a price that makes sense. This focus on balance was ineffective during the
fourth quarter of 1999, when investors shunned balance in favor of price
momentum. But, thus far in 2000, our balanced approach once again has proven
effective.
We de-emphasized mega-cap stocks during the fiscal year, as more opportunities
emerged among stocks with market capitalizations of less than $20 billion.
Our strategies resulted in a large-cap oriented portfolio with a slight bias
toward growth stocks. At fiscal year-end, approximately 80% of the portfolio was
invested in large-cap stocks and 20% in mid-cap stocks. Growth names comprised
55% of the portfolio, while value stocks comprised 45% of the portfolio. Given
the market's continued fondness for growth stocks, this orientation has served
the Fund well.
DID THE FUND BENEFIT FROM ANY PARTICULARLY STRONG HOLDINGS?*
The Fund's technology holdings performed very well in absolute terms, but not as
well relative to the technology concept names. The health care sector underwent
a significant rebound in the first half of 2000, and many of the Fund's holdings
in that area performed well. The Fund also enjoyed strong performance from
select financial stocks.
WHAT WERE THE FUND'S TOP 10 HOLDINGS?*
As of June 30, 2000, the Fund's top 10 holdings included General Electric Co. at
3.8% of the portfolio; Intel Corp., 3.7%; Microsoft Corp., 3.2%; Cisco Systems,
Inc., 3.1%; Exxon Mobil Corp., 2.8%; EMC Corp., 2.4%; Nortel Networks Corp.,
2.3%; Citigroup, Inc., 2.2%; Pfizer, Inc., 2.0%; and American International
Group, Inc., 1.8%.
WHAT IS YOUR OUTLOOK FOR THE FUND?
Going forward, we expect the market to trade in a range, with the ceiling
provided by anticipated Federal Reserve actions and the floor provided by global
healing and an abundance of stocks substantially off their highs. We will
continue to focus on a bottom-up stock selection process, building the portfolio
one stock at a time. As always, we will seek to uncover attractively valued
stocks with improving fundamentals.
/s/ Michael Weiner
Michael D. Weiner
Team Leader, Balanced Team
Banc One Investment Advisors Corporation
/s/ Richard R. Jandrain III
Richard R. Jandrain, III
Chief Investment Officer of Equity Securities
Banc One Investment Advisors Corporation
------------
* Holdings are subject to change.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
29
<PAGE> 32
One Group Diversified Equity Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (12/29/89)
<S> <C> <C> <C> <C>
Class I 5.23% 21.84% 17.10% 16.95%
</TABLE>
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
S&P SUPERCOMPOSITE
CLASS I S&P 500 1500 INDEX
------- ------- ------------------
<S> <C> <C> <C>
6/90 10000.00 10000.00 10000.00
6/91 10899.00 10739.00 10739.00
6/92 12993.00 12180.00 12180.00
6/93 15538.00 13840.00 13840.00
6/94 15509.00 14035.00 14035.00
6/95 18058.00 17693.00 17619.00
6/96 21865.00 22294.00 22100.00
6/97 28856.00 30030.00 29381.00
6/98 38164.00 39087.00 38032.00
6/99 46073.00 47983.00 46151.00
6/00 48483.00 51461.00 49892.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (12/29/89)
<S> <C> <C> <C> <C>
Class A 4.97% 21.55% 16.96% 16.82%
Class A* (0.54)% 20.24% 16.34% 16.22%
</TABLE>
* Reflects 5.25% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
S&P
SUPERCOMPOSITE
CLASS A CLASS A* S&P 500 1500 INDEX
------- -------- ------- --------------
<S> <C> <C> <C> <C>
6/90 10000 9478 10000 10000
6/91 10899 10330 10739 10739
6/92 12993 12315 12180 12180
6/93 15538 14727 13840 13840
6/94 15509 14700 14035 14035
6/95 18058 17115 17693 17619
6/96 21848 20708 22294 22100
6/97 28737 27237 30030 29381
6/98 37922 35942 39087 38032
6/99 45641 43259 47983 46151
6/00 47910 45410 51461 49892
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (9/9/94)
<S> <C> <C> <C>
Class B 4.23% 20.63% 19.12%
Class B** (0.68)% 20.44% 19.05%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
S&P
SUPERCOMPOSITE
CLASS B CLASS B** S&P 500 1500 INDEX
------- --------- ------- --------------
<S> <C> <C> <C> <C>
9/94 10000 10000 10000 10000
6/95 10812 10812 11725 11676
6/96 12985 12985 14774 14645
6/97 16938 16938 19901 19471
6/98 22169 22169 25903 25204
6/99 26497 26497 31798 30584
6/00 27619 27519 34103 33064
</TABLE>
30
<PAGE> 33
One Group Diversified Equity Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year (11/4/97)
<S> <C> <C> <C>
Class C 4.27% 16.72%
Class C** 3.29% 16.72%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
S&P
SUPERCOMPOSITE
CLASS C CLASS C** S&P 500 1500 INDEX
------- --------- ------- --------------
<S> <C> <C> <C> <C>
11/97 10000 10000 10000 10000
6/98 12087 12087 12527 12342
6/99 14452 14452 15378 14976
6/00 15070 15070 16493 16190
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The above-quoted performance data includes the performance of the Paragon Value
Equity Income Fund for the period before it was acquired by the One Group
Diversified Equity Fund on March 26, 1996. Prior to March 26, 1996 performance
for the Class I shares is based on Class A share performance adjusted to reflect
the absence of sales charges.
The performance of the Diversified Equity Fund is measured against the S&P 500
Index, an unmanaged index generally representative of the performance of large
companies in the U.S. stock market. Investors are unable to purchase the index
directly, although they can invest in the underlying securities. The performance
of the index does not reflect the deduction of expenses associated with a mutual
fund, such as investment management fees. By contrast, the performance of the
Fund reflects the deduction of these services as well as the deduction of sales
charges on Class A shares and applicable contingent deferred sales charges on
Class B and Class C shares.
The S&P SuperComposite 1500 Index represents the performance of large and small
companies in the U.S. stock market.
The S&P SuperComposite 1500 Index consists of the average monthly returns of the
S&P 500 Index for periods prior to January 1995. Thereafter, the data is from
the S&P SuperComposite 1500 Index, which corresponds with the initiation of the
S&P SuperComposite 1500 Index on January 1, 1995.
31
<PAGE> 34
One Group Balanced Fund
Portfolio Performance Review
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
HOW DID THE FUND PERFORM?
For the year ended June 30, 2000, One Group Balanced Fund I share class posted a
total return of 5.74%. (For information on other share classes and performance
comparisons to indexes, please see pages 34-35.)
WHAT WAS THE FUND'S ASSET ALLOCATION?
The Fund maintained an asset allocation of 60% stocks and 40% bonds throughout
the year. This represents a normal positioning for the Fund.
The stock component of the portfolio had an overall large-capitalization
orientation and a growth bias throughout the year. But, it's important to note
that we don't consciously overweight or underweight a single sector or a single
style of stock. Instead, we try to purchase the most attractive stocks, or those
offering greater return potential relative to their level of risk, in four
different styles--large-capitalization growth, large-capitalization value,
mid-capitalization growth and mid-capitalization value.
The fixed income portfolio was invested in a mix of Treasury, agency, corporate,
mortgage-backed and asset-backed securities.
HOW WOULD YOU DESCRIBE THE STOCK MARKET CLIMATE?
During the fiscal year investors played tug-of-war between increasing valuations
and an increasingly less-friendly Federal Reserve. The last quarter of 1999 saw
huge money inflows toward new economy, or "concept," stocks, regardless of
valuation. Concept stocks represent an idea or plan, but little in the way of
revenue or earnings. Hundreds of stocks enjoyed returns greater than 50%, and
for the first time in years it paid huge rewards to invest in a single
sector--technology--and almost nothing else. When investors were willing to buy
these concepts at any price, our portfolio fared poorly in a relative sense.
The tightening actions of the Federal Reserve have tempered some of this
enthusiasm so far in 2000. Many of 1999's big winners, including the concept
stocks, fell back to earth, and diversified portfolios once again have been
rewarded. The high volatility that's been present since mid-March has placed
emphasis on sector neutrality and stock selection, two of our key strengths.
HOW WOULD YOU DESCRIBE THE FIXED INCOME ENVIRONMENT?
During the fiscal year interest rates increased as the U.S. economy continued to
surprise investors with high levels of income growth and low inflation.
Uncomfortable with the strong economic growth and potential for future
inflation, the Federal Reserve began a series of interest rate hikes that
eventually pushed up the federal funds rate by 1.75 percentage points. But, more
important, short-term market rates rose by more than 1 percentage point, causing
prices on many of the portfolio's securities to decline.
In addition, spread volatility remained high during the year, and non-Treasury
securities underperformed. (Spreads refer to the differences in yields between
non-Treasury bonds, such as agency, corporate and mortgage-backed securities,
and comparable-maturity Treasury bonds. When spreads widen, prices on non-
Treasury bonds decline, and vice versa.) Several factors contributed to this
volatility, including Y2K worries, concerns about a more restrictive Federal
Reserve, and speculation that government surpluses would eliminate the federal
debt. Furthermore, high levels of growth among certain government agencies led
to congressional scrutiny, causing investors to question the future status of
securities issued by these agencies. In this volatile environment,
higher-quality bonds, such as those represented in the portfolio, outperformed
lower-quality securities.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS IN
THE STOCK PORTFOLIO?
Our goal is to find stocks with balance. Within the value style, we want stocks
that have good valuations along with catalysts that will bring their true value
to light. In the growth universe, we want stocks exhibiting great fundamentals,
but at a price that makes sense. This approach was ineffective during the fourth
quarter of 1999, when investors shunned balance in favor of price momentum. But,
thus far in 2000, our balanced approach once again has proven effective.
We de-emphasized the largest of the large-cap stocks during the fiscal year. We
found more opportunities among stocks with market capitalizations of less than
$20 billion.
DID THE FUND BENEFIT FROM ANY PARTICULARLY STRONG HOLDINGS?*
The Fund's technology holdings performed very well in absolute terms, but not as
well as the technology concept names. The health care sector experienced a
significant rebound in the first half of 2000, and many of the Fund's holdings
in that area performed well. The
32
<PAGE> 35
One Group Balanced Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
Fund also enjoyed strong performance from many of its financial stock holdings.
WHAT WERE THE STOCK PORTFOLIO'S TOP 10 HOLDINGS?*
As of June 30, 2000, the portfolio's top 10 holdings included General Electric
Co. at 3.8% of the portfolio; Intel Corp., 3.6%; Microsoft Corp., 3.2%; Cisco
Systems, Inc., 3.1%; Exxon Mobil Corp., 2.8%; Pfizer, Inc., 2.6%; EMC Corp.,
2.4%; Citigroup, Inc., 2.3%; Nortel Networks Corp., 2.2%; and American
International Group, Inc., 1.8%.
WHAT WAS YOUR STRATEGY IN THE FIXED INCOME PORTFOLIO?
With interest rates on the upswing, we focused on higher-quality, short-maturity
securities during the year. In an effort to maintain an attractive yield, we
also focused on non-Treasury securities. During the period, the percentage of
securities rated below "AAA" decreased, due to increased exposure to government
agency debt and agency mortgage-backed securities.
The rising interest rate environment also prompted us to slightly decrease the
portfolio's duration during the fiscal year. This helped the portfolio's price
performance as rates increased. (Duration is a measure of a fund's sensitivity
to interest rate changes. A longer duration indicates greater sensitivity; a
shorter duration indicates less.) As of June 30, 2000, the portfolio's duration
was 3.5 years.
WHAT IS YOUR OUTLOOK FOR THE FUND?
Going forward, we expect the market to trade in a range, with the ceiling
provided by anticipated Federal Reserve actions and the floor provided by global
healing and an abundance of stocks substantially off their highs. We will
continue to focus on a bottom-up stock selection process, building the portfolio
one stock at a time. As always, we will seek to uncover attractively valued
stocks with improving fundamentals.
In the fixed income portfolio, we will continue to focus on higher-quality,
non-Treasury securities because we believe they offer long-term performance
advantages. With respect to government-related securities, we likely will
continue to emphasize government agency mortgage-backed securities for their
yield advantages over Treasuries. In the corporate bond sector, we expect to
maintain our focus on higher-quality, shorter-maturity securities due to the
perceived uncertainty regarding future U.S. economic growth.
/s/ Michael Weiner
Michael D. Weiner
Team Leader, Balanced Team
Banc One Investment Advisors Corporation
/s/ Douglas Swanson
Douglas S. Swanson
Team Leader, Taxable Bond Team
Banc One Investment Advisors Corporation
/s/ Richard R. Jandrain III
Richard R. Jandrain, III
Chief Investment Officer of Equity Securities
Banc One Investment Advisors Corporation
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
Banc One Investment Advisors Corporation
------------
* Holdings are subject to change.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
33
<PAGE> 36
One Group Balanced Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (4/5/93)
<S> <C> <C> <C>
Class I 5.74% 14.96% 12.44%
</TABLE>
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LIPPER BALANCED FUND
CLASS I S&P 500 INDEX
------- ------- --------------------
<S> <C> <C> <C>
4/93 10000 10000 10000
6/93 10129 10049 10205
6/94 10027 10190 10288
6/95 11636 12847 11883
6/96 13356 16187 13644
6/97 16048 21803 16458
6/98 19597 28380 19488
6/99 22094 34838 21737
6/00 23363 37364 22700
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (4/2/93)
<S> <C> <C> <C>
Class A 5.48% 14.65% 12.14%
Class A* (0.04)% 13.41% 11.31%
</TABLE>
* Reflects 5.25% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LIPPER BALANCED
CLASS A CLASS A* S&P 500 FUND INDEX
------- -------- ------- ---------------
<S> <C> <C> <C> <C>
4/93 10000.00 9479.00 10000.00 10000.00
6/93 10124.00 9596.00 10049.00 10205.00
6/94 10003.00 9481.00 10190.00 10288.00
6/95 11579.00 10976.00 12847.00 11883.00
6/96 13255.00 12564.00 16187.00 13644.00
6/97 15886.00 15058.00 21803.00 16458.00
6/98 19334.00 18326.00 28380.00 19488.00
6/99 21742.00 20609.00 34838.00 21737.00
6/00 22933.00 21738.00 37364.00 22700.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (1/14/94)
<S> <C> <C> <C>
Class B 4.67% 13.83% 11.88%
Class B** (0.28)% 13.59% 11.88%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LIPPER BALANCED
CLASS B CLASS B** S&P 500 FUND INDEX
------- --------- ------- ---------------
<S> <C> <C> <C> <C>
1/94 10000 10000 10000 10000
6/94 9402 9402 9344 9621
6/95 10803 10803 11779 11113
6/96 12292 12292 14842 12760
6/97 14615 14615 19992 15391
6/98 17676 17676 26023 18225
6/99 19725 19725 31945 20328
6/00 20646 20646 34260 21229
</TABLE>
34
<PAGE> 37
One Group Balanced Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (4/5/93)
<S> <C> <C> <C>
Class C 4.64% 13.83% 11.33%
Class C** 3.64% 13.83% 11.33%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
LIPPER BALANCED
CLASS C CLASS C** S&P 500 FUND INCEX
------- --------- ------- ---------------
<S> <C> <C> <C> <C>
4/93 10000 10000 10000 10000
6/93 10103 10103 10049 10205
6/94 9902 9902 10190 10288
6/95 11379 11379 12847 11883
6/96 12931 12931 16187 13644
6/97 15386 15386 21803 16458
6/98 18605 18605 28380 19488
6/99 20769 20769 34838 21737
6/00 21736 21736 37364 22700
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
Performance for the Class C shares is based on Class I share performance
adjusted to reflect the difference in expense ratios and sales charges.
The performance of the Balanced Fund is measured against the S&P 500 Index, an
unmanaged index generally representative of the performance of large companies
in the U.S. stock market. Investors are unable to purchase the index directly,
although they can invest in the underlying securities. The performance of the
index does not reflect the deduction of expenses associated with a mutual fund,
such as investment management fees. By contrast, the performance of the Fund
reflects the deduction of these services as well as the deduction of sales
charges on Class A shares and applicable contingent deferred sales charges on
Class B and Class C shares.
The Lipper Balanced Fund Index is a blended index consisting of both stocks and
bonds with a typical stock to bond ratio of around 60% to 40%.
35
<PAGE> 38
One Group Equity Index Fund
Portfolio Performance Review
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
HOW DID THE FUND PERFORM?
For the year ended June 30, 2000, One Group Equity Index Fund I share class
posted a total return of 6.86%. (For information on other share classes and
performance comparisons to indexes, please see pages 37-38.)
As it is designed to do, the Fund posted a total return similar to that of the
S&P 500 Index, the unmanaged group of stocks the Fund seeks to track with little
or no excess risk. The S&P 500 Index returned 7.25% for the year. The slight
difference in returns between the Fund and the Index is due to fees and
transaction costs charged to the Fund but not to the Index.
WHAT WERE THE MAJOR FACTORS CONTRIBUTING TO FUND PERFORMANCE?
In general, acceleration in earnings growth and quality of earnings of stocks in
the Index helped boost performance in the latter part of 1999. The Index's
performance slowed down during the first six months of 2000, due to the
pressures from the lack of pricing power, growing wage costs and rising interest
rates.
Our practice of purchasing and selling stocks in anticipation to the addition or
deletion from the Index helped to recover some of the costs associated with the
Fund. We systematically purchase those companies that are going to enter the
Index and sell those that are exiting based on Standard & Poor's announcements
of upcoming changes. This strategy has helped provide positive excess return.
WHICH MARKET SECTORS OFFERED NOTABLE PERFORMANCE?
The majority of the market sectors posted positive performance. Most notable,
though, was the technology sector, where attention continued to narrow and shift
toward the most extended, volatile and richly valued "new economy" stocks. For
the first half of the fiscal year, technology was the major contributor to the
Index's returns. But, during the second half of fiscal 2000, technology stocks
were laggards, and "old economy" stocks gained ground.
Index performance also was enhanced in the first half of the fiscal year by the
performance of basic materials companies, which continued to benefit from
favorable commodity prices. Specifically, within this sector specialty chemicals
and paper/forest products experienced steadily accelerating earnings.
WHAT WERE THE FUND'S TOP 10 HOLDINGS?*
The major changes in the Fund's holdings during the year resulted from merger
and acquisition activity and the quarterly rebalancings of the Index. As of June
30, 2000, the Fund's top 10 holdings included General Electric Co. at 4.0% of
the portfolio; Intel Corp., 3.6%; Cisco Systems, Inc., 3.5%; Microsoft Corp.,
3.3%; Pfizer, Inc., 2.4%; Exxon Mobil Corp., 2.2%; Wal-Mart Stores, Inc., 2.0%;
Oracle Corp., 1.8%; Nortel Networks Corp., 1.7%; and Citigroup, Inc., 1.7%. All
were among the top 10 at the end of fiscal 1999 except Oracle, Nortel Networks
and Citigroup.
WHAT IS YOUR OUTLOOK FOR THE FUND?
It's possible that the equity market leadership may be on the verge of change
over the next few months, as investors respond to the inconsistency between the
pace of economic growth and consumption. The major concern would be more
prolonged Federal Reserve tightening than the consensus expects. But, as long as
more dramatic tightening is not in store, the majority of the S&P 500 stocks
should produce operating profit growth in the double-digit range similar to
fiscal 2000.
/s/ Richard R. Jandrain III
Richard R. Jandrain, III
Chief Investment Officer of Equity Securities
Banc One Investment Advisors Corporation
------------
* Holdings are subject to change.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
36
<PAGE> 39
One Group Equity Index Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (7/2/91)
<S> <C> <C> <C>
Class I 6.86% 23.41% 18.46%
</TABLE>
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS I S&P 500
------- -------
<S> <C> <C>
7/91 10000 10000
6/92 11211 11341
6/93 12673 12887
6/94 12753 13068
6/95 16043 16475
6/96 20129 20759
6/97 27033 27962
6/98 35077 36396
6/99 42972 44679
6/00 45921 47918
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (2/18/92)
<S> <C> <C> <C>
Class A 6.61% 23.09% 18.16%
Class A* 1.01% 21.76% 17.39%
</TABLE>
* Reflects 5.25% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS A CLASS A* S&P 500
------- -------- -------
<S> <C> <C> <C>
2/92 10000 9473 10000
6/92 10047 9518 9992
6/93 11328 10731 11354
6/94 11391 10791 11514
6/95 14289 13536 14515
6/96 17883 16941 18289
6/97 23953 22691 24635
6/98 30981 29349 32066
6/99 37865 35871 39363
6/00 40367 38240 42217
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (1/14/94)
<S> <C> <C> <C>
Class B 5.80% 22.15% 19.73%
Class B** 0.80% 21.97% 19.73%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS B CLASS B** S&P 500
------- --------- -------
<S> <C> <C> <C>
1/94 10000 10000 10000
6/94 9443 9443 9344
6/95 11764 11764 11779
6/96 14594 14594 14842
6/97 19400 19400 19992
6/98 24925 24925 26023
6/99 30239 30239 31945
6/00 31993 31993 34260
</TABLE>
37
<PAGE> 40
One Group Equity Index Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year (11/4/97)
<S> <C> <C> <C>
Class C 5.84% 18.17%
Class C** 4.84% 18.17%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS C CLASS C** S&P 500
------- --------- -------
<S> <C> <C> <C>
11/97 10000 10000 10000
6/98 12107 12107 12527
6/99 14712 14712 15378
6/00 15570 15570 16493
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The performance of the Equity Index Fund is measured against the S&P 500 Index,
an unmanaged index generally representative of the performance of large
companies in the U.S. stock market. Investors are unable to purchase the index
directly, although they can invest in the underlying securities. The performance
of the index does not reflect the deduction of expenses associated with a mutual
fund, such as investment management fees. By contrast, the performance of the
Fund reflects the deduction of these services as well as the deduction of sales
charges on Class A shares and applicable contingent deferred sales charges on
Class B and Class C shares.
38
<PAGE> 41
One Group Market Expansion Index Fund
Portfolio Performance Review
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
HOW DID THE FUND PERFORM?
One Group Market Expansion Index Fund I share class offered a total return of
14.30% for the year ended June 30, 2000. (For information on other share classes
and performance comparisons to indexes, please see pages 40-41.)
As it is designed to do, the Fund's performance closely matched that of a market
cap-adjusted average of the returns on the S&P MidCap 400 Index and the S&P
SmallCap 600 Index. The Fund has management fees and transaction expenses that
do not apply to the indexes.
WHAT CONTRIBUTED TO THE FUND'S RETURN?
The market remained kind to mid cap growth stocks during the year, as investors
continued to expand their horizons beyond the market's largest, growth-oriented
offerings. That interest in a broader range of stocks also trickled down to the
small cap arena, where investors found many of the high-flying technology names
that experienced significant growth in late 1999 and early 2000.
WHICH MARKET SECTORS OFFERED NOTABLE PERFORMANCE?
The majority of the market sectors posted positive performance. Most notable,
though, was the technology sector, where attention continued to narrow and shift
toward the most extended, volatile and richly valued stocks. For the first half
of the fiscal year, technology was the major contributor to the Fund's returns.
But, during the second half of fiscal 2000, technology stocks were laggards, and
old economy stocks gained ground.
Index performance also was enhanced in the first half of the fiscal year by the
performance of basic materials companies, which continued to benefit from
favorable commodity prices. Specifically, within this sector specialty chemicals
and paper/forest products experienced steadily accelerating earnings.
WHAT WERE THE FUND'S TOP 10 HOLDINGS?*
As of June 30, 2000, the Fund's top 10 holdings included Vitesse Semiconductor
Corp. at 1.1% of the portfolio; Calpine Corp., 1.0%; Univision Communications,
Inc., 0.9%; Dynegy, Inc., 0.9%; Millennium Pharmaceuticals, 0.8%; Jabil Circuit,
0.7%; Chiron Corp., 0.7%; Stryker Corp., 0.7%; Forest Laboratories, Inc., 0.7%;
and Waters Corp., 0.7%.
WHAT IS YOUR OUTLOOK FOR THE FUND?
It's possible that the equity market leadership may be on the verge of change
over the next few months, as investors respond to the inconsistency between the
pace of economic growth and consumption. The major concern would be more
prolonged Federal Reserve tightening than the consensus expects. But, as long as
more dramatic tightening is not in store, the majority of the benchmarks' stocks
should produce operating profit growth in the double-digit range similar to
fiscal 2000.
/s/ Richard R. Jandrain III
Richard R. Jandrain, III
Chief Investment Officer of Equity Securities
Banc One Investment Advisors Corporation
------------
* Holdings are subject to change.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
39
<PAGE> 42
One Group Market Expansion Index Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year (7/31/98)
<S> <C> <C> <C>
Class I 14.30% 15.30%
</TABLE>
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS I S&P MIDCAP 400 S&P SMALLCAP 600
------- -------------- ----------------
<S> <C> <C> <C>
7/98 10000.00 10000.00 10000.00
6/99 11490.00 12191.00 10578.00
6/00 13134.00 14261.00 12100.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year (7/31/98)
<S> <C> <C> <C>
Class A 13.93% 14.98%
Class A* 7.94% 11.81%
</TABLE>
* Reflects 5.25% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS A CLASS A* S&P MIDCAP 400 S&P SMALLCAP 600
------- -------- -------------- ----------------
<S> <C> <C> <C> <C>
7/98 10000.00 10000.00 10000.00 10000.00
6/99 11466.00 10869.00 12191.00 10578.00
6/00 13064.00 12383.00 14261.00 12100.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year (7/31/98)
<S> <C> <C> <C>
Class B 13.06% 15.00%
Class B** 8.80% 13.30%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS B CLASS B** S&P MIDCAP 400 S&P SMALLCAP 600
------- --------- -------------- ----------------
<S> <C> <C> <C> <C>
7/98 10000.00 10000.00 10000.00 10000.00
6/99 11559.00 11559.00 12191.00 10578.00
6/00 13068.00 12702.00 14261.00 12100.00
</TABLE>
40
<PAGE> 43
One Group Market Expansion Index Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year (3/22/99)
<S> <C> <C> <C>
Class C 13.11% 21.78%
Class C** 12.26% 21.78%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS C CLASS C** S&P MIDCAP 400 S&P SMALLCAP 600
------- --------- -------------- ----------------
<S> <C> <C> <C> <C>
3/99 10000.00 10000.00 10000.00 10000.00
6/99 11364.00 11364.00 11416.00 11542.00
6/00 12853.00 12853.00 13354.00 13202.00
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The above-quoted performance data includes the performance of the Pegasus Market
Expansion Index Fund for the period prior to the acquisition by the One Group
Market Expansion Index Fund on March 22, 1999.
The performance of the Market Expansion Index Fund is measured against the S&P
MidCap 400 Index, an unmanaged index generally representative of the mid-cap
stock market. Investors are unable to purchase the index directly, although they
can invest in the underlying securities. The performance of the index does not
reflect the deduction of expenses associated with a mutual fund, such as
investment management fees. By contrast, the performance of the Fund reflects
the deduction of these services as well as the deduction of sales charges on
Class A shares and applicable contingent deferred sales charges on Class B and
Class C shares.
The S&P SmallCap 600 Index is an unmanaged index generally representative of the
small companies stock market.
41
<PAGE> 44
One Group International Equity Index Fund
Portfolio Performance Review
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
HOW DID THE FUND PERFORM?
For the year ended June 30, 2000, One Group International Equity Index Fund I
share class posted a total return of 18.09%. (For information on other share
classes and performance comparisons to indexes, please see pages 43-44.)
The Fund employs a passive strategy whereby we invest 92% of assets in the
developed international markets in a manner designed to track the Morgan Stanley
Capital International Europe, Australia, Far East Gross Domestic Product (EAFE
GDP) Index. We invest the remaining 8% of assets to track a benchmark of equally
weighted emerging markets.
HOW WOULD YOU DESCRIBE EVENTS IN THE INTERNATIONAL STOCK MARKET?
International equity markets advanced during the fiscal year. Global economic
healing continued, and economic growth forecasts were consistently upgraded and
stronger than consensus expectations. In addition, inflation remained in check,
and several markets-- particularly emerging markets--traded at attractive
valuations.
In Europe, equity markets returned 15% during the fiscal year, as economic
growth expectations continued to improve, the increase in core inflation
remained modest and corporate earnings were revised higher. With economic growth
showing signs of life, inflation rising from low levels and money supply growth
(M3) still strong, the European Central Bank (ECB) for the first time increased
short-term interest rates during the fourth quarter of 1999. European M3
continued to increase by more than 6% during the year. This economic variable is
identified as the most important inflation indicator for the ECB, and the ECB
hiked interest rates five times, from 3.0% to 4.25%. The best performing
developed equity markets in Europe during the year were Finland, with a return
of 101%, followed by Sweden, up 65%, and France, which rose 36%.
In Asia, developed equity markets advanced 22%, with Japan gaining 27%. The
yen's appreciation of approximately 13% against the dollar mirrored investors'
growing confidence in the sustainability of the nascent Japanese recovery and
the impact on corporate profits. In emerging Asia, stock markets declined in
aggregate by 8%. India, with a return of 32%, benefited from the "new economy"
going global. World Trade Organization entry acceptance and a reduction in
tensions with Taiwan enabled China to rebound late in the year, but it still
lagged the region with a decline of 30%. The two countries that have instituted
the least policy actions in reaction to the Asian crises performed the worst:
Indonesia, which declined 48% as it struggles with political uncertainty and
unrest, and Thailand, which declined 41%.
In Latin America, stock markets returned 17%. Continued economic growth,
improving fiscal accounts from higher oil prices, and cheap valuations supported
higher equity prices. The best-performing equity markets during the year were
Brazil, with a return of 41%, Venezuela, with a gain of 12%, and Mexico, which
advanced 11%.
WHAT WERE THE FUND'S TOP 10 HOLDINGS?*
The Fund's largest country weightings as of June 30, 2000, were Japan, at 31.5%
of the portfolio; Germany, 12.7%; France, 11.8%; Italy, 8.2%; and United
Kingdom, 7.9%. As of June 30, 2000, the Fund's top 10 stock holdings included
Toyota Motor, at 2.1% of the portfolio's assets; Deutsche Telecom, 2.0%; Nippon
Telegraph and Telephone, 2.0%; Vodafone Airtouch, 1.6%; France Telecom, 1.4%;
Siemens, 1.3%; Allianze, 1.3%; Nokia, 1.3%; Telecom Italia Mobile, 1.2%; and
ENI, 1.2%.
WHAT IS YOUR OUTLOOK FOR THE FUND?
The outlook for international markets remains positive, with improving economic
growth prospects and cheaper stock valuations compared to the U.S. equity
market. We will continue our strategy of tracking the EAFE GDP Index with the
bulk of the Fund's assets and investing broadly across the emerging markets.
/s/ Clyde Carter
Clyde L. Carter, Jr.
Team Leader, International Team
Banc One Investment Advisors Corporation
/s/ Richard R. Jandrain, III
Richard R. Jandrain, III
Chief Investment Officer of Equity Securities
Banc One Investment Advisors Corporation
------------
* Holdings are subject to change.
Please refer to the prospectus and accompanying financial statements for more
information about the Fund.
42
<PAGE> 45
One Group International Equity Index Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (10/28/92)
<S> <C> <C> <C>
Class I 18.09% 12.91% 13.31%
</TABLE>
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS I MSCI EAFE-GDP
------- -------------
<S> <C> <C>
10/92 10000.00 10000.00
6/93 11812.00 12189.00
6/94 13636.00 14456.00
6/95 14209.00 14984.00
6/96 15801.00 16864.00
6/97 18114.00 19284.00
6/98 19842.00 22204.00
6/99 22080.00 24388.00
6/00 26073.00 29206.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (4/23/93)
<S> <C> <C> <C>
Class A 17.58% 12.69% 11.35%
Class A* 11.38% 11.48% 10.51%
</TABLE>
* Reflects 5.25% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS A CLASS A* MSCI EAFE-GDP
------- -------- -------------
<S> <C> <C> <C>
4/93 10000 9472 10000
6/93 9958 9432 9981
6/94 11469 10864 11837
6/95 11913 11285 12269
6/96 13247 12548 13808
6/97 15142 14343 15790
6/98 16557 15683 18181
6/99 18413 17441 19969
6/00 21650 20508 23914
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (1/14/94)
<S> <C> <C> <C>
Class B 16.99% 11.75% 10.05%
Class B** 11.99% 11.49% 10.05%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS B CLASS B** MSCI EAFE-GDP
------- --------- -------------
<S> <C> <C> <C>
1/94 10000.00 10000.00 10000.00
6/94 10323.00 10323.00 10057.00
6/95 10650.00 10650.00 10424.00
6/96 11712.00 11712.00 11732.00
6/97 13277.00 13277.00 13415.00
6/98 14402.00 14402.00 15446.00
6/99 15864.00 15864.00 16966.00
6/00 18559.00 18559.00 20318.00
</TABLE>
43
<PAGE> 46
One Group International Equity Index Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year (11/4/97)
<S> <C> <C> <C>
Class C 16.92% 16.72%
Class C** 15.92% 16.72%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS C CLASS C** MSCI EAFE-GDP
------- --------- -------------
<S> <C> <C> <C>
11/97 10000 10000 10000
6/98 11634 11634 12314
6/99 12889 12889 13525
6/00 15070 15070 16197
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
International investing involves increased risk and volatility.
The performance of the International Equity Index Fund is measured against the
Morgan Stanley Capital International (MSCI) EAFE-GDP Index(1), an unmanaged
index generally representative of the performance of international stock
markets. Investors are unable to purchase the index directly, although they can
invest in the underlying securities. The performance of the index does not
reflect the deduction of expenses associated with a mutual fund, such as
investment management fees. By contrast, the performance of the Fund reflects
the deduction of these services as well as the deduction of sales charges on
Class A shares and applicable contingent deferred sales charges on Class B and
Class C shares.
------------
(1) Gross Domestic Product (GDP) Weighted Morgan Stanley Capital International
Europe, Australasia and Far East Index. MSCI EAFE-GDP Index is a registered
service mark of Morgan Stanley Capital International, which does not sponsor
and is in no way affiliated with the Fund.
44
<PAGE> 47
One Group Diversified International Fund
Portfolio Performance Review
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
HOW DID THE FUND PERFORM?
One Group Diversified International Fund I share class posted a total return of
20.97% for the year ended June 30, 2000. (For information on other share classes
and performance comparisons to indexes, please see pages 46-47.)
HOW WOULD YOU DESCRIBE EVENTS IN THE INTERNATIONAL STOCK MARKET?
International equity markets advanced during the fiscal year. Global economic
healing continued, and economic growth forecasts were consistently upgraded and
stronger than consensus expectations. In addition, inflation remained in check,
and several markets--particularly emerging markets--traded at attractive
valuations.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Our primary investment strategy is to invest in countries with improving
economic and stock market fundamentals at reasonable valuation levels. During
the fiscal year the global economy began to heal from the worst of the economic
recessions in several Asian countries. In anticipation of improving fundamentals
in Asia, we increased the Fund's investments in Korea, Taiwan and India. We
funded these purchases by reducing exposure to Europe.
As the phenomenon of the "new economy" went global, we increased the Fund's
weightings toward Finland and Sweden. Many of the top-performing new-economy
stocks in the communication technology sector are located in these Scandinavian
countries. Furthermore, Finland and Sweden were among the fiscal year's
strongest performers, so increasing the Fund's weighting enhanced overall
performance.
We also increased the Fund's exposure to select emerging markets. With many of
these countries trading at attractive valuations, this strategy also contributed
positively to Fund performance.
WHAT COUNTRIES DID YOU EMPHASIZE?
Our investment approach focuses on country selection based on favorable
macroeconomic and investment variables. The countries we emphasized during the
year included Japan, with a 21% average portfolio weight; United Kingdom, 13%;
Finland, 9%; France, 7% and Germany, 7%.
WHAT WERE THE FUND'S TOP 10 HOLDINGS?*
As of June 30, 2000, the Fund's top 10 holdings included Nokia at 7.2% of the
portfolio; Samsung Electronics, 1.5%; Vodafone, 1.4%; Telefonica de Espana,
1.4%; LM Ericsson, 1.4%; Telefonos de Mexico, 1.3%; Nippon Telegraph and
Telephone, 1.2%; Sony, 1.1%; British Petroleum, 1.1%; and Total Fina SA, .5%.
WHAT IS YOUR OUTLOOK FOR THE FUND?
The outlook for international markets remains positive, with improving economic
growth prospects and attractive stock market valuations compared to the U.S.
equity market. We will continue to look for countries that offer superior
expected returns while providing some protection from the volatile U.S. market.
We continue to recommend that investors have a portion of their assets invested
internationally to capture the benefits of portfolio diversification and
potential capital appreciation.
/s/ Clyde Carter
Clyde L. Carter, Jr.
Team Leader, International Team
Banc One Investment Advisors Corporation
/s/ Richard R. Jandrain, III
Richard R. Jandrain, III
Chief Investment Officer of Equity Securities
Banc One Investment Advisors Corporation
------------
* Holdings are subject to change.
Please refer to the prospectus and the accompanying financial statements for
more information about the Fund.
45
<PAGE> 48
One Group Diversified International Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (4/30/86)
<S> <C> <C> <C> <C>
Class I 20.97% 12.68% 7.31% 10.45%
</TABLE>
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS I MSCI EAFE + EMF
------- ---------------
<S> <C> <C>
6/90 10000 10000
6/91 8316 8940
6/92 8602 9018
6/93 9216 10869
6/94 10625 12865
6/95 11155 13063
6/96 12377 14766
6/97 14021 16763
6/98 15041 16962
6/99 16746 18636
6/00 20258 21736
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (4/30/86)
<S> <C> <C> <C> <C>
Class A 20.66% 12.43% 7.20% 10.36%
Class A* 14.30% 11.23% 6.62% 9.94%
</TABLE>
* Reflects 5.25% Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS A CLASS A* MSCI EAFE + EMF
------- -------- ---------------
<S> <C> <C> <C>
6/90 10000.00 9478.00 10000.00
6/91 8316.00 7882.00 8940.00
6/92 8602.00 8153.00 9018.00
6/93 9216.00 8735.00 10869.00
6/94 10636.00 10080.00 12865.00
6/95 11155.00 10572.00 13063.00
6/96 12388.00 11741.00 14766.00
6/97 13965.00 13236.00 16763.00
6/98 14951.00 14171.00 16962.00
6/99 16604.00 15737.00 18636.00
6/00 20035.00 18989.00 21736.00
</TABLE>
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year 10 Year (4/30/86)
<S> <C> <C> <C> <C>
Class B 19.77% 11.68% 6.84% 10.10%
Class B** 14.77% 11.42% 6.84% 10.10%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS B CLASS B** MSCI EAFE + EMF
------- --------- ---------------
<S> <C> <C> <C>
6/90 10000 10000 10000
6/91 8318 8318 8940
6/92 8600 8600 9018
6/93 9210 9210 10869
6/94 10621 10621 12865
6/95 11151 11151 13063
6/96 12381 12381 14766
6/97 13760 13760 16763
6/98 14659 14659 16962
6/99 16174 16174 18636
6/00 19371 19371 21736
</TABLE>
46
<PAGE> 49
One Group Diversified International Fund
Portfolio Performance Review, continued
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
AVERAGE ANNUAL
TOTAL RETURN AS OF JUNE 30, 2000
<TABLE>
<CAPTION>
Since
Inception
1 Year (3/22/99)
<S> <C> <C> <C>
Class C 19.76% 19.28%
Class C** 18.76% 19.28%
</TABLE>
** Reflects Applicable Contingent Deferred Sales Charge.
VALUE OF $10,000 INVESTMENT
<TABLE>
<CAPTION>
CLASS C CLASS C** MSCI EAFE + EMF
------- --------- ---------------
<S> <C> <C> <C>
3/99 10000 10000 10000
6/99 10453 10453 10449
6/00 12518 12518 12187
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
International investing involves increased risk and volatility.
The Diversified International Fund commenced operations as the Pegasus
International Equity Fund on December 3, 1994 subsequent to the transfer of
assets from a common trust fund with materially equivalent investment
objectives, policies, guidelines and restrictions as the Fund. The quoted
performance of the Fund includes the performance of the common trust fund for
periods prior to the Fund's commencement of operations as adjusted to reflect
the expenses and sales charges associated with the Fund. Common trust funds are
not registered under the Investment Company Act of 1940 ("1940 Act") and,
therefore, are not subject to certain investment restrictions, limitations and
diversification requirements imposed by the 1940 Act and the Internal Revenue
Code. If the common trust fund had been registered under the 1940 Act, its
performance may have been adversely affected. The above quoted performance data
includes the performance of a common trust fund and the Pegasus International
Equity Fund prior to the acquisition by the One Group Diversified International
Fund on March 22, 1999.
The performance of the Diversified International Fund is measured against the
Morgan Stanley Capital International (MSCI) EAFE + EMF Index, an unmanaged index
generally representative of the performance of international stock markets and
of emerging markets. Investors are unable to purchase the index directly,
although they can invest in the underlying securities. The performance of the
index does not reflect the deduction of expenses associated with a mutual fund,
such as investment management fees. By contrast, the performance of the Fund
reflects the deduction of these services as well as the deduction of sales
charges on Class A shares and applicable contingent deferred sales charges on
Class B and Class C shares.
47
<PAGE> 50
One Group Mutual Funds
Small Cap Growth Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMERCIAL PAPER (4.0%):
Diversified (4.0%):
$14,500 GE Capital Corp., 6.76%, 9/15/00..... $ 14,304
--------
Total Commercial Paper 14,304
--------
COMMON STOCKS (94.0%):
Business Equipment & Services (17.6%):
13 Administaff, Inc. (b)................ 826
33 Advance Paradigm, Inc. (b)........... 677
40 Advo, Inc. (b)....................... 1,667
102 American Management Systems (b)...... 3,342
32 Catalina Marketing Corp. (b)......... 3,295
69 Choicepoint, Inc. (b)................ 3,062
118 Ciber, Inc. (b)...................... 1,557
35 Click Commerce, Inc. (b)............. 792
13 Concord Communications, Inc. (b)..... 522
92 Dendrite International, Inc. (b)..... 3,048
75 eLoyalty Corp. (b)................... 952
69 Factset Research Systems, Inc. ...... 1,946
26 Heidrick & Struggles International
(b)................................ 1,635
70 Henry (Jack) & Associates............ 3,524
29 HNC Software, Inc. (b)............... 1,802
63 Hyperion Solutions Corp. (b)......... 2,031
43 Insight Enterprises, Inc. (b)........ 2,568
49 Maximus, Inc. (b).................... 1,073
64 National Computer Systems, Inc. ..... 3,132
45 Prepaid Legal Services, Inc. (b)..... 1,344
122 Profit Recovery Group International
(b)................................ 2,027
21 Radisys Corp. (b).................... 1,175
68 RSA Security, Inc. (b)............... 4,688
35 Saga Systems, Inc. (b)............... 429
141 SEI Corp. ........................... 5,617
69 Snyder Communications, Inc. (b)...... 1,627
30 Startek, Inc. (b).................... 1,526
102 True North Communications, Inc. ..... 4,484
48 Zebra Technologies Corp., Class A
(b)................................ 2,118
--------
62,486
--------
Capital Goods (7.8%):
53 C&D Technologies, Inc. .............. 2,966
49 C-COR.net Corp. (b).................. 1,320
24 Coherent, Inc. (b)................... 2,013
72 Crane Co. ........................... 1,741
51 Electro Scientific Industries, Inc.
(b)................................ 2,237
54 Graco, Inc. ......................... 1,758
43 Helix Technology Corp. .............. 1,665
103 Insituform Technologies, Inc. (b).... 2,786
60 Manitowoc Co., Inc. ................. 1,592
70 Methode Electronics, Class A......... 2,688
48 Roper Industries, Inc. .............. 1,240
34 Technitrol, Inc. .................... 3,265
63 Vicor Corp. (b)...................... 2,200
--------
27,471
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Consumer Durable (2.2%):
105 Copart, Inc. (b)..................... $ 1,685
186 Gentex Corp. (b)..................... 4,668
44 Polaris Industries, Inc. ............ 1,414
--------
7,767
--------
Consumer Non-Durable (4.1%):
61 AptarGroup, Inc. .................... 1,639
52 Beringer Wine Estates Holdings,
Inc. (b)........................... 1,840
34 Biomatrix, Inc. (b).................. 774
48 Fossil, Inc. (b)..................... 939
46 Hain Celestial Group, Inc. (b)....... 1,702
152 Ivex Packaging Corp. (b)............. 1,689
40 Libbey, Inc. ........................ 1,272
57 Salton, Inc. (b)..................... 2,091
34 Timberland Co., Class A (b).......... 2,435
--------
14,381
--------
Energy (3.8%):
28 Atwood Oceanics, Inc (b)............. 1,260
62 Barrett Resources Corp. (b).......... 1,900
26 Cal Dive International, Inc. (b)..... 1,382
85 Cross Timers Oil Co. ................ 1,876
81 Newfield Exploration Co. (b)......... 3,162
77 Pogo Producing Co. .................. 1,704
35 Stone Energy Corp. (b)............... 2,103
--------
13,387
--------
Financial Services (4.5%):
69 Arthur J. Gallagher & Co. ........... 2,906
17 Barra, Inc. (b)...................... 828
49 Commerce Bancorp, Inc. .............. 2,253
64 Eaton Vance Corp. ................... 2,979
41 Investors Financial Services
Corp. ............................. 1,643
41 Pioneer Group, Inc. (b).............. 1,737
64 Silicon Valley Bankshares (b)........ 2,719
82 Trustco Bank Corp. .................. 1,026
--------
16,091
--------
Health Care (16.1%):
79 Alliance Pharmaceutical Corp. (b).... 890
67 Alpharm, Inc., Class A............... 4,140
63 Barr Laboratories, Inc. (b).......... 2,830
78 BIO Technology General Corp. (b)..... 1,030
65 Cephalon, Inc. (b)................... 3,880
50 Cor Therapeutics, Inc. (b)........... 4,291
48 Enzo Biochem, Inc. (b)............... 3,326
121 Hooper Holmes, Inc. ................. 966
125 Jones Pharma, Inc. .................. 5,001
28 Medicis Pharmaceuticals, Inc. (b).... 1,596
38 Mentor Corp. ........................ 1,025
39 Noven Pharmaceuticals, Inc. (b)...... 1,160
70 Orthodontic Centers of America (b)... 1,584
</TABLE>
Continued
48
<PAGE> 51
One Group Mutual Funds
Small Cap Growth Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Health Care, continued:
62 Patterson Dental Co. (b)............. $ 3,172
22 Priority Healthcare Corp., Class B
(b)................................ 1,620
37 Protein Design Labs, Inc. (b)........ 6,154
67 Regeneron Pharmaceuticals, Inc.
(b)................................ 1,994
70 Renal Care Group, Inc. (b)........... 1,709
53 Resmed, Inc. (b)..................... 1,428
68 Summit Technology, Inc. (b).......... 1,276
23 Syncor International Corp. (b)....... 1,634
50 Vertex Pharmaceuticals, Inc. (b)..... 5,259
31 Wesley Jessen VisionCare, Inc. (b)... 1,164
--------
57,129
--------
Multi-Industry (0.5%):
45 Optimal Robotics Corp. (b)........... 1,723
--------
Raw Materials (3.7%):
97 Buckeye Technologies, Inc. (b)....... 2,135
85 Cambrex Corp. ....................... 3,820
41 MacDermid, Inc. ..................... 971
39 Techne Corp. (b)..................... 5,095
60 Valence Technology, Inc. (b)......... 1,101
--------
13,122
--------
Retail (3.4%):
58 99 Cents Only Stores (b)............. 2,324
48 Applebees International, Inc. ....... 1,464
56 Cheesecake Factory, Inc. (b)......... 1,535
35 Cost Plus Inc./California (b)........ 995
41 Delta Pine & Land Co. ............... 1,033
65 Jack in the Box, Inc. (b)............ 1,593
51 Sonic Corp. (b)...................... 1,495
39 Whole Foods Market, Inc. (b)......... 1,628
--------
12,067
--------
Technology (27.9%):
45 Actel Corp. (b)...................... 2,053
65 Adative Broadband Corp. (b).......... 2,370
35 Aeroflex, Inc. (b)................... 1,749
18 Alliant Techsystems, Inc. (b)........ 1,207
67 Alpha Industries, Inc. (b)........... 2,957
35 American Xtal Technology, Inc. (b)... 1,505
42 Apex, Inc. (b)....................... 1,833
16 Artesyn Technologies, Inc. (b)....... 445
79 Aspect Communications Corp. (b)...... 3,110
42 Aspen Technology, Inc. (b)........... 1,605
43 Aware, Inc. (b)...................... 2,198
35 Black Box Corp. (b).................. 2,755
104 Cognex Corp. (b)..................... 5,361
38 Cohu, Inc. .......................... 1,017
55 CTS Corp. ........................... 2,466
39 Cybex Computer Products Corp. (b).... 1,675
112 Dallas Semi-Conductor Corp. ......... 4,576
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
125 Digital Microwave Corp. (b).......... $ 4,754
29 Dionex Corp. (b)..................... 786
68 Dycom Industries, Inc. (b)........... 3,117
5 Exfo Electro-Optical Engineering,
Inc. (b)........................... 219
64 Filenet Corp. (b).................... 1,182
74 General Semiconductor, Inc. (b)...... 1,086
23 Great Plains Software, Inc. (b)...... 449
42 Intervoice, Inc. (b)................. 274
173 Kemet Corp. (b)...................... 4,336
48 Kulicke & Soffa Industries, Inc.
(b)................................ 2,862
95 Lattice Semiconductor Corp. (b)...... 6,582
40 Mercury Computer Systems, Inc. (b)... 1,302
88 National Instruments Corp. (b)....... 3,848
137 P-Com, Inc. (b)...................... 776
92 Pinnacle Systems, Inc. (b)........... 2,078
31 Plantronics, Inc. (b)................ 3,569
30 Plexus Corp. (b)..................... 3,401
77 Progress Software Corp. (b).......... 1,379
41 Project Software & Development,
Inc. (b)........................... 733
23 Proxim, Inc. (b)..................... 2,237
59 Remedy Corp. (b)..................... 3,278
62 Systems & Computer Technology
Corp. (b).......................... 1,240
35 Three Five Systems, Inc. (b)......... 2,089
44 Trimble Navigation, Ltd. (b)......... 2,128
30 Varian Medical Systems, Inc. (b)..... 1,174
49 Verity, Inc. (b)..................... 1,858
42 Xircom, Inc. (b)..................... 1,986
30 Zixit Corp. (b)...................... 1,359
--------
98,964
--------
Transportation (2.2%):
33 Atlantic Coast Airlines, Inc. (b).... 1,048
46 EGL, Inc. (b)........................ 1,408
88 Expeditors International of
Washington, Inc. .................. 4,199
22 Landstar System, Inc. (b)............ 1,293
--------
7,948
--------
Utilities (0.2%):
94 TALK.com, Inc. (b)................... 548
--------
Total Common Stocks 333,084
--------
U.S. TREASURY OBLIGATIONS (0.4%):
U.S. Treasury Bills (0.4%):
$ 440 7/20/00 (c).......................... 439
920 9/21/00 (c).......................... 908
--------
Total U.S. Treasury Obligations 1,347
--------
</TABLE>
Continued
49
<PAGE> 52
One Group Mutual Funds
Small Cap Growth Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
INVESTMENT COMPANIES (4.0%):
14,049 One Group Prime Money Market Fund,
Class I............................ $ 14,049
--------
Total Investment Companies 14,049
--------
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING (12.3%):
Master Notes (1.4%):
$ 2,123 Bear Stearns, 7.40%, 7/3/00*......... 2,123
530 Danaher, 7.31%, 7/3/00*.............. 530
1,202 General Mills, 6.83%, 7/3/00*........ 1,202
530 Lehman Brothers, 7.44%, 7/3/00*...... 530
530 Willamette, 6.92%, 7/3/00*........... 530
--------
4,915
--------
Put Bonds (4.2%):
884 Associates Corp., 7.00%, 9/17/01*.... 894
1,414 Bank of America, 6.32%, 7/5/01*...... 1,431
1,061 Caterpillar Finance, 7.05%,
5/1/01*............................ 1,061
884 Chase Manhattan, 7.11%, 5/6/02*...... 884
884 Ford Motor, 7.03%, 4/11/02*.......... 884
884 GMAC, 7.07%, 5/3/01*................. 884
354 Greenwich Capital Markets, 7.10%,
7/9/01*............................ 354
884 J.P. Morgan & Co., 7.01%, 5/4/01*.... 884
1,061 Liberty Lighthouse, 7.08%,
4/12/02*........................... 1,060
884 Merrill Lynch, 7.16%, 5/6/02*........ 884
884 Salomon Smith Barney, 6.81%,
4/8/02*............................ 884
407 Salomon Smith Barney, 6.90%,
2/5/01*............................ 407
1,061 Sigma Financial, 6.91%, 5/15/01*..... 1,061
884 Sigma Financial, 6.93%, 1/22/01*..... 884
1,414 SPARCC, 6.65%, 9/25/00*.............. 1,414
884 U.S. Bancorp, 6.78%, 5/8/02*......... 884
--------
14,754
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING, CONTINUED:
Repurchase Agreements (6.7%):
$ 108 Bear Stearns, 6.83%, 7/3/00,
(Collateralized by $491 various
U.S. Government securities,
5.73% - 8.00%,
1/15/02 - 2/15/28, market value
$117).............................. $ 108
10,609 Goldman Sachs, 7.15%, 7/3/00,
(Collateralized by $11,226 various
Commercial Paper, 0.00%,
7/3/00 - 8/14/00, market value
$11,176)........................... 10,609
2,652 HSBC, 7.25%, 7/3/00, (Collateralized
by $4,432 various U.S. Government
securities, 0.00% - 15.75%,
11/15/00 - 4/15/29, market value
$2,705)............................ 2,652
980 Lehman Brothers, 7.18%, 7/3/00,
(Collateralized by $1,029 Galaxy
Funding Commercial Paper, 0.00%,
10/10/00, market value $1,010)..... 980
530 Lehman Brothers, 7.38%, 7/3/00,
(Collateralized by various equity
securities, market value $562)..... 530
8,840 Merrill Lynch, 7.20%, 7/3/00,
(Collateralized by $9,391 various
Commercial Paper, 0.00%,
7/3/00 - 3/9/01, market value
$9,283)............................ 8,840
--------
23,719
--------
Total Short-Term Securities Held as Collateral
for
Securities Lending
43,388
--------
Total (Cost $354,653) (a) $406,172
========
</TABLE>
------------
Percentages indicated are based on net assets of $354,097.
(a) Represents cost for financial reporting purposes and differs from cost basis
for federal income tax reporting of approximately $2,505. Cost for federal
income tax purposes differs from value by net unrealized appreciation
(depreciation) of securities as follows (amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 67,356
Unrealized depreciation...................... (18,342)
--------
Net unrealized appreciation (depreciation)... $ 49,014
========
</TABLE>
(b) Non-income producing securities.
(c) Serves as collateral for Futures Contracts.
* The interest rate for this variable rate note, which will change
periodically, is based upon prime rates or an index of market rates. The rate
reflected on the Schedule of Portfolio Investments is the rate in effect at
June 30, 2000.
See notes to financial statements.
50
<PAGE> 53
One Group Mutual Funds
Small Cap Value Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS (99.7%):
Business Equipment & Services (4.8%):
110 G & K Services, Inc., Class A........ $ 2,757
140 Kelly Services, Inc. ................ 3,237
40 National Service Industries, Inc. ... 780
43 Pittston Brink's Group............... 582
266 Unifirst Corp. ...................... 2,091
--------
9,447
--------
Capital Goods (9.3%):
114 Cummins Engine, Inc. ................ 3,106
45 Federal Signal Corp. ................ 743
70 Hubbell, Inc., Class B............... 1,785
163 Interface, Inc. ..................... 623
30 Lawson Products, Inc. ............... 739
40 Lincoln Electric Holdings, Inc. ..... 570
36 Nacco Industries, Inc., Class A...... 1,279
100 Snap-On, Inc. ....................... 2,662
65 Tecumseh Products Co. ............... 2,481
95 Trinity Industries, Inc. ............ 1,758
100 Wabash National Corp. ............... 1,194
108 Watts Industries, Inc., Class A...... 1,357
--------
18,297
--------
Commercial Services (2.8%):
140 A.H. Belo Corp. ..................... 2,424
95 Arctic Cat, Inc. .................... 1,128
70 Banta Corp. ......................... 1,326
83 Thomas Nelson, Inc. ................. 706
--------
5,584
--------
Consumer Durable (3.2%):
73 Arvin Industries, Inc. .............. 1,260
40 Borg Warner Automotive, Inc. ........ 1,404
55 Brunswick Corp. ..................... 911
88 Intermet Corp. ...................... 605
110 Simpson Industries, Inc. ............ 828
68 Tower Automotive, Inc. (b)........... 844
105 Transpro, Inc. ...................... 532
--------
6,384
--------
Consumer Non-Durable (8.2%):
100 American Greeting Corp., Class A..... 1,900
97 Dean Foods Co. ...................... 3,058
15 Earthgrains Co. ..................... 292
0 Farmer Brothers Co. (c).............. 35
80 Hormel Foods Corp. .................. 1,338
78 IBP, Inc. ........................... 1,196
128 Kellwood Co. ........................ 2,693
41 Myers Industries, Inc. .............. 441
25 Phillips-Van Heusen Corp. ........... 238
136 Smithfield Foods, Inc. (b)........... 3,802
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Consumer Non-Durable, continued:
5 Stride Rite Corp. ................... $ 29
68 Universal Foods Corp. ............... 1,249
--------
16,271
--------
Energy (3.8%):
91 Ashland Co., Inc. ................... 3,173
55 Pennzoil-Quaker State Co. ........... 663
50 Sunoco, Inc. ........................ 1,472
25 Tesoro Petroleum Corp. (b)........... 253
25 Tidewater, Inc. ..................... 900
45 Ultramar Diamond Shamrock Corp. ..... 1,117
--------
7,578
--------
Financial Services (17.4%):
120 Banknorth Group, Inc. ............... 1,839
40 Commerce Group, Inc. ................ 1,180
60 Community First Bankshares, Inc. .... 979
55 Countrywide Credit Industries,
Inc. .............................. 1,667
35 Cullen/Frost Bankers, Inc. .......... 921
20 Edwards (A.G.), Inc. ................ 780
100 First American Financial Corp. ...... 1,431
30 First Virginia Banks, Inc. .......... 1,044
27 HCC Insurance Holding, Inc. ......... 500
145 Horace Mann Educators, Corp. ........ 2,175
39 Landamerica Financial Group, Inc. ... 888
140 Liberty Financial Cos., Inc. ........ 3,072
85 Nationwide Financial Services, Inc.,
Class A............................ 2,795
73 Old Republic International Corp. .... 1,196
147 Pacific Century Financial Corp. ..... 2,150
190 Phoenix Investment Partners, Ltd. ... 1,995
34 Radian Group, Inc. .................. 1,734
45 Selective Insurance Group, Inc. ..... 855
110 State Auto Financial Corp. .......... 1,306
115 Susquehanna Bancshares, Inc. ........ 1,634
45 Triad Guaranty, Inc. (b)............. 1,032
168 Washington Federal, Inc. ............ 3,058
--------
34,231
--------
Health Care (8.6%):
128 Amerisource Health Corp., Class A
(b)................................ 3,952
15 Arrow International, Inc. ........... 503
143 Bindley Western Industries, Inc. .... 3,781
65 Coventry Health Care, Inc. (b)....... 866
250 Foundation Health Systems, Inc.
Class A (b)........................ 3,250
103 Gentiva Health Services, Inc. (b).... 833
10 Mylan Laboratories, Inc. ............ 173
50 Omnicare, Inc. ...................... 453
15 Pacificare Health, Inc. (b).......... 903
</TABLE>
Continued
51
<PAGE> 54
One Group Mutual Funds
Small Cap Value Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Health Care, continued:
18 Rightchoice Managed Care, Inc.,
Class A (b)........................ $ 276
88 West Pharmaceutical Services,
Inc. .............................. 1,892
--------
16,882
--------
Multi-Industry (1.0%):
26 Gencorp, Inc. ....................... 206
20 S&P Mid-Cap 400 Depository Receipt... 1,775
--------
1,981
--------
Raw Materials (9.6%):
115 A. Schulman, Inc. ................... 1,387
77 Applied Extrusion Tech, Inc. (b)..... 402
45 AptarGroup, Inc. .................... 1,202
5 Ball Corp. .......................... 151
80 Caraustar Industries, Inc. .......... 1,210
110 Cleveland Cliffs, Inc. .............. 2,840
30 Engelhard Corp. ..................... 512
68 Geon Co. ............................ 1,249
20 H.B. Fuller Co. ..................... 911
60 Lubrizol Corp. ...................... 1,260
20 Rayonier, Inc. ...................... 718
27 Reliance Steel & Aluminum Co. ....... 516
100 Rock-Tenn Co., Class A............... 856
98 RPM, Inc. ........................... 987
100 Ryerson Tull, Inc. .................. 1,038
45 Southern Peru Copper Corp. .......... 548
9 Steel Technologies, Inc. ............ 64
25 Stepan Co. .......................... 581
88 Wellman, Inc. ....................... 1,416
104 Worthington Industries, Inc. ........ 1,095
--------
18,943
--------
Real Estate Investment Trust (3.2%):
35 Centerpoint Properties Corp. ........ 1,426
90 Developers Divers Realty Corp. ...... 1,344
124 Great Lakes REIT, Inc. .............. 2,107
193 Thornburg Mortgage, Inc. ............ 1,384
--------
6,261
--------
Retail (6.9%):
35 Ames Department Stores, Inc. (b)..... 271
30 Ann Taylor Stores Corp. (b).......... 994
168 Bob Evans Farms, Inc. ............... 2,502
175 Bon-Ton Stores, Inc. (b)............. 405
56 Buffets, Inc. (b).................... 704
63 Burlington Coat Factory
Warehouse Corp. ................... 676
31 Consolidated Products, Inc. (b)...... 282
48 Delhaize America, Inc. .............. 840
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Retail, continued:
135 Dillard's, Inc. ..................... $ 1,654
95 Goody's Family Clothing, Inc. (b).... 523
13 IHOP Corp. (b)....................... 209
110 Lone Star Steakhouse & Saloon,
Inc. .............................. 1,114
85 Pier 1 Imports, Inc. ................ 829
44 Prime Hospitality Corp. (b).......... 415
35 Rex Stores Corp. (b)................. 816
63 Ruddick Corp. ....................... 738
16 Zale Corp. (b)....................... 584
--------
13,556
--------
Shelter (2.9%):
24 Beazer Homes USA, Inc. (b)........... 443
98 Crossmann Communities, Inc. ......... 1,623
25 D.R. Horton, Inc. ................... 339
100 Fleetwood Enterprises, Inc. ......... 1,425
20 MDC Holdings, Inc. .................. 373
26 Mohawk Industries, Inc. (b).......... 559
36 Ryland Group, Inc. .................. 797
15 Universal Forest Products, Inc. ..... 206
--------
5,765
--------
Technology (10.3%):
50 Ametek, Inc. ........................ 875
15 Analogic Corp. ...................... 600
118 Analysts International Corp. ........ 1,094
50 Arrow Electronics, Inc. (b).......... 1,550
60 BE Aerospace, Inc. (b)............... 413
95 Information Resources, Inc. (b)...... 374
63 Interim Services, Inc. (b)........... 1,109
57 Litton Industries, Inc. (b).......... 2,394
57 Park Electrochemical Corp. .......... 2,038
25 Photronics, Inc. (b)................. 709
63 Pioneer Standard Electronics,
Inc. .............................. 929
113 Structural Dynamics Research
Corp. (b).......................... 1,695
70 Tech Data Corp. (b).................. 3,048
113 Thomas & Betts Corp. ................ 2,152
160 X-Rite, Inc. ........................ 1,440
--------
20,420
--------
Transportation (4.2%):
95 Airborne Freight Corp. .............. 1,799
100 Alexander & Baldwin, Inc. ........... 2,206
55 Consolidated Freightways, Inc. ...... 1,251
145 J.B. Hunt Transport Services,
Inc. .............................. 2,239
50 Yellow Corp. (b)..................... 742
--------
8,237
--------
</TABLE>
Continued
52
<PAGE> 55
One Group Mutual Funds
Small Cap Value Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Utilities (3.5%):
105 Northwest Natural Gas Co. ........... $ 2,349
100 Ocean Energy, Inc. .................. 1,419
153 Teco Energy, Inc. ................... 3,060
--------
6,828
--------
Total Common Stocks 196,665
--------
INVESTMENT COMPANIES (0.5%):
961 One Group Prime Money Market Fund,
Class I............................ 961
--------
Total Investment Companies 961
--------
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING (3.2%):
Master Notes (0.4%):
$ 313 Bear Stearns, 7.40%, 7/3/00*......... 313
78 Danaher, 7.31%, 7/3/00*.............. 78
177 General Mills, 6.83%, 7/3/00*........ 177
78 Lehman Brothers, 7.44%, 7/3/00*...... 78
78 Willamette, 6.92%, 7/3/00*........... 78
--------
724
--------
Put Bonds (1.1%):
130 Associates Corp., 7.00%, 9/17/01*.... 132
208 Bank of America, 6.32%, 7/5/01*...... 212
156 Caterpillar Finance, 7.05%,
5/1/01*............................ 156
130 Chase Manhattan, 7.11%, 5/6/02*...... 130
130 Ford Motor, 7.03%, 4/11/02*.......... 130
130 GMAC, 7.07%, 5/3/01*................. 130
52 Greenwich Capital Markets, 7.10%,
7/9/01*............................ 52
130 J.P. Morgan & Co., 7.01%, 5/4/01*.... 130
156 Liberty Lighthouse, 7.08%,
4/12/02*........................... 156
130 Merrill Lynch, 7.16%, 5/6/02*........ 130
130 Salomon Smith Barney, 6.81%,
4/8/02*............................ 130
60 Salomon Smith Barney, 6.90%,
2/5/01*............................ 60
130 Sigma Financial, 6.93%, 1/22/01*..... 130
156 Sigma Financial, 6.91%, 5/15/01*..... 156
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING, CONTINUED:
Put Bonds, continued:
$ 209 SPARCC, 6.65%, 9/25/00*.............. $ 209
130 U.S. Bancorp, 6.78%, 5/8/02*......... 130
--------
2,173
--------
Repurchase Agreements (1.7%):
16 Bear Stearns, 6.83%, 7/3/00,
(Collateralized by $72 various U.S.
Government securities,
5.73% - 8.00%,
1/15/02 - 2/15/28, market value
$17)............................... 16
1,563 Goldman Sachs, 7.15%, 7/3/00,
(Collateralized by $1,654 various
Commercial Paper, 0.00%,
7/3/00 - 8/14/00, market value
$1,646)............................ 1,563
391 HSBC, 7.25%, 7/3/00, (Collateralized
by $653 various U.S. Government
securities, 0.00% - 15.75%,
11/15/00 - 4/15/29, market
value $398)........................ 391
144 Lehman Brothers, 7.18%, 7/3/00,
(Collateralized by $152 Galaxy
Funding Commercial Paper, 0.00%,
10/10/00, market value $149)....... 144
78 Lehman Brothers, 7.38%, 7/3/00,
(Collateralized by various equity
securities, market value $83)...... 78
1,302 Merrill Lynch, 7.20%, 7/3/00,
(Collateralized by $1,383 various
Commercial Paper, 0.00%,
7/3/00 - 3/9/01, market value
$1,367)............................ 1,302
--------
3,494
--------
Total Short-Term Securities Held as Collateral
for
Securities Lending
6,391
--------
Total (Cost $207,011) (a) $204,017
========
</TABLE>
------------
Percentages indicated are based on net assets of $197,229.
(a) Represents cost for financial reporting purposes and differs from cost basis
for federal income tax purposes by the amount of losses recognized for
financial reporting purposes in excess of federal income tax reporting of
approximately $865. Cost for federal income tax purposes differs from value
by net unrealized appreciation (depreciation) of securities as follows
(amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 18,720
Unrealized depreciation...................... (22,579)
--------
Net unrealized appreciation (depreciation)... $ (3,859)
========
</TABLE>
(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 prime rates or an index of market rates. The rate
reflected on the Schedule of Portfolio Investments is the rate in effect at
June 30, 2000.
See notes to financial statements.
53
<PAGE> 56
One Group Mutual Funds
Mid Cap Growth Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS (99.2%):
Business Equipment & Services (14.4%):
247 Acxiom Corp. (b).................... $ 6,903
425 Apollo Group, Inc., Class A (b)..... 11,889
215 Checkfree Holdings Corp. (b)........ 11,079
955 Cintas Corp. ....................... 35,038
374 Comdisco, Inc. ..................... 8,350
780 Concord EFS, Inc. (b)............... 20,276
99 Convergys Corp. (b)................. 5,155
167 CSG Systems International, Inc.
(b)............................... 9,358
772 Fiserv, Inc. (b).................... 33,391
484 Galileo International, Inc. ........ 10,093
69 Heidrick & Struggles International,
Inc. (b).......................... 4,356
395 Herman Miller, Inc. ................ 10,215
470 Manpower, Inc. ..................... 15,031
787 Nova Corp. (b)...................... 21,992
145 Nvidia Corp. (b).................... 9,245
18 Oni Systems Corp. (b)............... 2,133
352 QLogic Corp. (b).................... 23,239
959 Robert Half International, Inc.
(b)............................... 27,330
264 Viad Corp. ......................... 7,206
524 Waters Corp. (b).................... 65,421
----------
337,700
----------
Capital Goods (1.1%):
332 American Standard Cos., Inc. (b).... 13,610
214 Fastenal Co. ....................... 10,847
27 Quanta Services, Inc. .............. 1,441
----------
25,898
----------
Consumer Durable (1.6%):
110 Harley-Davidson, Inc. .............. 4,254
275 SPX Corp. (b)....................... 33,305
----------
37,559
----------
Consumer Non-Durable (2.3%):
517 Dial Corp. ......................... 5,365
422 Energizer Holdings, Inc. (b)........ 7,707
437 Hormel Foods Corp. ................. 7,347
422 McCormick & Co., Inc. .............. 13,707
393 Nabisco Group Holdings Corp. ....... 10,203
56 Payless Shoesource, Inc. (b)........ 2,850
291 Ralston Purina Group................ 5,811
----------
52,990
----------
Consumer Services (6.4%):
549 Hispanic Broadcasting Corp. (b)..... 18,182
209 International Speedway Corp. ....... 8,640
593 Readers Digest Association, Inc. ... 23,588
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Consumer Services, continued:
666 Univision Communications, Inc.
(b)............................... $ 68,908
911 Westwood One, Inc. (b).............. 31,097
----------
150,415
----------
Energy (5.0%):
233 BJ Services Co. (b)................. 14,539
508 Grant Prideco Inc. ................. 12,698
827 Nabors Industries, Inc. (b)......... 34,362
582 Noble Drilling Corp. (b)............ 23,969
258 Smith International, Inc. (b)....... 18,814
226 Transocean Sedco Forex, Inc. ....... 12,098
----------
116,480
----------
Financial Services (3.7%):
132 Cigna Corp. ........................ 12,357
91 First Tennessee National Corp. ..... 1,505
340 Legg Mason, Inc. ................... 17,004
335 National Commerce Bancorp. ......... 5,379
132 PNC Bank Corp. ..................... 6,164
445 Southtrust Corp. ................... 10,075
435 TD Waterhouse Group (b)............. 7,526
440 Waddell & Reed Financial, Inc.,
Class A........................... 14,447
284 Zions Bancorp. ..................... 13,028
----------
87,485
----------
Health Care (17.6%):
146 Beckman Coulter, Inc. .............. 8,518
670 Chiron Corp. (b).................... 31,848
147 Dentsply International, Inc. ....... 4,535
430 Forest Laboratories, Inc., Class A
(b)............................... 43,446
313 Genzyme Corp. (b)................... 18,613
200 Gilead Sciences, Inc. (b)........... 14,259
681 Health Management Associates,
Inc. (b).......................... 8,892
205 ICN Pharmaceuticals, Inc. .......... 5,711
200 Idec Pharmaceuticals Corp. (b)...... 23,416
86 Incyte Pharmaceuticals, Inc. (b).... 7,072
856 Ivax Corp. (b)...................... 35,524
198 MedImmune, Inc. (b)................. 14,641
465 Millennium Pharmaceuticals, Inc.
(b)............................... 51,968
165 Minimed, Inc. (b)................... 19,496
289 Oxford Health Plans, Inc. (b)....... 6,906
73 Quest Diagnostics, Inc. (b)......... 5,436
373 Sepracor, Inc. (b).................. 45,039
1,026 Stryker Corp. (b)................... 44,896
575 Sybron International Corp. (b)...... 11,394
202 Watson Pharmaceutical, Inc. (b)..... 10,845
----------
412,455
----------
</TABLE>
Continued
54
<PAGE> 57
One Group Mutual Funds
Mid Cap Growth Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Multi-Industry (0.8%):
72 Nasdaq-100 Shares (b)............... $ 6,737
126 S&P Mid-Cap 400 Depository
Receipt........................... 11,182
----------
17,919
----------
Raw Materials (0.9%):
70 Avery Dennison Corp. ............... 4,712
218 Praxair, Inc. ...................... 8,176
247 Rohm & Haas Co. .................... 8,519
----------
21,407
----------
Retail (5.3%):
323 Abercrombie & Fitch Co., Class A
(b)............................... 3,938
421 BJ's Wholesale Club, Inc. (b)....... 13,894
392 CDW Computer Center, Inc. (b)....... 24,524
381 Dollar Tree Stores, Inc. (b)........ 15,076
935 Family Dollar Stores, Inc. ......... 18,300
384 Hannaford Brothers Co. ............. 27,586
190 Kohl's Corp. (b).................... 10,568
89 Lands' End, Inc. (b)................ 2,965
365 Limited, Inc. ...................... 7,884
----------
124,735
----------
Shelter (0.4%):
175 Sealed Air Corp. (b) 9,181
----------
Technology (34.2%):
372 Adtran, Inc. (b).................... 22,245
188 Antec Corp. (b)..................... 7,801
29 Applied Materials, Inc. (b)......... 2,599
1,490 ATMEL Corp. (b)..................... 54,941
10 Bookham Technology PLC (b).......... 581
44 Broadcom Corp., Class A (b)......... 9,616
345 Burr-Brown Corp. (b)................ 29,881
1,199 Cadence Design Systems, Inc. (b).... 24,437
277 Commscope Inc. (b).................. 11,345
147 Comverse Technology, Inc. (b)....... 13,628
567 Cypress Semiconductor Corp. (b)..... 23,955
333 Electronic Arts, Inc. (b)........... 24,290
125 General Dynamics Corp. ............. 6,551
454 Integrated Device Technology,
Inc. (b).......................... 27,206
537 Intuit, Inc. (b).................... 22,208
214 Investment Technology Group,
Inc. (b).......................... 8,443
1,149 Jabil Circuit, Inc. (b)............. 57,024
235 Lam Research Corp. (b).............. 8,794
270 Macromedia, Inc. (b)................ 26,068
308 Micrel, Inc. (b).................... 13,395
294 Microchip Technology, Inc. (b)...... 17,137
168 Novellus Systems, Inc. (b).......... 9,484
50 PMC-Sierra, Inc. (b)................ 8,810
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
101 Polycom, Inc. (b)................... $ 9,541
324 Powerwave Technologies, Inc. (b).... 14,239
655 Rational Software Corp. (b)......... 60,914
192 Sawtek, Inc. (b).................... 11,052
1,031 SCI Systems, Inc. (b)............... 40,417
173 Semtech Corp. (b)................... 13,194
9 Sonus Networks, Inc. (b)............ 1,468
27 StorageNetworks, Inc. (b)........... 2,473
479 Symantec Corp. (b).................. 25,850
1,056 Symbol Technologies, Inc. .......... 58,822
193 Synopsys, Inc. (b).................. 6,676
218 Titan Corp. (b)..................... 9,774
218 Transwitch Corp. (b)................ 16,788
160 Triquint Semiconductor, Inc. (b).... 15,329
573 Vishay International, Inc. ......... 21,726
743 Vitesse Semiconductor Corp. (b)..... 54,629
160 Xilinx, Inc. (b).................... 13,237
----------
806,568
----------
Utilities (5.5%):
640 Broadwing, Inc. (b)................. 16,587
716 Calpine Corp. (b)................... 47,083
439 DPL, Inc. .......................... 9,638
446 Dynegy, Inc. ....................... 30,469
230 El Paso Energy Corp. ............... 11,732
118 Montana Power Co. .................. 4,153
230 Williams Co. ....................... 9,584
----------
129,246
----------
Total Common Stocks 2,330,038
----------
INVESTMENT COMPANIES (1.5%):
34,770 One Group Prime Money Market Fund,
Class I........................... 34,770
----------
Total Investment Companies 34,770
----------
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING (15.1%):
Master Notes (1.6%):
$16,724 Bear Stearns, 7.40%, 7/3/00*........ 16,724
4,181 Danaher Corp., 7.31%, 7/3/00*....... 4,181
9,477 General Mills, 6.83%, 7/3/00*....... 9,477
4,181 Lehman Brothers, 7.44%, 7/3/00*..... 4,181
4,181 Willamette, 6.92%, 7/3/00*.......... 4,181
----------
38,744
----------
Put Bonds (5.5%):
6,968 Associates Corp., 7.00%, 9/17/01*... 7,046
11,149 Bank of America, 6.32%, 7/5/01*..... 11,277
8,362 Caterpillar Financial, 7.05%,
5/1/01*........................... 8,362
6,968 Chase Manhattan, 7.11%, 5/6/02*..... 6,968
</TABLE>
Continued
55
<PAGE> 58
One Group Mutual Funds
Mid Cap Growth Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING, CONTINUED:
Put Bonds, continued:
$ 6,968 Ford Motor, 7.03%, 4/11/02*......... $ 6,968
6,968 GMAC, 7.07%, 5/3/01*................ 6,968
2,787 Greenwich Capital, 7.10%, 7/9/01*... 2,787
12,894 Greenwich Capital, 7.11%,
12/2/02*.......................... 12,894
6,968 J.P. Morgan & Co., 7.01%, 5/4/01*... 6,968
8,362 Liberty Lighthouse, 7.08%,
4/12/02*.......................... 8,359
6,968 Merrill Lynch, 7.16%, 5/6/02*....... 6,968
3,205 Salomon Smith Barney, 6.90%,
2/5/01*........................... 3,205
6,968 Salomon Smith Barney, 6.81%,
4/8/02*........................... 6,968
6,968 Sigma Finance, Inc., 6.93%,
1/22/01*.......................... 6,968
8,363 Sigma Finance, Inc., 6.91%,
5/15/01*.......................... 8,363
11,150 SPARCC, 6.65%, 9/25/00*............. 11,150
6,968 U.S. Bancorp, 6.78%, 5/8/02*........ 6,968
----------
129,187
----------
Repurchase Agreements (8.0%):
$ 851 Bear Stearns, 6.83%, 7/3/00,
(Collateralized by $3,868 various
U.S. Government securities,
5.73% - 8.00%, 1/15/02 - 2/15/28,
market value $925)................ 851
----------
83,619 Goldman Sachs, 7.15%, 7/3/00,
(Collateralized by $88,489 various
Commercial Paper, 0.00%,
7/3/00 - 8/14/00, market value
$88,094).......................... 83,619
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING, CONTINUED:
Repurchase Agreements, continued:
$20,905 HSBC, 7.25%, 7/3/00, (Collateralized
by $34,937 various U.S. Government
securities, 0.00% - 15.75%,
11/15/00 - 4/15/29, market value
$21,323).......................... $ 20,905
4,181 Lehman Brothers, 7.38%, 7/3/00,
(Collateralized by various equity
securities, market value
$4,432)........................... 4,181
7,725 Lehman Brothers, 7.18%, 7/3/00,
(Collateralized by $8,112 Galaxy
Funding Commercial Paper, 0.00%,
10/10/00, market value $7,958).... 7,725
69,683 Merrill Lynch, 7.20%, 7/3/00,
(Collateralized by $74,026 various
Commerical Paper, 0.00%,
7/3/00 - 3/9/01, market value
$73,168).......................... 69,683
----------
186,964
----------
Total Short-Term Securities Held as Collateral
for Securities Lending 354,895
----------
Total (Cost $2,298,181) (a) $2,719,703
==========
</TABLE>
------------
Percentages indicated are based on net assets of $2,349,259.
(a) Represents cost for financial reporting purposes and differs from cost basis
for federal income tax purposes by the amount of losses recognized for
financial reporting purposes in excess of federal income tax reporting of
approximately $41,748. Cost for federal income tax purposes differs from
value by net unrealized appreciation (depreciation) of securities as follows
(amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $451,471
Unrealized depreciation...................... (71,697)
--------
Net unrealized appreciation (depreciation)... $379,774
========
</TABLE>
(b) Non-income producing securities.
* The interest rate for this variable rate note, which will change
periodically, is based upon prime rates or an index of market rates. The rate
reflected on the Schedule of Portfolio Investments is the rate in effect at
June 30, 2000.
See notes to financial statements.
56
<PAGE> 59
One Group Mutual Funds
Mid Cap Value Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS (93.9%):
Business Equipment & Services (6.5%):
184 A.C. Nielson Corp. (b).............. $ 4,050
149 Affiliated Computer Services, Inc.
(b)............................... 4,913
344 Comdisco, Inc. ..................... 7,676
185 DST Systems, Inc. (b)............... 14,068
190 Jacobs Engineering Group, Inc.
(b)............................... 6,220
376 MarchFirst, Inc. (b)................ 6,862
314 Modis Professional Services, Inc.
(b)............................... 2,392
203 Reynolds & Reynolds Co. ............ 3,705
196 Sensormatic Electronics Corp. (b)... 3,099
428 Sungard Data Systems, Inc. (b)...... 13,253
209 Viad Corp. ......................... 5,695
----------
71,933
----------
Capital Goods (5.1%):
161 Agco Corp. ......................... 1,972
296 Diebold, Inc. ...................... 8,263
53 Dover Corp. ........................ 2,150
194 Harsco Corp. ....................... 4,942
223 Hubbell, Inc., Class B.............. 5,684
117 Mark IV Industries, Inc. ........... 2,444
122 Martin Marietta Materials, Inc. .... 4,921
99 Precision Castparts Corp. .......... 4,457
92 Southdown, Inc. .................... 5,284
94 Tecumseh Products Co. .............. 3,574
100 Teleflex, Inc. ..................... 3,589
188 USG Corp. .......................... 5,702
105 York International Corp. ........... 2,646
----------
55,628
----------
Consumer Durable (1.2%):
114 Borg-Warner Automotive, Inc. ....... 3,990
384 Federal Mogul Corp. ................ 3,668
244 Lear Corp. (b)...................... 4,878
----------
12,536
----------
Consumer Non-Durable (6.5%):
66 Blyth Industries, Inc. ............. 1,944
83 Dean Foods Co. ..................... 2,621
305 Dole Food Co., Inc. ................ 4,266
415 Energizer Holdings, Inc. (b)........ 7,579
392 Flowers Industries, Inc. ........... 7,821
465 IBP, Inc. .......................... 7,177
236 Jones Apparel Group, Inc. (b)....... 5,556
106 Lancaster Colony Corp. ............. 2,024
238 Mohawk Industries, Inc. (b)......... 5,183
414 R.J. Reynolds Tobacco Holdings,
Inc. ............................. 11,561
115 Suiza Foods Corp. (b)............... 5,621
487 Tyson Foods, Inc., Class A.......... 4,262
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Consumer Non-Durable, continued:
402 Whittman Corp. ..................... $ 4,971
----------
70,586
----------
Consumer Services (6.0%):
413 A.H. Belo Corp., Series A (b)....... 7,143
82 Chris-Craft Industries, Inc. (b).... 5,411
314 Harte-Hanks, Inc. .................. 7,845
85 Houghton Mifflin Co. ............... 3,954
117 International Game Technology (b)... 3,106
15 Lee Enterprises, Inc. .............. 357
343 Mandalay Resort Group (b)........... 6,850
931 Park Place Entertainment Corp.
(b)............................... 11,340
194 Premier Parks, Inc. (b)............. 4,402
25 Washington Post Co. ................ 11,760
76 Westwood One, Inc. (b).............. 2,583
----------
64,751
----------
Energy (6.2%):
25 BJ Services Co. (b)................. 1,563
19 Capstone Turbine Corp. (b).......... 867
343 Devon Energy Corp. ................. 19,243
196 Murphy Oil Corp. ................... 11,656
114 Newfield Exploration Co. (b)........ 4,441
171 Tosco Corp. ........................ 4,853
107 Transocean Offshore Sedco
Forex, Inc. ...................... 5,702
250 Ultramar Diamond Shamrock Corp. .... 6,196
316 Weatherford International, Inc.
(b)............................... 12,588
----------
67,109
----------
Financial Services (17.9%):
149 A.G. Edwards, Inc. ................. 5,792
123 Allmerica Financial Corp. (b)....... 6,453
266 AMBAC Financial Group, Inc. ........ 14,552
198 American Financial Group, Inc. ..... 4,923
98 CCB Financial Corp. ................ 3,626
134 Charter One Financial, Inc. ........ 3,075
246 City National Corp. ................ 8,562
290 Compass Bancshares, Inc. ........... 4,950
267 Dime Bancorp, Inc. ................. 4,212
744 E*Trade Group, Inc. (b)............. 12,275
185 Everest Reinsurnace Group, Ltd. .... 6,079
343 Finova Group, Inc. ................. 4,453
393 First Security Corp. ............... 5,334
214 First Tennessee National Corp. ..... 3,544
224 FirstMerit Corp. ................... 4,790
93 GATX Corp. ......................... 3,176
251 Greenpoint Financial Corp. ......... 4,706
747 Hibernia Corp., Class A............. 8,120
40 John Hancock Financial Services
(b)............................... 948
</TABLE>
Continued
57
<PAGE> 60
One Group Mutual Funds
Mid Cap Value Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Financial Services, continued:
58 Legg Mason, Inc. ................... $ 2,895
205 Marshall & Ilsley Corp. ............ 8,508
278 Mercantile Bankshares Corp. ........ 8,285
405 North Fork Bancorp, Inc. ........... 6,127
145 Old Republic International Corp. ... 2,389
370 Pacific Century Financial Corp. .... 5,413
62 Paine Webber Group, Inc. ........... 2,835
199 PMI Group, Inc. .................... 9,433
38 Progressive Corp. .................. 2,775
57 Provident Financial Group, Inc. .... 1,353
53 Radian Group, Inc. ................. 2,758
121 Reliastar Financial Corp. .......... 6,345
211 Southtrust Corp. ................... 4,767
48 Sovereign Bancorp, Inc. ............ 339
69 SunTrust Banks, Inc. ............... 3,162
63 TCF Financial Corp. ................ 1,623
138 Unitrin, Inc. ...................... 4,042
58 Wilmington Trust Corp. ............. 2,492
55 XL Capital, Ltd., Class A........... 2,950
164 Zions Bancorp. ..................... 7,526
----------
195,587
----------
Health Care (5.7%):
105 Covance, Inc. (b)................... 924
123 Edwards Lifescience International
(b)............................... 2,268
97 Express Scripts, Inc. (b)........... 5,995
407 Foundation Health Systems, Inc.
Class A (b)....................... 5,288
628 Health Management Associates,
Inc. (b).......................... 8,203
30 Incyte Pharmaceuticals, Inc. (b).... 2,466
132 Lincare Holdings, Inc. (b).......... 3,258
299 Mylan Laboratories, Inc. ........... 5,449
209 Omnicare, Inc. ..................... 1,890
61 Pacificare Health Systems, Inc.
(b)............................... 3,647
112 Steris Corp. (b).................... 997
202 Tenet Healthcare Corp. ............. 5,446
109 Trigon Healthcare, Inc. (b)......... 5,595
54 Universal Health Services, Inc.
(b)............................... 3,544
125 Watson Pharmaceuticals, Inc. (b).... 6,719
----------
61,689
----------
Raw Materials (4.6%):
272 AK Steel Holding Corp. ............. 2,175
329 Cabot Corp. ........................ 8,959
572 Crompton Corp. ..................... 7,002
103 Cytec Industries, Inc. (b).......... 2,548
105 Dexter Corp. ....................... 5,026
111 Ferro Corp. ........................ 2,339
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Raw Materials, continued:
106 IMC Global, Inc. ................... $ 1,383
365 Lubrizol Corp. ..................... 7,657
120 Lyondell Chemical Co. .............. 2,007
50 Minerals Technologies, Inc. ........ 2,291
106 Olin Corp. ......................... 1,754
625 RPM, Inc. .......................... 6,328
----------
49,469
----------
Retail (4.3%):
232 Abercrombie & Fitch Co. (b)......... 2,821
159 Barnes & Noble, Inc. (b)............ 3,533
187 Borders Group, Inc. (b)............. 2,912
277 Brinker International, Inc. (b)..... 8,109
129 Claire's Stores, Inc. .............. 2,489
205 Furniture Brands International,
Inc. (b).......................... 3,105
46 Hannaford Brothers Co. ............. 3,329
40 Kohl's Corp. (b).................... 2,242
78 Lands End, Inc. (b)................. 2,603
209 Limited, Inc. ...................... 4,524
127 Neiman-Marcus Group, Inc. (b)....... 3,757
244 Outback Steakhouse, Inc. (b)........ 7,143
----------
46,567
----------
Shelter (4.3%):
201 Bowater, Inc. ...................... 8,886
131 Chesapeake Corp. ................... 3,872
446 Clayton Homes, Inc. ................ 3,570
171 Consolidated Papers, Inc. .......... 6,245
146 HON Industries, Inc. ............... 3,429
188 Pentair, Inc. ...................... 6,685
81 Rayonier, Inc. ..................... 2,913
399 Shaw Industry, Inc. ................ 4,985
276 Sonoco Products Co. ................ 5,681
----------
46,266
----------
Technology (4.8%):
235 Arrow Electronics, Inc. (b)......... 7,288
61 Avnet, Inc. ........................ 3,626
279 Harris Corp. ....................... 9,131
106 L-3 Communications Holdings,
Inc. (b).......................... 6,020
114 Lam Research Corp. (b).............. 4,260
124 Litton Industries, Inc. (b)......... 5,204
92 SCI Systems, Inc. (b)............... 3,617
497 Storage Technology Corp. (b)........ 5,439
93 Structual Dynamics Research
Corp. (b)......................... 1,402
212 Sybase, Inc. (b).................... 4,871
</TABLE>
Continued
58
<PAGE> 61
One Group Mutual Funds
Mid Cap Value Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
20 Vishay Intertechnology, Inc. (b).... $ 759
----------
51,617
----------
Transportation (1.3%):
167 Alaska Air Group, Inc. (b).......... 4,541
161 Alexander & Baldwin, Inc. .......... 3,541
260 CNF Transportation, Inc. ........... 5,917
----------
13,999
----------
Utilities (19.5%):
405 Allegheny Energy, Inc. ............. 11,089
231 American Water Works, Inc. ......... 5,768
487 Broadwing, Inc. (b)................. 12,618
124 CMS Energy Corp. ................... 2,735
123 Coastal Corp. ...................... 7,500
218 Conectiv, Inc. ..................... 3,393
177 DQE, Inc. .......................... 6,984
30 Dynegy, Inc. ....................... 2,049
445 Energy East Corp. .................. 8,487
201 Interstate Energy Corp. ............ 5,231
212 Ipalco Enterprises, Inc. ........... 4,273
123 Kansas City Power & Light Co. ...... 2,759
252 Keyspan Corp. ...................... 7,743
382 Kinder Morgan Inc. ................. 13,205
316 L G & E Energy Corp. ............... 7,540
231 Montana Power Co. .................. 8,150
244 Niagara Mohawk Holdings, Inc. (b)... 3,404
375 NiSource Corp. ..................... 6,983
492 Northeast Utilities................. 10,696
142 NSTAR (b)........................... 5,761
191 OGE Energy Corp. ................... 3,541
102 Pinnacle West Capital Corp. ........ 3,438
233 Potomac Electric Power Co. ......... 5,833
162 Puget Sound Energy, Inc. ........... 3,444
548 Questar Corp. ...................... 10,623
127 SCANA Corp. ........................ 3,055
288 Sierra Pacific Resources............ 3,621
250 TECO Energy, Inc. .................. 5,010
185 Telephone & Data Systems, Inc. ..... 18,565
303 UtiliCorp United, Inc. ............. 6,030
211 Williams Cos., Inc. ................ 8,809
225 Wisconsin Energy Corp. ............. 4,460
----------
212,797
----------
Total Common Stocks 1,020,534
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS (0.2%):
U.S. Treasury Bills (0.2%):
$ 2,000 8/24/00............................. $ 1,984
----------
Total U.S. Treasury Obligations 1,984
----------
INVESTMENT COMPANIES (1.3%):
13,778 One Group Prime Money Market Fund,
Class I........................... 13,778
----------
Total Investment Companies 13,778
----------
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING (4.5%):
Master Notes (0.5%):
$ 2,217 Bear Stearns, 7.40%, 7/3/00*........ 2,217
555 Danaher Corp., 7.31%, 7/3/00*....... 555
1,257 General Mills, 6.83%, 7/3/00*....... 1,257
555 Lehman Brothers, 7.44%, 7/3/00*..... 555
555 Williamette, 6.92%, 7/3/00*......... 555
----------
5,139
----------
Put Bonds (1.7%):
924 Associates Corp., 7.00%, 9/17/01*... 935
1,479 Bank of America, 6.32%, 7/5/01*..... 1,497
1,109 Caterpillar Finance, 7.05%,
5/1/01*........................... 1,109
924 Chase Manhattan, 7.11%, 5/6/02*..... 924
924 Ford Motor, 7.03%, 4/11/02*......... 924
924 GMAC, 7.07%, 5/3/01*................ 924
3,421 Goldman Sachs, 7.13%, 11/21/00*..... 3,421
370 Greenwich Capital, 7.10%, 7/9/01*... 370
924 J.P. Morgan & Co., 7.01%, 5/4/01*... 924
1,109 Liberty Lighthouse, 7.08%,
4/12/02*.......................... 1,109
924 Merrill Lynch, 7.16%, 5/6/02*....... 924
425 Salomon Smith Barney, 6.90%,
2/5/01*........................... 425
924 Salomon Smith Barney, 6.81%,
4/8/02*........................... 924
1,109 Sigma Finance, Inc., 6.91%,
5/15/01*.......................... 1,109
924 Sigma Finance, Inc., 6.93%,
1/22/01*.......................... 924
1,479 SPARCC, 6.65%, 9/25/00*............. 1,479
924 U.S. Bancorp., 6.78%, 5/8/02*....... 924
----------
18,846
----------
Repurchase Agreements (2.3%):
113 Bear Stearns, 6.83%, 7/3/00,
(Collateralized by $513 various
U.S. Government securities,
5.73% - 8.00%, 1/15/02 - 2/15/28,
market value $123)................ 113
11,091 Goldman Sachs, 7.15%, 7/3/00,
(Collateralized by $11,737 various
Commercial Paper, 0.00%,
7/3/00 - 8/14/00, market value
$11,685).......................... 11,091
</TABLE>
Continued
59
<PAGE> 62
One Group Mutual Funds
Mid Cap Value Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING, CONTINUED:
Repurchase Agreements, continued:
$ 2,773 HSBC, 7.25%, 7/3/00, (
Collateralized by $4,634 various
U.S. Government securities,
0.00% - 15.75%,
11/15/00 - 4/15/29, market value
$2,828)........................... $ 2,773
555 Lehman Brothers, 7.38%, 7/3/00,
(Collateralized by various equity
securities, market value $588).... 555
1,025 Lehman Brothers, 7.18%, 7/3/00,
(Collateralized by $1,076 Galaxy
Funding Commercial Paper, 0.00%,
10/10/00, market value $1,056).... 1,025
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING, CONTINUED:
Repurchase Agreements, continued:
$ 9,243 Merrill Lynch, 7.20%, 7/3/00,
(Collateralized by $9,819 various
Commercial Paper, 0.00%,
7/3/00 - 3/9/01, market value
$9,705)........................... $ 9,243
----------
24,800
----------
Total Short-Term Securities Held as Collateral
for Securities Lending 48,785
----------
Total (Cost $1,083,874) (a) $1,085,081
==========
</TABLE>
------------
Percentages indicated are based on net assets of $1,086,034.
(a) Represents cost for financial reporting purposes and differs from cost basis
for federal income tax purposes by the amount of losses recognized for
financial reporting purposes in excess of federal income tax reporting of
approximately $10,640. Cost for federal income tax purposes differs from
value by net unrealized appreciation (depreciation) of securities as follows
(amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 93,990
Unrealized depreciation...................... (103,423)
---------
Net unrealized appreciation (depreciation)... $ (9,433)
=========
</TABLE>
(b) Non-income producing securities.
* The interest rate for this variable rate note, which will change
periodically, is based upon prime rates or an index of market rates. The rate
reflected on the Schedule of Portfolio Investments is the rate in effect at
June 30, 2000.
See notes to financial statements.
60
<PAGE> 63
One Group Mutual Funds
Diversified Mid Cap Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS (95.8%):
Business Equipment & Services (11.8%):
324 Ceridian Corp. (b).................. $ 7,795
172 Cintas Corp. ....................... 6,294
300 Concord EFS, Inc. (b)............... 7,794
216 DST Systems, Inc. (b)............... 16,429
181 Fiserv, Inc. (b).................... 7,819
177 Jacobs Engineering Group, Inc.
(b)............................... 5,797
229 Manpower, Inc. ..................... 7,319
80 QLogic Corp. (b).................... 5,315
253 Reynolds & Reynolds, Class A........ 4,620
395 Sungard Data Systems, Inc. (b)...... 12,240
283 Waters Corp. (b).................... 35,269
147 Young & Rubicam, Inc. .............. 8,426
----------
125,117
----------
Capital Goods (4.0%):
351 Crane Co. .......................... 8,533
162 Harsco Corp. ....................... 4,120
174 IDEXX Corp. ........................ 5,507
265 Littelfuse, Inc. (b)................ 12,964
59 Sanmina Corp. (b)................... 5,046
178 Teleflex, Inc. ..................... 6,368
----------
42,538
----------
Commercial Services (4.0%):
179 A. H. Belo Corp. ................... 3,093
464 Charter Communications, Inc. (b).... 7,623
141 Hispanic Broadcasting Corp. (b)..... 4,681
205 New York Times Co. ................. 8,079
139 Reader's Digest Association,
Inc. ............................. 5,534
130 Univision Communications, Inc.
(b)............................... 13,458
----------
42,468
----------
Consumer Durable (3.6%):
358 Borg-Warner Automotive, Inc. ....... 12,559
328 Dana Corp. ......................... 6,940
101 SPX Corp. (b)....................... 12,203
504 Tower Automotive, Inc. (b).......... 6,298
----------
38,000
----------
Consumer Non-Durable (4.6%):
515 AptarGroup, Inc. ................... 13,893
378 Dole Food Co. ...................... 5,290
558 IBP, Inc. .......................... 8,613
85 Liz Claiborne, Inc. ................ 2,981
299 McCormick & Co. .................... 9,716
679 Whitman Corp. ...................... 8,398
----------
48,891
----------
Energy (8.3%):
147 Apache Corp. ....................... 8,630
160 BJ Services Co. (b)................. 10,004
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Energy, continued:
205 Devon Energy Corp. ................. $ 11,535
219 Grant Prideco, Inc. (b)............. 5,481
103 Murphy Oil Corp. ................... 6,101
251 Nabors Industries, Inc. (b)......... 10,411
197 Nobile Drilling Corp. (b)........... 8,121
75 Smith International, Inc. (b)....... 5,489
116 Tosco Corp. ........................ 3,284
189 Transocean Sedco Forex, Inc. ....... 10,103
219 Weatherford International, Inc.
(b)............................... 8,728
----------
87,887
----------
Financial Services (9.6%):
294 A.G. Edwards, Inc. ................. 11,476
305 Associated Banc Corp. .............. 6,644
734 Banknorth Group, Inc. .............. 11,244
136 City National Corp. ................ 4,711
268 Compass Bancshares, Inc. ........... 4,567
391 Everest Re Group, Ltd. ............. 12,853
360 Finova Group, Inc. ................. 4,680
486 First Tennessee National Corp. ..... 8,051
286 Heller Financial, Inc. ............. 5,863
256 Radian Group, Inc. ................. 13,269
297 TD Waterhouse Group (b)............. 5,135
153 Transatlantic Holdings, Inc. ....... 12,790
----------
101,283
----------
Health Care (8.6%):
122 Forest Laboratories, Inc. (b)....... 12,301
46 Gilead Sciences, Inc. (b)........... 3,252
1,047 Health Management Association, Inc.,
Class A (b)....................... 13,680
128 ICN Pharmaceuticals, Inc. .......... 3,549
85 Incyte Genomics, Inc. (b)........... 6,966
191 Ivax Corp. (b)...................... 7,942
98 MedImmune, Inc. (b)................. 7,250
31 Minimed, Inc. (b)................... 3,627
80 Sepracor, Inc. (b).................. 9,619
192 Sybron International Corp. (b)...... 3,798
142 Universal Health Services, Inc.,
Class B (b)....................... 9,317
174 Watson Pharmaceutical, Inc. (b)..... 9,346
----------
90,647
----------
Raw Materials (2.1%):
437 Crompton Corp. ..................... 5,356
136 Lubrizol Corp. ..................... 2,851
241 OM Group, Inc. ..................... 10,601
330 RPM, Inc. .......................... 3,340
----------
22,148
----------
</TABLE>
Continued
61
<PAGE> 64
One Group Mutual Funds
Diversified Mid Cap Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Retail (6.0%):
296 Barnes & Noble, Inc. (b)............ $ 6,579
131 BJ's Wholesale Club, Inc. (b)....... 4,325
133 Brinker International Inc., (b)..... 3,905
144 Dollar Tree Stores, Inc. (b)........ 5,699
359 Kohl's Corp. (b).................... 19,985
213 Kroger Co. (b)...................... 4,705
412 Limited, Inc. ...................... 8,918
147 Radioshack Corp. ................... 6,961
77 Zale Corp. (b)...................... 2,824
----------
63,901
----------
Shelter (1.2%):
151 Bowater, Inc. ...................... 6,667
396 Leggett & Platt, Inc. .............. 6,538
----------
13,205
----------
Technology (20.4%):
109 Altera Corp. (b).................... 11,083
351 Ametek, Inc. ....................... 6,148
124 Analog Devices, Inc. (b)............ 9,452
145 Arrow Electronics, Inc. (b)......... 4,494
479 Atmel Corp. (b)..................... 17,650
365 Cadence Design System, Inc. (b)..... 7,444
135 Comverse Technology, Inc. (b)....... 12,510
100 Electronic Arts, Inc. (b)........... 7,275
4 Integrated Device Technology,
Inc. (b).......................... 268
271 Intuit, Inc. (b).................... 11,201
312 Jabil Circuit, Inc. (b)............. 15,497
5 Lam Research Corp. (b).............. 181
80 Lexmark International, Inc. (b)..... 5,382
134 Linear Technology Corp. ............ 8,591
119 Maxim Integrated Products, Inc.
(b)............................... 8,055
96 PE Corp-PE Biosystems Group......... 6,338
215 Rational Software Corp. (b)......... 19,975
281 SCI Systems, Inc. (b)............... 11,001
107 Symantec Corp. (b).................. 5,746
266 Symbol Technologies, Inc. .......... 14,344
126 Synopsys, Inc. (b).................. 4,350
90 Teradyne, Inc. (b).................. 6,597
148 Vishay Intertechnology, Inc. (b).... 5,605
95 Vitesse Semiconductor Corp. (b)..... 6,982
121 Xilinx, Inc. (b).................... 9,983
----------
216,152
----------
Transportation (0.3%):
106 Alaska Airgroup, Inc. (b)........... 2,886
----------
Utilities (11.3%):
365 Allegheny Energy, Inc. ............. 10,001
186 Calpine Corp. (b)................... 12,199
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Utilities, continued:
211 Constellation Energy Group.......... $ 6,874
179 Dynegy, Inc. ....................... 12,198
180 El Paso Energy Corp. ............... 9,159
318 Energy East Corp. .................. 6,069
151 Florida Progress Corp. ............. 7,068
187 Kinder Morgan, Inc. ................ 6,473
282 Montana Power Co. .................. 9,953
456 Northeast Utilities................. 9,914
128 Pinnacle West Capital Corp. ........ 4,322
190 Potomac Electric Power Co. ......... 4,756
133 Puget Sound Energy, Inc. ........... 2,843
99 Scana Corp. ........................ 2,384
275 Sierra Pacific Resources............ 3,456
113 Telephone and Data Systems, Inc. ... 11,312
----------
118,981
----------
Total Common Stocks 1,014,104
----------
INVESTMENT COMPANIES (4.1%):
43,016 One Group Prime Money Market Fund,
Class I........................... 43,016
----------
Total Investment Companies 43,016
----------
REPURCHASE AGREEMENTS (0.2%):
$ 2,205 State Street Bank and Trust, 6.45%,
7/3/00, (Collateralized by $2,350
Fannie Mae, 5.13%, 12/13/04,
market value $2,254).............. 2,205
----------
Total Repurchase Agreements 2,205
----------
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING (9.8%):
Master Notes (1.1%):
5,035 Bear Stearns, 7.40%, 7/3/00*........ 5,035
1,259 Danaher, 7.31%, 7/3/00*............. 1,259
2,853 General Mills, 6.83%, 7/3/00*....... 2,853
1,259 Lehman Brothers, 7.44%, 7/3/00*..... 1,259
1,259 Willamette, 6.92%, 7/3/00*.......... 1,259
----------
11,665
----------
Put Bonds (3.3%):
2,098 Associates Corp, 7.00%, 9/17/01*.... 2,121
3,357 Bank of America, 6.32%, 7/5/01*..... 3,395
2,518 Caterpillar Finance, 7.05%,
5/1/01*........................... 2,518
2,098 Chase Manhattan, 7.11%, 5/6/02*..... 2,098
2,098 Ford Motor Credit, 7.03%,
4/11/02*.......................... 2,098
2,098 GMAC, 7.07%, 5/3/01*................ 2,098
270 Goldman Sachs, 7.13%, 11/21/00*..... 270
839 Greenwich Capital Markets, 7.10%,
7/9/01*........................... 839
2,098 J.P. Morgan & Co., 7.01%, 5/4/01*... 2,098
</TABLE>
Continued
62
<PAGE> 65
One Group Mutual Funds
Diversified Mid Cap Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING, CONTINUED:
Put Bonds, continued:
$ 2,518 Liberty Lighthouse, 7.08%,
4/12/02*.......................... $ 2,517
2,098 Merrill Lynch, 7.16%, 5/6/02*....... 2,098
965 Salomon Smith Barney, 6.90%,
2/5/01*........................... 965
2,098 Salomon Smith Barney, 6.81%,
4/8/02*........................... 2,098
2,098 Sigma Financial, 6.93%, 1/22/01*.... 2,098
2,518 Sigma Financial, 6.91%, 5/15/01*.... 2,518
3,357 SPARCC, 6.45%, 9/25/00*............. 3,357
2,098 U.S. Bancorp, 6.78%, 5/8/02*........ 2,098
----------
35,284
----------
Repurchase Agreements (5.4%):
256 Bear Stearns, 6.83%, 7/3/00,
(Collateralized by $1,165 various
U.S. Government securities,
5.73% - 8.00%, 1/15/02 - 2/15/28,
market value $278)................ 256
25,175 Goldman Sachs, 7.15%, 7/3/00,
(Collateralized by $26,641 various
Commercial Paper, 0.00%,
7/3/00 - 8/14/00, market value
$26,522).......................... 25,175
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING, CONTINUED:
Repurchase Agreements, continued:
$ 6,294 HSBC, 7.25%, 7/3/00, (Collateralized
by $10,518 various U.S. Government
securities, 0.00% - 15.75%,
11/15/00 - 4/15/29, market value
$6,420)........................... $ 6,294
1,258 Lehman Brothers, 7.38%, 7/3/00
(Collateralized by various equity
securities, market value
$1,334)........................... 1,258
2,326 Lehman Brothers, 7.18%, 7/3/00,
(Collateralized by $2,442 Galaxy
Funding Commercial Paper, 0.00%,
10/10/00, market value $2,396).... 2,326
20,978 Merrill Lynch, 7.20%, 7/3/00,
(Collateralized by $22,287 various
Commercial Paper, 0.00%,
7/3/00 - 3/9/01, market value
$22,028).......................... 20,978
----------
56,287
----------
Total Short-Term Securities Held as Collateral
for Securities Lending 103,236
----------
Total (Cost $941,854) (a) $1,162,561
==========
</TABLE>
------------
Percentages indicated are based on net assets of $1,057,462.
(a) Represents cost for financial reporting purposes and differs from cost basis
for federal income tax purposes by the amount of losses recognized for
financial reporting purposes in excess of federal income tax reporting of
approximately $1,628. Cost for federal income tax purposes differs from
value by net unrealized appreciation (depreciation) of securities as follows
(amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $271,559
Unrealized depreciation...................... (52,480)
--------
Net unrealized appreciation (depreciation)... $219,079
========
</TABLE>
(b) Non-income producing securities.
* The interest rate for this variable rate note, which will change
periodically, is based upon prime rates or an index of market rates. The rate
reflected on the Schedule of Portfolio Investments is the rate in effect at
June 30, 2000.
See notes to financial statements.
63
<PAGE> 66
One Group Mutual Funds
Large Cap Growth Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS (100.0%):
Business Equipment & Services (4.6%):
1,175 America Online, Inc. (b)............ $ 61,970
554 Automatic Data Processing, Inc...... 29,658
508 eBay, Inc. (b)...................... 27,604
1,789 eToys, Inc. (b)..................... 11,346
78 Infospace, Inc. (b)................. 4,289
175 Inktomi Corp. (b)................... 20,742
537 Interpublic Group Co., Inc.......... 23,079
235 Waters Corp. (b).................... 29,322
113 Yahoo, Inc. (b)..................... 14,044
----------
222,054
----------
Capital Goods (7.2%):
6,260 General Electric Co................. 331,784
282 Tyco International, Ltd............. 13,336
----------
345,120
----------
Consumer Durable (0.3%):
369 Harley-Davidson, Inc................ 14,224
----------
Consumer Non-Durable (3.8%):
333 Anheuser Busch Co., Inc............. 24,860
933 Coca-Cola Co........................ 53,581
1,030 Gillette Co......................... 35,982
319 PepsiCo, Inc........................ 14,161
831 Philip Morris Co., Inc.............. 22,078
239 Proctor & Gamble Co................. 13,693
966 Sara Lee Corp....................... 18,649
----------
183,004
----------
Consumer Services (2.6%):
264 Clear Channel Communications, Inc.
(b)............................... 19,769
439 Comcast Corp., Class A (b).......... 17,793
395 Time Warner, Inc.................... 30,030
865 Viacom, Inc. (b).................... 58,976
----------
126,568
----------
Financial Services (1.8%):
683 Charles Schwab Corp................. 22,951
139 Firstar Corp........................ 2,920
262 Freddie Mac......................... 10,620
207 Merrill Lynch & Co., Inc............ 23,816
271 Providian Financial Corp............ 24,391
----------
84,698
----------
Health Care (15.8%):
743 Abbott Labs......................... 33,106
282 Allergan, Inc....................... 20,997
871 American Home Products Corp......... 51,196
933 Amgen, Inc. (b)..................... 65,549
203 Baxter International, Inc. (b)...... 14,300
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Health Care, continued:
988 Bristol Myers Squibb Co............. $ 57,569
400 Eli Lilly & Co...................... 39,912
659 Guidant Corp. (b)................... 32,629
626 HCA-The Healthcare Co............... 19,013
145 Human Genome Sciences, Inc. (b)..... 19,293
182 Johnson & Johnson................... 18,533
1,046 Medtronic, Inc...................... 52,098
475 Merck & Co., Inc.................... 36,391
4,360 Pfizer, Inc......................... 209,299
266 Pharmacia Corp...................... 13,727
1,104 Schering Plough Corp................ 55,749
166 Sepracor, Inc. (b).................. 20,012
----------
759,373
----------
Multi-Industry (1.7%):
174 Corning, Inc........................ 46,886
232 S&P 500 Depositary Receipt.......... 33,705
----------
80,591
----------
Raw Materials (0.2%):
116 Praxair, Inc........................ 4,329
127 Rohm & Haas Co...................... 4,387
----------
8,716
----------
Retail (6.0%):
628 Costco Wholesale Corp. (b).......... 20,709
424 CVS Corp............................ 16,960
858 Home Depot, Inc..................... 42,858
538 Kohl's Corp. (b).................... 29,931
1,119 Kroger Co. (b)...................... 24,685
578 Safeway, Inc. (b)................... 26,062
1,545 Wal-Mart Stores, Inc................ 89,013
1,243 Walgreen Co......................... 40,018
----------
290,236
----------
Shelter (0.8%):
137 International Paper Co.............. 4,082
524 Kimberly Clark Corp................. 30,045
82 Sealed Air Corp. (b)................ 4,303
----------
38,430
----------
Technology (49.9%):
588 ADC Telecommunications, Inc. (b).... 49,307
260 Adobe Systems, Inc.................. 33,744
332 Adtran, Inc. (b).................... 19,852
152 Agilent Technologies, Inc. (b)...... 11,215
112 Altera Corp. (b).................... 11,448
693 Applied Materials, Inc. (b)......... 62,837
361 Atmel Corp. (b)..................... 13,297
121 BMC Software, Inc. (b).............. 4,400
174 Broadcom Corp., Class A (b)......... 38,005
</TABLE>
Continued
64
<PAGE> 67
One Group Mutual Funds
Large Cap Growth Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
1,211 Cadence Design Systems, Inc. (b).... $ 24,673
4,514 Cisco Systems, Inc. (b)............. 285,791
344 Compaq Computer Corp................ 8,803
310 Comverse Technology, Inc. (b)....... 28,806
2,054 Dell Computer Corp. (b)............. 101,284
1,674 EMC Corp. (b)....................... 128,762
44 Foundry Networks, Inc. (b).......... 4,891
213 Hewlett Packard Co.................. 26,638
2,229 Intel Corp.......................... 298,029
1,129 IBM Corp............................ 123,684
174 JDS Uniphase Corp. (b).............. 20,893
127 Juniper Networks, Inc. (b).......... 18,556
357 KLA-Tencor Corp. (b)................ 20,879
245 Linear Technology Corp.............. 15,658
1,912 Lucent Technologies, Inc............ 113,292
199 Maxim Integrated Products, Inc.
(b)............................... 13,535
354 Micron Technology, Inc. (b)......... 31,141
2,967 Microsoft Corp. (b)................. 237,397
231 Network Appliance, Inc. (b)......... 18,576
246 Nortel Networks Corp................ 16,757
1,335 Oracle Corp. (b).................... 112,255
1,543 Parametric Technology Corp. (b)..... 16,975
466 PE Corp-PE Biosystems Group......... 30,679
177 PMC-Sierra, Inc. (b)................ 31,401
344 Qualcomm, Inc. (b).................. 20,629
377 Rational Software Corp. (b)......... 35,032
63 Redback Networks, Inc. (b).......... 11,177
1,261 Sun Microsystems, Inc. (b).......... 114,699
59 Sycamore Networks, Inc. (b)......... 6,478
403 Symantec Corp. (b).................. 21,725
534 Symbol Technologies, Inc............ 29,715
625 Tellabs, Inc. (b)................... 42,754
411 Teradyne, Inc. (b).................. 30,231
939 Texas Instruments, Inc.............. 64,514
70 Tibco Software, Inc. (b)............ 7,502
140 Veritas Software Corp. (b).......... 15,809
346 Xilinx, Inc. (b).................... 28,567
----------
2,402,292
----------
Transportation (0.2%):
121 Kansas City Southern Industries,
Inc............................... 10,687
----------
Utilities (5.1%):
192 AES Corp. (b)....................... 8,753
403 El Paso Energy Corp................. 20,527
252 Enron Corp.......................... 16,271
387 Mcleod, Inc. (b).................... 8,009
220 Metromedia Fiber Network, Inc.
(b)............................... 8,734
519 Nextel Communications, Inc., Class A
(b)............................... 31,769
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Utilities, continued:
170 Nextlink Communications, Inc. (b)... $ 6,442
264 Qwest Communications International
(b)............................... 13,107
342 Sprint Corp. (b).................... 20,331
241 U.S. West, Inc...................... 20,665
219 Voicestream Wireless Corp. (b)...... 25,426
488 Williams Co......................... 20,351
990 Worldcom, Inc. (b).................. 45,397
----------
245,782
----------
Total Common Stocks 4,811,775
----------
INVESTMENT COMPANIES (1.1%):
53,230 One Group Prime Money Market Fund,
Class I........................... 53,230
----------
Total Investment Companies 53,230
----------
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING (6.3%):
Master Notes (0.7%):
$13,916 Bear Stearns, 7.40%, 7/3/00*........ 13,916
3,479 Danaher, 7.31%, 7/3/00*............. 3,479
7,886 General Mills, 6.83%, 7/3/00*....... 7,886
3,479 Lehman Brothers, 7.44%, 7/3/00*..... 3,479
3,479 Willamette, 6.92%, 7/3/00*.......... 3,479
----------
32,239
----------
Put Bonds (2.4%):
5,798 Associates Corp., 7.00%, 9/17/01*... 5,863
9,277 Bank of America, 6.32%, 7/5/01*..... 9,384
6,959 Caterpillar Finance, 7.05%,
5/1/01*........................... 6,959
5,798 Chase Manhattan, 7.11%, 5/6/02*..... 5,798
5,798 Ford Motor Credit, 7.03%,
4/11/02*.......................... 5,798
5,798 GMAC, 7.07%, 5/3/01*................ 5,798
460 Goldman Sachs, 7.13%, 11/21/00*..... 460
16,000 Greenwich Capital, 7.11%,
12/2/02*.......................... 16,000
2,319 Greenwich Capital, 7.10%, 7/9/01*... 2,319
5,798 J.P. Morgan & Co., 7.01%, 5/4/01*... 5,798
2,440 Lehman Brothers, 6.91%, 9/4/01*..... 2,440
6,958 Liberty Lighthouse, 7.08%,
4/12/02*.......................... 6,955
5,798 Merrill Lynch, 7.16%, 5/6/02*....... 5,798
2,667 Salomon Smith Barney, 6.90%,
2/5/01*........................... 2,667
5,798 Salomon Smith Barney, 6.81%,
4/8/02*........................... 5,798
6,959 Sigma Finance, Inc., 6.91%,
5/15/01*.......................... 6,959
5,798 Sigma Financial, 6.93%, 1/22/01*.... 5,798
9,278 SPARCC, 6.65%, 9/25/00*............. 9,278
5,798 U.S. Bancorp, 6.78%, 5/8/02*........ 5,798
----------
115,668
----------
</TABLE>
Continued
65
<PAGE> 68
One Group Mutual Funds
Large Cap Growth Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING, CONTINUED:
Repurchase Agreements (3.2%):
$ 708 Bear Stearns, 6.83%, 7/3/00,
(Collateralized by $3,219 various
U.S. Government securities,
5.73% - 8.00%, 1/15/02 - 2/15/28,
market value $769)................ $ 708
69,581 Goldman Sachs, 7.15%, 7/3/00,
(Collateralized by $73,632 various
Commercial Paper, 0.00%, 7/3/00 -
8/14/00, market value $73,304).... 69,581
17,395 HSBC, 7.25%, 7/3/00, (Collateralized
by $29,071 various U.S. Government
securities, 0.00% - 15.75%,
11/15/00 - 4/15/29, market value
$17,743).......................... 17,395
3,479 Lehman Brothers, 7.38%, 7/3/00,
(Collateralized by various equity
securities, market value
$3,688)........................... 3,479
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING, CONTINUED:
Repurchase Agreements, continued:
$ 6,428 Lehman Brothers, 7.18%, 7/3/00,
(Collateralized by $6,750 Galaxy
Funding Commercial Paper, 0.00%,
10/10/00, market value $6,622).... $ 6,428
57,984 Merrill Lynch, 7.20%, 7/3/00,
(Collateralized by $61,598 various
Commercial Paper, 0.00%, 7/3/00 -
3/9/01, market value $60,884)..... 57,984
----------
155,575
----------
Total Short-Term Securities Held as Collateral
for Securities Lending 303,482
----------
Total (Cost $3,351,850) (a) $5,168,487
==========
</TABLE>
------------
Percentages indicated are based on net assets of $4,814,453.
(a) Represents cost for financial reporting purposes and differs from cost basis
for federal income tax purposes by the amount of losses recognized for
financial reporting purposes in excess of federal income tax reporting of
approximately $21,048. Cost for federal income tax purposes differs from
value by net unrealized appreciation (depreciation) of securities as follows
(amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $1,868,884
Unrealized depreciation...................... (73,295)
----------
Net unrealized appreciation (depreciation)... $1,795,589
==========
</TABLE>
(b) Non-income producing securities.
* The interest rate for this variable rate note, which will change
periodically, is based upon prime rates or an index of market rates. The rate
reflected on Schedule of Portfolio Investments is the rate in effect at June
30, 2000.
See notes to financial statements.
66
<PAGE> 69
One Group Mutual Funds
Large Cap Value Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS (100.6%):
Business Equipment & Services (1.5%):
314 Ceridian Corp. (b).................. $ 7,556
233 Electronic Data Systems Corp. ...... 9,611
75 First Data Corp. ................... 3,722
112 Staples, Inc. (b)................... 1,722
----------
22,611
----------
Capital Goods (3.6%):
38 Black & Decker Corp. ............... 1,494
77 Caterpillar, Inc. .................. 2,608
116 Crane Co. .......................... 2,820
120 Deere & Co. ........................ 4,440
97 Dover Corp. ........................ 3,935
105 Emerson Electric Co. ............... 6,339
30 Grainger W.W., Inc. ................ 924
124 Illinois Tool Works, Inc. .......... 7,068
28 Johnson Controls, Inc. ............. 1,437
83 Parker-Hannifin Corp. .............. 2,843
38 Sanmina Corp. (b)................... 3,249
406 Tyco International, Ltd. ........... 19,235
----------
56,392
----------
Consumer Durable (2.4%):
92 Dana Corp. ......................... 1,949
95 Danaher Corp. ...................... 4,697
207 Delphi Automotive Systems Corp. .... 3,014
17 Eaton Corp. ........................ 1,139
311 Ford Motor Co. ..................... 13,372
200 General Motors Corp. ............... 11,613
60 Genuine Parts Co. .................. 1,200
41 Visteon Corp. (b)................... 494
----------
37,478
----------
Consumer Non-Durable (3.6%):
142 Archer-Daniels-Midland Co. ......... 1,393
119 Coca-Cola Enterprises............... 1,941
78 Conagra, Inc. ...................... 1,487
87 Eastman Kodak Co. .................. 5,177
236 Fort James Corp. ................... 5,458
104 Nabisco Group Holdings.............. 2,698
66 Newell Rubbermaid, Inc. ............ 1,700
819 Philip Morris Cos., Inc. ........... 21,753
164 Seagram Co., Ltd. .................. 9,512
331 Whittman Corp. ..................... 4,096
----------
55,215
----------
Consumer Services (5.6%):
164 Carnival Corp., Class A............. 3,198
118 Cendant Corp. (b)................... 1,652
103 Clear Channel Communications,
Inc. (b).......................... 7,725
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Consumer Services, continued:
156 Comcast Corp. (b)................... $ 6,318
71 Gannett, Inc. ...................... 4,247
65 Marriott International, Inc., Class
A................................. 2,344
48 McGraw-Hill Cos., Inc. ............. 2,592
41 New York Times Co. ................. 1,620
101 Tribune Co. ........................ 3,535
257 Viacom, Inc. (b).................... 17,555
231 Viacom, Inc., Class A (b)........... 15,795
521 Walt Disney Co. .................... 20,220
----------
86,801
----------
Energy (10.7%):
87 Burlington Resources, Inc. ......... 3,328
58 Chevron Corp. ...................... 4,919
1,001 Exxon Mobil Corp. .................. 78,585
345 Occidental Petroleum Corp. ......... 7,267
37 Phillips Petroleum Co. ............. 1,875
425 Royal Dutch Petroleum Co. .......... 26,163
153 Schlumberger Ltd. .................. 11,418
172 Texaco, Inc. ....................... 9,159
165 Tosco Corp. ........................ 4,672
152 Transocean Sedco Forex, Inc. ....... 8,123
109 Unocal Corp. ....................... 3,611
275 USX-Marathon Group, Inc. ........... 6,892
----------
166,012
----------
Financial Services (26.6%):
158 AFLAC, Inc. ........................ 7,258
199 American Express Co. ............... 10,373
374 American International Group,
Inc. ............................. 43,885
136 Associates First Capital Corp.,
Class A........................... 3,035
437 Bank of America Corp. .............. 18,805
241 Bank of New York Co., Inc. ......... 11,207
157 Capital One Financial Corp. ........ 7,006
455 Chase Manhattan Corp. .............. 20,935
107 Cigna Corp. ........................ 10,005
140 Cincinnati Financial Corp. ......... 4,401
956 Citigroup, Inc. .................... 57,598
115 Comerica, Inc. ..................... 5,161
278 Compass Bancshares, Inc. ........... 4,743
184 Fannie Mae.......................... 9,603
65 Fifth Third Bancorp................. 4,111
530 Firstar Corp. ...................... 11,171
400 Fleetboston Financial Corp. ........ 13,614
442 Freddie Mac......................... 17,901
81 Hartford Financial Services
Group, Inc. ...................... 4,531
391 Hibernia Corp., Class A............. 4,252
</TABLE>
Continued
67
<PAGE> 70
One Group Mutual Funds
Large Cap Value Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Financial Services, continued:
245 Household International, Inc. ...... $ 10,183
309 John Hancock Financial Services,
Inc. (b).......................... 7,317
72 Marsh & McLennan Co. ............... 7,520
229 Mellon Financial Corp. ............. 8,344
144 Merrill Lynch & Co. ................ 16,560
183 Metlife, Inc. (b)................... 3,854
46 MGIC Investment Corp. .............. 2,093
384 Morgan Stanley Dean Witter Discover
& Co. ............................ 31,967
164 Paine Webber Group, Inc. ........... 7,462
182 PNC Bank Corp. ..................... 8,531
28 Progressive Corp. .................. 2,072
47 Providian Financial Corp. .......... 4,230
171 SunTrust Banks, Inc. ............... 7,813
103 Washington Mutual, Inc. ............ 2,980
549 Wells Fargo Co. .................... 21,274
----------
411,795
----------
Health Care (4.9%):
449 American Home Products Corp. ....... 26,378
192 Baxter International, Inc. ......... 13,472
192 Guidant Corp. (b)................... 9,504
159 HCA-The Healthcare Corp. ........... 4,830
116 Pharmacia Corp. .................... 5,996
281 Tenet Healthcare Corp. (b).......... 7,587
162 Watson Pharmaceutical, Inc. (b)..... 8,708
----------
76,475
----------
Multi Industry (1.6%):
195 Honeywell International, Inc. ...... 6,569
178 Minnesota Mining & Manufacturing
Co. .............................. 14,685
29 Textron, Inc. ...................... 1,575
28 TRW, Inc. .......................... 1,215
----------
24,044
----------
Raw Materials (3.7%):
414 Alcoa, Inc. ........................ 12,005
390 Dow Chemical Co. ................... 11,773
165 Du Pont (EI) De Nemours & Co. ...... 7,219
288 Engelhard Corp. .................... 4,914
236 Inco, Ltd. (b)...................... 3,629
212 Praxair, Inc. ...................... 7,937
234 Rohm & Haas Co. .................... 8,073
33 Vulcan Materials Co. ............... 1,409
----------
56,959
----------
Retail (5.4%):
296 Albertsons, Inc. ................... 9,842
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Retail, continued:
313 Costco Wholesale Corp. (b).......... $ 10,326
255 CVS Corp. .......................... 10,200
389 Kroger Co. (b)...................... 8,591
388 Limited, Inc. ...................... 8,391
337 McDonald's Corp. ................... 11,100
283 Safeway, Inc. (b)................... 12,770
67 Target Corp. ....................... 3,886
501 Wendy's International, Inc. ........ 8,924
----------
84,030
----------
Shelter (1.0%):
353 International Paper Co. ............ 10,523
136 Leggett & Platt, Inc. .............. 2,244
136 Masco Corp. ........................ 2,457
3 Pentair, Inc. ...................... 107
----------
15,331
----------
Technology (10.1%):
77 3Com Corp. (b)...................... 4,437
95 Agilent Technologies, Inc. (b)...... 7,039
129 Andrew Corp. (b).................... 4,330
116 Apple Computer, Inc. (b)............ 6,076
303 Boeing Co. ......................... 12,669
124 Cabletron Systems, Inc. (b)......... 3,131
583 Compaq Computer Corp. .............. 14,902
98 Gateway, Inc. (b)................... 5,562
108 General Dynamics Corp. ............. 5,643
381 Global Crossing, Ltd. (b)........... 10,025
225 Hewlett-Packard Co. ................ 28,096
48 Kla-Tencor Corp. (b)................ 2,811
174 Lam Research Corp. (b).............. 6,525
85 Lockheed Martin Corp. .............. 2,109
66 Microsoft Corp. (b)................. 5,280
259 Motorola, Inc. ..................... 7,527
267 Parametric Technology Corp. (b)..... 2,935
285 Peoplesoft, Inc. (b)................ 4,774
73 Raytheon Co., Class B............... 1,405
39 Rockwell International Corp. ....... 1,229
58 Seagate Technology, Inc. (b)........ 3,190
177 Solectron Corp. (b)................. 7,412
29 Teradyne, Inc. (b).................. 2,161
129 United Technologies Corp. .......... 7,595
----------
156,863
----------
Transportation (0.6%):
50 Kansas City Southern Industries,
Inc. ............................. 4,434
80 United Parcel Service, Inc., Class
B................................. 4,720
----------
9,154
----------
</TABLE>
Continued
68
<PAGE> 71
One Group Mutual Funds
Large Cap Value Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Utilities (19.3%):
107 AES Corp. (b)....................... $ 4,882
97 Alltel Corp. ....................... 6,008
704 AT&T Corp. ......................... 22,260
740 Bell Atlantic Corp. ................ 37,600
381 BellSouth Corp. .................... 16,240
100 Centurytel, Inc. ................... 2,869
281 Coastal Corp. ...................... 17,106
48 Consolidated Edison, Inc. .......... 1,422
128 Constellation Energy Group.......... 4,168
41 Dominion Resources, Inc. of
Virginia.......................... 1,758
83 Duke Energy Corp. .................. 4,679
330 Edison International................ 6,765
252 Enron Corp. ........................ 16,254
195 Entergy Corp. ...................... 5,302
149 Florida Power & Light Group,
Inc. ............................. 7,376
89 Florida Progress Corp. ............. 4,172
119 Peco Energy Corp. .................. 4,797
82 Pinnacle West Capital Corp. ........ 2,778
100 Public Service Enterprises, Inc. ... 3,463
234 Reliant Energy, Inc. ............... 6,918
793 SBC Communications, Inc. ........... 34,292
93 Southern Co. ....................... 2,168
424 Sprint Corp. ....................... 21,624
66 U.S. West, Inc. .................... 5,660
350 Williams Co., Inc. ................. 14,591
947 Worldcom, Inc. (b).................. 43,443
----------
298,595
----------
Total Common Stocks 1,557,755
----------
INVESTMENT COMPANIES (2.5%):
38,701 One Group Prime Money Market Fund,
Class I........................... 38,701
----------
Total Investment Companies 38,701
----------
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING (7.8%):
Master Notes (0.8%):
$ 5,405 Bear Stearns, 7.40%, 7/3/00*........ 5,405
1,352 Danaher, 7.31%, 7/3/00*............. 1,352
3,063 General Mills, 6.83%, 7/3/00*....... 3,063
1,352 Lehman Brothers, 7.44%, 7/3/00*..... 1,352
1,352 Willamette, 6.92%, 7/3/00*.......... 1,352
----------
12,524
----------
Put Bonds (3.0%):
2,253 Associates Corp., 7.00%, 9/17/01*... 2,278
3,604 Bank of America, 6.32%, 7/5/01*..... 3,644
2,703 Caterpillar Finance, 7.05%,
5/1/01*........................... 2,703
2,253 Chase Manhattan, 7.11%, 5/6/02*..... 2,253
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING, CONTINUED:
Put Bonds, continued:
2,253 Ford Motor, 7.03%, 4/11/02*......... $ 2,253
$ 2,253 GMAC, 7.07%, 5/3/01*................ 2,253
1,380 Goldman Sachs, 7.13%, 11/21/00*..... 1,380
901 Greenwich Capital Markets, 7.10%,
7/9/01*........................... 901
2,253 J.P. Morgan & Co., 7.01%, 5/4/01*... 2,253
8,055 Lehman Brothers, 6.91%, 9/4/01*..... 8,055
2,703 Liberty Lighthouse, 7.08%,
4/12/02*.......................... 2,702
2,253 Merrill Lynch, 7.16%, 5/6/02*....... 2,253
1,036 Salomon Smith Barney, 6.90%,
2/5/01*........................... 1,036
2,253 Salomon Smith Barney, 6.81%,
4/8/02*........................... 2,253
2,253 Sigma Financial, 6.93%, 1/22/01*.... 2,253
2,703 Sigma Financial, 6.91%, 5/15/01*.... 2,703
3,603 SPARCC, 6.65%, 9/25/00*............. 3,603
2,253 U.S. Bancorp, 6.78%, 5/8/02*........ 2,253
----------
47,029
----------
Repurchase Agreements (4.0%):
275 Bear Stearns, 6.83%, 7/3/00,
(Collateralized by $1,250 various
U.S. Government securities,
5.73% - 8.00%, 1/15/02 - 2/15/28,
market value $299)................ 275
27,030 Goldman Sachs, 7.15%, 7/3/00,
(Collateralized by $28,605 various
Commercial Paper, 0.00%, 7/3/00 -
8/14/00, market value $28,477).... 27,030
6,758 HSBC, 7.25%, 7/3/00, (Collateralized
by $11,294 various U.S. Government
securities, 0.00% - 15.75%,
11/15/00 - 4/15/29, market value
$6,893)........................... 6,758
2,497 Lehman Brothers, 7.18%, 7/3/00,
(Collateralized by $2,622 Galaxy
Funding Commercial Paper, 0.00%,
10/10/00, market value $2,572).... 2,497
1,352 Lehman Brothers, 7.38%, 7/3/00,
(Collateralized by various equity
securities, market value
$1,433)........................... 1,352
$22,526 Merrill Lynch, 7.20%, 7/3/00,
(Collateralized by $23,930 various
Commercial Paper, 0.00%, 7/3/00 -
3/9/01, market value $23,652)..... 22,526
----------
60,438
----------
Total Short-Term Securities Held as Collateral
for Securities Lending 119,991
----------
Total (Cost $1,580,758) (a) $1,716,447
==========
</TABLE>
Continued
69
<PAGE> 72
One Group Mutual Funds
Large Cap Value Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
------------
Percentages indicated are based on net assets of $1,548,187.
(a) Represents cost for financial reporting purposes and differs from cost basis
for federal income tax purposes by the amount of losses recognized for
financial reporting purposes in excess of federal income tax reporting of
approximately $21,887. Cost for federal income tax purposes differs from
value by net unrealized appreciation (depreciation) of securities as follows
(amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $207,726
Unrealized depreciation...................... (93,924)
--------
Net unrealized appreciation (depreciation)... $113,802
========
</TABLE>
(b) Non-income producing securities.
* The interest rate for this variable rate note, which will change
periodically, is based upon prime rates or an index of market rates. The rate
reflected on the Schedule of Portfolio Investments is the rate in effect at
June 30, 2000.
See notes to financial statements.
70
<PAGE> 73
One Group Mutual Funds
Equity Income Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS (93.9%):
Business Equipment & Services (1.7%):
140 Automatic Data Processing, Inc. ..... $ 7,498
70 Electronic Data Systems Corp. ....... 2,888
80 Interpublic Group, Inc. ............. 3,440
--------
13,826
--------
Capital Goods (8.3%):
150 Emerson Electric Co. ................ 9,056
1,000 General Electric Co. ................ 53,001
75 Johnson Controls, Inc. .............. 3,848
150 Sherwin-Williams Co. ................ 3,178
--------
69,083
--------
Consumer Durable (2.2%):
250 Ford Motor Co. ...................... 10,749
120 General Motors Corp. ................ 6,968
33 Visteon Corp. (b).................... 397
--------
18,114
--------
Consumer Non-Durable (7.9%):
220 Coca-Cola Co. ....................... 12,635
325 ConAgra, Inc. ....................... 6,195
80 Eastman Kodak Co. ................... 4,760
75 General Mills, Inc. ................. 2,869
150 Gillette Co. ........................ 5,241
100 McCormick & Co., Inc. ............... 3,250
50 Nike, Inc. .......................... 1,991
150 PepsiCo, Inc. ....................... 6,665
225 Philip Morris Co., Inc. ............. 5,977
100 Proctor & Gamble Co. ................ 5,725
60 Quaker Oats Co. ..................... 4,508
115 Ralston Purina Group................. 2,293
200 Sara Lee Corp. ...................... 3,863
--------
65,972
--------
Consumer Services (2.5%):
250 Belo (A.H.) Corp., Class A........... 4,328
150 McGraw-Hill Co., Inc. ............... 8,100
225 Walt Disney Co. ..................... 8,733
--------
21,161
--------
Energy (9.3%):
100 BP Amoco ADR......................... 5,656
470 Exxon Mobil Corp. ................... 36,896
125 Halliburton Co. ..................... 5,898
350 Royal Dutch Petroleum Co. ........... 21,547
135 Texaco, Inc. ........................ 7,162
--------
77,159
--------
Financial Services (15.6%):
160 Aegon NV............................. 5,700
100 Allstate Corp. ...................... 2,225
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Financial Services, continued:
150 American Express Co. ................ $ 7,819
25 American International Group......... 2,938
250 Bank of America Corp. ............... 10,749
188 Chase Manhattan Corp. ............... 8,636
40 Cigna Corp. ......................... 3,740
450 Citigroup, Inc. ..................... 27,112
190 Fannie Mae........................... 9,915
220 First Tennessee National Corp. ...... 3,644
121 Franchise Finance Corp. of America... 2,790
70 J.P. Morgan & Co., Inc. ............. 7,709
20 Lincoln National Corp. .............. 723
70 Marsh & McLennan Co. ................ 7,311
70 Merrill Lynch........................ 8,050
75 National City Corp. ................. 1,280
200 Pacific Century Financial Corp. ..... 2,925
100 SouthTrust Corp. .................... 2,263
215 U.S. Bancorp......................... 4,139
250 Wells Fargo Co. ..................... 9,687
--------
129,355
--------
Health Care (14.6%):
110 Abbott Labs.......................... 4,902
360 American Home Products Co. .......... 21,149
210 Baxter International, Inc. .......... 14,766
250 Bristol Myers Squibb Co. ............ 14,563
100 Johnson & Johnson.................... 10,188
150 Merck & Co., Inc. ................... 11,494
656 Pfizer, Inc. ........................ 31,499
250 Schering Plough Corp. ............... 12,625
--------
121,186
--------
Multi-Industry (1.1%):
100 Honeywell International Inc. ........ 3,369
70 Minnesota Mining &
Manufacturing Co. ................. 5,775
--------
9,144
--------
Raw Materials (2.1%):
165 Air Products & Chemical, Inc. ....... 5,084
225 Dow Chemical Co. .................... 6,792
130 Du Pont (EI) de Nemours & Co. ....... 5,688
--------
17,564
--------
Retail (5.2%):
150 Albertsons, Inc. .................... 4,988
175 McDonald's Corp. .................... 5,764
450 Wal-Mart Stores, Inc. ............... 25,930
200 Walgreen Co. ........................ 6,438
--------
43,120
--------
</TABLE>
Continued
71
<PAGE> 74
One Group Mutual Funds
Equity Income Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Shelter (6.1%):
125 Archstone Communities Trust.......... $ 2,639
78 Avalon Bay Communities, Inc. ........ 3,265
130 Carramerica Realty Corp. ............ 3,450
100 Colonial Properties Trust............ 2,738
175 Developers Diversified Realty
Corp. ............................. 2,614
158 Duke Realty Investments, Inc. ....... 3,541
131 Equity Office Properties Trust....... 3,605
78 Equity Residential Properties
Trust.............................. 3,589
215 Kimberly Clark Corp. ................ 12,335
80 Kimco Realty Corp. .................. 3,264
70 Public Storage, Inc. ................ 1,641
100 Simon Property Group, Inc. .......... 2,219
69 Spieker Properties, Inc. ............ 3,174
80 Vornado Realty Trust................. 2,780
--------
50,854
--------
Technology (7.6%):
125 Boeing Co. .......................... 5,227
225 Compaq Computer Corp. ............... 5,752
120 Hewlett Packard Co. ................. 14,984
215 IBM Corp............................. 23,555
200 Motorola, Inc. ...................... 5,813
130 United Technologies Corp. ........... 7,654
--------
62,985
--------
Transportation (1.0%):
210 Canadian National Railway Co. ....... 6,129
40 United Parcel Service, Class B....... 2,360
--------
8,489
--------
Utilities (8.7%):
90 American Electric Power, Inc. ....... 2,666
285 AT&T Corp. .......................... 9,013
190 BellSouth Corp. ..................... 8,099
60 El Paso Energy Corp. ................ 3,056
150 Entergy Corp. ....................... 4,078
190 GTE Corp. ........................... 11,828
150 Northern States Power Co. ........... 3,028
400 SBC Communications, Inc. ............ 17,300
285 Sierra Pacific Resources............. 3,580
190 Sprint Corp. ........................ 9,690
--------
72,338
--------
Total Common Stocks 780,350
--------
CONVERTIBLE BONDS (2.4%):
Health Care (0.2%):
1,000 Alza Corp., 5.00%, 5/1/06............ 1,579
--------
Industrial Goods & Services (0.4%):
2,500 Athena Neuroscience, 4.75%,
11/15/04........................... 3,500
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
CONVERTIBLE BONDS, CONTINUED:
Multi-Industry (0.3%):
40 Metlife Capital Trust, 8.00%,
5/15/03 (b)........................ $ 2,768
--------
Shelter (0.5%):
5,000 Hilton Hotels Corp., 5.00%,
5/15/06............................ 3,975
--------
Utilities (1.0%):
125 El Paso Energy Corp., 4.75%,
3/31/28............................ 8,047
--------
Total Convertible Bonds 19,869
--------
CONVERTIBLE PREFERRED STOCKS (2.6%):
Consumer Non-Durable (1.0%):
300 Ingersoll-Rand Co. (b)............... 6,112
75 Ralston Purina Group................. 2,311
--------
8,423
--------
Financial Services (0.5%):
70 St. Paul Capital (b)................. 4,183
--------
Multi-Industry (1.1%):
25 Estee Lauder Ace Trust............... 2,113
75 Georgia Pacific Group (b)............ 2,400
100 Monsanto Co. ........................ 4,524
--------
9,037
--------
Total Convertible Preferred Stocks 21,643
--------
INVESTMENT COMPANIES (0.6%):
4,903 One Group Prime Money Market Fund,
Class I............................ 4,903
--------
Total Investment Companies 4,903
--------
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING (0.9%):
Master Notes (0.1%):
$ 368 Bear Stearns, 7.40%, 7/3/00*......... 368
92 Danaher Corp., 7.31%, 7/3/00*........ 92
209 General Mills, Inc., 6.83%,
7/3/00*............................ 209
92 Lehman Brothers, 7.44%, 7/3/00*...... 92
92 Willamette, 6.92%, 7/3/00*........... 92
--------
853
--------
Put Bonds (0.3%):
154 Associates Corp., 7.00%, 9/17/01*.... 155
246 Bank of America, 6.32%, 7/5/01*...... 248
184 Caterpillar Finance, 7.05%,
5/1/01*............................ 184
154 Chase Manhattan, 7.11%, 5/6/02*...... 154
154 Ford Motor, 7.03%, 4/11/02*.......... 154
154 GMAC, 7.07%, 5/3/01*................. 154
61 Greenwich Capital, 7.10%, 7/9/01*.... 61
154 J.P. Morgan & Co., 7.01%, 5/4/01*.... 154
184 Liberty Lighthouse, 7.08%, 4/12/02
*.................................. 183
154 Merrill Lynch, 7.16%, 5/6/02*........ 154
</TABLE>
Continued
72
<PAGE> 75
One Group Mutual Funds
Equity Income Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING, CONTINUED:
Put Bonds, continued:
$ 154 Salomon Smith Barney, 6.81%,
4/8/02*............................ $ 154
71 Salomon Smith Barney, 6.90%,
2/5/01*............................ 71
154 Sigma Financial, Inc., 6.93%,
1/22/01*........................... 154
183 Sigma Financial, Inc., 6.91%,
5/15/01*........................... 183
245 SPARCC, 6.65%, 9/25/00*.............. 245
154 U.S. Bancorp, 6.78%, 5/8/02*......... 154
--------
2,562
--------
Repurchase Agreements (0.5%):
19 Bear Stearns Mortgage Capital, 6.83%,
7/3/00*, (Collateralized by $85
various U.S. Government securities,
5.73% - 8.00%, 1/15/02 - 2/15/28,
market value $20).................. 19
1,843 Goldman Sachs, 7.15%, 7/3/00,
(Collateralized by $1,950 various
Commercial Paper, 0.00%, 7/3/00 -
8/14/00, market value
$1,941)............................ 1,843
461 HSBC, 7.25%, 7/3/00, (Collateralized
by $770 various U.S. Government
securities, 0.00% - 15.75%,
11/15/00 - 4/15/29, market value
$470).............................. 461
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING, CONTINUED:
Repurchase Agreements, continued:
$ 92 Lehman Brothers, 7.38%, 7/3/00,
(Collateralized by various equity
securities, market value $98)...... $ 92
170 Lehman Brothers, 7.18%, 7/3/00,
(Collateralized by $179 Galaxy
Funding Commercial Paper, 0.00%,
10/10/00, market value $175)....... 170
1,535 Merrill Lynch, 7.20%, 7/3/00,
(Collateralized by $1,631 various
Commercial Paper, 0.00%, 7/3/00 -
3/9/01, market value $1,612)....... 1,535
--------
4,120
--------
Total Short-Term Securities Held as Collateral
for Securities Lending 7,535
--------
Total (Cost $475,487) (a) $834,300
========
</TABLE>
------------
Percentages indicated are based on net assets of $831,067.
(a) Represents cost for financial reporting purposes and differs from cost basis
for federal income tax purposes by the amount of losses recognized for
financial reporting purposes in excess of federal income tax reporting of
approximately $37. Cost for federal income tax purposes differs from value
by net unrealized appreciation (depreciation) of securities as follows
(amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $378,843
Unrealized depreciation...................... (20,067)
--------
Net unrealized appreciation (depreciation)... $358,776
========
</TABLE>
(b) Non-income producing securities.
* The interest rate for this variable rate note, which will change
periodically, is based upon prime rates or an index of market rates. The rate
reflected on the Schedule of Portfolio Investments is the rate in effect at
June 30, 2000.
See notes to financial statements.
73
<PAGE> 76
One Group Mutual Funds
Diversified Equity Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS (98.8%):
Business Equipment & Services (3.6%):
428 America Online, Inc. (b)............ $ 22,597
208 Automatic Data Processing, Inc. .... 11,117
275 Electronic Data Systems Corp. ...... 11,328
388 eToys, Inc. (b)..................... 2,463
192 Omnicom Group....................... 17,100
144 Waters Corp. (b).................... 17,987
----------
82,592
----------
Capital Goods (6.4%):
267 Crane Co. .......................... 6,486
147 Fastenal Co. ....................... 7,460
1,643 General Electric Co. ............... 87,084
178 Johnson Controls, Inc. ............. 9,140
645 Tyco International Ltd. ............ 30,559
140 USG Corp. .......................... 4,264
----------
144,993
----------
Consumer Durable (1.9%):
222 Danaher Corp. ...................... 10,961
228 General Motors Corp. ............... 13,210
201 Lear Corp. (b)...................... 4,014
86 SPX Corp. (b)....................... 10,379
107 Whirlpool Corp. .................... 4,968
----------
43,532
----------
Consumer Non-Durable (4.4%):
285 Coca-Cola Co. ...................... 16,362
263 Energizer Holdings, Inc. (b)........ 4,798
426 Gillette Co. ....................... 14,899
274 Intimate Brands, Inc. .............. 5,416
237 Nabisco Group Holdings.............. 6,156
517 Philip Morris Co., Inc. ............ 13,728
303 Procter & Gamble Co. ............... 17,369
355 Ralston Purina Group................ 7,072
776 Sara Lee Corp. ..................... 14,985
----------
100,785
----------
Consumer Services (3.9%):
270 Comcast Corp. (b)................... 10,951
365 Time Warner, Inc. .................. 27,771
520 Viacom, Inc., Class B (b)........... 35,453
369 Walt Disney Co. .................... 14,302
----------
88,477
----------
Energy (5.0%):
810 Exxon Mobil Corp. .................. 63,618
231 Halliburton Co. .................... 10,907
240 Occidental Petroleum Corp. ......... 5,050
208 Texaco, Inc. ....................... 11,065
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Energy, continued:
259 Tosco Corp. ........................ $ 7,340
176 Transocean Sedco Forex, Inc. ....... 9,429
196 USX-Marathon Group.................. 4,914
----------
112,323
----------
Financial Services (13.4%):
306 American Express Co. ............... 15,969
344 American International Group,
Inc. ............................. 40,370
249 Associates First Capital, Class A... 5,549
549 Bank of America Corp. .............. 23,592
239 Charter One Financial, Inc. ........ 5,489
362 Chase Manhattan Corp. .............. 16,687
165 Cigna Corp. ........................ 15,410
801 Citigroup, Inc. .................... 48,240
498 Federal Home Loan Mortgage Corp. ... 20,177
399 First Security Corp. ............... 5,416
552 Fleetboston Financial Corp. ........ 18,782
216 Hartford Financial Services Group... 12,070
233 John Hancock Financial Services
(b)............................... 5,519
153 Marsh & McLennan Co. ............... 15,988
344 Morgan Stanley Dean Witter
Discover.......................... 28,660
247 Pacific Century Financial Corp. .... 3,616
247 SouthTrust Corp. ................... 5,599
147 SunTrust Banks, Inc. ............... 6,716
225 Wells Fargo Co. .................... 8,717
----------
302,566
----------
Health Care (10.6%):
453 Abbott Laboratories................. 20,205
356 American Home Products Corp. ....... 20,894
201 Amgen, Inc. (b)..................... 14,134
194 Baxter International, Inc. (b)...... 13,668
536 Bristol Myers Squibb Co. ........... 31,212
136 Guidant Corp. (b)................... 6,738
115 Johnson & Johnson................... 11,720
157 MedImmune (b)....................... 11,600
358 Medtronic, Inc. .................... 17,809
213 Merck & Co., Inc. .................. 16,284
951 Pfizer, Inc. ....................... 45,632
339 Schering Plough Corp. .............. 17,120
479 Tenet Healthcare Corp. ............. 12,921
----------
239,937
----------
Multi-Industry (0.4%):
252 Honeywell International, Inc. ...... 8,503
----------
Raw Materials (2.1%):
461 Alcoa, Inc. ........................ 13,356
190 Cabot Corp. ........................ 5,168
433 Crompton Corp. ..................... 5,302
</TABLE>
Continued
74
<PAGE> 77
One Group Mutual Funds
Diversified Equity Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Raw Materials, continued:
256 Cytec Industries, Inc. ............. $ 6,315
185 Du Pont (EI) de Nemours & Co. ...... 8,107
153 RPM, Inc. .......................... 1,547
274 Sigma-Aldrich Corp. ................ 8,027
----------
47,822
----------
Retail (6.6%):
169 Applebee's International, Inc.
(b)............................... 5,116
386 Brinker International, Inc. (b)..... 11,304
211 Costco Wholesale Corp. (b).......... 6,961
434 CVS Corp. .......................... 17,353
88 Home Depot, Inc. ................... 4,410
418 Kohl's Corp. (b).................... 23,248
538 Kroger Co. (b)...................... 11,861
463 Limited, Inc. ...................... 10,015
298 Tricon Global Restaurants, Inc.
(b)............................... 8,424
650 Wal-Mart Stores, Inc. .............. 37,484
398 Walgreen Co. ....................... 12,815
----------
148,991
----------
Shelter (1.6%):
270 Georgia-Pacific Corp. .............. 7,098
417 Kimberly Clark Corp. ............... 23,918
160 Pentair, Inc. ...................... 5,689
----------
36,705
----------
Technology (29.1%):
267 ADC Telecommunications, Inc. (b).... 22,423
274 Applied Materials, Inc. (b)......... 24,842
1,088 Cisco Systems, Inc. (b)............. 68,889
133 Comverse Technology, Inc. (b)....... 12,395
588 Dell Computer Corp. (b)............. 28,971
168 Digital Island, Inc. (b)............ 8,184
705 EMC Corp. (b)....................... 54,256
168 Hewlett Packard Co. ................ 20,925
612 Intel Corp. ........................ 81,838
216 IBM Corp. .......................... 23,662
186 Linear Technology Corp. ............ 11,918
469 Lucent Technologies, Inc. .......... 27,795
297 Maxim Integrated Products, Inc.
(b)............................... 20,184
912 Microsoft Corp. (b)................. 72,960
358 Motorola, Inc. ..................... 10,410
707 Nortel Networks Corp. .............. 48,265
257 Oracle Corp. (b).................... 21,603
139 Rational Software Corp.(b).......... 12,872
331 SCI Systems, Inc. (b)............... 12,988
365 Sun Microsystems, Inc. (b).......... 33,220
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
169 Symantec Corp. (b).................. $ 9,118
244 Symbol Technologies, Inc. .......... 13,602
239 Xilinx, Inc. (b).................... 19,742
----------
661,062
----------
Transportation (0.9%):
138 Kansas City Southern Industries,
Inc. (b).......................... 12,274
121 United Parcel Service, Inc., Class
B................................. 7,136
----------
19,410
----------
Utilities (8.9%):
294 AT&T Corp. ......................... 9,294
333 Bell Atlantic (b)................... 16,920
232 CenturyTel, Inc. ................... 6,656
227 CMS Energy Corp. ................... 5,012
208 El Paso Energy Corp. ............... 10,575
286 Energy East Corp. .................. 5,447
238 Enron Corp. ........................ 15,323
251 Florida Power & Light, Inc. ........ 12,432
125 General Public Utilities Corp. ..... 3,391
205 Nextel Communications, Inc., Class A
(b)............................... 12,531
387 Pinnacle West Capital Corp. ........ 13,096
208 Qwest Communications International,
Inc. (b).......................... 10,348
780 SBC Communications, Inc. ........... 33,732
291 Sprint Corp. ....................... 14,851
283 Williams Co. ....................... 11,785
421 Worldcom, Inc. (b).................. 19,309
----------
200,702
----------
Total Common Stocks 2,238,400
----------
INVESTMENT COMPANIES (1.7%):
39,200 One Group Prime Money Market Fund,
Class I........................... 39,200
----------
Total Investment Companies 39,200
----------
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING (4.5%):
Master Notes (0.4%):
$ 4,006 Bear Stearns, 7.40%, 7/3/00*........ 4,006
1,001 Danaher, 7.31%, 7/3/00*............. 1,001
2,269 General Mills, 6.83%, 7/3/00*....... 2,269
1,001 Lehman Brothers, 7.44%, 7/3/00*..... 1,001
1,001 Willamette, 6.92%, 7/3/00*.......... 1,001
----------
9,278
----------
Put Bonds (2.1%):
1,669 Associates Corp., 7.00%, 9/17/01*... 1,687
2,670 Bank of America, 6.32%, 7/5/01*..... 2,700
</TABLE>
Continued
75
<PAGE> 78
One Group Mutual Funds
Diversified Equity Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING, CONTINUED:
Put Bonds, continued:
$ 2,002 Caterpillar Financial, 7.05%,
5/1/01*........................... $ 2,002
1,669 Chase Manhattan, 7.11%, 5/6/02*..... 1,669
1,669 Ford Motor, 7.03%, 4/11/02*......... 1,669
1,669 GMAC, 7.07%, 5/3/01*................ 1,669
4,200 Goldman Sachs, 7.13%, 11/21/00*..... 4,200
667 Greenwich Capital Markets, 7.10%,
7/9/01*........................... 667
4,037 Greenwich Capital Markets, 7.11%,
12/2/02*.......................... 4,037
1,669 J.P. Morgan & Co., 7.01%, 5/4/01*... 1,669
11,222 Lehman Brothers, 6.91%, 9/4/01 *.... 11,222
2,002 Liberty Lighthouse, 7.08%,
4/12/02*.......................... 2,002
1,669 Merrill Lynch, 7.16%, 5/6/02*....... 1,669
768 Salomon Smith Barney, 6.90%,
2/5/01*........................... 768
1,669 Salomon Smith Barney, 6.81%,
4/8/02*........................... 1,669
1,669 Sigma Finance, Inc., 6.93%,
1/22/01*.......................... 1,669
2,002 Sigma Finance, Inc., 6.91%,
5/15/01*.......................... 2,002
2,670 SPARCC, 6.65%, 9/25/00*............. 2,670
1,669 U.S. Bancorp, 6.78%, 5/8/02*........ 1,669
----------
47,309
----------
Repurchase Agreements (2.0%):
204 Bear Stearns, 6.83%, 7/3/00,
(Collateralized by $926 various
U.S. Government securities,
5.73% - 8.00%, 1/15/02 - 2/15/28,
market value $221)................ 204
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING, CONTINUED:
Repurchase Agreements, continued:
$20,024 Goldman Sachs, 7.15%, 7/3/00,
(Collateralized by $21,190 various
Commercial Paper, 0.00%, 7/3/00 -
8/14/00, market value $21,096).... $ 20,024
5,006 HSBC, 7.25%, 7/3/00, (Collateralized
by $8,366 various U.S. Government
securities, 0.00% - 15.75%,
11/15/00 - 4/15/29, market value
$5,106)........................... 5,006
1,001 Lehman Brothers, 7.38%, 7/3/00,
(Collateralized by various equity
securities, market value
$1,061)........................... 1,001
1,850 Lehman Brothers, 7.18%, 7/3/00,
(Collateralized by $1,942 Galaxy
Funding Commercial Paper, 0.00%,
10/10/00, market value $1,906).... 1,850
16,687 Merrill Lynch, 7.20%, 7/3/00,
(Collateralized by $17,727 various
Commercial Paper, 0.00%, 7/3/00 -
3/9/01, market value $17,521)..... 16,687
----------
44,772
----------
Total Short-Term Securities Held as Collateral
for Securities Lending 101,359
----------
Total (Cost $1,697,086) (a) $2,378,959
==========
</TABLE>
------------
Percentages indicated are based on net assets of $2,266,353.
(a) Represents cost for financial reporting purposes and differs from cost basis
for federal income tax purposes by the amount of losses recognized for
financial reporting purposes in excess of federal income tax reporting of
approximately $669. Cost for federal income tax purposes differs from value
by net unrealized appreciation (depreciation) of securities as follows
(amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 790,365
Unrealized depreciation...................... (109,161)
---------
Net unrealized appreciation (depreciation)... $ 681,204
=========
</TABLE>
(b) Non-income producing securities.
* The interest rate for this variable rate note, which will change
periodically, is based upon prime rates or an index of market rates. The rate
reflected on the Schedule of Portfolio Investments is the rate in effect at
June 30, 2000.
See notes to financial statements.
76
<PAGE> 79
One Group Mutual Funds
Balanced Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
ASSET BACKED SECURITIES (5.1%):
Financial Services (4.4%):
$ 1,000 Advanta Automobile Receivables Trust,
Series 1998-1, Class A2, 6.09%,
12/15/03........................... $ 989
225 Advanta Equipment Receivables, Series
98-1, Class A2, 5.82%,
12/15/06........................... 224
2,035 Advanta Equipment Receivables, Series
1998-1, Class A4, 5.98%,
12/15/06........................... 1,988
123 Advanta Mortgage Loan Trust, Series
1997-2, Class A2, 7.05%,
5/25/21............................ 122
274 Americredit Automobile Receivables
Trust, Series 1997-C, Class A3,
6.30%, 7/5/03...................... 273
700 Arcadia Automobile Receivables Trust,
Series 1997-C, Class A5, 6.55%,
6/15/05............................ 694
1,000 Arcadia Automobile Receivables Trust,
Series 1998-B, Class A5, 6.06%,
6/15/06............................ 977
1,606 BankBoston RV Asset Backed Trust,
Series 1997-1, Class A6, 6.44%,
1/15/07............................ 1,602
900 Barnett Auto Trust, Series 1997-A,
Class A5, 6.26%, 2/15/03........... 893
1,057 Capita Equipment Receivables Trust,
Series 1997-1, Class A4, 6.19%,
2/15/02............................ 1,052
494 Case Equipment Loan Trust, Series
1998-B, Class A3, 5.81%,
5/15/03............................ 492
163 Copelco Capital Funding Corp., Series
96-A, Class A, 6.34%, 7/20/04...... 163
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............................ 646
161 EQCC Home Equity Loan Trust, Series
1998-1, Class A3F, 6.23%,
12/15/12........................... 160
267 EQCC Home Equity Loan Trust, Series
1997-2, Class A7, 6.89%,
2/15/20............................ 265
750 EQCC Home Equity Loan Trust, Series
1998-2, Class A4F, 6.33%,
1/15/22............................ 715
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
ASSET BACKED SECURITIES, CONTINUED:
Financial Services, continued:
$ 798 Fleetwood Credit Corp. Grantor Trust,
Series 97-B, Class A, 6.40%,
5/15/13............................ $ 790
88 Green Tree Financial Corp., Series
1996-3, Class A3, 6.70%,
5/15/27............................ 88
282 Green Tree Financial Corp., Series
1996-7, Class A4, 6.80%,
10/15/27........................... 282
92 Green Tree Home Improvement Loan
Trust, Series 1996-C, Class HEA3,
7.55%, 6/15/26..................... 92
101 Green Tree Recreational, Equipment
and Consulting, Series 1998-C,
Class A3, 5.92%, 2/15/09........... 101
367 Green Tree Recreational, Equipment
and Consulting, Series 1998-B,
Class A5, 6.10%, 12/15/13.......... 358
311 Green Tree Recreational, Equipment
and Consulting, Series 1996-A,
Class A1, 5.55%, 2/15/18........... 301
2,000 Harley-Davidson Eaglemark Motorcycle
Trust, Series 2000-1 Class A2,
7.14%, 3/15/06..................... 2,001
146 Household Affinity Credit Card Master
Trust, Series 1993-2, Class A,
5.60%, 5/15/02..................... 146
193 Key Auto Finance Trust, Series
1997-2, Class A5, 6.25%,
10/15/03........................... 192
300 Key Auto Finance Trust Series 1999-1
Class A4, 5.83%, 1/15/07........... 293
425 MBNA Master Credit Card Trust, Series
1995-F, Class A, 6.60%,
1/15/03............................ 425
275 Nationsbank Auto Grantor Trust,
Series 96-1, Class A, 5.85%,
9/15/11............................ 275
115 Olympic Automobile Receivables Trust,
Series 1996-B, Class A4, 6.70%,
3/15/02............................ 115
143 Olympic Automobile Receivables Trust,
Series 1996-D, Class A4, 6.05%,
8/15/02............................ 143
2,000 Onyx Acceptance Auto Trust, Series
98-A, Class CTFS, 5.99%, 1/15/05... 1,955
111 Premier Auto Trust, Series 1996-4,
Class A4, 6.45%, 10/6/01........... 111
2,119 SLM Student Loan Trust, Series 99-1,
Class A1T, 6.67%, 4/25/08*......... 2,115
</TABLE>
Continued
77
<PAGE> 80
One Group Mutual Funds
Balanced Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
ASSET BACKED SECURITIES, CONTINUED:
Financial Services, continued:
$ 55 The Money Store Auto Grantor Trust,
Series 1996-2, Class A3, 6.25%,
6/20/03............................ $ 55
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............................ 473
400 The Money Store Home Equity Trust,
Series 1996-A, Class A8, 7.66%,
8/15/26............................ 385
300 Union Acceptance Corp., Series
1996-C, Class A3, 6.63%, 10/8/03... 298
2,000 Union Acceptance Corp., Series
1998-B, Class A5, 6.02%, 1/9/06.... 1,957
--------
25,190
--------
Student Loan Marketing Association (0.7%):
4,000 Student Loan Marketing Association,
7.20%, 11/9/00*.................... 4,006
--------
Total Asset Backed Securities 29,196
--------
COMMON STOCKS (57.2%):
Business Equipment & Service (1.8%):
76 America Online, Inc. (b)............. 4,011
30 Automatic Data Processing, Inc. ..... 1,623
40 Electronic Data Systems Corp. ....... 1,642
50 eToys, Inc. (b)...................... 320
20 Waters Corp. (b)..................... 2,557
--------
10,153
--------
Capital Goods (3.7%):
39 Crane Co. ........................... 949
21 Fastenal Co. ........................ 1,062
241 General Electric Co. ................ 12,767
0 Huttig Building Products, Inc.
(b)(c)............................. 0
24 Johnson Controls, Inc. .............. 1,216
22 Trinity Industries, Inc. ............ 402
95 Tyco International, Ltd. ............ 4,486
20 USG Corp. ........................... 621
--------
21,503
--------
Consumer Durable (1.1%):
32 Danaher Corp. ....................... 1,604
33 General Motors Corp. ................ 1,923
26 Lear Corp. (b)....................... 524
13 SPX Corp. (b)........................ 1,520
15 Whirlpool Corp. ..................... 711
--------
6,282
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Consumer Non-Durable (2.6%):
42 Coca-Cola Co. ....................... $ 2,428
39 Energizer Holdings, Inc. (b)......... 704
63 Gillette Co. ........................ 2,187
39 Intimate Brands, Inc. ............... 777
35 Nabisco Group Holdings Corp. ........ 905
76 Philip Morris Co. ................... 2,021
44 Proctor & Gamble Co. ................ 2,520
52 Ralston Purina Group................. 1,038
114 Sara Lee Corp. ...................... 2,199
--------
14,779
--------
Consumer Services (2.3%):
38 Comcast Corp., Special Class A (b)... 1,558
55 Time Warner, Inc. ................... 4,207
76 Viacom, Inc. (b)..................... 5,200
54 Walt Disney Co. ..................... 2,096
--------
13,061
--------
Energy (3.8%):
117 Exxon Mobil Corp. ................... 9,172
37 Halliburton Co. ..................... 1,760
55 Occidental Petroleums Corp. ......... 1,150
54 Royal Dutch Petroleum Co., NY
Shares............................. 3,346
37 Texaco, Inc. ........................ 1,957
50 Tosco Corp. ......................... 1,402
26 Transocan Sedco Forex, Inc. ......... 1,377
59 USX-Marathon Group, Inc. ............ 1,478
--------
21,642
--------
Financial Services (7.8%):
45 American Express Co. ................ 2,330
51 American International Group,
Inc. .............................. 5,941
44 Associates First Capital Corp., Class
A.................................. 981
81 BankAmerica Corp. ................... 3,472
35 Charter One Financial, Inc. ......... 807
54 Chase Manhattan Corp. ............... 2,484
25 Cigna Corp. ......................... 2,355
125 Citigroup, Inc. ..................... 7,535
32 Fannie Mae........................... 1,696
57 First Security Corp. ................ 771
80 Fleetboston Financial Corp. ......... 2,717
32 Freddie Mac.......................... 1,298
35 Hartford Financial Services
Group, Inc. ....................... 1,943
34 John Hancock Financial Services,
Inc. (b)........................... 810
22 Marsh & McLennan Co. ................ 2,292
51 Morgan Stanley Dean Witter
Discover & Co. .................... 4,206
37 Pacific Century Financial Corp. ..... 540
</TABLE>
Continued
78
<PAGE> 81
One Group Mutual Funds
Balanced Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Financial Services, continued:
38 SouthTrust Corp. .................... $ 848
22 SunTrust Banks, Inc. ................ 987
33 Wells Fargo Co. ..................... 1,266
--------
45,279
--------
Health Care (6.6%):
67 Abbott Labs.......................... 2,981
57 American Home Products Co. .......... 3,322
30 Amgen, Inc. (b)...................... 2,083
28 Baxter International, Inc. .......... 1,990
77 Bristol Myers Squibb Co. ............ 4,478
20 Guidant Corp. (b).................... 966
19 Johnson & Johnson.................... 1,936
23 MedImmune, Inc. (b).................. 1,670
62 Medtronic, Inc. ..................... 3,098
31 Merck & Co., Inc. ................... 2,400
178 Pfizer, Inc. ........................ 8,566
49 Schering Plough Corp. ............... 2,485
70 Tenet Healthcare Corp. (b)........... 1,879
--------
37,854
--------
Multi-Industry (0.2%):
37 Honeywell International, Inc. ....... 1,250
--------
Raw Materials (1.3%):
68 Alcoa, Inc. ......................... 1,961
35 Cabot Corp. ......................... 944
63 Crompton Corp. ...................... 770
31 Cytec Industries, Inc. (b)........... 777
27 Du Pont (EI) de Nemours & Co. ....... 1,176
62 RPM, Inc. ........................... 627
34 Sigma-Aldrich Corp. ................. 986
--------
7,241
--------
Retail (3.6%):
24 Applebee's International, Inc. ...... 734
23 Brinker International, Inc. (b)...... 668
31 Costco Wholesale Corp. (b)........... 1,008
63 CVS Corp. ........................... 2,505
13 Home Depot, Inc. .................... 635
60 Kohl's Corp. (b)..................... 3,335
78 Kroger Co. (b)....................... 1,713
67 Limited, Inc. ....................... 1,444
43 Tricon Global Restaurants, Inc.
(b)................................ 1,222
94 Wal-Mart Stores, Inc. ............... 5,428
58 Walgreen Co. ........................ 1,851
--------
20,543
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Shelter (0.9%):
39 Georgia Pacific Corp. ............... $ 1,033
61 Kimberly Clark Corp. ................ 3,512
23 Pentair, Inc. ....................... 833
--------
5,378
--------
Technology (16.7%):
38 ADC Telecommunications, Inc. (b)..... 3,189
0 Agilent Technologies, Inc. (b)(c).... 0
45 Applied Materials, Inc. (b).......... 4,112
158 Cisco Systems, Inc. (b).............. 10,024
19 Comverse Technology, Inc. (b)........ 1,787
88 Dell Computer Corp. (b).............. 4,345
24 Digital Island, Inc. (b)............. 1,186
102 EMC Corp. (b)........................ 7,834
22 Hewlett Packard Co. ................. 2,757
88 Intel Corp. ......................... 11,814
32 IBM Corp. ........................... 3,540
25 Linear Technology Corp. ............. 1,621
82 Lucent Technologies, Inc. ........... 4,887
46 Maxim Integrated Products, Inc.
(b)................................ 3,116
133 Microsoft Corp. (b).................. 10,633
52 Motorola, Inc. ...................... 1,520
102 Nortel Networks Corp. ............... 6,989
26 Oracle Corp. (b)..................... 2,191
20 Rational Software Corp. (b).......... 1,834
50 SCI Systems, Inc. (b)................ 1,968
52 Sun Microsystems, Inc. (b)........... 4,718
24 Symantec Corp. (b)................... 1,314
35 Symbol Technologies, Inc. ........... 1,930
35 Xilinx, Inc. (b)..................... 2,866
--------
96,175
--------
Transportation (0.5%):
20 Kansas City Southern Industries,
Inc. .............................. 1,772
17 United Parcel Service, Inc., Class
B.................................. 1,032
--------
2,804
--------
Utilities (4.3%):
40 AT&T Corp. .......................... 1,256
34 Centurytel, Inc. .................... 966
6 CMS Energy Corp. .................... 136
35 Constellation Energy Group, Inc. .... 1,124
32 El Paso Energy Corp. ................ 1,645
43 Energy East Corp. ................... 810
5 Florida Power & Light, Inc. ......... 250
30 General Public Utilities Corp. ...... 800
34 L G & E Energy Corp. ................ 822
20 New Century Energies, Inc. .......... 589
30 Nextel Communications, Inc.,
Class A (b)........................ 1,823
</TABLE>
Continued
79
<PAGE> 82
One Group Mutual Funds
Balanced Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Utilities, continued:
28 Pinnacle West Capital Corp. ......... $ 946
31 Qwest Communications International,
Inc. (b)........................... 1,531
127 SBC Communications, Inc. ............ 5,486
43 Sprint Corp. ........................ 2,196
41 Williams Cos., Inc. ................. 1,700
61 Worldcom, Inc. (b)................... 2,790
--------
24,870
--------
Total Common Stocks 328,814
--------
WARRANTS (0.0%):
Business Equipment & Service (0.0%):
0 Morrison Knudson Corp. (c)........... 0
--------
Total Warrants 0
--------
CORPORATE BONDS (7.5%):
Banking, Finance & Insurance (3.3%):
$ 1,000 Associates Corp., Series G, 8.27%,
11/8/01............................ 1,012
1,000 Associates Corp., 8.58%, 11/23/04.... 1,028
1,600 BankAmerica Corp., 9.20%, 5/15/03.... 1,666
500 Chrysler Financial Corp., 5.88%,
2/7/01............................. 496
2,725 Circuit City Credit Card Master
Trust, Series 95-1, Class A, 6.38%,
8/15/05............................ 2,723
1,350 Contimortgage Home Equity Loan Trust,
Series 1998-1, Class A6, 6.58%,
12/15/18........................... 1,312
2,000 First Hawaiian, Inc., 6.25%,
8/15/00............................ 1,998
610 Ford Credit Auto Loan Master Trust,
5.50%, 2/15/03..................... 604
1,250 General Motors Acceptance Corp.,
8.25%, 2/24/04..................... 1,282
2,000 Goldman Sachs Group, Inc., 7.20%,
3/1/07 (d)......................... 1,904
750 Huntington National Bank, 6.75%,
6/15/03............................ 731
1,000 International Lease Finance Corp.,
5.88%, 1/15/01..................... 993
500 Lehman Brothers, Inc., 9.88%,
10/15/00........................... 504
307 McDonnell Douglas Financial Corp.,
6.45%, 12/5/02..................... 300
250 Nationsbank Texas, 6.75%, 8/15/00.... 250
1,000 Society National Bank, 6.75%,
6/15/03............................ 976
500 Suntrust Banks, 7.38%, 7/1/02........ 500
347 WFS Financial Owner Trust, 5.65%,
11/20/02........................... 345
--------
18,624
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Capital Goods (0.5%):
$ 1,000 Cummins Engine Co., Inc., 6.45%,
3/1/05............................. $ 928
2,000 Tyco International Group, 6.25%,
6/15/03............................ 1,906
--------
2,834
--------
Consumer Durable (0.0%):
250 Ford Motor Co., 9.00%, 9/15/01....... 255
--------
Consumer Non-Durable (0.1%):
500 Campbell Soup Co., 5.63%, 9/15/03.... 480
--------
Consumer Services (0.8%):
505 Hertz Corp., 7.00%, 5/1/02........... 502
1,627 Hertz Corp., 6.00%, 1/15/03.......... 1,571
2,400 Rental Car Finance, 6.45%,
8/25/05 (d)........................ 2,336
--------
4,409
--------
Energy (0.3%):
1,250 Occidental Petroleum Corp., 9.25%,
8/1/19............................. 1,364
500 Union Pacific Co., 7.60%, 5/1/05..... 497
--------
1,861
--------
Health Care (0.0%):
250 Johnson & Johnson, 7.38%, 6/29/02.... 254
--------
Raw Materials (0.0%):
200 Du Pont (EI) de Nemours & Co., 8.70%,
2/7/01............................. 202
--------
Retail (0.7%):
1,000 Dayton Hudson Corp., 7.25%, 9/1/04... 999
2,093 JC Penney Co., 7.25%, 4/1/02......... 2,036
750 Sears Roebuck Acceptance, 7.13%,
5/2/03............................. 740
--------
3,775
--------
Technology (0.1%):
750 Lockhead Corp., 7.63%, 6/15/04....... 746
--------
Utilities (1.7%):
750 AT&T Corp., 7.50%, 6/1/06............ 750
2,400 Columbia Gas System, 6.80%,
11/28/05........................... 2,316
250 Duke Power Co., 7.00%, 7/1/00........ 250
2,500 Hydro Quebec, 6.52%, 2/23/06......... 2,392
3,500 Tennessee Valley Authority, 5.00%,
12/18/03........................... 3,278
500 Virginia Electric & Power, 6.63%,
4/1/03............................. 490
--------
9,476
--------
Total Corporate Bonds 42,916
--------
</TABLE>
Continued
80
<PAGE> 83
One Group Mutual Funds
Balanced Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY (2.1%):
Federal Home Loan Bank (2.1%):
$ 4,000 5.51%, 12/29/03...................... $ 3,809
1,000 5.88%, 11/25/08...................... 909
8,000 5.61%, 2/11/09....................... 7,210
--------
Total U.S. Government Agency 11,928
--------
U.S. GOVERNMENT AGENCY MORTGAGES (19.2%):
Fannie Mae (10.0%):
2,903 7.24%, 10/1/03, Pool #73712.......... 2,877
1,000 5.41%, 11/5/03....................... 952
5,000 5.88%, 2/2/06........................ 4,738
33 6.65%, 3/25/06....................... 33
2,158 7.13%, 7/1/06, Pool #381781.......... 2,133
968 6.94%, 12/1/06, Pool #73798.......... 948
420 7.00%, 9/1/07, Pool #185265.......... 415
1,283 6.53%, 12/1/07, Pool #375568......... 1,229
228 7.00%, 5/25/08, Pool #1991-134....... 227
800 8.30%, 10/25/08*..................... 797
1,080 7.50%, 8/1/09, Pool #292020.......... 1,080
534 6.50%, 5/1/11, Pool #337195.......... 518
1,268 6.50%, 4/1/13, Pool #414513.......... 1,226
576 7.00%, 6/1/13, Pool #427488.......... 566
2,000 6.50%, 6/25/13....................... 1,954
2,244 6.00%, 1/1/14, Pool #440777.......... 2,125
696 5.75%, 11/25/17...................... 693
544 6.25%, 3/25/18....................... 541
1,153 8.50%, 11/1/18, Pool #313280......... 1,181
597 7.50%, 3/17/19, Pool #G97-5A......... 599
537 8.50%, 1/25/20....................... 548
260 9.50%, 4/25/20....................... 272
119 7.00%, 7/25/20....................... 118
404 7.00%, 7/25/20....................... 395
756 7.00%, 8/18/20....................... 754
899 8.50%, 9/25/20....................... 919
603 6.50%, 10/25/20...................... 598
279 7.50%, 4/25/21....................... 278
135 8.30%, 4/25/21....................... 134
247 8.00%, 7/25/21....................... 249
260 5.76%, 8/25/21....................... 241
500 6.85%, 8/25/21, Pool #1993-17........ 490
693 6.50%, 1/18/22....................... 687
1,433 7.00%, 2/18/22....................... 1,430
1,067 7.50%, 7/25/22....................... 1,053
500 7.50%, 10/25/22...................... 493
1,746 8.00%, 11/1/22, Pool #124555......... 1,763
760 6.65%, 12/18/22...................... 755
1,198 7.13%, 5/18/23, Series 97-11, Class
R.................................. 1,195
400 0.00%, 5/25/23, Series 93-92, Class
E.................................. 295
1,153 9.50%, 9/20/23....................... 1,181
96 7.25%, 7/18/24....................... 96
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
$ 602 9.00%, 8/1/24, Pool #250114.......... $ 621
954 9.50%, 11/18/24...................... 989
1,015 9.00%, 5/18/25....................... 1,046
555 7.00%, 7/1/25, Pool #317252.......... 537
570 6.50%, 2/1/26, Pool #337115.......... 539
642 7.00%, 3/1/26, Pool #365488.......... 624
950 8.00%, 3/18/26....................... 957
470 7.00%, 5/1/26, Pool #346269.......... 455
380 7.50%, 5/1/26, Pool #344916.......... 376
300 6.00%, 6/25/26....................... 267
287 7.50%, 11/1/26, Pool #363626......... 284
921 6.50%, 2/1/28, Pool #417157.......... 870
1,922 6.00%, 8/1/28, Pool #436125.......... 1,762
4,947 6.50%, 8/1/29 , Pool #323862......... 4,668
4,985 7.00%, 4/1/30........................ 4,812
--------
57,583
--------
Federal National Conventional Loan (0.2%):
876 6.79%, 11/1/07, Pool #313832......... 853
150 8.00%, 6/1/24, Pool #250085.......... 151
200 8.00%, 6/1/24, Pool #270402.......... 201
--------
1,205
--------
Freddie Mac (5.3%):
12 10.00%, 9/1/03, Pool #E30407......... 12
81 6.25%, 1/15/06, Series 1519, Class
E.................................. 81
15 9.00%, 5/1/06, Pool #B0-0282......... 15
155 8.00%, 3/1/08, Pool #E45796.......... 157
151 9.00%, 8/1/09, Pool #279063.......... 154
366 7.00%, 12/15/11...................... 350
456 7.00%, 1/1/12, Pool #E66116.......... 449
1,078 6.50%, 3/1/13, Pool #E69466.......... 1,043
775 6.50%, 6/1/13, Pool #E00552.......... 749
703 7.00%, 6/1/13, Pool #E00554.......... 691
2,207 6.00%, 4/1/14, Pool #E76469.......... 2,093
48 6.50%, 10/15/18...................... 48
433 6.50%, 9/25/19, Series 8, Class G.... 431
488 8.00%, 6/15/20....................... 493
133 10.50%, 10/1/20, Pool #D24679........ 143
384 7.50%, 2/15/21....................... 385
42 9.00%, 4/20/21....................... 42
303 8.50%, 6/15/21, Pool #1087-I......... 309
227 6.00%, 9/15/21....................... 213
455 7.30%, 11/15/21, Pool #1355 K........ 455
62 7.00%, 7/17/22....................... 62
1,486 6.50%, 11/15/22, Pool #1152.......... 1,415
2,000 7.15%, 1/15/23, Pool #1517-I......... 1,903
250 7.00%, 2/15/23....................... 243
500 6.50%, 5/25/23....................... 475
952 7.00%, 8/15/24, Pool #1883J.......... 948
</TABLE>
Continued
81
<PAGE> 84
One Group Mutual Funds
Balanced Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
$ 409 9.50%, 9/15/24....................... $ 419
207 8.00%, 4/1/25, Pool #C00401.......... 209
689 8.00%, 5/1/25, Pool #C80313.......... 694
179 8.00%, 5/1/25, Pool #D60455.......... 180
599 6.50%, 2/1/26, Pool #D68124.......... 568
482 6.50%, 2/1/26, Pool #D68616.......... 457
251 7.00%, 2/1/26, Pool #D69343.......... 243
436 7.00%, 3/1/26, Pool #D69430.......... 423
426 7.50%, 5/1/26, Pool #C00460.......... 422
221 8.50%, 7/1/26, Pool #C00472.......... 226
869 7.00%, 10/1/26, Pool #D75494......... 841
447 7.50%, 8/1/27, Pool #C00542.......... 443
734 6.00%, 10/15/27...................... 672
1,000 6.00%, 1/15/28....................... 913
1,024 8.50%, 7/1/28, Gold Pool #G00981..... 1,047
1,954 6.00%, 8/1/28, Pool #C13638.......... 1,792
745 6.00%, 11/15/28...................... 700
1,592 8.00%, 11/15/28...................... 1,654
4,985 7.50%, 1/1/30, Pool #C35358.......... 4,922
--------
30,184
--------
Government National Mortgage Assoc. (3.7%):
168 6.50%, 12/16/06...................... 168
184 7.50%, 8/15/07, Pool #329613......... 186
322 6.50%, 7/15/08, Pool #349693......... 316
217 7.00%, 7/15/08, Pool #326444......... 216
1,537 7.00%, 7/15/08, Pool #348872......... 1,528
41 6.50%, 3/15/09, Pool #367398......... 40
856 6.50%, 5/15/09, Pool #366779......... 839
413 5.50%, 4/20/11, Pool #2222........... 385
5 13.50%, 5/15/11, Pool #047241........ 5
1,761 6.50%, 10/1/13, Pool #468228......... 1,719
10 12.00%, 3/15/14, Pool #109220........ 12
8 13.50%, 9/15/14, Pool #119582........ 9
62 9.00%, 12/15/16, Pool #203620........ 64
49 8.00%, 4/15/17, Pool #192100......... 50
63 10.00%, 7/15/18, Pool #248404........ 66
23 8.00%, 5/15/22, Pool #329176......... 24
1,044 8.50%, 6/15/22, Pool #323423......... 1,074
627 8.50%, 12/15/22, Pool #780708........ 646
66 6.50%, 1/15/24, Pool #376656......... 63
593 7.00%, 4/15/24, Pool #355120......... 578
94 8.00%, 4/15/24, Pool #376038......... 96
330 8.00%, 8/15/24, Pool #394024......... 335
705 7.50%, 6/15/25, Pool #401860......... 701
975 7.00%, 8/15/25, Pool #413007......... 952
1,259 8.50%, 9/20/25, Pool #412336......... 1,285
712 6.50%, 4/15/26, Pool #424185......... 678
842 6.50%, 4/15/26, Pool #416192......... 802
</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:
$ 575 7.00%, 5/15/26, Pool #375344......... $ 560
421 7.50%, 5/15/26, Pool #408313......... 419
329 7.50%, 5/15/26, Pool #375345......... 328
258 8.00%, 5/15/26, Pool #426783......... 262
168 8.50%, 1/15/27, Pool #432266......... 172
512 8.00%, 9/15/27, Pool #451932......... 519
649 7.50%, 12/15/27, Pool #455358........ 646
866 6.50%, 3/15/28, Pool #430634......... 822
573 7.00%, 4/15/28, Pool #473915......... 558
830 7.50%, 5/15/28, Pool #465069......... 825
820 7.00%, 6/15/28, Pool #477123......... 798
890 8.00%, 7/20/28, Pool #2619........... 895
1,864 6.00%, 10/20/28, Pool #2657.......... 1,709
--------
21,350
--------
Total U.S. Government Agency Mortgages 110,322
--------
U.S. TREASURY OBLIGATIONS (5.1%):
U.S. Treasury Bonds (3.0%):
14,000 10.38%, 11/15/12..................... 17,233
--------
U.S. Treasury Notes (1.6%):
7,000 12.75%, 11/15/10..................... 8,971
--------
U.S. Treasury STRIPS (0.5%):
7,000 0.00%, 2/15/15....................... 2,823
--------
Total U.S. Treasury Obligations 29,027
--------
INVESTMENT COMPANIES (3.7%):
20,980 One Group Prime Money Market Fund,
Class I............................ 20,980
--------
Total Investment Companies 20,980
--------
REPURCHASE AGREEMENTS (0.0%):
$ 236 State Street Bank and Trust, 6.45%,
7/3/00, (Collateralized by $240
Fannie Mae, 6.10%, 9/14/01, market
value $243)........................ 236
--------
Total Repurchase Agreements 236
--------
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING (3.1%):
Master Notes (0.3%):
861 Bear Stearns, 7.40%, 7/3/00*......... 861
215 Danaher, 7.31%, 7/3/00*.............. 215
487 General Mills, 6.83%, 7/3/00*........ 487
215 Lehman Brothers, 7.44%, 7/3/00*...... 215
215 Willamette, 6.92%, 7/3/00*........... 215
--------
1,993
--------
Put Bonds (1.1%):
358 Associates Corp., 7.00%, 9/17/01*.... 362
573 Bank of America, 6.32%, 7/5/01*...... 581
</TABLE>
Continued
82
<PAGE> 85
One Group Mutual Funds
Balanced Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING, CONTINUED:
Put Bonds, continued:
$ 431 Caterpillar Finance, 7.05%,
5/1/01*............................ $ 431
358 Chase Manhattan, 7.11%, 5/6/02*...... 358
358 Ford Motor Credit, 7.03%, 4/11/02*... 358
358 GMAC, 7.07%, 5/3/01*................. 358
378 Goldman Sachs, 7.13%, 11/21/00*...... 378
143 Greenwich Capital Markets, 7.10%,
7/9/01*............................ 143
358 J.P. Morgan & Co., 7.01%, 5/4/01*.... 358
430 Liberty Lighthouse, 7.08%,
4/12/02*........................... 431
358 Merrill Lynch, 7.16%, 5/6/02*........ 358
165 Salomon Smith Barney, 6.81%,
4/8/02*............................ 165
358 Salomon Smith Barney, 6.81%,
4/8/02*............................ 358
358 Sigma Financial, 6.93%, 1/22/01*..... 358
431 Sigma Financial, 6.91%, 5/15/01*..... 431
574 SPARCC, 6.65%, 9/25/00*.............. 574
358 U.S. Bancorp, 6.78%, 5/8/02*......... 358
--------
6,360
--------
Repurchase Agreements (1.7%):
44 Bear Stearns, 6.83%, 7/3/00,
(Collateralized by $199 various
U.S. Government securities,
5.73% - 8.00%, 1/15/02 - 2/15/28,
market value $48).................. 44
4,301 Goldman Sachs, 7.15%, 7/3/00,
(Collateralized by $4,551 various
Commercial Paper, 0.00%, 7/3/00 -
8/14/00, market value $4,531)...... 4,301
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING, CONTINUED:
Repurchase Agreements, continued:
$ 1,075 HSBC, 7.25%, 7/3/00, (Collateralized
by $1,797 various U.S. Government
securities, 0.00% - 15.75%,
11/15/00 - 4/15/29, market value
$1,097)............................ $ 1,075
397 Lehman Brothers, 7.18%, 7/3/00,
(Collateralized by $417 Galaxy
Funding Commercial Paper, 0.00%,
10/10/00, market value $409)....... 397
215 Lehman Brothers, 7.38%, 7/3/00,
(Collateralized by various equity
securities, market value $228)..... 215
3,584 Merrill Lynch, 7.20%, 7/3/00,
(Collateralized by $3,807 various
Commercial Paper, 0.00%,
7/3/00 - 3/9/01, market value
$3,763)............................ 3,584
--------
9,616
--------
Total Short-Term Securities Held as Collateral
for Securities Lending 17,969
--------
Total (Cost $503,941) (a) $591,388
========
</TABLE>
------------
Percentages indicated are based on net assets of $573,981.
(a) Represents cost for financial reporting purposes and differs from cost basis
for federal income tax purposes by the amount of losses recognized for
financial reporting purposes in excess of federal income tax reporting of
approximately $4,196. Cost for federal income tax purposes differs from
value by net unrealized appreciation (depreciation) of securities as follows
(amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $104,467
Unrealized depreciation...................... (21,216)
--------
Net unrealized appreciation (depreciation)... $ 83,251
========
</TABLE>
(b) Non-income producing securities.
(c) Rounds to less than 1,000.
(d) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. These securities
amounted to $4,240 or 0.74% of net assets.
* The interest rate for this variable rate note, which will change
periodically, is based upon prime rates or an index of market rates. The rate
reflected on the Schedule of Portfolio Investments is the rate in effect at
June 30, 2000.
See notes to financial statements.
83
<PAGE> 86
One Group Mutual Funds
Equity Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMERCIAL PAPER (0.7%):
Appliances & Household Products (0.7%):
$25,000 Atlantis One Funding, 6.60%,
9/8/00............................ $ 24,695
----------
Total Commercial Paper 24,695
----------
COMMON STOCKS (99.2%):
Business Equipment & Services (3.1%):
55 Allied Waste Industries, Inc. (b)... 554
673 America Online, Inc. (b)............ 35,479
184 Automatic Data Processing, Inc. .... 9,833
42 Ceridian Corp. (b).................. 1,021
49 Computer Sciences Corp. (b)......... 3,658
45 Convergys Corp. (b)................. 2,329
21 Deluxe Corp. ....................... 498
47 Dun & Bradstreet Corp. ............. 1,357
136 Electronic Data System Corp. ....... 5,627
41 Equifax, Inc. ...................... 1,086
121 First Data Corp. ................... 5,991
29 H & R Block, Inc. .................. 932
88 Interpublic Group of Companies,
Inc. ............................. 3,797
12 National Service Industries,
Inc. ............................. 232
93 Office Depot, Inc. (b).............. 579
52 Omnicom Group, Inc. ................ 4,636
109 Paychex, Inc. ...................... 4,564
75 Pitney Bowes, Inc. ................. 3,018
36 R.R. Donnelley & Sons Co. .......... 806
17 Ryder Systems, Inc. ................ 330
38 Sabre Group Holdings, Inc. ......... 1,076
17 Sapient Corp. (b)................... 1,839
142 Staples, Inc. (b)................... 2,180
182 Waste Management, Inc. ............. 3,454
159 Yahoo, Inc. (b)..................... 19,702
21 Young & Rubicam, Inc. .............. 1,215
----------
115,793
----------
Capital Goods (5.9%):
25 Black & Decker Corp. ............... 981
102 Caterpillar, Inc. .................. 3,457
27 Cooper Industries, Inc. ............ 889
18 Crane Corp. ........................ 431
12 Cummins Engine, Inc. ............... 330
68 Deere & Co. ........................ 2,534
59 Dover Corp. ........................ 2,410
125 Emerson Electric Co. ............... 7,544
22 Fluor Corp. ........................ 706
2,896 General Electric Co. ............... 153,510
88 Illinois Tool Works, Inc. .......... 5,031
47 Ingersoll Rand Co. ................. 1,907
25 Johnson Controls, Inc. ............. 1,286
57 Molex, Inc. ........................ 2,766
18 Navistar International Corp. ....... 563
16 Owens-Corning Fiberglass Corp. ..... 150
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Capital Goods, continued:
22 Paccar, Inc. ....................... $ 889
33 Parker-Hannifin Corp. .............. 1,121
51 PPG Industries, Inc. ............... 2,258
43 Sanmina Corp. (b) .................. 3,715
48 Sherwin-Williams Co. ............... 1,016
17 Snap-On, Inc. ...................... 456
26 Stanley Works....................... 609
46 Thermo Electron Corp. .............. 960
18 Timken Co. ......................... 333
494 Tyco International Ltd. ............ 23,413
27 W.W. Grainger, Inc. ................ 847
----------
220,112
----------
Consumer Durable (1.1%):
39 Autozone, Inc. (b).................. 862
7 Briggs & Stratton Corp. ............ 225
22 Cooper Tire & Rubber Co. ........... 241
45 Dana Corp. ......................... 946
42 Danaher Corp. ...................... 2,052
165 Delphi Automotive Systems Corp. .... 2,400
21 Eaton Corp. ........................ 1,423
353 Ford Motor Co. ..................... 15,171
157 General Motors Corp. ............... 9,094
52 Genuine Parts Co. .................. 1,036
46 Goodyear Tire & Rubber Co. ......... 915
89 Harley-Davidson, Inc. .............. 3,423
26 ITT Industries, Inc. ............... 781
23 Maytag Corp. ....................... 847
47 Visteon Corp. (b)................... 567
21 Whirlpool Corp. .................... 997
----------
40,980
----------
Consumer Non-Durable (6.0%):
16 Alberto Culver Co., Class B......... 500
19 American Greetings Corp., Class A... 360
132 Anheuser Busch Co. ................. 9,875
176 Archer-Daniels-Midland Co. ......... 1,730
70 Avon Products, Inc. ................ 3,093
9 Ball Corp. ......................... 280
16 Bemis Co. .......................... 524
81 Bestfoods........................... 5,637
20 Brown-Forman Corp., Class B......... 1,076
124 Campbell Soup Co. .................. 3,604
69 Clorox Co. ......................... 3,077
725 Coca-Cola Co. ...................... 41,620
123 Coca-Cola Enterprises, Inc. ........ 2,008
169 Colgate Palmolive Co. .............. 10,108
144 ConAgra, Inc. ...................... 2,747
11 Coors Adolph Co., Class B........... 652
38 Crown Cork & Seal Co. .............. 563
</TABLE>
Continued
84
<PAGE> 87
One Group Mutual Funds
Equity Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Consumer Non-Durable, continued:
91 Eastman Kodak Co. .................. $ 5,397
0 Energizer Holdings, Inc. (b)(c)..... 0
60 Fort James Corp. ................... 1,393
46 Fortune Brands, Inc. ............... 1,070
85 General Mills, Inc. ................ 3,265
306 Gillette Co. ....................... 10,678
103 H.J. Heinz Co. ..................... 4,514
40 Hershey Foods Corp. ................ 1,949
30 International Flavors & Fragrances,
Inc. ............................. 909
119 Kellogg Co. ........................ 3,534
16 Liz Claiborne, Inc. ................ 562
96 Nabisco Group Holdings Corp. ....... 2,478
78 Newell Rubbermaid, Inc. ............ 2,010
80 Nike, Inc., Class B................. 3,186
50 Pactiv Corp. (b).................... 390
422 PepsiCo, Inc. ...................... 18,747
669 Philip Morris Co., Inc. ............ 17,783
13 Polaroid Corp. ..................... 238
383 Procter & Gamble Co. ............... 21,919
38 Quaker Oats Co. .................... 2,882
90 Ralston Purina Group................ 1,791
17 Reebok International Ltd. (b)....... 264
9 Russell Corp. ...................... 190
255 Sara Lee Corp. ..................... 4,916
128 Seagram Co., Ltd. .................. 7,410
5 Springs Industries, Inc., Class A... 167
38 SuperValu, Inc. .................... 734
98 Sysco Corp. ........................ 4,110
17 Tupperware Co. ..................... 373
167 Unilever N.V. ...................... 7,197
48 UST, Inc. .......................... 698
33 V.F. Corp. ......................... 801
33 Wrigley (Wm.) Junior Co. ........... 2,680
----------
221,689
----------
Consumer Services (3.9%):
26 Brunswick Corp. .................... 426
177 Carnival Corp., Class A............. 3,452
211 Cendant Corp. (b)................... 2,955
99 Clear Channel Communications, Inc.
(b)............................... 7,445
263 Comcast Corp., Class A (b).......... 10,643
26 Dow Jones & Co., Inc. .............. 1,903
78 Gannett Co., Inc. .................. 4,664
21 Harcourt General, Inc. ............. 1,142
36 Harrah's Entertainment, Inc. (b).... 750
50 Hasbro, Inc. ....................... 759
108 Hilton Hotels Corp. ................ 1,011
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Consumer Services, continued:
23 Knight-Ridder, Inc. ................ $ 1,207
70 Marriott International Inc., Class
A................................. 2,530
125 Mattel, Inc. ....................... 1,643
57 McGraw-Hill Co., Inc. .............. 3,076
181 Media One Group, Inc. (b)........... 12,016
15 Meredith Corp. ..................... 500
50 New York Times Co., Class A......... 1,967
385 Time Warner, Inc. .................. 29,273
125 Tribune Co. ........................ 4,386
446 Viacom, Inc., Class B (b)........... 30,443
608 Walt Disney Co. .................... 23,612
----------
145,803
----------
Energy (5.3%):
26 Amerada Hess Corp. ................. 1,636
37 Anadarko Petroleum Corp. ........... 1,849
33 Apache Corp. ....................... 1,956
21 Ashland, Inc. ...................... 725
97 Baker Hughes, Inc. ................. 3,093
63 Burlington Resources, Inc. ......... 2,410
191 Chevron Corp. ...................... 16,191
183 Conoco, Inc., Class B............... 4,489
1,019 Exxon Mobil Corp. .................. 80,003
130 Halliburton Co. .................... 6,133
28 Kerr McGee Corp. ................... 1,623
18 McDermott International, Inc. ...... 155
108 Occidental Petroleum Corp. ......... 2,274
74 Phillips Petroleum Co. ............. 3,765
27 Rowan Cos., Inc. (b)................ 833
628 Royal Dutch Petroleum Co. .......... 38,645
167 Schlumberger Ltd. .................. 12,431
26 Sunoco, Inc. ....................... 763
162 Texaco, Inc. ....................... 8,605
42 Tosco Corp. ........................ 1,198
62 Transocean Offshore Sedco
Forex, Inc. ...................... 3,292
74 Union Pacific Resources Group,
Inc. ............................. 1,623
71 Unocal Corp. ....................... 2,356
91 USX-Marathon Group, Inc. ........... 2,287
----------
198,335
----------
Financial Services (12.5%):
78 AFLAC, Inc. ........................ 3,569
218 Allstate Corp. ..................... 4,851
391 American Express Co. ............... 20,388
73 American General Corp. ............. 4,438
451 American International Group,
Inc. ............................. 53,021
115 AmSouth Bancorp..................... 1,812
75 Aon Corp. .......................... 2,326
</TABLE>
Continued
85
<PAGE> 88
One Group Mutual Funds
Equity Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Financial Services, continued:
213 Associates First Capital Corp.,
Class A........................... $ 4,757
485 Bank of America Corp. .............. 20,864
216 Bank of New York Co., Inc. ......... 10,041
336 Bank One Corp. ..................... 8,919
102 BB&T Corp. ......................... 2,437
32 Bear Stearns Co., Inc. ............. 1,348
57 Capital One Financial Corp. ........ 2,557
399 Charles Schwab Corp. ............... 13,405
61 Charter One Financial, Inc. ........ 1,410
362 Chase Manhattan Corp. .............. 16,678
51 Chubb Corp. ........................ 3,148
48 Cigna Corp. ........................ 4,460
47 Cincinnati Financial Corp. ......... 1,481
988 Citigroup, Inc. .................... 59,528
46 Comerica, Inc. ..................... 2,054
95 Conseco, Inc. ...................... 928
33 Countrywide Credit Industries,
Inc. ............................. 1,006
295 Fannie Mae.......................... 15,392
91 Fifth Third Bancorp................. 5,737
287 First Union Corp. .................. 7,124
284 Firstar Corp. ...................... 5,981
264 Fleetboston Financial Corp. ........ 8,971
71 Franklin Resources, Inc. ........... 2,167
203 Freddie Mac......................... 8,242
46 Golden West Financial Corp. ........ 1,889
63 Hartford Financial Services
Group, Inc. ...................... 3,517
139 Household International, Inc. ...... 5,759
65 Huntington Bancshares, Inc. ........ 1,028
47 J.P. Morgan & Co., Inc. ............ 5,229
30 Jefferson Pilot Corp. .............. 1,702
127 Key Corp. .......................... 2,243
35 Lehman Brothers Holding, Inc. ...... 3,341
56 Lincoln National Corp. ............. 2,028
29 Loews Corp. ........................ 1,729
79 Marsh & McLennan Co. ............... 8,239
29 MBIA, Inc. ......................... 1,390
235 MBNA Corp. ......................... 6,367
144 Mellon Financial Corp. ............. 5,240
114 Merrill Lynch & Co. ................ 13,060
31 MGIC Investment Corp. .............. 1,411
331 Morgan Stanley Dean Witter Discover
& Co. ............................ 27,588
177 National City Corp. ................ 3,028
65 Northern Trust Corp. ............... 4,234
41 Old Kent Financial Corp. ........... 1,102
43 Paine Webber Group, Inc. ........... 1,938
85 PNC Bank Corp. ..................... 3,987
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Financial Services, continued:
21 Progressive Corp. .................. $ 1,585
42 Providian Financial Corp. .......... 3,754
65 Regions Financial Corp. ............ 1,283
37 SAFECO Corp. ....................... 742
46 SLM Holding Corp. .................. 1,715
49 Southtrust Corp. ................... 1,114
62 St. Paul Co., Inc. ................. 2,120
47 State Street Corp. ................. 4,995
52 Summit Bancorp...................... 1,268
89 SunTrust Banks, Inc. ............... 4,045
83 Synovus Financial Corp. ............ 1,456
35 T. Rowe Price Associates, Inc. ..... 1,502
38 Torchmark Corp. .................... 926
220 U.S. Bancorp........................ 4,236
40 Union Planters Corp. ............... 1,108
70 UnumProvident Corp. ................ 1,414
59 Wachovia Corp. ..................... 3,218
160 Washington Mutual, Inc. ............ 4,631
472 Wells Fargo & Co. .................. 18,277
----------
464,478
----------
Health Care (11.6%):
454 Abbott Laboratories................. 20,213
41 Aetna, Inc. ........................ 2,646
38 Allergan, Inc. ..................... 2,826
30 Alza Corp. (b)...................... 1,776
382 American Home Products Corp. ....... 22,431
301 Amgen, Inc. (b)..................... 21,116
15 Bard C.R., Inc. .................... 709
16 Bausch & Lomb, Inc. ................ 1,201
85 Baxter International, Inc. ......... 5,973
74 Becton Dickinson & Co. ............. 2,119
44 Biogen, Inc. (b).................... 2,806
35 Biomet, Inc. ....................... 1,331
119 Boston Scientific Corp. (b)......... 2,619
577 Bristol Myers Squibb Co. ........... 33,638
81 Cardinal Health, Inc. .............. 5,962
331 Eli Lilly & Co. .................... 33,023
90 Guidant Corp. (b)................... 4,443
163 HCA-The Healthcare Corp. ........... 4,959
113 Healthsouth Corp. (b)............... 811
49 Humana, Inc. (b).................... 261
87 IMS Health, Inc. ................... 1,566
407 Johnson & Johnson................... 41,482
20 Mallinckrodt Group, Inc. ........... 857
30 Manor Care, Inc. (b)................ 209
83 McKesson HBOC, Inc. ................ 1,728
61 Medimmune, Inc. (b)................. 4,521
350 Medtronic, Inc. .................... 17,453
</TABLE>
Continued
86
<PAGE> 89
One Group Mutual Funds
Equity Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Health Care, continued:
673 Merck & Co., Inc. .................. $ 51,583
13 Millipore Corp. .................... 1,013
1,843 Pfizer, Inc. ....................... 88,455
372 Pharmacia Corp. .................... 19,210
34 Quintiles Transnational Corp. (b)... 476
429 Schering Plough Corp. .............. 21,644
25 St. Jude Medical Center, Inc. ...... 1,126
92 Tenet Healthcare Corp. ............. 2,472
0 United States Surgical Corp.
(b)(c)............................ 0
48 UnitedHealth Group, Inc. ........... 4,074
28 Watson Pharmaceuticals, Inc. (b).... 1,521
18 Wellpoint Health Networks, Inc.
(b)............................... 1,318
----------
431,571
----------
Multi-Industry (1.2%):
81 Corning, Inc. ...................... 21,795
9 FMC Corp. (b)....................... 515
234 Honeywell International, Inc. ...... 7,873
116 Minnesota Mining & Manufacturing
Co. .............................. 9,559
42 Textron, Inc. ...................... 2,294
36 TRW, Inc. .......................... 1,566
----------
43,602
----------
Raw Materials (1.5%):
67 Air Products & Chemical, Inc. ...... 2,068
64 Alcan Aluminum Ltd. ................ 1,985
253 Alcoa, Inc. ........................ 7,335
24 Allegheny Technologies, Inc. ....... 438
33 Avery Dennison Corp. ............... 2,203
31 B. F. Goodrich Co. ................. 1,070
116 Barrick Gold Corp. ................. 2,106
39 Bethlehem Steel Corp. (b)........... 138
198 Dow Chemical Co. ................... 5,976
307 E.I. du Pont de Nemours & Co. ...... 13,412
22 Eastman Chemical Co. ............... 1,070
38 Ecolab, Inc. ....................... 1,484
37 Engelhard Corp. .................... 637
47 Freeport-McMoran Copper & Gold,
Inc., Class B (b)................. 433
16 Great Lakes Chemical Corp. ......... 502
31 Hercules, Inc. ..................... 441
76 Homestake Mining Co. ............... 524
53 Inco Ltd. (b)....................... 818
49 Newmont Mining Corp. ............... 1,063
25 Nucor Corp. ........................ 827
36 Pall Corp. ......................... 670
23 Phelps Dodge Corp. ................. 857
96 Placer Dome, Inc. .................. 917
46 Praxair, Inc. ...................... 1,729
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Raw Materials, continued:
64 Rohm & Haas Co. .................... $ 2,198
25 Sigma-Aldrich Corp. ................ 729
39 Union Carbide Corp. ................ 1,952
26 USX-U.S. Steel Group, Inc. ......... 480
30 Vulcan Materials Co. ............... 1,259
20 W.R. Grace & Co. (b)................ 239
25 Worthington Industries, Inc. ....... 265
----------
55,825
----------
Retail (5.9%):
124 Albertsons, Inc. ................... 4,124
41 Bed Bath & Beyond, Inc. (b)......... 1,490
60 Best Buy, Inc. (b).................. 3,782
60 Circuit City Stores, Inc. .......... 1,975
32 Consolidated Stores Co. (b)......... 419
131 Costco Wholesale Corp. (b).......... 4,316
114 CVS Corp. .......................... 4,571
36 Darden Restaurants, Inc. ........... 589
27 Dillard Department Stores, Inc.,
Class A........................... 336
96 Dollar General Corp. ............... 1,878
63 Federated Department
Stores, Inc. (b).................. 2,116
249 Gap, Inc. .......................... 7,784
11 Great Atlantic & Pacific Tea,
Inc. ............................. 186
677 Home Depot, Inc. ................... 33,825
76 J.C. Penney, Inc. .................. 1,409
141 K-Mart, Inc. (b).................... 959
96 Kohl's Corp. (b).................... 5,315
245 Kroger Co. (b)...................... 5,394
126 Limited, Inc. ...................... 2,720
11 Longs Drug Stores, Inc. ............ 250
112 Lowe's Co. ......................... 4,597
97 May Department Stores Co. .......... 2,336
391 McDonald's Corp. ................... 12,885
39 Nordstrom, Inc. .................... 950
55 Radioshack Corp. ................... 2,591
76 Rite Aid Corp. (b).................. 498
145 Safeway, Inc. (b)................... 6,559
103 Sears Roebuck & Co. ................ 3,368
54 Starbucks Corp. (b)................. 2,053
133 Target Corp. ....................... 7,742
21 Tiffany & Co. ...................... 1,434
88 TJX Co., Inc. ...................... 1,646
63 Toys R Us, Inc. (b)................. 923
43 Tricon Global Restaurants, Inc.
(b)............................... 1,219
1,305 Wal-Mart Stores, Inc. .............. 75,190
295 Walgreen Co. ....................... 9,497
</TABLE>
Continued
87
<PAGE> 90
One Group Mutual Funds
Equity Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Retail, continued:
33 Wendy's International, Inc. ........ $ 593
42 Winn Dixie Stores, Inc. ............ 605
----------
218,124
----------
Shelter (0.8%):
12 Armstrong Holdings, Inc. ........... 181
17 Boise Cascade Corp. ................ 434
17 Centex Corp. ....................... 408
3 Drew Industries, Inc. (b)........... 26
50 Georgia Pacific Corp. .............. 1,312
141 International Paper Co. ............ 4,216
14 Kaufman & Broad Home Corp. ......... 278
163 Kimberly Clark Corp. ............... 9,334
58 Leggett & Platt, Inc. .............. 950
30 Louisiana Pacific Corp. ............ 332
131 Masco Corp. ........................ 2,372
30 Mead Corp. ......................... 760
43 Owens-Illinois, Inc. (b)............ 501
8 Potlatch Corp. ..................... 277
12 Pulte Corp. ........................ 260
25 Sealed Air Corp. (b)................ 1,283
15 Temple Inland, Inc. ................ 643
29 Westvaco Corp. ..................... 730
68 Weyerhaeuser Co. ................... 2,931
32 Williamette Industries, Inc. ....... 882
----------
28,110
----------
Technology (30.8%):
103 3Com Corp. (b)...................... 5,918
30 Adaptec, Inc. (b)................... 692
99 ADC Telecommunications, Inc. (b).... 8,287
35 Adobe Systems, Inc. ................ 4,558
45 Advanced Micro Devices, Inc. (b).... 3,463
132 Agilent Technologies, Inc. (b)...... 9,762
58 Altera Corp. (b).................... 5,943
57 American Power Conversion
Corp. (b)......................... 2,318
104 Analog Devices, Inc. (b)............ 7,874
24 Andrew Corp. (b).................... 792
95 Apple Computer, Inc. (b)............ 4,990
236 Applied Materials, Inc. (b)......... 21,423
17 Auto Desk, Inc. .................... 594
72 BMC Software, Inc. (b).............. 2,609
266 Boeing Co. ......................... 11,107
63 Broadcom Corp., Class A (b)......... 13,863
53 Cabletron Systems, Inc. (b)......... 1,347
2,037 Cisco Systems, Inc. (b)............. 128,938
54 Citrix System, Inc. (b)............. 1,025
497 Compaq Computer Corp. .............. 12,707
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
172 Computer Associates
International, Inc. .............. $ 8,820
106 Compuware Corp. (b)................. 1,095
45 Comverse Technology, Inc. (b)....... 4,157
64 Conexant Systems, Inc. (b).......... 3,093
754 Dell Computer Corp. (b)............. 37,173
635 EMC Corp. (b)....................... 48,877
94 Gateway, Inc. (b)................... 5,346
59 General Dynamics Corp. ............. 3,071
258 Global Crossing Ltd. (b)............ 6,792
293 Hewlett Packard Co. ................ 36,563
519 IBM Corp. .......................... 56,865
981 Intel Corp. ........................ 131,083
54 KLA-Tencor Corp. (b)................ 3,190
38 Lexmark International Group,
Inc. (b).......................... 2,545
91 Linear Technology Corp. ............ 5,825
117 Lockheed Martin Corp. .............. 2,909
90 LSI Logic Corp. (b)................. 4,863
953 Lucent Technologies, Inc. .......... 56,488
83 Maxim Integrated Products, Inc.
(b)............................... 5,622
23 Mercury Interactive Corp. (b)....... 2,254
162 Micron Technology, Inc. (b)......... 14,308
1,541 Microsoft Corp. (b)................. 123,253
8 MIPS Technologies, Inc. (b)......... 293
630 Motorola, Inc. ..................... 18,312
52 National Semiconductor Corp. (b).... 2,936
28 NCR Corp. .......................... 1,086
89 Network Appliance, Inc. (b)......... 7,181
867 Nortel Networks Corp. .............. 59,192
20 Northrop Grumman Corp. ............. 1,354
96 Novell, Inc. (b).................... 892
38 Novellus Systems, Inc. (b).......... 2,164
831 Oracle Corp. (b).................... 69,856
81 Parametric Technology Corp. (b)..... 889
61 PE Corp.-PE Biosystems Group........ 4,015
81 Peoplesoft, Inc. (b)................ 1,353
14 Perkinelmer, Inc. .................. 953
217 Qualcomm, Inc. (b).................. 13,017
99 Raytheon Co., Class B............... 1,914
55 Rockwell International Corp. ....... 1,734
47 Scientific-Atlanta, Inc. ........... 3,474
67 Seagate Technology, Inc. (b)........ 3,658
58 Siebel Systems, Inc. (b)............ 9,553
55 Silicon Graphics, Inc. (b).......... 205
175 Solectron Corp. (b)................. 7,309
464 Sun Microsystems, Inc. (b).......... 42,239
14 Tektronix, Inc. (b)................. 1,046
120 Tellabs, Inc. (b)................... 8,207
</TABLE>
Continued
88
<PAGE> 91
One Group Mutual Funds
Equity Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
51 Teradyne, Inc. (b).................. $ 3,730
479 Texas Instruments, Inc. ............ 32,905
17 Thomas & Betts Corp. ............... 324
91 Unisys Corp. (b).................... 1,329
138 United Technologies Corp. .......... 8,109
114 Veritas Software Corp. (b).......... 12,935
195 Xerox Corp. ........................ 4,047
94 Xilinx, Inc. (b).................... 7,765
----------
1,146,378
----------
Transportation (0.6%):
44 AMR Corp. (b)....................... 1,157
125 Burlington Northern Santa Fe
Corp. ............................ 2,876
64 CSX Corp. .......................... 1,356
36 Delta Air Lines, Inc. .............. 1,812
85 FedEx Corp. (b)..................... 3,227
33 Kansas City Southern Industries,
Inc. ............................. 2,891
112 Norfolk Southern Corp. ............. 1,668
145 Southwest Airlines Co. ............. 2,752
73 Union Pacific Corp. ................ 2,698
20 US Airways Group, Inc. (b).......... 766
----------
21,203
----------
Utilities (9.0%):
125 AES Corp. (b)....................... 5,692
92 Alltel Corp. ....................... 5,717
40 Ameren Corp. ....................... 1,356
95 American Electric Power Co.,
Inc. ............................. 2,813
1,099 AT&T Corp. ......................... 34,742
455 Bell Atlantic Corp. ................ 23,128
551 BellSouth Corp. .................... 23,480
41 Centurytel, Inc. ................... 1,180
47 Cinergy Corp. ...................... 1,184
32 CMS Energy Corp. ................... 710
63 Coastal Corp. ...................... 3,811
24 Columbia Gas System, Inc. .......... 1,561
62 Consolidated Edison, Inc. .......... 1,838
44 Constellation Energy Group, Inc. ... 1,426
47 CP&L, Inc. ......................... 1,493
42 Detroit Edison Co. ................. 1,278
70 Dominion Resources, Inc. of
Virginia.......................... 2,988
108 Duke Power Co., Inc. ............... 6,066
8 Eastern Enterprises................. 501
97 Edison International................ 1,995
68 El Paso Energy Corp. ............... 3,451
214 Enron Corp. ........................ 13,821
67 Entergy Corp. ...................... 1,830
68 First Energy Corp. ................. 1,580
52 Florida Power & Light Group,
Inc. ............................. 2,583
29 Florida Progress Corp. ............. 1,355
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Utilities, continued:
36 General Public Utilities Corp. ..... $ 962
285 GTE Corp. .......................... 17,765
34 New Century Energies, Inc. ......... 1,025
222 Nextel Communications, Inc., Class A
(b)............................... 13,587
51 Niagara Mohawk Holdings, Inc. (b)... 704
14 NICOR, Inc. ........................ 444
46 Northern States Power Co. .......... 928
9 Oneok, Inc. ........................ 221
50 Peco Energy Corp. .................. 2,000
10 Peoples Energy Corp. ............... 333
113 PG&E Corp. ......................... 2,779
25 Pinnacle West Capital Corp. ........ 842
42 PPL Corp. .......................... 927
63 Public Service Enterprise Group..... 2,194
87 Reliant Energy, Inc. ............... 2,558
996 SBC Communications, Inc. ........... 43,074
60 Sempra Energy....................... 1,017
190 Southern Co. ....................... 4,426
257 Sprint Corp. ....................... 13,091
268 Sprint Corp., PCS (b)............... 15,942
77 Txu Corp. .......................... 2,279
53 Unicom Corp. ....................... 2,037
150 US West, Inc. ...................... 12,829
129 Williams Cos., Inc. ................ 5,393
838 Worldcom, Inc. (b).................. 38,455
----------
333,391
----------
Total Common Stocks 3,685,394
----------
INVESTMENT COMPANIES (0.0%):
0 One Group Prime Money Market Fund,
Class I (c)....................... 0
----------
Total Investment Companies 0
----------
U.S. TREASURY OBLIGATIONS (0.1%):
U.S. Treasury Bills (0.1%):
$ 4,540 7/20/00 (d)......................... 4,528
500 8/24/00............................. 496
----------
Total U.S. Treasury Obligations 5,024
----------
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING (5.5%):
Master Notes (0.6%):
8,942 Bear Stearns, 7.40%, 7/3/00*........ 8,942
2,236 Danaher, 7.31%, 7/3/00*............. 2,236
5,067 General Mills, 6.83%, 7/3/00*....... 5,067
2,236 Lehman Brothers, 7.44%, 7/3/00*..... 2,236
2,236 Williamette, 6.92%, 7/3/00*......... 2,236
----------
20,717
----------
</TABLE>
Continued
89
<PAGE> 92
One Group Mutual Funds
Equity Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING, CONTINUED:
Put Bonds (2.2%):
$ 3,726 Associates Corp., 7.00%, 9/17/01*... $ 3,768
5,962 Bank of America, 6.32%, 7/5/01*..... 6,029
4,471 Caterpillar Finance, 7.05%,
5/1/01*........................... 4,471
3,726 Chase Manhattan, 7.11%, 5/6/02*..... 3,726
3,726 Ford Motor, 7.03%, 4/11/02*......... 3,726
3,726 GMAC, 7.07%, 5/3/01*................ 3,726
14,892 Goldman Sachs, 7.13%, 11/21/00*..... 14,892
1,490 Greenwich Capital Markets, 7.10%,
7/9/01*........................... 1,490
2,071 Greenwich Capital Markets, 7.11%,
12/2/02*.......................... 2,071
3,726 J.P. Morgan & Co., 7.01%, 5/4/01*... 3,726
3,281 Lehman Brothers, 6.91%, 9/4/01*..... 3,281
4,471 Liberty Lighthouse, 7.08%,
4/12/02*.......................... 4,469
3,726 Merrill Lynch, 7.16%, 5/6/02*....... 3,726
3,726 Salomon Smith Barney, 6.81%,
4/8/02*........................... 3,726
1,714 Salomon Smith Barney, 6.90%,
2/5/01*........................... 1,714
4,471 Sigma Financial, 6.91%, 5/15/01*.... 4,471
3,726 Sigma Financial, 6.93%, 1/22/01*.... 3,726
5,962 SPARCC, 6.65%, 9/25/00*............. 5,962
3,726 U.S. Bancorp, 6.78%, 5/8/02*........ 3,726
----------
82,426
----------
Repurchase Agreements (2.7%):
455 Bear Stearns, 6.83%, 7/3/00,
(Collateralized by $2,068 various
U.S. Government securities,
5.73% - 8.00%, 1/15/02 - 2/15/28,
market value $494)................ 455
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING, CONTINUED:
Repurchase Agreements, continued:
$44,712 Goldman Sachs, 7.15%, 7/3/00,
(Collateralized by $47,315 various
Commercial Paper, 0.00%, 7/3/00 -
8/14/00, market value $47,104).... $ 44,712
11,178 HSBC, 7.25%, 7/3/00, (Collateralized
by $18,681 various U.S. Government
securities, 0.00% - 15.75%,
11/15/00 - 4/15/29, market value
$11,402).......................... 11,178
2,236 Lehman Brothers, 7.38%, 7/3/00,
(Collateralized by various equity
securities, market value
$2,370)........................... 2,236
4,131 Lehman Brothers, 7.18%, 7/3/00,
(Collateralized by $4,337 Galaxy
Funding Commercial Paper, 0.00%,
10/10/00, market value
$4,255)........................... 4,131
37,259 Merrill Lynch, 7.20%, 7/3/00,
(Collateralized by $39,582 various
Commercial Paper, 0.00%, 7/3/00 -
3/9/01, market value $39,123)..... 37,259
----------
99,971
----------
Total Short-Term Securities Held as Collateral
for Securities Lending 203,114
----------
Total (Cost $2,258,682) (a) $3,918,227
==========
</TABLE>
------------
Percentages indicated are based on net assets of $3,715,606.
(a) Represents cost for financial reporting purposes and differs from cost basis
for federal income tax purposes by the amount of losses recognized for
financial reporting purposes in excess of federal income tax reporting of
approximately $20,363. Cost for federal income tax purposes differs from
value by net unrealized appreciation (depreciation) of securities as follows
(amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $1,815,596
Unrealized depreciation...................... (176,414)
----------
Net unrealized appreciation (depreciation)... $1,639,182
==========
</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 note, which will change
periodically, is based upon prime rates or an index of market rates. The rate
reflected on the Schedule of Portfolio Investments is the rate at June 30,
2000.
See notes to financial statements.
90
<PAGE> 93
One Group Mutual Funds
Market Expansion Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------------------------- -------
<C> <S> <C>
COMMERCIAL PAPER (4.1%):
Financial Services (2.1%):
$700 GMAC, 6.52%, 9/7/00................... $ 691
-------
Materials (2.0%):
700 Atlantis One, 6.59%, 9/5/00........... 691
-------
Total Commercial Paper 1,382
-------
COMMON STOCKS (91.7%):
Business Equipment & Services (10.7%):
1 A.C. Nielson Corp. (b)................ 29
0 Aaron Rents, Inc. (c)................. 5
1 ABM Industries, Inc. ................. 12
3 Acxiom Corp. (b)...................... 69
0 Administaff, Inc. (b)(c).............. 20
1 Advance Paradigm, Inc. (b)............ 10
1 Advo, Inc. (b)........................ 20
1 Affiliated Computer Services, Inc.
(b)................................. 40
1 American Management Systems,
Inc. (b)............................ 33
0 Angelica Corp. (c).................... 2
2 Apollo Group, Inc. (b)................ 53
1 Billing Information Concepts (b)...... 4
1 BISYS Group, Inc. (b)................. 43
1 Bowne & Co., Inc. .................... 9
1 Cambridge Technology Partners,
Inc. (b)............................ 12
0 Catalina Marketing Corp. (b)(c)....... 42
0 CDI Corp. (c)......................... 8
1 Central Parking Corp. ................ 19
2 Checkfree Holdings Corp. (b).......... 77
1 Checkpoint Systems, Inc. (b).......... 5
1 Choicepoint, Inc. (b)................. 38
1 Ciber, Inc. (b)....................... 19
5 Cintas Corp. ......................... 166
0 Circor International, Inc. (c)........ 1
4 Comdisco, Inc. ....................... 91
0 Computer Task Group, Inc. (c)......... 2
0 Concord Communications, Inc. (b)(c)... 12
5 Concord EFS, Inc. (b)................. 143
0 Consolidated Graphics, Inc. (b)(c).... 4
2 CSG Systems International, Inc. (b)... 84
0 Cuno, Inc. (b)(c)..................... 7
0 Cyrk, Inc. (b)(c)..................... 2
1 Dendrite International, Inc. (b)...... 28
2 DeVry, Inc. (b)....................... 58
2 DST Systems, Inc. (b)................. 129
1 eLoyalty Corp. (b).................... 13
0 F.Y.I., Inc. (b)(c)................... 10
1 Factset Research Systems, Inc. ....... 20
0 Fair Issac & Co., Inc. (c)............ 13
3 Fiserv, Inc. (b)...................... 137
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Business Equipment & Services, continued:
1 Franklin Covey Co. (b)................ $ 3
2 Galileo International, Inc. .......... 46
2 Gartner Group Inc., Class B (b)....... 21
1 Ha-Lo Industries, Inc. (b)............ 6
1 Henry (Jack) & Associates, Inc. ...... 50
1 HNC Software, Inc. (b)................ 37
1 Hyperion Solutions Corp. (b).......... 22
1 Information Resources, Inc. (b)....... 2
0 Innovex, Inc. (b)(c).................. 3
1 Insight Enterprises, Inc. (b)......... 36
0 Insurance Auto Auctions, Inc.
(b)(c).............................. 4
2 Interim Services, Inc. (b)............ 29
1 Jacobs Engineering Group, Inc. (b).... 20
1 John H. Harland Co. .................. 10
1 Kelly Services, Inc. ................. 19
1 Labor Ready, Inc. (b)................. 6
1 Lason, Inc. (b)....................... 1
1 Lennox International, Inc. ........... 19
2 Manpower, Inc. ....................... 58
4 Marchfirst, Inc. (b).................. 64
1 Maximus, Inc. (b)..................... 11
1 Medquist, Inc. (b).................... 31
0 Memberworks, Inc. (b)(c).............. 10
2 Miller (Herman), Inc. ................ 49
2 Modis Professional Services, Inc.
(b)................................. 18
0 Nashua Corp. (b)(c)................... 3
1 National Computer System, Inc. ....... 39
1 National Data Corp. .................. 16
1 Navigant Consulting Co. (b)........... 3
1 NCO Group, Inc. (b)................... 14
0 New England Business Services (c)..... 5
2 Nova Corp. (Georgia) (b).............. 47
2 Nvidia Corp. (b)...................... 102
1 Ogden Corp. (b)....................... 10
1 Paxar Corp. (b)....................... 13
0 Pegasus Solutions, Inc. (b)(c)........ 4
1 Peregrine Systems, Inc. (b)........... 23
1 Pittston Co. ......................... 16
1 Policy Management Systems Corp. (b)... 12
1 Prepaid Legal Services, Inc. (b)...... 15
1 Primark Corp. (b)..................... 19
1 Profit Recovery Group International
(b)................................. 18
2 QLogic Corp. (b)...................... 126
0 QRS Corp. (b)(c)...................... 7
0 Radisys Corp. (b)(c).................. 23
2 Reynolds & Reynolds Co. .............. 33
5 Robert Half International, Inc. (b)... 137
1 Rollins, Inc. ........................ 11
1 RSA Security, Inc. (b)................ 62
</TABLE>
Continued
91
<PAGE> 94
One Group Mutual Funds
Market Expansion Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Business Equipment & Services, continued:
1 Saga Systems, Inc. (b)................ $ 7
0 Scott Technologies, Inc. (b)(c)....... 7
1 SEI Investments Co. .................. 48
2 Sensormatic Electronics Corp. (b)..... 28
2 Snyder Communications, Inc. (b)....... 40
1 Sotheby's Holdings, Inc. ............. 25
1 Standard Register Co. ................ 10
0 Startek, Inc. (b)(c).................. 15
3 Stewart Enterprises Corp. ............ 10
1 Stone & Webster, Inc. (e)............. 1
4 Sungard Data Systems, Inc. (b)........ 109
1 Sykes Enterprises, Inc. (b)........... 13
1 Sylvan Learning Systems, Inc. (b)..... 18
1 Tetra Tech, Inc. (b).................. 19
0 Tetra Technologies, Inc. (b)(c)....... 4
1 True North Communications, Inc. ...... 48
1 United Stationers, Inc. (b)........... 26
0 URS Corp. (b)(c)...................... 6
2 Viad Corp. ........................... 63
1 Volt Information Sciences, Inc. (b)... 16
1 Wallace Computer Services, Inc. ...... 10
2 Waters Corp. (b)...................... 213
1 Zebra Technologies Corp. (b).......... 35
-------
3,593
-------
Capital Goods (4.6%):
1 Agco Corp. ........................... 17
1 Amcast Industrial Corp. .............. 5
2 American Standard Co. (b)............. 71
0 Applied Industrial Technologies, Inc.
(c)................................. 8
1 Applied Power, Inc. .................. 30
1 Astec Industries, Inc. (b)............ 13
1 Baldor Electric Co. .................. 17
1 Barnes Group, Inc. ................... 8
1 Belden, Inc. ......................... 15
1 Building Material Holding Co. (b)..... 4
0 Butler Manufacturing Co. (c).......... 3
1 C&D Technologies, Inc. ............... 34
1 C-Cor.net Corp. (b)................... 22
0 Castle (A.M.) & Co. (c)............... 3
1 Clarcor, Inc. ........................ 12
1 Coherent, Inc. (b).................... 50
2 Diebold, Inc. ........................ 48
1 Donaldson Co., Inc. .................. 22
0 Elcor Corp. (c)....................... 9
1 Electro Scientific Industries, Inc.
(b)................................. 26
0 Esterline Technologies Corp. (b)(c)... 6
1 Fastenal Co. ......................... 46
1 Federal Signal Corp. ................. 18
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Capital Goods, continued:
0 Florida Rock Industries, Inc. (c)..... $ 14
1 Flowserve Corp. (b)................... 14
1 Foster Wheeler Corp. ................. 8
0 Gardner Denver Machinery, Inc.
(b)(c).............................. 7
1 Graco, Inc. .......................... 16
1 Granite Construction, Inc. ........... 15
0 Harmon Industries, Inc. (c)........... 4
1 Harsco Corp. ......................... 23
1 Helix Technology Corp. ............... 20
1 Hubbell, Inc. ........................ 38
1 Hughes Supply, Inc. .................. 12
1 Idex Corp. ........................... 22
1 Imco Recycling, Inc. ................. 3
1 Insituform Technologies, Inc. (b)..... 16
1 Insteel Industries, Inc. ............. 5
1 Interface, Inc. ...................... 5
0 Intermagnetics General Corp. (b)(c)... 6
0 Ionics, Inc. (b)(c)................... 12
1 JLG Industries, Inc. ................. 13
1 Justin Industries, Inc. .............. 13
1 Kennametal, Inc. ..................... 15
1 Kent Electronics Corp. (b)............ 18
0 Lawson Products, Inc. (c)............. 7
0 Lindsay Manufacturing Co. (c)......... 6
1 Magnetek, Inc. (b).................... 6
1 Manitowoc Co., Inc. .................. 17
1 Mark IV Industries, Inc. ............. 22
1 Martin Marietta Materials, Inc. ...... 44
1 Material Sciences Corp. (b)........... 5
1 Methode Electronics, Inc. ............ 35
1 Morrison Knudsen Corp. (b)............ 9
1 Newport News Shipbuilding, Inc. ...... 26
0 Nordson Corp. (c)..................... 20
0 Oshkosh Truck Corp. (c)............... 14
1 Precision Castparts Corp. ............ 27
1 Quanta Services, Inc. (b)............. 77
1 Regal Beloit Corp. ................... 8
1 Republic Group, Inc. ................. 5
0 Robbins & Myers, Inc. (c)............. 7
1 Roper Industries, Inc. ............... 18
1 RTI International Metals, Inc. (b).... 6
0 Shaw Group, Inc. (b)(c)............... 14
0 Simpson Manufacturing Co., Inc.
(b)(c).............................. 14
1 Southdown, Inc. ...................... 47
1 Specialty Equipment Cos., Inc (b)..... 14
1 Speedfam-Ipec, Inc. (b)............... 13
0 SPS Technologies, Inc. (b) (c)........ 12
0 Standex International Corp. (c)....... 6
1 Stewart & Stevenson Services, Inc. ... 9
</TABLE>
Continued
92
<PAGE> 95
One Group Mutual Funds
Market Expansion Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Capital Goods, continued:
0 Technitrol, Inc. (c).................. $ 39
1 Tecumseh Products Co. ................ 19
1 Teleflex, Inc. ....................... 32
1 Texas Industries, Inc. ............... 14
1 Theragenics Corp. (b)................. 4
1 Trinity Industries, Inc. ............. 22
1 Ucar International, Inc. (b).......... 14
1 USG Corp. ............................ 36
1 Valmont Industries, Inc. ............. 12
1 Vicor Corp. (b)....................... 35
1 Wabash National Corp. ................ 6
1 Watts Industries, Inc. ............... 8
0 Wolverine Tube, Inc. (b)(c)........... 5
1 York International Corp. ............. 23
-------
1,543
-------
Consumer Durable (1.5%):
1 Apogee Enterprises, Inc. ............. 4
1 Arvin Industries, Inc. ............... 12
1 Bandag, Inc. ......................... 12
1 Borg-Warner Automotive, Inc. ......... 21
1 Carlisle Cos. Inc. ................... 31
0 Coachmen Industries, Inc. (c)......... 5
1 Copart, Inc. (b)...................... 21
1 Fedders Corp. ........................ 5
2 Federal Mogul Corp. .................. 18
2 Gentex Corp. (b)...................... 44
0 Harman International Industries, Inc.
(c)................................. 24
1 Intermet Corp. ....................... 6
1 Kaydon Corp. ......................... 15
2 Lear Corp. (b)........................ 31
1 Mascotech, Inc. ...................... 12
2 Meritor Automotive, Inc. ............. 18
1 Modine Manufacturing Co. ............. 19
1 Monaco Coach Corp. (b)................ 7
1 Polaris Industries, Inc. ............. 19
0 Royal Appliance Manufacturing
Co. (b)(c).......................... 2
1 Simpson Industries, Inc. ............. 4
1 Smith (A.O.) Corp. ................... 13
1 Spartan Motors, Inc. ................. 4
1 SPX Corp. (b)......................... 84
1 Standard Motor Products, Inc. ........ 4
1 Superior Industries International,
Inc. ............................... 15
1 TBC Corp. (b)......................... 5
2 Tenneco Automotive, Inc. ............. 8
1 Titan International, Inc. ............ 4
0 Toro Co. (c).......................... 8
1 Tower Automotive, Inc. (b)............ 14
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Consumer Durable, continued:
1 Watsco, Inc. ......................... $ 9
1 Winnebago Industries, Inc. ........... 7
0 Wynns International, Inc. (c)......... 10
-------
515
-------
Consumer Non-Durable (4.6%):
0 Agribrands International, Inc.
(b)(c).............................. 8
1 Albany International Corp. (b)........ 12
1 American Eagle Outfitters, Inc. (b)... 20
0 American Italian Pasta Co.,
Class A (b)(c)...................... 8
1 Applica, Inc. (b)..................... 6
1 AptarGroup, Inc. ..................... 24
1 Ashworth, Inc. (b).................... 3
0 Beringer Wine Estates, Inc. (b)(c).... 14
1 Biomatrix, Inc. (b)................... 11
1 Blyth, Inc. (b)....................... 35
1 BMC Industries, Inc. ................. 3
0 Brown Shoe Company, Inc. (c).......... 5
2 Burlington Industries, Inc. (b)....... 3
0 Canandaigua Brands, Inc. (b)(c)....... 20
2 Chiquita Brands International,
Inc. ............................... 6
1 Church & Dwight, Inc. ................ 16
0 Coca-Cola Bottling Co. (c)............ 9
1 Cone Mills Corp. (b).................. 4
1 Corn Products International, Inc. .... 24
0 CPI Corp. (c)......................... 4
0 Cross (A.T.) Co. (b)(c)............... 2
1 Dean Foods Co. ....................... 28
1 Department 56, Inc. (b)............... 6
2 Dial Corp. ........................... 25
2 Dimon, Inc. .......................... 3
1 Dixie Group, Inc. (b)................. 4
1 Dole Food Co., Inc. .................. 18
1 Dreyer's Grand Ice Cream, Inc. ....... 13
1 Earthgrains Co. ...................... 19
2 Energizer Holding, Inc. (b)........... 42
1 Enesco Group, Inc. ................... 4
1 Fleming Co. .......................... 12
0 Flow International Corp. (b)(c)....... 3
2 Flowers Industries, Inc. ............. 48
1 Fossil, Inc. (b)...................... 14
1 G & K Services, Inc. ................. 13
0 Galey & Lord, Inc. (b)(c)............. 1
1 Guilford Mills, Inc. ................. 3
0 Haggar Corp. (c)...................... 4
1 Hain Celestial Group, Inc. (b)........ 22
1 Hartmarx Corp. (b).................... 3
3 Hormel Foods Corp. ................... 57
</TABLE>
Continued
93
<PAGE> 96
One Group Mutual Funds
Market Expansion Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Consumer Non-Durable, continued:
3 IBP, Inc. ............................ $ 39
1 Imation Corp. (b)..................... 26
0 International Multifoods Corp. (c).... 6
2 Interstate Bakeries Corp. ............ 22
0 J & J Snack Foods Corp. (b)(c)........ 4
1 Jan Bell Marketing, Inc. (b).......... 1
3 Jones Apparel Group, Inc. (b)......... 78
0 K Swiss, Inc. (c)..................... 5
1 Kellwood Co. ......................... 13
1 Lancaster Colony Corp. ............... 18
1 Lance, Inc. .......................... 6
0 Libbey, Inc. (c)...................... 13
2 McCormick & Co., Inc. ................ 55
1 Michael Foods, Inc. .................. 12
1 Mohawk Industries, Inc. (b)........... 30
1 Myers Industries, Inc. ............... 6
0 Nash Finch Co. (c).................... 2
0 National Presto Industries, Inc.
(c)................................. 6
0 Natures Sunshine Products, Inc. (c)... 3
1 Nautica Enterprises, Inc. (b)......... 9
1 NBTY, Inc. (b)........................ 9
0 Oshkosh 'B' Gosh, Inc. (c)............ 7
0 Oxford Industries, Inc. (c)........... 5
1 Pacific Sunwear of California, Inc.
(b)................................. 14
1 Payless Shoesource, Inc. (b).......... 36
0 Penford Corp. (c)..................... 3
0 Performance Food Group Co. (b)(c)..... 10
1 Phillips-Van Heusen................... 6
0 Pillowtex Corp. (b)(c)................ 2
1 Quiksilver, Inc. (b).................. 8
1 Ralcorp Holdings, Inc. (b)............ 9
3 RJ Reynolds Tobacco Holdings, Inc. ... 86
1 Russ Berrie & Co, Inc. ............... 10
0 Salton, Inc. (b)(c)................... 7
1 Schweitzer-Mauduit International,
Inc. ............................... 6
1 SLI, Inc. ............................ 10
1 Smithfield Foods, Inc. (b)............ 39
1 Smucker (J. M.) Co. .................. 13
1 Stride Rite Corp. .................... 7
1 Suiza Foods Corp. (b)................. 34
0 Thomas Industries, Inc. (c)........... 7
1 Timberland Co. (b).................... 42
1 Triarc Co., Inc. (b).................. 13
6 Tyson Foods, Inc. .................... 54
1 Unifi, Inc. (b)....................... 17
0 United Natural Foods, Inc. (b)(c)..... 6
1 Universal Corp. ...................... 15
1 Universal Foods Corp. ................ 22
0 USA Detergents, Inc. (b)(c)........... 1
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Consumer Non-Durable, continued:
1 Vlasic Foods International, Inc.
(b)................................. $ 1
1 Warnaco Group, Inc. .................. 11
1 Westpoint Stevens, Inc. .............. 14
0 Wet Seal, Inc., Class A (b)(c)........ 4
4 Whitman Corp. ........................ 52
1 Wolverine World Wide, Inc. ........... 11
1 X-Rite, Inc. ......................... 5
-------
1,529
-------
Consumer Services (4.8%):
0 Action Performance Cos., Inc.
(b)(c).............................. 2
0 Anchor Gaming (b)(c).................. 14
1 Arctic Cat, Inc. ..................... 7
1 Aztar Corp. (b)....................... 16
1 Banta Corp. .......................... 13
3 Belo ( A.H.) Corp., Series A.......... 48
2 Callaway Golf Co. .................... 29
0 Carmike Cinemas, Inc. (b)(c).......... 1
1 Chris-Craft Industries, Inc. (b)...... 56
0 Cox Communications, Inc. (b)(c)....... 0
0 General Cinema Cos., Inc. (b)(c)...... 4
1 Gtech Holdings Corp. (b).............. 18
2 Harte Hanks Communication............. 43
0 Hilton Hotels Corp. (c)............... 4
3 Hispanic Broadcasting Corp. (b)....... 93
1 Houghton Mifflin Co. ................. 33
1 Huffy Corp. .......................... 2
2 International Game Technologies (b)... 48
2 International Speedway Corp. ......... 70
0 Jakks Pacific, Inc. (b)(c)............ 6
1 K2, Inc. (b).......................... 4
1 Lee Enterprises, Inc. ................ 23
2 Mandalay Resort Group (b)............. 43
1 Marcus Corp. ......................... 8
1 Media General, Inc. .................. 29
1 Midway Games, Inc. (b)................ 7
0 On Assignment, Inc. (b)(c)............ 12
10 Park Place Entertainment (b).......... 120
1 Penton Media, Inc. ................... 25
1 Pinnacle Entertainment, Inc. (b)...... 12
2 Premier Parks, Inc. (b)............... 55
1 Prime Hospitality Corp. (b)........... 10
3 Reader's Digest Association, Inc. .... 117
0 Scholastic Corp. (b)(c)............... 24
0 SCP Pool Corp. (b)(c)................. 7
1 Sturm Ruger & Co., Inc. .............. 5
1 Swiss Army Brands, Inc. (b)........... 3
0 Thomas Nelson, Inc. (c)............... 3
0 THQI, Inc. (b)(c)..................... 5
</TABLE>
Continued
94
<PAGE> 97
One Group Mutual Funds
Market Expansion Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Consumer Services, continued:
3 Univision Communications, Inc. (b).... $ 280
2 Valassis Communications, Inc. (b)..... 69
0 Washington Post Co. (c)............... 113
3 Westwood One, Inc. ................... 109
-------
1,590
-------
Energy (6.0%):
0 Atwood Oceanics, Inc. (b)(c).......... 13
1 Barrett Resources Corp. (b)........... 21
1 Benton Oil & Gas Co. (b).............. 2
2 BJ Services Co. (b)................... 125
1 Cabot Oil & Gas Corp. ................ 13
0 Cal Dive International, Inc. (b)(c)... 16
1 Cross Timbers Oil Co. ................ 25
3 Devon Energy Corp. ................... 140
0 Dril-Quip, Inc. (b)(c)................ 19
4 ENSCO International, Inc. ............ 129
1 Friede Goldman Halter, Inc. (b)....... 7
5 Global Marine, Inc. (b)............... 132
3 Grant Prideco, Inc. (b)............... 73
2 Hanover Compressor Co. (b)............ 76
1 Helmerich & Payne, Inc. .............. 28
1 HS Resources, Inc. (b)................ 15
1 Input/Output, Inc. (b)................ 10
1 Louis Dreyfus Natural Gas Corp. (b)... 28
1 Murphy Oil Corp. ..................... 59
4 Nabors Industries, Inc. (b)........... 155
1 Newfield Exploration Co. (b).......... 39
1 Noble Affiliates, Inc. ............... 48
3 Noble Drilling Corp. (b).............. 143
0 Nuevo Energy Co. (b)(c)............... 8
1 Oceaneering International, Inc. (b)... 10
0 Offshore Logistics, Inc. (b)(c)....... 4
2 Pennzoil-Quaker State Co. ............ 18
2 Pioneer Natural Resources Co. (b)..... 31
0 Plains Resources, Inc. (b)(c)......... 6
1 Pogo Producing Co. ................... 20
1 Pride International, Inc. ............ 35
1 Remington Oil & Gas Corp. (b)......... 4
4 Santa Fe Snyder Corp. (b)............. 49
0 Seacor Smit, Inc. (b)(c).............. 17
1 Seitel, Inc. (b)...................... 4
1 Smith International, Inc. (b)......... 95
0 St. Mary Land & Exploration Co. (c)... 8
0 Stone Energy Corp. (b)(c)............. 24
1 Tidewater, Inc. ...................... 47
0 Transocean Sedco Forex, Inc. (c)...... 11
2 Ultramar Diamond Shamrock Corp. ...... 59
1 Valero Energy Corp. .................. 41
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Energy, continued:
2 Varco International, Inc. (b)......... $ 48
1 Veritas DGC, Inc. (b)................. 16
1 Vintage Pete, Inc. ................... 32
3 Weatherford International, Inc. (b)... 117
-------
2,020
-------
Financial Services (9.2%):
2 A.G. Edwards, Inc. ................... 83
0 Ace Ltd. (c).......................... 7
1 Allmerica Financial Corp. ............ 68
2 AMBAC Financial Group, Inc. .......... 91
2 American Financial Group, Inc. ....... 42
2 Americredit Corp. (b)................. 29
1 Amresco, Inc. (b)(c).................. 0
1 Anchor Bancorp Wisconsin, Inc. ....... 8
1 Arthur J. Gallagher & Co. ............ 34
2 Associated Banc-Corp. ................ 37
1 Astoria Financial Corp. .............. 33
1 Banknorth Group, Inc. ................ 14
0 Barra, Inc. (b)(c).................... 15
0 BB&T Corp. (c)........................ 7
1 CCB Financial Corp. .................. 33
1 Centura Banks, Inc. .................. 34
0 Charles Schwab Corp. (c).............. 12
1 Chittenden Corp. ..................... 15
1 Commerce Bancorp, Inc. ............... 29
1 Commercial Federal Corp. ............. 21
1 Community First Bankshares............ 18
3 Compass Bancshares, Inc. ............. 44
1 Culen Frost Bankers, Inc. ............ 34
0 Dain Rauscher Corp. (c)............... 20
1 Delphi Financial Group (b)............ 18
3 Dime Bancorp, Inc. ................... 39
1 Downey Financial Corp. ............... 17
7 E*Trade Group, Inc. (b)............... 120
0 E.W. Blanch Holdings, Inc. (c)........ 6
1 Eaton Vance Corp. .................... 37
1 Enhance Financial Services Group...... 13
1 Everest Re Group Ltd. ................ 36
2 Fidelity National Financial, Inc. .... 28
1 Finova Group, Inc. ................... 18
2 First American Financial Corp. ....... 22
1 First Bancorp/Puerto Rico............. 13
1 First Midwest Bancorp, Inc. .......... 22
5 First Security Corp. ................. 62
3 First Tennessee National Corp. ....... 51
1 First Virginia Banks, Inc. ........... 38
3 FirstMerit Corp. ..................... 62
2 Fremont General Corp. ................ 6
</TABLE>
Continued
95
<PAGE> 98
One Group Mutual Funds
Market Expansion Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Financial Services, continued:
1 Frontier Insurance Group, Inc. ....... $ 1
1 GATX Corp. ........................... 39
3 Greenpoint Financial Corp. ........... 48
4 Hibernia Corp. ....................... 40
0 Hilb, Rogal & Hamilton Co. (c)........ 10
1 Horace Mann Educators Corp. .......... 15
1 HSB Group, Inc. ...................... 23
1 Hudson United Bancorp................. 27
1 Investors Financial Services Corp. ... 24
1 Jefferies Group, Inc. ................ 10
1 Keystone Financial, Inc. ............. 23
2 Legg Mason, Inc. ..................... 95
1 MAF Bancorp, Inc. .................... 11
3 Marshall & Ilsley Corp. .............. 112
2 Mercantile Bankshares Corp. .......... 48
1 Morgan Keegan, Inc. .................. 7
1 Mutual Risk Management Ltd. .......... 17
1 National City Corp. .................. 38
2 National Commerce Bancorp............. 39
0 National Discount Brokers Group,
Inc. (b)(c)......................... 13
4 North Fork Bancorp, Inc. ............. 62
1 Ohio Casualty Corp. .................. 15
3 Old Republic International Corp. ..... 48
2 Pacific Century Financial Corp. ...... 27
1 Pioneer Group, Inc. (b)............... 25
1 PMI Group, Inc. ...................... 50
2 Protective Life Corp. ................ 40
1 Provident Bankshares Corp. ........... 10
1 Provident Financial Group............. 26
1 Queens County Bancorp, Inc. .......... 9
1 Radian Group, Inc. ................... 47
1 Raymond James Financial, Inc. ........ 25
2 Reliastar Financial Corp. ............ 114
1 Riggs National Corp. Washington
D.C. ............................... 9
0 RLI Corp. (c)......................... 7
0 Scpie Holdings, Inc. (c).............. 6
1 Selective Insurance Group............. 11
1 Silicon Valley Bankshares (b)......... 43
1 South Financial Group, Inc. .......... 15
1 Southwest Bancorp of Texas (b)........ 12
6 Sovereign Bancorp, Inc. .............. 43
1 Staten Island Bancorp., Inc. ......... 14
1 Susquehanna Bancshares, Inc. ......... 11
2 TCF Financial Corp. .................. 51
0 Trenwick Group, Inc. (c).............. 6
1 TrustCo Bank Corp. ................... 15
1 United Bankshares, Inc. .............. 18
2 Unitrin, Inc. ........................ 49
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Financial Services, continued:
2 Waddell & Reed Financial, Inc., Class
A................................... $ 59
1 Washington Federal, Inc. ............. 20
1 Webster Financial Corp. .............. 20
1 Westamerica Bancorp................... 29
1 Whitney Holding Corp. ................ 17
1 Wilmington Trust Corp. ............... 30
0 Zenith National Insurance (c)......... 6
3 Zions Bancorp......................... 121
-------
3,086
-------
Health Care (11.6%):
1 Acuson Corp. (b)...................... 8
0 ADAC Laboratories (b)(c).............. 10
1 Advanced Tissue Sciences, Inc. (b).... 10
1 Alliance Pharmaceutical Corp. (b)..... 10
1 Alpharma, Inc. ....................... 44
1 Apria Healthcare Group (b)............ 15
1 Barr Laboratories, Inc. (b)........... 34
0 Baxter International, Inc. (c)........ 5
1 Beckman Coulter, Inc. ................ 41
3 Bergen Brunswig Corp. ................ 17
2 Beverly Enterprises, Inc. (b)......... 6
1 Bindley Western Industries, Inc. ..... 20
1 Bio-Technology General Corp. (b)...... 16
1 Carter Wallace, Inc. ................. 22
1 Cephalon, Inc. (b).................... 48
1 Cerner Corp. (b)...................... 22
5 Chiron Corp. (b)...................... 220
0 Conmed Corp. (b)(c)................... 8
0 Cooper Cos., Inc. (c)................. 11
1 COR Therapeutics, Inc. (b)............ 51
1 Covance, Inc. (b)..................... 11
1 Coventry Health Care, Inc. (b)........ 19
0 Curative Health Services, Inc.
(b)(c).............................. 2
1 Cygnus, Inc. (b)...................... 7
0 Datascope Corp. (c)................... 13
1 Dentsply International, Inc. ......... 37
0 Diagnostic Products Corp. (c)......... 10
1 Dura Pharmaceuticals, Inc. (b)........ 16
1 Edwards Lifesciences Corp. (b)........ 24
0 Elan PLC (b)(c)....................... 17
1 Enzo Biochem, Inc. (b)................ 41
1 Express Scripts, Inc. (b)............. 68
1 First Health Group Corp. (b).......... 36
2 Forest Laboratories, Inc. (b)......... 220
3 Foundation Health Systems, Inc. (b)... 38
2 Genesis Health (b)(c)................. 0
0 Gentiva Health Services (b)(c)........ 3
2 Genzyme Corp. (b)..................... 137
</TABLE>
Continued
96
<PAGE> 99
One Group Mutual Funds
Market Expansion Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Health Care, continued:
1 Gilead Sciences, Inc. (b)............. $ 85
1 Hanger Orthopedic Group, Inc. (b)..... 2
7 Health Management Association,
Inc. (b)............................ 87
2 Hillenbrand Industries, Inc. ......... 47
0 Hologic, Inc. (b)(c).................. 2
2 Hooper Holmes, Inc. .................. 13
2 ICN Pharmaceuticals, Inc. ............ 51
1 IDEC Pharmaceuticals Corp. (b)........ 117
1 IDEXX Laboratories, Inc. (b).......... 21
1 Immune Response Corp. (b)............. 7
1 Incyte Genomics, Inc. (b)............. 58
1 Invacare Corp. ....................... 18
4 Ivax Corp. (b)........................ 168
2 Jones Pharma, Inc. ................... 63
1 Laser Vision Centers, Inc. (b)........ 3
1 Lincare Holdings, Inc. (b)............ 32
1 Magellan Health Services, Inc. (b).... 1
1 Medicis Pharmaceutical (b)............ 40
1 Mentor Corp. (b)...................... 14
2 Millennium Pharmaceuticals (b)........ 245
1 Minimed, Inc. (b)..................... 106
4 Mylan Laboratories, Inc. ............. 64
3 NCS HealthCare, Inc. (b).............. 2
1 Noven Pharmaceuticals, Inc. (b)....... 15
2 Omnicare, Inc. ....................... 20
1 Organogenesis, Inc. (b)............... 10
1 Orthodontic Centers of America, Inc.
(b)................................. 25
0 Osteotech, Inc. (b)(c)................ 3
1 Owens & Minor, Inc., Holding Co. ..... 12
2 Oxford Health Plans, Inc. (b)......... 45
1 PacifiCare Health Systems, Inc. (b)... 66
1 Parexel International Corp. (b)....... 6
1 Patterson Dental Co. (b).............. 46
0 Pediatrix Medical Group, Inc.
(b)(c).............................. 5
2 Perrigo Co. (b)....................... 11
1 Pharmaceutical Product
Development (b)..................... 13
0 Priority Healthcare Corp. (b)(c)...... 35
1 Protein Design Labs, Inc. (b)......... 82
2 PSS World Medical, Inc. (b)........... 11
2 Quorum Health Group, Inc. (b)......... 18
1 Regeneron Pharmaceutical (b).......... 24
1 Renal Care Group, Inc. (b)............ 24
1 Resmed, Inc. (b)...................... 21
1 Respironics, Inc. (b)................. 13
2 Sepracor, Inc. (b).................... 204
1 Sierra Health Services (b)............ 2
1 Sola International, Inc. (b).......... 2
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Health Care, continued:
0 Spacelabs Medical, Inc. (b)(c)........ $ 2
2 Steris Corp. (b)...................... 14
5 Stryker Corp. ........................ 226
1 Summit Technology, Inc. (b)........... 21
1 Sunrise Medical, Inc. (b)............. 2
3 Sybron International Corp. (b)........ 50
0 Syncor International Corp. (b)(c)..... 22
2 Total Renal Care Holdings (b)......... 11
1 Trigon Healthcare, Inc. (b)........... 46
1 Universal Health Services, Inc. (b)... 46
2 US Oncology, Inc. (b)................. 10
1 Vertex Pharmaceuticals, Inc. (b)...... 63
2 VISX, Inc. (b)........................ 42
0 Vital Signs, Inc. (c)................. 5
0 Wesley Jessen Visioncare (b)(c)....... 11
-------
3,847
-------
Human Resources (0.0%):
1 Staffmark, Inc. (b)................... 4
-------
Multi-Industry (0.0%):
1 Gencorp, Inc. ........................ 10
1 Griffon Corp. (b)..................... 4
-------
14
-------
Raw Materials (2.9%):
1 A. Schulman, Inc. .................... 10
2 Airgas, Inc. (b)...................... 10
4 AK Steel Holding Corp. ............... 29
1 Albemarle Corp. ...................... 22
1 Arch Chemicals, Inc. ................. 11
1 Birmingham Steel Corp. ............... 3
1 Brady (W. H.) Co. .................... 16
0 Brush Engineered Materials, Inc.
(c)................................. 6
1 Buckeye Technologies, Inc. (b)........ 18
2 Cabot Corp. .......................... 44
1 Cambrex Corp. ........................ 27
1 Carpenter Technology Corp. ........... 11
0 Chemed Corp. (c)...................... 6
0 Chemfirst, Inc. (c)................... 10
0 Cleveland Cliffs, Inc. (c)............ 5
1 Coeur D'Alene Mines Corp. (b)......... 1
0 Commercial Metals Co. (c)............. 8
1 Commonwealth Industries, Inc. ........ 4
3 Crompton Corp. ....................... 34
1 Cytec Industries, Inc. (b)............ 25
1 Dexter Corp. ......................... 24
3 Ethyl Corp. .......................... 7
1 Ferro Corp. .......................... 19
0 Fuller (H. B.) Co. (c)................ 18
</TABLE>
Continued
97
<PAGE> 100
One Group Mutual Funds
Market Expansion Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Raw Materials, continued:
1 Geon Co. ............................. $ 11
1 Georgia Gulf Corp. ................... 15
1 Hanna (M.A) Co. ...................... 10
1 Hecla Mining Co. (b).................. 1
3 IMC Global, Inc. ..................... 34
1 Lilly Industries, Inc. ............... 18
1 Lubrizol Corp. ....................... 27
4 Lyondell Petrochemical Co. ........... 59
1 Macdermid, Inc. ...................... 21
0 Maxxam, Inc. (b)(c)................... 3
0 McWhorter Technologies, Inc. (b)(c)... 6
1 Minerals Technologies, Inc. .......... 23
1 Mississippi Chemical Corp. ........... 3
1 Mueller Industries, Inc. (b).......... 22
0 NCH Corp. (c)......................... 7
1 Olin Corp. ........................... 18
1 OM Group, Inc. ....................... 22
1 Omnova Solutions, Inc. ............... 7
1 Oregon Steel Mills, Inc. ............. 1
0 Quaker Chemical Corp. (c)............. 5
0 Quanex Corp. (c)...................... 6
1 Reliance Steel & Aluminum Co. ........ 11
3 RPM Ohio, Inc. ....................... 26
1 Ryerson Tull, Inc. ................... 6
1 Scotts Co. (The) (b).................. 26
0 Sequa Corp. (b)(c).................... 13
3 Solutia, Inc. ........................ 37
1 Steel Dynamics, Inc. (b).............. 10
0 Steel Technologies, Inc. (c).......... 3
1 Stillwater Mining Co. (b)............. 24
1 Techne Corp. (b)...................... 78
1 Tredegar Industries, Inc. ............ 17
1 Valence Technology, Inc. (b).......... 15
0 WD-40 Co. (c)......................... 6
1 Wellman, Inc. ........................ 13
0 Wheeling Pittsburgh Steel Co.
(b)(c).............................. 2
-------
974
-------
Retail (5.0%):
3 Abercrombie & Fitch Co. (b)........... 30
1 Ames Department Stores, Inc. (b)...... 5
1 AnnTaylor Stores Corp. (b)............ 23
1 Applebee's International, Inc. ....... 21
0 Baker (J.), Inc. (c).................. 2
2 Barnes & Noble, Inc. (b).............. 38
2 BJ's Wholesale Club, Inc. (b)......... 56
1 Bob Evans Farms, Inc. ................ 13
1 Bombay Co., Inc. (The) (b)............ 2
0 Books-A-Million, Inc. (b)(c).......... 2
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Retail, continued:
2 Borders Group, Inc. (b)............... $ 28
2 Brinker International, Inc. (b)....... 44
1 Buffets, Inc. (b)..................... 13
1 Casey's General Stores, Inc. ......... 12
1 Cash America International, Inc. ..... 4
1 Cato Corp. ........................... 7
1 CBRL Group, Inc. ..................... 20
2 CDW Computer Centers, Inc. (b)........ 137
1 CEC Entertainment, Inc. (b)........... 15
1 Cheesecake Factory (The), Inc. (b).... 21
1 CKE Restaurants, Inc. (b)............. 4
1 Claire's Stores, Inc. ................ 23
1 Consolidated Products, Inc. (b)....... 6
1 Cost Plus, Inc. (b)................... 14
0 Damark International, Inc. (b)(c)..... 2
1 Delta & Pine Land Co. ................ 23
1 Discount Auto Parts, Inc. (b)......... 5
3 Dollar Tree Stores, Inc. (b).......... 101
1 Dress Barn, Inc. (b).................. 11
5 Family Dollar Stores, Inc. ........... 89
1 Footstar, Inc. (b).................... 17
1 Furniture Brands International, Inc.
(b)................................. 18
1 Goody's Family Clothing, Inc. (b)..... 4
1 Gottschalks, Inc. (b)................. 3
1 Group 1 Automotive, Inc. (b).......... 6
1 Gymboree Corp. (b).................... 2
0 Hancock Fabrics, Inc. (c)............. 2
1 Hannaford Brothers Co. ............... 86
1 Heilig-Meyers Co. .................... 2
1 IHOP Corp. (b)........................ 8
1 Jack in the Box, Inc. (b)............. 22
1 Jo-Ann Stores, Inc. (b)............... 4
1 Landry's Seafood Restaurants, Inc.
(b)................................. 6
1 Lands End, Inc. (b)................... 23
0 Lillian Vernon Corp. (c).............. 3
1 Linens 'N Things, Inc. (b)............ 24
1 Lone Star Steakhouse & Saloon, Inc.
(b)................................. 8
1 Luby's, Inc. ......................... 4
1 Men's Wearhouse, Inc. (b)............. 22
1 Michael's Stores, Inc. (b)............ 32
0 Midas, Inc. (c)....................... 6
2 Neiman-Marcus Group, Inc., Class A
(b)................................. 50
1 99 Cent Only Stores (b)............... 36
1 O'Reilly Automotive, Inc. (b)......... 17
3 OfficeMax, Inc. (b)................... 14
2 Outback Steakhouse, Inc. (b).......... 53
1 Panera Bread Co. (b).................. 6
1 Papa John's International, Inc. (b)... 17
1 Pep Boys -- Manny, Moe & Jack......... 7
</TABLE>
Continued
98
<PAGE> 101
One Group Mutual Funds
Market Expansion Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Retail, continued:
2 Pier 1 Imports, Inc. ................. $ 23
1 Regis Corp. .......................... 12
2 Ross Stores, Inc. .................... 36
1 Ruby Tuesday, Inc. ................... 18
1 Ruddick Corp. ........................ 13
1 Ryan's Family Steakhouses, Inc. (b)... 8
4 Saks, Inc. (b)........................ 37
1 Shopko Stores, Inc. (b)............... 11
0 Sonic Corp. (b)(c).................... 12
1 Sports Authority, Inc. (b)............ 1
1 Stein Mart, Inc. (b).................. 10
0 Taco Cabana, Inc. (b)(c).............. 2
2 Tiffany & Co. ........................ 101
1 Whole Foods Market, Inc. (b).......... 25
2 Williams-Sonoma, Inc. (b)............. 55
1 Zale Corp. (b)........................ 33
-------
1,670
-------
Shelter (2.0%):
0 Bassett Furniture Industries, Inc.
(c)................................. 5
1 Bowater, Inc. ........................ 54
1 Caraustar Industries, Inc. ........... 11
1 Champion Enterprises, Inc. (b)........ 6
0 Chesapeake Corp. (c).................. 12
3 Clayton Homes, Inc. .................. 27
2 Consolidated Papers, Inc. ............ 81
2 D.R. Horton, Inc. .................... 20
0 Deltic Timber Corp. (c)............... 6
1 Ethan Allen Interiors, Inc. .......... 26
1 Fleetwood Enterprises................. 11
2 Georgia Pacific Timber Corp. ......... 50
1 Glatfelter (P. H.) Co. ............... 10
1 HON Industries, Inc. ................. 33
2 La-Z-Boy Chair Co. ................... 22
0 Lennar Corp. (c)...................... 6
1 Longview Fibre Co. ................... 13
0 Lydall, Inc. (b)(c)................... 4
1 MDC Holdings, Inc. ................... 11
0 NVR, Inc. (b)(c)...................... 11
1 Oakwood Homes Corp. .................. 2
1 Pentair, Inc. ........................ 51
0 Pope & Talbot, Inc. (c)............... 5
1 Rayonier, Inc. ....................... 25
0 Ryland Group, Inc. (c)................ 7
3 Shaw Industry, Inc. .................. 40
0 Skyline Corp. (c)..................... 6
2 Sonoco Products Co. .................. 48
1 Southern Energy Homes, Inc. (b)....... 1
1 Standard Pacific Corp. ............... 7
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Shelter, continued:
0 Thor Industries, Inc. (c)............. $ 6
1 Toll Brothers, Inc. (b)............... 18
1 Universal Forest Products, Inc. ...... 7
1 Wausau-Mosinee Paper Corp. ........... 11
-------
653
-------
Technology (18.0%):
1 AAR Corp. ............................ 9
1 Actel Corp. (b)....................... 23
1 Adaptive Broadband Corp. (b).......... 33
1 Adtran, Inc. (b)...................... 66
1 Allen Telecom, Inc. (b)............... 11
1 Alliance Semiconductor Corp. (b)...... 25
0 Alliant Techsystems, Inc. (b)(c)...... 13
1 Alpha Industries, Inc. (b)............ 48
0 American Xtal Technology, Inc.
(b)(c).............................. 17
1 Ametek, Inc. ......................... 14
0 Analogic Corp. (c).................... 12
1 Analysts International Corp. ......... 5
1 Anixter International, Inc. (b)....... 24
1 Antec Corp. (b)....................... 37
1 Apex, Inc. (b)........................ 22
2 Arrow Electronics, Inc. (b)........... 70
1 Artesyn Technologies, Inc. (b)........ 25
1 Aspect Communications Corp. (b)....... 47
1 Aspen Technology, Inc. (b)............ 23
6 ATMEL Corp. (b)....................... 202
1 Audiovox Corp., Class A (b)........... 11
1 Auspex Systems, Inc. (b).............. 3
0 Aviation Sales Co. (b)(c)............. 2
1 Avid Technology, Inc. (b)............. 6
1 Avnet, Inc. .......................... 61
1 AVT Corp. (b)......................... 5
1 BE Aerospace, Inc. (b)................ 4
0 Benchmark Electronics, Inc. (b)(c).... 15
1 Black Box Corp. (b)................... 40
1 Brightpoint, Inc. (b)................. 10
1 Burr Brown Corp. (b).................. 113
1 C Cube Microsystems, Inc. (b)......... 18
1 Cable Design Technologies Corp. (b)... 23
7 Cadence Design Systems, Inc. (b)...... 133
0 Centigram Communications
Corp. (b)(c)........................ 3
2 Cirrus Logic, Inc. (b)................ 24
1 Cognex Corp. (b)...................... 52
0 Cohu, Inc. (c)........................ 11
1 Commscope, Inc. (b)................... 49
1 Communications Satellite Corp. ....... 31
1 CTS Corp. ............................ 27
</TABLE>
Continued
99
<PAGE> 102
One Group Mutual Funds
Market Expansion Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
1 Cybex Computer Products Corp. (b)..... $ 22
3 Cypress Semiconductor Corp. (b)....... 123
1 Dallas Semiconductor Corp. ........... 57
0 Davox Corp. (b)(c).................... 3
0 Digi International, Inc. (b)(c)....... 3
2 Digital Microwave Corp. (b)........... 65
1 Dionex Corp. (b)...................... 13
1 Dycom Industries, Inc. (b)............ 39
1 Electroglas, Inc. (b)................. 11
2 Electronic Arts, Inc. (b)............. 124
1 Epicor Software Corp. (b)............. 2
1 Epresence, Inc. (b)................... 4
1 ESS Technology (b).................... 15
1 Exabyte Corp. (b)..................... 2
1 Filenet Corp. (b)..................... 13
1 General Semiconductor, Inc. (b)....... 12
1 Gerber Scientific, Inc. .............. 7
0 Great Plains Software, Inc. (b)(c).... 8
2 Harris Corp. ......................... 72
1 Hutchinson Technology, Inc. (b)....... 9
7 Informix Corp. (b).................... 54
3 Integrated Device Technology, Inc.
(b)................................. 150
1 Inter-Tel, Inc. ...................... 10
2 International Rectifier Corp. (b)..... 84
1 Intervoice-Brite, Inc. (b)............ 5
5 Intuit, Inc. (b)...................... 202
1 Investment Technology Group (b)....... 28
0 Itron, Inc. (b)(c).................... 2
5 Jabil Circuit, Inc. (b)............... 227
1 Kaman Corp. .......................... 7
2 Keane, Inc. (b)....................... 37
2 Kemet Corp. (b)....................... 50
1 Komag, Inc. (b)....................... 2
1 Kroll-O'Gara Co. (The) (b)............ 3
0 Kronos, Inc. (b)(c)................... 8
1 Kulicke & Soffa Industries, Inc.
(b)................................. 36
1 L-3 Communications Holdings, Inc.
(b)................................. 63
1 Lattice Semiconductor Corp. (b)....... 83
2 Legato Systems, Inc. (b).............. 32
1 Litton Industries, Inc. (b)........... 46
1 Macromedia, Inc. (b).................. 126
2 Mentor Graphics Corp. (b)............. 30
1 Mercury Computer Systems, Inc. (b).... 16
2 Micrel Semiconductor, Inc. (b)........ 87
0 Microage, Inc. (b)(c)(f).............. 0
2 Microchip Technology, Inc. (b)........ 117
0 Micros Systems, Inc. (b)(c)........... 7
1 National Instruments Corp. (b)........ 50
0 NCR Corp. (b)(c)...................... 1
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
1 Network Equipment Tech, Inc. (b)...... $ 5
4 Networks Associates, Inc. (b)......... 75
1 Orbital Sciences Corp. (b)............ 10
2 P-Com, Inc. (b)....................... 10
0 Park Electrochemical Corp. (c)........ 7
1 Phoenix Technologies Ltd. (b)......... 8
1 Photronics, Inc. (b).................. 20
1 Picturetel Corp. (b).................. 2
1 Pinnacle Systems, Inc. (b)............ 25
1 Pioneer-Standard Electronics, Inc. ... 10
0 Plantronics, Inc. (b)(c).............. 46
0 Plexus Corp. (b)(c)................... 45
1 Polycom, Inc. (b)..................... 85
1 Powerwave Technologies, Inc. (b)...... 64
1 Progress Software Corp. (b)........... 14
1 Project Software & Development,
Inc. (b)............................ 9
0 Proxim, Inc. (b)(c)................... 30
4 Quantum Corp.-DLT and Storage Systems
Group (b)........................... 38
2 Rational Software Corp. (b)........... 203
1 Read-Rite Corp. (b)................... 3
1 Remedy Corp. (b)...................... 39
2 S3, Inc. (b).......................... 27
0 Sanmina Corp. (b)(c).................. 36
1 Sawtek, Inc. (b)...................... 63
4 SCI Systems, Inc. (b)................. 149
1 Silicon Valley Group, Inc. (b)........ 26
0 Standard Microsystems Corp. (b)(c).... 5
2 Storage Technology Corp. (b).......... 26
1 Structual Dynamics Research Corp.
(b)................................. 12
2 Sybase, Inc. (b)...................... 55
2 Symantec Corp. (b).................... 86
3 Symbol Technologies, Inc. ............ 179
0 Symmetricom, Inc. (b)(c).............. 8
2 Synopsys, Inc. (b).................... 59
1 Systems & Computer Technology
Corp. (b)........................... 14
1 TCSI Corp. (b)........................ 1
1 Tech Data Corp. (b)................... 57
1 Teledyne Technologies, Inc. (b)....... 10
0 Telxon Corp. (b)(c)................... 7
0 Three-Five Systems, Inc. (b)(c)....... 29
1 Titan Corp. (b)....................... 54
1 Transaction Systems Architects, Inc.
(b)................................. 15
1 Transwitch Corp. (b).................. 77
1 Trimble Navigation Ltd. (b)........... 24
1 Triquint Semiconductor, Inc. (b)...... 96
1 Ultratech Stepper, Inc. (b)........... 10
</TABLE>
Continued
100
<PAGE> 103
One Group Mutual Funds
Market Expansion Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
1 Varian Medical Systems, Inc. (b)...... $ 31
1 Verity, Inc. (b)...................... 27
3 Vishay Intertechnology, Inc. (b)...... 131
5 Vitesse Semiconductor Corp. (b)....... 330
1 Xircom, Inc. (b)...................... 33
0 Zixit Corp. (b)(c).................... 18
-------
5,977
-------
Transportation (1.4%):
1 Airborne Freight Corp. ............... 23
1 Alaska Air Group, Inc. (b)............ 17
1 Alexander & Baldwin, Inc. ............ 22
1 American Freightways Corp. (b)........ 12
1 Arkansas Best Corp. (b)............... 5
1 Arnold Industries, Inc. .............. 8
0 Atlantic Coast Airlines, Inc.
(b)(c).............................. 13
1 C H Robinson Worldwide, Inc. ......... 50
0 Circle International Group, Inc.
(c)................................. 10
1 CNF Transportation, Inc. ............. 27
1 EGL, Inc. (b)......................... 22
1 Expeditors International of
Washington, Inc. ................... 61
1 Fritz Cos., Inc. (b).................. 9
1 Frozen Food Express Industries,
Inc. ............................... 3
1 Heartland Express, Inc. (b)........... 12
1 Hunt (J. B.) Transport Services,
Inc. ............................... 14
1 Kirby Corp. (b)....................... 13
0 Landstar System, Inc. (b)(c).......... 12
0 M.S. Carriers, Inc. (b)(c)............ 5
1 Mesa Air Group, Inc. (b).............. 4
0 Midwest Express Holdings, Inc.
(b)(c).............................. 6
1 Overseas Shipholding Group, Inc. ..... 20
0 RailAmerica, Inc. (b)(c).............. 1
1 Rollins Truck Leasing Corp. .......... 9
1 Skywest, Inc. ........................ 22
2 Swift Transportation Co., Inc. (b).... 22
1 US Freightways Corp. ................. 15
1 Werner Enterprise, Inc. .............. 13
1 Wisconsin Central Transportation
Corp. (b)........................... 16
1 Yellow Corp. (b)...................... 9
-------
475
-------
Utilities (9.4%):
1 AGL Resources, Inc. .................. 21
3 Allegheny Energy, Inc. ............... 85
2 Alliant Energy Corp. ................. 57
0 American States Water Co. (c)......... 6
3 American Water Works, Inc. ........... 68
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Utilities, continued:
1 Atmos Energy Corp. ................... $ 12
0 Bangor Hydro-Electric Co. (c)......... 5
1 Black Hills Corp. .................... 11
6 Broadwing, Inc. (b)................... 148
5 Calpine Corp. (b)..................... 297
0 Cascade Natural Gas Corp. (c)......... 3
0 Central Vermont Public Services (c)... 3
0 CH Energy Group, Inc. (c)............. 10
1 Cleco Corp. .......................... 17
1 CMP Group, Inc. ...................... 21
2 Conectiv, Inc. ....................... 31
4 DPL Corp. ............................ 79
2 DQE, Inc. ............................ 71
4 Dynergy, Inc. ........................ 267
1 Energen Corp. ........................ 15
3 Energy East Corp. .................... 56
1 General Communication, Inc. (b)....... 6
0 Green Mountain Power Corp. (c)........ 2
1 Hawaiian Electric Industries, Inc. ... 34
1 Idacorp, Inc. ........................ 26
2 Ipalco Enterprises, Inc. ............. 40
1 Kansas City Power & Light Co. ........ 32
4 Keyspan Corp. ........................ 117
3 Kinder Morgan, Inc. .................. 116
0 Laclede Gas Co. (c)................... 4
4 LG&E Energy Corp. .................... 86
2 MCN Energy Group, Inc. ............... 43
2 Minnesota Power & Light Co. .......... 29
3 Montana Power Co. .................... 102
1 National Fuel Gas Co. ................ 47
0 New Jersey Resources Corp. (c)........ 15
4 Nisource, Inc. ....................... 65
4 Northeast Utilities................... 85
1 Northwest Natural Gas Co. ............ 11
0 Northwestern Corp. (c)................ 9
1 NStar (b)............................. 57
4 Ocean Energy, Inc. (b)................ 56
2 OGE Energy Corp. ..................... 41
1 Philadelphia Suburban Corp. .......... 22
1 Piedmont Natural Gas Co., Inc. ....... 19
3 Potomac Electric Power Co. ........... 70
1 Public Service Company of New
Mexico.............................. 14
3 Puget Sound Energy, Inc. ............. 53
2 Questar Corp. ........................ 37
3 Scana Corp. .......................... 60
3 Sierra Pacific Resources.............. 34
1 Southern Union Co. (b)................ 24
1 Southwest Gas Corp. .................. 12
1 Southwestern Energy Co. .............. 3
</TABLE>
Continued
101
<PAGE> 104
One Group Mutual Funds
Market Expansion Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------------------------- -------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Utilities, continued:
2 TALK.com, Inc. (b).................... $ 9
4 TECO Energy, Inc. .................... 70
2 Telephone & Data Systems, Inc. ....... 171
0 UGI Corp. (c)......................... 8
1 Unisource Energy Corp. ............... 8
0 United Illuminating Co. (c)........... 13
1 United Water Resources, Inc. ......... 31
2 UtiliCorp United, Inc. ............... 45
2 Vectren Corp. ........................ 34
1 Washington Gas Light Co. ............. 26
3 Wisconsin Energy Corp. ............... 67
-------
3,136
-------
Total Common Stocks 30,626
-------
U.S. TREASURY OBLIGATIONS (0.4%):
U.S. Treasury Bills (0.4%):
$125 7/20/00 (d)........................... 125
15 8/24/00 (d)........................... 15
-------
Total U.S. Treasury Obligations 140
-------
INVESTMENT COMPANIES (2.9%):
983 One Group Prime Money Market Fund,
Class I............................. 983
-------
Total Investment Companies 983
-------
RIGHTS (0.0%):
Financial Services (0.0%):
1 Elan Corp., Contingent Val Rts
(b)(c).............................. 0
-------
Total Rights 0
-------
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING (5.5%):
Master Notes (0.6%):
$ 90 Bear Stearns, 7.40%, 7/3/00*.......... 90
23 Danaher, 7.31%, 7/3/00*............... 23
50 General Mills, 6.83%, 7/3/00*......... 50
23 Lehman Brothers, 7.44%, 7/3/00*....... 23
23 Willamette, 6.92%, 7/3/00*............ 23
-------
209
-------
Put Bonds (1.9%):
38 Associates Corp., 7.00%, 9/17/01*..... 38
60 Bank of America, 6.32%, 7/5/01*....... 60
45 Caterpillar Finance, 7.05%, 5/1/01*... 45
38 Chase Manhattan, 7.11%, 5/6/02*....... 38
38 Ford Motor, 7.03%, 4/11/02*........... 38
38 GMAC, 7.07%, 5/3/01*.................. 38
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- -------------------------------------- -------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING, CONTINUED:
Put Bonds, continued:
$ 15 Greenwich Capital Markets, 7.10%,
7/9/01*............................. $ 15
38 J.P. Morgan and Co., 7.01%, 5/4/01*... 38
45 Liberty Lighthouse, 7.08%, 4/12/02*... 45
38 Merrill Lynch, 7.16%, 5/6/02*......... 38
38 Salomon Smith Barney, 6.81%,
4/8/02*............................. 38
17 Salomon Smith Barney, 6.90%,
2/5/01*............................. 17
38 Sigma Financial, Inc., 6.93%,
1/22/01*............................ 38
44 Sigma Financial, Inc., 6.91%,
5/15/01*............................ 44
60 SPARCC, 6.65%, 9/25/00*............... 60
38 U.S. Bancorp, 6.78%, 5/8/02*.......... 38
-------
628
-------
Repurchase Agreements (3.0%):
5 Bear Stearns, 6.83%, 7/3/00,
(Collateralized by $21 various
U.S. Government securities
5.73% - 8.00%, 1/15/02 - 2/15/28,
market value $5).................... 5
449 Goldman Sachs, 7.15%, 7/3/00,
(Collateralized by $477 various
Commercial Paper, 0.00%,
7/3/00 - 8/14/00, market value
$475)............................... 449
113 HSBC, 7.25%, 7/3/00, (Collateralized
by $188 various Government
securities, 0.00% - 15.75%,
11/15/00 - 4/15/29, market value
$115)............................... 113
42 Lehman Brothers, 7.18%, 7/3/00,
(Collateralized by $44 Galaxy
Funding Commercial Paper, 0.00%,
10/10/00, market value $43)......... 42
23 Lehman Brothers, 7.38%, 7/3/00,
(Collateralized by various equity
securities, market value $24)....... 23
376 Merrill Lynch, 7.20%, 7/3/00,
(Collateralized by $399 various
Commercial Paper, 0.00%,
7/3/00 - 3/9/01 market value
$395)............................... 376
-------
1,008
-------
Total Short-Term Securities Held as Collateral
for Securities Lending 1,845
-------
Total (Cost $31,826) (a) $34,976
=======
</TABLE>
Continued
102
<PAGE> 105
One Group Mutual Funds
Market Expansion Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
------------
Percentages indicated are based on net assets of $33,440.
(a) Represents cost for financial reporting purposes and differs from cost basis
for federal income tax purposes by the amount of losses recognized for
financial reporting purposes in excess of federal income tax reporting of
approximately $18. Cost for federal income tax purposes differs from value
by net unrealized appreciation (depreciation) of securities as follows
(amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 7,636
Unrealized depreciation...................... (4,504)
-------
Net unrealized appreciation (depreciation)... $ 3,132
=======
</TABLE>
(b) Non-income producing securities.
(c) Rounds to less than 1,000.
(d) Serves as collateral for Future Contracts.
(e) Stone & Webster, Inc., which filed for protection under Chapter 11 of the
Federal Bankruptcy Code, has cost of $13.
(f) Microage, Inc., which filed for protection under Chapter 11 of the Federal
Bankruptcy Code, has cost of $4.
* Variable rate securities having liquidity agreements. The interest rate,
which will change periodically, is based upon prime rates or an index of
market rates. The rate reflected on the Schedule of Portfolio Investments is
the rate in effect at June 30, 2000.
See notes to financial statements.
103
<PAGE> 106
One Group Mutual Funds
International Equity Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS (96.9%):
ARGENTINA (0.5%):
Banking & Finance (0.1%):
114 Banco de Galicia Bue, Class B....... $ 428
56 Banco Frances SA.................... 411
----------
839
----------
Construction (0.0%):
122 Astra Cia Argentin (b).............. 315
----------
Metals & Mining (0.1%):
6 Siderar SA, Class A................. 17
254 Siderca SA.......................... 580
----------
597
----------
Oil & Gas (0.1%):
482 PC Holdings SA...................... 882
----------
Telecommunications (0.2%):
461 Telefonica de Argentina SA, Class
B................................. 1,483
----------
4,116
----------
AUSTRALIA (1.8%):
Banking (0.5%):
140 National Australia Bank Ltd. ....... 2,339
185 Westpac Banking Corp., Ltd. ........ 1,336
----------
3,675
----------
Beverages & Tobacco (0.0%):
70 Coca-Cola Amatil Ltd. .............. 136
----------
Brewery (0.0%):
151 Foster's Brewing Group.............. 426
----------
Broadcasting & Publishing (0.3%):
155 News Corp., Ltd. ................... 2,142
----------
Building Products (0.1%):
81 Boral Ltd. (b)...................... 102
89 CSR Ltd. ........................... 248
7 Hanson PLC (b)...................... 49
28 Hardie (James) Industries........... 73
81 Origin Energy Ltd. ................. 78
----------
550
----------
Chemicals (0.0%):
33 Orica Ltd. ......................... 149
----------
Containers & Packaging (0.0%):
5 Amcor Ltd. ......................... 18
----------
Diversified (0.0%):
49 Futuris Corp., Ltd. ................ 53
15 Smith (Howard) Ltd. ................ 73
82 Southcorp Holdings Ltd. ............ 238
----------
364
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Australia, continued:
Engineering (0.0%):
35 Leighton Holdings Ltd. ............. $ 113
----------
Entertainment (0.0%):
3 Publishing and Broadcasting......... 23
14 Tabcorp Holdings Ltd. .............. 81
----------
104
----------
Food Products & Services (0.0%):
284 Goodman Fielder Ltd. ............... 212
----------
Gas Utility (0.0%):
71 Australian Gas Light Co. ........... 423
----------
Insurance (0.1%):
94 Amp Ltd. ........................... 957
38 QBE Insurance Group Ltd. ........... 184
----------
1,141
----------
Manufacturing-Capital Goods (0.0%):
110 Pacific Dunlop Ltd. ................ 98
----------
Metals (0.0%):
5 Iluka Resources Ltd. ............... 13
----------
Metals & Mining (0.2%):
131 Broken Hill Proprietary Co.,
Ltd. ............................. 1,548
74 Santos Ltd. ........................ 226
13 WMC Ltd. ........................... 59
----------
1,833
----------
Metals (Non-ferrous) (0.0%):
8 Rio Tinto Ltd. ..................... 136
----------
Packaging (0.0%):
2 Paperlinx Ltd. (b).................. 3
----------
Real Estate (0.2%):
193 General Property Trust.............. 313
42 Lend Lease Corp. ................... 540
135 Stockland Trust Group............... 286
180 Westfield Trust..................... 351
----------
1,490
----------
Retail-Stores/Catalog (0.1%):
138 Coles Myer Ltd. .................... 532
----------
Services (0.1%):
24 Brambles Industries Ltd. ........... 740
----------
Telecommunications -- Equipment (0.2%):
375 Telstra Corp., Ltd. ................ 1,525
----------
Tobacco (0.0%):
5 Rothmans Holdings................... 33
----------
15,856
----------
</TABLE>
Continued
104
<PAGE> 107
One Group Mutual Funds
International Equity Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
AUSTRIA (0.9%):
Airlines (0.0%):
19 Austrian Airlines................... $ 276
----------
Banking & Finance (0.4%):
56 Bank Austria AG, Participating
Certificates...................... 2,716
----------
Beverages & Tobacco (0.0%):
4 Osterreichische Brau-Beteiligungs
AG................................ 180
----------
Building Products (0.0%):
19 Wienerberger Baustoffindustrie AG... 433
----------
Chemicals (0.0%):
3 Lenzing AG.......................... 152
----------
Engineering (0.0%):
7 VA Technologie AG................... 344
----------
Environmental Services (0.0%):
1 BWT AG.............................. 389
----------
Insurance (0.1%):
3 EA-Generali AG...................... 460
----------
Miscellaneous Materials & Commodities (0.0%):
10 Radex-Heraklith
Industriebeteiligungs AG.......... 251
----------
Oil & Gas Exploration, Production & Services (0.1%):
11 OMV AG.............................. 990
----------
Paper Products (0.0%):
1 Mayr-Melnhof Karton AG.............. 38
----------
Steel (0.0%):
2 Boehler Uddeholm.................... 84
----------
Telecommunications -- Services and Equipment (0.3%):
14 Osterreichische
Elekrizitaitswirtschafts-AG, Class
A................................. 1,396
----------
Tobacco (0.0%):
5 Austria Tabakwerke AG............... 201
----------
Transportation (0.0%):
8 Flughafen Wien AG................... 298
----------
8,208
----------
BELGIUM (1.2%):
Automotive (0.0%):
0 SA D'Ieteren NV (c)................. 102
----------
Banking (0.1%):
30 Kredietbank NV...................... 1,329
13 Kredietbank Strip (b)(c)............ 0
----------
1,329
----------
Chemicals (0.1%):
9 Solvay SA........................... 637
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Belgium, continued:
Electric Utility (0.1%):
7 Suez Lyonnaise Des Eaux............. $ 1,264
7 Suez Lyonnaise Des Eaux
Strip (b)(c)...................... 0
----------
1,264
----------
Energy (0.3%):
12 Total Fina SA Strips (b)(c)......... 0
12 Total Fina SA, Class B.............. 1,805
----------
Industrial Holding Company (0.1%):
3 Groupe Bruxelles Lambert SA......... 857
----------
Insurance (0.3%):
75 Foritg AG........................... 2,201
----------
Merchandising (0.0%):
7 Delhaize-Le Lion SA................. 432
----------
Metals & Mining (0.0%):
3 Union Miniere Group................. 109
----------
Pharmaceuticals (0.1%):
13 UCB Cap Npv Ord..................... 468
----------
Retail -- Stores/Catalog (0.0%):
1 Colrayt............................. 43
0 Dolmen Computer
Applications (b)(c)............... 2
----------
45
----------
Telecommunications -- Services and Equipment (0.1%):
5 Electrabel SA....................... 1,247
----------
10,496
----------
BRAZIL (0.3%):
Auto Parts (0.0%):
8 Marcopolo SA........................ 12
----------
Banking (0.0%):
2,485 Banco do Estado De SA............... 74
3,218 Uniao de Bancos Brasileir........... 100
----------
174
----------
Beverages & Tobacco (0.0%):
41 Companhia Cervejaria Brahma......... 25
----------
Electric Utility (0.2%):
43,175 Centrais Electricas Brasileiras
SA................................ 877
8,991 Centrais Geradoras do Sul do Brasil
SA (b)............................ 11
335 Cia Paulista De Forca E Luz......... 11
----------
899
----------
Gaming (0.0%):
5 Companhia Vidraria Santa Maria...... 7
----------
</TABLE>
Continued
105
<PAGE> 108
One Group Mutual Funds
International Equity Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Brazil, continued:
Oil & Gas (0.1%):
2 Brasil Telecom Participacoes S.A.
ADR............................... $ 138
10 Petroleo Brasileiro S.A. ADR........ 290
----------
428
----------
Retail -- General Merchandise (0.0%):
6,000 Companhia Brasileira de Distribuicao
Grupo Pao de Acucar............... 192
----------
Steel (0.0%):
4,228 Companhia Siderurgica Nacional...... 133
----------
Telecommunications (0.0%):
1,865 Embratel Participacoes SA........... 34
1,865 Tele Centro Sul Participacoes....... 19
11,011 Tele Norte Leste Participacoes
(b)............................... 211
2,949 Telesp Celular Participacoes........ 32
4,045 Telesp Participacoes SA............. 43
----------
339
----------
Tobacco (0.0%):
33 Souza Cruz SA....................... 185
----------
2,394
----------
CHILE (0.3%):
Banking & Finance (0.0%):
9 Banco de Santiago ADR............... 162
----------
Beverages & Tobacco (0.0%):
14 Embotelladora Andina SA ADR......... 135
7 Embotelladora Andina SA, Series A
ADR............................... 81
5 Vina Concho y Toro SA ADR........... 164
----------
380
----------
Chemicals (0.0%):
6 Quimica Y Minera Chile SA ADR....... 143
----------
Electric Utility (0.2%):
6 Chilectra SA ADR.................... 91
23 Enersis SA ADR (b).................. 451
16 Gener SA ADR........................ 238
----------
780
----------
Forest Products (0.0%):
14 Masisa SA ADR....................... 163
----------
Metals & Mining (0.0%):
17 Madeco SA ADR (b)................... 132
----------
Packaging (0.0%):
9 Cristalerias de Chile ADR........... 140
----------
Pharmaceuticals (0.0%):
9 Laboratorio Chile ADR............... 173
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Chile, continued:
Telecommunications (0.1%):
35 Telecomunicaciones de Chile SA
ADR............................... $ 630
----------
2,703
----------
DENMARK (1.1%):
Banking & Finance (0.2%):
7 Danske Bank......................... 900
103 Nordic Baltic Holding AB (b)........ 754
----------
1,654
----------
Beverages & Tobacco (0.0%):
3 Carlsberg A/S, Class A.............. 87
3 Carlsberg A/S, Class B.............. 102
----------
189
----------
Commercial Services (0.0%):
4 ISS A/S (b)......................... 283
----------
Electronics (0.0%):
2 Bang & Olufsen Holding.............. 63
----------
Engineering (0.0%):
6 FLS Industries A/S, Class B......... 90
----------
Food Products & Services (0.0%):
9 Danisco A/S......................... 285
----------
Pharmaceuticals (0.2%):
9 Novo Nordisk A/S, Class B........... 1,572
----------
Telecommunications (0.2%):
31 Tele Danmark A/S, Class B........... 2,082
----------
Telecommunications-Equipment (0.0%):
2 GN Store Nord....................... 213
----------
Transportation & Shipping (0.5%):
0 D/S 1912, Class B (c)............... 1,792
0 D/S Svendborg A/S, Class B (c)...... 1,751
5 SAS Danmark A/S..................... 38
----------
3,581
----------
10,012
----------
FINLAND (1.5%):
Computer Software (0.0%):
0 Tieto Corp, Class B (c)............. 16
----------
Diversified (0.0%):
3 FNM Instrumentarium................. 77
----------
Food Products & Services (0.0%):
13 Raisio Group PLC.................... 26
----------
</TABLE>
Continued
106
<PAGE> 109
One Group Mutual Funds
International Equity Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Finland, continued:
Forest Products (0.1%):
22 UPM-Kymmene Corp. .................. $ 541
----------
Insurance (0.0%):
4 Pohjola Insurance Group, Class B.... 124
6 Sampo Insurance Co. ................ 224
----------
348
----------
Metals (0.0%):
20 Outokumpo Oy, Class A............... 193
----------
Telecommunications (1.4%):
228 Nokia Oyj, Class A.................. 11,681
23 Sonera Group Oyj.................... 1,040
----------
12,721
----------
13,922
----------
FRANCE (11.4%):
Aluminum (0.0%):
4 Pechiney SA, Class A................ 157
----------
Appliances & Household Products (0.0%):
0 Group Seb SA (c).................... 19
----------
Automotive (0.1%):
4 PSA Peugeot......................... 873
6 Valeo SA............................ 333
----------
1,206
----------
Banking (0.7%):
44 Banque Nationale de Paris........... 4,221
41 Societe Generale, Class A........... 2,452
----------
6,673
----------
Beverages & Tobacco (0.4%):
9 LVMH (Moet Hennessy Louis
Vuitton) (b)...................... 3,600
6 Pernod-Ricard....................... 315
----------
3,915
----------
Broadcasting/Cable (0.2%):
12 Canal Plus.......................... 2,047
----------
Building Products (0.1%):
2 Imetal SA........................... 291
9 Lafarge SA.......................... 722
----------
1,013
----------
Business Service (0.5%):
56 Vivendi............................. 4,959
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
France, continued:
Chemicals (0.4%):
2 L'Air Liquide....................... $ 276
7 L'Air Liquide, Registered Shares
(b)............................... 910
30 Rhone-Poulenc SA.................... 2,219
----------
3,405
----------
Closed End Funds (1.1%):
304 Ishares MSCI France Index Fund...... 8,745
----------
Commercial Services (0.1%):
4 Sodexho SA.......................... 715
----------
Computer Software (0.1%):
9 Dassault Systems SA................. 860
----------
Construction (0.2%):
3 Bouygues (b)........................ 1,796
----------
Defense (0.2%):
1 Sagem SA............................ 1,630
16 Thomson CSF......................... 627
----------
2,257
----------
Diversified (0.1%):
1 Chargeurs International SA.......... 44
12 Lagardere SCA....................... 948
----------
992
----------
Electrical & Electronic (0.7%):
3 Legrand SA.......................... 587
16 Schneider SA........................ 1,095
30 STMicroelectronics N.V. ADR......... 1,926
36 STMicroelectronics NV............... 2,277
----------
5,885
----------
Energy (1.1%):
14 Elf Aquitaine SA.................... 2,920
37 Total SA, Class B................... 5,683
----------
8,603
----------
Engineering (0.0%):
2 Compagnie Francaise d'Etudes et de
Construction Technip.............. 301
1 Groupe GTM.......................... 96
----------
397
----------
Financial Services (0.0%):
1 CPR SA (b).......................... 44
0 Eurafrance (c)...................... 150
2 Natexis SA (b)...................... 174
----------
368
----------
Food & Household Products (0.0%):
4 Eridania Beghin-Say SA.............. 387
----------
</TABLE>
Continued
107
<PAGE> 110
One Group Mutual Funds
International Equity Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
France, continued:
Food Products & Services (0.2%):
14 Groupe Danone....................... $ 1,865
----------
Health & Personal Care (1.0%):
6 L'Oreal SA (b)...................... 5,300
63 Sanofi Synthelabo SA................ 3,015
----------
8,315
----------
Industrial Goods & Services (0.0%):
14 Compagnie Generale des
Etablissements Michelin, Class B,
Registered Shares................. 440
----------
Industrial Holding Company (0.2%):
13 Lyonnaise des Eaux SA............... 2,241
----------
Insurance (0.7%):
32 AXA SA.............................. 5,021
6 Cap Gemini.......................... 1,077
----------
6,098
----------
Leisure (0.1%):
18 Accor SA............................ 724
----------
Lodging (0.0%):
0 Club Mediterranee SA (c)............ 45
----------
Machine-Diversified (0.0%):
3 Sidel SA............................ 230
----------
Medical Supplies (0.0%):
1 Essilor International............... 174
----------
Merchandising (0.8%):
60 Carrefour SA........................ 4,136
7 Casino Guichard-Perrachon........... 630
10 Pinault Printemps Redoute SA........ 2,291
----------
7,057
----------
Metals (Non-ferrous) (0.0%):
21 Usinor.............................. 257
----------
Office Equipment & Services (0.0%):
6 BIC................................. 307
----------
Oil & Gas (0.1%):
1 Cie Gen Geophysiq (b)............... 60
1 Coflexip SA......................... 109
8 Compagnie de Saint Gobain........... 1,119
----------
1,288
----------
Telecommunications -- Services and Equipment (2.3%):
97 Alcatel Alsthom..................... 6,371
93 France Telecom SA................... 13,121
----------
19,492
----------
102,932
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
GERMANY (12.6%):
Airlines (0.1%):
52 Lufthansa AG........................ $ 1,211
----------
Automotive (1.1%):
137 DaimlerChrysler AG.................. 7,230
20 Man AG.............................. 627
2 Man AG Vorzugsaktien................ 42
43 Volkswagen AG....................... 1,659
----------
9,558
----------
Banking (2.0%):
95 Bayer AG............................ 3,704
55 Bayerische Vereinsbank AG........... 3,584
84 Deutsche Bank AG, Registered
Shares............................ 6,978
71 Dresdner Bank AG, Registered
Shares............................ 2,955
----------
17,221
----------
Building Products (0.0%):
6 Heidelberger Zement AG.............. 389
----------
Chemicals (0.4%):
81 BASF AG............................. 3,313
----------
Closed End Funds (1.0%):
369 Ishares MSCI Germany Index Fund..... 8,948
----------
Computer Software (0.7%):
24 SAP AG.............................. 3,578
17 SAP AG, Vorzugsaktien............... 3,144
----------
6,722
----------
Conglomerates (0.7%):
35 Metro AG............................ 1,237
24 Preussag AG......................... 778
95 VEBA AG............................. 4,696
----------
6,711
----------
Construction (0.0%):
9 Hochtief AG......................... 270
----------
Consumer Goods & Services (0.0%):
5 Adidas AG........................... 286
----------
Cosmetics/Personal Care (0.1%):
10 Beiersdorf AG Ser 'ABC'............. 875
----------
Engineering (0.0%):
5 AGIV AG............................. 58
5 Bilfinger & Berger Bau AG........... 71
----------
129
----------
Gas & Electric Utility (0.2%):
59 RWE AG.............................. 1,994
----------
</TABLE>
Continued
108
<PAGE> 111
One Group Mutual Funds
International Equity Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Germany, continued:
Health Care (0.1%):
23 Schering AG......................... $ 1,298
----------
Industrial Goods & Services (1.3%):
3 Carbon AG (b)....................... 176
79 Siemens AG, Registered Shares....... 11,947
----------
12,123
----------
Insurance (2.5%):
32 Allianz AG.......................... 11,767
7 AMB Aachener und Muenchener
Beteiligungs AG................... 436
3 CKAG Colonia Konzern AG............. 299
29 Muenchener Rueckversicherungs
Gesellschaft AG, Registered
Shares............................ 9,316
----------
21,818
----------
Machinery & Equipment (0.1%):
7 Kloeckner-Humbolt-Deutz AG (b)...... 33
11 Linde AG............................ 428
4 Rheinmetall AG...................... 46
----------
507
----------
Metals & Mining (0.1%):
9 Kugelfischer Georg Schaefer AG...... 69
68 Thyssen Krupp AG.................... 1,102
----------
1,171
----------
Pharmaceuticals (0.1%):
22 Merck KGaA.......................... 671
----------
Retail -- General Merchandise (0.0%):
5 Douglas Holding AG.................. 139
----------
Retail -- Stores/Catalog (0.0%):
12 Karstadt Quelle AG.................. 310
1 Metro AG............................ 12
----------
322
----------
Telecommunications (2.1%):
321 Deutsche Telekom AG................. 18,317
----------
Textile Products (0.0%):
1 Escada AG........................... 58
----------
Tire & Rubber (0.0%):
10 Continental AG...................... 173
----------
114,224
----------
GREECE (0.4%):
Appliances & Household Products (0.0%):
3 Fourlis SA.......................... 59
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Greece, continued:
Banking & Finance (0.3%):
12 Alpha Credit Bank SA................ $ 461
7 Commercial Bank of Greece SA........ 293
5 Ergo Bank SA........................ 103
3 Eurobank (b)........................ 92
16 National Bank of Greece SA.......... 641
----------
1,590
----------
Beverages & Tobacco (0.0%):
9 Hellenic Bottling Co., SA........... 143
2 Papastratos Cigarette Co. .......... 40
----------
183
----------
Food Products & Services (0.0%):
2 Elais Co. .......................... 40
----------
Health Care (0.0%):
11 Athens Medical Care................. 146
----------
Insurance (0.0%):
5 Aspis Pronia General Insurances
SA (b)............................ 65
----------
Miscellaneous Materials & Commodities (0.0%):
0 Silver & Baryte Ore Mining Co.,
SA (c)............................ 7
----------
Packaging (0.0%):
3 Hellas Can SA....................... 95
----------
Telecommunications (0.1%):
38 Hellenic Telecommunication
Organization...................... 939
7 Intracom SA......................... 267
----------
1,206
----------
Textile Products (0.0%):
20 EL. D. Mouzakis SA.................. 120
----------
Transportation & Shipping (0.0%):
12 Attica Enterprises.................. 129
----------
3,640
----------
HONG KONG (1.0%):
Airlines (0.1%):
248 Cathay Pacific Airways.............. 460
----------
Automotive (0.0%):
250 Tan Chong International Ltd. ....... 34
----------
Banking (0.1%):
67 Bank of East Asia Ltd. ............. 156
88 Hang Seng Bank Ltd. ................ 836
----------
992
----------
</TABLE>
Continued
109
<PAGE> 112
One Group Mutual Funds
International Equity Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<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. ......... $ 500
----------
Business Service (0.0%):
30 Wharf Holdings...................... 54
----------
Computer Software (0.1%):
185 Pacific Century Cyberworks Ltd.
(b)............................... 365
143 Sunevision Holdings Ltd. (b)........ 115
----------
480
----------
Conglomerates (0.0%):
45 Swire Pacific Ltd., Class A......... 263
----------
Distribution (0.0%):
34 Li & Fung Ltd. ..................... 170
----------
Electric Utility (0.1%):
169 CLP Holdings Ltd. .................. 785
----------
Electrical Equipment (0.1%):
57 Johnson Electric Holdings........... 535
----------
Gas Utility (0.1%):
487 Hong Kong & China Gas Co., Ltd. .... 547
----------
Industrial Holding Company (0.2%):
210 Hutchison Whampoa Ltd. ............. 2,642
----------
Real Estate (0.1%):
21 Hysan Development Co., Ltd. ........ 22
18 Shangri-La Asia Ltd. ............... 21
101 Sino Land Co. ...................... 36
62 Sun Hung Kai Properties Ltd. ....... 445
----------
524
----------
Telecommunications (0.0%):
585 Hong Kong Telecommunications
Ltd. ............................. 1,286
----------
9,272
----------
HUNGARY (0.4%):
Banking (0.1%):
11 OTP Bank Rt......................... 565
----------
Drugs (0.0%):
8 Gedeon Richter Rt................... 412
----------
Hotels & Lodging (0.0%):
4 Danubius Hotel and Spa Rt........... 74
----------
Oil & Gas (0.0%):
22 Mol Magyar Olaj-Es Gazipari Rt...... 310
----------
Telecommunications (0.3%):
270 Matav Rt............................ 1,888
----------
3,249
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
INDIA (0.5%):
Aluminum (0.1%):
17 Hindalco Industries Ltd. GDR........ $ 338
23 Indian Aluminum Co., Ltd. GDR....... 72
----------
410
----------
Automotive (0.0%):
8 Mahindra & Mahindra Ltd. GDR (b).... 36
16 Tata Engineering & Locomotive Co.,
Ltd. GDR.......................... 44
----------
80
----------
Building Products (0.0%):
53 Gujarat Ambuja Cements Ltd. GDR..... 230
----------
Chemicals (0.0%):
10 Indian Petrochemicals Corp.,
Ltd. GDR.......................... 40
95 Indo Gulf Fertilizers and Chemicals
Corp., Ltd. GDR (b)............... 100
25 United Phosphorus Ltd. GDR.......... 36
----------
176
----------
Diversified (0.0%):
17 ITC Ltd. GDR........................ 333
----------
Hotels & Lodging (0.0%):
14 East India Hotels Ltd. GDR.......... 40
19 Indian Hotels Co., Ltd. GDR......... 104
----------
144
----------
Manufacturing -- Capital Goods (0.1%):
3 Ashok Leyland Ltd. GDR.............. 11
56 India Cements Ltd. GDR.............. 54
28 Larsen & Toubro Ltd. GDR............ 311
----------
376
----------
Metals & Mining (0.0%):
20 Steel Authority of India Ltd. GDR
(b)............................... 51
----------
Pharmaceuticals (0.0%):
20 Ranbaxy Laboratories Ltd. GDR....... 328
----------
Textile Products (0.3%):
74 Arvind Mills Ltd. GDR (b)........... 22
22 Bombay Dye & Manufacturing
Co. GDR........................... 49
89 Century Textile & Industries
Ltd. GDR.......................... 96
12 Grasim Industries Ltd. GDR.......... 74
30 Grasim Industries Ltd. GDR.......... 258
41 Indian Rayon & Industries Ltd.
GDR (b)........................... 62
</TABLE>
Continued
110
<PAGE> 113
One Group Mutual Funds
International Equity Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
India, continued:
Textile Products, continued:
8 Raymond Ltd. GDR.................... $ 28
61 Reliance Industries Ltd. GDR........ 1,274
----------
1,863
----------
Transportation (0.0%):
21 Bajaj Auto Ltd. GDR................. 189
----------
Transportation & Shipping (0.0%):
19 Great Eastern Shipping Co. GDR...... 31
----------
4,211
----------
IRELAND (0.3%):
Airlines (0.0%):
38 Ryanair Holdings PLC (b)............ 280
----------
Banking & Finance (0.2%):
122 Allied Irish Banks PLC.............. 1,092
----------
Beverages & Tobacco (0.0%):
77 James Crean PLC (b)................. 20
77 Oakhill Group....................... 25
----------
45
----------
Construction (0.1%):
47 CRH PLC............................. 860
----------
Diversified (0.0%):
5 DCC PLC............................. 45
----------
Financial Services (0.0%):
38 Irish Permanent PLC................. 326
----------
Hotels & Lodging (0.0%):
1 Jurys Hotel Group PLC............... 7
----------
Industrial Goods & Services (0.0%):
105 Smufit (Jefferson) Group............ 181
----------
Media (0.0%):
67 Independent Newspapers PLC.......... 244
----------
3,080
----------
ISRAEL (0.7%):
Banking (0.1%):
229 Bank Hapoalim Ltd. ................. 663
80 First International Bank of Israel,
Class 1 (b)....................... 117
20 First International Bank of Israel,
Class 5 (b)....................... 146
----------
926
----------
Chemicals (0.0%):
278 Israel Chemicals Ltd. .............. 340
----------
Computer Hardware (0.0%):
8 Scitex Corp., Ltd. (b).............. 86
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Israel, continued:
Computer Software (0.1%):
5 Check Point Software Technologies
Ltd. (b).......................... $ 1,059
----------
Construction (0.0%):
49 Industrial Buildings Corp. ......... 72
----------
Diversified (0.1%):
7 IDB Holding Corp., Ltd. (b)......... 258
1 Israel Corp., Ltd. ................. 203
----------
461
----------
Food Products & Services (0.0%):
22 Osem Investment Ltd. ............... 151
11 Super-Sol Ltd. ADR.................. 196
----------
347
----------
Insurance (0.0%):
9 Clal Insurance Enterprise
Holdings (b)...................... 152
----------
Investment Company (0.0%):
94 Makhteshim Agan Industries (b)...... 211
----------
Materials (0.0%):
0 Israel Petrochemical Enterprises
(c)............................... 2
----------
Paper Products (0.0%):
2 American Israeli Paper Mills........ 123
----------
Pharmaceuticals (0.2%):
1 Agis Industries Ltd. (b)............ 6
21 Teva Pharmaceutical ADR............. 1,186
----------
1,192
----------
Real Estate (0.0%):
0 Africa-Israel Investments Ltd.
(b)(c)............................ 44
1 Property & Building Corp., Ltd. .... 88
----------
132
----------
Telecommunications (0.1%):
113 Bezeq Israeli Telecom Co. .......... 630
6 Koor Industries ADR................. 130
----------
760
----------
Telecommunications-Equipment (0.1%):
13 ECI Telecommunications.............. 476
3 Gilat Satellite Networks Ltd. ...... 208
----------
684
----------
6,547
----------
ITALY (8.2%):
Agriculture (0.0%):
221 Parmalat Finanziaria SpA............ 313
----------
</TABLE>
Continued
111
<PAGE> 114
One Group Mutual Funds
International Equity Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Italy, continued:
Airlines (0.1%):
230 Alitalia SpA........................ $ 476
----------
Auto Parts (0.0%):
66 Magneti Marelli SpA................. 346
----------
Automotive (0.2%):
60 Fiat SpA............................ 1,558
18 Fiat SpA (Non-convertible).......... 251
----------
1,809
----------
Banking (1.4%):
307 Banca Commerciale Italiana SpA...... 1,725
150 Banca Intesa SpA RNC................ 357
50 Banca Popolare di Milano............ 364
225 Bancario San Paolo di Torino........ 4,007
441 Banco Ambrosiano Veneto SpA......... 1,984
855 Credito Italiano SpA................ 4,104
----------
12,541
----------
Broadcasting & Publishing (0.4%):
207 Mediaset SpA........................ 3,176
----------
Building Products (0.0%):
10 Cementir SpA........................ 16
32 Italcementi SpA..................... 300
13 Italcementi SpA RNC................. 44
----------
360
----------
Chemicals (0.2%):
626 Montedison SpA...................... 1,137
224 Montedison SpA RNC.................. 235
120 Snia MPD SpA........................ 120
----------
1,492
----------
Closed End Funds (0.2%):
79 Ishares MSCI Italy Index Fund....... 2,050
----------
Engineering (0.0%):
125 Impregilo SpA....................... 71
----------
Financial Services (0.2%):
225 Beni Stabili SpA.................... 121
126 Mediobanca SpA...................... 1,301
----------
1,422
----------
Gas & Electric Utility (0.3%):
92 Edison SpA.......................... 871
375 Enel SpA............................ 1,668
101 Italgas SpA......................... 449
----------
2,988
----------
Insurance (0.8%):
166 Assicurazioni Generali SpA.......... 5,712
92 Riuniune Adriatici de Sicurta SpA... 1,016
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Italy, continued:
Insurance, continued:
53 Riuniune Adriatici de Sicurta SpA
RNC............................... $ 417
12 Societa Assicuratrice Industriale
SpA............................... 212
10 Societa Assicuratrice Industriale
SpA RNC........................... 80
----------
7,437
----------
Jewelry (0.1%):
44 Bulgari SpA......................... 585
----------
Office Equipment & Services (0.3%):
771 Olivetti SpA (b).................... 2,816
----------
Oil & Gas (1.2%):
1,889 Ente Nazionale Idrocarburi (ENI)
SpA............................... 10,953
----------
Printing & Publishing (0.1%):
25 Mandadori........................... 566
----------
Retail (0.0%):
37 La Rinascente SpA................... 208
----------
Telecommunications (2.5%):
22 Immsi SpA (b)....................... 31
22 Sirti SpA........................... 36
1,082 Telecom Italia Mobile SpA di Risp
(Non-convertible)................. 11,102
673 Telecom Italia Mobile SpA RNC....... 9,286
239 Telecom Italia SpA.................. 1,207
143 Telecom Italia SpA RNC.............. 952
----------
22,614
----------
Textile Products (0.1%):
308 Benetton Group SpA.................. 647
13 Marzotto (Gaetano) & Figli SpA...... 107
----------
754
----------
Tire & Rubber (0.1%):
283 Pirelli SpA......................... 748
----------
73,725
----------
JAPAN (30.9%):
Airlines (0.1%):
218 Japan Airlines Co., Ltd. ........... 830
----------
Appliances & Household Products (2.2%):
199 Matsushita Electric Industrial
Co., Ltd. ........................ 5,172
19 Pioneer Electronic Corp. ........... 742
229 Sanyo Electric Co., Ltd. ........... 2,065
</TABLE>
Continued
112
<PAGE> 115
One Group Mutual Funds
International Equity Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Japan, continued:
Appliances & Household Products, continued:
129 Sharp Corp. ........................ $ 2,286
100 Sony Corp. ......................... 9,357
----------
19,622
----------
Automotive (2.7%):
5 Autobacs Seven Co., Ltd. ........... 180
88 Honda Motor Co., Ltd. .............. 3,003
225 Nissan Motor Co., Ltd. (b).......... 1,329
22 Sanden Corp. ....................... 171
413 Toyota Motor Corp. ................. 18,855
----------
23,538
----------
Banking (2.3%):
54 77th Bank Ltd. ..................... 433
479 Asahi Bank Ltd. .................... 2,019
118 Ashikaga Bank Ltd. (b).............. 245
512 Bank of Tokyo -- Mitsubishi Ltd. ... 6,194
91 Bank of Yokohama Ltd. .............. 409
328 Fuji Bank Ltd. ..................... 2,499
81 Gunma Bank Ltd. .................... 419
116 Hokuriku Bank Ltd. (b).............. 270
118 Industrial Bank of Japan Ltd. ...... 897
132 Joyo Bank Ltd. ..................... 509
76 Mitsubishi Trust & Banking Corp. ... 591
927 Sakura Bank Ltd. ................... 6,423
----------
20,908
----------
Basic Industry (0.0%):
69 Sekisui Chemical Co., Ltd. ......... 266
----------
Beverages & Tobacco (0.3%):
79 Asahi Breweries Ltd. ............... 948
109 Kirin Brewery Co., Ltd. ............ 1,365
36 Sapporo Breweries Ltd. ............. 147
25 Takara Shuzo Co., Ltd. ............. 625
----------
3,085
----------
Broadcasting & Publishing (0.1%):
21 Tokyo Broadcasting System, Inc. .... 909
----------
Building Products (0.1%):
113 Chichibu Onoda Cement Co. .......... 237
8 Dianippon Screen Manufacturing Co.,
Ltd. (b).......................... 76
35 Sanwa Shutter Corp. ................ 114
28 Tostem Corp. ....................... 458
----------
885
----------
Chemicals (1.8%):
166 Asahi Chemical Industry Co.,
Ltd. ............................. 1,177
53 Daicel Chemical Industries Ltd. .... 171
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Japan, continued:
Chemicals, continued:
103 Dainippon Ink & Chemicals, Inc. .... $ 486
56 Denki Kagaku Kogyo Kabushiki
Kaisha............................ 249
59 Ishihara Sangyo Kaisha Ltd. (b)..... 99
43 Kaneka Corp. ....................... 475
40 Konica Corp. ....................... 340
36 Kureha Chemical Industry Co.,
Ltd. ............................. 108
232 Mitsubishi Chemical Corp. .......... 954
68 Mitsubishi Gas Chemical Co.,
Inc. ............................. 228
24 Nippon Shokubai K.K. Co. ........... 153
17 NOF Corp. .......................... 50
46 Shin-Etsu Chemical Co. ............. 2,359
133 Showa Denko K.K. (b)................ 196
192 Sumitomo Chemical Co. .............. 1,158
102 Takeda Chemical Industries Ltd. .... 6,711
171 Toray Industries, Inc. ............. 695
77 Tosoh Corp. ........................ 389
116 Ube Industries Ltd. ................ 364
----------
16,362
----------
Closed End Funds (0.5%):
288 Ishares MSCI Japan Index Fund....... 4,377
----------
Commercial Services (0.1%):
6 Benesse Corp. ...................... 417
8 Oyo Corp. .......................... 112
----------
529
----------
Computer Software (0.5%):
10 CSK Corp. .......................... 298
17 Konami Co., Ltd. ................... 1,064
26 Softbank Corp. ..................... 3,538
----------
4,900
----------
Construction (0.2%):
64 Daiwa House Industry Co., Ltd. ..... 468
103 Kumagai Gumi Co., Ltd. (b).......... 62
38 Okumura Corp. ...................... 138
72 Penta-Ocean Construction Co.,
Ltd. ............................. 110
85 Sekisui House Ltd. ................. 788
97 Shimizu Corp. ...................... 278
----------
1,844
----------
Consumer Goods & Services (0.2%):
67 Nippon Sheet Glass Co., Ltd. ....... 934
16 Shimano, Inc. ...................... 386
14 Tokyo Style Co., Ltd. .............. 132
48 Toto Ltd. .......................... 365
----------
1,817
----------
</TABLE>
Continued
113
<PAGE> 116
One Group Mutual Funds
International Equity Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Japan, continued:
Cosmetics/Personal Care (0.1%):
48 Shisiedo Co., Ltd. ................. $ 744
----------
Data Processing & Reproduction (0.8%):
205 Fujitsu Ltd. ....................... 7,111
3 Trans Cosmos, Inc. ................. 497
----------
7,608
----------
Distribution (0.1%):
171 Itochu Corp. (b).................... 865
----------
Diversified (0.1%):
21 Amano Corp. ........................ 235
8 Sanrio Co., Ltd. ................... 214
18 Yamaha Corp. ....................... 197
----------
646
----------
Electrical & Electronic (1.3%):
44 Casio Computer Co., Ltd. ........... 495
19 Kyocera Corp. ...................... 3,197
251 Mitsubishi Electric Corp. .......... 2,723
38 Nikon Corp. ........................ 1,412
31 Omron Corp. ........................ 844
12 Rohm Co., Ltd. ..................... 3,515
----------
12,186
----------
Electrical Equipment (0.3%):
19 Alps Electric Co., Ltd. ............ 354
8 SMC Corp. .......................... 1,451
10 Taiyo Yuden Co., Ltd. .............. 628
----------
2,433
----------
Electronic Components/Instruments (2.2%):
10 Adventest Corp. .................... 2,302
24 Fanuc Co., Ltd. .................... 2,407
4 Hirose Electric Co., Ltd. .......... 577
379 Hitachi Ltd. ....................... 5,481
183 NEC Corp. .......................... 5,760
290 Toshiba Corp. ...................... 3,281
18 Yokogawa Electric Corp. ............ 180
----------
19,988
----------
Electronics (0.1%):
18 Nitto Denko Corp. .................. 696
----------
Energy (0.1%):
129 Japan Energy Corp. (b).............. 139
196 Nippon Oil Co. ..................... 900
----------
1,039
----------
Engineering (0.2%):
20 Daito Trust Construction Co.,
Ltd. ............................. 337
78 Fujita Corp. (b).................... 38
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Japan, continued:
Engineering, continued:
32 JGC Corp. .......................... $ 129
118 Kajima Corp. ....................... 378
177 Kawasaki Heavy Industries Ltd.
(b)............................... 271
45 Kinden Corp. ....................... 283
12 Maeda Road Construction............. 56
39 Nishimatsu Construction............. 154
81 Obayashi Corp. ..................... 359
23 Toa Corp. .......................... 29
----------
2,034
----------
Entertainment (0.2%):
7 Nintendo Co., Ltd. ................. 1,295
29 Toei Co., Ltd. ..................... 212
2 Toho Co. ........................... 393
27 Tokyo Dome Corp. (b)................ 123
64 Tokyotokeiba Co., Ltd. ............. 82
----------
2,105
----------
Financial Services (1.4%):
18 Acom Co., Ltd. ..................... 1,501
152 Daiwa Securities Co., Ltd. ......... 2,011
36 Jaccs Co., Ltd. .................... 115
73 Nippon Shinpan Co., Ltd. ........... 179
208 Nomura Securities Co., Ltd. ........ 5,101
65 Orient Corp. (b).................... 367
10 Orix Corp. ......................... 1,464
14 Promise Co., Ltd. .................. 1,109
10 Takefuji Corp. ..................... 1,211
----------
13,058
----------
Food & Household Products (0.5%):
70 Ajinomoto Co., Inc. ................ 900
75 Kao Corp. .......................... 2,297
42 Nippon Meat Packers, Inc. .......... 615
14 Nissin Food Products Co., Ltd. ..... 357
----------
4,169
----------
Food Products & Services (0.2%):
59 Daiei, Inc. (b)..................... 222
15 House Foods Corp. .................. 233
24 Kikkoman Corp. ..................... 185
42 Meiji Milk Products Co., Ltd. ...... 226
49 Nichirei Corp. ..................... 209
28 Nippon Suisan Kaisha Ltd. .......... 51
41 Snow Brand Milk Products Co.,
Ltd. ............................. 221
27 Yamazaki Baking Co., Ltd. .......... 266
----------
1,613
----------
</TABLE>
Continued
114
<PAGE> 117
One Group Mutual Funds
International Equity Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Japan, continued:
Forest Products (0.2%):
34 Mitsubishi Paper Mills Ltd. ........ $ 79
92 Nippon Paper Industries Co.,
Ltd. ............................. 630
106 Oji Paper Co., Ltd. ................ 733
26 Sumitomo Forestry Co., Ltd. ........ 175
----------
1,617
----------
Gas & Electric Utility (0.9%):
120 Kansai Electric Power Co., Inc. .... 2,144
290 Osaka Gas Co., Ltd. ................ 836
90 Tohoku Electric Power Co., Inc. .... 1,222
139 Tokyo Electric Power Co., Inc. ..... 3,390
340 Tokyo Gas Co., Ltd. ................ 958
----------
8,550
----------
Health & Personal Care (0.5%):
28 Chugai Pharmaceutical Co., Ltd. .... 531
49 Kyowa Hakko Kogyo Co., Ltd. ........ 480
55 Sankyo Co., Ltd. ................... 1,245
40 Yamanouchi Pharmaceutical Co.,
Ltd. ............................. 2,189
----------
4,445
----------
Industrial Goods & Services (0.8%):
95 Bridgestone Corp. .................. 2,016
101 Denso Corp. ........................ 2,462
39 Inax Corp. ......................... 241
90 Mitsui Engineering & Shipbuilding
Co., Ltd. (b)..................... 86
48 NGK Insulators Ltd. ................ 596
31 NGK Spark Plug Co., Ltd. ........... 481
85 Sumitomo Electric Industries
Ltd. ............................. 1,461
----------
7,343
----------
Insurance (0.3%):
92 Mitsui Marine & Fire Insurance
Co., Ltd. ........................ 443
1 Nichido Fire & Marine Insurance
Co., Ltd. ........................ 4
83 Sumitomo Marine & Fire Insurance
Co., Ltd. ........................ 484
175 Tokio Marine & Fire Insurance
Co., Ltd. ........................ 2,025
----------
2,956
----------
Jewelry (0.2%):
34 Citizen Watch Co., Ltd. ............ 329
12 Hoya Corp. ......................... 1,078
----------
1,407
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Japan, continued:
Leasing (0.1%):
26 Daiwa Kosho Lease Co., Ltd. ........ $ 86
50 Yamato Transport Co., Ltd. ......... 1,245
----------
1,331
----------
Leisure (0.0%):
8 Namco Ltd. ......................... 285
----------
Machinery & Equipment (1.2%):
38 Amada Co., Ltd. .................... 323
30 Brother Industries Ltd. ............ 86
20 Daifuku Co., Ltd. .................. 222
35 Daikin Industries Ltd. ............. 815
37 Ebara Corp. ........................ 503
116 Komatsu Ltd. ....................... 818
10 Komori Corp. ....................... 175
29 Koyo Seiko Co., Ltd. ............... 252
160 Kubota Corp. ....................... 582
18 Kurita Water Industries Ltd. ....... 397
9 Makino Milling Machine Co., Ltd. ... 88
44 Minebea Co., Ltd. .................. 553
396 Mitsubishi Heavy Industries Ltd. ... 1,759
14 Mori Seiki Co., Ltd. ............... 217
69 NSK Ltd. ........................... 607
63 NTN Corp. .......................... 270
18 Okuma Corp. ........................ 79
79 Sumitomo Heavy Industries Ltd. ..... 265
14 Takuma Co., Ltd. ................... 125
19 Tokyo Electron Ltd. ................ 2,567
26 Tsubakimoto Chain Co. .............. 133
----------
10,836
----------
Manufacturing -- Capital Goods (0.5%):
48 Fujikura Ltd. ...................... 320
18 Kokuyo Co., Ltd. ................... 296
17 Makita Corp. ....................... 162
25 Murata Manufacturing Co., Ltd. ..... 3,596
39 Nippon Sharyo Ltd. ................. 82
19 Noritake Co., Ltd. ................. 106
15 Takara Standard Co., Ltd. .......... 66
----------
4,628
----------
Manufacturing -- Consumer Goods (0.8%):
95 Canon, Inc. ........................ 4,741
57 Fuji Photo Film Co., Ltd. .......... 2,338
12 Sega Enterprises Ltd. (b)........... 191
----------
7,270
----------
</TABLE>
Continued
115
<PAGE> 118
One Group Mutual Funds
International Equity Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Japan, continued:
Materials (0.2%):
135 Asahi Glass Co., Ltd. .............. $ 1,512
59 Sumitomo Osaka Cement Co., Ltd. .... 350
----------
1,862
----------
Medical Supplies (0.0%):
24 Olympus Optical Co., Ltd. .......... 431
----------
Merchandising (0.4%):
36 ITO-Yokado Co., Ltd. ............... 2,170
37 JUSCO Co., Ltd. .................... 703
41 Marui Co., Ltd. .................... 787
----------
3,660
----------
Metals & Mining (0.3%):
82 Furukawa Electric Co., Ltd. ........ 1,717
141 Hitachi Zosen Corp. (b)............. 128
51 Japan Steel Works Ltd. (b).......... 69
86 Mitsubishi Materials Corp. ......... 353
32 Mitsui Mining & Smelting Co.,
Ltd. ............................. 243
37 Sumitomo Metal Mining Co., Ltd. .... 175
----------
2,685
----------
Office Equipment & Services (0.2%):
98 Dai Nippon Printing Co., Ltd. ...... 1,731
----------
Oil & Gas Exploration, Production & Services (0.0%):
11 Arabian Oil Co., Ltd. (b)........... 37
76 Teikoku Oil Co., Ltd. .............. 247
----------
284
----------
Packaging (0.1%):
26 Toyo Seikan Kaisha Ltd. ............ 485
----------
Paper Products (0.1%):
9 Uni-Charm Corp. .................... 516
----------
Pharmaceuticals (0.5%):
34 Dai-Ichi Pharmaceuticals............ 864
36 Eisai Co., Ltd. .................... 1,157
40 Meiji Seika Kaisha Ltd. ............ 265
27 Shionogi & Co., Ltd. ............... 514
44 Taisho Pharmaceutical Co. .......... 1,581
----------
4,381
----------
Real Estate (0.3%):
140 Mitsubishi Estate Co., Ltd. ........ 1,651
87 Mitsui Fudosan Co., Ltd. ........... 946
32 Tokyo Tatemono Co., Ltd. ........... 68
----------
2,665
----------
Restaurants (0.1%):
13 Skylark Co., Ltd. .................. 515
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Japan, continued:
Retail (0.3%):
9 Aoyama Trading Co., Ltd. ........... $ 130
24 Credit Saison Co., Ltd. ............ 557
37 Daimura, Inc. ...................... 130
30 Hankyu Department Stores, Inc. ..... 160
25 Isetan Co., Ltd. ................... 307
59 Mitsukoshi Ltd. (b)................. 262
44 Mycal Corp. ........................ 151
15 Seiyu Ltd. (b)...................... 64
7 Shimachu Co., Ltd. ................. 142
39 Takashimaya Co., Ltd. .............. 364
22 UNY Co., Ltd. ...................... 305
----------
2,572
----------
Services (0.3%):
30 Secom Co., Ltd. .................... 2,198
91 Toppan Printing Co., Ltd. .......... 965
----------
3,163
----------
Steel (0.2%):
364 Kawasaki Steel Corp. ............... 523
777 Nippon Steel Corp. ................. 1,638
----------
2,161
----------
Storage (0.0%):
30 Mitsubishi Logistics Corp. ......... 272
39 Mitsui-Soko Co., Ltd. .............. 85
----------
357
----------
Telecommunications (2.1%):
19 Nippon Comsys Corp. ................ 405
1 Nippon Telegraph & Telephone
Corp. ............................ 18,258
----------
18,663
----------
Textile Products (0.3%):
31 Gunze Ltd. ......................... 121
91 Kanebo Ltd. (b)..................... 282
46 Kuraray Co., Ltd. .................. 529
101 Mitsubishi Rayon Co., Ltd. ......... 308
42 Nisshinbo Industries, Inc. ......... 222
22 Onward Kashiyama Co., Ltd. ......... 299
118 Teijin Ltd. ........................ 577
118 Toyobo Ltd. ........................ 233
18 Wacoal Corp. ....................... 184
----------
2,755
----------
Transportation & Shipping (0.4%):
0 East Japan Railway Co. (c).......... 2,526
31 Kamigumi Co., Ltd. ................. 164
61 Kawasaki Kisen Kaisha Ltd. ......... 123
</TABLE>
Continued
116
<PAGE> 119
One Group Mutual Funds
International Equity Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Japan, continued:
Transportation & Shipping, continued:
135 Nippon Yusen Kabushiki Kaisha....... $ 651
17 Seino Transportation Co., Ltd. ..... 86
----------
3,550
----------
Transportation -- Road & Railroad (0.3%):
95 Keihin Electric Express Railway
Co., Ltd. ........................ 358
154 Kinki Nippon Railway Co., Ltd. ..... 627
123 Nippon Express Co., Ltd. ........... 757
0 Odakyu Electric Railway Co., Ltd.
(c)............................... 0
116 Tobu Railway Co., Ltd. ............. 332
131 Tokyu Corp. ........................ 649
----------
2,723
----------
Wholesale & International Trade (0.6%):
165 Marubeni Corp. (b).................. 569
179 Mitsubishi Corp. ................... 1,623
182 Mitsui & Co., Ltd. ................. 1,393
125 Sumitomo Corp. ..................... 1,410
----------
4,995
----------
279,878
----------
KOREA (0.1%):
Closed End Funds (0.1%):
52 Ishares MSCI South Korea (b)........ 1,092
----------
MEXICO (0.7%):
Beverages & Tobacco (0.1%):
11 Compania Cervezas Unidas SA ADR..... 259
33 Grupo Continental SA................ 36
160 Grupo Modelo SA, Series C........... 359
----------
654
----------
Brewery (0.0%):
40 Fomento Economico Mexicano
SA (b)............................ 172
----------
Building Products (0.0%):
13 Apasco SA de CV..................... 75
23 Cemex SA de CV, Series CPO.......... 105
----------
180
----------
Diversified (0.0%):
32 ALFA SA de CV, Class A.............. 74
65 Desc SA de CV, Series B............. 41
40 Grupo Carso SA de CV,
Series A-1 (b).................... 138
----------
253
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Mexico, continued:
Engineering (0.0%):
60 Empresas ICA Sociedad Controladora
SA de CV (b)...................... $ 17
----------
Financial Services (0.1%):
76 Grupo Financiero Banamex Accival SA
de CV, Class B (b)................ 325
240 Grupo Financiero Bancomer SA de CV,
Class O (b)....................... 122
33 Grupo Financiero Inbursa SA de CV,
Class B (b)....................... 134
----------
581
----------
Food & Household Products (0.0%):
85 Kimberly-Clark de Mexico SA de CV,
Class A........................... 240
----------
Food Products & Services (0.0%):
22 Empresas La Moderna SA de CV (b).... 106
----------
Industrial Goods & Services (0.0%):
85 Grupo Industrial Bimbo SA de CV,
Series A.......................... 135
----------
Merchandising (0.1%):
124 Cifra SA de CV, Series C (b)........ 285
209 Cifra SA de CV, Series V (b)........ 491
----------
776
----------
Metals & Mining (0.0%):
33 Grupo Mexico SA, Series B (b)....... 92
32 Industrias Penoles SA, Series CP.... 54
----------
146
----------
Retail -- General Merchandise (0.0%):
39 Controladora Comercial Mexicana SA
de CV -- UB (b)................... 34
25 Controladora Comercial Mexicana SA
de CV -- UBC (b).................. 23
----------
57
----------
Retail -- Stores/Catalog (0.0%):
35 Grupo Elektra SA de CV.............. 35
----------
Telecommunications (0.4%):
160 Grupo Televisa SA, Series CPO (b)... 548
166 Telefonos de Mexico SA, Series A.... 472
658 Telefonos de Mexico SA, Series L.... 1,864
----------
2,884
----------
Transportation -- Shipping (0.0%):
30 Vitro SA............................ 33
----------
6,269
----------
</TABLE>
Continued
117
<PAGE> 120
One Group Mutual Funds
International Equity Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
NETHERLANDS (2.5%):
Appliances & Household Products (0.3%):
59 Koninklijke (Royal) Philips
Electronics NV.................... $ 2,807
----------
Banking (0.2%):
62 ABN AMRO Holding NV................. 1,528
----------
Beverages & Tobacco (0.1%):
14 Heineken NV......................... 833
----------
Broadcasting & Publishing (0.0%):
37 Elsevier NV......................... 444
----------
Chemicals (0.1%):
15 Akzo Nobel NV....................... 623
----------
Computer Software (0.1%):
20 ASM Lithography Holding NV (b)...... 863
----------
Energy (0.7%):
90 Royal Dutch Petroleum Co. .......... 5,602
----------
Financial Services (0.3%):
41 ING Groep NV........................ 2,808
----------
Food Products & Services (0.2%):
33 Koninklijke Ahold NV................ 969
27 Unilever CVA........................ 1,246
----------
2,215
----------
Insurance (0.2%):
45 Aegon NV............................ 1,607
----------
Printing & Publishing (0.0%):
16 Wolters Kluwer CVA.................. 439
----------
Services (0.3%):
40 Koninklijke KPN NV.................. 1,801
20 TNT Post Groep NV................... 542
----------
2,343
----------
Steel (0.0%):
20 Corus Group PLC (b)................. 30
----------
Transportation (0.0%):
2 KLM Royal Dutch Airlines............ 65
----------
22,207
----------
NEW ZEALAND (0.3%):
Appliances & Household Products (0.0%):
78 Fisher & Paykel Industries Ltd. .... 244
----------
Beverages & Tobacco (0.0%):
125 Lion Nathan Ltd. ................... 280
----------
Building Products (0.0%):
93 Fletcher Challenge Building......... 99
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
New Zealand, continued:
Financial Services (0.0%):
591 Brierley Investments Ltd. .......... $ 92
----------
Forest Products (0.1%):
268 Carter Holt Harvey Ltd. ............ 234
136 Fletcher Challenge Forestry (b)..... 49
125 Fletcher Challenge Paper............ 143
----------
426
----------
Oil & Gas (0.0%):
75 Fletcher Challenge Energy........... 246
----------
Telecommunications (0.2%):
364 Telecom Corp. of New Zealand
Ltd. ............................. 1,279
----------
2,666
----------
NORWAY (0.6%):
Airlines (0.0%):
17 SAS Norge ASA, Class B.............. 143
----------
Banking (0.1%):
117 Den Norske Bank ASA................. 486
----------
Computer Software (0.0%):
25 Merkantildata ASA (b)............... 127
----------
Engineering (0.0%):
12 Kvaerner ASA, Class A (b)........... 123
6 Kvaerner ASA, Class B (b)........... 55
----------
178
----------
Environmental Services (0.0%):
13 Tomra Systems ASA................... 351
----------
Forest Products (0.0%):
6 Norske Skogsindustrier ASA.......... 148
----------
Insurance (0.0%):
54 Storebrand ASA...................... 391
----------
Manufacturing -- Consumer Goods (0.1%):
31 Orkla ASA, Series A................. 593
----------
Medical Equipment & Supplies (0.0%):
11 Hafslund ASA, Class A............... 51
43 Hafslund ASA, Class B............... 142
----------
193
----------
Metals & Mining (0.0%):
15 Elkem ASA........................... 275
----------
Oil & Gas (0.1%):
18 Petroleum Geo-Services ASA (b)...... 311
7 Smedvig ASA, Class A................ 118
6 Smedvig ASA, Class B................ 100
----------
529
----------
</TABLE>
Continued
118
<PAGE> 121
One Group Mutual Funds
International Equity Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Norway, continued:
Oil & Gas Exploration, Production & Services (0.3%):
43 Norsk Hydro ASA..................... $ 1,813
----------
Printing & Publishing (0.0%):
11 Schibsted ASA....................... 208
----------
Transportation & Shipping (0.0%):
17 Leif Hoegh & Co., ASA (b)........... 161
----------
5,596
----------
PHILIPPINES (0.3%):
Banking (0.0%):
33 Security Bank Corp. (b)............. 21
35 Union Bank Philippines (b).......... 23
----------
44
----------
Banking & Finance (0.1%):
89 Metropolitan Bank & Trust Co. ...... 415
55 Philippine National Bank (b)........ 72
----------
487
----------
Beverages & Tobacco (0.0%):
199 San Miguel Corp., Class B........... 247
----------
Building Products (0.0%):
710 DMCI Holdings, Inc. (b)............. 10
2,543 Southeast Asia Cement Holdings,
Inc. (b).......................... 22
----------
32
----------
Electronic Components/Instruments (0.0%):
149 Ionics Circuit, Inc. ............... 33
----------
Food Products & Services (0.0%):
300 Universal Robina Corp. ............. 37
----------
Oil & Gas Exploration, Production & Services (0.0%):
1,928 Petron Corp. (b).................... 63
----------
Real Estate (0.1%):
1,103 Ayala Land, Inc. ................... 140
825 Filinvest Land, Inc. (b)............ 36
3,802 SM Prime Holdings, Inc. ............ 458
----------
634
----------
Telecommunications (0.1%):
85 Manila Electric Co., Class B........ 124
37 Philippine Long Distance
Telephone Co. .................... 661
----------
785
----------
Transportation & Shipping (0.0%):
137 International Container Terminal
Services, Inc. (b)................ 4
----------
2,366
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
PORTUGAL (0.6%):
Banking (0.2%):
179 Banco Commercial Portuguese......... $ 936
14 Banco Espirito Santo e Commerical de
Lisboa SA, Registered Shares...... 354
143 BPI-SGPS SA, Registered Shares...... 508
----------
1,798
----------
Building Products (0.0%):
16 Cimpor-Cimentos de Portugal,
SGPS SA........................... 301
----------
Electric Utility (0.1%):
46 Electricidade de Portugal SA........ 846
----------
Food & Household Products (0.0%):
14 Estabelecimentos Jeronimo Martins &
Filho SA.......................... 233
----------
Industrial Holding Company (0.0%):
86 Sonae S.G.P.S., SA.................. 152
----------
Retail -- General Merchandise (0.0%):
8 Modelo Continente-Sociedade Gestora
de Participacoes Sociais SA....... 113
----------
Telecommunications (0.3%):
160 Portugal Telecom SA................. 1,798
----------
Transportation (0.0%):
31 Brisa Auto-Estradas................. 272
----------
5,513
----------
SINGAPORE (0.6%):
Airlines (0.1%):
70 Singapore Airlines Ltd. ............ 692
----------
Automotive (0.0%):
20 Cycle & Carriage Ltd. .............. 47
----------
Banking (0.2%):
50 DBS Group Holdings Ltd. ............ 642
63 Oversea -- Chinese Banking Corp.,
Ltd. ............................. 431
40 United Overseas Bank Ltd. .......... 262
----------
1,335
----------
Closed End Funds (0.0%):
50 Ishares MSCI Singapore Free......... 372
----------
Conglomerates (0.0%):
254 United Industries................... 120
----------
Electrical & Electronic (0.0%):
30 Chartered Semiconductor
Manufacturing Ltd. (b)............ 262
----------
</TABLE>
Continued
119
<PAGE> 122
One Group Mutual Funds
International Equity Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Singapore, continued:
Electrical Equipment (0.0%):
5 Creative Technology Ltd. ........... $ 121
----------
Electronic Components/Instruments (0.0%):
30 Venture Manufacturing
(Singapore) Ltd. ................. 305
----------
Health Care (0.0%):
52 Parkway Holdings.................... 133
----------
Machinery & Equipment (0.0%):
86 Keppel Corp. ....................... 186
----------
Printing & Publishing (0.1%):
44 Singapore Press Holdings Ltd. ...... 693
----------
Real Estate (0.0%):
38 City Developments Ltd. ............. 148
106 DBS Land Ltd. ...................... 137
----------
285
----------
Telecommunications (0.2%):
501 Singapore Telecommunications
Ltd. ............................. 733
----------
Transportation & Shipping (0.0%):
176 Neptune Orient Lines Ltd. (b)....... 163
----------
5,447
----------
SOUTH AFRICA (0.4%):
Banking & Finance (0.1%):
32 Amalgamated Banks of South Africa... 120
4 Investec Group Ltd. ................ 141
13 Nedcor Ltd. ........................ 270
----------
531
----------
Brewery (0.0%):
1 Edgars Consolidated Stores Ltd. .... 12
33 South African Breweries Ltd. ....... 249
----------
261
----------
Computer Hardware (0.0%):
31 Dimension Data Holdings Ltd. (b).... 254
----------
Diversified (0.0%):
9 Anglovaal Industries Ltd. .......... 9
9 Aveng Ltd. (b)...................... 8
13 Barlow Ltd. ........................ 80
12 Imperial Holdings Ltd. (b).......... 97
24 Rembrandt Group Ltd. ............... 223
----------
417
----------
Engineering (0.0%):
31 Murray & Roberts Holdings Ltd. ..... 15
----------
Entertainment (0.0%):
72 Sun International (South Africa)
Ltd. ............................. 17
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
South Africa, continued:
Food & Household Products (0.0%):
9 Tiger Oats Ltd. .................... $ 76
----------
Forest Products (0.0%):
19 Nampak Ltd. ........................ 41
13 Sappi Ltd. (b)...................... 94
----------
135
----------
Industrial Goods & Services (0.0%):
42 African Oxygen Ltd. ................ 78
----------
Insurance (0.1%):
342 Firstrand Ltd. ..................... 353
15 Liberty Life Association of Africa
Ltd. ............................. 146
33 Metropolitan Life Ltd. ............. 43
----------
542
----------
Metals (0.0%):
3 Anglogold Ltd. ..................... 117
14 Iscor Ltd. ......................... 24
4 Western Areas Gold Mining (b)....... 10
----------
151
----------
Metals & Mining (0.2%):
19 DeBeers Centenary AG................ 468
39 Driefontein Consolidated Ltd. ...... 154
12 Rustenburg Platinum Holdings
Ltd. ............................. 332
----------
954
----------
Oil & Gas Exploration, Production & Services (0.0%):
37 Sasol Ltd. ......................... 249
----------
Printing & Publishing (0.0%):
8 Nasionale Pers Beperk, Series N..... 69
----------
Retail -- Stores/Catalog (0.0%):
13 Pepkor Ltd. ........................ 46
----------
Telecommunications -- Services and Equipment (0.0%):
23 M Web Holdings Ltd. (b)............. 14
18 Mih Holdings Ltd. (b)............... 74
----------
88
----------
3,883
----------
SPAIN (3.6%):
Agriculture (0.0%):
9 Azucarera Ebro Agricolas SA......... 111
----------
Automotive (0.0%):
8 Autopistas Cesa..................... 71
----------
</TABLE>
Continued
120
<PAGE> 123
One Group Mutual Funds
International Equity Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Spain, continued:
Banking (1.3%):
369 Banco Bilbao Vizcaya Argentaria
SA................................ $ 5,534
464 Banco Santander Central Hispano
Americano SA...................... 4,911
----------
10,445
----------
Beverages & Tobacco (0.0%):
24 Tabacalera SA....................... 366
----------
Building Products (0.0%):
9 Uralita SA.......................... 51
----------
Construction (0.0%):
4 ACS, Actividades de Construccion y
Servicios SA...................... 127
----------
Drugs (0.0%):
1 Fabrica Espanola de Productos
Quimicos y Farmaceuticos.......... 10
----------
Energy (0.4%):
174 Repsol SA, Bearer Shares............ 3,468
4 Sociedad General de Aquas de
Barcelona SA...................... 56
0 Sociedad General de Aquas de
Barcelona SA -- New (b) (c)....... 1
----------
3,525
----------
Engineering (0.0%):
8 Autopistas, Concesionaria Espanola
SA (b)............................ 3
21 Grupo Dragados SA................... 152
----------
155
----------
Food Products & Services (0.0%):
16 Puleva SA (b)....................... 27
22 Telepizza SA (b).................... 125
----------
152
----------
Gas & Electric Utility (0.6%):
43 Empresa Nacional de Electricidad
SA................................ 480
117 Endesa SA........................... 2,277
12 Fomento De Construcciones Y
Contratas SA...................... 224
119 Iberdrola SA........................ 1,540
32 Union Electric Fenosa SA............ 572
----------
5,093
----------
Hotels & Lodging (0.0%):
8 Sol Melia SA (b).................... 91
----------
Industrial Holding Company (0.0%):
14 Corporacion Financiara Alba SA...... 381
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Spain, continued:
Insurance (0.0%):
15 Corporacion Mapfre.................. $ 187
----------
Metals (0.0%):
8 Acerinox SA......................... 244
----------
Miscellaneous Materials & Commodities (0.0%):
13 Viscofan Industra Navarra de
Envolturas Celulosicas SA......... 85
----------
Oil & Gas Exploration, Production & Services (0.1%):
50 Gas Natural SDG SA.................. 908
----------
Real Estate (0.0%):
7 Inmobiliaria Metro.................. 124
15 Vallehermoso SA..................... 90
----------
214
----------
Telecommunications (1.2%):
462 Telefonica de Espana (b)............ 9,970
----------
Tobacco (0.0%):
5 Altadis SA (b)...................... 78
----------
32,264
----------
SWEDEN (2.3%):
Automotive (0.1%):
10 Volvo AB, Class A................... 209
19 Volvo AB, Class B................... 411
----------
620
----------
Banking (0.1%):
70 Nordic Baltic Holding AB............ 531
----------
Banking & Finance (0.3%):
68 Nordic Baltic Holding AB............ 512
63 Skandiaviska Enskilda Banken,
Class A........................... 750
25 Sparbanken Sverige AB, Swedbank..... 366
64 Svenska Handelsbanken, Class A...... 937
----------
2,565
----------
Consumer Goods & Services (0.1%):
34 Securitas AB, Class B............... 729
----------
Engineering (0.0%):
5 Drott AB............................ 57
5 Skanska AB, Series B................ 187
----------
244
----------
Forest Products (0.1%):
33 Svenska Cellulosa AB, Series B...... 624
----------
Insurance (0.2%):
54 Skandia Forsakrings AB.............. 1,424
----------
</TABLE>
Continued
121
<PAGE> 124
One Group Mutual Funds
International Equity Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Sweden, continued:
Machinery & Equipment (0.0%):
11 Atlas Copco AB, Series A............ $ 216
----------
Manufacturing -- Consumer Goods (0.1%):
47 Electrolux AB, Series B............. 735
----------
Medical Equipment & Supplies (0.0%):
20 Gambro AB, Class A.................. 164
----------
Metals & Mining (0.0%):
6 SKF AB, Series B.................... 101
8 Trelleborg AB, Series B............. 56
----------
157
----------
Office Equipment & Services (0.0%):
5 Esselte AB, Series B................ 27
----------
Retail -- Special Line (0.1%):
49 Hennes & Mauritz AB, Class B........ 1,028
----------
Telecommunications (1.1%):
530 Telefonaktiebolaget LM Ericsson
AB................................ 10,535
----------
Telecommunications -- Services and Equipment (0.1%):
14 Netcom AB, Class B (b).............. 1,047
----------
20,646
----------
SWITZERLAND (1.4%):
Commercial Services (0.1%):
1 Adecco SA........................... 514
0 Adecco SA, Registered Shares (c).... 298
0 Societe Generale de Surveillance
Holdings SA (c)................... 173
----------
985
----------
Diversified (0.0%):
0 Alusuisse-Lonza Holding AG,
Registered Shares (b)(c).......... 98
----------
Engineering (0.1%):
7 ABB AG.............................. 817
----------
Financial Services (0.3%):
7 CS Holding AG, Registered Shares.... 1,395
11 UBS AG, Registered Shares........... 1,650
----------
3,045
----------
Food Products & Services (0.2%):
1 Nestle SA, Registered Shares........ 1,586
----------
Insurance (0.1%):
0 Swiss Reinsurance Co., Registered
Shares (c)........................ 696
1 Zurich Allied AG.................... 654
----------
1,350
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Switzerland, continued:
Jewelry (0.0%):
1 Swatch Group AG, Registered
Shares............................ $ 301
----------
Pharmaceuticals (0.5%):
0 Givaudan, Registered Shares
(b)(c)............................ 60
1 Novartis AG, Bearer Shares.......... 2,214
0 Roche Holding AG (c)................ 499
0 Roche Holding AG, Bearer Shares
(c)............................... 1,445
----------
4,218
----------
Telecommunications (0.1%):
1 Swisscom AG, Registered Shares...... 490
----------
12,890
----------
THAILAND (0.5%):
Auto Parts (0.0%):
141 Thai Rung Union Car PCL............. 103
----------
Beverages & Tobacco (0.0%):
6 Serm Suk PCL........................ 20
----------
Broadcasting/Cable (0.0%):
307 United Broadcasting Corp., PCL
(b)............................... 189
----------
Building Products (0.1%):
31 Siam Cement PCL, Foreign Registered
Shares (b)........................ 581
73 Tipco Asphalt PCL (b)............... 34
----------
615
----------
Computer Hardware (0.1%):
144 K.R. Precision PCL (b).............. 81
124 Shinawatra Computer PCL (b)......... 652
----------
733
----------
Construction (0.0%):
106 Italian-Thai Development PCL (b).... 27
----------
Cosmetics/Personal Care (0.0%):
57 I.C.C. International PCL............ 102
----------
Electric Utility (0.0%):
144 Electricity Generating PCL.......... 154
----------
Electronic Components/Instruments (0.1%):
70 Hana Microelectronics PCL, Foreign
Registered Shares................. 547
----------
Oil & Gas (0.0%):
87 PTT Exploration & Production PCL.... 419
----------
Paper Products (0.0%):
242 Advance Agro PCL (b)................ 109
----------
</TABLE>
Continued
122
<PAGE> 125
One Group Mutual Funds
International Equity Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Thailand, continued:
Printing & Publishing (0.0%):
189 Nation Multimedia Group PCL (b)..... $ 88
282 Nation Multimedia Group PCL, Foreign
Registered Shares (b)............. 164
----------
252
----------
Restaurants (0.0%):
31 Pizza PCL........................... 41
----------
Telecommunications (0.2%):
1,103 TelecomAsia Corp., PCL Foreign
Registered Shares (b)............. 1,223
----------
4,534
----------
TURKEY (1.1%):
Appliances & Household Products (0.1%):
12,963 Arcelik AS.......................... 638
----------
Automotive (0.1%):
6,566 Otosan Otomobil Sanayii AS (b)...... 350
9,841 Tofas Turk Otomobil Fabrikas AS
(b)............................... 171
----------
521
----------
Banking & Finance (0.2%):
84,136 Turkiye Garanti Bankasi AS (b)...... 1,019
----------
Beverages & Tobacco (0.0%):
3,006 Ege Biracilik ve Malt Sanayi AS..... 197
----------
Building Products (0.0%):
10,347 Akcansa Cimento AS.................. 161
1,967 Cimentas AS......................... 84
3,996 Cimsa Cimento Sanayi ve Ticaret
AS................................ 76
10,429 Trakya Cam Sanayii.................. 120
----------
441
----------
Diversified (0.0%):
4,066 Alarko Holding...................... 193
2,345 Ihlas Holding (b)................... 57
----------
250
----------
Electrical & Electronic (0.0%):
1,071 Raks Elektronik Sanayi ve Ticaret AS
(b)............................... 7
----------
Electronics (0.0%):
1,069 Vestel Elektronik Sanayi (b)........ 324
----------
Financial Services (0.6%):
55 Turkiye Is Bankasi AS, Class B...... 133
143,527 Turkiye Is Bankasi AS, Class C...... 3,069
154,708 Yapi ve Kredi Bankasi AS (b)........ 1,723
----------
4,925
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Turkey, continued:
Food Products & Services (0.0%):
2,158 Tat Konserve Sanayii AS............. $ 32
----------
Forest Products (0.0%):
569 Kartonsan Karton Sanayi ve
Ticaret AS........................ 34
----------
Industrial Goods & Services (0.0%):
2,275 Kordsa Kord Bezi Sanayi ve
Ticaret AS........................ 70
----------
Manufacturing -- Capital Goods (0.0%):
2,833 Turk Demir Dokum Fabrikalari
AS (b)............................ 35
----------
Metals & Mining (0.0%):
10,971 Eregli Demir ve Celik Fabrikalari
TAS (b)........................... 443
----------
Oil & Gas Exploration, Production & Services (0.0%):
5,053 Aygaz AS............................ 202
----------
Pharmaceuticals (0.0%):
7,048 Eczacibasi Ilac Sanayi Ve Ti (b).... 142
----------
Telecommunications (0.0%):
124 Cukurova Elektrik AS (b)............ 97
1,525 Netas-Northern Elektrik
Telekomunikasyon AS............... 170
----------
267
----------
Textile Products (0.0%):
2,995 Aksa Akrilik Kimya Sanayii AS....... 109
----------
Tire & Rubber (0.0%):
931 Brisa Bridgestone Sabanci Lastik
SAN, ve Tic AS.................... 58
2,157 Goodyear Lastikleri TAS (b)......... 69
----------
127
----------
Wholesale Distribution (0.1%):
2,711 Migros Turk TAS..................... 503
----------
10,286
----------
UNITED KINGDOM (7.9%):
Advertising (0.0%):
30 WPP Group PLC (b)................... 436
----------
Aerospace & Military Technology (0.1%):
124 BAE Systems PLC..................... 773
1 Rolls-Royce PLC..................... 3
33 Smiths Industries PLC............... 427
----------
1,203
----------
</TABLE>
Continued
123
<PAGE> 126
One Group Mutual Funds
International Equity Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
United Kingdom, continued:
Airlines (0.0%):
10 BAA PLC............................. $ 76
57 British Airways PLC................. 325
----------
401
----------
Appliances & Household Products (0.0%):
32 EMI Group PLC....................... 296
----------
Banking (0.8%):
55 Abbey National PLC.................. 650
53 Barclays PLC........................ 1,321
289 HSBC Holdings PLC (b)............... 3,306
34 Royal Bank of Scotland Group PLC.... 569
11 Schroders PLC....................... 190
----------
6,036
----------
Beverages & Tobacco (0.2%):
53 British American Tobacco PLC........ 357
135 Diageo PLC.......................... 1,212
----------
1,569
----------
Brewery (0.0%):
36 Bass PLC............................ 399
----------
Broadcasting/Cable (0.1%):
64 British Sky Broadcasting Group PLC
(b)............................... 1,255
----------
Building Products (0.0%):
68 Williams Holdings (b)............... 392
----------
Business Service (0.0%):
60 Hays................................ 332
----------
Chemicals (0.0%):
33 Imperial Chemical Industries PLC.... 261
----------
Commercial Services (0.0%):
15 Logica PLC.......................... 359
----------
Computer Software (0.0%):
10 Misys PLC........................... 85
40 The Sage Group PLC.................. 323
----------
408
----------
Conglomerates (0.1%):
55 Allied Zurich PLC................... 653
----------
Construction (0.0%):
22 Taylor Woodrow PLC.................. 50
----------
Diversified (0.1%):
132 Invensys PLC........................ 497
83 Rentokil Initial PLC................ 188
----------
685
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
United Kingdom, continued:
Electric Utility (0.1%):
79 National Grid Group PLC (b)......... $ 622
56 Scottish Power PLC.................. 471
----------
1,093
----------
Electrical & Electronic (0.2%):
59 Dixons Group PLC.................... 237
29 Electrocomponents PLC............... 296
100 Marconin PLC........................ 1,300
----------
1,833
----------
Electronic Components/Instruments (0.0%):
30 Arm Holdings PLC (b)................ 320
----------
Energy (0.9%):
690 Amoco PLC........................... 6,627
144 Centrica PLC (b).................... 477
----------
7,104
----------
Engineering (0.0%):
14 Barratt Developments PLC............ 55
----------
Financial Services (0.3%):
79 Halifax PLC......................... 750
188 Lloyds TSB Group PLC................ 1,777
----------
2,527
----------
Food & Household Products (0.1%):
85 Cadbury Schweppes PLC............... 556
100 Unilever PLC........................ 601
----------
1,157
----------
Food Products & Services (0.1%):
6 Compass Group PLC................... 77
91 J Sainsbury PLC..................... 413
----------
490
----------
Forest Products (0.0%):
31 Arjo Wiggins Appleton PLC (b)....... 127
----------
Health & Personal Care (0.9%):
127 Glaxo Wellcome PLC (b).............. 3,687
80 Zeneca PLC.......................... 3,726
----------
7,413
----------
Industrial Holding Company (0.0%):
47 Hanson PLC.......................... 338
----------
Insurance (0.3%):
49 Commercial Union PLC................ 815
189 Legal & General Group PLC (b)....... 449
73 Prudential Corp., PLC............... 1,068
----------
2,332
----------
</TABLE>
Continued
124
<PAGE> 127
One Group Mutual Funds
International Equity Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
United Kingdom, continued:
Investment Company (0.0%):
20 3I Group PLC........................ $ 411
----------
Leisure (0.1%):
96 Granada Group PLC................... 945
30 Ladbroke Group PLC.................. 104
31 Rank Group PLC...................... 70
----------
1,119
----------
Machinery & Equipment (0.1%):
43 GKN PLC (b)......................... 552
----------
Medical Supplies (0.0%):
25 Nycomed Amersham PLC................ 249
----------
Metals (0.0%):
89 Corus Group PLC..................... 129
----------
Metals & Mining (0.1%):
43 RTZ Corp., PLC, Registered Shares... 696
----------
Oil & Gas Exploration, Production & Services (0.1%):
135 BG Group PLC........................ 868
61 LASMO PLC........................... 129
52 Pilkington PLC...................... 74
----------
1,071
----------
Paper Products (0.0%):
32 Rexam PLC........................... 125
----------
Pharmaceuticals (0.4%):
194 SmithKline Beecham PLC.............. 2,549
----------
Printing & Publishing (0.2%):
20 Pearson PLC (b)..................... 616
41 Reed International PLC.............. 358
62 Reuters Group PLC................... 1,056
----------
2,030
----------
Real Estate (0.1%):
19 British Land Co., PLC............... 123
25 Canary Wharf Group PLC (b).......... 139
21 Land Securities PLC................. 250
----------
512
----------
Real Estate Investment Trust (0.0%):
23 Peninsular & Oriental Steam
Navigation Co. ................... 195
----------
Retail -- General Merchandise (0.0%):
45 Kingfisher PLC...................... 411
----------
Retail -- Stores/Catalog (0.2%):
44 Boots Co., PLC...................... 333
41 Great Universal Stores PLC.......... 256
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
United Kingdom, continued:
Retail -- Stores/Catalog, continued:
99 Marks & Spencer PLC................. $ 348
282 Tesco PLC (b)....................... 877
----------
1,814
----------
Telecommunications (2.1%):
232 British Telecommunications PLC
(b)............................... 2,994
61 Cable & Wireless PLC (b)............ 1,040
44 National Power PLC.................. 277
3,493 Vodaphone Group PLC................. 14,173
----------
18,484
----------
Telecommunications -- Services and Equipment (0.2%):
40 Energis PLC (b)..................... 1,492
----------
Transportation -- Road & Railroad (0.0%):
21 Railtrack Group PLC................. 322
----------
71,685
----------
Total Common Stocks 875,809
----------
CORPORATE BONDS (0.0%):
SPAIN (0.0%):
Banking (0.0%):
$ 65 Banco Santander, 2.00%, 10/1/03..... 55
----------
UNITED KINGDOM (0.0%):
Aerospace & Military Technology (0.0%):
14 BAE Systems PLC, 7.45%,
11/29/03 (c)...................... 0
----------
Oil & Gas Transmission (0.0%):
19 BG Transco Holdings, 7.06%,
12/14/09*......................... 29
19 BG Transco Holdings, 4.19%,
12/14/22*......................... 28
19 BG Transco Holdings, 7.00%,
12/16/24.......................... 28
----------
85
----------
Total Corporate Bonds 140
----------
OPALS (1.1%):
KOREA (0.5%):
40 Morgan Stanley Composite Index...... 4,840
----------
TAIWAN (0.6%):
36 Morgan Stanley Composite Index...... 5,166
----------
Total OPALS 10,006
----------
</TABLE>
Continued
125
<PAGE> 128
One Group Mutual Funds
International Equity Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
PREFERRED STOCKS (1.0%):
AUSTRALIA (0.2%):
Broadcasting & Publishing (0.2%):
145 News Corp., Ltd. ................... $ 1,750
----------
Brazil (0.7%):
Banking (0.1%):
55,695 Banco Bradesco SA................... 485
8,230 Banco Itau SA....................... 718
----------
1,203
----------
Beverages & Tobacco (0.0%):
207 Companhia Cervejaria Brahma......... 175
----------
Electric Utility (0.1%):
20,012 Centrais Electricas Brasilieras
SA................................ 442
3,761 Companhia Energetica de Minas
Gerais............................ 65
----------
507
----------
Oil & Gas Exploration, Production & Services (0.2%):
59 Petroleo Brasileiro SA.............. 1,792
----------
Paper Products (0.0%):
100 Aracruz Celulose SA................. 194
5,000 Votorantim Celulose e Papel SA...... 184
----------
378
----------
Steel (0.1%):
29 Companhia Vale do Rio Doce,
Series A.......................... 807
----------
Telecommunications (0.2%):
10,020 Embratel Participacoes SA........... 237
9,577 Tele Centro Sul Participacoes....... 139
13,241 Tele Norte Leste Participacoes
(b)............................... 310
25,073 Telesp Celular Participacoes........ 452
11,773 Telesp Participacoes SA............. 220
3,900 Telesudeste Celular (b)............. 22
----------
1,380
----------
6,242
----------
GERMANY (0.1%):
Automotive (0.1%):
16 Volkswagen AG....................... 381
----------
Building Products (0.0%):
5 Dyckerhoff AG....................... 119
----------
Gas & Electric Utility (0.0%):
11 RWE AG.............................. 293
----------
Machinery & Equipment (0.0%):
5 Rheinmetall AG...................... 42
----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
PREFERRED STOCKS, CONTINUED:
Germany, continued:
Textile Products (0.0%):
1 Escada AG........................... $ 59
----------
894
----------
ITALY (0.0%):
Automotive (0.0%):
24 Fiat SpA............................ 387
----------
Total Preferred Stocks 9,273
----------
RIGHTS (0.0%):
BRAZIL (0.0%):
Steel (0.0%):
11 Companhia Vale do Rio Doce (b)(c)... 0
----------
NORWAY (0.0%):
Engineering (0.0%):
12 Kvaerner ASA, Class A (b)........... 5
6 Kvaerner ASA, Class B (b)........... 2
----------
7
----------
7
----------
PHILIPPINES (0.0%):
Banking & Finance (0.0%):
9 Metropolitan Bank & Trust Co. (b)... 9
----------
PORTUGAL (0.0%):
Industrial Holding Company (0.0%):
22 Sonae, S.G.P.S., SA (b)............. 20
----------
THAILAND (0.0%):
Telecommunications (0.0%):
348 TelecomAsia Corp., PCL (b)(c)....... 0
----------
Total Rights 36
----------
U.S. TREASURY OBLIGATIONS (0.2%):
U.S. Treasury Notes (0.2%):
$ 70 6.25%, 8/31/00 (d).................. 70
1,700 5.63%, 11/30/00 (d)................. 1,696
----------
Total U.S. Treasury Obligations 1,766
----------
WARRANTS (0.0%):
MEXICO (0.0%):
Building Products (0.0%):
1 Cemex SA de SV, ADR (b) (c)......... 0
----------
Total Warrants 0
----------
INVESTMENT COMPANIES (0.1%):
UNITED STATES (0.1%):
813 One Group Prime Money Market Fund,
Class I........................... 813
----------
Total Investment Companies 813
----------
</TABLE>
Continued
126
<PAGE> 129
One Group Mutual Funds
International Equity Index Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------ ----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING (16.7%):
Repurchase Agreements (16.7%):
$149,696 Lehman Brothers, 7.38%, 7/3/00,
(Collateralized by various equity
securities, market value
$158,668)......................... $ 149,696
1,018 Lehman Brothers, 7.18%, 7/3/00,
(Collateralized by $1,069 Galaxy
Funding Commercial Paper, 0.00%,
10/10/00, market value $1,049).... 1,018
----------
Total Short-Term Securities Held as Collateral
for Securities Lending 150,714
----------
Total (Cost $764,235) (a) $1,048,557
==========
</TABLE>
------------
Percentages indicated are based on net assets of $904,073.
(a) Represents cost for financial reporting purposes and differs from cost basis
for federal income tax purposes by the amount of losses recognized for
financial reporting purposes in excess of federal income tax reporting of
approximately $14,121. Cost for federal income tax purposes differs from
value by net unrealized appreciation (depreciation) of securities as follows
(amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $327,090
Unrealized depreciation...................... (56,889)
--------
Net unrealized appreciation (depreciation)... $270,201
========
</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 prime rates or an index of market rates. The rate
reflected on the Schedule of Portfolio Investments is the rate in effect at
June 30, 2000.
<TABLE>
<S> <C> <C>
ADR American Depository Receipt
GDR Global Depository Receipt
</TABLE>
See notes to financial statements.
127
<PAGE> 130
One Group Mutual Funds
Diversified International Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS (91.5%):
ARGENTINA (1.0%):
Banking & Finance (0.1%):
230 Banco De Galicia Bue, Class B........ $ 859
58 Banco Frances Rio SA................. 428
--------
1,287
--------
Computer Software (0.1%):
55 IMPSAT Fiber Networks, Inc. ......... 921
--------
Construction (0.1%):
291 Astra Cia Argentin (b)............... 750
--------
Internet Content (0.0%):
40 El Sitio, Inc. ...................... 285
--------
Metals & Mining (0.1%):
38 Siderar SA, Class A.................. 106
489 Siderca SA........................... 1,114
--------
1,220
--------
Oil & Gas (0.2%):
835 PC Holdings SA, Series B............. 1,529
--------
Telecommunications (0.4%):
966 Telefonica de Argentina SA, Class
B.................................. 3,111
--------
9,103
--------
AUSTRALIA (1.2%):
Banking (0.4%):
89 National Australia Bank Ltd. ........ 1,494
133 Westpac Banking Corp., Ltd. ......... 966
--------
2,460
--------
Building Products (0.0%):
80 CSR Ltd. ............................ 223
--------
Chemicals (0.0%):
86 Orica Ltd. .......................... 392
--------
Containers & Packaging (0.0%):
51 Amcor Ltd. .......................... 178
17 Paperlinx Ltd. (b)................... 32
--------
210
--------
Electric Integrated (0.0%):
175 Contact Energy Ltd. ................. 235
--------
Metals & Mining (0.6%):
319 Broken Hill Proprietary Co., Ltd. ... 3,783
82 Santos Ltd. ......................... 252
182 WMC Ltd. ............................ 815
--------
4,850
--------
Metals (Non-ferrous) (0.1%):
36 Rio Tinto Ltd. ...................... 595
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Australia, continued:
Oil & Gas Exploration, Production & Services (0.0%):
100 Oil Search Ltd. (b).................. $ 110
--------
Retail -- Stores/Catalog (0.0%):
47 Coles Myer Ltd. ..................... 181
46 Woolworth Ltd. ...................... 171
--------
352
--------
Services (0.0%):
14 Brambles Industries Ltd. ............ 417
--------
Telecommunications -- Services and Equipment (0.1%):
170 Cable & Wireless Optus Ltd. (b)...... 508
--------
10,352
--------
BELGIUM (1.3%):
Banking (0.1%):
17 Kredietbank NV....................... 738
--------
Chemicals (0.2%):
29 Solvay SA............................ 1,936
--------
Construction (0.0%):
2 Glaverbel Mecansa.................... 112
--------
Electric Utility (0.1%):
3 Suez Lyonnaise Des Eaux.............. 592
3 Suez Lyonnaise Des Eaux Strip
(b)(c)............................. 0
--------
592
--------
Industrial Holding Company (0.1%):
3 Groupe Bruxelles Lambert SA.......... 818
--------
Insurance (0.2%):
51 Fortis (NL) NV....................... 1,503
--------
Merchandising (0.1%):
9 Bekaert SA........................... 482
2 Delhaize-Le Lion SA.................. 108
--------
590
--------
Metals & Mining (0.0%):
8 Union Miniere Group.................. 281
--------
Oil & Gas (0.4%):
26 Total Fina SA, Class B............... 4,013
26 Total Fina SA, Strip (b)(c).......... 0
--------
4,013
--------
Telecommunications -- Services and Equipment (0.1%):
4 Electrabel SA........................ 1,009
--------
11,592
--------
BERMUDA (0.0%):
Telecommunications (0.0%):
15 Flag Telecom Holdings Ltd. (b)....... 223
--------
</TABLE>
Continued
128
<PAGE> 131
One Group Mutual Funds
Diversified International Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
BRAZIL (1.5%):
Electric Utility (0.2%):
77 Centrais Eletricas Brasileiras ADR... $ 849
8 Centrais Geradoras do Sul do Brasil
ADR................................ 48
30 Companhia Energetica de Minas Gerais
ADR................................ 525
--------
1,422
--------
Financial Services (0.2%):
62 Unibanco Holdings GDR (b)............ 1,783
--------
Food Products & Services (0.1%):
20 Pao De Acucar GDR (b)................ 643
--------
Industrial Holding Company (0.0%):
20 Aracruz Celulose ADR (b)............. 377
--------
Metals & Mining (0.1%):
21 Compania Vale do Rio Doce ADR........ 593
--------
Oil & Gas Exploration, Production & Services (0.2%):
56 Petroleo Brasileiro ADR (b).......... 1,692
--------
Paper Products (0.1%):
8 Klabin Fabricadora ADR (b)........... 67
50 Votorantim Celulose e Papel SA ADR
(b)................................ 918
--------
985
--------
Steel (0.0%):
6 Sider Nacional ADR (b)............... 185
--------
Telecommunications -- Services and Equipment (0.6%):
28 Globo Cabo SA ADR.................... 389
5 Tele Norte Leste Participacoes SA ADR
(b)................................ 124
9 Tele Sudeste Celular Participatoes
(b)................................ 275
45 Telecomunicacoes Brasileiras SA ADR
(b)................................ 4,370
45 Telecomunicacoes De Sao Paulo (b).... 832
--------
5,990
--------
13,670
--------
CHILE (0.2%):
Airlines (0.0%):
10 Lan Chile Sponsored ADR (b).......... 73
--------
Electric Utility (0.1%):
27 Enersis SA ADR (b)................... 542
10 Gener SA ADR......................... 147
--------
689
--------
Financial Services (0.0%):
14 Banco Santander ADR (b).............. 224
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Chile, continued:
Telecommunications (0.1%):
50 Telecomunicaciones de Chile SA ADR... $ 906
--------
1,892
--------
CHINA (0.7%):
Oil & Gas (0.4%):
150 Petrochina Co., Ltd. ADR (b)......... 3,141
--------
Telecommunications (0.3%):
376 China Unicom Ltd. (b)................ 798
103 China Unicom Ltd. ADR (b)............ 2,178
--------
2,976
--------
6,117
--------
DENMARK (1.3%):
Banking & Finance (0.3%):
14 Danske Bank.......................... 1,661
86 Nordic Baltic Holding AB (b)......... 627
--------
2,288
--------
Beverages & Tobacco (0.0%):
3 Carlsberg A/S, Class B............... 88
--------
Commercial Services (0.1%):
8 ISS International A/S................ 615
--------
Food Products & Services (0.0%):
6 Danisco A/S.......................... 196
--------
Pharmaceuticals (0.4%):
20 Novo Nordisk A/S, Class B............ 3,406
--------
Security Services (0.1%):
3 Group 4 Falck A/S.................... 483
--------
Transportation & Shipping (0.4%):
0 D/S 1912, Class B (c)................ 1,387
0 D/S Svendborg A/S, Class B (c)....... 2,969
--------
4,356
--------
11,432
--------
FINLAND (9.2%):
Computer Software (0.3%):
260 Aldata Solution Oyj (b).............. 1,769
13 Satama Interactive (b)............... 50
82 Stonesoft Oyj (b).................... 1,305
--------
3,124
--------
Construction (0.0%):
14 Metra AB, Class B.................... 244
4 Sanitec Oyj.......................... 42
--------
286
--------
</TABLE>
Continued
129
<PAGE> 132
One Group Mutual Funds
Diversified International Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<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.................. $ 304
--------
Forest Products (0.4%):
9 Metso Oyj............................ 114
149 UPM-Kymmene Corp. ................... 3,701
--------
3,815
--------
Insurance (0.1%):
16 Pohjola Insurance Group, Class B..... 564
18 Sampo Insurance Co. ................. 750
--------
1,314
--------
Machinery & Equipment (0.3%):
330 Jot Automation Group Oyj............. 2,211
15 Kone Corp., Class B.................. 899
--------
3,110
--------
Metals (0.1%):
60 Outokumpo Oy, Class A................ 573
--------
Retail (0.1%):
62 Kesko Oy............................. 633
15 Stockmann Oyj, Class A............... 237
3 Stockmann Oyj, Class B............... 38
--------
908
--------
Telecommunications (0.8%):
130 Sonera Group Oyj..................... 5,950
--------
Telecommunications -- Services and Equipment (7.1%):
15 Comptel PLC (b)...................... 303
27 Helsingin Puhelin Oyj, Class E....... 2,655
5 Hpy Holding Oyj, Class A............. 230
1,151 Nokia Oyj AB......................... 58,964
100 Tecnomen Oyj (b)..................... 863
--------
63,015
--------
82,399
--------
FRANCE (6.7%):
Automotive (0.1%):
6 PSA Peugeot.......................... 1,153
4 Valeo SA............................. 189
--------
1,342
--------
Banking (0.6%):
32 Banque Nationale de Paris............ 3,058
36 Soc Generale......................... 2,192
--------
5,250
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
France, continued:
Banking & Finance (0.0%):
2 Dexia................................ $ 242
2 Dexia Strips (b)(c).................. 0
--------
242
--------
Beverages & Tobacco (0.3%):
6 LVMH (Moet Hennessy Louis Vuitton)... 2,411
4 Pernod-Ricard........................ 211
--------
2,622
--------
Broadcasting/Cable (0.3%):
13 Canal Plus........................... 2,250
--------
Building Products (0.1%):
1 Imetal SA............................ 128
7 Lafarge SA........................... 520
--------
648
--------
Chemicals (0.3%):
8 L'Air Liquide, Registered Shares
(b)................................ 989
23 Rhone-Poulenc SA..................... 1,680
--------
2,669
--------
Defense (0.0%):
7 Thomson CSF.......................... 275
--------
Diversified (0.3%):
34 Vivendi SA........................... 3,015
--------
Electrical & Electronic (0.7%):
74 Alcatel Alsthom...................... 4,843
2 Legrand SA........................... 439
9 Schneider SA......................... 617
--------
5,899
--------
Energy (0.7%):
43 Total SA, Class B.................... 6,559
--------
Food & Household Products (0.0%):
2 Eridania Beghin-Say SA............... 158
--------
Food Products & Services (0.2%):
16 Groupe Danone........................ 2,109
--------
Health & Personal Care (0.5%):
4 L'Oreal SA........................... 3,328
28 Sanofi Synthelabo SA................. 1,329
--------
4,657
--------
Industrial Goods & Services (0.1%):
18 Michelin, Class B, Registered
Shares............................. 583
--------
Industrial Holding Company (0.2%):
10 Lyonnaise des Eaux SA................ 1,742
--------
</TABLE>
Continued
130
<PAGE> 133
One Group Mutual Funds
Diversified International Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
France, continued:
Insurance (0.5%):
26 AXA SA............................... $ 4,035
--------
Internet Content (0.2%):
9 Cap Gemini Sogeti SA................. 1,516
--------
Leisure (0.1%):
31 Accor SA............................. 1,274
--------
Merchandising (0.5%):
45 Carrefour SA......................... 3,057
6 Pinault-Printemps Reduote SA......... 1,394
--------
4,451
--------
Metals (Non-ferrous) (0.0%):
27 Usinor............................... 330
--------
Office Equipment & Services (0.0%):
4 BIC.................................. 207
--------
Oil & Gas (0.1%):
7 Compagnie de Saint Gobain............ 921
--------
Telecommunications -- Services and Equipment (0.9%):
53 France Telecom SA.................... 7,504
--------
60,258
--------
GERMANY (5.3%):
Airlines (0.1%):
34 Lufthansa AG......................... 800
--------
Automotive (0.3%):
34 DaimlerChrysler AG................... 1,799
30 Volkswagen AG, NPV................... 1,138
--------
2,937
--------
Banking (0.9%):
50 Bayer AG............................. 1,947
19 Bayerische Vereinsbank AG............ 1,256
38 Deutsche Bank AG, Registered
Shares............................. 3,174
30 Dresdner Bank AG..................... 1,256
--------
7,633
--------
Chemicals (0.2%):
37 BASF AG.............................. 1,488
--------
Commercial Services (0.1%):
10 Infineon Technologies AG (b)......... 793
--------
Computer Software (0.3%):
1 Biodata Information Tech (b)......... 163
15 SAP AG............................... 2,183
--------
2,346
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Germany, continued:
Conglomerates (0.4%):
28 Metro AG............................. $ 977
53 VEBA AG.............................. 2,633
--------
3,610
--------
Construction (0.0%):
11 Hochtief AG.......................... 347
--------
Cosmetics/Personal Care (0.1%):
6 Beiersdorf AG, Series ABC............ 523
--------
Diversified (0.2%):
29 Man AG-Vorzugsaktien................. 609
26 Preussag AG.......................... 840
--------
1,449
--------
Gas & Electric Utility (0.1%):
18 RWE AG............................... 623
--------
Health Care (0.1%):
17 Schering AG.......................... 941
--------
Industrial Goods & Services (0.6%):
36 Siemens AG........................... 5,434
--------
Insurance (1.1%):
15 Allianz AG........................... 5,623
13 Muenchener Rueckversicherungs
Gesellschaft AG, Registered
Shares............................. 4,265
--------
9,888
--------
Internet Content (0.0%):
10 T-Online International AG (b)........ 325
--------
Machinery & Equipment (0.0%):
6 Linde AG............................. 222
--------
Metals & Mining (0.0%):
25 Thyssen Krupp AG..................... 397
--------
Telecommunications (0.8%):
133 Deutsche Telekom AG Ord Npv.......... 7,571
--------
47,327
--------
HONG KONG (2.2%):
Banking (0.1%):
101 Hang Seng Bank Ltd. ................. 957
--------
Business Service (0.0%):
104 Wharf (Holdings)..................... 186
--------
Computer Software (0.1%):
715 Sunevision Holdings Ltd. (b)......... 573
--------
Conglomerates (0.1%):
91 Swire Pacific Ltd., Class A.......... 529
--------
</TABLE>
Continued
131
<PAGE> 134
One Group Mutual Funds
Diversified International Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Hong Kong, continued:
Electric Utility (0.1%):
2,500 Beijing Datang Power Generation
Ltd. .............................. $ 561
22 Hong Kong Electric Holdings Ltd. .... 70
--------
631
--------
Financial Services (0.0%):
0 New World China Land Ltd. (b)(c)..... 0
--------
Gas Utility (0.0%):
345 Hong Kong & China Gas Co., Ltd. ..... 387
--------
Industrial Holding Company (0.5%):
342 Hutchison Whampoa Ltd. .............. 4,301
--------
Investment Company (0.6%):
97 CLP Holdings Ltd. ................... 450
2,150 Tracker Fund of Hong Kong............ 4,496
--------
4,946
--------
Real Estate (0.1%):
62 Hysan Development Co., Ltd. ......... 65
86 New World Development Co., Ltd. ..... 96
131 Sun Hung Kai Properties Ltd. ........ 939
--------
1,100
--------
Telecommunications (0.6%):
500 China Mobile Ltd. (b)................ 4,411
612 Hong Kong Telecommunications Ltd. ... 1,347
--------
5,758
--------
Telecommunications -- Services and Equipment (0.0%):
0 I-Cable Communications Ltd. (b)(c)... 0
--------
19,368
--------
INDIA (0.3%):
Automotive (0.1%):
125 Mahindra & Mahindra Ltd. GDR......... 586
--------
Chemicals (0.1%):
25 Reliance Industries Ltd. GDR (b)..... 525
--------
Computer Software (0.1%):
4 Infosys Technologies Ltd. (b)........ 709
--------
Manufacturing -- Capital Goods (0.0%):
25 Larsen & Toubro Ltd., Registered
Shares............................. 278
--------
Telecommunications (0.0%):
25 Mahanagar Telephone Nigam Ltd. ...... 255
40 Videsh Sanchar Nigam Ltd. GDR........ 624
--------
879
--------
2,977
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
IRELAND (2.0%):
Banking (0.6%):
281 Allied Irish Banks PLC............... $ 2,525
383 Bank of Ireland...................... 2,424
--------
4,949
--------
Computer Software (0.0%):
25 Magic Software Enterprises Ltd.
(b)................................ 268
1 Riverdeep Group PLC ADR (b).......... 19
--------
287
--------
Construction (0.7%):
335 CRH PLC.............................. 6,062
--------
Food Products & Services (0.2%):
163 Kerry Group, Class A................. 2,133
--------
Industrial Goods & Services (0.2%):
1,121 Smufit (Jefferson) Group............. 1,934
--------
Media (0.2%):
279 Independent News and Media PLC....... 1,017
279 Independent Newspapers PLC........... 1,016
--------
2,033
--------
Telecommunications (0.1%):
315 Eircom PLC (b)....................... 844
--------
18,242
--------
ISRAEL (0.0%):
Telecommunications (0.0%):
35 Partner Communications Co., Ltd. ADR
(b)................................ 333
--------
ITALY (1.8%):
Banking (0.3%):
80 Banca Commerciale Italiana SpA (b)... 449
79 Bancario San Paolo di Torino......... 1,416
79 Beni Stabili SpA..................... 43
222 Credito Italiano SpA................. 1,066
--------
2,974
--------
Broadcasting & Publishing (0.3%):
177 Mediaset SpA......................... 2,715
--------
Insurance (0.3%):
58 Assicurazioni Generali SpA........... 1,996
200 Istituto Nazionale delle
Assicurazioni SpA.................. 495
--------
2,491
--------
Oil & Gas (0.1%):
166 Ente Nazionale Idrocarburi (ENI)
SpA................................ 963
--------
</TABLE>
Continued
132
<PAGE> 135
One Group Mutual Funds
Diversified International Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Italy, continued:
Telecommunications (0.8%):
300 Telecom Italia Mobile SpA di Risp
(Non-convertible).................. $ 3,077
270 Telecom Italia SpA................... 3,726
--------
6,803
--------
15,946
--------
JAPAN (17.4%):
Appliances & Household Products (1.8%):
77 Matsushita Electric Industrial Co.,
Ltd. .............................. 2,001
154 Sanyo Electric Co., Ltd. ............ 1,389
113 Sharp Corp. ......................... 2,002
103 Sony Corp. .......................... 9,637
--------
15,029
--------
Automotive (1.0%):
192 Toyota Motor Corp. .................. 8,765
--------
Banking (0.8%):
217 Asahi Bank Ltd. ..................... 915
156 Bank of Tokyo -- Mitsubishi Ltd. .... 1,888
65 Dai-Ichi Kangyo Bank Ltd. ........... 495
144 Fuji Bank Ltd. ...................... 1,097
76 Industrial Bank of Japan Ltd. ....... 578
218 Sakura Bank Ltd. .................... 1,510
100 Sanwa Bank Ltd. ..................... 800
--------
7,283
--------
Basic Industry (0.0%):
40 Sekisui Chemical Co., Ltd. .......... 154
--------
Building Products (0.1%):
35 Obayashi Corp. ...................... 155
39 Tostem Corp. ........................ 638
--------
793
--------
Chemicals (1.2%):
140 Asahi Chemical Industry Co., Ltd. ... 992
82 Dainippon Ink & Chemicals, Inc. ..... 387
32 Shin-Etsu Chemical Co. .............. 1,627
100 Takeda Chemical Industries Ltd. ..... 6,579
40 Tokyo Ohka Kogyo Co., Ltd. .......... 941
77 Toray Industries, Inc. .............. 313
--------
10,839
--------
Commercial Services (0.2%):
18 Benesse Corp. ....................... 1,251
11 Sankyo Co., Ltd. .................... 461
--------
1,712
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Japan, continued:
Computer Software (0.0%):
0 Konami Computer Entertainment Co.,
Ltd. (c)........................... $ 323
--------
Construction (0.1%):
40 Daiwa House Industry Co., Ltd. ...... 293
107 Sekisui House Ltd. .................. 992
--------
1,285
--------
Consumer Goods & Services (0.1%):
20 Minebea Co., Ltd. ................... 251
40 Toto Ltd. ........................... 308
--------
559
--------
Data Processing & Reproduction (1.3%):
248 Fujitsu Ltd. ........................ 8,603
75 Ricoh................................ 1,591
27 Toyo Information..................... 1,503
2 Trans Cosmos, Inc. .................. 301
--------
11,998
--------
Distribution (0.2%):
317 Itochu Corp. ........................ 1,603
--------
Electrical & Electronic (2.1%):
70 Furukawa Electric Co., Ltd. ......... 1,465
10 Hirose Electric Co., Ltd. ........... 1,560
30 Kyocera Corp. ....................... 5,101
245 Mitsubishi Electric Corp. ........... 2,658
30 Nitto Denko Corp. ................... 1,160
36 Omron Corp. ......................... 980
3 Rohm Co., Ltd. ...................... 879
70 Taiyo Yuden Co., Ltd. ............... 4,393
--------
18,196
--------
Electrical Equipment (0.1%):
20 Pioneer Electronic Corp. ............ 781
--------
Electronic Components/Instruments (1.4%):
18 Advantest Corp. ..................... 4,023
15 Fanuc Co., Ltd. ..................... 1,530
153 Hitachi Ltd. ........................ 2,213
20 Murata Manufacturing Co., Ltd. ...... 2,877
160 Toshiba Corp. ....................... 1,810
--------
12,453
--------
Fertilizers (0.1%):
12 Nippon System Development Co.,
Ltd. .............................. 1,167
--------
</TABLE>
Continued
133
<PAGE> 136
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Diversified International Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Japan, continued:
Financial Services (0.7%):
8 Acom Co., Ltd. ...................... $ 674
124 Daiwa Securities Co., Ltd. .......... 1,641
50 Mitsubishi Trust & Banking Corp. .... 389
127 Nomura Securities Co., Ltd. ......... 3,115
10 Promise Co., Ltd. ................... 792
--------
6,611
--------
Food & Household Products (0.1%):
74 Ajinomoto Co., Inc. ................. 951
--------
Gas & Electric Utility (0.3%):
102 Tokyo Electric Power Co., Ltd. ...... 2,499
--------
Health & Personal Care (0.2%):
2 Fancl Corp. ......................... 181
68 Sankyo Co., Ltd. .................... 1,539
--------
1,720
--------
Industrial Goods & Services (0.2%):
78 Bridgestone Corp. ................... 1,655
--------
Internet Content (0.0%):
10 Crayfish Co., Ltd. ADR............... 70
--------
Investment Company (0.3%):
17 Softbank Corp. ...................... 2,287
--------
Leisure (0.0%):
15 Shimano, Inc. ....................... 362
--------
Machinery & Equipment (0.8%):
70 Komatsu Ltd. ........................ 494
136 Kubota Corp. ........................ 495
277 Mitsubishi Heavy Industries Ltd. .... 1,231
3 SMC Corp. ........................... 566
83 Sumitomo Heavy Industries Ltd. ...... 278
31 Tokyo Electron Ltd. ................. 4,254
--------
7,318
--------
Manufacturing -- Consumer Goods (0.4%):
69 Canon, Inc. ......................... 3,444
10 Fuji Photo Film Co., Ltd. ........... 410
--------
3,854
--------
Merchandising (0.8%):
38 ITO-Yokado Co., Ltd. ................ 2,291
56 Seven-Eleven Japan Ltd. ............. 4,695
--------
6,986
--------
Metals (0.1%):
70 NSK Ltd. ............................ 615
--------
Office Equipment & Services (0.1%):
74 Dai Nippon Printing Co., Ltd......... 1,307
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Japan, continued:
Packaging (0.0%):
15 Toyo Seikan Kaisha Ltd............... $ 281
--------
Pharmaceuticals (0.2%):
87 Dai-Ichi Pharmaceuticals............. 2,212
--------
Printing & Publishing (0.0%):
8 Shobunsha Publications, Inc.......... 281
--------
Real Estate (0.1%):
103 Mitsubishi Estate Co., Ltd........... 1,215
--------
Retail (0.0%):
78 Mycal Corp........................... 268
--------
Steel (0.0%):
262 Sumitomo Metal Industries Ltd. (b)... 181
--------
Telecommunication -- Services & Equipment (0.1%):
50 Kokusai Electric Co., Ltd............ 689
--------
Telecommunications (1.1%):
1 Nippon Telegraph & Telephone Corp.... 9,915
--------
Telecommunications -- Services and Equipment (0.9%):
3 Hikari Tsushin, Inc.................. 140
0 NTT Data Corp. (c)................... 2,473
0 NTT Mobile Communication (c)......... 5,018
--------
7,631
--------
Transportation & Shipping (0.1%):
0 East Japan Railway Co. (c)........... 541
--------
Transportation -- Road & Railroad (0.1%):
89 Hankyu Corp.......................... 294
148 Tokyu Corp........................... 733
--------
1,027
--------
Wholesale & International Trade (0.3%):
208 Marubeni Corp........................ 718
78 Mitsubishi Corp...................... 707
74 Sumitomo Corp........................ 834
--------
2,259
--------
155,675
--------
MALAYSIA (0.1%):
Closed End Funds (0.1%):
87 Webs-Malaysia Index Series (b)....... 544
--------
MEXICO (3.5%):
Beverages & Tobacco (0.4%):
33 Fomento Economico Mexicano SA de CV
ADR................................ 1,439
873 Grupo Modelo SA, Series C............ 1,955
--------
3,394
--------
</TABLE>
Continued
134
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Diversified International Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Mexico, continued:
Building Products (0.3%):
50 Apasco SA de CV...................... $ 286
434 Cemex SA de CV, Series CPO........... 2,022
--------
2,308
--------
Diversified (0.2%):
160 ALFA SA de CV, Class A............... 366
646 Desc SA de CV, Series B.............. 407
229 Grupo Carso SA de CV, Series A-1
(b)................................ 802
--------
1,575
--------
Financial Services (0.3%):
334 Grupo Financiero Banamex-AC, Series O
(b)................................ 1,425
2,257 Grupo Financiero Bancomer, Series
O.................................. 1,146
109 Grupo Financiero Inbursa SA de CV,
Class B (b)........................ 442
--------
3,013
--------
Food & Household Products (0.2%):
485 Kimberly-Clark de Mexico SA de CV,
Class A............................ 1,371
--------
Food Products & Services (0.1%):
154 Empresas La Moderna SA de CV......... 738
--------
Industrial Goods & Services (0.1%):
609 Grupo Industrial Bimbo SA de CV,
Series A........................... 965
--------
Merchandising (0.3%):
1,135 Cifra SA de CV, Series V (b)......... 2,663
--------
Metals & Mining (0.1%):
203 Grupo Mexico SA, Series B............ 564
104 Industrias Penoles SA, Series CP..... 176
--------
740
--------
Telecommunications (1.5%):
992 Grupo Televisa SA, Series CPO (b).... 3,397
3,881 Telefonos de Mexico SA, Series L..... 11,000
--------
14,397
--------
31,164
--------
NETHERLANDS (3.6%):
Banking (0.3%):
98 ABN AMRO Holding NV.................. 2,416
--------
Beverages & Tobacco (0.1%):
15 Heineken NV.......................... 909
--------
Broadcasting & Publishing (0.1%):
37 Elsevier NV.......................... 454
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Netherlands, continued:
Chemicals (0.1%):
25 Akzo Nobel NV........................ $ 1,065
--------
Commercial Services (0.0%):
15 World Online International NV (b).... 181
--------
Construction (0.0%):
11 Hollandsche Benton................... 132
--------
Electronic Components/Instruments (0.5%):
99 Philips Electronic NV................ 4,681
--------
Energy (0.8%):
127 Royal Dutch Petroleum Co............. 7,949
--------
Financial Services (0.6%):
74 ING Groep NV......................... 5,027
--------
Food Products & Services (0.4%):
78 Ahold NV............................. 2,316
34 Unilever NV.......................... 1,552
--------
3,868
--------
Insurance (0.1%):
16 Aegon NV............................. 572
--------
Office Equipment & Services (0.0%):
17 Oce NV............................... 273
--------
Printing & Publishing (0.1%):
19 Wolters Kluwer CVA................... 519
--------
Services (0.1%):
30 TNT Post Groep NV.................... 811
--------
Telecommunications (0.1%):
40 Completel Europe NV.................. 480
--------
Telecommunications -- Services and Equipment (0.3%):
67 Koninklijke KPN...................... 2,993
--------
32,330
--------
NEW ZEALAND (0.9%):
Beverages & Tobacco (0.0%):
170 Lion Nathan Ltd...................... 380
--------
Broadcasting/Cable (0.1%):
274 Sky Network Television Ltd. (b)...... 528
--------
Building Products (0.0%):
283 Fletcher Challenge Building.......... 301
--------
Oil & Gas (0.1%):
245 Fletcher Challenge Energy............ 802
--------
Telecommunications (0.2%):
605 Telecom Corp. of New Zealand Ltd..... 2,123
--------
</TABLE>
Continued
135
<PAGE> 138
One Group Mutual Funds
Diversified International Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
New Zealand, continued:
Telecommunications -- Services and Equipment (0.5%):
55 Tele Danmark A/S, Series B........... $ 3,701
--------
7,835
--------
NORWAY (1.6%):
Banking (0.1%):
40 Christiania Bank Og Kreditkasse...... 216
155 Den Norske Bank ASA.................. 645
--------
861
--------
Computer Software (0.0%):
40 Merkantildata ASA.................... 206
--------
Forest Products (0.1%):
23 Norske Skogsindustrier, ASA, Class
A.................................. 668
--------
Insurance (0.1%):
160 Storebrand ASA....................... 1,158
--------
Manufacturing -- Consumer Goods (0.3%):
129 Orkla ASA, Series A.................. 2,463
--------
Medical Equipment & Supplies (0.0%):
30 Hafslund, ASA, Class A............... 139
--------
Oil & Gas (0.1%):
47 Petroleum Geo-Services ASA (b)....... 803
--------
Oil & Gas Exploration, Production & Services (0.4%):
70 Norsk Hydro ASA...................... 2,934
30 Smedvig, Class A..................... 544
--------
3,478
--------
Pharmaceuticals (0.2%):
220 Nycomed Amersham PLC, Class B........ 2,138
--------
Transportation & Shipping (0.3%):
21 Bergesen Dy ASA, Class A............. 433
165 Frontline Ltd........................ 2,028
18 Leif Hoegh & Co., ASA................ 170
--------
2,631
--------
14,545
--------
PORTUGAL (0.1%):
Telecommunications -- Services and Equipment (0.1%):
25 Portugal Telecom SA.................. 282
50 Telecel Communicacoes Pessoai........ 762
--------
1,044
--------
1,044
--------
SINGAPORE (3.2%):
Airlines (0.2%):
214 Singapore Airlines Ltd............... 2,117
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Singapore, continued:
Automotive (0.0%):
42 Cycle & Carriage Ltd................. $ 99
--------
Banking (0.2%):
237 United Overseas Bank Ltd............. 1,549
--------
Beverages & Tobacco (0.0%):
87 Fraser & Neave....................... 311
--------
Distribution (0.0%):
160 Inchcape Motors Ltd.................. 117
--------
Electrical & Electronic (0.1%):
75 Elec & Eltek International Co.,
Ltd................................ 188
450 Flextech Holdings Ltd................ 310
--------
498
--------
Electrical Equipment (0.0%):
10 Creative Technology Ltd.............. 241
--------
Electronic Components/Instruments (1.6%):
80 Chartered Semiconductor ADR.......... 7,199
130 Natsteel Electronics Ltd............. 399
35 Silverline Techologies Ltd. ADR
(b)................................ 757
150 St. Assembly Test Services Ltd. ADR
(b)................................ 3,863
175 Venture Manufacturing................ 1,781
--------
13,999
--------
Engineering (0.0%):
200 Sembcorp Industries Ltd.............. 217
--------
Financial Services (0.3%):
78 DBS Group Holdings Ltd............... 996
202 Overseas Chinese Bank................ 1,392
46 Overseas Union Bank Ltd.............. 177
--------
2,565
--------
Food Products & Services (0.1%):
2,400 Del Monte Pacific Ltd................ 625
--------
Machinery & Equipment (0.1%):
281 Keppel Corp.......................... 607
--------
Metals (0.0%):
100 Natsteel Ltd......................... 138
--------
Printing & Publishing (0.1%):
45 Singapore Press Holdings Ltd......... 702
1,575 SPH Asiaone Ltd. (b)................. 465
--------
1,167
--------
Real Estate (0.2%):
221 City Developments Ltd................ 855
598 DBS Land Ltd......................... 774
--------
1,629
--------
</TABLE>
Continued
136
<PAGE> 139
One Group Mutual Funds
Diversified International Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Singapore, continued:
Telecommunications (0.2%):
1,127 Singapore Telecommunications Ltd..... $ 1,649
--------
Telecommunications -- Services and Equipment (0.1%):
125 Datacraft Asia Ltd................... 1,098
300 MMI Holdings Ltd..................... 78
--------
1,176
--------
28,704
--------
SOUTH KOREA (3.5%):
Airlines (0.0%):
20 L.G. Electronic GDR (b).............. 106
--------
Banking (0.2%):
204 Hana Bank............................ 1,272
100 Koram Bank........................... 605
--------
1,877
--------
Computer Hardware (0.1%):
31 Trigem Computer Inc.................. 619
--------
Computer Software (0.1%):
20 Haansoft, Inc........................ 325
35 Insung Information (b)............... 535
--------
860
--------
Distribution (0.0%):
40 Samsung Corp. ....................... 345
--------
Electric Integrated (0.2%):
58 Kepco Korea Electric Power........... 1,791
--------
Electronic Components/Instruments (1.5%):
21 Samsung Display Devices.............. 1,019
38 Samsung Electronics.................. 12,509
--------
13,528
--------
Financial Services (1.2%):
22 Dongwon Securities Co................ 159
60 Good Morning Securities (b).......... 191
30 Hyundai Electronics Co., Ltd......... 592
12 Korean Telecom Corp. (b)............. 1,057
6 Lg Investment & Securities........... 73
26 SK Telecom Co. Ltd................... 8,576
--------
10,648
--------
Steel (0.1%):
3 Pohang Iron & Steel Co., Ltd......... 295
10 Pohang Iron & Steel Co., Ltd. ADR
(b)................................ 240
--------
535
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
South Korea, continued:
Telecommunications (0.1%):
15 Hansol M. Com Co., Ltd............... $ 291
6 Locas Corp. (b)...................... 492
--------
783
--------
Telecommunications -- Services and Equipment (0.0%):
4 LG Information & Communication....... 234
--------
31,326
--------
SPAIN (3.9%):
Automotive (0.0%):
30 Autopistas Cesa...................... 266
30 Autopistas Cesa Coupons SA (b)....... 13
--------
279
--------
Banking (1.3%):
398 Banco Bilbao Vizcaya Argentina SA.... 5,972
523 Banco Santander Central Hispano
Americano SA....................... 5,541
--------
11,513
--------
Construction (0.1%):
31 Fomento de Construcciones y Contratas
SA................................. 594
--------
Gas & Electric Utility (0.5%):
122 Endesa SA............................ 2,365
99 Iberdrola SA......................... 1,276
64 Union Electric Fenosa SA............. 1,167
--------
4,808
--------
Insurance (0.0%):
9 Corporacion Mapfre................... 114
--------
Machinery & Equipment (0.1%):
58 Zardoya Otis SA...................... 517
--------
Media (0.1%):
20 Grupo Prisa SA....................... 466
--------
Oil & Gas Exploration, Production & Services (0.5%):
20 Gas Natural SDG SA................... 366
187 Repsol SA............................ 3,731
--------
4,097
--------
Real Estate (0.0%):
29 Vallehermoso SA...................... 174
--------
Steel (0.0%):
13 Acerinox SA, Registered Shares....... 382
--------
</TABLE>
Continued
137
<PAGE> 140
One Group Mutual Funds
Diversified International Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Spain, continued:
Telecommunications (1.3%):
540 Telefonica de Espana (b)............. $ 11,641
10 Terra Networks SA (b)................ 388
--------
12,029
--------
34,973
--------
SWEDEN (3.8%):
Automotive (0.1%):
33 Volvo AB, Series B................... 721
--------
Banking & Finance (0.5%):
404 Nordic Baltic Holding AB............. 3,020
99 Svenska Handelsdanken, Class A....... 1,445
--------
4,465
--------
Computer Software (0.4%):
67 Adcore AB............................ 520
275 Enea Data AB......................... 1,881
24 Mind AB (b).......................... 67
170 Telelogic AB (b)..................... 1,260
--------
3,728
--------
Engineering (0.1%):
11 ABB Ltd.............................. 1,249
--------
Insurance (0.1%):
30 Skandia Forsakrings AB............... 797
--------
Investment Company (0.3%):
50 Bure Investment Aktiebolaget......... 376
259 Novestra AB (b)...................... 2,071
--------
2,447
--------
Medical -- Information Systems (0.3%):
250 Pyrosequencing AB (b)................ 2,907
--------
Medical -- Drugs (0.3%):
48 AstraZeneca Group PLC (b)............ 2,240
--------
Paper Products (0.0%):
5 Mo Och Domsjo AB, Series B........... 112
--------
Retail -- Special Line (0.2%):
68 Hennes & Mauritz AB, Series B........ 1,427
--------
Telecommunications (1.5%):
100 Ericsson AB ADR...................... 2,000
580 LM Ericsson AB, Series B............. 11,539
--------
13,539
--------
33,632
--------
SWITZERLAND (2.6%):
Building Products (0.1%):
1 Holderbank Financiere Glarus AG
Bearer Shares...................... 686
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Switzerland, continued:
Diversified (0.0%):
0 Alusuisse-Lonza Holding AG,
Registered Shares (b)(c)........... $ 162
--------
Engineering (0.1%):
9 ABB Ltd.............................. 1,070
--------
Fertilizers (0.0%):
1 Societe Suisse pour la
Microelectronique et l'Horlogerie
AG................................. 190
--------
Financial Services (0.6%):
10 CS Holding AG, Registered Shares..... 1,901
22 UBS AG, Registered Shares............ 3,176
--------
5,077
--------
Food Products & Services (0.4%):
2 Nestle SA, Registered Shares......... 3,763
--------
Insurance (0.2%):
0 Swiss Reinsurance Corp., Registered
Shares (c)......................... 61
4 Zurich Allied AG, Registered
Shares............................. 2,030
--------
2,091
--------
Jewelry (0.0%):
0 Swatch Group AG, Bearer Shares (c)... 210
--------
Pharmaceuticals (1.1%):
0 Givaudan (b)(c)...................... 147
3 Novartis AG, Registered Shares....... 4,992
0 Roche Holding AG, Bearer Shares
(c)................................ 4,718
--------
9,857
--------
Telecommunications (0.1%):
50 Carrier1 International ADR........... 581
--------
23,687
--------
TAIWAN (1.3%):
Computer Hardware (0.1%):
32 Acer, Inc. GDR (b)................... 300
37 Synnex Technology International Corp.
GDR................................ 793
--------
1,093
--------
Computer Software (0.1%):
41 Asustek Computer Inc. GDR............ 374
25 Winbond Electronic Corp. GDR (b)..... 723
--------
1,097
--------
Electrical & Electronic (0.1%):
29 Powerchip Semiconductor GDR (b)...... 585
--------
Electrical Equipment (0.0%):
10 Ase Test Ltd. (b).................... 294
--------
</TABLE>
Continued
138
<PAGE> 141
One Group Mutual Funds
Diversified International Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Taiwan, continued:
Electronic Components/Instruments (0.9%):
24 Hon Hai Precision GDR................ $ 592
371 Ritek Corp. GDR (b).................. 2,950
83 Taiwan Semiconductor Manufacturing
Co., Ltd. ADR (b).................. 3,223
10 Taiwan Semiconductor Manufacturing
Co., Ltd.-New ADR (b).............. 388
--------
7,153
--------
Internet Content (0.1%):
75 Systex Corp. ADR (b)................. 799
--------
Steel (0.0%):
31 China Steel Corp. GDR................ 410
--------
Telecommunications -- Services and Equipment (0.0%):
23 Gigamedia Ltd........................ 273
--------
11,704
--------
UNITED KINGDOM (11.1%):
Aerospace & Military Technology (0.2%):
182 British Aerospace PLC................ 1,132
67 Rolls-Royce PLC (b).................. 239
18 Smiths Industries PLC (b)............ 229
--------
1,600
--------
Airlines (0.1%):
84 British Airways PLC.................. 481
--------
Appliances & Household Products (0.1%):
51 EMI Group PLC........................ 474
--------
Banking (1.2%):
72 Abbey National PLC (b)............... 852
101 Barclays PLC (b)..................... 2,497
627 HSBC Holdings PLC.................... 7,180
--------
10,529
--------
Beverages & Tobacco (0.4%):
69 British American Tobacco PLC......... 463
25 Coca-Cola Beverage PLC (b)........... 39
333 Diageo PLC........................... 2,986
--------
3,488
--------
Brewery (0.1%):
97 Bass PLC (b)......................... 1,088
--------
Broadcasting/Cable (0.3%):
94 British Sky Broadcasting Group PLC
(b)................................ 1,834
86 Carlton Communications PLC........... 1,112
--------
2,946
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
United Kingdom, continued:
Building Products (0.0%):
27 RMC Group PLC (b).................... $ 344
--------
Chemicals (0.1%):
40 BOC Group PLC........................ 580
77 Imperial Chemical Industries PLC..... 611
--------
1,191
--------
Construction (0.0%):
110 Taylor Woodrow PLC................... 251
--------
Electric Utility (0.0%):
22 Scottish Power PLC (b)............... 189
--------
Electrical & Electronic (0.3%):
31 British Aerospace PLC (b)(c)......... 0
227 Marconin PLC......................... 2,951
--------
Electronic Components/Instruments (0.0%):
150 Parthus Technologies PLC (b)......... 424
--------
Energy (0.1%):
58 Thames Water Ord PLC................. 753
--------
Financial Services (0.3%):
214 Lloyds TSB Group PLC (b)............. 2,032
100 Old Mutual PLC (b)................... 221
--------
2,253
--------
Food & Household Products (0.2%):
110 Cadbury Schweppes PLC................ 723
232 Unilever PLC (b)..................... 1,398
--------
2,121
--------
Food Products & Services (0.1%):
58 Associated British Foods PLC (b)..... 404
187 J Sainsbury PLC (b).................. 847
--------
1,251
--------
Health & Personal Care (0.9%):
181 Glaxo Wellcome PLC................... 5,270
65 Zeneca PLC (b)....................... 3,015
--------
8,285
--------
Industrial Holding Company (0.1%):
69 Hanson PLC........................... 493
--------
Insurance (0.6%):
109 Allied Zurich PLC (b)................ 1,288
197 Prudential Corp., PLC (b)............ 2,889
161 Royal & Sun Alliance Insurance Group
PLC (b)............................ 1,042
--------
5,219
--------
</TABLE>
Continued
139
<PAGE> 142
One Group Mutual Funds
Diversified International Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
United Kingdom, continued:
Leisure (0.2%):
132 Granada Group PLC.................... $ 1,302
200 Ladbroke Group PLC (b)............... 698
89 Rank Group PLC (b)................... 205
--------
2,205
--------
Manufacturing -- Miscellaneous (0.1%):
208 Siebe PLC (b)........................ 779
--------
Merchandising (0.1%):
157 Safeway PLC (b)...................... 610
--------
Metals & Mining (0.2%):
346 Corus Group PLC...................... 503
96 Rio Tinto PLC........................ 1,568
--------
2,071
--------
Oil & Gas (1.1%):
5 Bookham Technology PLC ADR (b)....... 267
985 British Petroleum Ord PLC............ 9,454
--------
9,721
--------
Oil & Gas Exploration, Production & Services (0.2%):
253 BG Group PLC......................... 1,631
--------
Pharmaceuticals (0.4%):
272 SmithKline Beecham PLC (b)........... 3,578
--------
Printing & Publishing (0.4%):
40 Reed International PLC (b)........... 349
191 Reuters Group PLC (b)................ 3,261
--------
3,610
--------
Real Estate (0.1%):
104 Mepc PLC (b)......................... 858
--------
Retail -- General Merchandise (0.1%):
99 Kingfisher PLC (b)................... 902
24 Selfridges Ord PLC (b)............... 104
--------
1,006
--------
Retail -- Stores/Catalog (0.4%):
62 Boots Co., PLC....................... 475
33 Great Universal Stores PLC........... 209
212 Marks & Spencer PLC (b).............. 744
115 Rentokil Initial PLC (b)............. 263
475 Tesco PLC............................ 1,475
--------
3,166
--------
</TABLE>
<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....... $ 5,543
180 Cable & Wireless PLC................. 3,050
229 Centrica PLC (b)..................... 759
79 National Power PLC (b)............... 501
2,878 Vodaphone Group PLC (b).............. 11,674
--------
21,527
--------
Telecommunications -- Services and Equipment (0.2%):
60 Energis PLC (b)...................... 2,238
--------
99,331
--------
UNITED STATES (0.2%):
Internet Content (0.2%):
10 Asiainfo Holdings Inc. (b)........... 447
45 Starmedia Network, Inc. (b).......... 849
--------
1,296
--------
Oil & Gas Exploration, Production & Services (0.0%):
4 Transocean Sedco Forex, Inc. (b)..... 214
--------
1,510
--------
Total Common Stocks 819,235
--------
CORPORATE BONDS (0.0%):
UNITED KINGDOM (0.0%):
Gas -- Distribution (0.0%):
$ 36 BG Transco Holdings PLC, 7.06%,
12/14/09*.......................... 54
36 BG Transco Holdings PLC, 4.19%,
12/14/22*.......................... 53
36 BG Transco Holdings PLC, 7.00%,
12/16/24........................... 53
--------
160
--------
Total Corporate Bonds 160
--------
PREFERRED STOCKS (0.6%):
AUSTRALIA (0.3%):
Broadcasting & Publishing (0.3%):
246 News Corp., Ltd...................... 2,976
--------
BRAZIL (0.0%):
Telecommunications -- Services and Equipment (0.0%):
57,000 Telecomunicacoes Brasileiras SA...... 1
5,232 Telecomunicacoes de Sao V............ 98
--------
99
--------
99
--------
GERMANY (0.3%):
Computer Software (0.3%):
12 SAP AG............................... 2,226
--------
</TABLE>
Continued
140
<PAGE> 143
One Group Mutual Funds
Diversified International Fund
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
PREFERRED STOCKS, CONTINUED:
Germany, continued:
Gas & Electric Utility (0.0%):
10 RWE AG............................... $ 266
--------
2,492
--------
SOUTH KOREA (0.0%):
Financial Services (0.0%):
25 Lg Investment & Securities........... 148
--------
Total Preferred Stocks 5,715
--------
RIGHTS (0.0%):
MEXICO (0.0%):
Building Products (0.0%):
27 Cemex SA de OV ADR (b)............... 7
--------
SWEDEN (0.0%):
Automotive (0.0%):
33 Volvo AB (b)......................... 29
--------
Total Rights 36
--------
WARRANTS (0.0%):
SINGAPORE (0.0%):
Telecommunications -- Services and Equipment (0.0%):
15 MMI Holdings Ltd. (b)................ 2
--------
THAILAND (0.0%):
Banking (0.0%):
28 Siam Commercial Bank Warrants
(b)(c)............................. 0
--------
Total Warrants 2
--------
U.S. TREASURY OBLIGATIONS (0.2%):
U.S. Treasury Notes (0.2%):
$ 1,150 6.13%, 7/31/00 (d)................... 1,151
300 6.25%, 8/31/00 (d)................... 300
--------
Total U.S. Treasury Obligations 1,451
--------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
--------- ------------------------------------- --------
<C> <S> <C>
INVESTMENT COMPANIES (3.9%):
UNITED STATES (3.9%):
35,305 One Group Prime Money Market Fund,
Class I............................ $ 35,305
--------
Total Investment Companies 35,305
--------
REPURCHASE AGREEMENTS (2.1%):
$ 18,627 State Street Bank and Trust, 6.45%,
7/3/00, (Collateralized by $20,570
U.S. Government security, 5.82%,
5/6/09, market value $19,011)...... 18,627
--------
Total Repurchase Agreements 18,627
--------
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING (12.4%):
Repurchase Agreements (12.4%):
750 Lehman Brothers, 7.18%, 7/3/00,
(Collateralized by $773 Galaxy
Funding Commercial Paper, 0.00%,
10/10/00, market value $773)....... 750
110,305 Lehman Brothers, 7.38%, 7/3/00,
(Collateralized by various equity
securities, market value
$116,916).......................... 110,305
--------
Total Short-Term Securities Held as Collateral
for Securities Lending 111,055
--------
Total (Cost $724,835) (a) $991,586
========
</TABLE>
------------
Percentages indicated are based on net assets of $895,361.
(a) Represents cost for financial reporting purposes and differs from cost basis
for federal income tax purposes by the amount of losses recognized for
financial reporting purposes in excess of federal income tax reporting of
approximately $3,518. Cost for federal income tax purposes differs from
value by net unrealized appreciation (depreciation) of securities as follows
(amounts in thousands):
<TABLE>
<S> <C>
Unrealized appreciation...................... $337,688
Unrealized depreciation...................... (74,455)
--------
Net unrealized appreciation (depreciation)... $263,233
========
</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 security, which will change
periodically, is based upon prime rates or an index of market rates. The rate
reflected on the Schedule of Portfolio Investments is the rate in effect at
June 30, 2000.
See notes to financial statements.
141
<PAGE> 144
One Group Mutual Funds
--------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 2000
(Amounts in Thousands, except per share amounts)
<TABLE>
<CAPTION>
SMALL CAP SMALL CAP MID CAP MID CAP DIVERSIFIED
GROWTH VALUE GROWTH VALUE MID CAP
FUND FUND FUND FUND FUND
--------- --------- ---------- ---------- -----------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments, at cost.................................. $354,653 $207,011 $2,298,181 $1,083,874 $ 941,854
Unrealized appreciation (depreciation) from
investments......................................... 51,519 (2,994) 421,522 1,207 220,707
-------- -------- ---------- ---------- ----------
Investments, at value................................. 406,172 204,017 2,719,703 1,085,081 1,162,561
Cash.................................................. -- -- 32 1 1
Interest and dividends receivable..................... 149 291 990 1,120 769
Receivable for capital shares issued.................. 220 20 1,733 3,578 54
Receivable from brokers for investments sold.......... 43,455 1,556 202,249 167,320 1,056
Net receivable for variation margin on futures
contracts........................................... 260 -- -- -- --
Prepaid expenses and other assets..................... 7 6 10 8 8
-------- -------- ---------- ---------- ----------
TOTAL ASSETS.......................................... 450,263 205,890 2,924,717 1,257,108 1,164,449
-------- -------- ---------- ---------- ----------
LIABILITIES:
Dividends payable..................................... -- 760 -- 2,338 621
Payable to brokers for investments purchased.......... 52,340 1,272 218,178 118,331 1,881
Payable for capital shares redeemed................... 44 28 163 121 105
Payable for return of collateral received for
securities on loan.................................. 43,388 6,391 354,895 48,785 103,236
Options written, at value (premiums received $785).... -- -- -- 402 --
Accrued expenses and other payables:
Investment advisory fees............................ 208 100 1,371 647 533
Administration fees................................. 23 13 158 74 72
Distribution fees................................... 37 5 375 49 52
Other............................................... 126 92 318 327 487
-------- -------- ---------- ---------- ----------
TOTAL LIABILITIES..................................... 96,166 8,661 575,458 171,074 106,987
-------- -------- ---------- ---------- ----------
NET ASSETS:
Capital............................................... 279,854 204,321 1,617,953 1,039,989 646,437
Undistributed (distributions in excess of) net
investment income................................... (1) 6 (14) (26) (18)
Accumulated undistributed net realized gains (losses)
from investments, options and futures
transactions........................................ 23,159 (4,104) 309,798 44,481 190,336
Net unrealized appreciation (depreciation) from
investments, options and futures.................... 51,085 (2,994) 421,522 1,590 220,707
-------- -------- ---------- ---------- ----------
NET ASSETS............................................ $354,097 $197,229 $2,349,259 $1,086,034 $1,057,462
======== ======== ========== ========== ==========
NET ASSETS:
Class I............................................. $253,626 $179,923 $1,624,824 $ 963,410 $ 832,959
Class A............................................. 71,858 14,725 343,284 88,721 217,623
Class B............................................. 27,843 2,531 316,729 33,734 6,771
Class C............................................. 770 50 64,422 169 109
-------- -------- ---------- ---------- ----------
Total................................................. $354,097 $197,229 $2,349,259 $1,086,034 $1,057,462
======== ======== ========== ========== ==========
OUTSTANDING UNITS OF BENEFICIAL INTEREST (SHARES):
Class I............................................. 19,549 13,093 54,649 71,684 38,410
Class A............................................. 5,566 1,089 11,744 6,579 10,122
Class B............................................. 2,252 194 11,656 2,529 836
Class C............................................. 61 4 2,215 13 13
-------- -------- ---------- ---------- ----------
Total................................................. 27,428 14,380 80,264 80,805 49,381
======== ======== ========== ========== ==========
Net Asset Value
Class I -- offering and redemption price per
share............................................. $ 12.97 $ 13.74 $ 29.73 $ 13.44 $ 21.69
======== ======== ========== ========== ==========
Class A -- Redemption price per share............... $ 12.91 $ 13.52 $ 29.23 $ 13.48 $ 21.50
======== ======== ========== ========== ==========
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)........... $ 13.63 $ 14.27 $ 30.85 $ 14.23 $ 22.69
======== ======== ========== ========== ==========
Class B -- Offering price per share (a)............. $ 12.36 $ 13.07 $ 27.17 $ 13.34 $ 8.10
======== ======== ========== ========== ==========
Class C -- Offering price per share (a)............. $ 12.62 $ 13.05 $ 29.09 $ 13.35 $ 8.09
======== ======== ========== ========== ==========
</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.
142
<PAGE> 145
One Group Mutual Funds
--------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 2000
(Amounts in Thousands, except per share amounts)
<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.................................... $3,351,850 $1,580,758 $475,487 $1,697,086 $503,941
Unrealized appreciation (depreciation) from
investments........................................... 1,816,637 135,689 358,813 681,873 87,447
---------- ---------- -------- ---------- --------
Investments, at value................................... 5,168,487 1,716,447 834,300 2,378,959 591,388
Interest and dividends receivable....................... 2,450 2,324 1,220 1,535 2,420
Receivable for capital shares issued.................... 1,783 312 89 472 542
Receivable from brokers for investments sold............ 442,386 87,153 4,361 -- 2
Prepaid expenses and other assets....................... 15 9 8 10 7
---------- ---------- -------- ---------- --------
TOTAL ASSETS............................................ 5,615,121 1,806,245 839,978 2,380,976 594,359
---------- ---------- -------- ---------- --------
LIABILITIES:
Dividends payable....................................... -- 3,169 -- 322 911
Payable to brokers for investments purchased............ 492,214 133,505 -- 10,612 562
Payable for capital shares redeemed..................... 518 34 205 324 190
Payable for return of collateral received for securities
on loan............................................... 303,482 119,991 7,535 101,359 17,969
Accrued expenses and other payables:
Investment advisory fees.............................. 2,645 962 510 1,338 255
Administration fees................................... 314 105 56 150 39
Distribution fees..................................... 956 33 142 120 272
Other................................................. 539 259 463 398 180
---------- ---------- -------- ---------- --------
TOTAL LIABILITIES....................................... 800,668 258,058 8,911 114,623 20,378
---------- ---------- -------- ---------- --------
NET ASSETS:
Capital................................................. 2,855,972 1,395,217 412,486 1,549,010 497,316
Undistributed (distributions in excess of) net
investment income..................................... (36) 72 (11) (54) 23
Accumulated undistributed net realized gains (losses)
from investments, options and futures transactions.... 141,880 17,209 59,779 35,524 (10,805)
Net unrealized appreciation (depreciation) from
investments, options and futures...................... 1,816,637 135,689 358,813 681,873 87,447
---------- ---------- -------- ---------- --------
NET ASSETS.............................................. $4,814,453 $1,548,187 $831,067 $2,266,353 $573,981
========== ========== ======== ========== ========
NET ASSETS:
Class I............................................... $3,118,107 $1,474,666 $584,810 $1,895,968 $139,496
Class A............................................... 662,088 45,190 102,783 298,378 135,367
Class B............................................... 978,576 25,795 142,259 55,227 298,355
Class C............................................... 55,682 2,536 1,215 16,780 763
---------- ---------- -------- ---------- --------
Total................................................... $4,814,453 $1,548,187 $831,067 $2,266,353 $573,981
========== ========== ======== ========== ========
OUTSTANDING UNITS OF BENEFICIAL INTEREST (SHARES):
Class I............................................... 116,884 95,130 27,521 125,976 9,973
Class A............................................... 24,146 2,894 4,850 19,888 9,670
Class B............................................... 37,436 1,653 6,701 3,757 21,224
Class C............................................... 2,149 163 57 1,134 54
---------- ---------- -------- ---------- --------
Total................................................... 180,615 99,840 39,129 150,755 40,921
========== ========== ======== ========== ========
Net Asset Value
Class I -- offering and redemption price per share.... $ 26.68 $ 15.50 $ 21.25 $ 15.05 $ 13.99
========== ========== ======== ========== ========
Class A -- Redemption price per share................. $ 27.42 $ 15.61 $ 21.19 $ 15.00 $ 14.00
========== ========== ======== ========== ========
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)................... $ 28.94 $ 16.47 $ 22.36 $ 15.83 $ 14.78
========== ========== ======== ========== ========
Class B -- Offering price per share (a)............... $ 26.14 $ 15.61 $ 21.23 $ 14.70 $ 14.06
========== ========== ======== ========== ========
Class C -- Offering price per share (a)............... $ 25.91 $ 15.58 $ 21.26 $ 14.80 $ 14.06
========== ========== ======== ========== ========
</TABLE>
------------
(a) Redemption price per Class B and Class C share varies based on length of
time shares are held.
See notes to financial statements.
143
<PAGE> 146
One Group Mutual Funds
--------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 2000
(Amounts in Thousands, except per share amounts)
<TABLE>
<CAPTION>
EQUITY MARKET INTERNATIONAL DIVERSIFIED
INDEX EXPANSION EQUITY INTERNATIONAL
FUND INDEX FUND INDEX FUND FUND
---------- ---------- ------------- -------------
<S> <C> <C> <C> <C>
ASSETS:
Investments, at cost....................................... $2,258,682 $31,826 $ 764,235 $ 724,835
Unrealized appreciation (depreciation) from investments.... 1,659,545 3,150 284,322 266,751
---------- ------- ---------- ----------
Investments, at value...................................... 3,918,227 34,976 1,048,557 991,586
Cash....................................................... -- 86 -- 1
Foreign Currency, at value (cost $0; $0; $2,965;
$13,148)................................................. -- -- 2,979 13,122
Interest and dividends receivable.......................... 3,181 23 1,930 2,876
Receivable for capital shares issued....................... 1,366 102 69 109
Receivable from brokers for investments sold............... 23,034 179 2,036 3,628
Net receivable for variation margin on futures contracts... 207 18 151 61
Tax reclaim receivable..................................... -- -- 335 531
Prepaid expenses and other assets.......................... 13 6 8 8
---------- ------- ---------- ----------
TOTAL ASSETS............................................... 3,946,028 35,390 1,056,065 1,011,922
---------- ------- ---------- ----------
LIABILITIES:
Cash Overdraft............................................. 771 -- -- --
Dividends payable.......................................... 5,770 61 -- --
Payable to brokers for investments purchased............... 17,815 -- 1 4,064
Payable for capital shares redeemed........................ 536 -- 189 58
Payable for return of collateral received for securities on
loan..................................................... 203,114 1,845 150,714 111,055
Accrued expenses and other payables:
Investment advisory fees................................. 447 4 416 563
Administration fees...................................... 153 1 60 59
Distribution fees........................................ 862 3 51 14
Other.................................................... 954 36 561 748
---------- ------- ---------- ----------
TOTAL LIABILITIES.......................................... 230,422 1,950 151,992 116,561
---------- ------- ---------- ----------
NET ASSETS:
Capital.................................................... 2,088,596 27,449 626,217 612,937
Undistributed (distributions in excess of) net investment
income................................................... (34) -- (2,117) 1,059
Accumulated undistributed net realized gains (losses) from
investments, options and futures transactions............ (32,625) 2,883 (4,415) 14,692
Net unrealized appreciation (depreciation) from
investments, options, futures and translation of assets
and liabilities in foreign currencies.................... 1,659,669 3,108 284,388 266,673
---------- ------- ---------- ----------
NET ASSETS................................................. $3,715,606 $33,440 $ 904,073 $ 895,361
========== ======= ========== ==========
NET ASSETS:
Class I.................................................. $1,987,505 $28,699 $ 795,657 $ 851,758
Class A.................................................. 903,371 2,066 67,967 35,605
Class B.................................................. 691,700 2,495 29,007 7,269
Class C.................................................. 133,030 180 11,442 729
---------- ------- ---------- ----------
Total...................................................... $3,715,606 $33,440 $ 904,073 $ 895,361
========== ======= ========== ==========
OUTSTANDING UNITS OF BENEFICIAL INTEREST (SHARES):
Class I.................................................. 59,842 3,164 36,748 47,398
Class A.................................................. 27,208 228 3,138 1,989
Class B.................................................. 20,903 273 1,406 438
Class C.................................................. 4,014 20 535 44
---------- ------- ---------- ----------
Total...................................................... 111,967 3,685 41,827 49,869
========== ======= ========== ==========
Net Asset Value
Class I -- offering and redemption price per share....... $ 33.21 $ 9.07 $ 21.65 $ 17.97
========== ======= ========== ==========
Class A -- Redemption price per share.................... $ 33.20 $ 9.06 $ 21.66 $ 17.90
========== ======= ========== ==========
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)................................................ $ 35.04 $ 9.56 $ 22.86 $ 18.89
========== ======= ========== ==========
Class B -- Offering price per share (a).................. $ 33.09 $ 9.15 $ 20.63 $ 16.60
========== ======= ========== ==========
Class C -- Offering price per share (a).................. $ 33.14 $ 8.96 $ 21.39 $ 16.57
========== ======= ========== ==========
</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.
144
<PAGE> 147
One Group Mutual Funds
--------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS YEAR ENDED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
SMALL CAP SMALL CAP MID CAP
GROWTH VALUE GROWTH
FUND FUND FUND
--------- --------- --------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income............................................. $ 105 $ 22 $ 239
Discount accretion.......................................... 488 -- 1,051
Dividend income............................................. 1,238 3,708 9,033
Income from securities lending.............................. 157 21 765
------- -------- --------
Total Income................................................ 1,988 3,751 11,088
------- -------- --------
EXPENSES:
Investment advisory fees.................................... 1,798 1,575 13,265
Administration fees......................................... 392 343 2,928
Distribution fees (Class A)................................. 165 72 799
Distribution fees (Class B)................................. 178 28 2,081
Distribution fees (Class C)................................. 4 --(a) 389
Custodian fees.............................................. 44 37 101
Legal and audit fees........................................ 10 13 22
Trustees' fees and expenses................................. 6 8 25
Transfer agent fees......................................... 259 186 1,411
Registration and filing fees................................ 38 35 105
Printing costs.............................................. 18 18 117
Amortization of deferred organization costs................. -- 8 --
Other....................................................... 13 17 34
------- -------- --------
Total expenses before waivers............................... 2,925 2,340 21,277
Less waivers................................................ (82) (285) (228)
------- -------- --------
Net Expenses................................................ 2,843 2,055 21,049
------- -------- --------
Net Investment Income (Loss)................................ (855) 1,696 (9,961)
------- -------- --------
REALIZED/UNREALIZED GAINS (LOSSES) FROM INVESTMENTS, OPTIONS
AND FUTURES:
Net realized gains (losses) from investments, options and
futures transactions...................................... 34,873 7,666 444,613
Net change in unrealized appreciation (depreciation) from
investments, options and futures.......................... 34,460 (22,000) 130,606
------- -------- --------
Net realized/unrealized gains (losses) from investments,
options and futures....................................... 69,333 (14,334) 575,219
------- -------- --------
Change in net assets resulting from operations.............. $68,478 $(12,638) $565,258
======= ======== ========
</TABLE>
------------
(a) Amount is less than $1,000.
See notes to financial statements.
145
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One Group Mutual Funds
--------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS YEAR ENDED JUNE 30, 2000
(Amounts in Thousands)
<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.......................................... $ 27 $ 416 $ 154 $ 64
Discount accretion....................................... 32 138 3,797 --
Dividend income.......................................... 20,035 11,357 31,327 22,235
Income from securities lending........................... 148 216 863 255
-------- --------- -------- ---------
Total Income............................................. 20,242 12,127 36,141 22,554
-------- --------- -------- ---------
EXPENSES:
Investment advisory fees................................. 7,921 8,141 30,443 9,360
Administration fees...................................... 1,726 1,775 7,158 2,041
Distribution fees (Class A).............................. 354 775 1,951 151
Distribution fees (Class B).............................. 359 60 7,838 266
Distribution fees (Class C).............................. 1 1 304 11
Custodian fees........................................... 61 57 125 55
Legal and audit fees..................................... 20 22 43 18
Trustees' fees and expenses.............................. 20 22 57 19
Transfer agent fees...................................... 719 774 3,194 411
Registration and filing fees............................. 42 93 345 118
Printing costs........................................... 75 83 267 80
Other.................................................... 40 36 72 27
-------- --------- -------- ---------
Total expenses before waivers............................ 11,338 11,839 51,797 12,557
Less waivers............................................. (390) (1,762) (558) (43)
-------- --------- -------- ---------
Net Expenses............................................. 10,948 10,077 51,239 12,514
-------- --------- -------- ---------
Net Investment Income (Loss)............................. 9,294 2,050 (15,098) 10,040
-------- --------- -------- ---------
REALIZED/UNREALIZED GAINS (LOSSES) FROM INVESTMENTS,
OPTIONS AND FUTURES:
Net realized gains (losses) from investments, options and
futures transactions................................... 65,409 274,400 283,146 55,328
Net change in unrealized appreciation (depreciation) from
investments, options and futures....................... (84,105) (139,967) 359,063 (131,899)
-------- --------- -------- ---------
Net realized/unrealized gains (losses) from investments,
options and futures.................................... (18,696) 134,433 642,209 (76,571)
-------- --------- -------- ---------
Change in net assets resulting from operations........... $ (9,402) $ 136,483 $627,111 $ (66,531)
======== ========= ======== =========
</TABLE>
See notes to financial statements.
146
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One Group Mutual Funds
--------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS YEAR ENDED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
EQUITY DIVERSIFIED EQUITY
INCOME EQUITY BALANCED INDEX
FUND FUND FUND FUND
--------- ----------- -------- --------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income........................................... $ 874 $ 34 $17,789 $ 2
Discount accretion........................................ 36 18 630 1,270
Premium amortization...................................... (72) -- (1,412) --
Dividend income........................................... 24,943 25,748 4,284 42,775
Income from securities lending............................ 204 534 144 710
--------- -------- ------- --------
Total Income.............................................. 25,985 26,334 21,435 44,757
--------- -------- ------- --------
EXPENSES:
Investment advisory fees.................................. 8,211 16,499 3,796 10,334
Administration fees....................................... 1,790 3,697 942 5,556
Distribution fees (Class A)............................... 412 1,091 405 2,853
Distribution fees (Class B)............................... 1,703 527 2,735 6,120
Distribution fees (Class C)............................... 9 135 --(a) 989
Custodian fees............................................ 52 85 45 134
Legal and audit fees...................................... 21 29 12 39
Trustees' fees and expenses............................... 22 34 10 48
Transfer agent fees....................................... 827 977 766 2,863
Registration and filing fees.............................. 41 169 106 323
Printing costs............................................ 77 144 36 224
Interest expense.......................................... -- 8 -- --
Other..................................................... 40 51 36 76
--------- -------- ------- --------
Total expenses before waivers............................. 13,205 23,446 8,889 29,559
Less waivers.............................................. (1,125) (312) (757) (8,232)
--------- -------- ------- --------
Net Expenses.............................................. 12,080 23,134 8,132 21,327
--------- -------- ------- --------
Net Investment Income (Loss).............................. 13,905 3,200 13,303 23,430
--------- -------- ------- --------
REALIZED/UNREALIZED GAINS (LOSSES) FROM INVESTMENTS,
OPTIONS AND FUTURES:
Net realized gains (losses) from investments, options and
futures transactions.................................... 99,367 41,966 (9,384) (10,227)
Net change in unrealized appreciation (depreciation) from
investments, options and futures........................ (231,975) 66,723 25,774 214,455
--------- -------- ------- --------
Net realized/unrealized gains (losses) from investments,
options and futures..................................... (132,608) 108,689 16,390 204,228
--------- -------- ------- --------
Change in net assets resulting from operations............ $(118,703) $111,889 $29,693 $227,658
========= ======== ======= ========
</TABLE>
------------
(a) Amount is less than $1,000.
See notes to financial statements.
147
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--------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS YEAR ENDED JUNE 30, 2000
(Amounts in Thousands)
<TABLE>
<CAPTION>
MARKET INTERNATIONAL DIVERSIFIED
EXPANSION EQUITY INTERNATIONAL
INDEX FUND INDEX FUND FUND
---------- ------------- -------------
<S> <C> <C> <C>
INVESTMENT INCOME:
Interest income............................................. $ 19 $ 8 $ 184
Discount accretion.......................................... 14 23 2
Premium amortization........................................ -- (2) (16)
Dividend income............................................. 335 13,499 13,436
Income from securities lending.............................. 6 1,046 615
Foreign tax withholding..................................... -- (1,675) (1,625)
------- -------- --------
Total Income................................................ 374 12,899 12,596
------- -------- --------
EXPENSES:
Investment advisory fees.................................... 101 4,645 6,041
Administration fees......................................... 46 1,362 1,218
Distribution fees (Class A)................................. 4 229 127
Distribution fees (Class B)................................. 14 245 45
Distribution fees (Class C)................................. 1 71 2
Custodian fees.............................................. 27 496 484
Legal and audit fees........................................ 10 16 15
Trustees' fees and expenses................................. 3 15 13
Transfer agent fees......................................... 12 380 187
Registration and filing fees................................ 31 62 55
Printing costs.............................................. 4 61 53
Interest expense............................................ 1 1 1
Other....................................................... 39 127 66
------- -------- --------
Total expenses before waivers............................... 293 7,710 8,307
Less waivers................................................ (110) (65) (273)
------- -------- --------
Net Expenses................................................ 183 7,645 8,034
------- -------- --------
Net Investment Income (Loss)................................ 191 5,254 4,562
------- -------- --------
REALIZED/UNREALIZED GAINS (LOSSES) FROM INVESTMENTS, OPTIONS
AND FUTURES:
Net realized gains (losses) from investments, options and
futures transactions...................................... 4,703 5,148 38,130
Capital contributions from Investment Advisor............... 67 -- --
Net change in unrealized appreciation (depreciation) from
investments, options and futures.......................... (1,695) 125,302 84,198
------- -------- --------
Net realized/unrealized gains (losses) from investments,
options and futures....................................... 3,075 130,450 122,328
------- -------- --------
Change in net assets resulting from operations.............. $ 3,266 $135,704 $126,890
======= ======== ========
</TABLE>
See notes to financial statements.
148
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STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in Thousands)
<TABLE>
<CAPTION>
SMALL CAP SMALL CAP
GROWTH FUND VALUE FUND
-------------------- --------------------------------------
YEAR YEAR YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30, DECEMBER 31,
2000 1999 2000 1999 (a) 1998
-------- -------- -------- ---------- ------------
<S> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income (loss).......................... $ (855) $ (136) $ 1,696 $ (534) $ (1,480)
Net realized gains (losses) from investments, options
and futures transactions............................ 34,873 11,042 7,666 (8,680) 5,058
Net change in unrealized appreciation (depreciation)
from investments, options and futures............... 34,460 (9,010) (22,000) (6,643) (21,720)
-------- -------- -------- -------- --------
Change in net assets resulting from operations............ 68,478 1,896 (12,638) (15,857) (18,142)
-------- -------- -------- -------- --------
DISTRIBUTIONS TO CLASS I SHAREHOLDERS:
From net investment income............................ -- -- (1,525) -- (8)
From net realized gains from investment
transactions........................................ (11,329) (11,315) -- (1,455) (7,930)
In excess of net realized gains from investment
transactions........................................ -- -- -- -- (1,315)
DISTRIBUTIONS TO CLASS A SHAREHOLDERS:
From net investment income............................ -- -- (154) -- --(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 investment income............................ -- -- (11) -- --
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 investment income............................ -- -- (1) -- --
From net realized gains from investment
transactions........................................ (16) (6) -- -- --
-------- -------- -------- -------- --------
Change in net assets from shareholder distributions....... (16,539) (14,408) (1,691) (1,644) (10,456)
-------- -------- -------- -------- --------
CAPITAL TRANSACTIONS:
Change in net assets from capital transactions............ 138,696 30,732 (65,085) (18,841) 100,041
-------- -------- -------- -------- --------
Change in net assets...................................... 190,635 18,220 (79,414) (36,342) 71,443
NET ASSETS:
Beginning of period................................... 163,462 145,242 276,643 312,985 241,542
-------- -------- -------- -------- --------
End of period......................................... $354,097 $163,462 $197,229 $276,643 $312,985
======== ======== ======== ======== ========
</TABLE>
------------
(a) Upon reorganizing as a fund of One Group Mutual Funds, 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 22, 1999 represent the Pegasus
Small Cap Opportunity Fund.
(b) Amount is less than $1,000.
See notes to financial statements.
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--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in Thousands)
<TABLE>
<CAPTION>
MID CAP MID CAP DIVERSIFIED
GROWTH FUND VALUE FUND MID CAP FUND
------------------------ ------------------------ ----------------------------------------
YEAR YEAR YEAR YEAR YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30, DECEMBER 31,
2000 1999 2000 1999 2000 1999 (a) 1998
---------- ---------- ---------- ---------- ---------- ---------- ------------
<S> <C> <C> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income
(loss)................... $ (9,961) $ (5,489) $ 9,294 $ 7,325 $ 2,050 $ (840) $ (1,708)
Net realized gains (losses)
from investments, options
and futures
transactions............. 444,613 253,940 65,409 134,821 274,400 121,086 68,219
Net change in unrealized
appreciation
(depreciation) from
investments, options and
futures.................. 130,606 73,586 (84,105) (60,099) (139,967) (27,196) (17,120)
---------- ---------- ---------- ---------- ---------- ---------- ----------
Change in net assets resulting
from operations.............. 565,258 322,037 (9,402) 82,047 136,483 93,050 49,391
---------- ---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS TO CLASS I
SHAREHOLDERS:
From net investment
income................... -- -- (8,632) (7,181) (1,841) -- --
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................... -- -- (652) (204) (218) -- --
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................... -- -- (19) 42 (9) -- --
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) -- --(b) -- --
From net realized gains
from investment
transactions............. (4,995) (277) (3) -- (25) -- --
---------- ---------- ---------- ---------- ---------- ---------- ----------
Change in net assets from
shareholder distributions.... (246,988) (135,169) (109,020) (103,850) (162,014) (3,339) (72,236)
---------- ---------- ---------- ---------- ---------- ---------- ----------
CAPITAL TRANSACTIONS:
Change in net assets from
capital transactions......... 542,616 244,939 (17,191) 549,241 (152,892) (126,470) 253,835
---------- ---------- ---------- ---------- ---------- ---------- ----------
Change in net assets........... 860,886 431,807 (135,613) 527,438 (178,423) (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.............. $2,349,259 $1,488,373 $1,086,034 $1,221,647 $1,057,462 $1,235,885 $1,272,644
========== ========== ========== ========== ========== ========== ==========
</TABLE>
------------
(a) Upon reorganizing as a fund of One Group Mutual Funds, 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 22, 1999, represent the
Pegasus Mid Cap Opportunity Fund.
(b) Amount is less than $1,000.
See notes to financial statements.
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--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in Thousands)
<TABLE>
<CAPTION>
LARGE CAP LARGE CAP EQUITY
GROWTH FUND VALUE FUND INCOME FUND
------------------------ ------------------------ ------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30,
2000 1999 2000 1999 2000 1999
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income (loss)............... $ (15,098) $ (3,789) $ 10,040 $ 10,081 $ 13,905 $ 12,985
Net realized gains (losses) from
investments, options and futures
transactions............................. 283,146 440,956 55,328 76,731 99,367 43,431
Net change in unrealized appreciation
(depreciation) from investments, options
and futures.............................. 359,063 199,952 (131,899) 72,181 (231,975) 67,316
---------- ---------- ---------- ---------- ---------- ----------
Change in net assets resulting from
operations................................... 627,111 637,119 (66,531) 158,993 (118,703) 123,732
---------- ---------- ---------- ---------- ---------- ----------
DISTRIBUTIONS TO CLASS I SHAREHOLDERS:
From net investment income................. -- -- (9,815) (9,801) (11,689) (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................. -- -- (225) (176) (1,417) (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) (942) (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................. -- -- (1) --(a) (5) (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) (113,602) (62,283) (62,660) (80,831)
---------- ---------- ---------- ---------- ---------- ----------
CAPITAL TRANSACTIONS:
Change in net assets from capital
transactions................................. 590,743 1,708,792 579,174 226,934 (440,845) 434,206
---------- ---------- ---------- ---------- ---------- ----------
Change in net assets........................... 688,288 2,135,537 399,041 323,644 (622,208) 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.............................. $4,814,453 $4,126,165 $1,548,187 $1,149,146 $ 831,067 $1,453,275
========== ========== ========== ========== ========== ==========
</TABLE>
------------
(a) Amount is less than $1,000.
See notes to financial statements.
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STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in Thousands)
<TABLE>
<CAPTION>
DIVERSIFIED BALANCED EQUITY
EQUITY FUND FUND INDEX FUND
------------------------ -------------------- ------------------------
YEAR YEAR YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30, JUNE 30,
2000 1999 2000 1999 2000 1999
---------- ---------- -------- -------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income (loss)................... $ 3,200 $ 4,263 $ 13,303 $ 9,706 $ 23,430 $ 14,879
Net realized gains (losses) from investments,
options and futures transactions............. 41,966 136,825 (9,384) 36,794 (10,227) 51,142
Net change in unrealized appreciation
(depreciation) from investments, options and
futures...................................... 66,723 106,078 25,774 10,119 214,455 316,773
---------- ---------- -------- -------- ---------- ----------
Change in net assets resulting from operations..... 111,889 247,166 29,693 56,619 227,658 382,794
---------- ---------- -------- -------- ---------- ----------
DISTRIBUTIONS TO CLASS I SHAREHOLDERS:
From net investment income..................... (3,132) (4,039) (5,409) (5,594) (17,724) (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..................... (122) (325) (2,990) (1,473) (5,572) (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..................... -- -- (4,931) (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..................... -- -- (1) -- (46) (63)
From net realized gains from investment
transactions................................. (821) (106) -- -- (1,322) (354)
---------- ---------- -------- -------- ---------- ----------
Change in net assets from shareholder
distributions.................................... (137,688) (50,568) (35,768) (34,897) (70,484) (58,681)
---------- ---------- -------- -------- ---------- ----------
CAPITAL TRANSACTIONS:
Change in net assets from capital transactions..... (198,586) 1,556,565 31,739 255,939 376,341 1,613,200
---------- ---------- -------- -------- ---------- ----------
Change in net assets............................... (224,385) 1,753,163 25,664 277,661 533,515 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.................................. $2,266,353 $2,490,738 $573,981 $548,317 $3,715,606 $3,182,091
========== ========== ======== ======== ========== ==========
</TABLE>
See notes to financial statements.
152
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STATEMENTS OF CHANGES IN NET ASSETS
(Amounts in Thousands)
<TABLE>
<CAPTION>
MARKET INTERNATIONAL EQUITY
EXPANSION INDEX INDEX FUND
-------------------------------------- --------------------
YEAR SIX MONTHS JULY 31, YEAR YEAR
ENDED ENDED 1998 TO ENDED ENDED
JUNE 30, JUNE 30, DECEMBER 31, JUNE 30, JUNE 30,
2000 1999 (a) 1998 (b) 2000 1999
-------- ---------- ------------ -------- --------
<S> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income
(loss)...................... $ 191 $ 86 $ 76 $ 5,254 $ 6,431
Net realized gains (losses)
from investments, options
and futures transactions.... 4,703 5,281 1,751 5,148 38,944
Capital contributions from
Investment Advisor.......... 67 -- -- -- --
Net change in unrealized
appreciation (depreciation)
from investments, options
and futures................. (1,695) (4,171) 524 125,302 25,206
------- ------- ------- -------- --------
Change in net assets resulting
from operations................. 3,266 1,196 2,351 135,704 70,581
------- ------- ------- -------- --------
DISTRIBUTIONS TO CLASS I
SHAREHOLDERS:
From net investment income.... (185) (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.... (7) --(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....... (6,562) (802) (1,109) (13,131) (43,307)
------- ------- ------- -------- --------
CAPITAL TRANSACTIONS:
Change in net assets from capital
transactions.................... 7,261 1,567 26,272 47,079 82,920
------- ------- ------- -------- --------
Change in net assets............. 3,965 1,961 27,514 169,652 110,194
NET ASSETS:
Beginning of period........... 29,475 27,514 -- 734,421 624,227
------- ------- ------- -------- --------
End of period................. $33,440 $29,475 $27,514 $904,073 $734,421
======= ======= ======= ======== ========
<CAPTION>
DIVERSIFIED
INTERNATIONAL FUND
--------------------------------------
YEAR SIX MONTHS YEAR
ENDED ENDED ENDED
JUNE 30, JUNE 30, DECEMBER 31,
2000 1999 (c) 1998
-------- ---------- ------------
<S> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income
(loss)...................... $ 4,562 $ 4,846 $ 5,823
Net realized gains (losses)
from investments, options
and futures transactions.... 38,130 14,091 (17,985)
Capital contributions from
Investment Advisor.......... -- -- --
Net change in unrealized
appreciation (depreciation)
from investments, options
and futures................. 84,198 32,957 97,612
-------- -------- --------
Change in net assets resulting
from operations................. 126,890 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 capital
transactions.................... 145,206 (31,499) 22,909
-------- -------- --------
Change in net assets............. 258,668 20,395 99,845
NET ASSETS:
Beginning of period........... 636,693 616,298 516,453
-------- -------- --------
End of period................. $895,361 $636,693 $616,298
======== ======== ========
</TABLE>
------------
(a) Upon reorganizing as a fund of One Group Mutual Funds, 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 22, 1999 represent
the Pegasus Market Expansion Index Fund.
(b) Period from commencement of operations.
(c) Upon reorganizing as a fund of One Group Mutual Funds, the Pegasus
International Equity Fund became the Diversified International Fund. The
Statements of Changes in Net Assets for the periods prior to March 22, 1999
represent the Pegasus International Equity Fund.
(d) Amount less than $1,000.
See notes to financial statements.
153
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SCHEDULES OF CAPITAL STOCK ACTIVITY
(Amounts in Thousands)
<TABLE>
<CAPTION>
SMALL CAP SMALL CAP
GROWTH FUND VALUE FUND
-------------------- --------------------------------------
YEAR YEAR YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30, DECEMBER 31,
2000 1999 2000 1999 (a) 1998
-------- -------- --------- ---------- ------------
<S> <C> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued............................... $132,429 $ 42,905 $ 57,233 $ 54,182 $128,376
Proceeds from shares issued in Marquis acquisition........ -- 2,300 -- -- --
Dividends reinvested...................................... 9,927 9,999 19 1,259 4,636
Cost of shares redeemed................................... (56,969) (30,329) (110,725) (70,359) (49,084)
-------- -------- --------- -------- --------
Change in net assets from Class I capital transactions.... $ 85,387 $ 24,875 $ (53,473) $(14,918) $ 83,928
======== ======== ========= ======== ========
CLASS A SHARES:
Proceeds from shares issued............................... $ 80,861 $ 20,005 $ 10,507 $ 5,172 $ 20,319
Proceeds from shares issued in Marquis acquisition........ -- 898 -- -- --
Dividends reinvested...................................... 3,733 2,086 57 167 953
Cost of shares redeemed................................... (45,934) (19,798) (21,592) (8,832) (7,795)
-------- -------- --------- -------- --------
Change in net assets from Class A capital transactions.... $ 38,660 $ 3,191 $ (11,028) $ (3,493) $ 13,477
======== ======== ========= ======== ========
CLASS B SHARES:
Proceeds from shares issued............................... $ 16,936 $ 3,882 $ 689 $ 455 $ 2,943
Proceeds from shares issued in Marquis acquisition........ -- 471 -- -- --
Dividends reinvested...................................... 1,287 924 7 20 132
Cost of shares redeemed................................... (4,209) (2,647) (1,309) (923) (439)
-------- -------- --------- -------- --------
Change in net assets from Class B capital transactions.... $ 14,014 $ 2,630 $ (613) $ (448) $ 2,636
======== ======== ========= ======== ========
CLASS C SHARES:
Proceeds from shares issued............................... $ 776 $ 101 $ 41 $ 18
Dividends reinvested...................................... 16 6 --(b) --
Cost of shares redeemed................................... (157) (71) (12) --
-------- -------- --------- --------
Change in net assets from Class C capital transactions.... $ 635 $ 36 $ 29 $ 18
======== ======== ========= ========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued.................................................... 11,224 4,687 4,274 4,005 8,012
Issued in Marquis acquisition............................. -- 235 -- -- --
Reinvested................................................ 938 1,059 1 97 305
Redeemed.................................................. (4,948) (3,188) (8,487) (5,222) (3,323)
-------- -------- --------- -------- --------
Change in Class I Shares.................................. 7,214 2,793 (4,212) (1,120) 4,994
======== ======== ========= ======== ========
CLASS A SHARES:
Issued.................................................... 7,299 2,006 837 380 1,271
Issued in Marquis acquisition............................. -- 92 -- -- --
Reinvested................................................ 353 222 4 13 65
Redeemed.................................................. (4,167) (2,039) (1,646) (675) (522)
-------- -------- --------- -------- --------
Change in Class A Shares.................................. 3,485 281 (805) (282) 814
======== ======== ========= ======== ========
CLASS B SHARES:
Issued.................................................... 1,501 417 55 35 186
Issued in Marquis acquisition............................. -- 49 -- -- --
Reinvested................................................ 127 100 1 1 9
Redeemed.................................................. (378) (291) (105) (71) (31)
-------- -------- --------- -------- --------
Change in Class B Shares.................................. 1,250 275 (49) (35) 164
======== ======== ========= ======== ========
CLASS C SHARES:
Issued.................................................... 61 11 4 1
Reinvested................................................ 2 1 --(b) --
Redeemed.................................................. (14) (7) (1) --
-------- -------- --------- --------
Change in Class C Shares.................................. 49 5 3 1
======== ======== ========= ========
</TABLE>
------------
(a) Upon reorganizing as a fund of One Group Mutual Funds, the Pegasus Small Cap
Opportunity Fund became the Small Cap Value Fund. The Schedules of Capital
Stock Activity for the periods prior to March 22, 1999 represent the Pegasus
Small Cap Opportunity Fund.
(b) Amount is less than 1,000.
See notes to financial statements.
154
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--------------------------------------------------------------------------------
SCHEDULES OF CAPITAL STOCK ACTIVITY
(Amounts in Thousands)
<TABLE>
<CAPTION>
MID CAP MID CAP
GROWTH FUND VALUE FUND
---------------------- ----------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30,
2000 1999 2000 1999
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued................................ $ 467,762 $ 203,550 $ 222,776 $ 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 74,702 69,817
Cost of shares redeemed.................................... (396,326) (152,763) (288,581) (220,903)
--------- --------- --------- ---------
Change in net assets from Class I capital transactions..... $ 221,881 $ 144,501 $ 8,897 $ 447,030
========= ========= ========= =========
CLASS A SHARES:
Proceeds from shares issued................................ $ 270,258 $ 79,035 $ 45,932 $ 23,415
Proceeds from shares issued in Marquis acquisition......... -- 2,987 -- 15,353
Proceeds from shares issued in Pegasus acquisition......... -- -- -- 99,254
Dividends reinvested....................................... 28,705 13,000 9,226 4,468
Cost of shares redeemed.................................... (154,501) (48,657) (77,794) (56,125)
--------- --------- --------- ---------
Change in net assets from Class A capital transactions..... $ 144,462 $ 46,365 $ (22,636) $ 86,365
========= ========= ========= =========
CLASS B SHARES:
Proceeds from shares issued................................ $ 133,956 $ 45,055 $ 4,783 $ 7,406
Proceeds from shares issued in Marquis acquisition......... -- 2,136 -- 12,072
Proceeds from shares issued in Pegasus acquisition......... -- -- -- 3,884
Dividends reinvested....................................... 27,288 12,547 3,346 4,269
Cost of shares redeemed.................................... (25,356) (19,465) (11,711) (11,832)
--------- --------- --------- ---------
Change in net assets from Class B capital transactions..... $ 135,888 $ 40,273 $ (3,582) $ 15,799
========= ========= ========= =========
CLASS C SHARES:
Proceeds from shares issued................................ $ 44,971 $ 14,745 $ 189 $ 47
Dividends reinvested....................................... 4,995 278 3 --(a)
Cost of shares redeemed.................................... (9,581) (1,223) (62) --(a)
--------- --------- --------- ---------
Change in net assets from Class C capital transactions..... $ 40,385 $ 13,800 $ 130 $ 47
========= ========= ========= =========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued..................................................... 17,226 9,697 16,175 10,483
Issued in Marquis acquisition.............................. -- 1,696 -- 7,937
Issued in Pegasus acquisition.............................. -- -- -- 24,507
Reinvested................................................. 6,032 3,104 5,827 4,933
Redeemed................................................... (14,614) (7,089) (21,419) (14,319)
--------- --------- --------- ---------
Change in Class I Shares................................... 8,644 7,408 583 33,541
========= ========= ========= =========
CLASS A SHARES:
Issued..................................................... 10,086 3,639 3,421 1,004
Issued in Marquis acquisition.............................. -- 152 -- 1,109
Issued in Pegasus acquisition.............................. -- -- -- 7,385
Reinvested................................................. 1,169 663 715 310
Redeemed................................................... (5,879) (2,364) (5,757) (3,347)
--------- --------- --------- ---------
Change in Class A Shares................................... 5,376 2,090 (1,621) 6,461
========= ========= ========= =========
CLASS B SHARES:
Issued..................................................... 5,255 2,187 354 339
Issued in Marquis acquisition.............................. -- 114 -- 877
Issued in Pegasus acquisition.............................. -- -- -- 291
Reinvested................................................. 1,190 671 263 314
Redeemed................................................... (1,025) (978) (884) (811)
--------- --------- --------- ---------
Change in Class B Shares................................... 5,420 1,994 (267) 1,010
========= ========= ========= =========
CLASS C SHARES:
Issued..................................................... 1,702 653 14 3
Reinvested................................................. 203 14 --(a) --(a)
Redeemed................................................... (353) (53) (4) --(a)
--------- --------- --------- ---------
Change in Class C Shares................................... 1,552 614 10 3
========= ========= ========= =========
</TABLE>
------------
(a) Amount is less than 1,000.
See notes to financial statements.
155
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--------------------------------------------------------------------------------
SCHEDULES OF CAPITAL STOCK ACTIVITY
(Amounts in Thousands)
<TABLE>
<CAPTION>
DIVERSIFIED LARGE CAP
MID CAP FUND GROWTH FUND
--------------------------------------- -----------------------
YEAR SIX MONTHS YEAR YEAR YEAR
ENDED ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, DECEMBER 31, JUNE 30, JUNE 30,
2000 1999 (a) 1998 2000 1999
--------- ---------- ------------ --------- ----------
<S> <C> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued............................... $ 150,588 $ 61,324 $ 164,165 $ 243,433 $ 283,311
Proceeds from shares issued in Pegasus acquisition........ -- -- -- -- 899,987
Proceeds from shares issued in conversion................. -- -- 206,155 -- 162,412
Dividends reinvested...................................... 115,173 2,562 42,744 303,483 117,120
Cost of shares redeemed................................... (398,964) (137,780) (215,552) (550,840) (234,012)
--------- --------- --------- --------- ----------
Change in net assets from Class I capital transactions.... $(133,203) $ (73,894) $ 197,512 $ (3,924) $1,228,818
========= ========= ========= ========= ==========
CLASS A SHARES:
Proceeds from shares issued............................... $ 63,499 $ 23,402 $ 97,258 $ 344,143 $ 167,751
Proceeds from shares issued in Pegasus acquisition........ -- -- -- -- 133,163
Dividends reinvested...................................... 30,001 707 17,695 60,611 20,453
Cost of shares redeemed................................... (114,810) (75,470) (62,548) (204,799) (119,384)
--------- --------- --------- --------- ----------
Change in net assets from Class A capital transactions.... $ (21,310) $ (51,361) $ 52,405 $ 199,955 $ 201,983
========= ========= ========= ========= ==========
CLASS B SHARES:
Proceeds from shares issued............................... $ 1,323 $ 185 $ 3,861 $ 361,869 $ 281,642
Proceeds from shares issued in Pegasus acquisition........ -- -- -- -- 7,315
Dividends reinvested...................................... 1,731 36 803 88,834 31,112
Cost of shares redeemed................................... (1,537) (1,449) (746) (102,594) (49,320)
--------- --------- --------- --------- ----------
Change in net assets from Class B capital transactions.... $ 1,517 $ (1,228) $ 3,918 $ 348,109 $ 270,749
========= ========= ========= ========= ==========
CLASS C SHARES:
Proceeds from shares issued............................... $ 98 $ 13 $ 49,119 $ 7,482
Dividends reinvested...................................... 26 -- 2,993 70
Cost of shares redeemed................................... (20) -- (5,509) (310)
--------- --------- --------- ----------
Change in net assets from Class C capital transactions.... $ 104 $ 13 $ 46,603 $ 7,242
========= ========= ========= ==========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued.................................................... 7,371 3,182 8,188 9,415 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.................................................. (19,733) (6,810) (10,665) (21,095) (9,885)
--------- --------- --------- --------- ----------
Change in Class I Shares.................................. (6,255) (3,598) 9,871 138 50,223
========= ========= ========= ========= ==========
CLASS A SHARES:
Issued.................................................... 3,072 1,167 4,701 12,860 6,770
Issued in Pegasus acquisition............................. -- -- -- -- 5,098
Reinvested................................................ 1,602 31 892 2,292 983
Redeemed.................................................. (5,596) (3,826) (3,124) (7,658) (4,733)
--------- --------- --------- --------- ----------
Change in Class A Shares.................................. (922) (2,628) 2,469 7,494 8,118
========= ========= ========= ========= ==========
CLASS B SHARES:
Issued.................................................... 163 20 366 14,092 11,800
Issued in Pegasus acquisition............................. -- -- -- -- 290
Reinvested................................................ 244 4 85 3,510 1,539
Redeemed.................................................. (185) (154) (81) (3,998) (2,138)
--------- --------- --------- --------- ----------
Change in Class B Shares.................................. 222 (130) 370 13,604 11,491
========= ========= ========= ========= ==========
CLASS C SHARES:
Issued.................................................... 11 1 1,923 312
Reinvested................................................ 4 -- 119 3
Redeemed.................................................. (3) -- (217) (13)
--------- --------- --------- ----------
Change in Class C Shares.................................. 12 1 1,825 302
========= ========= ========= ==========
</TABLE>
------------
(a) Upon reorganizing as a fund of One Group Mutual Funds, the Pegasus Mid Cap
Opportunity Fund became the Diversified Mid Cap Fund. The Schedules of
Capital Stock Activity for the periods prior to March 22, 1999 represent the
Pegasus Mid Cap Opportunity Fund.
See notes to financial statements.
156
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--------------------------------------------------------------------------------
SCHEDULES OF CAPITAL STOCK ACTIVITY
(Amounts in Thousands)
<TABLE>
<CAPTION>
LARGE CAP EQUITY
VALUE FUND INCOME FUND
--------------------- ----------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30,
2000 1999 2000 1999
--------- -------- --------- ---------
<S> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued............................... $ 602,822 $257,159 $ 21,930 $ 42,420
Proceeds from shares issued in Pegasus acquisition........ -- -- -- 505,408
Dividends reinvested...................................... 82,659 38,150 28,484 28,320
Cost of shares redeemed................................... (136,868) (84,610) (450,236) (182,394)
--------- -------- --------- ---------
Change in net assets from Class I capital transactions.... $ 548,613 $210,699 $(399,822) $ 393,754
========= ======== ========= =========
CLASS A SHARES:
Proceeds from shares issued............................... $ 61,271 $ 33,730 $ 32,441 $ 24,665
Proceeds from shares issued in Pegasus acquisition........ -- -- -- 11,551
Dividends reinvested...................................... 3,689 1,116 6,156 9,250
Cost of shares redeemed................................... (42,003) (24,553) (52,756) (31,094)
--------- -------- --------- ---------
Change in net assets from Class A capital transactions.... $ 22,957 $ 10,293 $ (14,159) $ 14,372
========= ======== ========= =========
CLASS B SHARES:
Proceeds from shares issued............................... $ 11,834 $ 10,060 $ 19,281 $ 40,461
Proceeds from shares issued in Pegasus acquisition........ -- -- -- 3,082
Dividends reinvested...................................... 2,381 1,149 8,311 12,751
Cost of shares redeemed................................... (9,150) (5,399) (55,117) (30,054)
--------- -------- --------- ---------
Change in net assets from Class B capital transactions.... $ 5,065 $ 5,810 $ (27,525) $ 26,240
========= ======== ========= =========
CLASS C SHARES:
Proceeds from shares issued............................... $ 3,132 $ 138 $ 869 $ 512
Dividends reinvested...................................... 86 --(a) 41 62
Cost of shares redeemed................................... (679) (6) (249) (734)
--------- -------- --------- ---------
Change in net assets from Class C capital transactions.... $ 2,539 $ 132 $ 661 $ (160)
========= ======== ========= =========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued.................................................... 37,905 15,673 961 1,902
Issued in Pegasus acquisition............................. -- -- -- 21,634
Reinvested................................................ 5,150 2,544 1,261 1,316
Redeemed.................................................. (8,480) (5,136) (20,427) (7,868)
--------- -------- --------- ---------
Change in Class I Shares.................................. 34,575 13,081 (18,205) 16,984
========= ======== ========= =========
CLASS A SHARES:
Issued.................................................... 3,738 2,073 1,482 1,094
Issued in Pegasus acquisition............................. -- -- -- 496
Reinvested................................................ 228 73 275 424
Redeemed.................................................. (2,632) (1,522) (2,446) (1,370)
--------- -------- --------- ---------
Change in Class A Shares.................................. 1,334 624 (689) 644
========= ======== ========= =========
CLASS B SHARES:
Issued.................................................... 706 601 859 1,757
Issued in Pegasus acquisition............................. -- -- -- 132
Reinvested................................................ 147 75 369 585
Redeemed.................................................. (563) (332) (2,569) (1,318)
--------- -------- --------- ---------
Change in Class B Shares.................................. 290 344 (1,341) 1,156
========= ======== ========= =========
CLASS C SHARES:
Issued.................................................... 192 7 40 21
Reinvested................................................ 5 --(a) 2 3
Redeemed.................................................. (41) --(a) (12) (30)
--------- -------- --------- ---------
Change in Class C Shares.................................. 156 7 30 (6)
========= ======== ========= =========
</TABLE>
------------
(a) Amount is less than 1,000.
See notes to financial statements.
157
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--------------------------------------------------------------------------------
SCHEDULES OF CAPITAL STOCK ACTIVITY
(Amounts in Thousands)
<TABLE>
<CAPTION>
DIVERSIFIED BALANCED
EQUITY FUND FUND
----------------------- ---------------------
YEAR YEAR YEAR YEAR
ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30,
2000 1999 2000 1999
--------- ---------- --------- --------
<S> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued................................ $ 228,940 $ 244,173 $ 50,897 $ 36,925
Proceeds from shares issued in Marquis acquisition......... -- -- -- 131,827
Proceeds from shares issued in Pegasus acquisition......... -- 1,221,365 -- --
Dividends reinvested....................................... 96,455 32,229 7,968 4,716
Cost of shares redeemed.................................... (498,703) (204,131) (144,037) (62,537)
--------- ---------- --------- --------
Change in net assets from Class I capital transactions..... $(173,308) $1,293,636 $ (85,172) $110,931
========= ========== ========= ========
CLASS A SHARES:
Proceeds from shares issued................................ $ 81,257 $ 69,391 $ 84,269 $ 31,853
Proceeds from shares issued in Marquis acquisition......... -- -- -- 4,842
Proceeds from shares issued in Pegasus acquisition......... -- 265,416 -- --
Dividends reinvested....................................... 17,677 5,259 6,985 5,175
Cost of shares redeemed.................................... (136,966) (104,515) (36,673) (13,842)
--------- ---------- --------- --------
Change in net assets from Class A Capital transactions..... $ (38,032) $ 235,551 $ 54,581 $ 28,028
========= ========== ========= ========
CLASS B SHARES:
Proceeds from shares issued................................ $ 11,587 $ 17,518 $ 101,497 $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 14,981 11,755
Cost of shares redeemed.................................... (10,563) (8,289) (54,914) (23,618)
--------- ---------- --------- --------
Change in net assets from Class B capital transactions..... $ 4,110 $ 21,264 $ 61,564 $116,980
========= ========== ========= ========
CLASS C SHARES:
Proceeds from shares issued................................ $ 11,100 $ 6,971 $ 768
Dividends reinvested....................................... 820 106 --
Cost of shares redeemed.................................... (3,276) (963) (2)
--------- ---------- ---------
Change in net assets from Class C capital transactions..... $ 8,644 $ 6,114 $ 766
========= ========== =========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued..................................................... 15,733 18,009 3,667 2,761
Issued in Marquis acquisition.............................. -- -- -- 10,055
Issued in Pegasus acquisition.............................. -- 84,872 -- --
Reinvested................................................. 6,675 2,658 581 360
Redeemed................................................... (34,051) (14,566) (10,480) (4,598)
--------- ---------- --------- --------
Change in Class I Shares................................... (11,643) 90,973 (6,232) 8,578
========= ========== ========= ========
CLASS A SHARES:
Issued..................................................... 5,563 4,832 6,116 2,324
Issued in Marquis acquisition.............................. -- -- -- 379
Issued in Pegasus acquisition.............................. -- 18,470 -- --
Reinvested................................................. 1,226 431 508 390
Redeemed................................................... (9,378) (7,220) (2,669) (1,030)
--------- ---------- --------- --------
Change in Class A Shares................................... (2,589) 16,513 3,955 2,063
========= ========== ========= ========
CLASS B SHARES:
Issued..................................................... 803 1,175 7,328 8,995
Issued in Marquis acquisition.............................. -- -- -- 368
Issued in Pegasus acquisition.............................. -- 725 -- --
Reinvested................................................. 218 144 1,086 884
Redeemed................................................... (738) (473) (3,983) (1,744)
--------- ---------- --------- --------
Change in Class B Shares................................... 283 1,571 4,431 8,503
========= ========== ========= ========
CLASS C SHARES:
Issued..................................................... 768 509 54
Reinvested................................................. 57 9 --
Redeemed................................................... (226) (75) --(a)
--------- ---------- ---------
Change in Class C Shares................................... 599 443 54
========= ========== =========
</TABLE>
------------
(a) Amount is less than 1,000.
See notes to financial statements.
158
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--------------------------------------------------------------------------------
SCHEDULES OF CAPITAL STOCK ACTIVITY
(Amounts in Thousands)
<TABLE>
<CAPTION>
EQUITY MARKET
INDEX FUND EXPANSION INDEX
----------------------- --------------------------------------
YEAR YEAR YEAR SIX MONTHS JULY 31,
ENDED ENDED ENDED ENDED 1998 TO
JUNE 30, JUNE 30, JUNE 30, JUNE 30, DECEMBER 31,
2000 1999 2000 1999 (a) 1998 (b)
--------- ---------- -------- ---------- ------------
<S> <C> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued................................ $ 426,524 $ 174,081 $14,200 $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....................................... 19,583 12,878 4,906 619 893
Cost of shares redeemed.................................... (399,860) (203,117) (16,109) (3,116) (2,485)
--------- ---------- -------- ------ -------
Change in net assets from Class I capital transactions..... $ 46,247 $1,006,151 $ 2,997 $1,028 $26,244
========= ========== ======== ====== =======
CLASS A SHARES:
Proceeds from shares issued................................ $ 376,379 $ 254,473 $ 1,804 $ 234 $ 28
Proceeds from shares issued in Pegasus acquisition......... -- 346,768 -- -- --
Dividends reinvested....................................... 15,250 10,991 233 --(c) --(c)
Cost of shares redeemed.................................... (258,745) (167,505) (190) --(c) --
--------- ---------- -------- ------ -------
Change in net assets from Class A Capital transactions..... $ 132,884 $ 444,727 $ 1,847 $ 234 $ 28
========= ========== ======== ====== =======
CLASS B SHARES:
Proceeds from shares issued................................ $ 204,845 $ 151,543 $ 2,161 $ 405 $ --(c)
Proceeds from shares issued in Pegasus acquisition......... -- 6,353 -- -- --
Dividends reinvested....................................... 8,521 13,505 298 1 --(c)
Cost of shares redeemed.................................... (84,817) (59,306) (213) (117) --
--------- ---------- -------- ------ -------
Change in net assets from Class B capital transactions..... $ 128,549 $ 112,095 $ 2,246 $ 289 $ --(c)
========= ========== ======== ====== =======
CLASS C SHARES:
Proceeds from shares issued................................ $ 84,267 $ 53,973 $ 191 $ 16
Dividends reinvested....................................... 1,263 413 23 --(c)
Cost of shares redeemed.................................... (16,869) (4,159) (43) --(c)
--------- ---------- -------- ------
Change in net assets from Class C capital transactions..... $ 68,661 $ 50,227 $ 171 $ 16
========= ========== ======== ======
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued..................................................... 13,268 6,096 1,521 352 141
Issued in Pegasus acquisition.............................. -- 24,863 -- -- 2,644
Issued in conversion....................................... -- 9,509 -- -- --
Reinvested................................................. 597 503 592 63 91
Redeemed................................................... (12,409) (7,304) (1,664) (312) (264)
--------- ---------- -------- ------ -------
Change in Class I Shares................................... 1,456 33,667 449 103 2,612
========= ========== ======== ====== =======
CLASS A SHARES:
Issued..................................................... 11,744 8,685 193 23 3
Issued in Pegasus acquisition.............................. -- 11,516 -- -- --
Reinvested................................................. 467 412 28 --(c) --(c)
Redeemed................................................... (8,044) (5,621) (19) --(c) --
--------- ---------- -------- ------ -------
Change in Class A Shares................................... 4,167 14,992 202 23 3
========= ========== ======== ====== =======
CLASS B SHARES:
Issued..................................................... 6,427 5,293 231 40 --(c)
Issued in Pegasus acquisition.............................. -- 211 -- -- --
Reinvested................................................. 261 514 36 --(c) --(c)
Redeemed................................................... (2,646) (2,116) (23) (11) --
--------- ---------- -------- ------ -------
Change in Class B Shares................................... 4,042 3,902 244 29 --(c)
========= ========== ======== ====== =======
CLASS C SHARES:
Issued..................................................... 2,639 1,867 20 1
Reinvested................................................. 39 15 3 --(c)
Redeemed................................................... (523) (141) (4) --(c)
--------- ---------- -------- ------
Change in Class C Shares................................... 2,155 1,741 19 1
========= ========== ======== ======
</TABLE>
------------
(a) Upon reorganizing as a fund of One Group Mutual Funds, the Pegasus Market
Expansion Index Fund became the Market Expansion Index Fund. The Schedules
of Capital Stock Activity for the periods prior to March 22, 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.
159
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--------------------------------------------------------------------------------
SCHEDULES OF CAPITAL STOCK ACTIVITY
(Amounts in Thousands)
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY DIVERSIFIED
INDEX FUND INTERNATIONAL FUND
---------------------- ---------------------------------------
YEAR YEAR YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED
JUNE 30, JUNE 30, JUNE 30, JUNE 30, DECEMBER 31,
2000 1999 2000 1999 (A) 1998
--------- --------- --------- ---------- ------------
<S> <C> <C> <C> <C> <C>
CAPITAL TRANSACTIONS:
CLASS I SHARES:
Proceeds from shares issued............................... $ 181,110 $ 148,687 $ 225,613 $ 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................................... (159,922) (104,900) (84,705) (44,735) (101,966)
--------- --------- --------- -------- ---------
Change in net assets from Class I capital transactions.... $ 29,407 $ 48,090 $ 146,908 $(18,595) $ 9,711
========= ========= ========= ======== =========
CLASS A SHARES:
Proceeds from shares issued............................... $ 359,867 $ 189,671 $ 159,881 $ 22,419 $ 26,637
Proceeds from shares issued in Marquis acquisition........ -- 305 -- -- --
Dividends reinvested...................................... 716 1,546 531 128 391
Cost of shares redeemed................................... (359,050) (163,287) (167,263) (35,203) (14,357)
--------- --------- --------- -------- ---------
Change in net assets from Class A capital transactions.... $ 1,533 $ 28,235 $ (6,851) $(12,656) $ 12,671
========= ========= ========= ======== =========
CLASS B SHARES:
Proceeds from shares issued............................... $ 15,117 $ 6,916 $ 5,376 $ 400 $ 818
Proceeds from shares issued in Marquis acquisition........ -- 268 -- -- --
Dividends reinvested...................................... 311 902 58 5 19
Cost of shares redeemed................................... (7,728) (3,621) (1,017) (658) (310)
--------- --------- --------- -------- ---------
Change in net assets from Class B capital transactions.... $ 7,700 $ 4,465 $ 4,417 $ (253) $ 527
========= ========= ========= ======== =========
CLASS C SHARES:
Proceeds from shares issued............................... $ 9,614 $ 2,259 $ 737 $ 5
Dividends reinvested...................................... 92 24 2 --
Cost of shares redeemed................................... (1,267) (153) (7) --
--------- --------- --------- --------
Change in net assets from Class C Capital transactions.... $ 8,439 $ 2,130 $ 732 $ 5
========= ========= ========= ========
SHARE TRANSACTIONS:
CLASS I SHARES:
Issued.................................................... 8,595 8,534 12,473 1,809 8,439
Issued in Marquis acquisition............................. -- 63 -- -- --
Reinvested................................................ 394 188 339 18 162
Redeemed.................................................. (7,559) (6,114) (5,037) (3,100) (7,899)
--------- --------- --------- -------- ---------
Change in Class I Shares.................................. 1,430 2,671 7,775 (1,273) 702
========= ========= ========= ======== =========
CLASS A SHARES:
Issued.................................................... 17,786 10,538 9,534 1,550 2,044
Issued in Marquis acquisition............................. -- 17 -- -- --
Reinvested................................................ 34 90 29 9 30
Redeemed.................................................. (17,663) (9,001) (9,889) (2,428) (1,095)
--------- --------- --------- -------- ---------
Change in Class A Shares.................................. 157 1,644 (326) (869) 979
========= ========= ========= ======== =========
CLASS B SHARES:
Issued.................................................... 745 410 320 28 65
Issued in Marquis acquisition............................. -- 16 -- -- --
Reinvested................................................ 16 55 3 --(b) 1
Redeemed.................................................. (388) (216) (61) (48) (26)
--------- --------- --------- -------- ---------
Change in Class B Shares.................................. 373 265 262 (20) 40
========= ========= ========= ======== =========
CLASS C SHARES:
Issued.................................................... 465 127 44 --(b)
Reinvested................................................ 4 1 --(b) --
Redeemed.................................................. (60) (9) --(b) --
--------- --------- --------- --------
Change in Class C Shares.................................. 409 119 44 --(b)
========= ========= ========= ========
</TABLE>
------------
(a) Upon reorganizing as a fund of One Group Mutual Funds, the Pegasus
International Equity Fund became the Diversified International Fund. The
Schedules of Capital Stock Activity for the periods prior to March 22, 1999
represent the Pegasus International Equity Fund.
(b) Amount is less than 1,000.
See notes to financial statements.
160
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--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SMALL CAP GROWTH FUND
----------------------------------------------------------------
CLASS I SHARES
----------------------------------------------------------------
MARCH 26,
YEAR ENDED JUNE 30, 1996 TO
------------------------------------------------- JUNE 30,
2000 1999 1998 1997 1996 (a)
-------- -------- -------- ------- ---------
<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).......... (0.03) -- -- (0.02) --
Net realized and unrealized gains
(losses) from investments.......... 3.26 (0.24) 2.44 1.31 0.78
-------- -------- -------- ------- -------
Total from Investment Activities... 3.23 (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.......... $ 12.97 $ 10.62 $ 12.05 $ 10.94 $ 10.75
======== ======== ======== ======= =======
Total Return............................ 32.26% (0.72)% 23.58% 13.44% 13.39%(b)(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)..... $253,626 $130,974 $114,951 $78,318 $83,371
Ratio of expenses to average net
assets............................. 1.05% 1.06% 1.06% 1.02% 0.96%(d)
Ratio of net investment income to
average net assets................. (0.23)% 0.00% (0.05)% (0.16)% (0.16)%(d)
Ratio of expenses to average
net assets*........................ 1.06% 1.09% 1.09% 1.12% 1.05%(d)
Portfolio turnover (e)................ 163.03% 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 One Group Mutual Funds.
(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.
161
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--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SMALL CAP GROWTH FUND
------------------------------------------------------------------------------------
CLASS A SHARES
------------------------------------------------------------------------------------
SEVEN MONTHS YEAR
YEAR ENDED JUNE 30, ENDED ENDED
---------------------------------------------- JUNE 30, NOVEMBER 30,
2000 1999 1998 1997 1996 (a) 1995
------- ------- ------- ------- -------------- ------------
<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.................. 3.19 (0.20) 2.44 1.35 1.40 2.35
------- ------- ------- ------- ------- -------
Total from Investment
Activities................ 3.18 (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... $ 12.91 $ 10.61 $ 12.02 $ 10.94 $ 10.73 $ 11.50
======= ======= ======= ======= ======= =======
Total Return (Excludes Sales
Charge)........................ 31.79% (0.53)% 23.28% 13.52% 12.85%(b) 25.07%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000)........................ $71,858 $22,081 $21,634 $17,299 $18,356 $95,467
Ratio of expenses to average
net assets................... 1.30% 1.31% 1.31% 1.27% 1.05%(c) 1.03%
Ratio of net investment income
to average net assets........ (0.48)% (0.24)% (0.31)% (0.41)% 0.33%(c) (0.36)%
Ratio of expenses to average
net assets*.................. 1.41% 1.44% 1.44% 1.45% 1.07%(c) 1.03%
Portfolio turnover (d)......... 163.03% 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 One Group Mutual Funds, the Paragon Gulf
South Growth Fund became the Small Cap 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.
162
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--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SMALL CAP GROWTH FUND
----------------------------------------------------------------------------------
CLASS B SHARES
----------------------------------------------------------------------------------
SEVEN MONTHS YEAR
YEAR ENDED JUNE 30, ENDED ENDED
-------------------------------------------- JUNE 30, NOVEMBER 30,
2000 1999 1998 1997 1996 (a) 1995
------- ------- ------ ------ -------------- ------------
<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)..... (0.01) (0.06) (0.03) (0.10) (0.06) (0.07)
Net realized and unrealized gains
(losses) from investments...... 2.99 (0.28) 2.31 1.32 1.35 2.33
------- ------- ------ ------ ------ ------
Total from Investment
Activities.................. 2.98 (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..... $ 12.36 $ 10.26 $11.79 $10.84 $10.72 $11.56
======= ======= ====== ====== ====== ======
Total Return (Excludes Sales
Charge).......................... 30.89% (1.69)% 22.24% 12.74% 12.47%(b) 24.21%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000).......................... $27,843 $10,278 $8,567 $3,835 $2,545 $1,814
Ratio of expenses to average net
assets......................... 2.05% 2.06% 2.06% 2.02% 1.87%(c) 1.78%
Ratio of net investment income to
average net assets............. (1.23)% (1.00)% (1.02)% (1.16)% (1.10)%(c) (1.16)%
Ratio of expenses to average net
assets*........................ 2.06% 2.09% 2.09% 2.12% 1.92%(c) 1.78%
Portfolio turnover (d)........... 163.03% 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 One Group Mutual Funds, the Paragon Gulf
South Growth Fund became the Small Cap 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.
163
<PAGE> 166
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SMALL CAP GROWTH FUND
------------------------------------
CLASS C SHARES
------------------------------------
NOVEMBER 4,
YEAR ENDED JUNE 30, 1997 TO
------------------- JUNE 30,
2000 1999 1998 (a)
------ ------ -----------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $10.43 $11.97 $13.03
------ ------ ------
Investment Activities:
Net investment income (loss).............................. -- (0.08) (0.02)
Net realized and unrealized gains (losses) from
investments............................................ 3.07 (0.27) 0.29
------ ------ ------
Total from Investment Activities....................... 3.07 (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.............................. $12.62 $10.43 $11.97
====== ====== ======
Total Return (Excludes Sales Charge)........................ 31.27% (1.75)% 3.08%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $ 770 $ 129 $ 90
Ratio of expenses to average net assets................... 2.05% 2.06% 2.05%(c)
Ratio of net investment income to average net assets...... (1.24)% (1.02)% (0.85)%(c)
Ratio of expenses to average net assets*.................. 2.06% 2.09% 2.07%(c)
Portfolio turnover (d).................................... 163.03% 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.
164
<PAGE> 167
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SMALL CAP VALUE FUND
------------------------------------------------------------------------------------
CLASS I SHARES
------------------------------------------------------------------------------------
YEAR SIX MONTHS JANUARY 27,
ENDED ENDED YEAR ENDED DECEMBER 31, 1995 TO
JUNE 30, JUNE 30, ------------------------------------ DECEMBER 31,
2000 1999 (a) 1998 1997 1996 1995 (b)
-------- ---------- -------- -------- -------- ------------
<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)...................... 0.13 (0.02) (0.07) (0.05) (0.01) 0.06
Net realized and unrealized
gains (losses) from
investments................. (0.53) (0.66) (0.60) 4.24 3.13 2.44
-------- -------- -------- -------- -------- -------
Total from Investment
Activities............... (0.40) (0.68) (0.67) 4.19 3.12 2.50
-------- -------- -------- -------- -------- -------
Distributions:
Net investment income......... (0.12) -- -- -- -- (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......... (0.12) (0.08) (0.53) (1.77) (1.51) (0.31)
-------- -------- -------- -------- -------- -------
NET ASSET VALUE, END OF PERIOD.. $ 13.74 $ 14.26 $ 15.02 $ 16.22 $ 13.80 $ 12.19
======== ======== ======== ======== ======== =======
Total Return.................... (2.78)% (4.48)%(c) (4.11)% 30.60% 25.63% 25.08%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of
period (000)................ $179,923 $246,712 $276,754 $217,908 $125,840 $92,926
Ratio of expenses to average
net assets.................. 0.93% 0.94%(d) 0.94% 0.93% 0.88% 0.85%(d)
Ratio of net investment income
to average net assets....... 0.83% (0.35)%(d) (0.48)% (0.43)% (0.04)% 0.59%(d)
Ratio of expenses to average
net assets*................. 1.05% 1.03%(d) 0.94% 0.93% 1.02% 1.09%(d)
Portfolio turnover (e)........ 146.46% 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 One Group Mutual Funds, the Pegasus Small Cap
Opportunity Fund became the Small Cap Value Fund. The Financial Highlights
for the periods prior to March 22, 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.
165
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One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SMALL CAP VALUE FUND
--------------------------------------------------------------------------------
CLASS A SHARES
--------------------------------------------------------------------------------
YEAR SIX MONTHS JANUARY 27,
ENDED ENDED YEAR ENDED DECEMBER 31, 1995 TO
JUNE 30, JUNE 30, -------------------------------- DECEMBER 31,
2000 1999 (a) 1998 1997 1996 1995 (b)
-------- ---------- ------- ------- ------ ------------
<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)....... 0.03 (0.05) (0.10) (0.06) (0.02) 0.02
Net realized and unrealized gains
(losses) from investments........ (0.45) (0.64) (0.59) 4.16 3.02 2.45
------- ------- ------- ------- ------ ------
Total from Investment
Activities.................... (0.42) (0.69) (0.69) 4.10 3.00 2.47
------- ------- ------- ------- ------ ------
Distributions:
Net investment income.............. (0.10) -- -- -- -- (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.............. (0.10) (0.08) (0.53) (1.77) (1.50) (0.27)
------- ------- ------- ------- ------ ------
NET ASSET VALUE, END OF PERIOD....... $ 13.52 $ 14.04 $ 14.81 $ 16.03 $13.70 $12.20
======= ======= ======= ======= ====== ======
Total Return (Excludes Sales
Charge)............................ (2.94)% (4.61)%(c) (4.29)% 30.16% 24.59% 24.80%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000)............................ $14,725 $26,592 $32,217 $21,836 $6,697 $ 672
Ratio of expenses to average net
assets........................... 1.18% 1.17%(d) 1.19% 1.18% 1.13% 1.25%(d)
Ratio of net investment income to
average net assets............... 0.60% (0.58)%(d) (0.73)% (0.68)% (0.29)% 0.19%(d)
Ratio of expenses to average
net assets*...................... 1.40% 1.29%(d) 1.19% 1.18% 1.24% 2.56%(d)
Portfolio turnover (e)............. 146.46% 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 One Group Mutual Funds, the Pegasus Small Cap
Opportunity Fund became the Small Cap Value Fund. The Financial Highlights
for the periods prior to March 22, 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.
166
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--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SMALL CAP VALUE FUND
------------------------------------------------------------------------------
CLASS B SHARES
------------------------------------------------------------------------------
YEAR SIX MONTHS JANUARY 27,
ENDED ENDED YEAR ENDED DECEMBER 31, 1995 TO
JUNE 30, JUNE 30, ------------------------------ DECEMBER 31,
2000 1999 (a) 1998 1997 1996 1995 (b)
-------- ---------- ------ ------ ------ ------------
<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)........ (0.06) (0.11) (0.17) (0.07) (0.04) (0.03)
Net realized and unrealized gains
(losses) from investments......... (0.44) (0.59) (0.63) 4.00 3.00 2.40
------ ------ ------ ------ ------ ------
Total from Investment
Activities..................... (0.50) (0.70) (0.80) 3.93 2.96 2.37
------ ------ ------ ------ ------ ------
Distributions:
Net investment income............... (0.06) -- -- -- -- --
Net realized gains.................. -- (0.08) (0.46) (1.77) (1.50) (0.25)
In excess of net realized gains..... -- -- (0.07) -- -- --
------ ------ ------ ------ ------ ------
Total Distributions............... (0.06) (0.08) (0.53) (1.77) (1.50) (0.25)
------ ------ ------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD........ $13.07 $13.63 $14.41 $15.74 $13.58 $12.12
====== ====== ====== ====== ====== ======
Total Return (Excludes Sales
Charge)............................. (3.67)% (4.81)%(c) (5.11)% 29.17% 24.42% 23.76%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)... $2,531 $3,320 $4,014 $1,799 $ 110 $ 15
Ratio of expenses to average
net assets........................ 1.93% 1.94%(d) 1.94% 1.93% 1.88% 2.00%(d)
Ratio of net investment income to
average net assets................ (0.14)% (1.34)%(d) (1.48)% (1.43)% (1.04)% (0.51)%(d)
Ratio of expenses to average
net assets*....................... 2.05% 2.02%(d) 1.94% 1.93% 3.04% 9.52%(d)
Portfolio turnover (e).............. 146.46% 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 One Group Mutual Funds, the Pegasus Small Cap
Opportunity Fund became the Small Cap Value Fund. The Financial Highlights
for the periods prior to March 22, 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.
167
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One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
SMALL CAP VALUE FUND
--------------------
CLASS C SHARES
--------------------
YEAR MARCH 22,
ENDED 1999 TO
JUNE 30, JUNE 30,
2000 1999 (a)
-------- ---------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $13.60 $12.07
------ ------
Investment Activities:
Net investment income (loss).............................. 0.06 --
Net realized and unrealized gains (losses) from
investments............................................ (0.55) 1.53
------ ------
Total from Investment Activities....................... (0.49) 1.53
------ ------
Distributions:
Net investment income..................................... (0.06) --
------ ------
Total Distributions.................................... (0.06) --
------ ------
NET ASSET VALUE, END OF PERIOD.............................. $13.05 $13.60
====== ======
Total Return (Excludes Sales Charge)........................ (3.57)% 12.68%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $ 50 $ 19
Ratio of expenses to average net assets................... 1.94% 1.94%(c)
Ratio of net investment income to average net assets...... 0.21% (1.13)%(c)
Ratio of expenses to average net assets*.................. 2.06% 2.11%(c)
Portfolio turnover (d).................................... 146.46% 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.
168
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One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MID CAP GROWTH FUND
------------------------------------------------------------
CLASS I SHARES
------------------------------------------------------------
YEAR ENDED JUNE 30,
------------------------------------------------------------
2000 1999 1998 1997 1996
---------- ---------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD... $ 25.32 $ 22.51 $ 19.46 $ 18.81 $ 18.40
---------- ---------- -------- -------- --------
Investment Activities:
Net investment income (loss)......... (0.10) (0.07) (0.07) 0.25 0.20
Net realized and unrealized gains
(losses) from investments......... 8.59 5.58 5.70 3.59 3.83
---------- ---------- -------- -------- --------
Total from Investment
Activities...................... 8.49 5.51 5.63 3.84 4.03
---------- ---------- -------- -------- --------
Distributions:
Net investment income................ -- -- -- (0.25) (0.20)
In excess of net investment income... -- -- -- (0.02) --
Net realized gains................... (4.08) (2.70) (2.58) (2.92) (3.42)
---------- ---------- -------- -------- --------
Total Distributions............... (4.08) (2.70) (2.58) (3.19) (3.62)
---------- ---------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD......... $ 29.73 $ 25.32 $ 22.51 $ 19.46 $ 18.81
========== ========== ======== ======== ========
Total Return........................... 36.65% 28.39% 31.11% 22.75% 24.63%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000).... $1,624,824 $1,164,884 $868,901 $623,911 $532,525
Ratio of expenses to average net
assets............................ 0.99% 0.99% 1.00% 0.99% 1.00%
Ratio of net investment income to
average net assets................ (0.38)% (0.35)% (0.36)% 1.32% 1.15%
Ratio of expenses to average net
assets*........................... 0.99% 0.99% 1.00% 0.99% 1.01%
Portfolio turnover (a)............... 181.78% 141.46% 158.43% 301.35% 435.30%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) 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.
169
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One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MID CAP GROWTH FUND
-----------------------------------------------------
CLASS A SHARES
-----------------------------------------------------
YEAR ENDED JUNE 30,
-----------------------------------------------------
2000 1999 1998 1997 1996
-------- -------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD......... $ 25.02 $ 22.36 $ 19.37 $ 18.76 $ 18.36
-------- -------- ------- ------- -------
Investment Activities:
Net investment income (loss)............... (0.11) (0.10) (0.08) 0.21 0.17
Net realized and unrealized gains (losses)
from investments........................ 8.40 5.46 5.65 3.58 3.80
-------- -------- ------- ------- -------
Total from Investment Activities........ 8.29 5.36 5.57 3.79 3.97
-------- -------- ------- ------- -------
Distributions:
Net investment income...................... -- -- -- (0.24) (0.15)
In excess of net investment income......... -- -- -- (0.02) --
Net realized gains......................... (4.08) (2.70) (2.58) (2.92) (3.42)
-------- -------- ------- ------- -------
Total Distributions..................... (4.08) (2.70) (2.58) (3.18) (3.57)
-------- -------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD............... $ 29.23 $ 25.02 $ 22.36 $ 19.37 $ 18.76
======== ======== ======= ======= =======
Total Return (Excludes Sales Charge)......... 36.25% 27.87% 30.95% 22.52% 24.32%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000).......... $343,284 $159,292 $95,647 $43,370 $28,052
Ratio of expenses to average net assets.... 1.24% 1.24% 1.25% 1.25% 1.25%
Ratio of net investment income to average
net assets.............................. (0.64)% (0.60)% (0.60)% 0.92% 0.90%
Ratio of expenses to average net assets*... 1.34% 1.34% 1.35% 1.34% 1.36%
Portfolio turnover (a)..................... 181.78% 141.46% 158.43% 301.35% 435.30%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) 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
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One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MID CAP GROWTH FUND
-----------------------------------------------------
CLASS B SHARES
-----------------------------------------------------
YEAR ENDED JUNE 30,
-----------------------------------------------------
2000 1999 1998 1997 1996
-------- -------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD......... $ 23.67 $ 21.44 $ 18.82 $ 18.43 $ 18.14
-------- -------- ------- ------- -------
Investment Activities:
Net investment income (loss)............... (0.12) (0.18) (0.15) 0.11 0.09
Net realized and unrealized gains (losses)
from investments........................ 7.70 5.11 5.35 3.44 3.69
-------- -------- ------- ------- -------
Total from Investment Activities........ 7.58 4.93 5.20 3.55 3.78
-------- -------- ------- ------- -------
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)
-------- -------- ------- ------- -------
Total Distributions..................... (4.08) (2.70) (2.58) (3.16) (3.49)
-------- -------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD............... $ 27.17 $ 23.67 $ 21.44 $ 18.82 $ 18.43
======== ======== ======= ======= =======
Total Return (Excludes Sales Charge)......... 35.23% 26.96% 29.79% 21.73% 23.53%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000).......... $316,729 $147,600 $90,930 $37,409 $12,910
Ratio of expenses to average net assets.... 1.99% 1.99% 2.00% 2.00% 2.00%
Ratio of net investment income to average
net assets.............................. (1.39)% (1.35)% (1.35)% 0.01% 0.15%
Ratio of expenses to average net assets*... 1.99% 1.99% 2.00% 2.00% 2.01%
Portfolio turnover (a)..................... 181.78% 141.46% 158.43% 301.35% 435.30%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) 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
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One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MID CAP GROWTH FUND
-------------------------------------
CLASS C SHARES
-------------------------------------
NOVEMBER 4,
YEAR ENDED JUNE 30, 1997 TO
-------------------- JUNE 30,
2000 1999 1998 (a)
------- ------- -----------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 25.04 $ 22.42 $21.47
------- ------- ------
Investment Activities:
Net investment income (loss).............................. (0.20) (0.15) (0.04)
Net realized and unrealized gains (losses) from
investments............................................ 8.33 5.47 2.77
------- ------- ------
Total from Investment Activities....................... 8.13 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.............................. $ 29.09 $ 25.04 $22.42
======= ======= ======
Total Return (Excludes Sales Charge)........................ 35.50% 27.57% 14.27%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $64,422 $16,597 $1,088
Ratio of expenses to average net assets................... 1.99% 1.99% 2.01%(c)
Ratio of net investment income to average net assets...... (1.40)% (1.32)% (1.31)%(c)
Portfolio turnover (d).................................... 181.78% 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.
172
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One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MID CAP VALUE FUND
------------------------------------------------------------------
CLASS I SHARES
------------------------------------------------------------------
YEAR ENDED JUNE 30,
------------------------------------------------------------------
2000 1999 1998 1997 1996
-------- ---------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD...... $ 14.88 $ 16.90 $ 15.65 $ 14.69 $ 13.20
-------- ---------- -------- -------- --------
Investment Activities:
Net investment income (loss)............ 0.12 0.13 0.14 0.22 0.29
Net realized and unrealized gains
(losses) from investments............ (0.14) 0.24 3.99 2.57 2.27
-------- ---------- -------- -------- --------
Total from Investment Activities..... (0.02) 0.37 4.13 2.79 2.56
-------- ---------- -------- -------- --------
Distributions:
Net investment income................... (0.12) (0.13) (0.14) (0.22) (0.29)
Net realized gains...................... (1.30) (2.26) (2.74) (1.61) (0.78)
-------- ---------- -------- -------- --------
Total Distributions.................. (1.42) (2.39) (2.88) (1.83) (1.07)
-------- ---------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD............ $ 13.44 $ 14.88 $ 16.90 $ 15.65 $ 14.69
======== ========== ======== ======== ========
Total Return.............................. 0.38% 3.82% 28.27% 20.56% 20.10%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)....... $963,410 $1,057,827 $634,672 $562,302 $522,474
Ratio of expenses to average net
assets............................... 0.97% 0.95% 0.96% 0.98% 0.99%
Ratio of net investment income to
average net assets................... 0.93% 0.94% 0.85% 1.52% 2.04%
Ratio of expenses to average net
assets*.............................. 0.99% 0.96% 0.96% 0.98% 1.00%
Portfolio turnover (a).................. 110.43% 115.65% 106.41% 92.66% 90.55%
</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) 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.
173
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--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MID CAP VALUE FUND
------------------------------------------------------------
CLASS A SHARES
------------------------------------------------------------
YEAR ENDED JUNE 30,
------------------------------------------------------------
2000 1999 1998 1997 1996
------- -------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........... $ 14.93 $ 16.93 $ 15.68 $ 14.72 $ 13.22
------- -------- ------- ------- -------
Investment Activities:
Net investment income (loss)................. 0.09 0.09 0.10 0.19 0.25
Net realized and unrealized gains (losses)
from investments.......................... (0.15) 0.26 3.99 2.57 2.28
------- -------- ------- ------- -------
Total from Investment Activities.......... (0.06) 0.35 4.09 2.76 2.53
------- -------- ------- ------- -------
Distributions:
Net investment income........................ (0.09) (0.09) (0.10) (0.19) (0.25)
Net realized gains........................... (1.30) (2.26) (2.74) (1.61) (0.78)
------- -------- ------- ------- -------
Total Distributions....................... (1.39) (2.35) (2.84) (1.80) (1.03)
------- -------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD................. $ 13.48 $ 14.93 $ 16.93 $ 15.68 $ 14.72
======= ======== ======= ======= =======
Total Return (Excludes Sales Charge)........... 0.05% 3.70% 27.90% 20.21% 19.80%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)............ $88,721 $122,392 $29,443 $23,909 $20,838
Ratio of expenses to average
net assets................................ 1.22% 1.21% 1.21% 1.23% 1.24%
Ratio of net investment income to average net
assets.................................... 0.67% 0.28% 0.60% 1.26% 1.79%
Ratio of expenses to average net assets*..... 1.34% 1.31% 1.31% 1.31% 1.35%
Portfolio turnover (a)....................... 110.43% 115.65% 106.41% 92.66% 90.55%
</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) 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.
174
<PAGE> 177
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MID CAP VALUE FUND
-----------------------------------------------------------
CLASS B SHARES
-----------------------------------------------------------
YEAR ENDED JUNE 30,
-----------------------------------------------------------
2000 1999 1998 1997 1996
------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD............ $ 14.80 $ 16.85 $ 15.64 $ 14.69 $ 13.19
------- ------- ------- ------- -------
Investment Activities:
Net investment income (loss).................. (0.01) -- (0.02) 0.08 0.15
Net realized and unrealized gains (losses)
from investments........................... (0.14) 0.22 3.98 2.55 2.27
------- ------- ------- ------- -------
Total from Investment Activities........... (0.15) 0.22 3.96 2.63 2.42
------- ------- ------- ------- -------
Distributions:
Net investment income......................... (0.01) (0.01) (0.01) (0.07) (0.14)
Net realized gains............................ (1.30) (2.26) (2.74) (1.61) (0.78)
------- ------- ------- ------- -------
Total Distributions........................ (1.31) (2.27) (2.75) (1.68) (0.92)
------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD.................. $ 13.34 $ 14.80 $ 16.85 $ 15.64 $ 14.69
======= ======= ======= ======= =======
Total Return (Excludes Sales Charge)............ (0.61)% 2.76% 26.97% 19.19% 18.93%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)............. $33,734 $41,380 $30,094 $20,499 $16,305
Ratio of expenses to average net assets....... 1.97% 1.95% 1.96% 1.98% 1.99%
Ratio of net investment income to average
net assets................................. (0.07)% (0.25)% (0.15)% 0.51% 1.04%
Ratio of expenses to average net assets*...... 1.99% 1.96% 1.96% 1.98% 2.00%
Portfolio turnover (a)........................ 110.43% 115.65% 106.41% 92.66% 90.55%
</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) 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.
175
<PAGE> 178
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MID CAP VALUE FUND
-----------------------
CLASS C SHARES
-----------------------
YEAR MARCH 22,
ENDED 1999 TO
JUNE 30, JUNE 30,
2000 1999 (a)
-------- ---------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $14.80 $13.34
------ ------
Investment Activities:
Net investment income (loss).............................. 0.03 --
Net realized and unrealized gains (losses) from
investments............................................ (0.15) 1.46
------ ------
Total from Investment Activities....................... (0.12) 1.46
------ ------
Distributions:
Net investment income..................................... (0.03) --
Net realized gains........................................ (1.30) --
------ ------
Total Distributions.................................... (1.33) --
------ ------
NET ASSET VALUE, END OF PERIOD.............................. $13.35 $14.80
====== ======
Total Return (Excludes Sales Charge)........................ (0.40)% 10.98%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $ 169 $ 48
Ratio of expenses to average net assets................... 1.97% 1.95%(c)
Ratio of net investment income to average net assets...... (0.10)% (0.44)%(c)
Ratio of expenses to average net assets*.................. 2.00% 1.96%(c)
Portfolio turnover (d).................................... 110.43% 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.
176
<PAGE> 179
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED MID CAP FUND
--------------------------------------------------------------------------------
CLASS I SHARES
--------------------------------------------------------------------------------
YEAR SIX MONTHS
ENDED ENDED YEAR ENDED DECEMBER 31,
JUNE 30, JUNE 30, --------------------------------------------------
2000 1999 (a) 1998 1997 1996 1995
-------- ---------- -------- -------- -------- --------
<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)..... 0.06 (0.01) (0.01) 0.01 0.04 0.06
Net realized and unrealized gains
(losses)from investments....... 2.59 1.70 0.93 4.88 3.74 2.57
-------- -------- -------- -------- -------- --------
Total from Investment
Activities.................. 2.65 1.69 0.92 4.89 3.78 2.63
-------- -------- -------- -------- -------- --------
Distributions:
Net investment income............ (0.05) -- -- (0.01) (0.04) (0.06)
Net realized gains............... (3.01) (0.05) (1.39) (1.56) (1.28) (0.76)
-------- -------- -------- -------- -------- --------
Total Distributions............ (3.06) (0.05) (1.39) (1.57) (1.32) (0.82)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD..... $ 21.69 $ 22.10 $ 20.46 $ 20.93 $ 17.61 $ 15.15
======== ======== ======== ======== ======== ========
Total Return....................... 14.03% 8.32%(b) 4.61% 27.91% 25.03% 19.88%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000).......................... $832,959 $987,059 $987,256 $803,670 $677,608 $579,094
Ratio of expenses to average net
assets......................... 0.86% 0.90%(c) 0.90% 0.84% 0.81% 0.89%
Ratio of net investment income to
average net assets............. 0.24% (0.09)%(c) (0.08)% 0.05% 0.24% 0.37%
Ratio of expenses to average net
assets*........................ 1.00% 0.97%(c) 0.90% 0.84% 0.81% 0.89%
Portfolio turnover (d)........... 70.01% 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 One Group Mutual Funds, the Pegasus Mid Cap
Opportunity Fund became the Diversified Mid Cap Fund. The Financial
Highlights for the periods prior to March 22, 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.
177
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One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED MID CAP FUND
------------------------------------------------------------------------------
CLASS A SHARES
------------------------------------------------------------------------------
YEAR SIX MONTHS
ENDED ENDED YEAR ENDED DECEMBER 31,
JUNE 30, JUNE 30, ------------------------------------------------
2000 1999 (a) 1998 1997 1996 1995
-------- ---------- -------- -------- ------- -------
<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........ 2.58 1.70 0.92 4.87 3.74 2.57
-------- -------- -------- -------- ------- -------
Total from Investment
Activities.................... 2.57 1.66 0.85 4.84 3.76 2.63
-------- -------- -------- -------- ------- -------
Distributions:
Net investment income.............. (0.02) -- -- -- (0.02) (0.06)
Net realized gains................. (3.01) (0.05) (1.39) (1.56) (1.28) (0.76)
-------- -------- -------- -------- ------- -------
Total Distributions.............. (3.03) (0.05) (1.39) (1.56) (1.30) (0.82)
-------- -------- -------- -------- ------- -------
NET ASSET VALUE, END OF PERIOD....... $ 21.50 $ 21.96 $ 20.35 $ 20.89 $ 17.61 $ 15.15
======== ======== ======== ======== ======= =======
Total Return (Excludes Sales
Charge)............................ 13.74% 8.21%(b) 4.30% 27.56% 24.91% 19.88%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000)............................ $217,623 $242,528 $278,279 $234,020 $91,516 $71,858
Ratio of expenses to average net
assets........................... 1.11% 1.10%(c) 1.15% 1.09% 0.93% 0.89%
Ratio of net investment income to
average net assets............... (0.01)% (0.30)%(c) (0.33)% (0.20)% 0.12% 0.37%
Ratio of expenses to average net
assets*.......................... 1.35% 1.22%(c) 1.15% 1.09% 0.93% 0.89%
Portfolio turnover (d)............. 70.01% 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 One Group Mutual Funds, the Pegasus Mid Cap
Opportunity Fund became the Diversified Mid Cap Fund. The Financial
Highlights for the periods prior to March 22, 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.
178
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One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED MID CAP FUND
-----------------------------------------------------------
CLASS B SHARES
-----------------------------------------------------------
YEAR SIX MONTHS YEAR ENDED SEPTEMBER 23,
ENDED ENDED DECEMBER 31, 1996 TO
JUNE 30, JUNE 30, ---------------- DECEMBER 31,
2000 1999 (a) 1998 1997 1996 (b)
-------- ---------- ------ ------ -------------
<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)................. (0.02) (0.07) (0.09) (0.03) --
Net realized and unrealized gains (losses)
from investments........................... 0.91 0.80 0.45 2.60 0.79
------ ------ ------ ------ ------
Total from Investment Activities........... 0.89 0.73 0.36 2.57 0.79
------ ------ ------ ------ ------
Distributions:
Net investment income........................ (0.01) -- -- -- (0.01)
Net realized gains........................... (3.01) (0.05) (1.39) (1.56) (1.21)
------ ------ ------ ------ ------
Total Distributions........................ (3.02) (0.05) (1.39) (1.56) (1.22)
------ ------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD................. $ 8.10 $10.23 $ 9.55 $10.58 $ 9.57
====== ====== ====== ====== ======
Total Return (Excludes Sales Charge)........... 13.01% 7.76%(c) 3.79% 27.10% 7.94%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)............ $6,771 $6,283 $7,108 $3,965 $ 154
Ratio of expenses to average net
assets..................................... 1.86% 1.88%(d) 1.90% 1.84% 1.81%(d)
Ratio of net investment income to
average net assets......................... (0.75)% (1.08)%(d) (1.08)% (0.95)% (0.59)%(d)
Ratio of expenses to average net
assets*.................................... 2.00% 1.95%(d) 1.90% 1.84% 1.81%(d)
Portfolio turnover (e)....................... 70.01% 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 One Group Mutual Funds, the Pegasus Mid Cap
Opportunity Fund became the Diversified Mid Cap Fund. The Financial
Highlights for the periods prior to March 22, 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.
179
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One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED MID CAP FUND
-------------------------
CLASS C SHARES
-------------------------
YEAR MARCH 22,
ENDED 1999 TO
JUNE 30, JUNE 30,
2000 1999 (a)
--------- ----------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $10.23 $ 8.93
------ ------
Investment Activities:
Net investment income (loss).............................. (0.07) --
Net realized and unrealized gains (losses) from
investments............................................ 0.95 1.30
------ ------
Total from Investment Activities....................... 0.88 1.30
------ ------
Distributions:
Net investment income..................................... (0.01) --
Net realized gains........................................ (3.01) --
------ ------
Total Distributions.................................... (3.02) --
------ ------
NET ASSET VALUE, END OF PERIOD.............................. $ 8.09 $10.23
====== ======
Total Return (Excludes Sales Charge)........................ 12.83% 14.56%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $ 109 $ 15
Ratio of expenses to average net assets................... 1.86% 1.88%(c)
Ratio of net investment income to average net assets...... (0.72)% (1.20)%(c)
Ratio of expenses to average net assets*.................. 2.00% 1.99%(c)
Portfolio turnover (d).................................... 70.01% 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.
180
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One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LARGE CAP GROWTH FUND
----------------------------------------------------------------
CLASS I SHARES
----------------------------------------------------------------
YEAR ENDED JUNE 30,
----------------------------------------------------------------
2000 1999 1998 1997 1996
---------- ---------- ---------- ---------- --------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD...... $ 26.15 $ 22.71 $ 19.44 $ 15.44 $ 13.47
---------- ---------- ---------- ---------- --------
Investment Activities:
Net investment income (loss)............ (0.03) -- 0.04 0.12 0.18
Net realized and unrealized gains
(losses) from investments............. 3.90 5.80 6.13 4.79 2.14
---------- ---------- ---------- ---------- --------
Total from Investment Activities...... 3.87 5.80 6.17 4.91 2.32
---------- ---------- ---------- ---------- --------
Distributions:
Net investment income................... -- -- (0.02) (0.11) (0.18)
Net realized gains...................... (3.34) (2.36) (2.88) (0.80) (0.17)
---------- ---------- ---------- ---------- --------
Total Distributions................... (3.34) (2.36) (2.90) (0.91) (0.35)
---------- ---------- ---------- ---------- --------
NET ASSET VALUE, END OF PERIOD............ $ 26.68 $ 26.15 $ 22.71 $ 19.44 $ 15.44
========== ========== ========== ========== ========
Total Return.............................. 15.30% 28.78% 35.75% 33.11% 17.36%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)....... $3,118,107 $3,052,729 $1,510,521 $1,142,864 $745,986
Ratio of expenses to average net
assets................................ 0.94% 0.96% 0.99% 0.99% 0.96%
Ratio of net investment income to
average net assets.................... (0.12)% 0.07% 0.21% 0.69% 1.20%
Ratio of expenses to average net
assets*............................... 0.94% 0.96% 0.99% 0.99% 0.99%
Portfolio turnover (a).................. 123.21% 86.34% 117.34% 57.17% 35.51%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) 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.
181
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--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LARGE CAP GROWTH FUND
-------------------------------------------------------
CLASS A SHARES
-------------------------------------------------------
YEAR ENDED JUNE 30,
-------------------------------------------------------
2000 1999 1998 1997 1996
-------- -------- -------- -------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD............. $ 26.86 $ 23.32 $ 19.92 $ 15.83 $ 13.83
-------- -------- -------- -------- -------
Investment Activities:
Net investment income (loss)................... (0.07) (0.07) (0.01) 0.08 0.14
Net realized and unrealized gains (losses) from
investments.................................. 3.97 5.97 6.30 4.88 2.17
-------- -------- -------- -------- -------
Total from Investment Activities............. 3.90 5.90 6.29 4.96 2.31
-------- -------- -------- -------- -------
Distributions:
Net investment income.......................... -- -- -- (0.07) (0.14)
In excess of net investment income............. -- -- (0.01) -- --
Net realized gains............................. (3.34) (2.36) (2.88) (0.80) (0.17)
-------- -------- -------- -------- -------
Total Distributions.......................... (3.34) (2.36) (2.89) (0.87) (0.31)
-------- -------- -------- -------- -------
NET ASSET VALUE, END OF PERIOD................... $ 27.42 $ 26.86 $ 23.32 $ 19.92 $ 15.83
======== ======== ======== ======== =======
Total Return (Excludes Sales Charge)............. 14.99% 28.43% 35.43% 32.57% 16.85%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000).............. $662,088 $447,209 $199,052 $125,910 $75,114
Ratio of expenses to average net assets........ 1.19% 1.21% 1.24% 1.24% 1.21%
Ratio of net investment income to average net
assets....................................... (0.38)% (0.43)% (0.04)% 0.44% 0.95%
Ratio of expenses to average net assets*....... 1.29% 1.31% 1.34% 1.32% 1.34%
Portfolio turnover (a)......................... 123.21% 86.34% 117.34% 57.17% 35.51%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) 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.
182
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--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LARGE CAP GROWTH FUND
-------------------------------------------------------
CLASS B SHARES
-------------------------------------------------------
YEAR ENDED JUNE 30,
-------------------------------------------------------
2000 1999 1998 1997 1996
-------- -------- -------- -------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD............. $ 25.92 $ 22.73 $ 19.61 $ 15.63 $ 13.63
-------- -------- -------- -------- -------
Investment Activities:
Net investment income (loss)................... (0.15) (0.09) (0.10) (0.04) 0.05
Net realized and unrealized gains (losses) from
investments.................................. 3.71 5.64 6.10 4.82 2.17
-------- -------- -------- -------- -------
Total from Investment Activities............. 3.56 5.55 6.00 4.78 2.22
-------- -------- -------- -------- -------
Distributions:
Net investment income.......................... -- -- -- -- (0.05)
Net realized gains............................. (3.34) (2.36) (2.88) (0.80) (0.17)
-------- -------- -------- -------- -------
Total Distributions.......................... (3.34) (2.36) (2.88) (0.80) (0.22)
-------- -------- -------- -------- -------
NET ASSET VALUE, END OF PERIOD................... $ 26.14 $ 25.92 $ 22.73 $ 19.61 $ 15.63
======== ======== ======== ======== =======
Total Return (Excludes Sales Charge)............. 14.16% 27.54% 34.39% 31.74% 16.41%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000).............. $978,576 $617,672 $280,563 $132,268 $56,261
Ratio of expenses to average net assets........ 1.94% 1.96% 1.99% 2.00% 1.96%
Ratio of net investment income to average
net assets................................... (1.13)% (0.98)% (0.80)% (0.33)% 0.20%
Ratio of expenses to average net assets*....... 1.94% 1.96% 1.99% 2.00% 1.99%
Portfolio turnover (a)......................... 123.21% 86.34% 117.34% 57.17% 35.51%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) 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.
183
<PAGE> 186
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--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LARGE CAP GROWTH FUND
------------------------------------
CLASS C SHARES
------------------------------------
NOVEMBER 4,
YEAR ENDED JUNE 30, 1997 TO
------------------- JUNE 30,
2000 1999 1998 (a)
------- ------ -----------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 25.71 $22.57 $18.98
------- ------ ------
Investment Activities:
Net investment income (loss).............................. (0.10) (0.04) (0.06)
Net realized and unrealized gains (losses) from
investments............................................. 3.64 5.54 4.99
------- ------ ------
Total from Investment Activities........................ 3.54 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.............................. $ 25.91 $25.71 $22.57
======= ====== ======
Total Return (Excludes Sales Charge)........................ 14.20% 27.52% 27.63%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $55,682 $8,328 $ 492
Ratio of expenses to average net assets................... 1.95% 1.95% 1.98%(c)
Ratio of net investment income to average net assets...... (1.17)% (0.94)% (0.87)%(c)
Portfolio turnover (d).................................... 123.21% 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.
184
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One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LARGE CAP VALUE FUND
--------------------------------------------------------------------
CLASS I SHARES
--------------------------------------------------------------------
YEAR ENDED JUNE 30,
--------------------------------------------------------------------
2000 1999 1998 1997 1996
---------- ---------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD.... $ 18.09 $ 16.70 $ 14.79 $ 12.83 $ 12.87
---------- ---------- -------- -------- --------
Investment Activities:
Net investment income (loss).......... 0.13 0.18 0.21 0.27 0.31
Net realized and unrealized gains
(losses)
from investments................... (1.10) 2.44 2.84 3.01 1.20
---------- ---------- -------- -------- --------
Total from Investment Activities... (0.97) 2.62 3.05 3.28 1.51
---------- ---------- -------- -------- --------
Distributions:
Net investment income................. (0.13) (0.18) (0.21) (0.26) (0.31)
Net realized gains.................... (1.49) (1.05) (0.93) (1.06) (1.24)
---------- ---------- -------- -------- --------
Total Distributions................ (1.62) (1.23) (1.14) (1.32) (1.55)
---------- ---------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD.......... $ 15.50 $ 18.09 $ 16.70 $ 14.79 $ 12.83
========== ========== ======== ======== ========
Total Return............................ (5.64)% 17.26% 21.46% 27.10% 12.71%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)..... $1,474,666 $1,095,686 $792,649 $686,156 $584,527
Ratio of expenses to average net
assets............................. 0.96% 0.95% 0.95% 0.97% 0.97%
Ratio of net investment income to
average net assets................. 0.82% 1.15% 1.34% 1.99% 2.43%
Ratio of expenses to average net
assets*............................ 0.96% 0.95% 0.95% 0.97% 0.98%
Portfolio turnover (a)................ 131.95% 40.69% 47.35% 77.05% 186.84%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
185
<PAGE> 188
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LARGE CAP VALUE FUND
----------------------------------------------------------
CLASS A SHARES
----------------------------------------------------------
YEAR ENDED JUNE 30,
----------------------------------------------------------
2000 1999 1998 1997 1996
------- ------- ------- ------- ------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD............. $ 18.24 $ 16.77 $ 14.85 $ 12.87 $12.89
------- ------- ------- ------- ------
Investment Activities:
Net investment income (loss)................... 0.09 0.14 0.18 0.23 0.27
Net realized and unrealized gains (losses) from
investments................................. (1.14) 2.52 2.84 3.04 1.22
------- ------- ------- ------- ------
Total from Investment Activities............ (1.05) 2.66 3.02 3.27 1.49
------- ------- ------- ------- ------
Distributions:
Net investment income.......................... (0.09) (0.14) (0.17) (0.23) (0.27)
Net realized gains............................. (1.49) (1.05) (0.93) (1.06) (1.24)
------- ------- ------- ------- ------
Total Distributions......................... (1.58) (1.19) (1.10) (1.29) (1.51)
------- ------- ------- ------- ------
NET ASSET VALUE, END OF PERIOD................... $ 15.61 $ 18.24 $ 16.77 $ 14.85 $12.87
======= ======= ======= ======= ======
Total Return (Excludes Sales Charge)............. (6.06)% 17.39% 21.14% 26.90% 12.40%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000).............. $45,190 $28,448 $15,699 $14,832 $9,380
Ratio of expenses to average net assets........ 1.21% 1.20% 1.20% 1.22% 1.22%
Ratio of net investment income to average
net assets.................................. 0.56% 0.90% 1.10% 1.72% 2.18%
Ratio of expenses to average net assets*....... 1.31% 1.30% 1.30% 1.31% 1.33%
Portfolio turnover (a)......................... 131.95% 40.69% 47.35% 77.05% 186.84%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
186
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--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LARGE CAP VALUE FUND
---------------------------------------------------------
CLASS B SHARES
---------------------------------------------------------
YEAR ENDED JUNE 30,
---------------------------------------------------------
2000 1999 1998 1997 1996
------- ------- ------- ------ ------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD.............. $ 18.25 $ 16.84 $ 14.95 $12.98 $12.96
------- ------- ------- ------ ------
Investment Activities:
Net investment income (loss).................... (0.02) 0.03 0.07 0.14 0.18
Net realized and unrealized gains (losses) from
investments.................................. (1.12) 2.48 2.84 3.04 1.26
------- ------- ------- ------ ------
Total from Investment Activities............. (1.14) 2.51 2.91 3.18 1.44
------- ------- ------- ------ ------
Distributions:
Net investment income........................... (0.01) (0.05) (0.09) (0.15) (0.18)
Net realized gains.............................. (1.49) (1.05) (0.93) (1.06) (1.24)
------- ------- ------- ------ ------
Total Distributions.......................... (1.50) (1.10) (1.02) (1.21) (1.42)
------- ------- ------- ------ ------
NET ASSET VALUE, END OF PERIOD.................... $ 15.61 $ 18.25 $ 16.84 $14.95 $12.98
======= ======= ======= ====== ======
Total Return (Excludes Sales Charge).............. (6.56)% 16.30% 20.18% 25.86% 11.95%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)............... $25,795 $24,877 $17,154 $9,288 $4,135
Ratio of expenses to average net assets......... 1.96% 1.95% 1.95% 1.97% 1.97%
Ratio of net investment income to average
net assets................................... (0.18)% 0.15% 0.33% 0.96% 1.43%
Ratio of expenses to average net assets*........ 1.96% 1.95% 1.95% 1.97% 1.98%
Portfolio turnover (a).......................... 131.95% 40.69% 47.35% 77.05% 186.84%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
187
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One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LARGE CAP VALUE FUND
-----------------------
CLASS C SHARES
-----------------------
YEAR MARCH 22,
ENDED 1999 TO
JUNE 30, JUNE 30,
2000 1999 (a)
-------- ---------
<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............................................ (1.15) 1.28
------ ------
Total from Investment Activities....................... (1.16) 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.............................. $15.58 $18.24
====== ======
Total Return (Excludes Sales Charge)........................ (6.63)% 7.74%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $2,536 $ 135
Ratio of expenses to average net assets................... 1.96% 1.95%(c)
Ratio of net investment income to average net assets...... (0.16)% 0.34%(c)
Portfolio turnover (d).................................... 131.95% 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.
188
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--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
EQUITY INCOME FUND
------------------------------------------------------------------
CLASS I SHARES
------------------------------------------------------------------
YEAR ENDED JUNE 30,
------------------------------------------------------------------
2000 1999 1998 1997 1996
-------- ---------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD..................... $ 24.50 $ 24.07 $ 21.93 $ 17.65 $ 15.13
-------- ---------- -------- -------- --------
Investment Activities:
Net investment income (loss)............ 0.33 0.31 0.32 0.36 0.40
Net realized and unrealized gains
(losses) from investments............ (2.32) 2.11 4.36 4.89 3.22
-------- ---------- -------- -------- --------
Total from Investment Activities..... (1.99) 2.42 4.68 5.25 3.62
-------- ---------- -------- -------- --------
Distributions:
Net investment income................... (0.32) (0.31) (0.31) (0.36) (0.40)
Net realized gains...................... (0.94) (1.68) (2.23) (0.61) (0.70)
-------- ---------- -------- -------- --------
Total Distributions.................. (1.26) (1.99) (2.54) (0.97) (1.10)
-------- ---------- -------- -------- --------
NET ASSET VALUE,
END OF PERIOD........................... $21.25... $ 24.50 $ 24.07 $ 21.93 $ 17.65
======== ========== ======== ======== ========
Total Return.............................. (8.34)% 11.29% 23.18% 30.90% 24.53%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)....... $584,810 $1,120,181 $691,878 $649,007 $321,827
Ratio of expenses to average net
assets............................... 0.91% 0.91% 1.00% 1.00% 0.98%
Ratio of net investment income to
average net assets................... 1.44% 1.40% 1.39% 1.91% 2.44%
Ratio of expenses to average net
assets*.............................. 1.01% 0.98% 1.00% 1.00% 1.01%
Portfolio turnover (a).................. 15.82% 16.22% 14.64% 28.18% 14.92%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
189
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--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
EQUITY INCOME FUND
--------------------------------------------------------------
CLASS A SHARES
--------------------------------------------------------------
YEAR ENDED JUNE 30,
--------------------------------------------------------------
2000 1999 1998 1997 1996
-------- -------- -------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD........................ $ 24.45 $ 24.04 $ 21.90 $ 17.64 $ 15.11
-------- -------- -------- ------- -------
Investment Activities:
Net investment income (loss)............... 0.25 0.27 0.25 0.31 0.38
Net realized and unrealized gains (losses)
from investments........................ (2.31) 2.08 4.37 4.87 3.20
-------- -------- -------- ------- -------
Total from Investment Activities........ (2.06) 2.35 4.62 5.18 3.58
-------- -------- -------- ------- -------
Distributions:
Net investment income...................... (0.26) (0.26) (0.25) (0.31) (0.35)
Net realized gains......................... (0.94) (1.68) (2.23) (0.61) (0.70)
-------- -------- -------- ------- -------
Total Distributions..................... (1.20) (1.94) (2.48) (0.92) (1.05)
-------- -------- -------- ------- -------
NET ASSET VALUE,
END OF PERIOD.............................. $ 21.19 $ 24.45 $ 24.04 $ 21.90 $ 17.64
======== ======== ======== ======= =======
Total Return (Excludes Sales Charge)......... (8.61)% 10.94% 22.91% 30.39% 24.23%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000).......... $102,783 $135,420 $117,682 $78,976 $44,284
Ratio of expenses to average net assets.... 1.16% 1.18% 1.25% 1.25% 1.23%
Ratio of net investment income to average
net assets.............................. 1.17% 1.17% 1.15% 1.65% 2.19%
Ratio of expenses to average net assets*... 1.35% 1.34% 1.35% 1.34% 1.36%
Portfolio turnover (a)..................... 15.82% 16.22% 14.64% 28.18% 14.92%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
190
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--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
EQUITY INCOME FUND
--------------------------------------------------------------
CLASS B SHARES
--------------------------------------------------------------
YEAR ENDED JUNE 30,
--------------------------------------------------------------
2000 1999 1998 1997 1996
-------- -------- -------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD........................ $ 24.50 $ 24.08 $ 21.95 $ 17.68 $ 15.14
-------- -------- -------- ------- -------
Investment Activities:
Net investment income (loss)............... 0.09 0.09 0.26 0.17 0.24
Net realized and unrealized gains (losses)
from investments........................ (2.30) 2.10 4.36 4.89 3.23
-------- -------- -------- ------- -------
Total from Investment Activities........ (2.21) 2.19 4.62 5.06 3.47
-------- -------- -------- ------- -------
Distributions:
Net investment income...................... (0.12) (0.09) (0.26) (0.18) (0.23)
Net realized gains......................... (0.94) (1.68) (2.23) (0.61) (0.70)
-------- -------- -------- ------- -------
Total Distributions..................... (1.06) (1.77) (2.49) (0.79) (0.93)
-------- -------- -------- ------- -------
NET ASSET VALUE, END OF PERIOD............... $ 21.23 $ 24.50 $ 24.08 $ 21.95 $ 17.68
======== ======== ======== ======= =======
Total Return (Excludes Sales Charge)......... (9.22)% 10.18% 21.97% 29.48% 23.41%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000).......... $142,259 $197,016 $165,813 $79,518 $29,169
Ratio of expenses to average net assets.... 1.91% 1.93% 1.99% 2.00% 1.98%
Ratio of net investment income to average
net assets.............................. 0.43% 0.40% 0.39% 0.89% 1.44%
Ratio of expenses to average net assets*... 2.00% 1.99% 1.99% 2.00% 2.01%
Portfolio turnover (a)..................... 15.82% 16.22% 14.64% 28.18% 14.92%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
191
<PAGE> 194
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
EQUITY INCOME FUND
-----------------------------------
CLASS C SHARES
-----------------------------------
YEAR ENDED NOVEMBER 4,
JUNE 30, 1997 TO
------------------ JUNE 30,
2000 1999 1998 (a)
------ ------ -----------
<S> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................................... $24.51 $24.08 $21.40
------ ------ ------
Investment Activities:
Net investment income (loss).............................. 0.09 0.10 0.06
Net realized and unrealized gains (losses) from
investments............................................ (2.27) 2.11 3.39
------ ------ ------
Total from Investment Activities....................... (2.18) 2.21 3.45
------ ------ ------
Distributions:
Net investment income..................................... (0.13) (0.10) (0.07)
Net realized gains........................................ (0.94) (1.68) (0.70)
------ ------ ------
Total Distributions.................................... (1.07) (1.78) (0.77)
------ ------ ------
NET ASSET VALUE,
END OF PERIOD............................................. $21.26 $24.51 $24.08
====== ====== ======
Total Return (Excludes Sales Charge)........................ (9.10)% 10.24% 16.57%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $1,215 $ 658 $ 795
Ratio of expenses to average net assets................... 1.94% 1.94% 1.98%(c)
Ratio of net investment income to average net assets...... 0.37% 0.36% 0.38%(c)
Ratio of expenses to average net assets*.................. 2.01% 1.99% 1.98%(c)
Portfolio turnover (d).................................... 15.82% 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.
192
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--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED EQUITY FUND
---------------------------------------------------------------------
CLASS I SHARES
---------------------------------------------------------------------
MARCH 26,
YEAR ENDED JUNE 30, 1996 TO
------------------------------------------------------ JUNE 30,
2000 1999 1998 1997 1996 (a)
---------- ---------- -------- -------- ---------
<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)..... 0.03 0.05 0.08 0.11 0.03
Net realized and unrealized gains
(losses) from investments..... 0.72 2.52 3.36 2.85 0.39
---------- ---------- -------- -------- --------
Total from Investment
Activities.................. 0.75 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..... $ 15.05 $ 15.19 $ 13.51 $ 11.51 $ 10.39
========== ========== ======== ======== ========
Total Return....................... 5.23% 20.72% 32.26% 31.97% 10.49%(b)(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000)......................... $1,895,968 $2,089,940 $630,340 $430,837 $191,212
Ratio of expenses to average net
assets........................ 0.95% 0.95% 0.98% 0.98% 0.95%(d)
Ratio of net investment income to
average net assets............ 0.20% 0.42% 0.66% 1.06% 1.13%(d)
Ratio of expenses to average net
assets*....................... 0.95% 0.95% 0.98% 1.00% 1.04%(d)
Portfolio turnover (e)........... 37.98% 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 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.
193
<PAGE> 196
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED EQUITY FUND
-------------------------------------------------------------------------------------
CLASS A SHARES
-------------------------------------------------------------------------------------
SEVEN MONTHS YEAR
YEAR ENDED JUNE 30, ENDED ENDED
------------------------------------------------ JUNE 30, NOVEMBER 30,
2000 1999 1998 1997 1996 (a) 1995
-------- -------- ------- ------- ------------- ------------
<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)..... -- 0.02 0.05 0.09 0.94 0.12
Net realized and unrealized gains
(losses) from investments...... 0.72 2.51 3.36 2.83 0.08 2.44
-------- -------- ------- ------- ------- --------
Total from Investment
Activities.................. 0.72 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..... $ 15.00 $ 15.16 $ 13.50 $ 11.50 $ 10.39 $ 11.15
======== ======== ======= ======= ======= ========
Total Return (Excludes Sales
Charge).......................... 4.97% 20.36% 31.96% 31.53% 10.40%(b) 29.57%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000).......................... $298,378 $340,736 $80,500 $47,306 $35,984 $217,978
Ratio of expenses to average
net assets..................... 1.20% 1.20% 1.23% 1.23% 0.97%(c) 0.95%
Ratio of net investment income to
average net assets............. (0.05)% 0.10% 0.40% 0.83% 0.85%(c) 1.25%
Ratio of expenses to average net
assets*........................ 1.30% 1.30% 1.33% 1.34% 1.05%(c) 0.95%
Portfolio turnover (d)........... 37.98% 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 One Group Mutual Funds, the Paragon Value
Growth Fund became the Diversified Equity 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.
194
<PAGE> 197
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED EQUITY FUND
----------------------------------------------------------------------------------
CLASS B SHARES
----------------------------------------------------------------------------------
SEVEN MONTHS YEAR
YEAR ENDED JUNE 30, ENDED ENDED
---------------------------------------------- JUNE 30, NOVEMBER 30,
2000 1999 1998 1997 1996 (a) 1995
------- ------- ------- ------- ------------ ------------
<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)....... (0.10) (0.07) (0.02) 0.01 0.91 0.05
Net realized and unrealized gains
(losses) from investments........ 0.70 2.48 3.31 2.82 0.07 2.46
------- ------- ------- ------- ------ ------
Total from Investment
Activities.................... 0.60 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....... $ 14.70 $ 14.97 $ 13.40 $ 11.47 $10.39 $11.16
======= ======= ======= ======= ====== ======
Total Return (Excludes Sales
Charge)............................ 4.23% 19.52% 30.89% 30.52% 9.96%(b) 28.74%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000)............................ $55,227 $52,004 $25,501 $10,517 $4,673 $2,923
Ratio of expenses to average
net assets....................... 1.95% 1.96% 1.98% 1.98% 1.86%(c) 1.70%
Ratio of net investment income to
average net assets............... (0.80)% (0.80)% (0.35)% 0.07% 0.13%(c) 0.38%
Ratio of expenses to average
net assets*...................... 1.95% 1.96% 1.98% 2.00% 1.94%(c) 1.70%
Portfolio turnover (d)............. 37.98% 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 One Group Mutual Funds, the Paragon Value
Growth Fund became the Diversified Equity 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.
195
<PAGE> 198
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED EQUITY FUND
------------------------------------
CLASS C SHARES
------------------------------------
NOVEMBER 4,
YEAR ENDED JUNE 30, 1997 TO
------------------- JUNE 30,
2000 1999 1998 (a)
------- ------ -----------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 15.06 $13.47 $11.76
------- ------ ------
Investment Activities:
Net investment income (loss).............................. (0.08) (0.03) --
Net realized and unrealized gains (losses) from
investments............................................ 0.69 2.46 2.35
------- ------ ------
Total from Investment Activities....................... 0.61 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.............................. $ 14.80 $15.06 $13.47
======= ====== ======
Total Return (Excludes Sales Charge)........................ 4.27% 19.57% 20.87%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $16,780 $8,058 $1,234
Ratio of expenses to average net assets................... 1.95% 1.96% 1.99%(c)
Ratio of net investment income to average net assets...... (0.82)% (0.57)% (0.43)%(c)
Portfolio turnover (d).................................... 37.98% 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.
196
<PAGE> 199
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
BALANCED FUND
--------------------------------------------------------------
CLASS I SHARES
--------------------------------------------------------------
YEAR ENDED JUNE 30,
--------------------------------------------------------------
2000 1999 1998 1997 1996
-------- -------- -------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD......... $ 14.13 $ 13.80 $ 12.98 $ 11.71 $ 10.73
-------- -------- -------- ------- -------
Investment Activities:
Net investment income (loss)............... 0.40 0.34 0.40 0.43 0.41
Net realized and unrealized gains (losses)
from investments........................ 0.38 1.28 2.24 1.81 1.16
-------- -------- -------- ------- -------
Total from Investment Activities........ 0.78 1.62 2.64 2.24 1.57
-------- -------- -------- ------- -------
Distributions:
Net investment income...................... (0.39) (0.34) (0.39) (0.43) (0.41)
Net realized gains......................... (0.53) (0.95) (1.43) (0.54) (0.18)
-------- -------- -------- ------- -------
Total Distributions..................... (0.92) (1.29) (1.82) (0.97) (0.59)
-------- -------- -------- ------- -------
NET ASSET VALUE, END OF PERIOD............... $ 13.99 $ 14.13 $ 13.80 $ 12.98 $ 11.71
======== ======== ======== ======= =======
Total Return................................. 5.74% 12.74% 22.12% 20.16% 14.87%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000).......... $139,496 $229,008 $105,243 $94,971 $50,323
Ratio of expenses to average net assets.... 0.88% 0.85% 0.85% 0.80% 0.94%
Ratio of net investment income to average
net assets.............................. 2.81% 2.59% 3.03% 3.55% 3.58%
Ratio of expenses to average net assets*... 0.98% 0.95% 1.03% 1.00% 1.19%
Portfolio turnover (a)..................... 57.08% 85.81% 46.04% 80.96% 73.38%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
197
<PAGE> 200
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
BALANCED FUND
------------------------------------------------------------
CLASS A SHARES
------------------------------------------------------------
YEAR ENDED JUNE 30,
------------------------------------------------------------
2000 1999 1998 1997 1996
-------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........... $ 14.14 $ 13.81 $ 13.00 $ 11.72 $ 10.74
-------- ------- ------- ------- -------
Investment Activities:
Net investment income (loss)................. 0.34 0.31 0.36 0.39 0.37
Net realized and unrealized gains (losses)
from investments.......................... 0.40 1.28 2.24 1.83 1.16
-------- ------- ------- ------- -------
Total from Investment Activities.......... 0.74 1.59 2.60 2.22 1.53
-------- ------- ------- ------- -------
Distributions:
Net investment income........................ (0.35) (0.31) (0.36) (0.40) (0.37)
Net realized gains........................... (0.53) (0.95) (1.43) (0.54) (0.18)
-------- ------- ------- ------- -------
Total Distributions....................... (0.88) (1.26) (1.79) (0.94) (0.55)
-------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD................. $ 14.00 $ 14.14 $ 13.81 $ 13.00 $ 11.72
======== ======= ======= ======= =======
Total Return (Excludes Sales Charge)........... 5.48% 12.45% 21.71% 19.85% 14.48%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)............ $135,367 $80,819 $50,456 $31,379 $17,849
Ratio of expenses to average net assets...... 1.13% 1.10% 1.10% 1.05% 1.19%
Ratio of net investment income to average
net assets................................ 2.53% 2.33% 2.77% 3.30% 3.33%
Ratio of expenses to average net assets*..... 1.34% 1.30% 1.38% 1.34% 1.54%
Portfolio turnover (a)....................... 57.08% 85.81% 46.04% 80.96% 73.38%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
198
<PAGE> 201
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
BALANCED FUND
--------------------------------------------------------------
CLASS B SHARES
--------------------------------------------------------------
YEAR ENDED JUNE 30,
--------------------------------------------------------------
2000 1999 1998 1997 1996
-------- -------- -------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD......... $ 14.20 $ 13.87 $ 13.04 $ 11.76 $ 10.76
-------- -------- -------- ------- -------
Investment Activities:
Net investment income (loss)............... 0.25 0.21 0.26 0.30 0.28
Net realized and unrealized gains (losses)
from investments........................ 0.39 1.28 2.26 1.83 1.18
-------- -------- -------- ------- -------
Total from Investment Activities........ 0.64 1.49 2.52 2.13 1.46
-------- -------- -------- ------- -------
Distributions:
Net investment income...................... (0.25) (0.21) (0.26) (0.31) (0.28)
Net realized gains......................... (0.53) (0.95) (1.43) (0.54) (0.18)
-------- -------- -------- ------- -------
Total Distributions..................... (0.78) (1.16) (1.69) (0.85) (0.46)
-------- -------- -------- ------- -------
NET ASSET VALUE, END OF PERIOD............... $ 14.06 $ 14.20 $ 13.87 $ 13.04 $ 11.76
======== ======== ======== ======= =======
Total Return (Excludes Sales Charge)......... 4.67% 11.59% 20.95% 18.90% 13.79%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000).......... $298,355 $238,490 $114,957 $43,900 $18,575
Ratio of expenses to average net assets.... 1.88% 1.85% 1.85% 1.81% 1.94%
Ratio of net investment income to average
net assets.............................. 1.79% 1.58% 2.01% 2.54% 2.58%
Ratio of expenses to average net assets*... 1.99% 1.95% 2.03% 2.01% 2.19%
Portfolio turnover (a)..................... 57.08% 85.81% 46.04% 80.96% 73.38%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratio would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
199
<PAGE> 202
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
BALANCED FUND
--------------
CLASS C SHARES
--------------
MAY 30,
2000 TO
JUNE 30,
2000 (a)
--------------
<S> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $13.75
------
Investment Activities:
Net investment income (loss).............................. 0.01
Net realized and unrealized gains (losses) from
investments............................................ 0.33
------
Total from Investment Activities....................... 0.34
------
Distributions:
Net investment income..................................... (0.03)
------
Total Distributions.................................... (0.03)
------
NET ASSET VALUE, END OF PERIOD.............................. $14.06
======
Total Return (Excludes Sales Charge)........................ 2.44%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $ 763
Ratio of expenses to average net assets................... 1.89%(c)
Ratio of net investment income to average net assets...... 1.25%(c)
Ratio of expenses to average net assets*.................. 2.01%(c)
Portfolio turnover (d).................................... 57.08%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
(d) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
200
<PAGE> 203
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
EQUITY INDEX FUND
------------------------------------------------------------
CLASS I SHARES
------------------------------------------------------------
YEAR ENDED JUNE 30,
------------------------------------------------------------
2000 1999 1998 1997 1996
---------- ---------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD... $ 31.79 $ 27.16 $ 21.80 $ 16.66 $ 14.03
---------- ---------- -------- -------- --------
Investment Activities:
Net investment income (loss)......... 0.31 0.31 0.33 0.35 0.33
Net realized and unrealized gains
(losses) from investments......... 1.86 5.54 5.98 5.27 3.16
---------- ---------- -------- -------- --------
Total from Investment
Activities...................... 2.17 5.85 6.31 5.62 3.49
---------- ---------- -------- -------- --------
Distributions:
Net investment income................ (0.30) (0.30) (0.32) (0.33) (0.33)
In excess of net investment income... -- -- -- -- (0.01)
Net realized gains................... (0.45) (0.92) (0.63) (0.15) (0.52)
---------- ---------- -------- -------- --------
Total Distributions............... (0.75) (1.22) (0.95) (0.48) (0.86)
---------- ---------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD......... $ 33.21 $ 31.79 $ 27.16 $ 21.80 $ 16.66
========== ========== ======== ======== ========
Total Return........................... 6.86% 22.50% 29.73% 34.30% 25.47%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000).... $1,987,505 $1,855,947 $671,422 $480,819 $321,058
Ratio of expenses to average net
assets............................ 0.35% 0.35% 0.35% 0.30% 0.30%
Ratio of net investment income to
average net assets................ 0.95% 1.14% 1.37% 1.87% 2.18%
Ratio of expenses to average net
assets*........................... 0.57% 0.57% 0.62% 0.61% 0.59%
Portfolio turnover (a)............... 7.89% 5.37% 4.32% 5.81% 9.08%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) 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.
201
<PAGE> 204
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
EQUITY INDEX FUND
------------------------------------------------------
CLASS A SHARES
------------------------------------------------------
YEAR ENDED JUNE 30,
------------------------------------------------------
2000 1999 1998 1997 1996
-------- -------- -------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........ $ 31.78 $ 27.15 $ 21.81 $ 16.67 $ 14.02
-------- -------- -------- ------- -------
Investment Activities:
Net investment income (loss).............. 0.22 0.22 0.26 0.29 0.27
Net realized and unrealized gains (losses)
from investments....................... 1.87 5.56 5.97 5.28 3.18
-------- -------- -------- ------- -------
Total from Investment Activities....... 2.09 5.78 6.23 5.57 3.45
-------- -------- -------- ------- -------
Distributions:
Net investment income..................... (0.22) (0.23) (0.26) (0.28) (0.27)
In excess of net investment income........ -- -- -- -- (0.01)
Net realized gains........................ (0.45) (0.92) (0.63) (0.15) (0.52)
-------- -------- -------- ------- -------
Total Distributions.................... (0.67) (1.15) (0.89) (0.43) (0.80)
-------- -------- -------- ------- -------
NET ASSET VALUE, END OF PERIOD.............. $ 33.20 $ 31.78 $ 27.15 $ 21.81 $ 16.67
======== ======== ======== ======= =======
Total Return (Excludes Sales Charge)........ 6.61% 22.22% 29.33% 33.94% 25.16%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......... $903,371 $732,325 $218,518 $98,338 $32,186
Ratio of expenses to average net assets... 0.60% 0.60% 0.60% 0.55% 0.55%
Ratio of net investment income to average
net assets............................. 0.69% 0.79% 1.11% 1.59% 1.93%
Ratio of expenses to average net
assets*................................ 0.92% 0.92% 0.96% 0.95% 0.94%
Portfolio turnover (a).................... 7.89% 5.37% 4.32% 5.81% 9.08%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) 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.
202
<PAGE> 205
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
EQUITY INDEX FUND
-------------------------------------------------------
CLASS B SHARES
-------------------------------------------------------
YEAR ENDED JUNE 30,
-------------------------------------------------------
2000 1999 1998 1997 1996
-------- -------- -------- -------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD....... $ 31.72 $ 27.13 $ 21.80 $ 16.68 $ 14.05
-------- -------- -------- -------- -------
Investment Activities:
Net investment income (loss)............. (0.01) 0.04 0.10 0.16 0.16
Net realized and unrealized gains
(losses) from investments............. 1.84 5.53 5.97 5.27 3.16
-------- -------- -------- -------- -------
Total from Investment Activities...... 1.83 5.57 6.07 5.43 3.32
-------- -------- -------- -------- -------
Distributions:
Net investment income.................... (0.01) (0.06) (0.11) (0.16) (0.16)
In excess of net investment income....... -- -- -- -- (0.01)
Net realized gains....................... (0.45) (0.92) (0.63) (0.15) (0.52)
-------- -------- -------- -------- -------
Total Distributions................... (0.46) (0.98) (0.74) (0.31) (0.69)
-------- -------- -------- -------- -------
NET ASSET VALUE, END OF PERIOD............. $ 33.09 $ 31.72 $ 27.13 $ 21.80 $ 16.68
======== ======== ======== ======== =======
Total Return (Excludes Sales Charge)....... 5.80% 21.32% 28.47% 32.93% 24.05%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)........ $691,700 $534,777 $351,624 $168,699 $38,538
Ratio of expenses to average net
assets................................ 1.35% 1.35% 1.35% 1.30% 1.30%
Ratio of net investment income to average
net assets............................ (0.06)% 0.12% 0.36% 0.83% 1.18%
Ratio of expenses to average net
assets*............................... 1.57% 1.57% 1.61% 1.61% 1.59%
Portfolio turnover (a)................... 7.89% 5.37% 4.32% 5.81% 9.08%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) 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.
203
<PAGE> 206
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
EQUITY INDEX FUND
----------------------------------
CLASS C SHARES
----------------------------------
NOVEMBER 4,
YEAR ENDED JUNE 30, 1997 TO
------------------- JUNE 30,
2000 1999 1998 (a)
-------- ------- -----------
<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............................................ 1.84 5.55 4.67
-------- ------- ------
Total from Investment Activities....................... 1.85 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.............................. $ 33.14 $ 31.76 $27.14
======== ======= ======
Total Return (Excludes Sales Charge)........................ 5.84% 21.52% 21.07%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $133,030 $59,042 $3,214
Ratio of expenses to average net assets................... 1.35% 1.35% 1.35%(c)
Ratio of net investment income to average net assets...... (0.06)% 0.11% 0.27%(c)
Ratio of expenses to average net assets*.................. 1.57% 1.57% 1.60%(c)
Portfolio turnover (d).................................... 7.89% 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.
204
<PAGE> 207
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MARKET EXPANSION INDEX FUND
--------------------------------------
CLASS I SHARES
--------------------------------------
YEAR SIX MONTHS JULY 31,
ENDED ENDED 1998 TO
JUNE 30, JUNE 30, DECEMBER 31,
2000 1999 (a) 1998 (b)
-------- ---------- ------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 10.63 $ 10.52 $ 10.00
------- ------- -------
Investment Activities:
Net investment income (loss).............................. 0.07 0.03 0.03
Net realized and unrealized gains (losses) from
investments............................................ 1.15 0.40 0.93
Capital contributions from Investment Advisor............. 0.02 -- --
------- ------- -------
Total from Investment Activities....................... 1.24 0.43 0.96
------- ------- -------
Distributions:
Net investment income..................................... (0.07) (0.03) (0.03)
Net realized gains........................................ (2.73) (0.29) (0.41)
------- ------- -------
Total Distributions.................................... (2.80) (0.32) (0.44)
------- ------- -------
NET ASSET VALUE, END OF PERIOD.............................. $ 9.07 $ 10.63 $ 10.52
======= ======= =======
Total Return................................................ 14.30% 4.54%(c) 9.91%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $28,699 $28,871 $27,483
Ratio of expenses to average net assets................... 0.57% 0.57%(d) 0.56%(d)
Ratio of net investment income to average net assets...... 0.72% 0.68%(d) 0.75%(d)
Ratio of expenses to average net assets*.................. 0.95% 0.97%(d) 1.12%(d)
Portfolio turnover (e).................................... 64.29% 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 One Group Mutual Funds, the Pegasus Market
Expansion Index Fund became the Market Expansion Index Fund. The Financial
Highlights for the periods prior to March 22, 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.
205
<PAGE> 208
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MARKET EXPANSION INDEX FUND
--------------------------------------
CLASS A SHARES
--------------------------------------
YEAR SIX MONTHS JULY 31,
ENDED ENDED 1998 TO
JUNE 30, JUNE 30, DECEMBER 31,
2000 1999 (a) 1998 (b)
-------- ---------- ------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $10.63 $10.53 $10.00
------ ------ ------
Investment Activities:
Net investment income (loss).............................. 0.05 0.03 --
Net realized and unrealized gains (losses) from
investments............................................ 1.14 0.39 0.95
Capital contributions from Investment Advisor............. 0.02 -- --
------ ------ ------
Total from Investment Activities....................... 1.21 0.42 0.95
------ ------ ------
Distributions:
Net investment income..................................... (0.05) (0.03) (0.01)
Net realized gains........................................ (2.73) (0.29) (0.41)
------ ------ ------
Total Distributions.................................... (2.78) (0.32) (0.42)
------ ------ ------
NET ASSET VALUE, END OF PERIOD.............................. $ 9.06 $10.63 $10.53
====== ====== ======
Total Return (Excludes Sales Charge)........................ 13.93% 4.39%(c) 9.30%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $2,066 $ 277 $ 30
Ratio of expenses to average net assets................... 0.82% 0.85%(d) 0.77%(d)
Ratio of net investment income to average net assets...... 0.51% 0.43%(d) 0.47%(d)
Ratio of expenses to average net assets*.................. 1.28% 1.42%(d) 1.24%(d)
Portfolio turnover (e).................................... 64.29% 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 One Group Mutual Funds, the Pegasus Market
Expansion Index Fund became the Market Expansion Index Fund. The Financial
Highlights for the periods prior to March 22, 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.
206
<PAGE> 209
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MARKET EXPANSION INDEX FUND
--------------------------------------
CLASS B SHARES
--------------------------------------
YEAR SIX MONTHS JULY 31,
ENDED ENDED 1998 TO
JUNE 30, JUNE 30, DECEMBER 31,
2000 1999 (a) 1998 (b)
-------- ---------- ------------
<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............................................ 1.13 0.54 0.92
Capital contributions from Investment Advisor............. 0.02 -- --
------ ------ ------
Total from Investment Activities....................... 1.14 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.............................. $ 9.15 $10.74 $10.49
====== ====== ======
Total Return (Excludes Sales Charge)........................ 13.06% 5.75%(c) 9.85%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $2,495 $ 309 $ --(d)
Ratio of expenses to average net assets................... 1.57% 1.60%(e) 1.87%(e)
Ratio of net investment income to average net assets...... (0.23)% (0.34)%(e) (0.59)%(e)
Ratio of expenses to average net assets*.................. 1.93% 2.13%(e) 2.14%(e)
Portfolio turnover (f).................................... 64.29% 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 One Group Mutual Funds, the Pegasus Market
Expansion Index Fund became the Market Expansion Index Fund. The Financial
Highlights for the periods prior to March 22, 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.
207
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One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MARKET EXPANSION
INDEX FUND
---------------------
CLASS C SHARES
---------------------
YEAR MARCH 22,
ENDED 1999 TO
JUNE 30, JUNE 30,
2000 1999 (a)
-------- ---------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $10.57 $ 9.32
------ ------
Investment Activities:
Net investment income (loss).............................. (0.05) 0.02
Net realized and unrealized gains (losses) from
investments............................................ 1.15 1.25
Capital contributions from Investment Advisor............. 0.02 --
------ ------
Total from Investment Activities....................... 1.12 1.27
------ ------
Distributions:
Net investment income..................................... --(b) (0.02)
Net realized gains........................................ (2.73) --
------ ------
Total Distributions.................................... (2.73) (0.02)
------ ------
NET ASSET VALUE, END OF PERIOD.............................. $ 8.96 $10.57
====== ======
Total Return (Excludes Sales Charge)........................ 13.11% 13.64%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $ 180 $ 18
Ratio of expenses to average net assets................... 1.57% 1.58%(d)
Ratio of net investment income to average net assets...... (0.24)% (0.33)%(d)
Ratio of expenses to average net assets*.................. 1.93% 2.17%(d)
Portfolio turnover (e).................................... 64.29% 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) Amount is less than $0.01.
(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.
208
<PAGE> 211
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY INDEX FUND
--------------------------------------------------------------
CLASS I SHARES
--------------------------------------------------------------
YEAR ENDED JUNE 30,
--------------------------------------------------------------
2000 1999 1998 1997 1996
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD......... $ 18.63 $ 17.97 $ 16.89 $ 15.17 $ 13.93
-------- -------- -------- -------- --------
Investment Activities:
Net investment income (loss)............... 0.14 0.19 0.21 0.15 0.11
Net realized and unrealized gains (losses)
from investments........................ 3.22 1.71 1.32 2.02 1.43
-------- -------- -------- -------- --------
Total from Investment Activities........ 3.36 1.90 1.53 2.17 1.54
-------- -------- -------- -------- --------
Distributions:
Net investment income...................... (0.05) (0.39) (0.02) (0.17) (0.16)
In excess of net investment income......... -- -- -- (0.13) (0.02)
Net realized gains......................... (0.29) (0.85) (0.43) (0.15) (0.12)
-------- -------- -------- -------- --------
Total Distributions..................... (0.34) (1.24) (0.45) (0.45) (0.30)
-------- -------- -------- -------- --------
NET ASSET VALUE, END OF PERIOD............... $ 21.65 $ 18.63 $ 17.97 $ 16.89 $ 15.17
======== ======== ======== ======== ========
Total Return................................. 18.09% 11.27% 9.54% 14.64% 11.22%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000).......... $795,657 $657,902 $586,741 $449,949 $347,790
Ratio of expenses to average net assets.... 0.86% 0.85% 0.88% 0.86% 0.97%
Ratio of net investment income to average
net assets.............................. 0.66% 1.03% 1.29% 1.00% 1.04%
Ratio of expenses to average net assets*... 0.86% 0.85% 0.88% 0.86% 1.00%
Portfolio turnover (a)..................... 13.85% 33.99% 9.90% 9.61% 6.28%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
209
<PAGE> 212
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--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY INDEX FUND
-----------------------------------------------------------
CLASS A SHARES
-----------------------------------------------------------
YEAR ENDED JUNE 30,
-----------------------------------------------------------
2000 1999 1998 1997 1996
------- ------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD............ $ 18.68 $ 17.99 $ 16.92 $ 15.16 $ 13.92
------- ------- ------- ------- -------
Investment Activities:
Net investment income (loss).................. 0.11 0.29 0.19 0.11 0.14
Net realized and unrealized gains (losses)
from investments........................... 3.16 1.60 1.31 2.03 1.40
------- ------- ------- ------- -------
Total from Investment Activities........... 3.27 1.89 1.50 2.14 1.54
------- ------- ------- ------- -------
Distributions:
Net investment income......................... --(a) (0.35) -- (0.13) (0.16)
In excess of net investment income............ -- -- -- (0.10) (0.02)
Net realized gains............................ (0.29) (0.85) (0.43) (0.15) (0.12)
------- ------- ------- ------- -------
Total Distributions........................ (0.29) (1.20) (0.43) (0.38) (0.30)
------- ------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD.................. $ 21.66 $ 18.68 $ 17.99 $ 16.92 $ 15.16
======= ======= ======= ======= =======
Total Return (Excludes Sales Charge)............ 17.58% 11.21% 9.34% 14.31% 11.20%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)............. $67,967 $55,691 $24,060 $12,562 $10,789
Ratio of expenses to average net assets....... 1.11% 1.10% 1.13% 1.11% 1.22%
Ratio of net investment income to average net
assets..................................... 0.51% 1.06% 1.11% 0.73% 0.79%
Ratio of expenses to average net assets*...... 1.21% 1.20% 1.23% 1.19% 1.35%
Portfolio turnover (b)........................ 13.85% 33.99% 9.90% 9.61% 6.28%
</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) Amount is less than $0.01.
(b) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
210
<PAGE> 213
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY INDEX FUND
----------------------------------------------------------
CLASS B SHARES
----------------------------------------------------------
YEAR ENDED JUNE 30,
----------------------------------------------------------
2000 1999 1998 1997 1996
------- ------- ------- ------- ------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD............. $ 17.89 $ 17.33 $ 16.44 $ 14.79 $13.73
------- ------- ------- ------- ------
Investment Activities:
Net investment income (loss)................... 0.04 0.10 0.08 0.09 0.03
Net realized and unrealized gains (losses) from
investments................................. 2.99 1.55 1.24 1.86 1.32
------- ------- ------- ------- ------
Total from Investment Activities............ 3.03 1.65 1.32 1.95 1.35
------- ------- ------- ------- ------
Distributions:
Net investment income.......................... -- (0.24) -- (0.08) (0.15)
In excess of net investment income............. -- -- -- (0.07) (0.02)
Net realized gains............................. (0.29) (0.85) (0.43) (0.15) (0.12)
------- ------- ------- ------- ------
Total Distributions......................... (0.29) (1.09) (0.43) (0.30) (0.29)
------- ------- ------- ------- ------
NET ASSET VALUE, END OF PERIOD................... $ 20.63 $ 17.89 $ 17.33 $ 16.44 $14.79
======= ======= ======= ======= ======
Total Return (Excludes Sales Charge)............. 16.99% 10.15% 8.48% 13.37% 9.97%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000).............. $29,007 $18,489 $13,307 $10,033 $5,856
Ratio of expenses to average net assets........ 1.86% 1.83% 1.88% 1.86% 1.97%
Ratio of net investment income to average net
assets...................................... (0.25)% 0.10% 0.26% 0.08% 0.04%
Ratio of expenses to average net assets*....... 1.86% 1.83% 1.88% 1.86% 2.00%
Portfolio turnover (a)......................... 13.85% 33.99% 9.90% 9.61% 6.28%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Portfolio turnover is calculated on the basis of the Fund as a whole without
distinguishing among the classes of shares issued.
See notes to financial statements.
211
<PAGE> 214
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
INTERNATIONAL EQUITY INDEX FUND
----------------------------------
CLASS C SHARES
----------------------------------
NOVEMBER 4,
YEAR ENDED JUNE 30, 1997 TO
------------------- JUNE 30,
2000 1999 1998 (a)
------- ------ -----------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $ 18.55 $17.91 $15.70
------- ------ ------
Investment Activities:
Net investment income (loss).............................. (0.01) 0.30 0.06
Net realized and unrealized gains (losses) from
investments............................................ 3.14 1.51 2.45
------- ------ ------
Total from Investment Activities....................... 3.13 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.............................. $ 21.39 $18.55 $17.91
======= ====== ======
Total Return (Excludes Sales Charge)........................ 16.92% 10.78% 16.34%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $11,442 $2,339 $ 119
Ratio of expenses to average net assets................... 1.86% 1.86% 1.87%(c)
Ratio of net investment income to average net assets...... (0.17)% 0.73% 2.88%(c)
Portfolio turnover (d).................................... 13.85% 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.
212
<PAGE> 215
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED INTERNATIONAL FUND
-------------------------------------------------------------------------
CLASS I SHARES
-------------------------------------------------------------------------
YEAR SIX MONTHS
ENDED ENDED YEAR ENDED DECEMBER 31,
JUNE 30, JUNE 30, --------------------------------------------
2000 1999 (a) 1998 1997 1996 1995
-------- ---------- -------- -------- -------- --------
<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)..................... 0.11 0.11 0.14 0.10 0.11 0.10
Net realized and unrealized
gains (losses) from
investments................ 3.06 1.09 1.85 0.37 0.74 1.05
-------- -------- -------- -------- -------- --------
Total from Investment
Activities............... 3.17 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........................ $ 17.97 $ 15.13 $ 13.93 $ 12.14 $ 11.79 $ 11.05
======== ======== ======== ======== ======== ========
Total Return.................... 20.97% 8.61%(b) 16.43% 3.98% 7.90% 11.47%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000)...................... $851,758 $599,310 $569,522 $487,986 $389,997 $106,300
Ratio of expenses to average
net assets................. 1.05% 1.06%(c) 1.09% 1.10% 1.10% 1.16%(c)
Ratio of net investment income
to average net assets...... 0.62% 1.59%(c) 1.04% 1.05% 1.01% 1.43%(c)
Ratio of expenses to average
net assets*................ 1.08% 1.09%(c) 1.09% 1.10% 1.10% 1.24%(c)
Portfolio turnover (d)........ 17.05% 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 One Group Mutual Funds, the Pegasus
International Equity Fund became the Diversified International Fund. The
Financial Highlights for the periods prior to March 22, 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.
213
<PAGE> 216
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED INTERNATIONAL FUND
-----------------------------------------------------------------
CLASS A SHARES
-----------------------------------------------------------------
YEAR SIX MONTHS
ENDED ENDED YEAR ENDED DECEMBER 31,
JUNE 30, JUNE 30, ---------------------------------------
2000 1999 (a) 1998 1997 1996 1995
-------- ---------- ------- ------- ------- ------
<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)...... 0.05 0.08 0.11 0.07 0.10 0.10
Net realized and unrealized gains
(losses) from investments...... 3.07 1.11 1.84 0.36 0.72 1.05
------- ------- ------- ------- ------- ------
Total from Investment
Activities................... 3.12 1.19 1.95 0.43 0.82 1.15
------- ------- ------- ------- ------- ------
Distributions:
Net investment income............. (0.12) -- (0.13) (0.09) (0.10) (0.11)
In excess of net investment
income......................... -- -- (0.04) -- -- --
Net realized gains................ (0.18) -- -- -- -- --
------- ------- ------- ------- ------- ------
Total Distributions............ (0.30) -- (0.17) (0.09) (0.10) (0.11)
------- ------- ------- ------- ------- ------
NET ASSET VALUE, END OF PERIOD...... $ 17.90 $ 15.08 $ 13.89 $ 12.11 $ 11.77 $11.05
======= ======= ======= ======= ======= ======
Total Return (Excludes Sales
Charge)........................... 20.66% 8.57%(b) 16.12% 3.69% 7.50% 11.47%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000).......................... $35,605 $34,900 $44,232 $26,703 $10,836 $ 988
Ratio of expenses to average net
assets......................... 1.30% 1.29%(c) 1.34% 1.35% 1.23% 1.16%
Ratio of net investment income to
average net assets............. 0.29% 1.25%(c) 0.79% 0.80% 0.88% 1.43%
Ratio of expenses to average net
assets*........................ 1.43% 1.37%(c) 1.34% 1.35% 1.23% 1.24%
Portfolio turnover (d)............ 17.05% 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 One Group Mutual Funds, the Pegasus
International Equity Fund became the Diversified International Fund. The
Financial Highlights for the periods prior to March 22, 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.
214
<PAGE> 217
One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED INTERNATIONAL FUND
-----------------------------------------------------------------
CLASS B SHARES
-----------------------------------------------------------------
YEAR SIX MONTHS YEAR ENDED AUGUST 26,
ENDED ENDED DECEMBER 31, 1996 TO
JUNE 30, JUNE 30, ------------------ DECEMBER 31,
2000 1999 (a) 1998 1997 1996 (b)
-------- ----------- ------ ------ ------------
<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)............... 0.07 0.03 0.01 0.01 0.04
Net realized and unrealized gains (losses)
from investments........................ 2.71 1.04 1.74 0.34 0.24
------ ------ ------ ------ ------
Total from Investment Activities........ 2.78 1.07 1.75 0.35 0.28
------ ------ ------ ------ ------
Distributions:
Net investment income...................... (0.08) -- (0.08) (0.06) (0.04)
In excess of net investment income......... -- -- (0.03) -- --
Net realized gains......................... (0.18) -- -- -- --
------ ------ ------ ------ ------
Total Distributions..................... (0.26) -- (0.11) (0.06) (0.04)
------ ------ ------ ------ ------
NET ASSET VALUE, END OF PERIOD............... $16.60 $14.08 $13.01 $11.37 $11.08
====== ====== ====== ====== ======
Total Return (Excludes Sales Charge)......... 19.77% 8.22%(c) 15.43% 2.90% 2.62%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000).......... $7,269 $2,478 $2,545 $1,763 $1,131
Ratio of expenses to average net assets.... 2.05% 2.05%(d) 2.09% 2.10% 2.05%(d)
Ratio of net investment income to average
net assets.............................. (0.21)% 0.57%(d) 0.04% 0.05% 0.75%(d)
Ratio of expenses to average net assets*... 2.08% 2.08%(d) 2.09% 2.10% 2.05%(d)
Portfolio turnover (e)..................... 17.05% 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 One Group Mutual Funds, the Pegasus
International Equity Fund became the Diversified International Fund. The
Financial Highlights for the periods prior to March 22, 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.
215
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One Group Mutual Funds
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED
INTERNATIONAL FUND
-----------------------
CLASS C SHARES
-----------------------
YEAR MARCH 22,
ENDED 1999 TO
JUNE 30, JUNE 30,
2000 1999 (a)
-------- ---------
<S> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD........................ $14.08 $13.47
------ ------
Investment Activities:
Net investment income (loss).............................. 0.11 --
Net realized and unrealized gains (losses) from
investments............................................ 2.67 0.61
------ ------
Total from Investment Activities....................... 2.78 0.61
------ ------
Distributions:
Net investment income..................................... (0.11) --
Net realized gains........................................ (0.18) --
------ ------
Total Distributions.................................... (0.29) --
------ ------
NET ASSET VALUE, END OF PERIOD.............................. $16.57 $14.08
====== ======
Total Return (Excludes Sales Charge)........................ 19.76% 4.53%(b)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)......................... $ 729 $ 5
Ratio of expenses to average net assets................... 2.06% 2.00%(c)
Ratio of net investment income to average net assets...... 0.30% 1.58%(c)
Ratio of expenses to average net assets*.................. 2.09% 2.00%(c)
Portfolio turnover (d).................................... 17.05% 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.
216
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One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS JUNE 30, 2000
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, the 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.
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 One Group Administrative Services ("OGA"), an
affiliate of 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
Continued
217
<PAGE> 220
One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
financial statement purposes as unrealized appreciation or depreciation
until the contract settlement date. Gains or losses from the purchase or
sale of forward foreign currency contracts having the same settlement date
and broker are recorded as realized on the date of offset; otherwise gains
or losses are recorded as realized on settlement date.
REPURCHASE AGREEMENTS
The Funds may invest in repurchase agreements with institutions that are
deemed by the Advisor to be of good standing and creditworthy under
guidelines established by the Board of Trustees. Each repurchase agreement
is recorded at cost. The Fund requires that the securities purchased in a
repurchase agreement transaction be transferred to the custodian in a
manner sufficient to enable the Fund to obtain those securities in the
event of a counterparty default. The seller, under the repurchase
agreement, is required to maintain the value of the securities held at not
less than the repurchase price, including accrued interest. Repurchase
agreements are considered to be loans under the 1940 Act.
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 any combination of cash, U.S.
Government or U.S. Government Agency securities, 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 June 30, 2000, 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....................................... $ 49,916 $ 48,632
Small Cap Value Fund........................................ 6,293 6,130
Mid Cap Growth Fund......................................... 367,814 359,520
Mid Cap Value Fund.......................................... 55,673 54,236
Diversified Mid Cap Fund.................................... 105,639 103,302
Large Cap Growth Fund....................................... 327,657 320,136
Large Cap Value Fund........................................ 132,688 129,448
Equity Income Fund.......................................... 7,615 7,449
Diversified Equity Fund..................................... 109,680 107,197
Balanced Fund............................................... 51,965 50,295
Equity Index Fund........................................... 216,953 211,930
Market Expansion Index Fund................................. 1,907 1,864
International Equity Index Fund............................. 155,649 151,131
Diversified International Fund.............................. 115,918 112,625
</TABLE>
Continued
218
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One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
The loaned securities were fully collateralized by cash, U.S. Government
securities and letters of credit as of June 30, 2000.
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. Net investment income and expenses are
recognized on the accrual basis. Dividends are recorded on the ex-dividend
date. Interest income includes premium amortization and discount accretion
for both financial reporting and tax purposes. Amortization and accretion
are calculated 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. Certain funds also utilized earnings and profits distributed
to shareholders on redemption of shares as part of the dividends paid
deduction for income tax purposes.
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. Funds commencing operations prior to June
30, 1998, are amortizing deferred organization costs using the
straight-line method over a period of five years. All such costs, which are
attributable to more than one Fund of the Trust, have been allocated among
the respective Fund's 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
Continued
219
<PAGE> 222
One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
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.
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 June 30, 2000:
<TABLE>
<CAPTION>
OPENING CURRENT
NUMBER POSITIONS MARKET VALUE
FUND CONTRACT TYPE OF CONTRACTS (000) (000)
---- --------------------------------- ------------ --------- ------------
<S> <C> <C> <C> <C>
Small Cap Growth Fund Long Russell 2000,
September 2000 Futures......... 76 $20,293 $19,859
Equity Index Fund Long S&P 500,
September 2000 Futures......... 82 29,972 30,096
Market Expansion Fund Long S&P 500,
September 2000 Futures......... 7 2,611 2,569
International Equity Index Fund Long CAC 40,
September 2000 Futures......... 61 3,804 3,796
Long Nikkei 225,
September 2000 Futures......... 60 5,101 5,256
Long DJ Euro,
September 2000 Futures......... 75 3,803 3,736
Diversified International Long Dax,
Fund......................... September 2000 Futures......... 10 1,771 1,666
Long Nikkei 225,
September 2000 Futures......... 70 5,998 6,132
Long Topix,
September 2000 Futures......... 70 10,504 10,530
</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
Continued
220
<PAGE> 223
One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
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.
The following is a summary of option activity for the year ended June 30,
2000 by the Funds (amounts in thousands):
<TABLE>
<CAPTION>
MID CAP GROWTH FUND MID CAP VALUE 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.......................... 6 31 2,332 4,007
Options closed........................... (6) (31) (399) (1,078)
Options expired.......................... -- -- (870) (841)
Options exercised........................ -- -- (400) (1,335)
Options split............................ -- -- 20 --
-- ---- ----- -------
Options outstanding at end of period..... -- $ -- 683 $ 753
== ==== ===== =======
</TABLE>
<TABLE>
<CAPTION>
LARGE CAP GROWTH FUND LARGE CAP VALUE FUND
-------------------------- --------------------------
SHARES SUBJECT SHARES SUBJECT
TO CONTRACT PREMIUMS TO CONTRACT PREMIUMS
-------------- -------- -------------- --------
<S> <C> <C> <C> <C>
COVERED CALL OPTIONS
Balance at beginning of period........... -- $ -- 75 $ 661
Options written.......................... 98 846 110 212
Options closed........................... (58) (708) (25) (74)
Options expired.......................... (15) (52) (110) (212)
Options exercised........................ (25) (86) (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>
Continued
221
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One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
The following is a summary of options outstanding as of June 30, 2000
(amounts in thousands):
COVERED CALL OPTIONS
<TABLE>
<CAPTION>
MID CAP VALUE FUND
--------------------------
SHARES SUBJECT MARKET
SECURITY TO CONTRACT VALUE
-------- -------------- --------
<S> <C> <C>
A.G. Edwards, $40.00, 7/24/00............................... 40 $ 24
BJ Services, $85.00, 7/24/00................................ 25 3
Brinker International, $40.00, 7/24/00...................... 50 12
Devon Energy, $65.00, 7/24/00............................... 30 7
Dynegy, $85.00, 7/24/00..................................... 30 7
Finova Corp., $15.00, 7/24/00............................... 300 244
John Hancock Financial, $25.00, 7/24/00..................... 40 23
L-3 Communications, $65.00 , 7/24/00........................ 30 8
LAM Research, $50.00, 7/24/00............................... 30 2
Montana Power, $50.00, 7/24/00.............................. 28 7
Transocean Offshore, $60.00, 7/24/00........................ 40 26
XL Corp., $65.00, 7/24/00................................... 40 10
--- ----
683 $373
=== ====
</TABLE>
<TABLE>
<CAPTION>
MID CAP VALUE FUND
--------------------------
SHARES SUBJECT
TO CONTRACT PREMIUMS
-------------- --------
<S> <C> <C>
PUT OPTIONS
Balance at beginning of period.............................. -- $ --
Options written............................................. 95 85
Options closed.............................................. (15) (23)
Options exercised........................................... (50) (30)
--- ----
Options outstanding at end of period........................ 30 $ 32
=== ====
</TABLE>
<TABLE>
<CAPTION>
LARGE CAP VALUE FUND
--------------------------
SHARES SUBJECT
TO CONTRACT PREMIUMS
-------------- --------
<S> <C> <C>
PURCHASED PUT OPTIONS
Balance at beginning of period.............................. -- $ --
Options bought.............................................. 80 252
Options sold................................................ (80) (252)
--- -----
Options outstanding at end of period........................ -- $ --
=== =====
</TABLE>
Continued
222
<PAGE> 225
One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
PUT OPTIONS
<TABLE>
<CAPTION>
MID CAP VALUE FUND
--------------------------
SHARES SUBJECT MARKET
SECURITY TO CONTRACT VALUE
-------- -------------- --------
<S> <C> <C>
Alaska Air, $25.00, 7/24/00................................. 5 $ 3
Bowater Corp., $40.00, 7/24/00.............................. 10 5
SCI Systems, $32.50, 7/24/00................................ 5 1
TDS Corp., $95.00, 7/24/00.................................. 10 20
-- ---
30 $29
== ===
</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
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 Funds'
prospectus. Certain redemptions of Class B and Class C shares are subject to
contingent deferred sales charges in accordance with the Funds' prospectus.
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, ADMINISTRATION, 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 daily net assets on the
first $1.5 billion, 0.70% of the average daily net assets on the next $500
million and 0.65% of the average daily 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 average daily 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.
Continued
223
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One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
The Trust and the Administrator, a wholly-owned subsidiary of The BISYS
Group, Inc., are parties to an administration 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
average daily 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 average daily net assets (excluding the Investor Funds and
the Institutional Money Market Funds); and 0.16% of Trust average daily net
assets (excluding the Investor Funds and the Institutional Money Market
Funds) over $2 billion. OGA also serves as Sub-Administrator to each Fund of
the Trust, pursuant to an agreement between the Administrator and OGA.
Pursuant to this agreement, OGA performs many of the Administrator's duties,
for which OGA 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 year ended June 30, 2000, the Distributor received
$14,902,479 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
$13,009,177 to affiliated broker-dealers of the Funds.
Certain officers of the Trust are affiliated with the Administrator. Such
officers receive no compensation from the Funds for serving in their
respective roles.
Continued
224
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One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
The Advisor, the Administrator and the Distributor voluntarily agreed to
waive a portion of their fees. For the year ended June 30, 2000, fees in the
following amounts were waived (amounts in thousands):
<TABLE>
<CAPTION>
INVESTMENT DISTRIBUTION FEES
ADVISORY FEES ADMINISTRATION WAIVED
WAIVED FEES WAIVED CLASS A
------------- -------------- -----------------
<S> <C> <C> <C>
Small Cap Growth Fund.............................. $ 11 $ 24 $ 47
Small Cap Value Fund............................... 255 10 20
Mid Cap Growth Fund................................ -- -- 228
Mid Cap Value Fund................................. 289 -- 101
Diversified Mid Cap Fund........................... 1,540 -- 222
Large Cap Growth Fund.............................. -- -- 558
Large Cap Value Fund............................... -- -- 43
Equity Income Fund................................. 807 200 118
Diversified Equity Fund............................ -- -- 312
Balanced Fund...................................... 641 -- 116
Equity Index Fund.................................. 5,305 2,112 815
Market Expansion Index Fund........................ 77 32 1
International Equity Index Fund.................... -- -- 65
Diversified International Fund..................... 227 10 36
</TABLE>
5. SECURITIES TRANSACTIONS:
The cost of security purchases and the proceeds from the sale of securities
(excluding short-term securities) for the year ended June 30, 2000, were as
follows (amounts in thousands):
<TABLE>
<CAPTION>
PURCHASES SALES
---------- ----------
<S> <C> <C>
Small Cap Growth Fund....................................... $ 478,066 $ 371,335
Small Cap Value Fund........................................ 305,386 358,799
Mid Cap Growth Fund......................................... 3,476,183 3,187,928
Mid Cap Value Fund.......................................... 1,158,841 1,262,586
Diversified Mid Cap Fund.................................... 746,609 1,096,702
Large Cap Growth Fund....................................... 5,456,656 5,249,140
Large Cap Value Fund........................................ 2,149,703 1,649,009
Equity Income Fund.......................................... 174,022 627,728
Diversified Equity Fund..................................... 863,429 1,187,612
Balanced Fund............................................... 337,455 306,749
Equity Index Fund........................................... 592,901 266,749
Market Expansion Index Fund................................. 17,894 19,174
International Equity Index Fund............................. 176,643 113,800
Diversified International Fund.............................. 219,986 123,041
</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.
Continued
225
<PAGE> 228
One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
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, was 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 of the
Trust.
As of June 30, 2000, there were no loans outstanding under this agreement.
During the year ended June 30, 2000, borrowings by the Funds under the
Agreement were as follows (amounts in thousands):
<TABLE>
<CAPTION>
AVERAGE AVERAGE
FUND AMOUNT OUTSTANDING INTEREST RATE
---- ------------------ -------------
<S> <C> <C>
Diversified Equity Fund..................................... $128 6.53%
Market Expansion Fund....................................... 16 5.67%
International Equity Index Fund............................. 21 6.31%
Diversified International Fund.............................. 5 6.16%
</TABLE>
The average amount outstanding was calculated based on daily balances during
the period.
7. DEFERRED COMPENSATION PLAN:
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 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 acquired as of the conversion date (amounts in thousands, except per
share amounts):
<TABLE>
<CAPTION>
NET ASSET
VALUE
SHARES NET ASSETS PER SHARE UNREALIZED
ISSUED CONVERTED ISSUED APPRECIATION
------ ---------- --------- ------------
<S> <C> <C> <C> <C>
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
Continued
226
<PAGE> 229
One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
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>
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
------------------------------------- --------------
MARQUIS MID CAP MID CAP
VALUE EQUITY VALUE VALUE
FUND FUND FUND
-------------------- ------------- --------------
<S> <C> <C> <C>
Shares.......................................... 10,265 46,635 56,558
Net assets...................................... $136,943 $643,645 $780,588
Net asset value:
Class I....................................... -- 13.80 13.80
Class A....................................... 13.34 13.84 13.84
Class B....................................... 13.38 13.76 13.76
Unrealized appreciation......................... 16,925 47,342 64,267
</TABLE>
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
------------------------------------- --------------
MARQUIS MID CAP MID CAP
GROWTH EQUITY GROWTH GROWTH
FUND FUND FUND
-------------------- ------------- --------------
<S> <C> <C> <C>
Shares.......................................... 2,556 50,864 52,826
Net assets...................................... $38,617 $998,973 $1,037,590
Net asset value:
Class I....................................... -- 19.76 19.76
Class A....................................... 15.11 19.59 19.59
Class B....................................... 14.96 18.71 18.71
Unrealized appreciation......................... 7,181 133,789 140,970
</TABLE>
Continued
227
<PAGE> 230
One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
------------------------------------- --------------
MARQUIS SMALL CAP SMALL CAP
SMALL CAPITALIZATION GROWTH GROWTH
EQUITY FUND FUND FUND
-------------------- ------------- --------------
<S> <C> <C> <C>
Shares.......................................... 402 13,518 13,894
Net assets...................................... $3,669 $132,213 $135,882
Net asset value:
Class I....................................... -- 9.80 9.80
Class A....................................... 9.15 9.77 9.77
Class B....................................... 9.04 9.56 9.56
Unrealized appreciation (depreciation).......... (290) 13,114 12,824
</TABLE>
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
------------------------------------- --------------
MARQUIS INTERNATIONAL INTERNATIONAL
INTERNATIONAL EQUITY INDEX EQUITY INDEX
EQUITY FUND FUND FUND
-------------------- ------------- --------------
<S> <C> <C> <C>
Shares.......................................... 154 35,324 35,420
Net assets...................................... $1,666 $615,179 $616,845
Net asset value:
Class I....................................... -- 17.43 17.43
Class A....................................... 10.84 17.44 17.44
Class B....................................... 10.75 16.79 16.79
Unrealized appreciation (depreciation).......... (10) 77,441 77,431
</TABLE>
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 22, 1999, following approval by shareholders of the
Pegasus Funds at a special shareholder meeting. The following is a summary
of shares outstanding, net assets, net asset value per share issued and
unrealized appreciation immediately before and after the Pegasus
Reorganization (amounts in thousands, except per share amounts):
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
------------------------------------- --------------
PEGASUS SMALL CAP SMALL CAP SMALL CAP
OPPORTUNITY VALUE VALUE
FUND FUND FUND
-------------------- ------------- --------------
<S> <C> <C> <C>
Shares......................................... 21,113 -- 21,113
Net assets..................................... $265,568 -- $265,568
Net asset value:
Class I...................................... 12.60 -- 12.60
Class A...................................... 12.42 -- 12.42
Class B...................................... 12.06 -- 12.06
Unrealized appreciation (depreciation)......... (27,398) -- (27,398)
</TABLE>
Continued
228
<PAGE> 231
One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
------------------------------------- --------------
PEGASUS INTRINSIC DISCIPLINED MID CAP
VALUE VALUE VALUE
FUND FUND FUND
-------------------- ------------- --------------
<S> <C> <C> <C>
Shares......................................... 35,077 56,933 89,116
Net assets..................................... $431,541 $762,902 $1,194,443
Net asset value:
Class I...................................... 12.36 13.40 13.40
Class A...................................... 12.35 13.44 13.44
Class B...................................... 8.44 13.34 13.34
Unrealized appreciation........................ 20,796 5,804 26,600
</TABLE>
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
------------------------------------- --------------
PEGASUS MID CAP DIVERSIFIED DIVERSIFIED
OPPORTUNITY MID CAP MID CAP
FUND FUND FUND
-------------------- ------------- --------------
<S> <C> <C> <C>
Shares......................................... 60,666 -- 60,666
Net assets..................................... $1,158,396 -- $1,158,396
Net asset value:
Class I...................................... 19.23 -- 19.23
Class A...................................... 19.12 -- 19.12
Class B...................................... 8.93 -- 8.93
Unrealized appreciation........................ 279,698 -- 279,698
</TABLE>
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
------------------------------------- --------------
PEGASUS LARGE COMPANY LARGE CAP
GROWTH GROWTH GROWTH
FUND FUND FUND
-------------------- ------------- --------------
<S> <C> <C> <C>
Shares......................................... 57,006 112,233 153,039
Net assets..................................... $1,040,465 $2,857,472 $3,897,937
Net asset value:
Class I...................................... 18.26 25.41 25.41
Class A...................................... 18.20 26.12 26.12
Class B...................................... 17.71 25.25 25.25
Unrealized appreciation........................ 440,128 1,159,202 1,599,331
</TABLE>
Continued
229
<PAGE> 232
One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
------------------------------------- --------------
PEGASUS EQUITY INCOME EQUITY
INCOME EQUITY INCOME
FUND FUND FUND
-------------------- ------------- --------------
<S> <C> <C> <C>
Shares......................................... 48,278 40,743 63,004
Net assets..................................... $520,041 $951,505 $1,471,546
Net asset value:
Class I...................................... 10.77 23.36 23.36
Class A...................................... 10.81 23.31 23.31
Class B...................................... 10.81 23.35 23.35
Class C...................................... -- 23.36 23.36
Unrealized appreciation........................ 44,636 480,939 525,575
</TABLE>
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
------------------------------------- --------------
PEGASUS VALUE DIVERSIFIED
GROWTH & VALUE GROWTH EQUITY
FUND FUND FUND
-------------------- ------------- --------------
<S> <C> <C> <C>
Shares......................................... 99,661 63,546 167,613
Net assets..................................... $1,497,085 $913,820 $2,410,905
Net asset value:
Class I...................................... 15.11 14.39 14.39
Class A...................................... 15.10 14.37 14.37
Class B...................................... 8.08 14.21 14.21
Class C...................................... -- 14.30 14.30
Unrealized appreciation........................ 339,726 252,416 592,142
</TABLE>
<TABLE>
<CAPTION>
AFTER
BEFORE REORGANIZATION REORGANIZATION
------------------------------------- --------------
PEGASUS EQUITY EQUITY EQUITY
INDEX INDEX INDEX
FUND FUND FUND
-------------------- ------------- --------------
<S> <C> <C> <C>
Shares......................................... 41,635 60,792 97,382
Net assets..................................... $1,102,256 $1,830,394 $2,932,650
Net asset value:
Class I...................................... 26.59 30.13 30.13
Class A...................................... 26.58 30.10 30.10
Class B...................................... 15.21 30.07 30.07
Class C...................................... -- 30.11 30.11
Unrealized appreciation........................ 533,510 747,825 1,281,335
</TABLE>
Continued
230
<PAGE> 233
One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
<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 DIVERSIFIED DIVERSIFIED
INTERNATIONAL EQUITY INTERNATIONAL INTERNATIONAL
FUND FUND FUND
-------------------- ------------- --------------
<S> <C> <C> <C>
Shares......................................... 43,389 -- 43,389
Net assets..................................... $626,584 -- $626,584
Net asset value:
Class I...................................... 14.45 -- 14.45
Class A...................................... 14.40 -- 14.40
Class B...................................... 13.47 -- 13.47
Unrealized appreciation........................ 166,871 -- 166,871
</TABLE>
11. FEDERAL TAX INFORMATION (UNAUDITED):
The accompanying table below detail distributions paid or deemed paid from
long-term capital gains for the following funds for the fiscal year ended
June 30, 2000 (amounts in thousands):
<TABLE>
<CAPTION>
FUND AMOUNT
---- --------
<S> <C>
Small Cap Growth Fund....................................... $ 10,040
Mid Cap Growth Fund......................................... 116,242
Mid Cap Value Fund.......................................... 83,314
Diversified Mid Cap Fund.................................... 159,947
Large Cap Growth Fund....................................... 519,478
Large Cap Value Fund........................................ 88,002
Equity Income Fund.......................................... 65,348
Diversified Equity Fund..................................... 128,284
Balanced Fund............................................... 16,023
Equity Index Fund........................................... 44,467
Market Expansion Index Fund................................. 5,904
International Equity Index Fund............................. 7,955
Diversified International Fund.............................. 7,291
</TABLE>
Continued
231
<PAGE> 234
One Group Mutual Funds
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
POST OCTOBER LOSS DEFERRAL
Capital losses and currency losses incurred after October 31 within the
Fund's fiscal year may be deferred and treated as occurring on the first day
of the following year. The following deferred losses will be treated as
arising on the first day of the fiscal year ended June 30, 2001 (amounts in
thousands):
<TABLE>
<CAPTION>
FUND AMOUNT
---- -------
<S> <C>
Balanced Fund............................................... $ 2,373
Equity Index Fund........................................... 12,138
</TABLE>
FOREIGN TAX CREDITS
The International Equity Index Fund and the Diversified International Fund
intend to elect to pass through to shareholders the income tax credit for
taxes paid to foreign countries. Foreign source income and foreign tax
expense per outstanding share on June 30, 2000 are as follows:
<TABLE>
<CAPTION>
FOREIGN
SOURCE
FUND INCOME
---- -------
<S> <C> <C>
International Equity Index Fund............................. 0.18 0.04
Diversified International Fund.............................. 0.11 0.03
</TABLE>
The pass-through of the foreign tax credit will only affect those persons
who are shareholders on the dividend record date in December 2000. These
shareholders will receive more detailed information along with their 2000
Form 1099-DIV.
ELIGIBLE DISTRIBUTIONS:
The Trust designates the following percentage of distributions eligible for
the dividends received deductions for corporations.
<TABLE>
<CAPTION>
FUND AMOUNT
---- ------
<S> <C>
Small Cap Growth Fund....................................... 9.63%
Small Cap Value Fund........................................ 100.00%
Mid Cap Growth Fund......................................... 4.71%
Mid Cap Value Fund.......................................... 58.35%
Diversified Mid Cap Fund.................................... 10.47%
Large Cap Growth Fund....................................... 67.56%
Large Cap Value Fund........................................ 66.90%
Equity Income Fund.......................................... 100.00%
Diversified Equity Fund..................................... 94.00%
Balanced Fund............................................... 22.90%
Equity Index Fund........................................... 100.00%
Market Expansion Index Fund................................. 23.53%
</TABLE>
On June 30, 2000 the following funds have capital loss carryforwards which
are available to offset future capital gains if any (amounts in thousands):
<TABLE>
<CAPTION>
EXPIRES
----------------
FUND 2007 2008 TOTAL
---- ------ ------ ------
<S> <C> <C> <C>
Small Cap Value............................................. $3,239 $ -- $3,239
Balanced Fund............................................... -- 4,236 4,236
</TABLE>
Continued
232
<PAGE> 235
Report of Independent Accountants
--------------------------------------------------------------------------------
ONE GROUP MUTUAL FUNDS JUNE 30, 2000
To the Board of Trustees and Shareholders of
One Group Mutual Funds:
In our opinion, the accompanying statements of assets and liabilities, including
the schedules of portfolio investments, and the related statements of operations
and of changes in net assets and the financial highlights present fairly, in all
material respects, the financial position of the Small Cap Growth Fund, the
Small Cap Value Fund, the Mid Cap Growth Fund, the 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 (fourteen series of One Group
Mutual Funds, hereafter referred to as the "Funds") at June 30, 2000, the
results of each of their operations for the year then ended and the changes in
each of their net assets and the financial highlights for each of the periods
presented (other than those statements of changes in net assets and financial
highlights that have been audited by other independent accountants), in
conformity with accounting principles generally accepted in the United States.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Funds' management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with auditing standards generally accepted in the United States, which require
that we plan and perform the audit to obtain reasonable assurance about whether
the financial statements are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements, assessing the accounting principles used and
significant estimates made by management, and evaluating the overall financial
statement presentation. We believe that our audits, which included confirmation
of securities at June 30, 2000 by correspondence with the custodian and brokers,
provide a reasonable basis for the opinion expressed above. The financial
statements of the Small Cap Value Fund, the Diversified Mid Cap Fund, the Market
Expansion Fund and the Diversified International Fund for all periods ended on
or before December 31, 1998 were audited by other independent accountants whose
report dated February 12, 1999, expressed an unqualified opinion on those
statements and financial highlights.
PricewaterhouseCoopers LLP
Columbus, Ohio
August 18, 2000
233
<PAGE> 236
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
TOG-F-038-AN (8/00)
[Bank One Logo]
