<PAGE> 1
================================================================================
THE ONE(R) GROUP(SM) INVESTMENT TRUST
ANNUAL REPORT
DECEMBER 31, 1996
================================================================================
<PAGE> 2
THE ONE(R) GROUP(SM) INVESTMENT TRUST
ANNUAL REPORT
DECEMBER 31, 1996
TABLE OF CONTENTS
<TABLE>
<S> <C>
Report of Independent Accountants....................................................... 1
Management Discussion of Fund Performance:
Government Bond Fund............................................................... 2
Asset Allocation Fund.............................................................. 3
Growth Opportunities Fund.......................................................... 4
Large Company Growth Fund.......................................................... 5
Statements of Investments:
Government Bond Fund............................................................... 6
Asset Allocation Fund.............................................................. 7
Growth Opportunities Fund.......................................................... 10
Large Company Growth Fund.......................................................... 13
Statements of Assets and Liabilities.................................................... 15
Statements of Operations................................................................ 16
Statements of Changes in Net Assets..................................................... 17
Financial Highlights.................................................................... 19
Notes to Financial Statements........................................................... 21
</TABLE>
<PAGE> 3
REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Shareholders of
The One(R) Group(SM) Investment Trust
In our opinion, the accompanying statements of assets and liabilities, including
the statements of 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 Government Bond Fund, the Asset
Allocation Fund, the Growth Opportunities Fund, and the Large Company Growth
Fund (constituting The One(R) Group(SM) Investment Trust, hereafter referred to
as the "Trust") at December 31, 1996, the results of each of their operations
for the year then ended, the changes in each of their net assets for each of the
two years in the period then ended and the financial highlights for each of the
periods presented, in conformity with generally accepted accounting principles.
These financial statements and financial highlights (hereafter referred to as
"financial statements") are the responsibility of the Trust's management; our
responsibility is to express an opinion on these financial statements based on
our audits. We conducted our audits of these financial statements in accordance
with generally accepted auditing standards which require that we plan and
perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles used and significant estimates
made by management, and evaluating the overall financial statement presentation.
We believe that our audits, which included confirmation of securities at
December 31, 1996 by correspondence with the custodian and brokers, provide a
reasonable basis for the opinion expressed above.
Price Waterhouse LLP
New York, New York
February 7, 1997
THE ONE(R) GROUP(SM) INVESTMENT TRUST ANNUAL REPORT 1
<PAGE> 4
THE ONE(R) GROUP(SM) INVESTMENT TRUST
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
GOVERNMENT BOND FUND
DECEMBER 31, 1996
The Government Bond Fund is managed by Thomas E. Donne, Chartered Financial
Analyst. Its investment objective is to seek a high level of current income,
consistent with capital preservation, by investing in securities issued or
backed by the U.S. government and its agencies.
Market perceptions of economic growth and the attendant prospects for inflation
again drove bond market returns in 1996. The year started with severe weather
conditions, a budget face off and the intermittent government shut downs in the
first quarter. Subsequent quarters demonstrated above average economic growth
with inflation still well contained. Nevertheless, bond market performance
overall for the year was disappointing. For example, the Salomon Brothers 3-7
Year Treasury/Government Index returned 3.65%.
The Government Bond Fund did fall below the index returning 2.69% for the year
ended December 31, 1996. The Fund's return was generated by emphasizing higher
yielding mortgage-backed securities. For most of the year, the Fund maintained a
neutral or slightly defensive maturity and duration posture which helped contain
some of the market's overall poor price performance.
The bond market is starting 1997 with a negative bias. Price appreciation is not
expected to contribute to performance until at least the second half of the
year. Accordingly, the Fund will continue to emphasize coupon income as the
major source of returns.
<TABLE>
<CAPTION>
HYPOTHETICAL $10,000 INVESTMENT
8/31/94* 12/31/94 12/31/95 12/31/96
<S> <C> <C> <C> <C>
Government Bond $10,000
Salomon Bros 3-7 Yr. Treas./Gov't
<FN>
* Initial public offering commenced August 1, 1994.
</TABLE>
<TABLE>
<CAPTION>
Government Bond Fund
Average Annual Total Return
<S> <C>
One Year 2.69%
Since Inception 7.36%
</TABLE>
Past performance is not predictive of future performance.
2 THE ONE(R) GROUP(SM) INVESTMENT TRUST ANNUAL REPORT
<PAGE> 5
THE ONE(R) GROUP(SM) INVESTMENT TRUST
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
ASSET ALLOCATION FUND
DECEMBER 31, 1996
The equity portion of the Asset Allocation Fund is managed by Michael D. Weiner
and the fixed-income portion is managed by Roger Craig. The Fund seeks total
return while preserving capital by investing in common stocks, bonds and money
market securities.
The Asset Allocation Fund performed below the narrowly defined blended index,
60% of the S&P 500 and 40% of the Lipper Intermediate U.S. Government Bond
Index, with a total return for the year ended December 31, 1996 of 11.92% versus
14.93% for the index. The broader indices, the S&P 500 and the Lehman Brothers
Intermediate Government/Corporate Bond Index, returned 22.96% and 4.05% over the
same one year period. The Fund's performance can be attributed to stock
selection resulting from a bottom-up process. Strong performance in the bank,
health care, energy, consumer non-durable and retail sectors underlined the
year's relative equity performance. The year 1997 should offer an environment in
which stocks will continue to do well, but returns should revert back to the
high single digits or the low double digits.
The bond market continued to exhibit a Jekyll and Hyde personality, turning in a
lackluster performance last year after a good year in 1995. The year began
promisingly enough as most participants expected continued slow economic growth,
low inflation, and a Congressional budget deal to maintain momentum toward lower
interest rates. All hope was abandoned early on as the budget deal collapsed,
and fears of a quickened pace of economic activity and a pick-up in inflation
rapidly overtook investors. Late in the year the market finally recovered its
footing enough to finish the year with positive returns. Fortunately, the bond
exposure in the Asset Allocation Fund is somewhat shorter in duration than
comparable funds. This serves to dampen the impact of rising interest rates and
helps boost returns in balanced accounts.
<TABLE>
<CAPTION>
HYPOTHETICAL $10,000 INVESTMENT
8/1/94* 12/31/94 12/31/95 12/31/96
<S> <C> <C> <C> <C>
Asset Allocation $10,000 $13,329
LB interm. Gov't Corp $10,000 $11,913
Blended Index** $10,000 $14,864
S&P 500 $10,000 $17,170
<FN>
* Initial public offering commenced August 1, 1994.
**Blended Index consists of 60% S&P 500 & 40% Lipper Intermediate
U.S. Government Bond Index
</TABLE>
<TABLE>
<CAPTION>
Asset Allocation Fund
Average Annual Total Return
<S> <C>
One Year 11.92%
Since Inception 12.61%
</TABLE>
Past performance is not predictive of future performance.
THE ONE(R) GROUP(SM) INVESTMENT TRUST ANNUAL REPORT 3
<PAGE> 6
THE ONE(R) GROUP(SM) INVESTMENT TRUST
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
GROWTH OPPORTUNITIES FUND
DECEMBER 31, 1996
The Growth Opportunities Fund is managed by Richard R. Jandrain III. The Fund
seeks capital appreciation and, secondarily, current income by investing
primarily in common stocks of small and mid-size companies selected for growth
potential.
The Growth Opportunities Fund performed well for the year ended December 31,
1996, returning 15.67% versus 18.43% and 16.55% for its comparative indices, the
S&P/BARRA Midcap 400 Growth Index and the Russell 2000, respectively. The Fund
focused its investments in liquid and seasoned mid-cap growth companies. The
overall stock market once again managed to surpass most investors' expectations.
The financial services, technology and energy sectors led the market throughout
the year. Large investments in these areas significantly contributed to the
overall performance of the Fund in 1996. A continual focus on technology, health
care and services companies has paid off and will be just as important over the
next several years.
Continued low interest rates and a slow but steady economy should push corporate
earnings moderately higher. We expect 1997 to be another good year for equity
investors. The Federal Reserve is driving the economy slowly and predictably,
but with more consistency than ever before. Inflation has been steady and we
expect the same in 1997. Consistently low interest rates mixed with stable
economic growth are giving consumers and corporations the confidence to spend
and invest. Current stock valuations for mid-cap and small-cap growth companies
are not high relative to the overall market. Historical research leads us to
believe that mid and small-cap growth stock valuations will expand and fuel the
market even higher in 1997.
<TABLE>
<CAPTION>
HYPOTHETICAL $10,000 INVESTMENT
8/1/94* 12/31/94 12/31/95 12/31/96
<S> <C> <C> <C> <C>
Growth Opportunities $10,000 $13,919
S&P/BARRA Midcap 400 Growth $10,000 $15,552
Russell 2000 $10,000 $15,257
<FN>
* Initial public offering commenced August 1, 1994.
</TABLE>
<TABLE>
<CAPTION>
Growth Opportunities Fund
Average Annual Total Return
<S> <C>
One Year 15.67%
Since Inception 14.64%
Past performance is not predictive of future performance.
</TABLE>
The Russell 2000, an unmanaged index, is generally representative of small to
mid-sized companies. The S&P/BARRA Midcap 400 Growth Index, an unmanaged index,
represents the highest price to book securities in the S&P Midcap 400 Index. The
S&P/BARRA Midcap 400 Growth Index better represents the investment policies of
the Fund for comparison purposes.
4 THE ONE(R) GROUP(SM) INVESTMENT TRUST ANNUAL REPORT
<PAGE> 7
THE ONE(R) GROUP(SM) INVESTMENT TRUST
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
LARGE COMPANY GROWTH FUND
DECEMBER 31, 1996
The Large Company Growth Fund is managed by R. Lynn Yturri. The Fund's objective
is to achieve above-average long-term capital appreciation and growth of income
by investing primarily in common stocks of companies with large market
capitalizations.
In 1996, the stock market continued to perform in an impressive manner, rising
over 20% for the second year in a row. A solid background of stable inflation
and interest rates coupled with good growth in corporate profits has led
investors to accelerate investment of cash into equities. The primary
beneficiary of this enthusiasm for common stocks has been larger, well-known
companies that are leaders in their industries. The Large Company Growth Fund
has benefited from its ownership of many of these growth companies.
The total return of the Fund for the year ended December 31, 1996 was 16.67%
compared to the S&P/ BARRA 500 Growth Index and the S&P 500 Index total returns
of 23.97% and 22.96%, respectively. During the year, the primary investment
strategy was to move fund assets toward a higher growth profile. This has been
accomplished by reducing exposure to more cyclical industries and building
exposure to companies that offer more consistent growth. Having a greater growth
orientation has meant higher weightings in the health care, technology and
consumer sectors and lower exposure to energy and utilities. Large growth
companies typically perform well in an environment of slow growth and low
interest rates. However, higher interest rates would likely cause a correction
in growth stocks.
With the expectation of slowing corporate profit growth in 1997, we are being
quite selective in our stock purchases. We are working to identify companies
that have a strong new product cycle, companies that will benefit from lower
commodity prices or companies that are benefiting from secular or cyclical
growth in their industries. We are reducing exposure to companies that have
become overvalued and are experiencing either margin pressures or slowing
top-line growth.
<TABLE>
<CAPTION>
HYPOTHETICAL $10,000 INVESTMENT
8/1/94* 12/31/94 12/31/95 12/31/96
<S> <C> <C> <C> <C>
Large Co. $10,000 $14,558
S&P/BARRA 500 Growth $10,000 $17,878
S&P 500 $10,000 $17,170
<FN>
* Initial public offering commenced August 1, 1994.
</TABLE>
<TABLE>
<CAPTION>
Large Company Growth Fund
Average Annual Total Return
<S> <C>
One Year 16.67%
Since Inception 16.79%
Past performance is not predictive of future performance.
</TABLE>
The S&P 500, an unmanaged index, is generally representative of the performance
of large companies in the US stock market. The S&P/ BARRA 500 Growth Index, an
unmanaged index, represents the highest price to book securities in the S&P 500.
The benchmark index for the Large Company Growth Fund will be changing from the
S&P 500 to the S&P/BARRA 500 Growth Index in order to better represent the
investment policies of the Fund for comparison purposes.
THE ONE(R) GROUP(SM) INVESTMENT TRUST ANNUAL REPORT 5
<PAGE> 8
THE ONE(R) GROUP(SM) INVESTMENT TRUST
GOVERNMENT BOND FUND
STATEMENT OF INVESTMENTS -- DECEMBER 31, 1996
<TABLE>
<CAPTION>
- ---------------------------------------------------------
PRINCIPAL SECURITY VALUE
- ---------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT AND AGENCY OBLIGATIONS
(28.3%)
$1,000,000 Resolution Funding Corp.,
Principal STRIP, 2000 $ 794,529
2,000,000 Resolution Funding Corp.,
Principal STRIP, 2016 505,298
1,000,000 Resolution Funding Corp.,
Principal STRIP, 2020 200,029
1,000,000 U.S. Treasury Bond, 6.25%, 2023 937,187
900,000 U.S. Treasury Note, 7.50%, 2001 947,531
750,000 U.S. Treasury Note, 6.50%, 2005 755,156
-----------
TOTAL U.S. GOVERNMENT AND AGENCY
OBLIGATIONS 4,139,730
(cost $4,186,610) -----------
MORTGAGE-BACKED SECURITIES (69.0%)
614,481 FHLMC GOLD 5Y,
Pool #G50324, 6.50%, 2001 613,524
341,522 FHLMC GOLD 15Y, Pool #E20150,
8.50%, 1999 355,838
302,319 FHLMC GOLD 15Y, Pool #E62574,
6.50%, 2011 297,028
946,691 FHLMC GOLD 15Y, Pool #E63959,
7.00%, 2011 946,394
967,651 FHLMC GOLD 30Y, Pool #D55955,
8.00%, 2024 986,096
984,839 FHLMC GOLD 30Y, Pool #D65545,
6.50%, 2025 941,444
448,915 FNMA 7Y, 7.00%,
Pool #359952, 2003 450,039
797,261 FNMA 15Y, 7.50%,
Pool #279759, 2009 807,974
<CAPTION>
- ---------------------------------------------------------
PRINCIPAL SECURITY VALUE
- ---------------------------------------------------------
<S> <C> <C>
MORTGAGE-BACKED SECURITIES
(CONTINUED)
$252,500 FNMA 15Y, 6.50%,
Pool #356206, 2011 $ 247,923
471,856 FNMA 30Y, 6.50%,
Pool #250375, 2025 450,632
998,717 FNMA 30Y, 6.50%,
Pool #341811, 2026 952,838
882,410 FNMA 30Y, 8.50%,
Pool #348707, 2026 913,570
638,657 GNSF 30Y, 7.50%,
Pool #326977, 2023 639,056
882,181 GNSF 30Y, 7.00%,
Pool #404252, 2025 863,158
126,469 GNSF 30Y, 7.00%,
Pool #405535, 2025 123,742
500,000 GNSF 30Y, 7.50%,
Pool #2341, 2026 497,188
-----------
TOTAL MORTGAGE-BACKED SECURITIES 10,086,444
(cost $10,069,023) -----------
REPURCHASE AGREEMENT (2.0%)
290,000 Lehman Government Securities
Inc., 7.02%, dated 12/31/96, due
01/02/97, Collateralized by
$295,000 FCOR, due 12/04/00,
market value $296,855 290,000
-----------
TOTAL INVESTMENTS $14,516,174
(cost $14,545,633) ===========
</TABLE>
- -----------------------------------------------------------------
Cost also represents cost for Federal income tax purposes.
The abbreviations in the above statement stand for the following:
FHLMC Federal Home Loan Mortgage Corporation
FNMA Federal National Mortgage Association
GNSF Ginnie Mae Single Family
FCOR Federal Farm Credit--Medium Term Note--Structured
Portfolio holding percentages represent market value as a
percentage of net assets.
See accompanying notes to financial statements.
6 THE ONE(R) GROUP(SM) INVESTMENT TRUST ANNUAL REPORT
<PAGE> 9
THE ONE(R) GROUP(SM) INVESTMENT TRUST
ASSET ALLOCATION FUND
STATEMENT OF INVESTMENTS -- DECEMBER 31, 1996
<TABLE>
<CAPTION>
- -------------------------------------------------------
SHARES SECURITY VALUE
- -------------------------------------------------------
<S> <C> <C>
COMMON STOCK (41.0%)
CAPITAL GOODS (3.3%)
1,300 BWP-IP Holding, Inc. $ 21,450
1,800 Crane Co. 52,200
600 Fluor Corp. 37,650
1,400 General Electric Co. 138,425
400 Hubbell, Inc. Class A 15,200
500 Hubbell, Inc. Class B 21,625
800 Ingersoll Rand Co. 35,600
1,500 Mark IV Industries, Inc. 33,938
700 Teleflex, Inc. 36,488
900 Tyco International Ltd. 47,588
800 York International Corp. 44,700
-----------
484,864
-----------
CONSUMER DURABLE (1.6%)
600 Briggs & Stratton 26,400
1,500 Callaway Golf Co. 43,125
2,200 Ford Motor Co. 70,125
1,100 Harley Davidson, Inc. 51,700
400 Harman International Industries 22,250
1,700 Kaufman & Broad Home Corp. 21,887
-----------
235,487
-----------
CONSUMER NON-DURABLE (4.7%)
1,900 Archer-Daniels-Midland Co. 41,800
1,300 Coca Cola Co. 68,412
600 Colgate-Palmolive Co. 55,350
700 CPC International Inc. 54,250
700 Dole Foods, Inc. 23,712
900 First Brands Corp. 25,537
1,400 Newell Co. 44,100
1,000 PepsiCo, Inc. 29,250
1,100 Philip Morris Cos., Inc. 123,887
500 Proctor & Gamble Co. 53,750
900 Revlon, Inc. Class A* 26,887
800 RJR Nabisco Holding Corp. 27,200
800 Smithfield Foods, Inc.* 30,400
1,100 Sysco Corp. 35,887
600 Tupperware Corp. 32,175
700 Universal Corp. -- VA 22,488
-----------
695,085
-----------
CONSUMER SERVICES (2.1%)
700 Belo, (AH) Corp. 24,412
1,000 Carnival Corp. Class A 33,000
400 Walt Disney Co. 27,850
1,100 Hasbro, Inc. 42,762
1,500 Hilton Hotels Corp.* 39,187
1,300 McDonalds Co. 58,825
700 MGM Grand, Inc.* 24,412
1,500 Time Warner, Inc. 56,250
-----------
306,698
-----------
ENERGY (3.6%)
400 Atlantic Richfield 53,000
400 BJ Services* 20,400
<CAPTION>
- -------------------------------------------------------
SHARES SECURITY VALUE
- -------------------------------------------------------
<S> <C> <C>
ENERGY (CONTINUED)
900 Devon Energy Corp. $ 31,275
900 Enron Corp. 38,813
1,400 Exxon Corporation 137,200
600 Halliburton Co. 36,150
500 Helmerich & Payne 26,062
1,000 Mapco, Inc. 34,000
600 Mobil Corp. 73,350
400 Tosco Corp. 31,650
1,400 USX -- Marathon Group 33,425
800 Weatherford Enterra* 24,000
-----------
539,325
-----------
FINANCIAL SERVICES (6.1%)
300 Aames Financial Corp. 10,763
1,000 AFLAC, Inc. 42,750
500 AmSouth Bancorp 24,188
800 Bancorp Hawaii, Inc. 33,600
900 Bankamerica Corp. 89,775
800 Charter One Financial, Inc. 33,600
800 Chase Manhattan Corp. 71,400
500 CIGNA Corp. 68,313
1,400 Equitable Companies 34,475
2,100 Federal National Mortgage 78,225
Association
800 First of America Bank Corp. 48,100
1,000 Imperial Crown Industries, Inc.* 21,000
900 ITT Hartford Group 60,750
900 Keycorp 45,450
500 Morgan, J P & Co., Inc. 48,813
600 Provident Companies 29,025
1,100 SouthTrust Corp. 38,363
800 Sunamerica, Inc. 35,500
1,800 Travelers Group, Inc. 81,675
400 Washington Mutual, Inc. 17,325
-----------
913,090
-----------
HEALTH CARE (4.6%)
1,500 Abbott Laboratories 76,125
220 Allegiance Corp. 6,077
900 Amgen, Inc.* 48,936
1,100 Baxter International, Inc. 45,100
450 Cardinal Health 26,212
1,200 Columbia/HCA Health Care Corp. 48,900
300 HBO & Company 17,813
1,100 Lilly, Eli & Co. 80,300
900 Medtronic, Inc. 61,200
1,700 Merck & Co., Inc. 134,725
600 Phycor, Inc.* 17,025
1,000 Schering-Plough Corp. 64,750
700 Vencor, Inc.* 22,137
900 Watson Pharmaceuticals* 40,444
-----------
689,744
-----------
</TABLE>
THE ONE(R) GROUP(SM) INVESTMENT TRUST ANNUAL REPORT 7
<PAGE> 10
THE ONE(R) GROUP(SM) INVESTMENT TRUST
ASSET ALLOCATION FUND
STATEMENT OF INVESTMENTS -- DECEMBER 31, 1996 (CONTINUED)
<TABLE>
<CAPTION>
- ---------------------------------------------------------
SHARES SECURITY VALUE
- ---------------------------------------------------------
<S> <C> <C>
RAW MATERIALS (2.4%)
600 Aluminum Co. of America $ 38,250
600 Betzdearborn, Inc. 35,100
1,900 Crompton & Knowles 36,574
500 Du Pont (E.I.) De Nemours & Co. 47,187
600 Ferro Corp. 17,025
500 IMC Global Inc. 19,562
1,000 Monsanto Company 38,875
900 Nalco Chemical Co. 32,512
900 Praxair Inc. 41,512
500 Sigma-Aldrich Corp. 31,219
900 Wellman, Inc. 15,412
-----------
353,228
-----------
RETAIL (2.0%)
1,100 Carson Pirie Scott & Co. Ill.* 27,775
900 Dollar General Corp. 28,800
1,300 GAP, Inc. 39,162
1,100 Just For Feet, Inc.* 28,875
700 Nine West Group* 32,462
1,800 Officemax, Inc.* 19,125
800 TJX Cos. Inc. 37,900
3,500 Wal-Mart Stores, Inc. 80,062
-----------
294,161
-----------
TECHNOLOGY (6.5%)
1,100 Analog Devices* 37,263
500 Boeing Company (The) 53,187
1,300 Cicso Sytems, Inc.* 82,713
700 Compaq Computer Corp.* 51,975
400 Gateway 2000 INC.* 21,424
1,500 Intel Corp. 196,406
700 International Business Machines 105,700
400 Litton Industries* 19,050
400 Lockheed Martin Corp. 36,600
680 Lucent Technologies, Inc. 31,450
2,000 Microsoft* 165,250
1,300 National Semiconductors* 31,688
1,100 Oracle Corp.* 45,925
1000 Orbital Sciences Corp.* 17,250
800 Rohr, Inc.* 18,100
2,000 Sun Microsystems, Inc.* 51,375
-----------
965,356
-----------
UTILITIES (4.1%)
1,500 Central & Southwest Corp. 38,438
700 Century Telephone Enterprises, 21,613
Inc.
1,500 Consolidated Edison Co. NY 43,875
2,700 Edison International 53,663
1,200 GPU, Inc. 40,350
2,000 GTE Corp. 91,000
1,500 Illinova Corp. 41,250
1,400 MCN Corp. 40,425
700 National Fuel Gas Co. 28,875
1,700 New York St. Electric & Gas 36,763
Corp.
<CAPTION>
- -------------------------------------------------------
SHARES SECURITY VALUE
- -------------------------------------------------------
<S> <C> <C>
UTILITIES (CONTINUED)
1,500 SBC Communications, Inc. $ 77,625
1,200 Sprint Corporation 47,850
700 Telephone & Data Systems 25,375
1,100 Texas Utilities Co. 44,825
-----------
631,927
-----------
TOTAL COMMON STOCK 6,108,965
(cost $5,147,490) -----------
- -----------
PRINCIPAL
- -----------
CORPORATE BONDS (11.2%)
BANKS (1.7%)
$250,000 Banco Central Hispano
7.50%, due 06/15/05 253,563
-----------
BROKER-DEALERS (1.4%)
200,000 Lehman Brothers Holdings, Inc.
8.875%, due 11/01/98 208,368
-----------
DIVERSIFIED FINANCE (5.2%)
100,000 Associates Corp. of North America
100,163
6.125%, due 02/01/98
250,000 Chrysler Financial Corp.
243,500
5.875%, due 02/07/01
200,000 Ford Capital BV
219,875
9.375%, due 05/15/01
200,000 Morgan Stanley Group
6.50%, due 03/15/01 199,096
-----------
762,634
-----------
TELECOMMUNICATIONS (1.3%)
200,000 Ohio Bell Telephone Co.
5.75%, due 05/01/00 196,618
-----------
TRANSPORTATION (1.6%)
250,000 Hunt, J.B., Transport
6.25%, due 09/01/03 239,281
-----------
TOTAL CORPORATE BONDS 1,660,464
(cost $1,635,624) -----------
MORTGAGE-BACKED SECURITIES (5.5%)
190,621 Advanta Mortgage Loan Trust 94-3A2
7.60%, due 07/25/10 192,806
131,084 FNMA Pool #270725
7.00%, due 08/01/25 128,335
244,758 GNMA 15Y Pool #412559
7.00%, due 02/15/11 245,752
247,091 GNMA 30Y Pool #398663
7.50%, due 05/15/26 247,246
-----------
TOTAL MORTGAGE-BACKED SECURITIES 814,139
(cost $806,303) -----------
U.S. GOVERNMENT OBLIGATIONS
(21.1%)
15,000 U.S. Treasury Bills, 4.98%,
due 01/09/97** 14,986
10,000 U.S. Treasury Bills, 4.83%,
due 01/09/97** 9,991
15,000 U.S. Treasury Bills, 5.16%,
due 02/27/97** 14,885
</TABLE>
8 THE ONE(R) GROUP(SM) INVESTMENT TRUST ANNUAL REPORT
<PAGE> 11
THE ONE(R) GROUP(SM) INVESTMENT TRUST
ASSET ALLOCATION FUND
STATEMENT OF INVESTMENTS -- DECEMBER 31, 1996 (CONTINUED)
<TABLE>
<CAPTION>
- ------------------------------------------------------
PRINCIPAL SECURITY VALUE
- ------------------------------------------------------
<S> <C> <C>
U.S. GOVERNMENT
OBLIGATIONS (CONTINUED)
$ 30,000 U.S. Treasury Bills, 5.30%,
due 03/13/97** $ 29,709
10,000 U.S. Treasury Bills, 4.92%,
due 03/27/97** 9,885
425,000 U.S. Treasury Bond 7.875%,
due 02/15/21 480,117
1,250,000 U.S. Treasury Note 5.25%,
due 01/31/01 1,211,328
500,000 U.S. Treasury Note 6.50%,
due 08/31/01 505,469
825,000 U.S. Treasury Note 7.25%,
due 05/15/04 868,313
-----------
TOTAL U.S. GOVERNMENT
OBLIGATIONS 3,144,683
(cost $3,148,534) -----------
REPURCHASE AGREEMENTS (20.8%)
1,884,625 Aubrey Lanston Securities,**
6.80%, dated 12/31/96, due
01/02/97, Collateralized
by $1,853,000 U.S. Treasury
Notes, 8.875%, due 11/15/97,
market value $1,903,958 1,884,625
<CAPTION>
- ------------------------------------------------------
PRINCIPAL SECURITY VALUE
- ------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS
(CONTINUED)
$1,210,000 Lehman Government Securities, Inc.
7.02%, dated 12/31/96, due
01/02/97, Collateralized by
$1,230,000 FCOR, 6.57%, due
12/04/00, market value
$1,237,734 $ 1,210,000
-----------
TOTAL REPURCHASE AGREEMENTS 3,094,625
(cost $3,094,625) -----------
TOTAL INVESTMENTS $14,822,876
(cost $13,832,576) ===========
</TABLE>
- --------------------------------------------------------------------------------
* Denotes a non-income producing security.
** Security is segregated as collateral on futures contract.
Cost for Federal income tax purposes: $13,849,019.
The abbreviations in the above statement stand for the following:
FNMA Federal National Mortgage Association
GNMA Government National Mortgage Association
FCOR Federal Farm Credit--Medium Term Note--Structured
Portfolio holding percentages represent market value as a percentage of net
assets.
See accompanying notes to financial statements.
At December 31, 1996, the fund's open futures contracts were as follows:
<TABLE>
<CAPTION>
MARKET VALUE UNREALIZED
NUMBER OF CONTRACTS CONTRACT COVERED BY APPRECIATION
PURCHASED TYPE EXPIRATION CONTRACTS AT 12/31/96
- -----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Long--Standard &
5 Poor's 500 March 1997 $1,861,250 $15,955
</TABLE>
THE ONE(R) GROUP(SM) INVESTMENT TRUST ANNUAL REPORT 9
<PAGE> 12
THE ONE(R) GROUP(SM) INVESTMENT TRUST
GROWTH OPPORTUNITIES FUND
STATEMENT OF INVESTMENTS -- DECEMBER 31, 1996
<TABLE>
<CAPTION>
- ------------------------------------------------------
SHARES SECURITY VALUE
- ------------------------------------------------------
<S> <C> <C>
COMMON STOCK (90.1%)
BUSINESS EQUIPMENT & SERVICES
(14.5%)
5,000 AES Corp.* $ 232,500
4,600 America Online, Inc.* 152,950
3,500 Cintas Corp. 205,625
10,900 Equifax, Inc. 333,811
3,800 Fiserv, Inc.* 139,650
1,200 HNC Software* 37,500
3,200 Imnet Systems, Inc.* 77,600
3,100 Manpower, Inc. 100,750
4,500 Office Depot, Inc.* 79,875
3,400 Olsten Corp. (The) 51,425
5,200 Omnicom Group 237,900
6,400 Paychex, Inc. 329,200
6,900 Reynolds & Reynolds 179,400
17,700 Staples, Inc.* 319,706
5,366 Sterling Commerce* 189,152
2,700 Telespectrum Worldwide, Inc.* 42,862
5,500 Trusted Information Systems,
Inc.* 59,125
6,200 USA Waste Services* 197,625
100 United Auto Group, Inc.* 2,575
1,500 Verifone* 44,250
5,500 Viking Office Products, Inc.* 146,781
2,600 Wallace Computer Services, Inc. 89,700
-----------
3,249,962
-----------
CAPITAL GOODS (5.0%)
1,650 Crane Co. 47,850
3,450 Diebold, Inc. 216,919
1,700 Fastenal Co. 77,775
1,400 Federal Signal Co. 36,225
1,700 Precision Castparts Corp. 84,363
3,700 Sundstrand Corp. 157,250
9,100 Thermo Electron Corp.* 375,375
2,100 York International Corp. 117,338
-----------
1,113,095
-----------
CONSUMER DURABLE (2.1%)
4,100 Danaher Corp. 191,163
5,900 Harley Davidson, Inc. 277,300
-----------
468,463
-----------
CONSUMER NON-DURABLE (2.9%)
2,400 Dole Foods, Inc. 81,300
2,600 Imation Corp.* 73,125
3,600 Jones Apparel Group* 134,550
1,300 Lancaster Colony 59,800
2,700 Nine West* 125,213
1,500 Payless Shoe Source* 56,250
50 Richfood Holdings, Inc. 1,213
800 Smithfield Foods, Inc.* 30,400
2,300 Tambrands, Inc. 94,012
-----------
655,863
-----------
<CAPTION>
- ------------------------------------------------------
SHARES SECURITY VALUE
- ------------------------------------------------------
<S> <C> <C>
CONSUMER SERVICES (3.9%)
2,800 Belo, (AH) Corp., Series A $ 97,650
4,200 Callaway Golf Co. 120,750
5,500 Circus Circus Entertainment,
Inc.* 189,062
8,700 International Game Technology 158,775
11,200 Mirage Resorts* 242,200
800 Scholastic Corp.* 53,800
-----------
862,237
-----------
ENERGY (6.9%)
4,000 Anadarko Petroleum Corp. 259,000
1,900 BJ Services* 96,900
4,600 Ensco International, Inc.* 223,100
12,000 Global Marine* 247,500
4,900 Nabors Industries, Inc.* 94,325
3,800 Noble Affiliates 181,925
2,600 Smith International, Inc.* 116,675
4,000 Tidewater, Inc. 181,000
2,000 Transocean Offshore, Inc. 125,250
1,000 Varco International, Inc.* 23,125
-----------
1,548,800
-----------
FINANCIAL SERVICES (9.5%)
8,000 AFLAC, Inc. 342,000
2,500 Amresco, Inc.* 66,875
6,000 Franklin Resources, Inc. 410,250
2,600 Imperial Credit Industries,
Inc.* 54,600
5,000 Price, T Rowe & Associates, Inc. 217,500
12,500 Schwab, Charles Corp. 400,000
5,400 Summit Bancorp 236,250
8,900 Sunamerica, Inc. 394,937
-----------
2,122,412
-----------
HEALTHCARE (10.8%)
2,600 Apria Healthcare Group* 48,750
5,000 Biogen, Inc.* 193,750
9,000 Cardinal Health 524,250
4,500 Centocor, Inc.* 160,875
11,100 Chiron Corp.* 206,738
1,000 Dynamic Healthcare Technologies,
Inc.* 4,750
3,300 Health Care & Retirement* 94,463
2,250 Healthcare Compare* 95,344
3,400 Healthsource, Inc.* 44,625
10,000 HealthSouth Corp.* 386,250
6,600 Ivax Corp. 67,650
8,200 Medaphis Corp.* 91,737
200 Medpartners-Mullikin* 4,200
6,300 Mylan Labs 105,524
4,000 Nellcor Puritan Bennett, Inc.* 87,500
1,400 Scherer R. P. Corp.* 70,350
2,900 Stryker Corp. 86,637
3,000 Watson Pharmaceuticals* 134,813
-----------
2,408,206
-----------
</TABLE>
10 THE ONE(R) GROUP(SM) INVESTMENT TRUST ANNUAL REPORT
<PAGE> 13
THE ONE(R) GROUP(SM) INVESTMENT TRUST
GROWTH OPPORTUNITIES FUND
STATEMENT OF INVESTMENTS -- DECEMBER 31, 1996 (CONTINUED)
<TABLE>
<CAPTION>
- ------------------------------------------------------
SHARES SECURITY VALUE
- ------------------------------------------------------
<S> <C> <C>
MULTIPLE INDUSTRY (0.6%)
600 Advanced Fibre Communications,
Inc. $ 33,375
1,100 American Residential Services
Inc.* 29,838
1,800 Dominicks Supermarkets, Inc.* 39,150
900 Mastech Corp.* 17,100
100 Saville Systems PLC Sponsored
ADR* 4,063
-----------
123,526
-----------
RAW MATERIALS (2.5%)
4,500 Airgas, Inc.* 99,000
2,100 Crompton & Knowles 40,425
1,600 Georgia Gulf Corp. 43,000
5,700 IMC Global, Inc. 223,012
4,400 Lyondell Petrochemical Co. 96,800
3,000 RPM, Inc., Ohio 51,000
-----------
553,237
-----------
RETAIL (4.9%)
4,600 Bed, Bath and Beyond* 111,550
4,200 Claires Stores, Inc. 54,600
5,625 Consolidated Stores Corp.* 181,406
7,025 Dollar General Corp. 224,800
4,100 Kohls Corp.* 160,925
2,100 Lands End Corp.* 55,650
2,900 Lone Star Steakhouse* 77,575
2,600 Outback Steakhouse* 69,550
8,600 Sunglass Hut International* 62,350
2,800 Tiffany & Co. 102,550
-----------
1,100,956
-----------
SHELTER (2.6%)
5,893 Clayton Homes, Inc. 79,556
1,600 Hon Industries, Inc. 52,800
5,600 Leggett & Platt 193,900
2,800 Redwood Trust, Inc. 104,300
3,000 Sealed Air Corp.* 124,875
1,400 Sonoco Products Co. 36,225
-----------
591,656
-----------
TECHNOLOGY (20.6%)
7,900 A D C Telecommunications, Inc.* 245,887
4,000 Adobe Systems 149,500
1,500 Altera Corp.* 109,031
6,100 American Power Conversion* 166,225
8,050 Analog Devices, Inc.* 272,694
2,300 Atmel Corp.* 76,188
<CAPTION>
- ------------------------------------------------------
SHARES SECURITY VALUE
- ------------------------------------------------------
<S> <C> <C>
TECHNOLOGY (CONTINUED)
300 Aurum Software, Inc.* $ 6,937
6,500 BMC Software, Inc.* 268,937
7,600 Cadence Design System, Inc.* 302,100
600 Cisco Systems, Inc.* 38,175
2,600 Compuware Corp.* 130,325
3,600 Electronic Arts, Inc.* 107,775
2,000 Geotel Communication Corp.* 26,000
7,000 Informix Corp.* 142,625
3,700 Ingram Micro, Inc. Class A* 85,100
4,700 Intel Corp. 615,406
2,300 International Business Machines 347,300
4,000 Linear Technology Corp. 175,500
3,500 Maxim Integrated Products* 151,375
1,100 Mentor Graphics Corp.* 10,725
2,300 Micro Warehouse, Inc.* 27,025
3,100 Octel Communications Corp.* 54,250
10,400 Parametric Technology Corp.* 534,300
1,200 Puma Technology, Inc.* 20,700
200 Shiva Corp.* 6,975
3,000 Solectron Corp.* 160,125
800 Structural Dynamics Research
Corp.* 16,000
4,000 U S Robotics Corp.* 288,000
1,900 Xilinx, Inc.* 69,944
-----------
4,605,124
-----------
TRANSPORTATION (0.7%)
4,700 Illinois Central Corp., Series A 150,400
-----------
UTILITIES (2.6%)
5,400 360 Communications Co.* 124,875
10,400 Frontier Corp. 235,300
15,400 Nextel Communication* 201,163
700 Seagull Energy Corp.* 15,400
-----------
576,738
-----------
TOTAL COMMON STOCK 20,130,675
(cost $19,643,128) -----------
</TABLE>
<TABLE>
<CAPTION>
- ---------
PRINCIPAL
- ---------
<S> <C> <C>
U.S. GOVERNMENT OBLIGATIONS
(0.1%)
U.S. Treasury Bills,
$ 15,000 4.970%, due 01/16/97** 14,972
15,000 4.990%, due 01/30/97** 14,942
-----------
TOTAL U.S. GOVERNMENT
OBLIGATIONS 29,914
(cost $29,909) -----------
</TABLE>
THE ONE(R) GROUP(SM) INVESTMENT TRUST ANNUAL REPORT 11
<PAGE> 14
THE ONE(R) GROUP(SM) INVESTMENT TRUST
GROWTH OPPORTUNITIES FUND
STATEMENT OF INVESTMENTS -- DECEMBER 31, 1996 (CONTINUED)
<TABLE>
<CAPTION>
- ------------------------------------------------------
PRINCIPAL SECURITY VALUE
- ------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENTS (9.6%)
$ 753,850 Aubrey Lanston Securities**
6.80%, dated 12/31/96, due
01/02/97, Collateralized by
$759,000 U.S. Treasury Note,
5.25%, due 07/31/98, market
value $769,436 $ 753,850
1,396,000 Lehman Government Securities,
Inc., 7.02%, dated 12/31/96,
due 01/02/97, Collateralized by
$1,415,000 FCOR, due 12/04/00,
market value $1,423,897 1,396,000
-----------
TOTAL REPURCHASE AGREEMENTS 2,149,850
-----------
TOTAL INVESTMENTS
(cost $21,822,887) $22,310,439
===========
</TABLE>
- --------------------------------------------------------------------------------
* Denotes a non-income producing security.
** Security is segregated as collateral on futures contract.
Cost for Federal income tax purposes: $22,232,249.
The abbreviations on the above statement stand for the following:
ADR American Depository Receipt
PLC Public Limited Company
REIT Real Estate Investment Trust
FCOR Federal Farm Credit--Medium Term Note--Structured
Portfolio holding percentages represent market value as a percentage of net
assets.
See accompanying notes to financial statements.
At December 31, 1996, the Fund's open futures contracts were as follows:
<TABLE>
<CAPTION>
MARKET VALUE UNREALIZED
COVERED APPRECIATION
NUMBER OF CONTRACTS CONTRACT TYPE EXPIRATION BY CONTRACTS AT 12/31/96
- -----------------------------------------------------------------------------------------------------
<C> <S> <C> <C> <C>
2 Long-Standard & Poor's 500 March 1997 $744,500 $ 430
</TABLE>
12 THE ONE(R) GROUP(SM) INVESTMENT TRUST ANNUAL REPORT
<PAGE> 15
THE ONE(R) GROUP(SM) INVESTMENT TRUST
LARGE COMPANY GROWTH FUND
STATEMENT OF INVESTMENTS -- DECEMBER 31, 1996
<TABLE>
<CAPTION>
- -------------------------------------------------------
SHARES SECURITY VALUE
- -------------------------------------------------------
<S> <C> <C>
COMMON STOCK (90.9%)
BUSINESS AND EQUIPMENT (4.6%)
15,000 Automatic Data Processing, Inc. $ 643,125
1,900 Computer Science Corp. 156,037
8,600 Electronic Data Systems 371,950
8,600 Interpublic Group Cos, Inc. 408,500
11,800 WMX Technologies, Inc 384,975
-----------
1,964,587
-----------
CAPITAL GOODS (8.6%)
6,400 Emerson Electric Co. 619,200
5,100 Fluor Corp. 320,025
16,800 General Electric Co. 1,661,100
4,300 Illinois Tool Works 343,462
6,000 Ingersoll Rand Co. 267,000
7,900 Molex, Inc. 309,088
3,200 Tyco International Ltd. 169,200
-----------
3,689,075
-----------
CONSUMER NON DURABLE (18.8%)
10,100 Anheuser-Busch Co. 404,000
17,000 Coca Cola Co. 894,625
6,000 CPC International, Inc. 465,000
6,800 Colgate-Palmolive Co. 627,300
4,300 Duracell International 300,462
12,900 Heinz (H.J) Company 461,175
7,500 Hershey Foods Corp. 328,125
6,400 International Flavor and 288,000
Fragrances
7,300 Eastman Kodak Co. 585,825
19,300 PepsiCo, Inc. 564,525
10,500 Philip Morris Cos., Inc. 1,182,563
5,100 Pioneer Hi Bred International 357,000
9,900 Proctor & Gamble Co. 1,064,250
3,200 Unilever N.V. 560,800
-----------
8,083,650
-----------
CONSUMER SERVICES (4.7%)
7,700 Gannett Company, Inc 576,537
9,000 Disney, Walt Co. 626,625
10,300 McGraw-Hill Companies, Inc 475,088
9,600 Time Warner, Inc. 360,000
-----------
2,038,250
-----------
ENERGY (3.1%)
5,100 Halliburton Co. 307,275
1,700 Mobil Corp. 207,825
4,000 Schlumberger Ltd. 399,500
5,435 Union Pacific Resource Group,
Inc. 158,973
6,400 Unocal Corp. 260,000
-----------
1,333,573
-----------
<CAPTION>
- -------------------------------------------------------
SHARES SECURITY VALUE
- -------------------------------------------------------
<S> <C> <C>
FINANCIAL SERVICES (4.2%)
7,450 American International Group, $ 806,462
Inc.
3,400 Marsh & McLennan Cos., Inc. 353,600
3,400 Morgan, J P & Co. Inc. 331,925
7,100 U. S. Bancorp 319,056
-----------
1,811,043
-----------
HEALTHCARE (15.7%)
16,100 Abbott Laboratories 817,075
13,700 Alza Corp.* 354,488
3,400 Amgen, Inc. 184,875
4,400 Bard C R, Inc. 123,200
6,500 Biomet, Inc. 98,313
7,950 Cardinal Health 463,088
7,100 Columbia/HCA Health 289,324
12,000 Elan Plc ADR* 399,000
15,700 Johnson & Johnson Co. 781,075
5,100 Lilly Eli & Co. 372,300
9,600 Medtronic, Inc. 652,800
16,300 Merck & Co., Inc. 1,291,775
7,500 Pfizer, Inc. 621,562
4,300 Schering-Plough Corp. 278,425
-----------
6,727,300
-----------
MULTIPLE INDUSTRY (1.4%)
7,300 Minnesota Mining &
Manufacturing 604,988
-----------
RETAIL (6.1%)
4,300 Gap, Inc. 129,538
10,700 Home Depot, Inc. 536,338
5,800 May Department Stores 271,150
12,000 McDonalds Co. 543,000
10,700 Walgreen Co. 428,000
30,100 Wal-Mart Stores, Inc. 688,537
-----------
2,596,563
-----------
RAW MATERIALS (3.3%)
6,200 Air Products & Chemicals, Inc. 428,575
3,800 Dow Chemical Co. 297,825
6,400 Nalco Chemical Co. 231,200
17,200 Pall Corp. 438,600
-----------
1,396,200
-----------
SHELTER (1.6%)
2,500 Consolidated Papers, Inc. 122,813
6,000 Kimberly Clark Corp. 571,500
-----------
694,313
-----------
TECHNOLOGY (12.1%)
9,000 Cisco Systems, Inc. 572,625
3,800 Cabletron System, Inc. 126,350
11,200 Hewlett-Packard Co. 562,800
10,300 Intel Corp. 1,348,656
2,100 International Business Machines 317,100
6,375 Lucent Technologies, Inc. 294,844
</TABLE>
THE ONE(R) GROUP(SM) INVESTMENT TRUST ANNUAL REPORT 13
<PAGE> 16
THE ONE(R) GROUP(SM) INVESTMENT TRUST
LARGE COMPANY GROWTH FUND
STATEMENT OF INVESTMENTS -- DECEMBER 31, 1996 (CONTINUED)
<TABLE>
<CAPTION>
- -------------------------------------------------------
SHARES SECURITY VALUE
- -------------------------------------------------------
<S> <C> <C>
TECHNOLOGY (CONTINUED)
15,000 Microsoft Corp. $ 1,239,375
9,450 Oracle Corp. 394,538
4,900 Texas Instruments, Inc. 312,375
-----------
5,168,663
-----------
TRANSPORTATION (0.8%)
5,600 Union Pacific Corp. 336,700
-----------
UTILITIES (5.9%)
12,000 Alltel Corp. 376,500
17,200 AT & T Corp. 748,200
14,000 GTE Corp. 637,000
3,000 Consolidated Natural Gas 165,750
8,600 SBC Communications, Inc. 445,050
6,400 Worldcom, Inc. 166,800
-----------
2,539,300
-----------
694,060 TOTAL COMMON STOCK $38,984,205
(cost $34,148,021) -----------
<CAPTION>
- -------------------------------------------------------
PRINCIPAL SECURITY VALUE
- -------------------------------------------------------
<S> <C> <C>
REPURCHASE AGREEMENT (9.0%)
$3,861,000 Lehman Government Securities,
Inc., 7.02%, dated 12/31/96,
due 01/02/97, Collateralized by
$3,935,000 FHL2, due 12/20/00,
market value $3,941,040 $ 3,861,000
-----------
TOTAL INVESTMENTS $42,845,205
(cost $38,009,021) ===========
</TABLE>
- --------------------------------------------------------------------------------
* Denotes a non-income producing security.
Cost for Federal income tax purposes: $38,035,903.
The abbreviations on the above statement stand for the following:
ADR American Depository Receipt
FHL2 Federal Home Loan Bank Board
PLC Public Limited Company
Portfolio holding percentages represent market value as a percentage of net
assets.
See accompanying notes to financial statements.
14 THE ONE(R) GROUP(SM) INVESTMENT TRUST ANNUAL REPORT
<PAGE> 17
<TABLE>
THE ONE(R) GROUP(SM) INVESTMENT TRUST
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 1996
- ----------------------------------------------------------------------------------------------------
<CAPTION>
GOVERNMENT ASSET GROWTH LARGE COMPANY
BOND ALLOCATION OPPORTUNITIES GROWTH
----------- ----------- ----------- -------------
<S> <C> <C> <C> <C>
ASSETS
Investments in securities, at value (cost
$14,255,633, $10,737,951, $19,673,037
and $34,148,021, respectively) $14,226,174 $11,728,251 $20,160,589 $38,984,205
Repurchase agreements, at cost 290,000 3,094,625 2,149,850 3,861,000
----------- ----------- ----------- -----------
Total investments 14,516,174 14,822,876 22,310,439 42,845,205
Cash 678 635 243 532
Interest and dividends receivable 109,143 98,812 57,600 85,877
Deferred organization expenses 5,891 7,704 8,318 7,694
----------- ----------- ----------- -----------
Total assets 14,631,886 14,930,027 22,376,600 42,939,308
----------- ----------- ----------- -----------
LIABILITIES
Payable for futures variation margin -- 36,500 14,600 --
Management fee payable 3,420 -- 6,702 18,041
Administration fee payable 2,955 2,969 4,427 8,613
Other accrued expenses 3,619 7,246 12,070 19,308
----------- ----------- ----------- -----------
Total liabilities 9,994 46,715 37,799 45,962
----------- ----------- ----------- -----------
NET ASSETS $14,621,892 $14,883,312 $22,338,801 $42,893,346
=========== =========== =========== ===========
REPRESENTED BY:
Capital 14,650,892 13,909,454 22,273,389 38,081,693
Net unrealized appreciation on
investments and financial futures (29,459) 1,006,255 487,982 4,836,184
Accumulated undistributed (distributions
in excess of) net realized gain on
investments and financial futures 84 (32,397) (422,570) (24,531)
Accumulated undistributed net investment
income 375 -- -- --
----------- ----------- ----------- -----------
NET ASSETS $14,621,892 $14,883,312 $22,338,801 $42,893,346
=========== =========== =========== ===========
Shares of beneficial interest outstanding,
no par value (unlimited number of shares
authorized) 1,441,032 1,247,502 1,844,023 3,136,867
=========== =========== =========== ===========
NET ASSET VALUE, redemption and offering
price per share $ 10.15 $ 11.93 $ 12.11 $ 13.67
=========== =========== =========== ===========
</TABLE>
See accompanying notes to financial statements.
THE ONE(R) GROUP(SM) INVESTMENT TRUST ANNUAL REPORT 15
<PAGE> 18
THE ONE(R) GROUP(SM) INVESTMENT TRUST
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED DECEMBER 31, 1996
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GOVERNMENT ASSET GROWTH LARGE COMPANY
BOND ALLOCATION OPPORTUNITIES GROWTH
---------- ---------- ----------- -------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
INCOME:
Dividend income $ -- $ 91,451 $ 303,210 $ 511,734
Interest income 845,399 338,248 109,047 151,913
-------- ---------- ---------- ----------
Total income 845,399 429,699 412,257 663,647
-------- ---------- ---------- ----------
EXPENSES:
Investment advisory fees 55,463 70,520 92,003 190,477
Administration fees 29,580 24,178 33,970 70,330
Auditing fees 6,846 5,323 7,401 15,529
Legal fees 5,868 4,563 6,343 13,311
Custodian fees 11,500 28,600 45,484 28,000
Insurance expense 5,128 3,478 4,239 9,250
Trustees' fees 2,347 1,825 2,537 5,324
Other 7,699 6,086 6,489 7,584
-------- ---------- ---------- ----------
Total expenses before waivers 124,431 144,573 198,466 339,805
Less waivers (31,993) (43,830) (48,685) (53,497)
-------- ---------- ---------- ----------
Net expenses 92,438 100,743 149,781 286,308
-------- ---------- ---------- ----------
NET INVESTMENT INCOME $ 752,961 $ 328,956 $ 262,476 $ 377,339
-------- ---------- ---------- ----------
NET REALIZED AND UNREALIZED GAIN (LOSS):
Net realized gain on investments $ 3,774 $ 275,875 $ 1,162,557 $ 908,100
Net realized gain on financial futures -- 7,573 170,135 --
Net change in unrealized appreciation
(depreciation) on investments and
financial futures (319,475) 603,224 348,789 3,402,753
Net change in unrealized gain on financial
futures -- 12,010 3,590 --
-------- ---------- ---------- ----------
NET REALIZED AND UNREALIZED GAIN (LOSS) (315,701) 898,682 1,685,071 4,310,853
-------- ---------- ---------- ----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $ 437,260 $1,227,638 $ 1,947,547 $ 4,688,192
======== ========== ========== ==========
</TABLE>
See accompanying notes to financial statements.
16 THE ONE(R) GROUP(SM) INVESTMENT TRUST ANNUAL REPORT
<PAGE> 19
THE ONE(R) GROUP(SM) INVESTMENT TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GOVERNMENT BOND ASSET ALLOCATION
-------------------------- --------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
1996 1995 1996 1995
-------------------------- --------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
FROM OPERATIONS:
Net investment income $ 752,961 $ 436,517 $ 328,956 $ 127,603
Net realized gain on investments and
financial futures 3,774 128,998 283,448 97,556
Net change in unrealized appreciation
(depreciation) on investments and
financial futures (319,475) 445,748 615,234 425,670
----------- ---------- ----------- ----------
Net increase in net assets resulting
from operations 437,260 1,011,263 1,227,638 650,829
----------- ---------- ----------- ----------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (752,586) (436,517) (323,941) (127,603)
In excess of net investment income -- (47) -- (129)
From net realized gain from investment
transactions (3,690) (123,527) (283,448) (97,556)
In excess of net realized gain from
investment transactions -- -- (39,340) (3,945)
Tax return of capital distribution -- -- (30,180) --
----------- ---------- ----------- ----------
Decrease in net assets from
distributions to shareholders (756,276) (560,091) (676,909) (229,233)
----------- ---------- ----------- ----------
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sale of shares 5,454,874 2,839,265 8,337,534 2,810,916
Net asset value of shares issued to
shareholders from reinvestment of
distributions 756,276 644,533 676,909 241,319
Cost of shares redeemed (286,338) (30,855) (136,365) (82,255)
----------- ---------- ----------- ----------
Increase in net assets from capital
share transactions 5,924,812 3,452,943 8,878,078 2,969,980
----------- ---------- ----------- ----------
NET INCREASE IN NET ASSETS 5,605,796 3,904,115 9,428,807 3,391,576
NET ASSETS -- BEGINNING OF PERIOD 9,016,096 5,111,981 5,454,505 2,062,929
----------- ---------- ----------- ----------
NET ASSETS -- END OF PERIOD $ 14,621,892 $9,016,096 $ 14,883,312 $5,454,505
=========== ========== =========== ==========
Undistributed (distributions in excess of)
net realized gain on investments and
financial futures $ 84 $ -- $ (32,397) $ (3,945)
=========== ========== =========== ==========
Undistributed net investment income $ 375 $ -- $ -- $ --
=========== ========== =========== ==========
SHARE ACTIVITY:
Shares sold 533,833 272,833 716,926 260,452
Reinvestment of distributions 75,094 62,835 57,290 21,991
Shares redeemed (28,346) (2,974) (11,806) (7,550)
----------- ---------- ----------- ----------
Net increase in number of shares 580,581 332,694 762,410 274,893
=========== ========== =========== ==========
</TABLE>
See accompanying notes to financial statements.
THE ONE(R) GROUP(SM) INVESTMENT TRUST ANNUAL REPORT 17
<PAGE> 20
THE ONE(R) GROUP(SM) INVESTMENT TRUST
STATEMENTS OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH OPPORTUNITIES LARGE COMPANY GROWTH
-------------------------- ---------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
1996 1995 1996 1995
-------------------------- ---------------------------
<S> <C> <C> <C> <C>
INCREASE (DECREASE) IN NET ASSETS:
FROM OPERATIONS:
Net investment income $ 262,476 $ 14,093 $ 377,339 $ 172,555
Net realized gain on investments and
financial futures 1,332,692 240,787 908,100 96,379
Net change in unrealized appreciation of
investments and financial futures 352,379 150,831 3,402,753 1,449,235
----------- ---------- ----------- -----------
Net increase in net assets resulting
from operations 1,947,547 405,711 4,688,192 1,718,169
----------- ---------- ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (262,683) (13,886) (378,493) (172,344)
From net realized gain from investment
transactions (1,332,692) (240,787) (909,099) (95,380)
In excess of net realized gain on
investment transactions (400,841) (18,225) (24,531) --
----------- ---------- ----------- -----------
Decrease in net assets from
distributions to shareholders (1,996,216) (272,898) (1,312,123) (267,724)
----------- ---------- ----------- -----------
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sale of shares 13,771,622 5,384,494 22,166,931 10,232,823
Net asset value of shares issued to
shareholders from reinvestment of
distributions 1,996,216 272,898 1,312,123 287,675
Cost of shares redeemed (65,570) (45,174) (80,813) (26,565)
----------- ---------- ----------- -----------
Increase in net assets from capital
share transactions 15,702,268 5,612,218 23,398,241 10,493,933
----------- ---------- ----------- -----------
NET INCREASE IN NET ASSETS 15,653,599 5,745,031 26,774,310 11,944,378
NET ASSETS -- BEGINNING OF PERIOD 6,685,202 940,171 16,119,036 4,174,658
----------- ---------- ----------- -----------
NET ASSETS -- END OF PERIOD $ 22,338,801 $6,685,202 $ 42,893,346 $ 16,119,036
=========== ========== =========== ===========
Undistributed (distributions in excess of)
net realized gain on investments and
financial futures $ (422,570) $ (21,729) $ (24,531) $ 999
=========== ========== =========== ===========
Undistributed net investment income $ -- $ 207 $ -- $ 1,154
=========== ========== =========== ===========
SHARE ACTIVITY:
Shares sold 1,104,187 463,544 1,716,635 889,236
Reinvestment of distributions 164,755 23,720 97,037 24,630
Shares redeemed (5,144) (3,975) (6,234) (2,361)
----------- ---------- ----------- -----------
Net increase in number of shares 1,263,798 483,289 1,807,438 911,505
=========== ========== =========== ===========
</TABLE>
See accompanying notes to financial statements.
18 THE ONE(R) GROUP(SM) INVESTMENT TRUST ANNUAL REPORT
<PAGE> 21
THE ONE(R) GROUP(SM) INVESTMENT TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GOVERNMENT BOND ASSET ALLOCATION
---------------------------------------- ----------------------------------------
YEAR ENDED YEAR ENDED AUGUST 1, - YEAR ENDED YEAR ENDED AUGUST 1, -
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
1996 1995 1994* 1996 1995 1994*
------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE -- BEGINNING OF
PERIOD $ 10.48 $ 9.69 $10.00 $ 11.24 $ 9.81 $10.00
------- ------ ------ ------- ------ ------
Net investment income 0.59 0.64 0.22 0.34 0.36 0.06
Net realized and unrealized
appreciation (depreciation) (0.33) 0.94 (0.31) 0.98 1.64 (0.19)
------- ------ ------ ------- ------ ------
Total from investment
operations 0.26 1.58 (0.09) 1.32 2.00 (0.13)
------- ------ ------ ------- ------ ------
Distributions from net
investment income (0.59) (0.64) (0.22) (0.34) (0.36) (0.06)
Distributions from net
realized gains from
investment transactions -- (0.15) -- (0.23) (0.21) --
Distributions in excess of net
realized gains from
investment transactions -- -- -- (0.04) -- --
Tax return of capital
distribution -- -- -- (0.02) -- --
------- ------ ------ ------- ------ ------
Total distributions (0.59) (0.79) (0.22) (0.63) (0.57) (0.06)
------- ------ ------ ------- ------ ------
Net increase (decrease) in
net asset value (0.33) 0.79 (0.31) 0.69 1.43 (0.19)
------- ------ ------ ------- ------ ------
NET ASSET VALUE -- END OF PERIOD $ 10.15 $10.48 $ 9.69 $ 11.93 $11.24 $ 9.81
======= ====== ====== ======= ====== ======
Total return 2.69% 16.69% (0.90%) 11.92% 20.69% (1.32%)
RATIOS AND SUPPLEMENTAL DATA:
Net assets end of period (000) $ 14,622 $9,016 $5,112 $ 14,883 $5,455 $2,063
Ratio of expenses to average
net assets 0.75% 0.75% 0.75%** 1.00% 1.00% 1.00%**
Ratio of expenses to average
net assets excluding
waivers/reimbursements*** 1.01% 1.47% 1.94%** 1.44% 1.96% 2.36%**
Ratio of net investment income
to average net assets 6.11% 6.54% 6.09%** 3.27% 3.66% 1.88%**
Ratio of net investment income
to average net assets
excluding
waivers/reimbursements*** 5.85% 5.80% 4.90%** 2.83% 2.70% 0.52%**
Portfolio turnover 21.3% 34.1% 3.5% 64.8% 66.3% --
Average commission rate
paid**** -- -- -- 4.4023c -- --
</TABLE>
- ------------------------------------------------------
* Initial public offering was August 1, 1994.
** Ratios are annualized for periods of less than one year.
*** Ratios calculated as if no expenses were waived.
**** Represents the total amount of commission paid in portfolio equity
transactions divided by the total number of shares purchased and sold by
the Fund for which commissions were charged.
See accompanying notes to financial statements.
THE ONE(R) GROUP(SM) INVESTMENT TRUST ANNUAL REPORT 19
<PAGE> 22
THE ONE(R) GROUP(SM) INVESTMENT TRUST
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
GROWTH OPPORTUNITIES LARGE COMPANY GROWTH
---------------------------------------- ----------------------------------------
YEAR ENDED YEAR ENDED AUGUST 1, - YEAR ENDED YEAR ENDED AUGUST 1, -
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
1996 1995 1994* 1996 1995 1994*
------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE -- BEGINNING OF
PERIOD $ 11.52 $ 9.70 $10.00 $ 12.12 $ 9.99 $10.00
------- ------ ----- ------- ------- ------
Net investment income 0.18 0.04 -- 0.16 0.20 0.05
Net realized and unrealized
appreciation (depreciation) 1.62 2.29 (0.30) 1.86 2.20 0.01
------- ------ ----- ------- ------- ------
Total from investment
operations 1.80 2.33 (0.30) 2.02 2.40 0.06
------- ------ ----- ------- ------- ------
Distributions from net
investment income (0.19) (0.04) -- (0.16) (0.20) (0.05)
Distributions from net
realized gains from
investment transactions (0.78) (0.47) -- (0.30) (0.07) (0.02)
Distributions in excess of net
realized gains from
investment transactions (0.24) -- -- (0.01) -- --
------- ------ ----- ------- ------- ------
Total distributions (1.21) (0.51) -- (0.47) (0.27) (0.07)
------- ------ ----- ------- ------- ------
Net increase (decrease) in
net asset value 0.59 1.82 (0.30) 1.55 2.13 (0.01)
------- ------ ----- ------- ------- ------
NET ASSET VALUE -- END OF PERIOD $ 12.11 $11.52 $ 9.70 $ 13.67 $ 12.12 $ 9.99
======= ====== ===== ======= ======= ======
Total return 15.67% 24.06% (3.00%) 16.67% 24.13% 0.52%
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period
(000) $ 22,339 $6,685 $ 940 $ 42,893 $ 16,119 $4,175
Ratio of expenses to average
net assets 1.06% 0.90% 0.90%** 0.98% 0.90% 0.90%**
Ratio of expenses to average
net assets excluding
waivers/reimbursements*** 1.40% 2.78% 2.96%** 1.16% 1.64% 2.08%**
Ratio of net investment income
to average net assets 1.85% 0.46% (0.17%)** 1.29% 2.02% 1.39%**
Ratio of net investment income
to average net assets
excluding
waivers/reimbursements*** 1.51% (1.42%) (2.22%)** 1.11% 1.28% 0.22%**
Portfolio turnover 326.9% 193.3% 3.5% 38.7% 37.4% 4.4%
Average commission rate
paid**** 3.1357c -- -- 3.6143c -- --
</TABLE>
- ------------------------------------------------------
* Initial public offering was August 1, 1994.
** Ratios are annualized for periods less than one year.
*** Ratios calculated as if no expenses were waived.
**** Represents the total amount of commission paid in portfolio equity
transactions divided by the total number of shares purchased and sold by
the Fund for which commissions were charged.
See accompanying notes to financial statements.
20 THE ONE(R) GROUP(SM) INVESTMENT TRUST ANNUAL REPORT
<PAGE> 23
THE ONE(R) GROUP(SM) INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS
DECEMBER 31, 1996
- --------------------------------------------------------------------------------
NOTE 1 - ORGANIZATION
The ONE(R) GROUP(SM) Investment Trust (the Trust) was organized as a
Massachusetts Business Trust on June 7, 1993. The Trust is registered under the
Investment Company Act of 1940 as an open-end management investment company.
The Trust comprises four portfolios: the Government Bond Fund, the Asset
Allocation Fund, the Growth Opportunities (formerly the Small Company Growth)
Fund, and the Large Company Growth Fund (the Funds). The shares of the Funds
are sold only to Nationwide Life and Annuity Insurance Company (formerly
Financial Horizons Life Insurance Company), a subsidiary of Nationwide
Insurance Company, to fund the benefits of the ONE(R) GROUP(SM) Variable
Annuity.
Effective May 1, 1996, the Small Company Growth Fund changed its name to the
Growth Opportunities Fund.
Banc One Investment Advisors Corporation (Banc One) serves as Investment Advisor
to the Trust. Nationwide Advisory Services, Inc. (NAS), (formerly Nationwide
Financial Services, Inc.), serves as Administrator to the Trust. Nationwide
Investors Services, Inc. (NIS), an affiliate of NAS, serves as the Transfer
Agent to the Trust. For its services, NIS receives an annual fee of $2,500 for
each fund.
Investment operations commenced on August 23, 1994, for the Government Bond and
the Large Company Growth Funds, September 29, 1994, for the Asset Allocation
Fund and November 3, 1994, for the Growth Opportunities Fund.
NOTE 2 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
ORGANIZATION COSTS
Organization costs incurred in connection with the organization and initial
registration of the Trust were paid by the Administrator and have been
reimbursed by the Funds. Such organization costs have been deferred and are
being amortized ratably over a period of sixty months from the commencement of
operations. If any of the initial shares are redeemed before the end of the
amortization period, the proceeds of the redemption will be reduced by the
pro-rata share of the unamortized organization costs.
SECURITY VALUATION
Listed securities are valued at the last sales price on the principal exchange
where such securities are traded. Unlisted securities or listed securities for
which last sales prices are not available are valued at the quoted bid price in
the principal market where such securities are traded. Futures contracts are
valued at the settlement price established each day by the board of trade or
exchange on which they are traded. Investments for which there are no such
quotations are carried at fair value as determined by the Advisor under the
direction of the Board of Trustees.
The Funds may invest in repurchase agreements with institutions that the
investment advisor has determined are creditworthy. Each repurchase agreement is
recorded at cost. The Funds require that the securities purchased in a
repurchase agreement transaction be transferred to the custodian in a manner
sufficient to enable the Funds 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.
THE ONE(R) GROUP(SM) INVESTMENT TRUST ANNUAL REPORT 21
<PAGE> 24
THE ONE(R) GROUP(SM) INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
DECEMBER 31, 1996
- --------------------------------------------------------------------------------
FEDERAL INCOME TAX
The Trust treats each Fund as a separate entity for Federal income tax purposes.
Each Fund intends to continue to qualify as a regulated investment company by
complying with the provisions available to certain investment companies as
defined in applicable sections of the Internal Revenue Code, and to make
distributions from net investment income and from net realized capital gains
sufficient to relieve it from all, or substantially all, Federal Income Taxes.
SECURITY TRANSACTIONS AND INVESTMENT INCOME
Security transactions are recorded on the trade date. Dividend income is
recorded on the ex-dividend date; interest income is recorded on an accrual
basis and includes, where applicable, the pro-rata amortization of premium or
accretion of discount.
DIVIDENDS TO SHAREHOLDERS
Dividends are recorded on the ex-dividend date. The Funds declare and pay income
dividends quarterly. Distributable net realized capital gains are declared and
distributed at least annually. Dividends and distributions to shareholders are
determined in accordance with Federal income tax regulations which may differ
from generally accepted accounting principles. These "book/tax" differences are
considered either permanent or temporary in nature. To the extent that these
differences are permanent in nature, such amounts are reclassified within the
capital accounts based on their nature for Federal income tax purposes;
temporary differences do not require reclassification. Dividends and
distributions that exceed net investment income and net realized gains for
financial reporting purposes but not for tax purposes are reported as dividends
in excess of net investment income and net realized gains. To the extent
distributions exceed current and accumulated earnings and profits for Federal
income tax purposes, they are reported as distributions of paid-in-capital.
Accordingly, as of December 31, 1996, the capital accounts have been adjusted by
the following amounts:
<TABLE>
<CAPTION>
UNDISTRIBUTED
NET INVESTMENT DISTRIBUTIONS IN EXCESS
INCOME OF NET REALIZED GAIN CAPITAL
--------------- ------------------------- ----------------
<S> <C> <C> <C>
Asset Allocation $(5,015) $41,068 $(36,053)
</TABLE>
EXPENSES
Direct expenses of a Fund are allocated to that Fund. The general expenses of
the Trust are allocated to the Funds based on the relative net assets of the
Funds at the time the expense is incurred.
USE OF ESTIMATES
The preparation of financial statements in conformity with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts of assets and liabilities and disclosure of
contingent assets and liabilities at the date of the financial statements and
the reported amounts of revenues and expenses during the reporting period.
Actual results could differ from those estimates.
22 THE ONE(R) GROUP(SM) INVESTMENT TRUST ANNUAL REPORT
<PAGE> 25
THE ONE(R) GROUP(SM) INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
DECEMBER 31, 1996
- --------------------------------------------------------------------------------
NOTE 3 - AGREEMENTS
As Investment Advisor, Banc One manages the investments of each Fund of the
Trust and earns a fee from the Funds at the following annual rates: .45% of the
average daily net assets of the Government Bond Fund, .70% of average daily net
assets of the Asset Allocation Fund, .65% of the average daily net assets of the
Growth Opportunities Fund and .65% of the average daily net asset of the Large
Company Growth Fund. Such fees are calculated daily and paid monthly.
NAS provides administrative and accounting services to the Funds. For its
services, NAS earns a fee from the Trust at an annual rate of .24% of the
Trust's aggregate average daily net assets up to $250 million, .19% of such net
assets in excess of $250 million but less that $500 million, .16% of such net
assets in excess of $500 million but less than $1 billion, and .14% of such net
assets in excess of $1 billion.
The Investment Advisor has voluntarily agreed to waive all or part of its fees
in order to limit the Funds' operating expenses to no more than .75% of the
average daily net assets of the Government Bond Fund, 1.00% of the average daily
net assets of the Asset Allocation Fund, 1.10% of the average daily net assets
of each of the Growth Opportunities Fund and 1.00% of the average daily net
assets of the Large Company Growth Fund. Prior to May 1, 1996, the Growth
Opportunities and Large Company Growth Funds' expense limits were both .90%.
During the year ended December 31, 1996, the Investment Advisor voluntarily
waived fees in the amount of $31,993 in the Government Bond Fund, $43,830 in the
Asset Allocation Fund, $48,685 in the Growth Opportunities Fund and $53,497 in
the Large Company Growth Fund, representing $.026, $.051, $.043 and $.024 per
average share, respectively.
NOTE 4 - INVESTMENT TRANSACTIONS
Purchases and sales of securities (excluding U.S. Government obligations,
short-term securities and financial futures), and purchases and sales of U.S.
Government obligations for the year ended December 31, 1996, are summarized as
follows:
<TABLE>
<CAPTION>
PURCHASES SALES
----------- -----------
<S> <C> <C>
Government Bond $ 5,260,773 $ 702,824
Asset Allocation 9,036,144 4,699,566
Growth Opportunities 53,338,643 40,437,949
Large Company Growth 31,152,830 10,260,447
<CAPTION>
U.S. GOVERNMENT OBLIGATIONS
PURCHASES SALES
----------- -----------
<S> <C> <C>
Government Bond $3,062,291 $1,785,763
Asset Allocation 2,941,646 699,059
Growth Opportunities 227,163 215,000
Large Company Growth -- --
</TABLE>
The Asset Allocation and Growth Opportunities Funds are engaged in trading
financial futures contracts. The funds are exposed to market risks in excess of
the amounts recognized in the statement of assets and liabilities as a result of
changes in the value of the underlying financial instruments. Investments in
financial futures require the fund to "mark to market" such futures on a daily
basis, to reflect the change in the market value of the contract at the close of
each day's trading. Typically, variation margin payments are made or received to
reflect daily unrealized gains or losses. When the contracts are closed, the
fund recognizes a realized gain or loss. Realized gains and losses have been
computed on the first-in, first-out basis.
THE ONE(R) GROUP(SM) INVESTMENT TRUST ANNUAL REPORT 23
<PAGE> 26
THE ONE(R) GROUP(SM) INVESTMENT TRUST
NOTES TO FINANCIAL STATEMENTS -- CONTINUED
DECEMBER 31, 1996
- --------------------------------------------------------------------------------
A stock index futures contract is a bilateral agreement pursuant to which two
parties agree to take or make delivery of an amount of cash equal to a specified
dollar amount times the difference between the stock index value at the close of
trading of the contracts and the price at which the futures contract was
originally struck. The Funds' purpose in entering into futures contracts is to
remain fully invested and reduce transaction costs.
Net unrealized appreciation on investments and financial futures at December 31,
1996, based on cost for Federal income tax purposes, was as follows:
<TABLE>
<CAPTION>
GROSS GROSS NET UNREALIZED
UNREALIZED UNREALIZED APPRECIATION
APPRECIATION DEPRECIATION (DEPRECIATION)
------------ ------------ --------------
<S> <C> <C> <C>
Government Bond $ 127,472 $ (156,931) $ (29,459)
Asset Allocation 1,091,037 (101,225) 989,812
Growth Opportunities 910,771 (832,151) 78,620
Large Company Growth 5,156,169 (346,867) 4,809,302
</TABLE>
NOTE 5 - SHARES HELD BY AFFILIATES
As of December 31, 1996, Nationwide Life and Annuity Insurance Company
beneficially owned shares of the Funds with the following net asset values:
<TABLE>
<S> <C>
Government Bond $5,937,700
Asset Allocation 1,299,598
Growth Opportunities 34,798
Large Company Growth 4,367,545
</TABLE>
As of December 31, 1996, Banc One Capital Corporation owned shares of the Asset
Allocation Fund with a net asset value of $599,814.
NOTE 6 - DISTRIBUTIONS OF CAPITAL GAINS
During the year ended December 31, 1996, the Government Bond Fund, Asset
Allocation Fund, Growth Opportunities Fund and Large Company Growth Fund paid to
shareholders $3,690, $150,344, $250,211, and $932,634, respectively, from net
realized long-term capital gains.
24 THE ONE(R) GROUP(SM) INVESTMENT TRUST ANNUAL REPORT
