<PAGE> 1
ONE GROUP (R)
INVESTMENT TRUST
ANNUAL REPORT
for the year ended
December 31, 1999
<PAGE> 2
Annual Report
For the year ended December 31, 1999
BOND PORTFOLIO
GOVERNMENT BOND PORTFOLIO
BALANCED PORTFOLIO
LARGE CAP GROWTH PORTFOLIO
EQUITY INDEX PORTFOLIO
DIVERSIFIED EQUITY PORTFOLIO
MID CAP GROWTH PORTFOLIO
DIVERSIFIED MID CAP PORTFOLIO
MID CAP VALUE PORTFOLIO
<PAGE> 3
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Table of Contents
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ONE GROUP INVESTMENT TRUST DECEMBER 31, 1999
Portfolio Performance Review................................................ 2
Schedules of Portfolio Investments......................................... 21
Statements of Assets and Liabilities......................................... 57
Statements of Operations..................................................... 60
Statements of Changes in Net Assets.......................................... 63
Financial Highlights......................................................... 66
Notes to Financial Statements................................................ 75
Report of Independent Accountants............................................ 82
1
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One Group Investment Trust
Bond Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO PERFORMANCE REVIEW DECEMBER 31, 1999
HOW DID THE PORTFOLIO PERFORM?
For the year ended December 31, 1999, the Bond Portfolio posted a total return
of -1.50%.
HOW WOULD YOU CHARACTERIZE BOND MARKET PERFORMANCE IN 1999?
Interest rates rose significantly during 1999, as the U.S. economy continued to
grow, fueled by high levels of personal consumption and productivity. In
addition, falling unemployment, economic growth abroad, a moderate rise in
commodity prices and a strong U.S. equity market helped sustain growth. The
Federal Reserve, concerned about the potential for future inflation, began a
tightening effort that increased the federal funds rate a total of 0.75
percentage points for the year. More important, though, market rates increased
by more than 1.50 percentage points.
The mortgage sector experienced high levels of spread volatility during 1999.
Early in the year, strong refinancing activity and poor liquidity in the
secondary market negatively affected the sector, and spreads on mortgage-backed
securities were close to their historic highs. (Spreads refer to the differences
in yield between Treasury bonds and non-Treasury bonds. Non-Treasury bonds
become more attractive when spreads are wide.) Liquidity improved in the spring,
and spreads tightened. But, the recovery was short-lived due to concerns over
potential Fed rate hikes and Y2K. Then, during the fall, the Fed announced that
it would provide enough liquidity in the system to combat any perceived Y2K
concerns. This announcement, along with declining mortgage prepayments and lower
interest rate volatility, caused mortgage spreads to tighten once again. For the
year, mortgage-backed securities outperformed similar duration Treasuries by
approximately 1.35 percentage points.
HOW DID THESE EVENTS INFLUENCE PORTFOLIO PERFORMANCE?
The increase in interest rates during 1999 resulted in price depreciation for
the Portfolio and an overall negative rate of return. This is not surprising in
an environment where intermediate Treasury yields climbed 1.75 percentage
points. Nonetheless, mortgage-backed and asset-backed securities helped the
Portfolio on a yield basis and in general outperformed Treasuries, as their
prices declined less than Treasury prices.
WHAT WERE YOUR PRIMARY INVESTMENT STRATEGIES FOR THE YEAR?
We kept the Portfolio overweighted in high-quality mortgage-backed and
asset-backed securities during the year, which proved to be a positive for
relative performance. In these sectors, we focused on purchasing undervalued
securities that exhibited what we believed were superior risk/reward
characteristics. Furthermore, we maintained the Portfolio's duration very close
to the duration of the Lehman Aggregate Index. Duration for the year ranged
between 4.8 years and 5.3 years. (Duration is a measure of a fund's sensitivity
to interest rate changes. A higher duration indicates greater sensitivity; a
lower duration indicates less.)
WHAT IS YOUR OUTLOOK FOR THE MARKET?
Our long-term view on the bond market is positive. We believe that current
yields are at compelling levels. But we also believe that the market will remain
volatile, as we expect the Fed to raise the fed funds rate at least twice early
in the year. The Portfolio remains overweighted in the mortgage-backed sector
because we think the sector as a whole is still undervalued. Furthermore, we
believe that many of the securities the Portfolio owns are further undervalued
and should perform well in various interest rate environments. The Portfolio
also remains overweighted in the asset-backed sector, as we feel this area
should outperform Treasuries over the next year. Finally, we will continue to
stress higher-quality securities.
/s/ Douglas S. Swanson
Douglas S. Swanson
Team Leader
Banc One Investment Advisors Taxable Bond Team
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
2
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One Group Investment Trust
Bond Portfolio
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PORTFOLIO PERFORMANCE REVIEW, CONTINUED DECEMBER 31, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF DECEMBER 31,
1999
<TABLE>
<CAPTION>
Since
Inception
1 Year (5/1/97)
<S> <C> <C> <C>
Bond Portfolio -1.50% 5.67%
</TABLE>
<TABLE>
<CAPTION>
LEHMAN BRO. AGGREGATE BOND
BOND PORTFOLIO INDEX
-------------- --------------------------
<S> <C> <C>
5/97 10000.00 10000.00
12/97 10825.00 10867.00
12/98 11762.00 11809.00
12/99 11586.00 11711.00
</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
Variable Bond Fund for the period prior to the substitution.
The performance of the Bond Portfolio is measured against the Lehman Brothers
Aggregate Bond Index, an unmanaged index generally representative of the bond
markets as a whole. 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
Portfolio reflects the deduction of these expenses.
- ---------------
The Portfolio's composition is subject to change.
Please refer to the prospectus and the accompanying financial statements for
further information about your Portfolio.
3
<PAGE> 6
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One Group Investment Trust
Government Bond Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO PERFORMANCE REVIEW DECEMBER 31, 1999
HOW DID THE PORTFOLIO PERFORM?
For the year ended December 31, 1999, the Government Bond Portfolio posted a
total return of -1.31%.
HOW WOULD YOU CHARACTERIZE THE BOND MARKET OF 1999?
Interest rates rose significantly during 1999, as the U.S. economy continued to
surprise economists with high levels of income growth and low inflation. Early
in the year, investors expected that 1998's emerging market crisis would result
in a significant slowdown of the U.S. economy. This, combined with the potential
for dis-inflation, was expected to cause interest rates to drop and the yield
curve to steepen.
Nonetheless, the economy continued to grow, fueled by high levels of personal
consumption and productivity. In addition, falling unemployment, the
re-emergence of economic growth abroad, a moderate rise in commodity prices and
a skyrocketing U.S. equity market helped sustain growth. The Federal Reserve,
growing uncomfortable with the levels of growth, employment and equity markets
and the potential for future inflation, began a tightening course that increased
the federal funds rate 0.75 percentage points. More important, market rates
increased by more than 1.50 percentage points.
WHAT HAPPENED IN THE MORTGAGE-BACKED SECTOR?
High levels of spread volatility characterized the mortgage sector during 1999.
Early in the year, large volumes of refinancing activity as well as poor
liquidity in the secondary market negatively affected the sector, and spreads on
mortgage-backed securities were close to their historic highs. (Spreads refer to
the differences in yield between Treasury bonds and non-Treasury bonds.
Non-Treasury bonds become more attractive when spreads are wide.) Liquidity
improved in the spring, and spreads tightened. But, the recovery was
short-lived, as increasing concerns over potential Fed rate hikes and Y2K caused
interest rate volatility to spike and spreads to widen.
Finally, during the fall, the Fed announced that it would provide enough
liquidity in the system to combat any perceived Y2K concerns. This announcement,
along with declining mortgage prepayments and lower interest rate volatility,
caused mortgage spreads to tighten once again. For the year, mortgage-backed
securities outperformed similar duration Treasuries by approximately 1.35
percentage points.
HOW DID THESE EVENTS INFLUENCE PORTFOLIO PERFORMANCE?
Despite a difficult year for the bond market, the Portfolio performed relatively
well compared to similar investments. This was due to our basic strategy of
overweighting mortgage-backed securities and maintaining a duration of
approximately five years. (Duration is a measure of a fund's sensitivity to
interest rate changes. A higher duration indicates greater sensitivity; a lower
duration indicates less.) As interest rates rose, the duration of the
Portfolio's mortgage-backed component increased. Because our strategy involves
maintaining a stable duration close to five years, we have to balance the cost
of maintaining this duration with the potential for underperformance if duration
is allowed to drift higher. This decision is based primarily on the current
volatility of interest rates and quality spreads and on the overall shape of the
yield curve. The facts that the yield curve significantly flattened and interest
rate volatility was on the decline significantly reduced the cost of maintaining
our target duration, which, in turn, helped the Portfolio's relative
performance.
WHAT WAS THE PORTFOLIO'S PRIMARY INVESTMENT STRATEGY?
The Portfolio's ongoing strategy is to maximize total return while maintaining a
stable duration of approximately five years. We attempt to do this by investing
only in securities that are directly or indirectly guaranteed by the U.S.
government.
Our goal is to maximize return primarily from income by investing a significant
portion of the Portfolio in mortgage-backed securities that represent good
value. Because mortgage-backed durations tend to fluctuate with changes in
interest rates, we constantly must adjust the duration of the Portfolio's
holdings to maintain a duration of five years. This strategy generally is
successful when undervalued mortgage securities appreciate to their fair value
and when interest rate volatility remains low to moderate.
4
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One Group Investment Trust
Government Bond Portfolio
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PORTFOLIO PERFORMANCE REVIEW, CONTINUED DECEMBER 31, 1999
WHAT IS YOUR OUTLOOK FOR THE MARKET?
In the near term, we believe the Fed will continue to tighten monetary policy in
an effort to head off inflation. As such, we expect the Treasury yield curve to
remain relatively flat and potentially invert among short to intermediate
maturities. On the other hand, yield spreads between 10 and 30 years remain
extremely flat, and we expect some steepening by year-end.
Quality spread volatility is likely to subside. We expect spreads to rise
slightly in the first quarter of 2000 and then decline moderately for the
remainder of the year. In this environment mortgage-backed securities should
perform well, given their significant yield advantages over Treasuries. In
addition, the level of rates is likely to limit supply and curtail the value of
mortgage-backed securities' imbedded optionality, thereby making them a more
attractive investment.
/s/ Douglas S. Swanson
Douglas S. Swanson
Team Leader
Banc One Investment Advisors Taxable Bond Team
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
AVERAGE ANNUAL
TOTAL RETURN AS OF DECEMBER 31,
1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (8/1/94)
<S> <C> <C> <C>
Government Bond
Portfolio -1.31% 6.84% 6.12%
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The performance of the Government Bond Portfolio is measured against the Salomon
Brothers 3 to 7 Year Treasury Index, an unmanaged index comprised of US
Government agency and Treasury securities and agency mortgage-backed securities.
Investors are unable to purchase the index directly, although they can invest in
the underlying securities. The performance of the index does not reflect the
deduction of expenses associated with a mutual fund, such as investment
management fees. By contrast, the performance of the Portfolio reflects the
deduction of these expenses.
The Lehman Brothers Government Bond Index is an unmanaged market weighted index
that encompasses US Treasury and agency securities with maturities between 5 and
10 years. 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 Portfolio reflects the deduction of these
expenses.
The benchmark index for the Government Bond Portfolio has been changed from the
Salomon Brothers 3-7 Year Treasury Index to the Lehman Brothers Government Bond
Index in order to better represent the investment policies of the Portfolio for
comparison purposes.
- ---------------
The Portfolio's composition is subject to change.
Please refer to the prospectus and the accompanying financial statements for
further information about your Portfolio.
<TABLE>
<CAPTION>
SALOMON BROTHERS 3 TO 7
GOVERNMENT BOND LEHMAN U.S. GOVERNMENT YR TREASURY/GOVERNMENT
PORTFOLIO INDEX INDEX
--------------- ---------------------- -----------------------
<S> <C> <C> <C>
8/94 10000.00 10000.00 10000.00
12/94 9910.00 9895.00 9883.00
12/95 11564.00 11710.00 11507.00
12/96 11875.00 12034.00 11927.00
12/97 13023.00 13167.00 12916.00
12/98 13977.00 14486.00 14103.00
12/99 13794.00 14160.00 14042.00
</TABLE>
5
<PAGE> 8
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One Group Investment Trust
Balanced Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO PERFORMANCE REVIEW DECEMBER 31, 1999
HOW DID THE PORTFOLIO PERFORM?
For the year ended December 31, 1999, the Balanced Portfolio posted a total
return of 8.20%.
WHAT WAS THE PORTFOLIO'S ASSET ALLOCATION?
The Portfolio maintained an asset allocation of 60% stocks and 40% bonds
throughout the year. This represents a "normal" posture for the Portfolio.
Within the stock component, investments were equally distributed between growth
and value. We don't consciously overweight a single sector or a single style of
stock. Instead, we try to purchase the most attractive stocks, or those offering
greater return potential relative to their level of risk, in four different
styles -- large-capitalization growth, large-capitalization value,
mid-capitalization growth and mid-capitalization value.
The fixed income component was invested in a mix of Treasury, agency, corporate,
mortgage-backed and asset-backed securities.
HOW WOULD YOU CHARACTERIZE THE STOCK MARKET OF 1999?
Three distinct environments characterized the stock market of 1999. Early in the
year, deep value stocks staged a comeback with a short-lived rally. Then,
concerns about rising interest rates re-emerged, and larger-capitalization
growth stocks resumed their favored status. Finally, beginning in August certain
technology concepts caught investors' attention. Concepts such as
business-to-business Internet activity, wireless communications and optical
telephone components fueled a strong technology rally.
HOW DID THESE EVENTS AFFECT STOCK PERFORMANCE?
Each of these three market environments had an overall negative influence on
relative performance, primarily because the stock component's broadly
diversified composition prevented it from capitalizing on any single
environment.
More significant, the stock component did not have meaningful exposure to the
"concept technology" stocks that soared later in the year. Fueling this rally
were a number of small companies with big market capitalizations. Investors
disregarded price on these issues; what they were paying for expected growth
simply didn't matter. As a result, certain stocks were up between 200% and 300%
just in the final three months of the year. Of course, this method of
investing -- sector betting and chasing the fastest-growing stocks, regardless
of price -- contradicts our disciplined investment philosophy, and we did not
participate in the rally.
DID THE STOCK COMPONENT BENEFIT FROM ANY PARTICULARLY STRONG HOLDINGS?
The Portfolio enjoyed its strongest performance from a diverse group of
holdings. Among the leading performers were Cisco Systems, Wal-Mart, Morgan
Stanley, Nortel and Citigroup.
WHAT WERE THE TOP HOLDINGS IN THE STOCK PORTFOLIO?
As of December 31, 1999, the Portfolio's top 10 stock holdings included
Microsoft (technology) at 4.6% of stock portfolio value; General Electric
(capital goods), 3.9%; Cisco Systems (technology), 3.3%; Exxon Mobil (energy),
2.8%; Intel (technology), 2.4%; Citigroup (financial services), 2.1%; America
Online (business equipment and services), 2.0%; Lucent Technologies
(technology), 2.0%; Wal-Mart (retail) 1.9%; and MCI Worldcom (utilities), 1.9%.
HOW WOULD YOU CHARACTERIZE THE FIXED INCOME MARKET IN 1999?
Interest rates were up dramatically in 1999, representing a reversal of the
flight to quality experienced in 1998. At the beginning of 1999, investors
expected the Federal Reserve to continue its easing policy, but as the economy
started showing more strength, the Fed actually went back to a tightening mode.
In this environment, spread sectors (non-Treasury sectors of the fixed income
market) outperformed Treasuries.
WHAT WAS YOUR FIXED INCOME STRATEGY?
We maintained a neutral duration of 3.25 to 3.75 years, which helped protect the
portfolio from severe price declines resulting from rising interest rates.
(Duration is a measure of a fund's sensitivity to interest rate changes. A
higher duration indicates greater sensitivity; a lower duration indicates less.)
We also focused on adding incremental return through carefully timed,
yield-enhancing spread product purchases throughout the year. These purchases
consisted mostly of high-quality mortgage-backed securities.
6
<PAGE> 9
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One Group Investment Trust
Balanced Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO PERFORMANCE REVIEW, CONTINUED DECEMBER 31, 1999
Mortgage-backed securities, at 39% of fixed income assets, represented the
largest weighting in the fixed income portfolio, as we believed the mortgage
sector offered the best return potential. In other efforts to boost the
portfolio's exposure to yield-enhancing spread products, we increased the
weighting in asset-backed securities from 1% to 15% and the weighting in
government agency securities from 0% to 10%. All of these purchases involved
high-quality securities. In the corporate sector, quality concerns caused us to
reduce the portfolio's exposure by about 4%.
WHAT IS YOUR OUTLOOK FOR THE FINANCIAL MARKETS?
We remain hopeful that the stock market will return to some balance and
perspective, whereby "concept" stocks are no longer driving the growth sector.
We look forward to investors turning their attention away from speculative
stocks that possibly could offer 50% growth to those likely to provide 13% to
15% growth. We feel we can compete effectively in that type of environment.
In the fixed income market, we believe the Federal Reserve may make at least two
tightening moves in 2000. We expect spread sectors to once again outperform
Treasuries, so we plan to maintain our bias toward these areas of the market. We
also plan to continue focusing on high-quality securities and maintaining a
relatively short duration.
/s/ Michael D. Weiner
Michael D. Weiner
Team Leader
Banc One Investment Advisors Balanced Team
/s/ Douglas S. Swanson
Douglas S. Swanson
Team Leader
Banc One Investment Advisors Taxable Bond Team
/s/ Richard R. Jandrain III
Richard R. Jandrain III
Chief Investment Officer of Equity Securities
/s/ Gary J. Madich
Gary J. Madich, CFA
Chief Investment Officer of Fixed Income Securities
7
<PAGE> 10
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One Group Investment Trust
Balanced Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO PERFORMANCE REVIEW, CONTINUED DECEMBER 31, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF DECEMBER 31,
1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (8/1/94)
<S> <C> <C> <C>
Balanced Portfolio 8.20% 16.43% 14.79%
</TABLE>
The performance data quoted represents past performance and is not an indication
of future results. Investment return and NAV will fluctuate so that an
investor's shares, when redeemed, may be worth more or less than the original
cost. The total return set forth may reflect the waiver of a portion of the
fund's fees for certain periods since the inception date, without the waiver,
total return would have been lower.
The performance of the Balanced Portfolio is measured against the S&P 500 Index,
an unmanaged index generally representative of the performance of the large
companies in the US stock market. Investors are unable to purchase the index
directly, although they can invest in the underlying securities. The performance
of the index does not reflect the deduction of expenses associated with a mutual
fund, such as investment management fees. By contrast, the performance of the
Portfolio reflects the deduction of these expenses.
The Lehman Brothers Intermediate Government/Corporate Bond Index is an unmanaged
market weighted index which encompasses US Treasury and agency securities and
investment grade corporate and international (dollar-denominated) bonds with
maturities between 5 and 10 years. 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 Portfolio reflects the
deduction of these expenses.
The Lipper Balanced Funds Index is an index of funds who's primary objective is
to conserve principal by maintaining at all times a balanced portfolio of both
stocks and bonds. Unlike the indices shown above, the performance of the index
reflects the deduction of expenses associated with mutual funds, such as
investment management fees. These expenses are not identical to the expenses
charged by the Portfolio.
- ---------------
The Portfolio's composition is subject to change.
Please refer to the prospectus and the accompanying financial statements for
more information about the Portfolio.
<TABLE>
<CAPTION>
LIPPER BALANCED LB INTER GOVT/CORP.
BALANCED PORTFOLIO S&P 500 FUNDS INDEX INDEX
------------------ ------- --------------- -------------------
<S> <C> <C> <C> <C>
8/94 10000.00 10000.00 10000.00 10000.00
12/94 9868.00 10154.00 9930.00 9928.00
12/95 11909.00 13965.00 12334.00 11447.00
12/96 13329.00 17133.00 13764.00 11911.00
12/97 16382.00 22848.00 16311.00 12848.00
12/98 19509.00 29377.00 18354.00 13929.00
12/99 21109.00 35558.00 19389.00 13983.00
</TABLE>
8
<PAGE> 11
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One Group Investment Trust
Large Cap Growth Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO PERFORMANCE REVIEW DECEMBER 31, 1999
HOW DID THE PORTFOLIO PERFORM?
The Large Cap Growth Portfolio posted a total return of 29.26% for the year
ended December 31, 1999.
WHAT CONTRIBUTED TO SUCH STRONG PERFORMANCE?
Large-cap growth stocks once again dominated stock market performance, offering
strong, double-digit returns. Investors continued to show a preference for the
liquidity and earnings stability of the country's largest, growth-oriented
companies, at the expense of value stocks. Even a series of Federal Reserve
interest rate hikes did little to suppress the overall strength of growth
stocks.
Stock performance was aided during the year by continued growth in the U.S.
economy, which was fueled by high levels of personal consumption and
productivity. In addition, falling unemployment, the re-emergence of economic
growth abroad and a moderate rise in commodity prices helped sustain economic
growth in the United States.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Our primary, ongoing investment strategy is to search for good companies within
industries that are growing at a faster rate than the economy. These are
companies we believe have the ability to exhibit sustained growth at a defined
multiple of their underlying industry growth rate. In addition, we search for
strong management teams and superior product positioning.
We maintained an overweighted position in the technology sector during the year,
as we believed the industry fundamentals were compelling. As businesses continue
to strive for improvements in productivity and efficiency, spending on
technology has increased. Also, there was a deluge of spending on
Internet-related activities, e-commerce and Y2K readiness, all of which helped
make the technology sector the best-performing sector for the year.
Of course, we did not anticipate the narrowness of the market and how focused
investors would become on technology as the year progressed. As such, we
slightly reduced the Portfolio's technology weighting toward the end of the
year, as valuations became extreme.
DID THE PORTFOLIO BENEFIT FROM ANY PARTICULARLY STRONG HOLDINGS?
As a group, the Portfolio's technology holdings were up significantly during the
year. The Portfolio also enjoyed strong performance from many of its holdings in
the telephone utilities, communications and semiconductors. For example, in the
communications technology and software area, Nortel and Oracle provided strong
returns; in hardware and services, Sun Microsystems and EMC were up
significantly; among semiconductor companies, Applied Materials and Texas
Instruments were strong; and in the Internet sector, America Online was a top
performer.
In the retail sector, the Portfolio enjoyed solid performance from Wal-Mart.
Most other market sectors performed fairly well during the year, except for more
value-oriented groups, such as electric utilities and consumer non-durables. In
addition, bank stocks lagged due to rising interest rates, and health care
stocks struggled due to legislative concerns.
WHAT WERE THE PORTFOLIO'S TOP HOLDINGS?
As of December 31, 1999, the Portfolio's top 10 holdings included Microsoft
(technology) at 8.6% of portfolio value; General Electric (capital goods), 7.4%;
Cisco Systems (technology), 5.6%; Wal-Mart (retail), 4.9%; Intel (technology),
4.0%; Lucent Technologies (technology), 3.4%; America Online (business equipment
and services), 3.1%; Nortel Networks (telecommunications services and
equipment), 2.7%; Bristol Myers Squibb (health care), 2.4%; and Oracle
(technology), 2.4%.
WHAT IS YOUR OUTLOOK FOR THE MARKET?
Looking ahead, the biggest concern for large-cap growth stocks may be rising
interest rates. These stocks generally can handle a modest increase in interest
rates, but a substantial rate hike may pose problems. We expect the economy to
slow down a bit, and with that, we may take the opportunity to review some
stocks that haven't significantly participated in the market rally. We still
will concentrate on the fastest-growing areas of the market, but we will remain
conscious of valuations; we don't plan on simply chasing the market leaders. We
continue to believe that the best companies sell at a premium, but we want to
turn
9
<PAGE> 12
- --------------------------------------------------------------------------------
One Group Investment Trust
Large Cap Growth Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO PERFORMANCE REVIEW, CONTINUED DECEMBER 31, 1999
our research efforts to lesser-followed companies that have strong fundamentals
and lower valuations.
/s/ Richard R. Jandrain III
Richard R. Jandrain III
Chief Investment Officer of Equity Securities
AVERAGE ANNUAL
TOTAL RETURN AS OF DECEMBER 31,
1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (8/1/94)
<S> <C> <C> <C>
Large Cap Growth
Portfolio 29.26% 28.39% 26.07%
</TABLE>
<TABLE>
<CAPTION>
LARGE CAP GROWTH PORTFOLIO S&P 500/BARRA GROWTH INDEX
-------------------------- --------------------------
<S> <C> <C>
8/94 10000.00 10000.00
12/94 10052.00 10445.00
12/95 12478.00 14399.00
12/96 14558.00 17850.00
12/97 19207.00 24354.00
12/98 27133.00 34602.00
12/99 35072.00 44377.00
</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 performance of the Large Cap Growth Portfolio is measured against the S&P
500/BARRA Growth Index, an unmanaged index representing the performance of the
highest price to book securities in the S&P 500 Index. 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
Portfolio reflects the deduction of these expenses.
- ---------------
The Portfolio's composition is subject to change.
Please refer to the prospectus and the accompanying financial statements for
more information about the Portfolio.
10
<PAGE> 13
- --------------------------------------------------------------------------------
One Group Investment Trust
Equity Index Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO PERFORMANCE REVIEW DECEMBER 31, 1999
HOW DID THE PORTFOLIO PERFORM?
For the year ended December 31, 1999, the Equity Index Portfolio posted a total
return of 21.11%, compared to a total return of 21.04% for the S&P 500 Index,
the unmanaged group of stocks the Portfolio seeks to track.
WHAT CONTRIBUTED TO SUCH A STRONG RETURN?
A healthy economy and strong corporate earnings growth contributed to the
success of the S&P 500 Index during 1999. Once again, large-capitalization
growth stocks -- the type heavily represented in the S&P 500
Index -- outperformed other categories of U.S. stocks.
In addition to these factors, our quantitative strategies helped boost the
Portfolio's performance slightly higher than that of the Index. Through our
research efforts, we discovered that by buying new Index additions at the time
of Standard & Poor's pre-announcement, we could achieve performance advantages.
Our policy of purchasing S&P 500 futures also added to the Portfolio's
performance.
WHICH MARKET SECTORS OFFERED NOTABLE PERFORMANCE?
The Portfolio offered exposure to all market sectors represented in the S&P 500
Index. Overall, 10 out of the 12 sectors posted growth near 10% for the year.
And, because commodity prices firmed during the year, the index realized
extraordinary gains in the basic materials and energy sectors. But, the
strongest sector by far during the year was the technology sector, where several
stocks soared to new heights and posted significant gains.
WHAT WERE THE PORTFOLIO'S TOP HOLDINGS?
Because the Portfolio seeks to track the S&P 500 Index, its holdings matched and
were weighted similarly to those of the Index. As of December 31, 1999, the top
10 holdings included Microsoft (technology) at 4.8% of portfolio value; General
Electric (capital goods), 4.0%; Cisco Systems (technology), 2.8%; Wal-Mart
(retail), 2.4%; Intel (technology), 2.3%; Exxon Mobil (energy), 2.2%; Lucent
Technologies (technology), 1.9%; IBM (technology), 1.7%; America Online
(business equipment and services), 1.5%; and Citigroup (financial services),
1.5%.
WHAT IS YOUR OUTLOOK FOR THE U.S. STOCK MARKET?
The environment for stocks should remain favorable in 2000, although returns may
not be as strong as they were in 1999. In fact, we expect returns to revert to
levels that rival historic norms. We expect corporate profit expansion to remain
robust and broad-based. Most economic sectors are projected to post solid
growth, with the strongest returns being forecast for energy, technology, basic
materials and transportation.
We will continue to seek returns comparable to those of the U.S. stock market,
as represented by the S&P 500 Index.
/s/ Richard R. Jandrain III
Richard R. Jandrain III
Chief Investment Officer of Equity Securities
11
<PAGE> 14
- --------------------------------------------------------------------------------
One Group Investment Trust
Equity Index Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO PERFORMANCE REVIEW, CONTINUED DECEMBER 31, 1999
AVERAGE ANNUAL
TOTAL RETURN AS OF DECEMBER 31,
1999
<TABLE>
<CAPTION>
Since
Inception
1 Year (5/1/98)
<S> <C> <C> <C>
Equity Index Portfolio 21.11% 19.09%
</TABLE>
<TABLE>
<CAPTION>
EQUITY INDEX PORTFOLIO S&P 500
---------------------- -------
<S> <C> <C>
5/98 10000.00 10000.00
12/98 11052.00 11172.00
12/99 13385.00 13523.00
</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 performance of the Equity Index Portfolio is measured against the S&P 500
Index, an unmanaged index generally representative of the performance of large
companies in the US stock market. Investors are unable to purchase the index
directly, although they can invest in the underlying securities. The performance
of the index does not reflect the deduction of expenses associated with a mutual
fund, such as investment management fees. By contrast, the performance of the
Portfolio reflects the deduction of these expenses.
- ---------------
The Portfolio's composition is subject to change.
Please refer to the prospectus and the accompanying financial statements for
more information about your Portfolio.
S&P is a registered service mark of Standard & Poor's Corporation, which does
not sponsor and is in no way affiliated with the One Group Investment Trust.
12
<PAGE> 15
- --------------------------------------------------------------------------------
One Group Investment Trust
Diversified Equity Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO PERFORMANCE REVIEW DECEMBER 31, 1999
HOW DID THE PORTFOLIO PERFORM?
For the year ended December 31, 1999, the Diversified Equity Portfolio posted a
total return of 9.13%.
HOW WOULD YOU CHARACTERIZE THE STOCK MARKET OF 1999?
Three distinct environments characterized the stock market of 1999. Early in the
year, deep value stocks staged a comeback with a short-lived rally. Then,
concerns about rising interest rates re-emerged, and larger-capitalization
growth stocks resumed their favored status. Finally, beginning in August certain
technology concepts caught investors' attention. Concepts such as
business-to-business Internet activity, wireless communications and optical
telephone components fueled a strong technology rally.
HOW DID THESE EVENTS AFFECT PORTFOLIO PERFORMANCE?
Each of these three market environments had an overall negative influence on
relative Portfolio performance, primarily because the Portfolio's broadly
diversified composition prevented it from capitalizing on any single
environment. For example, the Portfolio was invested equally in value and growth
stocks throughout the year. Large-capitalization stocks comprised approximately
75% of the Portfolio, while the remainder was invested in mid-cap stocks.
More significant, the Portfolio did not have meaningful exposure to the "concept
technology" stocks that soared later in the year. Fueling this rally were a
number of small companies with big market capitalizations. Investors disregarded
price on these issues; what they were paying for expected growth simply didn't
matter. As a result, certain stocks were up between 200% and 300% just in the
final three months of the year. Of course, this method of investing -- sector
betting and chasing the fastest-growing stocks, regardless of
price -- contradicts our disciplined investment philosophy, and the Portfolio
did not participate in the rally.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Rather than emphasizing particular market sectors or trying to time the market's
next moves, we research, evaluate and select stocks on an individual basis to
build a diversified portfolio of our "best ideas." We don't consciously
overweight a single sector or a single style of stock. Instead, we try to
purchase the most attractive stocks, or those offering great return potential
relative to their level of risk, in four different
styles -- large-capitalization growth, large-capitalization value,
mid-capitalization growth and mid-capitalization value. By building a portfolio
one stock at a time, we occasionally may end up with an unintentional style
bias. As such, we formally review the Portfolio's style bias once a month to
make sure it makes sense.
Ideally, we want to find stocks with a decent balance of earnings revisions and
price momentum. We believe that a combination of good growth and good value
equals a good stock.
DID THE PORTFOLIO BENEFIT FROM ANY PARTICULARLY STRONG HOLDINGS?
Several of the Portfolio's technology holdings offered exceptionally strong
performance, including Cisco, Microsoft, EMC Corp. and Hewlett Packard. General
Electric also provided strong performance for the year.
WHAT WERE THE PORTFOLIO'S TOP HOLDINGS?
As of December 31, 1999, the Portfolio's top 10 holdings included Microsoft
(technology) at 4.8% of portfolio value; General Electric (capital goods), 3.9%;
Cisco Systems (technology), 3.5%; Exxon Mobil (energy), 2.9%; Intel
(technology), 2.4%; American International Group (financial services), 2.0%;
Citigroup (financial services), 1.9%; Wal-Mart (retail), 1.9%; EMC Corp.
(technology), 1.8%; and MCI Worldcom (utilities), 1.8%.
WHAT IS YOUR OUTLOOK FOR THE MARKET?
We remain hopeful that the stock market will return to some balance and
perspective, whereby "concept" stocks are no longer driving the growth sector.
We look forward to investors turning their attention away from speculative
stocks that possibly could offer 50% growth to those likely to provide 13% to
15% growth. We
13
<PAGE> 16
- --------------------------------------------------------------------------------
One Group Investment Trust
Diversified Equity Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO PERFORMANCE REVIEW, CONTINUED DECEMBER 31, 1999
feel we can compete effectively in that type of environment.
/s/ Michael D. Weiner
Michael D. Weiner
Team Leader
Banc One Investment Advisors Balanced Team
/s/ Richard R. Jandrain III
Richard R. Jandrain III
Chief Investment Officer of Equity Securities
AVERAGE ANNUAL
TOTAL RETURN AS OF DECEMBER 31,
1999
<TABLE>
<CAPTION>
Since
Inception
1 Year (3/30/95)
<S> <C> <C> <C>
Diversified Equity
Portfolio 9.13% 17.88%
</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
Variable Growth and Value Fund for the period prior to the substitution.
The performance of the Diversified Equity Portfolio is measured against the S&P
1500 SuperComposite Index, an unmanaged index consisting of those stocks making
up the S&P 500, S&P Mid Cap 400, and the S&P Small Cap 600 Indices representing
approximately 87% of the total US equity market capitalization. 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
Portfolio reflects the deduction of these expenses.
- ---------------
The Portfolio's composition is subject to change.
Please refer to the prospectus and the accompanying financial statements for
more information about the Portfolio.
<TABLE>
<CAPTION>
DIVERSIFIED EQUITY PORTFOLIO S&P 1500 SUPERCOMPOSITE INDEX
---------------------------- -----------------------------
<S> <C> <C>
3/95 10000.00 10000.00
12/95 11762.00 12487.00
12/96 13975.00 15280.00
12/97 17717.00 20318.00
12/98 20039.00 25670.00
12/99 21869.00 30869.00
</TABLE>
14
<PAGE> 17
- --------------------------------------------------------------------------------
One Group Investment Trust
Mid Cap Growth Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO PERFORMANCE REVIEW DECEMBER 31, 1999
HOW DID THE PORTFOLIO PERFORM?
The Mid Cap Growth Portfolio posted a total return of 25.42% for the year ended
December 31, 1999.
WHAT CONTRIBUTED TO SUCH STRONG PERFORMANCE?
Growth stocks once again dominated the U.S. stock market, as investors continued
to favor larger, growth-oriented corporations at the expense of value-oriented
stocks. Within the growth stock universe, though, the largest companies remained
the best-performing, primarily due to their liquidity and earnings stability.
Mid-cap growth stocks achieved a milestone earlier in the year. For the first
time in several quarters, mid-cap growth stocks outperformed large-cap growth
stocks in the second quarter. After a series of Federal Reserve rate cuts in
late 1998 helped restore some stability to the financial markets, concerns over
a global economic slowdown gradually diminished. Also, U.S. economic growth was
stronger than expected. Investors didn't feel as compelled to own the biggest
companies, and strong earnings and solid valuations among many mid-cap growth
stocks fueled interest in this area of the market. But, as the year progressed,
investors returned to the large-cap growth arena.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Our primary investment strategy is to identify high growth companies within
attractive, fast-growing industries. We look for companies that will benefit
from strong management teams and competitive advantages. These factors should
allow sustained high growth at a rate that outpaces the industry average.
We maintained an overweighted position in the technology sector during the year,
primarily because we believed the industry fundamentals were compelling. As
businesses continue to strive for improvements in productivity and efficiency,
spending on technology has increased. Also, there was a deluge of spending on
Internet-related activities, e-commerce and Y2K readiness, all of which helped
make the technology sector the best-performing sector for the year. Of course,
we did not anticipate the narrowness of the market and how focused investors
eventually would become on technology. As such, valuations became extreme toward
the end of the year, and we slightly reduced the Portfolio's technology
weighting.
Because of the Portfolio's diversified nature, our technology overweight was not
as significant as that of some of our peers. As such, the Portfolio's relative
performance slightly lagged.
DID THE PORTFOLIO BENEFIT FROM ANY PARTICULARLY STRONG HOLDINGS?
As a group, the Portfolio's technology holdings were up significantly during the
year. The Portfolio also enjoyed strong performance from many of its holdings in
the telephone utilities, communications and semiconductor sectors. For example,
in the communications technology and software area, Qualcomm and Veritas offered
extremely strong returns; among semiconductor companies, Teradyne and Analog
Devices were up significantly; in the hardware and services sector Qlogic and
Jabil Circuit offered strong performance; and among telephone utilities,
Broadwing was a strong performer.
Most other market sectors performed fairly well during the year, except for more
value-oriented groups, such as electric utilities and consumer non-durables. In
addition, bank stocks lagged due to rising interest rates, and health care
stocks struggled due to legislative concerns.
WHAT WERE THE PORTFOLIO'S TOP HOLDINGS?
As of December 31, 1999, the Portfolio's top 10 holdings included Veritas
Software (computer software) at 6.6% of portfolio value; Biogen (health care),
3.1%; Siebel Systems (technology), 2.9%; Maxim Integrated Products (technology),
2.7%; Univision Communications (consumer services), 2.3%; Med Immune (health
care), 2.2%; Intuit (technology), 2.2%; Linear Technology (technology), 2.1%;
Altera (technology), 1.9%; and Harley Davidson (consumer durables), 1.9%.
WHAT IS YOUR OUTLOOK FOR THE MARKET?
Looking ahead, rising interest rates pose the biggest concern for growth stocks.
These stocks generally can handle a modest increase in interest rates, but a
substantial rate hike may pose problems. We expect the economy to slow down a
bit, which may afford us the opportunity to review some overlooked stocks. We
still will concentrate on the fastest-growing areas of the market, but we will
remain conscious of valuations. We continue to believe that the best companies
sell at a
15
<PAGE> 18
- --------------------------------------------------------------------------------
One Group Investment Trust
Mid Cap Growth Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO PERFORMANCE REVIEW, CONTINUED DECEMBER 31, 1999
premium, but we want to turn our research efforts to lesser-followed companies
that have strong fundamentals and lower valuations.
/s/ Richard R. Jandrain III
Richard R. Jandrain III
Chief Investment Officer of Equity Securities
AVERAGE ANNUAL
TOTAL RETURN AS OF DECEMBER 31,
1999
<TABLE>
<CAPTION>
Since
Inception
1 Year 5 Year (8/1/94)
<S> <C> <C> <C>
Mid Cap Growth
Portfolio 25.42% 26.53% 23.56%
</TABLE>
<TABLE>
<CAPTION>
S&P MID CAP 400/BARRA
MID CAP GROWTH PORTFOLIO GROWTH INDEX
------------------------ ---------------------
<S> <C> <C>
6/94 10000.00 10000.00
12/94 9700.00 10316.00
12/95 12033.00 13132.00
12/96 13919.00 15550.00
12/97 18058.00 20258.00
12/98 25082.00 27319.00
12/99 31458.00 35170.00
</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 performance of the One Group Mid Cap Growth Portfolio is measured against
the S&P Midcap 400/BARRA Growth Index, an unmanaged index representing the
performance of the highest price to book securities in the S&P Midcap 400 Index.
Investors are unable to purchase the index directly, although they can invest in
the underlying securities. The performance of the index does not reflect the
deduction of expenses associated with a mutual fund, such as investment
management fees. By contrast, the performance of the Portfolio reflects the
deduction of these expenses.
- ---------------
The Portfolio's composition is subject to change.
Please refer to the prospectus and the accompanying financial statements for
more information about the Portfolio.
16
<PAGE> 19
- --------------------------------------------------------------------------------
One Group Investment Trust
Diversified Mid Cap Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO PERFORMANCE REVIEW DECEMBER 31, 1999
HOW DID THE PORTFOLIO PERFORM?
The Diversified Mid Cap Portfolio posted a total return of 10.50% for the year
ended December 31, 1999.
HOW WOULD YOU CHARACTERIZE THE STOCK MARKET OF 1999?
Three distinct environments characterized the stock market of 1999. Early in the
year, deep value stocks staged a comeback with a short-lived rally. Then,
concerns about rising interest rates re-emerged, and larger-capitalization
growth stocks resumed their favored status. Finally, beginning in August certain
technology concepts caught investors' attention. Concepts such as
business-to-business Internet activity, wireless communications and optical
telephone components fueled a strong technology rally.
HOW DID THESE EVENTS AFFECT PORTFOLIO PERFORMANCE?
The market climate of 1999 had an overall negative affect on Portfolio
performance, primarily because the Portfolio's diversified stance prevented it
from significantly benefiting from any single event. In particular, the
Portfolio did not participate in the technology rally, because most of the
"concept" stocks fueling that surge did not exhibit the fundamental
characteristics we demand of Portfolio investments.
In addition, 55% of the Portfolio's equity assets were invested in value stocks,
while 45% were invested in growth stocks during the year. Value
stocks -- particularly those in the mid-cap range -- significantly lagged their
growth counterparts throughout most of the year. Growth stocks in general
performed well during 1999, but large-cap growth stocks once again offered the
strongest performance. But, as the year progressed, growth became highly
concentrated in the technology sector. Investors looking for growth had to turn
to technology, and those looking for even greater growth had to turn to the
"concept technology" stocks.
WHAT WERE YOUR PRIMARY STRATEGIES AND TACTICS?
Our long-standing investment strategy is to use a bottom up approach in
selecting stocks. We look for companies with sustainable, above-average growth
prospects and superior levels of profitability. We prefer companies that display
competitive advantages and are protected from new competitive threats. We also
look for companies with shareholder-oriented management, solid financial
positions and reasonable liquidity. Once we screen for these characteristics, we
employ valuation criteria to ensure we are paying a reasonable price for the
stock.
This approach has proven to be very effective over the long term. But, there are
shorter periods when other styles of investing, such as those that emphasize
pure growth with little concern for valuation, dominate the market. This was the
case for most of the year.
In terms of tactics, we significantly increased the number of companies
represented in the portfolio, as we worked to become sector-neutral and
attempted to derive all our value-added from stock selection. The number of
names in the Portfolio increased during the year from 45 to approximately 100.
DID THE PORTFOLIO BENEFIT FROM ANY PARTICULARLY STRONG HOLDINGS?
All of the Portfolio's top performers for the year were found in the technology
sector. For example, Veritas Software, Xilinx, Teradyne, Comverse Technology and
Lexmark all posted significant gains.
WHAT WERE THE PORTFOLIO'S TOP HOLDINGS?
As of December 31, 1999, the Portfolio's top 10 holdings included Veritas
Software (computer software) at 4.2% of portfolio value; Xilinx (technology),
2.4%; Teradyne (technology), 2.3%; Omnicom Group (business equipment and
services), 2.2%; Young & Ribicam (business equipment and services), 2.2%; Analog
Devices (technology), 2.0%; SCI Systems (technology), 2.0%; Siebel Systems
(technology), 1.9%; Lexmark International (technology), 1.8%; and Sybron
International (health care), 1.6%.
WHAT IS YOUR OUTLOOK FOR THE MARKET?
We remain hopeful that balance and perspective will return to the stock market,
and that "concept stocks" will cease driving the growth sector. We also believe
that the Federal Reserve may continue on a tightening course, which may prove
beneficial for value stocks. We still think the value sector offers excellent
opportu-
17
<PAGE> 20
- --------------------------------------------------------------------------------
One Group Investment Trust
Diversified Mid Cap Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO PERFORMANCE REVIEW, CONTINUED DECEMBER 31, 1999
nities and, as such, we expect our current weighting of 55% value and 45% growth
to stand.
/s/ Michael D. Weiner
Michael D. Weiner
Team Leader
Banc One Investment Advisors Balanced Team
/s/ Richard R. Jandrain III
Richard R. Jandrain III
Chief Investment Officer of Equity Securities
AVERAGE ANNUAL
TOTAL RETURN AS OF DECEMBER 31,
1999
<TABLE>
<CAPTION>
Since
Inception
1 Year (3/30/95)
<S> <C> <C> <C>
Diversified Mid Cap
Portfolio 10.50% 15.98%
</TABLE>
<TABLE>
<CAPTION>
DIVERSIFIED MID CAP
PORTFOLIO S&P MID CAP 400 INDEX RUSSELL 2500
------------------- --------------------- ------------
<S> <C> <C> <C>
3/95 10000 10000 10000
12/95 11073 12104 12264
12/96 13768 14428 14596
12/97 17460 19081 18153
12/98 18317 22729 18222
12/99 20240 26075 22623
</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
Variable Mid Cap Opportunity Fund for the period prior to the substitution.
The performance of the Diversified Mid Cap Portfolio is measured against the S&P
Mid Cap 400 Index, an unmanaged index representing the mid-size company segment
of the U.S. stock market. 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 Portfolio reflects the
deduction of these expenses.
The Russell 2500 Index is an unmanaged index generally representative of the
small-to-medium-small stock market. The benchmark index for the Diversified Mid
Cap Portfolio has been changed from the Russell 2500 Index to the S&P Mid Cap
400 Index in order to better represent the investment policies of the Portfolio
for comparison purposes.
- ---------------
The Portfolio's composition is subject to change.
Please refer to the prospectus and the accompanying financial statements for
more information about the Portfolio.
18
<PAGE> 21
- --------------------------------------------------------------------------------
One Group Investment Trust
Mid Cap Value Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO PERFORMANCE REVIEW DECEMBER 31, 1999
HOW DID THE PORTFOLIO PERFORM?
For the year ended December 31, 1999, the Mid Cap Value Portfolio posted a total
return of -1.84%.
HOW WOULD YOU CHARACTERIZE THE MID-CAP VALUE MARKET OF 1999?
Mid-cap value stocks experienced a very difficult year. The market continued to
favor large-cap, fast-growing companies and tended to disregard value stocks,
particularly those in the mid-capitalization range. In general, investors showed
less concern for stock valuations and focused on stocks with higher
price/earnings ratios.
For a brief time during the year, it looked as though value was gaining ground.
From mid-March through mid-April, there was a big rally among deep value stocks.
At the time, many thought the lengthy growth rally was ending and moved into
these deep value stocks. Unlike relative value stocks -- the type we
prefer -- deep value stocks usually have suffered a serious setback that sends
the stock price tumbling. As such, we avoided jumping on the deep value
bandwagon and stuck to our discipline. This proved to be a wise move, because
within approximately a month deep value stocks retreated to their pre-rally
levels.
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 a sector-neutral stance and
within the context of our basis research discipline--investing in attractively
priced stocks with improving earnings growth that will lead to eventual price
appreciation. We generally focus on companies with market capitalizations of
less than $7 billion.
In our search for value stocks, we look for companies that exhibit an "earnings
catalyst," or some factor expected to improve the company's earnings growth.
This catalyst can be any one of a number of factors, including introducing a new
product, implementing a management turnaround, entering a new market, etc. We
chose not to chase stocks that we felt were inexpensively priced and would stay
that way. Instead, we remained dedicated to our long-term strategy and research
discipline.
In 1999, two key factors negatively affected Portfolio performance: 1) the
market's focus on the fastest-growing companies at the expense of value stocks;
and 2) the Portfolio's weighting in electric utilities. Electric utilities
generally offer strong value characteristics and a "safe haven" for investors.
But, 1999 clearly was not the year for this type of stock, and the Portfolio's
holdings in this sector dragged down returns. The Portfolio ended the year with
a 10.5% weighting in electric utilities--the Portfolio's largest industry
weighting. As a group, the Portfolio's electric utilities holdings were down
approximately 15% for the year.
HOW DID THE MARKET'S FOCUS ON TECHNOLOGY STOCKS AFFECT THE PORTFOLIO?
Among the favored, fast-growing companies were technology stocks, which soared
to phenomenal highs and contributed to the relative underperformance of value
stocks. Most of the high-flying technology stocks were from wireless
communication and Internet-related companies that do not possess the value
characteristics we demand of our Portfolio holdings.
While the Portfolio does invest in technology stocks, it generally does not
invest in the speculative, fast-growing type of technology stocks favored in
1999. In fact, technology stocks that do meet our valuation criteria and perform
well often become growth stocks. At that point, we generally will sell the
holding. This happened in 1999 with software company Intuit, the Portfolio's
largest holding for most of the year. In the fourth quarter alone, the stock
doubled in value. By late December, though, its valuation had become extreme,
and it entered the growth stock universe. Consequently, we sold our position,
and at a significant profit.
WHAT WERE THE PORTFOLIO'S TOP HOLDINGS?
As of December 31, 1999, the Portfolio's top 10 holdings included Telephone and
Data Systems (utilities), at 1.7% of portfolio value; Marshall & Ilsley Corp.
(financial services), 1.6%; Noble Drilling Corp. (energy), 1.4%; First Security
Corp. (financial services), 1.3%; Montana Power (utilities), 1.2%; Weatherford
International (energy), 1.2%; Ambac Financial Group (financial services), 1.1%;
DST Systems (technology), 1.1%; Charter One Financial (financial services),
1.0%; and Washington Post (consumer services), 1.0%.
19
<PAGE> 22
- --------------------------------------------------------------------------------
One Group Investment Trust
Mid Cap Value Portfolio
- --------------------------------------------------------------------------------
PORTFOLIO PERFORMANCE REVIEW, CONTINUED DECEMBER 31, 1999
WHAT IS YOUR OUTLOOK FOR THE MARKET?
Interest rates are likely to have an impact on the stock market and Portfolio
performance in 2000. We expect the Federal Reserve to continue its tightening
stance during the year, a policy that may stifle some growth. On the bright
side, interest rate increases may turn investors' attention back to the value
sector. We look for some of the disparity between growth and value stocks to
dissipate in 2000. As such, we plan to stay neutrally weighted among the value
sectors and to continue to search for the best stocks within those sectors.
/s/ Kathleen Cole
Kathleen Cole
Team Leader
Banc One Investment Advisors Value Team
/s/ Richard R. Jandrain III
Richard R. Jandrain III
Chief Investment Officer of Equity Securities
AVERAGE ANNUAL
TOTAL RETURN AS OF DECEMBER 31,
1999
<TABLE>
<CAPTION>
Since
Inception
1 Year (5/1/97)
<S> <C> <C> <C>
Mid Cap Value
Portfolio -1.84% 3.99%
</TABLE>
<TABLE>
<CAPTION>
S&P MID CAP 400/BARRA VALUE
MID CAP VALUE PORTFOLIO INDEX
----------------------- ---------------------------
<S> <C> <C>
5/97 10000.00 10000.00
12/97 11696.00 13145.00
12/98 11309.00 13759.00
12/99 11101.00 14079.00
</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
Variable Intrinsic Value Fund for the period prior to the substitution.
The performance of the Mid Cap Value Portfolio is measured against the S&P
Midcap 400/BARRA Value Index, an unmanaged index representing the performance of
the lowest price to book securities in the S&P Midcap 400 Index. Investors are
unable to purchase the index directly, although they can invest in the
underlying securities. The performance of the index does not reflect the
deduction of expenses associated with a mutual fund, such as investment
management fees. By contrast, the performance of the Portfolio reflects the
deduction of these expenses.
- ---------------
The Portfolio's composition is subject to change.
Please refer to the prospectus and the accompanying financial statements for
further information about your Portfolio.
20
<PAGE> 23
- --------------------------------------------------------------------------------
One Group Investment Trust
Bond Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- ---------------------------------- -----------
<C> <S> <C>
ASSET BACKED SECURITIES (7.2%):
$ 400,000 Americredit Automobile Receivables
Trust, Series 99-C, Class A3,
6.84%, 10/5/03.................. $ 400,538
200,000 Arcadia Automobile Receivables
Trust, Series 98-A, Class A4,
6.00%, 11/17/03................. 196,597
250,000 Arcadia Automobile Receivables
Trust, Series 98-B, Class A3,
5.95%, 11/15/02................. 248,946
500,000 Arcadia Automobile Receivables
Trust, Series 99-B, Class A4,
6.51%, 9/15/04.................. 493,847
145,008 Arcadia Automobile Receivables
Trust, Series 99-C, Class A2,
6.90%, 12/15/03................. 144,430
345,956 Countrywide Funding Corporation,
Series 93-8, Class A9, 7.65%,
12/25/23........................ 349,939
400,000 CPS Auto Trust, Series 98-3, Class
A4, 6.08%, 10/15/03............. 397,250
64,954 Olympic Automobile Receivables
Trust, Series 95-C, Class A2,
6.20%, 1/15/02.................. 64,997
300,000 Olympic Automobile Receivables
Trust, Series 96-C, Class A5,
7.00%, 3/15/04.................. 301,100
25,829 Onyx Acceptance Auto Trust, Series
96-1, Class A, 5.40%, 5/15/01... 25,805
250,000 Onyx Acceptance Auto Trust, Series
98-B, Class A2, 5.85%,
7/15/03......................... 246,364
500,000 Premier Auto Trust, Series 98-5,
Class A3, 5.07%, 7/8/02......... 491,292
200,000 Providian Master Trust, Series
99-2, Class A, 6.60%, 4/16/07... 198,559
200,000 Sears Credit Account Master Trust,
Series 98-1, Class A, 5.80%,
8/15/05......................... 197,763
70,799 WFS Financial Owner Trust, Series
96-C, Class A4, 6.80%,
12/20/03........................ 70,949
750,000 WFS Financial Owner Trust, Series
99-C, Class A2, 6.92%,
1/20/04......................... 747,919
295,280 World Omni Automobile Lease
Securitization, Series 97-B,
Class A3, 6.18%, 11/25/03....... 295,394
-----------
Total Asset Backed Securities 4,871,689
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- ---------------------------------- -----------
<C> <S> <C>
CORPORATE BONDS (6.0%):
Automobile (2.0%):
$ 300,000 Ford Motor Credit, 7.38%, 10/28/09
(b)............................. $ 296,767
300,000 Ford Motor Credit, 8.20%,
2/15/02......................... 306,972
300,000 General Motors Acceptance Corp.,
5.75%, 11/10/03................. 285,583
500,000 Hertz Corp., 6.50%, 5/15/06....... 473,852
-----------
1,363,174
-----------
Finance (3.1%):
200,000 Associates Corp. of North America,
5.96%, 5/15/37.................. 200,031
200,000 Associates Corp. of North America,
8.15%, 8/1/09................... 207,230
500,000 Associates Corp. of North America,
8.58%, 11/23/04................. 525,062
85,000 Associates Corp. of North America,
9.13%, 4/1/00................... 85,562
600,000 Citicorp, 8.00%, 2/1/03........... 613,004
500,000 Goldman Sachs Group LP, 6.25%,
2/1/03.......................... 485,082
-----------
2,115,971
-----------
Technology (0.9%):
500,000 Boeing Capital Corp. 6.36%,
7/15/05......................... 474,676
110,000 Boeing Capital Corp., 7.95%,
8/15/24......................... 114,525
-----------
589,201
-----------
Total Corporate Bonds 4,068,346
-----------
OTHER MORTGAGE BACKED SECURITIES (2.6%):
126,094 Chase Mortgage Finance
Corporation, Series 94-E, Class
A6B, 6.65%, 4/25/10............. 123,694
7,136 Merrill Lynch Home Equity Loan,
Series 92-1, Class A, 5.84%,
7/15/22......................... 7,139
499,000 PNC Mortgage Securities
Corporation, Series 99-4, Class
1A10, 6.75%, 6/25/29............ 457,197
200,000 Prudential Home Mortgage
Securities, Series 93-39, Class
A13, 6.45%, 10/25/08............ 168,000
1,000,000 Residential Accredit Loans, Inc.,
Series 96-QS3, Class AI11,
7.75%, 06/25/26................. 990,645
-----------
Total Other Mortgage Backed Securities 1,746,675
-----------
U.S. GOVERNMENT AGENCY MORTGAGES (37.9%):
Federal Home Loan Mortgage Corp. (16.5%):
238,943 4.50%, 3/15/07, Series #1295-JB,
CMO............................. 228,065
8,413 2.42%, 10/15/07, Series #1389-SA,
CMO............................. 8,037
242,865 2.50%, 2/15/08, Series #1465-SA,
CMO............................. 7,338
</TABLE>
21
Continued
<PAGE> 24
- --------------------------------------------------------------------------------
One Group Investment Trust
Bond Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- ---------------------------------- -----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Federal Home Loan Mortgage Corp., continued:
$ 40,038 5.50%, 4/15/08, Series #1489-L,
CMO............................. $ 38,653
341,600 0.00%, 5/15/08, Series 1989, Class
L............................... 284,468
128,358 8.50%, 5/15/08, Series #1606-LC,
CMO............................. 130,200
810,695 0.00%, 8/15/08, Series 1900, Class
T............................... 574,173
76,769 6.00%, 9/15/08, Series #1586-A,
CMO............................. 75,314
163,137 0.00%, 10/15/08, Series 1967,
Class PC........................ 119,947
49,855 7.86%, 12/15/08, Series #1647-SB,
CMO............................. 47,487
200,000 8.50%, 12/15/08, Series #1625-SD,
CMO............................. 198,907
199,762 6.40%, 2/15/09, Series #1679-O,
CMO............................. 185,346
125,000 6.57%, 2/15/09, Series 1796, Class
S............................... 111,154
381,237 9.00%, 6/1/10, Gold Pool
#G10777......................... 392,156
300,000 6.30%, 1/15/13, Series #2025-PE,
CMO............................. 275,159
376,009 1.65%, 10/15/13, Series #1595-S,
CMO............................. 7,882
281,947 8.21%, 10/15/13, Series #1607-SA,
CMO............................. 248,421
51,469 12.00%, 7/1/19, Pool #555238...... 55,799
219,347 9.50%, 7/15/19, Series #11-D,
CMO............................. 229,216
146,321 5.50%, 12/15/19, Series #1709-C,
CMO............................. 143,189
80,304 7.50%, 1/15/20, Series #1297-H,
CMO............................. 80,454
129,024 9.50%, 4/15/20, Series #22-C,
CMO............................. 133,449
50,581 10.00%, 6/15/20, Series #47-F,
CMO............................. 52,696
28,190 9.50%, 1/15/21, Series #99-Z,
CMO............................. 29,461
94,033 6.50%, 2/15/21, Series #128-I,
CMO............................. 91,344
48,392 9.00%, 4/15/21, Series #1065-J,
CMO............................. 50,152
500,000 0.00%, 2/15/22, Series 1987, Class
W............................... 279,030
211,000 7.00%, 5/15/22, Series #1250-J,
CMO............................. 202,665
400,000 6.00%, 10/15/22, Series #1395-G,
CMO............................. 366,979
100,322 8.50%, 10/15/22, Series #1646-MD,
CMO............................. 98,788
144,000 0.00%, 11/15/22, Series 2002,
Class A......................... 97,512
45,000 7.18%, 1/15/23, Series #1603-IF,
CMO............................. 45,568
484,208 1.67%, 5/15/23, Series #1592-TB,
CMO............................. 312,843
160,239 7.00%, 5/15/23, Series #1505-Q,
CMO............................. 151,914
266,976 8.53%, 5/15/23, Series #1614-VB,
CMO............................. 209,602
95,000 4.86%, 7/15/23, Series #1543-JC,
CMO............................. 59,421
812,024 6.25%, 9/15/23, Series #1589-Z,
CMO............................. 689,247
52,872 6.20%, 10/15/23, Series 1859,
Class SB........................ 9,688
100,000 6.82%, 10/15/23, Series #1689-SD,
CMO............................. 86,699
77,426 3.25%, 11/15/23, Series #1609-LG,
CMO............................. 61,180
141,783 6.00%, 11/15/23, Series #1685-Z,
CMO............................. 116,017
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- ---------------------------------- -----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Federal Home Loan Mortgage Corp., continued:
$ 24,473 8.50%, 11/15/23, Series #1619-SD,
CMO............................. $ 24,676
286,574 0.00%, 2/15/24, Series #1700-GA,
CMO............................. 207,879
373,978 0.00%, 2/15/24, Series 1860, Class
PA.............................. 212,972
27,820 7.57%, 2/15/24, Series #1686-SL,
CMO............................. 25,771
875,886 5.32%, 3/15/24, Series #1689-FC,
CMO............................. 811,699
344,962 6.00%, 5/15/27, Series #1981-Z,
CMO............................. 283,109
500,000 6.50%, 7/15/27, Series #2137-TG,
CMO............................. 469,862
933,000 7.50%, 9/15/27, Series #1987-PE,
CMO............................. 908,408
693,687 7.00%, 3/15/28, Series #2038-PN,
CMO............................. 146,125
500,000 7.50%, 5/15/28, Series #2054-PV,
CMO............................. 506,792
173,000 0.00%, 1/15/29, Series #2113-GA,
CMO............................. 62,488
491,926 6.50%, 6/1/29, Gold Pool
#C00785......................... 464,407
493,222 6.50%, 7/1/29, Gold Pool
#C29164......................... 465,631
-----------
11,175,439
-----------
Federal National Mortgage Assoc. (15.5%):
374,807 9.00%, 12/1/06, Pool #313699...... 387,955
33,021 8.52%, 5/25/07, Series 93-175,
Class S, CMO.................... 32,914
73,067 0.00%, 2/25/08, Series 96-24,
Class K......................... 64,163
182,020 8.47%, 8/25/08, Series 93-134,
Class SA, CMO................... 175,451
154,065 0.00%, 9/25/08, Series 96-20,
Class L......................... 113,060
150,000 0.00%, 9/25/08, Series 96-39,
Class J......................... 108,544
302,262 8.42%, 9/25/08, Series 93-164,
Class SA, CMO................... 282,932
557,610 8.88%, 9/25/08, Series 93-175,
Class SA, CMO................... 537,470
200,000 0.00%, 10/25/08, Series 96-24,
Class B......................... 134,290
120,444 5.57%, 10/25/08, Series 93-196,
Class FA, CMO................... 117,497
5,747 256.00%, 11/1/08, Series K, Class
2 STRIPS........................ 34,023
462,820 6.92%, 12/25/08, Series 93-233,
Class SB, CMO................... 409,106
400,000 7.89%, 2/25/09, Series 94-13,
Class SK, CMO................... 357,026
90,014 6.50%, 3/25/09, Series 95-13,
Class B......................... 88,027
49,707 2.47%, 11/25/13, Series 93-220,
Class SD, CMO................... 41,169
298,241 6.37%, 11/25/13, Series 93-220,
Class SE, CMO................... 276,922
</TABLE>
22
Continued
<PAGE> 25
- --------------------------------------------------------------------------------
One Group Investment Trust
Bond Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- ---------------------------------- -----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Federal National Mortgage Assoc., continued:
$ 500,000 6.50%, 12/18/17, Series 98-17,
Class TB, CMO................... $ 496,553
45,142 6.59%, 3/1/19, Pool #116612....... 45,419
16,175 6.50%, 6/25/19, Series G93-19,
Class K, CMO.................... 16,102
199,471 8.50%, 11/25/19, Series 89-83,
Class H, CMO.................... 204,917
66,543 8.80%, 1/25/20, Series 90-1, Class
D, CMO.......................... 68,400
59,428 5.50%, 8/25/20, Series 90-93,
Class G, CMO.................... 55,794
34,725 6.00%, 10/25/20, Series 92-204,
Class B, CMO.................... 34,588
286,122 6.50%, 12/25/20, Series 97-85,
Class L, CMO.................... 26,212
70,371 8.75%, 12/25/20, Series 90-143,
Class J, CMO.................... 72,380
906 652.15%, 12/25/20, Series 90-140
Class K, CMO.................... 18,714
13,015 6.50%, 10/25/21, Series 94-30,
Class LA, CMO................... 12,782
200,000 5.00%, 11/25/21, Series G92-66,
Class JB, CMO................... 178,404
310,970 7.00%, 1/25/22, Series G92-15,
Class Z, CMO.................... 303,615
1,800,000 7.50%, 6/25/22, Series 92-101,
Class J, CMO.................... 1,773,711
103,038 7.00%, 7/25/22, Series G92-42,
Class Z, CMO.................... 100,937
268,000 6.50%, 8/25/22, Series 96-59,
Class J......................... 254,124
400,000 5.50%, 9/25/22, Series 92-143,
Class MA, CMO................... 353,087
73,217 5.37%, 10/25/22, Series G92-59,
Class F, CMO.................... 70,012
120,000 5.74%, 10/25/22, Series 93-225,
Class FP, CMO................... 115,528
31,281 7.00%, 10/25/22, Series G92-61,
Class Z, CMO.................... 28,588
169,000 7.90%, 1/25/23, Series G93-1,
Class KA, CMO................... 168,712
100,633 0.00%, 2/25/23, Series G93-12,
Class C, CMO.................... 95,695
181,741 5.10%, 2/25/23, Series 98-35,
Class SV........................ 139,277
59,140 2.75%, 4/25/23, Series 93-44,
Class S, CMO.................... 5,664
13,104 5.50%, 4/25/23, Series 93-58,
Class J, CMO.................... 11,410
300,000 0.00%, 5/25/23, Series 93-146,
Class D, CMO.................... 258,981
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- ---------------------------------- -----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Federal National Mortgage Assoc., continued:
$ 17,437 6.75%, 5/25/23, Series 93-94,
Class K, CMO.................... $ 16,437
600,000 0.00%, 6/25/23, Series 93-257,
Class C......................... 354,160
651,771 1.07%, 6/25/23, Series 94-82,
Class SA, CMO................... 14,575
479,730 1.73%, 6/25/23, Series 94-28,
Class SD, CMO................... 307,683
74,859 2.17%, 8/25/23, Series 93-139,
Class SG, CMO................... 47,860
190,630 0.00%, 9/25/23, Series 93-248,
Class SB, CMO................... 141,335
116,988 2.50%, 9/25/23, Series 93-155,
Class SB, CMO................... 7,374
246,785 2.66%, 9/25/23, Series G93-32
Class SA, CMO................... 151,831
155,480 3.00%, 9/25/23, Series 93-193,
Class B, CMO.................... 139,746
190,630 9.00%, 9/25/23, Series 93-248,
Class FB, CMO................... 182,286
48,572 0.00%, 11/25/23, Series 94-8,
Class G, CMO.................... 38,729
142,979 7.10%, 12/25/23, Series 93-230,
Class FA, CMO................... 142,154
448,927 0.00%, 2/25/24, Series 99-16,
Class B......................... 231,869
117,867 7.00%, 11/17/24, Series G94-13,
Class ZB, CMO................... 111,048
4,640,662 1.84%, 3/25/27, Series 97-20,
Class IB, CMO................... 262,972
200,000 7.50%, 5/20/27, Series 97-39,
Class PD, CMO................... 195,237
97,459 5.87%, 3/1/29, Pool #303532....... 95,506
-----------
10,510,957
-----------
Government National Mortgage Assoc. (5.9%):
120,000 7.00%, 8/16/13, Series 96-22 Class
VB, CMO......................... 115,340
95,734 8.00%, 9/15/22, Pool #297628...... 97,333
298,564 2.00%, 10/16/22, Series 94-4,
Class SA, CMO................... 12,426
250,000 7.49%, 7/16/24, Series 94-3, Class
PQ, CMO......................... 246,916
149,936 8.50%, 5/20/25, Pool #2006........ 153,605
491,000 7.50%, 9/17/25, Series 98-26,
Class K......................... 485,617
713,000 7.50%, 8/16/26, Series 96-16,
Class E, CMO.................... 704,159
354,924 8.00%, 11/20/26, Pool #2324....... 357,944
569,491 8.00%, 1/20/27, Pool #2362........ 573,990
500,000 7.50%, 5/16/27, Series 97-8, Class
PN, CMO......................... 495,676
</TABLE>
23
Continued
<PAGE> 26
- --------------------------------------------------------------------------------
One Group Investment Trust
Bond Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- ---------------------------------- -----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Government National Mortgage Assoc. continued:
$ 229,804 8.00%, 5/15/28, Pool #460372...... $ 232,633
160,065 8.00%, 7/15/28, Pool #468066...... 162,035
411,084 7.50%, 9/15/28, Pool #486537...... 407,167
-----------
4,044,841
-----------
Total U.S. Government Agency Mortgages 25,731,237
-----------
U.S. TREASURY OBLIGATIONS (30.9%):
U.S. Treasury Bonds (28.5%):
400,000 10.38%, 11/15/09(b)............... 460,750
9,745,000 12.75%, 11/15/10(b)............... 12,598,463
2,790,000 10.38%, 11/15/12(b)............... 3,390,723
2,400,000 8.75%, 5/15/17 (b)................ 2,865,751
-----------
19,315,687
-----------
U.S. Treasury Inflation Protected Bonds (1.3%):
200,000 3.63%, 7/15/02(b)................. 208,085
200,000 3.38%, 1/15/07(b)................. 200,191
550,000 3.63%, 4/15/28(b)................. 511,394
-----------
919,670
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- ---------------------------------- -----------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS, CONTINUED:
U.S. Treasury STRIPS (1.1%):
$ 500,000 11/15/11.......................... $ 224,592
300,000 2/15/13........................... 123,222
450,000 2/15/14........................... 172,238
800,000 5/15/18........................... 230,569
-----------
750,621
-----------
Total U.S. Treasury Obligations 20,985,978
-----------
REPURCHASE AGREEMENT (14.7%):
9,952,000 State Street Bank, 3.00%, 1/3/00
(Collateralized by $10,155,000
Federal National Mortgage
Assoc., 6.35%, 6/22/01, market
value $10,155,000).............. 9,952,000
-----------
Total Repurchase Agreement 9,952,000
-----------
SHORT-TERM SECURITIES HELD AS COLLATERAL (18.0%):
Repurchase Agreement (18.0%):
12,237,976 Lehman Brothers A2/P2 Tri-Party,
4.65%, 1/3/00 (Collateralized by
$12,852,438 Silver Tower US
Funding Commercial Paper,
5/23/00, market value
$12,852,438).................... 12,237,976
-----------
Total Short-Term Securities Held as
Collateral 12,237,976
-----------
Total (Cost $81,694,885)(a) $79,593,901
===========
</TABLE>
- ------------
Percentages indicated are based on net assets of $67,843,537.
(a) Represents cost for financial reporting purposes and differs from value by
net unrealized depreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 236,259
Unrealized depreciation...................... (2,337,243)
-----------
Net unrealized depreciation.................. $(2,100,984)
===========
</TABLE>
(b) A portion of this security was loaned as of December 31, 1999.
The abbreviations in the above statement stand for the following:
<TABLE>
<S> <C>
CMO Collateralized Mortgage Obligation
STRIPS Separate Trading of Registered Interest and Principal
Securities
</TABLE>
See accompanying notes to financial statements.
24
<PAGE> 27
- --------------------------------------------------------------------------------
One Group Investment Trust
Government Bond Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- ---------------------------------- -----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES (66.4%):
Federal Home Loan Mortgage Corp. (31.2%):
$ 38,841 6.50%, 1/1/01, Gold Pool
#G50324......................... $ 38,385
111,572 8.50%, 12/1/09, Gold Pool
#E20150......................... 115,267
577,209 7.00%, 2/1/11, Gold Pool
#E63959......................... 573,215
950,992 5.50%, 3/1/14, Gold Pool
#E75738......................... 884,955
379,870 6.00%, 4/1/14, Gold Pool
#E76438......................... 361,739
961,700 6.50%, 6/1/14, Gold Pool
#E00678......................... 934,349
500,000 6.00%, 2/15/17, Series #2108-VB,
CMO............................. 451,136
1,500,000 6.50%, 1/15/22, Series #2149-TR,
CMO............................. 1,454,423
250,000 6.50%, 11/15/22, Series #1552-HB,
CMO............................. 235,964
239,000 6.50%, 9/15/23, Series #1584-L,
CMO............................. 216,648
333,000 6.50%, 11/15/23, Series #1621-K,
CMO............................. 302,513
201,000 6.50%, 3/15/24, Series #1694-PK,
CMO............................. 183,826
1,000,000 8.50%, 4/15/24, Series #1761-J,
CMO............................. 1,036,264
261,999 8.00%, 9/1/24, Gold Pool
#D55955......................... 264,735
731,695 6.50%, 11/1/25, Gold Pool
#D65545......................... 696,274
918,243 6.00%, 4/1/26, Gold Pool
#D70244......................... 850,458
345,000 6.50%, 10/17/26, Series #1985-PL,
CMO............................. 318,860
1,500,000 6.00%, 2/15/27, Series #2091-PF... 1,349,674
2,285,000 6.25%, 4/15/27, Series #2018-PE,
CMO............................. 2,041,636
1,000,000 6.50%, 1/15/28, Series #2137-TM... 929,460
120,000 6.00%, 2/15/28, Series #2165-PD,
CMO............................. 108,369
1,500,000 6.95%, 3/15/28, Series #2035-PC,
CMO............................. 1,425,490
295,287 8.50%, 7/1/28, Gold Pool
#G00981......................... 303,499
2,000,000 6.50%, 8/15/28, Series #2080-PJ,
CMO............................. 1,821,904
3,313,369 6.50%, 2/1/29, Gold Pool
#C22459......................... 3,133,320
-----------
20,032,363
-----------
Federal National Mortgage Assoc. (9.2%):
201,633 7.00%, 9/1/03, Pool #359952....... 201,662
735,528 7.00%, 7/17/05, Series 97-26,
Class GD, CMO................... 732,985
400,000 8.63%, 2/25/09, Series 94-13,
Class SM, CMO................... 365,408
142,786 7.50%, 8/1/09, Pool #279759....... 144,115
156,498 6.50%, 11/1/11, Pool #356206...... 152,561
500,000 6.00%, 1/17/13, Series 98-37,
Class VB, CMO................... 452,909
1,000,000 6.50%, 6/25/14, Series 98-59,
Class VB, CMO................... 926,789
347,353 9.50%, 6/25/18, Series 88-16,
Class B, CMO.................... 366,866
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- ---------------------------------- -----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Federal National Mortgage Assoc., continued:
$ 500,000 6.00%, 5/25/22, Series 93-204,
Class A, CMO.................... $ 482,622
245,000 7.00%, 9/25/23, Series 93-155,
Class PJ, CMO................... 236,585
337,690 6.50%, 9/1/25, Pool #250375....... 321,198
641,932 6.50%, 5/1/26, Pool #338417....... 609,810
1,000,000 6.50%, 10/25/28, Series 98-58,
Class PC, CMO................... 909,475
-----------
5,902,985
-----------
Government National Mortgage Assoc. (26.0%):
292,765 7.50%, 5/15/23, Pool #326977...... 291,415
199,024 7.50%, 6/15/23, Pool #359588...... 198,107
202,656 9.00%, 11/15/24, Pool #780029..... 212,578
424,522 7.50%, 9/15/25, Pool #336427...... 421,224
87,649 7.00%, 12/15/25, Pool #405535..... 85,030
1,500,000 6.38%, 11/20/26, Series 98-14,
Class PG, CMO................... 1,393,042
1,456,151 8.00%, 11/20/26, Pool #2324....... 1,468,543
218,229 7.50%, 12/20/26, Pool #2341....... 216,658
500,000 6.50%, 6/20/27, Series 97-19,
Class PJ, CMO................... 462,393
408,806 6.75%, 7/20/27, Pool #80094....... 410,985
223,463 8.00%, 10/15/27, Pool #412336..... 226,278
1,260,407 8.00%, 10/15/27, Pool #451507..... 1,276,288
330,525 7.00%, 11/15/27, Pool #412369..... 320,153
742,783 7.50%, 1/15/28, Pool #427208...... 735,704
442,359 6.50%, 3/15/28, Pool #467705...... 416,030
430,065 7.00%, 4/15/28, Pool #472543...... 416,045
422,949 7.00%, 6/15/28, Pool #472679...... 409,160
368,422 7.50%, 7/15/28, Pool #780828...... 364,911
224,262 6.50%, 9/15/28, Pool #467225...... 210,914
2,000,000 7.50%, 9/16/28, Series 99-33,
Class PQ, CMO................... 1,986,142
1,000,000 6.50%, 9/20/28, Series 98-22,
Class PD, CMO................... 893,043
913,949 7.00%, 11/15/28, Pool #469699..... 884,154
500,000 6.00%, 5/20/29, Series 99-17,
Class L, CMO.................... 417,687
996,445 7.50%, 7/15/29, Pool #472104...... 986,689
1,998,589 7.50%, 11/15/29, Pool #521674..... 1,979,023
-----------
16,682,196
-----------
Total U.S. Government Agency Mortgages 42,617,544
-----------
U.S. GOVERNMENT AGENCY SECURITIES (10.1%):
Federal Farm Credit Bank (2.3%):
1,500,000 6.75%, 7/7/09..................... 1,463,670
-----------
</TABLE>
25
Continued
<PAGE> 28
- --------------------------------------------------------------------------------
One Group Investment Trust
Government Bond Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- ---------------------------------- -----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY SECURITIES, CONTINUED:
Federal Home Loan Bank (2.3%):
$1,500,000 6.15%, 9/30/02.................... $ 1,481,978
-----------
Federal National Mortgage Assoc. (2.0%):
1,300,000 5.75%, 4/15/03.................... 1,263,102
-----------
Resolution Funding Corp. (3.5%):
975,000 Principal STRIPS, 10/15/08........ 536,733
1,000,000 Principal STRIPS, 10/15/17........ 289,707
2,000,000 Principal STRIPS, 1/15/20......... 498,162
4,000,000 Principal STRIPS, 7/15/20......... 954,764
-----------
2,279,366
-----------
Total U.S. Government Agency Securities 6,488,116
-----------
U.S. TREASURY OBLIGATIONS (16.2%):
U.S. Treasury Bonds (6.2%):
900,000 7.50%, 11/15/01................... 919,969
550,000 6.88%, 5/15/06.................... 559,797
2,000,000 9.13%, 5/15/18 (b)................ 2,478,750
-----------
3,958,516
-----------
U.S. Treasury Inflation Protected Bonds (1.5%):
1,000,000 3.63%, 1/15/08.................... 992,040
-----------
U.S. Treasury Notes (8.5%):
1,500,000 6.25%, 4/30/01.................... 1,501,875
1,000,000 5.88%, 11/30/01 (b)............... 994,063
1,500,000 5.50%, 1/31/03.................... 1,464,845
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- ---------------------------------- -----------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS, CONTINUED:
U.S. Treasury Notes, continued:
$1,500,000 5.88%, 11/15/04 (b)............... $ 1,471,407
-----------
5,432,190
-----------
Total U.S. Treasury Obligations 10,382,746
-----------
REPURCHASE AGREEMENT (6.6%):
4,242,000 State Street Bank, 3.00%, 1/3/00
(Collateralized by $4,330,000
Federal National Mortgage
Assoc., 6.35%, 6/22/01, market
value $4,330,000)............... 4,242,000
-----------
Total Repurchase Agreement 4,242,000
-----------
SHORT-TERM SECURITIES HELD AS COLLATERAL (5.4%):
Repurchase Agreement (5.4%):
3,467,785 Lehman Brothers Agency/Mortgage
Tri-Party, 3.00%, 1/3/00
(Collateralized by $33,530,000
FHLMC-GNMA Strips, 7.50%,
3/25/24, market value
$3,569,244)..................... 3,467,785
-----------
Total Short-Term Securities Held as
Collateral 3,467,785
-----------
Total (Cost $69,422,977)(a) $67,198,191
===========
</TABLE>
- ------------
Percentages indicated are based on net assets of $64,159,438.
(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
$5,194. Cost for federal income tax purposes differs from value by net
unrealized depreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 54,446
Unrealized depreciation...................... (2,284,426)
-----------
Net unrealized depreciation.................. $(2,229,980)
===========
</TABLE>
(b) A portion of this security was loaned as of December 31, 1999.
The abbreviation in the above statement stands for the following:
<TABLE>
<S> <C> <C> <C>
CMO Collateralized Mortgage Obligation
STRIPS Separate Trading of Interest and Principal Securities
</TABLE>
See accompanying notes to financial statements.
26
<PAGE> 29
- --------------------------------------------------------------------------------
One Group Investment Trust
Balanced Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
ASSET BACKED SECURITIES (4.5%):
$ 315,956 Advanta Equipment Receivables,
Series 98-1, Class A2, 5.82%,
12/15/06....................... $ 314,216
146,729 Americredit Automobile
Receivables Trust, Series 99-A,
Class A2, 5.38%, 4/12/02....... 146,360
250,000 Americredit Automobile
Receivables Trust, Series 98-B
Class A4, 6.06%, 12/12/02...... 248,066
319,183 Arcadia Automobile Receivables
Trust, Series 97-D, Class A3,
6.20%, 5/15/03................. 318,476
63,435 Case Equipment Loan Trust, Series
97-A, Class A3, 6.45%,
3/15/04........................ 63,461
200,000 Case Equipment Loan Trust, Series
98-A, Class A4, 5.83%,
2/15/05........................ 197,295
375,000 Chase Credit Card Master Trust,
Series 98-3, Class A, 6.00%,
8/15/05........................ 365,631
250,000 Chemical Master Credit Card
Trust, Series 95-2, Class A,
6.23%, 6/15/03................. 249,484
252,163 Chevy Chase Auto Receivables
Trust, Series 95-2, Class A,
5.80%, 6/15/02................. 252,076
350,000 Circuit City Credit Card Master
Trust, Series 95-1, Class A,
6.38%, 8/15/05................. 349,886
26,271 Copelco Capital Funding Corp.,
Series 96-A, Class A, 6.34%,
7/20/04........................ 26,261
58,945 CPS Auto Trust, Series 97-2,
Class A, 6.65%, 10/15/02....... 58,952
175,000 Discover Card Master Trust,
Series 99-2, Class A, 5.90%,
10/15/04....................... 171,382
400,000 Green Tree Financial Corp. Series
97-7, Class A5, 6.54%,
7/15/29........................ 396,042
229,031 Green Tree Recreational,
Equipment & Consumer Trust,
Series 98-A, Class A1C, 6.18%,
6/15/19........................ 225,180
130,000 Harley-Davidson Eaglemark
Motorcycle Trust, Series 98-1,
Class A2, 5.94%, 2/15/04....... 128,741
400,000 Nationsbank Credit Card Master
Trust, Series 95-1, Class A,
6.45%, 4/15/03................. 400,258
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
ASSET BACKED SECURITIES, CONTINUED:
$ 411,967 Nationscredit Grantor Trust,
Series 96-1, Class A, 5.85%,
9/15/11........................ $ 402,008
6,534 Newcourt Receivables Asset Trust,
Series 96-2, Class A, 6.87%,
6/20/04........................ 6,515
17,574 Newcourt Receivables Asset Trust,
Series 96-3, Class A, 6.24%,
12/20/04....................... 17,516
398,722 Onyx Acceptance Auto Trust,
Series 97-2, Class A, 6.35%,
10/15/03....................... 397,312
500,000 Onyx Acceptance Auto Trust,
Series 98-A, Class CTFS, 5.99%,
1/15/05........................ 488,888
191,938 Provident Bank Equipment Lease
Trust, Series 98-A, Class A3,
5.60%, 4/25/06................. 188,271
495,000 Rental Car Finance Corp., Series
97-1, Class A2, 6.45%,
8/25/05........................ 480,807
175,000 Sears Credit Account Master
Trust, Series 98-1, Class A,
5.80%, 8/15/05................. 173,043
462,718 SLM Student Loan Trust, Series
99-1, Class A1T, 6.33%,
4/25/08........................ 460,837
100,000 Toyoto Auto Lease Trust, Series
98-B, Class A2, 5.45%,
3/25/03........................ 98,693
247,985 Union Acceptance Corp., Series
96-C, Class A2, 6.51%,
11/8/02........................ 248,115
333,422 Union Acceptance Corp., Series
97-B, Class A2, 6.70%,
6/8/03......................... 333,367
260,000 Union Acceptance Corp., Series
98-A, Class A4, 6.11%,
10/8/03........................ 257,630
170,000 Union Acceptance Corp., Series
99-A, Class A4, 5.70%,
6/8/04......................... 165,207
189,978 WFS Financial Owner Trust, Series
98-B, Class A3, 5.95%,
7/20/01........................ 189,584
250,000 WFS Financial Owner Trust, Series
99-A, Class A3, 5.55%,
2/20/03........................ 246,456
</TABLE>
27
Continued
<PAGE> 30
- --------------------------------------------------------------------------------
One Group Investment Trust
Balanced Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
ASSET BACKED SECURITIES, CONTINUED:
$ 225,000 WFS Financial Owner Trust, Series
99-B, Class A4, 6.42%,
7/20/04........................ $ 222,283
------------
Total Asset Backed Securities 8,288,299
------------
COMMON STOCKS (55.6%):
Aircrafts (0.1%):
5,830 Cordant Technologies, Inc........ 192,390
------------
Aluminum (0.5%):
10,700 Alcoa, Inc....................... 888,100
------------
Apparel (0.7%):
6,100 Intimate Brands, Inc............. 263,063
14,000 Jones Apparel Group, Inc.*....... 379,750
13,510 Nike, Inc. Class B............... 669,589
------------
1,312,402
------------
Banks (4.0%):
25,190 Bank of America Corp............. 1,264,223
16,849 Charter One Financial, Inc....... 322,237
11,140 Chase Manhattan Corp. (The)...... 865,439
39,880 Citigroup, Inc................... 2,215,832
17,870 First Security Corp.............. 456,244
7,750 First Tennessee National Corp.... 220,875
24,950 FleetBoston Financial Corp....... 868,572
10,530 Pacific Century Financial
Corp........................... 196,779
12,120 SouthTrust Corp.................. 458,288
10,380 Wells Fargo Co................... 419,741
------------
7,288,230
------------
Beverages (0.4%):
7,590 Coca-Cola Co. (The).............. 442,118
14,640 Coca-Cola Enterprises, Inc.(b)... 294,630
------------
736,748
------------
Broadcasting (2.4%):
14,730 Belo, (A.H.) Corp. Series A...... 280,791
11,430 CBS Corp.*....................... 730,806
12,030 Comcast Corp. Class A............ 608,267
19,440 Time Warner, Inc................. 1,408,185
21,750 Viacom, Inc. Class B*(b)......... 1,314,515
------------
4,342,564
------------
Business Equipment & Services (0.2%):
6,440 Waters Corp.*.................... 341,320
------------
Chemicals -- Petroleum & Inorganic (0.6%):
8,190 Du Pont (E.I.) De Nemours &
Co............................. 539,516
12,690 Lyondell Chemical Co............. 161,798
10,590 Monsanto Co...................... 377,269
------------
1,078,583
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Chemicals -- Specialty (0.7%):
9,600 Cabot Corp....................... $ 195,600
11,620 CK Witco Corp.................... 155,418
8,910 Cytec Industries, Inc.*.......... 206,044
14,010 Ferro Corp....................... 308,220
18,930 RPM, Inc......................... 192,849
10,150 Sigma-Aldrich Corp............... 305,134
------------
1,363,265
------------
Communications Equipment (4.9%):
5,960 ADC Telecommunications,
Inc.*(b)....................... 432,472
8,320 BMC Software, Inc.*.............. 665,080
31,560 Cisco Systems, Inc.*............. 3,380,865
3,040 Comverse Technology, Inc.*(b).... 440,040
26,410 Lucent Technologies, Inc......... 1,975,798
16,040 Nortel Networks Corp. ADR........ 1,620,040
7,260 Symbol Technologies, Inc......... 461,464
------------
8,975,759
------------
Computers -- Main & Mini (1.1%):
6,970 Hewlett-Packard Co............... 794,144
10,810 International Business Machines
Corp........................... 1,167,480
------------
1,961,624
------------
Computers -- Micro (1.4%):
27,520 Dell Computer Corp.*............. 1,403,520
16,340 Sun Microsystems, Inc.*.......... 1,265,329
------------
2,668,849
------------
Computers -- Peripheral (4.2%):
15,840 EMC Corp.*....................... 1,730,520
40,520 Microsoft Corp.*................. 4,730,710
4,050 Oracle Corp.*.................... 453,853
6,230 Rational Software Corp.*......... 306,049
7,620 Symantec Corp.*.................. 446,722
------------
7,667,854
------------
Construction & Building Materials (0.3%):
14,640 Crane Co......................... 290,970
6,400 USG Corp......................... 301,600
------------
592,570
------------
Cosmetics and Toiletry (0.4%):
19,700 Gillette Co. (The)............... 811,394
------------
Electrical Equipment (3.2%):
26,340 General Electric Co.............. 4,076,115
7,520 Johnson Controls, Inc............ 427,700
13,340 Mark IV Industries, Inc.......... 235,951
30,220 Tyco International Ltd........... 1,174,803
------------
5,914,569
------------
</TABLE>
28
Continued
<PAGE> 31
- --------------------------------------------------------------------------------
One Group Investment Trust
Balanced Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Electronics -- Components (2.5%):
26,930 Intel Corp....................... $ 2,216,675
15,180 Maxim Integrated Products,
Inc.*.......................... 716,306
7,730 SCI Systems, Inc.*............... 635,309
4,460 Solectron Corp.*................. 424,258
12,740 Xilinx, Inc.*.................... 579,273
------------
4,571,821
------------
Electronics -- Instruments (0.5%):
7,250 Applied Materials, Inc.*......... 918,484
------------
Finance Companies (0.2%):
12,310 Associates First Capital Corp.... 337,756
------------
Food and Related (0.8%):
50,640 Sara Lee Corp.................... 1,117,245
17,670 U.S. Foodservice*................ 295,973
------------
1,413,218
------------
Forest and Paper Products (1.3%):
12,440 Georgia-Pacific Group............ 631,330
19,200 Kimberly-Clark Corp.............. 1,252,800
11,470 Pentair, Inc..................... 441,595
------------
2,325,725
------------
Healthcare -- Drugs (2.1%):
9,010 Abbott Laboratories.............. 327,176
5,110 Gilead Sciences, Inc.*........... 276,579
2,290 MedImmune, Inc.*................. 379,854
14,590 Merck & Co., Inc................. 978,442
27,510 Pfizer, Inc...................... 892,355
23,370 Schering-Plough Corp............. 985,922
------------
3,840,328
------------
Healthcare -- General (2.4%):
17,750 American Home Products Corp...... 700,015
8,760 Baxter International, Inc........ 550,237
9,660 Biomet, Inc...................... 386,400
23,660 Bristol-Myers Squibb Co.......... 1,518,676
15,380 IDEXX Laboratories, Inc.*(b)..... 248,003
5,550 Johnson & Johnson................ 516,844
7,570 Warner-Lambert Co................ 620,267
------------
4,540,442
------------
Hospital Supply and Management (0.5%):
5,970 Guidant Corp.*................... 280,590
20,570 Medtronic, Inc................... 749,519
------------
1,030,109
------------
Hotels & Gaming (0.3%):
30,040 Hilton Hotels Corp............... 289,135
12,500 International Game Technology.... 253,906
------------
543,041
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Household -- General Products (0.4%):
6,190 Procter & Gamble Co. (The)....... $ 678,192
------------
Household -- Major Appliances (0.2%):
4,690 Whirlpool Corp................... 305,143
------------
Insurance -- Property & Casualty (1.7%):
16,452 American International Group,
Inc............................ 1,778,872
8,280 CIGNA Corp....................... 667,057
13,530 Hartford Financial Services Group
(The).......................... 640,984
------------
3,086,913
------------
Metal Fabrication (0.2%):
6,560 Fastenal Co.(b).................. 294,790
------------
Motor Vehicles (0.4%):
10,370 General Motors Corp.............. 753,769
------------
Motor Vehicles -- Parts (0.4%):
1,500 Danaher Corp..................... 72,375
7,850 Lear Corp.*...................... 251,200
5,430 SPX Corp.*....................... 438,812
------------
762,387
------------
Multiple Industry (0.0%):
3,253 Huttig Building Products,
Inc.*.......................... 16,063
------------
Petroleum -- Domestic (0.6%):
17,150 Occidental Petroleum Corp........ 370,869
10,310 Tosco Corp....................... 280,303
20,960 USX -- Marathon Group............ 517,450
------------
1,168,622
------------
Oil -- International (2.5%):
38,658 Exxon Mobil Corp................. 3,114,385
14,190 Royal Dutch Petroleum Co. ADR.... 857,608
12,140 Texaco, Inc...................... 659,354
------------
4,631,347
------------
Petroleum -- Services (0.5%):
11,720 Halliburton Co................... 471,730
13,830 Transocean Sedco Forex, Inc...... 465,898
------------
937,628
------------
Publishing (0.4%):
14,980 New York Times Co. (The) Class
A.............................. 735,893
------------
Railroads (0.2%):
5,430 Kansas City Southern Industries,
Inc............................ 405,214
------------
Restaurants (0.4%):
7,490 Applebee's International, Inc.... 220,955
13,340 Tricon Global Restaurants,
Inc.*.......................... 515,258
------------
736,213
------------
</TABLE>
29
Continued
<PAGE> 32
- --------------------------------------------------------------------------------
One Group Investment Trust
Balanced Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Retail -- Food Stores (0.3%):
14,730 CVS Corp......................... $ 588,279
------------
Retail -- General Merchandise (1.5%):
9,210 Kohl's Corp.*.................... 664,847
13,210 TJX Cos., Inc. (The)............. 269,979
25,750 Wal-Mart Stores, Inc............. 1,779,969
------------
2,714,795
------------
Retail -- Specialty (0.5%):
5,580 AnnTaylor Stores Corp.*.......... 192,161
15,520 Williams-Sonoma, Inc.*(b)........ 713,920
------------
906,081
------------
Security & Commercial Broker (2.4%):
4,580 American Express Co.............. 761,425
17,310 Fannie Mae....................... 1,080,793
6,850 Marsh & McLennan Cos., Inc....... 655,460
12,980 Morgan Stanley Dean Witter &
Co............................. 1,852,895
------------
4,350,573
------------
Timesharing & Software (0.9%):
21,780 America Online, Inc.*............ 1,643,029
------------
Tobacco (0.7%):
55,720 Philip Morris Cos., Inc.......... 1,292,008
------------
Trucking & Shipping (0.2%):
5,500 United Parcel Service, Inc....... 379,500
------------
Utilities -- Electric (1.1%):
11,810 CMS Energy Corp.................. 368,324
24,350 Energy East Corp................. 506,784
9,600 FPL Group, Inc................... 411,000
15,560 GPU, Inc......................... 465,828
8,930 Pinnacle West Capital Corp....... 272,923
------------
2,024,859
------------
Utilities -- Gas & Pipeline (0.5%):
10,730 El Paso Energy Corp.............. 416,458
16,860 Williams Cos., Inc. (The)........ 515,284
------------
931,742
------------
Utilities -- Telephone (3.9%):
11,369 AT&T Corp........................ 576,977
18,265 CenturyTel, Inc.................. 865,304
36,690 MCI WorldCom, Inc.*.............. 1,946,862
12,200 Qwest Communications
International, Inc.*(b)........ 524,600
37,870 SBC Communications, Inc.......... 1,846,163
22,370 Sprint Corp...................... 1,505,781
------------
7,265,687
------------
Total Common Stocks 102,265,872
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
CORPORATE BONDS (5.4%):
Banks, Finance & Insurance (3.0%):
$ 200,000 Associates Corp. of North
America, 6.38%, 7/15/02........ $ 197,241
300,000 Associates Corp. of North
America, 8.58%, 11/23/04....... 315,037
250,000 BankAmerica Corp., 8.13%,
2/1/02......................... 255,524
250,000 BCH Cayman Islands, 7.50%,
6/15/05........................ 246,804
300,000 Boatmens Bancshares, 6.75%,
3/15/03........................ 295,410
500,000 Caterpillar Financial Services
Corp., 6.40%, 4/16/01.......... 497,948
250,000 Chrysler Financial Corp., 5.88%,
2/7/01......................... 247,907
451,000 First Hawaiian, Inc., 6.25%,
8/15/00........................ 449,513
200,000 Ford Capital BV, 9.38%,
5/15/01........................ 206,400
250,000 General Motors Acceptance Corp.,
8.25%, 2/24/04................. 259,049
300,000 Goldman Sachs Group, 7.20%,
3/1/07......................... 288,311
250,000 Huntington National Bank, 6.75%,
6/15/03........................ 247,910
475,000 Inter-American Development Bank,
8.40%, 9/1/09.................. 517,373
250,000 International Lease Finance
Corp., 5.88%, 1/15/01.......... 247,696
333,000 McDonnel Douglas Financial Corp.,
6.45%, 12/5/02................. 326,949
350,000 Metropolitan Life Insurance Co.,
6.30%, 11/1/03................. 335,703
200,000 Morgan Stanley, 6.50%, 3/30/01... 199,425
130,000 National Rural Utilities, 7.30%,
9/15/06........................ 129,910
230,000 Society National Bank, 6.75%,
6/15/03........................ 226,498
------------
5,490,608
------------
Consumer Goods (0.2%):
300,000 Tyco International Group, 6.25%,
6/15/03........................ 284,651
------------
Consumer Services (0.1%):
250,000 Hertz Corp., 6.00%, 1/15/03...... 241,470
------------
Energy (0.1%):
250,000 Occidental Petroleum, 9.25%,
8/1/19......................... 278,968
------------
Retail (0.4%):
250,000 Dayton Hudson Corp., 7.25%,
9/1/04......................... 252,313
250,000 JC Penney & Co., 7.25%, 4/1/02... 245,160
250,000 Sears Roebuck Acceptance, 7.13%,
5/2/03......................... 246,725
------------
744,198
------------
</TABLE>
30
Continued
<PAGE> 33
- --------------------------------------------------------------------------------
One Group Investment Trust
Balanced Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Technology (0.5%):
$ 465,000 Lockheed Martin Corp., 6.75%,
3/15/03........................ $ 452,394
395,000 Oracle Corp., 6.72%, 2/15/04..... 385,374
------------
837,768
------------
Transportation (0.1%):
250,000 JB Hunt Transportation Services,
6.25%, 9/1/03.................. 238,412
------------
Utilities (1.0%):
250,000 AT&T Corp. 7.50%, 6/1/06......... 250,239
248,000 Columbia Energy Group, 6.80%,
11/28/05....................... 239,720
900,000 Hydro-Quebec, 6.52%, 2/23/06..... 855,024
200,000 Ohio Bell Telephone Co., 5.75%,
5/1/00......................... 199,652
250,000 Virginia Electric & Power, 6.63%,
4/1/03......................... 245,894
------------
1,790,529
------------
Total Corporate Bonds 9,906,604
------------
OTHER MORTGAGE BACKED SECURITIES (1.6%):
325,000 Advanta Mortgage Loan Trust,
Series 98-1, Class A4, 6.42%,
9/25/21........................ 318,391
145,000 Advanta Mortgage Loan Trust,
Series 97-4, Class A4, 6.66%,
3/25/22........................ 142,892
360,000 Advanta Mortgage Loan Trust,
Series 97-4, Class A5, 6.72%,
3/25/24........................ 354,087
142,679 Ameresco Residential Securities
Mortgage Loan, Series 97-2,
Class A4, 6.93%, 3/25/23....... 142,203
500,000 Contimortgage Home Equity Loan
Trust, Series 98-1, Class A4,
6.28%, 1/15/13................. 494,072
155,000 Contimortgage Home Equity Loan
Trust, Series 98-1, Class A5,
6.43%, 4/15/16................. 152,353
210,000 EQCC Home Equity Loan Trust,
Series 97-3, Class A5, 6.45%,
9/15/12........................ 208,533
40,113 EQCC Home Equity Loan Trust,
Series 98-2, Class A1F, 6.24%,
4/15/08........................ 40,024
353,848 Fleetwood Credit Corp. Grantor
Trust, Series 97-B, Class A,
6.40%, 5/15/13................. 351,603
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
OTHER MORTGAGE BACKED SECURITIES, CONTINUED:
$ 145,000 The Money Store Home Equity
Trust, Series 96-C, Class A12,
7.25%, 7/15/13................. $ 145,014
59,147 The Money Store Home Equity
Trust, Series 96-A, Class A5,
6.85%, 6/15/19................. 59,050
44,811 The Money Store Home Equity
Trust, Series 94-C, Class A4,
7.80%, 10/15/21................ 44,990
70,000 The Money Store Home Equity
Trust, Series 96-B, Class A7,
7.55%, 2/15/20................. 70,017
95,000 The Money Store Home Equity
Trust, Series 97-D, Class AF7,
6.49%, 12/15/38................ 91,461
55,681 The Money Store Residential
Trust, Series 98-I, Class A2,
6.20%, 3/15/08................. 55,573
218,484 Sears Mortgage Funding Trust,
Series 89-1, Class D, 9.93%,
4/1/19......................... 229,771
------------
Total Other Mortgage Backed Securities 2,900,034
------------
U.S. GOVERNMENT AGENCY SECURITIES (3.1%):
Federal Home Loan Bank (2.7%):
300,000 5.66%, 6/23/00................... 299,247
250,000 5.57%, 8/14/00................... 248,979
250,000 4.98%, 9/15/00................... 247,835
400,000 4.95%, 9/18/00................... 396,307
1,750,000 5.88%, 11/25/08.................. 1,589,745
2,000,000 5.61%, 2/11/09(b)................ 1,805,078
415,000 5.89%, 3/30/09................... 381,539
------------
4,968,730
------------
Federal Home Loan Mortgage Corp. (0.3%):
500,000 8.53%, 2/2/05.................... 500,583
------------
Federal National Mortgage Assoc. (0.1%):
200,000 7.55%, 4/22/02................... 204,026
------------
Total U.S. Government Agency Securities 5,673,339
------------
U.S. TREASURY OBLIGATIONS (7.6%):
U.S. Treasury Bills (0.2%):
415,000 1/20/00.......................... 414,018
------------
U.S. Treasury Bonds (6.8%):
10,250,000 10.38%, 11/15/12(b).............. 12,456,958
------------
U.S. Treasury STRIPS (0.6%):
3,000,000 2/15/15.......................... 1,071,183
------------
Total U.S. Treasury Obligations 13,942,159
------------
</TABLE>
31
Continued
<PAGE> 34
- --------------------------------------------------------------------------------
One Group Investment Trust
Balanced Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES (15.6%):
Federal Home Loan Mortgage Corp. (4.8%):
$ 227,141 9.50%, 1/15/05, Series #24-B,
CMO............................ $ 231,509
109,841 6.25%, 1/15/06, Series #1519-E,
CMO............................ 109,727
35,723 6.50%, 4/15/06, Series #1838-C,
CMO............................ 35,631
1,000,000 6.50%, 8/15/06, Series
#1513-K,CMO.................... 996,005
174,836 8.00%, 10/1/10, Gold Pool
#G10518........................ 178,794
415,226 6.00%, 3/1/13, Gold Pool
#E69409........................ 395,407
380,783 6.50%, 3/1/13, Gold Pool
#E69466........................ 371,035
410,680 6.50%, 6/1/13, Gold Pool
#E00552........................ 399,690
373,379 7.00%, 6/1/13, Gold Pool
#E00554........................ 370,179
236,071 8.00%, 4/1/17, Pool #290302...... 238,668
650,000 6.50%, 9/25/19, Series #8-G,
CMO............................ 647,195
119,673 6.50%, 8/15/20, Series #1822-D,
CMO............................ 118,158
311,065 8.00%, 7/15/21, Series #1120-L,
CMO............................ 314,459
195,875 5.50%, 8/15/21, Series #1116-I,
CMO............................ 184,110
269,613 6.85%, 10/15/21, Series #1980-C,
CMO............................ 269,364
644,000 6.50%, 11/15/21, Series #1541-GA,
CMO............................ 623,199
116,350 7.50%, 3/15/23, Series #1856-B,
CMO............................ 116,769
326,000 6.85%, 6/25/23, Series #13-LL,
CMO............................ 301,695
565,485 9.50%, 5/20/25, Series 2001,
Class AC....................... 584,245
337,978 8.00%, 9/1/26, Gold Pool
#C00476........................ 341,365
227,884 7.50%, 7/1/27, Gold Pool
#D81027........................ 226,009
326,870 7.00%, 10/1/27, Gold Pool
#D83256........................ 317,061
282,012 8.50%, 7/1/28, Gold Pool
#G00981........................ 289,855
983,754 6.00%, 8/1/28, Gold Pool
#C13638........................ 902,742
328,682 6.50%, 11/15/28, Series #2095-G,
CMO............................ 288,401
------------
8,851,272
------------
Federal National Mortgage Assoc. (7.5%):
311,360 7.00%, 7/25/01, Series 94-75,
Class OB, CMO.................. 311,511
208,921 6.50%, 9/1/02, Pool #250357...... 206,938
588,524 7.24%, 10/1/03, Pool #73712...... 588,171
825,696 7.00%, 4/25/06, Series 92-108,
Class H, CMO................... 823,218
96,115 9.00%, 11/1/06, Pool #124017..... 99,629
269,419 6.85%, 10/1/07, Pool #375435..... 261,808
301,297 6.53%, 12/1/07, Pool #375568..... 287,686
175,000 6.00%, 6/25/08, Series 99-19,
Class PB, CMO.................. 172,281
191,113 8.00%, 9/1/08, Pool #190586...... 195,476
597,712 7.50%, 8/1/09, Pool #292020...... 603,277
577,813 6.50%, 4/17/12, Series 95-24,
Class C........................ 576,473
436,660 6.50%, 4/1/13, Pool #414513...... 425,106
311,434 7.00%, 6/1/13, Pool #427488...... 308,513
439,500 6.00%, 8/1/13, Pool #251900...... 417,925
445,677 6.00%, 12/1/13, Pool #323458..... 423,799
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Federal National Mortgage Assoc., continued:
$ 183,672 6.00%, 7/25/15, Series 93-82,
Class C, CMO................... $ 183,017
974,607 8.00%, 5/1/17, Pool #50000....... 987,549
546,834 6.65%, 9/25/17, Series 93-30,
Class PG, CMO.................. 544,573
208,979 9.00%, 12/1/17, Pool #359455..... 218,864
10,188 6.70%, 9/25/18, Series 92-217,
Class G........................ 10,143
185,918 7.00%, 10/25/18, Series 93-25,
Class D, CMO................... 185,649
619,619 8.50%, 11/1/18, Pool #313280..... 640,444
182,302 10.45%, 4/25/19, Series 89-21,
Class G, CMO................... 194,294
140,603 8.75%, 11/25/19, Series, 89-86,
Class E, CMO................... 144,255
115,245 8.00%, 12/25/20, Series G92-44,
Class D, CMO................... 114,995
165,311 7.50%, 1/25/21, Series G92-41,
Class K, CMO................... 165,710
354,000 8.00%, 3/25/21, Series 92-132,
Class PL, CMO.................. 357,718
251,781 7.00%, 8/18/21, Series 97-19,
Class A, CMO................... 252,062
347,000 4.00%, 1/25/22, Series G93-2,
Class JB, CMO.................. 295,908
400,000 5.00%, 8/25/22, Series 93-38,
Class L, CMO................... 332,915
317,040 6.50%, 10/25/22, Series 95-23,
Class M........................ 315,475
525,177 7.13%, 5/18/23, Series 97-11,
Class K, CMO................... 525,764
195,000 6.50%, 12/25/23, Series 93-225,
Class UB, CMO.................. 186,696
253,000 7.50%, 2/25/24, Series 94-81,
Class LL, CMO.................. 247,413
84,592 7.00%, 8/1/25, Pool #270725...... 82,210
155,174 10.00%, 6/17/27, Series 97-49,
Class B, CMO................... 167,503
107,346 7.50%, 10/1/27, Pool #402032..... 106,314
966,803 6.00%, 6/1/28, Pool #428970...... 886,259
917,350 6.50%, 8/1/28, Pool #433526...... 868,620
------------
13,716,161
------------
Government National Mortgage Assoc. (3.3%):
853,845 7.00%, 7/15/08, Pool #348872..... 854,451
131,255 7.00%, 2/15/11, Pool #412559..... 130,489
466,606 6.50%, 9/15/13, Pool #468228..... 453,700
150,856 8.00%, 11/15/16, Pool #181122.... 154,482
159,100 8.00%, 11/15/16, Pool #196714.... 162,923
80,297 8.00%, 11/15/16, Pool #199829.... 82,226
781,054 8.50%, 12/15/22, Pool #780708.... 807,532
</TABLE>
32
Continued
<PAGE> 35
- --------------------------------------------------------------------------------
One Group Investment Trust
Balanced Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Government National Mortgage Assoc., continued:
$ 337,782 8.00%, 11/15/24, Pool #780028.... $ 342,461
124,027 8.00%, 6/20/25, Series 95-4,
Class CQ, CMO.................. 125,839
122,832 7.50%, 5/15/26, Pool #398663..... 121,790
132,120 8.00%, 6/20/26, Pool #2234....... 133,244
230,837 7.50%, 1/20/27, Pool #2360....... 227,967
329,515 8.00%, 5/20/27, Pool #2433....... 332,118
274,338 8.00%, 9/15/27, Pool #451932..... 277,795
444,534 6.50%, 3/15/28, Pool #430634..... 418,075
288,246 7.00%, 4/15/28, Pool #473915..... 278,849
433,102 7.50%, 5/15/28, Pool #465069..... 428,974
412,374 7.00%, 6/15/28, Pool #477123..... 398,931
478,452 6.00%, 10/20/28, Pool #2657...... 434,899
------------
6,166,745
------------
Total U.S. Government Agency Mortgages 28,734,178
------------
REPURCHASE AGREEMENT (6.1%):
11,230,000 State Street Bank, 3.00%, 1/3/00
(Collateralized by $11,455,000
Federal National Mortgage
Assoc., 6.35%, 6/22/01, market
value $11,455,000)............. 11,230,000
------------
Total Repurchase Agreement 11,230,000
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL (1.5%):
Investment Companies (1.4%):
2,594,899 One Group Prime Money Market
Fund, Class I (c).............. $ 2,594,899
------------
Repurchase Agreement (0.1%):
$ 258,414 Lehman Brothers A2/P2 Tri-Party,
4.65%, 1/3/00(Collateralized by
$271,389 Silver Tower US
Funding Commercial Paper,
5/23/00, market value
$271,389)...................... 258,414
------------
Total Short-Term Securities Held as
Collateral 2,853,313
------------
Total (Cost $170,185,448)(a) $185,793,798
============
</TABLE>
- ------------
Percentages indicated are based on net assets of $183,980,385.
* Denotes a non-income producing security.
(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
$51,543. Cost for federal income tax purposes differs from value by net
unrealized appreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation...................... $21,393,598
Unrealized depreciation...................... (5,836,791)
-----------
Net unrealized appreciation.................. $15,556,807
===========
</TABLE>
(b) A portion of this security was loaned as of December 31, 1999.
The abbreviations in the above statement stand for the following:
<TABLE>
<S> <C>
ADR American Depository Receipt
CMO Collateralized Mortgage Obligation
STRIPS Separate Trading of Registered Interest and Principal
Securities
</TABLE>
(c) Affiliated fund
See accompanying notes to financial statements.
33
<PAGE> 36
- --------------------------------------------------------------------------------
One Group Investment Trust
Large Cap Growth Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
COMMON STOCKS (95.7%)
Banks (0.2%):
15,200 Citigroup, Inc................... $ 844,550
------------
Beverages (3.7%):
44,300 Anheuser-Busch Cos., Inc......... 3,139,763
126,800 Coca Cola Co..................... 7,386,100
76,000 PepsiCo, Inc..................... 2,679,000
------------
13,204,863
------------
Broadcasting (2.5%):
81,100 Comcast Corp. Class A............ 4,100,619
67,800 Time Warner, Inc................. 4,911,262
------------
9,011,881
------------
Business Equipment & Services (1.7%):
26,800 Electronic Data Systems Corp..... 1,793,925
51,100 Interpublic Group Cos., Inc...... 2,947,831
58,000 Staples, Inc.*................... 1,203,500
------------
5,945,256
------------
Communications Equipment (13.4%):
187,000 Cisco Systems, Inc.*............. 20,032,375
157,800 Lucent Technologies, Inc......... 11,805,412
98,000 Nortel Networks Corp. ADR*....... 9,898,000
29,200 QUALCOMM, Inc.*.................. 5,142,850
22,600 Tellabs, Inc.*................... 1,450,638
------------
48,329,275
------------
Computer -- Main & Mini (2.0%):
67,900 International Business Machines
Corp........................... 7,333,200
------------
Computer -- Micro (4.2%):
145,300 Dell Computer Corp.*............. 7,410,300
100 Gateway, Inc.* (b)............... 7,206
97,300 Sun Microsystems, Inc.*.......... 7,534,669
------------
14,952,175
------------
Computer -- Peripheral (14.1%):
57,400 Compuware Corp.*................. 2,138,150
74,100 EMC Corp.*....................... 8,095,425
264,400 Microsoft Corp.*................. 30,868,700
73,700 Oracle Corp.*.................... 8,259,006
54,600 Parametric Technology Corp.*..... 1,477,613
------------
50,838,894
------------
Cosmetic and Toiletry (0.6%):
54,600 Gillette Co. (The)............... 2,248,837
------------
Electrical Equipment (9.0%):
176,200 General Electric Co.............. 27,266,950
134,600 Tyco International Ltd........... 5,232,575
------------
32,499,525
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Electronics Components (5.6%):
164,000 Intel Corp....................... $ 13,499,250
22,400 SCI Systems, Inc.*............... 1,841,000
14,000 Solectron Corp.*................. 1,331,750
37,100 Texas Instruments, Inc........... 3,594,063
------------
20,266,063
------------
Electronics -- Instruments (1.2%):
33,000 Applied Materials, Inc.*......... 4,180,688
------------
Food and Related (0.7%):
114,400 Sara Lee Corp.................... 2,523,950
------------
Forest and Paper Products (1.0%):
55,700 Kimberly Clark Corp.............. 3,634,425
------------
Healthcare -- Drugs (5.9%):
30,500 Abbott Laboratories.............. 1,107,531
85,200 Amgen, Inc.*..................... 5,117,325
18,600 Eli Lilly & Co................... 1,236,900
80,000 Merck & Co., Inc................. 5,365,000
163,200 Pfizer, Inc...................... 5,293,800
74,800 Schering-Plough Corp............. 3,155,625
------------
21,276,181
------------
Healthcare -- General (6.2%):
34,800 American Home Products Corp...... 1,372,425
32,100 Baxter International, Inc........ 2,016,281
135,800 Bristol-Meyers Squibb Co......... 8,716,662
69,700 Johnson & Johnson................ 6,490,813
43,400 Warner-Lambert Co................ 3,556,088
------------
22,152,269
------------
Hospital Supply and Management (1.3%):
29,100 Guidant Corp.*................... 1,367,700
89,900 Medtronic, Inc................... 3,275,731
------------
4,643,431
------------
Household -- General Products (2.7%):
31,600 Colgate-Palmolive Co............. 2,054,000
69,000 Procter & Gamble Co.............. 7,559,813
------------
9,613,813
------------
Insurance -- Life (0.2%):
8,900 Providian Financial Corp......... 810,456
------------
Multiple Industry (1.5%):
5,900 Corning, Inc..................... 760,731
32,400 Honeywell International, Inc..... 1,869,075
15,000 Nasdaq-100 Shares*............... 2,741,250
------------
5,371,056
------------
Retail -- Food Stores (0.7%):
81,500 Walgreen Co...................... 2,383,875
------------
</TABLE>
34
Continued
<PAGE> 37
- --------------------------------------------------------------------------------
One Group Investment Trust
Large Cap Growth Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Retail -- General Merchandise (5.5%):
28,200 Kohls Corp.*..................... $ 2,035,687
260,700 Wal-Mart Stores, Inc............. 18,020,888
------------
20,056,575
------------
Retail -- Specialty (2.4%):
16,300 Circuit City Stores-Circuit City
Group.......................... 734,519
700 Gap, Inc.(b)..................... 32,200
117,450 Home Depot, Inc.................. 8,052,665
------------
8,819,384
------------
Security and Commercial Broker (0.7%):
12,300 Morgan Stanley Dean Witter &
Co............................. 1,755,825
20,800 Schwab, Charles Corp............. 798,200
------------
2,554,025
------------
Timesharing and Software (4.1%):
135,200 America Online, Inc.*............ 10,199,150
33,100 Automatic Data Processing,
Inc............................ 1,783,263
6,100 Yahoo!, Inc.*.................... 2,639,394
------------
14,621,807
------------
Utilities -- Gas & Pipeline (0.1%):
4,300 Enron Corp....................... 190,812
------------
Utilities -- Telephone (4.5%):
18,600 Nextel Communications,
Inc.*(b)....................... 1,918,125
170,300 SBC Communications, Inc.......... 8,302,125
46,800 Sprint Corp. (PCS Group)*(b)..... 4,797,000
18,000 U S West, Inc.................... 1,296,000
------------
16,313,250
------------
Total Common Stocks 344,620,516
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS (0.1%):
U.S. Treasury Bills (0.1%):
$ 205,000 3/23/2000(c)..................... $ 202,704
------------
Total U.S. Treasury Obligations 202,704
------------
REPURCHASE AGREEMENT (4.2%):
15,137,000 State Street Bank 3.00%, 01/03/00
(Collateralized by $15,440,000
Federal National Mortgage
Assoc., 6.35%, 6/22/01, market
value $15,440,000)............. 15,137,000
------------
Total Repurchase Agreement 15,137,000
------------
SHORT-TERM SECURITIES HELD AS COLLATERAL (1.4%):
Investment Companies (1.3%):
4,747,258 One Group Prime Money Market
Fund, Class I (d).............. 4,747,258
------------
Repurchase Agreement (0.1%):
$ 472,757 Lehman Brothers A2/P2 Tri-Party
4.65%, 1/3/00 (Collateralized
by $496,494 Silver Tower US
Funding Commercial Paper,
5/23/00, market value
$496,494)...................... 472,757
------------
Total Short-Term Securities Held as
Collateral 5,220,015
------------
Total (Cost $265,232,428)(a) $365,180,235
============
</TABLE>
- ------------
Percentages indicated are based on net assets of $360,018,093.
* Denotes a non-income producing security.
(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
$405,938. Cost for federal income tax purposes differs from value by net
unrealized appreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation...................... $103,184,171
Unrealized depreciation...................... (3,642,302)
------------
Net unrealized appreciation.................. $ 99,541,869
============
</TABLE>
(b) A portion of this security was loaned as of December 31, 1999.
(c) Serves as collateral for futures contracts.
<TABLE>
<CAPTION>
CURRENT
NUMBER OF OPENING MARKET
CONTRACTS CONTRACT TYPE POSITIONS VALUE
- --------- ------------- ---------- ----------
<C> <S> <C> <C>
10 Long S&P 500, March 2000 Futures $3,691,825 $3,710,500
</TABLE>
(d) Affiliated fund.
The abbreviations in the above statement stand for the following:
<TABLE>
<S> <C> <C> <C>
ADR American Depositary Receipt
</TABLE>
See accompanying notes to financial statements.
35
<PAGE> 38
- --------------------------------------------------------------------------------
One Group Investment Trust
Equity Index Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ---------------------------------- ------------
<C> <S> <C>
COMMON STOCKS (61.5%)
Air Transportation (0.2%):
500 AMR Corp.*........................ $ 33,500
400 Delta Air Lines, Inc.............. 19,925
900 FDX Corporation Corp.*(b)......... 36,844
1,425 Southwest Airlines Co............. 23,067
300 U.S. Airways Group, Inc.*......... 9,619
------------
122,955
------------
Aircrafts (0.4%):
2,600 Boeing Co. (The).................. 108,062
1,100 Lockheed Martin Corp.............. 24,062
200 Northrop Grumman Corp............. 10,813
1,200 United Technologies Corp.......... 78,000
------------
220,937
------------
Aluminum (0.2%):
600 Alcan Aluminum Ltd................ 24,712
1,000 Alcoa, Inc........................ 83,000
200 Reynolds Metals Co................ 15,325
------------
123,037
------------
Apparel (0.1%):
200 Liz Claiborne, Inc................ 7,525
700 Nike, Inc. Class B................ 34,693
100 Reebok International Ltd.*........ 819
100 Russell Corp...................... 1,675
300 V.F. Corporation.................. 9,000
------------
53,712
------------
Banks (4.2%):
500 Amsouth Bancorp................... 9,656
4,792 Bank of America Corp.............. 240,499
2,200 Bank of New York Co., Inc......... 88,000
3,286 Bank One Corp..................... 105,357
900 BB&T Corp......................... 24,638
2,300 The Chase Manhattan Corp.......... 178,681
9,425 Citigroup, Inc.................... 523,677
400 Comerica, Inc..................... 18,675
700 Fifth Third Bancorp............... 51,363
2,700 First Union Corp.................. 88,594
2,636 Firstar Corp...................... 55,686
2,665 FleetBoston Financial Corp........ 92,774
671 Huntington Bancshares, Inc........ 16,020
1,300 KeyCorp........................... 28,763
2,250 MBNA Corp......................... 61,312
1,400 Mellon Financial Corp............. 47,687
400 Morgan, J P & Co., Inc............ 50,650
1,800 National City Corp................ 42,636
600 Northern Trust Corp............... 31,800
400 Old Kent Financial Corp........... 14,150
900 PNC Bank Corp..................... 40,050
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ---------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Banks, continued:
600 Regions Financial Corp............ $ 15,075
300 Republic New York Corp............ 21,600
400 SouthTrust Corp................... 15,125
400 State Street Corp................. 29,225
400 Summit Bancorp.................... 12,250
900 Suntrust Banks, Inc............... 61,931
750 Synovus Financial Corp............ 14,906
400 Union Planters Corp............... 15,775
2,000 U.S. Bancorp Class A.............. 47,625
600 Wachovia Corp..................... 40,800
1,618 Washington Mutual, Inc............ 42,068
4,600 Wells Fargo Co.................... 186,012
------------
2,313,060
------------
Beverages (1.3%):
100 Adolph Coors Co................... 5,250
1,300 Anheuser-Busch Cos., Inc.......... 92,138
200 Brown-Forman Corp................. 11,450
6,800 Coca-Cola Co. (The)............... 396,100
1,200 Coca-Cola Enterprises, Inc........ 24,150
4,100 PepsiCo, Inc...................... 144,525
1,200 Seagram Co. Ltd. ADR.............. 53,925
------------
727,538
------------
Broadcasting (1.5%):
2,162 CBS Corp.*........................ 138,233
800 Clear Channel Communications,
Inc.*........................... 71,400
2,000 Comcast Corp.*.................... 101,125
1,700 MediaOne Group, Inc.*............. 130,581
3,400 Time Warner, Inc.................. 246,288
2,000 Viacom, Inc., Class B*............ 120,875
------------
808,502
------------
Business Equipment & Services (0.8%):
400 Ceridian Corp..................... 8,625
300 Deluxe Corp....................... 8,231
400 Dun & Bradstreet Corp. (The)...... 11,800
300 Ecolab, Inc....................... 11,738
1,300 Electronic Data Systems Corp...... 87,018
1,200 First Data Corp................... 59,175
300 H&R Block, Inc.................... 13,125
300 IKON Office Solutions, Inc........ 2,044
800 Interpublic Group Cos., Inc....... 46,150
300 Lanier Worldwide, Inc.*........... 1,162
100 National Service Industries,
Inc............................. 2,950
1,000 Office Depot, Inc.*............... 10,937
400 Omnicom Group..................... 40,000
700 Pitney Bowes, Inc................. 33,818
400 R. R. Donnelley & Sons Co......... 9,925
100 Ryder System, Inc................. 2,444
700 Service Corp. International *..... 4,856
</TABLE>
36
Continued
<PAGE> 39
- --------------------------------------------------------------------------------
One Group Investment Trust
Equity Index Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ---------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Business Equipment & Services, continued:
1,300 Staples, Inc.*.................... $ 26,975
85 Too Inc.*......................... 1,466
1,600 Waste Management, Inc............. 27,500
------------
409,939
------------
Capital Equipment (0.3%):
1,000 Caterpillar, Inc.................. 47,063
100 Cummins Engine, Inc............... 4,831
200 Fluor Corp........................ 9,175
100 Foster Wheeler Corp............... 888
700 Illinois Tool Works Inc. (b)...... 47,294
400 Ingersoll-Rand Co................. 22,025
100 Milacron, Inc..................... 1,538
100 NACCO Industries, Inc............. 5,556
200 PACCAR, Inc....................... 8,863
300 Parker-Hannifin Corp.............. 15,394
200 Snap-on, Inc...................... 5,312
300 Thermo Electron Corp.*............ 4,500
100 Timken Co. (The).................. 2,044
------------
174,483
------------
Chemicals -- Petroleum & Inorganic (0.8%):
600 Dow Chemical Co. (b).............. 80,175
3,511 Du Pont (E.I.) De Nemours & Co.... 231,287
200 Goodrich (B.F.) Co................ 5,500
300 Hercules, Inc..................... 8,363
1,700 Monsanto Co....................... 60,562
510 Rohm & Haas Co.................... 20,751
400 Union Carbide Corp................ 26,700
100 W.R. Grace & Co.*................. 1,387
------------
434,725
------------
Chemicals -- Specialty (0.2%):
600 Air Products & Chemicals, Inc..... 20,137
300 Avery Dennison Corp............... 21,861
300 Eastman Chemical Co............... 14,306
300 Engelhard Corp.................... 5,663
200 Great Lakes Chemical Corp......... 7,638
200 Pall Corp. (b).................... 4,313
400 Praxair, Inc...................... 20,125
300 Sigma-Aldrich Corp................ 9,019
------------
103,062
------------
Communications Equipment (4.8%):
1,000 3COM Corp.*....................... 47,000
200 Andrew Corp....................... 3,788
600 BMC Software, Inc.*............... 47,963
300 Cabletron System, Inc.*........... 7,800
8,800 Cisco Systems, Inc.*.............. 942,700
400 General Instrument Corp.*......... 34,000
820 Global Crossing Ltd.*............. 41,000
300 Harris Corp....................... 8,005
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ---------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Communications Equipment, continued:
8,290 Lucent Technologies, Inc.......... $ 620,196
3,720 Nortel Networks Corp. ADR......... 375,720
900 Novell, Inc....................... 35,944
2,400 QUALCOMM Inc.*.................... 422,700
200 Scientific-Atlanta, Inc........... 11,125
1,100 Tellabs, Inc.*.................... 70,606
------------
2,668,547
------------
Computers -- Main & Mini (1.7%):
2,800 Hewlett-Packard Co................ 319,025
5,200 International Business Machines
Corp............................ 561,600
400 Silicon Graphics, Inc.*........... 3,925
700 Unisys Corp.*..................... 22,356
1,900 Xerox Corp........................ 43,106
------------
950,012
------------
Computers -- Micro (1.7%):
400 Apple Computer, Inc.*............. 41,125
4,594 Compaq Computer Corp.............. 124,325
7,100 Dell Computer Corp.*.............. 362,100
800 Gateway, Inc.* (b)................ 57,650
4,200 Sun Microsystems, Inc.*........... 325,237
------------
910,437
------------
Computers -- Peripherals (4.8%):
400 Adobe Systems, Inc................ 26,900
100 Autodesk, Inc..................... 3,375
400 Citrix Systems, Inc.*............. 49,200
1,500 Computer Associates International,
Inc............................. 104,906
1,000 Compuware Corp.*.................. 37,250
2,962 EMC Corp.*........................ 323,599
13,900 Microsoft Corp.*.................. 1,622,825
3,950 Oracle Corp.*..................... 442,647
500 Parametric Technology Corp*....... 13,531
600 PeopleSoft, Inc................... 12,787
700 Seagate Technology, Inc*.......... 32,594
------------
2,669,614
------------
Construction & Building Materials (0.1%):
300 Black & Decker Corp............... 15,675
150 Crane Co.......................... 2,981
100 Owens Corning..................... 1,931
500 PPG Industries, Inc............... 31,281
300 Sherwin Williams Co. (The)........ 6,300
300 Stanley Works (The)............... 9,038
------------
67,206
------------
</TABLE>
37
Continued
<PAGE> 40
- --------------------------------------------------------------------------------
One Group Investment Trust
Equity Index Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ---------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Containers (0.0%):
100 Ball Corp......................... $ 3,937
100 Bemis, Inc........................ 3,487
300 Crown Cork & Seal Company, Inc.... 6,713
300 Pactiv Corp....................... 3,188
------------
17,325
------------
Cosmetics & Toiletry (0.3%):
700 Avon Products, Inc................ 23,100
3,000 Gillette Company (The)............ 123,562
300 International Flavor and
Fragrances...................... 11,325
------------
157,987
------------
Defense (0.1%):
300 General Dynamics Corp............. 15,825
100 PerkinElmer, Inc.................. 4,169
900 Raytheon Company.................. 23,906
600 Rockwell International Corp....... 28,725
86 Teledyne Technologies, Inc*....... 809
------------
73,434
------------
Electrical Equipment (3.2%):
300 Cooper Industries, Inc............ 12,131
600 Dover Corp........................ 27,225
1,200 Emerson Electric Co............... 68,850
9,100 General Electric Co............... 1,408,225
300 Johnson Controls, Inc............. 17,063
600 Molex, Inc........................ 34,013
4,552 Tyco International Ltd............ 176,959
300 W.W. Grainger, Inc................ 14,344
------------
1,758,810
------------
Electronics -- Components (2.8%):
100 Adaptec, Inc.*.................... 4,988
300 Advanced Micro Devices, Inc.*..... 8,681
1,450 Analog Devices, Inc.*............. 134,850
9,300 Intel Corp........................ 765,506
400 LSI Logic Corp.* (b).............. 27,000
700 Micron Technology, Inc............ 54,425
1,700 Motorola, Inc..................... 250,325
300 National Semiconductor*........... 12,844
400 Network Appliance, Inc.,.......... 33,225
700 Solectron Corp.*.................. 66,588
2,000 Texas Instruments, Inc............ 193,750
100 Thomas & Betts Corp............... 3,188
200 Xilinx, Inc.*..................... 9,094
------------
1,564,464
------------
Electronics -- Instruments (0.4%):
1,000 Applied Materials, Inc.*.......... 126,688
300 KLA -Tencor Corp.................. 33,413
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ---------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Electronics -- Instruments, continued:
200 PE Corp.-Biosystems Group......... $ 24,063
100 Tektronix, Inc.................... 3,888
600 Teradyne, Inc.*................... 39,600
------------
227,652
------------
Farm Machinery (0.1%):
700 Deere & Co........................ 30,362
200 Navistar International Corp....... 9,475
------------
39,837
------------
Finance Companies (0.3%):
2,000 Associates First Capital Corp..... 54,875
500 Capital One Financial Corp........ 24,094
300 Countrywide Credit Industries,
Inc............................. 7,575
1,306 Household International, Inc...... 48,649
------------
135,193
------------
Food and Related (1.0%):
1,695 Archer-Daniels-Midland Co......... 20,658
700 BestFoods......................... 36,794
1,300 Campbell Soup Co.................. 50,294
1,300 ConAgra, Inc...................... 29,331
800 General Mills, Inc................ 28,600
1,000 H.J. Heinz Co..................... 39,813
400 Hershey Foods Corp. (b)........... 19,000
1,100 Kellogg Co........................ 33,894
900 Nabisco Holding Corp.............. 9,562
400 Quaker Oats Co. (The)............. 26,250
900 Ralston-Ralston Purina Group...... 25,088
2,500 Sara Lee Corp..................... 55,156
200 SUPERVALUE, Inc................... 4,000
900 SYSCO Corp........................ 35,606
1,571 Unilever N.V. ADR................. 85,521
300 Wrigley (Wm.) Jr. Co.............. 24,881
------------
524,448
------------
Forest and Paper Products (0.6%):
100 Boise Cascade Corp................ 4,050
300 Champion International Corp....... 18,581
600 Georgia Pacific Corp.............. 30,450
1,148 International Paper Co............ 64,790
1,500 Kimberly-Clark Corp............... 97,875
200 Louisiana-Pacific Corp............ 2,850
300 Mead Corp......................... 13,031
400 Owens-Illinois, Inc............... 10,025
100 Potlatch Corp..................... 4,463
300 Sealed Air Corp.* (b)............. 15,544
100 Temple-Inland, Inc................ 6,594
200 Westvaco Corp..................... 6,525
600 Weyerhauser Co.................... 43,087
300 Willamette Industries, Inc........ 13,931
------------
331,796
------------
</TABLE>
38
Continued
<PAGE> 41
- --------------------------------------------------------------------------------
One Group Investment Trust
Equity Index Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ---------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Furniture and Furnishings (0.1%):
100 Armstrong World Industries,
Inc............................. $ 3,338
675 Leggett & Platt, Inc.............. 14,470
1,000 Masco Corp........................ 25,375
------------
43,183
------------
Gold & Precious Metals (0.0%):
1,000 Barrick Gold Corp. ADR............ 17,688
500 Homestake Mining Co............... 3,906
500 Placer Dome, Inc. ADR............. 5,375
------------
26,969
------------
Healthcare -- Drugs (3.0%):
4,200 Abbott Laboratories............... 152,513
400 Allergan, Inc..................... 19,900
300 ALZA Corp.*....................... 10,388
2,800 Amgen, Inc.*...................... 168,175
750 Cardinal Health, Inc.............. 35,906
3,000 Eli Lilly and Co.................. 199,500
722 McKesson HBOC, Inc................ 16,290
6,600 Merck & Co., Inc.................. 442,613
100 Millipore Corp.................... 3,863
10,800 Pfizer, Inc....................... 350,325
1,400 Pharmacia & Upjohn, Inc........... 63,000
4,100 Schering-Plough Corp.............. 172,969
200 Watson Pharmaceuticals, Inc.*..... 7,163
------------
1,642,605
------------
Healthcare -- General (2.1%):
3,600 American Home Products Corp....... 141,975
100 Bausch & Lomb, Inc................ 6,844
700 Baxter International, Inc......... 43,969
700 Becton, Dickinson and Co.(b)...... 18,725
300 Biomet, Inc....................... 12,000
1,100 Boston Scientific Corp............ 24,063
5,500 Bristol-Meyers Squibb Co.......... 353,031
3,800 Johnson & Johnson................. 353,875
200 Mallinckrodt, Inc................. 6,363
300 St. Jude Medical, Inc.*........... 9,206
2,300 Warner-Lambert Co................. 188,456
------------
1,158,507
------------
Homebuilding -- Mobile Homes (0.0%):
200 Centex Corp....................... 4,938
100 Fleetwood Enterprises, Inc........ 2,063
100 Kaufman & Broad Home Corp......... 2,419
100 Pulte Corp........................ 2,250
------------
11,670
------------
Hospital Supply and Management (0.6%):
400 Aetna, Inc........................ 22,325
100 Bard, C.R., Inc................... 5,300
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ---------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Hospital Supply and Management, continued:
1,800 Columbia/HCA Healthcare Corp.(b).. $ 52,762
900 Guidant Corp...................... 42,300
1,200 HEALTHSOUTH Corp.................. 6,450
300 Humana, Inc.*..................... 2,456
900 IMS Health, Inc................... 24,469
200 Manor Care, Inc.*................. 3,200
3,200 Medtronic, Inc.................... 116,600
100 Shared Medical Systems Corp....... 5,094
900 Tenet Healthcare Corp.*........... 21,150
600 United HeathCare Corp............. 31,875
300 Wellpoint Health Networks, Inc.... 19,781
------------
353,762
------------
Hotels & Gaming (0.1%):
200 Harrah's Entertainment, Inc....... 5,288
500 Hilton Hotels Corp................ 4,813
700 Marriott International, Inc. Class
A............................... 22,094
500 Mirage Resorts, Inc.*............. 7,656
------------
39,851
------------
Household Products (1.1%):
100 American Greetings Corp. Class
A............................... 2,362
600 Clorox Co.(b)..................... 30,225
1,800 Colgate-Palmolive Co.............. 117,000
600 Fort James Corp................... 16,425
400 Fortune Brands, Inc............... 13,225
100 Jostens, Inc...................... 2,431
657 Newell Rubbermaid, Inc............ 19,053
3,600 Procter & Gamble Co............... 394,425
100 Tupperware Corp................... 1,694
------------
596,840
------------
Household -- Major Appliances (0.1%):
300 Maytag Corp....................... 14,400
200 Whirlpool Corp.................... 13,012
------------
27,412
------------
Insurance -- Life (0.3%):
200 AFLAC, Inc........................ 9,437
700 American General Corp............. 53,112
650 Aon Corp.(b)...................... 26,000
891 Conseco, Inc...................... 15,927
300 Jefferson-Pilot Corp.............. 20,475
350 Providian Corp.................... 31,872
400 Torchmark Corp.................... 11,625
692 UnumProvident Corp................ 22,187
------------
190,635
------------
Insurance -- Property & Casualty (1.4%):
2,300 Allstate Corp. (The).............. 55,200
4,320 American International Group,
Inc............................. 467,100
</TABLE>
39
Continued
<PAGE> 42
- --------------------------------------------------------------------------------
One Group Investment Trust
Equity Index Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ---------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Insurance -- Property & Casualty, continued:
400 Chubb Corp........................ $ 22,525
600 CIGNA Corp........................ 48,338
400 Cincinnati Financial Corp......... 12,475
600 Hartford Financial Services
Group........................... 28,425
600 Lincoln National Corp............. 24,000
300 Loews Corp........................ 18,206
300 MBIA, Inc......................... 15,844
300 MGIC Investment Corp.............. 18,056
200 Progressive Corp. (The)........... 14,625
400 SAFECO Corp....................... 9,950
700 The St. Paul Companies, Inc.
(b)............................. 23,581
------------
758,325
------------
Leisure Products (0.6%):
200 Brunswick Corp.................... 4,450
1,700 Carnival Corp. Class A............ 81,281
2,300 Cendant Corp.*.................... 61,094
600 Hasbro, Inc. (b).................. 11,437
1,000 Mattel, Inc. (b).................. 13,125
5,700 Walt Disney Co. (The)............. 166,725
------------
338,112
------------
Mining (0.1%):
300 Freeport-McMoran Copper & Gold,
Inc............................. 6,337
500 Inco Ltd.......................... 11,750
300 Newmont Mining Corp. (b).......... 7,350
170 Phelps Dodge Corp................. 11,411
------------
36,848
------------
Motor Vehicles -- Parts (0.2%):
300 AutoZone, Inc.* (b)............... 9,694
392 Dana Corp......................... 11,736
400 Danaher Corp...................... 19,300
1,408 Delphi Automotive Systems Corp.... 22,176
200 Eaton Corp........................ 14,525
500 Genuine Parts Co.................. 12,406
300 ITT Industries, Inc............... 10,031
60 Tenneco, Inc...................... 559
------------
100,427
------------
Motor Vehicles (0.6%):
3,300 Ford Motor Co..................... 176,344
1,900 General Motors Corp............... 138,106
------------
314,450
------------
Multiple Industry (0.7%):
600 Corning, Inc. (b)................. 77,363
100 FMC Corp.......................... 5,731
2,162 Honeywell International, Inc...... 124,720
33 Huttig Building Products, Inc.*... 165
1,100 Minnesota Mining & Manufacturing
Co.............................. 107,663
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ---------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Multiple Industry, continued:
522 Scottish Power PLC ADR............ $ 14,616
400 Textron, Inc...................... 30,675
300 TRW, Inc.......................... 15,581
30 Water Pik Technologies, Inc....... 287
------------
376,801
------------
Petroleum -- Domestic (0.5%):
300 Anadarko Petroleum Corp........... 10,237
300 Apache Corp....................... 11,081
200 Ashland, Inc...................... 6,587
900 Atlantic Richfield Co............. 77,850
500 Burlington Resources, Inc......... 16,531
244 Conoco Inc........................ 6,070
236 Kerr McGee Corp................... 14,632
1,000 Occidental Petroleum Corp......... 21,625
700 Phillips Petroleum Co............. 32,900
200 Sunoco., Inc...................... 4,700
200 Tosco Corp........................ 5,438
500 Union Pacific Resources Group,
Inc............................. 6,375
700 Unocal Corp....................... 23,494
900 USX -- Marathon Group............. 22,219
------------
259,739
------------
Petroleum -- International (2.5%):
300 Amerada Hess Corp................. 17,025
1,900 Chevron Corp...................... 164,587
9,704 Exxon Corp........................ 781,778
5,900 Royal Dutch Petroleum Co. ADR..... 356,581
1,500 Texaco, Inc....................... 81,469
------------
1,401,440
------------
Petroleum -- Services (0.3%):
970 Baker Hughes, Inc................. 20,431
1,200 Halliburton Co.................... 48,300
100 Helmerich & Payne................. 2,181
100 McDermott International, Inc...... 906
200 Rowan Cos., Inc................... 4,338
1,500 Schlumberger Ltd.................. 84,375
291 Transocean Sedco Forex, Inc....... 9,803
------------
170,334
------------
Photographic Equipment (0.1%):
900 Eastman Kodak Co.................. 59,625
100 Polaroid Corp..................... 1,881
------------
61,506
------------
Publishing (0.4%):
300 Dow Jones & Co.,Inc............... 20,400
700 Gannett Co., Inc.................. 57,094
200 Harcourt General, Inc............. 8,050
300 Knight-Ridder, Inc. (b)........... 17,850
600 McGraw-Hill Cos., Inc............. 36,975
</TABLE>
40
Continued
<PAGE> 43
- --------------------------------------------------------------------------------
One Group Investment Trust
Equity Index Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ---------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Publishing, continued:
100 Meredith Corp..................... $ 4,169
500 New York Times Co.(The) Class A... 24,562
300 Times Mirror Co. (The)............ 20,100
600 Tribune Co........................ 33,037
------------
222,237
------------
Railroads (0.2%):
1,300 Burlington Northern Santa Fe
Corp............................ 31,525
600 CSX Corp.......................... 18,825
200 Kansas City Southern Industries,
Inc............................. 14,925
1,000 Norfolk Southern Corp............. 20,500
700 Union Pacific Corp................ 30,537
------------
116,312
------------
Restaurants (0.3%):
300 Darden Restaurants, Inc........... 5,437
3,800 McDonald's Corp................... 153,188
400 Tricon Global Restaurants, Inc.... 15,450
200 Wendy's International, Inc........ 4,125
------------
178,200
------------
Retail -- Food Stores (0.5%):
1,141 Albertson's, Inc.................. 36,797
1,000 CVS Corp.......................... 39,938
100 Great Atlantic & Pacific Tea Co.,
Inc. (The)...................... 2,787
2,400 Kroger Co.*....................... 45,300
100 Longs Drug Stores Corp............ 2,581
700 Rite Aid Corp. (b)................ 7,831
1,300 Safeway Inc....................... 46,231
2,800 Walgreen Co....................... 81,900
400 Winn-Dixie Stores, Inc............ 9,575
------------
272,940
------------
Retail -- General Merchandise (2.2%):
600 Costco Cos., Inc.*................ 54,750
1,200 Dayton Hudson Corp................ 88,125
300 Dillard's, Inc.................... 6,056
606 Dollar General Corp............... 13,787
600 Federated Department Stores,
Inc............................. 30,338
700 J. C. Penney Company, Inc......... 13,956
1,300 Kmart Corp. (b)................... 13,081
400 Kohls Corp.*...................... 28,875
900 May Department Stores Co.......... 29,025
400 Nordstrom, Inc.................... 10,475
1,000 Sears, Roebuck & Co............... 30,437
900 TJX Cos., Inc..................... 18,394
12,400 Wal-Mart Stores, Inc.............. 857,150
------------
1,194,449
------------
Retail -- Specialty (1.3%):
420 Bed, Bath and Beyond, Inc.* (b)... 14,595
500 Best Buy Co., Inc.*............... 25,094
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ---------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Retail -- Specialty, continued:
600 Circuit City Stores-Circuit City
Group........................... $ 27,038
200 Consolidated Stores Corp.*........ 3,250
2,400 Gap, Inc. (b)..................... 110,400
6,150 Home Depot, Inc................... 421,659
600 Limited, Inc. (The)............... 25,988
1,000 Lowe's Companies, Inc............. 59,750
60 The Neiman Marcus Group, Inc.*.... 1,616
200 Pep Boys -- Manny, Moe & Jack.
(The)........................... 1,825
600 Tandy Corp........................ 29,513
700 Toys 'R' Us, Inc.*................ 10,019
------------
730,747
------------
Savings & Loans (0.0%):
300 Golden West Financial Corp. (b)... 10,050
------------
Security & Commercial Brokers (1.9%):
1,300 American Express Co............... 216,125
325 Bear Stearns Cos., Inc............ 13,894
2,900 Fannie Mae........................ 181,069
700 Franklin Resources, Inc........... 22,444
1,900 Freddie Mac....................... 89,419
300 Lehman Brothers Holding........... 25,406
650 Marsh & McLennan Cos., Inc........ 62,197
1,000 Merrill Lynch & Co., Inc.......... 83,500
1,600 Morgan Stanley Dean Witter &
Co.*............................ 228,400
100 Paine Webber Group................ 3,881
420 Price, T Rowe Associates, Inc..... 15,514
2,100 Schwab, Charles Corp.............. 80,587
400 Student Loan Market Association... 16,900
------------
1,039,336
------------
Steel (0.1%):
300 Allegheny Teledyne, Inc........... 6,731
200 Bethlehem Steel Corp.*............ 1,675
300 Nucor Corp........................ 16,444
200 USX-U.S. Steel Group, Inc......... 6,600
200 Worthington Industries, Inc....... 3,312
------------
34,762
------------
Timesharing & Software (2.0%):
5,800 America Online, Inc.*............. 437,538
1,700 Automatic Data Processing, Inc.... 91,588
400 Computer Science Corp.*........... 37,850
400 Equifax, Inc...................... 9,425
6 Momentum Business Application,
Inc............................. 47
650 Paychex, Inc...................... 26,000
1,200 Yahoo!, Inc.*..................... 519,225
------------
1,121,673
------------
</TABLE>
41
Continued
<PAGE> 44
- --------------------------------------------------------------------------------
One Group Investment Trust
Equity Index Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ---------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Tire & Rubber (0.0%):
100 Cooper Tire and Rubber Co......... $ 1,556
400 Goodyear Tire & Rubber Co......... 11,275
------------
12,831
------------
Tobacco (0.3%):
6,800 Philip Morris Cos. Inc............ 157,675
200 R.J. Reynolds Tobacco Holdings,
Inc............................. 3,525
600 UST, Inc.......................... 15,112
------------
176,312
------------
Utilities -- Electric (0.9%):
500 AES Corp. (The) (b)............... 37,375
400 Ameren Corp....................... 13,100
600 American Electric Power Company,
Inc............................. 19,275
400 Carolina Power & Light Co. (b).... 12,175
600 Central & South West Corp......... 12,000
400 Cinergy Corp...................... 9,650
100 CMS Energy Corporation............ 3,119
600 Consolidated Edison, Inc. (b)..... 20,700
300 Constellation Energy Group........ 8,700
600 Dominion Resources, Inc. (b)...... 23,550
400 DTE Energy Corp. (b).............. 12,550
1,000 Duke Energy Co.................... 50,125
1,000 Edison International.............. 26,188
700 Entergy Corporation............... 18,024
500 FPL Group, Inc.................... 21,406
300 GPU, Inc.......................... 8,981
300 New Century Energies, Inc......... 9,113
400 Niagara Mohawk Holdings, Inc...... 5,575
300 Northern States Power-MN.......... 5,850
300 PP&L Resources, Inc............... 6,862
600 PECO Energy Company............... 20,850
1,000 PG&E Corp......................... 20,500
100 Pinnacle West Capital Corp........ 3,056
600 Public Service Enterprise Group,
Inc............................. 20,887
700 Reliant Energy, Inc............... 16,012
1,900 Southern Co....................... 44,650
700 Texas Utilities Co. (b)........... 24,894
600 Unicom Corp....................... 20,100
------------
495,267
------------
Utilities -- Gas & Pipeline (0.4%):
600 Coastal Corp. (The)............... 21,263
250 Columbia Energy Group............. 15,813
300 Consolidated National Gas Co...... 19,481
100 Eastern Enterprises............... 5,744
300 El Paso Energy Corp............... 11,644
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ---------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Utilities -- Gas & Pipeline, continued:
1,800 Enron Corp........................ $ 79,875
700 FirstEnergy Corp.................. 15,881
100 NICOR, Inc........................ 3,250
100 ONEOK, Inc........................ 2,513
100 Peoples Energy Corp............... 3,350
700 Sempra Energy..................... 12,163
1,200 Williams Cos., (The).............. 36,675
------------
227,652
------------
Utilities -- Telephone (4.7%):
700 ALLTEL Corp....................... 57,881
8,763 AT&T Corp......................... 444,722
4,300 Bell Atlantic Corporation......... 264,719
5,400 Bellsouth Corp.................... 252,788
550 CenturyTel, Inc................... 26,056
2,700 GTE Corp.......................... 190,519
7,605 MCI WorldCom, Inc.*............... 403,540
800 Nextel Communications, Inc.*
(b)............................. 82,500
9,448 SBC Communications, Inc........... 460,590
2,600 Sprint Corp....................... 175,012
1,250 Sprint PCS Group, Inc.* (b)....... 128,125
1,405 U S West Communications Group..... 101,160
------------
2,587,612
------------
Total Common Stocks 33,918,508
------------
PREFERRED STOCK (0.0%)
Cosmetic-Toiletry (0.0%):
100 Alberto Culver Class B............ 2,581
------------
Total Preferred Stock 2,581
------------
U.S. TREASURY OBLIGATIONS (2.0%)
U.S. Treasury Bills (2.0%)
$740,000 02/17/00 (c)...................... 735,412
55,000 3/23/00 (c)....................... 54,384
285,000 1/20/00 (c)....................... 284,326
------------
Total U.S. Treasury Obligations 1,074,122
------------
REPURCHASE AGREEMENT (36.4%):
20,078,000 State Street Bank, 3.00%, 1/3/00
(Collateralized by $20,480,000
Federal National Mortgage
Assoc., 6.35%, 06/22/01, market
value $20,480,000).............. 20,078,000
------------
Total Repurchase Agreement 20,078,000
------------
</TABLE>
42
Continued
<PAGE> 45
- --------------------------------------------------------------------------------
One Group Investment Trust
Equity Index Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- --------- ---------------------------------- ------------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL (1.8%):
Investment Companies (1.6%):
885,195 One Group Prime Money Market Fund,
Class I(d)...................... $ 885,195
------------
Repurchase Agreement (0.2%):
$ 88,152 Lehman Brothers A2/P2 Tri-Party
4.65% 1/3/00 (Collateralized by
$92,578 Silver Tower US Funding
Commercial Paper, 5/23/00 market
value $92,578).................. 88,152
------------
Total Short-term Securities held as
Collateral 973,347
------------
Total (Cost $50,313,220)(a) $ 56,046,558
============
</TABLE>
- ------------
Percentages indicated are based on net assets of $55,127,647.
* Denotes a non-income producing security.
(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
$3,486. Cost for federal income tax purposes differs from value by net
unrealized appreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation...................... $7,940,158
Unrealized depreciation...................... (2,210,306)
----------
Net unrealized appreciation.................. $5,729,852
==========
</TABLE>
(b) A portion of this security was loaned as of December 31, 1999.
(c) Serves as collateral for futures contracts.
<TABLE>
<CAPTION>
CURRENT
NUMBER OF OPENING MARKET
CONTRACTS CONTRACT TYPE POSITIONS VALUE
- --------- ------------- ----------- -----------
<C> <S> <C> <C>
53 Long S&P 500, March 2000 Futures $18,854,773 $19,665,651
</TABLE>
(d) Affiliated fund
The abbreviations in the above statement stand for the following:
ADR American Depositary Receipt.
See accompanying notes to financial statements.
43
<PAGE> 46
- --------------------------------------------------------------------------------
One Group Investment Trust
Diversified Equity Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- ---------------------------------- -----------
<C> <S> <C>
COMMON STOCKS (93.4%):
Aircraft (0.3%):
6,330 Cordant Technologies, Inc......... $ 208,890
-----------
Aluminum (0.8%):
7,030 Alcoa, Inc........................ 583,490
-----------
Apparel (1.2%):
3,940 Intimate Brands, Inc.............. 169,912
9,030 Jones Apparel Group, Inc.*........ 244,939
8,700 NIKE, Inc. Class B................ 431,194
-----------
846,045
-----------
Banks (6.6%):
16,220 Bank of America Corp.............. 814,041
10,830 Charter One Financial, Inc........ 207,124
7,150 Chase Manhattan Corp. (The)....... 555,466
25,290 Citigroup, Inc.................... 1,405,176
11,520 First Security Corp............... 294,121
4,990 First Tennessee National Corp..... 142,215
16,220 FleetBoston Financial Corp........ 564,659
6,740 Pacific Century Financial Corp.... 125,954
7,820 SouthTrust Corp................... 295,694
6,640 Wells Fargo Co.................... 268,505
-----------
4,672,955
-----------
Beverages (0.7%):
4,880 Coca Cola Co. (The)............... 284,260
9,390 Coca-Cola Enterprises, Inc.(b).... 188,974
-----------
473,234
-----------
Broadcasting (4.0%):
9,460 Belo, (AH) Corp. Series A......... 180,331
7,350 CBS Corp.*........................ 469,941
7,760 Comcast Corp. Class A............. 392,365
12,520 Time Warner, Inc.................. 906,918
14,020 Viacom, Inc. Class B*............. 847,334
-----------
2,796,889
-----------
Business Equipment & Services (0.3%):
4,170 Waters Corp.*..................... 221,010
-----------
Chemicals -- Petroleum & Inorganic (1.0%):
5,290 Du Pont (E.I.) De Nemours & Co.... 348,479
8,140 Lyondell Chemical Co.............. 103,785
6,780 Monsanto Co....................... 241,537
-----------
693,801
-----------
Chemicals -- Specialty (1.2%):
6,180 Cabot Corp........................ 125,917
7,480 CK Witco Corp..................... 100,045
5,710 Cytec Industries, Inc.*........... 132,044
9,040 Ferro Corp........................ 198,880
12,170 RPM, Inc., Ohio................... 123,982
6,550 Sigma-Aldrich Corp................ 196,909
-----------
877,777
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- ---------------------------------- -----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Communications Equipment (8.2%):
3,840 ADC Telecommunications,
Inc.*(b)........................ $ 278,640
5,380 BMC Software, Inc.*............... 430,064
20,270 Cisco Systems, Inc.*.............. 2,171,424
1,930 Comverse Technology, Inc.*(b)..... 279,367
17,210 Lucent Technologies, Inc.......... 1,287,523
10,350 Nortel Networks Corp. ADR......... 1,045,350
4,660 Symbol Technologies, Inc.......... 296,201
-----------
5,788,569
-----------
Computers -- Main & Mini (1.8%):
4,460 Hewlett-Packard Co................ 508,161
6,930 International Business Machines
Corp............................ 748,440
-----------
1,256,601
-----------
Computers -- Micro (2.4%):
17,730 Dell Computer Corp.*.............. 904,230
10,480 Sun Microsystems, Inc.*........... 811,545
-----------
1,715,775
-----------
Computers -- Peripheral (6.9%):
10,210 EMC Corp.*........................ 1,115,442
26,080 Microsoft Corp. *................. 3,044,840
2,610 Oracle Corp.*..................... 292,483
4,030 Rational Software Corp.*.......... 197,974
4,900 Symantec Corp.*................... 287,262
-----------
4,938,001
-----------
Construction Materials (0.5%):
9,390 Crane Co.......................... 186,626
4,140 USG Corp.......................... 195,098
-----------
381,724
-----------
Cosmetics & Toiletry (0.7%):
12,850 Gillette Co. (The)................ 529,259
-----------
Electrical Equipment (5.6%):
17,950 General Electric Co............... 2,777,762
4,960 Johnson Controls, Inc............. 282,100
8,970 Mark IV Industries, Inc........... 158,657
19,430 Tyco International Ltd............ 755,341
-----------
3,973,860
-----------
Electronics -- Components (4.1%):
17,330 Intel Corp........................ 1,426,476
9,760 Maxim Integrated Products,
Inc.*........................... 460,550
4,980 SCI Systems, Inc.*................ 409,294
2,890 Solectron Corp.*.................. 274,911
8,240 Xilinx, Inc.*..................... 374,663
-----------
2,945,894
-----------
Electronics -- Instruments (0.8%):
4,650 Applied Materials, Inc.*.......... 589,097
-----------
</TABLE>
44
Continued
<PAGE> 47
- --------------------------------------------------------------------------------
One Group Investment Trust
Diversified Equity Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- ---------------------------------- -----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Finance Companies (0.3%):
7,950 Associates First Capital Corp..... $ 218,128
-----------
Food and Related (1.3%):
33,110 Sara Lee Corp..................... 730,489
11,380 U.S. Foodservice*................. 190,615
-----------
921,104
-----------
Forest and Paper Products (2.1%):
7,970 Georgia-Pacific Group............. 404,477
12,480 Kimberly-Clark Corp............... 814,320
7,380 Pentair, Inc...................... 284,130
-----------
1,502,927
-----------
Healthcare -- Drugs (3.5%):
5,780 Abbott Laboratories............... 209,886
3,270 Gilead Sciences, Inc.*............ 176,989
1,490 MedImmune, Inc.*.................. 247,154
9,360 Merck & Co., Inc.................. 627,705
17,720 Pfizer, Inc....................... 574,792
15,050 Schering-Plough Corp.............. 634,922
-----------
2,471,448
-----------
Healthcare -- General (4.1%):
11,440 American Home Products Corp....... 451,165
5,710 Baxter International Inc.......... 358,659
6,220 Biomet, Inc....................... 248,800
15,140 Bristol-Myers Squibb Co........... 971,799
10,260 IDEXX Laboratories, Inc.*......... 165,442
3,560 Johnson & Johnson................. 331,525
4,870 Warner-Lambert Co................. 399,036
-----------
2,926,426
-----------
Hospital Supply and Management (0.9%):
3,850 Guidant Corp.*.................... 180,950
13,220 Medtronic, Inc.................... 481,704
-----------
662,654
-----------
Hotels and Gaming (0.5%):
19,310 Hilton Hotels Corp................ 185,859
8,010 International Game Technology..... 162,703
-----------
348,562
-----------
Household -- General Products (0.6%):
4,000 Procter & Gamble Co............... 438,250
-----------
Household -- Major Appliances (0.3%):
3,050 Whirlpool Corp.................... 198,441
-----------
Insurance -- Property & Casualty (2.8%):
10,560 American International Group,
Inc............................. 1,141,800
5,350 CIGNA Corp........................ 431,009
8,710 Hartford Financial Services Group
Inc. (The)...................... 412,636
-----------
1,985,445
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- ---------------------------------- -----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Metal Fabrication (0.3%):
4,230 Fastenal Co.(b)................... $ 190,086
-----------
Motor Vehicles (0.7%):
6,790 General Motors Corp............... 493,548
-----------
Motor Vehicles -- Parts (1.0%):
3,770 Eaton Corp........................ 273,796
5,060 Lear Corp.*....................... 161,920
3,480 SPX Corp.*........................ 281,227
-----------
716,943
-----------
Multiple Industry (0.0%):
2,087 Huttig Building Products, Inc.*... 10,303
-----------
Petroleum -- Domestic (1.1%):
11,030 Occidental Petroleum Corp......... 238,524
6,660 Tosco Corp........................ 181,069
13,480 USX -- Marathon Group............. 332,788
-----------
752,381
-----------
Petroleum -- International (4.2%):
25,205 Exxon Mobil Corp.................. 2,030,578
9,160 Royal Dutch Petroleum Co. ADR..... 553,608
7,830 Texaco, Inc....................... 425,267
-----------
3,009,453
-----------
Petroleum -- Services (0.8%):
7,550 Halliburton Co.................... 303,887
8,910 Transocean Sedco Forex, Inc....... 300,156
-----------
604,043
-----------
Publishing (0.7%):
9,630 New York Times Co. Class A
(The)........................... 473,074
-----------
Railroads (0.4%):
3,480 Kansas City Southern Industries,
Inc............................. 259,695
-----------
Restaurants (0.7%):
4,810 Applebee's International, Inc..... 141,895
8,580 Tricon Global Restaurants,
Inc.*........................... 331,403
-----------
473,298
-----------
Retail -- Food Stores (0.5%):
9,460 CVS Corp.......................... 377,809
-----------
Retail -- General Merchandise (2.5%):
5,910 Kohl's Corp.*..................... 426,628
8,490 TJX Cos., Inc. (The).............. 173,514
16,530 Wal-Mart Stores, Inc.............. 1,142,636
-----------
1,742,778
-----------
Retail -- Specialty (0.8%):
3,580 Ann Taylor Stores Corp.*.......... 123,286
9,990 Williams-Sonoma, Inc.*(b)......... 459,540
-----------
582,826
-----------
</TABLE>
45
Continued
<PAGE> 48
- --------------------------------------------------------------------------------
One Group Investment Trust
Diversified Equity Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- ---------------------------------- -----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Security & Commercial Broker (3.9%):
2,970 American Express Co............... $ 493,762
11,140 Fannie Mae........................ 695,554
4,380 Marsh & McLennan Cos., Inc........ 419,111
8,340 Morgan Stanley Dean Witter &
Co.............................. 1,190,535
-----------
2,798,962
-----------
Timesharing & Software (1.5%):
14,040 America Online, Inc.*............. 1,059,142
-----------
Tobacco (1.2%):
35,850 Philip Morris Cos. Inc............ 831,272
-----------
Trucking & Shipping (0.4%):
3,620 United Parcel Service, Inc........ 249,780
-----------
Utilities -- Electric (1.8%):
7,610 CMS Energy Corp................... 237,337
15,650 Energy East Corp.................. 325,716
6,180 FPL Group, Inc.................... 264,581
10,020 GPU, Inc.......................... 299,974
5,930 Pinnacle West Capital Corp........ 181,236
-----------
1,308,844
-----------
Utilities -- Gas & Pipeline (0.8%):
6,880 El Paso Energy Corp............... 267,030
10,830 Williams Cos., Inc. (The)......... 330,992
-----------
598,022
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- ---------------------------------- -----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Utilities -- Telephone (6.6%):
7,430 AT&T Corp......................... $ 377,072
11,720 CenturyTel, Inc................... 555,235
23,580 MCI WorldCom, Inc.*............... 1,251,214
7,870 Qwest Communications
International, Inc.*(b)......... 338,410
24,350 SBC Communications, Inc........... 1,187,062
14,370 Sprint Corp....................... 967,281
-----------
4,676,274
-----------
Total Common Stocks 66,374,789
-----------
REPURCHASE AGREEMENT (6.6%):
$4,688,000 State Street, 3.00%, 1/3/00
(Collateralized by $4,785,000
Federal National Mortgage
Assoc., 6.35%, 06/22/01, market
value $4,785,000)............... 4,688,000
-----------
Total Repurchase Agreement 4,688,000
-----------
SHORT-TERM SECURITIES HELD AS COLLATERAL (2.4%):
Investment Companies (2.2%):
1,556,945 One Group Prime Money Market Fund,
Class I(c)...................... 1,556,945
Repurchase Agreement (0.2%):
$ 155,049 Lehman Brothers A2/P2 Tri-Party
4.65%, 1/3/00 (Collateralized by
$162,834 Silver Tower US Funding
Commercial Paper, 5/23/00,
market value $162,834).......... 155,049
-----------
Total Short-Term Securities Held as
Collateral 1,711,994
-----------
Total (Cost $64,381,391)(a) $72,774,783
===========
</TABLE>
- ------------
Percentages indicated are based on net assets of $71,065,627.
* Denotes a non-income producing security.
(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
$4,442. Cost for federal income tax purposes differs from value by net
unrealized appreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation...................... $11,546,524
Unrealized depreciation...................... (3,157,574)
-----------
Net unrealized appreciation.................. $ 8,388,950
===========
</TABLE>
(b) A portion of this security was loaned as of December 31, 1999.
(c) Affiliated fund
The abbreviations in the above statement stand for the following:
ADR American Depositary Receipt
See accompanying notes to financial statements.
46
<PAGE> 49
- --------------------------------------------------------------------------------
One Group Investment Trust
Mid Cap Growth Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
COMMON STOCKS (96.2%):
Apparel (1.1%):
14,300 American Eagle Outfitters,
Inc.,*......................... $ 643,500
35,100 Jones Apparel Group, Inc.*....... 952,087
------------
1,595,587
------------
Banks (2.6%):
47,300 First Tennessee National Corp.... 1,348,050
16,700 National Commerce Bancorp.*...... 378,881
16,800 North Fork Bancorp., Inc......... 294,000
26,900 Zions Bancorp.................... 1,592,144
------------
3,613,075
------------
Broadcasting (5.1%):
15,200 Hispanic Broadcasting Corp.*..... 1,401,726
32,900 Univision Communications,
Inc.*(b)....................... 3,361,969
14,300 Viacom, Inc. Class B*............ 864,256
19,900 Westwood One, Inc.*.............. 1,512,400
------------
7,140,351
------------
Business Equipment & Services(9.3%):
1,700 Agency.Com. Inc.*................ 86,700
21,600 Apollo Group, Inc.*.............. 433,350
13,000 CheckFree Holdings Corp.,*....... 1,358,500
31,700 Cintas Corp...................... 1,684,062
46,400 Comdisco, Inc.................... 1,728,400
49,800 Convergys Corp.*................. 1,531,350
25,700 Herman Miller, Inc............... 591,100
21,800 Manpower, Inc.................... 820,225
1,700 Optio Software, Inc*(b).......... 39,950
20,700 Reynolds & Reynolds Co. Class
A.............................. 465,750
41,300 Robert Half International,
Inc.*.......................... 1,179,631
31,000 Staples, Inc.*................... 643,250
28,900 Viad Corp........................ 805,587
29,200 Waters Corp.*.................... 1,547,600
2,800 Xpedior, Inc.*(b)................ 80,500
------------
12,995,955
------------
Communications Equipment (2.7%):
11,400 ADTRAN, Inc.*(b)................. 586,387
4,400 Comverse Technology, Inc.*(b).... 636,900
40,700 Symbol Technology, Inc........... 2,586,994
------------
3,810,281
------------
Computers -- Main & Mini (0.1%):
400 VA Linux Systems, Inc.*(b)....... 82,650
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Computers -- Peripherals (20.9%):
57,500 American Power Conversion
Corp.*(b)...................... $ 1,516,562
1,000 CacheFlow, Inc.*................. 130,687
69,700 Cadence Design Systems, Inc.*.... 1,672,800
18,500 Electronic Arts, Inc.*........... 1,554,000
300 FreeMarkets, Inc.*............... 102,394
700 Intertrust Technologies Corp.*... 82,337
52,300 Intuit, Inc.*.................... 3,134,731
14,200 Keane, Inc....................... 450,850
22,000 Legato Systems, Inc.,*........... 1,513,875
2,400 McAfee.com Corp.*(b)............. 108,000
39,500 Rational Software Corp.*......... 1,940,437
49,900 Siebel Systems, Inc.*(b)......... 4,191,600
29,600 Symantec Corp.*.................. 1,735,300
21,800 Synopsys, Inc.*(b)............... 1,455,150
68,750 VERITAS Software Corp.*.......... 9,839,844
------------
29,428,567
------------
Construction Materials (1.0%):
20,200 American Standard Companies
Inc.*.......................... 926,675
10,900 USG Corp......................... 513,662
------------
1,440,337
------------
Electronics -- Components (14.7%):
53,300 Altera Corp.*.................... 2,641,681
56,200 Atmel Corp.*..................... 1,661,412
26,200 Cypress Semiconductor Corp.*..... 848,225
24,900 Jabil Circuit, Inc.,*............ 1,817,700
44,600 Linear Technology Corp........... 3,191,687
78,800 Maxim Integrated Products,
Inc.*.......................... 3,718,375
8,700 Microchip Technology, Inc.*...... 595,406
16,700 Sanmina Corp.*................... 1,667,912
28,100 SCI Systems, Inc.*............... 2,309,469
33,700 Vitesse Semiconductor Corp.*..... 1,767,144
8,600 Xilinx, Inc.*.................... 391,032
------------
20,610,043
------------
Electronics -- Instruments (1.1%):
2,300 Applied Materials, Inc.*......... 291,381
2,500 Caliper Technologies Corp.*...... 166,875
8,900 Novellus Systems, Inc.*.......... 1,090,529
------------
1,548,785
------------
Food and Related (0.8%):
11,900 Hormel Foods Corp................ 483,438
20,800 McCormick & Co., Inc............. 618,800
------------
1,102,238
------------
</TABLE>
47
Continued
<PAGE> 50
- --------------------------------------------------------------------------------
One Group Investment Trust
Mid Cap Growth Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Healthcare -- Drugs (10.5%):
51,100 Biogen, Inc.*.................... $ 4,317,950
38,900 Chiron Corp.*.................... 1,648,388
23,100 Forest Labs, Inc.*............... 1,419,206
18,000 Gilead Sciences, Inc.*........... 974,250
26,400 IVAX Corp........................ 679,800
20,400 MedImmune, Inc.,*................ 3,383,850
9,300 Millennium Pharmaceuticals, Inc.*
(b)............................ 1,134,600
8,600 Sepracor, Inc.*(b)............... 853,013
10,100 Watson Pharmaceuticals, Inc.*.... 361,706
------------
14,772,763
------------
Healthcare -- General (1.7%):
6,800 Beckman Coulter, Inc............. 345,950
11,900 Biomet, Inc...................... 476,000
9,400 MiniMed, Inc.,*.................. 688,550
17,600 VISX, Inc.,*..................... 910,800
------------
2,421,300
------------
Hospital Supply and Management (1.8%):
53,250 Health Management Associates,
Inc. Class A*.................. 712,219
26,400 Stryker Corp.(b)................. 1,838,100
------------
2,550,319
------------
Household -- General Products (0.7%):
41,600 The Dial Corp.................... 1,011,400
------------
Leisure Time Industry (0.5%):
14,700 International Speedway Corp.
Class A........................ 740,513
------------
Metal Fabrication (0.7%):
20,500 Fastenal Co.(b).................. 921,219
------------
Motor Vehicle Parts (0.8%):
13,700 SPX Corp......................... 1,107,131
------------
Motor Vehicles (1.9%):
42,700 Harley-Davidson, Inc............. 2,735,469
------------
Multiple Industry (2.1%):
3,600 Chartered Semiconductor
Manufacturing Ltd.* ADR........ 262,800
1,300 Metalink LTD.* ADR............... 26,488
3,700 Nasdaq-100 Shares*(b)............ 676,175
23,800 S&P Mid-Cap 400 Depository
Receipt (b).................... 1,930,775
------------
2,896,238
------------
Publishing (0.7%):
31,800 Reader's Digest Association, Inc.
Class A........................ 930,150
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Restaurants (1.2%):
17,700 Outback Steakhouse, Inc.*(b)..... $ 459,094
51,800 Starbucks Corp.*................. 1,256,150
------------
1,715,244
------------
Retail -- Food Stores (0.6%):
11,500 Hannaford Bros. Co............... 797,094
------------
Retail -- General Merchandise (1.0%):
21,700 BJ's Wholesale Club, Inc.*....... 792,050
41,200 Family Dollar Stores, Inc........ 672,075
------------
1,464,125
------------
Retail -- Specialty (4.5%):
24,000 Abercrombie & Fitch Co.*......... 640,500
5,500 Ann Taylor Stores*............... 189,406
7,600 CDW Computer Centers, Inc........ 597,550
15,000 Circuit City Stores-Circuit City
Group.......................... 675,938
17,400 Dollar Tree Stores*.............. 842,813
26,000 Tiffany & Co..................... 2,320,500
22,800 Williams Sonoma, Inc.*(b)........ 1,048,800
------------
6,315,507
------------
Security & Commercial Brokers (1.5%):
66,600 E*Trade Group, Inc.*(b).......... 1,739,925
12,000 Legg Mason, Inc.................. 435,000
------------
2,174,925
------------
Timesharing & Software (3.4%):
55,800 Concord EFS, Inc.*............... 1,436,850
33,900 Fiserv, Inc.*.................... 1,298,794
1,000 Internet Capital Group,
Inc.*(b)....................... 170,000
900 NetRatings, Inc*................. 43,313
11,200 QLogic Corp.*.................... 1,790,600
------------
4,739,557
------------
Utilities -- Electric (1.0%):
21,800 Calpine Corp.*................... 1,395,200
------------
Utilities -- Telephone (2.2%):
5,700 Alltel Corp...................... 471,319
61,400 Broadwing, Inc................... 2,264,125
5,100 CenturyTel, Inc.................. 241,613
2,100 TeleCorp. PCS, Inc.*............. 79,800
------------
3,056,857
------------
Total Common Stocks 135,112,880
------------
</TABLE>
48
Continued
<PAGE> 51
- --------------------------------------------------------------------------------
One Group Investment Trust
Mid Cap Growth Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS (0.1%):
U.S. Treasury Bills (0.1%):
$ 175,000 1/20/00.......................... $ 174,586
------------
Total U.S. Treasury Obligations 174,586
------------
REPURCHASE AGREEMENT (3.2%):
4,443,000 State Street Bank, 3.00%, 1/3/00
(Collateralized by $4,955,000
Federal Home Loan Bank, 6.40%,
8/27/13, market value
$4,533,825).................... 4,443,000
------------
Total Repurchase Agreement 4,443,000
------------
SHORT-TERM SECURITIES HELD AS COLLATERAL (15.4%):
Investment Companies (14.0%):
19,653,848 One Group Prime Money Market Fund
Class I(c)..................... 19,653,848
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL, CONTINUED:
Repurchase Agreement (1.4%)
$1,957,232 Lehman Brothers A2/P2 Tri-Party
4.65% 1/03/00 (Collateralized
by $2,055,506 Silver Tower US
Funding Commercial Paper
5/23/00 market value
$2,055,506).................... $ 1,957,232
------------
Total Short-Term Securities Held as Collateral 21,611,080
------------
Total (Cost $128,976,272)(a) $161,341,546
============
</TABLE>
- ------------
Percentages indicated are based on net assets of $140,451,470.
* Denotes a non-income producing security.
(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
$1,258,223. Cost for federal income tax purposes differs from value by net
unrealized appreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation...................... $34,213,148
Unrealized depreciation...................... (3,106,097)
-----------
Net unrealized appreciation.................. $31,107,051
===========
</TABLE>
(b) A portion of this security was loaned as of December 31, 1999.
(c) Affiliated fund
The abbreviations in the above statement stand for the following:
ADR American Depositary Receipt
See accompanying notes to financial statements.
49
<PAGE> 52
- --------------------------------------------------------------------------------
One Group Investment Trust
Diversified Mid Cap Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
COMMERCIAL PAPER (12.4%):
Financial Services (12.4%):
$2,700,000 General Electric Capital Corp.,
6.35% 01/21/00................. $ 2,690,475
------------
Total Commercial Paper 2,690,475
------------
COMMON STOCKS (72.9%):
Air Transportation (0.4%):
3,700 COMAIR Holdings, Inc............. 86,487
------------
Apparel (0.9%):
1,200 Liz Claiborne, Inc............... 45,150
6,800 Tommy Hilfiger Corp.*............ 158,525
------------
203,675
------------
Banks (1.8%):
3,847 Associated Banc-Corp............. 131,760
4,401 Charter One Financial, Inc....... 84,169
5,800 First Tennessee National Corp.... 165,300
------------
381,229
------------
Beverages (0.5%):
8,800 Whitman Corp..................... 118,250
------------
Broadcasting (0.8%):
2,400 Belo, (AH) Corp. Series A........ 45,750
1,200 Univision Communications, Inc.
Class A*(b).................... 122,625
------------
168,375
------------
Business Equipment & Services (7.6%):
1,400 Cintas Corp...................... 74,375
2,800 Convergys Corp.*................. 86,100
2,700 DST Systems, Inc................. 206,044
1,200 Jacobs Engineering Group,
Inc.*.......................... 39,000
2,800 Manpower, Inc.................... 105,350
3,600 Omnicom Group Inc................ 360,000
3,500 Reynolds & Reynolds Co. Class A
(The).......................... 78,750
6,200 SunGard Data Systems, Inc.*...... 147,250
3,700 Waters Corp.*.................... 196,100
4,900 Young & Rubicam, Inc............. 346,675
------------
1,639,644
------------
Capital Equipment (0.7%):
2,175 IDEX Corp........................ 66,066
2,700 Teleflex, Inc.................... 84,544
------------
150,610
------------
Chemicals -- Specialty (1.0%):
6,200 OM Group, Inc.................... 213,512
------------
Communications Equipment (0.8%):
1,250 Comverse Technology, Inc.*....... 180,937
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Computers -- Peripherals (10.8%):
3,700 American Power Conversion
Corp.*......................... $ 97,587
600 Citrix Systems, Inc.*............ 73,800
1,300 Electronic Arts, Inc.*........... 109,200
3,600 Intuit, Inc.*.................... 215,775
1,400 Legato Systems, Inc.*............ 96,337
3,900 Lexmark International Group, Inc.
Class A*....................... 352,950
2,200 Parametric Technology Corp.*..... 59,537
3,000 Quantum Corp.-DLT & Storage
Systems*....................... 45,375
2,800 Rational Software Corp.*......... 137,550
3,400 Siebel Systems, Inc.*............ 285,600
1,600 Sterling Software, Inc.*......... 50,400
1,500 Synopsys, Inc.*.................. 100,125
4,950 VERITAS Software Corp.*.......... 708,469
------------
2,332,705
------------
Construction Materials (0.5%):
5,087 Crane Co......................... 101,104
------------
Containers (1.0%):
8,600 AptarGroup, Inc.................. 216,075
------------
Electrical Equipment (0.7%):
3,500 Littelfuse, Inc.*................ 84,930
1,513 Molex Inc. Class A............... 68,463
------------
153,393
------------
Electronics -- Components (8.7%):
3,400 Altera Corp.*.................... 168,512
3,600 Analog Devices, Inc.*............ 334,800
2,000 Jabil Circuit, Inc.*............. 146,000
1,900 Linear Technology Corp........... 135,969
3,200 Maxim Integrated Products,
Inc.*.......................... 151,000
3,600 Microchip Technology, Inc.*...... 246,375
3,600 SCI Systems, Inc.*............... 295,875
1,200 Vitesse Semiconductor Corp.*..... 62,925
7,600 Xilinx, Inc.*.................... 345,563
------------
1,887,019
------------
Electronics -- Instruments (2.3%):
6,500 AMETEK, Inc...................... 123,906
5,600 Teradyne, Inc.*.................. 369,600
------------
493,506
------------
Finance Companies (1.6%):
2,700 FINOVA Group, Inc. (The)......... 95,850
3,600 Heller Financial, Inc............ 72,225
3,500 Radian Group, Inc................ 167,125
------------
335,200
------------
Food and Related (0.7%):
8,900 U.S. Foodservice*................ 149,075
------------
</TABLE>
50
Continued
<PAGE> 53
- --------------------------------------------------------------------------------
One Group Investment Trust
Diversified Mid Cap Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Forest and Paper Products (0.4%):
1,400 Bowater, Inc..................... $ 76,037
------------
Furniture and Furnishings (1.6%):
7,000 HON INDUSTRIES, Inc.............. 153,562
9,100 Leggett & Platt, Inc............. 195,081
------------
348,643
------------
Healthcare -- Drugs (3.5%):
2,200 Biogen, Inc.*.................... 185,900
1,600 Forest Laboratories, Inc.*....... 98,300
600 Gilead Sciences, Inc.*........... 32,475
1,600 ICN Pharmaceuticals, Inc......... 40,500
1,600 IVAX Corp.*...................... 41,200
1,200 MedImmune, Inc.*................. 199,050
2,500 Mylan Laboratories, Inc.......... 62,969
2,500 Watson Pharmaceuticals, Inc.*.... 89,531
------------
749,925
------------
Healthcare -- General (1.4%):
2,800 Bergen Brunswig Corp. Class A.... 23,275
9,300 Sybron International Corp.*...... 229,594
1,000 VISX, Inc.*...................... 51,750
------------
304,619
------------
Hospital Supply and Management (1.9%):
17,543 Health Management Associates,
Inc. Class A*.................. 234,638
4,800 Universal Health Services Inc.
Class B*....................... 172,800
------------
407,438
------------
Household -- General Products (1.0%):
5,200 Dial Corp. (The)................. 126,425
3,000 Lancaster Colony Corp............ 99,375
------------
225,800
------------
Insurance -- Property & Casualty (1.2%):
5,600 Everest Reinsurance Holdings,
Inc............................ 124,950
1,850 Transatlantic Holdings, Inc...... 144,416
------------
269,366
------------
Metal Fabrication (0.3%):
2,100 Harsco Corp...................... 66,675
------------
Motor Vehicles (0.6%):
2,200 Harley-Davidson, Inc............. 140,937
------------
Motor Vehicles -- Parts (2.1%):
3,500 Borg-Warner Automotive, Inc...... 141,750
4,200 Dana Corp........................ 125,737
1,200 SPX Corp.*....................... 96,975
6,200 Tower Automotive, Inc.*.......... 95,712
------------
460,174
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Multiple Industry (0.0%):
1,130 Huttig Building Products,
Inc.*.......................... $ 5,582
------------
Petroleum -- Domestic (2.1%):
5,900 Apache Corp...................... 217,931
3,000 Devon Energy Corp................ 98,625
1,500 Murphy Oil Corp.................. 86,062
1,600 Tosco Corp....................... 43,500
------------
446,118
------------
Petroleum -- Services (2.6%):
2,000 BJ Services Co.*................. 83,625
4,000 Nabors Industries, Inc.*......... 123,750
2,400 Noble Drilling Corp.*............ 78,600
1,000 Smith International, Inc.*....... 49,688
2,600 Transocean Sedco Forex, Inc...... 87,588
3,200 Weatherford International,
Inc.*.......................... 127,800
------------
551,051
------------
Publishing (0.2%):
1,800 Reader's Digest Association, Inc.
Class A (The).................. 52,650
------------
Restaurants (0.2%):
1,700 Starbucks Corp.*................. 41,225
------------
Retail -- General Merchandise (1.1%):
1,700 BJ's Wholesale Club, Inc.*....... 62,050
2,500 Kohl's Corp.*.................... 180,469
------------
242,519
------------
Retail -- Specialty (2.1%):
1,200 Dollar Tree Stores, Inc.*........ 58,125
2,700 Limited, Inc. (The).............. 116,944
1,900 Tiffany & Co..................... 169,575
2,200 Zale Corp.*...................... 106,425
------------
451,069
------------
Savings & Loans (0.8%):
12,100 Peoples Heritage Financial Group,
Inc............................ 182,256
------------
Security & Commercial Brokers (1.2%):
5,200 E*Trade Group, Inc.*(b).......... 135,850
3,650 Edwards (A.G.), Inc.............. 117,028
------------
252,878
------------
Textiles (0.1%):
1,200 WestPoint Stevens, Inc........... 21,000
------------
</TABLE>
51
Continued
<PAGE> 54
- --------------------------------------------------------------------------------
One Group Investment Trust
Diversified Mid Cap Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Timesharing & Software (2.1%):
3,400 Affiliated Computer Services,
Inc. Class A*.................. $ 156,400
4,050 Concord EFS, Inc.*............... 104,288
2,400 Fiserv, Inc.*.................... 91,950
600 QLogic Corp.*.................... 95,925
------------
448,563
------------
Utilities -- Electric (4.8%):
5,300 Allegheny Energy, Inc............ 142,769
3,000 Constellation Energy Group....... 87,000
4,700 Energy East Corp................. 97,819
2,000 Florida Progress Corp............ 84,625
4,400 Montana Power Co. (The).......... 158,675
7,000 Northeast Utilities.............. 143,938
1,600 Pinnacle West Capital Corp....... 48,900
2,500 Potomic Electric Power Co........ 57,344
1,700 Puget Sound Energy, Inc.......... 32,938
1,900 SCANA Corp....................... 51,063
7,344 Sierra Pacific Resources......... 127,143
------------
1,032,214
------------
Utilities -- Gas & Pipeline (0.4%):
2,200 El Paso Energy Corp.............. 85,388
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Utilities -- Telephone (0.4%):
2,600 Broadwing, Inc................... $ 95,875
------------
Total Common Stocks (cost $12,693,593) 15,768,798
------------
U.S. TREASURY OBLIGATIONS (0.7%):
U.S. Treasury Bills (0.7%):
$ 155,000 02/17/00(c)...................... 154,039
------------
Total U.S. Treasury Obligations 154,039
------------
REPURCHASE AGREEMENT (13.2%):
2,861,000 State Street Bank 3.00% 01/3/00
(Collateralized by $2,920,000
Federal National Mortgage
Assoc., 6.35%, 06/22/01, market
value $2,920,000).............. 2,861,000
------------
Total Repurchase Agreement 2,861,000
------------
SHORT-TERM SECURITIES HELD AS COLLATERAL (1.2%):
Investment Companies (1.1%):
228,031 One Group Prime Money Market
Fund, Class I(d)............... 228,031
------------
Repurchase Agreement (0.1%):
$ 22,708 Lehman Brothers A2/P2 Tri-Party
4.65%, 1/3/00 (Collateralized
by $23,849 Silver Tower US
Funding Commercial Paper,
5/23/00, market value
$23,849)....................... 22,708
------------
Total Short-Term Securities Held as
Collateral 250,739
------------
Total (Cost $18,649,785)(a) $ 21,725,051
============
</TABLE>
- ------------
Percentages indicated are based on net assets of $21,625,471.
* Denotes a non-income producing security.
(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
$4,646. Cost for federal income tax purposes differs from value by net
unrealized appreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 4,205,485
Unrealized depreciation...................... (1,134,865)
-----------
Net unrealized appreciation.................. $ 3,070,620
===========
</TABLE>
(b) A portion of this security was loaned as of December 31, 1999.
(c) Serves as collateral for futures contracts.
(d) Affiliated fund
<TABLE>
<CAPTION>
CURRENT
NUMBER OF OPENING MARKET
CONTRACTS CONTRACT TYPE POSITIONS VALUE
- --------- ------------- ---------- ----------
<C> <S> <C> <C>
14 Midcap 400, March 2000 Futures $2,910,180 $3,144,050
</TABLE>
See accompanying notes to financial statements.
52
<PAGE> 55
- --------------------------------------------------------------------------------
One Group Investment Trust
Mid Cap Value Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
COMMON STOCKS (96.5%):
Air Transportation (0.5%):
3,900 Airborne Freight Corp............ $ 85,800
1,300 Alaska Air Group, Inc.*.......... 45,662
------------
131,462
------------
Aircraft (0.2%):
2,100 Cordant Technologies, Inc........ 69,300
------------
Apparel (0.6%):
2,200 Liz Claiborne, Inc............... 82,775
1,900 Intimate Brands, Inc. Class A*... 81,937
------------
164,712
------------
Banks (8.2%):
3,100 Associated Banc-Corp............. 106,175
2,000 CCB Financial Corp............... 87,125
15,265 Charter One Financial, Inc....... 291,943
1,200 Comerica, Inc.................... 56,025
4,900 Compass Bancshares, Inc.......... 109,331
2,400 FirstMerit Corp.................. 55,200
14,800 First Security Corp.............. 377,863
2,000 First Tennessee National Corp.... 57,000
1,600 First Virginia Banks, Inc........ 68,800
7,500 Hibernia Corp.................... 79,687
2,000 Keystone Financial, Inc.......... 42,125
7,400 Marshall & Ilsley Corp........... 464,813
3,800 Mercentile Bankshares Corp....... 121,363
11,900 North Fork Bancorp, Inc.......... 208,250
5,200 Pacific Century Financial
Corp........................... 97,175
900 Provident Financial Group,
Inc............................ 32,288
11,400 Sovereign Bancorp, Inc........... 84,965
------------
2,340,128
------------
Beverages (0.3%):
5,800 Whitman Corp..................... 77,937
------------
Broadcasting (1.2%):
8,800 Belo, (AH) Corp. Series A........ 167,750
2,400 Chris-Craft Industries, Inc.*.... 173,100
------------
340,850
------------
Business Equipment & Services (5.4%):
1,800 ACNielsen Corp.*................. 44,325
5,200 Acxiom Corp.*.................... 124,800
4,000 Cambridge Technical Partners,
Inc.*.......................... 105,000
4,100 DST Systems, Inc.*............... 312,881
1,600 First Data Corp.................. 78,900
4,400 Jacobs Engineering Group,
Inc.*.......................... 143,000
5,000 Modis Professional Services,
Inc.*.......................... 71,250
5,600 Office Depot, Inc.*.............. 61,250
2,800 Pittston Brink's Group........... 61,600
1,900 Robert Half International,
Inc.*.......................... 54,269
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Business Equipment & Services, continued:
5,300 Sterling Commerce, Inc.*......... $ 180,531
8,100 Sungard Data Systems, Inc.*...... 192,375
2,000 Waters Corp.*.................... 106,000
------------
1,536,181
------------
Capital Equipment (0.6%):
4,600 Diebold, Inc..................... 108,100
2,400 Teleflex, Inc.................... 75,150
------------
183,250
------------
Chemicals -- Petroleum & Inorganic (0.5%):
9,200 Lyondell Chemical Co............. 117,300
1,500 Schulman A, Inc.................. 24,469
------------
141,769
------------
Chemicals -- Specialty (3.6%):
7,700 Cabot Corp....................... 156,887
9,800 CK Witco Corp.................... 131,075
5,300 Cytec Industries, Inc.*.......... 122,562
2,300 Dexter Corp. (The)............... 91,425
2,300 Ferro Corp....................... 50,600
5,900 IMC Global, Inc.................. 96,612
3,300 Lubrizol Corp. (The)............. 101,888
2,700 Olin Corp........................ 53,494
1,500 Minerals Technologies, Inc....... 60,094
10,200 RPM, Inc......................... 103,913
1,800 Sigma-Aldrich Corp............... 54,113
------------
1,022,663
------------
Communications Equipment (0.4%):
4,700 Harris Corp...................... 125,431
------------
Computers -- Main & Mini (0.4%):
2,900 NCR Corp.*....................... 109,837
------------
Computers -- Peripheral (1.3%):
8,100 Sterling Software, Inc.*......... 255,150
5,900 Storage Technology Corp.......... 108,781
------------
363,931
------------
Construction and Building Materials (1.7%):
4,200 Crane Co......................... 83,475
3,100 Martin Marietta Materials,
Inc............................ 127,100
1,500 Southdown, Inc................... 77,438
4,300 USG Corp......................... 202,638
------------
490,651
------------
Defense (0.5%):
2,800 Litton Industries, Inc.*......... 139,650
------------
Distribution (0.0%):
1 Huttig Building Products,
Inc.*.......................... 1
------------
</TABLE>
53
Continued
<PAGE> 56
- --------------------------------------------------------------------------------
One Group Investment Trust
Mid Cap Value Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Electrical Equipment (0.5%):
2,200 Hubbell, Inc. Class B............ $ 59,950
4,600 Mark IV Industries, Inc.......... 81,362
------------
141,312
------------
Electronics -- Components (2.0%):
4,100 Arrow Electronics, Inc.*......... 104,037
5,000 Atmel Corp.*..................... 147,812
2,300 Avnet, Inc....................... 139,150
1,200 SCI Systems, Inc.*............... 98,625
2,300 Vishay Intertechnology, Inc.*.... 72,738
------------
562,362
------------
Electronics -- Instruments (0.3%):
700 Applied Materials, Inc.*......... 88,681
------------
Finance Companies (1.1%):
2,400 Allmerica Financial Corp......... 133,500
3,300 FINOVA Group, Inc. (The)......... 117,150
2,000 GATX Corp........................ 67,500
------------
318,150
------------
Food and Related (2.9%):
2,900 ConAgra, Inc..................... 65,431
1,900 Dean Foods Co.................... 75,525
3,000 Dole Food Company, Inc........... 48,750
3,600 Flowers Industries, Inc.......... 57,375
4,500 IBP, Inc......................... 81,000
4,000 Interstate Bakeries Corp......... 72,500
1,700 Suiza Foods Corp.* (b)........... 67,362
12,900 Tyson Foods, Inc. Class A........ 209,625
8,900 U.S. Foodservice*................ 149,075
------------
826,643
------------
Forest and Paper Products (3.2%):
3,400 Bowater, Inc..................... 184,662
2,400 Chesapeake Corp.................. 73,200
4,700 Consolidated Papers, Inc......... 149,519
1,000 Georgia Pacific Group............ 50,750
5,700 Pentair, Inc..................... 219,450
1,600 Rayonier, Inc.................... 77,300
6,500 Sonoco Products Co............... 147,875
------------
902,756
------------
Furniture -- Furnishings (0.4%):
7,800 Shaw Industries, Inc............. 120,413
------------
Healthcare -- Drugs (2.2%):
5,200 Genzyme Corp.*................... 234,000
5,500 ICN Pharmaceuticals, Inc......... 139,219
6,200 Mylan Laboratories, Inc.......... 156,162
2,900 Watson Pharmaceuticals, Inc.*.... 103,856
------------
633,237
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Healthcare -- General (0.9%):
2,800 Express Scripts, Inc. Class A*... $ 179,200
2,900 IDEXX Laboratories, Inc.*........ 46,763
2,200 STERIS Corp.*.................... 22,688
------------
248,651
------------
Homebuilding -- Mobile Homes (0.1%):
3,600 Clayton Homes, Inc............... 33,075
------------
Hospital Supply and Management (1.3%):
7,300 Foundation Health Systems,
Inc.*.......................... 72,544
3,200 Lincare Holdings, Inc.*.......... 111,000
1,200 PacifiCare Health Systems,
Inc.*.......................... 63,600
2,500 Tenet Healthcare Corp.*.......... 58,750
2,600 Trigon Healthcare, Inc.*......... 76,700
------------
382,594
------------
Hotels and Gaming(1.7%):
3,600 International Game Technology.... 73,125
6,800 Mandalay Resort Group*........... 136,850
20,900 Park Place Entertainment
Corp.*......................... 261,250
------------
471,225
------------
Household Products (0.4%):
3,700 Lancaster Colony Corp............ 122,562
------------
Insurance -- Life (1.6%):
5,400 Protective Life Corp............. 171,788
7,000 ReliaStar Financial Corp......... 274,313
------------
446,101
------------
Insurance -- Property & Casualty (2.6%):
6,000 Ambac Financial Group, Inc....... 313,125
1,700 American Financial Group, Inc.... 44,838
4,300 Everest Reinsurance Holdings,
Inc............................ 95,944
4,550 PMI Group, Inc. (The)............ 222,097
1,400 Unitrin, Inc..................... 52,675
------------
728,679
------------
Leisure Time Industry (0.6%):
5,700 Premier Parks, Inc.* (b)......... 164,587
------------
Metal Fabricators (0.7%):
6,100 Harsco Corp...................... 193,675
------------
Motor Vehicles -- Parts (1.8%):
2,900 Borg-Warner Automotive, Inc...... 117,450
4,100 Federal-Mogul Corp............... 82,513
6,400 Lear Corp.*...................... 204,800
1,400 SPX Corp.*....................... 113,138
------------
517,901
------------
</TABLE>
54
Continued
<PAGE> 57
- --------------------------------------------------------------------------------
One Group Investment Trust
Mid Cap Value Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Multiple Industry (10.4%):
1,400 Honeywell International, Inc..... $ 80,763
7,000 S&P Mid-Cap 400 Depositary
Receipt........................ 567,875
15,700 Standard and Poor's Depositary
Receipts....................... 2,305,938
------------
2,954,576
------------
Petroleum -- Domestic (3.0%):
5,000 Anadarko Petroleum Corp.......... 170,625
6,400 Devon Energy Corp................ 210,400
4,600 Murphy Oil Corp.................. 263,925
2,700 Tosco Corp....................... 73,406
5,600 Ultramar Diamond Shamrock Corp... 127,050
------------
845,406
------------
Petroleum -- Services (4.9%):
5,500 BJ Services Co.*................. 229,969
11,900 Noble Drilling Corp.*............ 389,725
4,300 Smith International, Inc.*....... 213,656
3,500 Tidewater, Inc................... 126,000
3,600 Transocean Sedco Forex, Inc...... 121,275
8,200 Weatherford International,
Inc............................ 327,488
------------
1,408,113
------------
Publishing (1.6%):
4,500 Harte-Hanks, Inc................. 97,875
900 Houghton Mifflin Co.............. 37,969
1,100 Media General, Inc. Class A...... 57,200
500 Washington Post Co. Class B...... 277,937
------------
470,981
------------
Railroad (0.1%):
2,600 Wisconsin Central Transportation
Corp.*......................... 34,937
------------
Restaurants (1.2%):
6,200 Brinker International, Inc.*..... 148,800
7,600 Outback Steakhouse, Inc.*........ 197,125
------------
345,925
------------
Retail -- Food Stores (0.6%):
2,400 Hannaford Bros. Co............... 166,350
------------
Retail -- General Merchandise (0.2%):
3,900 Saks, Inc.*...................... 60,694
------------
Retail -- Specialty (1.7%):
10,100 Borders Group, Inc.*............. 162,231
1,000 Circuit City Stores-Circuit City
Group.......................... 45,063
6,400 Furniture Brands International,
Inc.*.......................... 140,800
2,900 Nieman Marcus Group, Inc. Class
A*............................. 81,019
1,300 Williams-Sonoma, Inc.* (b)....... 59,800
------------
488,913
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Savings & Loans (1.2%):
2,400 Astoria Financial Corp........... $ 73,050
5,700 Dime Bancorp, Inc................ 86,212
5,200 GreenPoint Financial Corp........ 123,825
2,800 TCF Financial Corp............... 69,650
------------
352,737
------------
Security & Commercial Broker (1.4%):
8,400 Edwards (A.G.), Inc.............. 269,325
2,500 Price, T Rowe Associates, Inc.... 92,344
1,100 Radian Group, Inc................ 52,525
------------
414,194
------------
Steel (0.5%):
5,400 AK Steel Holding Corp............ 101,925
1,600 Carpenter Technology Corp........ 43,900
------------
145,825
------------
Textiles (0.6%):
6,800 Mohawk Industries, Inc.*......... 179,350
------------
Timesharing & Software (0.6%):
3,600 Affiliated Computer Services,
Inc. Class A*.................. 165,600
------------
Tobacco (0.7%):
9,300 R.J. Reynolds Tobacco Holdings,
Inc............................ 163,913
1,000 Universal Corp................... 22,813
------------
186,726
------------
Trucking & Shipping (0.6%):
3,900 Alexander & Baldwin, Inc......... 88,969
2,300 CNF Transportation, Inc.......... 79,350
------------
168,319
------------
Utilities -- Electric (12.6%):
9,500 Allegheny Energy, Inc............ 255,906
5,100 Alliant Energy Corp.............. 140,250
1,300 Calpine Corp.*................... 83,200
2,000 CMS Energy Corp.................. 62,375
4,800 Conectiv, Inc.................... 80,700
10,100 DPL, Inc......................... 174,856
4,700 DQE, Inc......................... 162,737
8,200 Energy East Corp................. 170,663
4,100 Illinova Corp.................... 142,475
1,300 IPALCO Enterprises, Inc.......... 22,181
2,200 Kansas City Power & Light Co..... 48,537
9,700 LG & E Energy Corp............... 169,144
6,900 MidAmerican Energy Holdings Co... 232,444
4,000 Minnesota Power, Inc.,........... 67,750
9,600 Montana Power Co. (The).......... 346,200
3,700 New England Electric System...... 191,475
2,100 NiSource, Inc.................... 37,537
9,900 Northeast Utilities.............. 203,569
2,600 NSTAR............................ 105,300
</TABLE>
55
Continued
<PAGE> 58
- --------------------------------------------------------------------------------
One Group Investment Trust
Mid Cap Value Portfolio
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED DECEMBER 31, 1999
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Utilities -- Electric, continued:
5,300 OGE Energy Corp.................. $ 100,700
2,100 Pinnacle West Capital Corp....... 64,181
5,400 Potomic Electric Power Co........ 123,862
3,600 Puget Sound Energy, Inc.......... 69,750
6,500 SCANA Corp....................... 174,688
3,200 Sierra Pacific Resources......... 55,400
4,900 TECO Energy, Inc. (b)............ 90,956
6,500 UtiliCorp United, Inc............ 126,344
4,500 Wisconsin Energy Corp............ 86,625
------------
3,589,805
------------
Utilities -- Gas & Pipeline (3.0%):
4,600 American Water Works, Inc........ 97,750
3,300 El Paso Energy Corp.............. 128,081
5,700 KeySpan Energy Corp.............. 132,169
6,800 Kinder Morgan, Inc............... 137,275
12,400 Questar Corp..................... 186,000
5,400 Williams Cos., Inc. (The)........ 165,037
------------
846,312
------------
Utilities -- Telephone (1.9%):
1,300 TeleCorp PCS, Inc.*.............. 49,400
3,900 Telephone & Data Systems, Inc.... 491,400
------------
540,800
------------
Total Common Stocks 27,505,920
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
- ---------- --------------------------------- ------------
<C> <S> <C>
REPURCHASE AGREEMENT (13.7%):
$3,913,000 State Street Bank 3.00%, 01/03/00
(Collateralized by $3,995,000
Federal National Mortgage
Assoc., 6.35%, 6/22/01, market
value $3,995,000).............. $ 3,913,000
------------
Total Repurchase Agreement 3,913,000
------------
SHORT-TERM SECURITIES HELD AS COLLATERAL (1.3%):
Investment Companies (1.2%):
333,824 One Group Prime Money Market
Fund, Class I(c)............... 333,824
------------
Repurchase Agreement (0.1%):
$ 33,244 Lehman Brothers A2/P2 Tri-Party
4.65%, 1/3/00 (Collateralized
by $34,913 Silver Tower US
Funding Commercial Paper,
5/23/00, market value
$34,913)....................... 33,244
------------
Total Short-Term Securities Held as
Collateral 367,068
------------
Total (Cost $32,218,502)(a) $ 31,785,988
============
</TABLE>
- ------------
Percentages indicated are based on net assets of $28,489,373.
* Denotes a non-income producing security.
(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
$154,194. Cost for federal income tax purposes differs from value by net
unrealized appreciation of securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 1,573,951
Unrealized depreciation...................... (2,160,659)
-----------
Net unrealized depreciation.................. $ (586,708)
===========
</TABLE>
(b) A portion of this security was loaned as of December 31, 1999.
(c) Affiliated fund
See accompanying notes to financial statements.
56
<PAGE> 59
- --------------------------------------------------------------------------------
One Group Investment Trust
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31, 1999
<TABLE>
<CAPTION>
GOVERNMENT
BOND BOND BALANCED
PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- ------------
<S> <C> <C> <C>
ASSETS:
Investments, at value....................................... $57,403,925 $59,488,406 $174,305,384
Repurchase agreements, at cost.............................. 22,189,976 7,709,785 11,488,414
----------- ----------- ------------
Total (cost $81,694,885, $69,422,977, $170,185,448
respectively)............................................. 79,593,901 67,198,191 185,793,798
Cash........................................................ 824 943 787
Interest and dividends receivable........................... 507,468 466,343 723,830
Receivable from brokers for investments sold................ 19,423 -- 499,660
Prepaid expenses............................................ 3,812 3,634 7,359
----------- ----------- ------------
TOTAL ASSETS................................................ 80,125,428 67,669,111 187,025,434
----------- ----------- ------------
LIABILITIES:
Payable to brokers for investments purchased................ -- -- 42,219
Payable for return of collateral received for securities on
loan...................................................... 12,237,976 3,467,785 2,853,313
Investment advisory fee payable............................. 24,377 24,214 106,984
Administration fee payable.................................. 8,956 9,021 25,593
Other accrued expenses...................................... 10,582 8,653 16,940
----------- ----------- ------------
TOTAL LIABILITIES........................................... 12,281,891 3,509,673 3,045,049
----------- ----------- ------------
NET ASSETS:
Capital..................................................... 69,980,971 67,010,756 167,625,379
Net unrealized appreciation (depreciation) from investments
and futures............................................... (2,100,984) (2,224,786) 15,608,350
Accumulated undistributed (distributions in excess of)
realized gain (loss) on investments and futures........... (73,460) (759,470) 85,717
Accumulated undistributed net investment income............. 37,010 132,938 660,939
----------- ----------- ------------
NET ASSETS.................................................. $67,843,537 $64,159,438 $183,980,385
=========== =========== ============
OUTSTANDING UNITS OF BENEFICIAL INTEREST (SHARES)........... 6,796,291 6,440,743 11,734,412
=========== =========== ============
Net Asset Value:
Offering and redemption price per share................... $ 9.98 $ 9.96 $ 15.68
=========== =========== ============
</TABLE>
See accompanying notes to financial statements.
57
<PAGE> 60
- --------------------------------------------------------------------------------
One Group Investment Trust
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31, 1999
<TABLE>
<CAPTION>
LARGE CAP EQUITY DIVERSIFIED
GROWTH INDEX EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO
------------ ----------- -----------
<S> <C> <C> <C>
ASSETS:
Investments, at value....................................... $349,570,478 $35,880,406 $67,931,734
Repurchase agreements, at cost.............................. 15,609,757 20,166,152 4,843,049
------------ ----------- -----------
Total (cost $265,232,428, $50,313,220, $64,381,391
respectively)............................................. 365,180,235 56,046,558 72,774,783
Cash........................................................ 79 334 465
Interest and dividends receivable........................... 212,330 31,559 54,926
Receivable from brokers for investments sold................ 882,652 -- --
Net receivable for variation margin on futures contracts.... 8,500 45,050 --
Withholding tax reclaim receivable.......................... 14,249 -- --
Prepaid expenses............................................ 16,783 1,135 3,761
------------ ----------- -----------
TOTAL ASSETS................................................ 366,314,828 56,124,636 72,833,935
------------ ----------- -----------
LIABILITIES:
Payable to brokers for investments purchased................ 806,758 -- --
Payable for return of collateral received for securities on
loan...................................................... 5,220,015 973,347 1,711,994
Investment advisory fee payable............................. 192,839 11,144 38,639
Administration fee payable.................................. 49,635 6,128 9,585
Other accrued expenses...................................... 27,488 6,370 8,090
------------ ----------- -----------
TOTAL LIABILITIES........................................... 6,296,735 996,989 1,768,308
------------ ----------- -----------
NET ASSETS:
Capital..................................................... 251,211,379 48,305,323 62,686,739
Net unrealized appreciation from investments and futures.... 99,966,482 6,544,216 8,393,392
Accumulated undistributed (distributions in excess of)
realized gain (loss) on investments and futures........... 8,855,619 277,188 (14,504)
Accumulated undistributed (distributions in excess of) net
investment income (loss).................................. (15,387) 920 --
------------ ----------- -----------
NET ASSETS.................................................. $360,018,093 $55,127,647 $71,065,627
============ =========== ===========
OUTSTANDING UNITS OF BENEFICIAL INTEREST (SHARES)........... 13,552,544 4,260,483 4,044,781
============ =========== ===========
Net Asset Value:
Offering and redemption price per share................. $ 26.56 $ 12.94 $ 17.57
============ =========== ===========
</TABLE>
See accompanying notes to financial statements.
58
<PAGE> 61
- --------------------------------------------------------------------------------
One Group Investment Trust
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31, 1999
<TABLE>
<CAPTION>
MID CAP DIVERSIFIED MID CAP
GROWTH MID CAP VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
------------ ----------- -----------
<S> <C> <C> <C>
ASSETS:
Investments, at value....................................... $154,941,314 $18,841,343 $27,839,744
Repurchase agreements, at cost.............................. 6,400,232 2,883,708 3,946,244
------------ ----------- -----------
Total (cost $128,976,272, $18,649,785, and $32,218,502
respectively)............................................. 161,341,546 21,725,051 31,785,988
Cash........................................................ 121,277 6,093 258
Interest and dividends receivable........................... 102,957 7,191 23,895
Receivable from brokers for investments sold................ 769,682 164,800 612,523
Net receivable for variation margin on futures contracts.... -- 19,600 --
Prepaid expenses............................................ 6,582 1,068 1,391
------------ ----------- -----------
TOTAL ASSETS................................................ 162,342,044 21,923,803 32,424,055
------------ ----------- -----------
LIABILITIES:
Payable to brokers for investments purchased................ 174,065 24,869 3,544,021
Payable for return of collateral received for securities on
loan...................................................... 21,611,080 250,739 367,068
Investment advisory fee payable............................. 73,099 12,687 15,762
Administration fee payable.................................. 18,824 2,871 3,686
Other accrued expenses...................................... 13,506 7,166 4,145
------------ ----------- -----------
TOTAL LIABILITIES........................................... 21,890,574 298,332 3,934,682
------------ ----------- -----------
NET ASSETS:
Capital..................................................... 105,169,067 18,237,226 29,174,803
Net unrealized appreciation (depreciation) from investments
and futures............................................... 32,365,274 3,309,136 (432,514)
Accumulated undistributed (distributions in excess of)
realized gain (loss) on investments and financial
futures................................................... 2,917,129 63,758 (252,916)
Accumulated undistributed net investment income............. -- 15,351 --
------------ ----------- -----------
NET ASSETS.................................................. $140,451,470 $21,625,471 $28,489,373
============ =========== ===========
OUTSTANDING UNITS OF BENEFICIAL INTEREST (SHARES)........... 6,835,300 1,424,800 2,742,213
============ =========== ===========
Net Asset Value:
Offering and redemption price per share................. $ 20.55 $ 15.18 $ 10.39
============ =========== ===========
</TABLE>
See accompanying notes to financial statements.
59
<PAGE> 62
- --------------------------------------------------------------------------------
One Group Investment Trust
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
GOVERNMENT
BOND BOND BALANCED
PORTFOLIO PORTFOLIO PORTFOLIO
----------- ----------- -----------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividend income............................................. $ -- $ -- $ 877,935
Interest income............................................. 4,045,703 3,515,393 4,470,274
Income from securities lending.............................. 9,120 4,658 15,011
Foreign tax withholding..................................... -- -- (3,330)
----------- ----------- -----------
Total income................................................ 4,054,823 3,520,051 5,359,890
----------- ----------- -----------
EXPENSES:
Investment advisory fees.................................... 337,861 247,016 1,016,442
Administration fees......................................... 102,154 97,129 255,799
Professional fees........................................... 28,440 17,114 27,931
Custodian fees.............................................. 18,257 14,782 30,444
Trustee fees................................................ 2,340 2,291 5,764
Other....................................................... 28,802 22,031 45,609
----------- ----------- -----------
Total Expenses before waivers............................... 517,854 400,363 1,381,989
Less waivers................................................ (58,485) -- --
----------- ----------- -----------
Net Expenses................................................ 459,369 400,363 1,381,989
----------- ----------- -----------
Net Investment Income....................................... 3,595,454 3,119,688 3,977,901
----------- ----------- -----------
REALIZED / UNREALIZED GAINS (LOSSES) FROM INVESTMENTS AND
FUTURES:
Net realized gains (losses) from investments and futures
transactions.............................................. (61,137) (757,688) 3,447,334
Net change in unrealized appreciation (depreciation) from
investments and futures................................... (4,405,320) (3,048,162) 4,269,376
----------- ----------- -----------
Net realized/unrealized gains (losses) from investments and
futures................................................... (4,466,457) (3,805,850) 7,716,710
----------- ----------- -----------
Change in net assets resulting from operations.............. $ (871,003) $ (686,162) $11,694,611
=========== =========== ===========
</TABLE>
See accompanying notes to financial statements.
60
<PAGE> 63
- --------------------------------------------------------------------------------
One Group Investment Trust
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
LARGE CAP EQUITY DIVERSIFIED
GROWTH INDEX EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO
----------- ---------- -----------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividend income............................................. $ 2,038,128 $ 316,449 $ 785,408
Interest income............................................. 665,219 403,261 135,944
Income from securities lending.............................. 6,969 637 697
Foreign tax withholding..................................... (24,737) -- --
----------- ---------- ----------
Total income................................................ 2,685,579 720,347 922,049
----------- ---------- ----------
EXPENSES:
Investment advisory fees.................................... 1,821,847 97,228 437,034
Administration fees......................................... 493,954 45,373 102,928
Professional fees........................................... 30,641 11,272 23,339
Custodian fees.............................................. 15,514 13,841 6,574
Trustee fees................................................ 11,540 814 2,312
Other....................................................... 77,708 19,960 28,143
----------- ---------- ----------
Total expenses before waivers............................... 2,451,204 188,488 600,330
Less waivers................................................ -- (10,237) (13,549)
----------- ---------- ----------
Net expenses................................................ 2,451,204 178,251 586,781
----------- ---------- ----------
Net Investment Income....................................... 234,375 542,096 335,268
----------- ---------- ----------
REALIZED / UNREALIZED GAINS (LOSSES) FROM INVESTMENTS AND
FUTURES:
Net realized gains from investments and futures
transactions.............................................. 41,677,006 991,989 6,051,859
Net change in unrealized appreciation (depreciation) from
investments and futures................................... 33,738,147 5,187,065 (582,936)
----------- ---------- ----------
Net realized/unrealized gains from investments and
futures................................................... 75,415,153 6,179,054 5,468,923
----------- ---------- ----------
Change in net assets resulting from operations.............. $75,649,528 $6,721,150 $5,804,191
=========== ========== ==========
</TABLE>
See accompanying notes to financial statements.
61
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- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 1999
<TABLE>
<CAPTION>
MID CAP DIVERSIFIED MID CAP
GROWTH MID CAP VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
------------ ----------- -----------
<S> <C> <C> <C>
INVESTMENT INCOME:
Dividend income............................................. $ 506,725 $ 128,126 $ 356,986
Interest income............................................. 210,348 83,510 113,661
Income from securities lending.............................. 27,570 247 169
------------ ----------- -----------
Total income................................................ 744,643 211,883 470,816
------------ ----------- -----------
EXPENSES:
Investment advisory fees.................................... 677,449 126,923 162,186
Administration fees......................................... 184,404 29,922 38,209
Professional fees........................................... 24,105 10,447 13,678
Custodian fees.............................................. 29,923 7,955 15,193
Trustee fees................................................ 4,409 677 853
Other....................................................... 38,138 8,001 4,667
------------ ----------- -----------
Total expenses before waivers............................... 958,428 183,925 234,786
Less waivers................................................ -- (19,137) (16,838)
------------ ----------- -----------
Net expenses................................................ 958,428 164,788 217,948
------------ ----------- -----------
Net Investment Income (Loss)................................ (213,785) 47,095 252,868
------------ ----------- -----------
REALIZED / UNREALIZED GAINS (LOSSES) FROM INVESTMENTS AND
FUTURES:
Net realized gains (losses) from investments and futures
transactions.............................................. 19,518,884 1,474,786 (165,319)
Net change in unrealized appreciation (depreciation) from
investments and futures................................... 8,802,339 599,311 (31,208)
------------ ----------- -----------
Net realized/unrealized gains (losses) from investments and
futures................................................... 28,321,223 2,074,097 (196,527)
------------ ----------- -----------
Change in net assets resulting from operations.............. $ 28,107,438 $2,121,192 $ 56,341
============ =========== ===========
</TABLE>
See accompanying notes to financial statements.
62
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- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
BOND GOVERNMENT BOND BALANCED
PORTFOLIO PORTFOLIO PORTFOLIO
--------------------------- --------------------------- ---------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
1999 1998 1999 1998 1999 1998
------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income................ $ 3,595,454 $ 2,562,374 $ 3,119,688 $ 1,707,998 $ 3,977,901 $ 1,873,374
Net realized gains (losses) from
investments and futures
transactions....................... (61,137) 44,671 (757,688) 140,967 3,447,334 1,660,601
Net change in unrealized appreciation
(depreciation) from investments and
futures............................ (4,405,320) 1,451,053 (3,048,162) 255,875 4,269,376 8,916,609
------------ ------------ ----------- ----------- ------------ ------------
Change in net assets resulting from
operations............................. (871,003) 4,058,098 (686,162) 2,104,840 11,694,611 12,450,584
------------ ------------ ----------- ----------- ------------ ------------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income........... (3,558,444) (2,606,134) (2,988,332) (1,707,998) (3,739,511) (1,873,374)
In excess of net investment income... -- -- -- (33,739) -- (26,808)
From net realized gains from
investment transactions............ -- (44,752) (2,360) (105,068) (3,333,993) (1,265,780)
In excess of realized gains on
investment transactions............ -- (12,242) -- -- -- --
------------ ------------ ----------- ----------- ------------ ------------
Changes in net assets from shareholder
distributions.......................... (3,558,444) (2,663,128) (2,990,692) (1,846,805) (7,073,504) (3,165,962)
------------ ------------ ----------- ----------- ------------ ------------
CAPITAL TRANSACTIONS:
Proceeds from shares issued.......... 17,154,252 28,019,206 31,336,825 19,963,136 72,231,755 49,983,354
Dividends reinvested................. 3,558,445 2,663,128 2,990,691 1,846,805 7,073,504 3,165,962
Cost of shares redeemed.............. (9,331,269) (5,415,618) (8,678,394) (2,245,378) (2,790,915) (1,034,680)
------------ ------------ ----------- ----------- ------------ ------------
Change in net assets from share
transactions........................... 11,381,428 25,266,716 25,649,122 19,564,563 76,514,344 52,114,636
------------ ------------ ----------- ----------- ------------ ------------
Change in net assets.................... 6,951,981 26,661,686 21,972,268 19,822,598 81,135,451 61,399,258
NET ASSETS:
Beginning of period.................. 60,891,556 34,229,870 42,187,170 22,364,572 102,844,934 41,445,676
------------ ------------ ----------- ----------- ------------ ------------
End of period........................ $67,843,537 $60,891,556 $64,159,438 $42,187,170 $183,980,385 $102,844,934
============ ============ =========== =========== ============ ============
SHARE TRANSACTIONS:
Issued............................... 1,674,349 2,630,322 3,033,590 1,866,627 4,665,460 3,510,954
Reinvested........................... 347,859 269,941 294,923 173,661 457,032 215,204
Redeemed............................. (902,841) (502,456) (851,693) (210,017) (180,119) (75,663)
------------ ------------ ----------- ----------- ------------ ------------
Change in shares........................ 1,119,367 2,397,807 2,476,820 1,830,271 4,942,373 3,650,495
============ ============ =========== =========== ============ ============
</TABLE>
See accompanying notes to financial statements.
63
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- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
LARGE CAP GROWTH EQUITY INDEX DIVERSIFIED EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO
--------------------------- --------------------------- ---------------------------
YEAR ENDED YEAR ENDED YEAR ENDED PERIOD ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31,
1999 1998 1999 1998 (a) 1999 1998
------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income................ $ 234,375 $ 466,393 $ 542,096 $ 74,668 $ 335,268 $ 339,073
Net realized gains (losses) from
investments and futures
transactions....................... 41,677,006 13,358,107 991,989 (52,963) 6,051,859 1,444,929
Net change in unrealized appreciation
(depreciation) from investments and
futures............................ 33,738,147 37,839,553 5,187,065 1,357,151 (582,936) 4,450,770
------------ ------------ ----------- ----------- ----------- -----------
Change in net assets resulting from
operations............................. 75,649,528 51,664,053 6,721,150 1,378,856 5,804,191 6,234,772
------------ ------------ ----------- ----------- ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income........... (234,375) (465,426) (541,176) (74,668) (336,079) (355,811)
In excess of net investment income... (201,156) -- -- -- -- --
From net realized gains from
investment transactions............ (32,563,968) (13,342,889) (661,838) -- (6,358,677) (1,328,447)
In excess of realized gains on
investment transactions............ -- (57,277) -- -- (15,221) --
Tax return of capital distribution... -- -- -- (601) -- --
------------ ------------ ----------- ----------- ----------- -----------
Changes in net assets from shareholder
distributions.......................... (32,999,499) (13,865,592) (1,203,014) (75,269) (6,709,977) (1,684,258)
------------ ------------ ----------- ----------- ----------- -----------
CAPITAL TRANSACTIONS:
Proceeds from shares issued.......... 72,395,398 51,828,422 37,857,978 13,636,522 11,760,756 16,305,399
Proceeds from shares issued in
Pegasus substitution............... 26,126,243 -- -- -- -- --
Dividends reinvested................. 32,999,499 13,865,593 1,203,015 75,269 6,709,976 1,684,258
Cost of shares redeemed.............. (16,187,784) (1,085,409) (3,932,201) (534,659) (6,059,678) (1,685,009)
------------ ------------ ----------- ----------- ----------- -----------
Change in net assets from share
transactions........................... 115,333,356 64,608,606 35,128,792 13,177,132 12,411,054 16,304,648
------------ ------------ ----------- ----------- ----------- -----------
Change in net assets.................... 157,983,385 102,407,067 40,646,928 14,480,719 11,505,268 20,855,162
NET ASSETS:
Beginning of period.................. 202,034,708 99,627,641 14,480,719 -- 59,560,359 38,705,197
------------ ------------ ----------- ----------- ----------- -----------
End of period........................ $360,018,093 $202,034,708 $55,127,647 $14,480,719 $71,065,627 $59,560,359
============ ============ =========== =========== =========== ===========
SHARE TRANSACTIONS:
Issued............................... 2,936,777 2,584,144 3,169,873 1,370,180 649,087 955,005
Issued in Pegasus substitution....... 1,061,051 -- -- -- -- --
Reinvested........................... 1,243,430 613,470 95,807 7,334 383,296 102,324
Redeemed............................. (617,459) (58,686) (324,864) (57,847) (333,010) (97,531)
------------ ------------ ----------- ----------- ----------- -----------
Change in shares........................ 4,623,799 3,138,928 2,940,816 1,319,667 699,373 959,798
============ ============ =========== =========== =========== ===========
</TABLE>
- ------------
(a) For the period May 1, 1998, date of commencement of operations, through
December 31, 1998.
See accompanying notes to financial statements.
64
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- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
MID CAP GROWTH DIVERSIFIED MID CAP MID CAP VALUE
PORTFOLIO PORTFOLIO PORTFOLIO
--------------------------- --------------------------- ---------------------------
YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED
DECEMBER 31, DECEMBER 31, DECEMBER, 31 DECEMBER 31, DECEMBER 31, DECEMBER 31,
1999 1998 1999 1998 1999 1998
------------ ------------ ------------ ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income................ $ (213,785) $ (167,466) $ 47,095 $ (14,350) $ 252,868 $ 342,114
Net realized gains (losses) from
investments and futures
transactions....................... 19,518,884 4,626,878 1,474,786 311,810 (165,319) 283,047
Net change in unrealized appreciation
(depreciation) from investments and
futures............................ 8,802,339 19,581,381 599,311 551,852 (31,208) (1,346,908)
------------ ----------- ----------- ----------- ----------- -----------
Change in net assets resulting from
operations............................. 28,107,438 24,040,793 2,121,192 849,312 56,341 (721,747)
------------ ----------- ----------- ----------- ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income........... -- -- (31,744) -- (252,868) (345,025)
In excess of net investment income... -- -- -- -- -- (1,651)
From net realized gains from
investment transactions............ (16,091,134) (4,300,170) (1,442,907) (355,970) -- (358,921)
In excess of realized gains on
investment transactions............ -- (132,232) -- -- -- (87,555)
Tax return of capital distribution... -- (1,002,643) -- -- (1,345) --
------------ ----------- ----------- ----------- ----------- -----------
Changes in net assets from shareholder
distributions.......................... (16,091,134) (5,435,045) (1,474,651) (355,970) (254,213) (793,152)
------------ ----------- ----------- ----------- ----------- -----------
CAPITAL TRANSACTIONS:
Proceeds from shares issued.......... 21,229,122 19,618,361 5,050,852 6,254,470 9,650,797 9,477,532
Dividends reinvested................. 16,091,134 5,435,045 1,474,651 355,970 254,213 793,152
Cost of shares redeemed.............. (1,558,798) (1,692,146) (3,706,440) (612,145) (3,719,121) (179,987)
------------ ----------- ----------- ----------- ----------- -----------
Change in net assets from share
transactions........................... 35,761,458 23,361,260 2,819,063 5,998,295 6,185,889 10,090,697
------------ ----------- ----------- ----------- ----------- -----------
Change in net assets.................... 47,777,762 41,967,008 3,465,604 6,491,637 5,988,017 8,575,798
NET ASSETS:
Beginning of period.................. 92,673,708 50,706,700 18,159,867 11,668,230 22,501,356 13,925,558
------------ ----------- ----------- ----------- ----------- -----------
End of period........................ $140,451,470 $92,673,708 $21,625,471 $18,159,867 $28,489,373 $22,501,356
============ =========== =========== =========== =========== ===========
SHARE TRANSACTIONS:
Issued............................... 1,126,327 1,240,487 341,183 435,554 972,013 834,191
Reinvested........................... 786,084 305,683 98,219 25,066 25,259 77,627
Redeemed............................. (79,766) (113,075) (245,037) (41,697) (358,109) (16,644)
------------ ----------- ----------- ----------- ----------- -----------
Change in shares........................ 1,832,645 1,433,095 194,365 418,923 639,163 895,174
============ =========== =========== =========== =========== ===========
</TABLE>
See accompanying notes to financial statements.
65
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- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
BOND PORTFOLIO
----------------------------------
YEAR ENDED
DECEMBER 31, MAY 1-
------------------ DECEMBER 31,
1999 1998 1997(a)
------- ------- ------------
<S> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................................... $ 10.73 $ 10.44 $ 10.00
------- ------- -------
Investment Operations:
Net investment income..................................... 0.60 0.57 0.37
Net realized and unrealized appreciation (depreciation)... (0.76) 0.31 0.45
------- ------- -------
Total from investment operations............................ (0.16) 0.88 0.82
------- ------- -------
Distributions:
From net investment income................................ (0.59) (0.58) (0.37)
From net realized gains from investments.................. -- (0.01) (0.01)
------- ------- -------
Total distributions......................................... (0.59) (0.59) (0.38)
------- ------- -------
Net increase (decrease) in net asset value.................. (0.75) 0.29 0.44
------- ------- -------
NET ASSET VALUE,
END OF PERIOD............................................. $ 9.98 $ 10.73 $ 10.44
======= ======= =======
Total return................................................ (1.50%) 8.66% 12.29%(b)
RATIOS AND SUPPLEMENTAL DATA:
Net assets, end of period (000)........................... $67,844 $60,892 $34,230
Ratio of expenses to average net assets................... 0.75% 0.75% 0.75%(b)
Ratio of expenses to average net assets excluding
waivers/reimbursements(c).............................. 0.85% 0.81% 0.77%(b)
Ratio of net investment income to average net assets...... 5.86% 5.36% 5.97%(b)
Portfolio turnover........................................ 7.50% 14.50% 14.80%(b)
</TABLE>
- ------------
(a) Commenced operations on May 1, 1997.
(b) Annualized.
(c) Ratios calculated as if no expenses were waived.
See accompanying notes to financial statements.
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- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
GOVERNMENT BOND PORTFOLIO
--------------------------------------------------
YEAR ENDED DECEMBER 31,
--------------------------------------------------
1999 1998 1997 1996 1995
------- ------- ------- ------- ------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD..................................... $ 10.64 $ 10.48 $ 10.15 $ 10.48 $ 9.69
------- ------- ------- ------- ------
Investment Operations:
Net investment income................................... 0.56 0.56 0.60 0.59 0.64
Net realized and unrealized appreciation
(depreciation)........................................ (0.70) 0.20 0.35 (0.33) 0.94
------- ------- ------- ------- ------
Total from investment operations.......................... (0.14) 0.76 0.95 0.26 1.58
------- ------- ------- ------- ------
Distributions:
From net investment income.............................. (0.54) (0.56) (0.60) (0.59) (0.64)
In excess of net investment income...................... -- (0.01) -- -- --
From net realized gains from investments................ -- (0.03) (0.02) -- (0.15)
------- ------- ------- ------- ------
Total distributions....................................... (0.54) (0.60) (0.62) (0.59) (0.79)
------- ------- ------- ------- ------
Net increase (decrease) in net asset value................ (0.68) 0.16 0.33 (0.33) 0.79
------- ------- ------- ------- ------
NET ASSET VALUE,
END OF PERIOD........................................... $ 9.96 $ 10.64 $ 10.48 $ 10.15 $10.48
======= ======= ======= ======= ======
Total return.............................................. (1.31%) 7.32% 9.67% 2.69% 16.69%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000)......................... $64,159 $42,187 $22,365 $14,622 $9,016
Ratio of expenses to average net assets................. 0.73% 0.75% 0.75% 0.75% 0.75%
Ratio of expenses to average net assets excluding
waivers/reimbursements(a)............................. 0.73% 0.78% 0.88% 1.01% 1.47%
Ratio of net investment income to average net assets.... 5.68% 5.56% 6.06% 6.11% 6.54%
Ratio of net investment income to average net assets
excluding waivers/reimbursements(a)................... 5.68% 5.53% 5.93% 5.85% 5.80%
Portfolio turnover...................................... 55.15% 40.40% 21.30% 21.30% 34.10%
</TABLE>
- ------------
(a) Ratios calculated as if no expenses were waived.
See accompanying notes to financial statements.
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- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
BALANCED PORTFOLIO
----------------------------------------------------
YEAR ENDED DECEMBER 31,
----------------------------------------------------
1999 1998 1997 1996 1995
-------- -------- ------- ------- ------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD................................... $ 15.14 $ 13.19 $ 11.93 $ 11.24 $ 9.81
-------- -------- ------- ------- ------
Investment Operations:
Net investment income................................. 0.39 0.39 0.39 0.34 0.36
Net realized and unrealized appreciation.............. 0.83 2.14 2.31 0.98 1.64
-------- -------- ------- ------- ------
Total from investment operations........................ 1.22 2.53 2.70 1.32 2.00
-------- -------- ------- ------- ------
Distributions:
From net investment income............................ (0.38) (0.39) (0.39) (0.34) (0.36)
From net realized gains from investments.............. (0.30) (0.19) (1.05) (0.23) (0.21)
In excess of realized gains from investments.......... -- -- -- (0.04) --
Tax return of capital................................. -- -- -- (0.02) --
-------- -------- ------- ------- ------
Total distributions..................................... (0.68) (0.58) (1.44) (0.63) (0.57)
-------- -------- ------- ------- ------
Net increase in net asset value......................... 0.54 1.95 1.26 0.69 1.43
-------- -------- ------- ------- ------
NET ASSET VALUE,
END OF PERIOD......................................... $ 15.68 $ 15.14 $ 13.19 $ 11.93 $11.24
======== ======== ======= ======= ======
Total return............................................ 8.20% 19.09% 22.90% 11.92% 20.69%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000)....................... $183,980 $102,845 $41,446 $14,883 $5,455
Ratio of expenses to average net assets............... 0.95% 1.00% 1.00% 1.00% 1.00%
Ratio of expenses to average net assets excluding
waivers/reimbursements(a)........................... 0.95% 1.00% 1.15% 1.44% 1.96%
Ratio of net investment income to average net
assets.............................................. 2.74% 2.66% 3.24% 3.27% 3.66%
Ratio of net investment income to average net assets
excluding waivers/reimbursements(a)................. 2.74% 2.66% 3.07% 2.83% 2.70%
Portfolio turnover.................................... 60.13% 32.10% 60.90% 64.80% 66.30%
</TABLE>
- ------------
(a) Ratios calculated as if no expenses were waived.
See accompanying notes to financial statements.
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- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LARGE CAP GROWTH PORTFOLIO
-----------------------------------------------------
YEAR ENDED DECEMBER 31,
-----------------------------------------------------
1999 1998 1997 1996 1995
-------- -------- ------- ------- -------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD................................... $ 22.63 $ 17.21 $ 13.67 $ 12.12 $ 9.99
-------- -------- ------- ------- -------
Investment Operations:
Net investment income................................. 0.02 0.06 0.10 0.16 0.20
Net realized and unrealized appreciation.............. 6.60 7.03 4.25 1.86 2.20
-------- -------- ------- ------- -------
Total from investment operations........................ 6.62 7.09 4.35 2.02 2.40
-------- -------- ------- ------- -------
Distributions:
From net investment income............................ (0.02) (0.06) (0.10) (0.16) (0.20)
In excess of net investment income.................... (0.02) -- -- -- --
From net realized gains from investments.............. (2.65) (1.61) (0.71) (0.30) (0.07)
In excess of realized gains from investments.......... -- -- -- (0.01) --
-------- -------- ------- ------- -------
Total distributions..................................... (2.69) (1.67) (0.81) (0.47) (0.27)
-------- -------- ------- ------- -------
Net increase in net asset value......................... 3.93 5.42 3.54 1.55 2.13
-------- -------- ------- ------- -------
NET ASSET VALUE,
END OF PERIOD......................................... $ 26.56 $ 22.63 $ 17.21 $ 13.67 $ 12.12
======== ======== ======= ======= =======
Total return............................................ 29.26% 41.27% 31.93% 16.67% 24.13%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000)....................... $360,018 $202,035 $99,628 $42,893 $16,119
Ratio of expenses to average net assets............... 0.88% 0.93% 1.00% 0.98% 0.90%
Ratio of expenses to average net assets excluding
waivers/reimbursements(a)........................... 0.88% 0.93% 1.00% 1.16% 1.64%
Ratio of net investment income to average net
assets.............................................. 0.08% 0.32% 0.69% 1.29% 2.02%
Ratio of net investment income to average net assets
excluding waivers/reimbursements(a)................. 0.08% 0.32% 0.69% 1.11% 1.28%
Portfolio turnover.................................... 94.18% 61.00% 34.40% 38.70% 37.40%
</TABLE>
- ------------
(a) Ratios calculated as if no expenses were waived.
See accompanying notes to financial statements.
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- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
EQUITY INDEX PORTFOLIO
----------------------------
YEAR ENDED MAY 1-
DECEMBER 31, DECEMBER 31,
1999 1998(a)
------------ ------------
<S> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................................... $ 10.97 $ 10.00
------- -------
Investment Operations:
Net investment income..................................... 0.17 0.08
Net realized and unrealized appreciation.................. 2.13 0.97
------- -------
Total from investment operations............................ 2.30 1.05
------- -------
Distributions:
From net investment income................................ (0.17) (0.08)
From net realized gains from investments.................. (0.16) --
------- -------
Total distributions......................................... (0.33) (0.08)
------- -------
Net increase in net asset value............................. 1.97 0.97
------- -------
NET ASSET VALUE,
END OF PERIOD............................................. $ 12.94 $ 10.97
======= =======
Total return................................................ 21.11% 10.52%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000)........................... $55,128 $14,481
Ratio of expenses to average net assets................... 0.55% 0.55%(b)
Ratio of expenses to average net assets excluding
waivers/reimbursements(c).............................. 0.58% 1.13%(b)
Ratio of net investment income to average net assets...... 1.67% 1.45%(b)
Ratio of net investment income to average net assets
excluding waivers/reimbursements(c).................... 1.64% 0.87%(b)
Portfolio turnover........................................ 1.50% 2.30%
</TABLE>
- ------------
(a) Commenced operations on May 1, 1998.
(b) Annualized.
(c) Ratios calculated as if no expenses were waived.
See accompanying notes to financial statements.
70
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- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED EQUITY PORTFOLIO
-------------------------------------------------------
YEAR ENDED DECEMBER 31, MARCH 30-
--------------------------------------- DECEMBER 31,
1999 1998 1997 1996 1995(a)
------- ------- ------- ------ ------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................... $ 17.80 $ 16.22 $ 13.19 $11.63 $10.00
------- ------- ------- ------ ------
Investment Operations:
Net investment income..................... 0.10 0.11 0.13 0.15 0.13
Net realized and unrealized
appreciation........................... 1.51 2.00 3.38 2.02 1.63
------- ------- ------- ------ ------
Total from investment operations............ 1.61 2.11 3.51 2.17 1.76
------- ------- ------- ------ ------
Distributions:
From net investment income................ (0.10) (0.12) (0.13) (0.14) (0.13)
From net realized gains from
investments............................ (1.73) (0.41) (0.35) (0.47) --
In excess of realized gains from
investments............................ (0.01) -- -- -- --
------- ------- ------- ------ ------
Total distributions......................... (1.84) (0.53) (0.48) (0.61) (0.13)
------- ------- ------- ------ ------
Net increase (decrease) in net asset
value..................................... (0.23) 1.58 3.03 1.56 1.63
------- ------- ------- ------ ------
NET ASSET VALUE,
END OF PERIOD............................. $ 17.57 $ 17.80 $ 16.22 $13.19 $11.63
======= ======= ======= ====== ======
Total return................................ 9.13% 13.10% 26.80% 18.75% 22.75%(b)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000)........... $71,066 $59,560 $38,705 $8,603 $3,754
Ratio of expenses to average net assets... 0.95% 0.95% 0.93% 0.85% 0.85%(b)
Ratio of expenses to average net assets
excluding waivers/reimbursements(c).... 0.97% 1.02% 1.10% 2.27% 4.93%(b)
Ratio of net investment income to average
net assets............................. 0.54% 0.69% 0.93% 1.35% 1.78%(b)
Portfolio turnover........................ 91.90% 43.20% 31.10% 46.80% 17.50%(b)
</TABLE>
- ------------
(a) Commenced operations on March 30, 1995.
(b) Annualized.
(c) Ratios calculated as if no expenses were waived.
See accompanying notes to financial statements.
71
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One Group Investment Trust
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MID CAP GROWTH PORTFOLIO
---------------------------------------------------
YEAR ENDED DECEMBER 31,
---------------------------------------------------
1999 1998 1997 1996 1995
-------- ------- ------- ------- ------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD.................................... $ 18.52 $ 14.21 $ 12.11 $ 11.52 $ 9.70
-------- ------- ------- ------- ------
Investment Operations:
Net investment income (loss)........................... (0.03) (0.03) (0.03) 0.18 0.04
Net realized and unrealized appreciation............... 4.73 5.95 3.63 1.62 2.29
-------- ------- ------- ------- ------
Total from investment operations......................... 4.70 5.92 3.60 1.80 2.33
-------- ------- ------- ------- ------
Distributions:
From net investment income............................. -- -- -- (0.19) (0.04)
From net realized gains from investments............... (2.67) (1.38) (1.48) (0.78) (0.47)
In excess of realized gains from investments........... -- (0.03) -- (0.24) --
Tax return of capital.................................. -- (0.20) (0.02) -- --
-------- ------- ------- ------- ------
Total distributions...................................... (2.67) (1.61) (1.50) (1.21) (0.51)
-------- ------- ------- ------- ------
Net increase in net asset value.......................... 2.03 4.31 2.10 0.59 1.82
-------- ------- ------- ------- ------
NET ASSET VALUE,
END OF PERIOD.......................................... $ 20.55 $ 18.52 $ 14.21 $ 12.11 $11.52
======== ======= ======= ======= ======
Total return............................................. 25.42% 38.82% 29.81% 15.67% 24.06%
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000)........................ $140,451 $92,674 $50,707 $22,339 $6,685
Ratio of expenses to average net assets................ 0.92% 0.97% 1.10% 1.06% 0.90%
Ratio of expenses to average net assets excluding
waivers/reimbursements(a)............................ 0.92% 0.97% 1.11% 1.40% 2.78%
Ratio of net investment income to average net assets... (0.21%) (0.25%) (0.25%) 1.85% 0.46%
Ratio of net investment income to average net assets
excluding waivers/reimbursements(a).................. (0.21%) (0.25%) (0.26%) 1.51% (1.42%)
Portfolio turnover..................................... 167.61% 87.70% 175.60% 326.90% 193.30%
</TABLE>
- ------------
(a) Ratios calculated as if no expenses were waived.
See accompanying notes to financial statements.
72
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One Group Investment Trust
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED MID CAP PORTFOLIO
-------------------------------------------------------
YEAR ENDED DECEMBER 31, MARCH 30-
--------------------------------------- DECEMBER 31,
1999 1998 1997 1996 1995(a)
------- ------- ------- ------ ------------
<S> <C> <C> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................... $ 14.76 $ 14.38 $ 13.46 $11.02 $10.00
------- ------- ------- ------ ------
Investment Operations:
Net investment income..................... 0.03 (0.01) 0.01 0.03 0.05
Net realized and unrealized
appreciation........................... 1.50 0.70 3.55 2.67 1.02
------- ------- ------- ------ ------
Total from investment operations............ 1.53 0.69 3.56 2.70 1.07
------- ------- ------- ------ ------
Distributions:
From net investment income................ (0.02) -- (0.01) (0.03) (0.05)
From net realized gains from
investments............................ (1.09) (0.31) (2.63) (0.23) --
------- ------- ------- ------ ------
Total distributions......................... (1.11) (0.31) (2.64) (0.26) (0.05)
------- ------- ------- ------ ------
Net increase in net asset value............. 0.42 0.38 0.92 2.44 1.02
------- ------- ------- ------ ------
NET ASSET VALUE,
END OF PERIOD............................. $ 15.18 $ 14.76 $ 14.38 $13.46 $11.02
======= ======= ======= ====== ======
Total return................................ 10.50% 4.91% 26.65% 24.53% 14.20%(b)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000)........... $21,625 $18,160 $11,668 $9,216 $4,972
Ratio of expenses to average net assets... 0.92% 0.95% 0.91% 0.85% 0.85%(b)
Ratio of expenses to average net assets
excluding waivers/reimbursements(c).... 1.03% 1.52% 1.49% 2.11% 4.64%(b)
Ratio of net investment income to average
net assets............................. 0.26% (0.10%) 0.04% 0.28% 0.67%(b)
Portfolio turnover........................ 58.77% 26.20% 80.70% 37.40% 32.10%(b)
</TABLE>
- ------------
(a) Commenced operations on March 30, 1995.
(b) Annualized.
(c) Ratios calculated as if no expenses were waived.
See accompanying notes to financial statements.
73
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One Group Investment Trust
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MID CAP VALUE PORTFOLIO
----------------------------------
YEAR ENDED
DECEMBER 31, MAY 1-
------------------ DECEMBER 31,
1999 1998 1997(a)
------- ------- ------------
<S> <C> <C> <C>
NET ASSET VALUE,
BEGINNING OF PERIOD....................................... $ 10.70 $ 11.53 $ 10.00
------- ------- -------
Investment Operations:
Net investment income..................................... 0.11 0.21 0.12
Net realized and unrealized appreciation (depreciation)... (0.31) (0.58) 1.57
------- ------- -------
Total from investment operations............................ (0.20) (0.37) 1.69
------- ------- -------
Distributions:
From net investment income................................ (0.11) (0.21) (0.12)
From net realized gains from investments.................. -- (0.20) (0.04)
In excess of realized gains from investments.............. -- (0.05) --
------- ------- -------
Total distributions......................................... (0.11) (0.46) (0.16)
------- ------- -------
Net increase (decrease) in net asset value.................. (0.31) (0.83) 1.53
------- ------- -------
NET ASSET VALUE,
END OF PERIOD............................................. $ 10.39 $ 10.70 $ 11.53
======= ======= =======
Total return................................................ (1.84%) (3.31%) 25.26%(b)
RATIOS/SUPPLEMENTAL DATA:
Net assets, end of period (000)........................... $28,489 $22,501 $13,926
Ratio of expenses to average net assets................... 0.95% 0.95% 0.95%(b)
Ratio of expenses to average net assets excluding
waivers/reimbursements(c).............................. 1.02% 1.27% 1.22%(b)
Ratio of net investment income to average net assets...... 1.10% 1.90% 1.83%(b)
Portfolio turnover........................................ 198.01% 39.30% 19.60%(b)
</TABLE>
- ------------
(a) Commenced operations on May 1, 1997.
(b) Annualized.
(c) Ratios calculated as if no expenses were waived.
See accompanying notes to financial statements.
74
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One Group Investment Trust
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS DECEMBER 31, 1999
1. ORGANIZATION:
One Group 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. Prior to
March 31, 1999, the Trust comprised five operating series: the Government
Bond Fund, the Asset Allocation Fund, the Growth Opportunities Fund, the
Large Company Growth Fund and the Equity Index Fund.
In 1998, the Trust's Declaration of Trust was amended to create four new
series. In February, 1999, the Declaration of Trust was further amended to
name the four new series as follows:
One Group Investment Trust Bond Portfolio
One Group Investment Trust Diversified Equity Portfolio
One Group Investment Trust Diversified Mid Cap Portfolio
One Group Investment Trust Mid Cap Value Portfolio
Additionally, in February, 1999, the Trust's Declaration of Trust was amended
to change the name of the Trust from "The One Group Investment Trust" to "One
Group Investment Trust" and the names of the existing series were also
changed as follows:
<TABLE>
<CAPTION>
PRIOR NAME NEW NAME
------------------------- ------------------------------------------------------------
<S> <C>
Government Bond Fund One Group Investment Trust Government Bond Portfolio
Asset Allocation Fund One Group Investment Trust Balanced Portfolio
Growth Opportunities Fund One Group Investment Trust Mid Cap Growth Portfolio
Large Company Growth Fund One Group Investment Trust Large Cap Growth Portfolio
Equity Index Fund One Group Investment Trust Equity Index Portfolio
</TABLE>
SUBSTITUTION OF ONE GROUP INVESTMENT TRUST PORTFOLIOS FOR PEGASUS VARIABLE
FUNDS
On October 2, 1998, First Chicago NBD Corporation and BANC ONE CORPORATION
merged with and into BANK ONE CORPORATION. At that time, the Pegasus Variable
Funds were advised by First Chicago NBD Investment Management Company
(FCNIMCO) and had been sold exclusively to separate accounts of Hartford Life
and Annuity Insurance Company (Hartford) to fund variable annuity and
variable life contracts. Hartford was granted an exemptive order from the
Securities and Exchange Commission providing relief from certain rules in
order to substitute shares of five of the One Group Investment Trust
Portfolios for shares of the Pegasus Variable Funds. This substitution
occurred March 31, 1999.
On March 31, 1999, the shares of the following portfolios of the Trust were
effectively substituted by Hartford for shares of the following Pegasus
Variable Funds in separate accounts maintained by Hartford:
<TABLE>
<CAPTION>
ONE GROUP INVESTMENT TRUST PORTFOLIO PEGASUS VARIABLE FUND
------------------------------------ ---------------------
<S> <C>
Bond Portfolio Bond Fund
Large Cap Growth Portfolio Growth Fund
Diversified Mid Cap Portfolio Mid-Cap Opportunity Fund
Mid Cap Value Portfolio Intrinsic Value Fund
Diversified Equity Portfolio Growth and Value Fund
</TABLE>
75
Continued
<PAGE> 78
- --------------------------------------------------------------------------------
One Group Investment Trust
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED DECEMBER 31, 1999
The financial information shown for the Bond Portfolio, the Diversified Mid
Cap Portfolio, the Mid Cap Value Portfolio, and the Diversified Equity
Portfolio for all periods through December 31, 1998 represents the activity
of the Pegasus Variable Funds prior to the substitution. The financial
information for such Portfolios for the year ended December 31, 1999
represents the combined activity of the corresponding Pegasus Variable Funds
for the period January 1, 1999 through March 31, 1999, and of the Portfolios
for the period April 1, 1999 through December 31, 1999.
Thus, with the exception of the Large Cap Growth Portfolio, the Pegasus
Variable Funds are the survivors for accounting purposes.
<TABLE>
<CAPTION>
BEFORE SUBSTITUTION AFTER SUBSTITUTION
----------------------------------------- --------------------------
ONE GROUP ONE GROUP
PEGASUS INVESTMENT TRUST INVESTMENT TRUST
GROWTH FUND LARGE CAP GROWTH PORTFOLIO LARGE CAP GROWTH PORTFOLIO
----------- -------------------------- --------------------------
<S> <C> <C> <C>
Shares........................ 1,262,943 9,655,373 10,716,424
Net Assets.................... $26,126,243 $237,742,554 $263,868,797
Net Asset Value............... 20.69 24.62 24.62
Unrealized Appreciation....... 10,244,929 71,373,713 81,618,642
</TABLE>
The shares of the Portfolios are sold at net asset value to separate accounts
of insurance companies to fund variable annuity and variable life contracts.
2. SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES:
SECURITY VALUATION
Securities traded on a securities exchange are valued at the last quoted sale
price on the principal exchange, or if no sale, at their fair value as
determined in good faith under consistently applied procedures authorized by
the Board of Trustees. Securities traded only in the over-the-counter (OTC)
market are valued at the last quoted sale price, or if there is no sale, at
the quoted mean price provided by an independent pricing agent. Corporate
debt securities and debt securities of U.S. issuers, including municipal
securities, are valued by a combination of daily quotes and matrix
evaluations provided by an independent pricing service approved by the Board
of Trustees. Inactive securities that have little or no trading activity are
valued by the independent pricing services by obtaining dealer quotes.
Futures contracts and options thereon traded on a commodities exchange or
board of trade are valued at the last sale price at the close of trading, or
if there was no sale, the quoted mean price at the close of trading.
Securities for which either reliable market quotations are not readily
available or for which the pricing agent does not provide a valuation that,
in the judgement of a Portfolio's investment adviser represent fair value,
shall each be valued in accordance with procedures authorized by the Board of
Trustees.
The Portfolios may invest in repurchase agreements with institutions that the
investment advisor has determined are creditworthy. Each repurchase agreement
is recorded at cost. The Portfolios require that the securities purchased in
a repurchase agreement transaction be transferred to the custodian in a
manner sufficient to enable the Portfolios 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.
FEDERAL INCOME TAX
The Trust treats each Portfolio as a separate entity for federal income tax
purposes. Each Portfolio 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
76
Continued
<PAGE> 79
- --------------------------------------------------------------------------------
One Group Investment Trust
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED DECEMBER 31, 1999
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. Net realized gains or
losses from sales of securities are determined on the specific identification
method. 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 Portfolios 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, 1999, the capital accounts have been adjusted
by the following amounts:
<TABLE>
<CAPTION>
DISTRIBUTIONS
UNDISTRIBUTED IN EXCESS OF
NET INVESTMENT NET REALIZED
INCOME GAIN CAPITAL
-------------- --------------- ----------
<S> <C> <C> <C>
Bond Portfolio.................................... $ 0 $ (81) $ 81
Government Bond Portfolio......................... 1,582 (1,582) --
Balanced Portfolio................................ 395,028 (395,079) 51
Large Cap Growth Portfolio........................ 200,189 (200,189) --
Diversified Equity Portfolio...................... (616) 717 (101)
Mid Cap Growth Portfolio.......................... 213,785 (213,785) --
Diversified Mid Cap Portfolio..................... (994) -- 994
Mid Cap Value Portfolio........................... 1,345 1,609 (2,954)
</TABLE>
As of December 31, 1999, the capital accounts have been adjusted by the
following amounts:
<TABLE>
<CAPTION>
UNDISTRIBUTED ACCUMULATED
NET INVESTMENT REALIZED
INCOME GAIN CAPITAL
-------------- ------------- -------
<S> <C> <C> <C>
Large Cap Growth Portfolio........................... $(15,387) $ 47 $15,340
</TABLE>
77
Continued
<PAGE> 80
- --------------------------------------------------------------------------------
One Group Investment Trust
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED DECEMBER 31, 1999
EXPENSES
Direct expenses of a Portfolio are allocated to that Portfolio. The general
expenses of the Trust are allocated to the Portfolios based on the relative
net assets of the Portfolios at the time the expense is incurred.
PREMIUMS AND DISCOUNTS
Premiums and discounts on debt securities are amortized for both financial
reporting and tax purposes using the effective yield methods.
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.
SECURITIES LENDING
To generate additional income, the Portfolios may lend up to 33 1/3% of
securities in which each Portfolio is invested, pursuant to agreements
requiring that the loan be continuously secured by collateral equal at all
times to at least 100% of the market value plus accrued interest on the
securities lent. Collateral may include cash, U.S. Government or U.S.
Government Agency securities, shares of an investment trust or mutual fund,
letters of credit or any combination of such collateral. The Portfolios
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 plus accrued interest 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 risk. Loans are
subject to termination by the Portfolios or the borrower at any time, and
are, therefore, not considered to be illiquid investments. As of December 31,
1999, the following Portfolios had securities with the following market
values on loan:
<TABLE>
<CAPTION>
MARKET VALUE
MARKET VALUE OF LOANED
OF COLLATERAL SECURITIES
------------- ------------
<S> <C> <C>
Bond Portfolio.............................................. $18,244,335 $17,779,507
Government Bond Portfolio................................... 3,467,785 3,333,033
Balanced Portfolio.......................................... 18,721,613 18,335,992
Large Cap Growth Portfolio.................................. 5,220,015 5,083,781
Equity Index Portfolio...................................... 1,082,197 1,045,358
Diversified Equity Portfolio................................ 1,711,994 1,702,674
Mid Cap Growth Portfolio.................................... 21,611,080 20,828,219
Diversified Mid Cap Portfolio............................... 250,739 238,038
Mid Cap Value Portfolio..................................... 367,068 356,719
</TABLE>
78
Continued
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- --------------------------------------------------------------------------------
One Group Investment Trust
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED DECEMBER 31, 1999
3. RELATED PARTY TRANSACTIONS:
As Investment Advisor, Banc One Investment Advisors Corporation manages the
investments of each Portfolio of the Trust and earns a fee, which is
calculated daily and paid monthly, of the following annual percentages of the
average daily net assets of each Portfolio:
<TABLE>
<CAPTION>
ADVISORY
PORTFOLIO FEE
------------------------------------------------------------ --------
<S> <C>
Bond Portfolio.............................................. 0.60%
Government Bond Portfolio................................... 0.45%
Balanced Portfolio.......................................... 0.70%
Large Cap Growth Portfolio.................................. 0.65%
Equity Index Portfolio...................................... 0.30%
Diversified Equity Portfolio................................ 0.74%
Mid Cap Growth Portfolio.................................... 0.65%
Diversified Mid Cap Portfolio............................... 0.74%
Mid Cap Value Portfolio..................................... 0.74%
</TABLE>
Banc One Investment Advisors has voluntarily agreed to waive all or part of
its fees in order to limit the Portfolios' total operating expenses on an
annual basis to not more than the following percentages of the average daily
net assets:
<TABLE>
<CAPTION>
PERCENTAGE
OF AVERAGE
DAILY NET
PORTFOLIO ASSETS
------------------------------------------------------------ ----------
<S> <C>
Bond Portfolio.............................................. 0.75%
Government Bond Portfolio................................... 0.75%
Balanced Portfolio.......................................... 1.00%
Large Cap Growth Portfolio.................................. 1.00%
Equity Index Portfolio...................................... 0.55%
Diversified Equity Portfolio................................ 0.95%
Mid Cap Growth Portfolio.................................... 1.10%
Diversified Mid Cap Portfolio............................... 0.95%
Mid Cap Value Portfolio..................................... 0.95%
</TABLE>
For the year ended December 31, 1999, the Investment Advisor voluntarily
waived fees in the amount of $58,485 in the Bond Portfolio, $10,237 in the
Equity Index Portfolio, $13,549 in the Diversified Equity Portfolio, $19,137
in the Diversified Mid Cap Portfolio, and $16,838 in the Mid Cap Value
Portfolio.
Up until December 31, 1999, Nationwide Advisory Services, Inc. (NAS) provided
administrative and accounting services to the Portfolios. For its services,
NAS earned a fee from the Trust at an annual rate of .24% of the Trust's
aggregate average daily net assets (excluding the Equity Index Portfolio) up
to $250 million, and .14% of such net assets in excess of $250 million. NAS
earned an annual rate of .14% of the aggregate average daily net assets of
the Equity Index Portfolio.
79
Continued
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- --------------------------------------------------------------------------------
One Group Investment Trust
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED DECEMBER 31, 1999
Up until December 31, 1999, Nationwide Investors Services, Inc. (NIS), an
affiliate of NAS, served as the Transfer Agent to the Trust. For its
services, NIS received an annual fee of .01% of the average daily net assets
of each Portfolio with an annual maximum of $6,000 for each Portfolio.
Effective January 1, 2000, One Group Administrative Services, Inc.
("Administrative Services") began serving as administrator for the Trust.
Administrative Services is an affiliate of the Advisor, and an indirect
wholly-owned subsidiary of Bank One Corporation. For its services,
Administrative Services is entitled to a fee from the Trust at an annual rate
of .18% on the first $250 million in Trust assets (except for the Equity
Index Portfolio) and .14% on Trust assets in excess of $250 million (other
than the Equity Index Portfolio). Administrative Services is entitled to a
fee at the rate of .14% of the Equity Index Portfolio assets.
4. INVESTMENT TRANSACTIONS:
The cost of security purchases and the proceeds from the sale of securities
(excluding short-term securities and financial futures) during the year ended
December 31, 1999 are summarized as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
------------ ------------
<S> <C> <C>
Bond Portfolio.............................................. $ 19,389,397 $ 4,246,219
Government Bond Portfolio................................... 55,489,584 28,917,005
Balanced Portfolio.......................................... 151,917,538 77,445,638
Large Cap Growth Portfolio.................................. 300,641,944 250,385,125
Equity Index Portfolio...................................... 16,158,267 369,251
Diversified Equity Portfolio................................ 57,566,077 54,245,291
Mid Cap Growth Portfolio.................................... 185,336,221 169,053,064
Diversified Mid Cap Portfolio............................... 9,591,680 13,239,008
Mid Cap Value Portfolio..................................... 50,013,662 40,839,068
</TABLE>
The Balanced, Large Cap Growth, Equity Index, Diversified Mid Cap, and Mid
Cap Growth Portfolios engaged in trading financial futures contracts. Each of
these Portfolios is 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 a Portfolio 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, a Portfolio recognizes a realized gain or loss. Realized gains and
losses have been computed on the specific identification method.
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.
80
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One Group Investment Trust
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED DECEMBER 31, 1999
5. FEDERAL TAX INFORMATION (UNAUDITED):
The accompanying table below details distributions from long-term capital
gains for the following Portfolios for the fiscal year ended December 31,
1999:
<TABLE>
<CAPTION>
AMOUNT
-----------
<S> <C>
Balanced Portfolio.......................................... $ 3,333,995
Large Cap Growth Portfolio.................................. 32,547,597
Equity Index Portfolio...................................... 475,696
Diversified Equity Portfolio................................ 5,235,960
Mid Cap Growth Portfolio.................................... 8,329,031
Diversified Mid Cap Portfolio............................... 1,442,906
</TABLE>
As of December 31, 1999, the Bond Portfolio, Government Bond Portfolio, and
the Mid Cap Value Portfolio had capital loss carryforwards in the amounts
$66,920, $718,741, and $9,555 respectively; which can be used to offset
future capital gains, if any, or, if unused, expire in the year 2007.
Capital losses incurred after October 31 within the Portfolio'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 year ended December 31, 2000:
<TABLE>
<CAPTION>
AMOUNT
-------
<S> <C>
Bond Portfolio.............................................. $14,163
Government Bond Portfolio................................... 35,535
Diversified Equity Portfolio................................ 10,062
Mid Cap Value Portfolio..................................... 89,167
</TABLE>
81
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Report of Independent Accountants
- --------------------------------------------------------------------------------
ONE GROUP INVESTMENT TRUST DECEMBER 31, 1999
To the Trustees and Shareholders of the
One Group Investment Trust:
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 Bond Portfolio (accounting
successor to the Pegasus Variable Bond Fund), the Government Bond Portfolio
(formerly the Government Bond Fund), the Balanced Portfolio (formerly the Asset
Allocation Fund), the Large Cap Growth Portfolio (formerly the Large Company
Growth Fund), the Equity Index Portfolio (formerly the Equity Index Fund), the
Diversified Equity Portfolio (accounting successor to the Pegasus Variable
Growth and Value Fund), the Mid Cap Growth Portfolio (formerly the Growth
Opportunities Fund), the Diversified Mid Cap Portfolio (accounting successor to
the Pegasus Variable Mid-Cap Opportunity Fund) and the Mid Cap Value Portfolio
(accounting successor to the Pegasus Variable Intrinsic Value Fund) (separate
portfolios constituting the One Group Investment Trust, hereafter referred to as
the "Trust") at December 31, 1999, the results 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 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 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 December
31, 1999 by correspondence with the custodian and brokers, provide a reasonable
basis for the opinion expressed above. The financial statements of the Bond
Portfolio, the Diversified Equity Portfolio, the Diversified Mid Cap Portfolio
and the Mid Cap Value Portfolio 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
February 24, 2000
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