<PAGE> 1
ONE GROUP(R)
INVESTMENT TRUST
SEMI-ANNUAL REPORT
FOR THE SIX MONTHS ENDED JUNE 30, 2000
MID CAP GROWTH PORTFOLIO
MID CAP VALUE PORTFOLIO
DIVERSIFIED MID CAP PORTFOLIO
LARGE CAP GROWTH PORTFOLIO
DIVERSIFIED EQUITY PORTFOLIO
EQUITY INDEX PORTFOLIO
BALANCED PORTFOLIO
BOND PORTFOLIO
GOVERNMENT BOND PORTFOLIO
<PAGE> 2
Table of Contents
--------------------------------------------------------------------------------
ONE GROUP INVESTMENT TRUST JUNE 30, 2000
Schedules of Portfolio Investments.......................................... 2
Statements of Assets and Liabilities......................................... 41
Statements of Operations..................................................... 43
Statements of Changes in Net Assets.......................................... 45
Financial Highlights......................................................... 48
Notes to Financial Statements................................................ 57
1
<PAGE> 3
One Group Investment Trust
Mid Cap Growth Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
----------- -------------------------------- ------------
<C> <S> <C>
COMMON STOCKS (96.6%):
Business Equipment & Services (16.2%):
39,930 Apollo Group, Inc., Class A
(b)........................... $ 1,118,040
16,870 Checkfree Holdings Corp. (b).... 869,859
80,180 Cintas Corp. ................... 2,941,603
60,550 Comdisco, Inc. ................. 1,351,022
62,050 Concord EFS, Inc. (b)........... 1,613,300
7,870 Convergys Corp. (b)............. 408,256
13,710 CSG Systems International, Inc.
(b)........................... 768,617
2,000 eBay, Inc. (b).................. 108,625
61,030 Fiserv, Inc. (b)................ 2,639,548
38,200 Galileo International, Inc. .... 797,425
5,500 Heidrick & Struggles
International, Inc. (b)....... 347,188
38,670 Herman Miller, Inc. ............ 1,000,586
37,860 Manpower, Inc. ................. 1,211,520
61,770 MarchFirst, Inc. (b)............ 1,127,303
61,980 Nova Corp. (b).................. 1,731,566
11,580 Nvidia Corp. (b)................ 736,054
9,040 Omnicom Group, Inc.............. 805,125
1,800 Oni Systems Corp. (b)........... 210,966
29,020 QLogic Corp. (b)................ 1,917,134
36,670 Reynolds & Reynolds Co. ........ 669,228
80,820 Robert Half International, Inc.
(b)........................... 2,303,370
39,300 Viad Corp. ..................... 1,070,925
41,540 Waters Corp. (b)................ 5,184,710
------------
30,931,970
------------
Capital Goods (1.1%):
30,870 American Standard Companies
(b)........................... 1,265,670
16,880 Fastenal Co. ................... 854,550
------------
2,120,220
------------
Consumer Durable (1.6%):
8,740 Harley-Davidson, Inc. .......... 336,490
21,760 SPX Corp. (b)................... 2,631,600
------------
2,968,090
------------
Consumer Non-Durable (3.4%):
45,680 Dial Corp. ..................... 473,930
64,438 Energizer Holdings, Inc. (b).... 1,175,999
37,900 Hormel Foods Corp. ............. 637,194
28,280 International Paper Co. ........ 843,098
16,940 Jones Apparel Group, Inc. (b)... 398,090
33,310 McCormick & Co., Inc. .......... 1,082,574
31,080 Nabisco Group Holdings Corp. ... 806,138
23,250 Ralston Purina Group............ 463,547
31,560 Sara Lee Corp. ................. 609,503
------------
6,490,073
------------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
----------- -------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Consumer Services (6.3%):
44,780 Hispanic Broadcasting Corp.
(b)........................... $ 1,483,338
18,760 International Speedway Corp. ... 776,195
46,740 Readers Digest Association,
Inc. ......................... 1,857,915
52,310 Univision Communications, Inc.
(b)........................... 5,414,084
71,940 Westwood One, Inc. (b).......... 2,454,953
------------
11,986,485
------------
Energy (1.1%):
51,450 Nabors Industries, Inc. (b)..... 2,138,391
------------
Financial Services (4.9%):
12,370 Cigna Corp. .................... 1,156,595
71,300 E*Trade Group, Inc. (b)......... 1,176,450
25,250 First Tennessee National
Corp. ........................ 418,203
26,750 Legg Mason, Inc. ............... 1,337,500
29,720 National Commerce Bancorp....... 477,378
10,200 PNC Financial Services Group,
Inc. ......................... 478,125
35,200 Southtrust Corp. ............... 796,400
38,800 TD Waterhouse Group (b)......... 671,725
34,600 Waddell & Reed Financial, Inc.,
Class A....................... 1,135,313
37,690 Zions Bancorp................... 1,729,617
------------
9,377,306
------------
Health Care (16.2%):
11,490 Beckman Coulter, Inc. .......... 670,729
52,860 Chiron Corp. (b)................ 2,510,850
33,780 Forest Laboratories, Inc., Class
A (b)......................... 3,411,780
15,800 Gilead Sciences, Inc. (b)....... 1,123,775
107,460 Health Management Associates,
Inc. (b)...................... 1,403,696
15,700 Idec Pharmaceuticals Corp.
(b)........................... 1,841,806
19,180 Incyte Genomics, Inc. (b)....... 1,576,356
67,060 Ivax Corp. (b).................. 2,782,990
15,560 MedImmune, Inc. (b)............. 1,151,440
35,990 Millennium Pharmaceuticals
(b)........................... 4,026,380
13,070 Minimed, Inc. (b)............... 1,542,260
29,320 Sepracor, Inc. (b).............. 3,536,725
81,230 Stryker Corp. .................. 3,553,813
45,090 Sybron International Corp.
(b)........................... 893,346
15,890 Watson Pharmaceutical, Inc.
(b)........................... 854,088
------------
30,880,034
------------
Multi-Industry (1.9%):
20,880 Nasdaq-100 Shares (b)........... 1,945,755
</TABLE>
Continued
2
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Mid Cap Growth Portfolio
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SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
----------- -------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Multi-Industry, continued:
20,080 S&P Mid-Cap 400 Depository
Receipt....................... $ 1,782,100
------------
3,727,855
------------
Raw Materials (0.9%):
5,500 Avery Dennison Corp. ........... 369,188
17,210 Praxair, Inc. .................. 644,299
19,440 Rohm & Haas Co. ................ 670,680
------------
1,684,167
------------
Retail (5.3%):
37,300 Abercrombie & Fitch (b)......... 454,594
32,920 BJ's Wholesale Club, Inc. (b)... 1,086,360
30,800 CDW Computer Center, Inc. (b)... 1,925,000
29,990 Dollar Tree Stores, Inc. (b).... 1,186,479
73,390 Family Dollar Stores, Inc. ..... 1,435,692
30,080 Hannaford Brothers Co. ......... 2,162,000
15,080 Kohl's Corp. (b)................ 838,825
13,600 Lands' End, Inc. (b)............ 453,900
28,730 Limited, Inc. .................. 621,286
------------
10,164,136
------------
Shelter (0.4%):
13,800 Sealed Air Corp. (b)............ 722,775
------------
Technology (33.6%):
29,340 Adtran, Inc. (b)................ 1,756,733
14,910 Antec Corp. (b)................. 619,697
2,340 Applied Materials, Inc. (b)..... 212,063
122,400 ATMEL Corp. (b)................. 4,513,499
700 Bookham Technology, P.L.C.
(b)........................... 41,475
3,410 Broadcom Corp., Class A (b)..... 746,790
27,170 Burr-Brown Corp. (b)............ 2,355,299
96,620 Cadence Design Systems, Inc.
(b)........................... 1,968,633
21,900 Commscope Inc. (b).............. 897,900
11,720 Comverse Technology, Inc. (b)... 1,089,960
44,800 Cypress Semiconductor Corp.
(b)........................... 1,892,800
30,890 Electronic Arts, Inc. (b)....... 2,253,039
9,830 General Dynamics Corp. ......... 513,618
35,810 Integrated Device Technology,
Inc. (b)...................... 2,144,124
44,170 Intuit, Inc. (b)................ 1,827,534
16,830 Investment Technology Group,
Inc. (b)...................... 664,785
90,670 Jabil Circuit, Inc. (b)......... 4,499,498
18,450 Lam Research Corp. (b).......... 691,875
21,340 Macromedia, Inc. (b)............ 2,063,311
24,520 Micrel, Inc. (b)................ 1,065,088
23,240 Microchip Technology, Inc.
(b)........................... 1,354,093
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
----------- -------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
13,280 Novellus Systems, Inc. (b)...... $ 751,150
3,830 PMC -- Sierra, Inc. (b)......... 680,543
8,000 Polycom, Inc. (b)............... 752,750
23,590 Powerwave Technologies, Inc.
(b)........................... 1,037,960
56,940 Rational Software Corp. (b)..... 5,291,860
5,770 Sanmina Corp. (b)............... 493,335
15,100 Sawtek, Inc. (b)................ 869,194
81,950 SCI Systems, Inc. (b)........... 3,211,416
13,600 Semtech Corp. (b)............... 1,040,188
700 Sonus Networks, Inc. (b)........ 110,513
900 StorageNetworks, Inc. (b)....... 81,225
44,610 Symantec Corp. (b).............. 2,406,152
83,380 Symbol Technologies, Inc. ...... 4,643,223
29,900 Synopsys, Inc. (b).............. 1,033,419
18,030 Titan Corp. (b)................. 806,843
17,150 Transwitch Corp. (b)............ 1,323,766
12,700 Triquint Semiconductor, Inc.
(b)........................... 1,215,231
58,470 Vitesse Semiconductor Corp.
(b)........................... 4,301,199
12,690 Xilinx, Inc. (b)................ 1,035,028
------------
64,256,809
------------
Utilities (3.7%):
93,480 Broadwing, Inc. (b)............. 2,424,638
56,580 Calpine Corp. (b)............... 3,720,134
17,990 El Paso Energy Corp. ........... 916,366
------------
7,061,138
------------
Total Common Stocks 184,509,449
------------
REPURCHASE AGREEMENTS (3.0%):
$ 5,792,000 State Street Bank, 6.45%,
7/3/00, (Collateralized by
$5,925,000 Fannie Mae, 6.35%,
6/22/01, market value
$5,910,188)................... 5,792,000
------------
Total Repurchase Agreements 5,792,000
------------
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING (12.7%):
Repurchase Agreements (12.7%):
24,318,853 Lehman Brothers, 7.18%, 7/3/00,
(Collateralized by $25,537,249
Galaxy Funding Commercial
Paper, 0.00%, 10/10/00, market
value $25,052,041.75)......... 24,318,853
------------
Total Short-Term Securities Held as
Collateral for Securities Lending 24,318,853
------------
Total (Cost $193,203,335) (a) $214,620,302
============
</TABLE>
Continued
3
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One Group Investment Trust
Mid Cap Growth Portfolio
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SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Unaudited)
------------
Percentages indicated are based on net assets of $191,177,072.
(a) Represents cost for federal income tax and financial reporting purposes and
differs from market value by unrealized appreciation (depreciation) of
securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 32,490,847
Unrealized depreciation...................... (11,073,880)
------------
Net unrealized appreciation (depreciation)... $ 21,416,967
============
</TABLE>
(b) Non-income producing securities.
See notes to financial statements.
4
<PAGE> 6
One Group Investment Trust
Mid Cap Value Portfolio
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SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
COMMON STOCKS (99.6%):
Business Equipment & Services (5.2%):
7,100 A.C. Nielson Corp. (b)............ $ 156,200
10,000 Acxiom Corp. (b).................. 279,375
5,900 Affiliated Computer Services, Inc.
(b)............................. 195,069
7,300 DST Systems, Inc. (b)............. 555,712
7,700 Jacobs Engineering Group, Inc.
(b)............................. 251,694
11,900 Modis Professional Services, Inc.
(b)............................. 105,612
7,800 Sensormatic Electronics Corp.
(b)............................. 123,338
17,000 Sungard Data Systems, Inc. (b).... 527,000
-----------
2,194,000
-----------
Capital Goods (4.9%):
6,100 Agco Corp. ....................... 74,725
11,800 Diebold, Inc. .................... 328,925
2,100 Dover Corp. ...................... 85,181
7,700 Harsco Corp. ..................... 196,350
8,800 Hubbell, Inc., Class B............ 224,400
4,400 Mark IV Industries, Inc. ......... 91,850
4,700 Martin Marietta Materials,
Inc. ........................... 190,056
3,900 Precision Castparts Corp. ........ 176,475
3,600 Southdown, Inc. .................. 207,900
4,200 Teleflex, Inc. ................... 155,663
7,400 USG Corp. ........................ 224,775
4,300 York International Corp. ......... 112,338
-----------
2,068,638
-----------
Consumer Durable (1.2%):
4,400 Borg-Warner Automotive, Inc. ..... 154,550
14,800 Federal Mogul Corp. .............. 141,525
9,500 Lear Corp. (b).................... 190,000
-----------
486,075
-----------
Consumer Non-Durable (5.1%):
2,800 Blyth Industries, Inc. ........... 82,600
3,400 Dean Foods Co. ................... 107,738
12,300 Dole Food Co., Inc. .............. 201,413
15,300 Flowers Industries, Inc. ......... 305,043
18,300 IBP, Inc. ........................ 282,506
4,100 Lancaster Colony Corp. ........... 78,669
9,200 Mohawk Industries, Inc. (b)....... 200,100
16,200 R.J. Reynolds Tobacco Holdings,
Inc. ........................... 452,587
2,800 Suiza Foods Corp. (b)............. 136,850
19,600 Tyson Foods, Inc., Class A........ 171,500
10,400 Whittman Corp. ................... 128,700
-----------
2,147,706
-----------
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Consumer Services (5.6%):
15,900 A.H. Belo Corp., Series A......... $ 275,269
3,218 Chris-Craft Industries, Inc.
(b)............................. 212,589
7,200 Harte-Hanks, Inc. ................ 180,000
3,400 Houghton Mifflin Co. ............. 158,738
4,800 International Game Technology
(b)............................. 127,200
9,500 Mandalay Resort Group (b)......... 190,000
36,300 Park Place Entertainment Corp.
(b)............................. 442,406
7,900 Premier Parks, Inc. (b)........... 179,725
1,000 Washington Post Co. .............. 477,999
3,100 Westwood One, Inc. (b)............ 105,788
-----------
2,349,714
-----------
Energy (11.6%):
9,600 BJ Services Co. (b)............... 599,999
750 Capstone Turbine Corp. (b)........ 33,797
13,600 Devon Energy Corp. ............... 764,149
16,700 Grant Prideco Inc. (b)............ 417,500
7,700 Murphy Oil Corp. ................. 457,669
4,500 Newfield Exploration Co. (b)...... 176,063
20,600 Noble Drilling Corp. (b).......... 848,462
5,600 Smith International, Inc. (b)..... 407,750
900 Tidewater, Inc. .................. 32,400
6,800 Tosco Corp. ...................... 192,525
4,200 Transocean Offshore Sedco Forex,
Inc. ........................... 224,438
9,800 Ultramar Diamond Shamrock
Corp. .......................... 243,163
12,700 Weatherford International, Inc.
(b)............................. 505,619
-----------
4,903,534
-----------
Financial Services (16.1%):
5,800 A.G. Edwards, Inc. ............... 226,200
4,800 Allmerica Financial Corp. ........ 251,400
10,400 AMBAC Financial Group, Inc. ...... 570,049
6,900 American Financial Group, Inc. ... 171,206
3,900 CCB Financial Corp. .............. 144,300
4,800 Charter One Financial, Inc. ...... 110,400
9,900 City National Corp. .............. 351,450
11,500 Compass Bancshares, Inc. ......... 196,219
10,700 Dime Bancorp, Inc. ............... 168,525
7,300 Everest Reinsurance Group,
Ltd. ........................... 239,988
13,500 Finova Group, Inc. ............... 175,500
15,300 First Security Corp. ............. 207,506
5,200 FirstMerit Corp. ................. 111,150
3,700 GATX Corp. ....................... 125,800
9,900 Greenpoint Financial Corp. ....... 185,625
29,800 Hibernia Corp., Class A........... 324,075
2,300 Legg Mason, Inc. ................. 115,000
8,000 Marshall & Ilsley Corp. .......... 332,000
9,800 Mercantile Bankshares Corp. ...... 292,163
</TABLE>
Continued
5
<PAGE> 7
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Mid Cap Value Portfolio
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SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Financial Services, continued:
16,000 North Fork Bancorp, Inc. ......... $ 242,000
5,400 Old Republic International
Corp. .......................... 89,100
14,400 Pacific Century Financial
Corp. .......................... 210,600
2,500 Paine Webber Group, Inc. ......... 113,750
7,900 PMI Group, Inc. .................. 375,249
1,400 Progressive Corp. ................ 103,600
2,300 Provident Financial Group,
Inc. ........................... 54,769
2,200 Radian Group, Inc. ............... 113,850
5,600 Reliastar Financial Corp. ........ 293,650
8,200 Southtrust Corp. ................. 185,525
18,400 Sovereign Bancorp, Inc. .......... 129,375
2,700 SunTrust Banks, Inc. ............. 123,356
2,500 TCF Financial Corp. .............. 64,219
5,400 Unitrin, Inc. .................... 167,738
2,200 Wilmington Trust Corp. ........... 94,050
2,100 XL Capital, Ltd., Class A......... 113,663
-----------
6,773,050
-----------
Health Care (7.3%):
4,200 Covance, Inc. (b)................. 37,013
5,300 Dentsply International, Inc. ..... 168,606
4,800 Edwards Lifescience International
(b)............................. 91,800
3,800 Express Scripts, Inc. (b)......... 236,075
16,200 Foundation Health Systems, Class A
(b)............................. 210,600
8,400 Genzyme Corp. (b)................. 499,274
8,300 ICN Pharmaceuticals, Inc. ........ 230,844
5,300 Lincare Holdings, Inc. (b)........ 130,513
11,600 Mylan Laboratories, Inc. ......... 211,700
8,000 Omnicare, Inc. ................... 72,500
2,400 Pacificare Health Systems, Inc.
(b)............................. 144,450
2,500 Quest Diagnostics, Inc. (b)....... 178,906
4,100 Steris Corp. (b).................. 36,388
8,000 Tenet Healthcare Corp. ........... 216,000
4,200 Trigon Healthcare, Inc. (b)....... 216,563
2,100 Universal Health Services, Inc.
(b)............................. 138,600
5,100 Watson Pharmaceuticals, Inc.
(b)............................. 274,124
-----------
3,093,956
-----------
Raw Materials (4.6%):
11,400 AK Steel Holding Corp. ........... 91,200
12,900 Cabot Corp. ...................... 351,524
23,100 Crompton Corp. ................... 282,975
4,200 Cytec Industries, Inc. (b)........ 103,688
4,000 Dexter Corp. ..................... 192,000
4,100 Ferro Corp. ...................... 86,100
4,500 IMC Global, Inc. ................. 58,500
14,600 Lubrizol Corp. ................... 306,600
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Raw Materials, continued:
4,700 Lyondell Chemical Co. ............ $ 78,725
1,900 Minerals Technologies, Inc. ...... 87,400
4,200 Olin Corp. ....................... 69,300
24,700 RPM, Inc. ........................ 250,088
-----------
1,958,100
-----------
Retail (4.3%):
4,800 Abercrombie & Fitch Co. (b)....... 58,500
6,000 Barnes & Noble, Inc. (b).......... 133,500
7,300 Borders Group, Inc. (b)........... 113,606
10,900 Brinker International, Inc. (b)... 318,824
5,100 Claire's Stores, Inc. ............ 98,175
8,100 Furniture Brands International,
Inc. (b)........................ 122,513
1,800 Hannaford Brothers Co. ........... 129,375
1,600 Kohl's Corp. (b).................. 89,000
8,100 Limited, Inc. .................... 175,163
5,000 Neiman-Marcus Group, Inc., Class A
(b)............................. 150,938
9,600 Outback Steakhouse, Inc. (b)...... 280,800
2,400 Payless Shoesource, Inc. (b)...... 125,250
-----------
1,795,644
-----------
Shelter (4.3%):
7,900 Bowater, Inc. .................... 348,587
5,000 Chesapeake Corp. ................. 148,125
17,500 Clayton Homes, Inc. .............. 140,000
6,600 Consolidated Papers, Inc. ........ 241,313
6,000 HON Industries, Inc. ............. 141,000
7,500 Pentair, Inc. .................... 266,250
3,200 Rayonier, Inc. ................... 114,800
16,200 Shaw Industry, Inc. .............. 202,500
10,900 Sonoco Products Co. .............. 224,131
-----------
1,826,706
-----------
Technology (5.3%):
9,200 Arrow Electronics, Inc. (b)....... 285,200
3,900 ATMEL Corp. (b)................... 143,813
2,400 Avnet, Inc. ...................... 142,200
10,900 Harris Corp. ..................... 356,974
4,200 L-3 Communications Holdings, Inc.
(b)............................. 239,663
4,500 Lam Research Corp. (b)............ 168,750
4,900 Litton Industries, Inc. (b)....... 205,800
3,600 SCI Systems, Inc. (b)............. 141,075
19,600 Storage Technology Corp. (b)...... 214,375
8,900 Vishay Intertechnology, Inc.
(b)............................. 337,644
-----------
2,235,494
-----------
</TABLE>
Continued
6
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Mid Cap Value Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Transportation (1.3%):
6,600 Alaska Air Group, Inc. (b)........ $ 179,025
6,400 Alexander & Baldwin, Inc. ........ 141,200
10,300 CNF Transportation, Inc. ......... 234,325
-----------
554,550
-----------
Utilities (22.8%):
16,000 Allegheny Energy, Inc. ........... 437,999
9,100 American Water Works, Inc. ....... 227,500
5,300 CMS Energy Corp. ................. 117,263
4,800 Coastal Corp. .................... 292,200
8,700 Conectiv, Inc. ................... 135,394
18,500 DPL, Inc. ........................ 405,844
7,100 DQE, Inc. ........................ 280,894
16,900 Dynegy, Inc. ..................... 1,154,480
17,600 Energy East Corp. ................ 335,500
8,200 Interstate Energy Corp. .......... 213,200
8,500 Ipalco Enterprises, Inc. ......... 171,063
4,900 Kansas City Power & Light Co. .... 110,250
10,100 Keyspan Corp. .................... 310,575
15,400 Kinder Morgan, Inc. .............. 532,262
12,500 LG&E Energy Corp. ................ 298,438
13,200 Montana Power Co. ................ 466,124
9,800 Niagara Mohawk Holdings, Inc.
(b)............................. 136,588
14,600 NiSource, Inc. ................... 271,925
19,300 Northeast Utilities............... 419,775
5,500 NSTAR............................. 223,781
7,300 OGE Energy Corp. ................. 135,050
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Utilities, continued:
4,000 Pinnacle West Capital Corp. ...... $ 135,500
9,200 Potomac Electric Power Co. ....... 230,000
6,300 Puget Sound Energy, Inc. ......... 134,269
21,500 Questar Corp. .................... 416,563
5,100 SCANA Corp. ...................... 123,038
11,800 Sierra Pacific Resources.......... 148,238
9,800 TECO Energy, Inc. ................ 196,613
7,300 Telephone & Data Systems, Inc. ... 731,824
12,200 UtiliCorp United, Inc. ........... 242,475
8,300 Williams Companies, Inc. ......... 346,006
8,900 Wisconsin Energy Corp. ........... 176,331
-----------
9,556,962
-----------
Total Common Stocks 41,944,129
-----------
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING (3.5%):
Repurchase Agreements (3.5%):
$1,463,832 Lehman Brothers, 7.18%,7/3/00,
(Collateralized by $1,537,171
Galaxy Funding Commercial Paper,
0.00%, 10/10/00, market value
$1,507,965.05).................. 1,463,832
-----------
Total Short-Term Securities Held as
Collateral for Securities Lending 1,463,832
-----------
Total (Cost $42,541,366) (a) $43,407,961
===========
</TABLE>
------------
Percentages indicated are based on net assets of $42,115,248.
(a) Represents cost for federal income tax and financial reporting purposes and
differs from value by net unrealized appreciation (depreciation) of
securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 4,351,142
Unrealized depreciation...................... (3,484,547)
-----------
Net unrealized appreciation (depreciation)... $ 866,595
===========
</TABLE>
(b) Non-income producing securities.
See notes to financial statements.
7
<PAGE> 9
One Group Investment Trust
Diversified Mid Cap Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
COMMON STOCKS (96.9%):
Business Equipment & Services (12.0%):
9,740 Ceridian Corp. (b)................ $ 234,369
5,040 Cintas Corp. ..................... 184,905
9,280 Concord EFS, Inc. (b)............. 241,280
6,200 DST Systems, Inc. (b)............. 471,975
5,350 Fiserv, Inc. (b).................. 231,389
5,370 Jacobs Engineering Group, Inc.
(b)............................. 175,531
6,710 Manpower, Inc. ................... 214,720
2,530 QLogic Corp. (b).................. 167,138
7,660 Reynolds & Reynolds Co., Class
A............................... 139,795
12,830 Sungard Data Systems, Inc. (b).... 397,730
8,030 Waters Corp. (b).................. 1,002,244
4,370 Young & Rubicam, Inc. ............ 249,909
-----------
3,710,985
-----------
Capital Goods (4.1%):
11,007 Crane Co. ........................ 267,608
4,530 Harsco Corp. ..................... 115,515
4,615 IDEXX Corp. ...................... 145,661
7,720 Littelfuse, Inc. (b).............. 378,280
1,760 Sanmina Corp. (b)................. 150,480
5,890 Teleflex, Inc. ................... 218,298
-----------
1,275,842
-----------
Commercial Services (3.5%):
5,110 A. H. Belo Corp. ................. 88,467
13,930 Charter Communications, Inc.
(b)............................. 228,974
3,900 Hispanic Broadcasting Corp. (b)... 129,188
1,510 New York Times Co. ............... 59,645
4,210 Reader's Digest Association,
Inc. ........................... 167,348
3,870 Univision Communications, Inc.
(b)............................. 400,544
-----------
1,074,166
-----------
Consumer Durable (3.3%):
8,030 Borg-Warner Automotive, Inc. ..... 282,054
9,860 Dana Corp. ....................... 208,909
2,890 SPX Corp. (b)..................... 349,509
14,830 Tower Automotive, Inc. (b)........ 185,375
-----------
1,025,847
-----------
Consumer Non-Durable (4.7%):
15,430 AptarGroup, Inc. ................. 416,609
11,390 Dole Food, Inc. .................. 159,460
16,740 IBP, Inc. ........................ 258,424
2,150 Liz Claiborne, Inc. .............. 75,788
8,760 McCormick & Co., Inc. ............ 284,700
20,540 Whitman Corp. .................... 254,183
-----------
1,449,164
-----------
Energy (8.9%):
4,320 Apache Corp. ..................... 254,070
4,740 BJ Services Co. (b)............... 296,250
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Energy, continued:
6,690 Devon Energy Corp. ............... $ 375,893
7,120 Grant Prideco, Inc. (b)........... 178,000
3,320 Murphy Oil Corp. ................. 197,333
8,560 Nabors Industries, Inc. (b)....... 355,775
5,760 Nobile Drilling Corp. (b)......... 237,240
2,320 Smith International, Inc. (b)..... 168,925
3,650 Tosco Corp. ...................... 103,341
5,350 Transocean Sedco Forex, Inc. ..... 285,891
7,120 Weatherford International, Inc.
(b)............................. 283,465
-----------
2,736,183
-----------
Financial Services (9.2%):
8,690 A.G. Edwards, Inc. ............... 338,910
9,562 Associated Banc Corp. ............ 208,571
21,630 Banknorth Group, Inc. ............ 331,209
3,990 City National Corp. .............. 141,645
7,880 Compass Bancshares, Inc. ......... 134,453
10,810 Everest Re Group Ltd. ............ 355,379
10,350 Finova Group, Inc. ............... 134,550
12,580 First Tennessee National Corp. ... 208,356
8,490 Heller Financial, Inc. ........... 174,045
7,140 Radian Group, Inc. ............... 369,494
110 Silicon Valley Bankshares (b)..... 4,689
9,120 TD Waterhouse Group, Inc. (b)..... 157,890
3,410 Transatlantic Holdings, Inc. ..... 285,588
-----------
2,844,779
-----------
Health Care (9.0%):
3,700 Forest Laboratories, Inc. (b)..... 373,699
1,400 Gilead Sciences, Inc. (b)......... 99,575
30,953 Health Management Association,
Inc., Class A (b)............... 404,323
3,810 ICN Pharmaceuticals, Inc. ........ 105,966
2,630 Incyte Genomics, Inc. (b)......... 216,153
5,710 Ivax Corp. (b).................... 236,965
3,000 MedImmune, Inc. (b)............... 222,000
940 Minimed, Inc. (b)................. 110,920
2,460 Sepracor, Inc. (b)................ 296,738
5,840 Sybron International Corp. (b).... 115,705
230 Tenet Healthcare Corp. (b)........ 6,210
4,500 Universal Health Services, Inc.,
Class B (b)..................... 297,000
5,590 Watson Pharmaceutical, Inc. (b)... 300,463
-----------
2,785,717
-----------
Raw Materials (2.1%):
13,010 Crompton Corp. ................... 159,373
4,060 Lubrizol Corp. ................... 85,260
</TABLE>
Continued
8
<PAGE> 10
One Group Investment Trust
Diversified Mid Cap Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Raw Materials, continued:
7,230 OM Group, Inc. ................... $ 318,120
9,800 RPM, Inc. ........................ 99,225
-----------
661,978
-----------
Retail (6.0%):
8,880 Barnes & Noble, Inc. (b).......... 197,580
3,970 BJ's Wholesale Club, Inc. (b)..... 131,010
4,140 Brinker International, Inc. (b)... 121,095
4,290 Dollar Tree Stores, Inc. (b)...... 169,723
9,820 Kohl's Corp. (b).................. 546,237
6,420 Kroger Co. (b).................... 141,641
12,300 Limited, Inc. .................... 265,988
4,370 Radioshack Corp. ................. 207,029
2,300 Zale Corp. (b).................... 83,950
-----------
1,864,253
-----------
Shelter (1.3%):
4,560 Bowater, Inc. .................... 201,210
11,700 Leggett & Platt, Inc. ............ 193,050
-----------
394,260
-----------
Technology (20.6%):
3,210 Altera Corp. (b).................. 327,219
350 American Power Conversion
Corp. (b)....................... 14,284
10,630 Ametek, Inc. ..................... 186,025
3,540 Analog Devices, Inc. (b).......... 269,040
4,300 Arrow Electronics, Inc. (b)....... 133,300
14,420 Atmel Corp. (b)................... 531,737
4,860 Cadence Design System, Inc. (b)... 99,023
4,000 Comverse Technology, Inc. (b)..... 372,000
3,020 Electronic Arts, Inc. (b)......... 220,271
640 Integrated Device Technology,
Inc. (b)........................ 38,320
8,320 Intuit, Inc. (b).................. 344,240
9,250 Jabil Circuit, Inc. (b)........... 459,031
740 Lam Research Corp. (b)............ 27,750
2,350 Lexmark International Group,
Inc. (b)........................ 158,038
3,710 Linear Technology Corp. .......... 237,208
3,470 Maxim Integrated Products, Inc.
(b)............................. 235,743
2,980 PE Corp-PE Biosystems Group....... 196,308
6,530 Rational Software Corp. (b)....... 606,881
8,280 SCI Systems, Inc. (b)............. 324,473
3,130 Symantec Corp. (b)................ 168,824
7,870 Symbol Technologies, Inc. ........ 438,261
3,630 Synopsys, Inc. (b)................ 125,462
2,650 Teradyne, Inc. (b)................ 194,775
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
4,400 Vishay Intertechnology, Inc.
(b)............................. $ 166,925
2,850 Vitesse Semiconductor Corp. (b)... 209,653
3,460 Xilinx, Inc. (b).................. 282,206
-----------
6,366,997
-----------
Transportation (0.3%):
3,030 Alaska Airgroup, Inc. (b)......... 82,189
-----------
Utilities (11.9%):
11,800 Allegheny Energy, Inc. ........... 323,025
5,570 Calpine Corp. (b)................. 366,228
6,740 Constellation Energy Group........ 219,471
5,260 Dynegy, Inc. ..................... 359,324
5,290 El Paso Energy Corp. ............. 269,459
10,400 Energy East Corp. ................ 198,250
4,630 Florida Progress Corp. ........... 217,031
5,510 Kinder Morgan, Inc. .............. 190,439
9,510 Montana Power Co. ................ 335,822
15,250 Northeast Utilities............... 331,688
3,810 Pinnacle West Capital Corp. ...... 129,064
5,800 Potomac Electric Power Co. ....... 145,000
4,010 Puget Sound Energy, Inc. ......... 85,463
2,761 Scana Corp. ...................... 66,609
8,194 Sierra Pacific Resources.......... 102,937
3,470 Telephone and Data Systems,
Inc. ........................... 347,868
-----------
3,687,678
-----------
Total Common Stocks 29,960,038
-----------
REPURCHASE AGREEMENTS (8.1%):
$2,497,000 State Street Bank, 6.45%, 7/3/00,
(Collateralized by $2,525,000
Fannie Mae, 5.94%, 9/4/01,
market value $2,547,094)........ 2,497,000
-----------
Total Repurchase Agreements 2,497,000
-----------
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING (3.0%):
Repurchase Agreements (3.0%):
913,596 Lehman Brothers, 7.18%, 7/3/00,
(Collateralized by $959,368
Galaxy Funding Commercial Paper,
0.00%, 10/10/00, market value
$941,139.99).................... 913,596
-----------
Total Short-Term Securities Held as Collateral
for
Securities Lending
913,596
-----------
Total (Cost $31,104,917) (a) $33,370,634
===========
</TABLE>
------------
Percentages indicated are based on net assets of $30,888,411.
Continued
9
<PAGE> 11
One Group Investment Trust
Diversified Mid Cap Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Unaudited)
------------
(a) Represents cost for federal income tax and financial reporting purposes and
differs from value by net unrealized appreciation (depreciation) of
securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 4,167,466
Unrealized depreciation...................... (1,901,749)
-----------
Net unrealized appreciation (depreciation)... $ 2,265,717
===========
</TABLE>
(b) Non-income producing securities.
See notes to financial statements.
10
<PAGE> 12
One Group Investment Trust
Large Cap Growth Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
----------- -------------------------------- ------------
<C> <S> <C>
COMMON STOCKS (93.6%):
Business Equipment & Services (4.2%):
85,270 America Online, Inc. (b)........ $ 4,497,992
43,670 Automatic Data Processing,
Inc. ......................... 2,339,074
39,860 eBay, Inc. (b).................. 2,164,896
133,620 eToys, Inc. (b)................. 847,652
6,180 Infospace, Inc. (b)............. 341,445
13,140 Inktomi Corp. (b)............... 1,553,805
44,180 Interpublic Group Co., Inc. .... 1,899,740
18,680 Waters Corp. (b)................ 2,331,498
9,320 Yahoo, Inc. (b)................. 1,111,993
------------
17,088,095
------------
Capital Goods (6.8%):
498,220 General Electric Co. ........... 26,405,660
22,400 Tyco International, Ltd. ....... 1,061,200
------------
27,466,860
------------
Consumer Durable (0.3%):
29,390 Harley-Davidson, Inc. .......... 1,131,515
------------
Consumer Non-Durable (3.9%):
26,470 Anheuser Busch Co., Inc. ....... 1,976,978
74,180 Coca-Cola Co. .................. 4,260,713
81,830 Gillette Co. ................... 2,858,935
57,800 PepsiCo, Inc. .................. 2,568,488
66,120 Philip Morris Co., Inc. ........ 1,756,313
19,070 Proctor & Gamble Co. ........... 1,091,758
77,270 Sara Lee Corp. ................. 1,492,277
------------
16,005,462
------------
Consumer Services (2.7%):
20,960 Clear Channel Communications,
Inc. (b)...................... 1,572,000
52,800 Comcast Corp., Class A (b)...... 2,138,400
31,430 Time Warner, Inc. .............. 2,388,680
68,200 Viacom, Inc. (b)................ 4,650,388
------------
10,749,468
------------
Financial Services (2.1%):
9,310 Capital One Financial Corp. .... 415,459
54,150 Charles Schwab Corp. ........... 1,820,794
5,950 Chase Manhattan Corp. .......... 274,072
34,390 Federal Home Loan Mortgage
Corp. ........................ 1,392,795
23,740 Firstar Corp. .................. 500,024
16,470 Merrill Lynch & Co., Inc. ...... 1,894,050
22,480 Providian Financial Corp. ...... 2,023,199
------------
8,320,393
------------
Health Care (14.2%):
65,780 Abbott Labs..................... 2,931,321
22,410 Allergan, Inc. ................. 1,669,545
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
----------- -------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Health Care, continued:
69,330 American Home Products Corp. ... $ 4,073,138
73,710 Amgen, Inc. (b)................. 5,178,128
16,170 Baxter International, Inc. ..... 1,136,953
78,620 Bristol Myers Squibb Co. ....... 4,579,615
30,680 Eli Lilly & Co. ................ 3,064,165
46,250 Guidant Corp. (b)............... 2,289,375
47,780 HCA-Healthcare Co. ............. 1,451,318
2,910 Human Genome Sciences, Inc.
(b)........................... 388,121
14,510 Johnson & Johnson............... 1,478,206
83,040 Medtronic, Inc. ................ 4,136,430
43,070 Merck & Co., Inc. .............. 3,300,239
327,595 Pfizer, Inc. ................... 15,724,559
12,720 Pharmacia Corp. ................ 657,465
87,770 Schering Plough Corp. .......... 4,432,385
12,100 Sepracor, Inc. (b).............. 1,459,563
------------
57,950,526
------------
Multi-Industry (2.7%):
13,820 Corning, Inc. .................. 3,729,673
48,500 S&P Depositary Receipt.......... 7,046,140
------------
10,775,813
------------
Raw Materials (0.2%):
9,200 Praxair, Inc. .................. 344,425
10,110 Rohm & Haas Co. ................ 348,795
------------
693,220
------------
Retail (5.8%):
49,930 Costco Wholesale Corp. (b)...... 1,647,690
33,730 CVS Corp. ...................... 1,349,200
68,250 Home Depot, Inc. ............... 3,408,234
42,800 Kohl's Corp. (b)................ 2,380,750
89,020 Kroger Co. (b).................. 1,964,004
8,910 McDonald's Corp. ............... 293,473
45,950 Safeway, Inc. (b)............... 2,073,494
121,800 Wal-Mart Stores, Inc. .......... 7,018,725
105,380 Walgreen Co. ................... 3,391,919
------------
23,527,489
------------
Shelter (0.8%):
10,880 International Paper Co. ........ 324,360
41,650 Kimberly Clark Corp. ........... 2,389,669
6,530 Sealed Air Corp. (b)............ 342,009
------------
3,056,038
------------
Technology (45.0%):
46,760 ADC Telecommunications, Inc.
(b)........................... 3,921,995
19,770 Adobe Systems, Inc. ............ 2,570,100
4,170 Adtran, Inc. (b)................ 249,679
12,095 Agilent Technologies, Inc.
(b)........................... 892,006
</TABLE>
Continued
11
<PAGE> 13
One Group Investment Trust
Large Cap Growth Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
----------- -------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
8,900 Altera Corp. (b)................ $ 907,244
55,160 Applied Materials, Inc. (b)..... 4,998,875
28,400 Atmel Corp. (b)................. 1,047,250
9,590 BMC Software, Inc. (b).......... 349,885
13,060 Broadcom Corp., Class A (b)..... 2,860,140
81,770 Cadence Design Systems, Inc.
(b)........................... 1,666,064
345,300 Cisco Systems, Inc. (b)......... 21,861,805
100 Citrix Systems, Inc (b)......... 1,894
27,390 Compaq Computer Corp. .......... 700,157
22,360 Comverse Technology, Inc. (b)... 2,079,480
163,140 Dell Computer Corp. (b)......... 8,044,841
133,230 EMC Corp. (b)................... 10,250,382
2,810 Foundry Networks, Inc. (b)...... 309,100
21,370 Hewlett Packard Co. ............ 2,668,579
174,150 Intel Corp. .................... 23,281,677
89,000 International Business
Machines...................... 9,751,063
10,170 JDS Uniphase Corp. (b).......... 1,219,129
5,260 Juniper Networks, Inc. (b)...... 765,659
28,360 KLA-Tencor Corp. (b)............ 1,660,833
28,500 Linear Technology Corp. ........ 1,822,219
137,750 Lucent Technologies, Inc. ...... 8,161,688
15,850 Maxim Integrated Products, Inc.
(b)........................... 1,076,809
16,350 Micron Technology, Inc. (b)..... 1,439,822
230,430 Microsoft Corp. (b)............. 18,434,399
18,350 Network Appliance, Inc. (b)..... 1,477,175
19,540 Nortel Networks Corp. .......... 1,333,605
106,190 Oracle Corp. (b)................ 8,926,597
140,000 Parametric Technology Corp.
(b)........................... 1,540,000
37,050 PE Corp-PE Biosystems Group..... 2,440,669
10,930 PMC -- Sierra, Inc. (b)......... 1,942,124
28,260 Qualcomm, Inc. (b).............. 1,695,600
24,410 Rational Software Corp. (b)..... 2,268,604
1,370 Redback Networks, Inc. (b)...... 243,860
3,260 SCI Systems, Inc. (b)........... 127,751
98,390 Sun Microsystems, Inc. (b)...... 8,947,341
3,950 Sycamore Networks, Inc. (b)..... 435,981
28,410 Symantec Corp. (b).............. 1,532,364
36,990 Symbol Technologies, Inc. ...... 2,059,881
49,720 Tellabs, Inc. (b)............... 3,402,713
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
----------- -------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
32,730 Teradyne, Inc. (b).............. $ 2,405,655
73,380 Texas Instruments, Inc. ........ 5,040,289
3,430 Tibco Software, Inc. (b)........ 367,814
11,130 Veritas Software Corp. (b)...... 1,176,998
28,200 Xilinx, Inc. (b)................ 2,300,063
------------
182,657,858
------------
Transportation (0.2%):
9,580 Kansas City Southern Industries,
Inc. ......................... 849,626
------------
Utilities (4.7%):
15,260 AES Corp. (b)................... 696,238
31,820 El Paso Energy Corp. ........... 1,620,831
19,910 Enron Corp. .................... 1,284,195
30,790 Mcleod USA, Inc. (b)............ 636,968
17,480 Metromedia Fiber Network, Inc.
(b)........................... 693,738
42,600 Nextel Communications, Inc.,
Class A (b)................... 2,606,587
13,480 Nextlink Communications, Inc.
(b)........................... 511,398
21,000 Qwest Communications
International (b)............. 1,043,438
27,200 Sprint Corp. (b)................ 1,618,400
19,980 U.S. West, Inc. ................ 1,713,285
17,400 Voicestream Wireless Corp.
(b)........................... 2,023,565
27,900 Williams Co., Inc. ............. 1,163,081
77,500 Worldcom, Inc. (b).............. 3,555,312
------------
19,167,036
------------
Total Common Stocks 379,439,399
------------
REPURCHASE AGREEMENTS (4.8%):
$19,555,000 State Street Bank, 6.45%,
7/3/00, (Collateralized by
$19,750,000 Fannie Mae, 6.10%,
9/14/01, market value
$19,947,500).................. 19,555,000
------------
Total Repurchase Agreements 19,555,000
------------
</TABLE>
Continued
12
<PAGE> 14
One Group Investment Trust
Large Cap Growth Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
----------- -------------------------------- ------------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING (1.6%):
Repurchase Agreements (1.6%):
6,350,363 Lehman Brothers, 7.18%, 7/3/00,
(Collateralized by $6,668,522
Galaxy Funding Commercial
Paper, 0.00%, 10/10/00, market
value $6,541,820.00).......... $ 6,350,363
------------
Total Short-Term Securities Held as
Collateral for Securities Lending 6,350,363
------------
Total (Cost $342,621,763) (a) $405,344,762
============
</TABLE>
------------
Percentages indicated are based on net assets of $402,349,040.
(a) Represents cost for federal income tax and financial reporting purposes and
differs from value by net unrealized appreciation (depreciation) of
securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 77,945,413
Unrealized depreciation...................... (15,222,414)
------------
Net unrealized appreciation (depreciation)... $ 62,722,999
============
</TABLE>
(b) Non-income producing securities.
See notes to financial statements.
13
<PAGE> 15
One Group Investment Trust
Diversified Equity Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
COMMON STOCKS (97.6%):
Business Equipment & Services (2.9%):
18,960 America Online, Inc. (b).......... $ 1,000,140
8,340 Automatic Data Processing,
Inc. ........................... 446,711
10,970 Electronic Data Systems Corp. .... 452,513
14,000 eToys, Inc. (b)................... 88,813
5,620 Waters Corp. (b).................. 701,446
-----------
2,689,623
-----------
Capital Goods (6.3%):
10,740 Crane Co. ........................ 261,116
5,710 Fastenal Co. ..................... 289,069
66,040 General Electric Co. ............. 3,500,119
6 Huttig Building Products, Inc.
(b)............................. 25
6,680 Johnson Controls, Inc. ........... 342,768
26,010 Tyco International Ltd. .......... 1,232,224
5,590 USG Corp. ........................ 169,796
-----------
5,795,117
-----------
Consumer Durable (2.2%):
8,940 Danaher Corp. .................... 441,971
3,950 Eaton Corp. ...................... 264,650
9,140 General Motors Corp. ............. 530,692
6,830 Lear Corp. (b).................... 136,600
3,450 SPX Corp. (b)..................... 417,234
4,120 Whirlpool Corp. .................. 192,095
-----------
1,983,242
-----------
Consumer Non-Durable (4.4%):
11,640 Coca-Cola Co. .................... 668,573
10,620 Energizer Holdings, Inc. (b)...... 193,815
17,330 Gillette Co. ..................... 605,467
10,630 Intimate Brands, Inc. ............ 209,943
9,530 Nabisco Group Holdings, Corp. .... 247,184
20,840 Philip Morris Co., Inc. .......... 553,563
12,200 Procter & Gamble Co. ............. 698,449
14,240 Ralston Purina Group Co. ......... 283,910
31,260 Sara Lee Corp. ................... 603,709
-----------
4,064,613
-----------
Consumer Services (4.0%):
10,470 Comcast Corp. (b)................. 424,035
16,920 Time Warner, Inc. ................ 1,285,920
20,897 Viacom, Inc., Class B (b)......... 1,424,914
14,760 Walt Disney Co. .................. 572,873
-----------
3,707,742
-----------
Energy (6.4%):
33,975 Exxon Mobil Corp. ................ 2,667,037
10,200 Halliburton Co. .................. 481,313
14,910 Occidental Petroleums Corp. ...... 314,042
12,370 Royal Dutch Petroleum Co. ........ 761,528
10,580 Texaco, Inc. ..................... 563,385
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Energy, continued:
8,990 Tosco Corp. ...................... $ 254,529
7,110 Transocean Sedco Forex, Inc. ..... 379,941
18,220 USX-Marathon Group................ 456,639
-----------
5,878,414
-----------
Financial Services (13.5%):
12,040 American Express Co. ............. 627,585
13,860 American International Group,
Inc. ........................... 1,628,549
10,740 Associates First Capital, Class
A............................... 239,636
21,910 Bank of America Corp. ............ 942,130
9,920 Charter One Financial, Inc. ...... 228,160
14,505 Chase Manhattan Corp. ............ 668,137
7,230 Cigna Corp. ...................... 676,005
34,250 Citigroup, Inc. .................. 2,063,562
15,040 Fannie Mae........................ 784,900
14,660 First Security Corp. ............. 198,826
21,870 FleetBoston Financial Corp. ...... 743,580
11,760 Hartford Financial Services
Group........................... 657,825
9,320 John Hancock Financial Services
(b)............................. 220,768
5,920 Marsh & McLennan Co. ............. 618,270
13,840 Morgan Stanley Dean Witter
Discover........................ 1,152,179
9,120 Pacific Century Financial
Corp. .......................... 133,380
10,570 SouthTrust Corp. ................. 239,146
5,870 SunTrust Banks, Inc. ............. 268,186
8,990 Wells Fargo Co. .................. 348,363
-----------
12,439,187
-----------
Health Care (10.9%):
18,290 Abbott Laboratories............... 815,048
15,450 American Home Products Corp. ..... 907,688
8,090 Amgen, Inc. (b)................... 568,323
7,690 Baxter International, Inc. ....... 540,703
20,470 Bristol Myers Squibb Co. ......... 1,192,378
5,200 Guidant Corp. (b)................. 257,400
4,810 Johnson & Johnson................. 490,019
6,030 MedImmune (b)..................... 446,220
17,870 Medtronic, Inc. .................. 890,149
8,550 Merck & Co., Inc. ................ 655,144
42,030 Pfizer, Inc. ..................... 2,017,439
13,530 Schering Plough Corp. ............ 683,265
19,450 Tenet Healthcare Corp. ........... 525,150
-----------
9,988,926
-----------
Multi-Industry (0.4%):
10,170 Honeywell International, Inc. .... 342,602
-----------
Raw Materials (2.1%):
18,940 Alcoa, Inc. ...................... 549,259
8,350 Cabot Corp. ...................... 227,538
</TABLE>
Continued
14
<PAGE> 16
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Diversified Equity Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Raw Materials, continued:
17,190 Crompton Corp. ................... $ 210,578
7,710 Cytec Industries, Inc. (b)........ 190,341
7,140 Du Pont (EI) de Nemours & Co. .... 312,375
16,450 RPM, Inc. ........................ 166,556
8,840 Sigma-Aldrich Corp. .............. 258,570
-----------
1,915,217
-----------
Retail (5.9%):
6,500 Applebee's International, Inc. ... 197,031
6,660 Brinker International, Inc. (b)... 194,805
8,220 Costco Wholesale Corp. (b)........ 271,260
16,890 CVS Corp. ........................ 675,600
3,400 Home Depot, Inc. ................. 169,788
16,000 Kohl's Corp. (b).................. 890,000
20,880 Kroger Co. (b).................... 460,665
18,240 Limited, Inc. .................... 394,440
11,590 Tricon Global Restaurants (b)..... 327,418
23,450 Wal-Mart Stores, Inc. ............ 1,351,306
15,500 Walgreen Co. ..................... 498,906
-----------
5,431,219
-----------
Shelter (1.6%):
10,780 Georgia-Pacific Corp. ............ 282,975
16,820 Kimberly Clark Corp. ............. 965,048
6,430 Pentair, Inc. .................... 228,265
-----------
1,476,288
-----------
Technology (28.5%):
10,370 ADC Telecommunications, Inc.
(b)............................. 869,784
12,570 Applied Materials, Inc. (b)....... 1,139,156
43,450 Cisco Systems, Inc. (b)........... 2,750,928
5,240 Comverse Technology, Inc. (b)..... 487,320
23,950 Dell Computer Corp. (b)........... 1,181,034
6,750 Digital Island, Inc. (b).......... 328,219
27,580 EMC Corp. (b)..................... 2,121,936
6,030 Hewlett Packard Co. .............. 752,996
23,410 Intel Corp. ...................... 3,129,624
9,370 International Business Machines... 1,026,601
6,860 Linear Technology Corp. .......... 438,611
23,200 Lucent Technologies, Inc. ........ 1,374,600
13,190 Maxim Integrated Products, Inc.
(b)............................. 896,096
36,470 Microsoft Corp. (b)............... 2,917,600
14,400 Motorola, Inc. ................... 418,500
27,970 Nortel Networks Corp. ............ 1,908,953
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
7,060 Oracle Corp. (b).................. $ 593,481
5,450 Rational Software Corp. (b)....... 506,509
13,450 SCI Systems, Inc. (b)............. 527,072
14,170 Sun Microsystems, Inc. (b)........ 1,288,584
6,620 Symantec Corp. (b)................ 357,066
9,260 Symbol Technologies, Inc. ........ 515,666
9,530 Xilinx, Inc. (b).................. 777,291
-----------
26,307,627
-----------
Transportation (0.8%):
4,700 Kansas City Southern Industries,
Inc. (b)........................ 416,831
4,870 United Parcel Service, Class B.... 287,330
-----------
704,161
-----------
Utilities (7.7%):
10,000 AT&T Corp. ....................... 316,250
9,210 CenturyTel, Inc. ................. 264,788
10,280 CMS Energy Corp. ................. 227,445
9,300 El Paso Energy Corp. ............. 473,719
21,150 Energy East Corp. ................ 403,172
8,350 Florida Power & Light Group,
Inc. ........................... 413,325
13,530 General Public Utilities, Inc. ... 366,156
8,230 Nextel Communications, Inc., Class
A (b)........................... 503,573
7,970 Pinnacle West Capital Corp. ...... 269,984
10,620 Qwest Communications International
(b)............................. 527,681
32,900 SBC Communications, Inc. ......... 1,422,924
11,900 Sprint Corp. ..................... 606,900
11,390 Williams Co., Inc. ............... 474,821
18,780 Worldcom, Inc. (b)................ 861,532
-----------
7,132,270
-----------
Total Common Stocks 89,856,248
-----------
REPURCHASE AGREEMENTS (7.1%):
$6,518,000 State Street Bank, 6.45%, 7/3/00,
(Collateralized by $6,585,000
Fannie Mae, 6.10%, 9/14/01,
market value $6,650,850)........ 6,518,000
-----------
Total Repurchase Agreements 6,518,000
-----------
</TABLE>
Continued
15
<PAGE> 17
One Group Investment Trust
Diversified Equity Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING (1.0%):
Repurchase Agreements (1.0%):
$ 884,924 Lehman Brothers, 7.18%, 7/3/00,
(Collateralized by $929,259
Galaxy Funding Commercial Paper,
0.00%, 10/10/00, market value
$911,603.56).................... $ 884,924
-----------
Total Short-Term Securities Held as
Collateral for Securities Lending 884,924
-----------
Total (Cost $86,881,735) (a) $97,259,172
===========
</TABLE>
------------
Percentages indicated are based on net assets of $92,053,601.
(a) Represents cost for federal income tax and financial reporting purposes and
differs from market value by unrealized appreciation (depreciation) of
securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation...................... $16,044,356
Unrealized depreciation...................... (5,666,919)
-----------
Net unrealized appreciation (depreciation)... $10,377,437
===========
</TABLE>
(b) Non-income producing securities.
See notes to financial statements.
16
<PAGE> 18
One Group Investment Trust
Equity Index Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
COMMERCIAL PAPER (2.1%):
Financial Services (2.1%):
$1,800,000 Morgan Stanley Dean Witter, 6.58%,
9/11/00......................... $ 1,777,032
-----------
Total Commercial Paper 1,777,032
-----------
COMMON STOCKS (95.1%):
Business Equipment & Services (3.0%):
1,200 Allied Waste Industries, Inc.
(b)............................. 12,000
14,600 America Online, Inc. (b).......... 770,150
4,000 Automatic Data Processing,
Inc. ........................... 214,250
900 Ceridian Corp. (b)................ 21,656
1,100 Computer Sciences Corp. (b)....... 82,156
1,000 Convergys Corp. (b)............... 51,875
500 Deluxe Corp. ..................... 11,781
1,000 Dun & Bradstreet Corp. ........... 28,625
3,000 Electronic Data System Corp. ..... 123,750
900 Equifax, Inc. .................... 23,625
2,600 First Data Corp. ................. 129,025
600 H & R Block, Inc. ................ 19,425
1,900 Interpublic Group of Companies,
Inc. ........................... 81,700
300 National Service Industries,
Inc. ........................... 5,850
2,000 Office Depot, Inc. (b)............ 12,500
1,100 Omnicom Group, Inc. .............. 97,969
2,375 Paychex, Inc. .................... 99,750
1,600 Pitney Bowes, Inc. ............... 64,000
800 R.R. Donnelley & Sons Co. ........ 18,050
400 Ryder Systems, Inc. .............. 7,575
778 Sabre Group Holdings, Inc. ....... 22,173
400 Sapient Corp. (b)................. 42,775
3,100 Staples, Inc. (b)................. 47,663
3,900 Waste Management, Inc. ........... 74,100
3,500 Yahoo, Inc. (b)................... 417,594
500 Young & Rubicam, Inc. ............ 28,594
-----------
2,508,611
-----------
Capital Goods (5.7%):
500 Black & Decker Corp. ............. 19,656
2,200 Caterpillar, Inc. ................ 74,525
600 Cooper Industries, Inc. .......... 19,538
350 Crane Corp. ...................... 8,509
300 Cummins Engine, Inc. ............. 8,175
1,500 Deere & Co. ...................... 55,500
1,300 Dover Corp. ...................... 52,731
2,700 Emerson Electric Co. ............. 163,013
500 Fluor Corp. ...................... 15,813
62,900 General Electric Co. ............. 3,333,699
1,900 Illinois Tool Works, Inc. ........ 108,300
1,000 Ingersoll Rand Co. ............... 40,250
500 Johnson Controls, Inc. ........... 25,656
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Capital Goods, continued:
1,275 Molex, Inc. ...................... $ 61,359
400 Navistar International Corp.
(b)............................. 12,425
400 Owens-Corning Fiberglass Corp. ... 3,700
500 Paccar, Inc. ..................... 19,844
700 Parker-Hannifin Corp. ............ 23,975
1,100 PPG Industries, Inc. ............. 48,744
800 Sanmina Corp. (b)................. 68,400
1,000 Sherwin-Williams Co. ............. 21,188
400 Snap-On, Inc. .................... 10,650
600 Stanley Works..................... 14,250
1,000 Thermo Electron Corp. (b)......... 21,063
400 Timken Co. ....................... 7,450
10,752 Tyco International Ltd. .......... 509,375
600 W.W. Grainger, Inc. .............. 18,488
-----------
4,766,276
-----------
Consumer Durable (1.1%):
900 Autozone, Inc. (b)................ 19,800
100 Briggs & Stratton Corp. .......... 3,425
500 Cooper Tire & Rubber Co. ......... 5,563
992 Dana Corp. ....................... 21,018
900 Danaher Corp. .................... 44,494
3,608 Delphi Automotive Systems
Corp. .......................... 52,542
500 Eaton Corp. ...................... 33,500
7,700 Ford Motor Co. ................... 331,099
3,400 General Motors Corp. ............. 197,412
1,100 Genuine Parts Co. ................ 22,000
1,000 Goodyear Tire & Rubber Co. ....... 20,000
1,900 Harley-Davidson, Inc. ............ 73,149
600 ITT Industries, Inc. ............. 18,225
500 Maytag Corp. ..................... 18,438
1,008 Visteon Corp. (b)................. 12,224
500 Whirlpool Corp. .................. 23,313
-----------
896,202
-----------
Consumer Non-Durable (5.7%):
400 Alberto Culver Co., Class B....... 12,225
400 American Greetings Corp., Class
A............................... 7,600
2,900 Anheuser Busch Co., Inc. ......... 216,594
3,795 Archer-Daniels-Midland Co. ....... 37,238
1,500 Avon Products, Inc. .............. 66,750
200 Ball Corp. ....................... 6,438
300 Bemis Co. ........................ 10,088
1,700 Bestfoods......................... 117,725
400 Brown-Forman Corp., Class B....... 21,500
2,700 Campbell Soup Co. ................ 78,638
1,500 Clorox Co. ....................... 67,219
15,700 Coca-Cola Co. .................... 901,768
2,700 Coca-Cola Enterprises, Inc. ...... 44,044
</TABLE>
Continued
17
<PAGE> 19
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Equity Index Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Consumer Non-Durable, continued:
3,700 Colgate Palmolive Co. ............ $ 221,537
3,100 ConAgra, Inc. .................... 59,094
200 Coors Adolph Co., Class B......... 12,100
800 Crown Cork & Seal, Inc. .......... 12,000
2,000 Eastman Kodak Co. ................ 119,000
1,300 Fort James Corp. ................. 30,063
1,000 Fortune Brands, Inc. ............. 23,063
1,900 General Mills, Inc. .............. 72,675
6,600 Gillette Co. ..................... 230,587
2,200 H.J. Heinz Co. ................... 96,250
900 Hershey Foods Corp. .............. 43,819
700 International Flavors &
Fragrances, Inc. ............... 21,131
2,600 Kellogg Co. ...................... 77,350
300 Liz Claiborne, Inc. .............. 10,575
2,100 Nabisco Group Holdings Corp. ..... 54,469
1,657 Newell Rubbermaid, Inc. .......... 42,668
1,700 Nike, Inc., Class B............... 67,681
1,100 Pactiv Corp. (b).................. 8,663
9,200 PepsiCo, Inc. .................... 408,824
14,500 Philip Morris Co., Inc. .......... 385,155
300 Polaroid Corp. ................... 5,419
8,300 Procter & Gamble Co. ............. 475,174
800 Quaker Oats Co. .................. 60,100
2,000 Ralston Purina Group.............. 39,875
400 Reebok International Ltd. (b)..... 6,375
200 Russell Corp. .................... 4,000
5,500 Sara Lee Corp. ................... 106,219
2,800 Seagram Co., Ltd. ................ 162,400
100 Springs Industries, Inc., Class
A............................... 3,219
800 SUPERVALU, Inc. .................. 15,250
2,100 Sysco Corp. ...................... 88,463
400 Tupperware Corp. ................. 8,800
3,671 Unilever NV....................... 157,853
1,000 UST, Inc. ........................ 14,688
700 V.F. Corp. ....................... 16,756
700 Wrigley (Wm.) Junior Co. ......... 56,131
-----------
4,805,253
-----------
Consumer Services (3.8%):
600 Brunswick Corp. .................. 9,938
3,800 Carnival Corp., Class A........... 74,100
4,600 Cendant Corp. (b)................. 64,400
2,200 Clear Channel Communications,
Inc. (b)........................ 165,000
5,700 Comcast Corp., Class A (b)........ 230,850
600 Dow Jones & Co., Inc. ............ 43,950
1,700 Gannett Co., Inc. ................ 101,681
500 Harcourt General, Inc. ........... 27,188
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Consumer Services, continued:
800 Harrah's Entertainment, Inc.
(b)............................. $ 16,750
1,100 Hasbro, Inc. ..................... 16,569
2,300 Hilton Hotels Corp. .............. 21,563
500 Knight-Ridder, Inc. .............. 26,594
1,500 Marriott International, Inc.,
Class A......................... 54,094
2,700 Mattel, Inc. ..................... 35,606
1,200 McGraw-Hill Co., Inc. ............ 64,800
3,500 Media One Group, Inc. (b)......... 232,098
300 Meredith Corp. ................... 10,125
1,100 New York Times Co., Class A....... 43,450
8,400 Time Warner, Inc. ................ 638,399
2,530 Tribune Co. ...................... 88,568
9,698 Viacom, Inc., Class B (b)......... 661,281
13,200 Walt Disney Co. .................. 512,325
-----------
3,139,329
-----------
Energy (5.1%):
600 Amerada Hess Corp. ............... 37,050
800 Anadarko Petroleum Corp. ......... 39,450
700 Apache Corp. ..................... 41,169
400 Ashland, Inc. .................... 14,025
2,070 Baker Hughes, Inc. ............... 66,240
1,400 Burlington Resources, Inc. ....... 53,550
4,100 Chevron Corp. .................... 347,731
3,944 Conoco, Inc., Class B............. 96,875
22,104 Exxon Mobil Corp. ................ 1,735,163
2,800 Halliburton Co. .................. 132,125
636 Kerr McGee Corp. ................. 37,484
400 McDermott International, Inc. .... 3,525
2,300 Occidental Petroleum Corp. ....... 48,444
1,600 Phillips Petroleum Co. ........... 81,100
600 Rowan Co., Inc. (b)............... 18,225
13,600 Royal Dutch Petroleum Co. ........ 837,250
3,600 Schlumberger Ltd. ................ 268,650
600 Sunoco, Inc. ..................... 17,663
3,500 Texaco, Inc. ..................... 186,375
900 Tosco Corp. ...................... 25,481
1,290 Transocean Offshore Sedco Forex,
Inc. ........................... 68,934
1,600 Union Pacific Resources Group,
Inc. ........................... 35,200
1,500 Unocal Corp. ..................... 49,688
2,000 USX-Marathon Group, Inc. ......... 50,125
-----------
4,291,522
-----------
Financial Services (12.0%):
1,700 AFLAC, Inc. ...................... 78,094
4,700 Allstate Corp. ................... 104,575
8,500 American Express Co. ............. 443,062
</TABLE>
Continued
18
<PAGE> 20
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Equity Index Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Financial Services, continued:
1,600 American General Corp. ........... $ 97,600
9,820 American International Group,
Inc. ........................... 1,153,849
2,500 AmSouth Bancorp................... 39,375
1,650 Aon Corp. ........................ 51,253
4,600 Associates First Capital Corp.,
Class A......................... 102,638
10,492 Bank of America Corp. ............ 451,155
4,700 Bank of New York Co., Inc. ....... 218,550
7,286 Bank One Corp. ................... 193,534
2,200 BB&T Corp. ....................... 52,525
725 Bear Stearns Co., Inc. ........... 30,178
1,200 Capital One Financial Corp. ...... 53,550
8,650 Charles Schwab Corp. ............. 290,856
1,300 Charter One Financial, Inc. ...... 29,900
7,900 Chase Manhattan Corp. ............ 363,894
1,100 Chubb Corp. ...................... 67,650
1,000 Cigna Corp. ...................... 93,500
1,000 Cincinnati Financial Corp. ....... 31,438
21,425 Citigroup, Inc. .................. 1,290,855
1,000 Comerica, Inc. ................... 44,875
2,091 Conseco, Inc. .................... 20,387
700 Countrywide Credit Industries,
Inc. ........................... 21,219
6,400 Fannie Mae........................ 334,000
2,000 Fifth Third Bancorp............... 126,500
6,200 First Union Corp. ................ 153,838
6,136 Firstar Corp. .................... 129,240
5,765 FleetBoston Financial Corp. ...... 196,010
1,500 Franklin Resources, Inc. ......... 45,563
4,400 Freddie Mac....................... 178,200
1,000 Golden West Financial Corp. ...... 40,813
1,400 Hartford Financial Services Group,
Inc. ........................... 78,313
3,006 Household International, Inc. .... 124,937
1,371 Huntington Bancshares, Inc. ...... 21,679
1,000 J.P. Morgan & Co., Inc. .......... 110,125
700 Jefferson Pilot Corp. ............ 39,506
2,800 Key Corp. ........................ 49,350
800 Lehman Brothers Holding, Inc. .... 75,650
1,200 Lincoln National Corp. ........... 43,350
600 Loews Corp. ...................... 36,000
1,750 Marsh & McLennan Co. ............. 182,766
600 MBIA, Inc. ....................... 28,913
5,050 MBNA Corp. ....................... 136,981
3,100 Mellon Financial Corp. ........... 112,956
2,500 Merrill Lynch & Co., Inc. ........ 287,500
700 MGIC Investment Corp. ............ 31,850
7,200 Morgan Stanley Dean Witter &
Co. ............................ 599,399
3,900 National City Corp. .............. 66,544
1,400 Northern Trust Corp. ............. 91,088
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Financial Services, continued:
900 Paine Webber Group, Inc. ......... $ 40,950
1,800 PNC Financial Services Group,
Inc. ........................... 84,375
500 Progressive Corp. ................ 37,000
950 Providian Financial Corp. ........ 85,500
1,400 Regions Financial Corp. .......... 27,825
800 SAFECO Corp. ..................... 15,900
1,000 SLM Holding Corp. ................ 37,438
1,100 Southtrust Corp. ................. 24,888
1,300 St. Paul Co., Inc. ............... 44,363
1,000 State Street Corp. ............... 106,063
1,100 Summit Bancorp.................... 27,088
1,900 SunTrust Banks, Inc. ............. 86,806
1,750 Synovus Financial Corp. .......... 30,844
720 T. Rowe Price Associates, Inc. ... 30,600
800 Torchmark Corp. .................. 19,750
4,800 U.S. Bancorp...................... 92,400
900 Union Planters Corp. ............. 25,144
1,492 UnumProvident Corp. .............. 29,933
1,300 Wachovia Corp. ................... 70,525
3,518 Washington Mutual, Inc. .......... 101,582
10,200 Wells Fargo & Co. ................ 395,249
-----------
10,059,806
-----------
Health Care (11.1%):
9,900 Abbott Laboratories............... 441,169
900 Aetna, Inc. ...................... 57,769
800 Allergan, Inc. ................... 59,600
700 Alza Corp. (b).................... 41,388
8,300 American Home Products Corp. ..... 487,624
6,500 Amgen, Inc. (b)................... 456,625
300 Bard C.R., Inc. .................. 14,438
300 Bausch & Lomb, Inc. .............. 23,213
1,800 Baxter International, Inc. ....... 126,563
1,600 Becton Dickinson & Co. ........... 45,900
900 Biogen, Inc. (b).................. 58,050
800 Biomet, Inc. ..................... 30,750
2,600 Boston Scientific Corp. (b)....... 57,038
12,500 Bristol Myers Squibb Co. ......... 728,124
1,750 Cardinal Health, Inc. ............ 129,500
7,200 Eli Lilly & Co. .................. 719,099
1,900 Guidant Corp. (b)................. 94,050
3,500 HCA Healthcare Corp. ............. 106,313
2,500 Healthsouth Corp. (b)............. 17,969
1,100 Humana, Inc. (b).................. 5,844
1,900 IMS Health, Inc. ................. 34,200
8,800 Johnson & Johnson................. 896,499
400 Mallinckrodt Group, Inc. ......... 17,375
700 Manor Care, Inc. (b).............. 4,900
1,822 McKesson HBOC, Inc. .............. 38,148
</TABLE>
Continued
19
<PAGE> 21
One Group Investment Trust
Equity Index Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Health Care, continued:
1,350 Medimmune, Inc. (b)............... $ 99,900
7,600 Medtronic, Inc. .................. 378,575
14,600 Merck & Co., Inc. ................ 1,118,724
300 Millipore Corp. .................. 22,613
38,250 Pfizer, Inc. ..................... 1,835,999
8,113 Pharmacia Corp. .................. 419,341
700 Quintiles Transnational Corp.
(b)............................. 9,888
9,300 Schering Plough Corp. ............ 469,650
500 St. Jude Medical Center, Inc.
(b)............................. 22,938
2,000 Tenet Healthcare Corp. (b)........ 54,000
1,000 UnitedHealth Group, Inc. ......... 85,750
600 Watson Pharmaceuticals, Inc.
(b)............................. 32,250
400 Wellpoint Health Networks, Inc.
(b)............................. 28,975
-----------
9,270,751
-----------
Multi-Industry (1.1%):
1,800 Corning, Inc. .................... 485,775
200 FMC Corp. (b)..................... 11,600
5,062 Honeywell International, Inc. .... 170,526
2,500 Minnesota Mining & Manufacturing
Co. ............................ 206,250
900 Textron, Inc. .................... 48,881
800 TRW, Inc. ........................ 34,700
-----------
957,732
-----------
Raw Materials (1.5%):
1,500 Air Products & Chemical, Inc. .... 46,219
1,400 Alcan Aluminum Ltd. .............. 43,400
5,536 Alcoa, Inc. ...................... 160,543
500 Allegheny Technologies, Inc. ..... 9,000
700 Avery Dennison Corp. ............. 46,988
700 B. F. Goodrich Co. ............... 23,844
2,500 Barrick Gold Corp. ............... 45,469
800 Bethlehem Steel Corp. (b)......... 2,850
4,300 Dow Chemical Co. ................. 129,805
6,611 E.I. du Pont de Nemours & Co. .... 289,230
500 Eastman Chemical Co. ............. 23,875
800 Ecolab, Inc. ..................... 31,250
800 Engelhard Corp. .................. 13,650
1,000 Freeport-McMoran Copper & Gold,
Inc., Class B (b)............... 9,250
300 Great Lakes Chemical Corp. ....... 9,450
700 Hercules, Inc. ................... 9,844
1,700 Homestake Mining Co. ............. 11,688
1,200 Inco Ltd. (b)..................... 18,450
1,100 Newmont Mining Corp. ............. 23,788
500 Nucor Corp. ...................... 16,594
800 Pall Corp. ....................... 14,800
470 Phelps Dodge Corp. ............... 17,478
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Raw Materials, continued:
2,100 Placer Dome, Inc. ................ $ 20,081
1,000 Praxair, Inc. .................... 37,438
1,410 Rohm & Haas Co. .................. 48,645
600 Sigma-Aldrich Corp. .............. 17,550
900 Union Carbide Corp. .............. 44,550
600 USX -- U.S. Steel Group, Inc. .... 11,138
600 Vulcan Materials Co. ............. 25,613
400 W.R. Grace & Co. (b).............. 4,850
500 Worthington Industries, Inc. ..... 5,250
-----------
1,212,580
-----------
Retail (5.7%):
2,741 Albertsons, Inc. ................. 91,138
920 Bed Bath & Beyond, Inc. (b)....... 33,350
1,300 Best Buy, Inc. (b)................ 82,225
1,300 Circuit City Stores, Inc. ........ 43,144
700 Consolidated Stores Co. (b)....... 9,056
2,800 Costco Wholesale Corp. (b)........ 92,400
2,500 CVS Corp. ........................ 100,000
800 Darden Restaurants, Inc. ......... 13,000
600 Dillard Department Stores, Inc.,
Class A......................... 7,350
2,082 Dollar General Corp. ............. 40,599
1,400 Federated Department Stores,
Inc. (b)........................ 47,250
5,400 Gap, Inc. ........................ 168,750
200 Great Atlantic & Pacific Tea,
Inc. ........................... 3,325
14,750 Home Depot, Inc. ................. 736,577
1,700 J.C. Penney, Inc. ................ 31,344
3,100 K-Mart, Inc. (b).................. 21,119
2,100 Kohl's Corp. (b).................. 116,813
5,300 Kroger Co. (b).................... 116,931
2,700 Limited, Inc. .................... 58,388
300 Longs Drug Stores, Inc. .......... 6,525
2,400 Lowe's Co. Inc. .................. 98,550
2,100 May Department Stores Co. ........ 50,400
8,500 McDonald's Corp. ................. 279,968
900 Nordstrom, Inc. .................. 21,713
1,200 Radioshack Corp. ................. 56,850
1,600 Rite Aid Corp. (b)................ 10,500
3,200 Safeway, Inc. (b)................. 144,400
2,200 Sears Roebuck & Co. .............. 71,775
1,200 Starbucks Corp. (b)............... 45,825
2,900 Target Corp. ..................... 168,200
500 Tiffany & Co. .................... 33,750
1,900 TJX Co., Inc. .................... 35,625
1,400 Toys R Us, Inc. (b)............... 20,388
900 Tricon Global Restaurants, Inc.
(b)............................. 25,425
28,300 Wal-Mart Stores, Inc. ............ 1,630,787
</TABLE>
Continued
20
<PAGE> 22
One Group Investment Trust
Equity Index Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Retail, continued:
6,400 Walgreen Co. ..................... $ 206,000
700 Wendy's International, Inc. ...... 12,469
900 Winn Dixie Stores, Inc. .......... 12,881
-----------
4,744,790
-----------
Shelter (0.7%):
300 Armstrong Holdings, Inc. ......... 4,594
400 Boise Cascade Corp. .............. 10,350
400 Centex Corp. ..................... 9,400
100 Drew Industries, Inc. (b)......... 788
1,100 Georgia Pacific Corp. ............ 28,875
3,472 International Paper Co. .......... 103,508
300 Kaufman & Broad Home Corp. ....... 5,944
3,500 Kimberly Clark Corp. ............. 200,812
1,275 Leggett & Platt, Inc. ............ 21,038
700 Louisiana Pacific Corp. .......... 7,613
2,900 Masco Corp. ...................... 52,380
700 Mead Corp. ....................... 17,675
900 Owens-Illinois, Inc. (b).......... 10,519
200 Potlatch Corp. ................... 6,625
300 Pulte Corp. ...................... 6,488
500 Sealed Air Corp. (b).............. 26,188
300 Temple Inland, Inc. .............. 12,600
600 Westvaco Corp. ................... 14,888
1,500 Weyerhaeuser Co. ................. 64,499
700 Williamette Industries, Inc. ..... 19,075
-----------
623,859
-----------
Technology (29.5%):
2,200 3Com Corp. (b).................... 126,775
700 Adaptec, Inc. (b)................. 15,925
1,900 ADC Telecommunications, Inc.
(b)............................. 159,363
800 Adobe Systems, Inc. .............. 104,000
1,000 Advanced Micro Devices, Inc.
(b)............................. 77,250
2,912 Agilent Technologies, Inc. (b).... 214,760
1,300 Altera Corp. (b).................. 132,519
1,200 American Power Conversion
Corp. (b)....................... 48,975
2,200 Analog Devices, Inc. (b).......... 167,200
500 Andrew Corp. (b).................. 16,781
2,000 Apple Computer, Inc. (b).......... 104,750
5,100 Applied Materials, Inc. (b)....... 462,188
400 Auto Desk, Inc. .................. 13,875
1,600 BMC Software, Inc. (b)............ 58,375
5,800 Boeing Co. ....................... 242,513
1,200 Cabletron Systems, Inc. (b)....... 30,300
44,200 Cisco Systems, Inc. (b)........... 2,798,412
1,200 Citrix System, Inc. (b)........... 22,725
10,794 Compaq Computer Corp. ............ 275,922
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
3,700 Computer Associates International,
Inc. ........................... $ 189,394
2,300 Compuware Corp. (b)............... 23,863
1,000 Comverse Technology, Inc. (b)..... 93,000
1,400 Conexant Systems, Inc. (b)........ 68,075
16,400 Dell Computer Corp. (b)........... 808,725
13,824 EMC Corp. (b)..................... 1,063,584
2,000 Gateway, Inc. (b)................. 113,500
1,300 General Dynamics Corp. ........... 67,925
5,620 Global Crossing Ltd. (b).......... 147,876
6,400 Hewlett Packard Co. .............. 799,200
21,300 Intel Corp. ...................... 2,847,543
11,300 International Business Machines
Corp. .......................... 1,238,056
1,200 KLA-Tencor Corp. (b).............. 70,275
800 Lexmark International Group,
Inc. (b)........................ 53,800
2,000 Linear Technology Corp. .......... 127,875
2,500 Lockheed Martin Corp. ............ 62,031
2,000 LSI Logic Corp. (b)............... 108,250
20,690 Lucent Technologies, Inc. ........ 1,225,883
1,800 Maxim Integrated Products, Inc.
(b)............................. 122,288
600 Mercury Interactive Corp. (b)..... 58,050
3,500 Micron Technology, Inc. (b)....... 308,219
33,500 Microsoft Corp. (b)............... 2,679,999
13,690 Motorola, Inc. ................... 397,866
1,100 National Semiconductor Corp.
(b)............................. 62,425
600 NCR Corp. (b)..................... 23,363
1,900 Network Appliance, Inc. (b)....... 152,950
18,840 Nortel Networks Corp. ............ 1,285,829
400 Northrop Grumman Corp. ........... 26,500
2,100 Novell, Inc. (b).................. 19,425
800 Novellus Systems, Inc. (b)........ 45,250
18,000 Oracle Corp. (b).................. 1,513,124
1,800 Parametric Technology Corp. (b)... 19,800
1,300 PE Corp. ......................... 85,638
1,800 Peoplesoft, Inc. (b).............. 30,150
300 Perkinelmer, Inc. ................ 19,838
4,700 Qualcomm, Inc. (b)................ 282,000
2,200 Raytheon Co., Class B............. 42,350
1,200 Rockwell International Corp. ..... 37,800
1,000 Scientific-Atlanta, Inc. ......... 74,500
1,400 Seagate Technology, Inc. (b)...... 77,000
1,300 Siebel Systems, Inc. (b).......... 212,631
3,800 Solectron Corp. (b)............... 159,125
10,100 Sun Microsystems, Inc. (b)........ 918,469
300 Tektronix, Inc. .................. 22,200
2,600 Tellabs, Inc. (b)................. 177,938
1,100 Teradyne, Inc. (b)................ 80,850
</TABLE>
Continued
21
<PAGE> 23
One Group Investment Trust
Equity Index Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
10,400 Texas Instruments, Inc. .......... $ 714,350
400 Thomas & Betts Corp. ............. 7,650
2,000 Unisys Corp. (b).................. 29,125
3,000 United Technologies Corp. ........ 176,625
2,500 Veritas Software Corp. (b)........ 264,375
4,200 Xerox Corp. ...................... 87,150
2,000 Xilinx, Inc. (b).................. 163,125
-----------
24,559,440
-----------
Transportation (0.5%):
1,000 AMR Corp. (b)..................... 26,438
2,700 Burlington Northern Santa Fe
Corp. .......................... 61,931
1,400 CSX Corp. ........................ 29,663
800 Delta Air Lines, Inc. ............ 40,450
1,800 FedEx Corp. (b)................... 68,399
700 Kansas City Southern Industries,
Inc. ........................... 62,081
2,400 Norfolk Southern Corp. ........... 35,700
3,125 Southwest Airlines Co. ........... 59,180
1,600 Union Pacific Corp. .............. 59,500
400 US Airways Group, Inc. (b)........ 15,600
-----------
458,942
-----------
Utilities (8.6%):
2,700 AES Corp. (b)..................... 123,188
2,000 Alltel Corp. ..................... 123,875
900 Ameren Corp. ..................... 30,375
2,020 American Electric Power Co.,
Inc. ........................... 59,843
23,863 AT&T Corp. ....................... 754,666
9,800 Bell Atlantic Corp. (b)........... 497,962
12,000 BellSouth Corp. .................. 511,499
850 Centurytel, Inc. ................. 24,438
1,000 Cinergy Corp. .................... 25,438
700 CMS Energy Corp. ................. 15,488
1,400 Coastal Corp. .................... 85,225
550 Columbia Gas System, Inc. ........ 36,094
1,300 Consolidated Edison, Inc. ........ 38,513
1,000 Constellation Energy Group,
Inc. ........................... 32,563
1,000 CP&L, Inc. ....................... 31,938
900 Detroit Edison Co. ............... 27,506
1,484 Dominion Resources, Inc. ......... 63,627
2,300 Duke Energy Corp. ................ 129,663
200 Eastern Enterprises............... 12,600
2,100 Edison International.............. 43,050
1,500 El Paso Energy Corp. ............. 76,406
4,700 Enron Corp. ...................... 303,150
1,500 Entergy Corp. .................... 40,781
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Utilities, continued:
1,500 First Energy Corp. ............... $ 35,063
1,100 Florida Power & Light Group,
Inc. ........................... 54,450
600 Florida Progress Corp. ........... 28,125
800 General Public Utilities Corp. ... 21,650
6,100 GTE Corp. ........................ 379,724
700 New Century Energies, Inc. ....... 21,000
4,800 Nextel Communications, Inc.,
Class A (b)..................... 293,700
1,100 Niagara Mohawk Holdings, Inc.
(b)............................. 15,331
300 NICOR, Inc. ...................... 9,788
1,000 Northern States Power Co. ........ 20,188
200 Oneok, Inc. ...................... 5,188
1,100 Peco Energy Corp. ................ 44,344
200 Peoples Energy Corp. ............. 6,475
2,500 PG&E Corp. ....................... 61,563
500 Pinnacle West Capital Corp. ...... 16,938
900 PPL Corp. ........................ 19,744
1,400 Public Service Enterprise Group... 48,475
1,900 Reliant Energy, Inc. ............. 56,169
21,648 SBC Communications, Inc. ......... 936,275
1,300 Sempra Energy..................... 22,100
4,100 Southern Co. ..................... 95,581
5,600 Sprint Corp. ..................... 285,600
5,800 Sprint Corp., PCS (b)............. 345,099
2,800 The Williams Companies, Inc. ..... 116,725
1,700 TXU Corp. ........................ 52,806
1,100 Unicom Corp. ..................... 42,556
3,205 US West, Inc. .................... 274,829
18,205 Worldcom, Inc. (b)................ 835,153
-----------
7,232,527
-----------
Total Common Stocks 79,527,620
-----------
U.S. TREASURY OBLIGATIONS (0.7%):
U.S. Treasury Bills (0.7%):
$ 415,000 7/20/00 (c)....................... 413,938
120,000 8/24/00 (c)....................... 119,043
15,000 9/21/00 (c)....................... 14,812
-----------
Total U.S. Treasury Obligations 547,793
-----------
REPURCHASE AGREEMENTS (2.3%):
1,963,000 State Street Bank, 6.45%, 7/3/00,
(Collateralized by $1,985,000
Fannie Mae, 5.94%, 9/4/01,
market value $2,002,369)........ 1,963,000
-----------
Total Repurchase Agreements 1,963,000
-----------
</TABLE>
Continued
22
<PAGE> 24
One Group Investment Trust
Equity Index Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING (2.5%):
Repurchase Agreements (2.5%):
$2,056,773 Lehman Brothers, 7.18%, 7/3/00,
(Collateralized by $2,159,819
Galaxy Funding Commercial Paper,
0.00%, 10/10/00, market value
$2,118,782.62).................. $ 2,056,773
-----------
Total Short-Term Securities Held as
Collateral for Securities Lending 2,056,773
-----------
Total (Cost $80,116,760) (a) $85,872,218
===========
</TABLE>
------------
Percentages indicated are based on net assets of $83,613,331.
(a) Represents cost for federal income tax and financial reporting purposes and
differs from value by net unrealized appreciation (depreciation) of
securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation...................... $12,701,049
Unrealized depreciation...................... (6,945,591)
-----------
Net unrealized appreciation (depreciation)... $ 5,755,458
===========
</TABLE>
(b) Non-income producing securities.
(c) Serves as collateral for futures contracts.
(d) The following is a schedule of futures position as of June 30, 2000:
<TABLE>
<CAPTION>
CURRENT
NUMBER OF OPENING MARKET
CONTRACTS CONTRACT TYPE POSITIONS VALUE
--------- ------------- ---------- ----------
<C> <S> <C> <C>
11 Long S&P 500, September 2000 Futures $4,104,683 $4,037,275
</TABLE>
See notes to financial statements.
23
<PAGE> 25
One Group Investment Trust
Balanced Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
----------- -------------------------------- ------------
<C> <S> <C>
ASSET BACKED SECURITIES (6.3%):
Banking, Finance & Insurance (6.3%):
$ 164,326 Advanta Equipment Receivables,
Series 98-1, Class A2, 5.82%,
12/15/06...................... $ 163,646
325,000 Advanta Mortgage Loan Trust,
Series 98-1, Class A4, 6.42%,
9/24/21....................... 317,780
145,000 Advanta Mortgage Loan Trust,
Series 97-4, Class A4, 6.66%,
3/25/22....................... 142,974
360,000 Advanta Mortgage Loan Trust,
Series 97-4, Class A5, 6.72%,
3/25/24....................... 352,849
54,014 Americredit Automobile
Receivables Trust, Series
99-A, Class A2, 5.38%,
4/12/02....................... 53,924
250,000 Americredit Automobile
Receivables Trust, Series
98-B, Class A4, 6.06%,
12/12/02...................... 247,749
300,000 Americredit Automobile
Receivables Trust, Series
00-A, Class A4, 7.29%,
12/12/06...................... 300,353
470,000 Americredit Automobile
Receivables Trust, Series
99-A, Class A4, 5.88%,
12/12/05...................... 459,577
18,546 Amresco Residential Securities
Mortgage Loan Trust, Series
97-2, Class A4, 6.93%,
3/25/23....................... 18,468
217,671 Arcadia Automobile Receivables
Trust, Series 97-D, Class A3,
6.20%, 5/15/03................ 216,738
150,000 Arcadia Automobile Receivables
Trust, Series 99-B, Class A4,
6.51%, 9/15/04................ 147,946
23,757 Case Equipment Loan Trust,
Series 97-A, Class A3, 6.45%,
3/15/04....................... 23,719
170,650 Case Equipment Loan Trust,
Series 98-A, Class A4, 5.83%,
2/15/05....................... 168,156
375,000 Chase Credit Card Master Trust,
Series 98-3, Class A, 6.00%,
8/15/05....................... 365,079
300,000 Chase Manhatten Rv Owner Trust,
Series 97-A, Class A7, 6.14%,
10/16/06...................... 297,374
250,000 Chemical Master Credit Card
Trust, Series 95-2, Class A,
6.23%, 6/15/03................ 249,666
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
----------- -------------------------------- ------------
<C> <S> <C>
ASSET BACKED SECURITIES, CONTINUED:
Banking, Finance & Insurance, continued:
$ 350,000 Circuit City Credit Card Master
Trust, Series 95-1, Class A,
6.38%, 8/15/05................ $ 349,851
39,265 Consumer Portfolio Services,
Series 97, Class 2A, 6.65%,
10/15/02...................... 39,150
500,000 Contimortgage Home Equity Loan
Trust, Series 98-1, Class A4,
6.28%, 1/15/13................ 494,707
155,000 Contimortgage Home Equity Loan
Trust, Series 98-1, Class A5,
6.43%, 4/15/16................ 152,126
16,712 Copelco Capital Funding Corp.,
Series 96-A, Class A, 6.34%,
7/20/04....................... 16,678
175,000 Discover Card Master Trust,
Series 99-2, Class A, 5.90%,
10/15/04...................... 171,399
375,000 EQCC Home Equity Loan Trust,
Series 99-2, Class A2F, 6.22%,
6/25/11....................... 368,923
210,000 EQCC Home Equity Loan Trust,
Series 97-3, Class A5, 6.45%,
9/15/12....................... 208,630
305,242 Fleetwood Credit Corp. Grantor
Trust, Series 97-B, Class A,
6.40%, 5/15/13................ 302,060
252,820 Ford Credit Auto Owner Trust,
Series 98-B, Class A3, 5.85%,
10/15/01...................... 252,387
276,746 Ford Credit Auto Owner Trust,
Series 99-C, Class A3, 5.77%,
11/15/01...................... 276,042
100,000 Green Tree Financial Corp.,
Series 96-2, Class A3, 6.90%,
4/15/27....................... 99,264
400,000 Green Tree Financial Corp.,
Series 97-7, Class A5, 6.54%,
7/15/29....................... 395,442
366,850 Green Tree Recreational,
Equipment, & Consumer Trust,
Series 98-A, Class A1C, 6.18%,
6/15/19....................... 359,559
249,545 Harley-Davidson Eaglemark
Motorcycle Trust, Series 98-1,
Class A2, 5.94%, 2/15/04...... 247,121
400,000 Nationsbank Auto Grantor Trust,
Series 96-1, Class A, 5.85%,
9/15/11....................... 400,034
</TABLE>
Continued
24
<PAGE> 26
One Group Investment Trust
Balanced Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
----------- -------------------------------- ------------
<C> <S> <C>
ASSET BACKED SECURITIES, CONTINUED:
Banking, Finance & Insurance, continued:
$ 366,105 Nationscredit Grantor Trust,
Series 96-1, Class A, 5.85%,
9/15/11....................... $ 355,852
1,530 Newcourt Receivables Asset
Trust, Series 96-2, Class A,
6.87%,
6/20/04....................... 1,525
4,568 Newcourt Receivables Asset
Trust, Series 96-3, Class A,
6.24%, 12/20/04............... 4,568
78,075 Oakwood Mortgage Investors,
Inc., Series 96-C, Class A3,
6.75%, 4/15/27................ 77,838
130,282 Oakwood Mortgage Investors,
Inc., Series 97-C, Class A2,
6.45%, 11/15/27............... 129,826
180,000 Olympic Automobile Receivables
Trust, Series 97-A, Class A5,
6.80%, 2/15/05................ 179,310
292,661 Onyx Acceptance Auto Trust,
Series 97-2, Class A, 6.35%,
10/15/03...................... 290,815
215,000 Onyx Acceptance Auto Trust,
Series 99-A, Class A2, 5.83%,
3/15/04....................... 210,742
500,000 Onyx Acceptance Auto Trust,
Series 98-A, Class CTFS,
5.99%, 1/15/05................ 488,677
350,000 Premier Auto Trust, Series 98-5,
Class A3, 5.07%, 7/8/02....... 345,816
189,617 Provident Bank Equipment Lease
Trust, Series 98-A, Class A3,
5.60%, 4/25/06................ 185,036
18,503 Prudential Home Mortgage, Series
92-27, Class A11, 6.00%,
10/25/07...................... 18,434
175,000 Sears Credit Account Master
Trust, Series 98-1, Class A,
5.80%,
8/15/05....................... 173,599
200,000 Sears Credit Account Master
Trust, Series 95-5, Class A,
6.05%,
1/15/08....................... 194,791
191,253 Sears Mortgage Funding Trust,
Series 98-1, Class D, 9.93%,
4/1/19........................ 196,755
160,000 Standard Credit Card Trust,
Series 93-2, Class A, 5.95%,
10/7/04....................... 154,492
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
----------- -------------------------------- ------------
<C> <S> <C>
ASSET BACKED SECURITIES, CONTINUED:
Banking, Finance & Insurance, continued:
$ 423,765 Student Loan Mortgage Trust,
Series 99-1, Class A1T, 6.67%,
4/25/08*...................... $ 423,144
119,611 The Money Store Home Equity
Trust, Series 96-C, Class A12,
7.25%, 7/15/13................ 119,376
56,069 The Money Store Home Equity
Trust, Series 96-B, Class A7,
7.55%, 2/15/20................ 55,966
25,099 The Money Store Home Equity
Trust, Series 94-C, Class A4,
7.80%, 10/15/21............... 25,105
95,000 The Money Store Home Equity
Trust, Series 97-D, Class AF7,
6.49%, 12/15/38............... 90,870
100,000 Toyota Auto Lease Trust, Series
98-B, Class A2, 5.45%,
3/25/03....................... 97,813
140,027 Union Acceptance Corp., Series
96-C, Class A2, 6.51%,
11/8/02....................... 139,835
242,504 Union Acceptance Corp., Series
97-B, Class A2, 6.70%,
6/8/03........................ 241,693
260,000 Union Acceptance Corp., Series
98-A, Class A4, 6.11%,
10/8/03....................... 257,690
170,000 Union Acceptance Corp., Series
99-A, Class A4, 5.70%,
6/8/04........................ 165,730
100,346 WFS Financial Owner Trust,
Series 98-B, Class A3, 5.95%,
7/20/01....................... 100,148
242,287 WFS Financial Owner Trust,
Series 99-A, Class A3, 5.55%,
2/20/03....................... 239,555
225,000 WFS Financial Owner Trust,
Series 99-B, Class A4, 6.42%,
7/20/04....................... 222,756
------------
Total Asset Backed Securities 12,847,128
------------
COMMON STOCKS (58.7%):
Business Equipment & Service (1.8%):
25,330 America Online, Inc. (b)........ 1,336,158
11,000 Automatic Data Processing,
Inc. ......................... 589,188
14,500 Electronic Data Systems
Corp. ........................ 598,125
18,500 eToys, Inc. (b)................. 117,357
</TABLE>
Continued
25
<PAGE> 27
One Group Investment Trust
Balanced Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
----------- -------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Business Equipment & Service, continued:
7,540 Waters Corp. (b)................ $ 941,086
------------
3,581,914
------------
Capital Goods (3.8%):
14,320 Crane Co. ...................... 348,155
7,670 Fastenal Co. ................... 388,294
87,970 General Electric Co. ........... 4,662,409
1 Huttig Building Products, Inc.
(b)........................... 4
8,730 Johnson Controls, Inc. ......... 447,958
34,580 Tyco International, Ltd. ....... 1,638,228
7,490 USG Corp. ...................... 227,509
------------
7,712,557
------------
Consumer Durable (1.1%):
11,920 Danaher Corp. .................. 589,295
12,090 General Motors Corp. ........... 701,975
9,100 Lear Corp. (b).................. 182,000
4,620 SPX Corp. (b)................... 558,731
5,500 Whirlpool Corp. ................ 256,438
------------
2,288,439
------------
Consumer Non-Durable (2.6%):
15,310 Coca-Cola Co. .................. 879,368
14,100 Energizer Holdings, Inc. (b).... 257,325
22,930 Gillette Co. ................... 801,117
14,220 Intimate Brands, Inc. .......... 280,845
12,700 Nabisco Group Holdings,
Corp. ........................ 329,406
27,700 Philip Morris Co., Inc. ........ 735,781
16,160 Proctor & Gamble Co. ........... 925,160
19,000 Ralston Purina Group............ 378,813
41,610 Sara Lee Corp. ................. 803,593
------------
5,391,408
------------
Consumer Services (2.4%):
14,030 Comcast Corp., Special Class A
(b)........................... 568,215
22,640 Time Warner, Inc. .............. 1,720,640
27,736 Viacom, Inc. (b)................ 1,891,249
19,700 Walt Disney Co. ................ 764,606
------------
4,944,710
------------
Energy (3.8%):
44,938 Exxon Mobil Corp. .............. 3,527,632
13,590 Halliburton Co. ................ 641,278
19,900 Occidental Petroleums Corp. .... 419,144
16,520 Royal Dutch Petroleum Co., NY
Shares........................ 1,017,013
14,150 Texaco, Inc. ................... 753,488
12,020 Tosco Corp. .................... 340,316
9,520 Transocan Sedco Forex, Inc. .... 508,725
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
----------- -------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Energy, continued:
24,420 USX-Marathon Group, Inc. ....... $ 612,026
------------
7,819,622
------------
Financial Services (8.2%):
16,040 American Express Co. ........... 836,085
18,432 American International Group,
Inc. ......................... 2,165,760
14,340 Associates First Capital Corp.,
Class A....................... 319,961
29,310 Bank of America Corp. (b)....... 1,260,330
13,369 Charter One Financial, Inc. .... 307,487
19,410 Chase Manhattan Corp. .......... 894,073
9,670 Cigna Corp. .................... 904,145
46,390 Citigroup, Inc. ................ 2,794,998
20,180 Fannie Mae...................... 1,053,144
20,800 First Security Corp. ........... 282,100
29,050 FleetBoston Financial Corp. .... 987,700
15,690 Hartford Financial Services
Group......................... 877,659
12,500 John Hancock Financial Services
(b)........................... 296,094
7,990 Marsh & McLennan Co. ........... 834,456
18,460 Morgan Stanley Dean Witter
Discover...................... 1,536,795
12,270 Pacific Century Financial
Corp. ........................ 179,449
14,130 SouthTrust Corp. ............... 319,691
7,900 SunTrust Banks, Inc. ........... 360,931
12,100 Wells Fargo Co. ................ 468,875
------------
16,679,733
------------
Health Care (6.5%):
24,380 Abbott Labs..................... 1,086,434
20,670 American Home Products Co. ..... 1,214,363
10,790 Amgen, Inc. (b)................. 757,998
10,210 Baxter International, Inc. ..... 717,891
27,520 Bristol Myers Squibb Co. ....... 1,603,039
6,920 Guidant Corp. (b)............... 342,540
6,450 Johnson & Johnson............... 657,094
8,020 MedImmune, Inc. (b)............. 593,480
23,890 Medtronic, Inc. ................ 1,190,021
11,370 Merck & Co., Inc. .............. 871,226
56,252 Pfizer, Inc. ................... 2,700,095
18,100 Schering Plough Corp. .......... 914,050
25,470 Tenet Healthcare Corp. ......... 687,690
------------
13,335,921
------------
Multi-Industry (0.2%):
13,500 Honeywell International,
Inc. ......................... 454,781
------------
Raw Materials (1.3%):
24,920 Alcoa, Inc. .................... 722,680
</TABLE>
Continued
26
<PAGE> 28
One Group Investment Trust
Balanced Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
----------- -------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Raw Materials, continued:
11,140 Cabot Corp. .................... $ 303,565
22,980 Crompton Corp. ................. 281,505
10,370 Cytec Industries, Inc. (b)...... 256,009
9,580 Du Pont (EI) de Nemours &
Co. .......................... 419,125
21,970 RPM, Inc. ...................... 222,446
11,850 Sigma-Aldrich Corp. ............ 346,613
------------
2,551,943
------------
Retail (3.7%):
8,700 Applebee's International,
Inc. ......................... 263,719
8,910 Brinker International, Inc.
(b)........................... 260,618
11,140 Costco Wholesale Corp. (b)...... 367,620
22,850 CVS Corp. ...................... 914,000
4,630 Home Depot, Inc. ............... 231,211
21,420 Kohl's Corp. (b)................ 1,191,487
28,340 Kroger Co. (b).................. 625,251
24,460 Limited, Inc. .................. 528,948
15,480 Tricon Global Restaurants, Inc.
(b)........................... 437,310
34,560 Wal-Mart Stores, Inc. .......... 1,991,519
21,060 Walgreen Co. ................... 677,869
------------
7,489,552
------------
Shelter (1.0%):
14,480 Georgia Pacific Corp. .......... 380,100
22,370 Kimberly Clark Corp. ........... 1,283,479
8,610 Pentair, Inc. .................. 305,655
------------
1,969,234
------------
Technology (17.2%):
13,900 ADC Telecommunications, Inc.
(b)........................... 1,165,863
16,860 Applied Materials, Inc. (b)..... 1,527,938
57,940 Cisco Systems, Inc. (b)......... 3,668,325
7,040 Comverse Technology, Inc. (b)... 654,720
31,990 Dell Computer Corp. (b)......... 1,577,507
8,900 Digital Island, Inc. (b)........ 432,763
36,900 EMC Corp. (b)................... 2,838,993
8,120 Hewlett Packard Co. ............ 1,013,985
31,340 Intel Corp. .................... 4,189,765
12,580 International Business Machines
Corp. ........................ 1,378,296
9,700 Linear Technology Corp. ........ 620,194
30,760 Lucent Technologies, Inc. ...... 1,822,530
17,620 Maxim Integrated Products, Inc.
(b)........................... 1,197,059
48,500 Microsoft Corp. (b)............. 3,879,999
19,200 Motorola, Inc. ................. 558,000
37,340 Nortel Networks Corp. .......... 2,548,455
9,380 Oracle Corp. (b)................ 788,506
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
----------- -------------------------------- ------------
<C> <S> <C>
COMMON STOCKS, CONTINUED:
Technology, continued:
7,200 Rational Software Corp. (b)..... $ 669,150
18,040 SCI Systems, Inc. (b)........... 706,943
19,010 Sun Microsystems, Inc. (b)...... 1,728,722
8,840 Symantec Corp. (b).............. 476,808
12,660 Symbol Technologies, Inc. ...... 705,004
12,720 Xilinx, Inc. (b)................ 1,037,475
------------
35,187,000
------------
Transportation (0.5%):
6,320 Kansas City Southern Industries,
Inc. ......................... 560,505
6,390 United Parcel Service, Inc.,
Class B....................... 377,010
------------
937,515
------------
Utilities (4.6%):
13,199 AT&T Corp. ..................... 417,418
12,335 Centurytel, Inc. ............... 354,631
13,790 CMS Energy Corp. ............... 305,104
12,490 El Paso Energy Corp. ........... 636,209
28,280 Energy East Corp. .............. 539,088
11,140 Florida Power & Light, Inc. .... 551,430
18,140 General Public Utilities
Corp. ........................ 490,914
10,900 Nextel Communications, Inc.,
Class A (b)................... 666,944
10,390 Pinnacle West Capital Corp. .... 351,961
14,220 Qwest Communications
International, Inc. (b)....... 706,556
44,060 SBC Communications, Inc. ....... 1,905,596
16,170 Sprint Corp. ................... 824,670
15,180 Williams Cos., Inc. ............ 632,816
22,470 Worldcom, Inc. (b).............. 1,030,811
------------
9,414,148
------------
Total Common Stocks 119,758,477
------------
CORPORATE BONDS (6.1%):
Capital Goods (0.1%):
$ 300,000 Tyco International Group, 6.25%,
6/15/03....................... 285,783
------------
Consumer Services (0.4%):
250,000 Hertz Corp., 6.00%, 1/15/03..... 241,403
495,000 Rental Car Finance, 6.45%,
8/25/05....................... 481,847
------------
723,250
------------
Energy (0.1%):
250,000 Occidental Petroleum Corp.,
9.25%, 8/1/19................. 272,848
------------
</TABLE>
Continued
27
<PAGE> 29
One Group Investment Trust
Balanced Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
----------- -------------------------------- ------------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Financial Services (3.0%):
$ 200,000 Associates Corp., 6.38%,
7/15/02....................... $ 196,401
300,000 Associates Corp., 5.75%,
10/15/03...................... 283,647
300,000 Associates Corp., 8.58%,
11/23/04...................... 308,285
500,000 Bank of America Corp., 9.20%,
5/15/03....................... 520,659
250,000 BCH Cayman Islands, 7.50%,
6/15/05....................... 247,426
300,000 Boatmans Bancshares, 6.75%,
3/15/03....................... 295,020
500,000 Caterpillar Financial Services
Corp., 6.40%, 4/16/01......... 496,682
250,000 Chrysler Financial Corp., 5.88%,
2/7/01........................ 248,244
230,000 Countrywide Funding Corp.,
6.28%, 1/15/03................ 222,459
451,000 First Hawaiian, Inc., 6.25%,
8/15/00....................... 450,448
200,000 Ford Capital, 9.38%, 5/15/01.... 203,360
250,000 General Motors Acceptance Corp.,
8.25%, 2/24/04................ 256,323
300,000 Goldman Sachs Group, Inc.,
7.20%, 3/1/07................. 285,582
250,000 Huntington National Bank, 6.75%,
6/15/03....................... 243,680
475,000 Inter-American Development Bank,
8.40%, 9/1/09................. 514,963
250,000 International Lease Finance
Corp., 5.88%, 1/15/01......... 248,261
333,000 McDonnell Douglas Financial
Corp., 6.45%, 12/5/02......... 325,695
350,000 Metropolitan Life Insurance Co.,
6.30%, 11/01/03............... 336,161
200,000 Morgan Stanley Dean Witter,
6.50%, 3/30/01................ 199,077
230,000 Society National Bank, 6.75%,
6/15/03....................... 224,420
------------
6,106,793
------------
Retail (0.4%):
250,000 Dayton Hudson Corp., 7.25%,
9/1/04........................ 249,709
250,000 JC Penney Co., 7.25%, 4/1/02.... 243,216
250,000 Sears Roebuck Acceptance, 7.13%,
5/2/03........................ 246,672
------------
739,597
------------
Technology (0.4%):
465,000 Lockheed Martin Corp., 6.75%,
3/15/03....................... 453,768
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
----------- -------------------------------- ------------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Technology, continued:
$ 395,000 Oracle Corp., 6.72%, 2/15/04.... 387,569
------------
841,337
------------
Transportation (0.1%):
250,000 JB Hunt Transportation Services,
6.25%, 9/1/03................. 240,134
------------
Utilities (1.6%):
250,000 AT&T Corp., 7.50%, 6/1/06....... 250,000
248,000 Columbia Gas System, 6.80%,
11/28/05...................... 239,318
900,000 Hydro Quebec, 6.52%, 2/23/06.... 861,041
130,000 National Rural Utilities, 7.30%,
9/15/06....................... 128,435
200,000 Southwestern Bell Telephone,
5.98%, 10/22/07............... 183,612
1,500,000 Tennessee Valley Authority,
5.00%, 12/18/03............... 1,404,742
250,000 Virginia Electric & Power,
6.63%, 4/1/03................. 245,123
------------
3,312,271
------------
Total Corporate Bonds 12,522,013
------------
U.S. GOVERNMENT AGENCY (2.8%):
Federal Home Loan Bank (2.8%):
250,000 5.57%, 8/14/00.................. 249,652
250,000 4.98%, 9/15/00.................. 249,133
400,000 4.95%, 9/18/00.................. 398,503
1,000,000 5.51%, 12/29/03................. 952,368
1,750,000 5.88%, 11/25/08................. 1,590,787
2,000,000 5.61%, 2/11/09.................. 1,802,333
415,000 5.89%, 3/30/09.................. 380,929
------------
Total U.S. Government Agency 5,623,705
------------
U.S. GOVERNMENT AGENCY MORTGAGES (16.5%):
Fannie Mae (7.4%):
212,038 7.00%, 7/25/01, Series 94-75,
Class OB...................... 211,240
200,000 7.55%, 4/22/02.................. 202,202
194,659 6.50%, 9/1/02, Pool #250357..... 191,713
585,500 7.24%, 10/1/03, Pool #73712..... 580,240
80,635 9.00%, 11/1/06, Pool #124017.... 83,200
348,369 6.94%, 12/1/06, Pool #73798..... 341,322
100,000 6.00%, 8/25/07, Series 92-151,
Class H....................... 96,220
267,995 6.85%, 10/1/07, Pool #375435.... 261,171
299,588 6.53%, 12/1/07, Pool #375568.... 286,991
175,000 6.00%, 6/25/08, Series 99-19,
Class PB...................... 172,845
167,003 8.00%, 9/1/08, Pool #190586..... 168,627
</TABLE>
Continued
28
<PAGE> 30
One Group Investment Trust
Balanced Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
----------- -------------------------------- ------------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
$ 200,000 8.30%, 10/25/08, Series 93-197,
Class SC, IF*................. $ 199,255
539,909 7.50%, 8/1/09, Pool #292020..... 540,207
114,017 6.50%, 4/17/12, Series 95-24,
Class C....................... 113,682
424,251 6.50%, 4/1/13, Pool #414513..... 410,176
287,930 7.00%, 6/1/13, Pool #427488..... 282,802
200,000 6.65%, 6/25/13, Series 93-140,
Class J....................... 191,407
416,044 6.00%, 8/1/13, Pool #251899..... 394,110
421,141 6.00%, 11/1/13, Pool #323458.... 398,938
912,508 8.00%, 5/1/17, Pool #50000...... 921,457
188,527 9.00%, 11/1/17, Pool #359455.... 195,128
45,864 7.00%, 10/25/18, Series 93-25,
Class D....................... 45,700
544,035 8.50%, 11/1/18, Pool #313280.... 557,002
163,215 10.45%, 4/25/19, Series 89-21,
Class G....................... 173,834
514,690 8.00%, 7/25/19, Series 89-37,
Class G....................... 518,851
119,971 8.75%, 11/25/19, Series 89-86,
Class E....................... 123,248
275,719 6.50%, 3/25/20, Series 90-30,
Class E....................... 263,820
282,169 6.50%, 9/25/20, Series 90-105,
Class J....................... 269,525
101,947 7.50%, 1/25/21, Series G92-41
Class K....................... 101,871
300,533 8.00%, 3/25/21, Series 92-132,
Class PL...................... 302,924
226,000 6.75%, 5/25/21, Series 93-26,
Class JA...................... 219,228
201,004 7.00%, 8/18/21, Series 97-19,
Class A....................... 200,520
165,332 8.75%, 9/25/21, Series 91-129,
Class G....................... 169,907
110,000 5.00%, 10/25/21, Series 93-19,
Class M....................... 103,765
234,000 5.00%, 12/25/21, Series G93-16,
Class J....................... 196,646
347,000 4.00%, 1/25/22, Series G93-2 ,
Class JB...................... 302,916
400,000 5.00%, 8/25/22, Series 93-38,
Class L....................... 334,928
180,157 6.50%, 10/25/22, Series 95-23,
Class M....................... 179,207
300,000 6.50%, 4/25/03, Series 93-225,
Class UD...................... 290,710
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
----------- -------------------------------- ------------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
$ 299,621 7.13%, 5/18/23, Series 97-11,
Class R....................... $ 298,798
100,070 0.00%, 5/25/23, Series 93-92,
Class E, PO................... 73,647
194,439 6.50%, 8/25/23, Series 93-183,
Class OA...................... 180,712
289,000 6.50%, 12/25/23, Series 93-225,
Class D....................... 275,513
195,000 6.50%, 12/25/23, Series 93-225,
Class UB...................... 186,942
250,000 5.00%, 12/25/23, Series 94-22,
Class C....................... 229,199
169,429 6.40%, 1/18/24, Series 97-63,
Class E....................... 164,991
253,000 7.50%, 2/25/24, Series 94-81,
Class LL...................... 247,337
61,187 7.00%, 8/1/25, Pool # 270725.... 59,197
137,239 10.00%, 6/17/27, Series 97-49,
Class B....................... 147,781
91,183 7.50%, 10/1/27, Pool #402032.... 90,112
921,867 6.00%, 6/1/28, Pool #428970..... 845,222
716,236 6.50%, 8/1/28, Pool #433526..... 676,753
989,410 6.50%, 8/1/29 , Pool #323862.... 933,507
------------
15,007,246
------------
Freddie Mac (6.0%):
180,834 9.50%, 1/15/05, Series 24, Class
B............................. 183,043
23,862 6.25%, 1/15/06, Series 1519,
Class E....................... 23,815
881,563 6.50%, 8/15/06, Series 1513,
Class K....................... 877,654
387,000 5.50%, 1/15/07, Series 1554,
Class FA...................... 380,338
151,788 8.00%, 10/1/10, Gold Pool
#G10518....................... 153,419
359,492 6.50%, 3/1/13, Gold Pool
#E69466....................... 347,752
395,343 6.00%, 3/1/13, Gold Pool
#E69409....................... 375,081
351,381 7.00%, 6/1/13, Gold Pool
#E00554....................... 345,343
387,538 6.50%, 6/1/13, Gold Pool
#E00552....................... 374,266
207,742 8.00%, 4/1/17, Pool #290302..... 208,576
391,147 6.65%, 9/25/17, Series 93-30,
Class PG...................... 388,924
212,391 6.00%, 1/15/19, Series 2120,
Class E....................... 192,573
351,645 6.50%, 9/25/19, Series 8, Class
G............................. 350,117
520,910 6.85 %, 12/15/19, Series 1466,
Class PH...................... 519,517
4,455 6.50%, 8/15/20, Series 1822,
Class D....................... 4,422
</TABLE>
Continued
29
<PAGE> 31
One Group Investment Trust
Balanced Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
----------- -------------------------------- ------------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
$ 164,015 8.60%, 1/15/21, Series 85, Class
C............................. $ 166,780
251,372 7.00%, 2/15/21, Series 115,
Class I....................... 246,818
225,369 6.50%, 4/15/21, Series 1062,
Class H....................... 215,837
197,000 6.50%, 5/15/21, Series 1683,
Class D....................... 185,876
323,717 8.00%, 7/15/21, Series 1120,
Class L....................... 326,331
183,025 6.50%, 7/15/21, Series 168,
Class G....................... 175,117
178,146 5.50%, 8/15/21, Series 1116,
Class I....................... 166,935
110,000 6.75%, 9/25/21, Series 10, Class
G............................. 107,681
192,059 6.85%, 10/15/21, Series 80,
Class C....................... 191,551
644,000 6.50%, 11/15/21, Series 1541,
Class GA...................... 623,316
159,213 7.40%, 12/15/21, Series 1201,
Class E....................... 159,131
115,000 6.50%, 2/15/22, Series 1240,
Class M....................... 107,430
286,250 7.00%, 7/15/22, Series 1384,
Class C....................... 280,573
148,000 6.00%, 2/15/23, Series 1627,
Class E....................... 137,913
65,891 7.50%, 3/15/23, Series 1856,
Class B....................... 65,993
326,000 6.85%, 6/25/23, Series 13, Class
LL............................ 302,070
170,000 8.50%, 9/15/04, Series 1753,
Class D....................... 175,214
489,850 9.50%, 5/20/25, Series 2001,
Class AC...................... 505,762
311,637 8.00%, 9/1/26, Gold Pool
#C00476....................... 314,006
220,468 7.50%, 7/1/27, Gold Pool
#D81027....................... 218,073
315,682 7.00%, 10/1/27, Gold Pool
#D83256....................... 305,599
255,917 8.50%, 7/1/28, Gold Pool
#G00981....................... 261,747
976,909 6.00%, 8/1/28, Gold Pool
#C13638....................... 895,853
309,776 6.50%, 11/15/28, Series 2095,
Class G....................... 270,935
165,000 7.00%, 8/15/29, Series 2178,
Class PB...................... 156,855
</TABLE>
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
----------- -------------------------------- ------------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
$ 996,962 7.50%, 1/1/30, Gold Pool
#C35358....................... $ 984,559
------------
12,272,795
------------
Government National Mortgage Assoc. (3.1%):
67,963 8.50%, 12/15/05, Pool #7500..... 69,499
768,659 7.00%, 7/15/08, Pool #348872.... 764,083
119,343 7.00%, 12/15/11, Pool #412559... 118,445
440,313 6.50%, 10/1/13, Pool #468228.... 429,722
62,954 8.00%, 11/15/16, Pool #199829... 64,140
147,746 8.00%, 11/15/16, Pool #181122... 150,527
156,802 8.00%, 11/15/16, Pool #196714... 159,754
714,839 8.50%, 12/15/22, Pool #780708... 736,969
315,232 8.00%, 11/15/24, Pool #780028... 320,066
125,000 6.50%, 3/20/25, Series 98-6,
Class C....................... 113,404
220,350 8.00%, 6/20/25, Series 95-4,
Class CQ...................... 221,344
111,196 7.50%, 5/15/26, Pool #398663.... 110,639
121,388 8.00%, 6/20/26, Pool #2334...... 122,289
260,000 6.38%, 11/20/26, Series 98-14,
Class PG...................... 239,407
215,326 7.50%, 1/20/27, Pool #2360...... 212,905
298,314 8.00%, 5/20/27, Pool #2433...... 300,262
256,093 8.00%, 9/15/27, Pool #451932.... 259,379
432,866 6.50%, 3/15/28, Pool #430634.... 411,026
286,670 7.00%, 4/15/28, Pool #473915.... 278,971
415,078 7.50%, 5/15/28, Pool #465069.... 412,717
410,136 7.00%, 6/15/28, Pool #477123.... 399,121
466,086 6.00%, 10/20/28, Pool #2657..... 427,349
------------
6,322,018
------------
Total U.S. Government Agency Mortgages 33,602,059
------------
U.S. TREASURY OBLIGATIONS (6.5%):
U.S. Treasury Bonds (4.0%):
6,750,000 10.38%, 11/15/12................ 8,308,832
------------
U.S. Treasury Notes (1.9%):
3,000,000 12.75%, 11/15/10................ 3,844,689
------------
U.S. Treasury STRIPS (0.6%):
3,000,000 2/15/15......................... 1,209,813
------------
Total U.S. Treasury Obligations 13,363,334
------------
REPURCHASE AGREEMENTS (6.3%):
12,936,000 State Street Bank, 6.45%,
7/3/00, (Collateralized by
$13,065,000 Fannie Mae, 6.10%,
9/4/01, market value
$13,195,650).................. 12,936,000
------------
Total Repurchase Agreements 12,936,000
------------
</TABLE>
Continued
30
<PAGE> 32
One Group Investment Trust
Balanced Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
SHARES
OR
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
----------- -------------------------------- ------------
<C> <S> <C>
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING (1.0%):
Repurchase Agreements (1.0%):
$ 1,969,082 Lehman Brothers, 7.18%, 7/3/00,
(Collateralized by $2,067,735
Galaxy Funding Commercial
Paper, 0.00%, 10/10/00, market
value $2,028,447.82).......... $ 1,969,082
------------
Total Short-Term Securities Held as
Collateral for Securities Lending 1,969,082
------------
Total (Cost $194,191,085) (a) $212,621,798
============
</TABLE>
------------
Percentages indicated are based on net assets of $204,053,100.
(a) Represents cost for federal income tax and financial reporting purposes and
differs from market value by unrealized appreciation (depreciation) of
securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation...................... $27,751,704
Unrealized depreciation...................... (9,320,991)
-----------
Net unrealized appreciation (depreciation)... $18,430,713
===========
</TABLE>
(b) Non-income producing securities.
(c) The Fund invests in securities whose value is derived from an underlying
pool of mortgages or consumer loans. Descriptions of certain collateralized
mortgage obligations are as follows:
Inverse Floaters (IF) represent securities that pay interest at a rate that
increases (decreases) with a decline (increase) in a specified index.
Principal Only (PO) represents the right to receive the principal portion
only on an underlying pool of mortgage loans. The market value of these
securities is extremely volatile in response to changes in market interest
rates. As a prepayments on the underlying mortgages of these securities
increase, the yield on these securities increases.
* The interest rate for this variable rate note, which will change
periodically, is based on prime rates or an index of market rates. The rate
reflected on the Schedule of Portfolio of Investments is the rate in effect
as of June 30, 2000.
See notes to financial statements.
31
<PAGE> 33
One Group Investment Trust
Bond Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
ASSET BACKED SECURITIES (6.3%):
Banking, Finance & Insurance (6.3%):
$ 400,000 Americredit Automobile Receivables
Trust, Series 99-C, Class A3,
6.84%, 10/5/03.................. $ 398,606
195,206 Arcadia Automobile Receivables
Trust, Series 98-B, Class A3,
5.95%, 11/15/02................. 194,484
200,000 Arcadia Automobile Receivables
Trust, Series 98-A, Class AY,
6.00%, 11/15/03................. 196,635
145,008 Arcadia Automobile Receivables
Trust, Series 99-C, Class A2,
6.90%, 12/15/03................. 144,214
500,000 Arcadia Automobile Receivables
Trust, Series 99-B, Class A4,
6.51%, 9/15/04.................. 493,153
400,000 CPS Auto Trust, Series 98-3, Class
A4, 6.08%, 10/15/03............. 396,034
600,000 First Security Auto Owner Trust,
Series 00-1, Class A3, 7.30%,
7/15/04......................... 601,405
300,000 Olympic Automobile Receivables
Trust, Series 96-C, Class A5,
7.00%, 3/15/04.................. 299,879
8,353 Onyx Acceptance Grantor Trust,
Series 96-1, Class A, 5.40%,
5/15/01......................... 8,353
250,000 Onyx Acceptance Grantor Trust,
Series 98-B, Class A2, 5.85%,
7/15/03......................... 246,404
500,000 Premier Auto Trust, Series 98-5,
Class A3, 5.07%, 7/8/02......... 494,023
200,000 Providian Master Trust, Series
99-2, Class A, 6.60%, 4/16/07... 197,895
200,000 Sears Credit Account Master Trust,
Series 98-1, Class A, 5.80%,
8/15/05......................... 198,399
500,000 Union Acceptance Corp., Series
00-B, Class A4, 7.54%,
10/9/06......................... 506,633
33,627 WFS Financial Owner Trust, Series
96-C, Class A4, 6.80%,
12/20/03........................ 33,518
750,000 WFS Financial Owner Trust, Series
99-C, Class A2, 6.92%,
1/20/04......................... 748,218
146,983 World Omni Automobile Lease
Secured Trust, Series 97-B,
Class A3, 6.18%, 11/25/03....... 146,988
-----------
Total Asset Backed Securities 5,304,841
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS (10.6%):
Banking, Finance & Insurance (10.6%):
$ 665,000 ABN Amro Mortgage Corp., Series
99-4, Class IA12, 6.50%,
6/25/29......................... $ 602,281
414,348 BA Mortgage Securities, Inc.,
Series 98-6, Class A2, 6.25%,
12/26/28........................ 385,403
99,279 Chase Mortgage Finance Corp.,
Series 94-E, Class A6B, 5.96%,
4/25/10, IF*.................... 96,644
345,956 Countrywide Funding Corp., Series
93-8, Class A9, 7.81%,
12/25/23*....................... 351,137
283,000 Countrywide Funding Corp., Series
93-12, Class A11, 6.63%,
2/25/24......................... 243,305
700,000 Countrywide Home Loans, Series
98-15, Class A16, 6.75%,
10/25/28........................ 660,671
487,507 Countrywide Home Loans, Series
99-12, Class A1, 7.50%,
11/25/29........................ 484,360
177,433 Norwest Asset Securities Corp.,
Series 97-18, Class A1, 6.75%,
12/25/27........................ 170,650
337,380 Norwest Asset Securities Corp.,
Series 98-32, Class A1, 6.00%,
12/25/28........................ 310,287
467,256 Norwest Asset Securities Corp.,
Series 99-17, Class A2, 6.25%,
6/25/29......................... 428,785
400,000 PNC Mortgage Securities Corp.,
Series 98-1, Class 2A10, 6.50%,
2/25/28......................... 355,426
406,044 PNC Mortgage Securities Corp.,
Series 98-10, Class 1A8, 6.50%,
12/25/28........................ 382,739
499,000 PNC Mortgage Securities Corp.,
Series 99-4, Class 1A10, 6.75%,
6/25/29......................... 461,692
200,000 Prudential Home Mortgage
Securities, Series 93-39, Class
A13, 4.48%, 10/25/08*........... 164,750
716,019 Prudential Home Mortgage
Securities, Series 93-28, Class
A7, 7.38%, 8/25/23.............. 714,397
1,000,000 Residential Accredit Loans, Inc.,
Series 96-QS3, Class AI11,
7.75%, 6/25/26.................. 990,115
</TABLE>
Continued
32
<PAGE> 34
One Group Investment Trust
Bond Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED:
Banking, Finance & Insurance, continued:
$ 671,232 Residential Funding Mortgage,
Series 94-S8, Class A6, 6.00%,
3/25/09......................... $ 643,752
458,051 Residential Funding Mortgage,
Series 99-S9, Class A3, 6.75%,
4/25/29......................... 435,366
521,393 Residential Funding Mortgage,
Series 97-S15, Class A1, 7.00%,
10/25/27........................ 518,600
500,000 Structured Asset Mortgage
Investments, Series 98-8, Class
2A11, 6.75%, 7/25/28............ 465,063
-----------
Total Collateralized Mortgage Obligations 8,865,423
-----------
CORPORATE BONDS (8.7%):
Automotive (0.3%):
250,000 Daimler Chrysler, 7.75%,
5/27/03......................... 252,018
-----------
Financial Services (7.4%):
500,000 Associates Corp., 8.58%,
11/23/04........................ 513,808
250,000 Associates Corp., 8.55%,
7/15/09......................... 257,950
200,000 Associates Corp., 8.15%, 8/1/09... 201,289
350,000 Bank of America Corp., 7.80%,
2/15/10......................... 348,730
500,000 Boeing Capital Corp., 6.36%,
7/15/05......................... 479,404
600,000 Citicorp, 8.00%, 2/1/03........... 607,139
300,000 Ford Motor Credit Co., 8.20%,
2/15/02......................... 303,596
800,000 Ford Motor Credit Co., 7.38%,
10/28/09........................ 776,015
500,000 General Electric Capital Corp.,
7.38%, 1/19/10.................. 505,964
300,000 GMAC, 5.75%, 11/10/03............. 284,755
500,000 Goldman Sachs Group L.P., 6.25%,
2/1/03 (c)...................... 483,800
500,000 Household Finance Corp., 6.50%,
11/15/08........................ 454,260
300,000 Household Finance Corp., 5.88%,
2/1/09.......................... 261,021
250,000 Huntington National Bank, 8.00%,
4/1/10.......................... 248,106
500,000 National Westminister Bank, Plc.,
7.38%, 10/1/09.................. 486,680
-----------
6,212,517
-----------
Industrial Goods & Services (0.1%):
110,000 Boeing Co., 7.95%, 8/15/24........ 113,289
-----------
Leasing (0.6%):
500,000 Hertz Corp., 6.50%, 5/15/06....... 470,066
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
CORPORATE BONDS, CONTINUED:
Telecommunications (0.3%):
$ 250,000 Deutsche Telekom, 8.00%,
6/15/10......................... $ 252,536
-----------
Total Corporate Bonds 7,300,426
-----------
U.S. GOVERNMENT AGENCY MORTGAGES (40.7%):
Fannie Mae (16.2%):
310,416 9.00%, 12/1/06, Pool #313699...... 319,662
73,067 0.00%, 2/25/08, Series 96-24,
Class K, PO..................... 61,842
250,000 9.06%, 7/25/08, Series 93-238,
Class SB, IF*................... 256,466
182,020 8.86%, 8/25/08, Series 93-134,
Class SA, IF*................... 180,664
279,389 4.74%, 8/25/08, Series 93-209,
Class SG, IF*................... 240,706
549,807 8.19%, 9/25/08, Series 93-175,
Class S, IF*.................... 565,057
302,262 7.69%, 9/25/08, Series 93-164,
Class SA, IF*................... 284,189
433,048 7.52%, 9/25/08, Series 93-164,
Class SC, IF*................... 407,156
150,000 0.00%, 9/25/08, Series 96-39,
Class J, PO..................... 110,577
153,502 0.00%, 9/25/08, Series 96-20,
Class L, PO..................... 108,399
180,667 9.25%, 10/25/08, Series 93-196,
Class SB, IF*................... 187,811
120,444 5.98%, 10/25/08, Series 93-196,
Class FA*....................... 115,807
200,000 0.00%, 10/25/08, Series 96-24,
Class B, PO..................... 133,594
5,011 256.00%, 11/1/08, Series K, Class
2, HB........................... 28,590
462,820 5.70%, 12/25/08, Series 93-233,
Class SB, IF*................... 402,921
400,000 6.50%, 2/25/09, Series 94-13,
Class SK, IF*................... 352,620
89,685 6.50%, 3/25/09, Series 95-13,
Class B......................... 86,057
432,663 6.08%, 3/25/09, Series 94-33,
Class FA*....................... 417,703
298,241 6.37%, 11/25/13, Series 93-220,
Class SE, IF*................... 262,254
49,707 1.96%, 11/25/13, Series 93-220,
Class SD, IF*................... 39,175
470,298 6.50%, 12/18/17, Series 98-17,
Class TB........................ 467,136
41,727 7.28%, 3/1/19, Pool #116612*...... 42,399
13,727 6.50%, 6/25/19, Series G93-19,
Class K......................... 13,676
175,175 8.50%, 11/25/19, Series 89-83,
Class H......................... 179,168
</TABLE>
Continued
33
<PAGE> 35
One Group Investment Trust
Bond Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
$ 58,650 8.80%, 1/25/20, Series 90-1, Class
D............................... $ 60,031
51,756 5.50%, 8/25/20, Series 90-93,
Class G......................... 47,959
11,487 6.00%, 10/25/20, Series 92-204,
Class B......................... 11,441
883 652.15%, 12/25/20, Series 90-140,
Class K, HB..................... 16,238
62,381 8.75%, 12/25/20, Series 90-143,
Class J......................... 64,028
237,897 6.50%, 12/25/20, Series 97-85,
Class L, IO*.................... 18,314
8,401 6.50%, 2/25/09, Series 94-30,
Class LA........................ 8,289
200,000 5.00%, 11/25/21, Series G92-66,
Class JB........................ 181,134
322,014 7.00%, 1/25/22, Series G92-15,
Class Z......................... 306,319
1,800,000 7.50%, 6/25/22, Series 92-101,
Class J......................... 1,762,839
701,454 7.00%, 7/25/22, Series 93-103,
Class PN, IO*................... 118,932
94,558 7.00%, 7/25/22, Series G92-42,
Class Z......................... 91,668
268,000 6.50%, 8/25/22, Series 96-59,
Class J......................... 254,664
400,000 5.50%, 9/25/22, Series 92-143,
Class MA........................ 353,233
31,276 7.00%, 10/25/22, Series G92-61,
Class Z......................... 29,332
66,882 5.78%, 10/25/22, Series G92-59,
Class F*........................ 63,695
120,000 5.39%, 10/25/22, Series 93-225,
Class FP*....................... 111,043
169,000 7.90%, 1/25/23, Series G93-1,
Class KA........................ 169,541
181,741 4.55%, 2/25/23, Series 98-35,
Class SV, IF*................... 137,580
61,672 0.00%, 2/25/23, Series G93-12,
Class C, PO..................... 59,039
13,104 5.50%, 4/25/23, Series 93-58,
Class J......................... 11,266
59,140 2.59%, 4/25/23, Series 93-44,
Class S, IF, IO*................ 4,529
17,437 6.75%, 5/25/23, Series 93-94,
Class K......................... 16,452
300,000 0.00%, 5/25/23, Series 93-146,
Class D, PO..................... 262,524
479,730 3.22%, 6/25/23, Series 94-28,
Class SD, IF*................... 301,908
578,203 0.99%, 5/25/23, Series 94-82,
Class SA, IF, IO*............... 11,211
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
$ 600,000 0.00%, 6/25/23, Series 93-257,
Class C, PO..................... $ 362,850
516,000 0.00%, 7/25/23, Series 93-159,
Class PD, PO.................... 383,036
74,859 1.49%, 8/25/23, Series 93-139,
Class SG, IF*................... 44,897
189,018 9.00%, 9/25/23, Series 93-248,
Class FB*....................... 183,011
143,385 3.00%, 9/25/23, Series 93-193,
Class B......................... 130,882
104,127 2.34%, 9/25/23, Series 93-155,
Class SB, IF, IO*............... 5,365
189,018 0.00%, 9/25/23, Series 93-248,
Class SB, IF*................... 136,075
234,814 0.00%, 9/25/23, Series G93-32,
Class SA, IF*................... 138,283
338,314 6.50%, 11/25/23, Series 95-19,
Class Z......................... 294,483
48,572 0.00%, 11/25/23, Series 94-8,
Class G, PO..................... 39,477
134,428 7.26%, 12/25/23, Series 93-230,
Class FA*....................... 132,074
448,927 0.00%, 2/25/24, Series 99-16,
Class B, PO..................... 237,014
110,929 7.00%, 11/17/24, Series G94-13,
Class ZB........................ 105,532
4,253,989 1.84%, 3/25/27, Series 97-20,
Class IB, IO*................... 286,764
200,000 7.50%, 5/20/27, Series 97-39,
Class PD........................ 192,275
906,193 6.00%, 12/1/28, Pool #454390...... 830,852
277,667 6.00%, 1/1/29, Pool #252211....... 254,582
90,163 6.26%, 3/1/29, Pool #303532*...... 87,756
-----------
13,582,046
-----------
Freddie Mac (18.9%):
205,895 4.50%, 3/15/07, Series 1295, Class
JB.............................. 195,652
8,413 2.24%, 10/15/07, Series 1389,
Class SA, IF*................... 6,815
182,812 2.31%, 2/15/08, Series 1465, Class
SA, IF, IO*..................... 4,744
40,038 5.50%, 4/15/08, Series 1489, Class
L............................... 39,007
128,358 8.50%, 5/15/08, Series 1606, Class
LC*............................. 131,291
341,600 0.00%, 5/15/08, Series 89, Class
L, PO........................... 268,736
500,000 0.00%, 8/15/08, Series 1561, Class
TA, PO.......................... 349,512
810,695 0.00%, 8/15/08, Series 1900, Class
T, PO........................... 547,203
</TABLE>
Continued
34
<PAGE> 36
One Group Investment Trust
Bond Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
$ 76,380 6.00%, 9/15/08, Series 1586, Class
A............................... $ 73,685
349,860 5.64%, 10/15/08, Series 1601,
Class SB, IF*................... 325,593
163,137 0.00%, 10/15/08, Series 1967,
Class PC, PO.................... 113,354
200,000 8.51%, 12/15/08, Series 1625,
Class SD, IF*................... 201,842
49,855 7.10%, 12/15/08, Series 1647,
Class SB, IF*................... 46,746
199,762 6.40%, 2/15/09, Series 1679, Class
O............................... 190,462
125,000 5.74%, 2/15/09, Series 1796, Class
S, IF*.......................... 107,851
294,437 9.00%, 6/1/10, Gold Pool
#G10777......................... 303,098
300,000 6.30%, 1/15/13, Series 2025, Class
PE.............................. 274,481
300,000 6.50%, 5/15/13, Series 2055, Class
OE.............................. 283,373
281,947 6.76%, 10/15/13, Series 1607,
Class SA, IF*................... 250,920
327,198 1.46%, 10/15/13, Series 1595,
Class S, IF, IO*................ 6,081
342,769 6.50%, 3/15/14, Series 2135, Class
UK, IO*......................... 66,650
1,000,000 6.50%, 3/15/19, Series 2134, Class
PI, IO*......................... 225,723
45,208 12.00%, 7/1/19, Pool #555238...... 49,496
198,083 9.50%, 7/15/19, Series 11, Class
D............................... 205,505
134,401 5.50%, 12/15/19, Series 1709,
Class C......................... 132,351
291,630 10.00%, 1/1/20, Pool #546257...... 311,025
58,505 7.50%, 1/15/20, Series 1297, Class
H............................... 58,594
118,308 9.50%, 4/15/20, Series 22, Class
C............................... 122,178
46,620 10.00%, 6/15/20, Series 47, Class
F............................... 48,496
365,077 10.00%, 9/1/20, Pool #55286....... 388,587
25,920 9.50%, 1/15/21, Series 99, Class
Z............................... 26,699
85,826 6.50%, 2/15/21, Series 128, Class
I............................... 82,642
43,792 9.00%, 4/15/21, Series 1065, Class
J............................... 45,250
500,000 0.00%, 2/15/22, Series 1987, Class
W, PO........................... 288,366
211,000 7.00%, 5/15/22, Series 1250, Class
J............................... 201,540
94,826 8.50%, 10/15/22, Series 1646,
Class MD, IF*................... 96,336
400,000 6.00%, 10/15/22, Series 1395,
Class G......................... 364,883
144,000 0.00%, 11/15/22, Series 2002,
Class A, PO..................... 102,247
45,000 7.37%, 1/15/23, Series 1603, Class
IF*............................. 45,531
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
$ 474,000 6.00%, 3/15/23, Series 1629, Class
PA.............................. $ 425,919
266,976 7.02%, 5/15/23, Series 1614, Class
VB, IF*......................... 219,372
159,848 7.00%, 5/15/23, Series 1505, Class
Q............................... 151,067
650,000 5.00%, 5/15/23, Series 1798, Class
F............................... 502,670
484,208 1.04%, 5/15/23, Series 1592, Class
TB, IF*......................... 326,133
95,000 0.23%, 7/15/23, Series 1543, Class
JC, IF*......................... 49,954
263,430 10.00%, 9/15/23, Series 1584,
Class FB*....................... 293,558
837,732 6.25%, 9/15/23, Series 1589, Class
Z............................... 727,017
100,000 6.02%, 10/15/23, Series 1689,
Class SD, IF*................... 93,528
2,976,101 5.54%, 10/15/23, Series 1859,
Class SB, IF, IO*............... 421,119
24,473 8.50%, 11/15/23, Series 1619,
Class SD, IF*................... 24,845
146,090 6.00%, 11/15/23, Series 1685,
Class Z......................... 126,272
162,251 5.84%, 11/15/23, Series 1610,
Class SD, IF*................... 126,119
75,172 3.11% 11/15/23, Series 1609, Class
LG, IF*......................... 60,192
296,457 10.00%, 2/15/24, Series 1671,
Class QC, IF*................... 329,498
27,820 6.77%, 2/15/24, Series 1686, Class
SL, IF*......................... 26,274
500,000 0.00%, 2/15/24, Series 1865, Class
D, PO........................... 292,699
286,574 0.00%, 2/15/24, Series 1700, Class
GA, PO.......................... 215,788
373,132 0.00%, 2/15/24, Series 1860, Class
PA, PO.......................... 219,231
875,886 5.79%, 3/15/24, Series 1689, Class
FC*............................. 759,381
355,441 6.00%, 5/15/27, Series 1981, Class
Z............................... 289,744
500,000 6.50%, 7/15/27, Series 2137, Class
TG.............................. 473,538
933,000 7.50%, 9/15/27, Series 1987, Class
PE.............................. 908,410
500,000 6.00%, 11/15/27, Series 2132,
Class PD........................ 456,533
250,000 6.00%, 2/15/28, Series 2143, Class
CD.............................. 226,240
642,626 7.00%, 3/15/28, Series 2038, Class
PN, IO*......................... 127,164
</TABLE>
Continued
35
<PAGE> 37
One Group Investment Trust
Bond Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
$ 500,000 7.50%, 5/15/28, Series 2054, Class
PV.............................. $ 486,267
173,000 0.00%, 1/15/29, Series 2113, Class
GA, PO.......................... 68,612
478,904 6.50%, 6/1/29, Gold Pool #
C00785.......................... 452,341
483,431 6.50%, 7/1/29, Gold Pool
#C29164......................... 456,617
-----------
15,918,647
-----------
Government National Mortgage Assoc. (5.6%):
120,000 7.00%, 8/16/13, Series 96-22,
Class VB........................ 115,825
368,647 7.05%, 12/16/18, Series 99-42,
Class FG*....................... 366,889
92,267 8.00%, 9/15/22, Pool #297628...... 93,739
256,570 1.81%, 10/16/22, Series 94-4,
Class SA, IF, IO*............... 8,805
250,000 7.49%, 7/16/24, Series 94-3, Class
PQ.............................. 243,219
136,055 8.50%, 5/20/25, Pool #2006........ 138,826
491,000 7.50%, 9/17/25, Series 98-26,
Class K......................... 475,653
713,000 7.50%, 8/16/26, Series 96-16,
Class E......................... 694,056
325,070 8.00%, 11/20/26, Pool #2324....... 327,482
522,575 8.00% 1/20/27, Pool #2362......... 525,988
500,000 7.50%, 5/16/27, Series 97-8, Class
PN.............................. 483,338
213,577 8.00%, 5/15/28, Pool #460372...... 216,153
154,704 8.00%, 7/15/28, Pool #468066...... 156,570
381,852 7.50%, 9/15/28, Pool #486537...... 379,680
461,441 6.50%, 10/15/28, Pool # 486631.... 438,158
-----------
4,664,381
-----------
Total U.S. Government Agency Mortgages 34,165,074
-----------
U.S. TREASURY OBLIGATIONS (25.3%):
U.S. Treasury Bonds (23.1%):
400,000 10.38%, 11/15/09.................. 458,500
9,745,000 12.75%, 11/15/10.................. 12,488,832
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS, CONTINUED:
U.S. Treasury Bonds, continued:
$ 2,790,000 10.38%, 11/15/12................ $ 3,434,317
2,400,000 8.75%, 5/15/17.................. 3,017,251
-----------
19,398,900
-----------
U.S. Treasury Inflation Protected Bonds (1.2%):
213,788 3.63%, 7/15/02.................... 212,452
216,110 3.38%, 1/15/07.................... 207,466
582,159 3.63%, 4/15/28.................... 555,415
-----------
975,333
-----------
U.S. Treasury STRIPS (1.0%):
500,000 11/15/11.......................... 248,404
300,000 2/15/13........................... 137,153
450,000 2/15/14........................... 193,102
795,000 5/15/17........................... 280,170
-----------
858,829
-----------
Total U.S. Treasury Obligations 21,233,062
-----------
REPURCHASE AGREEMENTS (10.8%):
9,060,000 State Street Bank, 6.45%, 7/3/00,
(Collateralized by $9,150,000
Fannie Mae, 6.10%, 9/14/01,
market value $9,241,500)........ 9,060,000
-----------
Total Repurchase Agreements 9,060,000
-----------
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING (11.6%):
Repurchase Agreements (11.6%):
9,699,902 Lehman Brothers, 7.18%, 7/3/00,
(Collateralized by $10,185,876
Galaxy Funding Commercial Paper,
0.00%, 10/10/00, market value
$9,992,344.20).................. 9,699,902
-----------
Total Short-Term Securities Held as
Collateral for Securities Lending 9,699,902
-----------
Total (Cost $97,073,305) (a) $95,628,728
===========
</TABLE>
------------
Percentages indicated are based on net assets of $83,908,376.
(a) Represents cost for federal income tax and financial reporting purposes and
differs from market value by unrealized appreciation (depreciation) of
securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 940,050
Unrealized depreciation...................... (2,384,627)
-----------
Net unrealized appreciation (depreciation)... $(1,444,577)
===========
</TABLE>
(b) The Fund invests in securities whose value is derived from an underlying
pool of mortgages or consumer loans. Descriptions of certain collateralized
mortgage obligations are as follows:
Inverse Floaters (IF) represent securities that pay interest at a rate that
increases (decreases) with a decline (increase) in a specified index.
Continued
36
<PAGE> 38
One Group Investment Trust
Bond Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Unaudited)
Interest Only (IO) represents the right to receive the monthly interest
payment on an underlying pool of mortgage loans. The face amount shown
represents the par value on the underlying pool. The yields on these
securities are generally higher than prevailing market yields on other
mortgage-backed securities because their cash flow patterns are more
volatile and there is a greater risk that the initial investment will not
be fully recouped. These securities are subject to accelerated principal
paydowns as a result of prepayment or refinancing of the underlying pool of
mortgage instruments. As a result, interest income may be reduced
considerably.
High Coupon Bonds (HB) (a.k.a "IOettes") represent the right to receive
interest payments on an underlying pool of mortgages with similar risks as
those associated with IO securities. Unlike IOs the owner also has the
right to receive a very small portion of principal. The high interest rate
results from taking interest payments from other classes in the REMIC trust
and allocating them to the small principal of the HB class.
Principal Only (PO) represents the right to receive the principal portion
only on an underlying pool of mortgage loans. The market value of these
securities is extremely volatile in response to changes in market interest
rates. As prepayments on the underlying mortgages of these securities
increase, the yield on these securities increases.
(c) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers. These securities
amounted to $483,800 or 0.5% of net assets.
* The interest rate for this variable rate note, which will change
periodically, is based on prime rates or an index of market rates. The rate
reflected on the Schedule of Portfolio Investments is the rate in effect as
of June 30, 2000.
See notes to financial statements.
37
<PAGE> 39
One Group Investment Trust
Government Bond Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES (67.3%):
Fannie Mae (14.1%):
$ 174,763 7.00%, 9/1/03, Pool #359952....... $ 173,230
680,222 7.00%, 7/17/05, Series 97-26,
Class GD........................ 673,978
77,153 6.93%, 5/25/08, Series 93-63,
Class SB, IF*................... 72,026
500,000 8.30%, 10/25/08, Series 93-197,
Class SC, IF*................... 498,138
400,000 8.63%, 2/25/09, Series 94-13,
Class SM, IF*................... 364,906
133,931 7.50%, 8/1/09, Pool #279759....... 134,005
136,323 6.50%, 11/1/11, Pool #356206...... 132,048
500,000 6.00%, 1/17/13, Series 98-37,
Class VB........................ 455,233
1,000,000 6.50%, 6/25/14, Series 98-59,
Class VB........................ 930,625
944,682 6.50%, 9/1/14, Gold Pool
#E78451......................... 912,330
316,331 9.50%, 6/25/18, Series 88-16,
Class B......................... 331,945
500,000 6.00%, 5/25/22, Series 93-204,
Class A......................... 483,158
148,000 6.00%, 12/25/22, Series G92-66,
Class KA........................ 128,957
220,640 7.98%, 7/25/23, Series 96-46,
Class ST, IF*................... 180,713
500,000 6.50%, 8/25/23, Series 94-28,
Class K......................... 472,983
245,000 7.00%, 9/25/23, Series 93-155,
Class PJ........................ 235,968
318,836 6.50%, 9/1/25, Pool #250375....... 301,947
616,039 6.50%, 5/1/26, Pool #338417....... 582,681
226,459 6.50%, 8/18/28, Series 98-46,
Class GZ........................ 163,772
1,000,000 6.50%, 10/25/28, Series 98-64,
Class TM........................ 914,445
2,959,475 7.50%, 3/1/30, Pool #524949....... 2,917,648
-----------
11,060,736
-----------
Freddie Mac (35.5%):
28,858 6.50%, 1/1/01, Gold Pool
#G50324......................... 28,668
1,500,000 0.00%, 8/15/08, Series 1564, Class
TA, PO.......................... 1,048,536
655,889 9.00%, 12/1/09, Pool #256360...... 667,763
97,178 8.50%, 12/1/09, Gold Pool
#E20150......................... 99,473
545,213 7.00%, 2/1/11, Gold Pool
#E63959......................... 537,298
914,536 5.50%, 3/1/14, Gold Pool
#E75738......................... 849,349
358,997 6.00%, 4/1/14, Gold Pool
#E76438......................... 340,598
920,638 6.50%, 6/1/14, Gold Pool
#E00678......................... 888,894
500,000 6.00%, 2/15/17, Series 2108,
Class VB........................ 452,276
1,500,000 6.50%, 1/15/22, Series 2149,
Class TR........................ 1,453,193
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
$ 668,000 6.50%, 11/15/22, Series 1552,
Class HB........................ $ 636,086
359,000 6.50%, 9/15/23, Series 1584, Class
L............................... 328,530
333,000 6.50%, 11/15/23, Series 1621,
Class K......................... 305,879
466,700 6.00%, 12/15/23, Series 1629,
Class OB........................ 412,171
201,000 6.50%, 3/15/24, Series 1694,
Class PK........................ 187,910
1,000,000 8.50%, 4/15/24, Series 1761, Class
J............................... 1,017,260
260,292 8.00%, 9/1/24, Gold Pool
#D55955......................... 262,545
1,000,000 6.80%, 10/15/24, Series 2236,
Class FP*....................... 998,125
687,653 6.50%, 11/1/25, Gold Pool
#D65545......................... 652,687
823,023 6.00%, 4/1/26, Gold Pool
#D70244......................... 760,291
345,000 6.50%, 10/17/26, Series 1985,
Class PL........................ 319,247
1,817,000 6.00%, 2/15/27, Series 2091,
Class PF........................ 1,662,655
2,285,000 6.25%, 4/15/27, Series 2018,
Class PE........................ 2,081,601
1,000,000 6.00%, 11/15/27, Series 2132,
Class PD........................ 913,065
1,000,000 6.50%, 1/15/28, Series 2137,
Class TM........................ 947,345
2,500,000 7.00%, 2/15/28, Series 2031,
Class PG........................ 2,342,477
120,000 6.00%, 2/15/28, Series 2126,
Class TD........................ 109,325
1,500,000 6.95%, 3/15/28, Series 2035,
Class PC........................ 1,418,693
267,964 8.50%, 7/1/28, Gold Pool
#G00981......................... 274,068
3,181,539 6.50%, 2/1/29, Gold Pool
#C22459......................... 3,006,311
2,982,796 6.50%, 6/1/29, Gold Pool
#C00785......................... 2,817,350
-----------
27,819,669
-----------
Government National Mortgage Assoc. (17.7%):
270,299 7.50%, 5/15/23, Pool #326977...... 269,756
186,347 7.50%, 6/15/23, Pool #359588...... 185,972
181,428 9.00%, 11/15/24, Pool #780029..... 188,475
385,287 7.50%, 9/15/25, Pool #336427...... 383,547
84,656 7.00%, 12/15/25, Pool #405535..... 82,612
2,825,755 8.00%, 11/20/26, Pool #2324....... 2,846,721
1,500,000 6.38%, 11/20/26, Series 98-14,
Class PG........................ 1,381,193
202,922 7.50%, 12/15/26, Pool #2341....... 200,708
500,000 6.50%, 6/20/27, Series 97-19,
Class PJ........................ 466,013
357,358 6.00%, 7/20/27, Pool #80094....... 358,809
195,042 8.00%, 10/15/27, Pool# 412336..... 197,544
1,190,891 8.00%, 10/15/27, Pool #451507..... 1,206,171
</TABLE>
Continued
38
<PAGE> 40
One Group Investment Trust
Government Bond Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Government National Mortgage Assoc., continued:
$ 321,981 7.00%, 11/15/27, Pool #412369..... $ 313,518
716,716 7.50%, 1/15/28, Pool #427208...... 712,639
426,649 6.50%, 3/15/28, Pool #467705...... 405,122
427,154 7.00%, 4/15/28, Pool #472543...... 415,682
409,436 7.00%, 6/15/28, Pool #472679...... 398,440
351,628 7.50%, 7/15/28, Pool #780828...... 349,792
213,120 6.50%, 9/15/28, Pool #467225...... 202,367
2,000,000 7.50%, 9/16/28, Series 99-33B,
Class PQ........................ 1,984,870
1,000,000 6.50%, 9/20/28, Series 98-22,
Class PD........................ 904,475
500,000 6.00%, 5/20/29, Series 99-17,
Class L......................... 416,593
-----------
13,871,019
-----------
Total U.S. Government Agency Mortgages 52,751,424
-----------
U.S. GOVERNMENT AGENCY SECURITIES (12.3%):
Fannie Mae (3.4%):
1,300,000 5.75%, 4/15/03.................... 1,260,485
1,500,000 6.50%, 8/15/04.................... 1,472,215
-----------
2,732,700
-----------
Federal Farm Credit Bank (1.9%):
1,500,000 6.75%, 7/7/09..................... 1,460,991
-----------
Federal Home Loan Bank (3.1%):
1,500,000 6.15%, 9/30/02, Series YG02....... 1,476,539
1,000,000 5.90%, 3/26/09, Series EH09....... 918,923
-----------
2,395,462
-----------
Financial Corporation STRIPS (0.7%):
2,000,000 11/2/18........................... 569,606
-----------
Resolution Funding Corp. (3.2%):
975,000 Principal STRIPS, 10/15/08........ 570,901
1,000,000 Principal STRIPS, 10/15/17........ 319,934
2,000,000 Principal STRIPS, 1/15/20......... 554,826
4,000,000 Principal STRIPS, 7/15/20......... 1,080,092
-----------
2,525,753
-----------
Total U.S. Government Agency Securities 9,684,512
-----------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL MARKET
AMOUNT SECURITY DESCRIPTION VALUE
---------- ---------------------------------- -----------
<C> <S> <C>
U.S. TREASURY OBLIGATIONS (14.7%):
U.S. Treasury Bonds (4.1%):
$ 500,000 10.38%, 11/15/09.................. $ 573,125
2,000,000 9.13%, 5/15/18.................... 2,610,000
-----------
3,183,125
-----------
U.S. Treasury Inflation Protected Bonds (2.6%):
2,119,360 3.63%, 1/15/08.................... 2,055,779
-----------
U.S. Treasury Notes (6.9%):
1,500,000 6.25%, 4/30/01.................... 1,497,657
900,000 7.50%, 11/15/01................... 911,813
1,000,000 5.88%, 11/30/01................... 991,563
1,500,000 5.50%, 1/31/03.................... 1,469,063
550,000 6.88%, 5/15/06.................... 566,156
-----------
5,436,252
-----------
U.S. Treasury STRIPS (1.1%):
1,000,000 11/15/09.......................... 553,274
1,000,000 5/15/20........................... 294,446
-----------
847,720
-----------
Total U.S. Treasury Obligations 11,522,876
-----------
REPURCHASE AGREEMENTS (6.5%):
5,079,000 State Street Bank, 6.45%, 7/3/00,
(Collateralized by $5,130,000
Fannie Mae, 6.10%, 9/14/01,
market value $5,181,300)........ 5,079,000
-----------
Total Repurchase Agreements 5,079,000
-----------
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES
LENDING (2.1%):
Repurchase Agreements (2.1%):
1,622,257 Lehman Brothers, 6.70%, 7/3/00,
(Collateralized by $2,785,000
Various U.S. Government
Securities, 6.50% - 8.00%,
4/15/18 - 2/15/21, market value
$1,671,607)..................... 1,622,257
-----------
Total Short-Term Securities Held as
Collateral for Securities Lending 1,622,257
-----------
Total (Cost $82,084,487) (a) $80,660,069
===========
</TABLE>
------------
Percentages indicated are based on net assets of $78,423,359.
(a) Represents cost for federal income tax and financial reporting purposes and
differs from value by net unrealized appreciation (depreciation) of
securities as follows:
<TABLE>
<S> <C>
Unrealized appreciation...................... $ 419,682
Unrealized depreciation...................... (1,844,100)
-----------
Net unrealized appreciation (depreciation)... $(1,424,418)
===========
</TABLE>
Continued
39
<PAGE> 41
One Group Investment Trust
Government Bond Portfolio
--------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED JUNE 30, 2000
(Unaudited)
(b) The Fund invests in securities whose value is derived from an underlying
pool of mortgages or consumer loans. Descriptions of certain collateralized
mortgage obligations are as follows:
Inverse Floaters (IF) represent securities that pay interest at a rate that
increases (decreases) with a decline (increase) in a specified index.
Principal Only (PO) represents the right to receive the principal portion
only on an underlying pool of mortgage loans. The market value of these
securities is extremely volatile in response to changes in market interest
rates. As prepayments on the underlying mortgages of these securities
increase, the yield on these securities increases.
* The interest rate for this variable rate note, which will change
periodically, is based on prime rates or an index of market rates. The rate
reflected on the Schedule of Portfolio Investments is the rate in effect as
of June 30, 2000.
See notes to financial statements.
40
<PAGE> 42
One Group Investment Trust
--------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
MID CAP MID CAP DIVERSIFIED LARGE CAP DIVERSIFIED
GROWTH VALUE MID CAP GROWTH EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ----------- ----------- ------------ -----------
<S> <C> <C> <C> <C> <C>
ASSETS:
Investments, at cost........................ $193,203,335 $42,541,366 $31,104,917 $342,621,763 $86,881,735
Unrealized appreciation (depreciation) from
investments............................... 21,416,967 866,595 2,265,717 62,722,999 10,377,437
------------ ----------- ----------- ------------ -----------
Investments, at value....................... 214,620,302 43,407,961 33,370,634 405,344,762 97,259,172
Cash........................................ 133,097 -- 490 512 451
Interest receivable......................... 64,449 38,603 14,817 182,396 51,564
Receivable from brokers for investments
sold...................................... 853,384 681,919 26,529 29,279,585 --
Prepaid expenses and other assets........... 5,110 942 760 12,686 2,588
------------ ----------- ----------- ------------ -----------
TOTAL ASSETS................................ 215,676,342 44,129,425 33,413,230 434,819,941 97,313,775
------------ ----------- ----------- ------------ -----------
LIABILITIES:
Cash overdraft.............................. -- 131,142 -- -- --
Dividends payable........................... -- 111,478 29,592 -- 102,242
Payable to brokers for investments
purchased................................. 24,300 268,548 1,549,429 25,817,069 4,193,816
Payable for return of collateral received
for securities on loan.................... 24,318,853 1,463,832 913,596 6,350,363 884,924
Accrued expenses and other payables:
Investment advisory fees.................. 100,849 24,729 17,794 208,142 54,239
Administration fees....................... 23,223 5,401 3,740 47,932 11,002
Other..................................... 32,045 9,047 10,668 47,395 13,951
------------ ----------- ----------- ------------ -----------
TOTAL LIABILITIES........................... 24,499,270 2,014,177 2,524,819 32,470,901 5,260,174
------------ ----------- ----------- ------------ -----------
NET ASSETS:
Capital..................................... 138,039,067 41,649,276 25,200,485 299,396,060 81,990,581
Undistributed (distributions in excess of)
net investment income..................... (294,586) (1,115) (337) (282,852) (1,177)
Accumulated undistributed net realized gains
(losses) from investment transactions..... 32,015,624 (399,508) 3,422,546 40,512,833 (313,240)
Net unrealized appreciation (depreciation)
from investments.......................... 21,416,967 866,595 2,265,717 62,722,999 10,377,437
------------ ----------- ----------- ------------ -----------
NET ASSETS.................................. $191,177,072 $42,115,248 $30,888,411 $402,349,040 $92,053,601
============ =========== =========== ============ ===========
OUTSTANDING UNITS OF BENEFICIAL INTEREST
(SHARES):................................. 8,293,917 3,916,585 1,860,223 15,402,028 5,150,471
============ =========== =========== ============ ===========
Net Asset Value
Offering and redemption price per share... $ 23.05 $ 10.75 $ 16.60 $ 26.12 $ 17.87
============ =========== =========== ============ ===========
</TABLE>
See notes to financial statements.
41
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--------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
EQUITY INDEX BALANCED BOND GOVERNMENT BOND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ----------- ---------------
<S> <C> <C> <C> <C>
ASSETS:
Investments, at cost........................ $80,116,760 $194,191,085 $97,073,305 $82,084,487
Unrealized appreciation (depreciation) from
investments............................... 5,755,458 18,430,713 (1,444,577) (1,424,418)
----------- ------------ ----------- -----------
Investments, at value....................... 85,872,218 212,621,798 95,628,728 80,660,069
Cash........................................ 219 894 328 75
Interest and dividends receivable........... 60,595 739,068 667,797 587,577
Receivable from brokers for investments
sold...................................... 15,361 776 18,305 16,211
Net receivable for variation margin on
futures contracts......................... 27,775 -- -- --
Prepaid expenses and other assets........... 958 6,104 2,645 2,503
----------- ------------ ----------- -----------
TOTAL ASSETS................................ 85,977,126 213,368,640 96,317,803 81,266,435
----------- ------------ ----------- -----------
LIABILITIES:
Dividends payable........................... 210,519 1,293,782 1,238,208 1,166,191
Payable to brokers for investments
purchased................................. 56,662 5,878,232 1,407,234 --
Payable for return of collateral received
for securities on loan.................... 2,056,773 1,969,082 9,699,902 1,622,257
Accrued expenses and other payables:
Investment advisory fees.................. 20,204 116,954 37,026 28,548
Administration fees....................... 9,428 25,009 10,363 9,496
Other..................................... 10,209 32,481 16,694 16,584
----------- ------------ ----------- -----------
TOTAL LIABILITIES........................... 2,363,795 9,315,540 12,409,427 2,843,076
----------- ------------ ----------- -----------
NET ASSETS:
Capital..................................... 78,243,508 185,305,726 85,445,593 80,819,282
Undistributed (distributions in excess of)
net investment income..................... 1,211 12,056 14,711 13,472
Accumulated undistributed net realized gains
(losses) from investment transactions..... (319,438) 304,605 (107,351) (984,977)
Net unrealized appreciation (depreciation)
from investments.......................... 5,688,050 18,430,713 (1,444,577) (1,424,418)
----------- ------------ ----------- -----------
NET ASSETS.................................. $83,613,331 $204,053,100 $83,908,376 $78,423,359
=========== ============ =========== ===========
OUTSTANDING UNITS OF BENEFICIAL INTEREST
(SHARES):................................. 6,647,474 12,869,222 8,335,854 7,820,383
=========== ============ =========== ===========
Net Asset Value
Offering and redemption price per share... $ 12.58 $ 15.86 $ 10.07 $ 10.03
=========== ============ =========== ===========
</TABLE>
See notes to financial statements.
42
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--------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS SIX MONTHS ENDED JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
MID CAP MID CAP DIVERSIFIED LARGE CAP DIVERSIFIED
GROWTH VALUE MID CAP GROWTH EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ---------- ----------- ------------ -----------
<S> <C> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income......................... $ 173,911 $ 43,740 $ 73,716 $ 399,688 $ 157,681
Discount accretion...................... 460 -- 10,550 2,447 --
Dividend income......................... 224,367 333,133 101,662 873,161 371,274
Income from securities lending.......... 36,037 772 828 29,222 11,289
------------ ---------- ----------- ------------ ----------
Total Income............................ 434,775 377,645 186,756 1,304,518 540,244
------------ ---------- ----------- ------------ ----------
EXPENSES:
Investment advisory fees................ 544,128 130,017 95,181 1,204,977 289,608
Administration fees..................... 125,500 26,336 19,282 277,964 58,674
Custodian fees.......................... 19,443 9,456 4,073 12,163 5,319
Legal and audit fees.................... 10,271 4,454 3,733 17,826 5,920
Trustees' fees and expenses............. 1,441 292 218 3,293 693
Transfer agent fees..................... 2,983 2,983 2,686 3,034 2,983
Registration and filing fees............ 4,868 2,104 587 7,375 2,853
Insurance fees.......................... 2,332 442 344 5,748 1,168
Printing costs.......................... 9,846 1,344 1,004 20,679 3,112
Other................................... 8,549 32 26 18,924 77
------------ ---------- ----------- ------------ ----------
Total expenses before waivers........... 729,361 177,460 127,134 1,571,983 370,407
Less investment advisor waivers......... -- (10,515) (4,981) -- (153)
------------ ---------- ----------- ------------ ----------
Net Expenses............................ 729,361 166,945 122,153 1,571,983 370,254
------------ ---------- ----------- ------------ ----------
Net Investment Income (Loss)............ $ (294,586) $ 210,700 $ 64,603 $ (267,465) $ 169,990
------------ ---------- ----------- ------------ ----------
REALIZED GAINS (LOSSES) FROM INVESTMENTS
AND FUTURES:
Net realized gains (losses) from
investment and futures transactions... $ 33,390,018 $ (139,678) $ 3,695,454 $ 39,294,540 $ (298,736)
Net change in unrealized appreciation
(depreciation) from investments and
futures............................... (10,948,307) 1,299,109 (1,043,419) (37,243,483) 1,984,045
------------ ---------- ----------- ------------ ----------
Net realized/unrealized gains (losses)
from investments and futures.......... 22,441,711 1,159,431 2,652,035 2,051,057 1,685,309
------------ ---------- ----------- ------------ ----------
Change in net assets resulting from
operations............................ $ 22,147,125 $1,370,131 $ 2,716,638 $ 1,783,592 $1,855,299
============ ========== =========== ============ ==========
</TABLE>
See notes to financial statements.
43
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--------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS SIX MONTHS ENDED JUNE 30, 2000
(Unaudited)
<TABLE>
<CAPTION>
EQUITY INDEX BALANCED BOND GOVERNMENT BOND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ---------- ---------- ---------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME:
Interest income................................. $ 186,297 $2,870,973 $2,799,849 $2,301,080
Discount accretion.............................. 65,984 108,270 135,655 147,646
Premium amortization............................ -- (204,044) (306,618) (1,955)
Dividend income................................. 348,264 541,212 -- --
Income from securities lending.................. 2,779 20,245 9,466 5,155
--------- ---------- ---------- ----------
Total Income.................................... 603,324 3,336,656 2,638,352 2,451,926
--------- ---------- ---------- ----------
EXPENSES:
Investment advisory fees........................ 102,509 669,737 225,548 156,881
Administration fees............................. 47,837 143,459 56,360 52,271
Custodian fees.................................. 8,288 14,773 7,948 6,022
Legal and audit fees............................ 5,496 10,447 6,106 5,808
Trustees' fees and expenses..................... 521 1,744 669 679
Transfer agent fees............................. 2,983 2,983 2,983 2,983
Registration and filing fees.................... 5,173 2,708 2,600 1,664
Insurance fees.................................. 424 2,766 1,168 1,129
Printing costs.................................. 2,902 10,388 2,949 3,957
Other........................................... 8,914 9,762 74 3,556
--------- ---------- ---------- ----------
Total expenses before waivers................... 185,047 868,767 306,405 234,950
Less investment advisor waivers................. -- -- (24,433) --
--------- ---------- ---------- ----------
Net Expenses.................................... 185,047 868,767 281,972 234,950
--------- ---------- ---------- ----------
Net Investment Income........................... $ 418,277 $2,467,889 $2,356,380 $2,216,976
--------- ---------- ---------- ----------
REALIZED GAINS (LOSSES) FROM INVESTMENTS AND
FUTURES:
Net realized gains (losses) from investment and
futures transactions.......................... $ 494,926 $ 356,207 $ (33,891) $ (225,507)
Net change in unrealized appreciation
(depreciation) from investments and futures... (856,166) 2,822,363 656,407 800,368
--------- ---------- ---------- ----------
Net realized/unrealized gains (losses) from
investments and futures....................... (361,240) 3,178,570 622,516 574,861
--------- ---------- ---------- ----------
Change in net assets resulting from
operations.................................... $ 57,037 $5,646,459 $2,978,896 $2,791,837
========= ========== ========== ==========
</TABLE>
See notes to financial statements.
44
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--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
MID CAP GROWTH MID CAP VALUE DIVERSIFIED MID CAP
PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------- ----------------------------- -----------------------------
SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED
ENDED JUNE 30, DECEMBER 31, ENDED JUNE 30, DECEMBER 31, ENDED JUNE 30, DECEMBER 31,
2000 1999 2000 1999 2000 1999
-------------- ------------ -------------- ------------ -------------- ------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income
(loss)...................... $ (294,586) $ (213,785) $ 210,700 $ 252,868 $ 64,603 $ 47,095
Net realized gains (losses)
from investment and futures
transactions................ 33,390,018 19,518,884 (139,678) (165,319) 3,695,454 1,474,786
Net change in unrealized
appreciation (depreciation)
from investments and
futures..................... (10,948,307) 8,802,339 1,299,109 (31,208) (1,043,419) 599,311
------------ ------------ ----------- ----------- ----------- -----------
Change in net assets resulting
from operations................. 22,147,125 28,107,438 1,370,131 56,341 2,716,638 2,121,192
------------ ------------ ----------- ----------- ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income.... -- -- (211,815) (252,868) (80,291) (31,744)
From net realized gains from
investment transactions..... (4,291,523) (16,091,134) (6,914) -- (336,666) (1,442,907)
Tax return of capital
distribution................ -- -- -- (1,345) -- --
------------ ------------ ----------- ----------- ----------- -----------
Change in net assets from
shareholder distributions....... (4,291,523) (16,091,134) (218,729) (254,213) (416,957) (1,474,651)
------------ ------------ ----------- ----------- ----------- -----------
CAPITAL TRANSACTIONS:
Proceeds from shares issued... 28,780,295 21,229,122 15,715,954 9,650,797 9,513,585 5,050,852
Dividends reinvested.......... 4,291,420 16,091,134 107,226 254,213 387,361 1,474,651
Cost of shares redeemed....... (201,715) (1,558,798) (3,348,707) (3,719,121) (2,937,687) (3,706,440)
------------ ------------ ----------- ----------- ----------- -----------
Change in net assets from capital
transactions.................... 32,870,000 35,761,458 12,474,473 6,185,889 6,963,259 2,819,063
------------ ------------ ----------- ----------- ----------- -----------
Change in net assets.............. 50,725,602 47,777,762 13,625,875 5,988,017 9,262,940 3,465,604
NET ASSETS:
Beginning of period........... 140,451,470 92,673,708 28,489,373 22,501,356 21,625,471 18,159,867
------------ ------------ ----------- ----------- ----------- -----------
End of period................. $191,177,072 $140,451,470 $42,115,248 $28,489,373 $30,888,411 $21,625,471
============ ============ =========== =========== =========== ===========
SHARE TRANSACTIONS:
Issued........................ 1,288,665 1,126,327 1,476,787 972,013 586,482 341,183
Reinvested.................... 178,884 786,084 9,643 25,259 22,391 98,219
Redeemed...................... (8,932) (79,766) (312,058) (358,109) (173,450) (245,037)
------------ ------------ ----------- ----------- ----------- -----------
Change in shares.................. 1,458,617 1,832,645 1,174,372 639,163 435,423 194,365
============ ============ =========== =========== =========== ===========
</TABLE>
See notes to financial statements.
45
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--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
LARGE CAP GROWTH DIVERSIFIED EQUITY EQUITY INDEX
PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------- ----------------------------- -----------------------------
SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED
ENDED JUNE 30, DECEMBER 31, ENDED JUNE 30, DECEMBER 31, ENDED JUNE 30, DECEMBER 31,
2000 1999 2000 1999 2000 1999
-------------- ------------ -------------- ------------ -------------- ------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income
(loss)...................... $ (267,465) $ 234,375 $ 169,990 $ 335,268 $ 418,277 $ 542,096
Net realized gains (losses)
from investment and futures
transactions................ 39,294,540 41,677,006 (298,736) 6,051,859 494,926 991,989
Net change in unrealized
appreciation (depreciation)
from investments and
futures..................... (37,243,483) 33,738,147 1,984,045 (582,936) (856,166) 5,187,065
------------ ------------ ----------- ----------- ----------- -----------
Change in net assets resulting
from operations................. 1,783,592 75,649,528 1,855,299 5,804,191 57,037 6,721,150
------------ ------------ ----------- ----------- ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income.... -- (234,375) (171,167) (336,079) (417,986) (541,176)
In excess of net investment
income...................... -- (201,156) -- -- -- --
From net realized gains from
investment transactions..... (7,637,326) (32,563,968) -- (6,358,677) (1,091,552) (661,838)
In excess of net realized
gains from investment
transactions................ -- -- -- (15,221) -- --
------------ ------------ ----------- ----------- ----------- -----------
Change in net assets from
shareholder distributions....... (7,637,326) (32,999,499) (171,167) (6,709,977) (1,509,538) (1,203,014)
------------ ------------ ----------- ----------- ----------- -----------
CAPITAL TRANSACTIONS:
Proceeds from shares issued... 43,870,636 72,395,398 23,057,818 11,760,756 28,858,904 37,857,978
Proceeds from shares issued in
Pegasus substitution........ -- 26,126,243 -- -- -- --
Dividends reinvested.......... 7,637,184 32,999,499 68,925 6,709,976 1,298,954 1,203,015
Cost of shares redeemed....... (3,323,139) (16,187,784) (3,822,901) (6,059,678) (219,673) (3,932,201)
------------ ------------ ----------- ----------- ----------- -----------
Change in net assets from capital
transactions.................... 48,184,681 115,333,356 19,303,842 12,411,054 29,938,185 35,128,792
------------ ------------ ----------- ----------- ----------- -----------
Change in net assets.............. 42,330,947 157,983,385 20,987,974 11,505,268 28,485,684 40,646,928
NET ASSETS:
Beginning of period........... 360,018,093 202,034,708 71,065,627 59,560,359 55,127,647 14,480,719
------------ ------------ ----------- ----------- ----------- -----------
End of period................. $402,349,040 $360,018,093 $92,053,601 $71,065,627 $83,613,331 $55,127,647
============ ============ =========== =========== =========== ===========
SHARE TRANSACTIONS:
Issued........................ 1,694,309 2,936,777 1,320,934 649,087 2,304,219 3,169,873
Issued in Pegasus
substitution................ -- 1,061,051 -- -- -- --
Reinvested.................... 282,440 1,243,430 3,774 383,290 100,151 95,807
Redeemed...................... (127,265) (617,459) (219,018) (333,010) (17,379) (324,864)
------------ ------------ ----------- ----------- ----------- -----------
Change in shares.................. 1,849,484 4,623,799 1,105,690 699,373 2,386,991 2,940,816
============ ============ =========== =========== =========== ===========
</TABLE>
See notes to financial statements.
46
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--------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<TABLE>
<CAPTION>
BALANCED BOND GOVERNMENT BOND
PORTFOLIO PORTFOLIO PORTFOLIO
----------------------------- ----------------------------- -----------------------------
SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED SIX MONTHS YEAR ENDED
ENDED JUNE 30, DECEMBER 31, ENDED JUNE 30, DECEMBER 31, ENDED JUNE 30, DECEMBER 31,
2000 1999 2000 1999 2000 1999
-------------- ------------ -------------- ------------ -------------- ------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income
(loss)...................... $ 2,467,889 $ 3,977,901 $ 2,356,380 $ 3,595,454 $ 2,216,976 $ 3,119,688
Net realized gains (losses)
from investment and futures
transactions................ 356,207 3,447,334 (33,891) (61,137) (225,507) (757,688)
Net change in unrealized
appreciation (depreciation)
from investments and
futures..................... 2,822,363 4,269,376 656,407 (4,405,320) 800,368 (3,048,162)
------------ ------------ ----------- ----------- ----------- -----------
Change in net assets resulting
from operations................. 5,646,459 11,694,611 2,978,896 (871,003) 2,791,837 (686,162)
------------ ------------ ----------- ----------- ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income.... (3,116,772) (3,739,511) (2,378,679) (3,558,444) (2,336,442) (2,988,332)
From net realized gains from
investment transactions..... (137,319) (3,333,993) -- -- -- (2,360)
------------ ------------ ----------- ----------- ----------- -----------
Change in net assets from
shareholder distributions....... (3,254,091) (7,073,504) (2,378,679) (3,558,444) (2,336,442) (2,990,692)
------------ ------------ ----------- ----------- ----------- -----------
CAPITAL TRANSACTIONS:
Proceeds from shares issued... 16,812,116 72,231,755 20,802,282 17,154,252 13,992,366 31,336,825
Dividends reinvested.......... 1,960,284 7,073,504 1,140,471 3,558,445 1,170,251 2,990,691
Cost of shares redeemed....... (1,092,053) (2,790,915) (6,478,131) (9,331,269) (1,354,091) (8,678,394)
------------ ------------ ----------- ----------- ----------- -----------
Change in net assets from capital
transactions.................... 17,680,347 76,514,344 15,464,622 11,381,428 13,808,526 25,649,122
------------ ------------ ----------- ----------- ----------- -----------
Change in net assets.............. 20,072,715 81,135,451 16,064,839 6,951,981 14,263,921 21,972,268
NET ASSETS:
Beginning of period........... 183,980,385 102,844,934 67,843,537 60,891,556 64,159,438 42,187,170
------------ ------------ ----------- ----------- ----------- -----------
End of period................. $204,053,100 $183,980,385 $83,908,376 $67,843,537 $78,423,359 $64,159,438
============ ============ =========== =========== =========== ===========
SHARE TRANSACTIONS:
Issued........................ 1,081,306 4,665,460 2,069,867 1,674,349 1,398,522 3,033,590
Reinvested.................... 122,365 457,032 113,480 347,859 116,908 294,923
Redeemed...................... (68,861) (180,119) (643,784) (902,841) (135,790) (851,693)
------------ ------------ ----------- ----------- ----------- -----------
Change in shares.................. 1,134,810 4,942,373 1,539,563 1,119,367 1,379,640 2,476,820
============ ============ =========== =========== =========== ===========
</TABLE>
See notes to financial statements.
47
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--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MID CAP GROWTH PORTFOLIO
------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
JUNE 30, -----------------------------------------------
2000 1999 1998 1997 1996 1995
---------------- -------- ------- ------- ------- ------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD.... $ 20.55 $ 18.52 $ 14.21 $ 12.11 $ 11.52 $ 9.70
-------- -------- ------- ------- ------- ------
Investment Activities:
Net investment income (loss).......... (0.04) (0.03) (0.03) (0.03) 0.18 0.04
Net realized and unrealized gains
(losses) from investments........... 3.12 4.73 5.95 3.63 1.62 2.29
-------- -------- ------- ------- ------- ------
Total from Investment Activities.... 3.08 4.70 5.92 3.60 1.80 2.33
-------- -------- ------- ------- ------- ------
Distributions:
Net investment income................. -- -- -- -- (0.19) (0.04)
Net realized gains.................... (0.58) (2.67) (1.38) (1.48) (0.78) (0.47)
In excess of net realized gains....... -- -- (0.03) -- (0.24) --
Tax return of capital................. -- -- (0.20) (0.02) -- --
-------- -------- ------- ------- ------- ------
Total Distributions................. (0.58) (2.67) (1.61) (1.50) (1.21) (0.51)
-------- -------- ------- ------- ------- ------
NET ASSET VALUE, END OF PERIOD.......... $ 23.05 $ 20.55 $ 18.52 $ 14.21 $ 12.11 $11.52
======== ======== ======= ======= ======= ======
Total Return............................ 14.86%(a) 25.42% 38.82% 29.81% 15.67% 24.06%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)..... $191,177 $140,451 $92,674 $50,707 $22,339 $6,685
Ratio of expenses to average net
assets.............................. 0.87%(b) 0.92% 0.97% 1.10% 1.06% 0.90%
Ratio of net investment income to
average net assets.................. (0.35%)(b) (0.21%) (0.25%) (0.25%) 1.85% 0.46%
Ratio of expenses to average net
assets*............................. 0.87%(b) 0.92% 0.97% 1.11% 1.40% 2.78%
Portfolio turnover.................... 77.92% 167.61% 87.70% 175.60% 326.90% 193.30%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Not annualized.
(b) Annualized.
See notes to financial statements.
48
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--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
MID CAP VALUE PORTFOLIO
-------------------------------------------------------
SIX MONTHS YEAR ENDED
ENDED DECEMBER 31, MAY 1 -
JUNE 30, -------------------- DECEMBER 31,
2000 1999 1998 1997 (a)
----------- ------- ------- ------------
(UNAUDITED)
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD................ $ 10.39 $ 10.70 $ 11.53 $ 10.00
------- ------- ------- -------
Investment Activities:
Net investment income (loss)...................... 0.06 0.11 0.21 0.12
Net realized and unrealized gains (losses) from
investments.................................... 0.36 (0.31) (0.58) 1.57
------- ------- ------- -------
Total from Investment Activities............... 0.42 (0.20) (0.37) 1.69
------- ------- ------- -------
Distributions:
Net investment income............................. (0.06) (0.11) (0.21) (0.12)
Net realized gains................................ --(b) -- (0.20) (0.04)
In excess of net realized gains................... -- -- (0.05) --
------- ------- ------- -------
Total Distributions............................ (0.06) (0.11) (0.46) (0.16)
------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD...................... $ 10.75 $ 10.39 $ 10.70 $ 11.53
======= ======= ======= =======
Total Return........................................ 4.04%(c) (1.84%) (3.31%) 25.26%(d)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)................. $42,115 $28,489 $22,501 $13,926
Ratio of expenses to average net assets........... 0.95%(d) 0.95% 0.95% 0.95%(d)
Ratio of net investment income to average net
assets......................................... 1.20%(d) 1.10% 1.90% 1.83%(d)
Ratio of expenses to average net assets*.......... 1.01%(d) 1.02% 1.27% 1.22%(d)
Portfolio turnover................................ 49.70% 198.01% 39.30% 19.60%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Amount is less than $0.01.
(c) Not annualized.
(d) Annualized.
See notes to financial statements.
49
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--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED MID CAP PORTFOLIO
----------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31, MARCH 30, -
JUNE 30, --------------------------------------- DECEMBER 31,
2000 1999 1998 1997 1996 1995 (a)
----------- ------- ------- ------- ------ ------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD...... $ 15.18 $ 14.76 $ 14.38 $ 13.46 $11.02 $10.00
------- ------- ------- ------- ------ ------
Investment Activities:
Net investment income (loss)............ 0.04 0.03 (0.01) 0.01 0.03 0.05
Net realized and unrealized gains
(losses) from investments............. 1.65 1.50 0.70 3.55 2.67 1.02
------- ------- ------- ------- ------ ------
Total from Investment Activities...... 1.69 1.53 0.69 3.56 2.70 1.07
------- ------- ------- ------- ------ ------
Distributions:
Net investment income................... (0.05) (0.02) -- (0.01) (0.03) 0.05
Net realized gains...................... (0.22) (1.09) (0.31) (2.63) (0.23) --
------- ------- ------- ------- ------ ------
Total Distributions................... (0.27) (1.11) (0.31) (2.64) (0.26) (0.05)
------- ------- ------- ------- ------ ------
NET ASSET VALUE, END OF PERIOD............ $ 16.60 $ 15.18 $ 14.76 $ 14.38 $13.46 $11.02
======= ======= ======= ======= ====== ======
Total Return.............................. 11.07%(b) 10.50% 4.91% 26.65% 24.53% 14.20%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)....... $30,888 $21,625 $18,160 $11,668 $9,216 $4,972
Ratio of expenses to average net
assets................................ 0.95%(c) 0.92% 0.95% 0.91% 0.85% 0.85%(c)
Ratio of net investment income to
average net assets.................... 0.50%(c) 0.26% (0.10%) 0.04% 0.28% 0.67%(c)
Ratio of expenses to average net
assets*............................... 0.99%(c) 1.03% 1.52% 1.49% 2.11% 4.64%(c)
Portfolio turnover...................... 48.95% 58.77% 26.20% 80.70% 37.40% 32.10%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
See notes to financial statements.
50
<PAGE> 52
One Group Investment Trust
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
LARGE CAP GROWTH PORTFOLIO
------------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
JUNE 30, -------------------------------------------------------------
2000 1999 1998 1997 1996 1995
----------- -------- -------- ------- ------- -------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD.......................... $ 26.56 $ 22.63 $ 17.21 $ 13.67 $ 12.12 $ 9.99
-------- -------- -------- ------- ------- -------
Investment Activities:
Net investment income (loss).... (0.02) 0.02 0.06 0.10 0.16 0.20
Net realized and unrealized
gains (losses) from
investments.................. 0.11 6.60 7.03 4.25 1.86 2.20
-------- -------- -------- ------- ------- -------
Total from Investment
Activities................. 0.09 6.62 7.09 4.35 2.02 2.40
-------- -------- -------- ------- ------- -------
Distributions:
Net investment income........... -- (0.02) (0.06) (0.10) (0.16) (0.20)
In excess of net investment
income....................... -- (0.02) -- -- -- --
Net realized gains.............. (0.53) (2.65) (1.61) (0.71) (0.30) (0.07)
In excess of net realized
gains........................ -- -- -- -- (0.01) --
-------- -------- -------- ------- ------- -------
Total Distributions.......... (0.53) (2.69) (1.67) (0.81) (0.47) (0.27)
-------- -------- -------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD.... $ 26.12 $ 26.56 $ 22.63 $ 17.21 $ 13.67 $ 12.12
======== ======== ======== ======= ======= =======
Total Return...................... 0.27%(a) 29.26% 41.27% 31.93% 16.67% 24.13%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000)........................ $402,349 $360,018 $202,035 $99,628 $42,893 $16,119
Ratio of expenses to average net
assets....................... 0.85%(b) 0.88% 0.93% 1.00% 0.98% 0.90%
Ratio of net investment income
to average net assets........ (0.14%)(b) 0.08% 0.32% 0.69% 1.29% 2.02%
Ratio of expenses to average net
assets*...................... 0.85%(b) 0.88% 0.93% 1.00% 1.16% 1.64%
Portfolio turnover.............. 62.62% 94.18% 61.00% 34.40% 38.70% 37.40%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Not annualized.
(b) Annualized.
See notes to financial statements.
51
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One Group Investment Trust
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
DIVERSIFIED EQUITY PORTFOLIO
----------------------------------------------------------------------
SIX MONTHS
ENDED MARCH 30 -
JUNE 30, DECEMBER 31,
2000 1999 1998 1997 1996 1995 (a)
----------- ------- ------- ------- ------ ------------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD... $ 17.57 $ 17.80 $ 16.22 $ 13.19 $11.63 $10.00
------- ------- ------- ------- ------ ------
Investment Activities:
Net investment income (loss)......... 0.04 0.10 0.11 0.13 0.15 0.13
Net realized gains and unrealized
(losses) from investments......... 0.30 1.51 2.00 3.38 2.02 1.63
------- ------- ------- ------- ------ ------
Total from Investment
Activities...................... 0.34 1.61 2.11 3.51 2.17 1.76
------- ------- ------- ------- ------ ------
Distributions:
Net investment income................ (0.04) (0.10) (0.12) (0.13) (0.14) (0.13)
Net realized gains................... -- (1.73) (0.41) (0.35) (0.47) --
In excess of net realized gains...... -- (0.01) -- -- -- --
------- ------- ------- ------- ------ ------
Total Distributions............... (0.04) (1.84) (0.53) (0.48) (0.61) (0.13)
------- ------- ------- ------- ------ ------
NET ASSET VALUE, END OF PERIOD......... $ 17.87 $ 17.57 $ 17.80 $ 16.22 $13.19 $11.63
======= ======= ======= ======= ====== ======
Total Return........................... 1.91%(b) 9.13% 13.10% 26.80% 18.75% 22.75%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000).... $92,054 $71,066 $59,560 $38,705 $8,603 $3,754
Ratio of expenses to average net
assets............................ 0.95%(c) 0.95% 0.95% 0.93% 0.85% 0.85%(c)
Ratio of net investment income to
average net assets................ 0.43%(c) 0.54% 0.69% 0.93% 1.35% 1.78%(c)
Ratio of expenses to average net
assets*........................... 0.95%(c) 0.97% 1.02% 1.10% 2.27% 4.93%(c)
Portfolio turnover................... 16.70% 91.90% 43.20% 31.10% 46.80% 17.50%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
See notes to financial statements.
52
<PAGE> 54
One Group Investment Trust
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
EQUITY INDEX PORTFOLIO
--------------------------------------------------
SIX MONTHS YEAR MAY 1,
ENDED ENDED 1998 TO
JUNE 30, DECEMBER 31, DECEMBER 31,
2000 1999 1998(a)
-------------- ------------ ------------
(UNAUDITED)
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD................... $ 12.94 $ 10.97 $ 10.00
------- ------- -------
Investment Activities:
Net investment income (loss)......................... 0.07 0.17 0.08
Net realized and unrealized gains (losses) from
investments....................................... (0.16) 2.13 0.97
------- ------- -------
Total from Investment Activities.................. (0.09) 2.30 1.05
------- ------- -------
Distributions:
Net investment income................................ (0.07) (0.17) (0.08)
Net realized gains................................... (0.20) (0.16) --
------- ------- -------
Total Distributions............................... (0.27) (0.33) (0.08)
------- ------- -------
NET ASSET VALUE, END OF PERIOD......................... $ 12.58 $ 12.94 $ 10.97
======= ======= =======
Total Return........................................... (0.75%)(b) 21.11% 10.52%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000).................... $83,613 $55,128 $14,481
Ratio of expenses to average net assets.............. 0.54%(c) 0.55% 0.55%(c)
Ratio of net investment income to average net
assets............................................ 1.22%(c) 1.67% 1.45%(c)
Ratio of expenses to average net assets*............. 0.54%(c) 0.58% 1.13%(c)
Portfolio turnover................................... 1.78% 1.50% 2.30%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
See notes to financial statements.
53
<PAGE> 55
One Group Investment Trust
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
BALANCED PORTFOLIO
-----------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
JUNE 30, ------------------------------------------------------------
2000 1999 1998 1997 1996 1995
----------- -------- -------- ------- ------- ------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD........................... $ 15.68 $ 15.14 $ 13.19 $ 11.93 $ 11.24 $ 9.81
-------- -------- -------- ------- ------- ------
Investment Activities:
Net investment income (loss)..... 0.20 0.39 0.39 0.39 0.34 0.36
Net realized and unrealized gains
(losses) from investments..... 0.24 0.83 2.14 2.31 0.98 1.64
-------- -------- -------- ------- ------- ------
Total from Investment
Activities.................. 0.44 1.22 2.53 2.70 1.32 2.00
-------- -------- -------- ------- ------- ------
Distributions:
Net investment income............ (0.25) (0.38) (0.39) (0.39) (0.34) (0.36)
Net realized gains............... (0.01) (0.30) (0.19) (1.05) (0.23) --
In excess of net realized
gains......................... -- -- -- -- (0.04) (0.21)
Tax return of capital............ -- -- -- -- (0.02) --
-------- -------- -------- ------- ------- ------
Total Distributions........... (0.26) (0.68) (0.58) (1.44) (0.63) (0.57)
-------- -------- -------- ------- ------- ------
NET ASSET VALUE, END OF PERIOD..... $ 15.86 $ 15.68 $ 15.14 $ 13.19 $ 11.93 $11.24
======== ======== ======== ======= ======= ======
Total Return....................... 2.80%(a) 8.20% 19.09% 22.90% 11.92% 20.69%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000)......................... $204,053 $183,980 $102,845 $41,446 $14,883 $5,455
Ratio of expenses to average net
assets........................ 0.91%(b) 0.95% 1.00% 1.00% 1.00% 1.00%
Ratio of net investment income to
average net assets............ 2.58%(b) 2.74% 2.66% 3.24% 3.27% 3.66%
Ratio of expenses to average net
assets*....................... 0.91%(b) 0.95% 1.00% 1.15% 1.44% 1.96%
Portfolio turnover............... 20.25% 60.13% 32.10% 60.90% 64.80% 66.30%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Not annualized.
(b) Annualized
See notes to financial statements.
54
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One Group Investment Trust
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
BOND PORTFOLIO
-------------------------------------------------------
SIX MONTHS YEAR ENDED MAY 1,
ENDED DECEMBER 31, 1997 TO
JUNE 30, -------------------- DECEMBER 31,
2000 1999 1998 1997 (a)
----------- ------- ------- ------------
(UNAUDITED)
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD................ $ 9.98 $ 10.73 $ 10.44 $ 10.00
------- ------- ------- -------
Investment Activities:
Net investment income (loss)...................... 0.30 0.60 0.57 0.37
Net realized and unrealized gains (losses) from
investments.................................... 0.09 (0.76) 0.31 0.45
------- ------- ------- -------
Total from Investment Activities............... 0.39 (0.16) 0.88 0.82
------- ------- ------- -------
Distributions:
Net investment income............................. (0.30) (0.59) (0.58) (0.37)
In excess of net investment income................ -- -- (0.01) (0.01)
------- ------- ------- -------
Total Distributions............................ (0.30) (0.59) (0.59) (0.38)
------- ------- ------- -------
NET ASSET VALUE, END OF PERIOD...................... $ 10.07 $ 9.98 $ 10.73 $ 10.44
======= ======= ======= =======
Total Return........................................ 3.93%(b) (1.50%) 8.66% 12.29%(c)
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period (000)................. $83,908 $67,844 $60,892 $34,230
Ratio of expenses to average net assets........... 0.75%(c) 0.75% 0.75% 0.75%(c)
Ratio of net investment income to average net
assets......................................... 6.27%(c) 5.86% 5.36% 5.97%(c)
Ratio of expenses to average net assets*.......... 0.82%(c) 0.85% 0.81% 0.77%(c)
Portfolio turnover................................ 2.76% 7.50% 14.50% 14.80%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Period from commencement of operations.
(b) Not annualized.
(c) Annualized.
See notes to financial statements.
55
<PAGE> 57
One Group Investment Trust
--------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<TABLE>
<CAPTION>
GOVERNMENT BOND PORTFOLIO
---------------------------------------------------------------------------
SIX MONTHS
ENDED YEAR ENDED DECEMBER 31,
JUNE 30, ----------------------------------------------------------
2000 1999 1998 1997 1996 1995
---------- ------- ------- ------- ------- ------
(UNAUDITED)
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF
PERIOD............................. $ 9.96 $ 10.64 $ 10.48 $ 10.15 $ 10.48 $ 9.69
------- ------- ------- ------- ------- ------
Investment Activities:
Net investment income (loss)....... 0.30 0.56 0.56 0.60 0.59 0.64
Net realized and unrealized gains
(losses) from investments....... 0.09 (0.70) 0.20 0.35 (0.33) 0.94
------- ------- ------- ------- ------- ------
Total from Investment
Activities.................... 0.39 (0.14) 0.76 0.95 0.26 1.58
------- ------- ------- ------- ------- ------
Distributions:
Net investment income.............. (0.32) (0.54) (0.56) (0.60) (0.59) (0.64)
In excess of net investment
income.......................... -- -- (0.01) -- -- --
Net realized gains................. -- -- (0.03) (0.02) -- (0.15)
------- ------- ------- ------- ------- ------
Total Distributions............. (0.32) (0.54) (0.60) (0.62) (0.59) (0.79)
------- ------- ------- ------- ------- ------
NET ASSET VALUE,
END OF PERIOD...................... $ 10.03 $ 9.96 $ 10.64 $ 10.48 $ 10.15 $10.48
======= ======= ======= ======= ======= ======
Total Return......................... 3.93%(a) (1.31%) 7.32% 9.67% 2.69% 16.69%
RATIOS/SUPPLEMENTARY DATA:
Net assets at end of period
(000)........................... $78,423 $64,159 $42,187 $22,365 $14,622 $9,016
Ratio of expenses to average net
assets.......................... 0.67%(b) 0.73% 0.75% 0.75% 0.75% 0.75%
Ratio of net investment income to
average net assets.............. 6.36%(b) 5.68% 5.56% 6.06% 6.11% 6.54%
Ratio of expenses to average net
assets*......................... 0.67%(b) 0.73% 0.78% 0.88% 1.01% 1.47%
Portfolio turnover................. 22.22% 55.15% 40.40% 21.30% 21.30% 34.10%
</TABLE>
------------
* During the period, certain fees were voluntarily reduced. If such voluntary
fee reductions had not occurred, the ratios would have been as indicated.
(a) Not annualized.
(b) Annualized.
See notes to financial statements.
56
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One Group Investment Trust
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS JUNE 30, 2000
(Unaudited)
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. The
accompanying financial statement and financial highlights are those of the
Mid Cap Growth Portfolio, the Mid Cap Value Portfolio, the Diversified Mid
Cap Portfolio, the Large Cap Growth Portfolio, the Diversified Equity
Portfolio, the Equity Index Portfolio, the Balanced Portfolio, the Bond
Portfolio and the Government Bond Portfolio, (individually a "Portfolio",
collectively the "Portfolios"). Each Portfolio is a diversified mutual fund.
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>
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
----------------------------------------- --------------------------
PEGASUS ONE GROUP ONE GROUP
VARIABLE 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>
Continued
57
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One Group Investment Trust
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
(Unaudited)
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:
The following is a summary of significant accounting policies followed by the
Trust in preparation of its financial statements. The policies are in
conformity with U.S. generally accepted accounting principles. The
preparation of financial statements requires management to make estimates and
assumptions that affect the reported amounts of assets and liabilities at the
date of the financial statements and the reported amounts of income and
expenses for the period. Actual results could differ from those estimates.
SECURITY VALUATION
Listed securities are valued at the latest available sales price on the
principal exchange where such securities are traded. Unlisted securities
for which latest sales prices are not available are valued at the mean of
the latest bid and ask price in the principal market where such securities
are normally traded. Corporate debt securities and debt securities of U.S.
issuers (other than short-term investments maturing in 60 days or less),
including municipal securities, are valued on the basis of valuations
provided by dealers or by an independent pricing service approved by the
Board of Trustees. Short-term investments maturing in 60 days or less are
valued at amortized cost,which approximates market value. Futures contracts
are valued at the settlement price established each day by the board of
trade or exchange on which they are traded. Options traded on an exchange
are valued using the last price or, in the absence of a sale, the mean of
the latest bid and ask prices. Options traded over-the-counter are valued
using dealer-supplied valuations. Investments for which there are no such
quotations or valuations are carried at the fair value as determined by the
Pricing Committee which is comprised of members from One Group
Administrative Services (the "Administrator"), an affiliate of Banc One
Investment Advisors (the "Advisor") and BISYS Fund Services Ohio, Inc. (the
"Fund Accountant") under the direction of the Board of Trustees.
REPURCHASE AGREEMENTS
The Funds may invest in repurchase agreements with institutions that are
deemed by the Advisor to be of good standing and creditworthy under
guidelines established by the Board of Trustees. Each repurchase agreement
is recorded at cost. The Fund requires that the securities purchased in a
repurchase agreement transaction be transferred to the custodian in a
manner sufficient to enable the Fund to obtain those securities in the
event of a counterparty default. The seller, under the repurchase
agreement, is required to maintain the value of the securities held at not
less than the repurchase price, including accrued interest. Repurchase
agreements are considered to be loans under the 1940 Act.
FEDERAL INCOME TAX
Each Fund intends to continue to qualify as a regulated investment company
by complying with the provisions available to certain investment companies
as defined in applicable sections of the Internal Revenue Code, and to make
distributions from net investment income and from net realized capital
gains sufficient to relieve it from all, or substantially all, federal
income taxes.
SECURITY TRANSACTIONS AND RELATED INCOME
Security transactions are accounted for on a trade date basis. Net realized
gains or losses from sales of securities are determined on the specific
identification cost method. Interest income and expenses are recognized on
the accrual basis. Dividends are recorded on the ex-dividend date. Interest
income includes premium
Continued
58
<PAGE> 60
One Group Investment Trust
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
(Unaudited)
amortization and discount accretion for both financial reporting and tax
purposes. Amortization and accretion are calculated using the effective
interest method.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income, if any, are declared and paid
quarterly for the Funds. Net realized capital gains, if any, are
distributed at least annually.
Distributions from net investment income and from net capital gains are
determined in accordance with income tax regulations, which may differ from
generally accepted accounting principles. These differences are primarily
due to differing treatments for expiring capital loss carryforwards and
deferrals of certain losses. Permanent book and tax basis differences have
been reclassified among the components of net assets.
EXPENSES
Direct expenses of a Portfolio are allocated to that Portfolio. The general
expenses of the Trust are allocated among the respective Portfolios.
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 June 30, 2000, the following Portfolios had securities with the
following market values on loan:
<TABLE>
<CAPTION>
MARKET
MARKET VALUE OF
VALUE OF LOANED
COLLATERAL SECURITIES
----------- ------------
<S> <C> <C>
Mid Cap Growth Portfolio.................................... $33,875,502 $32,589,020
Mid Cap Value Portfolio..................................... 14,690,802 13,932,976
Diversified Mid Cap Portfolio............................... 14,294,438 13,557,059
Large Cap Growth Portfolio.................................. 131,179 124,412
Diversified Equity Portfolio................................ 8,454,663 8,018,529
Equity Index Portfolio...................................... 16,367,453 15,523,412
Balanced Portfolio.......................................... 15,558,470 15,112,377
Bond Portfolio.............................................. 11,823,026 11,249,596
Government Bond Portfolio................................... 11,868,105 11,425,319
</TABLE>
Continued
59
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One Group Investment Trust
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
(Unaudited)
FINANCIAL INSTRUMENTS
Investing in financial instruments such as futures and indexed securities
involves risk in excess of the amounts reflected in the Statements of
Assets and Liabilities. The face or contract amounts reflect the extent of
the involvement the Portfolios have in the particular class of instrument.
Risks associated with these instruments include an imperfect correlation
between the movements in the price of the instruments and the price of the
underlying securities and interest rates, an illiquid secondary market for
the instruments or inability of counterparties to perform under the terms
of the contract, and changes in the value of currency relative to the U.S.
dollar. The Portfolios enter into these contracts primarily as a means to
hedge against adverse fluctuations in the value of securities held or
planned to be purchased by the Portfolios.
FUTURES CONTRACTS
The Portfolios may enter into futures contracts for the delayed delivery of
securities at a fixed price at some future date or for the change in the
value of a specified financial index over a predetermined time period. Cash
or securities are deposited with brokers in order to maintain a position.
Subsequent payments made or received by the Fund based on the daily change
in the market value of the position are recorded as unrealized appreciation
or depreciation until the contract is closed out, at which time the
appreciation or depreciation is realized.
3. INVESTMENT ADVISORY AND ADMINISTRATION AGREEMENTS:
The Trust and the Advisor are parties to an investment advisory agreement
which the Advisor is entitled to a fee, computed 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>
Mid Cap Growth Portfolio.................................... 0.65%
Mid Cap Value Portfolio..................................... 0.74%
Diversified Mid Cap Portfolio............................... 0.74%
Large Cap Growth Portfolio.................................. 0.65%
Diversified Equity Portfolio................................ 0.74%
Equity Index Portfolio...................................... 0.30%
Balanced Portfolio.......................................... 0.70%
Bond Portfolio.............................................. 0.60%
Government Bond Portfolio................................... 0.45%
</TABLE>
The Trust and the Administrator, an affiliate of the Advisor, are parties to
an administration agreement under which the Administrator provides services
for a fee that is computed daily and paid monthly, at an annual rate of 0.18%
on the first $250 million in Trust average daily net assets (except for the
Equity Index Portfolio) and 0.14% on Trust average daily net assets in excess
of $250 million (except for the Equity Index Portfolio). The Administrator is
entitled to a fee at the rate of 0.14% of the Equity Index Portfolio's
average daily net assets.
Continued
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One Group Investment Trust
--------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED JUNE 30, 2000
(Unaudited)
4. SECURITIES TRANSACTIONS:
The cost of security purchases and the proceeds from the sale of securities
(excluding short-term securities and financial futures) during the six months
ended June 30, 2000 are summarized as follows:
<TABLE>
<CAPTION>
PURCHASES SALES
------------ ------------
<S> <C> <C>
Mid Cap Growth Fund......................................... $149,556,310 $123,286,330
Mid Cap Value Fund.......................................... 30,289,543 17,007,414
Diversified Mid Cap Fund.................................... 23,338,437 11,763,214
Large Cap Growth Fund....................................... 260,793,567 224,594,749
Diversified Equity Fund..................................... 34,153,810 12,357,560
Equity Index Fund........................................... 53,627,839 1,070,197
Balanced Fund............................................... 60,480,880 37,140,931
Bond Fund................................................... 20,867,175 1,853,200
Government Bond Fund........................................ 28,342,404 14,596,462
</TABLE>
5. DEFERRED COMPENSATION PLAN:
Independent Trustees of the Funds may participate in a Deferred Compensation
Plan in which they may defer any or all compensation related to performance
of their duties as a Trustee. All deferred compensation is paid by the Funds
and invested into various One Group Funds elected by each Trustee. The plan
is fully funded and therefore, the Funds bear no additional trustee expense
over and above the normal cash compensation.
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