----------------------------------
OMB APPROVAL
OMB Number: 3235-0570
Expires: October 31, 2006
Estimated average burden
hours per response. . . . . . .19.3
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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-7874
---------------------------------------------
One Group Investment Trust
- -------------------------------------------------------------------------------
(Exact name of registrant as specified in charter)
1111 Polaris Parkway, Columbus, OH 43271-1235
- -------------------------------------------------------------------------------
(Address of principal executive offices) (Zip code)
One Group Administrative Services, Inc.
1111 Polaris Parkway, Columbus, OH 43240
- -------------------------------------------------------------------------------
(Name and address of agent for service)
Registrant's telephone number, including area code: 1-800-480-4111
----------------------------
Date of fiscal year end: December 31, 2004
-------------------------------------------------------
Date of reporting period: January 1, 2004 through June 30, 2004
------------------------------------------------------
Form N-CSR is to be used by management investment companies to file reports
with the Commission not later than 10 days after the transmission to
stockholders of any report that is required to be transmitted to stockholders
under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
The Commission may use the information provided on Form N-CSR in its regulatory,
disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form
N-CSR, and the Commission will make this information public. A registrant is not
required to respond to the collection of information contained in Form N-CSR
unless the Form displays a currently valid Office of Management and Budget
("OMB") control number. Please direct comments concerning the accuracy of the
information collection burden estimate and any suggestions for reducing the
burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW,
Washington, DC 20549-0609. The OMB has reviewed this collection of information
under the clearance requirements of 44 U.S.C. ss. 3507.
ITEM 1. REPORTS TO STOCKHOLDERS.
[ONE GROUP INVESTMENTS]
SEMI-ANNUAL REPORT
Twelve Months Ended June 30, 2004
One Group
INVESTMENT TRUST
Mid Cap Growth Portfolio Equity Index Portfolio
Mid Cap Value Portfolio Balanced Portfolio
Diversified Mid Cap Portfolio Bond Portfolio
Large Cap Growth Portfolio Government Bond Portfolio
Diversified Equity Portfolio
NOT FDIC INSURED * NO BANK GUARANTEE * MAY LOSE VALUE
This material must be preceded or accompanied by a current prospectus.
1
ONE GROUP INVESTMENT TRUST
- --------------------------------------------------------------------------------
TABLE OF CONTENTS
<Table>
Schedules of Portfolio Investments ......................... 2
Statements of Assets and Liabilities ....................... 51
Statements of Operations ................................... 53
Statements of Changes in Net Assets ........................ 55
Financial Highlights ....................................... 58
Notes to Financial Statements .............................. 60
Trustees ................................................... 65
Officers ................................................... 66
Shareholder Expense Example ................................ 67
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
2
ONE GROUP INVESTMENT TRUST MID CAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
COMMON STOCKS (98.3%):
Commercial Services (3.3%):
31,800 Dun & Bradstreet Corp.
(b)....................... 1,714,338
50,405 Harte-Hanks, Inc. .......... 1,230,386
48,690 Manpower, Inc. ............. 2,471,991
31,600 Nextel Partners, Inc., Class
A (b)..................... 503,072
24,500 RSA Security, Inc. (b)...... 501,515
-----------
6,421,302
-----------
Consumer Durables (1.4%):
21,000 Centex Corp. ............... 960,750
8,600 Harman International
Industries, Inc. ......... 782,600
24,250 HNI Corp. .................. 1,026,503
-----------
2,769,853
-----------
Consumer Non-Durables (3.5%):
83,600 Coach, Inc. (b)............. 3,777,884
40,600 Dean Foods Co. (b).......... 1,514,786
52,030 Hormel Foods Corp. ......... 1,618,133
-----------
6,910,803
-----------
Consumer Services (9.0%):
38,145 Brinker International, Inc.
(b)....................... 1,301,507
36,240 Career Education Corp.
(b)....................... 1,651,094
18,730 Cheesecake Factory, Inc.
(b)....................... 745,267
46,100 Corinthian Colleges, Inc.
(b)....................... 1,140,514
42,600 Education Management Corp.
(b)....................... 1,399,836
32,110 GTECH Holdings Corp. ....... 1,487,014
20,870 International Speedway
Corp., Class A............ 1,015,117
12,200 ITT Educational Services,
Inc. (b).................. 463,844
26,000 Mandalay Resort Group....... 1,784,640
17,400 MGM Grand, Inc. (b)......... 816,756
40,020 Outback Steakhouse, Inc. ... 1,655,227
15,000 Panera Bread Co. (b)........ 538,200
26,100 Ruby Tuesday, Inc. ......... 716,445
11,500 Starwood Hotels & Resorts
Worldwide, Inc. .......... 515,775
2,560 Washington Post Co., Class
B......................... 2,380,826
-----------
17,612,062
-----------
Distribution Services (1.8%):
36,880 CDW Corp. .................. 2,351,469
14,090 Patterson Dental Co. (b).... 1,077,744
-----------
3,429,213
-----------
Electronic Technology (15.7%):
37,700 Adtran, Inc. ............... 1,258,049
12,600 Agilent Technologies, Inc.
(b)....................... 368,928
55,900 Altera Corp. (b)............ 1,242,098
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
COMMON STOCKS, CONTINUED:
Electronic Technology, continued:
15,200 Amphenol Corp., Class A
(b)....................... 506,464
11,300 Arrow Electronics, Inc.
(b)....................... 303,066
6,000 Avocent Corp. (b)........... 220,440
14,900 Broadcom Corp., Class A
(b)....................... 696,873
11,800 Cognizant Technology
Solutions Corp. (b)....... 299,838
44,200 Comverse Technology, Inc.
(b)....................... 881,348
51,700 Cree, Inc. (b).............. 1,203,576
24,340 Diebold, Inc. .............. 1,286,856
20,400 Emulex Corp. (b)............ 291,924
32,100 Fairchild Semiconductor
International, Inc. (b)... 525,477
15,400 Harris Corp. ............... 781,550
30,600 Integrated Circuit Systems,
Inc. (b).................. 831,096
48,800 Integrated Device
Technology, Inc. (b)...... 675,392
32,000 Intersil Corp., Class A..... 693,120
38,300 Jabil Circuit, Inc. (b)..... 964,394
51,100 Juniper Networks, Inc.
(b)....................... 1,255,527
26,700 KLA-Tencor Corp. (b)........ 1,318,446
19,500 L-3 Communications Holdings,
Inc. ..................... 1,302,600
58,710 Lam Research Corp. (b)...... 1,573,428
18,500 Lexmark International, Inc.,
Class A (b)............... 1,785,805
61,515 Microchip Technology,
Inc. ..................... 1,940,182
16,300 Novellus Systems, Inc.
(b)....................... 512,472
17,800 Qlogic Corp. (b)............ 473,302
23,900 SanDisk Corp. (b)........... 518,391
39,890 Semtech Corp. (b)........... 939,011
23,780 Silicon Laboratories, Inc.
(b)....................... 1,102,203
57,500 Storage Technology Corp.
(b)....................... 1,667,500
61,520 Synopsys, Inc. (b).......... 1,749,014
94,700 Tellabs, Inc. (b)........... 827,678
10,000 Zebra Technologies Corp.,
Class A (b)............... 870,000
-----------
30,866,048
-----------
Energy Minerals (3.2%):
20,800 Apache Corp. ............... 905,840
31,480 Murphy Oil Corp. ........... 2,320,076
100,445 XTO Energy, Inc. ........... 2,992,257
-----------
6,218,173
-----------
Finance (6.4%):
17,100 Affiliated Managers Group,
Inc. (b).................. 861,327
38,060 Arthur J. Gallagher &
Co. ...................... 1,158,927
37,156 ChoicePoint, Inc. (b)....... 1,696,543
31,270 Commerce Bancorp, Inc. ..... 1,720,163
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
3
ONE GROUP INVESTMENT TRUST MID CAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
COMMON STOCKS, CONTINUED:
Finance, continued:
20,100 Everest Re Group Ltd. ...... 1,615,236
32,420 Legg Mason, Inc. ........... 2,950,544
10,143 Lehman Brothers Holdings,
Inc. ..................... 763,261
33,710 New York Community Bancorp,
Inc. ..................... 661,727
22,040 Westamerica Bancorp......... 1,155,998
-----------
12,583,726
-----------
Health Services (6.9%):
10,400 Aetna, Inc. ................ 884,000
21,900 AmerisourceBergen Corp. .... 1,309,182
26,460 Anthem, Inc. (b)............ 2,369,758
70,511 Caremark Rx, Inc. (b)....... 2,322,632
28,505 Coventry Health Care, Inc.
(b)....................... 1,393,895
33,370 Express Scripts, Inc., Class
A (b)..................... 2,643,904
30,100 Omnicare, Inc. ............. 1,288,581
28,350 Universal Health Services,
Inc., Class B............. 1,300,982
-----------
13,512,934
-----------
Health Technology (12.6%):
13,900 Allergan, Inc. ............. 1,244,328
44,900 Angiotech Pharmaceuticals,
Inc. (b).................. 904,735
35,857 Barr Pharmaceuticals, Inc.
(b)....................... 1,208,381
26,210 Beckman Coulter, Inc. ...... 1,598,810
42,300 Biogen Idec, Inc. (b)....... 2,675,475
31,100 Biomet, Inc. ............... 1,382,084
15,370 Charles River Laboratories
International, Inc. (b)... 751,132
31,870 Dentsply International,
Inc. ..................... 1,660,427
27,290 Edwards Lifesciences Corp.
(b)....................... 951,057
18,400 Fisher Scientific
International, Inc. (b)... 1,062,600
10,700 Genzyme Corp. (b)........... 506,431
35,250 Gilead Sciences, Inc. (b)... 2,361,750
43,000 MedImmune, Inc. (b)......... 1,006,200
55,805 Mylan Laboratories, Inc. ... 1,130,051
14,410 Protein Design Labs, Inc.
(b)....................... 275,663
33,430 Sepracor, Inc. (b).......... 1,768,447
14,300 St. Jude Medical, Inc.
(b)....................... 1,081,795
17,570 Steris Corp. (b)............ 396,379
20,280 Varian Medical Systems, Inc.
(b)....................... 1,609,218
39,380 Watson Pharmaceuticals, Inc.
(b)....................... 1,059,322
-----------
24,634,285
-----------
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
COMMON STOCKS, CONTINUED:
Industrial Services (3.7%):
7,300 Dycom Industries, Inc.
(b)....................... 204,400
37,500 FMC Technologies, Inc.
(b)....................... 1,080,000
40,610 Jacobs Engineering Group,
Inc. (b).................. 1,599,222
17,700 Patterson-UTI Energy,
Inc. ..................... 591,357
46,420 Smith International, Inc.
(b)....................... 2,588,379
39,900 Tetra Tech, Inc. (b)........ 651,168
11,800 Weatherford International
Ltd. (b).................. 530,764
-----------
7,245,290
-----------
Process Industries (2.8%):
4,800 Biotech Holders Trust....... 702,960
33,100 Freeport-McMoRan Copper &
Gold, Inc., Class B....... 1,097,265
60,200 Inco Ltd. (b)............... 2,080,512
7,000 Scotts Co., Class A (b)..... 447,160
21,560 Valspar Corp. .............. 1,086,408
-----------
5,414,305
-----------
Producer Manufacturing (2.0%):
46,990 Energizer Holdings, Inc.
(b)....................... 2,114,549
19,650 Graco, Inc. ................ 610,133
25,790 Hubbell, Inc., Class B...... 1,204,651
-----------
3,929,333
-----------
Retail Trade (9.8%):
27,400 Advance Auto Parts, Inc.
(b)....................... 1,210,532
22,110 Bed Bath & Beyond, Inc.
(b)....................... 850,130
43,100 Chico's FAS, Inc. (b)....... 1,946,396
41,260 Claire's Stores, Inc. ...... 895,342
27,880 Fastenal Co. ............... 1,584,420
19,550 Michael's Stores, Inc. ..... 1,075,250
33,400 O'Reilly Automotive, Inc.
(b)....................... 1,509,680
80,160 Petsmart, Inc. ............. 2,601,192
60,250 Rent-A-Center, Inc. (b)..... 1,803,283
97,140 Ross Stores, Inc. .......... 2,599,466
77,700 TJX Cos., Inc. ............. 1,875,678
11,600 Whole Foods Market, Inc. ... 1,107,220
-----------
19,058,589
-----------
Technology Services (11.8%):
39,700 Adobe Systems, Inc. ........ 1,846,050
56,400 Affiliated Computer
Services, Inc., Class A
(b)....................... 2,985,816
18,000 Ask Jeeves, Inc. (b)........ 702,540
48,600 BMC Software, Inc. (b)...... 899,100
23,390 Certegy, Inc. .............. 907,532
13,400 Cognos, Inc. (b)............ 484,544
44,920 DST Systems, Inc. (b)....... 2,160,203
32,100 Electronic Arts, Inc. (b)... 1,751,055
13,400 F5 Networks, Inc. (b)....... 354,832
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
4
ONE GROUP INVESTMENT TRUST MID CAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
COMMON STOCKS, CONTINUED:
Technology Services, continued:
32,980 Fair Issac & Co., Inc. ..... 1,100,872
37,600 Fiserv, Inc. (b)............ 1,462,264
7,100 Getty Images, Inc. (b)...... 426,000
22,300 Intuit, Inc. (b)............ 860,334
31,800 Macromedia, Inc. (b)........ 780,690
47,510 Macrovision Corp. (b)....... 1,189,175
39,135 National Instruments
Corp. .................... 1,199,488
21,400 Netease.com, Inc. (b)....... 884,248
23,300 SunGard Data Systems, Inc.
(b)....................... 605,800
42,000 Symantec Corp. (b).......... 1,838,760
38,700 Unisys Corp. (b)............ 537,156
-----------
22,976,459
-----------
Transportation (3.3%):
97,700 AMR Corp. (b)............... 1,183,147
35,200 C.H. Robinson Worldwide,
Inc. ..................... 1,613,568
37,660 Expeditors International of
Washington, Inc. ......... 1,860,781
28,500 J.B. Hunt Transport
Services, Inc. ........... 1,099,530
35,000 Swift Transportation Co.,
Inc. (b).................. 628,250
-----------
6,385,276
-----------
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
COMMON STOCKS, CONTINUED:
Utilities (1.1%):
40,260 Equitable Resources,
Inc. ..................... 2,081,845
-----------
Total Common Stocks 192,049,496
-----------
INVESTMENT COMPANIES (1.4%):
900 iShares Russell 2000 Growth
Index Fund................ 56,250
5,900 Mid-Cap 400 Depository
Receipt................... 655,490
1,967,213 One Group Prime Money Market
Fund, Class I (c)......... 1,967,213
-----------
Total Investment Companies 2,678,953
-----------
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR
SECURITIES LENDING (10.7%):
20,897,661 Pool of various securities
for One Group Equity
Funds -- footnote 2
(Securities Lending)...... 20,897,661
-----------
Total Short-Term Securities Held as
Collateral for Securities Lending 20,897,661
-----------
Total (Cost $175,080,617) (a) 215,626,110
===========
</Table>
- ------------
Percentages indicated are based on net assets of $195,375,577.
(a) Represents cost for financial reporting purposes and differs from market
value by unrealized appreciation (depreciation) of securities as follows:
<Table>
Unrealized appreciation...................... $45,628,967
Unrealized depreciation...................... (5,083,474)
-----------
Net unrealized appreciation (depreciation)... $40,545,493
===========
</Table>
Aggregate cost for federal income tax purposes differs from cost for financial
reporting purposes by less than 2% of net assets and is therefore considered
substantially the same.
(b) Non-income producing securities.
(c) Investment in affiliate.
See notes to financial statements.
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
5
ONE GROUP INVESTMENT TRUST MID CAP VALUE PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- --------- ----------------------------- -----------
COMMON STOCKS (96.0%):
Commercial Services (1.3%):
5,800 Banta Corp. ................. 257,578
26,800 Copart, Inc. (b)............. 715,560
16,100 Valassis Communications, Inc.
(b)........................ 490,567
-----------
1,463,705
-----------
Consumer Durables (4.9%):
13,200 Centex Corp. ................ 603,900
40,300 D.R. Horton, Inc. ........... 1,144,520
11,400 HNI Corp. ................... 482,562
21,200 Lennar Corp. ................ 948,064
6,800 Mohawk Industries, Inc.
(b)........................ 498,644
50,000 Newell Rubbermaid, Inc. ..... 1,175,000
14,000 Pulte Homes, Inc. ........... 728,420
-----------
5,581,110
-----------
Consumer Non-Durables (3.4%):
35,200 Constellation Brands, Inc.,
Class A (b)................ 1,306,976
22,800 Loews Corp. -- Carolina
Group...................... 559,740
53,900 PepsiAmericas, Inc. ......... 1,144,836
42,700 Tyson Foods, Inc., Class A... 894,565
-----------
3,906,117
-----------
Consumer Services (6.2%):
38,700 Belo Corp., Class A.......... 1,039,095
10,300 Brinker International, Inc.
(b)........................ 351,436
28,700 CBRL Group, Inc. ............ 885,395
35,000 Emmis Communications Corp.,
Class A (b)................ 734,300
21,700 Laureate Education, Inc.
(b)........................ 829,808
25,400 Mandalay Resort Group........ 1,743,456
33,000 Reader's Digest Association,
Inc., Class A.............. 527,670
34,546 Scholastic Corp. (b)......... 1,034,653
-----------
7,145,813
-----------
Electronic Technology (6.9%):
94,600 3Com Corp. (b)............... 591,250
29,200 American Power Conversion
Corp. ..................... 573,780
41,300 Arrow Electronics, Inc.
(b)........................ 1,107,666
7,800 Diebold, Inc. ............... 412,386
29,500 Harris Corp. ................ 1,497,125
48,300 Integrated Device Technology,
Inc. (b)................... 668,472
32,000 L-3 Communications Holdings,
Inc. ...................... 2,137,600
39,560 Lattice Semiconductor Corp.
(b)........................ 277,316
27,600 Newport Corp. (b)............ 446,292
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- --------- ----------------------------- -----------
COMMON STOCKS, CONTINUED:
Electronic Technology, continued:
18,000 Titan Corp. (b).............. 233,640
-----------
7,945,527
-----------
Energy Minerals (3.5%):
30,080 Arch Coal, Inc. ............. 1,100,627
14,062 Devon Energy Corp. .......... 928,092
34,400 Pioneer Natural Resources
Co. ....................... 1,206,752
10,230 Valero Energy Corp. ......... 754,565
-----------
3,990,036
-----------
Finance (27.6%):
18,100 AMB Property Corp. .......... 626,803
23,700 American Financial Group,
Inc. ...................... 724,509
32,800 American Financial Realty
Trust...................... 468,712
33,600 Associated Banc Corp. ....... 995,568
21,500 Assurant, Inc. .............. 567,170
37,600 Assured Guaranty Ltd. (b).... 637,320
19,700 Axis Capital Holdings
Ltd. ...................... 551,600
42,400 Banknorth Group, Inc. ....... 1,377,152
36,100 Compass Bancshares, Inc. .... 1,552,300
10,500 Cousins Properties, Inc. .... 345,975
95,800 E*Trade Group, Inc. (b)...... 1,068,170
20,000 Endurance Specialty Holdings
Ltd. ...................... 696,000
28,100 Everest Re Group Ltd. ....... 2,258,115
36,602 Fidelity National Financial,
Inc. ...................... 1,366,719
20,300 First Horizon National
Corp. ..................... 923,041
29,100 HCC Insurance Holdings,
Inc. ...................... 972,231
16,100 Independence Community Bank
Corp. ..................... 586,040
33,500 IndyMac Bancorp, Inc. ....... 1,058,600
30,800 Janus Capital Group, Inc. ... 507,892
21,920 Liberty Property Trust....... 881,403
18,730 MBIA, Inc. .................. 1,069,858
27,500 Mercantile Bankshares
Corp. ..................... 1,287,550
44,310 National Commerce Financial
Co. ....................... 1,440,075
10,300 NCO Group, Inc. (b).......... 274,907
30,000 New York Community Bancorp,
Inc. ...................... 588,900
59,550 Old Republic International
Corp. ..................... 1,412,526
27,900 PMI Group, Inc. ............. 1,214,208
16,900 Protective Life Corp. ....... 653,523
35,600 Radian Group, Inc. .......... 1,705,240
75,900 Sovereign Bancorp, Inc. ..... 1,677,390
13,500 StanCorp Financial Group,
Inc. ...................... 904,500
24,900 United Dominion Realty Trust,
Inc. ...................... 492,522
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
6
ONE GROUP INVESTMENT TRUST MID CAP VALUE PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- --------- ----------------------------- -----------
COMMON STOCKS, CONTINUED:
Finance, continued:
13,600 Zions Bancorp................ 835,720
-----------
31,722,239
-----------
Health Services (3.3%):
13,000 AmerisourceBergen Corp. ..... 777,140
26,000 Omnicare, Inc. .............. 1,113,060
36,300 Triad Hospitals, Inc. (b).... 1,351,449
12,700 Universal Health Services,
Inc., Class B.............. 582,803
-----------
3,824,452
-----------
Health Technology (0.6%):
26,700 King Pharmaceuticals, Inc.
(b)........................ 305,715
16,900 Millennium Pharmaceuticals,
Inc. (b)................... 233,220
10,370 Protein Design Labs, Inc.
(b)........................ 198,378
-----------
737,313
-----------
Industrial Services (5.9%):
105,000 El Paso Corp. ............... 827,400
44,700 ENSCO International, Inc. ... 1,300,770
38,500 Grant Prideco, Inc. (b)...... 710,710
19,200 Helmerich & Payne, Inc. ..... 502,080
30,800 National-Oilwell, Inc. (b)... 969,892
20,300 Republic Services, Inc. ..... 587,482
26,500 Tidewater, Inc. ............. 789,700
49,300 Varco International, Inc.
(b)........................ 1,079,177
-----------
6,767,211
-----------
Non-Energy Minerals (1.1%):
56,840 AK Steel Holding Corp. (b)... 299,547
12,000 Phelps Dodge Corp. .......... 930,120
-----------
1,229,667
-----------
Process Industries (5.8%):
21,600 Bowater, Inc. ............... 898,344
19,780 Cabot Corp. ................. 805,046
27,200 Ferro Corp. ................. 725,696
34,100 Lubrizol Corp. .............. 1,248,742
38,610 Lyondell Chemical Co. ....... 671,428
7,900 Minerals Technologies,
Inc. ...................... 458,200
73,540 RPM International, Inc. ..... 1,117,808
15,000 Valspar Corp. ............... 755,850
-----------
6,681,114
-----------
Producer Manufacturing (7.7%):
38,600 ALLETE, Inc. ................ 1,285,380
32,000 Borg Warner, Inc. ........... 1,400,640
13,700 Carlisle Cos., Inc. ......... 852,825
24,200 Lear Corp. .................. 1,427,558
32,600 Pentair, Inc. ............... 1,096,664
23,000 SPX Corp. ................... 1,068,120
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- --------- ----------------------------- -----------
COMMON STOCKS, CONTINUED:
Producer Manufacturing, continued:
13,400 Teleflex, Inc. .............. 672,010
18,700 Trinity Industries, Inc. .... 594,473
12,200 York International Corp. .... 501,054
-----------
8,898,724
-----------
Retail Trade (2.7%):
72,500 Albertson's, Inc. ........... 1,924,150
13,700 Borders Group, Inc. ......... 321,128
56,100 Saks, Inc. .................. 841,500
-----------
3,086,778
-----------
Technology Services (2.4%):
32,560 Ascential Software Corp.
(b)........................ 520,634
20,800 Macromedia, Inc. (b)......... 510,640
11,300 Reynolds & Reynolds Co.,
Class A.................... 261,369
47,500 Sybase, Inc. (b)............. 855,000
40,400 Unisys Corp. (b)............. 560,752
-----------
2,708,395
-----------
Transportation (2.8%):
33,000 Atlantic Coast Airlines, Inc.
(b)........................ 189,420
35,100 EGL, Inc. (b)................ 933,660
41,200 J.B. Hunt Transport Services,
Inc. ...................... 1,589,496
29,600 Swift Transportation Co.,
Inc. (b)................... 531,320
-----------
3,243,896
-----------
Utilities (9.9%):
29,500 Black Hills Corp. ........... 929,250
20,000 Consolidated Edison, Inc. ... 795,200
35,300 Energy East Corp. ........... 856,025
12,500 Equitable Resources, Inc. ... 646,375
18,380 Hawaiian Electric Industries,
Inc. ...................... 479,718
39,120 MDU Resources Group, Inc. ... 940,054
15,090 NSTAR........................ 722,509
47,600 Oneok, Inc. ................. 1,046,724
70,725 Pepco Holdings, Inc. ........ 1,292,853
48,030 Puget Energy, Inc. .......... 1,052,337
27,000 Sempra Energy................ 929,610
50,500 Wisconsin Energy Corp. ...... 1,646,805
-----------
11,337,460
-----------
Total Common Stocks 110,269,557
-----------
WARRANTS (0.0%):
Finance (0.0%):
22,300 Dime Bancorp, Inc. (b)....... 2,453
-----------
Total Warrants 2,453
-----------
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
7
ONE GROUP INVESTMENT TRUST MID CAP VALUE PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- --------- ----------------------------- -----------
INVESTMENT COMPANIES (3.9%):
4,478,718 One Group Prime Money Market
Fund, Class I (c).......... 4,478,718
-----------
Total Investment Companies 4,478,718
-----------
REPURCHASE AGREEMENTS (0.3%):
349,000 State Street Bank and Trust,
0.65%, 7/1/04 (Proceeds at
maturity $349,006
collateralized by various
U.S. Government
Securities)................ 349,000
-----------
Total Repurchase Agreements 349,000
-----------
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- --------- ----------------------------- -----------
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR
SECURITIES LENDING (7.7%):
8,832,135 Pool of various securities
for One Group Equity
Funds -- footnote 2
(Securities Lending)....... 8,832,135
-----------
Total Short-Term Securities Held as
Collateral for Securities Lending 8,832,135
-----------
Total (Cost $99,636,111) (a) 123,931,863
===========
</Table>
- ------------
Percentages indicated are based on net assets of $114,896,709.
(a) Represents cost for financial reporting purposes and differs from market
value by unrealized appreciation (depreciation) of securities as follows:
<Table>
Unrealized appreciation...................... $25,622,902
Unrealized depreciation...................... (1,327,150)
-----------
Net unrealized appreciation (depreciation)... $24,295,752
===========
</Table>
Aggregate cost for federal income tax purposes differs from cost for financial
reporting purposes by less than 2% of net assets and is therefore considered
substantially the same.
(b) Non-income producing securities.
(c) Investment in affiliate.
See notes to financial statements.
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
8
ONE GROUP INVESTMENT TRUST DIVERSIFIED MID CAP PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- --------- ------------------------------ ----------
COMMON STOCKS (93.9%):
Commercial Services (1.6%):
12,554 Manpower, Inc. ............... 637,367
16,130 RSA Security, Inc. (b)........ 330,181
----------
967,548
----------
Consumer Durables (2.2%):
5,990 Cooper Tire & Rubber Co. ..... 137,770
20,680 D.R. Horton, Inc. ............ 587,312
7,677 Mohawk Industries, Inc. (b)... 562,954
----------
1,288,036
----------
Consumer Non-Durables (3.0%):
6,630 Coach, Inc. (b)............... 299,610
13,713 Constellation Brands, Inc.,
Class A (b)................. 509,164
15,948 Liz Claiborne, Inc. .......... 573,808
13,830 Smithfield Foods, Inc. (b).... 406,602
----------
1,789,184
----------
Consumer Services (3.8%):
19,522 Corinthian Colleges, Inc.
(b)......................... 482,974
10,667 ITT Educational Services, Inc.
(b)......................... 405,559
6,322 Mandalay Resort Group......... 433,942
12,840 Outback Steakhouse, Inc. ..... 531,063
10,603 Yum! Brands, Inc. (b)......... 394,644
----------
2,248,182
----------
Distribution Services (2.2%):
9,863 CDW Corp. .................... 628,865
8,075 Henry Schein, Inc. (b)........ 509,856
2,180 Patterson Dental Co. (b)...... 166,748
----------
1,305,469
----------
Electronic Technology (10.6%):
10,310 Adtran, Inc. ................. 344,045
13,730 Amphenol Corp., Class A (b)... 457,484
14,862 Arrow Electronics, Inc. (b)... 398,599
24,844 Cadence Design Systems, Inc.
(b)......................... 363,468
15,742 Espeed, Inc. (b).............. 277,846
7,606 Foundry Networks, Inc. (b).... 107,016
3,320 Harris Corp. ................. 168,490
8,573 International Rectifier Corp.
(b)......................... 355,094
32,843 Intersil Corp., Class A....... 711,379
41,460 KEMET Corp. (b)............... 506,641
11,776 L-3 Communications Holdings,
Inc. ....................... 786,636
17,872 Microchip Technology, Inc. ... 563,683
8,180 Plexus Corp. (b).............. 110,430
14,742 Qlogic Corp. (b).............. 391,990
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- --------- ------------------------------ ----------
COMMON STOCKS, CONTINUED:
Electronic Technology, continued:
8,340 Synopsys, Inc. (b)............ 237,106
5,650 Zebra Technologies Corp.,
Class A (b)................. 491,550
----------
6,271,457
----------
Energy Minerals (5.4%):
14,302 Apache Corp. ................. 622,852
14,785 Arch Coal, Inc. .............. 540,983
23,622 Massey Energy Co. ............ 666,377
9,870 Murphy Oil Corp. ............. 727,419
18,805 Pioneer Natural Resources
Co. ........................ 659,679
----------
3,217,310
----------
Finance (18.8%):
11,513 Affiliated Managers Group,
Inc. (b).................... 579,910
6,386 AMBAC Financial Group,
Inc. ....................... 468,988
13,018 Associated Banc Corp. ........ 385,723
21,946 Assurant, Inc. ............... 578,935
32,283 Assured Guaranty Ltd. (b)..... 547,197
22,603 Axis Capital Holdings Ltd. ... 632,884
29,030 Banknorth Group, Inc. ........ 942,894
15,648 Catellus Development Corp. ... 385,723
19,157 Compass Bancshares, Inc. ..... 823,751
59,685 E*Trade Group, Inc. (b)....... 665,488
11,778 Everest Re Group Ltd. ........ 946,480
4,899 National Financial Partners
Co. ........................ 172,788
10,110 New York Community Bancorp,
Inc. ....................... 198,459
14,680 North Fork Bancorp, Inc. ..... 558,574
23,100 Old Republic International
Corp. ...................... 547,932
19,157 PMI Group, Inc. .............. 833,713
7,967 ProAssurance Corp. (b)........ 271,754
10,910 Radian Group, Inc. ........... 522,589
26,785 Sovereign Bancorp, Inc. ...... 591,949
6,701 StanCorp Financial Group,
Inc. ....................... 448,967
----------
11,104,698
----------
Health Services (3.5%):
17,765 Caremark Rx, Inc. (b)......... 585,179
9,501 Coventry Health Care, Inc.
(b)......................... 464,599
4,690 Express Scripts, Inc., Class A
(b)......................... 371,589
15,047 Omnicare, Inc. ............... 644,162
----------
2,065,529
----------
Health Technology (5.0%):
8,565 Barr Pharmaceuticals, Inc.
(b)......................... 288,641
4,705 Beckman Coulter, Inc. ........ 287,005
6,274 Biogen Idec, Inc. (b)......... 396,831
7,390 Dentsply International,
Inc. ....................... 385,019
7,171 Fisher Scientific
International, Inc. (b)..... 414,125
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
9
ONE GROUP INVESTMENT TRUST DIVERSIFIED MID CAP PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- --------- ------------------------------ ----------
COMMON STOCKS, CONTINUED:
Health Technology, continued:
27,891 Mylan Laboratories, Inc. ..... 564,792
4,460 Teva Pharmaceutical -- ADR.... 300,113
11,070 Watson Pharmaceuticals, Inc.
(b)......................... 297,783
----------
2,934,309
----------
Industrial Services (5.3%):
10,828 BJ Services Co. (b)........... 496,356
19,698 El Paso Corp. ................ 155,220
38,702 Grant Prideco, Inc. (b)....... 714,439
15,038 Harsco Corp. ................. 706,786
5,948 Jacobs Engineering Group, Inc.
(b)......................... 234,232
9,060 National-Oilwell, Inc. (b).... 285,299
19,053 Republic Services, Inc. ...... 551,394
----------
3,143,726
----------
Non-Energy Minerals (1.0%):
13,061 Lafarge North America
Corp. ...................... 565,541
----------
Process Industries (5.0%):
8,642 Ball Corp. ................... 622,655
10,595 Cabot Corp. .................. 431,217
13,444 Engelhard Corp. .............. 434,376
15,146 Freeport-McMoRan Copper &
Gold, Inc., Class B......... 502,090
15,104 Praxair, Inc. ................ 602,801
7,521 Valspar Corp. ................ 378,983
----------
2,972,122
----------
Producer Manufacturing (8.5%):
26,176 AGCO Corp. (b)................ 533,205
12,093 ALLETE, Inc. ................. 402,697
24,258 AMETEK, Inc. ................. 749,572
11,084 Borg Warner, Inc. ............ 485,147
8,509 Cummins, Inc. ................ 531,813
6,908 ITT Industries, Inc. ......... 573,364
13,703 Lear Corp. ................... 808,339
9,590 Martin Marietta Materials,
Inc. ....................... 425,125
7,950 Nordson Corp. ................ 344,792
5,460 Smith (A.O.) Corp. ........... 173,573
----------
5,027,627
----------
Retail Trade (3.8%):
5,840 Barnes & Noble, Inc. (b)...... 198,443
5,140 O'Reilly Automotive, Inc.
(b)......................... 232,328
9,260 Petsmart, Inc. ............... 300,487
12,898 Regis Corp. .................. 575,121
16,921 Rent-A-Center, Inc. (b)....... 506,446
15,960 Ross Stores, Inc. ............ 427,090
----------
2,239,915
----------
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- --------- ------------------------------ ----------
COMMON STOCKS, CONTINUED:
Technology Services (4.1%):
9,347 Affiliated Computer Services,
Inc., Class A (b)........... 494,831
16,643 AT&T Corp. ................... 243,487
16,677 ATI Technologies, Inc. (b).... 314,528
4,950 Fair Issac & Co., Inc. ....... 165,231
18,902 Macromedia, Inc. (b).......... 464,044
10,091 SunGard Data Systems, Inc.
(b)......................... 262,366
12,356 Tech Data Corp. (b)........... 483,490
----------
2,427,977
----------
Transportation (3.4%):
10,190 C.H. Robinson Worldwide,
Inc. ....................... 467,110
5,530 Expeditors International of
Washington, Inc............. 273,237
8,980 J.B. Hunt Transport Services,
Inc. ....................... 346,448
9,605 Landstar System, Inc. (b)..... 507,817
9,510 Norfolk Southern Corp. ....... 252,205
8,923 Swift Transportation Co., Inc.
(b)......................... 160,168
----------
2,006,985
----------
Utilities (6.7%):
12,761 Alliant Energy Corp. ......... 332,807
3,243 Ameren Corp. ................. 139,319
9,414 Black Hills Corp. ............ 296,541
11,530 Entergy Corp. ................ 645,795
15,183 Equitable Resources, Inc. .... 785,114
6,634 Kinder Morgan, Inc. .......... 393,330
23,881 MDU Resources Group, Inc. .... 573,860
9,201 Scana Corp. .................. 334,640
14,142 Wisconsin Energy Corp. ....... 461,171
----------
3,962,577
----------
Total Common Stocks 55,538,192
----------
INVESTMENT COMPANIES (3.7%):
2,210,345 One Group Prime Money Market
Fund, Class I (c)........... 2,210,345
----------
Total Investment Companies 2,210,345
----------
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR
SECURITIES LENDING (3.1%):
1,863,365 Pool of various securities for
One Group Equity
Funds -- footnote 2
(Securities Lending)........ 1,863,365
----------
Total Short-Term Securities Held as
Collateral for Securities Lending 1,863,365
----------
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
10
ONE GROUP INVESTMENT TRUST DIVERSIFIED MID CAP PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- --------- ------------------------------ ----------
REPURCHASE AGREEMENTS (2.5%):
1,478,000 State Street Bank and Trust,
0.65%, 7/1/04 (Proceeds at
maturity $1,478,027
collateralized by various
Government Securities)...... 1,478,000
----------
Total Repurchase Agreements 1,478,000
----------
Total (Cost $49,901,866) (a) 61,089,902
==========
</Table>
- ------------
Percentages indicated are based on net assets of $59,204,707.
(a) Represents cost for financial reporting purposes and differs from market
value by unrealized appreciation (depreciation) of securities as follows:
<Table>
Unrealized appreciation...................... $12,460,398
Unrealized depreciation...................... (1,272,362)
-----------
Net unrealized appreciation (depreciation)... $11,188,036
===========
</Table>
Aggregate cost for federal income tax purposes differs from cost for financial
reporting purposes by less than 2% of net assets and is therefore considered
substantially the same.
(b) Non-income producing securities.
(c) Investment in affiliate.
See notes to financial statements.
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
11
ONE GROUP INVESTMENT TRUST LARGE CAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- --------- ----------------------------- -----------
COMMON STOCKS (97.0%):
Communications (0.3%):
21,460 Nextel Communications, Inc.,
Class A (b)................ 572,124
-----------
Consumer Durables (1.9%):
59,730 Harley-Davidson, Inc. ....... 3,699,676
-----------
Consumer Non-Durables (10.7%):
40,235 Alberto-Culver Co., Class
B.......................... 2,017,383
52,060 Anheuser-Busch Co., Inc. .... 2,811,240
66,210 Coca-Cola Co. ............... 3,342,281
64,520 General Mills, Inc. ......... 3,066,636
32,770 Gillette Co. ................ 1,389,448
51,484 PepsiCo, Inc. ............... 2,773,958
106,800 Procter & Gamble Co. ........ 5,814,191
-----------
21,215,137
-----------
Consumer Services (3.6%):
67,070 Clear Channel Communications,
Inc. ...................... 2,478,237
35,240 Comcast Corp., Class A (b)... 987,777
19,990 EchoStar Communications
Corp., Class A (b)......... 614,693
23,530 Grupo Televisa S.A. ......... 1,065,203
45,480 Univision Communications,
Inc. (b)................... 1,452,176
13,020 Wendy's International,
Inc. ...................... 453,617
-----------
7,051,703
-----------
Distribution Services (0.6%):
17,040 Cardinal Health, Inc. ....... 1,193,652
-----------
Electronic Technology (16.8%):
21,930 Analog Devices, Inc. ........ 1,032,464
74,900 Applied Materials, Inc.
(b)........................ 1,469,538
37,020 Boeing Co. .................. 1,891,352
159,820 Cisco Systems, Inc. (b)...... 3,787,734
90,190 Dell, Inc. (b)............... 3,230,606
44,280 EMC Corp. (b)................ 504,792
5,610 General Dynamics Corp. ...... 557,073
13,400 Harris Corp. ................ 680,050
229,720 Intel Corp. ................. 6,340,271
23,280 International Business
Machines Corp. ............ 2,052,132
32,200 Jabil Circuit, Inc. (b)...... 810,796
19,200 Linear Technology Corp. ..... 757,824
19,380 Lockheed Martin Corp. ....... 1,009,310
43,770 Motorola, Inc. .............. 798,803
115,830 PerkinElmer, Inc. ........... 2,321,233
36,280 Qlogic Corp. (b)............. 964,685
30,090 Qualcomm, Inc. .............. 2,195,968
43,160 Synopsys, Inc. (b)........... 1,227,039
64,461 Texas Instruments, Inc. ..... 1,558,667
-----------
33,190,337
-----------
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- --------- ----------------------------- -----------
COMMON STOCKS, CONTINUED:
Energy Minerals (2.6%):
70,220 Burlington Resources,
Inc. ...................... 2,540,560
25,780 Devon Energy Corp. .......... 1,701,480
10,790 Murphy Oil Corp. ............ 795,223
-----------
5,037,263
-----------
Finance (5.9%):
48,830 American Express Co. ........ 2,508,885
75,850 American International Group,
Inc. ...................... 5,406,589
26,400 Everest Re Group Ltd. ....... 2,121,504
8,540 Fannie Mae................... 609,414
20,440 Morgan Stanley Dean Witter &
Co. ....................... 1,078,619
-----------
11,725,011
-----------
Health Services (4.3%):
52,180 AmerisourceBergen Corp. ..... 3,119,319
38,790 Caremark Rx, Inc. (b)........ 1,277,743
47,070 Omnicare, Inc. .............. 2,015,067
23,020 UnitedHealth Group, Inc. .... 1,432,995
5,060 Wellpoint Health Networks,
Inc., Class A (b).......... 566,771
-----------
8,411,895
-----------
Health Technology (22.4%):
59,890 Abbott Laboratories.......... 2,441,116
67,754 Amgen, Inc. (b).............. 3,697,336
24,370 Biogen Idec, Inc. (b)........ 1,541,403
36,480 Boston Scientific Corp.
(b)........................ 1,561,344
20,250 Chiron Corp. (b)............. 903,960
36,610 Eli Lilly & Co. ............. 2,559,405
27,260 Forest Laboratories, Inc.
(b)........................ 1,543,734
28,080 Genzyme Corp. (b)............ 1,329,026
31,410 Gilead Sciences, Inc. (b).... 2,104,470
31,870 Guidant Corp. ............... 1,780,896
105,760 Johnson & Johnson............ 5,890,832
71,710 MedImmune, Inc. (b).......... 1,678,014
36,160 Medtronic, Inc. ............. 1,761,715
65,030 Merck & Co., Inc. ........... 3,088,925
61,870 Pall Corp. .................. 1,620,375
278,755 Pfizer, Inc. ................ 9,555,721
36,490 Wyeth........................ 1,319,478
-----------
44,377,750
-----------
Industrial Services (5.0%):
42,130 BJ Services Co. (b).......... 1,931,239
53,360 Fluor Corp. ................. 2,543,671
17,630 Nabors Industries Ltd. (b)... 797,229
28,350 Noble Corp. (b).............. 1,074,182
22,020 Schlumberger Ltd. ........... 1,398,490
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
12
ONE GROUP INVESTMENT TRUST LARGE CAP GROWTH PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- --------- ----------------------------- -----------
COMMON STOCKS, CONTINUED:
Industrial Services, continued:
15,020 Smith International, Inc.
(b)........................ 837,515
27,160 Weatherford International
Ltd. (b)................... 1,221,657
-----------
9,803,983
-----------
Non-Energy Minerals (3.7%):
84,370 Alcoa, Inc. ................. 2,786,741
27,940 Newmont Mining Corp. ........ 1,082,954
44,740 Phelps Dodge Corp. .......... 3,467,798
-----------
7,337,493
-----------
Process Industries (1.4%):
23,730 Alcan, Inc. ................. 982,422
24,080 Freeport-McMoRan Copper &
Gold, Inc., Class B........ 798,252
26,220 Praxair, Inc. ............... 1,046,440
-----------
2,827,114
-----------
Producer Manufacturing (1.6%):
29,540 Minnesota Mining &
Manufacturing Co. ......... 2,658,896
5,580 United Technologies Corp. ... 510,458
-----------
3,169,354
-----------
Retail Trade (6.3%):
22,360 Home Depot, Inc. ............ 787,072
17,190 Lowe's Cos., Inc. ........... 903,335
41,070 Staples, Inc. ............... 1,203,762
57,900 Target Corp. ................ 2,459,013
44,230 TJX Cos., Inc. .............. 1,067,712
84,160 Wal-Mart Stores, Inc. ....... 4,440,281
45,280 Walgreen Co. ................ 1,639,589
-----------
12,500,764
-----------
Technology Services (9.6%):
43,120 Affiliated Computer Services,
Inc., Class A (b).......... 2,282,773
45,650 BEA Systems, Inc. (b)........ 375,243
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- --------- ----------------------------- -----------
COMMON STOCKS, CONTINUED:
Technology Services, continued:
31,390 BMC Software, Inc. (b)....... 580,715
18,190 eBay, Inc. (b)............... 1,672,571
27,740 Electronic Arts, Inc. (b).... 1,513,217
45,000 First Data Corp. ............ 2,003,400
225,000 Microsoft Corp. ............. 6,426,000
55,380 Oracle Corp. (b)............. 660,683
27,580 PeopleSoft, Inc. (b)......... 510,230
19,680 Symantec Corp. (b)........... 861,590
114,497 Taiwan Semiconductor ADR..... 951,473
38,350 Veritas Software Corp. (b)... 1,062,295
-----------
18,900,190
-----------
Transportation (0.3%):
16,510 United Defense Industries,
Inc. (b)................... 577,850
-----------
Total Common Stocks 191,591,296
-----------
INVESTMENT COMPANIES (2.8%):
5,510,141 One Group Prime Money Market
Fund, Class I (c).......... 5,510,141
-----------
Total Investment Companies 5,510,141
-----------
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR
SECURITIES LENDING (0.9%):
1,875,430 Pool of various securities
for One Group Equity
Funds -- footnote 2
(Securities Lending)....... 1,875,430
-----------
Total Short-Term Securities Held as
Collateral for Securities Lending 1,875,430
-----------
Total (Cost $194,281,729) (a) 198,976,867
===========
</Table>
- ------------
Percentages indicated are based on net assets of $197,523,922.
(a) Represents cost for financial reporting purposes and differs from market
value by unrealized appreciation (depreciation) of securities as follows:
<Table>
Unrealized appreciation...................... $ 21,214,204
Unrealized depreciation...................... (16,519,066)
------------
Net unrealized appreciation (depreciation)... $ 4,695,138
============
</Table>
Aggregate cost for federal income tax purposes differs from cost for financial
reporting purposes by less than 2% of net assets and is therefore considered
substantially the same.
(b) Non-income producing securities.
(c) Investment in affiliate.
See notes to financial statements.
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
13
ONE GROUP INVESTMENT TRUST DIVERSIFIED EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
COMMON STOCKS (98.9%):
Commercial Services (0.7%):
16,156 Omnicom Group, Inc. ........ 1,226,079
-----------
Communications (2.3%):
20,655 CenturyTel, Inc. ........... 620,476
41,100 Nextel Communications, Inc.,
Class A (b)............... 1,095,727
41,148 SBC Communications, Inc. ... 997,839
24,202 Verizon Communications...... 875,870
-----------
3,589,912
-----------
Consumer Durables (0.9%):
51,080 Eastman Kodak Co. .......... 1,378,138
-----------
Consumer Non-Durables (3.2%):
42,498 Altria Group, Inc. ......... 2,127,025
21,121 Estee Lauder Cos., Class
A......................... 1,030,282
47,112 Jones Apparel Group,
Inc. ..................... 1,859,982
-----------
5,017,289
-----------
Consumer Services (6.7%):
8,450 Apollo Group, Inc., Class A
(b)....................... 746,051
41,822 Brinker International, Inc.
(b)....................... 1,426,967
20,914 Clear Channel
Communications, Inc. ..... 772,772
34,218 Comcast Corp., Class A
(b)....................... 959,131
20,090 Starbucks Corp. (b)......... 873,513
101,850 Time Warner, Inc. (b)....... 1,790,523
54,240 Viacom, Inc., Class B....... 1,937,453
57,402 Yum! Brands, Inc. (b)....... 2,136,501
-----------
10,642,911
-----------
Distribution Services (1.1%):
16,703 Andrx Corp. (b)............. 466,515
37,773 Sysco Corp. ................ 1,354,917
-----------
1,821,432
-----------
Electronic Technology (10.7%):
101,281 Cisco Systems, Inc. (b)..... 2,400,360
63,989 Dell, Inc. (b).............. 2,292,086
13,881 Diebold, Inc. .............. 733,888
127,687 Intel Corp. ................ 3,524,161
27,792 International Business
Machines Corp. ........... 2,449,865
15,830 L-3 Communications Holdings,
Inc. ..................... 1,057,444
19,435 Linear Technology Corp. .... 767,099
112,191 Motorola, Inc. ............. 2,047,486
23,800 Qualcomm, Inc. ............. 1,736,924
-----------
17,009,313
-----------
Energy Minerals (6.2%):
9,542 Devon Energy Corp. ......... 629,772
118,689 Exxon Mobil Corp. .......... 5,270,979
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
COMMON STOCKS, CONTINUED:
Energy Minerals, continued:
24,079 Murphy Oil Corp. ........... 1,774,622
36,672 Suncor Energy, Inc. ........ 939,170
17,190 Valero Energy Corp. ........ 1,267,934
-----------
9,882,477
-----------
Finance (21.7%):
41,874 American International
Group, Inc. .............. 2,984,779
24,180 Capital One Financial
Corp. .................... 1,653,428
28,809 Charter One Financial,
Inc. ..................... 1,273,070
107,714 Citigroup, Inc. ............ 5,008,700
13,530 Commerce Bancorp, Inc. ..... 744,285
21,090 Fannie Mae.................. 1,504,982
62,181 Freddie Mac................. 3,936,057
22,528 Hartford Financial Services
Group, Inc. .............. 1,548,575
108,915 MBNA Corp. ................. 2,808,918
35,922 Morgan Stanley Dean Witter &
Co. ...................... 1,895,604
47,152 National City Corp. ........ 1,650,792
32,833 North Fork Bancorp, Inc. ... 1,249,296
6,450 SunTrust Banks, Inc. ....... 419,186
92,041 U.S. Bancorp................ 2,536,650
63,268 Washington Mutual, Inc. .... 2,444,676
38,228 Wells Fargo & Co. .......... 2,187,788
19,650 Willis Group Holdings
Ltd. ..................... 735,893
-----------
34,582,679
-----------
Health Services (1.8%):
41,650 Odyssey Healthcare, Inc.
(b)....................... 783,853
32,380 UnitedHealth Group, Inc. ... 2,015,655
-----------
2,799,508
-----------
Health Technology (9.3%):
52,272 Amgen, Inc. (b)............. 2,852,483
53,260 Biovail Corp. (b)........... 1,010,875
31,751 Charles River Laboratories
International, Inc. (b)... 1,551,671
2 MedImmune, Inc. (b)......... 47
46,827 Medtronic, Inc. ............ 2,281,411
36,956 Merck & Co., Inc. .......... 1,755,410
153,099 Pfizer, Inc. ............... 5,248,234
-----------
14,700,131
-----------
Industrial Services (0.9%):
13,146 Cooper Cameron Corp. (b).... 640,210
19,073 Weatherford International
Ltd. (b).................. 857,904
-----------
1,498,114
-----------
Non-Energy Minerals (1.0%):
48,024 Alcoa, Inc. ................ 1,586,233
-----------
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
14
ONE GROUP INVESTMENT TRUST DIVERSIFIED EQUITY PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
COMMON STOCKS, CONTINUED:
Process Industries (1.6%):
19,786 Cabot Corp. ................ 805,290
19,611 Sigma-Aldrich Corp. ........ 1,169,012
9,319 Temple-Inland, Inc. ........ 645,341
-----------
2,619,643
-----------
Producer Manufacturing (12.8%):
27,813 Crane Co. .................. 873,050
23,542 Danaher Corp. .............. 1,220,653
14,688 Eaton Corp. ................ 950,901
143,265 General Electric Co. ....... 4,641,786
42,356 Honeywell International,
Inc. ..................... 1,551,500
30,754 Johnson Controls, Inc. ..... 1,641,649
28,794 Lear Corp. ................. 1,698,558
29,394 Minnesota Mining &
Manufacturing Co. ........ 2,645,754
33,450 Pentair, Inc. .............. 1,125,258
23,105 Pitney Bowes, Inc. ......... 1,022,396
13,798 SPX Corp. .................. 640,779
72,485 Tyco International Ltd. .... 2,402,153
-----------
20,414,437
-----------
Retail Trade (8.1%):
59,040 Albertson's, Inc. .......... 1,566,922
38,230 Kohl's Corp. (b)............ 1,616,364
44,564 Rent-A-Center, Inc. (b)..... 1,333,801
78,450 Safeway, Inc. (b)........... 1,987,923
28,537 Target Corp. ............... 1,211,966
67,801 Wal-Mart Stores, Inc. ...... 3,577,181
41,538 Walgreen Co. ............... 1,504,091
-----------
12,798,248
-----------
Technology Services (5.5%):
11,478 Affiliated Computer
Services, Inc., Class A
(b)....................... 607,645
13,672 Electronic Arts, Inc. (b)... 745,808
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
COMMON STOCKS, CONTINUED:
Technology Services, continued:
203,595 Microsoft Corp. ............ 5,814,673
33,088 Network Associates, Inc.
(b)....................... 599,885
30,554 Paychex, Inc. .............. 1,035,170
-----------
8,803,181
-----------
Transportation (1.5%):
16,431 Canadian National Railway
Co. ...................... 716,227
21,628 United Parcel Service, Inc.,
Class B................... 1,625,777
-----------
2,342,004
Utilities (2.8%):
26,199 FPL Group, Inc. ............ 1,675,426
18,422 Kinder Morgan, Inc. ........ 1,092,240
40,328 Pinnacle West Capital
Corp. .................... 1,628,848
-----------
4,396,514
-----------
Total Common Stocks 157,108,243
-----------
INVESTMENT COMPANIES (1.1%):
1,772,168 One Group Prime Money Market
Fund, Class I (c)......... 1,772,168
-----------
Total Investment Companies 1,772,168
-----------
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR
SECURITIES LENDING (7.1%):
11,211,806 Pool of various securities
for One Group Equity
Funds -- footnote 2
(Securities Lending)...... 11,211,806
-----------
Total Short-Term Securities Held as
Collateral for Securities Lending 11,211,806
-----------
Total (Cost $161,796,624) (a) 170,092,217
===========
</Table>
- ------------
Percentages indicated are based on net assets of $158,823,255.
(a) Represents cost for financial reporting purposes and differs from market
value by unrealized appreciation (depreciation) of securities as follows:
<Table>
Unrealized appreciation...................... $ 22,597,948
Unrealized depreciation...................... (14,302,355)
------------
Net unrealized appreciation (depreciation)... $ 8,295,593
============
</Table>
Aggregate cost for federal income tax purposes differs from cost for financial
reporting purposes by less than 2% of net assets and is therefore considered
substantially the same.
(b) Non-income producing securities.
(c) Investment in affiliate.
See notes to financial statements.
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
15
ONE GROUP INVESTMENT TRUST EQUITY INDEX PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- --------- ----------------------------- -----------
COMMON STOCKS (99.7%):
Commercial Services (0.6%):
598 Deluxe Corp. ................ 26,013
1,643 Equifax, Inc. ............... 40,664
2,284 McGraw-Hill Cos., Inc. ...... 174,885
1,405 Monster Worldwide, Inc.
(b)........................ 36,137
1,795 Moody's Corp. ............... 116,065
2,267 Omnicom Group, Inc. ......... 172,042
2,605 R.R. Donnelley & Sons Co. ... 86,017
2,058 Robert Half International,
Inc. ...................... 61,267
1,667 Sabre Group Holdings,
Inc. ...................... 46,193
-----------
759,283
-----------
Communications (3.3%):
3,696 Alltel Corp. ................ 187,092
32,706 AT&T Wireless Services, Inc.
(b)........................ 468,350
21,997 BellSouth Corp. ............. 576,761
1,665 CenturyTel, Inc. ............ 50,017
3,447 Citizens Communications Co.
(b)........................ 41,709
13,308 Nextel Communications, Inc.,
Class A (b)................ 354,791
21,397 Qwest Communications
International, Inc. (b).... 76,815
39,715 SBC Communications, Inc. .... 963,089
17,104 Sprint Corp., FON Group...... 301,030
33,221 Verizon Communications....... 1,202,268
-----------
4,221,922
-----------
Consumer Durables (1.5%):
949 Black & Decker Corp. ........ 58,961
1,136 Brunswick Corp. ............. 46,349
1,479 Centex Corp. ................ 67,664
889 Cooper Tire & Rubber Co. .... 20,447
0 Eagle Materials, Inc. ....... 23
3,437 Eastman Kodak Co. ........... 92,730
21,955 Ford Motor Co. .............. 343,597
1,754 Fortune Brands, Inc. ........ 132,304
6,771 General Motors Corp. ........ 315,461
2,104 Goodyear Tire & Rubber Co.
(b)........................ 19,125
3,539 Harley-Davidson, Inc. ....... 219,206
2,115 Hasbro, Inc. ................ 40,185
560 KB Home...................... 38,433
2,302 Leggett & Platt, Inc. ....... 61,486
5,065 Mattel, Inc. ................ 92,436
946 Maytag Corp. ................ 23,186
3,295 Newell Rubbermaid, Inc. ..... 77,433
1,520 Pulte Homes, Inc. ........... 79,086
697 Snap-On, Inc. ............... 23,384
979 Stanley Works................ 44,623
827 Whirlpool Corp. ............. 56,732
-----------
1,852,851
-----------
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- --------- ----------------------------- -----------
COMMON STOCKS, CONTINUED:
Consumer Non-Durables (8.0%):
446 Adolph Coors Co., Class B.... 32,264
1,085 Alberto-Culver Co., Class
B.......................... 54,402
24,593 Altria Group, Inc. .......... 1,230,880
9,644 Anheuser-Busch Co., Inc. .... 520,776
5,658 Avon Products, Inc. ......... 261,060
1,456 Brown-Forman Corp., Class
B.......................... 70,281
4,928 Campbell Soup Co. ........... 132,465
2,053 Cintas Corp. ................ 97,867
2,544 Clorox Co. .................. 136,816
29,208 Coca-Cola Co. ............... 1,474,419
5,637 Coca-Cola Enterprises,
Inc. ...................... 163,417
6,381 Colgate Palmolive Co. ....... 372,969
6,337 ConAgra Foods, Inc. ......... 171,606
4,532 General Mills, Inc. ......... 215,406
12,033 Gillette Co. ................ 510,199
4,222 H.J. Heinz Co. .............. 165,502
3,110 Hershey Foods Corp. ......... 143,900
1,131 International Flavors &
Fragrances, Inc. .......... 42,299
1,512 Jones Apparel Group, Inc. ... 59,694
4,924 Kellogg Co. ................. 206,069
6,012 Kimberly-Clark Corp. ........ 396,071
1,330 Liz Claiborne, Inc. ......... 47,853
1,649 McCormick & Co., Inc. ....... 56,066
3,166 Nike, Inc., Class B.......... 239,825
3,088 Pepsi Bottling Group,
Inc. ...................... 94,308
20,470 PepsiCo, Inc. ............... 1,102,924
30,826 Procter & Gamble Co. ........ 1,678,166
719 Reebok International Ltd. ... 25,870
1,022 RJ Reynolds Tobacco Holdings,
Inc. ...................... 69,077
9,477 Sara Lee Corp. .............. 217,876
1,318 V.F. Corp. .................. 64,187
2,693 Wm. Wrigley Jr. Co. ......... 169,794
-----------
10,224,308
-----------
Consumer Services (5.1%):
2,117 Apollo Group, Inc., Class A
(b)........................ 186,910
7,587 Carnival Corp. .............. 356,589
12,231 Cendant Corp. ............... 299,415
7,366 Clear Channel Communications,
Inc. ...................... 272,174
26,891 Comcast Corp., Class A (b)... 753,755
1,930 Darden Restaurants, Inc. .... 39,662
981 Dow Jones & Co., Inc. ....... 44,243
3,268 Gannett Co., Inc. ........... 277,290
2,098 H & R Block, Inc. ........... 100,033
1,353 Harrah's Entertainment,
Inc. ...................... 73,197
4,597 Hilton Hotels Corp. ......... 85,780
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
16
ONE GROUP INVESTMENT TRUST EQUITY INDEX PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- --------- ----------------------------- -----------
COMMON STOCKS, CONTINUED:
Consumer Services, continued:
4,184 International Game
Technologies............... 161,502
5,024 Interpublic Group of Cos.,
Inc. (b)................... 68,980
944 Knight-Ridder, Inc. ......... 67,968
2,712 Marriott International, Inc.,
Class A.................... 135,275
15,098 McDonald's Corp. ............ 392,548
602 Meredith Corp. .............. 33,086
1,783 New York Times Co., Class
A.......................... 79,718
4,755 Starbucks Corp. (b).......... 206,747
2,482 Starwood Hotels & Resorts
Worldwide, Inc. ........... 111,318
54,676 Time Warner, Inc. (b)........ 961,203
3,929 Tribune Co. ................. 178,927
3,878 Univision Communications,
Inc. (b)................... 123,825
20,777 Viacom, Inc., Class B........ 742,154
24,609 Walt Disney Co. ............. 627,283
1,368 Wendy's International,
Inc. ...................... 47,661
3,470 Yum! Brands, Inc. (b)........ 129,153
-----------
6,556,396
-----------
Distribution Services (0.7%):
5,161 Cardinal Health, Inc. ....... 361,528
2,092 Genuine Parts Co. ........... 83,011
3,511 McKesson Corp. .............. 120,533
1,617 SuperValu, Inc. ............. 49,496
7,668 Sysco Corp. ................. 275,051
1,090 W.W. Grainger, Inc. ......... 62,675
-----------
952,294
-----------
Electronic Technology (12.3%):
9,700 ADC Telecommunications, Inc.
(b)........................ 27,548
4,240 Advanced Micro Devices, Inc.
(b)........................ 67,416
5,773 Agilent Technologies, Inc.
(b)........................ 169,033
4,489 Altera Corp. (b)............. 99,746
2,401 American Power Conversion
Corp. ..................... 47,180
4,507 Analog Devices, Inc. ........ 212,190
1,926 Andrew Corp. (b)............. 38,539
4,557 Apple Computer, Inc. (b)..... 148,285
20,216 Applied Materials, Inc.
(b)........................ 396,638
3,738 Applied Micro Circuits Corp.
(b)........................ 19,886
5,321 Avaya, Inc. (b).............. 84,019
10,111 Boeing Co. .................. 516,571
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- --------- ----------------------------- -----------
COMMON STOCKS, CONTINUED:
Electronic Technology, continued:
3,767 Broadcom Corp., Class A
(b)........................ 176,183
6,807 CIENA Corp. (b).............. 25,322
81,082 Cisco Systems, Inc. (b)...... 1,921,642
2,346 Comverse Technology, Inc.
(b)........................ 46,779
16,455 Corning, Inc. (b)............ 214,902
30,255 Dell, Inc. (b)............... 1,083,734
29,307 EMC Corp. (b)................ 334,100
4,466 Gateway, Inc. (b)............ 20,097
2,387 General Dynamics Corp. ...... 237,029
1,410 Goodrich Corp. .............. 45,585
36,567 Hewlett-Packard Co. ......... 771,564
77,562 Intel Corp. ................. 2,140,710
20,210 International Business
Machines Corp. ............ 1,781,511
2,407 Jabil Circuit, Inc. (b)...... 60,608
17,270 JDS Uniphase Corp. (b)....... 65,453
2,357 KLA-Tencor Corp. (b)......... 116,389
1,558 Lexmark International, Inc.,
Class A (b)................ 150,394
3,710 Linear Technology Corp. ..... 146,434
5,382 Lockheed Martin Corp. ....... 280,295
4,582 LSI Logic Corp. (b).......... 34,915
51,392 Lucent Technologies, Inc.
(b)........................ 194,262
3,864 Maxim Integrated Products,
Inc. ...................... 202,551
7,321 Micron Technology, Inc.
(b)........................ 112,085
28,111 Motorola, Inc. .............. 513,026
4,302 National Semiconductor Corp.
(b)........................ 94,601
1,134 NCR Corp. (b)................ 56,235
4,167 Network Appliance, Inc.
(b)........................ 89,716
4,312 Northrop Grumman Corp. ...... 231,554
1,773 Novellus Systems, Inc. (b)... 55,743
1,990 NVIDIA Corp. (b)............. 40,795
1,531 PerkinElmer, Inc. ........... 30,681
2,118 PMC -- Sierra, Inc. (b)...... 30,393
1,118 Qlogic Corp. (b)............. 29,728
9,716 Qualcomm, Inc. .............. 709,074
5,368 Raytheon Co. ................ 192,013
2,126 Rockwell Collins............. 70,838
2,229 Rockwell International
Corp. ..................... 83,610
6,247 Sanmina Corp. (b)............ 56,848
1,837 Scientific Atlanta, Inc. .... 63,377
11,529 Solectron Corp. (b).......... 74,593
39,885 Sun Microsystems, Inc. (b)... 173,101
2,812 Symbol Technologies, Inc. ... 41,449
1,015 Tektronix, Inc. ............. 34,530
4,985 Tellabs, Inc. (b)............ 43,569
2,326 Teradyne, Inc. (b)........... 52,800
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
17
ONE GROUP INVESTMENT TRUST EQUITY INDEX PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- --------- ----------------------------- -----------
COMMON STOCKS, CONTINUED:
Electronic Technology, continued:
20,759 Texas Instruments, Inc. ..... 501,953
1,987 Thermo Electron Corp. (b).... 61,080
1,433 Waters Corp. (b)............. 68,469
9,596 Xerox Corp. (b).............. 139,142
4,162 Xilinx, Inc. ................ 138,636
-----------
15,667,149
-----------
Energy Minerals (5.5%):
1,079 Amerada Hess Corp. .......... 85,446
3,020 Anadarko Petroleum Corp. .... 176,972
3,900 Apache Corp. ................ 169,845
844 Ashland, Inc. ............... 44,572
4,757 Burlington Resources,
Inc. ...................... 172,108
12,832 ChevronTexaco Corp. ......... 1,207,620
8,224 ConocoPhillips............... 627,409
2,876 Devon Energy Corp. .......... 189,816
1,398 EOG Resources, Inc. ......... 83,475
78,426 Exxon Mobil Corp. ........... 3,482,899
1,794 Kerr-McGee Corp. ............ 96,463
4,142 Marathon Oil Corp. .......... 156,733
4,691 Occidental Petroleum
Corp. ..................... 227,091
906 Sunoco, Inc. ................ 57,640
3,160 Unocal Corp. ................ 120,080
1,544 Valero Energy Corp. ......... 113,885
-----------
7,012,054
-----------
Finance (20.1%):
3,395 ACE Ltd. .................... 143,541
6,099 AFLAC, Inc. ................. 248,900
8,426 Allstate Corp. .............. 392,230
1,300 AMBAC Financial Group,
Inc. ...................... 95,472
15,324 American Express Co. ........ 787,346
31,277 American International Group,
Inc. ...................... 2,229,424
4,224 AmSouth Bancorp.............. 107,585
3,779 Aon Corp. ................... 107,588
1,129 Apartment Investment &
Management Co. ............ 35,146
24,449 Bank of America Corp. ....... 2,068,873
9,324 Bank of New York Co.,
Inc. ...................... 274,872
13,453 Bank One Corp. (c)........... 686,102
6,728 BB&T Corp. .................. 248,734
1,258 Bear Stearns Cos., Inc. ..... 106,062
2,875 Capital One Financial
Corp. ..................... 196,593
16,367 Charles Schwab Corp. ........ 157,287
2,684 Charter One Financial,
Inc. ...................... 118,606
2,275 Chubb Corp. ................. 155,110
2,017 Cincinnati Financial
Corp. ..................... 87,780
62,015 Citigroup, Inc. ............. 2,883,697
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- --------- ----------------------------- -----------
COMMON STOCKS, CONTINUED:
Finance, continued:
2,077 Comerica, Inc. .............. 113,986
3,350 Countrywide Financial
Corp. ..................... 235,338
4,382 E*Trade Group, Inc. (b)...... 48,859
4,840 Equity Office Properties
Trust...................... 131,648
3,360 Equity Residential Properties
Trust...................... 99,893
11,621 Fannie Mae................... 829,274
1,296 Federated Investors, Inc. ... 39,321
6,750 Fifth Third Bancorp.......... 363,015
1,487 First Horizon National
Corp. ..................... 67,614
2,998 Franklin Resources, Inc. .... 150,140
8,256 Freddie Mac.................. 522,605
1,830 Golden West Financial
Corp. ..................... 194,621
5,787 Goldman Sachs Group, Inc. ... 544,904
3,502 Hartford Financial Services
Group, Inc. ............... 240,727
2,751 Huntington Bancshares,
Inc. ...................... 62,998
2,870 Janus Capital Group, Inc. ... 47,326
1,677 Jefferson-Pilot Corp. ....... 85,192
24,972 JP Morgan Chase & Co. ....... 968,163
4,921 KeyCorp...................... 147,089
3,321 Lehman Brothers Holdings,
Inc. ...................... 249,905
2,138 Lincoln National Corp. ...... 101,021
2,224 Loews Corp. ................. 133,351
1,421 M & T Bank Corp. ............ 124,053
6,275 Marsh & McLennan Cos.,
Inc. ...................... 284,760
2,664 Marshall & Ilsley Corp. ..... 104,136
1,731 MBIA, Inc. .................. 98,875
15,321 MBNA Corp. .................. 395,129
5,090 Mellon Financial Corp. ...... 149,290
11,524 Merrill Lynch & Co., Inc. ... 622,066
9,064 MetLife, Inc. ............... 324,944
1,185 MGIC Investment Corp. ....... 89,894
13,181 Morgan Stanley Dean Witter &
Co. ....................... 695,560
7,451 National City Corp. ......... 260,860
2,074 North Fork Bancorp, Inc. .... 78,916
2,643 Northern Trust Corp. ........ 111,746
2,197 Plum Creek Timber Co,
Inc. ...................... 71,578
3,382 PNC Financial Services
Group...................... 179,517
3,828 Principal Financial Group.... 133,138
2,607 Progressive Corp. ........... 222,377
2,175 ProLogis..................... 71,601
3,492 Providian Financial Corp.
(b)........................ 51,228
6,308 Prudential Financial,
Inc. ...................... 293,133
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
18
ONE GROUP INVESTMENT TRUST EQUITY INDEX PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- --------- ----------------------------- -----------
COMMON STOCKS, CONTINUED:
Finance, continued:
2,632 Regions Financial Corp. ..... 96,200
784 Ryder Systems, Inc. ......... 31,415
1,671 SAFECO Corp. ................ 73,524
2,495 Simon Property Group,
Inc. ...................... 128,293
5,264 SLM Corp. ................... 212,929
3,955 Southtrust Corp. ............ 153,494
8,000 St. Paul Co., Inc. .......... 324,320
4,028 State Street Corp. .......... 197,533
3,387 SunTrust Banks, Inc. ........ 220,121
3,655 Synovus Financial Corp. ..... 92,545
1,519 T. Rowe Price Group, Inc. ... 76,558
1,335 Torchmark Corp. ............. 71,823
22,728 U.S. Bancorp................. 626,383
2,279 Union Planters Corp. ........ 67,937
3,553 UnumProvident Corp. ......... 56,493
15,766 Wachovia Corp. .............. 701,586
10,372 Washington Mutual, Inc. ..... 400,774
20,237 Wells Fargo & Co. ........... 1,158,163
1,656 XL Capital, Ltd., Class A.... 124,962
1,074 Zions Bancorp................ 65,997
-----------
25,751,789
-----------
Health Services (1.6%):
1,827 Aetna, Inc. ................. 155,295
1,347 AmerisourceBergen Corp. ..... 80,524
1,662 Anthem, Inc. (b)............. 148,849
5,485 Caremark Rx, Inc. (b)........ 180,676
1,696 Cigna Corp. ................. 116,702
935 Express Scripts, Inc., Class
A (b)...................... 74,080
5,824 HCA-The Healthcare Corp. .... 242,220
2,915 Health Management Associates,
Inc., Class A.............. 65,354
1,936 Humana, Inc. (b)............. 32,718
2,818 IMS Health, Inc. ............ 66,054
1,066 Manor Care, Inc. ............ 34,837
1,241 Quest Diagnostics, Inc. ..... 105,423
5,582 Tenet Healthcare Corp. (b)... 74,855
7,385 UnitedHealth Group, Inc. .... 459,715
1,866 Wellpoint Health Networks,
Inc., Class A (b).......... 209,011
-----------
2,046,313
-----------
Health Technology (11.3%):
18,703 Abbott Laboratories.......... 762,334
1,575 Allergan, Inc. .............. 140,994
15,249 Amgen, Inc. (b).............. 832,138
2,420 Applera Corp.- Applied
Biosystems Group........... 52,635
635 Bausch & Lomb, Inc. ......... 41,319
7,350 Baxter International,
Inc. ...................... 253,649
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- --------- ----------------------------- -----------
COMMON STOCKS, CONTINUED:
Health Technology, continued:
3,037 Becton, Dickinson & Co. ..... 157,317
4,074 Biogen Idec, Inc. (b)........ 257,681
3,051 Biomet, Inc. ................ 135,586
10,014 Boston Scientific Corp.
(b)........................ 428,599
23,316 Bristol-Myers Squibb Co. .... 571,242
1,251 C.R. Bard, Inc. ............. 70,869
2,266 Chiron Corp. (b)............. 101,154
13,544 Eli Lilly & Co. ............. 946,861
4,435 Forest Laboratories, Inc.
(b)........................ 251,154
2,716 Genzyme Corp. (b)............ 128,548
3,761 Guidant Corp. ............... 210,165
1,871 Hospira (b).................. 51,640
35,599 Johnson & Johnson............ 1,982,864
2,894 King Pharmaceuticals, Inc.
(b)........................ 33,136
3,250 Medco Health Solutions, Inc.
(b)........................ 121,875
2,983 MedImmune, Inc. (b).......... 69,802
14,536 Medtronic, Inc. ............. 708,194
26,647 Merck & Co., Inc. ........... 1,265,733
592 Millipore Corp. (b).......... 33,371
3,220 Mylan Laboratories, Inc. .... 65,205
1,500 Pall Corp. .................. 39,285
91,503 Pfizer, Inc. ................ 3,136,723
17,650 Schering-Plough Corp. ....... 326,172
2,112 St. Jude Medical, Inc. (b)... 159,773
4,799 Stryker Corp. ............... 263,945
1,306 Watson Pharmaceuticals, Inc.
(b)........................ 35,131
15,991 Wyeth........................ 578,235
2,926 Zimmer Holdings, Inc. (b).... 258,073
-----------
14,471,402
-----------
Industrial Services (1.2%):
3,805 Allied Waste Industries, Inc.
(b)........................ 50,150
3,994 Baker Hughes, Inc. .......... 150,374
1,929 BJ Services Co. (b).......... 88,425
7,687 El Paso Corp. ............... 60,574
996 Fluor Corp. ................. 47,479
5,278 Halliburton Co. ............. 159,712
1,782 Nabors Industries Ltd. (b)... 80,582
1,617 Noble Corp. (b).............. 61,268
1,269 Rowan Cos., Inc. (b)......... 30,875
7,065 Schlumberger Ltd. ........... 448,699
3,847 Transocean Sedco Forex, Inc.
(b)........................ 111,332
6,962 Waste Management, Inc. ...... 213,385
6,234 Williams Cos., Inc. ......... 74,185
-----------
1,577,040
-----------
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
19
ONE GROUP INVESTMENT TRUST EQUITY INDEX PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- --------- ----------------------------- -----------
COMMON STOCKS, CONTINUED:
Multi-Industry (0.1%):
1,530 S&P 500 Depositary Receipt... 175,231
-----------
Non-Energy Minerals (0.9%):
10,426 Alcoa, Inc. ................. 344,370
975 Allegheny Technologies,
Inc. ...................... 17,599
1,305 Louisiana-Pacific Corp. ..... 30,863
5,313 Newmont Mining Corp. ........ 205,932
947 Nucor Corp. ................. 72,692
1,121 Phelps Dodge Corp. .......... 86,889
1,358 United States Steel Corp. ... 47,693
1,985 UST, Inc. ................... 71,460
1,224 Vulcan Materials Co. ........ 58,201
2,892 Weyerhaeuser Co. ............ 182,543
1,040 Worthington Industries,
Inc. ...................... 21,351
-----------
1,139,593
-----------
Process Industries (2.2%):
2,726 Air Products and Chemicals,
Inc. ...................... 142,979
7,794 Archer-Daniels-Midland
Co. ....................... 130,783
676 Ball Corp. .................. 48,706
1,282 Bemis Co., Inc. ............. 36,217
1,051 Boise Cascade Corp. ......... 39,560
11,226 Dow Chemical Co. ............ 456,898
11,995 Du Pont (EI) de Nemours &
Co. ....................... 532,817
928 Eastman Chemical Co. ........ 42,901
3,081 Ecolab, Inc. ................ 97,668
1,490 Engelhard Corp. ............. 48,142
2,123 Freeport-McMoRan Copper &
Gold, Inc., Class B........ 70,377
3,057 Georgia-Pacific Corp. ....... 113,048
608 Great Lakes Chemical
Corp. ..................... 16,452
1,319 Hercules, Inc. (b)........... 16,079
5,822 International Paper Co. ..... 260,243
2,417 Meadwestvaco Corp. .......... 71,036
3,185 Monsanto Co. ................ 122,623
1,837 Pactiv Corp. (b)............. 45,815
2,057 PPG Industries, Inc. ........ 128,542
3,897 Praxair, Inc. ............... 155,529
2,688 Rohm & Haas Co. ............. 111,767
1,011 Sealed Air Corp. (b)......... 53,856
829 Sigma-Aldrich Corp. ......... 49,417
664 Temple-Inland, Inc. ......... 45,982
-----------
2,837,437
-----------
Producer Manufacturing (7.7%):
2,579 American Standard Cos., Inc.
(b)........................ 103,959
1,325 Avery Dennison Corp. ........ 84,813
4,100 Caterpillar, Inc. ........... 325,704
1,109 Cooper Industries Ltd., Class
A.......................... 65,886
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- --------- ----------------------------- -----------
COMMON STOCKS, CONTINUED:
Producer Manufacturing, continued:
714 Crane Co. ................... 22,412
517 Cummins, Inc. ............... 32,313
1,787 Dana Corp. .................. 35,025
3,693 Danaher Corp. ............... 191,482
2,985 Deere & Co. ................. 209,368
6,719 Delphi Corp. ................ 71,759
2,437 Dover Corp. ................. 102,598
0 Eagle Materials Inc., Class
B.......................... 4
1,806 Eaton Corp. ................. 116,920
5,059 Emerson Electric Co. ........ 321,499
126,564 General Electric Co. ........ 4,100,674
10,298 Honeywell International,
Inc. ...................... 377,216
3,714 Illinois Tool Works, Inc. ... 356,135
2,078 Ingersoll-Rand Co. .......... 141,948
1,111 ITT Industries, Inc. ........ 92,213
2,279 Johnson Controls, Inc. ...... 121,653
5,253 Masco Corp. ................. 163,789
9,379 Minnesota Mining &
Manufacturing Co. ......... 844,204
2,274 Molex, Inc. ................. 72,950
837 Navistar International Corp.
(b)........................ 32,442
2,104 Paccar, Inc. ................ 122,011
1,434 Parker-Hannifin Corp. ....... 85,266
2,772 Pitney Bowes, Inc. .......... 122,661
1,004 Power-One, Inc. (b).......... 11,024
1,650 Textron, Inc. ............... 97,928
705 Thomas & Betts Corp. ........ 19,197
24,049 Tyco International Ltd. ..... 796,984
6,163 United Technologies Corp. ... 563,791
1,552 Visteon Corp. ............... 18,112
-----------
9,823,940
-----------
Retail Trade (6.5%):
4,411 Albertson's, Inc. ........... 117,068
3,206 AutoNation, Inc. (b)......... 54,823
997 AutoZone, Inc. (b)........... 79,860
3,603 Bed Bath & Beyond, Inc.
(b)........................ 138,535
3,891 Best Buy Co., Inc. .......... 197,429
1,381 Big Lots, Inc. (b)........... 19,969
2,384 Circuit City Stores, Inc. ... 30,873
5,504 Costco Wholesale Corp. ...... 226,049
4,764 CVS Corp. ................... 200,183
1,002 Dillard's, Inc., Class A..... 22,345
3,954 Dollar General Corp. ........ 77,340
2,057 Family Dollar Stores,
Inc. ...................... 62,574
2,156 Federated Department Stores,
Inc. ...................... 105,860
10,795 Gap, Inc. ................... 261,779
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
20
ONE GROUP INVESTMENT TRUST EQUITY INDEX PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- --------- ----------------------------- -----------
COMMON STOCKS, CONTINUED:
Retail Trade, continued:
26,655 Home Depot, Inc. ............ 938,256
3,383 J.C. Penney, Inc. ........... 127,742
4,089 Kohl's Corp. (b)............. 172,883
8,904 Kroger Co. (b)............... 162,053
5,651 Limited Brands, Inc. ........ 105,674
9,428 Lowe's Cos., Inc. ........... 495,441
3,488 May Department Stores Co. ... 95,885
1,668 Nordstrom, Inc. ............. 71,073
3,752 Office Depot, Inc. (b)....... 67,198
1,929 RadioShack Corp. ............ 55,227
5,352 Safeway, Inc. (b)............ 135,620
2,552 Sears Roebuck & Co. ......... 96,364
1,717 Sherwin-Williams Co. ........ 71,341
5,965 Staples, Inc. ............... 174,834
10,954 Target Corp. ................ 465,216
1,756 Tiffany & Co. ............... 64,709
5,935 TJX Cos., Inc. .............. 143,271
2,566 Toys "R" Us, Inc. (b)........ 40,876
51,429 Wal-Mart Stores, Inc. ....... 2,713,395
12,286 Walgreen Co. ................ 444,876
1,705 Winn-Dixie Stores, Inc. ..... 12,276
-----------
8,248,897
-----------
Technology Services (6.8%):
2,863 Adobe Systems, Inc. ......... 133,130
1,631 Affiliated Computer Services,
Inc., Class A (b).......... 86,345
9,520 AT&T Corp. .................. 139,278
1,361 Autodesk, Inc. .............. 58,264
7,081 Automatic Data Processing,
Inc. ...................... 296,552
2,672 BMC Software, Inc. (b)....... 49,432
2,041 Citrix System, Inc. (b)...... 41,555
7,013 Computer Associates
International, Inc. ....... 196,785
2,249 Computer Sciences Corp.
(b)........................ 104,421
4,631 Compuware Corp. (b).......... 30,565
1,719 Convergys Corp. (b).......... 26,473
7,883 eBay, Inc. (b)............... 724,842
3,630 Electronic Arts, Inc. (b).... 198,017
5,809 Electronic Data Systems
Corp. ..................... 111,242
10,462 First Data Corp. ............ 465,768
2,338 Fiserv, Inc. (b)............. 90,925
2,297 Intuit, Inc. (b)............. 88,618
1,106 Mercury Interactive Corp.
(b)........................ 55,112
129,446 Microsoft Corp. ............. 3,696,977
4,637 Novell, Inc. (b)............. 38,904
62,297 Oracle Corp. (b)............. 743,203
3,215 Parametric Technology Corp.
(b)........................ 16,075
4,529 Paychex, Inc. ............... 153,443
4,375 PeopleSoft, Inc. (b)......... 80,938
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- --------- ----------------------------- -----------
COMMON STOCKS, CONTINUED:
Technology Services, continued:
6,027 Siebel Systems, Inc. (b)..... 64,368
3,479 SunGard Data Systems, Inc.
(b)........................ 90,454
3,739 Symantec Corp. (b)........... 163,693
3,997 Unisys Corp. (b)............. 55,478
5,179 Veritas Software Corp. (b)... 143,458
16,150 Yahoo, Inc. (b).............. 586,730
-----------
8,731,045
-----------
Transportation (1.6%):
4,447 Burlington Northern Santa Fe
Corp. ..................... 155,956
2,574 CSX Corp. ................... 84,350
1,493 Delta Airlines, Inc. (b)..... 10,630
3,582 FedEx Corp. ................. 292,614
4,702 Norfolk Southern Corp. ...... 124,697
9,476 Southwest Airlines Co. ...... 158,913
3,107 Union Pacific Corp. ......... 184,711
13,517 United Parcel Service, Inc.,
Class B.................... 1,016,073
-----------
2,027,944
-----------
Utilities (2.7%):
7,641 AES Corp. (b)................ 75,875
1,523 Allegheny Energy, Inc. (b)... 23,469
2,190 Ameren Corp. ................ 94,082
4,745 American Electric Power Co.,
Inc. ...................... 151,840
4,989 Calpine Corp. (b)............ 21,552
3,684 Centerpoint Energy, Inc. .... 42,366
2,157 Cinergy Corp. ............... 81,966
1,961 CMS Energy Corp. (b)......... 17,904
2,889 Consolidated Edison, Inc. ... 114,867
2,020 Constellation Energy Group,
Inc. ...................... 76,558
3,916 Dominion Resources, Inc. .... 247,021
2,080 DTE Energy Co. .............. 84,323
10,971 Duke Energy Corp. ........... 222,602
4,544 Dynegy, Inc. (b)............. 19,357
3,907 Edison International,
Inc. ...................... 99,902
2,761 Entergy Corp. ............... 154,644
7,926 Exelon Corp. ................ 263,857
3,955 First Energy Corp. .......... 147,957
2,216 FPL Group, Inc. ............. 141,713
1,921 Keyspan Corp. ............... 70,501
1,488 Kinder Morgan, Inc. ......... 88,224
528 NICOR, Inc. ................. 17,936
3,159 NiSource, Inc. .............. 65,139
450 Peoples Energy Corp. ........ 18,968
5,025 PG&E Corp. (b)............... 140,399
1,096 Pinnacle West Capital
Corp. ..................... 44,267
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
21
ONE GROUP INVESTMENT TRUST EQUITY INDEX PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- --------- ----------------------------- -----------
COMMON STOCKS, CONTINUED:
Utilities, continued:
2,132 PPL Corp. ................... 97,859
2,957 Progress Energy, Inc. ....... 130,256
2,837 Public Service Enterprise
Group, Inc. ............... 113,565
2,755 Sempra Energy................ 94,855
8,843 Southern Co. ................ 257,773
2,259 TECO Energy, Inc. ........... 27,085
3,883 TXU Corp. ................... 157,300
4,788 XCEL Energy, Inc. ........... 80,007
-----------
3,485,989
-----------
Total Common Stocks 127,562,877
-----------
U.S. TREASURY OBLIGATIONS (0.1%):
U.S. Treasury Bills (0.1%):
75,000 9/23/04...................... 74,776
-----------
Total U.S. Treasury Obligations 74,776
-----------
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- --------- ----------------------------- -----------
INVESTMENT COMPANIES (0.2%):
199,050 One Group Prime Money Market
Fund, Class I (c).......... 199,050
-----------
Total Investment Companies 199,050
-----------
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR
SECURITIES LENDING (3.4%):
4,294,355 Pool of various securities
for One Group Equity
Funds -- footnote 2
(Securities Lending)....... 4,294,355
-----------
Total Short-Term Securities Held as
Collateral for Securities Lending 4,294,355
-----------
Total (Cost $141,082,226) (a) 132,131,058
===========
</Table>
- ------------
Percentages indicated are based on net assets of $127,768,376.
(a) Represents cost for financial reporting purposes and differs from market
value by unrealized appreciation (depreciation) of securities as follows:
<Table>
Unrealized appreciation...................... $20,410,500
Unrealized depreciation...................... (29,361,668)
-----------
Net unrealized appreciation (depreciation)... $(8,951,168)
===========
</Table>
Aggregate cost for federal income tax purposes differs from cost for financial
reporting purposes by less than 2% of net assets and is therefore considered
substantially the same.
(b) Non-income producing securities.
(c) Investment in affiliate.
(d) Serves as collateral for futures contracts.
See notes to financial statements.
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
22
ONE GROUP INVESTMENT TRUST BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
ASSET BACKED SECURITIES (1.0%):
225,000 American Express Credit
Account Master Trust,
Series 04-3, Class A,
4.35%, 12/15/11........... 225,193
209,731 Americredit Automobile
Receivables Trust, Series
01-B, Class A4, 5.37%,
6/12/08................... 214,132
250,000 Citibank Credit Card
Issuance Trust, Series
03-A5, Class A5, 2.50%,
4/7/08.................... 248,024
100,000 CNH Equipment Trust, Series
03-B, Class A4B, 3.38%,
2/15/11................... 99,312
199,834 CS First Boston Mortgage
Securities Corp., Series
02-HE4, Class AF, 5.51%,
8/25/32................... 205,450
125,000 Ford Credit Auto Owner
Trust, Series 04-A, Class
A4, 3.54%, 11/15/08....... 124,766
250,000 Onyx Acceptance Auto Trust,
Series 04-B, Class A3,
3.09%, 9/15/08............ 250,051
150,000 WFS Financial Owner Trust,
Series 04-2, Class A3,
2.85%, 9/22/08............ 149,250
150,000 WFS Financial Owner Trust,
Series 03-4, Class A4,
3.15%, 5/20/11............ 148,550
-----------
Total Asset Backed Securities 1,664,728
-----------
COLLATERALIZED MORTGAGE OBLIGATIONS (0.4%):
38,636 Residential Funding Mortgage
Securities, Series 96-S3,
Class A5, 7.25%, 1/25/26.. 38,617
183,168 Vendee Mortgage Trust,
Series 03-1, Class B,
5.75%, 12/15/20........... 188,092
150,000 WFS Financial Owner Trust,
Series 03-1, Class A3,
2.03%, 8/20/07............ 150,025
300,000 WFS Financial Owner Trust,
Series 03-2, Class A4,
2.41%, 12/20/10........... 294,478
-----------
Total Collateralized Mortgage
Obligations 671,212
-----------
COMMON STOCKS (60.6%):
Commercial Services (0.5%):
10,870 Omnicom Group, Inc. ........ 824,924
-----------
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
COMMON STOCKS, CONTINUED:
Communications (1.4%):
13,890 CenturyTel, Inc. ........... 417,256
27,640 Nextel Communications, Inc.,
Class A (b)............... 736,882
27,670 SBC Communications, Inc. ... 670,998
16,280 Verizon Communications...... 589,173
-----------
2,414,309
-----------
Consumer Durables (0.5%):
34,360 Eastman Kodak Co. .......... 927,033
-----------
Consumer Non-Durables (1.9%):
28,580 Altria Group, Inc. ......... 1,430,429
14,200 Estee Lauder Cos., Class
A......................... 692,676
31,700 Jones Apparel Group,
Inc. ..................... 1,251,516
-----------
3,374,621
-----------
Consumer Services (4.1%):
5,690 Apollo Group, Inc., Class A
(b)....................... 502,370
28,130 Brinker International, Inc.
(b)....................... 959,796
14,070 Clear Channel
Communications, Inc. ..... 519,887
23,008 Comcast Corp., Class A
(b)....................... 644,914
13,510 Starbucks Corp. (b)......... 587,415
68,490 Time Warner, Inc. (b)....... 1,204,054
36,460 Viacom, Inc., Class B....... 1,302,351
38,620 Yum! Brands, Inc. (b)....... 1,437,436
-----------
7,158,223
-----------
Distribution Services (0.7%):
11,230 Andrx Corp. (b)............. 313,654
25,390 Sysco Corp. ................ 910,739
-----------
1,224,393
-----------
Electronic Technology (6.6%):
68,120 Cisco Systems, Inc. (b)..... 1,614,444
43,030 Dell, Inc. (b).............. 1,541,335
9,320 Diebold, Inc. .............. 492,748
85,860 Intel Corp. ................ 2,369,735
18,690 International Business
Machines Corp. ........... 1,647,523
10,650 L-3 Communications Holdings,
Inc. ..................... 711,420
13,090 Linear Technology Corp. .... 516,662
75,450 Motorola, Inc. ............. 1,376,963
16,020 Qualcomm, Inc. ............. 1,169,140
-----------
11,439,970
-----------
Energy Minerals (3.8%):
6,430 Devon Energy Corp. ......... 424,380
79,820 Exxon Mobil Corp. .......... 3,544,806
16,210 Murphy Oil Corp. ........... 1,194,677
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
23
ONE GROUP INVESTMENT TRUST BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
COMMON STOCKS, CONTINUED:
Energy Minerals, continued:
24,620 Suncor Energy, Inc. ........ 630,518
11,560 Valero Energy Corp. ........ 852,666
-----------
6,647,047
-----------
Finance (13.3%):
28,160 American International
Group, Inc. .............. 2,007,245
16,270 Capital One Financial
Corp. .................... 1,112,543
19,376 Charter One Financial,
Inc. ..................... 856,225
72,440 Citigroup, Inc. ............ 3,368,459
9,100 Commerce Bancorp, Inc. ..... 500,591
14,190 Fannie Mae.................. 1,012,598
41,820 Freddie Mac................. 2,647,206
15,130 Hartford Financial Services
Group, Inc. .............. 1,040,036
73,230 MBNA Corp. ................. 1,888,602
24,140 Morgan Stanley Dean Witter &
Co. ...................... 1,273,868
31,700 National City Corp. ........ 1,109,817
22,080 North Fork Bancorp, Inc. ... 840,144
4,300 SunTrust Banks, Inc. ....... 279,457
61,900 U.S. Bancorp................ 1,705,964
42,550 Washington Mutual, Inc. .... 1,644,132
25,710 Wells Fargo & Co. .......... 1,471,383
13,220 Willis Group Holdings
Ltd. ..................... 495,089
-----------
23,253,359
-----------
Health Services (1.1%):
28,020 Odyssey Healthcare, Inc.
(b)....................... 527,336
21,770 UnitedHealth Group, Inc. ... 1,355,183
-----------
1,882,519
-----------
Health Technology (5.7%):
35,160 Amgen, Inc. (b)............. 1,918,681
35,820 Biovail Corp. (b)........... 679,864
21,350 Charles River Laboratories
International, Inc. (b)... 1,043,375
31,490 Medtronic, Inc. ............ 1,534,193
24,850 Merck & Co., Inc. .......... 1,180,375
102,934 Pfizer, Inc. ............... 3,528,577
-----------
9,885,065
-----------
Industrial Services (0.6%):
8,820 Cooper Cameron Corp. (b).... 429,534
12,820 Weatherford International
Ltd. (b).................. 576,644
-----------
1,006,178
-----------
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
COMMON STOCKS, CONTINUED:
Non-Energy Minerals (0.6%):
32,290 Alcoa, Inc. ................ 1,066,539
-----------
Process Industries (1.0%):
13,280 Cabot Corp. ................ 540,496
13,180 Sigma-Aldrich Corp. ........ 785,660
6,260 Temple-Inland, Inc. ........ 433,505
-----------
1,759,661
-----------
Producer Manufacturing (7.9%):
18,700 Crane Co. .................. 586,993
15,830 Danaher Corp. .............. 820,786
9,910 Eaton Corp. ................ 641,573
96,320 General Electric Co. ....... 3,120,767
28,480 Honeywell International,
Inc. ..................... 1,043,222
20,680 Johnson Controls, Inc. ..... 1,103,898
19,390 Lear Corp. ................. 1,143,816
19,800 Minnesota Mining &
Manufacturing Co. ........ 1,782,198
22,590 Pentair, Inc. .............. 759,928
15,530 Pitney Bowes, Inc. ......... 687,203
9,290 SPX Corp. .................. 431,428
48,750 Tyco International Ltd. .... 1,615,575
-----------
13,737,387
-----------
Retail Trade (4.9%):
39,700 Albertson's, Inc. .......... 1,053,638
25,710 Kohl's Corp. (b)............ 1,087,019
29,995 Rent-A-Center, Inc. (b)..... 897,750
52,790 Safeway, Inc. (b)........... 1,337,699
19,200 Target Corp. ............... 815,424
45,620 Wal-Mart Stores, Inc. ...... 2,406,911
27,930 Walgreen Co. ............... 1,011,345
-----------
8,609,786
-----------
Technology Services (3.4%):
7,730 Affiliated Computer
Services, Inc., Class A
(b)....................... 409,226
9,180 Electronic Arts, Inc. (b)... 500,769
136,910 Microsoft Corp. ............ 3,910,150
22,260 Network Associates, Inc.
(b)....................... 403,574
20,550 Paychex, Inc. .............. 696,234
-----------
5,919,953
-----------
Transportation (0.9%):
11,060 Canadian National Railway
Co. ...................... 482,105
14,550 United Parcel Service, Inc.,
Class B................... 1,093,724
-----------
1,575,829
-----------
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
24
ONE GROUP INVESTMENT TRUST BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
COMMON STOCKS, CONTINUED:
Utilities (1.7%):
17,610 FPL Group, Inc. ............ 1,126,159
12,400 Kinder Morgan, Inc. ........ 735,196
27,110 Pinnacle West Capital
Corp. .................... 1,094,973
-----------
2,956,328
-----------
Total Common Stocks 105,663,124
-----------
CORPORATE BONDS (12.3%):
Banking (0.3%):
300,000 Wachovia Corp., 6.61%,
10/1/25................... 317,931
160,000 Wells Fargo & Co., 7.55%,
6/21/10................... 184,404
-----------
502,335
-----------
Communications (0.1%):
200,000 Southwestern Bell Telephone,
5.98%, 10/22/07........... 212,730
-----------
Consumer Durables (0.6%):
300,000 DaimlerChrysler NA Holdings
Corp., 7.20%, 9/1/09...... 326,919
150,000 General Dynamics Corp.,
4.50%, 8/15/10............ 149,490
500,000 General Motors Corp., 7.20%,
1/15/11................... 524,577
60,000 Hanson Australia Funding,
5.25%, 3/15/13............ 58,236
-----------
1,059,222
-----------
Consumer Services (0.8%):
175,000 Allstate Corp., 6.13%,
2/15/12................... 186,799
60,000 Coca-Cola Enterprises,
6.13%, 8/15/11............ 64,743
150,000 Comcast Cable
Communications, 8.38%,
5/1/07.................... 167,749
100,000 Comcast Cable
Communications, 6.88%,
6/15/09................... 109,240
150,000 Cox Communications, Inc.,
7.75%, 11/1/10............ 170,252
80,000 Cox Communications, Inc.,
4.63%, 6/1/13............. 73,977
60,000 PHH Corp., 7.13%, 3/1/13.... 65,633
50,000 Thomson Corp., 4.25%,
8/15/09................... 49,402
450,000 Time Warner, Inc., 9.13%,
1/15/13................... 549,441
-----------
1,437,236
-----------
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
CORPORATE BONDS, CONTINUED:
Energy Minerals (0.2%):
250,000 Occidental Petroleum Corp.,
9.25%, 8/1/19............. 331,567
-----------
Finance (6.7%):
50,000 ACE INA Holdings, Inc.,
5.88%, 6/15/14............ 50,679
125,000 American Express Credit,
3.00%, 5/16/08............ 120,441
120,000 American General Finance,
4.00%, 3/15/11............ 114,034
65,000 American General Finance
Corp., 4.63%, 5/15/09..... 65,164
300,000 Bank of America Corp.,
7.80%, 2/15/10............ 345,151
100,000 Bank of America Corp.,
7.13%, 10/15/11........... 111,887
250,000 BCH Cayman Islands, 7.50%,
6/15/05................... 261,089
100,000 Bear Stearns Co., Inc.,
4.50%, 10/28/10........... 98,171
250,000 Boeing Capital Corp., 7.10%,
9/27/05................... 264,076
100,000 Branch Banking & Trust,
4.88%, 1/15/13............ 96,923
600,000 Capital One Auto Finance
Trust, 3.44%, 6/15/09..... 603,658
200,000 Capital One Bank Co., 6.88%,
2/1/06.................... 211,028
75,000 Cit Group Holdings, 7.38%,
4/2/07.................... 82,104
180,000 Cit Group, Inc., 4.13%,
2/21/06................... 183,153
100,000 Citigroup, Inc., 3.50%,
2/1/08.................... 98,706
500,000 Citigroup, Inc., 7.25%,
10/1/10................... 563,818
150,000 Conoco Funding Corp., 6.35%,
10/15/11.................. 163,448
300,000 Countrywide Home Loan,
4.00%, 3/22/11............ 280,214
650,000 Credit Suisse First Boston
USA, Inc., 6.50%,
1/15/12................... 699,527
120,000 Dow Capital BV, 8.50%,
6/8/10, Putable 6/8/05 @
100....................... 139,316
225,000 Fleet Financial Group,
7.38%, 12/1/09............ 253,997
800,000 Ford Motor Credit Co.,
7.38%, 2/1/11............. 844,912
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
25
ONE GROUP INVESTMENT TRUST BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
CORPORATE BONDS, CONTINUED:
Finance, continued:
500,000 General Electric Capital
Corp., 8.63%, 6/15/08..... 580,582
50,000 General Electric Capital
Corp., 3.13%, 4/1/09...... 47,523
500,000 GMAC, 7.25%, 3/2/11......... 525,458
300,000 Goldman Sachs Group, Inc.,
7.20%, 3/1/07 (d)......... 326,208
200,000 Goldman Sachs Group, Inc.,
4.75%, 7/15/13 (d)........ 188,218
700,000 Household Finance Corp.,
8.00%, 7/15/10............ 813,266
475,000 Inter-American Development
Bank, 8.40%, 9/1/09....... 566,157
150,000 John Deere Capital Corp.,
3.83%, 5/25/07............ 149,769
150,000 KeyCorp, 4.70%, 5/21/09..... 150,702
200,000 Lehman Brothers Holdings,
Inc., 6.63%, 1/18/12...... 217,492
125,000 Merrill Lynch & Co., 3.38%,
9/14/07................... 123,839
200,000 Merrill Lynch & Co., 4.13%,
1/15/09................... 197,474
600,000 Morgan Stanley Dean Witter
and Co., 6.75%, 4/15/11... 658,422
350,000 National Rural Utilities,
6.00%, 5/15/06............ 368,481
150,000 News America, Inc., 6.75%,
1/9/38.................... 164,193
300,000 Nynex Capital Funding,
8.23%, 10/15/09........... 346,150
75,000 Popular North America, Inc.,
4.25%, 4/1/08............. 75,023
75,000 Principal Life, Inc., 3.20%,
4/1/09.................... 71,564
75,000 Protective Life Secured
Trust, 4.00%, 4/1/11...... 71,087
25,000 Unionbancal Corp., 5.25%,
12/16/13.................. 24,661
125,000 Washington Mutual, Inc.,
4.63%, 4/1/14............. 114,222
125,000 Wells Fargo & Co., 3.13%,
4/1/09.................... 118,782
-----------
11,550,769
-----------
Foreign Banks (0.0%):
50,000 Royal Bank of Canada, 3.88%,
5/4/09.................... 49,072
-----------
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
CORPORATE BONDS, CONTINUED:
Governments (Foreign) (0.1%):
80,000 United Mexican States,
4.63%, 10/8/08............ 78,980
40,000 United Mexican States,
6.38%, 1/16/13............ 40,020
-----------
119,000
-----------
Producer Manufacturing (0.0%):
75,000 Pitney Bowes, Inc., 3.88%,
6/15/13................... 68,340
-----------
Retail Trade (0.5%):
350,000 Albertson's, Inc., 6.95%,
8/1/09.................... 382,700
400,000 Kroger Co., 8.05%, 2/1/10... 461,091
100,000 Wal-Mart Stores, 4.13%,
2/15/11................... 96,654
-----------
940,445
-----------
Technology Services (0.0%):
80,000 IBM Corp., 4.38%, 6/1/09.... 80,326
-----------
Telecommunications (0.5%):
50,000 AT&T Broadband Corp., 8.38%,
3/15/13................... 58,791
50,000 AT&T Corp., 8.75%,
11/15/31.................. 48,930
75,000 AT&T Wireless, 7.88%,
3/1/11.................... 85,422
125,000 BellSouth Corp., 6.00%,
10/15/11.................. 131,584
80,000 British Telecom, 8.38%,
12/15/10.................. 93,544
60,000 Deutsche Telekom, 8.50%,
6/15/10................... 70,197
30,000 France Telecom, 9.00%,
3/1/11.................... 34,810
150,000 Sprint Capital Corp., 6.00%,
1/15/07................... 157,176
125,000 Sprint Capital Corp., 7.63%,
1/30/11................... 138,366
-----------
818,820
-----------
Transportation (0.6%):
70,000 Continental Airlines, Inc.,
7.06%, 9/15/09............ 69,295
150,000 Norfolk Southern Corp.,
7.05%, 5/1/37............. 159,436
500,000 Union Pacific Corp., 6.65%,
1/15/11................... 546,847
245,394 United Airlines, 7.19%,
4/1/11.................... 204,331
-----------
979,909
-----------
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
26
ONE GROUP INVESTMENT TRUST BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
CORPORATE BONDS, CONTINUED:
Utilities (1.9%):
560,000 American Electric Power Co.,
Inc., 6.13%, 5/15/06...... 588,127
50,000 Carolina Power and Light,
5.13%, 9/15/13............ 49,323
173,000 Columbia Gas System, 6.80%,
11/28/05.................. 181,912
25,000 Consolidated Edison, Inc.,
4.70%, 6/15/09............ 25,358
100,000 Constellation Energy Group,
6.35%, 4/1/07............. 106,429
150,000 Dominion Resources, Inc.,
6.25%, 6/30/12............ 157,465
200,000 DTE Energy Co., 6.65%,
4/15/09................... 213,722
250,000 Duke Energy, 4.20%,
10/1/08................... 245,855
500,000 Exelon Corp., 6.75%,
5/1/11.................... 544,510
900,000 Hydro Quebec, 6.52%,
2/23/06................... 955,455
130,000 National Rural Utilities,
7.30%, 9/15/06............ 140,583
115,000 PSEG Power, 7.75%,
4/15/11................... 130,415
35,000 Sempra Energy, 4.75%,
5/15/09................... 35,249
-----------
3,374,403
-----------
Total Corporate Bonds 21,524,174
-----------
U.S. GOVERNMENT AGENCY SECURITIES (0.7%):
Fannie Mae (0.7%):
150,000 7.25%, 1/15/10.............. 170,958
400,000 7.13%, 6/15/10.............. 454,660
585,000 5.38%, 11/15/11............. 605,639
-----------
Total U.S. Government Agency Securities 1,231,257
-----------
U.S. GOVERNMENT AGENCY MORTGAGES (13.4%):
Fannie Mae (5.2%):
747,320 7.14%, 8/1/05, Pool
#73166.................... 767,985
19,653 8.15%, 4/25/06, Series
91-37, Class H............ 20,102
6,791 6.15%, 8/25/06, Series
93-223, Class VD.......... 6,974
7,917 9.00%, 11/1/06, Pool
#124017................... 8,159
330,416 6.94%, 12/1/06, Pool
#73798.................... 351,333
64,638 7.50%, 3/25/07, Series
92-18, Class ZH........... 67,309
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
18,058 6.00%, 8/25/07, Series
92-151, Class H........... 18,616
254,416 6.85%, 10/1/07, Pool
#375435................... 274,150
283,465 6.53%, 12/1/07, Pool
#375568................... 303,637
72,350 6.50%, 5/25/08, Series
93-174, Class G........... 72,523
322,154 6.25%, 7/25/08, Series
93-135, Class PG.......... 333,820
371,965 6.19%, 9/1/08, Pool
#380623................... 397,266
23,304 8.00%, 9/1/08, Pool
#190586................... 24,217
77,049 8.30%, 10/25/08, Series
93-197, Class SC, IF*..... 80,985
24,149 6.50%, 3/25/09, Series
95-13, Class B............ 24,465
73,189 7.50%, 8/1/09, Pool
#292020................... 77,856
800,000 7.00%, 7/18/12, Series
97-42, Class PG........... 863,119
106,304 6.50%, 4/1/13, Pool
#414513................... 112,577
89,640 7.00%, 6/1/13, Pool
#427488................... 95,269
200,000 6.65%, 6/25/13, Series
93-140, Class J........... 212,548
81,821 6.00%, 8/1/13, Pool
#251899................... 85,537
80,311 6.00%, 12/1/13, Pool
#323458................... 83,958
41,542 6.00%, 6/25/14, Series 02-24
Class AD.................. 41,568
12,204 6.00%, 9/25/14, Series
01-71, Class QC........... 12,201
150,000 4.50%, 2/25/17, Series
03-86, Class PX........... 146,876
250,000 5.50%, 4/25/17, Series
02-18, Class PC........... 257,432
150,000 6.00%, 4/25/17, Series
02-19, Class PE........... 156,741
300,000 6.00%, 4/25/17, Series
02-24, Class AJ........... 314,762
174,182 8.00%, 5/1/17, Pool
#50000.................... 191,295
44,413 9.00%, 12/1/17, Pool
#359455................... 49,730
177,855 9.25%, 3/25/18, Series 88-4,
Class Z................... 195,072
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
27
ONE GROUP INVESTMENT TRUST BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
104,391 8.50%, 11/1/18, Pool
#313280................... 115,213
29,499 10.45%, 4/25/19, Series
89-21, Class G............ 31,941
126,491 8.00%, 7/25/19, Series
89-37, Class G............ 136,358
23,403 8.75%, 11/25/19, Series
89-86, Class E............ 25,634
500,000 6.00%, 2/25/20, Series 02-7,
Class QM.................. 521,588
41,526 6.50%, 3/25/20, Series
90-30, Class E............ 43,675
98,365 6.00%, 4/25/20, Series
02-56, Class VD........... 100,301
59,433 6.50%, 9/25/20, Series
90-105, Class J........... 61,441
138,000 6.00%, 10/25/20, Series
02-41 Class VB............ 143,479
33,339 8.50%, 9/25/21, Series G-29,
Class O................... 35,496
33,280 8.75%, 9/25/21, Series
91-129, Class G........... 36,412
117,680 6.50%, 2/25/23, Series
93-202, Class I........... 119,176
142,754 6.50%, 2/25/23, Series
G93-36, Class J........... 144,682
32,580 0.00%, 5/25/23, Series
G93-24, Class C, PO....... 32,153
150,000 5.00%, 6/25/23, Series
03-55, Class CD........... 143,196
250,000 5.00%, 6/25/23, Series
03-83, Class PG........... 241,556
100,000 6.50%, 7/25/23, Series
93-119, Class H........... 103,455
111,398 5.00%, 12/25/23, Series
94-22, Class C............ 113,675
175,014 6.50%, 12/25/23, Series
93-225, Class UB.......... 182,785
241,000 7.50%, 2/25/24, Series
94-81, Class LL........... 257,920
26,609 7.00%, 8/1/25, Pool
#270725................... 28,250
18,365 10.00%, 6/17/27, Series
97-49, Class B............ 20,537
8,733 7.50%, 10/1/27, Pool
#402032................... 9,383
172,172 6.50%, 12/25/28, Series
98-66, Class B............ 182,527
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
16,661 6.00%, 7/25/29, Series
01-64, Class BT........... 16,627
350,000 5.75%, 6/25/33, Series
03-47, Class PE........... 322,695
287,712 5.50%, 12/1/33, Pool
#725017................... 287,256
-----------
9,105,493
-----------
Freddie Mac (7.6%):
25,159 6.00%, 12/15/08, Series
1908, Class C............. 25,163
200,000 6.00%, 3/15/09, Series 1708,
Class E................... 209,526
415,000 5.89%, 3/30/09, Series
EJ09...................... 447,065
22,766 8.00%, 10/1/10, Pool
#G10518................... 23,911
45,000 6.00%, 2/15/11, Series 1819,
Class E................... 47,016
117,452 6.50%, 9/15/12, Series 2173,
Class VB.................. 118,178
50,799 6.00%, 3/1/13, Pool
#E69409................... 53,134
46,381 6.50%, 3/1/13, Pool
#E69466................... 49,108
56,289 6.50%, 6/1/13, Pool
#E00552................... 59,575
56,041 7.00%, 6/1/13, Pool
#E00554................... 59,483
580,000 6.00%, 1/15/14, Series 2115,
Class PE.................. 609,683
79,309 6.50%, 2/15/14, Series 1668,
Class D................... 83,982
250,000 5.00%, 7/15/14, Series 2557,
Class WJ.................. 255,648
114,909 7.00%, 12/1/14, Pool
#P60089................... 121,121
500,000 5.50%, 3/15/15, Series 2368,
Class OE.................. 517,272
87,852 5.50%, 5/15/15, Series 2497,
Class UH.................. 88,974
45,319 6.00%, 6/15/15, Series 2391,
Class DK.................. 45,474
158,637 5.50%, 11/15/15, Series
2467, Class EA............ 161,008
204,723 5.00%, 1/15/16, Series 2501,
Class AG.................. 207,805
92,469 7.00%, 3/1/16, Pool
#P60090................... 97,468
150,000 5.50%, 12/15/16, Series
2391, Class QR............ 154,218
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
28
ONE GROUP INVESTMENT TRUST BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
500,000 6.00%, 12/15/16, Series
2394, Class MC............ 523,134
500,000 6.00%, 1/15/17, Series 2405,
Class JF.................. 523,266
300,000 6.00%, 3/15/17, Series 2425,
Class OB.................. 314,596
50,480 8.00%, 4/1/17, Pool
#290302................... 55,355
650,000 5.50%, 11/15/17, Series
#2522..................... 659,067
255,934 4.00%, 5/15/18, Series 2643,
Class KG.................. 259,310
374,057 4.00%, 8/1/18, Pool
#E01424................... 357,148
250,000 5.00%, 9/15/18, Series 2701,
Class OD.................. 252,333
500,000 6.00%, 8/15/19, Series 2388,
Class AD.................. 527,886
36,564 8.60%, 1/15/21, Series 85,
Class C................... 36,636
52,454 6.00%, 2/15/21, Series 1047,
Class H................... 52,453
17,426 7.00%, 2/15/21, Series 115,
Class I................... 17,444
32,648 6.50%, 4/15/21, Series 1062,
Class H................... 32,647
196,268 6.50%, 7/15/21, Series 168,
Class G................... 196,430
63,485 8.00%, 7/15/21, Series 1120,
Class L................... 63,695
28,343 5.50%, 8/15/21, Series 1116,
Class I................... 28,342
26,547 6.50%, 10/15/21, Series 189,
Class D................... 26,577
92,776 7.00%, 1/15/22, Series 1191,
Class E................... 93,346
23,574 6.50%, 2/15/22, Series 1240,
Class M................... 24,096
134,999 6.25%, 4/15/22, Series 1610,
Class PM.................. 137,288
172,409 8.00%, 4/15/22, Series 1254,
Class N................... 176,737
179,939 6.50%, 11/1/22, Pool
#G30234................... 188,715
335,000 6.85%, 6/25/23, Series 13,
Class LL.................. 352,271
250,000 6.50%, 11/15/23, Series
1617, Class PM............ 263,768
148,603 5.00%, 2/15/24, Series 2756,
Class NA.................. 145,547
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
148,000 7.00%, 4/15/24, Series 1714,
Class K................... 157,775
252,403 8.00%, 4/15/24, Series 1710,
Class GH.................. 267,280
213,309 8.00%, 4/25/24, Series 31,
Class Z................... 237,818
36,990 8.50%, 9/15/24, Series 1753,
Class D................... 40,225
353,655 7.00%, 4/15/26, Series 1843,
Class Z................... 375,537
36,491 8.00%, 9/1/26, Pool
#C00476................... 39,917
200,000 5.00%, 5/15/27, Series 2764,
Class UC.................. 200,250
11,585 7.50%, 7/1/27, Pool
#D81027................... 12,510
259,389 6.00%, 7/15/27, Series 2426,
Class GF.................. 260,009
13,944 7.00%, 10/1/27, Pool
#D83256................... 14,784
100,000 6.00%, 2/15/28, Series 2107,
Class E................... 104,432
125,000 5.50%, 4/15/28, Series 2517,
Class TG.................. 126,727
310,584 6.50%, 10/15/28, Series
2438, Class NC............ 313,056
53,295 6.50%, 2/15/29, Series 2422,
Class DE.................. 53,483
190,000 7.00%, 8/15/29, Series 2178,
Class PB.................. 201,394
63,416 6.00%, 2/15/30, Series 2367,
Class PD.................. 65,643
258,888 6.50%, 7/15/30, Series 2388,
Class BE.................. 261,736
38,032 6.50%, 9/15/30, Series 2316,
Class PB.................. 38,739
52,918 6.50%, 11/15/30, Series
2430, Class GD............ 53,793
87,861 6.50%, 1/15/31, Series 2433,
Class NG.................. 91,787
200,000 6.50%, 5/15/32, Series 2455,
Class GK.................. 208,562
375,000 6.50%, 6/15/32, Series 2457,
Class PE.................. 388,546
396,303 6.50%, 7/15/32, Series
02-31, Class JZ........... 407,160
544,752 6.50%, 2/25/43, Series T-54,
Class 2A.................. 568,337
-----------
13,232,399
-----------
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
29
ONE GROUP INVESTMENT TRUST BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Government National Mortgage Assoc. (0.6%):
9,543 8.50%, 12/15/05, Pool
#7500..................... 9,825
178,879 7.00%, 7/15/08, Pool
#348872................... 190,762
61,350 8.00%, 12/20/10, Pool
#2165..................... 64,685
14,002 7.00%, 2/15/11, Pool
#412559................... 14,939
62,002 8.50%, 10/15/11, Pool
#432121................... 67,314
128,026 6.50%, 9/15/13, Pool
#468228................... 135,981
50,268 8.00%, 11/15/16, Pool
#181122................... 55,392
17,605 8.00%, 11/15/16, Pool
#199829................... 19,400
36,585 8.00%, 11/15/16, Pool
#196714................... 40,315
148,815 8.50%, 12/15/22, Pool
#780708................... 166,087
51,461 8.00%, 11/15/24, Pool
#780028................... 56,881
28,882 8.00%, 6/20/25, Series 95-4,
Class CQ.................. 30,507
9,351 7.50%, 5/15/26, Pool
#398663................... 10,105
18,858 8.00%, 6/20/26, Pool
#CSF2334.................. 20,672
27,119 7.50%, 1/20/27, Pool
#2360..................... 29,255
41,249 8.00%, 5/20/27, Pool
#2433..................... 45,133
45,911 8.00%, 9/15/27, Pool
#451932................... 50,417
22,866 7.00%, 4/15/28, Pool
#473915................... 24,343
13,199 7.00%, 6/15/28, Pool
#477123................... 14,052
-----------
1,046,065
-----------
Total U.S. Government Agency Mortgages 23,383,957
-----------
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
U.S. TREASURY OBLIGATIONS (11.3%):
U.S. Treasury Bonds (5.4%):
5,250,000 10.38%, 11/15/12............ 6,412,387
2,450,000 7.25%, 5/15/16.............. 2,962,682
-----------
9,375,069
-----------
U.S. Treasury Inflation Protected Bonds (0.5%):
700,000 3.88%, 1/15/09.............. 894,844
-----------
U.S. Treasury Notes (3.2%):
1,500,000 6.50%, 8/15/05.............. 1,572,306
3,600,000 6.50%, 2/15/10.............. 4,057,596
-----------
5,629,902
-----------
U.S. Treasury STRIPS (2.2%):
2,250,000 5/15/10..................... 1,764,736
2,625,000 5/15/15..................... 1,521,458
875,000 8/15/15..................... 498,664
-----------
3,784,858
-----------
Total U.S. Treasury Obligations 19,684,673
-----------
INVESTMENT COMPANIES (0.1%):
237,693 One Group Prime Money Market
Fund, Class I (c)......... 237,693
-----------
Total Investment Companies 237,693
-----------
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR
SECURITIES LENDING (14.7%):
25,721,492 Pool of various securities
for One Group Equity
Funds -- footnote 2
(Securities Lending)...... 25,721,492
-----------
Total Short-Term Securities Held as
Collateral for Securities Lending 25,721,492
-----------
Total (Cost $193,130,069) (a) 199,782,310
===========
</Table>
- ------------
Percentages indicated are based on net assets of $174,539,194.
(a) Represents cost for financial reporting purposes and differs from market
value by unrealized appreciation (depreciation) of securities as follows:
<Table>
Unrealized appreciation...................... $ 17,933,901
Unrealized depreciation...................... (11,281,660)
------------
Net unrealized appreciation (depreciation)... $ 6,652,241
============
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
30
ONE GROUP INVESTMENT TRUST BALANCED PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
Aggregate cost for federal income tax purposes differs from cost for financial
reporting purposes by less than 2% of net assets and is therefore considered
substantially the same.
(b) Non-income producing securities.
(c) Investment in affiliate.
(d) Security exempt from registration under Rule 144A of the Securities Act of
1933. These securities may be resold in transactions exempt from
registration, normally to qualified institutional buyers.
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 of Investments is the rate in effect
as of June 30, 2004.
See notes to financial statements.
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
31
ONE GROUP INVESTMENT TRUST BOND PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
ASSET BACKED SECURITIES (2.1%):
150,000 Americredit Automobile
Receivables Trust, Series
01-D, Class A4, 4.41%,
11/12/08.................. 152,516
100,000 Americredit Automobile
Receivables Trust, Series
03-BX, Class A4A, 2.72%,
1/6/10.................... 98,897
484,693 Capital One Auto Finance
Trust, Series 01-A, Class
A4, 5.40%, 5/15/08........ 495,793
65,914 Chase Funding Loan
Acquisition Trust, Series
02-C1, Class IA5, 6.86%,
1/25/32................... 66,506
450,000 Citibank Credit Card
Issuance Trust, Series
02-C2, Class C2, 6.95%,
2/18/14................... 489,209
165,000 CNH Equipment Trust, Series
03-B, Class A4B, 3.38%,
2/15/11................... 163,864
200,000 Conseco Finance, Series
01-B, Class 1M1, 7.27%,
6/15/32................... 207,854
200,000 MBNA Master Credit Card
Trust, Series 00-D, Class
C, 8.40%, 9/15/09 (b)..... 223,387
240,000 MBNA Master Credit Card
Trust, Series 99-J, Class
C, 7.85%, 2/15/12 (b)..... 273,527
75,000 MBNA Master Credit Card
Trust, Series 03-C1, Class
C, 2.94%, 6/15/12 (b)..... 79,686
200,000 MBNA Master Credit Card
Trust, Series 02-C1, Class
C1, 6.80%, 7/15/14 (b).... 215,900
116,250 Residential Asset Mortgage
Products, Inc., Series
01-RS3, Class AI4, 6.29%,
10/25/31.................. 118,134
198,665 Union Acceptance Corp.,
Series 00-B, Class A4,
7.54%, 10/10/06........... 201,271
225,000 WFS Financial Owner Trust,
Series 02-1, Class A4A,
4.87%, 9/20/09............ 230,620
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
ASSET BACKED SECURITIES, CONTINUED:
500,000 WFS Financial Owner Trust,
Series 02-2, Class A4,
4.50%, 2/20/10............ 511,010
490,000 WFS Financial Owner Trust,
Series 03-4, Class A4,
3.15%, 5/20/11............ 485,263
-----------
Total Asset Backed Securities 4,013,437
-----------
COLLATERALIZED MORTGAGE OBLIGATIONS (5.5%):
Financial Services (5.5%):
82,832 ABN AMRO Mortgage Corp.,
Series 99-4, Class IA12,
6.50%, 6/25/29............ 83,202
150,000 American Express Credit
Account Master Trust,
Series 04-3, Class A,
4.35%, 12/15/11........... 150,128
40,913 American Housing Trust,
Series V, Class 1G, 9.13%,
4/25/21................... 40,909
495,667 Banc of America Funding
Corp., Series 03-3, Class
1A33, 5.50%, 10/25/33..... 497,323
200,000 Bank of America Mortgage
Securities, Series 04-E,
Class 2A5, 4.13%,
6/25/34................... 193,000
96,928 Bank of America Mortgage
Securities Trust, Series
03-8, Class A, 0.00%,
11/25/33, PO.............. 69,157
345,986 Citigroup Mortgage Loan
Trust, Inc., 5.50%,
12/25/18.................. 345,901
263,507 Citigroup Mortgage Loan
Trust, Inc., 7.00%,
9/25/33................... 271,722
105,059 Countrywide Alternative Loan
Trust, Series 01-6, Class
2A4, 7.00%, 7/25/31....... 105,002
540,491 Countrywide Alternative Loan
Trust, Series 02-2, Class
A12, 6.75%, 4/25/32....... 540,808
436,000 Countrywide Alternative Loan
Trust, Series 02-8, Class
A4, 6.50%, 7/25/32........ 445,419
385,137 Countrywide Home Loans,
Series 03-J7, Class 4A3,
8.36%, 8/25/18, IF*....... 367,877
830,198 Countrywide Home Loans,
Series 03-26, Class 1A6,
3.50%, 8/25/33............ 824,146
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
32
ONE GROUP INVESTMENT TRUST BOND PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED:
Financial Services, continued:
236,302 Federal National Mortgage
Association, Series 04-14,
Class CD, 7.43%, 3/25/34,
PO........................ 148,626
113,088 Impac Secured Assets Common
Owner Trust, Series 00-1,
Class A8, 8.15%, 4/25/30.. 112,998
469,397 PNC Mortgage Securities
Corp., Series 99-4, Class
1A10, 6.75%, 6/25/29...... 484,978
500,000 Residential Accredit Loans,
Inc., Series 02-QS8, Class
A5, 6.25%, 6/25/17........ 515,499
150,965 Residential Accredit Loans,
Inc., Series 02-QS16,
Class A3, 14.32%,
10/25/17, IF*............. 164,456
591,539 Residential Accredit Loans,
Inc., Series 03-QS3, Class
A8, 6.50%, 2/25/18, IO,
IF*....................... 59,092
190,967 Residential Accredit Loans,
Inc., Series 03-QS3, Class
A2, 14.08%, 2/25/18,
IF*....................... 204,390
1,334,377 Residential Accredit Loans,
Inc., Series 03-QS9, Class
A3, 6.45%, 5/25/18, IO,
IF*....................... 163,885
445,236 Residential Accredit Loans,
Inc., Series 03-QS18,
Class A1, 5.00%,
9/25/18................... 446,040
155,653 Residential Accredit Loans,
Inc., Series 96-QS3, Class
AI-11, 7.75%, 6/25/26..... 155,565
276,000 Residential Accredit Loans,
Inc., Series 02-QS3, Class
A10, 6.75%, 3/25/32....... 291,076
37,205 Residential Accredit Loans,
Inc., Series 02-QS6, Class
A10, 6.50%, 5/25/32....... 37,394
165,000 Residential Funding Mortgage
Securities I, Series
03-S12, Class 4A5, 4.50%,
12/25/32.................. 162,870
96,345 Residential Funding Mortgage
Securities I, Inc., Series
94-S8, Class A6, 6.00%,
3/25/09................... 96,317
780,953 Residential Funding Mortgage
Securities I, Inc., Series
03-S7, Class A17, 4.00%,
5/25/33................... 777,856
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED:
Financial Services, continued:
73,744 Salomon Brothers Mortgage
Securities Trust VII,
Series 03-UP2, Class P01,
0.00%, 12/25/18, PO....... 62,599
400,000 Structured Adjustable Rate
Mortgage Loan, Series
04-6, Class 5A4, 5.02%,
6/25/34................... 375,750
227,348 Vendee Mortgage Trust,
Series 94-1, Class 1,
5.63%, 2/15/24............ 229,462
438,073 Vendee Mortgage Trust,
Series 96-1, Class 1Z,
6.75%, 2/15/26............ 453,677
257,012 Vendee Mortgage Trust,
Series 96-2, Class 1Z,
6.75%, 6/15/26............ 274,280
865,144 Vendee Mortgage Trust,
Series 97-1, Class 2Z,
7.50%, 2/15/27............ 960,814
275,000 Vendee Mortgage Trust,
Series 98-1, Class 2E,
7.00%, 9/15/27............ 284,883
91,591 Washington Mutual Mortgage
Securities Corp., Series
03-S10, Class A6, 0.00%,
10/25/18, PO.............. 64,285
150,000 Wells Fargo Mortgage Backed
Securities Trust, Series
03-8, Class A9, 4.50%,
8/25/18................... 139,347
139,493 Wells Fargo Mortgage Backed
Securities Trust, Series
03-11, Class 1APO, 0.00%,
10/25/18, PO.............. 108,588
-----------
Total Collateralized Mortgage
Obligations 10,709,321
-----------
CORPORATE BONDS (17.3%):
Aerospace & Defense (0.0%):
90,659 BAE Systems 2001 Asset
Trust, 7.16%,
12/15/11 (b).............. 96,553
-----------
Airlines (0.7%):
142,386 Continental Airlines, Inc.,
Series 97-4, Class B,
6.90%, 1/2/17............. 109,966
275,000 Delta Airlines, Inc., Series
00-1, Class A2, 7.57%,
11/18/10.................. 255,384
150,000 Delta Airlines, Inc., Series
02-1, Class G2, 6.42%,
7/2/12.................... 155,250
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
33
ONE GROUP INVESTMENT TRUST BOND PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
CORPORATE BONDS, CONTINUED:
Airlines, continued:
89,530 Northwest Airlines, Inc.,
Series 01-1, Class A1,
7.04%, 4/1/22............. 86,133
121,777 Southwest Airlines Co.,
Series 01-1, Class A1,
5.10%, 5/1/06............. 124,875
200,000 United Airlines, Inc.,
Series 01-1, Class A2,
6.20%, 9/1/08............. 164,666
98,158 United Airlines, Inc.,
Series 00-2, Class A2,
7.19%, 4/1/11............. 81,732
314,545 United Airlines, Inc.,
Series 01-1, Class A2,
6.07%, 3/1/13............. 261,128
84,632 United Airlines, Inc.,
Series 00-1, Class A1,
7.78%, 1/1/14............. 69,814
-----------
1,308,948
-----------
Automotive (0.4%):
150,000 Daimler Chrysler NA
Holdings, 7.40%,
1/20/05................... 154,081
400,000 Daimler Chrysler NA
Holdings, 4.05%, 6/4/08... 392,561
150,000 General Motors Corp., 7.20%,
1/15/11................... 157,373
-----------
704,015
-----------
Banking, Finance & Insurance (10.7%):
40,000 AIG International Lease
Finance Corp., 5.88%,
5/1/13.................... 41,080
100,000 American Express Credit,
3.00%, 5/16/08............ 96,353
130,000 American International
Group, 4.25%, 5/15/13..... 120,616
300,000 ASIF Global Financing XIX,
4.90%, 1/17/13 (b)........ 293,492
150,000 ASIF Global Financing XX,
2.65%, 1/17/06 (b)........ 149,598
250,000 ASIF Global Financing XXIII,
3.90%, 10/22/08 (b)....... 247,197
500,000 Associates Corp., 8.58%,
11/23/04.................. 512,432
250,000 Associates Corp., 8.55%,
7/15/09................... 294,048
200,000 Associates Corp., 8.15%,
8/1/09.................... 231,535
200,000 Bank of America Corp.,
3.88%, 1/15/08............ 199,840
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
CORPORATE BONDS, CONTINUED:
Banking, Finance & Insurance, continued:
570,000 Bank of America Corp.,
7.80%, 2/15/10............ 655,786
400,000 Bear Stearns Co., Inc.,
3.25%, 3/25/09............ 378,710
500,000 Boeing Capital Corp., 6.36%,
7/15/05................... 513,399
75,000 Branch Banking & Trust,
4.88%, 1/15/13............ 72,693
190,000 Capital One Bank, 8.25%,
6/15/05................... 199,243
225,000 CIT Group Holdings, 6.50%,
2/7/06.................... 237,135
150,000 CIT Group, Inc., 7.63%,
8/16/05................... 158,157
50,000 Corporation Andina de
Fomento California, 5.20%,
5/21/13................... 48,183
200,000 Countrywide Home Loans,
7.20%, 10/30/06........... 216,474
50,000 Countrywide Home Loans,
3.25%, 5/21/08............ 48,141
250,000 Countrywide Home Loans,
4.00%, 3/22/11............ 233,512
500,000 Credit Suisse First Boston
(USA), Inc., 6.13%,
11/15/11.................. 527,042
150,000 Credit Suisse First Boston
(USA), Inc., 5.50%,
8/15/13................... 149,698
100,000 First Union National, Inc.,
7.80%, 8/18/10............ 115,700
250,000 Firstar Bank N.A., 7.13%,
12/1/09................... 281,873
250,000 Ford Motor Credit Co.,
6.88%, 2/1/06............. 262,322
900,000 Ford Motor Credit Co.,
7.38%, 10/28/09........... 961,558
175,000 GE Capital Corp., 4.25%,
1/15/08................... 177,336
150,000 GE Capital Corp., 3.50%,
5/1/08.................... 147,714
500,000 GE Capital Corp., 7.38%,
1/19/10................... 571,422
300,000 GE Capital Corp., 5.88%,
2/15/12................... 315,110
200,000 GE Capital Corp., 6.75%,
3/15/32................... 215,702
490,000 GMAC, 6.13%, 9/15/06........ 510,528
250,000 GMAC, 7.75%, 1/19/10........ 271,700
550,000 GMAC, 7.25%, 3/2/11......... 578,003
200,000 Goldman Sachs Group LP,
3.88%, 1/15/09............ 195,228
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
34
ONE GROUP INVESTMENT TRUST BOND PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
CORPORATE BONDS, CONTINUED:
Banking, Finance & Insurance, continued:
400,000 Goldman Sachs Group LP,
6.88%, 1/15/11............ 439,690
125,000 Goldman Sachs Group LP,
4.75%, 7/15/13............ 117,636
150,000 Goldman Sachs Group LP,
5.25%, 10/15/13........... 145,911
268,612 Household Automotive Trust,
Series 00-2, Class A4,
7.43%, 4/17/07............ 274,446
200,000 Household Finance Corp.,
7.88%, 3/1/07............. 221,104
200,000 Household Finance Corp.,
6.40%, 6/17/08............ 215,334
500,000 Household Finance Corp.,
6.50%, 11/15/08........... 540,740
500,000 Household Finance Corp.,
5.88%, 2/1/09............. 528,338
50,000 Household Finance Corp.,
7.35%, 11/27/32........... 56,643
250,000 Huntington National Bank,
8.00%, 4/1/10............. 288,955
60,000 International Lease Finance
Corp., 4.50%, 5/1/08...... 61,036
165,000 International Lease Finance
Corp., 6.38%, 3/15/09..... 177,148
200,000 Jackson National Life
Global, 6.13%,
5/30/12 (b)............... 210,119
100,000 John Hancock Global Funding,
7.90%, 7/2/10 (b)......... 115,989
100,000 John Hancock Global Funding
II, 3.50%, 1/30/09 (b).... 96,848
200,000 KeyCorp, 4.70%, 5/21/09..... 200,936
175,000 Lehman Brothers Holdings,
Inc., 6.63%, 1/18/12...... 190,306
160,000 Massmutual Global Funding
II, 3.25%, 6/15/07 (b).... 159,474
200,000 Massmutual Global Funding
II, 3.50%, 3/15/10 (b).... 189,811
200,000 Merrill Lynch & Co., 3.70%,
4/21/08................... 197,058
200,000 Merrill Lynch & Co., 4.13%,
1/15/09................... 197,474
100,000 Metropolitan Life Insurance
Co., 5.20%, 9/18/13 (b)... 98,688
150,000 MGIC Investment Corp.,
6.00%, 3/15/07............ 158,793
200,000 Monumental Global Funding,
5.20%, 1/30/07 (b)........ 209,236
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
CORPORATE BONDS, CONTINUED:
Banking, Finance & Insurance, continued:
550,000 Morgan Stanley Dean Witter
and Co., 6.75%, 4/15/11... 603,553
300,000 Morgan Stanley Dean Witter
and Co., 6.60%, 4/1/12.... 323,461
885,000 National Rural Utilities,
6.00%, 5/15/06............ 931,730
100,000 Nationwide Financial
Services, 6.25%,
11/15/11.................. 106,830
75,000 New York Life Global
Funding, 3.88%,
1/15/09 (b)............... 73,826
250,000 New York Life Global
Funding, 5.38%,
9/15/13 (b)............... 251,449
145,000 Pacific Life Global Funding,
3.75%, 1/15/09 (b)........ 142,349
100,000 PHH Corp., 7.13%, 3/1/13.... 109,389
75,000 Popular North America, Inc.,
4.25%, 4/1/08............. 75,023
300,000 Principal Life Global
Funding, 6.25%,
2/15/12 (b)............... 320,900
200,000 Protective Life Secured
Trust, 4.00%, 4/1/11...... 189,566
190,000 Royal Bank of Canada, 3.88%,
5/4/09.................... 186,472
100,000 SLM Corp., Series A, 5.38%,
1/15/13................... 100,116
150,000 State Street Corp., 7.65%,
6/15/10................... 174,824
250,000 Suntrust Bank, 6.38%,
4/1/11.................... 271,273
100,000 Toyota Motor Credit Corp.,
2.88%, 8/1/08............. 95,675
200,000 U.S. Bancorp, 6.50%,
2/1/08.................... 217,832
100,000 U.S. Bancorp, 7.50%,
6/1/26.................... 116,935
240,000 Wachovia Corp., 4.95%,
11/1/06................... 248,741
150,000 Wachovia Corp., 3.63%,
2/17/09................... 145,645
100,000 Washington Mutual Finance,
6.88%, 5/15/11............ 109,638
260,000 Wells Fargo Bank, 3.13%,
4/1/09.................... 247,067
250,000 Wells Fargo Bank, 7.55%,
6/21/10................... 288,131
300,000 World Savings Bank FSB,
4.50%, 6/15/09............ 301,634
-----------
20,952,332
-----------
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
35
ONE GROUP INVESTMENT TRUST BOND PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
CORPORATE BONDS, CONTINUED:
Energy (0.4%):
100,000 Carolina Power and Light,
5.13%, 9/15/13............ 98,646
165,000 Constellation Energy Group,
6.35%, 4/1/07............. 175,607
130,000 DTE Energy Co., 6.65%,
4/15/09................... 138,919
125,000 Duke Energy Corp., 4.20%,
10/1/08................... 122,928
150,000 Duke Energy Corp., 5.63%,
11/30/12.................. 149,822
-----------
685,922
-----------
Governments (Foreign) (0.5%):
400,000 Province of Quebec, 5.75%,
2/15/09................... 425,126
150,000 United Mexican States,
4.63%, 10/8/08............ 148,088
50,000 United Mexican States,
6.38%, 1/16/13............ 50,025
325,000 United Mexican States,
7.50%, 4/8/33............. 315,413
-----------
938,652
-----------
Industrial Goods & Services (0.7%):
150,000 Dow Chemical, 6.13%,
2/1/11.................... 158,908
30,000 ERP Operating LP, 4.75%,
6/15/09................... 30,065
150,000 IBM Corp., 5.39%, 1/22/09... 156,535
65,000 International Paper Co.,
6.50%, 11/15/07........... 70,150
55,000 International Paper Co.,
4.25%, 1/15/09............ 54,122
165,000 International Paper Co.,
4.00%, 4/1/10............. 157,577
125,000 Phillips Petroleum Co.,
8.75%, 5/25/10............ 151,259
100,000 Tyco International Group,
8.20%, 10/15/08........... 112,968
50,000 Tyco International Group,
6.75%, 2/15/11............ 54,402
200,000 Tyco International Group,
6.38%, 10/15/11........... 213,066
100,000 Weyerhaeuser Co., 6.75%,
3/15/12................... 108,459
-----------
1,267,511
-----------
Leasing (0.3%):
500,000 Hertz Corp., 6.50%,
5/15/06................... 520,674
-----------
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
CORPORATE BONDS, CONTINUED:
Multimedia (0.4%):
150,000 AOL Time Warner, Inc.,
5.63%, 5/1/05............. 153,705
120,000 AOL Time Warner, Inc.,
8.18%, 8/15/07............ 134,185
150,000 AOL Time Warner, Inc.,
10.15%, 5/1/12............ 191,271
100,000 AOL Time Warner, Inc.,
9.15%, 2/1/23............. 123,845
100,000 Cox Radio, Inc., 6.38%,
5/15/05................... 102,539
150,000 Viacom, Inc., 7.75%,
6/1/05.................... 157,119
-----------
862,664
-----------
Real Estate (0.1%):
165,000 EOP Operating LP, 6.75%,
2/15/12................... 177,430
50,000 Harrah's Operating Co.,
Inc., 8.00%, 2/1/11....... 56,515
-----------
233,945
-----------
Retailers (0.2%):
150,000 Kroger Co., 8.05%, 2/1/10... 172,909
200,000 Wal-Mart Stores, Inc.,
4.13%, 2/15/11............ 193,309
-----------
366,218
-----------
Telecommunications (2.0%):
150,000 Ameritech Capital Funding
Corp., 5.95%, 1/15/38..... 153,050
50,000 AT&T Wireless Services,
Inc., 7.50%, 5/1/07....... 54,858
100,000 Bell Telephone Co.,
Pennsylvania, 8.35%,
12/15/30.................. 120,465
358,750 BellSouth
Telecommunications, 6.30%,
12/15/15.................. 385,750
400,000 British Telecom PLC, 8.38%,
12/15/10.................. 467,721
50,000 Cox Communications, Inc.,
6.88%, 6/15/05............ 51,818
100,000 Cox Communications, Inc.,
7.75%, 11/1/10............ 113,501
180,000 France Telecom, 9.00%,
3/1/11.................... 208,859
10,000 Liberty Media Corp., 5.70%,
5/15/13................... 9,868
150,000 Nynex Capital Funding,
8.23%, 10/15/09........... 173,075
150,000 Sprint Capital Corp., 7.13%,
1/30/06................... 158,797
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
36
ONE GROUP INVESTMENT TRUST BOND PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
CORPORATE BONDS, CONTINUED:
Telecommunications, continued:
500,000 Sprint Capital Corp., 6.00%,
1/15/07................... 523,919
100,000 Sprint Capital Corp., 8.38%,
3/15/12................... 115,100
60,000 Sprint Capital Corp., 8.75%,
3/15/32................... 70,117
335,000 TCI Communications, Inc.,
9.80%, 2/1/12............. 420,579
115,000 Telus Corp., 8.00%,
6/1/11.................... 130,881
650,000 Verizon Global Funding
Corp., 7.25%, 12/1/10..... 727,624
100,000 Verizon New England, Inc.,
6.50%, 9/15/11............ 106,707
-----------
3,992,689
-----------
Telecommunications/Mobile, Cellular (0.1%):
150,000 AT&T Wireless Services,
Inc., 7.88%, 3/1/11....... 170,844
-----------
Transportation & Shipping (0.1%):
150,000 Burlington North Sante Fe,
7.13%, 12/15/10........... 167,798
-----------
Utilities (0.7%):
100,000 American Electric Power Co.,
Series A, 6.13%, 5/15/06.. 105,023
100,000 Appalachian Power Co.,
Series E, 4.80%, 6/15/05.. 101,999
200,000 Dominion Resources, Inc.,
2.80%, 2/15/05............ 200,652
150,000 Exelon Generation Co.,
L.L.C., 6.95%, 6/15/11.... 164,468
80,000 Keyspan Gas East, 7.88%,
2/1/10.................... 92,715
65,000 PSEG Power, 7.75%,
4/15/11................... 73,713
675,000 Virginia Electric & Power
Co., 5.38%, 2/1/07........ 704,084
-----------
1,442,654
-----------
Total Corporate Bonds 33,711,419
-----------
U.S. GOVERNMENT AGENCY MORTGAGES (47.7%):
Fannie Mae (19.0%):
29,048 9.00%, 12/1/06, Pool
#313699................... 29,397
31,421 8.50%, 12/1/07, Pool
#420646................... 32,288
22,043 9.06%, 7/25/08, Series
93-238, Class SB, IF*..... 22,296
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
66,417 0.00%, 9/25/08, Series
96-39, Class J, PO........ 62,499
39,713 0.00%, 9/25/08, Series
96-20, Class L, PO........ 37,386
93,685 11.83%, 9/25/08, Series
93-175, Class SA, IF*..... 101,697
250,465 14.62%, 9/25/08, Series
93-164, Class SC, IF*..... 280,160
174,821 14.62%, 9/25/08, Series
93-164, Class SA, IF*..... 195,548
75,559 0.00%, 10/25/08, Series
96-24, Class B, PO........ 71,441
15,004 2.70%, 10/25/08, Series
93-196, Class FA*......... 15,056
22,505 9.25%, 10/25/08, Series
93-196, Class SB, IF*..... 23,952
78,390 13.18%, 10/25/08, Series
93-94, Class S, IF*....... 85,989
752 256.00%, 11/1/08, Series K,
Class 2, HB............... 2,448
339,394 15.38%, 12/25/08, Series
93-233, Class SB, IF*..... 389,281
84,389 17.57%, 2/25/09, Series
94-13, Class SK, IF*...... 95,991
102,010 2.80%, 3/25/09, Series
94-33, Class FA*.......... 102,626
3,622 6.50%, 3/25/09, Series
95-13, Class B............ 3,670
185,733 14.30%, 3/25/09, Series
02-8, Class SR, IF*....... 212,976
86,083 6.50%, 4/1/09, Pool
#190760................... 91,235
378,043 13.50%, 11/25/09, Series
02-73, Class S, IF*....... 401,538
278,141 8.00%, 11/1/12, Pool
#535710................... 297,397
660,575 5.00%, 11/25/12, Series
03-16, Class PI, IO....... 57,362
500,000 4.50%, 1/25/14, Series
03-128, Class KE.......... 493,000
24,409 6.00%, 9/25/14, Series
01-71, Class QC........... 24,403
700,000 5.00%, 11/25/15, Series
02-74, Class PD........... 699,601
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
37
ONE GROUP INVESTMENT TRUST BOND PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
500,000 6.50%, 11/25/15, Series
01-52, Class XN........... 524,293
500,000 6.00%, 12/25/15, Series
01-78, Class VB........... 513,834
750,000 5.00%, 1/25/16, Series
02-74, Class LD........... 748,507
750,000 6.00%, 8/15/16, Series 2344,
Class QG.................. 787,079
1,000,000 6.00%, 12/25/16, Series
01-74, Class MB........... 1,055,748
500,000 6.00%, 12/25/16, Series
01-71, Class QE........... 523,156
250,000 6.50%, 12/25/16, Series
01-50, Class VB........... 262,625
1,000,000 6.00%, 2/25/17, Series 02-2,
Class UC.................. 1,033,034
500,000 6.00%, 2/25/17, Series 02-3,
Class OG.................. 522,694
800,000 5.50%, 4/25/17, Series
02-18, Class PC........... 823,783
1,000,000 6.00%, 4/25/17, Series
02-19, Class PE........... 1,044,938
1,000,000 5.50%, 9/25/17, Series
02-56, Class UC........... 1,020,924
500,000 5.50%, 1/25/18, Series
02-94, Class BK........... 503,991
135,734 5.00%, 6/1/18, Pool
#709877................... 136,259
133,005 4.50%, 2/25/19, Series 04-2,
Class ZD.................. 124,934
14,407 2.98%, 3/1/19, Pool
#116612*.................. 14,665
33,358 8.50%, 11/25/19, Series
89-83, Class H............ 36,411
8,387 8.80%, 1/25/20, Series 90-1,
Class D................... 9,220
500,000 6.00%, 2/25/20, Series
01-28, Class VB........... 522,956
36,519 8.50%, 2/25/20, Series
90-10, Class L............ 39,769
9,469 5.50%, 8/25/20, Series
90-93, Class G............ 9,706
12,515 8.75%, 12/25/20, Series
90-143, Class J........... 13,669
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
147 652.15%, 12/25/20, Series
90-140, Class K, HB....... 2,880
138,295 10.00%, 8/1/21, Pool
#442639................... 155,004
157,655 7.00%, 1/25/22, Series
G92-15, Class Z........... 166,301
300,000 6.50%, 2/25/22, Series 02-1,
Class HC.................. 309,281
74,176 5.50%, 6/25/22, Series
02-91, Class UH, IO....... 12,567
302,843 7.50%, 6/25/22, Series
92-101, Class J........... 312,115
22,292 5.00%, 7/25/22, Series
03-119, Class XZ.......... 22,260
18,221 7.00%, 7/25/22, Series
G92-42, Class Z........... 19,355
377,741 8.00%, 7/25/22, Series
G92-44, Class ZQ.......... 408,190
41,252 6.50%, 8/25/22, Series
96-59, Class J............ 43,039
110,845 5.50%, 9/25/22, Series
92-143, Class MA.......... 114,250
201,188 7.50%, 9/25/22, Series
G92-54, Class ZQ.......... 215,815
13,618 2.50%, 10/25/22, Series
G92-59, Class F*.......... 13,755
23,476 3.54%, 10/25/22, Series
93-225, Class FP*......... 23,617
20,457 7.00%, 10/25/22, Series
G92-61, Class Z........... 21,833
470,867 6.50%, 12/1/22, Pool
#555791................... 493,339
375,806 7.00%, 12/25/22, Series
G92-66, Class KB.......... 394,967
108,518 7.90%, 1/25/23, Series
G93-1, Class KA........... 116,256
704,069 7.00%, 2/25/23, Series
97-61, Class ZC........... 747,878
116,567 6.00%, 4/25/23, Series
G93-17, Class SI, IF*..... 114,947
371,455 12.17%, 4/25/23, Series
98-43, Class SA, IF,
IO*....................... 97,079
250,000 5.50%, 5/25/23, Series
03-41, Class PE........... 250,932
401,751 0.00%, 6/25/23, Series
93-257, Class C, PO....... 355,011
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
38
ONE GROUP INVESTMENT TRUST BOND PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
500,000 5.00%, 6/25/23, Series
03-83, Class PG........... 483,111
1,836,379 6.55%, 6/25/23, Series
03-80, Class SY, IO,
IF*....................... 249,754
189,140 0.00%, 7/25/23, Series
93-159, Class PD, PO...... 187,737
400,000 6.50%, 7/25/23, Series
96-59, Class K............ 417,854
45,963 0.00%, 9/25/23, Series
93-205, Class H, PO....... 38,622
133,355 7.00%, 9/25/23, Series
93-167, Class GA.......... 141,696
20,871 11.03%, 9/25/23, Series
93-165, Class SD, IF*..... 20,423
104,081 12.50%, 9/25/23, Series
93-165, Class SK, IF*..... 121,248
81,327 4.16%, 10/25/23, Series
93-189, Class FB*......... 82,146
83,206 6.50%, 11/25/23, Series
95-19, Class Z............ 88,015
250,000 7.43%, 11/25/23, Series
03-106, Class US, IF*..... 163,166
14,285 1.73%, 12/25/23, Series
93-230, Class FA*......... 14,490
448,753 6.50%, 12/25/23, Series
93-225, Class UB.......... 468,680
1,040,517 7.00%, 12/25/23, Series
93-250, Class Z........... 1,104,117
150,615 8.50%, 1/25/25, Series 95-2,
Class Z................... 160,714
285,740 9.00%, 4/1/25, Pool
#506427................... 322,044
163,361 8.50%, 10/1/26, Pool
#449336................... 180,864
143,862 8.00%, 3/1/27, Pool
#689977................... 157,442
1,305,652 1.84%, 3/25/27, Series
97-20, Class IB, IO....... 58,317
147,603 7.50%, 5/20/27, Series
97-39, Class PD........... 155,778
312,378 6.00%, 7/18/27, Series
97-46, Class PL........... 324,176
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
338,640 8.50%, 8/1/27, Pool
#253605................... 372,566
323,340 6.00%, 7/18/28, Series
98-36, Class ZB........... 327,760
743,311 8.00%, 11/1/28, Pool
#755973................... 811,725
63,143 6.00%, 1/1/29, Pool
#252211................... 64,801
34,352 4.05%, 3/1/29, Pool
#303532*.................. 35,190
149,500 6.00%, 7/25/29, Series
01-80, Class PE........... 154,043
4,136 7.00%, 2/25/30, Series
01-53, Class TS, IF,
IO*....................... 22
100,620 8.50%, 6/1/30, Pool
#535442................... 110,596
71,440 8.50%, 1/25/31, Series
00-52, IO................. 14,950
600,000 6.00%, 7/25/31, Series
01-33, Class ID, IO....... 162,817
336,628 7.00%, 7/25/31, Series
01-30, Class PM........... 346,745
819,000 7.00%, 8/25/31, Series
01-36, Class DE........... 859,499
175,073 7.00%, 9/25/31, Series
01-44, Class PD........... 184,177
400,000 6.00%, 11/25/31, Series
02-74, Class VB........... 413,789
421,600 7.00%, 11/25/31, Series
01-61, Class Z............ 441,774
105,410 21.61%, 2/25/32, Series
02-1, Class SA, IF*....... 124,919
366,835 6.90%, 3/15/32, Series 2450,
Class SW, IF, IO*......... 37,777
1,785,083 1.60%, 3/25/32, Series
02-12, Class SJ, IF,
IO*....................... 88,801
250,000 6.50%, 4/25/32, Series
02-59, Class VB........... 263,080
500,000 6.50%, 5/25/32, Series
02-28, Class PK........... 520,796
156,894 7.00%, 8/1/32, Pool
#649624................... 166,423
218,437 0.00%, 12/1/32, Series 329,
Class 1, PO............... 158,956
522,073 6.00%, 12/1/32, Pool
#675555................... 534,085
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
39
ONE GROUP INVESTMENT TRUST BOND PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
281,818 12.47%, 12/25/32, Series
02-77, Class S, IF*....... 273,748
166,073 6.00%, 3/1/33, Pool
#674349................... 169,793
100,000 5.75%, 6/25/33, Series
03-47, Class PE........... 92,199
9,705 4.69%, 7/25/33, Series
03-66, Class SK, IF*...... 9,688
74,135 10.98%, 7/25/33, Series
03-64, Class SX, IF*...... 50,748
233,181 0.00%, 8/1/33, Series 340,
Class 1, PO............... 160,163
198,540 0.00%, 8/25/33, Series
03-132, Class 0A, PO...... 142,971
212,668 5.99%, 8/25/33, Series
03-71, Class DS, IF*...... 155,200
473,275 6.00%, 9/1/33, Pool
#737825................... 483,877
187,794 10.67%, 9/25/33, Series
03-91, Class SD*.......... 177,319
2,995,368 6.50%, 11/25/33, Series
03-116, Class SB, IO*..... 271,792
959,039 5.50%, 12/1/33, Pool
#725017................... 957,521
395,260 5.50%, 1/1/34, Pool
#759424................... 394,635
258,719 9.87%, 1/25/34, Series
03-130, Class SX, IF*..... 259,455
100,000 5.50%, 2/25/34, Series
04-36, Class PC........... 100,526
474,882 24.20%, 2/25/34, Series
04-10, Class SC, IF*...... 560,510
267,048 0.00%, 4/25/34, Series
04-21, Class CO, PO....... 141,027
694,050 16.50%, 4/25/34, Series
04-25, Class SA, IF*...... 759,178
594,919 16.50%, 5/25/34, Series
04-36, Class SA, IF*...... 646,901
200,000 4.75%, 12/25/42, Series
03-W8, Class 1A3.......... 201,130
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
478,288 6.50%, 12/25/42, Series
03-W1, Class 1A1.......... 498,871
306,357 7.50%, 12/25/42, Series
03-W1, Class 2A........... 327,970
450,103 7.00%, 2/25/44, Series
04-W2, Class 2A2.......... 476,248
-----------
36,959,258
-----------
Freddie Mac (23.5%):
203,696 4.50%, 11/15/07, Series
1404, Class FA............ 206,259
10,720 7.88%, 2/15/08, Series 1465,
Class SA, IF, IO*......... 719
279,598 0.00%, 8/15/08, Series 1900,
Class T, PO............... 266,272
93,396 0.00%, 8/15/08, Series 1561,
Class TA, PO.............. 88,924
92,462 6.50%, 9/15/08, Series 1587,
Class H................... 93,607
26,861 0.00%, 10/15/08, Series
1967, Class PC, PO........ 25,543
43,850 8.50%, 12/15/08, Series
1625, Class SD, IF*....... 47,141
567 13.18%, 12/15/08, Series
1647, Class SB, IF*....... 568
6,740 6.40%, 2/15/09, Series 1679,
Class O................... 6,751
9,889 12.30%, 2/15/09, Series
1796, Class S, IF*........ 10,148
284,417 14.30%, 2/15/09, Series
2412, Class SE............ 310,248
23,591 9.00%, 6/1/10, Gold Pool
#G10777................... 25,443
185,982 7.50%, 9/1/10, Gold Pool
#E62448................... 197,695
59,959 6.00%, 3/15/12, Series 2115,
Class PD.................. 60,027
59,134 6.50%, 10/15/12, Series
2401, Class VE............ 59,134
334,992 6.50%, 12/15/12, Series
2419, Class VG............ 351,688
200,804 6.30%, 1/15/13, Series 2025,
Class PE.................. 210,661
275,416 6.50%, 5/15/13, Series 2055,
Class OE.................. 291,229
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
40
ONE GROUP INVESTMENT TRUST BOND PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
149,136 6.50%, 10/15/13, Series
1596, Class D............. 157,676
36,455 18.28%, 10/15/13, Series
1607, Class SA, IF*....... 41,674
356,735 6.00%, 12/15/13, Series
2102, Class TU............ 374,556
750,000 6.00%, 1/15/14, Series 2115,
Class PE.................. 788,383
260,578 6.00%, 3/15/14, Series 2594,
Class VA.................. 268,858
48,423 6.50%, 3/15/14, Series 2135,
Class UK, IO.............. 8,498
13,266 7.00%, 5/15/14, Series 2299,
Class G................... 13,261
204,101 6.00%, 7/15/14, Series 2405,
Class PC.................. 206,011
125,000 5.50%, 12/15/14, Series
2374, Class PV............ 129,958
100,000 5.50%, 5/15/15, Series 2391,
Class QE.................. 103,578
461,600 6.50%, 9/15/15, Series 2353,
Class PC.................. 469,720
88,615 8.50%, 11/1/15, Gold Pool
#E81720................... 95,144
24,756 8.50%, 11/15/15, Series
2496, Class LD............ 25,360
500,000 5.50%, 2/15/16, Series 2500,
Class TD.................. 518,730
1,000,000 5.50%, 6/15/16, Series 2498,
Class UD.................. 1,035,170
900,000 6.50%, 8/15/16, Series 2345,
Class PQ.................. 957,166
1,000,000 6.00%, 9/15/16, Series 2360,
Class PG.................. 1,046,539
407,226 6.00%, 9/15/16, Series 2355,
Class BP.................. 427,106
91,043 4.50%, 12/15/16, Series
2643, Class HI, IO........ 11,848
500,000 5.50%, 12/15/16, Series
2391, Class QR............ 514,062
500,000 6.00%, 12/15/16, Series
2394, Class MC............ 523,134
246,327 6.50%, 10/1/17, Gold Pool
#E01254................... 260,299
150,000 6.50%, 12/15/17, Series
2357, Class VX............ 157,149
400,000 6.50%, 4/15/18, Series 2461,
Class VB.................. 422,743
638,614 4.00%, 5/15/18, Series 2643,
Class KG.................. 647,038
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
1,000,000 4.50%, 5/15/18, Series 2611,
Class UH.................. 932,244
500,000 4.50%, 5/15/18, Series 2617,
Class GR.................. 467,115
500,000 4.50%, 6/15/18, Series 2631,
Class LC.................. 471,785
467,571 4.00%, 8/1/18, Pool
#E01424................... 446,435
168,352 4.50%, 8/1/18, Pool
#E97838................... 164,935
500,000 4.00%, 9/15/18, Series 2675,
Class CK.................. 449,369
571,926 6.00%, 1/15/19, Series 2367,
Class VD.................. 578,360
185,034 6.50%, 3/15/19, Series 2134,
Class PI, IO.............. 40,637
14,775 12.00%, 7/1/19, Pool
#555238................... 16,556
470,000 6.00%, 7/15/19, Series 2435,
Class VH.................. 478,239
49,301 9.50%, 7/15/19, Series 11,
Class D................... 49,395
61,136 10.00%, 1/1/20, Pool
#546257................... 68,568
26,876 9.50%, 4/15/20, Series 22,
Class C................... 26,919
200,000 6.50%, 6/15/20, Series 2362,
Class PD.................. 203,487
10,786 10.00%, 6/15/20, Series 47,
Class F................... 10,809
400,000 6.00%, 8/15/20, Series 2594,
Class VQ.................. 407,533
87,770 10.00%, 9/1/20, Pool
#555286................... 98,127
500,000 6.00%, 12/15/20, Series
2392, Class PV............ 516,053
4,981 9.50%, 1/15/21, Series 99,
Class Z................... 4,988
7,890 6.50%, 2/15/21, Series 128,
Class I................... 7,898
6,553 9.00%, 4/15/21, Series 1065,
Class J................... 7,056
600,000 8.50%, 6/15/21, Series 1113,
Class J................... 625,998
1,651,102 6.55%, 10/15/21, Series
2611, Class SH, IF, IO*... 205,662
56,439 7.00%, 5/15/22, Series 1250,
Class J................... 57,352
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
41
ONE GROUP INVESTMENT TRUST BOND PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
95,605 8.00%, 6/15/22, Series 1316,
Class Z................... 99,733
159,635 7.00%, 7/15/22, Series 1324,
Class Z................... 165,697
120,101 7.50%, 8/15/22, Series 1343,
Class LB.................. 125,823
103,047 8.00%, 8/15/22, Series 1343,
Class LA.................. 108,628
500,000 5.50%, 10/15/22, Series
2512, Class PG............ 496,131
86,073 6.00%, 10/15/22, Series
1395, Class G............. 87,536
98,774 9.57%, 10/15/22, Series
1394, Class ID, IF*....... 106,679
712,835 6.50%, 11/1/22, Pool
#G30234................... 747,602
330,457 6.00%, 12/1/22, Pool
#C90600................... 341,404
500,000 5.50%, 12/15/22, Series
2535, Class BK............ 501,817
10,090 1.81%, 1/15/23, Series 1603,
Class IF*................. 10,122
1,000,000 5.00%, 1/15/23, Series 2715,
Class OG.................. 967,780
877,149 7.00%, 3/25/23, Series 8,
Class ZA.................. 942,058
302,344 5.00%, 5/15/23, Series 1798,
Class F................... 304,012
54,791 7.00%, 5/15/23, Series 1505,
Class Q................... 58,073
116,286 7.90%, 5/15/23, Series 1518,
Class G, IF*.............. 113,125
1,623,172 5.45%, 6/15/23, Series 2626,
Class NS, IO, IF*......... 149,959
118,278 3.92%, 7/15/23, Series 1541,
Class O*.................. 120,200
44,734 9.02%, 10/15/23, Series
1689, Class SD, IF*....... 46,037
21,912 6.00%, 11/15/23, Series
1685, Class Z............. 22,412
49,861 14.62%, 11/15/23, Series
1609, Class LG, IF*....... 54,865
1,000,000 4.50%, 12/15/23, Series
2716, Class UN, IF, IO*... 905,983
178,924 6.50%, 12/15/23, Series
2283, Class K............. 189,582
42,141 0.00%, 2/15/24, Series 1865,
Class D, PO............... 33,158
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
63,966 0.00%, 2/15/24, Series 1700,
Class GA, PO.............. 56,423
24,986 10.00%, 2/15/24, Series
1671, Class QC, IF........ 24,647
65,120 23.34%, 3/15/24, Series
2033, Class SN, IF, IO*... 27,601
73,673 0.00%, 5/15/24, Series 2306,
Class K, PO............... 62,038
176,816 5.86%, 5/15/24, Series 2306,
Class SE, IF, IO*......... 25,110
2,100,000 6.50%, 5/15/24, Series 1732,
Class K................... 2,215,051
250,398 18.30%, 2/15/25, Series
2656, Class SH, IF*....... 264,164
210,522 6.00%, 5/15/27, Series 1981,
Class Z................... 216,416
42,711 6.50%, 7/15/27, Series 2137,
Class TG.................. 42,955
314,376 7.50%, 9/15/27, Series 1987,
Class PE.................. 333,109
270,066 6.00%, 11/15/27, Series
2132, Class PD............ 280,683
187,728 6.00%, 2/15/28, Series 2143,
Class CD.................. 195,012
120,234 7.00%, 3/15/28, Series 2038,
Class PN, IO.............. 24,246
332,365 7.50%, 5/15/28, Series 2054,
Class PV.................. 355,153
500,000 7.00%, 6/15/28, Series 2064,
Class TE.................. 529,797
436,589 6.50%, 8/15/28, Series 2075,
Class PH.................. 456,253
88,119 25.74%, 3/15/29, Series
2132, Class SB, IF*....... 107,485
829,000 7.00%, 7/15/29, Series 2172,
Class QC.................. 891,358
511,155 8.00%, 9/15/29, Series 2182,
Class ZB.................. 556,581
225,432 6.00%, 11/15/29, Series
2460, Class VZ............ 227,962
400,000 6.00%, 5/15/30, Series 2565,
Class MB.................. 406,777
186,950 7.50%, 8/15/30, Series 2247,
Class Z................... 192,753
89,012 7.50%, 10/15/30, Series
2261, Class ZY............ 92,566
418,193 6.50%, 4/15/31, Series 2317,
Class VG.................. 435,528
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
42
ONE GROUP INVESTMENT TRUST BOND PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
142,946 7.00%, 6/15/31, Series 2325,
Class PM.................. 155,432
126,229 8.50%, 6/15/31, Series 2359,
Class ZB.................. 148,758
185,522 6.50%, 8/15/31, Series 2345,
Class NE.................. 193,045
240,324 6.50%, 8/15/31, Series 2344,
Class ZJ.................. 249,517
660,890 6.50%, 8/15/31, Series 2344,
Class ZD.................. 693,300
200,000 6.50%, 8/15/31, Series 2454,
Class BG.................. 209,679
300,000 0.00%, 2/15/32, Series 2513,
Class YO, PO.............. 229,377
318,350 5.00%, 2/15/32, Series 2672,
Class WD.................. 305,080
250,000 6.38%, 2/15/32, Series 2410,
Class OE.................. 259,047
415,134 7.55%, 2/15/32, Series 2410,
Class QX, IF, IO*......... 39,967
100,000 13.90%, 2/15/32, Series
2412, Class SP, IF*....... 92,426
250,000 16.64%, 2/15/32, Series
2410, Class QS, IF*....... 260,445
550,252 6.85%, 3/15/32, Series 2444,
Class ES, IF, IO*......... 54,051
1,000,000 7.00%, 3/15/32, Series 2423,
Class MT.................. 1,053,496
500,000 7.00%, 3/15/32, Series 2423,
Class MC.................. 526,070
227,841 6.50%, 4/15/32, Series 2435,
Class CJ.................. 233,853
500,000 7.00%, 4/15/32, Series 2436,
Class MC.................. 529,374
300,000 6.50%, 5/15/32, Series 2455,
Class GK.................. 312,843
282,850 6.50%, 6/15/32, Series 2462,
Class JG.................. 297,428
169,844 6.50%, 7/15/32, Series 2484,
Class LZ.................. 180,252
100,764 7.50%, 7/25/32, Series T-41,
Class 3A.................. 108,038
790,000 6.00%, 9/15/32, Series 2500,
Class MC.................. 776,934
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
300,000 6.00%, 12/15/32, Series
2543, Class YX............ 294,066
500,000 6.00%, 12/15/32, Series
2544, Class HC............ 492,540
1,323,109 5.90%, 2/15/33, Series 2599,
Class DS, IF, IO*......... 128,612
500,000 6.00%, 2/15/33, Series 2575,
Class ME.................. 488,409
862,912 6.45%, 2/15/33, Series 2597,
Class DS, IF, IO*......... 94,560
1,343,683 6.00%, 3/15/33, Series 2610,
Class DS, IF, IO*......... 136,611
431,487 6.50%, 3/15/33, Series 2586,
Class WI, IO.............. 108,229
72,096 10.98%, 6/15/33, Series
2631, Class BS, IF*....... 69,818
500,000 5.50%, 8/15/33, Series 2744,
Class PD.................. 514,739
200,000 0.00%, 9/15/33, Series 2733,
Class GF, IF*............. 187,534
467,792 5.50%, 10/1/33, Pool
#A13625................... 467,331
310,218 7.34%, 10/15/33, Series
2682, Class YS, IF*....... 202,806
242,010 7.35%, 10/15/33, Series
2691, Class WS, IF*....... 156,768
278,897 6.11%, 11/15/33, Series
2705, Class SD, IF*....... 201,989
182,705 7.35%, 11/15/33, Series
2705, Class SC, IF*....... 113,201
487,748 6.00%, 1/1/34, Pool
#A17537................... 498,924
750,000 7.43%, 1/15/34, Series 2727,
Class BS, IF*............. 411,176
150,536 0.00%, 2/15/34, Series 2744,
Class FE, IF*............. 127,508
140,000 9.80%, 2/15/34, Series 2753,
Class S, IF*.............. 119,684
150,000 0.00%, 3/15/34, Series 2769,
Class PO, PO.............. 67,645
680,940 6.50%, 2/25/43, Series T-54,
Class 2A.................. 710,422
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
43
ONE GROUP INVESTMENT TRUST BOND PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
319,793 7.00%, 2/25/43, Series T-54,
Class 3A.................. 337,991
151,844 0.00%, 9/25/43, Series T-58,
Class A, PO............... 122,784
-----------
45,471,081
-----------
Government National Mortgage Assoc. (5.2%):
30,519 7.00%, 8/16/13, Series
96-22, Class VB........... 30,677
196,228 8.00%, 1/15/16, Pool
#781570................... 207,444
300,000 6.50%, 7/20/19, Series
02-36, Class VB........... 314,770
16,744 8.00%, 9/15/22, Pool
#297628................... 18,519
250,000 7.49%, 7/16/24, Series 94-3,
Class PQ.................. 269,313
500,000 6.50%, 10/16/24, Series
94-7, Class PQ............ 527,648
19,001 8.50%, 5/20/25, Pool
#2006..................... 20,975
396,550 7.50%, 9/17/25, Series
98-26, Class K............ 426,074
327,423 7.50%, 8/16/26, Series
96-16, Class E............ 349,499
49,806 8.00%, 11/20/26, Pool
#2324..................... 54,598
78,397 8.00%, 1/20/27, Pool
#2362..................... 85,779
370,177 7.50%, 5/16/27, Series 97-8,
Class PN.................. 397,017
17,603 8.00%, 5/15/28, Pool
#460372................... 19,321
8,408 8.00%, 7/15/28, Pool
#468066................... 9,229
36,352 7.50%, 9/15/28, Pool
#486537................... 39,249
68,221 6.50%, 10/15/28, Pool
#486631................... 71,490
527,207 5.50%, 11/20/28, Series
02-88, Class LI, IO....... 62,399
419,352 6.50%, 4/20/29, Series
99-10, Class ZC........... 431,829
428,345 8.00%, 11/16/29, Series
99-41, Class Z............ 461,718
280,210 7.50%, 12/20/29, Series
99-44, Class PC........... 295,026
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Government National Mortgage Assoc., continued:
341,646 8.00%, 12/20/29, Series
99-44, Class ZG........... 360,382
342,859 7.05%, 1/19/30, Series 01-4,
Class SJ, IF, IO*......... 24,372
153,000 7.00%, 2/16/30, Series
00-14, Class PD........... 163,077
288,690 8.50%, 2/16/30, Series 00-9,
Class ZJ.................. 317,140
241,795 7.50%, 2/20/30, Series 00-6,
Class Z................... 256,199
365,963 9.00%, 3/16/30, Series
00-21, Class Z............ 413,610
208,688 7.75%, 9/20/30, Series
00-26, Class Z............ 217,373
17,486 9.00%, 10/15/30, Pool
#479674................... 19,303
800,000 7.50%, 11/16/30, Series
00-36, Class PB........... 863,227
32,680 9.00%, 11/16/30, Series
00-36, Class IK, IO....... 4,026
119,317 9.00%, 12/15/30, Pool
#528534................... 131,714
96,963 7.15%, 12/20/30, Series
00-38, Class AH........... 100,365
358,000 8.00%, 12/20/30, Series
00-37, Class B............ 384,966
697,656 6.95%, 8/16/31, Series
01-36, Class S, IF, IO*... 47,476
1,376,409 6.10%, 9/20/31, Series
03-76, Class LS*.......... 133,554
200,000 6.50%, 12/20/31, Series
01-64, Class MQ........... 206,354
636,413 5.50%, 1/20/32, Series 03-4,
Class NI, IO.............. 132,209
126,818 10.28%, 4/16/32, Series
02-24, Class SB, IF*...... 131,864
1,250,000 6.50%, 6/20/32, Series
02-45, Class QE........... 1,295,266
300,000 6.50%, 8/20/32, Series
02-54, Class GB........... 308,489
72,257 0.00%, 3/16/33, Series
03-24, Class PO, PO....... 58,984
111,182 7.00%, 6/15/33, Pool
#781614................... 119,395
95,826 0.00%, 8/20/33, Series
03-66, Class EO, PO....... 47,920
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
44
ONE GROUP INVESTMENT TRUST BOND PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Government National Mortgage Assoc., continued:
1,930,023 4.40%, 2/20/34, Series
04-11, Class SW, IO*...... 115,605
149,410 16.64%, 4/16/34, Series
04-28, Class S, IF*....... 157,895
-----------
10,103,339
-----------
Total U.S. Government Agency Mortgages 92,533,678
-----------
U.S. GOVERNMENT AGENCY SECURITIES (0.1%):
Fannie Mae (0.1%):
255,000 6.25%, 2/1/11............... 274,149
-----------
Total U.S. Government Agency Securities 274,149
-----------
U.S. TREASURY OBLIGATIONS (20.9%):
U.S. Treasury Bonds (11.6%):
3,845,000 12.75%, 11/15/10............ 4,376,844
5,290,000 10.38%, 11/15/12............ 6,461,242
3,450,000 12.00%, 8/15/13............. 4,555,080
300,000 13.25%, 5/15/14............. 424,946
1,350,000 11.75%, 11/15/14............ 1,854,669
550,000 9.88%, 11/15/15............. 792,151
2,400,000 8.75%, 5/15/17.............. 3,253,877
550,000 7.88%, 2/15/21.............. 710,145
150,000 7.63%, 2/15/25.............. 192,533
-----------
22,621,487
-----------
U.S. Treasury Inflation Protected Bonds (1.0%):
800,000 3.38%, 1/15/07.............. 1,017,102
100,000 3.88%, 1/15/09.............. 127,835
550,000 3.63%, 4/15/28.............. 780,144
-----------
1,925,081
-----------
U.S. Treasury STRIPS (8.3%):
1,000,000 11/15/09.................... 802,829
350,000 11/15/12.................... 237,027
900,000 11/15/14.................... 537,605
1,800,000 11/15/15.................... 1,008,457
1,900,000 11/15/15.................... 1,070,401
800,000 2/15/11..................... 600,845
2,500,000 2/15/13..................... 1,667,830
1,000,000 2/15/14..................... 628,219
4,300,000 2/15/16..................... 2,373,221
2,500,000 2/15/17..................... 1,288,610
750,000 2/15/19..................... 338,277
100,000 2/15/22..................... 37,398
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
U.S. TREASURY OBLIGATIONS, CONTINUED:
U.S. Treasury STRIPS, continued:
500,000 2/15/23..................... 175,561
500,000 5/15/10..................... 392,164
1,350,000 5/15/11..................... 1,000,332
650,000 5/15/12..................... 453,690
1,600,000 5/15/14..................... 987,358
1,070,000 5/15/15..................... 620,175
100,000 5/15/16..................... 54,238
800,000 5/15/18..................... 379,951
1,800,000 8/15/14..................... 1,094,036
360,000 8/15/15..................... 205,165
200,000 8/15/16..................... 106,584
-----------
16,059,973
-----------
Total U.S. Treasury Obligations 40,606,541
-----------
MUNICIPAL BONDS (0.1%):
Illinois (0.1%):
300,000 State Pension, GO, 5.10%,
6/1/33.................... 266,178
-----------
Total Municipal Bonds 266,178
-----------
INVESTMENT COMPANIES (3.7%):
7,114,180 One Group Prime Money Market
Fund, Class I (c)......... 7,114,180
-----------
Total Investment Companies 7,114,180
-----------
REPURCHASE AGREEMENT (1.9%):
3,762,000 State Street Bank and Trust,
0.65%, 7/1/04 (Proceeds at
maturity $3,762,093
collateralized by various
U.S. Government
Securities)............... 3,762,000
-----------
Total Repurchase Agreement 3,762,000
-----------
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR
SECURITIES LENDING (8.9%):
17,386,557 Pool of various securities
for One Group Bond
Funds -- footnote 2
(Securities Lending)...... 17,386,557
-----------
Total Short-Term Securities Held as
Collateral for Securities Lending 17,386,557
-----------
Total (Cost $207,251,036) (a) 210,377,460
===========
</Table>
- ------------
Percentages indicated are based on net assets of $194,375,826.
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
45
ONE GROUP INVESTMENT TRUST BOND PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
(a) Represents cost for financial reporting purposes and differs from market
value by unrealized appreciation (depreciation) of securities as follows:
<Table>
Unrealized appreciation...................... $ 5,868,537
Unrealized depreciation...................... (2,742,113)
-----------
Net unrealized appreciation (depreciation)... $ 3,126,424
===========
</Table>
Aggregate cost for federal income tax purposes differs from cost for financial
reporting purposes by less than 2% of net assets and is therefore considered
substantially the same.
(b) 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.
(c) Investment in affiliate.
GO -- General Obligations
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.
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.
* 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, 2004.
See notes to financial statements.
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
46
ONE GROUP INVESTMENT TRUST GOVERNMENT BOND PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
U.S. GOVERNMENT AGENCY MORTGAGES (57.0%):
Fannie Mae (27.6%):
192,621 8.30%, 10/25/08, Series
93-197, Class SC*......... 202,462
322,225 12.86%, 12/25/08, Series
93-221, Class SG, IF*..... 345,003
945,123 6.25%, 1/25/09, Series
94-12, Class C............ 977,075
84,389 19.23%, 2/25/09, Series
94-13, Class SM, IF*...... 97,164
146,842 6.13%, 5/25/11, Series
01-12, Class VA........... 146,900
16,506 6.50%, 11/1/11, Pool
#356206................... 17,481
339,950 8.00%, 11/1/12, Pool
#535710................... 363,485
500,000 6.00%, 1/17/13, Series
98-37, Class VB........... 518,744
229,240 7.50%, 2/1/13, Pool
#42433.................... 246,039
297,662 6.00%, 4/1/13, Pool
#425482................... 311,178
181,060 6.50%, 5/1/13, Pool
#42433.................... 191,723
930,632 5.00%, 11/1/13, Pool
#255013................... 951,489
164,917 6.00%, 8/1/14, Pool
#598032................... 172,518
92,391 6.50%, 9/1/14, Pool
#E78451................... 97,784
48,818 6.00%, 9/25/14, Series
01-71, Class QC........... 48,806
689,923 6.00%, 10/25/14, Series
02-12, Class PD........... 695,436
1,632,893 5.50%, 11/1/16, Pool
#618192................... 1,676,342
2,000,000 5.00%, 11/25/16, Series
03-35, Class MD........... 2,010,802
640,000 6.00%, 2/25/17, Series 02-2,
Class UC.................. 661,142
2,000,000 5.50%, 4/25/17, Series
02-18, Class PC........... 2,059,458
75,259 9.50%, 6/25/18, Series
88-16, Class B............ 82,043
750,000 7.00%, 3/25/21, Series 01-4,
Class PC.................. 802,848
2,824,994 6.00%, 3/1/22, Pool
#254231................... 2,917,173
183,103 8.00%, 7/25/22, Series
G92-44, Class ZQ.......... 197,862
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
79,456 6.00%, 12/25/22, Series
G92-66, Class KA.......... 80,007
307,325 0.00%, 5/25/23, Series
93-146, Class E, PO....... 260,139
1,850,000 5.00%, 5/25/23, Series 04-2,
Class OE.................. 1,777,547
500,000 6.50%, 8/25/23, Series
94-28, Class K............ 526,930
45,963 0.00%, 9/25/23, Series
93-205, Class H, PO....... 38,622
245,000 7.00%, 9/25/23, Series
93-155, Class PJ.......... 263,712
1,750,800 5.00%, 11/1/23, Pool
#762498................... 1,730,501
1,580,142 6.50%, 12/25/23, Series
93-223, Class PZ.......... 1,670,315
1,456,723 7.00%, 12/25/23, Series
93-250, Class Z........... 1,545,765
2,901,667 4.50%, 1/25/24, Series
03-128, Class DY.......... 2,638,670
101,593 5.00%, 2/25/24, Series
94-76, Class H............ 103,718
1,400,000 6.50%, 3/25/24, Series
94-37, Class L............ 1,463,869
6,388,638 6.00%, 4/25/24, Series
94-72, Class K............ 6,541,430
39,114 6.50%, 9/1/25, Pool
#250375................... 40,975
131,580 6.50%, 5/1/26, Pool
#338417................... 137,737
248,258 0.00%, 11/25/26, Series
97-47, Class PA, PO....... 246,108
293,496 6.50%, 8/18/28, Series
98-46, Class GZ........... 305,369
1,013,374 6.00%, 9/1/28, Pool
#405220................... 1,041,248
1,250,000 6.25%, 2/25/29, Series
94-W4, Class A9........... 1,279,411
2,000,000 6.00%, 6/25/29, Series
02-W7, Class A4........... 2,030,050
101,832 7.50%, 3/1/30, Pool
#524949................... 109,198
84,209 7.50%, 8/1/30, Pool
#5478301.................. 90,300
3,000,000 6.00%, 7/25/31, Series
01-33, Class ID, IO....... 814,083
3,600,000 5.00%, 12/25/32, Series
03-81, Class MC........... 3,466,565
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
47
ONE GROUP INVESTMENT TRUST GOVERNMENT BOND PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Fannie Mae, continued:
4,146,068 5.50%, 5/1/33, Pool
#702435................... 4,139,504
2,904,730 5.00%, 11/1/33, Pool
#747628................... 2,816,040
2,437,119 5.50%, 12/1/33, Pool
#753662................... 2,433,261
2,399,096 5.50%, 1/1/34, Pool
#755615................... 2,395,298
1,913,150 6.50%, 12/25/42, Series
03-W1, Class 1A1.......... 1,995,484
-----------
57,772,813
-----------
Freddie Mac (22.6%):
1,635,356 4.00%, 8/15/07, Series 2485,
Class CB.................. 1,649,267
280,187 0.00%, 8/15/08, Series 1561,
Class TA, PO.............. 266,772
161,395 12.82%, 11/15/08, Series
1604, Class MB, IF*....... 176,827
109,624 13.15%, 12/15/08, Series
1625, Class SC, IF*....... 122,994
13,542 8.50%, 12/1/09, Pool
#E20150................... 14,589
117,683 9.00%, 12/1/09, Pool
#256360................... 123,615
390,563 7.50%, 9/1/10, Gold Pool
#E62448................... 415,159
107,520 7.00%, 2/1/11, Pool
#E63959................... 114,208
738,426 6.00%, 6/15/11, Series 2366,
Class VG.................. 769,781
1,127,506 6.00%, 8/15/13, Series 2170,
Class PE.................. 1,148,002
288,106 5.00%, 12/1/13, Gold Pool
#E73637................... 289,764
296,541 5.50%, 3/1/14, Gold Pool
#E75738................... 304,953
476,343 5.00%, 4/1/14, Gold Pool
#E00667................... 479,084
92,300 6.00%, 4/1/14, Gold Pool
#E76438................... 96,542
416,000 6.50%, 5/15/14, Series 2288,
Class VB.................. 424,879
169,550 6.50%, 6/1/14, Gold Pool
#E00678................... 179,421
1,250,000 6.50%, 8/15/16, Series 2345,
Class PQ.................. 1,329,398
91,568 6.00%, 2/15/17, Series 2108,
Class VB.................. 92,072
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
883,000 5.00%, 11/15/17, Pool
#2527..................... 863,531
3,230,000 5.00%, 2/15/18, Series 2578,
Class P6.................. 3,114,842
1,250,000 5.00%, 6/15/21, Series 2749,
Class TD.................. 1,230,287
480,405 8.00%, 8/15/22, Series 1343,
Class LA.................. 506,424
178,491 6.50%, 11/15/22, Series
1552, Class HB............ 179,190
1,829,000 6.50%, 9/15/23, Series 1584,
Class L................... 1,919,457
837,467 6.50%, 9/15/23, Series 1577,
Class PV.................. 833,462
762,418 6.50%, 12/15/23, Series
1633, Class Z............. 793,947
201,000 6.50%, 3/15/24, Series 1694,
Class PK.................. 213,504
198,555 6.50%, 11/1/25, Pool
#D65545................... 208,198
230,245 6.00%, 4/1/26, Pool
#D70244................... 236,810
345,000 6.50%, 10/17/26, Series
1985, Class PL............ 362,405
534,063 3.39%, 1/1/27, Pool
#611141*.................. 550,366
678,224 6.00%, 2/15/27, Series 2091,
Class PF.................. 687,025
864,822 6.25%, 4/15/27, Series 2018,
Class PE.................. 872,582
875,000 7.00%, 10/15/27, Series
1999, Class PU............ 928,952
540,131 6.00%, 11/15/27, Series
2132, Class PD............ 561,367
229,586 6.50%, 1/15/28, Series 2137,
Class TM.................. 232,655
650,000 4.50%, 2/15/28, Series 2631,
Class TE.................. 628,665
265,804 5.75%, 2/15/28, Series 2110,
Class D................... 266,344
46,222 6.00%, 2/15/28, Series 2126,
Class TD.................. 48,162
1,985,124 7.00%, 2/15/28, Series 2031,
Class PG.................. 2,097,396
1,500,000 6.95%, 3/15/28, Series 2035,
Class PC.................. 1,588,087
43,958 8.50%, 7/1/28, Gold Pool
#G00981................... 48,303
1,000,000 6.50%, 10/25/28, Series
98-64, Class TM........... 1,045,958
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
48
ONE GROUP INVESTMENT TRUST GOVERNMENT BOND PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Freddie Mac, continued:
750,000 6.00%, 11/15/28, Series
2095, Class PE............ 768,778
705,538 6.50%, 2/1/29, Gold Pool
#C22459................... 737,541
2,500,000 5.00%, 3/15/29, Series 2684,
Class PD.................. 2,458,703
416,963 6.50%, 6/1/29, Gold Pool
#C00785................... 435,652
515,000 7.00%, 8/15/29, Series 2178,
Class PB.................. 545,884
178,442 3.46%, 4/1/30, Pool
#846812*.................. 184,135
282,754 7.35%, 10/15/30, Series
2259, Class ZC............ 298,018
1,000,000 6.50%, 10/15/31, Series
2367, Class ME............ 1,042,522
195,496 0.00%, 12/15/31, Series
2390, Class DO, PO........ 151,687
291,855 6.00%, 2/1/32, Gold Pool
#C01292................... 299,096
2,247,805 6.50%, 4/1/32, Pool
#C66034................... 2,345,218
2,438,000 5.00%, 10/15/32, Series
2656, Class BG............ 2,349,118
5,000,000 6.00%, 12/15/32, Series
2543, Class YX............ 4,901,105
2,042,821 6.50%, 2/25/43, Series T-54,
Class 2A.................. 2,131,265
1,091,780 0.00%, 5/25/43, Series T-56,
Class APO, PO............. 924,259
-----------
47,588,227
-----------
Government National Mortgage Assoc. (6.8%):
53,416 7.50%, 5/15/23, Pool
#326977................... 57,883
24,377 7.50%, 6/15/23, Pool
#359588................... 26,416
38,820 9.00%, 11/15/24, Pool
#780029................... 43,833
11,281 7.50%, 9/15/25, Pool
#336427................... 12,204
300,000 6.50%, 9/16/25, Series 96-6,
Class PK.................. 315,108
12,696 7.00%, 12/15/25, Pool
#405535................... 13,554
432,955 8.00%, 11/20/26, Pool
#2324..................... 474,609
26,457 7.50%, 12/20/26, Pool
#2341..................... 28,557
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED:
Government National Mortgage Assoc., continued:
117,909 6.50%, 6/20/27, Series
97-19, Class PJ........... 119,714
31,648 4.75%, 7/20/27, Pool
#80094*................... 32,092
32,281 8.00%, 10/15/27, Pool
#412336................... 35,450
108,067 8.00%, 10/15/27, Pool
#451507................... 118,675
57,299 7.00%, 11/15/27, Pool
#412369................... 61,064
47,978 6.50%, 3/15/28, Pool
#467705................... 50,277
36,701 7.00%, 4/15/28, Pool
#472543................... 39,071
2,759,774 6.00%, 4/16/28, Series
03-75, Class BE........... 2,803,603
73,664 7.00%, 6/15/28, Pool
#472679................... 78,422
33,464 6.50%, 9/15/28, Pool
#467225................... 35,067
537,602 7.50%, 9/16/28, Series
99-33B, Class PQ.......... 542,795
991,600 6.50%, 9/20/28, Series
98-22, Class PD........... 1,034,231
317,793 6.00%, 5/20/29, Series
99-17, Class L............ 325,809
3,229,129 6.50%, 6/16/30, Series 01-6,
Class PM.................. 3,378,975
162,552 7.75%, 7/15/30, Pool
#518078................... 177,115
2,500,000 6.50%, 3/16/31, Series
01-10, Class PE........... 2,620,068
1,000,000 6.50%, 12/20/31, Series
01-64, Class PB........... 1,037,339
842,807 6.50%, 4/1/32, Pool
#545639................... 883,795
-----------
14,345,726
-----------
Total U.S. Government Agency Mortgages 119,706,766
-----------
U.S. GOVERNMENT AGENCY SECURITIES (13.1%):
Fannie Mae (1.9%):
3,000,000 0.00%, 10/9/19.............. 1,195,683
6,000,000 0.00%, 9/23/20.............. 2,222,598
630,000 0.00%, 3/23/28.............. 145,733
1,860,538 6.50%, 8/25/29.............. 494,318
-----------
4,058,332
-----------
Federal Farm Credit Bank (0.8%):
1,500,000 6.75%, 7/7/09............... 1,672,815
-----------
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
49
ONE GROUP INVESTMENT TRUST GOVERNMENT BOND PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
U.S. GOVERNMENT AGENCY SECURITIES, CONTINUED:
Federal Home Loan Bank (4.3%):
3,000,000 5.25%, 8/15/06.............. 3,132,969
1,000,000 5.90%, 3/26/09.............. 1,077,913
4,500,000 5.75%, 8/15/11.............. 4,754,737
-----------
8,965,619
-----------
Financial Corporation STRIPS (2.1%):
2,000,000 11/2/18..................... 881,592
8,000,000 12/6/18..................... 3,502,288
-----------
4,383,880
-----------
Resolution Funding Corporation STRIPS (1.8%):
2,000,000 1/15/20..................... 830,566
975,000 10/15/08.................... 828,857
1,000,000 10/15/17.................... 482,252
4,000,000 7/15/20..................... 1,615,068
-----------
3,756,743
-----------
Tennessee Valley Authority (2.2%):
2,000,000 6.00%, 3/15/13.............. 2,137,678
5,000,000 0.00%, 7/15/16.............. 2,535,540
-----------
4,673,218
-----------
Total U.S. Government Agency Securities 27,510,607
-----------
U.S. TREASURY OBLIGATIONS (24.9%):
U.S. Treasury Bonds (5.7%):
200,000 6.00%, 8/15/09.............. 219,836
2,800,000 10.38%, 11/15/12............ 3,419,940
2,700,000 7.25%, 5/15/16.............. 3,264,997
2,000,000 9.13%, 5/15/18.............. 2,808,282
1,250,000 8.13%, 8/15/19.............. 1,637,500
650,000 6.13%, 11/15/27............. 712,486
-----------
12,063,041
-----------
U.S. Treasury Inflation Protected Bonds (3.3%):
5,000,000 3.63%, 1/15/08.............. 6,360,526
500,000 3.50%, 1/15/11.............. 599,838
-----------
6,960,364
-----------
U.S. Treasury Notes (8.4%):
1,000,000 6.88%, 5/15/06.............. 1,076,797
3,500,000 3.50%, 11/15/06............. 3,546,351
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ---------- ---------------------------- -----------
U.S. TREASURY OBLIGATIONS, CONTINUED:
U.S. Treasury Notes, continued:
7,000,000 6.13%, 8/15/07.............. 7,596,371
500,000 10.38%, 11/15/09............ 516,192
2,500,000 5.00%, 8/15/11.............. 2,610,645
2,250,000 4.25%, 8/15/13.............. 2,197,091
-----------
17,543,447
-----------
U.S. Treasury STRIPS (7.5%):
4,000,000 11/15/09.................... 3,211,316
2,000,000 11/15/14.................... 1,194,678
3,400,000 11/15/15.................... 1,904,864
2,250,000 5/15/15..................... 1,304,107
15,000,000 5/15/20..................... 6,281,429
2,500,000 8/15/14..................... 1,519,495
750,000 8/15/15..................... 427,427
-----------
15,843,316
-----------
Total U.S. Treasury Obligations 52,410,168
-----------
INVESTMENT COMPANIES (3.7%):
7,842,345 One Group Government Money
Market Fund, Class I
(b)....................... 7,842,345
-----------
Total Investment Companies 7,842,345
-----------
REPURCHASE AGREEMENT (0.7%):
1,424,000 State Street Bank and Trust,
0.65%, 7/1/04 (Proceeds at
maturity $1,424,026
collateralized by various
U.S. Government
Securities)............... 1,424,000
-----------
Total Repurchase Agreement 1,424,000
-----------
SHORT-TERM SECURITIES HELD AS COLLATERAL FOR
SECURITIES LENDING (0.8%):
1,726,372 Pool of various securities
for One Group Bond
Funds -- footnote 2
(Securities Lending)...... 1,726,372
-----------
Total Short-Term Securities Held as
Collateral for Securities Lending 1,726,372
-----------
Total (Cost $205,948,723) (a) 210,620,258
===========
</Table>
- ------------
Percentages indicated are based on net assets of $210,166,622.
(a) Represents cost for financial reporting purposes and differs from market
value by unrealized appreciation (depreciation) of securities as follows:
<Table>
Unrealized appreciation...................... $ 6,796,966
Unrealized depreciation...................... (2,125,431)
-----------
Net unrealized appreciation (depreciation)... $ 4,671,535
===========
</Table>
Aggregate cost for federal income tax purposes differs from cost for financial
reporting purposes by less than 2% of net assets and is therefore considered
substantially the same.
(b) Investment in affiliate.
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
50
ONE GROUP INVESTMENT TRUST GOVERNMENT BOND PORTFOLIO
- --------------------------------------------------------------------------------
SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED
(UNAUDITED)
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.
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
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 of Investments is the rate in effect as of June 30,
2004.
See notes to financial statements.
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
51
INVESTMENT TRUST SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
(UNAUDITED)
<Table>
<Caption>
MID CAP MID CAP DIVERSIFIED LARGE CAP DIVERSIFIED
GROWTH VALUE MID CAP GROWTH EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ----------- ------------ ------------
ASSETS:
Investments, at cost....... $175,080,617 $ 99,636,111 $49,901,866 $194,281,729 $161,796,624
Unrealized appreciation
(depreciation) from
investments.............. 40,545,493 24,295,752 11,188,036 4,695,138 8,295,593
------------ ------------ ----------- ------------ ------------
Investments, at value*..... 215,626,110 123,931,863 61,089,902 198,976,867 170,092,217
Cash....................... -- 790 329 -- --
Interest and dividends
receivable............... 49,871 97,853 37,992 118,012 157,718
Receivable for capital
shares issued............ -- -- -- 349 608
Receivable from brokers for
investments sold......... 958,035 103,599 -- 466,871 --
------------ ------------ ----------- ------------ ------------
Total Assets............... 216,634,016 124,134,105 61,128,223 199,562,099 170,250,543
------------ ------------ ----------- ------------ ------------
LIABILITIES:
Payable to Custodian....... -- -- -- -- 72,185
Payable to brokers for
investments purchased.... 204,737 297,957 -- -- --
Payable for return of
collateral received for
securities on loan....... 20,897,661 8,832,135 1,863,365 1,875,430 11,211,806
Accrued expenses and other
payables:
Investment advisory
fees................... 103,895 68,658 35,635 104,991 96,262
Administration fees...... 23,787 13,753 7,147 24,297 19,327
Other.................... 28,359 24,893 17,369 33,459 27,708
------------ ------------ ----------- ------------ ------------
Total Liabilities:......... 21,258,439 9,237,396 1,923,516 2,038,177 11,427,288
------------ ------------ ----------- ------------ ------------
NET ASSETS:
Capital.................... 198,657,487 88,036,450 52,428,845 320,908,207 170,414,588
Undistributed
(distributions in excess
of) net investment
income................... (341,119) 395,804 9,003 133,612 480,069
Accumulated undistributed
net realized gains
(losses) from
investments.............. (43,486,284) 2,168,703 (4,421,177) (128,213,035) (20,366,995)
Net unrealized appreciation
(depreciation) from
investments.............. 40,545,493 24,295,752 11,188,036 4,695,138 8,295,593
------------ ------------ ----------- ------------ ------------
NET ASSETS:................ $195,375,577 $114,896,709 $59,204,707 $197,523,922 $158,823,255
============ ============ =========== ============ ============
OUTSTANDING UNITS OF
BENEFICIAL INTEREST
(SHARES):................ 11,794,412 7,875,953 3,668,052 15,462,864 11,151,430
============ ============ =========== ============ ============
Net Asset Value............ $ 16.57 $ 14.59 $ 16.14 $ 12.77 $ 14.24
============ ============ =========== ============ ============
*Includes investments in
affiliates of:........... $ 1,967,213 $ 4,478,718 $ 2,210,345 $ 5,510,141 $ 1,772,168
------------ ------------ ----------- ------------ ------------
</Table>
See notes to financial statements.
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
52
INVESTMENT TRUST SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
STATEMENTS OF ASSETS AND LIABILITIES
(UNAUDITED)
<Table>
<Caption>
EQUITY GOVERNMENT
INDEX BALANCED BOND BOND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
------------ ------------ ------------ ------------
ASSETS:
Investments, at cost...................... $141,082,226 $193,130,069 $207,251,036 $205,948,723
Unrealized appreciation (depreciation)
from investments........................ (8,951,168) 6,652,241 3,126,424 4,671,535
------------ ------------ ------------ ------------
Investments, at value*.................... 132,131,058 199,782,310 210,377,460 210,620,258
Cash...................................... -- -- 120 276
Interest and dividends receivable......... 145,987 850,631 1,512,914 1,373,681
Receivable for capital shares issued...... 28,944 38 8,065 6,557
Receivable from brokers for investments
sold.................................... 95,716 13,104 7,434 24,829
------------ ------------ ------------ ------------
Total Assets.............................. 132,401,705 200,646,083 211,905,993 212,025,601
------------ ------------ ------------ ------------
LIABILITIES:
Payable to Custodian...................... 110,421 22,483 -- --
Payable to brokers for investments
purchased............................... 156,961 219,290 -- --
Payable for return of collateral received
for securities on loan.................. 4,294,355 25,721,492 17,386,557 1,726,372
Accrued expenses and other payables:
Investment advisory fees................ 31,382 100,303 91,445 76,908
Administration fees..................... 14,645 21,250 23,334 25,355
Other................................... 25,565 31,071 28,831 30,344
------------ ------------ ------------ ------------
Total Liabilities:........................ 4,633,329 26,115,889 17,530,167 1,858,979
------------ ------------ ------------ ------------
NET ASSETS:
Capital................................... 141,966,302 179,531,031 186,833,761 200,719,827
Undistributed (distributions in excess of)
net investment income................... 720,976 1,800,878 4,758,202 4,942,271
Accumulated undistributed net realized
gains (losses) from investments and
futures................................. (5,967,734) (13,453,956) (342,561) (167,011)
Net unrealized appreciation (depreciation)
from investments and futures............ (8,951,168) 6,652,241 3,126,424 4,671,535
------------ ------------ ------------ ------------
NET ASSETS:............................... $127,768,376 $174,530,194 $194,375,826 $210,166,622
============ ============ ============ ============
OUTSTANDING UNITS OF BENEFICIAL INTEREST
(SHARES):............................... 12,876,468 12,237,798 17,602,734 18,840,728
============ ============ ============ ============
Net Asset Value........................... $ 9.92 $ 14.26 $ 11.04 $ 11.15
============ ============ ============ ============
*Includes investments in affiliates of:... $ 885,152 $ 237,693 $ 7,114,180 $ 7,842,345
------------ ------------ ------------ ------------
</Table>
See notes to financial statements.
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
53
INVESTMENT TRUST SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
(UNAUDITED)
<Table>
<Caption>
MID CAP MID CAP DIVERSIFIED LARGE CAP DIVERSIFIED
GROWTH VALUE MID CAP GROWTH EQUITY
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
----------- ---------- ----------- ---------- -----------
INVESTMENT INCOME:
Interest income..................... $ 383 $ 509 $ 650 $ 351 $ 341
Dividend income..................... 451,046 889,147 269,311 926,223 1,176,929
Dividend Income from affiliates..... 15,309 20,544 10,655 34,459 24,381
Income from securities lending...... 22,423 5,771 4,223 6,183 5,483
----------- ---------- ---------- ---------- -----------
Total Income........................ 489,161 915,971 284,839 967,216 1,207,134
----------- ---------- ---------- ---------- -----------
EXPENSES:
Investment advisory fees............ 642,907 419,332 217,998 654,706 589,873
Administration fees................. 145,854 83,563 43,442 148,533 117,550
Legal and audit fees................ 5,287 3,822 2,746 5,283 4,515
Custodian fees...................... 12,319 6,778 6,293 8,248 6,562
Insurance fees...................... 4,437 2,548 1,321 4,422 3,156
Printing and mailing costs.......... 6,463 3,773 1,954 6,508 5,066
Transfer agent fees................. 8,889 4,620 4,132 4,297 4,253
Trustees' fees and expenses......... 1,742 1,054 564 1,742 1,377
Other fees.......................... -- 13 6 55 --
----------- ---------- ---------- ---------- -----------
Total expenses before waivers....... 827,898 525,503 278,456 833,794 732,352
Less waivers........................ (3,586) (7,152) (3,896) (11,798) (8,413)
----------- ---------- ---------- ---------- -----------
Net Expenses........................ 824,312 518,351 274,560 821,996 723,939
----------- ---------- ---------- ---------- -----------
Net Investment Income (Loss)........ (335,151) 397,620 10,279 145,220 483,195
----------- ---------- ---------- ---------- -----------
REALIZED/UNREALIZED GAINS (LOSSES)
FROM INVESTMENTS:
Net realized gains (losses) from
investment transactions........... 5,879,348 5,350,781 3,422,677 2,399,338 (1,438,010)
Net change in unrealized
appreciation (depreciation) from
investment transactions........... 5,203,523 1,281,882 (919,230) 2,136,376 2,697,558
----------- ---------- ---------- ---------- -----------
Net realized/unrealized gains
(losses) on investments........... 11,082,871 6,632,663 2,503,447 4,535,714 1,259,548
----------- ---------- ---------- ---------- -----------
Change in net assets resulting from
operations........................ $10,747,720 $7,030,283 $2,513,726 $4,680,934 $ 1,742,743
=========== ========== ========== ========== ===========
</Table>
See notes to financial statements.
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
54
INVESTMENT TRUST SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
STATEMENTS OF OPERATIONS
(UNAUDITED)
<Table>
<Caption>
EQUITY GOVERNMENT
INDEX BALANCED BOND BOND
PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO
---------- ----------- ----------- -----------
INVESTMENT INCOME:
Interest income.................................... $ 875 $ 1,754,876 $ 5,417,595 $ 5,492,227
Dividend income.................................... 1,024,576 800,299 17,394 33,651
Dividend Income from affiliates.................... 5,332 12,774 36,294 65,850
Income from securities lending..................... 6,300 20,316 10,590 10,313
---------- ----------- ----------- -----------
Total Income....................................... 1,037,083 2,588,265 5,481,873 5,602,041
---------- ----------- ----------- -----------
EXPENSES:
Investment advisory fees........................... 191,596 621,829 576,071 474,382
Administration fees................................ 89,411 130,998 141,583 155,453
Legal and audit fees............................... 3,938 4,732 5,071 5,412
Custodian fees..................................... 18,438 11,649 15,575 8,006
Insurance fees..................................... 2,802 3,875 4,151 4,567
Printing and mailing costs......................... 4,107 5,702 5,950 6,605
Transfer agent fees................................ 4,198 3,737 4,460 4,276
Trustees' fees and expenses........................ 1,137 1,564 1,716 1,842
Other fees......................................... 9 12 33 44
---------- ----------- ----------- -----------
Total expenses before waivers...................... 315,636 784,098 754,610 660,587
Less waivers....................................... (1,865) (3,519) (34,442) (4,537)
---------- ----------- ----------- -----------
Net Expenses....................................... 313,771 780,579 720,168 656,050
---------- ----------- ----------- -----------
Net Investment Income (Loss)....................... 723,312 1,807,686 4,761,705 4,945,991
---------- ----------- ----------- -----------
REALIZED/UNREALIZED GAINS (LOSSES) FROM INVESTMENTS
AND FUTURES:
Net realized gains (losses) from investment and
futures transactions............................. 248,042 (1,228,165) 59,114 19,029
Net change in unrealized appreciation
(depreciation) from investments and futures
transactions..................................... 3,008,153 546,135 (4,076,264) (4,214,012)
---------- ----------- ----------- -----------
Net realized/unrealized gains (losses) on
investments and futures.......................... 3,256,195 (682,030) (4,017,150) (4,194,983)
---------- ----------- ----------- -----------
Change in net assets resulting from operations..... $3,979,507 $ 1,125,656 $ 744,555 $ 751,008
========== =========== =========== ===========
</Table>
See notes to financial statements.
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
55
INVESTMENT TRUST SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
MID CAP GROWTH MID CAP VALUE DIVERSIFIED MID CAP
PORTFOLIO PORTFOLIO PORTFOLIO
--------------------------- --------------------------- --------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
2004 2003 2004 2003 2004 2003
------------ ------------ ------------ ------------ ----------- ------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income
(loss).................... $ (335,151) $ (454,981) $ 397,620 $ 595,139 $ 10,279 $ 117,963
Net realized gains (losses)
from investments.......... 5,879,348 (2,550,898) 5,350,781 (487,545) 3,422,677 (3,418,111)
Net change in unrealized
appreciation
(depreciation) from
investments............... 5,203,523 44,651,555 1,281,882 27,656,306 (919,230) 17,035,052
------------ ------------ ------------ ------------ ----------- -----------
Change in net assets resulting
from operations............. 10,747,720 41,645,676 7,030,283 27,763,900 2,513,726 13,734,904
------------ ------------ ------------ ------------ ----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment
income.................... -- -- (595,535) (500,946) (118,268) (95,462)
------------ ------------ ------------ ------------ ----------- -----------
Change in net assets from
shareholder distributions... -- -- (595,535) (500,946) (118,268) (95,462)
------------ ------------ ------------ ------------ ----------- -----------
CAPITAL TRANSACTIONS:
Proceeds from shares
issued.................... 3,348,828 21,941,831 6,529,931 14,815,787 1,844,623 6,457,046
Dividends reinvested........ -- -- 595,535 500,946 118,268 95,462
Cost of shares redeemed..... (14,327,140) (12,089,800) (11,035,539) (7,120,896) (4,360,771) (4,287,437)
------------ ------------ ------------ ------------ ----------- -----------
Change in net assets from
capital transactions........ (10,978,312) 9,852,031 (3,910,073) 8,195,837 (2,397,880) 2,265,071
------------ ------------ ------------ ------------ ----------- -----------
Change in net assets.......... (230,592) 51,497,707 2,524,675 35,458,791 (2,422) 15,904,513
------------ ------------ ------------ ------------ ----------- -----------
NET ASSETS:
Beginning of period......... 195,606,169 144,108,462 112,372,034 76,913,243 59,207,129 43,302,616
------------ ------------ ------------ ------------ ----------- -----------
End of period............... $195,375,577 $195,606,169 $114,896,709 $112,372,034 $59,204,707 $59,207,129
============ ============ ============ ============ =========== ===========
SHARE TRANSACTIONS:
Issued...................... 205,425 1,686,702 462,185 1,346,394 117,552 500,569
Reinvested.................. -- -- 41,675 51,221 7,452 8,323
Redeemed.................... (878,463) (894,453) (781,265) (606,229) (277,420) (325,191)
------------ ------------ ------------ ------------ ----------- -----------
Change in Shares.............. (673,038) 792,249 (277,405) 791,386 (152,416) 183,701
============ ============ ============ ============ =========== ===========
</Table>
See notes to financial statements.
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
56
INVESTMENT TRUST SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
LARGE CAP GROWTH DIVERSIFIED EQUITY EQUITY INDEX
PORTFOLIO PORTFOLIO PORTFOLIO
--------------------------- --------------------------- ---------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
2004 2003 2004 2003 2004 2003
------------ ------------ ------------ ------------ ------------ ------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income
(loss)................. $ 145,220 $ 478,109 $ 483,195 $ 1,155,210 $ 723,312 $ 1,375,362
Net realized gains
(losses) from
investments and
futures................ 2,399,338 (10,968,279) (1,438,010) (5,581,640) 248,042 393,197
Net change in unrealized
appreciation
(depreciation) from
investments and
futures................ 2,136,376 55,420,162 2,697,558 37,155,935 3,008,153 25,029,236
------------ ------------ ------------ ------------ ------------ ------------
Change in net assets
resulting from
operations............... 4,680,934 44,929,992 1,742,743 32,729,505 3,979,507 26,797,795
------------ ------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS TO
SHAREHOLDERS:
From net investment
income................. (478,551) (185,613) (1,155,483) (830,122) (1,375,652) (1,089,834)
------------ ------------ ------------ ------------ ------------ ------------
Change in net assets from
shareholder
distributions............ (478,551) (185,613) (1,155,483) (830,122) (1,375,652) (1,089,834)
------------ ------------ ------------ ------------ ------------ ------------
CAPITAL TRANSACTIONS:
Proceeds from shares
issued................. 2,375,740 7,494,988 4,838,718 21,433,508 8,164,259 18,475,832
Dividends reinvested..... 478,551 185,613 1,155,483 830,122 1,375,652 1,089,834
Cost of shares
redeemed............... (15,194,347) (16,456,203) (9,045,375) (9,204,553) (11,108,674) (7,552,455)
------------ ------------ ------------ ------------ ------------ ------------
Change in net assets from
capital transactions..... (12,340,056) (8,775,602) (3,051,174) 13,059,077 (1,568,763) 12,013,211
------------ ------------ ------------ ------------ ------------ ------------
Change in net assets....... (8,137,673) 35,968,777 (2,463,914) 44,958,460 1,035,092 37,721,172
------------ ------------ ------------ ------------ ------------ ------------
NET ASSETS:
Beginning of period...... 205,661,595 169,692,818 161,287,169 116,328,709 126,733,284 89,012,112
------------ ------------ ------------ ------------ ------------ ------------
End of period............ $197,523,922 $205,661,595 $158,823,255 $161,287,169 $127,768,376 $126,733,284
============ ============ ============ ============ ============ ============
SHARE TRANSACTIONS:
Issued................... 188,075 688,270 341,669 1,781,724 827,944 2,201,610
Reinvested............... 38,101 19,076 82,299 77,149 140,804 148,277
Redeemed................. (1,204,843) (1,541,153) (639,729) (743,394) (1,130,236) (885,374)
------------ ------------ ------------ ------------ ------------ ------------
Change in Shares........... (978,667) (833,807) (215,761) 1,115,479 (161,488) 1,464,513
============ ============ ============ ============ ============ ============
</Table>
See notes to financial statements.
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
57
INVESTMENT TRUST SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
STATEMENTS OF CHANGES IN NET ASSETS
<Table>
<Caption>
BALANCED BOND GOVERNMENT BOND
PORTFOLIO PORTFOLIO PORTFOLIO
--------------------------- --------------------------- ---------------------------
SIX MONTHS YEAR SIX MONTHS YEAR SIX MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31,
2004 2003 2004 2003 2004 2003
------------ ------------ ------------ ------------ ------------ ------------
(UNAUDITED) (UNAUDITED) (UNAUDITED)
FROM INVESTMENT ACTIVITIES:
OPERATIONS:
Net investment income
(loss)............... $ 1,807,686 $ 3,857,493 $ 4,761,705 $ 9,774,630 $ 4,945,991 $ 10,131,158
Net realized gains
(losses) from
investments............ (1,228,165) (4,489,919) 59,114 (214,492) 19,029 24,400
Net change in unrealized
appreciation
(depreciation) from
investments............ 546,135 26,826,127 (4,076,264) (2,933,662) (4,214,012) (4,848,094)
------------ ------------ ------------ ------------ ------------ ------------
Change in net assets
resulting from
operations............... 1,125,656 26,193,701 744,555 6,626,476 751,008 5,307,464
------------ ------------ ------------ ------------ ------------ ------------
DISTRIBUTIONS TO
SHAREHOLDERS:
From net investment
income................. (3,986,689) (4,687,998) (9,937,959) (9,873,883) (10,311,704) (9,671,328)
------------ ------------ ------------ ------------ ------------ ------------
Change in net assets from
shareholder
distributions............ (3,986,689) (4,687,998) (9,937,959) (9,873,883) (10,311,704) (9,671,328)
------------ ------------ ------------ ------------ ------------ ------------
CAPITAL TRANSACTIONS:
Proceeds from shares
issued................. 4,348,990 10,211,760 12,654,373 32,988,073 8,820,091 21,068,492
Dividends reinvested... 3,986,689 4,687,998 9,937,959 9,873,883 10,311,703 9,671,328
Cost of shares
redeemed............... (10,184,610) (11,967,069) (8,769,807) (17,634,769) (11,046,833) (23,038,659)
------------ ------------ ------------ ------------ ------------ ------------
Change in net assets from
capital transactions..... (1,848,931) 2,932,689 13,822,525 25,227,187 8,084,961 7,701,161
------------ ------------ ------------ ------------ ------------ ------------
Change in net assets....... (4,709,964) 24,438,392 4,629,121 21,979,780 (1,475,735) 3,337,297
------------ ------------ ------------ ------------ ------------ ------------
NET ASSETS:
Beginning of period...... 179,240,158 154,801,766 189,746,705 167,766,925 211,642,357 208,305,060
------------ ------------ ------------ ------------ ------------ ------------
End of period............ $174,530,194 $179,240,158 $194,375,826 $189,746,705 $210,166,622 $211,642,357
============ ============ ============ ============ ============ ============
SHARE TRANSACTIONS:
Issued................... 301,281 768,265 1,111,169 2,862,607 766,205 1,799,040
Reinvested............... 279,180 387,758 879,465 873,795 902,161 840,254
Redeemed................. (710,836) (911,067) (771,209) (1,529,757) (963,882) (1,982,732)
------------ ------------ ------------ ------------ ------------ ------------
Change in Shares........... (130,375) 244,956 1,219,425 2,206,645 704,484 656,562
============ ============ ============ ============ ============ ============
</Table>
See notes to financial statements.
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
58
INVESTMENT TRUST SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
<Table>
<Caption>
INVESTMENT ACTIVITIES DISTRIBUTIONS
---------------------------------------- -------------------------------------
NET REALIZED
NET ASSET NET AND UNREALIZED TOTAL
VALUE, INVESTMENT GAINS FROM NET NET
BEGINNING INCOME (LOSSES) ON INVESTMENT INVESTMENT REALIZED TOTAL
OF PERIOD (LOSS) INVESTMENTS ACTIVITIES INCOME GAINS DISTRIBUTIONS
--------- ---------- -------------- ---------- ---------- -------- -------------
MIDCAP GROWTH PORTFOLIO
Six Months Ended June 30, 2004
(Unaudited)....................... $15.69 $(0.07) $ 0.95 $ 0.88 $ -- $ -- $ --
Period Ended December 31, 2003.... 12.34 (0.04) 3.39 3.35 -- -- --
Period Ended December 31, 2002.... 15.45 (0.05) (3.06) (3.11) -- -- --
Period Ended December 31, 2001.... 21.23 (0.06) (2.53) (2.59) -- (3.19) (3.19)
Period Ended December 31, 2000.... 20.55 (0.08) 1.34 1.26 -- (0.58) (0.58)
Period Ended December 31, 1999.... 18.52 (0.03) 4.73 4.70 -- (2.67) (2.67)
MID CAP VALUE PORTFOLIO
Six Months Ended June 30, 2004
(Unaudited)....................... 13.78 0.05 0.83 0.88 (0.07) -- (0.07)
Period Ended December 31, 2003.... 10.45 0.07 3.33 3.40 (0.07) -- (0.07)
Period Ended December 31, 2002.... 12.68 0.07 (1.55) (1.48) -- (0.75) (0.75)
Period Ended December 31, 2001.... 13.16 0.08 0.45 0.53 (0.08) (0.93) (1.01)
Period Ended December 31, 2000.... 10.39 0.11 2.77 2.88 (0.11) --(a) (0.11)
Period Ended December 31, 1999.... 10.70 0.11 (0.31) (0.20) (0.11) -- (0.11)
DIVERSIFIED MID CAP PORTFOLIO
Six Months Ended June 30, 2004
(Unaudited)....................... 15.50 -- 0.67 0.67 (0.03) -- (0.03)
Period Ended December 31, 2003.... 11.91 0.03 3.59 3.62 (0.03) -- (0.03)
Period Ended December 31, 2002.... 14.49 0.03 (2.61) (2.58) -- -- --
Period Ended December 31, 2001.... 17.83 0.04 (0.95) (0.91) (0.04) (2.39) (2.43)
Period Ended December 31, 2000.... 15.18 0.06 2.88 2.94 (0.07) (0.22) (0.29)
Period Ended December 31, 1999.... 14.76 0.03 1.50 1.53 (0.02) (1.09) (1.11)
LARGE CAP GROWTH PORTFOLIO
Six Months Ended June 30, 2004
(Unaudited)....................... 12.51 0.01 0.29 0.30 (0.03) -- (0.03)
Period Ended December 31, 2003.... 9.82 0.03 2.67 2.70 (0.01) -- (0.01)
Period Ended December 31, 2002.... 13.73 0.01 (3.92) (3.91) -- -- --
Period Ended December 31, 2001.... 20.07 (0.01) (4.01) (4.02) -- (2.32) (2.32)
Period Ended December 31, 2000.... 26.56 (0.03) (5.93) (5.96) -- (0.53) (0.53)
Period Ended December 31, 1999.... 22.63 0.02 6.60 6.62 (0.04) (2.65) (2.69)
DIVERSIFIED EQUITY PORTFOLIO
Six Months Ended June 30, 2004
(Unaudited)....................... 14.19 0.04 0.11 0.15 (0.10) -- (0.10)
Period Ended December 31, 2003.... 11.35 0.10 2.82 2.92 (0.08) -- (0.08)
Period Ended December 31, 2002.... 14.89 0.08 (3.62) (3.54) -- -- --
Period Ended December 31, 2001.... 16.74 0.07 (1.85) (1.78) (0.07) -- (0.07)
Period Ended December 31, 2000.... 17.57 0.07 (0.83) (0.76) (0.07) -- (0.07)
Period Ended December 31, 1999.... 17.80 0.10 1.51 1.61 (0.10) (1.74) (1.84)
EQUITY INDEX PORTFOLIO
Six Months Ended June 30, 2004
(Unaudited)....................... 9.72 0.06 0.25 0.31 (0.11) -- (0.11)
Period Ended December 31, 2003.... 7.69 0.11 2.01 2.12 (0.09) -- (0.09)
Period Ended December 31, 2002.... 9.92 0.09 (2.32) (2.23) -- -- --
Period Ended December 31, 2001.... 11.42 0.09 (1.50) (1.41) (0.09) -- (0.09)
Period Ended December 31, 2000.... 12.94 0.13 (1.32) (1.19) (0.13) (0.20) (0.33)
Period Ended December 31, 1999.... 10.97 0.17 2.13 2.30 (0.17) (0.16) (0.33)
BALANCED PORTFOLIO
Six Months Ended June 30, 2004
(Unaudited)....................... 14.49 0.31 (0.22) 0.09 (0.32) -- (0.32)
Period Ended December 31, 2003.... 12.77 0.32 1.80 2.12 (0.40) -- (0.40)
Period Ended December 31, 2002.... 14.48 0.40 (2.09) (1.69) --(a) (0.02) (0.02)
Period Ended December 31, 2001.... 15.48 0.39 (0.95) (0.56) (0.38) (0.06) (0.44)
Period Ended December 31, 2000.... 15.68 0.39 (0.13) 0.26 (0.45) (0.01) (0.46)
Period Ended December 31, 1999.... 15.14 0.39 0.83 1.22 (0.38) (0.30) (0.68)
BOND PORTFOLIO
Six Months Ended June 30, 2004
(Unaudited)....................... 11.58 0.25 (0.19) 0.06 (0.60) -- (0.60)
Period Ended December 31, 2003.... 11.83 0.59 (0.15) 0.44 (0.69) -- (0.69)
Period Ended December 31, 2002.... 10.80 0.70 0.37 1.07 --(a) (0.04) (0.04)
Period Ended December 31, 2001.... 10.57 0.69 0.23 0.92 (0.69) -- (0.69)
Period Ended December 31, 2000.... 9.98 0.61 0.58 1.19 (0.60) -- (0.60)
Period Ended December 31, 1999.... 10.73 0.60 (0.76) (0.16) (0.59) -- (0.59)
GOVERNMENT BOND PORTFOLIO
Six Months Ended June 30, 2004
(Unaudited)....................... 11.67 0.25 (0.19) 0.06 (0.57) -- (0.57)
Period Ended December 31, 2003.... 11.92 0.56 (0.26) 0.30 (0.55) -- (0.55)
Period Ended December 31, 2002.... 10.62 0.55 0.75 1.30 --(a) -- --
Period Ended December 31, 2001.... 10.50 0.61 0.12 0.73 (0.61) -- (0.61)
Period Ended December 31, 2000.... 9.96 0.61 0.55 1.16 (0.62) -- (0.62)
Period Ended December 31, 1999.... 10.64 0.56 (0.70) (0.14) (0.54) -- (0.54)
</Table>
- ------------
(a) Amount is less than 0.01.
See notes to Financial Statements.
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
59
- --------------------------------------------------------------------------------
<Table>
<Caption>
RATIOS/SUPPLEMENTARY DATA
---------------------------------------
RATIO OF RATIO OF NET
NET ASSET NET ASSETS, EXPENSES INVESTMENT
VALUE, END OF TO INCOME
END OF TOTAL PERIOD AVERAGE TO AVERAGE
PERIOD RETURN (000'S) NET ASSETS NET ASSETS
--------- -------- ----------- ---------- ------------
MIDCAP GROWTH PORTFOLIO
Six Months Ended June 30, 2004
(Unaudited)............................ $16.57 5.61% $195,376 0.83% (0.34)%
Period Ended December 31, 2003........ 15.69 27.15 195,606 0.84 (0.27)
Period Ended December 31, 2002........ 12.34 (20.13) 144,108 0.83 (0.37)
Period Ended December 31, 2001........ 15.45 (10.65) 192,708 0.82 (0.37)
Period Ended December 31, 2000........ 21.23 5.79 203,070 0.87 (0.40)
Period Ended December 31, 1999........ 20.55 25.42 140,451 0.92 (0.21)
MID CAP VALUE PORTFOLIO
Six Months Ended June 30, 2004
(Unaudited)............................ 14.59 6.43 114,897 0.91 0.70
Period Ended December 31, 2003........ 13.78 32.75 112,372 0.93 0.65
Period Ended December 31, 2002........ 10.45 (12.85) 76,913 0.95 0.61
Period Ended December 31, 2001........ 12.68 4.80 82,331 0.95 0.67
Period Ended December 31, 2000........ 13.16 27.91 65,157 0.95 1.03
Period Ended December 31, 1999........ 10.39 (1.84) 28,489 0.95 1.10
DIVERSIFIED MID CAP PORTFOLIO
Six Months Ended June 30, 2004
(Unaudited)............................ 16.14 4.33 59,205 0.93 0.03
Period Ended December 31, 2003........ 15.50 30.44 59,207 0.94 0.24
Period Ended December 31, 2002........ 11.91 (17.81) 43,303 0.95 0.20
Period Ended December 31, 2001........ 14.49 (4.03) 50,785 0.95 0.24
Period Ended December 31, 2000........ 17.83 19.45 42,554 0.95 0.35
Period Ended December 31, 1999........ 15.18 10.50 21,625 0.92 0.26
LARGE CAP GROWTH PORTFOLIO
Six Months Ended June 30, 2004
(Unaudited)............................ 12.77 2.32 197,524 0.81 0.14
Period Ended December 31, 2003........ 12.51 27.54 205,662 0.81 0.26
Period Ended December 31, 2002........ 9.82 (28.48) 169,693 0.92 0.68
Period Ended December 31, 2001........ 13.73 (20.28) 259,557 0.81 (0.06)
Period Ended December 31, 2000........ 20.07 (22.96) 327,602 0.85 (0.14)
Period Ended December 31, 1999........ 26.56 29.26 360,018 0.88 0.08
DIVERSIFIED EQUITY PORTFOLIO
Six Months Ended June 30, 2004
(Unaudited)............................ 14.24 1.08 158,823 0.91 0.61
Period Ended December 31, 2003........ 14.19 25.93 161,287 0.91 0.85
Period Ended December 31, 2002........ 11.35 (23.77) 116,329 0.92 0.68
Period Ended December 31, 2001........ 14.89 (10.61) 130,009 0.92 0.49
Period Ended December 31, 2000........ 16.74 (4.36) 109,519 0.95 0.40
Period Ended December 31, 1999........ 17.57 9.13 71,066 0.95 0.54
EQUITY INDEX PORTFOLIO
Six Months Ended June 30, 2004
(Unaudited)............................ 9.92 3.16 127,768 0.49 1.13
Period Ended December 31, 2003........ 9.72 27.98 126,733 0.50 1.32
Period Ended December 31, 2002........ 7.69 (22.48) 89,012 0.50 1.15
Period Ended December 31, 2001........ 9.92 (12.34) 104,301 0.50 0.90
Period Ended December 31, 2000........ 11.42 (9.48) 96,305 0.55 1.06
Period Ended December 31, 1999........ 12.94 21.11 55,128 0.55 1.67
BALANCED PORTFOLIO
Six Months Ended June 30, 2004
(Unaudited)............................ 14.26 0.65 174,530 0.88 2.04
Period Ended December 31, 2003........ 14.49 17.20 179,240 0.88 2.37
Period Ended December 31, 2002........ 12.77 (11.68) 154,802 0.88 2.77
Period Ended December 31, 2001........ 14.48 (3.57) 196,030 0.87 2.60
Period Ended December 31, 2000........ 15.48 1.65 208,568 0.90 2.58
Period Ended December 31, 1999........ 15.68 8.20 183,980 0.95 2.74
BOND PORTFOLIO
Six Months Ended June 30, 2004
(Unaudited)............................ 11.04 0.40 194,376 0.75 4.96
Period Ended December 31, 2003........ 11.58 3.87 189,747 0.75 5.50
Period Ended December 31, 2002........ 11.83 9.99 167,767 0.75 6.38
Period Ended December 31, 2001........ 10.80 8.85 138,259 0.75 6.57
Period Ended December 31, 2000........ 10.57 12.20 102,967 0.75 6.12
Period Ended December 31, 1999........ 9.98 (1.50) 67,844 0.75 5.86
GOVERNMENT BOND PORTFOLIO
Six Months Ended June 30, 2004
(Unaudited)............................ 11.15 0.32 210,167 0.62 4.69
Period Ended December 31, 2003........ 11.67 2.54 211,642 0.62 4.76
Period Ended December 31, 2002........ 11.92 12.26 208,305 0.63 5.33
Period Ended December 31, 2001........ 10.62 7.05 151,391 0.62 5.93
Period Ended December 31, 2000........ 10.50 12.00 103,385 0.67 6.25
Period Ended December 31, 1999........ 9.96 (1.31) 64,159 0.73 5.68
<Caption>
RATIOS/SUPPLEMENTARY DATA
---------------------------
RATIO OF
EXPENSES
TO AVERAGE
NET ASSETS PORTFOLIO
WITHOUT WAIVERS TURNOVER
--------------- ---------
MIDCAP GROWTH PORTFOLIO
Six Months Ended June 30, 2004
(Unaudited)............................ 0.85% 14.16%
Period Ended December 31, 2003........ 0.86 69.36
Period Ended December 31, 2002........ 0.85 76.18
Period Ended December 31, 2001........ 0.83 91.65
Period Ended December 31, 2000........ 0.87 161.73
Period Ended December 31, 1999........ 0.92 167.61
MID CAP VALUE PORTFOLIO
Six Months Ended June 30, 2004
(Unaudited)............................ 0.95 14.81
Period Ended December 31, 2003........ 0.97 53.98
Period Ended December 31, 2002........ 0.98 106.23
Period Ended December 31, 2001........ 0.97 103.19
Period Ended December 31, 2000........ 1.00 141.27
Period Ended December 31, 1999........ 1.02 198.01
DIVERSIFIED MID CAP PORTFOLIO
Six Months Ended June 30, 2004
(Unaudited)............................ 0.97 32.15
Period Ended December 31, 2003........ 0.98 78.97
Period Ended December 31, 2002........ 1.00 29.33
Period Ended December 31, 2001........ 0.98 51.60
Period Ended December 31, 2000........ 0.99 76.98
Period Ended December 31, 1999........ 1.03 58.77
LARGE CAP GROWTH PORTFOLIO
Six Months Ended June 30, 2004
(Unaudited)............................ 0.83 26.28
Period Ended December 31, 2003........ 0.83 48.81
Period Ended December 31, 2002........ 0.93 71.44
Period Ended December 31, 2001........ 0.82 74.80
Period Ended December 31, 2000........ 0.85 96.20
Period Ended December 31, 1999........ 0.88 94.18
DIVERSIFIED EQUITY PORTFOLIO
Six Months Ended June 30, 2004
(Unaudited)............................ 0.92 11.55
Period Ended December 31, 2003........ 0.93 32.19
Period Ended December 31, 2002........ 0.93 17.72
Period Ended December 31, 2001........ 0.93 23.67
Period Ended December 31, 2000........ 0.95 24.72
Period Ended December 31, 1999........ 0.97 91.90
EQUITY INDEX PORTFOLIO
Six Months Ended June 30, 2004
(Unaudited)............................ 0.49 2.66
Period Ended December 31, 2003........ 0.51 0.62
Period Ended December 31, 2002........ 0.51 4.99
Period Ended December 31, 2001........ 0.51 1.13
Period Ended December 31, 2000........ 0.55 3.51
Period Ended December 31, 1999........ 0.58 1.50
BALANCED PORTFOLIO
Six Months Ended June 30, 2004
(Unaudited)............................ 0.88 13.31
Period Ended December 31, 2003........ 0.89 35.61
Period Ended December 31, 2002........ 0.89 29.05
Period Ended December 31, 2001........ 0.88 34.45
Period Ended December 31, 2000........ 0.90 33.38
Period Ended December 31, 1999........ 0.95 60.13
BOND PORTFOLIO
Six Months Ended June 30, 2004
(Unaudited)............................ 0.81 8.11
Period Ended December 31, 2003........ 0.81 21.40
Period Ended December 31, 2002........ 0.81 25.68
Period Ended December 31, 2001........ 0.79 22.83
Period Ended December 31, 2000........ 0.80 6.62
Period Ended December 31, 1999........ 0.85 7.50
GOVERNMENT BOND PORTFOLIO
Six Months Ended June 30, 2004
(Unaudited)............................ 0.63 7.71
Period Ended December 31, 2003........ 0.63 22.82
Period Ended December 31, 2002........ 0.63 16.09
Period Ended December 31, 2001........ 0.62 24.85
Period Ended December 31, 2000........ 0.67 25.17
Period Ended December 31, 1999........ 0.73 55.15
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
60
INVESTMENT TRUST SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS
(UNAUDITED)
1. ORGANIZATION:
One Group Investment Trust (the "Trust") is registered under the Investment
Company Act of 1940, as amended (the "1940 Act"), as an open-end investment
company established as a Massachusetts business trust. The accompanying
financial statements and financial highlights are those of the 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").
Under the Trust's organizational documents, its officers and trustees are
indemnified against certain liabilities arising out of the performance of
their duties to the Trust. In addition, in the normal course of business, the
Trust enters into contracts with their vendors and others that provide for
general indemnifications. The Trust's maximum exposure under these
arrangements is unknown as this would involve future claims that may be made
against the Trust.
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
assumption 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 closing prices as determined by the
primary exchange where such securities are traded. Unlisted securities or
listed securities for which latest sales prices are not available are
valued at the mean of the latest bid and ask price on the principal
exchange market or where such securities are normally traded. Corporate
debt securities, debt securities issued by the U.S. Treasury or U.S.
government agency (other than short-term investments maturing in less than
61 days), and 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 less than 61 days are
valued at amortized cost, which approximates market value. Futures
contracts are valued at the settlement price established each day by the
board of trade or exchange on which they are traded. Options traded on an
exchange are valued using the last sale price or, in the absence of a sale,
the mean of the latest bid and ask prices. Options traded over-the-counter
are valued using dealer-supplied valuations. Investments for which the
above valuation procedures are inappropriate, when valuations are not
readily available or when valuations are deemed not to reflect fair value
are stated at fair value as determined in good faith under procedures
approved by the Board of Trustees.
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, and an illiquid secondary market
for the instruments or inability of counterparties to perform under the
terms of the contract. The Portfolios enter into these contracts primarily
as a means to hedge against adverse fluctuation 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 a Portfolio 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.
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
61
INVESTMENT TRUST SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED
(UNAUDITED)
Upon entering into a futures contract, the Portfolios are required to
pledge to the broker an amount of cash, U.S. government securities or other
assets, equal to a certain percentage of the contract amount. This is known
as the initial margin deposit. Subsequent payments, known as variation
margin, are made or received by the Funds each day, depending on the daily
fluctuations in fair value of the underlying index. The Funds recognize a
gain or loss equal to the variation margin.
The Funds did not hold any futures as of June 30, 2004.
INDEXED SECURITIES
The Portfolios, other than Equity Index Portfolio, may invest in indexed
securities whose value is linked either directly or inversely to changes in
foreign currency, interest rates, commodities, indices or other reference
instruments. Indexed securities may be more volatile than the referenced
instrument itself, but any loss is limited to the amount of the original
investment.
REPURCHASE AGREEMENTS
The Portfolios may invest in repurchase agreements with institutions that
are deemed by Banc One Investment Advisors Corporation (the "Advisor") to
be of good standing and creditworthy under guidelines established by the
Board of Trustees. Each repurchase agreement is valued at cost and the
underlying collateral is valued at or above the value of the repurchase
agreement plus accrued interest. The Portfolio requires that the collateral
received in a repurchase agreement transaction be transferred to a
custodian in a manner sufficient to enable the Portfolio to obtain the
collateral in the event of a counterparty default. If the counterparty
defaults and the fair value of the collateral declines, realization of the
collateral by the Portfolios may be delayed or limited. The Portfolios,
along with certain other affiliates of the Portfolios, may transfer
uninvested cash balances into one or more joint trading accounts. The
balances are invested in one or more repurchase agreements, which are fully
collateralized by U.S. Treasury or U.S. government agency obligations with
counterparties approved by the Board of Trustees, consistent with the
Portfolio's investment policy.
SECURITIES LENDING
To generate additional income, each Portfolio may lend up to 33 1/3% of its
assets pursuant to agreements requiring that the loan be continuously
secured by any combination of cash, U.S. government or U.S. government
agency securities, shares of an investment trust or mutual fund, or letters
of credit as collateral equal at all times to at least 100% of the market
value plus accrued interest on the securities lent. The cash collateral
received by the Funds was pooled and at June 30, 2004, was invested in
Repurchase Agreements (with interest rates ranging from 1.30% to 1.57% and
maturity date of July 1, 2004), Commercial Paper (with interest rates of
1.23% and maturity dates of March 11, 2005) and Master Notes (with interest
rates ranging from 1.16% to 1.80% and maturity dates ranging from July 1,
2004 to February 27, 2006). Information on the investment of cash
collateral is shown in the Schedule of Portfolio Investments. 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 income on the investment of cash collateral.
Collateral is marked to market daily to provide a level of collateral at
least equal to the market value of securities lent. There may be risks of
delay in recovery of the securities or even loss of rights in the
collateral should the borrower of the securities fail financially. However,
loans will be made only to borrowers deemed by the Advisor to be of good
standing and creditworthy under guidelines established by the Board of
Trustees and when, in the judgement of the Advisor, the consideration which
can be earned currently from such securities loans justifies the attendant
risks. Loans are subject to termination by the Portfolios or the borrower
at any time, and are, therefore, not considered to be illiquid investments.
Bank One Trust Company N.A., an affiliate of the Advisor, serves as
sub-custodian for the securities lending program.
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
62
INVESTMENT TRUST SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED
(UNAUDITED)
Bank One Trust Company, NA receives a sub-custody fee based on the value of
collateral received from borrowers. As of June 30, 2004, the following
Portfolios had securities with the following market values on loan:
<Table>
<Caption>
SUB-CUSTODY MARKET VALUE MARKET VALUE OF
FUND FEES PAID OF COLLATERAL* LOANED SECURITIES
---- ----------- -------------- -----------------
Mid Cap Growth Portfolio............................. $12,024 $20,897,661 $20,487,354
Mid Cap Value Portfolio.............................. 3,553 8,832,135 8,658,726
Diversified Mid Cap Portfolio........................ 2,402 1,863,365 1,826,780
Large Cap Growth Portfolio........................... 3,703 1,875,430 1,838,608
Diversified Equity Portfolio......................... 3,746 11,211,806 10,991,672
Equity Index Portfolio............................... 3,583 4,294,355 4,210,039
Balanced Portfolio................................... 9,336 27,051,171 26,657,712
Bond Portfolio....................................... 7,409 23,466,835 23,089,787
Government Bond Portfolio............................ 5,127 13,750,366 13,340,177
</Table>
-----------------
* Includes securities and cash collateral
SECURITIES TRANSACTIONS AND RELATED INCOME
Changes in holdings of portfolio securities shall be reflected no later
than in the first calculation on the first business day following the trade
date. 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 amortization and
discount accretion for both financial reporting and tax purposes.
Amortization and accretion are calculated using the effective interest
method.
EXPENSES
Direct expenses of a Portfolio are allocated to that Portfolio. The general
expenses of the Trust are allocated among the respective Portfolios.
DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS
Dividends from net investment income, if any, are declared and paid
annually for the Portfolios. 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 mortgage-backed securities, expiring
capital loss carryforwards and deferrals of certain losses. Permanent book
and tax basis differences have been reclassified among the components of
net assets.
FEDERAL INCOME TAX
The Portfolios' policy is to continue to comply with the requirements of
the Internal Revenue Code that are applicable to regulated investment
companies and to distribute all its taxable income to its shareholders.
Therefore, no federal income tax provision is required.
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
63
INVESTMENT TRUST SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED
(UNAUDITED)
3. INVESTMENT ADVISORY AND ADMINISTRATION AGREEMENTS:
The Trust and the Advisor are parties to an investment advisory agreement
under which the Advisor is entitled to a fee, computed daily and paid
monthly, of the following annual percentages of the average daily net assets
of each Portfolio:
<Table>
<Caption>
ADVISORY
FUND FEE
---- --------
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 One Group Administrative Services, Inc., (the "Administrator")
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 (other than the assets in the Equity Index Portfolio) and 0.14% on
Trust average daily net assets of $250 (other than the assets in 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.
When the Portfolios invest in One Group Money Market Funds, the Advisor and
the Administrator will waive a portion of its fees to eliminate duplication
of fees. These waivers effectively reduce the advisory and administrative
fees paid by the Portfolios, and are reflected in waivers on the Statements
of Operations.
Certain officers of the Trust are affiliated with the Advisor and the
Administrator. Such officers receive no compensation from the Portfolios for
serving in their respective roles.
The Trust adopted a Trustee Deferred Compensation Plan (the "Plan") which
allows the independent Trustees to defer the receipt of all or a portion of
compensation related to performance of their duties as a Trustee. The
deferred fees are invested in various One Group Mutual Funds until
distribution in accordance with the Plan.
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
Continued
64
INVESTMENT TRUST SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
NOTES TO FINANCIAL STATEMENTS, CONTINUED
(UNAUDITED)
4. SECURITIES TRANSACTIONS:
The cost of security purchases and the proceeds from the sale of securities
(excluding short-term securities and financial futures) for the period ended
June 30, 2004, were as follows:
<Table>
<Caption>
FUND PURCHASES SALES
---- --------- -----
Mid Cap Growth Portfolio.................................... $27,646,967 $38,520,289
Mid Cap Value Portfolio..................................... 16,300,549 21,742,353
Diversified Mid Cap Portfolio............................... 18,368,477 23,851,056
Large Cap Growth Portfolio.................................. 50,858,163 61,881,930
Diversified Equity Portfolio................................ 18,066,615 19,718,523
Equity Index Portfolio...................................... 3,799,058 3,358,343
Balanced Portfolio.......................................... 23,475,358 26,225,815
Bond Portfolio.............................................. 20,499,401 15,081,384
Government Bond Portfolio................................... 16,530,370 15,709,880
</Table>
5. SUBSEQUENT EVENTS:
On July 1, 2004, Bank One Corporation, the former corporate parent of the
Advisor and Administrator, merged into JPMorgan Chase & Co. On that date the
Advisor became an affiliate of J.P. Morgan Investment Management Inc.
("JPMIM"), the investment adviser to the JPMorgan Funds. The Advisor and
JPMIM will continue as separate investment advisory entities, for the
foreseeable future, and will continue to provide the same investment advisory
services provided to the Trust and the JPMorgan Funds, respectively.
On August 12, 2004, the Board of Trustees of the Trust approved an agreement
with JPMorgan Chase Bank, an affiliate of the Advisor and the Administrator
to act as the Funds' custodian. The transition of the custody
responsibilities to JPMorgan Chase Bank is expected to be completed by
December 2004 and is not anticipated to have a significant impact on the
Funds' operations or their expenses.
Additionally, on August 12, 2004, the Board of Trustees approved the
appointment of JPMorgan Chase Bank as securities lending agent for the Trust
that are permitted to lend their securities concurrent with the appointment
of JPMorgan Chase Bank as custodian. Upon appointment of JPMorgan Chase Bank
as securities lending agent, Bank One Trust Company, N.A. will no longer
serve as sub-custodian.
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
65
INVESTMENT TRUST SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
TRUSTEES
<Table>
<Caption>
NAME AND ADDRESS(1)
BIRTHDATE OTHER DIRECTORSHIPS
TIME SERVED WITH THE TRUST PRINCIPAL OCCUPATION DURING THE PAST FIVE YEARS HELD BY TRUSTEE
- ---------------------------- ------------------------------------------------------------ --------------------
Peter C. Marshall From March 2002 to present, self-employed as a business None
12/10/42 consultant; March 2000 to February 2002, Senior Vice
5/16/94 - present President, W.D. Hoard, Inc. (corporate parent of DCI
Marketing, Inc.); November 1993 to March 2000, President DCI
Marketing, Inc.
Frederick W. Ruebeck From April 2000 to present, Advisor, Jerome P. Green & None
10/8/39 Associates, LLC (a broker-dealer); January 2000 to April
5/16/94 - present 2000, self-employed as a consultant; June 1988 to December
1999, Director of Investments, Eli Lilly and Company.
Robert A. Oden, Jr. From July 2002 to present, President, Carleton College; 1995 None
9/11/46 to July 2002, President, Kenyon College.
6/25/97 - present
John F. Finn From 1975 to present, President, Gardner, Inc. (wholesale Director, Cardinal
11/15/47 distributor to outdoor power equipment industry). Health, Inc.
5/21/98 - present
Marilyn McCoy From 1985 to present, Vice President of Administration and None
3/18/48 Planning, Northwestern University.
4/28/99 - present
Julius L. Pallone From 1994 to present, President, J.L. Pallone Associates None
5/26/30 (insurance consultant).
4/28/99 - present
Donald L. Tuttle From 1995 to present, Vice President, Association for None
10/6/34 Investment Management and Research.
4/28/99 - present
</Table>
- ------------
(1) The address of each Trustee is 1111 Polaris Parkway, Columbus, OH 43240. The
term of office for each Trustee is indefinite except in the case of Mr.
Pallone whose term expires on June 30, 2005. As of June 30, 2004, there were
58 portfolios within the Fund complex.
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
66
INVESTMENT TRUST SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
OFFICERS
<Table>
<Caption>
NAME AND ADDRESS(1)
BIRTHDATE
POSITION HELD AND
TIME SERVED WITH THE TRUST PRINCIPAL OCCUPATION DURING THE PAST FIVE YEARS
- ---------------------------- ------------------------------------------------------------
David J. Kundert From 1995 to present, Chairman and Chief Executive Officer,
10/28/42 Bank One Investment Management Group. Since 1992, President
President and Chief Executive Officer, Banc One Investment Advisors
10/15/03 - present Corporation; Director, Banc One Investment Advisors
Corporation, One Group Dealer Services, Inc., and One Group
Administrative Services, Inc.
Beverly J. Langley From June 1992 to present, Senior Compliance Director of
10/4/56 Banc One Investment Advisors Corporation.
Vice President
8/15/02 - present
Nadeem Yousaf(2) From August 1999 to present, Vice President, Financial
1/26/69 Services, BISYS Fund Services, Inc. From March 1997 to June
Treasurer 1999, Director of Canadian Operations, Investor Bank and
11/13/03 - present Trust.
Scott E. Richter From February 2003 to present, Senior Associate General
7/4/56 Counsel, Bank One Corporation. From November 1998 to January
Secretary 2003, Deputy General Counsel, Institutional Division,
10/15/03 - present INVESCO. From January 1997 to October 1998, Associate
General Counsel, Piper Capital Management.
Jessica K. Ditullio From January 2000 to present, First Vice President and
9/19/62 Counsel, Bank One Corporation. From August 1990 to January
Assistant Secretary 2000, Counsel, Bank One Corporation.
1/1/00 - present
Nancy E. Fields From October 1999 to present, Director, Mutual Fund
6/22/49 Administration, One Group Administrative Services, Inc. and
Assistant Secretary Senior Project Manager, Mutual Funds, One Group Dealer
1/1/00 - present Services, Inc. From July 1999 to October 1999, Project
Manager, One Group, Banc One Investment Advisors Corp. From
January 1998 to July 1999, Vice President, Ohio Bankers
Association. From July 1990 through December 1997, Vice
President, Client Services, BISYS Fund Services, Inc.
Alaina Metz From January 2002 to present, Vice President, Regulatory
4/7/67 Services, BISYS Fund Services, Inc. From June 1995 to
Assistant Secretary January 2002, Chief Administrative Officer, Blue Sky
11/1/95 - present Compliance, BISYS Fund Services, Inc.
</Table>
- ------------
(1) The address of each officer is 1111 Polaris Parkway, Columbus, OH 43240. The
term of office for each Officer is indefinite. As of June 30, 2004, there
were 58 portfolios within the Fund complex.
(2) On July 12, 2004, Stephanie J. Dorsey was appointed to serve as Treasurer to
the Trust.
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
67
INVESTMENT TRUST SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
SHAREHOLDER EXPENSE EXAMPLE
HYPOTHETICAL $1,000 INVESTMENT AT BEGINNING OF PERIOD
JUNE 30, 2004
(UNAUDITED)
As a shareholder of the Portfolios, you incur two types of costs: (1)
transaction costs, including sales charges (loads) on purchase payments and
redemption fees; and (2) ongoing costs, including investment advisory fees,
administration fees and other Portfolio expenses. The examples below are
intended to help you understand your ongoing costs (in dollars) of investing in
the Portfolios and to compare these costs with the ongoing costs of investing in
other mutual funds. The examples assume that you had a $1,000 investment in the
Portfolio at the beginning of the reporting period, January 1, 2004, and
continued to hold your shares at the end of the reporting period, June 30, 2004.
In order to comply with newly issued regulatory requirements, the beginning
account value of this example will be $1,000. While this represents a change
from the action outlined in One Group Investment Trust's Commitment to Fund
Shareholders, this change will make it easier for shareholders to (1) estimate
their actual expenses, e.g. for shareholders holding less than $10,000 in a
fund, and (2) compare this information to similar information provided by other
mutual funds.
ACTUAL EXPENSES
For each Portfolio in the table below, the first line provides information about
actual account values and actual expenses. You may use the information in this
line, together with the amount you invested, to estimate the expenses that you
paid over the period. Simply divide your account value by $1,000 (for example,
an $8,600 account value divided by $1,000 = 8.6), then multiply the result by
the number in first line of each Portfolio under the heading entitled "Expenses
Paid During Period" to estimate the expenses you paid on your account during the
period.
HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES
The second line of each Portfolio in the table below provides information about
hypothetical account values and hypothetical expenses based on the Portfolio's
actual expense ratio and an assumed rate of return of 5% per year before
expenses, which is not the Portfolio's actual return. The hypothetical account
values and expenses may not be used to estimate the actual ending account
balance or expenses you paid for the period. You may use this information to
compare the ongoing costs of investing in the Portfolio and other funds. To do
so, compare this 5% hypothetical example with the 5% hypothetical examples that
appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not reflect any transaction costs, such as sales
charges (loads) or redemption fees. Therefore, the second line for each
Portfolio in the table is useful in comparing ongoing costs only, and will not
help you determine the relative total costs of owning different funds. In
addition, if these transaction costs were included, your costs would have been
higher. The examples also assume all dividends and distributions have been
reinvested.
<Table>
<Caption>
ENDING
BEGINNING ACCOUNT EXPENSES PAID
ACCOUNT VALUE, VALUE, JUNE DURING
JANUARY 1, 2004 30, 2004 PERIOD(1)
--------------- ------------- -------------
MID CAP GROWTH PORTFOLIO
Actual......................... $1,000 $1,056 $4.25
Hypothetical(5)................ $1,000 $1,021 $4.19
MID CAP VALUE PORTFOLIO
Actual......................... $1,000 $1,064 $4.70
Hypothetical(5)................ $1,000 $1,020 $4.61
DIVERSIFIED MID CAP PORTFOLIO
Actual......................... $1,000 $1,043 $4.74
Hypothetical(5)................ $1,000 $1,020 $4.69
LARGE CAP GROWTH PORTFOLIO
Actual......................... $1,000 $1,023 $4.10
Hypothetical(5)................ $1,000 $1,021 $4.10
DIVERSIFIED EQUITY PORTFOLIO
Actual......................... $1,000 $1,011 $4.54
Hypothetical(5)................ $1,000 $1,020 $4.57
EQUITY INDEX PORTFOLIO
Actual......................... $1,000 $1,032 $2.49
Hypothetical(5)................ $1,000 $1,023 $2.47
<Caption>
COMPONENTS OF EXPENSES PAID DURING PERIOD(1)
-----------------------------------------------
INVESTMENT ANNUALIZED
ADVISORY ADMINISTRATION OTHER EXPENSE
FEES(2) FEES(3) EXPENSES(4) RATIO
---------- -------------- ----------- ----------
MID CAP GROWTH PORTFOLIO
$3.32 $0.75 $0.18 0.83%
$3.27 $0.74 $0.18 0.83%
MID CAP VALUE PORTFOLIO
$3.80 $0.76 $0.14 0.91%
$3.73 $0.74 $0.14 0.91%
DIVERSIFIED MID CAP PORTFOLIO
$3.76 $0.75 $0.23 0.93%
$3.73 $0.74 $0.22 0.93%
LARGE CAP GROWTH PORTFOLIO
$3.27 $0.74 $0.09 0.81%
$3.27 $0.74 $0.09 0.81%
DIVERSIFIED EQUITY PORTFOLIO
$3.70 $0.74 $0.10 0.91%
$3.73 $0.74 $0.10 0.91%
EQUITY INDEX PORTFOLIO
$1.52 $0.71 $0.26 0.49%
$1.51 $0.70 $0.26 0.49%
</Table>
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
68
INVESTMENT TRUST SEMI-ANNUAL REPORT
- --------------------------------------------------------------------------------
SHAREHOLDER EXPENSE EXAMPLE
HYPOTHETICAL $1,000 INVESTMENT AT BEGINNING OF PERIOD
JUNE 30, 2004
(UNAUDITED)
<Table>
<Caption>
ENDING
BEGINNING ACCOUNT EXPENSES PAID
ACCOUNT VALUE, VALUE, JUNE DURING
JANUARY 1, 2004 30, 2004 PERIOD(1)
--------------- ------------- -------------
BALANCED PORTFOLIO
Actual......................... $1,000 $1,007 $4.39
Hypothetical(5)................ $1,000 $1,021 $4.42
BOND PORTFOLIO
Actual......................... $1,000 $1,004 $3.73
Hypothetical(5)................ $1,000 $1,021 $3.77
GOVERNMENT BOND PORTFOLIO
Actual......................... $1,000 $1,003 $3.09
Hypothetical(5)................ $1,000 $1,022 $3.14
<Caption>
COMPONENTS OF EXPENSES PAID DURING PERIOD(1)
-----------------------------------------------
INVESTMENT ANNUALIZED
ADVISORY ADMINISTRATION OTHER EXPENSE
FEES(2) FEES(3) EXPENSES(4) RATIO
---------- -------------- ----------- ----------
BALANCED PORTFOLIO
$3.49 $0.74 $0.16 0.88%
$3.52 $0.74 $0.16 0.88%
BOND PORTFOLIO
$2.81 $0.73 $0.19 0.75%
$2.84 $0.74 $0.19 0.75%
GOVERNMENT BOND PORTFOLIO
$2.24 $0.73 $0.12 0.62%
$2.27 $0.74 $0.13 0.62%
</Table>
- ------------
(1) Expenses are equal to the Portfolio's annualized expense ratio in the table
above, multiplied by the average account value over the period, multiplied
by 182/366 (to reflect the one-half year period).
(2) Investment Advisory Fees are paid to Banc One Investment Advisors
Corporation, an indirect, wholly-owned subsidiary of Bank One Corporation,
for investment advisory services. See Notes to Financial Statements for
details.
(3) Administration Fees are paid to One Group Administrative Services, Inc., an
affiliate of Bank One Corporation, for various administrative services,
including among other things fund accounting, shareholder and broker/dealer
service support, providing office space for the Portfolios, preparing and
filing various forms required by the Securities and Exchange Commission, and
working with the other service providers to the Portfolios to implement
policies established by the Board of Trustees. See Notes to Financial
Statements for details.
(4) Other Expenses are paid to various service providers that are generally not
affiliated with Bank One Corporation. The total dollar amount of these
expenses for each Portfolio is shown in the Statement of Operations and
includes items such as (i) custodian fees, (ii) legal fees, (iii) audit
fees, (iv) Trustees fees and expenses, (v) transfer agent fees, (vi)
registration fees, and (vii) printing and mailing fees.
(5) Represents the hypothetical 5% annual return before expenses.
ONE GROUP INVESTMENT TRUST SEMI-ANNUAL REPORT June 30, 2004
SEMI-ANNUAL REPORT
[ONE GROUP INVESTMENTS LOGO]
ITEM 2. CODE OF ETHICS.
Disclose whether, as of the end of the period covered by the report, the
registrant has adopted a code of ethics that applies to the registrant's
principal executive officer, principal financial officer, principal
accounting officer or controller, or persons performing similar functions,
regardless of whether these individuals are employed by the registrant or a
third party. If the registrant has not adopted such a code of ethics,
explain why it has not done so.
NOT APPLICABLE - ONLY FOR ANNUAL REPORTS.
The registrant must briefly describe the nature of any amendment, during
the period covered by the report, to a provision of its code of ethics that
applies to the registrant's principal executive officer, principal
financial officer, principal accounting officer or controller, or persons
performing similar functions, regardless of whether these individuals are
employed by the registrant or a third party, and that relates to any
element of the code of ethics definition enumerated in paragraph (b) of
this Item. The registrant must file a copy of any such amendment as an
exhibit pursuant to Item 11(a)(1), unless the registrant has elected to
satisfy paragraph (f) of this Item by posting its code of ethics on its
website pursuant to paragraph (f)(2) of this Item, or by undertaking to
provide its code of ethics to any person without charge, upon request,
pursuant to paragraph (f)(3) of this Item.
If the registrant has, during the period covered by the report, granted a
waiver, including an implicit waiver, from a provision of the code of
ethics that applies to the registrant's principal executive officer,
principal financial officer, principal accounting officer or controller, or
persons performing similar functions, regardless of whether these
individuals are employed by the registrant or a third party, that relates
to one or more items set forth in paragraph (b) of this Item, the
registrant must briefly describe the nature of the waiver, the name of the
person to whom the waiver was granted, and the date of the waiver.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) Disclose that the registrant's board of directors has
determined that the registrant either:
(i) Has at least one audit committee financial expert serving on
its audit committee; or
(ii) Does not have an audit committee financial expert serving on
its audit committee.
(2) If the registrant provides the disclosure required by paragraph
(a)(1)(i) of this Item, it must disclose the name of the audit
committee financial expert and whether that person is "independent."
In order to be considered "independent" for purposes of this Item, a
member of an audit committee may not, other than in his or her
capacity as a member of the audit committee, the board of directors,
or any other board committee:
(i) Accept directly or indirectly any consulting, advisory, or
other compensatory fee from the issuer; or
(ii) Be an "interested person" of the investment company as
defined in Section 2(a)(19) of the Act (15 U.S.C. 80a- 2(a)(19)).
(3) If the registrant provides the disclosure required by paragraph
(a)(1)(ii) of this Item, it must explain why it does not have an audit
committee financial expert.
NOT APPLICABLE - ONLY FOR ANNUAL REPORTS.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Disclose, under the caption Audit Fees, the aggregate fees billed
for each of the last two fiscal years for professional services rendered by the
principal accountant for the audit of the registrant's annual financial
statements or services that are normally provided by the accountant in
connection with statutory and regulatory filings or engagements for those fiscal
years.
(b) Disclose, under the caption Audit-Related Fees, the aggregate fees
billed in each of the last two fiscal years for assurance and related services
by the principal accountant that are reasonably related to the performance of
the audit of the registrant's financial statements and are not reported under
paragraph (a) of this Item. Registrants shall describe the nature of the
services comprising the fees disclosed under this category.
(c) Disclose, under the caption Tax Fees, the aggregate fees billed in
each of the last two fiscal years for professional services rendered by the
principal accountant for tax compliance, tax advice, and tax planning.
Registrants shall describe the nature of the services comprising the fees
disclosed under this category.
(d) Disclose, under the caption All Other Fees, the aggregate fees
billed in each of the last two fiscal years for products and services provided
by the principal accountant, other than the services reported in paragraphs (a)
through (c) of this Item. Registrants shall describe the nature of the services
comprising the fees disclosed under this category.
(e) (1) Disclose the audit committee's pre-approval policies and
procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
(2) Disclose the percentage of services described in each of
paragraphs (b) through (d) of this Item that were approved by the audit
committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
(f) If greater than 50 percent, disclose the percentage of hours
expended on the principal accountant's engagement to audit the registrant's
financial statements for the most recent fiscal year that were attributed to
work performed by persons other than the principal accountant's full-time,
permanent employees.
(g) Disclose the aggregate non-audit fees billed by the registrant's
accountant for services rendered to the registrant, and rendered to the
registrant's investment adviser (not including any sub-adviser whose role is
primarily portfolio management and is subcontracted with or overseen by another
investment adviser), and any entity controlling, controlled by, or under common
control with the adviser that provides ongoing services to the registrant for
each of the last two fiscal years of the registrant.
(h) Disclose whether the registrant's audit committee of the board of
directors has considered whether the provision of nonaudit services that were
rendered to the registrant's investment adviser (not including any subadviser
whose role is primarily portfolio management and is subcontracted with or
overseen by another investment adviser), and any entity controlling, controlled
by, or under common control with the investment adviser that provides ongoing
services to the registrant that were not pre-approved pursuant to paragraph
(c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the
principal accountant's independence.
NOT APPLICABLE - ONLY FOR ANNUAL REPORTS.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) If the registrant is a listed issuer as defined in Rule 10A-3
under the Exchange Act (17CFR 240.10A-3), state whether or not the
registrant has a separately-designated standing audit committee
established in accordance with Section 3(a)(58)(A) of the Exchange
Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a
committee, however designated, identify each committee member. If
the entire board of directors is acting as the registrant's audit
committee as specified in Section 3(a)(58)(B) of the Exchange Act
(15 U.S.C. 78c(a)(58)(B)), so state.
(b) If applicable, provide the disclosure required by Rule 10A-3(d)
under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption
from the listing standards for all audit committees.
NOT APPLICABLE.
ITEM 6. SCHEDULE OF INVESTMENTS.
File Schedule I - Investments in securities of unaffiliated issuers as of the
close of the reporting period as set forth in ss. 210.12-12 of Regulation S-X,
unless the schedule is included as part of the report to shareholders filed
under Item 1 of this Form.
NOT APPLICABLE.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
A closed-end management investment company that is filing an annual
report on this Form N-CSR must, unless it invests exclusively in non-voting
securities, describe the policies and procedures that it uses to determine how
to vote proxies relating to portfolio securities, including the procedures that
the company uses when a vote presents a conflict between the interests of its
shareholders, on the one hand, and those of the company's investment adviser;
principal underwriter; or any affiliated person (as defined in Section 2(a)(3)
of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules
thereunder) of the company, its investment adviser, or its principal
underwriter, on the other. Include any policies and procedures of the company's
investment adviser, or any other third party, that the company uses, or that are
used on the company's behalf, to determine how to vote proxies relating to
portfolio securities.
NOT APPLICABLE.
ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
If the registrant is a closed-end management investment company, provide the
information specified in paragraph (b) of this Item with respect to any purchase
made by or on behalf of the registrant or any "affiliated purchaser," as defined
in Rule 10b-18(a)(3) under the Exchange Act (17 CFR 240.10b-18(a)(3)), of shares
or other units of any class of the registrant's equity securities that is
registered by the registrant pursuant to Section 12 of the Exchange Act (15
U.S.C. 781).
NOT APPLICABLE.
ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Describe any material changes to the procedures by which shareholders may
recommend nominees to the registrant's board of directors, where those changes
were implemented after the registrant last provided disclosure in response to
the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or
this Item.
NONE.
ITEM 10. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrant's principal executive
and principal financial officers, or persons performing similar functions,
regarding the effectiveness of the registrant's disclosure controls and
procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as
of a date within 90 days of the filing date of the report that includes the
disclosure required by this paragraph, based on the evaluation of these controls
and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and
Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or
240.15d-15(b)).
THE REGISTRANT'S PRINCIPAL EXECUTIVE OFFICER AND PRINCIPAL FINANCIAL OFFICER
HAVE CONCLUDED, BASED ON THEIR EVALUATION OF THE REGISTRANT'S DISCLOSURE
CONTROLS AND PROCEDURES AS CONDUCTED WITHIN 90 DAYS OF THE FILING DATE OF THIS
REPORT, THAT THESE DISCLOSURE CONTROLS AND PROCEDURES ARE ADEQUATELY DESIGNED
AND ARE OPERATING EFFECTIVELY TO ENSURE THAT INFORMATION REQUIRED TO BE
DISCLOSED BY THE REGISTRANT ON FORM N-CSR IS (i) ACCUMULATED AND COMMUNICATED TO
THE INVESTMENT COMPANY'S MANAGEMENT, INCLUDING ITS CERTIFYING OFFICERS, TO ALLOW
TIMELY DECISIONS REGARDING REQUIRED DISCLOSURE; AND (ii) RECORDED, PROCESSED,
SUMMARIZED AND REPORTED WITHIN THE TIME PERIODS SPECIFIED IN THE SECURITIES AND
EXCHANGE COMMISSION'S RULES AND FORMS.
(b) Disclose any change in the registrant's internal control over financial
reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that
occurred during the registrant's last fiscal half-year (the registrant's second
fiscal half-year in the case of an annual report) that has materially affected,
or is reasonably likely to materially affect, the registrant's internal control
over financial reporting.
THERE WERE NO CHANGES IN THE REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL
REPORTING THAT OCCURRED DURING THE REGISTRANT'S MOST RECENT FISCAL HALF-YEAR
(THE REGISTRANT'S SECOND FISCAL HALF-YEAR IN THE CASE OF AN ANNUAL REPORT) THAT
HAVE MATERIALLY AFFECTED OR ARE REASONABLY LIKELY TO MATERIALLY AFFECT, THE
REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL REPORTING.
ITEM 11. EXHIBITS.
(a) File the exhibits listed below as part of this Form. Letter or
number the exhibits in the sequence indicated.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of
the disclosure required by Item 2, to the extent that the registrant intends to
satisfy the Item 2 requirements through filing of an exhibit. NOT APPLICABLE -
ONLY EFFECTIVE FOR ANNUAL REPORTS.
(a)(2) A separate certification for each principal executive officer
and principal financial officer of the registrant as required by Rule 30a-2(a)
under the Act (17 CFR 270.30a-2). CERTIFICATIONS PURSUANT TO RULE 30a-2(a) ARE
ATTACHED HERETO.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1
under the Act (17 CFR 270.23c-1) sent or given during the period covered by the
report by or on behalf of the registrant to 10 or more persons. NOT APPLICABLE.
(b) If the report is filed under Section 13(a) or 15(d) of the Exchange
Act, provide the certifications required by rule 30a-2(b) under the Act as an
exhibit. A certification furnished pursuant to this paragraph will not be deemed
"filed" for purposes of Section 18 of the Exchange Act, or otherwise subject to
the liability of that section. Such certification will not be deemed to be
incorporated by reference into any filing under the Securities Act of 1933 or
the Exchange Act, except to the extent that the registrant incorporates it by
reference. CERTIFICATIONS PURSUANT TO RULE 30a-2(b) ARE FURNISHED HEREWITH.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, the registrant has duly caused this report
to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) One Group Investment Trust
-------------------------------------------------------------------
By (Signature and Title)* /s/ David J. Kundert, President
------------------------------------------------------
Date September 7, 2004
---------------------------------------------------------------------------
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, this report has been signed below by the
following persons on behalf of the registrant and in the capacities and on the
dates indicated.
By (Signature and Title)* /s/ David J. Kundert, President
------------------------------------------------------
Date September 7, 2004
---------------------------------------------------------------------------
By (Signature and Title)* /s/ Stephanie J. Dorsey, Treasurer
------------------------------------------------------
Date September 7, 2004
---------------------------------------------------------------------------
* Print the name and title of each signing officer under his or her signature.