------------------------------------ OMB APPROVAL OMB Number: 3235-0570 Expires: October 31, 2006 Estimated average burden hours per response. . . . . . .19.3 ------------------------------------ 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) Ms. Avery P. Maher, 522 Fifth Avenue, New York, NY 10036 - ------------------------------------------------------------------------------- (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 December 31, 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. Section 3507. ITEM 1. REPORTS TO STOCKHOLDERS. Include a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1). ANNUAL REPORT TWELVE MONTHS ENDED DECEMBER 31, 2004 ONE GROUP INVESTMENT TRUST Mid Cap Growth Portfolio Mid Cap Value Portfolio Diversified Mid Cap Portfolio Large Cap Growth Portfolio Diversified Equity Portfolio Equity Index Portfolio Balanced Portfolio Bond Portfolio Government Bond Portfolio - ----------------------------------------------------- [JPMORGAN LOGO] NOT FDIC INSURED o NO BANK GUARANTEE o MAY LOSE VALUE Asset Management - ----------------------------------------------------- This material must be preceded or accompanied by a current prospectus. 1 ONE GROUP INVESTMENT TRUST - -------------------------------------------------------------------------------- TABLE OF CONTENTS <Table> Portfolio Performance Review ............................... 2 Schedules of Portfolio Investments ......................... 20 Statements of Assets and Liabilities ....................... 70 Statements of Operations ................................... 72 Statements of Changes in Net Assets ........................ 74 Financial Highlights ....................................... 78 Notes to Financial Statements .............................. 80 Report of Independent Registered Public Accounting Firm .... 88 Trustees ................................................... 89 Officers ................................................... 91 Schedule of Shareholder Expenses ........................... 92 Tax Letter ................................................. 94 Special Meeting of Shareholders ............................ 95 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 2 ONE GROUP INVESTMENT TRUST MID CAP GROWTH PORTFOLIO - -------------------------------------------------------------------------------- PORTFOLIO PERFORMANCE REVIEW Q. HOW DID THE PORTFOLIO PERFORM? A. The Mid Cap Growth Portfolio, which seeks to provide capital appreciation and secondarily, current income from a portfolio of mid-cap stocks, rose 12.62% in the 12 months ended December 31, 2004. This compares with a gain of 14.01% for the S&P MidCap 400/BARRA Growth Index. Q. WHY DID THE PORTFOLIO PERFORM IN THIS WAY? A. The U.S. equity markets recorded another year of gains as strong earnings growth and healthy corporate balance sheets increased investor confidence despite rising short-term interest rates, high oil prices and the twin deficits. The Portfolio performed well during 2004, outdistancing its peer group the Lipper Midcap Growth Index. However, it underperformed its benchmark, the S&P MidCap 400/BARRA Growth Index. The Portfolio's stock selection in the information technology and consumer discretionary sectors was particularly strong. However, the Portfolio's financial and industrial names underperformed their benchmark peer group and hindered relative performance. At the stock level, Sepracor and Coach positively contributed to the Portfolio's performance. Shares of Sepracor advanced upon Food and Drug Administration approval of Lunesta, a new prescription sleep aid. Lunesta has been approved for use beyond the 7-10-day period to which most sleep aids are restricted, giving it a unique selling point versus the current market leader, Ambien. The drug, known as Estorra during development, was scheduled to be available in pharmacies in mid-January and is priced roughly 10% higher than Ambien. Coach, which produces handbags and accessories, reported a 60% increase in third-quarter earnings as sales grew 33%. Profits were driven by its transitional and fall products, with limited edition merchandise selling extremely well and at higher price points. Although the Portfolio experienced positive results, a few names within the portfolio hindered performance, particularly New York Community Bancorp and Synopsys. Shares of New York Community Bancorp declined after the positioning of its balance sheet proved vulnerable to shifting yield curves. Rumors had abounded that Citigroup was in talks to acquire the company, however, when an acquirer failed to emerge, the company's share price declined. Synopsys, a business-software maker, saw its share price decline after delivering a negative outlook for its fiscal year. Both positions were sold during the year. Q. HOW WAS THE PORTFOLIO MANAGED? A. During the period under review, management of the Portfolio was transitioned to Christopher Jones and Timothy Parton. The portfolio manager change did not affect the Portfolio's investment objectives or guidelines. The Portfolio will continue to be managed using a "bottom-up" approach to its construction. Portfolio Managers will base their stock selection on proprietary company research complemented by research derived from third-party sources. The research process is designed to identify companies with predictable and durable business models deemed capable of achieving sustainable growth. Potential investments are subjected to rigorous financial analysis and a disciplined approach to valuation. <Table> <Caption> TOP 10 HOLDINGS(1) 1. Amphenol Corp., Class A...................... 1.7% 2. Davita, Inc. .......... 1.5% 3. NCR Corp. ............. 1.4% 4. Caremark Rx, Inc. ..... 1.4% 5. Coach, Inc. ........... 1.3% 6. Adobe Systems, Inc. ... 1.2% 7. Harsco Corp. .......... 1.2% 8. OSI Pharmaceuticals, Inc. .................. 1.2% 9. Foot Locker, Inc. ..... 1.2% 10. Fisher Scientific International, Inc..... 1.2% </Table> <Table> <Caption> PORTFOLIO ALLOCATION(1) Common Stocks............. 96.4% Investment Companies...... 2.9% Other Assets in excess of Liabilities............. 0.7% </Table> <Table> <Caption> TOP 5 INDUSTRIES(1) 1. Electronic Technology............. 19.2% 2. Health Technology...... 12.7% 3. Technology............. 9.6% 4. Health Services........ 8.1% 5. Retail Trade........... 8.0% </Table> - -------------------------------------------------------------------------------- (1) As of December 31, 2004. The Portfolio's composition is subject to change. Percentages based on net assets. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 3 ONE GROUP INVESTMENT TRUST MID CAP GROWTH PORTFOLIO - -------------------------------------------------------------------------------- PORTFOLIO PERFORMANCE REVIEW, CONTINUED [GRAPH] Value of $10,000 Investment <Table> <Caption> S&P MIDCAP 400/BARRA GROWTH MID CAP GROWTH PORTFOLIO INDEX ------------------------ --------------------------- 12/94 10000 10000 12/95 12406 12730 12/96 14350 15073.6 12/97 18627.8 19637.9 12/98 25859.1 26483.6 12/99 32432.4 34095 12/00 34310.3 37218.1 12/01 30656.2 34251.9 12/02 24485.1 27685.8 12/03 31132.8 37791.1 12/04 35059.1 43085.6 </Table> AVERAGE ANNUAL TOTAL RETURN AS OF DECEMBER 31, 2004 <Table> <Caption> - ------------------------------------------------------------------------------------------------------- 1 Year 5 Year 10 Year - ------------------------------------------------------------------------------------------------------- Mid Cap Growth Portfolio 12.62% 1.57% 13.37% - ------------------------------------------------------------------------------------------------------- S&P MidCap 400/BARRA Growth Index 14.01% 4.79% 15.71% - ------------------------------------------------------------------------------------------------------- </Table> The performance data quoted represents past performance and is not an indication of future results. Investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. The total return set forth may reflect the waiver of a portion of the fund's fees for certain periods since the inception date; without the waiver, total return would have been lower. The performance of the Mid Cap Growth Portfolio is measured against the S&P Midcap 400/BARRA Growth Index, an unmanaged index representing the performance of the lowest price-to-book securities in the S&P Midcap 400 Index. Investors are unable to purchase the index directly, although they can invest in the underlying securities. The performance of the index does not reflect the deduction of expenses associated with a mutual fund, such as investment management fees. By contrast, the performance of the Portfolio reflects the deduction of these expenses. Please refer to the prospectus and the accompanying financial statements for more information about the Portfolio. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 4 ONE GROUP INVESTMENT TRUST MID CAP VALUE PORTFOLIO - -------------------------------------------------------------------------------- PORTFOLIO PERFORMANCE REVIEW Q. HOW DID THE PORTFOLIO PERFORM? A. The Mid Cap Value Portfolio, which seeks to provide capital appreciation from a portfolio of mid-cap value stocks, returned 15.40% in the 12 months ended December 31, 2004. Although the Portfolio posted strong gains, it underperformed its benchmark, the S&P MidCap 400/BARRA Value Index, which returned 18.92% over the same period. Q. WHY DID THE PORTFOLIO PERFORM IN THIS WAY? A. The majority of the relative underperformance came in the fourth quarter as the market experienced a strong reversal from high-quality to low-quality stocks. This development hindered the Portfolio's performance as our overriding focus is on quality and value. When these stocks are not in favor, we tend to underperform. In terms of what specifically helped the Portfolio's performance, our overweighting and stock selection in the energy sector as well as our stock selection in consumer staples were strong contributors. The energy sector benefited from the rally in oil and natural gas prices during the early fall. On the flip side, our stock selection in financials and information technology were the main performance detractors. A primary contributor in energy was Valero Energy, the leading U.S. independent oil refiner. Valero experienced a solid year of earnings and was also added to the S&P 500 Index. Another strong name in 2004 was Pentair, which implemented two strategic moves. Early in the year, the company acquired WICOR Industries, which transformed Pentair into a global leader in water technologies, including well pumps, sump pumps, and pool and spa equipment. Continuing to streamline the operations, the company sold off its tool division to Black & Decker. In addition to these strategic realignments, Pentair reported strong earnings and increased its quarterly dividend for the 28th consecutive year. Although a significant number of the Portfolio's holdings experienced double-digit returns, there were some weak performers. Among the names that disappointed was Omnicare, the nation's largest provider of pharmaceutical and related services to long-term care facilities. The company reported disappointing earnings as pricing pressures increased and medical reimbursements decreased. Sovereign Bancorp, one of the largest thrifts in the U.S., was another detractor. The stock lost some ground early in the year following a realization that it was unlikely to be acquired in the near future. However, the company continued its own acquisition strategy, acquiring both Seacoast Financial Services and Waypoint Financial. In addition, Sovereign Bancorp declared a cash dividend increase of 20% on its common stock. Q. HOW WAS THE PORTFOLIO MANAGED? A. During the period under review, management of the Portfolio was transitioned to Jonathan Simon and Lawrence Playford. The portfolio manager change did not affect the Portfolio's investment objectives or guidelines. The Portfolio will continue to be managed using a "bottom-up" approach to its construction. With regards to performance, despite the Portfolio's solid gains for the period, performance relative to the market was somewhat muted by lack of exposure to the highly cyclical and highly leveraged segments of the market that were the driving force behind the U.S. equities rally during the fourth quarter. As is often the case, our overriding focus on quality and value - which generally avoids investments in highly cyclical and leveraged companies - works to smooth out portfolio performance over time. <Table> <Caption> TOP 10 HOLDINGS(1) 1. Mandalay Resort Group.................. 1.5% 2. Compass Bancshares, Inc. .................. 1.4% 3. Fidelity National Financial, Inc. ....... 1.3% 4. Old Republic International Corp. ... 1.2% 5. V.F. Corp. ............ 1.2% 6. E*Trade Group, Inc. ... 1.2% 7. Everest Re Group Ltd. .................. 1.1% 8. Saks, Inc. ............ 1.1% 9. TJX Cos., Inc. ........ 1.1% 10. Assurant, Inc. ........ 1.0% </Table> <Table> <Caption> PORTFOLIO ALLOCATION(1) Common Stocks............. 93.9% Investment Companies...... 5.2% Other Assets in excess of Liabilities............. 0.9% </Table> <Table> <Caption> TOP 5 INDUSTRIES(1) 1. Finance................ 27.3% 2. Utilities.............. 9.4% 3. Consumer Services...... 9.2% 4. Consumer Non-Durables........... 7.2% 5. Retail Trade........... 7.0% </Table> - -------------------------------------------------------------------------------- (1) As of December 31, 2004. The Portfolio's composition is subject to change. Percentages based on net assets. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 5 ONE GROUP INVESTMENT TRUST MID CAP VALUE PORTFOLIO - -------------------------------------------------------------------------------- PORTFOLIO PERFORMANCE REVIEW, CONTINUED [GRAPH] Value of $10,000 Investment <Table> <Caption> S&P MIDCAP 400/BARRA VALUE MID CAP VALUE PORTFOLIO INDEX ----------------------- -------------------------- 5/97 10000 10000 12/97 11697 13145.7 12/98 11308.7 13759.6 12/99 11100.6 14078.8 12/00 14198.8 17998.4 12/01 14880.3 19283.4 12/02 12968.2 17333.9 12/03 17215.3 24305.6 12/04 19867.7 28904.2 </Table> AVERAGE ANNUAL TOTAL RETURN AS OF DECEMBER 31, 2004 <Table> <Caption> - ----------------------------------------------------------------------------------------------------------------------- 1 Year 5 Year Since Inception (5/1/97) - ----------------------------------------------------------------------------------------------------------------------- Mid Cap Value Portfolio 15.40% 12.35% 9.37% - ----------------------------------------------------------------------------------------------------------------------- S&P MidCap 400/BARRA Value Index 18.92% 15.45% 14.83% - ----------------------------------------------------------------------------------------------------------------------- </Table> The performance data quoted represents past performance and is not an indication of future results. Investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. The total return set forth may reflect the waiver of a portion of the fund's fees for certain periods since the inception date; without the waiver, total return would have been lower. The performance of the Mid Cap Value Portfolio is measured against the S&P Midcap 400/BARRA Value Index, an unmanaged index representing the performance of the lowest price-to-book securities in the S&P Midcap 400 Index. Investors are unable to purchase the index directly, although they can invest in the underlying securities. The performance of the index does not reflect the deduction of expenses associated with a mutual fund, such as investment management fees. By contrast, the performance of the Portfolio reflects the deduction of these expenses. Please refer to the prospectus and the accompanying financial statements for more information about the Portfolio. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 6 ONE GROUP INVESTMENT TRUST DIVERSIFIED MID CAP PORTFOLIO - -------------------------------------------------------------------------------- PORTFOLIO PERFORMANCE REVIEW Q. HOW DID THE PORTFOLIO PERFORM? A. The Diversified Mid Cap Portfolio, which seeks to provide long-term capital growth from a diversified portfolio of equity securities with intermediate capitalizations, returned 14.42% in the twelve months ended December 31, 2004. This compares with a gain of 16.48% for the S&P MidCap 400 Index, the Portfolio's benchmark. Q. WHY DID THE PORTFOLIO PERFORM IN THIS WAY? A. The Portfolio was in a transition phase for the latter part of the year, as a new team took over its management in early September. The team executed a transition of the Portfolio slowly over time to minimize excessive transaction costs and shield clients from the unnecessary risk of high volatility and turnover. Due to a gradually executed transition plan, performance during the fourth quarter was only slightly behind its benchmark. It was during this transition period that the analytical factors employed by the Portfolio management team began to have an impact. In the fourth quarter, as the Portfolio progressed with its transition, analytical factors were able to positively contribute toward performance. At the sector level, health care was the top contributor, as the investment process correctly suggested underweighting the pharmaceuticals and biotech industry group. In addition, stock selection in the health care services group positively impacted the sector's showing. Telecommunication services also made a significant contribution to performance, as the model's factors worked very well in that sector. Q. HOW WAS THE PORTFOLIO MANAGED? A. During the period under review, management of the Portfolio was transitioned to Silvio Tarca. The portfolio manager change did not affect the Portfolio's investment objective or guidelines. The Diversified Mid Cap Portfolio seeks to capitalize upon enduring market anomalies. The portfolio managers use a disciplined portfolio construction process that focuses on exposure to valuation and momentum factors, which the managers believe best capture investor-driven market anomalies. The Portfolio looks to hold good "value" stocks with reasonable momentum and very strong momentum, stocks relative to the Portfolio's index, the S&P MidCap 400 Index. <Table> <Caption> TOP 10 HOLDINGS(1) 1. Norfolk Southern Corp. ................. 1.1% 2. North Fork Bancorp, Inc. .................. 1.1% 3. D.R. Horton, Inc. ..... 1.0% 4. AMBAC Financial Group, Inc. .................. 1.0% 5. WellPoint, Inc. ....... 1.0% 6. L-3 Communications Holdings, Inc. ........ 0.9% 7. Compass Bancshares, Inc. .................. 0.9% 8. Murphy Oil Corp. ...... 0.9% 9. Liz Claiborne, Inc. ... 0.9% 10. Xerox Corp. ........... 0.9% </Table> <Table> <Caption> PORTFOLIO ALLOCATION(1) Common Stocks............. 98.4% Investment Companies...... 0.3% Other Assets in excess of Liabilities............. 1.3% </Table> <Table> <Caption> TOP 5 EQUITY INDUSTRIES(1) 1. Finance................ 22.0% 2. Energy Minerals........ 8.7% 3. Consumer Durables...... 7.8% 4. Producer Manufacturing.......... 7.6% 5. Utilities.............. 6.4% </Table> - -------------------------------------------------------------------------------- (1) As of December 31, 2004. The Portfolio's composition is subject to change. Percentages based on net assets. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 7 ONE GROUP INVESTMENT TRUST DIVERSIFIED MID CAP PORTFOLIO - -------------------------------------------------------------------------------- PORTFOLIO PERFORMANCE REVIEW, CONTINUED [GRAPH] Value of $10,000 Investment <Table> <Caption> DIVERSIFIED MID CAP PORTFOLIO S&P MIDCAP 400 INDEX ----------------------------- -------------------- 3/95 10000.00 10000.00 12/95 11072.00 12103.80 12/96 13788.00 14427.80 12/97 17461.10 19080.70 12/98 18316.70 22728.90 12/99 20239.90 26074.60 12/00 24176.60 30640.30 12/01 23202.30 30453.40 12/02 19069.90 26034.60 12/03 24874.80 35308.10 12/04 28463.20 41126.90 </Table> AVERAGE ANNUAL TOTAL RETURN AS OF DECEMBER 31, 2004 <Table> <Caption> - ----------------------------------------------------------------------------------------------------------------------- 1 Year 5 Year Since Inception (3/30/95) - ----------------------------------------------------------------------------------------------------------------------- Diversified Mid Cap Portfolio 14.42% 7.06% 11.32% - ----------------------------------------------------------------------------------------------------------------------- S&P MidCap 400 Index 16.48% 9.53% 15.58% - ----------------------------------------------------------------------------------------------------------------------- </Table> The performance data quoted represents past performance and is not an indication of future results. Investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. The total return set forth may reflect the waiver of a portion of the fund's fees for certain periods since the inception date; without the waiver, total return would have been lower. The performance of the Diversified Mid Cap Portfolio is measured against the S&P MidCap 400, an unmanaged index generally representative of the performance of the mid-sized company segment of the U.S. stock market. Investors are unable to purchase the index directly, although they can invest in the underlying securities. The performance of the index does not reflect the deduction of expenses associated with a mutual fund, such as investment management fees. By contrast, the performance of the Portfolio reflects the deduction of these expenses. Please refer to the prospectus and the accompanying financial statements for more information about the Portfolio. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 8 ONE GROUP INVESTMENT TRUST LARGE CAP GROWTH PORTFOLIO - -------------------------------------------------------------------------------- PORTFOLIO PERFORMANCE REVIEW Q. HOW DID THE PORTFOLIO PERFORM? A. For the year, the Portfolio outperformed its benchmark, the Russell 1000 Growth Index by 0.75% (7.05% vs. 6.30%). Q. WHY DID THE PORTFOLIO PERFORM THIS WAY? A. Positive stock selection within the industrial cyclical, capital markets and basic material sectors led performance for the 2004 period. Adding value in the basic materials sector were Portfolio holdings in U.S. Steel and Praxair, as each company benefited from a strong resurgence in global demand for both steel and industrial gas products. Additionally, holdings in Chicago Mercantile and Google positively contributed to performance as these two IPO's, which were purchased in 2004, started out strong and continued to rise as investors placed premiums on their business models and franchises. In capital markets, Charles Schwab was another positive contributor to the Portfolio's performance, as its stock rose on a returning CEO, one who continues to execute a restructuring plan highlighted by increased focus on cost cutting and greater competitive pricing. The Portfolio's weakest stock selection for the period was in the consumer cyclical, health services and semiconductors sectors. In health services, the stock of Omnicare, a pharmacy services company to long-term care facilities, plummeted mid year in reaction to an announced change in the Medicare reimbursement procedures, which may negatively impact company earnings. Our underweight position in Yahoo also hurt the Portfolio's performance, as the company had a tremendous year, rising more than 65% as it continued to grow its revenue and profits significantly. Q. HOW WAS THE PORTFOLIO MANAGED? A. During the period under review, management of the Portfolio was transitioned to Marc Baylin and Giri Devulapally. The portfolio manager change did not affect the Portfolio's investment objective or guidelines. At a high level, we continued to manage the Portfolio with a largely sector-neutral, style-consistent approach. Driving our investment results was the stock selection expertise of our growth Portfolio management team, who based their findings on the proven insights of our team of global equity analysts. At the stock-specific level, the Portfolio is mostly concentrated in consistent growth companies, defined as those companies with strong business franchises and reasonable valuations, along with those cyclical growers with favorable supply/demand characteristics, strong secular growers and opportunistic deep value companies. In selecting these companies, we use a systematic valuation methodology to capture both their inherent value and the momentum dynamic surrounding growth companies. <Table> <Caption> TOP 10 HOLDINGS(1) 1. Johnson & Johnson...... 3.9% 2. Microsoft Corp. ....... 3.7% 3. Procter & Gamble Co.... 2.8% 4. Pfizer, Inc. .......... 2.7% 5. Dell, Inc. ............ 2.5% 6. Home Depot, Inc. ...... 2.4% 7. Cisco Systems, Inc. ... 2.2% 8. Intel Corp. ........... 2.0% 9. Coca-Cola Co. ......... 1.9% 10. Wal-Mart Stores, Inc. .................. 1.9% </Table> <Table> <Caption> PORTFOLIO ALLOCATION(1) Common Stocks............. 97.6% Investment Companies...... 1.8% Other Assets in excess of Liabilities............. 0.6% </Table> <Table> <Caption> TOP 5 INDUSTRIES(1) 1. Health Technology...... 18.2% 2. Electronic Technology............. 17.9% 3. Technology Services.... 13.9% 4. Finance................ 9.1% 5. Retail Trade........... 9.0% </Table> - -------------------------------------------------------------------------------- (1) As of December 31, 2004. The Portfolio's composition is subject to change. Percentages based on net assets. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 9 ONE GROUP INVESTMENT TRUST LARGE CAP GROWTH PORTFOLIO - -------------------------------------------------------------------------------- PORTFOLIO PERFORMANCE REVIEW, CONTINUED [GRAPH] Value of $10,000 Investment <Table> <Caption> LARGE CAP GROWTH PORTFOLIO RUSSELL 1000 GROWTH INDEX -------------------------- ------------------------- 12/94 10000.00 10000.00 12/95 12413.00 13719.00 12/96 14482.20 16890.80 12/97 19106.40 22040.80 12/98 26991.70 30572.90 12/99 34889.40 40710.80 12/00 26878.80 31583.50 12/01 21427.80 25134.10 12/02 15325.10 18124.20 12/03 19545.70 23516.20 12/04 20925.80 24997.70 </Table> AVERAGE ANNUAL TOTAL RETURN AS OF DECEMBER 31, 2004 <Table> <Caption> - ------------------------------------------------------------------------------------------------------- 1 Year 5 Year 10 Year - ------------------------------------------------------------------------------------------------------- Large Cap Growth Portfolio 7.05% (9.72)% 7.66% - ------------------------------------------------------------------------------------------------------- Russell 1000 Growth Index 6.30% (9.28)% 9.59% - ------------------------------------------------------------------------------------------------------- </Table> The performance data quoted represents past performance and is not an indication of future results. Investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. The total return set forth may reflect the waiver of a portion of the fund's fees for certain periods since the inception date; without the waiver, total return would have been lower. The performance of the Large Cap Growth Portfolio is measured against the Russell 1000 Growth Index, an unmanaged index generally representative of the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. Investors are unable to purchase the index directly, although they can invest in the underlying securities. The performance of the index does not reflect the deduction of expenses associated with a mutual fund, such as management investment fees. By contrast, the performance of the Portfolio reflects the deduction of these expenses. Please refer to the prospectus and the accompanying financial statements for more information about the Portfolio. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 10 ONE GROUP INVESTMENT TRUST DIVERSIFIED EQUITY PORTFOLIO - -------------------------------------------------------------------------------- PORTFOLIO PERFORMANCE REVIEW Q. HOW DID THE PORTFOLIO PERFORM? A. Year-to-date through December 31, 2004, the Portfolio returned 7.05%, while its benchmark, the S&P Super Composite 1500 Index, returned 11.78%. Q. WHY DID THE PORTFOLIO PERFORM THIS WAY? A. Contributing the most to performance in 2004 was positive stock selection within the finance, network technology and semiconductors sectors. On the stock specific level, our overweight positions in Qualcomm, Motorola and Freddie Mac contributed positively to results. Qualcomm was helped by better cell phone replacement rates, better-than-expected selling prices for cell phones and improving traction in Wideband Code-Division Multiple Access, a type of digital cellular technology. In the network technology sector, Motorola benefited from increasing market share, care of Nokia, which lost market share owing to execution issues earlier in the year. The company also benefited from a raft of new products, which sold well upon introduction, and strong sales of existing products. Overall, stock selection within the semiconductor sector was very strong through the year, making it one of the strongest contributing sectors for the year. Detracting from returns was stock selection within the retail, media and consumer cyclical sectors. In the consumer cyclical sector, our underweight position in Johnson & Johnson negatively impacted the Portfolio, as the shares of this medical products provider rose on news of its acquisition of medical devices company, Guidant. Investors saw Guidant as a nice strategic addition to J&J's product offerings, owing to its strong cardiac care franchise. In media, the Portfolio's holding in Viacom served to diminish performance, despite significant share repurchases by the company. Regardless of this underperformance, we still like Viacom, especially the new management at its Paramount film division, along with its renewed focus on its cable and radio properties, both of which support our conviction that our patience will be well rewarded over time. Also in media, our underweight position in Yahoo hurt the Portfolio's performance, as the company had a tremendous year, rising more than 65% as it continued to grow its revenue and profits significantly. In retail, our overweight position in Jones New York detracted from the Portfolio's performance; although the stock had a modest positive return for the year, it underperformed a strong sector. In particular, the market reacted negatively to its acquisition of luxury retailer Barney's. Q. HOW WAS THE PORTFOLIO MANAGED? A. During the period under review, management of the Portfolio was transitioned to Susan Bao and Helge Skibeli. The portfolio manager change did not affect the Portfolio's investment objective or guidelines. We continued to manage the Portfolio with a largely sector-neutral, style-consistent approach, which stresses effective stock selection. The focus of the Portfolio continues to be on identifying and concentrating in undervalued companies with leadership positions within their respective industries, specifically those with solid business models, high returns on capital and strong free cash. <Table> <Caption> TOP 10 HOLDINGS(1) 1. Citigroup, Inc. ....... 4.4% 2. General Electric Co.... 3.9% 3. Exxon Mobil Corp. ..... 2.9% 4. Morgan Stanley Dean Witter & Co. .......... 2.9% 5. Tyco International Ltd. .................. 2.6% 6. Microsoft Corp. ....... 2.6% 7. Procter & Gamble Co.... 2.3% 8. Johnson & Johnson ..... 2.1% 9. Viacom, Inc., Class B ..................... 1.9% 10. Coca-Cola Co. ......... 1.8% </Table> <Table> <Caption> PORTFOLIO ALLOCATION(1) Common Stocks............. 97.1% Investment Companies...... 3.2% Other Assets in excess of Liabilities............. (0.3)% </Table> <Table> <Caption> TOP 5 INDUSTRIES(1) 1. Finance................ 20.5% 2. Health Technology...... 11.3% 3. Electronic Technology............. 10.0% 4. Producer Manufacturing.......... 9.5% 5. Consumer Non-Durables........... 7.8% </Table> - -------------------------------------------------------------------------------- (1) As of December 31, 2004. The Portfolio's composition is subject to change. Percentages based on net assets. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 11 ONE GROUP INVESTMENT TRUST DIVERSIFIED EQUITY PORTFOLIO - -------------------------------------------------------------------------------- PORTFOLIO PERFORMANCE REVIEW, CONTINUED [GRAPH] Value of $10,000 Investment <Table> <Caption> DIVERSIFIED EQUITY PORTFOLIO S&P SUPERCOMPOSITE 1500 INDEX ---------------------------- ----------------------------- 3/95 10000 10000 12/95 11764 12487.2 12/96 13969.8 15285 12/97 17712.2 20318.4 12/98 20037.9 25666.2 12/99 21867.3 30863.6 12/00 20913.9 28709.3 12/01 18694.9 25654.7 12/02 14251.2 20187.7 12/03 17946.5 26163.2 12/04 19210.3 29245.2 </Table> AVERAGE ANNUAL TOTAL RETURN AS OF DECEMBER 31, 2004 <Table> <Caption> - ----------------------------------------------------------------------------------------------------------------------- 1 Year 5 Year Since Inception (3/30/95) - ----------------------------------------------------------------------------------------------------------------------- Diversified Equity Portfolio 7.05% (2.56)% 6.92% - ----------------------------------------------------------------------------------------------------------------------- S&P SuperComposite 1500 Index 11.78% (1.07)% 11.62% - ----------------------------------------------------------------------------------------------------------------------- </Table> The performance data quoted represents past performance and is not an indication of future results. Investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. The total return set forth may reflect the waiver of a portion of the fund's fees for certain periods since the inception date; without the waiver, total return would have been lower. The performance of the Diversified Equity Portfolio is measured against the S&P SuperComposite 1500 index, an unmanaged index consisting of those stocks making up the S&P 500, S&P Mid Cap 400, and the S&P Small Cap 600 Indices representing approximately 87% of the total US equity market capitalization. The performance of the index does not reflect the deduction of expenses associated with a mutual fund, such as investment management fees. By contrast, the performance of the Portfolio reflects the deduction of these expenses. Please refer to the prospectus and the accompanying financial statements for more information about the Portfolio. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 12 ONE GROUP INVESTMENT TRUST EQUITY INDEX PORTFOLIO - -------------------------------------------------------------------------------- PORTFOLIO PERFORMANCE REVIEW Q. HOW DID THE PORTFOLIO PERFORM? A. For the year ended December 31, 2004, the Equity Index Portfolio posted a total return of 10.34%, compared to a total return of 10.88% for the S&P 500 Index(1), the unmanaged group of stocks the Portfolio seeks to track. By strictly following our benchmark positions and weightings, and remaining fully invested throughout the year, we were able to closely track the index's performance before fees. Q. WHAT LED TO THE GOOD RETURNS AMONG STOCKS? A. A quick and decisive resolution to the November 2004 presidential election reassured investors who had worried about a repeat of the 2000 election debacle. Investors displayed a confidence that pushed stock prices ahead. In addition, good corporate earnings growth continued to provide a positive backdrop for stock market growth. Q. WHICH SECTORS OFFERED NOTABLE PERFORMANCE? A. The energy minerals and health services sectors were the best-performing market segments for the year, each posting returns of approximately 30%. Only two sectors generated negative results -- electronic technology was down 0.79%, and health technology was off 1.86% for the year. <Table> <Caption> TOP 10 HOLDINGS(1) 1. General Electric Co. ................... 3.4% 2. Exxon Mobil Corp. ..... 2.9% 3. Microsoft Corp. ....... 2.5% 4. Citigroup, Inc. ....... 2.2% 5. Wal-Mart Stores, Inc. .................. 1.9% 6. Pfizer, Inc. .......... 1.8% 7. Bank of America Corp. ................. 1.7% 8. Johnson & Johnson...... 1.6% 9. American International Group, Inc. ........... 1.5% 10. International Business Machines Corp. ........ 1.4% </Table> <Table> <Caption> PORTFOLIO ALLOCATION(1) Common Stocks............. 98.5% Investment Companies...... 0.2% U.S. Treasury Obligations............. 0.1% Other Assets in excess of Liabilities............. 1.2% </Table> <Table> <Caption> TOP 5 INDUSTRIES(1) 1. Finance................ 20.2% 2. Electronic Technology............. 11.4% 3. Health Technology...... 10.2% 4. Producer Manufacturing.......... 7.7% 5. Consumer Non-Durable... 7.5% </Table> - -------------------------------------------------------------------------------- (1) As of December 31, 2004. The Portfolio's composition is subject to change. Percentages based on net assets. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 13 ONE GROUP INVESTMENT TRUST EQUITY INDEX PORTFOLIO - -------------------------------------------------------------------------------- PORTFOLIO PERFORMANCE REVIEW, CONTINUED [GRAPH] Value of $10,000 Investment <Table> <Caption> EQUITY INDEX PORTFOLIO S&P 500 INDEX ---------------------- ------------- 5/98 10000.00 10000.00 12/98 11052.00 11171.30 12/99 13385.10 13521.80 12/00 12116.20 12289.90 12/01 10621.00 10829.90 12/02 8233.43 8436.49 12/03 10537.10 10856.10 12/04 11626.70 12037.20 </Table> AVERAGE ANNUAL TOTAL RETURN AS OF DECEMBER 31, 2004 <Table> <Caption> - ------------------------------------------------------------------------------------------------------------------------ 1 Year 5 Year Since Inception (5/1/98) - ------------------------------------------------------------------------------------------------------------------------ Equity Index Portfolio 10.34% (2.78)% 2.29% - ------------------------------------------------------------------------------------------------------------------------ S&P 500 Index 10.88% (2.30)% 2.82% - ------------------------------------------------------------------------------------------------------------------------ </Table> The performance data quoted represents past performance and is not an indication of future results. Investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. The total return set forth may reflect the waiver of a portion of the fund's fees for certain periods since the inception date; without the waiver, total return would have been lower. The performance of the Equity Index Portfolio is measured against the S&P 500 Index, an unmanaged index generally representative of the performance of large companies in the U.S. stock market. Investors are unable to purchase the index directly, although they can invest in the underlying securities. The performance of the index does not reflect the deduction of expenses associated with a mutual fund, such as investment management fees. By contrast, the performance of the Portfolio reflects the deduction of these expenses. Please refer to the prospectus and the accompanying financial statements for more information about the Portfolio. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 14 ONE GROUP INVESTMENT TRUST BALANCED PORTFOLIO - -------------------------------------------------------------------------------- PORTFOLIO PERFORMANCE REVIEW Q. HOW DID THE PORTFOLIO PERFORM? A. For the year ended December 31, 2004, the One Group Balanced Portfolio returned 5.73%. Q. WHY DID THE PORTFOLIO PERFORM THIS WAY? A. Over the course of the year, short-term yields increased as the Federal Reserve raised the federal funds rate several times. Intermediate yields decreased and longer maturity yields declined. The change in the relationship between shorter and longer yields was beneficial to the Portfolio's fixed income holdings, given our focus on longer maturity bonds. The Portfolio's holdings of mortgage-backed securities were also beneficial as they outperformed most other sectors in the Portfolio's benchmark. Duration had a very slight negative impact on performance, as the Portfolio's fixed income holdings were longer than its benchmark during periods of rising rates. An overweight of longer maturity bonds had a beneficial impact as they performed much better than short or intermediate bonds. Although the 10-year Treasury yield finished 2004 at nearly the same level as it began the year, we believe that, with inflation creeping higher and the prospect of at least another 100 basis points of Fed tightening, longer-term Treasury yields will likely rise in 2005. After strong equity performance in the past few months, we have become more cautious about equity returns in 2005. Although equity valuations look more attractive relative to bonds, when considering that interest rates appear to be rising and corporate profits are at very high levels, the market multiples do not look especially compelling at this time. Our forecast for 2005 is for positive high-single digit gains in equities likely carried by earnings growth (as opposed to multiple expansion), albeit at more moderate levels than we saw in 2004. Q. HOW WAS THE PORTFOLIO MANAGED? A. During the period of review, there were changes in the portfolio management team for the Portfolio. Anne Lester and a team of portfolio managers and analysts manage the portfolio construction, investment strategy selection and asset allocation for the overall Portfolio, while Scott Grimshaw continued to serve as portfolio manager primarily responsible for the fixed-income portion of the Portfolio. Our fixed income Portfolio strategy is fairly neutral on risk. As such, we expect to trade duration and curve positions tactically. We believe that supportive technicals in the mortgage market should persist and that valuations will be extremely tight; therefore, we expect to trade actively around a neutral position. In investment grade credit, we favor a neutral position, with a bias towards higher yielding names, as spreads remain at extremely tight levels. We believe structured credit (ABS, CMBS) should perform well, despite the risk of a widening in swap spreads. Despite worries over fading profit growth, rising interest rates, a falling dollar and high energy prices, 2004 ended with strong performance from the major U.S. equity indices. Aiding a sharp, year-end rally were the swift and decisive outcome of the U.S. presidential election and a decline in the price of oil. Continued strong corporate profit growth and low longer-term interest rates also helped the equity markets. In the U.S., the pattern of growth is expected to shift from the household to the corporate sector, with a revival in investment spending. This is likely to be accompanied by higher U.S. interest rates and yields, with scope for an eventual resumption of dollar weakness. In line with our equity strategy, we look to add value through a research driven selection process that emphasizes stocks that we believe to be undervalued relative to their long-term potential, regardless of their sector. <Table> <Caption> PORTFOLIO ALLOCATION(1) Common Stock................................................ 60.2% Government Agencies......................................... 13.1% Corporate Bonds............................................. 12.8% U.S. Treasuries............................................. 9.1% Investment Companies........................................ 2.3% Asset Backed Securities..................................... 0.9% Collateralized Mortgage Obligations......................... 0.8% Other Assets in excess of Liabilities....................... 0.8% </Table> <Table> <Caption> TOP 5 EQUITY INDUSTRIES(1) 1. Finance..................................................... 12.5% 2. Health Technology........................................... 6.5% 3. Electronic Technology....................................... 6.4% 4. Producer Manufacturing...................................... 5.7% 5. Consumer Non-Durables....................................... 4.9% </Table> <Table> <Caption> TOP 5 FIXED INCOME SECTORS(1) 1. Corporate Bonds............................................. 12.8% 2. Federal Home Loan Mortgage Corporation...................... 6.8% 3. Federal National Mortgage Association....................... 5.8% 4. U.S. Treasury Bonds......................................... 5.6% 5. U.S. Treasury Strips........................................ 1.3% </Table> - -------------------------------------------------------------------------------- (1) As of December 31, 2004. The Portfolio's composition is subject to change. Percentages based on net assets. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 15 ONE GROUP INVESTMENT TRUST BALANCED PORTFOLIO - -------------------------------------------------------------------------------- PORTFOLIO PERFORMANCE REVIEW, CONTINUED Value of $10,000 Investment [GRAPH] <Table> <Caption> LEHMAN BROTHERS LIPPER BALANCED FUNDS GOVERNMENT/CREDIT BALANCED PORTFOLIO S&P 500 INDEX INDEX BOND INDEX ------------------ ------------- --------------------- ----------------- 12/94 10000 10000 10000 10000 12/95 12069 13758 12488 11924 12/96 13507.6 16916.8 14118.9 12271 12/97 16600.9 22560.3 16986.5 13467.4 12/98 19770 29008 19548.1 14742.8 12/99 21391.1 35111.3 21307.4 14425.8 12/00 21744.1 31912.7 21820.9 16133.8 12/01 20967.8 28121.4 21113.9 17506.8 12/02 18518.8 21906.6 18854.7 19436.1 12/03 21704 28189.4 22614.3 20345.7 12/04 22948.9 31256.4 24645.1 21198.2 </Table> AVERAGE ANNUAL TOTAL RETURN AS OF DECEMBER 31, 2004 <Table> <Caption> - ------------------------------------------------------------------------------------------------------- 1 Year 5 Year 10 Year - ------------------------------------------------------------------------------------------------------- Balanced Portfolio 5.73% 1.41% 8.66% - ------------------------------------------------------------------------------------------------------- S&P 500 Index 10.88% (2.30)% 12.06% - ------------------------------------------------------------------------------------------------------- Lehman Brothers Government/Credit Bond Index 4.19% 7.99% 7.80% - ------------------------------------------------------------------------------------------------------- Lipper Balanced Funds Index 8.98% 2.95% 9.43% - ------------------------------------------------------------------------------------------------------- </Table> The performance data quoted represents past performance and is not an indication of future results. Investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. The total return set forth may reflect the waiver of a portion of the fund's fees for certain periods since the inception date; without the waiver, total return would have been lower. The table above compares the average annual return of the Portfolio, which holds a mix of stocks, bonds and other debt securities to an unmanaged, broad-based index (i.e., the S&P 500 Index) as well as supplemental indices for the periods indicated. The performance of the Balanced Portfolio is measured against the S&P 500 Index, an unmanaged index generally representative of the performance of large companies in the U.S. stock market. Investors are unable to purchase the index directly, although they can invest in the underlying securities. The performance of the index does not reflect the deduction of expenses associated with a mutual fund, such as investment management fees. By contrast, the performance of the Portfolio reflects the deduction of these expenses. The Lipper Balanced Funds Index is a blended index consisting of both stock and bonds with a typical stock-to-bond ratio of around 60% to 40%. The Lehman Intermediate Government/Credit Index is an unmanaged index composed of debt securities with maturities from one to ten years issued or guaranteed by the U.S. Treasury, U.S. Government agencies, and quasi-federal corporations. Please refer to the prospectus and the accompanying financial statements for more information about the Portfolio. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 16 ONE GROUP INVESTMENT TRUST BOND PORTFOLIO - -------------------------------------------------------------------------------- PORTFOLIO PERFORMANCE REVIEW Q. HOW DID THE PORTFOLIO PERFORM? A. For the one-year period ended December 31, 2004, the Bond Portfolio posted a total return of 4.13%. This compared similarly to the total return of the portfolio's benchmark, the Lehman Brothers Aggregate Bond Index, which returned 4.34% for the year. Q. HOW WOULD YOU CHARACTERIZE THE BOND MARKET'S PERFORMANCE IN 2004? A. Three key investment themes prevailed throughout the year: a flattening of the yield curve, as shorter-term rates increased and longer-term rates remained relatively stable; spread compression, as the differences in yield (spreads) between Treasury and non-Treasury sectors tightened; and the outperformance of lower-quality credit sectors. All of the non-Treasury sectors outperformed comparable-duration Treasuries throughout the year. Corporate bonds were the best performers, followed by mortgage and asset-backed securities. Within the corporate sector, lower-rated securities fared the best in 2004, as investors sought yield. In the investment-grade universe, bonds in the BBB-rated segment were the top performers for the year. Q. TO WHAT DO YOU ATTRIBUTE THE PORTFOLIO'S PERFORMANCE? A. We continued to overweight mortgages and asset-backed securities during the year, which affected performance in 2004. Security selection, particularly within the mortgage sector, was a driver of the Portfolio's performance. We also continued to underweight corporate bonds, and within the corporate sector we maintained a high-quality bias. This strategy was a drag on overall performance. In particular, our underweight in BBB-rated bonds detracted from results. Q. DID YOUR DURATION STRATEGY INFLUENCE PERFORMANCE? A. Consistent with our philosophy of de-emphasizing duration (sensitivity to interest rate changes), we kept the Portfolio's duration within 10% of the benchmark's. At year end, the Portfolio's duration was 4.2 years, compared to 4.3 years for the benchmark. As such, duration was neutral in terms of relative performance. <Table> MATURITY DISTRIBUTION(1) Less than one year............17.9% Years 1-5.....................44.1% Years 6-10....................28.5% Years 11-20....................8.4% Years 20+......................1.1% Average Years to Maturity.......4.8 years Duration..................4.2 years </Table> <Table> <Caption> TOP 5 SECTORS(1) 1. U.S. Government Agency Mortgages............. 40.5% 2. U.S. Treasury Obligations........... 18.2% 3. Corporate Bonds........ 14.5% 4. Collaterized Mortgage Obligations........... 10.1% 5. Asset Backed Securities............ 1.6% </Table> <Table> QUALITY BREAKDOWN(1) (AVERAGE QUALITY AAA) AAA Government/Agency....... 85.4% AA.......................... 2.0% A........................... 6.9% BBB......................... 5.4% BBB/NR...................... 0.3% </Table> - -------------------------------------------------------------------------------- (1) As of December 31, 2004. The Portfolio's composition is subject to change. Percentages based on net assets. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 17 ONE GROUP INVESTMENT TRUST BOND PORTFOLIO - -------------------------------------------------------------------------------- PORTFOLIO PERFORMANCE REVIEW, CONTINUED [GRAPH] Value of $10,000 Investment <Table> <Caption> LEHMAN BROTHERS AGGREGATE LIPPER INTERMEDIATE U.S. BOND PORTFOLIO BOND INDEX GOVERNMENT INDEX -------------- ------------------------- ------------------------ 5/97 10000.00 10000.00 10000.00 12/97 10826.00 10864.40 10763.00 12/98 11761.40 11806.40 11507.80 12/99 11584.90 11708.40 11604.50 12/00 13009.90 13070.00 12638.40 12/01 14161.30 14170.50 13598.90 12/02 15576.00 15625.90 14707.30 12/03 16178.80 16268.10 14998.50 12/04 16848.90 16974.10 15313.40 </Table> AVERAGE ANNUAL TOTAL RETURN AS OF DECEMBER 31, 2004 <Table> <Caption> - ---------------------------------------------------------------------------------------------------------------------- 1 Year 5 Year Since Inception (5/1/97) - ---------------------------------------------------------------------------------------------------------------------- Bond Portfolio 4.13% 7.78% 7.04% - ---------------------------------------------------------------------------------------------------------------------- Lehman Brothers Aggregated Bond Index 4.34% 7.70% 7.14% - ---------------------------------------------------------------------------------------------------------------------- Lipper Intermediate U.S. Government Index 2.10% 5.70% 5.71% - ---------------------------------------------------------------------------------------------------------------------- </Table> The performance data quoted represents past performance and is not an indication of future results. Investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. The total return set forth may reflect the waiver of a portion of the fund's fees for certain periods since the inception date; without the waiver, total return would have been lower. The performance of the Bond Portfolio is measured against the Lehman Brothers Aggregated Bond Index, an unmanaged index generally representative of the bond market as a whole. Investors are unable to purchase the index directly, although they can invest in the underlying securities. The performance of the index does not reflect the deduction of expenses associated with a mutual fund, such as investment management fees. By contrast, the performance of the Portfolio reflects the deduction of these expenses. The Lipper Intermediate U.S. Government Index consists of the equally weighted average monthly returns of the largest funds within the universe of all funds in the category. Please refer to the prospectus and the accompanying financial statements for more information about the Portfolio. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 18 ONE GROUP INVESTMENT TRUST GOVERNMENT BOND PORTFOLIO - -------------------------------------------------------------------------------- PORTFOLIO PERFORMANCE REVIEW Q. HOW DID THE PORTFOLIO PERFORM? A. For the year ended December 31, 2004, the Government Bond Portfolio posted a total return of 4.64%. This compares favorably with the 3.48% total return for the Portfolio's benchmark, the Lehman Brothers Government Bond Index. Q. HOW WOULD YOU CHARACTERIZE THE BOND MARKET OF 2004? A. As short-term interest rates slowly moved upward throughout the year, longer-term rates moved in a see-saw pattern from quarter to quarter. Although the year began with the economy growing at a healthy pace, driven primarily by consumer consumption and productivity growth, there were concerns that a slowdown was imminent. This caused interest rates to decline in the first quarter. But that sentiment was short lived, as employment and inflation figures showed unexpected increases during the second quarter. This led to significant upward movements in interest rates and a long-awaited change in Federal Reserve monetary policy. In the third quarter, the economy remained on its growth track, and the Federal Reserve continued to raise the federal funds rate in a "measured" fashion. But, as oil prices began a rapid surge upward, inflation fears mounted, which led to renewed concerns of an economic slowdown and a decline in interest rates. As we moved into the fourth quarter, an increase in business spending meant the still-growing U.S. economy was no longer supported solely by consumer consumption. Employment and inflation continued their modest moves upward. The Federal Reserve implemented two 25-basis-point rate hikes, and longer-term rate volatility subsided. Q. HOW DID THE PORTFOLIO PERFORM IN THIS CLIMATE? A. The Portfolio outperformed during the year, primarily due to its greater exposure to mortgage-backed securities. In particular, exposure to collateralized mortgage obligations, or CMOs, led to good relative performance for the year. Q. WHAT WERE YOUR PRIMARY STRATEGIES DURING THE YEAR? A. Our ongoing strategy is to maximize total return while maintaining a stable duration of approximately five years. We attempt to do this while investing only in securities that are directly or indirectly guaranteed by the U.S. government. Our goal is to seek returns primarily from income, and we attempt to do that by investing a significant portion of the portfolio in mortgage-backed securities that represent good value. Because mortgage-backed durations tend to fluctuate with changes in interest rates, we constantly adjust the duration of the portfolio's holdings to maintain a duration of approximately five years. Generally, this strategy is successful when undervalued mortgage securities appreciate to their fair value and when interest rate volatility remains low to moderate. <Table> MATURITY DISTRIBUTION(1) Less than one year............ 7.9% Years 1-5.....................43.9% Years 6-10....................25.7% Years 11-20...................21.6% Years 20+..................... 0.9% Average Years to Maturity.......6.7 Years Duration..................5.2 Years </Table> <Table> SECTOR DISTRIBUTION(1) U.S. Government Agency Mortgages................. 56.0% U.S. Treasury Obligations... 25.1% Securities Lending Collateral................ 19.1% U.S. Government Agency Securities................ 14.1% Investment Companies........ 2.7% </Table> <Table> QUALITY BREAKDOWN(1) (Average Quality AAA) AAA Government/Agency........ 99.3% AA.............................0.7% </Table> - -------------------------------------------------------------------------------- (1) As of December 31, 2004. The Portfolio's composition is subject to change. Percentages based on net assets. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 19 ONE GROUP INVESTMENT TRUST GOVERNMENT BOND PORTFOLIO - -------------------------------------------------------------------------------- PORTFOLIO PERFORMANCE REVIEW, CONTINUED [GRAPH] Value of $10,000 Investment <Table> <Caption> LEHMAN BROTHERS LIPPER GENERAL U.S. GOVERNMENT BOND PORTFOLIO GOVERNMENT BOND INDEX GOVERNMENT FUND INDEX ------------------------- --------------------- --------------------- 12/94 10000.00 10000.00 10000.00 12/95 11669.00 11833.00 11692.00 12/96 11982.90 12160.80 11944.50 12/97 13141.60 13325.80 13032.70 12/98 14103.60 14638.40 14055.80 12/99 13918.90 14309.00 13680.50 12/00 15589.10 16202.10 15304.30 12/01 16688.10 17375.10 16325.10 12/02 18734.10 19373.30 17954.40 12/03 19210.00 19832.40 18266.80 12/04 20101.10 20522.60 18880.60 </Table> AVERAGE ANNUAL TOTAL RETURN AS OF DECEMBER 31, 2004 <Table> <Caption> - ------------------------------------------------------------------------------------------------------- 1 Year 5 Year 10 Year - ------------------------------------------------------------------------------------------------------- Government Bond Portfolio 4.64% 7.63% 7.23% - ------------------------------------------------------------------------------------------------------- Lehman Brothers Government Bond Index 3.48% 7.47% 7.45% - ------------------------------------------------------------------------------------------------------- Lipper General U.S. Government Fund Index 3.36% 6.65% 6.56% - ------------------------------------------------------------------------------------------------------- </Table> The performance data quoted represents past performance and is not an indication of future results. Investment return and NAV will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. The total return set forth may reflect the waiver of a portion of the fund's fees for certain periods since the inception date; without the waiver, total return would have been lower. The performance of the Government Bond Portfolio is measured against the Lehman Brothers Government Bond Index, an unmanaged market weighted index that encompasses U.S. treasury and agency securities with maturities between five and ten years. Investors are unable to purchase the index directly, although they can invest in the underlying securities. The performance of the index does not reflect the deduction of expenses associated with a mutual fund, such as investment management fees. By contrast, the performance of the Portfolio reflects the deduction of these expenses. The Lipper Intermediate U.S. Government Index consists of the equally weighted average monthly returns of the largest funds within the universe of all funds in the category. Please refer to the prospectus and the accompanying financial statements for more information about the Portfolio. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 20 ONE GROUP INVESTMENT TRUST MID CAP GROWTH PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ----------- --------------------------- ----------- COMMON STOCKS (96.4%): Commercial Services (3.5%): 29,400 Alliance Data Systems Corp. (b)...................... 1,395,912 31,200 Dun & Bradstreet Corp. (b)...................... 1,861,080 38,340 Manpower, Inc. (d)......... 1,851,822 94,250 Nextel Partners, Inc., Class A (b) (d).......... 1,841,645 ----------- 6,950,459 ----------- Consumer Durables (4.5%): 44,750 Brunswick Corp. ........... 2,215,124 26,100 Centex Corp. .............. 1,555,038 8,600 Harman International Industries, Inc. ........ 1,092,200 23,750 HNI Corp. ................. 1,022,438 15,850 Mohawk Industries, Inc. (b)...................... 1,446,313 22,200 Polaris Industries, Inc. .................... 1,510,044 ----------- 8,841,157 ----------- Consumer Non-Durables (1.3%): 44,050 Coach, Inc. (b)............ 2,484,420 ----------- Consumer Services (5.9%): 99,150 Caesars Entertainment, Inc. (b)...................... 1,996,881 27,395 Cheesecake Factory, Inc. (b)...................... 889,516 39,800 Education Management Corp. (b)...................... 1,313,798 88,900 Hilton Hotels Corp. ....... 2,021,586 20,570 International Speedway Corp., Class A........... 1,086,096 26,300 MGM Grand, Inc. (b) (d).... 1,913,062 20,400 Royal Caribbean Cruises Ltd. (d)................. 1,110,576 1,370 Washington Post Co., Class B........................ 1,346,737 ----------- 11,678,252 ----------- Distribution Services (1.0%): 28,680 CDW Corp. ................. 1,902,918 ----------- Electronic Technology (19.2%): 40,100 Altera Corp. (b)........... 830,070 89,250 Amphenol Corp., Class A (b)...................... 3,279,044 16,900 Apple Computer, Inc. (b)... 1,088,360 77,700 Arrow Electronics, Inc. (b)...................... 1,888,110 97,800 Avaya, Inc. (b)............ 1,682,160 60,600 Broadcom Corp., Class A (b)...................... 1,956,168 18,600 Cognizant Technology Solutions Corp. (b) (d)...................... 787,338 43,600 Comverse Technology, Inc. (b)...................... 1,066,020 21,640 Diebold, Inc. ............. 1,205,997 63,200 Flextronics International Ltd. (b) (d)............. 873,424 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ----------- --------------------------- ----------- COMMON STOCKS, CONTINUED: Electronic Technology, continued: 15,100 Harris Corp. .............. 933,029 56,100 Jabil Circuit, Inc. (b).... 1,435,038 50,500 Juniper Networks, Inc. (b)...................... 1,373,095 22,400 KLA-Tencor Corp. (b)....... 1,043,392 19,100 L-3 Communications Holdings, Inc. (d)....... 1,398,884 47,910 Lam Research Corp. (b)..... 1,385,078 36,750 Linear Technology Corp. (d)...................... 1,424,430 60,515 Microchip Technology, Inc. .................... 1,613,330 40,750 NCR Corp. (b).............. 2,821,123 50,700 Network Appliance, Inc. (b)...................... 1,684,254 27,700 Precision Castparts Corp. ................... 1,819,336 35,000 Rockwell Collins........... 1,380,400 28,300 Rockwell International Corp. ................... 1,402,265 110,000 Xerox Corp. (b)............ 1,871,100 26,000 Zebra Technologies Corp., Class A (b).............. 1,463,280 ----------- 37,704,725 ----------- Energy Minerals (3.1%): 43,900 Consol Energy, Inc. ....... 1,802,095 16,130 Murphy Oil Corp. .......... 1,297,659 55,900 Talisman Energy, Inc. (d)...................... 1,507,064 43,395 XTO Energy, Inc. .......... 1,535,315 ----------- 6,142,133 ----------- Finance (8.0%): 15,700 AMBAC Financial Group, Inc. .................... 1,289,441 76,100 AmeriCredit Corp. (b)...... 1,860,645 116,300 Ameritrade Holdings Corp. (b) (d).................. 1,653,786 36,456 ChoicePoint, Inc. (b)...... 1,676,611 43,900 CIT Group, Inc. ........... 2,011,498 20,200 Doral Financial Corp. (d)...................... 994,850 22,380 Legg Mason, Inc. .......... 1,639,559 64,200 North Fork Bancorp, Inc. .................... 1,852,170 1,871 Westamerica Bancorp........ 109,098 34,100 Willis Group Holdings Ltd. .................... 1,403,897 19,450 Zions Bancorp.............. 1,323,184 ----------- 15,814,739 ----------- Health Services (8.1%): 15,400 Aetna, Inc. ............... 1,921,150 69,011 Caremark Rx, Inc. (b)...... 2,721,104 23,050 Covance, Inc. (b).......... 893,188 28,105 Coventry Health Care, Inc. (b)...................... 1,491,813 74,600 Davita, Inc. (b) (d)....... 2,948,937 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 21 ONE GROUP INVESTMENT TRUST MID CAP GROWTH PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ----------- --------------------------- ----------- COMMON STOCKS, CONTINUED: Health Services, continued: 28,500 Laboratory Corp. of America Holdings (b)............. 1,419,870 32,600 Manor Care, Inc. .......... 1,155,018 58,850 Omnicare, Inc. ............ 2,037,387 36,500 Triad Hospitals, Inc. (b)...................... 1,358,165 ----------- 15,946,632 ----------- Health Technology (12.7%): 23,050 Bausch & Lomb, Inc. ....... 1,485,803 25,610 Beckman Coulter, Inc. ..... 1,715,614 36,650 Biomet, Inc. .............. 1,590,244 68,250 Celgene Corp. (b) (d)...... 1,810,673 47,150 Cytyc Corp. (b) (d)........ 1,299,926 27,470 Dentsply International, Inc. .................... 1,543,814 38,400 Eon Labs, Inc. (b) (d)..... 1,036,800 38,150 Fisher Scientific International, Inc. (b) (d)...................... 2,379,796 25,550 Genzyme Corp. (b) (d)...... 1,483,689 21,300 Invitrogen Corp. (b) (d)... 1,429,869 32,400 OSI Pharmaceuticals, Inc. (b) (d).................. 2,425,139 38,630 Sepracor, Inc. (b) (d)..... 2,293,462 43,400 St. Jude Medical, Inc. (b)...................... 1,819,762 65,750 Valeant Pharmaceuticals, Inc. .................... 1,732,513 11,400 Zimmer Holdings, Inc. (b)...................... 913,368 ----------- 24,960,472 ----------- Industrial Services (4.5%): 17,600 BJ Services Co. ........... 819,104 43,550 Harsco Corp. .............. 2,427,477 39,410 Jacobs Engineering Group, Inc. (b)................. 1,883,404 41,150 Noble Corp. (b) (d)........ 2,046,801 34,700 Patterson-UTI Energy, Inc. .................... 674,915 19,370 Smith International, Inc. (b)...................... 1,053,922 ----------- 8,905,623 ----------- Process Industries (0.7%): 41,000 Donaldson Co., Inc. (d).... 1,335,780 ----------- Producer Manufacturing (3.3%): 41,200 Autoliv, Inc. ............. 1,989,960 23,690 Hubbell, Inc., Class B..... 1,238,987 21,850 ITT Industries, Inc. ...... 1,845,233 22,000 Oshkosh Truck Corp. (d).... 1,504,360 ----------- 6,578,540 ----------- Retail Trade (8.0%): 42,800 Abercrombie & Fitch Co., Class A (d).............. 2,009,460 33,100 Advance Auto Parts, Inc. (b)...................... 1,445,808 32,000 Carmax, Inc. (b)........... 993,600 33,800 Chico's FAS, Inc. (b) (d)...................... 1,538,914 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ----------- --------------------------- ----------- COMMON STOCKS, CONTINUED: Retail Trade, continued: 111,050 Circuit City Stores, Inc. (d)...................... 1,736,822 40,860 Claire's Stores, Inc. ..... 868,275 27,280 Fastenal Co. (d)........... 1,679,357 88,800 Foot Locker, Inc. ......... 2,391,384 36,410 Petsmart, Inc. ............ 1,293,647 56,950 RadioShack Corp. .......... 1,872,516 ----------- 15,829,783 ----------- Technology Services (9.6%): 39,000 Adobe Systems, Inc. ....... 2,446,859 37,400 Affiliated Computer Services, Inc., Class A (b) (d).................. 2,251,106 29,900 Ask Jeeves, Inc. (b) (d)... 799,825 46,700 Checkfree Corp. (b) (d).... 1,778,336 45,000 Cognos, Inc. (b)........... 1,982,700 63,350 Computer Associates International, Inc. ..... 1,967,651 36,800 Fiserv, Inc. (b) (d)....... 1,478,992 7,100 Getty Images, Inc. (b) (d)...................... 488,835 34,235 National Instruments Corp. (d)...................... 932,904 46,700 Tech Data Corp. (b)........ 2,120,180 48,000 Verisign, Inc. (b)......... 1,608,960 28,500 West Corp. (b)............. 943,635 ----------- 18,799,983 ----------- Transportation (2.0%): 34,500 C.H. Robinson Worldwide, Inc. .................... 1,915,440 37,060 Expeditors International of Washington, Inc. ........ 2,070,913 ----------- 3,986,353 ----------- Utilities (1.0%): 32,260 Equitable Resources, Inc. .................... 1,956,892 ----------- Total Common Stocks 189,818,861 ----------- INVESTMENT COMPANIES (2.9%): 5,655,400 One Group Prime Money Market Fund, Class I (c)...................... 5,655,400 ----------- Total Investment Companies 5,655,400 ----------- SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES LENDING (16.2%): 31,874,025 Pool of various securities for One Group Equity Funds -- footnote 2 (Securities Lending)..... 31,874,025 ----------- Total Short-Term Securities Held as Collateral for Securities Lending 31,874,025 ----------- Total (Cost $188,912,485) (a) 227,348,286 =========== </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 22 ONE GROUP INVESTMENT TRUST MID CAP GROWTH PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED - ------------ Percentages indicated are based on net assets of $196,842,452. (a) Represents cost for financial reporting purposes and differs from market value by unrealized appreciation (depreciation) of securities as follows: <Table> Unrealized appreciation...................... $39,005,265 Unrealized depreciation...................... (569,464) ----------- Net unrealized appreciation (depreciation)... $38,435,801 =========== </Table> Aggregate cost for federal income tax purposes differs from cost for financial reporting purposes by less than 2% of net assets and is therefore considered substantially the same. (b) Non-income producing securities. (c) Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by Banc One Investment Advisors Corporation. (d) Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction. See notes to financial statements. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 23 ONE GROUP INVESTMENT TRUST MID CAP VALUE PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- COMMON STOCKS (93.9%): Commercial Services (0.9%): 20,400 Adesa, Inc. ................ 432,888 6,900 Allete, Inc. (d)............ 253,575 17,600 Valassis Communications, Inc. (b).................. 616,176 ----------- 1,302,639 ----------- Consumer Durables (2.9%): 15,100 Centex Corp. (d)............ 899,658 13,900 Fortune Brands, Inc. ....... 1,072,802 13,100 HNI Corp. .................. 563,955 13,600 Lennar Corp. (d)............ 770,848 7,800 Mohawk Industries, Inc. (b)....................... 711,750 ----------- 4,019,013 ----------- Consumer Non-Durables (7.2%): 21,500 Brown-Forman Corp., Class B......................... 1,046,620 11,600 Clorox Co. ................. 683,588 13,200 Columbia Sportswear Co. (b) (d)....................... 786,852 18,600 Constellation Brands, Inc., Class A (b) (d)........... 865,086 38,600 Dean Foods Co. (b).......... 1,271,870 29,600 Hormel Foods Corp. ......... 927,960 16,600 International Flavors & Fragrances, Inc. ......... 711,144 62,300 PepsiAmericas, Inc. ........ 1,323,252 13,400 The J.M. Smucker Co. ....... 630,738 30,700 V.F. Corp. ................. 1,700,166 ----------- 9,947,276 ----------- Consumer Services (9.2%): 19,700 Alltel Corp. ............... 1,157,572 27,500 Applebee's International, Inc. ..................... 727,375 43,100 Belo Corp., Class A......... 1,130,944 14,300 Brookfield Properties Corp. .................... 534,820 39,100 CenturyTel, Inc. ........... 1,386,877 7,500 Choice Hotels International, Inc. ..................... 435,000 30,100 Dex Media, Inc. (d)......... 751,296 18,900 E.W. Scripps Co., Class A... 912,492 31,600 Hilton Hotels Corp. ........ 718,584 7,100 Knight-Ridder, Inc. ........ 475,274 28,900 Mandalay Resort Group....... 2,035,427 23,500 Outback Steakhouse, Inc. (d)....................... 1,075,830 8,500 PartnerRe Ltd. ............. 526,490 11,800 Telephone & Data Systems, Inc. ..................... 908,010 ----------- 12,775,991 ----------- Electronic Technology (3.0%): 46,500 Arrow Electronics, Inc. (b) (d)....................... 1,129,950 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- COMMON STOCKS, CONTINUED: Electronic Technology, continued: 11,800 Diebold, Inc. (d)........... 657,614 18,860 Harris Corp. ............... 1,165,359 9,300 L-3 Communications Holdings, Inc. (d).................. 681,132 6,300 Lexmark International, Inc., Class A (b)............... 535,500 ----------- 4,169,555 ----------- Energy Minerals (4.5%): 32,880 Arch Coal, Inc. ............ 1,168,555 10,900 Ashland, Inc. .............. 636,342 30,924 Devon Energy Corp. ......... 1,203,562 10,800 Houston Exploration Co. (b)....................... 608,148 10,000 Newfield Exploration Co. (b)....................... 590,500 38,500 Pioneer Natural Resources Co. ...................... 1,351,350 14,060 Valero Energy Corp. ........ 638,324 ----------- 6,196,781 ----------- Finance (27.3%): 20,900 AMB Property Corp. ......... 844,151 36,700 American Financial Realty Trust (d)................. 593,806 20,000 Associated Banc Corp. ...... 664,200 46,100 Assurant, Inc. ............. 1,408,355 31,800 Banknorth Group, Inc. (d)... 1,163,880 20,200 Cincinnati Financial Corp. .................... 894,052 40,500 Compass Bancshares, Inc. ... 1,971,135 12,100 Cousins Properties, Inc. ... 366,267 15,900 Cullen/Frost Bankers, Inc. ..................... 772,740 112,300 E*Trade Group, Inc. (b)..... 1,678,885 17,600 Everest Re Group Ltd. ...... 1,576,256 40,502 Fidelity National Financial, Inc. ..................... 1,849,726 21,200 Golden West Financial Corp. .................... 1,302,104 18,600 Independence Community Bank Corp. (d)................. 791,988 17,100 IPC Holdings Ltd. .......... 744,021 6,300 Kimco Realty Corp. (d)...... 365,337 12,600 Legg Mason, Inc. (d)........ 923,076 25,520 Liberty Property Trust (d)....................... 1,102,464 8,000 M & T Bank Corp. ........... 862,720 21,030 MBIA, Inc. (d).............. 1,330,778 25,000 Mercantile Bankshares Corp. .................... 1,305,000 10,400 MGIC Investment Corp. ...... 716,664 37,550 North Fork Bancorp, Inc. ... 1,083,318 17,200 Northern Trust Corp. ....... 835,576 67,350 Old Republic International Corp. .................... 1,703,955 23,000 PMI Group, Inc. ............ 960,250 25,300 Principal Financial Group... 1,035,782 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 24 ONE GROUP INVESTMENT TRUST MID CAP VALUE PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- COMMON STOCKS, CONTINUED: Finance, continued: 18,800 Protective Life Corp. ...... 802,572 14,500 PS Business Parks, Inc. .... 653,950 22,100 Radian Group, Inc. ......... 1,176,604 60,700 Sovereign Bancorp, Inc. (d)....................... 1,368,785 14,800 StanCorp Financial Group, Inc. ..................... 1,221,000 29,000 TCF Financial Corp. (d)..... 932,060 28,300 United Dominion Realty Trust, Inc. .............. 701,840 19,700 Willis Group Holdings Ltd. ..................... 811,049 16,000 Zions Bancorp............... 1,088,480 ----------- 37,602,826 ----------- Health Services (4.3%): 24,500 Coventry Health Care, Inc. (b)....................... 1,300,460 30,800 IMS Health, Inc. ........... 714,868 18,700 Manor Care, Inc. ........... 662,541 30,100 Omnicare, Inc. ............. 1,042,062 6,500 Quest Diagnostics, Inc. .... 621,075 14,300 Renal Care Group, Inc. (b)....................... 514,657 27,700 Triad Hospitals, Inc. (b)... 1,030,717 ----------- 5,886,380 ----------- Industrial Services (3.3%): 43,300 Grant Prideco, Inc. (b) (d)....................... 868,165 14,500 Harsco Corp. ............... 808,230 20,700 National-Oilwell, Inc. (b) (d)....................... 730,503 36,000 Republic Services, Inc. .... 1,207,440 33,500 Varco International, Inc. (b)....................... 976,525 ----------- 4,590,863 ----------- Non-Energy Minerals (1.7%): 13,800 Florida Rock Industries, Inc. ..................... 821,514 15,900 Rayonier, Inc. ............. 777,669 14,100 Vulcan Materials Co. ....... 770,001 ----------- 2,369,184 ----------- Process Industries (5.2%): 19,500 Albemarle Corp. ............ 754,845 17,300 Ball Corp. ................. 760,854 22,680 Cabot Corp. ................ 877,262 25,800 Lubrizol Corp. ............. 950,988 9,200 Minerals Technologies, Inc. ..................... 613,640 30,900 Pactiv Corp. (b) (d)........ 781,461 52,240 RPM International, Inc. (d)....................... 1,027,039 9,900 Sigma-Aldrich Corp. (d)..... 598,554 17,000 Valspar Corp. .............. 850,170 ----------- 7,214,813 ----------- Producer Manufacturing (4.8%): 16,000 American Standard Cos., Inc. (b)....................... 661,120 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- COMMON STOCKS, CONTINUED: Producer Manufacturing, continued: 24,800 Borg Warner, Inc. .......... 1,343,416 15,900 Carlisle Cos., Inc. ........ 1,032,228 9,300 Cooper Industries Ltd., Class A................... 631,377 11,700 Crane Co. .................. 337,428 15,100 Lear Corp. ................. 921,251 23,800 Pentair, Inc. .............. 1,036,728 21,600 Trinity Industries, Inc. (d)....................... 736,128 ----------- 6,699,676 ----------- Retail Trade (7.0%): 21,000 Advance Auto Parts, Inc. (b)....................... 917,280 48,000 AutoNation, Inc. (b)........ 922,080 14,700 AutoZone, Inc. (b) (d)...... 1,342,257 42,100 Family Dollar Stores, Inc. ..................... 1,314,783 23,700 May Department Stores Co. (d)....................... 696,780 103,600 Saks, Inc. (d).............. 1,503,236 8,400 Sherwin-Williams Co. ....... 374,892 22,300 Tiffany & Co. .............. 712,931 58,900 TJX Cos., Inc. ............. 1,480,157 11,400 Tuesday Morning Corp. (b) (d)....................... 349,182 ----------- 9,613,578 ----------- Technology Services (1.7%): 12,800 Affiliated Computer Services, Inc., Class A (b) (d)................... 770,432 29,100 Computer Associates International, Inc. (d)... 903,846 31,200 Interactive Data Corp. (b)....................... 678,288 ----------- 2,352,566 ----------- Transportation (1.5%): 23,300 EGL, Inc. (b) (d)........... 696,437 22,100 J.B. Hunt Transport Services, Inc. ........... 991,185 6,800 United Defense Industries, Inc. (b).................. 321,300 ----------- 2,008,922 ----------- Utilities (9.4%): 33,400 Black Hills Corp. .......... 1,024,712 24,700 Consolidated Edison, Inc. ..................... 1,080,625 8,400 Dominion Resources, Inc. ... 569,016 38,600 Energy East Corp. .......... 1,029,848 14,300 Equitable Resources, Inc. ..................... 867,438 21,480 Hawaiian Electric Industries, Inc. (d)...... 626,142 14,900 Kinder Morgan, Inc. ........ 1,089,637 44,220 MDU Resources Group, Inc. (d)....................... 1,179,790 20,800 Northeast Utilities......... 392,080 17,490 NSTAR (d)................... 949,357 27,500 Oneok, Inc. ................ 781,550 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 25 ONE GROUP INVESTMENT TRUST MID CAP VALUE PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- COMMON STOCKS, CONTINUED: Utilities, continued: 15,500 Scana Corp. ................ 610,700 26,200 Sempra Energy............... 961,016 22,800 Westar Energy, Inc. ........ 521,436 37,000 Wisconsin Energy Corp. ..... 1,247,270 ----------- 12,930,617 ----------- Total Common Stocks 129,680,680 ----------- WARRANTS (0.0%) (e): Finance (0.0%) (e): 23,100 Dime Bancorp, Inc. (b)...... 4,389 ----------- Total Warrants 4,389 ----------- </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- INVESTMENT COMPANIES (5.2%): 7,147,024 One Group Prime Money Market Fund, Class I (c)......... 7,147,024 ----------- Total Investment Companies 7,147,024 ----------- SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES LENDING (12.6%): 17,449,611 Pool of various securities for One Group Equity Funds -- footnote 2 (Securities Lending)...... 17,449,611 ----------- Total Short-Term Securities Held as Collateral for Securities Lending 17,449,611 ----------- Total (Cost $128,569,833) (a) 154,281,704 =========== </Table> - ------------ Percentages indicated are based on net assets of $138,171,361. (a) Represents cost for financial reporting purposes and differs from market value by unrealized appreciation (depreciation) of securities as follows: <Table> Unrealized appreciation...................... $25,853,016 Unrealized depreciation...................... (141,145) ----------- Net unrealized appreciation (depreciation)... $25,711,871 =========== </Table> Aggregate cost for federal income tax purposes differs from cost for financial reporting purposes by less than 2% of net assets and is therefore considered substantially the same. (b) Non-income producing securities. (c) Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by Banc One Investment Advisors Corporation. (d) Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction. (e) Amount rounds to less than 0.1%. See notes to financial statements. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 26 ONE GROUP INVESTMENT TRUST DIVERSIFIED MID CAP PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------ ---------- COMMON STOCKS (98.4%): Commercial Services (3.7%): 12,093 Adesa, Inc. .................. 256,613 7,400 Alliance Data Systems Corp. (b)......................... 351,352 8,700 Brinks Co. ................... 343,824 6,200 Dun & Bradstreet Corp. (b).... 369,830 5,300 R.H. Donnelley Corp. (b) (d)......................... 312,965 16,130 RSA Security, Inc. (b) (d).... 323,568 8,600 Valassis Communications, Inc. (b)......................... 301,086 ---------- 2,259,238 ---------- Consumer Durables (7.8%): 17,900 Activision, Inc. (b).......... 361,222 3,800 Black & Decker Corp. ......... 335,654 6,700 Brunswick Corp. .............. 331,650 4,500 CBL & Associates Properties... 343,575 5,800 Centex Corp. ................. 345,564 15,280 D.R. Horton, Inc. ............ 615,937 8,200 Eastman Kodak Co. (d)......... 264,450 25,600 Goodyear Tire & Rubber Co. (b) (d)......................... 375,296 7,800 Lennar Corp. ................. 442,104 1,900 Mohawk Industries, Inc. (b)... 173,375 500 NVR, Inc. (b)................. 384,700 6,200 Ryland Group, Inc. ........... 356,748 5,500 Toll Brothers, Inc. (b) (d)... 377,355 ---------- 4,707,630 ---------- Consumer Non-Durables (4.7%): 10,600 American Greetings Corp., Class A (d)................. 268,710 6,630 Coach, Inc. (b)............... 373,932 8,513 Constellation Brands, Inc., Class A (b)................. 395,940 12,948 Liz Claiborne, Inc. .......... 546,535 9,800 Pilgrim's Pride Corp. (d)..... 300,664 3,500 Reynolds American, Inc. (d)... 275,100 4,800 Timberland Co., Class A (b)... 300,816 21,700 Tyson Foods, Inc., Class A.... 399,280 ---------- 2,860,977 ---------- Consumer Services (1.3%): 7,267 ITT Educational Services, Inc. (b)......................... 345,546 6,322 Mandalay Resort Group......... 445,258 ---------- 790,804 ---------- Electronic Technology (4.4%): 9,159 Amphenol Corp., Class A (b)... 336,502 9,000 Cree, Inc. (b) (d)............ 360,720 3,320 Harris Corp. ................. 205,143 7,676 L-3 Communications Holdings, Inc. (d).................... 562,190 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------ ---------- COMMON STOCKS, CONTINUED: Electronic Technology, continued: 4,700 Precision Castparts Corp. .... 308,696 31,800 Xerox Corp. (b)............... 540,918 6,475 Zebra Technologies Corp., Class A (b)................. 364,413 ---------- 2,678,582 ---------- Energy Minerals (8.7%): 8,602 Apache Corp. ................. 435,003 9,285 Arch Coal, Inc. (d)........... 329,989 4,700 Kerr-McGee Corp. ............. 271,613 6,870 Murphy Oil Corp. ............. 552,691 8,200 Newfield Exploration Co. (b)......................... 484,210 8,000 Noble Energy, Inc. ........... 493,280 10,500 Patina Oil & Gas Corp. ....... 393,750 4,800 Peabody Energy Corp. ......... 388,368 15,205 Pioneer Natural Resources Co. ........................ 533,696 17,900 Plains Exploration & Product Co. (b)..................... 465,400 4,900 Sunoco, Inc. ................. 400,379 13,100 XTO Energy, Inc. ............. 463,478 ---------- 5,211,857 ---------- Finance (22.0%): 6,713 Affiliated Managers Group, Inc. (b) (d)................ 454,739 7,219 AMBAC Financial Group, Inc. ....................... 592,896 5,300 American Financial Group, Inc. ....................... 165,943 19,700 AmeriCredit Corp. (b)......... 481,665 6,600 AmerUs Group Co., Class A (d)......................... 298,980 13,018 Associated Banc Corp. ........ 432,328 15,583 Assured Guaranty Ltd. ........ 306,518 16,603 Axis Capital Holdings Ltd. ... 454,258 21,000 Colonial BancGroup, Inc. ..... 445,830 11,457 Compass Bancshares, Inc. ..... 557,612 35,934 E*Trade Group, Inc. (b)....... 537,213 5,178 Everest Re Group Ltd. ........ 463,742 9,300 Fidelity National Financial, Inc. ....................... 424,731 10,000 First American Financial Corp. ...................... 351,400 9,570 General Growth Properties..... 346,051 12,900 Hibernia Corp., Class A....... 380,679 19,800 Host Marriott Corp. (d)....... 342,540 12,000 Independence Community Bank Corp. ...................... 510,960 4,899 National Financial Partners Co. ........................ 190,081 1,100 New Century Financial Corp. ...................... 70,301 22,612 North Fork Bancorp, Inc. ..... 652,357 15,000 Old Republic International Corp. ...................... 379,500 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 27 ONE GROUP INVESTMENT TRUST DIVERSIFIED MID CAP PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------ ---------- COMMON STOCKS, CONTINUED: Finance, continued: 12,457 PMI Group, Inc. .............. 520,080 7,967 ProAssurance Corp. (b) (d).... 311,589 10,600 Protective Life Corp. ........ 452,514 18,300 Providian Financial Corp. (b)......................... 301,401 6,900 R&G Financial Corp. .......... 268,272 7,410 Radian Group, Inc. ........... 394,508 10,700 Raymond James Financial, Inc. (d)......................... 331,486 5,901 StanCorp Financial Group, Inc. ....................... 486,833 7,200 Unitrin, Inc. ................ 327,240 11,900 Ventas, Inc. ................. 326,179 8,000 W.R. Berkley Corp. ........... 377,360 6,100 WFS Financial, Inc. (b)....... 309,758 ---------- 13,247,544 ---------- Health Services (4.8%): 11,465 Caremark Rx, Inc. (b)......... 452,065 4,000 Cigna Corp. .................. 326,280 9,501 Coventry Health Care, Inc. (b)......................... 504,313 4,000 Davita, Inc. (b).............. 158,120 4,690 Express Scripts, Inc., Class A (b) (d)..................... 358,504 9,500 PacifiCare Health Systems, Inc. (b).................... 536,940 5,029 WellPoint, Inc. (b)........... 578,335 ---------- 2,914,557 ---------- Health Technology (1.8%): 4,705 Beckman Coulter, Inc. ........ 315,188 7,300 Charles River Laboratories International, Inc. (b) (d)......................... 335,873 7,171 Fisher Scientific International, Inc. (b)(d)...................... 447,327 ---------- 1,098,388 ---------- Industrial Services (3.0%): 15,702 Grant Prideco, Inc. (b)....... 314,825 6,138 Harsco Corp. ................. 342,132 9,060 National-Oilwell, Inc. (b) (d)......................... 319,727 7,500 Overseas Shipholding Group, Inc. ....................... 414,000 11,953 Republic Services, Inc. ...... 400,904 ---------- 1,791,588 ---------- Non-Energy Minerals (2.9%): 8,300 Nucor Corp. .................. 434,422 2,900 Phelps Dodge Corp. (d)........ 286,868 7,600 Steel Dynamics, Inc. (d)...... 287,888 5,400 United States Steel Corp. .... 276,750 9,500 UST, Inc. .................... 457,045 ---------- 1,742,973 ---------- Process Industries (4.1%): 11,824 Ball Corp. ................... 520,019 8,995 Cabot Corp. .................. 347,927 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------ ---------- COMMON STOCKS, CONTINUED: Process Industries, continued: 24,200 Crown Holdings, Inc. (b)...... 332,508 6,200 Cytec Industries, Inc. ....... 318,804 7,700 FMC Corp. (b)................. 371,910 7,700 Georgia-Pacific Corp. ........ 288,596 6,700 Southern Peru Copper Corp. (d)......................... 316,307 ---------- 2,496,071 ---------- Producer Manufacturing (7.6%): 21,476 AGCO Corp. (b)................ 470,110 13,858 Ametek, Inc. ................. 494,315 6,200 Autoliv, Inc. ................ 299,460 9,784 Borg Warner, Inc. ............ 529,998 6,309 Cummins, Inc. ................ 528,631 4,400 Eaton Corp. .................. 318,384 7,700 Energizer Holdings, Inc. (b)......................... 382,613 9,000 Graco, Inc. .................. 336,150 5,900 Kennametal, Inc. (d).......... 293,643 7,950 Nordson Corp. ................ 318,557 6,300 Terex Corp. (b) (d)........... 300,195 9,500 Thomas & Betts Corp. (b)...... 292,125 ---------- 4,564,181 ---------- Retail Trade (5.1%): 8,300 Abercrombie & Fitch Co., Class A........................... 389,684 9,900 Aeropostale, Inc. (b) (d)..... 291,357 7,400 American Eagle Outfitters, Inc. ....................... 348,540 5,840 Barnes & Noble, Inc. (b)...... 188,457 11,700 BJ's Wholesale Club, Inc. (b)......................... 340,821 8,400 Claire's Stores, Inc. ........ 178,500 7,800 J.C. Penney, Inc. ............ 322,920 3,600 Kmart Holding Corp. (b) (d)... 356,220 7,198 Regis Corp. .................. 332,188 12,921 Rent-A-Center, Inc. (b)....... 342,407 ---------- 3,091,094 ---------- Technology Services (5.7%): 12,400 Acxiom Corp. ................. 326,120 13,200 Autodesk, Inc. ............... 500,940 20,500 BMC Software, Inc. (b)........ 381,300 9,700 Checkfree Corp. (b)........... 369,376 3,300 Computer Sciences Corp. (b)... 186,021 25,000 Earthlink, Inc. (b)........... 288,000 4,950 Fair Issac & Co., Inc. ....... 181,566 16,600 Ingram Micro, Inc. (b)........ 345,280 13,400 McAfee, Inc. (b) (d).......... 387,662 11,056 Tech Data Corp. (b)........... 501,942 ---------- 3,468,207 ---------- </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 28 ONE GROUP INVESTMENT TRUST DIVERSIFIED MID CAP PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------ ---------- COMMON STOCKS, CONTINUED: Transportation (4.4%): 8,700 CNF, Inc. .................... 435,870 1,730 Expeditors International of Washington, Inc. ........... 96,672 8,980 J.B. Hunt Transport Services, Inc. ....................... 402,753 16,000 Laidlaw International, Inc. (b)......................... 342,400 19,010 Norfolk Southern Corp. ....... 687,972 7,400 United Defense Industries, Inc. (b).................... 349,650 6,400 Yellow Corp. (b).............. 356,544 ---------- 2,671,861 ---------- Utilities (6.4%): 34,800 AES Corp. (b)................. 475,716 12,761 Alliant Energy Corp. ......... 364,965 8,383 Equitable Resources, Inc. .... 508,513 12,981 MDU Resources Group, Inc. .... 346,333 11,800 National Fuel Gas Co. ........ 334,412 16,400 Oneok, Inc. .................. 466,088 7,500 Questar Corp. ................ 382,200 9,201 Scana Corp. .................. 362,519 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ------------------------------ ---------- COMMON STOCKS, CONTINUED: Utilities, continued: 7,300 Sempra Energy................. 267,764 10,842 Wisconsin Energy Corp. ....... 365,484 ---------- 3,873,994 ---------- Total Common Stocks 59,469,546 ---------- INVESTMENT COMPANIES (0.3%): 184,921 One Group Prime Money Market Fund, Class I (c)........... 184,921 ---------- Total Investment Companies 184,921 ---------- SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES LENDING (12.1%): 7,280,428 Pool of various securities for One Group Equity Funds -- footnote 2 (Securities Lending).................... 7,280,428 ---------- Total Short-Term Securities Held as Collateral for Securities Lending 7,280,428 ---------- Total (Cost $56,788,373) (a) 66,934,895 ========== </Table> - ------------ Percentages indicated are based on net assets of $60,396,760. (a) Represents cost for financial reporting purposes and differs from market value by unrealized appreciation (depreciation) of securities as follows: <Table> Unrealized appreciation...................... $10,367,537 Unrealized depreciation...................... (221,015) ----------- Net unrealized appreciation (depreciation)... $10,146,522 =========== </Table> Aggregate cost for federal income tax purposes differs from cost for financial reporting purposes by less than 2% of net assets and is therefore considered substantially the same. (b) Non-income producing securities. (c) Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by Banc One Investment Advisors Corporation. (d) Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction. See notes to financial statements. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 29 ONE GROUP INVESTMENT TRUST LARGE CAP GROWTH PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- COMMON STOCKS (97.6%): Commercial Services (1.0%): 38,800 Iron Mountain, Inc. (b) (d)....................... 1,183,012 34,600 Robert Half International, Inc. (d).................. 1,018,278 ----------- 2,201,290 ----------- Communications (2.8%): 150,300 Crown Castle International Corp. (b)................. 2,500,992 71,900 Nextel Communications, Inc., Class A (b)............... 2,157,000 60,600 Sprint Corp. -- FON Group... 1,505,910 ----------- 6,163,902 ----------- Consumer Non-Durables (7.4%): 24,300 Cintas Corp. ............... 1,065,798 101,010 Coca-Cola Co. .............. 4,205,046 59,370 Gillette Co. ............... 2,658,589 194,300 Liberty Media Corp. (b)..... 2,133,414 108,990 Procter & Gamble Co. ....... 6,003,169 ----------- 16,066,016 ----------- Consumer Services (5.9%): 37,600 Apollo Group, Inc., Class A (b)....................... 3,034,695 33,600 Carnival Corp. ............. 1,936,368 20,200 E.W. Scripps Co., Class A... 975,256 38,190 EchoStar Communications Corp., Class A............ 1,269,436 35,680 Education Management Corp. (b)....................... 1,177,797 29,700 International Game Technology................ 1,021,086 31,600 Lamar Advertising Co., Class A (b) (d)................. 1,351,848 12,600 P.F. Chang's China Bistro, Inc. (b) (d).............. 710,010 37,900 Viacom, Inc., Class B....... 1,379,181 ----------- 12,855,677 ----------- Distribution Services (2.0%): 36,000 CDW Corp. .................. 2,388,600 53,500 Sysco Corp. ................ 2,042,095 ----------- 4,430,695 ----------- Electronic Technology (17.9%): 76,700 Altera Corp. (b)............ 1,587,690 51,630 Analog Devices, Inc. ....... 1,906,180 67,000 Applied Materials, Inc. (b) (d)....................... 1,145,700 249,700 Cisco Systems, Inc. (b)..... 4,819,209 120,450 Corning, Inc. (b)........... 1,417,697 129,290 Dell, Inc. (b).............. 5,448,280 77,900 EMC Corp. (b)............... 1,158,373 12,810 General Dynamics Corp. ..... 1,339,926 186,420 Intel Corp. ................ 4,360,364 64,600 Juniper Networks, Inc. (b)....................... 1,756,474 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- COMMON STOCKS, CONTINUED: Electronic Technology, continued: 28,700 Linear Technology Corp. (d)....................... 1,112,412 23,780 Lockheed Martin Corp. ...... 1,320,979 93,220 Motorola, Inc. ............. 1,603,384 68,920 PerkinElmer, Inc. .......... 1,550,011 77,480 Qualcomm, Inc. ............. 3,285,152 15,300 Research in Motion Ltd. (b)....................... 1,261,026 85,500 Symbol Technologies, Inc. ..................... 1,479,150 93,200 Xerox Corp. (b)............. 1,585,332 11,300 Zebra Technologies Corp., Class A (b)............... 635,964 ----------- 38,773,303 ----------- Energy Minerals (1.4%): 28,500 Anadarko Petroleum Corp. ... 1,847,085 20,100 Newfield Exploration Co. (b)....................... 1,186,905 ----------- 3,033,990 ----------- Finance (9.1%): 12,300 AMBAC Financial Group, Inc. ..................... 1,010,199 44,950 American International Group, Inc. .............. 2,951,867 136,400 Charles Schwab Corp. ....... 1,631,344 9,370 Chicago Mercantile Exchange (d)....................... 2,142,919 27,400 ChoicePoint, Inc. (b)....... 1,260,126 11,500 Countrywide Financial Corp. .................... 425,615 44,200 Freddie Mac................. 3,257,539 10,100 Legg Mason, Inc. ........... 739,926 44,440 Morgan Stanley Dean Witter & Co. ...................... 2,467,309 45,100 Providian Financial Corp. (b)....................... 742,797 23,000 The First Marblehead Corp. (b) (d)................... 1,293,750 41,700 Willis Group Holdings Ltd. ..................... 1,716,789 ----------- 19,640,180 ----------- Health Services (2.6%): 45,900 Laboratory Corp. of America Holdings (b).............. 2,286,738 38,520 UnitedHealth Group, Inc. ... 3,390,916 ----------- 5,677,654 ----------- Health Technology (18.2%): 24,634 Amgen, Inc. (b)............. 1,580,271 55,900 Baxter International, Inc. ..................... 1,930,786 34,670 Biogen Idec, Inc. (b)....... 2,309,369 46,180 Boston Scientific Corp. (b)....................... 1,641,699 49,600 Cytyc Corp. (b)............. 1,367,472 35,510 Eli Lilly & Co. ............ 2,015,193 31,960 Forest Laboratories, Inc. (b)....................... 1,433,726 25,840 Genentech, Inc. (b)......... 1,406,730 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 30 ONE GROUP INVESTMENT TRUST LARGE CAP GROWTH PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- COMMON STOCKS, CONTINUED: Health Technology, continued: 30,800 Gilead Sciences, Inc. (b)... 1,077,692 42,070 Guidant Corp. .............. 3,033,247 132,400 Johnson & Johnson (d)....... 8,396,807 43,910 MedImmune, Inc. (b)......... 1,190,400 32,830 Merck & Co., Inc. .......... 1,055,156 18,800 OSI Pharmaceuticals, Inc. (b)....................... 1,407,180 219,455 Pfizer, Inc. ............... 5,901,145 85,400 Schering-Plough Corp. ...... 1,783,152 33,700 Sepracor, Inc. (b) (d)...... 2,000,769 ----------- 39,530,794 ----------- Industrial Services (1.0%): 40,420 Smith International, Inc. (b)....................... 2,199,252 ----------- Non-Energy Minerals (0.6%): 24,100 United States Steel Corp. (d)....................... 1,235,125 ----------- Process Industries (0.6%): 29,320 Praxair, Inc. .............. 1,294,478 ----------- Producer Manufacturing (3.0%): 102,000 General Electric Co. ....... 3,723,000 77,400 Tyco International Ltd. .... 2,766,276 ----------- 6,489,276 ----------- Retail Trade (9.0%): 27,500 CVS Corp. .................. 1,239,425 121,140 Home Depot, Inc. ........... 5,177,524 25,800 Kohl's Corp. (b) (d)........ 1,268,586 40,740 MSC Industrial Direct Co., Class A (d)............... 1,465,825 30,100 Petsmart, Inc. ............. 1,069,453 60,170 Staples, Inc. .............. 2,028,331 57,800 Target Corp. ............... 3,001,554 79,060 Wal-Mart Stores, Inc. ...... 4,175,949 ----------- 19,426,647 ----------- Technology Services (13.9%): 67,470 Accenture Ltd. (b).......... 1,821,690 44,220 Affiliated Computer Services, Inc., Class A (b) (d)................... 2,661,602 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- COMMON STOCKS, CONTINUED: Technology Services, continued: 50,800 Automatic Data Processing, Inc. ..................... 2,252,980 24,890 eBay, Inc. (b) (d).......... 2,894,209 13,800 Getty Images, Inc. (b) (d)....................... 950,130 6,650 Google, Inc., Class A (b) (d)....................... 1,284,115 14,300 Intuit, Inc. (b) (d)........ 629,343 301,900 Microsoft Corp. ............ 8,063,749 122,980 Oracle Corp. (b)............ 1,687,286 35,700 Red Hat, Inc. (b) (d)....... 476,595 30,300 SAP AG...................... 1,339,563 46,600 SunGard Data Systems, Inc. (b)....................... 1,320,178 47,100 Verisign, Inc. (b).......... 1,578,792 82,700 Yahoo!, Inc. (b) (d)........ 3,116,136 ----------- 30,076,368 ----------- Transportation (1.2%): 18,000 Expeditors International of Washington, Inc. ......... 1,005,840 19,400 United Parcel Service, Inc., Class B................... 1,657,924 ----------- 2,663,764 ----------- Total Common Stocks 211,758,411 ----------- INVESTMENT COMPANIES (1.8%): 3,914,990 One Group Prime Money Market Fund, Class I (c)......... 3,914,990 ----------- Total Investment Companies 3,914,990 ----------- SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES LENDING (10.9%): 23,565,110 Pool of various securities for One Group Equity Funds -- footnote 2 (Securities Lending)...... 23,565,110 ----------- Total Short-Term Securities Held as Collateral for Securities Lending 23,565,110 ----------- Total (Cost $225,027,638) (a) 239,238,511 =========== </Table> - ------------ Percentages indicated are based on net assets of $216,807,861. (a) Represents cost for financial reporting purposes and differs from market value by unrealized appreciation (depreciation) of securities as follows: <Table> Unrealized appreciation...................... $ 24,248,902 Unrealized depreciation...................... (10,038,029) ------------ Net unrealized appreciation (depreciation)... $ 14,210,873 ============ </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. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by Banc One Investment Advisors Corporation. (d) Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction. See notes to financial statements. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 31 ONE GROUP INVESTMENT TRUST DIVERSIFIED EQUITY PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- COMMON STOCKS (97.1%): Communications (3.3%): 25,380 Nextel Communications, Inc., Class A (b)............... 761,400 69,128 SBC Communications, Inc. ... 1,781,429 22,000 Sprint Corp. -- FON Group... 546,700 69,042 Verizon Communications...... 2,796,891 ----------- 5,886,420 ----------- Consumer Durables (0.7%): 22,000 Ford Motor Co. ............. 322,080 8,400 General Motors Corp. (d).... 336,504 10,900 Lennar Corp. ............... 617,812 ----------- 1,276,396 ----------- Consumer Non-Durables (7.8%): 23,668 Altria Group, Inc. ......... 1,446,115 76,000 Coca-Cola Co. .............. 3,163,880 41,600 Gillette Co. ............... 1,862,848 18,500 Nike, Inc., Class B......... 1,677,765 31,300 PepsiCo, Inc. .............. 1,633,860 73,600 Procter & Gamble Co. ....... 4,053,888 ----------- 13,838,356 ----------- Consumer Services (7.4%): 21,100 Carnival Corp. ............. 1,215,993 41,200 E.W. Scripps Co., Class A... 1,989,136 15,900 Gannett Co., Inc. .......... 1,299,030 28,800 Hilton Hotels Corp. ........ 654,912 13,600 International Game Technology................ 467,568 9,600 Marriott International, Inc., Class A............. 604,608 39,500 McDonald's Corp. ........... 1,266,370 7,700 MGM Grand, Inc. (b) (d)..... 560,098 36,000 News Corp., Class A (d)..... 671,760 94,310 Viacom, Inc., Class B....... 3,431,941 19,982 Yum! Brands, Inc. .......... 942,751 ----------- 13,104,167 ----------- Distribution Services (0.2%): 11,900 McKesson Corp. ............. 374,374 ----------- Electronic Technology (10.0%): 55,900 Analog Devices, Inc. ....... 2,063,828 127,021 Cisco Systems, Inc. (b)..... 2,451,505 75,300 Corning, Inc. (b)........... 886,281 24,609 Dell, Inc. (b).............. 1,037,023 84,100 EMC Corp. (b)............... 1,250,567 76,300 Hewlett-Packard Co. ........ 1,600,011 65,817 Intel Corp. ................ 1,539,460 22,872 International Business Machines Corp. ........... 2,254,722 7,000 Lexmark International, Inc., Class A (b)............... 595,000 19,500 Lockheed Martin Corp. ...... 1,083,225 55,271 Motorola, Inc. ............. 950,661 36,420 Qualcomm, Inc. ............. 1,544,208 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- COMMON STOCKS, CONTINUED: Electronic Technology, continued: 16,600 Xilinx, Inc. ............... 492,190 ----------- 17,748,681 ----------- Energy Minerals (6.2%): 10,200 Anadarko Petroleum Corp. ... 661,062 33,000 ChevronTexaco Corp. ........ 1,732,830 11,900 ConocoPhillips.............. 1,033,277 35,364 Devon Energy Corp. ......... 1,376,367 101,909 Exxon Mobil Corp. .......... 5,223,855 25,500 Unocal Corp. ............... 1,102,620 ----------- 11,130,011 ----------- Finance (20.5%): 43,800 AFLAC, Inc. ................ 1,744,992 35,500 AMBAC Financial Group, Inc. ..................... 2,915,615 8,100 Bank of New York Co., Inc. ..................... 270,702 72,300 Charles Schwab Corp. ....... 864,708 36,800 CIT Group, Inc. ............ 1,686,176 162,494 Citigroup, Inc. ............ 7,828,961 24,300 Countrywide Financial Corp. .................... 899,343 26,681 Freddie Mac................. 1,966,390 74,175 MBNA Corp. ................. 2,090,993 93,852 Morgan Stanley Dean Witter & Co. ...................... 5,210,663 28,479 North Fork Bancorp, Inc. ... 821,619 48,700 RenaissanceRe Holdings...... 2,536,296 23,400 State Street Corp. (d)...... 1,149,408 46,500 U.S. Bancorp (d)............ 1,456,380 33,208 Wells Fargo & Co. .......... 2,063,877 70,380 Willis Group Holdings Ltd. ..................... 2,897,545 ----------- 36,403,668 ----------- Health Services (1.0%): 7,600 Aetna, Inc. ................ 948,100 4,800 Hospital Corporation of America (d)............... 191,808 5,800 WellPoint, Inc. (b)......... 667,000 ----------- 1,806,908 ----------- Health Technology (11.3%): 31,202 Amgen, Inc. (b)............. 2,001,608 7,000 Bausch & Lomb, Inc. ........ 451,220 33,700 Baxter International, Inc. ..................... 1,163,998 9,100 Biogen Idec, Inc. (b)....... 606,151 29,700 Boston Scientific Corp. (b)....................... 1,055,835 41,100 Eli Lilly & Co. ............ 2,332,425 21,900 Forest Laboratories, Inc. (b)....................... 982,434 31,100 Gilead Sciences, Inc. (b)... 1,088,189 15,500 Guidant Corp. .............. 1,117,550 58,100 Johnson & Johnson (d)....... 3,684,702 26,556 Merck & Co., Inc. (d)....... 853,510 16,100 OSI Pharmaceuticals, Inc. (b) (d)................... 1,205,085 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 32 ONE GROUP INVESTMENT TRUST DIVERSIFIED EQUITY PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- COMMON STOCKS, CONTINUED: Health Technology, continued: 99,049 Pfizer, Inc. ............... 2,663,428 15,000 Sepracor, Inc. (b) (d)...... 890,550 ----------- 20,096,685 ----------- Industrial Services (0.6%): 15,400 Baker Hughes, Inc. ......... 657,118 18,600 Rowan Cos., Inc. (b)........ 481,740 ----------- 1,138,858 ----------- Non-Energy Minerals (0.9%): 34,474 Alcoa, Inc. ................ 1,083,173 10,300 United States Steel Corp. .................... 527,875 ----------- 1,611,048 ----------- Process Industries (2.0%): 22,300 Air Products and Chemicals, Inc. (d).................. 1,292,731 46,500 Nalco Holding Co. (b)....... 907,680 29,500 Praxair, Inc. .............. 1,302,425 ----------- 3,502,836 ----------- Producer Manufacturing (9.5%): 13,400 Caterpillar, Inc. .......... 1,306,634 189,045 General Electric Co. ....... 6,900,142 12,534 Johnson Controls, Inc. ..... 795,157 7,300 Masco Corp. ................ 266,669 12,284 Minnesota Mining & Manufacturing Co. ........ 1,008,148 131,885 Tyco International Ltd. .... 4,713,570 18,100 United Technologies Corp. .................... 1,870,635 ----------- 16,860,955 ----------- Retail Trade (6.6%): 33,100 Dollar General Corp. ....... 687,487 15,000 Federated Department Stores, Inc. ..................... 866,850 34,500 Home Depot, Inc. ........... 1,474,530 37,110 Kohl's Corp. (b) (d)........ 1,824,699 24,200 Lowe's Cos., Inc. .......... 1,393,678 30,700 Staples, Inc. .............. 1,034,897 37,367 Target Corp. ............... 1,940,468 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- COMMON STOCKS, CONTINUED: Retail Trade, continued: 47,481 Wal-Mart Stores, Inc. ...... 2,507,946 ----------- 11,730,555 ----------- Technology Services (5.6%): 38,000 Accenture Ltd. (b).......... 1,026,000 10,500 eBay, Inc. (b).............. 1,220,940 11,800 First Data Corp. ........... 501,972 170,155 Microsoft Corp. ............ 4,544,840 200,000 Oracle Corp. (b)............ 2,744,000 ----------- 10,037,752 ----------- Transportation (1.3%): 13,500 CSX Corp. .................. 541,080 21,788 United Parcel Service, Inc., Class B................... 1,862,002 ----------- 2,403,082 ----------- Utilities (2.2%): 19,500 Dominion Resources, Inc. ... 1,320,930 12,769 FPL Group, Inc. ............ 954,483 17,428 Pinnacle West Capital Corp. .................... 773,977 16,700 PPL Corp. .................. 889,776 ----------- 3,939,166 ----------- Total Common Stocks 172,889,918 ----------- INVESTMENT COMPANIES (3.2%): 5,764,543 One Group Prime Money Market Fund, Class I (c)......... 5,764,543 ----------- Total Investment Companies 5,764,543 ----------- SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES LENDING (6.8%): 12,100,395 Pool of various securities for One Group Equity Funds -- footnote 2 (Securities Lending)...... 12,100,395 ----------- Total Short-Term Securities Held as Collateral for Securities Lending 12,100,395 ----------- Total (Cost $181,923,684) (a) 190,754,856 =========== </Table> - ------------ Percentages indicated are based on net assets of $178,122,873. (a) Represents cost for financial reporting purposes and differs from market value by unrealized appreciation (depreciation) of securities as follows: <Table> Unrealized appreciation...................... $13,929,021 Unrealized depreciation...................... (5,097,849) ----------- Net unrealized appreciation (depreciation)... $ 8,831,172 =========== </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. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by Banc One Investment Advisors Corporation. (d) Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction. See notes to financial statements. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 33 ONE GROUP INVESTMENT TRUST EQUITY INDEX PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ----------------------------- ----------- COMMON STOCKS (98.5%): Commercial Services (0.6%): 1,614 Equifax, Inc. ............... 45,353 2,269 McGraw-Hill Cos., Inc. ...... 207,705 1,423 Monster Worldwide, Inc. (b)........................ 47,870 1,767 Moody's Corp. ............... 153,464 2,226 Omnicom Group, Inc. ......... 187,696 2,624 R.R. Donnelley & Sons Co. ... 92,601 2,072 Robert Half International, Inc. ...................... 60,979 1,619 Sabre Group Holdings, Inc. ...................... 35,877 ----------- 831,545 ----------- Communications (2.9%): 21,888 BellSouth Corp. ............. 608,267 4,008 Citizens Communications Co. (e)........................ 55,270 13,279 Nextel Communications, Inc., Class A (b)................ 398,370 21,699 Qwest Communications International, Inc. (b) (e)........................ 96,344 39,617 SBC Communications, Inc. .... 1,020,930 17,577 Sprint Corp. -- FON Group.... 436,788 33,087 Verizon Communications....... 1,340,354 ----------- 3,956,323 ----------- Consumer Durables (1.4%): 965 Black & Decker Corp. ........ 85,238 1,150 Brunswick Corp. ............. 56,925 1,485 Centex Corp. ................ 88,476 895 Cooper Tire & Rubber Co. (e)........................ 19,287 3,426 Eastman Kodak Co. (e)........ 110,489 21,863 Ford Motor Co. .............. 320,075 1,723 Fortune Brands, Inc. ........ 132,981 6,749 General Motors Corp. (e)..... 270,365 2,096 Goodyear Tire & Rubber Co. (b) (e).................... 30,727 3,511 Harley-Davidson, Inc. ....... 213,293 2,115 Hasbro, Inc. ................ 40,989 553 KB Home...................... 57,733 2,281 Leggett & Platt, Inc. ....... 64,849 4,959 Mattel, Inc. ................ 96,651 947 Maytag Corp. (e)............. 19,982 3,284 Newell Rubbermaid, Inc. (e)........................ 79,440 1,524 Pulte Homes, Inc. ........... 97,231 688 Snap-On, Inc. ............... 23,640 983 Stanley Works................ 48,157 794 Whirlpool Corp. ............. 54,953 ----------- 1,911,481 ----------- Consumer Non-Durables (7.5%): 447 Adolph Coors Co., Class B.... 33,824 1,087 Alberto-Culver Co., Class B.......................... 52,796 24,527 Altria Group, Inc. .......... 1,498,600 9,441 Anheuser-Busch Co., Inc. .... 478,942 5,651 Avon Products, Inc. ......... 218,694 1,455 Brown-Forman Corp., Class B.......................... 70,829 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ----------------------------- ----------- COMMON STOCKS, CONTINUED: Consumer Non-Durables, continued: 4,917 Campbell Soup Co. ........... 146,969 2,051 Cintas Corp. ................ 89,957 1,816 Clorox Co. .................. 107,017 2,257 Coach, Inc. (b).............. 127,295 28,911 Coca-Cola Co. ............... 1,203,565 5,607 Coca-Cola Enterprises, Inc. ...................... 116,906 6,337 Colgate Palmolive Co. ....... 324,201 6,145 ConAgra Foods, Inc. ......... 180,970 4,354 General Mills, Inc. ......... 216,437 11,863 Gillette Co. ................ 531,225 4,174 H.J. Heinz Co. .............. 162,744 2,941 Hershey Foods Corp. ......... 163,343 1,126 International Flavors & Fragrances, Inc. (e)....... 48,238 1,460 Jones Apparel Group, Inc. ... 53,392 4,934 Kellogg Co. ................. 220,352 5,828 Kimberly-Clark Corp. ........ 383,541 1,297 Liz Claiborne, Inc. ......... 54,746 1,633 McCormick & Co., Inc. ....... 63,034 3,136 Nike, Inc., Class B.......... 284,404 2,988 Pepsi Bottling Group, Inc. ...................... 80,796 20,128 PepsiCo, Inc. ............... 1,050,682 30,312 Procter & Gamble Co. ........ 1,669,584 695 Reebok International Ltd. ... 30,580 1,763 Reynolds American, Inc. (e)........................ 138,572 9,378 Sara Lee Corp. (e)........... 226,385 1,327 V.F. Corp. .................. 73,489 2,682 Wm. Wrigley Jr. Co. ......... 185,568 ----------- 10,287,677 ----------- Consumer Services (5.8%): 3,630 Alltel Corp. ................ 213,299 2,213 Apollo Group, Inc., Class A (b)........................ 178,611 7,567 Carnival Corp. .............. 436,086 12,581 Cendant Corp. ............... 294,144 1,608 CenturyTel, Inc. ............ 57,036 6,853 Clear Channel Communications, Inc. (e)................... 229,507 26,526 Comcast Corp., Class A (b)... 882,785 1,879 Darden Restaurants, Inc. .... 52,123 979 Dow Jones & Co., Inc. ....... 42,156 3,050 Gannett Co., Inc. ........... 249,185 1,968 H & R Block, Inc. ........... 96,432 1,339 Harrah's Entertainment, Inc. (e)........................ 89,566 4,613 Hilton Hotels Corp. ......... 104,900 4,118 International Game Technology................. 141,577 5,053 Interpublic Group of Cos., Inc. (b)................... 67,710 920 Knight-Ridder, Inc. ......... 61,585 2,672 Marriott International, Inc., Class A.................... 168,283 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 34 ONE GROUP INVESTMENT TRUST EQUITY INDEX PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ----------------------------- ----------- COMMON STOCKS, CONTINUED: Consumer Services, continued: 15,023 McDonald's Corp. ............ 481,637 597 Meredith Corp. .............. 32,357 1,734 New York Times Co., Class A.......................... 70,747 31,220 News Corp., Class A.......... 582,565 4,779 Starbucks Corp. (b).......... 298,018 2,477 Starwood Hotels & Resorts Worldwide, Inc. ........... 144,657 54,732 Time Warner, Inc. (b)........ 1,063,990 3,796 Tribune Co. ................. 159,963 3,862 Univision Communications, Inc. (b)................... 113,041 20,374 Viacom, Inc., Class B........ 741,410 24,416 Walt Disney Co. (e).......... 678,765 1,362 Wendy's International, Inc. ...................... 53,472 3,500 Yum! Brands, Inc. ........... 165,130 ----------- 7,950,737 ----------- Distribution Services (0.7%): 5,163 Cardinal Health, Inc. ....... 300,228 2,085 Genuine Parts Co. ........... 91,865 3,512 McKesson Corp. .............. 110,488 1,604 SuperValu, Inc. ............. 55,370 7,645 Sysco Corp. ................. 291,810 1,076 W.W. Grainger, Inc. ......... 71,683 ----------- 921,444 ----------- Electronic Technology (11.4%): 9,639 ADC Telecommunications, Inc. (b) (d).................... 25,833 4,611 Advanced Micro Devices, Inc. (b)........................ 101,534 5,803 Agilent Technologies, Inc. (b)........................ 139,852 4,449 Altera Corp. (b)............. 92,094 2,286 American Power Conversion Corp. ..................... 48,920 4,491 Analog Devices, Inc. ........ 165,808 1,921 Andrew Corp. (b) (e)......... 26,183 4,804 Apple Computer, Inc. (b)..... 309,378 20,293 Applied Materials, Inc. (b)........................ 347,010 3,682 Applied Micro Circuits Corp. (b)........................ 15,501 5,470 Avaya, Inc. (b).............. 94,084 10,033 Boeing Co. .................. 519,408 3,932 Broadcom Corp., Class A (b)........................ 126,925 6,832 CIENA Corp. (b).............. 22,819 78,683 Cisco Systems, Inc. (b)...... 1,518,582 2,362 Comverse Technology, Inc. (b)........................ 57,751 16,756 Corning, Inc. (b)............ 197,218 29,686 Dell, Inc. (b)............... 1,250,968 28,634 EMC Corp. (b)................ 425,788 4,657 Freescale Semiconductor, Inc. (b)........................ 85,503 4,466 Gateway, Inc. (b) (e)........ 26,841 2,393 General Dynamics Corp. ...... 250,308 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ----------------------------- ----------- COMMON STOCKS, CONTINUED: Electronic Technology, continued: 1,421 Goodrich Corp. .............. 46,381 36,086 Hewlett-Packard Co. ......... 756,723 75,556 Intel Corp. ................. 1,767,255 19,892 International Business Machines Corp. (e)......... 1,960,954 2,408 Jabil Circuit, Inc. (b)...... 61,597 17,255 JDS Uniphase Corp. (b)....... 54,698 2,336 KLA-Tencor Corp. (b)......... 108,811 1,376 L-3 Communications Holdings, Inc. (e)................... 100,778 1,543 Lexmark International, Inc., Class A (b)................ 131,155 3,669 Linear Technology Corp. ..... 142,210 5,290 Lockheed Martin Corp. ....... 293,860 4,600 LSI Logic Corp. (b) (e)...... 25,208 52,824 Lucent Technologies, Inc. (b) (e)........................ 198,618 3,886 Maxim Integrated Products, Inc. ...................... 164,728 7,318 Micron Technology, Inc. (b)........................ 90,377 29,090 Motorola, Inc. .............. 500,348 4,279 National Semiconductor Corp. ..................... 76,808 1,114 NCR Corp. (b)................ 77,122 4,287 Network Appliance, Inc. (b)........................ 142,414 4,400 Northrop Grumman Corp. ...... 239,184 1,670 Novellus Systems, Inc. (b)... 46,576 1,984 NVIDIA Corp. (b) (e)......... 46,743 1,531 PerkinElmer, Inc. ........... 34,432 2,130 PMC -- Sierra, Inc. (b)...... 23,963 1,106 Qlogic Corp. (b)............. 40,623 19,586 Qualcomm, Inc. .............. 830,446 5,402 Raytheon Co. ................ 209,760 2,109 Rockwell Collins............. 83,179 2,201 Rockwell International Corp. ..................... 109,060 6,227 Sanmina Corp. (b)............ 52,743 1,832 Scientific Atlanta, Inc. .... 60,474 11,601 Solectron Corp. (b).......... 61,833 40,187 Sun Microsystems, Inc. (b)... 216,206 2,876 Symbol Technologies, Inc. ... 49,755 1,075 Tektronix, Inc. ............. 32,476 5,520 Tellabs, Inc. (b)............ 47,417 2,320 Teradyne, Inc. (b)........... 39,602 20,648 Texas Instruments, Inc. ..... 508,354 1,911 Thermo Electron Corp. (b).... 57,693 1,444 Waters Corp. (b)............. 67,565 11,395 Xerox Corp. (b).............. 193,829 4,162 Xilinx, Inc. ................ 123,403 ----------- 15,723,669 ----------- Energy Minerals (5.9%): 1,095 Amerada Hess Corp. .......... 90,206 2,956 Anadarko Petroleum Corp. .... 191,578 3,901 Apache Corp. ................ 197,274 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 35 ONE GROUP INVESTMENT TRUST EQUITY INDEX PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ----------------------------- ----------- COMMON STOCKS, CONTINUED: Energy Minerals, continued: 849 Ashland, Inc. ............... 49,565 4,678 Burlington Resources, Inc. ...................... 203,493 25,316 ChevronTexaco Corp. ......... 1,329,343 8,248 ConocoPhillips............... 716,174 5,808 Devon Energy Corp. .......... 226,047 1,417 EOG Resources, Inc. ......... 101,117 77,089 Exxon Mobil Corp. ........... 3,951,582 1,813 Kerr-McGee Corp. ............ 104,773 4,141 Marathon Oil Corp. .......... 155,743 4,717 Occidental Petroleum Corp. ..................... 275,284 874 Sunoco, Inc. ................ 71,415 3,145 Unocal Corp. ................ 135,990 3,067 Valero Energy Corp. ......... 139,242 3,114 XTO Energy, Inc. ............ 110,173 ----------- 8,048,999 ----------- Finance (20.2%): 3,396 ACE Ltd. (e)................. 145,179 6,046 AFLAC, Inc. (d) ............. 240,873 8,200 Allstate Corp. .............. 424,104 1,299 AMBAC Financial Group, Inc. ...................... 106,687 14,999 American Express Co. ........ 845,494 31,123 American International Group, Inc. ...................... 2,043,847 4,243 AmSouth Bancorp (e).......... 109,894 3,781 Aon Corp. ................... 90,215 1,133 Apartment Investment & Management Co. ............ 43,666 2,338 Archstone-Smith Trust........ 89,545 48,265 Bank of America Corp. ....... 2,267,972 9,283 Bank of New York Co., Inc. ...................... 310,238 6,600 BB&T Corp. (e)............... 277,530 1,234 Bear Stearns Cos., Inc. (e)........................ 126,251 2,900 Capital One Financial Corp. (e)........................ 244,209 16,095 Charles Schwab Corp. ........ 192,496 2,289 Chubb Corp. ................. 176,024 2,008 Cincinnati Financial Corp. ..................... 88,874 2,512 CIT Group, Inc. ............. 115,100 62,014 Citigroup, Inc. ............. 2,987,835 2,038 Comerica, Inc. .............. 124,359 1,466 Compass Bancshares, Inc. .... 71,350 6,936 Countrywide Financial Corp. ..................... 256,701 4,444 E*Trade Group, Inc. (b)...... 66,438 4,818 Equity Office Properties Trust...................... 140,300 3,379 Equity Residential Properties Trust...................... 122,252 11,566 Fannie Mae................... 823,615 1,284 Federated Investors, Inc. ... 39,034 6,707 Fifth Third Bancorp.......... 317,107 1,471 First Horizon National Corp. ..................... 63,415 2,980 Franklin Resources, Inc. .... 207,557 8,240 Freddie Mac.................. 607,288 3,659 Golden West Financial Corp. ..................... 224,736 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ----------------------------- ----------- COMMON STOCKS, CONTINUED: Finance, continued: 5,786 Goldman Sachs Group, Inc. ... 601,975 3,510 Hartford Financial Services Group, Inc. ............... 243,278 2,762 Huntington Bancshares, Inc. ...................... 68,442 2,823 Janus Capital Group, Inc. ... 47,455 1,631 Jefferson-Pilot Corp. ....... 84,747 42,569 JP Morgan Chase & Co. (f).... 1,660,617 4,859 KeyCorp...................... 164,720 3,219 Lehman Brothers Holdings, Inc. ...................... 281,598 2,086 Lincoln National Corp. ...... 97,374 2,217 Loews Corp. ................. 155,855 1,388 M & T Bank Corp. ............ 149,682 6,296 Marsh & McLennan Cos., Inc. ...................... 207,138 2,670 Marshall & Ilsley Corp. ..... 118,014 1,682 MBIA, Inc. .................. 106,437 15,267 MBNA Corp. .................. 430,377 5,061 Mellon Financial Corp. ...... 157,448 11,130 Merrill Lynch & Co., Inc. ... 665,240 8,894 MetLife, Inc. ............... 360,296 1,156 MGIC Investment Corp. ....... 79,660 13,079 Morgan Stanley Dean Witter & Co. ....................... 726,146 8,096 National City Corp. ......... 304,005 5,624 North Fork Bancorp, Inc. .... 162,252 2,618 Northern Trust Corp. ........ 127,182 2,194 Plum Creek Timber Co, Inc. ...................... 84,337 3,377 PNC Financial Services Group...................... 193,975 3,668 Principal Financial Group.... 150,168 2,392 Progressive Corp. ........... 202,937 2,197 ProLogis..................... 95,196 3,503 Providian Financial Corp. (b)........................ 57,694 6,130 Prudential Financial, Inc. ...................... 336,905 5,554 Regions Financial Corp. ..... 197,667 767 Ryder Systems, Inc. (e)...... 36,640 1,516 Safeco Corp. ................ 79,196 2,643 Simon Property Group, Inc. ...................... 170,923 5,136 SLM Corp. ................... 274,211 4,125 Sovereign Bancorp, Inc. ..... 93,019 8,000 St. Paul Co., Inc. .......... 296,560 3,984 State Street Corp. .......... 195,694 4,431 SunTrust Banks, Inc. ........ 327,362 3,700 Synovus Financial Corp. (e)........................ 105,746 1,531 T. Rowe Price Group, Inc. ... 95,228 1,292 Torchmark Corp. ............. 73,825 22,311 U.S. Bancorp................. 698,781 3,543 UnumProvident Corp. (e)...... 63,561 19,162 Wachovia Corp. .............. 1,007,921 10,433 Washington Mutual, Inc. ..... 441,107 20,217 Wells Fargo & Co. ........... 1,256,487 1,657 XL Capital, Ltd., Class A.... 128,666 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 36 ONE GROUP INVESTMENT TRUST EQUITY INDEX PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ----------------------------- ----------- COMMON STOCKS, CONTINUED: Finance, continued: 1,071 Zions Bancorp................ 72,860 ----------- 27,726,789 ----------- Health Services (1.8%): 1,764 Aetna, Inc. ................. 220,059 1,256 AmerisourceBergen Corp. ..... 73,702 5,432 Caremark Rx, Inc. (b)........ 214,184 1,604 Cigna Corp. ................. 130,838 908 Express Scripts, Inc., Class A (b) (e).................. 69,408 2,909 Health Management Associates, Inc., Class A.............. 66,092 5,033 Hospital Corporation of America (e)................ 201,119 1,905 Humana, Inc. (b)............. 56,559 2,772 IMS Health, Inc. ............ 64,338 1,653 Laboratory Corp. of America Holdings (b)............... 82,352 1,033 Manor Care, Inc. ............ 36,599 1,209 Quest Diagnostics, Inc. ..... 115,520 5,576 Tenet Healthcare Corp. (b)... 61,224 7,810 UnitedHealth Group, Inc. .... 687,515 3,527 WellPoint, Inc. (b).......... 405,606 ----------- 2,485,115 ----------- Health Technology (10.2%): 18,610 Abbott Laboratories.......... 868,157 1,569 Allergan, Inc. .............. 127,199 15,177 Amgen, Inc. (b).............. 973,605 2,342 Applera Corp.- Applied Biosystems Group (e)....... 48,971 639 Bausch & Lomb, Inc. ......... 41,190 7,366 Baxter International, Inc. ...................... 254,422 3,027 Becton, Dickinson & Co. ..... 171,934 3,986 Biogen Idec, Inc. (b)........ 265,507 3,025 Biomet, Inc. ................ 131,255 10,091 Boston Scientific Corp. (b)........................ 358,735 23,249 Bristol-Myers Squibb Co. (e)........................ 595,639 1,250 C.R. Bard, Inc. ............. 79,975 2,233 Chiron Corp. (b)............. 74,426 13,522 Eli Lilly & Co. ............. 767,374 1,402 Fisher Scientific International, Inc. (b) (e)........................ 87,457 4,402 Forest Laboratories, Inc. (b)........................ 197,474 2,964 Genzyme Corp. (b)............ 172,119 5,173 Gilead Sciences, Inc. (b).... 181,003 3,807 Guidant Corp. ............... 274,485 1,865 Hospira (b).................. 62,478 35,462 Johnson & Johnson (e)........ 2,248,999 2,886 King Pharmaceuticals, Inc. (b)........................ 35,786 3,256 Medco Health Solutions, Inc. (b)........................ 135,450 2,972 MedImmune, Inc. (b).......... 80,571 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ----------------------------- ----------- COMMON STOCKS, CONTINUED: Health Technology, continued: 14,443 Medtronic, Inc. ............. 717,384 26,499 Merck & Co., Inc. ........... 851,678 594 Millipore Corp. (b).......... 29,587 3,216 Mylan Laboratories, Inc. (e)........................ 56,859 1,482 Pall Corp. .................. 42,904 89,990 Pfizer, Inc. ................ 2,419,830 17,599 Schering-Plough Corp. ....... 367,467 4,272 St. Jude Medical, Inc. (b)... 179,125 4,804 Stryker Corp. ............... 231,793 1,308 Watson Pharmaceuticals, Inc. (b)........................ 42,915 15,943 Wyeth........................ 679,012 2,931 Zimmer Holdings, Inc. (b).... 234,832 ----------- 14,087,597 ----------- Industrial Services (1.3%): 3,803 Allied Waste Industries, Inc. (b)........................ 35,292 4,009 Baker Hughes, Inc. .......... 171,064 1,930 BJ Services Co. ............. 89,822 7,686 El Paso Corp. ............... 79,934 1,001 Fluor Corp. (e).............. 54,565 5,281 Halliburton Co. ............. 207,226 1,787 Nabors Industries Ltd. (b)... 91,655 1,618 Noble Corp. (b).............. 80,479 1,281 Rowan Cos., Inc. (b)......... 33,178 7,035 Schlumberger Ltd. ........... 470,994 3,843 Transocean Sedco Forex, Inc. (b)........................ 162,905 6,837 Waste Management, Inc. ...... 204,700 6,649 Williams Cos., Inc. ......... 108,312 ----------- 1,790,126 ----------- Multi-Industry (0.2%): 2,545 S&P 500 Depositary Receipt (SPDR) .................... 307,614 ----------- 307,614 ----------- Non-Energy Minerals (0.9%): 10,402 Alcoa, Inc. ................. 326,830 1,141 Allegheny Technologies, Inc. ...................... 24,725 1,315 Louisiana-Pacific Corp. (e)........................ 35,163 5,304 Newmont Mining Corp. ........ 235,551 1,901 Nucor Corp. ................. 99,498 1,141 Phelps Dodge Corp. (e)....... 112,868 1,359 United States Steel Corp. ... 69,649 1,974 UST, Inc. ................... 94,969 1,224 Vulcan Materials Co. ........ 66,843 2,866 Weyerhaeuser Co. ............ 192,653 ----------- 1,258,749 ----------- Process Industries (2.3%): 2,716 Air Products and Chemicals, Inc. ...................... 157,447 7,821 Archer-Daniels-Midland Co. ....................... 174,487 1,346 Ball Corp. .................. 59,197 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 37 ONE GROUP INVESTMENT TRUST EQUITY INDEX PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ----------------------------- ----------- COMMON STOCKS, CONTINUED: Process Industries, continued: 1,278 Bemis Co., Inc. ............. 37,177 11,268 Dow Chemical Co. ............ 557,878 11,868 Du Pont (EI) de Nemours & Co. ....................... 582,124 931 Eastman Chemical Co. ........ 53,747 3,079 Ecolab, Inc. ................ 108,165 1,461 Engelhard Corp. ............. 44,809 2,133 Freeport-McMoRan Copper & Gold, Inc., Class B (e).... 81,545 3,084 Georgia-Pacific Corp. ....... 115,588 610 Great Lakes Chemical Corp. (e)........................ 17,379 1,338 Hercules, Inc. (b)........... 19,869 5,814 International Paper Co. ..... 244,188 2,422 Meadwestvaco Corp. .......... 82,082 3,159 Monsanto Co. ................ 175,482 1,774 Pactiv Corp. (b)............. 44,864 2,054 PPG Industries, Inc. ........ 140,001 3,880 Praxair, Inc. ............... 171,302 2,687 Rohm & Haas Co. ............. 118,846 999 Sealed Air Corp. (b)......... 53,217 825 Sigma-Aldrich Corp. (e)...... 49,880 669 Temple-Inland, Inc. ......... 45,760 ----------- 3,135,034 ----------- Producer Manufacturing (7.7%): 2,563 American Standard Cos., Inc. (b)........................ 105,903 1,320 Avery Dennison Corp. ........ 79,160 4,078 Caterpillar, Inc. ........... 397,646 1,097 Cooper Industries Ltd., Class A.......................... 74,475 544 Cummins, Inc. ............... 45,582 1,790 Dana Corp. .................. 31,021 3,688 Danaher Corp. ............... 211,728 2,965 Deere & Co. ................. 220,596 6,706 Delphi Corp. ................ 60,488 2,430 Dover Corp. ................. 101,914 1,815 Eaton Corp. ................. 131,333 5,015 Emerson Electric Co. ........ 351,552 126,330 General Electric Co. ........ 4,611,046 10,278 Honeywell International, Inc. ...................... 363,944 3,533 Illinois Tool Works, Inc. ... 327,438 2,058 Ingersoll-Rand Co. .......... 165,257 1,103 ITT Industries, Inc. ........ 93,148 2,275 Johnson Controls, Inc. ...... 144,326 5,353 Masco Corp. (e).............. 195,545 9,303 Minnesota Mining & Manufacturing Co. ......... 763,498 2,251 Molex, Inc. (e).............. 67,530 834 Navistar International Corp. (b) (e).................... 36,679 2,076 Paccar, Inc. ................ 167,076 1,428 Parker-Hannifin Corp. ....... 108,157 2,756 Pitney Bowes, Inc. .......... 127,548 999 Power-One, Inc. (b).......... 8,911 1,643 Textron, Inc. ............... 121,253 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ----------------------------- ----------- COMMON STOCKS, CONTINUED: Producer Manufacturing, continued: 24,037 Tyco International Ltd. ..... 859,083 6,107 United Technologies Corp. ... 631,158 1,544 Visteon Corp. (e)............ 15,085 ----------- 10,618,080 ----------- Retail Trade (6.4%): 4,398 Albertson's, Inc. (e)........ 105,024 3,161 AutoNation, Inc. (b)......... 60,723 953 AutoZone, Inc. (b)........... 87,018 3,596 Bed Bath & Beyond, Inc. (b)........................ 143,229 3,876 Best Buy Co., Inc. .......... 230,312 1,349 Big Lots, Inc. (b) (e)....... 16,363 2,335 Circuit City Stores, Inc. ... 36,519 5,605 Costco Wholesale Corp. ...... 271,338 4,781 CVS Corp. ................... 215,480 981 Dillard's, Inc., Class A (e)........................ 26,359 3,912 Dollar General Corp. ........ 81,252 2,004 Family Dollar Stores, Inc. ...................... 62,585 2,022 Federated Department Stores, Inc. ...................... 116,851 10,476 Gap, Inc. (e)................ 221,253 26,240 Home Depot, Inc. ............ 1,121,498 3,413 J.C. Penney, Inc. ........... 141,298 4,100 Kohl's Corp. (b)............. 201,597 8,832 Kroger Co. (b)............... 154,913 4,857 Limited Brands, Inc. (e)..... 111,808 9,234 Lowe's Cos., Inc. ........... 531,786 3,489 May Department Stores Co. ... 102,577 1,673 Nordstrom, Inc. ............. 78,179 3,732 Office Depot, Inc. (b)....... 64,788 1,052 OfficeMax, Inc. ............. 33,012 1,894 RadioShack Corp. ............ 62,275 5,347 Safeway, Inc. (b)............ 105,550 2,471 Sears Roebuck & Co. ......... 126,095 1,689 Sherwin-Williams Co. ........ 75,380 5,950 Staples, Inc. ............... 200,575 10,700 Target Corp. ................ 555,651 1,739 Tiffany & Co. ............... 55,596 5,758 TJX Cos., Inc. .............. 144,699 2,570 Toys "R" Us, Inc. (b)........ 52,608 50,604 Wal-Mart Stores, Inc. ....... 2,672,903 12,212 Walgreen Co. ................ 468,574 ----------- 8,735,668 ----------- Technology Services (6.6%): 2,851 Adobe Systems, Inc. ......... 178,872 1,536 Affiliated Computer Services, Inc., Class A (b).......... 92,452 9,510 AT&T Corp. .................. 181,261 2,742 Autodesk, Inc. .............. 104,059 6,961 Automatic Data Processing, Inc. ...................... 308,720 2,652 BMC Software, Inc. (b)....... 49,327 2,024 Citrix System, Inc. (b)...... 49,649 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 38 ONE GROUP INVESTMENT TRUST EQUITY INDEX PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ----------------------------- ----------- COMMON STOCKS, CONTINUED: Technology Services, continued: 6,998 Computer Associates International, Inc. ....... 217,358 2,262 Computer Sciences Corp. (b)........................ 127,509 4,626 Compuware Corp. (b).......... 29,930 1,692 Convergys Corp. (b).......... 25,363 7,921 eBay, Inc. (b)............... 921,054 3,649 Electronic Arts, Inc. (b) (e)........................ 225,070 6,140 Electronic Data Systems Corp. (e)........................ 141,834 9,916 First Data Corp. ............ 421,827 2,337 Fiserv, Inc. (b)............. 93,924 2,240 Intuit, Inc. (b)............. 98,582 1,009 Mercury Interactive Corp. (b)........................ 45,960 129,908 Microsoft Corp. ............. 3,469,843 4,492 Novell, Inc. (b)............. 30,321 61,282 Oracle Corp. (b)............. 840,789 3,205 Parametric Technology Corp. (b)........................ 18,877 4,519 Paychex, Inc. ............... 154,008 6,072 Siebel Systems, Inc. (b)..... 63,756 3,452 SunGard Data Systems, Inc. (b)........................ 97,795 7,578 Symantec Corp. (b)........... 195,209 4,014 Unisys Corp. (b)............. 40,863 5,044 Veritas Software Corp. (b)... 144,006 16,428 Yahoo!, Inc. (b) (e)......... 619,007 ----------- 8,987,225 ----------- Transportation (1.7%): 4,492 Burlington Northern Santa Fe Corp. ..................... 212,517 2,567 CSX Corp. (e)................ 102,885 1,546 Delta Airlines, Inc. (b) (e)........................ 11,564 3,592 FedEx Corp. ................. 353,776 4,732 Norfolk Southern Corp. ...... 171,251 9,315 Southwest Airlines Co. ...... 151,648 3,102 Union Pacific Corp. ......... 208,610 13,393 United Parcel Service, Inc., Class B.................... 1,144,566 ----------- 2,356,817 ----------- Utilities (3.0%): 7,753 AES Corp. (b) (d)............ 105,984 1,640 Allegheny Energy, Inc. (b) (e)........................ 32,324 2,328 Ameren Corp. ................ 116,726 4,728 American Electric Power Co., Inc. (e)................... 162,360 6,385 Calpine Corp. (b) (e)........ 25,157 3,678 Centerpoint Energy, Inc. (e)........................ 41,561 2,166 Cinergy Corp. ............... 90,171 2,327 CMS Energy Corp. (b) (e)..... 24,317 2,892 Consolidated Edison, Inc. ... 126,525 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - --------- ----------------------------- ----------- COMMON STOCKS, CONTINUED: Utilities, continued: 2,101 Constellation Energy Group, Inc. ...................... 91,835 3,960 Dominion Resources, Inc. .... 268,250 2,079 DTE Energy Co. (e)........... 89,667 11,431 Duke Energy Corp. (e)........ 289,547 4,541 Dynegy, Inc. (b) (e)......... 20,979 3,893 Edison International, Inc. ...................... 124,693 2,671 Entergy Corp. ............... 180,533 7,917 Exelon Corp. ................ 348,901 3,941 First Energy Corp. .......... 155,709 2,218 FPL Group, Inc. ............. 165,796 1,919 Keyspan Corp. (e)............ 75,705 1,480 Kinder Morgan, Inc. ......... 108,232 525 NICOR, Inc. (e).............. 19,394 3,231 NiSource, Inc. .............. 73,602 448 Peoples Energy Corp. (e)..... 19,690 4,817 PG&E Corp. (b) (e)........... 160,310 1,094 Pinnacle West Capital Corp. ..................... 48,585 2,259 PPL Corp. ................... 120,360 2,952 Progress Energy, Inc. ....... 133,548 2,841 Public Service Enterprise Group, Inc. ............... 147,079 2,789 Sempra Energy................ 102,301 8,839 Southern Co. ................ 296,282 2,386 TECO Energy, Inc. (e)........ 36,601 2,870 TXU Corp. ................... 185,287 4,784 XCEL Energy, Inc. (e)........ 87,069 ----------- 4,075,080 ----------- Total Common Stocks 135,195,769 ----------- INVESTMENT COMPANIES (0.2%): 263,327 One Group Prime Money Market Fund, Class I (c).......... 263,327 ----------- Total Investment Companies 263,327 ----------- U.S. TREASURY OBLIGATIONS (0.1%): U.S. Treasury Bills (0.1%): 75,000 3/17/05 (d).................. 74,682 ----------- Total U.S. Treasury Obligations 74,682 ----------- SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES LENDING (7.3%): 9,962,225 Pool of various securities for One Group Equity Funds -- footnote 2 (Securities Lending)....... 9,962,225 ----------- Total Short-Term Securities Held as Collateral for Securities Lending 9,962,225 ----------- Total (Cost $147,219,400) (a) 145,496,003 =========== </Table> - ------------ Percentages indicated are based on net assets of $137,197,218. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 39 ONE GROUP INVESTMENT TRUST EQUITY INDEX PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (a) Represents cost for financial reporting purposes and differs from market value by unrealized appreciation (depreciation) of securities as follows: <Table> Unrealized appreciation...................... $ 23,309,458 Unrealized depreciation...................... (25,032,855) ------------ Net unrealized appreciation (depreciation)... $ (1,723,397) ============ </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. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by Banc One Investment Advisors Corporation. (d) Serves as collateral for futures contracts. (e) Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction. (f) Investment in affiliate. See notes to financial statements. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 40 ONE GROUP INVESTMENT TRUST BALANCED PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- ASSET BACKED SECURITIES (0.9%): 225,000 American Express Credit Account Master Trust, Series 04-3, Class A, 4.35%, 12/15/11........... 228,701 148,981 Americredit Automobile Receivables Trust, Series 01-B, Class A4, 5.37%, 6/12/08................... 150,814 250,000 Citibank Credit Card Issuance Trust, Series 03-A5, Class A5, 2.50%, 4/7/08.................... 247,786 100,000 CNH Equipment Trust, Series 03-B, Class A4B, 3.38%, 2/15/11................... 99,532 139,865 CS First Boston Mortgage Securities Corp., Series 02-HE4, Class AF, 5.51%, 8/25/32................... 143,057 125,000 Ford Credit Auto Owner Trust, Series 04-A, Class A4, 3.54%, 11/15/08....... 124,675 250,000 Onyx Acceptance Auto Trust, Series 04-B, Class A3, 3.09%, 9/15/08............ 249,175 150,000 WFS Financial Owner Trust, Series 04-2, Class A3, 2.85%, 9/20/08............ 149,103 150,000 WFS Financial Owner Trust, Series 03-4, Class A4, 3.15%, 5/20/11............ 149,298 ----------- Total Asset Backed Securities 1,542,141 ----------- COLLATERALIZED MORTGAGE OBLIGATIONS (0.8%): 188,718 Countrywide Alternative Loan Trust, Series 04-16CB, Class 2A2, 5.00%, 8/25/19................... 190,315 100,000 First Horizon Mortgage Pass-Thru Trust, 4.96%, 2/25/35, Ser. 2004-AR7, Class 2A1................. 101,156 102,839 MASTR Asset Securitization Trust, 5.00%, 5/25/18, Ser. 2003-10, Class 3A7... 104,308 100,000 MBNA Master Credit Card Trust, Series 00-I, Class A, 6.90%, 1/15/08......... 102,443 90,000 Residential Accredit Loans, Inc., 5.00%, 6/25/34, Ser. 2004-QS8, Class A12....... 90,158 92,011 Vendee Mortgage Trust, Series 03-1, Class B, 5.75%, 12/15/20........... 93,081 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: 143,786 Wells Fargo Mortgage Backed Securities Trust, Series 04-7, Class 2A2, 5.00%, 7/25/19................... 145,359 175,000 Wells Fargo Mortgage Backed Securities Trust, Series 09-05, Class A5, 3.54%, 9/25/34................... 171,170 91,822 WFS Financial Owner Trust, Series 03-1, Class A3, 2.03%, 8/20/07............ 91,539 300,000 WFS Financial Owner Trust, Series 03-2, Class A4, 2.41%, 12/20/10........... 295,876 ----------- Total Collateralized Mortgage Obligations 1,385,405 ----------- COMMON STOCKS (60.2%): Communications (2.0%): 17,200 Nextel Communications, Inc., Class A (b)............... 516,000 31,500 SBC Communications, Inc. ... 811,755 12,900 Sprint Corp. -- FON Group... 320,565 40,300 Verizon Communications...... 1,632,553 ----------- 3,280,873 ----------- Consumer Durables (0.8%): 19,700 Ford Motor Co. ............. 288,408 5,100 General Motors Corp. ....... 204,306 600 Harley-Davidson, Inc. ...... 36,450 5,000 Lennar Corp. ............... 283,400 3,900 Mattel, Inc. ............... 76,011 10,600 Smurfit-Stone Container Corp. (b)................. 198,008 4,600 Take-Two Interactive Software, Inc. (b) (e).... 160,034 ----------- 1,246,617 ----------- Consumer Non-Durables (4.9%): 23,000 Altria Group, Inc. ......... 1,405,300 4,000 Anheuser-Busch Co., Inc. ... 202,920 43,200 Coca-Cola Co. .............. 1,798,416 18,200 Gillette Co. ............... 814,996 8,800 Jones Apparel Group, Inc. ..................... 321,816 7,600 Nike, Inc., Class B......... 689,244 15,300 PepsiCo, Inc. .............. 798,660 38,600 Procter & Gamble Co. ....... 2,126,088 ----------- 8,157,440 ----------- Consumer Services (4.4%): 10,300 Carnival Corp. ............. 593,589 12,800 E.W. Scripps Co., Class A... 617,984 5,500 EchoStar Communications Corp., Class A............ 182,820 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 41 ONE GROUP INVESTMENT TRUST BALANCED PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- COMMON STOCKS, CONTINUED: Consumer Services, continued: 11,600 Fox Entertainment Group, Inc. (b).................. 362,616 11,500 Gannett Co., Inc. .......... 939,550 15,200 Hilton Hotels Corp. ........ 345,648 12,500 International Game Technology................ 429,750 7,000 Marriott International, Inc., Class A............. 440,860 22,100 McDonald's Corp. ........... 708,526 1,500 MGM Grand, Inc. (b)......... 109,110 6,100 News Corp., Class A......... 113,826 700 Starwood Hotels & Resorts Worldwide, Inc. .......... 40,880 12,500 Time Warner, Inc. (b)....... 243,000 46,600 Viacom, Inc., Class B....... 1,695,774 2,100 Walt Disney Co. ............ 58,380 7,900 Yum! Brands, Inc. .......... 372,722 ----------- 7,255,035 ----------- Distribution Services (0.3%): 5,700 McKesson Corp. ............. 179,322 6,400 Sysco Corp. ................ 244,288 ----------- 423,610 ----------- Electronic Technology (6.4%): 9,400 Altera Corp. (b)............ 194,580 20,400 Analog Devices, Inc. ....... 753,168 6,100 Broadcom Corp., Class A (b)....................... 196,908 66,500 Cisco Systems, Inc. (b)..... 1,283,450 40,100 Corning, Inc. (b)........... 471,977 23,100 Dell, Inc. (b).............. 973,434 32,100 EMC Corp. (b)............... 477,327 34,300 Hewlett-Packard Co. ........ 719,271 41,400 Intel Corp. ................ 968,346 14,000 International Business Machines Corp. ........... 1,380,120 4,400 Intersil Corp., Class A..... 73,656 3,800 Juniper Networks, Inc. (b)....................... 103,322 4,300 Lexmark International, Inc., Class A (b)............... 365,500 3,100 Linear Technology Corp. .... 120,156 7,700 Lockheed Martin Corp. ...... 427,735 29,900 Motorola, Inc. ............. 514,280 1,800 NCR Corp. (b)............... 124,614 6,100 Northrop Grumman Corp. ..... 331,596 23,100 Qualcomm, Inc. ............. 979,440 7,700 Xilinx, Inc. ............... 228,305 ----------- 10,687,185 ----------- Energy Minerals (4.0%): 4,900 Anadarko Petroleum Corp. ... 317,569 17,400 ChevronTexaco Corp. ........ 913,674 8,900 ConocoPhillips.............. 772,787 12,280 Devon Energy Corp. ......... 477,938 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- COMMON STOCKS, CONTINUED: Energy Minerals, continued: 59,300 Exxon Mobil Corp. .......... 3,039,718 5,400 Murphy Oil Corp. ........... 434,430 8,500 Unocal Corp. ............... 367,540 5,600 Valero Energy Corp. ........ 254,240 ----------- 6,577,896 ----------- Finance (12.5%): 18,700 AFLAC, Inc. ................ 745,008 14,700 AMBAC Financial Group, Inc. ..................... 1,207,311 5,800 American International Group, Inc. .............. 380,886 1,500 Assurant, Inc. ............. 45,825 18,000 Bank of America Corp. ...... 845,820 1,400 Bank of New York Co., Inc. ..................... 46,788 59,200 Charles Schwab Corp. ....... 708,032 14,200 CIT Group, Inc. ............ 650,644 76,000 Citigroup, Inc. ............ 3,661,679 18,800 Countrywide Financial Corp. .................... 695,788 6,600 Equity Office Properties Trust..................... 192,192 4,300 Fannie Mae.................. 306,203 2,500 First Horizon National Corp. (e)....................... 107,775 10,600 Freddie Mac................. 781,220 7,200 Genworth Financial, Inc., Class A................... 194,400 4,500 Goldman Sachs Group, Inc. ..................... 468,180 7,800 Hartford Financial Services Group, Inc. .............. 540,618 2,600 KeyCorp..................... 88,140 1,100 Kimco Realty Corp. (e)...... 63,789 1,800 Mack Cali Realty Corp. ..... 82,854 900 Marshall & Ilsley Corp. .... 39,780 4,800 MBIA, Inc. ................. 303,744 38,000 MBNA Corp. ................. 1,071,220 9,900 Mellon Financial Corp. ..... 307,989 2,700 MetLife, Inc. .............. 109,377 36,300 Morgan Stanley Dean Witter & Co. ...................... 2,015,376 18,600 North Fork Bancorp, Inc. ... 536,610 8,300 RenaissanceRe Holdings...... 432,264 4,200 St. Paul Co., Inc. ......... 155,694 12,300 State Street Corp. ......... 604,176 2,300 TCF Financial Corp. ........ 73,922 11,300 U.S. Bancorp................ 353,916 4,100 W.R. Berkley Corp. ......... 193,397 6,900 Wachovia Corp. ............. 362,940 11,600 Washington Mutual, Inc. .... 490,448 20,900 Wells Fargo & Co. .......... 1,298,935 12,000 Willis Group Holdings Ltd. (e)....................... 494,040 1,600 Zions Bancorp............... 108,848 ----------- 20,765,828 ----------- </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 42 ONE GROUP INVESTMENT TRUST BALANCED PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- COMMON STOCKS, CONTINUED: Health Services (1.0%): 5,700 Aetna, Inc. ................ 711,075 5,100 Hospital Corporation of America................... 203,796 7,100 WellPoint, Inc. (b)......... 816,500 ----------- 1,731,371 ----------- Health Technology (6.5%): 15,300 Amgen, Inc. (b)............. 981,495 1,200 Bausch & Lomb, Inc. ........ 77,352 8,000 Baxter International, Inc. ..................... 276,320 1,500 Biogen Idec, Inc. (b)....... 99,915 18,800 Boston Scientific Corp. (b)....................... 668,340 21,100 Eli Lilly & Co. ............ 1,197,425 16,500 Forest Laboratories, Inc. (b)....................... 740,190 12,000 Gilead Sciences, Inc. (b)... 419,880 9,800 Guidant Corp. .............. 706,580 26,000 Johnson & Johnson........... 1,648,919 5,400 Medicis Pharmaceuticals, Inc., Class A (e)......... 189,594 17,400 Merck & Co., Inc. .......... 559,236 6,100 OSI Pharmaceuticals, Inc. (b) (e)................... 456,585 58,800 Pfizer, Inc. ............... 1,581,132 8,300 Schering-Plough Corp. ...... 173,304 7,200 Sepracor, Inc. (b) (e)...... 427,464 4,000 Watson Pharmaceuticals, Inc. (b)....................... 131,240 9,200 Wyeth....................... 391,828 ----------- 10,726,799 ----------- Industrial Services (0.3%): 6,500 Baker Hughes, Inc. ......... 277,355 2,700 Cooper Cameron Corp. (b).... 145,287 5,700 Rowan Cos., Inc. (b)........ 147,630 ----------- 570,272 ----------- Non-Energy Minerals (0.5%): 16,900 Alcoa, Inc. ................ 530,998 5,200 United States Steel Corp. .................... 266,500 ----------- 797,498 ----------- Process Industries (1.2%): 11,100 Air Products and Chemicals, Inc. ..................... 643,467 3,100 Dow Chemical Co. ........... 153,481 1,100 International Paper Co. (e)....................... 46,200 18,600 Nalco Holding Co. (b)....... 363,072 14,800 Praxair, Inc. .............. 653,420 1,600 Rohm & Haas Co. ............ 70,768 1,900 Temple-Inland, Inc. ........ 129,960 ----------- 2,060,368 ----------- </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- COMMON STOCKS, CONTINUED: Producer Manufacturing (5.7%): 5,700 Caterpillar, Inc. .......... 555,807 4,900 Deere & Co. ................ 364,560 2,300 Eaton Corp. ................ 166,428 107,000 General Electric Co. ....... 3,905,500 900 ITT Industries, Inc. ....... 76,005 7,400 Johnson Controls, Inc. ..... 469,456 2,700 Lear Corp. ................. 164,727 2,400 Masco Corp. ................ 87,672 7,900 Minnesota Mining & Manufacturing Co. ........ 648,353 3,400 SPX Corp. .................. 136,204 52,040 Tyco International Ltd. (e)....................... 1,859,910 10,600 United Technologies Corp. .................... 1,095,510 ----------- 9,530,132 ----------- Retail Trade (3.8%): 2,500 Bed Bath & Beyond, Inc. (b)....................... 99,575 3,100 CVS Corp. .................. 139,717 10,800 Dollar General Corp. ....... 224,316 5,200 Federated Department Stores, Inc. ..................... 300,508 24,800 Home Depot, Inc. ........... 1,059,952 16,100 Kohl's Corp. (b)............ 791,637 13,700 Lowe's Cos., Inc. .......... 788,983 12,100 Staples, Inc. .............. 407,891 18,700 Target Corp. ............... 971,091 29,500 Wal-Mart Stores, Inc. ...... 1,558,190 ----------- 6,341,860 ----------- Technology Services (3.5%): 6,500 Accenture Ltd. (b).......... 175,500 1,400 Affiliated Computer Services, Inc., Class A (b)....................... 84,266 3,500 Computer Sciences Corp. (b)....................... 197,295 5,800 eBay, Inc. (b).............. 674,424 8,500 First Data Corp. ........... 361,590 112,300 Microsoft Corp. ............ 2,999,533 100,900 Oracle Corp. (b)............ 1,384,348 ----------- 5,876,956 ----------- Transportation (0.7%): 11,100 CSX Corp. .................. 444,888 9,100 United Parcel Service, Inc., Class B................... 777,686 ----------- 1,222,574 ----------- Utilities (1.7%): 10,300 Dominion Resources, Inc. ... 697,722 4,600 Edison International, Inc. ..................... 147,338 9,500 FPL Group, Inc. ............ 710,125 4,200 Northeast Utilities......... 79,170 4,200 PG&E Corp. (b).............. 139,776 12,300 Pinnacle West Capital Corp. .................... 546,243 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 43 ONE GROUP INVESTMENT TRUST BALANCED PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- COMMON STOCKS, CONTINUED: Utilities, continued: 6,900 PPL Corp. .................. 367,632 4,100 XCEL Energy, Inc. (e)....... 74,620 ----------- 2,762,626 ----------- Total Common Stocks 100,014,940 ----------- CORPORATE BONDS (12.8%): Communications (0.1%): 200,000 Southwestern Bell Telephone, 5.98%, 10/22/07........... 210,591 ----------- Consumer Durables (0.5%): 300,000 DaimlerChrysler NA Holdings Corp., 7.20%, 9/1/09 (e)................ 333,905 500,000 General Motors Corp., 7.20%, 1/15/11 (e)............... 512,821 60,000 Hanson Australia Funding, 5.25%, 3/15/13............ 61,127 ----------- 907,853 ----------- Consumer Services (0.8%): 175,000 Allstate Corp., 6.13%, 2/15/12................... 191,365 60,000 Coca-Cola Enterprises, 6.13%, 8/15/11............ 66,068 150,000 Comcast Cable Communications, 8.38%, 5/1/07.................... 165,893 100,000 Comcast Cable Communications, 6.88%, 6/15/09................... 111,095 50,000 Cox Communications, Inc., 7.75%, 11/1/10............ 57,275 60,000 PHH Corp., 7.13%, 3/1/13.... 67,097 50,000 Thomson Corp., 4.25%, 8/15/09................... 50,087 450,000 Time Warner, Inc., 9.13%, 1/15/13................... 578,492 ----------- 1,287,372 ----------- Energy Minerals (0.2%): 250,000 Occidental Petroleum Corp., 9.25%, 8/1/19............. 344,144 ----------- Finance (7.2%): 50,000 ACE INA Holdings, Inc., 5.88%, 6/15/14............ 51,223 125,000 American Express Credit, 3.00%, 5/16/08............ 122,075 65,000 American General Finance Corp., 4.63%, 5/15/09 (e)............... 66,144 120,000 American General Finance Corp., 4.00%, 3/15/11 (e)............... 116,377 100,000 American International Group, Inc., 2.88%, 5/15/08................... 96,911 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- CORPORATE BONDS, CONTINUED: Finance, continued: 300,000 Bank of America Corp., 7.80%, 2/15/10............ 348,870 100,000 Bank of America Corp., 7.13%, 10/15/11........... 113,955 250,000 BCH Cayman Islands, 7.50%, 6/15/05................... 255,162 100,000 Bear Stearns Co., Inc., 4.50%, 10/28/10 (e)....... 100,857 100,000 Branch Banking & Trust, 4.88%, 1/15/13............ 100,547 600,000 Capital One Auto Finance Trust, 3.44%, 6/15/09..... 601,449 200,000 Capital One Bank Co., 6.88%, 2/1/06.................... 207,476 75,000 CIT Group Holdings, Inc., 7.38%, 4/2/07 (e)......... 80,981 180,000 CIT Group, Inc., 4.13%, 2/21/06................... 181,829 100,000 Citigroup, Inc., 3.50%, 2/1/08.................... 99,554 590,000 Citigroup, Inc., 5.00%, 9/15/14, (d).............. 592,846 150,000 Conoco Funding Corp., 6.35%, 10/15/11.................. 167,427 300,000 Countrywide Home Loan, 4.00%, 3/22/11............ 291,678 650,000 Credit Suisse First Boston USA, Inc., 6.50%, 1/15/12................... 723,438 120,000 Dow Capital BV, 8.50%, 6/8/10, Putable 6/8/05 @ 100....................... 140,331 225,000 Fleet Financial Group, 7.38%, 12/1/09............ 256,985 800,000 Ford Motor Credit Co., 7.38%, 2/1/11............. 862,202 500,000 General Electric Capital Corp., 8.63%, 6/15/08..... 574,747 50,000 General Electric Capital Corp., 3.13%, 4/1/09...... 48,437 175,000 GMAC, 7.25%, 3/2/11......... 183,218 300,000 Goldman Sachs Group, Inc., 7.20%, 3/1/07............. 321,503 200,000 Goldman Sachs Group, Inc., 4.75%, 7/15/13............ 197,907 700,000 Household Finance Corp., 8.00%, 7/15/10............ 823,857 475,000 Inter-American Development Bank, 8.40%, 9/1/09....... 562,831 150,000 John Deere Capital Corp., 3.63%, 5/25/07............ 149,994 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 44 ONE GROUP INVESTMENT TRUST BALANCED PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- CORPORATE BONDS, CONTINUED: Finance, continued: 150,000 KeyCorp, 4.70%, 5/21/09..... 153,351 200,000 Lehman Brothers Holdings, Inc., 6.63%, 1/18/12 (e)............... 223,638 155,000 Marshall & Ilsley Corp., 4.38%, 8/1/09............. 156,321 125,000 Merrill Lynch & Co., 3.13%, 7/15/08 (e)............... 121,916 200,000 Merrill Lynch & Co., 4.13%, 1/15/09 (e)............... 201,101 600,000 Morgan Stanley Dean Witter & Co., 6.75%, 4/15/11....... 672,983 350,000 National Rural Utilities, 6.00%, 5/15/06............ 362,536 150,000 News America, Inc., 6.75%, 1/9/38.................... 168,677 300,000 Nynex Capital Funding, 8.23%, 10/15/09........... 344,856 75,000 Popular North America, Inc., 4.25%, 4/1/08............. 75,708 75,000 Principal Life, Inc., 3.20%, 4/1/09.................... 72,517 40,000 Protective Life Secured Trust, 4.00%, 10/7/09..... 39,681 75,000 Protective Life Secured Trust, 4.00%, 4/1/11...... 73,199 25,000 Unionbancal Corp., 5.25%, 12/16/13.................. 25,338 300,000 Wachovia Corp., 6.61%, 10/1/25................... 332,594 50,000 Washington Mutual, Inc., 4.20%, 1/15/10............ 49,803 125,000 Washington Mutual, Inc., 4.63%, 4/1/14 (e)......... 119,507 125,000 Wells Fargo & Co., 3.13%, 4/1/09.................... 121,152 160,000 Wells Fargo & Co., 7.55%, 6/21/10................... 185,841 ----------- 11,941,530 ----------- Foreign Banks (0.0%) (f): 50,000 Royal Bank of Canada, 3.88%, 5/4/09.................... 49,581 ----------- Governments (Foreign) (0.1%): 80,000 United Mexican States, 4.63%, 10/8/08............ 81,000 40,000 United Mexican States, 6.38%, 1/16/13............ 42,500 ----------- 123,500 ----------- Producer Manufacturing (0.0%) (f): 75,000 Pitney Bowes, Inc., 3.88%, 6/15/13................... 71,028 ----------- </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- CORPORATE BONDS, CONTINUED: Retail Trade (0.6%): 350,000 Albertson's, Inc., 6.95%, 8/1/09.................... 386,871 400,000 Kroger Co., 8.05%, 2/1/10... 468,224 100,000 Wal-Mart Stores, 4.13%, 2/15/11................... 100,359 ----------- 955,454 ----------- Technology Services (0.1%): 80,000 IBM Corp., 4.38%, 6/1/09.... 81,389 ----------- Telecommunications (0.5%): 50,000 AT&T Broadband Corp., 8.38%, 3/15/13................... 61,655 75,000 AT&T Wireless, 7.88%, 3/1/11.................... 88,396 125,000 Bellsouth Corp., 6.00%, 10/15/11.................. 136,243 80,000 British Telecom, 8.38%, 12/15/10.................. 96,069 60,000 Deutsche Telekom, 8.50%, 6/15/10 (e)............... 71,482 30,000 France Telecom, 8.50%, 3/1/11.................... 35,787 150,000 Sprint Capital Corp., 6.00%, 1/15/07................... 156,989 125,000 Sprint Capital Corp., 7.63%, 1/30/11................... 145,130 ----------- 791,751 ----------- Transportation (0.6%): 70,000 Continental Airlines, Inc., 7.06%, 3/15/11............ 71,920 150,000 Norfolk Southern Corp., 7.05%, 5/1/37............. 175,391 500,000 Union Pacific Corp., 6.65%, 1/15/11................... 559,047 245,394 United Airlines, 7.19%, 4/1/11.................... 222,970 ----------- 1,029,328 ----------- Utilities (2.1%): 560,000 American Electric Power Co., Inc., 6.13%, 5/15/06...... 580,374 50,000 Carolina Power and Light, 5.13%, 9/15/13............ 51,151 173,000 Columbia Gas System, 6.80%, 11/28/05.................. 178,319 25,000 Consolidated Edison, Inc., 4.70%, 6/15/09............ 25,698 100,000 Constellation Energy Group, 6.35%, 4/1/07............. 105,690 150,000 Dominion Resources, Inc., 6.25%, 6/30/12............ 163,768 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 45 ONE GROUP INVESTMENT TRUST BALANCED PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- CORPORATE BONDS, CONTINUED: Utilities, continued: 200,000 DTE Energy Co., 6.65%, 4/15/09................... 218,521 250,000 Duke Energy Corp., 6.25%, 1/15/12................... 272,539 500,000 Exelon Corp., 6.75%, 5/1/11.................... 559,312 900,000 Hydro Quebec, 6.52%, 2/23/06................... 933,632 130,000 National Rural Utilities, 7.30%, 9/15/06............ 138,023 115,000 PSEG Power, 7.75%, 4/15/11 (e)............... 134,090 35,000 Sempra Energy, 4.75%, 5/15/09................... 35,678 ----------- 3,396,795 ----------- Total Corporate Bonds 21,190,316 ----------- U.S. GOVERNMENT AGENCY SECURITIES (0.8%): Fannie Mae (0.8%): 150,000 7.25%, 1/15/10.............. 172,395 400,000 7.13%, 6/15/10.............. 459,769 585,000 5.38%, 11/15/11 (e)......... 623,095 ----------- Total U.S. Government Agency Securities 1,255,259 ----------- U.S. GOVERNMENT AGENCY MORTGAGES (12.3%): Fannie Mae (5.0%): 740,611 7.14%, 8/1/05, Pool #73166.................... 744,158 8,257 8.15%, 4/25/06, Series 91-37, Class H............ 8,343 5,073 6.15%, 8/25/06, Series 93-223, Class VD.......... 5,148 4,884 9.00%, 11/1/06, Pool #124017................... 4,965 327,741 6.94%, 12/1/06, Pool #73798.................... 342,626 45,507 7.50%, 3/25/07, Series 92-18, Class ZH........... 46,857 13,342 6.00%, 8/25/07, Series 92-151, Class H........... 13,626 252,409 6.85%, 10/1/07, Pool #375435................... 268,501 281,105 6.53%, 12/1/07, Pool #375568................... 297,983 244,790 6.25%, 7/25/08, Series 93-135, Class PG.......... 250,907 368,958 6.19%, 9/1/08, Pool #380623................... 392,457 16,534 8.00%, 9/1/08, Pool #190586................... 17,053 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED: Fannie Mae, continued: 60,453 8.30%, 10/25/08, Series 93-197, Class SC, IF*..... 63,113 7,406 6.50%, 3/25/09, Series 95-13, Class B............ 7,414 64,923 7.50%, 8/1/09, Pool #292020................... 68,954 800,000 7.00%, 7/18/12, Series 97-42, Class PG........... 861,349 101,134 6.50%, 4/1/13, Pool #414513................... 107,341 84,675 7.00%, 6/1/13, Pool #427488................... 89,776 200,000 6.65%, 6/25/13, Series 93-140, Class J........... 208,712 69,283 6.00%, 8/1/13, Pool #251899................... 72,754 65,797 6.00%, 12/1/13, Pool #323458................... 69,094 150,000 4.50%, 2/25/17, Series 03-86, Class PX........... 151,122 250,000 5.50%, 4/25/17, Series 02-18, Class PC........... 261,898 150,000 6.00%, 4/25/17, Series 02-19, Class PE........... 157,657 300,000 6.00%, 4/25/17, Series 02-24, Class AJ........... 315,180 141,211 8.00%, 5/1/17, Pool #50000.................... 153,939 35,114 9.00%, 12/1/17, Pool #359455................... 39,061 152,071 9.25%, 3/25/18, Series 88-4, Class Z................... 165,087 80,839 8.50%, 11/1/18, Pool #313280................... 89,093 25,120 10.45%, 4/25/19, Series 89-21, Class G............ 26,969 111,259 8.00%, 7/25/19, Series 89-37, Class G............ 119,379 20,144 8.75%, 11/25/19, Series 89-86, Class E............ 21,857 500,000 6.00%, 2/25/20, Series 02-7, Class QM.................. 508,254 32,859 6.50%, 3/25/20, Series 90-30, Class E............ 34,502 73,114 6.00%, 4/25/20, Series 02-56, Class VD........... 74,372 49,011 6.50%, 9/25/20, Series 90-105, Class J........... 51,495 138,000 6.00%, 10/25/20, Series 02-41 Class VB............ 140,458 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 46 ONE GROUP INVESTMENT TRUST BALANCED PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED: Fannie Mae, continued: 27,691 8.50%, 9/25/21, Series G-29, Class O................... 29,368 29,520 8.75%, 9/25/21, Series 91-129, Class G........... 32,042 70,749 6.50%, 2/25/23, Series G93-36, Class J........... 71,068 71,923 6.50%, 2/25/23, Series 93-202, Class I........... 72,315 16,486 0.00%, 5/25/23, Series G93-24, Class C, PO....... 16,373 150,000 5.00%, 6/25/23, Series 03-55, Class CD........... 148,422 250,000 5.00%, 6/25/23, Series 03-83, Class PG........... 250,397 100,000 6.50%, 7/25/23, Series 93-119, Class H........... 106,148 83,689 5.00%, 12/25/23, Series 94-22, Class C............ 84,670 144,065 6.50%, 12/25/23, Series 93-225, Class UB.......... 149,312 239,000 7.50%, 2/25/24, Series 94-81, Class LL........... 256,274 11,945 7.00%, 8/1/25, Pool #270725................... 12,722 13,206 10.00%, 6/17/27, Series 97-49, Class B............ 14,543 8,668 7.50%, 10/1/27, Pool #402032................... 9,302 147,717 6.50%, 12/25/28, Series 98-66, Class B............ 157,432 350,000 5.75%, 6/25/33, Series 03-47, Class PE........... 354,204 268,994 5.50%, 12/1/33, Pool #725017................... 273,320 ----------- 8,289,366 ----------- Freddie Mac (6.8%): 200,000 6.00%, 3/15/09, Series 1708, Class E................... 206,645 415,000 5.89%, 3/30/09, Series EJ09...................... 449,801 17,538 8.00%, 10/1/10, Pool #G10518................... 18,371 39,943 6.00%, 2/15/11, Series 1819, Class E................... 41,216 1,121 6.50%, 9/15/12, Series 2173, Class VB.................. 1,119 43,314 6.00%, 3/1/13, Pool #E69409................... 45,435 37,608 6.50%, 3/1/13, Pool #E69466................... 39,857 45,675 6.50%, 6/1/13, Pool #E00552................... 48,411 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED: Freddie Mac, continued: 45,252 7.00%, 6/1/13, Pool #E00554................... 47,967 509,554 6.00%, 1/15/14, Series 2115, Class PE.................. 530,286 65,691 6.50%, 2/15/14, Series 1668, Class D................... 68,945 250,000 5.00%, 7/15/14, Series 2557, Class WJ.................. 255,871 91,923 7.00%, 12/1/14, Pool #P60089................... 97,554 421,371 5.50%, 3/15/15, Series 2368, Class OE.................. 427,617 53,845 5.50%, 5/15/15, Series 2497, Class UH.................. 54,149 101,067 5.50%, 11/15/15, Series 2467, Class EA............ 101,818 146,610 5.00%, 1/15/16, Series 2501, Class AG.................. 147,719 76,179 7.00%, 3/1/16, Pool #P60090................... 80,845 150,000 5.50%, 12/15/16, Series 2391, Class QR............ 156,219 500,000 6.00%, 12/15/16, Series 2394, Class MC............ 523,834 500,000 6.00%, 1/15/17, Series 2405, Class JF.................. 524,982 297,091 6.00%, 3/15/17, Series 2425, Class OB.................. 309,331 45,576 8.00%, 4/1/17, Pool #290302................... 49,604 650,000 5.50%, 11/15/17, Series #2522..................... 676,115 217,325 4.00%, 5/15/18, Series 2643, Class KG.................. 218,153 352,224 4.00%, 8/1/18, Pool #E01424................... 345,027 250,000 5.00%, 9/15/18, Series 2701, Class OD.................. 255,151 500,000 6.00%, 8/15/19, Series 2388, Class AD.................. 524,819 33,858 8.60%, 1/15/21, Series 85, Class C................... 33,876 40,096 6.00%, 2/15/21, Series 1047, Class H................... 40,052 13,531 7.00%, 2/15/21, Series 115, Class I................... 13,521 26,498 6.50%, 4/15/21, Series 1062, Class H................... 26,469 165,119 6.50%, 7/15/21, Series 168, Class G................... 164,975 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 47 ONE GROUP INVESTMENT TRUST BALANCED PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED: Freddie Mac, continued: 49,694 8.00%, 7/15/21, Series 1120, Class L................... 49,783 22,642 5.50%, 8/15/21, Series 1116, Class I................... 22,617 19,613 6.50%, 10/15/21, Series 189, Class D................... 19,615 65,826 7.00%, 1/15/22, Series 1191, Class E................... 65,850 17,820 6.50%, 2/15/22, Series 1240, Class M................... 18,025 94,591 6.25%, 4/15/22, Series 1610, Class PM.................. 95,430 134,822 8.00%, 4/15/22, Series 1254, Class N................... 136,112 145,795 6.50%, 11/1/22, Pool #G30234................... 153,959 314,000 6.85%, 6/25/23, Series 13, Class LL.................. 329,012 250,000 6.50%, 11/15/23, Series 1617, Class PM............ 265,668 146,454 5.00%, 2/15/24, Series 2756, Class NA.................. 148,363 148,000 7.00%, 4/15/24, Series 1714, Class K................... 158,050 200,002 8.00%, 4/15/24, Series 1710, Class GH.................. 217,335 213,166 8.00%, 4/25/24, Series 31, Class Z................... 238,878 27,935 8.50%, 9/15/24, Series 1753, Class D................... 29,948 294,074 7.00%, 4/15/26, Series 1843, Class Z................... 309,391 29,921 8.00%, 9/1/26, Pool #C00476................... 32,576 200,000 5.00%, 5/15/27, Series 2764, Class UC.................. 204,131 6,361 7.50%, 7/1/27, Pool #D81027................... 6,829 10,021 7.00%, 10/1/27, Pool #D83256................... 10,642 67,458 6.00%, 1/15/28, Series 2136, Class PE.................. 68,167 85,369 6.00%, 2/15/28, Series 2107, Class E................... 86,498 90,975 5.50%, 4/15/28, Series 2517, Class TG.................. 91,297 120,173 6.50%, 10/15/28, Series 2438, Class NC............ 120,325 182,799 7.00%, 8/15/29, Series 2178, Class PB.................. 191,715 31,824 6.00%, 2/15/30, Series 2367, Class PD.................. 32,099 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED: Freddie Mac, continued: 115,890 6.50%, 7/15/30, Series 2388, Class BE.................. 116,275 22,217 6.50%, 9/15/30, Series 2316, Class PB.................. 22,427 22,406 6.50%, 11/15/30, Series 2430, Class GD............ 22,538 58,935 6.50%, 1/15/31, Series 2433, Class NG.................. 59,980 200,000 6.50%, 5/15/32, Series 2455, Class GK.................. 211,336 375,000 6.50%, 6/15/32, Series 2457, Class PE.................. 387,073 409,359 6.50%, 7/15/32, Series 02-31, Class JZ........... 431,171 439,848 6.50%, 2/25/43, Series T-54, Class 2A.................. 461,304 ----------- 11,340,173 ----------- Government National Mortgage Assoc. (0.5%): 2,988 8.50%, 12/15/05, Pool #7500..................... 3,034 141,316 7.00%, 7/15/08, Pool #348872................... 148,447 38,155 8.00%, 12/20/10, Pool #2165..................... 40,563 7,415 7.00%, 2/15/11, Pool #412559................... 7,899 50,448 8.50%, 10/15/11, Pool #432121................... 54,490 105,334 6.50%, 9/15/13, Pool #468228................... 112,339 17,107 8.00%, 11/15/16, Pool #199829................... 18,638 43,824 8.00%, 11/15/16, Pool #181122................... 47,748 35,603 8.00%, 11/15/16, Pool #196714................... 38,791 117,825 8.50%, 12/15/22, Pool #780708................... 129,777 42,336 8.00%, 11/15/24, Pool #780028................... 46,285 22,608 8.00%, 6/20/25, Series 95-4, Class CQ.................. 23,643 8,312 7.50%, 5/15/26, Pool #398663................... 8,952 14,257 8.00%, 6/20/26, Pool #CSF2334.................. 15,450 20,375 7.50%, 1/20/27, Pool #2360..................... 21,841 32,970 8.00%, 5/20/27, Pool #2433..................... 35,697 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 48 ONE GROUP INVESTMENT TRUST BALANCED PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED: Government National Mortgage Assoc., continued: 31,875 8.00%, 9/15/27, Pool #451932................... 34,651 22,645 7.00%, 4/15/28, Pool #473915................... 24,106 13,098 7.00%, 6/15/28, Pool #477123................... 13,944 ----------- 826,295 ----------- Total U.S. Government Agency Mortgages 20,455,834 ----------- INVESTMENT COMPANIES (2.3%): 3,852,230 One Group Prime Money Market Fund, Class I (c)......... 3,852,230 ----------- Total Investment Companies 3,852,230 ----------- U.S. TREASURY OBLIGATIONS (9.1%): U.S. Treasury Bonds (5.6%): 5,250,000 10.38%, 11/15/12 (e)........ 6,259,396 2,450,000 7.25%, 5/15/16 (e).......... 3,066,712 ----------- 9,326,108 ----------- U.S. Treasury Inflation Protected Bonds (0.6%): 814,842 3.88%, 1/15/09.............. 913,291 ----------- </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- U.S. TREASURY OBLIGATIONS, CONTINUED: U.S. Treasury Notes (1.6%): 950,000 6.50%, 8/15/05 (e).......... 973,119 1,500,000 6.50%, 2/15/10 (e).......... 1,698,222 ----------- 2,671,341 ----------- U.S. Treasury STRIPS (1.3%): 2,625,000 5/15/15 (e)................. 1,651,566 875,000 8/15/15 (e)................. 542,712 ----------- 2,194,278 ----------- Total U.S. Treasury Obligations 15,105,018 ----------- SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES LENDING (12.4%): 20,535,092 Pool of various securities for One Group Equity Funds -- footnote 2 (Securities Lending)...... 20,535,092 ----------- Total Short-Term Securities Held as Collateral for Securities Lending 20,535,092 ----------- Total (Cost $179,066,587) (a) 185,336,235 =========== </Table> - ------------ Percentages indicated are based on net assets of $166,027,439. (a) Represents cost for financial reporting purposes and differs from market value by unrealized appreciation (depreciation) of securities as follows: <Table> Unrealized appreciation...................... $11,550,025 Unrealized depreciation...................... (5,280,377) ----------- Net unrealized appreciation (depreciation)... $ 6,269,648 =========== </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. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by Banc One Investment Advisors Corporation. (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. Unless otherwise indicated, these securities have been determined to be liquid under procedures established by the Board of Trustees. (e) Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction. (f) Amount rounds to less than 0.1%. 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 December 31, 2004. See notes to financial statements. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 49 ONE GROUP INVESTMENT TRUST BOND PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- ASSET BACKED SECURITIES (1.6%): 128,083 Americredit Automobile Receivables Trust, Series 01-D, Class A4, 4.41%, 11/12/08.................. 129,230 100,000 Americredit Automobile Receivables Trust, Series 03-BX, Class A4A, 2.72%, 1/6/10.................... 99,119 336,943 Capital One Auto Finance Trust, Series 01-A, Class A4, 5.40%, 5/15/08........ 341,073 13,577 Chase Funding Loan Acquisition Trust, Series 02-C1, Class IA5, 6.86%, 1/25/32................... 13,568 150,000 Citibank Credit Card Issuance Trust, Series 02-A1, Class A1, 4.95%, 2/9/09.................... 154,590 450,000 Citibank Credit Card Issuance Trust, Series 02-C2, Class C2, 6.95%, 2/18/14................... 502,569 165,000 CNH Equipment Trust, Series 03-B, Class A4B, 3.38%, 2/15/11................... 164,227 158,941 Conseco Finance, Series 01-B, Class 1M1, 7.27%, 6/15/32................... 162,822 200,000 MBNA Master Credit Card Trust, Series 00-D, Class C, 8.40%, 9/15/09......... 219,782 240,000 MBNA Master Credit Card Trust, Series 99-J, Class C, 7.85%, 2/15/12......... 275,750 75,000 MBNA Master Credit Card Trust, Series 03-C1, Class C, 4.10%, 6/15/12......... 79,751 200,000 MBNA Master Credit Card Trust, Series 02-C1, Class C1, 6.80%, 7/15/14........ 222,023 62,557 Residential Asset Mortgage Products, Inc., Series 01-RS3, Class AI4, 6.29%, 10/25/31.................. 63,062 225,000 WFS Financial Owner Trust, Series 02-1, Class A4A, 4.87%, 9/20/09............ 228,049 </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............ 506,424 490,000 WFS Financial Owner Trust, Series 03-4, Class A4, 3.15%, 5/20/11............ 487,708 ----------- Total Asset Backed Securities 3,649,747 ----------- COLLATERALIZED MORTGAGE OBLIGATIONS (10.1%): 150,000 American Express Credit Account Master Trust, Series 04-3, Class A, 4.35%, 12/15/11........... 152,467 24,689 American Housing Trust, Series V, Class 1G, 9.13%, 4/25/21................... 24,651 88,431 BAE Systems 2001 Asset Trust, Series 01, Class B, 7.16%, 12/15/11 (b)....... 95,986 495,667 Banc of America Funding Corp., Series 03-3, Class 1A33, 5.50%, 10/25/33..... 493,614 92,876 Bank of America Mortgage Securities, Series 03-8, Class A, 0.00%, 11/25/33, PO........................ 69,960 222,267 Bank of America Mortgage Securities, Series 04-1, Class PO, 0.00%, 3/25/34, PO........................ 169,415 95,389 Bank of America Mortgage Securities, Series 04-4, Class APO, 0.00%, 5/25/34, PO........................ 71,688 314,167 Bank of America Mortgage Securities, Series 04-5, Class 3A3, 0.00%, 6/25/34, PO........................ 148,237 200,000 Bank of America Mortgage Securities, Series 04-E, Class 2A5, 4.13%, 6/25/34................... 195,844 293,567 Bank of America Mortgage Securities, Series 04-6 Class APO, 0.00%, 7/25/34, PO........................ 207,315 636,848 Bank of America Mortgage Securities, Series 04-7, Class 1A19, 0.00%, 8/25/34, PO............... 454,180 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 50 ONE GROUP INVESTMENT TRUST BOND PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: 100,000 Bear Stearns Adjustable Rate Mortgage Trust, Series 04-4, Class A4, 3.52%, 6/25/34................... 97,164 101,762 Bear Stearns Commercial Mortgage Securities, Inc., 7.64%, 2/15/32, Ser. 2000-WF1, Class A1........ 108,730 125,000 Bear Stearns Commercial Mortgage Securities, Inc., 3.70%, 8/13/46, Ser. 2004-T16, Class A2........ 124,145 131,151 Citigroup Mortgage Loan Trust, Inc., 0.00%, 12/25/18, Ser. 2003-UST1, Class 1, PO............... 104,906 88,006 Citigroup Mortgage Loan Trust, Inc., 0.00%, 12/25/18, Ser. 2003-UST1, Class 3, PO............... 75,231 316,206 Citigroup Mortgage Loan Trust, Inc., Series 03-UST1, Class A1, 5.50%, 12/25/18.................. 323,519 214,997 Citigroup Mortgage Loan Trust, Inc., Series 03-UP3, Class A3, 7.00%, 9/25/33................... 224,403 436,000 Countrywide Alternative Loan Trust, Series 02-8, Class A4, 6.50%, 7/25/32........ 444,362 145,019 Countrywide Alternative Loan Trust, Series 03-J1, Class PO, 0.00%, 10/25/33, PO... 119,909 1,300,000 Countrywide Asset-Backed Certificates, 2.69%, 10/25/33, Ser. 2004-AB2, Class A2.................. 1,300,001 370,118 Countrywide Home Loan Trust, 4.16%, 6/20/34, Ser. 2004-HYB3, Class 2A....... 368,060 362,261 Countrywide Home Loans, Series 03-J7, Class 4A3, 6.66%, 8/25/18, IF*....... 353,166 744,510 Countrywide Home Loans, Series 03-26, Class 1A6, 3.50%, 8/25/33............ 731,550 163,573 Countrywide Home Loans, Inc., 0.00%, 11/25/19, Ser. 2004-J8, Class A, PO........................ 130,099 350,287 Countrywide Home Loans, Inc., 4.32%, 5/20/34...... 350,110 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: 1,300,000 First Horizon Mortgage Pass- Through Trust, 4.96%, 2/25/35, Ser. 2004-AR7, Class 2A1................. 1,315,032 191,700 Household Automotive Trust, Series 00-2, Class A4, 7.43%, 4/17/07............ 192,061 18,874 Impac Secured Assets Common Owner Trust, Series 00-1, Class A8, 8.15%, 4/25/30.. 18,833 966,339 Master Alternative Loans Trust, Series 04-10, Class IAI, 4.50%, 9/25/19....... 956,978 439,550 Master Asset Securitization Trust, Series 03-12, Class 15PO, 0.00%, 12/25/18, PO........................ 357,848 460,239 Master Asset Securitization Trust, Series 04-8, Class PO, 0.00%, 8/25/19, PO.... 366,783 595,960 MASTR Adjustable Rate Mortgage Trust, 3.82%, 12/21/34, Ser. 2004-7, Class 30, PO.............. 592,608 106,984 MASTR Alternative Loan Trust, 0.00%, 8/25/34, Ser. 2004-7, Class 30, PO........................ 75,958 342,796 MASTR Asset Securitization Trust, 5.00%, 5/25/18, Ser. 2003-4, Class 2A2.... 347,693 472,485 MASTR Asset Securitization Trust, 0.00%, 7/25/19, Ser. 2004-16, Class 15, PO........................ 371,911 879,880 MASTR Asset Securitization Trust, 0.00%, 10/25/19, Ser. 2004-10, Class 15, PO........................ 688,257 286,295 Nomura Asset Acceptance Corp., Series 04-R2, Class A1, 6.50%, 10/25/34....... 298,494 425,067 PNC Mortgage Securities Corp., Series 99-4, Class 1A10, 6.75%, 6/25/29...... 436,321 500,000 Residential Accredit Loans, Inc., Series 02-QS8, Class A5, 6.25%, 6/25/17........ 509,100 121,303 Residential Accredit Loans, Inc., Series 02-QS16, Class A3, 11.57%, 10/25/17, IF*............. 129,158 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 51 ONE GROUP INVESTMENT TRUST BOND PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: 544,753 Residential Accredit Loans, Inc., Series 03-QS3, Class A8, 5.18%, 2/25/18, IO, IF*....................... 48,300 163,195 Residential Accredit Loans, Inc., Series 03-QS3, Class A2, 11.18%, 2/25/18, IF*....................... 181,539 1,200,633 Residential Accredit Loans, Inc., Series 03-QS9, Class A3, 5.13%, 5/25/18, IO, IF*....................... 112,266 397,490 Residential Accredit Loans, Inc., Series 03-QS18, Class A1, 5.00%, 9/25/18................... 401,962 91,017 Residential Accredit Loans, Inc., Series 96-QS3, Class AI-11, 7.75%, 6/25/26..... 90,838 276,000 Residential Accredit Loans, Inc., Series 02-QS3, Class A10, 6.75%, 3/25/32....... 282,873 5,621 Residential Accredit Loans, Inc., Series 02-QS6, Class A10, 6.50%, 5/25/32....... 5,611 165,000 Residential Funding Mortgage Securities I, Inc., Series 03-S12, Class 4A5, 4.50%, 12/25/32.................. 156,856 706,278 Residential Funding Mortgage Securities I, Inc., Series 03-S7, Class A17, 4.00%, 5/25/33................... 687,273 64,717 Salomon Brothers Mortgage Securities Trust VII, Series 03-UP2, Class P01, 0.00%, 12/25/18, PO....... 60,849 400,000 Structured Adjustable Rate Mortgage Loan, Series 04-6, Class 5A4, 5.02%, 6/25/34................... 404,626 500,000 Structured Asset Securities Corp., 5.00%, 4/25/18, Ser. 2003-8, Class 1A2.... 502,300 209,504 Vendee Mortgage Trust, Series 94-1, Class 1, 5.63%, 2/15/24............ 213,879 453,067 Vendee Mortgage Trust, Series 96-1, Class 1Z, 6.75%, 2/15/26............ 484,594 265,809 Vendee Mortgage Trust, Series 96-2, Class 1Z, 6.75%, 6/15/26............ 281,188 898,099 Vendee Mortgage Trust, Series 97-1, Class 2Z, 7.50%, 2/15/27............ 989,368 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- COLLATERALIZED MORTGAGE OBLIGATIONS, CONTINUED: 275,000 Vendee Mortgage Trust, Series 98-1, Class 2E, 7.00%, 9/15/27............ 295,446 450,000 Wachovia Bank Commercial Mortgage Trust, 4.04%, 10/15/41, Ser. 2004-C15, Class A2.................. 445,773 655,002 WAMU Mortgage Pass-Through Certificates, 5.50%, 6/25/33, Ser. 2003-S4, Class 3A.................. 661,700 81,052 Washington Mutual Mortgage Securities Corp., Series 03-S10, Class A6, 0.00%, 10/25/18, PO.............. 59,898 150,000 Wells Fargo Mortgage Backed Securities Trust, Series 03-8, Class A9, 4.50%, 8/25/18................... 144,453 131,485 Wells Fargo Mortgage Backed Securities Trust, Series 03-11, Class 1APO, 0.00%, 10/25/18, PO.............. 106,923 663,000 Wells Fargo Mortgage Backed Securities Trust, Series 03-11, Class 1A4, 4.75%, 10/25/18.................. 662,137 479,288 Wells Fargo Mortgage Backed Securities Trust, Series 04-7, Class 2A2, 5.00%, 7/25/19................... 484,530 664,467 Wells Fargo Mortgage Backed Securities Trust, 5.50%, 1/25/34, Ser. 2003-17, Class 2A4................. 662,806 600,000 Wells Fargo Mortgage Backed Securities Trust, Series 09-05, Class A5, 3.54%, 9/25/34................... 586,869 1,100,000 Wells Fargo Mortgage Backed Securities Trust, 4.59%, 1/25/35, Ser. 2004-BB, Class A4.................. 1,104,642 ----------- Total Collateralized Mortgage Obligations 23,715,246 ----------- CORPORATE BONDS (14.5%): Airlines (0.5%): 85,000 American Airlines, Inc., 7.02%, 4/15/11, Ser. 99-1...................... 87,449 275,000 Delta Airlines, Inc., Series 00-1, Class A2, 7.57%, 5/18/12 (d)............... 271,261 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 52 ONE GROUP INVESTMENT TRUST BOND PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- CORPORATE BONDS, CONTINUED: Airlines, continued: 150,000 Delta Airlines, Inc., Series 02-1, Class G2, 6.42%, 7/2/12.................... 156,589 113,554 Southwest Airlines Co., Series 01-1, Class A1, 5.10%, 5/1/06............. 115,820 200,000 United Airlines, Inc., Series 01-1, Class A2, 6.20%, 9/1/08 (e)......... 182,282 98,158 United Airlines, Inc., Series 00-2, Class A2, 7.19%, 4/1/11 (e)......... 89,188 313,737 United Airlines, Inc., Series 01-1, Class A2, 6.07%, 3/1/13 (e)......... 285,348 84,632 United Airlines, Inc., Series 00-1, Class A1, 7.78%, 7/1/15 (e)......... 74,994 ----------- 1,262,931 ----------- Automotive (0.3%): 150,000 Daimler Chrysler NA Holdings, 7.40%, 1/20/05................... 150,369 350,000 Daimler Chrysler NA Holdings, 7.20%, 9/1/09... 389,556 150,000 General Motors Corp., 7.20%, 1/15/11 (d)............... 153,846 ----------- 693,771 ----------- Energy (0.3%): 100,000 Carolina Power and Light, 5.13%, 9/15/13............ 102,302 165,000 Constellation Energy Group, 6.35%, 4/1/07............. 174,388 130,000 DTE Energy Co., 6.65%, 4/15/09................... 142,039 125,000 Duke Energy Corp., 4.20%, 10/1/08................... 125,953 150,000 Duke Energy Corp., 5.63%, 11/30/12.................. 157,780 ----------- 702,462 ----------- Finance (9.1%): 40,000 AIG International Lease Finance Corp., 5.88%, 5/1/13.................... 42,430 100,000 American Express Credit, 3.00%, 5/16/08............ 97,660 130,000 American International Group, 4.25%, 5/15/13..... 125,598 300,000 ASIF Global Financing XIX, 4.90%, 1/17/13 (b)........ 305,343 150,000 ASIF Global Financing XX, 2.65%, 1/17/06 (b)........ 149,244 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- CORPORATE BONDS, CONTINUED: Finance, continued: 250,000 ASIF Global Financing XXIII, 3.90%, 10/22/08 (b)....... 249,890 250,000 Associates Corp., 8.55%, 7/15/09................... 294,899 200,000 Associates Corp., 8.15%, 8/1/09.................... 233,568 200,000 Bank of America Corp., 3.88%, 1/15/08............ 201,560 570,000 Bank of America Corp., 7.80%, 2/15/10............ 662,853 400,000 Bear Stearns Co., Inc., 3.25%, 3/25/09 (d)........ 388,398 500,000 Boeing Capital Corp., 6.36%, 7/15/05................... 507,336 75,000 Branch Banking & Trust, 4.88%, 1/15/13............ 75,410 190,000 Capital One Bank, 8.25%, 6/15/05................... 194,220 150,000 CIT Group, Inc., 7.63%, 8/16/05................... 154,321 225,000 CIT Group, Inc., 6.50%, 2/7/06.................... 232,908 50,000 Corporation Andina de Fomento California, 5.20%, 5/21/13................... 50,959 200,000 Countrywide Home Loans, 7.20%, 10/30/06........... 212,344 50,000 Countrywide Home Loans, 3.25%, 5/21/08 (d)........ 48,891 250,000 Countrywide Home Loans, 4.00%, 3/22/11............ 243,065 500,000 Credit Suisse First Boston (USA), Inc., 6.13%, 11/15/11.................. 545,238 150,000 Credit Suisse First Boston (USA), Inc., 5.50%, 8/15/13................... 157,072 100,000 First Union National, Inc., 7.80%, 8/18/10............ 117,446 250,000 Firstar Bank N.A., 7.13%, 12/1/09................... 283,801 250,000 Ford Motor Credit Co., 6.88%, 2/1/06............. 257,550 900,000 Ford Motor Credit Co., 7.38%, 10/28/09........... 970,800 170,000 GE Capital Corp., 5.00%, 2/15/07................... 175,125 175,000 GE Capital Corp., 4.25%, 1/15/08................... 177,771 150,000 GE Capital Corp., 3.50%, 5/1/08.................... 148,882 500,000 GE Capital Corp., 7.38%, 1/19/10 (d)............... 571,806 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 53 ONE GROUP INVESTMENT TRUST BOND PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- CORPORATE BONDS, CONTINUED: Finance, continued: 300,000 GE Capital Corp., 5.88%, 2/15/12................... 324,605 200,000 GE Capital Corp., 6.75%, 3/15/32 (d)............... 234,090 490,000 GMAC, 6.13%, 9/15/06........ 502,340 800,000 GMAC, 7.25%, 3/2/11......... 837,569 400,000 Goldman Sachs Group LP, 6.88%, 1/15/11 (d)........ 451,271 125,000 Goldman Sachs Group LP, 4.75%, 7/15/13............ 123,692 150,000 Goldman Sachs Group LP, 5.25%, 10/15/13........... 153,465 200,000 Goldman Sachs Group, Inc., 3.88%, 1/15/09............ 199,547 200,000 Household Finance Corp., 7.88%, 3/1/07............. 217,635 200,000 Household Finance Corp., 6.40%, 6/17/08............ 215,776 500,000 Household Finance Corp., 6.50%, 11/15/08........... 543,789 500,000 Household Finance Corp., 5.88%, 2/1/09............. 534,294 50,000 HSBC Holdings PLC, 7.35%, 11/27/32 (b).............. 60,091 250,000 Huntington National Bank, 8.00%, 4/1/10............. 290,551 60,000 International Lease Finance Corp., 4.50%, 5/1/08...... 60,766 165,000 International Lease Finance Corp., 6.38%, 3/15/09..... 178,695 200,000 Jackson National Life Global, 6.13%, 5/30/12 (b)............... 216,630 100,000 John Hancock Global Funding II, 3.50%, 1/30/09 (b).... 97,751 100,000 John Hancock Global Funding II, 7.90%, 7/2/10 (b)..... 117,088 200,000 KeyCorp, 4.70%, 5/21/09..... 204,468 100,000 Lehman Brothers Holdings, Inc., 4.00%, 1/22/08...... 100,690 175,000 Lehman Brothers Holdings, Inc., 6.63%, 1/18/12 (d)............... 195,683 160,000 Massmutual Global Funding II, 3.25%, 6/15/07........ 158,608 200,000 Massmutual Global Funding II, 3.50%, 3/15/10 (b).... 192,814 200,000 Merrill Lynch & Co., 3.70%, 4/21/08................... 199,457 200,000 Merrill Lynch & Co., 4.13%, 1/15/09 (d)............... 201,101 100,000 Metropolitan Life Insurance Co., 5.20%, 9/18/13 (b)... 102,657 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- CORPORATE BONDS, CONTINUED: Finance, continued: 150,000 MGIC Investment Corp., 6.00%, 3/15/07............ 157,523 200,000 Monumental Global Funding II, 5.20%, 1/30/07 (b).... 206,782 150,000 Monumental Global Funding II, Series 144A, 4.38%, 7/30/09 (b)............... 150,630 640,000 Morgan Stanley Dean Witter and Co., 6.75%, 4/15/11... 717,848 300,000 Morgan Stanley Dean Witter and Co., 6.60%, 4/1/12.... 334,595 885,000 National Rural Utilities, 6.00%, 5/15/06............ 916,698 100,000 Nationwide Financial Services, 6.25%, 11/15/11.................. 109,028 75,000 New York Life Global Funding, 3.88%, 1/15/09 (b)............... 74,590 250,000 New York Life Global Funding, 5.38%, 9/15/13 (b)............... 260,131 145,000 Pacific Life Global Funding, 3.75%, 1/15/09 (b)........ 143,385 100,000 PHH Corp., 7.13%, 3/1/13.... 111,829 75,000 Popular North America, Inc., 4.25%, 4/1/08............. 75,708 300,000 Principal Life Global Funding, 6.25%, 2/15/12 (b)............... 327,934 85,000 Protective Life Secured Trust, 4.00%, 10/7/09..... 84,322 200,000 Protective Life Secured Trust, 4.00%, 4/1/11...... 195,198 190,000 Royal Bank of Canada, 3.88%, 5/4/09.................... 188,408 100,000 SLM Corp., Series A, 5.38%, 1/15/13................... 103,443 150,000 State Street Corp., 7.65%, 6/15/10................... 176,118 250,000 Suntrust Bank, 6.38%, 4/1/11.................... 276,995 100,000 Toyota Motor Credit Corp., 2.88%, 8/1/08............. 97,155 200,000 U.S. Bancorp, 6.50%, 2/1/08 (d)................ 215,654 100,000 U.S. Bancorp, 7.50%, 6/1/26.................... 124,621 240,000 Wachovia Corp, 3.50%, 8/15/08................... 237,599 150,000 Wachovia Corp., 3.63%, 2/17/09................... 148,273 250,000 Washington Mutual Bank, 5.65%, 8/15/14............ 258,597 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 54 ONE GROUP INVESTMENT TRUST BOND PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- CORPORATE BONDS, CONTINUED: Finance, continued: 100,000 Washington Mutual Finance, 6.88%, 5/15/11............ 113,388 90,000 Washington Mutual, Inc., 4.20%, 1/15/10............ 89,645 260,000 Wells Fargo Bank, 3.13%, 4/1/09.................... 251,997 250,000 Wells Fargo Bank, 7.55%, 6/21/10................... 290,377 300,000 World Savings Bank FSB, 4.50%, 6/15/09............ 304,091 ----------- 21,334,073 ----------- Governments (Foreign) (0.4%): 400,000 Province of Quebec, 5.75%, 2/15/09................... 428,514 150,000 United Mexican States, 4.63%, 10/8/08............ 151,875 50,000 United Mexican States, 6.38%, 1/16/13............ 53,125 325,000 United Mexican States, 7.50%, 4/8/33............. 351,813 ----------- 985,327 ----------- Industrial Services (0.6%): 150,000 Dow Chemical, 6.13%, 2/1/11.................... 164,297 180,000 First Data Corp., 3.90%, 10/1/09 (d)............... 179,315 150,000 IBM Corp., 5.39%, 1/22/09... 157,010 65,000 International Paper Co., 6.50%, 11/15/07........... 69,281 55,000 International Paper Co., 4.25%, 1/15/09............ 55,201 165,000 International Paper Co., 4.00%, 4/1/10............. 161,766 125,000 Phillips Petroleum Co., 8.75%, 5/25/10............ 152,547 100,000 Tyco International Group, 8.20%, 10/15/08........... 113,461 50,000 Tyco International Group, 6.75%, 2/15/11............ 56,039 200,000 Tyco International Group, 6.38%, 10/15/11 (d)....... 220,811 100,000 Weyerhaeuser Co., 6.75%, 3/15/12................... 112,683 ----------- 1,442,411 ----------- Leasing (0.2%): 500,000 Hertz Corp., 6.50%, 5/15/06................... 515,885 ----------- Multimedia (0.4%): 150,000 AOL Time Warner, Inc., 5.63%, 5/1/05............. 151,381 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- CORPORATE BONDS, CONTINUED: Multimedia, continued: 120,000 AOL Time Warner, Inc., 8.18%, 8/15/07............ 133,269 150,000 AOL Time Warner, Inc., 10.15%, 5/1/12............ 196,786 100,000 AOL Time Warner, Inc., 9.15%, 2/1/23............. 133,996 100,000 Cox Radio, Inc., 6.38%, 5/15/05................... 100,934 150,000 Viacom, Inc., 7.75%, 6/1/05.................... 152,669 ----------- 869,035 ----------- Real Estate (0.1%): 165,000 EOP Operating LP, 6.75%, 2/15/12................... 183,677 30,000 ERP Operating LP, 4.75%, 6/15/09................... 30,633 50,000 Harrah's Operating Co., Inc., 8.00%, 2/1/11....... 58,073 ----------- 272,383 ----------- Retailers (0.1%): 150,000 Kroger Co., 8.05%, 2/1/10... 175,584 ----------- Telecommunications (1.8%): 150,000 Ameritech Capital Funding Corp., 5.95%, 1/15/38..... 150,144 50,000 AT&T Wireless Services, Inc., 7.50%, 5/1/07 (d)... 54,308 150,000 AT&T Wireless Services, Inc., 7.88%, 3/1/11....... 176,793 100,000 Bell Telephone Co., Pennsylvania, 8.35%, 12/15/30.................. 128,743 347,895 Bellsouth Telecommunications, 6.30%, 12/15/15.................. 378,141 400,000 British Telecom PLC, 8.38%, 12/15/10.................. 480,343 50,000 Cox Communications, Inc., 6.88%, 6/15/05............ 50,803 100,000 Cox Communications, Inc., 7.75%, 11/1/10............ 114,549 180,000 France Telecom, 8.50%, 3/1/11.................... 214,723 10,000 Liberty Media Corp., 5.70%, 5/15/13 (d)............... 9,923 150,000 Nynex Capital Funding, 8.23%, 10/15/09........... 172,428 150,000 Sprint Capital Corp., 7.13%, 1/30/06................... 156,017 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 55 ONE GROUP INVESTMENT TRUST BOND PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- CORPORATE BONDS, CONTINUED: Telecommunications, continued: 500,000 Sprint Capital Corp., 6.00%, 1/15/07................... 523,297 100,000 Sprint Capital Corp., 8.38%, 3/15/12 (d)............... 121,814 60,000 Sprint Capital Corp., 8.75%, 3/15/32................... 79,939 335,000 TCI Communications, Inc., 9.80%, 2/1/12............. 431,813 115,000 Telus Corp., 8.00%, 6/1/11.................... 136,284 650,000 Verizon Global Funding Corp., 7.25%, 12/1/10..... 744,696 100,000 Verizon Virginia, Inc., 4.63%, 3/15/13............ 97,517 ----------- 4,222,275 ----------- Transportation & Shipping (0.1%): 150,000 Burlington North Sante Fe, 7.13%, 12/15/10........... 171,296 ----------- Utilities (0.6%): 100,000 American Electric Power Co., Series A, 6.13%, 5/15/06.. 103,638 100,000 Appalachian Power Co., Series E, 4.80%, 6/15/05.. 100,846 200,000 Dominion Resources, Inc., 2.80%, 2/15/05............ 200,073 150,000 Exelon Generation Co., LLC, 6.95%, 6/15/11............ 169,310 80,000 Keyspan Gas East, 7.88%, 2/1/10.................... 93,920 65,000 PSEG Power, 7.75%, 4/15/11 (d)............... 75,790 675,000 Virginia Electric & Power Co., 5.38%, 2/1/07........ 699,205 ----------- 1,442,782 ----------- Total Corporate Bonds 34,090,215 ----------- U.S. GOVERNMENT AGENCY MORTGAGES (40.5%): Fannie Mae (16.4%): 16,333 9.00%, 12/1/06, Pool #313699................... 16,382 20,421 8.50%, 12/1/07, Pool #420646................... 20,725 53,296 0.00%, 9/25/08, Series 96-39, Class J, PO........ 51,355 30,901 0.00%, 9/25/08, Series 96-20, Class L, PO........ 29,816 72,702 13.00%, 9/25/08, Series 93-175, Class SA, IF*..... 79,755 194,828 14.28%, 9/25/08, Series 93-164, Class SC, IF*..... 215,501 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED: Fannie Mae, continued: 135,987 14.28%, 9/25/08, Series 93-164, Class SA, IF*..... 150,417 59,543 0.00%, 10/25/08, Series 96-24, Class B, PO........ 57,719 11,820 2.86%, 10/25/08, Series 93-196, Class FA*......... 11,852 17,730 9.25%, 10/25/08, Series 93-196, Class SB, IF*..... 18,713 61,872 12.78%, 10/25/08, Series 93-94, Class S, IF*....... 67,107 470 256.68%, 11/1/08, Series K, Class 2, HB............... 1,474 279,643 14.95%, 12/25/08, Series 93-233, Class SB, IF*..... 313,100 60,837 17.04%, 2/25/09, Series 94-13, Class SK, IF*...... 68,723 81,371 2.96%, 3/25/09, Series 94-33, Class FA*.......... 81,776 1,111 6.50%, 3/25/09, Series 95-13, Class B............ 1,112 138,588 11.40%, 3/25/09, Series 02-8, Class SR, IF*....... 151,458 68,465 6.50%, 4/1/09, Pool #190760................... 72,344 309,447 10.21%, 11/25/09, Series 02-73, Class S, IF*....... 328,201 222,295 8.00%, 11/1/12, Pool #535710................... 236,424 563,230 5.00%, 11/25/12, Series 03-16, Class PI, IO....... 38,694 500,000 4.50%, 1/25/14, Series 03-128, Class KE.......... 505,543 700,000 5.00%, 11/25/15, Series 02-74, Class PD........... 715,466 500,000 6.50%, 11/25/15, Series 01-52, Class XN........... 526,810 500,000 6.00%, 12/25/15, Series 01-78, Class VB........... 509,994 750,000 5.00%, 1/25/16, Series 02-74, Class LD........... 766,193 709,222 6.00%, 8/15/16, Series 2344, Class QG.................. 738,407 500,000 6.00%, 12/25/16, Series 01-71, Class QE........... 522,287 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 56 ONE GROUP INVESTMENT TRUST BOND PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED: Fannie Mae, continued: 1,000,000 6.00%, 12/25/16, Series 01-74, Class MB........... 1,063,080 250,000 6.50%, 12/25/16, Series 01-50, Class VB........... 259,127 1,000,000 6.00%, 2/25/17, Series 02-2, Class UC.................. 1,039,539 500,000 6.00%, 2/25/17, Series 02-3, Class OG.................. 526,891 800,000 5.50%, 4/25/17, Series 02-18, Class PC........... 838,074 1,000,000 6.00%, 4/25/17, Series 02-19, Class PE........... 1,051,043 1,000,000 5.50%, 9/25/17, Series 02-56, Class UC........... 1,037,303 500,000 5.50%, 1/25/18, Series 02-94, Class BK........... 523,007 126,876 5.00%, 6/1/18, Pool #709877................... 129,028 212,510 4.00%, 7/1/18, Pool #721608................... 207,846 297,892 4.50%, 7/1/18, Pool #720393................... 297,614 700,000 4.00%, 2/25/19, Series 04-1, Class AC.................. 653,009 13,184 3.41%, 3/1/19, Pool #116612*.................. 13,445 321,953 4.00%, 4/25/19, Series 04-22, Class A............ 308,187 200,000 4.00%, 10/25/19, Series 04-76, Class CL........... 186,429 29,334 8.50%, 11/25/19, Series 89-83, Class H............ 31,788 6,771 8.80%, 1/25/20, Series 90-1, Class D................... 7,389 500,000 6.00%, 2/25/20, Series 01-28, Class VB........... 509,528 30,325 8.50%, 2/25/20, Series 90-10, Class L............ 32,830 7,321 5.50%, 8/25/20, Series 90-93, Class G............ 7,486 10,688 8.75%, 12/25/20, Series 90-143, Class J........... 11,597 113 652.15%, 12/25/20, Series 90-140, Class K, HB....... 2,212 135,076 10.00%, 8/1/21, Pool #442639................... 150,176 130,524 7.00%, 1/25/22, Series G92-15, Class Z........... 135,951 298,122 6.50%, 2/25/22, Series 02-1, Class HC.................. 311,726 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED: Fannie Mae, continued: 65,358 5.50%, 6/25/22, Series 02-91, Class UH, IO....... 11,338 211,813 7.50%, 6/25/22, Series 92-101, Class J........... 217,741 1,014,479 3.00%, 7/25/22, Series 03-68, Class QP........... 969,831 647,059 3.00%, 7/25/22, Series 2003-68, Class LC......... 551,938 15,241 7.00%, 7/25/22, Series G92-42, Class Z........... 16,146 310,324 8.00%, 7/25/22, Series G92-44, Class ZQ.......... 338,552 33,761 6.50%, 8/25/22, Series 96-59, Class J............ 35,278 90,175 5.50%, 9/25/22, Series 92-143, Class MA.......... 92,921 171,361 7.50%, 9/25/22, Series G92-54, Class ZQ.......... 182,877 11,284 2.66%, 10/25/22, Series G92-59, Class F*.......... 11,316 6,996 3.66%, 10/25/22, Series 93-225, Class FP*......... 7,006 20,150 7.00%, 10/25/22, Series G92-61, Class Z........... 21,535 389,536 6.50%, 12/1/22, Pool #555791................... 411,238 299,708 7.00%, 12/25/22, Series G92-66, Class KB.......... 317,092 86,092 7.90%, 1/25/23, Series G93-1, Class KA........... 92,617 643,454 7.00%, 2/25/23, Series 97-61, Class ZC........... 681,954 95,670 6.00%, 4/25/23, Series G93-17, Class SI, IF*..... 96,624 300,528 13.13%, 4/25/23, Series 98-43, Class SA, IF, IO*....................... 98,353 250,000 5.50%, 5/25/23, Series 03-41, Class PE........... 259,972 320,038 0.00%, 6/25/23, Series 93-257, Class C, PO....... 292,800 500,000 5.00%, 6/25/23, Series 03-83, Class PG........... 500,794 1,703,940 5.23%, 6/25/23, Series 03-80, Class SY, IO, IF*....................... 205,896 35,761 0.00%, 7/25/23, Series 93-159, Class PD, PO...... 35,691 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 57 ONE GROUP INVESTMENT TRUST BOND PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED: Fannie Mae, continued: 366,071 6.50%, 7/25/23, Series 96-59, Class K............ 383,788 37,239 0.00%, 9/25/23, Series 93-205, Class H, PO....... 32,724 133,355 7.00%, 9/25/23, Series 93-167, Class GA.......... 138,652 17,023 10.70%, 9/25/23, Series 93-165, Class SD, IF*..... 18,040 84,892 12.50%, 9/25/23, Series 93-165, Class SK, IF*..... 102,894 66,120 3.51%, 10/25/23, Series 93-189, Class FB*......... 65,261 250,000 5.45%, 11/25/23, Series 03-106, Class US, IF*..... 183,036 83,206 6.50%, 11/25/23, Series 95-19, Class Z............ 90,246 12,086 3.02%, 12/25/23, Series 93-230, Class FA*......... 12,236 369,397 6.50%, 12/25/23, Series 93-225, Class UB.......... 382,851 928,822 7.00%, 12/25/23, Series 93-250, Class Z........... 972,043 120,559 8.50%, 1/25/25, Series 95-2, Class Z................... 130,705 234,370 9.00%, 4/1/25, Pool #506427................... 261,080 160,433 8.50%, 10/1/26, Pool #449336................... 175,551 123,558 8.00%, 3/1/27, Pool #689977................... 134,489 1,145,992 1.84%, 3/25/27, Series 97-20, Class IB, IO....... 55,869 116,166 7.50%, 5/20/27, Series 97-39, Class PD........... 122,324 249,568 6.00%, 7/18/27, Series 97-46, Class PL........... 260,074 256,123 8.50%, 8/1/27, Pool #253605................... 282,100 267,448 6.00%, 7/18/28, Series 98-36, Class ZB........... 274,839 574,255 8.00%, 11/1/28, Pool #755973................... 624,779 53,759 6.00%, 1/1/29, Pool #252211................... 55,780 30,512 4.08%, 3/1/29, Pool #303532*.................. 30,656 149,500 6.00%, 7/25/29, Series 01-80, Class PE........... 156,163 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED: Fannie Mae, continued: 80,880 8.50%, 6/1/30, Pool #535442................... 89,000 55,526 8.50%, 1/25/31, Series 00-52, Class IO, IO....... 8,427 565,727 6.00%, 7/25/31, Series 01-33, Class ID, IO....... 87,509 336,628 7.00%, 7/25/31, Series 01-30, Class PM........... 350,316 819,000 7.00%, 8/25/31, Series 01-36, Class DE........... 869,326 133,912 7.00%, 9/25/31, Series 01-44, Class PD........... 140,304 400,000 6.00%, 11/25/31, Series 02-74, Class VB........... 415,297 436,573 7.00%, 11/25/31, Series 01-61, Class Z............ 466,739 82,773 17.33%, 2/25/32, Series 02-1, Class SA, IF*....... 98,008 278,490 5.60%, 3/15/32, Series 2450, Class SW, IF, IO*......... 27,515 1,511,792 1.60%, 3/25/32, Series 02-12, Class SJ, IF, IO*....................... 74,863 250,000 6.50%, 4/25/32, Series 02-59, Class VB........... 257,964 500,000 6.50%, 5/25/32, Series 02-28, Class PK........... 527,575 87,078 7.00%, 8/1/32, Pool #649624................... 92,745 197,938 8.50%, 11/25/32, Ser. 2004-61, Class SK......... 208,120 194,582 0.00%, 12/1/32, Series 329, Class 1, PO............... 155,925 481,655 6.00%, 12/1/32, Pool #675555................... 498,709 249,734 10.05%, 12/25/32, Series 02-77, Class S, IF*....... 260,994 354,836 3.50%, 2/25/33, Series 03-66, Class PA........... 340,969 150,524 6.00%, 3/1/33, Pool #674349................... 155,715 293,000 4.00%, 4/25/33, Series 03-22, Class UD........... 246,909 100,000 5.75%, 6/25/33, Series 03-47, Class PE........... 101,201 72,389 8.05%, 7/25/33, Series 03-64, Class SX, IF*...... 58,562 217,804 0.00%, 8/1/33, Series 340, Class 1, PO............... 163,728 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 58 ONE GROUP INVESTMENT TRUST BOND PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED: Fannie Mae, continued: 186,308 0.00%, 8/25/33, Series 03-132, Class 0A, PO...... 150,452 182,861 4.43%, 8/25/33, Series 03-71, Class DS, IF*...... 151,270 445,720 6.00%, 9/1/33, Pool #737825................... 461,093 172,995 8.47%, 9/25/33, Series 03-91, Class SD*.......... 168,037 2,231,978 5.18%, 11/25/33, Series 03-116, Class SB, IO*..... 210,034 896,648 5.50%, 12/1/33, Pool #725017................... 911,067 369,477 5.50%, 1/1/34, Pool #759424................... 375,419 247,170 7.89%, 1/25/34, Series 03-130, Class SX, IF*..... 250,081 100,000 5.50%, 2/25/34, Series 04-36, Class PC........... 103,510 425,741 18.93%, 2/25/34, Series 04-10, Class SC, IF*...... 512,711 215,797 5.45%, 3/25/34, Series 04-14, Class CD, PO*...... 164,175 235,855 0.00%, 4/25/34, Series 04-21, Class CO, PO....... 139,632 400,000 5.90%, 4/25/34, Series 04-58, Class ST*.......... 399,687 675,462 12.88%, 4/25/34, Series 04-25, Class SA, IF*...... 742,559 576,348 12.88%, 5/25/34, Series 04-36, Class SA, IF*...... 634,823 142,778 9.40%, 7/25/34, Ser. 2004-51, Class SY......... 143,057 226,431 0.00%, 12/25/34, Ser. 2004-92, Class JO......... 175,212 200,000 4.75%, 12/25/42, Series 03-W8, Class 1A3.......... 200,434 388,235 6.50%, 12/25/42, Series 03-W1, Class 1A1.......... 404,257 238,603 7.50%, 12/25/42, Series 03-W1, Class 2A........... 255,311 375,356 7.00%, 2/25/44, Series 04-W2, Class 2A2.......... 397,314 ----------- 38,673,898 ----------- </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED: Freddie Mac (20.3%): 153,183 4.50%, 11/15/07, Series 1404, Class FA............ 153,995 7,964 6.56%, 2/15/08, Series 1465, Class SA, IF, IO*......... 396 216,513 0.00%, 8/15/08, Series 1900, Class T, PO............... 209,341 66,498 0.00%, 8/15/08, Series 1561, Class TA, PO.............. 64,259 30,575 6.50%, 9/15/08, Series 1587, Class H................... 30,632 19,963 0.00%, 10/15/08, Series 1967, Class PC, PO........ 19,228 37,724 8.50%, 12/15/08, Series 1625, Class SD, IF*....... 40,652 210,970 11.43%, 2/15/09, Series 2412, Class SE*........... 229,435 2,800 11.98%, 2/15/09, Series 1796, Class S, IF*........ 2,815 18,383 9.00%, 6/1/10, Gold Pool #G10777................... 19,712 145,736 7.50%, 9/1/10, Gold Pool #E62448................... 154,016 319,940 6.50%, 12/15/12, Series 2419, Class VG............ 325,897 163,515 6.30%, 1/15/13, Series 2025, Class PE.................. 169,423 225,368 6.50%, 5/15/13, Series 2055, Class OE.................. 235,192 124,045 6.50%, 10/15/13, Series 1596, Class D............. 129,777 30,952 17.72%, 10/15/13, Series 1607, Class SA, IF*....... 38,112 304,178 6.00%, 12/15/13, Series 2102, Class TU............ 316,598 658,907 6.00%, 1/15/14, Series 2115, Class PE.................. 685,716 250,479 6.00%, 3/15/14, Series 2594, Class VA.................. 262,042 39,907 6.50%, 3/15/14, Series 2135, Class UK, IO.............. 6,084 13,266 7.00%, 5/15/14, Series 2299, Class G................... 13,247 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 59 ONE GROUP INVESTMENT TRUST BOND PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED: Freddie Mac, continued: 98,288 6.00%, 7/15/14, Series 2405, Class PC.................. 98,556 125,000 5.50%, 12/15/14, Series 2374, Class PV............ 127,493 88,503 5.50%, 5/15/15, Series 2391, Class QE.................. 89,837 284,450 6.50%, 9/15/15, Series 2353, Class PC.................. 287,099 436,168 5.06%, 10/15/15, Series 2668, Class SB*........... 421,244 86,345 8.50%, 11/1/15, Gold Pool #E81720................... 92,210 16,016 8.50%, 11/15/15, Series 2496, Class LD............ 16,240 500,000 5.50%, 2/15/16, Series 2500, Class TD.................. 511,740 1,000,000 5.50%, 6/15/16, Series 2498, Class UD.................. 1,030,420 900,000 6.50%, 8/15/16, Series 2345, Class PQ.................. 944,254 407,226 6.00%, 9/15/16, Series 2355, Class BP.................. 425,349 915,871 6.00%, 9/15/16, Series 2360, Class PG.................. 950,813 79,392 4.50%, 12/15/16, Series 2643, Class HI, IO........ 9,633 500,000 5.50%, 12/15/16, Series 2391, Class QR............ 520,731 500,000 6.00%, 12/15/16, Series 2394, Class MC............ 523,834 202,013 6.50%, 10/1/17, Gold Pool #E01254................... 213,918 150,000 6.50%, 12/15/17, Series 2357, Class VX............ 152,052 400,000 6.50%, 4/15/18, Series 2461, Class VB.................. 412,160 542,277 4.00%, 5/15/18, Series 2643, Class KG.................. 544,342 1,000,000 4.50%, 5/15/18, Series 2611, Class UH.................. 972,235 500,000 4.50%, 5/15/18, Series 2617, Class GR.................. 486,248 500,000 4.50%, 6/15/18, Series 2631, Class LC.................. 486,129 440,280 4.00%, 8/1/18, Gold Pool #E01424................... 431,284 160,088 4.50%, 8/1/18, Gold Pool #E97838................... 159,935 500,000 4.00%, 9/15/18, Series 2675, Class CK.................. 466,633 353,308 6.00%, 1/15/19, Series 2367, Class VD.................. 356,062 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED: Freddie Mac, continued: 154,033 6.50%, 3/15/19, Series 2134, Class PI, IO.............. 29,151 408,100 4.50%, 4/15/19, Series 2780, Class JG.................. 398,901 768,092 4.00%, 5/1/19, Gold Pool #E01647................... 751,473 940,074 4.50%, 5/1/19, Gold Pool #4651..................... 937,517 12,432 12.00%, 7/1/19, Pool #555238................... 13,777 470,000 6.00%, 7/15/19, Series 2435, Class VH.................. 491,090 43,752 9.50%, 7/15/19, Series 11, Class D................... 43,758 60,259 10.00%, 1/1/20, Pool #546257................... 67,064 23,517 9.50%, 4/15/20, Series 22, Class C................... 23,513 228,000 5.00%, 5/15/20, Series 2686, Class GB.................. 232,601 153,213 6.50%, 6/15/20, Series 2362, Class PD.................. 157,753 7,973 10.00%, 6/15/20, Series 47, Class F................... 7,975 400,000 6.00%, 8/15/20, Series 2594, Class VQ.................. 415,289 80,511 10.00%, 9/1/20, Pool #555286................... 89,241 500,000 6.00%, 12/15/20, Series 2392, Class PV............ 517,716 3,960 9.50%, 1/15/21, Series 99, Class Z................... 3,944 5,609 6.50%, 2/15/21, Series 128, Class I................... 5,610 5,502 9.00%, 4/15/21, Series 1065, Class J................... 5,886 600,000 8.50%, 6/15/21, Series 1113, Class J................... 604,028 1,514,670 5.25%, 10/15/21, Series 2611, Class SH, IO, IF*... 162,417 47,461 7.00%, 5/15/22, Series 1250, Class J................... 47,707 79,580 8.00%, 6/15/22, Series 1316, Class Z................... 81,921 123,937 7.00%, 7/15/22, Series 1324, Class Z................... 126,519 100,736 7.50%, 8/15/22, Series 1343, Class LB.................. 104,065 86,432 8.00%, 8/15/22, Series 1343, Class LA.................. 90,973 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 60 ONE GROUP INVESTMENT TRUST BOND PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED: Freddie Mac, continued: 500,000 5.50%, 10/15/22, Series 2512, Class PG............ 513,222 68,476 6.00%, 10/15/22, Series 1395, Class G............. 69,058 77,500 9.57%, 10/15/22, Series 1394, Class ID, IF*....... 84,560 577,574 6.50%, 11/1/22, Pool #G30234................... 609,915 276,892 6.00%, 12/1/22, Pool #C90600................... 288,017 500,000 5.50%, 12/15/22, Series 2535, Class BK............ 514,604 4,408 3.12%, 1/15/23, Series 1603, Class IF*................. 4,414 1,000,000 5.00%, 1/15/23, Series 2715, Class OG.................. 1,005,793 908,300 7.00%, 3/25/23, Series 8, Class ZA.................. 962,503 250,552 5.00%, 5/15/23, Series 1798, Class F................... 253,135 96,366 6.65%, 5/15/23, Series 1518, Class G, IF*.............. 94,656 45,905 7.00%, 5/15/23, Series 1505, Class Q................... 47,987 1,467,713 4.15%, 6/15/23, Series 2626, Class NS, IO, IF*......... 117,956 102,246 3.65%, 7/15/23, Series 1541, Class O*.................. 99,723 31,816 9.99%, 10/15/23, Series 1689, Class SD, IF*....... 33,770 15,864 6.00%, 11/15/23, Series 1685, Class Z............. 16,404 49,861 12.05%, 11/15/23, Series 1609, Class LG, IF*....... 56,407 1,000,000 4.50%, 12/15/23, Series 2716, Class UN, IO........ 947,692 178,924 6.50%, 12/15/23, Series 2283, Class K............. 192,701 16,832 0.00%, 2/15/24, Series 1865, Class D, PO............... 12,648 55,139 0.00%, 2/15/24, Series 1700, Class GA, PO.............. 51,416 9,980 10.00%, 2/15/24, Series 1671, Class QC, IF*....... 11,265 53,025 22.63%, 3/15/24, Series 2033, Class SN, IF, IO*... 15,961 60,101 0.00%, 5/15/24, Series 2306, Class K, PO............... 52,958 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED: Freddie Mac, continued: 144,243 6.43%, 5/15/24, Series 2306, Class SE, IF, IO*......... 22,926 2,100,000 6.50%, 5/15/24, Series 1732, Class K................... 2,231,648 205,091 14.39%, 2/15/25, Series 2656, Class SH, IF*....... 230,138 496,186 6.50%, 7/15/26, Series 1863, Class Z................... 517,595 169,430 6.00%, 5/15/27, Series 1981, Class Z................... 174,728 242,331 7.50%, 9/15/27, Series 1987, Class PE.................. 253,376 196,077 6.00%, 11/15/27, Series 2132, Class PD............ 199,808 141,830 6.00%, 2/15/28, Series 2143, Class CD.................. 144,417 94,156 7.00%, 3/15/28, Series 2038, Class PN, IO.............. 16,029 261,898 7.50%, 5/15/28, Series 2054, Class PV.................. 276,473 497,611 7.00%, 6/15/28, Series 2064, Class TE.................. 521,901 351,861 6.50%, 8/15/28, Series 2075, Class PH.................. 366,073 70,928 20.67%, 3/15/29, Series 2132, Class SB, IF*....... 83,179 829,000 7.00%, 7/15/29, Series 2172, Class QC.................. 909,305 531,945 8.00%, 9/15/29, Series 2182, Class ZB.................. 580,500 232,280 6.00%, 11/15/29, Series 2460, Class VZ............ 242,483 400,000 6.00%, 5/15/30, Series 2565, Class MB.................. 410,987 314,466 9.40%, 5/15/30, Ser. 2755, Class A................... 314,987 141,793 7.50%, 8/15/30, Series 2247, Class Z................... 145,669 76,946 7.50%, 10/15/30, Series 2261, Class ZY............ 79,674 257,828 6.50%, 4/15/31, Series 2317, Class VG.................. 262,154 142,946 7.00%, 6/15/31, Series 2325, Class PM.................. 154,910 131,689 8.50%, 6/15/31, Series 2359, Class ZB.................. 154,552 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 61 ONE GROUP INVESTMENT TRUST BOND PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED: Freddie Mac, continued: 223,583 6.50%, 8/15/31, Series 2344, Class ZJ.................. 232,750 136,548 6.50%, 8/15/31, Series 2345, Class NE.................. 141,925 200,000 6.50%, 8/15/31, Series 2454, Class BG.................. 207,103 682,662 6.50%, 8/15/31, Series 2344, Class ZD.................. 721,226 300,000 0.00%, 2/15/32, Series 2513, Class YO, PO.............. 258,230 167,129 5.00%, 2/15/32, Series 2672, Class WD.................. 165,548 307,546 6.25%, 2/15/32, Series 2410, Class QX, IF, IO*......... 26,888 250,000 6.38%, 2/15/32, Series 2410, Class OE.................. 260,991 100,000 11.30%, 2/15/32, Series 2412, Class SP, IF*....... 104,158 250,000 13.25%, 2/15/32, Series 2410, Class QS, IF*....... 279,776 500,000 4.00%, 3/15/32, Ser. 2515, Class DE.................. 475,022 417,735 5.55%, 3/15/32, Series 2444, Class ES, IF, IO*......... 36,624 500,000 7.00%, 3/15/32, Series 2423, Class MC.................. 526,242 916,655 7.00%, 3/15/32, Series 2423, Class MT.................. 960,051 227,841 6.50%, 4/15/32, Series 2435, Class CJ.................. 243,383 500,000 7.00%, 4/15/32, Series 2436, Class MC.................. 532,660 300,000 6.50%, 5/15/32, Series 2455, Class GK.................. 317,003 282,850 6.50%, 6/15/32, Series 2462, Class JG.................. 298,926 175,440 6.50%, 7/15/32, Series 2484, Class LZ.................. 186,737 82,568 7.50%, 7/25/32, Series T-41, Class 3A.................. 88,023 790,000 6.00%, 9/15/32, Series 2500, Class MC.................. 824,547 300,000 6.00%, 12/15/32, Series 2543, Class YX............ 311,637 500,000 6.00%, 12/15/32, Series 2544, Class HC............ 514,602 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED: Freddie Mac, continued: 1,169,774 4.60%, 2/15/33, Series 2599, Class DS, IF, IO*......... 103,471 762,630 5.15%, 2/15/33, Series 2597, Class DS, IF, IO*......... 64,306 500,000 6.00%, 2/15/33, Series 2575, Class ME.................. 519,766 1,207,620 4.70%, 3/15/33, Series 2610, Class DS, IF, IO*......... 111,585 336,606 6.50%, 3/15/33, Series 2586, Class WI, IO.............. 52,734 37,925 8.05%, 6/15/33, Series 2631, Class BS, IF*............. 35,401 500,000 5.50%, 8/15/33, Series 2744, Class PD.................. 529,006 200,000 0.00%, 9/15/33, Series 2733, Class GF, IF*............. 186,700 431,712 5.50%, 10/1/33, Gold Pool #A13625................... 438,971 274,714 0.00%, 10/15/33, Series 2684, Class TO, PO........ 150,867 225,786 5.40%, 10/15/33, Series 2691, Class WS, IF*....... 168,931 285,890 5.58%, 10/15/33, Series 2682, Class YS, IF*....... 220,273 167,771 5.40%, 11/15/33, Series 2705, Class SC, IF*....... 129,271 256,101 6.11%, 11/15/33, Series 2705, Class SD, IF*....... 205,265 459,835 6.00%, 1/1/34, Gold Pool #A17537................... 475,247 750,000 5.47%, 1/15/34, Series 2727, Class BS, IF*............. 501,275 318,597 0.00%, 2/15/34, Series 2744, Class FE, IF*............. 273,997 140,000 7.20%, 2/15/34, Series 2753, Class S, IF*.............. 119,106 146,615 0.00%, 3/15/34, Series 2769, Class PO, PO.............. 97,635 575,346 5.47%, 4/15/34, Ser. 2776, Class SK.................. 433,194 99,997 9.74%, 4/15/34, Ser. 2778, Class BS.................. 88,722 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 62 ONE GROUP INVESTMENT TRUST BOND PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED: Freddie Mac, continued: 300,000 0.00%, 8/15/34, Series 2846, Class PO, PO.............. 221,461 198,082 0.00%, 8/15/34, Series 2841, Class GO, PO.............. 142,967 549,810 6.50%, 2/25/43, Series T-54, Class 2A.................. 576,630 252,939 7.00%, 2/25/43, Series T-54, Class 3A.................. 268,352 129,182 0.00%, 9/25/43, Series T-58, Class A, PO............... 112,623 ----------- 47,538,994 ----------- Government National Mortgage Assoc. (3.8%): 160,121 8.00%, 1/15/16, Pool #781570................... 171,316 300,000 6.50%, 7/20/19, Series 02-36, Class VB........... 306,838 10,795 8.00%, 9/15/22, Pool #297628................... 11,813 250,000 7.49%, 7/16/24, Series 94-3, Class PQ.................. 266,043 500,000 6.50%, 10/16/24, Series 94-7, Class PQ............ 534,348 14,761 8.50%, 5/20/25, Pool #2006..................... 16,110 323,554 7.50%, 9/17/25, Series 98-26, Class K............ 343,760 267,501 7.50%, 8/16/26, Series 96-16, Class E............ 281,901 38,164 8.00%, 11/20/26, Pool #2324..................... 41,359 58,754 8.00%, 1/20/27, Pool #2362..................... 63,613 286,775 7.50%, 5/16/27, Series 97-8, Class PN.................. 303,211 17,115 8.00%, 5/15/28, Pool #460372................... 18,592 3,747 8.00%, 7/15/28, Pool #468066................... 4,070 29,725 7.50%, 9/15/28, Pool #486537................... 31,941 50,198 6.50%, 10/15/28, Pool #486631................... 52,943 366,318 5.50%, 11/20/28, Series 02-88, Class LI, IO....... 27,438 433,166 6.50%, 4/20/29, Series 99-10, Class ZC........... 458,517 312,116 8.00%, 11/16/29, Series 99-41, Class Z............ 336,605 206,917 7.50%, 12/20/29, Series 99-44, Class PC........... 217,804 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED: Government National Mortgage Assoc., continued: 246,045 8.00%, 12/20/29, Series 99-44, Class ZG........... 262,766 221,185 5.74%, 1/19/30, Series 01-4, Class SJ, IF, IO*......... 12,353 153,000 7.00%, 2/16/30, Series 00-14, Class PD........... 163,150 301,178 8.50%, 2/16/30, Series 00-9, Class ZJ.................. 341,123 180,184 7.50%, 2/20/30, Series 00-6, Class Z................... 192,295 382,744 9.00%, 3/16/30, Series 00-21, Class Z............ 440,649 151,767 7.75%, 9/20/30, Series 00-26, Class Z............ 158,095 6,150 9.00%, 10/15/30, Pool #479674................... 6,795 800,000 7.50%, 11/16/30, Series 00-36, Class PB........... 852,263 22,602 9.00%, 11/16/30, Series 00-36, Class IK, IO....... 3,926 74,455 9.00%, 12/15/30, Pool #528534................... 82,273 70,665 7.15%, 12/20/30, Series 00-38, Class AH........... 73,514 266,596 8.00%, 12/20/30, Series 00-37, Class B............ 283,826 518,952 5.64%, 8/16/31, Series 01-36, Class S, IO, IF*... 35,138 1,271,690 4.79%, 9/20/31, Series 03-76, Class LS*.......... 107,753 200,000 6.50%, 12/20/31, Series 01-64, Class MQ........... 211,919 524,487 5.50%, 1/20/32, Series 03-4, Class NI, IO.............. 77,547 94,458 8.31%, 4/16/32, Series 02-24, Class SB, IF*...... 94,614 1,250,000 6.50%, 6/20/32, Series 02-45, Class QE........... 1,321,494 300,000 6.50%, 8/20/32, Series 02-54, Class GB........... 315,319 55,743 0.00%, 3/16/33, Series 03-24, Class PO, PO....... 48,407 85,727 7.00%, 6/15/33, Pool #781614................... 91,983 57,320 0.00%, 8/20/33, Series 03-66, Class EO, PO....... 38,861 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 63 ONE GROUP INVESTMENT TRUST BOND PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED: Government National Mortgage Assoc., continued: 1,631,935 3.09%, 2/20/34, Series 04-11, Class SW, IO*...... 69,542 146,804 13.04%, 4/16/34, Series 04-28, Class S, IF*....... 158,089 ----------- 8,931,916 ----------- Total U.S. Government Agency Mortgages 95,144,808 ----------- U.S. GOVERNMENT AGENCY SECURITIES (0.1%): Fannie Mae (0.1%): 255,000 6.25%, 2/1/11............... 279,560 ----------- Total U.S. Government Agency Securities 279,560 ----------- U.S. TREASURY OBLIGATIONS (18.2%): U.S. Treasury Bonds (9.7%): 400,000 6.50%, 10/15/06............. 423,969 3,845,000 12.75%, 11/15/10 (d)........ 4,168,972 5,290,000 10.38%, 11/15/12 (d)........ 6,307,087 3,450,000 12.00%, 8/15/13 (d)......... 4,446,457 300,000 13.25%, 5/15/14............. 416,859 1,350,000 11.75%, 11/15/14 (d)........ 1,832,678 550,000 9.88%, 11/15/15............. 812,539 2,400,000 8.75%, 5/15/17 (d).......... 3,362,906 550,000 7.88%, 2/15/21 (d).......... 743,102 150,000 7.63%, 2/15/25 (d).......... 203,150 ----------- 22,717,719 ----------- U.S. Treasury Inflation Protected Bonds (0.8%): 963,960 3.38%, 1/15/07 (d).......... 1,020,932 116,406 3.88%, 1/15/09.............. 130,470 649,182 3.63%, 4/15/28.............. 852,152 ----------- 2,003,554 ----------- U.S. Treasury Notes (0.2%): 405,000 5.75%, 8/15/10 (d).......... 445,896 ----------- U.S. Treasury STRIPS (7.5%): 1,000,000 11/15/09.................... 833,996 650,000 11/15/12 (d)................ 468,354 900,000 11/15/14 (d)................ 581,288 1,800,000 11/15/15.................... 1,099,267 1,900,000 11/15/15 (d)................ 1,166,518 800,000 2/15/11..................... 629,772 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- U.S. TREASURY OBLIGATIONS, CONTINUED: U.S. Treasury STRIPS, continued: 3,000,000 2/15/13 (d)................. 2,132,441 1,000,000 2/15/14 (d)................. 673,680 4,470,000 2/15/16 (d)................. 2,690,269 2,500,000 2/15/17 (d)................. 1,415,493 750,000 2/15/19 (d)................. 377,119 100,000 2/15/22..................... 42,231 500,000 2/15/23 (d)................. 199,021 1,350,000 5/15/11 (d)................. 1,050,430 650,000 5/15/12..................... 480,287 1,600,000 5/15/14 (d)................. 1,063,347 1,070,000 5/15/15 (d)................. 673,210 100,000 5/15/16 (d)................. 59,304 800,000 5/15/18..................... 421,053 1,800,000 8/15/14..................... 1,178,847 360,000 8/15/15 (d)................. 223,287 200,000 8/15/16 (d)................. 116,986 ----------- 17,576,200 ----------- Total U.S. Treasury Obligations 42,743,369 ----------- MUNICIPAL BONDS (0.1%): Illinois (0.1%): 300,000 State Pension, GO, 5.10%, 6/1/33.................... 289,647 ----------- Total Municipal Bonds 289,647 ----------- INVESTMENT COMPANIES (12.8%): 30,155,105 One Group Prime Money Market Fund, Class I (c)......... 30,155,105 ----------- Total Investment Companies 30,155,105 ----------- SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES LENDING (13.7%): 32,303,022 Pool of various securities for One Group Bond Funds -- footnote 2 (Securities Lending)...... 32,303,022 ----------- Total Short-Term Securities Held as Collateral for Securities Lending 32,303,022 ----------- Total (Cost $256,827,650) (a) 262,370,719 =========== </Table> - ------------ Percentages indicated are based on net assets of $234,960,666. (a) Represents cost for financial reporting purposes and differs from market value by unrealized appreciation (depreciation) of securities as follows: <Table> Unrealized appreciation...................... $ 7,172,771 Unrealized depreciation...................... (1,629,702) ----------- Net unrealized appreciation (depreciation)... $ 5,543,069 =========== </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. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 64 ONE GROUP INVESTMENT TRUST BOND PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED (b) Security exempt from registration under Rule 144A for the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. (c) Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by Banc One Investment Advisors Corporation. (d) Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction. (e) Defaulted Security. <Table> GO -- General Obligation </Table> The Fund invests in securities whose value is derived from an underlying pool of mortgage or consumer loans. Descriptions of certain collateralized mortgage obligations are as follows: Inverse Floaters (IF) represent securities that pay interest at a rate that increase (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 mortgage with similar risks as those associated with IO securities. Unlike the 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 Real Estate Mortgage Investment Conduit (REMC) 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 instrument rates. As prepayments on the underlying mortgage of these securities increase, the yield on the 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 that rate in effect as of December 31, 2004. See notes to financial statements. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 65 ONE GROUP INVESTMENT TRUST GOVERNMENT BOND PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- U.S. GOVERNMENT AGENCY MORTGAGES (56.0%): Fannie Mae (25.5%): 151,133 8.30%, 10/25/08, Series 93-197, Class SC*......... 157,783 305,520 10.03%, 12/25/08, Series 93-221, Class SG, IF*..... 322,760 727,250 6.25%, 1/25/09, Series 94-12, Class C............ 742,724 60,837 18.64%, 2/25/09, Series 94-13, Class SM, IF*...... 69,842 15,242 6.50%, 11/1/11, Pool #356206................... 16,184 271,694 8.00%, 11/1/12, Pool #535710................... 288,962 500,000 6.00%, 1/17/13, Series 98-37, Class VB........... 507,057 196,609 7.50%, 2/1/13, Pool #42433.................... 210,344 253,570 6.00%, 4/1/13, Pool #425482................... 266,275 148,026 6.50%, 5/1/13, Pool #42433.................... 157,109 840,129 5.00%, 11/1/13, Pool #255013................... 867,175 143,340 6.00%, 8/1/14, Pool #598032................... 150,561 21,639 6.50%, 9/1/14, Pool #E78451................... 22,935 268,862 6.00%, 10/25/14, Series 02-12, Class PD........... 269,105 1,321,733 5.50%, 11/1/16, Pool #618192................... 1,368,189 2,000,000 5.00%, 11/25/16, Series 03-35, Class MD........... 2,037,476 640,000 6.00%, 2/25/17, Series 02-2, Class UC.................. 665,305 2,000,000 5.50%, 4/25/17, Series 02-18, Class PC........... 2,095,186 62,017 9.50%, 6/25/18, Series 88-16, Class B............ 67,472 750,000 7.00%, 3/25/21, Series 01-4, Class PC.................. 798,484 2,395,134 6.00%, 3/1/22, Pool #254231................... 2,493,580 150,424 8.00%, 7/25/22, Series G92-44, Class ZQ.......... 164,107 63,367 6.00%, 12/25/22, Series G92-66, Class KA.......... 65,285 249,295 0.00%, 5/25/23, Series 93-146, Class E, PO....... 220,116 1,850,000 5.00%, 5/25/23, Series 04-2, Class OE.................. 1,837,148 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED: Fannie Mae, continued: 500,000 6.50%, 8/25/23, Series 94-28, Class K............ 516,960 37,239 0.00%, 9/25/23, Series 93-205, Class H, PO....... 32,724 245,000 7.00%, 9/25/23, Series 93-155, Class PJ.......... 265,451 1,694,281 5.00%, 11/1/23, Pool #762498................... 1,702,718 1,632,197 6.50%, 12/25/23, Series 93-223, Class PZ.......... 1,774,765 1,300,351 7.00%, 12/25/23, Series 93-250, Class Z........... 1,360,860 2,901,667 4.50%, 1/25/24, Series 03-128, Class DY.......... 2,746,887 78,947 5.00%, 2/25/24, Series 94-76, Class H............ 79,857 1,400,000 6.50%, 3/25/24, Series 94-37, Class L............ 1,472,787 6,388,638 6.00%, 4/25/24, Series 94-72, Class K............ 6,725,834 31,078 6.50%, 9/1/25, Pool #250375................... 32,713 92,046 6.50%, 5/1/26, Pool #338417................... 96,829 66,477 0.00%, 11/25/26, Series 97-47, Class PA, PO....... 66,141 303,164 6.50%, 8/18/28, Series 98-46, Class GZ........... 317,721 833,550 6.00%, 9/1/28, Pool #405220................... 865,630 1,250,000 6.25%, 2/25/29, Series 94-W4, Class A9........... 1,294,681 2,000,000 6.00%, 6/25/29, Series 02-W7, Class A4........... 2,075,928 92,816 7.50%, 3/1/30, Pool #524949................... 99,452 25,042 7.50%, 8/1/30, Pool #5478301.................. 26,833 2,828,634 6.00%, 7/25/31, Series 01-33, Class ID, IO....... 437,546 3,600,000 5.00%, 12/25/32, Series 03-81, Class MC........... 3,590,852 3,980,323 5.50%, 5/1/33, Pool #702435................... 4,044,330 2,771,495 5.00%, 11/1/33, Pool #747628................... 2,755,237 2,271,310 5.50%, 12/1/33, Pool #753662................... 2,307,836 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 66 ONE GROUP INVESTMENT TRUST GOVERNMENT BOND PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED: Fannie Mae, continued: 2,231,849 5.50%, 1/1/34, Pool #755615................... 2,267,740 1,552,939 6.50%, 12/25/42, Series 03-W1, Class 1A1.......... 1,617,027 ----------- 54,436,503 ----------- Freddie Mac (21.5%): 1,161,120 4.00%, 8/15/07, Series 2485, Class CB.................. 1,164,723 199,494 0.00%, 8/15/08, Series 1561, Class TA, PO.............. 192,778 128,600 12.43%, 11/15/08, Series 1604, Class MB, IF*....... 139,716 94,311 12.75%, 12/15/08, Series 1625, Class SC, IF*....... 107,315 8,919 8.50%, 12/1/09, Pool #E20150................... 9,546 84,269 9.00%, 12/1/09, Pool #256360................... 87,252 306,045 7.50%, 9/1/10, Gold Pool #E62448................... 323,433 96,831 7.00%, 2/1/11, Pool #E63959................... 102,664 694,858 6.00%, 6/15/11, Series 2366, Class VG.................. 717,233 741,415 6.00%, 8/15/13, Series 2170, Class PE.................. 748,755 264,135 5.00%, 12/1/13, Gold Pool #E73637................... 269,097 261,486 5.50%, 3/1/14, Gold Pool #E75738................... 270,831 429,584 5.00%, 4/1/14, Gold Pool #E00667................... 437,653 80,682 6.00%, 4/1/14, Gold Pool #E76438................... 84,634 217,700 6.50%, 5/15/14, Series 2288, Class VB.................. 218,185 139,420 6.50%, 6/1/14, Gold Pool #E00678................... 147,770 1,250,000 6.50%, 8/15/16, Series 2345, Class PQ.................. 1,311,464 1,642 6.00%, 2/15/17, Series 2108, Class VB.................. 1,640 883,000 5.00%, 11/15/17, Pool #2527..................... 898,022 3,230,000 5.00%, 2/15/18, Series 2578, Class P6.................. 3,252,622 1,250,000 5.00%, 6/15/21, Series 2749, Class TD.................. 1,255,882 402,947 8.00%, 8/15/22, Series 1343, Class LA.................. 424,118 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED: Freddie Mac, continued: 549,257 6.50%, 9/15/23, Series 1577, Class PV.................. 574,189 1,829,000 6.50%, 9/15/23, Series 1584, Class L................... 1,915,752 787,535 6.50%, 12/15/23, Series 1633, Class Z............. 838,575 201,000 6.50%, 3/15/24, Series 1694, Class PK.................. 216,477 162,788 6.50%, 11/1/25, Pool #D65545................... 171,423 226,766 6.00%, 4/1/26, Pool #D70244................... 235,399 345,000 6.50%, 10/17/26, Series 1985, Class PL............ 353,125 477,715 3.90%, 1/1/27, Pool #611141*.................. 492,340 359,746 6.00%, 2/15/27, Series 2091, Class PF.................. 361,612 288,290 6.25%, 4/15/27, Series 2018, Class PE.................. 288,658 837,355 7.00%, 10/15/27, Series 1999, Class PU............ 880,669 392,153 6.00%, 11/15/27, Series 2132, Class PD............ 399,615 110,910 6.50%, 1/15/28, Series 2137, Class TM.................. 111,474 650,000 4.50%, 2/15/28, Series 2631, Class TE.................. 639,969 30,915 6.00%, 2/15/28, Series 2126, Class TD.................. 31,397 1,600,955 7.00%, 2/15/28, Series 2031, Class PG.................. 1,692,852 1,299,979 6.95%, 3/15/28, Series 2035, Class PC.................. 1,359,051 35,024 8.50%, 7/1/28, Gold Pool #G00981................... 38,490 921,483 6.50%, 10/25/28, Series 98-64, Class TM........... 964,844 750,000 6.00%, 11/15/28, Series 2095, Class PE............ 786,303 604,661 6.50%, 2/1/29, Gold Pool #C22459................... 635,690 2,500,000 5.00%, 3/15/29, Series 2684, Class PD.................. 2,553,064 338,070 6.50%, 6/1/29, Gold Pool #C00785................... 355,260 495,483 7.00%, 8/15/29, Series 2178, Class PB.................. 519,650 2,000,000 3.00%, 3/15/30, Series 2626, Class KA.................. 1,922,041 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 67 ONE GROUP INVESTMENT TRUST GOVERNMENT BOND PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED: Freddie Mac, continued: 164,363 3.74%, 4/1/30, Pool #846812*.................. 171,345 293,305 7.35%, 10/15/30, Series 2259, Class ZC............ 313,826 1,000,000 6.50%, 10/15/31, Series 2367, Class ME............ 1,056,373 150,408 0.00%, 12/15/31, Series 2390, Class DO, PO........ 131,054 245,272 6.00%, 2/1/32, Gold Pool #C01292................... 253,719 1,879,450 6.50%, 4/1/32, Pool #C66034................... 1,973,502 1,287,183 3.25%, 4/15/32, Series 2647, Class A................... 1,239,159 2,438,000 5.00%, 10/15/32, Series 2656, Class BG............ 2,434,570 5,000,000 6.00%, 12/15/32, Series 2543, Class YX............ 5,193,950 1,649,430 6.50%, 2/25/43, Series T-54, Class 2A.................. 1,729,889 900,140 0.00%, 5/25/43, Series T-56, Class APO, PO............. 769,766 ----------- 45,770,405 ----------- Government National Mortgage Assoc. (9.0%): 1,954,777 5.50%, 7/20/15, Series 04-62, Class VA........... 2,020,673 41,569 7.50%, 5/15/23, Pool #326977................... 44,949 13,846 7.50%, 6/15/23, Pool #359588................... 14,971 31,334 9.00%, 11/15/24, Pool #780029................... 35,175 6,063 7.50%, 9/15/25, Pool #336427................... 6,534 300,000 6.50%, 9/16/25, Series 96-6, Class PK.................. 314,361 11,601 7.00%, 12/15/25, Pool #405535................... 12,381 331,754 8.00%, 11/20/26, Pool #2324..................... 359,524 20,329 7.50%, 12/20/26, Pool #2341..................... 21,806 58,987 6.50%, 6/20/27, Series 97-19, Class PJ........... 59,367 26,454 3.75%, 7/20/27, Pool #80094*................... 26,833 88,565 8.00%, 10/15/27, Pool #451507................... 96,276 27,993 8.00%, 10/15/27, Pool #412336................... 30,431 </Table> <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- U.S. GOVERNMENT AGENCY MORTGAGES, CONTINUED: Government National Mortgage Assoc., continued: 44,797 7.00%, 11/15/27, Pool #412369................... 47,707 38,107 6.50%, 3/15/28, Pool #467705................... 40,191 22,796 7.00%, 4/15/28, Pool #472543................... 24,267 2,759,774 6.00%, 4/16/28, Series 03-75, Class BE........... 2,865,450 56,719 7.00%, 6/15/28, Pool #472679................... 60,380 30,218 6.50%, 9/15/28, Pool #467225................... 31,870 51,410 7.50%, 9/16/28, Series 99-33B, Class PQ.......... 51,349 764,830 6.50%, 9/20/28, Series 98-22, Class PD........... 797,593 244,966 6.00%, 5/20/29, Series 99-17, Class L............ 253,455 2,253,683 6.50%, 6/16/30, Series 01-6, Class PM.................. 2,307,138 84,567 7.75%, 7/15/30, Pool #518078................... 91,305 2,500,000 6.50%, 3/16/31, Series 01-10, Class PE........... 2,664,984 1,000,000 6.50%, 12/20/31, Series 01-64, Class PB........... 1,052,985 721,945 6.50%, 4/1/32, Pool #545639................... 761,619 1,265,319 4.50%, 7/20/34, Pool #81008.................... 1,256,027 3,863,489 4.50%, 9/20/34, Pool #81074*................... 3,911,263 ----------- 19,260,864 ----------- Total U.S. Government Agency Mortgages 119,467,772 ----------- U.S. GOVERNMENT AGENCY SECURITIES (14.1%): Fannie Mae (2.5%): 820,854 8.00%, 1/1/16............... 873,151 3,000,000 0.00%, 10/9/19.............. 1,334,655 6,000,000 0.00%, 9/23/20.............. 2,536,152 630,000 0.00%, 3/23/28.............. 172,729 1,860,538 6.50%, 8/25/29.............. 351,437 ----------- 5,268,124 ----------- Federal Farm Credit Bank (0.8%): 1,500,000 6.75%, 7/7/09............... 1,684,542 ----------- Federal Home Loan Bank (4.3%): 3,000,000 5.25%, 8/15/06.............. 3,097,362 1,000,000 5.90%, 3/26/09.............. 1,084,320 4,500,000 5.75%, 8/15/11.............. 4,891,018 ----------- 9,072,700 ----------- </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 68 ONE GROUP INVESTMENT TRUST GOVERNMENT BOND PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED <Table> <Caption> SHARES OR PRINCIPAL AMOUNT($) SECURITY DESCRIPTION VALUE($) - ---------- ---------------------------- ----------- U.S. GOVERNMENT AGENCY SECURITIES, CONTINUED: Financial Corporation STRIPS (2.3%): 2,000,000 11/2/18..................... 989,266 8,000,000 12/6/18..................... 3,934,224 ----------- 4,923,490 ----------- Resolution Funding Corporation STRIPS (1.9%): 2,000,000 1/15/20..................... 928,576 975,000 10/15/08.................... 853,526 1,000,000 10/15/17.................... 533,127 4,000,000 7/15/20..................... 1,809,164 ----------- 4,124,393 ----------- Tennessee Valley Authority (1.0%): 2,000,000 6.00%, 3/15/13.............. 2,214,098 ----------- Tennessee Valley Authority STRIPS (1.3%): 5,000,000 7/15/16..................... 2,785,775 ----------- Total U.S. Government Agency Securities 30,073,122 ----------- U.S. TREASURY OBLIGATIONS (25.1%): U.S. Treasury Bonds (5.8%): 200,000 6.00%, 8/15/09.............. 220,578 2,800,000 10.38%, 11/15/12 (c)........ 3,338,345 2,700,000 7.25%, 5/15/16 (c).......... 3,379,640 2,000,000 9.13%, 5/15/18 (c).......... 2,908,906 1,250,000 8.13%, 8/15/19 (c).......... 1,706,153 650,000 6.13%, 11/15/27 (c)......... 759,155 ----------- 12,312,777 ----------- U.S. Treasury Inflation Protected Bonds (3.3%): 5,908,400 3.63%, 1/15/08 (c).......... 6,435,772 548,440 3.50%, 1/15/11 (c).......... 622,865 ----------- 7,058,637 ----------- U.S. Treasury Notes (8.0%): 1,000,000 6.88%, 5/15/06 (c).......... 1,052,930 3,500,000 3.50%, 11/15/06 (c)......... 3,529,533 </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.............. 7,512,421 2,500,000 5.00%, 8/15/11 (c).......... 2,661,425 2,250,000 4.25%, 8/15/13 (c).......... 2,267,755 ----------- 17,024,064 ----------- U.S. Treasury STRIPS (8.0%): 4,000,000 11/15/09.................... 3,335,984 2,000,000 11/15/14 (c)................ 1,291,750 3,400,000 11/15/15 (c)................ 2,076,394 2,250,000 5/15/15 (c)................. 1,415,628 15,000,000 5/15/20 (c)................. 7,033,349 2,500,000 8/15/14..................... 1,637,288 750,000 8/15/15 (c)................. 465,182 ----------- 17,255,575 ----------- Total U.S. Treasury Obligations 53,651,053 ----------- INVESTMENT COMPANIES (2.7%): 5,697,260 One Group Government Money Market Fund, Class I (b)....................... 5,697,260 ----------- Total Investment Companies 5,697,260 ----------- SHORT-TERM SECURITIES HELD AS COLLATERAL FOR SECURITIES LENDING (19.1%): 40,738,255 Pool of various securities for One Group Bond Funds -- footnote 2 (Securities Lending)...... 40,738,255 ----------- Total Short-Term Securities Held as Collateral for Securities Lending 40,738,255 ----------- Total (Cost $240,989,547) (a) 249,627,462 =========== </Table> - ------------ Percentages indicated are based on net assets of $213,326,130. (a) Represents cost for financial reporting purposes and differs from market value by unrealized appreciation (depreciation) of securities as follows: <Table> Unrealized appreciation...................... $9,549,146 Unrealized depreciation...................... (911,231) ---------- Net unrealized appreciation (depreciation)... $8,637,915 ========== </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. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by Banc One Investment Advisors Corporation. (c) Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction. The Fund invests in securities whose value is derived from an underlying pool of mortgage or consumer loans. Descriptions of certain collateralized mortgage obligations are as follows: Inverse Floaters (IF) represent securities that pay interest at a rate that increase (decreases) with a decline (increase) in a specified index. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 69 ONE GROUP INVESTMENT TRUST GOVERNMENT BOND PORTFOLIO - -------------------------------------------------------------------------------- SCHEDULE OF PORTFOLIO INVESTMENTS, CONTINUED 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 instrument rates. As prepayments on the underlying mortgage of these securities increase, the yield on the 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 that rate in effect as of December 31, 2004. See notes to financial statements. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 70 INVESTMENT TRUST ANNUAL REPORT - -------------------------------------------------------------------------------- STATEMENTS OF ASSETS AND LIABILITIES <Table> <Caption> MID CAP MID CAP DIVERSIFIED LARGE CAP DIVERSIFIED GROWTH VALUE MID CAP GROWTH EQUITY PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ------------ ------------ ----------- ------------ ------------ ASSETS: Investments in non-affiliates, at value.......................... $221,692,886 $147,134,680 $66,749,974 $235,323,521 $184,990,313 Investments in affiliates, at value.......................... 5,655,400 7,147,024 184,921 3,914,990 5,764,543 ------------ ------------ ----------- ------------ ------------ Total investment securities, at value.......................... 227,348,286 154,281,704 66,934,895 239,238,511 190,754,856 Cash............................. 7,279 30,006 6,539 109,671 25,577 Cash held at security lending agent.......................... -- -- -- 852,900 -- Interest and dividends receivable..................... 42,349 152,478 47,023 140,222 201,732 Receivable for capital shares issued......................... 775,558 1,293,764 214,121 915,578 1,736,981 Receivable from brokers for investments sold............... 789,352 190,158 565,073 1,654,741 506,876 Prepaid expenses................. 791 221 133 737 354 ------------ ------------ ----------- ------------ ------------ Total Assets..................... 228,963,615 155,948,331 67,767,784 242,912,360 193,226,376 ------------ ------------ ----------- ------------ ------------ LIABILITIES: Payable to brokers for investments purchased.......... -- -- -- 1,400,811 2,793,526 Payable for capital shares redeemed....................... 77,791 201,585 35,222 117,892 56,677 Payable for return of collateral received for securities and cash on loan................... 31,874,025 17,449,611 7,280,428 24,418,010 12,100,395 Accrued expenses and other payables: Investment advisory fees....... 106,383 83,886 37,395 116,383 109,441 Administration fees............ 24,485 16,883 6,867 27,029 20,137 Other.......................... 38,479 25,005 11,112 24,374 23,327 ------------ ------------ ----------- ------------ ------------ Total Liabilities:............... 32,121,163 17,776,970 7,371,024 26,104,499 15,103,503 ------------ ------------ ----------- ------------ ------------ NET ASSETS: Capital.......................... 187,448,133 100,715,914 48,267,832 330,654,964 179,927,838 Undistributed (distributions in excess of) net investment income......................... (6,783) 953,458 78,147 1,135,503 1,652,197 Accumulated undistributed net realized gains (losses) from investments.................... (29,034,699) 10,790,118 1,904,259 (129,193,479) (12,288,334) Net unrealized appreciation (depreciation) from investments.................... 38,435,801 25,711,871 10,146,522 14,210,873 8,831,172 ------------ ------------ ----------- ------------ ------------ NET ASSETS:...................... $196,842,452 $138,171,361 $60,396,760 $216,807,861 $178,122,873 ============ ============ =========== ============ ============ OUTSTANDING UNITS OF BENEFICIAL INTEREST (SHARES):............. 11,137,014 8,732,711 3,412,221 16,232,277 11,813,827 ============ ============ =========== ============ ============ Net Asset Value.................. $ 17.67 $ 15.82 $ 17.70 $ 13.36 $ 15.08 ============ ============ =========== ============ ============ Cost of Investments.............. $188,912,485 $128,569,833 $56,788,373 $225,027,638 $181,923,684 ------------ ------------ ----------- ------------ ------------ </Table> See notes to financial statements. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 71 INVESTMENT TRUST ANNUAL REPORT - -------------------------------------------------------------------------------- STATEMENTS OF ASSETS AND LIABILITIES <Table> <Caption> EQUITY GOVERNMENT INDEX BALANCED BOND BOND PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ------------ ------------ ------------ ------------ ASSETS: Investments in non-affiliates, at value.................................. $143,572,059 $181,484,005 $232,215,614 $243,930,202 Investments in affiliates, at value...... 1,923,944 3,852,230 30,155,105 5,697,260 ------------ ------------ ------------ ------------ Total investment securities, at value.... 145,496,003 185,336,235 262,370,719 249,627,462 Cash..................................... 10,279 66,923 -- -- Segregated Cash.......................... 12,698 -- -- -- Interest and dividends receivable........ 181,907 791,141 1,558,615 1,356,437 Receivable for capital shares issued..... 1,322,525 440,627 3,613,442 3,229,298 Receivable from brokers for investments sold................................... 270,155 122,363 1,358 16,442 Prepaid expenses......................... 279 509 401 457 ------------ ------------ ------------ ------------ Total Assets............................. 147,293,846 186,757,798 267,544,535 254,230,096 ------------ ------------ ------------ ------------ LIABILITIES: Payable to Custodian..................... -- -- 49,753 10,482 Payable to brokers for investments purchased.............................. -- 16,790 -- -- Payable for capital shares redeemed...... 63,426 39,471 55,216 26,622 Payable for return of collateral received for securities on loan................. 9,962,225 20,535,092 32,303,022 40,738,255 Net payable for variation margin on futures contracts...................... 500 -- -- -- Accrued expenses and other payables: Investment advisory fees............... 34,160 98,670 113,427 80,096 Administration fees.................... 15,941 20,955 28,308 26,463 Other.................................. 20,376 19,381 34,143 22,048 ------------ ------------ ------------ ------------ Total Liabilities:....................... 10,096,628 20,730,359 32,583,869 40,903,966 ------------ ------------ ------------ ------------ NET ASSETS: Capital.................................. 142,561,915 162,846,377 220,100,522 195,051,821 Undistributed (distributions in excess of) net investment income.............. 1,955,492 4,084,042 9,942,964 9,949,284 Accumulated undistributed net realized gains (losses) from investments........ (5,613,021) (7,172,628) (625,889) (312,890) Net unrealized appreciation (depreciation) from investments and futures................................ (1,707,168) 6,269,648 5,543,069 8,637,915 ------------ ------------ ------------ ------------ NET ASSETS:.............................. $137,197,218 $166,027,439 $234,960,666 $213,326,130 ============ ============ ============ ============ OUTSTANDING UNITS OF BENEFICIAL INTEREST (SHARES):.............................. 12,929,966 11,083,429 20,527,733 18,342,141 ============ ============ ============ ============ Net Asset Value.......................... $ 10.61 $ 14.98 $ 11.45 $ 11.63 ============ ============ ============ ============ Cost of Investments...................... $147,219,400 $179,066,587 $256,827,650 $240,989,547 ------------ ------------ ------------ ------------ </Table> See notes to financial statements. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 72 INVESTMENT TRUST ANNUAL REPORT - -------------------------------------------------------------------------------- STATEMENTS OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 2004 <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.................. $ 929 $ 4,607 $ 2,024 $ 274 $ 1,366 Dividend income.................. 889,418 1,976,157 596,704 2,712,797 3,096,894 Dividend income from affiliates..................... 33,150 42,296 12,334 48,683 37,344 Foreign tax withholding.......... (587) (326) (75) -- (211) Income from securities lending... 39,847 11,995 6,592 11,582 11,763 ----------- ----------- ----------- ----------- ----------- Total Income..................... 962,757 2,034,729 617,579 2,773,336 3,147,156 ----------- ----------- ----------- ----------- ----------- EXPENSES: Investment advisory fees......... 1,242,978 870,980 429,612 1,294,488 1,215,322 Administration fees.............. 282,317 173,783 85,041 294,028 240,543 Audit & Legal fees............... 10,947 8,264 5,456 11,216 10,184 Custodian fees................... 20,541 9,266 8,458 10,835 8,892 Insurance fees................... 15,211 8,921 4,607 15,020 12,075 Printing and mailing............. 8,715 5,331 2,586 8,412 7,239 Transfer agent fees.............. 48,554 11,696 7,028 7,321 7,251 Trustees' fees and expenses...... 3,995 2,693 1,592 3,843 3,184 Other fees....................... 5,897 8,116 803 6,028 5,579 ----------- ----------- ----------- ----------- ----------- Total expenses before waivers.... 1,639,155 1,099,050 545,183 1,651,191 1,510,269 Less waivers from Investment Advisor and affiliates......... (14,672) (19,600) (7,029) (24,976) (18,437) ----------- ----------- ----------- ----------- ----------- Net Expenses..................... 1,624,483 1,079,450 538,154 1,626,215 1,491,832 ----------- ----------- ----------- ----------- ----------- Net Investment Income (Loss)..... (661,726) 955,279 79,425 1,147,121 1,655,324 ----------- ----------- ----------- ----------- ----------- REALIZED/UNREALIZED GAINS (LOSSES) FROM INVESTMENTS: Net realized gains (losses) from investment transactions........ 20,330,933 13,972,196 9,748,113 1,418,894 6,640,650 Net change in unrealized appreciation (depreciation) from investment transactions... 3,093,831 2,698,001 (1,960,744) 11,652,111 3,233,137 ----------- ----------- ----------- ----------- ----------- Net realized/unrealized gains (losses) on investments........ 23,424,764 16,670,197 7,787,369 13,071,005 9,873,787 ----------- ----------- ----------- ----------- ----------- Change in net assets resulting from operations................ $22,763,038 $17,625,476 $ 7,866,794 $14,218,126 $11,529,111 =========== =========== =========== =========== =========== </Table> See notes to financial statements. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 73 INVESTMENT TRUST ANNUAL REPORT - -------------------------------------------------------------------------------- STATEMENTS OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 2004 <Table> <Caption> EQUITY GOVERNMENT INDEX BALANCED BOND BOND PORTFOLIO PORTFOLIO PORTFOLIO PORTFOLIO ------------ ---------- ----------- ----------- INVESTMENT INCOME: Interest income................................. $ 2,409 $3,448,323 $11,065,553 $11,082,712 Dividend income................................. 2,537,427 2,005,318 -- -- Dividend income from affiliates................. 44,133 16,997 91,196 67,667 Income from securities lending.................. 11,004 37,280 21,078 16,462 ----------- ---------- ----------- ----------- Total Income.................................... 2,594,973 5,507,918 11,177,827 11,166,841 ----------- ---------- ----------- ----------- EXPENSES: Investment advisory fees........................ 382,832 1,216,653 1,208,824 953,005 Administration fees............................. 178,653 256,653 297,380 312,583 Audit & Legal fees.............................. 8,583 10,264 12,021 12,055 Custodian fees.................................. 43,630 22,753 32,699 17,283 Insurance fees.................................. 9,694 13,206 14,196 15,616 Printing and mailing............................ 5,793 7,379 8,383 8,407 Transfer agent fees............................. 7,146 7,080 7,461 7,384 Trustees' fees and expenses..................... 2,687 3,653 4,305 4,351 Other fees...................................... 637 12 10,617 467 ----------- ---------- ----------- ----------- Total expenses before waivers................... 639,655 1,537,653 1,595,886 1,331,151 Less waivers from Investment Advisor and affiliates.................................... (2,522) (7,246) (79,293) (7,870) ----------- ---------- ----------- ----------- Net Expenses.................................... 637,133 1,530,407 1,516,593 1,323,281 ----------- ---------- ----------- ----------- Net Investment Income (Loss).................... 1,957,840 3,977,511 9,661,234 9,843,560 ----------- ---------- ----------- ----------- REALIZED/UNREALIZED GAINS (LOSSES) FROM INVESTMENTS AND FUTURES: Net realized gains (losses) from investment and futures transactions.......................... 602,755 5,166,510 61,019 (17,402) Net change in unrealized appreciation (depreciation) from investments and futures transactions.................................. 10,252,153 163,542 (1,659,619) (247,632) ----------- ---------- ----------- ----------- Net realized/unrealized gains (losses) on investments and futures....................... 10,854,908 5,330,052 (1,598,600) (265,034) ----------- ---------- ----------- ----------- Change in net assets resulting from operations.................................... $12,812,748 $9,307,563 $ 8,062,634 $ 9,578,526 =========== ========== =========== =========== </Table> See notes to financial statements. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 74 INVESTMENT TRUST ANNUAL REPORT - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS <Table> <Caption> MID CAP GROWTH MID CAP VALUE DIVERSIFIED MID CAP PORTFOLIO PORTFOLIO PORTFOLIO --------------------------- --------------------------- --------------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2004 2003 2004 2003 2004 2003 ------------ ------------ ------------ ------------ ------------ ------------ FROM INVESTMENT ACTIVITIES: OPERATIONS: Net investment income (loss)................ $ (661,726) $ (454,981) $ 955,279 $ 595,139 $ 79,425 $ 117,963 Net realized gains (losses) from investments........... 20,330,933 (2,550,898) 13,972,196 (487,545) 9,748,113 (3,418,111) Net change in unrealized appreciation (depreciation) from investments........... 3,093,831 44,651,555 2,698,001 27,656,306 (1,960,744) 17,035,052 ------------ ------------ ------------ ------------ ------------ ----------- Change in net assets resulting from operations.............. 22,763,038 41,645,676 17,625,476 27,763,900 7,866,794 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................ 9,315,229 21,941,831 31,689,833 14,815,787 4,065,311 6,457,046 Dividends reinvested.... -- -- 595,535 500,946 118,268 95,462 Cost of shares redeemed.............. (30,841,984) (12,089,800) (23,515,982) (7,120,896) (10,742,474) (4,287,437) ------------ ------------ ------------ ------------ ------------ ----------- Change in net assets from capital transactions.... (21,526,755) 9,852,031 8,769,386 8,195,837 (6,558,895) 2,265,071 ------------ ------------ ------------ ------------ ------------ ----------- Change in net assets...... 1,236,283 51,497,707 25,799,327 35,458,791 1,189,631 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........... $196,842,452 $195,606,169 $138,171,361 $112,372,034 $ 60,396,760 $59,207,129 ============ ============ ============ ============ ============ =========== SHARE TRANSACTIONS: Issued.................. 567,316 1,686,702 2,181,587 1,346,394 255,958 500,569 Reinvested.............. -- -- 41,675 51,221 7,452 8,323 Redeemed................ (1,897,752) (894,453) (1,643,909) (606,229) (671,657) (325,191) ------------ ------------ ------------ ------------ ------------ ----------- Change in Shares.......... (1,330,436) 792,249 579,353 791,386 (408,247) 183,701 ============ ============ ============ ============ ============ =========== </Table> See notes to financial statements. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 75 INVESTMENT TRUST ANNUAL REPORT - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS <Table> <Caption> LARGE CAP GROWTH DIVERSIFIED EQUITY EQUITY INDEX PORTFOLIO PORTFOLIO PORTFOLIO --------------------------- --------------------------- --------------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2004 2003 2004 2003 2004 2003 ------------ ------------ ------------ ------------ ------------ ------------ FROM INVESTMENT ACTIVITIES: OPERATIONS: Net investment income (loss)................ $ 1,147,121 $ 478,109 $ 1,655,324 $ 1,155,210 $ 1,957,840 $ 1,375,362 Net realized gains (losses) from investments and futures............... 1,418,894 (10,968,279) 6,640,650 (5,581,640) 602,755 393,197 Net change in unrealized appreciation (depreciation) from investments and futures............... 11,652,111 55,420,162 3,233,137 37,155,935 10,252,153 25,029,236 ------------ ------------ ------------ ------------ ------------ ------------ Change in net assets resulting from operations.............. 14,218,126 44,929,992 11,529,111 32,729,505 12,812,748 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................ 32,943,844 7,494,988 26,835,851 21,433,508 19,022,757 18,475,832 Dividends reinvested.... 478,551 185,613 1,155,483 830,122 1,375,652 1,089,834 Cost of shares redeemed............ (36,015,704) (16,456,203) (21,529,258) (9,204,553) (21,371,571) (7,552,455) ------------ ------------ ------------ ------------ ------------ ------------ Change in net assets from capital transactions.... (2,593,309) (8,775,602) 6,462,076 13,059,077 (973,162) 12,013,211 ------------ ------------ ------------ ------------ ------------ ------------ Change in net assets...... 11,146,266 35,968,777 16,835,704 44,958,460 10,463,934 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........... $216,807,861 $205,661,595 $178,122,873 $161,287,169 $137,197,218 $126,733,284 ============ ============ ============ ============ ============ ============ SHARE TRANSACTIONS: Issued.................. 2,622,239 688,270 1,883,528 1,781,724 1,912,975 2,201,610 Reinvested.............. 38,101 19,076 82,299 77,149 140,804 148,277 Redeemed................ (2,869,594) (1,541,153) (1,519,191) (743,394) (2,161,769) (885,374) ------------ ------------ ------------ ------------ ------------ ------------ Change in Shares.......... (209,254) (833,807) 446,636 1,115,479 (107,990) 1,464,513 ============ ============ ============ ============ ============ ============ </Table> See notes to financial statements. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 76 INVESTMENT TRUST ANNUAL REPORT - -------------------------------------------------------------------------------- STATEMENTS OF CHANGES IN NET ASSETS <Table> <Caption> BALANCED BOND GOVERNMENT BOND PORTFOLIO PORTFOLIO PORTFOLIO --------------------------- --------------------------- --------------------------- YEAR YEAR YEAR YEAR YEAR YEAR ENDED ENDED ENDED ENDED ENDED ENDED DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, DECEMBER 31, 2004 2003 2004 2003 2004 2003 ------------ ------------ ------------ ------------ ------------ ------------ FROM INVESTMENT ACTIVITIES: OPERATIONS: Net investment income (loss)................ $ 3,977,511 $ 3,857,493 $ 9,661,234 $ 9,774,630 $ 9,843,560 $ 10,131,158 Net realized gains (losses) from investments and futures............... 5,166,510 (4,489,919) 61,019 (214,492) (17,402) 24,400 Net change in unrealized appreciation (depreciation) from investments and futures............... 163,542 26,826,127 (1,659,619) (2,933,662) (247,632) (4,848,094) ------------ ------------ ------------ ------------ ------------ ------------ Change in net assets resulting from operations.............. 9,307,563 26,193,701 8,062,634 6,626,476 9,578,526 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................ 7,593,120 10,211,760 61,600,133 32,988,073 22,267,254 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.............. (30,113,402) (11,967,069) (24,448,806) (17,634,769) (30,162,006) (23,038,659) ------------ ------------ ------------ ------------ ------------ ------------ Change in net assets from capital transactions.... (18,533,593) 2,932,689 47,089,286 25,227,187 2,416,951 7,701,161 ------------ ------------ ------------ ------------ ------------ ------------ Change in net assets...... (13,212,719) 24,438,392 45,213,961 21,979,780 1,683,773 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........... $166,027,439 $179,240,158 $234,960,666 $189,746,705 $213,326,130 $211,642,357 ============ ============ ============ ============ ============ ============ SHARE TRANSACTIONS: Issued.................. 525,753 768,265 5,419,129 2,862,607 1,931,554 1,799,040 Reinvested.............. 279,180 387,758 879,465 873,795 902,161 840,254 Redeemed................ (2,089,677) (911,067) (2,154,170) (1,529,757) (2,627,818) (1,982,732) ------------ ------------ ------------ ------------ ------------ ------------ Change in Shares.......... (1,284,744) 244,956 4,144,424 2,206,645 205,897 656,562 ============ ============ ============ ============ ============ ============ </Table> See notes to financial statements. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 77 (This page intentionally left blank) ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 78 INVESTMENT TRUST ANNUAL REPORT - -------------------------------------------------------------------------------- FINANCIAL HIGHLIGHTS <Table> <Caption> INVESTMENT ACTIVITIES DISTRIBUTIONS --------------------------- ------------------------------------- NET REALIZED NET ASSET NET AND UNREALIZED VALUE, INVESTMENT GAINS TOTAL FROM NET NET BEGINNING INCOME (LOSSES) ON INVESTMENT INVESTMENT REALIZED TOTAL OF PERIOD (LOSS) INVESTMENTS ACTIVITIES INCOME GAINS DISTRIBUTIONS --------- ---------- -------------- ---------- ---------- -------- ------------- MID CAP GROWTH PORTFOLIO Period ended December 31, 2004.... $15.69 $(0.06) $ 2.04 $ 1.98 $ -- $ -- $ -- 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) MID CAP VALUE PORTFOLIO Period ended December 31, 2004.... 13.78 0.11 2.00 2.11 (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) DIVERSIFIED MID CAP PORTFOLIO Period ended December 31, 2004.... 15.50 0.02 2.21 2.23 (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) LARGE CAP GROWTH PORTFOLIO Period ended December 31, 2004.... 12.51 0.07 0.81 0.88 (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) DIVERSIFIED EQUITY PORTFOLIO Period ended December 31, 2004.... 14.19 0.14 0.85 0.99 (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) EQUITY INDEX PORTFOLIO Period ended December 31, 2004.... 9.72 0.15 0.85 1.00 (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) BALANCED PORTFOLIO Period ended December 31, 2004.... 14.49 0.36 0.45 0.81 (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) BOND PORTFOLIO Period ended December 31, 2004.... 11.58 0.46 0.01 0.47 (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) GOVERNMENT BOND PORTFOLIO Period ended December 31, 2004.... 11.67 0.54 (0.01) 0.53 (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) </Table> - ------------ (a) Amount is less than $0.01. (b) Annualized. See notes to financial statements. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 79 - -------------------------------------------------------------------------------- <Table> <Caption> RATIOS/SUPPLEMENTAL DATA: -------------------------------------------- RATIO OF NET NET ASSETS, RATIO OF INVESTMENT NET ASSET END EXPENSES INCOME TO VALUE, TOTAL OF PERIOD TO AVERAGE AVERAGE END OF PERIOD RETURN (000'S) NET ASSETS(b) NET ASSETS(b) ------------- ------ ----------- ------------- -------------- MID CAP GROWTH PORTFOLIO Period ended December 31, 2004........ $17.67 12.62% $196,842 0.85% (0.35%) 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) MID CAP VALUE PORTFOLIO Period ended December 31, 2004........ 15.82 15.40 138,171 0.92 0.81 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 DIVERSIFIED MID CAP PORTFOLIO Period ended December 31, 2004........ 17.70 14.42 60,397 0.93 0.14 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 LARGE CAP GROWTH PORTFOLIO Period ended December 31, 2004........ 13.36 7.05 216,808 0.82 0.58 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) DIVERSIFIED EQUITY PORTFOLIO Period ended December 31, 2004........ 15.08 7.05 178,123 0.91 1.01 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 EQUITY INDEX PORTFOLIO Period ended December 31, 2004........ 10.61 10.34 137,197 0.50 1.53 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 BALANCED PORTFOLIO Period ended December 31, 2004........ 14.98 5.73 166,027 0.88 2.29 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 BOND PORTFOLIO Period ended December 31, 2004........ 11.45 4.13 234,961 0.75 4.79 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 GOVERNMENT BOND PORTFOLIO Period ended December 31, 2004........ 11.63 4.64 213,326 0.62 4.65 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 <Caption> RATIOS/SUPPLEMENTAL DATA: ------------------------------ RATIO OF EXPENSES TO AVERAGE NET ASSETS PORTFOLIO WITHOUT WAIVERS(b) TURNOVER ------------------ --------- MID CAP GROWTH PORTFOLIO Period ended December 31, 2004........ 0.86% 74.34% 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 MID CAP VALUE PORTFOLIO Period ended December 31, 2004........ 0.93 75.09 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 DIVERSIFIED MID CAP PORTFOLIO Period ended December 31, 2004........ 0.94 98.30 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 LARGE CAP GROWTH PORTFOLIO Period ended December 31, 2004........ 0.83 95.42 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 DIVERSIFIED EQUITY PORTFOLIO Period ended December 31, 2004........ 0.92 83.92 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 EQUITY INDEX PORTFOLIO Period ended December 31, 2004........ 0.51 13.69 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 BALANCED PORTFOLIO Period ended December 31, 2004........ 0.89 51.65 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 BOND PORTFOLIO Period ended December 31, 2004........ 0.79 14.94 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 GOVERNMENT BOND PORTFOLIO Period ended December 31, 2004........ 0.63 13.78 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 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 80 INVESTMENT TRUST ANNUAL REPORT - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS 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 Mid Cap Growth Portfolio, Mid Cap Value Portfolio, Diversified Mid Cap Portfolio, Large Cap Growth Portfolio, Diversified Equity Portfolio, Equity Index Portfolio, Balanced Portfolio, Bond Portfolio and 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. However, based on experience, the Trust expects that risk of loss to be remote. 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 independent or affiliated commercial pricing services 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 or 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. The Portfolio's primary purpose in entering into futures contracts is to protect that Portfolio from fluctuations in the value of securities without actually buying or selling that underlying equity security. 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 ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 81 INVESTMENT TRUST ANNUAL REPORT - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS, CONTINUED 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. 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 Equity Index Portfolio held the following long futures positions as of December 31, 2004: <Table> <Caption> NUMBER OF OPEN CURRENT UNREALIZED CONTRACT TYPE CONTRACTS POSITIONS MARKET VALUE GAIN/LOSS ------------- --------- --------- ------------ ---------- S&P 500, March 2005 Futures........................ 2 $590,621 $606,850 $16,229 </Table> REPURCHASE AGREEMENTS The Portfolios may invest in repurchase agreements with institutions that are deemed by Banc One Investment Advisors Corporation (the "Advisor"), an affiliate of JPMorgan Chase & Co., to be of good standing and creditworthy under guidelines established by the Board of Trustees. Each repurchase agreement is valued at amortized cost. The Portfolios require 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. 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 Portfolios at December 31, 2004 was invested in Repurchase Agreements (with interest rates from 2.20 to 2.34% and maturity dates of January 3, 2005), Commercial Paper (with interest rates of 2.41%, and a maturity dates of March 11, 2005), Certificates of Deposit (with interest rates of 2.34%, and a maturity dates of July 26, 2005), and Master Notes (with interest rates ranging from 2.15% to 2.58% and maturity dates of February 22, 2005 to January 26, 2007). 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 judgment of the Advisor, the consideration which can be earned currently from such securities loans justifies the attendant risks. Loans are subject to termination by the Portfolios or the borrower at any time, and are, therefore, not considered to be illiquid investments. Prior to October 18, 2004 for all Portfolios except Balanced Portfolio, Bond Portfolio, and Government Bond Portfolio (which were prior to December 6, 2004), the Advisor served as security lending agent. Also, prior to those dates, Bank One Trust Company, N.A. served as sub-custodian for the securities lending program and received a subcustody fee based on the value of collateral received from borrowers. On October 18, 2004, the Portfolios' custodian, JPMorgan Chase Bank N.A. ("JPMCB") an affiliate of the Portfolios, was appointed as lending agent (December 6, 2004 for Balanced Portfolio, Bond Portfolio and Government Bond Portfolio). JPMCB receives a fee equal to (i) 6 basis points (.06 of 1%), calculated on an annualized basis and accrued daily, based upon the value of Collateral received from Borrowers for each Loan of U.S. Securities outstanding during a given month under this Lending Agreement; and (ii) 11.42 basis points (.1142 of 1%), calculated on an annualized basis and accrued daily, based upon the value of Collateral received from Borrowers for each Loan of non-U.S. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 82 INVESTMENT TRUST ANNUAL REPORT - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS, CONTINUED Securities outstanding during a given month under this Lending Agreement. For the period October 18, 2004 (December 6, 2004 for the Balanced Portfolio, Bond Portfolio and Government Bond Portfolio) to December 31, 2004, JPMCB has voluntarily reduced its fees to: (i) 5 basis points (.05 of 1%) for each Loan of U.S. Securities and (ii) 10 basis points (.1 of 1%) for each Loan of non-U.S. Securities, respectively. Risks of delay in recovery of securities or even loss of rights in the securities may occur should the borrower of the securities fail financially. Risks may also arise to the extent that the value of the securities loaned increases above the value of the collateral received. As of December 31, 2004, the following Portfolios had securities with the following market values on loan and for the year then ended, these Portfolios paid the following amounts to related party affiliates: <Table> <Caption> SUB-CUSTODY LENDING AGENT MARKET VALUE OF MARKET VALUE OF FUND FEES PAID FEES PAID COLLATERAL LOANED SECURITIES ---- ----------- ------------- --------------- ----------------- Mid Cap Growth Portfolio........... $18,850 $7,796 $31,874,025 $31,331,034 Mid Cap Value Portfolio............ 6,273 10,293 17,449,611 17,208,039 Diversified Mid Cap Portfolio...... 3,483 15,707 7,280,428 7,146,830 Large Cap Growth Portfolio......... 5,894 10,816 24,418,010* 24,095,727 Diversified Equity Portfolio....... 6,877 19,455 12,100,395 11,849,786 Equity Index Portfolio............. 5,542 15,813 9,962,225 9,761,421 Balanced Portfolio................. 15,303 382 20,535,092 20,197,804 Bond Portfolio..................... 12,871 961 32,303,022 31,776,825 Government Bond Portfolio.......... 9,197 1,167 40,738,255 40,139,899 </Table> ----------------- *Includes securities and cash collateral SECURITIES TRANSACTIONS AND RELATED INCOME Investment transactions are accounted for on the trade date (the date the order to buy or sell has been executed). 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 proportionately among each of the Portfolios within the Trust in relation to the net assets of each Portfolio or on another reasonable basis. 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 ANNUAL REPORT December 31, 2004 Continued 83 INVESTMENT TRUST ANNUAL REPORT - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS, CONTINUED 3. RELATED PARTY SERVICE PROVIDERS: The Trust and the Advisor, which was renamed JPMorgan Investment Advisors Inc. ("JPMIA") effective February 19, 2005, 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"), an affiliate of JPMorgan Chase & Co. 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 in excess 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. Effective February 19, 2005, the Administrator was renamed JPMorgan Funds Management, Inc. The Portfolios may invest in one or more money market funds advised by JPMorgan Investment Advisors Inc. or its affiliates. The Advisor and Administrator will waive and/or reimburse their advisory and administrative fee, respectively, from the Portfolios in an amount sufficient to offset any doubling up of investment advisory and administration fees related to each Portfolio's investment in an affiliated money market fund to the extent required by law. 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. On August 12, 2004, the Board of Trustees approved an agreement with JPMCB to act as the Portfolios' custodian. The transitions to JPMCB from previous service providers were completed on October 18, 2004 for all Portfolios except for the Balanced Portfolio, Bond Portfolio and Government Bond Portfolio. The transitions for the remaining Portfolios were completed on December 6, 2004. The Administrator is responsible for providing fund accounting services under the Management and Administration Agreement. Fund accounting services were transitioned to JPMCB on October 18, 2004 and on December 6, 2004 for the remaining Funds, from their prior service provider, but those services are still provided to the Portfolios under such Management and Administration Agreement with the Administrator. The amounts paid to JPMCB for ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 84 INVESTMENT TRUST ANNUAL REPORT - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS, CONTINUED custody services during the period by the Portfolios are as follows and are included in the Custodian fees as presented on the Statement of Operations.: <Table> <Caption> FUND CUSTODY FEES ---- ------------ Mid Cap Growth Portfolio.................................... $6,143 Mid Cap Value Portfolio..................................... $2,176 Diversified Mid Cap Portfolio............................... $1,293 Large Cap Growth Portfolio.................................. $1,287 Diversified Equity Portfolio................................ $2,487 Equity Index Portfolio...................................... $6,765 Balanced Portfolio.......................................... $3,266 Bond Portfolio.............................................. $2,264 Government Bond Portfolio................................... $1,283 </Table> 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 year ended December 31, 2004, were as follows: <Table> <Caption> PURCHASES SALES PURCHASES SALES (EXCLUDING U.S. (EXCLUDING U.S. OF U.S. OF U.S. GOVERNMENT GOVERNMENT GOVERNMENT GOVERNMENT FUND SECURITIES) SECURITIES) SECURITIES SECURITIES ---- --------------- --------------- ---------- ---------- Mid Cap Growth Portfolio........... $139,621,626 $165,583,467 $ -- $ -- Mid Cap Value Portfolio............ 89,163,765 85,268,063 -- -- Diversified Mid Cap Portfolio...... 55,477,060 62,061,838 -- -- Large Cap Growth Portfolio......... 186,477,248 185,761,747 -- -- Diversified Equity Portfolio....... 139,984,910 134,510,407 -- -- Equity Index Portfolio............. 17,316,428 18,165,640 -- -- Balanced Portfolio................. 78,715,870 92,096,313 9,815,567 18,732,811 Bond Portfolio..................... 26,960,209 10,758,343 22,221,139 17,441,905 Government Bond Portfolio.......... -- -- 28,199,195 28,493,041 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 85 INVESTMENT TRUST ANNUAL REPORT - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS, CONTINUED 5. FEDERAL TAX INFORMATION: The tax character of distributions paid during the fiscal year ended December 31, 2004 was as follows (amounts in thousands): (Total distributions paid differ from the Statement of Changes in Net Assets because for tax purposes dividends are recognized when actually paid.) <Table> <Caption> DISTRIBUTIONS PAID FROM: --------------------------- NET NET TOTAL TAX TOTAL INVESTMENT LONG-TERM TAXABLE RETURN OF DISTRIBUTIONS INCOME CAPITAL GAINS DISTRIBUTIONS CAPITAL PAID ---------- ------------- ------------- --------- ------------- Mid Cap Value Portfolio.............. $ 596 $-- $ 596 $-- $ 596 Diversified Mid Cap Portfolio........ 118 -- 118 -- 118 Large Cap Growth Portfolio........... 479 -- 479 -- 479 Diversified Equity Portfolio......... 1,155 -- 1,155 -- 1,155 Equity Index Portfolio............... 1,376 -- 1,376 -- 1,376 Balanced Portfolio................... 3,987 -- 3,987 -- 3,987 Bond Portfolio....................... 9,938 -- 9,938 -- 9,938 Government Bond Portfolio............ 10,312 -- 10,312 -- 10,312 </Table> The tax character of distributions paid during the fiscal year ended December 31, 2003 was as follows (amounts in thousands): (Total distributions paid differ from the Statement of Changes in Net Assets because for tax purposes dividends are recognized when actually paid.) <Table> <Caption> NET NET TOTAL TAX TOTAL INVESTMENT LONG-TERM TAXABLE RETURN OF DISTRIBUTIONS INCOME CAPITAL GAINS DISTRIBUTIONS CAPITAL PAID ---------- ------------- ------------- --------- ------------- Mid Cap Value Portfolio.............. $ 501 $-- $ 501 $-- $ 501 Diversified Mid Cap Portfolio........ 95 -- 95 -- 95 Large Cap Growth Portfolio........... 186 -- 186 -- 186 Diversified Equity Portfolio......... 830 -- 830 -- 830 Equity Index Portfolio............... 1,090 -- 1,090 -- 1,090 Balanced Portfolio................... 4,688 -- 4,688 -- 4,688 Bond Portfolio....................... 9,874 -- 9,874 -- 9,874 Government Bond Portfolio............ 9,671 -- 9,671 -- 9,671 </Table> As of December 31, 2004, the components of accumulated earnings/(deficit) on a tax basis were as follows: (The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributable primarily to tax ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 86 INVESTMENT TRUST ANNUAL REPORT - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS, CONTINUED deferral of losses on wash sales, the realization for tax purposes of unrealized gains/losses on certain derivative instruments and the difference between book and tax amortization methods for premium and market discount.) (amounts in thousands): <Table> <Caption> UNDISTRIBUTED UNDISTRIBUTED ACCUMULATED UNREALIZED ORDINARY LONG-TERM ACCUMULATED DISTRIBUTIONS CAPITAL AND APPRECIATION/ INCOME CAPITAL GAINS EARNINGS PAYABLE OTHER LOSSES (DEPRECIATION ------------- ------------- ----------- ------------- ------------ ------------- Mid Cap Growth Portfolio.............. $ -- $ -- $ -- $-- $ (28,680) $38,081 Mid Cap Value Portfolio.............. 956 11,103 12,059 -- -- 25,398 Diversified Mid Cap Portfolio.............. 80 1,922 2,002 -- -- 10,129 Large Cap Growth Portfolio.............. 1,148 -- 1,148 -- (126,347) 11,364 Diversified Equity Portfolio.............. 1,656 -- 1,656 -- (11,831) 8,374 Equity Index Portfolio... 1,958 -- 1,958 -- (4,924) (2,396) Balanced Portfolio....... 4,092 -- 4,092 -- (6,556) 5,653 Bond Portfolio........... 9,947 -- 9,947 -- (626) 5,543 Government Bond Portfolio.............. 9,954 -- 9,954 -- (313) 8,638 <Caption> TOTAL ACCUMULATED EARNINGS/ (DEFICIT) ----------- Mid Cap Growth Portfolio.............. $ 9,401 Mid Cap Value Portfolio.............. 37,458 Diversified Mid Cap Portfolio.............. 12,131 Large Cap Growth Portfolio.............. (113,835) Diversified Equity Portfolio.............. (1,801) Equity Index Portfolio... (5,362) Balanced Portfolio....... 3,189 Bond Portfolio........... 14,864 Government Bond Portfolio.............. 18,279 </Table> As of December 31, 2004, the following Funds had net capital loss carryforwards, which are available to offset future realized gains (amounts in thousands): <Table> <Caption> EXPIRES ---------------------------------------- 2008 2009 2010 2011 2012 TOTAL ---- ---- ---- ---- ---- ----- Mid Cap Growth Portfolio ...................... $-- $ -- $23,615 $5,065 $ -- $ 28,680 Mid Cap Value Portfolio ....................... -- -- -- -- -- -- Diversified Mid Cap Portfolio ................. -- -- -- -- -- -- Large Cap Growth Portfolio .................... -- 60,562 50,266 15,519 -- 126,347 Diversified Equity Portfolio .................. -- -- 6,348 5,483 -- 11,831 Equity Index Portfolio ........................ -- 882 4,042 -- -- 4,924 Balanced Portfolio ............................ -- -- 1,892 4,664 -- 6,556 Bond Portfolio ................................ -- -- 25 377 224 626 Government Bond Portfolio ..................... 25 -- -- 158 130 313 </Table> Net capital losses incurred after October 31 and within the taxable year are deemed to arise on the first business day of the Funds' next taxable year. For the period ended December 31, 2004, the Funds did not defer any post-October capital loss carryforwards. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Continued 87 INVESTMENT TRUST ANNUAL REPORT - -------------------------------------------------------------------------------- NOTES TO FINANCIAL STATEMENTS, CONTINUED 6. SUBSEQUENT EVENTS In connection with the integration of the JPMorgan Funds and the Trust, each of the Portfolios will have a new name effective May 1, 2005 as shown below: <Table> <Caption> NAME OF PORTFOLIOS AS OF DECEMBER 31, 2004 NAME OF PORTFOLIOS EFFECTIVE MAY 1, 2005 ------------------------------------------ ---------------------------------------- One Group Investment Trust Mid Cap Growth Portfolio JPMorgan Investment Trust Mid Cap Growth Portfolio One Group Investment Trust Mid Cap Value Portfolio JPMorgan Investment Trust Mid Cap Value Portfolio One Group Investment Trust Diversified Mid Cap JPMorgan Investment Trust Diversified Mid Cap Portfolio Portfolio One Group Investment Trust Large Cap Growth JPMorgan Investment Trust Large Cap Growth Portfolio Portfolio One Group Investment Trust Diversified Equity JPMorgan Investment Trust Diversified Equity Portfolio Portfolio One Group Investment Trust Equity Index Portfolio JPMorgan Investment Trust Equity Index Portfolio One Group Investment Trust Balanced Portfolio JPMorgan Investment Trust Balanced Portfolio One Group Investment Trust Bond Portfolio JPMorgan Investment Trust Bond Portfolio One Group Investment Trust Government Bond JPMorgan Investment Trust Government Bond Portfolio Portfolio </Table> After considering management's recommendations, the Board of Trustees approved, and the Portfolios will enter into, a Distribution Agreement with JPMorgan Distribution Services, Inc. ("JPMDS"). This agreement is effective May 1, 2005, and JPMDS will receive no compensation in its capacity as the Trust's distributor. Effective February 19, 2005, the Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured uncommitted line of credit facility in the aggregate amount of $100 million. Interest on borrowing is payable at a rate determined by JPMCB at the time of borrowing. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 88 INVESTMENT TRUST ANNUAL REPORT - -------------------------------------------------------------------------------- REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Trustees and Shareholders of One Group Investment Trust In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statement of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of Mid Cap Growth Portfolio, Mid Cap Value Portfolio, Diversified Mid Cap Portfolio, Large Cap Growth Portfolio, Diversified Equity Portfolio, Equity Index Portfolio, Balanced Portfolio, Bond Portfolio, and Government Bond Portfolio (nine separate portfolios constituting the One Group Investment Trust, hereafter referred to as the "Trust") at December 31, 2004, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to collectively as "financial statements") are the responsibility of the Trust's management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2004 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP Chicago, Illinois February 22, 2005 ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 89 INVESTMENT TRUST ANNUAL REPORT - -------------------------------------------------------------------------------- The following tables contain basic information as of February 19, 2005 regarding the trustees and officers, respectively, that oversee operations of the Trusts and other Funds within the JPMorgan Funds complex. The contact address for each of the Trustees and Officers, unless otherwise noted, is 522 Fifth Avenue, New York, NY 10036. <Table> <Caption> NUMBER OF PORTFOLIOS NAME (YEAR OF BIRTH); IN FUND COMPLEX POSITIONS WITH PRINCIPAL OCCUPATIONS OVERSEEN BY OTHER DIRECTORSHIPS HELD THE FUNDS (SINCE) DURING PAST 5 YEARS TRUSTEE(1) OUTSIDE FUND COMPLEX - --------------------- --------------------- -------------------- ------------------------ INDEPENDENT TRUSTEES William J. Armstrong Retired; Vice President & 110 None. (1941); Trustee of Trust Treasurer of Ingersoll-Rand since 2005. Company (manufacturer of industrial equipment) (1972-2000). Roland R. Eppley, Jr. Retired; President & Chief 110 Director, Janel Hydro, Inc. (1932); Trustee of Trust Executive Officer, Eastern (automotive) (1993-present). since 2005. States Bankcard (1971-1988). John F. Finn President and Chief Executive 110 Director, Cardinal Health, (1947); Trustee of Trust Officer of Gardner, Inc. Inc. (CAH) (1994-present). since 1998. (wholesale distributor to outdoor power equipment industry) (1975-present). Dr. Matthew Goldstein Chancellor of the City 110 Trustee of Bronx-Lebanon (1941); Trustee of Trust University of New York Hospital Center since 2005. (1999-present); President, (1992-present); Director of Adelphi University (New York) New Plan Excel Realty Trust, (1998-1999). Inc. (real estate investment trust) (2000-present); Director of Lincoln Center Institute for the Arts in Education (1999-present). Robert J. Higgins Retired; Director of 110 Director of Providian (1945); Trustee of Trust Administration of the State of Financial Corp. (banking) since 2005. Rhode Island (2003-2004); (2002-present). President, Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001). Peter C. Marshall Self-employed business 110 None. (1942); Trustee of Trust consultant (2002-present); since 1985. Senior Vice President, W.D. Hoard, Inc. (corporate parent of DCI Marketing, Inc.) (2000-2002); President, DCI Marketing, Inc. (1992-2000). Marilyn McCoy Vice President of 110 Director, Mather LifeWays (1948); Trustee of Trust Administration and Planning, (1994- present); Director, since 1999. Northwestern University Carleton College (1985-present). (2003-present). William G. Morton, Jr. Retired; Chairman Emeritus 110 Director of Radio Shack (1937); Trustee of Trust (2001- 2002), and Chairman and Corporation (electronics) since 2005. Chief Executive Officer, (1987- present); Director of Boston Stock Exchange The National Football (1985-2001). Foundation and College Hall of Fame (1994-present); Trustee of the Berklee College of Music (1998-present); Trustee of the Stratton Mountain School (2001-present). Robert A. Oden, Jr. President, Carleton College 110 Director, American University (1946); Trustee of Trust (2002- present); President, in Cairo. since 1997. Kenyon College (1995-2002). </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 90 INVESTMENT TRUST ANNUAL REPORT - -------------------------------------------------------------------------------- <Table> <Caption> NUMBER OF PORTFOLIOS NAME (YEAR OF BIRTH); IN FUND COMPLEX POSITIONS WITH PRINCIPAL OCCUPATIONS OVERSEEN BY OTHER DIRECTORSHIPS HELD THE FUNDS (SINCE) DURING PAST 5 YEARS TRUSTEE(1) OUTSIDE FUND COMPLEX - --------------------- --------------------- -------------------- ------------------------ Fergus Reid, III Chairman of Lumelite 110 Trustee of Morgan Stanley (1932); Trustee of Trust Corporation (plastics Funds (209 portfolios) (Chairman) since 2005. manufacturing) (2003- (1995-present). present); Chairman and CEO of Lumelite Corporation (1985- 2002). Frederick W. Ruebeck Advisor, Jerome P. Green & 110 Director, AMS Group (2001- (1939); Trustee of Trust Associates, LLC present); Trustee, Wabash since 1990. (broker-dealer) College Indianapolis (2002-present); Investment (1988-present); Trustee, Officer, Wabash College Seabury-Western Theological (2004-present); self-employed Seminary (1993- present); consultant (January 2000 to Chairman, Indianapolis present); Director of Symphony Orchestra Foundation Investments, Eli Lilly and (1994-present). Company (1988-1999). James J. Schonbachler Retired; Managing Director of 110 None. (1943); Trustee of Trust Bankers Trust Company since 2005. (financial services) (1968-1998). INTERESTED TRUSTEE Leonard M. Spalding, Retired; Chief Executive 110 None. Jr.* (1935); Trustee of Officer of Chase Mutual Funds Trust since 2005. (investment company) (1989-1998); President & Chief Executive Officer of Vista Capital Management (investment management); Chief Investment Executive of Chase Manhattan Private Bank (investment management). </Table> - ------------ (1) A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The JPMorgan Funds Complex for which the Board of Trustees includes seven registered investment companies (110 portfolios) as of February 19, 2005. * Mr. Spalding is deemed to be an "interested person" due to his ownership of JPMorgan Chase stock. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 91 INVESTMENT TRUST ANNUAL REPORT - -------------------------------------------------------------------------------- <Table> <Caption> NAME (YEAR OF BIRTH), POSITIONS HELD WITH THE FUNDS (SINCE) PRINCIPAL OCCUPATIONS DURING PAST 5 YEARS - --------------------- ------------------------------------------------------------ OFFICERS George C.W. Gatch Managing Director, JPMIM, CEO and President of the J.P. (1962) Morgan and One Group Funds. An employee since 1986, Mr. President (2004) Gatch leads the firm's U.S. mutual fund and financial intermediary business. He was previously president and CEO of DKB Morgan, a Japanese mutual fund company, which was a joint venture between J.P. Morgan and Dai-Ichi Kangyo Bank. Prior to working in Japan, Mr. Gatch established JPMIM's sub-advisory and institutional mutual funds business. He has also held numerous positions throughout the firm in business management, marketing, and sales. Robert L. Young Chief Operating Officer, JPMorgan Funds (August 2004 to (1963) present) and One Group Mutual Funds from November 2001 until Senior Vice President present. From October 1999 to present, Vice President and (2004)** Treasurer, One Group Administrative Services, Inc., and Vice President and Treasurer, One Group Dealer Services, Inc. Patricia A. Maleski Vice President, JPMIM; previously, Treasurer, JPMorgan Funds (1960) and Head of Funds Administration and Board Liaison. Prior to Vice President and Chief joining J.P. Morgan Chase & Co. in 2001, Ms. Maleski was the Administrative Officer Vice President of Finance for the Pierpont Group, Inc., a (2004) service provider to the Board of Directors/Trustees of the JPMorgan Funds. Stephanie J. Dorsey Director of Mutual Fund Administration, One Group (1969) Administrative Services, since 2004; Ms. Dorsey worked for Treasurer (2004)** Bank One Corporation (now known as JP Morgan Chase & Co.) from 2003 to 2004; prior to joining Bank One Corporation, she was a Senior Manager specializing in Financial Services audits at PricewaterhouseCoopers LLP from 1992 through 2002. Stephen M. Benham Vice President and Assistant General Counsel, JPMIM since (1959) 2004; Vice President (Legal Advisory) of Merrill Lynch Secretary (2005) Investment Managers, L.P. from 2000 to 2004; attorney associated with Kirkpatrick & Lockhart LLP from 1997 to 2000. Elizabeth A. Davin From 2004 to present, Senior Counsel, JPMorgan Chase & Co.; (1964) Assistant General Counsel and Associate General Counsel and Assistant Secretary (2004)** Vice President, Gartmore Global Investments, Inc. from 1999 to 2004. Jessica K. Ditullio Various attorney positions for Bank One Corporation (now (1962) known as JP Morgan Chase & Co.) since 1990. Assistant Secretary (2000)** Nancy E. Fields From October 1999 to present, Director, Mutual Fund (1949) Administration, One Group Administrative Services, Inc. and Assistant Secretary (2000)** Senior Project Manager, Mutual Funds, One Group Dealer Services, Inc. From July 1999 to October 1999, Project Manager, One Group, Banc One Investment Advisors Corporation. Avery P. Maher Vice President and Assistant General Counsel, JPMIM since (1945) 2004; Second Vice President and Assistant Secretary of John Assistant Secretary (2004) Hancock Advisers, LLC, from 1992 to 2004. Suzanne E. Cioffi Vice President, JPMIM, responsible for mutual fund financial (1967) reporting. During the past five years, Ms. Cioffi has Assistant Treasurer (2005) overseen various fund accounting, custody and administration conversion projects for JPMIM. Christopher D. Walsh Vice President, JPMIM; Mr. Walsh manages all aspects of (1965) institutional and retail mutual fund administration and Assistant Treasurer (2004) vendor relationships within the mutual funds, commingled/ERISA funds, 3(c)(7) funds, hedge funds and LLC products. Prior to joining JPMorgan in 2000, he was a director from 1996 to 2000 of Mutual Fund Administration at Prudential Investments. Stephen M. Ungerman Vice President, JPMIM; previously, head of Fund (1953) Administration - Pooled Vehicles. Prior to joining J.P. Chief Compliance Officer Morgan Chase & Co. in 2000, he held a number of positions in (2004) Prudential Financial's asset management business, including Associate General Counsel, Tax Director and Co-head of Fund Administration Department. Mr. Ungerman was also the Assistant Treasurer for all mutual funds managed by Prudential. </Table> - ------------ * The contact address for the officer is 3435 Stelzer Road, Columbus, OH 43219. ** The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43271. ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 92 INVESTMENT TRUST ANNUAL REPORT - -------------------------------------------------------------------------------- SCHEDULE OF SHAREHOLDER EXPENSES HYPOTHETICAL $1,000 INVESTMENT AT BEGINNING OF PERIOD DECEMBER 31, 2004 (UNAUDITED) As a shareholder of the Portfolios, you incur ongoing costs, including investment advisory, 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. Because the Portfolios are underlying investment options in variable insurance contracts, contact holders may also incur transaction costs, such as sales charges and other expenses not captured here. The examples assume that you had a $1,000 investment in the Portfolio at the beginning of the reporting period, July 1, 2004, and continued to hold your shares at the end of the reporting period, December 31, 2004. 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 the first line of each Class under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line 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 at the Portfolio level only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees or other expenses charged by a variable insurance contract. 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 the transaction costs and other variable insurance contract expenses were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested. <Table> <Caption> EXPENSES PAID BEGINNING ENDING DURING PERIOD ANNUALIZED ACCOUNT VALUE, ACCOUNT VALUE, JULY 1 TO EXPENSE JULY 1, 2004 DECEMBER 31, 2004 DECEMBER 31, 2004* RATIO -------------- ----------------- ------------------ ---------- MID CAP GROWTH PORTFOLIO Actual period return....................... $1,000 $1,066 $4.52 0.87% Hypothetical............................... $1,000 $1,021 $4.42 0.87% MID CAP VALUE PORTFOLIO Actual period return....................... $1,000 $1,084 $4.82 0.92% Hypothetical............................... $1,000 $1,020 $4.67 0.92% DIVERSIFIED MID CAP PORTFOLIO Actual period return....................... $1,000 $1,097 $4.85 0.92% Hypothetical............................... $1,000 $1,020 $4.67 0.92% LARGE CAP GROWTH PORTFOLIO Actual period return....................... $1,000 $1,046 $4.22 0.82% Hypothetical............................... $1,000 $1,021 $4.17 0.82% DIVERSIFIED EQUITY PORTFOLIO Actual period return....................... $1,000 $1,059 $4.71 0.91% Hypothetical............................... $1,000 $1,020 $4.62 0.91% </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 93 INVESTMENT TRUST ANNUAL REPORT - -------------------------------------------------------------------------------- SCHEDULE OF SHAREHOLDER EXPENSES, CONTINUED HYPOTHETICAL $1,000 INVESTMENT AT BEGINNING OF PERIOD DECEMBER 31, 2004 (UNAUDITED) <Table> <Caption> EXPENSES PAID BEGINNING ENDING DURING PERIOD ANNUALIZED ACCOUNT VALUE, ACCOUNT VALUE, JULY 1 TO EXPENSE JULY 1, 2004 DECEMBER 31, 2004 DECEMBER 31, 2004* RATIO -------------- ----------------- ------------------ ---------- EQUITY INDEX PORTFOLIO Actual period return....................... $1,000 $1,070 $2.65 0.51% Hypothetical............................... $1,000 $1,022 $2.59 0.51% BALANCED PORTFOLIO Actual period return....................... $1,000 $1,051 $4.54 0.88% Hypothetical............................... $1,000 $1,021 $4.47 0.88% BOND PORTFOLIO Actual period return....................... $1,000 $1,037 $3.84 0.75% Hypothetical............................... $1,000 $1,021 $3.81 0.75% GOVERNMENT BOND PORTFOLIO Actual period return....................... $1,000 $1,043 $3.24 0.63% Hypothetical............................... $1,000 $1,022 $3.20 0.63% </Table> - ------------ * Expenses are equal to the Portfolios' annualized expense ratio in the table above, multiplied by the average account value over the period, multiplied by 184/366 (to reflect the one-half year period). ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 94 INVESTMENT TRUST ANNUAL REPORT - -------------------------------------------------------------------------------- TAX LETTER (UNAUDITED) MID CAP GROWTH PORTFOLIO MID CAP VALUE PORTFOLIO DIVERSIFIED MID CAP PORTFOLIO LARGE CAP GROWTH PORTFOLIO DIVERSIFIED EQUITY PORTFOLIO EQUITY INDEX PORTFOLIO BALANCED PORTFOLIO BOND PORTFOLIO GOVERNMENT BOND PORTFOLIO The Trust designates the following percentage of distributions eligible for the dividends received deductions for corporations: <Table> <Caption> FUND AMOUNT - ---- ------ Mid Cap Growth Portfolio....................... 0.00% Mid Cap Value Portfolio........................ 100.00% Diversified Mid Cap Portfolio.................. 100.00% Large Cap Growth Portfolio..................... 100.00% Diversified Equity Portfolio................... 100.00% Equity Index Portfolio......................... 100.00% Balanced Portfolio............................. 43.31% Bond Portfolio................................. 0.00% Government Bond Portfolio...................... 0.00% </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 95 INVESTMENT TRUST ANNUAL REPORT - -------------------------------------------------------------------------------- SPECIAL MEETING OF SHAREHOLDERS (UNAUDITED) DECEMBER 31, 2004 A Special Meeting of Shareholders of One Group Investment Trust (the "Trust") was held on January 20, 2005, at 522 Fifth Avenue, New York, New York 10036 for purposes of asking shareholders to consider the following proposals: To elect thirteen (13) Trustees for the Trust. A majority of the shareholders of the Trust approved the election of each Trustee by the following votes: <Table> <Caption> AFFIRMATIVE NEGATIVE ----------- -------- William J. Armstrong........................................ 106,563,082 5,270,216 Roland E. Eppley, Jr. ...................................... 106,535,490 5,297,807 John F. Finn................................................ 107,036,819 4,796,479 Dr. Matthew Goldstein....................................... 106,550,257 5,283,040 Robert J. Higgins........................................... 106,513,278 5,320,020 Peter C. Marshall........................................... 106,823,348 5,009,949 Marilyn McCoy............................................... 107,029,104 4,804,194 William G. Morton, Jr. ..................................... 106,551,628 5,281,670 Robert A. Oden, Jr. ........................................ 106,906,109 4,927,189 Fergus Reid, III............................................ 106,437,360 5,395,938 Frederick W. Ruebeck........................................ 106,469,531 5,363,767 James J. Schonbachler....................................... 106,596,994 5,236,304 Leonard M. Spalding, Jr. ................................... 106,552,797 5,280,501 </Table> To approve the amendment or elimination of certain fundamental investment restrictions of the Funds in order to modernize the Funds' investment restrictions and to increase their investment flexibility. A majority of the shareholders of the following Funds approved the proposals by the following votes: <Table> <Caption> FOR AGAINST ABSTAIN --- ------- ------- A. BORROWING OF MONEY: Mid Cap Growth Portfolio............................. 8,692,085 1,209,942 663,445 Mid Cap Value Portfolio.............................. 7,048,974 830,895 563,992 Diversified Mid Cap Portfolio........................ 2,807,799 453,846 274,056 Large Cap Growth Portfolio........................... 13,096,171 1,489,600 1,228,392 Diversified Equity Portfolio......................... 9,870,635 1,164,593 797,016 Equity Index Portfolio............................... 10,546,421 1,332,535 984,297 Balanced Portfolio................................... 9,799,838 1,116,094 799,712 Bond Portfolio....................................... 16,012,158 1,577,639 1,175,963 Government Bond Portfolio............................ 15,153,806 1,736,407 1,433,987 B. INVESTMENT IN COMMODITIES AND COMMODITY FUTURES: Mid Cap Growth Portfolio............................. 8,987,848 987,703 589,921 Mid Cap Value Portfolio.............................. 7,243,294 641,400 532,168 Diversified Mid Cap Portfolio........................ 3,059,612 243,922 232,166 Large Cap Growth Portfolio........................... 13,636,145 1,090,609 1,087,409 Diversified Equity Portfolio......................... 10,186,625 887,577 758,043 Equity Index Portfolio............................... 11,088,948 932,803 841,503 Balanced Portfolio................................... 10,326,102 697,080 692,461 Bond Portfolio....................................... 16,329,000 1,232,659 1,204,102 Government Bond Portfolio............................ 15,678,462 1,294,569 1,351,169 C. INVESTMENTS FOR PURPOSES OF CONTROL Mid Cap Growth Portfolio............................. 9,137,984 780,151 647,337 Mid Cap Value Portfolio.............................. 7,408,698 453,210 554,954 Diversified Mid Cap Portfolio........................ 3,058,896 219,586 257,218 Large Cap Growth Portfolio........................... 13,707,178 910,571 1,196,414 Diversified Equity Portfolio......................... 10,359,437 678,595 794,213 Equity Index Portfolio............................... 11,240,097 773,100 850,057 Balanced Portfolio................................... 10,351,615 528,441 835,587 Bond Portfolio....................................... 16,637,022 994,326 1,134,412 Government Bond Portfolio............................ 16,009,339 959,100 1,355,761 </Table> ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 96 (This page intentionally left blank) ONE GROUP INVESTMENT TRUST ANNUAL REPORT December 31, 2004 Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the portfolios. This report is submitted for the general information of the shareholders of the Portfolios. It is not authorized for distribution to prospective investors in the Portfolio unless preceded or accompanied by a prospectus. INVESTORS SHOULD CAREFULLY CONSIDER THE INVESTMENT OBJECTIVES AND RISK AS WELL AS CHARGES AND EXPENSES OF THE MUTUAL FUND BEFORE INVESTING. THE PROSPECTUS CONTAINS THIS AND OTHER INFORMATION ABOUT THE MUTUAL FUND. READ THE PROSPECTUS CAREFULLY BEFORE INVESTING. No sooner than 30 days after the end of each calendar quarter, the Portfolio's will make available to separate accounts a complete uncertified schedule of its portfolio holdings as of the last day of that quarter. Not later than 60 days after the end of each fiscal quarter, the Portfolio will make available a complete schedule of its portfolio holdings as of the last day of that quarter, as filed in a certified filing with the SEC. In addition to providing hard copies to separate accounts, the Portfolio will post these quarterly schedules on the SEC's website at www.sec.gov. The Portfolios file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Portfolio's Form N-Qs are available on the SEC's website at www.sec.gov, and may be reviewed and copied at the SEC's Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may also request portfolio holdings schedules at no charge by calling 1-800-480-4111. A description of the Portfolio's policies and procedures with respect to the disclosure of the Portfolio's portfolio holdings is also available in the Statement of Additional Information. The Trustees have delegated the authority to vote proxies for securities owned by the Portfolios to JPMorgan Investment Advisors, Inc. Each Portfolio's proxy voting record will be disclosed on a quarterly basis after the close of the quarter. A description of the Portfolio's proxy voting policies and procedures and information regarding how each Portfolio voted proxies during the year ended June 30, 2004 is available without charge, upon request, by calling 1-800-480-4111 and on the SEC's website at www.sec.gov and is provided each quarter to the separate accounts which invest in the Portfolios. Each Portfolio's proxy voting record will include, among other things, a brief description of the matter voted on for each portfolio security and state how each vote was case, for example, for or against the proposal. 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. 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 12(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. 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. THE CODE OF ETHICS IN EFFECT AS OF DECEMBER 31, 2004, IS INCLUDED AS EXHIBIT 12(A)(1). 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. 3(A)(1) AS OF DECEMBER 31, 2004, THE REGISTRANT'S BOARD OF TRUSTEES HAD DETERMINED THAT THE REGISTRANT HAD AT LEAST ONE AUDIT COMMITTEE FINANCIAL EXPERT SERVING ON ITS AUDIT COMMITTEE. THE SECURITIES AND EXCHANGE COMMISSION HAS STATED THAT THE DESIGNATION OR IDENTIFICATION OF A PERSON AS AN AUDIT COMMITTEE FINANCIAL EXPERT PURSUANT TO THIS ITEM 3 OF FORM N-CSR DOES NOT IMPOSE ON SUCH PERSON ANY DUTIES, OBLIGATIONS OR LIABILITIES THAT ARE GREATER THAN THE DUTIES, OBLIGATIONS AND LIABILITIES IMPOSED ON SUCH PERSON AS A MEMBER OF THE AUDIT COMMITTEE AND THE BOARD OF TRUSTEES IN THE ABSENCE OF SUCH DESIGNATION OR IDENTIFICATION. 3(A)(2) AS OF DECEMBER 31, 2004, THE AUDIT COMMITTEE FINANCIAL EXPERTS WERE PETER C. MARSHALL AND DONALD L. TUTTLE. BOTH EXPERTS WERE "INDEPENDENT" FOR PURPOSES OF THIS ITEM 3 OF FORM N-CSR. 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. AUDIT FEES 2003 - $83,575 2004 - $85,800 (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. AUDIT RELATED FEES 2003 - N/A 2004 - N/A (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. TAX FEES 2003 - $24,350 2004 - $18,866 THE TAX FEES CONSIST OF FEES BILLED IN CONNECTION WITH PREPARING THE FEDERAL REGULATED INVESTMENT COMPANY INCOME TAX RETURNS FOR THE REGISTRANT FOR THE TAX YEARS ENDED DECEMBER 31, 2003 AND DECEMBER 31, 2004. FOR THE LAST TWO FISCAL YEARS, NO TAX FEES WERE REQUIRED TO BE APPROVED PURSUANT TO PARAGRAPH (C)(7)(II) OF RULE 2-01 OF REGULATION S-X. (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. ALL OTHER FEES 2003 - N/A 2004 - N/A (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. PURSUANT TO THE REGISTRANT'S AUDIT COMMITTEE CHARTER AND WRITTEN POLICIES AND PROCEDURES FOR THE PRE-APPROVAL OF AUDIT AND NON-AUDIT SERVICES AS IN EFFECT AS OF DECEMBER 31, 2004, THE AUDIT COMMITTEE PRE-APPROVES ALL AUDIT AND NON-AUDIT SERVICES PERFORMED BY THE REGISTRANT'S INDEPENDENT AUDITOR FOR THE REGISTRANT. IF A REQUEST FOR PRE-APPROVAL OF SERVICES TO BE PERFORMED BY THE INDEPENDENT AUDITOR IS DETERMINED TO BE UNTIMELY, A MEMBER OF THE AUDIT COMMITTEE MAY BE APPOINTED AS THE COMMITTEE'S DELEGATE FOR THE PURPOSES OF CONSIDERING WHETHER TO APPROVE SUCH SERVICES. ANY PRE-APPROVALS GRANTED BY THE DELEGATE WILL BE GRANTED FOR A PERIOD OF NO MORE THAN ONE YEAR AND WILL BE REVIEWED BY THE AUDIT COMMITTEE AT A MEETING HELD NO LATER THAN THE NEXT REGULARLY SCHEDULED MEETING OF THE BOARD OF TRUSTEES OR THE COMMITTEE, WHICHEVER OCCURS SOONER. IN ADDITION, THE AUDIT COMMITTEE WILL PRE-APPROVE THE AUDITOR'S ENGAGEMENT FOR NON-AUDIT SERVICES WITH THE REGISTRANT'S INVESTMENT ADVISER (NOT INCLUDING THE SUB-ADVISER WHOSE ROLE IS PRIMARILY PORTFOLIO MANAGEMENT AND IS SUB-CONTRACTED OR OVERSEEN BY THE INVESTMENT ADVISER) AND ANY ENTITY CONTROLLING, CONTROLLED BY OR UNDER COMMON CONTROL WITH THE INVESTMENT ADVISER THAT PROVIDES ONGOING SERVICES TO THE REGISTRANT IN ACCORDANCE WITH PARAGRAPH (C)(7)(I)(C) OF RULE 2-01 OF REGULATION S-X, IF THE ENGAGEMENT RELATES DIRECTLY TO THE OPERATIONS AND FINANCIAL REPORTING OF THE REGISTRANT. (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. 2003 - NONE 2004 - NONE (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. NOT APPLICABLE. (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. 2003 - $745,419 2004 - $25,457,340 (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. THE AUDIT COMMITTEE HAS CONSIDERED WHETHER THE PROVISION OF NON-AUDIT SERVICES BY THE REGISTRANT'S PRINCIPAL ACCOUNTANT THAT WERE RENDERED TO THE REGISTRANT'S INVESTMENT ADVISER (NOT INCLUDING A SUB-ADVISER WHOSE ROLE IS PRIMARILY PORTFOLIO MANAGEMENT AND IS SUB-CONTRACTED 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 REQUIRED TO BE 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. 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 Section 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. INCLUDED IN RESPONSE TO ITEM 1 ABOVE. 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. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. NOT APPLICABLE. ITEM 9. 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 10. 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 11. 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 AND PRINCIPAL FINANCIAL OFFICERS HAVE CONCLUDED, BASED ON THEIR EVALUATION OF THE REGISTRANT'S DISCLOSURE CONTROLS AND PROCEDURES AS OF A DATE WITHIN 90 DAYS OF THE FILING DATE OF THIS REPORT, THAT THE REGISTRANT'S DISCLOSURE CONTROLS AND PROCEDURES ARE REASONABLY DESIGNED TO ENSURE THAT INFORMATION REQUIRED TO BE DISCLOSED BY THE REGISTRANT ON FORM N-CSR IS RECORDED, PROCESSED, SUMMARIZED AND REPORTED WITHIN THE REQUIRED TIME PERIODS AND THAT INFORMATION REQUIRED TO BE DISCLOSED BY THE REGISTRANT IN THE REPORTS THAT IT FILES OR SUBMITS ON FORM N-CSR IS ACCUMULATED AND COMMUNICATED TO THE REGISTRANT'S MANAGEMENT, INCLUDING ITS PRINCIPAL EXECUTIVE AND PRINCIPAL FINANCIAL OFFICERS, AS APPROPRIATE TO ALLOW TIMELY DECISIONS REGARDING REQUIRED DISCLOSURE. (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 second fiscal quarter of the period covered by this 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 SECOND FISCAL QUARTER OF THE LAST FISCAL HALF-YEAR THAT HAVE MATERIALLY AFFECTED, OR ARE REASONABLY LIKELY TO MATERIALLY AFFECT, THE REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL REPORTING. ITEM 12. EXHIBITS. (a) File the exhibits listed below as part of this Form. (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. THE CODE OF ETHICS THAT IS THE SUBJECT OF THE DISCLOSURE REQUIRED BY ITEM 2 IS ATTACHED HERETO. (a)(2) A separate certification for each principal executive 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. [See General Instruction F] 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/ Stephanie J. Dorsey ------------------------------------------------------ Stephanie J. Dorsey, Treasurer Date March 10, 2005 -------------------------------------------------------------------------- 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/ Stephanie J. Dorsey ------------------------------------------------------ Stephanie J. Dorsey, Treasurer Date March 10, 2005 -------------------------------------------------------------------------- By (Signature and Title)* /s/ George C.W. Gatch ------------------------------------------------------ George C.W. Gatch, President Date March 10, 2005 -------------------------------------------------------------------------- * Print the name and title of each signing officer under his or her signature. -------------------------------------------------------------------------------