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OMB APPROVAL
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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR/A
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-7874
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JPMorgan Investment Trust (formerly One Group Investment Trust)
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(Exact name of registrant as specified in charter)
1111 Polaris Parkway, Columbus,OH 43271-1235
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(Address of principal executive offices) (Zip code)
Ms. Avery P. Maher, 522 Fifth Avenue, New York, NY 10036
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(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
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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).
WITH THIS AMENDMENT, WE HAVE ATTACHED BOTH AN AMENDED VERSION OF THE COMPLETE
REPORT TO STOCKHOLDERS WHICH WILL BE USED IN ELECTRONIC FORMATS, SUCH AS ON THE
TRUST'S WEBSITE, AND ALSO A SUPPLEMENT TO BE SENT TO CURRENT STOCKHOLDERS AND TO
BE USED WITH EXISTING PRINTED COPIES OF THE REPORT.
ANNUAL REPORT
TWELVE MONTHS ENDED DECEMBER 31, 2004
AMENDED AS OF JUNE 9, 2005
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
NOT FDIC INSURED * NO BANK GUARANTEE * MAY LOSE VALUE
This material must be preceded or accompanied by a current prospectus.
JPMORGAN LOGO
Asset Management
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
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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 14.00% 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>
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(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
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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
12/97 18627.8 19621
12/98 25859.1 25461
12/99 32432.4 34065
12/00 34310.3 37185
12/01 30656.2 34221
12/02 24485.1 27659
12/03 31132.8 36223
12/04 35059.1 41296
</Table>
AVERAGE ANNUAL TOTAL RETURN AS OF DECEMBER 31, 2004
<Table>
<Caption>
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1 Year 5 Year 10 Year
- -------------------------------------------------------------------------------------------------------
Mid Cap Growth Portfolio 12.62% 1.57% 13.37%
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S&P MidCap 400/BARRA Growth Index 14.00% 3.93% 15.24%
- -------------------------------------------------------------------------------------------------------
</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
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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 18.93% 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>
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(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 18.93% 15.48% 14.85%
- -----------------------------------------------------------------------------------------------------------------------
</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% 9.54% 15.61%
- -----------------------------------------------------------------------------------------------------------------------
</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% (9.29)% 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 11.79%.
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 11.79% (1.07)% 11.64%
- -----------------------------------------------------------------------------------------------------------------------
</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 10.87% 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 10.87% (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 10.87% (2.30)% 12.07%
- -------------------------------------------------------------------------------------------------------
Lehman Brothers Government/Credit Bond Index 4.19% 8.00% 7.80%
- -------------------------------------------------------------------------------------------------------
Lipper Balanced Funds Index 8.98% 2.95% 9.44%
- -------------------------------------------------------------------------------------------------------
</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. Collateralized 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 10000 10000
12/97 10826 10864 10763
12/98 11761.4 11808 11642
12/99 11584.9 11712 11481
12/00 13009.9 13073 12763
12/01 14161.3 14176 13729
12/02 15576 15630 14978
12/03 16178.8 16272 15307
12/04 16848.9 16978 15743
</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% 7.71% 7.30%
- ----------------------------------------------------------------------------------------------------------------------
Lipper Intermediate U.S. Government Index 2.85% 6.69% 6.21%
- ----------------------------------------------------------------------------------------------------------------------
</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
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%
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% 7.46%
- -------------------------------------------------------------------------------------------------------
Lipper General U.S. Government Fund Index 3.35% 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
</Table>
<Table>
<Caption>
SHARES
OR
PRINCIPAL
AMOUNT($) SECURITY DESCRIPTION VALUE($)
- ----------- --------------------------- -----------
COMMON STOCKS, CONTINUED:
Electronic Technology, continued:
63,200 Flextronics International
Ltd. (b) (d)............. 873,424
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
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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); Administration of the State of Financial Corp. (banking)
Trustee of Trust since Rhode Island (2003-2004); (2002-present).
2005. 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.
OGITAR-REV-0605 JPMORGAN LOGO
Asset Management
JPMORGAN INVESTMENT TRUST
(FORMERLY ONE GROUP INVESTMENT TRUST)
- --------------------------------------------------------------------------------
SUPPLEMENT DATED JUNE 9, 2005 TO THE ANNUAL REPORT FOR THE TWELVE MONTHS ENDED
DECEMBER 31, 2004
A) The information in the "Average Annual Total Returns as of December 31, 2004"
table relating to the Portfolios' benchmarks on pages 3 through 19 is deleted
and hereby replaced with the following:
<Table>
<Caption>
PORTFOLIO BENCHMARK ONE YEAR FIVE YEAR TEN YEAR SINCE INCEPTION
- ---------------------------------- ------------------------------ -------- --------- -------- ---------------
Mid Cap Growth Portfolio S&P MidCap 400/BARRA Growth
Index 14.00% 3.93% 15.24% N/A
Mid Cap Value Portfolio S&P MidCap 400/BARRA Value
Index 18.93% 15.48% N/A 14.85%(1)
Diversified Mid Cap Portfolio S&P MidCap 400 Index 16.48% 9.54% N/A 15.61%(2)
Large Cap Growth Portfolio Russell 1000 Growth Index 6.30% -9.29% 9.59% N/A
Diversified Equity Portfolio S&P SuperComposite 1500 Index 11.79% -1.07% N/A 11.64%(2)
Equity Index Portfolio S&P 500 Index 10.87% -2.30% N/A 2.82%(3)
Balanced Portfolio S&P 500 Index 10.87% -2.30% 12.07% N/A
Lipper Balanced Funds Index 8.99% 2.95% 9.44% N/A
Lehman Brothers
Government/Credit Bond Index 4.19% 8.00% 7.80% N/A
Bond Portfolio Lehman Brothers Aggregate Bond
Index 4.34% 7.71% N/A 7.30%(1)
Lipper Intermediate U.S.
Government Index 2.85% 6.69% N/A 6.21%(1)
Government Bond Portfolio Lehman Brothers Government
Bond Index 3.48% 7.47% 7.46% N/A
Lipper General U.S. Government
Fund Index 3.35% 6.65% 6.56% N/A
</Table>
Corresponding information in the "Portfolio Performance Review" is also revised
accordingly.
B) In the "Value of $10,000 Investment" graph, the final value of an index for
two of the Portfolios is revised as follows:
- On page 3, in the graph for the Mid Cap Value Portfolio, the final
value of the S&P MidCap 400/BARRA Growth Index should be $41,296
instead of $43,086.
- On page 17, in the graph for the Bond Portfolio, the final value of
the Lehman Brothers Aggregate Bond Index should be $15,743 instead of
$15,313.
- ------------
(1) Inception date is May 1, 1997
(2) Inception date is March 30, 1995
(3) Inception date is May 1, 1998
SUP-OGITAR-REV-605
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.
SIGNATURES
[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) JPMorgan Investment Trust (formerly One Group Investment Trust)
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By (Signature and Title)* /s/ George C.W. Gatch
-----------------------------------------------------
George C.W. Gatch, President
(Principal Executive Officer)
Date June 9, 2005
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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/ George C.W. Gatch
-----------------------------------------------------
George C. W. Gatch, President
(Principal Executive Officer)
Date June 9, 2005
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By (Signature and Title)* /s/ Suzanne E. Cioffi
-----------------------------------------------------
Suzanne E. Cioffi, Assistant Treasurer
(Principal Financial Officer)
Date June 9, 2005
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* Print the name and title of each signing officer under his or her signature.
------------------------------------------------------------------
(ATTACH SECTION 302 CERTIFICATION AS EDGAR
EX-99.CERT EXHIBIT DOCUMENT TO FORM N-CSR)
(ATTACH SECTION 906 CERTIFICATION AS
EDGAR EX-99.906CERT EXHIBIT DOCUMENT TO FORM N-CSR)