UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-03015
Ohio National Fund, Inc.
(Exact name of registrant as specified in charter)
One Financial Way, Cincinnati, Ohio | 45242 |
(Address of principal executive offices) | (Zip Code) |
CT Corporation 300 E. Lombard St., Suite 1400 Baltimore, MD 21202
(Name and address of agent for service)
Registrant’s telephone number, including area code: 513-794-6971
Date of fiscal year end: December 31
Date of reporting period: December 31, 2017
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. § 3507.
Item 1. Reports To Stockholders.
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The following pages contain Performance, Comments from Adviser/Sub-Adviser, Change in Value of $10,000 Investment, Portfolio Composition, Top Holdings (all of which are unaudited), and Schedule of Investments (audited) for each of the Fund’s Portfolios: | ||||
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ON International Equity Portfolio (formerly the International Portfolio) | 22 | |||
ON Foreign Portfolio (formerly the International Small-Mid Company Portfolio) | 28 | |||
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Dear Investor,
The year 2017 ended as it began, strong. The market, fueled by a perfect trifecta of low inflation, global economic expansion and favorable monetary policies, set the stage for double-digit gains across both domestic and international equity indices. For U.S. equities, the bull market run continued throughout the year. Consistency was the story, as equities had positive returns in every month of 2017. Globally, international markets were boosted by a strengthening Eurozone, investor enthusiasm for technology stocks and China holding strong. Low inflation was the key driver for bonds, which also posted overall positive returns.
Despite natural disasters and a volatile political landscape to start the year, the U.S. economy grew at a solid pace throughout the second half of 2017. Third quarter Gross Domestic Product (GDP) came in at a healthy rate of 3.2% following 3.1% growth in the second quarter. December saw a weaker than expected jobs report, but overall unemployment posted a 17-year low at 4.1%. Interest rates are showing signs of upward movement, but they remain low by historical standards, and inflation remains low with the Consumer Price Index (CPI) at 2.1%.
Equity Markets
The U.S. equity markets saw a strong first half, driven by speculation that a Trump administration would deliver policy changes to fuel the economy. Despite some anticipated policies not coming to fruition, strong earnings growth provided support for growing investor confidence and rising domestic markets throughout the year. The S&P 500® Index returned a robust 21.8%, with significant differences between sectors. The Russell 1000 Growth Index, which measures domestic large cap growth stocks,
returned an impressive 30.2% for the year. In contrast, the Russell 2000 Value Index, which measures domestic small cap value stocks, returned 7.8% in 2017.
The international markets were not to be outdone. Similar to the U.S. markets, consistency was the theme, with all major regions posting positive returns. Emerging markets were poised for growth coming off momentum in the latter part of 2016. With technology and financial stocks leading the way, the MSCI Emerging Market Index soared to 37.2% for the year. The re-emergence of Europe and Japan helped drive strong performance from developing markets as the MSCI EAFE Index returned a robust 25%.
Fixed Income Markets
A strong global economy, which is often accompanied by inflation, can prove difficult for fixed income markets. However, 2017 was not a typical market and, with the support of low inflation, fixed income posted gains. High yield was the darling of fixed income, with the Bloomberg Barclays US Corporate High Yield Bond Index returning 7.5%, while the Bloomberg Barclays US Aggregate Bond Index returned 3.54%. Global bonds were also a standout, with the Bloomberg Barclays Global Aggregate Unhedged Index returning 7.4%.
In the U.S., with continued expectations for normalization of monetary policies, we saw a flattening of the yield curve, characterized by higher short-term rates and lower long-term rates. As anticipated, the Federal Reserve (Fed) raised rates at the March and June Federal Open Market Committee (FOMC) meetings and increased rates for a
1 |
third time at the December meeting. Over the year, the upper bound to the Fed Funds target rate rose from 0.75% to 1.50%. The median forecast is for three more Fed rate hikes of 0.25% each in 2018.
As leadership changes with a new Federal Reserve Chair, there will be close scrutiny of the Fed’s actions to glean policy implications and, in turn, the effect on markets and interest rates.
Looking Ahead
As we begin 2018, the market fundamentals appear positive with continued global economic expansion, healthy corporate profits and supportive monetary policies. That said, it would seem unusual for the markets to repeat the stellar returns of 2017. As history suggests, the more mature the expansion, the greater the risk of retraction. Headwinds such as geopolitical risks, further
tightening from the Federal Reserve Board and a rise in inflation could disrupt the markets. With a cautiously optimistic outlook for 2018, it will be important for investors to have a disciplined approach and understand the trade-off between risk and reward.
Thank you for entrusting your assets to the Ohio National Fund, Inc. We look forward to continuing to serve your financial needs.
Sincerely,
Michael J. DeWeirdt, CFA, FRM
President
2 |
Ohio National Fund, Inc.
| Equity Portfolio (Unaudited) |
Objective/Strategy
The Equity Portfolio seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its assets in equity securities.
Performance as of December 31, 2017
Average Annual returns | ||||
One year | 14.66 | % | ||
Five years | 14.35 | % | ||
Ten years | 4.01 | % |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Total expense ratio is 0.82% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2017 can be found in the Portfolio’s Financial Highlights.
Comments from Sub-Adviser
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A. For the year ended December 31, 2017, the Equity Portfolio returned 14.66% versus 21.83% for its benchmark, the S&P 500 Index.
Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?
A. Our valuation-driven process is focused on buying stocks when prices are below business value, and subsequent convergence of price and value is inherently a longer-term strategy. As a result, our investment discipline is not optimal for momentum-driven markets propelled by shorter-term factors. Specifically, 2017 relative performance suffered from underweighting mega-cap stocks, primarily the so-called FAANG stocks (Facebook, Inc., Amazon.com, Inc., Apple, Inc., Netflix, Inc., and Alphabet, Inc.), which powered the rally at the benchmark level. We were also overweight Health Care stocks that we believe represent good long-term value, but those stocks suffered from continued pricing pressure and some specific pipeline disappointments. (1)
From a macro perspective, the performance dominance of momentum and growth as a style over value is being supported by continued low interest rates, despite faster global growth. If interest rates had continued to normalize, we believe the market would have been more balanced in favor of valuation-driven strategies like ours.
Q. How did sector allocation and security selection each impact the Portfolio’s performance relative to its benchmark? For sector allocation, were there any factors that impacted the benchmark’s performance more significantly than the Portfolio’s performance? For stock selection, was there anything specific regarding the Portfolio’s strategy that caused deviation from the benchmark?
A. Stock selection was the primary detractor from the Portfolio’s benchmark-relative performance. Stock selection in the Health Care, Industrials, and Energy sectors detracted the most from relative
performance. The Portfolio’s underweight to the Information Technology sector also detracted from returns. Meanwhile, stock selection in the Consumer Discretionary sector contributed to relative performance, as did underweight allocations to the Consumer Staples and Telecommunication Services sectors. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. Alphabet, Inc. Class C (“Alphabet”) was a top contributor to Portfolio performance in 2017, as the stock enjoyed continued robust growth in its core search business. Alphabet is also seen as a leader in artificial intelligence, machine learning and cloud computing, which are viewed as key long-term growth drivers that were fully embraced by investors in 2017. (1)
PulteGroup, Inc. was another top contributor, and one of the best-performing stocks in the S&P 500 Index. PulteGroup, Inc.’s performance was driven by a continued recovery in the housing sector, where home price appreciation has driven up profit margins and cash flows, which the company’s management used to buy back stock. (1)
Apache Corp. was a top detractor from performance, as the Energy sector was the worst-performing sector, despite higher energy prices. The specific concern of Apache Corp. is that early production in its new oil and gas field, the Alpine High, is leaning more heavily toward a gas mix, which investors value less than oil. (1)
Allergan PLC was another top detractor, as its second-largest product, Restasis, faced a patent challenge that lowered 2018 earnings expectations. In addition, investors reduced their confidence in the value of Allergan PLC’s long-term pipeline after setbacks at other companies. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2017. |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The S&P 500 Index is a capitalization-weighted index designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. The index presented includes the effects of reinvested dividends.
3 | (continued) |
Ohio National Fund, Inc. | Equity Portfolio (Unaudited) (Continued) |
Portfolio Composition as of December 31, 2017 (1)
% of Net Assets | ||||
Common Stocks (4) | 98.2 | |||
Money Market Funds and Other Net Assets | 1.8 | |||
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100.0 | ||||
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Top 10 Portfolio Holdings as of December 31, 2017 (1) (2) (3)
% of Net Assets | ||||||
1. | Alphabet, Inc. Class C | 5.1 | ||||
2. | Synchrony Financial | 4.4 | ||||
3. | Microsoft Corp. | 4.3 | ||||
4. | Wells Fargo & Co. | 3.8 | ||||
5. | Oracle Corp. | 3.7 | ||||
6. | Allergan PLC | 3.3 | ||||
7. | Cisco Systems, Inc. | 2.8 | ||||
8. | Mylan N.V. | 2.7 | ||||
9. | AutoZone, Inc. | 2.7 | ||||
10. | Kinder Morgan, Inc. | 2.6 |
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. |
(3) | Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher. |
(4) | Sectors (Common Stocks): |
% of Net Assets | ||||
Financials | 19.8 | |||
Information Technology | 17.3 | |||
Consumer Discretionary | 13.6 | |||
Health Care | 12.9 | |||
Industrials | 12.1 | |||
Energy | 9.8 | |||
Utilities | 4.2 | |||
Real Estate | 3.8 | |||
Consumer Staples | 3.0 | |||
Materials | 1.7 | |||
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98.2 | ||||
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4 |
Ohio National Fund, Inc. | Equity Portfolio |
Schedule of Investments | December 31, 2017 |
Common Stocks – 98.2% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 13.6% | ||||||||||
Adient PLC (Auto Components) | 141,652 | $ | 11,148,012 | |||||||
AutoZone, Inc. (Specialty Retail) | (a) | 21,430 | 15,244,659 | |||||||
CBS Corp. Class B (Media) | 104,721 | 6,178,539 | ||||||||
Hanesbrands, Inc. (Textiles, Apparel & Luxury Goods) | 258,416 | 5,403,479 | ||||||||
Lowe’s Cos., Inc. (Specialty Retail) | 135,500 | 12,593,370 | ||||||||
O’Reilly Automotive, Inc. (Specialty Retail) | (a) | 24,825 | 5,971,406 | |||||||
PulteGroup, Inc. (Household Durables) | 241,521 | 8,030,573 | ||||||||
ServiceMaster Global Holdings, Inc. (Diversified Consumer Svs.) | (a) | 136,432 | 6,994,869 | |||||||
Signet Jewelers Ltd. (Specialty Retail) | 120,093 | 6,791,259 | ||||||||
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78,356,166 | ||||||||||
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CONSUMER STAPLES – 3.0% | ||||||||||
Molson Coors Brewing Co. Class B (Beverages) . | 85,890 | 7,048,992 | ||||||||
Mondelez International, Inc. Class A (Food Products) | 239,676 | 10,258,133 | ||||||||
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17,307,125 | ||||||||||
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ENERGY – 9.8% | ||||||||||
Apache Corp. (Oil, Gas & Consumable Fuels) | 244,921 | 10,340,565 | ||||||||
Devon Energy Corp. (Oil, Gas & Consumable Fuels) | 216,760 | 8,973,864 | ||||||||
Kinder Morgan, Inc. (Oil, Gas & Consumable Fuels) | 832,470 | 15,042,733 | ||||||||
Pioneer Natural Resources Co. (Oil, Gas & Consumable Fuels) | 78,857 | 13,630,432 | ||||||||
Plains GP Holdings LP Class A (Oil, Gas & Consumable Fuels) | 362,460 | 7,955,997 | ||||||||
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55,943,591 | ||||||||||
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FINANCIALS – 19.8% | ||||||||||
Brighthouse Financial, Inc. (Insurance) | (a) | 95,009 | 5,571,328 | |||||||
Citigroup, Inc. (Banks) | 191,954 | 14,283,297 | ||||||||
Hartford Financial Services Group, Inc. / The (Insurance) | 102,450 | 5,765,886 | ||||||||
Intercontinental Exchange, Inc. (Capital Markets) | 189,812 | 13,393,135 | ||||||||
MetLife, Inc. (Insurance) | 144,429 | 7,302,330 | ||||||||
Synchrony Financial (Consumer Finance) | 649,690 | 25,084,531 | ||||||||
Voya Financial, Inc. (Diversified Financial Svs.) | 213,399 | 10,556,849 | ||||||||
Wells Fargo & Co. (Banks) | 363,220 | 22,036,557 | ||||||||
XL Group Ltd. (Insurance) | 283,614 | 9,971,868 | ||||||||
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113,965,781 | ||||||||||
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HEALTH CARE – 12.9% | ||||||||||
Alexion Pharmaceuticals, Inc. (Biotechnology) | (a) | 104,231 | 12,464,985 | |||||||
Allergan PLC (Pharmaceuticals) | 115,430 | 18,882,040 | ||||||||
Bristol-Myers Squibb Co. (Pharmaceuticals) | 91,280 | 5,593,638 | ||||||||
Celgene Corp. (Biotechnology) | (a) | 139,424 | 14,550,289 | |||||||
Mylan N.V. (Pharmaceuticals) | (a) | 365,449 | 15,462,147 | |||||||
Universal Health Services, Inc. Class B (Health Care Providers & Svs.) | 64,166 | 7,273,216 | ||||||||
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74,226,315 | ||||||||||
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Common Stocks (Continued) | Shares | Value | ||||||||
INDUSTRIALS – 12.1% | ||||||||||
AECOM (Construction & Engineering) | (a) | 224,850 | $ | 8,353,178 | ||||||
C.H. Robinson Worldwide, Inc. (Air Freight & Logistics) | 129,380 | 11,526,464 | ||||||||
Delta Air Lines, Inc. (Airlines) | 233,024 | 13,049,344 | ||||||||
Fluor Corp. (Construction & Engineering) | 147,131 | 7,599,316 | ||||||||
Johnson Controls International PLC (Building Products) | 256,620 | 9,779,788 | ||||||||
Stericycle, Inc. (Commercial Svs. & Supplies) | (a) | 140,810 | 9,573,672 | |||||||
TransDigm Group, Inc. (Aerospace & Defense) | 35,220 | 9,672,116 | ||||||||
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69,553,878 | ||||||||||
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INFORMATION TECHNOLOGY – 17.3% | ||||||||||
Alphabet, Inc. Class C (Internet Software & Svs.) | (a) | 28,184 | 29,491,737 | |||||||
Cisco Systems, Inc. (Communications Equip.) | 417,836 | 16,003,119 | ||||||||
Microsoft Corp. (Software) | 288,220 | 24,654,339 | ||||||||
Oracle Corp. (Software) | 451,559 | 21,349,709 | ||||||||
QUALCOMM, Inc. (Semiconductors & Equip.) | 119,932 | 7,678,047 | ||||||||
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99,176,951 | ||||||||||
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MATERIALS – 1.7% | ||||||||||
Royal Gold, Inc. (Metals & Mining) | 119,763 | 9,834,938 | ||||||||
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REAL ESTATE – 3.8% | ||||||||||
American Homes 4 Rent Class A (Equity REIT) | 402,931 | 8,800,013 | ||||||||
Realogy Holdings Corp. (Real Estate Mgmt. & Development) | 497,851 | 13,193,051 | ||||||||
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21,993,064 | ||||||||||
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UTILITIES – 4.2% | ||||||||||
AES Corp. (Ind. Power & Renewable Elec.) | 864,115 | 9,358,365 | ||||||||
Exelon Corp. (Electric Utilities) | 375,870 | 14,813,037 | ||||||||
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24,171,402 | ||||||||||
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Total Common Stocks | $ | 564,529,211 | ||||||||
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Money Market Funds – 1.6% | Shares | Value | ||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 9,363,408 | $ | 9,362,472 | |||||||
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Total Money Market Funds (Cost $9,363,736) | $ | 9,362,472 | ||||||||
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Total Investments – 99.8% (Cost $499,338,708) | (b) | $ | 573,891,683 | |||||||
Other Assets in Excess of Liabilities – 0.2% | 988,214 | |||||||||
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Net Assets – 100.0% | $ | 574,879,897 | ||||||||
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Percentages are stated as a percent of net assets.
Footnotes:
(a) | Non-income producing security. |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
5 |
Ohio National Fund, Inc. |
|
Objective/Strategy
The Bond Portfolio seeks to obtain a high level of income and opportunity for capital appreciation consistent with the preservation of capital by investing, under normal circumstances, at least 80% of its assets in corporate debt securities.
Performance as of December 31, 2017
Average Annual returns | ||||
One year | 6.17% | |||
Five years | 3.11% | |||
Ten years | 4.38% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Total expense ratio is 0.65% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2017 can be found in the Portfolio’s Financial Highlights.
Comments from Adviser
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A. For the year ended December 31, 2017, the Bond Portfolio returned 6.17% versus 6.47% for its benchmark, the BofA Merrill Lynch U.S. Corporate Master Index.
Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?
A. The yield curve flattened in 2017, as the Federal Reserve increased short term rates. The 2-year Treasury rate increased 70 basis points, while the 30-year Treasury rate decreased 33 basis points. In this environment, longer duration bonds outperformed shorter duration bonds, in general. In addition, corporate bond credit spreads tightened during the year. Lower quality rated bonds outperformed higher quality rated bonds during the year. From an investment strategy perspective, the Portfolio was positioned with a slightly lower duration and slightly lower credit quality than the benchmark. (1)
Q. How did sector allocation and security selection each impact the Portfolio’s performance relative to its benchmark? For sector allocation, were there any factors that impacted the benchmark’s performance more significantly than the Portfolio’s performance? For stock selection, was there anything specific regarding the Fund’s strategy that caused deviation from the benchmark?
A. The Portfolio was overweight the Energy sector versus the benchmark for most of the year, and underweight the Consumer Staples sector. Other sector weightings, versus the benchmark, were not significant. In terms of performance attribution, no sector added or detracted from performance by more than 0.30% compared to the benchmark. The Portfolio’s Energy and Financial sectors contributed the most to positive performance compared to the benchmark. The Portfolio’s Utilities sector
detracted the most from performance versus the benchmark. In each case, security selection within the sector accounted for the majority of the sector performance versus the benchmark, rather than the sector weighting. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. The top three contributors to the Portfolio’s performance relative to the benchmark were Marathon Petroleum Corp. 4.750% due 09/15/2044, Williams Partners LP 5.400% due 03/04/2044, and Shell International Finance BV 4.000% due 05/10/2046. These bonds are longer duration bonds in the Energy sector, which performed well with the decline in longer term interest rates and experienced spread tightening during the period. The top three detractors to the Portfolio’s performance relative to the benchmark were Noble Holding International Ltd. 7.700% due 04/01/2025, Lloyds Banking Group PLC 3.750% due 01/11/2027, and Bank of Montreal 3.803% due 12/15/2032. Noble Corp PLC and Lloyds Banking Group PLC experienced spread widening during the period they were held in the Portfolio. The decline in Bank of Montreal bonds was due to a rise in interest rates during the time it was held in the Portfolio. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2017. |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The BofA Merrill Lynch U.S. Corporate Master Index tracks the performance of all U.S. dollar-denominated, investment grade corporate public debt issued in the U.S. domestic bond market. Qualifying bonds must have an investment grade rating (based on an average of Moody’s, S&P, and Fitch). In addition, qualifying securities must have at least one year remaining term to maturity, a fixed coupon schedule, and a minimum amount outstanding of $250 million.
6 | (continued) |
Ohio National Fund, Inc. | Bond Portfolio (Unaudited) (Continued) |
Portfolio Composition as of December 31, 2017 (1) |
% of Net Assets | ||||
Corporate Bonds (4) | 90.8 | |||
U.S. Treasury Obligations | 2.9 | |||
Asset-Backed Securities (4) | 2.5 | |||
Money Market Funds and Other Net Assets | 3.8 | |||
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100.0 | ||||
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Top 10 Portfolio Holdings as of December 31, 2017 (1) (2) (3) |
% of Net Assets | ||||||||
1. | American Tower Corp. | 1.9 | ||||||
3.000%, 06/15/2023 | ||||||||
2. | J.M. Smucker Co. / The | 1.6 | ||||||
3.375%, 12/15/2027 | ||||||||
3. | Westpac Banking Corp. | 1.6 | ||||||
QL + 57, 01/11/2023 | ||||||||
4. | Vornado Realty LP | 1.6 | ||||||
3.500%, 01/15/2025 | ||||||||
5. | Deutsche Bank AG | 1.5 | ||||||
2.700%, 07/13/2020 | ||||||||
6. | U.S. Treasury Note | 1.5 | ||||||
2.000%, 11/15/2026 | ||||||||
7. | Federal Realty Investment Trust | 1.5 | ||||||
3.250%, 07/15/2027 | ||||||||
8. | Baker Hughes, a GE Co. LLC / Baker | 1.3 | ||||||
Hughes Co-Obligor, Inc. | ||||||||
4.080%, 12/15/2047 | ||||||||
9. | Aircastle Ltd. | 1.3 | ||||||
4.125%, 05/01/2024 | ||||||||
10. | Andeavor | 1.2 | ||||||
3.800%, 04/01/2028 |
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. |
(3) | Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher. |
(4) | Sectors (Corporate Bonds, Asset-Backed Securities): |
% of Net Assets | ||||
Financials | 24.5 | |||
Energy | 11.7 | |||
Real Estate | 10.5 | |||
Industrials | 9.2 | |||
Materials | 7.8 | |||
Utilities | 7.6 | |||
Consumer Discretionary | 7.5 | |||
Consumer Staples | 4.6 | |||
Health Care | 4.2 | |||
Information Technology | 4.1 | |||
Telecommunication Services | 1.6 | |||
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93.3 | ||||
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7 |
Ohio National Fund, Inc. | Bond Portfolio |
Schedule of Investments | December 31, 2017 |
Corporate Bonds – 90.8% | Rate | Maturity | Face Amount | Value | ||||||||||||
CONSUMER DISCRETIONARY – 7.5% | ||||||||||||||||
21st Century Fox America, Inc. (Media) | 4.500% | 02/15/2021 | $1,250,000 | $ | 1,321,034 | |||||||||||
Amazon.com, Inc. (Internet & Direct Marketing Retail) | (a) | 3.875% | 08/22/2037 | 900,000 | 954,265 | |||||||||||
Comcast Corp. (Media) | 4.250% | 01/15/2033 | 750,000 | 816,962 | ||||||||||||
Cox Communications, Inc. (Media) | (a) | 3.350% | 09/15/2026 | 900,000 | 879,278 | |||||||||||
Discovery Communications, LLC (Media) | 4.375% | 06/15/2021 | 1,000,000 | 1,046,088 | ||||||||||||
Discovery Communications, LLC (Media) | 3.950% | 03/20/2028 | 900,000 | 894,916 | ||||||||||||
Expedia, Inc. (Internet & Direct Marketing Retail) | 5.000% | 02/15/2026 | 3,000,000 | 3,206,300 | ||||||||||||
General Motors Co. (Automobiles) | 5.000% | 04/01/2035 | 900,000 | 953,141 | ||||||||||||
Hasbro, Inc. (Leisure Products) | 3.500% | 09/15/2027 | 2,000,000 | 1,954,009 | ||||||||||||
Kohl’s Corp. (Multiline Retail) | 4.000% | 11/01/2021 | 925,000 | 951,423 | ||||||||||||
Lear Corp. (Auto Components) | 3.800% | 09/15/2027 | 3,000,000 | 3,001,689 | ||||||||||||
Magna International, Inc. (Auto Components) | 3.625% | 06/15/2024 | 1,000,000 | 1,033,782 | ||||||||||||
Newell Brands, Inc. (Household Durables) | 3.150% | 04/01/2021 | 900,000 | 909,986 | ||||||||||||
Priceline Group, Inc. / The (Internet & Direct Marketing Retail) | 3.550% | 03/15/2028 | 3,000,000 | 2,970,750 | ||||||||||||
Sirius XM Radio, Inc. (Media) | (a) | 5.375% | 04/15/2025 | 1,000,000 | 1,041,250 | |||||||||||
Time Warner Cable, LLC (Media) | 6.550% | 05/01/2037 | 850,000 | 999,018 | ||||||||||||
Wyndham Worldwide Corp. (Hotels, Restaurants & Leisure) | 4.150% | 04/01/2024 | 900,000 | 904,032 | ||||||||||||
23,837,923 | ||||||||||||||||
CONSUMER STAPLES – 4.6% | ||||||||||||||||
Anheuser-Busch InBev Finance, Inc. (Beverages) | 4.700% | 02/01/2036 | 2,000,000 | 2,242,908 | ||||||||||||
Anheuser-Busch InBev Finance, Inc. (Beverages) | 4.900% | 02/01/2046 | 1,000,000 | 1,157,958 | ||||||||||||
B.A.T. Capital Corp. (Tobacco) | (a) | 4.390% | 08/15/2037 | 3,000,000 | 3,136,272 | |||||||||||
Costco Wholesale Corp. (Food & Staples Retailing) | 3.000% | 05/18/2027 | 900,000 | 901,047 | ||||||||||||
J.M. Smucker Co. / The (Food Products) | 3.375% | 12/15/2027 | 5,000,000 | 5,005,120 | ||||||||||||
Mead Johnson Nutrition Co. (Food Products) | 3.000% | 11/15/2020 | 900,000 | 913,413 | ||||||||||||
Philip Morris International, Inc. (Tobacco) | 4.125% | 05/17/2021 | 1,250,000 | 1,312,395 | ||||||||||||
14,669,113 | ||||||||||||||||
ENERGY – 11.7% | ||||||||||||||||
Andeavor (Oil, Gas & Consumable Fuels) | 3.800% | 04/01/2028 | 4,000,000 | 4,008,345 | ||||||||||||
Andeavor (Oil, Gas & Consumable Fuels) | 4.500% | 04/01/2048 | 2,000,000 | 2,020,820 | ||||||||||||
Baker Hughes, a GE Co. LLC / Baker Hughes Co-Obligor, Inc. (Energy Equip. & Svs.) | (a) | 4.080% | 12/15/2047 | 4,000,000 | 4,064,376 | |||||||||||
BP Capital Markets PLC (Oil, Gas & Consumable Fuels) | 3.017% | 01/16/2027 | 900,000 | 891,694 | ||||||||||||
Buckeye Partners LP (Oil, Gas & Consumable Fuels) | 4.875% | 02/01/2021 | 1,000,000 | 1,051,716 | ||||||||||||
Canadian Natural Resources Ltd. (Oil, Gas & Consumable Fuels) | 4.950% | 06/01/2047 | 3,000,000 | 3,354,409 | ||||||||||||
Chevron Corp. (Oil, Gas & Consumable Fuels) | 2.895% | 03/03/2024 | 900,000 | 907,807 | ||||||||||||
Columbia Pipeline Group, Inc. (Oil, Gas & Consumable Fuels) | 4.500% | 06/01/2025 | 900,000 | 958,051 | ||||||||||||
Exxon Mobil Corp. (Oil, Gas & Consumable Fuels) | 4.114% | 03/01/2046 | 900,000 | 1,004,370 | ||||||||||||
Halliburton Co. (Energy Equip. & Svs.) | 4.850% | 11/15/2035 | 900,000 | 1,008,981 | ||||||||||||
Kinder Morgan Energy Partners LP (Oil, Gas & Consumable Fuels) | 2.650% | 02/01/2019 | 1,400,000 | 1,402,416 | ||||||||||||
Kinder Morgan Energy Partners LP (Oil, Gas & Consumable Fuels) | 4.150% | 03/01/2022 | 1,000,000 | 1,037,909 | ||||||||||||
Kinder Morgan, Inc. (Oil, Gas & Consumable Fuels) | 5.300% | 12/01/2034 | 1,000,000 | 1,066,106 | ||||||||||||
Marathon Oil Corp. (Oil, Gas & Consumable Fuels) | 3.850% | 06/01/2025 | 850,000 | 865,042 | ||||||||||||
Marathon Petroleum Corp. (Oil, Gas & Consumable Fuels) | 4.750% | 09/15/2044 | 1,000,000 | 1,043,947 | ||||||||||||
Murphy Oil Corp. (Oil, Gas & Consumable Fuels) | 4.450% | 12/01/2022 | 1,400,000 | 1,405,250 | ||||||||||||
Noble Holding International Ltd. (Energy Equip. & Svs.) | 5.750% | 03/16/2018 | 900,000 | 902,250 | ||||||||||||
Noble Holding International Ltd. (Energy Equip. & Svs.) | 7.700% | 04/01/2025 | 1,000,000 | 840,000 | ||||||||||||
ONEOK, Inc. (Oil, Gas & Consumable Fuels) | 6.000% | 06/15/2035 | 1,000,000 | 1,142,630 | ||||||||||||
Shell International Finance BV (Oil, Gas & Consumable Fuels) | 4.000% | 05/10/2046 | 900,000 | 957,625 | ||||||||||||
Spectra Energy Capital, LLC (Oil, Gas & Consumable Fuels) | 3.300% | 03/15/2023 | 1,425,000 | 1,421,614 | ||||||||||||
TransCanada PipeLines Ltd. (Oil, Gas & Consumable Fuels) | 2.500% | 08/01/2022 | 1,425,000 | 1,415,756 | ||||||||||||
Transocean, Inc. (Energy Equip. & Svs.) | (a) | 9.000% | 07/15/2023 | 1,000,000 | 1,081,250 | |||||||||||
Williams Partners LP (Oil, Gas & Consumable Fuels) | 3.350% | 08/15/2022 | 1,000,000 | 1,010,099 | ||||||||||||
Williams Partners LP (Oil, Gas & Consumable Fuels) | 3.750% | 06/15/2027 | 1,000,000 | 1,001,794 | ||||||||||||
Williams Partners LP (Oil, Gas & Consumable Fuels) | 5.400% | 03/04/2044 | 1,000,000 | 1,121,467 | ||||||||||||
36,985,724 | ||||||||||||||||
FINANCIALS – 24.5% | ||||||||||||||||
Aflac, Inc. (Insurance) | 3.625% | 06/15/2023 | 1,425,000 | 1,479,586 | ||||||||||||
American Express Co. (Consumer Finance) | 2.650% | 12/02/2022 | 2,000,000 | 1,985,807 | ||||||||||||
American International Group, Inc. (Insurance) | 3.875% | 01/15/2035 | 2,400,000 | 2,407,425 | ||||||||||||
Banco Santander Chile (Banks) | (a) | 2.500% | 12/15/2020 | 2,000,000 | 1,996,000 | |||||||||||
Bank of America Corp. (Banks) | (b) | 2.369% | 07/21/2021 | 1,000,000 | 998,182 | |||||||||||
Bank of America Corp. (Banks) | 3.875% | 08/01/2025 | 850,000 | 896,388 | ||||||||||||
Bank of America Corp. (Banks) | (b) | 4.244% | 04/24/2038 | 1,000,000 | 1,083,722 | |||||||||||
Bank of Montreal (Banks) | (b) | 3.803% | 12/15/2032 | 2,800,000 | 2,768,164 | |||||||||||
Bank of New York Mellon Corp. / The (Capital Markets) | 3.300% | 08/23/2029 | 3,000,000 | 2,989,477 | ||||||||||||
Berkshire Hathaway, Inc. (Diversified Financial Svs.) | 3.125% | 03/15/2026 | 900,000 | 909,946 | ||||||||||||
Branch Banking & Trust Co. (Banks) | (b) | QL + 22 | 06/01/2020 | 3,000,000 | 2,992,275 |
8 | (continued) |
Ohio National Fund, Inc. | Bond Portfolio (Continued) |
Schedule of Investments | December 31, 2017 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||
FINANCIALS (continued) | ||||||||||||||||
Branch Banking & Trust Co. (Banks) | 3.625% | 09/16/2025 | $1,180,000 | $ | 1,222,980 | |||||||||||
Capital One Financial Corp. (Consumer Finance) | 2.450% | 04/24/2019 | 3,000,000 | 3,006,770 | ||||||||||||
Charles Schwab Corp. / The (Capital Markets) | 3.200% | 01/25/2028 | 4,000,000 | 4,005,049 | ||||||||||||
Citigroup, Inc. (Banks) | 5.375% | 08/09/2020 | 1,100,000 | 1,179,709 | ||||||||||||
Citigroup, Inc. (Banks) | 4.400% | 06/10/2025 | 2,000,000 | 2,110,576 | ||||||||||||
Citigroup, Inc. (Banks) | 3.700% | 01/12/2026 | 1,000,000 | 1,029,247 | ||||||||||||
Deutsche Bank AG (Capital Markets) | 2.700% | 07/13/2020 | 5,000,000 | 4,975,185 | ||||||||||||
E*TRADE Financial Corp. (Capital Markets) | 2.950% | 08/24/2022 | 1,800,000 | 1,784,570 | ||||||||||||
Ford Motor Credit Co., LLC (Consumer Finance) | 2.943% | 01/08/2019 | 515,000 | 518,212 | ||||||||||||
Ford Motor Credit Co., LLC (Consumer Finance) | 3.157% | 08/04/2020 | 1,400,000 | 1,417,003 | ||||||||||||
General Motors Financial Co., Inc. (Consumer Finance) | 3.200% | 07/06/2021 | 900,000 | 908,695 | ||||||||||||
General Motors Financial Co., Inc. (Consumer Finance) | 4.350% | 01/17/2027 | 1,000,000 | 1,039,769 | ||||||||||||
Goldman Sachs Group, Inc. / The (Capital Markets) | 3.750% | 05/22/2025 | 1,400,000 | 1,442,021 | ||||||||||||
Intercontinental Exchange, Inc. (Capital Markets) | 2.750% | 12/01/2020 | 900,000 | 908,595 | ||||||||||||
Intercontinental Exchange, Inc. (Capital Markets) | 3.750% | 12/01/2025 | 1,000,000 | 1,049,309 | ||||||||||||
Jefferies Group LLC / Jefferies Group Capital Finance, Inc. (Diversified Financial Svs.) | 4.850% | 01/15/2027 | 1,800,000 | 1,913,131 | ||||||||||||
JPMorgan Chase & Co. (Banks) | 3.900% | 07/15/2025 | 2,023,000 | 2,120,304 | ||||||||||||
JPMorgan Chase & Co. (Banks) | 3.625% | 12/01/2027 | 1,800,000 | 1,818,854 | ||||||||||||
Marsh & McLennan Cos., Inc. (Insurance) | 3.500% | 06/03/2024 | 1,400,000 | 1,446,230 | ||||||||||||
Morgan Stanley (Capital Markets) | 3.750% | 02/25/2023 | 1,250,000 | 1,295,266 | ||||||||||||
Morgan Stanley (Capital Markets) | (b) | QL +140 | 10/24/2023 | 1,260,000 | 1,295,844 | |||||||||||
Morgan Stanley (Capital Markets) | 3.950% | 04/23/2027 | 1,000,000 | 1,015,191 | ||||||||||||
Nasdaq, Inc. (Capital Markets) | 3.850% | 06/30/2026 | 2,000,000 | 2,053,071 | ||||||||||||
Northern Trust Corp. (Capital Markets) | 3.450% | 11/04/2020 | 1,000,000 | 1,029,713 | ||||||||||||
Progressive Corp. / The (Insurance) | 2.450% | 01/15/2027 | 900,000 | 860,259 | ||||||||||||
Santander Holdings U.S.A., Inc. (Banks) | (a) | 3.400% | 01/18/2023 | 3,000,000 | 2,987,890 | |||||||||||
Synchrony Financial (Consumer Finance) | 2.600% | 01/15/2019 | 2,000,000 | 2,003,663 | ||||||||||||
Synchrony Financial (Consumer Finance) | 4.250% | 08/15/2024 | 900,000 | 932,980 | ||||||||||||
Teachers Insurance & Annuity Association of America (Insurance) | (a) | 4.270% | 05/15/2047 | 900,000 | 950,893 | |||||||||||
Wells Fargo & Co. (Banks) | 3.000% | 04/22/2026 | 900,000 | 882,753 | ||||||||||||
Wells Fargo & Co. (Banks) | 4.650% | 11/04/2044 | 1,000,000 | 1,089,537 | ||||||||||||
Westpac Banking Corp. (Banks) | (b) | QL + 57 | 01/11/2023 | 5,000,000 | 4,996,500 | |||||||||||
Westpac Banking Corp. (Banks) | (b) | 4.322% | 11/23/2031 | 1,800,000 | 1,854,061 | |||||||||||
|
| |||||||||||||||
77,650,802 | ||||||||||||||||
|
| |||||||||||||||
HEALTH CARE – 4.2% | ||||||||||||||||
AbbVie, Inc. (Biotechnology) | 2.900% | 11/06/2022 | 2,850,000 | 2,855,417 | ||||||||||||
Amgen, Inc. (Biotechnology) | 4.100% | 06/15/2021 | 1,000,000 | 1,044,441 | ||||||||||||
Baxalta, Inc. (Biotechnology) | 4.000% | 06/23/2025 | 1,400,000 | 1,446,676 | ||||||||||||
Celgene Corp. (Biotechnology) | 3.875% | 08/15/2025 | 1,350,000 | 1,397,039 | ||||||||||||
Humana, Inc. (Health Care Providers & Svs.) | 2.500% | 12/15/2020 | 2,000,000 | 1,998,314 | ||||||||||||
Humana, Inc. (Health Care Providers & Svs.) | 2.900% | 12/15/2022 | 2,000,000 | 1,996,406 | ||||||||||||
Pfizer, Inc. (Pharmaceuticals) | 3.000% | 12/15/2026 | 900,000 | 905,164 | ||||||||||||
Teva Pharmaceutical Finance Netherlands III BV (Pharmaceuticals) | 1.700% | 07/19/2019 | 1,800,000 | 1,748,704 | ||||||||||||
|
| |||||||||||||||
13,392,161 | ||||||||||||||||
|
| |||||||||||||||
INDUSTRIALS – 6.7% | ||||||||||||||||
Aircastle Ltd. (Trading Companies & Distributors) | 4.125% | 05/01/2024 | 4,000,000 | 4,060,000 | ||||||||||||
Burlington Northern Santa Fe, LLC (Road & Rail) | 4.550% | 09/01/2044 | 900,000 | 1,029,536 | ||||||||||||
Canadian National Railway Co. (Road & Rail) | 3.200% | 08/02/2046 | 3,800,000 | 3,679,008 | ||||||||||||
FedEx Corp. (Air Freight & Logistics) | 4.900% | 01/15/2034 | 1,425,000 | 1,614,293 | ||||||||||||
Illinois Tool Works, Inc. (Machinery) | 3.375% | 09/15/2021 | 500,000 | 514,384 | ||||||||||||
Lockheed Martin Corp. (Aerospace & Defense) | 3.350% | 09/15/2021 | 1,000,000 | 1,028,022 | ||||||||||||
Lockheed Martin Corp. (Aerospace & Defense) | 3.600% | 03/01/2035 | 1,000,000 | 1,007,357 | ||||||||||||
Norfolk Southern Corp. (Road & Rail) | 3.000% | 04/01/2022 | 600,000 | 607,465 | ||||||||||||
Northrop Grumman Corp. (Aerospace & Defense) | 2.930% | 01/15/2025 | 3,900,000 | 3,875,894 | ||||||||||||
Parker-Hannifin Corp. (Machinery) | 4.200% | 11/21/2034 | 1,400,000 | 1,527,057 | ||||||||||||
Raytheon Co. (Aerospace & Defense) | 4.400% | 02/15/2020 | 1,250,000 | 1,306,308 | ||||||||||||
Union Pacific Corp. (Road & Rail) | 3.250% | 08/15/2025 | 1,000,000 | 1,026,489 | ||||||||||||
|
| |||||||||||||||
21,275,813 | ||||||||||||||||
|
| |||||||||||||||
INFORMATION TECHNOLOGY – 4.1% | ||||||||||||||||
Alibaba Group Holding Ltd. (Internet Software & Svs.) | 3.400% | 12/06/2027 | 2,000,000 | 1,998,881 | ||||||||||||
Alibaba Group Holding Ltd. (Internet Software & Svs.) | 4.200% | 12/06/2047 | 1,000,000 | 1,040,197 | ||||||||||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 2.500% | 02/09/2025 | 1,000,000 | 974,801 | ||||||||||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 3.350% | 02/09/2027 | 900,000 | 921,678 | ||||||||||||
Hewlett Packard Enterprise Co. (Tech. Hardware, Storage & Periph.) | 4.900% | 10/15/2025 | 850,000 | 897,169 | ||||||||||||
Intel Corp. (Semiconductors & Equip.) | 4.000% | 12/15/2032 | 1,500,000 | 1,649,905 | ||||||||||||
KLA-Tencor Corp. (Semiconductors & Equip.) | 3.375% | 11/01/2019 | 900,000 | 914,739 | ||||||||||||
Microsoft Corp. (Software) | 4.100% | 02/06/2037 | 900,000 | 1,004,113 |
9 | (continued) |
Ohio National Fund, Inc. | Bond Portfolio (Continued) |
Schedule of Investments | December 31, 2017 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||
INFORMATION TECHNOLOGY (continued) | ||||||||||||||||
Microsoft Corp. (Software) | 4.450% | 11/03/2045 | $ 900,000 | $ | 1,053,907 | |||||||||||
Oracle Corp. (Software) | 4.300% | 07/08/2034 | 1,500,000 | 1,665,927 | ||||||||||||
Seagate HDD Cayman (Tech. Hardware, Storage & Periph.) | (a) | 4.875% | 03/01/2024 | 900,000 | 904,827 | |||||||||||
|
| |||||||||||||||
13,026,144 | ||||||||||||||||
|
| |||||||||||||||
MATERIALS – 7.8% | ||||||||||||||||
Anglo American Capital PLC (Metals & Mining) | (a) | 3.750% | 04/10/2022 | 1,000,000 | 1,016,160 | |||||||||||
Anglo American Capital PLC (Metals & Mining) | (a) | 4.750% | 04/10/2027 | 1,000,000 | 1,046,333 | |||||||||||
Anglo American Capital PLC (Metals & Mining) | (a) | 4.000% | 09/11/2027 | 900,000 | 893,726 | |||||||||||
CF Industries, Inc. (Chemicals) | (a) | 3.400% | 12/01/2021 | 900,000 | 909,134 | |||||||||||
Dow Chemical Co. / The (Chemicals) | 4.250% | 10/01/2034 | 1,900,000 | 1,995,675 | ||||||||||||
FMC Corp. (Chemicals) | 3.950% | 02/01/2022 | 1,000,000 | 1,012,445 | ||||||||||||
Martin Marietta Materials, Inc. (Construction Materials) | 3.500% | 12/15/2027 | 4,000,000 | 3,968,930 | ||||||||||||
Martin Marietta Materials, Inc. (Construction Materials) | 4.250% | 12/15/2047 | 1,000,000 | 988,546 | ||||||||||||
Mosaic Co. / The (Chemicals) | 3.250% | 11/15/2022 | 3,000,000 | 2,973,350 | ||||||||||||
Packaging Corp. of America (Containers & Packaging) | 2.450% | 12/15/2020 | 2,000,000 | 2,002,664 | ||||||||||||
Packaging Corp. of America (Containers & Packaging) | 3.400% | 12/15/2027 | 2,000,000 | 2,004,378 | ||||||||||||
RPM International, Inc. (Chemicals) | 4.250% | 01/15/2048 | 3,000,000 | 2,979,718 | ||||||||||||
Yamana Gold, Inc. (Metals & Mining) | (a) | 4.625% | 12/15/2027 | 2,800,000 | 2,813,793 | |||||||||||
|
| |||||||||||||||
24,604,852 | ||||||||||||||||
|
| |||||||||||||||
REAL ESTATE – 10.5% | ||||||||||||||||
Alexandria Real Estate Equities, Inc. (Equity REIT) | 3.950% | 01/15/2028 | 900,000 | 918,720 | ||||||||||||
American Tower Corp. (Equity REIT) | 3.000% | 06/15/2023 | 6,000,000 | 5,983,372 | ||||||||||||
Boston Properties LP (Equity REIT) | 3.125% | 09/01/2023 | 925,000 | 932,142 | ||||||||||||
Camden Property Trust (Equity REIT) | 4.250% | 01/15/2024 | 900,000 | 945,916 | ||||||||||||
Crown Castle International Corp. (Equity REIT) | 4.000% | 03/01/2027 | 1,800,000 | 1,839,863 | ||||||||||||
DDR Corp. (Equity REIT) | 3.625% | 02/01/2025 | 2,000,000 | 1,966,833 | ||||||||||||
Federal Realty Investment Trust (Equity REIT) | 3.000% | 08/01/2022 | 1,425,000 | 1,437,791 | ||||||||||||
Federal Realty Investment Trust (Equity REIT) | 3.250% | 07/15/2027 | 4,800,000 | 4,759,271 | ||||||||||||
HCP, Inc. (Equity REIT) | 4.000% | 06/01/2025 | 1,500,000 | 1,543,698 | ||||||||||||
Healthcare Realty Trust, Inc. (Equity REIT) | 3.875% | 05/01/2025 | 1,400,000 | 1,418,178 | ||||||||||||
Healthcare Realty Trust, Inc. (Equity REIT) | 3.625% | 01/15/2028 | 1,000,000 | 989,056 | ||||||||||||
Hospitality Properties Trust (Equity REIT) | 4.250% | 02/15/2021 | 1,000,000 | 1,034,114 | ||||||||||||
Kilroy Realty LP (Equity REIT) | 3.450% | 12/15/2024 | 1,000,000 | 996,902 | ||||||||||||
Public Storage (Equity REIT) | 3.094% | 09/15/2027 | 900,000 | 893,932 | ||||||||||||
Simon Property Group LP (Equity REIT) | 3.750% | 02/01/2024 | 1,475,000 | 1,534,767 | ||||||||||||
Vornado Realty LP (Equity REIT) | 3.500% | 01/15/2025 | 5,000,000 | 4,986,471 | ||||||||||||
Welltower, Inc. (Equity REIT) | 4.250% | 04/01/2026 | 1,000,000 | 1,046,617 | ||||||||||||
|
| |||||||||||||||
33,227,643 | ||||||||||||||||
|
| |||||||||||||||
TELECOMMUNICATION SERVICES – 1.6% | ||||||||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 3.400% | 05/15/2025 | 900,000 | 884,626 | ||||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 3.900% | 08/14/2027 | 900,000 | 905,754 | ||||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 4.900% | 08/14/2037 | 1,000,000 | 1,013,978 | ||||||||||||
Rogers Communications, Inc. (Wireless Telecom. Svs.) | 3.000% | 03/15/2023 | 700,000 | 698,661 | ||||||||||||
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 4.600% | 04/01/2021 | 1,250,000 | 1,329,697 | ||||||||||||
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 3.850% | 11/01/2042 | 425,000 | 384,107 | ||||||||||||
|
| |||||||||||||||
5,216,823 | ||||||||||||||||
|
| |||||||||||||||
UTILITIES – 7.6% | ||||||||||||||||
AEP Transmission Co., LLC (Electric Utilities) | 4.000% | 12/01/2046 | 900,000 | 952,306 | ||||||||||||
American Water Capital Corp. (Water Utilities) | 4.300% | 12/01/2042 | 1,400,000 | 1,543,149 | ||||||||||||
Appalachian Power Co. (Electric Utilities) | 4.600% | 03/30/2021 | 1,000,000 | 1,059,168 | ||||||||||||
Commonwealth Edison Co. (Electric Utilities) | 4.350% | 11/15/2045 | 900,000 | 1,008,680 | ||||||||||||
DTE Electric Co. (Electric Utilities) | 3.375% | 03/01/2025 | 1,000,000 | 1,025,705 | ||||||||||||
Duke Energy Corp. (Electric Utilities) | 3.750% | 09/01/2046 | 900,000 | 889,158 | ||||||||||||
Duke Energy Florida LLC (Electric Utilities) | 2.100% | 12/15/2019 | 2,000,000 | 1,998,244 | ||||||||||||
Duke Energy Florida, LLC (Electric Utilities) | 4.550% | 04/01/2020 | 500,000 | 524,574 | ||||||||||||
ITC Holdings Corp. (Electric Utilities) | 3.650% | 06/15/2024 | 500,000 | 512,825 | ||||||||||||
LG&E & KU Energy, LLC (Electric Utilities) | 4.375% | 10/01/2021 | 1,000,000 | 1,056,712 | ||||||||||||
New England Power Co. (Multi-Utilities) | (a) | 3.800% | 12/05/2047 | 1,000,000 | 1,021,360 | |||||||||||
NextEra Energy Capital Holdings, Inc. (Electric Utilities) | 1.649% | 09/01/2018 | 900,000 | 897,394 | ||||||||||||
NextEra Energy Capital Holdings, Inc. (Electric Utilities) | 2.800% | 01/15/2023 | 3,000,000 | 2,998,462 | ||||||||||||
Public Service Electric & Gas Co. (Multi-Utilities) | 3.600% | 12/01/2047 | 3,000,000 | 3,068,695 | ||||||||||||
South Carolina Electric & Gas Co. (Electric Utilities) | 4.350% | 02/01/2042 | 1,000,000 | 1,043,821 | ||||||||||||
Southern Co. Gas Capital Corp. (Gas Utilities) | 5.250% | 08/15/2019 | 1,000,000 | 1,039,849 | ||||||||||||
Southwest Gas Corp. (Gas Utilities) | 3.875% | 04/01/2022 | 1,250,000 | 1,276,072 |
10 | (continued) |
Ohio National Fund, Inc. | Bond Portfolio (Continued) |
Schedule of Investments | December 31, 2017 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||
UTILITIES (continued) | ||||||||||||||||
Virginia Electric & Power Co. (Electric Utilities) | 3.450% | 02/15/2024 | $ | 1,255,000 | $ | 1,295,605 | ||||||||||
Xcel Energy, Inc. (Electric Utilities) | 4.700% | 05/15/2020 | 1,000,000 | 1,042,428 | ||||||||||||
|
| |||||||||||||||
24,254,207 | ||||||||||||||||
|
| |||||||||||||||
Total Corporate Bonds (Cost $282,583,309) | $ | 288,141,205 | ||||||||||||||
|
| |||||||||||||||
U.S. Treasury Obligations – 2.9% | Rate | Maturity | Face Amount | Value | ||||||||||||
U.S. Treasury Note | 1.500% | 08/15/2020 | $ | 3,000,000 | $ | 2,966,527 | ||||||||||
U.S. Treasury Note | 1.750% | 06/30/2022 | 1,500,000 | 1,472,724 | ||||||||||||
U.S. Treasury Note | 2.000% | 11/15/2026 | 5,000,000 | 4,837,435 | ||||||||||||
|
| |||||||||||||||
Total U.S. Treasury Obligations (Cost $9,293,381) | $ | 9,276,686 | ||||||||||||||
|
| |||||||||||||||
Asset-Backed Securities – 2.5% | Rate | Maturity | Face Amount | Value | ||||||||||||
INDUSTRIALS – 2.5% | ||||||||||||||||
Air Canada 2017-1 Class B Pass Through Trust | (a) | 3.700% | 01/15/2026 | $ | 2,500,000 | $ | 2,523,407 | |||||||||
American Airlines 2015-1 Class B Pass Through Trust | 3.700% | 05/01/2023 | 3,666,153 | 3,656,988 | ||||||||||||
United Airlines 2016-1 Class B Pass Through Trust | 3.650% | 01/07/2026 | 1,800,000 | 1,793,389 | ||||||||||||
|
| |||||||||||||||
Total Asset-Backed Securities (Cost $7,970,423) | $ | 7,973,784 | ||||||||||||||
|
| |||||||||||||||
Money Market Funds – 2.8% | Shares | Value | ||||||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 8,757,671 | $ | 8,756,795 | |||||||||||||
|
| |||||||||||||||
Total Money Market Funds (Cost $8,757,671) | $ | 8,756,795 | ||||||||||||||
|
| |||||||||||||||
Total Investments – 99.0% (Cost $308,604,784) | (c) | $ | 314,148,470 | |||||||||||||
Other Assets in Excess of Liabilities – 1.0% | 3,172,881 | |||||||||||||||
|
| |||||||||||||||
Net Assets – 100.0% | $ | 317,321,351 | ||||||||||||||
|
|
Percentages are stated as a percent of net assets.
Abbreviations:
QL: Quarterly U.S. LIBOR Rate, 1.694% on 12/31/2017
Footnotes:
(a) | Security exempt from registration under Regulation D of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers under Rule 144A. At December 31, 2017, the value of these securities totaled $28,220,214, or 8.9% of the Portfolio’s net assets. Unless also noted as illiquid, these securities were deemed liquid pursuant to procedures approved by the Board of Directors. |
(b) | Security is a variable rate instrument in which the coupon or dividend rate is fixed until a later specified date, then is adjusted periodically. Rates stated are those in effect at December 31, 2017. |
(c) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
11 |
Ohio National Fund, Inc. | Omni Portfolio (Unaudited) |
Objective/Strategy
The Omni Portfolio seeks a high level of long-term total return consistent with preservation of capital by investing in stocks, bonds, and money market instruments.
Performance as of December 31, 2017
Average Annual returns | ||||
One year | 21.05% | |||
Five years | 14.81% | |||
Ten years | 8.27% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Total expense ratio is 0.80% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2017 can be found in the Portfolio’s Financial Highlights.
Comments from Sub-Adviser/Adviser
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A. For the year ended December 31, 2017, the Omni Portfolio returned 21.05% versus 17.04% for its benchmark, which is comprised of 70% S&P 500 Index and 30% BofA Merrill Lynch U.S. Corporate Master Index.
Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?
A. The Portfolio maintained a higher allocation to common stocks than the benchmark during 2017. Since stocks materially outperformed bonds during the year, this provided positive relative performance compared to the benchmark. With the Infrastructure Plan up next in the Federal government queue, we expect the market to continue to grind higher, and we remain optimistic that our focus on company and industry specific fundamentals will continue to drive outperformance going forward. (1)
Q. How did sector allocation and security selection each impact the Portfolio’s performance relative to its benchmark? For sector allocation, were there any factors that impacted the benchmark’s performance more significantly than the Portfolio’s performance? For stock selection, was there anything specific regarding the Portfolio’s strategy that caused deviation from the benchmark?
A. Leading the Portfolio’s outperformance were positive stock selections in Industrials and Consumer Discretionary. An overweight to Information Technology also heavily contributed. Top detractors were stock selections within Consumer Staples and Health Care, as well as an underweight to Telecommunication Services. (1)
The fixed income portion of the Portfolio was overweight the Energy sector and U.S. Treasury Obligations versus the benchmark for most of the year, and underweight the Consumer Staples sector. In terms of performance attribution, no sector added or detracted from performance by more than 0.10% compared to the benchmark. The Portfolio’s
Industrials, Energy and Financials sectors contributed the most to positive performance compared to the benchmark. The Portfolio’s U.S. Treasury Obligations holdings, Consumer Staples and Materials sectors detracted the most from performance versus the benchmark. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. Top contributors included Amazon.com, Inc., which continued strong trends in Amazon Prime subscriber additions, as well as market share gains from traditional brick and mortar retail. Apple, Inc. contributed, as it had new product introductions at higher prices and higher margins, driving upside to earnings expectations. DXC Technology Co. continued successful integration of the Hewlett Packard Enterprise acquisition, driving significant upside to previous earnings expectations. (1)
The key detractor was IMAX Corp., due to its weak box office numbers combined with market share loss to traditional movie screens. Additionally, a slower growth of new theaters internationally caused a revenue miss. Devon Energy Corp. detracted with weak energy prices earlier in the year, and fear that shale growth and general oversupply would keep prices depressed for a prolonged period of time. Envision Healthcare Corp. declined due to a weak earnings report on lower volumes, lower margins and concerns about overbilling customers. (1)
As it relates to the fixed income portion of the Portfolio, the top three contributors to the Portfolio’s performance relative to the benchmark were Williams Partners LP 5.400% due 03/04/2044, Shell International Finance 4.000% due 05/10/2046, and Microsoft Corp 4.450% due 11/03/2045. These bonds are longer duration bonds, which performed well with the decline in longer term interest rates and experienced spread tightening during the period. The top three detractors to the Portfolio’s performance relative to the benchmark were Lloyds Banking Group PLC 3.750% due 01/11/2027, Bank of Montreal 3.803% due 12/15/2032, and the U.S. Treasury Note 1.500% bond due 05/15/2020. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2017. |
12 | (continued) |
Ohio National Fund, Inc. | Omni Portfolio (Unaudited) (Continued) |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The S&P 500 Index is a capitalization-weighted index designed to measure performance of the broad domestic market through changes in the aggregate market value of 500 stocks representing all major industries. The index presented includes the effects of reinvested dividends.
The BofA Merrill Lynch U.S. Corporate Master Index tracks the performance of all U.S. dollar-denominated, investment grade corporate public debt issued in the U.S. domestic bond market. Qualifying bonds must have an investment grade rating (based on an average of Moody’s, S&P, and Fitch). In addition, qualifying securities must have at least one year remaining term to maturity, a fixed coupon schedule, and a minimum amount outstanding of $250 million.
Portfolio Composition as of December 31, 2017 (1) |
% of Net Assets | ||||
Common Stocks (4) | 79.1 | |||
Corporate Bonds (4) | 19.3 | |||
U.S. Treasury Obligations | 0.7 | |||
Asset-Backed Securities (4) | 0.5 | |||
Other Net Assets | 0.4 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31, 2017 (1) (2) (3) |
% of Net Assets | ||||||
1. | Apple, Inc. | 3.3 | ||||
2. | Amazon.com, Inc. | 2.8 | ||||
3. | Microsoft Corp. | 2.1 | ||||
4. | Alphabet, Inc. Class C | 2.1 | ||||
5. | Bank of America Corp. | 2.0 | ||||
6. | FedEx Corp. | 2.0 | ||||
7. | Goldman Sachs Group, Inc. / The | 2.0 | ||||
8. | DXC Technology Co. | 1.8 | ||||
9. | Facebook, Inc. Class A | 1.8 | ||||
10. | JPMorgan Chase & Co. | 1.7 |
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. |
(3) | Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher. |
(4) | Sectors (Common Stocks, Corporate Bonds, Asset-Backed Securities): |
% of Net Assets | ||||
Information Technology | 22.3 | |||
Financials | 19.4 | |||
Industrials | 19.1 | |||
Consumer Discretionary | 14.7 | |||
Health Care | 8.6 | |||
Consumer Staples | 5.4 | |||
Energy | 4.3 | |||
Real Estate | 1.7 | |||
Telecommunication Services | 1.3 | |||
Utilities | 1.1 | |||
Materials | 1.0 | |||
|
| |||
98.9 | ||||
|
|
13 |
Ohio National Fund, Inc. | Omni Portfolio |
Schedule of Investments | December 31, 2017 |
Common Stocks – 79.1% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 12.6% | ||||||||
Amazon.com, Inc. (Internet & Direct Marketing Retail) | (a) | 1,623 | $1,898,050 | |||||
CBS Corp. Class B (Media) | 18,008 | 1,062,472 | ||||||
D.R. Horton, Inc. (Household Durables) | 21,323 | 1,088,966 | ||||||
McDonald’s Corp. (Hotels, Restaurants & Leisure) | 6,149 | 1,058,366 | ||||||
MGM Resorts International (Hotels, Restaurants & Leisure) | 31,368 | 1,047,377 | ||||||
Tapestry, Inc. (Textiles, Apparel & Luxury Goods) | 18,418 | 814,628 | ||||||
Time Warner, Inc. (Media) | 5,851 | 535,191 | ||||||
Walt Disney Co. / The (Media) | 10,025 | 1,077,788 | ||||||
| ||||||||
8,582,838 | ||||||||
| ||||||||
CONSUMER STAPLES – 4.8% | ||||||||
Constellation Brands, Inc. Class A (Beverages) | 2,011 | 459,654 | ||||||
Mondelez International, Inc. Class A (Food Products) | 24,578 | 1,051,938 | ||||||
Philip Morris International, Inc. (Tobacco) | 9,383 | 991,314 | ||||||
Wal-Mart Stores, Inc. (Food & Staples Retailing) | 8,089 | 798,789 | ||||||
| ||||||||
3,301,695 | ||||||||
| ||||||||
ENERGY – 1.6% | ||||||||
Royal Dutch Shell PLC Class A – ADR (Oil, Gas & Consumable Fuels) | 16,234 | 1,082,970 | ||||||
| ||||||||
FINANCIALS – 13.4% | ||||||||
Bank of America Corp. (Banks) | 46,271 | 1,365,920 | ||||||
Capital One Financial Corp. (Consumer Finance) | 11,130 | 1,108,325 | ||||||
Citigroup, Inc. (Banks) | 15,567 | 1,158,340 | ||||||
Goldman Sachs Group, Inc. / The (Capital Markets) | 5,309 | 1,352,521 | ||||||
Hartford Financial Services Group, Inc. / The (Insurance) | 18,371 | 1,033,920 | ||||||
JPMorgan Chase & Co. (Banks) | 10,955 | 1,171,528 | ||||||
KeyCorp (Banks) | 51,500 | 1,038,755 | ||||||
Morgan Stanley (Capital Markets) | 17,436 | 914,867 | ||||||
| ||||||||
9,144,176 | ||||||||
| ||||||||
HEALTH CARE – 7.6% | ||||||||
Abbott Laboratories (Health Care Equip. & Supplies) | 17,670 | 1,008,427 | ||||||
Aerie Pharmaceuticals, Inc. (Pharmaceuticals) | (a) | 17,269 | 1,031,823 | |||||
Celgene Corp. (Biotechnology) | (a) | 10,361 | 1,081,274 | |||||
Medtronic PLC (Health Care Equip. & Supplies) | 8,638 | 697,518 | ||||||
Sage Therapeutics, Inc. (Biotechnology) | (a) | 2,650 | 436,482 | |||||
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 4,403 | 970,685 | ||||||
| ||||||||
5,226,209 | ||||||||
| ||||||||
INDUSTRIALS – 17.3% | ||||||||
AECOM (Construction & Engineering) | (a) | 28,371 | 1,053,983 | |||||
Boeing Co. / The (Aerospace & Defense) | 3,722 | 1,097,655 | ||||||
Caterpillar, Inc. (Machinery) | 3,739 | 589,192 | ||||||
Delta Air Lines, Inc. (Airlines) | 19,446 | 1,088,976 | ||||||
FedEx Corp. (Air Freight & Logistics) | 5,434 | 1,356,000 | ||||||
Hexcel Corp. (Aerospace & Defense) | 12,475 | 771,579 | ||||||
Lockheed Martin Corp. (Aerospace & Defense) | 2,092 | 671,636 | ||||||
Quanta Services, Inc. (Construction & Engineering) | (a) | 26,815 | 1,048,735 | |||||
Raytheon Co. (Aerospace & Defense) | 5,494 | 1,032,048 | ||||||
Rockwell Automation, Inc. (Electrical Equip.) | 5,596 | 1,098,774 | ||||||
XPO Logistics, Inc. (Air Freight & Logistics) | (a) | 11,987 | 1,097,889 | |||||
Xylem, Inc. (Machinery) | 13,630 | 929,566 | ||||||
| ||||||||
11,836,033 | ||||||||
| ||||||||
INFORMATION TECHNOLOGY – 21.0% | ||||||||
Alibaba Group Holding Ltd. – ADR (Internet Software & Svs.) | (a) | 5,489 | 946,468 | |||||
Alphabet, Inc. Class A (Internet Software & Svs.) | (a) | 256 | 269,670 | |||||
Alphabet, Inc. Class C (Internet Software & Svs.) | (a) | 1,356 | 1,418,918 | |||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 13,326 | 2,255,159 | ||||||
Broadcom Ltd. (Semiconductors & Equip.) | 3,109 | 798,702 | ||||||
Cisco Systems, Inc. (Communications Equip.) | 28,289 | 1,083,469 | ||||||
CommScope Holding Co., Inc. (Communications Equip.) | (a) | 24,787 | 937,692 | |||||
DXC Technology Co. (IT Svs.) | 13,444 | 1,275,836 | ||||||
Facebook, Inc. Class A (Internet Software & Svs.) | (a) | 7,050 | 1,244,043 | |||||
First Solar, Inc. (Semiconductors & Equip.) | (a) | 7,976 | 538,540 | |||||
Intel Corp. (Semiconductors & Equip.) | 11,889 | 548,796 | ||||||
Marvell Technology Group Ltd. (Semiconductors & Equip.) | 48,933 | 1,050,592 |
14 | (continued) |
Ohio National Fund, Inc. | Omni Portfolio (Continued) |
Schedule of Investments | December 31, 2017 |
Common Stocks (Continued) | Shares | Value | ||||||||
INFORMATION TECHNOLOGY (continued) | ||||||||||
Microsoft Corp. (Software) | 17,090 | $ | 1,461,879 | |||||||
salesforce.com, Inc. (Software) | (a) | 4,984 | 509,514 | |||||||
|
| |||||||||
14,339,278 | ||||||||||
|
| |||||||||
TELECOMMUNICATION SERVICES – 0.8% | ||||||||||
T-Mobile U.S., Inc. (Wireless Telecom. Svs.) | (a) | 8,352 | 530,436 | |||||||
|
| |||||||||
UTILITIES – 0.0% | ||||||||||
Evoqua Water Technologies Corp. (Water Utilities) | (a) | 616 | 14,605 | |||||||
|
| |||||||||
Total Common Stocks (Cost $46,248,713) | $ | 54,058,240 | ||||||||
|
|
Corporate Bonds – 19.3% | Rate | Maturity | Face Amount | Value | ||||||||||||
CONSUMER DISCRETIONARY – 2.1% | ||||||||||||||||
21st Century Fox America, Inc. (Media) | 4.500% | 02/15/2021 | $100,000 | $ | 105,683 | |||||||||||
Amazon.com, Inc. (Internet & Direct Marketing Retail) | (b) | 3.875% | 08/22/2037 | 100,000 | 106,029 | |||||||||||
Comcast Corp. (Media) | 5.875% | 02/15/2018 | 75,000 | 75,386 | ||||||||||||
Discovery Communications, LLC (Media) | 3.950% | 03/20/2028 | 100,000 | 99,435 | ||||||||||||
General Motors Co. (Automobiles) | 5.000% | 04/01/2035 | 100,000 | 105,905 | ||||||||||||
Kohl’s Corp. (Multiline Retail) | 4.000% | 11/01/2021 | 75,000 | 77,142 | ||||||||||||
Lear Corp. (Auto Components) | 5.250% | 01/15/2025 | 222,000 | 237,001 | ||||||||||||
Newell Brands, Inc. (Household Durables) | 3.150% | 04/01/2021 | 100,000 | 101,110 | ||||||||||||
Priceline Group, Inc. / The (Internet & Direct Marketing Retail) | 3.550% | 03/15/2028 | 200,000 | 198,050 | ||||||||||||
Time Warner Cable, LLC (Media) | 6.550% | 05/01/2037 | 150,000 | 176,297 | ||||||||||||
Viacom, Inc. (Media) | 4.250% | 09/01/2023 | 75,000 | 76,563 | ||||||||||||
Wyndham Worldwide Corp. (Hotels, Restaurants & Leisure) | 4.150% | 04/01/2024 | 100,000 | 100,448 | ||||||||||||
|
| |||||||||||||||
1,459,049 | ||||||||||||||||
|
| |||||||||||||||
CONSUMER STAPLES – 0.6% | ||||||||||||||||
Anheuser-Busch InBev Finance, Inc. (Beverages) | 4.700% | 02/01/2036 | 100,000 | 112,146 | ||||||||||||
Costco Wholesale Corp. (Food & Staples Retailing) | 3.000% | 05/18/2027 | 100,000 | 100,116 | ||||||||||||
Mead Johnson Nutrition Co. (Food Products) | 3.000% | 11/15/2020 | 100,000 | 101,490 | ||||||||||||
Philip Morris International, Inc. (Tobacco) | 3.375% | 08/11/2025 | 100,000 | 102,016 | ||||||||||||
|
| |||||||||||||||
415,768 | ||||||||||||||||
|
| |||||||||||||||
ENERGY – 2.7% | ||||||||||||||||
BP Capital Markets PLC (Oil, Gas & Consumable Fuels) | 3.017% | 01/16/2027 | 100,000 | 99,077 | ||||||||||||
Canadian Natural Resources Ltd. (Oil, Gas & Consumable Fuels) | 4.950% | 06/01/2047 | 100,000 | 111,814 | ||||||||||||
Chevron Corp. (Oil, Gas & Consumable Fuels) | 2.895% | 03/03/2024 | 100,000 | 100,867 | ||||||||||||
Columbia Pipeline Group, Inc. (Oil, Gas & Consumable Fuels) | 4.500% | 06/01/2025 | 100,000 | 106,450 | ||||||||||||
EOG Resources, Inc. (Oil, Gas & Consumable Fuels) | 3.150% | 04/01/2025 | 100,000 | 99,605 | ||||||||||||
Exxon Mobil Corp. (Oil, Gas & Consumable Fuels) | 4.114% | 03/01/2046 | 100,000 | 111,597 | ||||||||||||
Halliburton Co. (Energy Equip. & Svs.) | 4.850% | 11/15/2035 | 100,000 | 112,109 | ||||||||||||
Kinder Morgan Energy Partners LP (Oil, Gas & Consumable Fuels) | 4.150% | 03/01/2022 | 75,000 | 77,843 | ||||||||||||
Magellan Midstream Partners LP (Oil, Gas & Consumable Fuels) | 6.400% | 07/15/2018 | 150,000 | 153,550 | ||||||||||||
Marathon Oil Corp. (Oil, Gas & Consumable Fuels) | 3.850% | 06/01/2025 | 150,000 | 152,654 | ||||||||||||
Murphy Oil Corp. (Oil, Gas & Consumable Fuels) | 4.450% | 12/01/2022 | 100,000 | 100,375 | ||||||||||||
Noble Holding International Ltd. (Energy Equip. & Svs.) | 5.750% | 03/16/2018 | 100,000 | 100,250 | ||||||||||||
Shell International Finance BV (Oil, Gas & Consumable Fuels) | 4.000% | 05/10/2046 | 100,000 | 106,403 | ||||||||||||
Spectra Energy Capital, LLC (Oil, Gas & Consumable Fuels) | 3.300% | 03/15/2023 | 75,000 | 74,822 | ||||||||||||
TransCanada PipeLines Ltd. (Oil, Gas & Consumable Fuels) | 2.500% | 08/01/2022 | 75,000 | 74,513 | ||||||||||||
Williams Partners LP (Oil, Gas & Consumable Fuels) | 3.350% | 08/15/2022 | 109,000 | 110,101 | ||||||||||||
Williams Partners LP (Oil, Gas & Consumable Fuels) | 5.400% | 03/04/2044 | 100,000 | 112,147 | ||||||||||||
|
| |||||||||||||||
1,804,177 | ||||||||||||||||
|
| |||||||||||||||
FINANCIALS – 6.0% | ||||||||||||||||
Aflac, Inc. (Insurance) | 3.625% | 06/15/2023 | 75,000 | 77,873 | ||||||||||||
American International Group, Inc. (Insurance) | 3.875% | 01/15/2035 | 100,000 | 100,309 | ||||||||||||
Bank of America Corp. (Banks) | 3.875% | 08/01/2025 | 150,000 | 158,186 | ||||||||||||
Bank of Montreal (Banks) | (c) | 3.803% | 12/15/2032 | 200,000 | 197,726 | |||||||||||
Bank of New York Mellon Corp. / The (Capital Markets) | 3.300% | 08/23/2029 | 200,000 | 199,298 | ||||||||||||
Berkshire Hathaway, Inc. (Diversified Financial Svs.) | 3.125% | 03/15/2026 | 100,000 | 101,105 | ||||||||||||
Branch Banking & Trust Co. (Banks) | 3.625% | 09/16/2025 | 100,000 | 103,642 | ||||||||||||
Capital One Financial Corp. (Consumer Finance) | 2.450% | 04/24/2019 | 200,000 | 200,451 | ||||||||||||
Citigroup, Inc. (Banks) | 4.400% | 06/10/2025 | 100,000 | 105,529 | ||||||||||||
Comerica, Inc. (Banks) | 3.800% | 07/22/2026 | 100,000 | 101,423 | ||||||||||||
Deutsche Bank AG (Capital Markets) | 2.700% | 07/13/2020 | 200,000 | 199,007 | ||||||||||||
E*TRADE Financial Corp. (Capital Markets) | 2.950% | 08/24/2022 | 200,000 | 198,286 | ||||||||||||
Ford Motor Credit Co., LLC (Consumer Finance) | 3.157% | 08/04/2020 | 100,000 | 101,214 | ||||||||||||
General Motors Financial Co., Inc. (Consumer Finance) | 3.200% | 07/06/2021 | 100,000 | 100,966 |
15 | (continued) |
Ohio National Fund, Inc. | Omni Portfolio (Continued) |
Schedule of Investments | December 31, 2017 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||
FINANCIALS (continued) | ||||||||||||||||
Goldman Sachs Group, Inc. / The (Capital Markets) | 3.750% | 05/22/2025 | $ | 100,000 | $ | 103,002 | ||||||||||
Intercontinental Exchange, Inc. (Capital Markets) | 2.750% | 12/01/2020 | 100,000 | 100,955 | ||||||||||||
Jefferies Group LLC / Jefferies Group Capital Finance, Inc. (Diversified Financial Svs.) | 4.850% | 01/15/2027 | 200,000 | 212,570 | ||||||||||||
JPMorgan Chase & Co. (Banks) | 3.250% | 09/23/2022 | 100,000 | 102,372 | ||||||||||||
JPMorgan Chase & Co. (Banks) | 3.625% | 12/01/2027 | 200,000 | 202,095 | ||||||||||||
Marsh & McLennan Cos., Inc. (Insurance) | 3.500% | 06/03/2024 | 100,000 | 103,302 | ||||||||||||
Mellon Funding Corp. (Capital Markets) | 5.500% | 11/15/2018 | 100,000 | 102,895 | ||||||||||||
Morgan Stanley (Capital Markets) | 3.750% | 02/25/2023 | 75,000 | 77,716 | ||||||||||||
Morgan Stanley (Capital Markets) | 3.950% | 04/23/2027 | 100,000 | 101,519 | ||||||||||||
Nasdaq, Inc. (Capital Markets) | 3.850% | 06/30/2026 | 100,000 | 102,654 | ||||||||||||
Northern Trust Corp. (Capital Markets) | 3.950% | 10/30/2025 | 75,000 | 79,434 | ||||||||||||
PNC Bank NA (Banks) | 3.250% | 06/01/2025 | 195,000 | 197,864 | ||||||||||||
Progressive Corp. / The (Insurance) | 2.450% | 01/15/2027 | 100,000 | 95,584 | ||||||||||||
Synchrony Financial (Consumer Finance) | 4.250% | 08/15/2024 | 100,000 | 103,665 | ||||||||||||
Teachers Insurance & Annuity Association of America (Insurance) | (b) | 4.270% | 05/15/2047 | 100,000 | 105,655 | |||||||||||
Wells Fargo & Co. (Banks) | 3.500% | 03/08/2022 | 75,000 | 77,433 | ||||||||||||
Wells Fargo & Co. (Banks) | 3.000% | 04/22/2026 | 100,000 | 98,084 | ||||||||||||
Westpac Banking Corp. (Banks) | (c) | 4.322% | 11/23/2031 | 200,000 | 206,007 | |||||||||||
|
| |||||||||||||||
4,117,821 | ||||||||||||||||
|
| |||||||||||||||
HEALTH CARE – 1.0% | ||||||||||||||||
AbbVie, Inc. (Biotechnology) | 2.900% | 11/06/2022 | 150,000 | 150,285 | ||||||||||||
Baxalta, Inc. (Biotechnology) | 4.000% | 06/23/2025 | 100,000 | 103,334 | ||||||||||||
Celgene Corp. (Biotechnology) | 3.875% | 08/15/2025 | 150,000 | 155,227 | ||||||||||||
Pfizer, Inc. (Pharmaceuticals) | 3.000% | 12/15/2026 | 100,000 | 100,574 | ||||||||||||
Teva Pharmaceutical Finance Netherlands III BV (Pharmaceuticals) | 1.700% | 07/19/2019 | 200,000 | 194,300 | ||||||||||||
|
| |||||||||||||||
703,720 | ||||||||||||||||
|
| |||||||||||||||
INDUSTRIALS – 1.3% | ||||||||||||||||
Burlington Northern Santa Fe, LLC (Road & Rail) | 4.550% | 09/01/2044 | 100,000 | 114,393 | ||||||||||||
Canadian National Railway Co. (Road & Rail) | 3.200% | 08/02/2046 | 200,000 | 193,632 | ||||||||||||
FedEx Corp. (Air Freight & Logistics) | 4.900% | 01/15/2034 | 75,000 | 84,963 | ||||||||||||
Lockheed Martin Corp. (Aerospace & Defense) | 3.600% | 03/01/2035 | 100,000 | 100,736 | ||||||||||||
Norfolk Southern Corp. (Road & Rail) | 3.000% | 04/01/2022 | 75,000 | 75,933 | ||||||||||||
Northrop Grumman Corp. (Aerospace & Defense) | 2.930% | 01/15/2025 | 100,000 | 99,382 | ||||||||||||
Parker-Hannifin Corp. (Machinery) | 4.200% | 11/21/2034 | 100,000 | 109,075 | ||||||||||||
Union Pacific Corp. (Road & Rail) | 3.250% | 08/15/2025 | 100,000 | 102,649 | ||||||||||||
|
| |||||||||||||||
880,763 | ||||||||||||||||
|
| |||||||||||||||
INFORMATION TECHNOLOGY – 1.3% | ||||||||||||||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 2.500% | 02/09/2025 | 100,000 | 97,480 | ||||||||||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 3.350% | 02/09/2027 | 100,000 | 102,408 | ||||||||||||
Hewlett Packard Enterprise Co. (Tech. Hardware, Storage & Periph.) | 4.900% | 10/15/2025 | 150,000 | 158,324 | ||||||||||||
KLA-Tencor Corp. (Semiconductors & Equip.) | 3.375% | 11/01/2019 | 100,000 | 101,638 | ||||||||||||
Microsoft Corp. (Software) | 4.100% | 02/06/2037 | 100,000 | 111,568 | ||||||||||||
Microsoft Corp. (Software) | 4.450% | 11/03/2045 | 100,000 | 117,101 | ||||||||||||
Oracle Corp. (Software) | 4.300% | 07/08/2034 | 100,000 | 111,062 | ||||||||||||
Seagate HDD Cayman (Tech. Hardware, Storage & Periph.) | (b) | 4.875% | 03/01/2024 | 100,000 | 100,536 | |||||||||||
|
| |||||||||||||||
900,117 | ||||||||||||||||
|
| |||||||||||||||
MATERIALS – 1.0% | ||||||||||||||||
Anglo American Capital PLC (Metals & Mining) | (b) | 4.000% | 09/11/2027 | 100,000 | 99,303 | |||||||||||
CF Industries, Inc. (Chemicals) | (b) | 3.400% | 12/01/2021 | 100,000 | 101,015 | |||||||||||
CF Industries, Inc. (Chemicals) | 3.450% | 06/01/2023 | 75,000 | 73,969 | ||||||||||||
Dow Chemical Co. / The (Chemicals) | 4.250% | 10/01/2034 | 100,000 | 105,035 | ||||||||||||
Mosaic Co. / The (Chemicals) | 3.250% | 11/15/2022 | 100,000 | 99,112 | ||||||||||||
Yamana Gold, Inc. (Metals & Mining) | (b) | 4.625% | 12/15/2027 | 200,000 | 200,985 | |||||||||||
|
| |||||||||||||||
679,419 | ||||||||||||||||
|
| |||||||||||||||
REAL ESTATE – 1.7% | ||||||||||||||||
Alexandria Real Estate Equities, Inc. (Equity REIT) | 3.950% | 01/15/2028 | 100,000 | 102,080 | ||||||||||||
Boston Properties LP (Equity REIT) | 3.125% | 09/01/2023 | 75,000 | 75,579 | ||||||||||||
Camden Property Trust (Equity REIT) | 4.250% | 01/15/2024 | 100,000 | 105,102 | ||||||||||||
Crown Castle International Corp. (Equity REIT) | 4.000% | 03/01/2027 | 200,000 | 204,429 | ||||||||||||
Federal Realty Investment Trust (Equity REIT) | 3.000% | 08/01/2022 | 75,000 | 75,673 | ||||||||||||
Federal Realty Investment Trust (Equity REIT) | 3.250% | 07/15/2027 | 200,000 | 198,303 | ||||||||||||
HCP, Inc. (Equity REIT) | 4.000% | 06/01/2025 | 100,000 | 102,913 | ||||||||||||
Healthcare Realty Trust, Inc. (Equity REIT) | 3.875% | 05/01/2025 | 100,000 | 101,299 |
16 | (continued) |
Ohio National Fund, Inc. | Omni Portfolio (Continued) |
Schedule of Investments | December 31, 2017 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||
REAL ESTATE (continued) | ||||||||||||||||
Public Storage (Equity REIT) | 3.094% | 09/15/2027 | $100,000 | $ | 99,326 | |||||||||||
Simon Property Group LP (Equity REIT) | 3.750% | 02/01/2024 | 75,000 | 78,039 | ||||||||||||
|
| |||||||||||||||
1,142,743 | ||||||||||||||||
|
| |||||||||||||||
TELECOMMUNICATION SERVICES – 0.5% | ||||||||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 3.400% | 05/15/2025 | 100,000 | 98,292 | ||||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 3.900% | 08/14/2027 | 100,000 | 100,639 | ||||||||||||
Rogers Communications, Inc. (Wireless Telecom. Svs.) | 3.000% | 03/15/2023 | 75,000 | 74,857 | ||||||||||||
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 3.850% | 11/01/2042 | 75,000 | 67,783 | ||||||||||||
|
| |||||||||||||||
341,571 | ||||||||||||||||
|
| |||||||||||||||
UTILITIES – 1.1% | ||||||||||||||||
AEP Transmission Co., LLC (Electric Utilities) | 4.000% | 12/01/2046 | 100,000 | 105,812 | ||||||||||||
American Water Capital Corp. (Water Utilities) | 4.300% | 12/01/2042 | 100,000 | 110,225 | ||||||||||||
Commonwealth Edison Co. (Electric Utilities) | 4.350% | 11/15/2045 | 100,000 | 112,075 | ||||||||||||
Duke Energy Corp. (Electric Utilities) | 3.750% | 09/01/2046 | 100,000 | 98,795 | ||||||||||||
Fortis, Inc. (Electric Utilities) | 3.055% | 10/04/2026 | 100,000 | 96,528 | ||||||||||||
NextEra Energy Capital Holdings, Inc. (Electric Utilities) | 1.649% | 09/01/2018 | 100,000 | 99,710 | ||||||||||||
South Carolina Electric & Gas Co. (Electric Utilities) | 4.350% | 02/01/2042 | 75,000 | 78,287 | ||||||||||||
Southwest Gas Corp. (Gas Utilities) | 3.875% | 04/01/2022 | 75,000 | 76,564 | ||||||||||||
|
| |||||||||||||||
777,996 | ||||||||||||||||
|
| |||||||||||||||
Total Corporate Bonds (Cost $12,864,317) | $ | 13,223,144 | ||||||||||||||
|
| |||||||||||||||
U.S. Treasury Obligations – 0.7% | Rate | Maturity | Face Amount | Value | ||||||||||||
U.S. Treasury Note | 1.500% | 11/30/2019 | $200,000 | $ | 198,531 | |||||||||||
U.S. Treasury Note | 1.500% | 05/15/2020 | 100,000 | 99,031 | ||||||||||||
U.S. Treasury Note | 1.750% | 05/15/2022 | 200,000 | 196,764 | ||||||||||||
|
| |||||||||||||||
Total U.S. Treasury Obligations (Cost $506,835) | $ | 494,326 | ||||||||||||||
|
| |||||||||||||||
Asset-Backed Securities – 0.5% | Rate | Maturity | Face Amount | Value | ||||||||||||
INDUSTRIALS – 0.5% | ||||||||||||||||
American Airlines 2015-1 Class B Pass Through Trust | 3.700% | 05/01/2023 | $152,756 | $ | 152,375 | |||||||||||
United Airlines 2016-1 Class B Pass Through Trust | 3.650% | 01/07/2026 | 200,000 | 199,265 | ||||||||||||
|
| |||||||||||||||
Total Asset-Backed Securities (Cost $352,795) | $ | 351,640 | ||||||||||||||
|
| |||||||||||||||
Total Investments – 99.6% (Cost $59,972,660) | (d) | $ | 68,127,350 | |||||||||||||
Other Assets in Excess of Liabilities – 0.4% | 266,945 | |||||||||||||||
|
| |||||||||||||||
Net Assets – 100.0% | $ | 68,394,295 | ||||||||||||||
|
|
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depositary Receipts
Footnotes:
(a) | Non-income producing security. |
(b) | Security exempt from registration under Regulation D of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers under Rule 144A. At December 31, 2017, the value of these securities totaled $713,523, or 1.0% of the Portfolio’s net assets. Unless also noted as illiquid, these securities were deemed liquid pursuant to procedures approved by the Board of Directors. |
(c) | Security is a variable rate instrument in which the coupon or dividend rate is fixed until a later specified date, then is adjusted periodically. Rates stated are those in effect at December 31, 2017. |
(d) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
17 |
Ohio National Fund, Inc. | Capital Appreciation Portfolio (Unaudited) |
Objective/Strategy
The Capital Appreciation Portfolio seeks long-term growth of capital by investing primarily in equity and equity related securities of established companies with either current or emerging earnings growth not fully appreciated or recognized by the market.
Performance as of December 31, 2017
Average Annual returns | ||||
One year | 15.81 | % | ||
Five years | 13.68 | % | ||
Ten years | 8.39 | % |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Total expense ratio is 0.83% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2017 can be found in the Portfolio’s Financial Highlights.
Comments from Sub-Adviser
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A. For the year ended December 31, 2017, the Capital Appreciation Portfolio returned 15.81% versus 21.83% for its benchmark, the S&P 500 Index.
Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?
A. Equity markets capped off a strong 2017 with a solid finish. The Financials, Consumer Discretionary and Industrial sectors were strong; however, the largest performance came from the Information Technology sector, which led all others by a wide margin. This has been a tough market for our disciplined strategy to outperform, as the Portfolio’s performance relative to the broad market was held back by underweighting large capitalization growth stocks in these sectors. (1)
Q. How did sector allocation and security selection each impact the Portfolio’s performance relative to its benchmark? For sector allocation, were there any factors that impacted the benchmark’s performance more significantly than the Portfolio’s performance? For stock selection, was there anything specific regarding the Fund’s strategy that caused deviation from the benchmark?
A. More than half of the Portfolio’s underperformance came in the Information Technology sector, due to the underweight to mega-cap Information Technology growth stocks. Information Technology was still the Portfolio’s best performing sector on an absolute basis, even though our risk/reward process kept us from owning or overweighting “FAANG” stocks (Facebook, Inc., Amazon.com, Inc., Apple, Inc., Netflix, Inc., and Alphabet, Inc.) and related names that drove much of the broader market performance. Health Care was the other sector where we had significant underperformance relative to the S&P 500 Index. Again, we had a solid
absolute return, but on a benchmark-relative basis, avoiding some of the high-multiple growth stocks in the Biotechnology and Health Care Equip. & Supplies industries hindered our results. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. Shares of Live Nation Entertainment, Inc. (LYV), the top relative contributor, were up as a result of strong earnings. The company also raised guidance in their Ticketing, Sponsorship, and Advertising segments for the year. With LYV’s vertical integration of promotions, ticketing, sponsorship and artist management, we believe the company continues to execute on its plans and is well positioned to benefit from strong secular momentum. (1)
Cigna Corp. reported better than expected quarterly results, within a positive environment for the Health Care Providers & Services industry as a whole. We continue to see a strong growth outlook, as the company creates value for its customers through differentiated service offerings. We also like the company’s strong capital position and opportunities for strategic deployment. (1)
Shares of Warrior Met Coal, Inc. gained ground after its initial public offering (“IPO”). The company also benefited from strong demand, which drove several consecutive quarters of solid operating results. We continue to like its significant organic growth potential, flexible cost structure, clean balance sheet, and ability to generate significant free cash flow. (1)
The Portfolio’s lack of investment in Amazon.com, Inc. and Facebook, Inc., and its underweight position in Apple, Inc., contributed to the Portfolio’s underperformance relative to the benchmark. Apple, Inc.’s fundamental strength reflects the proliferation of the iOS platform across the global mobile phone, tablet, and personal computer landscape as well as the financial power related to the attractive margin profile of the company’s hardware products. Apple Inc.’s December-quarter revenue, gross margin, and earnings beat projections. (1)
Patterson-UTI Energy, Inc., Diebold Nixdorf, Inc., and Anadarko Petroleum Corp. were the largest detractors of the stocks held in the Portfolio during the year.(1)
Q. How did the Portfolio’s use of derivative instruments and initial public offerings (IPOs), if any, impact performance?
A. The Portfolio’s participation in the IPO of Warrior Met Coal, Inc. contributed meaningfully to relative performance, adding 71 basis points. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2017. |
18 | (continued) |
Ohio National Fund, Inc. | Capital Appreciation Portfolio (Unaudited) (Continued) |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The S&P 500 Index is a capitalization-weighted index designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. The index presented includes the effects of reinvested dividends.
Portfolio Composition as of December 31, 2017 (1) |
% of Net Assets | ||||
Common Stocks (4) | 99.9 | |||
Other Net Assets | 0.1 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31, 2017 (1) (2) (3) |
% of Net Assets | ||||||
1. | Alphabet, Inc. Class C | 2.2 | ||||
2. | JPMorgan Chase & Co. | 2.1 | ||||
3. | Twenty-First Century Fox, Inc. Class A | 2.1 | ||||
4. | Goldman Sachs Group, Inc. / The | 1.9 | ||||
5. | Apple, Inc. | 1.9 | ||||
6. | Microsoft Corp. | 1.9 | ||||
7. | MetLife, Inc. | 1.9 | ||||
8. | Hyatt Hotels Corp. Class A | 1.9 | ||||
9. | Bank of America Corp. | 1.8 | ||||
10. | Tapestry, Inc. | 1.8 |
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. |
(3) | Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher. |
(4) | Sectors (Common Stocks): |
% of Net Assets | ||||
Consumer Discretionary | 21.4 | |||
Information Technology | 20.8 | |||
Financials | 15.6 | |||
Health Care | 12.6 | |||
Energy | 9.8 | |||
Industrials | 8.8 | |||
Materials | 6.0 | |||
Consumer Staples | 3.2 | |||
Real Estate | 1.0 | |||
Utilities | 0.7 | |||
|
| |||
99.9 | ||||
|
|
19 |
Ohio National Fund, Inc. | Capital Appreciation Portfolio |
Schedule of Investments | December 31, 2017 |
Common Stocks – 99.9% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 21.4% | ||||||||||
Carnival Corp. (Hotels, Restaurants & Leisure) | 16,701 | $ | 1,108,445 | |||||||
Comcast Corp. Class A (Media) | 32,159 | 1,287,968 | ||||||||
Houghton Mifflin Harcourt Co. (Diversified Consumer Svs.) | (a) | 138,523 | 1,288,264 | |||||||
Hyatt Hotels Corp. Class A (Hotels, Restaurants & Leisure) | (a) | 31,395 | 2,308,788 | |||||||
International Game Technology PLC (Hotels, Restaurants & Leisure) | 49,650 | 1,316,222 | ||||||||
Laureate Education, Inc. Class A (Diversified Consumer Svs.) | (a) | 105,649 | 1,432,601 | |||||||
Liberty Global PLC Class C (Media) | (a) | 42,681 | 1,444,325 | |||||||
Liberty Interactive Corp. QVC Group Class A (Internet & Direct Marketing Retail) | (a) | 52,577 | 1,283,930 | |||||||
Live Nation Entertainment, Inc. (Media) | (a) | 23,645 | 1,006,568 | |||||||
Lululemon Athletica, Inc. (Textiles, Apparel & Luxury Goods) | (a) | 24,137 | 1,896,927 | |||||||
MGM Resorts International (Hotels, Restaurants & Leisure) | 55,764 | 1,861,960 | ||||||||
Playa Hotels & Resorts N.V. (Hotels, Restaurants & Leisure) | (a) | 139,776 | 1,508,183 | |||||||
SeaWorld Entertainment, Inc. (Hotels, Restaurants & Leisure) | (a) | 72,648 | 985,833 | |||||||
Tapestry, Inc. (Textiles, Apparel & Luxury Goods) | 51,580 | 2,281,384 | ||||||||
Twenty-First Century Fox, Inc. Class A (Media) | 76,300 | 2,634,639 | ||||||||
Viacom, Inc. Class B (Media) | 58,940 | 1,815,941 | ||||||||
Wendy’s Co. / The (Hotels, Restaurants & Leisure) | 85,848 | 1,409,624 | ||||||||
|
| |||||||||
26,871,602 | ||||||||||
|
| |||||||||
CONSUMER STAPLES – 3.2% | ||||||||||
Conagra Brands, Inc. (Food Products) | 27,995 | 1,054,572 | ||||||||
Mondelez International, Inc. Class A (Food Products) | 46,249 | 1,979,457 | ||||||||
Wal-Mart Stores, Inc. (Food & Staples Retailing) | 10,272 | 1,014,360 | ||||||||
|
| |||||||||
4,048,389 | ||||||||||
|
| |||||||||
ENERGY – 9.8% | ||||||||||
Andeavor (Oil, Gas & Consumable Fuels) | 11,657 | 1,332,861 | ||||||||
Arch Coal, Inc. Class A (Oil, Gas & Consumable Fuels) | 8,277 | 771,085 | ||||||||
Concho Resources, Inc. (Oil, Gas & Consumable Fuels) | (a) | 7,562 | 1,135,964 | |||||||
Continental Resources, Inc. (Oil, Gas & Consumable Fuels) | (a) | 31,645 | 1,676,236 | |||||||
Halliburton Co. (Energy Equip. & Svs.) | 44,848 | 2,191,722 | ||||||||
Noble Energy, Inc. (Oil, Gas & Consumable Fuels) | 59,775 | 1,741,844 | ||||||||
ProPetro Holding Corp. (Energy Equip. & Svs.) | (a) | 63,689 | 1,283,970 | |||||||
Royal Dutch Shell PLC Class A – ADR (Oil, Gas & Consumable Fuels) | 31,630 | 2,110,037 | ||||||||
|
| |||||||||
12,243,719 | ||||||||||
|
| |||||||||
FINANCIALS – 15.6% | ||||||||||
Bank of America Corp. (Banks) | 77,722 | 2,294,353 | ||||||||
BB&T Corp. (Banks) | 32,147 | 1,598,349 | ||||||||
Brighthouse Financial, Inc. (Insurance) | (a) | 21,344 | 1,251,612 | |||||||
Citigroup, Inc. (Banks) | 26,422 | 1,966,061 | ||||||||
Goldman Sachs Group, Inc. / The (Capital Markets) | 9,484 | 2,416,144 | ||||||||
JPMorgan Chase & Co. (Banks) | 24,806 | 2,652,754 | ||||||||
MetLife, Inc. (Insurance) | 46,512 | 2,351,647 | ||||||||
Morgan Stanley (Capital Markets) | 33,778 | 1,772,332 | ||||||||
PNC Financial Services Group, Inc. / The (Banks) | 15,267 | 2,202,875 | ||||||||
TPG Pace Holdings Corp. (Capital Markets) | (a) | 109,004 | 1,120,016 | |||||||
|
| |||||||||
19,626,143 | ||||||||||
|
| |||||||||
HEALTH CARE – 12.6% | ||||||||||
AbbVie, Inc. (Biotechnology) | 13,414 | 1,297,268 |
Common Stocks (Continued) | Shares | Value | ||||||||
HEALTH CARE (continued) | ||||||||||
Allergan PLC (Pharmaceuticals) | 12,343 | $ | 2,019,068 | |||||||
Biogen, Inc. (Biotechnology) | (a) | 5,667 | 1,805,336 | |||||||
BioMarin Pharmaceutical, Inc. (Biotechnology) | (a) | 19,555 | 1,743,719 | |||||||
Bristol-Myers Squibb Co. (Pharmaceuticals) | 32,912 | 2,016,847 | ||||||||
Cigna Corp. (Health Care Providers & Svs.) | 10,822 | 2,197,840 | ||||||||
Merck & Co., Inc. (Pharmaceuticals) | 17,533 | 986,582 | ||||||||
Mylan N.V. (Pharmaceuticals) | (a) | 24,845 | 1,051,192 | |||||||
Pfizer, Inc. (Pharmaceuticals) | 34,932 | 1,265,237 | ||||||||
Shire PLC – ADR (Biotechnology) | 9,590 | 1,487,601 | ||||||||
|
| |||||||||
15,870,690 | ||||||||||
|
| |||||||||
INDUSTRIALS – 8.8% | ||||||||||
Caterpillar, Inc. (Machinery) | 4,025 | 634,260 | ||||||||
Mobile Mini, Inc. (Commercial Svs. & Supplies) | 41,664 | 1,437,408 | ||||||||
Mueller Water Products, Inc. Class A (Machinery) | 77,202 | 967,341 | ||||||||
Schneider National, Inc. Class B (Road & Rail) | 56,320 | 1,608,499 | ||||||||
Trinity Industries, Inc. (Machinery) | 47,499 | 1,779,313 | ||||||||
Union Pacific Corp. (Road & Rail) | 13,584 | 1,821,614 | ||||||||
United Technologies Corp. (Aerospace & Defense) | 10,392 | 1,325,707 | ||||||||
Univar, Inc. (Trading Companies & Distributors) | (a) | 49,026 | 1,517,845 | |||||||
|
| |||||||||
11,091,987 | ||||||||||
|
| |||||||||
INFORMATION TECHNOLOGY – 20.8% | ||||||||||
Alphabet, Inc. Class C (Internet Software & Svs.) | (a) | 2,594 | 2,714,361 | |||||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 14,258 | 2,412,881 | ||||||||
Benchmark Electronics, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 27,328 | 795,245 | |||||||
BlackBerry Ltd. (Software) | (a) | 91,494 | 1,021,988 | |||||||
CSRA, Inc. (IT Svs.) | 52,339 | 1,565,983 | ||||||||
Diebold Nixdorf, Inc. (Tech. Hardware, Storage & Periph.) | 59,327 | 969,997 | ||||||||
FLIR Systems, Inc. (Electronic Equip., Instr. & Comp.) | 40,424 | 1,884,567 | ||||||||
Fortinet, Inc. (Software) | (a) | 23,904 | 1,044,366 | |||||||
Guidewire Software, Inc. (Software) | (a) | 8,920 | 662,399 | |||||||
Intel Corp. (Semiconductors & Equip.) | 42,811 | 1,976,156 | ||||||||
Microsoft Corp. (Software) | 28,108 | 2,404,358 | ||||||||
Oracle Corp. (Software) | 34,630 | 1,637,306 | ||||||||
PTC, Inc. (Software) | (a) | 26,050 | 1,583,059 | |||||||
QUALCOMM, Inc. (Semiconductors & Equip.) | 23,683 | 1,516,186 | ||||||||
Teradata Corp. (IT Svs.) | (a) | 28,794 | 1,107,417 | |||||||
Verint Systems, Inc. (Software) | (a) | 44,159 | 1,848,054 | |||||||
Versum Materials, Inc. (Semiconductors & Equip.) | 24,211 | 916,386 | ||||||||
|
| |||||||||
26,060,709 | ||||||||||
|
| |||||||||
MATERIALS – 6.0% | ||||||||||
Olin Corp. (Chemicals) | 33,378 | 1,187,589 | ||||||||
Rio Tinto PLC – ADR (Metals & Mining) | 29,977 | 1,586,682 | ||||||||
Sealed Air Corp. (Containers & Packaging) | 22,497 | 1,109,102 | ||||||||
Tronox Ltd. Class A (Chemicals) | 48,794 | 1,000,765 | ||||||||
United States Steel Corp. (Metals & Mining) | 43,631 | 1,535,375 | ||||||||
Warrior Met Coal, Inc. (Metals & Mining) | 43,345 | 1,090,127 | ||||||||
|
| |||||||||
7,509,640 | ||||||||||
|
| |||||||||
REAL ESTATE – 1.0% | ||||||||||
CoreCivic, Inc. (Equity REIT) | 58,394 | 1,313,865 | ||||||||
|
| |||||||||
UTILITIES – 0.7% | ||||||||||
SCANA Corp. (Multi-Utilities) | 22,318 | 887,810 | ||||||||
|
| |||||||||
Total Common Stocks (Cost $106,043,065) | $ | 125,524,554 | ||||||||
|
| |||||||||
Total Investments – 99.9% (Cost $106,043,065) | (b) | $ | 125,524,554 | |||||||
Other Assets in Excess of Liabilities – 0.1% | 65,611 | |||||||||
|
| |||||||||
Net Assets – 100.0% | $ | 125,590,165 | ||||||||
|
|
20 | (continued) |
Ohio National Fund, Inc. | Capital Appreciation Portfolio (Continued) |
Schedule of Investments | December 31, 2017 |
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depositary Receipts
Footnotes:
(a) | Non-income producing security. |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
21 |
Ohio National Fund, Inc. | ON International Equity Portfolio (formerly the International Portfolio) (Unaudited) |
Objective/Strategy
The ON International Equity Portfolio (formerly the International Portfolio) seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its assets in equity securities of foreign companies.
Performance as of December 31, 2017
Average Annual returns | ||||
One year | 26.83% | |||
Five years | 3.97% | |||
Ten years | 0.73% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Total expense ratio is 1.02% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2017 can be found in the Portfolio’s Financial Highlights.
Comments from Sub-Adviser
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A. For the year ended December 31, 2017, the ON International Equity Portfolio (formerly the International Portfolio) returned 26.83% versus 25.03% for its current benchmark, the MSCI EAFE Index (Net – USD) and 27.19% for its former benchmark, the MSCI All Country World Ex-USA Index (Net – USD).
Effective May 1, 2017, Lazard Asset Management, LLC (“Lazard”) replaced the Portfolio’s previous sub-adviser, Federated Global Investment Management Corp. (“Federated Global”). In conjunction with the change in sub-adviser and investment strategy, the name of the Portfolio was changed from International Portfolio to ON International Equity Portfolio. Also, the Portfolio’s benchmark was changed from MSCI All Country World Ex-USA Index (Net-USD) to MSCI EAFE Index (Net-USD). The change in the benchmark was made because the MSCI EAFE Index (Net-USD) better reflects the style of the strategy utilized by Lazard.
For the period from January 1, 2017 to April 30, 2017 (the “first four-month period”), the Portfolio was known as the International Portfolio, was sub-advised by Federated Global, and utilized the MSCI All Country World Ex-USA Index (Net – USD) as its benchmark. During the first four-month period, the Portfolio returned 12.95% versus 10.17% for the MSCI All Country World Ex-USA Index (Net – USD).
For the period from May 1, 2017 to December 31, 2017 (the “latter eight-month period”), the Portfolio was sub-advised by Lazard and used the MSCI EAFE Index (Net-USD) as its benchmark. During this period, the Portfolio returned 12.29% versus 13.69% for the MSCI EAFE Index (Net-USD).
Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?
A. Federated Global: During the first four-month period, global equity market performance was broadly positive. Two key allocations that contributed to performance during this period were overweight positions to emerging markets (EM) and the Euro Area. As measured by the MSCI Emerging Markets Index (Net – USD), Emerging Markets strongly led the period, rising 13.88%. The Euro Area, as measured by the MSCI Euro (Net – USD) Index, outperformed most non-U.S. equity indices, climbing 12.81%. Developed non-U.S. markets, as measured by the MSCI EAFE Index, climbed 9.97%, exceeding the return of the MSCI USA Index (Net –USD).
There were several key geopolitical risks that affected performance during the first four-month period. The U.K.’s Article 50 notification, i.e. “Brexit,” aided benchmark-relative performance due to the Portfolio’s underweight to the U.K and the French election outcome boosted returns in the Euro Area, where the Portfolio maintained an overweight.
A. Lazard: Since the dominance of low quality equities ended in the middle of the first quarter, investors have increasingly focused on fundamentals, making stock selection once again the driver of attribution. International equity prices were rewarded for improved global economic growth, more margin leverage, and cheaper currencies. Strong stock selection has been a differentiator, as the tailwinds that supported markets - especially stimulative central bank policy, increasing global economic growth off low levels, few signs of inflation, and hopes of a U.S.-led fiscal package - are now well reflected in elevated valuations of lower-quality cyclicals.
Q. How did country and sector allocation and security selection impact the Portfolio’s performance relative to its benchmark? For country and sector allocation, were there any factors that impacted the benchmark’s performance more significantly than the Portfolio’s performance? For stock selection, was there anything specific regarding the Portfolio’s strategy that caused deviation from the benchmark?
A. Federated Global: Top contributors for the first four-month period were overweight positions in Sweden and Denmark, driven by both stock and country selection. The third top contributor was an underweight to United Kingdom, where stock and country selection both contributed. Top detractors were the Portfolio’s underweight positions in France, China, and Mexico. (1)
For the first four-month period, stock selections within Industrials and Financials were the largest sector contributors. The largest sector detractor was stock selection in Utilities. Overall sector allocation was also a contributor. (1)
A. Lazard: Lazard’s relative value investment philosophy is based on value creation through the process of bottom-up stock selection. This philosophy is implemented by assessing the trade-off between valuation and financial productivity for an individual security. As such, sector and country/regional weightings are a residual of our bottom up stock selection process.
Relative returns were helped by:
• Stock selection in Japan, specifically in the Consumer Discretionary sector, due principally to an overweight in shares of Japanese retailer Don Quijote Holdings Co. Ltd. Also, stock selection in the Real Estate sector, primarily due to an overweight to Daiwa House Industry Co. Ltd. (1)
• Stock selection in Norway and the Telecommunication Services sector, driven by an overweight to Telenor ASA. (1)
• Stock selection and an overweight in the Energy sector. (1)
22 | (continued) |
Ohio National Fund, Inc. | ON International Equity Portfolio (formerly the International Portfolio) (Unaudited) (Continued) |
• From a country perspective, stock selection in Japan, overweight and stock selection in Norway, and underweight with positive selection in Australia contributed to performance. (1)
Relative returns were hurt by:
• Stock selection in the Health Care sector, mostly from Shire PLC. (1)
• Stock selection in the United Kingdom and the Consumer Staples sector. Despite rising in absolute terms, shares of British American Tobacco PLC, a long-term holding and solid contributor to the platform, detracted from relative performance. (1)
• Stock selection in Sweden and the Industrials sector, primarily driven by Assa Abloy AB. (1)
• Underweight to the Materials sector, in which many of the lower-quality businesses within the sector have risen substantially over the past year, and their valuations reflect increased enthusiasm about the global macro environment. China remains a significant consumer of global industrial commodities, and previous fiscal and monetary stimulus measures continue to bolster its economy and industrial commodity prices. However, we believe the Chinese economy is currently undergoing a secular shift and will be driven more by consumer demand than by infrastructure spending in the future. As a result, we view the industrial commodity rally this year as more cyclical than structural, and we remain underweight. (1)
• Cash also continued to be a significant drag on relative performance. As equity markets continued to rise during the quarter and valuations remain elevated in historical terms, we have trimmed or sold some investments that have reached our target valuations faster than we have been able to replace them. Our cash exposure -- which historically averages less than 5% of assets—is a byproduct of our process and is not a managed allocation. Our intention, as always, is to remain fully invested. (1)
• From a country perspective, stock selection in the United Kingdom, Sweden, as well as overweight to United States were top detractors. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. Federated Global: The top three contributors for the first four-month period were Vestas Wind Systems A/S, Volvo AB, and Disco Corp. The period’s European area economic recovery was a key positive contributor for the Industrial companies in the Portfolio. European industrials outperformed in the period, including Vestas Wind Systems A/S, which had a strong order intake during the period, and Volvo AB, which also saw positive growth in order demand in both Europe and in China due to robust construction activity. As in the United States, Information Technology companies had strong performance during the period, and Disco Corp., specifically, had favorable demand from 3D NAND applications and a positive product mix. (1)
The top three detractors during the period were Statoil ASA, Deutsche Telekom AG, and Hennes & Maurtiz AB. Despite the ongoing economic recovery in Europe, oil prices slid during this period, which negatively impacted Statoil ASA. (1)
A. Lazard: Shares of Japanese retailer Don Quijote Holdings Co. Ltd. rose after reporting strong results driven by better sales and cost control, leading to operating profit margin expansion, while also increasing guidance. We believe gross profit margins are likely to improve as a result of the combined purchasing power from the tie-up with FamilyMart Uny, making it the third largest retailer in Japan.
BHP Billiton PLC (“BHP”), a low cost industrial commodity mining company, rallied on the back of higher commodity prices, specifically iron ore. We believe BHP has better capital discipline than many of its peers and has the framework to return cash to shareholders going forward. Additionally, BHP is less exposed to China’s secular shift from infrastructure spending.(1)
Daiwa House Industry Co. Ltd. was also a strong performer. The Japanese diversified real estate company operates in the construction of residential housing and commercial facilities. Our ownership of the company was predicated on the belief that the valuation has been too low given the company’s financial productivity, improving orders and margins. (1)
Shire PLC (“Shire”), a key detractor, is a global pharmaceutical company focused on rare diseases. Despite consistently strong fundamentals and an attractive valuation, Shire has struggled due to investor concerns over debt levels, its hemophilia franchise, and most recently the departure of its CFO. After the announcement of this departure, we met with Shire management and concluded that our investment thesis remained intact. Shire’s attractive mix of treatments for rare diseases gives it critical pricing power, which is increasingly rare in global pharmaceuticals today. The company’s free cash flow growth, which was already evident in 2017 and which we expect will grow further through 2018, will continue to be used to de-lever its balance sheet. We expect the fundamentals of this company will drive earnings and cash flows in 2018, which we believe should ultimately rerate its valuation higher. (1)
Shares of durable medical consumables manufacturer ConvaTec Group PLC declined amid concerns surrounding front-loaded new product investment, operational issues in wound care, and the recent departure of the CFO for family reasons. In October, the company announced a profit warning due to a second operational misstep in moving some of its ostomy production lines to lower cost Dominican Republic, which is still only operating at 75% capacity. While ConvaTec has some very good, high quality products, we exited our position. (1)
Assa Abloy AB, was a third major detractor. Despite rising 13% during the year, the stock underperformed during the fourth quarter, falling nearly 9%. The decline was the result of company-specific, transitory issues in China, rising materials costs, and its CEO’s retirement announcement. However, we believe the stock will resume strong performance in 2018 due to a bottoming in its China operations coupled with strength in Europe, the Middle East and Africa (“EMEA”) and North America. Additionally, new products such as residential smart locks look promising and acquisition activity is accelerating. (1)
Q. How did the Portfolio’s use of derivative instruments and initial public offerings (IPOs), if any, impact performance?
A. The Portfolio used equity index futures during the first four-month period to assist in managing country weights and cash in the Portfolio. The Portfolio chose equity index futures that were liquid and were related to equity markets viewed as being attractive. The futures detracted very slightly, but were not a significant impact on the Portfolio’s performance. Neither derivative instruments nor IPOs were used during the latter eight-month period. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2017. |
23 | (continued) |
Ohio National Fund, Inc. | ON International Equity Portfolio (formerly the International Portfolio) (Unaudited) (Continued) |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The Portfolio’s benchmark was changed from MSCI All Country World Ex-USA Index (Net-USD) to MSCI EAFE Index (Net-USD), effective May 1, 2017. The change in the benchmark was made because the MSCI EAFE Index (Net-USD) better reflects the style of the strategy utilized by the current sub-adviser.
The MSCI EAFE Index (Net-USD) is a free-float-adjusted market-capitalization weighted index that is designed to measure the equity market performance of 21 developed markets, including countries in Europe, Australasia and the Far East, excluding the U.S. and Canada. The returns for this index include the effects of reinvested dividends, net of taxes, and adjustment to U.S. Dollar denomination.
The MSCI All Country World Ex-USA Index (Net-USD) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of the developed and emerging markets. The MSCI All Country World Index consists of 23 developed and 23 emerging market country indices. The MSCI All Country World Ex-USA Index (Net-USD) excludes the impact of the United States from the MSCI All Country World Index. The returns for this index include the effects of reinvested dividends, net of taxes, and adjustment to U.S. Dollar denomination.
Portfolio Composition as of December 31, 2017 (1) |
% of Net Assets | ||||
Common Stocks (4) (5) | 98.7 | |||
Money Market Funds and Other Net Assets | 1.3 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31, 2017 (1) (2) (3) |
% of Net Assets | ||||||||
1. | Prudential PLC | 3.5 | ||||||
2. | Royal Dutch Shell PLC | 3.1 | ||||||
3. | Novartis AG | 3.1 | ||||||
4. | British American Tobacco PLC | 2.9 | ||||||
5. | Don Quijote Holdings Co. Ltd. | 2.7 | ||||||
6. | SAP SE | 2.6 | ||||||
7. | Daiwa House Industry Co. Ltd. | 2.6 | ||||||
8. | Vinci SA | 2.6 | ||||||
9. | BHP Billiton PLC | 2.5 | ||||||
10. | Shire PLC | 2.3 |
24 | (continued) |
Ohio National Fund, Inc. | ON International Equity Portfolio (formerly the International Portfolio) (Unaudited) (Continued) |
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. |
(3) | Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher. |
(4) | Top 10 Country Weightings (Common Stocks): |
% of Net Assets | ||||
Japan | 18.6 | |||
United Kingdom | 16.7 | |||
France | 10.6 | |||
Netherlands | 6.9 | |||
Switzerland | 6.6 | |||
Canada | 4.5 | |||
Germany | 4.3 | |||
Sweden | 3.4 | |||
Ireland | 3.3 | |||
Australia | 3.2 |
(5) | Sectors (Common Stocks): |
% of Net Assets | ||||
Industrials | 20.3 | |||
Financials | 17.5 | |||
Consumer Discretionary | 12.5 | |||
Consumer Staples | 10.5 | |||
Energy | 7.6 | |||
Health Care | 7.4 | |||
Information Technology | 7.3 | |||
Telecommunication Services | 6.0 | |||
Materials | 5.5 | |||
Real Estate | 2.6 | |||
Utilities | 1.5 | |||
|
| |||
98.7 | ||||
|
|
25 |
Ohio National Fund, Inc. | ON International Equity Portfolio (formerly the International Portfolio) |
Schedule of Investments | December 31, 2017 |
Common Stocks – 98.7% | Shares | Value | ||||||||
JAPAN – 18.6% | ||||||||||
Bridgestone Corp. (Consumer Discretionary) | (a) | 33,900 | $ | 1,568,967 | ||||||
Daiwa House Industry Co. Ltd. (Real Estate) | (a) | 107,419 | 4,119,237 | |||||||
Don Quijote Holdings Co. Ltd. (Consumer Discretionary) | (a) | 82,800 | 4,316,357 | |||||||
Hoshizaki Corp. (Industrials) | (a) | 9,100 | 806,214 | |||||||
Isuzu Motors Ltd. (Consumer Discretionary) | (a) | 173,200 | 2,891,968 | |||||||
Kao Corp. (Consumer Staples) | (a) | 25,310 | 1,710,185 | |||||||
KDDI Corp. (Telecommunication Services) | (a) | 71,200 | 1,768,574 | |||||||
Makita Corp. (Industrials) | (a) | 66,000 | 2,767,875 | |||||||
Shin-Etsu Chemical Co. Ltd. (Materials) | (a) | 18,900 | 1,915,004 | |||||||
Sony Corp. (Consumer Discretionary) | (a) | 54,300 | 2,437,138 | |||||||
Sumitomo Mitsui Financial Group, Inc. (Financials) | (a) | 62,700 | 2,702,652 | |||||||
United Arrows Ltd. (Consumer Discretionary) | (a) | 30,100 | 1,220,724 | |||||||
Yamaha Corp. (Consumer Discretionary) | (a) | 30,400 | 1,121,357 | |||||||
|
| |||||||||
29,346,252 | ||||||||||
|
| |||||||||
UNITED KINGDOM – 16.7% | ||||||||||
Aon PLC (Financials) | 24,200 | 3,242,800 | ||||||||
British American Tobacco PLC (Consumer Staples) | (a) | 66,206 | 4,475,447 | |||||||
BT Group PLC (Telecommunication Services) | (a) | 321,519 | 1,178,459 | |||||||
Diageo PLC (Consumer Staples) | (a) | 73,363 | 2,689,075 | |||||||
Howden Joinery Group PLC (Industrials) | (a) | 196,462 | 1,236,700 | |||||||
Informa PLC (Consumer Discretionary) | (a) | 171,363 | 1,667,276 | |||||||
Prudential PLC (Financials) | (a) | 217,559 | 5,571,756 | |||||||
RELX PLC (Industrials) | (a) | 139,321 | 3,266,827 | |||||||
Unilever PLC (Consumer Staples) | (a) | 55,276 | 3,065,946 | |||||||
|
| |||||||||
26,394,286 | ||||||||||
|
| |||||||||
FRANCE – 10.6% | ||||||||||
Air Liquide SA (Materials) | (a) | 23,255 | 2,923,484 | |||||||
Capgemini SE (Information Technology) | (a) | 30,588 | 3,622,897 | |||||||
Cie Generale des Etablissements Michelin (Consumer Discretionary) | (a) | 20,157 | 2,883,562 | |||||||
Safran SA (Industrials) | (a) | 17,310 | 1,785,449 | |||||||
Valeo SA (Consumer Discretionary) | (a) | 21,367 | 1,591,644 | |||||||
Vinci SA (Industrials) | (a) | 39,617 | 4,044,562 | |||||||
|
| |||||||||
16,851,598 | ||||||||||
|
| |||||||||
NETHERLANDS – 6.9% | ||||||||||
ABN AMRO Group N.V. (Financials) | (a) | 37,366 | 1,204,712 | |||||||
Koninklijke KPN N.V. (Telecommunication Services) | (a) | 371,081 | 1,295,547 | |||||||
Royal Dutch Shell PLC (Energy) | (a) | 148,206 | 4,947,589 | |||||||
Wolters Kluwer N.V. (Industrials) | (a) | 66,126 | 3,447,121 | |||||||
|
| |||||||||
10,894,969 | ||||||||||
|
| |||||||||
SWITZERLAND – 6.6% | ||||||||||
Ferguson PLC (Industrials) | (a) | 49,023 | 3,518,082 | |||||||
Julius Baer Group Ltd. (Financials) | (a) | 32,306 | 1,975,579 | |||||||
Novartis AG (Health Care) | (a) | 58,274 | 4,903,899 | |||||||
|
| |||||||||
10,397,560 | ||||||||||
|
| |||||||||
CANADA – 4.5% | ||||||||||
Canadian National Railway Co. (Industrials) | 18,800 | 1,550,215 | ||||||||
National Bank of Canada (Financials) | 49,744 | 2,482,055 | ||||||||
Suncor Energy, Inc. (Energy) | 82,700 | 3,036,281 | ||||||||
|
| |||||||||
7,068,551 | ||||||||||
|
| |||||||||
GERMANY – 4.3% | ||||||||||
Deutsche Post AG (Industrials) | (a) | 54,951 | 2,612,014 | |||||||
SAP SE (Information Technology) | (a) | 36,851 | 4,122,713 | |||||||
|
| |||||||||
6,734,727 | ||||||||||
|
| |||||||||
SWEDEN – 3.4% | ||||||||||
Assa Abloy AB Class B (Industrials) | (a) | 139,196 | 2,885,737 | |||||||
Nordea Bank AB (Financials) | (a) | 212,162 | 2,568,850 | |||||||
|
| |||||||||
5,454,587 | ||||||||||
|
|
Common Stocks (Continued) | Shares | Value | ||||||||
IRELAND – 3.3% | ||||||||||
Medtronic PLC (Health Care) | 39,070 | $ | 3,154,902 | |||||||
Ryanair Holdings PLC – ADR (Industrials) | (b) | 19,820 | 2,065,046 | |||||||
|
| |||||||||
5,219,948 | ||||||||||
|
| |||||||||
AUSTRALIA – 3.2% | ||||||||||
BHP Billiton PLC (Materials) | (a) | 192,434 | 3,891,082 | |||||||
Caltex Australia Ltd. (Energy) | (a) | 42,199 | 1,117,903 | |||||||
|
| |||||||||
5,008,985 | ||||||||||
|
| |||||||||
NORWAY – 2.9% | ||||||||||
Statoil ASA (Energy) | (a) | 93,058 | 1,992,226 | |||||||
Telenor ASA (Telecommunication Services) | (a) | 119,993 | 2,568,665 | |||||||
|
| |||||||||
4,560,891 | ||||||||||
|
| |||||||||
DENMARK – 2.5% | ||||||||||
AP Moller - Maersk A/S Class B (Industrials) | (a) | 1,143 | 1,992,232 | |||||||
Carlsberg A/S Class B (Consumer Staples) | (a) | 17,132 | 2,054,781 | |||||||
|
| |||||||||
4,047,013 | ||||||||||
|
| |||||||||
BELGIUM – 2.5% | ||||||||||
Anheuser-Busch InBev SA / N.V. (Consumer Staples) | (a) | 24,216 | 2,703,506 | |||||||
KBC Group N.V. (Financials) | (a) | 14,836 | 1,264,225 | |||||||
|
| |||||||||
3,967,731 | ||||||||||
|
| |||||||||
SINGAPORE – 2.4% | ||||||||||
DBS Group Holdings Ltd. (Financials) | (a) | 146,100 | 2,702,307 | |||||||
NetLink NBN Trust (Telecommunication Services) | (b)(c) | 1,825,200 | 1,139,513 | |||||||
|
| |||||||||
3,841,820 | ||||||||||
|
| |||||||||
UNITED STATES – 2.3% | ||||||||||
Shire PLC (Health Care) | (a) | 70,315 | 3,643,803 | |||||||
|
| |||||||||
SPAIN – 1.7% | ||||||||||
Bankia SA (Financials) | (a) | 74,445 | 355,322 | |||||||
Red Electrica Corp. SA (Utilities) | (a) | 103,380 | 2,320,595 | |||||||
|
| |||||||||
2,675,917 | ||||||||||
|
| |||||||||
FINLAND – 1.5% | ||||||||||
Sampo Oyj (Financials) | (a) | 42,723 | 2,344,728 | |||||||
|
| |||||||||
TAIWAN – 1.5% | ||||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. – ADR (Information Technology) | 58,900 | 2,335,385 | ||||||||
|
| |||||||||
TURKEY – 1.1% | ||||||||||
Turkcell Iletisim Hizmetleri AS (Telecommunication Services) | (a) | 422,605 | 1,723,161 | |||||||
|
| |||||||||
BRAZIL – 0.9% | ||||||||||
Cielo SA (Information Technology) | (a) | 192,600 | 1,365,394 | |||||||
|
| |||||||||
ITALY–0.7% | ||||||||||
UniCredit SpA (Financials) | (a)(b) | 59,215 | 1,104,610 | |||||||
|
| |||||||||
LUXEMBOURG – 0.6% | ||||||||||
Tenaris SA (Energy) | (a) | 65,652 | 1,042,026 | |||||||
Total Common Stocks | $ | 156,023,942 | ||||||||
|
| |||||||||
Money Market Funds – 1.2% | Shares | Value | ||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 1,918,848 | $ | 1,918,656 | |||||||
|
| |||||||||
Total Money Market Funds | $ | 1,918,656 | ||||||||
|
| |||||||||
Total Investments – 99.9% | (d) | $ | 157,942,598 | |||||||
Other Assets in Excess of | 144,147 | |||||||||
|
| |||||||||
Net Assets – 100.0% | $ | 158,086,745 | ||||||||
|
|
26 | (continued) |
Ohio National Fund, Inc. | ON International Equity Portfolio (formerly the International Portfolio) (Continued) |
Schedule of Investments | December 31, 2017 |
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depositary Receipts
Footnotes:
(a) | Security traded on a foreign exchange has been valued at an estimate of fair value that is different than the local market close price. These fair value estimates are determined by an independent fair valuation service that has been approved by the Board. These securities represent $137,017,745 or 86.7% of the Portfolio’s net assets. |
(b) | Non-income producing security. |
(c) | As discussed in Note 2 of the Notes to Financial Statements, not all investments that are traded on a foreign exchange are valued at an estimate that is different from the local close price. In some instances, the independent fair valuation service uses a stock’s local close price because the service’s measure of predictability related to their valuation model of a stock is below a chosen threshold. These securities represent $1,139,513 or 0.7% of the Portfolio’s net assets. Other Portfolio securities are not subjected to fair valuation procedures because they are traded on domestic or foreign exchanges that have close times that are consistent with the U.S. market close, normally 4:00 pm Eastern Time. |
(d) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
27 |
Ohio National Fund, Inc. | ON Foreign Portfolio (formerly the International Small-Mid Company Portfolio) (Unaudited) |
Objective/Strategy
The ON Foreign Portfolio (formerly the International Small-Mid Company Portfolio) seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its assets in foreign securities.
Performance as of December 31, 2017
Average Annual returns | ||||
One year | 19.84 | % | ||
Five years | 7.15 | % | ||
Ten years | 1.99 | % |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Total expense ratio is 1.09% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2017 can be found in the Portfolio’s Financial Highlights.
Comments from Sub-Adviser
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A. For the year ended December 31, 2017, the ON Foreign Portfolio (formerly the International Small-Mid Company Portfolio) returned 19.84% versus 27.19% for its current benchmark, the MSCI All Country World Ex-USA Index (Net – USD), and 30.35% for its former benchmark, the MSCI ACWI ex USA SMID Cap Index (Net – USD).
Effective May 1, 2017, Templeton Global Advisors Limited (“Templeton”) replaced the Portfolio’s previous sub-adviser, Federated Global Investment Management Corp. (“Federated Global”). In conjunction with the change in sub-adviser and investment strategy, the name of the Portfolio was changed from International Small-Mid Company Portfolio to ON Foreign Portfolio. Also, the Portfolio’s benchmark was changed from MSCI ACWI ex USA SMID Cap Index (Net-USD) to MSCI All Country World Ex-USA Index (Net-USD). The change in the benchmark was made because the MSCI All Country World Ex-USA Index (Net-USD) better reflects the style of the strategy utilized by Templeton.
For the period from January 1, 2017 to April 30, 2017 (the “first four-month period”), the Portfolio was known as the International Small-Mid Company Portfolio, was sub-advised by Federated Global and utilized the MSCI ACWI ex USA SMID Cap Index (Net – USD) as its benchmark. During the first four-month period, the Portfolio returned 12.77% versus 11.70% for the MSCI ACWI ex USA SMID Cap Index (Net – USD).
For the period from May 1, 2017 to December 31, 2017 (the “latter eight-month period”), the Portfolio was sub-advised by Templeton. During this period, the Portfolio returned 6.27% versus 15.45% for the MSCI All Country World Ex-USA Index (Net – USD).
Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?
A. Federated Global: The Portfolio’s performance relative to its benchmark during the first four-month period can almost entirely be attributed to positive stock selection from both country and sector perspectives. Country and sector allocations had minimal impact. (1)
A. Templeton: Market conditions remained challenging for value-oriented investors. After outperforming growth in 2016, value lagged growth in 2017 by the most in nearly two decades, and the tenth year out of the past eleven that global growth has outperformed global value. In our view, value’s headwinds stem largely from unconventional monetary policy, which has forced investors out the risk curve in search of growth and yield in an environment lacking much of either. We believe that indiscriminate buyers of stocks, like passive investors and even central bankers, perpetuate valuation divergence within equity markets by indexing their portfolios to market cap-weighted benchmarks. As these investors gain market share, more and more of the capital flowing into equity markets gets directed into the largest stocks, amplifying the forces of momentum and overvaluation. However, this feedback loop also works in reverse. Outflows from passive or value-agnostic investors may also magnify future market drawdowns, leaving the leaders of the last cycle most vulnerable. Central bankers, in our view, have been some of the least price-sensitive asset-buyers in recent years, and the eventual “normalization” of central bank policy could also trouble the waters for last cycle’s leaders.
While the nascent process of policy normalization is unlikely to be quick or painless, it does represent a major shift in market narrative consistent with an inflection point in the cycle. Regardless of exactly how it happens, we believe the cycle could eventually change, and with it the conditions that have been so hostile to value. We would not want to own the leaders of the last cycle during this transition: the bonds and richly valued stocks that have appreciated to historic heights. However, those stocks left behind—those of companies whose long-term earnings and cash flow potential have been overlooked and undervalued by a myopic market—appear to us well positioned for the reversals we believe are likely to unfold in the future.
Q. How did country and sector allocation and security selection impact the Portfolio’s performance relative to its benchmark? For country and sector allocation, were there any factors that impacted the benchmark’s performance more significantly than the Portfolio’s performance? For stock selection, was there anything specific regarding the Portfolio’s strategy that caused deviation from the benchmark?
A. Federated Global: At the country level, outperformance during the first four-month period was led by positive stock selection in France and Japan, while an India underweight and stock selection in South Korea were the most significant detractors. At the sector level, stock selections in Industrials and Heath Care were the largest contributors. (1)
A. Templeton: Health Care holdings detracted from relative performance, pressured by an unfavorable overweighting and stock selection in the traditionally defensive sector. It is rare to find highly cash-generative, innovative businesses with enormous growth potential trading in what we consider deep value territory, but we believe select biotechnology and pharmaceutical firms offer such a proposition. (1)
Stock selection in the Materials sector also detracted from relative returns, pressured mainly by a handful of Canadian Metals & Mining securities. We maintain a modest allocation to undervalued Metals & Mining stocks, which have historically optimized risk-adjusted returns over time and offered attractive defensive characteristics as economic and market cycles mature. Stock-specific setbacks in Industrials, Consumer Discretionary and Information Technology also detracted. (1)
28 | (continued) |
Ohio National Fund, Inc. | ON Foreign Portfolio (formerly the International Small-Mid Company Portfolio) (Unaudited) (Continued) |
Turning to relative contributors, stock selection and a favorable underweighting in Consumer Staples and Utilities benefited results. We continue to find what we believe are limited long-term bargains in these sectors at recent valuations, and we prefer sectors with undervalued growth prospects or cyclically depressed fundamentals. (1)
Stock selection in Financials also contributed to relative performance, led by South Korean lenders. South Korean Financials stocks benefited from an improving earnings outlook following the country’s first interest-rate hike in six years, in addition to hopes that a new president could push through fiscal stimulus, reform the rigid corporate chaebol structure and normalize economic ties with China. (1)
From a country perspective, overweights in allocation to South Korea and Norway, as well as underweight to Australia were top contributors. Stock selection in Canada and China, as well as overweight and stock selection in Israel, contributed to detraction. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. Federated Global: Ipsen SA, a key contributor during the first four-month period, provided mid-term guidance through 2020 that was above market expectations. In addition to better visibility, growth continues to accelerate in its high margin oncology drug. (1)
Rheinmetall AG rose due to expectations of an increase to the German defense budget that has led to upgraded growth expectations for Rheinmetall’s Defense division. Another company division, automotive, continues to report better than expected profit margins. (1)
Nexteer Automotive Group Ltd., an electric power steering company, contributed by successfully diversifying away from its United States customer base and increasing penetration into the Chinese auto market. The company also teamed up with Continental in developing advanced driver assistance systems (ADAS) products. (1)
Precision Drilling Corp. was a key detractor during the period. The company is a Canadian oilfield driller with high leverage, which makes it a high beta play on the price of oil. The pullback in oil, along with declining United States rig count expectations for the second half of 2017, led to a rotation out of Precision Drilling. (1)
Mando Corp., a South Korean auto parts company, also detracted from performance. The Company has large exposure to the Hyundai automotive group, which is caught up in a political firestorm between China and South Korea over the U.S. deployment of defense missiles in Korea. To reduce exposure to Hyundai and Kia China auto sales, Mando has successfully carried out more sales to Chinese Original Equipment Manufacturers (OEMs). (1)
Similar to Precision Drilling Corp, Whitecap Resources, Inc. is a Canadian exploration and production company that has been impacted by lower oil prices and sector rotation. (1)
A. Templeton: Japanese miner, smelter, and key contributor during the latter eight-month period, Sumitomo Metal Mining Co., Ltd., recently released positive earnings results and raised guidance, underscoring the progress made cutting costs and stemming losses at a troubled mine in Chile. While we continue to like the company because of its strong management, sound balance sheet, exposure to attractive metals and growth potential as a fabricator of raw materials for electric vehicle batteries, shares have re-rated strongly and no longer appear cheaply valued. (1)
Shares of the South Korean lender, Hana Financial Group, Inc., rallied to a record as investors overlooked geopolitical tensions and domestic political turmoil and focused instead on improving corporate fundamentals and an upgraded earnings outlook. Over the long term,
rising interest rates and improving macroeconomic conditions could be key drivers of this stock, and we remain constructive on the holding given what we view as low valuations and early-cycle momentum in the South Korean economy. (1)
Shares of the Chinese internet company, Baidu, Inc. – ADR, rallied on surging profits after the firm slashed investment on non-core business lines. Baidu’s core search business is under-earning its potential and has traded at what we believe is a significant discount to industry peers, representing compelling prospective upside. (1)
Teva Pharmaceutical Industries Ltd., a key detractor during the latter period, is an Israeli generic drug-maker that declined after downgrading guidance and raising concerns about its debt profile. Our analysis indicates that Teva does not have a liquidity problem and should be able to address balance sheet issues, cut costs and deliver on a more conservative outlook. (1)
Shares of the Canadian gold miner, Eldorado Gold Corp., declined amid ongoing permitting challenges at its Greek mines and a downgrade to production guidance at a flagship mine in Turkey. The stock appears to us to be undervalued, belying what we believe are potentially viable paths to resolution at key assets. (1)
The U.K.-based oilfield services company, Petrofac Limited, declined amid a regulatory investigation. We had been positive on the stock given its healthy backlog, strategic refocus on core assets and prudent balance sheet deleveraging, but the escalating fraud investigation was a thesis-changer, and we divested our holdings to protect from additional downside. (1)
Q. How did the Portfolio’s use of derivative instruments and initial public offerings (IPOs), if any, impact performance?
A. Federated Global: During the first four-month period, the Portfolio bought a short euro forward contract to partially mitigate the large overweight to the Euro currency. As the Euro currency appreciated during the period, the currency contract detracted 7 basis points from performance. (1)
The Portfolio also participated in four IPO’s during this period. Those IPO’s generated a positive contribution of 10 basis points to performance. Below is a breakdown of each IPO’s contribution:
• Canada Goose Holdings Inc., 39.75% base return, 4 basis points contribution,
• Galenica Sante Ag, 12.50% base return, 3 basis points contribution,
• X-Fab Silicon Foundries SE, 2.43% base return, 2 basis points contribution,
• Keane Group Inc., 15.20% base return, 1 basis point contribution. (1)
A. Templeton: No derivatives were used, nor were there IPOs that impacted performance during the latter eight-month period. (1)
Q. Were there any significant changes to the Portfolio’s management team, investment strategy, or selection process during the reporting period?
A. Federated Global: There were no significant changes to the Portfolio’s management team, investment strategy, or selection process during the first four-month period.
A. Templeton: There were no changes to the investment team or strategy during the period. As part of ongoing efforts to enhance our analytical capabilities and improve our investment approach, in 2017 we fully integrated two important initiatives into our research process. First, we expanded our valuation framework to include explicit forecasts of the
29 | (continued) |
Ohio National Fund, Inc. | ON Foreign Portfolio (formerly the International Small-Mid Company Portfolio) (Unaudited) (Continued) |
upside and downside potential of every security in our database. By identifying the key drivers of potential value creation and destruction, and then flexing them under a range of possible scenarios, we are able to more confidently assess the risk-reward prospect for every holding and ensure that balance is asymmetrically skewed in our favor. Second, we have created a formal framework to assess and quantify environmental, social and governance (“ESG”) considerations as an integral part of our fundamental analysis. Like the upside/downside analysis, these efforts are primarily intended to improve our ability to identify and quantify both risks and opportunities. Here again, all securities in our database have been assessed and scored on ESG considerations, and the output of this analysis is incorporated into our long-term fundamental forecasts.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2017. |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The Portfolio’s benchmark was changed from MSCI ACWI ex USA SMID Cap Index (Net-USD) to MSCI All Country World Ex-USA Index (Net-USD), effective May 1, 2017. The change in the benchmark was made because the MSCI All Country World Ex-USA Index (Net-USD) better reflects the style of the strategy utilized by the current sub-adviser.
The MSCI All Country World Ex-USA Index (Net-USD) is a free float adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The MSCI All Country World Index (ACWI) consists of 23 developed and 24 emerging market country indices and excludes the impact of the United States. The returns presented for this index include the effects of reinvested dividends, net of taxes, and adjustment to U.S. Dollar denomination.
The MSCI ACWI ex USA SMID Cap Index (Net-USD) captures mid and small cap representation across 22 of 23 developed market countries (excluding the U.S.) and 23 emerging markets countries. With over 5,000 constituents, the index covers approximately 28% of the free float-adjusted market capitalization in each country. The returns presented for this index include the effects of reinvested dividends, net of taxes, and adjustment to U.S dollar denomination.
30 | (continued) |
Ohio National Fund, Inc. | ON Foreign Portfolio (formerly the International Small-Mid Company Portfolio) (Unaudited) (Continued) |
Portfolio Composition as of December 31, 2017 (1) |
% of Net Assets | ||||
Common Stocks (4) (5) | 97.1 | |||
Money Market Funds | ||||
Less Net Liabilities | 2.9 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31, 2017 (1) (2) (3)
% of Net Assets | ||||||||
1. | Samsung Electronics Co. Ltd. | 3.7 | ||||||
2. | BP PLC | 3.2 | ||||||
3. | Baidu, Inc. – ADR | 2.9 | ||||||
4. | Royal Dutch Shell PLC | 2.9 | ||||||
5. | SoftBank Group Corp. | 2.6 | ||||||
6. | Standard Chartered PLC | 2.3 | ||||||
7. | Roche Holding AG | 2.2 | ||||||
8. | TOTAL SA | 2.2 | ||||||
9. | Aegon N.V. | 2.2 | ||||||
10. | Teva Pharmaceutical Industries Ltd. – ADR | 2.0 |
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. |
(3) | Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher. |
(4) | Top 10 Country Weightings (Common Stocks): |
% of Net Assets | ||||
United Kingdom | 18.2 | |||
Japan | 12.7 | |||
South Korea | 9.1 | |||
China | 8.7 | |||
France | 8.6 | |||
Netherlands | 7.5 | |||
Germany | 6.2 | |||
Canada | 4.3 | |||
Switzerland | 3.9 | |||
Singapore | 3.0 |
(5) | Sectors (Common Stocks): |
% of Net Assets | ||||
Financials | 21.4 | |||
Health Care | 15.9 | |||
Energy | 13.4 | |||
Information Technology | 11.9 | |||
Industrials | 8.7 | |||
Consumer Discretionary | 8.1 | |||
Telecommunication Services | 7.8 | |||
Materials | 6.8 | |||
Consumer Staples | 2.1 | |||
Utilities | 1.0 | |||
|
| |||
97.1 | ||||
|
|
31 |
Ohio National Fund, Inc. | ON Foreign Portfolio (formerly the International Small-Mid Company Portfolio) |
Schedule of Investments | December 31, 2017 |
Common Stocks – 97.1% | Shares | Value | ||||||||
UNITED KINGDOM – 18.2% | ||||||||||
Aviva PLC (Financials) | (a) | 103,467 | $ | 705,678 | ||||||
BAE Systems PLC (Industrials) | (a) | 138,240 | 1,068,088 | |||||||
Barclays PLC (Financials) | (a) | 319,800 | 875,411 | |||||||
BP PLC (Energy) | (a) | 358,270 | 2,513,368 | |||||||
Capita PLC (Industrials) | (a) | 139,011 | 751,091 | |||||||
Cobham PLC (Industrials) | (a)(b) | 322,840 | 549,301 | |||||||
HSBC Holdings PLC (Financials) | (a) | 132,711 | 1,370,648 | |||||||
Johnson Matthey PLC (Materials) | (a) | 23,437 | 971,191 | |||||||
Kingfisher PLC (Consumer Discretionary) | (a) | 256,621 | 1,171,740 | |||||||
Rolls-Royce Holdings PLC (Industrials) | (a) | 42,650 | 486,755 | |||||||
SIG PLC (Industrials) | (c) | 368,740 | 877,220 | |||||||
Standard Chartered PLC (Financials) | (a)(b) | 171,100 | 1,796,821 | |||||||
Travis Perkins PLC (Industrials) | (c) | 28,809 | 609,508 | |||||||
Vodafone Group PLC (Telecommunication Services) | (a) | 233,940 | 739,483 | |||||||
|
| |||||||||
14,486,303 | ||||||||||
|
| |||||||||
JAPAN – 12.7% | ||||||||||
Astellas Pharma, Inc. (Health Care) | (a) | 67,300 | 854,930 | |||||||
Inpex Corp. (Energy) | (a) | 81,500 | 1,014,351 | |||||||
Kirin Holdings Co. Ltd. (Consumer Staples) | (a) | 38,500 | 970,254 | |||||||
Panasonic Corp. (Consumer Discretionary) | (a) | 65,300 | 952,982 | |||||||
Ryohin Keikaku Co. Ltd. (Consumer Discretionary) | (a) | 1,900 | 591,449 | |||||||
SoftBank Group Corp. (Telecommunication Services) | (a) | 26,400 | 2,090,103 | |||||||
Sumitomo Metal Mining Co. Ltd. (Materials) | (a) | 23,500 | 1,075,131 | |||||||
Sumitomo Rubber Industries Ltd. (Consumer Discretionary) | (a) | 51,300 | 950,756 | |||||||
Suntory Beverage & Food Ltd. (Consumer Staples) | (a) | 16,700 | 742,647 | |||||||
Taiheiyo Cement Corp. (Materials) | (a) | 20,100 | 865,379 | |||||||
|
| |||||||||
10,107,982 | ||||||||||
|
| |||||||||
SOUTH KOREA – 9.1% | ||||||||||
DB Insurance Co. Ltd. (Financials) | (c) | 9,026 | 600,300 | |||||||
Hana Financial Group, Inc. (Financials) | (a) | 29,001 | 1,348,008 | |||||||
Hyundai Mobis Co. Ltd. (Consumer Discretionary) | (c) | 3,899 | 957,860 | |||||||
KB Financial Group, Inc. (Financials) | (a)(b) | 14,210 | 840,992 | |||||||
Korea Investment Holdings Co. Ltd. (Financials) | (a) | 8,423 | 542,337 | |||||||
Samsung Electronics Co. Ltd. (Information Technology) | (a) | 1,258 | 2,988,895 | |||||||
|
| |||||||||
7,278,392 | ||||||||||
|
| |||||||||
CHINA – 8.7% | ||||||||||
Baidu, Inc. – ADR (Information Technology) | (b) | 10,010 | 2,344,442 | |||||||
China Life Insurance Co. Ltd. (Financials) | (a) | 249,000 | 776,510 | |||||||
China Telecom Corp. Ltd. (Telecommunication Services) | (a) | 2,334,000 | 1,107,040 | |||||||
NetEase, Inc. – ADR (Information Technology) | 2,200 | 759,154 | ||||||||
Shandong Weigao Group Medical Polymer Co. Ltd. (Health Care) | (a) | 660,000 | 479,643 | |||||||
Sinopec Engineering Group Co. Ltd. (Industrials) | (c) | 800,500 | 758,200 | |||||||
Sinopharm Group Co. Ltd. (Health Care) | (a) | 155,200 | 668,569 | |||||||
|
| |||||||||
6,893,558 | ||||||||||
|
| |||||||||
FRANCE – 8.6% | ||||||||||
AXA SA (Financials) | (a) | 35,720 | 1,058,499 | |||||||
BNP Paribas SA (Financials) | (a) | 21,430 | 1,594,147 | |||||||
Cie Generale des Etablissements Michelin (Consumer Discretionary) | (a) | 4,288 | 613,420 | |||||||
Sanofi (Health Care) | (a) | 12,212 | 1,051,355 | |||||||
TOTAL SA (Energy) | (a) | 31,640 | 1,746,524 | |||||||
Veolia Environnement SA (Utilities) | (a) | 30,759 | 784,328 | |||||||
|
| |||||||||
6,848,273 | ||||||||||
|
|
Common Stocks (Continued) | Shares | Value | ||||||||
NETHERLANDS – 7.5% | ||||||||||
Aegon N.V. (Financials) | (a) | 270,070 | $ | 1,716,014 | ||||||
Flow Traders (Financials) | (a) | 15,070 | 361,188 | |||||||
ING Groep N.V. (Financials) | (a) | 26,474 | 485,976 | |||||||
QIAGEN N.V. (Health Care) | (a) | 36,800 | 1,147,809 | |||||||
Royal Dutch Shell PLC (Energy) | (a) | 68,270 | 2,298,926 | |||||||
|
| |||||||||
6,009,913 | ||||||||||
|
| |||||||||
GERMANY – 6.2% | ||||||||||
Bayer AG (Health Care) | (a) | 8,614 | 1,070,402 | |||||||
Gerresheimer AG (Health Care) | (a) | 10,040 | 830,368 | |||||||
Merck KGaA (Health Care) | (a) | 8,080 | 867,281 | |||||||
MorphoSys AG (Health Care) | (a)(b) | 9,530 | 871,022 | |||||||
Siemens AG (Industrials) | (a) | 4,697 | 650,336 | |||||||
Telefonica Deutschland Holding AG (Telecommunication Services) | (a) | 129,160 | 646,412 | |||||||
|
| |||||||||
4,935,821 | ||||||||||
|
| |||||||||
CANADA – 4.3% | ||||||||||
Alamos Gold, Inc. Class A (Materials) | 171,700 | 1,117,767 | ||||||||
Barrick Gold Corp. (Materials) | 57,440 | 831,157 | ||||||||
Eldorado Gold Corp. (Materials) | 273,534 | 396,047 | ||||||||
Husky Energy, Inc. (Energy) | (b) | 47,600 | 672,156 | |||||||
Suncor Energy, Inc. (Energy) | 11,600 | 425,887 | ||||||||
|
| |||||||||
3,443,014 | ||||||||||
|
| |||||||||
SWITZERLAND – 3.9% | ||||||||||
Landis+Gyr Group AG (Information Technology) | (a)(b) | 2,922 | 232,331 | |||||||
Roche Holding AG (Health Care) | (a) | 7,040 | 1,780,101 | |||||||
UBS Group AG (Financials) | (a) | 59,429 | 1,091,874 | |||||||
|
| |||||||||
3,104,306 | ||||||||||
|
| |||||||||
SINGAPORE – 3.0% | ||||||||||
Singapore Telecommunications Ltd. | ||||||||||
(Telecommunication Services) | (a) | 378,900 | 1,012,727 | |||||||
United Overseas Bank Ltd. (Financials) | (a) | 70,200 | 1,383,854 | |||||||
|
| |||||||||
2,396,581 | ||||||||||
|
| |||||||||
UNITED STATES – 2.8% | ||||||||||
Oracle Corp. (Information Technology) | 28,160 | 1,331,405 | ||||||||
Shire PLC (Health Care) | (a) | 14,684 | 760,941 | |||||||
Tahoe Resources, Inc. (Materials) | 33,900 | 162,623 | ||||||||
|
| |||||||||
2,254,969 | ||||||||||
|
| |||||||||
TAIWAN – 2.3% | ||||||||||
Catcher Technology Co. Ltd. (Information Technology) | (a) | 42,000 | 460,223 | |||||||
Quanta Computer, Inc. (Information Technology) | (a) | 283,000 | 587,466 | |||||||
Taiwan Semiconductor Manufacturing Co. Ltd. (Information Technology) | (a) | 107,000 | 819,307 | |||||||
|
| |||||||||
1,866,996 | ||||||||||
|
| |||||||||
HONG KONG – 2.3% | ||||||||||
China Mobile Ltd. (Telecommunication Services) | (a) | 64,500 | 652,227 | |||||||
CK Hutchison Holdings Ltd. (Industrials) | (a) | 92,000 | 1,152,787 | |||||||
|
| |||||||||
1,805,014 | ||||||||||
|
| |||||||||
ISRAEL – 2.0% | ||||||||||
Teva Pharmaceutical Industries Ltd. – ADR (Health Care) | 85,043 | 1,611,565 | ||||||||
|
| |||||||||
ITALY–1.7% | ||||||||||
Eni SpA (Energy) | (a) | 79,167 | 1,310,050 | |||||||
|
| |||||||||
THAILAND – 1.3% | ||||||||||
Kasikornbank PCL – Foreign Shares (Financials) | (a) | 18,100 | 132,462 |
32 | (continued) |
Ohio National Fund, Inc. | ON Foreign Portfolio (formerly the International Small-Mid Company Portfolio) (Continued) |
Schedule of Investments | December 31, 2017 |
Common Stocks (Continued) | Shares | Value | ||||||||
THAILAND (continued) | ||||||||||
Kasikornbank PCL – NVDR (Financials) | (a) | 47,800 | $ | 339,491 | ||||||
PTT Exploration & Production PCL – Foreign Shares (Energy) | (a) | 183,600 | 562,663 | |||||||
|
| |||||||||
1,034,616 | ||||||||||
|
| |||||||||
SWEDEN – 1.0% | ||||||||||
Arjo AB (Health Care) | (b)(c) | 46,988 | 134,094 | |||||||
Getinge AB Class B (Health Care) | (a) | 46,988 | 681,360 | |||||||
|
| |||||||||
815,454 | ||||||||||
|
| |||||||||
NEW ZEALAND – 0.8% | ||||||||||
SKY Network Television Ltd. (Consumer Discretionary) | (c) | 317,198 | 631,683 | |||||||
|
|
Common Stocks (Continued) | Shares | Value | ||||||||
LUXEMBOURG – 0.7% | ||||||||||
SES SA (Consumer Discretionary) | (a) | 34,116 | $ | 531,923 | ||||||
|
| |||||||||
Total Common Stocks (Cost $73,424,040) | $ | 77,366,413 | ||||||||
|
| |||||||||
Money Market Funds – 2.9% | Shares | Value | ||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 2,348,726 | $ | 2,348,492 | |||||||
|
| |||||||||
Total Money Market Funds (Cost $2,348,856) | $ | 2,348,492 | ||||||||
|
| |||||||||
Total Investments – 100.0% (Cost $75,772,896) | (d) | $ | 79,714,905 | |||||||
Liabilities in Excess of Other Assets – (0.0)% | (24,175 | ) | ||||||||
|
| |||||||||
Net Assets – 100.0% | $ | 79,690,730 | ||||||||
|
|
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depositary Receipts
NVDR: Non-Voting Depository Receipts
Footnotes:
(a) | Security traded on a foreign exchange has been valued at an estimate of fair value that is different than the local market close price. These fair value estimates are determined by an independent fair valuation service that has been approved by the Board. These securities represent $63,145,345 or 79.2% of the Portfolio’s net assets. |
(b) | Non-income producing security. |
(c) | As discussed in Note 2 of the Notes to Financial Statements, not all investments that are traded on a foreign exchange are valued at an estimate that is different from the local close price. In some instances, the independent fair valuation service uses a stock’s local close price because the service’s measure of predictability related to their valuation model of a stock is below a chosen threshold. These securities represent $4,568,865 or 5.7% of the Portfolio’s net assets. Other Portfolio securities are not subjected to fair valuation procedures because they are traded on domestic or foreign exchanges that have close times that are consistent with the U.S. market close, normally 4:00 pm Eastern Time. |
(d) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
33 |
Ohio National Fund, Inc. | Aggressive Growth Portfolio (Unaudited) |
Objective/Strategy
The Aggressive Growth Portfolio seeks long-term capital growth by investing primarily in domestic and foreign equity securities selected for growth potential.
Performance as of December 31, 2017
Average Annual returns | ||||
One year | 27.67 | % | ||
Five years | 15.95 | % | ||
Ten years | 7.98 | % |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Total expense ratio is 0.95% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2017 can be found in the Portfolio’s Financial Highlights.
Comments from Sub-Adviser
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A. For the year ended December 31, 2017, the Aggressive Growth Portfolio returned 27.67% versus 30.21% for its benchmark, the Russell 1000 Growth Index.
Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?
A. As part of our investment strategy, we seek companies that have built clear, sustainable competitive moats around their businesses, which should help them grow market share within their respective industries over time. Important competitive advantages could include a strong brand, network effects from a product or service that would be hard for a competitor to replicate, a lower cost structure than competitors in the industry, a distribution advantage or patent protection over valuable intellectual property. We think emphasizing these sustainable competitive advantages can be a meaningful driver of outperformance over longer time horizons because the market often underestimates the duration of growth for these companies and the long-term potential return to shareholders. During the year, many of the companies in the Portfolio continued to put up impressive results and validate our view that they are well positioned to grow in excess of the market. However, we also held a few Health Care stocks that produced disappointing results and were large detractors from our relative performance. (1)
Q. How did sector allocation and security selection each impact the Portfolio’s performance relative to its benchmark? For sector allocation, were there any factors that impacted the benchmark’s performance more significantly than the Portfolio’s performance? For stock selection, was there anything specific regarding the Portfolio’s strategy that caused deviation from the benchmark?
A. Sector allocation contributed to relative performance, though it should be noted that given the concentrated nature of the Portfolio, sector over-or under-weights are often due to finding a few more (or less) stock-specific opportunities in a sector, rather than a call on the sector itself. In terms of sector allocations, an underexposure to Consumer Staples and an overweight to Information Technology were the largest contributors. (1)
Stock selection detracted from performance, leading to the Portfolio’s underperformance, largely due to stock selection within the Health Care sector. Running a concentrated strategy, we expect our holdings and weightings to look significantly different from the benchmark within each sector. Within the Health Care sector, Allergan PLC and Celgene Corp. fell due to company-specific factors, which had a large effect on our results. The Portfolio’s lack of exposure to UnitedHealth Group and Abbvie Inc. also negatively impacted relative performance in Heath Care. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. Activision Blizzard, Inc. was the largest contributor. The stock appreciated as the market began to recognize that the company’s digital transition enables a more durable cash flow stream and new avenues to monetize its franchises. (1)
Mastercard, Inc. Class A was the second-largest contributor to relative performance. The stock was up earlier in the year after the company raised guidance and issued an upbeat outlook at its investor day. (1)
Adobe Systems, Inc. was the third-largest contributor. Solid earnings reports have re-enforced the strength of its business model. (1)
Apple, Inc. was the largest detractor on a benchmark-relative basis. We underweighted the stock relative to the benchmark and our underweight to the stock hurt performance this year. Also, not owning Boeing Co. was our second largest relative detractor. Increasing orders from the airline industry and the company’s decision to raise its dividend were reasons the stock was up this year. (1)
Allergan PLC was another detractor during the period. Patent disputes concerning Restasis, the firm’s blockbuster medicine for dry eye, weighed on the stock. Celgene Corp. and General Electric Co. were also key holdings that detracted from performance. (1)
Q. How did the Portfolio’s use of derivative instruments and initial public offerings (IPOs), if any, impact performance?
A. The Portfolio did not use derivatives during the period. Participation in two IPOs during the year resulted in a modest contribution to performance (6 basis points). (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2017. |
34 | (continued) |
Ohio National Fund, Inc. | Aggressive Growth Portfolio (Unaudited) (Continued) |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The Russell 1000 Growth Index is a market-capitalization weighted index of those firms in the Russell 1000 Index with higher price-to-book ratios and higher forecasted growth values. The Russell 1000 Index measures the performance of the large-cap segment of the U.S. equity universe. The index presented includes the effects of reinvested dividends.
Portfolio Composition as of December 31, 2017 (1)
% of Net Assets | ||||
Common Stocks (4) | 96.4 | |||
U.S. Government Agency Issues | 0.1 | |||
Money Market Funds | 3.5 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31, 2017 (1) (2) (3)
% of Net Assets | ||||||||
1. | Alphabet, Inc. Class C | 5.6 | ||||||
2. | Mastercard, Inc. Class A | 4.9 | ||||||
3. | Microsoft Corp. | 4.6 | ||||||
4. | SVB Financial Group | 3.7 | ||||||
5. | Amazon.com, Inc. | 3.7 | ||||||
6. | Activision Blizzard, Inc. | 3.6 | ||||||
7. | salesforce.com, Inc. | 3.3 | ||||||
8. | TD Ameritrade Holding Corp. | 3.2 | ||||||
9. | Texas Instruments, Inc. | 2.9 | ||||||
10. | Apple, Inc. | 2.8 |
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. |
(3) | Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher. |
(4) | Sectors (Common Stocks): |
% of Net Assets | ||||
Information Technology | 41.4 | |||
Health Care | 19.1 | |||
Financials | 11.4 | |||
Consumer Discretionary | 11.1 | |||
Industrials | 5.5 | |||
Materials | 5.1 | |||
Real Estate | 2.8 | |||
|
| |||
96.4 | ||||
|
|
35 |
Ohio National Fund, Inc. | Aggressive Growth Portfolio |
Schedule of Investments | December 31, 2017 |
Common Stocks – 96.4% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 11.1% | ||||||||
Amazon.com, Inc. (Internet & Direct Marketing Retail) | (a) | 1,892 | $ 2,212,637 | |||||
Aptiv PLC (Auto Components) | 14,936 | 1,267,021 | ||||||
Ctrip.com International Ltd. – ADR (Internet & Direct Marketing Retail) | (a) | 16,257 | 716,934 | |||||
Live Nation Entertainment, Inc. (Media) | (a) | 11,535 | 491,045 | |||||
MakeMyTrip Ltd. (Internet & Direct Marketing Retail) | (a) | 15,435 | 460,735 | |||||
NIKE, Inc. Class B (Textiles, Apparel & Luxury Goods) | 21,649 | 1,354,145 | ||||||
Tesla, Inc. (Automobiles) | (a) | 778 | 242,230 | |||||
| ||||||||
6,744,747 | ||||||||
| ||||||||
FINANCIALS – 11.4% | ||||||||
Intercontinental Exchange, Inc. (Capital Markets) | 23,493 | 1,657,666 | ||||||
LendingTree, Inc. (Thrifts & Mortgage Finance) | (a) | 3,107 | 1,057,778 | |||||
SVB Financial Group (Banks) | (a) | 9,663 | 2,258,919 | |||||
TD Ameritrade Holding Corp. (Capital Markets) | 38,130 | 1,949,587 | ||||||
| ||||||||
6,923,950 | ||||||||
| ||||||||
HEALTH CARE – 19.1% | ||||||||
Allergan PLC (Pharmaceuticals) | 7,563 | 1,237,156 | ||||||
Boston Scientific Corp. (Health Care Equip. & Supplies) | (a) | 55,522 | 1,376,390 | |||||
Celgene Corp. (Biotechnology) | (a) | 15,498 | 1,617,371 | |||||
Cooper Cos., Inc. / The (Health Care Equip. & Supplies) | 6,281 | 1,368,504 | ||||||
DexCom, Inc. (Health Care Equip. & Supplies) | (a) | 7,280 | 417,799 | |||||
Glaukos Corp. (Health Care Equip. & Supplies) | (a) | 7,204 | 184,783 | |||||
Humana, Inc. (Health Care Providers & Svs.) | 4,426 | 1,097,958 | ||||||
ICU Medical, Inc. (Health Care Equip. & Supplies) | (a) | 2,792 | 603,072 | |||||
Intuitive Surgical, Inc. (Health Care Equip. & Supplies) | (a) | 3,253 | 1,187,150 | |||||
Regeneron Pharmaceuticals, Inc. (Biotechnology) | (a) | 3,684 | 1,385,037 | |||||
Zoetis, Inc. (Pharmaceuticals) | 15,353 | 1,106,030 | ||||||
| ||||||||
11,581,250 | ||||||||
| ||||||||
INDUSTRIALS – 5.5% | ||||||||
CSX Corp. (Road & Rail) | 16,783 | 923,233 | ||||||
Harris Corp. (Aerospace & Defense) | 10,528 | 1,491,291 | ||||||
Rexnord Corp. (Machinery) | (a) | 36,235 | 942,835 | |||||
| ||||||||
3,357,359 | ||||||||
| ||||||||
INFORMATION TECHNOLOGY – 41.4% | ||||||||
Activision Blizzard, Inc. (Software) | 34,853 | 2,206,892 | ||||||
Adobe Systems, Inc. (Software) | (a) | 7,070 | 1,238,947 | |||||
Alphabet, Inc. Class C (Internet Software & Svs.) | (a) | 3,272 | 3,423,820 | |||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 9,973 | 1,687,731 | ||||||
ASML Holding N.V. (Semiconductors & Equip.) | 8,320 | 1,446,182 | ||||||
CoStar Group, Inc. (Internet Software & Svs.) | (a) | 3,665 | 1,088,322 | |||||
Mastercard, Inc. Class A (IT Svs.) | 19,425 | 2,940,168 | ||||||
Microsoft Corp. (Software) | 32,870 | 2,811,700 | ||||||
salesforce.com, Inc. (Software) | (a) | 19,640 | 2,007,797 | |||||
Switch, Inc. Class A (IT Svs.) | 30,294 | 551,048 | ||||||
TE Connectivity Ltd. (Electronic Equip., Instr. & Comp.) | 9,796 | 931,012 | ||||||
Texas Instruments, Inc. (Semiconductors & Equip.) | 16,553 | 1,728,795 | ||||||
Trade Desk, Inc. / The Class A (Internet Software & Svs.) | (a) | 15,495 | 708,586 | |||||
Ultimate Software Group, Inc. / The (Software) | (a) | 6,812 | 1,486,583 | |||||
WEX, Inc. (IT Svs.) | (a) | 5,814 | 821,111 | |||||
| ||||||||
25,078,694 | ||||||||
| ||||||||
MATERIALS – 5.1% | ||||||||
Ball Corp. (Containers & Packaging) | 28,355 | 1,073,237 | ||||||
Sherwin-Williams Co. / The (Chemicals) | 3,398 | 1,393,316 | ||||||
Vulcan Materials Co. (Construction Materials) | 4,874 | 625,675 | ||||||
| ||||||||
3,092,228 | ||||||||
| ||||||||
REAL ESTATE – 2.8% | ||||||||
American Tower Corp. (Equity REIT) | 11,828 | 1,687,501 | ||||||
| ||||||||
Total Common Stocks (Cost $46,614,363) | $58,465,729 | |||||||
|
U.S. Government Agency Issues – 0.1% | Rate | Maturity | Face Amount | Value | ||||||||||
Federal Home Loan Bank Discount Notes | 0.750% | 01/02/2018 | $ 100,000 | $ | 99,998 | |||||||||
|
| |||||||||||||
Total U.S. Government Agency Issues (Cost $99,998) | $ | 99,998 | ||||||||||||
|
| |||||||||||||
Money Market Funds – 3.6% | Shares | Value | ||||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 2,167,180 | $ | 2,166,963 | |||||||||||
|
| |||||||||||||
Total Money Market Funds (Cost $2,167,263) | $ | 2,166,963 | ||||||||||||
|
| |||||||||||||
Total Investments – 100.1% (Cost $48,881,624) | (b) | $ | 60,732,690 | |||||||||||
Liabilities in Excess of Other Assets – (0.1)% | (90,334) | |||||||||||||
|
| |||||||||||||
Net Assets – 100.0% | $ | 60,642,356 | ||||||||||||
|
|
36 | (continued) |
Ohio National Fund, Inc. | Aggressive Growth Portfolio (Continued) |
Schedule of Investments | December 31, 2017 |
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depositary Receipts
Footnotes:
(a) | Non-income producing security. |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
37 |
Ohio National Fund, Inc. | Small Cap Growth Portfolio (Unaudited) |
Objective/Strategy
The Small Cap Growth Portfolio seeks long-term capital appreciation by investing, under normal circumstances, at least 80% of its assets in stocks of small capitalization companies.
Performance as of December 31, 2017
Average Annual returns | ||||
One year | 23.98 | % | ||
Five years | 16.17 | % | ||
Ten years | 10.16 | % |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Total expense ratio is 0.86% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2017 can be found in the Portfolio’s Financial Highlights.
Comments from Sub-Adviser
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A. For the year ended December 31, 2017, the Small Cap Growth Portfolio returned 23.98% versus 22.17% for its benchmark, the Russell 2000 Growth Index.
Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?
A. In the first part of 2017, the “Trump trade” dissipated and stock fundamentals began to matter again. We were able to outperform in this environment. Toward the end of the year, as tax reform looked more likely, assets flowed into small-cap ETFs as investors looked to gain more exposure broadly to the asset class. This more heavily favored the lower-quality names and smaller names in the benchmark and generally worked against our investment style in the fourth quarter.
Q. How did sector allocation and security selection each impact the Portfolio’s performance relative to its benchmark? For sector allocation, were there any factors that impacted the benchmark’s performance more significantly than the Portfolio’s performance? For stock selection, was there anything specific regarding the Portfolio’s strategy that caused deviation from the benchmark?
A. Sector allocation modestly detracted from relative performance during the year. An overweight to the Information Technology sector and an underweight to the Industrials sector were the biggest detractors. An underweight to the Consumer Discretionary sector was the biggest contributor to relative performance from an allocation standpoint. (1)
Stock selection was the primary contributor to the Portfolio’s out-performance. Stock selection was strongest in the Information Technology, Industrials, and Financials sectors. As part of the Portfolio’s strategy, we take a high-quality approach to small-caps. We tend to favor companies with durable growth profiles. As part of that strategy, we
invest in many companies that have subscription-based, or recurring revenue models. Within the Information Technology sector, companies with more steady, recurring business models performed particularly well this year, which helped relative performance within the sector. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. Cadence Design Systems, Inc. was the largest contributor on a relative basis. A strong outlook for semiconductor research and development spending helped lift the stock of the software company. (1)
ON Semiconductor Corp. was our second largest contributor. Strong earnings played a role in lifting the stock. (1)
An overweight to LendingTree, Inc. was the third largest contributor. The stock has been up as the company continues to diversify its business from mortgages. (1)
The three largest relative detractors came from not owning Nektar Therapeutics, Kite Pharma, Inc. and Exact Sciences Corp, which, in aggregate, contributed almost 2% to the benchmark’s return. The Portfolio did not own any of the three Health Care companies during the year. Key detracting holdings in the Portfolio during the year were Sally Beauty Holdings, Inc., Eagle Pharmaceuticals, Inc., and National CineMedia, Inc. (1)
Q. How did the Portfolio’s use of derivative instruments and initial public offerings (IPOs), if any, impact performance?
A. The Portfolio did not use derivatives. The Portfolio’s participation in IPOs contributed approximately 99 bps to performance for the year, led by a 50 basis point contribution from Roku, Inc. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2017. |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The Russell 2000 Growth Index measures the performance of the small-cap growth segment of the U.S. equity universe. It includes the Russell 2000 Index companies with higher price-to-value ratios and higher forecasted growth values. The Russell 2000 Index includes the 2000 firms from the Russell 3000 Index with the smallest market capitalizations. The Russell 3000 Index represents 98% of the investable U.S. equity markets. The index presented includes the effects of reinvested dividends.
38 | (continued) |
Ohio National Fund, Inc. | Small Cap Growth Portfolio (Unaudited) (Continued) |
Portfolio Composition as of December 31, 2017 (1)
% of Net Assets | ||||
Common Stocks (4) | 97.0 | |||
Master Limited Partnerships (4) | 2.2 | |||
Rights (4) | 0.1 | |||
Money Market Funds | 0.7 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31,
2017 (1) (2) (3)
% of Net Assets |
| |||
1. Broadridge Financial Solutions, Inc. | 2.3 | |||
2. ServiceMaster Global Holdings, Inc. | 2.3 | |||
3. Nice Ltd. – ADR | 2.2 | |||
4. ON Semiconductor Corp. | 2.1 | |||
5. SS&C Technologies Holdings, Inc. | 2.1 | |||
6. HEICO Corp. Class A | 2.1 | |||
7. Blackbaud, Inc. | 2.0 | |||
8. Cadence Design Systems, Inc. | 1.9 | |||
9. STERIS PLC | 1.8 | |||
10. Catalent, Inc. | 1.8 |
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. |
(3) | Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher. |
(4) | Sectors (Common Stocks, Master Limited Partnerships, Rights): |
% of Net Assets | ||||
Information Technology | 34.2 | |||
Health Care | 21.9 | |||
Industrials | 14.0 | |||
Consumer Discretionary | 11.4 | |||
Financials | 7.7 | |||
Materials | 5.0 | |||
Real Estate | 2.7 | |||
Consumer Staples | 1.4 | |||
Energy | 1.0 | |||
|
| |||
99.3 | ||||
|
|
39 |
Ohio National Fund, Inc. | Small Cap Growth Portfolio |
Schedule of Investments | December 31, 2017 |
Common Stocks – 97.0% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 10.2% | ||||||||||
Biglari Holdings, Inc. (Hotels, Restaurants & Leisure) | (a) | 7,026 | $ | 2,911,574 | ||||||
Carter’s, Inc. (Textiles, Apparel & Luxury Goods) | 21,961 | 2,580,198 | ||||||||
Domino’s Pizza Group PLC (Hotels, Restaurants & Leisure) | (b) | 355,767 | 1,657,002 | |||||||
Dunkin’ Brands Group, Inc. (Hotels, Restaurants & Leisure) | 41,206 | 2,656,551 | ||||||||
K12, Inc. (Diversified Consumer Svs.) | (a) | 79,646 | 1,266,371 | |||||||
MakeMyTrip Ltd. (Internet & Direct Marketing Retail) | (a) | 54,723 | 1,633,481 | |||||||
Manchester United PLC Class A (Media) | 82,087 | 1,625,323 | ||||||||
Playa Hotels & Resorts N.V. (Hotels, Restaurants & Leisure) | (a) | 130,544 | 1,408,570 | |||||||
Roku, Inc. (Household Durables) | (a) | 13,337 | 690,590 | |||||||
Sally Beauty Holdings, Inc. (Specialty Retail) | (a) | 118,754 | 2,227,825 | |||||||
ServiceMaster Global Holdings, Inc. (Diversified Consumer Svs.) | (a) | 121,592 | 6,234,022 | |||||||
Visteon Corp. (Auto Components) | (a) | 13,023 | 1,629,698 | |||||||
Williams-Sonoma, Inc. (Specialty Retail) | 32,206 | 1,665,050 | ||||||||
|
| |||||||||
28,186,255 | ||||||||||
|
| |||||||||
CONSUMER STAPLES – 1.4% | ||||||||||
Casey’s General Stores, Inc. (Food & Staples Retailing) | 9,597 | 1,074,288 | ||||||||
Ontex Group N.V. (Personal Products) | (c) | 88,459 | 2,926,741 | |||||||
|
| |||||||||
4,001,029 | ||||||||||
|
| |||||||||
FINANCIALS – 7.7% | ||||||||||
Financial Engines, Inc. (Capital Markets) | 76,562 | 2,319,829 | ||||||||
Kingstone Cos., Inc. (Insurance) | 108,043 | 2,031,208 | ||||||||
LendingTree, Inc. (Thrifts & Mortgage Finance) | (a) | 5,263 | 1,791,788 | |||||||
LPL Financial Holdings, Inc. (Capital Markets) | 73,574 | 4,204,018 | ||||||||
MSCI, Inc. (Capital Markets) | 25,180 | 3,186,277 | ||||||||
RLI Corp. (Insurance) | 38,116 | 2,312,117 | ||||||||
SLM Corp. (Consumer Finance) | (a) | 165,736 | 1,872,817 | |||||||
Texas Capital Bancshares, Inc. (Banks) | (a) | 23,443 | 2,084,083 | |||||||
WisdomTree Investments, Inc. (Capital Markets) | 115,807 | 1,453,378 | ||||||||
|
| |||||||||
21,255,515 | ||||||||||
|
| |||||||||
HEALTH CARE – 21.8% | ||||||||||
ACADIA Pharmaceuticals, Inc. (Biotechnology) | (a) | 50,007 | 1,505,711 | |||||||
AnaptysBio, Inc. (Biotechnology) | (a) | 15,204 | 1,531,347 | |||||||
AngioDynamics, Inc. (Health Care Equip. & Supplies) | (a) | 131,657 | 2,189,456 | |||||||
Aratana Therapeutics, Inc. (Pharmaceuticals) | (a) | 141,740 | 745,552 | |||||||
athenahealth, Inc. (Health Care Technology) | (a) | 18,899 | 2,514,323 | |||||||
Atrion Corp. (Health Care Equip. & Supplies) | 1,178 | 742,847 | ||||||||
BeiGene Ltd. – ADR (Biotechnology) | (a) | 6,065 | 592,672 | |||||||
Bio-Techne Corp. (Life Sciences Tools & Svs.) | 18,318 | 2,373,097 | ||||||||
Bioverativ, Inc. (Biotechnology) | (a) | 29,316 | 1,580,719 | |||||||
Capital Senior Living Corp. (Health Care Providers & Svs.) | (a) | 64,782 | 873,909 | |||||||
Catalent, Inc. (Pharmaceuticals) | (a) | 119,197 | 4,896,613 | |||||||
DBV Technologies SA – ADR (Biotechnology) | (a) | 40,348 | 992,561 | |||||||
Diplomat Pharmacy, Inc. (Health Care Providers & Svs.) | (a) | 54,278 | 1,089,359 | |||||||
Eagle Pharmaceuticals, Inc. (Biotechnology) | (a) | 37,077 | 1,980,653 | |||||||
FibroGen, Inc. (Biotechnology) | (a) | 27,213 | 1,289,896 | |||||||
Globus Medical, Inc. Class A (Health Care Equip. & Supplies) | (a) | 53,549 | 2,200,864 | |||||||
GW Pharmaceuticals PLC – ADR (Pharmaceuticals) | (a) | 13,360 | 1,763,654 | |||||||
HealthEquity, Inc. (Health Care Providers & Svs.) | (a) | 28,814 | 1,344,461 | |||||||
HealthStream, Inc. (Health Care Technology) | (a) | 62,525 | 1,448,079 | |||||||
Heron Therapeutics, Inc. (Biotechnology) | (a) | 54,683 | 989,762 | |||||||
ICU Medical, Inc. (Health Care Equip. & Supplies) | (a) | 11,619 | 2,509,704 | |||||||
Insmed, Inc. (Biotechnology) | (a) | 49,082 | 1,530,377 |
Common Stocks (Continued) | Shares | Value | ||||||||
HEALTH CARE (continued) | ||||||||||
Ironwood Pharmaceuticals, Inc. (Biotechnology) | (a) | 111,164 | $ | 1,666,348 | ||||||
Knight Therapeutics, Inc. (Biotechnology) | (a) | 228,557 | 1,510,985 | |||||||
Ligand Pharmaceuticals, Inc. (Biotechnology) | (a) | 17,210 | 2,356,565 | |||||||
NeoGenomics, Inc. (Life Sciences Tools & Svs.) | (a) | 199,107 | 1,764,088 | |||||||
Neurocrine Biosciences, Inc. (Biotechnology) | (a) | 28,792 | 2,233,971 | |||||||
Prestige Brands Holdings, Inc. (Pharmaceuticals) | (a) | 51,439 | 2,284,406 | |||||||
Puma Biotechnology, Inc. (Biotechnology) | (a) | 20,368 | 2,013,377 | |||||||
Rhythm Pharmaceuticals, Inc. (Biotechnology) | (a) | 16,998 | 493,962 | |||||||
Spark Therapeutics, Inc. (Biotechnology) | (a) | 12,721 | 654,114 | |||||||
STERIS PLC (Health Care Equip. & Supplies) | 57,504 | 5,029,875 | ||||||||
Teligent, Inc. (Pharmaceuticals) | (a) | 133,207 | 483,541 | |||||||
Trinity Biotech PLC – ADR (Health Care Equip. & Supplies) | (a) | 104,778 | 535,416 | |||||||
U.S. Physical Therapy, Inc. (Health Care Providers & Svs.) | 13,958 | 1,007,768 | ||||||||
Wright Medical Group N.V. (Health Care Equip. & Supplies) | (a) | 62,397 | 1,385,213 | |||||||
|
| |||||||||
60,105,245 | ||||||||||
|
| |||||||||
INDUSTRIALS – 14.0% | ||||||||||
A.O. Smith Corp. (Building Products) | 39,040 | 2,392,371 | ||||||||
AMERCO (Road & Rail) | 5,253 | 1,985,161 | ||||||||
CSW Industrials, Inc. (Building Products) | (a) | 70,192 | 3,225,322 | |||||||
EnerSys (Electrical Equip.) | 32,835 | 2,286,301 | ||||||||
HEICO Corp. Class A (Aerospace & Defense) | 73,072 | 5,776,342 | ||||||||
ITT, Inc. (Machinery) | 59,882 | 3,195,902 | ||||||||
Kennametal, Inc. (Machinery) | 53,048 | 2,568,054 | ||||||||
Kornit Digital Ltd. (Machinery) | (a) | 70,455 | 1,137,848 | |||||||
Nordson Corp. (Machinery) | 17,729 | 2,595,526 | ||||||||
Old Dominion Freight Line, Inc. (Road & Rail) | 23,665 | 3,113,131 | ||||||||
Proto Labs, Inc. (Machinery) | (a) | 14,279 | 1,470,737 | |||||||
Rexnord Corp. (Machinery) | (a) | 135,338 | 3,521,495 | |||||||
Standex International Corp. (Machinery) | 30,143 | 3,070,064 | ||||||||
Wabtec Corp. (Machinery) | 27,905 | 2,272,304 | ||||||||
|
| |||||||||
38,610,558 | ||||||||||
|
| |||||||||
INFORMATION TECHNOLOGY – 34.2% | ||||||||||
Altair Engineering, Inc. Class A (Software) | (a) | 24,468 | 585,275 | |||||||
Belden, Inc. (Electronic Equip., Instr. & Comp.) | 61,590 | 4,752,900 | ||||||||
Blackbaud, Inc. (Software) | 57,770 | 5,458,687 | ||||||||
Broadridge Financial Solutions, Inc. (IT Svs.) | 70,731 | 6,406,813 | ||||||||
Cadence Design Systems, Inc. (Software) | (a) | 125,896 | 5,264,971 | |||||||
ChannelAdvisor Corp. (Internet Software & Svs.) | (a) | 89,691 | 807,219 | |||||||
Cimpress N.V. (Internet Software & Svs.) | (a) | 24,143 | 2,894,263 | |||||||
Cision Ltd. (Internet Software & Svs.) | (a) | 196,156 | 2,328,372 | |||||||
CoStar Group, Inc. (Internet Software & Svs.) | (a) | 10,202 | 3,029,484 | |||||||
CTS Corp. (Electronic Equip., Instr. & Comp.) | 124,615 | 3,208,836 | ||||||||
Descartes Systems Group, Inc. / The (Software) | (a) | 86,299 | 2,453,720 | |||||||
Envestnet, Inc. (Internet Software & Svs.) | (a) | 58,435 | 2,912,985 | |||||||
Euronet Worldwide, Inc. (IT Svs.) | (a) | 45,698 | 3,850,970 | |||||||
Everbridge, Inc. (Software) | (a) | 49,202 | 1,462,283 | |||||||
Guidewire Software, Inc. (Software) | (a) | 26,531 | 1,970,192 | |||||||
Instructure, Inc. (Internet Software & Svs.) | (a) | 48,095 | 1,591,945 | |||||||
j2 Global, Inc. (Internet Software & Svs.) | 52,558 | 3,943,427 | ||||||||
MAXIMUS, Inc. (IT Svs.) | 31,984 | 2,289,415 | ||||||||
National Instruments Corp. (Electronic Equip., Instr. & Comp.) | 41,022 | 1,707,746 | ||||||||
Nice Ltd. – ADR (Software) | 67,158 | 6,172,492 | ||||||||
ON Semiconductor Corp. (Semiconductors & Equip.) | (a) | 282,301 | 5,911,383 | |||||||
OSI Systems, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 21,756 | 1,400,651 | |||||||
Paylocity Holding Corp. (Software) | (a) | 50,231 | 2,368,894 | |||||||
RealPage, Inc. (Software) | (a) | 46,003 | 2,037,933 | |||||||
SS&C Technologies Holdings, Inc. (Software) | 144,434 | 5,846,688 | ||||||||
Switch, Inc. Class A (IT Svs.) | 59,582 | 1,083,797 |
40 | (continued) |
Ohio National Fund, Inc. | Small Cap Growth Portfolio (Continued) |
Schedule of Investments | December 31, 2017 |
Common Stocks (Continued) | Shares | Value | ||||||||
INFORMATION TECHNOLOGY (continued) | ||||||||||
Trade Desk, Inc. / The Class A (Internet Software & Svs.) | (a) | 30,171 | $ | 1,379,720 | ||||||
Tyler Technologies, Inc. (Software) | (a) | 12,507 | 2,214,364 | |||||||
WEX, Inc. (IT Svs.) | (a) | 31,597 | 4,462,444 | |||||||
Xperi Corp. (Semiconductors & Equip.) | 66,176 | 1,614,694 | ||||||||
Yext, Inc. (Internet Software & Svs.) | (a) | 105,292 | 1,266,663 | |||||||
Zillow Group, Inc. Class A (Internet Software & Svs.) | (a) | 45,000 | 1,833,300 | |||||||
|
| |||||||||
94,512,526 | ||||||||||
|
| |||||||||
MATERIALS – 5.0% | ||||||||||
H.B. Fuller Co. (Chemicals) | 36,595 | 1,971,373 | ||||||||
Neenah, Inc. (Paper & Forest Products) | 20,446 | 1,853,430 | ||||||||
Sensient Technologies Corp. (Chemicals) | 59,088 | 4,322,287 | ||||||||
Summit Materials, Inc. Class A (Construction Materials) | (a) | 65,991 | 2,074,761 | |||||||
Valvoline, Inc. (Chemicals) | 107,992 | 2,706,279 | ||||||||
Winpak Ltd. (Containers & Packaging) | 20,702 | 770,767 | ||||||||
|
| |||||||||
13,698,897 | ||||||||||
|
| |||||||||
REAL ESTATE – 2.7% | ||||||||||
Condor Hospitality Trust, Inc. (Equity REIT) | 103,445 | 1,029,278 | ||||||||
Easterly Government Properties, Inc. (Equity REIT) | 88,679 | 1,892,410 | ||||||||
Jones Lang LaSalle, Inc. (Real Estate Mgmt. & Development) | 12,725 | 1,895,134 | ||||||||
Physicians Realty Trust (Equity REIT) | 84,635 | 1,522,584 | ||||||||
St. Joe Co. / The (Real Estate Mgmt. & Development) | (a) | 61,731 | 1,114,244 | |||||||
|
| |||||||||
7,453,650 | ||||||||||
|
| |||||||||
Total Common Stocks (Cost $202,032,537) | $267,823,675 | |||||||||
|
|
Master Limited Partnerships – 2.2% | Shares | $ Value | ||||||||
CONSUMER DISCRETIONARY – 1.2% | ||||||||||
Cedar Fair LP (Hotels, Restaurants & Leisure) | 52,736 | $ | 3,427,313 | |||||||
|
| |||||||||
ENERGY – 1.0% | ||||||||||
DCP Midstream LP (Oil, Gas & Consumable Fuels) | 74,921 | 2,721,880 | ||||||||
|
| |||||||||
Total Master Limited Partnerships | $ | 6,149,193 | ||||||||
|
| |||||||||
Rights – 0.1% | Quantity | Value | ||||||||
HEALTH CARE – 0.1% | ||||||||||
Dyax Corp. - Contingent Value Right (Expiration: 12/31/19) (Biotechnology) | (a)(d)(e) | 103,366 | $ | 253,247 | ||||||
|
| |||||||||
Total Rights (Cost $0) | $ | 253,247 | ||||||||
|
| |||||||||
Money Market Funds – 0.8% | Shares | Value | ||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 2,158,396 | $ | 2,158,180 | |||||||
|
| |||||||||
Total Money Market Funds (Cost $2,158,540) | $ | 2,158,180 | ||||||||
|
| |||||||||
Total Investments – 100.1% (Cost $209,495,538) | (f) | $ | 276,384,295 | |||||||
Liabilities in Excess of Other | (169,814 | ) | ||||||||
|
| |||||||||
Net Assets – 100.0% |
$ |
276,214,481 |
| |||||||
|
|
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depositary Receipts
Footnotes:
(a) | Non-income producing security. |
(b) | Security traded on a foreign exchange has been valued at an estimate of fair value that is different than the local market close price. These fair value estimates are determined by an independent fair valuation service that has been approved by the Board. These securities represent $1,657,002 or 0.6% of the Portfolio’s net assets. |
Other Portfolio securities are not subjected to fair value procedures because they are traded on domestic or foreign exchanges that have close times that are consistent with the U.S. market close, normally 4:00 pm Eastern Time. |
(c) | As discussed in Note 2 of the Notes to Financial Statements, not all investments that are traded on a foreign exchange are valued at an estimate that is different from the local close price. In some instances, the independent fair valuation service uses a stock’s local close price because the service’s measure of predictability related to their valuation model of a stock is below a chosen threshold. These securities represent $2,926,741 or 1.1% of the Portfolio’s net assets. |
Other Portfolio securities are not subjected to fair valuation procedures because they are traded on domestic or foreign exchanges that have close times that are consistent with the U.S. market close, normally 4:00 pm Eastern Time. |
(d) | Represents a security deemed to be illiquid. At December 31, 2017 the value of illiquid securities in the Portfolio totaled $253,247, or 0.1% of the Portfolio’s net assets. Dyax Corp. - Contingent Value Right was acquired on January 22, 2016 as a result of Shire plc acquiring all of the outstanding common stock of Dyax Corp. |
Under terms of the merger agreement, former Dyax Corp. shareholders may receive additional value through a non-tradable contingent value right, payable upon U.S. Food and Drug Administration (FDA) approval of SHP643 (formerly DX-29330) in Hereditary Angiodema (“HAE”). |
(e) | A market quotation for this investment was not readily available at December 31, 2017. As discussed in Note 2 of the Notes to Schedules of Investments, the price for this issue was derived from an estimate of fair market value using methods determined in good faith by the Fund’s pricing policy approved by the Board. This security represents $253,247, or 0.1% of the Portfolio’s net assets. |
(f) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
41 |
Ohio National Fund, Inc. | Mid Cap Opportunity Portfolio (Unaudited) |
Objective/Strategy
The Mid Cap Opportunity Portfolio seeks long-term total return by investing, under normal circumstances, at least 80% of its assets in equity securities of mid-cap companies, primarily those that are strategically positioned for long-term growth.
Performance as of December 31, 2017
Average Annual returns | ||||
One year | 27.10 | % | ||
Five years | 12.61 | % | ||
Ten years | 5.55 | % |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Total expense ratio is 0.98% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2017 can be found in the Portfolio’s Financial Highlights.
Comments from Sub-Adviser
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A. For the year ended December 31, 2017, the Mid Cap Opportunity Portfolio returned 27.10% versus 25.27% for its benchmark, the Russell Midcap Growth Index.
Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?
A. Stock selection was the primary driver of the Portfolio’s outperformance during the year. The Portfolio benefited from a reversal in some securities that underperformed in 2016, as well as mergers and acquisition activity that positively impacted some of the Portfolio’s holdings. (1)
Q. How did sector allocation and security selection each impact the Portfolio’s performance relative to its benchmark? For sector allocation, were there any factors that impacted the benchmark’s performance more significantly than the Portfolio’s performance? For stock selection, was there anything specific regarding the Portfolio’s strategy that caused deviation from the benchmark?
A. Stock selection within the Consumer Staples and Health Care sectors contributed the most to relative performance, leading to the Portfolio’s outperformance, while stock selection within the Financials sector and an overweight allocation to the Health Care sector detracted the most from returns. Sector selection, overall, did not have a significant impact on the Portfolio’s relative performance. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. Panera Bread Co. Class A was a top contributor to relative returns during the year. Shares of Panera Bread gained sharply following JAB Holdings’ purchase of the fast casual restaurant chain. Following the strong performance and a potential shift in leadership, we felt it prudent to exit the position and look for opportunities elsewhere. (1)
Avery Dennison Corp., a global leader in adhesive technologies, display graphics and packaging materials, was also a top contributor during this time. Its shares rose steadily throughout the year as the company exceeded expectations, led by impressive organic growth across multiple geographies and business segments. We continue to believe Avery Dennison is a high-quality company led by an excellent management team that has demonstrated an ability to deliver growth in a challenged space. (1)
Advance Auto Parts, Inc. was a top detractor from relative returns during the year. Throughout the year, its stock had been weak as a combination of concerns around increased competition within the auto parts industry and weaker than expected earnings weighed on the company. While we still feel that the company is attractively valued and could see continued same store sales growth, we felt that the risk/reward was less compelling given the competitive headwinds and decided to exit the position. (1)
Altice U.S.A. Inc. Class A (“Altice”) was the second largest detractor. The stock detracted due to its French parent company, which owns approximately 70% of Altice and declined sharply late in the year as it reported third quarter results and a weaker outlook. (1)
Q. How did the Portfolio’s use of derivative instruments and initial public offerings (IPOs), if any, impact performance?
A. The Portfolio did not utilize derivatives, but participated in four IPOs during the period. The Portfolio’s position in Snap, Inc. contributed two basis points to performance during the period, while the Portfolio’s position in Altice detracted 46 basis points from performance. The other two IPOs did not significantly impact performance. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2017. |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The Russell Midcap Growth Index is a subset of the Russell Midcap Index, which measures the performance of the 800 smallest companies in the Russell 1000 Index. The Russell Midcap Growth Index measures the performance of those stocks of the Russell Midcap Index with higher price-to-book ratios and higher relative forecasted growth rates. The index presented includes the effects of reinvested dividends.
42 | (continued) |
Ohio National Fund, Inc. | Mid Cap Opportunity Portfolio (Unaudited) (Continued) |
Portfolio Composition as of December 31, 2017 (1)
% of Net Assets | ||||
Common Stocks (4) | 98.8 | |||
Money Market Funds Less Net Liabilities | 1.2 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31,
2017 (1) (2) (3)
% of Net Assets | ||||
1. Amphenol Corp. Class A | 3.0 | |||
2. Roper Technologies, Inc. | 2.9 | |||
3. Middleby Corp. / The | 2.5 | |||
4. Zoetis, Inc. | 2.3 | |||
5. Northern Trust Corp. | 2.2 | |||
6. Illumina, Inc. | 2.2 | |||
7. Dunkin’ Brands Group, Inc. | 2.2 | |||
8. Global Payments, Inc. | 2.0 | |||
9. Agilent Technologies, Inc. | 2.0 | |||
10. Avery Dennison Corp. | 2.0 |
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. |
(3) | Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher. |
(4) | Sectors (Common Stocks): |
% of Net Assets | ||||
Information Technology | 24.8 | |||
Industrials | 17.1 | |||
Health Care | 16.7 | |||
Consumer Discretionary | 15.7 | |||
Financials | 10.0 | |||
Materials | 6.0 | |||
Consumer Staples | 4.0 | |||
Real Estate | 2.5 | |||
Energy | 2.0 | |||
|
| |||
98.8 | ||||
|
|
43 |
Ohio National Fund, Inc. | Mid Cap Opportunity Portfolio |
Schedule of Investments | December 31, 2017 |
Common Stocks – 98.8% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 15.7% | ||||||||||
Altice U.S.A., Inc. Class A (Media) | (a) | 23,572 | $ | 500,434 | ||||||
Aptiv PLC (Auto Components) | 4,256 | 361,037 | ||||||||
Bright Horizons Family Solutions, Inc. (Diversified Consumer Svs.) | (a) | 13,151 | 1,236,194 | |||||||
Choice Hotels International, Inc. (Hotels, Restaurants & Leisure) | 5,173 | 401,425 | ||||||||
Delphi Technologies PLC (Auto Components) | (a) | 1,418 | 74,403 | |||||||
Dunkin’ Brands Group, Inc. (Hotels, Restaurants & Leisure) | 26,603 | 1,715,095 | ||||||||
Expedia, Inc. (Internet & Direct Marketing Retail) | 10,374 | 1,242,494 | ||||||||
Five Below, Inc. (Specialty Retail) | (a) | 9,398 | 623,275 | |||||||
Hilton Worldwide Holdings, Inc. (Hotels, Restaurants & Leisure) | 15,788 | 1,260,830 | ||||||||
LKQ Corp. (Distributors) | (a) | 14,499 | 589,674 | |||||||
PVH Corp. (Textiles, Apparel & Luxury Goods) | 8,958 | 1,229,127 | ||||||||
Ross Stores, Inc. (Specialty Retail) | 14,234 | 1,142,279 | ||||||||
Skechers U.S.A., Inc. Class A (Textiles, Apparel & Luxury Goods) | (a) | 10,441 | 395,087 | |||||||
Ulta Beauty, Inc. (Specialty Retail) | (a) | 2,876 | 643,246 | |||||||
Yum! Brands, Inc. (Hotels, Restaurants & Leisure) | 9,794 | 799,288 | ||||||||
|
| |||||||||
12,213,888 | ||||||||||
|
| |||||||||
CONSUMER STAPLES – 4.0% | ||||||||||
Blue Buffalo Pet Products, Inc. (Food Products) | (a) | 22,254 | 729,709 | |||||||
Brown-Forman Corp. Class B (Beverages) | 17,879 | 1,227,751 | ||||||||
Monster Beverage Corp. (Beverages) | (a) | 17,762 | 1,124,157 | |||||||
|
| |||||||||
3,081,617 | ||||||||||
|
| |||||||||
ENERGY – 2.0% | ||||||||||
Concho Resources, Inc. (Oil, Gas & Consumable Fuels) | (a) | 5,143 | 772,581 | |||||||
Diamondback Energy, Inc. (Oil, Gas & Consumable Fuels) | (a) | 6,420 | 810,525 | |||||||
|
| |||||||||
1,583,106 | ||||||||||
|
| |||||||||
FINANCIALS – 10.0% | ||||||||||
Affiliated Managers Group, Inc. (Capital Markets) | 3,926 | 805,812 | ||||||||
Eagle Bancorp, Inc. (Banks) | (a) | 9,230 | 534,417 | |||||||
First Republic Bank (Banks) | 11,871 | 1,028,504 | ||||||||
Intercontinental Exchange, Inc. (Capital Markets) | 7,665 | 540,842 | ||||||||
Lazard Ltd. Class A (Capital Markets) | 22,926 | 1,203,615 | ||||||||
MSCI, Inc. (Capital Markets) | 7,447 | 942,343 | ||||||||
Northern Trust Corp. (Capital Markets) | 17,366 | 1,734,690 | ||||||||
SunTrust Banks, Inc. (Banks) | 14,797 | 955,738 | ||||||||
|
| |||||||||
7,745,961 | ||||||||||
|
| |||||||||
HEALTH CARE – 16.7% | ||||||||||
Agilent Technologies, Inc. (Life Sciences Tools & Svs.) | 22,816 | 1,527,988 | ||||||||
Agios Pharmaceuticals, Inc. (Biotechnology) | (a) | 3,485 | 199,237 | |||||||
Alkermes PLC (Biotechnology) | (a) | 17,665 | 966,806 | |||||||
Cooper Cos., Inc. / The (Health Care Equip. & Supplies) | 1,655 | 360,591 | ||||||||
Edwards Lifesciences Corp. (Health Care | (a) | 12,098 | 1,363,566 | |||||||
Exelixis, Inc. (Biotechnology) | (a) | 24,012 | 729,965 | |||||||
Illumina, Inc. (Life Sciences Tools & Svs.) | (a) | 7,938 | 1,734,374 | |||||||
Incyte Corp. (Biotechnology) | (a) | 6,090 | 576,784 | |||||||
Mettler-Toledo International, Inc. (Life Sciences Tools & Svs.) | (a) | 1,725 | 1,068,672 | |||||||
Neurocrine Biosciences, Inc. (Biotechnology) | (a) | 7,168 | 556,165 | |||||||
Nevro Corp. (Health Care Equip. & Supplies) | (a) | 8,459 | 584,009 | |||||||
PRA Health Sciences, Inc. (Life Sciences Tools & Svs.) | (a) | 6,460 | 588,312 | |||||||
Seattle Genetics, Inc. (Biotechnology) | (a) | 8,980 | 480,430 |
Common Stocks (Continued) | Shares | Value | ||||||||
HEALTH CARE (continued) | ||||||||||
Vertex Pharmaceuticals, Inc. (Biotechnology) | (a) | 2,979 | $ | 446,433 | ||||||
Zoetis, Inc. (Pharmaceuticals) | 25,157 | 1,812,310 | ||||||||
|
| |||||||||
12,995,642 | ||||||||||
|
| |||||||||
INDUSTRIALS – 17.1% | ||||||||||
Fortive Corp. (Machinery) | 17,820 | 1,289,277 | ||||||||
Fortune Brands Home & Security, Inc. (Building Products) | 11,915 | 815,462 | ||||||||
HEICO Corp. (Aerospace & Defense) | 4,337 | 409,196 | ||||||||
Hubbell, Inc. (Electrical Equip.) | 7,043 | 953,200 | ||||||||
IDEX Corp. (Machinery) | 5,965 | 787,201 | ||||||||
John Bean Technologies Corp. (Machinery) | 7,366 | 816,153 | ||||||||
L3 Technologies, Inc. (Aerospace & Defense) | 5,209 | 1,030,601 | ||||||||
Middleby Corp. / The (Machinery) | (a) | 14,519 | 1,959,339 | |||||||
Roper Technologies, Inc. (Industrial Conglomerates) | 8,650 | 2,240,350 | ||||||||
Sensata Technologies Holding N.V. (Electrical Equip.) | (a) | 29,045 | 1,484,490 | |||||||
Welbilt, Inc. (Machinery) | (a) | 13,793 | 324,273 | |||||||
Xylem, Inc. (Machinery) | 17,637 | 1,202,843 | ||||||||
|
| |||||||||
13,312,385 | ||||||||||
|
| |||||||||
INFORMATION TECHNOLOGY – 24.8% | ||||||||||
Amphenol Corp. Class A (Electronic Equip., Instr. & Comp.) | 26,164 | 2,297,199 | ||||||||
Analog Devices, Inc. (Semiconductors & Equip.) | 13,767 | 1,225,676 | ||||||||
Autodesk, Inc. (Software) | (a) | 10,772 | 1,129,229 | |||||||
Black Knight, Inc. (IT Svs.) | (a) | 24,401 | 1,077,304 | |||||||
DXC Technology Co. (IT Svs.) | 12,494 | 1,185,681 | ||||||||
Electronic Arts, Inc. (Software) | (a) | 3,844 | 403,851 | |||||||
Fiserv, Inc. (IT Svs.) | (a) | 11,159 | 1,463,280 | |||||||
Global Payments, Inc. (IT Svs.) | 15,463 | 1,550,011 | ||||||||
GoDaddy, Inc. Class A (Internet Software & Svs.) | (a) | 18,026 | 906,347 | |||||||
Intuit, Inc. (Software) | 8,293 | 1,308,469 | ||||||||
Lam Research Corp. (Semiconductors & Equip.) | 8,217 | 1,512,503 | ||||||||
Monolithic Power Systems, Inc. (Semiconductors & Equip.) | 3,429 | 385,282 | ||||||||
Proofpoint, Inc. (Software) | (a) | 4,028 | 357,727 | |||||||
Red Hat, Inc. (Software) | (a) | 8,423 | 1,011,602 | |||||||
ServiceNow, Inc. (Software) | (a) | 4,945 | 644,779 | |||||||
Splunk, Inc. (Software) | (a) | 8,778 | 727,169 | |||||||
Total System Services, Inc. (IT Svs.) | 14,157 | 1,119,677 | ||||||||
Xilinx, Inc. (Semiconductors & Equip.) | 14,468 | 975,433 | ||||||||
|
| |||||||||
19,281,219 | ||||||||||
|
| |||||||||
MATERIALS – 6.0% | ||||||||||
Ashland Global Holdings, Inc. (Chemicals) | 14,366 | 1,022,859 | ||||||||
Avery Dennison Corp. (Containers & Packaging) | 13,265 | 1,523,618 | ||||||||
Sherwin-Williams Co. / The (Chemicals) | 1,695 | 695,018 | ||||||||
Valvoline, Inc. (Chemicals) | 56,850 | 1,424,661 | ||||||||
|
| |||||||||
4,666,156 | ||||||||||
|
| |||||||||
REAL ESTATE – 2.5% | ||||||||||
Equinix, Inc. (Equity REIT) | 1,555 | 704,757 | ||||||||
SBA Communications Corp. (Equity REIT) | (a) | 7,755 | 1,266,857 | |||||||
|
| |||||||||
1,971,614 | ||||||||||
|
| |||||||||
Total Common Stocks (Cost $59,515,528) | $76,851,588 | |||||||||
|
| |||||||||
Money Market Funds – 1.6% | Shares | Value | ||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 1,300,601 | $ | 1,300,470 | |||||||
|
| |||||||||
Total Money Market Funds | $ | 1,300,470 | ||||||||
|
| |||||||||
Total Investments – 100.4% (Cost $60,816,158) | (b) | $ | 78,152,058 | |||||||
Liabilities in Excess of Other | (348,607 | ) | ||||||||
|
| |||||||||
Net Assets – 100.0% | $ | 77,803,451 | ||||||||
|
|
44 | (continued) |
Ohio National Fund, Inc. | Mid Cap Opportunity Portfolio (Continued) |
Schedule of Investments | December 31, 2017 |
Percentages are stated as a percent of net assets.
Footnotes:
(a) | Non-income producing security. |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
45 |
Ohio National Fund, Inc. | S&P 500® Index Portfolio (Unaudited) |
Objective/Strategy
The S&P 500® Index Portfolio seeks total return approximating that of the Standard & Poor’s 500® Index (S&P 500® Index), including reinvestment of dividends, at a risk level consistent with that of the S&P 500® Index by investing, under normal circumstances, more than 80% of its assets in the securities included in the S&P 500® Index.
Performance as of December 31, 2017
Average Annual returns | ||||
One year | 21.38 | % | ||
Five years | 15.26 | % | ||
Ten years | 7.99 | % |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Total expense ratio is 0.42% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2017 can be found in the Portfolio’s Financial Highlights.
Comments from Sub-Adviser
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A. For the year ended December 31, 2017, the S&P 500® Index Portfolio returned 21.38% versus 21.83% for the benchmark, S&P 500® Index.
Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?
A. The Portfolio intends to track the underlying return of the S&P 500® Index. There were no material market events or changes in strategy that impacted the Portfolio’s relative return for the period. (1)
Q. How did sector allocation and security selection each impact the Portfolio’s performance relative to its benchmark? For sector allocation, were there any factors that impacted the benchmark’s performance more significantly than the Portfolio’s performance? For stock selection, was there anything specific regarding the Portfolio’s strategy that caused deviation from the benchmark?
A. The Portfolio is managed on a risk-controlled basis and is constructed to closely replicate its benchmark index. The expected sources of performance variance include the impact of trading daily cash flows, including trading commissions, and the operating expenses of the Portfolio.
Information Technology contributed the most to the benchmark, returning 38.8%, followed by Financials, which gained 22.2% for the year. Only two benchmark sectors had negative returns for the year, Energy (-1.0%) and Telecommunication Services (-1.2%). (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. The largest contributors to the Portfolio and benchmark returns for the period were Apple, Inc., Microsoft Corp., and Amazon.com Inc. The largest detractors from the Portfolio and benchmark returns for the period were General Electric Co., Schlumberger Ltd., and Exxon Mobil Corp. (1)
Q. How did the Portfolio’s use of derivative instruments and initial public offerings (IPOs), if any, impact performance?
A. The Portfolio uses S&P 500® Index futures contracts primarily to equitize open dividend receivables, as well as to manage day-to-day cash flows to ensure the Portfolio is fully invested. The futures did not meaningfully impact performance, however, due to their index characteristics and size in relation to Portfolio net assets. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2017. |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting. Investors cannot invest directly in an index, although they can invest in its underlying securities or funds.
The S&P 500® Index is a capitalization-weighted index designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. The index presented includes the effects of reinvested dividends.
The S&P 500® Index is a product of S&P Dow Jones Indices LLC or its affiliates (“SPDJI”), and has been licensed for use by Ohio National Investments, Inc. (“ONI”) Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by ONI. The S&P 500® Index Portfolio of Ohio National Fund, Inc. is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates, and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the S&P 500® Index.
46 | (continued) |
Ohio National Fund, Inc. | S&P 500® Index Portfolio (Unaudited) (Continued) |
Portfolio Composition as of December 31, 2017 (1)
% of Net Assets | ||||
Common Stocks (4) | 99.1 | |||
Money Market Funds and Other Net Assets | 0.9 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31, 2017 (1) (2) (3)
% of Net Assets | ||||
1. Apple, Inc. | 3.8 | |||
2. Microsoft Corp. | 2.9 | |||
3. Amazon.com, Inc. | 2.0 | |||
4. Facebook, Inc. Class A | 1.8 | |||
5. Berkshire Hathaway, Inc. Class B | 1.7 | |||
6. Johnson & Johnson | 1.6 | |||
7. JPMorgan Chase & Co. | 1.6 | |||
8. Exxon Mobil Corp. | 1.5 | |||
9. Alphabet, Inc. Class C | 1.4 | |||
10. Alphabet, Inc. Class A | 1.4 |
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. |
(3) | Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher. |
(4) | Sectors (Common Stocks): |
% of Net Assets | ||||
Information Technology | 23.6 | |||
Financials | 14.7 | |||
Health Care | 13.6 | |||
Consumer Discretionary | 12.1 | |||
Industrials | 10.2 | |||
Consumer Staples | 8.1 | |||
Energy | 6.0 | |||
Materials | 3.0 | |||
Utilities | 2.9 | |||
Real Estate | 2.9 | |||
Telecommunication Services | 2.0 | |||
|
| |||
99.1 | ||||
|
|
47 |
Ohio National Fund, Inc. | S&P 500® Index Portfolio |
Schedule of Investments | December 31, 2017 |
Common Stocks – 99.1% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 12.1% | ||||||||||
Advance Auto Parts, Inc. (Specialty Retail) | 3,677 | $ | 366,560 | |||||||
Amazon.com, Inc. (Internet & Direct Marketing Retail) | (a) | 19,889 | 23,259,589 | |||||||
Aptiv PLC (Auto Components) | 13,223 | 1,121,707 | ||||||||
AutoZone, Inc. (Specialty Retail) | (a) | 1,367 | 972,443 | |||||||
Best Buy Co., Inc. (Specialty Retail) | 12,648 | 866,009 | ||||||||
BorgWarner, Inc. (Auto Components) | 9,849 | 503,185 | ||||||||
CarMax, Inc. (Specialty Retail) | (a) | 9,068 | 581,531 | |||||||
Carnival Corp. (Hotels, Restaurants & Leisure) | 20,280 | 1,345,984 | ||||||||
CBS Corp. Class B (Media) | 18,034 | 1,064,006 | ||||||||
Charter Communications, Inc. Class A (Media) | (a) | 9,643 | 3,239,662 | |||||||
Chipotle Mexican Grill, Inc. (Hotels, Restaurants & Leisure) | (a) | 1,238 | 357,819 | |||||||
Comcast Corp. Class A (Media) | 231,949 | 9,289,557 | ||||||||
D.R. Horton, Inc. (Household Durables) | 16,973 | 866,811 | ||||||||
Darden Restaurants, Inc. (Hotels, Restaurants & Leisure) | 6,149 | 590,427 | ||||||||
Discovery Communications, Inc. Class A (Media) | (a) | 7,603 | 170,155 | |||||||
Discovery Communications, Inc. Class C (Media) | (a) | 10,172 | 215,341 | |||||||
DISH Network Corp. Class A (Media) | (a) | 11,327 | 540,864 | |||||||
Dollar General Corp. (Multiline Retail) | 12,954 | 1,204,852 | ||||||||
Dollar Tree, Inc. (Multiline Retail) | (a) | 11,790 | 1,265,185 | |||||||
Expedia, Inc. (Internet & Direct Marketing Retail) | 6,114 | 732,274 | ||||||||
Foot Locker, Inc. (Specialty Retail) | 6,161 | 288,828 | ||||||||
Ford Motor Co. (Automobiles) | 194,051 | 2,423,697 | ||||||||
Gap, Inc. / The (Specialty Retail) | 10,812 | 368,257 | ||||||||
Garmin Ltd. (Household Durables) | 5,520 | 328,826 | ||||||||
General Motors Co. (Automobiles) | 63,578 | 2,606,062 | ||||||||
Genuine Parts Co. (Distributors) | 7,296 | 693,193 | ||||||||
Goodyear Tire & Rubber Co. / The (Auto Components) | 12,230 | 395,151 | ||||||||
H&R Block, Inc. (Diversified Consumer Svs.) | 10,390 | 272,426 | ||||||||
Hanesbrands, Inc. (Textiles, Apparel & Luxury Goods) | 18,149 | 379,496 | ||||||||
Harley-Davidson, Inc. (Automobiles) | 8,359 | 425,306 | ||||||||
Hasbro, Inc. (Leisure Products) | 5,632 | 511,892 | ||||||||
Hilton Worldwide Holdings, Inc. (Hotels, Restaurants & Leisure) | 10,056 | 803,072 | ||||||||
Home Depot, Inc. / The (Specialty Retail) | 58,069 | 11,005,818 | ||||||||
Interpublic Group of Cos., Inc. / The (Media) | 19,293 | 388,947 | ||||||||
Kohl’s Corp. (Multiline Retail) | 8,398 | 455,424 | ||||||||
L Brands, Inc. (Specialty Retail) | 12,281 | 739,562 | ||||||||
Leggett & Platt, Inc. (Household Durables) | 6,571 | 313,634 | ||||||||
Lennar Corp. Class A (Household Durables) | 10,167 | 642,961 | ||||||||
LKQ Corp. (Distributors) | (a) | 15,369 | 625,057 | |||||||
Lowe’s Cos., Inc. (Specialty Retail) | 41,415 | 3,849,110 | ||||||||
Macy’s, Inc. (Multiline Retail) | 15,163 | 381,956 | ||||||||
Marriott International, Inc. Class A (Hotels, Restaurants & Leisure) | 15,228 | 2,066,896 | ||||||||
Mattel, Inc. (Leisure Products) | 17,055 | 262,306 | ||||||||
McDonald’s Corp. (Hotels, Restaurants & Leisure) | 39,641 | 6,823,009 | ||||||||
MGM Resorts International (Hotels, Restaurants & Leisure) | 25,339 | 846,069 | ||||||||
Michael Kors Holdings Ltd. (Textiles, Apparel & Luxury Goods) | (a) | 7,563 | 476,091 | |||||||
Mohawk Industries, Inc. (Household Durables) | (a) | 3,143 | 867,154 | |||||||
Netflix, Inc. (Internet & Direct Marketing Retail) | (a) | 21,519 | 4,130,787 | |||||||
Newell Brands, Inc. (Household Durables) | 24,375 | 753,187 | ||||||||
News Corp. Class A (Media) | 19,013 | 308,201 | ||||||||
News Corp. Class B (Media) | 6,095 | 101,177 | ||||||||
NIKE, Inc. Class B (Textiles, Apparel & Luxury Goods) | 65,339 | 4,086,954 | ||||||||
Nordstrom, Inc. (Multiline Retail) | 5,792 | 274,425 | ||||||||
Norwegian Cruise Line Holdings Ltd. (Hotels, Restaurants & Leisure) | (a) | 8,870 | 472,327 | |||||||
Omnicom Group, Inc. (Media) | 11,464 | 834,923 | ||||||||
O’Reilly Automotive, Inc. (Specialty Retail) | (a) | 4,229 | 1,017,244 |
Common Stocks (Continued) | Shares | Value | ||||||||
CONSUMER DISCRETIONARY (continued) | ||||||||||
Priceline Group, Inc. / The (Internet & Direct Marketing Retail) | (a) | 2,425 | $ | 4,214,019 | ||||||
PulteGroup, Inc. (Household Durables) | 13,429 | 446,514 | ||||||||
PVH Corp. (Textiles, Apparel & Luxury Goods) | 3,849 | 528,121 | ||||||||
Ralph Lauren Corp. (Textiles, Apparel & Luxury Goods) | 2,751 | 285,251 | ||||||||
Ross Stores, Inc. (Specialty Retail) | 19,176 | 1,538,874 | ||||||||
Royal Caribbean Cruises Ltd. (Hotels, Restaurants & Leisure) | 8,517 | 1,015,908 | ||||||||
Scripps Networks Interactive, Inc. Class A (Media) | 4,778 | 407,946 | ||||||||
Signet Jewelers Ltd. (Specialty Retail) | 2,998 | 169,537 | ||||||||
Starbucks Corp. (Hotels, Restaurants & Leisure) | 70,752 | 4,063,287 | ||||||||
Tapestry, Inc. (Textiles, Apparel & Luxury Goods) | 14,142 | 625,501 | ||||||||
Target Corp. (Multiline Retail) | 27,031 | 1,763,773 | ||||||||
Tiffany & Co. (Specialty Retail) | 5,074 | 527,442 | ||||||||
Time Warner, Inc. (Media) | 38,719 | 3,541,627 | ||||||||
TJX Cos., Inc. / The (Specialty Retail) | 31,642 | 2,419,347 | ||||||||
Tractor Supply Co. (Specialty Retail) | 6,238 | 466,290 | ||||||||
TripAdvisor, Inc. (Internet & Direct Marketing Retail) | (a) | 5,379 | 185,360 | |||||||
Twenty-First Century Fox, Inc. Class A (Media) | 52,435 | 1,810,581 | ||||||||
Twenty-First Century Fox, Inc. Class B (Media) | 21,821 | 744,533 | ||||||||
Ulta Beauty, Inc. (Specialty Retail) | (a) | 2,902 | 649,061 | |||||||
Under Armour, Inc. Class A (Textiles, Apparel & Luxury Goods) | (a) | 9,257 | 133,579 | |||||||
Under Armour, Inc. Class C (Textiles, Apparel & Luxury Goods) | (a) | 9,155 | 121,945 | |||||||
V.F. Corp. (Textiles, Apparel & Luxury Goods) | 16,309 | 1,206,866 | ||||||||
Viacom, Inc. Class B (Media) | 17,536 | 540,284 | ||||||||
Walt Disney Co. / The (Media) | 75,105 | 8,074,539 | ||||||||
Whirlpool Corp. (Household Durables) | 3,573 | 602,551 | ||||||||
Wyndham Worldwide Corp. (Hotels, Restaurants & Leisure) | 5,038 | 583,753 | ||||||||
Wynn Resorts Ltd. (Hotels, Restaurants & Leisure) | 3,987 | 672,168 | ||||||||
Yum! Brands, Inc. (Hotels, Restaurants & Leisure) | 16,759 | 1,367,702 | ||||||||
|
| |||||||||
138,479,745 | ||||||||||
|
| |||||||||
CONSUMER STAPLES – 8.1% | ||||||||||
Altria Group, Inc. (Tobacco) | 94,888 | 6,775,952 | ||||||||
Archer-Daniels-Midland Co. (Food Products) | 27,812 | 1,114,705 | ||||||||
Brown-Forman Corp. Class B (Beverages) | 9,737 | 668,640 | ||||||||
Campbell Soup Co. (Food Products) | 9,556 | 459,739 | ||||||||
Church & Dwight Co., Inc. (Household Products) | 12,417 | 622,961 | ||||||||
Clorox Co. / The (Household Products) | 6,413 | 953,870 | ||||||||
Coca-Cola Co. / The (Beverages) | 190,681 | 8,748,444 | ||||||||
Colgate-Palmolive Co. (Household Products) | 43,668 | 3,294,751 | ||||||||
Conagra Brands, Inc. (Food Products) | 20,318 | 765,379 | ||||||||
Constellation Brands, Inc. Class A (Beverages) | 8,567 | 1,958,159 | ||||||||
Costco Wholesale Corp. (Food & Staples Retailing) | 21,731 | 4,044,574 | ||||||||
Coty, Inc. Class A (Personal Products) | 23,506 | 467,534 | ||||||||
CVS Health Corp. (Food & Staples Retailing) | 50,374 | 3,652,115 | ||||||||
Dr Pepper Snapple Group, Inc. (Beverages) | 8,980 | 871,599 | ||||||||
Estee Lauder Cos., Inc. / The Class A (Personal Products) | 11,131 | 1,416,308 | ||||||||
General Mills, Inc. (Food Products) | 28,265 | 1,675,832 | ||||||||
Hershey Co. / The (Food Products) | 7,016 | 796,386 | ||||||||
Hormel Foods Corp. (Food Products) | 13,377 | 486,789 | ||||||||
J.M. Smucker Co. / The (Food Products) | 5,649 | 701,832 | ||||||||
Kellogg Co. (Food Products) | 12,372 | 841,049 | ||||||||
Kimberly-Clark Corp. (Household Products) | 17,494 | 2,110,826 | ||||||||
Kraft Heinz Co. / The (Food Products) | 29,688 | 2,308,539 | ||||||||
Kroger Co. / The (Food & Staples Retailing) | 44,238 | 1,214,333 | ||||||||
McCormick & Co., Inc. (Food Products) | 5,956 | 606,976 | ||||||||
Molson Coors Brewing Co. Class B (Beverages) | 9,189 | 754,141 | ||||||||
Mondelez International, Inc. Class A (Food Products) | 74,313 | 3,180,596 |
48 | (continued) |
Ohio National Fund, Inc. | S&P 500® Index Portfolio (Continued) |
Schedule of Investments | December 31, 2017 |
Common Stocks (Continued) | Shares | Value | ||||||||
CONSUMER STAPLES (continued) | ||||||||||
Monster Beverage Corp. (Beverages) | (a) | 20,473 | $ | 1,295,736 | ||||||
PepsiCo, Inc. (Beverages) | 70,718 | 8,480,503 | ||||||||
Philip Morris International, Inc. (Tobacco) | 77,233 | 8,159,666 | ||||||||
Procter & Gamble Co. / The (Household Products) | 126,709 | 11,642,023 | ||||||||
Sysco Corp. (Food & Staples Retailing) | 23,839 | 1,447,742 | ||||||||
Tyson Foods, Inc. Class A (Food Products) | 14,799 | 1,199,755 | ||||||||
Walgreens Boots Alliance, Inc. (Food & Staples Retailing) | 43,175 | 3,135,369 | ||||||||
Wal-Mart Stores, Inc. (Food & Staples Retailing) | 72,786 | 7,187,617 | ||||||||
|
| |||||||||
93,040,440 | ||||||||||
|
| |||||||||
ENERGY – 6.0% | ||||||||||
Anadarko Petroleum Corp. (Oil, Gas & Consumable Fuels) | 27,214 | 1,459,759 | ||||||||
Andeavor (Oil, Gas & Consumable Fuels) | 7,137 | 816,045 | ||||||||
Apache Corp. (Oil, Gas & Consumable Fuels) | 18,947 | 799,942 | ||||||||
Baker Hughes, a GE Co. (Energy Equip. & Svs.) | 21,293 | 673,711 | ||||||||
Cabot Oil & Gas Corp. (Oil, Gas & Consumable Fuels) | 22,991 | 657,543 | ||||||||
Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels) | (a) | 45,035 | 178,339 | |||||||
Chevron Corp. (Oil, Gas & Consumable Fuels) | 94,451 | 11,824,321 | ||||||||
Cimarex Energy Co. (Oil, Gas & Consumable Fuels) | 4,734 | 577,595 | ||||||||
Concho Resources, Inc. (Oil, Gas & Consumable Fuels) | (a) | 7,396 | 1,111,027 | |||||||
ConocoPhillips (Oil, Gas & Consumable Fuels) | 59,453 | 3,263,375 | ||||||||
Devon Energy Corp. (Oil, Gas & Consumable Fuels) | 26,139 | 1,082,155 | ||||||||
EOG Resources, Inc. (Oil, Gas & Consumable Fuels) | 28,756 | 3,103,060 | ||||||||
EQT Corp. (Oil, Gas & Consumable Fuels) | 12,173 | 692,887 | ||||||||
Exxon Mobil Corp. (Oil, Gas & Consumable Fuels) | 210,708 | 17,623,617 | ||||||||
Halliburton Co. (Energy Equip. & Svs.) | 43,394 | 2,120,665 | ||||||||
Helmerich & Payne, Inc. (Energy Equip. & Svs.) | 5,400 | 349,056 | ||||||||
Hess Corp. (Oil, Gas & Consumable Fuels) | 13,430 | 637,522 | ||||||||
Kinder Morgan, Inc. (Oil, Gas & Consumable Fuels) | 95,514 | 1,725,938 | ||||||||
Marathon Oil Corp. (Oil, Gas & Consumable Fuels) | 42,250 | 715,292 | ||||||||
Marathon Petroleum Corp. (Oil, Gas & Consumable Fuels) | 24,289 | 1,602,588 | ||||||||
National Oilwell Varco, Inc. (Energy Equip. & Svs.) | 18,895 | 680,598 | ||||||||
Newfield Exploration Co. (Oil, Gas & Consumable Fuels) | (a) | 9,900 | 312,147 | |||||||
Noble Energy, Inc. (Oil, Gas & Consumable Fuels) | 24,194 | 705,013 | ||||||||
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 38,056 | 2,803,205 | ||||||||
ONEOK, Inc. (Oil, Gas & Consumable Fuels) | 19,070 | 1,019,291 | ||||||||
Phillips 66 (Oil, Gas & Consumable Fuels) | 21,367 | 2,161,272 | ||||||||
Pioneer Natural Resources Co. (Oil, Gas & Consumable Fuels) | 8,463 | 1,462,830 | ||||||||
Range Resources Corp. (Oil, Gas & Consumable Fuels) | 11,206 | 191,174 | ||||||||
Schlumberger Ltd. (Energy Equip. & Svs.) | 68,887 | 4,642,295 | ||||||||
TechnipFMC PLC (Energy Equip. & Svs.) | 21,806 | 682,746 | ||||||||
Valero Energy Corp. (Oil, Gas & Consumable Fuels) | 21,760 | 1,999,962 | ||||||||
Williams Cos., Inc. / The (Oil, Gas & Consumable Fuels) | 41,117 | 1,253,657 | ||||||||
|
| |||||||||
68,928,627 | ||||||||||
|
| |||||||||
FINANCIALS – 14.7% | ||||||||||
Affiliated Managers Group, Inc. (Capital Markets) | 2,763 | 567,106 | ||||||||
Aflac, Inc. (Insurance) | 19,550 | 1,716,099 |
Common Stocks (Continued) | Shares | Value | ||||||||
FINANCIALS (continued) | ||||||||||
Allstate Corp. / The (Insurance) | 17,843 | $ | 1,868,341 | |||||||
American Express Co. (Consumer Finance) | 35,823 | 3,557,582 | ||||||||
American International Group, Inc. (Insurance) | 44,705 | 2,663,524 | ||||||||
Ameriprise Financial, Inc. (Capital Markets) | 7,357 | 1,246,791 | ||||||||
Aon PLC (Insurance) | 12,427 | 1,665,218 | ||||||||
Arthur J. Gallagher & Co. (Insurance) | 8,993 | 569,077 | ||||||||
Assurant, Inc. (Insurance) | 2,677 | 269,949 | ||||||||
Bank of America Corp. (Banks) | 482,375 | 14,239,710 | ||||||||
Bank of New York Mellon Corp. / The (Capital Markets) | 50,925 | 2,742,821 | ||||||||
BB&T Corp. (Banks) | 39,232 | 1,950,615 | ||||||||
Berkshire Hathaway, Inc. Class B (Diversified Financial Svs.) | (a) | 95,693 | 18,968,266 | |||||||
BlackRock, Inc. (Capital Markets) | 6,139 | 3,153,666 | ||||||||
Brighthouse Financial, Inc. (Insurance) | (a) | 4,762 | 279,244 | |||||||
Capital One Financial Corp. (Consumer Finance) | 24,106 | 2,400,475 | ||||||||
CBOE Global Markets, Inc. (Capital Markets) | 5,641 | 702,812 | ||||||||
Charles Schwab Corp. / The (Capital Markets) | 59,333 | 3,047,936 | ||||||||
Chubb Ltd. (Insurance) | 23,084 | 3,373,265 | ||||||||
Cincinnati Financial Corp. (Insurance) | 7,421 | 556,352 | ||||||||
Citigroup, Inc. (Banks) | 131,478 | 9,783,278 | ||||||||
Citizens Financial Group, Inc. (Banks) | 24,470 | 1,027,251 | ||||||||
CME Group, Inc. (Capital Markets) | 16,922 | 2,471,458 | ||||||||
Comerica, Inc. (Banks) | 8,651 | 750,993 | ||||||||
Discover Financial Services (Consumer Finance) | 18,073 | 1,390,175 | ||||||||
E*TRADE Financial Corp. (Capital Markets) | (a) | 13,461 | 667,262 | |||||||
Everest Re Group Ltd. (Insurance) | 2,040 | 451,370 | ||||||||
Fifth Third Bancorp (Banks) | 35,093 | 1,064,722 | ||||||||
Franklin Resources, Inc. (Capital Markets) | 16,256 | 704,372 | ||||||||
Goldman Sachs Group, Inc. / The (Capital Markets) | 17,445 | 4,444,288 | ||||||||
Hartford Financial Services Group, Inc. / The (Insurance) | 17,741 | 998,463 | ||||||||
Huntington Bancshares, Inc. (Banks) | 53,771 | 782,906 | ||||||||
Intercontinental Exchange, Inc. (Capital Markets) | 29,093 | 2,052,802 | ||||||||
Invesco Ltd. (Capital Markets) | 20,249 | 739,898 | ||||||||
JPMorgan Chase & Co. (Banks) | 172,538 | 18,451,214 | ||||||||
KeyCorp (Banks) | 53,488 | 1,078,853 | ||||||||
Leucadia National Corp. (Diversified Financial Svs.) | 15,569 | 412,423 | ||||||||
Lincoln National Corp. (Insurance) | 10,884 | 836,653 | ||||||||
Loews Corp. (Insurance) | 13,729 | 686,862 | ||||||||
M&T Bank Corp. (Banks) | 7,485 | 1,279,860 | ||||||||
Marsh & McLennan Cos., Inc. (Insurance) | 25,379 | 2,065,597 | ||||||||
MetLife, Inc. (Insurance) | 52,329 | 2,645,754 | ||||||||
Moody’s Corp. (Capital Markets) | 8,268 | 1,220,439 | ||||||||
Morgan Stanley (Capital Markets) | 69,227 | 3,632,341 | ||||||||
Nasdaq, Inc. (Capital Markets) | 5,779 | 444,001 | ||||||||
Navient Corp. (Consumer Finance) | 13,110 | 174,625 | ||||||||
Northern Trust Corp. (Capital Markets) | 10,682 | 1,067,025 | ||||||||
People’s United Financial, Inc. (Banks) | 17,235 | 322,295 | ||||||||
PNC Financial Services Group, Inc. / The (Banks) | 23,659 | 3,413,757 | ||||||||
Principal Financial Group, Inc. (Insurance) | 13,355 | 942,329 | ||||||||
Progressive Corp. / The (Insurance) | 28,921 | 1,628,831 | ||||||||
Prudential Financial, Inc. (Insurance) | 21,085 | 2,424,353 | ||||||||
Raymond James Financial, Inc. (Capital Markets) | 6,383 | 570,002 | ||||||||
Regions Financial Corp. (Banks) | 57,693 | 996,935 | ||||||||
S&P Global, Inc. (Capital Markets) | 12,681 | 2,148,161 | ||||||||
State Street Corp. (Capital Markets) | 18,442 | 1,800,124 | ||||||||
SunTrust Banks, Inc. (Banks) | 23,674 | 1,529,104 | ||||||||
Synchrony Financial (Consumer Finance) | 36,585 | 1,412,547 | ||||||||
T. Rowe Price Group, Inc. (Capital Markets) | 12,051 | 1,264,511 | ||||||||
Torchmark Corp. (Insurance) | 5,337 | 484,119 | ||||||||
Travelers Cos., Inc. / The (Insurance) | 13,611 | 1,846,196 | ||||||||
U.S. Bancorp (Banks) | 78,393 | 4,200,297 | ||||||||
Unum Group (Insurance) | 11,171 | 613,176 | ||||||||
Wells Fargo & Co. (Banks) | 220,383 | 13,370,637 |
49 | (continued) |
Ohio National Fund, Inc. | S&P 500® Index Portfolio (Continued) |
Schedule of Investments | December 31, 2017 |
Common Stocks (Continued) | Shares | Value | ||||||||
FINANCIALS (continued) | ||||||||||
Willis Towers Watson PLC (Insurance) | 6,566 | $ | 989,431 | |||||||
XL Group Ltd. (Insurance) | 12,719 | 447,200 | ||||||||
Zions Bancorporation (Banks) | 9,927 | 504,589 | ||||||||
|
| |||||||||
167,772,328 | ||||||||||
|
| |||||||||
HEALTH CARE – 13.6% | ||||||||||
Abbott Laboratories (Health Care Equip. & Supplies) | 86,555 | 4,939,694 | ||||||||
AbbVie, Inc. (Biotechnology) | 79,270 | 7,666,202 | ||||||||
Aetna, Inc. (Health Care Providers & Svs.) | 16,217 | 2,925,385 | ||||||||
Agilent Technologies, Inc. (Life Sciences Tools & Svs.) | 16,004 | 1,071,788 | ||||||||
Alexion Pharmaceuticals, Inc. (Biotechnology) | (a) | 11,110 | 1,328,645 | |||||||
Align Technology, Inc. (Health Care Equip. & Supplies) | (a) | 3,588 | 797,218 | |||||||
Allergan PLC (Pharmaceuticals) | 16,539 | 2,705,449 | ||||||||
AmerisourceBergen Corp. (Health Care Providers & Svs.) | 8,020 | 736,396 | ||||||||
Amgen, Inc. (Biotechnology) | 36,098 | 6,277,442 | ||||||||
Anthem, Inc. (Health Care Providers & Svs.) | 12,769 | 2,873,153 | ||||||||
Baxter International, Inc. (Health Care | 24,928 | 1,611,346 | ||||||||
Becton Dickinson and Co. (Health Care | 13,177 | 2,820,648 | ||||||||
Biogen, Inc. (Biotechnology) | (a) | 10,514 | 3,349,445 | |||||||
Boston Scientific Corp. (Health Care Equip. & Supplies) | (a) | 68,289 | 1,692,884 | |||||||
Bristol-Myers Squibb Co. (Pharmaceuticals) | 81,391 | 4,987,640 | ||||||||
Cardinal Health, Inc. (Health Care Providers & Svs.) | 15,648 | 958,753 | ||||||||
Celgene Corp. (Biotechnology) | (a) | 39,152 | 4,085,903 | |||||||
Centene Corp. (Health Care Providers & Svs.) | (a) | 8,578 | 865,349 | |||||||
Cerner Corp. (Health Care Technology) | (a) | 15,705 | 1,058,360 | |||||||
Cigna Corp. (Health Care Providers & Svs.) | 12,261 | 2,490,086 | ||||||||
Cooper Cos., Inc. / The (Health Care Equip. & Supplies) | 2,436 | 530,756 | ||||||||
Danaher Corp. (Health Care Equip. & Supplies) | 30,440 | 2,825,441 | ||||||||
DaVita, Inc. (Health Care Providers & Svs.) | (a) | 7,523 | 543,537 | |||||||
DENTSPLY SIRONA, Inc. (Health Care Equip. & Supplies) | 11,423 | 751,976 | ||||||||
Edwards Lifesciences Corp. (Health Care Equip. & Supplies) | (a) | 10,524 | 1,186,160 | |||||||
Eli Lilly & Co. (Pharmaceuticals) | 48,181 | 4,069,367 | ||||||||
Envision Healthcare Corp. (Health Care Providers & Svs.) | (a) | 6,003 | 207,464 | |||||||
Express Scripts Holding Co. (Health Care Providers & Svs.) | (a) | 28,167 | 2,102,385 | |||||||
Gilead Sciences, Inc. (Biotechnology) | 64,958 | 4,653,591 | ||||||||
HCA Healthcare, Inc. (Health Care Providers & Svs.) | (a) | 14,088 | 1,237,490 | |||||||
Henry Schein, Inc. (Health Care Providers & Svs.) | (a) | 7,800 | 545,064 | |||||||
Hologic, Inc. (Health Care Equip. & Supplies) | (a) | 13,704 | 585,846 | |||||||
Humana, Inc. (Health Care Providers & Svs.) | 7,105 | 1,762,537 | ||||||||
IDEXX Laboratories, Inc. (Health Care Equip. & Supplies) | (a) | 4,338 | 678,376 | |||||||
Illumina, Inc. (Life Sciences Tools & Svs.) | (a) | 7,260 | 1,586,237 | |||||||
Incyte Corp. (Biotechnology) | (a) | 8,711 | 825,019 | |||||||
Intuitive Surgical, Inc. (Health Care Equip. & Supplies) | (a) | 5,572 | 2,033,446 | |||||||
IQVIA Holdings, Inc. (Life Sciences Tools & Svs.) | (a) | 7,241 | 708,894 | |||||||
Johnson & Johnson (Pharmaceuticals) | 133,594 | 18,665,754 | ||||||||
Laboratory Corp. of America Holdings (Health Care Providers & Svs.) | (a) | 5,064 | 807,759 | |||||||
McKesson Corp. (Health Care Providers & Svs.) | 10,368 | 1,616,889 | ||||||||
Medtronic PLC (Health Care Equip. & Supplies) | 67,311 | 5,435,363 | ||||||||
Merck & Co., Inc. (Pharmaceuticals) | 136,015 | 7,653,564 | ||||||||
Mettler-Toledo International, Inc. (Life Sciences Tools & Svs.) | (a) | 1,272 | 788,029 | |||||||
Mylan N.V. (Pharmaceuticals) | (a) | 26,670 | 1,128,408 |
Common Stocks (Continued) | Shares | Value | ||||||||
HEALTH CARE (continued) | ||||||||||
Patterson Cos., Inc. (Health Care Providers & Svs.) | 4,083 | $ | 147,519 | |||||||
PerkinElmer, Inc. (Life Sciences Tools & Svs.) | 5,488 | 401,282 | ||||||||
Perrigo Co. PLC (Pharmaceuticals) | 6,511 | 567,499 | ||||||||
Pfizer, Inc. (Pharmaceuticals) | 296,412 | 10,736,043 | ||||||||
Quest Diagnostics, Inc. (Health Care Providers & Svs.) | 6,781 | 667,861 | ||||||||
Regeneron Pharmaceuticals, Inc. (Biotechnology) | (a) | 3,831 | 1,440,303 | |||||||
ResMed, Inc. (Health Care Equip. & Supplies) | 7,058 | 597,742 | ||||||||
Stryker Corp. (Health Care Equip. & Supplies) | 16,005 | 2,478,214 | ||||||||
Thermo Fisher Scientific, Inc. (Life Sciences Tools & Svs.) | 19,941 | 3,786,397 | ||||||||
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 48,190 | 10,623,967 | ||||||||
Universal Health Services, Inc. Class B (Health Care Providers & Svs.) | 4,354 | 493,526 | ||||||||
Varian Medical Systems, Inc. (Health Care Equip. & Supplies) | (a) | 4,551 | 505,844 | |||||||
Vertex Pharmaceuticals, Inc. (Biotechnology) | (a) | 12,576 | 1,884,639 | |||||||
Waters Corp. (Life Sciences Tools & Svs.) | (a) | 3,951 | 763,294 | |||||||
Zimmer Biomet Holdings, Inc. (Health Care Equip. & Supplies) | 10,069 | 1,215,026 | ||||||||
Zoetis, Inc. (Pharmaceuticals) | 24,233 | 1,745,745 | ||||||||
|
| |||||||||
156,226,039 | ||||||||||
|
| |||||||||
INDUSTRIALS – 10.2% | ||||||||||
3M Co. (Industrial Conglomerates) | 29,676 | 6,984,840 | ||||||||
A.O. Smith Corp. (Building Products) | 7,245 | 443,974 | ||||||||
Acuity Brands, Inc. (Electrical Equip.) | 2,095 | 368,720 | ||||||||
Alaska Air Group, Inc. (Airlines) | 6,112 | 449,293 | ||||||||
Allegion PLC (Building Products) | 4,730 | 376,319 | ||||||||
American Airlines Group, Inc. (Airlines) | 21,180 | 1,101,995 | ||||||||
AMETEK, Inc. (Electrical Equip.) | 11,493 | 832,898 | ||||||||
Arconic, Inc. (Aerospace & Defense) | 21,072 | 574,212 | ||||||||
Boeing Co. / The (Aerospace & Defense) | 27,839 | 8,209,999 | ||||||||
C.H. Robinson Worldwide, Inc. (Air Freight & Logistics) | 6,926 | 617,037 | ||||||||
Caterpillar, Inc. (Machinery) | 29,585 | 4,662,004 | ||||||||
Cintas Corp. (Commercial Svs. & Supplies) | 4,283 | 667,420 | ||||||||
CSX Corp. (Road & Rail) | 44,444 | 2,444,864 | ||||||||
Cummins, Inc. (Machinery) | 7,759 | 1,370,550 | ||||||||
Deere & Co. (Machinery) | 15,907 | 2,489,605 | ||||||||
Delta Air Lines, Inc. (Airlines) | 32,622 | 1,826,832 | ||||||||
Dover Corp. (Machinery) | 7,749 | 782,571 | ||||||||
Eaton Corp. PLC (Electrical Equip.) | 21,911 | 1,731,188 | ||||||||
Emerson Electric Co. (Electrical Equip.) | 31,917 | 2,224,296 | ||||||||
Equifax, Inc. (Professional Svs.) | 5,968 | 703,747 | ||||||||
Expeditors International of Washington, Inc. (Air Freight & Logistics) | 8,834 | 571,471 | ||||||||
Fastenal Co. (Trading Companies & Distributors) | 14,293 | 781,684 | ||||||||
FedEx Corp. (Air Freight & Logistics) | 12,268 | 3,061,357 | ||||||||
Flowserve Corp. (Machinery) | 6,489 | 273,382 | ||||||||
Fluor Corp. (Construction & Engineering) | 6,962 | 359,587 | ||||||||
Fortive Corp. (Machinery) | 15,211 | 1,100,516 | ||||||||
Fortune Brands Home & Security, Inc. (Building Products) | 7,655 | 523,908 | ||||||||
General Dynamics Corp. (Aerospace & Defense) | 13,809 | 2,809,441 | ||||||||
General Electric Co. (Industrial Conglomerates) | 431,248 | 7,525,278 | ||||||||
Harris Corp. (Aerospace & Defense) | 5,929 | 839,843 | ||||||||
Honeywell International, Inc. (Industrial Conglomerates) | 37,883 | 5,809,737 | ||||||||
IHS Markit Ltd. (Professional Svs.) | (a) | 18,067 | 815,725 | |||||||
Illinois Tool Works, Inc. (Machinery) | 15,334 | 2,558,478 | ||||||||
Ingersoll-Rand PLC (Machinery) | 12,427 | 1,108,364 | ||||||||
J.B. Hunt Transport Services, Inc. (Road & Rail) | 4,259 | 489,700 | ||||||||
Jacobs Engineering Group, Inc. (Construction & Engineering) | 5,992 | 395,232 | ||||||||
Johnson Controls International PLC (Building Products) | 46,022 | 1,753,898 |
50 | (continued) |
Ohio National Fund, Inc. | S&P 500® Index Portfolio (Continued) |
Schedule of Investments | December 31, 2017 |
Common Stocks (Continued) | Shares | Value | ||||||||
INDUSTRIALS (continued) | ||||||||||
Kansas City Southern (Road & Rail) | 5,146 | $ | 541,462 | |||||||
L3 Technologies, Inc. (Aerospace & Defense) | 3,887 | 769,043 | ||||||||
Lockheed Martin Corp. (Aerospace & Defense) | 12,404 | 3,982,304 | ||||||||
Masco Corp. (Building Products) | 15,644 | 687,397 | ||||||||
Nielsen Holdings PLC (Professional Svs.) | 16,639 | 605,660 | ||||||||
Norfolk Southern Corp. (Road & Rail) | 14,231 | 2,062,072 | ||||||||
Northrop Grumman Corp. (Aerospace & Defense) | 8,657 | 2,656,920 | ||||||||
PACCAR, Inc. (Machinery) | 17,487 | 1,242,976 | ||||||||
Parker-Hannifin Corp. (Machinery) | 6,626 | 1,322,417 | ||||||||
Pentair PLC (Machinery) | 8,209 | 579,720 | ||||||||
Quanta Services, Inc. (Construction & Engineering) | (a) | 7,678 | 300,287 | |||||||
Raytheon Co. (Aerospace & Defense) | 14,376 | 2,700,532 | ||||||||
Republic Services, Inc. (Commercial Svs. & Supplies) | 11,307 | 764,466 | ||||||||
Robert Half International, Inc. (Professional Svs.) | 6,249 | 347,069 | ||||||||
Rockwell Automation, Inc. (Electrical Equip.) | 6,390 | 1,254,676 | ||||||||
Rockwell Collins, Inc. (Aerospace & Defense) | 8,096 | 1,097,980 | ||||||||
Roper Technologies, Inc. (Industrial Conglomerates) | 5,091 | 1,318,569 | ||||||||
Snap-on, Inc. (Machinery) | 2,832 | 493,618 | ||||||||
Southwest Airlines Co. (Airlines) | 27,149 | 1,776,902 | ||||||||
Stanley Black & Decker, Inc. (Machinery) | 7,627 | 1,294,226 | ||||||||
Stericycle, Inc. (Commercial Svs. & Supplies) | (a) | 4,241 | 288,346 | |||||||
Textron, Inc. (Aerospace & Defense) | 13,093 | 740,933 | ||||||||
TransDigm Group, Inc. (Aerospace & Defense) | 2,402 | 659,637 | ||||||||
Union Pacific Corp. (Road & Rail) | 39,145 | 5,249,344 | ||||||||
United Continental Holdings, Inc. (Airlines) | (a) | 12,525 | 844,185 | |||||||
United Parcel Service, Inc. Class B (Air Freight & Logistics) | 34,167 | 4,070,998 | ||||||||
United Rentals, Inc. (Trading Companies & Distributors) | (a) | 4,203 | 722,538 | |||||||
United Technologies Corp. (Aerospace & Defense) | 36,932 | 4,711,415 | ||||||||
Verisk Analytics, Inc. (Professional Svs.) | (a) | 7,730 | 742,080 | |||||||
W.W. Grainger, Inc. (Trading Companies & Distributors) | 2,577 | 608,816 | ||||||||
Waste Management, Inc. (Commercial Svs. & Supplies) | 19,867 | 1,714,522 | ||||||||
Xylem, Inc. (Machinery) | 8,928 | 608,890 | ||||||||
|
| |||||||||
116,399,965 | ||||||||||
|
| |||||||||
INFORMATION TECHNOLOGY – 23.6% | ||||||||||
Accenture PLC Class A (IT Svs.) | 30,731 | 4,704,609 | ||||||||
Activision Blizzard, Inc. (Software) | 37,600 | 2,380,832 | ||||||||
Adobe Systems, Inc. (Software) | (a) | 24,513 | 4,295,658 | |||||||
Advanced Micro Devices, Inc. (Semiconductors & Equip.) | (a) | 40,734 | 418,746 | |||||||
Akamai Technologies, Inc. (Internet Software & Svs.) | (a) | 8,409 | 546,921 | |||||||
Alliance Data Systems Corp. (IT Svs.) | 2,388 | 605,310 | ||||||||
Alphabet, Inc. Class A (Internet Software & Svs.) | (a) | 14,820 | 15,611,388 | |||||||
Alphabet, Inc. Class C (Internet Software & Svs.) | (a) | 15,012 | 15,708,557 | |||||||
Amphenol Corp. Class A (Electronic Equip., Instr. & Comp.) | 15,188 | 1,333,506 | ||||||||
Analog Devices, Inc. (Semiconductors & Equip.) | 18,332 | 1,632,098 | ||||||||
ANSYS, Inc. (Software) | (a) | 4,218 | 622,535 | |||||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 255,317 | 43,207,295 | ||||||||
Applied Materials, Inc. (Semiconductors & Equip.) | 53,035 | 2,711,149 | ||||||||
Autodesk, Inc. (Software) | (a) | 10,901 | 1,142,752 | |||||||
Automatic Data Processing, Inc. (IT Svs.) | 22,055 | 2,584,625 | ||||||||
Broadcom Ltd. (Semiconductors & Equip.) | 20,219 | 5,194,261 | ||||||||
CA, Inc. (Software) | 15,603 | 519,268 | ||||||||
Cadence Design Systems, Inc. (Software) | (a) | 14,038 | 587,069 | |||||||
Cisco Systems, Inc. (Communications Equip.) | 245,837 | 9,415,557 | ||||||||
Citrix Systems, Inc. (Software) | (a) | 7,124 | 626,912 |
Common Stocks (Continued) | Shares | Value | ||||||||
INFORMATION TECHNOLOGY (continued) | ||||||||||
Cognizant Technology Solutions Corp. Class A (IT Svs.) | 29,323 | $ | 2,082,519 | |||||||
Corning, Inc. (Electronic Equip., Instr. & Comp.) | 43,222 | 1,382,672 | ||||||||
CSRA, Inc. (IT Svs.) | 8,133 | 243,339 | ||||||||
DXC Technology Co. (IT Svs.) | 14,186 | 1,346,251 | ||||||||
eBay, Inc. (Internet Software & Svs.) | (a) | 48,311 | 1,823,257 | |||||||
Electronic Arts, Inc. (Software) | (a) | 15,313 | 1,608,784 | |||||||
F5 Networks, Inc. (Communications Equip.) | (a) | 3,110 | 408,094 | |||||||
Facebook, Inc. Class A (Internet Software & Svs.) | (a) | 118,590 | 20,926,391 | |||||||
Fidelity National Information Services, Inc. (IT Svs.) | 16,604 | 1,562,270 | ||||||||
Fiserv, Inc. (IT Svs.) | (a) | 10,365 | 1,359,162 | |||||||
FLIR Systems, Inc. (Electronic Equip., Instr. & Comp.) | 6,877 | 320,606 | ||||||||
Gartner, Inc. (IT Svs.) | (a) | 4,506 | 554,914 | |||||||
Global Payments, Inc. (IT Svs.) | 7,915 | 793,400 | ||||||||
Hewlett Packard Enterprise Co. (Tech. Hardware, Storage & Periph.) | 79,327 | 1,139,136 | ||||||||
HP, Inc. (Tech. Hardware, Storage & Periph.) | 83,065 | 1,745,196 | ||||||||
Intel Corp. (Semiconductors & Equip.) | 232,725 | 10,742,586 | ||||||||
International Business Machines Corp. (IT Svs.) | 42,815 | 6,568,677 | ||||||||
Intuit, Inc. (Software) | 12,078 | 1,905,667 | ||||||||
Juniper Networks, Inc. (Communications Equip.) | 18,636 | 531,126 | ||||||||
KLA-Tencor Corp. (Semiconductors & Equip.) | 7,788 | 818,285 | ||||||||
Lam Research Corp. (Semiconductors & Equip.) | 8,053 | 1,482,316 | ||||||||
Mastercard, Inc. Class A (IT Svs.) | 46,187 | 6,990,864 | ||||||||
Microchip Technology, Inc. (Semiconductors & Equip.) | 11,633 | 1,022,308 | ||||||||
Micron Technology, Inc. (Semiconductors & Equip.) | (a) | 57,349 | 2,358,191 | |||||||
Microsoft Corp. (Software) | 383,626 | 32,815,368 | ||||||||
Motorola Solutions, Inc. (Communications Equip.) | 8,064 | 728,502 | ||||||||
NetApp, Inc. (Tech. Hardware, Storage & Periph.) | 13,417 | 742,228 | ||||||||
NVIDIA Corp. (Semiconductors & Equip.) | 30,135 | 5,831,123 | ||||||||
Oracle Corp. (Software) | 151,502 | 7,163,015 | ||||||||
Paychex, Inc. (IT Svs.) | 15,906 | 1,082,881 | ||||||||
PayPal Holdings, Inc. (IT Svs.) | (a) | 56,182 | 4,136,119 | |||||||
Qorvo, Inc. (Semiconductors & Equip.) | (a) | 6,339 | 422,177 | |||||||
QUALCOMM, Inc. (Semiconductors & Equip.) | 73,308 | 4,693,178 | ||||||||
Red Hat, Inc. (Software) | (a) | 8,800 | 1,056,880 | |||||||
salesforce.com, Inc. (Software) | (a) | 34,122 | 3,488,292 | |||||||
Seagate Technology PLC (Tech. Hardware, Storage & Periph.) | 14,371 | 601,283 | ||||||||
Skyworks Solutions, Inc. (Semiconductors & Equip.) | 9,138 | 867,653 | ||||||||
Symantec Corp. (Software) | 30,834 | 865,202 | ||||||||
Synopsys, Inc. (Software) | (a) | 7,471 | 636,828 | |||||||
TE Connectivity Ltd. (Electronic Equip., Instr. & Comp.) | 17,489 | 1,662,155 | ||||||||
Texas Instruments, Inc. (Semiconductors & Equip.) | 49,009 | 5,118,500 | ||||||||
Total System Services, Inc. (IT Svs.) | 8,321 | 658,108 | ||||||||
VeriSign, Inc. (Internet Software & Svs.) | (a) | 4,211 | 481,907 | |||||||
Visa, Inc. (IT Svs.) | 90,178 | 10,282,096 | ||||||||
Western Digital Corp. (Tech. Hardware, Storage & Periph.) | 14,710 | 1,169,886 | ||||||||
Western Union Co. / The (IT Svs.) | 22,817 | 433,751 | ||||||||
Xerox Corp. (Tech. Hardware, Storage & Periph.) | 10,617 | 309,486 | ||||||||
Xilinx, Inc. (Semiconductors & Equip.) | 12,481 | 841,469 | ||||||||
|
| |||||||||
269,653,146 | ||||||||||
|
| |||||||||
MATERIALS – 3.0% | ||||||||||
Air Products & Chemicals, Inc. (Chemicals) | 10,840 | 1,778,627 | ||||||||
Albemarle Corp. (Chemicals) | 5,495 | 702,756 | ||||||||
Avery Dennison Corp. (Containers & Packaging) | 4,392 | 504,465 | ||||||||
Ball Corp. (Containers & Packaging) | 17,394 | 658,363 |
51 | (continued) |
Ohio National Fund, Inc. | S&P 500® Index Portfolio (Continued) |
Schedule of Investments | December 31, 2017 |
Common Stocks (Continued) | Shares | Value | ||||||||
MATERIALS (continued) | ||||||||||
CF Industries Holdings, Inc. (Chemicals) | 11,588 | $ | 492,954 | |||||||
DowDuPont, Inc. (Chemicals) | 116,363 | 8,287,373 | ||||||||
Eastman Chemical Co. (Chemicals) | 7,146 | 662,005 | ||||||||
Ecolab, Inc. (Chemicals) | 12,932 | 1,735,216 | ||||||||
FMC Corp. (Chemicals) | 6,674 | 631,761 | ||||||||
Freeport-McMoRan, Inc. (Metals & Mining) | (a) | 66,950 | 1,269,372 | |||||||
International Flavors & Fragrances, Inc. (Chemicals) | 3,925 | 598,994 | ||||||||
International Paper Co. (Containers & Packaging) | 20,536 | 1,189,856 | ||||||||
LyondellBasell Industries N.V. Class A (Chemicals) | 16,086 | 1,774,607 | ||||||||
Martin Marietta Materials, Inc. (Construction Materials) | 3,125 | 690,750 | ||||||||
Monsanto Co. (Chemicals) | 21,847 | 2,551,293 | ||||||||
Mosaic Co. / The (Chemicals) | 17,428 | 447,202 | ||||||||
Newmont Mining Corp. (Metals & Mining) | 26,523 | 995,143 | ||||||||
Nucor Corp. (Metals & Mining) | 15,811 | 1,005,263 | ||||||||
Packaging Corp. of America (Containers & Packaging) | 4,690 | 565,379 | ||||||||
PPG Industries, Inc. (Chemicals) | 12,656 | 1,478,474 | ||||||||
Praxair, Inc. (Chemicals) | 14,238 | 2,202,334 | ||||||||
Sealed Air Corp. (Containers & Packaging) | 8,987 | 443,059 | ||||||||
Sherwin-Williams Co. / The (Chemicals) | 4,092 | 1,677,884 | ||||||||
Vulcan Materials Co. (Construction Materials) | 6,580 | 844,675 | ||||||||
WestRock Co. (Containers & Packaging) | 12,664 | 800,491 | ||||||||
|
| |||||||||
33,988,296 | ||||||||||
|
| |||||||||
REAL ESTATE – 2.9% | ||||||||||
Alexandria Real Estate Equities, Inc. (Equity REIT) | 4,761 | 621,739 | ||||||||
American Tower Corp. (Equity REIT) | 21,326 | 3,042,580 | ||||||||
Apartment Investment & Management Co. Class A (Equity REIT) | 7,813 | 341,506 | ||||||||
AvalonBay Communities, Inc. (Equity REIT) | 6,867 | 1,225,142 | ||||||||
Boston Properties, Inc. (Equity REIT) | 7,671 | 997,460 | ||||||||
CBRE Group, Inc. Class A (Real Estate Mgmt. & Development) | (a) | 15,023 | 650,646 | |||||||
Crown Castle International Corp. (Equity REIT) | 20,203 | 2,242,735 | ||||||||
Digital Realty Trust, Inc. (Equity REIT) | 10,217 | 1,163,716 | ||||||||
Duke Realty Corp. (Equity REIT) | 17,733 | 482,515 | ||||||||
Equinix, Inc. (Equity REIT) | 3,890 | 1,763,026 | ||||||||
Equity Residential (Equity REIT) | 18,275 | 1,165,397 | ||||||||
Essex Property Trust, Inc. (Equity REIT) | 3,284 | 792,659 | ||||||||
Extra Space Storage, Inc. (Equity REIT) | 6,259 | 547,350 | ||||||||
Federal Realty Investment Trust (Equity REIT) | 3,606 | 478,913 | ||||||||
GGP, Inc. (Equity REIT) | 31,051 | 726,283 | ||||||||
HCP, Inc. (Equity REIT) | 23,327 | 608,368 | ||||||||
Host Hotels & Resorts, Inc. (Equity REIT) | 36,807 | 730,619 | ||||||||
Iron Mountain, Inc. (Equity REIT) | 13,995 | 528,031 | ||||||||
Kimco Realty Corp. (Equity REIT) | 21,196 | 384,707 | ||||||||
Macerich Co. / The (Equity REIT) | 5,380 | 353,358 | ||||||||
Mid-America Apartment Communities, Inc. (Equity REIT) | 5,650 | 568,164 | ||||||||
Prologis, Inc. (Equity REIT) | 26,459 | 1,706,870 | ||||||||
Public Storage (Equity REIT) | 7,443 | 1,555,587 | ||||||||
Realty Income Corp. (Equity REIT) | 14,017 | 799,249 | ||||||||
Regency Centers Corp. (Equity REIT) | 7,354 | 508,750 | ||||||||
SBA Communications Corp. (Equity REIT) | (a) | 5,845 | 954,839 | |||||||
Simon Property Group, Inc. (Equity REIT) | 15,458 | 2,654,757 | ||||||||
SL Green Realty Corp. (Equity REIT) | 4,884 | 492,942 |
Common Stocks (Continued) | Shares | Value | ||||||||
REAL ESTATE (continued) | ||||||||||
UDR, Inc. (Equity REIT) | 13,301 | $ | 512,355 | |||||||
Ventas, Inc. (Equity REIT) | 17,712 | 1,062,897 | ||||||||
Vornado Realty Trust (Equity REIT) | 8,576 | 670,472 | ||||||||
Welltower, Inc. (Equity REIT) | 18,419 | 1,174,580 | ||||||||
Weyerhaeuser Co. (Equity REIT) | 37,537 | 1,323,555 | ||||||||
|
| |||||||||
32,831,767 | ||||||||||
|
| |||||||||
TELECOMMUNICATION SERVICES – 2.0% | ||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 305,329 | 11,871,192 | ||||||||
CenturyLink, Inc. (Diversified Telecom. Svs.) | 48,380 | 806,978 | ||||||||
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 202,858 | 10,737,274 | ||||||||
|
| |||||||||
23,415,444 | ||||||||||
|
| |||||||||
UTILITIES – 2.9% | ||||||||||
AES Corp. (Ind. Power & Renewable Elec.) | 32,859 | 355,863 | ||||||||
Alliant Energy Corp. (Electric Utilities) | 11,484 | 489,333 | ||||||||
Ameren Corp. (Multi-Utilities) | 12,068 | 711,891 | ||||||||
American Electric Power Co., Inc. (Electric Utilities) | 24,457 | 1,799,301 | ||||||||
American Water Works Co., Inc. (Water Utilities) | 8,869 | 811,425 | ||||||||
CenterPoint Energy, Inc. (Multi-Utilities) | 21,435 | 607,897 | ||||||||
CMS Energy Corp. (Multi-Utilities) | 14,026 | 663,430 | ||||||||
Consolidated Edison, Inc. (Multi-Utilities) | 15,417 | 1,309,674 | ||||||||
Dominion Energy, Inc. (Multi-Utilities) | 31,998 | 2,593,758 | ||||||||
DTE Energy Co. (Multi-Utilities) | 8,921 | 976,493 | ||||||||
Duke Energy Corp. (Electric Utilities) | 34,800 | 2,927,028 | ||||||||
Edison International (Electric Utilities) | 16,204 | 1,024,741 | ||||||||
Entergy Corp. (Electric Utilities) | 8,967 | 729,824 | ||||||||
Eversource Energy (Electric Utilities) | 15,760 | 995,717 | ||||||||
Exelon Corp. (Electric Utilities) | 47,744 | 1,881,591 | ||||||||
FirstEnergy Corp. (Electric Utilities) | 22,128 | 677,559 | ||||||||
NextEra Energy, Inc. (Electric Utilities) | 23,390 | 3,653,284 | ||||||||
NiSource, Inc. (Multi-Utilities) | 16,730 | 429,459 | ||||||||
NRG Energy, Inc. (Ind. Power & Renewable Elec.) | 14,976 | 426,516 | ||||||||
PG&E Corp. (Electric Utilities) | 25,505 | 1,143,389 | ||||||||
Pinnacle West Capital Corp. (Electric Utilities) | 5,548 | 472,579 | ||||||||
PPL Corp. (Electric Utilities) | 33,980 | 1,051,681 | ||||||||
Public Service Enterprise Group, Inc. (Multi-Utilities) | 25,164 | 1,295,946 | ||||||||
SCANA Corp. (Multi-Utilities) | 7,106 | 282,677 | ||||||||
Sempra Energy (Multi-Utilities) | 12,485 | 1,334,896 | ||||||||
Southern Co. / The (Electric Utilities) | 49,909 | 2,400,124 | ||||||||
WEC Energy Group, Inc. (Multi-Utilities) | 15,693 | 1,042,486 | ||||||||
Xcel Energy, Inc. (Electric Utilities) | 25,252 | 1,214,874 | ||||||||
|
| |||||||||
33,303,436 | ||||||||||
|
| |||||||||
Total Common Stocks (Cost $828,446,722) | $1,134,039,233 | |||||||||
|
| |||||||||
Money Market Funds – 0.5% | Shares | Value | ||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 6,075,691 | $ | 6,075,084 | |||||||
|
| |||||||||
Total Money Market Funds | $ | 6,075,084 | ||||||||
|
| |||||||||
Total Investments – 99.6% | (b) | $ | 1,140,114,317 | |||||||
Other Assets in Excess of | (c) | 4,041,063 | ||||||||
|
| |||||||||
Net Assets – 100.0% | $ | 1,144,155,380 | ||||||||
|
|
Percentages are stated as a percent of net assets.
Footnotes:
(a) | Non-income producing security. |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
(c) | Includes $238,500 of cash pledged as collateral for the futures contracts outstanding at December 31, 2017. See also the following Schedule of Open Futures Contracts. |
The accompanying notes are an integral part of these financial statements.
52 |
Ohio National Fund, Inc. | S&P 500® Index Portfolio |
Schedule of Open Futures Contracts | December 31, 2017 |
Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||||
CME E-mini S&P 500 Index - Long | 53 | March 16, 2018 | $7,107,828 | $7,091,400 | $(16,428) | $3,610 |
The accompanying notes are an integral part of these financial statements.
53 |
Ohio National Fund, Inc. | Strategic Value Portfolio (Unaudited) |
Objective/Strategy
The Strategic Value Portfolio seeks growth of capital and income by investing primarily in high dividend paying common stocks with dividend growth potential.
Performance as of December 31, 2017
Average Annual returns | ||||
One year | 14.62 | % | ||
Five years | 12.50 | % | ||
Ten years | 7.04 | % |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Total expense ratio is 0.78% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2017 can be found in the Portfolio’s Financial Highlights.
Comments from Sub-Adviser
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A. For the year ended December 31, 2017, the Strategic Value Portfolio returned 14.62% versus 15.44% for its benchmark, the Dow Jones U.S. Select Dividend Index (“DJSDI”).
Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?
A. The “risk-on” trade was the dominant theme for the year, as the S&P 500 reached new highs, providing its best year since 2013. Accordingly, low yield and high beta stocks notably outperformed for the year. The DJSDI only had a 19% exposure to the lowest performing, top quintile of yield, versus the Portfolio, which had a 51% exposure, detracting from relative performance. Additionally, the DJSDI had an average weight of 18% in the top performing, highest quintile of beta versus a 4% weight in the Portfolio, further detracting from the Portfolio’s relative performance. In the Portfolio’s favor, high market cap outperformed small market cap in the period. The strategy benefited accordingly, as its mega/large cap tilt added to relative performance versus the mid-cap tilted DJSDI. (1)
Q. How did sector allocation and security selection each impact the Portfolio’s performance relative to its benchmark? For sector allocation, were there any factors that impacted the benchmark’s performance more significantly than the Portfolio’s performance? For stock selection, was there anything specific regarding the Portfolio’s strategy that caused deviation from the benchmark?
A. The strategy focuses on the dividend-rich segments of the economy, such as Consumer Staples, Health Care, Telecommunication Services and Utilities. Therefore, the strategy has a natural avoidance to the cyclical sectors that afford limited dividend growth opportunities. The strategy has limited, or zero, exposure to Industrial, Information
Technology, Materials, and Consumer Discretionary sectors. Further, the DJSDI has an outsized average weight in the Utilities sector, which creates notable dispersion if the sector greatly underperforms or outperforms in the period. (1)
The Portfolio’s top contributor to relative performance for the year was security selection in Health Care. This outperformance was primarily driven by non-index name, Abbvie, Inc. The Portfolio’s underweight in Financials further contributed to relative performance, as the sector was a laggard for the year. (1)
The primary drivers of the Portfolio’s slight underperformance was the Portfolio’s underweights in Industrials and Materials, which were the best performing sectors in the benchmark. The Portfolio had little, or zero, exposure to these cyclical sectors due to the lack of reliable dividend growth and yield opportunities. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. AbbVie, Inc., a key contributor, was bolstered by the Humira patent challenge denial and pipeline drug success in multiple phase 3 trials. Vodafone Group PLC shares gained after reporting strong operating results for fiscal year 2017 and gave solid Earnings Before Interest, Taxes, Depreciation and Amortization (“EBITDA”) and Free Cash Flow (“FCF”) guidance for fiscal year 2018. Crown Castle International Corp. reported strong earnings during the year and 2018 guidance projected robust growth. (1)
Lockheed Martin Corp. and Caterpillar, Inc. were key detractors from a benchmark-relative basis, as the Portfolio had no exposure to these specific stocks and minimal exposure to Industrials overall due to the lack of reliable dividend growth and yield opportunities. CME Group, Inc., another high-performing stock in the benchmark, was also not represented in the Portfolio due to its uncertain regulatory and business outlook. Holdings in the Portfolio that were key detractors were PPL Corp., Omega Healthcare Investors, Inc., and AT&T, Inc. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2017. |
54 | (continued) |
Ohio National Fund, Inc. | Strategic Value Portfolio (Unaudited) (Continued) |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The Dow Jones U.S. Select Dividend Index is comprised of all dividend-paying companies in the Dow Jones U.S. Index that have a non-negative historical five-year dividend-per-share growth rate, a five-year average dividend to earnings-per-share ratio of less than or equal to 60%, paid dividends in each of the previous five years, and a three-month average daily trading volume of 200,000 shares. Current index components are included in the universe regardless of their dividend payout ratio or trading volume. The Dow Jones U.S. Index aims to consistently represent the top 95% of U.S. companies based on float-adjusted market capitalization, excluding non common issues and illiquid stocks. The index presented includes the effects of reinvested dividends.
Portfolio Composition as of December 31, 2017 (1)
% of Net Assets | ||||
Common Stocks (4) | 97.8 | |||
Money Market Funds and | 2.2 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31,
2017 (1) (2) (3)
% of Net Assets | ||||
1. Verizon Communications, Inc. | 5.3 | |||
2. Vodafone Group PLC – ADR | 5.1 | |||
3. AT&T, Inc. | 5.0 | |||
4. Altria Group, Inc. | 4.9 | |||
5. BCE, Inc. | 4.4 | |||
6. Philip Morris International, Inc. | 4.2 | |||
7. Coca-Cola Co. / The | 4.2 | |||
8. Duke Energy Corp. | 3.9 | |||
9. Exxon Mobil Corp. | 3.5 | |||
10. Chevron Corp. | 3.4 |
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. |
(3) | Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher. |
(4) | Sectors (Common Stocks): |
% of Net Assets | ||||
Consumer Staples | 21.6 | |||
Telecommunication Services | 19.7 | |||
Utilities | 15.9 | |||
Energy | 14.9 | |||
Health Care | 11.3 | |||
Real Estate | 9.5 | |||
Financials | 2.9 | |||
Industrials | 1.3 | |||
Information Technology | 0.7 | |||
|
| |||
97.8 | ||||
|
|
55 |
Ohio National Fund, Inc. | Strategic Value Portfolio |
Schedule of Investments | December 31, 2017 |
Common Stocks – 97.8% | Shares | Value | ||||||||
CONSUMER STAPLES – 21.6% | ||||||||||
Altria Group, Inc. (Tobacco) | 407,070 | $ | 29,068,868 | |||||||
British American Tobacco PLC (Tobacco) | (a) | 117,650 | 7,953,000 | |||||||
Coca-Cola Co. / The (Beverages) | 550,950 | 25,277,586 | ||||||||
General Mills, Inc. (Food Products) | 158,800 | 9,415,252 | ||||||||
Imperial Brands PLC (Tobacco) | (a) | 181,725 | 7,751,414 | |||||||
Kimberly-Clark Corp. (Household Products) | 76,600 | 9,242,556 | ||||||||
PepsiCo, Inc. (Beverages) | 26,650 | 3,195,868 | ||||||||
Philip Morris International, Inc. (Tobacco) | 239,920 | 25,347,548 | ||||||||
Procter & Gamble Co. / The (Household Products) | 129,065 | 11,858,492 | ||||||||
|
| |||||||||
129,110,584 | ||||||||||
|
| |||||||||
ENERGY – 14.9% | ||||||||||
BP PLC (Oil, Gas & Consumable Fuels) | (a) | 2,543,200 | 17,841,283 | |||||||
Chevron Corp. (Oil, Gas & Consumable Fuels) | 159,905 | 20,018,507 | ||||||||
Exxon Mobil Corp. (Oil, Gas & Consumable Fuels) | 250,325 | 20,937,183 | ||||||||
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 229,775 | 16,925,226 | ||||||||
TOTAL SA (Oil, Gas & Consumable Fuels) | (a) | 242,975 | 13,412,191 | |||||||
|
| |||||||||
89,134,390 | ||||||||||
|
| |||||||||
FINANCIALS – 2.9% | ||||||||||
Canadian Imperial Bank of Commerce (Banks) | 69,625 | 6,787,468 | ||||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Insurance) | (a) | 47,625 | 10,284,607 | |||||||
|
| |||||||||
17,072,075 | ||||||||||
|
| |||||||||
HEALTH CARE – 11.3% | ||||||||||
AbbVie, Inc. (Biotechnology) | 122,250 | 11,822,798 | ||||||||
AstraZeneca PLC (Pharmaceuticals) | (a) | 239,205 | 16,506,494 | |||||||
GlaxoSmithKline PLC (Pharmaceuticals) | (a) | 872,831 | 15,457,140 | |||||||
Merck & Co., Inc. (Pharmaceuticals) | 224,775 | 12,648,089 | ||||||||
Sanofi (Pharmaceuticals) | (a) | 125,211 | 10,779,656 | |||||||
|
| |||||||||
67,214,177 | ||||||||||
|
| |||||||||
INDUSTRIALS – 1.3% | ||||||||||
United Parcel Service, Inc. Class B (Air Freight & Logistics) | 67,250 | 8,012,838 | ||||||||
|
| |||||||||
INFORMATION TECHNOLOGY – 0.7% | ||||||||||
Paychex, Inc. (IT Svs.) | 60,450 | 4,115,436 | ||||||||
|
| |||||||||
REAL ESTATE – 9.5% | ||||||||||
Crown Castle International Corp. (Equity REIT) | 176,600 | 19,604,366 |
Common Stocks (Continued) | Shares | Value | ||||||||
REAL ESTATE (continued) | ||||||||||
Digital Realty Trust, Inc. (Equity REIT) | 49,670 | $ | 5,657,413 | |||||||
National Retail Properties, Inc. (Equity REIT) | 116,000 | 5,003,080 | ||||||||
Omega Healthcare Investors, Inc. (Equity REIT) | 101,550 | 2,796,687 | ||||||||
Public Storage (Equity REIT) | 21,525 | 4,498,725 | ||||||||
Realty Income Corp. (Equity REIT) | 73,800 | 4,208,076 | ||||||||
Ventas, Inc. (Equity REIT) | 159,330 | 9,561,393 | ||||||||
Welltower, Inc. (Equity REIT) | 78,800 | 5,025,076 | ||||||||
|
| |||||||||
56,354,816 | ||||||||||
|
| |||||||||
TELECOMMUNICATION SERVICES – 19.7% | ||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 765,848 | 29,776,170 | ||||||||
BCE, Inc. (Diversified Telecom. Svs.) | 544,505 | 26,155,300 | ||||||||
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 595,951 | 31,543,687 | ||||||||
Vodafone Group PLC – ADR (Wireless Telecom. Svs.) | 950,868 | 30,332,689 | ||||||||
|
| |||||||||
117,807,846 | ||||||||||
|
| |||||||||
UTILITIES – 15.9% | ||||||||||
American Electric Power Co., Inc. (Electric Utilities) | 46,100 | 3,391,577 | ||||||||
Dominion Energy, Inc. (Multi-Utilities) | 244,425 | 19,813,091 | ||||||||
Duke Energy Corp. (Electric Utilities) | 276,931 | 23,292,666 | ||||||||
National Grid PLC (Multi-Utilities) | (a) | 1,455,850 | 17,162,325 | |||||||
PPL Corp. (Electric Utilities) | 434,925 | 13,460,929 | ||||||||
Public Service Enterprise Group, Inc. (Multi-Utilities) | 172,100 | 8,863,150 | ||||||||
Southern Co. / The (Electric Utilities) | 181,860 | 8,745,647 | ||||||||
|
| |||||||||
94,729,385 | ||||||||||
|
| |||||||||
Total Common Stocks (Cost $543,573,620) | $ | 583,551,547 | ||||||||
|
| |||||||||
Money Market Funds – 1.5% | Shares | Value | ||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 9,208,913 | $ | 9,207,992 | |||||||
|
| |||||||||
Total Money Market Funds (Cost $9,209,352) | $ | 9,207,992 | ||||||||
|
| |||||||||
Total Investments – 99.3% (Cost $552,782,972) | (b) | $ | 592,759,539 | |||||||
Other Assets in Excess of Liabilities – 0.7% | 3,905,382 | |||||||||
|
| |||||||||
Net Assets – 100.0% | $ | 596,664,921 | ||||||||
|
|
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depositary Receipts
Footnotes:
(a) | Security traded on a foreign exchange has been valued at an estimate of fair value that is different than the local market close price. These fair value estimates are determined by an independent fair valuation service that has been approved by the Board. These securities represent $117,148,110 or 19.6% of the Portfolio’s net assets. |
Other Portfolio securities are not subjected to fair value procedures because they are traded on domestic or foreign exchanges that have close times that are consistent with the U.S. market close, normally 4:00 pm Eastern Time. |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
56 |
Ohio National Fund, Inc. | High Income Bond Portfolio (Unaudited) |
Objective/Strategy
The High Income Bond Portfolio seeks high current income by investing, under normal circumstances, at least 80% of its assets in lower rated corporate debt obligations commonly referred to as “junk bonds”. The Portfolio’s investments are generally rated Ba or lower by Moody’s, or BB or lower by Standard & Poor’s or Fitch.
Performance as of December 31, 2017
Average Annual returns | ||||
One year | 6.96 | % | ||
Five years | 5.48 | % | ||
Ten years | 7.18 | % |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Total expense ratio is 0.81% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2017 can be found in the Portfolio’s Financial Highlights.
Comments from Sub-Adviser
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A. For the year ended December 31, 2017, the High Income Bond Portfolio returned 6.96% versus 7.50% for its benchmark, the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index.
Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?
A. Within the high-yield market, major industry sectors that substantially outperformed the overall benchmark included pharmaceuticals, transportation services, banking, electric utilities and diversified manufacturing. Major industry sectors that substantially underperformed the overall benchmark included wireline telecommunications, retail, consumer products, wireless telecommunications, and media and entertainment. The Portfolio was overweight the strong performing CCC-rated credit universe, aiding performance, although the impact was muted as the Portfolio’s CCC-rated holdings tended to have lower yields than the benchmark’s CCC-rated holdings. (1)
Q. How did sector allocation and security selection each impact the Portfolio’s performance relative to its benchmark? For sector allocation, were there any factors that impacted the benchmark’s performance more significantly than the Portfolio’s performance? For stock selection, was there anything specific regarding the Fund’s strategy that caused deviation from the benchmark?
A. The Portfolio was positively impacted by its sector allocation during the period under review. This was mainly a result of its substantial underweight to the poor performing wireline telecommunications industry sector. This was partially offset by the Portfolio’s cash holdings and its underweight to the strong performing banking sector. An
overweight to the strong performing pharmaceutical sector and an underweight to the poor performing retail sector helped to offset some of the poor security selection in these two sectors. (1)
The Portfolio was negatively impacted by its security selection during the period. This was especially true in the retail, consumer products, pharmaceutical, midstream (oil and gas), and chemicals sectors. The Portfolio was positively impacted by security selection in the healthcare, cable & satellite, automotive, wireless telecommunications, packaging, metals and the media & entertainment sectors. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. Intelsat Jackson Holdings SA, a global operator of satellites and key contributor to performance, rallied strongly early in the year in response to a recapitalization proposal from OneWeb that was supported by Softbank Group Corp. The Portfolio took the opportunity to sell its most subordinated securities into the rally. (1)
Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical Diagnostics SA, a global diagnostics company, outperformed the market as its operations stabilized after a somewhat rough start subsequent to its leveraged buyout from Johnson & Johnson. (1)
Valeant Pharmaceutical International, Inc., a diversified pharmaceutical company, rallied off of depressed levels as operations met expectations and the company was able to successfully sell assets to pay down debt. (1)
FGI Operating Co. LLC / FGI Financing, Inc., a firearms manufacturer and key detractor, underperformed as a result of volatile sales related to the Presidential election and poor working capital management. (1)
PetSmart, Inc., a leading pet retailer, underperformed based on disappointing results driven by increased competition from online retailers. (1)
Mallinckrodt International Finance SA / Mallinckrodt CB LLC, a pharmaceutical company, underperformed the market because of negative sentiment on the sector and questions about some of its most profitable drugs. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2017. |
57 | (continued) |
Ohio National Fund, Inc. | High Income Bond Portfolio (Unaudited) (Continued) |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. All returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of Portfolio management or trading. Neither the Portfolio nor the index is open to direct investment.
The Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index is the 2% Issuer Cap component of the Bloomberg Barclays U.S. Corporate High Yield Bond Index. The Bloomberg Barclays U.S. Corporate High Yield Bond Index is an unmanaged index that includes all fixed income securities having a maximum quality rating of Ba1/BB+/BB+, a minimum amount outstanding of $150 million, and a least 1 year to maturity. The 2% Issuer Cap component limits the exposure of each issuer to 2% of the total market value and distributes any excess market value index–wide on a pro–rata basis. The index is presented on a total return basis.
Portfolio Composition as of December 31, 2017 (1)
% of Net Assets | ||||
Corporate Bonds (4) | 94.6 | |||
Exchange Traded Funds | 0.8 | |||
Money Market Funds and Other Net Assets | 4.6 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31,
2017 (1) (2) (3)
% of Net Assets | ||||
1. Ortho-Clinical Diagnostics, Inc. / | 0.9 | |||
2. Valeant Pharmaceuticals International, Inc. | 0.9 | |||
3. Jaguar Holding Co. II / Pharmaceutical Product Development LLC | 0.8 | |||
4. Platform Specialty Products Corp. | 0.7 | |||
5. MPH Acquisition Holdings LLC | 0.7 | |||
6. SFR Group SA | 0.7 | |||
7. Sprint Corp. | 0.6 | |||
8. First Data Corp. | 0.6 | |||
9. Park Aerospace Holdings Ltd. | 0.6 | |||
10. Post Holdings, Inc. | 0.6 |
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. |
(3) | Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher. |
(4) | Sectors (Corporate Bonds): |
% of Net Assets | ||||
Consumer Discretionary | 24.4 | |||
Health Care | 14.8 | |||
Energy | 11.7 | |||
Materials | 10.7 | |||
Information Technology | 9.2 | |||
Industrials | 8.0 | |||
Financials | 4.7 | |||
Telecommunication Services | 4.1 | |||
Utilities | 3.5 | |||
Consumer Staples | 3.2 | |||
Real Estate | 0.3 | |||
|
| |||
94.6 | ||||
|
|
58 |
Ohio National Fund, Inc. | High Income Bond Portfolio |
Schedule of Investments | December 31, 2017 |
Corporate Bonds – 94.6% | Rate | Maturity | Face Amount | Value | ||||||||||||
CONSUMER DISCRETIONARY – 24.4% | ||||||||||||||||
1011778 B.C. ULC / New Red Finance, Inc. (Hotels, Restaurants & Leisure) | (a) | 4.250% | 05/15/2024 | $ | 250,000 | $ | 249,375 | |||||||||
1011778 B.C. ULC / New Red Finance, Inc. (Hotels, Restaurants & Leisure) | (a) | 5.000% | 10/15/2025 | 1,475,000 | 1,486,062 | |||||||||||
Acosta, Inc. (Media) | (a) | 7.750% | 10/01/2022 | 1,100,000 | 803,000 | |||||||||||
Adient Global Holdings Ltd. (Auto Components) | (a) | 4.875% | 08/15/2026 | 950,000 | 976,125 | |||||||||||
Altice U.S. Finance I Corp. (Media) | (a) | 5.375% | 07/15/2023 | 375,000 | 384,375 | |||||||||||
AMC Entertainment Holdings, Inc. (Media) | 5.875% | 11/15/2026 | 250,000 | 246,875 | ||||||||||||
AMC Entertainment Holdings, Inc. (Media) | 6.125% | 05/15/2027 | 125,000 | 124,063 | ||||||||||||
AMC Networks, Inc. (Media) | 5.000% | 04/01/2024 | 800,000 | 810,000 | ||||||||||||
AMC Networks, Inc. (Media) | 4.750% | 08/01/2025 | 450,000 | 446,062 | ||||||||||||
American Axle & Manufacturing, Inc. (Auto Components) | 6.625% | 10/15/2022 | 125,000 | 129,688 | ||||||||||||
American Axle & Manufacturing, Inc. (Auto Components) | (a) | 6.500% | 04/01/2027 | 825,000 | 873,469 | |||||||||||
Aramark Services, Inc. (Hotels, Restaurants & Leisure) | 5.125% | 01/15/2024 | 550,000 | 577,225 | ||||||||||||
Aramark Services, Inc. (Hotels, Restaurants & Leisure) | (a) | 5.000% | 04/01/2025 | 300,000 | 316,890 | |||||||||||
Aramark Services, Inc. (Hotels, Restaurants & Leisure) | 4.750% | 06/01/2026 | 375,000 | 380,625 | ||||||||||||
Ardonagh Midco 3 PLC (Hotels, Restaurants & Leisure) | (a) | 8.625% | 07/15/2023 | 850,000 | 879,750 | |||||||||||
Boyd Gaming Corp. (Hotels, Restaurants & Leisure) | 6.875% | 05/15/2023 | 525,000 | 556,500 | ||||||||||||
Boyd Gaming Corp. (Hotels, Restaurants & Leisure) | 6.375% | 04/01/2026 | 650,000 | 700,375 | ||||||||||||
Cablevision Systems Corp. (Media) | 5.875% | 09/15/2022 | 825,000 | 812,625 | ||||||||||||
Caesars Resort Collection LLC (Hotels, Restaurants & Leisure) | (a) | 5.250% | 10/15/2025 | 1,625,000 | 1,641,737 | |||||||||||
CBS Radio, Inc. (Media) | (a) | 7.250% | 11/01/2024 | 600,000 | 632,625 | |||||||||||
CCO Holdings, LLC / CCO Holdings Capital Corp. (Media) | 5.250% | 09/30/2022 | 300,000 | 307,500 | ||||||||||||
CCO Holdings, LLC / CCO Holdings Capital Corp. (Media) | 5.125% | 02/15/2023 | 150,000 | 153,375 | ||||||||||||
CCO Holdings, LLC / CCO Holdings Capital Corp. (Media) | 5.750% | 09/01/2023 | 325,000 | 333,125 | ||||||||||||
CCO Holdings, LLC / CCO Holdings Capital Corp. (Media) | 5.750% | 01/15/2024 | 1,275,000 | 1,313,250 | ||||||||||||
CCO Holdings, LLC / CCO Holdings Capital Corp. (Media) | (a) | 5.375% | 05/01/2025 | 175,000 | 180,306 | |||||||||||
CCO Holdings, LLC / CCO Holdings Capital Corp. (Media) | (a) | 5.125% | 05/01/2027 | 1,750,000 | 1,723,750 | |||||||||||
CCO Holdings, LLC / CCO Holdings Capital Corp. (Media) | (a) | 5.875% | 05/01/2027 | 250,000 | 256,875 | |||||||||||
CCO Holdings, LLC / CCO Holdings Capital Corp. (Media) | (a) | 5.000% | 02/01/2028 | 850,000 | 826,625 | |||||||||||
Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp. (Hotels, Restaurants & Leisure) | 5.375% | 06/01/2024 | 375,000 | 391,875 | ||||||||||||
Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp. / Millennium Operations LLC (Hotels, Restaurants & Leisure) | (a) | 5.375% | 04/15/2027 | 100,000 | 105,000 | |||||||||||
Cequel Communications Holdings I LLC / Cequel Capital Corp. (Media) | (a) | 5.125% | 12/15/2021 | 750,000 | 750,000 | |||||||||||
Cequel Communications Holdings I LLC / Cequel Capital Corp. (Media) | (a) | 5.125% | 12/15/2021 | 100,000 | 100,000 | |||||||||||
Cequel Communications Holdings I LLC / Cequel Capital Corp. (Media) | (a) | 7.750% | 07/15/2025 | 1,175,000 | 1,257,250 | |||||||||||
Clear Channel Worldwide Holdings, Inc. (Media) | 6.500% | 11/15/2022 | 825,000 | 838,406 | ||||||||||||
Clear Channel Worldwide Holdings, Inc. (Media) | 6.500% | 11/15/2022 | 275,000 | 277,750 | ||||||||||||
CSC Holdings LLC (Media) | 5.250% | 06/01/2024 | 975,000 | 955,500 | ||||||||||||
CSC Holdings LLC (Media) | (a) | 5.500% | 04/15/2027 | 1,100,000 | 1,122,000 | |||||||||||
Dana Financing Luxembourg Sarl (Auto Components) | (a) | 5.750% | 04/15/2025 | 175,000 | 184,406 | |||||||||||
Dana Financing Luxembourg Sarl (Auto Components) | (a) | 6.500% | 06/01/2026 | 800,000 | 867,000 | |||||||||||
DISH DBS Corp. (Media) | 5.875% | 07/15/2022 | 950,000 | 954,750 | ||||||||||||
DISH DBS Corp. (Media) | 5.875% | 11/15/2024 | 1,200,000 | 1,167,000 | ||||||||||||
DISH DBS Corp. (Media) | 7.750% | 07/01/2026 | 300,000 | 315,375 | ||||||||||||
E.W. Scripps Co. / The (Media) | (a) | 5.125% | 05/15/2025 | 175,000 | 174,125 | |||||||||||
Eldorado Resorts, Inc. (Hotels, Restaurants & Leisure) | 6.000% | 04/01/2025 | 500,000 | 522,500 | ||||||||||||
EMI Music Publishing Group North America Holdings, Inc. (Media) | (a) | 7.625% | 06/15/2024 | 800,000 | 880,000 | |||||||||||
FGI Operating Co. LLC / FGI Finance, Inc. (Acquired 04/16/2012 through 11/04/2013, Cost $483,085) (Leisure Products) | (b) | 7.875% | 05/01/2020 | 475,000 | 104,500 | |||||||||||
Gates Global LLC / Gates Global Co. (Auto Components) | (a) | 6.000% | 07/15/2022 | 1,550,000 | 1,584,875 | |||||||||||
GLP Capital LP / GLP Financing II, Inc. (Hotels, Restaurants & Leisure) | 5.375% | 11/01/2023 | 150,000 | 160,125 | ||||||||||||
GLP Capital LP / GLP Financing II, Inc. (Hotels, Restaurants & Leisure) | 5.375% | 04/15/2026 | 125,000 | 134,063 | ||||||||||||
Goodyear Tire & Rubber Co. / The (Auto Components) | 5.125% | 11/15/2023 | 300,000 | 313,017 | ||||||||||||
Goodyear Tire & Rubber Co. / The (Auto Components) | 5.000% | 05/31/2026 | 200,000 | 206,220 | ||||||||||||
Goodyear Tire & Rubber Co. / The (Auto Components) | 4.875% | 03/15/2027 | 325,000 | 332,719 | ||||||||||||
Gray Television, Inc. (Media) | (a) | 5.125% | 10/15/2024 | 250,000 | 249,375 | |||||||||||
Gray Television, Inc. (Media) | (a) | 5.875% | 07/15/2026 | 825,000 | 845,625 | |||||||||||
Hanesbrands, Inc. (Textiles, Apparel & Luxury Goods) | (a) | 4.875% | 05/15/2026 | 475,000 | 486,875 | |||||||||||
Hilton Domestic Operating Co., Inc. (Hotels, Restaurants & Leisure) | 4.250% | 09/01/2024 | 150,000 | 151,500 | ||||||||||||
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp. (Hotels, Restaurants & Leisure) | 4.625% | 04/01/2025 | 375,000 | 385,313 | ||||||||||||
iHeartCommunications, Inc. (Media) | 9.000% | 03/01/2021 | 700,000 | 500,500 | ||||||||||||
IHO Verwaltungs GmbH (Auto Components) | (a)(c) | 4.750%, 5.500 PIK | 09/15/2026 | 1,125,000 | 1,141,875 | |||||||||||
Intelsat Jackson Holdings SA (Media) | 7.500% | 04/01/2021 | 1,525,000 | 1,387,750 | ||||||||||||
Intelsat Jackson Holdings SA (Media) | 5.500% | 08/01/2023 | 550,000 | 449,625 | ||||||||||||
Intelsat Jackson Holdings SA (Media) | (a) | 8.000% | 02/15/2024 | 675,000 | 710,437 | |||||||||||
Intelsat Jackson Holdings SA (Media) | (a) | 9.750% | 07/15/2025 | 350,000 | 336,875 | |||||||||||
J.B. Poindexter & Co., Inc. (Auto Components) | (a) | 9.000% | 04/01/2022 | 341,000 | 353,788 | |||||||||||
KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC (Hotels, Restaurants & Leisure) | (a) | 5.000% | 06/01/2024 | 150,000 | 154,688 |
59 | (continued) |
Ohio National Fund, Inc. | High Income Bond Portfolio (Continued) |
Schedule of Investments | December 31, 2017 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||
CONSUMER DISCRETIONARY (continued) | ||||||||||||||||||
KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC (Hotels, Restaurants & Leisure) | (a) | 5.250% | 06/01/2026 | $ | 300,000 | $ | 315,750 | |||||||||||
KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC (Hotels, Restaurants & Leisure) | (a) | 4.750% | 06/01/2027 | 650,000 | 664,625 | |||||||||||||
Lamar Media Corp. (Media) | 5.375% | 01/15/2024 | 275,000 | 287,375 | ||||||||||||||
LIN Television Corp. (Media) | 5.875% | 11/15/2022 | 350,000 | 364,000 | ||||||||||||||
Live Nation Entertainment, Inc. (Media) | (a) | 4.875% | 11/01/2024 | 250,000 | 256,250 | |||||||||||||
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc. (Hotels, Restaurants & Leisure) | 5.625% | 05/01/2024 | 50,000 | 53,250 | ||||||||||||||
MGM Resorts International (Hotels, Restaurants & Leisure) | 6.750% | 10/01/2020 | 150,000 | 162,000 | ||||||||||||||
MGM Resorts International (Hotels, Restaurants & Leisure) | 7.750% | 03/15/2022 | 225,000 | 256,500 | ||||||||||||||
MGM Resorts International (Hotels, Restaurants & Leisure) | 4.625% | 09/01/2026 | 1,425,000 | 1,439,250 | ||||||||||||||
Michaels Stores, Inc. (Specialty Retail) | (a) | 5.875% | 12/15/2020 | 1,275,000 | 1,292,531 | |||||||||||||
Mohegan Gaming & Entertainment (Hotels, Restaurants & Leisure) | (a) | 7.875% | 10/15/2024 | 925,000 | 948,125 | |||||||||||||
Nexstar Broadcasting, Inc. (Media) | (a) | 6.125% | 02/15/2022 | 475,000 | 491,625 | |||||||||||||
Nexstar Broadcasting, Inc. (Media) | (a) | 5.625% | 08/01/2024 | 1,025,000 | 1,058,312 | |||||||||||||
Nielsen Finance LLC / Nielsen Finance Co. (Media) | (a) | 5.000% | 04/15/2022 | 1,250,000 | 1,285,937 | |||||||||||||
Outfront Media Capital LLC / Outfront Media Capital Corp. (Media) | 5.250% | 02/15/2022 | 300,000 | 307,500 | ||||||||||||||
Outfront Media Capital LLC / Outfront Media Capital Corp. (Media) | 5.625% | 02/15/2024 | 300,000 | 317,250 | ||||||||||||||
Party City Holdings, Inc. (Specialty Retail) | (a) | 6.125% | 08/15/2023 | 975,000 | 1,006,687 | |||||||||||||
Penn National Gaming, Inc. (Hotels, Restaurants & Leisure) | (a) | 5.625% | 01/15/2027 | 375,000 | 389,062 | |||||||||||||
PetSmart, Inc. (Specialty Retail) | (a) | 7.125% | 03/15/2023 | 1,600,000 | 948,000 | |||||||||||||
PetSmart, Inc. (Specialty Retail) | (a) | 8.875% | 06/01/2025 | 325,000 | 195,813 | |||||||||||||
Pinnacle Entertainment, Inc. (Hotels, Restaurants & Leisure) | 5.625% | 05/01/2024 | 1,075,000 | 1,150,250 | ||||||||||||||
Regal Entertainment Group (Media) | 5.750% | 02/01/2025 | 550,000 | 563,750 | ||||||||||||||
Rivers Pittsburgh Borrower LP / Rivers Pittsburgh Finance Corp. (Hotels, Restaurants & Leisure) | (a) | 6.125% | 08/15/2021 | 750,000 | 744,375 | |||||||||||||
RSI Home Products, Inc. (Household Durables) | (a) | 6.500% | 03/15/2023 | 975,000 | 1,021,312 | |||||||||||||
Sally Holdings LLC / Sally Capital, Inc. (Specialty Retail) | 5.625% | 12/01/2025 | 875,000 | 870,625 | ||||||||||||||
Seminole Hard Rock Entertainment, Inc. / Seminole Hard Rock International LLC (Hotels, Restaurants & Leisure) | (a) | 5.875% | 05/15/2021 | 1,400,000 | 1,421,000 | |||||||||||||
Seminole Tribe of Florida, Inc. (Hotels, Restaurants & Leisure) | (a) | 7.804% | 10/01/2020 | 400,000 | 404,000 | |||||||||||||
ServiceMaster Co. LLC / The (Diversified Consumer Svs.) | 7.100% | 03/01/2018 | 450,000 | 454,401 | ||||||||||||||
ServiceMaster Co. LLC / The (Diversified Consumer Svs.) | (a) | 5.125% | 11/15/2024 | 700,000 | 708,750 | |||||||||||||
ServiceMaster Co. LLC / The (Diversified Consumer Svs.) | 7.450% | 08/15/2027 | 300,000 | 324,750 | ||||||||||||||
Sinclair Television Group, Inc. (Media) | (a) | 5.625% | 08/01/2024 | 875,000 | 902,344 | |||||||||||||
Sinclair Television Group, Inc. (Media) | (a) | 5.875% | 03/15/2026 | 750,000 | 780,000 | |||||||||||||
Sinclair Television Group, Inc. (Media) | (a) | 5.125% | 02/15/2027 | 250,000 | 247,813 | |||||||||||||
Sirius XM Radio, Inc. (Media) | (a) | 4.625% | 05/15/2023 | 1,175,000 | 1,199,969 | |||||||||||||
Sirius XM Radio, Inc. (Media) | (a) | 6.000% | 07/15/2024 | 275,000 | 290,813 | |||||||||||||
Sirius XM Radio, Inc. (Media) | (a) | 5.375% | 04/15/2025 | 150,000 | 156,188 | |||||||||||||
Sirius XM Radio, Inc. (Media) | (a) | 5.375% | 07/15/2026 | 725,000 | 751,281 | |||||||||||||
Sirius XM Radio, Inc. (Media) | (a) | 5.000% | 08/01/2027 | 250,000 | 250,625 | |||||||||||||
Six Flags Entertainment Corp. (Hotels, Restaurants & Leisure) | (a) | 4.875% | 07/31/2024 | 350,000 | 355,250 | |||||||||||||
Six Flags Entertainment Corp. (Hotels, Restaurants & Leisure) | (a) | 5.500% | 04/15/2027 | 1,475,000 | 1,526,625 | |||||||||||||
Springs Industries, Inc. (Textiles, Apparel & Luxury Goods) | 6.250% | 06/01/2021 | 380,000 | 387,600 | ||||||||||||||
Station Casinos LLC (Hotels, Restaurants & Leisure) | (a) | 5.000% | 10/01/2025 | 650,000 | 653,250 | |||||||||||||
Sugarhouse HSP Gaming Prop. Mezz LP / Sugarhouse HSP Gaming Finance Corp. (Hotels, Restaurants & Leisure) | (a) | 5.875% | 05/15/2025 | 600,000 | 570,000 | |||||||||||||
TEGNA, Inc. (Media) | 6.375% | 10/15/2023 | 700,000 | 733,250 | ||||||||||||||
TEGNA, Inc. (Media) | (a) | 5.500% | 09/15/2024 | 225,000 | 235,969 | |||||||||||||
Telenet Finance Luxembourg Notes SARL (Media) | (a) | 5.500% | 03/01/2028 | 1,200,000 | 1,197,000 | |||||||||||||
Tenneco, Inc. (Auto Components) | 5.000% | 07/15/2026 | 100,000 | 102,500 | ||||||||||||||
TI Group Automotive Systems LLC (Auto Components) | (a) | 8.750% | 07/15/2023 | 362,000 | 388,245 | |||||||||||||
Tribune Media Co. (Media) | 5.875% | 07/15/2022 | 1,225,000 | 1,258,687 | ||||||||||||||
Unitymedia GmbH (Media) | (a) | 6.125% | 01/15/2025 | 975,000 | 1,028,625 | |||||||||||||
Unitymedia Hessen GmbH & Co. KG / Unitymedia NRW GmbH (Media) | (a) | 5.000% | 01/15/2025 | 200,000 | 204,500 | |||||||||||||
Urban One, Inc. (Acquired 01/29/2014 through 03/06/2014, Cost $659,220) (Media) | (a)(b) | 9.250% | 02/15/2020 | 650,000 | 611,000 | |||||||||||||
Urban One, Inc. (Media) | (a) | 7.375% | 04/15/2022 | 625,000 | 623,437 | |||||||||||||
Virgin Media Finance PLC (Media) | (a) | 6.375% | 04/15/2023 | 475,000 | 489,844 | |||||||||||||
Virgin Media Finance PLC (Media) | (a) | 6.000% | 10/15/2024 | 800,000 | 821,000 | |||||||||||||
Virgin Media Finance PLC (Media) | (a) | 5.750% | 01/15/2025 | 400,000 | 408,000 | |||||||||||||
Virgin Media Secured Finance PLC (Media) | (a) | 5.250% | 01/15/2026 | 425,000 | 429,250 | |||||||||||||
Virgin Media Secured Finance PLC (Media) | (a) | 5.500% | 08/15/2026 | 200,000 | 205,000 | |||||||||||||
WMG Acquisition Corp. (Media) | (a) | 5.000% | 08/01/2023 | 75,000 | 77,625 | |||||||||||||
WMG Acquisition Corp. (Media) | (a) | 4.875% | 11/01/2024 | 200,000 | 206,000 | |||||||||||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. (Hotels, Restaurants & Leisure) | (a) | 5.250% | 05/15/2027 | 325,000 | 329,469 | |||||||||||||
ZF North America Capital, Inc. (Auto Components) | (a) | 4.750% | 04/29/2025 | 191,000 | 202,221 | |||||||||||||
Ziggo Bond Finance BV (Media) | (a) | 6.000% | 01/15/2027 | 775,000 | 755,625 | |||||||||||||
Ziggo Secured Finance BV (Media) | (a) | 5.500% | 01/15/2027 | 925,000 | 923,844 | |||||||||||||
|
| |||||||||||||||||
77,980,838 | ||||||||||||||||||
|
|
60 | (continued) |
Ohio National Fund, Inc. | High Income Bond Portfolio (Continued) |
Schedule of Investments | December 31, 2017 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||
CONSUMER STAPLES – 3.2% | ||||||||||||||||||
Albertsons Cos. LLC / Safeway, Inc. / New Albertson’s, Inc. / Albertson’s LLC (Food & Staples Retailing) | 6.625% | 06/15/2024 | $ | 1,025,000 | $ | 978,875 | ||||||||||||
Albertsons Cos. LLC / Safeway, Inc. / New Albertson’s, Inc. / Albertson’s LLC (Food & Staples Retailing) | 5.750% | 03/15/2025 | 525,000 | 473,812 | ||||||||||||||
First Quality Finance Co., Inc. (Personal Products) | (a) | 4.625% | 05/15/2021 | 1,450,000 | 1,460,875 | |||||||||||||
First Quality Finance Co., Inc. (Personal Products) | (a) | 5.000% | 07/01/2025 | 100,000 | 102,000 | |||||||||||||
Hearthside Group Holdings LLC / Hearthside Finance Co. (Food Products) | (a) | 6.500% | 05/01/2022 | 850,000 | 868,062 | |||||||||||||
Lamb Weston Holdings, Inc. (Food Products) | (a) | 4.875% | 11/01/2026 | 500,000 | 522,500 | |||||||||||||
Performance Food Group, Inc. (Food & Staples Retailing) | (a) | 5.500% | 06/01/2024 | 75,000 | 77,438 | |||||||||||||
Pinnacle Foods Finance LLC / Pinnacle Foods Finance Corp. (Food Products) | 5.875% | 01/15/2024 | 250,000 | 264,375 | ||||||||||||||
Post Holdings, Inc. (Food Products) | (a) | 5.000% | 08/15/2026 | 2,000,000 | 1,967,500 | |||||||||||||
Post Holdings, Inc. (Food Products) | (a) | 5.750% | 03/01/2027 | 550,000 | 559,625 | |||||||||||||
Post Holdings, Inc. (Food Products) | (a) | 5.625% | 01/15/2028 | 350,000 | 351,313 | |||||||||||||
Rite Aid Corp. (Food & Staples Retailing) | (a) | 6.125% | 04/01/2023 | 550,000 | 496,375 | |||||||||||||
Spectrum Brands, Inc. (Household Products) | 6.125% | 12/15/2024 | 175,000 | 185,281 | ||||||||||||||
Spectrum Brands, Inc. (Household Products) | 5.750% | 07/15/2025 | 400,000 | 421,000 | ||||||||||||||
U.S. Foods, Inc. (Food & Staples Retailing) | (a) | 5.875% | 06/15/2024 | 1,550,000 | 1,627,500 | |||||||||||||
|
| |||||||||||||||||
10,356,531 | ||||||||||||||||||
|
| |||||||||||||||||
ENERGY – 11.7% | ||||||||||||||||||
Alliance Resource Operating Partners LP / Alliance Resource Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 7.500% | 05/01/2025 | 625,000 | 664,062 | |||||||||||||
Andeavor Logistics LP / Tesoro Logistics Finance Corp. (Oil, Gas & Consumable Fuels) | 5.500% | 10/15/2019 | 50,000 | 51,901 | ||||||||||||||
Andeavor Logistics LP / Tesoro Logistics Finance Corp. (Oil, Gas & Consumable Fuels) | 6.250% | 10/15/2022 | 28,000 | 29,707 | ||||||||||||||
Andeavor Logistics LP / Tesoro Logistics Finance Corp. (Oil, Gas & Consumable Fuels) | 6.375% | 05/01/2024 | 150,000 | 162,750 | ||||||||||||||
Andeavor Logistics LP / Tesoro Logistics Finance Corp. (Oil, Gas & Consumable Fuels) | 5.250% | 01/15/2025 | 275,000 | 289,218 | ||||||||||||||
Antero Midstream Partners LP / Antero Midstream Finance Corp. (Oil, Gas & Consumable Fuels) | 5.375% | 09/15/2024 | 900,000 | 927,000 | ||||||||||||||
Antero Resources Corp. (Oil, Gas & Consumable Fuels) | 5.000% | 03/01/2025 | 1,050,000 | 1,071,000 | ||||||||||||||
Ascent Resources Utica Holdings LLC / ARU Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 10.000% | 04/01/2022 | 775,000 | 831,187 | |||||||||||||
Callon Petroleum Co. (Oil, Gas & Consumable Fuels) | 6.125% | 10/01/2024 | 614,000 | 632,420 | ||||||||||||||
Carrizo Oil & Gas, Inc. (Oil, Gas & Consumable Fuels) | 7.500% | 09/15/2020 | 375,000 | 382,031 | ||||||||||||||
Carrizo Oil & Gas, Inc. (Oil, Gas & Consumable Fuels) | 6.250% | 04/15/2023 | 100,000 | 103,750 | ||||||||||||||
Carrizo Oil & Gas, Inc. (Oil, Gas & Consumable Fuels) | 8.250% | 07/15/2025 | 450,000 | 494,437 | ||||||||||||||
Cheniere Corpus Christi Holdings LLC (Oil, Gas & Consumable Fuels) | 7.000% | 06/30/2024 | 550,000 | 625,969 | ||||||||||||||
Cheniere Corpus Christi Holdings LLC (Oil, Gas & Consumable Fuels) | 5.875% | 03/31/2025 | 575,000 | 623,156 | ||||||||||||||
Cheniere Corpus Christi Holdings LLC (Oil, Gas & Consumable Fuels) | 5.125% | 06/30/2027 | 225,000 | 232,740 | ||||||||||||||
Cheniere Energy Partners LP (Oil, Gas & Consumable Fuels) | (a) | 5.250% | 10/01/2025 | 1,150,000 | 1,170,125 | |||||||||||||
Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels) | 5.375% | 06/15/2021 | 275,000 | 265,375 | ||||||||||||||
Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels) | (a) | 8.000% | 12/15/2022 | 345,000 | 372,169 | |||||||||||||
Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels) | 5.750% | 03/15/2023 | 50,000 | 46,250 | ||||||||||||||
Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels) | (a) | 8.000% | 01/15/2025 | 175,000 | 176,531 | |||||||||||||
Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels) | (a) | 8.000% | 06/15/2027 | 750,000 | 720,000 | |||||||||||||
Continental Resources, Inc. (Oil, Gas & Consumable Fuels) | 4.500% | 04/15/2023 | 475,000 | 484,500 | ||||||||||||||
CrownRock LP / CrownRock Finance, Inc. (Oil, Gas & Consumable Fuels) | (a) | 5.625% | 10/15/2025 | 975,000 | 979,875 | |||||||||||||
CVR Refining LLC / Coffeyville Finance, Inc. (Oil, Gas & Consumable Fuels) | 6.500% | 11/01/2022 | 1,250,000 | 1,287,500 | ||||||||||||||
Diamondback Energy, Inc. (Oil, Gas & Consumable Fuels) | 4.750% | 11/01/2024 | 125,000 | 125,469 | ||||||||||||||
Endeavor Energy Resources LP / EER Finance, Inc. (Oil, Gas & Consumable Fuels) | (a) | 5.500% | 01/30/2026 | 50,000 | 50,875 | |||||||||||||
Endeavor Energy Resources LP / EER Finance, Inc. (Oil, Gas & Consumable Fuels) | (a) | 5.750% | 01/30/2028 | 300,000 | 308,100 | |||||||||||||
Energy Transfer Equity LP (Oil, Gas & Consumable Fuels) | 5.875% | 01/15/2024 | 1,275,000 | 1,341,937 | ||||||||||||||
Enviva Partners LP / Enviva Partners Finance Corp. (Oil, Gas & Consumable Fuels) | 8.500% | 11/01/2021 | 1,025,000 | 1,091,625 | ||||||||||||||
EP Energy LLC / Everest Acquisition Finance, Inc. (Oil, Gas & Consumable Fuels) | 6.375% | 06/15/2023 | 150,000 | 81,000 | ||||||||||||||
EP Energy LLC / Everest Acquisition Finance, Inc. (Oil, Gas & Consumable Fuels) | (a) | 8.000% | 11/29/2024 | 500,000 | 516,250 | |||||||||||||
Gulfport Energy Corp. (Oil, Gas & Consumable Fuels) | 6.625% | 05/01/2023 | 275,000 | 280,500 | ||||||||||||||
Gulfport Energy Corp. (Oil, Gas & Consumable Fuels) | 6.000% | 10/15/2024 | 450,000 | 450,000 | ||||||||||||||
Gulfport Energy Corp. (Oil, Gas & Consumable Fuels) | 6.375% | 05/15/2025 | 275,000 | 276,375 | ||||||||||||||
Gulfport Energy Corp. (Oil, Gas & Consumable Fuels) | (a) | 6.375% | 01/15/2026 | 125,000 | 125,938 | |||||||||||||
Holly Energy Partners LP / Holly Energy Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 6.000% | 08/01/2024 | 1,025,000 | 1,068,562 | |||||||||||||
Laredo Petroleum, Inc. (Oil, Gas & Consumable Fuels) | 5.625% | 01/15/2022 | 150,000 | 151,500 | ||||||||||||||
Laredo Petroleum, Inc. (Oil, Gas & Consumable Fuels) | 6.250% | 03/15/2023 | 475,000 | 491,767 | ||||||||||||||
MPLX LP (Oil, Gas & Consumable Fuels) | 5.500% | 02/15/2023 | 600,000 | 617,448 | ||||||||||||||
NGPL PipeCo, LLC (Oil, Gas & Consumable Fuels) | (a) | 4.875% | 08/15/2027 | 100,000 | 103,750 | |||||||||||||
NuStar Logistics LP (Oil, Gas & Consumable Fuels) | 5.625% | 04/28/2027 | 800,000 | 814,000 | ||||||||||||||
Oasis Petroleum, Inc. (Oil, Gas & Consumable Fuels) | 6.875% | 03/15/2022 | 800,000 | 821,000 | ||||||||||||||
Parsley Energy LLC / Parsley Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 6.250% | 06/01/2024 | 100,000 | 105,250 | |||||||||||||
Parsley Energy LLC / Parsley Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 5.375% | 01/15/2025 | 175,000 | 176,750 | |||||||||||||
Parsley Energy LLC / Parsley Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 5.250% | 08/15/2025 | 175,000 | 175,438 | |||||||||||||
Parsley Energy LLC / Parsley Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 5.625% | 10/15/2027 | 475,000 | 485,687 | |||||||||||||
PDC Energy, Inc. (Oil, Gas & Consumable Fuels) | 6.125% | 09/15/2024 | 350,000 | 362,250 | ||||||||||||||
PDC Energy, Inc. (Oil, Gas & Consumable Fuels) | (a) | 5.750% | 05/15/2026 | 225,000 | 230,625 | |||||||||||||
Peabody Energy Corp. (Oil, Gas & Consumable Fuels) | (a) | 6.000% | 03/31/2022 | 125,000 | 129,688 |
61 | (continued) |
Ohio National Fund, Inc. | High Income Bond Portfolio (Continued) |
Schedule of Investments | December 31, 2017 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||
ENERGY (continued) | ||||||||||||||||||
Peabody Energy Corp. (Oil, Gas & Consumable Fuels) | (a) | 6.375% | 03/31/2025 | $ | 475,000 | $ | 494,000 | |||||||||||
Precision Drilling Corp. (Energy Equip. & Svs.) | 6.500% | 12/15/2021 | 34,000 | 34,638 | ||||||||||||||
Precision Drilling Corp. (Energy Equip. & Svs.) | 7.750% | 12/15/2023 | 475,000 | 498,750 | ||||||||||||||
Precision Drilling Corp. (Energy Equip. & Svs.) | (a) | 7.125% | 01/15/2026 | 250,000 | 255,000 | |||||||||||||
QEP Resources, Inc. (Oil, Gas & Consumable Fuels) | 5.250% | 05/01/2023 | 125,000 | 126,483 | ||||||||||||||
QEP Resources, Inc. (Oil, Gas & Consumable Fuels) | 5.625% | 03/01/2026 | 250,000 | 253,438 | ||||||||||||||
Range Resources Corp. (Oil, Gas & Consumable Fuels) | 5.000% | 03/15/2023 | 175,000 | 174,125 | ||||||||||||||
Range Resources Corp. (Oil, Gas & Consumable Fuels) | 4.875% | 05/15/2025 | 600,000 | 579,000 | ||||||||||||||
RSP Permian, Inc. (Oil, Gas & Consumable Fuels) | 6.625% | 10/01/2022 | 325,000 | 340,844 | ||||||||||||||
RSP Permian, Inc. (Oil, Gas & Consumable Fuels) | 5.250% | 01/15/2025 | 350,000 | 358,750 | ||||||||||||||
SESI LLC (Energy Equip. & Svs.) | 7.125% | 12/15/2021 | 75,000 | 76,875 | ||||||||||||||
SESI LLC (Energy Equip. & Svs.) | (a) | 7.750% | 09/15/2024 | 850,000 | 903,125 | |||||||||||||
SM Energy Co. (Oil, Gas & Consumable Fuels) | 5.000% | 01/15/2024 | 375,000 | 361,641 | ||||||||||||||
SM Energy Co. (Oil, Gas & Consumable Fuels) | 5.625% | 06/01/2025 | 25,000 | 24,250 | ||||||||||||||
SM Energy Co. (Oil, Gas & Consumable Fuels) | 6.750% | 09/15/2026 | 400,000 | 412,000 | ||||||||||||||
Southwestern Energy Co. (Oil, Gas & Consumable Fuels) | 4.100% | 03/15/2022 | 400,000 | 394,000 | ||||||||||||||
Southwestern Energy Co. (Oil, Gas & Consumable Fuels) | 7.500% | 04/01/2026 | 100,000 | 106,250 | ||||||||||||||
Southwestern Energy Co. (Oil, Gas & Consumable Fuels) | 7.750% | 10/01/2027 | 725,000 | 773,937 | ||||||||||||||
SRC Energy, Inc. (Oil, Gas & Consumable Fuels) | (a) | 6.250% | 12/01/2025 | 575,000 | 587,937 | |||||||||||||
Summit Midstream Holdings LLC / Summit Midstream Finance Corp. (Oil, Gas & Consumable Fuels) | 5.500% | 08/15/2022 | 1,400,000 | 1,400,000 | ||||||||||||||
Summit Midstream Holdings LLC / Summit Midstream Finance Corp. (Oil, Gas & Consumable Fuels) | 5.750% | 04/15/2025 | 350,000 | 352,937 | ||||||||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. (Oil, Gas & Consumable Fuels) | 5.250% | 05/01/2023 | 150,000 | 153,375 | ||||||||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. (Oil, Gas & Consumable Fuels) | 5.375% | 02/01/2027 | 1,025,000 | 1,051,906 | ||||||||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 5.000% | 01/15/2028 | 600,000 | 598,500 | |||||||||||||
Ultra Resources, Inc. (Oil, Gas & Consumable Fuels) | (a) | 6.875% | 04/15/2022 | 150,000 | 150,375 | |||||||||||||
Ultra Resources, Inc. (Oil, Gas & Consumable Fuels) | (a) | 7.125% | 04/15/2025 | 400,000 | 399,000 | |||||||||||||
Weatherford International LLC (Energy Equip. & Svs.) | 6.800% | 06/15/2037 | 500,000 | 415,000 | ||||||||||||||
Weatherford International Ltd. (Energy Equip. & Svs.) | 8.250% | 06/15/2023 | 475,000 | 479,750 | ||||||||||||||
Weatherford International Ltd. (Energy Equip. & Svs.) | 7.000% | 03/15/2038 | 425,000 | 357,000 | ||||||||||||||
Whiting Petroleum Corp. (Oil, Gas & Consumable Fuels) | 6.250% | 04/01/2023 | 600,000 | 615,750 | ||||||||||||||
Whiting Petroleum Corp. (Oil, Gas & Consumable Fuels) | (a) | 6.625% | 01/15/2026 | 250,000 | 255,000 | |||||||||||||
Williams Cos., Inc. / The (Oil, Gas & Consumable Fuels) | 4.550% | 06/24/2024 | 250,000 | 259,375 | ||||||||||||||
WPX Energy, Inc. (Oil, Gas & Consumable Fuels) | 6.000% | 01/15/2022 | 450,000 | 470,250 | ||||||||||||||
WPX Energy, Inc. (Oil, Gas & Consumable Fuels) | 8.250% | 08/01/2023 | 200,000 | 227,000 | ||||||||||||||
WPX Energy, Inc. (Oil, Gas & Consumable Fuels) | 5.250% | 09/15/2024 | 250,000 | 249,138 | ||||||||||||||
|
| |||||||||||||||||
37,194,836 | ||||||||||||||||||
|
| |||||||||||||||||
FINANCIALS – 4.7% | ||||||||||||||||||
Acrisure LLC / Acrisure Finance, Inc. (Insurance) | (a) | 7.000% | 11/15/2025 | 775,000 | 746,914 | |||||||||||||
Ally Financial, Inc. (Consumer Finance) | 4.125% | 03/30/2020 | 875,000 | 892,500 | ||||||||||||||
Ally Financial, Inc. (Consumer Finance) | 4.625% | 03/30/2025 | 50,000 | 52,500 | ||||||||||||||
Ally Financial, Inc. (Consumer Finance) | 5.750% | 11/20/2025 | 1,775,000 | 1,934,750 | ||||||||||||||
Alpha 3 BV / Alpha U.S. Bidco, Inc. (Diversified Financial Svs.) | (a) | 6.250% | 02/01/2025 | 800,000 | 820,000 | |||||||||||||
AssuredPartners, Inc. (Insurance) | (a) | 7.000% | 08/15/2025 | 975,000 | 970,125 | |||||||||||||
BCD Acquisition, Inc. (Diversified Financial Svs.) | (a) | 9.625% | 09/15/2023 | 675,000 | 740,812 | |||||||||||||
HUB International Ltd. (Insurance) | (a) | 7.875% | 10/01/2021 | 1,575,000 | 1,639,969 | |||||||||||||
MSCI, Inc. (Capital Markets) | (a) | 5.250% | 11/15/2024 | 150,000 | 158,063 | |||||||||||||
MSCI, Inc. (Capital Markets) | (a) | 5.750% | 08/15/2025 | 325,000 | 348,969 | |||||||||||||
Navient Corp. (Consumer Finance) | 5.500% | 01/25/2023 | 325,000 | 324,188 | ||||||||||||||
Navient Corp. (Consumer Finance) | 7.250% | 09/25/2023 | 275,000 | 292,875 | ||||||||||||||
Navient Corp. (Consumer Finance) | 6.125% | 03/25/2024 | 775,000 | 784,687 | ||||||||||||||
Navient Corp. (Consumer Finance) | 5.875% | 10/25/2024 | 1,050,000 | 1,042,125 | ||||||||||||||
NFP Corp. (Insurance) | (a) | 6.875% | 07/15/2025 | 1,050,000 | 1,057,875 | |||||||||||||
Quicken Loans, Inc. (Thrifts & Mortgage Finance) | (a) | 5.750% | 05/01/2025 | 1,550,000 | 1,604,265 | |||||||||||||
Quicken Loans, Inc. (Thrifts & Mortgage Finance) | (a) | 5.250% | 01/15/2028 | 375,000 | 370,200 | |||||||||||||
USIS Merger Sub, Inc. (Insurance) | (a) | 6.875% | 05/01/2025 | 1,075,000 | 1,085,750 | |||||||||||||
|
| |||||||||||||||||
14,866,567 | ||||||||||||||||||
|
| |||||||||||||||||
HEALTH CARE – 14.8% | ||||||||||||||||||
Acadia Healthcare Co., Inc. (Health Care Providers & Svs.) | 5.625% | 02/15/2023 | 1,350,000 | 1,370,250 | ||||||||||||||
Acadia Healthcare Co., Inc. (Health Care Providers & Svs.) | 6.500% | 03/01/2024 | 400,000 | 416,000 | ||||||||||||||
Air Medical Group Holdings, Inc. (Health Care Providers & Svs.) | (a) | 6.375% | 05/15/2023 | 1,200,000 | 1,152,000 | |||||||||||||
Avantor, Inc. (Health Care Equip. & Supplies) | (a) | 6.000% | 10/01/2024 | 325,000 | 323,781 | |||||||||||||
Avantor, Inc. (Health Care Equip. & Supplies) | (a) | 9.000% | 10/01/2025 | 750,000 | 738,750 | |||||||||||||
CHS / Community Health Systems, Inc. (Health Care Providers & Svs.) | 5.125% | 08/01/2021 | 300,000 | 270,000 | ||||||||||||||
CHS / Community Health Systems, Inc. (Health Care Providers & Svs.) | 6.875% | 02/01/2022 | 1,175,000 | 675,625 |
62 | (continued) |
Ohio National Fund, Inc. | High Income Bond Portfolio (Continued) |
Schedule of Investments | December 31, 2017 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||
HEALTH CARE (continued) | ||||||||||||||||||
CHS / Community Health Systems, Inc. (Health Care Providers & Svs.) | 6.250% | 03/31/2023 | $ | 650,000 | $ | 585,000 | ||||||||||||
Eagle Holding Co. II LLC (Health Care Providers & Svs.) | (a)(c) | 7.625%, 8.375 PIK | 05/15/2022 | 400,000 | 407,000 | |||||||||||||
Endo Dac / Endo Finance LLC / Endo Finco, Inc. (Pharmaceuticals) | (a) | 6.000% | 07/15/2023 | 475,000 | 372,875 | |||||||||||||
Endo Dac / Endo Finance LLC / Endo Finco, Inc. (Pharmaceuticals) | (a) | 6.000% | 02/01/2025 | 1,425,000 | 1,104,375 | |||||||||||||
Envision Healthcare Corp. (Health Care Providers & Svs.) | (a) | 5.125% | 07/01/2022 | 925,000 | 897,250 | |||||||||||||
Envision Healthcare Corp. (Health Care Providers & Svs.) | 5.625% | 07/15/2022 | 375,000 | 378,750 | ||||||||||||||
Envision Healthcare Corp. (Health Care Providers & Svs.) | (a) | 6.250% | 12/01/2024 | 900,000 | 927,000 | |||||||||||||
HCA, Inc. (Health Care Providers & Svs.) | 5.875% | 05/01/2023 | 275,000 | 293,563 | ||||||||||||||
HCA, Inc. (Health Care Providers & Svs.) | 5.000% | 03/15/2024 | 1,525,000 | 1,586,000 | ||||||||||||||
HCA, Inc. (Health Care Providers & Svs.) | 5.375% | 02/01/2025 | 1,200,000 | 1,242,000 | ||||||||||||||
HCA, Inc. (Health Care Providers & Svs.) | 5.250% | 04/15/2025 | 1,775,000 | 1,877,062 | ||||||||||||||
HCA, Inc. (Health Care Providers & Svs.) | 5.875% | 02/15/2026 | 1,425,000 | 1,506,937 | ||||||||||||||
Hologic, Inc. (Health Care Equip. & Supplies) | (a) | 4.375% | 10/15/2025 | 125,000 | 126,875 | |||||||||||||
Jaguar Holding Co. II / Pharmaceutical Product Development LLC (Health Care Providers & Svs.) | (a) | 6.375% | 08/01/2023 | 2,425,000 | 2,449,250 | |||||||||||||
LifePoint Health, Inc. (Health Care Providers & Svs.) | 5.500% | 12/01/2021 | 250,000 | 255,000 | ||||||||||||||
LifePoint Health, Inc. (Health Care Providers & Svs.) | 5.375% | 05/01/2024 | 450,000 | 446,625 | ||||||||||||||
Mallinckrodt International Finance SA (Pharmaceuticals) | 4.750% | 04/15/2023 | 475,000 | 372,875 | ||||||||||||||
Mallinckrodt International Finance SA / Mallinckrodt CB LLC (Pharmaceuticals) | (a) | 5.625% | 10/15/2023 | 1,350,000 | 1,147,500 | |||||||||||||
Mallinckrodt International Finance SA / Mallinckrodt CB LLC (Pharmaceuticals) | (a) | 5.500% | 04/15/2025 | 700,000 | 570,500 | |||||||||||||
MEDNAX, Inc. (Health Care Providers & Svs.) | (a) | 5.250% | 12/01/2023 | 125,000 | 127,188 | |||||||||||||
MPH Acquisition Holdings LLC (Health Care Providers & Svs.) | (a) | 7.125% | 06/01/2024 | 2,150,000 | 2,289,750 | |||||||||||||
Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical Diagnostics SA (Health Care Equip. & Supplies) | (a) | 6.625% | 05/15/2022 | 2,750,000 | 2,763,750 | |||||||||||||
Polaris Intermediate Corp. (Health Care Providers & Svs.) | (a)(c) | 8.500%, 9.250 PIK | 12/01/2022 | 775,000 | 804,062 | |||||||||||||
Prestige Brands, Inc. (Pharmaceuticals) | (a) | 5.375% | 12/15/2021 | 1,100,000 | 1,119,250 | |||||||||||||
Prestige Brands, Inc. (Pharmaceuticals) | (a) | 6.375% | 03/01/2024 | 1,000,000 | 1,036,250 | |||||||||||||
Quintiles IMS, Inc. (Health Care Technology) | (a) | 5.000% | 10/15/2026 | 475,000 | 486,875 | |||||||||||||
Sterigenics-Nordion Holdings LLC (Health Care Equip. & Supplies) | (a) | 6.500% | 05/15/2023 | 900,000 | 938,250 | |||||||||||||
Sterigenics-Nordion Topco LLC (Health Care Equip. & Supplies) | (a)(c) | 8.125%, 8.875 PIK | 11/01/2021 | 1,550,000 | 1,565,500 | |||||||||||||
Surgery Center Holdings, Inc. (Health Care Providers & Svs.) | (a) | 6.750% | 07/01/2025 | 950,000 | 897,750 | |||||||||||||
Team Health Holdings, Inc. (Health Care Providers & Svs.) | (a) | 6.375% | 02/01/2025 | 1,925,000 | 1,718,062 | |||||||||||||
Teleflex, Inc. (Health Care Equip. & Supplies) | 5.250% | 06/15/2024 | 275,000 | 286,688 | ||||||||||||||
Teleflex, Inc. (Health Care Equip. & Supplies) | 4.875% | 06/01/2026 | 100,000 | 103,250 | ||||||||||||||
Teleflex, Inc. (Health Care Equip. & Supplies) | 4.625% | 11/15/2027 | 275,000 | 277,351 | ||||||||||||||
Tenet Healthcare Corp. (Health Care Providers & Svs.) | 4.500% | 04/01/2021 | 350,000 | 351,750 | ||||||||||||||
Tenet Healthcare Corp. (Health Care Providers & Svs.) | 4.375% | 10/01/2021 | 250,000 | 249,375 | ||||||||||||||
Tenet Healthcare Corp. (Health Care Providers & Svs.) | (a) | 7.500% | 01/01/2022 | 225,000 | 236,250 | |||||||||||||
Tenet Healthcare Corp. (Health Care Providers & Svs.) | 6.750% | 06/15/2023 | 1,525,000 | 1,479,250 | ||||||||||||||
Tenet Healthcare Corp. (Health Care Providers & Svs.) | (a) | 4.625% | 07/15/2024 | 350,000 | 341,250 | |||||||||||||
Tenet Healthcare Corp. (Health Care Providers & Svs.) | (a) | 5.125% | 05/01/2025 | 750,000 | 731,250 | |||||||||||||
Tenet Healthcare Corp. (Health Care Providers & Svs.) | (a) | 7.000% | 08/01/2025 | 225,000 | 211,500 | |||||||||||||
Valeant Pharmaceuticals International, Inc. (Pharmaceuticals) | (a) | 5.625% | 12/01/2021 | 100,000 | 97,750 | |||||||||||||
Valeant Pharmaceuticals International, Inc. (Pharmaceuticals) | (a) | 6.500% | 03/15/2022 | 125,000 | 131,250 | |||||||||||||
Valeant Pharmaceuticals International, Inc. (Pharmaceuticals) | (a) | 7.250% | 07/15/2022 | 475,000 | 480,344 | |||||||||||||
Valeant Pharmaceuticals International, Inc. (Pharmaceuticals) | (a) | 5.500% | 03/01/2023 | 350,000 | 320,250 | |||||||||||||
Valeant Pharmaceuticals International, Inc. (Pharmaceuticals) | (a) | 5.875% | 05/15/2023 | 900,000 | 833,625 | |||||||||||||
Valeant Pharmaceuticals International, Inc. (Pharmaceuticals) | (a) | 7.000% | 03/15/2024 | 350,000 | 374,500 | |||||||||||||
Valeant Pharmaceuticals International, Inc. (Pharmaceuticals) | (a) | 6.125% | 04/15/2025 | 3,000,000 | 2,745,000 | |||||||||||||
Valeant Pharmaceuticals International, Inc. (Pharmaceuticals) | (a) | 5.500% | 11/01/2025 | 275,000 | 279,813 | |||||||||||||
Valeant Pharmaceuticals International, Inc. (Pharmaceuticals) | (a) | 9.000% | 12/15/2025 | 525,000 | 547,155 | |||||||||||||
Vizient, Inc. (Health Care Providers & Svs.) | (a) | 10.375% | 03/01/2024 | 1,075,000 | 1,209,375 | |||||||||||||
West Street Merger Sub, Inc. (Life Sciences Tools & Svs.) | (a) | 6.375% | 09/01/2025 | 600,000 | 601,500 | |||||||||||||
|
| |||||||||||||||||
47,128,006 | ||||||||||||||||||
|
| |||||||||||||||||
INDUSTRIALS – 8.0% | ||||||||||||||||||
Allison Transmission, Inc. (Machinery) | (a) | 5.000% | 10/01/2024 | 250,000 | 257,813 | |||||||||||||
American Builders & Contractors Supply Co., Inc. (Trading Companies & Distributors) | (a) | 5.625% | 04/15/2021 | 340,000 | 345,950 | |||||||||||||
American Builders & Contractors Supply Co., Inc. (Trading Companies & Distributors) | (a) | 5.750% | 12/15/2023 | 50,000 | 52,625 | |||||||||||||
Avis Budget Car Rental LLC / Avis Budget Finance, Inc. (Road & Rail) | (a) | 6.375% | 04/01/2024 | 400,000 | 416,120 | |||||||||||||
Avis Budget Car Rental LLC / Avis Budget Finance, Inc. (Road & Rail) | (a) | 5.250% | 03/15/2025 | 625,000 | 618,750 | |||||||||||||
Beacon Escrow Corp. (Trading Companies & Distributors) | (a) | 4.875% | 11/01/2025 | 350,000 | 351,313 | |||||||||||||
Core & Main LP (Commercial Svs. & Supplies) | (a) | 6.125% | 08/15/2025 | 325,000 | 329,875 | |||||||||||||
Engility Corp. (Aerospace & Defense) | 8.875% | 09/01/2024 | 575,000 | 614,531 | ||||||||||||||
GW Honos Security Corp. (Commercial Svs. & Supplies) | (a) | 8.750% | 05/15/2025 | 700,000 | 752,500 | |||||||||||||
HD Supply, Inc. (Trading Companies & Distributors) | (a) | 5.750% | 04/15/2024 | 525,000 | 557,812 | |||||||||||||
Hertz Corp. / The (Road & Rail) | (a) | 7.625% | 06/01/2022 | 450,000 | 471,375 | |||||||||||||
Hertz Corp. / The (Road & Rail) | (a) | 5.500% | 10/15/2024 | 725,000 | 654,312 | |||||||||||||
Hillman Group, Inc. / The (Building Products) | (a) | 6.375% | 07/15/2022 | 1,500,000 | 1,496,250 | |||||||||||||
Jeld-Wen, Inc. (Building Products) | (a) | 4.625% | 12/15/2025 | 125,000 | 125,938 | |||||||||||||
Jeld-Wen, Inc. (Building Products) | (a) | 4.875% | 12/15/2027 | 125,000 | 126,250 |
63 | (continued) |
Ohio National Fund, Inc. | High Income Bond Portfolio (Continued) |
Schedule of Investments | December 31, 2017 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||
INDUSTRIALS (continued) | ||||||||||||||||
JPW Industries Holding Corp. (Machinery) | (a) | 9.000% | 10/01/2024 | $ | 450,000 | $ | 470,250 | |||||||||
KAR Auction Services, Inc. (Commercial Svs. & Supplies) | (a) | 5.125% | 06/01/2025 | 575,000 | 589,375 | |||||||||||
Masonite International Corp. (Building Products) | (a) | 5.625% | 03/15/2023 | 325,000 | 339,723 | |||||||||||
Matthews International Corp. (Commercial Svs. & Supplies) | (a) | 5.250% | 12/01/2025 | 325,000 | 328,250 | |||||||||||
Multi-Color Corp. (Commercial Svs. & Supplies) | (a) | 6.125% | 12/01/2022 | 950,000 | 991,562 | |||||||||||
Multi-Color Corp. (Commercial Svs. & Supplies) | (a) | 4.875% | 11/01/2025 | 300,000 | 301,125 | |||||||||||
NCI Building Systems, Inc. (Building Products) | (a) | 8.250% | 01/15/2023 | 375,000 | 397,500 | |||||||||||
Nielsen Co. Luxembourg SARL / The (Professional Svs.) | (a) | 5.500% | 10/01/2021 | 625,000 | 642,187 | |||||||||||
Nielsen Co. Luxembourg SARL / The (Professional Svs.) | (a) | 5.000% | 02/01/2025 | 300,000 | 311,250 | |||||||||||
Park Aerospace Holdings Ltd. (Trading Companies & Distributors) | (a) | 5.250% | 08/15/2022 | 175,000 | 173,906 | |||||||||||
Park Aerospace Holdings Ltd. (Trading Companies & Distributors) | (a) | 4.500% | 03/15/2023 | 200,000 | 191,000 | |||||||||||
Park Aerospace Holdings Ltd. (Trading Companies & Distributors) | (a) | 5.500% | 02/15/2024 | 2,000,000 | 1,985,000 | |||||||||||
Ply Gem Industries, Inc. (Building Products) | 6.500% | 02/01/2022 | 900,000 | 929,250 | ||||||||||||
Ritchie Bros. Auctioneers, Inc. (Commercial Svs. & Supplies) | (a) | 5.375% | 01/15/2025 | 225,000 | 232,313 | |||||||||||
Sensata Technologies BV (Electrical Equip.) | (a) | 5.625% | 11/01/2024 | 225,000 | 247,219 | |||||||||||
Sensata Technologies BV (Electrical Equip.) | (a) | 5.000% | 10/01/2025 | 100,000 | 105,750 | |||||||||||
Sensata Technologies U.K. Financing Co. PLC (Electrical Equip.) | (a) | 6.250% | 02/15/2026 | 225,000 | 244,688 | |||||||||||
Tempo Acquisition LLC / Tempo Acquisition Finance Corp. (Professional Svs.) | (a) | 6.750% | 06/01/2025 | 1,350,000 | 1,373,625 | |||||||||||
Tervita Escrow Corp. (Commercial Svs. & Supplies) | (a) | 7.625% | 12/01/2021 | 700,000 | 701,750 | |||||||||||
TransDigm, Inc. (Aerospace & Defense) | 5.500% | 10/15/2020 | 275,000 | 278,438 | ||||||||||||
TransDigm, Inc. (Aerospace & Defense) | 6.000% | 07/15/2022 | 550,000 | 562,375 | ||||||||||||
TransDigm, Inc. (Aerospace & Defense) | 6.500% | 07/15/2024 | 775,000 | 794,375 | ||||||||||||
TransDigm, Inc. (Aerospace & Defense) | 6.500% | 05/15/2025 | 350,000 | 357,875 | ||||||||||||
TransDigm, Inc. (Aerospace & Defense) | 6.375% | 06/15/2026 | 850,000 | 861,687 | ||||||||||||
Trident Merger Sub, Inc. (Machinery) | (a) | 6.625% | 11/01/2025 | 650,000 | 648,375 | |||||||||||
U.S.G. Corp. (Building Products) | (a) | 4.875% | 06/01/2027 | 450,000 | 466,447 | |||||||||||
United Rentals North America, Inc. (Trading Companies & Distributors) | 4.625% | 07/15/2023 | 225,000 | 232,621 | ||||||||||||
United Rentals North America, Inc. (Trading Companies & Distributors) | 5.500% | 07/15/2025 | 300,000 | 318,000 | ||||||||||||
United Rentals North America, Inc. (Trading Companies & Distributors) | 5.875% | 09/15/2026 | 325,000 | 347,750 | ||||||||||||
United Rentals North America, Inc. (Trading Companies & Distributors) | 5.500% | 05/15/2027 | 350,000 | 368,375 | ||||||||||||
United Rentals North America, Inc. (Trading Companies & Distributors) | 4.875% | 01/15/2028 | 775,000 | 778,875 | ||||||||||||
WESCO Distribution, Inc. (Trading Companies & Distributors) | 5.375% | 12/15/2021 | 425,000 | 435,625 | ||||||||||||
WESCO Distribution, Inc. (Trading Companies & Distributors) | 5.375% | 06/15/2024 | 1,050,000 | 1,078,875 | ||||||||||||
Wrangler Buyer Corp. (Commercial Svs. & Supplies) | (a) | 6.000% | 10/01/2025 | 325,000 | 334,750 | |||||||||||
|
| |||||||||||||||
25,591,580 | ||||||||||||||||
|
| |||||||||||||||
INFORMATION TECHNOLOGY – 9.2% | ||||||||||||||||
Anixter, Inc. (Electronic Equip., Instr. & Comp.) | 5.500% | 03/01/2023 | 325,000 | 349,879 | ||||||||||||
Belden, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 5.250% | 07/15/2024 | 950,000 | 978,500 | |||||||||||
BMC Software Finance, Inc. (Software) | (a) | 8.125% | 07/15/2021 | 1,475,000 | 1,484,219 | |||||||||||
CDW LLC / CDW Finance Corp. (Electronic Equip., Instr. & Comp.) | 5.000% | 09/01/2023 | 550,000 | 568,563 | ||||||||||||
CDW LLC / CDW Finance Corp. (Electronic Equip., Instr. & Comp.) | 5.500% | 12/01/2024 | 575,000 | 625,313 | ||||||||||||
CDW LLC / CDW Finance Corp. (Electronic Equip., Instr. & Comp.) | 5.000% | 09/01/2025 | 100,000 | 103,500 | ||||||||||||
CommScope Technologies LLC (Communications Equip.) | (a) | 6.000% | 06/15/2025 | 325,000 | 345,313 | |||||||||||
CommScope Technologies LLC (Communications Equip.) | (a) | 5.000% | 03/15/2027 | 200,000 | 200,000 | |||||||||||
CommScope, Inc. (Communications Equip.) | (a) | 5.500% | 06/15/2024 | 375,000 | 390,000 | |||||||||||
Dell International LLC / EMC Corp. (Computers & Peripherals) | (a) | 7.125% | 06/15/2024 | 1,375,000 | 1,505,438 | |||||||||||
Entegris, Inc. (Semiconductors & Equip.) | (a) | 4.625% | 02/10/2026 | 900,000 | 913,500 | |||||||||||
First Data Corp. (IT Svs.) | (a) | 5.375% | 08/15/2023 | 300,000 | 312,270 | |||||||||||
First Data Corp. (IT Svs.) | (a) | 7.000% | 12/01/2023 | 675,000 | 713,812 | |||||||||||
First Data Corp. (IT Svs.) | (a) | 5.000% | 01/15/2024 | 800,000 | 823,000 | |||||||||||
First Data Corp. (IT Svs.) | (a) | 5.750% | 01/15/2024 | 1,925,000 | 1,999,112 | |||||||||||
Gartner, Inc. (IT Svs.) | (a) | 5.125% | 04/01/2025 | 350,000 | 365,750 | |||||||||||
Infor Software Parent LLC / Infor Software Parent, Inc. (Software) | (a)(c) | 7.125%, 7.875 PIK | 05/01/2021 | 1,675,000 | 1,712,687 | |||||||||||
Infor U.S., Inc. (Software) | 6.500% | 05/15/2022 | 1,675,000 | 1,733,625 | ||||||||||||
Informatica LLC (Software) | (a) | 7.125% | 07/15/2023 | 1,100,000 | 1,124,750 | |||||||||||
Match Group, Inc. (Internet Software & Svs.) | (a) | 5.000% | 12/15/2027 | 675,000 | 685,125 | |||||||||||
NCR Corp. (Tech. Hardware, Storage & Periph.) | 4.625% | 02/15/2021 | 475,000 | 479,156 | ||||||||||||
NCR Corp. (Tech. Hardware, Storage & Periph.) | 5.000% | 07/15/2022 | 450,000 | 457,875 | ||||||||||||
NCR Corp. (Tech. Hardware, Storage & Periph.) | 6.375% | 12/15/2023 | 225,000 | 235,688 | ||||||||||||
Nuance Communications, Inc. (Software) | (a) | 5.375% | 08/15/2020 | 364,000 | 369,005 | |||||||||||
Nuance Communications, Inc. (Software) | 6.000% | 07/01/2024 | 300,000 | 321,750 | ||||||||||||
Nuance Communications, Inc. (Software) | 5.625% | 12/15/2026 | 975,000 | 1,015,219 | ||||||||||||
Rackspace Hosting, Inc. (Internet Software & Svs.) | (a) | 8.625% | 11/15/2024 | 1,550,000 | 1,654,625 | |||||||||||
Riverbed Technology, Inc. (Communications Equip.) | (a) | 8.875% | 03/01/2023 | 1,025,000 | 967,344 | |||||||||||
RP Crown Parent LLC (Software) | (a) | 7.375% | 10/15/2024 | 1,100,000 | 1,152,250 | |||||||||||
Sabre GLBL, Inc. (IT Svs.) | (a) | 5.375% | 04/15/2023 | 450,000 | 463,500 | |||||||||||
Solera LLC / Solera Finance, Inc. (Software) | (a) | 10.500% | 03/01/2024 | 1,375,000 | 1,546,847 | |||||||||||
Sophia LP / Sophia Finance, Inc. (Software) | (a) | 9.000% | 09/30/2023 | 1,025,000 | 1,083,937 | |||||||||||
SS&C Technologies Holdings, Inc. (Software) | 5.875% | 07/15/2023 | 450,000 | 474,750 | ||||||||||||
Symantec Corp. (Software) | (a) | 5.000% | 04/15/2025 | 400,000 | 416,000 |
64 | (continued) |
Ohio National Fund, Inc. | High Income Bond Portfolio (Continued) |
Schedule of Investments | December 31, 2017 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||
INFORMATION TECHNOLOGY (continued) | ||||||||||||||||
TTM Technologies, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 5.625% | 10/01/2025 | $ | 600,000 | $ | 615,000 | |||||||||
Vantiv LLC / Vanity Issuer Corp. (IT Svs.) | (a) | 4.375% | 11/15/2025 | 200,000 | 202,536 | |||||||||||
VeriSign, Inc. (Internet Software & Svs.) | 4.750% | 07/15/2027 | 200,000 | 204,500 | ||||||||||||
Versum Materials, Inc. (Semiconductors & Equip.) | (a) | 5.500% | 09/30/2024 | 700,000 | 749,000 | |||||||||||
|
| |||||||||||||||
29,343,338 | ||||||||||||||||
|
| |||||||||||||||
MATERIALS – 10.7% | ||||||||||||||||
ArcelorMittal (Metals & Mining) | 6.125% | 06/01/2025 | 125,000 | 143,906 | ||||||||||||
ARD Finance SA (Containers & Packaging) | (c) | 7.125%, 7.875 PIK | 09/15/2023 | 1,250,000 | 1,306,250 | |||||||||||
Ardagh Packaging Finance PLC / Ardagh Holdings U.S.A., Inc. (Containers & Packaging) | (a) | 6.000% | 06/30/2021 | 150,000 | 153,938 | |||||||||||
Ardagh Packaging Finance PLC / Ardagh Holdings U.S.A., Inc. (Containers & Packaging) | (a) | 4.625% | 05/15/2023 | 200,000 | 204,000 | |||||||||||
Ardagh Packaging Finance PLC / Ardagh Holdings U.S.A., Inc. (Containers & Packaging) | (a) | 7.250% | 05/15/2024 | 1,625,000 | 1,769,219 | |||||||||||
Ardagh Packaging Finance PLC / Ardagh Holdings U.S.A., Inc. (Containers & Packaging) | (a) | 6.000% | 02/15/2025 | 400,000 | 421,000 | |||||||||||
Ball Corp. (Containers & Packaging) | 5.250% | 07/01/2025 | 125,000 | 135,938 | ||||||||||||
Berry Global, Inc. (Containers & Packaging) | 5.500% | 05/15/2022 | 1,325,000 | 1,364,750 | ||||||||||||
Berry Global, Inc. (Containers & Packaging) | 6.000% | 10/15/2022 | 75,000 | 78,563 | ||||||||||||
Berry Global, Inc. (Containers & Packaging) | 5.125% | 07/15/2023 | 1,025,000 | 1,066,000 | ||||||||||||
BWAY Holding Co. (Containers & Packaging) | (a) | 5.500% | 04/15/2024 | 900,000 | 936,000 | |||||||||||
BWAY Holding Co. (Containers & Packaging) | (a) | 7.250% | 04/15/2025 | 1,875,000 | 1,935,937 | |||||||||||
Clearwater Paper Corp. (Paper & Forest Products) | 4.500% | 02/01/2023 | 650,000 | 642,687 | ||||||||||||
Clearwater Paper Corp. (Paper & Forest Products) | (a) | 5.375% | 02/01/2025 | 625,000 | 628,125 | |||||||||||
Coeur Mining, Inc. (Metals & Mining) | 5.875% | 06/01/2024 | 675,000 | 666,562 | ||||||||||||
Compass Minerals International, Inc. (Metals & Mining) | (a) | 4.875% | 07/15/2024 | 1,000,000 | 985,000 | |||||||||||
Flex Acquisition Co., Inc. (Containers & Packaging) | (a) | 6.875% | 01/15/2025 | 1,850,000 | 1,915,860 | |||||||||||
Freeport-McMoRan, Inc. (Metals & Mining) | 3.875% | 03/15/2023 | 1,175,000 | 1,169,125 | ||||||||||||
Freeport-McMoRan, Inc. (Metals & Mining) | 5.400% | 11/14/2034 | 1,350,000 | 1,373,625 | ||||||||||||
Hexion, Inc. (Chemicals) | 6.625% | 04/15/2020 | 1,125,000 | 1,009,687 | ||||||||||||
Hudbay Minerals, Inc. (Metals & Mining) | (a) | 7.250% | 01/15/2023 | 225,000 | 238,500 | |||||||||||
Hudbay Minerals, Inc. (Metals & Mining) | (a) | 7.625% | 01/15/2025 | 425,000 | 465,375 | |||||||||||
Huntsman International LLC (Chemicals) | 4.875% | 11/15/2020 | 275,000 | 286,000 | ||||||||||||
Koppers, Inc. (Chemicals) | (a) | 6.000% | 02/15/2025 | 400,000 | 424,000 | |||||||||||
Owens-Brockway Glass Container, Inc. (Containers & Packaging) | (a) | 5.875% | 08/15/2023 | 225,000 | 242,438 | |||||||||||
Owens-Brockway Glass Container, Inc. (Containers & Packaging) | (a) | 5.375% | 01/15/2025 | 325,000 | 342,875 | |||||||||||
Owens-Brockway Glass Container, Inc. (Containers & Packaging) | (a) | 6.375% | 08/15/2025 | 600,000 | 670,500 | |||||||||||
Pactiv LLC (Containers & Packaging) | 7.950% | 12/15/2025 | 225,000 | 254,812 | ||||||||||||
Platform Specialty Products Corp. (Chemicals) | (a) | 6.500% | 02/01/2022 | 2,300,000 | 2,377,625 | |||||||||||
Platform Specialty Products Corp. (Chemicals) | (a) | 5.875% | 12/01/2025 | 225,000 | 223,313 | |||||||||||
PQ Corp. (Chemicals) | (a) | 6.750% | 11/15/2022 | 450,000 | 480,375 | |||||||||||
PQ Corp. (Chemicals) | (a) | 5.750% | 12/15/2025 | 100,000 | 101,750 | |||||||||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC (Containers & Packaging) | 5.750% | 10/15/2020 | 1,284,068 | 1,303,329 | ||||||||||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC (Containers & Packaging) | (a) | 7.000% | 07/15/2024 | 1,125,000 | 1,204,875 | |||||||||||
Scotts Miracle-Gro Co. / The (Chemicals) | 5.250% | 12/15/2026 | 50,000 | 52,375 | ||||||||||||
Sealed Air Corp. (Containers & Packaging) | (a) | 4.875% | 12/01/2022 | 225,000 | 237,656 | |||||||||||
Sealed Air Corp. (Containers & Packaging) | (a) | 5.125% | 12/01/2024 | 350,000 | 374,500 | |||||||||||
Sealed Air Corp. (Containers & Packaging) | (a) | 5.500% | 09/15/2025 | 400,000 | 436,000 | |||||||||||
Signode Industrial Group Lux SA / Signode Industrial Group U.S., Inc. (Containers & Packaging) | (a) | 6.375% | 05/01/2022 | 1,625,000 | 1,698,125 | |||||||||||
Standard Industries, Inc. (Construction Materials) | (a) | 6.000% | 10/15/2025 | 475,000 | 507,062 | |||||||||||
Standard Industries, Inc. (Construction Materials) | (a) | 5.000% | 02/15/2027 | 1,200,000 | 1,227,000 | |||||||||||
Steel Dynamics, Inc. (Metals & Mining) | 5.125% | 10/01/2021 | 200,000 | 205,000 | ||||||||||||
Steel Dynamics, Inc. (Metals & Mining) | 5.250% | 04/15/2023 | 125,000 | 128,750 | ||||||||||||
Steel Dynamics, Inc. (Metals & Mining) | 5.500% | 10/01/2024 | 350,000 | 371,875 | ||||||||||||
Steel Dynamics, Inc. (Metals & Mining) | 5.000% | 12/15/2026 | 325,000 | 343,687 | ||||||||||||
Teck Resources Ltd. (Metals & Mining) | (a) | 8.500% | 06/01/2024 | 450,000 | 508,500 | |||||||||||
Teck Resources Ltd. (Metals & Mining) | 6.125% | 10/01/2035 | 775,000 | 868,000 | ||||||||||||
Teck Resources Ltd. (Metals & Mining) | 6.000% | 08/15/2040 | 175,000 | 194,688 | ||||||||||||
Valvoline, Inc. (Chemicals) | 5.500% | 07/15/2024 | 100,000 | 106,250 | ||||||||||||
W.R. Grace & Co. (Chemicals) | (a) | 5.625% | 10/01/2024 | 200,000 | 215,750 | |||||||||||
|
| |||||||||||||||
33,997,157 | ||||||||||||||||
|
| |||||||||||||||
REAL ESTATE – 0.3% | ||||||||||||||||
Hub Holdings LLC / Hub Holdings Finance, Inc. (Real Estate Mgmt. & Development) | (a)(c) | 8.125%, 8.875 PIK | 07/15/2019 | 975,000 | 976,219 | |||||||||||
RHP Hotel Properties LP / RHP Finance Corp. (Equity REIT) | 5.000% | 04/15/2023 | 100,000 | 102,250 | ||||||||||||
|
| |||||||||||||||
1,078,469 | ||||||||||||||||
|
| |||||||||||||||
TELECOMMUNICATION SERVICES – 4.1% | ||||||||||||||||
Altice Luxembourg SA (Wireless Telecom. Svs.) | (a) | 7.625% | 02/15/2025 | 1,575,000 | 1,508,062 | |||||||||||
CSC Holdings LLC (Diversified Telecom. Svs.) | (a) | 6.625% | 10/15/2025 | 300,000 | 324,744 | |||||||||||
Digicel Group Ltd. (Wireless Telecom. Svs.) | (a) | 8.250% | 09/30/2020 | 325,000 | 319,735 | |||||||||||
SFR Group SA (Diversified Telecom. Svs.) | (a) | 6.250% | 05/15/2024 | 400,000 | 401,000 | |||||||||||
SFR Group SA (Diversified Telecom. Svs.) | (a) | 7.375% | 05/01/2026 | 2,075,000 | 2,137,250 |
65 | (continued) |
Ohio National Fund, Inc. | High Income Bond Portfolio (Continued) |
Schedule of Investments | December 31, 2017 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||
TELECOMMUNICATION SERVICES (continued) | ||||||||||||||||||
Sprint Capital Corp. (Wireless Telecom. Svs.) | 6.875% | 11/15/2028 | $ | 875,000 | $ | 880,469 | ||||||||||||
Sprint Communications, Inc. (Wireless Telecom. Svs.) | (a) | 7.000% | 03/01/2020 | 225,000 | 240,750 | |||||||||||||
Sprint Communications, Inc. (Wireless Telecom. Svs.) | 6.000% | 11/15/2022 | 825,000 | 825,000 | ||||||||||||||
Sprint Corp. (Wireless Telecom. Svs.) | 7.875% | 09/15/2023 | 975,000 | 1,038,375 | ||||||||||||||
Sprint Corp. (Wireless Telecom. Svs.) | 7.125% | 06/15/2024 | 375,000 | 381,563 | ||||||||||||||
Sprint Corp. (Wireless Telecom. Svs.) | 7.625% | 02/15/2025 | 1,950,000 | 2,042,625 | ||||||||||||||
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 6.125% | 01/15/2022 | 200,000 | 206,300 | ||||||||||||||
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 6.000% | 03/01/2023 | 150,000 | 157,050 | ||||||||||||||
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 6.625% | 04/01/2023 | 450,000 | 469,125 | ||||||||||||||
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 6.500% | 01/15/2024 | 625,000 | 662,500 | ||||||||||||||
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 6.375% | 03/01/2025 | 225,000 | 240,750 | ||||||||||||||
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 5.125% | 04/15/2025 | 775,000 | 805,031 | ||||||||||||||
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 6.500% | 01/15/2026 | 325,000 | 354,656 | ||||||||||||||
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 5.375% | 04/15/2027 | 200,000 | 213,250 | ||||||||||||||
|
| |||||||||||||||||
13,208,235 | ||||||||||||||||||
|
| |||||||||||||||||
UTILITIES – 3.5% | ||||||||||||||||||
AmeriGas Partners LP / AmeriGas Finance Corp. (Gas Utilities) | 5.625% | 05/20/2024 | 175,000 | 182,000 | ||||||||||||||
AmeriGas Partners LP / AmeriGas Finance Corp. (Gas Utilities) | 5.500% | 05/20/2025 | 275,000 | 277,750 | ||||||||||||||
AmeriGas Partners LP / AmeriGas Finance Corp. (Gas Utilities) | 5.875% | 08/20/2026 | 1,200,000 | 1,236,000 | ||||||||||||||
AmeriGas Partners LP / AmeriGas Finance Corp. (Gas Utilities) | 5.750% | 05/20/2027 | 200,000 | 202,000 | ||||||||||||||
Calpine Corp. (Ind. Power & Renewable Elec.) | 5.750% | 01/15/2025 | 2,025,000 | 1,926,281 | ||||||||||||||
Calpine Corp. (Ind. Power & Renewable Elec.) | (a) | 5.250% | 06/01/2026 | 150,000 | 147,002 | |||||||||||||
Ferrellgas LP / Ferrellgas Finance Corp. (Gas Utilities) | 6.500% | 05/01/2021 | 450,000 | 421,313 | ||||||||||||||
Ferrellgas LP / Ferrellgas Finance Corp. (Gas Utilities) | 6.750% | 01/15/2022 | 500,000 | 462,500 | ||||||||||||||
Ferrellgas LP / Ferrellgas Finance Corp. (Gas Utilities) | 6.750% | 06/15/2023 | 850,000 | 779,875 | ||||||||||||||
NRG Energy, Inc. (Ind. Power & Renewable Elec.) | 6.250% | 05/01/2024 | 975,000 | 1,021,312 | ||||||||||||||
NRG Energy, Inc. (Ind. Power & Renewable Elec.) | 7.250% | 05/15/2026 | 1,075,000 | 1,170,395 | ||||||||||||||
NRG Energy, Inc. (Ind. Power & Renewable Elec.) | 6.625% | 01/15/2027 | 250,000 | 264,375 | ||||||||||||||
Suburban Propane Partners LP / Suburban Energy Finance Corp. (Gas Utilities) | 5.500% | 06/01/2024 | 1,150,000 | 1,138,500 | ||||||||||||||
Suburban Propane Partners LP / Suburban Energy Finance Corp. (Gas Utilities) | 5.875% | 03/01/2027 | 600,000 | 586,500 | ||||||||||||||
TerraForm Power Operating LLC (Ind. Power & Renewable Elec.) | (a) | 4.250% | 01/31/2023 | 75,000 | 74,438 | |||||||||||||
TerraForm Power Operating LLC (Ind. Power & Renewable Elec.) | (a) | 6.625% | 06/15/2025 | 150,000 | 163,500 | |||||||||||||
TerraForm Power Operating LLC (Ind. Power & Renewable Elec.) | (a) | 5.000% | 01/31/2028 | 1,125,000 | 1,113,750 | |||||||||||||
|
| |||||||||||||||||
11,167,491 | ||||||||||||||||||
|
| |||||||||||||||||
Total Corporate Bonds (Cost $298,426,906) | $ | 301,913,048 | ||||||||||||||||
|
| |||||||||||||||||
Exchange Traded Funds – 0.8% | Shares | Value | ||||||||||||||||
iShares iBoxx $ High Yield Corporate Bond ETF | 14,511 | $ | 1,266,230 | |||||||||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 34,487 | 1,266,362 | ||||||||||||||||
|
| |||||||||||||||||
Total Exchange Traded Funds (Cost $2,523,852) | $ | 2,532,592 | ||||||||||||||||
|
| |||||||||||||||||
Money Market Funds – 2.9% | Shares | Value | ||||||||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 9,202,233 | $ | 9,201,313 | |||||||||||||||
|
| |||||||||||||||||
Total Money Market Funds (Cost $9,202,419) | $ | 9,201,313 | ||||||||||||||||
|
| |||||||||||||||||
Total Investments – 98.3% (Cost $310,153,177) | (d) | $ | 313,646,953 | |||||||||||||||
Other Assets in Excess of Liabilities – 1.7% | 5,405,593 | |||||||||||||||||
|
| |||||||||||||||||
Net Assets – 100.0% | $319,052,546 | |||||||||||||||||
|
|
Percentages are stated as a percent of net assets.
Abbreviations:
PIK: Payment-in-Kind
Footnotes:
(a) | Security exempt from registration under Regulation D of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers under Rule 144A. At December 31, 2017, the value of these securities totaled $183,960,904, or 57.7% of the Portfolio’s net assets. Unless also noted as illiquid, these securities were deemed liquid pursuant to procedures approved by the Board of Directors. |
(b) | Represents a security deemed to be illiquid. At December 31, 2017, the value of illiquid securities in the Portfolio totaled $715,500, or 0.2% of the Portfolio’s net assets. |
(c) | Issuer of the security has the option to make coupon payments in cash or in additional par value of this bond (Payment-in-Kind). |
(d) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
66 |
Ohio National Fund, Inc. | ClearBridge Small Cap Portfolio (Unaudited) |
Objective/Strategy
The ClearBridge Small Cap Portfolio seeks long-term capital appreciation by investing, under normal circumstances, at least 80% of its assets in common stocks and other equity securities of small capitalization companies or in other investments that the portfolio managers believe have similar economic characteristics.
Performance as of December 31, 2017
Average Annual returns | ||||
One year | 12.20% | |||
Five years | 13.33% | |||
Ten years | 9.32% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Total expense ratio is 1.24% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2017 can be found in the Portfolio’s Financial Highlights.
Comments from Sub-Adviser
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A. For the year ended December 31, 2017, the ClearBridge Small Cap Portfolio returned 12.20% versus 14.65% for its benchmark, the Russell 2000 Index.
Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?
A. There were no unusual conditions, investment strategies, or techniques that materially affected the Portfolio’s relative performance during the year.
Q. How did sector allocation and security selection each impact the Portfolio’s performance relative to its benchmark? For sector allocation, were there any factors that impacted the benchmark’s performance more significantly than the Portfolio’s performance? For stock selection, was there anything specific regarding the Fund’s strategy that caused deviation from the benchmark?
A. Relative to the benchmark, stock selection and sector allocation effects detracted from the Portfolio’s performance. Stock selection in the Industrials and Consumer Discretionary sectors contributed the most to relative performance. Meanwhile, stock selection in the Health Care and Materials sectors detracted from relative returns, leading to the Portfolio’s underperformance. Overall sector allocation and the Portfolio’s cash position also detracted from relative performance. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. 2U, Inc., the Portfolio’s top benchmark-relative contributor, saw its shares extend their gains in the fourth quarter due to continued growth in signings to launch online graduate degree programs for university partners and early indications of success from the GetSmarter (short online courses) acquisition. (1)
Another contributor was Triton International Ltd., a container lessor to the global ocean-shipping industry, which appreciated strongly in 2017, as the industry continued its recovery from poor conditions in 2015 and 2016. With container supply tight, new lease rates have improved dramatically and used container prices have risen, increasing the value of Triton International’s fleet, which is the largest in the world. We expect industry conditions to remain favorable in 2018. (1)
Veeco Instruments, Inc., the Portfolio’s top detractor, saw its shares suffer in the fourth quarter because of an action by Chinese authorities to block sales of a prior generation product in China. Given Veeco Instruments, Inc.’s success in selling its newer generation product, we plan to maintain our position. (1)
Triangle Capital Corp., a business development company that lends to middle-market companies, another Portfolio detractor, fell sharply in 2017, as it suffered a number of credit problems in its portfolio. The stock, which formerly traded at a premium to peers because of Triangle Capital Corp.’s excellent underwriting history, has traded below its written-down book value. We expect better performance in 2018. (1)
Q. How did the Portfolio’s use of derivative instruments and initial public offerings (IPOs), if any, impact performance?
A. The Portfolio did not use derivatives during the period, but invested in five IPOs that contributed 111 basis points in aggregate: Foundation Building Materials, Inc., Cadence BanCorp, REV Group, Inc., ForeScout Technologies, Inc., and Venator Materials PLC. All had positive contributions to Portfolio performance; Cadence BancCorp and REV Group, Inc. contributed the most, adding 36 basis points each. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2017. |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The Russell 2000 Index measures the performance of the small-cap segment of the U.S equity universe. The Russell 2000 Index includes the 2000 firms from the Russell 3000 Index with the smallest market capitalizations. The Russell 3000 Index represents 98% of the investable U.S. equity market. The index presented includes the effects of reinvested dividends.
67 | (continued) |
Ohio National Fund, Inc. | ClearBridge Small Cap Portfolio (Unaudited) (Continued) |
Portfolio Composition as of December 31, 2017 (1)
% of Net Assets | ||||
Common Stocks (4) | 99.6 | |||
Money Market Funds and Other Net Assets | 0.4 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31,
2017 (1) (2) (3)
% of Net Assets | ||||||
1. | Gray Television, Inc. | 2.5 | ||||
2. | Service Corp. International | 2.3 | ||||
3. | LegacyTexas Financial Group, Inc. | 2.2 | ||||
4. | Sprouts Farmers Market, Inc. | 2.2 | ||||
5. | First Interstate BancSystem, Inc. Class A | 2.0 | ||||
6. | Washington Federal, Inc. | 2.0 | ||||
7. | 2U, Inc. | 2.0 | ||||
8. | WNS Holdings Ltd. – ADR | 1.8 | ||||
9. | Cadence BanCorp | 1.7 | ||||
10. | HealthEquity, Inc. | 1.7 |
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. |
(3) | Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher. |
(4) | Sectors (Common Stocks): |
% of Net Assets | ||||
Financials | 20.5 | |||
Information Technology | 17.3 | |||
Industrials | 16.4 | |||
Consumer Discretionary | 13.4 | |||
Health Care | 13.4 | |||
Real Estate | 6.0 | |||
Materials | 3.8 | |||
Consumer Staples | 3.0 | |||
Energy | 2.9 | |||
Utilities | 2.2 | |||
Telecommunication Services | 0.7 | |||
|
| |||
99.6 | ||||
|
|
68 |
Ohio National Fund, Inc. | ClearBridge Small Cap Portfolio |
Schedule of Investments | December 31, 2017 |
Common Stocks – 99.6% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 13.4% | ||||||||||
Aaron’s, Inc. (Specialty Retail) | 108,000 | $ | 4,303,800 | |||||||
Chuy’s Holdings, Inc. (Hotels, Restaurants & Leisure) | (a) | 109,780 | 3,079,329 | |||||||
Gentex Corp. (Auto Components) | 170,840 | 3,579,098 | ||||||||
Gray Television, Inc. (Media) | (a) | 415,700 | 6,962,975 | |||||||
Horizon Global Corp. (Auto Components) | (a) | 167,410 | 2,347,088 | |||||||
Monro, Inc. (Specialty Retail) | 72,160 | 4,109,512 | ||||||||
Murphy U.S.A., Inc. (Specialty Retail) | (a) | 55,450 | 4,455,962 | |||||||
Planet Fitness, Inc. Class A (Hotels, Restaurants & Leisure) | (a) | 50,610 | 1,752,625 | |||||||
Service Corp. International (Diversified Consumer Svs.) | 169,950 | 6,342,534 | ||||||||
|
| |||||||||
36,932,923 | ||||||||||
|
| |||||||||
CONSUMER STAPLES – 3.0% | ||||||||||
Inter Parfums, Inc. (Personal Products) | 52,150 | 2,265,918 | ||||||||
Sprouts Farmers Market, Inc. (Food & Staples Retailing) | (a) | 245,400 | 5,975,490 | |||||||
|
| |||||||||
8,241,408 | ||||||||||
|
| |||||||||
ENERGY – 2.9% | ||||||||||
Extraction Oil & Gas, Inc. (Oil, Gas & Consumable Fuels) | (a) | 236,720 | 3,387,463 | |||||||
Smart Sand, Inc. (Energy Equip. & Svs.) | (a) | 517,790 | 4,484,062 | |||||||
|
| |||||||||
7,871,525 | ||||||||||
|
| |||||||||
FINANCIALS – 20.5% | ||||||||||
Assured Guaranty Ltd. (Insurance) | 72,730 | 2,463,365 | ||||||||
Beneficial Bancorp, Inc. (Thrifts & Mortgage Finance) | 202,750 | 3,335,238 | ||||||||
Cadence BanCorp (Banks) | (a) | 177,360 | 4,810,003 | |||||||
Encore Capital Group, Inc. (Consumer Finance) | (a) | 73,240 | 3,083,404 | |||||||
First Interstate BancSystem, Inc. Class A (Banks) | 135,850 | 5,440,792 | ||||||||
Kinsale Capital Group, Inc. (Insurance) | 59,790 | 2,690,550 | ||||||||
LegacyTexas Financial Group, Inc. (Banks) | 142,030 | 5,995,086 | ||||||||
Main Street Capital Corp. (Capital Markets) | 53,239 | 2,115,185 | ||||||||
NMI Holdings, Inc. Class A (Thrifts & Mortgage Finance) | (a) | 269,474 | 4,581,058 | |||||||
OneMain Holdings, Inc. (Consumer Finance) | (a) | 176,490 | 4,586,975 | |||||||
PennantPark Investment Corp. (Capital Markets) | 241,769 | 1,670,624 | ||||||||
ProAssurance Corp. (Insurance) | 53,520 | 3,058,668 | ||||||||
Radian Group, Inc. (Thrifts & Mortgage Finance) | 100,000 | 2,061,000 | ||||||||
Triangle Capital Corp. (Capital Markets) | 262,865 | 2,494,589 | ||||||||
TriState Capital Holdings, Inc. (Banks) | (a) | 108,070 | 2,485,610 | |||||||
Washington Federal, Inc. (Thrifts & Mortgage Finance) | 158,150 | 5,416,638 | ||||||||
|
| |||||||||
56,288,785 | ||||||||||
|
| |||||||||
HEALTH CARE – 13.4% | ||||||||||
Amarin Corp. PLC – ADR (Biotechnology) | (a) | 993,920 | 3,985,619 | |||||||
Cotiviti Holdings, Inc. (Health Care Technology) | (a) | 83,710 | 2,696,299 | |||||||
Dynavax Technologies Corp. (Biotechnology) | (a) | 110,000 | 2,057,000 | |||||||
HealthEquity, Inc. (Health Care Providers & Svs.) | (a) | 100,010 | 4,666,467 | |||||||
HealthSouth Corp. (Health Care Providers & Svs.) | 92,700 | 4,580,307 | ||||||||
INC Research Holdings, Inc. Class A (Life Sciences Tools & Svs.) | (a) | 58,120 | 2,534,032 | |||||||
Ironwood Pharmaceuticals, Inc. (Biotechnology) | (a) | 162,610 | 2,437,524 | |||||||
Keryx Biopharmaceuticals, Inc. (Biotechnology) | (a) | 542,380 | 2,522,067 | |||||||
Lexicon Pharmaceuticals, Inc. (Biotechnology) | (a) | 239,510 | 2,366,359 | |||||||
Ligand Pharmaceuticals, Inc. (Biotechnology) | (a) | 27,270 | 3,734,081 | |||||||
Quotient Ltd. (Health Care Equip. & Supplies) | (a) | 515,720 | 2,552,814 | |||||||
Tivity Health, Inc. (Health Care Providers & Svs.) | (a) | 72,700 | 2,657,185 | |||||||
|
| |||||||||
36,789,754 | ||||||||||
|
| |||||||||
INDUSTRIALS – 16.4% | ||||||||||
Allegiant Travel Co. (Airlines) | 17,500 | 2,708,125 | ||||||||
Continental Building Products, Inc. (Building Products) | (a) | 87,380 | 2,459,747 | |||||||
Cubic Corp. (Aerospace & Defense) | 41,170 | 2,426,972 | ||||||||
EnPro Industries, Inc. (Machinery) | 32,020 | 2,994,190 |
Common Stocks (Continued) | Shares | Value | ||||||||
INDUSTRIALS (continued) | ||||||||||
Foundation Building Materials, Inc. (Trading Companies & Distributors) | (a) | 193,830 | $ | 2,866,746 | ||||||
GATX Corp. (Trading Companies & Distributors) | 38,680 | 2,404,349 | ||||||||
HEICO Corp. (Aerospace & Defense) | 37,832 | 3,569,449 | ||||||||
ICF International, Inc. (Professional Svs.) | (a) | 58,990 | 3,096,975 | |||||||
Landstar System, Inc. (Road & Rail) | 25,471 | 2,651,531 | ||||||||
Marten Transport Ltd. (Road & Rail) | 172,676 | 3,505,323 | ||||||||
MRC Global, Inc. (Trading Companies & Distributors) | (a) | 173,250 | 2,931,390 | |||||||
REV Group, Inc. (Machinery) | 78,730 | 2,561,087 | ||||||||
Rush Enterprises, Inc. Class A (Trading Companies & Distributors) | (a) | 65,150 | 3,310,271 | |||||||
Team, Inc. (Commercial Svs. & Supplies) | (a) | 152,000 | 2,264,800 | |||||||
Textainer Group Holdings Ltd. (Trading Companies & Distributors) | (a) | 133,600 | 2,872,400 | |||||||
Triton International Ltd. (Trading Companies & Distributors) | 65,170 | 2,440,616 | ||||||||
|
| |||||||||
45,063,971 | ||||||||||
|
| |||||||||
INFORMATION TECHNOLOGY – 17.3% | ||||||||||
2U, Inc. (Internet Software & Svs.) | (a) | 83,120 | 5,362,071 | |||||||
Blackline, Inc. (Software) | (a) | 134,730 | 4,419,144 | |||||||
EVERTEC, Inc. (IT Svs.) | 118,970 | 1,623,941 | ||||||||
ForeScout Technologies, Inc. (Software) | (a) | 103,771 | 3,309,257 | |||||||
Manhattan Associates, Inc. (Software) | (a) | 50,768 | 2,515,047 | |||||||
Methode Electronics, Inc. (Electronic Equip., Instr. & Comp.) | 109,780 | 4,402,178 | ||||||||
MTS Systems Corp. (Electronic Equip., Instr. & Comp.) | 56,610 | 3,039,957 | ||||||||
Q2 Holdings, Inc. (Internet Software & Svs.) | (a) | 87,210 | 3,213,689 | |||||||
RingCentral, Inc. Class A (Software) | (a) | 55,750 | 2,698,300 | |||||||
Semtech Corp. (Semiconductors & Equip.) | (a) | 69,300 | 2,370,060 | |||||||
Tower Semiconductor Ltd. (Semiconductors & Equip.) | (a) | 82,330 | 2,805,806 | |||||||
Veeco Instruments, Inc. (Semiconductors & Equip.) | (a) | 152,660 | 2,267,001 | |||||||
Web.com Group, Inc. (Internet Software & Svs.) | (a) | 210,980 | 4,599,364 | |||||||
WNS Holdings Ltd. – ADR (IT Svs.) | (a) | 125,910 | 5,052,768 | |||||||
|
| |||||||||
47,678,583 | ||||||||||
|
| |||||||||
MATERIALS – 3.8% | ||||||||||
Balchem Corp. (Chemicals) | 42,540 | 3,428,724 | ||||||||
Clearwater Paper Corp. (Paper & Forest Products) | (a) | 76,840 | 3,488,536 | |||||||
Venator Materials PLC (Chemicals) | (a) | 159,690 | 3,532,343 | |||||||
|
| |||||||||
10,449,603 | ||||||||||
|
| |||||||||
REAL ESTATE – 6.0% | ||||||||||
American Homes 4 Rent Class A (Equity REIT) | 147,520 | 3,221,837 | ||||||||
Lexington Realty Trust (Equity REIT) | 274,090 | 2,644,968 | ||||||||
Realogy Holdings Corp. (Real Estate Mgmt. & Development) | 123,340 | 3,268,510 | ||||||||
STORE Capital Corp. (Equity REIT) | 172,680 | 4,496,587 | ||||||||
Summit Hotel Properties, Inc. (Equity REIT) | 190,730 | 2,904,818 | ||||||||
|
| |||||||||
16,536,720 | ||||||||||
|
| |||||||||
TELECOMMUNICATION SERVICES – 0.7% | ||||||||||
Cogent Communications Holdings, Inc. (Diversified Telecom. Svs.) | 43,087 | 1,951,841 | ||||||||
|
| |||||||||
UTILITIES – 2.2% | ||||||||||
Black Hills Corp. (Multi-Utilities) | 48,440 | 2,911,728 | ||||||||
PNM Resources, Inc. (Electric Utilities) | 77,000 | 3,114,650 | ||||||||
|
| |||||||||
6,026,378 | ||||||||||
|
| |||||||||
Total Common Stocks (Cost $240,645,511) | $ | 273,831,491 | ||||||||
|
| |||||||||
Money Market Funds – 0.2% | Shares | Value | ||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 608,731 | $ | 608,670 | |||||||
|
| |||||||||
Total Money Market Funds (Cost $608,731) | $ | 608,670 | ||||||||
|
| |||||||||
Total Investments – 99.8% (Cost $241,254,242) | (b) | $ | 274,440,161 | |||||||
Other Assets in Excess of Liabilities – 0.2% | 657,406 | |||||||||
|
| |||||||||
Net Assets – 100.0% | $ | 275,097,567 | ||||||||
|
|
69 | (continued) |
Ohio National Fund, Inc. | ClearBridge Small Cap Portfolio (Continued) |
Schedule of Investments | December 31, 2017 |
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depositary Receipts
Footnotes:
(a) | Non-income producing security. |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
70 |
Ohio National Fund, Inc. | Nasdaq-100® Index Portfolio (Unaudited) |
Objective/Strategy
The Nasdaq-100® Index Portfolio seeks long-term growth of capital by investing, under normal circumstances, more than 80% of its assets in the common stocks of companies composing the Nasdaq-100® Index.
Performance as of December 31, 2017
Average Annual returns | ||||
One year | 32.41 | % | ||
Five years | 20.02 | % | ||
Ten years | 12.42 | % |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Total expense ratio is 0.48% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2017 can be found in the Portfolio’s Financial Highlights.
Comments from Sub-Adviser
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A. For the year ended December 31, 2017, the Nasdaq-100® Index Portfolio returned 32.41% versus 32.99% for its benchmark, the Nasdaq-100® Index.
Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?
A. The Portfolio intends to track the underlying return of the Nasdaq-100® Index. There were no material market events or changes in strategy for the year that impacted the Portfolio’s relative return. (1)
Q. How did sector allocation and security selection each impact the Portfolio’s performance relative to its benchmark? For sector allocation, were there any factors that impacted the benchmark’s performance more significantly than the Portfolio’s performance? For stock selection, was there anything specific regarding the Fund’s strategy that caused deviation from the benchmark?
A. The Portfolio is managed on a risk-controlled basis and is constructed to closely replicate its benchmark index. The expected sources of performance variance include the impact of trading daily cash flows, including trading commissions, and the operating expenses of the Portfolio.
Information Technology, the heaviest weighted sector in the benchmark, Consumer Discretionary, and Health Care significantly contributed to the strong Portfolio and benchmark returns for the year. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. The largest contributors to the Portfolio and benchmark returns for the period were Apple, Inc., Amazon.com, Inc., and Microsoft Corp. These three contributors account for over 27% of the benchmark market capitalization. The largest detractors from the Portfolio and benchmark returns for the period were Walgreens Boots Alliance, Inc., Celgene Corp., and The Kraft Heinz Co. (1)
Q. How did the Portfolio’s use of derivative instruments and initial public offerings (IPOs), if any, impact performance?
A. The Portfolio uses Nasdaq-100® Index futures contracts primarily to equitize open dividend receivables, as well as to manage day-to-day cash flows to ensure the Portfolio is fully invested. The futures did not meaningfully impact performance, however, due to their index characteristics and size in relation to Portfolio net assets. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2017. |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting. Investors cannot invest in an index. Although they can invest in its underlying securities or funds.
The Nasdaq-100® Index is a modified capitalization-weighted index of the 100 largest domestic and international non-financial companies listed on the NASDAQ® Stock Market. The index presented includes the effects of reinvested dividends.
The Nasdaq-100®, Nasdaq-100 Index®, and Nasdaq® are registered trademarks of The NASDAQ OMX Group, Inc. (which with its affiliates is referred to as “NASDAQ OMX”). Ohio National Investments, Inc. has licensed these marks for the Portfolio’s use. NASDAQ OMX has not passed on the Portfolio’s legality or suitability. NASDAQ OMX does not sponsor, endorse, sell or promote the Portfolio. NASDAQ OMX MAKES NO WARRANTIES AND BEARS NO LIABILITY WITH RESPECT TO THE PORTFOLIO.
71 | (continued) |
Ohio National Fund, Inc. | Nasdaq-100® Index Portfolio (Unaudited) (Continued) |
Portfolio Composition as of December 31, 2017 (1)
% of Net Assets | ||||
Common Stocks (4) | 99.1 | |||
Money Market Funds and | 0.9 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31, 2017 (1) (2) (3)
% of Net Assets | ||||
1. Apple, Inc. | 11.8 | |||
2. Microsoft Corp. | 8.9 | |||
3. Amazon.com, Inc. | 7.6 | |||
4. Facebook, Inc. Class A | 5.7 | |||
5. Alphabet, Inc. Class C | 5.0 | |||
6. Alphabet, Inc. Class A | 4.3 | |||
7. Intel Corp. | 2.9 | |||
8. Cisco Systems, Inc. | 2.6 | |||
9. Comcast Corp. Class A | 2.5 | |||
10. Amgen, Inc. | 1.7 |
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. |
(3) | Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher. |
(4) | Sectors (Common Stocks): |
% of Net Assets | ||||
Information Technology | 60.6 | |||
Consumer Discretionary | 20.6 | |||
Health Care | 10.1 | |||
Consumer Staples | 4.7 | |||
Industrials | 2.2 | |||
Telecommunication Services | 0.9 | |||
|
| |||
99.1 | ||||
|
|
72 |
Ohio National Fund, Inc. | Nasdaq-100® Index Portfolio |
Schedule of Investments | December 31, 2017 |
Common Stocks – 99.1% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 20.6% | ||||||||||
Amazon.com, Inc. (Internet & Direct Marketing Retail) | (a) | 16,783 | $ | 19,627,215 | ||||||
Charter Communications, Inc. Class A (Media) | (a) | 8,659 | 2,909,078 | |||||||
Comcast Corp. Class A (Media) | 162,448 | 6,506,042 | ||||||||
Ctrip.com International Ltd. – ADR (Internet & Direct Marketing Retail) | (a) | 15,954 | 703,571 | |||||||
DISH Network Corp. Class A (Media) | (a) | 7,938 | 379,039 | |||||||
Dollar Tree, Inc. (Multiline Retail) | (a) | 8,258 | 886,166 | |||||||
Expedia, Inc. (Internet & Direct Marketing Retail) | 4,865 | 582,681 | ||||||||
Hasbro, Inc. (Leisure Products) | 4,338 | 394,281 | ||||||||
JD.com, Inc. – ADR (Internet & Direct Marketing Retail) | (a) | 32,110 | 1,329,996 | |||||||
Liberty Global PLC Class A (Media) | (a) | 7,700 | 275,968 | |||||||
Liberty Global PLC Class C (Media) | (a) | 20,490 | 693,382 | |||||||
Liberty Interactive Corp. QVC Group Class A (Internet & Direct Marketing Retail) | (a) | 13,969 | 341,123 | |||||||
Liberty Ventures Class A (Internet & Direct Marketing Retail) | (a) | 2,833 | 153,662 | |||||||
Marriott International, Inc. Class A (Hotels, Restaurants & Leisure) | 12,698 | 1,723,500 | ||||||||
Netflix, Inc. (Internet & Direct Marketing Retail) | (a) | 15,071 | 2,893,029 | |||||||
O’Reilly Automotive, Inc. (Specialty Retail) | (a) | 2,961 | 712,239 | |||||||
Priceline Group, Inc. / The (Internet & Direct Marketing Retail) | (a) | 1,699 | 2,952,420 | |||||||
Ross Stores, Inc. (Specialty Retail) | 13,429 | 1,077,677 | ||||||||
Sirius XM Holdings, Inc. (Media) | 160,062 | 857,932 | ||||||||
Starbucks Corp. (Hotels, Restaurants & Leisure) | 49,553 | 2,845,829 | ||||||||
Tesla, Inc. (Automobiles) | (a) | 5,853 | 1,822,332 | |||||||
Twenty-First Century Fox, Inc. Class A (Media) | 36,709 | 1,267,562 | ||||||||
Twenty-First Century Fox, Inc. Class B (Media) | 27,811 | 948,911 | ||||||||
Ulta Beauty, Inc. (Specialty Retail) | (a) | 2,124 | 475,054 | |||||||
Wynn Resorts Ltd. (Hotels, Restaurants & Leisure) | 3,580 | 603,552 | ||||||||
|
| |||||||||
52,962,241 | ||||||||||
|
| |||||||||
CONSUMER STAPLES – 4.7% | ||||||||||
Costco Wholesale Corp. (Food & Staples Retailing) | 15,219 | 2,832,560 | ||||||||
Kraft Heinz Co. / The (Food Products) | 42,437 | 3,299,901 | ||||||||
Mondelez International, Inc. Class A (Food Products) | 52,046 | 2,227,569 | ||||||||
Monster Beverage Corp. (Beverages) | (a) | 19,642 | 1,243,142 | |||||||
Walgreens Boots Alliance, Inc. (Food & Staples Retailing) | 34,492 | 2,504,809 | ||||||||
|
| |||||||||
12,107,981 | ||||||||||
|
| |||||||||
HEALTH CARE – 10.1% | ||||||||||
Alexion Pharmaceuticals, Inc. (Biotechnology) | (a) | 7,781 | 930,530 | |||||||
Align Technology, Inc. (Health Care Equip. & Supplies) | (a) | 2,792 | 620,354 | |||||||
Amgen, Inc. (Biotechnology) | 25,282 | 4,396,540 | ||||||||
Biogen, Inc. (Biotechnology) | (a) | 7,365 | 2,346,268 | |||||||
BioMarin Pharmaceutical, Inc. (Biotechnology) | (a) | 6,116 | 545,364 | |||||||
Celgene Corp. (Biotechnology) | (a) | 27,421 | 2,861,655 | |||||||
Cerner Corp. (Health Care Technology) | (a) | 11,577 | 780,174 | |||||||
DENTSPLY SIRONA, Inc. (Health Care Equip. & Supplies) | 7,999 | 526,574 | ||||||||
Express Scripts Holding Co. (Health Care Providers & Svs.) | (a) | 19,726 | 1,472,349 | |||||||
Gilead Sciences, Inc. (Biotechnology) | 45,495 | 3,259,262 | ||||||||
Henry Schein, Inc. (Health Care Providers & Svs.) | (a) | 5,466 | 381,964 | |||||||
Hologic, Inc. (Health Care Equip. & Supplies) | (a) | 9,601 | 410,443 | |||||||
IDEXX Laboratories, Inc. (Health Care Equip. & Supplies) | (a) | 3,038 | 475,082 | |||||||
Illumina, Inc. (Life Sciences Tools & Svs.) | (a) | 5,085 | 1,111,022 | |||||||
Incyte Corp. (Biotechnology) | (a) | 7,350 | 696,118 |
Common Stocks (Continued) | Shares | Value | ||||||||
HEALTH CARE (continued) | ||||||||||
Intuitive Surgical, Inc. (Health Care Equip. & Supplies) | (a) | 3,902 | $ | 1,423,996 | ||||||
Mylan N.V. (Pharmaceuticals) | (a) | 18,683 | 790,478 | |||||||
Regeneron Pharmaceuticals, Inc. (Biotechnology) | (a) | 3,675 | 1,381,653 | |||||||
Shire PLC – ADR (Biotechnology) | 2,581 | 400,365 | ||||||||
Vertex Pharmaceuticals, Inc. (Biotechnology) | (a) | 8,808 | 1,319,967 | |||||||
|
| |||||||||
26,130,158 | ||||||||||
|
| |||||||||
INDUSTRIALS – 2.2% | ||||||||||
American Airlines Group, Inc. (Airlines) | 16,665 | 867,080 | ||||||||
Cintas Corp. (Commercial Svs. & Supplies) | 3,702 | 576,883 | ||||||||
CSX Corp. (Road & Rail) | 31,126 | 1,712,241 | ||||||||
Fastenal Co. (Trading Companies & Distributors) | 10,009 | 547,392 | ||||||||
J.B. Hunt Transport Services, Inc. (Road & Rail) | 3,822 | 439,453 | ||||||||
PACCAR, Inc. (Machinery) | 12,246 | 870,446 | ||||||||
Verisk Analytics, Inc. (Professional Svs.) | (a) | 5,736 | 550,656 | |||||||
|
| |||||||||
5,564,151 | ||||||||||
|
| |||||||||
INFORMATION TECHNOLOGY – 60.6% | ||||||||||
Activision Blizzard, Inc. (Software) | 26,333 | 1,667,406 | ||||||||
Adobe Systems, Inc. (Software) | (a) | 17,168 | 3,008,520 | |||||||
Alphabet, Inc. Class A (Internet Software & Svs.) | (a) | 10,388 | 10,942,719 | |||||||
Alphabet, Inc. Class C (Internet Software & Svs.) | (a) | 12,172 | 12,736,781 | |||||||
Analog Devices, Inc. (Semiconductors & Equip.) | 12,839 | 1,143,056 | ||||||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 178,817 | 30,261,201 | ||||||||
Applied Materials, Inc. (Semiconductors & Equip.) | 37,143 | 1,898,750 | ||||||||
ASML Holding N.V. (Semiconductors & Equip.) | 2,504 | 435,245 | ||||||||
Autodesk, Inc. (Software) | (a) | 7,634 | 800,272 | |||||||
Automatic Data Processing, Inc. (IT Svs.) | 15,446 | 1,810,117 | ||||||||
Baidu, Inc. – ADR (Internet Software & Svs.) | (a) | 9,777 | 2,289,871 | |||||||
Broadcom Ltd. (Semiconductors & Equip.) | 14,209 | 3,650,292 | ||||||||
CA, Inc. (Software) | 14,577 | 485,123 | ||||||||
Cadence Design Systems, Inc. (Software) | (a) | 9,834 | 411,258 | |||||||
Check Point Software Technologies Ltd. (Software) | (a) | 5,692 | 589,805 | |||||||
Cisco Systems, Inc. (Communications Equip.) | 172,176 | 6,594,341 | ||||||||
Citrix Systems, Inc. (Software) | (a) | 5,248 | 461,824 | |||||||
Cognizant Technology Solutions Corp. Class A (IT Svs.) | 20,536 | 1,458,467 | ||||||||
eBay, Inc. (Internet Software & Svs.) | (a) | 36,380 | 1,372,981 | |||||||
Electronic Arts, Inc. (Software) | (a) | 10,724 | 1,126,663 | |||||||
Facebook, Inc. Class A (Internet Software & Svs.) | (a) | 83,057 | 14,656,238 | |||||||
Fiserv, Inc. (IT Svs.) | (a) | 7,258 | 951,742 | |||||||
Intel Corp. (Semiconductors & Equip.) | 162,994 | 7,523,803 | ||||||||
Intuit, Inc. (Software) | 8,904 | 1,404,873 | ||||||||
KLA-Tencor Corp. (Semiconductors & Equip.) | 5,458 | 573,472 | ||||||||
Lam Research Corp. (Semiconductors & Equip.) | 5,640 | 1,038,155 | ||||||||
Maxim Integrated Products, Inc. (Semiconductors & Equip.) | 9,804 | 512,553 | ||||||||
MercadoLibre, Inc. (Internet Software & Svs.) | 1,538 | 483,947 | ||||||||
Microchip Technology, Inc. (Semiconductors & Equip.) | 8,146 | 715,870 | ||||||||
Micron Technology, Inc. (Semiconductors & Equip.) | (a) | 40,165 | 1,651,585 | |||||||
Microsoft Corp. (Software) | 268,682 | 22,983,058 | ||||||||
NetEase, Inc. – ADR (Internet Software & Svs.) | 2,642 | 911,675 | ||||||||
NVIDIA Corp. (Semiconductors & Equip.) | 21,106 | 4,084,011 | ||||||||
Paychex, Inc. (IT Svs.) | 12,503 | 851,204 | ||||||||
PayPal Holdings, Inc. (IT Svs.) | (a) | 41,860 | 3,081,733 | |||||||
QUALCOMM, Inc. (Semiconductors & Equip.) | 51,342 | 3,286,915 | ||||||||
Seagate Technology PLC (Tech. Hardware, Storage & Periph.) | 10,076 | 421,580 | ||||||||
Skyworks Solutions, Inc. (Semiconductors & Equip.) | 6,380 | 605,781 |
73 | (continued) |
Ohio National Fund, Inc. | Nasdaq-100® Index Portfolio (Continued) |
Schedule of Investments | December 31, 2017 |
Common Stocks (Continued) | Shares | Value | ||||||||
INFORMATION TECHNOLOGY (continued) | ||||||||||
Symantec Corp. (Software) | 21,593 | $ | 605,900 | |||||||
Synopsys, Inc. (Software) | (a) | 5,233 | 446,061 | |||||||
Take-Two Interactive Software, Inc. (Software) | (a) | 3,972 | 436,046 | |||||||
Texas Instruments, Inc. (Semiconductors & Equip.) | 34,325 | 3,584,903 | ||||||||
Western Digital Corp. (Tech. Hardware, Storage & Periph.) | 10,302 | 819,318 | ||||||||
Workday, Inc. Class A (Software) | (a) | 4,771 | 485,402 | |||||||
Xilinx, Inc. (Semiconductors & Equip.) | 8,740 | 589,251 | ||||||||
|
| |||||||||
155,849,768 | ||||||||||
|
| |||||||||
TELECOMMUNICATION SERVICES – 0.9% | ||||||||||
T-Mobile U.S., Inc. (Wireless Telecom. Svs.) | (a) | 28,976 | 1,840,266 | |||||||
Vodafone Group PLC – ADR (Wireless Telecom. Svs.) | 16,202 | 516,844 | ||||||||
|
| |||||||||
2,357,110 | ||||||||||
|
| |||||||||
Total Common Stocks (Cost $152,434,704) | $ | 254,971,409 | ||||||||
|
|
Money Market Funds – 0.7% | Shares | Value | ||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 1,632,652 | $ | 1,632,489 | |||||||
|
| |||||||||
Total Money Market Funds (Cost $1,632,716) | $ | 1,632,489 | ||||||||
|
| |||||||||
Total Investments – 99.8% (Cost $154,067,420) | (b) | $ | 256,603,898 | |||||||
Other Assets in Excess of Liabilities – 0.2% | (c) | 613,611 | ||||||||
|
| |||||||||
Net Assets – 100.0% | $ | 257,217,509 | ||||||||
|
|
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depositary Receipts
Footnotes:
(a) | Non-income producing security. |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
(c) | Includes $63,000 of cash pledged as collateral for the futures contracts outstanding at December 31, 2017. See also the following Schedule of Open Futures Contracts. |
The accompanying notes are an integral part of these financial statements.
Schedule of Open Futures Contracts | December 31, 2017 |
Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||||||||||
CME E-mini Nasdaq-100 Index - Long | 14 | March 16, 2018 | $1,788,491 | $1,794,450 | $5,959 | $26,650 | ||||||||||||||
The accompanying notes are an integral part of these financial statements.
74 |
Ohio National Fund, Inc. | Bristol Portfolio (Unaudited) |
Objective/Strategy
The Bristol Portfolio seeks long-term growth of capital by investing primarily in common stocks of the 1,000 largest publicly traded U.S. companies in terms of market capitalization.
Performance as of December 31, 2017
Average Annual returns | ||||
One year | 25.81 | % | ||
Five years | 18.67 | % | ||
Ten years | 8.49 | % |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Total expense ratio is 0.83% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2017 can be found in the Portfolio’s Financial Highlights.
Comments from Sub-Adviser
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A. For the year ended December 31, 2017, the Bristol Portfolio returned 25.81% versus 21.83% for its benchmark, the S&P 500 Index.
Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?
A. There were no specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period. With the Infrastructure Plan up next in the Federal government queue, we expect the market to continue to grind higher, and remain optimistic that our focus on company and industry specific fundamentals will continue to drive outperformance going forward. (1)
Q. How did sector allocation and security selection each impact the Portfolio’s performance relative to its benchmark? For sector allocation, were there any factors that impacted the benchmark’s performance more significantly than the Portfolio’s performance? For stock selection, was there anything specific regarding the Fund’s strategy that caused deviation from the benchmark?
A. Positive stock selections in Industrials and Consumer Discretionary led to the Portfolio’s outperformance. An overweight to Information Technology also contributed. Top detractors were stock selections within Consumer Staples and Health Care, as well as an underweight to Telecommunication Services. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. Top contributors included Amazon.com, Inc., which continued strong trends in Amazon Prime subscriber additions, as well as market share gains from traditional brick and mortar retail. Apple, Inc. had new product
introductions at higher prices and higher margins driving upside to earnings expectations. DXC Technology Co. continued successful integration of its Hewlett Packard Enterprise acquisition, driving significant upside to previous earnings expectations. (1)
The key detractor was IMAX Corp. due to its weak box office numbers combined with market share loss to traditional movie screens. Additionally, a slower growth of new theaters internationally caused a revenue miss. Devon Energy Corp. detracted with weak energy prices earlier in the year, and fear that shale growth and general oversupply would keep prices depressed for a prolonged period of time. Envision Healthcare Corp. declined due to a weak earnings report on lower volumes, lower margins and concerns about overbilling of customers. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2017. |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The S&P 500 Index is a capitalization-weighted index designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. The index presented includes the effects of reinvested dividends.
75 | (continued) |
Ohio National Fund, Inc. | Bristol Portfolio (Unaudited) (Continued) |
Portfolio Composition as of December 31, 2017 (1)
% of Net Assets | ||||
Common Stocks (4) | 99.5 | |||
Money Market Funds and | 0.5 | |||
|
| |||
|
100.0 |
| ||
|
|
Top 10 Portfolio Holdings as of December 31, 2017 (1) (2) (3)
% of Net Assets | ||||
1. Apple, Inc. | 3.9 | |||
2. Amazon.com, Inc. | 3.6 | |||
3. Alphabet, Inc. Class C | 3.1 | |||
4. Microsoft Corp. | 2.8 | |||
5. FedEx Corp. | 2.5 | |||
6. Bank of America Corp. | 2.5 | |||
7. Goldman Sachs Group, Inc. / The | 2.5 | |||
8. Facebook, Inc. Class A | 2.4 | |||
9. DXC Technology Co. | 2.3 | |||
10. Citigroup, Inc. | 2.2 |
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. |
(3) | Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher. |
(4) | Sectors (Common Stocks): |
% of Net Assets | ||||
Information Technology | 26.6 | |||
Industrials | 21.4 | |||
Financials | 17.0 | |||
Consumer Discretionary | 16.1 | |||
Health Care | 9.6 | |||
Consumer Staples | 5.8 | |||
Energy | 2.0 | |||
Telecommunication Services | 1.0 | |||
|
| |||
|
99.5 |
| ||
|
|
76 |
Ohio National Fund, Inc. | Bristol Portfolio |
Schedule of Investments | December 31, 2017 |
Common Stocks – 99.5% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 16.1% | ||||||||||
Amazon.com, Inc. (Internet & Direct Marketing Retail) | (a) | 6,964 | $ | 8,144,189 | ||||||
CBS Corp. Class B (Media) | 74,096 | 4,371,664 | ||||||||
D.R. Horton, Inc. (Household Durables) | 88,362 | 4,512,647 | ||||||||
McDonald’s Corp. (Hotels, Restaurants & Leisure) | 25,482 | 4,385,962 | ||||||||
MGM Resorts International (Hotels, Restaurants & Leisure) | 131,915 | 4,404,642 | ||||||||
Tapestry, Inc. (Textiles, Apparel & Luxury Goods) | 79,569 | 3,519,337 | ||||||||
Time Warner, Inc. (Media) | 24,603 | 2,250,436 | ||||||||
Walt Disney Co. / The (Media) | 40,511 | 4,355,338 | ||||||||
|
| |||||||||
35,944,215 | ||||||||||
|
| |||||||||
CONSUMER STAPLES – 5.8% | ||||||||||
Constellation Brands, Inc. Class A (Beverages) | 5,795 | 1,324,563 | ||||||||
Mondelez International, Inc. Class A (Food Products) | 101,970 | 4,364,316 | ||||||||
Philip Morris International, Inc. (Tobacco) | 38,935 | 4,113,483 | ||||||||
Wal-Mart Stores, Inc. (Food & Staples Retailing) | 33,220 | 3,280,475 | ||||||||
|
| |||||||||
13,082,837 | ||||||||||
|
| |||||||||
ENERGY – 2.0% | ||||||||||
Royal Dutch Shell PLC Class A – ADR (Oil, Gas & Consumable Fuels) | 65,706 | 4,383,247 | ||||||||
|
| |||||||||
FINANCIALS – 17.0% | ||||||||||
Bank of America Corp. (Banks) | 188,024 | 5,550,469 | ||||||||
Capital One Financial Corp. (Consumer Finance) | 43,676 | 4,349,256 | ||||||||
Citigroup, Inc. (Banks) | 67,239 | 5,003,254 | ||||||||
Goldman Sachs Group, Inc. / The (Capital Markets) | 21,635 | 5,511,733 | ||||||||
Hartford Financial Services Group, Inc. / The (Insurance) | 80,980 | 4,557,554 | ||||||||
JPMorgan Chase & Co. (Banks) | 43,776 | 4,681,405 | ||||||||
KeyCorp (Banks) | 209,337 | 4,222,327 | ||||||||
Morgan Stanley (Capital Markets) | 79,036 | 4,147,019 | ||||||||
|
| |||||||||
38,023,017 | ||||||||||
|
| |||||||||
HEALTH CARE – 9.6% | ||||||||||
Abbott Laboratories (Health Care Equip. & Supplies) | 72,786 | 4,153,897 | ||||||||
Aerie Pharmaceuticals, Inc. (Pharmaceuticals) | (a) | 75,484 | 4,510,169 | |||||||
Celgene Corp. (Biotechnology) | (a) | 42,937 | 4,480,905 | |||||||
Medtronic PLC (Health Care Equip. & Supplies) | 27,656 | 2,233,222 | ||||||||
Sage Therapeutics, Inc. (Biotechnology) | (a) | 10,968 | 1,806,539 | |||||||
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 19,303 | 4,255,540 | ||||||||
|
| |||||||||
21,440,272 | ||||||||||
|
| |||||||||
INDUSTRIALS – 21.4% | ||||||||||
AECOM (Construction & Engineering) | (a) | 116,626 | 4,332,656 | |||||||
Boeing Co. / The (Aerospace & Defense) | 14,668 | 4,325,740 |
Common Stocks (Continued) | Shares | Value | ||||||||
INDUSTRIALS (continued) | ||||||||||
Caterpillar, Inc. (Machinery) | 15,441 | $ | 2,433,193 | |||||||
Delta Air Lines, Inc. (Airlines) | 80,050 | 4,482,800 | ||||||||
FedEx Corp. (Air Freight & Logistics) | 22,348 | 5,576,720 | ||||||||
Hexcel Corp. (Aerospace & Defense) | 44,047 | 2,724,307 | ||||||||
Lockheed Martin Corp. (Aerospace & Defense) | 8,163 | 2,620,731 | ||||||||
Quanta Services, Inc. (Construction & Engineering) | (a) | 108,251 | 4,233,697 | |||||||
Raytheon Co. (Aerospace & Defense) | 23,477 | 4,410,154 | ||||||||
Rockwell Automation, Inc. (Electrical Equip.) | 23,024 | 4,520,762 | ||||||||
XPO Logistics, Inc. (Air Freight & Logistics) | (a) | 49,272 | 4,512,823 | |||||||
Xylem, Inc. (Machinery) | 53,997 | 3,682,595 | ||||||||
|
| |||||||||
47,856,178 | ||||||||||
|
| |||||||||
INFORMATION TECHNOLOGY – 26.6% | ||||||||||
Alibaba Group Holding Ltd. – ADR (Internet Software & Svs.) | (a) | 23,084 | 3,980,374 | |||||||
Alphabet, Inc. Class A (Internet Software & Svs.) | (a) | 693 | 730,006 | |||||||
Alphabet, Inc. Class C (Internet Software & Svs.) | (a) | 6,644 | 6,952,282 | |||||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 51,680 | 8,745,806 | ||||||||
Broadcom Ltd. (Semiconductors & Equip.) | 12,782 | 3,283,696 | ||||||||
Cisco Systems, Inc. (Communications Equip.) | 108,819 | 4,167,768 | ||||||||
CommScope Holding Co., Inc. (Communications Equip.) | (a) | 102,408 | 3,874,095 | |||||||
DXC Technology Co. (IT Svs.) | 54,300 | 5,153,070 | ||||||||
Facebook, Inc. Class A (Internet Software & Svs.) | (a) | 29,735 | 5,247,038 | |||||||
First Solar, Inc. (Semiconductors & Equip.) | (a) | 32,784 | 2,213,576 | |||||||
Intel Corp. (Semiconductors & Equip.) | 49,845 | 2,300,845 | ||||||||
Marvell Technology Group Ltd. (Semiconductors & Equip.) | 201,311 | 4,322,147 | ||||||||
Microsoft Corp. (Software) | 73,586 | 6,294,547 | ||||||||
salesforce.com, Inc. (Software) | (a) | 21,206 | 2,167,889 | |||||||
|
| |||||||||
59,433,139 | ||||||||||
|
| |||||||||
TELECOMMUNICATION SERVICES – 1.0% | ||||||||||
T-Mobile U.S., Inc. (Wireless Telecom. Svs.) | (a) | 35,828 | 2,275,436 | |||||||
|
| |||||||||
UTILITIES – 0.0% | ||||||||||
Evoqua Water Technologies Corp. (Water Utilities) | (a) | 2,533 | 60,057 | |||||||
|
| |||||||||
Total Common Stocks (Cost $191,191,381) | $ | 222,498,398 | ||||||||
|
| |||||||||
Money Market Funds – 0.3% | Shares | Value | ||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 773,344 | $ | 773,267 | |||||||
|
| |||||||||
Total Money Market Funds | $ | 773,267 | ||||||||
|
| |||||||||
Total Investments – 99.8% | (b) | $ | 223,271,665 | |||||||
Other Assets in Excess of | 430,278 | |||||||||
|
| |||||||||
Net Assets – 100.0% | $ | 223,701,943 | ||||||||
|
|
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depositary Receipts
Footnotes:
(a) | Non-income producing security. |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
77 |
Ohio National Fund, Inc. | Bryton Growth Portfolio (Unaudited) |
Objective/Strategy
The Bryton Growth Portfolio seeks long-term growth of capital by investing primarily in common stocks of growth-oriented U.S. companies smaller than the 500 largest publicly traded U.S. companies in terms of market capitalization.
Performance as of December 31, 2017
Average Annual returns | ||||
One year | 21.57 | % | ||
Five years | 12.70 | % | ||
Ten years | 6.45 | % |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Total expense ratio is 0.92% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2017 can be found in the Portfolio’s Financial Highlights.
Comments from Sub-Adviser
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A. For the year ended December 31, 2017, the Bryton Growth Portfolio returned 21.57% versus 22.17% for its benchmark, the Russell 2000 Growth Index.
Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?
A. There were no specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period. With the Infrastructure Plan up next in the Federal government queue, we expect the market to continue to grind higher, and remain optimistic that our focus on company and industry specific fundamentals will drive outperformance going forward. (1)
Q. How did sector allocation and security selection each impact the Portfolio’s performance relative to its benchmark? For sector allocation, were there any factors that impacted the benchmark’s performance more significantly than the Portfolio’s performance? For stock selection, was there anything specific regarding the Fund’s strategy that caused deviation from the benchmark?
A. Leading the Portfolio’s sector contributors were positive stock selections in Health Care and Consumer Staples. An overweight to Industrials also contributed. Top detractors were stock selections within Consumer Discretionary and Financials, as well as an underweight to Energy. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. Sage Therapeutics, Inc. was a top contributor, due to its positive drug trial result data for postpartum depression (PPD) and major depressive disorder (MDD). These are novel drugs and should take significant market share. AxoGen, Inc. had strength in new products for peripheral nerve reconstruction and regeneration, both of which are unmet needs. Revance Therapeutics, Inc. contributed with positive drug trial result data for its drug that has potential to be a significant competitor to Botox, as the drug has shown greater duration. (1)
The top detractor was Teligent Inc., which had weak earnings due to delays in approvals for new products and pricing pressure in generic drugs. Callon Petroleum Co. detracted due to weak energy prices earlier in the year, and fear that shale growth and general oversupply would keep prices depressed for a prolonged period of time. Superior Industries International, Inc. declined on weak earnings due to market share loss and its poor execution of integrating an acquisition. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2017. |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The Russell 2000 Growth Index measures the performance of the small-cap growth segment of the U.S. equity universe. It includes the Russell 2000 Index companies with higher price-to-value ratios and higher forecasted growth values. The Russell 2000 Index includes the 2000 firms from the Russell 3000 Index with the smallest market capitalizations. The Russell 3000 Index represents 98% of the investable U.S. equity market. The index presented includes the effects of reinvested dividends.
78 | (continued) |
Ohio National Fund, Inc. | Bryton Growth Portfolio (Unaudited) (Continued) |
Portfolio Composition as of December 31, 2017 (1)
% of Net Assets | ||||
Common Stocks (4) | 97.8 | |||
Money Market Funds and Other Net Assets | 2.2 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31, 2017 (1) (2) (3)
% of Net Assets | ||||
1. Paratek Pharmaceuticals, Inc. | 2.2 | |||
2. Aerie Pharmaceuticals, Inc. | 2.1 | |||
3. Ligand Pharmaceuticals, Inc. | 2.0 | |||
4. Sage Therapeutics, Inc. | 2.0 | |||
5. Kornit Digital Ltd. | 2.0 | |||
6. KEMET Corp. | 2.0 | |||
7. Rexnord Corp. | 1.8 | |||
8. Zendesk, Inc. | 1.8 | |||
9. Covanta Holding Corp. | 1.8 | |||
10. Badger Meter, Inc. | 1.8 |
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. |
(3) | Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher. |
(4) | Sectors (Common Stocks): |
% of Net Assets | ||||
Information Technology | 39.6 | |||
Industrials | 23.7 | |||
Health Care | 19.5 | |||
Consumer Staples | 4.3 | |||
Financials | 3.4 | |||
Real Estate | 2.8 | |||
Consumer Discretionary | 1.6 | |||
Telecommunication Services | 1.5 | |||
Materials | 1.4 | |||
|
| |||
97.8 | ||||
|
|
79 |
Ohio National Fund, Inc. | Bryton Growth Portfolio |
Schedule of Investments | December 31, 2017 |
Common Stocks – 97.8% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 1.6% | ||||||||||
Gentherm, Inc. (Auto Components) | (a) | 27,775 | $ | 881,856 | ||||||
|
| |||||||||
CONSUMER STAPLES – 4.3% | ||||||||||
Hostess Brands, Inc. (Food Products) | (a) | 49,819 | 737,819 | |||||||
J&J Snack Foods Corp. (Food Products) | 5,726 | 869,379 | ||||||||
MGP Ingredients, Inc. (Beverages) | 10,884 | 836,762 | ||||||||
|
| |||||||||
2,443,960 | ||||||||||
|
| |||||||||
FINANCIALS – 3.4% | ||||||||||
Ameris Bancorp (Banks) | 20,354 | 981,063 | ||||||||
Home BancShares, Inc. (Banks) | 41,177 | 957,365 | ||||||||
|
| |||||||||
1,938,428 | ||||||||||
|
| |||||||||
HEALTH CARE – 19.5% | ||||||||||
Aclaris Therapeutics, Inc. (Pharmaceuticals) | (a) | 7,158 | 176,516 | |||||||
Aerie Pharmaceuticals, Inc. (Pharmaceuticals) | (a) | 19,975 | 1,193,506 | |||||||
AxoGen, Inc. (Health Care Equip. & Supplies) | (a) | 31,051 | 878,743 | |||||||
K2M Group Holdings, Inc. (Health Care Equip. & Supplies) | (a) | 33,033 | 594,594 | |||||||
Ligand Pharmaceuticals, Inc. (Biotechnology) | (a) | 8,264 | 1,131,590 | |||||||
Loxo Oncology, Inc. (Biotechnology) | (a) | 10,637 | 895,423 | |||||||
Neogen Corp. (Health Care Equip. & Supplies) | (a) | 6,762 | 555,904 | |||||||
NeoGenomics, Inc. (Life Sciences Tools & Svs.) | (a) | 71,511 | 633,587 | |||||||
Paratek Pharmaceuticals, Inc. (Pharmaceuticals) | (a) | 70,422 | 1,260,554 | |||||||
Penumbra, Inc. (Health Care Equip. & Supplies) | (a) | 9,342 | 879,082 | |||||||
Prestige Brands Holdings, Inc. (Pharmaceuticals) | (a) | 19,476 | 864,929 | |||||||
Revance Therapeutics, Inc. (Pharmaceuticals) | (a) | 23,661 | 845,881 | |||||||
Sage Therapeutics, Inc. (Biotechnology) | (a) | 6,843 | 1,127,111 | |||||||
|
| |||||||||
11,037,420 | ||||||||||
|
| |||||||||
INDUSTRIALS – 23.7% | ||||||||||
Aerojet Rocketdyne Holdings, Inc. (Aerospace & Defense) | (a) | 26,713 | 833,446 | |||||||
Axon Enterprise, Inc. (Aerospace & Defense) | (a) | 31,347 | 830,695 | |||||||
Covanta Holding Corp. (Commercial Svs. & Supplies) | 60,214 | 1,017,617 | ||||||||
Cubic Corp. (Aerospace & Defense) | 17,123 | 1,009,401 | ||||||||
Healthcare Services Group, Inc. (Commercial Svs. & Supplies) | 18,893 | 996,039 | ||||||||
Kornit Digital Ltd. (Machinery) | (a) | 68,956 | 1,113,639 | |||||||
Lindsay Corp. (Machinery) | 10,099 | 890,732 | ||||||||
MasTec, Inc. (Construction & Engineering) | (a) | 14,116 | 690,978 | |||||||
Matthews International Corp. Class A (Commercial Svs. & Supplies) | 15,342 | 810,058 | ||||||||
Mueller Water Products, Inc. Class A (Machinery) | 67,562 | 846,552 | ||||||||
Navistar International Corp. (Machinery) | (a) | 18,886 | 809,832 | |||||||
Proto Labs, Inc. (Machinery) | (a) | 4,353 | 448,359 | |||||||
Rexnord Corp. (Machinery) | (a) | 40,271 | 1,047,851 | |||||||
Schneider National, Inc. Class B (Road & Rail) | 21,000 | 599,760 | ||||||||
Tetra Tech, Inc. (Commercial Svs. & Supplies) | 20,560 | 989,964 | ||||||||
YRC Worldwide, Inc. (Road & Rail) | (a) | 36,835 | 529,687 | |||||||
|
| |||||||||
13,464,610 | ||||||||||
|
| |||||||||
INFORMATION TECHNOLOGY – 39.6% | ||||||||||
ACI Worldwide, Inc. (Software) | (a) | 40,912 | 927,475 | |||||||
Ambarella, Inc. (Semiconductors & Equip.) | (a) | 12,722 | 747,417 | |||||||
Badger Meter, Inc. (Electronic Equip., Instr. & Comp.) | 21,262 | 1,016,324 |
Common Stocks (Continued) | Shares | Value | ||||||||
INFORMATION TECHNOLOGY (continued) | ||||||||||
Callidus Software, Inc. (Software) | (a) | 29,902 | $ | 856,692 | ||||||
Carbonite, Inc. (Internet Software & Svs.) | (a) | 35,519 | 891,527 | |||||||
Cloudera, Inc. (Internet Software & Svs.) | (a) | 45,795 | 756,533 | |||||||
CommVault Systems, Inc. (Software) | (a) | 15,913 | 835,432 | |||||||
Coupa Software, Inc. (Internet Software & Svs.) | (a) | 29,735 | 928,327 | |||||||
Digimarc Corp. (Software) | (a) | 23,394 | 845,693 | |||||||
Fabrinet (Electronic Equip., Instr. & Comp.) | (a) | 27,636 | 793,153 | |||||||
Fair Isaac Corp. (Software) | 6,000 | 919,200 | ||||||||
FARO Technologies, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 20,573 | 966,931 | |||||||
FormFactor, Inc. (Semiconductors & Equip.) | (a) | 32,945 | 515,589 | |||||||
Hortonworks, Inc. (Internet Software & Svs.) | (a) | 46,564 | 936,402 | |||||||
Integrated Device Technology, Inc. (Semiconductors & Equip.) | (a) | 31,096 | 924,484 | |||||||
KEMET Corp. (Electronic Equip., Instr. & Comp.) | (a) | 73,477 | 1,106,564 | |||||||
Lumentum Holdings, Inc. (Communications Equip.) | (a) | 19,284 | 942,988 | |||||||
Mitel Networks Corp. (Communications Equip.) | (a) | 88,635 | 729,466 | |||||||
Power Integrations, Inc. (Semiconductors & Equip.) | 9,753 | 717,333 | ||||||||
Radware Ltd. (Communications Equip.) | (a) | 41,067 | 796,700 | |||||||
Rapid7, Inc. (Software) | (a) | 52,892 | 986,965 | |||||||
Semtech Corp. (Semiconductors & Equip.) | (a) | 28,821 | 985,678 | |||||||
Silicon Motion Technology Corp. – ADR (Semiconductors & Equip.) | 12,110 | 641,346 | ||||||||
Ultra Clean Holdings, Inc. (Semiconductors & Equip.) | (a) | 33,217 | 766,981 | |||||||
Viavi Solutions, Inc. (Communications Equip.) | (a) | 103,398 | 903,699 | |||||||
Zendesk, Inc. (Software) | (a) | 30,742 | 1,040,309 | |||||||
|
| |||||||||
22,479,208 | ||||||||||
|
| |||||||||
MATERIALS – 1.4% | ||||||||||
PolyOne Corp. (Chemicals) | 18,767 | 816,365 | ||||||||
|
| |||||||||
REAL ESTATE – 2.8% | ||||||||||
Rexford Industrial Realty, Inc. (Equity REIT) | 26,823 | 782,159 | ||||||||
Terreno Realty Corp. (Equity REIT) | 23,105 | 810,061 | ||||||||
|
| |||||||||
1,592,220 | ||||||||||
|
| |||||||||
TELECOMMUNICATION SERVICES – 1.5% | ||||||||||
Vonage Holdings Corp. (Diversified Telecom. Svs.) | (a) | 83,288 | 847,039 | |||||||
|
| |||||||||
UTILITIES – 0.0% | ||||||||||
Evoqua Water Technologies Corp. (Water Utilities) | (a) | 644 | 15,269 | |||||||
|
| |||||||||
Total Common Stocks (Cost $52,086,914) | $ | 55,516,375 | ||||||||
|
| |||||||||
Money Market Funds – 1.8% | Shares | Value | ||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 1,020,182 | $ | 1,020,080 | |||||||
|
| |||||||||
Total Money Market Funds (Cost $1,020,180) | $ | 1,020,080 | ||||||||
|
| |||||||||
Total Investments – 99.6% (Cost $53,107,094) | (b) | $ | 56,536,455 | |||||||
Other Assets in Excess of Liabilities – 0.4% | 238,129 | |||||||||
|
| |||||||||
Net Assets – 100.0% | $ | 56,774,584 | ||||||||
|
|
80 |
Ohio National Fund, Inc. | Bryton Growth Portfolio (Continued) |
Schedule of Investments | December 31, 2017 |
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depositary Receipts
Footnotes:
(a) | Non-income producing security. |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
81 |
Ohio National Fund, Inc. | Balanced Portfolio (Unaudited) |
Objective/Strategy
The Balanced Portfolio seeks capital appreciation and income by investing, under normal circumstances, up to 75% of its assets in equity securities of domestic companies of any market capitalization while maintaining a minimum of 25% of its assets in fixed income securities.
Performance as of December 31, 2017
Average Annual returns | ||||
One year | 10.93% | |||
Five years | 7.54% | |||
Ten years | 5.07% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Total expense ratio is 0.74% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2017 can be found in the Portfolio’s Financial Highlights.
Comments from Sub-Adviser
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A. For the year ended December 31, 2017, the Balanced Portfolio returned 10.93% versus 14.06% for its benchmark, which is comprised of 60% S&P Composite 1500 Index and 40% Bloomberg Barclays U.S. Universal Index.
Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?
A. Entering 2017, our equity valuation model estimated the overall broad domestic market as trading approximately 4% above our estimate of fair value. Given our valuation model’s estimate for the market, the Portfolio maintained an underweight position in equities relative to the benchmark for the year. While the Portfolio was underweight equities relative to the blended benchmark, security selection within the equity portion of the Portfolio led to a positive overall net effect from an attribution standpoint. In addition to a reduced equity allocation, the Portfolio generally had a larger than normal cash balance during the time frame, which detracted from the Portfolio’s performance relative to the benchmark. (1)
In the fixed income portion of the Portfolio, we continued our focus on credit spread risk with a particular focus on shorter duration. The Portfolio’s fixed income volatility remained relatively low, resulting in positive risk-adjusted returns for the period. The Portfolio’s use of closed end fund arbitrage continued and a number of these positions converted to open-end funds or liquidated, capturing the original discount to net asset value at which they had been acquired.
Q. How did sector allocation and security selection each impact the Portfolio’s performance relative to its benchmark? For sector allocation, were there any factors that impacted the benchmark’s performance more significantly than the Portfolio’s performance? For stock selection, was there anything specific regarding the Fund’s strategy that caused deviation from the benchmark?
A. Focusing on the equity portion of the Portfolio, some positive sector-level contributions over the course of the year were the stock selections in Industrials and Information Technology sectors and the underweight to Energy. Positions in the Financials, Health Care and Consumer Discretionary sectors detracted from overall performance relative to the benchmark over the time period, due mainly to stock selection. During the first half of 2017, the Portfolio was underweight equities relative to the benchmark and had a significant cash position, both of which detracted from overall performance. Cash was reduced the final six weeks of 2017. In addition, owning put options to reduce volatility was a drag relative to the benchmark. (1)
While sector allocations did not play a significant role in the relative performance of the fixed income portion of the portfolio, we continue to use closed end fund arbitrage and shorter-term yield-to-call bonds, which we view as distinctive fixed income strategies. Securities within these strategies have contributed positively to performance. Our average duration remains below that of the fixed income benchmark, the Bloomberg Barclays U.S. Universal Index. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. The three best benchmark-relative equity contributors were Broadcom Ltd. (“Broadcom”), Mastercard, Inc. Class A (“Mastercard”), and IPG Photonics Corp (“IPG”). Both Broadcom & IPG were beneficiaries of the strong rally in the Information Technology sector. Mastercard, also in the Information Technology sector, gained 47.7% for the year. Broadcom and Mastercard remained in the Portfolio at year end, while IPG was sold. (1)
The three equities that detracted the most from benchmark-relative performance were underweights to Apple, Inc., overweights Fabrinet and Newell Brands, Inc. Apple gained 48.5% for 2017, but was underweighted, as it was the largest stock in the benchmark. Fabrinet and Newell Brands, Inc. were sold during the year. (1)
Q. How did the Portfolio’s use of derivative instruments and initial public offerings (IPOs), if any, impact performance?
A. The Portfolio purchased put options on the S&P 500 Index, and its S&P 500 call options written in the prior year expired during the current year. The impact of these options was a 0.61% detraction due to the constantly grinding upward market and low overall volatility. (1)
Q. Were there any significant changes to the Portfolio’s management team, investment strategy, or selection process during the reporting period?
A. Zach Jonson, a portfolio manager to the Portfolio, resigned from ICON Advisers, the Portfolio’s sub-adviser. He was replaced by Craig Callahan and Scott Callahan as co-portfolio managers. Jerry Paul remains as a third co-portfolio manager.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2017. |
82 | (continued) |
Ohio National Fund, Inc. | Balanced Portfolio (Unaudited)(Continued) |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The S&P Composite 1500 Index is a broad-based capitalization-weighted index of 1500 U.S. companies and is comprised of the S&P MidCap 400, S&P 500, and the S&P SmallCap 600. It is designed for investors seeking to replicate to the performance of the U.S. equity market or benchmark against a representative universe of tradable stocks. The index presented includes the effects of reinvested dividends.
The Bloomberg Barclays U.S. Universal Index represents the union of the U.S. Aggregate Index, U.S. Corporate High Yield Index. Investment Grade 144A Index, Eurodollar Index, U.S. Emerging Markets Index, and the non-ERISA portion of the Commercial Mortgage-Backed Securities (CMBS) Index. The index covers USD-denominated, taxable bonds that are rated either investment grade or high-yield.
Portfolio Composition as of December 31, 2017 (1)
% of Net Assets | ||||
Common Stocks (4) | 54.6 | |||
Corporate Bonds (4) | 22.6 | |||
U.S. Treasury Obligations | 12.0 | |||
Closed-End Mutual Funds | 6.0 | |||
Preferred Securities (4) | 1.5 | |||
Asset-Backed / Mortgage-Backed Securities (4) | 0.9 | |||
Liquidating Trusts | 0.1 | |||
Purchased Options | 0.0 | |||
Money Market Funds and Other Net Assets | 2.3 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31, 2017 (1) (2) (3)
% of Net Assets | ||||||
1. | U.S. Treasury Note 1.875%, 05/31/2022 | 3.1 | ||||
2. | U.S. Treasury Note 1.875%, 01/31/2022 | 3.1 | ||||
3. | U.S. Treasury Note 2.250%, 02/15/2027 | 2.3 | ||||
4. | Bank of America Corp. | 1.6 | ||||
5. | JPMorgan Chase & Co. | 1.6 | ||||
6. | U.S. Treasury Note 1.625%, 02/15/2026 | 1.5 | ||||
7. | Masco Corp. | 1.5 | ||||
8. | Mastercard, Inc. Class A | 1.4 | ||||
9. | Broadcom Ltd. | 1.3 | ||||
10. | CDK Global, Inc. | 1.3 |
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. |
(3) | Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher. |
(4) | Sectors (Common Stocks, Corporate Bonds, Preferred Securities, Asset-Backed / Mortgage-Backed Securities): |
% of Net Assets | ||||
Financials | 16.7 | |||
Information Technology | 16.5 | |||
Consumer Discretionary | 11.4 | |||
Health Care | 8.9 | |||
Energy | 8.6 | |||
Industrials | 7.2 | |||
Consumer Staples | 3.9 | |||
Materials | 2.8 | |||
Utilities | 2.2 | |||
Real Estate | 1.2 | |||
Telecommunication Services | 0.2 | |||
|
| |||
79.6 | ||||
|
|
83 |
Ohio National Fund, Inc. | Balanced Portfolio |
Schedule of Investments | December 31, 2017 |
Common Stocks – 54.6% | Shares | Value | ||||||
CONSUMER DISCRETIONARY – 8.7% | ||||||||
AutoZone, Inc. (Specialty Retail) | (a) | 4,000 | $ 2,845,480 | |||||
Brunswick Corp. (Leisure Products) | 142,000 | 7,841,240 | ||||||
D.R. Horton, Inc. (Household Durables) | 208,896 | 10,668,319 | ||||||
Lowe’s Cos., Inc. (Specialty Retail) | 103,000 | 9,572,820 | ||||||
Magna International, Inc. (Auto Components) | 120,000 | 6,800,400 | ||||||
O’Reilly Automotive, Inc. (Specialty Retail) | (a) | 19,000 | 4,570,260 | |||||
PulteGroup, Inc. (Household Durables) | 373,974 | 12,434,635 | ||||||
Royal Caribbean Cruises Ltd. (Hotels, Restaurants & Leisure) | 55,000 | 6,560,400 | ||||||
Thor Industries, Inc. (Automobiles) | 62,255 | 9,383,074 | ||||||
Whirlpool Corp. (Household Durables) | 13,000 | 2,192,320 | ||||||
Wyndham Worldwide Corp. (Hotels, Restaurants & Leisure) | 84,631 | 9,806,194 | ||||||
| ||||||||
82,675,142 | ||||||||
| ||||||||
CONSUMER STAPLES – 1.7% | ||||||||
Constellation Brands, Inc. Class A (Beverages) | 15,000 | 3,428,550 | ||||||
Monster Beverage Corp. (Beverages) | (a) | 50,000 | 3,164,500 | |||||
Tyson Foods, Inc. Class A (Food Products) | 125,000 | 10,133,750 | ||||||
| ||||||||
16,726,800 | ||||||||
| ||||||||
ENERGY – 5.3% | ||||||||
Cimarex Energy Co. (Oil, Gas & Consumable Fuels) | 82,000 | 10,004,820 | ||||||
Diamondback Energy, Inc. (Oil, Gas & Consumable Fuels) | (a) | 90,000 | 11,362,500 | |||||
Marathon Petroleum Corp. (Oil, Gas & Consumable Fuels) | 131,000 | 8,643,380 | ||||||
Parsley Energy, Inc. Class A (Oil, Gas & Consumable Fuels) | (a) | 150,000 | 4,416,000 | |||||
SRC Energy, Inc. (Oil, Gas & Consumable Fuels) | (a) | 1,050,000 | 8,956,500 | |||||
U.S. Silica Holdings, Inc. (Energy Equip. & Svs.) | 235,000 | 7,651,600 | ||||||
| ||||||||
51,034,800 | ||||||||
| ||||||||
FINANCIALS – 9.1% | ||||||||
American International Group, Inc. (Insurance) | 70,000 | 4,170,600 | ||||||
Bank of America Corp. (Banks) | 519,165 | 15,325,751 | ||||||
Goldman Sachs Group, Inc. / The (Capital Markets) | 34,000 | 8,661,840 | ||||||
Invesco Ltd. (Capital Markets) | 62,900 | 2,298,366 | ||||||
JPMorgan Chase & Co. (Banks) | 141,702 | 15,153,612 | ||||||
KeyCorp (Banks) | 358,325 | 7,227,415 | ||||||
Lincoln National Corp. (Insurance) | 75,000 | 5,765,250 | ||||||
Signature Bank (Banks) | (a) | 91,584 | 12,570,820 | |||||
SVB Financial Group (Banks) | (a) | 52,369 | 12,242,301 | |||||
XL Group Ltd. (Insurance) | 100,000 | 3,516,000 | ||||||
| ||||||||
86,931,955 | ||||||||
| ||||||||
HEALTH CARE – 7.4% | ||||||||
AbbVie, Inc. (Biotechnology) | 15,000 | 1,450,650 | ||||||
Boston Scientific Corp. (Health Care Equip. & Supplies) | (a) | 366,562 | 9,087,072 | |||||
Celgene Corp. (Biotechnology) | (a) | 83,199 | 8,682,648 | |||||
Cigna Corp. (Health Care Providers & Svs.) | 46,409 | 9,425,204 | ||||||
HCA Healthcare, Inc. (Health Care Providers & Svs.) | (a) | 60,000 | 5,270,400 | |||||
Jazz Pharmaceuticals PLC (Pharmaceuticals) | (a) | 73,427 | 9,886,945 | |||||
Ligand Pharmaceuticals, Inc. (Biotechnology) | (a) | 15,000 | 2,053,950 | |||||
PerkinElmer, Inc. (Life Sciences Tools & Svs.) | 100,889 | 7,377,004 | ||||||
PRA Health Sciences, Inc. (Life Sciences Tools & Svs.) | (a) | 91,197 | 8,305,311 | |||||
Thermo Fisher Scientific, Inc. (Life Sciences Tools & Svs.) | 46,890 | 8,903,473 | ||||||
| ||||||||
70,442,657 | ||||||||
| ||||||||
INDUSTRIALS – 4.9% | ||||||||
Air Lease Corp. (Trading Companies & Distributors) | 63,775 | 3,066,940 | ||||||
Canadian Pacific Railway Ltd. (Road & Rail) | 50,000 | 9,138,000 | ||||||
Johnson Controls International PLC (Building Products) | 170,000 | 6,478,700 | ||||||
Masco Corp. (Building Products) | 316,337 | 13,899,848 | ||||||
Snap-on, Inc. (Machinery) | 15,000 | 2,614,500 | ||||||
Spirit AeroSystems Holdings, Inc. Class A (Aerospace & Defense) | 33,000 | 2,879,250 | ||||||
Union Pacific Corp. (Road & Rail) | 63,666 | 8,537,610 | ||||||
| ||||||||
46,614,848 | ||||||||
| ||||||||
INFORMATION TECHNOLOGY – 14.0% | ||||||||
Adobe Systems, Inc. (Software) | (a) | 66,821 | 11,709,712 | |||||
Alphabet, Inc. Class C (Internet Software & Svs.) | (a) | 5,276 | 5,520,806 | |||||
Broadcom Ltd. (Semiconductors & Equip.) | 50,000 | 12,845,000 | ||||||
Cavium, Inc. (Semiconductors & Equip.) | (a) | 80,000 | 6,706,400 | |||||
CDK Global, Inc. (Software) | 178,927 | 12,753,917 |
84 | (continued) |
Ohio National Fund, Inc. | Balanced Portfolio (Continued) |
Schedule of Investments | December 31, 2017 |
Common Stocks (Continued) | Shares | Value | ||||||
INFORMATION TECHNOLOGY (continued) | ||||||||
Cognizant Technology Solutions Corp. Class A (IT Svs.) | 138,637 | $ 9,846,000 | ||||||
Electronic Arts, Inc. (Software) | (a) | 65,021 | 6,831,106 | |||||
Facebook, Inc. Class A (Internet Software & Svs.) | (a) | 40,000 | 7,058,400 | |||||
Logitech International SA (Tech. Hardware, Storage & Periph.) | 252,668 | 8,499,752 | ||||||
LogMeIn, Inc. (Internet Software & Svs.) | 40,000 | 4,580,000 | ||||||
Mastercard, Inc. Class A (IT Svs.) | 91,600 | 13,864,576 | ||||||
Monolithic Power Systems, Inc. (Semiconductors & Equip.) | 82,793 | 9,302,621 | ||||||
Skyworks Solutions, Inc. (Semiconductors & Equip.) | 124,210 | 11,793,739 | ||||||
Visa, Inc. (IT Svs.) | 111,400 | 12,701,828 | ||||||
| ||||||||
134,013,857 | ||||||||
| ||||||||
MATERIALS – 1.9% | ||||||||
Eagle Materials, Inc. (Construction Materials) | 93,734 | 10,620,062 | ||||||
Graphic Packaging Holding Co. (Containers & Packaging) | 500,000 | 7,725,000 | ||||||
| ||||||||
18,345,062 | ||||||||
| ||||||||
UTILITIES – 1.6% | ||||||||
CMS Energy Corp. (Multi-Utilities) | 159,934 | 7,564,878 | ||||||
Sempra Energy (Multi-Utilities) | 70,000 | 7,484,400 | ||||||
| ||||||||
15,049,278 | ||||||||
| ||||||||
Total Common Stocks (Cost $451,543,374) | $521,834,399 | |||||||
|
Corporate Bonds – 22.6% | Rate | Maturity | Face Amount | Value | ||||||||||||||||
CONSUMER DISCRETIONARY – 2.7% | ||||||||||||||||||||
CBRE Services, Inc. (Media) | 5.000 | % | 03/15/2023 | $ | 6,510,000 | $ | 6,694,370 | |||||||||||||
Dollar Tree, Inc. (Multiline Retail) | 5.750 | % | 03/01/2023 | 2,500,000 | 2,618,750 | |||||||||||||||
J.B. Poindexter & Co., Inc. (Auto Components) | (b) | 9.000 | % | 04/01/2022 | 1,301,000 | 1,349,787 | ||||||||||||||
Lee Enterprises, Inc. (Media) | (b) | 9.500 | % | 03/15/2022 | 4,680,000 | 4,843,800 | ||||||||||||||
Penske Automotive Group, Inc. (Specialty Retail) | 5.750 | % | 10/01/2022 | 1,090,000 | 1,124,063 | |||||||||||||||
Reliance Intermediate Holdings LP (Specialty Retail) | (b) | 6.500 | % | 04/01/2023 | 7,982,000 | 8,440,965 | ||||||||||||||
William Carter Co. / The (Textiles, Apparel & Luxury Goods) | 5.250 | % | 08/15/2021 | 695,000 | 714,113 | |||||||||||||||
|
| |||||||||||||||||||
25,785,848 | ||||||||||||||||||||
|
| |||||||||||||||||||
CONSUMER STAPLES – 2.2% | ||||||||||||||||||||
Central Garden & Pet Co. (Household Products) | 6.125 | % | 11/15/2023 | 3,850,000 | 4,071,375 | |||||||||||||||
Darling Ingredients, Inc. (Food Products) | 5.375 | % | 01/15/2022 | 3,000,000 | 3,067,500 | |||||||||||||||
HRG Group, Inc. (Household Products) | 7.875 | % | 07/15/2019 | 2,300,000 | 2,304,600 | |||||||||||||||
Kraft Heinz Foods Co. (Food Products) | (b) | 4.875 | % | 02/15/2025 | 10,759,000 | 11,405,455 | ||||||||||||||
|
| |||||||||||||||||||
20,848,930 | ||||||||||||||||||||
|
| |||||||||||||||||||
ENERGY – 3.3% | ||||||||||||||||||||
Andeavor Logistics LP / Tesoro Logistics Finance Corp. (Oil, Gas & Consumable Fuels) | 6.250 | % | 10/15/2022 | 4,848,000 | 5,143,583 | |||||||||||||||
Andeavor Logistics LP / Tesoro Logistics Finance Corp. (Oil, Gas & Consumable Fuels) | 6.375 | % | 05/01/2024 | 1,845,000 | 2,001,825 | |||||||||||||||
Enterprise Products Operating LLC (Oil, Gas & Consumable Fuels) | (c) | 7.034 | % | 01/15/2068 | 10,000,000 | 10,000,000 | ||||||||||||||
MPLX LP (Oil, Gas & Consumable Fuels) | 5.500 | % | 02/15/2023 | 9,215,000 | 9,482,972 | |||||||||||||||
Overseas Shipholding Group, Inc. (Acquired 07/13/2016 through 10/13/2016, | (d) | 8.125 | % | 03/30/2018 | 4,630,000 | 4,676,300 | ||||||||||||||
|
| |||||||||||||||||||
31,304,680 | ||||||||||||||||||||
|
| |||||||||||||||||||
FINANCIALS – 5.8% | ||||||||||||||||||||
Citigroup, Inc. (Banks) | 6.875 | % | 06/01/2025 | 2,250,000 | 2,702,879 | |||||||||||||||
Credit Acceptance Corp. (Consumer Finance) | 6.125 | % | 02/15/2021 | 2,500,000 | 2,525,000 | |||||||||||||||
Delphi Financial Group, Inc. (Insurance) | 7.875 | % | 01/31/2020 | 6,140,000 | 6,763,835 | |||||||||||||||
Ford Motor Credit Co. LLC (Consumer Finance) | 3.664 | % | 09/08/2024 | 4,250,000 | 4,303,848 | |||||||||||||||
GFI Group, Inc. (Capital Markets) | 8.375 | % | 07/19/2018 | 3,850,000 | 3,946,250 | |||||||||||||||
International Lease Finance Corp. (Diversified Financial Svs.) | 5.875 | % | 08/15/2022 | 4,256,000 | 4,714,495 | |||||||||||||||
Nationwide Mutual Insurance Co. (Insurance) | (b) | 7.875 | % | 04/01/2033 | 6,000,000 | 8,591,487 | ||||||||||||||
ProAssurance Corp. (Insurance) | 5.300 | % | 11/15/2023 | 5,063,000 | 5,445,145 | |||||||||||||||
Prudential Financial, Inc. (Insurance) | (c) | 8.875 | % | 06/15/2038 | 1,000,000 | 1,027,250 | ||||||||||||||
Radian Group, Inc. (Thrifts & Mortgage Finance) | 5.500 | % | 06/01/2019 | 1,266,000 | 1,313,475 | |||||||||||||||
RBC U.S.A. Holdco Corp. (Banks) | 5.250 | % | 09/15/2020 | 1,500,000 | 1,606,839 | |||||||||||||||
SAFG Retirement Services, Inc. (Diversified Financial Svs.) | 8.125 | % | 04/28/2023 | 7,600,000 | 9,141,810 | |||||||||||||||
United Insurance Holdings Corp. (Insurance) | 6.250 | % | 12/15/2027 | 3,000,000 | 3,046,075 | |||||||||||||||
|
| |||||||||||||||||||
55,128,388 | ||||||||||||||||||||
|
| |||||||||||||||||||
HEALTH CARE – 1.5% | ||||||||||||||||||||
Becton Dickinson and Co. (Health Care Equip. & Supplies) | 3.875 | % | 05/15/2024 | 3,000,000 | 3,043,250 | |||||||||||||||
Catholic Health Initiatives (Health Care Providers & Svs.) | 2.950 | % | 11/01/2022 | 4,000,000 | 3,964,831 | |||||||||||||||
Centene Corp. (Health Care Providers & Svs.) | 5.625 | % | 02/15/2021 | 510,000 | 524,025 |
85 | (continued) |
Ohio National Fund, Inc. | Balanced Portfolio (Continued) |
Schedule of Investments | December 31, 2017 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||
HEALTH CARE (continued) | ||||||||||||||||||
Hill-Rom Holdings, Inc. (Health Care Equip. & Supplies) | (b) | 5.750% | 09/01/2023 | $ | 2,190,000 | $ | 2,291,287 | |||||||||||
Molina Healthcare, Inc. (Health Care Providers & Svs.) | 5.375% | 11/15/2022 | 3,500,000 | 3,648,750 | ||||||||||||||
Universal Health Services, Inc. (Health Care Providers & Svs.) | (b) | 4.750% | 08/01/2022 | 1,000,000 | 1,018,750 | |||||||||||||
|
| |||||||||||||||||
14,490,893 | ||||||||||||||||||
|
| |||||||||||||||||
INDUSTRIALS – 2.2% | ||||||||||||||||||
AECOM (Construction & Engineering) | 5.750% | 10/15/2022 | 3,700,000 | 3,857,250 | ||||||||||||||
Aircastle Ltd. (Trading Companies & Distributors) | 5.000% | 04/01/2023 | 4,400,000 | 4,636,500 | ||||||||||||||
Covanta Holding Corp. (Commercial Svs. & Supplies) | 6.375% | 10/01/2022 | 734,000 | 750,515 | ||||||||||||||
EnPro Industries, Inc. (Machinery) | 5.875% | 09/15/2022 | 470,000 | 489,388 | ||||||||||||||
Spirit AeroSystems, Inc. (Aerospace & Defense) | 5.250% | 03/15/2022 | 11,120,000 | 11,459,050 | ||||||||||||||
|
| |||||||||||||||||
21,192,703 | ||||||||||||||||||
|
| |||||||||||||||||
INFORMATION TECHNOLOGY – 2.5% | ||||||||||||||||||
Activision Blizzard, Inc. (Software) | (b) | 6.125% | 09/15/2023 | 8,000,000 | 8,480,865 | |||||||||||||
Amkor Technology, Inc. (Semiconductors & Equip.) | 6.375% | 10/01/2022 | 3,500,000 | 3,612,000 | ||||||||||||||
NXP BV / NXP Funding LLC (Semiconductors & Equip.) | (b) | 4.625% | 06/01/2023 | 6,515,000 | 6,814,690 | |||||||||||||
Western Digital Corp. (Tech. Hardware, Storage & Periph.) | (b) | 7.375% | 04/01/2023 | 4,500,000 | 4,854,375 | |||||||||||||
|
| |||||||||||||||||
23,761,930 | ||||||||||||||||||
|
| |||||||||||||||||
MATERIALS – 0.9% | ||||||||||||||||||
FMG Resources August 2006 Pty. Ltd. (Metals & Mining) | (b) | 9.750% | 03/01/2022 | 3,500,000 | 3,872,750 | |||||||||||||
Mercer International, Inc. (Paper & Forest Products) | 7.750% | 12/01/2022 | 750,000 | 795,000 | ||||||||||||||
Standard Industries Inc. (Construction Materials) | (b) | 5.500% | 02/15/2023 | 1,185,000 | 1,235,362 | |||||||||||||
Westlake Chemical Corp. (Chemicals) | 4.875% | 05/15/2023 | 2,600,000 | 2,678,000 | ||||||||||||||
|
| |||||||||||||||||
8,581,112 | ||||||||||||||||||
|
| |||||||||||||||||
REAL ESTATE – 0.7% | ||||||||||||||||||
Iron Mountain, Inc. (Equity REIT) | 5.750% | 08/15/2024 | 2,000,000 | 2,025,000 | ||||||||||||||
Select Income REIT (Equity REIT) | 4.500% | 02/01/2025 | 4,850,000 | 4,890,399 | ||||||||||||||
|
| |||||||||||||||||
6,915,399 | ||||||||||||||||||
|
| |||||||||||||||||
TELECOMMUNICATION SERVICES – 0.2% | ||||||||||||||||||
Level 3 Parent LLC (Diversified Telecom. Svs.) | 5.750% | 12/01/2022 | 2,058,000 | 2,066,335 | ||||||||||||||
|
| |||||||||||||||||
UTILITIES – 0.6% | ||||||||||||||||||
AES Corp. (Ind. Power & Renewable Elec.) | 5.500% | 03/15/2024 | 1,600,000 | 1,664,000 | ||||||||||||||
DPL, Inc. (Electric Utilities) | 6.750% | 10/01/2019 | 4,000,000 | 4,190,000 | ||||||||||||||
|
| |||||||||||||||||
5,854,000 | ||||||||||||||||||
|
| |||||||||||||||||
Total Corporate Bonds (Cost $217,211,538) | $ | 215,930,218 | ||||||||||||||||
|
| |||||||||||||||||
U.S. Treasury Obligations – 12.0% | Rate | Maturity | Face Amount | Value | ||||||||||||||
U.S. Treasury Note | 1.250% | 08/31/2019 | $ | 10,000,000 | $ | 9,897,136 | ||||||||||||
U.S. Treasury Note | 1.875% | 01/31/2022 | 29,500,000 | 29,191,527 | ||||||||||||||
U.S. Treasury Note | 1.875% | 05/31/2022 | 30,000,000 | 29,653,890 | ||||||||||||||
U.S. Treasury Note | 1.625% | 02/15/2026 | 15,000,000 | 14,161,667 | ||||||||||||||
U.S. Treasury Note | 2.250% | 02/15/2027 | 22,000,000 | 21,704,727 | ||||||||||||||
U.S. Treasury Note | 2.250% | 11/15/2027 | 10,000,000 | 9,855,798 | ||||||||||||||
|
| |||||||||||||||||
Total U.S. Treasury Obligations (Cost $115,830,708) | $ | 114,464,745 | ||||||||||||||||
|
| |||||||||||||||||
Closed-End Mutual Funds – 6.0% | Shares | Value | ||||||||||||||||
Aberdeen Emerging Markets Smaller Co. Opportunities Fund, Inc. | 44,937 | $ | 653,384 | |||||||||||||||
Aberdeen Greater China Fund, Inc. | 39,788 | 495,361 | ||||||||||||||||
Aberdeen Indonesia Fund, Inc. / The | 67,361 | 514,638 | ||||||||||||||||
Aberdeen Israel Fund, Inc. | 12,975 | 248,212 | ||||||||||||||||
Aberdeen Latin America Equity Fund, Inc. | 20,120 | 537,606 | ||||||||||||||||
Aberdeen Singapore Fund, Inc. | 52,928 | 657,366 | ||||||||||||||||
Asia Pacific Fund, Inc. / The | 145,213 | 2,075,094 | ||||||||||||||||
Asia Tigers Fund, Inc. | 16,750 | 207,198 | ||||||||||||||||
BlackRock Enhanced Government Fund, Inc. | 130,931 | 1,754,475 | ||||||||||||||||
BlackRock Income Trust, Inc. | 884,908 | 5,459,882 | ||||||||||||||||
BlackRock Municipal 2018 Term Trust | 112,859 | 1,666,927 | ||||||||||||||||
Delaware Investments Dividend & Income Fund, Inc. | 68,119 | 733,642 | ||||||||||||||||
Deutsche High Income Opportunities Fund, Inc. | 263,044 | 3,950,921 | ||||||||||||||||
Deutsche Multi-Market Income Trust | 645,668 | 5,714,162 | ||||||||||||||||
Deutsche Strategic Income Trust | 122,406 | 1,526,403 | ||||||||||||||||
Eaton Vance High Income 2021 Target Term Trust | 329,988 | 3,299,880 | ||||||||||||||||
Federated Premier Municipal Income Fund | 160,584 | 2,254,599 | ||||||||||||||||
First Trust Senior Floating Rate 2022 Target Term Fund | 116,814 | 1,066,512 |
86 | (continued) |
Ohio National Fund, Inc. | Balanced Portfolio (Continued) |
Schedule of Investments | December 31, 2017 |
Closed-End Mutual Funds (Continued) | Shares | Value | ||||||||||||||
Highland Floating Rate Opportunities Fund | 30,154 | $ | 467,387 | |||||||||||||
Invesco High Income Trust II | 30,344 | 446,360 | ||||||||||||||
Madison Covered Call & Equity Strategy Fund | 452,321 | 3,491,918 | ||||||||||||||
Madison Strategic Sector Premium Fund | 167,646 | 1,963,135 | ||||||||||||||
MFS Investment Grade Municipal Trust | 174,103 | 1,689,670 | ||||||||||||||
Morgan Stanley Income Securities, Inc. (Acquired 05/16/2016 through 01/24/2017, Cost $4,481,271) | (d) | 244,555 | 4,487,584 | |||||||||||||
Nuveen High Income December 2018 Target Term Fund | 668,511 | 6,624,944 | ||||||||||||||
Nuveen High Income December 2019 Target Term Fund | 331,075 | 3,317,371 | ||||||||||||||
Thai Fund, Inc. / The | 157,323 | 1,692,795 | ||||||||||||||
|
| |||||||||||||||
Total Closed-End Mutual Funds (Cost $56,791,606) | $ | 56,997,426 | ||||||||||||||
|
| |||||||||||||||
Preferred Securities – 1.5% | Rate | Quantity | Value | |||||||||||||
FINANCIALS – 1.0% | ||||||||||||||||
Argo Group U.S., Inc. (Insurance) | 6.500% | 227,444 | $ | 5,745,236 | ||||||||||||
Maiden Holdings North America Ltd. (Insurance) | 7.750% | 57,391 | 1,401,775 | |||||||||||||
Main Street Capital Corp. (Capital Markets) | 6.125% | 87,728 | 2,216,009 | |||||||||||||
|
| |||||||||||||||
9,363,020 | ||||||||||||||||
|
| |||||||||||||||
REAL ESTATE – 0.5% | ||||||||||||||||
Equity Commonwealth (Equity REIT) | 5.750% | 5,343 | 135,712 | |||||||||||||
Gramercy Property Trust (Acquired 10/07/2014 through 07/26/2017, Cost $4,420,432) (Equity REIT) | (d) | 7.125% | 169,527 | 4,538,238 | ||||||||||||
|
| |||||||||||||||
4,673,950 | ||||||||||||||||
|
| |||||||||||||||
Total Preferred Securities (Cost $14,082,733) | $ | 14,036,970 | ||||||||||||||
|
| |||||||||||||||
Asset-Backed / Mortgage-Backed Securities – 0.9% | Rate | Maturity | Face Amount | Value | ||||||||||||
FINANCIALS – 0.8% | ||||||||||||||||
New Residential Mortgage Loan Trust 2016-3A B3C (Acquired 10/13/2016, Cost $7,870,605) | (b)(d) | 4.000% | 09/25/2056 | $ | 7,754,291 | $ | 7,585,039 | |||||||||
|
| |||||||||||||||
INDUSTRIALS – 0.1% | ||||||||||||||||
UAL 2007-1 Class B Pass Through Trust | 7.336% | 07/02/2019 | 875,428 | 932,331 | ||||||||||||
|
| |||||||||||||||
Total Asset-Backed / Mortgage-Backed Securities (Cost $8,775,934) | $ | 8,517,370 | ||||||||||||||
|
| |||||||||||||||
Liquidating Trusts – 0.1% | Shares | Value | ||||||||||||||
BHL Liquidating Trust | (a)(d)(e) | 225,251 | $ | 3,379 | ||||||||||||
JPMorgan China Region Fund, Inc. Liquidation Trust | (a)(d)(e) | 89,958 | 460,585 | |||||||||||||
|
| |||||||||||||||
Total Liquidating Trusts (Cost $0) | $ | 463,964 | ||||||||||||||
|
| |||||||||||||||
Purchased Options – 0.0% | Notional Amount | Expiration | Exercise Price | Contracts (f) | Value | |||||||||||
S&P 500 Index Put Option | $106,944,400 | January 2018 | $2,400 | 400 | $ | 66,000 | ||||||||||
|
| |||||||||||||||
Total Purchased Options (Cost $657,246) | $ | 66,000 | ||||||||||||||
|
| |||||||||||||||
Money Market Funds – 1.7% | Shares | Value | ||||||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 16,653,000 | $ | 16,651,334 | |||||||||||||
|
| |||||||||||||||
Total Money Market Funds (Cost $16,652,942) | $ | 16,651,334 | ||||||||||||||
|
| |||||||||||||||
Total Investments – 99.4% (Cost $881,546,081) | (g) | $ | 948,962,426 | |||||||||||||
Other Assets in Excess of Liabilities – 0.6% | 6,137,575 | |||||||||||||||
|
| |||||||||||||||
Net Assets – 100.0% | $ | 955,100,001 | ||||||||||||||
|
|
87 |
Ohio National Fund, Inc. | Balanced Portfolio (Continued) |
Schedule of Investments | December 31, 2017 |
Percentages are stated as a percent of net assets.
Footnotes:
(a) | Non-income producing security. |
(b) | Security exempt from registration under Regulation D of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers under Rule 144A. At December 31, 2017, the value of these securities totaled $70,784,612, or 7.4% of the Portfolio’s net assets. Unless also noted as illiquid, these securities were deemed liquid pursuant to procedures approved by the Board of Directors. |
(c) | Security is a variable rate instrument in which the coupon or dividend rate is fixed until a later specified date, then is adjusted periodically. Rates stated are those in effect at December 31, 2017. |
(d) | Represents a security deemed to be illiquid. At December 31, 2017, the value of illiquid securities in the Portfolio totaled $21,751,125, or 2.3% of the Portfolio’s net assets. |
(e) | Liquidating trusts are organized for the primary purpose of liquidating and distributing the assets transferred to it, and its activities are all reasonably necessary to and consistent with accomplishment of that purpose. |
BHL Liquidating Trust was acquired on August 18, 2017 in conjunction with the BlackRock Defined Opportunity Credit Trust’s liquidation plan and liquidating distribution.
JPMorgan China Region Fund, Inc. Liquidation Trust was acquired on July 14, 2017 in conjuction with the JPMorgan China Region Fund, Inc.’s liquidation plan and liquidating distribution.
(f) | 100 shares per contract. |
(g) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
88 |
Ohio National Fund, Inc. | S&P MidCap 400® Index Portfolio (Unaudited) |
Objective/Strategy
The S&P MidCap 400® Index Portfolio seeks total return approximating that of the Standard & Poor’s MidCap 400® Index (S&P MidCap 400® Index), including reinvestment of dividends, at a risk level consistent with that of the S&P MidCap 400® Index by investing, under normal circumstances, more than 80% of its assets in the securities included in the S&P MidCap 400® Index.
Performance as of December 31, 2017
Average Annual returns | ||||
One year | 15.48% | |||
Five years | 12.44% | |||
Ten years | 4.72% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Total expense ratio is 0.79% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2017 can be found in the Portfolio’s Financial Highlights.
Comments from Sub-Adviser
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A. For the year ended December 31, 2017, the S&P MidCap 400® Index Portfolio returned 15.48% versus 16.24% for the benchmark, the S&P MidCap 400® Index.
Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?
A. The Portfolio intends to track the underlying return of the S&P400® Index. There were no material market events or changes in strategy for the one year period that impacted the Portfolio’s relative return.
Q. How did sector allocation and security selection each impact the Portfolio’s performance relative to its benchmark? For sector allocation, were there any factors that impacted the benchmark’s performance more significantly than the Portfolio’s performance? For stock selection, was there anything specific regarding the Fund’s strategy that caused deviation from the benchmark?
A. The Portfolio is managed on a risk-controlled basis and is constructed to closely replicate its benchmark index. The expected sources of performance variance include the impact of trading daily cash flows, including trading commissions, and the operating expenses of the Portfolio.
Information Technology contributed the most to the Portfolio and benchmark returns, returning 25.1%, followed by Industrials, which was up 23.6%. Only two sectors had negative returns for the year, Energy (-15.8%) and Telecommunication Services (-41.1%). (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. The largest contributors to the Portfolio and benchmark returns for the period were NVR, Inc., Take-Two Interactive Software, Inc., and Cognex Corp. The largest detractors from the Portfolio and benchmark returns for the period were Nabors Industries Ltd., Mallinckodt PLC., and Frontier Communications Corp. (1)
Q. How did the Portfolio’s use of derivative instruments and initial public offerings (IPOs), if any, impact performance?
A. The Portfolio uses S&P MidCap 400® Index futures contracts primarily to equitize open dividend receivables, as well as to manage day-to-day cash flows to ensure the Portfolio is fully invested. The futures did not meaningfully impact performance, however, due to their index characteristics and size in relation to Portfolio net assets. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2017. |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The S&P MidCap 400® Index is a capitalization-weighted index of 400 common stocks representing all major industries in the mid-range of the U.S. stock market. The index presented includes the effects of reinvested dividends.
Prior to December 16, 2016, the Portfolio was known as the Target VIP Portfolio. The strategy of the Target VIP Portfolio was to seek above average total return by investing in common stocks of companies which were identified by a model that applied separate uniquely specialized strategies.
The S&P MidCap 400® Index is a product of S&P Dow Jones Indices LLC or its affiliates (“SPDJI”), and has been licensed for use by Ohio National Investments, Inc. (“ONI”) Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”); and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by ONI. The S&P MidCap 400® Index Portfolio of Ohio National Fund, Inc. is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, their respective affiliates, and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the S&P MidCap 400® Index.
89 | (continued) |
Ohio National Fund, Inc. | S&P MidCap 400® Index Portfolio (Unaudited) (Continued) |
Portfolio Composition as of December 31, 2017 (1)
% of Net Assets | ||||
Common Stocks (4) | 99.1 | |||
Money Market Funds | 0.9 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31,
2017 (1) (2) (3)
% of Net Assets | ||||
1. Take-Two Interactive Software, Inc. | 0.7 | |||
2. SVB Financial Group | 0.7 | |||
3. NVR, Inc. | 0.7 | |||
4. MSCI, Inc. | 0.6 | |||
5. Teleflex, Inc. | 0.6 | |||
6. Huntington Ingalls Industries, Inc. | 0.6 | |||
7. Cognex Corp. | 0.6 | |||
8. Broadridge Financial Solutions, Inc. | 0.6 | |||
9. Trimble, Inc. | 0.6 | |||
10. Steel Dynamics, Inc. | 0.5 |
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. |
(3) | Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher. |
(4) | Sectors (Common Stocks): |
% of Net Assets | ||||
Information Technology | 17.3 | |||
Financials | 17.2 | |||
Industrials | 15.7 | |||
Consumer Discretionary | 12.0 | |||
Real Estate | 9.0 | |||
Health Care | 7.5 | |||
Materials | 7.1 | |||
Utilities | 5.2 | |||
Energy | 4.2 | |||
Consumer Staples | 3.8 | |||
Telecommunication Services | 0.1 | |||
|
| |||
99.1 | ||||
|
|
90 |
Ohio National Fund, Inc. | S&P MidCap 400® Index Portfolio |
Schedule of Investments | December 31, 2017 |
Common Stocks – 99.1% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 12.0% | ||||||||||
Aaron’s, Inc. (Specialty Retail) | 3,071 | $ | 122,379 | |||||||
Adtalem Global Education, Inc. (Diversified Consumer Svs.) | (a) | 2,989 | 125,687 | |||||||
AMC Networks, Inc. Class A (Media) | (a) | 2,481 | 134,172 | |||||||
American Eagle Outfitters, Inc. (Specialty Retail) | 8,289 | 155,833 | ||||||||
AutoNation, Inc. (Specialty Retail) | (a) | 2,926 | 150,192 | |||||||
Bed Bath & Beyond, Inc. (Specialty Retail) | 7,055 | 155,139 | ||||||||
Big Lots, Inc. (Multiline Retail) | 2,091 | 117,410 | ||||||||
Brinker International, Inc. (Hotels, Restaurants & Leisure) | 2,284 | 88,711 | ||||||||
Brunswick Corp. (Leisure Products) | 4,321 | 238,606 | ||||||||
Buffalo Wild Wings, Inc. (Hotels, Restaurants & Leisure) | (a) | 765 | 119,608 | |||||||
Cable One, Inc. (Media) | 231 | 162,474 | ||||||||
CalAtlantic Group, Inc. (Household Durables) | 3,752 | 211,575 | ||||||||
Carter’s, Inc. (Textiles, Apparel & Luxury Goods) | 2,332 | 273,987 | ||||||||
Cheesecake Factory, Inc. / The (Hotels, Restaurants & Leisure) | 2,097 | 101,033 | ||||||||
Churchill Downs, Inc. (Hotels, Restaurants & Leisure) | 639 | 148,695 | ||||||||
Cinemark Holdings, Inc. (Media) | 5,221 | 181,795 | ||||||||
Cooper Tire & Rubber Co. (Auto Components) | 2,526 | 89,294 | ||||||||
Cracker Barrel Old Country Store, Inc. (Hotels, Restaurants & Leisure) | 1,182 | 187,808 | ||||||||
Dana, Inc. (Auto Components) | 7,138 | 228,487 | ||||||||
Deckers Outdoor Corp. (Textiles, Apparel & Luxury Goods) | (a) | 1,572 | 126,153 | |||||||
Delphi Technologies PLC (Auto Components) | (a) | 4,381 | 229,871 | |||||||
Dick’s Sporting Goods, Inc. (Specialty Retail) | 4,073 | 117,058 | ||||||||
Dillard’s, Inc. Class A (Multiline Retail) | 1,037 | 62,272 | ||||||||
Domino’s Pizza, Inc. (Hotels, Restaurants & Leisure) | 2,154 | 407,020 | ||||||||
Dunkin’ Brands Group, Inc. (Hotels, Restaurants & Leisure) | 4,450 | 286,892 | ||||||||
GameStop Corp. Class A (Specialty Retail) | 4,996 | 89,678 | ||||||||
Gentex Corp. (Auto Components) | 13,990 | 293,091 | ||||||||
Graham Holdings Co. Class B (Diversified Consumer Svs.) | 228 | 127,304 | ||||||||
Helen of Troy Ltd. (Household Durables) | (a) | 1,343 | 129,398 | |||||||
ILG, Inc. (Hotels, Restaurants & Leisure) | 5,196 | 147,982 | ||||||||
International Speedway Corp. Class A (Hotels, Restaurants & Leisure) | 1,205 | 48,019 | ||||||||
Jack in the Box, Inc. (Hotels, Restaurants & Leisure) | 1,452 | 142,456 | ||||||||
John Wiley & Sons, Inc. Class A (Media) | 2,199 | 144,584 | ||||||||
KB Home (Household Durables) | 4,146 | 132,465 | ||||||||
Live Nation Entertainment, Inc. (Media) | (a) | 6,605 | 281,175 | |||||||
Meredith Corp. (Media) | 1,948 | 128,665 | ||||||||
Michaels Cos., Inc. / The (Specialty Retail) | (a) | 5,447 | 131,763 | |||||||
Murphy U.S.A., Inc. (Specialty Retail) | (a) | 1,594 | 128,094 | |||||||
New York Times Co. / The Class A (Media) | 6,202 | 114,737 | ||||||||
NVR, Inc. (Household Durables) | (a) | 171 | 599,906 | |||||||
Office Depot, Inc. (Specialty Retail) | 25,264 | 89,435 | ||||||||
Papa John’s International, Inc. (Hotels, Restaurants & Leisure) | 1,260 | 70,699 | ||||||||
Polaris Industries, Inc. (Leisure Products) | 2,866 | 355,355 | ||||||||
Pool Corp. (Distributors) | 1,979 | 256,577 | ||||||||
Sally Beauty Holdings, Inc. (Specialty Retail) | (a) | 6,325 | 118,657 | |||||||
Service Corp. International (Diversified Consumer Svs.) | 9,239 | 344,800 | ||||||||
Six Flags Entertainment Corp. (Hotels, Restaurants & Leisure) | 3,839 | 255,562 | ||||||||
Skechers U.S.A., Inc. Class A (Textiles, Apparel & Luxury Goods) | (a) | 6,599 | 249,706 | |||||||
Sotheby’s (Diversified Consumer Svs.) | (a) | 1,835 | 94,686 | |||||||
TEGNA, Inc. (Media) | 10,614 | 149,445 | ||||||||
Tempur Sealy International, Inc. (Household Durables) | (a) | 2,272 | 142,432 |
Common Stocks (Continued) | Shares | Value | ||||||||
CONSUMER DISCRETIONARY (continued) | ||||||||||
Texas Roadhouse, Inc. (Hotels, Restaurants & Leisure) | 3,224 | $ | 169,840 | |||||||
Thor Industries, Inc. (Automobiles) | 2,415 | 363,989 | ||||||||
Toll Brothers, Inc. (Household Durables) | 7,251 | 348,193 | ||||||||
TRI Pointe Group, Inc. (Household Durables) | (a) | 7,409 | 132,769 | |||||||
Tupperware Brands Corp. (Household Durables) | 2,510 | 157,377 | ||||||||
Urban Outfitters, Inc. (Specialty Retail) | (a) | 3,946 | 138,347 | |||||||
Wendy’s Co. / The (Hotels, Restaurants & Leisure) | 8,946 | 146,893 | ||||||||
Williams-Sonoma, Inc. (Specialty Retail) | 3,829 | 197,959 | ||||||||
|
| |||||||||
10,644,189 | ||||||||||
|
| |||||||||
CONSUMER STAPLES – 3.8% | ||||||||||
Avon Products, Inc. (Personal Products) | (a) | 21,709 | 46,674 | |||||||
Boston Beer Co., Inc. / The Class A (Beverages) | (a) | 427 | 81,600 | |||||||
Casey’s General Stores, Inc. (Food & Staples Retailing) | 1,885 | 211,007 | ||||||||
Dean Foods Co. (Food Products) | 4,485 | 51,847 | ||||||||
Edgewell Personal Care Co. (Personal Products) | (a) | 2,760 | 163,916 | |||||||
Energizer Holdings, Inc. (Household Products) | 2,992 | 143,556 | ||||||||
Flowers Foods, Inc. (Food Products) | 9,090 | 175,528 | ||||||||
Hain Celestial Group, Inc. / The (Food Products) | (a) | 5,114 | 216,783 | |||||||
Ingredion, Inc. (Food Products) | 3,535 | 494,193 | ||||||||
Lamb Weston Holdings, Inc. (Food Products) | 7,206 | 406,779 | ||||||||
Lancaster Colony Corp. (Food Products) | 962 | 124,300 | ||||||||
Nu Skin Enterprises, Inc. Class A (Personal Products) | 2,439 | 166,413 | ||||||||
Post Holdings, Inc. (Food Products) | (a) | 3,258 | 258,131 | |||||||
Sanderson Farms, Inc. (Food Products) | 987 | 136,976 | ||||||||
Snyder’s-Lance, Inc. (Food Products) | 4,225 | 211,588 | ||||||||
Sprouts Farmers Market, Inc. (Food & Staples Retailing) | (a) | 6,097 | 148,462 | |||||||
Tootsie Roll Industries, Inc. (Food Products) | 931 | 33,888 | ||||||||
TreeHouse Foods, Inc. (Food Products) | (a) | 2,822 | 139,576 | |||||||
United Natural Foods, Inc. (Food & Staples Retailing) | (a) | 2,507 | 123,520 | |||||||
|
| |||||||||
3,334,737 | ||||||||||
|
| |||||||||
ENERGY – 4.2% | ||||||||||
Callon Petroleum Co. (Oil, Gas & Consumable Fuels) | (a) | 9,963 | 121,050 | |||||||
CNX Resources Corp. (Oil, Gas & Consumable Fuels) | (a) | 10,213 | 149,416 | |||||||
Core Laboratories N.V. (Energy Equip. & Svs.) | 2,171 | 237,833 | ||||||||
Diamond Offshore Drilling, Inc. (Energy Equip. & Svs.) | (a) | 3,182 | 59,153 | |||||||
Dril-Quip, Inc. (Energy Equip. & Svs.) | (a) | 1,866 | 89,008 | |||||||
Energen Corp. (Oil, Gas & Consumable Fuels) | (a) | 4,788 | 275,645 | |||||||
Ensco PLC Class A (Energy Equip. & Svs.) | 21,471 | 126,894 | ||||||||
Gulfport Energy Corp. (Oil, Gas & Consumable Fuels) | (a) | 8,117 | 103,573 | |||||||
HollyFrontier Corp. (Oil, Gas & Consumable Fuels) | 8,734 | 447,356 | ||||||||
Matador Resources Co. (Oil, Gas & Consumable Fuels) | (a) | 4,749 | 147,836 | |||||||
Murphy Oil Corp. (Oil, Gas & Consumable Fuels) | 7,991 | 248,121 | ||||||||
Nabors Industries Ltd. (Energy Equip. & Svs.) | 15,643 | 106,842 | ||||||||
Oceaneering International, Inc. (Energy Equip. & Svs.) | 4,848 | 102,487 | ||||||||
Patterson-UTI Energy, Inc. (Energy Equip. & Svs.) | 10,954 | 252,052 | ||||||||
PBF Energy, Inc. Class A (Oil, Gas & Consumable Fuels) | 5,421 | 192,174 | ||||||||
QEP Resources, Inc. (Oil, Gas & Consumable Fuels) | (a) | 11,864 | 113,539 | |||||||
Rowan Cos. PLC Class A (Energy Equip. & Svs.) | (a) | 5,605 | 87,774 | |||||||
SM Energy Co. (Oil, Gas & Consumable Fuels) | 5,050 | 111,504 |
91 | (continued) |
Ohio National Fund, Inc. | S&P MidCap 400® Index Portfolio (Continued) |
Schedule of Investments | December 31, 2017 |
Common Stocks (Continued) | Shares | Value | ||||||||
ENERGY (continued) | ||||||||||
Southwestern Energy Co. (Oil, Gas & Consumable Fuels) | (a) | 25,240 | $ | 140,839 | ||||||
Superior Energy Services, Inc. (Energy Equip. & Svs.) | (a) | 7,540 | 72,610 | |||||||
Transocean Ltd. (Energy Equip. & Svs.) | (a) | 19,292 | 206,039 | |||||||
World Fuel Services Corp. (Oil, Gas & Consumable Fuels) | 3,331 | 93,734 | ||||||||
WPX Energy, Inc. (Oil, Gas & Consumable Fuels) | (a) | 19,588 | 275,603 | |||||||
|
| |||||||||
3,761,082 | ||||||||||
|
| |||||||||
FINANCIALS – 17.2% | ||||||||||
Alleghany Corp. (Insurance) | (a) | 759 | 452,432 | |||||||
American Financial Group, Inc. (Insurance) | 3,388 | 367,733 | ||||||||
Aspen Insurance Holdings Ltd. (Insurance) | 2,926 | 118,796 | ||||||||
Associated Banc-Corp. (Banks) | 7,447 | 189,154 | ||||||||
BancorpSouth Bank (Banks) | 4,137 | 130,109 | ||||||||
Bank of Hawaii Corp. (Banks) | 2,095 | 179,541 | ||||||||
Bank of the Ozarks (Banks) | 5,982 | 289,828 | ||||||||
Brown & Brown, Inc. (Insurance) | 5,708 | 293,734 | ||||||||
Cathay General Bancorp (Banks) | 3,747 | 158,011 | ||||||||
Chemical Financial Corp. (Banks) | 3,510 | 187,680 | ||||||||
CNO Financial Group, Inc. (Insurance) | 8,266 | 204,088 | ||||||||
Commerce Bancshares, Inc. (Banks) | 4,624 | 258,204 | ||||||||
Cullen / Frost Bankers, Inc. (Banks) | 2,832 | 268,049 | ||||||||
East West Bancorp, Inc. (Banks) | 7,123 | 433,292 | ||||||||
Eaton Vance Corp. (Capital Markets) | 5,818 | 328,077 | ||||||||
FactSet Research Systems, Inc. (Capital Markets) | 1,927 | 371,448 | ||||||||
Federated Investors, Inc. Class B (Capital Markets) | 4,672 | 168,566 | ||||||||
First American Financial Corp. (Insurance) | 5,454 | 305,642 | ||||||||
First Horizon National Corp. (Banks) | 15,998 | 319,800 | ||||||||
FNB Corp. (Banks) | 15,911 | 219,890 | ||||||||
Fulton Financial Corp. (Banks) | 8,632 | 154,513 | ||||||||
Genworth Financial, Inc. Class A (Insurance) | (a) | 24,628 | 76,593 | |||||||
Hancock Holding Co. (Banks) | 4,197 | 207,751 | ||||||||
Hanover Insurance Group, Inc. / The (Insurance) | 2,082 | 225,023 | ||||||||
Home BancShares, Inc. (Banks) | 7,798 | 181,303 | ||||||||
Interactive Brokers Group, Inc. Class A (Capital Markets) | 3,500 | 207,235 | ||||||||
International Bancshares Corp. (Banks) | 2,673 | 106,118 | ||||||||
Janus Henderson Group PLC (Capital Markets) | 8,891 | 340,170 | ||||||||
Kemper Corp. (Insurance) | 2,405 | 165,704 | ||||||||
Legg Mason, Inc. (Capital Markets) | 4,211 | 176,778 | ||||||||
MarketAxess Holdings, Inc. (Capital Markets) | 1,848 | 372,834 | ||||||||
MB Financial, Inc. (Banks) | 4,136 | 184,135 | ||||||||
Mercury General Corp. (Insurance) | 1,801 | 96,245 | ||||||||
MSCI, Inc. (Capital Markets) | 4,439 | 561,711 | ||||||||
New York Community Bancorp, Inc. (Thrifts & Mortgage Finance) | 24,100 | 313,782 | ||||||||
Old Republic International Corp. (Insurance) | 12,099 | 258,677 | ||||||||
PacWest Bancorp (Banks) | 6,353 | 320,191 | ||||||||
Pinnacle Financial Partners, Inc. (Banks) | 3,635 | 241,000 | ||||||||
Primerica, Inc. (Insurance) | 2,180 | 221,379 | ||||||||
Prosperity Bancshares, Inc. (Banks) | 3,423 | 239,850 | ||||||||
Reinsurance Group of America, Inc. (Insurance) | 3,173 | 494,766 | ||||||||
RenaissanceRe Holdings Ltd. (Insurance) | 1,972 | 247,663 | ||||||||
SEI Investments Co. (Capital Markets) | 6,446 | 463,210 | ||||||||
Signature Bank (Banks) | (a) | 2,645 | 363,053 | |||||||
SLM Corp. (Consumer Finance) | (a) | 21,276 | 240,419 | |||||||
Sterling Bancorp (Banks) | 11,054 | 271,928 | ||||||||
Stifel Financial Corp. (Capital Markets) | 3,372 | 200,836 | ||||||||
SVB Financial Group (Banks) | (a) | 2,597 | 607,101 | |||||||
Synovus Financial Corp. (Banks) | 5,872 | 281,504 | ||||||||
TCF Financial Corp. (Banks) | 8,468 | 173,594 | ||||||||
Texas Capital Bancshares, Inc. (Banks) | (a) | 2,447 | 217,538 | |||||||
Trustmark Corp. (Banks) | 3,343 | 106,508 | ||||||||
UMB Financial Corp. (Banks) | 2,162 | 155,491 |
Common Stocks (Continued) | Shares | Value | ||||||||
FINANCIALS (continued) | ||||||||||
Umpqua Holdings Corp. (Banks) | 10,841 | $ | 225,493 | |||||||
United Bankshares, Inc. (Banks) | 5,172 | 179,727 | ||||||||
Valley National Bancorp (Banks) | 13,023 | 146,118 | ||||||||
Washington Federal, Inc. (Thrifts & Mortgage Finance) | 4,296 | 147,138 | ||||||||
Webster Financial Corp. (Banks) | 4,536 | 254,742 | ||||||||
Wintrust Financial Corp. (Banks) | 2,754 | 226,847 | ||||||||
WR Berkley Corp. (Insurance) | 4,742 | 339,764 | ||||||||
|
| |||||||||
15,238,506 | ||||||||||
|
| |||||||||
HEALTH CARE – 7.5% | ||||||||||
ABIOMED, Inc. (Health Care Equip. & Supplies) | (a) | 2,070 | 387,939 | |||||||
Acadia Healthcare Co., Inc. (Health Care Providers & Svs.) | (a) | 4,030 | 131,499 | |||||||
Akorn, Inc. (Pharmaceuticals) | (a) | 4,622 | 148,967 | |||||||
Allscripts Healthcare Solutions, Inc. (Health Care Technology) | (a) | 8,911 | 129,655 | |||||||
Bio-Rad Laboratories, Inc. Class A (Life Sciences Tools & Svs.) | (a) | 996 | 237,715 | |||||||
Bio-Techne Corp. (Life Sciences Tools & Svs.) | 1,846 | 239,149 | ||||||||
Bioverativ, Inc. (Biotechnology) | (a) | 5,333 | 287,555 | |||||||
Catalent, Inc. (Pharmaceuticals) | (a) | 6,545 | 268,869 | |||||||
Charles River Laboratories International, Inc. (Life Sciences Tools & Svs.) | (a) | 2,333 | 255,347 | |||||||
Endo International PLC (Pharmaceuticals) | (a) | 9,916 | 76,849 | |||||||
Globus Medical, Inc. Class A (Health Care Equip. & Supplies) | (a) | 3,576 | 146,974 | |||||||
Halyard Health, Inc. (Health Care Equip. & Supplies) | (a) | 2,309 | 106,630 | |||||||
HealthSouth Corp. (Health Care Providers & Svs.) | 4,863 | 240,281 | ||||||||
Hill-Rom Holdings, Inc. (Health Care Equip. & Supplies) | 3,245 | 273,521 | ||||||||
INC Research Holdings, Inc. Class A (Life Sciences Tools & Svs.) | (a) | 2,774 | 120,946 | |||||||
LifePoint Health, Inc. (Health Care Providers & Svs.) | (a) | 1,940 | 96,612 | |||||||
LivaNova PLC (Health Care Equip. & Supplies) | (a) | 2,139 | 170,949 | |||||||
Mallinckrodt PLC (Pharmaceuticals) | (a) | 4,680 | 105,581 | |||||||
Masimo Corp. (Health Care Equip. & Supplies) | (a) | 2,342 | 198,602 | |||||||
Medidata Solutions, Inc. (Health Care Technology) | (a) | 2,885 | 182,822 | |||||||
MEDNAX, Inc. (Health Care Providers & Svs.) | (a) | 4,617 | 246,732 | |||||||
Molina Healthcare, Inc. (Health Care Providers & Svs.) | (a) | 2,163 | 165,859 | |||||||
NuVasive, Inc. (Health Care Equip. & Supplies) | (a) | 2,515 | 147,102 | |||||||
Owens & Minor, Inc. (Health Care Providers & Svs.) | 3,021 | 57,036 | ||||||||
Prestige Brands Holdings, Inc. (Pharmaceuticals) | (a) | 2,615 | 116,132 | |||||||
STERIS PLC (Health Care Equip. & Supplies) | 4,190 | 366,499 | ||||||||
Teleflex, Inc. (Health Care Equip. & Supplies) | 2,216 | 551,385 | ||||||||
Tenet Healthcare Corp. (Health Care Providers & Svs.) | (a) | 3,980 | 60,337 | |||||||
United Therapeutics Corp. (Biotechnology) | (a) | 2,129 | 314,986 | |||||||
WellCare Health Plans, Inc. (Health Care Providers & Svs.) | (a) | 2,189 | 440,230 | |||||||
West Pharmaceutical Services, Inc. (Health Care Equip. & Supplies) | 3,658 | 360,935 | ||||||||
|
| |||||||||
6,633,695 | ||||||||||
|
| |||||||||
INDUSTRIALS – 15.7% | ||||||||||
AECOM (Construction & Engineering) | (a) | 7,765 | 288,470 | |||||||
AGCO Corp. (Machinery) | 3,251 | 232,219 | ||||||||
Avis Budget Group, Inc. (Road & Rail) | (a) | 3,530 | 154,896 | |||||||
Brink’s Co. / The (Commercial Svs. & Supplies) | 2,489 | 195,884 | ||||||||
Carlisle Cos., Inc. (Industrial Conglomerates) | 3,055 | 347,201 | ||||||||
Clean Harbors, Inc. (Commercial Svs. & Supplies) | (a) | 2,551 | 138,264 | |||||||
Copart, Inc. (Commercial Svs. & Supplies) | (a) | 9,910 | 428,013 |
92 | (continued) |
Ohio National Fund, Inc. | S&P MidCap 400® Index Portfolio (Continued) |
Schedule of Investments | December 31, 2017 |
Common Stocks (Continued) | Shares | Value | ||||||||
INDUSTRIALS (continued) | ||||||||||
Crane Co. (Machinery) | 2,486 | $ | 221,801 | |||||||
Curtiss-Wright Corp. (Aerospace & Defense) | 2,173 | 264,780 | ||||||||
Deluxe Corp. (Commercial Svs. & Supplies) | 2,369 | 182,034 | ||||||||
Donaldson Co., Inc. (Machinery) | 6,403 | 313,427 | ||||||||
Dun & Bradstreet Corp. / The (Professional Svs.) | 1,812 | 214,559 | ||||||||
Dycom Industries, Inc. (Construction & Engineering) | (a) | 1,524 | 169,819 | |||||||
EMCOR Group, Inc. (Construction & Engineering) | 2,898 | 236,912 | ||||||||
EnerSys (Electrical Equip.) | 2,075 | 144,482 | ||||||||
Esterline Technologies Corp. (Aerospace & Defense) | (a) | 1,302 | 97,259 | |||||||
GATX Corp. (Trading Companies & Distributors) | 1,886 | 117,234 | ||||||||
Genesee & Wyoming, Inc. Class A (Road & Rail) | (a) | 3,040 | 239,339 | |||||||
Graco, Inc. (Machinery) | 8,300 | 375,326 | ||||||||
Granite Construction, Inc. (Construction & Engineering) | 1,966 | 124,703 | ||||||||
Herman Miller, Inc. (Commercial Svs. & Supplies) | 2,951 | 118,188 | ||||||||
HNI Corp. (Commercial Svs. & Supplies) | 2,138 | 82,463 | ||||||||
Hubbell, Inc. (Electrical Equip.) | 2,694 | 364,606 | ||||||||
Huntington Ingalls Industries, Inc. (Aerospace & Defense) | 2,237 | 527,261 | ||||||||
IDEX Corp. (Machinery) | 3,763 | 496,603 | ||||||||
ITT, Inc. (Machinery) | 4,340 | 231,626 | ||||||||
JetBlue Airways Corp. (Airlines) | (a) | 15,798 | 352,927 | |||||||
KBR, Inc. (Construction & Engineering) | 6,902 | 136,867 | ||||||||
Kennametal, Inc. (Machinery) | 3,993 | 193,301 | ||||||||
Kirby Corp. (Marine) | (a) | 2,651 | 177,087 | |||||||
KLX, Inc. (Aerospace & Defense) | (a) | 2,537 | 173,150 | |||||||
Knight-Swift Transportation Holdings, Inc. (Road & Rail) | 6,314 | 276,048 | ||||||||
Landstar System, Inc. (Road & Rail) | 2,064 | 214,862 | ||||||||
Lennox International, Inc. (Building Products) | 1,853 | 385,906 | ||||||||
Lincoln Electric Holdings, Inc. (Machinery) | 3,043 | 278,678 | ||||||||
ManpowerGroup, Inc. (Professional Svs.) | 3,265 | 411,749 | ||||||||
MSA Safety, Inc. (Commercial Svs. & Supplies) | 1,668 | 129,303 | ||||||||
MSC Industrial Direct Co., Inc. Class A (Trading Companies & Distributors) | 2,194 | 212,072 | ||||||||
Nordson Corp. (Machinery) | 2,501 | 366,146 | ||||||||
NOW, Inc. (Trading Companies & Distributors) | (a) | 5,313 | 58,602 | |||||||
Old Dominion Freight Line, Inc. (Road & Rail) | 3,368 | 443,060 | ||||||||
Orbital ATK, Inc. (Aerospace & Defense) | 2,843 | 373,855 | ||||||||
Oshkosh Corp. (Machinery) | 3,704 | 336,657 | ||||||||
Pitney Bowes, Inc. (Commercial Svs. & Supplies) | 9,211 | 102,979 | ||||||||
Regal Beloit Corp. (Electrical Equip.) | 2,183 | 167,218 | ||||||||
Rollins, Inc. (Commercial Svs. & Supplies) | 4,722 | 219,715 | ||||||||
Ryder System, Inc. (Road & Rail) | 2,607 | 219,431 | ||||||||
Teledyne Technologies, Inc. (Aerospace & Defense) | (a) | 1,746 | 316,288 | |||||||
Terex Corp. (Machinery) | 3,942 | 190,083 | ||||||||
Timken Co. / The (Machinery) | 3,365 | 165,390 | ||||||||
Toro Co. / The (Machinery) | 5,307 | 346,176 | ||||||||
Trinity Industries, Inc. (Machinery) | 7,479 | 280,163 | ||||||||
Valmont Industries, Inc. (Construction & Engineering) | 1,115 | 184,923 | ||||||||
Wabtec Corp. (Machinery) | 4,195 | 341,599 | ||||||||
Watsco, Inc. (Trading Companies & Distributors) | 1,504 | 255,740 | ||||||||
Werner Enterprises, Inc. (Road & Rail) | 2,211 | 85,455 | ||||||||
Woodward, Inc. (Machinery) | 2,716 | 207,883 | ||||||||
|
| |||||||||
13,910,682 | ||||||||||
|
| |||||||||
INFORMATION TECHNOLOGY – 17.3% | ||||||||||
3D Systems Corp. (Tech. Hardware, Storage & Periph.) | (a) | 5,615 | 48,514 | |||||||
ACI Worldwide, Inc. (Software) | (a) | 5,848 | 132,574 |
Common Stocks (Continued) | Shares | Value | ||||||||
INFORMATION TECHNOLOGY (continued) | ||||||||||
Acxiom Corp. (IT Svs.) | (a) | 3,901 | $ | 107,512 | ||||||
ARRIS International PLC (Communications Equip.) | (a) | 8,697 | 223,426 | |||||||
Arrow Electronics, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 4,333 | 348,417 | |||||||
Avnet, Inc. (Electronic Equip., Instr. & Comp.) | 5,958 | 236,056 | ||||||||
Belden, Inc. (Electronic Equip., Instr. & Comp.) | 2,077 | 160,282 | ||||||||
Blackbaud, Inc. (Software) | 2,361 | 223,091 | ||||||||
Broadridge Financial Solutions, Inc. (IT Svs.) | 5,748 | 520,654 | ||||||||
Cars.com, Inc. (Internet Software & Svs.) | (a) | 3,531 | 101,834 | |||||||
CDK Global, Inc. (Software) | 6,476 | 461,609 | ||||||||
Ciena Corp. (Communications Equip.) | (a) | 7,029 | 147,117 | |||||||
Cirrus Logic, Inc. (Semiconductors & Equip.) | (a) | 3,137 | 162,685 | |||||||
Cognex Corp. (Electronic Equip., Instr. & Comp.) | 8,519 | 521,022 | ||||||||
Coherent, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 1,213 | 342,333 | |||||||
CommVault Systems, Inc. (Software) | (a) | 2,115 | 111,037 | |||||||
Convergys Corp. (IT Svs.) | 4,552 | 106,972 | ||||||||
CoreLogic, Inc. (IT Svs.) | (a) | 4,058 | 187,520 | |||||||
Cree, Inc. (Semiconductors & Equip.) | (a) | 4,835 | 179,572 | |||||||
Cypress Semiconductor Corp. (Semiconductors & Equip.) | 16,437 | 250,500 | ||||||||
Diebold Nixdorf, Inc. (Tech. Hardware, Storage & Periph.) | 3,726 | 60,920 | ||||||||
DST Systems, Inc. (IT Svs.) | 2,967 | 184,162 | ||||||||
Fair Isaac Corp. (Software) | 1,477 | 226,276 | ||||||||
First Solar, Inc. (Semiconductors & Equip.) | (a) | 4,011 | 270,823 | |||||||
Fortinet, Inc. (Software) | (a) | 7,367 | 321,864 | |||||||
Integrated Device Technology, Inc. (Semiconductors & Equip.) | (a) | 6,544 | 194,553 | |||||||
InterDigital, Inc. (Communications Equip.) | 1,713 | 130,445 | ||||||||
IPG Photonics Corp. (Electronic Equip., Instr. & Comp.) | (a) | 1,851 | 396,355 | |||||||
j2 Global, Inc. (Internet Software & Svs.) | 2,385 | 178,947 | ||||||||
Jabil, Inc. (Electronic Equip., Instr. & Comp.) | 8,703 | 228,454 | ||||||||
Jack Henry & Associates, Inc. (IT Svs.) | 3,806 | 445,150 | ||||||||
Keysight Technologies, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 9,134 | 379,974 | |||||||
Knowles Corp. (Electronic Equip., Instr. & Comp.) | (a) | 4,412 | 64,680 | |||||||
Leidos Holdings, Inc. (IT Svs.) | 7,007 | 452,442 | ||||||||
Littelfuse, Inc. (Electronic Equip., Instr. & Comp.) | 1,120 | 221,558 | ||||||||
LogMeIn, Inc. (Internet Software & Svs.) | 2,597 | 297,356 | ||||||||
Manhattan Associates, Inc. (Software) | (a) | 3,401 | 168,486 | |||||||
MAXIMUS, Inc. (IT Svs.) | 3,209 | 229,700 | ||||||||
Microsemi Corp. (Semiconductors & Equip.) | (a) | 5,793 | 299,208 | |||||||
MKS Instruments, Inc. (Semiconductors & Equip.) | 2,677 | 252,976 | ||||||||
Monolithic Power Systems, Inc. (Semiconductors & Equip.) | 1,875 | 210,675 | ||||||||
National Instruments Corp. (Electronic Equip., Instr. & Comp.) | 5,280 | 219,806 | ||||||||
NCR Corp. (Tech. Hardware, Storage & Periph.) | (a) | 6,000 | 203,940 | |||||||
NetScout Systems, Inc. (Communications Equip.) | (a) | 4,292 | 130,691 | |||||||
Plantronics, Inc. (Communications Equip.) | 1,628 | 82,019 | ||||||||
PTC, Inc. (Software) | (a) | 5,700 | 346,389 | |||||||
Sabre Corp. (IT Svs.) | 10,281 | 210,760 | ||||||||
Science Applications International Corp. (IT Svs.) | 2,130 | 163,094 | ||||||||
Silicon Laboratories, Inc. (Semiconductors & Equip.) | (a) | 2,099 | 185,342 | |||||||
Synaptics, Inc. (Semiconductors & Equip.) | (a) | 1,676 | 66,939 | |||||||
SYNNEX Corp. (Electronic Equip., Instr. & Comp.) | 1,439 | 195,632 | ||||||||
Take-Two Interactive Software, Inc. (Software) | (a) | 5,614 | 616,305 | |||||||
Tech Data Corp. (Electronic Equip., Instr. & Comp.) | (a) | 1,712 | 167,725 | |||||||
Teradata Corp. (IT Svs.) | (a) | 5,961 | 229,260 | |||||||
Teradyne, Inc. (Semiconductors & Equip.) | 9,683 | 405,427 |
93 | (continued) |
Ohio National Fund, Inc. | S&P MidCap 400® Index Portfolio (Continued) |
Schedule of Investments | December 31, 2017 |
Common Stocks (Continued) | Shares | Value | ||||||||
INFORMATION TECHNOLOGY (continued) | ||||||||||
Trimble, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 12,412 | $ | 504,424 | ||||||
Tyler Technologies, Inc. (Software) | (a) | 1,721 | 304,703 | |||||||
Ultimate Software Group, Inc. / The (Software) | (a) | 1,398 | 305,086 | |||||||
VeriFone Systems, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 5,518 | 97,724 | |||||||
Versum Materials, Inc. (Semiconductors & Equip.) | 5,339 | 202,081 | ||||||||
ViaSat, Inc. (Communications Equip.) | (a) | 2,668 | 199,700 | |||||||
Vishay Intertechnology, Inc. (Electronic Equip., Instr. & Comp.) | 6,496 | 134,792 | ||||||||
WEX, Inc. (IT Svs.) | (a) | 1,967 | 277,799 | |||||||
Zebra Technologies Corp. Class A (Electronic Equip., Instr. & Comp.) | (a) | 2,621 | 272,060 | |||||||
|
| |||||||||
15,309,429 | ||||||||||
|
| |||||||||
MATERIALS – 7.1% | ||||||||||
Allegheny Technologies, Inc. (Metals & Mining) | (a) | 6,211 | 149,934 | |||||||
AptarGroup, Inc. (Containers & Packaging) | 3,072 | 265,052 | ||||||||
Ashland Global Holdings, Inc. (Chemicals) | 3,059 | 217,801 | ||||||||
Bemis Co., Inc. (Containers & Packaging) | 4,474 | 213,812 | ||||||||
Cabot Corp. (Chemicals) | 3,052 | 187,973 | ||||||||
Carpenter Technology Corp. (Metals & Mining) | 2,307 | 117,634 | ||||||||
Chemours Co. / The (Chemicals) | 9,124 | 456,747 | ||||||||
Commercial Metals Co. (Metals & Mining) | 5,713 | 121,801 | ||||||||
Compass Minerals International, Inc. (Metals & Mining) | 1,669 | 120,585 | ||||||||
Domtar Corp. (Paper & Forest Products) | 3,088 | 152,918 | ||||||||
Eagle Materials, Inc. (Construction Materials) | 2,395 | 271,354 | ||||||||
Greif, Inc. Class A (Containers & Packaging) | 1,275 | 77,240 | ||||||||
Louisiana-Pacific Corp. (Paper & Forest Products) | (a) | 7,140 | 187,496 | |||||||
Minerals Technologies, Inc. (Chemicals) | 1,741 | 119,868 | ||||||||
NewMarket Corp. (Chemicals) | 455 | 180,812 | ||||||||
Olin Corp. (Chemicals) | 8,169 | 290,653 | ||||||||
Owens-Illinois, Inc. (Containers & Packaging) | (a) | 8,036 | 178,158 | |||||||
PolyOne Corp. (Chemicals) | 3,981 | 173,174 | ||||||||
Reliance Steel & Aluminum Co. (Metals & Mining) | 3,590 | 307,986 | ||||||||
Royal Gold, Inc. (Metals & Mining) | 3,225 | 264,837 | ||||||||
RPM International, Inc. (Chemicals) | 6,579 | 344,871 | ||||||||
Scotts Miracle-Gro Co. / The (Chemicals) | 2,015 | 215,585 | ||||||||
Sensient Technologies Corp. (Chemicals) | 2,142 | 156,687 | ||||||||
Silgan Holdings, Inc. (Containers & Packaging) | 3,647 | 107,185 | ||||||||
Sonoco Products Co. (Containers & Packaging) | 4,898 | 260,280 | ||||||||
Steel Dynamics, Inc. (Metals & Mining) | 11,672 | 503,413 | ||||||||
United States Steel Corp. (Metals & Mining) | 8,614 | 303,127 | ||||||||
Valvoline, Inc. (Chemicals) | 9,946 | 249,247 | ||||||||
Worthington Industries, Inc. (Metals & Mining) | 2,208 | 97,284 | ||||||||
|
| |||||||||
6,293,514 | ||||||||||
|
| |||||||||
REAL ESTATE – 9.0% | ||||||||||
Alexander & Baldwin, Inc. (Equity REIT) | 2,280 | 63,247 | ||||||||
American Campus Communities, Inc. (Equity REIT) | 6,719 | 275,681 | ||||||||
Camden Property Trust (Equity REIT) | 4,565 | 420,254 | ||||||||
CoreCivic, Inc. (Equity REIT) | 5,831 | 131,198 | ||||||||
CoreSite Realty Corp. (Equity REIT) | 1,675 | 190,783 | ||||||||
Corporate Office Properties Trust (Equity REIT) | 4,907 | 143,284 | ||||||||
Cousins Properties, Inc. (Equity REIT) | 20,721 | 191,669 | ||||||||
CyrusOne, Inc. (Equity REIT) | 4,499 | 267,825 | ||||||||
DCT Industrial Trust, Inc. (Equity REIT) | 4,591 | 269,859 | ||||||||
Douglas Emmett, Inc. (Equity REIT) | 7,848 | 322,239 | ||||||||
Education Realty Trust, Inc. (Equity REIT) | 3,729 | 130,217 | ||||||||
EPR Properties (Equity REIT) | 3,155 | 206,526 | ||||||||
First Industrial Realty Trust, Inc. (Equity REIT) | 5,913 | 186,082 | ||||||||
GEO Group, Inc. / The (Equity REIT) | 6,120 | 144,432 |
Common Stocks (Continued) | Shares | Value | ||||||||
REAL ESTATE (continued) | ||||||||||
Healthcare Realty Trust, Inc. (Equity REIT) | 6,149 | $ | 197,506 | |||||||
Highwoods Properties, Inc. (Equity REIT) | 5,084 | 258,826 | ||||||||
Hospitality Properties Trust (Equity REIT) | 8,095 | 241,636 | ||||||||
JBG SMITH Properties (Equity REIT) | 4,607 | 160,001 | ||||||||
Jones Lang LaSalle, Inc. (Real Estate Mgmt. & Development) | 2,236 | 333,007 | ||||||||
Kilroy Realty Corp. (Equity REIT) | 4,846 | 361,754 | ||||||||
Lamar Advertising Co. Class A (Equity REIT) | 4,139 | 307,279 | ||||||||
LaSalle Hotel Properties (Equity REIT) | 5,586 | 156,799 | ||||||||
Liberty Property Trust (Equity REIT) | 7,262 | 312,339 | ||||||||
Life Storage, Inc. (Equity REIT) | 2,295 | 204,416 | ||||||||
Mack-Cali Realty Corp. (Equity REIT) | 4,433 | 95,575 | ||||||||
Medical Properties Trust, Inc. (Equity REIT) | 17,928 | 247,048 | ||||||||
National Retail Properties, Inc. (Equity REIT) | 7,489 | 323,001 | ||||||||
Omega Healthcare Investors, Inc. (Equity REIT) | 9,757 | 268,708 | ||||||||
Potlatch Corp. (Equity REIT) | 2,004 | 100,000 | ||||||||
Quality Care Properties, Inc. (Equity REIT) | (a) | 4,629 | 63,926 | |||||||
Rayonier, Inc. (Equity REIT) | 6,360 | 201,167 | ||||||||
Sabra Health Care REIT, Inc. (Equity REIT) | 8,777 | 164,744 | ||||||||
Senior Housing Properties Trust (Equity REIT) | 11,703 | 224,112 | ||||||||
Tanger Factory Outlet Centers, Inc. (Equity REIT) | 4,654 | 123,378 | ||||||||
Taubman Centers, Inc. (Equity REIT) | 2,991 | 195,701 | ||||||||
Uniti Group, Inc. (Equity REIT) | (a) | 8,138 | 144,775 | |||||||
Urban Edge Properties (Equity REIT) | 5,223 | 133,134 | ||||||||
Washington Prime Group, Inc. (Equity REIT) | 9,166 | 65,262 | ||||||||
Weingarten Realty Investors (Equity REIT) | 5,883 | 193,374 | ||||||||
|
| |||||||||
8,020,764 | ||||||||||
|
| |||||||||
TELECOMMUNICATION SERVICES – 0.1% | ||||||||||
Telephone & Data Systems, Inc. (Wireless Telecom. Svs.) | 4,518 | 125,601 | ||||||||
|
| |||||||||
UTILITIES – 5.2% | ||||||||||
Aqua America, Inc. (Water Utilities) | 8,753 | 343,380 | ||||||||
Atmos Energy Corp. (Gas Utilities) | 5,468 | 469,647 | ||||||||
Black Hills Corp. (Multi-Utilities) | 2,638 | 158,570 | ||||||||
Great Plains Energy, Inc. (Electric Utilities) | 10,631 | 342,743 | ||||||||
Hawaiian Electric Industries, Inc. (Electric Utilities) | 5,354 | 193,547 | ||||||||
IDACORP, Inc. (Electric Utilities) | 2,481 | 226,664 | ||||||||
MDU Resources Group, Inc. (Multi-Utilities) | 9,629 | 258,828 | ||||||||
National Fuel Gas Co. (Gas Utilities) | 4,216 | 231,501 | ||||||||
New Jersey Resources Corp. (Gas Utilities) | 4,282 | 172,136 | ||||||||
NorthWestern Corp. (Multi-Utilities) | 2,392 | 142,802 | ||||||||
OGE Energy Corp. (Electric Utilities) | 9,843 | 323,933 | ||||||||
ONE Gas, Inc. (Gas Utilities) | 2,579 | 188,938 | ||||||||
PNM Resources, Inc. (Electric Utilities) | 3,930 | 158,969 | ||||||||
Southwest Gas Holdings, Inc. (Gas Utilities) | 2,351 | 189,208 | ||||||||
UGI Corp. (Gas Utilities) | 8,532 | 400,577 | ||||||||
Vectren Corp. (Multi-Utilities) | 4,087 | 265,737 | ||||||||
Westar Energy, Inc. (Electric Utilities) | 7,004 | 369,811 | ||||||||
WGL Holdings, Inc. (Gas Utilities) | 2,521 | 216,403 | ||||||||
|
| |||||||||
4,653,394 | ||||||||||
|
| |||||||||
Total Common Stocks (Cost $82,066,784) | $87,925,593 | |||||||||
|
| |||||||||
Money Market Funds – 1.0% | Shares | Value | ||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 910,494 | $ | 910,403 | |||||||
|
| |||||||||
Total Money Market Funds (Cost $910,481) | $ 910,403 | |||||||||
|
| |||||||||
Total Investments – 100.1% (Cost $82,977,265) | (b) | $ | 88,835,996 | |||||||
Liabilities in Excess of Other Assets – (0.1)% | (c) | (53,259) | ||||||||
|
| |||||||||
Net Assets – 100.0% | $88,782,737 | |||||||||
|
|
94 | (continued) |
Ohio National Fund, Inc. | S&P MidCap 400® Index Portfolio (Continued) |
Schedule of Investments | December 31, 2017 |
Percentages are stated as a percent of net assets.
Footnotes:
(a) | Non-income producing security. |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
(c) | Includes $24,000 of cash pledged as collateral for the futures contracts outstanding at December 31, 2017. See also the following Schedule of Open Futures Contracts. |
The accompanying notes are an integral part of these financial statements.
Schedule of Open Futures Contracts | December 31, 2017 |
Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||||||||||||
CME E-mini S&P Midcap 400 Index - Long | 4 | March 16, 2018 | $ | 753,207 | $ | 760,960 | $ | 7,753 | $ | 16,113 |
The accompanying notes are an integral part of these financial statements.
95 |
Ohio National Fund, Inc. | Bristol Growth Portfolio (Unaudited) |
Objective/Strategy
The Bristol Growth Portfolio seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its assets in common stocks of the 1,000 largest publicly traded U.S. companies in terms of market capitalization.
Performance as of December 31, 2017
Average Annual returns | ||||
One year | 29.71 | % | ||
Five years | 18.06 | % | ||
Ten years | 9.10 | % |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Total expense ratio is 0.89% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2017 can be found in the Portfolio’s Financial Highlights.
Comments from Sub-Adviser
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A. For the year ended December 31, 2017, the Bristol Growth Portfolio returned 29.71% versus 30.21% for its benchmark, the Russell 1000 Growth Index.
Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?
A. There were no specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period. With the Infrastructure Plan up next in the Federal government queue, we expect the market to continue to grind higher, and remain optimistic that our focus on company and industry specific fundamentals will drive outperformance going forward. (1)
Q. How did sector allocation and security selection each impact the Portfolio’s performance relative to its benchmark? For sector allocation, were there any factors that impacted the benchmark’s performance more significantly than the Portfolio’s performance? For stock selection, was there anything specific regarding the Fund’s strategy that caused deviation from the benchmark?
A. Stock selections in Consumer Discretionary and Health Care contributed to relative performance, as did an overweight to Consumer Staples. Top detractors were stock selections within Consumer Staples and Financials, as well as an underweight to Telecommunication Services. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. Top contributors included Amazon.com Inc., which continued strong trends in Amazon Prime subscriber additions as well as market share gains from traditional brick and mortar retail. Apple, Inc. contributed, as it had new product introductions at higher prices and higher margins driving upside to earnings expectations. Facebook, Inc. Class A contributed, as the company continued its growth in advertising as the company takes market share from more traditional advertisers and Instagram becoming a larger contributor and driver for growth. (1)
The key detractor was IMAX Corp., which declined due to weak box office numbers, combined with market share loss to traditional movie screens. Additionally, a slower growth of new theaters internationally caused a revenue miss. Envision Healthcare Corp. detracted with a weak earnings report on lower volumes, lower margins and concerns about overbilling of customers. AT&T, Inc. detracted with a weak earnings report driven by lower video subscribers and concerns regarding price competition in wireless. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2017. |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The Russell 1000 Growth Index is a market-capitalization weighted index of those firms in the Russell 1000 Index with higher price-to-book ratios and higher forecasted growth values. The Russell 1000 Index measures the performance of the large-cap segment of the U.S. equity universe. The index presented includes the effects of reinvested dividends.
96 | (continued) |
Ohio National Fund, Inc. | Bristol Growth Portfolio (Unaudited) (Continued) |
Portfolio Composition as of December 31, 2017 (1)
% of Net Assets | ||||
Common Stocks (4) | 99.1 | |||
Money Market Funds and | 0.9 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31, 2017 (1) (2) (3)
% of Net Assets | ||||||
1. | Amazon.com, Inc. | 4.8 | ||||
2. | Apple, Inc. | 4.8 | ||||
3. | Microsoft Corp. | 4.7 | ||||
4. | Alphabet, Inc. Class C | 4.2 | ||||
5. | Facebook, Inc. Class A | 3.7 | ||||
6. | Goldman Sachs Group, Inc. / The | 2.5 | ||||
7. | FedEx Corp. | 2.5 | ||||
8. | Capital One Financial Corp. | 2.3 | ||||
9. | Aerie Pharmaceuticals, Inc. | 2.2 | ||||
10. | Lockheed Martin Corp. | 2.1 | ||||
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. |
(3) | Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher. |
(4) | Sectors (Common Stocks): |
% of Net Assets | ||||
Information Technology | 36.1 | |||
Industrials | 23.1 | |||
Consumer Discretionary | 17.3 | |||
Health Care | 10.8 | |||
Financials | 6.8 | |||
Consumer Staples | 4.0 | |||
Telecommunication Services | 1.0 | |||
|
| |||
99.1 | ||||
|
|
97 |
Ohio National Fund, Inc. | Bristol Growth Portfolio |
Schedule of Investments | December 31, 2017 |
Common Stocks – 99.1% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 17.3% | ||||||||||
Amazon.com, Inc. (Internet & Direct Marketing Retail) | (a) | 5,310 | $ | 6,209,886 | ||||||
CBS Corp. Class B (Media) | 42,379 | 2,500,361 | ||||||||
D.R. Horton, Inc. (Household Durables) | 50,259 | 2,566,727 | ||||||||
McDonald’s Corp. (Hotels, Restaurants & Leisure) | 14,494 | 2,494,707 | ||||||||
MGM Resorts International (Hotels, Restaurants & Leisure) | 75,060 | 2,506,253 | ||||||||
Tapestry, Inc. (Textiles, Apparel & Luxury Goods) | 47,884 | 2,117,909 | ||||||||
Time Warner, Inc. (Media) | 13,999 | 1,280,489 | ||||||||
Walt Disney Co. / The (Media) | 23,060 | 2,479,181 | ||||||||
|
| |||||||||
22,155,513 | ||||||||||
|
| |||||||||
CONSUMER STAPLES – 4.0% | ||||||||||
Constellation Brands, Inc. Class A (Beverages) | 4,947 | 1,130,736 | ||||||||
Mondelez International, Inc. Class A (Food Products) | 39,232 | 1,679,130 | ||||||||
Philip Morris International, Inc. (Tobacco) | 22,290 | 2,354,938 | ||||||||
|
| |||||||||
5,164,804 | ||||||||||
|
| |||||||||
FINANCIALS – 6.8% | ||||||||||
Capital One Financial Corp. (Consumer Finance) | 29,061 | 2,893,894 | ||||||||
Citigroup, Inc. (Banks) | 33,787 | 2,514,091 | ||||||||
Goldman Sachs Group, Inc. / The (Capital Markets) | 12,723 | 3,241,311 | ||||||||
|
| |||||||||
8,649,296 | ||||||||||
|
| |||||||||
HEALTH CARE – 10.8% | ||||||||||
Abbott Laboratories (Health Care Equip. & Supplies) | 41,588 | 2,373,427 | ||||||||
Aerie Pharmaceuticals, Inc. (Pharmaceuticals) | (a) | 46,384 | 2,771,444 | |||||||
Celgene Corp. (Biotechnology) | (a) | 24,422 | 2,548,680 | |||||||
Medtronic PLC (Health Care Equip. & Supplies) | 18,197 | 1,469,408 | ||||||||
Sage Therapeutics, Inc. (Biotechnology) | (a) | 14,169 | 2,333,776 | |||||||
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 10,311 | 2,273,163 | ||||||||
|
| |||||||||
13,769,898 | ||||||||||
|
| |||||||||
INDUSTRIALS – 23.1% | ||||||||||
AECOM (Construction & Engineering) | (a) | 67,236 | 2,497,817 | |||||||
Boeing Co. / The (Aerospace & Defense) | 8,773 | 2,587,246 | ||||||||
Caterpillar, Inc. (Machinery) | 8,862 | 1,396,474 | ||||||||
Delta Air Lines, Inc. (Airlines) | 45,817 | 2,565,752 | ||||||||
FedEx Corp. (Air Freight & Logistics) | 12,777 | 3,188,373 | ||||||||
Hexcel Corp. (Aerospace & Defense) | 32,342 | 2,000,353 | ||||||||
Lockheed Martin Corp. (Aerospace & Defense) | 8,328 | 2,673,704 | ||||||||
Quanta Services, Inc. (Construction & Engineering) | (a) | 62,457 | 2,442,693 |
Common Stocks (Continued) | Shares | Value | ||||||||
INDUSTRIALS (continued) | ||||||||||
Raytheon Co. (Aerospace & Defense) | 14,091 | $ | 2,646,994 | |||||||
Rockwell Automation, Inc. (Electrical Equip.) | 13,169 | 2,585,733 | ||||||||
XPO Logistics, Inc. (Air Freight & Logistics) | (a) | 28,142 | 2,577,526 | |||||||
Xylem, Inc. (Machinery) | 34,374 | 2,344,307 | ||||||||
|
| |||||||||
29,506,972 | ||||||||||
|
| |||||||||
INFORMATION TECHNOLOGY – 36.1% | ||||||||||
Alibaba Group Holding Ltd. – ADR (Internet Software & Svs.) | (a) | 13,135 | 2,264,868 | |||||||
Alphabet, Inc. Class A (Internet Software & Svs.) | (a) | 1,759 | 1,852,931 | |||||||
Alphabet, Inc. Class C (Internet Software & Svs.) | (a) | 5,170 | 5,409,888 | |||||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 36,016 | 6,094,988 | ||||||||
Broadcom Ltd. (Semiconductors & Equip.) | 7,307 | 1,877,168 | ||||||||
Cisco Systems, Inc. (Communications Equip.) | 61,524 | 2,356,369 | ||||||||
CommScope Holding Co., Inc. (Communications Equip.) | (a) | 58,338 | 2,206,926 | |||||||
DXC Technology Co. (IT Svs.) | 25,756 | 2,444,244 | ||||||||
Facebook, Inc. Class A (Internet Software & Svs.) | (a) | 27,029 | 4,769,537 | |||||||
First Solar, Inc. (Semiconductors & Equip.) | (a) | 18,725 | 1,264,312 | |||||||
Intel Corp. (Semiconductors & Equip.) | 28,568 | 1,318,699 | ||||||||
Marvell Technology Group Ltd. (Semiconductors & Equip.) | 114,872 | 2,466,302 | ||||||||
Mastercard, Inc. Class A (IT Svs.) | 10,149 | 1,536,153 | ||||||||
Microsoft Corp. (Software) | 69,902 | 5,979,417 | ||||||||
salesforce.com, Inc. (Software) | (a) | 23,733 | 2,426,225 | |||||||
VMware, Inc. Class A (Software) | (a) | 15,946 | 1,998,353 | |||||||
|
| |||||||||
46,266,380 | ||||||||||
|
| |||||||||
TELECOMMUNICATION SERVICES – 1.0% | ||||||||||
T-Mobile U.S., Inc. (Wireless Telecom. Svs.) | (a) | 20,447 | 1,298,589 | |||||||
|
| |||||||||
UTILITIES – 0.0% | ||||||||||
Evoqua Water Technologies Corp. (Water Utilities) | (a) | 1,446 | 34,285 | |||||||
|
| |||||||||
Total Common Stocks (Cost $106,155,987) | $ | 126,845,737 | ||||||||
|
| |||||||||
Money Market Funds – 0.8% | Shares | Value | ||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 1,016,458 | $ | 1,016,356 | |||||||
|
| |||||||||
Total Money Market Funds (Cost $1,016,374) | $ | 1,016,356 | ||||||||
|
| |||||||||
Total Investments – 99.9% (Cost $107,172,361) | (b) | $ | 127,862,093 | |||||||
Other Assets in Excess of Liabilities – 0.1% | 186,963 | |||||||||
|
| |||||||||
Net Assets – 100.0% | $ | 128,049,056 | ||||||||
|
|
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depositary Receipts
Footnotes:
(a) | Non-income producing security. |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
98 |
Ohio National Fund, Inc. | Risk Managed Balanced Portfolio (Unaudited) |
Objective/Strategy
The Risk Managed Balanced Portfolio seeks long-term capital growth, consistent with preservation of capital and balanced by current income. The Portfolio invests in a balanced portfolio of equity and fixed-income securities (the “Balanced Component”) and a risk management portfolio intended to enhance the risk adjusted return of the Portfolio (the “Risk Management Component”).
Performance as of December 31, 2017
Average Annual returns | ||||
One year | 17.63 | % | ||
Since inception (5/1/14) | 7.51 | % |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Total expense ratio is 1.04% per the Fund’s prospectus dated May 1, 2017. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2017 can be found in the Portfolio’s Financial Highlights.
Comments from Sub-Advisers
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A. For the year ended December 31, 2017, the Risk Managed Balanced Portfolio returned 17.63% versus 13.29% for its benchmark, which is comprised of 55% S&P 500 Index and 45% Bloomberg Barclays U.S. Aggregate Bond Index.
Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?
A. The Balanced Component of the Portfolio, sub-advised by Janus Capital Management LLC, seeks to provide consistent returns over time by allocating across the spectrum of fixed income and equity securities. Equities outperformed fixed income during the period, and the Portfolio’s overweight to equity securities was a large driver of the Balanced Component’s outperformance. Our equity allocation may vary based on market conditions, and our positioning reflected our belief that equities offered greater risk-adjusted opportunities versus fixed income throughout the period. (1)
Within the fixed income sleeve of the Balanced Component, our positioning in U.S. Treasury Securities led relative asset class contributors. The Treasury curve flattened, with shorter-dated yields rising and 10- and 30-year yields falling. Our significant underweight allocation to the asset class proved beneficial in a rising rate environment and our bias toward 10- and 30-year Treasuries also aided results. Our corporate credit positioning further contributed to relative performance. Corporate credit spreads tightened dramatically over the period, supported by solid earnings results, a positive U.S. economic outlook and the prospect of U.S. tax reform. As such, our overweight allocation to investment-grade corporates contributed positively to performance. Our emphasis on owning securities in the lowest tier of investment-grade ratings was particularly beneficial, as “riskier” assets
generally performed well during the period. For similar reasons, our out-of-index allocation to high yield was another leading contributor. While our focus on securities that can provide greater spread carry (a measure of excess income) than the index also supported results, our limited exposure to longer-dated corporate credit held back performance during the year. Many benchmark constituents benefited from the decline in long-term rates. A lack of exposure to government-related securities also weighed on results. (1)
Q. How did sector allocation and security selection each impact the Portfolio’s performance relative to its benchmark? For sector allocation, were there any factors that impacted the benchmark’s performance more significantly than the Portfolio’s performance? For stock selection, was there anything specific regarding the Fund’s strategy that caused deviation from the benchmark?
A. In the equity portion of the Balanced Component, security selection in Industrials and Information Technology led the Portfolio’s outperformance. Our underweight to the Energy and Telecommunication Services sectors also contributed to relative performance, as these were the two worst performing sectors in the S&P 500 Index during the period. Security selection in the Health Care and Consumer Discretionary sectors weighed modestly on relative results. (1)
In the fixed income portion of the Balanced Component, at the credit sector level, banking and brokerage, asset managers and exchanges were among the largest relative contributors. Financials generally performed well throughout the period, benefiting from the prospect of a more relaxed regulatory environment under the Trump administration and rising interest rates, which help pad net interest income. Our overweight allocations in both sectors benefited relative results. Security selection in banking was also accretive. An overweight allocation to the Information Technology sector further supported results. Electric utilities led relative sector-level detractors, as our limited exposure to longer-dated securities held back results. Other holdings in pharmaceuticals and independent energy stocks also detracted. (1)
Q. How did the Risk Management Component impact the Portfolio’s performance during the period?
A. The Portfolio’s Risk Management Component, sub-advised by AnchorPath Financial LLC, is a sleeve of derivatives and cash equivalents that seeks to enhance the risk adjusted return of the Portfolio. Under normal circumstances, the Risk Management Component will represent approximately 20% of the Portfolio. Over the year, this allocation ranged between 18.4% and 20.3% of the Portfolio. (1)
The Portfolio’s performance is enhanced on a risk-adjusted basis when the aggregate Portfolio achieves lower volatility with similar returns, or higher returns at similar volatility compared to a benchmark. Over the year, compared to the Balanced Component, the Risk Managed Balanced Portfolio’s realized volatility was slightly higher by 0.2%. Also, while the Risk Managed Component contributed 2.9% to the absolute return of the Portfolio, the Portfolio had a slightly lower cumulative return over the year than it would have had if the entire Portfolio had been invested as was the Balanced Component. Due to the slightly higher volatility and slightly lower return achieved, the risk-adjusted return of the Portfolio was not enhanced in comparison to the Balanced Component. However, during a low volatility environment such as 2017, it is not anticipated that the Risk Management Component would have a material impact on the overall Portfolio’s realized volatility or risk-adjusted return. The underperformance of the Risk Management Component on a non-risk adjusted basis was attributable to losses on index-based options resulting from the time decay of premium value, which was somewhat offset by gains on the Treasury-related futures held over the period. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
99 | (continued) |
Ohio National Fund, Inc. | Risk Managed Balanced Portfolio (Unaudited) (Continued) |
A. Aerospace company The Boeing Co. was the Portfolio’s top individual contributor to relative performance. Boeing benefited from continued strength in global air traffic and strong demand for its 777 and 787 planes. We also have a favorable opinion of the company’s ambitious goals for growing its newly integrated services business, which combined its defense and commercial servicing facilities. (1)
Mastercard, Inc. Class A (“Mastercard”) also performed well. Our investment theme for Mastercard continues to play out, as the company has benefited from consumers and businesses switching from cash and check to plastic and electronic payments. The company continues to take market share, particularly outside of the U.S., where many markets have a lower penetration of electronic payments and are experiencing significantly faster growth in electronic purchase volume. (1)
Financial services company Raymond James Financial, Inc. (“Raymond James”) was a leading corporate credit contributor. Raymond James received credit ratings upgrades by both Standard & Poor’s and Moody’s over the period, creating positive investor sentiment. We like the stability of the company’s business model and appreciate the management team’s conservative approach to the balance sheet. (1)
Our lack of exposure to Amazon.com, Inc. was the leading benchmark-relative detractor. This Portfolio targets reasonably valued securities, and, while we like the company’s fundamentals, we believe the stock’s valuation is expensive. Similarly, not owning Facebook, Inc. Class A detracted on a relative basis. While we like the company’s fundamentals, we believe the stock is too expensive for the Portfolio’s emphasis on reasonably valued securities. Our lack of exposure to Petroleos Mexicanos was the leading individual detractor in the fixed income sleeve, on a relative basis. Due to the Portfolio’s U.S.-centric approach, we do not typically make meaningful allocations to emerging markets. (1)
Portfolio holdings that significantly underperformed were Allergen PLC, Mattel, Inc., and The Kroger Co. (1)
Q. How did the Portfolio’s use of derivative instruments and initial public offerings (IPOs), if any, impact overall Portfolio performance?
A. The Risk Management Component contributed 2.9% to the absolute return of the aggregate Portfolio during the period, primarily based on the use of derivative instruments. Equity futures contributed 1.7% and purchased index options contributed 0.6% during the year, correlating with the rising value of the S&P 500 Index. The remaining 0.6% of contribution was due to Treasury future and notes, offset by expenses and other items. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2017. |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The S&P 500 index is a capitalization-weighted index designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. The index includes the effects of reinvested dividends.
The Bloomberg Barclays U.S. Aggregate Bond Index measures returns of U.S. investment grade bonds market, which includes investment grade U.S. Government bonds, high quality corporate bonds, mortgage pass-through securities, and asset-backed securities publicly offered for sale in the U.S. The index’s securities must have at least one year remaining to maturity; they must also be denominated in U.S. dollars and must be fixed rate, nonconvertible, and taxable.
100 | (continued) |
Ohio National Fund, Inc. | Risk Managed Balanced Portfolio (Unaudited) (Continued) |
Portfolio Composition as of December 31, 2017 (1)
% of Net Assets | ||||
Common Stocks (4) | 49.2 | |||
Corporate Bonds (4) | 13.6 | |||
U.S. Government Agency Mortgage-Backed Securities | 7.7 | |||
U.S. Treasury Obligations | 7.1 | |||
Purchased Options | 6.9 | |||
Asset-Backed / Mortgage-Backed Securities (4) | 2.2 | |||
Master Limited Partnerships (4) | 0.5 | |||
Preferred Securities (4) | 0.2 | |||
Money Market Funds | 12.6 | |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31,
2017 (1) (2) (3)
% of Net Assets | ||||
1. Microsoft Corp. | 2.9 | |||
2. Mastercard, Inc. Class A | 2.1 | |||
3. Boeing Co. / The | 2.1 | |||
4. Fannie Mae TBA 4.000%, 01/15/2048 | 1.9 | |||
5. Alphabet, Inc. Class C | 1.8 | |||
6. U.S. Treasury Note 1.750%, 11/30/2019 | 1.7 | |||
7. Altria Group, Inc. | 1.7 | |||
8. CME Group, Inc. | 1.6 | |||
9. Home Depot, Inc. / The | 1.5 | |||
10. LyondellBasell Industries N.V. Class A | 1.5 |
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. |
(3) | Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher. |
(4) | Sectors (Common Stocks, Corporate Bonds, Preferred Securities, Asset-Backed / Mortgage-Backed Securities, Master Limited Partnerships): |
% of Net Assets | ||||
Information Technology | 13.7 | |||
Financials | 11.7 | |||
Consumer Discretionary | 9.9 | |||
Industrials | 8.0 | |||
Consumer Staples | 7.1 | |||
Health Care | 6.7 | |||
Real Estate | 3.1 | |||
Materials | 2.3 | |||
Energy | 1.9 | |||
Utilities | 0.7 | |||
Telecommunication Services | 0.6 | |||
|
| |||
65.7 | ||||
|
|
101 |
Ohio National Fund, Inc. | Risk Managed Balanced Portfolio |
Schedule of Investments
| December 31, 2017 |
Common Stocks – 49.2% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 7.6% | ||||||||||
Comcast Corp. Class A (Media) | 108,606 | $ | 4,349,670 | |||||||
General Motors Co. (Automobiles) | 68,924 | 2,825,195 | ||||||||
Hasbro, Inc. (Leisure Products) | 13,957 | 1,268,552 | ||||||||
Home Depot, Inc. / The (Specialty Retail) | 27,655 | 5,241,452 | ||||||||
Madison Square Garden Co. / The Class A (Media) | (a) | 2,615 | 551,373 | |||||||
Mattel, Inc. (Leisure Products) | 23,299 | 358,339 | ||||||||
McDonald’s Corp. (Hotels, Restaurants & Leisure) | 10,290 | 1,771,115 | ||||||||
NIKE, Inc. Class B (Textiles, Apparel & Luxury Goods) | 41,426 | 2,591,196 | ||||||||
Norwegian Cruise Line Holdings Ltd. (Hotels, Restaurants & Leisure) | (a) | 15,942 | 848,911 | |||||||
Priceline Group, Inc. / The (Internet & Direct Marketing Retail) | (a) | 2,080 | 3,614,499 | |||||||
Six Flags Entertainment Corp. (Hotels, Restaurants & Leisure) | 16,780 | 1,117,045 | ||||||||
Starbucks Corp. (Hotels, Restaurants & Leisure) | 29,570 | 1,698,205 | ||||||||
|
| |||||||||
26,235,552 | ||||||||||
|
| |||||||||
CONSUMER STAPLES – 6.0% | ||||||||||
Altria Group, Inc. (Tobacco) | 81,732 | 5,836,482 | ||||||||
Costco Wholesale Corp. (Food & Staples Retailing) | 22,292 | 4,148,987 | ||||||||
Dr Pepper Snapple Group, Inc. (Beverages) | 16,722 | 1,623,037 | ||||||||
Estee Lauder Cos., Inc. / The Class A (Personal Products) | 16,357 | 2,081,265 | ||||||||
Hershey Co. / The (Food Products) | 15,771 | 1,790,166 | ||||||||
Kimberly-Clark Corp. (Household Products) | 6,142 | 741,094 | ||||||||
Kroger Co. / The (Food & Staples Retailing) | 63,299 | 1,737,558 | ||||||||
Sysco Corp. (Food & Staples Retailing) | 43,584 | 2,646,856 | ||||||||
|
| |||||||||
20,605,445 | ||||||||||
|
| |||||||||
ENERGY – 1.0% | ||||||||||
Suncor Energy, Inc. (Oil, Gas & Consumable Fuels) | 90,087 | 3,307,995 | ||||||||
|
| |||||||||
FINANCIALS – 5.9% | ||||||||||
American Express Co. (Consumer Finance) | 14,512 | 1,441,187 | ||||||||
CME Group, Inc. (Capital Markets) | 37,402 | 5,462,562 | ||||||||
Morgan Stanley (Capital Markets) | 17,929 | 940,734 | ||||||||
Progressive Corp. / The (Insurance) | 26,384 | 1,485,947 | ||||||||
Synchrony Financial (Consumer Finance) | 79,065 | 3,052,700 | ||||||||
TD Ameritrade Holding Corp. (Capital Markets) | 53,948 | 2,758,361 | ||||||||
U.S. Bancorp (Banks) | 93,448 | 5,006,944 | ||||||||
|
| |||||||||
20,148,435 | ||||||||||
|
| |||||||||
HEALTH CARE – 5.7% | ||||||||||
Abbott Laboratories (Health Care Equip. & Supplies) | 46,872 | 2,674,985 | ||||||||
AbbVie, Inc. (Biotechnology) | 6,529 | 631,420 | ||||||||
Aetna, Inc. (Health Care Providers & Svs.) | 12,864 | 2,320,537 | ||||||||
Allergan PLC (Pharmaceuticals) | 13,746 | 2,248,571 | ||||||||
Amgen, Inc. (Biotechnology) | 26,907 | 4,679,127 | ||||||||
Bristol-Myers Squibb Co. (Pharmaceuticals) | 21,119 | 1,294,172 | ||||||||
Eli Lilly & Co. (Pharmaceuticals) | 18,518 | 1,564,030 | ||||||||
Medtronic PLC (Health Care Equip. & Supplies) | 44,399 | 3,585,219 | ||||||||
Merck & Co., Inc. (Pharmaceuticals) | 13,722 | 772,137 | ||||||||
|
| |||||||||
19,770,198 | ||||||||||
|
| |||||||||
INDUSTRIALS – 6.9% | ||||||||||
Boeing Co. / The (Aerospace & Defense) | 24,174 | 7,129,154 | ||||||||
CSX Corp. (Road & Rail) | 68,686 | 3,778,417 | ||||||||
Deere & Co. (Machinery) | 7,538 | 1,179,773 | ||||||||
General Dynamics Corp. (Aerospace & Defense) | 11,743 | 2,389,113 | ||||||||
Honeywell International, Inc. (Industrial Conglomerates) | 31,978 | 4,904,146 | ||||||||
Northrop Grumman Corp. (Aerospace & Defense) | 8,235 | 2,527,404 | ||||||||
United Parcel Service, Inc. Class B (Air Freight & Logistics) | 14,925 | 1,778,314 | ||||||||
|
| |||||||||
23,686,321 | ||||||||||
|
| |||||||||
INFORMATION TECHNOLOGY – 12.7% | ||||||||||
Accenture PLC Class A (IT Svs.) | 17,080 | 2,614,777 | ||||||||
Activision Blizzard, Inc. (Software) | 9,968 | 631,174 | ||||||||
Adobe Systems, Inc. (Software) | (a) | 24,973 | 4,376,269 | |||||||
Alphabet, Inc. Class C (Internet Software & Svs.) | (a) | 6,129 | 6,413,386 | |||||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 29,606 | 5,010,223 | ||||||||
Automatic Data Processing, Inc. (IT Svs.) | 5,970 | 699,624 | ||||||||
Intel Corp. (Semiconductors & Equip.) | 77,451 | 3,575,138 | ||||||||
Lam Research Corp. (Semiconductors & Equip.) | 12,592 | 2,317,809 | ||||||||
Mastercard, Inc. Class A (IT Svs.) | 48,670 | 7,366,692 |
102 | (continued) |
Ohio National Fund, Inc. | Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments | December 31, 2017 |
Common Stocks (Continued) | Shares | Value | ||||||||
INFORMATION TECHNOLOGY (continued) | ||||||||||
Microsoft Corp. (Software) | 115,283 | $ | 9,861,307 | |||||||
salesforce.com, Inc. (Software) | (a) | 7,944 | 812,115 | |||||||
|
| |||||||||
43,678,514 | ||||||||||
|
| |||||||||
MATERIALS – 1.5% | ||||||||||
LyondellBasell Industries N.V. Class A (Chemicals) | 47,018 | 5,187,026 | ||||||||
|
| |||||||||
REAL ESTATE – 1.9% | ||||||||||
CBRE Group, Inc. Class A (Real Estate Mgmt. & Development) | (a) | 54,184 | 2,346,709 | |||||||
Colony NorthStar, Inc. Class A (Equity REIT) | 93,222 | 1,063,663 | ||||||||
Crown Castle International Corp. (Equity REIT) | 11,798 | 1,309,696 | ||||||||
Invitation Homes, Inc. (Equity REIT) | 12,826 | 302,309 | ||||||||
MGM Growth Properties, LLC Class A (Equity REIT) | 27,753 | 809,000 | ||||||||
Outfront Media, Inc. (Equity REIT) | 38,441 | 891,831 | ||||||||
|
| |||||||||
6,723,208 | ||||||||||
|
| |||||||||
Total Common Stocks (Cost $131,657,081) | $ | 169,342,694 | ||||||||
|
|
Corporate Bonds – 13.6% | Rate | Maturity | Face Amount | Value | ||||||||||||
CONSUMER DISCRETIONARY – 1.7% | ||||||||||||||||
1011778 B.C. ULC / New Red Finance, Inc. (Hotels, Restaurants & Leisure) | (b) | 4.625% | 01/15/2022 | $ | 347,000 | $ | 355,241 | |||||||||
1011778 B.C. ULC / New Red Finance, Inc. (Hotels, Restaurants & Leisure) | (b) | 4.250% | 05/15/2024 | 258,000 | 257,355 | |||||||||||
Amazon.com, Inc. (Internet & Direct Marketing Retail) | (b) | 2.800% | 08/22/2024 | 130,000 | 129,575 | |||||||||||
Amazon.com, Inc. (Internet & Direct Marketing Retail) | (b) | 3.150% | 08/22/2027 | 414,000 | 414,501 | |||||||||||
Amazon.com, Inc. (Internet & Direct Marketing Retail) | (b) | 4.050% | 08/22/2047 | 154,000 | 165,807 | |||||||||||
CCO Holdings, LLC / CCO Holdings Capital Corp. (Media) | 5.250% | 03/15/2021 | 173,000 | 175,919 | ||||||||||||
CCO Holdings, LLC / CCO Holdings Capital Corp. (Media) | (b) | 5.125% | 05/01/2027 | 75,000 | 73,875 | |||||||||||
CCO Holdings, LLC / CCO Holdings Capital Corp. (Media) | (b) | 5.000% | 02/01/2028 | 351,000 | 341,348 | |||||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. (Media) | 4.908% | 07/23/2025 | 305,000 | 324,198 | ||||||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. (Media) | 3.750% | 02/15/2028 | 81,000 | 77,532 | ||||||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. (Media) | 4.200% | 03/15/2028 | 172,000 | 170,253 | ||||||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital Corp. (Media) | 5.375% | 05/01/2047 | 89,000 | 91,181 | ||||||||||||
Comcast Corp. (Media) | 2.350% | 01/15/2027 | 191,000 | 180,326 | ||||||||||||
Comcast Corp. (Media) | 3.300% | 02/01/2027 | 116,000 | 118,310 | ||||||||||||
Comcast Corp. (Media) | 3.400% | 07/15/2046 | 27,000 | 25,521 | ||||||||||||
Cox Communications, Inc. (Media) | (b) | 3.150% | 08/15/2024 | 196,000 | 192,994 | |||||||||||
Cox Communications, Inc. (Media) | (b) | 3.350% | 09/15/2026 | 279,000 | 272,576 | |||||||||||
Cox Communications, Inc. (Media) | (b) | 3.500% | 08/15/2027 | 178,000 | 175,518 | |||||||||||
D.R. Horton, Inc. (Household Durables) | 3.750% | 03/01/2019 | 231,000 | 234,091 | ||||||||||||
General Motors Co. (Automobiles) | 4.875% | 10/02/2023 | 203,000 | 219,647 | ||||||||||||
Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp. (Hotels, Restaurants & Leisure) | 4.625% | 04/01/2025 | 455,000 | 467,513 | ||||||||||||
McDonald’s Corp. (Hotels, Restaurants & Leisure) | 3.500% | 03/01/2027 | 439,000 | 451,352 | ||||||||||||
McDonald’s Corp. (Hotels, Restaurants & Leisure) | 4.875% | 12/09/2045 | 151,000 | 174,770 | ||||||||||||
MDC Holdings, Inc. (Household Durables) | 5.500% | 01/15/2024 | 53,000 | 55,915 | ||||||||||||
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc. (Hotels, Restaurants & Leisure) | 5.625% | 05/01/2024 | 108,000 | 115,020 | ||||||||||||
NBCUniversal Media, LLC (Media) | 4.450% | 01/15/2043 | 51,000 | 55,604 | ||||||||||||
Tapestry, Inc. (Textiles, Apparel & Luxury Goods) | 3.000% | 07/15/2022 | 88,000 | 87,678 | ||||||||||||
Tapestry, Inc. (Textiles, Apparel & Luxury Goods) | 4.125% | 07/15/2027 | 88,000 | 88,644 | ||||||||||||
Time Warner, Inc. (Media) | 3.600% | 07/15/2025 | 170,000 | 170,340 | ||||||||||||
Toll Brothers Finance Corp. (Household Durables) | 5.875% | 02/15/2022 | 144,000 | 156,960 | ||||||||||||
Toll Brothers Finance Corp. (Household Durables) | 4.375% | 04/15/2023 | 63,000 | 65,363 | ||||||||||||
UBM PLC (Media) | (b) | 5.750% | 11/03/2020 | 108,000 | 112,125 | |||||||||||
|
| |||||||||||||||
5,997,052 | ||||||||||||||||
|
| |||||||||||||||
CONSUMER STAPLES – 1.1% | ||||||||||||||||
Anheuser-Busch InBev Finance, Inc. (Beverages) | 2.650% | 02/01/2021 | 99,000 | 99,488 | ||||||||||||
Anheuser-Busch InBev Finance, Inc. (Beverages) | 3.300% | 02/01/2023 | 558,000 | 570,919 | ||||||||||||
Constellation Brands, Inc. (Beverages) | 4.250% | 05/01/2023 | 250,000 | 264,426 | ||||||||||||
Constellation Brands, Inc. (Beverages) | 4.750% | 12/01/2025 | 30,000 | 32,952 | ||||||||||||
CVS Health Corp. (Food & Staples Retailing) | 2.800% | 07/20/2020 | 314,000 | 315,288 | ||||||||||||
CVS Health Corp. (Food & Staples Retailing) | 4.750% | 12/01/2022 | 120,000 | 128,519 | ||||||||||||
Danone SA (Food Products) | (b) | 2.077% | 11/02/2021 | 447,000 | 437,207 | |||||||||||
McCormick & Co., Inc. (Food Products) | 3.150% | 08/15/2024 | 241,000 | 242,223 | ||||||||||||
McCormick & Co., Inc. (Food Products) | 3.400% | 08/15/2027 | 182,000 | 184,329 | ||||||||||||
Molson Coors Brewing Co. (Beverages) | 3.000% | 07/15/2026 | 356,000 | 348,350 | ||||||||||||
Post Holdings, Inc. (Food Products) | (b) | 5.750% | 03/01/2027 | 112,000 | 113,960 | |||||||||||
Post Holdings, Inc. (Food Products) | (b) | 5.625% | 01/15/2028 | 55,000 | 55,206 | |||||||||||
Reckitt Benckiser Treasury Services PLC (Household Products) | (b) | 2.750% | 06/26/2024 | 217,000 | 212,250 | |||||||||||
Sysco Corp. (Food & Staples Retailing) | 2.500% | 07/15/2021 | 73,000 | 72,795 |
103 | (continued) |
Ohio National Fund, Inc. | Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments
|
December 31, 2017
|
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||
CONSUMER STAPLES (continued) | ||||||||||||||||
Sysco Corp. (Food & Staples Retailing) | 3.300% | 07/15/2026 | $ | 166,000 | $ | 166,997 | ||||||||||
Sysco Corp. (Food & Staples Retailing) | 3.250% | 07/15/2027 | 99,000 | 98,637 | ||||||||||||
Wm. Wrigley Jr. Co. (Food Products) | (b) | 2.400% | 10/21/2018 | 447,000 | 448,249 | |||||||||||
|
| |||||||||||||||
3,791,795 | ||||||||||||||||
|
| |||||||||||||||
ENERGY – 0.9% | ||||||||||||||||
Andeavor Logistics LP / Tesoro Logistics Finance Corp. (Oil, Gas & Consumable Fuels) | 5.250% | 01/15/2025 | 69,000 | 72,567 | ||||||||||||
Columbia Pipeline Group, Inc. (Oil, Gas & Consumable Fuels) | 4.500% | 06/01/2025 | 92,000 | 97,934 | ||||||||||||
Enbridge Energy Partners LP (Oil, Gas & Consumable Fuels) | 5.875% | 10/15/2025 | 156,000 | 176,649 | ||||||||||||
Energy Transfer Equity LP (Oil, Gas & Consumable Fuels) | 4.250% | 03/15/2023 | 146,000 | 144,905 | ||||||||||||
Energy Transfer Equity LP (Oil, Gas & Consumable Fuels) | 5.875% | 01/15/2024 | 127,000 | 133,667 | ||||||||||||
Energy Transfer LP (Oil, Gas & Consumable Fuels) | 4.150% | 10/01/2020 | 130,000 | 134,235 | ||||||||||||
Energy Transfer LP / Regency Energy Finance Corp. (Oil, Gas & Consumable Fuels) | 5.875% | 03/01/2022 | 166,000 | 181,461 | ||||||||||||
Kinder Morgan Energy Partners LP (Oil, Gas & Consumable Fuels) | 5.000% | 10/01/2021 | 304,000 | 323,988 | ||||||||||||
Kinder Morgan Energy Partners LP (Oil, Gas & Consumable Fuels) | 3.950% | 09/01/2022 | 159,000 | 164,072 | ||||||||||||
Motiva Enterprises LLC (Oil, Gas & Consumable Fuels) | (b) | 5.750% | 01/15/2020 | 159,000 | 167,913 | |||||||||||
NGPL PipeCo, LLC (Oil, Gas & Consumable Fuels) | (b) | 4.375% | 08/15/2022 | 34,000 | 34,574 | |||||||||||
NGPL PipeCo, LLC (Oil, Gas & Consumable Fuels) | (b) | 4.875% | 08/15/2027 | 73,000 | 75,737 | |||||||||||
NuStar Logistics LP (Oil, Gas & Consumable Fuels) | 5.625% | 04/28/2027 | 198,000 | 201,465 | ||||||||||||
Oceaneering International, Inc. (Energy Equip. & Svs.) | 4.650% | 11/15/2024 | 105,000 | 102,135 | ||||||||||||
Phillips 66 Partners LP (Oil, Gas & Consumable Fuels) | 3.605% | 02/15/2025 | 121,000 | 121,881 | ||||||||||||
Phillips 66 Partners LP (Oil, Gas & Consumable Fuels) | 3.750% | 03/01/2028 | 55,000 | 55,008 | ||||||||||||
Phillips 66 Partners LP (Oil, Gas & Consumable Fuels) | 4.680% | 02/15/2045 | 49,000 | 50,287 | ||||||||||||
Plains All American Pipeline LP / PAA Finance Corp. (Oil, Gas & Consumable Fuels) | 4.650% | 10/15/2025 | 64,000 | 65,936 | ||||||||||||
Plains All American Pipeline LP / PAA Finance Corp. (Oil, Gas & Consumable Fuels) | 4.500% | 12/15/2026 | 62,000 | 62,833 | ||||||||||||
Sabine Pass Liquefaction, LLC (Oil, Gas & Consumable Fuels) | 5.000% | 03/15/2027 | 269,000 | 288,582 | ||||||||||||
TC PipeLines LP (Oil, Gas & Consumable Fuels) | 3.900% | 05/25/2027 | 187,000 | 187,882 | ||||||||||||
Williams Cos., Inc. / The (Oil, Gas & Consumable Fuels) | 3.700% | 01/15/2023 | 74,000 | 73,630 | ||||||||||||
Williams Partners LP (Oil, Gas & Consumable Fuels) | 3.750% | 06/15/2027 | 313,000 | 313,561 | ||||||||||||
Williams Partners LP / ACMP Finance Corp. (Oil, Gas & Consumable Fuels) | 4.875% | 03/15/2024 | 15,000 | 15,675 | ||||||||||||
|
| |||||||||||||||
3,246,577 | ||||||||||||||||
|
| |||||||||||||||
FINANCIALS – 3.5% | ||||||||||||||||
Ally Financial, Inc. (Consumer Finance) | 8.000% | 12/31/2018 | 100,000 | 104,750 | ||||||||||||
Bank of America Corp. (Banks) | 2.503% | 10/21/2022 | 569,000 | 562,869 | ||||||||||||
Bank of America Corp. (Banks) | (c) | 3.093% | 10/01/2025 | 133,000 | 132,664 | |||||||||||
Bank of America Corp. (Banks) | 4.183% | 11/25/2027 | 266,000 | 277,699 | ||||||||||||
Bank of America Corp. (Banks) | (c) | 4.244% | 04/24/2038 | 269,000 | 291,521 | |||||||||||
Bank of New York Mellon Corp. / The (Capital Markets) | 2.450% | 08/17/2026 | 44,000 | 41,777 | ||||||||||||
Bank of New York Mellon Corp. / The (Capital Markets) | 3.250% | 05/16/2027 | 349,000 | 352,653 | ||||||||||||
Capital One Financial Corp. (Consumer Finance) | 3.300% | 10/30/2024 | 402,000 | 400,453 | ||||||||||||
CBOE Global Markets, Inc. (Capital Markets) | 3.650% | 01/12/2027 | 267,000 | 274,927 | ||||||||||||
Charles Schwab Corp. / The (Capital Markets) | 3.000% | 03/10/2025 | 127,000 | 126,549 | ||||||||||||
Charles Schwab Corp. / The (Capital Markets) | 3.200% | 01/25/2028 | 158,000 | 158,200 | ||||||||||||
Citigroup, Inc. (Banks) | (c) | QL + 143 | 09/01/2023 | 266,000 | 273,800 | |||||||||||
Citigroup, Inc. (Banks) | 3.200% | 10/21/2026 | 172,000 | 170,608 | ||||||||||||
Citigroup, Inc. (Banks) | (c) | 3.887% | 01/10/2028 | 448,000 | 463,587 | |||||||||||
Citizens Financial Group, Inc. (Banks) | 3.750% | 07/01/2024 | 47,000 | 46,960 | ||||||||||||
Citizens Financial Group, Inc. (Banks) | 4.350% | 08/01/2025 | 41,000 | 42,636 | ||||||||||||
Citizens Financial Group, Inc. (Banks) | 4.300% | 12/03/2025 | 355,000 | 372,262 | ||||||||||||
Discover Financial Services (Consumer Finance) | 3.950% | 11/06/2024 | 183,000 | 186,892 | ||||||||||||
Discover Financial Services (Consumer Finance) | 3.750% | 03/04/2025 | 94,000 | 94,600 | ||||||||||||
E*TRADE Financial Corp. (Capital Markets) | 2.950% | 08/24/2022 | 263,000 | 260,746 | ||||||||||||
E*TRADE Financial Corp. (Capital Markets) | 3.800% | 08/24/2027 | 229,000 | 228,187 | ||||||||||||
General Motors Financial Co., Inc. (Consumer Finance) | 3.950% | 04/13/2024 | 529,000 | 544,488 | ||||||||||||
Goldman Sachs Group, Inc. / The (Capital Markets) | (c) | 3.272% | 09/29/2025 | 345,000 | 343,531 | |||||||||||
Goldman Sachs Group, Inc. / The (Capital Markets) | 3.750% | 02/25/2026 | 204,000 | 209,270 | ||||||||||||
Goldman Sachs Group, Inc. / The (Capital Markets) | 3.500% | 11/16/2026 | 543,000 | 546,041 | ||||||||||||
JPMorgan Chase & Co. (Banks) | 2.295% | 08/15/2021 | 292,000 | 289,355 | ||||||||||||
JPMorgan Chase & Co. (Banks) | 3.375% | 05/01/2023 | 370,000 | 376,035 | ||||||||||||
JPMorgan Chase & Co. (Banks) | 3.875% | 09/10/2024 | 93,000 | 96,989 | ||||||||||||
JPMorgan Chase & Co. (Banks) | (c) | 3.782% | 02/01/2028 | 374,000 | 387,448 | |||||||||||
Lazard Group LLC (Capital Markets) | 4.250% | 11/14/2020 | 134,000 | 139,561 | ||||||||||||
LeasePlan Corp. N.V. (Diversified Financial Svs.) | (b) | 2.500% | 05/16/2018 | 352,000 | 352,040 | |||||||||||
Morgan Stanley (Capital Markets) | (c) | 3.591% | 07/22/2028 | 502,000 | 506,471 | |||||||||||
Neuberger Berman Group LLC / Neuberger Berman Finance Corp. (Capital Markets) | (b) | 4.875% | 04/15/2045 | 27,000 | 27,510 | |||||||||||
Quicken Loans, Inc. (Thrifts & Mortgage Finance) | (b) | 5.250% | 01/15/2028 | 269,000 | 265,557 | |||||||||||
Raymond James Financial, Inc. (Capital Markets) | 3.625% | 09/15/2026 | 132,000 | 132,583 | ||||||||||||
Raymond James Financial, Inc. (Capital Markets) | 4.950% | 07/15/2046 | 236,000 | 266,573 | ||||||||||||
Santander U.K. PLC (Banks) | (b) | 5.000% | 11/07/2023 | 857,000 | 915,755 |
104 | (continued) |
Ohio National Fund, Inc. | Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments
|
December 31, 2017
|
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||
FINANCIALS (continued) | ||||||||||||||||
SVB Financial Group (Banks) | 5.375% | 09/15/2020 | $ | 139,000 | $ | 148,549 | ||||||||||
Synchrony Financial (Consumer Finance) | 4.500% | 07/23/2025 | 291,000 | 304,027 | ||||||||||||
Synchrony Financial (Consumer Finance) | 3.700% | 08/04/2026 | 304,000 | 299,640 | ||||||||||||
TD Ameritrade Holding Corp. (Capital Markets) | 2.950% | 04/01/2022 | 146,000 | 147,731 | ||||||||||||
TD Ameritrade Holding Corp. (Capital Markets) | 3.625% | 04/01/2025 | 89,000 | 92,116 | ||||||||||||
Wells Fargo & Co. (Banks) | 3.000% | 04/22/2026 | 106,000 | 103,969 | ||||||||||||
Wells Fargo & Co. (Banks) | 4.100% | 06/03/2026 | 287,000 | 300,876 | ||||||||||||
Wells Fargo & Co. (Banks) | 4.300% | 07/22/2027 | 250,000 | 266,124 | ||||||||||||
|
| |||||||||||||||
11,926,579 | ||||||||||||||||
|
| |||||||||||||||
HEALTH CARE – 1.0% | ||||||||||||||||
Abbott Laboratories (Health Care Equip. & Supplies) | 3.875% | 09/15/2025 | 41,000 | 42,397 | ||||||||||||
Abbott Laboratories (Health Care Equip. & Supplies) | 3.750% | 11/30/2026 | 66,000 | 67,755 | ||||||||||||
Aetna, Inc. (Health Care Providers & Svs.) | 2.800% | 06/15/2023 | 127,000 | 124,972 | ||||||||||||
Becton Dickinson and Co. (Health Care Equip. & Supplies) | 2.894% | 06/06/2022 | 133,000 | 132,151 | ||||||||||||
Becton Dickinson and Co. (Health Care Equip. & Supplies) | 3.363% | 06/06/2024 | 297,000 | 297,766 | ||||||||||||
Becton Dickinson and Co. (Health Care Equip. & Supplies) | 3.700% | 06/06/2027 | 210,000 | 211,559 | ||||||||||||
Celgene Corp. (Biotechnology) | 2.750% | 02/15/2023 | 163,000 | 161,631 | ||||||||||||
Centene Corp. (Health Care Providers & Svs.) | 4.750% | 05/15/2022 | 15,000 | 15,563 | ||||||||||||
Centene Corp. (Health Care Providers & Svs.) | 6.125% | 02/15/2024 | 46,000 | 48,645 | ||||||||||||
Centene Corp. (Health Care Providers & Svs.) | 4.750% | 01/15/2025 | 64,000 | 65,120 | ||||||||||||
Express Scripts Holding Co. (Health Care Providers & Svs.) | 3.500% | 06/15/2024 | 93,000 | 93,803 | ||||||||||||
Express Scripts Holding Co. (Health Care Providers & Svs.) | 3.400% | 03/01/2027 | 111,000 | 108,895 | ||||||||||||
HCA, Inc. (Health Care Providers & Svs.) | 3.750% | 03/15/2019 | 180,000 | 181,575 | ||||||||||||
HCA, Inc. (Health Care Providers & Svs.) | 5.000% | 03/15/2024 | 189,000 | 196,560 | ||||||||||||
HCA, Inc. (Health Care Providers & Svs.) | 5.250% | 06/15/2026 | 145,000 | 153,700 | ||||||||||||
HCA, Inc. (Health Care Providers & Svs.) | 4.500% | 02/15/2027 | 168,000 | 168,840 | ||||||||||||
LifePoint Health, Inc. (Health Care Providers & Svs.) | 5.500% | 12/01/2021 | 17,000 | 17,340 | ||||||||||||
Shire Acquisitions Investments Ireland DAC (Biotechnology) | 2.400% | 09/23/2021 | 170,000 | 167,306 | ||||||||||||
Shire Acquisitions Investments Ireland DAC (Biotechnology) | 3.200% | 09/23/2026 | 228,000 | 222,866 | ||||||||||||
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 2.375% | 10/15/2022 | 102,000 | 101,000 | ||||||||||||
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 3.750% | 07/15/2025 | 185,000 | 194,948 | ||||||||||||
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 3.100% | 03/15/2026 | 84,000 | 84,598 | ||||||||||||
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 3.450% | 01/15/2027 | 62,000 | 64,118 | ||||||||||||
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 3.375% | 04/15/2027 | 42,000 | 43,147 | ||||||||||||
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 2.950% | 10/15/2027 | 196,000 | 195,368 | ||||||||||||
Universal Health Services, Inc. (Health Care Providers & Svs.) | (b) | 4.750% | 08/01/2022 | 159,000 | 161,981 | |||||||||||
WellCare Health Plans, Inc. (Health Care Providers & Svs.) | 5.250% | 04/01/2025 | 169,000 | 178,295 | ||||||||||||
|
| |||||||||||||||
3,501,899 | ||||||||||||||||
|
| |||||||||||||||
INDUSTRIALS – 1.1% | ||||||||||||||||
Cintas Corp. No. 2 (Commercial Svs. & Supplies) | 4.300% | 06/01/2021 | 45,000 | 47,442 | ||||||||||||
CNH Industrial Capital LLC (Machinery) | 3.625% | 04/15/2018 | 296,000 | 297,533 | ||||||||||||
Equifax, Inc. (Professional Svs.) | 2.300% | 06/01/2021 | 66,000 | 64,417 | ||||||||||||
Equifax, Inc. (Professional Svs.) | 3.300% | 12/15/2022 | 219,000 | 217,548 | ||||||||||||
Huntington Ingalls Industries, Inc. (Aerospace & Defense) | (b) | 5.000% | 11/15/2025 | 59,000 | 63,130 | |||||||||||
IHS Markit Ltd. (Professional Svs.) | (b) | 5.000% | 11/01/2022 | 26,000 | 28,189 | |||||||||||
IHS Markit Ltd. (Professional Svs.) | (b) | 4.750% | 02/15/2025 | 157,000 | 165,635 | |||||||||||
IHS Markit Ltd. (Professional Svs.) | (b) | 4.000% | 03/01/2026 | 287,000 | 286,641 | |||||||||||
Northrop Grumman Corp. (Aerospace & Defense) | 2.550% | 10/15/2022 | 285,000 | 282,931 | ||||||||||||
Northrop Grumman Corp. (Aerospace & Defense) | 2.930% | 01/15/2025 | 245,000 | 243,486 | ||||||||||||
Northrop Grumman Corp. (Aerospace & Defense) | 3.250% | 01/15/2028 | 301,000 | 301,345 | ||||||||||||
Northrop Grumman Corp. (Aerospace & Defense) | 4.030% | 10/15/2047 | 192,000 | 200,466 | ||||||||||||
Owens Corning (Building Products) | 4.200% | 12/01/2024 | 153,000 | 160,258 | ||||||||||||
Owens Corning (Building Products) | 3.400% | 08/15/2026 | 63,000 | 61,820 | ||||||||||||
Penske Truck Leasing Co. LP / PTL Finance Corp. (Road & Rail) | (b) | 3.375% | 03/15/2018 | 237,000 | 237,704 | |||||||||||
Rockwell Collins, Inc. (Aerospace & Defense) | 3.200% | 03/15/2024 | 114,000 | 114,850 | ||||||||||||
Rockwell Collins, Inc. (Aerospace & Defense) | 3.500% | 03/15/2027 | 195,000 | 198,489 | ||||||||||||
Verisk Analytics, Inc. (Professional Svs.) | 4.875% | 01/15/2019 | 82,000 | 83,962 | ||||||||||||
Verisk Analytics, Inc. (Professional Svs.) | 5.800% | 05/01/2021 | 211,000 | 229,572 | ||||||||||||
Verisk Analytics, Inc. (Professional Svs.) | 4.125% | 09/12/2022 | 184,000 | 192,068 | ||||||||||||
Verisk Analytics, Inc. (Professional Svs.) | 5.500% | 06/15/2045 | 222,000 | 258,436 | ||||||||||||
|
| |||||||||||||||
3,735,922 | ||||||||||||||||
|
| |||||||||||||||
INFORMATION TECHNOLOGY – 1.0% | ||||||||||||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd. (Semiconductors & Equip.) | (b) | 3.625% | 01/15/2024 | 188,000 | 186,906 | |||||||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd. (Semiconductors & Equip.) | (b) | 3.875% | 01/15/2027 | 755,000 | 742,749 | |||||||||||
Cadence Design Systems, Inc. (Software) | 4.375% | 10/15/2024 | 203,000 | 215,322 | ||||||||||||
First Data Corp. (IT Svs.) | (b) | 7.000% | 12/01/2023 | 266,000 | 281,295 | |||||||||||
NXP BV / NXP Funding LLC (Semiconductors & Equip.) | (b) | 4.125% | 06/01/2021 | 262,000 | 267,240 |
105 | (continued) |
Ohio National Fund, Inc. | Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments
|
December 31, 2017
|
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||
INFORMATION TECHNOLOGY (continued) | ||||||||||||||||
NXP BV / NXP Funding LLC (Semiconductors & Equip.) | (b) | 3.875% | 09/01/2022 | $ | 292,000 | $ | 295,285 | |||||||||
Total System Services, Inc. (IT Svs.) | 3.800% | 04/01/2021 | 134,000 | 137,333 | ||||||||||||
Total System Services, Inc. (IT Svs.) | 4.800% | 04/01/2026 | 369,000 | 399,121 | ||||||||||||
Trimble, Inc. (Electronic Equip., Instr. & Comp.) | 4.750% | 12/01/2024 | 270,000 | 291,330 | ||||||||||||
TSMC Global Ltd. (Semiconductors & Equip.) | (b) | 1.625% | 04/03/2018 | 451,000 | 450,198 | |||||||||||
VMware, Inc. (Software) | 3.900% | 08/21/2027 | 105,000 | 105,965 | ||||||||||||
|
| |||||||||||||||
3,372,744 | ||||||||||||||||
|
| |||||||||||||||
MATERIALS – 0.8% | ||||||||||||||||
Ball Corp. (Containers & Packaging) | 4.375% | 12/15/2020 | 187,000 | 193,545 | ||||||||||||
CF Industries, Inc. (Chemicals) | (b) | 4.500% | 12/01/2026 | 197,000 | 205,300 | |||||||||||
Freeport-McMoRan, Inc. (Metals & Mining) | 3.100% | 03/15/2020 | 76,000 | 75,525 | ||||||||||||
Georgia-Pacific LLC (Paper & Forest Products) | (b) | 3.163% | 11/15/2021 | 99,000 | 100,755 | |||||||||||
Georgia-Pacific LLC (Paper & Forest Products) | (b) | 3.600% | 03/01/2025 | 386,000 | 396,612 | |||||||||||
Martin Marietta Materials, Inc. (Construction Materials) | 4.250% | 07/02/2024 | 103,000 | 108,321 | ||||||||||||
Reliance Steel & Aluminum Co. (Metals & Mining) | 4.500% | 04/15/2023 | 116,000 | 122,258 | ||||||||||||
Sherwin-Williams Co. / The (Chemicals) | 2.750% | 06/01/2022 | 78,000 | 77,687 | ||||||||||||
Sherwin-Williams Co. / The (Chemicals) | 3.125% | 06/01/2024 | 91,000 | 91,482 | ||||||||||||
Sherwin-Williams Co. / The (Chemicals) | 3.450% | 06/01/2027 | 259,000 | 263,067 | ||||||||||||
Sherwin-Williams Co. / The (Chemicals) | 4.500% | 06/01/2047 | 66,000 | 72,094 | ||||||||||||
Steel Dynamics, Inc. (Metals & Mining) | (b) | 4.125% | 09/15/2025 | 197,000 | 198,478 | |||||||||||
Steel Dynamics, Inc. (Metals & Mining) | 5.000% | 12/15/2026 | 89,000 | 94,118 | ||||||||||||
Teck Resources Ltd. (Metals & Mining) | 4.500% | 01/15/2021 | 82,000 | 84,558 | ||||||||||||
Teck Resources Ltd. (Metals & Mining) | 4.750% | 01/15/2022 | 118,000 | 123,168 | ||||||||||||
Teck Resources Ltd. (Metals & Mining) | (b) | 8.500% | 06/01/2024 | 190,000 | 214,700 | |||||||||||
Vulcan Materials Co. (Construction Materials) | 4.500% | 04/01/2025 | 223,000 | 237,577 | ||||||||||||
|
| |||||||||||||||
2,659,245 | ||||||||||||||||
|
| |||||||||||||||
REAL ESTATE – 1.2% | ||||||||||||||||
Alexandria Real Estate Equities, Inc. (Equity REIT) | 2.750% | 01/15/2020 | 152,000 | 152,633 | ||||||||||||
Alexandria Real Estate Equities, Inc. (Equity REIT) | 4.600% | 04/01/2022 | 257,000 | 272,873 | ||||||||||||
Alexandria Real Estate Equities, Inc. (Equity REIT) | 4.500% | 07/30/2029 | 190,000 | 201,342 | ||||||||||||
American Tower Corp. (Equity REIT) | 3.300% | 02/15/2021 | 270,000 | 274,926 | ||||||||||||
American Tower Corp. (Equity REIT) | 3.450% | 09/15/2021 | 26,000 | 26,571 | ||||||||||||
American Tower Corp. (Equity REIT) | 3.500% | 01/31/2023 | 49,000 | 50,095 | ||||||||||||
American Tower Corp. (Equity REIT) | 4.400% | 02/15/2026 | 168,000 | 176,623 | ||||||||||||
American Tower Corp. (Equity REIT) | 3.375% | 10/15/2026 | 318,000 | 312,344 | ||||||||||||
Crown Castle International Corp. (Equity REIT) | 5.250% | 01/15/2023 | 222,000 | 243,045 | ||||||||||||
Crown Castle International Corp. (Equity REIT) | 3.200% | 09/01/2024 | 177,000 | 175,125 | ||||||||||||
Crown Castle International Corp. (Equity REIT) | 3.650% | 09/01/2027 | 321,000 | 320,119 | ||||||||||||
Digital Realty Trust LP (Equity REIT) | 3.700% | 08/15/2027 | 103,000 | 103,719 | ||||||||||||
Iron Mountain, Inc. (Equity REIT) | (b) | 4.875% | 09/15/2027 | 308,000 | 308,000 | |||||||||||
Iron Mountain, Inc. (Equity REIT) | (b) | 5.250% | 03/15/2028 | 242,000 | 240,790 | |||||||||||
Jones Lang LaSalle, Inc. (Real Estate Mgmt. & Development) | 4.400% | 11/15/2022 | 197,000 | 207,525 | ||||||||||||
Kennedy-Wilson, Inc. (Real Estate Mgmt. & Development) | 5.875% | 04/01/2024 | 601,000 | 620,533 | ||||||||||||
Senior Housing Properties Trust (Equity REIT) | 6.750% | 12/15/2021 | 61,000 | 67,494 | ||||||||||||
SL Green Realty Corp. (Equity REIT) | 5.000% | 08/15/2018 | 85,000 | 86,041 | ||||||||||||
SL Green Realty Corp. (Equity REIT) | 7.750% | 03/15/2020 | 237,000 | 260,755 | ||||||||||||
|
| |||||||||||||||
4,100,553 | ||||||||||||||||
|
| |||||||||||||||
TELECOMMUNICATION SERVICES – 0.6% | ||||||||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 3.400% | 08/14/2024 | 187,000 | 187,919 | ||||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 4.250% | 03/01/2027 | 93,000 | 94,780 | ||||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 3.900% | 08/14/2027 | 154,000 | 154,985 | ||||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | (b) | 4.100% | 02/15/2028 | 253,000 | 253,762 | |||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 5.250% | 03/01/2037 | 74,000 | 78,212 | ||||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 5.150% | 02/14/2050 | 109,000 | 109,544 | ||||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 5.300% | 08/14/2058 | 243,000 | 243,572 | ||||||||||||
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 2.625% | 08/15/2026 | 595,000 | 560,267 | ||||||||||||
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 4.125% | 03/16/2027 | 141,000 | 146,981 | ||||||||||||
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 4.125% | 08/15/2046 | 201,000 | 185,517 | ||||||||||||
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 4.862% | 08/21/2046 | 105,000 | 109,275 | ||||||||||||
|
| |||||||||||||||
2,124,814 | ||||||||||||||||
|
| |||||||||||||||
UTILITIES – 0.7% | ||||||||||||||||
Dominion Energy, Inc. (Multi-Utilities) | 2.000% | 08/15/2021 | 29,000 | 28,336 | ||||||||||||
Dominion Energy, Inc. (Multi-Utilities) | 2.850% | 08/15/2026 | 48,000 | 46,343 | ||||||||||||
Duke Energy Corp. (Electric Utilities) | 1.800% | 09/01/2021 | 96,000 | 93,365 | ||||||||||||
Duke Energy Corp. (Electric Utilities) | 2.400% | 08/15/2022 | 116,000 | 113,954 | ||||||||||||
Duke Energy Corp. (Electric Utilities) | 2.650% | 09/01/2026 | 249,000 | 238,517 |
106 | (continued) |
Ohio National Fund, Inc. | Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments
|
December 31, 2017
|
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||
UTILITIES (continued) | ||||||||||||||||
Duke Energy Corp. (Electric Utilities) | 3.150% | 08/15/2027 | $ | 178,000 | $ | 176,660 | ||||||||||
NextEra Energy Operating Partners LP (Ind. Power & Renewable Elec.) | (b) | 4.250% | 09/15/2024 | 37,000 | 37,647 | |||||||||||
NextEra Energy Operating Partners LP (Ind. Power & Renewable Elec.) | (b) | 4.500% | 09/15/2027 | 73,000 | 72,635 | |||||||||||
PPL Capital Funding, Inc. (Electric Utilities) | 3.100% | 05/15/2026 | 288,000 | 281,800 | ||||||||||||
PPL WEM Ltd. / Western Power Distribution Ltd. (Electric Utilities) | (b) | 5.375% | 05/01/2021 | 203,000 | 217,542 | |||||||||||
Southern Co. / The (Electric Utilities) | 2.350% | 07/01/2021 | 396,000 | 393,610 | ||||||||||||
Southern Co. / The (Electric Utilities) | 2.950% | 07/01/2023 | 192,000 | 192,064 | ||||||||||||
Southern Co. / The (Electric Utilities) | 3.250% | 07/01/2026 | 396,000 | 388,261 | ||||||||||||
|
| |||||||||||||||
2,280,734 | ||||||||||||||||
|
| |||||||||||||||
Total Corporate Bonds (Cost $46,455,888) | $ | 46,737,914 | ||||||||||||||
|
| |||||||||||||||
U.S. Government Agency Mortgage-Backed Securities – 7.7% | Rate | Maturity | Face Amount |
|
Value |
| ||||||||||
Fannie Mae Pool FN AB8407 | 3.500% | 02/01/2043 | $ | 32,189 | $ | 33,194 | ||||||||||
Fannie Mae Pool FN AE0009 | 5.500% | 04/01/2040 | 159,638 | 175,631 | ||||||||||||
Fannie Mae Pool FN AL5310 | 3.500% | 04/01/2044 | 5,167 | 5,351 | ||||||||||||
Fannie Mae Pool FN AL5398 | 5.500% | 05/01/2041 | 4,380 | 4,828 | ||||||||||||
Fannie Mae Pool FN AL5887 | 4.500% | 10/01/2044 | 34,941 | 37,900 | ||||||||||||
Fannie Mae Pool FN AL5942 | 5.000% | 07/01/2044 | 187,691 | 206,092 | ||||||||||||
Fannie Mae Pool FN AL5970 | 5.500% | 07/01/2041 | 24,229 | 26,681 | ||||||||||||
Fannie Mae Pool FN AL6348 | 3.500% | 02/01/2045 | 41,977 | 43,293 | ||||||||||||
Fannie Mae Pool FN AL6542 | 4.500% | 03/01/2045 | 58,090 | 63,016 | ||||||||||||
Fannie Mae Pool FN AL6620 | 4.500% | 08/01/2042 | 346,005 | 375,270 | ||||||||||||
Fannie Mae Pool FN AL6997 | 4.500% | 11/01/2042 | 26,176 | 28,249 | ||||||||||||
Fannie Mae Pool FN AL7343 | 5.500% | 02/01/2042 | 98,683 | 108,661 | ||||||||||||
Fannie Mae Pool FN AL7344 | 5.500% | 06/01/2041 | 24,234 | 27,042 | ||||||||||||
Fannie Mae Pool FN AL7381 | 4.500% | 06/01/2045 | 141,473 | 151,460 | ||||||||||||
Fannie Mae Pool FN AL7668 | 5.500% | 05/01/2044 | 70,094 | 77,188 | ||||||||||||
Fannie Mae Pool FN AL7936 | 4.500% | 09/01/2045 | 748,328 | 811,799 | ||||||||||||
Fannie Mae Pool FN AL8824 | 3.500% | 07/01/2046 | 236,666 | 244,825 | ||||||||||||
Fannie Mae Pool FN AL9366 | 4.500% | 11/01/2046 | 137,374 | 148,485 | ||||||||||||
Fannie Mae Pool FN AL9837 | 4.500% | 02/01/2047 | 461,853 | 498,180 | ||||||||||||
Fannie Mae Pool FN AR2624 | 3.500% | 02/01/2043 | 49,421 | 50,966 | ||||||||||||
Fannie Mae Pool FN AS6474 | 3.500% | 01/01/2046 | 203,427 | 210,678 | ||||||||||||
Fannie Mae Pool FN AS6539 | 3.500% | 01/01/2046 | 202,890 | 210,122 | ||||||||||||
Fannie Mae Pool FN AS7565 | 4.500% | 07/01/2046 | 165,360 | 178,316 | ||||||||||||
Fannie Mae Pool FN AS7587 | 3.500% | 07/01/2046 | 240,454 | 248,536 | ||||||||||||
Fannie Mae Pool FN AS7822 | 3.500% | 08/01/2046 | 687,168 | 708,370 | ||||||||||||
Fannie Mae Pool FN AS8137 | 4.000% | 10/01/2046 | 99,457 | 105,189 | ||||||||||||
Fannie Mae Pool FN AS8510 | 4.500% | 12/01/2046 | 86,893 | 93,415 | ||||||||||||
Fannie Mae Pool FN AS9751 | 4.000% | 05/01/2047 | 59,271 | 62,057 | ||||||||||||
Fannie Mae Pool FN AS9962 | 4.000% | 07/01/2047 | 272,320 | 288,162 | ||||||||||||
Fannie Mae Pool FN AZ9203 | 3.000% | 10/01/2045 | 87,880 | 87,943 | ||||||||||||
Fannie Mae Pool FN BA2885 | 3.000% | 10/01/2045 | 137,727 | 137,831 | ||||||||||||
Fannie Mae Pool FN BA4752 | 3.000% | 01/01/2046 | 17,811 | 17,825 | ||||||||||||
Fannie Mae Pool FN BC2468 | 3.000% | 03/01/2046 | 398,849 | 399,131 | ||||||||||||
Fannie Mae Pool FN BC2488 | 3.000% | 03/01/2046 | 592,680 | 593,100 | ||||||||||||
Fannie Mae Pool FN BD0667 | 4.500% | 06/01/2047 | 20,662 | 22,264 | ||||||||||||
Fannie Mae Pool FN BD5249 | 4.000% | 08/01/2046 | 12,721 | 13,465 | ||||||||||||
Fannie Mae Pool FN BD7765 | 4.000% | 08/01/2046 | 10,854 | 11,489 | ||||||||||||
Fannie Mae Pool FN BD7794 | 4.000% | 08/01/2046 | 8,238 | 8,720 | ||||||||||||
Fannie Mae Pool FN BD8952 | 3.000% | 11/01/2046 | 47,634 | 47,761 | ||||||||||||
Fannie Mae Pool FN BD8980 | 3.000% | 11/01/2046 | 44,779 | 44,899 | ||||||||||||
Fannie Mae Pool FN BE0633 | 3.500% | 06/01/2047 | 11,911 | 12,277 | ||||||||||||
Fannie Mae Pool FN BE0637 | 4.000% | 07/01/2047 | 8,028 | 8,435 | ||||||||||||
Fannie Mae Pool FN BE0639 | 3.500% | 08/01/2047 | 11,957 | 12,331 | ||||||||||||
Fannie Mae Pool FN BE0640 | 4.500% | 08/01/2047 | 18,281 | 19,698 | ||||||||||||
Fannie Mae Pool FN BE2717 | 4.500% | 07/01/2047 | 13,107 | 14,123 | ||||||||||||
Fannie Mae Pool FN BE2731 | 3.500% | 07/01/2047 | 23,008 | 23,728 | ||||||||||||
Fannie Mae Pool FN BE2732 | 4.000% | 07/01/2047 | 26,680 | 28,174 | ||||||||||||
Fannie Mae Pool FN BE2733 | 4.500% | 07/01/2047 | 14,685 | 15,823 | ||||||||||||
Fannie Mae Pool FN BE2772 | 3.500% | 10/01/2047 | 5,983 | 6,178 | ||||||||||||
Fannie Mae Pool FN BE2773 | 4.000% | 09/01/2047 | 3,988 | 4,221 | ||||||||||||
Fannie Mae Pool FN BE2774 | 4.000% | 10/01/2047 | 58,817 | 61,816 | ||||||||||||
Fannie Mae Pool FN BE2781 | 3.500% | 11/01/2047 | 32,830 | 33,975 | ||||||||||||
Fannie Mae Pool FN BE2783 | 4.000% | 11/01/2047 | 12,788 | 13,547 | ||||||||||||
Fannie Mae Pool FN BE2784 | 4.000% | 11/01/2047 | 78,944 | 82,949 | ||||||||||||
Fannie Mae Pool FN BE2786 | 4.500% | 11/01/2047 | 71,766 | 77,330 | ||||||||||||
Fannie Mae Pool FN BE4479 | 3.500% | 12/01/2046 | 16,236 | 16,731 |
107 | (continued) |
Ohio National Fund, Inc. | Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments
|
December 31, 2017
|
U.S. Government Agency Mortgage-Backed Securities (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||
Fannie Mae Pool FN BE5870 | 3.500% | 01/01/2047 | $ | 60,753 | $ | 62,604 | ||||||||||
Fannie Mae Pool FN BE8484 | 3.500% | 01/01/2047 | 7,344 | 7,568 | ||||||||||||
Fannie Mae Pool FN BE8515 | 3.500% | 01/01/2047 | 10,894 | 11,226 | ||||||||||||
Fannie Mae Pool FN BE8518 | 4.000% | 03/01/2047 | 16,566 | 17,529 | ||||||||||||
Fannie Mae Pool FN BE9800 | 3.500% | 12/01/2046 | 3,780 | 3,896 | ||||||||||||
Fannie Mae Pool FN BE9802 | 4.000% | 03/01/2047 | 4,460 | 4,718 | ||||||||||||
Fannie Mae Pool FN BE9835 | 4.000% | 03/01/2047 | 4,436 | 4,693 | ||||||||||||
Fannie Mae Pool FN BF0091 | 3.500% | 05/01/2056 | 369,573 | 380,312 | ||||||||||||
Fannie Mae Pool FN BH1612 | 4.000% | 04/01/2047 | 17,394 | 18,403 | ||||||||||||
Fannie Mae Pool FN BH1613 | 4.000% | 04/01/2047 | 21,587 | 22,802 | ||||||||||||
Fannie Mae Pool FN BH1638 | 4.000% | 05/01/2047 | 18,188 | 19,244 | ||||||||||||
Fannie Mae Pool FN BH1639 | 4.000% | 04/01/2047 | 15,322 | 16,184 | ||||||||||||
Fannie Mae Pool FN BH2795 | 3.000% | 12/01/2047 | 100,000 | 100,071 | ||||||||||||
Fannie Mae Pool FN BH2838 | 3.000% | 12/01/2047 | 49,000 | 49,035 | ||||||||||||
Fannie Mae Pool FN BH3301 | 4.000% | 05/01/2047 | 14,216 | 15,041 | ||||||||||||
Fannie Mae Pool FN BH3302 | 4.000% | 05/01/2047 | 23,015 | 24,310 | ||||||||||||
Fannie Mae Pool FN BH3305 | 4.500% | 05/01/2047 | 30,362 | 32,870 | ||||||||||||
Fannie Mae Pool FN BH3306 | 4.500% | 05/01/2047 | 25,001 | 26,976 | ||||||||||||
Fannie Mae Pool FN BH3307 | 4.500% | 05/01/2047 | 24,538 | 26,440 | ||||||||||||
Fannie Mae Pool FN BH3333 | 4.000% | 06/01/2047 | 68,816 | 72,689 | ||||||||||||
Fannie Mae Pool FN BH3336 | 4.500% | 05/01/2047 | 18,480 | 20,014 | ||||||||||||
Fannie Mae Pool FN BH3337 | 4.500% | 05/01/2047 | 15,046 | 16,281 | ||||||||||||
Fannie Mae Pool FN BH3338 | 4.500% | 05/01/2047 | 17,195 | 18,528 | ||||||||||||
Fannie Mae Pool FN BH3538 | 4.000% | 07/01/2047 | 7,103 | 7,483 | ||||||||||||
Fannie Mae Pool FN BH3540 | 4.000% | 06/01/2047 | 7,016 | 7,347 | ||||||||||||
Fannie Mae Pool FN BH3892 | 3.500% | 08/01/2047 | 85,546 | 87,928 | ||||||||||||
Fannie Mae Pool FN BH4345 | 4.000% | 06/01/2047 | 32,860 | 34,767 | ||||||||||||
Fannie Mae Pool FN BH4377 | 4.000% | 06/01/2047 | 25,858 | 27,397 | ||||||||||||
Fannie Mae Pool FN BH4378 | 4.000% | 06/01/2047 | 36,848 | 38,660 | ||||||||||||
Fannie Mae Pool FN BH4380 | 4.000% | 06/01/2047 | 15,500 | 16,262 | ||||||||||||
Fannie Mae Pool FN BH4637 | 4.000% | 05/01/2047 | 5,940 | 6,289 | ||||||||||||
Fannie Mae Pool FN BH4639 | 4.500% | 06/01/2047 | 10,615 | 11,498 | ||||||||||||
Fannie Mae Pool FN BH4640 | 4.500% | 05/01/2047 | 8,432 | 9,112 | ||||||||||||
Fannie Mae Pool FN BH4663 | 4.000% | 06/01/2047 | 11,763 | 12,459 | ||||||||||||
Fannie Mae Pool FN BH4664 | 4.000% | 06/01/2047 | 33,814 | 35,761 | ||||||||||||
Fannie Mae Pool FN BH4667 | 4.500% | 05/01/2047 | 5,541 | 5,996 | ||||||||||||
Fannie Mae Pool FN BH4706 | 4.500% | 05/01/2047 | 6,110 | 6,618 | ||||||||||||
Fannie Mae Pool FN BH5669 | 4.000% | 06/01/2047 | 4,203 | 4,466 | ||||||||||||
Fannie Mae Pool FN BH5671 | 4.000% | 06/01/2047 | 9,645 | 10,186 | ||||||||||||
Fannie Mae Pool FN BH5672 | 4.000% | 06/01/2047 | 15,423 | 16,181 | ||||||||||||
Fannie Mae Pool FN BH5673 | 4.000% | 07/01/2047 | 12,591 | 13,211 | ||||||||||||
Fannie Mae Pool FN BH6162 | 3.500% | 07/01/2047 | 10,366 | 10,718 | ||||||||||||
Fannie Mae Pool FN BH6164 | 4.000% | 07/01/2047 | 12,510 | 13,245 | ||||||||||||
Fannie Mae Pool FN BH6165 | 4.000% | 07/01/2047 | 26,221 | 27,761 | ||||||||||||
Fannie Mae Pool FN BH6166 | 3.500% | 07/01/2047 | 6,264 | 6,481 | ||||||||||||
Fannie Mae Pool FN BH6168 | 4.000% | 06/01/2047 | 31,217 | 32,800 | ||||||||||||
Fannie Mae Pool FN BH6170 | 4.500% | 07/01/2047 | 68,887 | 74,228 | ||||||||||||
Fannie Mae Pool FN BH6231 | 4.000% | 07/01/2047 | 19,913 | 21,090 | ||||||||||||
Fannie Mae Pool FN BH6232 | 4.000% | 07/01/2047 | 48,386 | 51,172 | ||||||||||||
Fannie Mae Pool FN BH6233 | 4.000% | 07/01/2047 | 51,779 | 54,693 | ||||||||||||
Fannie Mae Pool FN BH6234 | 4.000% | 07/01/2047 | 67,266 | 71,051 | ||||||||||||
Fannie Mae Pool FN BH6940 | 3.500% | 08/01/2047 | 54,109 | 55,781 | ||||||||||||
Fannie Mae Pool FN BH7562 | 4.000% | 08/01/2047 | 21,161 | 22,412 | ||||||||||||
Fannie Mae Pool FN BH7563 | 4.000% | 08/01/2047 | 51,267 | 54,234 | ||||||||||||
Fannie Mae Pool FN BH7564 | 4.000% | 08/01/2047 | 68,694 | 72,560 | ||||||||||||
Fannie Mae Pool FN BH7565 | 4.000% | 08/01/2047 | 112,800 | 119,148 | ||||||||||||
Fannie Mae Pool FN BH7924 | 4.000% | 08/01/2047 | 117,495 | 123,051 | ||||||||||||
Fannie Mae Pool FN BH8163 | 3.500% | 07/01/2047 | 6,271 | 6,477 | ||||||||||||
Fannie Mae Pool FN BH8164 | 3.500% | 07/01/2047 | 13,855 | 14,295 | ||||||||||||
Fannie Mae Pool FN BH8167 | 4.000% | 07/01/2047 | 14,356 | 15,199 | ||||||||||||
Fannie Mae Pool FN BH8168 | 4.000% | 08/01/2047 | 29,846 | 31,437 | ||||||||||||
Fannie Mae Pool FN BH8169 | 3.500% | 08/01/2047 | 49,476 | 51,048 | ||||||||||||
Fannie Mae Pool FN BH8170 | 4.000% | 08/01/2047 | 48,433 | 50,890 | ||||||||||||
Fannie Mae Pool FN BH8171 | 4.500% | 08/01/2047 | 95,999 | 103,442 | ||||||||||||
Fannie Mae Pool FN BH8224 | 4.000% | 08/01/2047 | 142,454 | 149,189 | ||||||||||||
Fannie Mae Pool FN BH8357 | 4.000% | 08/01/2047 | 107,977 | 114,053 | ||||||||||||
Fannie Mae Pool FN BH8378 | 4.000% | 09/01/2047 | 79,158 | 83,613 | ||||||||||||
Fannie Mae Pool FN BH8655 | 4.000% | 08/01/2047 | 12,604 | 13,201 | ||||||||||||
Fannie Mae Pool FN BJ0220 | 4.000% | 09/01/2047 | 123,337 | 130,278 | ||||||||||||
Fannie Mae Pool FN BJ0241 | 4.000% | 09/01/2047 | 12,909 | 13,635 | ||||||||||||
Fannie Mae Pool FN BJ1584 | 3.500% | 10/01/2047 | 3,988 | 4,133 |
108 | (continued) |
Ohio National Fund, Inc. | Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments
|
December 31, 2017
|
U.S. Government Agency Mortgage-Backed Securities (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||
Fannie Mae Pool FN BJ1585 | 3.500% | 10/01/2047 | $ | 7,975 | $ | 8,246 | ||||||||||
Fannie Mae Pool FN BJ1586 | 3.500% | 10/01/2047 | 8,974 | 9,265 | ||||||||||||
Fannie Mae Pool FN BJ1587 | 4.000% | 10/01/2047 | 13,962 | 14,782 | ||||||||||||
Fannie Mae Pool FN BJ1588 | 4.000% | 10/01/2047 | 26,922 | 28,503 | ||||||||||||
Fannie Mae Pool FN BJ1605 | 3.500% | 10/01/2047 | 102,851 | 105,723 | ||||||||||||
Fannie Mae Pool FN BJ1607 | 3.500% | 08/01/2047 | 4,978 | 5,136 | ||||||||||||
Fannie Mae Pool FN BJ1735 | 4.000% | 10/01/2047 | 54,325 | 57,382 | ||||||||||||
Fannie Mae Pool FN BJ1747 | 4.000% | 10/01/2047 | 35,004 | 36,974 | ||||||||||||
Fannie Mae Pool FN BJ1758 | 4.000% | 10/01/2047 | 52,236 | 55,176 | ||||||||||||
Fannie Mae Pool FN BJ1912 | 3.000% | 11/01/2047 | 232,639 | 232,803 | ||||||||||||
Fannie Mae Pool FN BJ3260 | 4.500% | 10/01/2047 | 6,719 | 7,240 | ||||||||||||
Fannie Mae Pool FN BJ3262 | 3.500% | 11/01/2047 | 20,546 | 21,263 | ||||||||||||
Fannie Mae Pool FN BJ3265 | 4.000% | 11/01/2047 | 24,452 | 25,858 | ||||||||||||
Fannie Mae Pool FN BJ5651 | 3.500% | 12/01/2047 | 14,000 | 14,465 | ||||||||||||
Fannie Mae Pool FN BJ5760 | 3.500% | 12/01/2047 | 68,000 | 70,257 | ||||||||||||
Fannie Mae Pool FN BM3032 | 3.000% | 02/01/2047 | 761,459 | 766,179 | ||||||||||||
Fannie Mae Pool FN CA0399 | 4.500% | 09/01/2047 | 1,438,561 | 1,532,345 | ||||||||||||
Fannie Mae Pool FN CA0532 | 3.500% | 10/01/2047 | 332,898 | 342,195 | ||||||||||||
Fannie Mae TBA | (d) | 3.500% | 01/15/2048 | 949,000 | 974,908 | |||||||||||
Fannie Mae TBA | (d) | 4.000% | 01/15/2048 | 6,157,000 | 6,442,069 | |||||||||||
Fannie Mae TBA | (d) | 3.000% | 02/15/2048 | 63,000 | 62,926 | |||||||||||
Fannie Mae TBA | (d) | 3.500% | 02/15/2048 | 949,000 | 973,351 | |||||||||||
Freddie Mac Gold Pool FG G07974 | 5.500% | 08/01/2041 | 257,786 | 288,629 | ||||||||||||
Freddie Mac Gold Pool FG G07991 | 5.000% | 03/01/2042 | 183,598 | 201,411 | ||||||||||||
Freddie Mac Gold Pool FG G07992 | 5.500% | 08/01/2041 | 94,904 | 107,483 | ||||||||||||
Freddie Mac Gold Pool FG G08622 | 3.000% | 01/01/2045 | 69,130 | 69,246 | ||||||||||||
Freddie Mac Gold Pool FG G60658 | 3.500% | 07/01/2046 | 467,441 | 484,387 | ||||||||||||
Freddie Mac Gold Pool FG G60676 | 4.500% | 06/01/2046 | 230,521 | 248,323 | ||||||||||||
Freddie Mac Gold Pool FG G60989 | 3.000% | 12/01/2046 | 705,341 | 706,929 | ||||||||||||
Freddie Mac Gold Pool FG Q48695 | 4.000% | 06/01/2047 | 258,335 | 273,117 | ||||||||||||
Freddie Mac Gold Pool FG Q51221 | 3.500% | 10/01/2047 | 154,090 | 158,552 | ||||||||||||
Freddie Mac Gold Pool FG Q51328 | 3.500% | 10/01/2047 | 266,441 | 274,156 | ||||||||||||
Freddie Mac Gold Pool FG U99096 | 4.500% | 05/01/2044 | 141,030 | 151,818 | ||||||||||||
Freddie Mac Gold Pool FG U99114 | 3.500% | 02/01/2044 | 15,134 | 15,599 | ||||||||||||
Freddie Mac Gold Pool FG V82645 | 3.000% | 10/01/2046 | 379,150 | 380,003 | ||||||||||||
Ginnie Mae I Pool GN 784059 | 4.000% | 01/15/2045 | 317,764 | 333,764 | ||||||||||||
Ginnie Mae I Pool GN 784182 | 4.500% | 08/15/2046 | 512,532 | 551,968 | ||||||||||||
Ginnie Mae I Pool GN BB4357 | 4.000% | 07/15/2047 | 394,140 | 413,509 | ||||||||||||
Ginnie Mae I Pool GN BC7161 | 4.000% | 08/15/2047 | 79,545 | 83,460 | ||||||||||||
Ginnie Mae II Pool G2 BB9817 | 4.000% | 08/20/2047 | 33,866 | 35,572 | ||||||||||||
|
| |||||||||||||||
Total U.S. Government Agency Mortgage-Backed Securities | $ | 26,518,062 | ||||||||||||||
|
| |||||||||||||||
U.S. Treasury Obligations – 7.1% | Rate | Maturity | Face Amount | Value | ||||||||||||
U.S. Treasury Bill | (e) | 1.332% | 09/13/2018 | $ | 380,000 | $ | 375,603 | |||||||||
U.S. Treasury Note | 1.250% | 05/31/2019 | 234,000 | 232,047 | ||||||||||||
U.S. Treasury Note | 1.250% | 06/30/2019 | 630,000 | 624,367 | ||||||||||||
U.S. Treasury Note | 1.375% | 07/31/2019 | 22,000 | 21,832 | ||||||||||||
U.S. Treasury Note | 1.250% | 08/31/2019 | 273,000 | 270,192 | ||||||||||||
U.S. Treasury Note | 1.375% | 09/30/2019 | 279,000 | 276,564 | ||||||||||||
U.S. Treasury Note | 1.500% | 10/31/2019 | 1,356,000 | 1,346,515 | ||||||||||||
U.S. Treasury Note | 1.000% | 11/15/2019 | 1,189,000 | 1,169,729 | ||||||||||||
U.S. Treasury Note | 1.750% | 11/30/2019 | 5,949,000 | 5,933,414 | ||||||||||||
U.S. Treasury Note | 1.500% | 04/15/2020 | 14,000 | 13,868 | ||||||||||||
U.S. Treasury Note | 1.500% | 05/15/2020 | 74,000 | 73,283 | ||||||||||||
U.S. Treasury Note | 1.500% | 06/15/2020 | 85,000 | 84,134 | ||||||||||||
U.S. Treasury Note | 1.625% | 10/15/2020 | 365,000 | 361,730 | ||||||||||||
U.S. Treasury Note | 1.750% | 11/15/2020 | 1,589,000 | 1,579,742 | ||||||||||||
U.S. Treasury Note | 1.250% | 10/31/2021 | 1,207,000 | 1,169,206 | ||||||||||||
U.S. Treasury Note | 1.875% | 02/28/2022 | 293,000 | 289,809 | ||||||||||||
U.S. Treasury Note | 1.875% | 03/31/2022 | 178,000 | 175,977 | ||||||||||||
U.S. Treasury Note | 1.750% | 05/31/2022 | 584,000 | 573,772 | ||||||||||||
U.S. Treasury Note | 1.875% | 09/30/2022 | 392,000 | 386,272 | ||||||||||||
U.S. Treasury Note | 2.000% | 11/30/2022 | 194,000 | 192,207 | ||||||||||||
U.S. Treasury Note | 2.000% | 05/31/2024 | 434,000 | 425,799 | ||||||||||||
U.S. Treasury Note | 2.125% | 09/30/2024 | 146,000 | 144,129 | ||||||||||||
U.S. Treasury Note | (f) | 2.250% | 11/15/2024 | 1,865,000 | 1,854,936 | |||||||||||
U.S. Treasury Note | 2.250% | 08/15/2027 | 577,000 | 568,706 | ||||||||||||
U.S. Treasury Note | 2.250% | 11/15/2027 | 1,740,000 | 1,714,909 | ||||||||||||
U.S. Treasury Note | 2.250% | 08/15/2046 | 1,081,000 | 974,006 | ||||||||||||
U.S. Treasury Note | 3.000% | 02/15/2047 | 397,000 | 417,057 |
109 | (continued) |
Ohio National Fund, Inc. | Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments
|
December 31, 2017
|
U.S. Treasury Obligations (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||
U.S. Treasury Note | 3.000% | 05/15/2047 | $ | 470,000 | $ | 493,598 | ||||||||||
U.S. Treasury Note | 2.750% | 08/15/2047 | 835,000 | 835,105 | ||||||||||||
U.S. Treasury Note | 2.750% | 11/15/2047 | 1,837,000 | 1,837,946 | ||||||||||||
|
| |||||||||||||||
Total U.S. Treasury Obligations (Cost $24,485,806) | $ | 24,416,454 | ||||||||||||||
|
| |||||||||||||||
Purchased Options – 6.9% | Notional Amount | Expiration | Exercise Price | Contracts (g) | Value | |||||||||||
S&P 500 Index Call Option | $10,159,718 | December 2019 | $2,300 | 38 | $ | 1,878,720 | ||||||||||
S&P 500 Index Call Option | 24,597,212 | December 2019 | $2,350 | 92 | 4,207,160 | |||||||||||
S&P 500 Index Call Option | 20,319,436 | December 2019 | $2,400 | 76 | 3,199,600 | |||||||||||
S&P 500 Index Call Option | 4,010,415 | December 2019 | $2,450 | 15 | 578,400 | |||||||||||
S&P 500 Index Call Option | 12,031,245 | December 2019 | $2,500 | 45 | 1,641,150 | |||||||||||
S&P 500 Index Call Option | 3,208,332 | December 2019 | $2,600 | 12 | 343,080 | |||||||||||
S&P 500 Index Call Option | 1,336,805 | December 2019 | $2,800 | 5 | 85,850 | |||||||||||
S&P 500 Index Put Option | 10,159,718 | December 2019 | $2,300 | 38 | 429,020 | |||||||||||
S&P 500 Index Put Option | 24,597,212 | December 2019 | $2,350 | 92 | 1,137,120 | |||||||||||
S&P 500 Index Put Option | 20,319,436 | December 2019 | $2,400 | 76 | 1,029,800 | |||||||||||
S&P 500 Index Put Option | 4,010,415 | December 2019 | $2,450 | 15 | 218,100 | |||||||||||
S&P 500 Index Put Option | 12,031,245 | December 2019 | $2,500 | 45 | 725,850 | |||||||||||
S&P 500 Index Put Option | 3,208,332 | December 2019 | $2,600 | 12 | 226,440 | |||||||||||
S&P 500 Index Put Option | 1,336,805 | December 2019 | $2,800 | 5 | 134,550 | |||||||||||
SPDR S&P 500 ETF Trust Call Option | 2,695,286 | December 2019 | $230 | 101 | 502,071 | |||||||||||
SPDR S&P 500 ETF Trust Call Option | 3,068,890 | December 2019 | $235 | 115 | 524,400 | |||||||||||
SPDR S&P 500 ETF Trust Call Option | 5,177,084 | December 2019 | $240 | 194 | 813,442 | |||||||||||
SPDR S&P 500 ETF Trust Call Option | 5,070,340 | December 2019 | $245 | 190 | 742,330 | |||||||||||
SPDR S&P 500 ETF Trust Call Option | 4,803,480 | December 2019 | $250 | 180 | 634,500 | |||||||||||
SPDR S&P 500 ETF Trust Call Option | 2,535,170 | December 2019 | $255 | 95 | 306,755 | |||||||||||
SPDR S&P 500 ETF Trust Call Option | 4,536,620 | December 2019 | $260 | 170 | 494,870 | |||||||||||
SPDR S&P 500 ETF Trust Call Option | 4,883,538 | December 2019 | $265 | 183 | 474,519 | |||||||||||
SPDR S&P 500 ETF Trust Call Option | 2,268,310 | December 2019 | $270 | 85 | 197,200 | |||||||||||
SPDR S&P 500 ETF Trust Call Option | 2,668,600 | December 2019 | $275 | 100 | 201,100 | |||||||||||
SPDR S&P 500 ETF Trust Call Option | 3,202,320 | December 2019 | $280 | 120 | 197,280 | |||||||||||
SPDR S&P 500 ETF Trust Call Option | 1,040,754 | December 2019 | $285 | 39 | 58,890 | |||||||||||
SPDR S&P 500 ETF Trust Put Option | 2,695,286 | December 2019 | $230 | 101 | 113,524 | |||||||||||
SPDR S&P 500 ETF Trust Put Option | 3,068,890 | December 2019 | $235 | 115 | 143,290 | |||||||||||
SPDR S&P 500 ETF Trust Put Option | 5,177,084 | December 2019 | $240 | 194 | 264,810 | |||||||||||
SPDR S&P 500 ETF Trust Put Option | 5,070,340 | December 2019 | $245 | 190 | 282,150 | |||||||||||
SPDR S&P 500 ETF Trust Put Option | 4,803,480 | December 2019 | $250 | 180 | 297,000 | |||||||||||
SPDR S&P 500 ETF Trust Put Option | 2,535,170 | December 2019 | $255 | 95 | 169,195 | |||||||||||
SPDR S&P 500 ETF Trust Put Option | 4,536,620 | December 2019 | $260 | 170 | 329,800 | |||||||||||
SPDR S&P 500 ETF Trust Put Option | 4,883,538 | December 2019 | $265 | 183 | 389,790 | |||||||||||
SPDR S&P 500 ETF Trust Put Option | 2,268,310 | December 2019 | $270 | 85 | 197,370 | |||||||||||
SPDR S&P 500 ETF Trust Put Option | 2,668,600 | December 2019 | $275 | 100 | 253,000 | |||||||||||
SPDR S&P 500 ETF Trust Put Option | 3,202,320 | December 2019 | $280 | 120 | 327,120 | |||||||||||
SPDR S&P 500 ETF Trust Put Option | 1,040,754 | December 2019 | $285 | 39 | 118,170 | |||||||||||
|
| |||||||||||||||
Total Purchased Options (Cost $20,747,773) | $ | 23,867,416 | ||||||||||||||
|
| |||||||||||||||
Asset-Backed / Mortgage-Backed Securities – 2.2% | Rate | Maturity | Face Amount | Value | ||||||||||||
CONSUMER DISCRETIONARY – 0.6% | ||||||||||||||||
Applebee’s Funding LLC / IHOP Funding LLC 2014-1 A2 | (b) 4.277% | 09/05/2044 | $ | 6,983 | $ | 6,793 | ||||||||||
CKE Restaurant Holdings, Inc. 2013-1A A2 | (b) 4.474% | 03/20/2043 | 821,546 | 823,152 | ||||||||||||
Coinstar Funding LLC Series 2017-1A A2 | (b) 5.216% | 04/25/2047 | 75,620 | 78,516 | ||||||||||||
DB Master Finance LLC 2017-1A A2I | (b) 3.629% | 11/20/2047 | 78,000 | 78,508 | ||||||||||||
DB Master Finance LLC 2017-1A A2II | (b) 4.030% | 11/20/2047 | 91,000 | 92,966 | ||||||||||||
Domino’s Pizza Master Issuer LLC 2015-1A A2I | (b) 3.484% | 10/25/2045 | 122,140 | 122,565 | ||||||||||||
Domino’s Pizza Master Issuer LLC 2017-1A A23 | (b) 4.118% | 07/25/2047 | 209,475 | 214,016 | ||||||||||||
Domino’s Pizza Master Issuer LLC 2017-1A A2II | (b) 3.082% | 07/25/2047 | 49,875 | 49,327 | ||||||||||||
Jimmy Johns Funding LLC 2017-1A A2II | (b) 4.846% | 07/30/2047 | 157,605 | 157,881 | ||||||||||||
Taco Bell Funding, LLC 2016-1A A2I | (b) 3.832% | 05/25/2046 | 131,338 | 133,120 | ||||||||||||
Wendys Funding LLC 2015-1A A2I | (b) 3.371% | 06/15/2045 | 168,130 | 168,581 | ||||||||||||
Wendys Funding LLC 2018-1A A2I | (b) 3.573% | 03/15/2048 | 75,000 | 74,977 | ||||||||||||
Wendys Funding LLC 2018-1A A2II | (b) 3.884% | 03/15/2048 | 106,000 | 106,074 | ||||||||||||
|
| |||||||||||||||
2,106,476 | ||||||||||||||||
|
| |||||||||||||||
FINANCIALS – 1.6% | ||||||||||||||||
American Tower Trust I 13 1A | (b) 1.551% | 03/15/2018 | 83,000 | 82,887 | ||||||||||||
AmeriCredit Automobile Receivables Trust 2015-2 D | 3.000% | 06/08/2021 | 20,000 | 20,199 | ||||||||||||
AmeriCredit Automobile Receivables Trust 2015-3 D | 3.340% | 08/08/2021 | 383,000 | 388,312 | ||||||||||||
AmeriCredit Automobile Receivables Trust 2016-1 D | 3.590% | 02/08/2022 | 81,000 | 82,301 |
110 | (continued) |
Ohio National Fund, Inc. | Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments
|
December 31, 2017
|
Asset-Backed / Mortgage-Backed Securities (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||
FINANCIALS (continued) | ||||||||||||||||
AmeriCredit Automobile Receivables Trust 2016-2 D | 3.650% | 05/09/2022 | $ | 63,000 | $ | 64,085 | ||||||||||
BAMLL Commercial Mortgage Securities Trust 2013-WBRK A | (b) | 3.534% | 03/10/2037 | 169,000 | 171,731 | |||||||||||
BAMLL Commercial Mortgage Securities Trust 2014-FL1 E | (b) | 6.977% | 12/15/2031 | 200,000 | 190,170 | |||||||||||
BBCMS Trust 2015-SRCH A2 | (b) | 4.197% | 08/10/2035 | 210,000 | 226,446 | |||||||||||
BXP Trust 2017-GM A | (b) | 3.379% | 06/13/2039 | 96,000 | 98,010 | |||||||||||
Caesars Palace Las Vegas Trust 2017-VICI C | (b) | 4.138% | 10/15/2034 | 135,000 | 138,648 | |||||||||||
Caesars Palace Las Vegas Trust 2017-VICI D | (b) | 4.354% | 10/15/2034 | 145,000 | 147,947 | |||||||||||
Caesars Palace Las Vegas Trust 2017-VICI E | (b) | 4.354% | 10/15/2034 | 191,000 | 185,450 | |||||||||||
CGMS Commercial Mortgage Trust 2017-MDRB B | (b) | 3.227% | 07/15/2030 | 100,000 | 100,042 | |||||||||||
Fannie Mae Connecticut Avenue Securities 2014-C03 1M2 | 4.552% | 07/25/2024 | 232,079 | 248,070 | ||||||||||||
Fannie Mae Connecticut Avenue Securities 2014-C04 1M2 | 6.452% | 11/25/2024 | 185,463 | 212,199 | ||||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2014-DN1 M3 | 6.052% | 02/25/2024 | 338,000 | 394,836 | ||||||||||||
GS Mortgage Securities Corp. II 2017-375H A | (b) | 3.591% | 09/10/2037 | 123,000 | 125,260 | |||||||||||
GS Mortgage Securities Trust 2014-GSFL E | (b) | 7.427% | 07/15/2031 | 100,000 | 100,286 | |||||||||||
GSCCRE Commercial Mortgage Trust 2015-HULA E | (b) | 5.877% | 08/15/2032 | 133,000 | 133,417 | |||||||||||
Houston Galleria Mall Trust 2015-HGLR A1A2 | (b) | 3.087% | 03/05/2037 | 100,000 | 98,990 | |||||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust 2010-C2 E | (b) | 5.662% | 11/15/2043 | 100,000 | 100,257 | |||||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust 2015-UES E | (b) | 3.621% | 09/05/2032 | 44,000 | 43,885 | |||||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-WIKI C | (b) | 3.554% | 10/05/2031 | 26,000 | 26,147 | |||||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-WIKI D | (b) | 4.009% | 10/05/2031 | 40,000 | 40,183 | |||||||||||
LB-UBS Commercial Mortgage Trust 2006-C1 AJ | 5.276% | 02/15/2041 | 480 | 480 | ||||||||||||
LB-UBS Commercial Mortgage Trust 2008-C1 AM | 6.319% | 04/15/2041 | 249,000 | 247,420 | ||||||||||||
loanDepot Station Place Agency Securitization Trust 2017-LD1 A (Acquired 11/29/2017, Cost $259,000) | (b)(h) | 2.352% | 11/25/2050 | 259,000 | 259,000 | |||||||||||
loanDepot Station Place Agency Securitization Trust 2017-LD1 B (Acquired 11/29/2017, Cost $65,000) | (b)(h) | 2.552% | 11/25/2050 | 65,000 | 65,000 | |||||||||||
MAD Mortgage Trust 2017-330M A | (b) | 3.294% | 08/15/2034 | 100,000 | 100,593 | |||||||||||
MSSG Trust 2017-237P A | (b) | 3.397% | 09/13/2039 | 162,000 | 164,018 | |||||||||||
MSSG Trust 2017-237P B | (b) | 3.690% | 09/13/2039 | 28,000 | 28,312 | |||||||||||
OSCAR U.S. Funding Trust V 2016-2A A3 | (b) | 2.730% | 12/15/2020 | 40,000 | 39,926 | |||||||||||
OSCAR U.S. Funding Trust V 2016-2A A4 | (b) | 2.990% | 12/15/2023 | 67,000 | 66,722 | |||||||||||
Santander Drive Auto Receivables Trust 2015-1 D | 3.240% | 04/15/2021 | 341,000 | 344,560 | ||||||||||||
Santander Drive Auto Receivables Trust 2015-4 D | 3.530% | 08/16/2021 | 53,000 | 53,913 | ||||||||||||
Shops at Crystals Trust 2016-CSTL A | (b) | 3.126% | 07/05/2036 | 142,000 | 139,505 | |||||||||||
Station Place Securitization Trust 2017-3 A (Acquired 08/11/2017, Cost $272,000) | (b)(h) | 2.294% | 07/24/2018 | 272,000 | 272,045 | |||||||||||
Wachovia Bank Commercial Mortgage Trust Series 2007-C30 AJ | 5.413% | 12/15/2043 | 111,193 | 113,421 | ||||||||||||
Wachovia Bank Commercial Mortgage Trust Series 2007-C31 AJ | 5.660% | 04/15/2047 | 63,726 | 64,701 | ||||||||||||
Wachovia Bank Commercial Mortgage Trust Series 2007-C34 AJ | 6.084% | 05/15/2046 | 30,511 | 31,287 | ||||||||||||
Worldwide Plaza Trust 2017-WWP A | (b) | 3.526% | 11/10/2036 | 112,000 | 114,992 | |||||||||||
|
| |||||||||||||||
5,525,653 | ||||||||||||||||
|
| |||||||||||||||
Total Asset-Backed / Mortgage-Backed Securities (Cost $7,630,267) | $ | 7,632,129 | ||||||||||||||
|
| |||||||||||||||
Master Limited Partnerships – 0.5% | Shares | Value | ||||||||||||||
FINANCIALS – 0.5% | ||||||||||||||||
Blackstone Group LP / The (Capital Markets) | 52,729 | $ | 1,688,383 | |||||||||||||
|
| |||||||||||||||
Total Master Limited Partnerships (Cost $1,334,793) | $ | 1,688,383 | ||||||||||||||
|
| |||||||||||||||
Preferred Securities – 0.2% | Rate | Quantity | Value | |||||||||||||
FINANCIALS – 0.2% | ||||||||||||||||
Goldman Sachs Capital I (Capital Markets) | 6.345% | 497,000 | $ | 625,140 | ||||||||||||
|
| |||||||||||||||
Total Preferred Securities (Cost $584,441) | $ | 625,140 | ||||||||||||||
|
| |||||||||||||||
Money Market Funds – 14.5% | Shares | Value | ||||||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 42,402,352 | $ | 42,398,112 | |||||||||||||
State Street Institutional U.S. Government Money Market Fund Institutional Class | 7,370,014 | 7,370,014 | ||||||||||||||
|
| |||||||||||||||
Total Money Market Funds (Cost $49,775,680) | $ | 49,768,126 | ||||||||||||||
|
| |||||||||||||||
Total Investments – 101.9% (Cost $309,387,779) | (i) | $ | 350,596,318 | |||||||||||||
Total TBA Sales Commitments – (0.3)% (see following schedule) | (974,908) | |||||||||||||||
Liabilities in Excess of Other Assets – (1.6)% | (f) | (5,450,807) | ||||||||||||||
|
| |||||||||||||||
Net Assets – 100.0% | $344,170,603 | |||||||||||||||
|
|
111 | (continued) |
Ohio National Fund, Inc. | Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments
|
December 31, 2017
|
Percentages are stated as a percent of net assets.
Abbreviations:
QL: | Quarterly U.S. LIBOR Rate, 1.694% on 12/31/2017 |
Footnotes:
(a) | Non-income producing security. |
(b) | Security exempt from registration under Regulation D of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers under Rule 144A. At December 31, 2017, the value of these securities totaled $16,376,392, or 4.8% of the Portfolio’s net assets. Unless also noted as illiquid, these securities were deemed liquid pursuant to procedures approved by the Board of Directors. |
(c) | Security is a variable rate instrument in which the coupon or dividend rate is fixed until a later specified date, then is adjusted periodically. Rates stated are those in effect at December 31, 2017. |
(d) | To Be Announced purchase commitment; TBAs totaled $8,453,254 (2.5% of net assets) at December 31, 2017 - see Note 2 of the Notes to Financial Statements. |
(e) | Represents effective yield as of December 31, 2017. |
(f) | Security is fully or partially pledged, in addition to $343,693 of the Portfolio’s cash holdings, as collateral for the futures contracts outstanding at December 31, 2017. See also the following Schedule of Open Futures Contracts. |
(g) | 100 shares per contract. |
(h) | Represents a security deemed to be illiquid. At December 31, 2017, the value of illiquid securities in the Portfolio totaled $596,045, or 0.2% of the Portfolio’s net assets. |
(i) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
Schedule of Open Futures Contracts
|
December 31, 2017
|
Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||||||||||||
CME E-mini S&P 500 Index - Long | 150 | March 16, 2018 | $ | 19,935,889 | $ | 20,070,000 | $ | 134,111 | $ | 7,875 | ||||||||||||
10-Year U.S. Treasury Long Bond - Long | 28 | March 20, 2018 | 4,288,835 | 4,284,000 | (4,835 | ) | (72,750 | ) | ||||||||||||||
10-Year U.S. Treasury Note - Long | 1,498 | March 20, 2018 | 186,796,552 | 185,822,219 | (974,333 | ) | 304,289 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
$ | 211,021,276 | $ | 210,176,219 | $ | (845,057 | ) | $ | 239,414 | ||||||||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
Schedule of TBA Sales Commitments
|
December 31, 2017
|
Description | Rate | Maturity | Face Amount | Value | ||||||||||
Fannie Mae TBA Sale Commitment | 3.500% | 01/15/2048 | $ | 949,000 | $ | (974,908 | ) | |||||||
|
| |||||||||||||
Total TBA Sales Commitments (Proceeds $975,768) | $ | (974,908 | ) | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
112 |
Ohio National Fund, Inc. | ON Conservative Model Portfolio (Unaudited) |
Objective/Strategy
The ON Conservative Model Portfolio is a fund of funds that seeks current income and preservation of capital. Under normal circumstances, the Portfolio intends to have investment exposure to various asset classes within the following target asset allocation ranges: U.S. Equity 0-25%, International Equity 0-10%, and Fixed Income 65-90%.
Performance as of December 31, 2017
Average Annual returns | ||||
Since inception (3/1/17) | 5.30% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Total gross expense ratio is estimated to be 1.00% per the Fund’s prospectus dated March 1, 2017. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2017 can be found in the Portfolio’s Financial Highlights. The Portfolio’s expense ratio included in the Financial Highlights does not include Acquired Fund Fees and Expenses (AFFE), which is a major component of the expense ratio that is required to be presented in the Fund’s prospectus. The Adviser has contractually agreed to make payments to the Fund to the extent necessary to maintain the Portfolio’s expense ratio (including AFFE, but excluding certain other expenses) at 0.82% through April 30, 2018.
Comments from Adviser
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A. For the period from March 1, 2017 (inception) to December 31, 2017, the ON Conservative Model Portfolio returned 5.30% versus 5.34% for its benchmark, the Morningstar® Conservative Target Risk Index.
Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?
A. During 2017, the equity markets provided strong positive returns, both domestically and internationally. Large cap stocks generally outperformed mid cap and small cap stocks, and foreign stocks generally outperformed domestic stocks. Finally, growth stocks generally outperformed value stocks during the period.
Fixed income markets also provided positive returns for the period. The yield curve flattened in 2017, as the Federal Reserve increased short-term rates. The 2-year Treasury rate increased 70 basis points, while the 30-year Treasury rate decreased 33 basis points. In this environment, longer duration bonds outperformed shorter duration bonds, in general. In addition, corporate bond credit spreads tightened during the year. Lower quality rated bonds outperformed higher quality rated bonds during the year.
Q. How did asset class allocation impact the Portfolio’s performance relative to its benchmark?
A. The Portfolio invests in mutual funds, comprised mostly of fixed income funds, but also some equity funds. The asset allocation between fixed income funds and equity funds was roughly in-line with the
benchmark. On the equity side, the Portfolio’s allocation to large cap domestic equity and international equity funds aided performance during the period. Fixed income funds generally underperformed equity funds during the period. Within the fixed income asset class, high yield and core plus funds outperformed inflation protected and short duration funds, which detracted from performance relative to the benchmark. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. The top three performing funds in the Portfolio were the Lazard International Equity Class R6, the Ohio National Fund, Inc. - S&P 500® Index Portfolio, and Templeton Foreign Class R6. The top three funds that detracted from performance versus the benchmark were the PIMCO Low Duration Institutional, the PIMCO Real Return Institutional, and the PIMCO Total Return Institutional. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2017. |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The Morningstar® Target Risk Index Family is a series of Morningstar Indexes that provide exposure to a broad array of asset classes using Morningstar asset allocation methodology. The index family provides global equity market risk levels that are scaled to fit five equity market risk profiles: aggressive, moderately aggressive, moderate, moderately conservative, and conservative. The five levels of global equity exposure are set at 20%, 40%, 60%, 80%, and 95%, respectively, and the Morningstar® Conservative Target Risk Index Exposure is set at 20%.
113 | (continued) |
Ohio National Fund, Inc. | ON Conservative Model Portfolio (Unaudited) (Continued) |
Portfolio Composition as of December 31, 2017 (1)
% of Net Assets | ||||
Open-End Mutual Funds | ||||
Less Net Liabilities | 100.0 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31, 2017 (1) (2) (3)
% of Net Assets | ||||
1. Western Asset Core Plus Bond IS | 22.0 | |||
2. PIMCO Total Return Institutional | 17.0 | |||
3. PIMCO Real Return Institutional | 15.0 | |||
4. PIMCO Low Duration Institutional | 9.0 | |||
5. Ohio National Fund, Inc. - High Income Bond Portfolio | 7.0 | |||
6. Ohio National Fund, Inc. - Strategic Value Portfolio | 7.0 | |||
7. Ohio National Fund, Inc. - S&P 500® Index Portfolio | 6.5 | |||
8. Ohio National Fund, Inc. - Bond Portfolio | 6.5 | |||
9. Ohio National Fund, Inc. - Balanced Portfolio | 6.0 | |||
10. Templeton Foreign Class R6 | 2.0 |
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. |
(3) | Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher. |
114 |
Ohio National Fund, Inc. | ON Conservative Model Portfolio |
Schedule of Investments in Unaffiliated Issuers
|
December 31, 2017
|
Open-End Mutual Funds – 63.1% | Shares | Value | ||||||||
PIMCO Low Duration Institutional | 910,503 | $ | 8,977,564 | |||||||
PIMCO Real Return Institutional | 1,352,421 | 14,957,772 | ||||||||
PIMCO Total Return Institutional | 1,652,515 | 16,971,331 | ||||||||
Western Asset Core Plus Bond IS | 1,857,705 | 21,976,653 | ||||||||
|
| |||||||||
Total Open-End Mutual Funds | $ | 62,883,320 | ||||||||
|
| |||||||||
Total Investments in Securities of Unaffiliated Issuers – 63.1% (Cost $61,968,558) | (a) | $ | 62,883,320 | |||||||
Total Investments in Affiliates – 36.9% (Cost $34,537,961) (see schedule below) | (a) | 36,861,060 | ||||||||
Liabilities in Excess of Other Assets – 0.0% | (27,073 | ) | ||||||||
|
| |||||||||
Net Assets – 100.0% | $ | 99,717,307 | ||||||||
|
|
Percentages are stated as a percent of net assets.
Footnotes:
(a) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments in Affiliates
|
December 31, 2017
|
Change in | ||||||||||||||||||||||||||||||||||||||
Value at | Unrealized | Shares at | Value at | |||||||||||||||||||||||||||||||||||
March 1, 2017 | Cost of | Proceeds | Net Realized | Appreciation | Income | Capital Gain | December 31, | December 31, | ||||||||||||||||||||||||||||||
Affiliate | (Inception) | Purchases | from Sales | Gain (Loss) | (Depreciation) | Distributions | Distributions | 2017 | 2017 | |||||||||||||||||||||||||||||
Open-End Mutual Funds – 36.9% | ||||||||||||||||||||||||||||||||||||||
Lazard International Equity Class R6 | (a) | $ — | $ | 2,357,357 | $ | 698,640 | $ | 65,527 | $ | 268,246 | $ | 29,385 | $— | 101,710 | $ | 1,992,490 | ||||||||||||||||||||||
Ohio National Fund, Inc. - Balanced Portfolio | (a)(b) | — | 8,110,214 | 2,573,929 | 102,300 | 338,884 | — | — | 271,333 | 5,977,469 | ||||||||||||||||||||||||||||
Ohio National Fund, Inc. - Bond Portfolio | (a)(b) | — | 6,531,485 | 69,107 | 262 | 12,951 | — | — | 368,769 | 6,475,591 | ||||||||||||||||||||||||||||
Ohio National Fund, Inc. - High Income Bond Portfolio | (a)(b) | — | 7,984,879 | 1,283,153 | 29,822 | 242,166 | — | — | 360,213 | 6,973,714 | ||||||||||||||||||||||||||||
Ohio National Fund, Inc. - S&P 500® Index Portfolio | (a)(b) | — | 7,446,672 | 1,785,659 | 99,209 | 715,370 | — | — | 219,363 | 6,475,592 | ||||||||||||||||||||||||||||
Ohio National Fund, Inc. - Strategic Value Portfolio | (a)(b) | — | 8,119,821 | 1,820,994 | 85,925 | 588,962 | — | — | 390,029 | 6,973,714 | ||||||||||||||||||||||||||||
Templeton Foreign Class R6 | (a) | — | 2,448,215 | 653,942 | 41,697 | 156,520 | 38,527 | — | 250,943 | 1,992,490 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total Open-End Mutual Funds | $ | 424,742 | $ | 2,323,099 | $ | 67,912 | $— | $ | 36,861,060 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
Percentages are stated as a percent of net assets.
Footnotes:
(a) | Pursuant to Section 2(a)(3) of the Investment Company Act of 1940, the investment meets the definition of “affiliated person”, as the Portfolio directly or indirectly owns, controls, or holds with power to vote 5 percent or more of the outstanding voting securities of the holding. |
(b) | Non-income producing security. |
The accompanying notes are an integral part of these financial statements.
115 |
Ohio National Fund, Inc. | ON Moderately Conservative Model Portfolio (Unaudited) |
Objective/Strategy
The ON Moderately Conservative Model Portfolio is a fund of funds that seeks current income and moderate growth of capital with a greater emphasis on current income. Under normal circumstances, the Portfolio intends to have investment exposure to various asset classes within the following target asset allocation ranges: U.S. Equity 20-40%, International Equity 5-20%, and Fixed Income 30-70%.
Performance as of December 31, 2017
Average Annual returns | ||||
Since inception (3/1/17) | 6.90% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Total gross expense ratio is estimated to be 1.02% per the Fund’s prospectus dated March 1, 2017. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2017 can be found in the Portfolio’s Financial Highlights. The Portfolio’s expense ratio included in the Financial Highlights does not include Acquired Fund Fees and Expenses (AFFE), which is a major component of the expense ratio that is required to be presented in the Fund’s prospectus. The Adviser has contractually agreed to make payments to the Fund to the extent necessary to maintain the Portfolio’s expense ratio (including AFFE, but excluding certain other expenses) at 0.87% through April 30, 2018.
Comments from Adviser
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A. For the period from March 1, 2017 (inception) to December 31, 2017, the ON Moderately Conservative Model Portfolio returned 6.90% versus 7.79% for its benchmark, the Morningstar® Moderately Conservative Target Risk Index.
Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?
A. During 2017, the equity markets provided strong positive returns, both domestically and internationally. Large cap stocks generally outperformed mid cap and small cap stocks, and foreign stocks generally outperformed domestic stocks. Finally, growth stocks generally outperformed value stocks during the period.
Fixed income markets also provided positive returns for the period. The yield curve flattened in 2017, as the Federal Reserve increased short-term rates. The 2-year Treasury rate increased 70 basis points, while the 30-year Treasury rate decreased 33 basis points. In this environment, longer duration bonds outperformed shorter duration bonds, in general. In addition, corporate bond credit spreads tightened during the year. Lower quality rated bonds outperformed higher quality rated bonds during the year.
Q. How did asset class allocation impact the Portfolio’s performance relative to its benchmark?
A. The Portfolio invests in mutual funds, comprised mostly of fixed income funds, but also equity funds. The asset allocation between fixed income funds and equity funds was roughly in-line with the benchmark. A significant amount of the Portfolio’s underperformance relates to equity funds that the Portfolio holds. The Portfolio holds a larger amount of value funds than growth funds, and value funds underperformed growth funds by a large margin in 2017. On the equity side, the Portfolio’s allocation to large cap domestic equity, as well as international equity funds aided performance during the period. The Portfolio’s investment in real estate funds detracted from performance. Fixed income funds generally underperformed equity funds during the period. Within the fixed income asset class, high yield and core plus funds outperformed inflation protected and short duration funds, which detracted from performance relative to the benchmark. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. The top three performing funds in the Portfolio were the Ohio National Fund, Inc. - Bristol Growth Portfolio, Lazard International Equity Class R6, and the Ohio National Fund, Inc. - S&P 500® Index Portfolio. The top three funds that detracted from performance versus the benchmark were the PIMCO Low Duration Institutional, the Fidelity Advisor® Real Estate I, and the PIMCO Real Return Institutional Portfolio. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2017. |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The Morningstar® Target Risk Index Family is a series of Morningstar Indexes that provide exposure to a broad array of asset classes using Morningstar asset allocation methodology. The index family provides global equity market risk levels that are scaled to fit five equity market risk profiles: aggressive, moderately aggressive, moderate, moderately conservative, and conservative. The five levels of global equity exposure are set at 20%, 40%, 60%, 80%, and 95%, respectively, and the Morningstar® Moderately Conservative Target Risk Index Exposure is set at 40%.
116 | (continued) |
Ohio National Fund, Inc. | ON Moderately Conservative Model Portfolio (Unaudited) (Continued) |
Portfolio Composition as of December 31, 2017 (1)
% of Net Assets | ||||
Open-End Mutual Funds | 100.0 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31, 2017 (1) (2) (3)
% of Net Assets | ||||||
1. | Western Asset Core Plus Bond IS | 17.0 | ||||
2. | PIMCO Total Return Institutional | 13.0 | ||||
3. | PIMCO Real Return Institutional | 10.0 | ||||
4. | Ohio National Fund, Inc. - Strategic Value Portfolio | 8.0 | ||||
5. | Ohio National Fund, Inc. - Equity Portfolio | 7.0 | ||||
6. | PIMCO Low Duration Institutional | 6.0 | ||||
7. | Lazard International Equity Class R6 | 6.0 | ||||
8. | Ohio National Fund, Inc. - Balanced Portfolio | 6.0 | ||||
9. | Ohio National Fund, Inc. - High Income Bond Portfolio | 6.0 | ||||
10. | Ohio National Fund, Inc. - S&P 500® Index Portfolio | 5.5 |
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. |
(3) | Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher. |
117 |
Ohio National Fund, Inc. | ON Moderately Conservative Model Portfolio |
Schedule of Investments in Unaffiliated Issuers | December 31, 2017 |
Open-End Mutual Funds – 46.1% | Shares | Value | ||||||||
PIMCO Low Duration Institutional | 1,984,334 | $ | 19,565,537 | |||||||
PIMCO Real Return Institutional | 2,947,406 | 32,598,309 | ||||||||
PIMCO Total Return Institutional | 4,131,180 | 42,427,214 | ||||||||
Western Asset Core Plus Bond IS | 4,692,794 | 55,515,756 | ||||||||
|
| |||||||||
Total Open-End Mutual Funds | $ | 150,106,816 | ||||||||
|
| |||||||||
Total Investments in Securities of Unaffiliated Issuers – 46.1% (Cost $ 147,704,044) | (a) | $ | 150,106,816 | |||||||
Total Investments in Affiliates – 53.9% (Cost $ 163,019,364) (see schedule below) | (a) | 175,868,044 | ||||||||
Liabilities in Excess of Other Assets – 0.0% | (18,948 | ) | ||||||||
|
| |||||||||
Net Assets – 100.0% | $ | 325,955,912 | ||||||||
|
|
Percentages are stated as a percent of net assets.
Footnotes:
(a) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments in Affiliates
|
December 31, 2017
|
Affiliate | Value at March 1, 2017 (Inception) | Cost of Purchases | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Income Distributions | Capital Gain Distributions | Shares at December 31, 2017 | Value at 2017 | |||||||||||||||||||||||||||||
Open-End Mutual Funds – 53.9% | ||||||||||||||||||||||||||||||||||||||
Fidelity Advisor® Mid Cap II Class I | (a) | $— | $ | 7,911,205 | $ | 1,848,999 | $ | 95,227 | $ | 356,198 | $ | 33,836 | $ | 378,280 | 301,976 | $ | 6,513,631 | |||||||||||||||||||||
Fidelity Advisor® Real Estate I | (a) | — | 7,867,007 | 1,099,819 | 9,045 | (262,602 | ) | 107,570 | 310,303 | 296,209 | 6,513,631 | |||||||||||||||||||||||||||
Lazard International Equity Class R6 | (a) | — | 21,040,233 | 4,710,842 | 433,776 | 2,777,727 | 285,245 | — | 997,493 | 19,540,894 | ||||||||||||||||||||||||||||
Ohio National Fund, Inc. - Balanced Portfolio | (a)(b) | — | 24,244,856 | 6,107,390 | 265,818 | 1,137,610 | — | — | 887,013 | 19,540,894 | ||||||||||||||||||||||||||||
Ohio National Fund, Inc. - Bond Portfolio | (a)(b) | — | 17,967,775 | 89,025 | 351 | 33,385 | — | — | 1,020,073 | 17,912,486 | ||||||||||||||||||||||||||||
Ohio National Fund, Inc. - Bristol Growth Portfolio . | (a)(b) | — | 6,994,052 | 1,685,905 | 151,803 | 1,053,681 | — | — | 269,270 | 6,513,631 | ||||||||||||||||||||||||||||
Ohio National Fund, Inc. - Equity Portfolio | (a)(b) | — | 25,084,914 | 4,147,757 | 138,989 | 1,721,563 | — | — | 550,935 | 22,797,709 | ||||||||||||||||||||||||||||
Ohio National Fund, Inc. - High Income Bond Portfolio | (a)(b) | — | 20,724,349 | 1,928,199 | 44,196 | 700,548 | — | — | 1,009,344 | 19,540,894 | ||||||||||||||||||||||||||||
Ohio National Fund, Inc. - S&P 500® Index Portfolio | (a)(b) | — | 18,902,336 | 3,150,746 | 182,397 | 1,978,499 | — | — | 606,792 | 17,912,486 | ||||||||||||||||||||||||||||
Ohio National Fund, Inc. - Strategic Value Portfolio . | (a)(b) | — | 27,857,297 | 4,276,714 | 212,684 | 2,261,258 | — | — | 1,457,188 | 26,054,525 | ||||||||||||||||||||||||||||
Templeton Foreign Class R6 | (a) | — | 14,457,603 | 2,694,139 | 172,986 | 1,090,813 | 251,921 | — | 1,640,713 | 13,027,263 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total Open-End Mutual Funds | $ | 1,707,272 | $ | 12,848,680 | $ | 678,572 | $ | 688,583 | $ | 175,868,044 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
Percentages are stated as a percent of net assets.
Footnotes:
(a) | Pursuant to Section 2(a)(3) of the Investment Company Act of 1940, the investment meets the definition of “affiliated person”, as the Portfolio directly or indirectly owns, controls, or holds with power to vote 5 percent or more of the outstanding voting securities of the holding. |
(b) | Non-income producing security. |
The accompanying notes are an integral part of these financial statements.
118 |
Ohio National Fund, Inc. | ON Balanced Model Portfolio (Unaudited) |
Objective/Strategy
The Balanced Model Portfolio is a fund of funds that seeks a balance between growth of capital and current income with a greater emphasis on growth of capital. Under normal circumstances, the Portfolio intends to have investment exposure to various asset classes within the following target asset allocation ranges: U.S. Equity 25-50%, International Equity 10-25%, and Fixed Income 25-50%.
Performance as of December 31, 2017
Average Annual returns | ||||
Since inception (3/1/17) | 8.10% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Total gross expense ratio is estimated to be 1.09% per the Fund’s prospectus dated March 1, 2017. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2017 can be found in the Portfolio’s Financial Highlights. The Portfolio’s expense ratio included in the Financial Highlights does not include Acquired Fund Fees and Expenses (AFFE), which is a major component of the expense ratio that is required to be presented in the Fund’s prospectus. The Adviser has contractually agreed to make payments to the Fund to the extent necessary to maintain the Portfolio’s expense ratio (including AFFE, but excluding certain other expenses) at 0.94% through April 30, 2018.
Comments from Adviser
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A. For the period from March 1, 2017 (inception) to December 31, 2017, the ON Balanced Model Portfolio returned 8.10% versus 10.14% for its benchmark, the Morningstar® Moderate Target Risk Index.
Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?
A. During 2017, the equity markets provided strong positive returns, both domestically and internationally. Large cap stocks generally outperformed mid cap and small cap stocks, and foreign stocks generally outperformed domestic stocks. Finally, growth stocks generally outperformed value stocks during the period.
Fixed income markets also provided positive returns for the period. The yield curve flattened in 2017, as the Federal Reserve increased short-term rates. The 2-year Treasury rate increased 70 basis points, while the 30-year Treasury rate decreased 33 basis points. In this environment, longer duration bonds outperformed shorter duration bonds, in general. In addition, corporate bond credit spreads tightened during the year. Lower quality rated bonds outperformed higher quality rated bonds during the year.
Q. How did asset class allocation impact the Portfolio’s performance relative to its benchmark?
A. The Portfolio invests in mutual funds, comprised of fixed income funds and equity funds. The asset allocation between fixed income funds and equity funds was roughly in-line with the benchmark. A significant amount of the Portfolio’s underperformance relates to equity funds that the Portfolio holds. The Portfolio holds a larger amount of value funds than growth funds, and value funds underperformed growth funds by a large margin in 2017. On the equity side, the Portfolio’s allocation to large cap domestic equity, as well as international and emerging market equity funds aided performance during the period. The Portfolio’s allocation to fixed income and real estate funds detracted from performance. Fixed income funds generally underperformed equity funds during the period. Within the fixed income asset class, high yield and core plus funds outperformed inflation protected and short duration funds, which detracted from performance relative to the benchmark. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. The top three performing funds in the Portfolio were the Lazard Emerging Markets Equity Class R6, the Ohio National Fund, Inc. - Bristol Portfolio, and Lazard International Equity Class R6 Portfolio. The top three funds that detracted from performance versus the benchmark were the PIMCO Low Duration Institutional, the Fidelity Advisor® Real Estate I, and the PIMCO Real Return Institutional Portfolio. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2017. |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The Morningstar® Target Risk Index Family is a series of Morningstar Indexes that provide exposure to a broad array of asset classes using Morningstar asset allocation methodology. The index family provides global equity market risk levels that are scaled to fit five equity market risk profiles: aggressive, moderately aggressive, moderate, moderately conservative, and conservative. The five levels of global equity exposure are set at 20%, 40%, 60%, 80%, and 95%, respectively, and the Morningstar® Moderate Target Risk Index Exposure is set at 60%.
119 | (continued) |
Ohio National Fund, Inc. | ON Balanced Model Portfolio (Unaudited) (Continued) |
Portfolio Composition as of December 31, 2017 (1)
% of Net Assets | ||||
Open-End Mutual Funds | 100.0 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31, 2017 (1) (2) (3)
% of Net Assets | ||||||
1. | PIMCO Total Return Institutional | 10.0 | ||||
2. | Lazard International Equity Class R6 | 9.0 | ||||
3. | Ohio National Fund, Inc. - S&P 500® Index Portfolio | 9.0 | ||||
4. | Ohio National Fund, Inc. - Balanced Portfolio | 8.0 | ||||
5. | Ohio National Fund, Inc. - Strategic Value Portfolio | 8.0 | ||||
6. | PIMCO Real Return Institutional | 7.0 | ||||
7. | Templeton Foreign Class R6 | 7.0 | ||||
8. | Western Asset Core Plus Bond IS | 6.0 | ||||
9. | Ohio National Fund, Inc. - Equity Portfolio | 6.0 | ||||
10. | PIMCO Low Duration Institutional | 5.0 |
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. |
(3) | Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher. |
120 |
Ohio National Fund, Inc. | ON Balanced Model Portfolio |
Schedule of Investments in Unaffiliated Issuers | December 31, 2017 |
Open-End Mutual Funds – 31.0% | Shares | Value | ||||||||
DFS Emerging Markets Portfolio Institutional | 512,590 | $ | 15,618,621 | |||||||
Lazard Emerging Markets Equity Class R6 | 1,560,302 | 31,237,243 | ||||||||
PIMCO Low Duration Institutional | 7,930,128 | 78,191,065 | ||||||||
PIMCO Real Return Institutional | 9,894,470 | 109,432,836 | ||||||||
PIMCO Total Return Institutional | 15,240,169 | 156,516,535 | ||||||||
Western Asset Core Plus Bond IS | 7,942,397 | 93,958,559 | ||||||||
|
| |||||||||
Total Open-End Mutual Funds | $ | 484,954,859 | ||||||||
|
| |||||||||
Total Investments in Securities of Unaffiliated Issuers – 31.0% (Cost $ 471,970,012) | (a) | $ | 484,954,859 | |||||||
Total Investments in Affiliates – 69.0% (Cost $ 988,596,332) (see schedule below) | (a) | 1,077,684,878 | ||||||||
Liabilities in Excess of Other Assets – 0.0% | (63,719 | ) | ||||||||
|
| |||||||||
Net Assets – 100.0% | $ | 1,562,576,018 | ||||||||
|
|
Percentages are stated as a percent of net assets.
Footnotes:
(a) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments in Affiliates | December 31, 2017 |
Affiliate | Value at March 1, 2017 (Inception) | Cost of Purchases | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Income Distributions | Capital Gain Distributions | Shares at December 31, 2017 | Value at December 31, 2017 | |||||||||||||||||||||||||||||||
Open-End Mutual Funds – 69.0% | ||||||||||||||||||||||||||||||||||||||||
Fidelity Advisor® Mid Cap II Class I | (a) | $ — | $ | 54,096,429 | $ | 10,891,868 | $ | 652,490 | $ | 2,998,813 | $ | 241,952 | $ | 2,704,894 | 2,172,270 | $ | 46,855,864 | |||||||||||||||||||||||
Fidelity Advisor® Real Estate I | (a) | — | 36,085,373 | 4,965,460 | 234,381 | (117,051 | ) | 506,959 | 1,480,669 | 1,420,520 | 31,237,243 | |||||||||||||||||||||||||||||
Goldman Sachs Large Cap Value Institutional | (a) | — | 63,666,518 | 63,854,777 | 188,259 | — | — | — | — | — | ||||||||||||||||||||||||||||||
Lazard International Equity Class R6 | (a) | — | 143,423,856 | 25,890,043 | 2,382,446 | 20,651,334 | 2,030,635 | — | 7,175,477 | 140,567,593 | ||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - Balanced Portfolio | (a)(b) | — | 141,254,138 | 25,244,008 | 1,192,904 | 7,745,937 | — | — | 5,671,764 | 124,948,971 | ||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - Bond Portfolio | (a)(b) | — | 54,554,250 | 48,865 | 191 | 159,599 | — | — | 3,113,051 | 54,665,175 | ||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - Bristol Portfolio | (a)(b) | — | 48,092,278 | 8,920,401 | 685,801 | 6,998,186 | — | — | 1,550,492 | 46,855,864 | ||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - Capital Appreciation Portfolio | (a)(b) | — | 47,886,678 | 48,831,645 | 944,967 | — | — | — | — | — | ||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ClearBridge Small Cap Portfolio | (a)(b) | — | 66,834,729 | 10,888,291 | 602,729 | 5,925,319 | — | — | 1,087,269 | 62,474,486 | ||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - Equity Portfolio(a)(b) | — | 97,837,445 | 12,216,465 | 419,516 | 7,671,233 | — | — | 2,264,662 | 93,711,729 | |||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - High Income Bond Portfolio | (a)(b) | — | 78,772,654 | 4,649,076 | 137,206 | 3,832,323 | — | — | 4,033,735 | 78,093,107 | ||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - Nasdaq-100® Index Portfolio | (a)(b) | — | 7,881,285 | 143,472 | 2,109 | 69,389 | — | — | 468,465 | 7,809,311 | ||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - S&P 500® Index Portfolio | (a)(b) | — | 140,931,763 | 14,247,144 | 915,345 | 12,967,629 | — | — | 4,761,775 | 140,567,593 | ||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - S&P MidCap 400® Index Portfolio | (a)(b) | — | 15,642,075 | 86,721 | 526 | 62,741 | — | — | 894,537 | 15,618,621 | ||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - Strategic Value Portfolio | (a)(b) | — | 125,784,587 | 12,194,586 | 683,214 | 10,675,756 | — | — | 6,988,198 | 124,948,971 | ||||||||||||||||||||||||||||||
Templeton Foreign Class R6 | (a) | — | 113,731,645 | 14,807,710 | 959,077 | 9,447,338 | 2,103,955 | — | 13,769,566 | 109,330,350 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||
Total Open-End Mutual Funds | $ | 10,001,161 | $ | 89,088,546 | $ | 4,883,501 | $ | 4,185,563 | $ | 1,077,684,878 | ||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
Percentages are stated as a percent of net assets.
Footnotes:
(a) | Pursuant to Section 2(a)(3) of the Investment Company Act of 1940, the investment meets the definition of “affiliated person”, as the Portfolio directly or indirectly owns, controls, or holds with power to vote 5 percent or more of the outstanding voting securities of the holding. |
(b) | Non-income producing security. |
The accompanying notes are an integral part of these financial statements.
121 |
Ohio National Fund, Inc. | ON Moderate Growth Model Portfolio (Unaudited) |
Objective/Strategy
The ON Moderate Growth Portfolio is a fund of funds that seeks growth of capital and moderate current income with a greater emphasis on growth of capital. Under normal circumstances, the Portfolio intends to have investment exposure to various asset classes within the following target asset allocation ranges: U.S. Equity 40-60%, International Equity 15-35%, and Fixed Income 10-30%.
Performance as of December 31, 2017
Average Annual returns | ||||
Since inception (3/1/17) | 10.50% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Total gross expense ratio is estimated to be 1.14% per the Fund’s prospectus dated March 1, 2017. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2017 can be found in the Portfolio’s Financial Highlights. The Portfolio’s expense ratio included in the Financial Highlights does not include Acquired Fund Fees and Expenses (AFFE), which is a major component of the expense ratio that is required to be presented in the Fund’s prospectus. The Adviser has contractually agreed to make payments to the Fund to the extent necessary to maintain the Portfolio’s expense ratio (including AFFE, but excluding certain other expenses) at 0.99% through April 30, 2018.
Comments from Adviser
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A. For the period from March 1, 2017 (inception) to December 31, 2017, the ON Moderate Growth Model Portfolio returned 10.50% versus 12.89% for its benchmark, the Morningstar® Moderately Aggressive Target Risk Index.
Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?
A. During 2017, the equity markets provided strong positive returns, both domestically and internationally. Large cap stocks generally outperformed mid cap and small cap stocks, and foreign stocks generally outperformed domestic stocks. Finally, growth stocks generally outperformed value stocks during the period.
Fixed income markets also provided positive returns for the period. The yield curve flattened in 2017, as the Federal Reserve increased short-term rates. The 2-year Treasury rate increased 70 basis points, while the 30-year Treasury rate decreased 33 basis points. In this environment, longer duration bonds outperformed shorter duration bonds, in general. In addition, corporate bond credit spreads tightened during the year. Lower quality rated bonds outperformed higher quality rated bonds during the year.
Q. How did asset class allocation impact the Portfolio’s performance relative to its benchmark?
A. The Portfolio invests in mutual funds, comprised mostly of equity funds, with a lesser proportion of fixed income funds. The asset allocation between fixed income funds and equity funds was roughly in-line with the benchmark. A significant amount of the Portfolio’s underperformance relates to equity funds that the Portfolio holds. The Portfolio holds a larger amount of value funds than growth funds, and value funds underperformed growth funds by a large margin in 2017. On the equity side, the Portfolio’s allocation to large cap domestic equity, as well as emerging market international equity funds aided performance during the period. The Portfolio’s allocation to fixed income and real estate funds detracted from performance. Fixed income funds generally underperformed equity funds during the period. Within the fixed income asset class, high yield and core plus funds outperformed inflation protected funds, which detracted from performance relative to the benchmark. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. The top three performing funds in the Portfolio were the Ohio National Fund, Inc. - Bristol Growth Portfolio, the Lazard Emerging Markets Equity Class R6, and the Ohio National Fund, Inc. - Bristol Portfolio. The top three funds that detracted from performance versus the benchmark were Fidelity Advisor® Real Estate I, PIMCO Real Return, and the Ohio National Fund, Inc. - High Income Bond Portfolio. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2017. |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The Morningstar® Target Risk Index Family is a series of Morningstar Indexes that provide exposure to a broad array of asset classes using Morningstar asset allocation methodology. The index family provides global equity market risk levels that are scaled to fit five equity market risk profiles: aggressive, moderately aggressive, moderate, moderately conservative, and conservative. The five levels of global equity exposure are set at 20%, 40%, 60%, 80%, and 95%, respectively, and the Morningstar® Moderately Aggressive Target Risk Index Exposure is set at 80%.
122 | (continued) |
Ohio National Fund, Inc. | ON Moderate Growth Model Portfolio (Unaudited) (Continued) |
Portfolio Composition as of December 31, 2017 (1)
% of Net Assets | ||||
Open-End Mutual Funds | ||||
Less Net Liabilities | 100.0 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31, 2017 (1) (2) (3)
% of Net Assets | ||||
1. Western Asset Core Plus Bond IS | 11.0 | |||
2. Lazard International Equity Class R6 | 11.0 | |||
3. Ohio National Fund, Inc. - S&P 500® Index Portfolio | 10.3 | |||
4. Ohio National Fund, Inc. - Strategic Value Portfolio | 10.0 | |||
5. Templeton Foreign Class R6 | 10.0 | |||
6. Ohio National Fund, Inc. - Equity Portfolio | 8.0 | |||
7. Ohio National Fund, Inc. - Balanced Portfolio | 7.0 | |||
8. Ohio National Fund, Inc. - Small Cap Growth Portfolio | 4.5 | |||
9. Fidelity Advisor® Mid Cap II Class I | 4.0 | |||
10. Ohio National Fund, Inc. - ClearBridge Small Cap Portfolio | 3.0 |
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. |
(3) | Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher. |
123 |
Ohio National Fund, Inc. | ON Moderate Growth Model Portfolio |
Schedule of Investments in Unaffiliated Issuers | December 31, 2017 |
Open-End Mutual Funds – 17.0% | Shares | Value | ||||||||
DFS Emerging Markets Portfolio Institutional | 868,557 | $ | 26,464,914 | |||||||
Lazard Emerging Markets Equity Class R6 | 3,965,771 | 79,394,741 | ||||||||
PIMCO Real Return Institutional | 4,790,780 | 52,986,030 | ||||||||
Western Asset Core Plus Bond IS | 24,673,700 | 291,889,872 | ||||||||
|
| |||||||||
Total Open-End Mutual Funds | $ | 450,735,557 | ||||||||
|
| |||||||||
Total Investments in Securities of Unaffiliated Issuers – 17.0% (Cost $433,023,150) | (a) | $ | 450,735,557 | |||||||
Total Investments in Affiliates – 83.0% (Cost $2,012,637,210) (see schedule below) | (a) | 2,196,587,827 | ||||||||
Liabilities in Excess of Other Assets – 0.0% | (531,486 | ) | ||||||||
|
| |||||||||
Net Assets – 100.0% | $ | 2,646,791,898 | ||||||||
|
|
Percentages are stated as a percent of net assets.
Footnotes:
(a) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments in Affiliates | December 31, 2017 |
Affiliate | Value at (Inception) | Cost of Purchases | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Income Distributions | Capital Gain Distributions | Shares at December 31, 2017 | Value at December 31, 2017 | |||||||||||||||||||||||||||||||
Open-End Mutual Funds – 83.0% | ||||||||||||||||||||||||||||||||||||||||
Fidelity Advisor® Mid Cap II Class I | (a) | $ — | $ | 119,373,420 | $ | 20,769,078 | $ | 1,142,445 | $ | 6,112,867 | $ | 544,118 | $ | 6,082,958 | 4,907,726 | $ | 105,859,654 | |||||||||||||||||||||||
Fidelity Advisor® Real Estate I | (a) | — | 59,771,502 | 5,780,130 | 146,851 | (1,208,396 | ) | 849,915 | 2,501,844 | 2,406,995 | 52,929,827 | |||||||||||||||||||||||||||||
Goldman Sachs Large Cap Value Institutional | (a) | — | 131,280,998 | 132,272,356 | 991,358 | — | — | — | — | — | ||||||||||||||||||||||||||||||
Lazard International Equity Class R6 | (a) | — | 290,755,643 | 39,771,082 | 2,820,170 | 37,309,318 | 4,173,417 | — | 14,860,339 | 291,114,049 | ||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - Balanced Portfolio | (a)(b) | — | 208,333,258 | 35,750,400 | 1,639,448 | 11,032,089 | — | — | 8,409,187 | 185,254,395 | ||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - Bond Portfolio | (a)(b) | — | 66,087,394 | 45,781 | 141 | 120,530 | — | — | 3,767,784 | 66,162,284 | ||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - Bristol Growth Portfolio | (a)(b) | — | 79,057,126 | 13,567,499 | 1,141,090 | 12,764,024 | — | — | 3,282,131 | 79,394,741 | ||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - Bristol Portfolio | (a)(b) | — | 79,116,623 | 12,153,315 | 871,965 | 11,559,468 | — | — | 2,627,225 | 79,394,741 | ||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - Bryton Growth Portfolio | (a)(b) | — | 53,376,437 | 40,294,051 | 3,012,700 | 2,430,353 | — | — | 743,695 | 18,525,439 | ||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ClearBridge Small Cap Portfolio | (a)(b) | — | 83,135,766 | 10,073,116 | 349,609 | 5,982,482 | — | — | 1,381,739 | 79,394,741 | ||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - Equity Portfolio | (a)(b) | — | 214,355,172 | 20,434,279 | 745,481 | 17,052,935 | — | — | 5,116,465 | 211,719,309 | ||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - High Income Bond Portfolio | (a)(b) | — | 80,102,296 | 4,427,554 | 99,961 | 3,620,038 | — | — | 4,100,968 | 79,394,741 | ||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - Nasdaq-100® Index Portfolio | (a)(b) | — | 26,621,737 | 396,284 | 4,054 | 235,406 | — | — | 1,587,577 | 26,464,913 | ||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - S&P 500® Index Portfolio | (a)(b) | — | 268,692,002 | 20,974,578 | 1,168,410 | 23,702,776 | — | — | 9,234,032 | 272,588,610 | ||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - Small Cap Growth Portfolio | (a)(b) | — | 120,071,696 | 17,931,070 | 1,300,494 | 15,650,991 | — | — | 3,609,946 | 119,092,111 | ||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - Strategic Value Portfolio | (a)(b) | — | 261,984,453 | 19,112,051 | 830,828 | 20,945,906 | — | — | 14,801,406 | 264,649,136 | ||||||||||||||||||||||||||||||
Templeton Foreign Class R6 | (a) | — | 273,415,240 | 26,606,208 | 1,200,274 | 16,639,830 | 5,087,202 | — | 33,331,125 | 264,649,136 | ||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||||||||
Total Open-End Mutual Funds | $ | 17,465,279 | $ | 183,950,617 | $ | 10,654,652 | $ | 8,584,802 | $ | 2,196,587,827 | ||||||||||||||||||||||||||||||
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Percentages are stated as a percent of net assets.
Footnotes:
(a) | Pursuant to Section 2(a)(3) of the Investment Company Act of 1940, the investment meets the definition of “affiliated person”, as the Portfolio directly or indirectly owns, controls, or holds with power to vote 5 percent or more of the outstanding voting securities of the holding. |
(b) | Non-income producing security. |
The accompanying notes are an integral part of these financial statements.
124 |
Ohio National Fund, Inc. | ON Growth Model Portfolio (Unaudited) |
Objective/Strategy
The ON Growth Portfolio is a fund of funds that seeks growth of capital and some current income. Under normal circumstances, the Portfolio intends to have investment exposure to various asset classes within the following target asset allocation ranges: U.S. Equity 50-80%, International Equity 15-45%, and Fixed Income 0-15%.
Performance as of December 31, 2017
Average Annual returns | ||||
Since inception (3/1/17) | 11.50% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Total gross expense ratio is estimated to be 1.21% per the Fund’s prospectus dated March 1, 2017. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2017 can be found in the Portfolio’s Financial Highlights. The Portfolio’s expense ratio included in the Financial Highlights does not include Acquired Fund Fees and Expenses (AFFE), which is a major component of the expense ratio that is required to be presented in the Fund’s prospectus. The Adviser has contractually agreed to make payments to the Fund to the extent necessary to maintain the Portfolio’s expense ratio (including AFFE, but excluding certain other expenses) at 1.03% through April 30, 2018.
Comments from Adviser
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A. For the period from March 1, 2017 (inception) to December 31, 2017, the ON Growth Model Portfolio returned 11.50% versus 14.79% for its benchmark, the Morningstar® Aggressive Target Risk Index.
Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?
A. During 2017, the equity markets provided strong positive returns, both domestically and internationally. Large cap stocks generally outperformed mid cap and small cap stocks, and foreign stocks generally outperformed domestic stocks. Finally, growth stocks generally outperformed value stocks during the period.
Fixed income markets also provided positive returns for the period. The yield curve flattened in 2017, as the Federal Reserve increased short-term rates. The 2-year Treasury rate increased 70 basis points, while the 30-year Treasury rate decreased 33 basis points. In this environment, longer duration bonds outperformed shorter duration bonds, in general. In addition, corporate bond credit spreads tightened during the year. Lower quality rated bonds outperformed higher quality rated bonds during the year.
Q. How did asset class allocation impact the Portfolio’s performance relative to its benchmark?
A. The Portfolio invests in mutual funds, comprised mostly of equity funds, with a lesser proportion of fixed income funds. The asset allocation between fixed income funds and equity funds was roughly
in-line with the benchmark. A significant amount of the Portfolio’s underperformance relates to equity funds that the Portfolio holds. The Portfolio holds a larger amount of value funds than growth funds, and value funds underperformed growth funds by a large margin in 2017. On the equity side, the Portfolio’s allocation to large cap and small cap domestic equity, as well as emerging market equity funds aided performance during the period. The Portfolio’s allocation to real estate and fixed income funds detracted from performance. Fixed income funds generally underperformed equity funds during the period. Within the fixed income asset class, high yield funds outperformed inflation protected funds, which detracted from performance relative to the benchmark. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. The top three performing funds in the Portfolio were the Ohio National Fund, Inc. - Bristol Growth Portfolio, Lazard Emerging Markets Equity Portfolio Class R6, and the Ohio National Fund, Inc. - Small Cap Growth Portfolio. The top three funds that detracted from performance versus the benchmark were the Fidelity Advisor® Real Estate I, PIMCO Real Return Institutional, and the Ohio National Fund, Inc. - High Income Bond Portfolio. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2017. |
Change in Value of $10,000 Investment
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The Morningstar® Target Risk Index Family is a series of Morningstar Indexes that provide exposure to a broad array of asset classes using Morningstar asset allocation methodology. The index family provides global equity market risk levels that are scaled to fit five equity market risk profiles: aggressive, moderately aggressive, moderate, moderately conservative, and conservative. The five levels of global equity exposure are set at 20%, 40%, 60%, 80%, and 95%, respectively, and the Morningstar® Aggressive Target Risk Index Exposure is set at 95%.
125 | (continued) |
Ohio National Fund, Inc. | ON Growth Model Portfolio (Unaudited) (Continued) |
Portfolio Composition as of December 31, 2017 (1)
% of Net Assets | ||||
Open-End Mutual Funds | 100.0 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31, 2017 (1) (2) (3)
% of Net Assets | ||||||
1. | Lazard International Equity Class R6 | 13.0 | ||||
2. | Ohio National Fund, Inc. - S&P 500® Index Portfolio | 12.0 | ||||
3. | Templeton Foreign Class R6 | 12.0 | ||||
4. | Ohio National Fund, Inc. - Strategic Value Portfolio | 11.0 | ||||
5. | Ohio National Fund, Inc. - Equity Portfolio | 8.0 | ||||
6. | Ohio National Fund, Inc. - Balanced Portfolio | 6.0 | ||||
7. | Ohio National Fund, Inc. - Small Cap Growth Portfolio | 6.0 | ||||
8. | Ohio National Fund, Inc. - ClearBridge Small Cap Portfolio | 5.0 | ||||
9. | Fidelity Advisor® Mid Cap II Class I | 4.0 | ||||
10. | Lazard Emerging Markets Equity Class R6 | 4.0 |
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. |
(3) | Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher. |
126 |
Ohio National Fund, Inc. | ON Growth Model Portfolio |
Schedule of Investments in Unaffiliated Issuers | December 31, 2017 |
Open-End Mutual Funds – 7.0% | Shares | Value | ||||||||
DFS Emerging Markets Portfolio Institutional | 178,503 | $ 5,438,981 | ||||||||
Lazard Emerging Markets Equity Class R6 | 1,086,709 | 21,755,922 | ||||||||
PIMCO Real Return Institutional | 984,405 | 10,887,519 | ||||||||
|
| |||||||||
Total Open-End Mutual Funds | $ 38,082,422 | |||||||||
|
| |||||||||
Total Investments in Securities of Unaffiliated Issuers – 7.0% (Cost $35,133,072) | (a) | $ 38,082,422 | ||||||||
Total Investments in Affiliates – 93.0% (Cost $460,409,802) (see schedule below) | (a) | 505,825,183 | ||||||||
Liabilities in Excess of Other Assets – 0.0% | (129,855) | |||||||||
|
| |||||||||
Net Assets – 100.0% | $543,777,750 | |||||||||
|
|
Percentages are stated as a percent of net assets.
Footnotes:
(a) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments in Affiliates | December 31, 2017 |
Affiliate | Value at March 1, 2017 (Inception) | Cost of Purchases | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Income Distributions | Capital Gain Distributions | Shares at December 31, 2017 | Value at December 31, 2017 | |||||||||||||||||||||||||||||||
Open-End Mutual Funds – 93.0% | ||||||||||||||||||||||||||||||||||||||||
Fidelity Advisor® Mid Cap II Class I | (a) | $ — | $ | 22,655,119 | $2,298,066 | $ | 126,259 | $ | 1,272,610 | $ | 111,486 | $ | 1,246,355 | 1,008,619 | $ | 21,755,922 | ||||||||||||||||||||||||
Fidelity Advisor® Real Estate I | (a) | — | 12,115,466 | 810,053 | 6,341 | (433,793 | ) | 172,663 | 511,908 | 494,678 | 10,877,961 | |||||||||||||||||||||||||||||
Goldman Sachs Large Cap Value Institutional | (a) | — | 26,465,496 | 26,569,103 | 103,607 | — | — | — | — | — | ||||||||||||||||||||||||||||||
Lazard International Equity Class R6 | (a) | — | 68,827,730 | 8,847,085 | 695,126 | 10,030,975 | 1,007,273 | — | 3,609,328 | 70,706,746 | ||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - Balanced Portfolio | (a)(b) | — | 36,902,761 | 6,466,338 | 307,282 | 1,890,178 | — | — | 1,481,338 | 32,633,883 | ||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - Bond Portfolio | (a)(b) | — | 2,722,990 | 12,834 | 32 | 9,302 | — | — | 154,868 | 2,719,490 | ||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - Bristol Growth Portfolio . | (a)(b) | — | 15,717,074 | 2,260,314 | 207,165 | 2,653,016 | — | — | 674,532 | 16,316,941 | ||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - Bristol Portfolio | (a)(b) | — | 20,931,516 | 2,505,796 | 192,106 | 3,138,096 | — | — | 719,918 | �� | 21,755,922 | |||||||||||||||||||||||||||||
Ohio National Fund, Inc. - Bryton Growth Portfolio . | (a)(b) | — | 10,741,610 | 8,940,307 | 533,614 | 384,573 | — | — | 109,173 | 2,719,490 | ||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - Capital Appreciation Portfolio | (a)(b) | — | 21,315,973 | 21,843,227 | 527,254 | — | — | — | — | — | ||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ClearBridge Small Cap Portfolio | (a)(b) | — | 27,627,150 | 2,530,189 | 79,113 | 2,018,828 | — | — | 473,284 | 27,194,902 | ||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - Equity Portfolio | (a)(b) | — | 43,163,633 | 3,067,941 | 88,166 | 3,327,986 | — | — | 1,051,519 | 43,511,844 | ||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - High Income Bond Portfolio | (a)(b) | — | 16,400,550 | 656,354 | 9,085 | 563,660 | — | — | 842,817 | 16,316,941 | ||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - Nasdaq-100® Index Portfolio | (a)(b) | — | 5,471,350 | 81,792 | 1,198 | 48,224 | — | — | 326,274 | 5,438,980 | ||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - S&P 500® Index Portfolio | (a)(b) | — | 62,551,117 | 3,302,651 | 206,226 | 5,813,074 | — | — | 2,210,968 | 65,267,766 | ||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - S&P MidCap 400® Index Portfolio | (a)(b) | — | 10,857,236 | 22,664 | 39 | 43,350 | — | — | 623,022 | 10,877,961 | ||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - Small Cap Growth Portfolio | (a)(b) | — | 31,710,052 | 3,687,613 | 273,528 | 4,337,916 | — | — | 989,205 | 32,633,883 | ||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - Strategic Value Portfolio | (a)(b) | — | 58,297,336 | 3,538,498 | 163,152 | 4,906,795 | — | — | 3,346,129 | 59,828,785 | ||||||||||||||||||||||||||||||
Templeton Foreign Class R6 | (a) | — | 65,983,085 | 6,511,588 | 385,678 | 5,410,591 | 1,254,161 | — | 8,220,122 | 65,267,766 | ||||||||||||||||||||||||||||||
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Total Open-End Mutual Funds | $ | 3,904,971 | $ | 45,415,381 | $ | 2,545,583 | $ | 1,758,263 | $ | 505,825,183 | ||||||||||||||||||||||||||||||
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Percentages are stated as a percent of net assets.
Footnotes:
(a) | Pursuant to Section 2(a)(3) of the Investment Company Act of 1940, the investment meets the definition of “affiliated person”, as the Portfolio directly or indirectly owns, controls, or holds with power to vote 5 percent or more of the outstanding voting securities of the holding. |
(b) | Non-income producing security. |
The accompanying notes are an integral part of these financial statements.
127 |
Ohio National Fund, Inc. |
Equity Portfolio | Bond Portfolio | Omni Portfolio | Capital Appreciation Portfolio | ON International Equity Portfolio | ON Foreign Portfolio | Aggressive Growth Portfolio | Small Cap Growth Portfolio | Mid Cap Opportunity Portfolio | ||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||
Investments in securities of unaffiliated issuers, at value* | $ | 573,891,683 | $ | 314,148,470 | $ | 68,127,350 | $ | 125,524,554 | $ | 157,942,598 | $ | 79,714,905 | $ | 60,732,690 | $ | 276,384,295 | $ | 78,152,058 | ||||||||||||||||||
Cash | — | — | — | — | 558 | — | — | — | — | |||||||||||||||||||||||||||
Foreign currencies, at value** | — | — | — | — | 102,106 | 33 | — | — | — | |||||||||||||||||||||||||||
Receivable for securities sold | — | — | 524,543 | 1,788,832 | — | 2,649 | — | — | — | |||||||||||||||||||||||||||
Receivable for fund shares sold | 1,692,030 | 1,009,086 | 9,736 | 8,514 | 5,111 | 13,994 | 86,813 | 243,321 | 3,274 | |||||||||||||||||||||||||||
Dividends and accrued interest receivable | 305,573 | 2,399,891 | 187,049 | 92,991 | 153,270 | 99,303 | 14,388 | 75,239 | 29,598 | |||||||||||||||||||||||||||
Foreign tax reclaim receivable | — | — | — | 50,366 | 248,955 | 45,908 | 2,228 | 17,904 | — | |||||||||||||||||||||||||||
Prepaid expenses and other assets | 6,591 | 1,743 | 772 | 1,780 | 1,820 | 910 | 709 | 3,132 | 894 | |||||||||||||||||||||||||||
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Total assets | 575,895,877 | 317,559,190 | 68,849,450 | 127,467,037 | 158,454,418 | 79,877,702 | 60,836,828 | 276,723,891 | 78,185,824 | |||||||||||||||||||||||||||
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Liabilities: | ||||||||||||||||||||||||||||||||||||
Cash overdraft | — | — | 91,396 | 324,057 | — | — | 99,991 | — | — | |||||||||||||||||||||||||||
Payable for securities purchased | — | — | 293,513 | 889,616 | 157,278 | 7,857 | — | — | 48,252 | |||||||||||||||||||||||||||
Payable for fund shares redeemed | 617,294 | 92,613 | 14,912 | 553,521 | 55,727 | 72,800 | 34,166 | 302,436 | 258,136 | |||||||||||||||||||||||||||
Payable for investment management services | 369,060 | 121,958 | 34,858 | 86,397 | 111,000 | 56,890 | 41,832 | 182,225 | 56,242 | |||||||||||||||||||||||||||
Accrued custody expense | 1,594 | 599 | 1,279 | 3,780 | 13,878 | 10,653 | 574 | 2,239 | 1,456 | |||||||||||||||||||||||||||
Accrued professional fees | 14,986 | 14,817 | 14,774 | 14,809 | 14,813 | 14,781 | 14,773 | 14,862 | 14,779 | |||||||||||||||||||||||||||
Accrued accounting fees | 6,169 | 3,518 | 2,336 | 2,043 | 3,134 | 2,583 | 1,111 | 3,503 | 1,331 | |||||||||||||||||||||||||||
Accrued printing and filing fees | 5,010 | 2,498 | 248 | 809 | 1,085 | 349 | 184 | 2,225 | 340 | |||||||||||||||||||||||||||
Other fees payable | 1,867 | 1,836 | 1,839 | 1,840 | 1,825 | 1,825 | 1,841 | 1,846 | 1,837 | |||||||||||||||||||||||||||
Withholding tax payable | — | — | — | — | 8,933 | 19,234 | — | 74 | — | |||||||||||||||||||||||||||
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Total liabilities | 1,015,980 | 237,839 | 455,155 | 1,876,872 | 367,673 | 186,972 | 194,472 | 509,410 | 382,373 | |||||||||||||||||||||||||||
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Net assets | $ | 574,879,897 | $ | 317,321,351 | $ | 68,394,295 | $ | 125,590,165 | $ | 158,086,745 | $ | 79,690,730 | $ | 60,642,356 | $ | 276,214,481 | $ | 77,803,451 | ||||||||||||||||||
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Net assets consist of: | ||||||||||||||||||||||||||||||||||||
Par value, $1 per share | $ | 13,891,269 | $ | 18,067,391 | $ | 2,097,897 | $ | 2,876,732 | $ | 10,483,285 | $ | 2,399,234 | $ | 3,043,452 | $ | 8,372,162 | $ | 2,015,784 | ||||||||||||||||||
Paid in capital in excess of par value | 486,984,408 | 293,732,135 | 58,275,514 | 103,861,573 | 129,961,550 | 73,754,980 | 45,836,420 | 201,831,422 | 58,579,419 | |||||||||||||||||||||||||||
Accumulated net realized loss on investments | (548,755 | ) | (21,861 | ) | (133,806 | ) | (631,637 | ) | (2,794 | ) | (226 | ) | (88,473 | ) | (465,104 | ) | (127,652 | ) | ||||||||||||||||||
Net unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||||||||||||||
Investments | 74,552,975 | 5,543,686 | 8,154,690 | 19,481,489 | 17,625,479 | 3,942,009 | 11,851,066 | 66,888,757 | 17,335,900 | |||||||||||||||||||||||||||
Foreign currency related transactions | — | — | — | 2,008 | 19,165 | (9,919 | ) | (109 | ) | 1,224 | — | |||||||||||||||||||||||||
Undistributed net investment income (loss) | — | — | — | — | 60 | (395,348 | ) | — | (413,980 | ) | — | |||||||||||||||||||||||||
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Net assets | $ | 574,879,897 | $ | 317,321,351 | $ | 68,394,295 | $ | 125,590,165 | $ | 158,086,745 | $ | 79,690,730 | $ | 60,642,356 | $ | 276,214,481 | $ | 77,803,451 | ||||||||||||||||||
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|
|
|
|
|
|
|
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|
|
|
|
|
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|
|
| |||||||||||||||||||
*Investments in securities of unaffiliated issuers, at cost | $ | 499,338,708 | $ | 308,604,784 | $ | 59,972,660 | $ | 106,043,065 | $ | 140,317,119 | $ | 75,772,896 | $ | 48,881,624 | $ | 209,495,538 | $ | 60,816,158 | ||||||||||||||||||
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|
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|
|
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|
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|
|
|
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|
|
| |||||||||||||||||||
**Foreign currencies, at cost | $ | — | $ | — | $ | — | $ | — | $ | 101,413 | $ | 5 | $ | — | $ | — | $ | — | ||||||||||||||||||
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| |||||||||||||||||||
Shares outstanding | 13,891,269 | 18,067,391 | 2,097,897 | 2,876,732 | 10,483,285 | 2,399,234 | 3,043,452 | 8,372,162 | 2,015,784 | |||||||||||||||||||||||||||
|
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|
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|
|
|
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|
|
| |||||||||||||||||||
Authorized Fund shares allocated to Portfolio | 35,000,000 | 30,000,000 | 15,000,000 | 25,000,000 | 90,000,000 | 32,000,000 | 24,000,000 | 30,000,000 | 21,000,000 | |||||||||||||||||||||||||||
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|
|
|
|
|
|
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|
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|
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| |||||||||||||||||||
Net asset value per share | $ | 41.38 | $ | 17.56 | $ | 32.60 | $ | 43.66 | $ | 15.08 | $ | 33.22 | $ | 19.93 | $ | 32.99 | $ | 38.60 | ||||||||||||||||||
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|
|
The accompanying notes are an integral part of these financial statements.
128 |
Ohio National Fund, Inc. |
Statements of Assets and Liabilities | December 31, 2017 |
S&P 500® Index Portfolio | Strategic Value Portfolio | High Income Bond Portfolio | ClearBridge Small Cap Portfolio | Nasdaq-100® Index Portfolio | Bristol Portfolio | Bryton Growth Portfolio | Balanced Portfolio | S&P MidCap 400® | ||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||
Investments in securities of unaffiliated issuers, at value* | $ | 1,140,114,317 | $ | 592,759,539 | $ | 313,646,953 | $ | 274,440,161 | $ | 256,603,898 | $ | 223,271,665 | $ | 56,536,455 | $ | 948,962,426 | $ | 88,835,996 | ||||||||||||||||||
Cash | 6,445 | — | 125,234 | — | — | — | — | — | — | |||||||||||||||||||||||||||
Cash subject to usage restrictions | 238,500 | — | — | — | 63,000 | — | — | — | 24,000 | |||||||||||||||||||||||||||
Foreign currencies, at value** | — | 146,001 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Receivable for securities sold | 1,205,999 | — | — | — | 117,653 | 1,075,728 | 694,960 | 1,203,420 | 63,631 | |||||||||||||||||||||||||||
Receivable for fund shares sold | 2,518,352 | 1,073,020 | 1,012,317 | 389,732 | 588,035 | 560,446 | 74,449 | 1,555,873 | 128,132 | |||||||||||||||||||||||||||
Receivable for variation margin on futures contracts | 3,610 | — | — | — | 26,650 | — | — | — | 16,113 | |||||||||||||||||||||||||||
Dividends and accrued interest receivable | 1,141,619 | 2,963,134 | 4,875,441 | 533,286 | 61,318 | 210,806 | 30,992 | 5,043,461 | 115,542 | |||||||||||||||||||||||||||
Foreign tax reclaim receivable | — | 378,641 | — | — | — | — | — | — | 14,137 | |||||||||||||||||||||||||||
Prepaid expenses and other assets | 11,548 | 6,900 | 3,270 | 3,174 | 2,467 | 2,587 | 941 | 11,626 | 704 | |||||||||||||||||||||||||||
|
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|
|
|
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|
|
|
|
|
|
| |||||||||||||||||||
Total assets | 1,145,240,390 | 597,327,235 | 319,663,215 | 275,366,353 | 257,463,021 | 225,121,232 | 57,337,797 | 956,776,806 | 89,198,255 | |||||||||||||||||||||||||||
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| |||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||
Cash overdraft | — | — | — | — | — | — | — | 7,601 | 3,424 | |||||||||||||||||||||||||||
Payable for securities purchased | 398,100 | — | 125,234 | — | — | 1,203,978 | 451,325 | 715,620 | 255,603 | |||||||||||||||||||||||||||
Payable for fund shares redeemed | 319,392 | 190,006 | 275,325 | 49,914 | 142,935 | 50,975 | 48,627 | 432,948 | 101,111 | |||||||||||||||||||||||||||
Payable for investment management services | 323,551 | 353,393 | 181,186 | 195,291 | 79,423 | 141,476 | 43,150 | 477,631 | 28,879 | |||||||||||||||||||||||||||
Accrued custody expense | 5,159 | 4,621 | 1,168 | 1,366 | 1,698 | 1,769 | 2,073 | 2,766 | 7,706 | |||||||||||||||||||||||||||
Accrued professional fees | 15,284 | 16,189 | 14,881 | 14,864 | 14,832 | 14,839 | 14,781 | 15,164 | 14,771 | |||||||||||||||||||||||||||
Accrued accounting fees | 11,355 | 6,561 | 8,435 | 3,293 | 2,755 | 2,714 | 1,277 | 11,277 | 1,772 | |||||||||||||||||||||||||||
Accrued printing and filing fees | 10,331 | 5,178 | 2,605 | 2,224 | 2,040 | 1,713 | 155 | 8,617 | 427 | |||||||||||||||||||||||||||
Other fees payable | 1,838 | 1,832 | 1,835 | 1,834 | 1,829 | 1,825 | 1,825 | 1,825 | 1,825 | |||||||||||||||||||||||||||
Withholding tax payable | — | 84,534 | — | — | — | — | — | 3,356 | — | |||||||||||||||||||||||||||
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|
|
|
|
|
|
|
| |||||||||||||||||||
Total liabilities | 1,085,010 | 662,314 | 610,669 | 268,786 | 245,512 | 1,419,289 | 563,213 | 1,676,805 | 415,518 | |||||||||||||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net assets | $ | 1,144,155,380 | $ | 596,664,921 | $ | 319,052,546 | $ | 275,097,567 | $ | 257,217,509 | $ | 223,701,943 | $ | 56,774,584 | $ | 955,100,001 | $ | 88,782,737 | ||||||||||||||||||
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|
|
|
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|
|
| |||||||||||||||||||
Net assets consist of: | ||||||||||||||||||||||||||||||||||||
Par value, $1 per share | $ | 38,765,217 | $ | 33,373,075 | $ | 16,478,160 | $ | 4,787,821 | $ | 15,431,043 | $ | 7,402,725 | $ | 2,279,359 | $ | 43,354,205 | $ | 5,083,864 | ||||||||||||||||||
Paid in capital in excess of par value | 805,749,820 | 523,228,307 | 303,349,442 | 237,823,642 | 139,871,214 | 185,560,049 | 51,543,741 | 843,637,647 | 78,406,540 | |||||||||||||||||||||||||||
Accumulated net realized gain (loss) on investments | (5,935,413 | ) | 40,694 | (4,276,236 | ) | (741,120 | ) | (627,185 | ) | (567,848 | ) | (477,877 | ) | 691,771 | (574,151 | ) | ||||||||||||||||||||
Net unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||||||||||||||
Investments | 305,592,184 | 39,976,567 | 3,493,776 | 33,185,919 | 102,536,478 | 31,307,017 | 3,429,361 | 67,416,345 | 5,858,731 | |||||||||||||||||||||||||||
Futures contracts | (16,428 | ) | — | — | — | 5,959 | — | — | — | 7,753 | ||||||||||||||||||||||||||
Foreign currency related transactions | — | 46,278 | — | — | — | — | — | 33 | — | |||||||||||||||||||||||||||
Undistributed net investment income | — | — | 7,404 | 41,305 | — | — | — | — | — | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net assets | $ | 1,144,155,380 | $ | 596,664,921 | $ | 319,052,546 | $ | 275,097,567 | $ | 257,217,509 | $ | 223,701,943 | $ | 56,774,584 | $ | 955,100,001 | $ | 88,782,737 | ||||||||||||||||||
|
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|
|
|
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|
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|
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|
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|
|
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|
|
| |||||||||||||||||||
*Investments in securities of unaffiliated issuers, at cost | $ | 834,522,133 | $ | 552,782,972 | $ | 310,153,177 | $ | 241,254,242 | $ | 154,067,420 | $ | 191,964,648 | $ | 53,107,094 | $ | 881,546,081 | $ | 82,977,265 | ||||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
**Foreign currencies, at cost | $ | — | $ | 145,379 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
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|
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|
|
|
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|
|
| |||||||||||||||||||
Shares outstanding | 38,765,217 | 33,373,075 | 16,478,160 | 4,787,821 | 15,431,043 | 7,402,725 | 2,279,359 | 43,354,205 | 5,083,864 | |||||||||||||||||||||||||||
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|
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|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Authorized Fund shares allocated to Portfolio | 90,000,000 | 75,000,000 | 45,000,000 | 15,000,000 | 50,000,000 | 23,000,000 | 15,000,000 | 90,000,000 | 30,000,000 | |||||||||||||||||||||||||||
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net asset value per share | $ | 29.52 | $ | 17.88 | $ | 19.36 | $ | 57.46 | $ | 16.67 | $ | 30.22 | $ | 24.91 | $ | 22.03 | $ | 17.46 | ||||||||||||||||||
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|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
129 |
Ohio National Fund, Inc. |
Statements of Assets and Liabilities | December 31, 2017 |
Bristol Growth Portfolio | Risk Managed Balanced Portfolio | ON Conservative Model Portfolio | ON Moderately Conservative Model Portfolio | ON Balanced Portfolio | ON Moderate Growth Model Portfolio | ON Growth Model | ||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||
Investments in securities of unaffiliated issuers, at value* | $ | 127,862,093 | $ | 350,596,318 | $ | 62,883,320 | $ | 150,106,816 | $ | 484,954,859 | $ | 450,735,557 | $ | 38,082,422 | ||||||||||||||
Investments in affiliates, at value** | — | — | 36,861,060 | 175,868,044 | 1,077,684,878 | 2,196,587,827 | 505,825,183 | |||||||||||||||||||||
Cash subject to usage restrictions | — | 343,693 | — | — | — | — | — | |||||||||||||||||||||
Receivable for securities sold | 434,841 | 1,280,005 | 88,323 | 754,916 | 3,367,217 | 9,515,466 | 1,734,794 | |||||||||||||||||||||
Receivable for fund shares sold | 485,504 | 19,315 | 50 | — | 348,831 | 88,006 | 10,809 | |||||||||||||||||||||
Receivable for variation margin on futures contracts | — | 239,413 | — | — | — | — | — | |||||||||||||||||||||
Receivable for TBA sales commitments | — | 975,768 | — | — | — | — | — | |||||||||||||||||||||
Dividends and accrued interest receivable | 96,345 | 991,019 | — | — | — | — | — | |||||||||||||||||||||
Prepaid expenses and other assets | 1,473 | 3,892 | 1,204 | 3,856 | 18,174 | 30,413 | 6,196 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total assets | 128,880,256 | 354,449,423 | 99,833,957 | 326,733,632 | 1,566,373,959 | 2,656,957,269 | 545,659,404 | |||||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||
Payable for securities purchased | 678,576 | 8,888,920 | 73,207 | 346,572 | 3,431,309 | 9,311,592 | 1,260,826 | |||||||||||||||||||||
Payable for fund shares redeemed | 47,334 | 115,348 | 15,167 | 408,344 | 295,759 | 291,880 | 484,777 | |||||||||||||||||||||
Payable for investment management services | 84,498 | 262,173 | 8,911 | 1,005 | 36,680 | 517,092 | 112,027 | |||||||||||||||||||||
TBA sales commitments, at value (proceeds $975,768) | — | 974,908 | — | — | — | — | — | |||||||||||||||||||||
Accrued custody expense | 1,620 | 7,078 | 204 | 214 | 253 | 283 | 218 | |||||||||||||||||||||
Accrued professional fees | 14,799 | 14,884 | 13,328 | 13,422 | 13,937 | 14,372 | 13,506 | |||||||||||||||||||||
Accrued accounting fees | 1,738 | 10,850 | 2,052 | 2,076 | 2,099 | 2,100 | 2,100 | |||||||||||||||||||||
Accrued printing and filing fees | 810 | 2,834 | 545 | 2,680 | 14,303 | 24,483 | 4,704 | |||||||||||||||||||||
Other fees payable | 1,825 | 1,825 | 3,236 | 3,407 | 3,601 | 3,569 | 3,496 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total liabilities | 831,200 | 10,278,820 | 116,650 | 777,720 | 3,797,941 | 10,165,371 | 1,881,654 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net assets | $ | 128,049,056 | $ | 344,170,603 | $ | 99,717,307 | $ | 325,955,912 | $ | 1,562,576,018 | $ | 2,646,791,898 | $ | 543,777,750 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net assets consist of: | ||||||||||||||||||||||||||||
Par value, $1 per share | $ | 5,293,978 | $ | 26,460,553 | $ | 9,466,477 | $ | 30,502,369 | $ | 144,482,295 | $ | 239,532,126 | $ | 48,776,216 | ||||||||||||||
Paid in capital in excess of par value | 102,421,503 | 281,449,615 | 88,709,632 | 288,963,463 | 1,369,182,631 | 2,323,269,444 | 473,957,819 | |||||||||||||||||||||
Accumulated net realized loss on investments | (356,157 | ) | (4,103,047 | ) | (1,696,663 | ) | (8,761,372 | ) | (53,162,301 | ) | (117,672,696 | ) | (27,321,016 | ) | ||||||||||||||
Net unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||||||
Investments | 20,689,732 | 41,208,539 | 3,237,861 | 15,251,452 | 102,073,393 | 201,663,024 | 48,364,731 | |||||||||||||||||||||
Futures contracts | — | (845,057 | ) | — | — | — | — | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net assets | $ | 128,049,056 | $ | 344,170,603 | $ | 99,717,307 | $ | 325,955,912 | $ | 1,562,576,018 | $ | 2,646,791,898 | $ | 543,777,750 | ||||||||||||||
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|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
*Investments in securities of unaffiliated issuers, at cost | $ | 107,172,361 | $ | 309,387,779 | $ | 61,968,558 | $ | 147,704,044 | $ | 471,970,012 | $ | 433,023,150 | $ | 35,133,072 | ||||||||||||||
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|
|
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|
|
|
|
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|
|
| |||||||||||||||
**Investments in affiliates, at cost | $ | — | $ | — | $ | 34,537,961 | $ | 163,019,364 | $ | 988,596,332 | $ | 2,012,637,210 | $ | 460,409,802 | ||||||||||||||
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|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Shares outstanding | 5,293,978 | 26,460,553 | 9,466,477 | 30,502,369 | 144,482,295 | 239,532,126 | 48,776,216 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Authorized Fund shares allocated to Portfolio | 30,000,000 | 85,000,000 | 30,000,000 | 70,000,000 | 200,000,000 | 300,000,000 | 100,000,000 | |||||||||||||||||||||
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|
|
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|
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| |||||||||||||||
Net asset value per share | $ | 24.19 | $ | 13.01 | $ | 10.53 | $ | 10.69 | $ | 10.81 | $ | 11.05 | $ | 11.15 | ||||||||||||||
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|
|
The accompanying notes are an integral part of these financial statements.
130 |
Ohio National Fund, Inc. |
Equity Portfolio | Bond Portfolio | Omni Portfolio | Capital Appreciation Portfolio | ON International Equity Portfolio | ON Foreign Portfolio | Aggressive Growth Portfolio | Small Cap Growth Portfolio | Mid Cap Opportunity Portfolio | ||||||||||||||||||||||||||||
Investment income: | ||||||||||||||||||||||||||||||||||||
Interest | $ | — | $ | 6,565,350 | $ | 500,284 | $ | — | $ | 938 | $ | — | $ | 2,313 | $ | 12,480 | $ | — | ||||||||||||||||||
Dividends from unaffiliated issuers, net of taxes withheld* | 8,609,940 | 25,167 | 631,159 | 3,214,495 | 3,572,495 | 1,694,490 | 455,058 | 1,652,769 | 559,233 | |||||||||||||||||||||||||||
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|
|
|
|
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| |||||||||||||||||||
Total investment income | 8,609,940 | 6,590,517 | 1,131,443 | 3,214,495 | 3,573,433 | 1,694,490 | 457,371 | 1,665,249 | 559,233 | |||||||||||||||||||||||||||
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|
|
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|
|
|
|
|
|
| |||||||||||||||||||
Expenses: | ||||||||||||||||||||||||||||||||||||
Management fees | 4,313,515 | 966,220 | 377,112 | 1,344,033 | 1,290,328 | 682,257 | 455,426 | 1,986,746 | 639,236 | |||||||||||||||||||||||||||
Custodian fees | 17,607 | 7,016 | 13,902 | 30,577 | 191,992 | 124,820 | 7,641 | 30,409 | 12,702 | |||||||||||||||||||||||||||
Directors’ fees | 39,328 | 11,606 | 4,379 | 11,681 | 10,878 | 5,375 | 3,968 | 17,724 | 5,229 | |||||||||||||||||||||||||||
Professional fees | 33,048 | 22,909 | 20,387 | 23,377 | 22,675 | 20,690 | 20,221 | 25,053 | 20,708 | |||||||||||||||||||||||||||
Accounting fees | 75,166 | 41,814 | 27,348 | 27,789 | 43,715 | 32,726 | 12,780 | 40,053 | 15,716 | |||||||||||||||||||||||||||
Administration fees | 23,657 | 23,151 | 23,157 | 23,284 | 42,892 | 33,023 | 23,178 | 23,305 | 23,138 | |||||||||||||||||||||||||||
Printing and filing fees | 18,310 | 8,779 | 6,578 | 7,268 | 20,164 | 11,700 | 5,632 | 16,584 | 4,695 | |||||||||||||||||||||||||||
Compliance expense | 14,117 | 14,116 | 14,117 | 14,117 | 14,117 | 14,117 | 14,117 | 14,117 | 14,117 | |||||||||||||||||||||||||||
Other | 18,828 | 4,502 | 1,953 | 8,654 | 5,841 | 3,214 | 1,839 | 8,249 | 2,540 | |||||||||||||||||||||||||||
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|
|
|
|
|
|
| |||||||||||||||||||
Total expenses | 4,553,576 | 1,100,113 | 488,933 | 1,490,780 | 1,642,602 | 927,922 | 544,802 | 2,162,240 | 738,081 | |||||||||||||||||||||||||||
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|
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|
|
|
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|
|
| |||||||||||||||||||
Net investment income (loss) | 4,056,364 | 5,490,404 | 642,510 | 1,723,715 | 1,930,831 | 766,568 | (87,431 | ) | (496,991 | ) | (178,848 | ) | ||||||||||||||||||||||||
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| |||||||||||||||||||
Realized/unrealized gain on investments, futures contracts, foreign currency contracts, and other foreign currency related transactions: | ||||||||||||||||||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||||||||||||||||||
Investments in securities of unaffiliated issuers | 48,627,176 | 945,221 | 8,186,809 | 22,158,899 | 19,436,486 | 12,144,910 | 7,596,740 | 15,588,860 | 8,412,020 | |||||||||||||||||||||||||||
Futures contracts | — | — | — | — | 773,873 | — | — | — | — | |||||||||||||||||||||||||||
Foreign currency contracts | — | — | — | — | — | (24,837 | ) | — | — | — | ||||||||||||||||||||||||||
Other foreign currency related transactions | — | — | — | — | (203,244 | ) | 105,019 | — | (1,196 | ) | — | |||||||||||||||||||||||||
Change in unrealized appreciation/depreciation on: | ||||||||||||||||||||||||||||||||||||
Investments in securities of unaffiliated issuers | 25,708,456 | 3,790,719 | 3,210,023 | (851,614 | ) | 14,726,453 | 317,069 | 6,024,597 | 40,130,634 | 9,661,514 | ||||||||||||||||||||||||||
Futures contracts | — | — | — | — | (61,320 | ) | — | — | — | — | ||||||||||||||||||||||||||
Foreign currency related transactions | — | — | — | 6,180 | 42,376 | 1,568 | 95 | 2,146 | — | |||||||||||||||||||||||||||
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| |||||||||||||||||||
Net realized/unrealized gain on investments, futures contracts, foreign currency contracts, and other foreign currency related transactions | 74,335,632 | 4,735,940 | 11,396,832 | 21,313,465 | 34,714,624 | 12,543,729 | 13,621,432 | 55,720,444 | 18,073,534 | |||||||||||||||||||||||||||
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| |||||||||||||||||||
Change in net assets from operations | $ | 78,391,996 | $ | 10,226,344 | $ | 12,039,342 | $ | 23,037,180 | $ | 36,645,455 | $ | 13,310,297 | $ | 13,534,001 | $ | 55,223,453 | $ | 17,894,686 | ||||||||||||||||||
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*Taxes withheld | $ | — | $ | — | $ | 3,686 | $ | 7,240 | $ | 477,563 | $ | 163,874 | $ | 840 | $ | 10,359 | $ | — | ||||||||||||||||||
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The accompanying notes are an integral part of these financial statements.
131 |
Ohio National Fund, Inc. |
Statements of Operations | For the Year Ended December 31, 2017 |
S&P 500® Index Portfolio | Strategic Value Portfolio | High Income Bond Portfolio | ClearBridge Small Cap Portfolio | Nasdaq-100® Index Portfolio | Bristol Portfolio | Bryton Growth Portfolio | Balanced Portfolio | S&P MidCap 400® | ||||||||||||||||||||||||||||
Investment income: | ||||||||||||||||||||||||||||||||||||
Interest | $ | 1,010 | $ | — | $ | 18,574,013 | $ | — | $ | 474 | $ | — | $ | — | $ | 13,280,277 | $ | 205 | ||||||||||||||||||
Dividends from unaffiliated issuers, net of taxes withheld* | 19,005,698 | 25,000,500 | 362,668 | 3,279,812 | 2,273,072 | 2,770,786 | 377,249 | 11,810,073 | 935,594 | |||||||||||||||||||||||||||
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| |||||||||||||||||||
Total investment income | 19,006,708 | 25,000,500 | 18,936,681 | 3,279,812 | 2,273,546 | 2,770,786 | 377,249 | 25,090,350 | 935,799 | |||||||||||||||||||||||||||
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Expenses: | ||||||||||||||||||||||||||||||||||||
Management fees | 3,180,019 | 3,890,489 | 2,133,262 | 2,300,180 | 739,205 | 1,607,763 | 741,916 | 5,759,305 | 229,292 | |||||||||||||||||||||||||||
Custodian fees | 66,424 | 50,763 | 13,833 | 16,635 | 22,758 | 22,021 | 23,972 | 35,931 | 87,302 | |||||||||||||||||||||||||||
Directors’ fees | 64,666 | 37,878 | 22,232 | 19,006 | 13,715 | 14,936 | 5,982 | 69,002 | 3,871 | |||||||||||||||||||||||||||
Professional fees | 41,587 | 35,593 | 26,744 | 25,744 | 23,498 | 24,138 | 21,126 | 43,265 | 21,521 | |||||||||||||||||||||||||||
Accounting fees | 129,369 | 74,617 | 100,984 | 40,196 | 30,528 | 31,776 | 16,580 | 135,259 | 21,127 | |||||||||||||||||||||||||||
Administration fees | 23,298 | 23,181 | 23,166 | 23,126 | 23,063 | 23,044 | 23,023 | 23,281 | 22,987 | |||||||||||||||||||||||||||
Printing and filing fees | 23,706 | 17,650 | 11,541 | 10,017 | 6,947 | 22,107 | 8,456 | 30,392 | 5,093 | |||||||||||||||||||||||||||
Compliance expense | 14,117 | 14,117 | 14,117 | 14,117 | 14,117 | 14,117 | 14,117 | 14,117 | 14,117 | |||||||||||||||||||||||||||
Other | 26,284 | 15,802 | 8,260 | 7,668 | 5,668 | 7,306 | 3,865 | 33,488 | 1,686 | |||||||||||||||||||||||||||
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Total expenses | 3,569,470 | 4,160,090 | 2,354,139 | 2,456,689 | 879,499 | 1,767,208 | 859,037 | 6,144,040 | 406,996 | |||||||||||||||||||||||||||
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Net investment income (loss) | 15,437,238 | 20,840,410 | 16,582,542 | 823,123 | 1,394,047 | 1,003,578 | (481,788 | ) | 18,946,310 | 528,803 | ||||||||||||||||||||||||||
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| |||||||||||||||||||
Realized/unrealized gain on investments, futures contracts, foreign currency related transactions, and written options: | ||||||||||||||||||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||||||||||||||||||
Investments in securities of unaffiliated issuers | 34,544,922 | 31,573,945 | 2,116,365 | 26,041,485 | 7,598,860 | 41,888,166 | 14,849,635 | 32,719,707 | 1,214,241 | |||||||||||||||||||||||||||
Futures contracts | 1,900,493 | — | — | — | 496,136 | — | — | — | 35,708 | |||||||||||||||||||||||||||
Foreign currency related transactions | — | (124,284 | ) | — | — | — | — | — | (586 | ) | 3 | |||||||||||||||||||||||||
Written options | — | — | — | — | — | — | — | 412,834 | — | |||||||||||||||||||||||||||
Change in unrealized appreciation/depreciation on: | ||||||||||||||||||||||||||||||||||||
Investments in securities of unaffiliated issuers | 129,441,012 | 21,662,163 | 2,626,767 | 5,031,578 | 43,354,981 | 6,677,159 | 1,760,048 | 49,632,734 | 6,248,464 | |||||||||||||||||||||||||||
Futures contracts | 94,831 | — | — | — | 21,320 | — | — | — | 14,586 | |||||||||||||||||||||||||||
Foreign currency related transactions | — | 61,197 | — | — | — | — | — | 33 | — | |||||||||||||||||||||||||||
Written options | — | — | — | — | — | — | — | (259,478 | ) | — | ||||||||||||||||||||||||||
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Net realized/unrealized gain on investments, futures contracts, foreign currency related transactions, and written options | 165,981,258 | 53,173,021 | 4,743,132 | 31,073,063 | 51,471,297 | 48,565,325 | 16,609,683 | 82,505,244 | 7,513,002 | |||||||||||||||||||||||||||
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Change in net assets from operations | $ | 181,418,496 | $ | 74,013,431 | $ | 21,325,674 | $ | 31,896,186 | $ | 52,865,344 | $ | 49,568,903 | $ | 16,127,895 | $ | 101,451,554 | $ | 8,041,805 | ||||||||||||||||||
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*Taxes withheld | $ | — | $ | 501,756 | $ | — | $ | 6,866 | $ | — | $ | 15,993 | $ | — | $ | 38,345 | $ | 261 | ||||||||||||||||||
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| �� |
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The accompanying notes are an integral part of these financial statements.
132 |
Ohio National Fund, Inc. |
Statements of Operations | For the Year Ended December 31, 2017 |
Bristol Growth Portfolio | Risk Managed Balanced Portfolio | ON Conservative Model Portfolio** | ON Moderately Conservative Model Portfolio** | ON Balanced Model Portfolio** | ON Moderate Growth Model Portfolio** | ON Growth Model | ||||||||||||||||||||||
Investment income: | ||||||||||||||||||||||||||||
Interest | $ | — | $ | 3,042,383 | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
Dividends from unaffiliated issuers, net of taxes withheld* | 1,389,345 | 3,970,057 | 1,620,014 | 3,844,024 | 10,987,734 | 11,118,658 | 744,417 | |||||||||||||||||||||
Dividends from affililiates | — | — | 67,912 | 678,572 | 4,883,501 | 10,654,652 | 2,545,583 | |||||||||||||||||||||
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| |||||||||||||||
Total investment income | 1,389,345 | 7,012,440 | 1,687,926 | 4,522,596 | 15,871,235 | 21,773,310 | 3,290,000 | |||||||||||||||||||||
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Expenses: | ||||||||||||||||||||||||||||
Management fees | 971,992 | 2,847,528 | 343,168 | 1,096,288 | 5,009,652 | 8,134,628 | 1,717,728 | |||||||||||||||||||||
Custodian fees | 19,569 | 73,945 | 3,362 | 3,810 | 4,549 | 5,189 | 4,263 | |||||||||||||||||||||
Directors’ fees | 8,643 | 22,295 | 7,273 | 23,332 | 108,727 | 179,529 | 36,045 | |||||||||||||||||||||
Professional fees | 21,933 | 26,506 | 16,945 | 21,123 | 43,379 | 61,973 | 24,425 | |||||||||||||||||||||
Accounting fees | 20,544 | 123,933 | 20,093 | 20,237 | 20,381 | 20,381 | 20,381 | |||||||||||||||||||||
Administration fees | 23,012 | 23,051 | 30,320 | 32,022 | 34,035 | 33,734 | 33,310 | |||||||||||||||||||||
Printing and filing fees | 10,179 | 21,511 | 7,082 | 11,461 | 45,013 | 72,758 | 16,563 | |||||||||||||||||||||
Compliance expense | 14,117 | 14,117 | 11,293 | 11,293 | 11,293 | 11,293 | 11,293 | |||||||||||||||||||||
Other | 4,142 | 9,361 | 1,658 | 5,354 | 24,984 | 41,293 | 8,203 | |||||||||||||||||||||
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| |||||||||||||||
Total expenses | 1,094,131 | 3,162,247 | 441,194 | 1,224,920 | 5,302,013 | 8,560,778 | 1,872,211 | |||||||||||||||||||||
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Less expenses reduced or reimbursed by advisor | — | — | (225,670 | ) | (546,454 | ) | (2,175,981 | ) | (3,208,708 | ) | (787,420 | ) | ||||||||||||||||
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Net expenses | 1,094,131 | 3,162,247 | 215,524 | 678,466 | 3,126,032 | 5,352,070 | 1,084,791 | |||||||||||||||||||||
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Net investment income | 295,214 | 3,850,193 | 1,472,402 | 3,844,130 | 12,745,203 | 16,421,240 | 2,205,209 | |||||||||||||||||||||
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| |||||||||||||||
Realized/unrealized gain on investments, capital gain distributions received from underlying mutual funds, futures contracts, and foreign currency related transactions: | ||||||||||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||||||||||
Investments in securities of unaffiliated issuers | 24,580,265 | 7,325,539 | 252,194 | 594,246 | 4,108,461 | 4,629,520 | 887,084 | |||||||||||||||||||||
Capital gain distributions received from underlying unaffiliated mutual funds | — | — | 29,324 | 74,036 | 124,599 | 385,549 | — | |||||||||||||||||||||
Capital gain distributions received from underlying affiliated mutual funds | — | — | — | 688,583 | 4,185,563 | 8,584,802 | 1,758,263 | |||||||||||||||||||||
Investments in affiliates | — | — | 424,742 | 1,707,272 | 10,001,161 | 17,465,279 | 3,904,971 | |||||||||||||||||||||
Futures contracts | — | 6,685,970 | — | — | — | — | — | |||||||||||||||||||||
Foreign currency related transactions | — | 517 | — | — | — | — | — | |||||||||||||||||||||
Change in unrealized appreciation/depreciation on: | ||||||||||||||||||||||||||||
Investments in securities of unaffiliated issuers | 7,591,502 | 33,106,774 | 914,762 | 2,402,772 | 12,984,847 | 17,712,407 | 2,949,350 | |||||||||||||||||||||
Investments in affiliates | — | — | 2,323,099 | 12,848,680 | 89,088,546 | 183,950,617 | 45,415,381 | |||||||||||||||||||||
Futures contracts | — | 84,780 | — | — | — | — | — | |||||||||||||||||||||
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Net realized/unrealized gain on investments, capital gain distributions received from underlying mutual funds, futures contracts, and foreign currency related transactions | 32,171,767 | 47,203,580 | 3,944,121 | 18,315,589 | 120,493,177 | 232,728,174 | 54,915,049 | |||||||||||||||||||||
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Change in net assets from operations | $ | 32,466,981 | $ | 51,053,773 | $ | 5,416,523 | $ | 22,159,719 | $ | 133,238,380 | $ | 249,149,414 | $ | 57,120,258 | ||||||||||||||
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*Taxes withheld | $ | 3,691 | $ | 8,049 | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
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** For the period from March 1, 2017 (inception) to December 31, 2017
The accompanying notes are an integral part of these financial statements.
133 |
Ohio National Fund, Inc. |
Equity Portfolio | Bond Portfolio | Omni Portfolio | Capital Appreciation Portfolio | |||||||||||||||||||||||||||||
Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | |||||||||||||||||||||||||
Increase (Decrease) in net assets: | ||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||
Net investment income | $ | 4,056,364 | $ | 5,567,497 | $ | 5,490,404 | $ | 5,360,664 | $ | 642,510 | $ | 548,355 | $ | 1,723,715 | $ | 4,370,483 | ||||||||||||||||
Net realized gain on investments and foreign currency related transactions | 48,627,176 | 13,905,247 | 945,221 | 1,222,360 | 8,186,809 | 102,741 | 22,158,899 | 3,967,555 | ||||||||||||||||||||||||
Change in unrealized appreciation/depreciation on investments and foreign currency related transactions | 25,708,456 | 45,292,838 | 3,790,719 | 5,678,977 | 3,210,023 | 4,237,353 | (845,434 | ) | 29,929,870 | |||||||||||||||||||||||
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Change in net assets from operations | 78,391,996 | 64,765,582 | 10,226,344 | 12,262,001 | 12,039,342 | 4,888,449 | 23,037,180 | 38,267,908 | ||||||||||||||||||||||||
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Capital transactions: | ||||||||||||||||||||||||||||||||
Received from shares sold | 405,044,830 | 74,625,434 | 195,349,582 | 43,120,961 | 7,854,928 | 22,508,648 | 80,306,162 | 26,186,350 | ||||||||||||||||||||||||
Paid for shares redeemed | (490,371,035 | ) | (92,865,870 | ) | (46,957,435 | ) | (50,720,513 | ) | (9,385,488 | ) | (18,210,716 | ) | (173,461,176 | ) | (299,174,418 | ) | ||||||||||||||||
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Change in net assets from capital transactions | (85,326,205 | ) | (18,240,436 | ) | 148,392,147 | (7,599,552 | ) | (1,530,560 | ) | 4,297,932 | (93,155,014 | ) | (272,988,068 | ) | ||||||||||||||||||
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Change in net assets | (6,934,209 | ) | 46,525,146 | 158,618,491 | 4,662,449 | 10,508,782 | 9,186,381 | (70,117,834 | ) | (234,720,160 | ) | |||||||||||||||||||||
Net assets: | ||||||||||||||||||||||||||||||||
Beginning of year | 581,814,106 | 535,288,960 | 158,702,860 | 154,040,411 | 57,885,513 | 48,699,132 | 195,707,999 | 430,428,159 | ||||||||||||||||||||||||
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End of year | $ | 574,879,897 | $ | 581,814,106 | $ | 317,321,351 | $ | 158,702,860 | $ | 68,394,295 | $ | 57,885,513 | $ | 125,590,165 | $ | 195,707,999 | ||||||||||||||||
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Undistributed net investment income | $ | — | $ | 5,525,222 | $ | — | $ | 5,360,664 | $ | — | $ | 548,355 | $ | — | $ | 4,376,693 | ||||||||||||||||
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The accompanying notes are an integral part of these financial statements.
134 |
Ohio National Fund, Inc. |
Statements of Changes in Net Assets |
ON International Equity Portfolio | ON Foreign Portfolio | Aggressive Growth Portfolio | Small Cap Growth Portfolio | |||||||||||||||||||||||||||||
Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | |||||||||||||||||||||||||
Increase (Decrease) in net assets: | ||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 1,930,831 | $ | 2,311,311 | $ | 766,568 | $ | 611,684 | $ | (87,431 | ) | $ | (48,739 | ) | $ | (496,991 | ) | $ | 94,462 | |||||||||||||
Net realized gain (loss) on investments, futures contracts, foreign currency contracts, and other foreign currency related transactions | 20,007,115 | (2,908,384 | ) | 12,225,092 | 1,355,648 | 7,596,740 | 3,612,672 | 15,587,664 | 4,425,258 | |||||||||||||||||||||||
Change in unrealized appreciation/depreciation on investments, futures contracts, foreign currency contracts, and other foreign currency related transactions | 14,707,509 | (7,063,923 | ) | 318,637 | (7,904,384 | ) | 6,024,692 | (1,590,805 | ) | 40,132,780 | 9,943,195 | |||||||||||||||||||||
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Change in net assets from operations | 36,645,455 | (7,660,996 | ) | 13,310,297 | (5,937,052 | ) | 13,534,001 | 1,973,128 | 55,223,453 | 14,462,915 | ||||||||||||||||||||||
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Capital transactions: | ||||||||||||||||||||||||||||||||
Received from shares sold | 14,910,907 | 18,416,529 | 19,610,626 | 15,529,970 | 12,889,196 | 17,503,430 | 177,635,315 | 35,048,894 | ||||||||||||||||||||||||
Paid for shares redeemed | (34,994,526 | ) | (28,208,183 | ) | (19,903,183 | ) | (21,246,851 | ) | (15,646,575 | ) | (20,962,621 | ) | (188,951,193 | ) | (55,439,909 | ) | ||||||||||||||||
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Change in net assets from capital transactions | (20,083,619 | ) | (9,791,654 | ) | (292,557 | ) | (5,716,881 | ) | (2,757,379 | ) | (3,459,191 | ) | (11,315,878 | ) | (20,391,015 | ) | ||||||||||||||||
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Change in net assets | 16,561,836 | (17,452,650 | ) | 13,017,740 | (11,653,933 | ) | 10,776,622 | (1,486,063 | ) | 43,907,575 | (5,928,100 | ) | ||||||||||||||||||||
Net assets: | ||||||||||||||||||||||||||||||||
Beginning of year | 141,524,909 | 158,977,559 | 66,672,990 | 78,326,923 | 49,865,734 | 51,351,797 | 232,306,906 | 238,235,006 | ||||||||||||||||||||||||
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End of year | $ | 158,086,745 | $ | 141,524,909 | $ | 79,690,730 | $ | 66,672,990 | $ | 60,642,356 | $ | 49,865,734 | $ | 276,214,481 | $ | 232,306,906 | ||||||||||||||||
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Undistributed net investment income (loss) | $ | 60 | $ | (161,193 | ) | $ | (395,348 | ) | $ | 511,499 | $ | — | $ | — | $ | (413,980 | ) | $ | (248,899 | ) | ||||||||||||
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The accompanying notes are an integral part of these financial statements.
135 |
Ohio National Fund, Inc. |
Statements of Changes in Net Assets |
Mid Cap Opportunity Portfolio | S&P 500® Index Portfolio | Strategic Value Portfolio | High Income Bond Portfolio | |||||||||||||||||||||||||||||
Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | |||||||||||||||||||||||||
Increase (Decrease) in net assets: | ||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | (178,848 | ) | $ | (215,629 | ) | $ | 15,437,238 | $ | 9,504,257 | $ | 20,840,410 | $ | 11,653,440 | $ | 16,582,542 | $ | 12,498,039 | ||||||||||||||
Net realized gain (loss) on investments, futures contracts, and foreign currency related transactions | 8,412,020 | (338,817 | ) | 36,445,415 | 7,146,352 | 31,449,661 | 25,978,158 | 2,116,365 | (5,416,854 | ) | ||||||||||||||||||||||
Change in unrealized appreciation/depreciation on investments, futures contracts, and foreign currency related transactions | 9,661,514 | 1,686,385 | 129,535,843 | 44,613,505 | 21,723,360 | (5,901,300 | ) | 2,626,767 | 20,481,746 | |||||||||||||||||||||||
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Change in net assets from operations | 17,894,686 | 1,131,939 | 181,418,496 | 61,264,114 | 74,013,431 | 31,730,298 | 21,325,674 | 27,562,931 | ||||||||||||||||||||||||
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Capital transactions: | ||||||||||||||||||||||||||||||||
Received from shares sold | 5,911,403 | 11,015,154 | 626,563,875 | 481,935,063 | 506,307,850 | 230,579,093 | 231,572,692 | 145,585,402 | ||||||||||||||||||||||||
Paid for shares redeemed | (16,200,896 | ) | (20,652,206 | ) | (506,466,387 | ) | (111,283,422 | ) | (459,177,636 | ) | (96,596,881 | ) | (247,603,288 | ) | (53,611,878 | ) | ||||||||||||||||
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Change in net assets from capital transactions | (10,289,493 | ) | (9,637,052 | ) | 120,097,488 | 370,651,641 | 47,130,214 | 133,982,212 | (16,030,596 | ) | 91,973,524 | |||||||||||||||||||||
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Change in net assets | 7,605,193 | (8,505,113 | ) | 301,515,984 | 431,915,755 | 121,143,645 | 165,712,510 | 5,295,078 | 119,536,455 | |||||||||||||||||||||||
Net assets: | ||||||||||||||||||||||||||||||||
Beginning of year | 70,198,258 | 78,703,371 | 842,639,396 | 410,723,641 | 475,521,276 | 309,808,766 | 313,757,468 | 194,221,013 | ||||||||||||||||||||||||
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End of year | $ | 77,803,451 | $ | 70,198,258 | $ | 1,144,155,380 | $ | 842,639,396 | $ | 596,664,921 | $ | 475,521,276 | $ | 319,052,546 | $ | 313,757,468 | ||||||||||||||||
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Undistributed net investment income | $ | — | $ | — | $ | — | $ | 9,260,797 | $ | — | $ | 11,156,521 | $ | 7,404 | $ | 12,505,541 | ||||||||||||||||
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The accompanying notes are an integral part of these financial statements.
136 |
Ohio National Fund, Inc. |
Statements of Changes in Net Assets |
ClearBridge Small Cap Portfolio | Nasdaq-100® Index Portfolio | Bristol Portfolio | Bryton Growth Portfolio | |||||||||||||||||||||||||||||
Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | |||||||||||||||||||||||||
Increase (Decrease) in net assets: | ||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 823,123 | $ | 1,201,809 | $ | 1,394,047 | $ | 1,168,073 | $ | 1,003,578 | $ | 1,044,015 | $ | (481,788 | ) | $ | (860,516 | ) | ||||||||||||||
Net realized gain (loss) on investments and futures contracts | 26,041,485 | 9,259,292 | 8,094,996 | 3,504,093 | 41,888,166 | 5,891,996 | 14,849,635 | (7,638,999 | ) | |||||||||||||||||||||||
Change in unrealized appreciation on investments and futures contracts | 5,031,578 | 27,407,702 | 43,376,301 | 4,693,663 | 6,677,159 | 16,891,694 | 1,760,048 | 15,613,273 | ||||||||||||||||||||||||
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Change in net assets from operations | 31,896,186 | 37,868,803 | 52,865,344 | 9,365,829 | 49,568,903 | 23,827,705 | 16,127,895 | 7,113,758 | ||||||||||||||||||||||||
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Capital transactions: | ||||||||||||||||||||||||||||||||
Received from shares sold | 210,858,672 | 176,227,241 | 104,350,460 | 62,657,502 | 177,409,632 | 17,790,000 | 75,485,463 | 23,716,928 | ||||||||||||||||||||||||
Paid for shares redeemed | (243,371,357 | ) | (32,385,445 | ) | (56,054,728 | ) | (54,533,803 | ) | (211,200,737 | ) | (52,376,277 | ) | (129,426,147 | ) | (98,411,908 | ) | ||||||||||||||||
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Change in net assets from capital transactions | (32,512,685 | ) | 143,841,796 | 48,295,732 | 8,123,699 | (33,791,105 | ) | (34,586,277 | ) | (53,940,684 | ) | (74,694,980 | ) | |||||||||||||||||||
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Change in net assets | (616,499 | ) | 181,710,599 | 101,161,076 | 17,489,528 | 15,777,798 | (10,758,572 | ) | (37,812,789 | ) | (67,581,222 | ) | ||||||||||||||||||||
Net assets: | ||||||||||||||||||||||||||||||||
Beginning of year | 275,714,066 | 94,003,467 | 156,056,433 | 138,566,905 | 207,924,145 | 218,682,717 | 94,587,373 | 162,168,595 | ||||||||||||||||||||||||
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End of year | $ | 275,097,567 | $ | 275,714,066 | $ | 257,217,509 | $ | 156,056,433 | $ | 223,701,943 | $ | 207,924,145 | $ | 56,774,584 | $ | 94,587,373 | ||||||||||||||||
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Undistributed net investment income | $ | 41,305 | $ | 1,095,296 | $ | — | $ | 1,168,073 | $ | — | $ | 1,044,016 | $ | — | $ | — | ||||||||||||||||
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The accompanying notes are an integral part of these financial statements.
137 |
Ohio National Fund, Inc. |
Statements of Changes in Net Assets |
Balanced Portfolio | S&P MidCap 400® Index Portfolio | Bristol Growth Portfolio | Risk Managed Balanced Portfolio | |||||||||||||||||||||||||||||
Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | Year Ended December 31, 2017 | Year Ended December 31, 2016 | |||||||||||||||||||||||||
Increase (Decrease) in net assets: | ||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||
Net investment income | $ | 18,946,310 | $ | 18,594,618 | $ | 528,803 | $ | 542,920 | $ | 295,214 | $ | 424,532 | $ | 3,850,193 | $ | 2,324,310 | ||||||||||||||||
Net realized gain on investments, futures contracts, foreign currency related transactions, and written options | 33,131,955 | 1,778,556 | 1,249,952 | 3,365,004 | 24,580,265 | 4,713,343 | 14,012,026 | 149,292 | ||||||||||||||||||||||||
Change in unrealized appreciation/depreciation on investments, futures contracts, foreign currency related transactions, and written options | 49,373,289 | 22,371,779 | 6,263,050 | (31,624 | ) | 7,591,502 | 3,610,910 | 33,191,554 | 5,432,477 | |||||||||||||||||||||||
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Change in net assets from operations | 101,451,554 | 42,744,953 | 8,041,805 | 3,876,300 | 32,466,981 | 8,748,785 | 51,053,773 | 7,906,079 | ||||||||||||||||||||||||
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Capital transactions: | ||||||||||||||||||||||||||||||||
Received from shares sold | 502,351,143 | 178,836,349 | 58,563,238 | 5,426,998 | 118,823,309 | 13,636,740 | 83,103,619 | 145,512,489 | ||||||||||||||||||||||||
Paid for shares redeemed | (600,794,651 | ) | (134,411,384 | ) | (25,711,544 | ) | (7,686,316 | ) | (140,799,340 | ) | (21,052,560 | ) | (62,068,377 | ) | (35,661,000 | ) | ||||||||||||||||
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Change in net assets from capital transactions | (98,443,508 | ) | 44,424,965 | 32,851,694 | (2,259,318 | ) | (21,976,031 | ) | (7,415,820 | ) | 21,035,242 | 109,851,489 | ||||||||||||||||||||
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Change in net assets | 3,008,046 | 87,169,918 | 40,893,499 | 1,616,982 | 10,490,950 | 1,332,965 | 72,089,015 | 117,757,568 | ||||||||||||||||||||||||
Net assets: | ||||||||||||||||||||||||||||||||
Beginning of year | 952,091,955 | 864,922,037 | 47,889,238 | 46,272,256 | 117,558,106 | 116,225,141 | 272,081,588 | 154,324,020 | ||||||||||||||||||||||||
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End of year | $ | 955,100,001 | $ | 952,091,955 | $ | 88,782,737 | $ | 47,889,238 | $ | 128,049,056 | $ | 117,558,106 | $ | 344,170,603 | $ | 272,081,588 | ||||||||||||||||
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Undistributed net investment income | $ | — | $ | 16,855,506 | $ | — | $ | 560,876 | $ | — | $ | 424,532 | $ | — | $ | 2,274,441 | ||||||||||||||||
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The accompanying notes are an integral part of these financial statements.
138 |
Ohio National Fund, Inc. |
Statements of Changes in Net Assets |
ON Conservative Model Portfolio | ON Moderately Conservative Model Portfolio | ON Balanced Model Portfolio | ON Moderate Growth Model Portfolio | ON Growth Model Portfolio | ||||||||||||||||
Period from March 1, 2017 (inception) to December 31, 2017 | Period from March 1, 2017 (inception) to December 31, 2017 | Period from March 1, 2017 (inception) to December 31, 2017 | Period from March 1, 2017 (inception) to December 31, 2017 | Period from March 1, 2017 (inception) to December 31, 2017 | ||||||||||||||||
Increase (Decrease) in net assets: | ||||||||||||||||||||
Operations: | ||||||||||||||||||||
Net investment income | $ | 1,472,402 | $ | 3,844,130 | $ | 12,745,203 | $ | 16,421,240 | $ | 2,205,209 | ||||||||||
Net realized gain on investments and capital gain distributions received from underlying mutual funds | 706,260 | 3,064,137 | 18,419,784 | 31,065,150 | 6,550,318 | |||||||||||||||
Change in unrealized appreciation on investments | 3,237,861 | 15,251,452 | 102,073,393 | 201,663,024 | 48,364,731 | |||||||||||||||
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Change in net assets from operations | 5,416,523 | 22,159,719 | 133,238,380 | 249,149,414 | 57,120,258 | |||||||||||||||
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Capital transactions: | ||||||||||||||||||||
Received from shares sold | 116,235,409 | 354,878,115 | 1,605,179,885 | 2,645,437,657 | 539,074,347 | |||||||||||||||
Paid for shares redeemed | (21,934,625 | ) | (51,081,922 | ) | (175,842,247 | ) | (247,795,173 | ) | (52,416,855 | ) | ||||||||||
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Change in net assets from capital transactions | 94,300,784 | 303,796,193 | 1,429,337,638 | 2,397,642,484 | 486,657,492 | |||||||||||||||
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Change in net assets | 99,717,307 | 325,955,912 | 1,562,576,018 | 2,646,791,898 | 543,777,750 | |||||||||||||||
Net assets: | ||||||||||||||||||||
Beginning of period | — | — | — | — | — | |||||||||||||||
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End of period | $ | 99,717,307 | $ | 325,955,912 | $ | 1,562,576,018 | $ | 2,646,791,898 | $ | 543,777,750 | ||||||||||
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Undistributed net investment income | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
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The accompanying notes are an integral part of these financial statements.
139 |
Ohio National Fund, Inc. |
Selected per-share data | Ratios and supplemental data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Operations | Distributions | Ratios to average net assets | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios assuming | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
no expenses | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
reduced or | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios net of expenses reduced or | reimbursed by | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
reimbursed by adviser | adviser | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net realized and | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
unrealized gain (loss) on | Distributions | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
investments and foreign | from net | Net assets at end | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, | Net investment | currency related | Total from | investment | Net asset value, | of year | Net investment | Portfolio turnover | ||||||||||||||||||||||||||||||||||||||||||||||||||||
beginning of year | income | transactions | operations | income | end of year | Total Return | (in millions) | Expenses | income | Expenses | rate | |||||||||||||||||||||||||||||||||||||||||||||||||
Equity Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2017 | $ | 36.09 | 0.35 | 4.94 | 5.29 | — | $ | 41.38 | 14.66% | $ | 574.9 | 0.80% | 0.71% | 0.80% | 41% | |||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2016 | $ | 32.02 | 0.35 | 3.72 | 4.07 | — | $ | 36.09 | 12.71% | $ | 581.8 | 0.82% | 1.05% | 0.82% | 47% | |||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2015 | $ | 33.44 | 0.21 | (1.44 | ) | (1.23 | ) | (0.19 | ) | $ | 32.02 | -3.69% | $ | 535.3 | 0.81% | 0.69% | 0.81% | 47% | ||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2014 | $ | 29.41 | 0.12 | 4.02 | 4.14 | (0.11 | ) | $ | 33.44 | 14.07% | $ | 518.7 | 0.83% | 0.69% | 0.83% | 46% | ||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2013 | $ | 21.54 | 0.27 | 7.84 | 8.11 | (0.24 | ) | $ | 29.41 | 37.69% | $ | 221.4 | 0.87% | 0.98% | 0.87% | 43% | ||||||||||||||||||||||||||||||||||||||||||||
Bond Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2017 | $ | 16.54 | 0.04 | 0.98 | 1.02 | — | $ | 17.56 | 6.17% | $ | 317.3 | 0.63% | 3.16% | 0.63% | 114% | |||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2016 | $ | 15.33 | 0.59 | 0.62 | 1.21 | — | $ | 16.54 | 7.89% | $ | 158.7 | 0.65% | 3.33% | 0.65% | 88% | |||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2015 | $ | 15.65 | 0.56 | (0.88 | ) | (0.32 | ) | — | $ | 15.33 | -2.04% | $ | 154.0 | 0.64% | 3.46% | 0.64% | 93% | |||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2014 | $ | 14.78 | 0.50 | 0.37 | 0.87 | — | $ | 15.65 | 5.89% | $ | 158.7 | 0.64% | 3.34% | 0.64% | 35% | |||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2013 | $ | 15.07 | 0.56 | (0.85 | ) | (0.29 | ) | — | $ | 14.78 | -1.92% | $ | 151.6 | 0.66% | 3.34% | 0.66% | 15% | |||||||||||||||||||||||||||||||||||||||||||
Omni Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2017 | $ | 26.93 | 0.31 | 5.36 | 5.67 | — | $ | 32.60 | 21.05% | $ | 68.4 | 0.78% | 1.02% | 0.78% | 187% | |||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2016 | $ | 24.43 | 0.25 | 2.25 | 2.50 | — | $ | 26.93 | 10.23% | $ | 57.9 | 0.80% | 1.09% | 0.80% | 194% | |||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2015 | $ | 24.15 | 0.28 | 0.24 | 0.52 | (0.24 | ) | $ | 24.43 | 2.15% | $ | 48.7 | 0.77% | 1.23% | 0.77% | 186% | ||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2014 | $ | 21.74 | 0.26 | 2.37 | 2.63 | (0.22 | ) | $ | 24.15 | 12.12% | $ | 37.2 | 0.77% | 1.06% | 0.77% | 198% | ||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2013 | $ | 16.82 | 0.24 | 4.89 | 5.13 | (0.21 | ) | $ | 21.74 | 30.53% | $ | 37.9 | 0.79% | 1.17% | 0.79% | 210% | ||||||||||||||||||||||||||||||||||||||||||||
Capital Appreciation Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2017 | $ | 37.70 | 1.28 | 4.68 | 5.96 | — | $ | 43.66 | 15.81% | $ | 125.6 | 0.86% | 1.00% | 0.86% | 51% | |||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2016 | $ | 32.88 | 0.91 | 3.91 | 4.82 | — | $ | 37.70 | 14.66% | $ | 195.7 | 0.82% | 1.21% | 0.82% | 55% | |||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2015 | $ | 33.82 | 0.29 | (0.98 | ) | (0.69 | ) | (0.25 | ) | $ | 32.88 | -2.05% | $ | 430.4 | 0.80% | 0.86% | 0.80% | 69% | ||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2014 | $ | 31.24 | 0.08 | 2.59 | 2.67 | (0.09 | ) | $ | 33.82 | 8.54% | $ | 449.4 | 0.83% | 0.56% | 0.83% | 67% | ||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2013 | $ | 23.32 | 0.13 | 7.91 | 8.04 | (0.12 | ) | $ | 31.24 | 34.51% | $ | 138.0 | 0.88% | 0.45% | 0.88% | 49% |
The accompanying notes are an integral part of these financial statements.
140 |
Ohio National Fund, Inc. |
Financial Highlights |
Selected per-share data | Ratios and supplemental data | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Operations | Ratios to average net assets | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios net of expenses reduced or reimbursed by adviser |
Ratios assuming no | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year | Net investment income (loss) | Net realized and unrealized currency contracts, and | Total from operations | Net asset value, end of year | Total Return | Net assets at end of year (in millions) | Expenses | Net investment income (loss) | Expenses | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||||||||
ON International Equity Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2017 | $ | 11.89 | 0.18 | 3.01 | 3.19 | $ | 15.08 | 26.83% | $ | 158.1 | 1.06% | 1.25% | 1.06% | 132% | (a) | ||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2016 | $ | 12.50 | 0.22 | (0.83 | ) | (0.61 | ) | $ | 11.89 | -4.88% | $ | 141.5 | 1.02% | 1.57% | 1.02% | 69% | |||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2015 | $ | 12.55 | 0.19 | (0.24 | ) | (0.05 | ) | $ | 12.50 | -0.40% | (b) | $ | 159.0 | 1.00% | 1.21% | 1.00% | 72% | ||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2014 | $ | 13.85 | 0.18 | (1.48 | ) | (1.30 | ) | $ | 12.55 | -9.39% | $ | 174.4 | 0.84% | 1.43% | 1.00% | 95% | |||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2013 | $ | 12.41 | 0.23 | 1.21 | 1.44 | $ | 13.85 | 11.60% | $ | 189.4 | 0.75% | 1.52% | 1.01% | 53% | |||||||||||||||||||||||||||||||||||||||||
ON Foreign Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2017 | $ | 27.72 | 0.32 | 5.18 | 5.50 | $ | 33.22 | 19.84% | $ | 79.7 | 1.22% | 1.01% | 1.22% | 126% | (a) | ||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2016 | $ | 29.98 | 0.26 | (2.52 | ) | (2.26 | ) | $ | 27.72 | -7.54% | $ | 66.7 | 1.24% | 0.89% | 1.24% | 51% | |||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2015 | $ | 27.39 | 0.03 | 2.56 | 2.59 | $ | 29.98 | 9.46% | (b) | $ | 78.3 | 1.23% | 0.12% | 1.23% | 58% | ||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2014 | $ | 30.03 | 0.12 | (2.76 | ) | (2.64 | ) | $ | 27.39 | -8.79% | $ | 67.6 | 1.18% | 0.38% | 1.18% | 65% | |||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2013 | $ | 23.52 | 0.12 | 6.39 | 6.51 | $ | 30.03 | 27.68% | $ | 77.0 | 1.19% | 0.40% | 1.19% | 51% | |||||||||||||||||||||||||||||||||||||||||
Aggressive Growth Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2017 | $ | 15.61 | (0.03 | ) | 4.35 | 4.32 | $ | 19.93 | 27.67% | $ | 60.6 | 0.96% | -0.15% | 0.96% | 57% | ||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2016 | $ | 15.09 | (0.02 | ) | 0.54 | 0.52 | $ | 15.61 | 3.45% | $ | 49.9 | 0.95% | -0.09% | 0.95% | 63% | ||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2015 | $ | 13.70 | (0.01 | ) | 1.40 | 1.39 | $ | 15.09 | 10.15% | $ | 51.4 | 0.93% | -0.10% | 0.93% | 60% | ||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2014 | $ | 12.50 | (0.03 | ) | 1.23 | 1.20 | $ | 13.70 | 9.60% | $ | 39.9 | 0.94% | -0.23% | 0.94% | 55% | ||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2013 | $ | 9.51 | (0.02 | ) | 3.01 | 2.99 | $ | 12.50 | 31.44% | $ | 39.4 | 0.97% | -0.25% | 0.97% | 60% | ||||||||||||||||||||||||||||||||||||||||
Small Cap Growth Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2017 | $ | 26.61 | (0.06 | ) | 6.44 | 6.38 | $ | 32.99 | 23.98% | $ | 276.2 | 0.85% | -0.19% | 0.85% | 26% | ||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2016 | $ | 25.01 | 0.01 | 1.59 | 1.60 | $ | 26.61 | 6.40% | $ | 232.3 | 0.86% | 0.04% | 0.86% | 25% | |||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2015 | $ | 25.07 | (0.03 | ) | (0.03 | ) | (0.06 | ) | $ | 25.01 | -0.24% | (b) | $ | 238.2 | 0.85% | -0.12% | 0.85% | 37% | |||||||||||||||||||||||||||||||||||||
Year ended December 31, 2014 | $ | 22.65 | (0.05 | ) | 2.47 | 2.42 | $ | 25.07 | 10.64% | $ | 212.1 | 0.89% | -0.31% | 0.89% | 58% | ||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2013 | $ | 15.59 | (0.03 | ) | 7.09 | 7.06 | $ | 22.65 | 45.29% | $ | 109.5 | 1.04% | -0.29% | 1.04% | 69% | (c) |
(a) | Effective May 1, 2017, the sub-adviser to the ON International Equity Portfolio changed from Federated Global Investment Management Corp. to Lazard Asset Management LLC and the sub-adviser to the ON Foreign Portfolio changed from Federated Global Investment Management Corp. to Templeton Global Advisors Limited. Costs of purchases and proceeds from sales of portfolio securities associated with the changes in the sub-advisers contributed to higher portfolio turnover rates for the year ended December 31, 2017 as compared to prior years. |
(b) | Initial Public Offering (IPO) investments had a significant impact on the total return in this period and such performance may be difficult to repeat. |
(c) | The cost of purchases and proceeds from sales of securities that were incurred to realign the Portfolio’s holdings subsequent to the December 20, 2013 reorganization are excluded from the 2013 portfolio turnover rate calculation. If such amounts had not been excluded, the portfolio turnover rate would have been 146%. |
The accompanying notes are an integral part of these financial statements.
141 |
Ohio National Fund, Inc. |
Financial Highlights |
Selected per-share data | Ratios and supplemental data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Operations | Distributions | Ratios to average net assets | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios net of expenses reduced or reimbursed by adviser |
Ratios assuming | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year | Net investment income (loss) | Net realized and investments, futures | Total from operations | Distributions from net investment income | Net asset value, end of year | Total Return | Net assets at end of year (in millions) | Expenses | Net investment income (loss) | Expenses | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||||||||||||
Mid Cap Opportunity Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2017 | $ | 30.37 | (0.09 | ) | 8.32 | 8.23 | — | $ | 38.60 | 27.10% | $ | 77.8 | 0.98% | -0.24% | 0.98% | 57% | ||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2016 | $ | 29.90 | (0.09 | ) | 0.56 | 0.47 | — | $ | 30.37 | 1.57% | $ | 70.2 | 0.98% | -0.29% | 0.98% | 61% | ||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2015 | $ | 31.49 | (0.07 | ) | (1.52 | ) | (1.59 | ) | — | $ | 29.90 | -5.05% | (a) | $ | 78.7 | 0.94% | -0.21% | 0.94% | 59% | |||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2014 | $ | 28.24 | (0.05 | ) | 3.30 | 3.25 | — | $ | 31.49 | 11.51% | $ | 86.7 | 0.94% | -0.18% | 0.94% | 61% | ||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2013 | $ | 21.32 | (0.07 | ) | 6.99 | 6.92 | — | $ | 28.24 | 32.46% | $ | 83.0 | 0.96% | -0.28% | 0.96% | 44% | ||||||||||||||||||||||||||||||||||||||||||||
S&P 500® Index Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2017 | $ | 24.32 | 0.37 | 4.83 | 5.20 | — | $ | 29.52 | 21.38% | $ | 1,144.2 | 0.38% | 1.65% | 0.38% | 8% | |||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2016 | $ | 21.82 | 0.25 | 2.25 | 2.50 | — | $ | 24.32 | 11.46% | $ | 842.6 | 0.42% | 1.84% | 0.42% | 8% | |||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2015 | $ | 21.93 | 0.37 | (0.17 | ) | 0.20 | (0.31 | ) | $ | 21.82 | 0.91% | $ | 410.7 | 0.41% | 1.72% | 0.41% | 14% | |||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2014 | $ | 19.63 | 0.32 | 2.25 | 2.57 | (0.27 | ) | $ | 21.93 | 13.11% | $ | 388.2 | 0.43% | 1.64% | 0.43% | 11% | ||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2013 | $ | 15.08 | 0.26 | 4.52 | 4.78 | (0.23 | ) | $ | 19.63 | 31.74% | $ | 314.9 | 0.45% | 1.68% | 0.45% | 15% | ||||||||||||||||||||||||||||||||||||||||||||
Strategic Value Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2017 | $ | 15.60 | 0.59 | 1.69 | 2.28 | — | $ | 17.88 | 14.62% | $ | 596.7 | 0.75% | 3.77% | 0.75% | 27% | |||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2016 | $ | 14.07 | 0.36 | 1.17 | 1.53 | — | $ | 15.60 | 10.87% | $ | 475.5 | 0.78% | 3.19% | 0.78% | 32% | |||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2015 | $ | 13.92 | 0.53 | 0.06 | 0.59 | (0.44 | ) | $ | 14.07 | 4.26% | $ | 309.8 | 0.78% | 3.47% | 0.78% | 13% | ||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2014 | $ | 13.09 | 0.93 | 0.68 | 1.61 | (0.78 | ) | $ | 13.92 | 12.41% | $ | 332.6 | 0.78% | 5.37% | 0.78% | 22% | ||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2013 | $ | 11.09 | 0.35 | 1.97 | 2.32 | (0.32 | ) | $ | 13.09 | 21.00% | $ | 397.7 | 0.79% | 3.58% | 0.79% | 22% | ||||||||||||||||||||||||||||||||||||||||||||
High Income Bond Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2017 | $ | 18.10 | 1.04 | 0.22 | 1.26 | — | $ | 19.36 | 6.96% | $ | 319.1 | 0.74% | 5.21% | 0.74% | 30% | |||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2016 | $ | 15.82 | 0.43 | 1.85 | 2.28 | — | $ | 18.10 | 14.41% | $ | 313.8 | 0.80% | 5.56% | 0.80% | 30% | |||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2015 | $ | 16.32 | 1.18 | (1.68 | ) | (0.50 | ) | — | $ | 15.82 | -3.06% | $ | 194.2 | 0.80% | 5.65% | 0.80% | 29% | |||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2014 | $ | 15.88 | 1.57 | (1.13 | ) | 0.44 | — | $ | 16.32 | 2.77% | $ | 230.1 | 0.77% | 5.73% | 0.77% | 33% | ||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2013 | $ | 14.83 | 1.10 | (0.05 | ) | 1.05 | — | $ | 15.88 | 7.08% | $ | 307.9 | 0.77% | 6.36% | 0.77% | 29% |
(a) | Initial Public Offering (IPO) investments had a significant impact on the total return in this period and such performance may be difficult to repeat. |
The accompanying notes are an integral part of these financial statements.
142 |
Ohio National Fund, Inc. |
Financial Highlights |
Selected per-share data | Ratios and supplemental data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Operations | Distributions | Ratios to average net assets | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios net of expenses reduced or reimbursed by adviser |
Ratios assuming | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year | Net investment income (loss) | Net realized and unrealized gain (loss) on investments and futures contracts | Total from operations | Distributions from net investment income | Net asset value, end of year | Total Return | Net assets at end of year (in millions) | Expenses | Net investment income (loss) | Expenses | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||||||||||||
ClearBridge Small Cap Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2017 | $ | 51.21 | 0.20 | 6.05 | 6.25 | — | $ | 57.46 | 12.20% | $ | 275.1 | 0.89% | 0.30% | 0.89% | 46% | |||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2016 | $ | 40.00 | 0.22 | 10.99 | 11.21 | — | $ | 51.21 | 28.03% | $ | 275.7 | 0.93% | 0.92% | 0.93% | 51% | |||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2015 | $ | 41.01 | (0.10 | ) | (0.91 | ) | (1.01 | ) | — | $ | 40.00 | -2.46% | $ | 94.0 | 1.01% | -0.29% | 1.01% | 126% | (a) | |||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2014 | $ | 40.03 | (0.19 | ) | 1.17 | 0.98 | — | $ | 41.01 | 2.45% | $ | 75.5 | 1.00% | -0.45% | 1.00% | 44% | ||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2013 | $ | 30.73 | (0.15 | ) | 9.45 | 9.30 | — | $ | 40.03 | 30.26% | $ | 80.4 | 1.01% | -0.44% | 1.01% | 42% | ||||||||||||||||||||||||||||||||||||||||||||
Nasdaq-100® Index Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2017 | $ | 12.59 | 0.07 | 4.01 | 4.08 | — | $ | 16.67 | 32.41% | $ | 257.2 | 0.45% | 0.71% | 0.45% | 9% | |||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2016 | $ | 11.80 | 0.09 | 0.70 | 0.79 | — | $ | 12.59 | 6.69% | $ | 156.1 | 0.48% | 0.84% | 0.48% | 13% | |||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2015 | $ | 10.88 | 0.09 | 0.91 | 1.00 | (0.08 | ) | $ | 11.80 | 9.14% | $ | 138.6 | 0.46% | 0.79% | 0.46% | 19% | ||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2014 | $ | 9.25 | 0.12 | 1.62 | 1.74 | (0.11 | ) | $ | 10.88 | 18.77% | $ | 121.7 | 0.48% | 1.23% | 0.48% | 23% | ||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2013 | $ | 6.85 | 0.07 | 2.39 | 2.46 | (0.06 | ) | $ | 9.25 | 35.98% | $ | 95.8 | 0.51% | 0.94% | 0.51% | 43% | ||||||||||||||||||||||||||||||||||||||||||||
Bristol Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2017 | $ | 24.02 | 0.16 | 6.04 | 6.20 | — | $ | 30.22 | 25.81% | $ | 223.7 | 0.82% | 0.47% | 0.82% | 220% | |||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2016 | $ | 21.49 | 0.12 | 2.41 | 2.53 | — | $ | 24.02 | 11.77% | $ | 207.9 | 0.83% | 0.49% | 0.83% | 223% | |||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2015 | $ | 20.75 | 0.12 | 0.73 | 0.85 | (0.11 | ) | $ | 21.49 | 4.08% | $ | 218.7 | 0.81% | 0.55% | 0.81% | 228% | ||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2014 | $ | 18.29 | 0.09 | 2.45 | 2.54 | (0.08 | ) | $ | 20.75 | 13.88% | $ | 232.0 | 0.81% | 0.42% | 0.81% | 239% | ||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2013 | $ | 13.01 | 0.09 | 5.27 | 5.36 | (0.08 | ) | $ | 18.29 | 41.21% | $ | 231.5 | 0.82% | 0.51% | 0.82% | 269% | ||||||||||||||||||||||||||||||||||||||||||||
Bryton Growth Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2017 | $ | 20.49 | (0.21 | ) | 4.63 | 4.42 | — | $ | 24.91 | 21.57% | $ | 56.8 | 0.98% | -0.55% | 0.98% | 196% | ||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2016 | $ | 19.60 | (0.19 | ) | 1.08 | 0.89 | — | $ | 20.49 | 4.54% | $ | 94.6 | 0.92% | -0.62% | 0.92% | 188% | ||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2015 | $ | 20.47 | (0.11 | ) | (0.76 | ) | (0.87 | ) | — | $ | 19.60 | -4.25% | $ | 162.2 | 0.88% | -0.53% | 0.88% | 169% | ||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2014 | $ | 19.28 | (0.09 | ) | 1.28 | 1.19 | — | $ | 20.47 | 6.17% | $ | 179.1 | 0.88% | -0.45% | 0.88% | 178% | ||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2013 | $ | 13.70 | (0.11 | ) | 5.69 | 5.58 | — | $ | 19.28 | 40.73% | $ | 180.8 | 0.89% | -0.59% | 0.89% | 185% |
(a) | Effective September 25, 2015, the sub-adviser changed from Eagle Asset Management, Inc. to ClearBridge, LLC. Costs of purchases and proceeds from sales of portfolio securities associated with the change in the sub-adviser contributed to a higher portfolio turnover rate for the year ended December 31, 2015 as compared to prior years. |
The accompanying notes are an integral part of these financial statements.
143 |
Ohio National Fund, Inc. |
Financial Highlights |
Selected per-share data | Ratios and supplemental data | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Operations | Distributions | Ratios to average net assets | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios net of expenses reduced or reimbursed by adviser |
Ratios assuming | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year | Net investment income | Net realized and unrealized gain (loss) on investments, futures contracts, foreign currency related transactions, and written options | Total from operations | Distributions from net investment income | Net asset value, end of year | Total Return | Net assets at end of year | Expenses | Net investment income | Expenses | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||||||||||||
Balanced Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2017 | $ | 19.86 | 0.47 | 1.70 | 2.17 | — | $ | 22.03 | 10.93% | $ | 955.1 | 0.62% | 1.93% | 0.62% | 106% | |||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2016 | $ | 18.99 | 0.39 | 0.48 | 0.87 | — | $ | 19.86 | 4.58% | $ | 952.1 | 0.64% | 2.05% | 0.64% | 99% | |||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2015 | $ | 18.96 | 0.30 | (0.02 | ) | 0.28 | (0.25 | ) | $ | 18.99 | 1.47% | $ | 864.9 | 0.64% | 1.58% | 0.64% | 92% | |||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2014 | $ | 18.02 | 0.16 | 0.92 | 1.08 | (0.14 | ) | $ | 18.96 | 5.99% | $ | 833.1 | 0.64% | 1.80% | 0.68% | 94% | ||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2013 | $ | 15.76 | 0.08 | 2.32 | 2.40 | (0.14 | ) | $ | 18.02 | 15.26% | $ | 249.1 | 0.75% | 1.45% | 0.75% | 82% | (a) | |||||||||||||||||||||||||||||||||||||||||||
S&P MidCap 400® Index Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2017 | $ | 15.12 | 0.04 | 2.30 | 2.34 | — | $ | 17.46 | 15.48% | $ | 88.8 | 0.71% | 0.92% | 0.71% | 41% | |||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2016 | $ | 13.81 | 0.17 | 1.14 | 1.31 | — | $ | 15.12 | 9.49% | $ | 47.9 | 0.79% | 1.24% | 0.79% | 179% | (b) | ||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2015 | $ | 14.49 | 0.25 | (0.72 | ) | (0.47 | ) | (0.21 | ) | $ | 13.81 | -3.24% | $ | 46.3 | 0.77% | 1.54% | 0.77% | 72% | ||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2014 | $ | 13.70 | 0.25 | 0.77 | 1.02 | (0.23 | ) | $ | 14.49 | 7.44% | $ | 55.1 | 0.77% | 1.77% | 0.77% | 79% | ||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2013 | $ | 10.10 | 0.09 | 3.61 | 3.70 | (0.10 | ) | $ | 13.70 | 36.71% | $ | 53.7 | 0.82% | 0.92% | 0.82% | 57% | (a) | |||||||||||||||||||||||||||||||||||||||||||
Bristol Growth Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2017 | $ | 18.65 | 0.07 | 5.47 | 5.54 | — | $ | 24.19 | 29.71% | $ | 128.0 | 0.88% | 0.24% | 0.88% | 218% | |||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2016 | $ | 17.31 | 0.07 | 1.27 | 1.34 | — | $ | 18.65 | 7.74% | $ | 117.6 | 0.89% | 0.36% | 0.89% | 162% | |||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2015 | $ | 16.44 | 0.08 | 0.86 | 0.94 | (0.07 | ) | $ | 17.31 | 5.72% | $ | 116.2 | 0.86% | 0.43% | 0.86% | 168% | ||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2014 | $ | 14.72 | 0.06 | 1.71 | 1.77 | (0.05 | ) | $ | 16.44 | 12.01% | $ | 124.1 | 0.86% | 0.34% | 0.86% | 192% | ||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2013 | $ | 10.66 | 0.06 | 4.05 | 4.11 | (0.05 | ) | $ | 14.72 | 38.62% | $ | 122.3 | 0.88% | 0.42% | 0.88% | 237% | ||||||||||||||||||||||||||||||||||||||||||||
Risk Managed Balanced Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2017 | $ | 11.06 | 0.14 | 1.81 | 1.95 | — | $ | 13.01 | 17.63% | $ | 344.2 | 1.00% | 1.22% | 1.00% | 72% | (c) | ||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2016 | $ | 10.66 | 0.09 | 0.31 | 0.40 | — | $ | 11.06 | 3.75% | $ | 272.1 | 1.03% | 1.09% | 1.03% | 78% | |||||||||||||||||||||||||||||||||||||||||||||
Year ended December 31, 2015 | $ | 10.83 | 0.03 | (0.17 | ) | (0.14 | ) | (0.03 | ) | $ | 10.66 | -1.32% | $ | 154.3 | 1.11% | 0.81% | 1.11% | 71% | ||||||||||||||||||||||||||||||||||||||||||
Period From May 1, 2014 (inception) to December 31, 2014 | $ | 10.00 | 0.03 | 0.80 | 0.83 | — | $ | 10.83 | 8.30% | * | $ | 33.8 | 1.43% | ** | 0.43% | ** | 1.43% | ** | 94% | * |
* | Not annualized |
** | Annualized |
(a) | The cost of purchases and proceeds from sales of securities that were incurred to realign the Portfolio’s holdings subsequent to the December 20, 2013 reorganization are excluded from the 2013 portfolio turnover rate calculation. If such amounts had not been excluded, the portfolio turnover rate would have been 89% and 138% for the Balanced and the S&P MidCap 400® Index Portfolios, respectively. |
(b) | Effective December 16, 2016, the sub-adviser to the Portfolio changed from First Trust Advisors L.P. to Geode Capital Management, LLC. Costs of purchases and proceeds from sales of portfolio securities associated with the change in the sub-adviser contributed to a higher portfolio turnover rate for the year ended December 31, 2016 as compared to prior years. |
(c) | The portfolio turnover calculation includes purchases and sales from mortgage dollar roll transactions (see Note 2). |
The accompanying notes are an integral part of these financial statements.
144 |
Ohio National Fund, Inc. |
Financial Highlights |
Selected per-share data | Ratios and supplemental data | |||||||||||||||||||||||||||||||||||||||||||
Operations | Ratios to average net assets | |||||||||||||||||||||||||||||||||||||||||||
Ratios net of expenses reduced or reimbursed by adviser |
Ratios assuming no | |||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year | Net investment income | Net realized and unrealized gain on investments and capital gain distributions received from underlying mutual funds | Total from operations | Net asset value, end of year | Total Return | Net assets at end of year (in millions) | Expenses | Net investment income | Expenses | Portfolio turnover rate | ||||||||||||||||||||||||||||||||||
ON Conservative Model Portfolio | ||||||||||||||||||||||||||||||||||||||||||||
Period From March 1, 2017 (inception) to December 31, 2017 | $10.00 | 0.16 | 0.37 | 0.53 | $10.53 | 5.30% | * | $ 99.7 | 0.25 | %**,† | 1.71 | %**,† | 0.51 | %**,† | 29%* | |||||||||||||||||||||||||||||
ON Moderately Conservative Model Portfolio | ||||||||||||||||||||||||||||||||||||||||||||
Period From March 1, 2017 (inception) to December 31, 2017 | $10.00 | 0.13 | 0.56 | 0.69 | $10.69 | 6.90% | * | $ 326.0 | 0.25 | %**,† | 1.40 | %**,† | 0.45 | %**,† | 22%* | |||||||||||||||||||||||||||||
ON Balanced Model Portfolio | ||||||||||||||||||||||||||||||||||||||||||||
Period From March 1, 2017 (inception) to December 31, 2017 | $10.00 | 0.09 | 0.72 | 0.81 | $10.81 | 8.10% | * | $1,562.6 | 0.25 | %**,† | 1.01 | %**,† | 0.42 | %**,† | 25%* | |||||||||||||||||||||||||||||
ON Moderate Growth Model Portfolio | ||||||||||||||||||||||||||||||||||||||||||||
Period From March 1, 2017 (inception) to December 31, 2017 | $10.00 | 0.07 | 0.98 | 1.05 | $11.05 | 10.50% | * | $2,646.8 | 0.26 | %**,† | 0.80 | %**,† | 0.42 | %**,† | 23%* | |||||||||||||||||||||||||||||
ON Growth Model Portfolio | ||||||||||||||||||||||||||||||||||||||||||||
Period From March 1, 2017 (inception) to December 31, 2017 | $10.00 | 0.05 | 1.10 | 1.15 | $11.15 | 11.50% | * | $ 543.8 | 0.25 | %**,† | 0.51 | %**,† | 0.43 | %**,† | 24%* |
* | Not annualized |
** | Annualized |
† | The ratios presented only reflect the direct income and expenses for the Portfolio, and do not include the indirect expenses related to the underlying funds in which the Portfolio invests. |
The accompanying notes are an integral part of these financial statements.
145 |
Ohio National Fund, Inc.
|
December 31, 2017 |
(1) | Organization |
Ohio National Fund, Inc. (the “Fund”) is a Maryland corporation registered under the Investment Company Act of 1940, as amended (the “40 Act”). The Fund is an open-end investment company and follows accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, “Financial Services-Investment Companies”. The Fund consists of twenty-five separate investment portfolios (the “Portfolios”) that seek the following objectives and strategies:
⬛ | Equity Portfolio – Long-term growth of capital by investing, under normal circumstances, at least 80% of its assets in equity securities. |
⬛ | Bond Portfolio – High level of income and opportunity for capital appreciation consistent with preservation of capital by investing, under normal circumstances, at least 80% of its assets in corporate debt securities. |
⬛ | Omni Portfolio – High level of long-term total return consistent with preservation of capital by investing in stocks, bonds, and money market instruments. |
⬛ | Capital Appreciation Portfolio – Long-term capital growth by investing primarily in equity and equity related securities of established companies with either current or emerging earnings growth not fully appreciated or recognized by the market. |
⬛ | ON International Equity Portfolio (formerly the International Portfolio) – Long-term growth of capital by investing, under normal circumstances, at least 80% of its assets in equity securities of foreign companies. On May 1, 2017, the name, strategy, benchmark, and sub-adviser to this Portfolio were changed. Additional information is included within Note 3. |
⬛ | ON Foreign Portfolio (formerly the International Small-Mid Company Portfolio) – Long-term growth of capital by investing, under normal circumstances, at least 80% of its assets in foreign securities. On May 1, 2017, the name, strategy, benchmark, and sub-adviser to this Portfolio were changed. Additional information is included within Note 3. |
⬛ | Aggressive Growth Portfolio – Long-term capital growth by investing primarily in domestic and foreign equity securities selected for growth potential. |
⬛ | Small Cap Growth Portfolio – Long-term capital appreciation by investing, under normal circumstances, at least 80% of its assets in stocks of small capitalization companies. |
⬛ | Mid Cap Opportunity Portfolio – Long-term total return by investing, under normal circumstances, at least 80% of its assets in equity securities of mid-cap companies, primarily those that are strategically positioned for long-term growth. |
⬛ | S&P 500® Index Portfolio – Total return that approximates the total return of the Standard & Poor’s 500® Index (S&P 500® Index), at a risk level consistent with that of the S&P 500® Index by investing, under normal circumstances, more than 80% of its assets in securities included in the S&P 500® Index. |
⬛ | Strategic Value Portfolio – Growth of capital and income by investing primarily in high dividend paying common stocks with dividend growth potential. |
⬛ | High Income Bond Portfolio – High current income by investing, under normal circumstances, at least 80% of its assets in lower rated corporate debt obligations commonly referred to as “junk bonds”. The Portfolio’s investments are generally rated Ba or lower by Moody’s, or BB or lower by Standard & Poor’s or Fitch. |
⬛ | ClearBridge Small Cap Portfolio – Long-term capital appreciation by investing, under normal circumstances, at least 80% of its assets in common stocks and other equity securities of small capitalization companies or in other investments that the portfolio managers believe have similar economic characteristics. |
⬛ | Nasdaq-100® Index Portfolio – Long-term growth of capital by investing, under normal circumstances, more than 80% of its assets in the common stocks of companies composing the Nasdaq-100® Index. |
⬛ | Bristol Portfolio – Long-term growth of capital by investing primarily in common stocks of the 1,000 largest publicly traded U.S. companies in terms of market capitalization. |
⬛ | Bryton Growth Portfolio – Long-term growth of capital by investing primarily in common stocks of growth-oriented U.S. companies smaller than the 500 largest publicly traded U.S. companies in terms of market capitalization. |
⬛ | Balanced Portfolio – Capital appreciation and income by investing, under normal circumstances, up to 75% of its assets in equity securities of domestic companies of any market capitalization while maintaining a minimum of 25% of its total in fixed income securities. |
146 | (continued) |
Ohio National Fund, Inc.
|
Notes to Financial Statements (Continued) | December 31, 2017 |
⬛ | S&P MidCap 400® Index Portfolio – Total return approximating that of the Standard & Poor’s MidCap 400® Index (S&P MidCap 400® Index), including reinvestment of dividends, at a risk level consistent with that of the S&P MidCap 400® Index by investing, under normal circumstances, more than 80% of its assets in the securities included in the S&P MidCap 400® Index. |
⬛ | Bristol Growth Portfolio – Long-term growth of capital by investing, under normal circumstances, at least 80% of its assets in common stocks of the 1,000 largest publicly traded U.S. companies in terms of market capitalization. |
⬛ | Risk Managed Balanced Portfolio – Long-term capital growth, consistent with preservation of capital and balanced by current income. The Portfolio invests in a balanced portfolio of equity and fixed-income securities and a risk management portfolio intended to enhance the risk adjusted return of the Portfolio. |
⬛ | ON Conservative Model Portfolio* – The Portfolio is a fund of funds that pursues its investment objective by investing in underlying mutual funds. Under normal circumstances, the Portfolio intends to have investment exposure to various asset classes within the following target asset allocation ranges: U.S. Equity 0-25%, International Equity 0-10%, and Fixed Income 65-90%. |
⬛ | ON Moderately Conservative Model Portfolio* – The Portfolio is a fund of funds that pursues its investment objective by investing in underlying mutual funds. Under normal circumstances, the Portfolio intends to have investment exposure to various asset classes within the following target asset allocation ranges: U.S. Equity 20-40%, International Equity 5-20%, and Fixed Income 30-70%. |
⬛ | ON Balanced Model Portfolio* – The Portfolio is a fund of funds that pursues its investment objective by investing in underlying mutual funds. Under normal circumstances, the Portfolio intends to have investment exposure to various asset classes within the following target asset allocation ranges: U.S. Equity 25-50%, International Equity 10-25%, and Fixed Income 25-50%. |
⬛ | ON Moderate Growth Model Portfolio* – The Portfolio is a fund of funds that pursues its investment objective by investing in underlying mutual funds. Under normal circumstances, the Portfolio intends to have investment exposure to various asset classes within the following target asset allocation ranges: U.S. Equity 40-60%, International Equity 15-35%, and Fixed Income 10-30%. |
⬛ | ON Growth Model Portfolio* – The Portfolio is a fund of funds that pursues its investment objective by investing in underlying mutual funds. Under normal circumstances, the Portfolio intends to have investment exposure to various asset classes within the following target asset allocation ranges: U.S. Equity 50-80%, International Equity 15-45%, and Fixed Income 0-15%. |
* Collectively, the “ON Model Portfolios”.
Additional detail regarding portfolio-specific objectives, policies, and investment strategies is provided in the prospectus and Statement of Additional Information of Ohio National Fund, Inc. There are no assurances that these objectives will be met. Each Portfolio, except the Nasdaq-100® Index Portfolio, is classified as diversified for purposes of Section 5(b) of the 40 Act.
At present, the Fund issues its shares to separate accounts of The Ohio National Life Insurance Company (“ONLIC”), Ohio National Life Assurance Corporation (“ONLAC”), and National Security Life and Annuity Company (“NSLA”) to support certain benefits under variable contracts issued by those entities, as well as for purchases by other Portfolios of the Fund. In the future, Fund shares may be used for other purposes but, unless there is a change in applicable law, they will not be sold directly to the public.
Interest in each Portfolio is represented by a separate class of the Fund’s capital stock, par value $1. Each share of a Portfolio participates equally in the Portfolio’s dividends, distributions, net assets, and voting matters.
The Fund is authorized to issue 1.55 billion of its capital shares. These authorized shares have been allocated to specific Portfolios of the Fund as follows:
Portfolio | Authorized Shares | |||
Equity | 35,000,000 | |||
Bond | 30,000,000 | |||
Omni | 15,000,000 | |||
Capital Appreciation | 25,000,000 | |||
ON International Equity | 90,000,000 | |||
ON Foreign | 32,000,000 | |||
Aggressive Growth | 24,000,000 | |||
Small Cap Growth | 30,000,000 | |||
Mid Cap Opportunity | 21,000,000 | |||
S&P 500® Index | 90,000,000 |
Portfolio | Authorized Shares | |||
Strategic Value | 75,000,000 | |||
High Income Bond | 45,000,000 | |||
ClearBridge Small Cap | 15,000,000 | |||
Nasdaq-100® Index | 50,000,000 | |||
Bristol | 23,000,000 | |||
Bryton Growth | 15,000,000 | |||
Balanced | 90,000,000 | |||
S&P MidCap 400® Index | 30,000,000 | |||
Bristol Growth | 30,000,000 | |||
Risk Managed Balanced | 85,000,000 |
147 | (continued) |
Ohio National Fund, Inc.
|
Notes to Financial Statements (Continued) | December 31, 2017 |
Portfolio | Authorized Shares | |||
ON Conservative Model | 30,000,000 | |||
ON Moderately Conservative Model | 70,000,000 | |||
ON Balanced Model | 200,000,000 |
Portfolio | Authorized Shares | |
ON Moderate Growth Model | 300,000,000 | |
ON Growth Model | 100,000,000 |
The Fund’s Board of Directors (the “Board”) periodically reallocates authorized shares among the Portfolios of the Fund and may authorize additional shares as deemed necessary.
Under the Fund’s organizational documents, its Officers and Directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund enters into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund. However, based on experience, the risk of loss to the Fund is expected to be remote.
(2) | Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Fund in preparation of its financial statements:
Use of Estimates
The preparation of financial statements in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
Security Valuation
Investments are valued using pricing procedures approved by the Board.
Fixed income instruments that mature in sixty days or less, and of sufficient credit quality, are valued at amortized cost. Amortized cost valuation involves valuing a security at its cost initially and thereafter amortizing to maturity any discounts or premiums on the level-yield method, regardless of the impact of fluctuating market interest rates on the value of the security. In these instances, amortized cost approximates fair value.
Investments, other than those securities aforementioned, are valued as follows:
Domestic equity securities that are traded on U.S. exchanges, other than Nasdaq Stock Market, are valued at the last trade price reported by the primary exchange of each security (4:00 pm Eastern Time for normal trading sessions). Domestic equity securities that are listed on the Nasdaq Stock Market are valued at the Nasdaq Official Closing Price (“NOCP”). Over-the-counter domestic equity securities are valued at the last trade price reported daily as of 4:00 pm Eastern Time (normal trading sessions). Over-the-counter traded ADRs may also be valued at an evaluated price based on the value of the underlying securities. If a domestic equity security is not traded on a particular day, the mean between the bid and ask prices reported at 4:00 pm Eastern Time (normal trading sessions) by the primary exchange will generally be used for valuation purposes. The principal sources for market quotations are independent pricing services that have been approved by the Board.
Fixed income securities that have a remaining maturity exceeding sixty days are generally valued at the bid price reported at 4:00 pm Eastern Time (normal trading sessions), as provided by independent pricing services approved by the Board. The last trade or last evaluated bid may be used if an evaluated bid price is not available.
U.S exchange-traded options are valued at the composite basis last sale price as reported to a Board-approved independent pricing service by the OPRA (Options Price Reporting Authority) at 4:15 pm Eastern Time (normal trading sessions). If there are no reported trades for a trading session, the evaluated composite-basis bid price will generally be used for valuation purposes.
Shares of open-end mutual funds are valued at each fund’s last calculated net asset value per share.
Shares of closed-end mutual funds that are traded on U.S. exchanges are valued similarly to other domestic equity securities, typically at the last trade price reported by the primary exchange of each fund (4:00 pm Eastern Time for normal trading sessions).
Restricted securities, illiquid securities, or other investments for which market quotations or other observable market inputs are not readily available are valued at an estimate of value using methods determined in good faith by the Fund’s Pricing Committee under the supervision of the Board.
148 | (continued) |
Ohio National Fund, Inc. |
Notes to Financial Statements (Continued)
| December 31, 2017 |
Foreign equity securities are initially priced at the reported close price of the exchange on which a security is primarily traded. Securities not traded on a particular day are valued at the mean between the last reported bid and ask quotes at daily close, or the last sale price when appropriate. The principal sources for market quotations are independent pricing services that have been approved by the Board.
Equity securities that are primarily traded on foreign exchanges, other than those with close times that are consistent with the normal 4:00 pm Eastern Time close of U.S. equity markets, are further subjected to fair valuation pricing procedures provided by an independent fair valuation service. The service provides data that can be used to estimate the price of a foreign issue that would prevail in a liquid market given market information available daily at 4:00 pm Eastern Time (normal trading sessions). Multiple factors may be considered in performing this valuation, including an issue’s local close price, relevant general and sector indices, currency fluctuations, and pricing of related depository receipts, exchange traded funds, and futures. The pricing procedures are performed for each individual security for which there is a fairly large degree of certainty that the local close price is not the liquid market price at the time of U.S. market close. The procedures are performed each day there is a change in a consistently used market index from the time of local close to the U.S. market close. Backtesting analysis is performed on a quarterly basis to monitor the effectiveness of these procedures. The testing is reviewed by management of the Fund as well as the Fund’s Board. Prior results have indicated that these procedures have been effective in reaching valuation objectives.
The differences between the aggregate cost and values of investments are reflected as unrealized appreciation or unrealized depreciation.
Pricing inputs used in the Fund’s determination of its investment values are categorized according to a three-tier hierarchy framework. The hierarchy is summarized in three broad levels:
Level 1: | Quoted prices in active markets for identical securities. |
Level 2: | Other significant observable inputs, including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc. |
Level 3: | Significant unobservable inputs, including the Fund’s own assumptions used to determine the value of securities. |
The following is a summary of the inputs used in valuing each of the Portfolio’s assets (liabilities) at value as of December 31, 2017:
Portfolio | Financial Instrument Type | Level 1 | Level 2 | Level 3 | ||||||||||
Equity | Common Stocks** | $ | 564,529,211 | $ | — | $ | — | |||||||
Money Market Funds | 9,362,472 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 573,891,683 | $ | — | $ | — | |||||||||
|
|
|
|
|
| |||||||||
Bond | Corporate Bonds** | $ | — | $ | 288,141,205 | $ | — | |||||||
U.S. Treasury Obligations | — | 9,276,686 | — | |||||||||||
Asset-Backed Securities** | — | 7,973,784 | — | |||||||||||
Money Market Funds | 8,756,795 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 8,756,795 | $ | 305,391,675 | $ | — | |||||||||
|
|
|
|
|
| |||||||||
Omni | Common Stocks** | $ | 54,058,240 | $ | — | $ | — | |||||||
Corporate Bonds** | — | 13,223,144 | — | |||||||||||
U.S. Treasury Obligations | — | 494,326 | — | |||||||||||
Asset-Backed Securities** | — | 351,640 | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 54,058,240 | $ | 14,069,110 | $ | — | |||||||||
|
|
|
|
|
| |||||||||
Capital Appreciation | Common Stocks** | $ | 125,524,554 | $ | — | $ | — | |||||||
|
|
|
|
|
| |||||||||
ON International Equity | Common Stocks** | $ | 19,006,197 | $ | 137,017,745 | $ | — | |||||||
Money Market Funds | 1,918,656 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 20,924,853 | $ | 137,017,745 | $ | — | |||||||||
|
|
|
|
|
| |||||||||
ON Foreign | Common Stocks** | $ | 14,221,068 | $ | 63,145,345 | $ | — | |||||||
Money Market Funds | 2,348,492 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 16,569,560 | $ | 63,145,345 | $ | — | |||||||||
|
|
|
|
|
|
149 | (continued) |
Ohio National Fund, Inc.
|
Notes to Financial Statements (Continued) | December 31, 2017 |
Portfolio | Financial Instrument Type | Level 1 | Level 2 | Level 3 | ||||||||||
Aggressive Growth |
Common Stocks** |
$ |
58,465,729 |
|
$ |
— |
|
$ |
— |
| ||||
U.S. Government Agency Issues | — | 99,998 | — | |||||||||||
Money Market Funds | 2,166,963 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 60,632,692 | $ | 99,998 | $ | — | |||||||||
|
|
|
|
|
| |||||||||
Small Cap Growth | Common Stocks** | $ | 266,166,673 | $ | 1,657,002 | $ | — | |||||||
Master Limited Partnerships** | 6,149,193 | — | — | |||||||||||
Rights** | — | — | 253,247 | |||||||||||
Money Market Funds | 2,158,180 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 274,474,046 | $ | 1,657,002 | $ | 253,247 | |||||||||
|
|
|
|
|
| |||||||||
Mid Cap Opportunity | Common Stocks** | $ | 76,851,588 | $ | — | $ | — | |||||||
Money Market Funds | 1,300,470 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 78,152,058 | $ | — | $ | — | |||||||||
|
|
|
|
|
| |||||||||
S&P 500® Index | Common Stocks** | $ | 1,134,039,233 | $ | — | $ | — | |||||||
Money Market Funds | 6,075,084 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 1,140,114,317 | $ | — | $ | — | |||||||||
|
|
|
|
|
| |||||||||
Futures Contracts | $ | (16,428 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
| |||||||||
Strategic Value | Common Stocks** | $ | 466,403,437 | $ | 117,148,110 | $ | — | |||||||
Money Market Funds | 9,207,992 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 475,611,429 | $ | 117,148,110 | $ | — | |||||||||
|
|
|
|
|
| |||||||||
High Income Bond | Corporate Bonds** | $ | — | $ | 301,913,048 | $ | — | |||||||
Exchange Traded Funds | 2,532,592 | — | — | |||||||||||
Money Market Funds | 9,201,313 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 11,733,905 | $ | 301,913,048 | $ | — | |||||||||
|
|
|
|
|
| |||||||||
ClearBridge Small Cap | Common Stocks** | $ | 273,831,491 | $ | — | $ | — | |||||||
Money Market Funds | 608,670 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 274,440,161 | $ | — | $ | — | |||||||||
|
|
|
|
|
| |||||||||
Nasdaq-100® Index | Common Stocks** | $ | 254,971,409 | $ | — | $ | — | |||||||
Money Market Funds | 1,632,489 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 256,603,898 | $ | — | $ | — | |||||||||
|
|
|
|
|
| |||||||||
Futures Contracts | $ | 5,959 | $ | — | $ | — | ||||||||
|
|
|
|
|
| |||||||||
Bristol | Common Stocks** | $ | 222,498,398 | $ | — | $ | — | |||||||
Money Market Funds | 773,267 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 223,271,665 | $ | — | $ | — | |||||||||
|
|
|
|
|
| |||||||||
Bryton Growth | Common Stocks** | $ | 55,516,375 | $ | — | $ | — | |||||||
Money Market Funds | 1,020,080 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 56,536,455 | $ | — | $ | — | |||||||||
|
|
|
|
|
| |||||||||
Balanced | Common Stocks** | $ | 521,834,399 | $ | — | $ | — | |||||||
Corporate Bonds** | — | 215,930,218 | — | |||||||||||
U.S. Treasury Obligations | — | 114,464,745 | — | |||||||||||
Closed-End Mutual Funds | 56,997,426 | — | — | |||||||||||
Preferred Securities** | 14,036,970 | — | — | |||||||||||
Asset-Backed / Mortgage-Backed Securities** | — | 8,517,370 | — | |||||||||||
Liquidating Trusts | — | 463,964 | — | |||||||||||
Purchased Options | 66,000 | — | — | |||||||||||
Money Market Funds | 16,651,334 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 609,586,129 | $ | 339,376,297 | $ | — | |||||||||
|
|
|
|
|
|
150 | (continued) |
Ohio National Fund, Inc.
|
Notes to Financial Statements (Continued) | December 31, 2017 |
Portfolio | Financial Instrument Type | Level 1 | Level 2 | Level 3 | ||||||||||
S&P MidCap 400® Index | Common Stocks** | $ | 87,925,593 | $ | — | $ | — | |||||||
Money Market Funds | 910,403 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 88,835,996 | $ | — | $ | — | |||||||||
|
|
|
|
|
| |||||||||
Futures Contracts | $ | 7,753 | $ | — | $ | — | ||||||||
|
|
|
|
|
| |||||||||
Bristol Growth | Common Stocks** | $ | 126,845,737 | $ | — | $ | — | |||||||
Money Market Funds | 1,016,356 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 127,862,093 | $ | — | $ | — | |||||||||
|
|
|
|
|
| |||||||||
Risk Managed Balanced | Common Stocks** | $ | 169,342,694 | $ | — | $ | — | |||||||
Corporate Bonds** | — | 46,737,914 | — | |||||||||||
U.S. Government Agency Mortgage-Backed Securities | — | 26,518,062 | — | |||||||||||
U.S. Treasury Obligations | — | 24,416,454 | — | |||||||||||
Purchased Options | 9,702,526 | 14,164,890 | — | |||||||||||
Asset-Backed / Mortgage-Backed Securities** | — | 7,632,129 | — | |||||||||||
Master Limited Partnerships** | 1,688,383 | — | — | |||||||||||
Preferred Securities** | — | 625,140 | — | |||||||||||
Money Market Funds | 49,768,126 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 230,501,729 | $ | 120,094,589 | $ | — | |||||||||
TBA Sales Commitments | $ | — | $ | (974,908 | ) | $ | — | |||||||
|
|
|
|
|
| |||||||||
Futures Contracts | $ | (845,057 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
| |||||||||
ON Conservative Model | Open-End Mutual Funds | $ | 99,744,380 | $ | — | $ | — | |||||||
|
|
|
|
|
| |||||||||
ON Moderately Conservative Model | Open-End Mutual Funds | $ | 325,974,860 | $ | — | $ | — | |||||||
|
|
|
|
|
| |||||||||
ON Balanced Model | Open-End Mutual Funds | $ | 1,562,639,737 | $ | — | $ | — | |||||||
|
|
|
|
|
| |||||||||
ON Moderate Growth Model | Open-End Mutual Funds | $ | 2,647,323,384 | $ | — | $ | — | |||||||
|
|
|
|
|
| |||||||||
ON Growth Model | Open-End Mutual Funds | $ | 543,907,605 | $ | — | $ | — | |||||||
|
|
|
|
|
| |||||||||
** For detailed industry descriptions, see the accompanying Schedules of Investments.
As stated above, the value assigned to the Fund’s foreign securities will, in most cases, not be the quoted or published prices of the investments on their respective primary markets or exchanges. Securities that are priced using fair value estimates are categorized as Level 2 in the fair value hierarchy, whereas securities that do not meet the established criteria are categorized as Level 1. The valuation of a foreign security from one valuation period to the next may result in a transfer between Levels 1 and 2 if the degree of certainty that the local close price is not the liquid market price at the time of U.S. market close is not similar for both periods. The Fund’s policy is to recognize transfers between fair value hierarchy levels at the reporting period end.
In the Small Cap Growth Portfolio, there was one transfer of a common stock from Level 2 pricing at December 31, 2016 to Level 1 at December 31, 2017. This security was the Portfolio’s holding of Ontex Group N.V. common stock. The fair valuation service provider reported that this particular security met the minimum predictability threshold to be fair valued at December 31, 2016, whereas in the current period, the security did not meet the threshold to be fair valued. The value of this holding was $2,926,741 and $2,885,909 at December 31, 2017 and December 31, 2016, respectively.
151 | (continued) |
Ohio National Fund, Inc.
|
Notes to Financial Statements (Continued) | December 31, 2017 |
Below is a reconciliation that details the activity of securities in Level 3 during the year ended December 31, 2017.
Small Cap Growth | |||||
Beginning Balance – January 1, 2017 | $ | — | |||
Total gains or losses (realized/unrealized): | |||||
Included in earnings (or changes in net assets) | $ | 253,247 | |||
Issuances | — | ||||
Settlements | — | ||||
Transfers out of Level 3 (due to availability of acitve market quotations or significant observable market inputs) | — | ||||
Transfers into Level 3 (due to lack of active market quotations or significant observable inputs) | — | ||||
|
| ||||
Ending Balance – December 31, 2017 | $ | 253,247 | |||
|
| ||||
The amount of total gains or losses for the period included in earnings (or changes in net assets) attributable to the change in unrealized gains or losses relating to assets still held at the reporting date | $ | 253,247 | |||
|
|
The following table presents additional information about valuation techniques and inputs used for investments that are measured at fair value and categorized within Level 3 at December 31, 2017:
Instrument | Valuation Technique Used | Unobservable Inputs | Input Values (in millions) | |||
Dyax Corp. - Contingent Value Right (CVR) | Purchase price allocation of consideration paid by Shire PLC upon its acquisition of Dyax Corp. | Net enterprise value | $6,330 | |||
CVR fair value on acquisition date | $396 | |||||
CVR maximum payable on acquisition date | $646 |
Foreign Securities and Currency
The books and records of all the Portfolios are maintained in U.S. dollars. All investments and cash quoted in foreign currencies are valued daily in U.S. dollars on the basis of the foreign currency exchange rates provided by an independent source. These exchange rates are currently determined daily, at 4:00 pm Eastern Time for normal trading sessions. Purchases and sales of foreign-denominated investments are recorded at rates of exchange prevailing on the respective dates of such transactions.
The Fund may not fully isolate that portion of the results of operations resulting from changes in foreign exchange rates from fluctuations arising from changes in market prices on foreign currency-denominated investments. For the portion that is isolated, amounts are reflected in the Statements of Operations as other foreign currency related transactions. However, for tax purposes, the Fund does fully isolate the effect of fluctuations in foreign exchange rates when determining the gain or loss upon sale or maturity of such investments to the extent required by federal income tax regulations.
All Portfolios of the Fund may invest in securities of foreign issuers. The ON International Equity and ON Foreign Portfolios may be invested entirely in foreign securities. Investments in securities of foreign issuers, including investments in foreign companies through the use of depositary receipts, carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability, or diplomatic developments that could adversely affect capital investment within those countries.
Restricted and Illiquid Securities
Restricted securities are those securities purchased through a private offering and cannot be resold to the general public without prior registration under the Securities Act of 1933 (“the 1933 Act”) or pursuant to the resale limitations provided by Rule 144A under the 1933 Act, or an exemption from the registration requirements of the 1933 Act. 144A securities are issued by corporations without registration in reliance on 1933 Act provisions allowing for the private resale of unregistered securities to qualified institutional buyers. Section 4(a)(2) commercial paper is issued pursuant to Section 4(a)(2) of the 1933 Act which exempts an issue from
152 | (continued) |
Ohio National Fund, Inc.
|
Notes to Financial Statements (Continued)
| December 31, 2017 |
registration. This paper may be used to finance non-current transactions, such as acquisitions, stock repurchase programs, and other long-term assets. Investments by a portfolio in Rule 144A and Section 4(a)(2) securities could have the effect of decreasing the liquidity of a Portfolio during any period in which qualified institutional investors were no longer interested in purchasing these securities.
Typically, the restricted securities noted above are not considered illiquid. The criteria used to determine if a restricted security is illiquid includes frequency of trades and quotes, available dealers willing to make transactions, availability of market makers in the security, and the nature of the security and its trades. The Bond and Omni Portfolios may invest up to 10% of their respective assets in illiquid securities. Each of the other Portfolios of the Fund may invest up to 15% of its net assets in illiquid securities.
Investment Transactions and Related Income
For financial reporting purposes, investment transactions are accounted for on a trade date basis. For purposes of executing separate account shareholder transactions in the normal course of business, however, the Fund’s investment transactions are recorded no later than the first calculation on the first business day following the trade date in accordance with Rule 2a-4 of the 40 Act. Accordingly, differences between the net asset values for financial reporting and for executing separate account shareholder transactions may arise.
Dividend income is recognized on the ex-dividend date, except in the case of those Portfolios holding foreign securities, in which dividends are recorded as soon after the ex-dividend date as the Fund’s information agents become aware of such dividends. Interest income is accrued daily as earned and includes the amortization of premium and accretion of discount. Net realized gain or loss on investments and foreign exchange transactions are determined using the specific identification method.
Distributions to Shareholders and Federal Taxes
The Fund satisfies its distribution requirements as required for each of the Portfolios to continue to qualify as a regulated investment company pursuant to Subchapter M of the Internal Revenue Code by using consent dividends rather than cash distributions. The consent dividends, when authorized, become taxable to the Fund’s shareholders as if they were paid in cash. The Fund has the intent to continue to comply with tax provisions pertaining to regulated investment companies and make distributions of taxable income, whether by cash or consent dividends, sufficient to relieve it from substantially all federal income and excise taxes. As such, no provisions for federal income or excise taxes have been recorded. Also, no tax-related interest or penalties have been incurred or recognized. The Board’s intent is that the Fund will not distribute any realized gain distributions (consent or otherwise) until any applicable capital loss carryforwards have been offset or expired.
The character of income and realized capital gains distributions are determined in accordance with federal income tax regulations and may differ from net investment income and realized gains for financial reporting purposes. These “book/tax” differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature they are reclassified within the composition of net assets; temporary differences do not require such reclassification. Distributions to shareholders that exceed taxable income and net taxable realized gains are reported as return of capital distributions.
The Fund’s management and its tax agent perform an affirmative evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether it is more-likely-than-not (i.e. greater than 50-percent) that each tax position will be sustained upon examination by a taxing authority based on the technical merits of the position. Implementation of the evaluation included a review of tax positions taken in tax years that remain subject to examination by all major tax jurisdictions, including federal tax and the state of Maryland. The determination has been made that there are no uncertain tax positions that would require the Portfolios to record a tax liability or provision.
Expense Allocation
Expenses directly attributable to a Portfolio are charged to that Portfolio. Expenses that cannot be directly attributed to a Portfolio are allocated among all the benefited Portfolios on a basis of relative net assets or other appropriate method.
Foreign Withholding Taxes
Certain Portfolios in the Fund may be subject to taxes imposed by countries in which they invest with respect to their investments in issuers existing or operating in such countries. Such taxes are generally withheld based on income earned. These Portfolios accrue such taxes as the related income is earned.
153 | (continued) |
Ohio National Fund, Inc.
|
Notes to Financial Statements (Continued)
| December 31, 2017 |
TBA Commitments
To-Be-Announced (“TBA”) commitments are agreements for the purchase or sale of mortgage-backed securities for a fixed price, with payment and delivery on an agreed upon future settlement date beyond the customary settlement period for such securities. The specific securities to be delivered are not identified at the trade date. However, delivered securities must meet specified terms, including issuer, rate and term and be within industry-accepted “good delivery” standards. When entering into TBA commitments, a Portfolio may take possession of or deliver the underlying mortgage-backed securities but can extend the settlement or roll the transaction. TBA commitments involve a risk of loss if the value of the security to be purchased or sold declines or increases, respectively, prior to settlement date. The Risk Managed Balanced Portfolio was the only Portfolio to engage in TBA transactions and did not take delivery of individual mortgage-backed securities during the year ended December 31, 2017.
Mortgage Dollar Rolls
A Portfolio may enter into a mortgage dollar roll (“MDR”) transaction, in which the Portfolio agrees to both sell and purchase a similar, but not identical, TBA mortgage-backed security with the same issuer, rate, and term on a later date at a set price. MDRs are treated as purchases and sales, which may have the effect of increasing portfolio turnover rates, and result in realized gains and losses based on the agreed-upon fixed prices. The Risk Managed Balanced Portfolio was the only Portfolio to engage in MDR transactions during the year ended December 31, 2017.
New Accounting Pronouncements and Regulations
In March 2017, the FASB issued ASU 2017-18, which provides guidance related to the amortization period for certain purchased callable debt securities held at a premium. The ASU is effective for annual periods beginning after December 15, 2018, and interim periods within those annual periods. The Fund’s management is currently evaluating the impact of the amendment on the Fund’s financial statements.
In October 2016, the Securities and Exchange Commission (SEC) released its Final Rules on Investment Company Reporting Modernization (the “Rules”). The Rules, which introduce two new regulatory reporting forms for investment companies – Form N-Port and Form N-CEN – also contain amendments to Regulation S-X that require standardized, enhanced disclosures about derivatives in investment company financial statements, as well as other amendments. The Fund has adopted the enhanced disclosures regarding derivatives and investments in affiliates, which had no effect on the Fund’s net assets or results of operations. The Fund’s management is currently evaluating the impact of the new regulatory forms on the Fund’s financial statements.
Subsequent Events
At a meeting held on November 15, 2017, the Board, including a majority of its directors who are not “interested persons” of the Fund (the “Independent Directors”), approved the termination of the sub-adviser to the Mid Cap Opportunity Portfolio, currently Goldman Sachs Asset Management, L.P. The Board, including a majority of the Independent Directors, also approved a new sub-advisory agreement with respect to the Mid Cap Opportunity Portfolio between Ohio National Investments, Inc. (“ONI”), the adviser to the Fund’s Portfolios, and Janus Capital Management LLC. The new sub-advisory agreement will become effective on May 1, 2018.
At a meeting held on February 13, 2018, the Board approved an amendment to the Expense Limitation Agreement, in which ONII contractually agrees to reimburse the Fund to the extent that the annual ordinary operating expenses of the five ON Model Portfolios exceed pre-determined expense limitations. The amendment is effective May 1, 2018, and its purpose was to revise the expense limitations to the following percentages of average daily net assets:
Portfolio | ||||
ON Conservative Model | 0.87% | |||
ON Moderately Conservative Model | 0.92% | |||
ON Balanced Model | 0.99% | |||
ON Moderate Growth Model | 1.04% | |||
ON Growth Model | 1.08% |
Management has evaluated events and transactions through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements, and there are no other subsequent events to report.
154 | (continued) |
Ohio National Fund, Inc.
|
Notes to Financial Statements (Continued) | December 31, 2017 |
(3) | Related Party and Other Transactions |
The Fund has an Investment Advisory Agreement with Ohio National Investments, Inc. (“ONI”), a wholly-owned subsidiary of ONLIC. Under the terms of this agreement, ONI provides portfolio management and investment advice to the Fund and administers its operations, subject to the supervision of the Fund’s Board. This agreement is renewed annually upon the approval by the Board. As compensation for its services, ONI receives advisory fees from the Fund calculated on the basis of each Portfolio’s average daily net assets and the following current schedule of Board-approved annualized fee breakpoints.
Equity | Aggressive Growth | Bristol | ||
0.79% of first $200 million | 0.80% of first $100 million | 0.80% of first $100 million | ||
0.74% of next $800 million | 0.75% of next $400 million | 0.70% of next $400 million | ||
0.70% over $1 billion | 0.70% over $500 million | 0.65% over $500 million | ||
Bond | Small Cap Growth | Bryton Growth | ||
0.60% of first $100 million | 0.80% of first $150 million | 0.85% of first $100 million | ||
0.50% of next $150 million | 0.75% of next $150 million | 0.75% of next $400 million | ||
0.45% of next $250 million | 0.70% of next $300 million | 0.70% over $500 million | ||
0.40% of next $500 million | 0.65% over $600 million | Balanced | ||
0.30% of next $1 billion | Mid Cap Opportunity | 0.65% of first $200 million | ||
0.25% over $2 billion | 0.85% of first $100 million | 0.60% of next $300 million | ||
Omni | 0.80% of next $100 million | 0.55% over $500 million | ||
0.60% of first $100 million | 0.75% of next $300 million | S&P MidCap 400® Index | ||
0.50% of next $150 million | 0.70% over $500 million | 0.40% of first $100 million | ||
0.45% of next $250 million | S&P 500® Index | 0.35% of next $150 million | ||
0.40% of next $500 million | 0.40% of first $100 million | 0.33% over $250 million | ||
0.30% of next $1 billion | 0.35% of next $150 million | Bristol Growth | ||
0.25% over $2 billion | 0.33% over $250 million | 0.80% of first $100 million | ||
Capital Appreciation | Strategic Value | 0.70% of next $400 million | ||
0.80% of first $100 million | 0.75% of first $100 million | 0.65% over $500 million | ||
0.75% of next $300 million | 0.70% of next $400 million | Risk Managed Balanced | ||
0.65% of next $600 million | 0.65% over $500 million | 0.90% of first $500 million | ||
0.60% over $1 billion | High Income Bond | 0.75% over $500 million | ||
ON International Equity1 | 0.75% of first $75 million | ON Conservative Model | ||
0.85% of first $100 million | 0.70% of next $75 million | 0.40% of all net assets | ||
0.80% of next $100 million | 0.65% of next $75 million | ON Moderately Conservative Model | ||
0.70% of next $800 million | 0.60% over $225 million | 0.40% of all net assets | ||
0.67% over $1 billion | ClearBridge Small Cap | ON Balanced Model | ||
ON Foreign2 | 0.85% of first $200 million | 0.40% of all net assets | ||
0.85% of first $100 million | 0.80% of next $300 million | ON Moderate Growth Model | ||
0.80% of next $100 million | 0.75% over $500 million | 0.40% of all net assets | ||
0.70% of next $800 million | Nasdaq-100® Index | ON Growth Model | ||
0.67% over $1 billion | 0.40% of first $100 million | 0.40% of all net assets | ||
0.35% of next $150 million | ||||
0.33% over $250 million |
1 | At a meeting held on March 15, 2017, the Board, including a majority of the Directors who are not “interested persons” of the Fund, approved the replacement of the investment strategy and sub-adviser to the Portfolio. |
Effective May 1, 2017, Lazard Asset Management, LLC replaced the Portfolio’s previous sub-adviser, Federated Global Investment Management Corp. In conjunction with the change in sub-adviser and investment strategy, the name of the Portfolio was changed from International Portfolio to ON International Equity Portfolio. Also, the Board approved a revision to the Portfolio’s advisory fee schedule shown above, also effective May 1, 2017. Previously, the advisory fee breakpoints, based on the Portfolio’s daily net assets, were:
0.85% of first $100 million
0.80% of next $100 million
0.70% over $200 million
2 | At a meeting held on March 15, 2017, the Board, including a majority of the Directors who are not “interested persons” of the Fund, approved the replacement of the investment strategy and sub-adviser to the Portfolio. |
155 | (continued) |
Ohio National Fund, Inc.
|
Notes to Financial Statements (Continued) | December 31, 2017 |
Effective May 1, 2017, Templeton Global Advisors Limited replaced the Portfolio’s previous sub-adviser, Federated Global Investment Management Corp. In conjunction with the change in sub-adviser and investment strategy, the name of the Portfolio was changed from International Small-Mid Company Portfolio to ON Foreign Portfolio. Also, the Board approved a revision to the Portfolio’s advisory fee schedule shown above, also effective May 1, 2017. Previously, the advisory fee breakpoints, based on the Portfolio’s daily net assets, were:
1.00% of first $100 million
0.90% of next $100 million
0.85% over $200 million
Under the Investment Advisory Agreement, the Fund authorizes ONI to retain sub-advisers (“the Sub-Advisers”) for all Portfolios of the Fund, subject to the approval of the Board. ONI has entered into sub-advisory agreements with ClearBridge, LLC (“ClearBridge”), Suffolk Capital Management, LLC (“Suffolk”), Lazard Asset Management, LLC (“Lazard”), Templeton Global Advisors Limited (“Templeton”), Jennison Associates LLC (“Jennison”), Janus Capital Management LLC (“Janus”), Goldman Sachs Asset Management, L.P. (“Goldman Sachs”), Geode Capital Management, LLC (“Geode”), Federated Equity Management Company of Pennsylvania (“Federated Equity”), Federated Investment Management Company (“Federated Investment”), ICON Advisers, Inc. (“ICON”), and AnchorPath Financial, LLC (“AnchorPath”) to manage the investment of certain Portfolios’ assets, subject to the supervision of ONI.
As compensation for their services, the Sub-Advisers receive from ONI a sub-advisory fee calculated on the basis of each of the aforementioned Portfolio’s average daily net assets and the following current Board-approved schedule of annualized fee breakpoints.
Equity (ClearBridge) | Small Cap Growth (Janus) | Bryton Growth (Suffolk) | ||
0.40% of first $200 million | 0.55% of first $150 million | 0.50% of first $100 million | ||
0.38% over $200 million | 0.45% over $150 million | 0.45% of next $400 million | ||
Omni (Suffolk) | Mid Cap Opportunity (Goldman Sachs) | 0.40% over $500 million | ||
0.30% of first $100 million | 0.60% of first $100 million | Balanced (ICON) | ||
0.25% of next $150 million | 0.55% of next $100 million | 0.40% of first $200 million | ||
0.225% of next $250 million | 0.50% over $200 million | 0.35% of next $300 million | ||
0.20% of next $500 million | S&P 500® Index (Geode)5 | 0.30% over $500 million | ||
0.15% of next $1 billion | 0.025% of first $100 million | S&P MidCap 400® Index (Geode)5 | ||
0.125% over 2 billion | 0.020% of next $150 million | 0.039% of first $100 million | ||
Capital Appreciation (Jennison) | 0.015% over $250 million | 0.038% of next $150 million | ||
0.75% of first $10 million | Strategic Value (Federated Equity) | 0.037% of next $250 million | ||
0.50% of next $30 million | 0.50% of first $35 million | 0.036% of next $500 million | ||
0.35% of next $25 million | 0.35% of next $65 million | 0.035% over $1 billion | ||
0.25% of next $335 million | 0.25% over $100 million | Bristol Growth (Suffolk) | ||
0.22% of next $600 million | High Income Bond (Federated Investment) | 0.45% of first $100 million | ||
0.20% over $1 billion | 0.50% of first $30 million | 0.40% of next $400 million | ||
ON International Equity (Lazard)3 | 0.40% of next $20 million | 0.35% over $500 million | ||
0.40% on first $500 Million | 0.30% of next $25 million | Risk Managed Balanced (Janus) | ||
0.35% on next $500 Million | 0.25% over $75 million | 0.35% of first $500 million | ||
0.32% over $1 Billion | ClearBridge Small Cap (ClearBridge) | 0.25% over $500 million | ||
ON Foreign (Templeton)4 | 0.55% of first $200 million | Risk Managed Balanced (AnchorPath) | ||
0.43% on first $500 Million | 0.50% over $200 million | 0.20% of first $500 million | ||
0.38% on next $500 Million | Nasdaq-100® Index (Geode)5 | 0.15% over $500 million | ||
0.35% over $1 Billion | 0.05% of first $100 million | |||
Aggressive Growth (Janus) | 0.04% of next $150 million | |||
0.55% of first $100 million | 0.03% over $250 million | |||
0.50% of next $400 million | Bristol (Suffolk) | |||
0.45% over $500 million | 0.45% of first $100 million | |||
0.40% of next $400 million | ||||
0.35% over $500 million |
3 | At a meeting held on March 15, 2017, the Board, including a majority of the Directors who are not “interested persons” of the Fund, approved the replacement of the investment strategy and sub-adviser to the Portfolio. |
156 | (continued) |
Ohio National Fund, Inc.
|
Notes to Financial Statements (Continued) | December 31, 2017 |
Effective May 1, 2017, Lazard Asset Management, LLC replaced the Portfolio’s previous sub-adviser, Federated Global Investment Management Corp. In conjunction with the change in sub-adviser and investment strategy, the name of the Portfolio was changed from International Portfolio to ON International Equity Portfolio. Also, the Board approved a revision to the Portfolio’s sub-advisory fee schedule shown above, also effective at May 1, 2017. Previously, the sub-advisory fee breakpoints, based on the Portfolio’s daily net assets, were:
0.40% of first $200 Million
0.35% over $200 Million
4 | At a meeting held on March 15, 2017, the Board, including a majority of the Directors who are not “interested persons” of the Fund, approved the replacement of the investment strategy and sub-adviser to the Portfolio. |
Effective May 1, 2017, Templeton Global Advisors Limited replaced the Portfolio’s previous sub-adviser, Federated Global Investment Management Corp. In conjunction with the change in sub-adviser and investment strategy, the name of the Portfolio was changed from International Small-Mid Company Portfolio to ON Foreign Portfolio. Also, the Board approved a revision to the Portfolio’s sub-advisory fee schedule shown above, also effective at May 1, 2017. Previously, the sub-advisory fee breakpoints, based on the Portfolio’s daily net assets, were:
0.75% of first $100 Million
0.65% over $100 Million
5 | The sub-advisory fees for the three Portfolios sub-advised by Geode could be impacted by an agreed-upon minimum aggregate per annum fee of $150,000. For the year ended December 31, 2017, the minimum aggregate fee had no impact on the sub-advisory fees that were calculated based on the fee schedules indicated above. |
Prior to December 30, 2016, Suffolk, the sub-adviser to the Omni, Bristol, Bryton Growth, and Bristol Growth Portfolios had an affiliation with ONI. Ohio National Financial Services, Inc. (ONFS) owns 100% of ONLIC, the parent company of ONI, and, until December 30, 2016, also owned 84.698% of the voting interests of Suffolk. On December 30, 2016, a Purchase and Sale Agreement was executed for the purpose of transferring ONLIC’s ownership interests to a Suffolk employee ownership group. There were no Fund liabilities payable to Suffolk at December 31, 2017, as sub-advisory fees are accrued and paid by ONI rather than the Fund.
Pursuant to a service agreement among ONI, ONLIC, and the Fund, ONLIC has agreed to provide personnel and facilities to ONI on a cost-reimbursement basis. These personnel members include officers of the Fund. ONLIC also provides clerical and administrative services and such supplies and equipment as may be reasonably required in order for ONI to properly perform its advisory function pursuant to the Investment Advisory Agreement. ONLIC further performs duties to fulfill the transfer agent function on behalf of the Fund. Performance of these duties by ONLIC and availability of facilities, personnel, supplies, and equipment does not represent an expense to the Fund in excess of the advisory fees paid to ONI.
Pursuant to the Investment Advisory Agreement between ONI and the Fund, if the total expenses applicable to any Portfolio during any calendar quarter (excluding taxes, brokerage commissions, interest expense and management fees) exceed 1%, on an annualized basis, evaluated quarterly, of such Portfolio’s average daily net asset value, ONI will reimburse the Portfolio for such excess expenses. There were no expense reimbursements associated with this agreement during the year ended December 31, 2017.
ONI has contractually agreed to reimburse the Fund to the extent that the annual ordinary operating expenses of the five new ON Model Portfolios, excluding: portfolio transaction and other investment related costs (including brokerage fees and commissions); taxes; borrowing costs (such as interest and dividend expenses on securities sold short); fees and expenses associated with investments in derivative instruments (including for example option and swap fees and expenses); any amounts payable pursuant to a distribution or service plan adopted in accordance with Rule 12b-1 under the Investment Company Act of 1940; any administrative and/or shareholder servicing fees payable pursuant to a plan approved by the Board of Directors of the Fund; expenses incurred in connection with any merger or reorganization; extraordinary expenses (such as litigation expenses, indemnification of Fund officers and Directors and contractual indemnification of Portfolio service providers); and other expenses that the Directors agree have not been incurred in the ordinary course of the Portfolio’s business, exceed the following percentages of the average daily net assets (the “Expense Limitation Agreement.” )
Portfolio | ||||||
ON Conservative Model | 0.82% | |||||
ON Moderately Conservative Model | 0.87% | |||||
ON Balanced Model | 0.94% | |||||
ON Moderate Growth Model | 0.99% | |||||
ON Growth Model | 1.03% |
157 | (continued) |
Ohio National Fund, Inc.
|
Notes to Financial Statements (Continued) | December 31, 2017 |
For purposes of calculating the expenses subject to the Expense Limitation Agreement, the annual operating expenses are those as presented pursuant to the Fund’s prospectus requirements. The prospectus presentation of Fund expenses includes Acquired Fund Fees and Expenses (“AFFE”), which is a calculation of the indirect costs associated with the Portfolios’ underlying investments in other investment companies. The Expense Limitation Agreement will continue at least through April 30, 2018. The Expense Limitation Agreement may only be terminated with the consent of the Board. Under the Expense Limitation Agreement, ONI is entitled to a reimbursement of the excess expense payments paid by it in the three years following the date the particular expense payment occurred, but only if such reimbursement can be achieved without exceeding the lesser of the applicable annual expense limitation in effect at the time of the expense payment or the reimbursement. There were no recorded liabilities related to this agreement at December 31, 2017.
For the period from the Model Portfolios’ inception date, March 1, 2017, to December 31, 2017, ONI reimbursed the expenses of the ON Model Portfolios as follows:
Portfolio | ||||||
ON Conservative Model | $ | 225,670 | ||||
ON Moderately Conservative Model | 546,454 | |||||
ON Balanced Model | 2,175,981 | |||||
ON Moderate Growth Model | 3,208,708 | |||||
ON Growth Model | 787,420 |
The Investment Advisory Agreement allows for a portion of the expenses related to the Fund’s Chief Compliance Officer and staff to be incurred by the Fund and paid from the Fund to the Fund’s adviser, ONI. Pursuant to the service agreement among ONI, ONLIC, and the Fund, ONLIC has provided the personnel, services, and equipment necessary for the execution of the Fund’s regulation-mandated compliance function and ONI has reimbursed ONLIC for costs allocated to the Fund. For the year ended December 31, 2017, the Fund incurred compliance expenses totaling $338,804, which is allocated to the Portfolios by equal dollar amounts. Expenses incurred by the Portfolios are reflected on the Statements of Operations as “Compliance expense”.
Each director of the Board is compensated based on an annual retainer fee of $140,000, paid quarterly. The Board chair receives an additional quarterly retainer fee of $3,750, the lead independent director of the Board receives an additional quarterly retainer fee of $3,125, and the Audit Committee chair receives an additional quarterly retainer fee of $1,250; each paid quarterly. For the year ended December 31, 2017, directors’ compensation and reimbursement of director expenses by the Portfolios of the Fund totaled $747,300.
The accounting agent and custodian for the Fund is State Street Bank (Kansas City, MO and Boston, MA). For assets held outside of the United States, State Street Bank utilizes a foreign sub-custodian network that is subject to oversight and periodic approval of the Board.
(4) | Capital Share Transactions |
Capital share transactions for the year ended December 31, 2017, and the year ended December 31, 2016, respectively, were as follows:
Equity | Bond | Omni | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2017 | 2016 | |||||||||||||||||||
Capital shares issued on sales | 10,642,597 | 2,230,233 | 11,214,295 | 2,653,292 | 266,862 | 907,980 | ||||||||||||||||||
Capital shares redeemed | (12,872,622 | ) | (2,826,282 | ) | (2,741,090 | ) | (3,109,602 | ) | (318,671 | ) | (751,330 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase/(decrease) | (2,230,025 | ) | (596,049 | ) | 8,473,205 | (456,310 | ) | (51,809 | ) | 156,650 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Capital Appreciation | ON International Equity | ON Foreign | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2017 | 2016 | |||||||||||||||||||
Capital shares issued on sales | 2,025,134 | 792,089 | 1,144,777 | 1,559,945 | 628,575 | 550,491 | ||||||||||||||||||
Capital shares redeemed | (4,338,944 | ) | (8,694,235 | ) | (2,568,809 | ) | (2,369,033 | ) | (634,666 | ) | (757,661 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase/(decrease) | (2,313,810 | ) | (7,902,146 | ) | (1,424,032 | ) | (809,088 | ) | (6,091 | ) | (207,170 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
158 | (continued) |
Ohio National Fund, Inc.
|
Notes to Financial Statements (Continued) | December 31, 2017 |
Aggressive Growth | Small Cap Growth | Mid Cap Opportunity | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2017 | 2016 | |||||||||||||||||||
Capital shares issued on sales | 709,785 | 1,176,118 | 6,189,442 | 1,410,206 | 174,034 | 367,577 | ||||||||||||||||||
Capital shares redeemed | (860,290 | ) | (1,385,111 | ) | (6,546,021 | ) | (2,206,610 | ) | (469,655 | ) | (688,315 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase/(decrease) | (150,505 | ) | (208,993 | ) | (356,579 | ) | (796,404 | ) | (295,621 | ) | (320,738 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
S&P 500® Index | Strategic Value | High Income Bond | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2017 | 2016 | |||||||||||||||||||
Capital shares issued on sales | 23,454,764 | 20,751,886 | 30,871,564 | 14,744,875 | 12,486,892 | 8,187,969 | ||||||||||||||||||
Capital shares redeemed | (19,338,265 | ) | (4,923,612 | ) | (27,981,608 | ) | (6,274,225 | ) | (13,338,819 | ) | (3,137,431 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase/(decrease) | 4,116,499 | 15,828,274 | 2,889,956 | 8,470,650 | (851,927 | ) | 5,050,538 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
ClearBridge Small Cap | Nasdaq-100® Index | Bristol | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2017 | 2016 | |||||||||||||||||||
Capital shares issued on sales | 3,994,874 | 3,777,046 | 6,783,625 | 5,283,661 | 6,848,458 | 828,739 | ||||||||||||||||||
Capital shares redeemed | (4,590,517 | ) | (743,571 | ) | (3,749,601 | ) | (4,629,245 | ) | (8,102,589 | ) | (2,348,472 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase/(decrease) | (595,643 | ) | 3,033,475 | 3,034,024 | 654,416 | (1,254,131 | ) | (1,519,733 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Bryton Growth | Balanced | S&P MidCap 400® Index | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2017 | 2016 | |||||||||||||||||||
Capital shares issued on sales | 3,478,196 | 1,339,282 | 24,217,744 | 9,384,539 | 3,514,467 | 370,339 | ||||||||||||||||||
Capital shares redeemed | (5,814,782 | ) | (4,999,127 | ) | (28,797,829 | ) | (6,988,391 | ) | (1,597,043 | ) | (554,988 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase/(decrease) | (2,336,586 | ) | (3,659,845 | ) | (4,580,085 | ) | 2,396,148 | 1,917,424 | (184,649 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Bristol Growth | Risk Managed Balanced | |||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||||
December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||||||||||
Capital shares issued on sales | 5,831,380 | 766,504 | 7,019,790 | 13,411,958 | ||||||||||||||||||||
Capital shares redeemed | (6,841,925 | ) | (1,174,726 | ) | (5,162,331 | ) | (3,282,546 | ) | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
Net increase/(decrease) | (1,010,545 | ) | (408,222 | ) | 1,857,459 | 10,129,412 | ||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||
ON | ON Moderately | |||||||||||||||||||||||
Conservative | Conservative | ON Balanced | ON Moderate | ON Growth | ||||||||||||||||||||
Model | Model | Model | Growth Model | Model | ||||||||||||||||||||
Period from | Period from | Period from | Period from | Period from | ||||||||||||||||||||
March 1, 2017 | March 1, 2017 | March 1, 2017 | March 1, 2017 | March 1, 2017 | ||||||||||||||||||||
(inception) to | (inception) to | (inception) to | (inception) to | (inception) to | ||||||||||||||||||||
December 31, | December 31, | December 31, | December 31, | December 31, | ||||||||||||||||||||
2017 | 2017 | 2017 | 2017 | 2017 | ||||||||||||||||||||
Capital shares issued on sales | 11,598,693 | 35,444,144 | 161,454,788 | 263,279,015 | 53,788,591 | |||||||||||||||||||
Capital shares redeemed | (2,132,216 | ) | (4,941,775 | ) | (16,972,493 | ) | (23,746,889 | ) | (5,012,375 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net increase/(decrease) | 9,466,477 | 30,502,369 | 144,482,295 | 239,532,126 | 48,776,216 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
159 | (continued) |
Ohio National Fund, Inc.
|
Notes to Financial Statements (Continued) | December 31, 2017 |
(5) | Investment Transactions |
Cost of purchases and proceeds from sales of investments (excluding short-term and government securities) for the year ended December 31, 2017 were as follows:
Capital | ON International | |||||||||
Equity | Bond | Omni | Appreciation | Equity | ||||||
Cost of purchases |
$231,704,708 | $251,782,319 | $115,976,171 | $ 85,155,105 | $195,262,659 | |||||
Proceeds from sales | $296,981,061 | $111,293,846 | $115,044,587 | $163,696,337 | $206,409,215 | |||||
Aggressive | Mid Cap | |||||||||
ON Foreign | Growth | Small Cap Growth | Opportunity | S&P 500® Index | ||||||
Cost of purchases |
$93,326,706 | $31,175,087 | $65,494,597 | $41,688,029 | $216,960,145 | |||||
Proceeds from sales | $91,256,539 | $35,139,820 | $74,667,418 | $51,081,824 | $ 77,913,936 | |||||
ClearBridge Small | Nasdaq-100® | |||||||||
Strategic Value | High Income Bond | Cap | Index | Bristol | ||||||
Cost of purchases |
$209,424,066 | $93,361,815 | $125,434,111 | $65,139,703 | $473,520,872 | |||||
Proceeds from sales | $144,335,973 | $96,145,840 | $134,582,788 | $16,536,731 | $506,670,213 | |||||
S&P MidCap 400® | Risk Managed | |||||||||
Bryton Growth | Balanced | Index | Bristol Growth | Balanced | ||||||
Cost of purchases |
$167,769,079 | $819,964,188 | $56,849,125 | $269,416,961 | $153,138,495 | |||||
Proceeds from sales | $222,220,748 | $882,413,177 | $23,337,711 | $291,777,424 | $136,778,078 | |||||
ON Moderately | ||||||||||
ON Conservative | Conservative | ON Balanced | ON Moderate | |||||||
Model | Model | Model | Growth Model | ON Growth Model | ||||||
Cost of purchases |
$123,005,916 | $374,962,448 | $1,808,193,574 | $2,968,303,410 | $604,915,888 | |||||
Proceeds from sales | $ 27,176,333 | $ 66,540,558 | $ 361,736,852 | $ 544,737,849 | $114,165,069 | |||||
Cost of purchases and proceeds from sales of government securities for the year ended December 31, 2017 were as follows: | ||||||||||
Risk Managed | ||||||||||
Bond | Omni | Balanced | Balanced | |||||||
Cost of purchases |
$91,525,693 | $ 795,664 | $128,417,539 | $69,579,595 | ||||||
Proceeds from sales | $86,568,721 | $1,861,508 | $ 71,549,609 | $58,300,914 |
(6) | Financial Instruments |
The Fund’s Portfolios may trade in financial instruments with off-balance sheet risk for hedging purposes or, otherwise, in accordance with stated investing objectives. These financial instruments may include options, futures, and foreign currency contracts that may involve, to a varying degree, elements of risk in excess of the amounts recognized on financial statements.
Options
A Portfolio may buy and write (i.e., sell) call and put options. In writing call options, the Portfolio gives the purchaser of the call option the right to purchase the underlying securities from the Portfolio at a specified “exercise” price at any time prior to the expiration of the option, normally within nine months. A Portfolio writes a covered call option when it owns the underlying securities and an uncovered call option when it does not. In purchasing put options, a Portfolio pays the seller of the put option a premium for the right of the Portfolio to sell the underlying securities to the seller at a specified exercise price prior to the expiration of the option. When a Portfolio sells a put option, it has the obligation to buy, and the purchaser of the put the right to sell, the underlying security at the exercise price during the option period. Whenever a Portfolio has a written covered call option outstanding, the underlying securities will be segregated by the Custodian and held in an escrow account to assure that such securities will be delivered to the option holder if the option is exercised. While the underlying securities are subject to the option, the Portfolio remains the record owner of the securities, entitling it to receive dividends and to exercise any voting rights. Whenever a Portfolio has a written uncovered call option outstanding, it will segregate with the Custodian cash or liquid assets that, when added to the amounts
160 | (continued) |
Ohio National Fund, Inc.
|
Notes to Financial Statements (Continued) | December 31, 2017 |
deposited with the broker as margin, equal to the market value of the securities underlying the call option (but not less than the exercise price of the call option). To cover a written put option, the Portfolio writing the option deposits cash or liquid securities in a segregated account at the Custodian. In order to terminate its position as the writer or the purchaser of an option, the Portfolio may enter into a “closing” transaction, which is the purchase (if the Portfolio has written the option) or sale (if the Portfolio is the purchaser of the option) of an option on the same underlying securities and having the same exercise price and expiration date as the option previously written or purchased by the Portfolio.
When a Portfolio writes a put or call option, an amount equal to the premium received is included on the Statement of Assets and Liabilities as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option. Such liability is subject to off balance sheet risks to the extent of any future increases in market value of the written options. If an option expires on its stipulated expiration date or if the Portfolio enters into a closing purchase transaction, a gain or loss is realized. If a written call option on an individual security is exercised, a gain or loss is realized for the sale of the underlying security, and the proceeds from the sale are increased by the premium originally received. If a written call option on a securities index is exercised, a gain or loss is realized as determined by the premium originally received, the exercise price and the market value of the index. If a written put option on an individual security is exercised, the cost of the security acquired is decreased by the premium originally received. When a Portfolio purchases a put or call option, an amount equal to the premium paid is included on the Portfolio’s Statement of Assets and Liabilities as an investment, and is subsequently marked-to-market to reflect the current market value of the option. If an option expires on the stipulated expiration date or if the Portfolio enters into a closing sale transaction, a gain or loss is realized. If a Portfolio exercises a call option on an individual security, the cost of the security acquired is increased by the premium paid for the call. If the Portfolio exercises a put option on an individual security, a gain or loss is realized from the sale of the underlying security, and the proceeds from such a sale are decreased by the premium originally paid. If the Portfolio exercises a put option on a security index, a gain or loss is realized as determined by the premium originally paid, the exercise price and the market value of the index.
The Balanced Portfolio held written call options and purchased put options during the year ended December 31, 2017. These instruments were used by the Portfolio to provide a hedge against equity price risk. During a period in which the prices of the Portfolio’s common stocks may decline, these instruments are designed to increase in value, thus providing price accumulation gains that partially offset the price accumulation losses of the common stocks in the Portfolio.
The Balanced Portfolio’s written call options are collateralized by cash and/or securities held by the Portfolio’s custodian under an Escrow Deposit Agreement between the custodian and the Options Clearing Corporation (“OCC”). Such collateral holdings are restricted from trading. The cash collateral or borrowings, if necessary, are included on the Statement of Assets and Liabilities. The securities pledged as collateral under the Escrow Deposit Agreement are noted as such on the Portfolio’s Schedule of Investments.
Although there were no written options held by the Balanced Portfolio at December 31, 2017, the Portfolio held 400 contracts of written options that were purchased in the previous year. During the year ended December 31, 2017, these contracts were sold, resulting in a net realized gain of $412,834.
Written and purchased options are non-income producing securities.
Transactions involving purchased options by the Balanced Portfolio for the year ended December 31, 2017 were: Cost of purchases: $3.5 million, Expirations: $9.2 million.
The Risk Managed Balanced Portfolio also purchased call and put options associated with the S&P 500 Index or related exchange traded fund during the year ended December 31, 2017. These instruments were used by the Risk Management Component of the Portfolio to provide for the Portfolio’s stated risk management strategy. Transactions involving purchased options by the Risk Managed Balanced Portfolio for the year ended ended December 31, 2017 were: Cost of purchases: $22.3 million, Proceeds from sales: $20.0 million.
Futures Contracts
A Portfolio may buy or sell two kinds of financial futures contracts: stock index futures contracts and interest rate futures contracts. Stock index futures contracts are contracts developed by and traded on national commodity exchanges whereby the buyer will, on a specified future date, pay or receive a final cash payment equal to the difference between the actual value of the stock index on the last day of the contract and the value of the stock index established by the contract multiplied by the specific dollar amount set by the exchange. Futures contracts may be based on broad-based stock indexes such as the S&P 500 Index or on narrow-based stock indices. A particular index will be selected according to the Adviser’s investment strategy for the particular Portfolio. An interest rate futures contract is an agreement whereby one party agrees to sell and another party agrees to purchase a specified amount of a specified financial instrument (debt security) at a specified price at a specified date, time and place. Although interest rate futures contracts typically require actual future delivery of and payment for financial instruments, the contracts are usually closed out before the delivery date. A public market exists in interest rate futures contracts covering primarily the following financial
161 | (continued) |
Ohio National Fund, Inc.
|
Notes to Financial Statements (Continued) | December 31, 2017 |
instruments: U.S. Treasury bonds; U.S. Treasury notes; Government National Mortgage Association (GNMA) modified pass-through mortgage-backed securities; three-month U.S. Treasury bills; 90-day commercial paper; bank certificates of deposit; and Eurodollar certificates of deposit. U.S. futures contracts are traded on exchanges which have been designated “contract markets” by the Commodities Futures Trading Commission (“CFTC”) and must be executed through a futures commission merchant (“FCM”), or brokerage firm, which is a member of the relevant contract market. It is expected that futures contracts trading in additional financial instruments will be authorized.
The Fund, on behalf of each Portfolio, has filed with the National Futures Association, a notice claiming an exclusion from the definition of the term “commodity pool operator” under the Commodity Exchange Act, as amended, and the rules of the CFTC promulgated thereunder, with respect to each Portfolio’s operation. Accordingly, the Portfolios are not subject to registration or regulation as a commodity pool operator.
The buyer or seller of a futures contract is not required to deliver or pay for the underlying instrument unless the contract is held until the delivery date. However, both the buyer and seller are required to deposit “initial margin” for the benefit of the broker when the contract is entered into. Initial margin deposits are equal to a percentage of the contract’s value, as set by the exchange on which the contract is traded, and are similar to good faith deposits or performance bonds.
Unlike margin extended by a securities broker, initial margin payments do not constitute purchasing securities on margin for purposes of a Portfolio’s investment limitations. A Portfolio, its futures commission merchant and the Custodian retain control of the initial margin until the contract is liquidated. If the value of either party’s position declines, the party on the side of the declining position will be required to make additional “variation margin” payments to settle the change in value on a daily basis. The party that has a gain may be entitled to receive all or a portion of this amount. Variation margin is recognized as a receivable and/or payable for variation margin on futures contracts on the Statement of Assets and Liabilities. In the event of the bankruptcy of the FCM that holds margin on behalf of a Portfolio, the Portfolio may be entitled to return of margin owed to the Portfolio only in proportion to the amount received by the FCM’s other customers. ONI and the Sub-Advisers will attempt to minimize this risk by carefully monitoring the creditworthiness of the FCMs with which the Portfolios do business. In addition to the margin restrictions discussed above, transactions in futures contracts and options on futures contracts may involve the segregation of funds pursuant to requirements imposed by the SEC. Under those requirements, where a Portfolio has a long position in a futures contract or sells a put option, it will be required to establish a segregated account (not with an FCM or broker) containing cash or certain liquid assets equal to the purchase price of the contract or the exercise price of the option (less any margin on deposit). For a short position in futures contacts held by a Portfolio or call options sold by a Portfolio, those requirements mandate the establishment of a segregated account (not with a futures commission merchant or broker) containing cash or certain liquid assets that, when added to the amounts deposited as margin, equal the market value of the instruments underlying the futures contracts or call options. However, segregation of assets is not required if a Portfolio “covers” its position.
Portions of the S&P 500® Index, Nasdaq-100® Index, and S&P MidCap 400® Index Portfolios’ cash holdings, as noted on those Portfolios’ Schedules of Investments, were pledged at December 31, 2017 as collateral for the Portfolios’ futures contracts. These futures contracts were used by the Portfolios for the purpose of gaining equity exposure for cash and cash equivalents, thereby seeking to lessen a performance difference between the Portfolios and their respective benchmark indices. There were other index futures contracts that were executed and closed in the Portfolios during the year ended December 31, 2017. Those contracts were executed for similar purposes as the contracts outstanding at December 31, 2017. For the year ended December 31, 2017, the notional values of futures contracts opened and closed prior to contract settlement date by the S&P 500® Index Portfolio were $146.3 million and $148.1 million, respectively. For the year ended December 31, 2017, the notional values of futures contracts opened and closed prior to contract settlement date by the Nasdaq-100® Index Portfolio were $41.4 million and $40.6 million, respectively. For the year ended December 31, 2017, the notional values of futures contracts opened and closed prior to contract settlement date by the S&P MidCap 400® Index Portfolio were $7.3 million and $7.4 million, respectively.
Portions of the Risk Managed Balanced Portfolio’s securities and cash holdings, as noted on the Portfolio’s Schedule of Investments, were pledged at December 31, 2017 as collateral for the Portfolio’s futures contracts. These futures contracts were used by the Portfolio to provide for the Portfolio’s stated risk management strategy. There were other index futures contracts that were executed and closed in the Risk Managed Balanced Portfolio during the year ended December 31, 2017. Those contracts were executed for similar purposes as the contracts outstanding at December 31, 2017. For the year ended December 31, 2017, the notional values of futures contracts opened and closed prior to contract settlement date by the Portfolio were $1,097.5 million and $1,069.5 million, respectively.
Although there were no futures contracts in the ON International Equity Portfolio at December 31, 2017, there were index futures contracts that were executed and closed in that Portfolio during the year ended December 31, 2017. Those contracts were executed for the purpose of increasing exposure to an attractive equities market, beyond that evidenced by the Portfolio’s investment in
162 | (continued) |
Ohio National Fund, Inc.
|
Notes to Financial Statements (Continued) | December 31, 2017 |
common stocks, while maintaining a significant cash balance that could be used for potentially higher-than-average shareholder transactions. For the year ended December 31, 2017, the notional values of futures contracts opened and closed prior to contract settlement date by the Portfolio were $17.5 million and $25.4 million, respectively.
Foreign Currency Contracts
In order to hedge against changes in the exchange rates of foreign currencies in relation to the U.S. dollar, each Portfolio may engage in forward foreign currency contracts, foreign currency options and foreign currency futures contracts in connection with the purchase, sale or ownership of a specific security. The ON International Equity Portfolio, ON Foreign Portfolio, Strategic Value Portfolio and High Income Bond Portfolio may engage in non-hedging related transactions to implement their investment strategies.
The Portfolios generally conduct their foreign currency exchange transactions on a spot (i.e., cash) basis at the spot rate prevailing in the foreign exchange currency market. When a Portfolio purchases or sells a security denominated in or exposed to a foreign currency, it may enter into a forward foreign currency contract (“forward contract”) for the purchase or sale, for a fixed amount of dollars, of the amount of currency involved in the underlying security transaction. A forward contract involves an obligation to purchase or sell a specific currency at a future date, which may be any fixed number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract. In this manner, a Portfolio may obtain protection against a possible loss resulting from an adverse change in the relationship between the U.S. dollar and the foreign currency during the period between the date the security is purchased or sold and the date upon which payment is made or received. Although such contracts tend to minimize the risk of loss due to the decline in the value of the hedged currency, at the same time they tend to limit any potential gain which might result should the value of such currency increase.
Forward contracts are traded in the interbank market conducted directly between currency traders (usually large commercial banks) and their customers. Generally a forward contract has no deposit requirement, and no commissions are charged. Although foreign exchange dealers do not charge a fee for conversion, they do realize a profit based on the difference between the prices at which they buy and sell various currencies. When the Portfolio manager believes that the currency of a particular foreign country may suffer a substantial decline against the U.S. dollar, a Portfolio may enter into a forward contract to sell, for a fixed amount of dollars, the amount of foreign currency approximating the value of some or all of that Portfolio’s securities denominated in or exposed to such foreign currency. No Portfolio will enter into such forward contracts or maintain a net exposure to such contracts where the consummation of the contracts would obligate the Portfolio to deliver an amount of foreign currency in excess of the value of its assets denominated in or exposed to that currency. At the consummation of a forward contract for delivery by a Portfolio of a foreign currency, the Portfolio may either make delivery of the foreign currency or terminate its contractual obligation to deliver the foreign currency by purchasing an offsetting contract obligating it to purchase, at the same maturity date, the same amount of the foreign currency. If the Portfolio chooses to make delivery of the foreign currency, it may be required to obtain such currency through the sale of its securities denominated in such currency or through conversion of other Portfolio assets into such currency. It is impossible to forecast the market value of Portfolio securities at the expiration of the forward contract. Accordingly, it may be necessary for the Portfolio to purchase additional foreign currency on the spot market (and bear the expense of such purchase) if the market value of the security is less than the amount of foreign currency the Portfolio is obligated to deliver, and if a decision is made to sell the security and make delivery of the foreign currency. Conversely, it may be necessary for the Portfolio to sell on the spot market some of the foreign currency received on the sale of its hedged security if the security’s market value exceeds the amount of foreign currency the Portfolio is obligated to deliver.
If the Portfolio retains the hedged security and engages in an offsetting transaction, it will incur a gain or loss to the extent that there has been movement in spot or forward contract prices. If a Portfolio engages in an offsetting transaction, it may subsequently enter into a new forward contract to sell the foreign currency. Should forward prices decline during the period between the Portfolio’s entering into a forward contract for the sale of a foreign currency and the date it enters into an offsetting contract for the purchase of the foreign currency, the Portfolio will realize a gain to the extent the price of the currency it has agreed to sell exceeds the price of the currency it has agreed to purchase. Should forward prices increase, the Portfolio will suffer a loss to the extent the price of the currency it has agreed to purchase exceeds the price of the currency it has agreed to sell.
Buyers and sellers of foreign currency options and futures contracts are subject to the same risks previously described with respect to options and futures generally. In addition, settlement of currency options and futures contracts with respect to most currencies must occur at a bank located in the issuing nation. The ability to establish and close out positions on such options is subject to the maintenance of a liquid market that may not always be available. Currency rates may fluctuate based on political considerations and governmental actions as opposed to purely economic factors.
Predicting the movements of foreign currency in relation to the U.S. dollar is difficult and requires different skills than those necessary to predict movements in the securities market. There is no assurance that the use of foreign currency hedging transactions can successfully protect a Portfolio against loss resulting from the movements of foreign currency in relation to the U.S. dollar. In addition, it must be remembered that these methods of protecting the value of a Portfolio’s securities against a decline
163 | (continued) |
Ohio National Fund, Inc.
|
Notes to Financial Statements (Continued) | December 31, 2017 |
in the value of a currency does not eliminate fluctuations in the underlying prices of the securities. It simply establishes a rate of exchange which can be achieved at some future point in time. Additionally, although such contracts tend to minimize the risk of loss due to the decline in the value of the hedged currency, at the same time they tend to limit any potential gain which might result should the value of such currency increase.
Although there were no forward foreign currency contracts in the Portfolios at December 31, 2017, the ON Foreign Portfolio entered into foreign currency contracts during the year ended December 31, 2017 in order to mitigate the effect that exchange rate volatility had on the valuation of the Portfolio’s investments that were either significantly under-weighted or over-weighted in relation to the Portfolio’s benchmark index. For the year ended December 31, 2017, the notional value of foreign currency contracts executed by the ON Foreign Portfolio were approximately $3.5 million for currencies bought and approximately $3.5 million for currencies sold.
The values and financial statement effects of derivative instruments that were not accounted for as hedging instruments as of, and for the year ended December 31, 2017, were as follows:
Portfolio | Instrument | Primary Risk Type | Value- Asset Derivatives | Value- Liability Derivatives | Location on Statements of Assets and Liabilities | |||||||||
S&P 500® Index | Futures contracts | Equity price | $ | 7,091,400 |
$ |
7,107,828 |
| (1) | ||||||
|
|
|
| |||||||||||
Nasdaq-100® Index | Futures contracts | Equity price | $ | 1,794,450 | $ | 1,788,491 | (1) | |||||||
|
|
|
| |||||||||||
Balanced | Purchased options | Equity price | $ | 66,000 | $ | — | (2) | |||||||
|
|
|
| |||||||||||
S&P MidCap 400® Index | Futures contracts | Equity price | $ | 760,960 | $ | 753,207 | (1) | |||||||
|
|
|
| |||||||||||
Risk Managed Balanced | Purchased options | Equity price | $ | 23,867,416 | $ | — | (2) | |||||||
|
|
|
| |||||||||||
Futures contracts | Equity price | $ | 210,176,219 | $ | 211,021,276 | (1) | ||||||||
|
|
|
|
(1) | Net unrealized appreciation (depreciation) on futures contracts. The amounts represent the cumulative appreciation (depreciation) of these futures contracts as reported in the Statements of Assets and Liabilities. Only the current day’s variation margin, if any, is reported within the Statements of Assets and Liabilities as receivable (payable) for variation margin on futures contracts. |
(2) | Investments in securities of unaffiliated issuers, at value. |
Portfolio | Instrument | Risk Type | Realized Gain (Loss) on Derivatives Recognized in Income | Change in Unrealized Appreciation/ Depreciation on Derivatives Recognized in Income | Location on Statements of Operations | |||||||||
ON International Equity | Futures contracts | Equity price | $ | 773,873 | $ | (61,320 | ) | (3),(4) | ||||||
|
|
|
| |||||||||||
ON Foreign | Foreign currency contracts | Currency exchange rate | $ | (24,837 | ) | — | (1),(2) | |||||||
|
|
|
| |||||||||||
S&P 500® Index | Futures contracts | Equity price | $ | 1,900,493 | $ | 94,831 | (3),(4) | |||||||
|
|
|
| |||||||||||
Nasdaq-100® Index | Futures contracts | Equity price | $ | 496,136 | $ | 21,320 | (3),(4) | |||||||
|
|
|
| |||||||||||
Balanced | Purchased options | Equity price | $ | (9,230,267 | ) | $ | 3,667,965 | (5),(6) | ||||||
|
|
|
| |||||||||||
Written options | Equity price | $ | 412,834 | $ | (259,478 | ) | (7),(8) | |||||||
|
|
|
| |||||||||||
S&P MidCap 400® Index | Futures contracts | Equity price | $ | 35,708 | $ | 14,586 | (3),(4) | |||||||
|
|
|
| |||||||||||
Risk Managed Balanced | Futures contracts | Equity price | $ | 6,685,970 | $ | 84,780 | (3),(4) | |||||||
|
|
|
| |||||||||||
Purchased options | Equity price | $ | (1,116,237 | ) | $ | 3,802,313 | (5),(6) | |||||||
|
|
|
|
(1) | Net realized gain (loss) on foreign currency contracts. |
(2) | Change in unrealized appreciation/depreciation on foreign currency contracts. |
(3) | Net realized gain (loss) on futures contracts. |
(4) | Change in unrealized appreciation/depreciation on futures contracts. |
(5) | Net realized gain (loss) on investments in securities of unaffiliated issuers. |
(6) | Change in unrealized appreciation/depreciation on investments in securities of unaffiliated issuers. |
(7) | Net realized gain (loss) on written options. |
164 | (continued) |
Ohio National Fund, Inc.
|
Notes to Financial Statements (Continued) | December 31, 2017 |
(8) | Change in unrealized appreciation/depreciation on written options. |
The Portfolios may enter into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement”) or similar agreements with their derivative contract counterparties whereby the Portfolios may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables and create one single net payment. For financial reporting purposes, the Portfolios offset derivative assets and liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities. At December 31, 2017, there were no outstanding derivative transactions that were subject to netting arrangements.
(7) | Federal Income Tax Information |
The following information is presented on a federal income tax basis. Differences between amounts for financial statements and federal income tax purposes are primarily due to timing and character differences in recognizing certain gains and losses on investment transactions. Permanent differences between financial statement and federal income tax reporting are reclassified within the capital accounts based on their federal income tax treatment. Temporary differences do not require reclassification. Reclassifications related to permanent differences relate principally to consent dividends, foreign currency gains and losses, net investment losses, and distributions from Real Estate Investment Trusts and Closed End Mutual Funds.
At December 31, 2017, the components of accumulated earnings (deficit) on a tax basis were as follows:
Portfolio | Undistributed Ordinary Income | Undistributed Long-Term Capital Gains (Losses) | Accumulated Earnings | Accumulated Capital and Other Losses | Unrealized Appreciation (Depreciation)(1) | Unrealized Appreciation (Depreciation) on Foreign Currency, Futures, and Written Options | Total Accumulated Earnings (Deficit) | ||||||||||||||||||||||||||||
Equity | $ | — | $ | — | $ | — | $ | — | $ | 74,004,220 | $ | — | $ | 74,004,220 | |||||||||||||||||||||
Bond | — | — | — | — | 5,521,825 | — | 5,521,825 | ||||||||||||||||||||||||||||
Omni | — | — | — | — | 8,020,884 | — | 8,020,884 | ||||||||||||||||||||||||||||
Capital Appreciation | — | — | — | — | 18,849,852 | 2,008 | 18,851,860 | ||||||||||||||||||||||||||||
ON International Equity | — | — | — | — | 17,622,686 | 18,694 | 17,641,380 | ||||||||||||||||||||||||||||
ON Foreign | — | — | — | — | 3,546,436 | (9,920 | ) | 3,536,516 | |||||||||||||||||||||||||||
Aggressive Growth | — | — | — | — | 11,762,484 | — | 11,762,484 | ||||||||||||||||||||||||||||
Small Cap Growth | — | — | — | — | 66,009,673 | 1,224 | 66,010,897 | ||||||||||||||||||||||||||||
Mid Cap Opportunity | — | — | — | — | 17,208,248 | — | 17,208,248 | ||||||||||||||||||||||||||||
S&P 500® Index | — | — | — | — | 299,640,343 | — | 299,640,343 | ||||||||||||||||||||||||||||
Strategic Value | — | — | — | — | 40,017,261 | 46,278 | 40,063,539 | ||||||||||||||||||||||||||||
High Income Bond | — | — | — | (4,244,501 | ) | 3,469,445 | — | (775,056 | ) | ||||||||||||||||||||||||||
ClearBridge Small Cap | — | — | — | — | 32,486,104 | — | 32,486,104 | ||||||||||||||||||||||||||||
Nasdaq-100® Index | — | — | — | — | 101,915,252 | — | 101,915,252 | ||||||||||||||||||||||||||||
Bristol | — | — | — | — | 30,739,169 | — | 30,739,169 | ||||||||||||||||||||||||||||
Bryton Growth | — | — | — | — | 2,951,484 | — | 2,951,484 | ||||||||||||||||||||||||||||
Balanced | — | — | — | — | 68,108,149 | — | 68,108,149 | ||||||||||||||||||||||||||||
S&P MidCap 400® Index | — | — | — | — | 5,292,333 | — | 5,292,333 | ||||||||||||||||||||||||||||
Bristol Growth | — | — | — | — | 20,333,575 | — | 20,333,575 | ||||||||||||||||||||||||||||
Risk Managed Balanced | — | — | — | — | 36,260,435 | — | 36,260,435 | ||||||||||||||||||||||||||||
ON Conservative Model | — | — | — | — | 1,541,198 | — | 1,541,198 | ||||||||||||||||||||||||||||
ON Moderately Conservative Model | — | — | — | — | 6,490,080 | — | 6,490,080 | ||||||||||||||||||||||||||||
ON Balanced Model | — | — | — | — | 48,911,092 | — | 48,911,092 | ||||||||||||||||||||||||||||
ON Moderate Growth Model | — | — | — | — | 83,990,328 | — | 83,990,328 | ||||||||||||||||||||||||||||
ON Growth Model | — | — | — | — | 21,043,715 | — | 21,043,715 |
(1) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributed primarily to tax deferral of losses on wash sales and the realization for tax purposes of unrealized gains/(losses) on certain instruments. |
165 | (continued) |
Ohio National Fund, Inc.
|
Notes to Financial Statements (Continued) | December 31, 2017 |
For federal income tax purposes, the following Portfolios had capital loss carryforwards as of December 31, 2017 that are available to offset future realized gains, if any:
Expiration | ||||||||||||
No | No | |||||||||||
Total Loss | Expiration | Expiration | ||||||||||
Portfolio | Carryforward | 2018 | Short Term | Long Term | ||||||||
High Income Bond | $ | 4,244,501 | — | — | $ | 4,244,501 |
The cost basis for federal income tax purposes may differ from the cost basis for financial reporting purposes. The table below details the unrealized appreciation (depreciation) and aggregate cost of investments at December 31, 2017 for federal income tax purposes.
Capital | ON International | |||||||||||||||||||||||
Equity | Bond | Omni | Appreciation | Equity | ON Foreign | |||||||||||||||||||
Gross unrealized: | ||||||||||||||||||||||||
Appreciation | $ | 94,121,731 | $ | 6,119,317 | $ | 8,160,933 | $ | 22,007,202 | $ | 18,938,250 | $ | 6,682,017 | ||||||||||||
Depreciation | (20,117,511 | ) | (597,492 | ) | (140,049 | ) | (3,157,350 | ) | (1,315,564 | ) | (3,135,581 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net unrealized appreciation | $ | 74,004,220 | $ | 5,521,825 | $ | 8,020,884 | $ | 18,849,852 | $ | 17,622,686 | $ | 3,546,436 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Aggregate cost of investments: | $ | 499,887,463 | $ | 308,626,645 | $ | 60,106,466 | $ | 106,674,702 | $ | 140,319,852 | $ | 76,168,469 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Aggressive | Mid Cap | High Income | ||||||||||||||||||||||
Growth | Small Cap Growth | Opportunity | S&P 500® Index | Strategic Value | Bond | |||||||||||||||||||
Gross unrealized: | ||||||||||||||||||||||||
Appreciation | $ | 12,816,069 | $ | 72,371,535 | $ | 17,789,855 | $ | 312,844,371 | $ | 52,389,294 | $ | 8,350,193 | ||||||||||||
Depreciation | (1,053,585 | ) | (6,361,862 | ) | (581,607 | ) | (13,204,028 | ) | (12,372,033 | ) | (4,880,748 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net unrealized appreciation | $ | 11,762,484 | $ | 66,009,673 | $ | 17,208,248 | $ | 299,640,343 | $ | 40,017,261 | $ | 3,469,445 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Aggregate cost of investments: | $ | 48,970,097 | $ | 210,374,622 | $ | 60,943,810 | $ | 840,457,546 | $ | 552,742,278 | $ | 310,177,508 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
ClearBridge | Nasdaq-100® | S&P MidCap 400® | ||||||||||||||||||||||
Small Cap | Index | Bristol | Bryton Growth | Balanced | Index | |||||||||||||||||||
Gross unrealized: | ||||||||||||||||||||||||
Appreciation | $ | 44,932,629 | $ | 103,243,561 | $ | 31,113,319 | $ | 4,181,041 | $ | 78,126,476 | $ | 7,509,778 | ||||||||||||
Depreciation | (12,446,525 | ) | (1,328,309 | ) | (374,150 | ) | (1,229,557 | ) | (10,018,327 | ) | (2,217,445 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net unrealized appreciation | $ | 32,486,104 | $ | 101,915,252 | $ | 30,739,169 | $ | 2,951,484 | $ | 68,108,149 | $ | 5,292,333 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Aggregate cost of investments: | $ | 241,954,057 | $ | 154,694,605 | $ | 192,532,496 | $ | 53,584,971 | $ | 880,854,310 | $ | 83,551,416 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
ON Moderately | ||||||||||||||||||||||||
Risk Managed | ON Conservative | Conservative | ON Balanced | ON Moderate | ||||||||||||||||||||
Bristol Growth | Balanced | Model | Model | Model | Growth Model | |||||||||||||||||||
Gross unrealized: | ||||||||||||||||||||||||
Appreciation | $ | 20,607,097 | $ | 42,551,612 | $ | 1,541,198 | $ | 6,752,682 | $ | 49,028,143 | $ | 85,198,724 | ||||||||||||
Depreciation | (273,522 | ) | (6,291,177 | ) | — | (262,602 | ) | (117,051 | ) | (1,208,396 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net unrealized appreciation | $ | 20,333,575 | $ | 36,260,435 | $ | 1,541,198 | $ | 6,490,080 | $ | 48,911,092 | $ | 83,990,328 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Aggregate cost of investments: | $ | 107,528,518 | $ | 313,490,826 | $ | 98,203,182 | $ | 319,484,780 | $ | 1,513,728,645 | $ | 2,563,333,056 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
166 | (continued) |
Ohio National Fund, Inc.
|
Notes to Financial Statements (Continued) | December 31, 2017 |
ON Growth Model | ||||||
Gross unrealized: | ||||||
Appreciation | $ | 21,477,508 | ||||
Depreciation | (433,793 | ) | ||||
|
| |||||
Net unrealized appreciation | $ | 21,043,715 | ||||
|
| |||||
Aggregate cost of investments: | $ | 522,863,890 | ||||
|
|
There were no cash distributions paid to shareholders for the years ended December 31, 2017 and December 31, 2016, as the tax liability of the Fund’s Portfolios is intended to be passed on to shareholders through consent dividends.
The tax character of consent dividend distributions recognized, as well as other reclassifications of capital accounts due to permanent tax differences for the year ended December 31, 2017, were as follows (in aggregate):
Consent Dividend Distribution Reclassifcations | Other Reclassifications | |||||||||||||||||||||||||
Portfolio | Ordinary Income* | Net Long-Term Capital Gains | Total Distribution | Paid-in Capital | Accumulated Undistributed Net Investment Income | Accumulated Net Realized Gain (Loss) | ||||||||||||||||||||
Equity | $ | 16,036,363 | $ | 54,009,037 | $ | 70,045,400 | $ | 65,867 | $ | (1,400,133 | ) | $ | 1,334,266 | |||||||||||||
Bond | 10,850,877 | — | 10,850,877 | (5,680,452 | ) | (191 | ) | 5,680,643 | ||||||||||||||||||
Omni | 5,848,765 | 3,146,283 | 8,995,048 | (2 | ) | (9,067 | ) | 9,069 | ||||||||||||||||||
Capital Appreciation | 12,682,416 | 18,669,811 | 31,352,227 | — | (769,159 | ) | 769,159 | |||||||||||||||||||
ON International Equity | 1,736,626 | 9,367,588 | 11,104,214 | (65,024,845 | ) | (32,952 | ) | 65,057,797 | ||||||||||||||||||
ON Foreign | 3,683,235 | 11,020,053 | 14,703,288 | — | 374,202 | (374,202 | ) | |||||||||||||||||||
Aggressive Growth | 1,198,047 | 9,963,668 | 11,161,715 | — | 87,431 | (87,431 | ) | |||||||||||||||||||
Small Cap Growth | 2,863,238 | 17,251,414 | 20,114,652 | 5,002 | 331,910 | (336,912 | ) | |||||||||||||||||||
Mid Cap Opportunity | 105,406 | 7,723,928 | 7,829,334 | — | 178,848 | (178,848 | ) | |||||||||||||||||||
S&P 500® Index | 27,420,977 | 43,541,114 | 70,962,091 | (95,718 | ) | (477,402 | ) | 573,120 | ||||||||||||||||||
Strategic Value | 38,490,778 | 51,247,519 | 89,738,297 | (1 | ) | (518,691 | ) | 518,692 | ||||||||||||||||||
High Income Bond | 29,080,778 | — | 29,080,778 | 1 | 99 | (100 | ) | |||||||||||||||||||
ClearBridge Small Cap | 17,848,662 | 20,161,756 | 38,010,418 | 9,651 | (408,371 | ) | 398,720 | |||||||||||||||||||
Nasdaq-100® Index | 2,706,899 | 11,562,304 | 14,269,203 | — | (103,569 | ) | 103,569 | |||||||||||||||||||
Bristol | 25,378,216 | 20,969,045 | 46,347,261 | — | (47,857 | ) | 47,857 | |||||||||||||||||||
Bryton Growth | 5,059,647 | — | 5,059,647 | (8,729 | ) | 481,788 | (473,059 | ) | ||||||||||||||||||
Balanced | 37,610,445 | 34,848,154 | 72,458,599 | (135 | ) | (603,740 | ) | 603,875 | ||||||||||||||||||
S&P MidCap 400® Index | 2,759,245 | 149,729 | 2,908,974 | 12,069 | (94,377 | ) | 82,308 | |||||||||||||||||||
Bristol Growth | 12,055,729 | 16,907,728 | 28,963,457 | — | (21,123 | ) | 21,123 | |||||||||||||||||||
Risk Managed Balanced | 8,011,845 | 13,882,298 | 21,894,143 | (3 | ) | (43,602 | ) | 43,605 | ||||||||||||||||||
ON Conservative Model | 3,120,474 | 754,851 | 3,875,325 | — | 947,300 | (947,300 | ) | |||||||||||||||||||
ON Moderately Conservative Model | 10,172,458 | 5,497,181 | 15,669,639 | — | 3,980,798 | (3,980,798 | ) | |||||||||||||||||||
ON Balanced Model | 51,382,878 | 32,944,410 | 84,327,288 | — | 24,432,713 | (24,432,713 | ) | |||||||||||||||||||
ON Moderate Growth Model | 88,503,679 | 76,655,407 | 165,159,086 | — | 49,936,442 | (49,936,442 | ) | |||||||||||||||||||
ON Growth Model | 18,574,602 | 17,501,941 | 36,076,543 | — | 11,558,688 | (11,558,688 | ) |
* | Net ordinary income consists of net taxable income derived from dividends, interest, and net short-term capital gains, if any. |
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Ohio National Fund, Inc. |
Notes to Financial Statements (Continued) | December 31, 2017 |
(8) | Legal Matters |
In December 2007, the S&P 500® Index and Strategic Value Portfolios, shareholders of the Tribune Company, participated in a cash out merger in which shareholders received $34 per share of consideration. The value of the proceeds received by the S&P 500® Index and Strategic Value Portfolios was $37,910 and $384,200, respectively. The company subsequently filed for bankruptcy and several legal complaints have been initiated by groups of Tribune Company creditors seeking to recover, or clawback, proceeds received by shareholders based on fraudulent transfer claims (the “Tribune Bankruptcy”).
The first action, Official Committee of Unsecured Creditors of Tribune Company v. FitzSimons, et. al. (“FitzSimons”) was initiated on November 1, 2010 in the U.S. Bankruptcy Court for the District of Delaware. As a result of these proceedings, the Court agreed to allow individual creditors to file similar complaints in U.S. state courts. The Fund is specifically named in a complaint in the U.S. District Court, Southern District of Ohio, Western Division, Deutsche Bank Trust Company Americas, et. al. v. American Electric Power, et. al., that was initiated in June of 2011. The Fund, along with the Strategic Value Portfolio, is also named in a similar complaint in the U.S. District Court, Eastern District of Pennsylvania, Deutsche Bank Trust Company Americas, et. al. v. Ametek Inc. Employees Master Retirement Trust, et. al. These Tribune litigation actions have been consolidated into a single Multidistrict Litigation (“MDL”) in the U.S. District Court, Southern District of New York. Thereafter, certain defendants in the MDL, including the Fund, filed various motions to dismiss. On September 23, 2013, the Court granted the motion to dismiss the individual creditors’ state-law fraudulent conveyance claim. Subsequently, on January 6, 2017, the Court granted the motion to dismiss the Trustee’s actual fraudulent conveyance claim. The plaintiff will almost certainly appeal to the Second Circuit Court of Appeals. Because of a procedural issue, however, the plaintiff cannot automatically appeal the decision, but must first obtain permission from the District Court. On February 23, 2017, the District Court issued an order stating that it intended to delay certification of the motion to dismiss until certain other pending motions to dismiss are resolved. The timetable for resolution of the pending motions to dismiss remains unclear; the parties involved are currently engaged in discovery. On July 18, 2017, the plaintiff sought permission to amend his complaint to include a constructive fraudulent transfer claim, based on the potential outcome of a case—Merit Management Group, LP v. FTI Consulting, Inc.—that is currently pending in the Supreme Court. The District Court denied the request without prejudice, but noted that plaintiff may have a strong argument that he should be allowed to amend his complaint depending on the outcome of Merit Management.
The outcome of these proceedings cannot be predicted. Management of the Fund continues to assess litigation matters and any offers of settlement.
168 |
Ohio National Fund, Inc. |
To the Shareholders and Board of Directors
Ohio National Fund, Inc.:
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of the Equity Portfolio, Bond Portfolio, Omni Portfolio, Capital Appreciation Portfolio, ON International Equity Portfolio (formerly the International Portfolio), ON Foreign Portfolio (formerly the International Small-Mid Company Portfolio), Aggressive Growth Portfolio, Small Cap Growth Portfolio, Mid Cap Opportunity Portfolio, S&P 500 Index Portfolio, Strategic Value Portfolio, High Income Bond Portfolio, ClearBridge Small Cap Portfolio, Nasdaq-100 Index Portfolio, Bristol Portfolio, Bryton Growth Portfolio, Balanced Portfolio, S&P MidCap 400 Index Portfolio, Bristol Growth Portfolio, Risk Managed Balanced Portfolio (each a “Portfolio” and collectively the “Portfolios” of Ohio National Fund, Inc.), ON Conservative Model Portfolio, ON Moderately Conservative Model Portfolio, ON Balanced Model Portfolio, ON Moderate Growth Model Portfolio and ON Growth Model Portfolio (each a “Model Portfolio” and collectively, the “Model Portfolios” of Ohio National Fund, Inc.), including the schedules of investments, as of December 31, 2017, the related statements of operations for the year then ended for the Portfolios and the period from March 1, 2017 to December 31, 2017 for the Model Portfolios, the statements of changes in net assets for each of the years in the two year period then ended for the Portfolios and the period from March 1, 2017 to December 31, 2017 for the Model Portfolios, and the related notes (collectively, the “financial statements”), and the financial highlights for each of the years or periods in the five year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Portfolios and Model Portfolios as of December 31, 2017, the results of their operations for the year or period then ended, the changes in their net assets for each of the years or periods in the two year period then ended, and the financial highlights for each of the years or periods in the five year period then ended, in conformity with U.S. generally accepted accounting principles.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Portfolios’ and Model Portfolios’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Portfolios and Model Portfolios in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of December 31, 2017, by correspondence with custodians, brokers and transfer agents, or by other appropriate audit procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
/s/ KPMG LLP
We have served as the auditor of one or more of the Ohio National Fund, Inc. investment companies since 1969.
Columbus, Ohio
February 20, 2018
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Ohio National Fund, Inc. |
December 31, 2017 |
(1) | Review and Approval of Advisory and Sub-advisory Agreements |
At a meeting held on November 15, 2017, the Board of Directors, including a majority of the Directors who are not “interested persons” of the Fund (the “Independent Directors”), approved the continuation of the Investment Advisory Agreement (the “Advisory Agreement”) with ONI (the “Adviser”) and, as applicable, the sub-advisory agreement with the Sub-Adviser (each a “Sub-Adviser,” and together the “Sub-Advisers”) for each of the Portfolios identified below. The Independent Directors were separately represented by independent legal counsel in connection with their consideration of the approval of the continuation of these agreements.
The Directors noted that the Adviser is responsible for monitoring the investment performance and other responsibilities of the various Sub-Advisers that have day-to-day responsibility for the decisions made for certain of the Fund’s investment portfolios (each, a “Portfolio”). They also noted that the Adviser reports to the Fund’s Board on its analysis of each Sub-Adviser’s performance at the regular meetings of the Board, which are held at least quarterly. Where warranted, the Adviser will add or remove a particular Portfolio from a watchlist that it maintains. Watchlist criteria include, for example: (a) Portfolio performance over various time periods; (b) Portfolio risk issues, such as changes in key personnel involved with Portfolio management or changes in investment philosophy or process; and (c) organizational risk issues, such as regulatory, compliance or legal concerns, or changes in the ownership of the Sub-Adviser.
In considering the Advisory Agreement and sub-advisory agreements, the Board requested and reviewed a significant amount of information relating to each Portfolio, the Adviser and the Sub-Advisers, including the following: (1) performance data for each Portfolio for various time periods, including year-to-date through September 30, 2017, (2) comparative performance, advisory fee and expense ratio information for a peer group of funds in the respective Portfolio’s Morningstar category (a “Morningstar Peer Group” or “peer group”), as well as management fee peer comparison charts showing where each Portfolio’s advisory fee was located in the dispersion of its peer funds’ advisory fees; (3) comparable performance information for each Portfolio’s relevant benchmark index or indices; (4) comparative data regarding advisory fees, including data regarding the fees charged by the Adviser and Sub-Advisers for managing other institutional funds and institutional accounts using investment strategies and techniques similar to those used in managing the Portfolios; (5) comparative data regarding the expense ratio of each Portfolio, as compared to its Morningstar Peer Group; (6) profitability analyses for the Adviser with respect to each Portfolio; and (7) other information regarding the nature, extent and quality of services provided by the Adviser and the Sub-Advisers, as applicable. The Directors also took into account information on the services provided by the Adviser and each Sub-Adviser and performance, fee and expense ratio information regarding each Portfolio provided to them periodically throughout the year. They also met with representatives of the Adviser to review the relative performance of each Portfolio, as compared with its benchmark(s) and peers, and in particular discussed those Portfolios that were on the watchlist.
The Directors, including all of the Independent Directors, were assisted by experienced independent legal counsel throughout the contract review process. The Independent Directors discussed the proposed continuations in private session with such counsel at which no representatives of management, the Adviser or any Sub-Adviser were present. The Directors, including all of the Independent Directors, relied upon the advice of independent legal counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement and each sub-advisory agreement and the weight to be given to each such factor. The conclusions reached by the Directors were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Director may have afforded different weight to the various factors in reaching his or her conclusions with respect to the Advisory Agreement and each sub-advisory agreement.
Nature, Extent and Quality of Services
The Board evaluated the nature, extent and quality of the advisory services provided to the Portfolios by the Adviser. As part of its review, the Board reviewed information regarding the Adviser’s operations, procedures and personnel. The Directors took into account information they received during the previous year at Board meetings and other discussions and through periodic reports regarding the Adviser’s performance of its duties. The Directors considered the capabilities and resources that the Adviser has dedicated to performing services on behalf of the Fund and its Portfolios. The quality of administrative and other services, including the Adviser’s role in monitoring the performance and quality of compliance of the Sub-Advisers and other support to contract owners, also was considered. The Directors also considered the quality of the compliance programs of the Adviser and its responsiveness to inquiries and requests from the Board.
For each Portfolio subject to a sub-advisory agreement (all Portfolios other than the Bond Portfolio and the fixed income portion of the Omni Portfolio), the Board considered similar criteria as applied to each Sub-Adviser, including the nature, extent and quality of the sub-advisory services provided by each Sub-Adviser. In addition to the criteria used to review the Adviser, the Directors reviewed information on each Sub-Adviser’s portfolio management and brokerage practices, including any soft dollar benefits received. The Directors also reviewed the performance record of each Portfolio managed by the applicable Sub-Adviser. With respect to the Mid Cap Opportunity Portfolio, in the course of their deliberations at the meeting, the Directors determined to replace
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Additional Information (Unaudited) (Continued)
| December 31, 2017 |
the current Sub-Adviser to the Portfolio with a new sub-adviser as of May 1, 2018. As the respective sub-advisory agreements for the International Equity Portfolio and ON Foreign Portfolio were less than one year into their initial two-year terms, the Directors determined not to consider their renewal at this time. With the exception of the services of the respective Sub-Advisers to the Mid Cap Opportunity Portfolio, the ON Foreign Portfolio, and International Equity Portfolio, it was the Directors’ conclusion that overall, they were satisfied with the nature, extent and quality of services provided to the Fund and each of the Portfolios.
Investment Performance
Representatives of the Adviser reviewed with the Directors each Portfolio’s performance year-to-date and for the 1-, 3- and 5-year periods ended September 30, 2017, as compared to the Portfolio’s Morningstar Peer Group and benchmark(s). The Board also considered the Adviser’s effectiveness in monitoring the performance of each Sub-Adviser and the Adviser’s timeliness in responding to performance issues. The Directors discussed with Adviser representatives the returns of certain Portfolios that underperformed their respective benchmarks. A Portfolio-by-Portfolio discussion of each Portfolio’s performance and the Board’s conclusions regarding that performance is set forth below.
Fees and Expenses
The Board considered the advisory fee for each Portfolio, as well as the difference of each Portfolio’s fee from the average advisory fee for the Portfolio’s Morningstar Peer Group and the fee’s percentile ranking within the peer group. The Board also considered charts showing, for each Portfolio, how the Portfolio’s advisory fees compared to the advisory fees of the funds in its peer group. The charts showed the number of funds in the peer group within each defined range of advisory fees, and the range that included the Portfolio. The Board also reviewed the difference between each Portfolio’s overall expense ratio and that of its Morningstar Peer Group, as well as the expense ratio’s percentile ranking within the peer group. For these purposes, the Morningstar Peer Groups excluded funds with net assets over $1 billion and all funds identified as being funds of funds. The Morningstar Peer Groups also excluded non-index funds for the S&P 500® Index Portfolio, S&P MidCap 400® Index Portfolio, and the Nasdaq-100® Index Portfolio and excluded index funds for all other Portfolios.
In addition, the Board looked at the average net assets for each fund in the respective Morningstar Peer Group, and then compared the advisory fee that would have been paid by the Portfolio if the Portfolio had had net assets equal to the Morningstar Peer Group’s average net assets. The Board considered that comparison on an absolute and percentile ranking basis.
For all Portfolios other than the Bond Portfolio the Board also considered the amount of net advisory fee retained by the Adviser, after payment of the sub-advisory fee, as well as the proportion the net fee represented of the total advisory fee, in light of the services provided by the Adviser to the Portfolio.
The Board also considered the fees paid to Sub-Advisers. The Board relied to a degree on the Adviser’s negotiation of each sub-advisory agreement on an arm’s-length basis, noting that in the past the Adviser has negotiated decreases in the sub-advisory fee for certain Portfolios and that the Adviser had usually passed on the decrease by reducing its advisory fee by the same amount. Additionally, the Board considered the fees charged by the Adviser and Sub-Advisers to their separately managed institutional accounts and other accounts, and had no concerns with those rates relative to the fees charged to the Portfolios. The Directors also recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds and separately managed accounts.
Profitability
The Board reviewed the advisory fee paid to the Adviser for each Portfolio and noted the pre-tax profit margins reported by the Adviser for each Portfolio. The Directors noted that the profit margins for the Portfolios ranged from 26.99% to 91.47% with average profitability of 48.25%. The Directors also noted that the Adviser, and not the Portfolios, is responsible for paying sub-advisory fees to the Sub-Advisers. The Board also evaluated whether the net advisory fee received by the Adviser for each Portfolio, after paying sub-advisory fees to the Sub-Adviser, was reasonable, given the level of the Adviser’s services to the Portfolio. The Directors took into account the fact that the Adviser has contractually agreed to limit Portfolio expenses, and reimburse expenses to the extent necessary to keep total Portfolio expenses at or below a specified amount. The Directors further considered the statement of a representative of the Adviser that the profitability calculations do not account for all of the Adviser’s costs in providing services to the Fund, including services outside the investment advisory function (such as Fund operations and legal functions), and that profitability would be much less for each Portfolio if these costs were included. The Directors also pointed out that if an adviser is extremely efficient resulting in enhanced profitability, the adviser’s effective use of resources should not be penalized on a comparative basis. The Directors then considered potential benefits that the Adviser may receive in connection with the Fund, noting in particular that its insurance company parent makes money on the variable products to which the Fund is available as an
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Additional Information (Unaudited) (Continued) | December 31, 2017 |
investment vehicle. Additionally, the Directors acknowledged that calculating the Adviser’s profitability related to a specific Portfolio can be challenging and imprecise because of the difficulties in suitably allocating the Adviser’s expenses across the Portfolios given the Adviser’s shared efforts with respect to the Portfolios.
The Board also considered the reasonableness of the sub-advisory fees paid by the Adviser to each Sub-Adviser. The Directors relied on the ability of the Adviser to negotiate the terms of each sub-advisory agreement, including the sub-advisory fee, at arm’s-length, noting that the Adviser is not affiliated with any Sub-Adviser. The Directors noted that the sub-advisory fees were paid by the Adviser and not by a Portfolio and, therefore, the Adviser was incentivized to negotiate a favorable fee. They further considered the breakpoints established in the sub-advisory agreements and considered the impact of these breakpoints on Sub-Adviser profitability. The Board discussed economies of scale and agreed it was a matter more appropriately considered at the Advisory Agreement level. The Board concluded that the profitability, fees and potential realization of economies of scale by the Portfolios from the sub-advisory arrangements with the unaffiliated Sub-Advisers should not be a material factor in its deliberations.
After considering all of the above, the Board concluded that the profitability of the Adviser with respect to each Portfolio was reasonable.
Economies of Scale
The Directors noted that all of the advisory and sub-advisory fee schedules contain breakpoints that would reduce the applicable advisory or sub-advisory fees on assets above a specified level as the applicable Portfolio’s assets increase. The Directors also noted that a Portfolio would realize additional economies of scale if the Portfolio’s net assets increase over time proportionately more than certain other expenses. The Directors took into account that many of the Portfolios had a small amount of net assets relative to peer funds. After considering each Portfolio’s current size and potential for growth, the Board concluded that each Portfolio is likely to benefit from economies of scale as the Portfolio’s net assets increase, and that the existing breakpoints are appropriate.
Portfolio-by-Portfolio Analysis
In addition to the foregoing, the Directors considered the specific factors and related conclusions set forth below with respect to each Portfolio’s performance and fees and expenses. Except as otherwise indicated, the performance data described below for each Portfolio is for periods ended September 30, 2017.
Equity Portfolio (Adviser – ONI, Sub-Adviser – Clearbridge). The Directors noted that the Portfolio had underperformed its benchmark index for all periods and its peer group average for all periods other than the 5-year period. The Directors acknowledged that the Portfolio is more conservative than its peers, and thus not likely to outperform in strong equity markets. A representative of the Adviser noted that the Adviser views the Portfolio as a consistent investment, well suited for long term investors and in particular noted that for the 5-year period, the Portfolio’s performance ranked in the 28th percentile of its peer group. The Directors noted that the Portfolio’s advisory fee was higher than the peer group average, but still within the range of its peers, and recognized that the Portfolio’s expense ratio was below the peer group average. Overall, the Board concluded that the Portfolio’s performance was acceptable and that the advisory and sub-advisory fees were reasonable.
Bond Portfolio (Adviser – ONI). The Directors noted that the Portfolio provided returns in line with its peer group average for the 1-and 3-year periods, ranking in the 36th percentile for both periods. The Directors noted that the Portfolio’s advisory fee was in line with the peer group average. They further noted that the Portfolio’s net expense ratio was below the peer group average. Overall, the Board concluded that the Portfolio’s performance was acceptable and that the advisory fee was reasonable.
Omni Portfolio (Adviser – ONI, Sub-Adviser – Suffolk). The Portfolio outperformed its peer group average and benchmark index over each period shown, ranking in the top 1% of its peer group for the 3- and 5-year periods. The Board noted that the Portfolio’s advisory fee and expense ratio were below the Portfolio’s peer group average. Overall, the Board concluded that the Portfolio’s performance was acceptable and that the advisory and sub-advisory fees were reasonable.
Capital Appreciation Portfolio (Adviser – ONI, Sub-Adviser – Jennison). The Portfolio underperformed its peer group and benchmark index for the year-to-date, 1-, 3- and 5-year periods. Representatives of the Adviser noted that the Portfolio was run in a more conservative fashion, and that it was more likely to underperform in strong equity markets. The Directors considered that the Portfolio’s 5-year relative performance was closer to the peer group average, ranking in the 59th percentile of its peer group. The Directors agreed to continue to monitor the Portfolio’s performance and consider the performance following a full market cycle. The Directors noted that the Portfolio’s advisory fee was higher than the average, but considered that the Portfolio is an all-cap fund, which justifies a higher fee than the large cap funds making up the majority of its peer group. The Board also noted that the Portfolio’s net expense ratio was below the average of the Portfolio’s peer group. Overall, the Board concluded that the Portfolio’s performance was acceptable, and that the advisory and sub-advisory fees were reasonable.
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Additional Information (Unaudited) (Continued)
| December 31, 2017 |
ON International Equity Portfolio (Adviser – ONI, Sub-Adviser – Lazard). The Directors did not review the comparative performance information for the Portfolio as sub-advised by Lazard, which took over as sub-adviser earlier in the year. They noted that, at the recommendation of the Adviser, they had determined to replace the former sub-adviser for the Portfolio, due to the poor performance of the Portfolio. They therefore determined that, in their consideration of the renewal of the Advisory Agreement, they should focus on the factors other than performance, as they believed that the Adviser had demonstrated the appropriate oversight of the Sub-Adviser in determining to recommend the substitution of Lazard as the new Sub-Adviser. The Board noted that the Portfolio’s advisory fee was above the peer group average, although the Portfolio’s expense ratio was below the peer group average. Overall, the Board concluded that the advisory fee was reasonable.
ON Foreign Portfolio (Adviser – ONI, Sub-Adviser – Templeton). The Directors did not review the comparative performance information for the Portfolio as sub-advised by Templeton, which took over as sub-adviser earlier in the year. They noted that, at the recommendation of the Adviser, they had determined to replace the former sub-adviser for the Portfolio, due to the poor performance of the Portfolio. They therefore determined that, in their consideration of the renewal of the Advisory Agreement, they should focus on the factors other than performance, as they believed that the Adviser had demonstrated the appropriate oversight of the Sub-Adviser in determining to recommend the substitution of Templeton as the new Sub-Adviser. The Board noted that the Portfolio’s advisory fee and expense ratio were above the peer group average. Overall, the Board concluded that the advisory fee was reasonable.
Aggressive Growth Portfolio (Adviser – ONI, Sub-Adviser – Janus). The Portfolio outperformed its peer group average for each of the periods, ranking in the top 5% of its peer group for the 3-year period. The Board noted that the Portfolio’s advisory fee was above average compared to its peer group, but within the range of the Portfolio’s peers. The Board also noted that the Portfolio’s net expense ratio was below the average of the Portfolio’s peer group. Overall, the Board concluded that the Portfolio’s performance was acceptable and that the advisory and sub-advisory fees were reasonable.
Small Cap Growth Portfolio (Adviser – ONI, Sub-Adviser – Janus). The Directors noted that the Portfolio’s returns in the year-to-date, 3-year and 5-year periods ranked the Portfolio within or near the top quartile of all peer group funds during the respective periods. The Board noted that the Portfolio’s advisory fee and expense ratio were below the peer group average. Overall, the Board concluded that the Portfolio’s performance was acceptable and that the advisory and sub-advisory fees were reasonable.
Mid Cap Opportunity Portfolio (Adviser – ONI, Sub-Adviser – Goldman Sachs, Proposed Sub-Adviser - Janus). The Directors reviewed the comparative performance information for the Portfolio as sub-advised by Goldman Sachs, but noted that, at the recommendation of the Adviser, they had determined to replace the Sub-Adviser for the Portfolio, effective May 1, 2018, due to the poor performance of the Portfolio. They therefore determined that, in their consideration of the renewal of the Advisory Agreement, they should focus on the factors other than performance, as they believed that the Adviser had demonstrated the appropriate oversight of the Sub-Adviser in determining to recommend the substitution of Janus as the new Sub-Adviser. The Board noted that the Portfolio’s advisory fee was above the peer group average, although the Portfolio’s expense ratio was below the peer group average. Overall, the Board concluded that the advisory fee was reasonable and that it was appropriate to continue the Goldman Sachs sub-advisory agreement for the period until Janus assumes the sub-adviser role.
S&P 500® Index Portfolio (Adviser – ONI, Sub-Adviser – Geode). While the Portfolio underperformed its benchmark index for the year-to-date, 1-, 3- and 5-year periods, the Board noted that its performance generally was in line with the index when expenses were excluded. The Board did not rely on peer group comparison performance figures for the Portfolio because the Board considers peer group performance data for index funds to be generally irrelevant. The Board noted that, while the advisory fee was above the peer group average, the overall expense ratio is the statistic most important to index fund shareholders, and the Portfolio’s expense ratio was lower than the average for the peer group. Overall, the Board concluded that the Portfolio’s performance was acceptable and that the advisory and sub-advisory fees were reasonable.
Strategic Value Portfolio (Adviser – ONI, Sub-Adviser – Federated Equity). The Portfolio outperformed its peer group average for the year-to-date, and 3-year periods, but underperformed its peer group average for the 1-year and 5-year period and its benchmark index for each of the periods shown except the year-to-date period. Representatives of the Adviser noted that the Fund was ranked in the 18th percentile for the 3-year period relative to its peers. They also discussed a summary of dividend yield and dividend growth for the Portfolio, noting that the Portfolio was meeting its objective of obtaining dividend yield. The Directors noted that the Portfolio’s advisory fee was above average for the peer group, while the expense ratio was below the peer group average. Overall, the Board concluded that the Portfolio’s performance was acceptable and that the advisory and sub-advisory fees were reasonable.
High Income Bond Portfolio (Adviser – ONI, Sub-Adviser – Federated Investment). Despite underperforming its benchmark and peer group average for each of the periods shown, the Portfolio ranked in the top quartile for the year-to-date, 1-, and 5-year periods, and in the 50th percentile for the 3-year period relative to its peers. The Directors noted that the advisory fee was above the peer group average, while the expense ratio was below the peer group average. Overall, the Board concluded that the Portfolio’s performance was acceptable and that the advisory and sub-advisory fees were reasonable.
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Additional Information (Unaudited) (Continued)
| December 31, 2017 |
ClearBridge Small Cap Portfolio (Adviser – ONI; Sub-Adviser – ClearBridge). The Portfolio outperformed its peer group average for the 1-, 3- and 5-year periods and underperformed its benchmark index for all periods shown except the 3-year period. The Directors noted that the Portfolio performance for the 3-year period was in the 29th percentile of its peer group. The Directors considered that the Portfolio’s advisory fee was above its peer group average, and the expense ratio was below the peer group average. Overall, the Board concluded that the Portfolio’s performance was acceptable and that the advisory and sub-advisory fees were reasonable.
Nasdaq-100® Index Portfolio (Adviser – ONI, Sub-Adviser – Geode). While the Portfolio underperformed its benchmark index for the year-to-date, 1-, 3- and 5-year periods, the Board noted that its performance generally was in line with the index when expenses were excluded. The Board did not rely on peer group comparison performance figures for the Portfolio because the Board considers peer group performance data for index funds to be generally irrelevant. The Board noted that the Portfolio’s advisory fee and net expense ratio were below the peer group averages. Overall, the Board concluded that the Portfolio’s performance was acceptable and that the advisory and sub-advisory fees were reasonable.
Bristol Portfolio (Adviser – ONI, Sub-Adviser – Suffolk). The Portfolio outperformed its peer group average and benchmark index for each of the periods shown. The Directors noted, in particular, that for the 5-year period, the Portfolio’s performance ranked in the 1st percentile of its peer group. The Directors considered that, although the Portfolio’s advisory fee was above the peer group average, the Portfolio’s expense ratio was below the peer group average. Overall, the Board concluded that the Portfolio’s performance was acceptable and that the advisory and sub-advisory fees were reasonable.
Bryton Growth Portfolio (Adviser – ONI, Sub-Adviser – Suffolk). The Portfolio underperformed its benchmark index and peer group average for each of the periods shown. The Directors noted the Portfolio’s improved recent performance, ranking in the 52nd percentile of its peer group year-to-date. Representatives of the Adviser noted that, despite the disappointing performance reported at the meeting for the 1-, 3- and 5-year periods, the Sub-Adviser did have a strong 2012 and 2013 and suggested that they expect to see performance improve as growth stocks see rallies in the market. They further noted that the sub-advisor uses a very research intensive process and had hired a new analyst to provide additional research support, which appears to be helping, as evidenced by the improved year-to-date returns. In light of the underperformance, the Directors requested the Advisor continue to carefully monitor the Sub-Adviser to address performance. Directors noted that the Portfolio’s advisory fee was above the peer group average, but the expense ratio was below the peer group average. Overall, the Board concluded that the Portfolio’s performance was acceptable and that the advisory and sub-advisory fees were reasonable.
Balanced Portfolio (Adviser – ONI, Sub-Adviser – ICON). The Portfolio underperformed its benchmark index for each of the periods shown and its peer group average for the year-to-date and 5-year periods. The Directors noted that the Portfolio’s performance for the 1- and 3-year periods was in the 48th and 41st percentile, respectively, of its peer group. The Directors considered that the equity portion of the Portfolio is hedged, and that the performance of that portion of the Portfolio has suffered on a relative basis, given the impact of recent strong equity markets. The Directors noted that the Portfolio’s advisory fee and expense ratio were below the peer group averages. Overall, the Board concluded that the Portfolio’s performance was acceptable and that the advisory and sub-advisory fees were reasonable.
S&P MidCap 400® Index (Adviser – ONI, Sub-Adviser – Geode). The Directors noted that Geode recently assumed responsibility as sub-adviser when the Portfolio was converted to an index fund, and that therefore the only relevant performance was for the year-to-date period. The Board noted that the performance generally was in line with the S&P Mid Cap 400® Index when expenses were excluded. The Board did not rely on peer group comparison performance figures for the Portfolio because the Board considers peer group performance data for index funds to be generally irrelevant. The Board considered that the Portfolio’s advisory fee and net expense ratio were above the peer group averages, but noted that the advisory fee was within the range of fees of its peers. Overall, the Board concluded that the Portfolio’s performance was acceptable, particularly in light of the Sub-Adviser’s abbreviated tenure with the Portfolio, and that the advisory and sub-advisory fees were reasonable.
Bristol Growth Portfolio (Adviser – ONI, Sub-Adviser – Suffolk). The Portfolio underperformed its benchmark index over each period shown and its peer group average over the year-to-date and 1-year periods. The Directors noted that the Portfolio’s performance for the 5-year period was in the 15th percentile of its peer group. The Directors noted that although the Portfolio’s advisory fee was slightly above its peer group average, the expense ratio was below the peer group average. Overall, the Board concluded that the Portfolio’s performance was acceptable and that the advisory and sub-advisory fees were reasonable.
Risk Managed Balanced Portfolio (Adviser – ONI, Sub-Advisers – Janus and AnchorPath). The Portfolio outperformed its peer group average for all periods shown. The Directors noted that much of the Portfolio’s outperformance was attributable to Janus’ management, noting in particular that the performance for which Janus was responsible exceeded the performance of the benchmark and was in the top quartile of its peers for all periods shown. The Directors noted that the AnchorPath component of the Portfolio is a risk management overlay for which there is no comparison data available, but they considered the comment of a representative of the Adviser that AnchorPath had performed well in that it had not detracted from performance (since inception) in
174 | (continued) |
Ohio National Fund, Inc.
|
Additional Information (Unaudited) (Continued)
| December 31, 2017 |
a generally rising market. The Directors noted that the advisory fee was higher than the peer group average, but the expense ratio was lower than the peer group average. After further discussion, the Board concluded that the Portfolio’s performance was acceptable and that the advisory and sub-advisory fees were reasonable.
After consideration of the foregoing, the Board reached the following conclusions regarding the Investment Advisory Agreement and, as applicable, the sub-advisory agreement(s) with respect to each Portfolio, in addition to the conclusions set forth above: (a) ONI and the Sub-Adviser(s) had demonstrated that they possessed the capability and resources to perform the duties required of them under the Investment Advisory Agreement and applicable sub-advisory agreement(s), respectively; (b) the investment philosophy, strategies and techniques of ONI (with respect to the Portfolio without a Sub-Adviser) and the Sub-Adviser(s) were appropriate for pursuing the applicable Portfolio’s investment objective; (c) ONI (with respect to the Bond Portfolio and the fixed income portion of the Omni Portfolio, for which there is no Sub-Adviser) and the Sub-Adviser(s) were likely to execute their investment philosophy, strategies and techniques consistently over time; and (d) ONI and the Sub-Adviser(s) maintained appropriate compliance programs. Based on all of the above-mentioned factors and their related conclusions, with no single factor or conclusion being determinative and with each Director not necessarily attributing the same weight to each factor, the Directors unanimously concluded that approval of the continuation of the Investment Advisory Agreement and, as applicable, the sub-advisory agreement was in the best interests of each Portfolio and its shareholders. Accordingly, the Board, including all of the Independent Directors, voted unanimously to approve the continuation of the Investment Advisory Agreement and, as applicable, the sub-advisory agreement(s) for each Portfolio.
Also at the November 15, 2017 meeting, the Board of Directors, including a majority of the Directors who are not “interested persons” of the Fund (the “Independent Directors”), approved a sub-advisory agreement between Ohio National Investments, Inc. (the “Adviser”) and Janus Capital Management LLC (“Janus” or the “Sub-Adviser”) with respect to the Mid Cap Opportunity Portfolio (the “Sub-Advisory Agreement”). The Directors noted that they had determined to replace Goldman Sachs as sub-adviser to the Mid Cap Opportunity Portfolio.
In considering the approval of the Sub-Advisory Agreement, the Board requested and reviewed a significant amount of information relating to the Portfolio, including the following: (1) proposed advisory and sub-advisory fee information, including a comparison to existing fees for the Portfolio; (2) comparative advisory fee and expense ratio information for a peer group of funds, as well as advisory fee and sub-advisory fee peer comparison charts showing where the Portfolio’s proposed advisory fee and sub-advisory fee were located in the dispersion of its peer funds’ advisory fees and sub-advisory fees; (3) performance data for Janus funds employing similar strategies to that of the Portfolio; (4) estimated Adviser profitability information; and (5) other information regarding the nature, extent and quality of services anticipated to be provided by the Sub-Adviser.
The Directors met with representatives of the Janus portfolio management team that would be responsible for providing sub-advisory services to the Portfolio. The Janus representatives reviewed the strategy and performance history of the Janus Henderson Mid Cap Growth (the “Janus Fund”) indicating that the Janus Fund’s strategy was proposed to be employed for the Mid Cap Opportunity Portfolio.
The Directors, including all of the Independent Directors, were assisted by experienced independent legal counsel throughout the contract review process. The Independent Directors discussed the proposed Sub-Advisory Agreement in private session with such counsel at which no representatives of management or the Adviser or Janus were present. The Directors, including all of the Independent Directors, relied upon the advice of independent legal counsel and their own business judgment in determining the material factors to be considered in evaluating the Sub-Advisory Agreement and the weight to be given to each such factor. The conclusions reached by the Directors were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Director may have afforded different weight to the various factors in reaching his or her conclusions with respect to the Sub-Advisory Agreement.
Nature, Extent and Quality of Services
The Board evaluated the nature, extent and quality of the advisory services anticipated to be provided by Janus, noting that they had experience with Janus because it serves as a sub-adviser to three other portfolios of the Fund. As part of its review, the Board reviewed information regarding the Sub-Adviser’s operations, procedures and personnel. The Directors considered the capabilities and resources that the Sub-Adviser is expected to dedicate to performing services on behalf of the Portfolio, as well as the quality of its administrative and other services. The Directors also considered the quality of the compliance program of the Sub-Adviser, and reviewed information on the Sub-Adviser’s portfolio management and brokerage practices, including any soft dollar benefits received. It was the Directors’ conclusion that overall, they were satisfied with the nature, extent and quality of services anticipated to be provided to the Portfolio by the Sub-Adviser.
175 | (continued) |
Ohio National Fund, Inc.
|
Additional Information (Unaudited) (Continued)
| December 31, 2017 |
Investment Performance
The Board considered the performance of Janus Fund, which utilizes a strategy similar to that of the Portfolio, relative to that of the Portfolio’s Morningstar peer group and benchmark index. The Directors noted that the Janus Fund outperformed the Portfolio’s Morningstar peer group average and benchmark index for the year-to-date, 1-, 3- and 5-year periods ended September 30, 2017. A representative of the Adviser indicated that the Adviser is recommending Janus because Janus is a sub-adviser that has a repeatable process with a reasonable likelihood of success. They indicated that Janus has been managing the style effectively since 1989, noting that its 3- and 5-year performance was in the 2nd and 4th percentile, respectively, of its peer group, and that its year-to-date and 1- year returns were in the 26th percentile of its peers. The Directors also reviewed materials comparing the Janus Fund performance with that of the Portfolio and its benchmark index for the 5-year period ended September 30, 2017. The Directors noted that the Janus Fund demonstrated lower risk (as measured by standard deviation), higher alpha and better upside/downside capture ratios and risk adjusted returns that the Portfolio and its benchmark index. The Directors concluded that Janus has the ability to manage the Portfolio effectively.
Fees and Expenses, Profitability and Economies of Scale
The Directors noted that the advisory and sub-advisory fee would remain unchanged from the current fees. The Board reviewed charts showing how the Portfolio’s proposed advisory and sub-advisory fees compared to the advisory and sub-advisory fees of the funds in its peer group. The charts showed the number of funds in the peer group within each defined range of advisory fees or sub-advisory fees, and the range that included the Portfolio. The Directors also noted that the Adviser, and not the Portfolio, is responsible for paying sub-advisory fees to the Sub-Adviser. The Board also considered the reasonableness of the proposed sub-advisory fees to be paid by the Adviser to the Sub-Adviser. The Directors relied on the ability of the Adviser to negotiate the terms of the Sub-advisory agreement, including the sub-advisory fee, at arm’s-length, noting that the Adviser is not affiliated with the Sub-Adviser.
The Directors remarked that because the sub-advisory fees were paid by the Adviser and not by a Portfolio, the Adviser was incentivized to negotiate a favorable fee. Accordingly, the cost of services provided by the Sub-Adviser and the profitability of the Sub-Adviser in connection with its relationship with the Portfolio were not material factors in the Board’s deliberations. For similar reasons, the Board concluded that the potential realization of economies of scale by the Portfolio from the sub-advisory arrangement with the Sub-Adviser should not be a material factor in its deliberations.
After consideration of the foregoing, the Board reached the following conclusions regarding the proposed Sub-Advisory Agreement, in addition to the conclusions set forth above: (a) the Sub-Adviser possesses the capability and resources to perform the duties required of it under the Sub-Advisory Agreement; (b) the investment philosophy, strategies and techniques of the Sub-Adviser are appropriate for pursuing the applicable Portfolio’s investment objective; (c) the Sub-Adviser is likely to execute its investment philosophy, strategies and techniques consistently over time; and (d) the Sub-Adviser maintains appropriate compliance programs. Based on all of the above-mentioned factors and their related conclusions, with no single factor or conclusion being determinative and with each Director not necessarily attributing the same weight to each factor, the Directors unanimously approved the Sub-Advisory Agreement.
(2) | Expense Disclosure |
An individual may not buy or own membership interests of the Fund directly. An individual acquires an indirect interest in the Fund by purchasing a variable annuity contract or variable insurance policy and allocating premiums or purchase payments to Fund Portfolios available through the separate accounts of ONLIC, ONLAC, and NSLA. Separate accounts of these entities are the shareholders of the Fund.
As a shareholder of the Fund, a separate account incurs ongoing costs, including management fees and other Fund expenses. This example is intended to help a policy/contract owner understand ongoing costs (in dollars) associated with the underlying investment in the Fund’s Portfolios by the separate account shareholder and to compare these costs with the ongoing costs associated with investing in other mutual funds.
The example is based on an investment of $1,000 invested at July 1, 2017 and held through December 31, 2017.
176 | (continued) |
Ohio National Fund, Inc.
|
Additional Information (Unaudited) (Continued) | December 31, 2017 |
Actual Expenses
The table below provides information about investment values and actual expenses associated with each Portfolio of the Fund. The information below, together with the amount of an underlying investment, can be used to estimate expenses paid over the period. An estimate can be obtained by simply dividing an underlying investment value by $1,000 (for example, an $8,600 investment value divided by $1,000 = 8.6), then multiplying the result by the number in the table under the heading entitled “Expenses Paid During Period”.
Portfolio | Beginning Investment Value 7/1/2017 | Ending Investment Value 12/31/2017 | Expenses Paid During Period* 7/1/2017 – 12/31/2017 | Expense Ratio During Period 7/1/2017 – 12/31/2017 (Annualized) | ||||||||
Equity | $ | 1,000.00 | $ | 1,074.20 | $4.18 | 0.80% | ||||||
Bond | $ | 1,000.00 | $ | 1,023.90 | $3.21 | 0.63% | ||||||
Omni | $ | 1,000.00 | $ | 1,107.00 | $4.14 | 0.78% | ||||||
Capital Appreciation | $ | 1,000.00 | $ | 1,100.60 | $4.71 | 0.89% | ||||||
ON International Equity | $ | 1,000.00 | $ | 1,092.00 | $5.80 | 1.10% | ||||||
ON Foreign | $ | 1,000.00 | $ | 1,046.30 | $6.40 | 1.24% | ||||||
Aggressive Growth | $ | 1,000.00 | $ | 1,083.20 | $5.04 | 0.96% | ||||||
Small Cap Growth | $ | 1,000.00 | $ | 1,092.70 | $4.48 | 0.85% | ||||||
Mid Cap Opportunity | $ | 1,000.00 | $ | 1,107.00 | $5.26 | 0.99% | ||||||
S&P 500® Index | $ | 1,000.00 | $ | 1,112.30 | $2.02 | 0.38% | ||||||
Strategic Value | $ | 1,000.00 | $ | 1,058.60 | $3.89 | 0.75% | ||||||
High Income Bond | $ | 1,000.00 | $ | 1,018.40 | $3.76 | 0.74% | ||||||
ClearBridge Small Cap | $ | 1,000.00 | $ | 1,053.20 | $4.61 | 0.89% | ||||||
Nasdaq-100® Index | $ | 1,000.00 | $ | 1,136.30 | $2.37 | 0.44% | ||||||
Bristol | $ | 1,000.00 | $ | 1,132.30 | $4.41 | 0.82% | ||||||
Bryton Growth | $ | 1,000.00 | $ | 1,098.80 | $5.34 | 1.01% | ||||||
Balanced | $ | 1,000.00 | $ | 1,042.10 | $3.19 | 0.62% | ||||||
S&P MidCap 400® Index | $ | 1,000.00 | $ | 1,092.60 | $3.74 | 0.71% | ||||||
Bristol Growth | $ | 1,000.00 | $ | 1,140.00 | $4.75 | 0.88% | ||||||
Risk Managed Balanced | $ | 1,000.00 | $ | 1,090.50 | $5.32 | 1.01% | ||||||
ON Conservative Model | $ | 1,000.00 | $ | 1,029.30 | $1.13 | 0.22% | ||||||
ON Moderately Conservative Model | $ | 1,000.00 | $ | 1,041.90 | $1.08 | 0.21% | ||||||
ON Balanced Model | $ | 1,000.00 | $ | 1,052.60 | $1.19 | 0.23% | ||||||
ON Moderate Growth Model | $ | 1,000.00 | $ | 1,067.60 | $1.35 | 0.26% | ||||||
ON Growth Model | $ | 1,000.00 | $ | 1,076.30 | $1.31 | 0.25% |
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical investment values and hypothetical expenses based on each respective Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not an actual return. The hypothetical investment values and expenses may not be used to estimate the actual ending investment balance or expenses actually paid for the period by the shareholders. A policy/contract holder may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Portfolio | Beginning Investment Value 7/1/2017 | Ending Investment Value 12/31/2017 | Expenses Paid During Period* 7/1/2017 – 12/31/2017 | Expense Ratio During Period 7/1/2017 – 12/31/2017 (Annualized) | ||||||||
Equity | $ | 1,000.00 | $ | 1,021.17 | $4.08 | 0.80% | ||||||
Bond | $ | 1,000.00 | $ | 1,022.03 | $3.21 | 0.63% | ||||||
Omni | $ | 1,000.00 | $ | 1,021.27 | $3.97 | 0.78% | ||||||
Capital Appreciation | $ | 1,000.00 | $ | 1,020.72 | $4.53 | 0.89% | ||||||
ON International Equity | $ | 1,000.00 | $ | 1,019.66 | $5.60 | 1.10% | ||||||
ON Foreign | $ | 1,000.00 | $ | 1,018.95 | $6.31 | 1.24% | ||||||
Aggressive Growth | $ | 1,000.00 | $ | 1,020.37 | $4.89 | 0.96% | ||||||
Small Cap Growth | $ | 1,000.00 | $ | 1,020.92 | $4.33 | 0.85% | ||||||
Mid Cap Opportunity | $ | 1,000.00 | $ | 1,020.21 | $5.04 | 0.99% |
177 | (continued) |
Ohio National Fund, Inc.
|
Additional Information (Unaudited) (Continued) | December 31, 2017 |
Portfolio | Beginning Investment Value 7/1/2017 | Ending Investment Value 12/31/2017 | Expenses Paid During Period* 7/1/2017 – 12/31/2017 | Expense Ratio During Period 7/1/2017 – 12/31/2017 (Annualized) | ||||||||
S&P 500® Index | $ | 1,000.00 | $ | 1,023.29 | $1.94 | 0.38% | ||||||
Strategic Value | $ | 1,000.00 | $ | 1,021.42 | $3.82 | 0.75% | ||||||
High Income Bond | $ | 1,000.00 | $ | 1,021.48 | $3.77 | 0.74% | ||||||
ClearBridge Small Cap | $ | 1,000.00 | $ | 1,020.72 | $4.53 | 0.89% | ||||||
Nasdaq-100® Index | $ | 1,000.00 | $ | 1,022.99 | $2.24 | 0.44% | ||||||
Bristol | $ | 1,000.00 | $ | 1,021.07 | $4.18 | 0.82% | ||||||
Bryton Growth | $ | 1,000.00 | $ | 1,020.11 | $5.14 | 1.01% | ||||||
Balanced | $ | 1,000.00 | $ | 1,022.08 | $3.16 | 0.62% | ||||||
S&P MidCap 400® Index | $ | 1,000.00 | $ | 1,021.63 | $3.62 | 0.71% | ||||||
Bristol Growth | $ | 1,000.00 | $ | 1,020.77 | $4.48 | 0.88% | ||||||
Risk Managed Balanced | $ | 1,000.00 | $ | 1,020.11 | $5.14 | 1.01% | ||||||
ON Conservative Model | $ | 1,000.00 | $ | 1,024.10 | $1.12 | 0.22% | ||||||
ON Moderately Conservative Model | $ | 1,000.00 | $ | 1,024.15 | $1.07 | 0.21% | ||||||
ON Balanced Model | $ | 1,000.00 | $ | 1,024.05 | $1.17 | 0.23% | ||||||
ON Moderate Growth Model | $ | 1,000.00 | $ | 1,023.89 | $1.33 | 0.26% | ||||||
ON Growth Model | $ | 1,000.00 | $ | 1,023.95 | $1.28 | 0.25% |
* | Expenses are equal to the average account value times the Fund’s annualized expense ratio multiplied by the number of days in the most recent fiscal half-year (184 days) divided by the number of days in the fiscal year (365 days). Please note that the expenses shown in these tables are meant to highlight ongoing Fund costs only and do not reflect any contract-level expenses or Fund transactional costs, such as sales charges (loads) or exchange fees (if any). Therefore, these tables are useful in comparing ongoing fund costs only, and will not fully assist a policy/contract owner in determining the relative total expenses of different funds. In addition, if transactional costs were included, costs may have been higher for these Portfolios as well as for a fund being compared. |
(3) | Other Federal Tax Information |
For corporate shareholders, the percentages of the ordinary income consent dividends that were incurred for the 2017 tax year, that qualify for the corporate dividends received deduction are as follows:
Equity | 73.63 | % | ||
Bond | 0.00 | % | ||
Omni | 10.07 | % | ||
Capital Appreciation | 50.72 | % | ||
ON International Equity | 0.00 | % | ||
ON Foreign | 0.33 | % | ||
Aggressive Growth | 31.10 | % | ||
Small Cap Growth | 52.11 | % | ||
Mid Cap Opportunity | 100.00 | % | ||
S&P 500® Index | 100.00 | % | ||
Strategic Value | 52.16 | % | ||
High Income Bond | 0.00 | % | ||
ClearBridge Small Cap | 15.04 | % |
Nasdaq-100® Index | 100.00 | % | ||
Bristol | 10.13 | % | ||
Bryton Growth | 6.09 | % | ||
Balanced | 27.22 | % | ||
S&P MidCap 400® Index | 29.73 | % | ||
Bristol Growth | 81.42 | % | ||
Risk Managed Balanced | 51.12 | % | ||
ON Conservative Model | 9.06 | % | ||
ON Moderately Conservative Model | 16.75 | % | ||
ON Balanced Model | 15.25 | % | ||
ON Moderate Growth Model | 23.77 | % | ||
ON Growth Model | 25.72 | % |
178 | (continued) |
Ohio National Fund, Inc.
|
Additional Information (Unaudited) (Continued) | December 31, 2017 |
Pursuant to Section 853 of the Internal Revenue Code, the Fund designates the following amounts as foreign taxes paid for the year ended December 31, 2017:
Creditable Foreign Taxes Paid | Per Share Amount | Portion of Ordinary Income Distribution Derived from Foreign Sourced Income | ||||||||
ON International Equity | $ 475,464 | $ | 0.0454 | 98.69% | ||||||
ON Foreign | $ 158,884 | $ | 0.0662 | 97.67% | ||||||
ON Conservative Model | $ 9,452 | $ | 0.0009 | 2.38% | ||||||
ON Moderately Conservative Model | $ 77,828 | $ | 0.0025 | 5.49% | ||||||
ON Balanced Model | $ 739,932 | $ | 0.0051 | 10.36% | ||||||
ON Moderate Growth Model | $1,660,178 | $ | 0.0051 | 13.10% | ||||||
ON Growth Model | $ 341,448 | $ | 0.0070 | 15.72% |
Foreign taxes paid for purposes of Section 853 may be less than actual foreign taxes paid for financial statement purposes. None of the Portfolios listed above derived any income from ineligible foreign sources, as defined under Section 901(j) of the Internal Revenue Code.
(4) | Other Disclosures |
The Statement of Additional Information of Ohio National Fund, Inc. (the “Fund”) includes additional information about the Fund’s Board of Directors (the “Board”) and is available at http://www.ohionationalfund.com or upon request, without charge, by calling 877-781-6392 (toll-free).
A description of the policies and procedures that the Fund uses in voting proxies relating to Fund securities, as well as information regarding how the Fund voted proxies during the most recent twelve-month period ended June 30, is available without charge, upon request, by calling 877-781-6392 (toll-free) and on the Securities and Exchange Commission (the “Commission”) website at http://www.sec.gov.
The Fund has filed its Schedules of Investments as of March 31 and September 30 with the Commission, as required, on Form N-Q. Form N-Q is required to be filed with the Commission for the first and third quarters of each fiscal year within sixty days after the end of each period and is available on the Commission website upon acceptance of each submission. The Fund’s Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. Information about the Public Reference Room is available by calling 1-800-SEC-0330 (toll-free).
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus of Ohio National Fund, Inc. For a prospectus containing more complete information, including charges and expenses, please contact Ohio National Investments, Inc., One Financial Way, Cincinnati, OH 45242, telephone 877-781-6392 (toll-free).
179 |
Ohio National Fund, Inc.
|
December 31, 2017 |
Name and Address | Age | Position(s) with the Fund | Term of Office | Number of Portfolios in the Fund to be Overseen by Director | Principal Occupation(s) During Past Five Years | |||||||||
Independent Directors |
| |||||||||||||
George M. Vredeveld One Financial Way Cincinnati, Ohio | 75 | Lead Independent Director, Member of Audit and Independent Directors Committees | Indefinite; Since March 1996 | 25 | Professor Emeritus, Finance: University of Cincinnati (January 2014-present); Research Fellow and Member of Academic Council: Varna Free University, Varna, Bulgaria (2012-present); Alpaugh Professor of Economics: Lindner College of Business, University of Cincinnati (2004-2013); Founder/President: Economics Center at the University of Cincinnati (1977-2012). | |||||||||
Madeleine W. Ludlow One Financial Way Cincinnati, Ohio | 63 | Director, Chairman of Audit Committee and Member of Independent Directors Committee | Indefinite; Since April 2012 | 25 | Founder/Managing Director: West Capital Partners LLC (2010-present), Ludlow Ward Capital Advisors LLC (2005-2009); Director: ALLETE, Inc. | |||||||||
Geoffrey Keenan One Financial Way Cincinnati, Ohio | 59 | Director, Member of Audit and Independent Directors Committees | Indefinite; Since January 2015 | 25 | Executive Vice President and Chief Operating Officer: Gateway Investment Advisers, LLC (1995-2013). | |||||||||
Lawrence L. Grypp One Financial Way Cincinnati, Ohio | 69 | Director, Member of Audit and Independent Directors Committees | Indefinite; Since December 2016 | 25 | President: Goering Center for Family and Private Business (2008-present). | |||||||||
Interested Director |
| |||||||||||||
John J. Palmer One Financial Way Cincinnati, Ohio | 78 | Chairman and Director | Indefinite; Since July 1997 | 25 | Insurance industry consultant (April 2010-present), President: Ohio National Fund, Inc. (1997-2010); Director and Vice Chairman: ONLIC (1997-2010); President and CEO: NSLA (2002-2010); Director: NSLA. | |||||||||
Officers |
| |||||||||||||
Michael J. DeWeirdt One Financial Way Cincinnati, Ohio | 58 | President | Indefinite; Since March 2017 | Senior Vice President and Head of Annuities SBU: ONLIC (January 2016-present); Senior Vice PResident, Chief Risk Officer: ONLIC (September 2015-December 2015); Senior Vice President, Capital and Financial Risk Management: ONLIC (December 2012-September 2015); Founder: Chatfield Financial Group (January 2012-December 2012) | ||||||||||
Paul J. Gerard One Financial Way Cincinnati, Ohio | 58 | Vice President | Indefinite; Since March 2016 | Senior Vice President and Chief Investment Officer: ONLIC and NSLA (January 2016-present); Senior Vice President, Investments: ONLIC (July 2012-December 2015); Vice President, Investments: ONLIC (February 2009-June 2012). |
180 | (continued) |
Ohio National Fund, Inc.
|
Information about Directors and Officers (Unaudited) (Continued) | December 31, 2017 |
Name and Address | Age | Position(s) with the Fund | Term of Office | Number of Portfolios in the Fund to be Overseen by Director | Principal Occupation(s) During Past Five Years | |||||||
R. Todd Brockman One Financial Way Cincinnati, Ohio |
|
49 |
|
Treasurer |
Indefinite; Since August 2004 |
Vice President, Mutual Funds: ONLIC and NSLA (February 2014-present); Second Vice President, Mutual Fund Operations: ONLIC and NSLA (January 2007-February 2014); Treasurer: ONI. | ||||||
Kimberly A. Plante One Financial Way Cincinnati, Ohio | 43 | Secretary | Indefinite; Since March 2005 | Vice President and Counsel: ONLIC (November 2017-present); Second Vice President and Counsel: ONLIC (January 2016-November 2017); Senior Associate Counsel: ONLIC (January 2011-January 2016); Secretary: ONI; Officer of various other Ohio National-affiliated companies. | ||||||||
Keith Dwyer One Financial Way Cincinnati, Ohio | 45 | Chief Compliance Officer | Indefinite; Since August 2016 | Second Vice President, Fund Compliance: ONLIC (August 2016-present); Director, Fund Compliance: ONLIC (January 2015-August 2016); Administrator, Fund Compliance: ONLIC (January2014-January 2015); Compliance Analyst (September 2009-September 2011 and April 2013- January 2014); Chief Compliance Officer: ONI and other Ohio National-affiliated companies (August 2016- present); Chief Compliance Officer: Fiduciary Capital Management (“FCM”) (August 2016-December 2017); Chief Compliance Officer: Suffolk (August 2016-December 2016); Interim Chief Compliance Officer: ONI, Suffolk, FCM and other Ohio National-affiliated companies (November 2015-August 2016). | ||||||||
Daniel P. Leming One Financial Way Cincinnati, Ohio | 32 | Assistant Treasuer | Indefinite; Since March 2016 | Assistant Director, Fund Operations and Analysis: ONLIC (December 2016 - present); Manager, Fund Operations and Analysis: ONLIC (February 2016 - December 2016); Sr. Mutual Fund Reporting & Operations Analyst: ONLIC (May 2012 - Februrary 2016). |
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Ohio National Fund, Inc.
Post Office Box 371
Cincinnati, Ohio 45201
Form 1320 Rev. 2-18
Item 2. | Code Of Ethics. |
As of the end of the period covered by this report, Ohio National Fund, Inc. (the “Fund”) has adopted a code of ethics that applies to the Fund’s principal executive officer and principal financial officer. There were no substantive amendments or waivers to the Code of Ethics during the period covered by this report.
A copy of this Code of Ethics is filed as Exhibit EX-99.CODE to this Form N-CSR and is also available, without charge, uponrequest, by calling 877-781-6392 toll free.
Item 3. | Audit Committee Financial Expert. |
The Fund’s Board of Directors has determined that the Fund has an audit committee financial expert serving on its Audit Committee. The Audit Committee financial expert is Madeleine W. Ludlow, who is independent for purposes of Item 3 of Form N-CSR.
Item 4. | Principal Accountant Fees And Services. |
The aggregate fees for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the Fund’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 are listed below.
(a) | Audit Fees. |
Audits of the Portfolios:
Fiscal year ended December 31, 2017: | $ | 328,500 | ||
Fiscal year ended December 31, 2016: | $ | 270,500 |
(b) | Audit-Related Fees. |
Consent(s) on N-1A Annual Registration Statement(s) filed with the SEC:
Fiscal year ended December 31, 2017: | $ | 8,000 | ||
Fiscal year ended December 31, 2016: | $ | 5,000 |
(c) | Tax Fees. |
Fiscal year ended December 31, 2017: | $ | 118,875 | ||
Fiscal year ended December 31, 2016: | $ | 92,400 |
(d) | All Other Fees. None. |
(e)(1) | Audit Committee Pre-Approval Policies and Procedures: |
The Fund’s Audit Committee has adopted an Audit Committee Charter that requires that the Audit Committee oversee the quality and appropriateness of the accounting methods used in the preparation of the Fund’s financial statements, and the independent audit thereof; approve the selection and compensation of the independent auditors; and pre-approve the performance, by the independent auditors, of non-audit services for the Fund, its investment adviser, or any affiliated entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Fund.
(e)(2) | Services Approved Pursuant to Paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X: |
During the fiscal years ended December 31, 2017 and 2016, there were no non-audit services provided by the Fund’s principal accountant that would have required pre-approval by the Fund’s Audit Committee. The audit-related fees aforementioned were pre-approved by the Fund’s Audit Committee, although not required by paragraph (c) (7) (ii) of Regulation S-X, as the audit-related fees were less than five percent of the total amount of revenues paid to the Fund’s principal accountant.
(f) | Not Applicable. |
(g) | There were no non-audit services provided by the Fund’s principal accountant, other than items disclosed in item (b) above, in which a fee was billed to the Fund, the Fund’s adviser, and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for the last two fiscal years. |
(h) | Not applicable, as there were no non-audit services performed by the Fund’s principal accountant that were rendered to the Fund, the Fund’s adviser, or any entity controlling, controlled by, or under common control with the adviser that provided ongoing services to the registrant that were not pre-approved for the last two fiscal years. |
Item 5. | Audit Committee Of Listed Registrants. |
Not Applicable.
Item 6. | Investments. |
Not Applicable.
Item 7. | Disclosure Of Proxy Voting Policies And Procedures For Closed-End Management Investment Companies. |
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. |
Not Applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
There were no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board of Directors.
Item 11. | Controls and Procedures. |
(a) | The Fund’s principal executive officer and principal financial officer have concluded, based on their evaluation conducted as of a date within 90 days of the filing of this report, that the Fund’s disclosure controls and procedures are adequately designed and are operating effectively to ensure (i) that material information relating to the Fund, including its consolidated subsidiaries, is made known to them by others within those entities, particularly during the period in which this report is being prepared; and (ii) that information required to be disclosed by the Fund on Form N-CSR is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
(b) | There were no changes in the Fund’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Fund’s internal control over financial reporting. |
Item 12. | Disclosure of Securities Lending Activities for Closed-End Management Investment Companies. |
Not Applicable.
Item 13. | Exhibits. |
(a)(1) | The Fund’s Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE. |
(a)(2) | A separate certification for each principal executive officer and principal financial officer of the Fund as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is attached hereto as EX-99.CERT. |
The certifications required by Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto as EX-99.906CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Ohio National Fund, Inc.
By: | /s/ Michael J. DeWeirdt | |
Michael J. DeWeirdt | ||
President | ||
(Principal Executive Officer) March 2, 2018 |
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.
Ohio National Fund, Inc.
By: | /s/ Michael J. DeWeirdt | |
Michael J. DeWeirdt | ||
President | ||
(Principal Executive Officer) March 2, 2018 | ||
By: | /s/ R. Todd Brockman | |
R. Todd Brockman | ||
Treasurer | ||
(Principal Financial Officer) March 2, 2018 |