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: June 30, 2018
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.
OHIO NATIONAL FUND, INC.
Message |
Dear Investor,
Financial markets provided mixed returns during the first half of 2018. The U.S. economy powered ahead, posting 4.1 percent Gross Domestic Product (GDP) growth in the second quarter, bolstered by tax cuts and strong corporate profits. However, rising interest rates, the increased use of tariffs and a stronger U.S. dollar offset many of the positives experienced in the first half of the year. The synchronized global growth we saw in 2017 is becoming more divergent, with foreign markets, particularly emerging markets, beginning to show some cracks.
The risk of a larger trade war, combined with less accommodative global central banks, has kept a lid on equity performance. Likewise, rising interest rates in the U.S. have caused fixed income returns to be negative during the first half of 2018. Surprisingly, volatility remains muted in the U.S. equity markets, given the numerous crosscurrents that exist. For now, markets have seemingly chosen to focus on the positives of domestic growth and strong corporate profits, rather than on the risk of higher interest rates, geopolitical events and the ramifications of increased tariffs.
Equity Markets
Domestic equity markets fared significantly better than foreign equity markets during the first half of 2018. The S&P 500®, S&P MidCap 400® and Russell 2000® indices all posted positive returns, ranging from 2.7 percent to 7.7 percent. Small cap stocks provided the best returns, as these companies tend to be more domestically focused, with less international exposure. Conversely, large cap
stocks posted lower returns, as these companies tend to have more international exposure and consequently are affected negatively by a strong U.S. dollar and may be affected more by tariffs.
Within the domestic stock universe, growth stocks continued to outperform value stocks by a wide margin. The S&P 500® Growth Index provided a return of 7.3 percent, while the S&P 500® Value Index provided a return of -2.2 percent. Foreign stock returns were generally negative in U.S. dollar terms, due to the stronger U.S. dollar and, in some cases, slowing growth. These same factors, as well as tariffs and, in some cases, geopolitical concerns, caused emerging market stock returns to suffer more than developed equity markets.
A summary of returns for key equity benchmarks is presented below:
Index | 6/30/18 YTD U.S. Dollar Total Return (price and dividend) | |||
S&P 500® | 2.65% | |||
S&P 500® Growth | 7.28% | |||
S&P 500® Value | -2.23% | |||
S&P MidCap 400® | 3.49% | |||
Russell 2000® Small Cap | 7.67% | |||
MSCI All Country World Ex-USA (Net – USD) | -3.77% | |||
MSCI Emerging Market | -6.56% |
The variability of returns in the previous table serves as a reminder of why it is important to stay diversified. Diversification among asset classes tends to smooth returns and lower volatility over time.
1
Fixed Income Markets
Bond returns were generally negative during the first half of 2018. The Bloomberg Barclays US Aggregate Bond Index posted a year-to-date total return of -1.6 percent at the end of the second quarter. The Federal Reserve increased the Federal Funds rate twice during the period, for a total of 50 basis points. Longer term interest rates also increased, albeit slightly less than the Federal Funds rate. As a result, the interest rate curve continued to flatten between 2-year and 30-year Treasury rates. The expectation is for the Federal Reserve to increase the Federal Funds rate by an additional 25 to 50 basis points in the second half of this year, and to increase rates slightly in 2019.
Within the Bloomberg Barclays US Aggregate Bond Index, shorter duration bonds outperformed longer duration bonds, due to the rise in interest rates. In addition, higher quality bonds generally outperformed lower quality bonds, as credit spreads widened during the first half of the year. Corporate bonds were the worst performing sector within the index, while the higher quality U.S. Treasury, agency and securitized sectors performed better.
Looking Ahead
We are neutral regarding the prospects for financial markets for the remainder of the year. On the positive side, we expect the U.S. economy, GDP growth and corporate
profits to remain healthy. On the negative side, we expect higher short-term interest rates and the potential for a decline in corporate profit growth. The wildcards are tariffs, geopolitical events and the upcoming mid-term elections. Given these items, we expect volatility to increase over the next year from its current low level. In this environment, we believe that staying the course in a well-diversified portfolio will serve well over the long term.
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. | ON Equity Portfolio (Unaudited) |
Objective/Strategy |
The ON Equity Portfolio (formerly 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 June 30, 2018 |
Average Annual returns | ||||
One year | 5.40% | |||
Five years | 10.71% | |||
Ten years | 7.21% |
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, 2018. Additional information pertaining to the Portfolio’s expense ratio as of June 30, 2018 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 six-month period ended June 30, 2018, the ON Equity Portfolio returned -1.88% versus 2.65% 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 and discipline 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 driven by shorter-term factors. Relative performance suffered from not owning enough mega cap technology stocks, primarily the so-called FAANG stocks (Facebook, Inc., Amazon.com, Inc., Apple, Inc., Netflix, Inc., and Alphabet, Inc.), that powered the market 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 concerns and some specific pipeline disappointments. (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. Relative to the benchmark, stock selection and sector allocation detracted from the Portfolio’s performance. Stock selection in the Consumer Discretionary, Information Technology (IT) and Health Care sectors detracted the most from relative performance. The Portfolio’s
underweight to the IT sector and its cash position also detracted from returns. Meanwhile, stock selection in the Utilities and Materials sectors contributed to relative performance, as did an underweight allocation to the Consumer Staples sector. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. XL Group Ltd. (XL), a property and casualty insurer in the Financials sector, was the Portfolio’s top contributor. The company was acquired by insurance giant AXA SA at a 50% premium to its stock price before the mergers and acquisitions (M&A) speculation surfaced. We took advantage of the low valuation late last year as the stock suffered an operating loss in 2017 due to large catastrophe losses. We saw value in XL’s global leadership in the commercial insurance and reinsurance markets given its specialty focus and the highly valuable Lloyd’s franchise. (1)
AES Corp. (“AES”), in the Utilities sector, was another top contributor that is starting to enjoy the full benefits from its pivot to faster-growing renewal energy projects, while also paying down debt and reducing costs. The result is a major reduction in AES’s risk profile, which should culminate in investment grade metrics by next year. At the same time, earnings and cash flow growth has been steadily improving, which is fully supporting its 4% dividend yield. These fundamental improvements, along with the major risk reduction, should continue to close the gap between price and a higher and growing business value. (1)
Celgene Corporation, in the Health Care sector, is a biotechnology company developing therapies for cancer and immune inflammatory diseases and was the Portfolio’s top detractor. Negative reaction to two acquisitions announced by the company and an unfavorable ruling from the FDA on its treatment for relapsing multiple sclerosis weighed on shares. (1)
Adient PLC, in the Consumer Discretionary sector, was another top detractor. The company reported a poor first fiscal quarter in 2018, with earnings below consensus, and lowered guidance for 2018. The company faces headwinds in its seat structures/mechanisms and metals business, although these issues should be transitory. Adient PLC also announced the formation of Adient Aerospace, a joint venture with Boeing, which should be a good opportunity once it begins to produce revenue. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2018. |
3 | (continued) |
Ohio National Fund, Inc. | ON Equity 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 June 30, 2018 (1) |
% of Net Assets | ||||
Common Stocks (4) | 98.5 | |||
Money Market Funds and Other Net Assets | 1.5 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of June 30, 2018 (1) (2) (3) |
% of Net Assets | ||||||
1. | Alphabet, Inc. Class C | 5.5 | ||||
2. | Microsoft Corp. | 4.2 | ||||
3. | Allergan PLC | 3.9 | ||||
4. | Oracle Corp. | 3.8 | ||||
5. | Wells Fargo & Co. | 3.4 | ||||
6. | Kinder Morgan, Inc. | 3.4 | ||||
7. | Alexion Pharmaceuticals, Inc. | 3.3 | ||||
8. | Synchrony Financial | 2.8 | ||||
9. | American International Group, Inc. | 2.8 | ||||
10. | Exelon Corp. | 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 | 19.1 | |||
Financials | 18.3 | |||
Health Care | 16.3 | |||
Industrials | 11.9 | |||
Energy | 11.5 | |||
Consumer Discretionary | 7.8 | |||
Utilities | 4.9 | |||
Real Estate | 3.7 | |||
Consumer Staples | 2.9 | |||
Materials | 2.1 | |||
|
| |||
98.5 | ||||
|
|
4
Ohio National Fund, Inc. | ON Equity Portfolio |
Schedule of Investments | June 30, 2018 (Unaudited) |
Common Stocks – 98.5% | Shares | Value | ||||||||||
CONSUMER DISCRETIONARY – 7.8% |
| |||||||||||
Adient PLC (Auto Components) | 96,137 | $ | 4,728,979 | |||||||||
AutoZone, Inc. (Specialty Retail) | (a | ) | 11,885 | 7,974,003 | ||||||||
General Motors Co. (Automobiles) | 79,154 | 3,118,667 | ||||||||||
Hanesbrands, Inc. (Textiles, Apparel & Luxury Goods) | 175,381 | 3,861,890 | ||||||||||
Lowe’s Cos., Inc. (Specialty Retail) | 54,549 | 5,213,248 | ||||||||||
Melco Resorts & Entertainment Ltd. – ADR (Hotels, Restaurants & Leisure) | 115,875 | 3,244,500 | ||||||||||
|
| |||||||||||
28,141,287 | ||||||||||||
|
| |||||||||||
CONSUMER STAPLES – 2.9% | ||||||||||||
Molson Coors Brewing Co. Class B (Beverages) | 58,292 | 3,966,188 | ||||||||||
Mondelez International, Inc. Class A (Food Products) | 162,665 | 6,669,265 | ||||||||||
|
| |||||||||||
10,635,453 | ||||||||||||
|
| |||||||||||
ENERGY – 11.5% | ||||||||||||
Apache Corp. (Oil, Gas & Consumable Fuels) | 143,319 | 6,700,163 | ||||||||||
Devon Energy Corp. (Oil, Gas & Consumable Fuels) | 195,975 | 8,615,061 | ||||||||||
Kinder Morgan, Inc. (Oil, Gas & Consumable Fuels) | 695,225 | 12,284,626 | ||||||||||
Pioneer Natural Resources Co. (Oil, Gas & Consumable Fuels) | 41,817 | 7,913,449 | ||||||||||
Plains GP Holdings LP Class A (Oil, Gas & Consumable Fuels) | 245,995 | 5,881,740 | ||||||||||
|
| |||||||||||
41,395,039 | ||||||||||||
|
| |||||||||||
FINANCIALS – 18.3% | ||||||||||||
American International Group, Inc. (Insurance) | 188,335 | 9,985,522 | ||||||||||
Brighthouse Financial, Inc. (Insurance) | (a | ) | 104,897 | 4,203,223 | ||||||||
Citigroup, Inc. (Banks) | 123,885 | 8,290,384 | ||||||||||
Intercontinental Exchange, Inc. (Capital Markets) | 118,869 | 8,742,815 | ||||||||||
MetLife, Inc. (Insurance) | 129,421 | 5,642,755 | ||||||||||
Synchrony Financial (Consumer Finance) | 304,239 | 10,155,498 | ||||||||||
Voya Financial, Inc. (Diversified Financial Svs.) | 144,831 | 6,807,057 | ||||||||||
Wells Fargo & Co. (Banks) | 224,022 | 12,419,780 | ||||||||||
|
| |||||||||||
66,247,034 | ||||||||||||
|
| |||||||||||
HEALTH CARE – 16.3% | ||||||||||||
Alexion Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 95,908 | 11,906,978 | ||||||||
Allergan PLC (Pharmaceuticals) | 85,151 | 14,196,375 | ||||||||||
Bristol-Myers Squibb Co. (Pharmaceuticals) | 61,952 | 3,428,424 | ||||||||||
Celgene Corp. (Biotechnology) | (a | ) | 94,629 | 7,515,435 | ||||||||
Merck & Co., Inc. (Pharmaceuticals) | 105,943 | 6,430,740 | ||||||||||
Mylan N.V. (Pharmaceuticals) | (a | ) | 253,860 | 9,174,500 | ||||||||
Universal Health Services, Inc. Class B (Health Care Providers & Svs.) | 55,917 | 6,231,391 | ||||||||||
|
| |||||||||||
58,883,843 | ||||||||||||
|
|
Common Stocks (Continued) | Shares | Value | ||||||||||
INDUSTRIALS – 11.9% | ||||||||||||
AECOM (Construction & Engineering) | (a | ) | 161,871 | $ | 5,346,599 | |||||||
C.H. Robinson Worldwide, Inc. (Air Freight & Logistics) | 65,113 | 5,447,354 | ||||||||||
Delta Air Lines, Inc. (Airlines) | 113,239 | 5,609,860 | ||||||||||
Fluor Corp. (Construction & Engineering) | 99,862 | 4,871,268 | ||||||||||
Johnson Controls International PLC (Building Products) | 174,162 | 5,825,719 | ||||||||||
KION Group AG (Machinery) | (b | ) | 40,050 | 2,874,765 | ||||||||
Owens Corning (Building Products) | 56,470 | 3,578,504 | ||||||||||
Safran SA (Aerospace & Defense) | (b | ) | 17,492 | 2,118,366 | ||||||||
TransDigm Group, Inc. (Aerospace & Defense) | 20,829 | 7,188,921 | ||||||||||
|
| |||||||||||
42,861,356 | ||||||||||||
|
| |||||||||||
INFORMATION TECHNOLOGY – 19.1% |
| |||||||||||
Alphabet, Inc. Class C (Internet Software & Svs.) | (a | ) | 17,948 | 20,023,686 | ||||||||
Cisco Systems, Inc. (Communications Equip.) | 175,925 | 7,570,053 | ||||||||||
International Business Machines Corp. (IT Svs.) | 48,675 | 6,799,897 | ||||||||||
Microsoft Corp. (Software) | 155,392 | 15,323,205 | ||||||||||
Oracle Corp. (Software) | 307,062 | 13,529,152 | ||||||||||
QUALCOMM, Inc. (Semiconductors & Equip.) | 102,750 | 5,766,330 | ||||||||||
|
| |||||||||||
69,012,323 | ||||||||||||
|
| |||||||||||
MATERIALS – 2.1% | ||||||||||||
Royal Gold, Inc. (Metals & Mining) | 81,284 | 7,546,407 | ||||||||||
|
| |||||||||||
REAL ESTATE – 3.7% | ||||||||||||
American Homes 4 Rent Class A (Equity REIT) | 273,464 | 6,065,431 | ||||||||||
Realogy Holdings Corp. (Real Estate Mgmt. & Development) | 320,437 | 7,305,964 | ||||||||||
|
| |||||||||||
13,371,395 | ||||||||||||
|
| |||||||||||
UTILITIES – 4.9% | ||||||||||||
AES Corp. (Ind. Power & Renewable Elec.) | 586,458 | 7,864,402 | ||||||||||
Exelon Corp. (Electric Utilities) | 232,660 | 9,911,316 | ||||||||||
|
| |||||||||||
17,775,718 | ||||||||||||
|
| |||||||||||
Total Common Stocks (Cost $323,017,338) |
| $ | 355,869,855 | |||||||||
|
| |||||||||||
Money Market Funds – 1.5% | Shares | Value | ||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 5,304,291 | $ | 5,304,291 | |||||||||
|
| |||||||||||
Total Money Market Funds | $ | 5,304,291 | ||||||||||
|
| |||||||||||
Total Investments – 100.0% | (c | ) | $ | 361,174,146 | ||||||||
Other Assets in Excess of Liabilities – 0.0% | 65,806 | |||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 361,239,952 | ||||||||||
|
|
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 $4,993,131 or 1.4% of the Portfolio’s net assets. |
(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.
5
Ohio National Fund, Inc. | ON Bond Portfolio (Unaudited) |
Objective/Strategy |
The ON Bond Portfolio (formerly 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 June 30, 2018 |
Average Annual returns | ||||
One year | -0.93% | |||
Five years | 2.99% | |||
Ten years | 4.13% |
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 0.63% per the Fund’s prospectus dated May 1, 2018. Additional information pertaining to the Portfolio’s expense ratio as of June 30, 2018 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 six-month period ended June 30, 2018, the ON Bond Portfolio returned -3.25% versus -3.12% for its benchmark, the ICE 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. Long-term interest rates increased and the yield curve flattened during the period, as short-term interest rates increased more than long-term interest rates. In this environment, longer duration bonds generally underperformed shorter duration bonds. Corporate credit spreads widened during the period, with higher quality bonds generally outperforming lower quality bonds. From an investment strategy perspective, the Portfolio maintained a slightly lower duration and slightly lower credit quality than the benchmark. (1)
While neither of the above materially affected the Portfolio’s performance compared to the benchmark, the Portfolio’s shorter duration added slightly to performance, while the Portfolio’s lower credit quality slightly detracted from performance vs. 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 security selection, was there anything specific regarding the Fund’s strategy that caused deviation from the benchmark?
A. In terms of holdings, the Portfolio was slightly overweight the Energy and Materials sectors vs. the benchmark and slightly underweight the Consumer Staples and Information Technology sectors during the period. Other sector weightings compared to the benchmark were not
significant. In terms of performance vs. the benchmark, the Telecommunication Services and Consumer Discretionary sectors performed the best, while the Information Technology and Energy sectors performed the worst. In most cases, security selection within the sector accounted for the majority of the sector performance vs. 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 Noble Holding International Ltd. 7.950% due 2025, Transocean, Inc. 9.000% due 2023 and Spectra Energy Capital, LLC 3.300% due 2023. Each of these bonds is in the Energy sector and performed well. The top three detractors to the Portfolio’s performance relative to the benchmark were Wells Fargo & Co. 4.650% due 2044, Martin Marietta Materials, Inc. 4.250% due 2047, and American International Group, Inc. 3.875% due 2035. These bonds are longer duration bonds and experienced modest spread widening during the period. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2018. |
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 ICE 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. | ON Bond Portfolio (Unaudited) (Continued) |
Portfolio Composition as of June 30, 2018 (1) |
% of Net Assets | ||||
Corporate Bonds (4) | 95.1 | |||
Asset-Backed Securities (4) | 2.6 | |||
Sovereign Issues | 1.0 | |||
Money Market Funds | ||||
Less Net Liabilities | 1.3 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of June 30, 2018 (1) (2) (3) |
% of Net Assets | ||||||
1. | Deutsche Bank AG | 1.7 | ||||
2.700%, 07/13/2020 | ||||||
2. | Federal Realty Investment Trust | 1.5 | ||||
3.250%, 07/15/2027 | ||||||
3. | Aircastle Ltd. | 1.3 | ||||
4.125%, 05/01/2024 | ||||||
4. | Andeavor | 1.3 | ||||
3.800%, 04/01/2028 | ||||||
5. | Martin Marietta Materials, Inc. | 1.3 | ||||
3.500%, 12/15/2027 | ||||||
6. | Northrop Grumman Corp. | 1.3 | ||||
2.930%, 01/15/2025 | ||||||
7. | American Airlines 2015-1 Class B Pass Through Trust | 1.1 | ||||
3.700%, 05/01/2023 | ||||||
8. | Canadian Natural Resources Ltd. | 1.0 | ||||
4.950%, 06/01/2047 | ||||||
9. | Expedia Group, Inc. | 1.0 | ||||
5.000%, 02/15/2026 | ||||||
10. | Netflix, Inc. | 1.0 | ||||
5.875%, 11/15/2028 |
(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 | 25.8 | |||
Energy | 12.1 | |||
Consumer Discretionary | 9.1 | |||
Utilities | 8.9 | |||
Materials | 8.8 | |||
Industrials | 8.2 | |||
Real Estate | 8.1 | |||
Consumer Staples | 6.0 | |||
Health Care | 5.5 | |||
Information Technology | 3.8 | |||
Telecommunication Services | 1.4 | |||
|
| |||
97.7 | ||||
|
|
7
Ohio National Fund, Inc. | ON Bond Portfolio |
Schedule of Investments | June 30, 2018 (Unaudited) |
Corporate Bonds – 95.1% | Rate | Maturity | Face Amount | Value | ||||||||||||||||
CONSUMER DISCRETIONARY – 9.1% | ||||||||||||||||||||
21st Century Fox America, Inc. (Media) | 4.500% | 02/15/2021 | $1,250,000 | $ | 1,283,863 | |||||||||||||||
Amazon.com, Inc. (Internet & Direct Marketing Retail) | 3.875% | 08/22/2037 | 900,000 | 877,895 | ||||||||||||||||
Booking Holdings, Inc. (Internet & Direct Marketing Retail) | 3.550% | 03/15/2028 | 3,000,000 | 2,854,335 | ||||||||||||||||
Comcast Corp. (Media) | 4.250% | 01/15/2033 | 750,000 | 732,019 | ||||||||||||||||
Discovery Communications, LLC (Media) | 4.375% | 06/15/2021 | 1,000,000 | 1,022,096 | ||||||||||||||||
Discovery Communications, LLC (Media) | 3.950% | 03/20/2028 | 900,000 | 851,975 | ||||||||||||||||
Dollar General Corp. (Multiline Retail) | 4.125% | 05/01/2028 | 2,000,000 | 1,960,203 | ||||||||||||||||
Expedia Group, Inc. (Internet & Direct Marketing Retail) | 5.000% | 02/15/2026 | 3,000,000 | 3,054,840 | ||||||||||||||||
General Motors Co. (Automobiles) | 5.000% | 04/01/2035 | 900,000 | 851,874 | ||||||||||||||||
Hasbro, Inc. (Leisure Products) | 3.500% | 09/15/2027 | 2,000,000 | 1,849,403 | ||||||||||||||||
L Brands, Inc. (Specialty Retail) | 5.250% | 02/01/2028 | 1,000,000 | 888,750 | ||||||||||||||||
Lear Corp. (Auto Components) | 3.800% | 09/15/2027 | 3,000,000 | 2,815,717 | ||||||||||||||||
Magna International, Inc. (Auto Components) | 3.625% | 06/15/2024 | 1,000,000 | 997,172 | ||||||||||||||||
Netflix, Inc. (Internet & Direct Marketing Retail) | (a | ) | 5.875% | 11/15/2028 | 3,000,000 | 3,029,100 | ||||||||||||||
Newell Brands, Inc. (Household Durables) | 3.150% | 04/01/2021 | 900,000 | 891,584 | ||||||||||||||||
Sirius XM Radio, Inc. (Media) | (a | ) | 5.375% | 04/15/2025 | 1,000,000 | 986,250 | ||||||||||||||
Time Warner Cable LLC (Media) | 6.550% | 05/01/2037 | 850,000 | 901,220 | ||||||||||||||||
Wyndham Destinations, Inc. (Hotels, Restaurants & Leisure) | 4.150% | 04/01/2024 | 900,000 | 885,375 | ||||||||||||||||
|
| |||||||||||||||||||
26,733,671 | ||||||||||||||||||||
|
| |||||||||||||||||||
CONSUMER STAPLES – 6.0% | ||||||||||||||||||||
Anheuser-Busch InBev Finance, Inc. (Beverages) | 4.700% | 02/01/2036 | 2,000,000 | 2,025,740 | ||||||||||||||||
Anheuser-Busch InBev Finance, Inc. (Beverages) | 4.900% | 02/01/2046 | 1,000,000 | 1,028,153 | ||||||||||||||||
Anheuser-Busch InBev Worldwide, Inc. (Beverages) | 4.600% | 04/15/2048 | 2,000,000 | 1,961,024 | ||||||||||||||||
B.A.T. Capital Corp. (Tobacco) | (a | ) | 4.390% | 08/15/2037 | 3,000,000 | 2,812,589 | ||||||||||||||
Campbell Soup Co. (Food Products) | 4.150% | 03/15/2028 | 2,000,000 | 1,903,648 | ||||||||||||||||
Diageo Capital PLC (Beverages) | (b | ) | QL + 24 | 05/18/2020 | 3,000,000 | 3,001,290 | ||||||||||||||
J.M. Smucker Co. / The (Food Products) | 3.375% | 12/15/2027 | 3,000,000 | 2,789,724 | ||||||||||||||||
Mead Johnson Nutrition Co. (Food Products) | 3.000% | 11/15/2020 | 900,000 | 896,211 | ||||||||||||||||
Philip Morris International, Inc. (Tobacco) | 4.125% | 05/17/2021 | 1,250,000 | 1,277,195 | ||||||||||||||||
|
| |||||||||||||||||||
17,695,574 | ||||||||||||||||||||
|
| |||||||||||||||||||
ENERGY – 12.1% | ||||||||||||||||||||
Andeavor (Oil, Gas & Consumable Fuels) | 3.800% | 04/01/2028 | 4,000,000 | 3,776,360 | ||||||||||||||||
Baker Hughes, a GE Co. LLC / Baker Hughes Co-Obligor, Inc. (Energy Equip. & Svs.) | 4.080% | 12/15/2047 | 2,000,000 | 1,785,815 | ||||||||||||||||
BP Capital Markets PLC (Oil, Gas & Consumable Fuels) | 3.017% | 01/16/2027 | 900,000 | 850,825 | ||||||||||||||||
Buckeye Partners LP (Oil, Gas & Consumable Fuels) | 4.875% | 02/01/2021 | 1,000,000 | 1,021,466 | ||||||||||||||||
Canadian Natural Resources Ltd. (Oil, Gas & Consumable Fuels) | 4.950% | 06/01/2047 | 3,000,000 | 3,093,897 | ||||||||||||||||
Chevron Corp. (Oil, Gas & Consumable Fuels) | 2.895% | 03/03/2024 | 900,000 | 875,102 | ||||||||||||||||
Columbia Pipeline Group, Inc. (Oil, Gas & Consumable Fuels) | 4.500% | 06/01/2025 | 900,000 | 900,739 | ||||||||||||||||
Concho Resources, Inc. (Oil, Gas & Consumable Fuels) | 3.750% | 10/01/2027 | 2,000,000 | 1,921,078 | ||||||||||||||||
Energy Transfer Partners LP (Oil, Gas & Consumable Fuels) | 4.950% | 06/15/2028 | 2,000,000 | 1,993,011 | ||||||||||||||||
EQT Midstream Partners LP (Oil, Gas & Consumable Fuels) | 4.750% | 07/15/2023 | 900,000 | 898,244 | ||||||||||||||||
Exxon Mobil Corp. (Oil, Gas & Consumable Fuels) | 4.114% | 03/01/2046 | 900,000 | 915,282 | ||||||||||||||||
Halliburton Co. (Energy Equip. & Svs.) | 4.850% | 11/15/2035 | 900,000 | 930,100 | ||||||||||||||||
Kinder Morgan Energy Partners LP (Oil, Gas & Consumable Fuels) | 2.650% | 02/01/2019 | 1,400,000 | 1,397,214 | ||||||||||||||||
Kinder Morgan Energy Partners LP (Oil, Gas & Consumable Fuels) | 4.150% | 03/01/2022 | 1,000,000 | 1,011,150 | ||||||||||||||||
Kinder Morgan, Inc. (Oil, Gas & Consumable Fuels) | 5.300% | 12/01/2034 | 1,000,000 | 984,670 | ||||||||||||||||
Marathon Oil Corp. (Oil, Gas & Consumable Fuels) | 3.850% | 06/01/2025 | 850,000 | 835,860 | ||||||||||||||||
Marathon Petroleum Corp. (Oil, Gas & Consumable Fuels) | 4.750% | 09/15/2044 | 1,000,000 | 950,697 | ||||||||||||||||
Murphy Oil Corp. (Oil, Gas & Consumable Fuels) | 4.450% | 12/01/2022 | 1,400,000 | 1,378,874 | ||||||||||||||||
Noble Holding International Ltd. (Energy Equip. & Svs.) | 7.950% | 04/01/2025 | 1,000,000 | 930,000 | ||||||||||||||||
ONEOK, Inc. (Oil, Gas & Consumable Fuels) | 6.000% | 06/15/2035 | 1,000,000 | 1,093,171 | ||||||||||||||||
Petroleos Mexicanos (Oil, Gas & Consumable Fuels) | (a | ) | 6.350% | 02/12/2048 | 1,000,000 | 905,000 | ||||||||||||||
Shell International Finance BV (Oil, Gas & Consumable Fuels) | 4.000% | 05/10/2046 | 900,000 | 870,901 | ||||||||||||||||
Texas Eastern Transmission LP (Oil, Gas & Consumable Fuels) | (a | ) | 4.150% | 01/15/2048 | 1,000,000 | 895,568 | ||||||||||||||
TransCanada PipeLines Ltd. (Oil, Gas & Consumable Fuels) | 2.500% | 08/01/2022 | 1,425,000 | 1,368,638 | ||||||||||||||||
Transocean, Inc. (Energy Equip. & Svs.) | (a | ) | 9.000% | 07/15/2023 | 1,000,000 | 1,076,250 | ||||||||||||||
Williams Partners LP (Oil, Gas & Consumable Fuels) | 3.350% | 08/15/2022 | 1,000,000 | 977,006 | ||||||||||||||||
Williams Partners LP (Oil, Gas & Consumable Fuels) | 3.750% | 06/15/2027 | 1,000,000 | 943,872 | ||||||||||||||||
Williams Partners LP (Oil, Gas & Consumable Fuels) | 5.400% | 03/04/2044 | 1,000,000 | 1,029,680 | ||||||||||||||||
|
| |||||||||||||||||||
35,610,470 | ||||||||||||||||||||
|
| |||||||||||||||||||
FINANCIALS – 25.8% | ||||||||||||||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Diversified Financial Svs.) | 3.300% | 01/23/2023 | 3,000,000 | 2,882,621 | ||||||||||||||||
Aflac, Inc. (Insurance) | 3.625% | 06/15/2023 | 1,425,000 | 1,429,682 | ||||||||||||||||
American Express Co. (Consumer Finance) | 2.650% | 12/02/2022 | 2,000,000 | 1,919,897 | ||||||||||||||||
American International Group, Inc. (Insurance) | 3.875% | 01/15/2035 | 2,400,000 | 2,131,065 | ||||||||||||||||
Bank of America Corp. (Banks) | (b | ) | 2.369% | 07/21/2021 | 1,000,000 | 980,251 | ||||||||||||||
Bank of America Corp. (Banks) | 3.875% | 08/01/2025 | 850,000 | 845,484 |
8 | (continued) |
Ohio National Fund, Inc. | ON Bond Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||||
FINANCIALS (continued) | ||||||||||||||||||||
Bank of America Corp. (Banks) | (b | ) | 3.366% | 01/23/2026 | $2,000,000 | $ 1,923,884 | ||||||||||||||
Bank of America Corp. (Banks) | (b | ) | 4.244% | 04/24/2038 | 1,000,000 | 970,259 | ||||||||||||||
Bank of Montreal (Banks) | (b | ) | 3.803% | 12/15/2032 | 2,800,000 | 2,593,668 | ||||||||||||||
Bank of New York Mellon Corp. / The (Capital Markets) | 3.300% | 08/23/2029 | 3,000,000 | 2,787,632 | ||||||||||||||||
Berkshire Hathaway, Inc. (Diversified Financial Svs.) | 3.125% | 03/15/2026 | 900,000 | 866,858 | ||||||||||||||||
Branch Banking & Trust Co. (Banks) | (b | ) | QL + 22 | 06/01/2020 | 3,000,000 | 2,997,202 | ||||||||||||||
Branch Banking & Trust Co. (Banks) | 3.625% | 09/16/2025 | 1,180,000 | 1,161,082 | ||||||||||||||||
Charles Schwab Corp. / The (Capital Markets) | 3.200% | 01/25/2028 | 3,000,000 | 2,877,631 | ||||||||||||||||
Citigroup, Inc. (Banks) | 5.375% | 08/09/2020 | 1,100,000 | 1,146,938 | ||||||||||||||||
Citigroup, Inc. (Banks) | 4.400% | 06/10/2025 | 2,000,000 | 1,988,485 | ||||||||||||||||
Citigroup, Inc. (Banks) | 3.700% | 01/12/2026 | 1,000,000 | 968,935 | ||||||||||||||||
Deutsche Bank AG (Capital Markets) | 2.700% | 07/13/2020 | 5,000,000 | 4,862,549 | ||||||||||||||||
E*TRADE Financial Corp. (Capital Markets) | 2.950% | 08/24/2022 | 1,800,000 | 1,743,107 | ||||||||||||||||
Ford Motor Credit Co. LLC (Consumer Finance) | 2.943% | 01/08/2019 | 515,000 | 515,304 | ||||||||||||||||
Ford Motor Credit Co. LLC (Consumer Finance) | 3.157% | 08/04/2020 | 1,400,000 | 1,391,334 | ||||||||||||||||
General Motors Financial Co., Inc. (Consumer Finance) | 3.200% | 07/06/2021 | 900,000 | 888,220 | ||||||||||||||||
General Motors Financial Co., Inc. (Consumer Finance) | (b | ) | QL + 99 | 01/05/2023 | 2,000,000 | 2,006,536 | ||||||||||||||
General Motors Financial Co., Inc. (Consumer Finance) | 4.350% | 01/17/2027 | 1,000,000 | 967,275 | ||||||||||||||||
Goldman Sachs Group, Inc. / The (Capital Markets) | 3.750% | 05/22/2025 | 1,400,000 | 1,366,349 | ||||||||||||||||
Goldman Sachs Group, Inc. / The (Capital Markets) | (b | ) | 3.814% | 04/23/2029 | 2,000,000 | 1,899,992 | ||||||||||||||
Intercontinental Exchange, Inc. (Capital Markets) | 2.750% | 12/01/2020 | 900,000 | 891,110 | ||||||||||||||||
Intercontinental Exchange, Inc. (Capital Markets) | 3.750% | 12/01/2025 | 1,000,000 | 992,161 | ||||||||||||||||
Jefferies Group LLC / Jefferies Group Capital Finance, Inc. (Diversified Financial Svs.) | 4.850% | 01/15/2027 | 1,800,000 | 1,746,493 | ||||||||||||||||
Jefferies Group LLC / Jefferies Group Capital Finance, Inc. (Diversified Financial Svs.) | 4.150% | 01/23/2030 | 2,000,000 | 1,764,051 | ||||||||||||||||
JPMorgan Chase & Co. (Banks) | 3.900% | 07/15/2025 | 2,023,000 | 2,014,790 | ||||||||||||||||
JPMorgan Chase & Co. (Banks) | 3.625% | 12/01/2027 | 1,800,000 | 1,692,661 | ||||||||||||||||
Marsh & McLennan Cos., Inc. (Insurance) | 3.500% | 06/03/2024 | 1,400,000 | 1,385,205 | ||||||||||||||||
Morgan Stanley (Capital Markets) | 3.750% | 02/25/2023 | 1,250,000 | 1,251,011 | ||||||||||||||||
Morgan Stanley (Capital Markets) | (b | ) | QL + 140 | 10/24/2023 | 1,260,000 | 1,288,834 | ||||||||||||||
Morgan Stanley (Capital Markets) | 3.950% | 04/23/2027 | 1,000,000 | 952,941 | ||||||||||||||||
Morgan Stanley (Capital Markets) | (b | ) | 3.772% | 01/24/2029 | 2,000,000 | 1,927,286 | ||||||||||||||
Nasdaq, Inc. (Capital Markets) | 3.850% | 06/30/2026 | 2,000,000 | 1,936,225 | ||||||||||||||||
Progressive Corp. / The (Insurance) | 2.450% | 01/15/2027 | 900,000 | 812,286 | ||||||||||||||||
Synchrony Financial (Consumer Finance) | 2.600% | 01/15/2019 | 2,000,000 | 1,996,169 | ||||||||||||||||
Synchrony Financial (Consumer Finance) | 4.250% | 08/15/2024 | 900,000 | 881,921 | ||||||||||||||||
Syngenta Finance N.V. (Diversified Financial Svs.) | (a | ) | 4.441% | 04/24/2023 | 1,000,000 | 994,074 | ||||||||||||||
TD Ameritrade Holding Corp. (Capital Markets) | 3.300% | 04/01/2027 | 1,900,000 | 1,812,292 | ||||||||||||||||
Teachers Insurance & Annuity Association of America (Insurance) | (a | ) | 4.270% | 05/15/2047 | 900,000 | 859,977 | ||||||||||||||
Wells Fargo & Co. (Banks) | 3.000% | 04/22/2026 | 900,000 | 836,567 | ||||||||||||||||
Wells Fargo & Co. (Banks) | 4.650% | 11/04/2044 | 1,000,000 | 951,900 | ||||||||||||||||
Westpac Banking Corp. (Banks) | (b | ) | QL + 57 | 01/11/2023 | 1,000,000 | 995,503 | ||||||||||||||
Westpac Banking Corp. (Banks) | (b | ) | 4.322% | 11/23/2031 | 1,800,000 | 1,733,713 | ||||||||||||||
|
| |||||||||||||||||||
75,829,410 | ||||||||||||||||||||
|
| |||||||||||||||||||
HEALTH CARE – 5.5% | ||||||||||||||||||||
AbbVie, Inc. (Biotechnology) | 2.900% | 11/06/2022 | 2,850,000 | 2,764,749 | ||||||||||||||||
Amgen, Inc. (Biotechnology) | 4.100% | 06/15/2021 | 1,000,000 | 1,021,012 | ||||||||||||||||
Baxalta, Inc. (Biotechnology) | 4.000% | 06/23/2025 | 1,400,000 | 1,370,148 | ||||||||||||||||
Bayer U.S. Finance II LLC (Pharmaceuticals) | (a | ) | 4.875% | 06/25/2048 | 2,000,000 | 2,019,014 | ||||||||||||||
Celgene Corp. (Biotechnology) | 3.875% | 08/15/2025 | 1,350,000 | 1,311,473 | ||||||||||||||||
CVS Health Corp. (Health Care Providers & Svs.) | 4.100% | 03/25/2025 | 3,000,000 | 2,983,561 | ||||||||||||||||
Humana, Inc. (Health Care Providers & Svs.) | 2.500% | 12/15/2020 | 2,000,000 | 1,963,683 | ||||||||||||||||
Humana, Inc. (Health Care Providers & Svs.) | 2.900% | 12/15/2022 | 2,000,000 | 1,942,479 | ||||||||||||||||
Pfizer, Inc. (Pharmaceuticals) | 3.000% | 12/15/2026 | 900,000 | 864,240 | ||||||||||||||||
|
| |||||||||||||||||||
16,240,359 | ||||||||||||||||||||
|
| |||||||||||||||||||
INDUSTRIALS – 5.6% | ||||||||||||||||||||
Aircastle Ltd. (Trading Companies & Distributors) | 4.125% | 05/01/2024 | 4,000,000 | 3,830,400 | ||||||||||||||||
Burlington Northern Santa Fe, LLC (Road & Rail) | 4.550% | 09/01/2044 | 900,000 | 934,755 | ||||||||||||||||
FedEx Corp. (Air Freight & Logistics) | 4.900% | 01/15/2034 | 1,425,000 | 1,499,957 | ||||||||||||||||
Illinois Tool Works, Inc. (Machinery) | 3.375% | 09/15/2021 | 500,000 | 503,035 | ||||||||||||||||
Lockheed Martin Corp. (Aerospace & Defense) | 3.350% | 09/15/2021 | 1,000,000 | 1,005,109 | ||||||||||||||||
Lockheed Martin Corp. (Aerospace & Defense) | 3.600% | 03/01/2035 | 1,000,000 | 929,827 | ||||||||||||||||
Norfolk Southern Corp. (Road & Rail) | 3.000% | 04/01/2022 | 600,000 | 593,112 | ||||||||||||||||
Northrop Grumman Corp. (Aerospace & Defense) | 2.930% | 01/15/2025 | 3,900,000 | 3,701,839 | ||||||||||||||||
Parker-Hannifin Corp. (Machinery) | 4.200% | 11/21/2034 | 1,400,000 | 1,423,495 | ||||||||||||||||
Union Pacific Corp. (Road & Rail) | 3.250% | 08/15/2025 | 1,000,000 | 971,598 | ||||||||||||||||
Union Pacific Corp. (Road & Rail) | 4.500% | 09/10/2048 | 1,000,000 | 1,009,029 | ||||||||||||||||
|
| |||||||||||||||||||
16,402,156 | ||||||||||||||||||||
|
|
9 | (continued) |
Ohio National Fund, Inc. | ON Bond Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||||
INFORMATION TECHNOLOGY – 3.8% | ||||||||||||||||||||
Alibaba Group Holding Ltd. (Internet Software & Svs.) | 3.400% | 12/06/2027 | $2,000,000 | $ 1,862,736 | ||||||||||||||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 2.500% | 02/09/2025 | 1,000,000 | 940,009 | ||||||||||||||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 3.350% | 02/09/2027 | 900,000 | 878,521 | ||||||||||||||||
Hewlett Packard Enterprise Co. (Tech. Hardware, Storage & Periph.) | 4.900% | 10/15/2025 | 850,000 | 867,334 | ||||||||||||||||
Intel Corp. (Semiconductors & Equip.) | 4.000% | 12/15/2032 | 1,500,000 | 1,538,797 | ||||||||||||||||
KLA-Tencor Corp. (Semiconductors & Equip.) | 3.375% | 11/01/2019 | 900,000 | 903,342 | ||||||||||||||||
Microsoft Corp. (Software) | 4.100% | 02/06/2037 | 900,000 | 937,066 | ||||||||||||||||
Microsoft Corp. (Software) | 4.450% | 11/03/2045 | 900,000 | 966,599 | ||||||||||||||||
Oracle Corp. (Software) | 4.300% | 07/08/2034 | 1,500,000 | 1,528,155 | ||||||||||||||||
Seagate HDD Cayman (Tech. Hardware, Storage & Periph.) | 4.875% | 03/01/2024 | 900,000 | 882,171 | ||||||||||||||||
|
| |||||||||||||||||||
11,304,730 | ||||||||||||||||||||
|
| |||||||||||||||||||
MATERIALS – 8.8% | ||||||||||||||||||||
Anglo American Capital PLC (Metals & Mining) | (a | ) | 3.750% | 04/10/2022 | 1,000,000 | 992,810 | ||||||||||||||
Anglo American Capital PLC (Metals & Mining) | (a | ) | 4.750% | 04/10/2027 | 1,000,000 | 985,583 | ||||||||||||||
Anglo American Capital PLC (Metals & Mining) | (a | ) | 4.000% | 09/11/2027 | 900,000 | 837,603 | ||||||||||||||
Dow Chemical Co. / The (Chemicals) | 4.250% | 10/01/2034 | 1,900,000 | 1,825,236 | ||||||||||||||||
FMC Corp. (Chemicals) | 3.950% | 02/01/2022 | 1,000,000 | 1,003,731 | ||||||||||||||||
Kinross Gold Corp. (Metals & Mining) | (a | ) | 4.500% | 07/15/2027 | 2,900,000 | 2,660,750 | ||||||||||||||
Martin Marietta Materials, Inc. (Construction Materials) | 3.500% | 12/15/2027 | 4,000,000 | 3,710,141 | ||||||||||||||||
Martin Marietta Materials, Inc. (Construction Materials) | 4.250% | 12/15/2047 | 1,000,000 | 865,952 | ||||||||||||||||
Mosaic Co. / The (Chemicals) | 4.050% | 11/15/2027 | 3,000,000 | 2,865,817 | ||||||||||||||||
Packaging Corp. of America (Containers & Packaging) | 2.450% | 12/15/2020 | 2,000,000 | 1,956,747 | ||||||||||||||||
Packaging Corp. of America (Containers & Packaging) | 3.400% | 12/15/2027 | 2,000,000 | 1,885,564 | ||||||||||||||||
RPM International, Inc. (Chemicals) | 4.250% | 01/15/2048 | 3,000,000 | 2,712,838 | ||||||||||||||||
Syngenta Finance N.V. (Chemicals) | (a | ) | 5.182% | 04/24/2028 | 1,000,000 | 965,461 | ||||||||||||||
Yamana Gold, Inc. (Metals & Mining) | 4.625% | 12/15/2027 | 2,800,000 | 2,681,762 | ||||||||||||||||
|
| |||||||||||||||||||
25,949,995 | ||||||||||||||||||||
|
| |||||||||||||||||||
REAL ESTATE – 8.1% | ||||||||||||||||||||
Alexandria Real Estate Equities, Inc. (Equity REIT) | 3.950% | 01/15/2028 | 900,000 | 864,219 | ||||||||||||||||
Boston Properties LP (Equity REIT) | 3.125% | 09/01/2023 | 925,000 | 899,273 | ||||||||||||||||
Camden Property Trust (Equity REIT) | 4.250% | 01/15/2024 | 900,000 | 916,656 | ||||||||||||||||
Crown Castle International Corp. (Equity REIT) | 4.000% | 03/01/2027 | 1,800,000 | 1,732,165 | ||||||||||||||||
DDR Corp. (Equity REIT) | 3.625% | 02/01/2025 | 1,721,000 | 1,632,598 | ||||||||||||||||
Federal Realty Investment Trust (Equity REIT) | 3.000% | 08/01/2022 | 1,425,000 | 1,393,384 | ||||||||||||||||
Federal Realty Investment Trust (Equity REIT) | 3.250% | 07/15/2027 | 4,800,000 | 4,492,275 | ||||||||||||||||
HCP, Inc. (Equity REIT) | 4.000% | 06/01/2025 | 1,500,000 | 1,467,460 | ||||||||||||||||
Healthcare Realty Trust, Inc. (Equity REIT) | 3.875% | 05/01/2025 | 1,400,000 | 1,365,335 | ||||||||||||||||
Healthcare Realty Trust, Inc. (Equity REIT) | 3.625% | 01/15/2028 | 1,000,000 | 936,031 | ||||||||||||||||
Hospitality Properties Trust (Equity REIT) | 4.250% | 02/15/2021 | 1,000,000 | 1,006,650 | ||||||||||||||||
Kilroy Realty LP (Equity REIT) | 3.450% | 12/15/2024 | 1,000,000 | 959,600 | ||||||||||||||||
Public Storage (Equity REIT) | 3.094% | 09/15/2027 | 900,000 | 846,371 | ||||||||||||||||
Simon Property Group LP (Equity REIT) | 3.750% | 02/01/2024 | 1,475,000 | 1,469,602 | ||||||||||||||||
Vornado Realty LP (Equity REIT) | 3.500% | 01/15/2025 | 3,000,000 | 2,871,204 | ||||||||||||||||
Welltower, Inc. (Equity REIT) | 4.250% | 04/01/2026 | 1,000,000 | 989,122 | ||||||||||||||||
|
| |||||||||||||||||||
23,841,945 | ||||||||||||||||||||
|
| |||||||||||||||||||
TELECOMMUNICATION SERVICES – 1.4% | ||||||||||||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 3.400% | 05/15/2025 | 900,000 | 846,416 | ||||||||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | (a | ) | 4.900% | 08/15/2037 | 1,000,000 | 948,344 | ||||||||||||||
Rogers Communications, Inc. (Wireless Telecom. Svs.) | 3.000% | 03/15/2023 | 700,000 | 683,144 | ||||||||||||||||
Verizon Communications, Inc. (Diversified Telecom. Svs.) | (a | ) | 4.329% | 09/21/2028 | 1,302,000 | 1,290,372 | ||||||||||||||
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 3.850% | 11/01/2042 | 425,000 | 354,634 | ||||||||||||||||
|
| |||||||||||||||||||
4,122,910 | ||||||||||||||||||||
|
| |||||||||||||||||||
UTILITIES – 8.9% | ||||||||||||||||||||
AEP Transmission Co., LLC (Electric Utilities) | 4.000% | 12/01/2046 | 900,000 | 878,023 | ||||||||||||||||
American Water Capital Corp. (Water Utilities) | 4.300% | 12/01/2042 | 1,400,000 | 1,429,979 | ||||||||||||||||
Appalachian Power Co. (Electric Utilities) | 4.600% | 03/30/2021 | 1,000,000 | 1,029,076 | ||||||||||||||||
Berkshire Hathaway Energy Co. (Multi-Utilities) | 3.250% | 04/15/2028 | 1,900,000 | 1,806,243 | ||||||||||||||||
Commonwealth Edison Co. (Electric Utilities) | 4.350% | 11/15/2045 | 900,000 | 918,058 | ||||||||||||||||
DTE Electric Co. (Electric Utilities) | 3.375% | 03/01/2025 | 1,000,000 | 985,735 | ||||||||||||||||
Duke Energy Corp. (Electric Utilities) | 3.750% | 09/01/2046 | 900,000 | 796,681 | ||||||||||||||||
Duke Energy Florida, LLC (Electric Utilities) | 2.100% | 12/15/2019 | 1,500,000 | 1,491,061 | ||||||||||||||||
Duke Energy Florida, LLC (Electric Utilities) | 4.550% | 04/01/2020 | 500,000 | 512,862 | ||||||||||||||||
Eversource Energy (Electric Utilities) | 3.300% | 01/15/2028 | 3,000,000 | 2,832,499 | ||||||||||||||||
ITC Holdings Corp. (Electric Utilities) | 3.650% | 06/15/2024 | 500,000 | 493,410 | ||||||||||||||||
LG&E & KU Energy LLC (Electric Utilities) | 4.375% | 10/01/2021 | 1,000,000 | 1,024,479 | ||||||||||||||||
NextEra Energy Capital Holdings, Inc. (Electric Utilities) | 1.649% | 09/01/2018 | 900,000 | 898,024 |
10 | (continued) |
Ohio National Fund, Inc. | ON Bond Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||||
UTILITIES (continued) | ||||||||||||||||||||
NextEra Energy Capital Holdings, Inc. (Electric Utilities) | 2.800% | 01/15/2023 | $ | 3,000,000 | $ | 2,899,133 | ||||||||||||||
Public Service Electric & Gas Co. (Multi-Utilities) | 3.600% | 12/01/2047 | 3,000,000 | 2,759,227 | ||||||||||||||||
South Carolina Electric & Gas Co. (Electric Utilities) | 4.350% | 02/01/2042 | 1,000,000 | 948,530 | ||||||||||||||||
Southern Co. Gas Capital Corp. (Gas Utilities) | 5.250% | 08/15/2019 | 1,000,000 | 1,022,709 | ||||||||||||||||
Southwest Gas Corp. (Gas Utilities) | 3.875% | 04/01/2022 | 1,250,000 | 1,247,457 | ||||||||||||||||
Virginia Electric & Power Co. (Electric Utilities) | 3.450% | 02/15/2024 | 1,255,000 | 1,244,847 | ||||||||||||||||
Xcel Energy, Inc. (Electric Utilities) | 4.700% | 05/15/2020 | 1,000,000 | 1,021,475 | ||||||||||||||||
|
| |||||||||||||||||||
26,239,508 | ||||||||||||||||||||
|
| |||||||||||||||||||
Total Corporate Bonds (Cost $288,685,718) | $ | 279,970,728 | ||||||||||||||||||
|
| |||||||||||||||||||
Asset-Backed Securities – 2.6% | Rate | Maturity | Face Amount | Value | ||||||||||||||||
INDUSTRIALS – 2.6% | ||||||||||||||||||||
Air Canada 2017-1 Class B Pass Through Trust | (a | ) | 3.700% | 01/15/2026 | $ | 2,500,000 | $ | 2,381,250 | ||||||||||||
American Airlines 2015-1 Class B Pass Through Trust | 3.700% | 05/01/2023 | 3,467,251 | 3,381,653 | ||||||||||||||||
United Airlines 2016-1 Class B Pass Through Trust | 3.650% | 01/07/2026 | 1,800,000 | 1,751,404 | ||||||||||||||||
|
| |||||||||||||||||||
Total Asset-Backed Securities (Cost $7,771,027) | $ | 7,514,307 | ||||||||||||||||||
|
| |||||||||||||||||||
Sovereign Issues – 1.0% | Rate | Maturity | Face Amount | Value | ||||||||||||||||
Mexico Government International Bond | 3.750% | 01/11/2028 | $ | 3,000,000 | $ | 2,836,500 | ||||||||||||||
|
| |||||||||||||||||||
Total Sovereign Issues (Cost $2,987,635) | $ | 2,836,500 | ||||||||||||||||||
|
| |||||||||||||||||||
Money Market Funds – 1.5% | Shares | Value | ||||||||||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 4,425,419 | $ | 4,425,419 | |||||||||||||||||
|
| |||||||||||||||||||
Total Money Market Funds (Cost $4,425,861) | $ | 4,425,419 | ||||||||||||||||||
|
| |||||||||||||||||||
Total Investments – 100.2% (Cost $303,870,241) | (c | ) | $ | 294,746,954 | ||||||||||||||||
Liabilities in Excess of Other Assets �� (0.2)% | (459,055 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Net Assets – 100.0% | $ | 294,287,899 | ||||||||||||||||||
|
|
Percentages are stated as a percent of net assets.
Abbreviations:
QL: Quarterly U.S. LIBOR Rate, 2.336% on 06/30/2018
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 June 30, 2018, the value of these securities totaled $24,639,995, or 8.4% 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. |
(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, including interest rate caps and floors, if any, are those in effect at June 30, 2018. |
(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. | ON Omni Portfolio (Unaudited) |
Objective/Strategy |
The ON Omni Portfolio (formerly 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 June 30, 2018 |
Average Annual returns | ||||
One year | 10.49% | |||
Five years | 12.57% | |||
Ten years | 9.05% |
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, 2018. Additional information pertaining to the Portfolio’s expense ratio as of June 30, 2018 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 six-month period ended June 30, 2018, the ON Omni Portfolio returned -0.18% versus 0.95% for its benchmark, which is comprised of 70% S&P 500 Index and 30% ICE 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. While market concerns regarding the impacts from trade conflicts between the United States and China, the NAFTA nations, and the European Union affected the performance of the Omni Portfolio and the benchmark, stock selection contributed significantly to the underperformance in the first half of the year within the equity portion of the Portfolio. For the fixed income portion of the Portfolio, higher interest rates and wider corporate bond spreads negatively impacted the absolute return of fixed income investments. However, sector selection added to performance vs. the fixed income 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 security selection, was there anything specific regarding the Portfolio’s strategy that caused deviation from the benchmark?
A. For the equity portion of the Portfolio, stock selections in Industrials and Consumer Staples contributed to relative performance, while top detractors were stock selections within Information Technology and Consumer Discretionary. Sector allocation, overall, was a slight contributor to relative performance. For the fixed income portion, the
allocation to sovereign issues, as well as the Telecommunication Services and Consumer Discretionary sectors benefited performance vs. the benchmark, while allocations to the Utilities and Industrials sectors detracted from performance. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. Top contributors for the equity portion of the Portfolio included Amazon.com, Inc., as it reported significant profit upside, in part driven by upside in a new advertising growth driver. QUALCOMM, Inc. contributed, as the Chinese government restarted its review of QUALCOMM, Inc.’s acquisition of NXP Semiconductors N.V. after delays due to trade tensions. CSX Corp. was another top contributor, as it announced that it is on track to meet or exceed long-term operating margin goals despite a rocky start in 2017. Top contributors for the fixed income portion of the Portfolio included Spectra Energy Capital, LLC 3.300% due 2023, AT&T, Inc. 3.900% due 2027, and U.S. Treasury Note 2.000% due 2024. Spectra Energy Capital, LLC bonds were called with a make-whole premium during the period. Likewise, AT&T, Inc. bonds were called under a special mandatory redemption provision. The U.S. Treasury Note bonds performed well vs. the benchmark because the credit spread on U.S. Treasury Notes did not widen like the benchmark did during the period. (1)
Top detractors for the equity portion of the Portfolio included CommScope Holding Co., Inc., as its management lowered guidance significantly due to significant price concessions to win contracts. Lincoln National Corp. detracted on underperformance similar to its life insurance peer group, and fear of impacts from trade conflicts drove declines in longer-term U.S. interest rates. Another top detractor, Norwegian Cruise Line Holdings Ltd. had a relatively weak recovery in Eastern Caribbean bookings after the 2017 hurricanes. Top detractors for the fixed income portion of the Portfolio included American International Group, Inc. 3.875% due 2035, Duke Energy Corp. 3.750% due 2046, and General Motors Co. 5.000% due 2035. Each of these bonds is a longer duration bond, which performed poorly with higher interest rates, and experienced spread widening during the period. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2018. |
12 | (continued) |
Ohio National Fund, Inc. | ON 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 ICE 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 June 30, 2018 (1) |
% of Net Assets | ||||
Common Stocks (4) | 79.2 | |||
Corporate Bonds (4) | 18.3 | |||
U.S. Treasury Obligations | 1.1 | |||
Asset-Backed Securities (4) | 0.5 | |||
Money Market Funds | ||||
Less Net Liabilities | 0.9 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of June 30, 2018 (1) (2) (3) |
% of Net Assets | ||||||
1. | Amazon.com, Inc. | 3.9 | ||||
2. | Apple, Inc. | 2.6 | ||||
3. | Alphabet, Inc. Class C | 2.3 | ||||
4. | CBS Corp. Class B | 2.1 | ||||
5. | Marvell Technology Group Ltd. | 2.1 | ||||
6. | AT&T, Inc. | 2.0 | ||||
7. | Bank of America Corp. | 2.0 | ||||
8. | Facebook, Inc. Class A | 1.9 | ||||
9. | Citigroup, Inc. | 1.9 | ||||
10. | Goldman Sachs Group, Inc. / The | 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, Corporate Bonds, Asset-Backed Securities): |
% of Net Assets | ||||
Financials | 19.2 | |||
Consumer Discretionary | 16.8 | |||
Industrials | 15.3 | |||
Information Technology | 14.8 | |||
Consumer Staples | 9.8 | |||
Health Care | 8.4 | |||
Energy | 5.9 | |||
Materials | 2.7 | |||
Telecommunication Services | 2.3 | |||
Real Estate | 1.6 | |||
Utilities | 1.2 | |||
|
| |||
98.0 | ||||
|
|
13
Ohio National Fund, Inc. | ON Omni Portfolio |
Schedule of Investments | June 30, 2018 (Unaudited) |
Common Stocks – 79.2% | Shares | Value | ||||||||||
CONSUMER DISCRETIONARY – 14.9% | ||||||||||||
Amazon.com, Inc. (Internet & Direct Marketing Retail) | (a | ) | 1,536 | $ 2,610,893 | ||||||||
CBS Corp. Class B (Media) | 25,239 | 1,418,937 | ||||||||||
General Motors Co. (Automobiles) | 18,102 | 713,219 | ||||||||||
McDonald’s Corp. (Hotels, Restaurants & Leisure) | 6,626 | 1,038,228 | ||||||||||
Norwegian Cruise Line Holdings Ltd. (Hotels, Restaurants & Leisure) | (a | ) | 20,204 | 954,639 | ||||||||
PVH Corp. (Textiles, Apparel & Luxury Goods) | 6,821 | 1,021,240 | ||||||||||
Tapestry, Inc. (Textiles, Apparel & Luxury Goods) | 23,481 | 1,096,797 | ||||||||||
Walt Disney Co. / The (Media) | 10,025 | 1,050,720 | ||||||||||
|
| |||||||||||
9,904,673 | ||||||||||||
|
| |||||||||||
CONSUMER STAPLES – 9.3% | ||||||||||||
Coca-Cola Co. / The (Beverages) | 24,722 | 1,084,307 | ||||||||||
Conagra Brands, Inc. (Food Products) | 26,314 | 940,199 | ||||||||||
Kraft Heinz Co. / The (Food Products) | 16,749 | 1,052,172 | ||||||||||
Mondelez International, Inc. Class A (Food Products) | 24,338 | 997,858 | ||||||||||
PepsiCo, Inc. (Beverages) | 9,667 | 1,052,446 | ||||||||||
Walmart, Inc. (Food & Staples Retailing) | 12,284 | 1,052,125 | ||||||||||
|
| |||||||||||
6,179,107 | ||||||||||||
|
| |||||||||||
ENERGY – 3.2% | ||||||||||||
EOG Resources, Inc. (Oil, Gas & Consumable Fuels) | 8,867 | 1,103,321 | ||||||||||
Pioneer Natural Resources Co. (Oil, Gas & Consumable Fuels) | 5,539 | 1,048,200 | ||||||||||
|
| |||||||||||
2,151,521 | ||||||||||||
|
| |||||||||||
FINANCIALS – 13.1% | ||||||||||||
Bank of America Corp. (Banks) | 46,271 | 1,304,380 | ||||||||||
Capital One Financial Corp. (Consumer Finance) | 11,259 | 1,034,702 | ||||||||||
Citigroup, Inc. (Banks) | 19,062 | 1,275,629 | ||||||||||
Goldman Sachs Group, Inc. / The (Capital Markets) | 5,504 | 1,214,017 | ||||||||||
JPMorgan Chase & Co. (Banks) | 9,550 | 995,110 | ||||||||||
Lincoln National Corp. (Insurance) | 13,945 | 868,076 | ||||||||||
MetLife, Inc. (Insurance) | 23,549 | 1,026,736 | ||||||||||
Morgan Stanley (Capital Markets) | 21,125 | 1,001,325 | ||||||||||
|
| |||||||||||
8,719,975 | ||||||||||||
|
| |||||||||||
HEALTH CARE – 7.7% | ||||||||||||
Aerie Pharmaceuticals, Inc. (Pharmaceuticals) | (a | ) | 14,748 | 996,227 | ||||||||
Aetna, Inc. (Health Care Providers & Svs.) | 5,851 | 1,073,659 | ||||||||||
Celgene Corp. (Biotechnology) | (a | ) | 13,555 | 1,076,538 | ||||||||
Loxo Oncology, Inc. (Biotechnology) | (a | ) | 3,863 | 670,153 | ||||||||
Sage Therapeutics, Inc. (Biotechnology) | (a | ) | 5,727 | 896,447 | ||||||||
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 1,667 | 408,982 | ||||||||||
|
| |||||||||||
5,122,006 | ||||||||||||
|
| |||||||||||
INDUSTRIALS – 13.8% | ||||||||||||
Boeing Co. / The (Aerospace & Defense) | 3,495 | 1,172,607 | ||||||||||
Deere & Co. (Machinery) | 7,650 | 1,069,470 | ||||||||||
Evoqua Water Technologies Corp. (Machinery) | (a | ) | 37,338 | 765,429 | ||||||||
FedEx Corp. (Air Freight & Logistics) | 4,360 | 989,982 | ||||||||||
Kansas City Southern (Road & Rail) | 9,746 | 1,032,686 | ||||||||||
Quanta Services, Inc. (Construction & Engineering) | (a | ) | 31,271 | 1,044,451 | ||||||||
Rockwell Automation, Inc. (Electrical Equip.) | 6,263 | 1,041,099 | ||||||||||
Union Pacific Corp. (Road & Rail) | 7,637 | 1,082,010 | ||||||||||
XPO Logistics, Inc. (Air Freight & Logistics) | (a | ) | 9,999 | 1,001,700 | ||||||||
|
| |||||||||||
9,199,434 | ||||||||||||
|
| |||||||||||
INFORMATION TECHNOLOGY – 13.5% | ||||||||||||
Alphabet, Inc. Class C (Internet Software & Svs.) | (a | ) | 1,356 | 1,512,821 | ||||||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 9,261 | 1,714,304 | ||||||||||
Broadcom, Inc. (Semiconductors & Equip.) | 4,230 | 1,026,367 | ||||||||||
Facebook, Inc. Class A (Internet Software & Svs.) | (a | ) | 6,701 | 1,302,138 | ||||||||
Marvell Technology Group Ltd. (Semiconductors & Equip.) | 64,222 | 1,376,920 | ||||||||||
Microsoft Corp. (Software) | 5,539 | 546,201 | ||||||||||
NVIDIA Corp. (Semiconductors & Equip.) | 2,281 | 540,369 | ||||||||||
Xilinx, Inc. (Semiconductors & Equip.) | 14,049 | 916,838 | ||||||||||
|
| |||||||||||
8,935,958 | ||||||||||||
|
| |||||||||||
MATERIALS – 1.7% | ||||||||||||
DowDuPont, Inc. (Chemicals) | 16,667 | 1,098,689 | ||||||||||
|
|
14 | (continued) |
Ohio National Fund, Inc. | ON Omni Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
Common Stocks (Continued) | Shares | Value | |||||||||||||||||||||||
TELECOMMUNICATION SERVICES – 2.0% | |||||||||||||||||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 41,469 | $ 1,331,570 | |||||||||||||||||||||||
|
| ||||||||||||||||||||||||
Total Common Stocks (Cost $50,277,148) | $52,642,933 | ||||||||||||||||||||||||
|
| ||||||||||||||||||||||||
Corporate Bonds – 18.3% | Rate | Maturity | Face Amount | Value | |||||||||||||||||||||
CONSUMER DISCRETIONARY – 1.9% | |||||||||||||||||||||||||
21st Century Fox America, Inc. (Media) | 4.500% | 02/15/2021 | $100,000 | $ 102,709 | |||||||||||||||||||||
Amazon.com, Inc. (Internet & Direct Marketing Retail) | 3.875% | 08/22/2037 | 100,000 | 97,544 | |||||||||||||||||||||
Booking Holdings, Inc. (Internet & Direct Marketing Retail) | 3.550% | 03/15/2028 | 200,000 | 190,289 | |||||||||||||||||||||
Discovery Communications, LLC (Media) | 3.950% | 03/20/2028 | 100,000 | 94,664 | |||||||||||||||||||||
General Motors Co. (Automobiles) | 5.000% | 04/01/2035 | 100,000 | 94,653 | |||||||||||||||||||||
Lear Corp. (Auto Components) | 5.250% | 01/15/2025 | 222,000 | 228,270 | |||||||||||||||||||||
Newell Brands, Inc. (Household Durables) | 3.150% | 04/01/2021 | 100,000 | 99,065 | |||||||||||||||||||||
Time Warner Cable LLC (Media) | 6.550% | 05/01/2037 | 150,000 | 159,039 | |||||||||||||||||||||
Viacom, Inc. (Media) | 4.250% | 09/01/2023 | 75,000 | 74,368 | |||||||||||||||||||||
Wyndham Destinations, Inc. (Hotels, Restaurants & Leisure) | 4.150% | 04/01/2024 | 100,000 | 98,375 | |||||||||||||||||||||
|
| ||||||||||||||||||||||||
1,238,976 | |||||||||||||||||||||||||
|
| ||||||||||||||||||||||||
CONSUMER STAPLES – 0.5% | |||||||||||||||||||||||||
Anheuser-Busch InBev Finance, Inc. (Beverages) | 4.700% | 02/01/2036 | 100,000 | 101,287 | |||||||||||||||||||||
Mead Johnson Nutrition Co. (Food Products) | 3.000% | 11/15/2020 | 100,000 | 99,579 | |||||||||||||||||||||
Philip Morris International, Inc. (Tobacco) | 3.375% | 08/11/2025 | 100,000 | 97,211 | |||||||||||||||||||||
|
| ||||||||||||||||||||||||
298,077 | |||||||||||||||||||||||||
|
| ||||||||||||||||||||||||
ENERGY – 2.7% | |||||||||||||||||||||||||
BP Capital Markets PLC (Oil, Gas & Consumable Fuels) | 3.017% | 01/16/2027 | 100,000 | 94,536 | |||||||||||||||||||||
Canadian Natural Resources Ltd. (Oil, Gas & Consumable Fuels) | 4.950% | 06/01/2047 | 100,000 | 103,130 | |||||||||||||||||||||
Chevron Corp. (Oil, Gas & Consumable Fuels) | 2.895% | 03/03/2024 | 100,000 | 97,233 | |||||||||||||||||||||
Columbia Pipeline Group, Inc. (Oil, Gas & Consumable Fuels) | 4.500% | 06/01/2025 | 100,000 | 100,082 | |||||||||||||||||||||
EOG Resources, Inc. (Oil, Gas & Consumable Fuels) | 3.150% | 04/01/2025 | 100,000 | 95,856 | |||||||||||||||||||||
EQT Midstream Partners LP (Oil, Gas & Consumable Fuels) | 4.750% | 07/15/2023 | 100,000 | 99,805 | |||||||||||||||||||||
Exxon Mobil Corp. (Oil, Gas & Consumable Fuels) | 4.114% | 03/01/2046 | 100,000 | 101,698 | |||||||||||||||||||||
Halliburton Co. (Energy Equip. & Svs.) | 4.850% | 11/15/2035 | 100,000 | 103,344 | |||||||||||||||||||||
Kinder Morgan Energy Partners LP (Oil, Gas & Consumable Fuels) | 4.150% | 03/01/2022 | 75,000 | 75,836 | |||||||||||||||||||||
Magellan Midstream Partners LP (Oil, Gas & Consumable Fuels) | 6.400% | 07/15/2018 | 150,000 | 150,173 | |||||||||||||||||||||
Marathon Oil Corp. (Oil, Gas & Consumable Fuels) | 3.850% | 06/01/2025 | 150,000 | 147,505 | |||||||||||||||||||||
Murphy Oil Corp. (Oil, Gas & Consumable Fuels) | 4.450% | 12/01/2022 | 100,000 | 98,491 | |||||||||||||||||||||
ONEOK, Inc. (Oil, Gas & Consumable Fuels) | 4.000% | 07/13/2027 | 150,000 | 145,086 | |||||||||||||||||||||
Shell International Finance BV (Oil, Gas & Consumable Fuels) | 4.000% | 05/10/2046 | 100,000 | 96,767 | |||||||||||||||||||||
TransCanada PipeLines Ltd. (Oil, Gas & Consumable Fuels) | 2.500% | 08/01/2022 | 75,000 | 72,034 | |||||||||||||||||||||
Williams Partners LP (Oil, Gas & Consumable Fuels) | 3.350% | 08/15/2022 | 109,000 | 106,494 | |||||||||||||||||||||
Williams Partners LP (Oil, Gas & Consumable Fuels) | 5.400% | 03/04/2044 | 100,000 | 102,968 | |||||||||||||||||||||
|
| ||||||||||||||||||||||||
1,791,038 | |||||||||||||||||||||||||
|
| ||||||||||||||||||||||||
FINANCIALS – 6.1% | |||||||||||||||||||||||||
Aflac, Inc. (Insurance) | 3.625% | 06/15/2023 | 75,000 | 75,246 | |||||||||||||||||||||
American International Group, Inc. (Insurance) | 3.875% | 01/15/2035 | 100,000 | 88,794 | |||||||||||||||||||||
Bank of America Corp. (Banks) | 3.875% | 08/01/2025 | 150,000 | 149,203 | |||||||||||||||||||||
Bank of Montreal (Banks) | (b | ) | 3.803% | 12/15/2032 | 200,000 | 185,262 | |||||||||||||||||||
Bank of New York Mellon Corp. / The (Capital Markets) | 3.300% | 08/23/2029 | 200,000 | 185,842 | |||||||||||||||||||||
Berkshire Hathaway, Inc. (Diversified Financial Svs.) | 3.125% | 03/15/2026 | 100,000 | 96,318 | |||||||||||||||||||||
Branch Banking & Trust Co. (Banks) | 3.625% | 09/16/2025 | 100,000 | 98,397 | |||||||||||||||||||||
Capital One Financial Corp. (Consumer Finance) | 2.450% | 04/24/2019 | 200,000 | 199,420 | |||||||||||||||||||||
Citigroup, Inc. (Banks) | 4.400% | 06/10/2025 | 100,000 | 99,424 | |||||||||||||||||||||
Comerica, Inc. (Banks) | 3.800% | 07/22/2026 | 100,000 | 97,446 | |||||||||||||||||||||
Deutsche Bank AG (Capital Markets) | 2.700% | 07/13/2020 | 200,000 | 194,502 | |||||||||||||||||||||
E*TRADE Financial Corp. (Capital Markets) | 2.950% | 08/24/2022 | 200,000 | 193,678 | |||||||||||||||||||||
Ford Motor Credit Co. LLC (Consumer Finance) | 3.157% | 08/04/2020 | 100,000 | 99,381 | |||||||||||||||||||||
General Motors Financial Co., Inc. (Consumer Finance) | 3.200% | 07/06/2021 | 100,000 | 98,691 | |||||||||||||||||||||
Goldman Sachs Group, Inc. / The (Capital Markets) | 3.750% | 05/22/2025 | 100,000 | 97,596 | |||||||||||||||||||||
Intercontinental Exchange, Inc. (Capital Markets) | 2.750% | 12/01/2020 | 100,000 | 99,012 | |||||||||||||||||||||
Jefferies Group LLC / Jefferies Group Capital Finance, Inc. (Diversified Financial Svs.) | 4.850% | 01/15/2027 | 200,000 | 194,055 | |||||||||||||||||||||
JPMorgan Chase & Co. (Banks) | 3.250% | 09/23/2022 | 100,000 | 99,043 | |||||||||||||||||||||
JPMorgan Chase & Co. (Banks) | 3.625% | 12/01/2027 | 200,000 | 188,073 | |||||||||||||||||||||
Marsh & McLennan Cos., Inc. (Insurance) | 3.500% | 06/03/2024 | 100,000 | 98,943 | |||||||||||||||||||||
Mellon Funding Corp. (Capital Markets) | 5.500% | 11/15/2018 | 100,000 | 101,033 | |||||||||||||||||||||
Morgan Stanley (Capital Markets) | 3.750% | 02/25/2023 | 75,000 | 75,061 | |||||||||||||||||||||
Morgan Stanley (Capital Markets) | 3.950% | 04/23/2027 | 100,000 | 95,294 | |||||||||||||||||||||
Nasdaq, Inc. (Capital Markets) | 3.850% | 06/30/2026 | 100,000 | 96,811 | |||||||||||||||||||||
Northern Trust Corp. (Capital Markets) | 3.950% | 10/30/2025 | 75,000 | 76,336 |
15 | (continued) |
Ohio National Fund, Inc. | ON Omni Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |||||||||||||||||||||
FINANCIALS (continued) | |||||||||||||||||||||||||
PNC Bank N.A. (Banks) | 3.250% | 06/01/2025 | $195,000 | $ 189,584 | |||||||||||||||||||||
Progressive Corp. / The (Insurance) | 2.450% | 01/15/2027 | 100,000 | 90,254 | |||||||||||||||||||||
Synchrony Financial (Consumer Finance) | 4.250% | 08/15/2024 | 100,000 | 97,991 | |||||||||||||||||||||
TD Ameritrade Holding Corp. (Capital Markets) | 3.300% | 04/01/2027 | 150,000 | 143,076 | |||||||||||||||||||||
Teachers Insurance & Annuity Association of America (Insurance) | (c | ) | 4.270% | 05/15/2047 | 100,000 | 95,553 | |||||||||||||||||||
Wells Fargo & Co. (Banks) | 3.500% | 03/08/2022 | 75,000 | 74,736 | |||||||||||||||||||||
Wells Fargo & Co. (Banks) | 3.000% | 04/22/2026 | 100,000 | 92,952 | |||||||||||||||||||||
Westpac Banking Corp. (Banks) | (b | ) | 4.322% | 11/23/2031 | 200,000 | 192,635 | |||||||||||||||||||
|
| ||||||||||||||||||||||||
4,059,642 | |||||||||||||||||||||||||
|
| ||||||||||||||||||||||||
HEALTH CARE – 0.7% | |||||||||||||||||||||||||
AbbVie, Inc. (Biotechnology) | 2.900% | 11/06/2022 | 150,000 | 145,513 | |||||||||||||||||||||
Baxalta, Inc. (Biotechnology) | 4.000% | 06/23/2025 | 100,000 | 97,868 | |||||||||||||||||||||
Celgene Corp. (Biotechnology) | 3.875% | 08/15/2025 | 150,000 | 145,719 | |||||||||||||||||||||
Pfizer, Inc. (Pharmaceuticals) | 3.000% | 12/15/2026 | 100,000 | 96,027 | |||||||||||||||||||||
|
| ||||||||||||||||||||||||
485,127 | |||||||||||||||||||||||||
|
| ||||||||||||||||||||||||
INDUSTRIALS – 1.0% | |||||||||||||||||||||||||
Burlington Northern Santa Fe, LLC (Road & Rail) | 4.550% | 09/01/2044 | 100,000 | 103,862 | |||||||||||||||||||||
FedEx Corp. (Air Freight & Logistics) | 4.900% | 01/15/2034 | 75,000 | 78,945 | |||||||||||||||||||||
Lockheed Martin Corp. (Aerospace & Defense) | 3.600% | 03/01/2035 | 100,000 | 92,982 | |||||||||||||||||||||
Norfolk Southern Corp. (Road & Rail) | 3.000% | 04/01/2022 | 75,000 | 74,139 | |||||||||||||||||||||
Northrop Grumman Corp. (Aerospace & Defense) | 2.930% | 01/15/2025 | 100,000 | 94,919 | |||||||||||||||||||||
Parker-Hannifin Corp. (Machinery) | 4.200% | 11/21/2034 | 100,000 | 101,678 | |||||||||||||||||||||
Union Pacific Corp. (Road & Rail) | 3.250% | 08/15/2025 | 100,000 | 97,160 | |||||||||||||||||||||
|
| ||||||||||||||||||||||||
643,685 | |||||||||||||||||||||||||
|
| ||||||||||||||||||||||||
INFORMATION TECHNOLOGY – 1.3% | |||||||||||||||||||||||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 2.500% | 02/09/2025 | 100,000 | 94,001 | |||||||||||||||||||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 3.350% | 02/09/2027 | 100,000 | 97,614 | |||||||||||||||||||||
Hewlett Packard Enterprise Co. (Tech. Hardware, Storage & Periph.) | 4.900% | 10/15/2025 | 150,000 | 153,059 | |||||||||||||||||||||
KLA-Tencor Corp. (Semiconductors & Equip.) | 3.375% | 11/01/2019 | 100,000 | 100,371 | |||||||||||||||||||||
Microsoft Corp. (Software) | 4.100% | 02/06/2037 | 100,000 | 104,118 | |||||||||||||||||||||
Microsoft Corp. (Software) | 4.450% | 11/03/2045 | 100,000 | 107,400 | |||||||||||||||||||||
Oracle Corp. (Software) | 4.300% | 07/08/2034 | 100,000 | 101,877 | |||||||||||||||||||||
Seagate HDD Cayman (Tech. Hardware, Storage & Periph.) | 4.875% | 03/01/2024 | 100,000 | 98,019 | |||||||||||||||||||||
|
| ||||||||||||||||||||||||
856,459 | |||||||||||||||||||||||||
|
| ||||||||||||||||||||||||
MATERIALS – 1.0% | |||||||||||||||||||||||||
Anglo American Capital PLC (Metals & Mining) | (c | ) | 4.000% | 09/11/2027 | 100,000 | 93,067 | |||||||||||||||||||
CF Industries, Inc. (Chemicals) | 3.450% | 06/01/2023 | 75,000 | 70,968 | |||||||||||||||||||||
Dow Chemical Co. / The (Chemicals) | 4.250% | 10/01/2034 | 100,000 | 96,065 | |||||||||||||||||||||
Kinross Gold Corp. (Metals & Mining) | (c | ) | 4.500% | 07/15/2027 | 100,000 | 91,750 | |||||||||||||||||||
Mosaic Co. / The (Chemicals) | 4.050% | 11/15/2027 | 100,000 | 95,527 | |||||||||||||||||||||
Yamana Gold, Inc. (Metals & Mining) | 4.625% | 12/15/2027 | 200,000 | 191,555 | |||||||||||||||||||||
|
| ||||||||||||||||||||||||
638,932 | |||||||||||||||||||||||||
|
| ||||||||||||||||||||||||
REAL ESTATE – 1.6% | |||||||||||||||||||||||||
Alexandria Real Estate Equities, Inc. (Equity REIT) | 3.950% | 01/15/2028 | 100,000 | 96,024 | |||||||||||||||||||||
Boston Properties LP (Equity REIT) | 3.125% | 09/01/2023 | 75,000 | 72,914 | |||||||||||||||||||||
Camden Property Trust (Equity REIT) | 4.250% | 01/15/2024 | 100,000 | 101,851 | |||||||||||||||||||||
Crown Castle International Corp. (Equity REIT) | 4.000% | 03/01/2027 | 200,000 | 192,463 | |||||||||||||||||||||
Federal Realty Investment Trust (Equity REIT) | 3.000% | 08/01/2022 | 75,000 | 73,336 | |||||||||||||||||||||
Federal Realty Investment Trust (Equity REIT) | 3.250% | 07/15/2027 | 200,000 | 187,178 | |||||||||||||||||||||
HCP, Inc. (Equity REIT) | 4.000% | 06/01/2025 | 100,000 | 97,831 | |||||||||||||||||||||
Healthcare Realty Trust, Inc. (Equity REIT) | 3.875% | 05/01/2025 | 100,000 | 97,524 | |||||||||||||||||||||
Public Storage (Equity REIT) | 3.094% | 09/15/2027 | 100,000 | 94,041 | |||||||||||||||||||||
Simon Property Group LP (Equity REIT) | 3.750% | 02/01/2024 | 75,000 | 74,725 | |||||||||||||||||||||
|
| ||||||||||||||||||||||||
1,087,887 | |||||||||||||||||||||||||
|
| ||||||||||||||||||||||||
TELECOMMUNICATION SERVICES – 0.3% | |||||||||||||||||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 3.400% | 05/15/2025 | 100,000 | 94,046 | |||||||||||||||||||||
Rogers Communications, Inc. (Wireless Telecom. Svs.) | 3.000% | 03/15/2023 | 75,000 | 73,194 | |||||||||||||||||||||
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 3.850% | 11/01/2042 | 75,000 | 62,583 | |||||||||||||||||||||
|
| ||||||||||||||||||||||||
229,823 | |||||||||||||||||||||||||
|
| ||||||||||||||||||||||||
UTILITIES – 1.2% | |||||||||||||||||||||||||
AEP Transmission Co., LLC (Electric Utilities) | 4.000% | 12/01/2046 | 100,000 | 97,558 | |||||||||||||||||||||
American Water Capital Corp. (Water Utilities) | 4.300% | 12/01/2042 | 100,000 | 102,141 | |||||||||||||||||||||
Berkshire Hathaway Energy Co. (Multi-Utilities) | 3.250% | 04/15/2028 | 100,000 | 95,065 |
16 | (continued) |
Ohio National Fund, Inc. | ON Omni Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | |||||||||||||||||||||
UTILITIES (continued) | |||||||||||||||||||||||||
Commonwealth Edison Co. (Electric Utilities) | 4.350% | 11/15/2045 | $100,000 | $ 102,007 | |||||||||||||||||||||
Duke Energy Corp. (Electric Utilities) | 3.750% | 09/01/2046 | 100,000 | 88,520 | |||||||||||||||||||||
Fortis, Inc. (Electric Utilities) | 3.055% | 10/04/2026 | 100,000 | 91,078 | |||||||||||||||||||||
NextEra Energy Capital Holdings, Inc. (Electric Utilities) | 1.649% | 09/01/2018 | 100,000 | 99,781 | |||||||||||||||||||||
South Carolina Electric & Gas Co. (Electric Utilities) | 4.350% | 02/01/2042 | 75,000 | 71,140 | |||||||||||||||||||||
Southwest Gas Corp. (Gas Utilities) | 3.875% | 04/01/2022 | 75,000 | 74,847 | |||||||||||||||||||||
|
| ||||||||||||||||||||||||
822,137 | |||||||||||||||||||||||||
|
| ||||||||||||||||||||||||
Total Corporate Bonds (Cost $12,439,067) | $12,151,783 | ||||||||||||||||||||||||
|
| ||||||||||||||||||||||||
U.S. Treasury Obligations – 1.1% | Rate | Maturity | Face Amount | Value | |||||||||||||||||||||
U.S. Treasury Note | 1.500% | 05/15/2020 | $100,000 | $ 98,133 | |||||||||||||||||||||
U.S. Treasury Note | 1.750% | 05/15/2022 | 200,000 | 193,078 | |||||||||||||||||||||
U.S. Treasury Note | 2.000% | 04/30/2024 | 400,000 | 383,094 | |||||||||||||||||||||
U.S. Treasury Note | 1.500% | 08/15/2026 | 100,000 | 90,285 | |||||||||||||||||||||
|
| ||||||||||||||||||||||||
Total U.S. Treasury Obligations (Cost $772,724) | $ 764,590 | ||||||||||||||||||||||||
|
| ||||||||||||||||||||||||
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 | $144,469 | $ 140,902 | |||||||||||||||||||||
United Airlines 2016-1 Class B Pass Through Trust | 3.650% | 01/07/2026 | 200,000 | 194,601 | |||||||||||||||||||||
|
| ||||||||||||||||||||||||
Total Asset-Backed Securities (Cost $344,502) | $ 335,503 | ||||||||||||||||||||||||
|
| ||||||||||||||||||||||||
Money Market Funds – 1.2% | Shares | Value | |||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 802,894 | $ 802,894 | |||||||||||||||||||||||
|
| ||||||||||||||||||||||||
Total Money Market Funds (Cost $802,944) | $ 802,894 | ||||||||||||||||||||||||
|
| ||||||||||||||||||||||||
Total Investments – 100.3% (Cost $64,636,385) | (d | ) | $66,697,703 | ||||||||||||||||||||||
Liabilities in Excess of Other Assets – (0.3)% | (196,638 | ) | |||||||||||||||||||||||
|
| ||||||||||||||||||||||||
Net Assets – 100.0% | $66,501,065 | ||||||||||||||||||||||||
|
|
Percentages are stated as a percent of net assets.
Footnotes:
(a) | Non-income producing security. |
(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, including interest rate caps and floors, if any, are those in effect at June 30, 2018. |
(c) | 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 June 30, 2018, the value of these securities totaled $280,370, or 0.4% 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. |
(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. | ON Capital Appreciation Portfolio (Unaudited) |
Objective/Strategy |
The ON Capital Appreciation Portfolio (formerly 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 June 30, 2018 |
Average Annual returns | ||||
One year | 11.55% | |||
Five years | 10.99% | |||
Ten years | 9.69% |
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, 2018. Additional information pertaining to the Portfolio’s expense ratio as of June 30, 2018 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 six-month period ended June 30, 2018, the ON Capital Appreciation Portfolio returned 1.35% versus 2.65% 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 market gains so far this year have been particularly strong among higher growth companies, as growth has outperformed value across all market cap segments. This observation is especially true among large cap companies, with the Russell 1000 Growth Index outperforming its Value Index counterpart by almost 9%. Our bias toward value companies (driven by our risk/reward work) hurt relative performance this year. From a market cap perspective, small caps beat large caps, and large cap beat mid cap. Our consistent lower cap bias relative to the benchmark also prevented us from exceeding the performance of 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 Portfolio’s strategy that caused deviation from the benchmark?
A. While sector weightings are a residual of our bottom-up fundamental research, these weightings added value over the course of the period, while stock selection detracted from relative performance. Specifically, a meaningful overweight in Consumer Discretionary, as well as an underweight to Consumer Staples, contributed to relative gain. Stock selection proved to be detrimental in Consumer Discretionary, mostly
because we did not own several internet-related names that performed well in the benchmark. In Financials, stock selection in insurance and capital markets drove underperformance. Security choices in Industrials added value, specifically our positions in the commercial services & supplies and electrical equipment industries. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. The top contributors to the Portfolio’s relative performance were Twenty-First Century Fox, Inc. Class A (“Twenty-First Century Fox”), PTC, Inc. (“PTC”), and SeaWorld Entertainment, Inc. (SeaWorld). Shares of Twenty-First Century Fox rose near the end of the period on the news that the Department of Justice’s (“DOJ’s) anti-trust division granted approval for Disney’s proposed acquisition of Fox, while also requiring the sale of Fox Sports Regional Networks. PTC benefitted from better than expected bookings, giving us confidence in the strength of its end markets. The company also announced plans to offer subscription-only products starting January 2019 and enjoyed continued success in its Internet of Things (“IoT”) division. We think the transition to a subscription model and IoT growth are catalysts for better earnings and see steady market share opportunity within the core business. SeaWorld posted very strong results, with operating performance that exceeded expectations, giving credence to our expectations of a turnaround at the company. (1)
The largest relative detractors were Brighthouse Financial, Inc. and not owning Amazon.com, Inc. or Netflix, Inc., both of which experienced very strong gains for the benchmark during the six-month period. Brighthouse Financial is the domestic retail life & annuity business that was spun-off from Metlife, Inc. last year. Operating earnings fell short of expectations; however, annuity sales, which are a potential key driver for organic growth, were stronger than expected. We continue to view this as a very cheap stock with very low expectations that we think can be exceeded. (1)
Q. How did the Portfolio’s use of derivative instruments and initial public offerings (IPOs), if any, impact performance?
A. The Portfolio participated in several IPO’s during the period that contributed positively to performance, including Spotify Technology SA (18 basis points), Siemens Healthineers AG (11 basis points), and GrafTech International Ltd. (7 basis points). (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2018. |
18 | (continued) |
Ohio National Fund, Inc. | ON 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 June 30, 2018 (1) |
% of Net Assets | ||||
Common Stocks (4) | 98.9 | |||
Money Market Funds and Other Net Assets | 1.1 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of June 30, 2018 (1) (2) (3) |
% of Net Assets | ||||||
1. | Twenty-First Century Fox, Inc. Class A | 2.0 | ||||
2. | Microsoft Corp. | 2.0 | ||||
3. | Alphabet, Inc. Class C | 2.0 | ||||
4. | JPMorgan Chase & Co. | 1.9 | ||||
5. | Anadarko Petroleum Corp. | 1.9 | ||||
6. | Union Pacific Corp. | 1.9 | ||||
7. | PNC Financial Services Group, Inc. / The | 1.8 | ||||
8. | Noble Energy, Inc. | 1.8 | ||||
9. | United Technologies Corp. | 1.8 | ||||
10. | Apple, 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 | 20.4 | |||
Consumer Discretionary | 19.3 | |||
Financials | 16.6 | |||
Health Care | 12.7 | |||
Industrials | 11.3 | |||
Energy | 7.5 | |||
Materials | 5.8 | |||
Consumer Staples | 3.3 | |||
Real Estate | 1.5 | |||
Telecommunication Services | 0.5 | |||
|
| |||
98.9 | ||||
|
|
19
Ohio National Fund, Inc. | ON Capital Appreciation Portfolio |
Schedule of Investments | June 30, 2018 (Unaudited) |
Common Stocks – 98.9% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 19.3% | ||||||||||
Carnival Corp. (Hotels, Restaurants & Leisure) | 18,684 | $ | 1,070,780 | |||||||
Comcast Corp. Class A (Media) | 31,119 | 1,021,014 | ||||||||
Extended Stay America, Inc. (Hotels, Restaurants & Leisure) | 44,187 | 954,881 | ||||||||
Houghton Mifflin Harcourt Co. (Diversified Consumer Svs.) | (a) | 135,196 | 1,034,249 | |||||||
Hyatt Hotels Corp. Class A (Hotels, Restaurants & Leisure) | 19,885 | 1,534,128 | ||||||||
International Game Technology PLC (Hotels, Restaurants & Leisure) | 55,181 | 1,282,407 | ||||||||
Laureate Education, Inc. Class A (Diversified Consumer Svs.) | (a) | 83,186 | 1,192,055 | |||||||
Liberty Global PLC Class C (Media) | (a) | 60,564 | 1,611,608 | |||||||
MGM Resorts International (Hotels, Restaurants & Leisure) | 53,960 | 1,566,459 | ||||||||
Playa Hotels & Resorts N.V. (Hotels, Restaurants & Leisure) | (a) | 135,253 | 1,460,732 | |||||||
Qurate Retail, Inc. (Internet & Direct Marketing Retail) | (a) | 50,875 | 1,079,568 | |||||||
SeaWorld Entertainment, Inc. (Hotels, Restaurants & Leisure) | (a) | 70,297 | 1,533,881 | |||||||
Tapestry, Inc. (Textiles, Apparel & Luxury Goods) | 36,859 | 1,721,684 | ||||||||
Twenty-First Century Fox, Inc. Class A (Media) | 46,590 | 2,315,057 | ||||||||
Viacom, Inc. Class B (Media) | 57,032 | 1,720,085 | ||||||||
Wendy’s Co. / The (Hotels, Restaurants & Leisure) | 69,206 | 1,188,959 | ||||||||
|
| |||||||||
22,287,547 | ||||||||||
|
| |||||||||
CONSUMER STAPLES – 3.3% | ||||||||||
Conagra Brands, Inc. (Food Products) | 20,204 | 721,889 | ||||||||
Mondelez International, Inc. Class A (Food Products) | 42,475 | 1,741,475 | ||||||||
Walmart, Inc. (Food & Staples Retailing) | 16,055 | 1,375,111 | ||||||||
|
| |||||||||
3,838,475 | ||||||||||
|
| |||||||||
ENERGY – 7.5% | ||||||||||
Anadarko Petroleum Corp. (Oil, Gas & Consumable Fuels) | 29,884 | 2,189,003 | ||||||||
Concho Resources, Inc. (Oil, Gas & Consumable Fuels) | (a) | 8,199 | 1,134,332 | |||||||
Halliburton Co. (Energy Equip. & Svs.) | 25,774 | 1,161,376 | ||||||||
Noble Energy, Inc. (Oil, Gas & Consumable Fuels) | 59,305 | 2,092,280 | ||||||||
ProPetro Holding Corp. (Energy Equip. & Svs.) | (a) | 57,279 | 898,135 | |||||||
TechnipFMC PLC (Energy Equip. & Svs.) | 38,329 | 1,216,563 | ||||||||
|
| |||||||||
8,691,689 | ||||||||||
|
| |||||||||
FINANCIALS – 16.6% | ||||||||||
Bank of America Corp. (Banks) | 56,584 | 1,595,103 | ||||||||
BB&T Corp. (Banks) | 40,151 | 2,025,216 | ||||||||
Brighthouse Financial, Inc. (Insurance) | (a) | 27,098 | 1,085,817 | |||||||
Chubb Ltd. (Insurance) | 6,726 | 854,336 | ||||||||
Citigroup, Inc. (Banks) | 25,241 | 1,689,128 | ||||||||
Goldman Sachs Group, Inc. / The (Capital Markets) | 8,373 | 1,846,833 | ||||||||
JPMorgan Chase & Co. (Banks) | 21,585 | 2,249,157 | ||||||||
MetLife, Inc. (Insurance) | 41,802 | 1,822,567 | ||||||||
Morgan Stanley (Capital Markets) | 31,424 | 1,489,498 | ||||||||
Pinnacle Financial Partners, Inc. (Banks) | 18,737 | 1,149,515 | ||||||||
PNC Financial Services Group, Inc. / The (Banks) | 15,815 | 2,136,606 | ||||||||
Wells Fargo & Co. (Banks) | 21,606 | 1,197,837 | ||||||||
|
| |||||||||
19,141,613 | ||||||||||
|
| |||||||||
HEALTH CARE – 12.7% | ||||||||||
Alexion Pharmaceuticals, Inc. (Biotechnology) | (a) | 12,395 | 1,538,839 | |||||||
Allergan PLC (Pharmaceuticals) | 9,723 | 1,621,019 | ||||||||
BioMarin Pharmaceutical, Inc. (Biotechnology) | (a) | 18,922 | 1,782,452 | |||||||
Bristol-Myers Squibb Co. (Pharmaceuticals) | 31,409 | 1,738,174 |
Common Stocks (Continued) | Shares | Value | ||||||||
HEALTH CARE (continued) | ||||||||||
Centene Corp. (Health Care Providers & Svs.) | (a) | 8,637 | $ | 1,064,165 | ||||||
Cigna Corp. (Health Care Providers & Svs.) | 9,174 | 1,559,121 | ||||||||
Merck & Co., Inc. (Pharmaceuticals) | 20,763 | 1,260,314 | ||||||||
Mylan N.V. (Pharmaceuticals) | (a) | 46,218 | 1,670,319 | |||||||
Shire PLC – ADR (Biotechnology) | 3,766 | 635,701 | ||||||||
Siemens Healthineers AG (Health Care Equip. & Supplies) | (a)(b)(c) | 19,907 | 820,339 | |||||||
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 4,268 | 1,047,111 | ||||||||
|
| |||||||||
14,737,554 | ||||||||||
|
| |||||||||
INDUSTRIALS – 11.3% | ||||||||||
Caterpillar, Inc. (Machinery) | 3,894 | 528,299 | ||||||||
Delta Air Lines, Inc. (Airlines) | 32,762 | 1,623,030 | ||||||||
Emerson Electric Co. (Electrical Equip.) | 20,411 | 1,411,217 | ||||||||
GrafTech International Ltd. (Electrical Equip.) | 58,943 | 1,060,385 | ||||||||
Mobile Mini, Inc. (Commercial Svs. & Supplies) | 24,197 | 1,134,839 | ||||||||
Schneider National, Inc. Class B (Road & Rail) | 25,697 | 706,924 | ||||||||
Trinity Industries, Inc. (Machinery) | 33,769 | 1,156,926 | ||||||||
Union Pacific Corp. (Road & Rail) | 15,269 | 2,163,312 | ||||||||
United Technologies Corp. (Aerospace & Defense) | 16,709 | 2,089,126 | ||||||||
Univar, Inc. (Trading Companies & Distributors) | (a) | 47,439 | 1,244,799 | |||||||
|
| |||||||||
13,118,857 | ||||||||||
|
| |||||||||
INFORMATION TECHNOLOGY – 20.4% | ||||||||||
Alphabet, Inc. Class C (Internet Software & Svs.) | (a) | 2,056 | 2,293,776 | |||||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 11,161 | 2,066,013 | ||||||||
Benchmark Electronics, Inc. (Electronic Equip., Instr. & Comp.) | 30,345 | 884,557 | ||||||||
BlackBerry Ltd. (Software) | (a) | 138,009 | 1,331,787 | |||||||
Diebold Nixdorf, Inc. (Tech. Hardware, Storage & Periph.) | 35,991 | 430,092 | ||||||||
Facebook, Inc. Class A (Internet Software & Svs.) | (a) | 5,989 | 1,163,782 | |||||||
FireEye, Inc. (Software) | (a) | 38,959 | 599,579 | |||||||
FLIR Systems, Inc. (Electronic Equip., Instr. & Comp.) | 22,305 | 1,159,191 | ||||||||
Fortinet, Inc. (Software) | (a) | 10,889 | 679,800 | |||||||
Guidewire Software, Inc. (Software) | (a) | 8,632 | 766,349 | |||||||
Intel Corp. (Semiconductors & Equip.) | 23,717 | 1,178,972 | ||||||||
Microsoft Corp. (Software) | 23,338 | 2,301,360 | ||||||||
Oracle Corp. (Software) | 19,939 | 878,512 | ||||||||
PTC, Inc. (Software) | (a) | 11,119 | 1,043,073 | |||||||
Pure Storage, Inc. Class A (Tech. Hardware, Storage & Periph.) | (a) | 43,660 | 1,042,601 | |||||||
QUALCOMM, Inc. (Semiconductors & Equip.) | 26,474 | 1,485,721 | ||||||||
Spotify Technology SA (Internet Software & Svs.) | (a) | 7,227 | 1,215,871 | |||||||
Teradata Corp. (IT Svs.) | (a) | 37,078 | 1,488,682 | |||||||
Verint Systems, Inc. (Software) | (a) | 34,359 | 1,523,822 | |||||||
|
| |||||||||
23,533,540 | ||||||||||
|
| |||||||||
MATERIALS – 5.8% | ||||||||||
Agnico Eagle Mines Ltd. (Metals & Mining) | 30,020 | 1,375,816 | ||||||||
DowDuPont, Inc. (Chemicals) | 26,252 | 1,730,532 | ||||||||
Graphic Packaging Holding Co. (Containers & Packaging) | 81,088 | 1,176,587 | ||||||||
Lundin Mining Corp. (Metals & Mining) | 156,659 | 871,089 | ||||||||
Rio Tinto PLC – ADR (Metals & Mining) | 16,589 | 920,358 | ||||||||
United States Steel Corp. (Metals & Mining) | 19,268 | 669,563 | ||||||||
|
| |||||||||
6,743,945 | ||||||||||
|
| |||||||||
REAL ESTATE – 1.5% | ||||||||||
CoreCivic, Inc. (Equity REIT) | 73,999 | 1,767,836 | ||||||||
|
|
20 | (continued) |
Ohio National Fund, Inc. | ON Capital Appreciation Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
Common Stocks (Continued) | Shares | Value | ||||||||||
TELECOMMUNICATION SERVICES – 0.5% |
| |||||||||||
Inmarsat PLC (Diversified Telecom. Svs.) | (c | ) | 84,129 | $ | 608,350 | |||||||
|
| |||||||||||
Total Common Stocks | $ | 114,469,406 | ||||||||||
|
| |||||||||||
Money Market Funds – 0.6% | Shares | Value | ||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 667,791 | $ | 667,791 | |||||||||
|
| |||||||||||
Total Money Market Funds | $ | 667,791 | ||||||||||
|
| |||||||||||
Total Investments – 99.5% | (d | ) | $ | 115,137,197 | ||||||||
Other Assets in Excess of | 530,337 | |||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 115,667,534 | ||||||||||
|
|
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 June 30, 2018, the value of these securities totaled $820,339, or 0.7% 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. |
(c) | 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 $1,428,689 or 1.2% of the Portfolio’s net assets. |
(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.
21
Ohio National Fund, Inc. | ON International Equity Portfolio (Unaudited) |
Objective/Strategy |
The ON International Equity 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 June 30, 2018 |
Average Annual returns | ||||
One year | 6.37% | |||
Five years | 4.02% | |||
Ten years | 1.72% |
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 1.06% per the Fund’s prospectus dated May 1, 2018. Additional information pertaining to the Portfolio’s expense ratio as of June 30, 2018 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 six-month period ended June 30, 2018, the ON International Equity Portfolio returned -2.59% versus -2.75% for its current benchmark, 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. The Portfolio aims to outperform its benchmark by approximately 200 to 300 basis points over a full market cycle (typically 35 years) with a consistent pattern of performance. Historically, the strategy has added more value versus the benchmark when markets are fundamentally driven in both down markets and moderately rising markets, as opposed to low-quality-led rapidly rising markets.
After a year of steady gains and historically low volatility, global equities fell sharply from all-time highs in late January as investors reacted to prospects of higher long-term interest rates and, more recently, to the deteriorating global trade environment. The first quarter’s uncertainty raised investor awareness of risk and emphasized the importance of fundamentals. This environment favored skilled stock selection, which benefited the Portfolio. In the second quarter, non-U.S. equity developed-market performance was positive in local terms, but returns for U.S. dollar–based investors were significantly lower due to the sharp rise of the U.S. dollar during the period. (1)
The Portfolio was negatively impacted by the underperformance of emerging markets in the second quarter. The sell-off in emerging markets equities was relatively modest in local currency terms, with the MSCI Emerging Market Index down 3.5% during the second quarter of 2018. For U.S. dollar investors, however, losses were amplified to 8.0%. This performance was historically consistent, as U.S. dollar strength has typically had an inverse relationship with emerging markets equity performance. The fundamental trends of the companies themselves,
however, remained mostly unchanged. Some individual emerging markets came under particular pressure in the quarter because they must pay off U.S.-dollar denominated debt or finance large current account deficits. Elsewhere, growth stocks continued to outperform value stocks at a margin of 300 basis points (bps) during the second quarter and have outperformed by over 500 bps over the past year. This performance reflects the stage of the economic cycle, where growth has continued but has become weaker. Investors in this environment typically bid up any companies that offer any growth, leading to outperformance over value. (1)
Q. How did country selection impact the Portfolio’s performance relative to its benchmark?
A. Our investment approach follows a bottom-up stock selection process, where country exposures are a residual of stock picking. Our attribution is driven primarily by stock selection. During the period, the Portfolio’s overall country allocation effect has been neutral (+4 basis points). (1)
We remain underweight Japan, where we have found it difficult to find companies we view as having impressive ROE’s, whose valuations are attractive. While there have been some improvements in the macro environment within Japan, the underlying pace of change for financial productivity has been slow. The Portfolio’s overweight exposure to emerging markets, an out-of-benchmark region, offers investment opportunities with attractive financial productivity relative to valuation. Recent uncertainty in the emerging markets is largely due to specific, idiosyncratic conditions in individual countries rather than a sign of systemic weakness. The fundamental trends of our holdings in emerging markets themselves, however, remained mostly positive. We also remain overweight the United Kingdom (“UK”), where we own many global businesses that we view as high-quality. These holdings draw more revenue from outside the UK than from the domestic UK market. (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. Portfolio returns were helped by:
• | Stock selection in the Industrials sector, driven by strong performance from Ferguson PLC, a British distributor of heating and plumbing products to customers in Europe and the U.S. The stock rose more than 13% during the period on results highlighted by improved margins and strong organic growth in the U.S. and Europe. Subsequent to its sale of its Nordic business in late 2017, the company’s balance sheet exhibits strong liquidity and the company remains in a prime position to benefit from improving construction trends. (1) |
• | Stock selection in the Materials sector. BHP Billiton, PLC, an Anglo-Australian mining company that has better capital discipline and a lower cost structure than many of its peers, has the framework to return cash to shareholders going forward, and is less exposed to China’s secular shift from infrastructure spending. The stock rose more than 12%, significantly outperforming within the underperforming sector. (1) |
• | Stock selection, and a lower-than-benchmark weight, in the Financials sector. DBS Group Holdings, Ltd., Singapore’s’ largest bank, contributed to performance. The company reported strong net interest margins and raised its regular dividend in addition to producing a special dividend, helping to convince investors that the cash return portion of the investment thesis is robust. We believe the bank will continue to experience an earnings upgrade cycle, resulting |
22 | (continued) |
Ohio National Fund, Inc. | ON International Equity Portfolio (Unaudited) (Continued) |
from fading bad-debt charges and improving net interest margins. The company should also benefit from its historical investment in digitization, which should hold down cost growth, while its loan growth and fee income continue to rise. With nearly 40% of customers now using digital offerings, which has helped with retention, we believe these investments will drive higher financial productivity going forward. We believe the multiple remains inexpensive for the ongoing improvement. (1)
Portfolio returns were hurt by:
• | The relative underperformance of emerging markets equities during the second quarter, which were significantly affected by the strength of the U.S. dollar during the second quarter. U.S. dollar strength has historically had an inverse relationship with emerging market equity performance. The fundamental trends of the companies themselves, however, remain mostly positive. (1) |
○ | Cielo SA is a leading credit card acquirer in Brazil, where card penetration remains low, thereby allowing for long-term secular growth. The company has been hurt by macro headwinds affecting the Brazilian equity market. Concerns over the 2018 presidential election, along with fears that the Brazilian economic recovery remains lackluster, were amplified by the weakening of the real amidst U.S. dollar strength and the general emerging markets equity selloff. We believe credit card penetration will continue to structurally expand, and more recently, we have seen card volumes improve. The company also exhibits superior relative value characteristics with a 30% return on equity (“ROE”), trading at ten times its 2019 price to earnings ratio, a metric that has derated by 15% in the 2nd quarter. (1) |
○ | Turkcell Iletisim Hizmetleri AS, another emerging market stock that is the largest mobile and fixed line data provider in Turkey, with 70 million subscribers in nine countries, also negatively impacted performance. Smartphone penetration is roughly 60% and the secular trend should remain a tailwind. Macro headwinds hurt the stock, as fears regarding the Turkish lira and the presidential election resulted in weak currency, equity, and bond markets. We believe the fundamentals of the business remain strong. Foreign debt is mostly hedged, and strong pricing enables the company to pass along higher costs to customers. The telecommunication industry is a more defensive sector with stable revenues and market shares, resulting in a less competitive pricing environment. The stock currently trades at eight times 2019 earnings per share (“EPS”), for over 20% 5-year EPS compound annual growth rate (“CAGR”), and offers a 10% free cash flow (“FCF”) yield. The valuation has derated roughly 20% in the quarter while the expected ROE has remained nearly unchanged. (1) |
• | Stock selection in the Consumer Staples sector. British American Tobacco PLC fell 24% during the period. The stock initially declined in the first quarter because investors sold high dividend stocks as long-term interest rates rose. The stock continued to lag because the company’s earnings announcement led to small consensus downgrades and on concerns of structural changes in the tobacco industry. Although the vast majority of the business is still combustible cigarettes where volume is declining, we believe that the company has strong pricing power and its market share has risen for seven years in a row. We continue to believe the company exhibits strong relative value characteristics with returns on invested capital above 50%, a PE valuation of 12x, a greater than 7% FCF yield, and a 5% dividend yield. (1) |
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. Top 3 Relative Contributors (by total attribution effect):
Japanese musical instrument company Yamaha Corp. (“Yamaha”) (+35bps) outperformed on results that showed a considerable margin expansion. Given this trajectory, the company’s management should be able to exceed expectations for full year operating profit target. Yamaha enjoys a dominant market share in musical instruments and is benefiting from product mix (especially in the fast growing, higher margin digital instrument segment), cost cutting, price increases, and rising disposable incomes in emerging markets. The company’s pianos and digital keyboards continue to sell well, especially in China. (1)
As discussed above, returns were also significantly boosted by Ferguson PLC (+33bps) and BHP Billiton PLC (+33bps). (1)
Bottom 3 Relative Detractors (by total attribution effect):
As discussed above, relative returns were most negatively impacted by Cielo SA (-39bps), British American Tobacco PLC (-38bps), and Turkcell Iletisim Hizmetleri AS (-30bps). (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2018. |
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 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.
23 | (continued) |
Ohio National Fund, Inc. | ON International Equity Portfolio (Unaudited) (Continued) |
Portfolio Composition as of June 30, 2018 (1) |
% of Net Assets | ||||
Common Stocks (4) (5) | 94.4 | |||
Preferred Securities (4) (5) | 0.8 | |||
Money Market Funds and Other Net Assets | 4.8 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of June 30, 2018 (1) (2) (3) |
% of Net Assets | ||||
1. Royal Dutch Shell PLC | 3.3 | |||
2. Prudential PLC | 3.2 | |||
3. Novartis AG | 3.1 | |||
4. BHP Billiton PLC | 2.8 | |||
5. SAP SE | 2.8 | |||
6. Don Quijote Holdings Co. Ltd. | 2.6 | |||
7. Ferguson PLC | 2.4 | |||
8. Wolters Kluwer N.V. | 2.4 | |||
9. Daiwa House Industry Co. Ltd. | 2.4 | |||
10. Medtronic PLC | 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) | Top 10 Country Weightings (Common Stocks, Preferred Securities): |
% of Net Assets | ||||
United Kingdom | 17.3 | |||
Japan | 17.0 | |||
France | 10.9 | |||
Switzerland | 6.7 | |||
Netherlands | 6.4 | |||
Germany | 5.0 | |||
Canada | 4.7 | |||
Ireland | 3.7 | |||
Sweden | 3.6 | |||
Norway | 2.8 |
(5) | Sectors (Common Stocks, Preferred Securities): |
% of Net Assets | ||||
Industrials | 18.7 | |||
Financials | 17.2 | |||
Consumer Discretionary | 12.9 | |||
Consumer Staples | 9.3 | |||
Health Care | 8.6 | |||
Information Technology | 7.6 | |||
Energy | 7.6 | |||
Materials | 4.8 | |||
Telecommunication Services | 4.7 | |||
Real Estate | 2.4 | |||
Utilities | 1.4 | |||
|
| |||
95.2 | ||||
|
|
24 |
Ohio National Fund, Inc. | ON International Equity Portfolio |
Schedule of Investments | June 30, 2018 (Unaudited) |
Common Stocks – 94.4% | Shares | Value | ||||||||
UNITED KINGDOM – 17.3% | ||||||||||
Aon PLC (Financials) | 96,000 | $ | 13,168,320 | |||||||
British American Tobacco PLC | (a) | 262,265 | 13,211,172 | |||||||
Compass Group PLC | (a) | 574,235 | 12,240,178 | |||||||
Diageo PLC (Consumer Staples) | (a) | 174,664 | 6,274,962 | |||||||
Howden Joinery Group PLC (Industrials) | (a) | 778,271 | 5,488,308 | |||||||
Informa PLC (Consumer Discretionary) | (a) | 729,099 | 8,014,314 | |||||||
Melrose Industries PLC (Industrials) | (a) | 2,340,542 | 6,548,985 | |||||||
Prudential PLC (Financials) | (a) | 861,848 | 19,646,968 | |||||||
RELX PLC (Industrials) | (a) | 115,828 | 2,473,503 | |||||||
RSA Insurance Group PLC (Financials) | (a) | 703,358 | 6,290,351 | |||||||
Unilever PLC (Consumer Staples) | (a) | 218,971 | 12,096,058 | |||||||
|
| |||||||||
105,453,119 | ||||||||||
|
| |||||||||
JAPAN – 17.0% | ||||||||||
Daiwa House Industry Co. Ltd. (Real Estate) | (a) | 428,319 | 14,572,193 | |||||||
Don Quijote Holdings Co. Ltd. | (a) | 328,200 | 15,753,169 | |||||||
Isuzu Motors Ltd. (Consumer Discretionary) | (a) | 441,100 | 5,847,735 | |||||||
Kao Corp. (Consumer Staples) | (a) | 100,110 | 7,630,542 | |||||||
KDDI Corp. (Telecommunication Services) | (a) | 282,200 | 7,716,729 | |||||||
Makita Corp. (Industrials) | (a) | 262,500 | 11,742,420 | |||||||
Nexon Co. Ltd. (Information Technology) | (a)(b) | 547,600 | 7,945,322 | |||||||
Shin-Etsu Chemical Co. Ltd. (Materials) | (a) | 75,900 | 6,745,113 | |||||||
Sony Corp. (Consumer Discretionary) | (a) | 132,100 | 6,765,415 | |||||||
Sumitomo Mitsui Financial Group, Inc. (Financials) | (a) | 248,200 | 9,681,286 | |||||||
United Arrows Ltd. (Consumer Discretionary) | (a) | 17,800 | 663,257 | |||||||
Yamaha Corp. (Consumer Discretionary) | (a) | 173,900 | 9,025,009 | |||||||
|
| |||||||||
104,088,190 | ||||||||||
|
| |||||||||
FRANCE – 10.9% | ||||||||||
Air Liquide SA (Materials) | (a) | 45,990 | 5,764,625 | |||||||
Capgemini SE (Information Technology) | (a) | 74,258 | 9,951,299 | |||||||
Cie de Saint-Gobain SA (Industrials) | (a) | 132,700 | 5,911,113 | |||||||
Cie Generale des Etablissements Michelin | (a) | 79,848 | 9,659,855 | |||||||
Safran SA (Industrials) | (a) | 91,381 | 11,066,682 | |||||||
Societe Generale SA (Financials) | (a) | 137,712 | 5,788,020 | |||||||
Valeo SA (Consumer Discretionary) | (a) | 113,506 | 6,188,753 | |||||||
Vinci SA (Industrials) | (a) | 127,391 | 12,228,404 | |||||||
|
| |||||||||
66,558,751 | ||||||||||
|
| |||||||||
SWITZERLAND – 6.7% | ||||||||||
Ferguson PLC (Industrials) | (a) | 183,978 | 14,885,249 | |||||||
Julius Baer Group Ltd. (Financials) | (a) | 129,393 | 7,578,733 | |||||||
Novartis AG (Health Care) | (a) | 248,409 | 18,817,212 | |||||||
|
| |||||||||
41,281,194 | ||||||||||
|
| |||||||||
NETHERLANDS – 6.4% | ||||||||||
ABN AMRO Group N.V. (Financials) | (a) | 148,788 | 3,847,921 | |||||||
Royal Dutch Shell PLC (Energy) | (a) | 591,715 | 20,478,611 | |||||||
Wolters Kluwer N.V. (Industrials) | (a) | 261,953 | 14,715,661 | |||||||
|
| |||||||||
39,042,193 | ||||||||||
|
| |||||||||
CANADA – 4.7% | ||||||||||
Canadian National Railway Co. (Industrials) | 74,700 | 6,109,984 | ||||||||
National Bank of Canada (Financials) | 197,044 | 9,460,630 | ||||||||
Suncor Energy, Inc. (Energy) | 328,200 | 13,356,179 | ||||||||
|
| |||||||||
28,926,793 | ||||||||||
|
| |||||||||
GERMANY – 4.2% | ||||||||||
Fresenius SE & Co. KGaA (Health Care) | (a) | 107,803 | 8,631,208 | |||||||
SAP SE (Information Technology) | (a) | 145,982 | 16,848,905 | |||||||
|
| |||||||||
25,480,113 | ||||||||||
|
|
Common Stocks (Continued) | Shares | Value | ||||||||
IRELAND – 3.7% | ||||||||||
Medtronic PLC (Health Care) | 156,170 | $ | 13,369,714 | |||||||
Ryanair Holdings PLC – ADR (Industrials) | (b) | 78,820 | 9,003,608 | |||||||
|
| |||||||||
22,373,322 | ||||||||||
|
| |||||||||
SWEDEN – 3.6% | ||||||||||
Assa Abloy AB Class B (Industrials) | (a) | 551,411 | 11,696,305 | |||||||
Epiroc AB Class A (Industrials) | (b)(c) | 191,800 | 2,012,704 | |||||||
Nordea Bank AB (Financials) | (a) | 840,463 | 8,062,214 | |||||||
|
| |||||||||
21,771,223 | ||||||||||
|
| |||||||||
NORWAY – 2.8% | ||||||||||
Equinor ASA (Energy) | (a) | 280,897 | 7,427,633 | |||||||
Telenor ASA (Telecommunication Services) | (a) | 475,346 | 9,735,322 | |||||||
|
| |||||||||
17,162,955 | ||||||||||
|
| |||||||||
AUSTRALIA – 2.8% | ||||||||||
BHP Billiton PLC (Materials) | (a) | 762,314 | 17,108,172 | |||||||
|
| |||||||||
SINGAPORE – 2.1% | ||||||||||
DBS Group Holdings Ltd. (Financials) | (a) | 444,720 | 8,648,478 | |||||||
NetLink NBN Trust | (a) | 7,248,900 | 3,937,017 | |||||||
|
| |||||||||
12,585,495 | ||||||||||
|
| |||||||||
UNITED STATES – 1.9% | ||||||||||
Shire PLC (Health Care) | (a) | 212,351 | 11,963,613 | |||||||
|
| |||||||||
BELGIUM – 1.6% | ||||||||||
Anheuser-Busch InBev SA / N.V. | (a) | 95,928 | 9,675,768 | |||||||
|
| |||||||||
SPAIN – 1.4% | ||||||||||
Red Electrica Corp. SA (Utilities) | (a) | 410,081 | 8,331,207 | |||||||
|
| |||||||||
FINLAND – 1.3% | ||||||||||
Sampo Oyj (Financials) | (a) | 169,245 | 8,242,349 | |||||||
|
| |||||||||
DENMARK – 1.3% | ||||||||||
Carlsberg A/S Class B (Consumer Staples) | (a) | 67,870 | 7,985,481 | |||||||
|
| |||||||||
TURKEY – 1.1% | ||||||||||
Turkcell Iletisim Hizmetleri AS | (a) | 2,499,933 | 6,627,337 | |||||||
|
| |||||||||
BRAZIL – 1.0% | ||||||||||
Cielo SA (Information Technology) | 1,428,900 | 6,090,545 | ||||||||
|
| |||||||||
TAIWAN – 0.9% | ||||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. – ADR (Information Technology) | 157,200 | 5,747,232 | ||||||||
|
| |||||||||
INDIA – 0.9% | ||||||||||
ICICI Bank Ltd. – ADR (Financials) | 689,810 | 5,539,174 | ||||||||
|
| |||||||||
LUXEMBOURG – 0.8% | ||||||||||
Tenaris SA (Energy) | (a) | 261,547 | 4,773,236 | |||||||
|
| |||||||||
ISRAEL – 0.0% | ||||||||||
Bank Leumi Le-Israel BM (Financials) | (a) | 35,712 | 211,311 | |||||||
|
| |||||||||
Total Common Stocks | $ | 577,018,773 | ||||||||
|
| |||||||||
Preferred Securities – 0.8% | Quantity | Value | ||||||||
GERMANY – 0.8% | ||||||||||
Volkswagen AG | (a) | 27,793 | $ | 4,591,688 | ||||||
|
| |||||||||
Total Preferred Securities (Cost $5,954,172) | $ | 4,591,688 | ||||||||
|
|
25 | (continued) |
Ohio National Fund, Inc. | ON International Equity Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
Money Market Funds – 4.6% | Shares | Value | ||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class |
| 28,120,123 | $ | 28,120,123 | ||||||||
|
| |||||||||||
Total Money Market Funds | $ | 28,120,123 | ||||||||||
|
| |||||||||||
Total Investments – 99.8% | (d | ) | $ | 609,730,584 | ||||||||
Other Assets in Excess of | 1,209,027 | |||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 610,939,611 | ||||||||||
|
|
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 $497,752,371 or 81.5% 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 $2,012,704 or 0.3% 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.
26
Ohio National Fund, Inc. | ON Foreign Portfolio (Unaudited) |
Objective/Strategy |
The ON Foreign Portfolio seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its assets in foreign securities.
Performance as of June 30, 2018 |
Average Annual returns | ||||
One year | 0.60% | |||
Five years | 5.11% | |||
Ten years | 2.34% |
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 1.22% per the Fund’s prospectus dated May 1, 2018. Additional information pertaining to the Portfolio’s expense ratio as of June 30, 2018 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 six-month period ended June 30, 2018, the ON Foreign Portfolio returned -3.85% versus -3.77% for its current benchmark, 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. International equities declined during the first half of 2018 amid concerns about escalating trade tensions and the effects of a stronger U.S. dollar and tighter monetary policy on emerging markets. Performance trends remained broadly consistent with recent periods, with a few exceptions. Information Technology and other growth-oriented sectors continued to lead, which negatively impacted the Portfolio relative to the benchmark given our lower exposure to these sectors. Energy extended recent gains as supply concerns in Venezuela and Iran—along with a smaller-than-expected output increase by the Organization of the Petroleum Exporting Countries—supported the price of crude oil. This favorable development benefited the Portfolio’s overweighted Energy holdings. Among new developments, Health Care stocks bounced back strongly, significantly benefiting the Portfolio relative to its benchmark, given its major Health Care overweight. Financials declined further amid concerns about slower growth and renewed political turmoil in Europe. Material exposure to European banks negatively impacted the Portfolio relative to the benchmark in this environment. (1)
Market trends that dampened investor sentiment included escalating trade tensions and quantitative tightening in the U.S., as well as political uncertainty in Italy. International markets have been buffeted by a series of headwinds originating in the U.S., including a stronger U.S. dollar and diminished liquidity due to quantitative tightening, and uncertainty surrounding trade. It is difficult to determine how these trends will ultimately play out. Tighter U.S. dollar liquidity, rising U.S. interest rates
and more restrictive terms of trade certainly threaten booming Asian exports, though that threat is at least partially reflected in emerging market equity valuations hovering near three-year lows. Escalating trade tensions have yet to impact equities, but remain a risk to global growth and market stability. Although we have not deliberately constructed the Portfolio for a “trade war” scenario, we believe it is reasonably well-positioned should tensions escalate. Solid exposure to Financials and Energy, which are sensitive to interest rates and inflation, and to Health Care, which is less exposed to trade regulation, may prove strategically advantageous in an age of rising protectionism. Lower exposure to Information Technology, Industrials and consumer sectors, all with complex global supply chains and high export earnings, may also prove beneficial. Turning to Italy, we believe recent concerns about the country’s possible withdrawal from the European Union are overblown. Were the country to leave, its banks would be insolvent, its government would default, and the purchasing power of household savings would be vastly diminished once redenominated in lira. We do not anticipate an Italian exit and see recent weakness in Europe as a buying opportunity. (1)
Q. How did country selection impact the Portfolio’s performance relative to its benchmark?
A. As bottom-up analysts, our regional weightings are typically more a function of the relative prevalence of value opportunities than a specific regional macroeconomic view.
The Portfolio is slightly underweighted to Asia. During the first half of 2018, the Portfolio’s Asian holdings detracted from performance relative to the benchmark due mostly to a below-benchmark weighting in Japan and an above-benchmark weighting in South Korea. Despite the relative underweighting, we have found increasingly attractive opportunities in Japan, and the Portfolio’s absolute weighting remains material. Japan is one of the few markets in the world that is both under-owned and trading at a discount to its historical valuation levels. Investor caution relates to legacy issues of low growth, expensive valuations, excessive leverage and poor returns. Yet, conditions have improved. Japan’s GDP is growing at an above-trend pace, corporate governance is improving, and earnings have recently risen to multi-decade highs, while leverage fell to multi-decade lows. As fundamentals have improved, valuations have become more attractive. Structural headwinds attributable to aging demographics and high government debt persist, but Japan is making progress, and continues to produce select bottom-up bargains. (1)
Like Japan, South Korea’s recovery has been fundamentally driven. Corporate earnings have risen due to strong export growth, which has bolstered the current account surplus and foreign reserves. As with Japan, valuations have yet to follow suit. Despite rising substantially last year, the MSCI Korea Index (in USD terms) traded at its lowest forward price/earnings (“P/E”) ratio in five years during the period. Some policies introduced under left-leaning President Moon, including increases to minimum wages and higher corporate tax rates, have rattled investors and may be partially responsible for the decline. Nevertheless, the Moon Administration has also progressed with shareholder-friendly efforts to reform the chaebols (large business conglomerates), already resulting in higher payout ratios and improving return prospects. With a solid economic and corporate profit cycle taking hold and the Bank of Korea now beginning to hike rates for the first time in six years, we continue to see significant upside potential for select companies in what we consider a low-valued market. (1)
In Europe, stock selection and an overweighted allocation notably contributed relative to the benchmark. We continue to find compelling bargains in the region. Although lead indicators have softened, the economic backdrop in Europe remains expansionary. An environment of balanced budgets, easier fiscal policy, still-accommodative monetary policy and accelerating investment due to high capacity utilization remains auspicious to us. Despite recent messaging from the European Central Bank regarding plans to scale back bond purchases, any
27 | (continued) |
Ohio National Fund, Inc. | ON Foreign Portfolio (Unaudited) (Continued) |
quantitative tightening is likely to be gradual, and the bank’s single mandate of price stability suggests it will likely maintain relatively accommodating policies. Yet, Europe’s trailing P/E has halved in just the past two years and the region trades at the steepest discount to the U.S. on price-to-book in decades. This trend is largely due to perceived political risks, which we believe are manageable. With European profit margins, valuation multiples and performance metrics all near historic lows relative to the U.S., we see significant scope for a return to average prices over our investment horizon. (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. Overall, sector and country allocation positively contributed to relative performance, while stock selection detracted from performance during the review period. (1)
Energy and Health care both contributed due to overweighted allocations and stock selection, while Consumer Staples contribution was solely due to stock selection. A favorable underweighting and positive stock selection benefited relative results in Real Estate. Stock selection in Europe, particularly in Germany and Italy, contributed to performance. (1)
In contrast, Industrials, Information Technology, and Materials all detracted from relative performance due to stock selection, while Telecommunication Services was hurt primarily by an unfavorable overweighting. Stock selection was also responsible for Financials and Utilities detracting from relative results. From a country allocation perspective, stock selection was the weakest in Asia, where stock selections within Japan and Hong Kong, among others, detracted from relative performance. (1)
During the period, the U.S. dollar rose in value against most foreign currencies, which hurt the Portfolio’s performance because investments in securities with non-U.S. currency exposure lost value as the U.S. dollar rose. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. Contributors:
1. | Teva Pharmaceutical Industries Ltd. – ADR , an Israeli-based company that develops, produces and markets drugs and other pharmaceutical-related products. |
2. | BP PLC, an integrated oil and gas company based in the UK. |
3. | SES SA, a Luxembourg telecommunications company that focuses on satellite and ground communications. (1) |
Detractors:
1. | Capita PLC, a UK business processes outsourcing company. |
2. | Getinge AB, a Swedish medical technology company. |
3. | Hana Financial Group, Inc., a South Korean holding company whose subsidiaries provide services in personal and commercial banking. (1) |
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2018. |
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 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.
28 | (continued) |
Ohio National Fund, Inc. | ON Foreign Portfolio (Unaudited) (Continued) |
Portfolio Composition as of June 30, 2018 (1) |
% of Net Assets | ||||
Common Stocks (4) (5) | 99.3 | |||
Money Market Funds and Other Net Assets | 0.7 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of June 30, 2018 (1) (2) (3) |
% of Net Assets | ||||||
1. | BP PLC | 3.9 | ||||
2. | Samsung Electronics Co. Ltd. | 3.8 | ||||
3. | Royal Dutch Shell PLC | 3.5 | ||||
4. | Teva Pharmaceutical Industries Ltd. – ADR | 3.0 | ||||
5. | TOTAL SA | 2.3 | ||||
6. | Roche Holding AG | 2.3 | ||||
7. | Standard Chartered PLC | 2.2 | ||||
8. | SoftBank Group Corp. | 2.2 | ||||
9. | Eni SpA | 2.1 | ||||
10. | BNP Paribas SA | 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) | Top 10 Country Weightings (Common Stocks): |
% of Net Assets | ||||
United Kingdom | 18.8 | |||
Japan | 12.1 | |||
France | 9.3 | |||
Germany | 8.1 | |||
Netherlands | 7.8 | |||
China | 7.8 | |||
South Korea | 6.4 | |||
Switzerland | 4.0 | |||
Canada | 3.2 | |||
Israel | 3.0 |
(5) | Sectors (Common Stocks): |
% of Net Assets | ||||
Financials | 19.9 | |||
Health Care | 17.8 | |||
Energy | 13.5 | |||
Information Technology | 11.4 | |||
Industrials | 9.4 | |||
Telecommunication Services | 7.9 | |||
Consumer Discretionary | 7.2 | |||
Materials | 6.0 | |||
Consumer Staples | 3.3 | |||
Utilities | 2.5 | |||
Real Estate | 0.4 | |||
|
| |||
99.3 | ||||
|
|
29
Ohio National Fund, Inc. | ON Foreign Portfolio |
Schedule of Investments | June 30, 2018 (Unaudited) |
Common Stocks – 99.3% | Shares | Value | ||||||||
UNITED KINGDOM – 18.8% | ||||||||||
Aviva PLC (Financials) | (a) | 103,467 | $ | 686,512 | ||||||
BAE Systems PLC (Industrials) | (a) | 83,495 | 710,318 | |||||||
Barclays PLC (Financials) | (a) | 372,597 | 920,961 | |||||||
BP PLC (Energy) | (a) | 358,270 | 2,725,903 | |||||||
Cobham PLC (Industrials) | (a)(b) | 322,840 | 545,897 | |||||||
HSBC Holdings PLC (Financials) | (a) | 132,711 | 1,240,098 | |||||||
Johnson Matthey PLC (Materials) | (a) | 23,437 | 1,115,989 | |||||||
Kingfisher PLC (Consumer Discretionary) | (a) | 256,621 | 1,003,544 | |||||||
Rolls-Royce Holdings PLC (Industrials) | (a) | 52,896 | 688,975 | |||||||
SIG PLC (Industrials) | (a) | 368,740 | 677,000 | |||||||
Standard Chartered PLC (Financials) | (a) | 171,100 | 1,554,172 | |||||||
Travis Perkins PLC (Industrials) | (a) | 28,809 | 539,843 | |||||||
Vodafone Group PLC | (a) | 233,940 | 566,671 | |||||||
|
| |||||||||
12,975,883 | ||||||||||
|
| |||||||||
JAPAN – 12.1% | ||||||||||
Astellas Pharma, Inc. (Health Care) | (a) | 67,300 | 1,024,210 | |||||||
Ezaki Glico Co. Ltd. (Consumer Staples) | (a) | 8,300 | 398,697 | |||||||
Inpex Corp. (Energy) | (a) | 41,500 | 431,014 | |||||||
Kirin Holdings Co. Ltd. (Consumer Staples) | (a) | 20,600 | 552,180 | |||||||
Mitsui Fudosan Co. Ltd. (Real Estate) | (a) | 11,400 | 274,606 | |||||||
Panasonic Corp. (Consumer Discretionary) | (a) | 65,300 | 880,533 | |||||||
Seven & I Holdings Co. Ltd. | (a) | 14,300 | 623,704 | |||||||
SoftBank Group Corp. | (a) | 21,200 | 1,513,852 | |||||||
Sumitomo Metal Mining Co. Ltd. (Materials) | (a) | 11,500 | 438,917 | |||||||
Sumitomo Rubber Industries Ltd. | (a) | 51,300 | 813,155 | |||||||
Suntory Beverage & Food Ltd. | (a) | 16,700 | 713,970 | |||||||
Taiheiyo Cement Corp. (Materials) | (a) | 20,100 | 661,216 | |||||||
|
| |||||||||
8,326,054 | ||||||||||
|
| |||||||||
FRANCE – 9.3% | ||||||||||
AXA SA (Financials) | (a) | 35,720 | 872,774 | |||||||
BNP Paribas SA (Financials) | (a) | 23,025 | 1,424,255 | |||||||
Cie Generale des Etablissements Michelin SCA | (a) | 4,288 | 518,754 | |||||||
Sanofi (Health Care) | (a) | 16,991 | 1,363,689 | |||||||
TOTAL SA (Energy) | (a) | 25,782 | 1,565,631 | |||||||
Veolia Environnement SA (Utilities) | (a) | 30,759 | 657,290 | |||||||
|
| |||||||||
6,402,393 | ||||||||||
|
| |||||||||
GERMANY – 8.1% | ||||||||||
Bayer AG (Health Care) | (a) | 10,972 | 1,204,983 | |||||||
E.ON SE (Utilities) | (a) | 67,149 | 715,439 | |||||||
Gerresheimer AG (Health Care) | (a) | 10,040 | 812,275 | |||||||
Merck KGaA (Health Care) | (a) | 8,080 | 786,567 | |||||||
MorphoSys AG (Health Care) | (a)(b) | 4,719 | 576,052 | |||||||
Siemens AG (Industrials) | (a) | 5,575 | 734,539 | |||||||
Telefonica Deutschland Holding AG (Telecommunication Services) | (a) | 188,885 | 743,065 | |||||||
|
| |||||||||
5,572,920 | ||||||||||
|
| |||||||||
NETHERLANDS – 7.8% | ||||||||||
Aegon N.V. (Financials) | (a) | 163,911 | 978,649 | |||||||
Flow Traders (Financials) | (c) | 15,070 | 586,390 | |||||||
ING Groep N.V. (Financials) | (a) | 48,220 | 692,175 | |||||||
QIAGEN N.V. (Health Care) | (a)(b) | 19,863 | 720,017 | |||||||
Royal Dutch Shell PLC (Energy) | (a) | 68,270 | 2,444,954 | |||||||
|
| |||||||||
5,422,185 | ||||||||||
|
| |||||||||
CHINA – 7.8% | ||||||||||
Baidu, Inc. – ADR (Information Technology) | (b) | 5,810 | 1,411,830 | |||||||
China Life Insurance Co. Ltd. (Financials) | (a) | 249,000 | 638,807 | |||||||
China Telecom Corp. Ltd. | (a) | 2,334,000 | 1,095,201 | |||||||
NetEase, Inc. – ADR (Information Technology) . | 2,200 | 555,874 |
Common Stocks (Continued) | Shares | Value | ||||||||||
CHINA (continued) | ||||||||||||
Shandong Weigao Group Medical Polymer Co. Ltd. (Health Care) | (a | ) | 356,700 | $ | 251,838 | |||||||
Sinopec Engineering Group Co. Ltd. | (a | ) | 800,500 | 834,834 | ||||||||
Sinopharm Group Co. Ltd. (Health Care) | (c | ) | 155,200 | 624,116 | ||||||||
|
| |||||||||||
5,412,500 | ||||||||||||
|
| |||||||||||
SOUTH KOREA – 6.4% | ||||||||||||
Hana Financial Group, Inc. (Financials) | (a | ) | 29,001 | 1,113,660 | ||||||||
KB Financial Group, Inc. (Financials) | (a | ) | 14,210 | 668,889 | ||||||||
Samsung Electronics Co. Ltd. (Information Technology) | (a | ) | 62,900 | 2,634,854 | ||||||||
|
| |||||||||||
4,417,403 | ||||||||||||
|
| |||||||||||
SWITZERLAND – 4.0% | ||||||||||||
Landis+Gyr Group AG (Information Technology) | (a | ) | 3,762 | 260,982 | ||||||||
Roche Holding AG (Health Care) | (a | ) | 7,040 | 1,561,880 | ||||||||
UBS Group AG (Financials) | (a | ) | 59,429 | 911,067 | ||||||||
|
| |||||||||||
2,733,929 | ||||||||||||
|
| |||||||||||
CANADA – 3.2% | ||||||||||||
Alamos Gold, Inc. Class A (Materials) | 171,700 | 976,973 | ||||||||||
Barrick Gold Corp. (Materials) | 40,040 | 525,725 | ||||||||||
Husky Energy, Inc. (Energy) | 47,600 | 741,889 | ||||||||||
|
| |||||||||||
2,244,587 | ||||||||||||
|
| |||||||||||
ISRAEL – 3.0% | ||||||||||||
Teva Pharmaceutical Industries Ltd. – ADR (Health Care) | 85,043 | 2,068,246 | ||||||||||
|
| |||||||||||
UNITED STATES – 3.0% | ||||||||||||
Oracle Corp. (Information Technology) | 28,160 | 1,240,729 | ||||||||||
Shire PLC (Health Care) | (a | ) | 14,684 | 827,280 | ||||||||
|
| |||||||||||
2,068,009 | ||||||||||||
|
| |||||||||||
TAIWAN – 2.6% | ||||||||||||
Catcher Technology Co. Ltd. | (a | ) | 42,000 | 468,942 | ||||||||
Quanta Computer, Inc. | (a | ) | 283,000 | 495,907 | ||||||||
Taiwan Semiconductor Manufacturing Co. Ltd. (Information Technology) | (a | ) | 118,000 | 837,927 | ||||||||
|
| |||||||||||
1,802,776 | ||||||||||||
|
| |||||||||||
HONG KONG – 2.2% | ||||||||||||
China Mobile Ltd. (Telecommunication Services) | (a | ) | 64,500 | 572,305 | ||||||||
CK Hutchison Holdings Ltd. (Industrials) | (a | ) | 92,000 | 973,913 | ||||||||
|
| |||||||||||
1,546,218 | ||||||||||||
|
| |||||||||||
ITALY – 2.1% | ||||||||||||
Eni SpA (Energy) | (a | ) | 79,167 | 1,467,865 | ||||||||
|
| |||||||||||
IRELAND – 1.9% | ||||||||||||
Bank of Ireland Group PLC (Financials) | (a | ) | 104,057 | 807,506 | ||||||||
CRH PLC (Materials) | (a | ) | 13,368 | 470,210 | ||||||||
|
| |||||||||||
1,277,716 | ||||||||||||
|
| |||||||||||
DENMARK – 1.7% | ||||||||||||
AP Moller – Maersk A/S Class B (Industrials) . | (a | ) | 236 | 291,956 | ||||||||
Orsted A/S (Utilities) | (a | ) | 6,737 | 407,057 | ||||||||
Vestas Wind Systems A/S (Industrials) | (a | ) | 7,710 | 475,987 | ||||||||
|
| |||||||||||
1,175,000 | ||||||||||||
|
| |||||||||||
LUXEMBOURG – 1.7% | ||||||||||||
SES SA (Consumer Discretionary) | (a | ) | 63,730 | 1,164,966 | ||||||||
|
| |||||||||||
SINGAPORE – 1.4% | ||||||||||||
Singapore Telecommunications Ltd. | (a | ) | 436,400 | 985,414 | ||||||||
|
|
30 | (continued) |
Ohio National Fund, Inc. | ON Foreign Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
Common Stocks (Continued) | Shares | Value | ||||||||||
NEW ZEALAND – 0.8% | ||||||||||||
SKY Network Television Ltd. | (a | ) | 317,198 | $ | 558,031 | |||||||
|
| |||||||||||
THAILAND – 0.8% | ||||||||||||
Bangkok Bank PCL (Financials) | (a | ) | 23,600 | 141,220 | ||||||||
Kasikornbank PCL – Foreign Shares (Financials) | (a | ) | 18,100 | 109,090 | ||||||||
Kasikornbank PCL – NVDR (Financials) | (a | ) | 47,800 | 279,666 | ||||||||
|
| |||||||||||
529,976 | ||||||||||||
|
| |||||||||||
SWEDEN – 0.6% | ||||||||||||
Getinge AB (Health Care) | (a | ) | 46,988 | 426,558 | ||||||||
|
| |||||||||||
Total Common Stocks | $ | 68,578,629 | ||||||||||
|
|
Money Market Funds – 0.5% | Shares | �� | Value | |||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 331,396 | $ | 331,396 | |||||||||
|
| |||||||||||
Total Money Market Funds | $ | 331,396 | ||||||||||
|
| |||||||||||
Total Investments – 99.8% | (d | ) | $ | 68,910,025 | ||||||||
Other Assets in Excess of | 169,394 | |||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 69,079,419 | ||||||||||
|
|
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 $59,846,857 or 86.6% 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 $1,210,506 or 1.8% 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.
31
Ohio National Fund, Inc. | ON Janus Henderson Forty Portfolio (Unaudited) |
Objective/Strategy |
The ON Janus Henderson Forty Portfolio (formerly 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 June 30, 2018 |
Average Annual returns | ||||
One year | 23.04% | |||
Five years | 17.52% | |||
Ten years | 9.85% |
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 0.96% per the Fund’s prospectus dated May 1, 2018. Additional information pertaining to the Portfolio’s expense ratio as of June 30, 2018 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 six-month period ended June 30, 2018, the ON Janus Henderson Forty Portfolio returned 13.60% versus 7.25% 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. The ON Janus Forty Portfolio is a concentrated strategy. As such, we expect individual stock performance to be the primary driver of relative outperformance or underperformance and that was the case for the six-month period ended June 30, 2018.
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 driver of relative outperformance, particularly within the Information Technology, Consumer Discretionary and Health Care sectors. The concentrated nature resulted in the Portfolio looking significantly different from the benchmark within any sector. Within the Information Technology sector, the Portfolio holds positions in several stocks that are tied to powerful secular tailwinds, such as the moving of enterprise software from on-premises to the cloud, a transition in advertising spending away from traditional media toward digital advertising platforms and the switch from cash and check to plastic and electronic payments. (1)
The Portfolio’s sector weightings played only a modest role in driving relative outperformance. An underweight to the Consumer Discretionary sector detracted from relative results, as did an overweight to the Financials sector. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. Mastercard, Inc. Class A (“Mastercard”) was the Portfolio’s largest contributor. For Mastercard, strong revenue growth and better-than-expected earnings guidance drove the stock during the period and confirmed our point of view that payment companies are poised to benefit as consumers and businesses switch from cash and check to plastic and electronic payments. (1)
The Trade Desk, Inc. Class A was the Portfolio’s second largest contributor. The stock sold off in November 2017 due to fourth quarter guidance being below market expectations and the company’s investment commentary for 2018. The stock bounced back significantly after the company reported better results in its most recent quarterly earnings announcement. (1)
SVB Financial Group (“SVB”) was the Portfolio’s third largest contributor. The stock was up significantly after the company reported first quarter revenue and earnings growth that exceeded consensus expectations. We believe the bank has a dominant niche in Silicon Valley, and think SVB is a differentiated and competitively-advantaged bank that can grow faster than its peers at generally higher returns. (1)
An underweight to Apple, Inc. was a key relative detractor. The Portfolio has some exposure to Apple, Inc. but is underweight the stock relative to the benchmark because we are less optimistic about the company’s long-term earnings potential after the iPhone 8 and iPhone X product cycle. (1)
Netflix, Inc.: Not owning the stock within the Portfolio was another key relative detractor. (1)
LendingTree, Inc. was another large relative detractor for the Portfolio. The stock has underperformed because of concerns about the company’s mortgage volumes given an industry slowdown in purchase and refinance activity. We think the market has failed to appreciate the fact that LendingTree, Inc. is diversifying its revenue sources so that it is less dependent on mortgage originations. (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, but participated in one IPO, Pagseguro Digital Ltd. Class A, which contributed 14 basis points during the period. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2018. |
32 | (continued) |
Ohio National Fund, Inc. | ON Janus Henderson Forty 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 June 30, 2018 (1) |
% of Net Assets | ||||
Common Stocks (4) | 95.7 | |||
Money Market Funds and Other Net Assets | 4.3 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of June 30, 2018 (1) (2) (3) |
% of Net Assets | ||||||
1. | Microsoft Corp. | 5.9 | ||||
2. | Amazon.com, Inc. | 5.6 | ||||
3. | Mastercard, Inc. Class A | 5.2 | ||||
4. | Alphabet, Inc. Class C | 5.0 | ||||
5. | salesforce.com, Inc. | 3.9 | ||||
6. | Intercontinental Exchange, Inc. | 3.5 | ||||
7. | TD Ameritrade Holding Corp. | 3.2 | ||||
8. | Cooper Cos., Inc. / The | 3.1 | ||||
9. | American Tower Corp. | 2.9 | ||||
10. | Texas Instruments, Inc. | 2.9 |
(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 | 40.2 | |||
Health Care | 16.5 | |||
Financials | 11.8 | |||
Consumer Discretionary | 11.5 | |||
Industrials | 7.7 | |||
Materials | 5.1 | |||
Real Estate | 2.9 | |||
|
| |||
95.7 | ||||
|
|
33
Ohio National Fund, Inc. | ON Janus Henderson Forty Portfolio |
Schedule of Investments | June 30, 2018 (Unaudited) |
Common Stocks – 95.7% | Shares | Value | ||||||||||
CONSUMER DISCRETIONARY – 11.5% | ||||||||||||
Amazon.com, Inc. (Internet & Direct Marketing Retail) | (a | ) | 5,725 | $ | 9,731,355 | |||||||
Aptiv PLC (Auto Components) | 32,818 | 3,007,113 | ||||||||||
Live Nation Entertainment, Inc. (Media) | (a | ) | 30,636 | 1,487,991 | ||||||||
NIKE, Inc. Class B (Textiles, Apparel & Luxury Goods) | 47,758 | 3,805,357 | ||||||||||
Under Armour, Inc. Class C (Textiles, Apparel & Luxury Goods) | (a | ) | 94,432 | 1,990,627 | ||||||||
|
| |||||||||||
20,022,443 | ||||||||||||
|
| |||||||||||
FINANCIALS – 11.8% | ||||||||||||
Intercontinental Exchange, Inc. (Capital Markets) | 83,011 | 6,105,459 | ||||||||||
LendingTree, Inc. (Thrifts & Mortgage Finance) | (a | ) | 4,904 | 1,048,475 | ||||||||
Markel Corp. (Insurance) | (a | ) | 3,610 | 3,914,503 | ||||||||
SVB Financial Group (Banks) | (a | ) | 13,904 | 4,014,919 | ||||||||
TD Ameritrade Holding Corp. (Capital Markets) | 101,167 | 5,540,917 | ||||||||||
|
| |||||||||||
20,624,273 | ||||||||||||
|
| |||||||||||
HEALTH CARE – 16.5% | ||||||||||||
Allergan PLC (Pharmaceuticals) | 17,549 | 2,925,769 | ||||||||||
BeiGene Ltd. – ADR (Biotechnology) | (a | ) | 4,293 | 659,963 | ||||||||
Boston Scientific Corp. (Health Care Equip. & Supplies) | (a | ) | 144,583 | 4,727,864 | ||||||||
Cooper Cos., Inc. / The (Health Care Equip. & Supplies) | 22,818 | 5,372,498 | ||||||||||
Humana, Inc. (Health Care Providers & Svs.) | 10,552 | 3,140,592 | ||||||||||
ICU Medical, Inc. (Health Care Equip. & Supplies) | (a | ) | 7,641 | 2,243,780 | ||||||||
Insmed, Inc. (Biotechnology) | (a | ) | 61,551 | 1,455,681 | ||||||||
Intuitive Surgical, Inc. (Health Care Equip. & Supplies) | (a | ) | 9,114 | 4,360,867 | ||||||||
Nektar Therapeutics (Pharmaceuticals) | (a | ) | 4,983 | 243,320 | ||||||||
Zoetis, Inc. (Pharmaceuticals) | 41,928 | 3,571,846 | ||||||||||
|
| |||||||||||
28,702,180 | ||||||||||||
|
| |||||||||||
INDUSTRIALS – 7.7% | ||||||||||||
Boeing Co. / The (Aerospace & Defense) | 11,849 | 3,975,458 | ||||||||||
CoStar Group, Inc. (Professional Svs.) | (a | ) | 5,993 | 2,472,892 | ||||||||
Harris Corp. (Aerospace & Defense) | 29,084 | 4,203,801 | ||||||||||
Rexnord Corp. (Machinery) | (a | ) | 93,321 | 2,711,908 | ||||||||
|
| |||||||||||
13,364,059 | ||||||||||||
|
| |||||||||||
INFORMATION TECHNOLOGY – 40.2% | ||||||||||||
Activision Blizzard, Inc. (Software) | 54,267 | 4,141,657 | ||||||||||
Adobe Systems, Inc. (Software) | (a | ) | 13,505 | 3,292,654 | ||||||||
Alphabet, Inc. Class C (Internet Software & Svs.) | (a | ) | 7,813 | 8,716,573 | ||||||||
ASML Holding N.V. (Semiconductors & Equip.) | 25,376 | 5,023,687 | ||||||||||
Atlassian Corp. PLC Class A (Software) | (a | ) | 32,753 | 2,047,718 | ||||||||
Mastercard, Inc. Class A (IT Svs.) | 46,608 | 9,159,404 | ||||||||||
Microsoft Corp. (Software) | 104,245 | 10,279,600 | ||||||||||
NVIDIA Corp. (Semiconductors & Equip.) | 11,517 | 2,728,377 | ||||||||||
Pagseguro Digital Ltd. Class A (IT Svs.) | (a | ) | 40,514 | 1,124,264 | ||||||||
salesforce.com, Inc. (Software) | (a | ) | 50,350 | 6,867,740 | ||||||||
TE Connectivity Ltd. (Electronic Equip., Instr. & Comp.) | 32,507 | 2,927,580 | ||||||||||
Texas Instruments, Inc. (Semiconductors & Equip.) | 45,592 | 5,026,518 | ||||||||||
Trade Desk, Inc. / The Class A (Internet Software & Svs.) | (a | ) | 30,198 | 2,832,572 | ||||||||
Ultimate Software Group, Inc. / The (Software) | (a | ) | 14,721 | 3,787,861 | ||||||||
WEX, Inc. (IT Svs.) | (a | ) | 11,727 | 2,233,759 | ||||||||
|
| |||||||||||
70,189,964 | ||||||||||||
|
| |||||||||||
MATERIALS – 5.1% | ||||||||||||
Ball Corp. (Containers & Packaging) | 97,894 | 3,480,132 | ||||||||||
Sherwin-Williams Co. / The (Chemicals) | 9,120 | 3,717,038 | ||||||||||
Vulcan Materials Co. (Construction Materials) | 13,743 | 1,773,672 | ||||||||||
|
| |||||||||||
8,970,842 | ||||||||||||
|
| |||||||||||
REAL ESTATE – 2.9% | ||||||||||||
American Tower Corp. (Equity REIT) | 35,415 | 5,105,781 | ||||||||||
|
| |||||||||||
Total Common Stocks (Cost $150,638,183) | $ | 166,979,542 | ||||||||||
|
| |||||||||||
Money Market Funds – 4.0% | Shares | Value | ||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 7,032,375 | $ | 7,032,375 | |||||||||
|
| |||||||||||
Total Money Market Funds (Cost $7,033,078) | $ | 7,032,375 | ||||||||||
|
| |||||||||||
Total Investments – 99.7% (Cost $157,671,261) | (b | ) | $ | 174,011,917 | ||||||||
Other Assets in Excess of Liabilities – 0.3% | 590,783 | |||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 174,602,700 | ||||||||||
|
|
34
Ohio National Fund, Inc. | ON Janus Henderson Forty Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
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.
35
Ohio National Fund, Inc. | ON Janus Henderson Venture Portfolio (Unaudited) |
Objective/Strategy |
The ON Janus Henderson Venture Portfolio (formerly 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 June 30, 2018 |
Average Annual returns | ||||
One year | 21.96% | |||
Five years | 14.97% | |||
Ten years | 14.15% |
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 0.85% per the Fund’s prospectus dated May 1, 2018. Additional information pertaining to the Portfolio’s expense ratio as of June 30, 2018 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 six-month period ended June 30, 2018, the ON Janus Henderson Venture Portfolio returned 11.61% versus 9.70% 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. While the Portfolio outperformed the benchmark during the six-month period ended June 30, 2018, the market was led by a narrow subset of consumer internet, medical technology and Software-as-a-Service companies. Many of these stocks trade at extremely high valuations or are yet to produce earnings. The Portfolio’s relative performance was hurt by not owning some of these stocks within the benchmark that outperformed.. The Portfolio owns some stocks within those industries, but we are concerned about excessive valuations for many others. We are comfortable with the Portfolio positioning and refuse to chase these stocks indiscriminately. We believe valuation discipline will be rewarded over the long-term. (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. Both stock selection and sector weighting contributed to relative performance. Stock selection was strongest in the Industrials sector. (1)
In terms of sector allocation, the Portfolio’s overweight to the Information Technology sector was additive to relative performance. We are overweight the sector because we find a number of companies that
aren’t traditional Information Technology companies, but that use technology to provide a much-needed service or solution to specific verticals or industries. Often times, these companies provide a valuable service to the companies they serve, but represent a proportionately small amount of the companies’ budgets. Such business models tend to create steady, predictable revenue streams, and represent the types of steady growth companies we seek out in our strategy. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. Relative Contributors:
Broadridge Financial Solutions, Inc. (“Broadridge”): Broadridge provides investor communications and technology-driven solutions to banks, broker-dealers, mutual funds and corporations globally. Strong revenue growth and a growing appreciation for the company’s ancillary businesses and the revenue streams derived from the data they collect through their proxy business helped drive the stock. (1)
SS&C Technologies Holdings, Inc. (“SS&C”): The stock was up after SS&C announced that it was acquiring DST Systems, Inc., a company providing recordkeeping and other software-enabled services to mutual funds and other financial companies. We share the market’s sentiment toward the acquisition, and believe SS&C has a great track record of realizing synergies and cost cuts from the businesses it acquires. (1)
Bioverativ, Inc. (“Bioverativ”): The stock soared on news that French Health Care company Sanofi agreed to buy the Company for more than $11 billion, a significant premium to the firm’s market value at the time. Bioverativ specializes in hemophilia, one of the largest markets for rare diseases and one that Sanofi projects could grow by more than 7% annually through 2022. The deal is expected to close within months. As a result, we exited the stock. (1)
Relative Detractors:
Belden, Inc. (“Belden”): Some of its networking equipment is sold to broadcast firms, and a dip in broadcast networks’ capital spending may have weighed on the stock. However, we believe that as more live events are recorded online through venues such as YouTube and Amazon, demand for its broadcast-related equipment should remain firm. We continue to like Belden’s long-term potential as the amount of components and connectors used in industrial products expands. (1)
Sarepta Therapeutics, Inc.: Not owning the benchmark holding was the Portfolio’s second largest relative detractor. (1)
Ontex Group N.V.: The stock of the diaper and hygiene product manufacturer fell due in part to slow volumes in Brazil and cost input pressures that caused the company to lower earnings guidance. We believe the market overreacted and continue to like the company’s potential to gain share in different markets as private-label hygiene products take share from branded products in Europe and as more emerging market consumers purchase disposable diapers. (1)
Q. How did the Portfolio’s use of derivative instruments and initial public offerings (IPOs), if any, impact performance?
A. The strategy did not hold derivatives. The strategy participated in three IPOs, Neurocrine Biosciences, Inc., which contributed 47 basis points to performance, The Lovesac Co., which contributed 16 basis points, and Gates Industrial Corp. PLC, which detracted 6 basis points. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2018. |
36 | (continued) |
Ohio National Fund, Inc. | ON Janus Henderson Venture 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 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.
Portfolio Composition as of June 30, 2018 (1) |
% of Net Assets | ||||||
Common Stocks (4) | 95.6 | |||||
Master Limited Partnerships (4) | 2.1 | |||||
Rights (4) | 0.1 | |||||
Money Market Funds and | ||||||
Other Net Assets | 2.2 | |||||
|
| |||||
100.0 | ||||||
|
|
Top 10 Portfolio Holdings as of June 30, 2018 (1) (2) (3) |
% of Net Assets | ||||||
1. | ServiceMaster Global Holdings, Inc. | 2.3 | ||||
2. | SS&C Technologies Holdings, Inc. | 2.0 | ||||
3. | HEICO Corp. Class A | 2.0 | ||||
4. | Nice Ltd. – ADR | 1.8 | ||||
5. | STERIS PLC | 1.7 | ||||
6. | Catalent, Inc. | 1.6 | ||||
7. | Sensient Technologies Corp. | 1.6 | ||||
8. | LPL Financial Holdings, Inc. | 1.6 | ||||
9. | WEX, Inc. | 1.6 | ||||
10. | Blackbaud, Inc. | 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, Master Limited Partnerships, Rights): |
% of Net Assets | ||||
Information Technology | 31.0 | |||
Health Care | 22.9 | |||
Industrials | 15.0 | |||
Consumer Discretionary | 12.1 | |||
Financials | 7.8 | |||
Materials | 4.9 | |||
Real Estate | 2.1 | |||
Consumer Staples | 1.1 | |||
Energy | 0.9 | |||
|
| |||
97.8 | ||||
|
|
37
Ohio National Fund, Inc. | ON Janus Henderson Venture Portfolio |
Schedule of Investments | June 30, 2018 (Unaudited) |
Common Stocks – 95.6% | Shares | Value | ||||||||||
CONSUMER DISCRETIONARY – 10.9% |
| |||||||||||
Biglari Holdings, Inc. Class B (Hotels, Restaurants & Leisure) | (a | ) | 4,733 | $ | 868,458 | |||||||
Cambium Learning Group, Inc. (Diversified Consumer Svs.) | (a | ) | 108,261 | 1,207,110 | ||||||||
Carter’s, Inc. (Textiles, Apparel & Luxury Goods) | 16,288 | 1,765,456 | ||||||||||
Domino’s Pizza Group PLC (Hotels, Restaurants & Leisure) | (b | ) | 316,153 | 1,442,900 | ||||||||
Dunkin’ Brands Group, Inc. (Hotels, Restaurants & Leisure) | 38,509 | 2,659,817 | ||||||||||
K12, Inc. (Diversified Consumer Svs.) | (a | ) | 84,073 | 1,376,275 | ||||||||
Lovesac Co. / The (Household Durables) | (a | ) | 93,556 | 1,941,287 | ||||||||
MakeMyTrip Ltd. (Internet & Direct Marketing Retail) | (a | ) | 37,542 | 1,357,143 | ||||||||
Manchester United PLC Class A (Media) | 77,401 | 1,594,461 | ||||||||||
Playa Hotels & Resorts N.V. (Hotels, Restaurants & Leisure) | (a | ) | 123,093 | 1,329,404 | ||||||||
Sally Beauty Holdings, Inc. (Specialty Retail) | (a | ) | 111,975 | 1,794,959 | ||||||||
ServiceMaster Global Holdings, Inc. (Diversified Consumer Svs.) | (a | ) | 104,916 | 6,239,355 | ||||||||
Thor Industries, Inc. (Automobiles) | 16,179 | 1,575,673 | ||||||||||
Visteon Corp. (Auto Components) | (a | ) | 17,535 | 2,266,223 | ||||||||
Williams-Sonoma, Inc. (Specialty Retail) | 27,800 | 1,706,364 | ||||||||||
|
| |||||||||||
29,124,885 | ||||||||||||
|
| |||||||||||
CONSUMER STAPLES – 1.1% | ||||||||||||
Casey’s General Stores, Inc. (Food & Staples Retailing) | 9,050 | 950,974 | ||||||||||
Ontex Group N.V. (Personal Products) | (b | ) | 83,410 | 1,828,077 | ||||||||
|
| |||||||||||
2,779,051 | ||||||||||||
|
| |||||||||||
FINANCIALS – 7.8% | ||||||||||||
Financial Engines, Inc. (Capital Markets) | 20,914 | 939,039 | ||||||||||
Kearny Financial Corp. (Thrifts & Mortgage Finance) | 78,488 | 1,055,664 | ||||||||||
Kingstone Cos., Inc. (Insurance) | 101,875 | 1,721,687 | ||||||||||
Landcadia Holdings, Inc. (Diversified Financial Svs.) | (a | ) | 132,219 | 1,339,378 | ||||||||
LendingTree, Inc. (Thrifts & Mortgage Finance) | (a | ) | 4,142 | 885,560 | ||||||||
LPL Financial Holdings, Inc. (Capital Markets) | 64,464 | 4,224,971 | ||||||||||
MSCI, Inc. (Capital Markets) | 14,564 | 2,409,322 | ||||||||||
RLI Corp. (Insurance) | 37,824 | 2,503,571 | ||||||||||
SLM Corp. (Consumer Finance) | (a | ) | 158,235 | 1,811,791 | ||||||||
Texas Capital Bancshares, Inc. (Banks) | (a | ) | 17,711 | 1,620,556 | ||||||||
UMB Financial Corp. (Banks) | 17,826 | 1,358,876 | ||||||||||
WisdomTree Investments, Inc. (Capital Markets) | 125,975 | 1,143,853 | ||||||||||
|
| |||||||||||
21,014,268 | ||||||||||||
|
| |||||||||||
HEALTH CARE – 22.8% | ||||||||||||
AnaptysBio, Inc. (Biotechnology) | (a | ) | 18,417 | 1,308,344 | ||||||||
AngioDynamics, Inc. (Health Care Equip. & Supplies) | (a | ) | 123,043 | 2,736,476 | ||||||||
athenahealth, Inc. (Health Care Technology) | (a | ) | 17,125 | 2,725,272 | ||||||||
BeiGene Ltd. – ADR (Biotechnology) | (a | ) | 5,686 | 874,109 | ||||||||
Biohaven Pharmaceutical Holding Co. Ltd. (Biotechnology) | (a | ) | 38,493 | 1,521,243 | ||||||||
Bio-Techne Corp. (Life Sciences Tools & Svs.) | 17,273 | 2,555,540 | ||||||||||
Catalent, Inc. (Pharmaceuticals) | (a | ) | 102,678 | 4,301,181 | ||||||||
DBV Technologies SA – ADR (Biotechnology) | (a | ) | 43,537 | 839,829 | ||||||||
Deciphera Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 19,933 | 784,364 | ||||||||
Diplomat Pharmacy, Inc. (Health Care Providers & Svs.) | (a | ) | 61,450 | 1,570,662 | ||||||||
Eagle Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 36,629 | 2,771,350 |
Common Stocks (Continued) | Shares | Value | ||||||||||
HEALTH CARE (continued) |
| |||||||||||
Enanta Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 8,383 | $ | 971,590 | |||||||
FibroGen, Inc. (Biotechnology) | (a | ) | 21,803 | 1,364,868 | ||||||||
GW Pharmaceuticals PLC – ADR (Pharmaceuticals) | (a | ) | 11,337 | 1,581,965 | ||||||||
HealthEquity, Inc. (Health Care Providers & Svs.) | (a | ) | 24,655 | 1,851,590 | ||||||||
HealthStream, Inc. (Health Care Technology) | 30,284 | 827,056 | ||||||||||
Heron Therapeutics, Inc. (Biotechnology) | (a | ) | 63,021 | 2,448,366 | ||||||||
Heska Corp. (Health Care Equip. & Supplies) | (a | ) | 16,588 | 1,721,669 | ||||||||
ICU Medical, Inc. (Health Care Equip. & Supplies) | (a | ) | 6,832 | 2,006,217 | ||||||||
Immunomedics, Inc. (Biotechnology) | (a | ) | 33,474 | 792,330 | ||||||||
Insmed, Inc. (Biotechnology) | (a | ) | 50,895 | 1,203,667 | ||||||||
Ironwood Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 97,091 | 1,856,380 | ||||||||
Knight Therapeutics, Inc. (Biotechnology) | (a | ) | 207,221 | 1,268,877 | ||||||||
Ligand Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 10,873 | 2,252,559 | ||||||||
NeoGenomics, Inc. (Life Sciences Tools & Svs.) | (a | ) | 219,826 | 2,881,919 | ||||||||
Neurocrine Biosciences, Inc. (Biotechnology) | (a | ) | 21,845 | 2,146,053 | ||||||||
NuVasive, Inc. (Health Care Equip. & Supplies) | (a | ) | 42,748 | 2,228,026 | ||||||||
Prestige Brands Holdings, Inc. (Pharmaceuticals) | (a | ) | 63,964 | 2,454,938 | ||||||||
Puma Biotechnology, Inc. (Biotechnology) | (a | ) | 19,206 | 1,136,035 | ||||||||
Rhythm Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 39,981 | 1,249,806 | ||||||||
STERIS PLC (Health Care Equip. & Supplies) | 43,531 | 4,571,190 | ||||||||||
Trinity Biotech PLC – ADR (Health Care Equip. & Supplies) | (a | ) | 98,798 | 493,990 | ||||||||
U.S. Physical Therapy, Inc. (Health Care Providers & Svs.) | 11,656 | 1,118,976 | ||||||||||
WaVe Life Sciences Ltd. (Pharmaceuticals) | (a | ) | 23,229 | 888,509 | ||||||||
|
| |||||||||||
61,304,946 | ||||||||||||
|
| |||||||||||
INDUSTRIALS – 15.0% | ||||||||||||
AMERCO (Road & Rail) | 4,181 | 1,489,063 | ||||||||||
Cimpress N.V. (Commercial Svs. & Supplies) | (a | ) | 17,085 | 2,476,642 | ||||||||
CoStar Group, Inc. (Professional Svs.) | (a | ) | 5,996 | 2,474,129 | ||||||||
CSW Industrials, Inc. (Building Products) | (a | ) | 61,413 | 3,245,677 | ||||||||
EnerSys (Electrical Equip.) | 29,703 | 2,217,032 | ||||||||||
Gates Industrial Corp. PLC (Machinery) | (a | ) | 139,034 | 2,262,083 | ||||||||
HEICO Corp. Class A (Aerospace & Defense) | 86,374 | 5,264,480 | ||||||||||
ITT, Inc. (Machinery) | 47,461 | 2,480,786 | ||||||||||
Kennametal, Inc. (Machinery) | 47,854 | 1,717,959 | ||||||||||
Kornit Digital Ltd. (Machinery) | (a | ) | 93,106 | 1,657,287 | ||||||||
Nordson Corp. (Machinery) | 14,984 | 1,924,095 | ||||||||||
Old Dominion Freight Line, Inc. (Road & Rail) | 13,775 | 2,051,924 | ||||||||||
Proto Labs, Inc. (Machinery) | (a | ) | 12,601 | 1,498,889 | ||||||||
Rexnord Corp. (Machinery) | (a | ) | 123,097 | 3,577,199 | ||||||||
Standex International Corp. (Machinery) | 30,388 | 3,105,654 | ||||||||||
WABCO Holdings, Inc. (Machinery) | (a | ) | 9,095 | 1,064,297 | ||||||||
Wabtec Corp. (Machinery) | 19,286 | 1,901,214 | ||||||||||
|
| |||||||||||
40,408,410 | ||||||||||||
|
| |||||||||||
INFORMATION TECHNOLOGY – 31.0% |
| |||||||||||
Altair Engineering, Inc. Class A (Software) | (a | ) | 37,037 | 1,265,925 | ||||||||
Belden, Inc. (Electronic Equip., Instr. & Comp.) | 59,507 | 3,637,068 | ||||||||||
Blackbaud, Inc. (Software) | 40,350 | 4,133,857 | ||||||||||
Broadridge Financial Solutions, Inc. (IT Svs.) . | 34,330 | 3,951,383 | ||||||||||
Cadence Design Systems, Inc. (Software) | (a | ) | 77,784 | 3,368,825 | ||||||||
ChannelAdvisor Corp. (Internet Software & Svs.) | (a | ) | 84,570 | 1,188,209 | ||||||||
Cision Ltd. (Internet Software & Svs.) | (a | ) | 184,960 | 2,765,152 | ||||||||
CTS Corp. (Electronic Equip., Instr. & Comp.) | 81,220 | 2,923,920 |
38 | (continued) |
Ohio National Fund, Inc. | ON Janus Henderson Venture Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
Common Stocks (Continued) | Shares | Value | ||||||||||
INFORMATION TECHNOLOGY (continued) | ||||||||||||
Descartes Systems Group, Inc. / The (Software) | (a | ) | 77,965 | $ | 2,540,023 | |||||||
Envestnet, Inc. (Internet Software & Svs.) | (a | ) | 50,487 | 2,774,261 | ||||||||
Euronet Worldwide, Inc. (IT Svs.) | (a | ) | 43,090 | 3,609,649 | ||||||||
Everbridge, Inc. (Software) | (a | ) | 40,507 | 1,920,842 | ||||||||
Guidewire Software, Inc. (Software) | (a | ) | 19,811 | 1,758,821 | ||||||||
Instructure, Inc. (Internet Software & Svs.) | (a | ) | 35,864 | 1,526,013 | ||||||||
j2 Global, Inc. (Internet Software & Svs.) | 46,900 | 4,062,009 | ||||||||||
LivePerson, Inc. (Internet Software & Svs.) | (a | ) | 53,473 | 1,128,280 | ||||||||
National Instruments Corp. (Electronic Equip., Instr. & Comp.) | 37,177 | 1,560,690 | ||||||||||
Nice Ltd. – ADR (Software) | (a | ) | 46,763 | 4,852,597 | ||||||||
Novanta, Inc. (Electronic Equip., Instr. & Comp.) | (a | ) | 19,791 | 1,232,979 | ||||||||
ON Semiconductor Corp. (Semiconductors & Equip.) | (a | ) | 174,407 | 3,877,940 | ||||||||
OSI Systems, Inc. (Electronic Equip., Instr. & Comp.) | (a | ) | 25,574 | 1,977,637 | ||||||||
Paylocity Holding Corp. (Software) | (a | ) | 38,577 | 2,270,642 | ||||||||
RealPage, Inc. (Software) | (a | ) | 31,482 | 1,734,658 | ||||||||
Rogers Corp. (Electronic Equip., Instr. & Comp.) | (a | ) | 16,330 | 1,820,142 | ||||||||
SS&C Technologies Holdings, Inc. (Software) | 106,178 | 5,510,638 | ||||||||||
Switch, Inc. Class A (IT Svs.) | 25,832 | 314,375 | ||||||||||
Trade Desk, Inc. / The Class A (Internet Software & Svs.) | (a | ) | 24,876 | 2,333,369 | ||||||||
Tyler Technologies, Inc. (Software) | (a | ) | 8,878 | 1,971,804 | ||||||||
U.S.A. Technologies, Inc. (Tech. Hardware, Storage & Periph.) | (a | ) | 82,682 | 1,157,548 | ||||||||
WEX, Inc. (IT Svs.) | (a | ) | 22,135 | 4,216,275 | ||||||||
WNS Holdings Ltd. – ADR (IT Svs.) | (a | ) | 27,184 | 1,418,461 | ||||||||
Xperi Corp. (Semiconductors & Equip.) | 54,596 | 878,996 | ||||||||||
Yext, Inc. (Internet Software & Svs.) | (a | ) | 99,282 | 1,920,114 | ||||||||
Zillow Group, Inc. Class A (Internet Software & Svs.) | (a | ) | 27,686 | 1,654,238 | ||||||||
|
| |||||||||||
83,257,340 | ||||||||||||
|
| |||||||||||
MATERIALS – 4.9% | ||||||||||||
H.B. Fuller Co. (Chemicals) | 43,046 | 2,310,709 | ||||||||||
Neenah, Inc. (Paper & Forest Products) | 23,437 | 1,988,630 | ||||||||||
Sensient Technologies Corp. (Chemicals) | 59,836 | 4,281,266 | ||||||||||
Summit Materials, Inc. Class A (Construction Materials) | (a | ) | 71,609 | 1,879,736 | ||||||||
Valvoline, Inc. (Chemicals) | 129,414 | 2,791,460 | ||||||||||
|
| |||||||||||
13,251,801 | ||||||||||||
|
|
Common Stocks (Continued) | Shares | Value | ||||||||||
REAL ESTATE – 2.1% | ||||||||||||
Condor Hospitality Trust, Inc. (Equity REIT) | 97,540 | $ | 1,014,416 | |||||||||
Easterly Government Properties, Inc. (Equity REIT) | 73,990 | 1,462,042 | ||||||||||
Jones Lang LaSalle, Inc. (Real Estate Mgmt. & Development) | 7,655 | 1,270,653 | ||||||||||
Physicians Realty Trust (Equity REIT) | 70,542 | 1,124,440 | ||||||||||
Redfin Corp. (Real Estate Mgmt. & Development) | (a | ) | 35,542 | 820,665 | ||||||||
|
| |||||||||||
5,692,216 | ||||||||||||
|
| |||||||||||
Total Common Stocks |
| $ | 256,832,917 | |||||||||
|
| |||||||||||
Master Limited Partnerships – 2.1% | Shares | Value | ||||||||||
CONSUMER DISCRETIONARY – 1.2% |
| |||||||||||
Cedar Fair LP (Hotels, Restaurants & Leisure) | 50,992 | $ | 3,213,006 | |||||||||
|
| |||||||||||
ENERGY – 0.9% | ||||||||||||
DCP Midstream LP (Oil, Gas & Consumable Fuels) | 58,561 | 2,316,088 | ||||||||||
|
| |||||||||||
Total Master Limited Partnerships |
| $ | 5,529,094 | |||||||||
|
| |||||||||||
Rights – 0.1% | Quantity | Value | ||||||||||
HEALTH CARE – 0.1% | ||||||||||||
Dyax Corp. – Contingent Value Right (Expiration: 12/31/19) (Biotechnology) | (a | )(c)(d) | 103,366 | $ | 345,242 | |||||||
|
| |||||||||||
Total Rights (Cost $0) | $ | 345,242 | ||||||||||
|
| |||||||||||
Money Market Funds – 1.5% | Shares | Value | ||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 4,125,891 | $ | 4,125,891 | |||||||||
|
| |||||||||||
Total Money Market Funds (Cost $4,126,304) | $ | 4,125,891 | ||||||||||
|
| |||||||||||
Total Investments – 99.3% (Cost $196,046,162) | (e | ) | $ | 266,833,144 | ||||||||
Other Assets in Excess of Liabilities – 0.7% | 1,958,725 | |||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 268,791,869 | ||||||||||
|
|
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 $3,270,977 or 1.2% 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) | Represents a security deemed to be illiquid. At June 30, 2018, the value of illiquid securities in the Portfolio totaled $345,242, 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 its SHP643 (formerly DX-29330) product. |
(d) | A market quotation for this investment was not readily available at June 30, 2018. As discussed in Note 2 of the Notes to Financial Statements, 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 $345,242, or 0.1% of the Portfolio’s net assets. |
(e) | 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.
39
Ohio National Fund, Inc. | ON Janus Henderson Enterprise Portfolio (Unaudited) |
Objective/Strategy |
The ON Janus Henderson Enterprise Portfolio (formerly 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 June 30, 2018 |
Average Annual returns | ||||
One year | 16.58% | |||
Five years | 11.43% | |||
Ten years | 7.83% |
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, 2018. Additional information pertaining to the Portfolio’s expense ratio as of June 30, 2018 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 six-month period ended June 30, 2018, the ON Janus Henderson Enterprise Portfolio returned 5.31% versus 5.40% for its benchmark, the Russell Midcap Growth Index.
Effective May 1, 2018, Janus Capital Management LLC (“Janus”) replaced the Portfolio’s previous sub-adviser, Goldman Sachs Asset Management, L.P. (“Goldman Sachs”). In conjunction with the change in sub-adviser, the name of the Portfolio was changed from Mid Cap Opportunity Portfolio to ON Janus Henderson Enterprise Portfolio. The Portfolio’s benchmark was unchanged.
For the period from January 1, 2018 to April 30, 2018 (the “first four-month period”), the Portfolio was known as the Mid Cap Opportunity Portfolio, and was sub-advised by Goldman Sachs. During the first four-month period, the Portfolio returned 1.66% versus 1.21% for the Russell Midcap Growth Index.
For the period from May 1, 2018 to June 30, 2018 (the “latter two-month period”), the Portfolio was sub-advised by Janus. During this period, the Portfolio returned 3.59% versus 4.14% for 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. Goldman Sachs: Stock selection was the primary driver of the Portfolio’s outperformance during the first four-month period. Strong stock selection in the Information Technology sector drove much of the outperformance.
A. Janus: The market was led by a narrow subset of consumer internet, medical technology and Software-as-a-Service companies during the latter two-month period. Many of these stocks trade at excessively high valuations or are yet to produce earnings. On a relative basis, the Portfolio’s performance was hurt by not owning some of these stocks, or reducing existing positions into strength, but we are comfortable with our positioning and refuse to own stocks indiscriminately. (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. Goldman Sachs: During the first four-month period, stock selection within the Information Technology and Financials sectors contributed most to relative returns, while stock selection within the Consumer Discretionary and Materials sectors detracted most from relative returns.
A. Janus: Stock selection did not contribute to, nor detract from, relative performance in the latter two-month period. An overweight to the Financials sector hurt performance. Our reasons for the overweight are stock-specific and not reflective of a view on the broader sector. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. Goldman Sachs: Intuit, Inc. was a top contributor to relative returns for the first four-month period. The company released positive numbers following the 2017 tax filing season in which it reported further market share gains while also raising its full-year consumer tax guidance. Intuit’s has continued to gain market share in the Do-It-Yourself (“DIY”) tax space and the company’s deep product line and growing customer base have been viewed as encouraging signs of further growth.
GoDaddy, Inc. Class A (“GoDaddy”), a web hosting services company, was also a top contributor for the first four-month period. The company reported strong fourth quarter results and gave impressive guidance for both the first quarter and full year of 2018. Continued customer engagement and expansion of its product portfolio drove organic revenue growth that exceeded investor expectations. GoDaddy is a high-quality company that has consistently executed and been able to deliver durable earnings growth at an attractive valuation.
Valvoline, Inc. (“Valvoline”) was a top detractor from relative returns for the first four-month period. In early February, the company announced mixed quarterly results. Same store sales were strong with positive store traffic and good sales growth. However, higher commodity prices and performance in the core North American and International segments dragged on earnings. Despite the macro headwinds, the company has multiple sales growth drivers and is gaining market share among mechanics.
Hubbell, Inc. (“Hubbell”), a company that designs, manufactures and sells electrical and electronic products, was also a top detractor from relative returns for the four-month period. The stock came under pressure in April following its earnings announcement, in which it reported in-line earnings but slightly weaker than expected margins. The results were driven by challenging pricing in select markets and cost pressures.
A. Janus: Relative Contributors:
athenahealth, Inc., the top contributor during the latter two-month period, provides cloud-based business services for physician practices and hospitals. We think its products have the potential to remove
40 | (continued) |
Ohio National Fund, Inc. | ON Janus Henderson Enterprise Portfolio (Unaudited) (Continued) |
significant inefficiency from the health care system and believe the company’s ability to exchange information and help physicians and hospitals navigate complex changes to the regulatory landscape will add meaningfully to its sales. (1)
WEX, Inc. (“WEX”), the second largest contributor, provides payment processing and information management services to vehicle fleets. We believe that WEX has earned its leading market share position through differentiated back-end reporting, bill pay consolidation features and complex analytics. In addition, we estimate that it would take significant effort for competitors to achieve similar transaction fees. (1)
Boston Scientific Corp. was the third largest contributor. We are encouraged by the medical device maker’s initiatives to boost its product pipeline, operating margins and revenue growth. New product launches, especially in the cardiovascular field, have been encouraging. (1)
Relative Detractors:
Align Technology, Inc.: Not owning this benchmark constituent was the Portfolio’s largest detractor from relative performance during the period. (1)
TD Ameritrade Holding Corp. (“TD Ameritrade”): TD Ameritrade reported a decent first quarter in April, but the stock traded down after its quarterly earnings report due to less than perfect transparency around expenses. The company announced that its 2018 expenses would be marginally higher than previous guidance as acquisition related costs were higher than expected. However, its management was expecting the cost synergies from the Scottrade acquisition to be better than expected. We believe the online broker is a best-in-class asset gatherer. Going forward, we believe that the retirement wave of baby boomers is a tailwind for companies such as TD Ameritrade, as financial assets will likely move from defined contribution plans to rollover IRAs. (1)
Illumina, Inc.: The company develops, manufactures and markets integrated systems for the analysis of genetic variation and biological function. Not owning the stock in the Portfolio was a relative detractor. (1)
Q. How did the Portfolio’s use of derivative instruments and initial public offerings (IPOs), if any, impact performance?
A. Goldman Sachs: The Portfolio did not utilize derivatives during the period. The Portfolio participated in two IPOs during the period: Dropbox, Inc. and Hudson Ltd. Class A. The Portfolio’s position in Dropbox, Inc. contributed 5 basis points to relative performance during the first four-month period while the Portfolio’s position in Hudson LTD detracted 4 basis points from relative performance during that period.
A. Janus: The Portfolio did not hold any derivatives or participate in any IPOs during the latter two-month period. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2018. |
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.
41 | (continued) |
Ohio National Fund, Inc. | ON Janus Henderson Enterprise Portfolio (Unaudited) (Continued) |
Portfolio Composition as of June 30, 2018 (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 June 30, 2018 (1) (2) (3) |
% of Net Assets | ||||||
1. | Microchip Technology, Inc. | 2.6 | ||||
2. | TD Ameritrade Holding Corp. | 2.6 | ||||
3. | Sensata Technologies Holding PLC | 2.5 | ||||
4. | Boston Scientific Corp. | 2.4 | ||||
5. | Constellation Software, Inc. | 2.4 | ||||
6. | WEX, Inc. | 2.3 | ||||
7. | Verisk Analytics, Inc. | 2.3 | ||||
8. | Nice Ltd. – ADR | 2.3 | ||||
9. | TE Connectivity Ltd. | 2.1 | ||||
10. | Crown Castle International 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 | 35.2 | |||
Industrials | 22.3 | |||
Health Care | 16.2 | |||
Financials | 10.4 | |||
Consumer Discretionary | 8.1 | |||
Real Estate | 4.0 | |||
Materials | 1.3 | |||
Energy | 0.3 | |||
|
| |||
97.8 | ||||
|
|
42
Ohio National Fund, Inc. | ON Janus Henderson Enterprise Portfolio |
Schedule of Investments | June 30, 2018 (Unaudited) |
Common Stocks – 97.8% | Shares | Value | ||||||||||
CONSUMER DISCRETIONARY – 8.1% |
| |||||||||||
Carter’s, Inc. (Textiles, Apparel & Luxury Goods) | 7,418 | $ | 804,037 | |||||||||
Dunkin’ Brands Group, Inc. (Hotels, Restaurants & Leisure) | 24,010 | 1,658,371 | ||||||||||
Gildan Activewear, Inc. (Textiles, Apparel & Luxury Goods) | 54,952 | 1,547,448 | ||||||||||
Lululemon Athletica, Inc. (Textiles, Apparel & Luxury Goods) | (a | ) | 6,619 | 826,382 | ||||||||
Norwegian Cruise Line Holdings Ltd. (Hotels, Restaurants & Leisure) | (a | ) | 22,588 | 1,067,283 | ||||||||
Omnicom Group, Inc. (Media) | 14,307 | 1,091,195 | ||||||||||
Tractor Supply Co. (Specialty Retail) | 9,084 | 694,835 | ||||||||||
Visteon Corp. (Auto Components) | (a | ) | 4,972 | 642,581 | ||||||||
Wayfair, Inc. Class A (Internet & Direct Marketing Retail) | (a | ) | 5,862 | 696,171 | ||||||||
Williams-Sonoma, Inc. (Specialty Retail) | 11,928 | 732,141 | ||||||||||
|
| |||||||||||
9,760,444 | ||||||||||||
|
| |||||||||||
ENERGY – 0.3% | ||||||||||||
World Fuel Services Corp. (Oil, Gas & Consumable Fuels) | 19,112 | 390,076 | ||||||||||
|
| |||||||||||
FINANCIALS – 10.4% | ||||||||||||
Aon PLC (Insurance) | 16,165 | 2,217,353 | ||||||||||
Intact Financial Corp. (Insurance) | 17,017 | 1,207,040 | ||||||||||
LPL Financial Holdings, Inc. (Capital Markets) | 35,884 | 2,351,837 | ||||||||||
MSCI, Inc. (Capital Markets) | 5,497 | 909,369 | ||||||||||
SVB Financial Group (Banks) | (a | ) | 3,207 | 926,053 | ||||||||
Synchrony Financial (Consumer Finance) | 22,984 | 767,206 | ||||||||||
TD Ameritrade Holding Corp. (Capital Markets) | 56,044 | 3,069,530 | ||||||||||
W.R. Berkley Corp. (Insurance) | 15,110 | 1,094,115 | ||||||||||
|
| |||||||||||
12,542,503 | ||||||||||||
|
| |||||||||||
HEALTH CARE – 16.2% | ||||||||||||
ACADIA Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 18,095 | 276,311 | ||||||||
Alkermes PLC (Biotechnology) | (a | ) | 10,546 | 434,073 | ||||||||
athenahealth, Inc. (Health Care Technology) | (a | ) | 13,533 | 2,153,642 | ||||||||
Boston Scientific Corp. (Health Care Equip. & Supplies) | (a | ) | 88,713 | 2,900,915 | ||||||||
Cooper Cos., Inc. / The (Health Care Equip. & Supplies) | 8,476 | 1,995,674 | ||||||||||
DBV Technologies SA – ADR (Biotechnology) | (a | ) | 7,557 | 145,774 | ||||||||
DexCom, Inc. (Health Care Equip. & Supplies) | (a | ) | 7,392 | 702,092 | ||||||||
Henry Schein, Inc. (Health Care Providers & Svs.) | (a | ) | 10,274 | 746,303 | ||||||||
ICU Medical, Inc. (Health Care Equip. & Supplies) | (a | ) | 4,095 | 1,202,497 | ||||||||
IQVIA Holdings, Inc. (Life Sciences Tools & Svs.) | (a | ) | 14,860 | 1,483,325 | ||||||||
Neurocrine Biosciences, Inc. (Biotechnology) | (a | ) | 13,073 | 1,284,291 | ||||||||
PerkinElmer, Inc. (Life Sciences Tools & Svs.) | 28,777 | 2,107,340 | ||||||||||
Teleflex, Inc. (Health Care Equip. & Supplies) | 3,803 | 1,020,003 | ||||||||||
Varian Medical Systems, Inc. (Health Care Equip. & Supplies) | (a | ) | 12,405 | 1,410,697 | ||||||||
Waters Corp. (Life Sciences Tools & Svs.) | (a | ) | 8,474 | 1,640,482 | ||||||||
|
| |||||||||||
19,503,419 | ||||||||||||
|
| |||||||||||
INDUSTRIALS – 22.3% | ||||||||||||
A.O. Smith Corp. (Building Products) | 20,300 | 1,200,745 | ||||||||||
AMETEK, Inc. (Electrical Equip.) | 8,955 | 646,193 | ||||||||||
Carlisle Cos., Inc. (Industrial Conglomerates) | 13,734 | 1,487,529 | ||||||||||
Cimpress N.V. (Commercial Svs. & Supplies) | (a | ) | 13,774 | 1,996,679 | ||||||||
CoStar Group, Inc. (Professional Svs.) | (a | ) | 5,385 | 2,222,012 | ||||||||
Edenred (Commercial Svs. & Supplies) | (b | ) | 30,828 | 973,755 | ||||||||
Ferguson PLC (Trading Companies & Distributors) | (b | ) | 11,003 | 890,228 | ||||||||
Harris Corp. (Aerospace & Defense) | 5,507 | 795,982 | ||||||||||
HEICO Corp. (Aerospace & Defense) | 11,041 | 805,238 | ||||||||||
HEICO Corp. Class A (Aerospace & Defense) | 3,378 | 205,859 | ||||||||||
IHS Markit Ltd. (Professional Svs.) | (a | ) | 21,734 | 1,121,257 |
Common Stocks (Continued) | Shares | Value | ||||||||||
INDUSTRIALS (continued) | ||||||||||||
Middleby Corp. / The (Machinery) | (a | ) | 7,461 | $ | 779,078 | |||||||
Old Dominion Freight Line, Inc. (Road & Rail) | 7,431 | 1,106,922 | ||||||||||
Rexnord Corp. (Machinery) | (a | ) | 57,430 | 1,668,916 | ||||||||
Ritchie Bros Auctioneers, Inc. (Commercial Svs. & Supplies) | 39,952 | 1,363,162 | ||||||||||
Ryanair Holdings PLC – ADR (Airlines) | (a | ) | 11,213 | 1,280,861 | ||||||||
Sensata Technologies Holding PLC (Electrical Equip.) | (a | ) | 62,474 | 2,972,513 | ||||||||
Teledyne Technologies, Inc. (Aerospace & Defense) | (a | ) | 8,891 | 1,769,842 | ||||||||
Verisk Analytics, Inc. (Professional Svs.) | (a | ) | 26,204 | 2,820,599 | ||||||||
Wabtec Corp. (Machinery) | 6,903 | 680,498 | ||||||||||
|
| |||||||||||
26,787,868 | ||||||||||||
|
| |||||||||||
INFORMATION TECHNOLOGY – 35.2% |
| |||||||||||
Amdocs Ltd. (IT Svs.) | 32,900 | 2,177,651 | ||||||||||
Atlassian Corp. PLC Class A (Software) | (a | ) | 34,596 | 2,162,942 | ||||||||
Belden, Inc. (Electronic Equip., Instr. & Comp.) | 14,524 | 887,707 | ||||||||||
Broadridge Financial Solutions, Inc. (IT Svs.) | 7,649 | 880,400 | ||||||||||
Constellation Software, Inc. (Software) | 3,719 | 2,884,195 | ||||||||||
Dolby Laboratories, Inc. Class A (Electronic Equip., Instr. & Comp.) | 10,960 | 676,122 | ||||||||||
Euronet Worldwide, Inc. (IT Svs.) | (a | ) | 4,897 | 410,222 | ||||||||
Fidelity National Information Services, Inc. (IT Svs.) | 14,922 | 1,582,180 | ||||||||||
Flex Ltd. (Electronic Equip., Instr. & Comp.) | (a | ) | 97,487 | 1,375,542 | ||||||||
Gartner, Inc. (IT Svs.) | (a | ) | 9,066 | 1,204,871 | ||||||||
Global Payments, Inc. (IT Svs.) | 16,100 | 1,794,989 | ||||||||||
Intuit, Inc. (Software) | 3,893 | 795,359 | ||||||||||
Jack Henry & Associates, Inc. (IT Svs.) | 6,146 | 801,193 | ||||||||||
KLA-Tencor Corp. (Semiconductors & Equip.) | 19,253 | 1,974,010 | ||||||||||
Lam Research Corp. (Semiconductors & Equip.) | 8,415 | 1,454,533 | ||||||||||
Microchip Technology, Inc. (Semiconductors & Equip.) | 34,850 | 3,169,607 | ||||||||||
National Instruments Corp. (Electronic Equip., Instr. & Comp.) | 45,969 | 1,929,779 | ||||||||||
Nice Ltd. – ADR (Software) | (a | ) | 26,395 | 2,739,009 | ||||||||
ON Semiconductor Corp. (Semiconductors & Equip.) | (a | ) | 102,649 | 2,282,401 | ||||||||
SS&C Technologies Holdings, Inc. (Software) | 47,095 | 2,444,230 | ||||||||||
TE Connectivity Ltd. (Electronic Equip., Instr. & Comp.) | 28,501 | 2,566,800 | ||||||||||
Ultimate Software Group, Inc. / The (Software) | (a | ) | 5,130 | 1,320,000 | ||||||||
WEX, Inc. (IT Svs.) | (a | ) | 14,838 | 2,826,342 | ||||||||
Xilinx, Inc. (Semiconductors & Equip.) | 30,226 | 1,972,549 | ||||||||||
|
| |||||||||||
42,312,633 | ||||||||||||
|
| |||||||||||
MATERIALS – 1.3% | ||||||||||||
Sealed Air Corp. (Containers & Packaging) | 36,492 | 1,549,085 | ||||||||||
|
| |||||||||||
REAL ESTATE – 4.0% | ||||||||||||
Crown Castle International Corp. (Equity REIT) | 23,086 | 2,489,133 | ||||||||||
Lamar Advertising Co. Class A (Equity REIT) | 33,314 | 2,275,679 | ||||||||||
|
| |||||||||||
4,764,812 | ||||||||||||
|
| |||||||||||
Total Common Stocks | $ | 117,610,840 | ||||||||||
|
| |||||||||||
Money Market Funds – 1.8% | Shares | Value | ||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 2,181,297 | $ | 2,181,297 | |||||||||
|
| |||||||||||
Total Money Market Funds | $ | 2,181,297 | ||||||||||
|
| |||||||||||
Total Investments – 99.6% | (c | ) | $ | 119,792,137 | ||||||||
Other Assets in Excess of | 494,857 | |||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 120,286,994 | ||||||||||
|
|
43
Ohio National Fund, Inc. | ON Janus Henderson Enterprise Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
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 $1,863,983 or 1.5% of the Portfolio’s net assets. |
(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.
44
Ohio National Fund, Inc. | ON S&P 500® Index Portfolio (Unaudited) |
Objective/Strategy |
The ON S&P 500® Index Portfolio (formerly 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 June 30, 2018 |
Average Annual returns | ||||
One year | 13.94% | |||
Five years | 12.92% | |||
Ten years | 9.65% |
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 0.38% per the Fund’s prospectus dated May 1, 2018. Additional information pertaining to the Portfolio’s expense ratio as of June 30, 2018 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 six-month period ended June 30, 2018, the ON S&P 500® Index Portfolio returned 2.44% versus 2.65% 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. The Portfolio intends to track the underlying return of the S&P 500® Index. There were no material market events or changes in strategy for the period that impacted the Portfolio’s relative return. Sources of performance variance were related to the cumulative impact of investing the day-to-day cash flows in the Portfolio.
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. There was no impact from either sector or stock selection that caused any significant performance variance between the Portfolio and its benchmark. Information Technology, which is the largest sector in the benchmark, contributed the most for the period. Consumer Discretionary contributed to the return as well. Consumer Staples and Financials were laggards for the period. (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 Amazon.com, Inc., Microsoft Corp., and Apple, Inc. The combined weight of the three contributors was approximately 10%. The largest detractors from the Portfolio and benchmark returns for the period were Philip Morris International, Inc., AT&T, Inc., and Johnson & Johnson. Those constituents, in aggregate, make up about 3.0% of the benchmark. (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)
Q. Were there any significant changes to the Portfolio’s management team, investment strategy, or selection process during the reporting period?
A. The Portfolio management team added two new members during the period, bringing the total team to a staff of eight. There were no material changes to the investment strategy or stock selection process during this reporting period.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2018. |
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.
45 | (continued) |
Ohio National Fund, Inc. | ON S&P 500® Index Portfolio (Unaudited) (Continued) |
Portfolio Composition as of June 30, 2018 (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 June 30, 2018 (1) (2) (3) |
% of Net Assets | ||||||
1. | Apple, Inc. | 3.9 | ||||
2. | Microsoft Corp. | 3.3 | ||||
3. | Amazon.com, Inc. | 3.0 | ||||
4. | Facebook, Inc. Class A | 2.0 | ||||
5. | Berkshire Hathaway, Inc. Class B | 1.5 | ||||
6. | JPMorgan Chase & Co. | 1.5 | ||||
7. | Exxon Mobil Corp. | 1.5 | ||||
8. | Alphabet, Inc. Class C | 1.5 | ||||
9. | Alphabet, Inc. Class A | 1.5 | ||||
10. | Johnson & Johnson | 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 | 25.9 | |||
Health Care | 14.0 | |||
Financials | 13.8 | |||
Consumer Discretionary | 12.9 | |||
Industrials | 9.5 | |||
Consumer Staples | 6.8 | |||
Energy | 6.3 | |||
Utilities | 2.9 | |||
Real Estate | 2.9 | |||
Materials | 2.6 | |||
Telecommunication Services | 2.0 | |||
|
| |||
99.6 | ||||
|
|
46
Ohio National Fund, Inc. | ON S&P 500® Index Portfolio |
Schedule of Investments | June 30, 2018 (Unaudited) |
Common Stocks – 99.6% | Shares | Value | ||||||||||
CONSUMER DISCRETIONARY – 12.9% |
| |||||||||||
Advance Auto Parts, Inc. (Specialty Retail) | 3,928 | $ | 533,030 | |||||||||
Amazon.com, Inc. (Internet & Direct Marketing Retail) | (a | ) | 21,371 | 36,326,426 | ||||||||
Aptiv PLC (Auto Components) | 14,050 | 1,287,401 | ||||||||||
AutoZone, Inc. (Specialty Retail) | (a | ) | 1,415 | 949,366 | ||||||||
Best Buy Co., Inc. (Specialty Retail) | 13,015 | 970,659 | ||||||||||
Booking Holdings, Inc. (Internet & Direct Marketing Retail) | (a | ) | 2,556 | 5,181,242 | ||||||||
BorgWarner, Inc. (Auto Components) | 10,480 | 452,317 | ||||||||||
CarMax, Inc. (Specialty Retail) | (a | ) | 9,449 | 688,549 | ||||||||
Carnival Corp. (Hotels, Restaurants & Leisure) | 21,543 | 1,234,629 | ||||||||||
CBS Corp. Class B (Media) | 18,121 | 1,018,763 | ||||||||||
Charter Communications, Inc. Class A (Media) | (a | ) | 9,829 | 2,881,961 | ||||||||
Chipotle Mexican Grill, Inc. (Hotels, Restaurants & Leisure) | (a | ) | 1,298 | 559,918 | ||||||||
Comcast Corp. Class A (Media) | 243,687 | 7,995,370 | ||||||||||
D.R. Horton, Inc. (Household Durables) | 18,225 | 747,225 | ||||||||||
Darden Restaurants, Inc. (Hotels, Restaurants & Leisure) | 6,569 | 703,277 | ||||||||||
Discovery, Inc. Class A (Media) | (a | ) | 8,281 | 227,728 | ||||||||
Discovery, Inc. Class C (Media) | (a | ) | 18,127 | 462,238 | ||||||||
DISH Network Corp. Class A (Media) | (a | ) | 12,149 | 408,328 | ||||||||
Dollar General Corp. (Multiline Retail) | 13,488 | 1,329,917 | ||||||||||
Dollar Tree, Inc. (Multiline Retail) | (a | ) | 12,618 | 1,072,530 | ||||||||
Expedia Group, Inc. (Internet & Direct Marketing Retail) | 6,414 | 770,899 | ||||||||||
Foot Locker, Inc. (Specialty Retail) | 6,268 | 330,010 | ||||||||||
Ford Motor Co. (Automobiles) | 207,703 | 2,299,272 | ||||||||||
Gap, Inc. / The (Specialty Retail) | 11,514 | 372,938 | ||||||||||
Garmin Ltd. (Household Durables) | 5,902 | 360,022 | ||||||||||
General Motors Co. (Automobiles) | 67,313 | 2,652,132 | ||||||||||
Genuine Parts Co. (Distributors) | 7,787 | 714,769 | ||||||||||
Goodyear Tire & Rubber Co. / The (Auto Components) | 12,727 | 296,412 | ||||||||||
H&R Block, Inc. (Diversified Consumer Svs.) | 11,101 | 252,881 | ||||||||||
Hanesbrands, Inc. (Textiles, Apparel & Luxury Goods) | 19,123 | 421,088 | ||||||||||
Harley-Davidson, Inc. (Automobiles) | 8,832 | 371,651 | ||||||||||
Hasbro, Inc. (Leisure Products) | 6,033 | 556,906 | ||||||||||
Hilton Worldwide Holdings, Inc. (Hotels, Restaurants & Leisure) | 14,826 | 1,173,626 | ||||||||||
Home Depot, Inc. / The (Specialty Retail) | 61,213 | 11,942,656 | ||||||||||
Interpublic Group of Cos., Inc. / The (Media) | 20,458 | 479,536 | ||||||||||
Kohl’s Corp. (Multiline Retail) | 8,928 | 650,851 | ||||||||||
L Brands, Inc. (Specialty Retail) | 12,871 | 474,682 | ||||||||||
Leggett & Platt, Inc. (Household Durables) | 6,966 | 310,962 | ||||||||||
Lennar Corp. Class A (Household Durables) | 14,519 | 762,247 | ||||||||||
LKQ Corp. (Distributors) | (a | ) | 16,435 | 524,276 | ||||||||
Lowe’s Cos., Inc. (Specialty Retail) | 43,620 | 4,168,763 | ||||||||||
Macy’s, Inc. (Multiline Retail) | 16,258 | 608,537 | ||||||||||
Marriott International, Inc. Class A (Hotels, Restaurants & Leisure) | 15,751 | 1,994,077 | ||||||||||
Mattel, Inc. (Leisure Products) | 18,255 | 299,747 | ||||||||||
McDonald’s Corp. (Hotels, Restaurants & Leisure) | 41,666 | 6,528,646 | ||||||||||
MGM Resorts International (Hotels, Restaurants & Leisure) | 26,591 | 771,937 | ||||||||||
Michael Kors Holdings Ltd. (Textiles, Apparel & Luxury Goods) | (a | ) | 7,954 | 529,736 | ||||||||
Mohawk Industries, Inc. (Household Durables) | (a | ) | 3,365 | 721,019 | ||||||||
Netflix, Inc. (Internet & Direct Marketing Retail) | (a | ) | 23,067 | 9,029,116 | ||||||||
Newell Brands, Inc. (Household Durables) | 25,774 | 664,711 | ||||||||||
News Corp. Class A (Media) | 20,338 | 315,239 | ||||||||||
News Corp. Class B (Media) | 6,462 | 102,423 | ||||||||||
NIKE, Inc. Class B (Textiles, Apparel & Luxury Goods) | 68,067 | 5,423,579 | ||||||||||
Nordstrom, Inc. (Multiline Retail) | 6,233 | 322,745 | ||||||||||
Norwegian Cruise Line Holdings Ltd. (Hotels, Restaurants & Leisure) | (a | ) | 10,969 | 518,285 | ||||||||
Omnicom Group, Inc. (Media) | 12,061 | 919,892 | ||||||||||
O’Reilly Automotive, Inc. (Specialty Retail) | (a | ) | 4,347 | 1,189,209 |
Common Stocks (Continued) | Shares | Value | ||||||||||
CONSUMER DISCRETIONARY (continued) |
| |||||||||||
PulteGroup, Inc. (Household Durables) | 13,939 | $ | 400,746 | |||||||||
PVH Corp. (Textiles, Apparel & Luxury Goods) | 4,089 | 612,205 | ||||||||||
Ralph Lauren Corp. (Textiles, Apparel & Luxury Goods) | 2,954 | 371,377 | ||||||||||
Ross Stores, Inc. (Specialty Retail) | 20,092 | 1,702,797 | ||||||||||
Royal Caribbean Cruises Ltd. (Hotels, Restaurants & Leisure) | 8,989 | 931,260 | ||||||||||
Starbucks Corp. (Hotels, Restaurants & Leisure) | 73,230 | 3,577,285 | ||||||||||
Tapestry, Inc. (Textiles, Apparel & Luxury Goods) | 15,273 | 713,402 | ||||||||||
Target Corp. (Multiline Retail) | 28,291 | 2,153,511 | ||||||||||
Tiffany & Co. (Specialty Retail) | 5,406 | 711,430 | ||||||||||
TJX Cos., Inc. / The (Specialty Retail) | 33,276 | 3,167,210 | ||||||||||
Tractor Supply Co. (Specialty Retail) | 6,477 | 495,426 | ||||||||||
TripAdvisor, Inc. (Internet & Direct Marketing Retail) | (a | ) | 5,686 | 316,767 | ||||||||
Twenty-First Century Fox, Inc. Class A (Media) | 55,933 | 2,779,311 | ||||||||||
Twenty-First Century Fox, Inc. Class B (Media) | 23,306 | 1,148,287 | ||||||||||
Ulta Beauty, Inc. (Specialty Retail) | (a | ) | 3,034 | 708,318 | ||||||||
Under Armour, Inc. Class A (Textiles, Apparel & Luxury Goods) | (a | ) | 9,869 | 221,855 | ||||||||
Under Armour, Inc. Class C (Textiles, Apparel & Luxury Goods) | (a | ) | 9,995 | 210,695 | ||||||||
V.F. Corp. (Textiles, Apparel & Luxury Goods) | 17,374 | 1,416,328 | ||||||||||
Viacom, Inc. Class B (Media) | 18,731 | 564,927 | ||||||||||
Walt Disney Co. / The (Media) | 78,895 | 8,268,985 | ||||||||||
Whirlpool Corp. (Household Durables) | 3,424 | 500,692 | ||||||||||
Wynn Resorts Ltd. (Hotels, Restaurants & Leisure) | 4,495 | 752,193 | ||||||||||
Yum! Brands, Inc. (Hotels, Restaurants & Leisure) | 17,152 | 1,341,629 | ||||||||||
|
| |||||||||||
157,922,987 | ||||||||||||
|
| |||||||||||
CONSUMER STAPLES – 6.8% |
| |||||||||||
Altria Group, Inc. (Tobacco) | 100,434 | 5,703,647 | ||||||||||
Archer-Daniels-Midland Co. (Food Products) | 29,673 | 1,359,914 | ||||||||||
Brown-Forman Corp. Class B (Beverages) | 13,900 | 681,239 | ||||||||||
Campbell Soup Co. (Food Products) | 10,210 | 413,913 | ||||||||||
Church & Dwight Co., Inc. (Household Products) | 12,985 | 690,283 | ||||||||||
Clorox Co. / The (Household Products) | 6,872 | 929,438 | ||||||||||
Coca-Cola Co. / The (Beverages) | 203,227 | 8,913,536 | ||||||||||
Colgate-Palmolive Co. (Household Products) | 46,290 | 3,000,055 | ||||||||||
Conagra Brands, Inc. (Food Products) | 20,882 | 746,114 | ||||||||||
Constellation Brands, Inc. Class A (Beverages) | 8,916 | 1,951,445 | ||||||||||
Costco Wholesale Corp. (Food & Staples Retailing) | 23,275 | 4,864,010 | ||||||||||
Coty, Inc. Class A (Personal Products) | 25,091 | 353,783 | ||||||||||
Estee Lauder Cos., Inc. / The Class A (Personal Products) | 11,886 | 1,696,013 | ||||||||||
General Mills, Inc. (Food Products) | 31,462 | 1,392,508 | ||||||||||
Hershey Co. / The (Food Products) | 7,415 | 690,040 | ||||||||||
Hormel Foods Corp. (Food Products) | 14,331 | 533,257 | ||||||||||
J.M. Smucker Co. / The (Food Products) | 6,028 | 647,889 | ||||||||||
Kellogg Co. (Food Products) | 13,252 | 925,917 | ||||||||||
Kimberly-Clark Corp. (Household Products) | 18,537 | 1,952,688 | ||||||||||
Kraft Heinz Co. / The (Food Products) | 31,701 | 1,991,457 | ||||||||||
Kroger Co. / The (Food & Staples Retailing) | 43,134 | 1,227,162 | ||||||||||
McCormick & Co., Inc. (Food Products) | 6,436 | 747,155 | ||||||||||
Molson Coors Brewing Co. Class B (Beverages) | 9,819 | 668,085 | ||||||||||
Mondelez International, Inc. Class A (Food Products) | 78,275 | 3,209,275 | ||||||||||
Monster Beverage Corp. (Beverages) | (a | ) | 21,797 | 1,248,968 | ||||||||
PepsiCo, Inc. (Beverages) | 75,239 | 8,191,270 | ||||||||||
Philip Morris International, Inc. (Tobacco) | 82,489 | 6,660,162 | ||||||||||
Procter & Gamble Co. / The (Household Products) | 133,438 | 10,416,170 | ||||||||||
Sysco Corp. (Food & Staples Retailing) | 25,435 | 1,736,956 | ||||||||||
Tyson Foods, Inc. Class A (Food Products) | 15,792 | 1,087,279 |
47 | (continued) |
Ohio National Fund, Inc. | ON S&P 500® Index Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
Common Stocks (Continued) | Shares | Value | ||||||||||
CONSUMER STAPLES (continued) |
| |||||||||||
Walgreens Boots Alliance, Inc. (Food & Staples Retailing) | 45,256 | $ | 2,716,039 | |||||||||
Walmart, Inc. (Food & Staples Retailing) | 76,771 | 6,575,436 | ||||||||||
|
| |||||||||||
83,921,103 | ||||||||||||
|
| |||||||||||
ENERGY – 6.3% | ||||||||||||
Anadarko Petroleum Corp. (Oil, Gas & Consumable Fuels) | 27,333 | 2,002,142 | ||||||||||
Andeavor (Oil, Gas & Consumable Fuels) | 7,378 | 967,846 | ||||||||||
Apache Corp. (Oil, Gas & Consumable Fuels) | 20,279 | 948,043 | ||||||||||
Baker Hughes, a GE Co. (Energy Equip. & Svs.) | 22,097 | 729,864 | ||||||||||
Cabot Oil & Gas Corp. (Oil, Gas & Consumable Fuels) | 23,958 | 570,200 | ||||||||||
Chevron Corp. (Oil, Gas & Consumable Fuels) | 101,406 | 12,820,761 | ||||||||||
Cimarex Energy Co. (Oil, Gas & Consumable Fuels) | 5,064 | 515,211 | ||||||||||
Concho Resources, Inc. (Oil, Gas & Consumable Fuels) | (a | ) | 7,911 | 1,094,487 | ||||||||
ConocoPhillips (Oil, Gas & Consumable Fuels) | 62,090 | 4,322,706 | ||||||||||
Devon Energy Corp. (Oil, Gas & Consumable Fuels) | 27,774 | 1,220,945 | ||||||||||
EOG Resources, Inc. (Oil, Gas & Consumable Fuels) | 30,718 | 3,822,241 | ||||||||||
EQT Corp. (Oil, Gas & Consumable Fuels) | 13,384 | 738,529 | ||||||||||
Exxon Mobil Corp. (Oil, Gas & Consumable Fuels) | 224,670 | 18,586,949 | ||||||||||
Halliburton Co. (Energy Equip. & Svs.) | 46,484 | 2,094,569 | ||||||||||
Helmerich & Payne, Inc. (Energy Equip. & Svs.) | 5,778 | 368,405 | ||||||||||
Hess Corp. (Oil, Gas & Consumable Fuels) | 13,895 | 929,436 | ||||||||||
HollyFrontier Corp. (Oil, Gas & Consumable Fuels) | 9,368 | 641,052 | ||||||||||
Kinder Morgan, Inc. (Oil, Gas & Consumable Fuels) | 100,677 | 1,778,963 | ||||||||||
Marathon Oil Corp. (Oil, Gas & Consumable Fuels) | 45,275 | 944,436 | ||||||||||
Marathon Petroleum Corp. (Oil, Gas & Consumable Fuels) | 24,510 | 1,719,622 | ||||||||||
National Oilwell Varco, Inc. (Energy Equip. & Svs.) | 20,272 | 879,805 | ||||||||||
Newfield Exploration Co. (Oil, Gas & Consumable Fuels) | (a | ) | 10,599 | 320,620 | ||||||||
Noble Energy, Inc. (Oil, Gas & Consumable Fuels) | 25,707 | 906,943 | ||||||||||
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 40,636 | 3,400,420 | ||||||||||
ONEOK, Inc. (Oil, Gas & Consumable Fuels) | 21,814 | 1,523,272 | ||||||||||
Phillips 66 (Oil, Gas & Consumable Fuels) | 22,271 | 2,501,256 | ||||||||||
Pioneer Natural Resources Co. (Oil, Gas & Consumable Fuels) | 9,044 | 1,711,487 | ||||||||||
Schlumberger Ltd. (Energy Equip. & Svs.) | 73,503 | 4,926,906 | ||||||||||
TechnipFMC PLC (Energy Equip. & Svs.) | 23,031 | 731,004 | ||||||||||
Valero Energy Corp. (Oil, Gas & Consumable Fuels) | 22,867 | 2,534,350 | ||||||||||
Williams Cos., Inc. / The (Oil, Gas & Consumable Fuels) | 43,921 | 1,190,698 | ||||||||||
|
| |||||||||||
77,443,168 | ||||||||||||
|
| |||||||||||
FINANCIALS – 13.8% | ||||||||||||
Affiliated Managers Group, Inc. (Capital Markets) | 2,882 | 428,467 | ||||||||||
Aflac, Inc. (Insurance) | 41,081 | 1,767,305 | ||||||||||
Allstate Corp. / The (Insurance) | 18,652 | 1,702,368 | ||||||||||
American Express Co. (Consumer Finance) | 37,894 | 3,713,612 | ||||||||||
American International Group, Inc. (Insurance) | 47,636 | 2,525,661 | ||||||||||
Ameriprise Financial, Inc. (Capital Markets) | 7,674 | 1,073,439 | ||||||||||
Aon PLC (Insurance) | 12,975 | 1,779,781 | ||||||||||
Arthur J. Gallagher & Co. (Insurance) | 9,672 | 631,388 | ||||||||||
Assurant, Inc. (Insurance) | 2,812 | 291,014 | ||||||||||
Bank of America Corp. (Banks) | 500,385 | 14,105,853 | ||||||||||
Bank of New York Mellon Corp. / The (Capital Markets) | 53,632 | 2,892,374 |
Common Stocks (Continued) | Shares | Value | ||||||||||
FINANCIALS (continued) | ||||||||||||
BB&T Corp. (Banks) | 41,378 | $ | 2,087,106 | |||||||||
Berkshire Hathaway, Inc. Class B (Diversified Financial Svs.) | (a | ) | 102,136 | 19,063,684 | ||||||||
BlackRock, Inc. (Capital Markets) | 6,545 | 3,266,217 | ||||||||||
Brighthouse Financial, Inc. (Insurance) | (a | ) | 6,356 | 254,685 | ||||||||
Capital One Financial Corp. (Consumer Finance) | 25,813 | 2,372,215 | ||||||||||
CBOE Global Markets, Inc. (Capital Markets) | 5,969 | 621,194 | ||||||||||
Charles Schwab Corp. / The (Capital Markets) | 63,720 | 3,256,092 | ||||||||||
Chubb Ltd. (Insurance) | 24,718 | 3,139,680 | ||||||||||
Cincinnati Financial Corp. (Insurance) | 7,927 | 529,999 | ||||||||||
Citigroup, Inc. (Banks) | 135,313 | 9,055,146 | ||||||||||
Citizens Financial Group, Inc. (Banks) | 25,722 | 1,000,586 | ||||||||||
CME Group, Inc. (Capital Markets) | 18,069 | 2,961,871 | ||||||||||
Comerica, Inc. (Banks) | 9,124 | 829,554 | ||||||||||
Discover Financial Services (Consumer Finance) | 18,519 | 1,303,923 | ||||||||||
E*TRADE Financial Corp. (Capital Markets) | (a | ) | 14,004 | 856,485 | ||||||||
Everest Re Group Ltd. (Insurance) | 2,175 | 501,294 | ||||||||||
Fifth Third Bancorp (Banks) | 36,376 | 1,043,991 | ||||||||||
Franklin Resources, Inc. (Capital Markets) | 16,913 | 542,062 | ||||||||||
Goldman Sachs Group, Inc. / The (Capital Markets) | 18,641 | 4,111,645 | ||||||||||
Hartford Financial Services Group, Inc. / The (Insurance) | 19,005 | 971,726 | ||||||||||
Huntington Bancshares, Inc. (Banks) | 58,637 | 865,482 | ||||||||||
Intercontinental Exchange, Inc. (Capital Markets) | 30,737 | 2,260,706 | ||||||||||
Invesco Ltd. (Capital Markets) | 21,797 | 578,928 | ||||||||||
Jefferies Financial Group, Inc. (Diversified Financial Svs.) | 16,089 | 365,864 | ||||||||||
JPMorgan Chase & Co. (Banks) | 180,676 | 18,826,439 | ||||||||||
KeyCorp (Banks) | 56,338 | 1,100,845 | ||||||||||
Lincoln National Corp. (Insurance) | 11,606 | 722,474 | ||||||||||
Loews Corp. (Insurance) | 13,895 | 670,851 | ||||||||||
M&T Bank Corp. (Banks) | 7,707 | 1,311,346 | ||||||||||
Marsh & McLennan Cos., Inc. (Insurance) | 26,924 | 2,206,960 | ||||||||||
MetLife, Inc. (Insurance) | 53,943 | 2,351,915 | ||||||||||
Moody’s Corp. (Capital Markets) | 8,859 | 1,510,991 | ||||||||||
Morgan Stanley (Capital Markets) | 72,333 | 3,428,584 | ||||||||||
MSCI, Inc. (Capital Markets) | 4,724 | 781,491 | ||||||||||
Nasdaq, Inc. (Capital Markets) | 6,202 | 566,057 | ||||||||||
Northern Trust Corp. (Capital Markets) | 11,223 | 1,154,735 | ||||||||||
People’s United Financial, Inc. (Banks) | 18,460 | 333,941 | ||||||||||
PNC Financial Services Group, Inc. / The (Banks) | 24,914 | 3,365,881 | ||||||||||
Principal Financial Group, Inc. (Insurance) | 14,133 | 748,342 | ||||||||||
Progressive Corp. / The (Insurance) | 30,904 | 1,827,972 | ||||||||||
Prudential Financial, Inc. (Insurance) | 22,287 | 2,084,057 | ||||||||||
Raymond James Financial, Inc. (Capital Markets) | 6,889 | �� | 615,532 | |||||||||
Regions Financial Corp. (Banks) | 59,600 | 1,059,688 | ||||||||||
S&P Global, Inc. (Capital Markets) | 13,335 | 2,718,873 | ||||||||||
State Street Corp. (Capital Markets) | 19,391 | 1,805,108 | ||||||||||
SunTrust Banks, Inc. (Banks) | 24,666 | 1,628,449 | ||||||||||
SVB Financial Group (Banks) | (a | ) | 2,811 | 811,704 | ||||||||
Synchrony Financial (Consumer Finance) | 37,648 | 1,256,690 | ||||||||||
T. Rowe Price Group, Inc. (Capital Markets) | 12,849 | 1,491,640 | ||||||||||
Torchmark Corp. (Insurance) | 5,604 | 456,222 | ||||||||||
Travelers Cos., Inc. / The (Insurance) | 14,342 | 1,754,600 | ||||||||||
U.S. Bancorp (Banks) | 82,800 | 4,141,656 | ||||||||||
Unum Group (Insurance) | 11,738 | 434,189 | ||||||||||
Wells Fargo & Co. (Banks) | 232,723 | 12,902,163 | ||||||||||
Willis Towers Watson PLC (Insurance) | 6,996 | 1,060,594 | ||||||||||
XL Group Ltd. (Insurance) | 13,706 | 766,851 | ||||||||||
Zions Bancorporation (Banks) | 10,460 | 551,137 | ||||||||||
|
| |||||||||||
169,199,374 | ||||||||||||
|
| |||||||||||
HEALTH CARE – 14.0% | ||||||||||||
Abbott Laboratories (Health Care Equip. & Supplies) | 93,034 | 5,674,144 | ||||||||||
AbbVie, Inc. (Biotechnology) | 80,420 | 7,450,913 |
48 | (continued) |
Ohio National Fund, Inc. | ON S&P 500® Index Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
Common Stocks (Continued) | Shares | Value | ||||||||||
HEALTH CARE (continued) | ||||||||||||
ABIOMED, Inc. (Health Care Equip. & Supplies) | (a | ) | 2,242 | $ | 917,090 | |||||||
Aetna, Inc. (Health Care Providers & Svs.) | 17,358 | 3,185,193 | ||||||||||
Agilent Technologies, Inc. (Life Sciences Tools & Svs.) | 16,978 | 1,049,920 | ||||||||||
Alexion Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 11,807 | 1,465,839 | ||||||||
Align Technology, Inc. (Health Care Equip. & Supplies) | (a | ) | 3,828 | 1,309,712 | ||||||||
Allergan PLC (Pharmaceuticals) | 17,993 | 2,999,793 | ||||||||||
AmerisourceBergen Corp. (Health Care Providers & Svs.) | 8,631 | 735,965 | ||||||||||
Amgen, Inc. (Biotechnology) | 35,342 | 6,523,780 | ||||||||||
Anthem, Inc. (Health Care Providers & Svs.) | 13,542 | 3,223,402 | ||||||||||
Baxter International, Inc. (Health Care Equip. & Supplies) | 26,143 | 1,930,399 | ||||||||||
Becton Dickinson and Co. (Health Care Equip. & Supplies) | 14,179 | 3,396,721 | ||||||||||
Biogen, Inc. (Biotechnology) | (a | ) | 11,197 | 3,249,817 | ||||||||
Boston Scientific Corp. (Health Care Equip. & Supplies) | (a | ) | 73,220 | 2,394,294 | ||||||||
Bristol-Myers Squibb Co. (Pharmaceuticals) | 86,737 | 4,800,026 | ||||||||||
Cardinal Health, Inc. (Health Care Providers & Svs.) | 16,487 | 805,060 | ||||||||||
Celgene Corp. (Biotechnology) | (a | ) | 37,509 | 2,978,965 | ||||||||
Centene Corp. (Health Care Providers & Svs.) | (a | ) | 10,888 | 1,341,510 | ||||||||
Cerner Corp. (Health Care Technology) | (a | ) | 16,727 | 1,000,107 | ||||||||
Cigna Corp. (Health Care Providers & Svs.) | 12,909 | 2,193,885 | ||||||||||
Cooper Cos., Inc. / The (Health Care Equip. & Supplies) | 2,601 | 612,405 | ||||||||||
CVS Health Corp. (Health Care Providers & Svs.) | 53,949 | 3,471,618 | ||||||||||
Danaher Corp. (Health Care Equip. & Supplies) | 32,622 | 3,219,139 | ||||||||||
DaVita, Inc. (Health Care Providers & Svs.) | (a | ) | 7,408 | 514,412 | ||||||||
DENTSPLY SIRONA, Inc. (Health Care Equip. & Supplies) | 12,069 | 528,260 | ||||||||||
Edwards Lifesciences Corp. (Health Care Equip. & Supplies) | (a | ) | 11,185 | 1,628,200 | ||||||||
Eli Lilly & Co. (Pharmaceuticals) | 50,687 | 4,325,122 | ||||||||||
Envision Healthcare Corp. (Health Care Providers & Svs.) | (a | ) | 6,428 | 282,896 | ||||||||
Express Scripts Holding Co. (Health Care Providers & Svs.) | (a | ) | 29,808 | 2,301,476 | ||||||||
Gilead Sciences, Inc. (Biotechnology) | 68,999 | 4,887,889 | ||||||||||
HCA Healthcare, Inc. (Health Care Providers & Svs.) | 14,829 | 1,521,455 | ||||||||||
Henry Schein, Inc. (Health Care Providers & Svs.) | (a | ) | 8,173 | 593,687 | ||||||||
Hologic, Inc. (Health Care Equip. & Supplies) | (a | ) | 14,487 | 575,858 | ||||||||
Humana, Inc. (Health Care Providers & Svs.) | 7,306 | 2,174,485 | ||||||||||
IDEXX Laboratories, Inc. (Health Care Equip. & Supplies) | (a | ) | 4,609 | 1,004,485 | ||||||||
Illumina, Inc. (Life Sciences Tools & Svs.) | (a | ) | 7,801 | 2,178,741 | ||||||||
Incyte Corp. (Biotechnology) | (a | ) | 9,336 | 625,512 | ||||||||
Intuitive Surgical, Inc. (Health Care Equip. & Supplies) | (a | ) | 6,012 | 2,876,622 | ||||||||
IQVIA Holdings, Inc. (Life Sciences Tools & Svs.). | (a | ) | 8,589 | 857,354 | ||||||||
Johnson & Johnson (Pharmaceuticals) | 142,329 | 17,270,201 | ||||||||||
Laboratory Corp. of America Holdings (Health Care Providers & Svs.) | (a | ) | 5,429 | 974,668 | ||||||||
McKesson Corp. (Health Care Providers & Svs.) | 10,722 | 1,430,315 | ||||||||||
Medtronic PLC (Health Care Equip. & Supplies) | 71,862 | 6,152,106 | ||||||||||
Merck & Co., Inc. (Pharmaceuticals) | 142,762 | 8,665,653 | ||||||||||
Mettler-Toledo International, Inc. (Life Sciences Tools & Svs.) | (a | ) | 1,347 | 779,415 | ||||||||
Mylan N.V. (Pharmaceuticals) | (a | ) | 27,354 | 988,574 | ||||||||
Nektar Therapeutics (Pharmaceuticals) | (a | ) | 8,550 | 417,497 | ||||||||
PerkinElmer, Inc. (Life Sciences Tools & Svs.) | 5,871 | 429,933 | ||||||||||
Perrigo Co. PLC (Pharmaceuticals) | 6,833 | 498,194 | ||||||||||
Pfizer, Inc. (Pharmaceuticals) | 310,410 | 11,261,675 | ||||||||||
Quest Diagnostics, Inc. (Health Care Providers & Svs.) | 7,207 | 792,338 | ||||||||||
Regeneron Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 4,104 | 1,415,839 |
Common Stocks (Continued) | Shares | Value | ||||||||||
HEALTH CARE (continued) | ||||||||||||
ResMed, Inc. (Health Care Equip. & Supplies) | 7,574 | $ | 784,515 | |||||||||
Stryker Corp. (Health Care Equip. & Supplies) | 17,055 | 2,879,907 | ||||||||||
Thermo Fisher Scientific, Inc. (Life Sciences Tools & Svs.) | 21,349 | 4,422,232 | ||||||||||
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 50,995 | 12,511,113 | ||||||||||
Universal Health Services, Inc. Class B (Health Care Providers & Svs.) | 4,625 | 515,410 | ||||||||||
Varian Medical Systems, Inc. (Health Care Equip. & Supplies) | (a | ) | 4,856 | 552,224 | ||||||||
Vertex Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 13,523 | 2,298,369 | ||||||||
Waters Corp. (Life Sciences Tools & Svs.) | (a | ) | 4,157 | 804,754 | ||||||||
Zimmer Biomet Holdings, Inc. (Health Care Equip. & Supplies) | 10,787 | 1,202,103 | ||||||||||
Zoetis, Inc. (Pharmaceuticals) | 25,677 | 2,187,424 | ||||||||||
|
| |||||||||||
172,040,610 | ||||||||||||
|
| |||||||||||
INDUSTRIALS – 9.5% | ||||||||||||
3M Co. (Industrial Conglomerates) | 31,505 | 6,197,664 | ||||||||||
A.O. Smith Corp. (Building Products) | 7,699 | 455,396 | ||||||||||
Alaska Air Group, Inc. (Airlines) | 6,541 | 395,011 | ||||||||||
Allegion PLC (Building Products) | 5,039 | 389,817 | ||||||||||
American Airlines Group, Inc. (Airlines) | 22,110 | 839,296 | ||||||||||
AMETEK, Inc. (Electrical Equip.) | 12,289 | 886,774 | ||||||||||
Arconic, Inc. (Aerospace & Defense) | 22,547 | 383,524 | ||||||||||
Boeing Co. / The (Aerospace & Defense) | 29,060 | 9,749,921 | ||||||||||
C.H. Robinson Worldwide, Inc. (Air Freight & Logistics) | 7,389 | 618,164 | ||||||||||
Caterpillar, Inc. (Machinery) | 31,728 | 4,304,538 | ||||||||||
Cintas Corp. (Commercial Svs. & Supplies) | 4,587 | 848,916 | ||||||||||
Copart, Inc. (Commercial Svs. & Supplies) | (a | ) | 10,723 | 606,461 | ||||||||
CSX Corp. (Road & Rail) | 46,451 | 2,962,645 | ||||||||||
Cummins, Inc. (Machinery) | 8,219 | 1,093,127 | ||||||||||
Deere & Co. (Machinery) | 17,208 | 2,405,678 | ||||||||||
Delta Air Lines, Inc. (Airlines) | 34,246 | 1,696,547 | ||||||||||
Dover Corp. (Machinery) | 8,208 | 600,826 | ||||||||||
Eaton Corp. PLC (Electrical Equip.) | 23,206 | 1,734,416 | ||||||||||
Emerson Electric Co. (Electrical Equip.) | 33,436 | 2,311,765 | ||||||||||
Equifax, Inc. (Professional Svs.) | 6,383 | 798,577 | ||||||||||
Expeditors International of Washington, Inc. (Air Freight & Logistics) | 9,269 | 677,564 | ||||||||||
Fastenal Co. (Trading Companies & Distributors) | 15,264 | 734,656 | ||||||||||
FedEx Corp. (Air Freight & Logistics) | 13,045 | 2,961,998 | ||||||||||
Flowserve Corp. (Machinery) | 6,943 | 280,497 | ||||||||||
Fluor Corp. (Construction & Engineering) | 7,460 | 363,899 | ||||||||||
Fortive Corp. (Machinery) | 16,277 | 1,255,119 | ||||||||||
Fortune Brands Home & Security, Inc. (Building Products) | 7,743 | 415,722 | ||||||||||
General Dynamics Corp. (Aerospace & Defense) | 14,659 | 2,732,584 | ||||||||||
General Electric Co. (Industrial Conglomerates) | 460,891 | 6,272,726 | ||||||||||
Harris Corp. (Aerospace & Defense) | 6,300 | 910,602 | ||||||||||
Honeywell International, Inc. (Industrial Conglomerates) | 39,636 | 5,709,566 | ||||||||||
Huntington Ingalls Industries, Inc. (Aerospace & Defense) | 2,361 | 511,841 | ||||||||||
IHS Markit Ltd. (Professional Svs.) | (a | ) | 18,897 | 974,896 | ||||||||
Illinois Tool Works, Inc. (Machinery) | 16,179 | 2,241,439 | ||||||||||
Ingersoll-Rand PLC (Machinery) | 13,158 | 1,180,667 | ||||||||||
J.B. Hunt Transport Services, Inc. (Road & Rail) | 4,543 | 552,202 | ||||||||||
Jacobs Engineering Group, Inc. (Construction & Engineering) | 6,396 | 406,082 | ||||||||||
Johnson Controls International PLC (Building Products) | 49,149 | 1,644,034 | ||||||||||
Kansas City Southern (Road & Rail) | 5,445 | 576,952 | ||||||||||
L3 Technologies, Inc. (Aerospace & Defense) | 4,165 | 801,013 | ||||||||||
Lockheed Martin Corp. (Aerospace & Defense) | 13,182 | 3,894,358 | ||||||||||
Masco Corp. (Building Products) | 16,476 | 616,532 | ||||||||||
Nielsen Holdings PLC (Professional Svs.) | 17,769 | 549,595 | ||||||||||
Norfolk Southern Corp. (Road & Rail) | 14,993 | 2,261,994 | ||||||||||
Northrop Grumman Corp. (Aerospace & Defense) | 9,254 | 2,847,456 |
49 | (continued) |
Ohio National Fund, Inc. | ON S&P 500® Index Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
Common Stocks (Continued) | Shares | Value | ||||||||||
INDUSTRIALS (continued) |
| |||||||||||
PACCAR, Inc. (Machinery) | 18,669 | $ | 1,156,731 | |||||||||
Parker-Hannifin Corp. (Machinery) | 7,056 | 1,099,678 | ||||||||||
Pentair PLC (Machinery) | 8,614 | 362,477 | ||||||||||
Quanta Services, Inc. (Construction & Engineering) | (a | ) | 7,939 | 265,163 | ||||||||
Raytheon Co. (Aerospace & Defense) | 15,243 | 2,944,643 | ||||||||||
Republic Services, Inc. (Commercial Svs. & Supplies) | 11,833 | 808,904 | ||||||||||
Robert Half International, Inc. (Professional Svs.) | 6,557 | 426,861 | ||||||||||
Rockwell Automation, Inc. (Electrical Equip.) | 6,664 | 1,107,757 | ||||||||||
Rockwell Collins, Inc. (Aerospace & Defense) | 8,715 | 1,173,736 | ||||||||||
Roper Technologies, Inc. (Industrial Conglomerates) | 5,474 | 1,510,331 | ||||||||||
Snap-on, Inc. (Machinery) | 3,003 | 482,642 | ||||||||||
Southwest Airlines Co. (Airlines) | 28,306 | 1,440,209 | ||||||||||
Stanley Black & Decker, Inc. (Machinery) | 8,189 | 1,087,581 | ||||||||||
Stericycle, Inc. (Commercial Svs. & Supplies) | (a | ) | 4,541 | 296,482 | ||||||||
Textron, Inc. (Aerospace & Defense) | 13,587 | 895,519 | ||||||||||
TransDigm Group, Inc. (Aerospace & Defense) | 2,587 | 892,877 | ||||||||||
Union Pacific Corp. (Road & Rail) | 41,156 | 5,830,982 | ||||||||||
United Continental Holdings, Inc. (Airlines) | (a | ) | 12,506 | 872,043 | ||||||||
United Parcel Service, Inc. Class B (Air Freight & Logistics) | 36,592 | 3,887,168 | ||||||||||
United Rentals, Inc. (Trading Companies & Distributors) | (a | ) | 4,436 | 654,842 | ||||||||
United Technologies Corp. (Aerospace & Defense) | 39,484 | 4,936,685 | ||||||||||
Verisk Analytics, Inc. (Professional Svs.) | (a | ) | 8,243 | 887,277 | ||||||||
W.W. Grainger, Inc. (Trading Companies & Distributors) | 2,705 | 834,222 | ||||||||||
Waste Management, Inc. (Commercial Svs. & Supplies) | 21,109 | 1,717,006 | ||||||||||
Xylem, Inc. (Machinery) | 9,548 | 643,344 | ||||||||||
|
| |||||||||||
116,868,217 | ||||||||||||
|
| |||||||||||
INFORMATION TECHNOLOGY – 25.9% |
| |||||||||||
Accenture PLC Class A (IT Svs.) | 34,126 | 5,582,672 | ||||||||||
Activision Blizzard, Inc. (Software) | 40,394 | 3,082,870 | ||||||||||
Adobe Systems, Inc. (Software) | (a | ) | 26,133 | 6,371,487 | ||||||||
Advanced Micro Devices, Inc. (Semiconductors & Equip.) | (a | ) | 43,723 | 655,408 | ||||||||
Akamai Technologies, Inc. (Internet Software & Svs.) | (a | ) | 9,055 | 663,098 | ||||||||
Alliance Data Systems Corp. (IT Svs.) | 2,558 | 596,526 | ||||||||||
Alphabet, Inc. Class A (Internet Software & Svs.) | (a | ) | 15,848 | 17,895,403 | ||||||||
Alphabet, Inc. Class C (Internet Software & Svs.) | (a | ) | 16,110 | 17,973,122 | ||||||||
Amphenol Corp. Class A (Electronic Equip., Instr. & Comp.) | 15,996 | 1,394,051 | ||||||||||
Analog Devices, Inc. (Semiconductors & Equip.) | 19,682 | 1,887,897 | ||||||||||
ANSYS, Inc. (Software) | (a | ) | 4,458 | 776,494 | ||||||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 260,824 | 48,281,131 | ||||||||||
Applied Materials, Inc. (Semiconductors & Equip.) | 53,492 | 2,470,796 | ||||||||||
Autodesk, Inc. (Software) | (a | ) | 11,627 | 1,524,183 | ||||||||
Automatic Data Processing, Inc. (IT Svs.) | 23,376 | 3,135,657 | ||||||||||
Broadcom, Inc. (Semiconductors & Equip.) | 21,303 | 5,168,960 | ||||||||||
Broadridge Financial Solutions, Inc. (IT Svs.) | 6,257 | 720,181 | ||||||||||
CA, Inc. (Software) | 16,581 | 591,113 | ||||||||||
Cadence Design Systems, Inc. (Software) | (a | ) | 14,959 | 647,874 | ||||||||
Cisco Systems, Inc. (Communications Equip.) | 249,560 | 10,738,567 | ||||||||||
Citrix Systems, Inc. (Software) | (a | ) | 6,832 | 716,267 | ||||||||
Cognizant Technology Solutions Corp. Class A (IT Svs.) | 31,091 | 2,455,878 | ||||||||||
Corning, Inc. (Electronic Equip., Instr. & Comp.) | 44,063 | 1,212,173 | ||||||||||
DXC Technology Co. (IT Svs.) | 15,113 | 1,218,259 | ||||||||||
eBay, Inc. (Internet Software & Svs.) | (a | ) | 49,054 | 1,778,698 | ||||||||
Electronic Arts, Inc. (Software) | (a | ) | 16,282 | 2,296,088 | ||||||||
F5 Networks, Inc. (Communications Equip.) | (a | ) | 3,243 | 559,255 |
Common Stocks (Continued) | Shares | Value | ||||||||||
INFORMATION TECHNOLOGY (continued) |
| |||||||||||
Facebook, Inc. Class A (Internet Software & Svs.) | (a | ) | 127,283 | $ | 24,733,633 | |||||||
Fidelity National Information Services, Inc. (IT Svs.) | 17,565 | 1,862,417 | ||||||||||
Fiserv, Inc. (IT Svs.) | (a | ) | 21,727 | 1,609,753 | ||||||||
FleetCor Technologies, Inc. (IT Svs.) | (a | ) | 4,756 | 1,001,851 | ||||||||
FLIR Systems, Inc. (Electronic Equip., Instr. & Comp.) | 7,281 | 378,394 | ||||||||||
Gartner, Inc. (IT Svs.) | (a | ) | 4,842 | 643,502 | ||||||||
Global Payments, Inc. (IT Svs.) | 8,466 | 943,874 | ||||||||||
Hewlett Packard Enterprise Co. (Tech. Hardware, Storage & Periph.) | 81,031 | 1,183,863 | ||||||||||
HP, Inc. (Tech. Hardware, Storage & Periph.) | 87,100 | 1,976,299 | ||||||||||
Intel Corp. (Semiconductors & Equip.) | 247,285 | 12,292,537 | ||||||||||
International Business Machines Corp. (IT Svs.) | 45,302 | 6,328,689 | ||||||||||
Intuit, Inc. (Software) | 12,935 | 2,642,685 | ||||||||||
IPG Photonics Corp. (Electronic Equip., Instr. & Comp.) | (a | ) | 1,995 | 440,157 | ||||||||
Juniper Networks, Inc. (Communications Equip.) | 18,528 | 508,038 | ||||||||||
KLA-Tencor Corp. (Semiconductors & Equip.) | 8,271 | 848,026 | ||||||||||
Lam Research Corp. (Semiconductors & Equip.) | 8,705 | 1,504,659 | ||||||||||
Mastercard, Inc. Class A (IT Svs.) | �� | 48,654 | 9,561,484 | |||||||||
Microchip Technology, Inc. (Semiconductors & Equip.) | 12,472 | 1,134,328 | ||||||||||
Micron Technology, Inc. (Semiconductors & Equip.) | (a | ) | 61,543 | 3,227,315 | ||||||||
Microsoft Corp. (Software) | 407,712 | 40,204,480 | ||||||||||
Motorola Solutions, Inc. (Communications Equip.) | 8,604 | 1,001,247 | ||||||||||
NetApp, Inc. (Tech. Hardware, Storage & Periph.) | 14,217 | 1,116,461 | ||||||||||
NVIDIA Corp. (Semiconductors & Equip.) | 32,211 | 7,630,786 | ||||||||||
Oracle Corp. (Software) | 158,140 | 6,967,648 | ||||||||||
Paychex, Inc. (IT Svs.) | 16,968 | 1,159,763 | ||||||||||
PayPal Holdings, Inc. (IT Svs.) | (a | ) | 59,229 | 4,931,999 | ||||||||
Qorvo, Inc. (Semiconductors & Equip.) | (a | ) | 6,712 | 538,101 | ||||||||
QUALCOMM, Inc. (Semiconductors & Equip.) | 78,676 | 4,415,297 | ||||||||||
Red Hat, Inc. (Software) | (a | ) | 9,428 | 1,266,840 | ||||||||
salesforce.com, Inc. (Software) | (a | ) | 37,429 | 5,105,316 | ||||||||
Seagate Technology PLC (Tech. Hardware, Storage & Periph.) | 15,233 | 860,208 | ||||||||||
Skyworks Solutions, Inc. (Semiconductors & Equip.) | 9,662 | 933,832 | ||||||||||
Symantec Corp. (Software) | 32,982 | 681,078 | ||||||||||
Synopsys, Inc. (Software) | (a | ) | 7,907 | 676,602 | ||||||||
Take-Two Interactive Software, Inc. (Software) | (a | ) | 6,070 | 718,445 | ||||||||
TE Connectivity Ltd. (Electronic Equip., Instr. & Comp.) | 18,580 | 1,673,315 | ||||||||||
Texas Instruments, Inc. (Semiconductors & Equip.) | 51,947 | 5,727,157 | ||||||||||
Total System Services, Inc. (IT Svs.) | 8,803 | 744,030 | ||||||||||
Twitter, Inc. (Internet Software & Svs.) | (a | ) | 34,748 | 1,517,445 | ||||||||
VeriSign, Inc. (Internet Software & Svs.) | (a | ) | 5,095 | 700,155 | ||||||||
Visa, Inc. (IT Svs.) | 94,784 | 12,554,141 | ||||||||||
Western Digital Corp. (Tech. Hardware, Storage & Periph.) | 15,879 | 1,229,193 | ||||||||||
Western Union Co. / The (IT Svs.) | 24,449 | 497,048 | ||||||||||
Xerox Corp. (Tech. Hardware, Storage & Periph.) | 11,352 | 272,448 | ||||||||||
Xilinx, Inc. (Semiconductors & Equip.) | 13,447 | 877,551 | ||||||||||
|
| |||||||||||
317,216,198 | ||||||||||||
|
| |||||||||||
MATERIALS – 2.6% | ||||||||||||
Air Products & Chemicals, Inc. (Chemicals) | 11,632 | 1,811,451 | ||||||||||
Albemarle Corp. (Chemicals) | 5,878 | 554,472 | ||||||||||
Avery Dennison Corp. (Containers & Packaging) | 4,671 | 476,909 | ||||||||||
Ball Corp. (Containers & Packaging) | 18,533 | 658,848 | ||||||||||
CF Industries Holdings, Inc. (Chemicals) | 12,383 | 549,805 | ||||||||||
DowDuPont, Inc. (Chemicals) | 123,154 | 8,118,312 | ||||||||||
Eastman Chemical Co. (Chemicals) | 7,576 | 757,297 | ||||||||||
Ecolab, Inc. (Chemicals) | 13,779 | 1,933,607 |
50 | (continued) |
Ohio National Fund, Inc. | ON S&P 500® Index Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
Common Stocks (Continued) | Shares | Value | ||||||||||
MATERIALS (continued) | ||||||||||||
FMC Corp. (Chemicals) | 7,138 | $ | 636,781 | |||||||||
Freeport-McMoRan, Inc. (Metals & Mining) | 71,499 | 1,234,073 | ||||||||||
International Flavors & Fragrances, Inc. (Chemicals) | 4,189 | 519,268 | ||||||||||
International Paper Co. (Containers & Packaging) | 21,974 | 1,144,406 | ||||||||||
LyondellBasell Industries N.V. Class A (Chemicals) | 17,060 | 1,874,041 | ||||||||||
Martin Marietta Materials, Inc. | ||||||||||||
(Construction Materials) | 3,341 | 746,146 | ||||||||||
Mosaic Co. / The (Chemicals) | 18,612 | 522,067 | ||||||||||
Newmont Mining Corp. (Metals & Mining) | 28,310 | 1,067,570 | ||||||||||
Nucor Corp. (Metals & Mining) | 16,880 | 1,055,000 | ||||||||||
Packaging Corp. of America (Containers & Packaging) | 5,007 | 559,733 | ||||||||||
PPG Industries, Inc. (Chemicals) | 13,230 | 1,372,348 | ||||||||||
Praxair, Inc. (Chemicals) | 15,249 | 2,411,629 | ||||||||||
Sealed Air Corp. (Containers & Packaging) | 8,552 | 363,032 | ||||||||||
Sherwin-Williams Co. / The (Chemicals) | 4,368 | 1,780,266 | ||||||||||
Vulcan Materials Co. (Construction Materials) | 7,014 | 905,227 | ||||||||||
WestRock Co. (Containers & Packaging) | 13,609 | 775,985 | ||||||||||
|
| |||||||||||
31,828,273 | ||||||||||||
|
| |||||||||||
REAL ESTATE – 2.9% | ||||||||||||
Alexandria Real Estate Equities, Inc. (Equity REIT) | 5,465 | 689,519 | ||||||||||
American Tower Corp. (Equity REIT) | 23,437 | 3,378,912 | ||||||||||
Apartment Investment & Management Co. Class A (Equity REIT) | 8,350 | 353,205 | ||||||||||
AvalonBay Communities, Inc. (Equity REIT) | 7,334 | 1,260,641 | ||||||||||
Boston Properties, Inc. (Equity REIT) | 8,191 | 1,027,315 | ||||||||||
CBRE Group, Inc. Class A (Real Estate Mgmt. & Development) | (a | ) | 16,045 | 765,988 | ||||||||
Crown Castle International Corp. (Equity REIT) | 22,013 | 2,373,442 | ||||||||||
Digital Realty Trust, Inc. (Equity REIT) | 10,929 | 1,219,458 | ||||||||||
Duke Realty Corp. (Equity REIT) | 18,946 | 550,002 | ||||||||||
Equinix, Inc. (Equity REIT) | 4,216 | 1,812,416 | ||||||||||
Equity Residential (Equity REIT) | 19,539 | 1,244,439 | ||||||||||
Essex Property Trust, Inc. (Equity REIT) | 3,505 | 837,940 | ||||||||||
Extra Space Storage, Inc. (Equity REIT) | 6,692 | 667,929 | ||||||||||
Federal Realty Investment Trust (Equity REIT) | 3,886 | 491,773 | ||||||||||
GGP, Inc. (Equity REIT) | 33,566 | 685,753 | ||||||||||
HCP, Inc. (Equity REIT) | 24,930 | 643,693 | ||||||||||
Host Hotels & Resorts, Inc. (Equity REIT) | 39,339 | 828,873 | ||||||||||
Iron Mountain, Inc. (Equity REIT) | 14,935 | 522,874 | ||||||||||
Kimco Realty Corp. (Equity REIT) | 22,547 | 383,074 | ||||||||||
Macerich Co. / The (Equity REIT) | 5,761 | 327,398 | ||||||||||
Mid-America Apartment Communities, Inc. (Equity REIT) | 6,038 | 607,845 | ||||||||||
Prologis, Inc. (Equity REIT) | 28,296 | 1,858,764 | ||||||||||
Public Storage (Equity REIT) | 7,951 | 1,803,764 | ||||||||||
Realty Income Corp. (Equity REIT) | 15,091 | 811,745 | ||||||||||
Regency Centers Corp. (Equity REIT) | 7,821 | 485,528 | ||||||||||
SBA Communications Corp. (Equity REIT) | (a | ) | 6,112 | 1,009,213 | ||||||||
Simon Property Group, Inc. (Equity REIT) | 16,434 | 2,796,903 | ||||||||||
SL Green Realty Corp. (Equity REIT) | 4,692 | 471,687 | ||||||||||
UDR, Inc. (Equity REIT) | 14,200 | 533,068 | ||||||||||
Ventas, Inc. (Equity REIT) | 18,908 | 1,076,811 | ||||||||||
Vornado Realty Trust (Equity REIT) | 9,183 | 678,807 |
Common Stocks (Continued) | Shares | Value | ||||||||||
REAL ESTATE (continued) | ||||||||||||
Welltower, Inc. (Equity REIT) | 19,739 | $ | 1,237,438 | |||||||||
Weyerhaeuser Co. (Equity REIT) | 40,171 | 1,464,635 | ||||||||||
|
| |||||||||||
34,900,852 | ||||||||||||
|
| |||||||||||
TELECOMMUNICATION SERVICES – 2.0% |
| |||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 385,339 | 12,373,235 | ||||||||||
CenturyLink, Inc. (Diversified Telecom. Svs.) | 52,097 | 971,088 | ||||||||||
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 219,261 | 11,031,021 | ||||||||||
|
| |||||||||||
24,375,344 | ||||||||||||
|
| |||||||||||
UTILITIES – 2.9% | ||||||||||||
AES Corp. (Ind. Power & Renewable Elec.) | 35,097 | 470,651 | ||||||||||
Alliant Energy Corp. (Electric Utilities) | 12,284 | 519,859 | ||||||||||
Ameren Corp. (Multi-Utilities) | 12,930 | 786,790 | ||||||||||
American Electric Power Co., Inc. (Electric Utilities) | 26,136 | 1,809,918 | ||||||||||
American Water Works Co., Inc. (Water Utilities) | 9,448 | 806,670 | ||||||||||
CenterPoint Energy, Inc. (Multi-Utilities) | 22,896 | 634,448 | ||||||||||
CMS Energy Corp. (Multi-Utilities) | 14,992 | 708,822 | ||||||||||
Consolidated Edison, Inc. (Multi-Utilities) | 16,489 | 1,285,812 | ||||||||||
Dominion Energy, Inc. (Multi-Utilities) | 34,628 | 2,360,937 | ||||||||||
DTE Energy Co. (Multi-Utilities) | 9,630 | 997,957 | ||||||||||
Duke Energy Corp. (Electric Utilities) | 37,199 | 2,941,697 | ||||||||||
Edison International (Electric Utilities) | 17,289 | 1,093,875 | ||||||||||
Entergy Corp. (Electric Utilities) | 9,596 | 775,261 | ||||||||||
Evergy, Inc. (Electric Utilities) | 14,392 | 808,111 | ||||||||||
Eversource Energy (Electric Utilities) | 16,816 | 985,586 | ||||||||||
Exelon Corp. (Electric Utilities) | 51,228 | 2,182,313 | ||||||||||
FirstEnergy Corp. (Electric Utilities) | 23,789 | 854,263 | ||||||||||
NextEra Energy, Inc. (Electric Utilities) | 25,017 | 4,178,589 | ||||||||||
NiSource, Inc. (Multi-Utilities) | 17,902 | 470,465 | ||||||||||
NRG Energy, Inc. (Ind. Power & Renewable Elec.) | 15,874 | 487,332 | ||||||||||
PG&E Corp. (Electric Utilities) | 27,404 | 1,166,314 | ||||||||||
Pinnacle West Capital Corp. (Electric Utilities) | 5,940 | 478,526 | ||||||||||
PPL Corp. (Electric Utilities) | 37,096 | 1,059,091 | ||||||||||
Public Service Enterprise Group, Inc. (Multi-Utilities) | 26,810 | 1,451,493 | ||||||||||
SCANA Corp. (Multi-Utilities) | 7,569 | 291,558 | ||||||||||
Sempra Energy (Multi-Utilities) | 14,017 | 1,627,514 | ||||||||||
Southern Co. / The (Electric Utilities) | 53,682 | 2,486,013 | ||||||||||
WEC Energy Group, Inc. (Multi-Utilities) | 16,744 | 1,082,500 | ||||||||||
Xcel Energy, Inc. (Electric Utilities) | 27,003 | 1,233,497 | ||||||||||
|
| |||||||||||
36,035,862 | ||||||||||||
|
| |||||||||||
Total Common Stocks (Cost $941,450,966) |
| $ | 1,221,751,988 | |||||||||
|
| |||||||||||
Money Market Funds – 0.2% | Shares | Value | ||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 2,350,373 | $ | 2,350,373 | |||||||||
|
| |||||||||||
Total Money Market Funds | $ | 2,350,373 | ||||||||||
|
| |||||||||||
Total Investments – 99.8% | (b | ) | $ | 1,224,102,361 | ||||||||
Other Assets in Excess of Liabilities – 0.2% | (c | ) | 2,205,673 | |||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 1,226,308,034 | ||||||||||
|
|
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 $190,400 of cash pledged as collateral for the futures contracts outstanding at June 30, 2018. See also the following Schedule of Open Futures Contracts. |
The accompanying notes are an integral part of these financial statements.
51 |
Ohio National Fund, Inc. | ON S&P 500® Index Portfolio |
Schedule of Open Futures Contracts | June 30, 2018 (Unaudited) |
Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||
CME E-mini S&P 500 Index - Long | 34 | September 21, 2018 | $4,717,443 | $4,626,720 | $(90,723) | $780,347 |
The accompanying notes are an integral part of these financial statements.
52
Ohio National Fund, Inc. | ON Federated Strategic Value Dividend Portfolio (Unaudited) |
Objective/Strategy |
The ON Federated Strategic Value Dividend Portfolio (formerly 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 June 30, 2018 |
Average Annual returns | ||||
One year | 0.95% | |||
Five years | 9.15% | |||
Ten years | 8.46% |
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 0.75% per the Fund’s prospectus dated May 1, 2018. Additional information pertaining to the Portfolio’s expense ratio as of June 30, 2018 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 six-month period ended June 30, 2018, the ON Federated Strategic Value Dividend Portfolio returned -4.64% versus 1.02% 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. Volatility returned to the market in the first half of the year, brought on by heightened concerns surrounding Federal Reserve (“Fed”) rate hikes and escalating trade rhetoric. In late March and June, this seemed to have dampened the market’s “risk-on” posture as investor sentiment reversed and defensive stocks were in favor. Despite these periods when the “risk-off” appetite was apparent, for the overall period, the notable pro-cyclical trade still prevailed in the broad market. An area of relative weakness versus the benchmark was the market cap dispersion. The Portfolio’s mega cap tilt versus the benchmark’s mid cap tilt penalized relative performance, as the highest quintile of market cap only returned 0.19% in the index. (1)
The Portfolio remains focused on its core objectives of providing investors with a stable, high and rising income stream from high quality investments, evidenced by the Portfolio’s gross weighted average dividend yield of 4.66% at quarter end. This exceeded not only the yield of the broad market, represented by the S&P 500 Index with its 1.95% yield, and the 10-year U.S. Treasury Note (2.85%) , but it also surpassed the 3.87% yield of the DJSDI, which aims to reflect the domestic high dividend-paying universe. Further enhancing the dividend yield, there was robust dividend growth during the year as 23 companies increased their dividend payments. The most notable increases were derived from Abbvie, Inc. (35.2%), PepsiCo, Inc. (15.2%), Paychex, Inc. (12.0%), British
American Tobacco PLC, (11.8%), Imperial Brands PLC (10.0%), United Parcel Service, Inc. Class B (9.6%), Digital Realty Trust, Inc. (8.6%), Philip Morris International, Inc. (6.5%) and Exxon Mobil Corp. (6.5%). (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, as reflected in the strategy’s substantial holdings in these sectors. Therefore, the strategy maintains a structural underweight in cyclical sectors that afford little to no dividend growth opportunities. The Portfolio has limited exposure to Industrials, Information Technology, Materials, and Consumer Discretionary. Further, the DJSDI has an outsized average weight in the Utilities sector, which creates notable dispersion in periods when that sector greatly underperforms or outperforms in the period. (1)
The primary driver of relative weakness was the Portfolio’s stock selections in Telecommunication Services, as its 16% average exposure to the sector generated a -12.32% return. Among the defensive, dividend-fertile sectors, Telecommunication Services experienced the largest sector decline in May, as the 10-year Treasury hit 3.07%. AT&T, Inc., which returned -15.12% in the period, was also impacted by concerns around the closing of the Time Warner acquisition. Additionally, Vodafone Group PLC - ADR shares fell after the company announced a CEO change, which overshadowed positive earnings. Relative performance was further hampered by the Portfolio’s stock selection and overweight in Consumer Staples, which was the weakest performing sector in the DJSDI. The underperformance in Consumer Staples was driven mainly by tobacco, as Phillip Morris International, Inc.’s disappointing quarterly results in its e-cigarette segment placed short-term pressure on the sector. Our tobacco holdings remain a vital part of our high quality, rising income stream strategy, as they provide a combined yield of 5.3%. They also have delivered exceptional dividend growth as Altria Group, Inc., British American Tobacco PLC, Imperial Brands PLC and Phillip Morris International, Inc. have raised their dividends by 14.8%, 11.8%, 10.0% and 9.6%, respectively, over the trailing twelve months. (1)
The Portfolio’s top contributor to relative performance for the period was stock selection and overweight in Health Care, as the Portfolio’s 10% average weight in pharmaceutical names generated a 6.72% return versus the 4% exposure in the DJSDI, which posted a 4.0% return, adding 44 basis points of relative performance. This outperformance was primarily driven by non-index name, GlaxoSmithKline PLC, which climbed 16.37% as the approval of new products and its agreement to acquire Novartis AG’s stake in consumer healthcare propelled investor enthusiasm. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. Top 3 Benchmark-Relative Contributors:
The Portfolio has no exposure to L Brands, Inc. Moreover, the strategy currently maintains no exposure to Consumer Discretionary due to the lack of reliable dividend growth and yield opportunities. GlaxoSmithKline PLC climbed, as the approval of new products and the agreement to acquire Novartis’ stake in the companies’ consumer healthcare joint venture has propelled investor enthusiasm. The Portfolio has no
53 | (continued) |
Ohio National Fund, Inc. | ON Federated Strategic Value Dividend Portfolio (Unaudited) (Continued) |
exposure to Tupperware Brands Corp. Moreover, the strategy currently maintains no exposure to Consumer Discretionary due to the lack of reliable dividend growth and yield opportunities. (1)
Bottom 3 Benchmark-Relative Detractors:
Vodafone shares fell after the company announced a CEO change, which overshadowed positive earnings. Phillip Morris International, Inc.’s disappointing quarterly results in its e-cigarette segment placed short-term pressure on Tobacco industry names. The short-term pressure on Tobacco industry names negatively impacted Altria Group, Inc. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2018. |
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 June 30, 2018 (1) |
% of Net Assets | ||||
Common Stocks (4) | 99.8 | |||
Money Market Funds | ||||
Less Net Liabilities | 0.2 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of June 30, 2018 (1) (2) (3) |
% of Net Assets | ||||||
1. | Verizon Communications, Inc. | 5.7 | ||||
2. | AT&T, Inc. | 5.2 | ||||
3. | Altria Group, Inc. | 4.9 | ||||
4. | GlaxoSmithKline PLC | 4.4 | ||||
5. | Duke Energy Corp. | 4.2 | ||||
6. | Coca-Cola Co. / The | 4.2 | ||||
7. | Philip Morris International, Inc. | 4.2 | ||||
8. | Exxon Mobil Corp. | 4.1 | ||||
9. | National Grid PLC | 4.0 | ||||
10. | Occidental Petroleum Corp. | 3.5 |
(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 | ||||
Consumer Staples | 22.6 | |||
Utilities | 18.9 | |||
Telecommunication Services | 16.7 | |||
Energy | 16.3 | |||
Health Care | 10.5 | |||
Real Estate | 10.3 | |||
Financials | 2.7 | |||
Industrials | 1.2 | |||
Information Technology | 0.6 | |||
|
| |||
99.8 | ||||
|
|
54 |
Ohio National Fund, Inc. | ON Federated Strategic Value Dividend Portfolio |
Schedule of Investments | June 30, 2018 (Unaudited) |
Common Stocks – 99.8% | Shares | Value | ||||||||||
CONSUMER STAPLES – 22.6% |
| |||||||||||
Altria Group, Inc. (Tobacco) | 339,370 | $ | 19,272,822 | |||||||||
British American Tobacco PLC (Tobacco) | (a | ) | 91,550 | 4,611,682 | ||||||||
Coca-Cola Co. / The (Beverages) | 381,325 | 16,724,914 | ||||||||||
General Mills, Inc. (Food Products) | 107,725 | 4,767,909 | ||||||||||
Imperial Brands PLC (Tobacco) | (a | ) | 123,275 | 4,578,200 | ||||||||
Kimberly-Clark Corp. (Household Products) | 51,950 | 5,472,413 | ||||||||||
Kraft Heinz Co. / The (Food Products) | 99,875 | 6,274,148 | ||||||||||
PepsiCo, Inc. (Beverages) | 38,350 | 4,175,165 | ||||||||||
Philip Morris International, Inc. (Tobacco) | 203,995 | 16,470,556 | ||||||||||
Procter & Gamble Co. / The (Household Products) | 87,565 | 6,835,324 | ||||||||||
|
| |||||||||||
89,183,133 | ||||||||||||
|
| |||||||||||
ENERGY – 16.3% |
| |||||||||||
BP PLC (Oil, Gas & Consumable Fuels) | (a | ) | 1,606,750 | 12,224,985 | ||||||||
Chevron Corp. (Oil, Gas & Consumable Fuels) | 108,480 | 13,715,126 | ||||||||||
Exxon Mobil Corp. (Oil, Gas & Consumable Fuels) | 194,350 | 16,078,576 | ||||||||||
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 166,600 | 13,941,088 | ||||||||||
TOTAL SA (Oil, Gas & Consumable Fuels) | (a | ) | 142,050 | 8,626,091 | ||||||||
|
| |||||||||||
64,585,866 | ||||||||||||
|
| |||||||||||
FINANCIALS – 2.7% |
| |||||||||||
Canadian Imperial Bank of Commerce (Banks) | 54,175 | 4,712,625 | ||||||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Insurance) | (a | ) | 28,875 | 6,070,761 | ||||||||
|
| |||||||||||
10,783,386 | ||||||||||||
|
| |||||||||||
HEALTH CARE – 10.5% |
| |||||||||||
AbbVie, Inc. (Biotechnology) | 42,850 | 3,970,053 | ||||||||||
AstraZeneca PLC (Pharmaceuticals) | (a | ) | 136,355 | 9,431,291 | ||||||||
GlaxoSmithKline PLC (Pharmaceuticals) | (a | ) | 859,081 | 17,319,874 | ||||||||
Pfizer, Inc. (Pharmaceuticals) | 109,275 | 3,964,497 | ||||||||||
Sanofi (Pharmaceuticals) | (a | ) | 84,936 | 6,816,921 | ||||||||
|
| |||||||||||
41,502,636 | ||||||||||||
|
| |||||||||||
INDUSTRIALS – 1.2% |
| |||||||||||
United Parcel Service, Inc. Class B (Air Freight & Logistics) | 45,625 | 4,846,744 | ||||||||||
|
| |||||||||||
INFORMATION TECHNOLOGY – 0.6% |
| |||||||||||
Paychex, Inc. (IT Svs.) | 35,000 | 2,392,250 | ||||||||||
|
|
Common Stocks (Continued) | Shares | Value | ||||||||||
REAL ESTATE – 10.3% | ||||||||||||
Crown Castle International Corp. (Equity REIT) | 125,550 | $ | 13,536,801 | |||||||||
Digital Realty Trust, Inc. (Equity REIT) | 33,695 | 3,759,688 | ||||||||||
National Retail Properties, Inc. (Equity REIT) | 78,700 | 3,459,652 | ||||||||||
Omega Healthcare Investors, Inc. (Equity REIT) | 68,900 | 2,135,900 | ||||||||||
Public Storage (Equity REIT) | 21,625 | 4,905,847 | ||||||||||
Realty Income Corp. (Equity REIT) | 50,075 | 2,693,534 | ||||||||||
Ventas, Inc. (Equity REIT) | 116,805 | 6,652,045 | ||||||||||
Welltower, Inc. (Equity REIT) | 53,450 | 3,350,781 | ||||||||||
|
| |||||||||||
40,494,248 | ||||||||||||
|
| |||||||||||
TELECOMMUNICATION SERVICES – 16.7% |
| |||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 638,798 | 20,511,804 | ||||||||||
BCE, Inc. (Diversified Telecom. Svs.) | 237,805 | 9,630,501 | ||||||||||
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 444,576 | 22,366,618 | ||||||||||
Vodafone Group PLC – ADR (Wireless Telecom. Svs.) | 550,343 | 13,378,838 | ||||||||||
|
| |||||||||||
65,887,761 | ||||||||||||
|
| |||||||||||
UTILITIES – 18.9% | ||||||||||||
American Electric Power Co., Inc. (Electric Utilities) | 31,275 | 2,165,794 | ||||||||||
Dominion Energy, Inc. (Multi-Utilities) | 201,875 | 13,763,837 | ||||||||||
Duke Energy Corp. (Electric Utilities) | 212,256 | 16,785,204 | ||||||||||
National Grid PLC (Multi-Utilities) | (a | ) | 1,450,200 | 16,026,257 | ||||||||
PPL Corp. (Electric Utilities) | 332,175 | 9,483,596 | ||||||||||
Public Service Enterprise Group, Inc. (Multi-Utilities) | 116,750 | 6,320,845 | ||||||||||
Southern Co. / The (Electric Utilities) | 220,835 | 10,226,869 | ||||||||||
|
| |||||||||||
74,772,402 | ||||||||||||
|
| |||||||||||
Total Common Stocks | $ | 394,448,426 | ||||||||||
|
| |||||||||||
Money Market Funds – 1.4% | Shares | Value | ||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 5,419,313 | $ | 5,419,313 | |||||||||
|
| |||||||||||
Total Money Market Funds | $ | 5,419,313 | ||||||||||
|
| |||||||||||
Total Investments – 101.2% | (b | ) | $ | 399,867,739 | ||||||||
Liabilities in Excess of Other Assets – (1.2)% | (4,680,919 | ) | ||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 395,186,820 | ||||||||||
|
|
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 $85,706,062 or 21.7% 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.
55
Ohio National Fund, Inc. | ON Federated High Income Bond Portfolio (Unaudited) |
Objective/Strategy |
The ON Federated High Income Bond Portfolio (formerly 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 June 30, 2018 |
Average Annual returns | ||||
One year | 1.26% | |||
Five years | 5.03% | |||
Ten years | 7.29% |
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, 2018. Additional information pertaining to the Portfolio’s expense ratio as of June 30, 2018 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 six-month period ended June 30, 2018, the ON Federated High Income Bond Portfolio returned -0.57% versus 0.16% 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. The total return for the high yield market for the six-month period was modestly positive, while most other fixed income asset classes generated negative returns. For example, the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index returned 0.16% for the period compared to a -1.62% return for the Bloomberg Barclays U.S. Aggregate Bond Index. Rising interest rates were the primary factor impacting all fixed income securities, as illustrated by the 53 basis points rise in 5-year U.S. Treasury securities and the 45 basis points increase for 10-year U.S. Treasury securities along the treasury yield curve. The high yield market’s strong relative returns are being driven by the higher yield inherent in high yield securities. While yield spreads ended the six-month period roughly where they began, the period saw considerable volatility. On the positive side, strong corporate earnings growth and very strong economic indicators such as employment and confidence measures put downward pressure on spreads. However, rhetoric of trade wars and a Federal Reserve that seems intent on returning to a normalized fed funds level weighed heavy on spread levels. The impact of these factors can be seen in the spread between high-yield bonds and U.S. Treasury
securities with comparable maturities, which according to the Credit Suisse High Yield Bond Index, began the reporting period at 394 basis points and ended the period at 399 basis points after touching cycle lows of 354 basis points on April 18th. (1)
Within the benchmark, major industry sectors that substantially outperformed the overall benchmark included wireline telecommunications, oil field services, and pharmaceuticals. Major industry sectors that substantially underperformed the overall benchmark included banking, automotive, home construction, and food & beverage. From a credit quality perspective, the credit sensitive CCC-rated sector returned 3.17%, followed by the B-rated sector at 0.86%. The more interest rate sensitive BB-rated sector trailed, returning -1.77%.(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 security selection, was there anything specific regarding the Portfolio’s strategy that caused deviation from the benchmark?
A. Sector Allocation:
The Portfolio was negatively impacted by its underweight to the strong performing wireline telecommunications and oil field service sectors. The Portfolio was positively impacted by its underweight to the poor performing banking and home construction sectors and by its overweight to the strong performing pharmaceutical sector. The Portfolio was negatively impacted by its security selection during the period. While the Portfolio was overweight the outperforming CCC-rated sector, the Portfolio’s holdings in this quality sector tended to be in lower beta CCC’s while the strongest performers in the CCC category tended to be high risk, high beta securities. The Portfolio was most negatively impacted by security selection in the cable & satellite, media & entertainment, and metals & mining industry sectors. The Portfolio was positively impacted by security selection in the auto sector. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. Specific high yield issuers held by the Portfolio that positively impacted performance relative to the benchmark included Envision Healthcare Corp., a healthcare services company that agreed to be taken private, which will most likely result in the securities being retired. After a troubled past, the Valeant Pharmaceuticals International, Inc. appears to have stabilized operations, has refinanced near-term maturities, and continues to generate substantial free cash flow from operations. The company continues to focus on repaying debt to reduce leverage, which positively impacts overall credit quality. PetSmart, Inc. continues to struggle with sales at its brick and mortar stores, but is seeing strong online sales at its Chewy subsidiary that it recently acquired. (1)
Specific high yield issuers held by the Portfolio that negatively impacted performance relative to the benchmark included Acosta, Inc., a sales and marketing agency servicing consumer packaged goods (CPG) clients. The company has been negatively impacted by reduced marketing spend at some of their large CPG clients. CHS / Community Health Systems, Inc. (“CHS”), another detractor, is an operator of hospitals which has struggled to integrate and operate a large acquisition. CHS is actively selling assets to pay down debt but continues to struggle operationally. Adient Global Holdings Ltd. (“Adient”), a global automotive seat supplier was a third top detractor. The company, after being spun off as an independent company, has struggled to efficiently launch new products and rationalize its manufacturing base, leading to disappointing operating results. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2018. |
56 | (continued) |
Ohio National Fund, Inc. | ON Federated 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 and accounting.
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 June 30, 2018 (1) |
% of Net Assets | ||||
Corporate Bonds (4) | 96.1 | |||
Money Market Funds and Other Net Assets | 3.9 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of June 30, 2018 (1) (2) (3) |
% of Net Assets | ||||||
1. | Valeant Pharmaceuticals International, Inc. | 1.0 | ||||
6.125%, 04/15/2025 | ||||||
2. | Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical Diagnostics SA | 0.9 | ||||
6.625%, 05/15/2022 | ||||||
3. | Jaguar Holding Co. II / Pharmaceutical Product Development, LLC | 0.8 | ||||
6.375%, 08/01/2023 | ||||||
4. | Platform Specialty Products Corp. | 0.8 | ||||
6.500%, 02/01/2022 | ||||||
5. | CCO Holdings LLC / CCO Holdings Capital Corp. | 0.8 | ||||
5.750%, 01/15/2024 | ||||||
6. | MPH Acquisition Holdings LLC | 0.8 | ||||
7.125%, 06/01/2024 | ||||||
7. | Altice France SA | 0.7 | ||||
7.375%, 05/01/2026 | ||||||
8. | Park Aerospace Holdings Ltd. | 0.7 | ||||
5.500%, 02/15/2024 | ||||||
9. | Sprint Corp. | 0.7 | ||||
7.625%, 02/15/2025 | ||||||
10. | First Data Corp. | 0.7 | ||||
5.750%, 01/15/2024 |
(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 | 25.0 | |||
Health Care | 16.2 | |||
Energy | 12.4 | |||
Materials | 9.6 | |||
Information Technology | 8.4 | |||
Industrials | 8.1 | |||
Financials | 4.8 | |||
Telecommunication Services | 4.2 | |||
Utilities | 3.5 | |||
Consumer Staples | 3.3 | |||
Real Estate | 0.6 | |||
|
| |||
96.1 | ||||
|
|
57
Ohio National Fund, Inc. | ON Federated High Income Bond Portfolio |
Schedule of Investments | June 30, 2018 (Unaudited) |
Corporate Bonds – 96.1% | Rate | Maturity | Face Amount | Value | |||||||||||||||||||||
CONSUMER DISCRETIONARY – 25.0% | |||||||||||||||||||||||||
1011778 B.C. ULC / New Red Finance, Inc. (Hotels, Restaurants & Leisure) | (a) | 4.250% | 05/15/2024 | $ | 250,000 | $ | 237,500 | ||||||||||||||||||
1011778 B.C. ULC / New Red Finance, Inc. (Hotels, Restaurants & Leisure) | (a) | 5.000% | 10/15/2025 | 1,550,000 | 1,466,610 | ||||||||||||||||||||
Acosta, Inc. (Media) | (a) | 7.750% | 10/01/2022 | 1,100,000 | 550,000 | ||||||||||||||||||||
Adient Global Holdings Ltd. (Auto Components) | (a) | 4.875% | 08/15/2026 | 950,000 | 855,000 | ||||||||||||||||||||
Altice U.S. Finance I Corp. (Media) | (a) | 5.375% | 07/15/2023 | 375,000 | 373,125 | ||||||||||||||||||||
AMC Networks, Inc. (Media) | 5.000% | 04/01/2024 | 800,000 | 788,000 | |||||||||||||||||||||
AMC Networks, Inc. (Media) | 4.750% | 08/01/2025 | 450,000 | 432,567 | |||||||||||||||||||||
American Axle & Manufacturing, Inc. (Auto Components) | 6.500% | 04/01/2027 | 1,025,000 | 1,009,625 | |||||||||||||||||||||
Aramark Services, Inc. (Hotels, Restaurants & Leisure) | 5.125% | 01/15/2024 | 425,000 | 425,000 | |||||||||||||||||||||
Aramark Services, Inc. (Hotels, Restaurants & Leisure) | (a) | 5.000% | 04/01/2025 | 300,000 | 298,500 | ||||||||||||||||||||
Aramark Services, Inc. (Hotels, Restaurants & Leisure) | 4.750% | 06/01/2026 | 375,000 | 362,344 | |||||||||||||||||||||
Aramark Services, Inc. (Hotels, Restaurants & Leisure) | (a) | 5.000% | 02/01/2028 | 575,000 | 549,125 | ||||||||||||||||||||
Ardonagh Midco 3 PLC (Hotels, Restaurants & Leisure) | (a) | 8.625% | 07/15/2023 | 800,000 | 812,000 | ||||||||||||||||||||
Boyd Gaming Corp. (Hotels, Restaurants & Leisure) | 6.875% | 05/15/2023 | 525,000 | 549,938 | |||||||||||||||||||||
Boyd Gaming Corp. (Hotels, Restaurants & Leisure) | 6.375% | 04/01/2026 | 650,000 | 658,125 | |||||||||||||||||||||
Boyd Gaming Corp. (Hotels, Restaurants & Leisure) | (a) | 6.000% | 08/15/2026 | 100,000 | 98,625 | ||||||||||||||||||||
Cablevision Systems Corp. (Media) | 5.875% | 09/15/2022 | 825,000 | 818,812 | |||||||||||||||||||||
Caesars Resort Collection LLC / CRC Finco, Inc. (Hotels, Restaurants & Leisure) | (a) | 5.250% | 10/15/2025 | 1,625,000 | 1,537,656 | ||||||||||||||||||||
CBS Radio, Inc. (Media) | (a) | 7.250% | 11/01/2024 | 650,000 | 619,125 | ||||||||||||||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | 5.250% | 09/30/2022 | 300,000 | 301,500 | |||||||||||||||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | 5.125% | 02/15/2023 | 150,000 | 148,454 | |||||||||||||||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | 5.750% | 09/01/2023 | 325,000 | 327,438 | |||||||||||||||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | 5.750% | 01/15/2024 | 2,325,000 | 2,330,812 | |||||||||||||||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | (a) | 5.375% | 05/01/2025 | 175,000 | 169,313 | ||||||||||||||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | (a) | 5.125% | 05/01/2027 | 800,000 | 747,000 | ||||||||||||||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | (a) | 5.875% | 05/01/2027 | 400,000 | 390,500 | ||||||||||||||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | (a) | 5.000% | 02/01/2028 | 850,000 | 777,750 | ||||||||||||||||||||
Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp. (Hotels, Restaurants & Leisure) | 5.375% | 06/01/2024 | 200,000 | 202,000 | |||||||||||||||||||||
Cequel Communications Holdings I, LLC / Cequel Capital Corp. (Media) | (a) | 5.125% | 12/15/2021 | 750,000 | 745,312 | ||||||||||||||||||||
Cequel Communications Holdings I, LLC / Cequel Capital Corp. (Media) | (a) | 5.125% | 12/15/2021 | 100,000 | 99,386 | ||||||||||||||||||||
Cequel Communications Holdings I, LLC / Cequel Capital Corp. (Media) | (a) | 7.750% | 07/15/2025 | 1,175,000 | 1,227,875 | ||||||||||||||||||||
Cequel Communications Holdings I, LLC / Cequel Capital Corp. (Media) | (a) | 7.500% | 04/01/2028 | 550,000 | 556,710 | ||||||||||||||||||||
Clear Channel Worldwide Holdings, Inc. (Media) | 6.500% | 11/15/2022 | 1,000,000 | 1,020,000 | |||||||||||||||||||||
Clear Channel Worldwide Holdings, Inc. (Media) | 6.500% | 11/15/2022 | 275,000 | 279,125 | |||||||||||||||||||||
CSC Holdings, LLC (Media) | 5.250% | 06/01/2024 | 975,000 | 921,375 | |||||||||||||||||||||
CSC Holdings, LLC (Media) | (a) | 5.500% | 04/15/2027 | 1,100,000 | 1,050,500 | ||||||||||||||||||||
Dana Financing Luxembourg SARL (Auto Components) | (a) | 5.750% | 04/15/2025 | 175,000 | 172,375 | ||||||||||||||||||||
Dana Financing Luxembourg SARL (Auto Components) | (a) | 6.500% | 06/01/2026 | 875,000 | 888,125 | ||||||||||||||||||||
DISH DBS Corp. (Media) | 5.875% | 07/15/2022 | 650,000 | 611,000 | |||||||||||||||||||||
DISH DBS Corp. (Media) | 5.875% | 11/15/2024 | 1,275,000 | 1,078,969 | |||||||||||||||||||||
DISH DBS Corp. (Media) | 7.750% | 07/01/2026 | 625,000 | 547,656 | |||||||||||||||||||||
E.W. Scripps Co. / The (Media) | (a) | 5.125% | 05/15/2025 | 175,000 | 164,063 | ||||||||||||||||||||
Eldorado Resorts, Inc. (Hotels, Restaurants & Leisure) | 6.000% | 04/01/2025 | 500,000 | 500,625 | |||||||||||||||||||||
EMI Music Publishing Group North America Holdings, Inc. (Media) | (a) | 7.625% | 06/15/2024 | 525,000 | 568,129 | ||||||||||||||||||||
Gates Global LLC / Gates Global Co. (Auto Components) | (a) | 6.000% | 07/15/2022 | 739,000 | 748,237 | ||||||||||||||||||||
GLP Capital LP / GLP Financing II, Inc. (Hotels, Restaurants & Leisure) | 5.375% | 11/01/2023 | 150,000 | 153,188 | |||||||||||||||||||||
Goodyear Tire & Rubber Co. / The (Auto Components) | 5.125% | 11/15/2023 | 300,000 | 297,300 | |||||||||||||||||||||
Goodyear Tire & Rubber Co. / The (Auto Components) | 5.000% | 05/31/2026 | 200,000 | 186,000 | |||||||||||||||||||||
Goodyear Tire & Rubber Co. / The (Auto Components) | 4.875% | 03/15/2027 | 300,000 | 274,128 | |||||||||||||||||||||
Gray Television, Inc. (Media) | (a) | 5.125% | 10/15/2024 | 250,000 | 238,750 | ||||||||||||||||||||
Gray Television, Inc. (Media) | (a) | 5.875% | 07/15/2026 | 825,000 | 784,781 | ||||||||||||||||||||
Hanesbrands, Inc. (Textiles, Apparel & Luxury Goods) | (a) | 4.875% | 05/15/2026 | 325,000 | 313,625 | ||||||||||||||||||||
Hilton Domestic Operating Co., Inc. (Hotels, Restaurants & Leisure) | (a) | 5.125% | 05/01/2026 | 650,000 | 638,625 | ||||||||||||||||||||
iHeartCommunications, Inc. (Acquired 06/09/2011 through 02/05/2014, Cost $669,543) (Media) | (b) | 9.000% | 03/01/2021 | 700,000 | 528,500 | ||||||||||||||||||||
IHO Verwaltungs GmbH (Auto Components) | (a)(c) | 4.750%, 5.500 PIK | 09/15/2026 | 1,125,000 | 1,058,906 | ||||||||||||||||||||
Intelsat Jackson Holdings SA (Media) | 7.500% | 04/01/2021 | 975,000 | 967,687 | |||||||||||||||||||||
Intelsat Jackson Holdings SA (Media) | 5.500% | 08/01/2023 | 950,000 | 852,340 | |||||||||||||||||||||
Intelsat Jackson Holdings SA (Media) | (a) | 8.000% | 02/15/2024 | 350,000 | 367,500 | ||||||||||||||||||||
Intelsat Jackson Holdings SA (Media) | (a) | 9.750% | 07/15/2025 | 350,000 | 369,250 | ||||||||||||||||||||
J.B. Poindexter & Co., Inc. (Auto Components) | (a) | 7.125% | 04/15/2026 | 350,000 | 358,750 | ||||||||||||||||||||
KFC Holding Co. / Pizza Hut Holdings, LLC / Taco Bell of America LLC (Hotels, Restaurants & Leisure) | (a) | 5.000% | 06/01/2024 | 150,000 | 148,080 | ||||||||||||||||||||
KFC Holding Co. / Pizza Hut Holdings, LLC / Taco Bell of America LLC (Hotels, Restaurants & Leisure) | (a) | 5.250% | 06/01/2026 | 300,000 | 295,500 | ||||||||||||||||||||
KFC Holding Co. / Pizza Hut Holdings, LLC / Taco Bell of America LLC (Hotels, Restaurants & Leisure) | (a) | 4.750% | 06/01/2027 | 650,000 | 614,250 | ||||||||||||||||||||
LIN Television Corp. (Media) | 5.875% | 11/15/2022 | 350,000 | 357,000 | |||||||||||||||||||||
Live Nation Entertainment, Inc. (Media) | (a) | 4.875% | 11/01/2024 | 250,000 | 241,875 | ||||||||||||||||||||
Live Nation Entertainment, Inc. (Media) | (a) | 5.625% | 03/15/2026 | 250,000 | 248,125 |
58 | (continued) |
Ohio National Fund, Inc. | ON Federated High Income Bond Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||||
CONSUMER DISCRETIONARY (continued) | ||||||||||||||||||||
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc. (Hotels, Restaurants & Leisure) | 5.625 | % | 05/01/2024 | $ | 50,000 | $ | 50,625 | |||||||||||||
MGM Resorts International (Hotels, Restaurants & Leisure) | 6.750 | % | 10/01/2020 | 150,000 | 157,125 | |||||||||||||||
MGM Resorts International (Hotels, Restaurants & Leisure) | 7.750 | % | 03/15/2022 | 125,000 | 136,250 | |||||||||||||||
MGM Resorts International (Hotels, Restaurants & Leisure) | 5.750 | % | 06/15/2025 | 850,000 | 848,937 | |||||||||||||||
MGM Resorts International (Hotels, Restaurants & Leisure) | 4.625 | % | 09/01/2026 | 1,075,000 | 994,375 | |||||||||||||||
Michaels Stores, Inc. (Specialty Retail) | (a) | 5.875 | % | 12/15/2020 | 1,275,000 | 1,284,690 | ||||||||||||||
Mohegan Gaming & Entertainment (Hotels, Restaurants & Leisure) | (a) | 7.875 | % | 10/15/2024 | 750,000 | 706,875 | ||||||||||||||
Nexstar Broadcasting, Inc. (Media) | (a) | 6.125 | % | 02/15/2022 | 475,000 | 485,688 | ||||||||||||||
Nexstar Broadcasting, Inc. (Media) | (a) | 5.625 | % | 08/01/2024 | 1,025,000 | 987,844 | ||||||||||||||
Nielsen Finance LLC / Nielsen Finance Co. (Media) | (a) | 5.000 | % | 04/15/2022 | 1,125,000 | 1,105,425 | ||||||||||||||
Outfront Media Capital LLC / Outfront Media Capital Corp. (Media) | 5.250 | % | 02/15/2022 | 300,000 | 303,228 | |||||||||||||||
Outfront Media Capital LLC / Outfront Media Capital Corp. (Media) | 5.625 | % | 02/15/2024 | 300,000 | 303,591 | |||||||||||||||
Party City Holdings, Inc. (Specialty Retail) | (a) | 6.125 | % | 08/15/2023 | 975,000 | 979,875 | ||||||||||||||
Penn National Gaming, Inc. (Hotels, Restaurants & Leisure) | (a) | 5.625 | % | 01/15/2027 | 375,000 | 353,438 | ||||||||||||||
PetSmart, Inc. (Specialty Retail) | (a) | 7.125 | % | 03/15/2023 | 925,000 | 620,952 | ||||||||||||||
PetSmart, Inc. (Specialty Retail) | (a) | 8.875 | % | 06/01/2025 | 150,000 | 98,625 | ||||||||||||||
Pinnacle Entertainment, Inc. (Hotels, Restaurants & Leisure) | 5.625 | % | 05/01/2024 | 1,075,000 | 1,116,011 | |||||||||||||||
Rivers Pittsburgh Borrower LP / Rivers Pittsburgh Finance Corp. (Hotels, Restaurants & Leisure) | (a) | 6.125 | % | 08/15/2021 | 750,000 | 742,500 | ||||||||||||||
Sally Holdings LLC / Sally Capital, Inc. (Specialty Retail) | 5.625 | % | 12/01/2025 | 950,000 | 876,375 | |||||||||||||||
Seminole Hard Rock Entertainment, Inc. / Seminole Hard Rock International, LLC (Hotels, Restaurants & Leisure) | (a) | 5.875 | % | 05/15/2021 | 1,400,000 | 1,407,000 | ||||||||||||||
Seminole Tribe of Florida, Inc. (Hotels, Restaurants & Leisure) | (a) | 7.804 | % | 10/01/2020 | 400,000 | 400,000 | ||||||||||||||
ServiceMaster Co., LLC / The (Diversified Consumer Svs.) | (a) | 5.125 | % | 11/15/2024 | 700,000 | 679,000 | ||||||||||||||
Sinclair Television Group, Inc. (Media) | (a) | 5.625 | % | 08/01/2024 | 700,000 | 694,750 | ||||||||||||||
Sinclair Television Group, Inc. (Media) | (a) | 5.875 | % | 03/15/2026 | 750,000 | 729,375 | ||||||||||||||
Sinclair Television Group, Inc. (Media) | (a) | 5.125 | % | 02/15/2027 | 250,000 | 230,000 | ||||||||||||||
Sirius XM Radio, Inc. (Media) | (a) | 4.625 | % | 05/15/2023 | 1,175,000 | 1,150,031 | ||||||||||||||
Sirius XM Radio, Inc. (Media) | (a) | 6.000 | % | 07/15/2024 | 275,000 | 280,156 | ||||||||||||||
Sirius XM Radio, Inc. (Media) | (a) | 5.375 | % | 04/15/2025 | 150,000 | 147,938 | ||||||||||||||
Sirius XM Radio, Inc. (Media) | (a) | 5.375 | % | 07/15/2026 | 725,000 | 697,812 | ||||||||||||||
Sirius XM Radio, Inc. (Media) | (a) | 5.000 | % | 08/01/2027 | 250,000 | 233,125 | ||||||||||||||
Six Flags Entertainment Corp. (Hotels, Restaurants & Leisure) | (a) | 4.875 | % | 07/31/2024 | 275,000 | 267,218 | ||||||||||||||
Six Flags Entertainment Corp. (Hotels, Restaurants & Leisure) | (a) | 5.500 | % | 04/15/2027 | 1,475,000 | 1,432,166 | ||||||||||||||
Stars Group Holdings BV / Stars Group U.S. Co-Borrower, LLC (Hotels, Restaurants & Leisure) | (a) | 7.000 | % | 07/15/2026 | 275,000 | 277,750 | ||||||||||||||
Station Casinos LLC (Hotels, Restaurants & Leisure) | (a) | 5.000 | % | 10/01/2025 | 725,000 | 681,500 | ||||||||||||||
Sugarhouse HSP Gaming Prop. Mezz. LP / Sugarhouse HSP Gaming Finance Corp. (Hotels, Restaurants & Leisure) | (a) | 5.875 | % | 05/15/2025 | 675,000 | 634,500 | ||||||||||||||
TEGNA, Inc. (Media) | 6.375 | % | 10/15/2023 | 700,000 | 719,250 | |||||||||||||||
TEGNA, Inc. (Media) | (a) | 5.500 | % | 09/15/2024 | 125,000 | 125,000 | ||||||||||||||
Telenet Finance Luxembourg Notes SARL (Media) | (a) | 5.500 | % | 03/01/2028 | 1,400,000 | 1,274,000 | ||||||||||||||
TI Group Automotive Systems LLC (Auto Components) | (a) | 8.750 | % | 07/15/2023 | 362,000 | 378,362 | ||||||||||||||
Tribune Media Co. (Media) | 5.875 | % | 07/15/2022 | 1,225,000 | 1,236,331 | |||||||||||||||
Unitymedia GmbH (Media) | (a) | 6.125 | % | 01/15/2025 | 975,000 | 1,004,250 | ||||||||||||||
Unitymedia Hessen GmbH & Co. KG / Unitymedia NRW GmbH (Media) | (a) | 5.000 | % | 01/15/2025 | 200,000 | 202,500 | ||||||||||||||
Urban One, Inc. (Acquired 01/29/2014 through 03/06/2014, Cost $659,220) (Media) | (a)(d) | 9.250 | % | 02/15/2020 | 650,000 | 630,500 | ||||||||||||||
Urban One, Inc. (Media) | (a) | 7.375 | % | 04/15/2022 | 625,000 | 604,687 | ||||||||||||||
Virgin Media Finance PLC (Media) | (a) | 6.375 | % | 04/15/2023 | 475,000 | 475,000 | ||||||||||||||
Virgin Media Finance PLC (Media) | (a) | 6.000 | % | 10/15/2024 | 800,000 | 761,040 | ||||||||||||||
Virgin Media Finance PLC (Media) | (a) | 5.750 | % | 01/15/2025 | 400,000 | 375,000 | ||||||||||||||
Virgin Media Secured Finance PLC (Media) | (a) | 5.250 | % | 01/15/2026 | 425,000 | 393,125 | ||||||||||||||
Virgin Media Secured Finance PLC (Media) | (a) | 5.500 | % | 08/15/2026 | 200,000 | 187,220 | ||||||||||||||
VOC Escrow Ltd. (Hotels, Restaurants & Leisure) | (a) | 5.000 | % | 02/15/2028 | 325,000 | 307,031 | ||||||||||||||
WMG Acquisition Corp. (Media) | (a) | 5.000 | % | 08/01/2023 | 75,000 | 74,625 | ||||||||||||||
WMG Acquisition Corp. (Media) | (a) | 4.875 | % | 11/01/2024 | 200,000 | 195,000 | ||||||||||||||
WMG Acquisition Corp. (Media) | (a) | 5.500 | % | 04/15/2026 | 175,000 | 173,469 | ||||||||||||||
Wyndham Hotels & Resorts, Inc. (Hotels, Restaurants & Leisure) | (a) | 5.375 | % | 04/15/2026 | 325,000 | 322,563 | ||||||||||||||
Wynn Las Vegas, LLC / Wynn Las Vegas Capital Corp. (Hotels, Restaurants & Leisure) | (a) | 5.250 | % | 05/15/2027 | 325,000 | 303,875 | ||||||||||||||
Ziggo Bond Finance BV (Media) | (a) | 6.000 | % | 01/15/2027 | 775,000 | 728,500 | ||||||||||||||
Ziggo Secured Finance BV (Media) | (a) | 5.500 | % | 01/15/2027 | 925,000 | 864,042 | ||||||||||||||
|
| |||||||||||||||||||
71,740,186 | ||||||||||||||||||||
|
| |||||||||||||||||||
CONSUMER STAPLES – 3.3% | ||||||||||||||||||||
Albertsons Cos., Inc. (Food & Staples Retailing) | (a)(e) | QL + 37 | 5 | 01/15/2024 | 75,000 | 75,188 | ||||||||||||||
Albertsons Cos., LLC / Safeway, Inc. / New Albertson’s LP / Albertson’s, LLC (Food & Staples Retailing) | 6.625 | % | 06/15/2024 | 1,025,000 | 966,062 | |||||||||||||||
Albertsons Cos., LLC / Safeway, Inc. / New Albertson’s LP / Albertson’s, LLC (Food & Staples Retailing) | 5.750 | % | 03/15/2025 | 600,000 | 531,000 | |||||||||||||||
B&G Foods, Inc. (Food Products) | 5.250 | % | 04/01/2025 | 1,025,000 | 966,062 | |||||||||||||||
Energizer Gamma Acquisition, Inc. (Household Products) | (a) | 6.375 | % | 07/15/2026 | 100,000 | 101,688 |
59 | (continued) |
Ohio National Fund, Inc. | ON Federated High Income Bond Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||
CONSUMER STAPLES (continued) | ||||||||||||||||||
First Quality Finance Co., Inc. (Personal Products) | (a) | 4.625 | % | 05/15/2021 | $ | 1,325,000 | $ | 1,291,875 | ||||||||||
First Quality Finance Co., Inc. (Personal Products) | (a) | 5.000 | % | 07/01/2025 | 100,000 | 91,500 | ||||||||||||
Lamb Weston Holdings, Inc. (Food Products) | (a) | 4.875 | % | 11/01/2026 | 300,000 | 291,750 | ||||||||||||
Performance Food Group, Inc. (Food & Staples Retailing) | (a) | 5.500 | % | 06/01/2024 | 75,000 | 74,063 | ||||||||||||
Post Holdings, Inc. (Food Products) | (a) | 5.000 | % | 08/15/2026 | 2,000,000 | 1,865,000 | ||||||||||||
Post Holdings, Inc. (Food Products) | (a) | 5.750 | % | 03/01/2027 | 550,000 | 530,750 | ||||||||||||
Post Holdings, Inc. (Food Products) | (a) | 5.625 | % | 01/15/2028 | 350,000 | 328,125 | ||||||||||||
Rite Aid Corp. (Food & Staples Retailing) | (a) | 6.125 | % | 04/01/2023 | 550,000 | 557,700 | ||||||||||||
Spectrum Brands, Inc. (Household Products) | 6.125 | % | 12/15/2024 | 175,000 | 176,750 | |||||||||||||
Spectrum Brands, Inc. (Household Products) | 5.750 | % | 07/15/2025 | 400,000 | 395,000 | |||||||||||||
U.S. Foods, Inc. (Food & Staples Retailing) | (a) | 5.875 | % | 06/15/2024 | 1,125,000 | 1,144,687 | ||||||||||||
|
| |||||||||||||||||
9,387,200 | ||||||||||||||||||
|
| |||||||||||||||||
ENERGY – 12.4% | ||||||||||||||||||
Andeavor Logistics LP / Tesoro Logistics Finance Corp. (Oil, Gas & Consumable Fuels) | 6.250 | % | 10/15/2022 | 28,000 | 29,004 | |||||||||||||
Andeavor Logistics LP / Tesoro Logistics Finance Corp. (Oil, Gas & Consumable Fuels) | 5.250 | % | 01/15/2025 | 275,000 | 281,842 | |||||||||||||
Antero Midstream Partners LP / Antero Midstream Finance Corp. (Oil, Gas & Consumable Fuels) | 5.375 | % | 09/15/2024 | 900,000 | 906,750 | |||||||||||||
Antero Resources Corp. (Oil, Gas & Consumable Fuels) | 5.000 | % | 03/01/2025 | 750,000 | 746,250 | |||||||||||||
Apergy Corp. (Energy Equip. & Svs.) | (a) | 6.375 | % | 05/01/2026 | 100,000 | 101,625 | ||||||||||||
Ascent Resources Utica Holdings, LLC / ARU Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 10.000 | % | 04/01/2022 | 775,000 | 852,500 | ||||||||||||
Berry Petroleum Co., LLC (Oil, Gas & Consumable Fuels) | (a) | 7.000 | % | 02/15/2026 | 325,000 | 332,312 | ||||||||||||
Callon Petroleum Co. (Oil, Gas & Consumable Fuels) | 6.125 | % | 10/01/2024 | 614,000 | 621,675 | |||||||||||||
Callon Petroleum Co. (Oil, Gas & Consumable Fuels) | (a) | 6.375 | % | 07/01/2026 | 200,000 | 200,500 | ||||||||||||
Carrizo Oil & Gas, Inc. (Oil, Gas & Consumable Fuels) | 7.500 | % | 09/15/2020 | 108,000 | 108,675 | |||||||||||||
Carrizo Oil & Gas, Inc. (Oil, Gas & Consumable Fuels) | 6.250 | % | 04/15/2023 | 100,000 | 101,250 | |||||||||||||
Carrizo Oil & Gas, Inc. (Oil, Gas & Consumable Fuels) | 8.250 | % | 07/15/2025 | 450,000 | 477,000 | |||||||||||||
Cheniere Corpus Christi Holdings, LLC (Oil, Gas & Consumable Fuels) | 7.000 | % | 06/30/2024 | 550,000 | 599,500 | |||||||||||||
Cheniere Corpus Christi Holdings, LLC (Oil, Gas & Consumable Fuels) | 5.875 | % | 03/31/2025 | 575,000 | 598,000 | |||||||||||||
Cheniere Corpus Christi Holdings, LLC (Oil, Gas & Consumable Fuels) | 5.125 | % | 06/30/2027 | 225,000 | 223,031 | |||||||||||||
Cheniere Energy Partners LP (Oil, Gas & Consumable Fuels) | (a) | 5.250 | % | 10/01/2025 | 1,150,000 | 1,121,767 | ||||||||||||
Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels) | (a) | 8.000 | % | 12/15/2022 | 345,000 | 362,146 | ||||||||||||
Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels) | 5.750 | % | 03/15/2023 | 50,000 | 47,250 | |||||||||||||
Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels) | 8.000 | % | 01/15/2025 | 175,000 | 178,229 | |||||||||||||
Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels) | 8.000 | % | 06/15/2027 | 850,000 | 864,875 | |||||||||||||
CNX Midstream Partners LP / CNX Midstream Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 6.500 | % | 03/15/2026 | 575,000 | 559,187 | ||||||||||||
CrownRock LP / CrownRock Finance, Inc. (Oil, Gas & Consumable Fuels) | (a) | 5.625 | % | 10/15/2025 | 1,075,000 | 1,037,375 | ||||||||||||
CVR Refining, LLC / Coffeyville Finance, Inc. (Oil, Gas & Consumable Fuels) | 6.500 | % | 11/01/2022 | 1,250,000 | 1,275,000 | |||||||||||||
Endeavor Energy Resources LP / EER Finance, Inc. (Oil, Gas & Consumable Fuels) | (a) | 5.500 | % | 01/30/2026 | 150,000 | 145,500 | ||||||||||||
Endeavor Energy Resources LP / EER Finance, Inc. (Oil, Gas & Consumable Fuels) | (a) | 5.750 | % | 01/30/2028 | 300,000 | 292,500 | ||||||||||||
Energy Transfer Equity LP (Oil, Gas & Consumable Fuels) | 5.875 | % | 01/15/2024 | 1,100,000 | 1,127,500 | |||||||||||||
Enviva Partners LP / Enviva Partners Finance Corp. (Oil, Gas & Consumable Fuels) | 8.500 | % | 11/01/2021 | 1,025,000 | 1,066,000 | |||||||||||||
EP Energy LLC / Everest Acquisition Finance, Inc. (Oil, Gas & Consumable Fuels) | 6.375 | % | 06/15/2023 | 150,000 | 103,125 | |||||||||||||
EP Energy LLC / Everest Acquisition Finance, Inc. (Oil, Gas & Consumable Fuels) | (a) | 8.000 | % | 11/29/2024 | 500,000 | 505,000 | ||||||||||||
Gulfport Energy Corp. (Oil, Gas & Consumable Fuels) | 6.625 | % | 05/01/2023 | 175,000 | 176,313 | |||||||||||||
Gulfport Energy Corp. (Oil, Gas & Consumable Fuels) | 6.000 | % | 10/15/2024 | 450,000 | 433,125 | |||||||||||||
Gulfport Energy Corp. (Oil, Gas & Consumable Fuels) | 6.375 | % | 05/15/2025 | 275,000 | 267,437 | |||||||||||||
Gulfport Energy Corp. (Oil, Gas & Consumable Fuels) | 6.375 | % | 01/15/2026 | 125,000 | 120,000 | |||||||||||||
Holly Energy Partners LP / Holly Energy Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 6.000 | % | 08/01/2024 | 1,075,000 | 1,085,750 | ||||||||||||
Jagged Peak Energy LLC (Oil, Gas & Consumable Fuels) | (a) | 5.875 | % | 05/01/2026 | 200,000 | 196,000 | ||||||||||||
Laredo Petroleum, Inc. (Oil, Gas & Consumable Fuels) | 5.625 | % | 01/15/2022 | 150,000 | 147,938 | |||||||||||||
Laredo Petroleum, Inc. (Oil, Gas & Consumable Fuels) | 6.250 | % | 03/15/2023 | 475,000 | 475,594 | |||||||||||||
NuStar Logistics LP (Oil, Gas & Consumable Fuels) | 5.625 | % | 04/28/2027 | 875,000 | 846,562 | |||||||||||||
Oasis Petroleum, Inc. (Oil, Gas & Consumable Fuels) | 6.875 | % | 03/15/2022 | 757,000 | 770,028 | |||||||||||||
Oasis Petroleum, Inc. (Oil, Gas & Consumable Fuels) | (a) | 6.250 | % | 05/01/2026 | 75,000 | 75,750 | ||||||||||||
Parsley Energy, LLC / Parsley Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 6.250 | % | 06/01/2024 | 100,000 | 103,750 | ||||||||||||
Parsley Energy, LLC / Parsley Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 5.375 | % | 01/15/2025 | 175,000 | 173,688 | ||||||||||||
Parsley Energy, LLC / Parsley Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 5.250 | % | 08/15/2025 | 175,000 | 171,938 | ||||||||||||
Parsley Energy, LLC / Parsley Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 5.625 | % | 10/15/2027 | 475,000 | 471,437 | ||||||||||||
PDC Energy, Inc. (Oil, Gas & Consumable Fuels) | 6.125 | % | 09/15/2024 | 350,000 | 357,000 | |||||||||||||
PDC Energy, Inc. (Oil, Gas & Consumable Fuels) | (a) | 5.750 | % | 05/15/2026 | 225,000 | 225,000 | ||||||||||||
Precision Drilling Corp. (Energy Equip. & Svs.) | 6.500 | % | 12/15/2021 | 27,162 | 27,740 | |||||||||||||
Precision Drilling Corp. (Energy Equip. & Svs.) | 7.750 | % | 12/15/2023 | 525,000 | 552,562 | |||||||||||||
Precision Drilling Corp. (Energy Equip. & Svs.) | (a) | 7.125 | % | 01/15/2026 | 250,000 | 256,750 | ||||||||||||
QEP Resources, Inc. (Oil, Gas & Consumable Fuels) | 5.250 | % | 05/01/2023 | 125,000 | 122,188 | |||||||||||||
QEP Resources, Inc. (Oil, Gas & Consumable Fuels) | 5.625 | % | 03/01/2026 | 250,000 | 238,750 | |||||||||||||
Range Resources Corp. (Oil, Gas & Consumable Fuels) | 5.000 | % | 03/15/2023 | 175,000 | 170,013 | |||||||||||||
Range Resources Corp. (Oil, Gas & Consumable Fuels) | 4.875 | % | 05/15/2025 | 600,000 | 562,500 | |||||||||||||
RSP Permian, Inc. (Oil, Gas & Consumable Fuels) | 6.625 | % | 10/01/2022 | 250,000 | 262,675 | |||||||||||||
RSP Permian, Inc. (Oil, Gas & Consumable Fuels) | 5.250 | % | 01/15/2025 | 350,000 | 374,150 | |||||||||||||
SESI, LLC (Energy Equip. & Svs.) | 7.125 | % | 12/15/2021 | 375,000 | 381,562 |
60 | (continued) |
Ohio National Fund, Inc. | ON Federated High Income Bond Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||
ENERGY (continued) | ||||||||||||||||
SESI, LLC (Energy Equip. & Svs.) | 7.750% | 09/15/2024 | $ | 875,000 | $ | 897,969 | ||||||||||
Shelf Drilling Holdings Ltd. (Oil, Gas & Consumable Fuels) | (a) | 8.250% | 02/15/2025 | 575,000 | 579,312 | |||||||||||
SM Energy Co. (Oil, Gas & Consumable Fuels) | 5.000% | 01/15/2024 | 375,000 | 354,844 | ||||||||||||
SM Energy Co. (Oil, Gas & Consumable Fuels) | 5.625% | 06/01/2025 | 100,000 | 96,500 | ||||||||||||
SM Energy Co. (Oil, Gas & Consumable Fuels) | 6.750% | 09/15/2026 | 400,000 | 401,000 | ||||||||||||
Southwestern Energy Co. (Oil, Gas & Consumable Fuels) | 4.100% | 03/15/2022 | 100,000 | 95,500 | ||||||||||||
Southwestern Energy Co. (Oil, Gas & Consumable Fuels) | 7.500% | 04/01/2026 | 100,000 | 103,500 | ||||||||||||
Southwestern Energy Co. (Oil, Gas & Consumable Fuels) | 7.750% | 10/01/2027 | 725,000 | 750,375 | ||||||||||||
SRC Energy, Inc. (Oil, Gas & Consumable Fuels) | (a) | 6.250% | 12/01/2025 | 650,000 | 649,187 | |||||||||||
Summit Midstream Holdings, LLC / Summit Midstream Finance Corp. (Oil, Gas & Consumable Fuels) | 5.500% | 08/15/2022 | 1,400,000 | 1,375,500 | ||||||||||||
Summit Midstream Holdings, LLC / Summit Midstream Finance Corp. (Oil, Gas & Consumable Fuels) | 5.750% | 04/15/2025 | 350,000 | 332,500 | ||||||||||||
Sunoco LP / Sunoco Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 4.875% | 01/15/2023 | 50,000 | 48,000 | |||||||||||
Sunoco LP / Sunoco Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 5.500% | 02/15/2026 | 225,000 | 213,188 | |||||||||||
Sunoco LP / Sunoco Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 5.875% | 03/15/2028 | 350,000 | 329,990 | |||||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. (Oil, Gas & Consumable Fuels) | 5.250% | 05/01/2023 | 150,000 | 150,000 | ||||||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 5.875% | 04/15/2026 | 150,000 | 151,125 | |||||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. (Oil, Gas & Consumable Fuels) | 5.375% | 02/01/2027 | 1,025,000 | 994,250 | ||||||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 5.000% | 01/15/2028 | 600,000 | 558,000 | |||||||||||
TransMontaigne Partners LP / TLP Finance Corp. (Oil, Gas & Consumable Fuels) | 6.125% | 02/15/2026 | 125,000 | 126,250 | ||||||||||||
U.S.A. Compression Partners LP / U.S.A. Compression Finance Corp. (Energy Equip. & Svs.) | (a) | 6.875% | 04/01/2026 | 550,000 | 569,250 | |||||||||||
Ultra Resources, Inc. (Oil, Gas & Consumable Fuels) | (a) | 6.875% | 04/15/2022 | 150,000 | 113,625 | |||||||||||
Ultra Resources, Inc. (Oil, Gas & Consumable Fuels) | (a) | 7.125% | 04/15/2025 | 400,000 | 281,000 | |||||||||||
Weatherford International Ltd. (Energy Equip. & Svs.) | 8.250% | 06/15/2023 | 375,000 | 372,034 | ||||||||||||
Weatherford International Ltd. (Energy Equip. & Svs.) | 7.000% | 03/15/2038 | 325,000 | 259,188 | ||||||||||||
Weatherford International, LLC (Energy Equip. & Svs.) | 6.800% | 06/15/2037 | 500,000 | 400,000 | ||||||||||||
Whiting Petroleum Corp. (Oil, Gas & Consumable Fuels) | 6.250% | 04/01/2023 | 600,000 | 615,000 | ||||||||||||
Whiting Petroleum Corp. (Oil, Gas & Consumable Fuels) | (a) | 6.625% | 01/15/2026 | 250,000 | 257,813 | |||||||||||
WPX Energy, Inc. (Oil, Gas & Consumable Fuels) | 6.000% | 01/15/2022 | 89,000 | 92,560 | ||||||||||||
WPX Energy, Inc. (Oil, Gas & Consumable Fuels) | 8.250% | 08/01/2023 | 200,000 | 226,500 | ||||||||||||
WPX Energy, Inc. (Oil, Gas & Consumable Fuels) | 5.250% | 09/15/2024 | 250,000 | 245,938 | ||||||||||||
WPX Energy, Inc. (Oil, Gas & Consumable Fuels) | 5.750% | 06/01/2026 | 75,000 | 75,000 | ||||||||||||
|
| |||||||||||||||
35,626,466 | ||||||||||||||||
|
| |||||||||||||||
FINANCIALS – 4.8% | ||||||||||||||||
Acrisure, LLC / Acrisure Finance, Inc. (Insurance) | (a) | 7.000% | 11/15/2025 | 975,000 | 887,250 | |||||||||||
Ally Financial, Inc. (Consumer Finance) | 4.125% | 03/30/2020 | 625,000 | 625,781 | ||||||||||||
Ally Financial, Inc. (Consumer Finance) | 5.750% | 11/20/2025 | 1,475,000 | 1,502,656 | ||||||||||||
Alpha 2 BV (Diversified Financial Svs.) | (a)(c) | 8.750%, 9.500 PIK | 06/01/2023 | 325,000 | 323,375 | |||||||||||
Alpha 3 BV / Alpha U.S. Bidco, Inc. (Diversified Financial Svs.) | (a) | 6.250% | 02/01/2025 | 900,000 | 884,250 | |||||||||||
AmWINS Group, Inc. (Insurance) | (a) | 7.750% | 07/01/2026 | 675,000 | 685,125 | |||||||||||
AssuredPartners, Inc. (Insurance) | (a) | 7.000% | 08/15/2025 | 975,000 | 938,437 | |||||||||||
Avolon Holdings Funding Ltd. (Diversified Financial Svs.) | (a) | 5.500% | 01/15/2023 | 75,000 | 74,813 | |||||||||||
BCD Acquisition, Inc. (Diversified Financial Svs.) | (a) | 9.625% | 09/15/2023 | 675,000 | 718,875 | |||||||||||
MSCI, Inc. (Capital Markets) | (a) | 5.250% | 11/15/2024 | 150,000 | 151,500 | |||||||||||
MSCI, Inc. (Capital Markets) | (a) | 5.750% | 08/15/2025 | 325,000 | 334,750 | |||||||||||
Navient Corp. (Consumer Finance) | 5.500% | 01/25/2023 | 325,000 | 319,313 | ||||||||||||
Navient Corp. (Consumer Finance) | 7.250% | 09/25/2023 | 275,000 | 288,063 | ||||||||||||
Navient Corp. (Consumer Finance) | 6.125% | 03/25/2024 | 850,000 | 839,375 | ||||||||||||
Navient Corp. (Consumer Finance) | 5.875% | 10/25/2024 | 1,050,000 | 1,014,562 | ||||||||||||
Navient Corp. (Consumer Finance) | 6.750% | 06/15/2026 | 125,000 | 122,150 | ||||||||||||
NFP Corp. (Insurance) | (a) | 6.875% | 07/15/2025 | 1,050,000 | 1,029,000 | |||||||||||
Quicken Loans, Inc. (Thrifts & Mortgage Finance) | (a) | 5.750% | 05/01/2025 | 1,550,000 | 1,517,109 | |||||||||||
Quicken Loans, Inc. (Thrifts & Mortgage Finance) | (a) | 5.250% | 01/15/2028 | 375,000 | 345,863 | |||||||||||
USIS Merger Sub, Inc. (Insurance) | (a) | 6.875% | 05/01/2025 | 1,075,000 | 1,069,625 | |||||||||||
|
| |||||||||||||||
13,671,872 | ||||||||||||||||
|
| |||||||||||||||
HEALTH CARE – 16.2% | ||||||||||||||||
Acadia Healthcare Co., Inc. (Health Care Providers & Svs.) | 5.625% | 02/15/2023 | 1,225,000 | 1,234,187 | ||||||||||||
Acadia Healthcare Co., Inc. (Health Care Providers & Svs.) | 6.500% | 03/01/2024 | 400,000 | 410,000 | ||||||||||||
Air Medical Group Holdings, Inc. (Health Care Providers & Svs.) | (a) | 6.375% | 05/15/2023 | 1,225,000 | 1,139,250 | |||||||||||
Avantor, Inc. (Health Care Equip. & Supplies) | (a) | 6.000% | 10/01/2024 | 325,000 | 321,490 | |||||||||||
Avantor, Inc. (Health Care Equip. & Supplies) | (a) | 9.000% | 10/01/2025 | 900,000 | 906,930 | |||||||||||
Centene Escrow I Corp. (Health Care Providers & Svs.) | (a) | 5.375% | 06/01/2026 | 425,000 | 430,580 | |||||||||||
Charles River Laboratories International, Inc. (Life Sciences Tools & Svs.) | (a) | 5.500% | 04/01/2026 | 225,000 | 225,495 | |||||||||||
CHS / Community Health Systems, Inc. (Health Care Providers & Svs.) | 5.125% | 08/01/2021 | 300,000 | 277,500 |
61 | (continued) |
Ohio National Fund, Inc. | ON Federated High Income Bond Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||
HEALTH CARE (continued) | ||||||||||||||||
CHS / Community Health Systems, Inc. (Health Care Providers & Svs.) | 6.875% | 02/01/2022 | $ | 1,000,000 | $ | 510,000 | ||||||||||
CHS / Community Health Systems, Inc. (Health Care Providers & Svs.) | 6.250% | 03/31/2023 | 650,000 | 594,750 | ||||||||||||
CHS / Community Health Systems, Inc. (Health Care Providers & Svs.) | (a) | 8.625% | 01/15/2024 | 150,000 | 150,390 | |||||||||||
Eagle Holding Co. II, LLC (Health Care Providers & Svs.) | (a)(c) | 7.625%, 8.375 PIK | 05/15/2022 | 475,000 | 479,845 | |||||||||||
Endo Dac / Endo Finance LLC / Endo Finco, Inc. (Pharmaceuticals) | (a) | 6.000% | 07/15/2023 | 475,000 | 390,688 | |||||||||||
Endo Dac / Endo Finance LLC / Endo Finco, Inc. (Pharmaceuticals) | (a) | 6.000% | 02/01/2025 | 1,425,000 | 1,111,500 | |||||||||||
Envision Healthcare Corp. (Health Care Providers & Svs.) | (a) | 5.125% | 07/01/2022 | 800,000 | 807,000 | |||||||||||
Envision Healthcare Corp. (Health Care Providers & Svs.) | 5.625% | 07/15/2022 | 375,000 | 381,328 | ||||||||||||
Envision Healthcare Corp. (Health Care Providers & Svs.) | (a) | 6.250% | 12/01/2024 | 775,000 | 825,375 | |||||||||||
HCA, Inc. (Health Care Providers & Svs.) | 5.875% | 05/01/2023 | 275,000 | 285,313 | ||||||||||||
HCA, Inc. (Health Care Providers & Svs.) | 5.000% | 03/15/2024 | 1,525,000 | 1,525,000 | ||||||||||||
HCA, Inc. (Health Care Providers & Svs.) | 5.375% | 02/01/2025 | 900,000 | 886,230 | ||||||||||||
HCA, Inc. (Health Care Providers & Svs.) | 5.250% | 04/15/2025 | 1,625,000 | 1,625,000 | ||||||||||||
HCA, Inc. (Health Care Providers & Svs.) | 5.875% | 02/15/2026 | 1,425,000 | 1,437,469 | ||||||||||||
Hologic, Inc. (Health Care Equip. & Supplies) | (a) | 4.375% | 10/15/2025 | 300,000 | 286,500 | |||||||||||
IQVIA, Inc. (Health Care Technology) | (a) | 5.000% | 10/15/2026 | 475,000 | 462,531 | |||||||||||
Jaguar Holding Co. II / Pharmaceutical Product Development, LLC (Health Care Providers & Svs.) | (a) | 6.375% | 08/01/2023 | 2,425,000 | 2,413,360 | |||||||||||
LifePoint Health, Inc. (Health Care Providers & Svs.) | 5.500% | 12/01/2021 | 250,000 | 249,688 | ||||||||||||
LifePoint Health, Inc. (Health Care Providers & Svs.) | 5.375% | 05/01/2024 | 450,000 | 433,125 | ||||||||||||
Mallinckrodt International Finance SA (Pharmaceuticals) | 4.750% | 04/15/2023 | 450,000 | 376,875 | ||||||||||||
Mallinckrodt International Finance SA / Mallinckrodt CB LLC (Pharmaceuticals) | (a) | 5.625% | 10/15/2023 | 1,375,000 | 1,146,062 | |||||||||||
Mallinckrodt International Finance SA / Mallinckrodt CB LLC (Pharmaceuticals) | (a) | 5.500% | 04/15/2025 | 700,000 | 560,000 | |||||||||||
MEDNAX, Inc. (Health Care Providers & Svs.) | (a) | 5.250% | 12/01/2023 | 125,000 | 122,500 | |||||||||||
MPH Acquisition Holdings LLC (Health Care Providers & Svs.) | (a) | 7.125% | 06/01/2024 | 2,150,000 | 2,203,750 | |||||||||||
Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical Diagnostics SA (Health Care Equip. & Supplies) | (a) | 6.625% | 05/15/2022 | 2,750,000 | 2,688,125 | |||||||||||
Polaris Intermediate Corp. (Health Care Providers & Svs.) | (a)(c) | 8.500%, 9.250 PIK | 12/01/2022 | 775,000 | 799,219 | |||||||||||
Prestige Brands, Inc. (Pharmaceuticals) | (a) | 5.375% | 12/15/2021 | 1,100,000 | 1,100,000 | |||||||||||
Prestige Brands, Inc. (Pharmaceuticals) | (a) | 6.375% | 03/01/2024 | 1,300,000 | 1,287,000 | |||||||||||
Sotera Health Holdings, LLC (Health Care Equip. & Supplies) | (a) | 6.500% | 05/15/2023 | 900,000 | 918,000 | |||||||||||
Sotera Health Topco, Inc. (Health Care Equip. & Supplies) | (a)(c) | 8.125%, 8.875 PIK | 11/01/2021 | 1,550,000 | 1,553,875 | |||||||||||
Surgery Center Holdings, Inc. (Health Care Providers & Svs.) | (a) | 6.750% | 07/01/2025 | 1,000,000 | 948,750 | |||||||||||
Team Health Holdings, Inc. (Health Care Providers & Svs.) | (a) | 6.375% | 02/01/2025 | 1,975,000 | 1,698,500 | |||||||||||
Teleflex, Inc. (Health Care Equip. & Supplies) | 5.250% | 06/15/2024 | 275,000 | 283,250 | ||||||||||||
Teleflex, Inc. (Health Care Equip. & Supplies) | 4.875% | 06/01/2026 | 100,000 | 98,000 | ||||||||||||
Teleflex, Inc. (Health Care Equip. & Supplies) | 4.625% | 11/15/2027 | 275,000 | 259,875 | ||||||||||||
Tenet Healthcare Corp. (Health Care Providers & Svs.) | 4.500% | 04/01/2021 | 275,000 | 272,250 | ||||||||||||
Tenet Healthcare Corp. (Health Care Providers & Svs.) | 4.375% | 10/01/2021 | 175,000 | 172,156 | ||||||||||||
Tenet Healthcare Corp. (Health Care Providers & Svs.) | (a) | 7.500% | 01/01/2022 | 225,000 | 234,000 | |||||||||||
Tenet Healthcare Corp. (Health Care Providers & Svs.) | 6.750% | 06/15/2023 | 1,125,000 | 1,119,375 | ||||||||||||
Tenet Healthcare Corp. (Health Care Providers & Svs.) | (a) | 4.625% | 07/15/2024 | 275,000 | 260,480 | |||||||||||
Tenet Healthcare Corp. (Health Care Providers & Svs.) | (a) | 5.125% | 05/01/2025 | 750,000 | 712,969 | |||||||||||
Tenet Healthcare Corp. (Health Care Providers & Svs.) | (a) | 7.000% | 08/01/2025 | 225,000 | 223,313 | |||||||||||
Valeant Pharmaceuticals International, Inc. (Pharmaceuticals) | (a) | 7.250% | 07/15/2022 | 475,000 | 486,476 | |||||||||||
Valeant Pharmaceuticals International, Inc. (Pharmaceuticals) | (a) | 5.500% | 03/01/2023 | 350,000 | 325,500 | |||||||||||
Valeant Pharmaceuticals International, Inc. (Pharmaceuticals) | (a) | 5.875% | 05/15/2023 | 900,000 | 845,437 | |||||||||||
Valeant Pharmaceuticals International, Inc. (Pharmaceuticals) | (a) | 7.000% | 03/15/2024 | 350,000 | 366,079 | |||||||||||
Valeant Pharmaceuticals International, Inc. (Pharmaceuticals) | (a) | 6.125% | 04/15/2025 | 3,000,000 | 2,763,750 | |||||||||||
Valeant Pharmaceuticals International, Inc. (Pharmaceuticals) | (a) | 5.500% | 11/01/2025 | 275,000 | 271,013 | |||||||||||
Valeant Pharmaceuticals International, Inc. (Pharmaceuticals) | (a) | 9.000% | 12/15/2025 | 525,000 | 544,687 | |||||||||||
Valeant Pharmaceuticals International, Inc. (Pharmaceuticals) | (a) | 8.500% | 01/31/2027 | 275,000 | 279,125 | |||||||||||
Vizient, Inc. (Health Care Providers & Svs.) | (a) | 10.375% | 03/01/2024 | 1,075,000 | 1,185,187 | |||||||||||
West Street Merger Sub, Inc. (Life Sciences Tools & Svs.) | (a) | 6.375% | 09/01/2025 | 600,000 | 573,000 | |||||||||||
|
| |||||||||||||||
46,479,102 | ||||||||||||||||
|
| |||||||||||||||
INDUSTRIALS – 8.1% | ||||||||||||||||
American Builders & Contractors Supply Co., Inc. (Trading Companies & Distributors) | (a) | 5.750% | 12/15/2023 | 50,000 | 51,250 | |||||||||||
American Builders & Contractors Supply Co., Inc. (Trading Companies & Distributors) | (a) | 5.875% | 05/15/2026 | 975,000 | 959,156 | |||||||||||
Avis Budget Car Rental, LLC / Avis Budget Finance, Inc. (Road & Rail) | (a) | 5.250% | 03/15/2025 | 625,000 | 568,750 | |||||||||||
Beacon Roofing Supply, Inc. (Trading Companies & Distributors) | (a) | 4.875% | 11/01/2025 | 300,000 | 277,500 | |||||||||||
Core & Main LP (Commercial Svs. & Supplies) | (a) | 6.125% | 08/15/2025 | 325,000 | 307,938 | |||||||||||
Engility Corp. (Aerospace & Defense) | 8.875% | 09/01/2024 | 550,000 | 574,750 | ||||||||||||
Garda World Security Corp. (Commercial Svs. & Supplies) | (a) | 8.750% | 05/15/2025 | 800,000 | 818,000 | |||||||||||
HD Supply, Inc. (Trading Companies & Distributors) | (a) | 5.750% | 04/15/2024 | 525,000 | 549,281 | |||||||||||
Hertz Corp. / The (Road & Rail) | (a) | 7.625% | 06/01/2022 | 50,000 | 48,000 | |||||||||||
Hertz Corp. / The (Road & Rail) | (a) | 5.500% | 10/15/2024 | 325,000 | 255,531 | |||||||||||
Hillman Group, Inc. / The (Acquired 06/17/2014 through 10/12/2016, Cost $957,265) (Building Products) | (a)(d) | 6.375% | 07/15/2022 | 1,025,000 | 981,437 | |||||||||||
Jeld-Wen, Inc. (Building Products) | (a) | 4.875% | 12/15/2027 | 50,000 | 46,500 | |||||||||||
JPW Industries Holding Corp. (Machinery) | (a) | 9.000% | 10/01/2024 | 350,000 | 364,000 |
62 | (continued) |
Ohio National Fund, Inc. | ON Federated High Income Bond Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||
INDUSTRIALS (continued) | ||||||||||||||||
KAR Auction Services, Inc. (Commercial Svs. & Supplies) | (a) | 5.125% | 06/01/2025 | $ | 575,000 | $ | 549,125 | |||||||||
Masonite International Corp. (Building Products) | (a) | 5.625% | 03/15/2023 | 325,000 | 332,215 | |||||||||||
Matthews International Corp. (Commercial Svs. & Supplies) | (a) | 5.250% | 12/01/2025 | 325,000 | 311,188 | |||||||||||
Multi-Color Corp. (Commercial Svs. & Supplies) | (a) | 6.125% | 12/01/2022 | 950,000 | 971,375 | |||||||||||
Multi-Color Corp. (Commercial Svs. & Supplies) | (a) | 4.875% | 11/01/2025 | 275,000 | 256,094 | |||||||||||
Nielsen Co. Luxembourg SARL / The (Professional Svs.) | (a) | 5.500% | 10/01/2021 | 625,000 | 628,125 | |||||||||||
Nielsen Co. Luxembourg SARL / The (Professional Svs.) | (a) | 5.000% | 02/01/2025 | 300,000 | 285,750 | |||||||||||
Park Aerospace Holdings Ltd. (Trading Companies & Distributors) | (a) | 5.250% | 08/15/2022 | 175,000 | 173,252 | |||||||||||
Park Aerospace Holdings Ltd. (Trading Companies & Distributors) | (a) | 4.500% | 03/15/2023 | 200,000 | 189,960 | |||||||||||
Park Aerospace Holdings Ltd. (Trading Companies & Distributors) | (a) | 5.500% | 02/15/2024 | 2,025,000 | 1,999,262 | |||||||||||
Pisces Midco, Inc. (Building Products) | (a) | 8.000% | 04/15/2026 | 775,000 | 745,395 | |||||||||||
Ritchie Bros. Auctioneers, Inc. (Commercial Svs. & Supplies) | (a) | 5.375% | 01/15/2025 | 225,000 | 218,250 | |||||||||||
Sensata Technologies BV (Electrical Equip.) | (a) | 5.625% | 11/01/2024 | 225,000 | 233,438 | |||||||||||
Sensata Technologies U.K. Financing Co. PLC (Electrical Equip.) | (a) | 6.250% | 02/15/2026 | 225,000 | 234,000 | |||||||||||
Tempo Acquisition, LLC / Tempo Acquisition Finance Corp. (Professional Svs.) | (a) | 6.750% | 06/01/2025 | 1,700,000 | 1,632,000 | |||||||||||
Tervita 2018 Escrow Corp. (Commercial Svs. & Supplies) | (a) | 7.625% | 12/01/2021 | 150,000 | 153,000 | |||||||||||
Tervita Escrow Corp. (Commercial Svs. & Supplies) | (a) | 7.625% | 12/01/2021 | 700,000 | 714,000 | |||||||||||
Titan Acquisition Ltd. / Titan Co-Borrower, LLC (Machinery) | (a) | 7.750% | 04/15/2026 | 600,000 | 559,500 | |||||||||||
TransDigm U.K. Holdings PLC (Aerospace & Defense) | (a) | 6.875% | 05/15/2026 | 200,000 | 202,750 | |||||||||||
TransDigm, Inc. (Aerospace & Defense) | 5.500% | 10/15/2020 | 275,000 | 275,000 | ||||||||||||
TransDigm, Inc. (Aerospace & Defense) | 6.000% | 07/15/2022 | 550,000 | 552,915 | ||||||||||||
TransDigm, Inc. (Aerospace & Defense) | 6.500% | 07/15/2024 | 650,000 | 661,375 | ||||||||||||
TransDigm, Inc. (Aerospace & Defense) | 6.500% | 05/15/2025 | 350,000 | 353,937 | ||||||||||||
TransDigm, Inc. (Aerospace & Defense) | 6.375% | 06/15/2026 | 850,000 | 843,625 | ||||||||||||
Trident Merger Sub, Inc. (Machinery) | (a) | 6.625% | 11/01/2025 | 700,000 | 682,500 | |||||||||||
U.S.G. Corp. (Building Products) | (a) | 4.875% | 06/01/2027 | 450,000 | 460,125 | |||||||||||
United Rentals North America, Inc. (Trading Companies & Distributors) | 5.500% | 07/15/2025 | 300,000 | 302,250 | ||||||||||||
United Rentals North America, Inc. (Trading Companies & Distributors) | 5.875% | 09/15/2026 | 200,000 | 201,500 | ||||||||||||
United Rentals North America, Inc. (Trading Companies & Distributors) | 5.500% | 05/15/2027 | 350,000 | 339,500 | ||||||||||||
United Rentals North America, Inc. (Trading Companies & Distributors) | 4.875% | 01/15/2028 | 675,000 | 626,906 | ||||||||||||
WESCO Distribution, Inc. (Trading Companies & Distributors) | 5.375% | 12/15/2021 | 425,000 | 432,969 | ||||||||||||
WESCO Distribution, Inc. (Trading Companies & Distributors) | 5.375% | 06/15/2024 | 1,050,000 | 1,031,625 | ||||||||||||
Wrangler Buyer Corp. (Commercial Svs. & Supplies) | (a) | 6.000% | 10/01/2025 | 325,000 | 307,125 | |||||||||||
|
| |||||||||||||||
23,262,124 | ||||||||||||||||
|
| |||||||||||||||
INFORMATION TECHNOLOGY – 8.4% | ||||||||||||||||
BMC Software Finance, Inc. (Software) | (a) | 8.125% | 07/15/2021 | 1,400,000 | 1,431,500 | |||||||||||
CDK Global, Inc. (Software) | 5.875% | 06/15/2026 | 150,000 | 153,188 | ||||||||||||
CDW LLC / CDW Finance Corp. (Electronic Equip., Instr. & Comp.) | 5.000% | 09/01/2023 | 550,000 | 550,495 | ||||||||||||
CDW LLC / CDW Finance Corp. (Electronic Equip., Instr. & Comp.) | 5.500% | 12/01/2024 | 475,000 | 484,500 | ||||||||||||
CDW LLC / CDW Finance Corp. (Electronic Equip., Instr. & Comp.) | 5.000% | 09/01/2025 | 100,000 | 98,250 | ||||||||||||
CommScope Technologies LLC (Communications Equip.) | (a) | 6.000% | 06/15/2025 | 325,000 | 331,906 | |||||||||||
CommScope Technologies LLC (Communications Equip.) | (a) | 5.000% | 03/15/2027 | 200,000 | 188,250 | |||||||||||
CommScope, Inc. (Communications Equip.) | (a) | 5.500% | 06/15/2024 | 375,000 | 376,875 | |||||||||||
Dell International LLC / EMC Corp. (Computers & Peripherals) | (a) | 7.125% | 06/15/2024 | 1,375,000 | 1,456,715 | |||||||||||
Entegris, Inc. (Semiconductors & Equip.) | (a) | 4.625% | 02/10/2026 | 700,000 | 666,750 | |||||||||||
First Data Corp. (IT Svs.) | (a) | 7.000% | 12/01/2023 | 675,000 | 703,067 | |||||||||||
First Data Corp. (IT Svs.) | (a) | 5.000% | 01/15/2024 | 550,000 | 545,875 | |||||||||||
First Data Corp. (IT Svs.) | (a) | 5.750% | 01/15/2024 | 1,925,000 | 1,923,749 | |||||||||||
Gartner, Inc. (IT Svs.) | (a) | 5.125% | 04/01/2025 | 350,000 | 348,250 | |||||||||||
Infor Software Parent, LLC / Infor Software Parent, Inc. (Software) | (a)(c) | 7.125%, 7.875 PIK | 05/01/2021 | 1,500,000 | 1,503,750 | |||||||||||
Infor U.S., Inc. (Software) | 6.500% | 05/15/2022 | 1,675,000 | 1,681,281 | ||||||||||||
Informatica LLC (Software) | (a) | 7.125% | 07/15/2023 | 1,100,000 | 1,111,242 | |||||||||||
Match Group, Inc. (Internet Software & Svs.) | (a) | 5.000% | 12/15/2027 | 675,000 | 627,750 | |||||||||||
NCR Corp. (Tech. Hardware, Storage & Periph.) | 4.625% | 02/15/2021 | 350,000 | 347,375 | ||||||||||||
NCR Corp. (Tech. Hardware, Storage & Periph.) | 5.000% | 07/15/2022 | 325,000 | 321,750 | ||||||||||||
NCR Corp. (Tech. Hardware, Storage & Periph.) | 6.375% | 12/15/2023 | 225,000 | 233,156 | ||||||||||||
Nuance Communications, Inc. (Software) | (a) | 5.375% | 08/15/2020 | 364,000 | 364,000 | |||||||||||
Nuance Communications, Inc. (Software) | 6.000% | 07/01/2024 | 300,000 | 302,625 | ||||||||||||
Nuance Communications, Inc. (Software) | 5.625% | 12/15/2026 | 975,000 | 953,072 | ||||||||||||
Rackspace Hosting, Inc. (Internet Software & Svs.) | (a) | 8.625% | 11/15/2024 | 1,400,000 | 1,407,000 | |||||||||||
Riverbed Technology, Inc. (Communications Equip.) | (a) | 8.875% | 03/01/2023 | 1,025,000 | 971,700 | |||||||||||
RP Crown Parent, LLC (Software) | (a) | 7.375% | 10/15/2024 | 1,200,000 | 1,235,640 | |||||||||||
Sabre GLBL, Inc. (IT Svs.) | (a) | 5.375% | 04/15/2023 | 425,000 | 429,250 | |||||||||||
Solera, LLC / Solera Finance, Inc. (Software) | (a) | 10.500% | 03/01/2024 | 950,000 | 1,055,098 | |||||||||||
Sophia LP / Sophia Finance, Inc. (Software) | (a) | 9.000% | 09/30/2023 | 825,000 | 866,147 | |||||||||||
TTM Technologies, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 5.625% | 10/01/2025 | 600,000 | 585,000 | |||||||||||
Vantiv, LLC / Vantiv Issuer Corp. (IT Svs.) | (a) | 4.375% | 11/15/2025 | 200,000 | 190,844 | |||||||||||
VeriSign, Inc. (Internet Software & Svs.) | 4.750% | 07/15/2027 | 200,000 | 190,940 | ||||||||||||
Versum Materials, Inc. (Semiconductors & Equip.) | (a) | 5.500% | 09/30/2024 | 350,000 | 354,865 | |||||||||||
|
| |||||||||||||||
23,991,855 | ||||||||||||||||
|
|
63 | (continued) |
Ohio National Fund, Inc. | ON Federated High Income Bond Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||
MATERIALS – 9.6% | ||||||||||||||||
ARD Finance SA (Containers & Packaging) | (c) | 7.125%, 7.875 PIK | 09/15/2023 | $ | 1,250,000 | $ | 1,253,125 | |||||||||
Ardagh Packaging Finance PLC / Ardagh Holdings, U.S.A., Inc. (Containers & Packaging) | (a) | 7.250% | 05/15/2024 | 1,625,000 | 1,690,000 | |||||||||||
Ardagh Packaging Finance PLC / Ardagh Holdings, U.S.A., Inc. (Containers & Packaging) | (a) | 6.000% | 02/15/2025 | 400,000 | 389,500 | |||||||||||
Berry Global, Inc. (Containers & Packaging) | 5.500% | 05/15/2022 | 1,325,000 | 1,336,792 | ||||||||||||
Berry Global, Inc. (Containers & Packaging) | 6.000% | 10/15/2022 | 75,000 | 77,194 | ||||||||||||
BWAY Holding Co. (Containers & Packaging) | (a) | 5.500% | 04/15/2024 | 900,000 | 877,500 | |||||||||||
BWAY Holding Co. (Containers & Packaging) | (a) | 7.250% | 04/15/2025 | 1,875,000 | 1,828,125 | |||||||||||
Clearwater Paper Corp. (Paper & Forest Products) | 4.500% | 02/01/2023 | 650,000 | 607,750 | ||||||||||||
Clearwater Paper Corp. (Paper & Forest Products) | (a) | 5.375% | 02/01/2025 | 625,000 | 566,406 | |||||||||||
Coeur Mining, Inc. (Metals & Mining) | 5.875% | 06/01/2024 | 725,000 | 699,625 | ||||||||||||
Compass Minerals International, Inc. (Acquired 10/06/2016 through 10/27/2016, Cost $951,781) (Metals & Mining) | (a)(d) | 4.875% | 07/15/2024 | 1,000,000 | 937,800 | |||||||||||
Crown Americas, LLC / Crown Americas Capital Corp. VI (Containers & Packaging) | (a) | 4.750% | 02/01/2026 | 475,000 | 451,250 | |||||||||||
Flex Acquisition Co., Inc. (Containers & Packaging) | (a) | 6.875% | 01/15/2025 | 1,850,000 | 1,780,625 | |||||||||||
Flex Acquisition Co., Inc. (Containers & Packaging) | (a) | 7.875% | 07/15/2026 | 475,000 | 473,147 | |||||||||||
Freeport-McMoRan, Inc. (Metals & Mining) | 3.875% | 03/15/2023 | 1,050,000 | 992,250 | ||||||||||||
Freeport-McMoRan, Inc. (Metals & Mining) | 5.400% | 11/14/2034 | 1,100,000 | 998,250 | ||||||||||||
Hexion, Inc. (Chemicals) | 6.625% | 04/15/2020 | 1,125,000 | 1,053,450 | ||||||||||||
Hudbay Minerals, Inc. (Metals & Mining) | (a) | 7.250% | 01/15/2023 | 225,000 | 231,750 | |||||||||||
Hudbay Minerals, Inc. (Metals & Mining) | (a) | 7.625% | 01/15/2025 | 425,000 | 445,188 | |||||||||||
Koppers, Inc. (Chemicals) | (a) | 6.000% | 02/15/2025 | 400,000 | 400,000 | |||||||||||
Owens-Brockway Glass Container, Inc. (Containers & Packaging) | (a) | 5.875% | 08/15/2023 | 225,000 | 227,531 | |||||||||||
Owens-Brockway Glass Container, Inc. (Containers & Packaging) | (a) | 5.375% | 01/15/2025 | 175,000 | 170,625 | |||||||||||
Owens-Brockway Glass Container, Inc. (Containers & Packaging) | (a) | 6.375% | 08/15/2025 | 600,000 | 615,000 | |||||||||||
Pactiv LLC (Containers & Packaging) | 7.950% | 12/15/2025 | 225,000 | 246,375 | ||||||||||||
Platform Specialty Products Corp. (Chemicals) | (a) | 6.500% | 02/01/2022 | 2,300,000 | 2,340,250 | |||||||||||
Platform Specialty Products Corp. (Chemicals) | (a) | 5.875% | 12/01/2025 | 225,000 | 219,938 | |||||||||||
PQ Corp. (Chemicals) | (a) | 5.750% | 12/15/2025 | 100,000 | 99,000 | |||||||||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC (Containers & Packaging) | 5.750% | 10/15/2020 | 1,284,068 | 1,288,883 | ||||||||||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC (Containers & Packaging) | (a) | 7.000% | 07/15/2024 | 1,125,000 | 1,148,906 | |||||||||||
Sealed Air Corp. (Containers & Packaging) | (a) | 5.500% | 09/15/2025 | 300,000 | 308,250 | |||||||||||
Standard Industries Inc. (Construction Materials) | (a) | 6.000% | 10/15/2025 | 475,000 | 476,187 | |||||||||||
Standard Industries Inc. (Construction Materials) | (a) | 5.000% | 02/15/2027 | 1,200,000 | 1,119,000 | |||||||||||
Steel Dynamics, Inc. (Metals & Mining) | 5.125% | 10/01/2021 | 200,000 | 201,750 | ||||||||||||
Steel Dynamics, Inc. (Metals & Mining) | 5.250% | 04/15/2023 | 125,000 | 126,094 | ||||||||||||
Steel Dynamics, Inc. (Metals & Mining) | 5.500% | 10/01/2024 | 350,000 | 356,563 | ||||||||||||
Steel Dynamics, Inc. (Metals & Mining) | 5.000% | 12/15/2026 | 225,000 | 225,000 | ||||||||||||
Teck Resources Ltd. (Metals & Mining) | (a) | 8.500% | 06/01/2024 | 200,000 | 219,250 | |||||||||||
Teck Resources Ltd. (Metals & Mining) | 6.125% | 10/01/2035 | 775,000 | 778,875 | ||||||||||||
Teck Resources Ltd. (Metals & Mining) | 6.000% | 08/15/2040 | 175,000 | 169,750 | ||||||||||||
|
| |||||||||||||||
27,426,954 | ||||||||||||||||
|
| |||||||||||||||
REAL ESTATE – 0.6% | ||||||||||||||||
HUB International Ltd. (Real Estate Mgmt. & Development) | (a) | 7.000% | 05/01/2026 | 1,750,000 | 1,728,125 | |||||||||||
|
| |||||||||||||||
TELECOMMUNICATION SERVICES – 4.2% | ||||||||||||||||
Altice France SA (Diversified Telecom. Svs.) | (a) | 6.250% | 05/15/2024 | 400,000 | 388,500 | |||||||||||
Altice France SA (Diversified Telecom. Svs.) | (a) | 7.375% | 05/01/2026 | 2,075,000 | 2,028,727 | |||||||||||
Altice Luxembourg SA (Wireless Telecom. Svs.) | (a) | 7.625% | 02/15/2025 | 1,575,000 | 1,449,000 | |||||||||||
CSC Holdings, LLC (Diversified Telecom. Svs.) | (a) | 6.625% | 10/15/2025 | 300,000 | 307,125 | |||||||||||
Digicel Group Ltd. (Wireless Telecom. Svs.) | (a) | 8.250% | 09/30/2020 | 200,000 | 151,000 | |||||||||||
Sprint Capital Corp. (Wireless Telecom. Svs.) | 6.875% | 11/15/2028 | 825,000 | 792,000 | ||||||||||||
Sprint Communications, Inc. (Wireless Telecom. Svs.) | 6.000% | 11/15/2022 | 825,000 | 817,781 | ||||||||||||
Sprint Corp. (Wireless Telecom. Svs.) | 7.875% | 09/15/2023 | 750,000 | 777,656 | ||||||||||||
Sprint Corp. (Wireless Telecom. Svs.) | 7.125% | 06/15/2024 | 375,000 | 378,596 | ||||||||||||
Sprint Corp. (Wireless Telecom. Svs.) | 7.625% | 02/15/2025 | 1,950,000 | 1,998,750 | ||||||||||||
Sprint Corp. (Wireless Telecom. Svs.) | 7.625% | 03/01/2026 | 325,000 | 331,094 | ||||||||||||
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 6.000% | 03/01/2023 | 150,000 | 154,950 | ||||||||||||
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 6.500% | 01/15/2024 | 625,000 | 650,350 | ||||||||||||
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 6.375% | 03/01/2025 | 225,000 | 233,438 | ||||||||||||
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 5.125% | 04/15/2025 | 675,000 | 678,375 | ||||||||||||
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 6.500% | 01/15/2026 | 325,000 | 334,653 | ||||||||||||
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 5.375% | 04/15/2027 | 200,000 | 194,500 | ||||||||||||
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 4.750% | 02/01/2028 | 250,000 | 231,250 | ||||||||||||
|
| |||||||||||||||
11,897,745 | ||||||||||||||||
|
| |||||||||||||||
UTILITIES – 3.5% | ||||||||||||||||
AmeriGas Partners LP / AmeriGas Finance Corp. (Gas Utilities) | 5.625% | 05/20/2024 | 100,000 | 98,375 | ||||||||||||
AmeriGas Partners LP / AmeriGas Finance Corp. (Gas Utilities) | 5.500% | 05/20/2025 | 275,000 | 266,406 | ||||||||||||
AmeriGas Partners LP / AmeriGas Finance Corp. (Gas Utilities) | 5.875% | 08/20/2026 | 1,200,000 | 1,170,000 | ||||||||||||
AmeriGas Partners LP / AmeriGas Finance Corp. (Gas Utilities) | 5.750% | 05/20/2027 | 200,000 | 190,000 | ||||||||||||
Calpine Corp. (Ind. Power & Renewable Elec.) | 5.750% | 01/15/2025 | 1,525,000 | 1,394,422 |
64 | (continued) |
Ohio National Fund, Inc. | ON Federated High Income Bond Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||||
UTILITIES (continued) | ||||||||||||||||||||
Calpine Corp. (Ind. Power & Renewable Elec.) | (a | ) | 5.250 | % | 06/01/2026 | $ | 150,000 | $ | 141,375 | |||||||||||
Ferrellgas LP / Ferrellgas Finance Corp. (Gas Utilities) | 6.500 | % | 05/01/2021 | 375,000 | 344,063 | |||||||||||||||
Ferrellgas LP / Ferrellgas Finance Corp. (Gas Utilities) | 6.750 | % | 01/15/2022 | 500,000 | 452,500 | |||||||||||||||
Ferrellgas LP / Ferrellgas Finance Corp. (Gas Utilities) | 6.750 | % | 06/15/2023 | 850,000 | 741,625 | |||||||||||||||
NRG Energy, Inc. (Ind. Power & Renewable Elec.) | 6.250 | % | 05/01/2024 | 825,000 | 845,625 | |||||||||||||||
NRG Energy, Inc. (Ind. Power & Renewable Elec.) | 7.250 | % | 05/15/2026 | 1,075,000 | 1,144,875 | |||||||||||||||
NRG Energy, Inc. (Ind. Power & Renewable Elec.) | 6.625 | % | 01/15/2027 | 250,000 | 256,875 | |||||||||||||||
Suburban Propane Partners LP / Suburban Energy Finance Corp. (Gas Utilities) | 5.500 | % | 06/01/2024 | 1,150,000 | 1,115,500 | |||||||||||||||
Suburban Propane Partners LP / Suburban Energy Finance Corp. (Gas Utilities) | 5.875 | % | 03/01/2027 | 600,000 | 561,000 | |||||||||||||||
TerraForm Power Operating, LLC (Ind. Power & Renewable Elec.) | (a | ) | 4.250 | % | 01/31/2023 | 75,000 | 72,375 | |||||||||||||
TerraForm Power Operating, LLC (Ind. Power & Renewable Elec.) | (a | ) | 6.625 | % | 06/15/2025 | 150,000 | 159,750 | |||||||||||||
TerraForm Power Operating, LLC (Ind. Power & Renewable Elec.) | (a | ) | 5.000 | % | 01/31/2028 | 1,125,000 | 1,065,937 | |||||||||||||
|
| |||||||||||||||||||
10,020,703 | ||||||||||||||||||||
|
| |||||||||||||||||||
Total Corporate Bonds (Cost $281,655,356) | $ | 275,232,332 | ||||||||||||||||||
|
| |||||||||||||||||||
Money Market Funds – 3.1% | Shares | Value | ||||||||||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 8,902,562 | $ | 8,902,562 | |||||||||||||||||
|
| |||||||||||||||||||
Total Money Market Funds (Cost $8,903,027) | $ | 8,902,562 | ||||||||||||||||||
|
| |||||||||||||||||||
Total Investments – 99.2% (Cost $290,558,383) | (f | ) | $ | 284,134,894 | ||||||||||||||||
Other Assets in Excess of Liabilities – 0.8% | 2,361,785 | |||||||||||||||||||
|
| |||||||||||||||||||
Net Assets – 100.0% | $ | 286,496,679 | ||||||||||||||||||
|
|
Percentages are stated as a percent of net assets.
Abbreviations:
PIK: Payment-in-Kind
QL: Quarterly U.S. LIBOR Rate, 2.336% on 06/30/2018
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 June 30, 2018, the value of these securities totaled $169,697,711, or 59.2% 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 that is in default. Unless also noted as illiquid, these securities were deemed liquid pursuant to procedures approved by the Board of Directors. |
(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 a security deemed to be illiquid. At June 30, 2018, the value of illiquid securities in the Portfolio totaled $2,549,737, or 0.9% of the Portfolio’s net assets. |
(e) | 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, including interest rate caps and floors, if any, are those in effect at June 30, 2018. |
(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.
65 |
Ohio National Fund, Inc. | ON ClearBridge Small Cap Portfolio (Unaudited) |
Objective/Strategy |
The ON ClearBridge Small Cap Portfolio (formerly 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 June 30, 2018 |
Average Annual returns | ||||
One year | 11.11 | % | ||
Five years | 11.79 | % | ||
Ten years | 10.57 | % |
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, 2018. Additional information pertaining to the Portfolio’s expense ratio as of June 30, 2018 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 six-month period ended June 30, 2018, the ON ClearBridge Small Cap Portfolio returned 5.50% versus 7.66% 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 reporting period. Of course, we constantly monitor valuations and opportunities in the market, so that we can position the Portfolio optimally from a risk-return perspective. For example, our sector performance and weighting may change over a period, based on market conditions.
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. Relative to the benchmark, stock selection was the main detractor from the Portfolio’s performance. Stock selection in the Materials, Energy and Financials sectors detracted the most from relative performance. An underweight allocation to the Health Care sector also detracted from relative returns. Meanwhile, stock selection in the Information Technology (“IT”), Industrials and Health Care sectors contributed positively to relative returns. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. HealthEquity, Inc. (“HealthEquity”), in the Health Care sector, is a health care savings provider and the top contributor. HealthEquity performed well during the first quarter as the company reported continued growth in the number and size of health savings accounts (HSAs) it manages. The results showed that HealthEquity’s differentiated platform and service continue to allow HealthEquity to outpace the growth of the market. We believe HealthEquity’s key differentiators will likely result in value creation that is yet to be fully reflected in the stock price. (1)
Q2 Holdings, Inc. (“Q2”), in the IT sector, was another to contributor, and provides cloud-based digital banking solutions to banks. Q2 delivered better than expected first-quarter results and raised guidance for the second quarter. The company has also made many new deals with Tier-1 banks and has a backlog of revenue to realize, much of it in the next 24 months. (1)
Encompass Health Corp., in the Health Care sector, was another contributor and is one of the country’s largest post-acute health care service providers. Encompass Health Corp. reported a strong first quarter, beating earnings expectations and raising guidance on the strength of solid operating results, a good balance sheet and easing regulatory burdens. (1)
Clearwater Paper Corp. (“Clearwater”), in the Materials sector, is a pulp and paper product manufacturer and top detractor. The stock fell significantly on first-quarter results that featured lower operating and earnings before interest, taxes, depreciation, and amortization (“EBITDA”) margins and faces competitive pressure in retail tissue and rising input costs. We have been disappointed with Clearwater’s inability to improve margins, despite numerous initiatives to cut costs. The loss of a major customer (The Kroger Co.) appears to have left Clearwater as the marginal-cost supplier in the industry. With no remaining variant perception about the company, we exited the position in the second quarter.(1)
Smart Sand, Inc. (“Smart Sand”), in the Energy sector, provides industrial sand for use in hydraulic fracturing operations in the oil and gas industry and was the second largest detractor. Smart Sand has been benefiting from its cost advantage, its high percentage of capacity under take-or-pay contracts, its strong balance sheet and its large insider ownership. While the robust global economy is creating a healthy backdrop for the energy complex, concerns about an oversupply of sand have hurt Smart Sand, but we believe it will continue to earn good returns. (1)
REV Group, Inc. (“REV Group”), in the Industrials sector, manufactures specialty vehicles for fire, emergency, recreational and commercial uses, and was another detractor. REV Group suffered a sharp selloff in March after it posted its first year-over-year EBITDA margin degradation as a public company in its first quarter10-Q release. While margins improved in the company’s recovering recreation segment, they decreased in the more stable fire & emergency and commercial segments. Management blamed timing of large-scale purchases and shortages of truck chassis and kept fiscal year 2018 EBITDA guidance flat, as its backlog increased significantly, but the market was uncomfortable with the profit increase required in the second half of the year to reach its targets. We believe REV Group’s competitive position is still strong, but we are watching the company’s supply chain. (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. During the period, the Portfolio invested in IPOs of nLight, Inc. (17 basis points of contribution), BJ’s Wholesale Club Holdings, Inc. (12 basis points), Origin
66 | (continued) |
Ohio National Fund, Inc. | ON ClearBridge Small Cap Portfolio (Unaudited) (Continued) |
Bancorp, Inc. (5 basis points), and Avalara, Inc. (1 basis point), each of which contributed positively to performance. Another IPO, Liberty Oilfield Services, Inc. Class A (-4 basis points), detracted. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2018. |
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.
Portfolio Composition as of June 30, 2018 (1) |
% of Net Assets | ||||
Common Stocks (4) | 98.1 | |||
Money Market Funds and Other Net Assets | 1.9 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of June 30, 2018 (1) (2) (3) |
% of Net Assets | ||||||
1. | Gray Television, Inc. | 2.9 | ||||
2. | Web.com Group, Inc. | 2.5 | ||||
3. | First Interstate BancSystem, Inc. Class A | 2.1 | ||||
4. | Aaron’s, Inc. | 2.1 | ||||
5. | Cadence BanCorp | 2.0 | ||||
6. | HealthEquity, Inc. | 2.0 | ||||
7. | Black Hills Corp. | 1.9 | ||||
8. | Encompass Health Corp. | 1.9 | ||||
9. | OneMain Holdings, Inc. | 1.9 | ||||
10. | Sprouts Farmers Market, Inc. | 1.9 |
(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 | 19.4 | |||
Information Technology | 18.4 | |||
Industrials | 16.6 | |||
Health Care | 12.0 | |||
Consumer Discretionary | 11.7 | |||
Real Estate | 6.4 | |||
Energy | 3.8 | |||
Consumer Staples | 3.3 | |||
Utilities | 3.1 | |||
Materials | 2.4 | |||
Telecommunication Services | 1.0 | |||
|
| |||
98.1 | ||||
|
|
67 |
Ohio National Fund, Inc. | ON ClearBridge Small Cap Portfolio |
Schedule of Investments | June 30, 2018 (Unaudited) |
Common Stocks – 98.1% | Shares | Value | ||||||||||
CONSUMER DISCRETIONARY – 11.7% |
| |||||||||||
Aaron’s, Inc. (Specialty Retail) | 120,000 | $ | 5,214,000 | |||||||||
Chuy’s Holdings, Inc. (Hotels, Restaurants & Leisure) | (a | ) | 101,850 | 3,126,795 | ||||||||
Gray Television, Inc. (Media) | (a | ) | 456,750 | 7,216,650 | ||||||||
Hudson Ltd. Class A (Specialty Retail) | (a | ) | 149,853 | 2,620,929 | ||||||||
Monro, Inc. (Specialty Retail) | 54,297 | 3,154,656 | ||||||||||
Murphy U.S.A., Inc. (Specialty Retail) | (a | ) | 56,040 | 4,163,211 | ||||||||
Service Corp. International (Diversified Consumer Svs.) | 101,140 | 3,619,801 | ||||||||||
|
| |||||||||||
29,116,042 | ||||||||||||
|
| |||||||||||
CONSUMER STAPLES – 3.3% |
| |||||||||||
BJ’s Wholesale Club Holdings, Inc. (Food & Staples Retailing) | (a | ) | 46,120 | 1,090,738 | ||||||||
Inter Parfums, Inc. (Personal Products) | 48,610 | 2,600,635 | ||||||||||
Sprouts Farmers Market, Inc. (Food & Staples Retailing) | (a | ) | 209,100 | 4,614,837 | ||||||||
|
| |||||||||||
8,306,210 | ||||||||||||
|
| |||||||||||
ENERGY – 3.8% | ||||||||||||
Extraction Oil & Gas, Inc. (Oil, Gas & Consumable Fuels) | (a | ) | 262,210 | 3,851,865 | ||||||||
Liberty Oilfield Services, Inc. Class A (Energy Equip. & Svs.) | (a | ) | 171,350 | 3,207,672 | ||||||||
Smart Sand, Inc. (Energy Equip. & Svs.) | (a | ) | 476,560 | 2,530,533 | ||||||||
|
| |||||||||||
9,590,070 | ||||||||||||
|
| |||||||||||
FINANCIALS – 19.4% | ||||||||||||
Assured Guaranty Ltd. (Insurance) | 67,820 | 2,423,208 | ||||||||||
Beneficial Bancorp, Inc. (Thrifts & Mortgage Finance) | 135,049 | 2,187,794 | ||||||||||
Cadence BanCorp (Banks) | 173,940 | 5,021,648 | ||||||||||
Encore Capital Group, Inc. (Consumer Finance) | (a | ) | 79,040 | 2,892,864 | ||||||||
Essent Group Ltd. (Thrifts & Mortgage Finance) | (a | ) | 48,500 | 1,737,270 | ||||||||
First Interstate BancSystem, Inc. Class A (Banks) | 126,630 | 5,343,786 | ||||||||||
Kinsale Capital Group, Inc. (Insurance) | 54,600 | 2,995,356 | ||||||||||
LegacyTexas Financial Group, Inc. (Banks) | 95,293 | 3,718,333 | ||||||||||
Main Street Capital Corp. (Capital Markets) | 51,707 | 1,967,968 | ||||||||||
NMI Holdings, Inc. Class A (Thrifts & Mortgage Finance) | (a | ) | 116,914 | 1,905,698 | ||||||||
OneMain Holdings, Inc. (Consumer Finance) | (a | ) | 141,900 | 4,723,851 | ||||||||
Origin Bancorp, Inc. (Banks) | 18,480 | 756,571 | ||||||||||
PennantPark Investment Corp. (Capital Markets) | 297,943 | 2,087,091 | ||||||||||
ProAssurance Corp. (Insurance) | 53,850 | 1,908,982 | ||||||||||
Radian Group, Inc. (Thrifts & Mortgage Finance) | 113,680 | 1,843,890 | ||||||||||
TriState Capital Holdings, Inc. (Banks) | (a | ) | 109,668 | 2,862,335 | ||||||||
Washington Federal, Inc. (Thrifts & Mortgage Finance) | 124,140 | 4,059,378 | ||||||||||
|
| |||||||||||
48,436,023 | ||||||||||||
|
| |||||||||||
HEALTH CARE – 12.0% | ||||||||||||
Akebia Therapeutics, Inc. (Biotechnology) | (a | ) | 88,941 | 887,631 | ||||||||
Amarin Corp. PLC – ADR (Biotechnology) | (a | ) | 925,850 | 2,860,877 | ||||||||
Cotiviti Holdings, Inc. (Health Care Technology) | (a | ) | 40,479 | 1,786,338 | ||||||||
Dynavax Technologies Corp. (Biotechnology) | (a | ) | 125,340 | 1,911,435 | ||||||||
Encompass Health Corp. (Health Care Providers & Svs.) | 70,970 | 4,806,088 | ||||||||||
HealthEquity, Inc. (Health Care Providers & Svs.) | (a | ) | 66,200 | 4,971,620 | ||||||||
Keryx Biopharmaceuticals, Inc. (Biotechnology) | (a | ) | 266,592 | 1,002,386 | ||||||||
Lexicon Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 226,050 | 2,712,600 | ||||||||
Quotient Ltd. (Health Care Equip. & Supplies) | (a | ) | 470,430 | 3,777,553 | ||||||||
Syneos Health, Inc. (Life Sciences Tools & Svs.) | (a | ) | 60,540 | 2,839,326 | ||||||||
Tivity Health, Inc. (Health Care Providers & Svs.) | (a | ) | 67,440 | 2,373,888 | ||||||||
|
| |||||||||||
29,929,742 | ||||||||||||
|
| |||||||||||
INDUSTRIALS – 16.6% | ||||||||||||
Allegiant Travel Co. (Airlines) | 18,560 | 2,578,912 | ||||||||||
Continental Building Products, Inc. (Building Products) | (a | ) | 83,030 | 2,619,597 | ||||||||
Dycom Industries, Inc. (Construction & Engineering) | (a | ) | 20,000 | 1,890,200 | ||||||||
EnPro Industries, Inc. (Machinery) | 34,120 | 2,386,694 |
Common Stocks (Continued) | Shares | Value | ||||||||||
INDUSTRIALS (continued) |
| |||||||||||
Foundation Building Materials, Inc. (Trading Companies & Distributors) | (a | ) | 180,210 | $ | 2,771,630 | |||||||
GATX Corp. (Trading Companies & Distributors) | 32,160 | 2,387,237 | ||||||||||
HEICO Corp. (Aerospace & Defense) | 42,771 | 3,119,307 | ||||||||||
ICF International, Inc. (Professional Svs.) | 32,986 | 2,343,655 | ||||||||||
Landstar System, Inc. (Road & Rail) | 23,711 | 2,589,241 | ||||||||||
Marten Transport Ltd. (Road & Rail) | 119,546 | 2,803,354 | ||||||||||
MRC Global, Inc. (Trading Companies & Distributors) | (a | ) | 161,970 | 3,509,890 | ||||||||
REV Group, Inc. (Machinery) | 112,090 | 1,906,651 | ||||||||||
Rush Enterprises, Inc. Class A (Trading Companies & Distributors) | (a | ) | 68,640 | 2,977,603 | ||||||||
Team, Inc. (Commercial Svs. & Supplies) | (a | ) | 107,830 | 2,490,873 | ||||||||
Textainer Group Holdings Ltd. (Trading Companies & Distributors) | (a | ) | 134,000 | 2,130,600 | ||||||||
Triton International Ltd. (Trading Companies & Distributors) | 94,890 | 2,909,327 | ||||||||||
|
| |||||||||||
41,414,771 | ||||||||||||
|
| |||||||||||
INFORMATION TECHNOLOGY – 18.4% |
| |||||||||||
2U, Inc. (Internet Software & Svs.) | (a | ) | 44,827 | 3,745,744 | ||||||||
Blackline, Inc. (Software) | (a | ) | 62,270 | 2,704,386 | ||||||||
EVERTEC, Inc. (IT Svs.) | 110,670 | 2,418,140 | ||||||||||
Itron, Inc. (Electronic Equip., Instr. & Comp.) | (a | ) | 33,120 | 1,988,856 | ||||||||
Methode Electronics, Inc. (Electronic Equip., Instr. & Comp.) | 102,570 | 4,133,571 | ||||||||||
MTS Systems Corp. (Electronic Equip., Instr. & Comp.) | 52,800 | 2,779,920 | ||||||||||
nLight, Inc. (Electronic Equip., Instr. & Comp.) | (a | ) | 31,790 | 1,050,977 | ||||||||
Q2 Holdings, Inc. (Internet Software & Svs.) | (a | ) | 59,580 | 3,399,039 | ||||||||
Rapid7, Inc. (Software) | (a | ) | 113,270 | 3,196,479 | ||||||||
RingCentral, Inc. Class A (Software) | (a | ) | 36,030 | 2,534,710 | ||||||||
Semtech Corp. (Semiconductors & Equip.) | �� | (a | ) | 46,010 | 2,164,771 | |||||||
Tower Semiconductor Ltd. (Semiconductors & Equip.) | (a | ) | 170,000 | 3,741,700 | ||||||||
Veeco Instruments, Inc. (Semiconductors & Equip.) | (a | ) | 85,482 | 1,218,119 | ||||||||
Web.com Group, Inc. (Internet Software & Svs.) | (a | ) | 239,800 | 6,198,830 | ||||||||
WNS Holdings Ltd. – ADR (IT Svs.) | (a | ) | 85,910 | 4,482,784 | ||||||||
|
| |||||||||||
45,758,026 | ||||||||||||
|
| |||||||||||
MATERIALS – 2.4% | ||||||||||||
U.S. Concrete, Inc. (Construction Materials) | (a | ) | 34,000 | 1,785,000 | ||||||||
Venator Materials PLC (Chemicals) | (a | ) | 251,810 | 4,119,612 | ||||||||
|
| |||||||||||
5,904,612 | ||||||||||||
|
| |||||||||||
REAL ESTATE – 6.4% | ||||||||||||
American Homes 4 Rent Class A (Equity REIT) | 137,790 | 3,056,182 | ||||||||||
Lexington Realty Trust (Equity REIT) | 422,000 | 3,684,060 | ||||||||||
Realogy Holdings Corp. (Real Estate Mgmt. & Development) | 114,900 | 2,619,720 | ||||||||||
STORE Capital Corp. (Equity REIT) | 108,880 | 2,983,312 | ||||||||||
Summit Hotel Properties, Inc. (Equity REIT) | 251,910 | 3,604,832 | ||||||||||
|
| |||||||||||
15,948,106 | ||||||||||||
|
| |||||||||||
TELECOMMUNICATION SERVICES – 1.0% |
| |||||||||||
ORBCOMM, Inc. (Diversified Telecom. Svs.) | (a | ) | 250,270 | 2,527,727 | ||||||||
|
| |||||||||||
UTILITIES – 3.1% | ||||||||||||
Black Hills Corp. (Multi-Utilities) | 79,070 | 4,839,875 | ||||||||||
PNM Resources, Inc. (Electric Utilities) | 73,420 | 2,856,038 | ||||||||||
|
| |||||||||||
7,695,913 | ||||||||||||
|
| |||||||||||
Total Common Stocks | $ | 244,627,242 | ||||||||||
|
| |||||||||||
Money Market Funds – 1.2% | Shares | Value | ||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 2,921,303 | $ | 2,921,303 | |||||||||
|
| |||||||||||
Total Money Market Funds | $ | 2,921,303 | ||||||||||
|
| |||||||||||
Total Investments – 99.3% | (b | ) | $ | 247,548,545 | ||||||||
Other Assets in Excess of Liabilities – 0.7% | 1,688,589 | |||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 249,237,134 | ||||||||||
|
|
68 | (continued) |
Ohio National Fund, Inc. | ON ClearBridge Small Cap Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
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.
69 |
Ohio National Fund, Inc. | ON Nasdaq-100® Index Portfolio (Unaudited) |
Objective/Strategy |
The ON Nasdaq-100® Index Portfolio (formerly 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 June 30, 2018 |
Average Annual returns | ||||
One year | 25.49 | % | ||
Five years | 20.16 | % | ||
Ten years | 15.00 | % |
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 0.45% per the Fund’s prospectus dated May 1, 2018. Additional information pertaining to the Portfolio’s expense ratio as of June 30, 2018 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 six-month period ended June 30, 2018, the ON Nasdaq-100® Index Portfolio returned 10.44% versus 10.65% 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 period that impacted the Portfolio’s relative return. Sources of performance variance were related to the cumulative impact of investing the day-to-day cash flows in the Portfolio. (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. There was no impact from either sector or stock selection that caused any performance variance between the Portfolio and its benchmark. (1)
Information Technology, the largest sector, and Consumer Discretionary, significantly contributed to the strong benchmark return for the six-month period. (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 Amazon Inc., Microsoft Corp., and Apple, Inc. These three contributors account for roughly 30% of the index market capitalization. The largest detractors from the Portfolio and benchmark returns for the period were Comcast Corp. Class A, Celgene Corp., and The Kraft Heinz Co. The combined exposure for these three laggards were almost 4% in total benchmark and Portfolio weight. (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)
Q. Were there any significant changes to the Portfolio’s management team, investment strategy, or selection process during the reporting period?
A. The Portfolio management team added two new members during the period, bringing the total team to a staff of eight. There were no material changes to the investment strategy or stock selection process during this reporting period.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2018. |
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 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.
70 | (continued) |
Ohio National Fund, Inc. | ON Nasdaq-100® Index Portfolio (Unaudited) (Continued) |
Portfolio Composition as of June 30, 2018 (1) |
% of Net Assets | ||||
Common Stocks (4) | 99.4 | |||
Money Market Funds and Other Net Assets | 0.6 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of June 30, 2018 (1) (2) (3) |
% of Net Assets | ||||||
1. | Apple, Inc. | 11.3 | ||||
2. | Amazon.com, Inc. | 10.3 | ||||
3. | Microsoft Corp. | 9.5 | ||||
4. | Facebook, Inc. Class A | 5.8 | ||||
5. | Alphabet, Inc. Class C | 4.9 | ||||
6. | Alphabet, Inc. Class A | 4.2 | ||||
7. | Intel Corp. | 2.9 | ||||
8. | Cisco Systems, Inc. | 2.5 | ||||
9. | Netflix, Inc. | 2.1 | ||||
10. | Comcast Corp. Class A | 1.9 |
(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 | 60.5 | |||
Consumer Discretionary | 22.9 | |||
Health Care | 9.2 | |||
Consumer Staples | 4.0 | |||
Industrials | 2.0 | |||
Telecommunication Services | 0.8 | |||
|
| |||
99.4 | ||||
|
|
71 |
Ohio National Fund, Inc. | ON Nasdaq-100® Index Portfolio |
Schedule of Investments | June 30, 2018 (Unaudited) |
Common Stocks – 99.4% | Shares | Value | ||||||||||
CONSUMER DISCRETIONARY – 22.9% |
| |||||||||||
Amazon.com, Inc. (Internet & Direct Marketing Retail) | (a | ) | 23,844 | $ | 40,530,031 | |||||||
Booking Holdings, Inc. (Internet & Direct Marketing Retail) | (a | ) | 2,367 | 4,798,122 | ||||||||
Charter Communications, Inc. Class A (Media) | (a | ) | 11,669 | 3,421,468 | ||||||||
Comcast Corp. Class A (Media) | 225,657 | 7,403,806 | ||||||||||
Ctrip.com International Ltd. – ADR (Internet & Direct Marketing Retail) | (a | ) | 22,894 | 1,090,441 | ||||||||
DISH Network Corp. Class A (Media) | (a | ) | 11,250 | 378,113 | ||||||||
Dollar Tree, Inc. (Multiline Retail) | (a | ) | 11,684 | 993,140 | ||||||||
Expedia Group, Inc. (Internet & Direct Marketing Retail) | 6,749 | 811,162 | ||||||||||
Hasbro, Inc. (Leisure Products) | 6,139 | 566,691 | ||||||||||
JD.com, Inc. – ADR (Internet & Direct Marketing Retail) | (a | ) | 45,338 | 1,765,915 | ||||||||
Liberty Global PLC Class A (Media) | (a | ) | 10,662 | 293,631 | ||||||||
Liberty Global PLC Class C (Media) | (a | ) | 28,017 | 745,532 | ||||||||
Marriott International, Inc. Class A (Hotels, Restaurants & Leisure) | 17,364 | 2,198,282 | ||||||||||
Netflix, Inc. (Internet & Direct Marketing Retail) | (a | ) | 21,361 | 8,361,336 | ||||||||
O’Reilly Automotive, Inc. (Specialty Retail) | (a | ) | 4,025 | 1,101,119 | ||||||||
Qurate Retail, Inc. (Internet & Direct Marketing Retail) | (a | ) | 21,639 | 459,180 | ||||||||
Ross Stores, Inc. (Specialty Retail) | 18,606 | 1,576,859 | ||||||||||
Sirius XM Holdings, Inc. (Media) | 220,083 | 1,489,962 | ||||||||||
Starbucks Corp. (Hotels, Restaurants & Leisure) | 67,812 | 3,312,616 | ||||||||||
Tesla, Inc. (Automobiles) | (a | ) | 8,344 | 2,861,575 | ||||||||
Twenty-First Century Fox, Inc. Class A (Media) | 51,794 | 2,573,644 | ||||||||||
Twenty-First Century Fox, Inc. Class B (Media) | 39,239 | 1,933,306 | ||||||||||
Ulta Beauty, Inc. (Specialty Retail) | (a | ) | 2,974 | 694,310 | ||||||||
Wynn Resorts Ltd. (Hotels, Restaurants & Leisure) | 5,336 | 892,926 | ||||||||||
|
| |||||||||||
90,253,167 | ||||||||||||
|
| |||||||||||
CONSUMER STAPLES – 4.0% |
| |||||||||||
Costco Wholesale Corp. (Food & Staples Retailing) | 21,563 | 4,506,236 | ||||||||||
Kraft Heinz Co. / The (Food Products) | 59,909 | 3,763,483 | ||||||||||
Mondelez International, Inc. Class A (Food Products) | 72,484 | 2,971,844 | ||||||||||
Monster Beverage Corp. (Beverages) | (a | ) | 27,650 | 1,584,345 | ||||||||
Walgreens Boots Alliance, Inc. (Food & Staples Retailing) | 48,730 | 2,924,531 | ||||||||||
|
| |||||||||||
15,750,439 | ||||||||||||
|
| |||||||||||
HEALTH CARE – 9.2% | ||||||||||||
Alexion Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 10,934 | 1,357,456 | ||||||||
Align Technology, Inc. (Health Care Equip. & Supplies) | (a | ) | 3,938 | 1,347,347 | ||||||||
Amgen, Inc. (Biotechnology) | 32,516 | 6,002,128 | ||||||||||
Biogen, Inc. (Biotechnology) | (a | ) | 10,369 | 3,009,499 | ||||||||
BioMarin Pharmaceutical, Inc. (Biotechnology) | (a | ) | 8,684 | 818,033 | ||||||||
Celgene Corp. (Biotechnology) | (a | ) | 35,618 | 2,828,782 | ||||||||
Cerner Corp. (Health Care Technology) | (a | ) | 16,305 | 974,876 | ||||||||
DENTSPLY SIRONA, Inc. (Health Care Equip. & Supplies) | 11,176 | 489,173 | ||||||||||
Express Scripts Holding Co. (Health Care Providers & Svs.) | (a | ) | 27,603 | 2,131,228 | ||||||||
Gilead Sciences, Inc. (Biotechnology) | 63,894 | 4,526,251 | ||||||||||
Henry Schein, Inc. (Health Care Providers & Svs.) | (a | ) | 7,569 | 549,812 | ||||||||
Hologic, Inc. (Health Care Equip. & Supplies) | (a | ) | 13,416 | 533,286 | ||||||||
IDEXX Laboratories, Inc. (Health Care Equip. & Supplies) | (a | ) | 4,268 | 930,168 | ||||||||
Illumina, Inc. (Life Sciences Tools & Svs.) | (a | ) | 7,223 | 2,017,312 | ||||||||
Incyte Corp. (Biotechnology) | (a | ) | 10,416 | 697,872 | ||||||||
Intuitive Surgical, Inc. (Health Care Equip. & Supplies) | (a | ) | 5,567 | 2,663,698 | ||||||||
Mylan N.V. (Pharmaceuticals) | (a | ) | 25,330 | 915,426 |
Common Stocks (Continued) | Shares | Value | ||||||||||
HEALTH CARE (continued) | ||||||||||||
Regeneron Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 5,206 | $ | 1,796,018 | |||||||
Shire PLC – ADR (Biotechnology) | 3,356 | 566,493 | ||||||||||
Vertex Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 12,522 | 2,128,239 | ||||||||
|
| |||||||||||
36,283,097 | ||||||||||||
|
| |||||||||||
INDUSTRIALS – 2.0% | ||||||||||||
American Airlines Group, Inc. (Airlines) | 23,005 | 873,270 | ||||||||||
Cintas Corp. (Commercial Svs. & Supplies) | 5,244 | 970,507 | ||||||||||
CSX Corp. (Road & Rail) | 43,014 | 2,743,433 | ||||||||||
Fastenal Co. (Trading Companies & Distributors) | 14,137 | 680,414 | ||||||||||
J.B. Hunt Transport Services, Inc. (Road & Rail) | 5,393 | 655,519 | ||||||||||
PACCAR, Inc. (Machinery) | 17,288 | 1,071,165 | ||||||||||
Verisk Analytics, Inc. (Professional Svs.) | (a | ) | 8,121 | 874,144 | ||||||||
|
| |||||||||||
7,868,452 | ||||||||||||
|
| |||||||||||
INFORMATION TECHNOLOGY – 60.5% |
| |||||||||||
Activision Blizzard, Inc. (Software) | 37,405 | 2,854,750 | ||||||||||
Adobe Systems, Inc. (Software) | (a | ) | 24,200 | 5,900,202 | ||||||||
Alphabet, Inc. Class A (Internet Software & Svs.) | (a | ) | 14,676 | 16,571,992 | ||||||||
Alphabet, Inc. Class C (Internet Software & Svs.) | (a | ) | 17,147 | 19,130,050 | ||||||||
Analog Devices, Inc. (Semiconductors & Equip.) | 18,226 | 1,748,238 | ||||||||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 241,527 | 44,709,063 | ||||||||||
Applied Materials, Inc. (Semiconductors & Equip.) | 49,535 | 2,288,022 | ||||||||||
ASML Holding N.V. (Semiconductors & Equip.) | 3,674 | 727,342 | ||||||||||
Autodesk, Inc. (Software) | (a | ) | 10,767 | 1,411,446 | ||||||||
Automatic Data Processing, Inc. (IT Svs.) | 21,647 | 2,903,729 | ||||||||||
Baidu, Inc. – ADR (Internet Software & Svs.) | (a | ) | 13,795 | 3,352,185 | ||||||||
Broadcom, Inc. (Semiconductors & Equip.) | 20,184 | 4,897,446 | ||||||||||
CA, Inc. (Software) | 20,472 | 729,827 | ||||||||||
Cadence Design Systems, Inc. (Software) | (a | ) | 13,853 | 599,973 | ||||||||
Check Point Software Technologies Ltd. (Software) | (a | ) | 7,815 | 763,369 | ||||||||
Cisco Systems, Inc. (Communications Equip.) | 231,097 | 9,944,104 | ||||||||||
Citrix Systems, Inc. (Software) | (a | ) | 6,660 | 698,234 | ||||||||
Cognizant Technology Solutions Corp. Class A (IT Svs.) | 28,791 | 2,274,201 | ||||||||||
eBay, Inc. (Internet Software & Svs.) | (a | ) | 48,843 | 1,771,047 | ||||||||
Electronic Arts, Inc. (Software) | (a | ) | 15,078 | 2,126,300 | ||||||||
Facebook, Inc. Class A (Internet Software & Svs.) | (a | ) | 117,866 | 22,903,721 | ||||||||
Fiserv, Inc. (IT Svs.) | (a | ) | 20,119 | 1,490,617 | ||||||||
Intel Corp. (Semiconductors & Equip.) | 228,989 | 11,383,043 | ||||||||||
Intuit, Inc. (Software) | 12,609 | 2,576,082 | ||||||||||
KLA-Tencor Corp. (Semiconductors & Equip.) | 7,659 | 785,277 | ||||||||||
Lam Research Corp. (Semiconductors & Equip.) | 8,061 | 1,393,344 | ||||||||||
Maxim Integrated Products, Inc. (Semiconductors & Equip.) | 13,743 | 806,164 | ||||||||||
MercadoLibre, Inc. (Internet Software & Svs.) | 2,170 | 648,678 | ||||||||||
Microchip Technology, Inc. (Semiconductors & Equip.) | 11,550 | 1,050,472 | ||||||||||
Micron Technology, Inc. (Semiconductors & Equip.) | (a | ) | 56,990 | 2,988,556 | ||||||||
Microsoft Corp. (Software) | 377,547 | 37,229,910 | ||||||||||
NetEase, Inc. – ADR (Internet Software & Svs.) | 3,751 | 947,765 | ||||||||||
NVIDIA Corp. (Semiconductors & Equip.) | 29,828 | 7,066,253 | ||||||||||
Paychex, Inc. (IT Svs.) | 17,655 | 1,206,719 | ||||||||||
PayPal Holdings, Inc. (IT Svs.) | (a | ) | 58,347 | 4,858,555 | ||||||||
QUALCOMM, Inc. (Semiconductors & Equip.) | 72,855 | 4,088,623 | ||||||||||
Seagate Technology PLC (Tech. Hardware, Storage & Periph.) | 14,106 | 796,566 | ||||||||||
Skyworks Solutions, Inc. (Semiconductors & Equip.) | 8,947 | 864,728 | ||||||||||
Symantec Corp. (Software) | 30,542 | 630,692 | ||||||||||
Synopsys, Inc. (Software) | (a | ) | 7,322 | 626,543 | ||||||||
Take-Two Interactive Software, Inc. (Software) | (a | ) | 5,621 | 665,302 |
72 |
Ohio National Fund, Inc. | ON Nasdaq-100® Index Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
Common Stocks (Continued) | Shares | Value | ||||||||||
INFORMATION TECHNOLOGY (continued) |
| |||||||||||
Texas Instruments, Inc. (Semiconductors & Equip.) | 48,103 | $ | 5,303,356 | |||||||||
Western Digital Corp. (Tech. Hardware, Storage & Periph.) | 14,705 | 1,138,314 | ||||||||||
Workday, Inc. Class A (Software) | (a | ) | 7,184 | 870,126 | ||||||||
Xilinx, Inc. (Semiconductors & Equip.) | 12,452 | 812,617 | ||||||||||
|
| |||||||||||
238,533,543 | ||||||||||||
|
| |||||||||||
TELECOMMUNICATION SERVICES – 0.8% |
| |||||||||||
T-Mobile U.S., Inc. (Wireless Telecom. Svs.) | (a | ) | 41,613 | 2,486,377 | ||||||||
Vodafone Group PLC – ADR (Wireless Telecom. Svs.) | 23,329 | 567,128 | ||||||||||
|
| |||||||||||
3,053,505 | ||||||||||||
|
| |||||||||||
Total Common Stocks | $ | 391,742,203 | ||||||||||
|
|
Money Market Funds – 0.3% | Shares | Value | ||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 1,225,555 | $ | 1,225,555 | |||||||||
|
| |||||||||||
Total Money Market Funds | $ | 1,225,555 | ||||||||||
|
| |||||||||||
Total Investments – 99.7% | (b | ) | $ | 392,967,758 | ||||||||
Other Assets in Excess of Liabilities – 0.3% | (c | ) | 1,025,520 | |||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 393,993,278 | ||||||||||
|
|
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 $69,580 of cash pledged as collateral for the futures contracts outstanding at June 30, 2018. 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 | June 30, 2018 (Unaudited) |
Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||||||||
CME E-mini Nasdaq-100 Index - Long | 12 | September 21, 2018 | $ | 1,729,077 | $ | 1,696,020 | $(33,057) | $385,270 |
The accompanying notes are an integral part of these financial statements.
73 |
Ohio National Fund, Inc. | ON Bristol Portfolio (Unaudited) |
Objective/Strategy |
The ON Bristol Portfolio (formerly 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 June 30, 2018 |
Average Annual returns | ||||
One year | 13.83% | |||
Five years | 15.64% | |||
Ten years | 9.67% |
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, 2018. Additional information pertaining to the Portfolio’s expense ratio as of June 30, 2018 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 six-month period ended June 30, 2018, the ON Bristol Portfolio returned 0.53% versus 2.65% 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. While market concerns regarding the impacts from trade conflicts between the U.S. and China, the North American Free Trade Agreement (“NAFTA”) nations, and the European Union affected the performance of both the benchmark and the ON Bristol Portfolio, stock selection contributed significantly to the underperformance in the first half of the year. (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 selections in Industrials and Consumer Staples contributed to relative performance, while top detractors were stock selection within Information Technology and Consumer Discretionary. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. Top relative contributors included an overweight position in Amazon.com, Inc., as the company reported significant profit upside, in part driven by upside in a new advertising growth driver. An underweight to QUALCOMM, Inc. contributed, as the Chinese government restarted the review of Qualcomm’s acquisition of NXP Semiconductors N.V. after
delays due to trade tensions. An overweight to CSX Corp. contributed, as the Company announced that it was on track to meet or exceed long-term operating margin goals despite a rocky start in 2017. (1)
Top detractors included Commscope Holding Co., Inc., as its management lowered guidance significantly due to significant price concessions to win contracts. Lincoln National Corp. showed underperformance similar to its life insurance peer group and fear of impacts from trade conflicts drove declines in longer-term U.S. interest rates. Norwegian Cruise Line Holdings, Ltd. had a relatively weak recovery in Eastern Caribbean bookings after the 2017 hurricanes. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2018. |
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.
74 | (continued) |
Ohio National Fund, Inc. | ON Bristol Portfolio (Unaudited) (Continued) |
Portfolio Composition as of June 30, 2018 (1) |
% of Net Assets | ||||
Common Stocks (4) | 99.2 | |||
Money Market Funds and Other Net Assets | 0.8 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of June 30, 2018 (1) (2) (3) |
% of Net Assets | ||||||
1. | Amazon.com, Inc. | 5.0 | ||||
2. | Apple, Inc. | 3.4 | ||||
3. | Alphabet, Inc. Class C | 2.7 | ||||
4. | CBS Corp. Class B | 2.7 | ||||
5. | Marvell Technology Group Ltd. | 2.6 | ||||
6. | AT&T, Inc. | 2.5 | ||||
7. | Citigroup, Inc. | 2.4 | ||||
8. | Bank of America Corp. | 2.4 | ||||
9. | Facebook, Inc. Class A | 2.4 | ||||
10. | Goldman Sachs Group, Inc. / The | 2.3 |
(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): |
% of Net Assets | ||||
Consumer Discretionary | 18.9 | |||
Information Technology | 17.5 | |||
Industrials | 17.4 | |||
Financials | 16.1 | |||
Consumer Staples | 10.6 | |||
Health Care | 9.8 | |||
Energy | 4.3 | |||
Telecommunication Services | 2.5 | |||
Materials | 2.1 | |||
|
| |||
99.2 | ||||
|
|
75 | (continued) |
Ohio National Fund, Inc. | ON Bristol Portfolio |
Schedule of Investments | June 30, 2018 (Unaudited) |
Common Stocks – 99.2% | Shares | Value | ||||||||||
CONSUMER DISCRETIONARY – 18.9% |
| |||||||||||
Amazon.com, Inc. (Internet & Direct Marketing Retail) | (a | ) | 5,758 | $ | 9,787,448 | |||||||
CBS Corp. Class B (Media) | 93,975 | 5,283,274 | ||||||||||
General Motors Co. (Automobiles) | 67,629 | 2,664,583 | ||||||||||
McDonald’s Corp. (Hotels, Restaurants & Leisure) | 24,974 | 3,913,176 | ||||||||||
Norwegian Cruise Line Holdings Ltd. (Hotels, Restaurants & Leisure) | (a | ) | 76,309 | 3,605,600 | ||||||||
PVH Corp. (Textiles, Apparel & Luxury Goods) | 25,280 | 3,784,922 | ||||||||||
Tapestry, Inc. (Textiles, Apparel & Luxury Goods) | 88,553 | 4,136,311 | ||||||||||
Walt Disney Co. / The (Media) | 39,151 | 4,103,416 | ||||||||||
|
| |||||||||||
37,278,730 | ||||||||||||
|
| |||||||||||
CONSUMER STAPLES – 10.6% | ||||||||||||
Coca-Cola Co. / The (Beverages) | 71,390 | 3,131,165 | ||||||||||
Conagra Brands, Inc. (Food Products) | 83,683 | 2,989,994 | ||||||||||
Kraft Heinz Co. / The (Food Products) | 54,588 | 3,429,218 | ||||||||||
Mondelez International, Inc. Class A (Food Products) | 85,776 | 3,516,816 | ||||||||||
PepsiCo, Inc. (Beverages) | 35,976 | 3,916,707 | ||||||||||
Walmart, Inc. (Food & Staples Retailing) | 45,793 | 3,922,171 | ||||||||||
|
| |||||||||||
20,906,071 | ||||||||||||
|
| |||||||||||
ENERGY – 4.3% | ||||||||||||
Chevron Corp. (Oil, Gas & Consumable Fuels) | 3,872 | 492,180 | ||||||||||
EOG Resources, Inc. (Oil, Gas & Consumable Fuels) | 33,054 | 4,112,909 | ||||||||||
Pioneer Natural Resources Co. (Oil, Gas & Consumable Fuels) | 20,965 | 3,967,417 | ||||||||||
|
| |||||||||||
8,572,506 | ||||||||||||
|
| |||||||||||
FINANCIALS – 16.1% | ||||||||||||
Bank of America Corp. (Banks) | 170,897 | 4,817,587 | ||||||||||
Capital One Financial Corp. (Consumer Finance) | 34,011 | 3,125,611 | ||||||||||
Citigroup, Inc. (Banks) | 72,162 | 4,829,081 | ||||||||||
Goldman Sachs Group, Inc. / The (Capital Markets) | 20,742 | 4,575,063 | ||||||||||
JPMorgan Chase & Co. (Banks) | 32,282 | 3,363,784 | ||||||||||
Lincoln National Corp. (Insurance) | 53,671 | 3,341,020 | ||||||||||
MetLife, Inc. (Insurance) | 92,839 | 4,047,780 | ||||||||||
Morgan Stanley (Capital Markets) | 78,580 | 3,724,692 | ||||||||||
|
| |||||||||||
31,824,618 | ||||||||||||
|
| |||||||||||
HEALTH CARE – 9.8% | ||||||||||||
Aerie Pharmaceuticals, Inc. (Pharmaceuticals) | (a | ) | 63,210 | 4,269,835 | ||||||||
Aetna, Inc. (Health Care Providers & Svs.) | 21,784 | 3,997,364 | ||||||||||
Celgene Corp. (Biotechnology) | (a | ) | 51,025 | 4,052,406 | ||||||||
Loxo Oncology, Inc. (Biotechnology) | (a | ) | 14,415 | 2,500,714 |
Common Stocks (Continued) | Shares | Value | ||||||||||
HEALTH CARE (continued) | ||||||||||||
Sage Therapeutics, Inc. (Biotechnology) | (a | ) | 21,486 | $ | 3,363,204 | |||||||
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 5,161 | 1,266,200 | ||||||||||
|
| |||||||||||
19,449,723 | ||||||||||||
|
| |||||||||||
INDUSTRIALS – 17.4% | ||||||||||||
Boeing Co. / The (Aerospace & Defense) | 12,992 | 4,358,946 | ||||||||||
Deere & Co. (Machinery) | 28,542 | 3,990,172 | ||||||||||
Evoqua Water Technologies Corp. (Machinery) | (a | ) | 141,135 | 2,893,268 | ||||||||
FedEx Corp. (Air Freight & Logistics) | 16,540 | 3,755,572 | ||||||||||
Kansas City Southern (Road & Rail) | 36,802 | 3,899,540 | ||||||||||
Quanta Services, Inc. (Construction & Engineering) | (a | ) | 116,228 | 3,882,015 | ||||||||
Rockwell Automation, Inc. (Electrical Equip.) | 23,448 | 3,897,761 | ||||||||||
Union Pacific Corp. (Road & Rail) | 28,495 | 4,037,172 | ||||||||||
XPO Logistics, Inc. (Air Freight & Logistics) | (a | ) | 37,590 | 3,765,766 | ||||||||
|
| |||||||||||
34,480,212 | ||||||||||||
|
| |||||||||||
INFORMATION TECHNOLOGY – 17.5% |
| |||||||||||
Alphabet, Inc. Class C (Internet Software & Svs.) | (a | ) | 4,787 | 5,340,617 | ||||||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 36,582 | 6,771,694 | ||||||||||
Broadcom, Inc. (Semiconductors & Equip.) | 16,252 | 3,943,385 | ||||||||||
Facebook, Inc. Class A (Internet Software & Svs.) | (a | ) | 24,422 | 4,745,683 | ||||||||
Marvell Technology Group Ltd. (Semiconductors & Equip.) | 238,781 | 5,119,465 | ||||||||||
Microsoft Corp. (Software) | 26,511 | 2,614,250 | ||||||||||
NVIDIA Corp. (Semiconductors & Equip.) | 10,147 | 2,403,824 | ||||||||||
Xilinx, Inc. (Semiconductors & Equip.) | 57,694 | 3,765,110 | ||||||||||
|
| |||||||||||
34,704,028 | ||||||||||||
|
| |||||||||||
MATERIALS – 2.1% | ||||||||||||
DowDuPont, Inc. (Chemicals) | 62,533 | 4,122,175 | ||||||||||
|
| |||||||||||
TELECOMMUNICATION SERVICES – 2.5% |
| |||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 155,501 | 4,993,137 | ||||||||||
|
| |||||||||||
Total Common Stocks | $ | 196,331,200 | ||||||||||
|
| |||||||||||
Money Market Funds – 0.2% | Shares | Value | ||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 515,682 | $ | 515,682 | |||||||||
|
| |||||||||||
Total Money Market Funds | $ | 515,682 | ||||||||||
|
| |||||||||||
Total Investments – 99.4% | (b | ) | $ | 196,846,882 | ||||||||
Other Assets in Excess of | 1,117,759 | |||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 197,964,641 | ||||||||||
|
|
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.
76
Ohio National Fund, Inc. | ON Bryton Growth Portfolio (Unaudited) |
Objective/Strategy |
The ON Bryton Growth Portfolio (formerly 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 June 30, 2018 |
Average Annual returns | ||||
One year | 26.64% | |||
Five years | 12.77% | |||
Ten years | 8.72% |
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 0.98% per the Fund’s prospectus dated May 1, 2018. Additional information pertaining to the Portfolio’s expense ratio as of June 30, 2018 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 six-month period ended June 30, 2018, the ON Bryton Growth Portfolio returned 15.25% versus 9.70% 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. While market concerns regarding the impacts from trade conflicts between the U.S. and China, the North American Free Trade Agreement (“NAFTA”) nations, and the European Union have impacted the benchmark, the ON Bryton Growth Portfolio has continued to outperform, as stock selection contributed significantly to outperformance. Additionally, small cap stocks are generally seen as more immune to the international saber rattling, as they are more domestically oriented. (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 in Information Technology and Health Care contributed to the Portfolio’s relative outperformance, while top detractors were sector allocation within Industrials and stock selection within Materials. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. The top relative contributor was Tandem Diabetes Care, Inc. After doing an additional equity offering during the first quarter, which put the company’s balance sheet on more stable footing, the company has beaten and raised guidance twice due to share gains from Johnson & Johnson and Medtronic PLC. Loxo Oncology Inc., another contributor, had positive data on its cancer drug while its primary competitor, Blueprint Medicines Corporation, had less positive data. Coupa Software, Inc. beat and raised guidance throughout the year, and is well positioned to be the leader in cloud software in the procurement and expense management software vertical. The Portfolio was overweight in all three positions. (1)
Top detractors included Paratek Pharmaceuticals, Inc., as concerns regarding side effects for their main antibiotic pipeline drug have resulted in an Advisory Committee prior to the drug approval, which increased the risk that the drug is not approved. Healthcare Services Group, Inc., another detractor, reported a weak first quarter due to two customer restructurings, which resulted in a charge to earnings, to account for an increase in its accounts receivables allowance. Finally, U.S. Concrete, Inc., the third largest detractor, experienced bad weather in the first quarter, which resulted in the company missing earnings expectations; weather has since improved, but new concerns regarding cost inflation, and Caterpillar’, Inc.’s comments regarding being near a “peak” in the cycle (construction being one part of their business) has resulted in the stock underperforming. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2018. |
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.
77 | (continued) |
Ohio National Fund, Inc. | ON Bryton Growth Portfolio (Unaudited) (Continued) |
Portfolio Composition as of June 30, 2018 (1) |
% of Net Assets | ||||
Common Stocks (4) | 97.4 | |||
Money Market Funds and Other Net Assets | 2.6 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of June 30, 2018 (1) (2) (3) |
% of Net Assets | ||||||
1. | Aerie Pharmaceuticals, Inc. | 2.2 | ||||
2. | Belden, Inc. | 1.9 | ||||
3. | Triumph Bancorp, Inc. | 1.8 | ||||
4. | Hortonworks, Inc. | 1.8 | ||||
5. | Actuant Corp. Class A | 1.8 | ||||
6. | Neogen Corp. | 1.8 | ||||
7. | Model N, Inc. | 1.8 | ||||
8. | Itron, Inc. | 1.7 | ||||
9. | Freshpet, Inc. | 1.7 | ||||
10. | Veritex Holdings, 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 | 27.9 | |||
Health Care | 22.9 | |||
Industrials | 16.8 | |||
Financials | 6.9 | |||
Consumer Staples | 6.5 | |||
Materials | 6.4 | |||
Real Estate | 3.3 | |||
Telecommunication Services | 3.0 | |||
Consumer Discretionary | 2.7 | |||
Energy | 1.0 | |||
|
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97.4 | ||||
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78
Ohio National Fund, Inc. | ON Bryton Growth Portfolio |
Schedule of Investments | June 30, 2018 (Unaudited) |
Common Stocks – 97.4% | Shares | Value | ||||||||||
CONSUMER DISCRETIONARY – 2.7% |
| |||||||||||
Children’s Place, Inc. / The (Specialty Retail) | 5,842 | $ | 705,713 | |||||||||
G-III Apparel Group Ltd. (Textiles, Apparel & Luxury Goods) | (a | ) | 17,437 | 774,203 | ||||||||
|
| |||||||||||
1,479,916 | ||||||||||||
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| |||||||||||
CONSUMER STAPLES – 6.5% | ||||||||||||
Freshpet, Inc. (Food Products) | (a | ) | 34,894 | 957,840 | ||||||||
J&J Snack Foods Corp. (Food Products) | 5,867 | 894,541 | ||||||||||
MGP Ingredients, Inc. (Beverages) | 8,960 | 795,738 | ||||||||||
Nomad Foods Ltd. (Food Products) | (a | ) | 46,510 | 892,527 | ||||||||
|
| |||||||||||
3,540,646 | ||||||||||||
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| |||||||||||
ENERGY – 1.0% | ||||||||||||
Penn Virginia Corp. (Oil, Gas & Consumable Fuels) | (a | ) | 6,418 | 544,824 | ||||||||
|
| |||||||||||
FINANCIALS – 6.9% | ||||||||||||
Ameris Bancorp (Banks) | 17,181 | 916,606 | ||||||||||
Home BancShares, Inc. (Banks) | 39,788 | 897,617 | ||||||||||
Triumph Bancorp, Inc. (Banks) | (a | ) | 24,118 | 982,809 | ||||||||
Veritex Holdings, Inc. (Banks) | (a | ) | 30,035 | 933,188 | ||||||||
|
| |||||||||||
3,730,220 | ||||||||||||
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| |||||||||||
HEALTH CARE – 22.9% | ||||||||||||
Aerie Pharmaceuticals, Inc. (Pharmaceuticals) | (a | ) | 17,455 | 1,179,085 | ||||||||
AxoGen, Inc. (Health Care Equip. & Supplies) | (a | ) | 16,537 | 830,984 | ||||||||
Haemonetics Corp. (Health Care Equip. & Supplies) | (a | ) | 9,555 | 856,892 | ||||||||
Iovance Biotherapeutics, Inc. (Biotechnology) | (a | ) | 37,827 | 484,186 | ||||||||
K2M Group Holdings, Inc. (Health Care Equip. & Supplies) | (a | ) | 34,414 | 774,315 | ||||||||
Ligand Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 4,305 | 891,867 | ||||||||
Loxo Oncology, Inc. (Biotechnology) | (a | ) | 4,137 | 717,687 | ||||||||
Neogen Corp. (Health Care Equip. & Supplies) | (a | ) | 12,128 | 972,544 | ||||||||
Paratek Pharmaceuticals, Inc. (Pharmaceuticals) | (a | ) | 52,007 | 530,471 | ||||||||
PetIQ, Inc. (Health Care Providers & Svs.) | (a | ) | 31,964 | 858,553 | ||||||||
Revance Therapeutics, Inc. (Pharmaceuticals) | (a | ) | 25,161 | 690,670 | ||||||||
Sage Therapeutics, Inc. (Biotechnology) | (a | ) | 5,271 | 825,070 | ||||||||
Senseonics Holdings, Inc. (Health Care Equip. & Supplies) | (a | ) | 80,953 | 332,717 | ||||||||
Tandem Diabetes Care, Inc. (Health Care Equip. & Supplies) | (a | ) | 36,785 | 810,006 | ||||||||
Vericel Corp. (Biotechnology) | (a | ) | 83,512 | 810,066 | ||||||||
Vocera Communications, Inc. (Health Care Technology) | (a | ) | 30,157 | 901,393 | ||||||||
|
| |||||||||||
12,466,506 | ||||||||||||
|
| |||||||||||
INDUSTRIALS – 16.8% | ||||||||||||
Actuant Corp. Class A (Machinery) | 33,157 | 973,158 | ||||||||||
Astec Industries, Inc. (Machinery) | 14,947 | 893,831 | ||||||||||
Chart Industries, Inc. (Machinery) | (a | ) | 6,530 | 402,770 | ||||||||
Covanta Holding Corp. (Commercial Svs. & Supplies) | 55,630 | 917,895 | ||||||||||
Dycom Industries, Inc. (Construction & Engineering) | (a | ) | 6,800 | 642,668 | ||||||||
Evoqua Water Technologies Corp. (Machinery) | (a | ) | 37,034 | 759,197 | ||||||||
Healthcare Services Group, Inc. (Commercial Svs. & Supplies) | 12,493 | 539,573 | ||||||||||
John Bean Technologies Corp. (Machinery) | 10,175 | 904,558 | ||||||||||
Kratos Defense & Security Solutions, Inc. (Aerospace & Defense) | (a | ) | 70,383 | 810,108 | ||||||||
MasTec, Inc. (Construction & Engineering) | (a | ) | 11,351 | 576,063 |
Common Stocks (Continued) | Shares | Value | ||||||||||
INDUSTRIALS (continued) | ||||||||||||
Proto Labs, Inc. (Machinery) | (a | ) | 7,141 | $ | 849,422 | |||||||
TPI Composites, Inc. (Electrical Equip.) | (a | ) | 29,352 | 858,252 | ||||||||
|
| |||||||||||
9,127,495 | ||||||||||||
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INFORMATION TECHNOLOGY – 27.9% |
| |||||||||||
Asure Software, Inc. (Software) | (a | ) | 48,921 | 780,290 | ||||||||
Badger Meter, Inc. (Electronic Equip., Instr. & Comp.) | 14,752 | 659,414 | ||||||||||
Belden, Inc. (Electronic Equip., Instr. & Comp.) | 16,600 | 1,014,592 | ||||||||||
Blackline, Inc. (Software) | (a | ) | 11,200 | 486,416 | ||||||||
Carbonite, Inc. (Internet Software & Svs.) | (a | ) | 20,644 | 720,476 | ||||||||
Ciena Corp. (Communications Equip.) | (a | ) | 28,725 | 761,500 | ||||||||
Cloudera, Inc. (Internet Software & Svs.) | (a | ) | 62,903 | 857,997 | ||||||||
CommVault Systems, Inc. (Software) | (a | ) | 9,949 | 655,142 | ||||||||
Coupa Software, Inc. (Internet Software & Svs.) . | (a | ) | 5,982 | 372,320 | ||||||||
Cray, Inc. (Tech. Hardware, Storage & Periph.) | (a | ) | 30,966 | 761,763 | ||||||||
FARO Technologies, Inc. (Electronic Equip., Instr. & Comp.) | (a | ) | 14,521 | 789,216 | ||||||||
Hortonworks, Inc. (Internet Software & Svs.) | (a | ) | 53,781 | 979,890 | ||||||||
Integrated Device Technology, Inc. (Semiconductors & Equip.) | (a | ) | 28,368 | 904,372 | ||||||||
Itron, Inc. (Electronic Equip., Instr. & Comp.) | (a | ) | 15,974 | 959,239 | ||||||||
LivePerson, Inc. (Internet Software & Svs.) | (a | ) | 38,147 | 804,902 | ||||||||
Model N, Inc. (Software) | (a | ) | 52,044 | 968,018 | ||||||||
Power Integrations, Inc. (Semiconductors & Equip.) | 11,390 | 832,039 | ||||||||||
Radware Ltd. (Communications Equip.) | (a | ) | 33,743 | 853,023 | ||||||||
Rapid7, Inc. (Software) | (a | ) | 18,221 | 514,197 | ||||||||
Semtech Corp. (Semiconductors & Equip.) | (a | ) | 11,660 | 548,603 | ||||||||
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15,223,409 | ||||||||||||
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MATERIALS – 6.4% | ||||||||||||
Allegheny Technologies, Inc. (Metals & Mining) | (a | ) | 10,806 | 271,447 | ||||||||
Ferro Corp. (Chemicals) | (a | ) | 44,337 | 924,426 | ||||||||
PolyOne Corp. (Chemicals) | 21,392 | 924,562 | ||||||||||
Summit Materials, Inc. Class A (Construction Materials) | (a | ) | 30,421 | 798,551 | ||||||||
U.S. Concrete, Inc. (Construction Materials) | (a | ) | 10,735 | 563,588 | ||||||||
|
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3,482,574 | ||||||||||||
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REAL ESTATE – 3.3% | ||||||||||||
Rexford Industrial Realty, Inc. (Equity REIT) | 28,531 | 895,588 | ||||||||||
Terreno Realty Corp. (Equity REIT) | 23,725 | 893,721 | ||||||||||
|
| |||||||||||
1,789,309 | ||||||||||||
|
| |||||||||||
TELECOMMUNICATION SERVICES – 3.0% |
| |||||||||||
ORBCOMM, Inc. (Diversified Telecom. Svs.) | (a | ) | 83,272 | 841,047 | ||||||||
Vonage Holdings Corp. (Diversified Telecom. Svs.) | (a | ) | 63,155 | 814,068 | ||||||||
|
| |||||||||||
1,655,115 | ||||||||||||
|
| |||||||||||
Total Common Stocks | $ | 53,040,014 | ||||||||||
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| |||||||||||
Money Market Funds – 2.5% | Shares | Value | ||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 1,360,582 | $ | 1,360,582 | |||||||||
|
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Total Money Market Funds | $ | 1,360,582 | ||||||||||
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Total Investments – 99.9% | (b | ) | $ | 54,400,596 | ||||||||
Other Assets in Excess of Liabilities – 0.1% | 77,117 | |||||||||||
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Net Assets – 100.0% | $ | 54,477,713 | ||||||||||
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79
Ohio National Fund, Inc. | ON Bryton Growth Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
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.
80
Ohio National Fund, Inc. | ON ICON Balanced Portfolio (Unaudited) |
Objective/Strategy |
The ON ICON Balanced Portfolio (formerly 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 June 30, 2018 |
Average Annual returns | ||||
One year | 4.82% | |||
Five years | 5.88% | |||
Ten years | 5.91% |
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 0.75% per the Fund’s prospectus dated May 1, 2018. Additional information pertaining to the Portfolio’s expense ratio as of June 30, 2018 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 six-month period ended June 30, 2018, the ON ICON Balanced Portfolio returned 0.59% versus 1.12% 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. ICON uses its valuation methodology to attempt to capture industry and sector leadership themes that typically last one to two years. During the first half of 2018, the stock market finished only slightly higher than where it started, and featured both up and down movements, generally lasting four to ten weeks at a time, as well as industry and sector theme reversals. The ICON valuation methodology does not attempt to “time” rapid, short-term theme changes, like those experienced in the first half of the year. In early May, ICON’s calculation of the broad market’s fair value increased to a level that led us adjust the equity/bond allocation from 60/40 to 65/35. As the S&P Composite 1500 Index was up about 2.5% from that point in time, we believe the move helped overall performance.(1)
The fixed income portion of the Portfolio performed slightly higher than its benchmark. This relative performance was primarily due to its short duration, which generally ranged in the three to three and a half year area. The Portfolio continued to focus on credit spread risk with a particular focus on shorter duration. The Portfolio’s fixed income volatility remained relatively low. The Portfolio’s use of closed end fund arbitrage was rewarded, as several of these positions converted to open-end funds or liquidated during the period, capturing the original discount to net asset value at which they had been acquired. (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 security selection, was there anything specific regarding the Portfolio’s strategy that caused deviation from the benchmark?
A. Focusing on the equity portion of the Portfolio, the two biggest sector contributors were over-weights in the Information Technology and Health Care sectors, with positive security selection in each sector. The Portfolio held securities from only seven of the fourteen industries in the Information Technology sector and six of the ten industries in the Health Care sector. Other favorable sector positions were underweight positions in Consumer Staples and no positions from the Telecommunication Services or Real Estate sectors. (1)
Selection within equity securities and the Portfolio’s cash positions were the main cause of the Portfolio’s underperformance. The main equity detractor was the poorly performing selections within the Consumer Discretionary sector. (1)
In the fixed income portion of the Portfolio, we continued our focus on high coupon yield to call corporate securities and closed end fund event driven arbitrage. The Portfolio also increased its position in preferred stocks. The resulting short duration and positive alpha contributed positive returns to the Portfolio in an environment where many fixed income portfolios struggled to produce positive returns. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. The three biggest individual stock contributors to performance were Adobe Systems Inc., MasterCard, Inc. Class A, and Boston Scientific Corporation. The first two are from the Information Technology sector, while the third is in the Health Care sector. (1)
The three biggest detractors on an individual stock basis were Thor Industries, Inc. and D.R. Horton, Inc., from the Consumer Discretionary sector, and Masco Corp. from the Materials sector. All three stocks were victims of a similar concern, as investors feared higher interest rates would hurt sales of recreational vehicles, new homes and building materials, respectively. We believe these fears will be proven to be unfounded. (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 to help dampen the effects of potential market declines. For the six-month period, these positions detracted approximately 0.27% from the Portfolio.
(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2018. |
81 | (continued) |
Ohio National Fund, Inc. | ON ICON 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 June 30, 2018 (1) |
% of Net Assets | ||||
Common Stocks (4) | 67.7 | |||
Corporate Bonds (4) | 20.6 | |||
Closed-End Mutual Funds | 5.0 | |||
Preferred Securities (4) | 2.6 | |||
Asset-Backed / Mortgage-Backed Securities (4) | 1.9 | |||
U.S. Treasury Obligations | 0.6 | |||
Purchased Options | 0.0 | |||
Liquidating Trusts | 0.0 | |||
Money Market Funds and Other Net Assets | 1.6 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of June 30, 2018 (1) (2) (3) |
% of Net Assets | ||||||
1. | Mastercard, Inc. Class A | 2.4 | ||||
2. | Adobe Systems, Inc. | 2.2 | ||||
3. | SVB Financial Group | 2.1 | ||||
4. | JPMorgan Chase & Co. | 2.0 | ||||
5. | Visa, Inc. | 2.0 | ||||
6. | Bank of America Corp. | 2.0 | ||||
7. | Jazz Pharmaceuticals PLC | 1.7 | ||||
8. | Broadcom, Inc. | 1.6 | ||||
9. | Skyworks Solutions, Inc. | 1.6 | ||||
10. | Thermo Fisher Scientific, Inc. | 1.6 |
(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, Corporate Bonds, Preferred Securities, Asset-Backed / Mortgage Backed Securities): |
% of Net Assets | ||||
Information Technology | 22.2 | |||
Financials | 19.7 | |||
Health Care | 14.3 | |||
Consumer Discretionary | 13.9 | |||
Energy | 8.4 | |||
Industrials | 6.0 | |||
Materials | 2.6 | |||
Consumer Staples | 2.5 | |||
Real Estate | 2.3 | |||
Utilities | 0.6 | |||
Telecommunication Services | 0.3 | |||
|
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92.8 | ||||
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82
Ohio National Fund, Inc. | ON ICON Balanced Portfolio |
Schedule of Investments | June 30, 2018 (Unaudited) |
Common Stocks – 67.7% | Shares | Value | ||||||||||
CONSUMER DISCRETIONARY – 11.4% | ||||||||||||
AutoZone, Inc. (Specialty Retail) | (a | ) | 6,378 | $ | 4,279,192 | |||||||
Brunswick Corp. (Leisure Products) | 177,677 | 11,456,613 | ||||||||||
D.R. Horton, Inc. (Household Durables) | 268,813 | 11,021,333 | ||||||||||
Lowe’s Cos., Inc. (Specialty Retail) | 103,000 | 9,843,710 | ||||||||||
Magna International, Inc. (Auto Components) | 120,000 | 6,975,600 | ||||||||||
O’Reilly Automotive, Inc. (Specialty Retail) | (a | ) | 19,000 | 5,197,830 | ||||||||
Polaris Industries, Inc. (Leisure Products) | 78,645 | 9,608,846 | ||||||||||
PulteGroup, Inc. (Household Durables) | 387,157 | 11,130,764 | ||||||||||
Royal Caribbean Cruises Ltd. (Hotels, Restaurants & Leisure) | 89,570 | 9,279,452 | ||||||||||
Thor Industries, Inc. (Automobiles) | 62,255 | 6,063,014 | ||||||||||
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84,856,354 | ||||||||||||
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ENERGY – 6.0% | ||||||||||||
Cimarex Energy Co. (Oil, Gas & Consumable Fuels) | 82,000 | 8,342,680 | ||||||||||
Diamondback Energy, Inc. (Oil, Gas & Consumable Fuels) | 73,861 | 9,717,892 | ||||||||||
Marathon Petroleum Corp. (Oil, Gas & Consumable Fuels) | 102,666 | 7,203,046 | ||||||||||
Parsley Energy, Inc. Class A (Oil, Gas & Consumable Fuels) | (a | ) | 288,094 | 8,723,486 | ||||||||
SRC Energy, Inc. (Oil, Gas & Consumable Fuels) | (a | ) | 929,238 | 10,240,203 | ||||||||
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44,227,307 | ||||||||||||
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FINANCIALS – 10.8% | ||||||||||||
Bank of America Corp. (Banks) | 519,165 | 14,635,261 | ||||||||||
JPMorgan Chase & Co. (Banks) | 141,702 | 14,765,348 | ||||||||||
KeyCorp (Banks) | 358,325 | 7,001,671 | ||||||||||
Lincoln National Corp. (Insurance) | 75,000 | 4,668,750 | ||||||||||
Morgan Stanley (Capital Markets) | 163,723 | 7,760,470 | ||||||||||
PNC Financial Services Group, Inc. / The (Banks) | 33,373 | 4,508,692 | ||||||||||
Signature Bank (Banks) | (a | ) | 91,584 | 11,711,762 | ||||||||
SVB Financial Group (Banks) | (a | ) | 52,369 | 15,122,073 | ||||||||
|
| |||||||||||
80,174,027 | ||||||||||||
|
| |||||||||||
HEALTH CARE – 12.2% | ||||||||||||
AbbVie, Inc. (Biotechnology) | 76,704 | 7,106,626 | ||||||||||
Celgene Corp. (Biotechnology) | (a | ) | 92,226 | 7,324,589 | ||||||||
Cigna Corp. (Health Care Providers & Svs.) | 55,200 | 9,381,240 | ||||||||||
HCA Healthcare, Inc. (Health Care Providers & Svs.) | 60,000 | 6,156,000 | ||||||||||
Jazz Pharmaceuticals PLC (Pharmaceuticals) | (a | ) | 73,427 | 12,651,472 | ||||||||
Ligand Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 35,504 | 7,355,364 | ||||||||
PerkinElmer, Inc. (Life Sciences Tools & Svs.) | 108,577 | 7,951,094 | ||||||||||
PRA Health Sciences, Inc. (Life Sciences Tools & Svs.) | (a | ) | 109,410 | 10,214,517 | ||||||||
Teleflex, Inc. (Health Care Equip. & Supplies) | 37,579 | 10,079,063 | ||||||||||
Thermo Fisher Scientific, Inc. (Life Sciences Tools & Svs.) | 57,629 | 11,937,271 | ||||||||||
|
| |||||||||||
90,157,236 | ||||||||||||
|
| |||||||||||
INDUSTRIALS – 5.5% | ||||||||||||
Air Lease Corp. (Trading Companies & Distributors) | 119,621 | 5,020,494 | ||||||||||
Canadian Pacific Railway Ltd. (Road & Rail) | 42,418 | 7,763,342 | ||||||||||
Johnson Controls International PLC (Building Products) | 170,000 | 5,686,500 | ||||||||||
Masco Corp. (Building Products) | 316,337 | 11,837,331 | ||||||||||
Union Pacific Corp. (Road & Rail) | 76,165 | 10,791,057 | ||||||||||
|
| |||||||||||
41,098,724 | ||||||||||||
|
| |||||||||||
INFORMATION TECHNOLOGY – 19.7% | ||||||||||||
Adobe Systems, Inc. (Software) | (a | ) | 66,821 | 16,291,628 | ||||||||
Alphabet, Inc. Class C (Internet Software & Svs.) | (a | ) | 5,276 | 5,886,169 | ||||||||
Broadcom, Inc. (Semiconductors & Equip.) | 50,000 | 12,132,000 | ||||||||||
CDK Global, Inc. (Software) | 178,927 | 11,639,201 | ||||||||||
Cognizant Technology Solutions Corp. Class A (IT Svs.) | 146,285 | 11,555,052 | ||||||||||
Electronic Arts, Inc. (Software) | (a | ) | 65,021 | 9,169,262 | ||||||||
Facebook, Inc. Class A (Internet Software & Svs.) | (a | ) | 40,000 | 7,772,800 | ||||||||
Logitech International SA (Tech. Hardware, Storage & Periph.) | 197,510 | 8,670,689 | ||||||||||
LogMeIn, Inc. (Internet Software & Svs.) | 69,998 | 7,227,294 | ||||||||||
Mastercard, Inc. Class A (IT Svs.) | 91,600 | 18,001,232 | ||||||||||
Monolithic Power Systems, Inc. (Semiconductors & Equip.) | 82,793 | 11,066,940 | ||||||||||
Skyworks Solutions, Inc. (Semiconductors & Equip.) | 124,210 | 12,004,897 | ||||||||||
Visa, Inc. (IT Svs.) | 111,400 | 14,754,930 | ||||||||||
|
| |||||||||||
146,172,094 | ||||||||||||
|
| |||||||||||
MATERIALS – 2.1% | ||||||||||||
Eagle Materials, Inc. (Construction Materials) | 74,743 | 7,845,773 | ||||||||||
Graphic Packaging Holding Co. (Containers & Packaging) | 544,350 | 7,898,518 | ||||||||||
|
| |||||||||||
15,744,291 | ||||||||||||
|
| |||||||||||
Total Common Stocks (Cost $437,630,926) | $ | 502,430,033 | ||||||||||
|
|
83 | (continued) |
Ohio National Fund, Inc. | ON ICON Balanced Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
Corporate Bonds – 20.6% | Rate | Maturity | Face Amount | Value | ||||||||||||||||
CONSUMER DISCRETIONARY – 2.5% | ||||||||||||||||||||
Lee Enterprises, Inc. (Media) | (b | ) | 9.500 | % | 03/15/2022 | $ | 4,680,000 | $ | 4,884,750 | |||||||||||
Penske Automotive Group, Inc. (Specialty Retail) | 5.750 | % | 10/01/2022 | 1,090,000 | 1,103,625 | |||||||||||||||
Reliance Intermediate Holdings LP (Specialty Retail) | (b | ) | 6.500 | % | 04/01/2023 | 8,232,000 | 8,560,251 | |||||||||||||
William Carter Co. / The (Textiles, Apparel & Luxury Goods) | 5.250 | % | 08/15/2021 | 695,000 | 703,688 | |||||||||||||||
William Lyon Homes, Inc. (Textiles, Apparel & Luxury Goods) | 7.000 | % | 08/15/2022 | 3,250,000 | 3,310,937 | |||||||||||||||
|
| |||||||||||||||||||
18,563,251 | ||||||||||||||||||||
|
| |||||||||||||||||||
CONSUMER STAPLES – 2.5% | ||||||||||||||||||||
Central Garden & Pet Co. (Household Products) | 6.125 | % | 11/15/2023 | 4,229,000 | 4,371,729 | |||||||||||||||
Darling Ingredients, Inc. (Food Products) | 5.375 | % | 01/15/2022 | 3,000,000 | 3,037,500 | |||||||||||||||
Kraft Heinz Foods Co. (Food Products) | (b | ) | 4.875 | % | 02/15/2025 | 10,759,000 | 10,966,774 | |||||||||||||
|
| |||||||||||||||||||
18,376,003 | ||||||||||||||||||||
|
| |||||||||||||||||||
ENERGY – 2.4% | ||||||||||||||||||||
Andeavor Logistics LP / Tesoro Logistics Finance Corp. (Oil, Gas & Consumable Fuels) | 6.250 | % | 10/15/2022 | 7,248,000 | 7,507,981 | |||||||||||||||
Andeavor Logistics LP / Tesoro Logistics Finance Corp. (Oil, Gas & Consumable Fuels) | 6.375 | % | 05/01/2024 | 3,845,000 | 4,104,538 | |||||||||||||||
Continental Resources, Inc. (Oil, Gas & Consumable Fuels) | 5.000 | % | 09/15/2022 | 1,630,000 | 1,654,548 | |||||||||||||||
MPLX LP (Oil, Gas & Consumable Fuels) | 5.500 | % | 02/15/2023 | 4,915,000 | 5,007,893 | |||||||||||||||
|
| |||||||||||||||||||
18,274,960 | ||||||||||||||||||||
|
| |||||||||||||||||||
FINANCIALS – 5.8% | ||||||||||||||||||||
Citigroup, Inc. (Banks) | 6.875 | % | 06/01/2025 | 2,250,000 | 2,577,711 | |||||||||||||||
Delphi Financial Group, Inc. (Insurance) | 7.875 | % | 01/31/2020 | 6,140,000 | 6,550,986 | |||||||||||||||
Enova International, Inc. (Consumer Finance) | 9.750 | % | 06/01/2021 | 1,500,000 | 1,578,750 | |||||||||||||||
GFI Group, Inc. (Capital Markets) | 8.375 | % | 07/19/2018 | 3,850,000 | 3,850,000 | |||||||||||||||
Nationwide Mutual Insurance Co. (Insurance) | (b | ) | 7.875 | % | 04/01/2033 | 6,000,000 | 8,097,244 | |||||||||||||
ProAssurance Corp. (Insurance) | 5.300 | % | 11/15/2023 | 5,063,000 | 5,337,919 | |||||||||||||||
Radian Group, Inc. (Thrifts & Mortgage Finance) | 5.500 | % | 06/01/2019 | 1,266,000 | 1,277,078 | |||||||||||||||
RBC U.S.A. Holdco Corp. (Banks) | 5.250 | % | 09/15/2020 | 1,500,000 | 1,565,828 | |||||||||||||||
SAFG Retirement Services, Inc. (Diversified Financial Svs.) | 8.125 | % | 04/28/2023 | 7,600,000 | 8,828,475 | |||||||||||||||
Willis North America, Inc. (Insurance) | 7.000 | % | 09/29/2019 | 3,000,000 | 3,130,657 | |||||||||||||||
|
| |||||||||||||||||||
42,794,648 | ||||||||||||||||||||
|
| |||||||||||||||||||
HEALTH CARE – 2.1% | ||||||||||||||||||||
Becton Dickinson and Co. (Health Care Equip. & Supplies) | 3.875 | % | 05/15/2024 | 3,000,000 | 2,952,705 | |||||||||||||||
Catholic Health Initiatives (Health Care Providers & Svs.) | 2.950 | % | 11/01/2022 | 4,000,000 | 3,861,118 | |||||||||||||||
Centene Corp. (Health Care Providers & Svs.) | 5.625 | % | 02/15/2021 | 510,000 | 520,774 | |||||||||||||||
Hill-Rom Holdings, Inc. (Health Care Equip. & Supplies) | (b | ) | 5.750 | % | 09/01/2023 | 2,190,000 | 2,228,325 | |||||||||||||
Horizon Pharma, Inc. / Horizon Pharma, U.S.A., Inc. (Pharmaceuticals) | (b | ) | 8.750 | % | 11/01/2024 | 2,500,000 | 2,684,375 | |||||||||||||
Molina Healthcare, Inc. (Health Care Providers & Svs.) | 5.375 | % | 11/15/2022 | 3,500,000 | 3,521,875 | |||||||||||||||
|
| |||||||||||||||||||
15,769,172 | ||||||||||||||||||||
|
| |||||||||||||||||||
INDUSTRIALS – 0.4% | ||||||||||||||||||||
Covanta Holding Corp. (Commercial Svs. & Supplies) | 6.375 | % | 10/01/2022 | 1,022,000 | 1,043,717 | |||||||||||||||
EnPro Industries, Inc. (Machinery) | 5.875 | % | 09/15/2022 | 470,000 | 479,400 | |||||||||||||||
XPO Logistics, Inc. (Air Freight & Logistics) | (b | ) | 6.500 | % | 06/15/2022 | 1,400,000 | 1,435,000 | |||||||||||||
|
| |||||||||||||||||||
2,958,117 | ||||||||||||||||||||
|
| |||||||||||||||||||
INFORMATION TECHNOLOGY – 2.5% | ||||||||||||||||||||
Activision Blizzard, Inc. (Software) | (b | ) | 6.125 | % | 09/15/2023 | 8,000,000 | 8,288,806 | |||||||||||||
Amkor Technology, Inc. (Semiconductors & Equip.) | 6.375 | % | 10/01/2022 | 3,500,000 | 3,561,250 | |||||||||||||||
NXP BV / NXP Funding LLC (Semiconductors & Equip.) | (b | ) | 4.625 | % | 06/01/2023 | 6,515,000 | 6,591,226 | |||||||||||||
|
| |||||||||||||||||||
18,441,282 | ||||||||||||||||||||
|
| |||||||||||||||||||
MATERIALS – 0.5% | ||||||||||||||||||||
Hecla Mining Co. (Metals & Mining) | 6.875 | % | 05/01/2021 | 550,000 | 555,825 | |||||||||||||||
Mercer International, Inc. (Paper & Forest Products) | 7.750 | % | 12/01/2022 | 188,000 | 197,400 | |||||||||||||||
Standard Industries, Inc. (Construction Materials) | (b | ) | 5.500 | % | 02/15/2023 | 1,185,000 | 1,207,219 | |||||||||||||
Teck Resources Ltd. (Metals & Mining) | (b | ) | 8.500 | % | 06/01/2024 | 1,750,000 | 1,918,437 | |||||||||||||
|
| |||||||||||||||||||
3,878,881 | ||||||||||||||||||||
|
| |||||||||||||||||||
REAL ESTATE – 1.0% | ||||||||||||||||||||
Iron Mountain, Inc. (Equity REIT) | 5.750 | % | 08/15/2024 | 2,534,000 | 2,495,990 | |||||||||||||||
Select Income REIT (Equity REIT) | 4.500 | % | 02/01/2025 | 4,850,000 | 4,713,585 | |||||||||||||||
|
| |||||||||||||||||||
7,209,575 | ||||||||||||||||||||
|
| |||||||||||||||||||
TELECOMMUNICATION SERVICES – 0.3% | ||||||||||||||||||||
Level 3 Parent, LLC (Diversified Telecom. Svs.) | 5.750 | % | 12/01/2022 | 2,058,000 | 2,058,000 | |||||||||||||||
|
|
84 | (continued) |
Ohio National Fund, Inc. | ON ICON Balanced Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||
UTILITIES – 0.6% | ||||||||||||||||
DPL, Inc. (Electric Utilities) | 6.750 | % | 10/01/2019 | $ | 1,980,000 | $ | 2,041,875 | |||||||||
Vistra Energy Corp. (Ind. Power & Renewable Elec.) | 7.625 | % | 11/01/2024 | 2,200,000 | 2,345,750 | |||||||||||
|
| |||||||||||||||
4,387,625 | ||||||||||||||||
|
| |||||||||||||||
Total Corporate Bonds (Cost $156,466,021) | $ | 152,711,514 | ||||||||||||||
|
|
Closed-End Mutual Funds – 5.0% | Shares | Value | ||||||
Asia Pacific Fund, Inc. / The | 147,143 | $ | 2,036,459 | |||||
BlackRock Enhanced Government Fund, Inc. | 146,223 | 1,895,050 | ||||||
BlackRock Income Trust, Inc. | 1,004,020 | 5,853,437 | ||||||
Deutsche Multi-Market Income Trust | 645,668 | 5,688,335 | ||||||
Deutsche Strategic Income Trust | 122,406 | 1,503,146 | ||||||
Duff & Phelps Utility and Corporate Bond Trust, Inc. | 13,649 | 119,292 | ||||||
Eaton Vance High Income 2021 Target Term Trust | 171,801 | 1,663,034 | ||||||
Invesco High Income Trust II | 51,672 | 697,055 | ||||||
Madison Covered Call & Equity Strategy Fund | 462,812 | 3,447,949 | ||||||
Madison Strategic Sector Premium Fund | 81,384 | 958,704 | ||||||
Managed Duration Investment Grade Municipal Fund | 91,600 | 1,313,544 | ||||||
Nuveen Build America Bond Fund | 55,342 | 1,140,599 | ||||||
Nuveen Build America Bond Opportunity Fund | 52,125 | 1,145,186 | ||||||
Nuveen High Income December 2018 Target Term Fund | 522,940 | 5,166,647 | ||||||
Nuveen High Income December 2019 Target Term Fund | 355,525 | 3,494,811 | ||||||
Nuveen High Income November 2021 Target Term Fund | 27,232 | 260,338 | ||||||
Nuveen Mortgage Opportunity Term Fund 2 | 29,980 | 679,946 | ||||||
|
| |||||||
Total Closed-End Mutual Funds (Cost $37,412,906) | $ | 37,063,532 | ||||||
|
|
Preferred Securities – 2.6% | Rate | Quantity | Value | |||||||||||||||||
FINANCIALS – 1.3% | ||||||||||||||||||||
Argo Group U.S., Inc. (Insurance) | 6.500% | 269,885 | $ | 6,830,789 | ||||||||||||||||
Cabco Series 2004-101 Trust Goldman Sachs Capital I (Interest Rate Floor: 3.25%, Cap: 8.25%) (Diversified Financial Svs.) | (c | ) | QL + 85 | 102,800 | 2,307,860 | |||||||||||||||
GMAC Capital Trust I (Consumer Finance) | (c | ) | QL + 579 | 29,472 | 775,114 | |||||||||||||||
|
| |||||||||||||||||||
9,913,763 | ||||||||||||||||||||
|
| |||||||||||||||||||
REAL ESTATE – 1.3% | ||||||||||||||||||||
Equity Commonwealth (Equity REIT) | 6.500% | 136,440 | 3,555,627 | |||||||||||||||||
Gramercy Property Trust (Acquired 10/07/2014 through 05/14/2018, Cost $5,984,862) (Equity REIT) | (d | ) | 7.125% | 230,245 | 5,813,686 | |||||||||||||||
|
| |||||||||||||||||||
9,369,313 | ||||||||||||||||||||
|
| |||||||||||||||||||
Total Preferred Securities(Cost $19,487,545) | $ | 19,283,076 | ||||||||||||||||||
|
| |||||||||||||||||||
Asset-Backed / Mortgage-Backed Securities – 1.9% | Rate | Maturity | Face Amount | Value | ||||||||||||||||
FINANCIALS – 1.8% | ||||||||||||||||||||
New Residential Mortgage Loan Trust 2016-3A B3C (Acquired 10/13/2016, Cost $7,701,302) | (b)(d) | 4.000% | 09/25/2056 | $ | 7,587,490 | $ | 7,336,589 | |||||||||||||
SMB Private Education Loan Trust 2014-A C (Acquired 03/08/2018, Cost $6,031,250) | (b)(d) | 4.500% | 09/15/2045 | 6,250,000 | 6,044,308 | |||||||||||||||
|
| |||||||||||||||||||
13,380,897 | ||||||||||||||||||||
|
| |||||||||||||||||||
INDUSTRIALS – 0.1% | ||||||||||||||||||||
UAL 2007-1 Class B Pass Through Trust | 7.336% | 07/02/2019 | 825,750 | 850,523 | ||||||||||||||||
|
| |||||||||||||||||||
Total Asset-Backed / Mortgage-Backed Securities (Cost $14,582,338) | $ | 14,231,420 | ||||||||||||||||||
|
|
U.S. Treasury Obligations – 0.6% | Rate | Maturity | Face Amount | Value | ||||||||||||||||||||
U.S. Treasury Note | 2.250 | % | 02/15/2027 | $ | 4,500,000 | $ | 4,293,105 | |||||||||||||||||
|
| |||||||||||||||||||||||
Total U.S. Treasury Obligations (Cost $4,459,306) | $ | 4,293,105 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||
Purchased Options – 0.0% | Notional Amount | Expiration | Exercise Price | Contracts (e) | Value | |||||||||||||||||||
S&P 500 Index Put Option | $ | 52,192,704 | August 2018 | $2,550 | 192 | $ | 409,920 | |||||||||||||||||
|
| |||||||||||||||||||||||
Total Purchased Options (Cost $392,893) | $ | 409,920 | ||||||||||||||||||||||
|
| |||||||||||||||||||||||
Liquidating Trusts – 0.0% | Shares | Value | ||||||||||||||||||||||
BHL Liquidating Trust | (a)(d)(f) | 225,251 | $ | 3,379 | ||||||||||||||||||||
|
| |||||||||||||||||||||||
Total Liquidating Trusts (Cost $0) | $ | 3,379 | ||||||||||||||||||||||
|
|
85 | (continued) |
Ohio National Fund, Inc. | ON ICON Balanced Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
Money Market Funds – 1.3% | Shares | Value | ||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 9,563,760 | $ | 9,563,760 | |||||||||
|
| |||||||||||
Total Money Market Funds (Cost $9,564,680) | $ | 9,563,760 | ||||||||||
|
| |||||||||||
Total Investments – 99.7% (Cost $679,996,615) | (g | ) | $ | 739,989,739 | ||||||||
Other Assets in Excess of Liabilities – 0.3% | 2,135,998 | |||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 742,125,737 | ||||||||||
|
|
Percentages are stated as a percent of net assets.
Abbreviations:
QL: Quarterly U.S. LIBOR Rate, 2.336% on 06/30/2018
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 June 30, 2018, the value of these securities totaled $70,243,304, or 9.5% 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, including interest rate caps and floors, if any, are those in effect at June 30, 2018. |
(d) | Represents a security deemed to be illiquid. At June 30, 2018, the value of illiquid securities in the Portfolio totaled $19,197,962, or 2.6% of the Portfolio’s net assets. |
(e) | 100 shares per contract. |
(f) | 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. |
(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.
86
Ohio National Fund, Inc. | ON S&P MidCap 400® Index Portfolio (Unaudited) |
Objective/Strategy |
The ON S&P MidCap 400® Index Portfolio (formerly 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 June 30, 2018 |
Average Annual returns | ||||
One year | 12.77% | |||
Five years | 10.36% | |||
Ten years | 6.60% |
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 0.71% per the Fund’s prospectus dated May 1, 2018. Additional information pertaining to the Portfolio’s expense ratio as of June 30, 2018 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 six-month period ended June 30, 2018, the ON S&P MidCap 400® Index Portfolio returned 3.21% versus 3.49% 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&P Midcap 400® Index. There were no material market events or changes in strategy for the period that impacted the Portfolio’s relative return. Sources of variance were related to the cumulative impact of investing the day-to-day cash flows in the Portfolio. (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. There was no impact from either sector or stock selection that caused any significant performance variance between the Portfolio and its benchmark.(1)
Health Care contributed the most to the benchmark return, followed by Information Technology and Energy. Only three sectors had negative returns for the period: Industrials, Materials, and Telecommunication Services. (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 ABIOMED, Inc., Bioverative, Inc., and Domino’s Pizza, Inc. These top three contributors made up just over 1% of the Portfolio’s return. The largest detractors from the Portfolio and benchmark returns for the period were Coherent, Inc., Cognex Corp., and ManpowerGroup, Inc. (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)
Q. Were there any significant changes to the Portfolio’s management team, investment strategy, or selection process during the reporting period?
A. The portfolio management team added two new members during the period, bringing the total team to a staff of eight. There were no material changes to the investment strategy or stock selection process during this reporting period.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2018. |
87 | (continued) |
Ohio National Fund, Inc. | ON S&P MidCap 400® Index 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 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.
Portfolio Composition as of June 30, 2018 (1) |
% of Net Assets | ||||
Common Stocks (4) | 99.7 | |||
Money Market Funds and | ||||
Other Net Assets | 0.3 | |||
| ||||
100.0 | ||||
| ||||
Top 10 Portfolio Holdings as of June 30, 2018 (1) (2) (3) |
% of Net Assets | ||||||
1. | Teleflex, Inc. | 0.7 | ||||
2. | Domino’s Pizza, Inc. | 0.7 | ||||
3. | Keysight Technologies, Inc. | 0.6 | ||||
4. | WellCare Health Plans, Inc. | 0.6 | ||||
5. | Steel Dynamics, Inc. | 0.6 | ||||
6. | PTC, Inc. | 0.6 | ||||
7. | IDEX Corp. | 0.6 | ||||
8. | Old Dominion Freight Line, Inc. | 0.6 | ||||
9. | Jack Henry & Associates, Inc. | 0.6 | ||||
10. | Lamb Weston 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 (Common Stocks): |
% of Net Assets | ||||
Financials | 16.5 | |||
Information Technology | 16.1 | |||
Industrials | 14.4 | |||
Consumer Discretionary | 13.0 | |||
Real Estate | 9.6 | |||
Health Care | 9.3 | |||
Materials | 7.0 | |||
Energy | 5.3 | |||
Utilities | 4.9 | |||
Consumer Staples | 3.5 | |||
Telecommunication Services | 0.1 | |||
|
| |||
99.7 | ||||
|
|
88
Ohio National Fund, Inc. | ON S&P MidCap 400® Index Portfolio |
Schedule of Investments | June 30, 2018 (Unaudited) |
Common Stocks – 99.7% | Shares | Value | ||||||||||
CONSUMER DISCRETIONARY – 13.0% |
| |||||||||||
Aaron’s, Inc. (Specialty Retail) | 3,034 | $ | 131,827 | |||||||||
Adtalem Global Education, Inc. (Diversified Consumer Svs.) | (a | ) | 2,952 | 141,991 | ||||||||
AMC Networks, Inc. Class A (Media) | (a | ) | 2,253 | 140,137 | ||||||||
American Eagle Outfitters, Inc. (Specialty Retail) | 8,237 | 191,510 | ||||||||||
AutoNation, Inc. (Specialty Retail) | (a | ) | 2,901 | 140,931 | ||||||||
Bed Bath & Beyond, Inc. (Specialty Retail) | 6,879 | 137,064 | ||||||||||
Big Lots, Inc. (Multiline Retail) | 2,068 | 86,401 | ||||||||||
Boyd Gaming Corp. (Hotels, Restaurants & Leisure) | 4,026 | 139,541 | ||||||||||
Brinker International, Inc. (Hotels, Restaurants & Leisure) | 2,149 | 102,292 | ||||||||||
Brunswick Corp. (Leisure Products) | 4,279 | 275,910 | ||||||||||
Cable One, Inc. (Media) | 231 | 169,390 | ||||||||||
Carter’s, Inc. (Textiles, Apparel & Luxury Goods) | 2,305 | 249,839 | ||||||||||
Cheesecake Factory, Inc. / The (Hotels, Restaurants & Leisure) | 2,089 | 115,020 | ||||||||||
Churchill Downs, Inc. (Hotels, Restaurants & Leisure) | 558 | 165,447 | ||||||||||
Cinemark Holdings, Inc. (Media) | 5,218 | 183,047 | ||||||||||
Cracker Barrel Old Country Store, Inc. (Hotels, Restaurants & Leisure) | 1,179 | 184,172 | ||||||||||
Dana, Inc. (Auto Components) | 7,145 | 144,258 | ||||||||||
Deckers Outdoor Corp. (Textiles, Apparel & Luxury Goods) | (a | ) | 1,494 | 168,658 | ||||||||
Delphi Technologies PLC (Auto Components) | 4,358 | 198,115 | ||||||||||
Dick’s Sporting Goods, Inc. (Specialty Retail) | 3,819 | 134,620 | ||||||||||
Dillard’s, Inc. Class A (Multiline Retail) | 972 | 91,854 | ||||||||||
Domino’s Pizza, Inc. (Hotels, Restaurants & Leisure) | 2,075 | 585,503 | ||||||||||
Dunkin’ Brands Group, Inc. (Hotels, Restaurants & Leisure) | 4,073 | 281,322 | ||||||||||
Five Below, Inc. (Specialty Retail) | (a | ) | 2,730 | 266,748 | ||||||||
Gentex Corp. (Auto Components) | 13,440 | 309,389 | ||||||||||
Graham Holdings Co. Class B (Diversified Consumer Svs.) | 216 | 126,598 | ||||||||||
Helen of Troy Ltd. (Household Durables) | (a | ) | 1,305 | 128,477 | ||||||||
ILG, Inc. (Hotels, Restaurants & Leisure) | 5,188 | 171,360 | ||||||||||
International Speedway Corp. Class A (Hotels, Restaurants & Leisure) | 1,197 | 53,506 | ||||||||||
Jack in the Box, Inc. (Hotels, Restaurants & Leisure) | 1,394 | 118,657 | ||||||||||
John Wiley & Sons, Inc. Class A (Media) | 2,200 | 137,280 | ||||||||||
KB Home (Household Durables) | 4,139 | 112,746 | ||||||||||
Live Nation Entertainment, Inc. (Media) | (a | ) | 6,664 | 323,670 | ||||||||
Meredith Corp. (Media) | 1,949 | 99,399 | ||||||||||
Michaels Cos., Inc. / The (Specialty Retail) | (a | ) | 5,443 | 104,342 | ||||||||
Murphy U.S.A., Inc. (Specialty Retail) | (a | ) | 1,515 | 112,549 | ||||||||
New York Times Co. / The Class A (Media) | 6,284 | 162,756 | ||||||||||
NVR, Inc. (Household Durables) | (a | ) | 165 | 490,108 | ||||||||
Ollie’s Bargain Outlet Holdings, Inc. (Multiline Retail) | (a | ) | 2,450 | 177,625 | ||||||||
Papa John’s International, Inc. (Hotels, Restaurants & Leisure) | 1,152 | 58,429 | ||||||||||
Polaris Industries, Inc. (Leisure Products) | 2,882 | 352,123 | ||||||||||
Pool Corp. (Distributors) | 1,987 | 301,030 | ||||||||||
Sally Beauty Holdings, Inc. (Specialty Retail) | (a | ) | 5,984 | 95,924 | ||||||||
Scientific Games Corp. (Hotels, Restaurants & Leisure) | (a | ) | 2,624 | 128,970 | ||||||||
Service Corp. International (Diversified Consumer Svs.) | 9,001 | 322,146 | ||||||||||
Signet Jewelers Ltd. (Specialty Retail) | 2,897 | 161,508 | ||||||||||
Six Flags Entertainment Corp. (Hotels, Restaurants & Leisure) | 3,814 | 267,171 | ||||||||||
Skechers U.S.A., Inc. Class A (Textiles, Apparel & Luxury Goods) | (a | ) | 6,667 | 200,077 | ||||||||
Sotheby’s (Diversified Consumer Svs.) | (a | ) | 1,803 | 97,975 | ||||||||
TEGNA, Inc. (Media) | 10,571 | 114,695 |
Common Stocks (Continued) | Shares | Value | ||||||||||
CONSUMER DISCRETIONARY (continued) |
| |||||||||||
Tempur Sealy International, Inc. (Household Durables) | (a | ) | 2,266 | $ | 108,881 | |||||||
Texas Roadhouse, Inc. (Hotels, Restaurants & Leisure) | 3,226 | 211,335 | ||||||||||
Thor Industries, Inc. (Automobiles) | 2,406 | 234,320 | ||||||||||
Toll Brothers, Inc. (Household Durables) | 6,937 | 256,600 | ||||||||||
TRI Pointe Group, Inc. (Household Durables) | (a | ) | 7,446 | 121,817 | ||||||||
Tupperware Brands Corp. (Household Durables) | 2,505 | 103,306 | ||||||||||
Urban Outfitters, Inc. (Specialty Retail) | (a | ) | 3,943 | 175,661 | ||||||||
Wendy’s Co. / The (Hotels, Restaurants & Leisure) | 8,793 | 151,064 | ||||||||||
Williams-Sonoma, Inc. (Specialty Retail) | 3,759 | 230,727 | ||||||||||
Wyndham Destinations, Inc. (Hotels, Restaurants & Leisure) | 4,900 | 216,923 | ||||||||||
Wyndham Hotels & Resorts, Inc. (Hotels, Restaurants & Leisure) | 4,897 | 288,090 | ||||||||||
|
| |||||||||||
11,252,831 | ||||||||||||
|
| |||||||||||
CONSUMER STAPLES – 3.5% |
| |||||||||||
Boston Beer Co., Inc. / The Class A (Beverages) | (a | ) | 430 | 128,871 | ||||||||
Casey’s General Stores, Inc. (Food & Staples Retailing) | 1,843 | 193,662 | ||||||||||
Edgewell Personal Care Co. (Personal Products) | (a | ) | 2,651 | 133,769 | ||||||||
Energizer Holdings, Inc. (Household Products) | 2,930 | 184,473 | ||||||||||
Flowers Foods, Inc. (Food Products) | 9,107 | 189,699 | ||||||||||
Hain Celestial Group, Inc. / The (Food Products) | (a | ) | 5,103 | 152,069 | ||||||||
Ingredion, Inc. (Food Products) | 3,546 | 392,542 | ||||||||||
Lamb Weston Holdings, Inc. (Food Products) | 7,176 | 491,628 | ||||||||||
Lancaster Colony Corp. (Food Products) | 956 | 132,329 | ||||||||||
Nu Skin Enterprises, Inc. Class A (Personal Products) | 2,730 | 213,459 | ||||||||||
Post Holdings, Inc. (Food Products) | (a | ) | 3,303 | 284,124 | ||||||||
Sanderson Farms, Inc. (Food Products) | 985 | 103,573 | ||||||||||
Sprouts Farmers Market, Inc. (Food & Staples Retailing) | (a | ) | 6,012 | 132,685 | ||||||||
Tootsie Roll Industries, Inc. (Food Products) | 949 | 29,277 | ||||||||||
TreeHouse Foods, Inc. (Food Products) | (a | ) | 2,766 | 145,243 | ||||||||
United Natural Foods, Inc. (Food & Staples Retailing) | (a | ) | 2,471 | 105,413 | ||||||||
|
| |||||||||||
3,012,816 | ||||||||||||
|
| |||||||||||
ENERGY – 5.3% | ||||||||||||
Apergy Corp. (Energy Equip. & Svs.) | (a | ) | 3,799 | 158,608 | ||||||||
Callon Petroleum Co. (Oil, Gas & Consumable Fuels) | (a | ) | 10,989 | 118,022 | ||||||||
Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels) | (a | ) | 44,756 | 234,521 | ||||||||
CNX Resources Corp. (Oil, Gas & Consumable Fuels) | (a | ) | 9,627 | 171,168 | ||||||||
Core Laboratories N.V. (Energy Equip. & Svs.) | 2,165 | 273,245 | ||||||||||
Diamond Offshore Drilling, Inc. (Energy Equip. & Svs.) | (a | ) | 3,166 | 66,043 | ||||||||
Dril-Quip, Inc. (Energy Equip. & Svs.) | (a | ) | 1,875 | 96,375 | ||||||||
Energen Corp. (Oil, Gas & Consumable Fuels) | (a | ) | 4,782 | 348,225 | ||||||||
Ensco PLC Class A (Energy Equip. & Svs.) | 21,456 | 155,771 | ||||||||||
Gulfport Energy Corp. (Oil, Gas & Consumable Fuels) | (a | ) | 7,660 | 96,286 | ||||||||
Matador Resources Co. (Oil, Gas & Consumable Fuels) | (a | ) | 5,080 | 152,654 | ||||||||
McDermott International, Inc. (Energy Equip. & Svs.) | (a | ) | 8,826 | 173,431 | ||||||||
Murphy Oil Corp. (Oil, Gas & Consumable Fuels) | 7,985 | 269,654 | ||||||||||
Nabors Industries Ltd. (Energy Equip. & Svs.) | 17,273 | 110,720 | ||||||||||
Oasis Petroleum, Inc. (Oil, Gas & Consumable Fuels) | (a | ) | 13,083 | 169,687 | ||||||||
Oceaneering International, Inc. (Energy Equip. & Svs.) | 4,837 | 123,150 | ||||||||||
Patterson-UTI Energy, Inc. (Energy Equip. & Svs.) | 10,889 | 196,002 |
89 | (continued) |
Ohio National Fund, Inc. | ON S&P MidCap 400® Index Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
Common Stocks (Continued) | Shares | Value | ||||||||||
ENERGY (continued) | ||||||||||||
PBF Energy, Inc. Class A (Oil, Gas & Consumable Fuels) | 5,508 | $ | 230,950 | |||||||||
QEP Resources, Inc. (Oil, Gas & Consumable Fuels) | (a | ) | 11,670 | 143,074 | ||||||||
Range Resources Corp. (Oil, Gas & Consumable Fuels) | 11,135 | 186,289 | ||||||||||
Rowan Cos. PLC Class A (Energy Equip. & Svs.) | (a | ) | 5,598 | 90,800 | ||||||||
SM Energy Co. (Oil, Gas & Consumable Fuels) | 5,036 | 129,375 | ||||||||||
Southwestern Energy Co. (Oil, Gas & Consumable Fuels) | (a | ) | 25,064 | 132,839 | ||||||||
Superior Energy Services, Inc. (Energy Equip. & Svs.) | (a | ) | 7,560 | 73,634 | ||||||||
Transocean Ltd. (Energy Equip. & Svs.) | (a | ) | 21,528 | 289,336 | ||||||||
World Fuel Services Corp. (Oil, Gas & Consumable Fuels) | 3,318 | 67,720 | ||||||||||
WPX Energy, Inc. (Oil, Gas & Consumable Fuels) | (a | ) | 19,614 | 353,640 | ||||||||
|
| |||||||||||
4,611,219 | ||||||||||||
|
| |||||||||||
FINANCIALS – 16.5% | ||||||||||||
Alleghany Corp. (Insurance) | 750 | 431,227 | ||||||||||
American Financial Group, Inc. (Insurance) | 3,404 | 365,351 | ||||||||||
Aspen Insurance Holdings Ltd. (Insurance) | 2,924 | 119,007 | ||||||||||
Associated Banc-Corp. (Banks) | 8,304 | 226,699 | ||||||||||
BancorpSouth Bank (Banks) | 4,021 | 132,492 | ||||||||||
Bank of Hawaii Corp. (Banks) | 2,072 | 172,846 | ||||||||||
Bank of the Ozarks (Banks) | 5,960 | 268,438 | ||||||||||
Brown & Brown, Inc. (Insurance) | 11,250 | 311,962 | ||||||||||
Cathay General Bancorp (Banks) | 3,743 | 151,554 | ||||||||||
Chemical Financial Corp. (Banks) | 3,503 | 195,012 | ||||||||||
CNO Financial Group, Inc. (Insurance) | 8,206 | 156,242 | ||||||||||
Commerce Bancshares, Inc. (Banks) | 4,600 | 297,666 | ||||||||||
Cullen / Frost Bankers, Inc. (Banks) | 2,849 | 308,376 | ||||||||||
East West Bancorp, Inc. (Banks) | 7,110 | 463,572 | ||||||||||
Eaton Vance Corp. (Capital Markets) | 5,854 | 305,520 | ||||||||||
Evercore, Inc. Class A (Capital Markets) | 1,999 | 210,795 | ||||||||||
FactSet Research Systems, Inc. (Capital Markets) | 1,908 | 377,975 | ||||||||||
Federated Investors, Inc. Class B (Capital Markets) | 4,673 | 108,974 | ||||||||||
First American Financial Corp. (Insurance) | 5,475 | 283,167 | ||||||||||
First Horizon National Corp. (Banks) | 16,083 | 286,921 | ||||||||||
FNB Corp. (Banks) | 15,937 | 213,875 | ||||||||||
Fulton Financial Corp. (Banks) | 8,614 | 142,131 | ||||||||||
Genworth Financial, Inc. Class A (Insurance) | (a | ) | 24,467 | 110,102 | ||||||||
Hancock Whitney Corp. (Banks) | 4,187 | 195,324 | ||||||||||
Hanover Insurance Group, Inc. / The (Insurance). | 2,088 | 249,641 | ||||||||||
Home BancShares, Inc. (Banks) | 7,747 | 174,772 | ||||||||||
Interactive Brokers Group, Inc. Class A (Capital Markets) | 3,505 | 225,757 | ||||||||||
International Bancshares Corp. (Banks) | 2,657 | 113,720 | ||||||||||
Janus Henderson Group PLC (Capital Markets) | 8,853 | 272,053 | ||||||||||
Kemper Corp. (Insurance) | 2,403 | 181,787 | ||||||||||
Legg Mason, Inc. (Capital Markets) | 4,196 | 145,727 | ||||||||||
LendingTree, Inc. (Thrifts & Mortgage Finance) | (a | ) | 386 | 82,527 | ||||||||
MarketAxess Holdings, Inc. (Capital Markets) | 1,845 | 365,052 | ||||||||||
MB Financial, Inc. (Banks) | 4,127 | 192,731 | ||||||||||
Mercury General Corp. (Insurance) | 1,790 | 81,552 | ||||||||||
Navient Corp. (Consumer Finance) | 12,992 | 169,286 | ||||||||||
New York Community Bancorp, Inc. (Thrifts & Mortgage Finance) | 24,075 | 265,788 | ||||||||||
Old Republic International Corp. (Insurance) | 12,313 | 245,152 | ||||||||||
PacWest Bancorp (Banks) | 6,141 | 303,488 | ||||||||||
Pinnacle Financial Partners, Inc. (Banks) | 3,631 | 222,762 | ||||||||||
Primerica, Inc. (Insurance) | 2,160 | 215,136 | ||||||||||
Prosperity Bancshares, Inc. (Banks) | 3,429 | 234,406 | ||||||||||
Reinsurance Group of America, Inc. (Insurance) . | 3,167 | 422,731 | ||||||||||
RenaissanceRe Holdings Ltd. (Insurance) | 1,976 | 237,752 | ||||||||||
SEI Investments Co. (Capital Markets) | 6,438 | 402,504 | ||||||||||
Signature Bank (Banks) | (a | ) | 2,635 | 336,964 |
Common Stocks (Continued) | Shares | Value | ||||||||||
FINANCIALS (continued) | ||||||||||||
SLM Corp. (Consumer Finance) | (a | ) | 21,367 | $ | 244,652 | |||||||
Sterling Bancorp (Banks) | 11,067 | 260,075 | ||||||||||
Stifel Financial Corp. (Capital Markets) | 3,512 | 183,502 | ||||||||||
Synovus Financial Corp. (Banks) | 5,821 | 307,523 | ||||||||||
TCF Financial Corp. (Banks) | 8,257 | 203,287 | ||||||||||
Texas Capital Bancshares, Inc. (Banks) | (a | ) | 2,438 | 223,077 | ||||||||
Trustmark Corp. (Banks) | 3,322 | 108,397 | ||||||||||
UMB Financial Corp. (Banks) | 2,163 | 164,885 | ||||||||||
Umpqua Holdings Corp. (Banks) | 10,806 | 244,108 | ||||||||||
United Bankshares, Inc. (Banks) | 5,164 | 187,970 | ||||||||||
Valley National Bancorp (Banks) | 12,989 | 157,946 | ||||||||||
W.R. Berkley Corp. (Insurance) | 4,717 | 341,558 | ||||||||||
Washington Federal, Inc. (Thrifts & Mortgage Finance) | 4,140 | 135,378 | ||||||||||
Webster Financial Corp. (Banks) | 4,520 | 287,924 | ||||||||||
Wintrust Financial Corp. (Banks) | 2,762 | 240,432 | ||||||||||
|
| |||||||||||
14,267,230 | ||||||||||||
|
| |||||||||||
HEALTH CARE – 9.3% | ||||||||||||
Acadia Healthcare Co., Inc. (Health Care Providers & Svs.) | (a | ) | 4,029 | 164,826 | ||||||||
Akorn, Inc. (Pharmaceuticals) | (a | ) | 4,605 | 76,397 | ||||||||
Allscripts Healthcare Solutions, Inc. (Health Care Technology) | (a | ) | 8,722 | 104,664 | ||||||||
Avanos Medical, Inc. (Health Care Equip. & Supplies) | (a | ) | 2,304 | 131,904 | ||||||||
Bio-Rad Laboratories, Inc. Class A (Life Sciences Tools & Svs.) | (a | ) | 994 | 286,809 | ||||||||
Bio-Techne Corp. (Life Sciences Tools & Svs.) | 1,844 | 272,820 | ||||||||||
Cantel Medical Corp. (Health Care Equip. & Supplies) | 1,740 | 171,146 | ||||||||||
Catalent, Inc. (Pharmaceuticals) | (a | ) | 6,548 | 274,296 | ||||||||
Charles River Laboratories International, Inc. (Life Sciences Tools & Svs.) | (a | ) | 2,352 | 264,036 | ||||||||
Chemed Corp. (Health Care Providers & Svs.) | 782 | 251,655 | ||||||||||
Encompass Health Corp. (Health Care Providers & Svs.) | 4,851 | 328,510 | ||||||||||
Exelixis, Inc. (Biotechnology) | (a | ) | 13,842 | 297,839 | ||||||||
Globus Medical, Inc. Class A (Health Care Equip. & Supplies) | (a | ) | 3,593 | 181,303 | ||||||||
Haemonetics Corp. (Health Care Equip. & Supplies) | (a | ) | 2,562 | 229,760 | ||||||||
Hill-Rom Holdings, Inc. (Health Care Equip. & Supplies) | 3,254 | 284,204 | ||||||||||
ICU Medical, Inc. (Health Care Equip. & Supplies) | (a | ) | 748 | 219,650 | ||||||||
Integra LifeSciences Holdings Corp. (Health Care Equip. & Supplies) | (a | ) | 3,463 | 223,052 | ||||||||
LifePoint Health, Inc. (Health Care Providers & Svs.) | (a | ) | 1,901 | 92,769 | ||||||||
LivaNova PLC (Health Care Equip. & Supplies) | (a | ) | 2,140 | 213,615 | ||||||||
Mallinckrodt PLC (Pharmaceuticals) | (a | ) | 4,072 | 75,984 | ||||||||
Masimo Corp. (Health Care Equip. & Supplies) | (a | ) | 2,338 | 228,306 | ||||||||
Medidata Solutions, Inc. (Health Care Technology) | (a | ) | 2,908 | 234,268 | ||||||||
MEDNAX, Inc. (Health Care Providers & Svs.) | (a | ) | 4,639 | 200,776 | ||||||||
Molina Healthcare, Inc. (Health Care Providers & Svs.) | (a | ) | 2,331 | 228,298 | ||||||||
NuVasive, Inc. (Health Care Equip. & Supplies) | (a | ) | 2,512 | 130,925 | ||||||||
Patterson Cos., Inc. (Health Care Providers & Svs.) | 3,989 | 90,431 | ||||||||||
PRA Health Sciences, Inc. (Life Sciences Tools & Svs.) | (a | ) | 2,485 | 232,000 | ||||||||
Prestige Brands Holdings, Inc. (Pharmaceuticals) | (a | ) | 2,601 | 99,826 | ||||||||
STERIS PLC (Health Care Equip. & Supplies) | 4,153 | 436,107 | ||||||||||
Syneos Health, Inc. (Life Sciences Tools & Svs.) | (a | ) | 2,720 | 127,568 | ||||||||
Teleflex, Inc. (Health Care Equip. & Supplies) | 2,235 | 599,449 |
90 | (continued) |
Ohio National Fund, Inc. | ON S&P MidCap 400® Index Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
Common Stocks (Continued) | Shares | Value | ||||||||||
HEALTH CARE (continued) | ||||||||||||
Tenet Healthcare Corp. (Health Care Providers & Svs.) | (a | ) | 4,007 | $ | 134,515 | |||||||
United Therapeutics Corp. (Biotechnology) | (a | ) | 2,138 | 241,915 | ||||||||
WellCare Health Plans, Inc. (Health Care Providers & Svs.) | (a | ) | 2,197 | 540,989 | ||||||||
West Pharmaceutical Services, Inc. (Health Care Equip. & Supplies) | 3,612 | 358,635 | ||||||||||
|
| |||||||||||
8,029,247 | ||||||||||||
|
| |||||||||||
INDUSTRIALS – 14.4% | ||||||||||||
Acuity Brands, Inc. (Electrical Equip.) | 2,013 | 233,246 | ||||||||||
AECOM (Construction & Engineering) | (a | ) | 7,875 | 260,111 | ||||||||
AGCO Corp. (Machinery) | 3,241 | 196,794 | ||||||||||
Avis Budget Group, Inc. (Road & Rail) | (a | ) | 3,510 | 114,075 | ||||||||
Brink’s Co. / The (Commercial Svs. & Supplies) | 2,499 | 199,295 | ||||||||||
Carlisle Cos., Inc. (Industrial Conglomerates) | 2,991 | 323,955 | ||||||||||
Clean Harbors, Inc. (Commercial Svs. & Supplies) | (a | ) | 2,512 | 139,542 | ||||||||
Crane Co. (Machinery) | 2,491 | 199,604 | ||||||||||
Curtiss-Wright Corp. (Aerospace & Defense) | 2,170 | 258,273 | ||||||||||
Deluxe Corp. (Commercial Svs. & Supplies) | 2,351 | 155,660 | ||||||||||
Donaldson Co., Inc. (Machinery) | 6,368 | 287,324 | ||||||||||
Dun & Bradstreet Corp. / The (Professional Svs.) | 1,821 | 223,346 | ||||||||||
Dycom Industries, Inc. (Construction & Engineering) | (a | ) | 1,532 | 144,789 | ||||||||
EMCOR Group, Inc. (Construction & Engineering) | 2,866 | 218,332 | ||||||||||
EnerSys (Electrical Equip.) | 2,065 | 154,132 | ||||||||||
Esterline Technologies Corp. (Aerospace & Defense) | (a | ) | 1,269 | 93,652 | ||||||||
GATX Corp. (Trading Companies & Distributors) | 1,851 | 137,400 | ||||||||||
Genesee & Wyoming, Inc. Class A (Road & Rail) | (a | ) | 2,953 | 240,138 | ||||||||
Graco, Inc. (Machinery) | 8,226 | 371,980 | ||||||||||
Granite Construction, Inc. (Construction & Engineering) | 2,228 | 124,010 | ||||||||||
Healthcare Services Group, Inc. (Commercial Svs. & Supplies) | 3,620 | 156,348 | ||||||||||
Herman Miller, Inc. (Commercial Svs. & Supplies) | 2,922 | 99,056 | ||||||||||
HNI Corp. (Commercial Svs. & Supplies) | 2,134 | 79,385 | ||||||||||
Hubbell, Inc. (Electrical Equip.) | 2,693 | 284,758 | ||||||||||
IDEX Corp. (Machinery) | 3,765 | 513,847 | ||||||||||
ITT, Inc. (Machinery) | 4,289 | 224,186 | ||||||||||
JetBlue Airways Corp. (Airlines) | (a | ) | 15,536 | 294,873 | ||||||||
KBR, Inc. (Construction & Engineering) | 6,892 | 123,505 | ||||||||||
Kennametal, Inc. (Machinery) | 4,010 | 143,959 | ||||||||||
Kirby Corp. (Marine) | (a | ) | 2,637 | 220,453 | ||||||||
KLX, Inc. (Aerospace & Defense) | (a | ) | 2,491 | 179,103 | ||||||||
Knight-Swift Transportation Holdings, Inc. (Road & Rail) | 6,295 | 240,532 | ||||||||||
Landstar System, Inc. (Road & Rail) | 2,065 | 225,498 | ||||||||||
Lennox International, Inc. (Building Products) | 1,823 | 364,873 | ||||||||||
Lincoln Electric Holdings, Inc. (Machinery) | 3,028 | 265,737 | ||||||||||
ManpowerGroup, Inc. (Professional Svs.) | 3,232 | 278,146 | ||||||||||
MSA Safety, Inc. (Commercial Svs. & Supplies) | 1,673 | 161,177 | ||||||||||
MSC Industrial Direct Co., Inc. Class A (Trading Companies & Distributors) | 2,252 | 191,082 | ||||||||||
Nordson Corp. (Machinery) | 2,509 | 322,181 | ||||||||||
NOW, Inc. (Trading Companies & Distributors) | (a | ) | 5,300 | 70,649 | ||||||||
nVent Electric PLC (Electrical Equip.) | (a | ) | 7,967 | 199,972 | ||||||||
Old Dominion Freight Line, Inc. (Road & Rail) | 3,348 | 498,718 | ||||||||||
Oshkosh Corp. (Machinery) | 3,624 | 254,840 | ||||||||||
Pitney Bowes, Inc. (Commercial Svs. & Supplies) | 9,192 | 78,775 | ||||||||||
Regal Beloit Corp. (Electrical Equip.) | 2,159 | 176,606 | ||||||||||
Rollins, Inc. (Commercial Svs. & Supplies) | 4,713 | 247,810 | ||||||||||
Ryder System, Inc. (Road & Rail) | 2,607 | 187,339 | ||||||||||
Teledyne Technologies, Inc. (Aerospace & Defense) | (a | ) | 1,755 | 349,350 |
Common Stocks (Continued) | Shares | Value | ||||||||||
INDUSTRIALS (continued) | ||||||||||||
Terex Corp. (Machinery) | 3,546 | $ | 149,606 | |||||||||
Timken Co. / The (Machinery) | 3,353 | 146,023 | ||||||||||
Toro Co. / The (Machinery) | 5,204 | 313,541 | ||||||||||
Trinity Industries, Inc. (Machinery) | 7,327 | 251,023 | ||||||||||
Valmont Industries, Inc. (Construction & Engineering) | 1,106 | 166,730 | ||||||||||
Wabtec Corp. (Machinery) | 4,206 | 414,628 | ||||||||||
Watsco, Inc. (Trading Companies & Distributors) | 1,573 | 280,434 | ||||||||||
Werner Enterprises, Inc. (Road & Rail) | 2,197 | 82,497 | ||||||||||
Woodward, Inc. (Machinery) | 2,718 | 208,905 | ||||||||||
|
| |||||||||||
12,521,803 | ||||||||||||
|
| |||||||||||
INFORMATION TECHNOLOGY – 16.1% | ||||||||||||
ACI Worldwide, Inc. (Software) | (a | ) | 5,718 | 141,063 | ||||||||
Acxiom Corp. (IT Svs.) | (a | ) | 3,777 | 113,121 | ||||||||
ARRIS International PLC (Communications Equip.) | (a | ) | 8,597 | 210,154 | ||||||||
Arrow Electronics, Inc. (Electronic Equip., Instr. & Comp.) | (a | ) | 4,302 | 323,855 | ||||||||
Avnet, Inc. (Electronic Equip., Instr. & Comp.) | 5,793 | 248,462 | ||||||||||
Belden, Inc. (Electronic Equip., Instr. & Comp.) | 1,992 | 121,751 | ||||||||||
Blackbaud, Inc. (Software) | 2,382 | 244,036 | ||||||||||
Cars.com, Inc. (Internet Software & Svs.) | (a | ) | 3,523 | 100,018 | ||||||||
CDK Global, Inc. (Software) | 6,071 | 394,918 | ||||||||||
Ciena Corp. (Communications Equip.) | (a | ) | 7,043 | 186,710 | ||||||||
Cirrus Logic, Inc. (Semiconductors & Equip.) | (a | ) | 2,989 | 114,568 | ||||||||
Cognex Corp. (Electronic Equip., Instr. & Comp.) | 8,489 | 378,694 | ||||||||||
Coherent, Inc. (Electronic Equip., Instr. & Comp.) | (a | ) | 1,221 | 190,989 | ||||||||
CommVault Systems, Inc. (Software) | (a | ) | 2,073 | 136,507 | ||||||||
Convergys Corp. (IT Svs.) | 4,485 | 109,613 | ||||||||||
CoreLogic, Inc. (IT Svs.) | (a | ) | 4,007 | 207,963 | ||||||||
Cree, Inc. (Semiconductors & Equip.) | (a | ) | 4,933 | 205,065 | ||||||||
Cypress Semiconductor Corp. (Semiconductors & Equip.) | 17,581 | 273,912 | ||||||||||
Fair Isaac Corp. (Software) | (a | ) | 1,465 | 283,214 | ||||||||
First Solar, Inc. (Semiconductors & Equip.) | (a | ) | 4,010 | 211,167 | ||||||||
Fortinet, Inc. (Software) | (a | ) | 7,095 | 442,941 | ||||||||
Integrated Device Technology, Inc. (Semiconductors & Equip.) | (a | ) | 6,340 | 202,119 | ||||||||
InterDigital, Inc. (Communications Equip.) | 1,703 | 137,773 | ||||||||||
j2 Global, Inc. (Internet Software & Svs.) | 2,410 | 208,730 | ||||||||||
Jabil, Inc. (Electronic Equip., Instr. & Comp.) | 8,409 | 232,593 | ||||||||||
Jack Henry & Associates, Inc. (IT Svs.) | 3,793 | 494,455 | ||||||||||
Keysight Technologies, Inc. (Electronic Equip., Instr. & Comp.) | (a | ) | 9,172 | 541,423 | ||||||||
Leidos Holdings, Inc. (IT Svs.) | 7,002 | 413,118 | ||||||||||
Littelfuse, Inc. (Electronic Equip., Instr. & Comp.) | 1,226 | 279,749 | ||||||||||
LogMeIn, Inc. (Internet Software & Svs.) | 2,563 | 264,630 | ||||||||||
Lumentum Holdings, Inc. (Communications Equip.) | (a | ) | 3,088 | 178,795 | ||||||||
Manhattan Associates, Inc. (Software) | (a | ) | 3,276 | 154,005 | ||||||||
MAXIMUS, Inc. (IT Svs.) | 3,203 | 198,938 | ||||||||||
MKS Instruments, Inc. (Semiconductors & Equip.) | 2,684 | 256,859 | ||||||||||
Monolithic Power Systems, Inc. (Semiconductors & Equip.) | 1,905 | 254,641 | ||||||||||
National Instruments Corp. (Electronic Equip., Instr. & Comp.) | 5,280 | 221,654 | ||||||||||
NCR Corp. (Tech. Hardware, Storage & Periph.) | (a | ) | 5,809 | 174,154 | ||||||||
NetScout Systems, Inc. (Communications Equip.) | (a | ) | 3,934 | 116,840 | ||||||||
Perspecta, Inc. (IT Svs.) | 7,004 | 143,932 | ||||||||||
Plantronics, Inc. (Communications Equip.) | 1,630 | 124,287 | ||||||||||
PTC, Inc. (Software) | (a | ) | 5,663 | 531,246 | ||||||||
Sabre Corp. (IT Svs.) | 12,406 | 305,684 | ||||||||||
Science Applications International Corp. (IT Svs.) | 2,071 | 167,606 | ||||||||||
Silicon Laboratories, Inc. (Semiconductors & Equip.) | (a | ) | 2,123 | 211,451 |
91 | (continued) |
Ohio National Fund, Inc. | ON S&P MidCap 400® Index Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
Common Stocks (Continued) | Shares | Value | ||||||||||
INFORMATION TECHNOLOGY (continued) |
| |||||||||||
Synaptics, Inc. (Semiconductors & Equip.) | (a | ) | 1,697 | $ | 85,478 | |||||||
SYNNEX Corp. (Electronic Equip., Instr. & Comp.) | 1,435 | 138,492 | ||||||||||
Tech Data Corp. (Electronic Equip., Instr. & Comp.) | (a | ) | 1,708 | 140,261 | ||||||||
Teradata Corp. (IT Svs.) | (a | ) | 5,935 | 238,290 | ||||||||
Teradyne, Inc. (Semiconductors & Equip.) | 9,391 | 357,515 | ||||||||||
Trimble, Inc. (Electronic Equip., Instr. & Comp.) | (a | ) | 12,234 | 401,765 | ||||||||
Tyler Technologies, Inc. (Software) | (a | ) | 1,747 | 388,009 | ||||||||
Ultimate Software Group, Inc. / The (Software) | (a | ) | 1,427 | 367,181 | ||||||||
VeriFone Systems, Inc. (Electronic Equip., Instr. & Comp.) | (a | ) | 5,428 | 123,867 | ||||||||
Versum Materials, Inc. (Semiconductors & Equip.) | 5,349 | 198,715 | ||||||||||
ViaSat, Inc. (Communications Equip.) | (a | ) | 2,690 | 176,787 | ||||||||
Vishay Intertechnology, Inc. (Electronic Equip., Instr. & Comp.) | 6,478 | 150,290 | ||||||||||
WEX, Inc. (IT Svs.) | (a | ) | 1,966 | 374,484 | ||||||||
Zebra Technologies Corp. Class A (Electronic Equip., Instr. & Comp.) | (a | ) | 2,621 | 375,458 | ||||||||
|
| |||||||||||
13,969,995 | ||||||||||||
|
| |||||||||||
MATERIALS – 7.0% | ||||||||||||
Allegheny Technologies, Inc. (Metals & Mining) | (a | ) | 6,169 | 154,965 | ||||||||
AptarGroup, Inc. (Containers & Packaging) | 3,062 | 285,930 | ||||||||||
Ashland Global Holdings, Inc. (Chemicals) | 3,063 | 239,465 | ||||||||||
Bemis Co., Inc. (Containers & Packaging) | 4,459 | 188,214 | ||||||||||
Cabot Corp. (Chemicals) | 3,035 | 187,472 | ||||||||||
Carpenter Technology Corp. (Metals & Mining) | 2,300 | 120,911 | ||||||||||
Chemours Co. / The (Chemicals) | 8,732 | 387,352 | ||||||||||
Commercial Metals Co. (Metals & Mining) | 5,735 | 121,066 | ||||||||||
Compass Minerals International, Inc. (Metals & Mining) | 1,659 | 109,079 | ||||||||||
Domtar Corp. (Paper & Forest Products) | 3,087 | 147,373 | ||||||||||
Eagle Materials, Inc. (Construction Materials) | 2,352 | 246,889 | ||||||||||
Greif, Inc. Class A (Containers & Packaging) | 1,270 | 67,170 | ||||||||||
Louisiana-Pacific Corp. (Paper & Forest Products) | 7,116 | 193,698 | ||||||||||
Minerals Technologies, Inc. (Chemicals) | 1,733 | 130,582 | ||||||||||
NewMarket Corp. (Chemicals) | 451 | 182,430 | ||||||||||
Olin Corp. (Chemicals) | 8,208 | 235,734 | ||||||||||
Owens-Illinois, Inc. (Containers & Packaging) | (a | ) | 7,926 | 133,236 | ||||||||
PolyOne Corp. (Chemicals) | 3,924 | 169,595 | ||||||||||
Reliance Steel & Aluminum Co. (Metals & Mining) | 3,552 | 310,942 | ||||||||||
Royal Gold, Inc. (Metals & Mining) | 3,213 | 298,295 | ||||||||||
RPM International, Inc. (Chemicals) | 6,564 | 382,812 | ||||||||||
Scotts Miracle-Gro Co. / The (Chemicals) | 1,901 | 158,087 | ||||||||||
Sensient Technologies Corp. (Chemicals) | 2,079 | 148,752 | ||||||||||
Silgan Holdings, Inc. (Containers & Packaging) | 3,632 | 97,447 | ||||||||||
Sonoco Products Co. (Containers & Packaging) | 4,888 | 256,620 | ||||||||||
Steel Dynamics, Inc. (Metals & Mining) | 11,581 | 532,147 | ||||||||||
United States Steel Corp. (Metals & Mining) | 8,678 | 301,561 | ||||||||||
Valvoline, Inc. (Chemicals) | 9,607 | 207,223 | ||||||||||
Worthington Industries, Inc. (Metals & Mining) | 2,110 | 88,557 | ||||||||||
|
| |||||||||||
6,083,604 | ||||||||||||
|
| |||||||||||
REAL ESTATE – 9.6% | ||||||||||||
Alexander & Baldwin, Inc. (Equity REIT) | 3,315 | 77,902 | ||||||||||
American Campus Communities, Inc. (Equity REIT) | 6,710 | 287,725 | ||||||||||
Camden Property Trust (Equity REIT) | 4,554 | 415,006 | ||||||||||
CoreCivic, Inc. (Equity REIT) | 5,810 | 138,801 | ||||||||||
CoreSite Realty Corp. (Equity REIT) | 1,692 | 187,507 | ||||||||||
Corporate Office Properties Trust (Equity REIT) | 5,006 | 145,124 | ||||||||||
Cousins Properties, Inc. (Equity REIT) | 20,637 | 199,973 | ||||||||||
CyrusOne, Inc. (Equity REIT) | 4,865 | 283,921 | ||||||||||
DCT Industrial Trust, Inc. (Equity REIT) | 4,622 | 308,426 | ||||||||||
Douglas Emmett, Inc. (Equity REIT) | 7,840 | 315,011 |
Common Stocks (Continued) | Shares | Value | ||||||||||
REAL ESTATE (continued) |
| |||||||||||
Education Realty Trust, Inc. (Equity REIT) | 3,716 | $ | 154,214 | |||||||||
EPR Properties (Equity REIT) | 3,176 | 205,773 | ||||||||||
First Industrial Realty Trust, Inc. (Equity REIT) | 6,155 | 205,208 | ||||||||||
GEO Group, Inc. / The (Equity REIT) | 6,040 | 166,342 | ||||||||||
Healthcare Realty Trust, Inc. (Equity REIT) | 6,136 | 178,435 | ||||||||||
Highwoods Properties, Inc. (Equity REIT) | 5,079 | 257,658 | ||||||||||
Hospitality Properties Trust (Equity REIT) | 8,069 | 230,854 | ||||||||||
JBG SMITH Properties (Equity REIT) | 4,567 | 166,558 | ||||||||||
Jones Lang LaSalle, Inc. (Real Estate Mgmt. & Development) | 2,233 | 370,656 | ||||||||||
Kilroy Realty Corp. (Equity REIT) | 4,851 | 366,930 | ||||||||||
Lamar Advertising Co. Class A (Equity REIT) | 4,125 | 281,779 | ||||||||||
LaSalle Hotel Properties (Equity REIT) | 5,418 | 185,458 | ||||||||||
Liberty Property Trust (Equity REIT) | 7,254 | 321,570 | ||||||||||
Life Storage, Inc. (Equity REIT) | 2,283 | 222,159 | ||||||||||
Mack-Cali Realty Corp. (Equity REIT) | 4,418 | 89,597 | ||||||||||
Medical Properties Trust, Inc. (Equity REIT) | 17,913 | 251,498 | ||||||||||
National Retail Properties, Inc. (Equity REIT) | 7,553 | 332,030 | ||||||||||
Omega Healthcare Investors, Inc. (Equity REIT) | 9,749 | 302,219 | ||||||||||
PotlatchDeltic Corp. (Equity REIT) | 2,953 | 150,160 | ||||||||||
Quality Care Properties, Inc. (Equity REIT) | (a | ) | 4,617 | 99,312 | ||||||||
Rayonier, Inc. (Equity REIT) | 6,350 | 245,681 | ||||||||||
Sabra Health Care REIT, Inc. (Equity REIT) | 8,756 | 190,268 | ||||||||||
Senior Housing Properties Trust (Equity REIT) | 11,674 | 211,183 | ||||||||||
Tanger Factory Outlet Centers, Inc. (Equity REIT) | 4,626 | 108,665 | ||||||||||
Taubman Centers, Inc. (Equity REIT) | 2,994 | 175,927 | ||||||||||
Uniti Group, Inc. (Equity REIT) | (a | ) | 8,108 | 162,403 | ||||||||
Urban Edge Properties (Equity REIT) | 5,193 | 118,764 | ||||||||||
Weingarten Realty Investors (Equity REIT) | 5,841 | 179,961 | ||||||||||
|
| |||||||||||
8,290,658 | ||||||||||||
|
| |||||||||||
TELECOMMUNICATION SERVICES – 0.1% |
| |||||||||||
Telephone & Data Systems, Inc. (Wireless Telecom. Svs.) | 4,553 | 124,843 | ||||||||||
|
| |||||||||||
UTILITIES – 4.9% |
| |||||||||||
ALLETE, Inc. (Electric Utilities) | 2,518 | 194,918 | ||||||||||
Aqua America, Inc. (Water Utilities) | 8,732 | 307,192 | ||||||||||
Atmos Energy Corp. (Gas Utilities) | 5,450 | 491,263 | ||||||||||
Black Hills Corp. (Multi-Utilities) | 2,632 | 161,105 | ||||||||||
Hawaiian Electric Industries, Inc. (Electric Utilities) | 5,335 | 182,990 | ||||||||||
IDACORP, Inc. (Electric Utilities) | 2,475 | 228,294 | ||||||||||
MDU Resources Group, Inc. (Multi-Utilities) | 9,585 | 274,898 | ||||||||||
National Fuel Gas Co. (Gas Utilities) | 4,219 | 223,438 | ||||||||||
New Jersey Resources Corp. (Gas Utilities) | 4,309 | 192,828 | ||||||||||
NorthWestern Corp. (Multi-Utilities) | 2,425 | 138,831 | ||||||||||
OGE Energy Corp. (Electric Utilities) | 9,804 | 345,199 | ||||||||||
ONE Gas, Inc. (Gas Utilities) | 2,572 | 192,231 | ||||||||||
PNM Resources, Inc. (Electric Utilities) | 3,904 | 151,866 | ||||||||||
Southwest Gas Holdings, Inc. (Gas Utilities) | 2,375 | 181,141 | ||||||||||
UGI Corp. (Gas Utilities) | 8,495 | 442,335 | ||||||||||
Vectren Corp. (Multi-Utilities) | 4,076 | 291,230 | ||||||||||
WGL Holdings, Inc. (Gas Utilities) | 2,520 | 223,650 | ||||||||||
|
| |||||||||||
4,223,409 | ||||||||||||
|
| |||||||||||
Total Common Stocks (Cost $81,146,678) |
| $ | 86,387,655 | |||||||||
|
| |||||||||||
Money Market Funds – 0.2% | Shares | Value | ||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 211,579 | $ | 211,579 | |||||||||
|
| |||||||||||
Total Money Market Funds | $ | 211,579 | ||||||||||
|
| |||||||||||
Total Investments – 99.9% | (b | ) | $ | 86,599,234 | ||||||||
Other Assets in Excess of | (c | ) | 45,078 | |||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 86,644,312 | ||||||||||
|
|
92 | (continued) |
Ohio National Fund, Inc. | ON S&P MidCap 400® Index Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
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 $7,492 of cash pledged as collateral for the futures contracts outstanding at June 30, 2018. 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 | June 30, 2018 (Unaudited) |
Unrealized | Variation Margin | |||||||||||
Number of | Notional | Appreciation | Receivable | |||||||||
Description | contracts | Expiration Date | Amount | Value | (Depreciation) | (Payable) | ||||||
CME E-mini S&P Midcap 400 Index - Long | 1 | September 21, 2018 | $200,940 | $195,610 | $(5,330) | $93,305 |
The accompanying notes are an integral part of these financial statements.
93 |
Ohio National Fund, Inc. | ON Bristol Growth Portfolio (Unaudited) |
Objective/Strategy |
The ON Bristol Growth Portfolio (formerly 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 June 30, 2018 |
Average Annual returns | ||
One year | 18.38% | |
Five years | 16.25% | |
Ten years | 10.42% |
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 0.88% per the Fund’s prospectus dated May 1, 2018. Additional information pertaining to the Portfolio’s expense ratio as of June 30, 2018 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 six-month period ended June 30, 2018, the ON Bristol Growth Portfolio returned 3.84% versus 7.25% 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. While market concerns regarding the impacts from trade conflicts between the U.S. and China, the North American Free Trade Agreement (“NAFTA”) nations, and the European Union affected the performance of the both the benchmark and the ON Bristol Growth Portfolio, stock selection contributed significantly to the underperformance in the first half of the year. (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’s underperformance was led by stock selection within Information Technology and Financials. Stock selection in Industrials and an overweight in Consumer Staples contributed to relative performance. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. Top contributors included salesforce.com, Inc. due to its upside in earnings expectations, driven in part by strong adoption of new artificial intelligence (“AI”) functionality, where it is significantly ahead of the
competition. Additionally, demand was stronger in its newer businesses: marketing management and e-commerce software solutions. The Boeing Co. contributed on stronger deliveries, orders and operating margin that continues to position the company to make as much as $30 per share in free cash flow in 2020. QUALCOMM, Inc. contributed, as the Chinese government restarted the review of Qualcomm’s acquisition of NXP Semiconductors N.V. after delays due to trade tensions. (1)
Top detractors included Commscope Holding Co., Inc., as positive earnings revisions indicated upside to its U.S. wireless capital expenditures, but the company’s management lowered guidance significantly due to significant price concessions to win contracts. Philip Morris International, Inc. detracted, as its management reduced its reduced-risk-product growth outlook due to unexpected slowdown in growth in its core Japanese market, which raises significant doubts about continued adoption. Allergan PLC detracted as Revance Therapeutics, Inc. and Mylan N.V. announced a collaboration to develop a Botox generic to target therapeutic indications, which provided increased competition for Allergan PLC’s Botox product much sooner than expected. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2018. |
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.
94 | (continued) |
Ohio National Fund, Inc. | ON Bristol Growth Portfolio (Unaudited) (Continued) |
Portfolio Composition as of June 30, 2018 (1) |
% of Net Assets | ||
Common Stocks (4) | 99.3 | |
Money Market Funds | ||
Less Net Liabilities | 0.7 | |
| ||
100.0 | ||
|
Top 10 Portfolio Holdings as of June 30, 2018 (1) (2) (3) |
% of Net Assets | ||||
1. | Apple, Inc. | 4.9 | ||
2. | Amazon.com, Inc. | 4.9 | ||
3. | Alphabet, Inc. Class C | 4.8 | ||
4. | Facebook, Inc. Class A | 4.5 | ||
5. | Microsoft Corp. | 3.4 | ||
6. | Boeing Co. / The | 2.8 | ||
7. | CBS Corp. Class B | 2.7 | ||
8. | salesforce.com, Inc. | 2.6 | ||
9. | Marvell Technology Group Ltd. | 2.6 | ||
10. | Goldman Sachs Group, Inc. / The | 2.3 |
(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): |
% of Net Assets | ||
Information Technology | 29.3 | |
Industrials | 18.2 | |
Consumer Discretionary | 17.2 | |
Health Care | 11.3 | |
Consumer Staples | 10.8 | |
Financials | 8.4 | |
Telecommunication Services | 2.2 | |
Materials | 1.9 | |
| ||
99.3 | ||
|
95 |
Ohio National Fund, Inc. | ON Bristol Growth Portfolio |
Schedule of Investments | June 30, 2018 (Unaudited) |
Common Stocks – 99.3% | Shares | Value | ||||||||||
CONSUMER DISCRETIONARY – 17.2% | ||||||||||||
Amazon.com, Inc. (Internet & Direct Marketing Retail) | (a | ) | 3,407 | $ | 5,791,219 | |||||||
CBS Corp. Class B (Media) | 55,698 | 3,131,341 | ||||||||||
General Motors Co. (Automobiles) | 49,348 | 1,944,311 | ||||||||||
McDonald’s Corp. (Hotels, Restaurants & Leisure) | 14,844 | 2,325,906 | ||||||||||
PVH Corp. (Textiles, Apparel & Luxury Goods) | 15,130 | 2,265,264 | ||||||||||
Tapestry, Inc. (Textiles, Apparel & Luxury Goods) | 52,728 | 2,462,925 | ||||||||||
Walt Disney Co. / The (Media) | 22,748 | 2,384,218 | ||||||||||
|
| |||||||||||
20,305,184 | ||||||||||||
|
| |||||||||||
CONSUMER STAPLES – 10.8% | ||||||||||||
Coca-Cola Co. / The (Beverages) | 55,663 | 2,441,379 | ||||||||||
Conagra Brands, Inc. (Food Products) | 54,869 | 1,960,469 | ||||||||||
Kraft Heinz Co. / The (Food Products) | 37,116 | 2,331,627 | ||||||||||
Mondelez International, Inc. Class A (Food Products) | 29,884 | 1,225,244 | ||||||||||
PepsiCo, Inc. (Beverages) | 22,242 | 2,421,486 | ||||||||||
Walmart, Inc. (Food & Staples Retailing) | 27,104 | 2,321,458 | ||||||||||
|
| |||||||||||
12,701,663 | ||||||||||||
|
| |||||||||||
FINANCIALS – 8.4% | ||||||||||||
Capital One Financial Corp. (Consumer Finance) | 25,097 | 2,306,415 | ||||||||||
Citigroup, Inc. (Banks) | 40,176 | 2,688,578 | ||||||||||
Goldman Sachs Group, Inc. / The (Capital Markets) | 12,551 | 2,768,374 | ||||||||||
Morgan Stanley (Capital Markets) | 46,573 | 2,207,560 | ||||||||||
|
| |||||||||||
9,970,927 | ||||||||||||
|
| |||||||||||
HEALTH CARE – 11.3% | ||||||||||||
Aerie Pharmaceuticals, Inc. (Pharmaceuticals) | (a | ) | 39,969 | 2,699,906 | ||||||||
Aetna, Inc. (Health Care Providers & Svs.) | 12,911 | 2,369,169 | ||||||||||
Celgene Corp. (Biotechnology) | (a | ) | 30,244 | 2,401,978 | ||||||||
Loxo Oncology, Inc. (Biotechnology) | (a | ) | 7,531 | 1,306,478 | ||||||||
Sage Therapeutics, Inc. (Biotechnology) | (a | ) | 13,390 | 2,095,937 | ||||||||
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 9,844 | 2,415,127 | ||||||||||
|
| |||||||||||
13,288,595 | ||||||||||||
|
| |||||||||||
INDUSTRIALS – 18.2% | ||||||||||||
Boeing Co. / The (Aerospace & Defense) | 9,681 | 3,248,072 | ||||||||||
Deere & Co. (Machinery) | 16,899 | 2,362,480 |
Common Stocks (Continued) | Shares | Value | ||||||||||
INDUSTRIALS (continued) |
| |||||||||||
Evoqua Water Technologies Corp. (Machinery) | (a | ) | 84,413 | $ | 1,730,467 | |||||||
FedEx Corp. (Air Freight & Logistics) | 9,938 | 2,256,522 | ||||||||||
Kansas City Southern (Road & Rail) | 24,937 | 2,642,325 | ||||||||||
Quanta Services, Inc. (Construction & Engineering) | (a | ) | 69,348 | 2,316,223 | ||||||||
Rockwell Automation, Inc. (Electrical Equip.) | 13,958 | 2,320,238 | ||||||||||
Union Pacific Corp. (Road & Rail) | 16,976 | 2,405,160 | ||||||||||
XPO Logistics, Inc. (Air Freight & Logistics) | (a | ) | 22,349 | 2,238,923 | ||||||||
|
| |||||||||||
21,520,410 | ||||||||||||
|
| |||||||||||
INFORMATION TECHNOLOGY – 29.3% |
| |||||||||||
Alphabet, Inc. Class A (Internet Software & Svs.) | (a | ) | 662 | 747,524 | ||||||||
Alphabet, Inc. Class C (Internet Software & Svs.) | (a | ) | 5,065 | 5,650,767 | ||||||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 31,425 | 5,817,082 | ||||||||||
Broadcom, Inc. (Semiconductors & Equip.) | 10,083 | 2,446,539 | ||||||||||
Facebook, Inc. Class A (Internet Software & Svs.) | (a | ) | 27,376 | 5,319,704 | ||||||||
Marvell Technology Group Ltd. (Semiconductors & Equip.) | 142,421 | 3,053,506 | ||||||||||
Microsoft Corp. (Software) | 40,607 | 4,004,256 | ||||||||||
NVIDIA Corp. (Semiconductors & Equip.) | 9,434 | 2,234,915 | ||||||||||
salesforce.com, Inc. (Software) | (a | ) | 22,556 | 3,076,639 | ||||||||
Xilinx, Inc. (Semiconductors & Equip.) | 33,800 | 2,205,788 | ||||||||||
|
| |||||||||||
34,556,720 | ||||||||||||
|
| |||||||||||
MATERIALS – 1.9% | ||||||||||||
DowDuPont, Inc. (Chemicals) | 34,825 | 2,295,664 | ||||||||||
|
| |||||||||||
TELECOMMUNICATION SERVICES – 2.2% |
| |||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 80,212 | 2,575,607 | ||||||||||
|
| |||||||||||
Total Common Stocks | $ | 117,214,770 | ||||||||||
|
| |||||||||||
Money Market Funds – 1.2% | Shares | Value | ||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 1,439,074 | $ | 1,439,074 | |||||||||
|
| |||||||||||
Total Money Market Funds | $ | 1,439,074 | ||||||||||
|
| |||||||||||
Total Investments – 100.5% | (b | ) | $ | 118,653,844 | ||||||||
Liabilities in Excess of | (599,375 | ) | ||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 118,054,469 | ||||||||||
|
|
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.
96
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Unaudited) |
Objective/Strategy |
The ON Risk Managed Balanced Portfolio (formerly 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 June 30, 2018 |
Average Annual returns | ||||
One year | 10.39 | % | ||
Since inception (5/1/14) | 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 expense ratio is 1.02% per the Fund’s prospectus dated May 1, 2018. Additional information pertaining to the Portfolio’s expense ratio as of June 30, 2018 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 six-month period ended June 30, 2018, the ON Risk Managed Balanced Portfolio returned 1.23% versus 0.79% 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 Portfolio outperformed its benchmark during the period. Equities outperformed fixed income, and the Portfolio’s overweight to equity securities was a large driver of the overall outperformance. (1)
Within the Portfolio’s fixed income sleeve, concern over rising rates, stretched valuations, and elevated merger and acquisition activity and commensurate supply led us to diversify our spread product exposure. This proved beneficial, as our allocations to agency mortgage-backed securities (MBS), commercial mortgage-backed securities (CMBS) and asset-backed securities (ABS) aided relative results. The composition of our investment-grade corporate credit allocation also contributed to relative outperformance. Our underweight allocation to Treasuries hindered performance, as investors flocked to high quality assets on multiple occasions. Rising trade tensions and the formation of a euro-sceptic coalition government in Italy were the primary causes of volatility. As spreads widened, our out-of-index allocation to high-yield corporate credit also detracted. (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 security selection, was there anything specific regarding the Portfolio’s strategy that caused deviation from the benchmark?
A. In the equity sleeve, security selection drove relative outperformance. Security selection was strongest in Information Technology, Industrials and Consumer Staples. Within Industrials, gains were partially offset by our overweight allocation, as trade policy negotiations pressured the broader sector. Security selection in the strong-performing Consumer Discretionary sector was the largest detractor from relative results. We did not own select large index constituents that we believed were expensive, given their limited free-cash-flow generation. (1)
In the fixed income sleeve, security selection was a strong contributor to relative performance. Our asset allocation detracted, primarily due to our out-of-index high-yield exposure as spreads widened, and our large underweight to Treasuries amid bouts of volatility. At the corporate credit sector level, Pharmaceuticals and Electric Utilities were among the largest relative contributors. Our yield curve positioning and underweight allocations in both sectors benefited relative results. As yields rose, some of our intermediate-dated banking positions weighed on relative results, leading that sector to be the largest relative sector-level detractor. Yield curve positioning and an overweight allocation led the Aerospace & Defense sector to also detract. (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 first half of 2018, this allocation ranged between 17.6% and 19.6%, and ended the period representing approximately 18.4% 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 the benchmark. During the six-month period, as compared to the Balanced Component, the aggregate Portfolio’s realized volatility was lower by 0.2% and the cumulative return was lower by -1.7%. Due to the relatively similar volatility and lower return achieved, the risk-adjusted return of the aggregate Portfolio was not enhanced compared to the Balanced Component. The under-performance of the Risk Management Component was attributable to losses on Treasury futures positions and index-based options resulting from the time decay of premium value. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. Equity Contributors:
• | Multinational financial services corporation Mastercard, Inc. Class A was the Portfolio’s top individual contributor. The stock is a longtime holding in the Portfolio and we continue to see our investment thesis play out, as the company benefits from consumers and businesses switching from cash and check to plastic and electronic payments. Mastercard is also poised to benefit from growth outside of the U.S., where many markets have a lower penetration of card and electronic payments and are experiencing significantly faster electronic purchase volume growth. Better-than-expected revenue growth and increasing payment volumes drove the stock higher during the period. (1) |
• | Computer software company Adobe Systems, Inc. (“Adobe”) also performed well. Adobe has benefited from secular shifts towards Software as a Service (SaaS) and digital media. Indeed, revenue growth driven by its subscription-based services helped propel the |
97 | (continued) |
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Unaudited) (Continued) |
stock higher during the period. We continue to see upside for the stock, as the subscription-based model increases Adobe’s total assessable digital media market, and more advertisers rely on its software to create digital content. (1)
Fixed Income Contributor:
• | CVS Health Corp. (“CVS”) was a leading corporate credit contributor. We participated in CVS’ large investment-grade bond issuance during the period, which will help the company fund its acquisition of health insurer Aetna, Inc. The company has aggressive plans to de-lever its balance sheet post-acquisition, and we believe its broad suite of services should position the company to be a long-term leader in the Health Care sector as it focuses on lowering costs and improving patient outcomes. (1) |
Equity Detractors:
• | Not owning the outperforming benchmark component Amazon.com, Inc. was the top relative detractor. (1) |
• | Altria Group, Inc. (“Altria”) led relative detractors of the positions held by the Portfolio. The stock fell during the period on weaker cigarette volumes, which were partially driven by rising excise taxes in California. We continue to hold the position, as the decline in cigarette volumes has slowed, and the company continues to build out its portfolio of e-cigarettes, which is a growing marketplace with evolving preferences and product offerings. We believe Altria’s cash flows should grow moderately as the company improves margins and grows the non-cigarette business. We also appreciate Altria’s high dividend yield. (1) |
• | Comcast Corp. Class A also detracted. The stock was down due to concern and confusion over the company’s bid for Sky Network Television Ltd., a European pay-tv provider. We continue to see upside for the stock, and like its position as a cable distribution platform and owner of strong content assets. (1) |
Fixed Income Detractor:
• | Some of our banking positions detracted during the period. The sector had benefited considerably in 2017 on improving fundamentals and tighter spreads, but the recent flattening of the yield curve caused concerns around potential compression of banks’ net interest margins. Our overweight position in Goldman Sachs Capital I was among the leading credit detractors, largely due to these broader industry concerns. (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 detracted 1.2% to the absolute return of the aggregate Portfolio during the period, primarily due to the use of derivative instruments. Treasury futures detracted 1.4% and options strategies detracted 0.3% to the aggregate Portfolio, while equity futures contributed 0.5%. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2018. |
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.
98 | (continued) |
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Unaudited) (Continued) |
Portfolio Composition as of June 30, 2018 (1) |
% of Net Assets | ||||
Common Stocks (4) | 49.9 | |||
U.S. Treasury Obligations | 10.6 | |||
Corporate Bonds (4) | 9.6 | |||
U.S. Government Agency Mortgage-Backed Securities | 8.2 | |||
Purchased Options | 6.6 | |||
Asset-Backed / Mortgage-Backed Securities (4) | 3.7 | |||
Master Limited Partnerships (4) | 0.5 | |||
Preferred Securities (4) | 0.2 | |||
Money Market Funds Less Net Liabilities | 10.7 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of June 30, 2018 (1) (2) (3) |
% of Net Assets | ||||||
1. | Microsoft Corp. | 2.9 | ||||
2. | Mastercard, Inc. Class A | 2.2 | ||||
3. | Alphabet, Inc. Class C | 1.9 | ||||
4. | U.S. Treasury Note 2.375%, 04/30/2020 | 1.9 | ||||
5. | U.S. Treasury Note 2.500%, 05/31/2020 | 1.9 | ||||
6. | Boeing Co. / The | 1.7 | ||||
7. | U.S. Bancorp | 1.5 | ||||
8. | Altria Group, Inc. | 1.5 | ||||
9. | Apple, Inc. | 1.5 | ||||
10. | Adobe Systems, Inc. | 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 | 14.4 | |||
Financials | 12.9 | |||
Consumer Discretionary | 8.4 | |||
Industrials | 7.5 | |||
Health Care | 6.5 | |||
Consumer Staples | 5.7 | |||
Energy | 3.1 | |||
Real Estate | 2.4 | |||
Materials | 2.3 | |||
Telecommunication Services | 0.5 | |||
Utilities | 0.2 | |||
|
| |||
63.9 | ||||
|
|
99 |
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio |
Schedule of Investments | June 30, 2018 (Unaudited) |
Common Stocks – 49.9% | Shares | Value | ||||||||||
CONSUMER DISCRETIONARY – 7.3% | ||||||||||||
Booking Holdings, Inc. (Internet & Direct Marketing Retail) | (a | ) | 1,007 | $ | 2,041,280 | |||||||
Comcast Corp. Class A (Media) | 106,302 | 3,487,769 | ||||||||||
General Motors Co. (Automobiles) | 67,461 | 2,657,963 | ||||||||||
Hasbro, Inc. (Leisure Products) | 15,626 | 1,442,436 | ||||||||||
Hilton Worldwide Holdings, Inc. (Hotels, Restaurants & Leisure) | 7,265 | 575,097 | ||||||||||
Home Depot, Inc. / The (Specialty Retail) | 25,655 | 5,005,291 | ||||||||||
Madison Square Garden Co. / The Class A (Media) | (a | ) | 2,560 | 794,086 | ||||||||
McDonald’s Corp. (Hotels, Restaurants & Leisure) | 24,493 | 3,837,808 | ||||||||||
NIKE, Inc. Class B (Textiles, Apparel & Luxury Goods) | 40,549 | 3,230,944 | ||||||||||
Norwegian Cruise Line Holdings Ltd. (Hotels, Restaurants & Leisure) | (a | ) | 18,514 | 874,787 | ||||||||
Six Flags Entertainment Corp. (Hotels, Restaurants & Leisure) | 16,425 | 1,150,571 | ||||||||||
Starbucks Corp. (Hotels, Restaurants & Leisure) | 14,309 | 698,995 | ||||||||||
|
| |||||||||||
25,797,027 | ||||||||||||
|
| |||||||||||
CONSUMER STAPLES – 5.5% | ||||||||||||
Altria Group, Inc. (Tobacco) | 95,366 | 5,415,835 | ||||||||||
Clorox Co. / The (Household Products) | 7,248 | 980,292 | ||||||||||
Costco Wholesale Corp. (Food & Staples Retailing) | 21,820 | 4,559,944 | ||||||||||
Estee Lauder Cos., Inc. / The Class A (Personal Products) | 13,411 | 1,913,616 | ||||||||||
Hershey Co. / The (Food Products) | 15,437 | 1,436,567 | ||||||||||
Kroger Co. / The (Food & Staples Retailing) | 61,954 | 1,762,591 | ||||||||||
Sysco Corp. (Food & Staples Retailing) | 45,402 | 3,100,503 | ||||||||||
|
| |||||||||||
19,169,348 | ||||||||||||
|
| |||||||||||
ENERGY – 1.8% | ||||||||||||
Anadarko Petroleum Corp. (Oil, Gas & Consumable Fuels) | 39,172 | 2,869,349 | ||||||||||
Suncor Energy, Inc. (Oil, Gas & Consumable Fuels) | 88,177 | 3,587,041 | ||||||||||
|
| |||||||||||
6,456,390 | ||||||||||||
|
| |||||||||||
FINANCIALS – 6.3% | ||||||||||||
American Express Co. (Consumer Finance) | 16,100 | 1,577,800 | ||||||||||
Bank of America Corp. (Banks) | 68,377 | 1,927,548 | ||||||||||
CME Group, Inc. (Capital Markets) | 27,336 | 4,480,917 | ||||||||||
Goldman Sachs Group, Inc. / The (Capital Markets) | 2,710 | 597,745 | ||||||||||
Morgan Stanley (Capital Markets) | 17,548 | 831,775 | ||||||||||
Progressive Corp. / The (Insurance) | 25,825 | 1,527,549 | ||||||||||
Synchrony Financial (Consumer Finance) | 86,222 | 2,878,090 | ||||||||||
TD Ameritrade Holding Corp. (Capital Markets) | 52,803 | 2,892,020 | ||||||||||
U.S. Bancorp (Banks) | 108,363 | 5,420,317 | ||||||||||
|
| |||||||||||
22,133,761 | ||||||||||||
|
| |||||||||||
HEALTH CARE – 5.7% | ||||||||||||
Abbott Laboratories (Health Care Equip. & Supplies) | 45,879 | 2,798,160 | ||||||||||
AbbVie, Inc. (Biotechnology) | 6,391 | 592,126 | ||||||||||
Aetna, Inc. (Health Care Providers & Svs.) | 12,591 | 2,310,449 | ||||||||||
Allergan PLC (Pharmaceuticals) | 19,625 | 3,271,880 | ||||||||||
Bristol-Myers Squibb Co. (Pharmaceuticals) | 20,671 | 1,143,933 | ||||||||||
Eli Lilly & Co. (Pharmaceuticals) | 29,308 | 2,500,852 | ||||||||||
Medtronic PLC (Health Care Equip. & Supplies) | 43,456 | 3,720,268 | ||||||||||
Merck & Co., Inc. (Pharmaceuticals) | 59,836 | 3,632,045 | ||||||||||
|
| |||||||||||
19,969,713 | ||||||||||||
|
| |||||||||||
INDUSTRIALS – 6.6% | ||||||||||||
3M Co. (Industrial Conglomerates) | 6,972 | 1,371,532 | ||||||||||
Boeing Co. / The (Aerospace & Defense) | 18,126 | 6,081,454 | ||||||||||
CSX Corp. (Road & Rail) | 59,946 | 3,823,356 | ||||||||||
Deere & Co. (Machinery) | 10,213 | 1,427,777 | ||||||||||
Delta Air Lines, Inc. (Airlines) | 18,715 | 927,141 | ||||||||||
General Dynamics Corp. (Aerospace & Defense) | 15,116 | 2,817,774 | ||||||||||
Honeywell International, Inc. (Industrial Conglomerates) | 18,910 | 2,723,986 | ||||||||||
Northrop Grumman Corp. (Aerospace & Defense) | 1,243 | 382,471 | ||||||||||
Parker-Hannifin Corp. (Machinery) | 5,639 | 878,838 | ||||||||||
Stanley Black & Decker, Inc. (Machinery) | 9,304 | 1,235,664 | ||||||||||
United Parcel Service, Inc. Class B (Air Freight & Logistics) | 14,609 | 1,551,914 | ||||||||||
|
| |||||||||||
23,221,907 | ||||||||||||
|
| |||||||||||
INFORMATION TECHNOLOGY – 13.7% | ||||||||||||
Accenture PLC Class A (IT Svs.) | 22,004 | 3,599,634 | ||||||||||
Activision Blizzard, Inc. (Software) | 12,031 | 918,206 | ||||||||||
Adobe Systems, Inc. (Software) | (a | ) | 21,475 | 5,235,820 |
100 | (continued) |
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
Common Stocks (Continued) | Shares | Value | ||||||||||
INFORMATION TECHNOLOGY (continued) | ||||||||||||
Alphabet, Inc. Class C (Internet Software & Svs.) | (a | ) | 6,000 | $ | 6,693,900 | |||||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 28,977 | 5,363,932 | ||||||||||
Automatic Data Processing, Inc. (IT Svs.) | 5,843 | 783,780 | ||||||||||
Corning, Inc. (Electronic Equip., Instr. & Comp.) | 35,807 | 985,051 | ||||||||||
Intel Corp. (Semiconductors & Equip.) | 75,806 | 3,768,316 | ||||||||||
Lam Research Corp. (Semiconductors & Equip.) | 12,326 | 2,130,549 | ||||||||||
Mastercard, Inc. Class A (IT Svs.) | 38,357 | 7,537,918 | ||||||||||
Microsoft Corp. (Software) | 103,185 | 10,175,085 | ||||||||||
salesforce.com, Inc. (Software) | (a | ) | 7,776 | 1,060,646 | ||||||||
|
| |||||||||||
48,252,837 | ||||||||||||
|
| |||||||||||
MATERIALS – 1.4% | ||||||||||||
LyondellBasell Industries N.V. Class A (Chemicals) | 46,019 | 5,055,187 | ||||||||||
|
| |||||||||||
REAL ESTATE – 1.6% | ||||||||||||
CBRE Group, Inc. Class A (Real Estate Mgmt. & Development) | (a | ) | 53,033 | 2,531,795 | ||||||||
Crown Castle International Corp. (Equity REIT) | 12,629 | 1,361,659 | ||||||||||
MGM Growth Properties LLC Class A (Equity REIT) | 27,165 | 827,446 | ||||||||||
Outfront Media, Inc. (Equity REIT) | 37,627 | 731,845 | ||||||||||
|
| |||||||||||
5,452,745 | ||||||||||||
|
| |||||||||||
Total Common Stocks (Cost $136,940,158) | $ | 175,508,915 | ||||||||||
|
|
U.S. Treasury Obligations – 10.6% | Rate | Maturity | Face Amount | Value | ||||||||||||||||
U.S. Treasury Note | 2.250 | % | 02/29/2020 | $ | 3,484,000 | $ | 3,469,574 | |||||||||||||
U.S. Treasury Note | 2.250 | % | 03/31/2020 | 1,522,000 | 1,515,044 | |||||||||||||||
U.S. Treasury Note | 1.500 | % | 04/15/2020 | 14,000 | 13,751 | |||||||||||||||
U.S. Treasury Note | 2.375 | % | 04/30/2020 | 6,699,000 | 6,681,206 | |||||||||||||||
U.S. Treasury Note | 1.500 | % | 05/15/2020 | 74,000 | 72,618 | |||||||||||||||
U.S. Treasury Note | 2.500 | % | 05/31/2020 | 6,547,000 | 6,543,675 | |||||||||||||||
U.S. Treasury Note | 2.750 | % | 05/31/2023 | 3,826,000 | 3,829,437 | |||||||||||||||
U.S. Treasury Note | (b | ) | 2.250 | % | 11/15/2024 | 1,865,000 | 1,804,169 | |||||||||||||
U.S. Treasury Note | 2.750 | % | 02/15/2028 | 34,000 | 33,696 | |||||||||||||||
U.S. Treasury Note | 2.875 | % | 05/15/2028 | 2,247,000 | 2,250,511 | |||||||||||||||
U.S. Treasury Note | 2.250 | % | 08/15/2046 | 384,000 | 330,360 | |||||||||||||||
U.S. Treasury Note | 2.750 | % | 08/15/2047 | 64,000 | 61,008 | |||||||||||||||
U.S. Treasury Note | 2.750 | % | 11/15/2047 | 3,739,000 | 3,563,880 | |||||||||||||||
U.S. Treasury Note | 3.000 | % | 02/15/2048 | 2,101,000 | 2,105,924 | |||||||||||||||
U.S. Treasury Note | 3.125 | % | 05/15/2048 | 4,898,000 | 5,029,443 | |||||||||||||||
|
| |||||||||||||||||||
Total U.S. Treasury Obligations (Cost $37,202,795) | $ | 37,304,296 | ||||||||||||||||||
|
| |||||||||||||||||||
Corporate Bonds – 9.6% | Rate | Maturity | Face Amount | Value | ||||||||||||||||
CONSUMER DISCRETIONARY – 0.9% | ||||||||||||||||||||
1011778 B.C. ULC / New Red Finance, Inc. (Hotels, Restaurants & Leisure) | (c | ) | 4.625 | % | 01/15/2022 | $ | 238,000 | $ | 238,000 | |||||||||||
Amazon.com, Inc. (Internet & Direct Marketing Retail) | 2.800 | % | 08/22/2024 | 130,000 | 123,942 | |||||||||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | 5.250 | % | 03/15/2021 | 173,000 | 174,189 | |||||||||||||||
Charter Communications Operating, LLC / Charter Communications Operating Capital Corp. (Media) | 4.908 | % | 07/23/2025 | 284,000 | 286,725 | |||||||||||||||
D.R. Horton, Inc. (Household Durables) | 3.750 | % | 03/01/2019 | 231,000 | 231,722 | |||||||||||||||
MDC Holdings, Inc. (Household Durables) | 5.500 | % | 01/15/2024 | 53,000 | 53,530 | |||||||||||||||
MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer, Inc. (Hotels, Restaurants & Leisure) | 5.625 | % | 05/01/2024 | 108,000 | 109,350 | |||||||||||||||
MGM Resorts International (Hotels, Restaurants & Leisure) | 6.750 | % | 10/01/2020 | 303,000 | 317,392 | |||||||||||||||
MGM Resorts International (Hotels, Restaurants & Leisure) | 6.625 | % | 12/15/2021 | 123,000 | 129,458 | |||||||||||||||
MGM Resorts International (Hotels, Restaurants & Leisure) | 7.750 | % | 03/15/2022 | 44,000 | 47,960 | |||||||||||||||
MGM Resorts International (Hotels, Restaurants & Leisure) | 6.000 | % | 03/15/2023 | 22,000 | 22,660 | |||||||||||||||
Toll Brothers Finance Corp. (Household Durables) | 5.875 | % | 02/15/2022 | 144,000 | 149,400 | |||||||||||||||
Toll Brothers Finance Corp. (Household Durables) | 4.375 | % | 04/15/2023 | 63,000 | 61,740 | |||||||||||||||
UBM PLC (Media) | (c | ) | 5.750 | % | 11/03/2020 | 108,000 | 110,129 | |||||||||||||
Unitymedia GmbH (Media) | (c | ) | 6.125 | % | 01/15/2025 | 321,000 | 330,630 | |||||||||||||
Unitymedia Hessen GmbH & Co. KG / Unitymedia NRW GmbH (Media) | (c | ) | 5.000 | % | 01/15/2025 | 200,000 | 202,500 | |||||||||||||
Warner Media, LLC (Media) | 3.600 | % | 07/15/2025 | 170,000 | 161,589 | |||||||||||||||
Wyndham Destinations, Inc. (Hotels, Restaurants & Leisure) | 4.150 | % | 04/01/2024 | 137,000 | 134,774 | |||||||||||||||
Wyndham Destinations, Inc. (Hotels, Restaurants & Leisure) | 5.100 | % | 10/01/2025 | 70,000 | 71,663 | |||||||||||||||
Wyndham Destinations, Inc. (Hotels, Restaurants & Leisure) | 4.500 | % | 04/01/2027 | 78,000 | 76,050 | |||||||||||||||
|
| |||||||||||||||||||
3,033,403 | ||||||||||||||||||||
|
|
101 | (continued) |
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||||
CONSUMER STAPLES – 0.2% | ||||||||||||||||||||
Sysco Corp. (Food & Staples Retailing) | 2.500% | 07/15/2021 | $ | 73,000 | $ | 71,279 | ||||||||||||||
Wm. Wrigley Jr. Co. (Food Products) | (c | ) | 2.400% | 10/21/2018 | 447,000 | 446,686 | ||||||||||||||
|
| |||||||||||||||||||
517,965 | ||||||||||||||||||||
|
| |||||||||||||||||||
ENERGY – 1.3% | ||||||||||||||||||||
Andeavor Logistics LP / Tesoro Logistics Finance Corp. (Oil, Gas & Consumable Fuels) | 3.500% | 12/01/2022 | 62,000 | 60,560 | ||||||||||||||||
Andeavor Logistics LP / Tesoro Logistics Finance Corp. (Oil, Gas & Consumable Fuels) | 5.250% | 01/15/2025 | 69,000 | 70,717 | ||||||||||||||||
Cheniere Corpus Christi Holdings, LLC (Oil, Gas & Consumable Fuels) | 5.125% | 06/30/2027 | 234,000 | 231,952 | ||||||||||||||||
Columbia Pipeline Group, Inc. (Oil, Gas & Consumable Fuels) | 4.500% | 06/01/2025 | 92,000 | 92,076 | ||||||||||||||||
Continental Resources, Inc. (Oil, Gas & Consumable Fuels) | 5.000% | 09/15/2022 | 446,000 | 452,717 | ||||||||||||||||
Continental Resources, Inc. (Oil, Gas & Consumable Fuels) | 4.500% | 04/15/2023 | 295,000 | 299,559 | ||||||||||||||||
Enbridge Energy Partners LP (Oil, Gas & Consumable Fuels) | 5.875% | 10/15/2025 | 156,000 | 169,723 | ||||||||||||||||
Energy Transfer Equity LP (Oil, Gas & Consumable Fuels) | 4.250% | 03/15/2023 | 146,000 | 140,891 | ||||||||||||||||
Energy Transfer Equity LP (Oil, Gas & Consumable Fuels) | 5.875% | 01/15/2024 | 127,000 | 130,175 | ||||||||||||||||
Energy Transfer Equity LP (Oil, Gas & Consumable Fuels) | 5.500% | 06/01/2027 | 98,000 | 98,000 | ||||||||||||||||
Energy Transfer Partners LP (Oil, Gas & Consumable Fuels) | 4.150% | 10/01/2020 | 130,000 | 131,574 | ||||||||||||||||
Energy Transfer Partners LP (Oil, Gas & Consumable Fuels) | 4.950% | 06/15/2028 | 139,000 | 138,514 | ||||||||||||||||
Energy Transfer Partners LP (Oil, Gas & Consumable Fuels) | 6.000% | 06/15/2048 | 157,000 | 156,499 | ||||||||||||||||
Energy Transfer Partners LP / Regency Energy Finance Corp. (Oil, Gas & Consumable Fuels) | 5.750% | 09/01/2020 | 80,000 | 83,144 | ||||||||||||||||
Energy Transfer Partners LP / Regency Energy Finance Corp. (Oil, Gas & Consumable Fuels) | 5.875% | 03/01/2022 | 166,000 | 175,562 | ||||||||||||||||
EnLink Midstream Partners LP (Oil, Gas & Consumable Fuels) | 4.150% | 06/01/2025 | 81,000 | 74,839 | ||||||||||||||||
EnLink Midstream Partners LP (Oil, Gas & Consumable Fuels) | 4.850% | 07/15/2026 | 232,000 | 219,762 | ||||||||||||||||
EQT Midstream Partners LP (Oil, Gas & Consumable Fuels) | 5.500% | 07/15/2028 | 229,000 | 228,873 | ||||||||||||||||
Kinder Morgan Energy Partners LP (Oil, Gas & Consumable Fuels) | 3.500% | 03/01/2021 | 50,000 | 49,909 | ||||||||||||||||
Kinder Morgan Energy Partners LP (Oil, Gas & Consumable Fuels) | 5.000% | 10/01/2021 | 304,000 | 315,667 | ||||||||||||||||
Kinder Morgan Energy Partners LP (Oil, Gas & Consumable Fuels) | 3.950% | 09/01/2022 | 159,000 | 158,933 | ||||||||||||||||
Motiva Enterprises LLC (Oil, Gas & Consumable Fuels) | (c | ) | 5.750% | 01/15/2020 | 47,000 | 48,472 | ||||||||||||||
NGPL PipeCo, LLC (Oil, Gas & Consumable Fuels) | (c | ) | 4.375% | 08/15/2022 | 34,000 | 33,660 | ||||||||||||||
NGPL PipeCo, LLC (Oil, Gas & Consumable Fuels) | (c | ) | 4.875% | 08/15/2027 | 73,000 | 72,088 | ||||||||||||||
NuStar Logistics LP (Oil, Gas & Consumable Fuels) | 5.625% | 04/28/2027 | 198,000 | 191,565 | ||||||||||||||||
Phillips 66 Partners LP (Oil, Gas & Consumable Fuels) | 3.605% | 02/15/2025 | 121,000 | 115,348 | ||||||||||||||||
Phillips 66 Partners LP (Oil, Gas & Consumable Fuels) | 3.750% | 03/01/2028 | 55,000 | 51,382 | ||||||||||||||||
Plains All American Pipeline LP / PAA Finance Corp. (Oil, Gas & Consumable Fuels) | 4.650% | 10/15/2025 | 64,000 | 63,758 | ||||||||||||||||
Sabine Pass Liquefaction, LLC (Oil, Gas & Consumable Fuels) | 5.000% | 03/15/2027 | 269,000 | 273,263 | ||||||||||||||||
Williams Cos., Inc. / The (Oil, Gas & Consumable Fuels) | 3.700% | 01/15/2023 | 74,000 | 71,595 | ||||||||||||||||
Williams Partners LP (Oil, Gas & Consumable Fuels) | 3.600% | 03/15/2022 | 91,000 | 90,531 | ||||||||||||||||
|
| |||||||||||||||||||
4,491,308 | ||||||||||||||||||||
|
| |||||||||||||||||||
FINANCIALS – 2.4% | ||||||||||||||||||||
Ally Financial, Inc. (Consumer Finance) | 8.000% | 12/31/2018 | 100,000 | 101,875 | ||||||||||||||||
Bank of America Corp. (Banks) | 2.503% | 10/21/2022 | 849,000 | 812,593 | ||||||||||||||||
Capital One Financial Corp. (Consumer Finance) | 3.300% | 10/30/2024 | 116,000 | 110,132 | ||||||||||||||||
CBOE Global Markets, Inc. (Capital Markets) | 3.650% | 01/12/2027 | 267,000 | 257,551 | ||||||||||||||||
Charles Schwab Corp. / The (Capital Markets) | (d | ) | QL + 32 | 05/21/2021 | 284,000 | 285,153 | ||||||||||||||
Charles Schwab Corp. / The (Capital Markets) | 3.250% | 05/21/2021 | 88,000 | 88,345 | ||||||||||||||||
Charles Schwab Corp. / The (Capital Markets) | 3.000% | 03/10/2025 | 127,000 | 122,072 | ||||||||||||||||
Citibank NA (Banks) | (d | ) | QL + 32 | 05/01/2020 | 801,000 | 801,574 | ||||||||||||||
Citigroup, Inc. (Banks) | 4.600% | 03/09/2026 | 109,000 | 108,808 | ||||||||||||||||
Citigroup, Inc. (Banks) | 3.200% | 10/21/2026 | 172,000 | 160,039 | ||||||||||||||||
Citizens Financial Group, Inc. (Banks) | 3.750% | 07/01/2024 | 47,000 | 45,357 | ||||||||||||||||
Citizens Financial Group, Inc. (Banks) | 4.350% | 08/01/2025 | 41,000 | 40,540 | ||||||||||||||||
Citizens Financial Group, Inc. (Banks) | 4.300% | 12/03/2025 | 355,000 | 352,607 | ||||||||||||||||
E*TRADE Financial Corp. (Capital Markets) | 2.950% | 08/24/2022 | 263,000 | 254,687 | ||||||||||||||||
E*TRADE Financial Corp. (Capital Markets) | 3.800% | 08/24/2027 | 289,000 | 276,546 | ||||||||||||||||
E*TRADE Financial Corp. (Capital Markets) | 4.500% | 06/20/2028 | 109,000 | 109,040 | ||||||||||||||||
First Republic Bank (Banks) | 4.625% | 02/13/2047 | 100,000 | 98,644 | ||||||||||||||||
General Motors Financial Co., Inc. (Consumer Finance) | 3.200% | 07/13/2020 | 279,000 | 277,692 | ||||||||||||||||
General Motors Financial Co., Inc. (Consumer Finance) | 3.550% | 04/09/2021 | 216,000 | 215,332 | ||||||||||||||||
HSBC Holdings PLC (Banks) | (d | ) | QL + 60 | 05/18/2021 | 448,000 | 448,653 | ||||||||||||||
JPMorgan Chase & Co. (Banks) | 2.295% | 08/15/2021 | 292,000 | 282,081 | ||||||||||||||||
JPMorgan Chase & Co. (Banks) | 4.125% | 12/15/2026 | 190,000 | 187,534 | ||||||||||||||||
JPMorgan Chase Bank NA (Banks) | (d | ) | QL + 34 | 04/26/2021 | 537,000 | 537,129 | ||||||||||||||
JPMorgan Chase Bank NA (Banks) | (d | ) | 3.086% | 04/26/2021 | 501,000 | 499,807 | ||||||||||||||
Morgan Stanley (Capital Markets) | 3.950% | 04/23/2027 | 165,000 | 157,235 | ||||||||||||||||
NextEra Energy Operating Partners LP (Insurance) | (c | ) | 4.250% | 09/15/2024 | 37,000 | 35,613 | ||||||||||||||
Raymond James Financial, Inc. (Capital Markets) | 3.625% | 09/15/2026 | 132,000 | 126,717 | ||||||||||||||||
Raymond James Financial, Inc. (Capital Markets) | 4.950% | 07/15/2046 | 236,000 | 239,810 | ||||||||||||||||
Royal Bank of Canada (Banks) | (d | ) | QL + 39 | 04/30/2021 | 554,000 | 553,813 | ||||||||||||||
SVB Financial Group (Banks) | 5.375% | 09/15/2020 | 139,000 | 144,894 | ||||||||||||||||
Syngenta Finance N.V. (Diversified Financial Svs.) | (c | ) | 3.698% | 04/24/2020 | 200,000 | 199,267 |
102 | (continued) |
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||||
FINANCIALS (continued) | ||||||||||||||||||||
Syngenta Finance N.V. (Diversified Financial Svs.) | (c | ) | 3.933% | 04/23/2021 | $ | 200,000 | $ | 199,479 | ||||||||||||
Syngenta Finance N.V. (Diversified Financial Svs.) | (c | ) | 4.441% | 04/24/2023 | 200,000 | 198,815 | ||||||||||||||
Syngenta Finance N.V. (Diversified Financial Svs.) | (c | ) | 4.892% | 04/24/2025 | 200,000 | 196,039 | ||||||||||||||
TD Ameritrade Holding Corp. (Capital Markets) | 3.625% | 04/01/2025 | 89,000 | 88,037 | ||||||||||||||||
|
| |||||||||||||||||||
8,613,510 | ||||||||||||||||||||
|
| |||||||||||||||||||
HEALTH CARE – 0.8% | ||||||||||||||||||||
Aetna, Inc. (Health Care Providers & Svs.) | 2.800% | 06/15/2023 | 127,000 | 121,072 | ||||||||||||||||
Allergan Funding SCS (Pharmaceuticals) | 3.000% | 03/12/2020 | 153,000 | 152,234 | ||||||||||||||||
Becton Dickinson and Co. (Health Care Equip. & Supplies) | 2.894% | 06/06/2022 | 133,000 | 128,606 | ||||||||||||||||
Centene Corp. (Health Care Providers & Svs.) | 4.750% | 05/15/2022 | 15,000 | 15,094 | ||||||||||||||||
Centene Corp. (Health Care Providers & Svs.) | 6.125% | 02/15/2024 | 171,000 | 180,191 | ||||||||||||||||
Centene Corp. (Health Care Providers & Svs.) | 4.750% | 01/15/2025 | 166,000 | 165,170 | ||||||||||||||||
Centene Escrow I Corp. (Health Care Providers & Svs.) | (c | ) | 5.375% | 06/01/2026 | 141,000 | 142,851 | ||||||||||||||
CVS Health Corp. (Health Care Providers & Svs.) | 4.750% | 12/01/2022 | 120,000 | 124,445 | ||||||||||||||||
CVS Health Corp. (Health Care Providers & Svs.) | 4.100% | 03/25/2025 | 332,000 | 330,181 | ||||||||||||||||
CVS Health Corp. (Health Care Providers & Svs.) | 4.300% | 03/25/2028 | 460,000 | 453,569 | ||||||||||||||||
CVS Health Corp. (Health Care Providers & Svs.) | 5.050% | 03/25/2048 | 163,000 | 164,629 | ||||||||||||||||
HCA, Inc. (Health Care Providers & Svs.) | 3.750% | 03/15/2019 | 180,000 | 180,675 | ||||||||||||||||
HCA, Inc. (Health Care Providers & Svs.) | 5.000% | 03/15/2024 | 189,000 | 189,000 | ||||||||||||||||
HCA, Inc. (Health Care Providers & Svs.) | 5.250% | 06/15/2026 | 145,000 | 144,014 | ||||||||||||||||
Teva Pharmaceutical Finance Co. BV (Pharmaceuticals) | 2.950% | 12/18/2022 | 25,000 | 22,747 | ||||||||||||||||
Teva Pharmaceutical Finance Netherlands III BV (Pharmaceuticals) | 2.800% | 07/21/2023 | 146,000 | 126,063 | ||||||||||||||||
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 2.375% | 10/15/2022 | 102,000 | 98,043 | ||||||||||||||||
WellCare Health Plans, Inc. (Health Care Providers & Svs.) | 5.250% | 04/01/2025 | 169,000 | 168,155 | ||||||||||||||||
|
| |||||||||||||||||||
2,906,739 | ||||||||||||||||||||
|
| |||||||||||||||||||
INDUSTRIALS – 0.9% | ||||||||||||||||||||
Arconic, Inc. (Aerospace & Defense) | 5.870% | 02/23/2022 | 22,000 | 22,957 | ||||||||||||||||
Arconic, Inc. (Aerospace & Defense) | 5.125% | 10/01/2024 | 295,000 | 292,985 | ||||||||||||||||
General Dynamics Corp. (Aerospace & Defense) | (d | ) | QL + 29 | 05/11/2020 | 74,000 | 74,183 | ||||||||||||||
General Dynamics Corp. (Aerospace & Defense) | (d | ) | QL + 38 | 05/11/2021 | 74,000 | 74,258 | ||||||||||||||
HD Supply, Inc. (Trading Companies & Distributors) | (c | ) | 5.750% | 04/15/2024 | 469,000 | 490,691 | ||||||||||||||
Huntington Ingalls Industries, Inc. (Aerospace & Defense) | (c | ) | 5.000% | 11/15/2025 | 429,000 | 443,710 | ||||||||||||||
IHS Markit Ltd. (Professional Svs.) | (c | ) | 5.000% | 11/01/2022 | 26,000 | 26,228 | ||||||||||||||
IHS Markit Ltd. (Professional Svs.) | (c | ) | 4.750% | 02/15/2025 | 215,000 | 212,850 | ||||||||||||||
Masonite International Corp. (Building Products) | (c | ) | 5.625% | 03/15/2023 | 82,000 | 83,820 | ||||||||||||||
Northrop Grumman Corp. (Aerospace & Defense) | 2.550% | 10/15/2022 | 285,000 | 274,434 | ||||||||||||||||
Owens Corning (Building Products) | 4.200% | 12/01/2024 | 153,000 | 150,881 | ||||||||||||||||
Owens Corning (Building Products) | 3.400% | 08/15/2026 | 63,000 | 57,423 | ||||||||||||||||
Rockwell Collins, Inc. (Aerospace & Defense) | 3.200% | 03/15/2024 | 114,000 | 109,782 | ||||||||||||||||
Verisk Analytics, Inc. (Professional Svs.) | 4.875% | 01/15/2019 | 82,000 | 82,739 | ||||||||||||||||
Verisk Analytics, Inc. (Professional Svs.) | 5.800% | 05/01/2021 | 211,000 | 223,367 | ||||||||||||||||
Verisk Analytics, Inc. (Professional Svs.) | 4.125% | 09/12/2022 | 184,000 | 187,337 | ||||||||||||||||
Verisk Analytics, Inc. (Professional Svs.) | 5.500% | 06/15/2045 | 222,000 | 228,658 | ||||||||||||||||
|
| |||||||||||||||||||
3,036,303 | ||||||||||||||||||||
|
| |||||||||||||||||||
INFORMATION TECHNOLOGY – 0.7% | ||||||||||||||||||||
Broadcom Corp / Broadcom Cayman Finance Ltd. (Semiconductors & Equip.) | 3.625% | 01/15/2024 | 76,000 | 73,541 | ||||||||||||||||
Broadcom Corp / Broadcom Cayman Finance Ltd. (Semiconductors & Equip.) | 3.125% | 01/15/2025 | 112,000 | 103,879 | ||||||||||||||||
Cadence Design Systems, Inc. (Software) | 4.375% | 10/15/2024 | 156,000 | 157,942 | ||||||||||||||||
First Data Corp. (IT Svs.) | (c | ) | 7.000% | 12/01/2023 | 266,000 | 277,060 | ||||||||||||||
Marvell Technology Group Ltd. (Semiconductors & Equip.) | 4.200% | 06/22/2023 | 108,000 | 107,855 | ||||||||||||||||
Marvell Technology Group Ltd. (Semiconductors & Equip.) | 4.875% | 06/22/2028 | 123,000 | 122,059 | ||||||||||||||||
Microchip Technology, Inc. (Semiconductors & Equip.) | (c | ) | 3.922% | 06/01/2021 | 118,000 | 118,187 | ||||||||||||||
Total System Services, Inc. (IT Svs.) | 3.800% | 04/01/2021 | 134,000 | 134,907 | ||||||||||||||||
Total System Services, Inc. (IT Svs.) | 4.800% | 04/01/2026 | 369,000 | 378,155 | ||||||||||||||||
Trimble, Inc. (Electronic Equip., Instr. & Comp.) | 4.150% | 06/15/2023 | 78,000 | 78,094 | ||||||||||||||||
Trimble, Inc. (Electronic Equip., Instr. & Comp.) | 4.750% | 12/01/2024 | 270,000 | 275,613 | ||||||||||||||||
Trimble, Inc. (Electronic Equip., Instr. & Comp.) | 4.900% | 06/15/2028 | 589,000 | 587,723 | ||||||||||||||||
|
| |||||||||||||||||||
2,415,015 | ||||||||||||||||||||
|
| |||||||||||||||||||
MATERIALS – 0.9% | ||||||||||||||||||||
Anglo American Capital PLC (Metals & Mining) | (c | ) | 4.125% | 09/27/2022 | 450,000 | 452,325 | ||||||||||||||
Ball Corp. (Containers & Packaging) | 4.375% | 12/15/2020 | 187,000 | 188,402 | ||||||||||||||||
CF Industries, Inc. (Chemicals) | (c | ) | 4.500% | 12/01/2026 | 218,000 | 216,380 | ||||||||||||||
CF Industries, Inc. (Chemicals) | 5.375% | 03/15/2044 | 206,000 | 181,795 | ||||||||||||||||
Freeport-McMoRan, Inc. (Metals & Mining) | 3.100% | 03/15/2020 | 76,000 | 74,480 | ||||||||||||||||
Freeport-McMoRan, Inc. (Metals & Mining) | 3.550% | 03/01/2022 | 295,000 | 280,250 | ||||||||||||||||
Freeport-McMoRan, Inc. (Metals & Mining) | 4.550% | 11/14/2024 | 116,000 | 110,200 |
103 | (continued) |
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||||
MATERIALS (continued) | ||||||||||||||||||||
Freeport-McMoRan, Inc. (Metals & Mining) | 5.450% | 03/15/2043 | $ | 117,000 | $ | 102,632 | ||||||||||||||
Georgia-Pacific LLC (Paper & Forest Products) | (c | ) | 3.163% | 11/15/2021 | 99,000 | 98,360 | ||||||||||||||
Georgia-Pacific LLC (Paper & Forest Products) | (c | ) | 3.600% | 03/01/2025 | 386,000 | 384,144 | ||||||||||||||
Martin Marietta Materials, Inc. (Construction Materials) | 4.250% | 07/02/2024 | 103,000 | 103,893 | ||||||||||||||||
Reliance Steel & Aluminum Co. (Metals & Mining) | 4.500% | 04/15/2023 | 116,000 | 118,578 | ||||||||||||||||
Sherwin-Williams Co. / The (Chemicals) | 2.750% | 06/01/2022 | 78,000 | 75,493 | ||||||||||||||||
Steel Dynamics, Inc. (Metals & Mining) | 4.125% | 09/15/2025 | 197,000 | 188,874 | ||||||||||||||||
Steel Dynamics, Inc. (Metals & Mining) | 5.000% | 12/15/2026 | 89,000 | 89,000 | ||||||||||||||||
Teck Resources Ltd. (Metals & Mining) | 4.500% | 01/15/2021 | 82,000 | 82,000 | ||||||||||||||||
Teck Resources Ltd. (Metals & Mining) | 4.750% | 01/15/2022 | 118,000 | 118,247 | ||||||||||||||||
Teck Resources Ltd. (Metals & Mining) | (c | ) | 8.500% | 06/01/2024 | 190,000 | 208,287 | ||||||||||||||
Vulcan Materials Co. (Construction Materials) | 4.500% | 04/01/2025 | 223,000 | 224,038 | ||||||||||||||||
|
| |||||||||||||||||||
3,297,378 | ||||||||||||||||||||
|
| |||||||||||||||||||
REAL ESTATE – 0.8% | ||||||||||||||||||||
Alexandria Real Estate Equities, Inc. (Equity REIT) | 2.750% | 01/15/2020 | 152,000 | 150,754 | ||||||||||||||||
Alexandria Real Estate Equities, Inc. (Equity REIT) | 4.600% | 04/01/2022 | 257,000 | 265,174 | ||||||||||||||||
Alexandria Real Estate Equities, Inc. (Equity REIT) | 4.500% | 07/30/2029 | 111,000 | 110,551 | ||||||||||||||||
American Tower Corp. (Equity REIT) | 3.300% | 02/15/2021 | 270,000 | 269,689 | ||||||||||||||||
American Tower Corp. (Equity REIT) | 4.400% | 02/15/2026 | 168,000 | 166,743 | ||||||||||||||||
Crown Castle International Corp. (Equity REIT) | 5.250% | 01/15/2023 | 222,000 | 232,548 | ||||||||||||||||
Crown Castle International Corp. (Equity REIT) | 3.200% | 09/01/2024 | 177,000 | 166,976 | ||||||||||||||||
Crown Castle Towers LLC (Equity REIT) | 3.720% | 07/15/2023 | 136,000 | 136,055 | ||||||||||||||||
Crown Castle Towers LLC (Equity REIT) | (c | ) | 3.720% | 07/15/2023 | 136,000 | 136,000 | ||||||||||||||
Crown Castle Towers LLC (Equity REIT) | (c | ) | 4.241% | 07/15/2028 | 233,000 | 233,206 | ||||||||||||||
Jones Lang LaSalle, Inc. (Real Estate Mgmt. & Development) | 4.400% | 11/15/2022 | 197,000 | 201,397 | ||||||||||||||||
Kennedy-Wilson, Inc. (Real Estate Mgmt. & Development) | 5.875% | 04/01/2024 | 472,000 | 457,840 | ||||||||||||||||
Senior Housing Properties Trust (Equity REIT) | 6.750% | 12/15/2021 | 61,000 | 65,336 | ||||||||||||||||
SL Green Realty Corp. (Equity REIT) | 5.000% | 08/15/2018 | 85,000 | 85,127 | ||||||||||||||||
SL Green Realty Corp. (Equity REIT) | 7.750% | 03/15/2020 | 237,000 | 253,194 | ||||||||||||||||
|
| |||||||||||||||||||
2,930,590 | ||||||||||||||||||||
|
| |||||||||||||||||||
TELECOMMUNICATION SERVICES – 0.5% | ||||||||||||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 4.250% | 03/01/2027 | 246,000 | 240,783 | ||||||||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | (c | ) | 4.100% | 02/15/2028 | 279,000 | 266,500 | ||||||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 5.250% | 03/01/2037 | 74,000 | 72,903 | ||||||||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | (c | ) | 5.150% | 11/15/2046 | 165,000 | 155,329 | ||||||||||||||
BellSouth, LLC (Diversified Telecom. Svs.) | (c | ) | 4.333% | 04/26/2019 | 564,000 | 569,884 | ||||||||||||||
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 2.625% | 08/15/2026 | 247,000 | 219,144 | ||||||||||||||||
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 4.862% | 08/21/2046 | 105,000 | 100,258 | ||||||||||||||||
|
| |||||||||||||||||||
1,624,801 | ||||||||||||||||||||
|
| |||||||||||||||||||
UTILITIES – 0.2% | ||||||||||||||||||||
Duke Energy Corp. (Electric Utilities) | 1.800% | 09/01/2021 | 96,000 | 91,843 | ||||||||||||||||
Duke Energy Corp. (Electric Utilities) | 2.400% | 08/15/2022 | 116,000 | 111,533 | ||||||||||||||||
PPL WEM Ltd. / Western Power Distribution Ltd. (Electric Utilities) | (c | ) | 5.375% | 05/01/2021 | 203,000 | 211,151 | ||||||||||||||
Sempra Energy (Multi-Utilities) | (d | ) | QL + 50 | 01/15/2021 | 202,000 | 202,102 | ||||||||||||||
Southern Co. / The (Electric Utilities) | 2.950% | 07/01/2023 | 192,000 | 185,140 | ||||||||||||||||
|
| |||||||||||||||||||
801,769 | ||||||||||||||||||||
|
| |||||||||||||||||||
Total Corporate Bonds (Cost $34,339,133) | $ | 33,668,781 | ||||||||||||||||||
|
| |||||||||||||||||||
U.S. Government Agency Mortgage-Backed Securities – 8.2% | Rate | Maturity | Face Amount | Value | ||||||||||||||||
Fannie Mae Pool FN AB6548 | 3.500% | 10/01/2042 | $ | 117,226 | $ | 117,532 | ||||||||||||||
Fannie Mae Pool FN AB8407 | 3.500% | 02/01/2043 | 29,316 | 29,293 | ||||||||||||||||
Fannie Mae Pool FN AL3083 | 3.500% | 12/01/2042 | 273,052 | 272,841 | ||||||||||||||||
Fannie Mae Pool FN AL5310 | 3.500% | 04/01/2044 | 4,883 | 4,901 | ||||||||||||||||
Fannie Mae Pool FN AL5887 | 4.500% | 10/01/2044 | 31,399 | 33,107 | ||||||||||||||||
Fannie Mae Pool FN AL5942 | 5.000% | 07/01/2044 | 177,876 | 192,549 | ||||||||||||||||
Fannie Mae Pool FN AL6348 | 3.500% | 02/01/2045 | 39,011 | 38,980 | ||||||||||||||||
Fannie Mae Pool FN AL6542 | 4.500% | 03/01/2045 | 51,877 | 54,701 | ||||||||||||||||
Fannie Mae Pool FN AL6620 | 4.500% | 08/01/2042 | 320,179 | 337,585 | ||||||||||||||||
Fannie Mae Pool FN AL6997 | 4.500% | 11/01/2042 | 24,152 | 25,408 | ||||||||||||||||
Fannie Mae Pool FN AL7381 | 4.500% | 06/01/2045 | 130,396 | 136,672 | ||||||||||||||||
Fannie Mae Pool FN AR2624 | 3.500% | 02/01/2043 | 46,006 | 45,971 | ||||||||||||||||
Fannie Mae Pool FN AS7587 | 3.500% | 07/01/2046 | 229,220 | 228,972 | ||||||||||||||||
Fannie Mae Pool FN AS7822 | 3.500% | 08/01/2046 | 649,564 | 648,258 | ||||||||||||||||
Fannie Mae Pool FN AS8510 | 4.500% | 12/01/2046 | 78,979 | 82,710 | ||||||||||||||||
Fannie Mae Pool FN AS9751 | 4.000% | 05/01/2047 | 58,680 | 59,883 | ||||||||||||||||
Fannie Mae Pool FN AT2957 | 3.000% | 05/01/2043 | 34,379 | 33,558 |
104 | (continued) |
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
U.S. Government Agency Mortgage-Backed Securities (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||
Fannie Mae Pool FN AZ9203 | 3.000 | % | 10/01/2045 | $ | 84,679 | $ | 82,084 | |||||||||
Fannie Mae Pool FN BA2885 | 3.000 | % | 10/01/2045 | 131,057 | 127,041 | |||||||||||
Fannie Mae Pool FN BA4752 | 3.000 | % | 01/01/2046 | 17,452 | 16,932 | |||||||||||
Fannie Mae Pool FN BC2468 | 3.000 | % | 03/01/2046 | 376,162 | 364,845 | |||||||||||
Fannie Mae Pool FN BC2488 | 3.000 | % | 03/01/2046 | 562,819 | 545,886 | |||||||||||
Fannie Mae Pool FN BD0667 | 4.500 | % | 06/01/2047 | 20,187 | 21,173 | |||||||||||
Fannie Mae Pool FN BD6435 | 4.000 | % | 10/01/2046 | 10,497 | 10,745 | |||||||||||
Fannie Mae Pool FN BD8952 | 3.000 | % | 11/01/2046 | 45,663 | 44,342 | |||||||||||
Fannie Mae Pool FN BD8980 | 3.000 | % | 11/01/2046 | 42,579 | 41,346 | |||||||||||
Fannie Mae Pool FN BE0637 | 4.000 | % | 07/01/2047 | 7,964 | 8,146 | |||||||||||
Fannie Mae Pool FN BE0640 | 4.500 | % | 08/01/2047 | 18,135 | 19,023 | |||||||||||
Fannie Mae Pool FN BE2717 | 4.500 | % | 07/01/2047 | 13,006 | 13,641 | |||||||||||
Fannie Mae Pool FN BE2732 | 4.000 | % | 07/01/2047 | 26,463 | 27,072 | |||||||||||
Fannie Mae Pool FN BE2733 | 4.500 | % | 07/01/2047 | 14,420 | 15,124 | |||||||||||
Fannie Mae Pool FN BE2774 | 4.000 | % | 10/01/2047 | 58,300 | 59,640 | |||||||||||
Fannie Mae Pool FN BE2784 | 4.000 | % | 11/01/2047 | 78,288 | 80,087 | |||||||||||
Fannie Mae Pool FN BE2786 | 4.500 | % | 11/01/2047 | 71,223 | 74,712 | |||||||||||
Fannie Mae Pool FN BF0130 | 3.500 | % | 08/01/2056 | 393,954 | 391,214 | |||||||||||
Fannie Mae Pool FN BF0167 | 3.000 | % | 02/01/2057 | 359,671 | 345,420 | |||||||||||
Fannie Mae Pool FN BH3305 | 4.500 | % | 05/01/2047 | 29,539 | 31,108 | |||||||||||
Fannie Mae Pool FN BH3306 | 4.500 | % | 05/01/2047 | 24,794 | 26,031 | |||||||||||
Fannie Mae Pool FN BH3307 | 4.500 | % | 05/01/2047 | 24,343 | 25,531 | |||||||||||
Fannie Mae Pool FN BH3336 | 4.500 | % | 05/01/2047 | 18,299 | 19,283 | |||||||||||
Fannie Mae Pool FN BH3337 | 4.500 | % | 05/01/2047 | 14,327 | 15,082 | |||||||||||
Fannie Mae Pool FN BH3338 | 4.500 | % | 05/01/2047 | 17,057 | 17,889 | |||||||||||
Fannie Mae Pool FN BH3540 | 4.000 | % | 06/01/2047 | 6,957 | 7,106 | |||||||||||
Fannie Mae Pool FN BH3892 | 3.500 | % | 08/01/2047 | 83,498 | 83,278 | |||||||||||
Fannie Mae Pool FN BH4380 | 4.000 | % | 06/01/2047 | 15,377 | 15,729 | |||||||||||
Fannie Mae Pool FN BH4639 | 4.500 | % | 06/01/2047 | 10,527 | 11,076 | |||||||||||
Fannie Mae Pool FN BH4640 | 4.500 | % | 05/01/2047 | 8,365 | 8,782 | |||||||||||
Fannie Mae Pool FN BH4667 | 4.500 | % | 05/01/2047 | 5,498 | 5,785 | |||||||||||
Fannie Mae Pool FN BH4706 | 4.500 | % | 05/01/2047 | 6,062 | 6,378 | |||||||||||
Fannie Mae Pool FN BH5672 | 4.000 | % | 06/01/2047 | 15,301 | 15,606 | |||||||||||
Fannie Mae Pool FN BH5673 | 4.000 | % | 07/01/2047 | 11,519 | 11,782 | |||||||||||
Fannie Mae Pool FN BH5725 | 4.000 | % | 11/01/2047 | 90,978 | 92,928 | |||||||||||
Fannie Mae Pool FN BH6165 | 4.000 | % | 02/15/2048 | 25,319 | 25,898 | |||||||||||
Fannie Mae Pool FN BH6168 | 4.000 | % | 06/01/2047 | 30,962 | 31,671 | |||||||||||
Fannie Mae Pool FN BH6170 | 4.500 | % | 07/01/2047 | 67,369 | 70,659 | |||||||||||
Fannie Mae Pool FN BH6940 | 3.500 | % | 01/15/2048 | 52,752 | 52,609 | |||||||||||
Fannie Mae Pool FN BH7029 | 4.000 | % | 12/01/2047 | 179,476 | 183,322 | |||||||||||
Fannie Mae Pool FN BH7108 | 4.000 | % | 02/15/2048 | 342,495 | 349,835 | |||||||||||
Fannie Mae Pool FN BH8168 | 4.000 | % | 08/01/2047 | 28,081 | 28,724 | |||||||||||
Fannie Mae Pool FN BH8170 | 4.000 | % | 08/01/2047 | 47,970 | 49,068 | |||||||||||
Fannie Mae Pool FN BH8171 | 4.500 | % | 08/01/2047 | 93,128 | 97,675 | |||||||||||
Fannie Mae Pool FN BH8224 | 4.000 | % | 08/01/2047 | 140,127 | 143,036 | |||||||||||
Fannie Mae Pool FN BH8655 | 4.000 | % | 08/01/2047 | 12,494 | 12,754 | |||||||||||
Fannie Mae Pool FN BJ0241 | 4.000 | % | 09/01/2047 | 12,805 | 13,100 | |||||||||||
Fannie Mae Pool FN BJ1588 | 4.000 | % | 10/01/2047 | 26,706 | 27,320 | |||||||||||
Fannie Mae Pool FN BJ1692 | 3.500 | % | 12/01/2047 | 141,197 | 141,016 | |||||||||||
Fannie Mae Pool FN BJ1695 | 3.500 | % | 12/01/2047 | 25,413 | 25,346 | |||||||||||
Fannie Mae Pool FN BJ1735 | 4.000 | % | 10/01/2047 | 53,865 | 55,103 | |||||||||||
Fannie Mae Pool FN BJ1747 | 4.000 | % | 10/01/2047 | 33,780 | 34,557 | |||||||||||
Fannie Mae Pool FN BJ1758 | 4.000 | % | 10/01/2047 | 51,775 | 52,965 | |||||||||||
Fannie Mae Pool FN BJ2553 | 3.500 | % | 12/01/2047 | 165,835 | 165,087 | |||||||||||
Fannie Mae Pool FN BJ3260 | 4.500 | % | 10/01/2047 | 6,661 | 6,987 | |||||||||||
Fannie Mae Pool FN BJ3265 | 4.000 | % | 11/01/2047 | 24,248 | 24,806 | |||||||||||
Fannie Mae Pool FN BJ4558 | 3.500 | % | 01/01/2048 | 104,478 | 104,406 | |||||||||||
Fannie Mae Pool FN BJ4559 | 3.500 | % | 01/01/2048 | 36,414 | 36,345 | |||||||||||
Fannie Mae Pool FN BJ4566 | 4.000 | % | 01/01/2048 | 354,268 | 362,540 | |||||||||||
Fannie Mae Pool FN BJ4567 | 4.000 | % | 01/01/2048 | 604,165 | 617,898 | |||||||||||
Fannie Mae Pool FN BJ5796 | 4.500 | % | 03/01/2048 | 117,402 | 123,507 | |||||||||||
Fannie Mae Pool FN BJ5834 | 4.500 | % | 05/01/2048 | 61,432 | 64,532 | |||||||||||
Fannie Mae Pool FN BJ5844 | 4.500 | % | 04/01/2048 | 88,928 | 93,649 | |||||||||||
Fannie Mae Pool FN BK1964 | 4.000 | % | 03/01/2048 | 145,317 | 148,711 | |||||||||||
Fannie Mae Pool FN BK1975 | 3.500 | % | 03/01/2048 | 59,839 | 59,798 | |||||||||||
Fannie Mae Pool FN BK3986 | 4.500 | % | 05/01/2048 | 72,215 | 76,327 | |||||||||||
Fannie Mae Pool FN BK4039 | 4.500 | % | 06/01/2048 | 68,431 | 72,159 | |||||||||||
Fannie Mae Pool FN BK4157 | 4.000 | % | 05/01/2048 | 374,297 | 381,791 | |||||||||||
Fannie Mae Pool FN BK5358 | 4.000 | % | 05/01/2048 | 95,839 | 97,748 | |||||||||||
Fannie Mae Pool FN BK5378 | 4.000 | % | 06/01/2048 | 151,000 | 154,008 | |||||||||||
Fannie Mae Pool FN BM3032 | 3.000 | % | 02/01/2047 | 716,657 | 700,290 |
105 | (continued) |
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
U.S. Government Agency Mortgage-Backed Securities (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||||||||
Fannie Mae Pool FN BM3144 | 4.000 | % | 11/01/2047 | $ | 161,612 | $ | 165,036 | |||||||||||||||||
Fannie Mae Pool FN BM3511 | 4.500 | % | 02/01/2046 | 219,770 | 231,112 | |||||||||||||||||||
Fannie Mae Pool FN CA0532 | 3.500 | % | 10/01/2047 | 323,549 | 322,647 | |||||||||||||||||||
Fannie Mae Pool FN CA0862 | 3.500 | % | 09/01/2047 | 142,201 | 141,560 | |||||||||||||||||||
Fannie Mae Pool FN MA1363 | 3.000 | % | 02/01/2043 | 9,312 | 9,090 | |||||||||||||||||||
Fannie Mae Pool FN MA3384 | 4.000 | % | 06/01/2048 | 875,585 | 893,200 | |||||||||||||||||||
Fannie Mae REMICS FNR 2018-27 EA | 3.000 | % | 05/25/2048 | 332,509 | 322,493 | |||||||||||||||||||
Fannie Mae TBA | (e | ) | 5.000 | % | 07/15/2048 | 1,172,500 | 1,241,912 | |||||||||||||||||
Fannie Mae TBA | (e | ) | 3.500 | % | 07/15/2048 | 849,000 | 844,747 | |||||||||||||||||
Fannie Mae TBA | (e | ) | 4.000 | % | 07/15/2048 | 3,932,000 | 4,008,336 | |||||||||||||||||
Fannie Mae TBA | (e | ) | 4.500 | % | 07/15/2048 | 2,827,000 | 2,943,444 | |||||||||||||||||
Fannie Mae TBA | (e | ) | 4.500 | % | 08/15/2048 | 359,000 | 373,115 | |||||||||||||||||
Fannie Mae TBA | (e | ) | 5.000 | % | 08/15/2048 | 1,172,500 | 1,239,627 | |||||||||||||||||
Freddie Mac Gold Pool FG G08622 | 3.000 | % | 01/01/2045 | 65,341 | 63,570 | |||||||||||||||||||
Freddie Mac Gold Pool FG G08817 | 4.000 | % | 06/01/2048 | 149,531 | 152,552 | |||||||||||||||||||
Freddie Mac Gold Pool FG G60658 | 3.500 | % | 07/01/2046 | 441,091 | 441,735 | |||||||||||||||||||
Freddie Mac Gold Pool FG G60989 | 3.000 | % | 12/01/2046 | 674,673 | 654,087 | |||||||||||||||||||
Freddie Mac Gold Pool FG G67710 | 3.500 | % | 03/01/2048 | 531,082 | 529,141 | |||||||||||||||||||
Freddie Mac Gold Pool FG Q40332 | 4.000 | % | 05/01/2046 | 71,116 | 72,762 | |||||||||||||||||||
Freddie Mac Gold Pool FG Q41917 | 3.500 | % | 07/01/2046 | 90,281 | 89,963 | |||||||||||||||||||
Freddie Mac Gold Pool FG Q51328 | 3.500 | % | 10/01/2047 | 258,345 | 257,104 | |||||||||||||||||||
Freddie Mac Gold Pool FG Q52419 | 3.500 | % | 11/01/2047 | 113,251 | 112,853 | |||||||||||||||||||
Freddie Mac Gold Pool FG Q53205 | 3.500 | % | 12/01/2047 | 82,168 | 82,065 | |||||||||||||||||||
Freddie Mac Gold Pool FG Q54450 | 3.500 | % | 02/01/2048 | 33,715 | 33,606 | |||||||||||||||||||
Freddie Mac Gold Pool FG Q54453 | 3.500 | % | 02/01/2048 | 33,788 | 33,641 | |||||||||||||||||||
Freddie Mac Gold Pool FG Q54647 | 3.500 | % | 03/01/2048 | 345,007 | 343,298 | |||||||||||||||||||
Freddie Mac Gold Pool FG Q54780 | 3.500 | % | 03/01/2048 | 82,591 | 82,181 | |||||||||||||||||||
Freddie Mac Gold Pool FG Q54952 | 4.000 | % | 03/01/2048 | 93,579 | 95,718 | |||||||||||||||||||
Freddie Mac Gold Pool FG Q55522 | 4.000 | % | 04/01/2048 | 135,481 | 138,138 | |||||||||||||||||||
Freddie Mac Gold Pool FG Q55628 | 4.000 | % | 04/01/2048 | 146,556 | 149,815 | |||||||||||||||||||
Freddie Mac Gold Pool FG Q55894 | 4.000 | % | 05/01/2048 | 65,906 | 67,191 | |||||||||||||||||||
Freddie Mac Gold Pool FG Q55913 | 4.000 | % | 05/01/2048 | 394,910 | 402,888 | |||||||||||||||||||
Freddie Mac Gold Pool FG Q56524 | 4.000 | % | 06/01/2048 | 107,000 | 109,166 | |||||||||||||||||||
Freddie Mac Gold Pool FG U91030 | 3.500 | % | 02/01/2043 | 100,131 | 100,122 | |||||||||||||||||||
Freddie Mac Gold Pool FG U99096 | 4.500 | % | 05/01/2044 | 133,488 | 140,637 | |||||||||||||||||||
Freddie Mac Gold Pool FG U99114 | 3.500 | % | 02/01/2044 | 14,157 | 14,155 | |||||||||||||||||||
Freddie Mac Gold Pool FG V82645 | 3.000 | % | 10/01/2046 | 360,913 | 349,907 | |||||||||||||||||||
Ginnie Mae I Pool GN 784059 | 4.000 | % | 01/15/2045 | 293,596 | 303,036 | |||||||||||||||||||
Ginnie Mae I Pool GN 784182 | 4.500 | % | 08/15/2046 | 475,865 | 506,230 | |||||||||||||||||||
Ginnie Mae I Pool GN BB4357 | 4.000 | % | 07/15/2047 | 369,409 | 378,788 | |||||||||||||||||||
Ginnie Mae I Pool GN BC7161 | 4.000 | % | 08/15/2047 | 77,299 | 79,261 | |||||||||||||||||||
Ginnie Mae I Pool GN BD7109 | 4.000 | % | 11/15/2047 | 69,747 | 71,721 | |||||||||||||||||||
Ginnie Mae I Pool GN BD7135 | 4.000 | % | 12/15/2047 | 92,726 | 95,355 | |||||||||||||||||||
Ginnie Mae II Pool G2 784446 | 3.000 | % | 02/20/2048 | 276,707 | 270,814 | |||||||||||||||||||
Ginnie Mae II Pool G2 BB9817 | 4.000 | % | 08/20/2047 | 33,575 | 34,640 | |||||||||||||||||||
Ginnie Mae II Pool G2 BH3672 | 4.500 | % | 05/20/2048 | 47,209 | 49,835 | |||||||||||||||||||
Ginnie Mae II Pool G2 BH3673 | 4.500 | % | 05/20/2048 | 197,711 | 208,709 | |||||||||||||||||||
|
| |||||||||||||||||||||||
Total U.S. Government Agency Mortgage-Backed Securities (Cost $29,293,161) |
| $ | 28,961,018 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
Purchased Options – 6.6% | Notional Amount | Expiration | Exercise Price | Contracts (f) | Value | |||||||||||||||||||
S&P 500 Index Call Option | $ | 6,795,925 | December 2019 | $2,400 | 25 | $ | 1,096,000 | |||||||||||||||||
S&P 500 Index Call Option | 4,077,555 | December 2019 | $2,450 | 15 | 602,100 | |||||||||||||||||||
S&P 500 Index Call Option | 12,232,665 | December 2019 | $2,500 | 45 | 1,644,300 | |||||||||||||||||||
S&P 500 Index Call Option | 3,262,044 | December 2019 | $2,600 | 12 | 355,920 | |||||||||||||||||||
S&P 500 Index Call Option | 1,359,185 | December 2019 | $2,800 | 5 | 92,000 | |||||||||||||||||||
S&P 500 Index Call Option | 1,359,185 | December 2019 | $2,900 | 5 | 62,100 | |||||||||||||||||||
S&P 500 Index Call Option | 19,028,590 | December 2020 | $2,750 | 70 | 1,971,200 | |||||||||||||||||||
S&P 500 Index Call Option | 9,514,295 | December 2020 | $2,800 | 35 | 892,500 | |||||||||||||||||||
S&P 500 Index Call Option | 8,155,110 | December 2020 | $2,850 | 30 | 689,100 | |||||||||||||||||||
S&P 500 Index Call Option | 4,077,555 | December 2020 | $2,900 | 15 | 308,250 | |||||||||||||||||||
S&P 500 Index Put Option | 6,795,925 | December 2019 | $2,400 | 25 | 258,250 | |||||||||||||||||||
S&P 500 Index Put Option | 4,077,555 | December 2019 | $2,450 | 15 | 171,150 | |||||||||||||||||||
S&P 500 Index Put Option | 12,232,665 | December 2019 | $2,500 | 45 | 566,550 | |||||||||||||||||||
S&P 500 Index Put Option | 3,262,044 | December 2019 | $2,600 | 12 | 177,600 | |||||||||||||||||||
S&P 500 Index Put Option | 21,203,286 | December 2019 | $2,750 | 78 | 1,577,160 | |||||||||||||||||||
S&P 500 Index Put Option | 19,028,590 | December 2019 | $2,800 | 70 | 1,508,360 | |||||||||||||||||||
S&P 500 Index Put Option | 1,359,185 | December 2019 | $2,900 | 5 | 133,300 | |||||||||||||||||||
S&P 500 Index Put Option | 19,028,590 | December 2020 | $2,750 | 70 | 1,791,300 | |||||||||||||||||||
S&P 500 Index Put Option | 9,514,295 | December 2020 | $2,800 | 35 | 964,250 |
106 | (continued) |
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
Purchased Options (Continued) | Notional Amount | Expiration | Exercise Price | Contracts (f) | Value | |||||||||||||||||
S&P 500 Index Put Option | $ | 8,155,110 | December 2020 |
| $2,850 | 30 | $ | 888,900 | ||||||||||||||
S&P 500 Index Put Option | 4,077,555 | December 2020 |
| $2,900 | 15 | 477,300 | ||||||||||||||||
SPDR S&P 500 ETF Trust Call Option | 3,119,720 | December 2019 |
| $235 | 115 | 571,320 | ||||||||||||||||
SPDR S&P 500 ETF Trust Call Option | 5,262,832 | December 2019 |
| $240 | 194 | 883,670 | ||||||||||||||||
SPDR S&P 500 ETF Trust Call Option | 5,154,320 | December 2019 |
| $245 | 190 | 797,050 | ||||||||||||||||
SPDR S&P 500 ETF Trust Call Option | 4,883,040 | December 2019 |
| $250 | 180 | 682,920 | ||||||||||||||||
SPDR S&P 500 ETF Trust Call Option | 2,577,160 | December 2019 |
| $255 | 95 | 317,585 | ||||||||||||||||
SPDR S&P 500 ETF Trust Call Option | 4,611,760 | December 2019 |
| $260 | 170 | 510,340 | ||||||||||||||||
SPDR S&P 500 ETF Trust Call Option | 4,964,424 | December 2019 |
| $265 | 183 | 489,159 | ||||||||||||||||
SPDR S&P 500 ETF Trust Call Option | 2,305,880 | December 2019 |
| $270 | 85 | 206,380 | ||||||||||||||||
SPDR S&P 500 ETF Trust Call Option | 2,712,800 | December 2019 |
| $275 | 100 | 205,700 | ||||||||||||||||
SPDR S&P 500 ETF Trust Call Option | 3,255,360 | December 2019 |
| $280 | 120 | 212,640 | ||||||||||||||||
SPDR S&P 500 ETF Trust Call Option | 1,057,992 | December 2019 |
| $285 | 39 | 60,528 | ||||||||||||||||
SPDR S&P 500 ETF Trust Put Option | 3,119,720 | December 2019 |
| $235 | 115 | 105,915 | ||||||||||||||||
SPDR S&P 500 ETF Trust Put Option | 5,262,832 | December 2019 |
| $240 | 194 | 203,700 | ||||||||||||||||
SPDR S&P 500 ETF Trust Put Option | 5,154,320 | December 2019 |
| $245 | 190 | 220,590 | ||||||||||||||||
SPDR S&P 500 ETF Trust Put Option | 4,883,040 | December 2019 |
| $250 | 180 | 225,900 | ||||||||||||||||
SPDR S&P 500 ETF Trust Put Option | 2,577,160 | December 2019 |
| $255 | 95 | 131,005 | ||||||||||||||||
SPDR S&P 500 ETF Trust Put Option | 4,611,760 | December 2019 |
| $260 | 170 | 264,180 | ||||||||||||||||
SPDR S&P 500 ETF Trust Put Option | 4,964,424 | December 2019 |
| $265 | 183 | 310,002 | ||||||||||||||||
SPDR S&P 500 ETF Trust Put Option | 2,305,880 | December 2019 |
| $270 | 85 | 156,995 | ||||||||||||||||
SPDR S&P 500 ETF Trust Put Option | 2,712,800 | December 2019 |
| $275 | 100 | 206,500 | ||||||||||||||||
SPDR S&P 500 ETF Trust Put Option | 3,255,360 | December 2019 |
| $280 | 120 | 266,040 | ||||||||||||||||
SPDR S&P 500 ETF Trust Put Option | 1,057,992 | December 2019 |
| $285 | 39 | 97,227 | ||||||||||||||||
|
| |||||||||||||||||||||
Total Purchased Options (Cost $22,748,362) | $ | 23,352,936 | ||||||||||||||||||||
|
| |||||||||||||||||||||
Asset-Backed / Mortgage-Backed Securities – 3.7% | Rate | Maturity | Face Amount | Value | ||||||||||||||||||
CONSUMER DISCRETIONARY – 0.2% | ||||||||||||||||||||||
Applebee’s Funding LLC / IHOP Funding LLC 2014-1 A2 | (c) | 4.277 | % | 09/05/2044 | $ | 197,508 | $ | 195,897 | ||||||||||||||
Credit Acceptance Auto Loan Trust 2018-2A A | (c) | 3.470 | % | 05/17/2027 | 250,000 | 250,548 | ||||||||||||||||
Drive Auto Receivables Trust 2017-1 D | 3.840 | % | 03/15/2023 | 23,000 | 23,195 | |||||||||||||||||
Drive Auto Receivables Trust 2017-AA D | (c) | 4.160 | % | 05/15/2024 | 130,000 | 131,605 | ||||||||||||||||
Exeter Automobile Receivables Trust 2018-2A C | (c) | 3.690 | % | 03/15/2023 | 105,000 | 104,852 | ||||||||||||||||
Flagship Credit Auto Trust 2016-3 C | (c) | 2.720 | % | 07/15/2022 | 100,000 | 99,011 | ||||||||||||||||
Westlake Automobile Receivables Trust 2018-1A C | (c) | 2.920 | % | 05/15/2023 | 16,000 | 15,862 | ||||||||||||||||
Westlake Automobile Receivables Trust 2018-1A D | (c) | 3.410 | % | 05/15/2023 | 16,000 | 15,903 | ||||||||||||||||
Westlake Automobile Receivables Trust 2018-2A B | (c) | 3.200 | % | 01/16/2024 | 37,000 | 37,005 | ||||||||||||||||
Westlake Automobile Receivables Trust 2018-2A C | (c) | 3.500 | % | 01/16/2024 | 64,000 | 64,165 | ||||||||||||||||
|
| |||||||||||||||||||||
938,043 | ||||||||||||||||||||||
|
| |||||||||||||||||||||
FINANCIALS – 3.5% | ||||||||||||||||||||||
AmeriCredit Automobile Receivables Trust 2015-2 D | 3.000 | % | 06/08/2021 | 20,000 | 19,988 | |||||||||||||||||
AmeriCredit Automobile Receivables Trust 2015-3 D | 3.340 | % | 08/08/2021 | 383,000 | 384,114 | |||||||||||||||||
AmeriCredit Automobile Receivables Trust 2016-1 D | 3.590 | % | 02/08/2022 | 81,000 | 81,442 | |||||||||||||||||
AmeriCredit Automobile Receivables Trust 2016-2 D | 3.650 | % | 05/09/2022 | 63,000 | 63,496 | |||||||||||||||||
Angel Oak Mortgage Trust I, LLC 2018-2 A1 | (c) | 3.674 | % | 07/27/2048 | 70,000 | 69,999 | ||||||||||||||||
Arroyo Mortgage Trust 2018-1 A1 | (c) | 3.763 | % | 04/25/2048 | 107,961 | 108,163 | ||||||||||||||||
Bain Capital Credit CLO 2018-1A A1 | (c)(d) | QL + 96 | 04/23/2031 | 296,000 | 295,337 | |||||||||||||||||
BAMLL Commercial Mortgage Securities Trust 2013-WBRK A | (c) | 3.652 | % | 03/10/2037 | 169,000 | 166,673 | ||||||||||||||||
BAMLL Commercial Mortgage Securities Trust 2014-FL1 E | (c)(d) | ML + 550 | 12/15/2031 | 200,000 | 192,848 | |||||||||||||||||
BBCMS Mortgage Trust 2018-TALL A | (c)(d) | ML + 72 | 03/15/2037 | 845,000 | 843,671 | |||||||||||||||||
BBCMS Trust 2015-SRCH A2 | (c) | 4.197 | % | 08/10/2035 | 210,000 | 216,205 | ||||||||||||||||
Bean Creek CLO Ltd. 2015-1A AR | (c)(d) | QL + 102 | 04/20/2031 | 221,000 | 219,895 | |||||||||||||||||
BXP Trust 2017-GM A | (c) | 3.379 | % | 06/13/2039 | 96,000 | 93,218 | ||||||||||||||||
Caesars Palace Las Vegas Trust 2017-VICI C | (c) | 4.138 | % | 10/15/2034 | 135,000 | 136,059 | ||||||||||||||||
Caesars Palace Las Vegas Trust 2017-VICI D | (c) | 4.499 | % | 10/15/2034 | 145,000 | 145,865 | ||||||||||||||||
Caesars Palace Las Vegas Trust 2017-VICI E | (c) | 4.499 | % | 10/15/2034 | 191,000 | 187,479 | ||||||||||||||||
Carlyle Global Market Strategies CLO 2014-2RA A1 | (c)(d) | QL + 105 | 05/15/2031 | 328,000 | 326,566 | |||||||||||||||||
CARLYLE U.S. CLO 2018-1A A1 | (c)(d) | QL + 102 | 04/20/2031 | 422,000 | 420,333 | |||||||||||||||||
CGMS Commercial Mortgage Trust 2017-MDRB B | (c)(d) | ML + 175 | 07/15/2030 | 100,000 | 99,925 | |||||||||||||||||
CIFC Funding 2013-4A A1RR | (c)(d) | QL + 106 | 04/27/2031 | 250,000 | 249,196 | |||||||||||||||||
CIFC Funding 2018-2A A1 | (c)(d) | QL + 104 | 04/20/2031 | 258,000 | 257,094 | |||||||||||||||||
CSMLT 2015-2 A6 | (c) | 3.500 | % | 08/25/2045 | 133,815 | 133,052 | ||||||||||||||||
Dryden 41 Senior Loan Fund 2015-41A AR | (c)(d) | QL + 97 | 04/15/2031 | 250,000 | 249,515 | |||||||||||||||||
Dryden 64 CLO Ltd. 2018-64A A | (c)(d) | QL + 97 | 04/18/2031 | 250,000 | 249,652 | |||||||||||||||||
Evergreen Credit Card Trust 2018-1 A | (c) | 2.950 | % | 03/15/2023 | 100,000 | 99,593 | ||||||||||||||||
Fannie Mae Connecticut Avenue Securities 2014-C02 1M2 | (d) | ML + 260 | 05/25/2024 | 114,271 | 121,243 | |||||||||||||||||
Fannie Mae Connecticut Avenue Securities 2014-C03 1M2 | (d) | ML + 300 | 07/25/2024 | 479,649 | 514,074 | |||||||||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2014-DN1 M3 | (d) | ML + 450 | 02/25/2024 | 338,000 | 389,787 |
107 | (continued) |
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
Asset-Backed / Mortgage-Backed Securities (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||
FINANCIALS (continued) | ||||||||||||||||||
GSCCRE Commercial Mortgage Trust 2015-HULA E | (c)(d) | ML + 440 | 08/15/2032 | $ | 133,000 | $ | 133,364 | |||||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust 2010-C2 E | (c) | 5.828 | % | 11/15/2043 | 100,000 | 99,082 | ||||||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust 2015-UES E | (c) | 3.742 | % | 09/05/2032 | 44,000 | 43,377 | ||||||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-WIKI C | (c) | 3.554 | % | 10/05/2031 | 26,000 | 25,590 | ||||||||||||
J.P. Morgan Chase Commercial Mortgage Securities Trust 2016-WIKI D | (c) | 4.143 | % | 10/05/2031 | 40,000 | 39,285 | ||||||||||||
LCM XIV LP 14A AR | (c)(d) | QL + 104 | 07/20/2031 | 250,000 | 249,822 | |||||||||||||
LCM XVIII LP 18A A1R | (c)(d) | QL + 102 | 04/20/2031 | 389,000 | 387,756 | |||||||||||||
loanDepot Station Place Agency Securitization Trust 2017-LD1 A (Acquired 11/29/2017 through 03/23/2018, Cost $327,042) | (c)(d)(g) | ML + 80 | 11/25/2050 | 327,000 | 325,957 | |||||||||||||
loanDepot Station Place Agency Securitization Trust 2017-LD1 B (Acquired 11/29/2017, Cost $65,000) | (c)(d)(g) | ML + 100 | 11/25/2050 | 65,000 | 64,838 | |||||||||||||
Magnetite VIII Ltd. 2014-8A AR2 | (c)(d) | QL + 98 | 04/15/2031 | 391,000 | 388,749 | |||||||||||||
Magnetite XV Ltd. 2015-15A AR | (c)(d) | QL + 101 | 07/25/2031 | 283,000 | 283,000 | |||||||||||||
MSSG Trust 2017-237P A | (c) | 3.397 | % | 09/13/2039 | 118,000 | 114,408 | ||||||||||||
New Residential Mortgage Loan Trust 2017-3A A1 | (c) | 4.000 | % | 04/25/2057 | 133,600 | 134,887 | ||||||||||||
New Residential Mortgage Loan Trust 2018-2A A1 | (c) | 4.500 | % | 02/25/2058 | 122,819 | 125,913 | ||||||||||||
Octagon Investment Partners 36 Ltd. 2018-1A A1 | (c)(d) | QL + 97 | 04/15/2031 | 392,000 | 391,556 | |||||||||||||
OSCAR U.S. Funding Trust V 2016-2A A3 | (c) | 2.730 | % | 12/15/2020 | 40,000 | 39,879 | ||||||||||||
OSCAR U.S. Funding Trust V 2016-2A A4 | (c) | 2.990 | % | 12/15/2023 | 67,000 | 66,535 | ||||||||||||
PFS Financing Corp. 2017-D A | (c) | 2.400 | % | 10/17/2022 | 100,000 | 98,157 | ||||||||||||
Santander Drive Auto Receivables Trust 2015-1 D | 3.240 | % | 04/15/2021 | 341,000 | 341,509 | |||||||||||||
Santander Drive Auto Receivables Trust 2015-4 D | 3.530 | % | 08/16/2021 | 53,000 | 53,324 | |||||||||||||
Sequoia Mortgage Trust 2018-CH2 A12 | (c) | 4.000 | % | 06/25/2048 | 276,842 | 280,091 | ||||||||||||
Sounds Point CLO IV-R Ltd. 2013-3RA A | (c)(d) | QL + 115 | 04/18/2031 | 250,000 | 250,067 | |||||||||||||
Station Place Securitization Trust 2017-3 A (Acquired 08/11/2017, Cost $272,000) | (c)(d)(g) | ML + 100 | 07/24/2018 | 272,000 | 272,008 | |||||||||||||
Towd Point Mortgage Trust 2018-2 A1 | (c) | 3.250 | % | 03/25/2058 | 159,557 | 157,921 | ||||||||||||
Towd Point Mortgage Trust 2018-3 A1 | (c) | 3.750 | % | 05/25/2058 | 102,000 | 102,132 | ||||||||||||
Verizon Owner Trust 2016-2A C | (c) | 2.360 | % | 05/20/2021 | 139,000 | 136,650 | ||||||||||||
Voya CLO 2018-1A A1 | (c)(d) | QL + 95 | 04/19/2031 | 427,000 | 425,133 | |||||||||||||
Voya CLO 2018-2A A1 | (c)(d) | QL + 100 | 07/15/2031 | 361,028 | 360,534 | |||||||||||||
Wachovia Bank Commercial Mortgage Trust Series 2007-C30 AJ | 5.413 | % | 12/15/2043 | 101,222 | 101,933 | |||||||||||||
Wachovia Bank Commercial Mortgage Trust Series 2007-C34 AJ | 6.309 | % | 05/15/2046 | 21,333 | 21,693 | |||||||||||||
WinWater Mortgage Loan Trust 2015-5 A5 | (c) | 3.500 | % | 08/20/2045 | 390,759 | 391,200 | ||||||||||||
|
| |||||||||||||||||
12,240,832 | ||||||||||||||||||
|
| |||||||||||||||||
Total Asset-Backed / Mortgage-Backed Securities (Cost $13,219,896) | $ | 13,178,875 | ||||||||||||||||
|
| |||||||||||||||||
Master Limited Partnerships – 0.5% | Shares | Value | ||||||||||||||||
FINANCIALS – 0.5% | ||||||||||||||||||
Blackstone Group LP / The (Capital Markets) | 51,610 | $ | 1,660,294 | |||||||||||||||
|
| |||||||||||||||||
Total Master Limited Partnerships (Cost $1,252,446) | $ | 1,660,294 | ||||||||||||||||
|
| |||||||||||||||||
Preferred Securities – 0.2% | Rate | Quantity | Value | |||||||||||||||
FINANCIALS – 0.2% | ||||||||||||||||||
Goldman Sachs Capital I (Capital Markets) | 6.345% | 497,000 | $ | 566,624 | ||||||||||||||
|
| |||||||||||||||||
Total Preferred Securities(Cost $582,591) | $ | 566,624 | ||||||||||||||||
|
| |||||||||||||||||
Money Market Funds – 13.2% | Shares | Value | ||||||||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class | 41,207,011 | $ | 41,207,011 | |||||||||||||||
State Street Institutional U.S. Government Money Market Fund Institutional Class | 5,461,013 | 5,461,013 | ||||||||||||||||
|
| |||||||||||||||||
Total Money Market Funds (Cost $46,668,961) | $ | 46,668,024 | ||||||||||||||||
|
| |||||||||||||||||
Total Investments – 102.5% (Cost $322,247,503) | (h) | $ | 360,869,763 | |||||||||||||||
Total TBA Sales Commitments – (1.1)% (see the following Schedule of TBA Sales Commitments) | (3,774,081 | ) | ||||||||||||||||
Liabilities in Excess of Other Assets – (1.4)% | (b) | (5,092,928 | ) | |||||||||||||||
|
| |||||||||||||||||
Net Assets – 100.0% | $ | 352,002,754 | ||||||||||||||||
|
|
108 | (continued) |
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments | June 30, 2018 (Unaudited) |
Percentages are stated as a percent of net assets.
Abbreviations:
CLO: Collaterized Loan Obligation
ML: Monthly U.S. LIBOR Rate, 2.090% on 06/30/2018
QL: Quarterly U.S. LIBOR Rate, 2.336% on 06/30/2018
Footnotes:
(a) | Non-income producing security. |
(b) | Security is fully or partially pledged, in addition to $1,175,902 of the Portfolio’s cash holdings, as collateral for the futures contracts outstanding at June 30, 2018. See also the following Schedule of Open Futures Contracts. |
(c) | 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 June 30, 2018, the value of these securities totaled $18,101,418, or 5.1% 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. |
(d) | 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, including interest rate caps and floors, if any, are those in effect at June 30, 2018. |
(e) | To Be Announced (TBA) purchase commitment. At June 30, 2018, the value of these TBA purchase commitments totaled $10,651,181, or 3.0% of the Potfolio’s net assets. See also the following Schedule of TBA Sales Commitments for corresponding sales commitments and Note 2 of the Notes to Financial Statements for description of TBA transactions. |
(f) | 100 shares per contract. |
(g) | Represents a security deemed to be illiquid. At June 30, 2018, the value of illiquid securities in the Portfolio totaled $662,803, or 0.2% of the Portfolio’s net assets. |
(h) | 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 | June 30, 2018 (Unaudited) |
Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||||||||||||||||||||
U.S. Treasury Long Bond - Long | 33 | September 19, 2018 | $ | 4,655,148 | $ | 4,785,000 | $ | 129,852 | $ | 1,031 | ||||||||||||||||||||
10-Year U.S. Treasury Note - Long | 1,577 | September 19, 2018 | 187,632,083 | 189,535,688 | 1,903,605 | 0 | ||||||||||||||||||||||||
CME E-mini S&P 500 Index - Long | 371 | September 21, 2018 | 51,322,582 | 50,485,680 | (836,902 | ) | 47,423 | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||
$ | 243,609,813 | $ | 244,806,368 | $ | 1,196,555 | $ | 48,454 | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
Schedule of TBA Sales Commitments | June 30, 2018 (Unaudited) |
Face | ||||||||||||||||||||
Description | Rate | Maturity | Amount | Value | ||||||||||||||||
Fannie Mae TBA Sale Commitment | 3.500 | % | 07/15/2048 | $ | 541,000 | $ | (538,290 | ) | ||||||||||||
Fannie Mae TBA Sale Commitment | 4.500 | % | 07/15/2048 | 1,915,000 | (1,993,879 | ) | ||||||||||||||
Fannie Mae TBA Sale Commitment | 5.000 | % | 07/15/2048 | 1,172,500 | (1,241,912 | ) | ||||||||||||||
|
| |||||||||||||||||||
Total TBA Sales Commitments (Proceeds $ 3,761,813) | $ | (3,774,081 | ) | |||||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements.
109
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 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%.
Performance as of June 30, 2018 |
Average Annual returns | ||||
One year | 1.47 | % | ||
Since inception (3/1/17) | 2.83 | % |
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 1.08% per the Fund’s prospectus dated May 1, 2018. Additional information pertaining to the Portfolio’s expense ratio as of June 30, 2018 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, 2019.
Comments from Adviser |
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A. For the six-month period ended June 30, 2018, the ON Conservative Model Portfolio returned -1.42% versus -0.85% 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 the first half of 2018, domestic equity markets provided positive returns, while foreign equity markets were mostly negative, after adjusting for currency translation. Small cap stocks generally outperformed mid cap and large cap stocks, and growth stocks materially outperformed value stocks during the period. The Portfolio’s underweight to foreign stocks benefited performance vs. the benchmark, while the overweight to value stocks detracted from performance vs. the benchmark.(1)
Fixed income markets generally provided negative returns for the period. Long-term interest rates increased, while the Federal Reserve continued to increase short-term interest rates. In this environment, shorter duration bonds outperformed longer duration bonds. Corporate credit spreads widened, and lower quality bonds underperformed higher quality bonds during the period. Corporate bonds generally
underperformed other sectors of the bond market. The Portfolio’s overweight to inflation linked bonds benefited performance vs. the benchmark, while the underweight to short-term bonds detracted from performance vs. the benchmark. (1)
Q. How did asset class allocation impact the Portfolio’s performance relative to its benchmark?
A. The Portfolio invests in affiliated and unaffiliated open-end 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 overweight allocation to large cap domestic equity funds detracted from performance vs. the benchmark, which has a larger allocation to mid cap and small cap funds. On the fixed income side, the overweight allocation to intermediate bonds detracted from performance vs. the benchmark, while the allocation underweight to long bonds aided performance relative to the benchmark during the period. (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. – ON S&P 500® Index Portfolio (“ON S&P 500® Index Portfolio”), PIMCO Total Return Institutional fund, and the PIMCO Low Duration Institutional fund. The ON S&P 500® Index Portfolio is comprised of stocks that represent a large percentage of the U.S. domestic equity market, which performed well. The PIMCO Total Return Institutional fund benefited from its shorter duration and exposure to higher quality bonds. The PIMCO Low Duration Institutional fund benefited from its shorter duration in a rising interest rate environment. (1)
The three funds that detracted from performance vs. the benchmark were the Ohio National Fund, Inc. – ON Federated Strategic Value Dividend Portfolio (“ON Federated Strategic Value Portfolio”), the Templeton Foreign Class R6 fund, and the Ohio National Fund, Inc. – ON Bond Portfolio (“ON Bond Portfolio”). The ON Federated Strategic Value Portfolio is focused on dividend stocks, which underperformed the broader market. The Templeton Foreign Class R6 fund is a deep value international fund, which detracted in a market where value stocks and international stocks underperformed. The ON Bond Portfolio is a corporate bond fund, which was negatively affected by higher interest rates and wider corporate bond spreads. (1)
Q. Were there any significant changes to the Portfolio’s management team, investment strategy, or selection process during the reporting period?
A. There were no significant changes to the Portfolio’s management team, investment strategy, or selection process during the period. There were asset allocation changes made during the period that increased exposure to equity index funds, decreased exposure to value stocks and decreased exposure to balanced funds. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2018. |
110 | (continued) |
Ohio National Fund, Inc. | ON Conservative Model 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 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 95%, 80%, 60%, 40%, and 20%, respectively, and the Morningstar® Conservative Target Risk Index exposure is set at 20%.
Portfolio Composition as of June 30, 2018 (1) |
% of Net Assets | ||||
Open-End Mutual Funds | ||||
Less Net Liabilities | 100.0 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of June 30, 2018 (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. | Ohio National Fund, Inc. - ON S&P 500® Index Portfolio | 12.0 | ||||
5. | PIMCO Low Duration Institutional | 11.0 | ||||
6. | Ohio National Fund, Inc. - ON Bond Portfolio | 7.0 | ||||
7. | Ohio National Fund, Inc. - ON Federated High Income Bond Portfolio | 7.0 | ||||
8. | Ohio National Fund, Inc. - ON Federated Strategic Value Dividend Portfolio | 5.0 | ||||
9. | Ohio National Fund, Inc. - ON International Equity Portfolio | 2.0 | ||||
10. | DFA International Core Equity Portfolio Institutional | 1.0 |
(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. |
111
Ohio National Fund, Inc. | ON Conservative Model Portfolio |
Schedule of Investments in Unaffiliated Issuers | June 30, 2018 (Unaudited) |
Open-End Mutual Funds – 67.1% | Shares | Value | ||||||||||
DFA International Core Equity Portfolio Institutional | 64,365 | $ | 897,251 | |||||||||
PIMCO Low Duration Institutional | 1,004,226 | 9,771,123 | ||||||||||
PIMCO Real Return Institutional. | 1,229,965 | 13,357,415 | ||||||||||
PIMCO Total Return Institutional | 1,515,493 | 15,109,465 | ||||||||||
Templeton Foreign Class R6 | 115,757 | 886,696 | ||||||||||
Western Asset Core Plus Bond IS | 1,732,943 | 19,564,932 | ||||||||||
|
| |||||||||||
Total Open-End Mutual Funds | $ | 59,586,882 | ||||||||||
|
| |||||||||||
Total Investments in Securities of Unaffiliated Issuers – 67.1% (Cost $60,509,088) | (a | ) | $ | 59,586,882 | ||||||||
Total Investments in Affiliates – 32.9% (Cost $28,660,076) (see schedule below) | (a | ) | 29,260,983 | |||||||||
Liabilities in Excess of Other Assets – 0.0% | (28,960 | ) | ||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 88,818,905 | ||||||||||
|
|
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 | June 30, 2018 (Unaudited) |
Affiliate | Value at January 1, 2018 | Cost of Purchases | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Income Distributions | Capital Gain Distributions | Shares at June 30, | Value at 2018 | |||||||||||||||||||||||||||||||
Open-End Mutual Funds – 32.9% | ||||||||||||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Bond Portfolio | (a | )(b) | $ | 6,475,591 | $ | 1,034,733 | $ | 1,097,148 | $ | (24,130 | ) | $ | (182,171 | ) | $ | — | $ | — | 365,325 | $ | 6,206,875 | |||||||||||||||||||
Ohio National Fund, Inc. - ON Federated High Income Bond Portfolio | (a | )(b) | 6,973,714 | 996,161 | 1,726,687 | 55,657 | (91,970 | ) | — | — | 322,435 | 6,206,875 | ||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Federated Strategic Value Dividend Portfolio | (a | )(b) | 6,973,714 | 1,228,724 | 3,423,445 | 124,412 | (469,923 | ) | — | — | 260,028 | 4,433,482 | ||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON ICON Balanced Portfolio | (a | )(b) | 5,977,469 | 345,001 | 6,452,212 | 468,626 | (338,884 | ) | — | — | — | — | ||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON International Equity Portfolio | (a | )(b) | — | 1,968,616 | 136,615 | 165 | (58,773 | ) | — | — | 120,721 | 1,773,393 | ||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON S&P 500® Index Portfolio | (a | )(b) | 6,475,592 | 6,357,632 | 2,379,152 | 341,991 | (155,705 | ) | — | — | 351,864 | 10,640,358 | ||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||
Total Open-End Mutual Funds | $ | 966,721 | $ | (1,297,426 | ) | $ | — | $ | — | $ | 29,260,983 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
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.
112
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 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%.
Performance as of June 30, 2018 |
Average Annual returns | ||||
One year | 2.53 | % | ||
Since inception (3/1/17) | 3.87 | % |
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 1.07% per the Fund’s prospectus dated May 1, 2018. Additional information pertaining to the Portfolio’s expense ratio as of June 30, 2018 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 0.92% through April 30, 2019.
Comments from Adviser |
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A. For the six-month period ended June 30, 2018, the ON Moderately Conservative Model Portfolio returned -1.59% versus -0.53% 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 the first half of 2018, domestic equity markets provided positive returns, while foreign equity markets were mostly negative, after adjusting for currency translation. Small cap stocks generally outperformed mid cap and large cap stocks, and growth stocks materially outperformed value stocks during the period. The Portfolio’s underweight to foreign stocks benefited performance vs. the benchmark, while the overweight to value stocks detracted from performance vs. the benchmark. (1)
Fixed income markets generally provided negative returns for the period. Long-term interest rates increased, while the Federal Reserve continued to increase short-term interest rates. In this environment, shorter duration bonds outperformed longer duration bonds. Corporate credit spreads widened, and lower quality bonds underperformed higher quality bonds during the period. In this environment, corporate bonds generally underperformed other sectors of the bond market. The
Portfolio’s overweight to inflation linked bonds benefited performance vs. the benchmark, while the underweight to short-term bonds detracted from performance vs. the benchmark. (1)
Q. How did asset class allocation impact the Portfolio’s performance relative to its benchmark?
A. The Portfolio invests in affiliated and unaffiliated open-end mutual funds, comprised mostly of fixed income funds, but also equity funds. The asset allocation to equity funds was slightly higher than the benchmark, which benefited the Portfolio slightly vs. the benchmark. On the equity side, the overweight allocation to large cap domestic equity funds detracted from performance vs. the benchmark, which has a larger allocation to mid cap and small cap funds. On the fixed income side, the overweight allocation to intermediate bonds detracted from performance vs. the benchmark, while the allocation underweight to long bonds aided performance relative to the benchmark during the period. (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. - ON Nasdaq-100® Index Portfolio (“ON Nasdaq-100® Index Portfolio”), the Ohio National Fund, Inc. - ON Bristol Growth Portfolio (“ON Bristol Growth Portfolio”), and the Fidelity Advisor® Mid Cap II Class I fund. The ON Nasdaq-100® Index Portfolio is comprised primarily of large cap growth stocks, which performed well during the period. Likewise, the ON Bristol Growth Portfolio is comprised mostly of growth stocks. The Fidelity Advisor® Mid Cap II Class I fund benefited from investing in the mid cap sector, which outperformed the large cap equity sector.(1)
The three funds that detracted from performance vs. the benchmark were the Ohio National Fund, Inc. - ON Federated Strategic Value Dividend Portfolio (“ON Federated Strategic Value Dividend Portfolio”), the Templeton Foreign Class R6 fund, and the Ohio National Fund, Inc. - ON Bond Portfolio (“ON Bond Portfolio”). The ON Federated Strategic Value Dividend Portfolio is focused on dividend stocks, which underperformed the broader market. The Templeton Foreign Class R6 fund is a deep value international fund, in a market where value stocks and international stocks underperformed. The ON Bond Portfolio is a corporate bond fund, which was negatively affected by higher interest rates and wider corporate bond spreads. (1)
Q. Were there any significant changes to the Portfolio’s management team, investment strategy, or selection process during the reporting period?
A. There were no significant changes to the Portfolio’s management team, investment strategy, or selection process during the period. There were asset allocation changes made during the period that increased exposure to equity index and growth funds, decreased exposure to value stocks and decreased exposure to balanced funds. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2018. |
113 | (continued) |
Ohio National Fund, Inc. | ON Moderately Conservative Model 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 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 95%, 80%, 60%, 40%, and 20%, respectively, and the Morningstar® Moderately Conservative Target Risk Index exposure is set at 40%.
Portfolio Composition as of June 30, 2018 (1) |
% of Net Assets | ||||
Open-End Mutual Funds | ||||
Less Net Liabilities | 100.0 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of June 30, 2018 (1) (2) (3) |
% of Net Assets | ||||||
1. | Western Asset Core Plus Bond IS | 17.0 | ||||
2. | PIMCO Total Return Institutional | 13.0 | ||||
3. | Ohio National Fund, Inc. - ON S&P 500® Index Portfolio | 12.0 | ||||
4. | PIMCO Real Return Institutional | 10.0 | ||||
5. | PIMCO Low Duration Institutional | 8.0 | ||||
6. | Ohio National Fund, Inc. - ON Bond Portfolio | 6.0 | ||||
7. | Ohio National Fund, Inc. - ON Federated High Income Bond Portfolio | 6.0 | ||||
8. | Ohio National Fund, Inc. - ON International Equity Portfolio | 6.0 | ||||
9. | Ohio National Fund, Inc. - ON Federated Strategic Value Dividend Portfolio | 5.0 | ||||
10. | Ohio National Fund, Inc. - ON Equity Portfolio | 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. |
114
Ohio National Fund, Inc. | ON Moderately Conservative Model Portfolio |
Schedule of Investments in Unaffiliated Issuers | June 30, 2018 (Unaudited) |
Open-End Mutual Funds – 52.1% | Shares | Value | ||||||||||
DFA International Core Equity Portfolio Institutional | 408,821 | $ | 5,698,973 | |||||||||
PIMCO Low Duration Institutional | 2,319,271 | 22,566,505 | ||||||||||
PIMCO Real Return Institutional | 2,603,915 | 28,278,519 | ||||||||||
PIMCO Total Return Institutional | 3,680,201 | 36,691,605 | ||||||||||
Templeton Foreign Class R6 | 367,593 | 2,815,760 | ||||||||||
Vanguard International Growth Fund Admiral Class | 28,293 | 2,815,760 | ||||||||||
Western Asset Core Plus Bond IS | 4,252,400 | 48,009,595 | ||||||||||
|
| |||||||||||
Total Open-End Mutual Funds | $ | 146,876,717 | ||||||||||
|
| |||||||||||
Total Investments in Securities of Unaffiliated Issuers – 52.1% (Cost $149,152,102) | (a | ) | $ | 146,876,717 | ||||||||
Total Investments in Affiliates – 47.9% (Cost $131,944,979) (see schedule below) | (a | ) | 135,156,488 | |||||||||
Liabilities in Excess of Other Assets – 0.0% | (93,429 | ) | ||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 281,939,776 | ||||||||||
|
|
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 | June 30, 2018 (Unaudited) |
Affiliate | Value at January 1, 2018 | Cost of Purchases | Proceeds from Sales | Net Realized Gain (Loss) | Change in (Depreciation) | Income Distributions | Capital Gain Distributions | Shares at June 30, 2018 | Value at June 30, | |||||||||||||||||||||||||||||
Open-End Mutual Funds – 47.9% |
| |||||||||||||||||||||||||||||||||||||
Fidelity Advisor® Mid Cap II Class I | (a) | $ | 6,513,631 | $ | 663,731 | $ | 1,639,475 | $ | 137,134 | $ | (43,501 | ) | $ | 1,119 | $ | 105,201 | 258,327 | $ | 5,631,520 | |||||||||||||||||||
Fidelity Advisor® Real Estate I | (a) | 6,513,631 | 631,822 | 4,264,838 | (342,644 | ) | 277,789 | 24,049 | — | 126,551 | 2,815,760 | |||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Bond Portfolio | (a)(b) | 17,912,486 | 1,702,417 | 2,148,335 | (50,310 | ) | (521,697 | ) | — | — | 994,383 | 16,894,561 | ||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Bristol Growth Portfolio | (a)(b) | 6,513,631 | 741,069 | 1,881,981 | 371,429 | (112,628 | ) | — | — | 224,185 | 5,631,520 | |||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Equity Portfolio | (a)(b) | 22,797,709 | 1,602,425 | 12,854,614 | 910,149 | (1,192,628 | ) | — | — | 277,415 | 11,263,041 | |||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Federated High Income Bond Portfolio | (a)(b) | 19,540,894 | 1,179,583 | 3,715,251 | 111,862 | (222,527 | ) | — | — | 877,639 | 16,894,561 | |||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Federated Strategic Value Dividend Portfolio | (a)(b) | 26,054,525 | 1,674,644 | 12,266,249 | 352,636 | (1,736,755 | ) | — | — | 825,736 | 14,078,801 | |||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON ICON Balanced Portfolio | (a)(b) | 19,540,894 | 9,431 | 19,962,794 | 1,550,079 | (1,137,610 | ) | — | — | — | — | |||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON International Equity Portfolio | (a)(b) | — | 18,230,566 | 771,536 | 1,267 | (565,736 | ) | — | — | 1,150,072 | 16,894,561 | |||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Janus Henderson Enterprise Portfolio | (a)(b) | — | 2,940,638 | 36,320 | 340 | (88,898 | ) | — | — | 69,268 | 2,815,760 | |||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Janus Henderson Forty Portfolio | (a)(b) | — | 2,917,216 | 35,887 | 281 | (65,850 | ) | — | — | 124,371 | 2,815,760 | |||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Nasdaq-100® Index Portfolio | (a)(b) | — | 5,847,568 | 118,746 | 1,389 | (98,691 | ) | — | — | 305,895 | 5,631,520 | |||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON S&P 500® Index Portfolio | (a)(b) | 17,912,486 | 20,395,314 | 4,963,708 | 704,930 | (259,899 | ) | — | — | 1,117,365 | 33,789,123 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total Open-End Mutual Funds | $ | 3,748,542 | $ | (5,768,631 | ) | $ | 25,168 | $ | 105,201 | $ | 135,156,488 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
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 Balanced Model Portfolio (Unaudited) |
Objective/Strategy |
The ON 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 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%.
Performance as of June 30, 2018 |
Average Annual returns | ||||
One year | 3.89 | % | ||
Since inception (3/1/17) | 4.98 | % |
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 gross expense ratio is estimated to be 1.11% per the Fund’s prospectus dated May 1, 2018. Additional information pertaining to the Portfolio’s expense ratio as of June 30, 2018 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, 2019.
Comments from Adviser |
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A. For the six-month period ended June 30, 2018, the ON Balanced Model Portfolio returned -1.30% versus -0.31% 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 the first half of 2018, domestic equity markets provided positive returns, while foreign equity markets were mostly negative, after adjusting for currency translation. Small cap stocks generally outperformed mid cap and large cap stocks, and growth stocks materially outperformed value stocks during the period. The Portfolio’s underweight to foreign stocks benefited performance vs. the benchmark, while the underweight to growth stocks detracted from performance vs. the benchmark. (1)
Fixed income markets generally provided negative returns for the period. Long-term interest rates increased, while the Federal Reserve continued to increase short-term interest rates. In this environment, shorter duration bonds outperformed longer duration bonds. Corporate credit spreads widened, and lower quality bonds underperformed higher quality bonds during the period. In this environment, corporate bonds
generally underperformed other sectors of the bond market. The Portfolio’s overweight to inflation linked bonds benefited performance vs. the benchmark, while the overweight to corporate bonds detracted from performance vs. the benchmark. (1)
Q. How did asset class allocation impact the Portfolio’s performance relative to its benchmark?
A. The Portfolio invests in affiliated and unaffiliated open-end 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. On the equity side, the overweight allocation to large cap domestic equity funds detracted from performance vs. the benchmark, which has a larger allocation to mid cap and small cap funds. On the fixed income side, the allocation underweight to long bonds aided performance relative to the benchmark during the period. (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. - ON Nasdaq-100® Index Portfolio (“ON Nasdaq-100® Index Portfolio”), the Ohio National Fund, Inc. - ON ClearBridge Small Cap Portfolio (“ON ClearBridge Small Cap Portfolio”), and the Ohio National Fund, Inc. - ON S&P MidCap 400® Index Portfolio (“ON S&P MidCap 400® Index Portfolio”). The ON Nasdaq-100® Index Portfolio is comprised primarily of large cap growth stocks, which performed well during the period. Likewise, the ON ClearBridge Small Cap Portfolio benefited from the relative performance of small cap stocks and growth stocks in the Portfolio. Lastly, the ON S&P MidCap 400® Index Portfolio is comprised of mid cap stocks, which outperformed large cap stocks during the period. (1)
The three funds that detracted from performance verses the benchmark were Lazard Emerging Markets Equity Class R6 fund, the DFA Emerging Markets Portfolio Institutional fund, and the Ohio National Fund, Inc. - ON Federated Strategic Value Dividend Portfolio (“ON Federated Strategic Value Dividend Portfolio”). The Lazard Emerging Markets Equity Class R6 fund and the DFA Emerging Markets Portfolio Institutional fund both performed poorly vs. the benchmark, as emerging market stocks underperformed during the period. The ON Federated Strategic Value Dividend Portfolio is focused on dividend stocks, which underperformed the broader market. (1)
Q. Were there any significant changes to the Portfolio’s management team, investment strategy, or selection process during the reporting period?
A. There were no significant changes to the Portfolio’s management team, investment strategy, or selection process during the period. There were asset allocation changes made during the period that increased exposure to equity index and growth funds, decreased exposure to value stocks and decreased exposure to balanced funds. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2018. |
116 | (continued) |
Ohio National Fund, Inc. | ON Balanced Model 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 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 95%, 80%, 60%, 40%, and 20%, respectively, and the Morningstar® Moderate Target Risk Index exposure is set at 60%.
Portfolio Composition as of June 30, 2018 (1) |
% of Net Assets | ||||
Open-End Mutual Funds | ||||
Less Net Liabilities | 100.0 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of June 30, 2018 (1) (2) (3) |
% of Net Assets | ||||||
1. | Ohio National Fund, Inc. - ON S&P 500® Index Portfolio | 12.0 | ||||
2. | PIMCO Total Return Institutional | 10.0 | ||||
3. | Ohio National Fund, Inc. - ON International Equity Portfolio | 9.0 | ||||
4. | PIMCO Real Return Institutional | 7.0 | ||||
5. | Western Asset Core Plus Bond IS | 7.0 | ||||
6. | Ohio National Fund, Inc. - ON Federated Strategic Value Dividend Portfolio | 6.0 | ||||
7. | PIMCO Low Duration Institutional | 5.0 | ||||
8. | Ohio National Fund, Inc. - ON Federated High Income Bond Portfolio | 5.0 | ||||
9. | Ohio National Fund, Inc. - ON ICON Balanced Portfolio | 5.0 | ||||
10. | Ohio National Fund, Inc. - ON Equity Portfolio | 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. |
117 |
Ohio National Fund, Inc. | ON Balanced Model Portfolio |
Schedule of Investments in Unaffiliated Issuers | June 30, 2018 (Unaudited) |
Open-End Mutual Funds – 39.1% | Shares | Value | ||||||||||
DFA Emerging Markets Portfolio Institutional | 487,426 | $ | 13,677,172 | |||||||||
DFA International Core Equity Portfolio Institutional. | 2,967,907 | 41,372,626 | ||||||||||
Lazard Emerging Markets Equity Class R6 | 1,544,128 | 27,253,855 | ||||||||||
PIMCO Low Duration Institutional | 7,015,138 | 68,257,295 | ||||||||||
PIMCO Real Return Institutional | 8,821,300 | 95,799,315 | ||||||||||
PIMCO Total Return Institutional | 13,700,411 | 136,593,094 | ||||||||||
Templeton Foreign Class R6 | 3,557,945 | 27,253,855 | ||||||||||
Vanguard International Growth Fund Admiral Class | 273,853 | 27,253,855 | ||||||||||
Western Asset Core Plus Bond IS | 8,473,429 | 95,665,019 | ||||||||||
|
| |||||||||||
Total Open-End Mutual Funds | $ | 533,126,086 | ||||||||||
|
| |||||||||||
Total Investments in Securities of Unaffiliated Issuers – 39.1% (Cost $538,493,141) | (a | ) | $ | 533,126,086 | ||||||||
Total Investments in Affiliates – 60.9% (Cost $792,870,233) (see schedule below) | (a | ) | 831,242,589 | |||||||||
Liabilities in Excess of Other Assets – 0.0% | (470,297 | ) | ||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 1,363,898,378 | ||||||||||
|
|
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 | June 30, 2018 (Unaudited) |
Affiliate | Value at January 1, 2018 | Cost of Purchases | Proceeds from Sales | Net Gain (Loss) | Change in Appreciation (Depreciation) | Income Distributions | Capital Gain Distributions | Shares at June 30, 2018 | Value at June 30, 2018 | ||||||||||||||||||||||||||||||||||||||
Open-End Mutual Funds – 60.9% | |||||||||||||||||||||||||||||||||||||||||||||||
Fidelity Advisor® Mid Cap II Class I | (a) | $ | 46,855,864 | $ | 1,537,970 | $ | 8,149,005 | $ | 740,377 | $ | (104,423 | ) | $ | 8,278 | $ | 778,181 | 1,875,265 | $ | 40,880,783 | ||||||||||||||||||||||||||||
Fidelity Advisor® Real Estate I | (a) | 31,237,243 | 1,643,670 | 19,005,058 | (561,828 | ) | 312,901 | 117,007 | — | 612,446 | 13,626,928 | ||||||||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Bond Portfolio | (a)(b) | 54,665,175 | 8,114,037 | 6,500,670 | (147,497 | ) | (1,623,334 | ) | — | — | 3,208,223 | 54,507,711 | |||||||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Bristol Portfolio | (a)(b) | 46,855,864 | 1,438,168 | 7,864,189 | 1,379,123 | (928,183 | ) | — | — | 1,345,648 | 40,880,783 | ||||||||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON ClearBridge Small Cap Portfolio | (a)(b) | 62,474,486 | 588,488 | 11,701,189 | 1,407,612 | 1,738,314 | — | — | 899,170 | 54,507,711 | |||||||||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Equity Portfolio | (a)(b) | 93,711,729 | 527,818 | 38,483,880 | 2,952,867 | (4,200,823 | ) | — | — | 1,342,555 | 54,507,711 | ||||||||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Federated High Income Bond Portfolio | (a)(b) | 78,093,107 | 330,855 | 9,829,622 | 417,348 | (877,050 | ) | — | — | 3,539,462 | 68,134,638 | ||||||||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Federated Strategic Value Dividend Portfolio | (a)(b) | 124,948,971 | 632,538 | 37,396,854 | 1,225,804 | (7,648,893 | ) | — | — | 4,795,400 | 81,761,566 | ||||||||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON ICON Balanced Portfolio | (a)(b) | 124,948,971 | 454,684 | 58,337,983 | 4,252,811 | (3,183,845 | ) | — | — | 3,074,668 | 68,134,638 | ||||||||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON International Equity Portfolio | (a)(b) | — | 129,251,778 | 2,470,368 | (2,349 | ) | (4,136,712 | ) | — | — | 8,348,696 | 122,642,349 | |||||||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Janus Henderson Enterprise Portfolio | (a)(b) | — | 14,149,893 | 90,130 | 742 | (433,577 | ) | — | — | 335,226 | 13,626,928 | ||||||||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Janus Henderson Forty Portfolio | (a)(b) | — | 14,032,227 | 84,670 | 649 | (321,278 | ) | — | — | 601,896 | 13,626,928 | ||||||||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Nasdaq-100® Index Portfolio | (a)(b) | 7,809,311 | 21,589,208 | 2,838,851 | 228,165 | 466,022 | — | — | 1,480,383 | 27,253,855 | |||||||||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON S&P 500® Index Portfolio | (a)(b) | 140,567,593 | 43,752,395 | 24,303,127 | 3,594,634 | (88,363 | ) | — | — | 5,407,511 | 163,523,132 | ||||||||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON S&P MidCap 400® Index Portfolio | (a)(b) | 15,618,621 | 140,198 | 2,600,041 | 56,424 | 411,726 | — | — | 756,211 | 13,626,928 | |||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| ||||||||||||||||||||||||||||||||||||||
Total Open-End Mutual Funds | $ | 15,544,882 | $ | (20,617,518 | ) | $ | 125,285 | $ | 778,181 | $ | 831,242,589 | ||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
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 Moderate Growth Model Portfolio (Unaudited) |
Objective/Strategy |
The ON Moderate Growth Model Portfolio is a fund of funds that seeks growth of capital and moderate current income with a greater emphasis on growth of capital 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%.
Performance as of June 30, 2018 |
Average Annual returns | ||||
One year | 5.70 | % | ||
Since inception (3/1/17) | 6.97 | % |
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 May 1, 2018. Additional information pertaining to the Portfolio’s expense ratio as of June 30, 2018 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 1.04% through April 30, 2019.
Comments from Adviser |
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A. For the six-month period ended June 30, 2018, the ON Moderate Growth Model Portfolio returned -1.00% versus -0.03% 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 the first half of 2018, domestic equity markets provided positive returns, while foreign equity markets were mostly negative, after adjusting for currency translation. Small cap stocks generally outperformed mid cap and large cap stocks, and growth stocks materially outperformed value stocks during the period. The Portfolio’s underweight to foreign stocks benefited performance vs. the benchmark, while the underweight to growth stocks detracted from performance vs. the benchmark. (1)
Fixed income markets generally provided negative returns for the period. Long-term interest rates increased, while the Federal Reserve continued to increase short-term interest rates. In this environment, shorter duration bonds outperformed longer duration bonds. Corporate credit spreads widened, and lower quality bonds underperformed higher quality bonds during the period. In this environment, corporate bonds generally underperformed other sectors of the bond market. The
Portfolio’s overweight to inflation linked bonds benefited performance vs. the benchmark, while the underweight to short-term bonds detracted from performance vs. the benchmark. (1)
Q. How did asset class allocation impact the Portfolio’s performance relative to its benchmark?
A. The Portfolio invests in affiliated and unaffiliated open-end mutual funds, comprised mostly of equity funds, but also fixed income funds. The asset allocation between fixed income funds and equity funds was roughly in-line with the benchmark. On the equity side, the overweight allocation to large cap domestic equity funds detracted from performance vs. the benchmark, which has a larger allocation to mid cap and small cap funds. On the fixed income side, the allocation underweight to long bonds aided performance relative to the benchmark during the period. (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. - ON Bryton Growth Portfolio (“ON Bryton Growth Portfolio”), the Ohio National Fund, Inc. - ON Nasdaq-100® Index Portfolio (“ON Nasdaq-100® Index Portfolio”), and the Ohio National Fund, Inc. - ON ClearBridge Small Cap Portfolio (“ON ClearBridge Small Cap Portfolio”). The ON Bryton Growth Portfolio benefited from its holdings in small cap stocks and its focus on growth stocks. The ON Nasdaq-100® Index Portfolio is comprised primarily of large cap growth stocks, which performed well during the period. Likewise, the ON ClearBridge Small Cap Portfolio benefited from the relative performance of small cap stocks and growth stocks in the Portfolio. (1)
The three funds that detracted most from performance vs. the benchmark were the Lazard Emerging Markets Equity Class R6 fund, the DFA Emerging Markets Portfolio Institutional fund, and the Ohio National Fund, Inc. - ON Federated Strategic Value Dividend Portfolio (“ON Federated Strategic Value Dividend Portfolio”). The Lazard Emerging Markets Equity Class R6 fund and the DFA Emerging Markets Portfolio Institutional fund both performed poorly vs. the benchmark, as emerging market stocks underperformed during the period. The ON Federated Strategic Value Dividend Portfolio is focused on dividend stocks, which underperformed the broader market. (1)
Q. Were there any significant changes to the Portfolio’s management team, investment strategy, or selection process during the reporting period?
A. There were no significant changes to the Portfolio’s management team, investment strategy, or selection process during the period. There were asset allocation changes made during the period that increased exposure to equity index and growth funds, decreased exposure to value stocks and decreased exposure to balanced funds. (1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2018. |
119 | (continued) |
Ohio National Fund, Inc. | ON Moderate Growth Model 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 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 95%, 80%, 60%, 40%, and 20%, respectively, and the Morningstar® Moderately Aggressive Target Risk Index exposure is set at 80%.
Portfolio Composition as of June 30, 2018 (1) |
% of Net Assets | ||||
Open-End Mutual Funds | ||||
Less Net Liabilities | 100.0 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of June 30, 2018 (1) (2) (3) |
% of Net Assets | ||||||||
1. | Ohio National Fund, Inc. - ON S&P 500® Index Portfolio | 13.0 | ||||||
2. | Western Asset Core Plus Bond IS | 11.0 | ||||||
3. | Ohio National Fund, Inc. - ON International Equity Portfolio | 11.0 | ||||||
4. | Ohio National Fund, Inc. - ON Federated Strategic Value Dividend Portfolio | 7.0 | ||||||
5. | DFA International Core Equity Portfolio Institutional | 5.0 | ||||||
6. | Ohio National Fund, Inc. - ON ICON Balanced Portfolio | 5.0 | ||||||
7. | Ohio National Fund, Inc. - ON Janus Henderson Venture Portfolio | 4.5 | ||||||
8. | Fidelity Advisor® Mid Cap II Class I | 4.0 | ||||||
9. | Ohio National Fund, Inc. - ON Equity Portfolio | 4.0 | ||||||
10. | Ohio National Fund, Inc. - ON Nasdaq-100® Index Portfolio | 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. |
120
Ohio National Fund, Inc. | ON Moderate Growth Model Portfolio |
Schedule of Investments in Unaffiliated Issuers | June 30, 2018 (Unaudited) |
Open-End Mutual Funds – 27.4% | Shares | Value | ||||||||||
DFA Emerging Markets Portfolio Institutional | 844,941 | $ | 23,709,040 | |||||||||
DFA International Core Equity Portfolio Institutional | 8,574,677 | 119,530,992 | ||||||||||
Lazard Emerging Markets Equity Class R6 | 4,015,057 | 70,865,751 | ||||||||||
PIMCO Low Duration Institutional | 729,475 | 7,097,789 | ||||||||||
PIMCO Real Return Institutional | 4,368,990 | 47,447,235 | ||||||||||
Templeton Foreign Class R6 | 6,167,602 | 47,243,834 | ||||||||||
Vanguard International Growth Fund Admiral Class | 712,075 | 70,865,750 | ||||||||||
Western Asset Core Plus Bond IS | 23,083,360 | 260,611,130 | ||||||||||
|
| |||||||||||
Total Open-End Mutual Funds | $ | 647,371,521 | ||||||||||
|
| |||||||||||
Total Investments in Securities of Unaffiliated Issuers – 27.4% (Cost $662,519,713) | (a | ) | $ | 647,371,521 | ||||||||
Total Investments in Affiliates – 72.6% (Cost $1,615,705,999) (see schedule below) | (a | ) | 1,717,313,356 | |||||||||
Liabilities in Excess of Other Assets – 0.0% | (835,322 | ) | ||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 2,363,849,555 | ||||||||||
|
|
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 | June 30, 2018 (Unaudited) |
Affiliate | Value at January 1, 2018 | Cost of Purchases | Proceeds from Sales | Net Realized Gain (Loss) | Change in (Depreciation) | Income Distributions | Capital Gain Distributions | Shares at June 30, 2018 | Value at June 30, 2018 | |||||||||||||||||||||||||||||||||||||||||
Open-End Mutual Funds – 72.6% | ||||||||||||||||||||||||||||||||||||||||||||||||||
Fidelity Advisor® Mid Cap II Class I | (a) | $ | 105,859,654 | $ | 2,788,257 | $ | 15,564,974 | $ | 1,302,962 | $ | 101,768 | $ | 18,868 | $ | 1,773,618 | 4,334,297 | $ | 94,487,667 | ||||||||||||||||||||||||||||||||
Fidelity Advisor® Real Estate I | (a) | 52,929,827 | 3,662,678 | 32,627,351 | (1,727,161 | ) | 1,383,924 | 202,749 | — | 1,061,659 | 23,621,917 | |||||||||||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Bond Portfolio | (a)(b) | 66,162,284 | 2,264,412 | 7,262,923 | (166,462 | ) | (1,942,519 | ) | — | — | 3,475,856 | 59,054,792 | ||||||||||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Bristol Growth Portfolio | (a)(b) | 79,394,741 | 1,721,496 | 13,402,287 | 2,624,649 | 527,152 | — | — | 2,821,089 | 70,865,751 | ||||||||||||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Bristol Portfolio | (a)(b) | 79,394,741 | 1,958,638 | 11,210,961 | 1,933,003 | (1,209,670 | ) | — | — | 2,332,645 | 70,865,751 | |||||||||||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Bryton Growth Portfolio | (a)(b) | 18,525,439 | 126,137 | 4,611,773 | 879,291 | 1,616,248 | — | — | 575,944 | 16,535,342 | ||||||||||||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON ClearBridge Small Cap Portfolio | (a)(b) | 79,394,741 | 506,861 | 13,068,796 | 1,293,861 | 2,739,084 | — | — | 1,169,016 | 70,865,751 | ||||||||||||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Equity Portfolio | (a)(b) | 211,719,309 | 747,910 | 115,077,223 | 8,293,905 | (11,196,234 | ) | — | — | 2,327,282 | 94,487,667 | |||||||||||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Federated High Income Bond Portfolio | (a)(b) | 79,394,741 | 1,328,235 | 9,386,580 | 367,503 | (838,148 | ) | — | — | 3,681,338 | 70,865,751 | |||||||||||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Federated Strategic Value Dividend Portfolio | (a)(b) | 264,649,136 | 4,613,574 | 89,991,309 | 1,898,169 | (15,816,152 | ) | — | — | 9,698,148 | 165,353,418 | |||||||||||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON ICON Balanced Portfolio | (a)(b) | 185,254,395 | 305,775 | 68,829,450 | 4,765,591 | (3,386,727 | ) | — | — | 5,329,855 | 118,109,584 | |||||||||||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON International Equity Portfolio | (a)(b) | — | 271,853,756 | 3,250,856 | (5,583 | ) | (8,756,232 | ) | — | — | 17,688,297 | 259,841,085 | ||||||||||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Janus Henderson Enterprise Portfolio | (a)(b) | — | 24,421,569 | 45,311 | 309 | (754,650 | ) | — | — | 581,105 | 23,621,917 | |||||||||||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Janus Henderson Forty Portfolio | (a)(b) | — | 72,681,360 | 139,851 | 1,023 | (1,676,781 | ) | — | — | 3,130,113 | 70,865,751 | |||||||||||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Janus Henderson Venture Portfolio | (a)(b) | 119,092,111 | 762,206 | 26,292,237 | 4,953,560 | 7,782,986 | — | — | 2,883,065 | 106,298,626 | ||||||||||||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Nasdaq-100® Index Portfolio | (a)(b) | 26,464,913 | 73,449,867 | 7,802,620 | 616,035 | 1,759,472 | — | — | 5,132,410 | 94,487,667 | ||||||||||||||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON S&P 500® Index Portfolio | (a)(b) | 272,588,610 | 65,921,340 | 38,290,121 | 5,592,723 | 1,272,367 | — | — | 10,154,924 | 307,084,919 | ||||||||||||||||||||||||||||||||||||||||
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|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||||||||
Total Open-End Mutual Funds | $ | 32,623,378 | $ | (28,394,112 | ) | $ | 221,617 | $ | 1,773,618 | $ | 1,717,313,356 | |||||||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
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 Growth Model Portfolio (Unaudited) |
Objective/Strategy |
The ON Growth Model Portfolio is a fund of funds that seeks growth of capital and some current income 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%.
Performance as of June 30, 2018 |
Average Annual returns | ||||
One year | 6.95 | % | ||
Since inception (3/1/17) | 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 gross expense ratio is estimated to be 1.21% per the Fund’s prospectus dated May 1, 2018. Additional information pertaining to the Portfolio’s expense ratio as of June 30, 2018 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 1.08% through April 30, 2019.
Comments from Adviser |
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A. For the six-month period ended June 30, 2018, the ON Growth Model Portfolio returned -0.63% versus 0.46% 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 the first half of 2018, domestic equity markets provided positive returns, while foreign equity markets were mostly negative, after adjusting for currency translation. Small cap stocks generally outperformed mid cap and large cap stocks, and growth stocks materially outperformed value stocks during the period. The Portfolio’s underweight to foreign stocks benefited performance vs. the benchmark, while the underweight to growth stocks detracted from performance vs. the benchmark.
Fixed income markets generally provided negative returns for the period. Long-term interest rates increased, while the Federal Reserve continued to increase short-term interest rates. In this environment, shorter duration bonds outperformed longer duration bonds. Corporate credit spreads widened, and lower quality bonds underperformed higher quality bonds during the period. In this environment, corporate bonds generally underperformed other sectors of the bond market. The Portfolio’s overweight to inflation linked bonds benefited performance vs. the benchmark.
Q. How did asset class allocation impact the Portfolio’s performance relative to its benchmark?
A. The portfolio invests in affiliated and unaffiliated open-end mutual funds, comprised mostly of equity funds, but also of fixed income funds. The asset allocation to equity funds was slightly below the benchmark, which detracted slightly from performance. On the equity side, the overweight allocation to large cap domestic equity funds detracted from performance vs. the benchmark, which has a larger allocation to mid cap and small cap funds. The Portfolio benefitted from an underweight to emerging market equity funds. On the fixed income side, the allocation overweight to corporate bonds detracted from performance relative to the benchmark during the period.
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. - ON Bryton Growth Portfolio (“ON Bryton Growth Portfolio”), the Ohio National Fund, Inc. - ON Nasdaq-100® Index Portfolio (“ON Nasdaq-100® Index Portfolio”), and the Ohio National Fund, Inc. - ON ClearBridge Small Cap Portfolio (“ON ClearBridge Small Cap Portfolio”). The ON Bryton Growth Portfolio benefitted from its holdings in small cap stocks and its focus on growth stocks. The ON Nasdaq-100® Index Portfolio is comprised primarily of large cap growth stocks, which performed well during the period. Likewise, the ON ClearBridge Small Cap Portfolio benefited from the relative performance of small cap stocks and growth stocks in the Portfolio.
The three funds that detracted from performance vs. the benchmark were the Lazard Emerging Markets Equity Class R6 fund, the DFA Emerging Markets Portfolio Institutional fund, and the Ohio National Fund, Inc. - ON Federated Strategic Value Dividend Portfolio (“ON Federated Strategic Value Dividend Portfolio”). The Lazard Emerging Markets Equity Class R6 fund and the DFA Emerging Markets Portfolio Institutional fund both performed poorly vs. the benchmark, as emerging market stocks underperformed during the period. The ON Federated Strategic Value Dividend Portfolio is focused on dividend stocks, which underperformed the broader market.
Q. Were there any significant changes to the Portfolio’s management team, investment strategy, or selection process during the reporting period?
A. There were no significant changes to the Portfolio’s management team, investment strategy, or selection process during the period. There were asset allocation changes made during the period that increased exposure to equity index and growth funds, decreased exposure to value stocks and decreased exposure to balanced funds.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2018. |
122 |
Ohio National Fund, Inc. | ON Growth Model 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 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 95%, 80%, 60%, 40%, and 20%, respectively, and the Morningstar® Aggressive Target Risk Index exposure is set at 95%.
Portfolio Composition as of June 30, 2018 (1) |
% of Net Assets | ||||
Open-End Mutual Funds | 100.0 | |||
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| |||
100.0 | ||||
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Top 10 Portfolio Holdings as of June 30, 2018 (1) (2) (3) |
% of Net Assets | ||||||
1. | Ohio National Fund, Inc. - ON S&P 500® Index Portfolio | 15.0 | ||||
2. | Ohio National Fund, Inc. - ON International Equity Portfolio | 13.0 | ||||
3. | Ohio National Fund, Inc. - ON Federated Strategic Value Dividend Portfolio | 7.0 | ||||
4. | Ohio National Fund, Inc. - ON Nasdaq-100® Index Portfolio | 7.0 | ||||
5. | DFA International Core Equity Portfolio Institutional | 6.0 | ||||
6. | Ohio National Fund, Inc. - ON Janus Henderson Venture Portfolio | 6.0 | ||||
7. | Ohio National Fund, Inc. - ON ClearBridge Small Cap Portfolio | 5.0 | ||||
8. | Lazard Emerging Markets Equity Class R6 | 4.0 | ||||
9. | Fidelity Advisor® Mid Cap II Class I | 4.0 | ||||
10. | Ohio National Fund, Inc. - ON Bristol Portfolio | 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. |
123
Ohio National Fund, Inc. | ON Growth Model Portfolio |
Schedule of Investments in Unaffiliated Issuers | June 30, 2018 (Unaudited) |
Open-End Mutual Funds – 20.6% | Shares | Value | ||||||||||
DFA Emerging Markets Portfolio Institutional | 182,626 | $ | 5,124,476 | |||||||||
DFA International Core Equity Portfolio Institutional | 2,224,012 | 31,002,734 | ||||||||||
Lazard Emerging Markets Equity Class R6 | 1,157,080 | 20,422,455 | ||||||||||
PIMCO Real Return Institutional | 944,314 | 10,255,248 | ||||||||||
Templeton Foreign Class R6 | 1,999,588 | 15,316,842 | ||||||||||
Vanguard International Growth Fund Admiral Class | 153,907 | 15,316,842 | ||||||||||
Western Asset Core Plus Bond IS | 680,350 | 7,681,156 | ||||||||||
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Total Open-End Mutual Funds | $ | 105,119,753 | ||||||||||
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Total Investments in Securities of Unaffiliated Issuers – 20.6% (Cost $107,640,264) | (a | ) | $ | 105,119,753 | ||||||||
Total Investments in Affiliates – 79.4% (Cost $382,488,544) (see schedule below) | (a | ) | 405,896,302 | |||||||||
Other Assets in Excess of Liabilities – 0.0% | 33,685 | |||||||||||
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Net Assets – 100.0% | $ | 511,049,740 | ||||||||||
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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 | June 30, 2018 (Unaudited) |
Change in | ||||||||||||||||||||||||||||||||||||||
Affiliate | Value at January 1, 2018 | Cost of Purchases | Proceeds from Sales | Net Realized Gain (Loss) | Unrealized Appreciation (Depreciation) | Income Distributions | Capital Gain Distributions | Shares at June 30, 2018 | Value at June 30, 2018 | |||||||||||||||||||||||||||||
Open-End Mutual Funds – 79.4% | ||||||||||||||||||||||||||||||||||||||
Fidelity Advisor® Mid Cap II Class I | (a) | $ | 21,755,922 | $ | 1,711,785 | $ | 3,297,591 | $ | 261,420 | $ | (9,081 | ) | $ | 3,943 | $ | 370,672 | 936,810 | $ | 20,422,455 | |||||||||||||||||||
Fidelity Advisor® Real Estate I | (a) | 10,877,961 | 1,731,088 | 7,457,717 | (587,802 | ) | 542,084 | 43,504 | — | 229,466 | 5,105,614 | |||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Bond Portfolio | (a)(b) | 2,719,490 | 2,990,733 | 504,383 | (12,079 | ) | (88,147 | ) | — | — | 300,507 | 5,105,614 | ||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Bristol Growth Portfolio. | (a)(b) | 16,316,941 | 1,183,208 | 2,798,042 | 547,804 | 66,931 | — | — | 609,747 | 15,316,842 | ||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Bristol Portfolio | (a)(b) | 21,755,922 | 1,719,055 | 3,186,580 | 536,688 | (402,630 | ) | — | — | 672,234 | 20,422,455 | |||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Bryton Growth Portfolio | (a)(b) | 2,719,490 | 162,668 | 702,734 | 140,894 | 232,489 | — | — | 88,917 | 2,552,807 | ||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON ClearBridge Small Cap Portfolio | (a)(b) | 27,194,902 | 1,813,629 | 4,872,260 | 468,609 | 923,189 | — | — | 421,116 | 25,528,069 | ||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Equity Portfolio | (a)(b) | 43,511,844 | 2,799,927 | 30,329,678 | 1,974,286 | (2,639,537 | ) | — | — | 377,262 | 15,316,842 | |||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Federated High Income Bond Portfolio. | (a)(b) | 16,316,941 | 1,927,764 | 2,829,906 | 78,621 | (176,578 | ) | — | — | 795,680 | 15,316,842 | |||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Federated Strategic Value Dividend Portfolio | (a)(b) | 59,828,785 | 6,563,733 | 27,385,639 | 687,464 | (3,955,046 | ) | — | — | 2,096,146 | 35,739,297 | |||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON ICON Balanced Portfolio | (a)(b) | 32,633,883 | 247,470 | 33,544,937 | 2,553,762 | (1,890,178 | ) | — | — | — | — | |||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON International Equity Portfolio | (a)(b) | — | 68,944,352 | 333,137 | (1,459 | ) | (2,236,776 | ) | — | — | 4,518,242 | 66,372,980 | ||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Janus Henderson Enterprise Portfolio | (a)(b) | — | 5,275,795 | 6,822 | 52 | (163,411 | ) | — | — | 125,599 | 5,105,614 | |||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Janus Henderson Forty Portfolio | (a)(b) | — | 20,932,935 | 26,478 | 200 | (484,202 | ) | — | — | 902,052 | 20,422,455 | |||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Janus Henderson Venture Portfolio | (a)(b) | 32,633,883 | 1,962,687 | 7,481,066 | 1,418,090 | 2,100,089 | — | — | 830,857 | 30,633,683 | ||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON Nasdaq-100® Index Portfolio | (a)(b) | 5,438,980 | 31,536,590 | 2,027,880 | 153,855 | 637,752 | — | — | 1,941,298 | 35,739,297 | ||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON S&P 500® Index Portfolio | (a)(b) | 65,267,766 | 15,577,396 | 5,750,133 | 806,980 | 682,199 | — | — | 2,532,547 | 76,584,208 | ||||||||||||||||||||||||||||
Ohio National Fund, Inc. - ON S&P MidCap 400® Index Portfolio | (a)(b) | 10,877,961 | 663,789 | 1,652,141 | 26,823 | 294,796 | — | — | 566,661 | 10,211,228 | ||||||||||||||||||||||||||||
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Total Open-End Mutual Funds | $ | 9,054,208 | $ | (6,566,057 | ) | $ | 47,447 | $ | 370,672 | $ | 405,896,302 | |||||||||||||||||||||||||||
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124
Ohio National Fund, Inc. | ON Growth Model Portfolio |
Schedule of Investments in Affiliates | June 30, 2018 (Unaudited) |
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.
125
Ohio National Fund, Inc.
June 30, 2018 (Unaudited) |
ON | ON Janus | |||||||||||||||||||||||||||||||||||
ON Capital | International | ON Janus | ON Janus | Henderson | ||||||||||||||||||||||||||||||||
ON Equity | ON Bond | ON Omni | Appreciation | Equity | ON Foreign | Henderson | Henderson | Enterprise | ||||||||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Forty Portfolio | Venture | Portfolio | ||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||
Investments in securities of unaffiliated issuers, at value* | $ | 361,174,146 | $ | 294,746,954 | $ | 66,697,703 | $ | 115,137,197 | $ | 609,730,584 | $ | 68,910,025 | $ | 174,011,917 | $ | 266,833,144 | $ | 119,792,137 | ||||||||||||||||||
Foreign currencies, at value** | — | — | — | — | 927,322 | 4,822 | — | — | 53,745 | |||||||||||||||||||||||||||
Receivable for securities sold | — | 2,019,929 | 1,004,813 | 2,510,446 | 1,873,074 | 75,122 | — | 6,742,959 | — | |||||||||||||||||||||||||||
Receivable for fund shares sold | 669,380 | 64,477 | 153,210 | 119,355 | 3,116,388 | 86,594 | 974,993 | 125,042 | 874,030 | |||||||||||||||||||||||||||
Dividends and accrued interest receivable | 200,495 | 3,152,722 | 187,469 | 92,629 | 1,133,372 | 200,972 | 54,807 | 64,332 | 33,012 | |||||||||||||||||||||||||||
Foreign tax reclaim receivable | — | — | — | 49,021 | 324,499 | 69,309 | 2,193 | 24,394 | — | |||||||||||||||||||||||||||
Prepaid expenses and other assets | 4,752 | 2,312 | 591 | 1,137 | 1,348 | 663 | 558 | 2,364 | 688 | |||||||||||||||||||||||||||
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Total assets | 362,048,773 | 299,986,394 | 68,043,786 | 117,909,785 | 617,106,587 | 69,347,507 | 175,044,468 | 273,792,235 | 120,753,612 | |||||||||||||||||||||||||||
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Liabilities: | ||||||||||||||||||||||||||||||||||||
Cash overdraft | — | — | — | — | 919,482 | 4 | — | — | — | |||||||||||||||||||||||||||
Payable for securities purchased | — | 3,940,887 | 1,459,573 | 1,938,908 | 4,592,962 | 44,549 | 260,011 | 3,572,737 | — | |||||||||||||||||||||||||||
Payable for fund shares redeemed | 540,539 | 1,607,938 | 34,823 | 210,910 | 83,792 | 134,621 | 67,220 | 1,230,390 | 370,531 | |||||||||||||||||||||||||||
Payable for investment management services | 245,964 | 128,425 | 33,286 | 77,389 | 375,116 | 49,997 | 99,583 | 175,467 | 79,208 | |||||||||||||||||||||||||||
Accrued custody expense | 1,451 | 1,225 | 1,226 | 1,097 | 28,416 | 8,070 | 607 | 3,928 | 1,195 | |||||||||||||||||||||||||||
Accrued professional fees | 7,964 | 7,313 | 6,503 | 6,682 | 7,219 | 6,530 | 6,489 | 7,180 | 6,537 | |||||||||||||||||||||||||||
Accrued accounting fees | 5,259 | 5,271 | 2,303 | 1,724 | 7,897 | 2,563 | 1,204 | 3,474 | 1,388 | |||||||||||||||||||||||||||
Accrued printing and filing fees | 3,840 | 3,664 | 1,231 | 1,764 | 8,106 | 1,253 | 2,877 | 3,407 | 3,428 | |||||||||||||||||||||||||||
Other fees payable | 3,804 | 3,772 | 3,776 | 3,777 | 3,762 | 3,761 | 3,777 | 3,783 | 3,773 | |||||||||||||||||||||||||||
Withholding tax payable | — | — | — | — | 140,224 | 16,740 | — | — | 558 | |||||||||||||||||||||||||||
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Total liabilities | 808,821 | 5,698,495 | 1,542,721 | 2,242,251 | 6,166,976 | 268,088 | 441,768 | 5,000,366 | 466,618 | |||||||||||||||||||||||||||
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Net assets | $ | 361,239,952 | $ | 294,287,899 | $ | 66,501,065 | $ | 115,667,534 | $ | 610,939,611 | $ | 69,079,419 | $ | 174,602,700 | $ | 268,791,869 | $ | 120,286,994 | ||||||||||||||||||
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Net assets consist of: | ||||||||||||||||||||||||||||||||||||
Par value, $1 per share | $ | 8,898,200 | $ | 17,324,621 | $ | 2,043,840 | $ | 2,613,695 | $ | 41,589,318 | $ | 2,163,091 | $ | 7,711,251 | $ | 7,301,039 | $ | 2,959,059 | ||||||||||||||||||
Paid in capital in excess of par value | 287,078,394 | 281,760,241 | 56,537,268 | 92,366,369 | 571,193,456 | 66,159,479 | 149,622,279 | 165,280,420 | 97,453,493 | |||||||||||||||||||||||||||
Accumulated net realized gain (loss) on investments | 30,238,162 | (542,713 | ) | 5,488,290 | 9,064,997 | 1,657,082 | 864,159 | 1,007,551 | 26,104,931 | 17,548,037 | ||||||||||||||||||||||||||
Net unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||||||||||||||
Investments | 32,851,986 | (9,123,287 | ) | 2,061,318 | 11,194,660 | (9,995,502 | ) | (640,521 | ) | 16,340,656 | 70,786,982 | 2,286,773 | ||||||||||||||||||||||||
Foreign currency related transactions | — | — | — | 663 | 6,356 | (1,938 | ) | (144 | ) | 626 | 423 | |||||||||||||||||||||||||
Undistributed net investment income (loss) | 2,173,210 | 4,869,037 | 370,349 | 427,150 | 6,488,901 | 535,149 | (78,893 | ) | (682,129 | ) | 39,209 | |||||||||||||||||||||||||
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Net assets | $ | 361,239,952 | $ | 294,287,899 | $ | 66,501,065 | $ | 115,667,534 | $ | 610,939,611 | $ | 69,079,419 | $ | 174,602,700 | $ | 268,791,869 | $ | 120,286,994 | ||||||||||||||||||
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*Investments in securities of unaffiliated issuers, at cost | $ | 328,322,160 | $ | 303,870,241 | $ | 64,636,385 | $ | 103,942,537 | $ | 619,726,086 | $ | 69,550,546 | $ | 157,671,261 | $ | 196,046,162 | $ | 117,505,364 | ||||||||||||||||||
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**Foreign currencies, at cost | $ | — | $ | — | $ | — | $ | — | $ | 919,828 | $ | 4,845 | $ | — | $ | — | $ | 53,322 | ||||||||||||||||||
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Shares outstanding | 8,898,200 | 17,324,621 | 2,043,840 | 2,613,695 | 41,589,318 | 2,163,091 | 7,711,251 | 7,301,039 | 2,959,059 | |||||||||||||||||||||||||||
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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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Net asset value per share | $ | 40.60 | $ | 16.99 | $ | 32.54 | $ | 44.25 | $ | 14.69 | $ | 31.94 | $ | 22.64 | $ | 36.82 | $ | 40.65 | ||||||||||||||||||
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The accompanying notes are an integral part of these financial statements.
126
Ohio National Fund, Inc.
Statements of Assets and Liabilities | June 30, 2018 (Unaudited) |
ON Federated | ON Federated | ON S&P | ||||||||||||||||||||||||||||||||||
ON S&P 500® | Strategic Value | High Income | ON ClearBridge | ON Nasdaq-100® | ON Bryton | ON ICON | MidCap 400® | |||||||||||||||||||||||||||||
Index | Dividend | Bond | Small Cap | Index | ON Bristol | Growth | Balanced | Index | ||||||||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | ||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||
Investments in securities of unaffiliated issuers, at value* | $ | 1,224,102,361 | $ | 399,867,739 | $ | 284,134,894 | $ | 247,548,545 | $ | 392,967,758 | $ | 196,846,882 | $ | 54,400,596 | $ | 739,989,739 | $ | 86,599,234 | ||||||||||||||||||
Cash | 7,020 | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Cash subject to usage restrictions | 190,400 | — | — | — | 69,580 | — | — | — | 7,492 | |||||||||||||||||||||||||||
Foreign currencies, at value** | — | 59,362 | — | — | — | — | — | — | — | |||||||||||||||||||||||||||
Receivable for securities sold | 1,286,942 | — | 304,153 | 3,827,808 | — | 5,019,409 | 1,043,429 | 129,104 | 558,137 | |||||||||||||||||||||||||||
Receivable for fund shares sold | 1,702,915 | 29,332 | 144,671 | 101,640 | 1,160,949 | 1,185,473 | 15,479 | 267,741 | 78,081 | |||||||||||||||||||||||||||
Receivable for variation margin on futures contracts | 780,347 | — | — | — | 385,270 | — | — | — | 93,305 | |||||||||||||||||||||||||||
Dividends and accrued interest receivable | 1,014,629 | 2,742,140 | 4,662,879 | 282,612 | 84,936 | 180,821 | 29,216 | 2,907,171 | 81,352 | |||||||||||||||||||||||||||
Foreign tax reclaim receivable | — | 416,578 | — | — | — | — | — | — | 14,137 | |||||||||||||||||||||||||||
Prepaid expenses and other assets. | 10,240 | 4,629 | 2,666 | 2,273 | 2,515 | 1,895 | 546 | 8,089 | 682 | |||||||||||||||||||||||||||
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Total assets | 1,229,094,854 | 403,119,780 | 289,249,263 | 251,762,878 | 394,671,008 | 203,234,480 | 55,489,266 | 743,301,844 | 87,432,420 | |||||||||||||||||||||||||||
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Liabilities: | ||||||||||||||||||||||||||||||||||||
Cash overdraft | — | — | — | 14,117 | — | — | — | — | — | |||||||||||||||||||||||||||
Payable for securities purchased | 608,117 | — | 1,199,185 | 1,658,404 | — | 5,102,166 | 801,434 | — | 698,116 | |||||||||||||||||||||||||||
Payable for fund shares redeemed | 1,783,960 | 7,632,900 | 1,367,796 | 658,913 | 541,903 | 24,832 | 157,692 | 763,732 | 40,458 | |||||||||||||||||||||||||||
Payable for investment management services | 344,308 | 245,263 | 161,814 | 175,727 | 113,419 | 124,755 | 38,682 | 376,012 | 28,950 | |||||||||||||||||||||||||||
Accrued custody expense | 9,327 | 4,179 | 1,186 | 1,393 | 2,352 | 2,247 | 1,390 | 2,903 | 6,780 | |||||||||||||||||||||||||||
Accrued professional fees | 10,272 | 8,541 | 7,290 | 7,135 | 7,280 | 6,987 | 6,459 | 9,209 | 6,564 | |||||||||||||||||||||||||||
Accrued accounting fees | 13,358 | 5,183 | 7,930 | 3,076 | 3,950 | 2,503 | 1,017 | 9,172 | 2,017 | |||||||||||||||||||||||||||
Accrued printing and filing fees | 13,704 | 4,418 | 3,611 | 3,208 | 5,061 | 2,587 | 1,117 | 8,171 | 1,461 | |||||||||||||||||||||||||||
Other fees payable | 3,774 | 3,769 | 3,772 | 3,771 | 3,765 | 3,762 | 3,762 | 3,762 | 3,762 | |||||||||||||||||||||||||||
Withholding tax payable | — | 28,707 | — | — | — | — | — | 3,146 | — | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Total liabilities | 2,786,820 | 7,932,960 | 2,752,584 | 2,525,744 | 677,730 | 5,269,839 | 1,011,553 | 1,176,107 | 788,108 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net assets | $ | 1,226,308,034 | $ | 395,186,820 | $ | 286,496,679 | $ | 249,237,134 | $ | 393,993,278 | $ | 197,964,641 | $ | 54,477,713 | $ | 742,125,737 | $ | 86,644,312 | ||||||||||||||||||
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|
|
|
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|
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| |||||||||||||||||||
Net assets consist of: | ||||||||||||||||||||||||||||||||||||
Par value, $1 per share | $ | 40,555,878 | $ | 23,180,392 | $ | 14,879,129 | $ | 4,111,491 | $ | 21,402,807 | $ | 6,516,341 | $ | 1,897,367 | $ | 33,491,084 | $ | 4,809,152 | ||||||||||||||||||
Paid in capital in excess of par value | 857,588,384 | 362,449,164 | 274,197,394 | 198,683,578 | 244,260,270 | 158,837,654 | 41,904,799 | 633,413,293 | 73,796,373 | |||||||||||||||||||||||||||
Accumulated net realized gain (loss) on investments | 38,851,973 | 5,291,161 | (4,180,545 | ) | 11,073,528 | 11,532,849 | 23,874,123 | 5,743,772 | 8,310,544 | 2,357,114 | ||||||||||||||||||||||||||
Net unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||||||||||||||
Investments | 280,300,802 | (5,894,428 | ) | (6,423,489 | ) | 34,949,923 | 115,871,198 | 8,154,966 | 5,081,569 | 59,993,124 | 5,240,970 | |||||||||||||||||||||||||
Futures contracts | (90,723 | ) | — | — | — | (33,057 | ) | — | — | — | (5,330 | ) | ||||||||||||||||||||||||
Foreign currency related transactions | — | 7,468 | — | — | — | — | — | 157 | — | |||||||||||||||||||||||||||
Undistributed net investment income (loss) | 9,101,720 | 10,153,063 | 8,024,190 | 418,614 | 959,211 | 581,557 | (149,794 | ) | 6,917,535 | 446,033 | ||||||||||||||||||||||||||
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| |||||||||||||||||||
Net assets | $ | 1,226,308,034 | $ | 395,186,820 | $ | 286,496,679 | $ | 249,237,134 | $ | 393,993,278 | $ | 197,964,641 | $ | 54,477,713 | $ | 742,125,737 | $ | 86,644,312 | ||||||||||||||||||
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| |||||||||||||||||||
*Investments in securities of unaffiliated issuers, at cost | $ | 943,801,559 | $ | 405,762,167 | $ | 290,558,383 | $ | 212,598,622 | $ | 277,096,560 | $ | 188,691,916 | $ | 49,319,027 | $ | 679,996,615 | $ | 81,358,264 | ||||||||||||||||||
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| |||||||||||||||||||
**Foreign currencies, at cost. | $ | — | $ | 58,905 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||||||
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| |||||||||||||||||||
Shares outstanding | 40,555,878 | 23,180,392 | 14,879,129 | 4,111,491 | 21,402,807 | 6,516,341 | 1,897,367 | 33,491,084 | 4,809,152 | |||||||||||||||||||||||||||
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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 | $ | 30.24 | $ | 17.05 | $ | 19.25 | $ | 60.62 | $ | 18.41 | $ | 30.38 | $ | 28.71 | $ | 22.16 | $ | 18.02 | ||||||||||||||||||
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The accompanying notes are an integral part of these financial statements.
127
Ohio National Fund, Inc.
Statements of Assets and Liabilities | June 30, 2018 (Unaudited) |
ON Moderately | ||||||||||||||||||||||||||||
ON Bristol | ON Risk Managed | ON Conservative | Conservative | ON Balanced | ON Moderate | ON | ||||||||||||||||||||||
Growth | Balanced | Model | Model | Model | Growth Model | Growth Model | ||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | ||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||
Investments in securities of unaffiliated issuers, at value* | $ | 118,653,844 | $ | 360,869,763 | $ | 59,586,882 | $ | 146,876,717 | $ | 533,126,086 | $ | 647,371,521 | $ | 105,119,753 | ||||||||||||||
Investments in affiliates, at value** | — | — | 29,260,983 | 135,156,488 | 831,242,589 | 1,717,313,356 | 405,896,302 | |||||||||||||||||||||
Cash | — | 550,719 | — | — | — | — | — | |||||||||||||||||||||
Cash subject to usage restrictions | — | 1,175,902 | — | — | — | — | — | |||||||||||||||||||||
Receivable for securities sold | 2,246,964 | 3,971,301 | 335,017 | 1,174,800 | 7,928,372 | 13,436,645 | 3,035,953 | |||||||||||||||||||||
Receivable for fund shares sold | 302,889 | 171,512 | 53 | 235,366 | 21,659 | 620,927 | 10,053 | |||||||||||||||||||||
Receivable for variation margin on futures contracts | — | 48,454 | — | — | — | — | — | |||||||||||||||||||||
Receivable for TBA sales commitments | — | 3,761,813 | — | — | — | — | — | |||||||||||||||||||||
Dividends and accrued interest receivable | 110,650 | 865,684 | 178,139 | 456,699 | 1,671,559 | 2,481,567 | 451,712 | |||||||||||||||||||||
Prepaid expenses and other assets | 1,094 | 2,993 | 834 | 2,695 | 12,924 | 21,982 | 53,700 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total assets | 121,315,441 | 371,418,141 | 89,361,908 | 283,902,765 | 1,374,003,189 | 2,381,245,998 | 514,567,473 | |||||||||||||||||||||
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|
|
|
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|
|
| |||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||
Payable for securities purchased | 3,145,059 | 15,125,743 | 413,942 | 1,825,747 | 8,333,078 | 14,881,019 | 3,200,279 | |||||||||||||||||||||
Payable for fund shares redeemed | 22,972 | 220,488 | 99,268 | 41,118 | 1,288,512 | 1,658,120 | 297,439 | |||||||||||||||||||||
Payable for investment management services | 77,682 | 262,336 | 15,989 | 79,237 | 451,083 | 810,823 | — | |||||||||||||||||||||
TBA sales commitments, at value (proceeds $3,761,813) | — | 3,774,081 | — | — | — | — | — | |||||||||||||||||||||
Accrued custody expense | 1,395 | 6,506 | 205 | 227 | 249 | 306 | 235 | |||||||||||||||||||||
Accrued professional fees | 6,688 | 7,430 | 4,739 | 5,437 | 9,288 | 12,743 | 6,187 | |||||||||||||||||||||
Accrued accounting fees | 1,647 | 10,728 | 2,059 | 2,083 | 2,122 | 2,122 | 2,122 | |||||||||||||||||||||
Accrued printing and filing fees | 1,768 | 4,324 | 1,474 | 3,499 | 14,898 | 25,473 | 5,934 | |||||||||||||||||||||
Other fees payable | 3,761 | 3,751 | 5,327 | 5,641 | 5,581 | 5,837 | 5,537 | |||||||||||||||||||||
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|
|
|
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|
|
|
|
|
|
| |||||||||||||||
Total liabilities | 3,260,972 | 19,415,387 | 543,003 | 1,962,989 | 10,104,811 | 17,396,443 | 3,517,733 | |||||||||||||||||||||
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| |||||||||||||||
Net assets | $ | 118,054,469 | $ | 352,002,754 | $ | 88,818,905 | $ | 281,939,776 | $ | 1,363,898,378 | $ | 2,363,849,555 | $ | 511,049,740 | ||||||||||||||
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| |||||||||||||||
Net assets consist of: | ||||||||||||||||||||||||||||
Par value, $1 per share | $ | 4,700,494 | $ | 26,724,181 | $ | 8,558,130 | $ | 26,804,784 | $ | 127,788,847 | $ | 216,061,027 | $ | 46,107,738 | ||||||||||||||
Paid in capital in excess of par value | 88,097,888 | 284,683,738 | 80,141,060 | 253,569,044 | 1,206,491,998 | 2,087,330,465 | 446,890,427 | |||||||||||||||||||||
Accumulated net realized gain (loss) on investments | 16,958,217 | (1,199,180 | ) | (276,339 | ) | (1,030,355 | ) | (7,357,187 | ) | (29,041,094 | ) | (2,893,539 | ) | |||||||||||||||
Net unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||||||
Investments | 8,057,007 | 38,622,260 | (321,299 | ) | 936,124 | 33,005,301 | 86,459,165 | 20,887,247 | ||||||||||||||||||||
Futures contracts | — | 1,196,555 | — | — | — | — | — | |||||||||||||||||||||
Undistributed net investment income. | 240,863 | 1,975,200 | 717,353 | 1,660,179 | 3,969,419 | 3,039,992 | 57,867 | |||||||||||||||||||||
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| |||||||||||||||
Net assets | $ | 118,054,469 | $ | 352,002,754 | $ | 88,818,905 | $ | 281,939,776 | $ | 1,363,898,378 | $ | 2,363,849,555 | $ | 511,049,740 | ||||||||||||||
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| |||||||||||||||
*Investments in securities of unaffiliated issuers, at cost | $ | 110,596,837 | $ | 322,247,503 | $ | 60,509,088 | $ | 149,152,102 | $ | 538,493,141 | $ | 662,519,713 | $ | 107,640,264 | ||||||||||||||
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| |||||||||||||||
**Investments in affiliates, at cost | $ | — | $ | — | $ | 28,660,076 | $ | 131,944,979 | $ | 792,870,233 | $ | 1,615,705,999 | $ | 382,488,544 | ||||||||||||||
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|
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|
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| |||||||||||||||
Shares outstanding. | 4,700,494 | 26,724,181 | 8,558,130 | 26,804,784 | 127,788,847 | 216,061,027 | 46,107,738 | |||||||||||||||||||||
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|
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| |||||||||||||||
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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| |||||||||||||||
Net asset value per share | $ | 25.12 | $ | 13.17 | $ | 10.38 | $ | 10.52 | $ | 10.67 | $ | 10.94 | $ | 11.08 | ||||||||||||||
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The accompanying notes are an integral part of these financial statements.
128
Ohio National Fund, Inc.
For the Six-Month Period Ended June 30, 2018 (Unaudited) |
ON Equity Portfolio | ON Bond Portfolio | ON Omni Portfolio | ON Capital Appreciation Portfolio | ON International Equity Portfolio | ON Foreign Portfolio | ON Janus Henderson Forty Portfolio | ON Janus Henderson Venture | ON Janus Henderson Enterprise Portfolio | ||||||||||||||||||||||||||||
Investment income: | ||||||||||||||||||||||||||||||||||||
Interest | $ | — | $ | 5,672,996 | $ | 255,679 | $ | — | $ | — | $ | — | $ | 1,986 | $ | 5,821 | $ | — | ||||||||||||||||||
Dividends from unaffiliated issuers, net of taxes withheld* | 4,166,311 | 80,872 | 373,225 | 957,761 | 8,088,539 | 1,345,379 | 276,910 | 876,805 | 446,850 | |||||||||||||||||||||||||||
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| |||||||||||||||||||
Total investment income | 4,166,311 | 5,753,868 | 628,904 | 957,761 | 8,088,539 | 1,345,379 | 278,896 | 882,626 | 446,850 | |||||||||||||||||||||||||||
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|
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| |||||||||||||||||||
Expenses: | ||||||||||||||||||||||||||||||||||||
Management fees | 1,885,166 | 792,604 | 202,139 | 477,191 | 1,382,001 | 317,971 | 310,538 | 1,054,662 | 354,506 | |||||||||||||||||||||||||||
Custodian fees. | 8,566 | 7,978 | 7,303 | 3,895 | 126,355 | 45,835 | 3,673 | 25,261 | 6,912 | |||||||||||||||||||||||||||
Directors’ fees. | 18,697 | 10,803 | 2,429 | 4,367 | 14,134 | 2,707 | 2,307 | 9,820 | 2,788 | |||||||||||||||||||||||||||
Professional fees | 13,993 | 12,314 | 10,134 | 10,593 | 11,928 | 10,204 | 10,093 | 11,906 | 10,221 | |||||||||||||||||||||||||||
Accounting fees | 33,861 | 33,613 | 13,878 | 10,332 | 32,145 | 15,597 | 6,860 | 20,998 | 8,109 | |||||||||||||||||||||||||||
Administration fees | 11,323 | 11,125 | 11,140 | 11,023 | 11,059 | 10,930 | 11,150 | 11,167 | 11,000 | |||||||||||||||||||||||||||
Printing and filing fees | 7,162 | 6,572 | 3,028 | 3,783 | 11,394 | 3,050 | 4,720 | 6,149 | 5,476 | |||||||||||||||||||||||||||
Compliance expense | 7,740 | 7,740 | 7,740 | 7,740 | 7,740 | 7,740 | 7,740 | 7,740 | 7,740 | |||||||||||||||||||||||||||
Other | 6,593 | 2,082 | 764 | 1,687 | 2,942 | 848 | 708 | 3,072 | 889 | |||||||||||||||||||||||||||
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| |||||||||||||||||||
Total expenses | 1,993,101 | 884,831 | 258,555 | 530,611 | 1,599,698 | 414,882 | 357,789 | 1,150,775 | 407,641 | |||||||||||||||||||||||||||
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| |||||||||||||||||||
Net investment income (loss) | 2,173,210 | 4,869,037 | 370,349 | 427,150 | 6,488,841 | 930,497 | (78,893 | ) | (268,149 | ) | 39,209 | |||||||||||||||||||||||||
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| |||||||||||||||||||
Realized/unrealized gain (loss) on investments, futures contracts, and foreign currency related transactions: | ||||||||||||||||||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||||||||||||||||||
Investments in securities of unaffiliated issuers | 30,791,433 | (520,852 | ) | 5,622,096 | 9,697,664 | 1,604,760 | 871,508 | 1,095,969 | 26,570,075 | 17,683,864 | ||||||||||||||||||||||||||
Foreign currency related transactions | (4,516 | ) | — | — | (1,030 | ) | 55,116 | (7,123 | ) | 55 | (41 | ) | (8,175 | ) | ||||||||||||||||||||||
Change in unrealized appreciation/depreciation on: | ||||||||||||||||||||||||||||||||||||
Investments in securities of unaffiliated issuers | (41,700,989 | ) | (14,666,973 | ) | (6,093,372 | ) | (8,286,829 | ) | (27,620,981 | ) | (4,582,530 | ) | 4,489,590 | 3,898,225 | (15,049,127 | ) | ||||||||||||||||||||
Foreign currency related transactions | — | — | — | (1,345 | ) | (12,809 | ) | 7,981 | (35 | ) | (598 | ) | 423 | |||||||||||||||||||||||
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| |||||||||||||||||||
Net realized/unrealized gain (loss) on investments, futures contracts, and foreign currency related transactions | (10,914,072 | ) | (15,187,825 | ) | (471,276 | ) | 1,408,460 | (25,973,914 | ) | (3,710,164 | ) | 5,585,579 | 30,467,661 | 2,626,985 | ||||||||||||||||||||||
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| |||||||||||||||||||
Change in net assets from operations | $ | (8,740,862 | ) | $ | (10,318,788 | ) | $ | (100,927 | ) | $ | 1,835,610 | $ | (19,485,073 | ) | $ | (2,779,667 | ) | $ | 5,506,686 | $ | 30,199,512 | $ | 2,666,194 | |||||||||||||
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| |||||||||||||||||||
*Taxes withheld | $ | 6,447 | $ | — | $ | — | $ | 4,508 | $ | 955,978 | $ | 166,722 | $ | 2,288 | $ | 8,957 | $ | 6,094 | ||||||||||||||||||
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The accompanying notes are an integral part of these financial statements.
129
Ohio National Fund, Inc.
Statements of Operations | For the Six-Month Period Ended June 30, 2018 (Unaudited) |
ON Federated | ON Federated | ON S&P | ||||||||||||||||||||||||||||||||||
ON S&P 500® | Strategic Value | High Income | ON ClearBridge | ON Nasdaq-100® | ON Bryton | ON ICON | MidCap 400® | |||||||||||||||||||||||||||||
Index | Dividend | Bond | Small Cap | Index | ON Bristol | Growth | Balanced | Index | ||||||||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | ||||||||||||||||||||||||||||
Investment income: | ||||||||||||||||||||||||||||||||||||
Interest | $ | 3,768 | $ | — | $ | 9,036,499 | $ | — | $ | 1,268 | $ | — | $ | — | $ | 4,922,831 | $ | 329 | ||||||||||||||||||
Dividends from unaffiliated issuers, net of taxes withheld* | 11,345,933 | 12,069,029 | 94,216 | 1,533,711 | 1,604,481 | 1,446,459 | 129,568 | 4,678,485 | 707,373 | |||||||||||||||||||||||||||
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| |||||||||||||||||||
Total investment income | 11,349,701 | 12,069,029 | 9,130,715 | 1,533,711 | 1,605,749 | 1,446,459 | 129,568 | 9,601,316 | 707,702 | |||||||||||||||||||||||||||
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| |||||||||||||||||||
Expenses: | ||||||||||||||||||||||||||||||||||||
Management fees | 1,992,800 | 1,790,027 | 1,007,434 | 1,080,524 | 557,184 | 790,021 | 231,297 | 2,516,482 | 173,212 | |||||||||||||||||||||||||||
Custodian fees | 60,130 | 24,631 | 7,132 | 8,385 | 14,763 | 13,958 | 7,656 | 17,558 | 39,758 | |||||||||||||||||||||||||||
Directors’ fees | 41,917 | 18,713 | 10,701 | 9,278 | 10,541 | 7,617 | 1,955 | 31,498 | 3,116 | |||||||||||||||||||||||||||
Professional fees | 19,888 | 14,271 | 12,195 | 11,792 | 12,157 | 11,405 | 10,008 | 17,229 | 10,305 | |||||||||||||||||||||||||||
Accounting fees. | 80,777 | 34,857 | 48,042 | 18,858 | 21,904 | 15,572 | 5,958 | 57,984 | 12,389 | |||||||||||||||||||||||||||
Administration fees | 11,035 | 11,114 | 11,123 | 10,991 | 11,083 | 11,061 | 11,056 | 11,080 | 11,057 | |||||||||||||||||||||||||||
Printing and filing fees | 21,425 | 7,753 | 6,394 | 5,745 | 8,444 | 4,999 | 2,826 | 12,905 | 3,332 | |||||||||||||||||||||||||||
Compliance expense | 7,740 | 7,740 | 7,740 | 7,740 | 7,740 | 7,740 | 7,740 | 7,740 | 7,740 | |||||||||||||||||||||||||||
Other | 12,269 | 6,860 | 3,168 | 3,089 | 2,722 | 2,529 | 866 | 11,305 | 760 | |||||||||||||||||||||||||||
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|
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| |||||||||||||||||||
Total expenses. | 2,247,981 | 1,915,966 | 1,113,929 | 1,156,402 | 646,538 | 864,902 | 279,362 | 2,683,781 | 261,669 | |||||||||||||||||||||||||||
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|
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|
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| |||||||||||||||||||
Net investment income (loss) | 9,101,720 | 10,153,063 | 8,016,786 | 377,309 | 959,211 | 581,557 | (149,794 | ) | 6,917,535 | 446,033 | ||||||||||||||||||||||||||
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| |||||||||||||||||||
Realized/unrealized gain on investments, futures contracts, and foreign currency related transactions: | ||||||||||||||||||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||||||||||||||||||
Investments in securities of unaffiliated issuers | 44,658,219 | 5,296,640 | 95,691 | 11,814,648 | 11,947,075 | 24,441,971 | 6,221,649 | 7,598,470 | 2,887,820 | |||||||||||||||||||||||||||
Capital gain distributions received from underlying unaffiliated mutual funds | — | — | — | — | — | — | — | 19,768 | — | |||||||||||||||||||||||||||
Futures contracts | 129,167 | — | — | — | 212,959 | — | — | — | 43,445 | |||||||||||||||||||||||||||
Foreign currency related transactions | — | (46,173 | ) | — | — | — | — | — | 535 | — | ||||||||||||||||||||||||||
Change in unrealized appreciation/depreciation on: | ||||||||||||||||||||||||||||||||||||
Investments in securities of unaffiliated issuers | (25,291,382 | ) | (45,870,995 | ) | (9,917,265 | ) | 1,764,004 | 13,334,720 | (23,152,051 | ) | 1,652,208 | (7,423,221 | ) | (617,761 | ) | |||||||||||||||||||||
Futures contracts | (74,295 | ) | — | — | — | (39,016 | ) | — | — | — | (13,083 | ) | ||||||||||||||||||||||||
Foreign currency related transactions | — | (38,810 | ) | — | — | — | — | — | 124 | — | ||||||||||||||||||||||||||
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| |||||||||||||||||||
Net realized/unrealized gain (loss) on investments, futures contracts, and foreign currency related transactions | 19,421,709 | (40,659,338 | ) | (9,821,574 | ) | 13,578,652 | 25,455,738 | 1,289,920 | 7,873,857 | 195,676 | 2,300,421 | |||||||||||||||||||||||||
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| |||||||||||||||||||
Change in net assets from operations. | $ | 28,523,429 | $ | (30,506,275 | ) | $ | (1,804,788 | ) | $ | 13,955,961 | $ | 26,414,949 | $ | 1,871,477 | $ | 7,724,063 | $ | 7,113,211 | $ | 2,746,454 | ||||||||||||||||
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| |||||||||||||||||||
*Taxes withheld | $ | — | $ | 245,139 | $ | — | $ | — | $ | 765 | $ | — | $ | — | $ | 18,260 | $ | — | ||||||||||||||||||
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The accompanying notes are an integral part of these financial statements.
130
Ohio National Fund, Inc.
Statements of Operations | For the Six-Month Period Ended June 30, 2018 (Unaudited) |
ON Moderately | ||||||||||||||||||||||||||||
ON Bristol | ON Risk Managed | ON Conservative | Conservative | ON Balanced | ON Moderate | ON | ||||||||||||||||||||||
Growth | Balanced | Model | Model | Model | Growth Model | Growth Model | ||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | ||||||||||||||||||||||
Investment income: | ||||||||||||||||||||||||||||
Interest | $ | — | $ | 1,585,892 | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
Dividends from unaffiliated issuers, net of taxes withheld* | 779,511 | 2,097,815 | 845,488 | 2,051,091 | 6,016,611 | 6,785,633 | 633,564 | |||||||||||||||||||||
Dividends from affililiates | — | — | — | 25,168 | 125,285 | 221,617 | 47,447 | |||||||||||||||||||||
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|
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| |||||||||||||||
Total investment income | 779,511 | 3,683,707 | 845,488 | 2,076,259 | 6,141,896 | 7,007,250 | 681,011 | |||||||||||||||||||||
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|
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| |||||||||||||||
Expenses: | ||||||||||||||||||||||||||||
Management fees | 481,348 | 1,550,526 | 184,223 | 594,689 | 2,875,120 | 4,941,140 | 1,048,680 | |||||||||||||||||||||
Custodian fees. | 8,143 | 38,468 | 1,230 | 1,371 | 1,487 | 1,859 | 1,429 | |||||||||||||||||||||
Directors’ fees | 4,475 | 12,375 | 3,352 | 10,694 | 51,793 | 89,186 | 18,888 | |||||||||||||||||||||
Professional fees | 10,619 | 12,559 | 5,322 | 7,158 | 17,270 | 26,342 | 9,121 | |||||||||||||||||||||
Accounting fees. | 10,143 | 64,358 | 12,365 | 12,508 | 12,757 | 12,757 | 12,757 | |||||||||||||||||||||
Administration fees | 10,931 | 11,064 | 19,610 | 21,277 | 21,629 | 22,992 | 21,707 | |||||||||||||||||||||
Printing and filing fees | 3,803 | 7,538 | 3,334 | 6,201 | 22,469 | 37,724 | 9,880 | |||||||||||||||||||||
Compliance expense | 7,740 | 7,740 | 7,740 | 7,740 | 7,740 | 7,740 | 7,740 | |||||||||||||||||||||
Other | 1,446 | 3,879 | 1,158 | 3,719 | 18,705 | 31,408 | 6,396 | |||||||||||||||||||||
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|
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|
|
|
|
|
|
|
| |||||||||||||||
Total expenses | 538,648 | 1,708,507 | 238,334 | 665,357 | 3,028,970 | 5,171,148 | 1,136,598 | |||||||||||||||||||||
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|
| |||||||||||||||
Less expenses reduced or reimbursed by advisor | — | — | (110,199 | ) | (249,277 | ) | (856,493 | ) | (1,203,890 | ) | (513,454 | ) | ||||||||||||||||
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|
|
|
|
|
|
| |||||||||||||||
Net expenses | 538,648 | 1,708,507 | 128,135 | 416,080 | 2,172,477 | 3,967,258 | 623,144 | |||||||||||||||||||||
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|
|
| |||||||||||||||
Net investment income | 240,863 | 1,975,200 | 717,353 | 1,660,179 | 3,969,419 | 3,039,992 | 57,867 | |||||||||||||||||||||
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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 | 17,314,374 | 7,669,178 | 361,511 | 3,650,404 | 29,028,881 | 53,000,745 | 14,966,157 | |||||||||||||||||||||
Investments in affiliates | — | — | 966,721 | 3,748,542 | 15,544,882 | 32,623,378 | 9,054,208 | |||||||||||||||||||||
Capital gain distributions received from underlying unaffiliated mutual funds | — | — | 92,092 | 226,870 | 453,170 | 1,233,861 | 36,440 | |||||||||||||||||||||
Capital gain distributions received from underlying affiliated mutual funds | — | — | — | 105,201 | 778,181 | 1,773,618 | 370,672 | |||||||||||||||||||||
Futures contracts. | — | (4,764,704 | ) | — | — | — | — | — | ||||||||||||||||||||
Foreign currency related transactions | — | (607 | ) | — | — | — | — | — | ||||||||||||||||||||
Change in unrealized appreciation/depreciation on: | ||||||||||||||||||||||||||||
Investments in securities of unaffiliated issuers | (12,632,725 | ) | (2,586,279 | ) | (2,261,734 | ) | (8,546,697 | ) | (48,450,574 | ) | (86,809,747 | ) | (20,911,427 | ) | ||||||||||||||
Investments in affiliates | — | — | (1,297,426 | ) | (5,768,631 | ) | (20,617,518 | ) | (28,394,112 | ) | (6,566,057 | ) | ||||||||||||||||
Futures contracts. | — | 2,041,612 | — | — | — | — | — | |||||||||||||||||||||
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| |||||||||||||||
Net realized/unrealized gain (loss) on investments, capital gain distributions received from underlying mutual funds, futures contracts, and foreign currency related transactions | 4,681,649 | 2,359,200 | (2,138,836 | ) | (6,584,311 | ) | (23,262,978 | ) | (26,572,257 | ) | (3,050,007 | ) | ||||||||||||||||
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| |||||||||||||||
Change in net assets from operations | $ | 4,922,512 | $ | 4,334,400 | $ | (1,421,483 | ) | $ | (4,924,132 | ) | $ | (19,293,559 | ) | $ | (23,532,265 | ) | $ | (2,992,140 | ) | |||||||||
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| |||||||||||||||
*Taxes withheld | $ | — | $ | 7,512 | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
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The accompanying notes are an integral part of these financial statements.
131
Ohio National Fund, Inc.
ON Equity | ON Bond | ON Omni | ON Capital Appreciation | |||||||||||||||||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | |||||||||||||||||||||||||||||||||||||
Six-Month Period | Year Ended | Six-Month Period | Year Ended | Six-Month Period | Year Ended | Six-Month Period | Year Ended | |||||||||||||||||||||||||||||||||
Ended June 30, | December 31, | Ended June 30, | December 31, | Ended June 30, | December 31, | Ended June 30, | December 31, | |||||||||||||||||||||||||||||||||
2018 (Unaudited) | 2017 | 2018 (Unaudited) | 2017 | 2018 (Unaudited) | 2017 | 2018 (Unaudited) | 2017 | |||||||||||||||||||||||||||||||||
Increase (Decrease) in net assets: | ||||||||||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income | $ | 2,173,210 | $ | 4,056,364 | $ | 4,869,037 | $ | 5,490,404 | $ | 370,349 | $ | 642,510 | $ | 427,150 | $ | 1,723,715 | ||||||||||||||||||||||||
Net realized gain (loss) on investments and foreign currency related transactions | 30,786,917 | 48,627,176 | (520,852 | ) | 945,221 | 5,622,096 | 8,186,809 | 9,696,634 | 22,158,899 | |||||||||||||||||||||||||||||||
Change in unrealized appreciation/depreciation on investments and foreign currency related transactions | (41,700,989 | ) | 25,708,456 | (14,666,973 | ) | 3,790,719 | (6,093,372 | ) | 3,210,023 | (8,288,174 | ) | (845,434 | ) | |||||||||||||||||||||||||||
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| |||||||||||||||||||||||||
Change in net assets from operations | (8,740,862 | ) | 78,391,996 | (10,318,788 | ) | 10,226,344 | (100,927 | ) | 12,039,342 | 1,835,610 | 23,037,180 | |||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||
Capital transactions: | ||||||||||||||||||||||||||||||||||||||||
Received from shares sold | 13,140,779 | 405,044,830 | 29,205,291 | 195,349,582 | 5,613,211 | 7,854,928 | 4,569,488 | 80,306,162 | ||||||||||||||||||||||||||||||||
Paid for shares redeemed | (218,039,862 | ) | (490,371,035 | ) | (41,919,955 | ) | (46,957,435 | ) | (7,405,514 | ) | (9,385,488 | ) | (16,327,729 | ) | (173,461,176 | ) | ||||||||||||||||||||||||
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| |||||||||||||||||||||||||
Change in net assets from capital transactions | (204,899,083 | ) | (85,326,205 | ) | (12,714,664 | ) | 148,392,147 | (1,792,303 | ) | (1,530,560 | ) | (11,758,241 | ) | (93,155,014 | ) | |||||||||||||||||||||||||
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| |||||||||||||||||||||||||
Change in net assets | (213,639,945 | ) | (6,934,209 | ) | (23,033,452 | ) | 158,618,491 | (1,893,230 | ) | 10,508,782 | (9,922,631 | ) | (70,117,834 | ) | ||||||||||||||||||||||||||
Net assets: | ||||||||||||||||||||||||||||||||||||||||
Beginning of period | 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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End of period | $ | 361,239,952 | $ | 574,879,897 | $ | 294,287,899 | $ | 317,321,351 | $ | 66,501,065 | $ | 68,394,295 | $ | 115,667,534 | $ | 125,590,165 | ||||||||||||||||||||||||
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| |||||||||||||||||||||||||
Undistributed net investment income | $ | 2,173,210 | $ | — | $ | 4,869,037 | $ | — | $ | 370,349 | $ | — | $ | 427,150 | $ | — | ||||||||||||||||||||||||
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The accompanying notes are an integral part of these financial statements.
132
Ohio National Fund, Inc.
Statements of Changes in Net Assets |
ON International Equity | ON Foreign | ON Janus Henderson | ON Janus Henderson Venture | |||||||||||||||||||||||||||||||||||||
Portfolio | Portfolio | Forty Portfolio | Portfolio | |||||||||||||||||||||||||||||||||||||
Six-Month Period | Year Ended | Six-Month Period | Year Ended | Six-Month Period | Year Ended | Six-Month Period | Year Ended | |||||||||||||||||||||||||||||||||
Ended June 30, | December 31, | Ended June 30, | December 31, | Ended June 30, | December 31, | Ended June 30, | December 31, | |||||||||||||||||||||||||||||||||
2018 (Unaudited) | 2017 | 2018 (Unaudited) | 2017 | 2018 (Unaudited) | 2017 | 2018 (Unaudited) | 2017 | |||||||||||||||||||||||||||||||||
Increase (Decrease) in net assets: | ||||||||||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 6,488,841 | $ | 1,930,831 | $ | 930,497 | $ | 766,568 | $ | (78,893 | ) | $ | (87,431 | ) | $ | (268,149 | ) | $ | (496,991 | ) | ||||||||||||||||||||
Net realized gain on investments, futures contracts, foreign currency contracts, and other foreign currency related transactions | 1,659,876 | 20,007,115 | 864,385 | 12,225,092 | 1,096,024 | 7,596,740 | 26,570,034 | 15,587,664 | ||||||||||||||||||||||||||||||||
Change in unrealized appreciation/depreciation on investments, futures contracts, and foreign currency related transactions | (27,633,790 | ) | 14,707,509 | (4,574,549 | ) | 318,637 | 4,489,555 | 6,024,692 | 3,897,627 | 40,132,780 | ||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||
Change in net assets from operations | (19,485,073 | ) | 36,645,455 | (2,779,667 | ) | 13,310,297 | 5,506,686 | 13,534,001 | 30,199,512 | 55,223,453 | ||||||||||||||||||||||||||||||
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| |||||||||||||||||||||||||
Capital transactions: | ||||||||||||||||||||||||||||||||||||||||
Received from shares sold | 495,717,894 | 14,910,907 | 4,220,632 | 19,610,626 | 120,855,429 | 12,889,196 | 15,382,144 | 177,635,315 | ||||||||||||||||||||||||||||||||
Paid for shares redeemed | (23,379,955 | ) | (34,994,526 | ) | (12,052,276 | ) | (19,903,183 | ) | (12,401,771 | ) | (15,646,575 | ) | (53,004,269 | ) | (188,951,193 | ) | ||||||||||||||||||||||||
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| |||||||||||||||||||||||||
Change in net assets from capital transactions | 472,337,939 | (20,083,619 | ) | (7,831,644 | ) | (292,557 | ) | 108,453,658 | (2,757,379 | ) | (37,622,125 | ) | (11,315,878 | ) | ||||||||||||||||||||||||||
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| |||||||||||||||||||||||||
Change in net assets | 452,852,866 | 16,561,836 | (10,611,311 | ) | 13,017,740 | 113,960,344 | 10,776,622 | (7,422,613 | ) | 43,907,575 | ||||||||||||||||||||||||||||||
Net assets: | ||||||||||||||||||||||||||||||||||||||||
Beginning of period | 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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| |||||||||||||||||||||||||
End of period | $ | 610,939,611 | $ | 158,086,745 | $ | 69,079,419 | $ | 79,690,730 | $ | 174,602,700 | $ | 60,642,356 | $ | 268,791,868 | $ | 276,214,481 | ||||||||||||||||||||||||
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| |||||||||||||||||||||||||
Undistributed net investment income (loss) | $ | 6,488,901 | $ | 60 | $ | 535,149 | $ | (395,348) | $ | (78,893) | $ | — | $ | (682,129) | $ | (413,980) | ||||||||||||||||||||||||
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The accompanying notes are an integral part of these financial statements.
133
Ohio National Fund, Inc.
Statements of Changes in Net Assets |
ON Federated | ON Federated | |||||||||||||||||||||||||||||||||||||||
ON Janus Henderson Enterprise | ON S&P 500® Index | Strategic Value | High Income Bond | |||||||||||||||||||||||||||||||||||||
Portfolio | Portfolio | Dividend Portfolio | Portfolio | |||||||||||||||||||||||||||||||||||||
Six-Month Period | Year Ended | Six-Month Period | Year Ended | Six-Month Period | Year Ended | Six-Month Period | Year Ended | |||||||||||||||||||||||||||||||||
Ended June 30, | December 31, | Ended June 30, | December 31, | Ended June 30, | December 31, | Ended June 30, | December 31, | |||||||||||||||||||||||||||||||||
2018 (Unaudited) | 2017 | 2018 (Unaudited) | 2017 | 2018 (Unaudited) | 2017 | 2018 (Unaudited) | 2017 | |||||||||||||||||||||||||||||||||
Increase (Decrease) in net assets: | ||||||||||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 39,209 | $ | (178,848 | ) | $ | 9,101,720 | $ | 15,437,238 | $ | 10,153,063 | $ | 20,840,410 | $ | 8,016,786 | $ | 16,582,542 | |||||||||||||||||||||||
Net realized gain on investments, futures contracts, and foreign currency related transactions | 17,675,689 | 8,412,020 | 44,787,386 | 36,445,415 | 5,250,467 | 31,449,661 | 95,691 | 2,116,365 | ||||||||||||||||||||||||||||||||
Change in unrealized appreciation/depreciation on investments, futures contracts, and foreign currency related transactions | (15,048,704 | ) | 9,661,514 | (25,365,677 | ) | 129,535,843 | (45,909,805 | ) | 21,723,360 | (9,917,265 | ) | 2,626,767 | ||||||||||||||||||||||||||||
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Change in net assets from operations | 2,666,194 | 17,894,686 | 28,523,429 | 181,418,496 | (30,506,275 | ) | 74,013,431 | (1,804,788 | ) | 21,325,674 | ||||||||||||||||||||||||||||||
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Capital transactions: | ||||||||||||||||||||||||||||||||||||||||
Received from shares sold | 51,893,584 | 5,911,403 | 210,965,143 | 626,563,875 | 22,186,335 | 506,307,850 | 16,882,001 | 231,572,692 | ||||||||||||||||||||||||||||||||
Paid for shares redeemed | (12,076,235 | ) | (16,200,896 | ) | (157,335,918 | ) | (506,466,387 | ) | (193,158,161 | ) | (459,177,636 | ) | (47,633,080 | ) | (247,603,288 | ) | ||||||||||||||||||||||||
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Change in net assets from capital transactions | 39,817,349 | (10,289,493 | ) | 53,629,225 | 120,097,488 | (170,971,826 | ) | 47,130,214 | (30,751,079 | ) | (16,030,596 | ) | ||||||||||||||||||||||||||||
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Change in net assets | 42,483,543 | 7,605,193 | 82,152,654 | 301,515,984 | (201,478,101 | ) | 121,143,645 | (32,555,867 | ) | 5,295,078 | ||||||||||||||||||||||||||||||
Net assets: | ||||||||||||||||||||||||||||||||||||||||
Beginning of period | 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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End of period. | $ | 120,286,994 | $ | 77,803,451 | $ | 1,226,308,034 | $ | 1,144,155,380 | $ | 395,186,820 | $ | 596,664,921 | $ | 286,496,679 | $ | 319,052,546 | ||||||||||||||||||||||||
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Undistributed net investment income | $ | 39,209 | $ | — | $ | 9,101,720 | $ | — | $ | 10,153,063 | $ | — | $ | 8,024,190 | $ | 7,404 | ||||||||||||||||||||||||
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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 ClearBridge Small Cap | ON Nasdaq-100® Index | ON Bristol | ON Bryton Growth | |||||||||||||||||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | |||||||||||||||||||||||||||||||||||||
Six-Month Period | Year Ended | Six-Month Period | Year Ended | Six-Month Period | Year Ended | Six-Month Period | Year Ended | |||||||||||||||||||||||||||||||||
Ended June 30, | December 31, | Ended June 30, | December 31, | Ended June 30, | December 31, | Ended June 30, | December 31, | |||||||||||||||||||||||||||||||||
2018 (Unaudited) | 2017 | 2018 (Unaudited) | 2017 | 2018 (Unaudited) | 2017 | 2018 (Unaudited) | 2017 | |||||||||||||||||||||||||||||||||
Increase (Decrease) in net assets: | ||||||||||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 377,309 | $ | 823,123 | $ | 959,211 | $ | 1,394,047 | $ | 581,557 | $ | 1,003,578 | $ | (149,794 | ) | $ | (481,788 | ) | ||||||||||||||||||||||
Net realized gain on investments and futures contracts | 11,814,648 | 26,041,485 | 12,160,034 | 8,094,996 | 24,441,971 | 41,888,166 | 6,221,649 | 14,849,635 | ||||||||||||||||||||||||||||||||
Change in unrealized appreciation/depreciation on investments and futures contracts | 1,764,004 | 5,031,578 | 13,295,704 | 43,376,301 | (23,152,051 | ) | 6,677,159 | 1,652,208 | 1,760,048 | |||||||||||||||||||||||||||||||
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Change in net assets from operations | 13,955,961 | 31,896,186 | 26,414,949 | 52,865,344 | 1,871,477 | 49,568,903 | 7,724,063 | 16,127,895 | ||||||||||||||||||||||||||||||||
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Capital transactions: | ||||||||||||||||||||||||||||||||||||||||
Received from shares sold | 7,943,212 | 210,858,672 | 167,355,832 | 104,350,460 | 13,838,177 | 177,409,632 | 1,471,991 | 75,485,463 | ||||||||||||||||||||||||||||||||
Paid for shares redeemed | (47,759,606 | ) | (243,371,357 | ) | (56,995,012 | ) | (56,054,728 | ) | (41,446,956 | ) | (211,200,737 | ) | (11,492,925 | ) | (129,426,147 | ) | ||||||||||||||||||||||||
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Change in net assets from capital transactions | (39,816,394 | ) | (32,512,685 | ) | 110,360,820 | 48,295,732 | (27,608,779 | ) | (33,791,105 | ) | (10,020,934 | ) | (53,940,684 | ) | ||||||||||||||||||||||||||
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Change in net assets | (25,860,433 | ) | (616,499 | ) | 136,775,769 | 101,161,076 | (25,737,302 | ) | 15,777,798 | (2,296,871 | ) | (37,812,789 | ) | |||||||||||||||||||||||||||
Net assets: | ||||||||||||||||||||||||||||||||||||||||
Beginning of period | 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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End of period | $ | 249,237,134 | $ | 275,097,567 | $ | 393,993,278 | $ | 257,217,509 | $ | 197,964,641 | $ | 223,701,943 | $ | 54,477,713 | $ | 56,774,584 | ||||||||||||||||||||||||
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Undistributed net investment income (loss) | $ | 418,614 | $ | 41,305 | $ | 959,211 | $ | — | $ | 581,557 | $ | — | $ | (149,794 | ) | $ | — | |||||||||||||||||||||||
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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 |
ON S&P | ||||||||||||||||||||||||||||||||||||||||
ON ICON | MidCap 400® Index | ON Bristol | ON Risk Managed Balanced | |||||||||||||||||||||||||||||||||||||
Balanced Portfolio | Portfolio | Growth Portfolio | Portfolio | |||||||||||||||||||||||||||||||||||||
Six-Month Period | Year Ended | Six-Month Period | Year Ended | Six-Month Period | Year Ended | Six-Month Period | Year Ended | |||||||||||||||||||||||||||||||||
Ended June 30, | December 31, | Ended June 30, | December 31, | Ended June 30, | December 31, | Ended June 30, | December 31, | |||||||||||||||||||||||||||||||||
2018 (Unaudited) | 2017 | 2018 (Unaudited) | 2017 | 2018 (Unaudited) | 2017 | 2018 (Unaudited) | 2017 | |||||||||||||||||||||||||||||||||
Increase (Decrease) in net assets: | ||||||||||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income | $ | 6,917,535 | $ | 18,946,310 | $ | 446,033 | $ | 528,803 | $ | 240,863 | $ | 295,214 | $ | 1,975,200 | $ | 3,850,193 | ||||||||||||||||||||||||
Net realized gain on investments, futures contracts, foreign currency related transactions, and written options | 7,618,773 | 33,131,955 | 2,931,265 | 1,249,952 | 17,314,374 | 24,580,265 | 2,903,867 | 14,012,026 | ||||||||||||||||||||||||||||||||
Change in unrealized appreciation/depreciation on investments, futures contracts, foreign currency related transactions, and written options | (7,423,097 | ) | 49,373,289 | (630,844 | ) | 6,263,050 | (12,632,725 | ) | 7,591,502 | (544,667 | ) | 33,191,554 | ||||||||||||||||||||||||||||
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Change in net assets from operations | 7,113,211 | 101,451,554 | 2,746,454 | 8,041,805 | 4,922,512 | 32,466,981 | 4,334,400 | 51,053,773 | ||||||||||||||||||||||||||||||||
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Capital transactions: | ||||||||||||||||||||||||||||||||||||||||
Received from shares sold | 22,108,426 | 502,351,143 | 6,536,204 | 58,563,238 | 10,824,151 | 118,823,309 | 29,008,590 | 83,103,619 | ||||||||||||||||||||||||||||||||
Paid for shares redeemed | (242,195,902 | ) | (600,794,651 | ) | (11,421,083 | ) | (25,711,544 | ) | (25,741,250 | ) | (140,799,340 | ) | (25,510,839 | ) | (62,068,377 | ) | ||||||||||||||||||||||||
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Change in net assets from capital transactions | (220,087,476 | ) | (98,443,508 | ) | (4,884,879 | ) | 32,851,694 | (14,917,099 | ) | (21,976,031 | ) | 3,497,751 | 21,035,242 | |||||||||||||||||||||||||||
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Change in net assets | (212,974,265 | ) | 3,008,046 | (2,138,425 | ) | 40,893,499 | (9,994,587 | ) | 10,490,950 | 7,832,151 | 72,089,015 | |||||||||||||||||||||||||||||
Net assets: | ||||||||||||||||||||||||||||||||||||||||
Beginning of period | 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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End of period | $ | 742,125,736 | $ | 955,100,001 | $ | 86,644,312 | $ | 88,782,737 | $ | 118,054,469 | $ | 128,049,056 | $ | 352,002,754 | $ | 344,170,603 | ||||||||||||||||||||||||
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Undistributed net investment income | $ | 6,917,535 | $ | — | $ | 446,033 | $ | — | $ | 240,863 | $ | — | $ | 1,975,200 | $ | — | ||||||||||||||||||||||||
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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 |
ON Moderately | ON Moderate | |||||||||||||||||||||||||||||||||||||||||||||||||
ON Conservative | Conservative | ON Balanced | ON | |||||||||||||||||||||||||||||||||||||||||||||||
Model | Model | Model | Growth Model | Growth Model | ||||||||||||||||||||||||||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||||||||||||||||||||
Six-Month Period | (inception) to | Six-Month Period | (inception) to | Six-Month Period | (inception) to | Six-Month Period | (inception) to | Six-Month Period | (inception) to | |||||||||||||||||||||||||||||||||||||||||
Ended June 30, | December 31, | Ended June 30, | December 31, | Ended June 30, | December 31, | Ended June 30, | December 31, | Ended June 30, | December 31, | |||||||||||||||||||||||||||||||||||||||||
2018 (Unaudited) | 2017 | 2018 (Unaudited) | 2017 | 2018 (Unaudited) | 2017 | 2018 (Unaudited) | 2017 | 2018 (Unaudited) | 2017 | |||||||||||||||||||||||||||||||||||||||||
Increase (Decrease) in net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net investment income | $ | 717,353 | $ | 1,472,402 | $ | 1,660,179 | $ | 3,844,130 | $ | 3,969,419 | $ | 12,745,203 | $ | 3,039,992 | $ | 16,421,240 | $ | 57,867 | $ | 2,205,209 | ||||||||||||||||||||||||||||||
Net realized gain on investments and capital gain distributions received from underlying mutual funds | 1,420,324 | 706,260 | 7,731,017 | 3,064,137 | 45,805,114 | 18,419,784 | 88,631,602 | 31,065,150 | 24,427,477 | 6,550,318 | ||||||||||||||||||||||||||||||||||||||||
Change in unrealized appreciation/depreciation on investments | (3,559,160 | ) | 3,237,861 | (14,315,328 | ) | 15,251,452 | (69,068,092 | ) | 102,073,393 | (115,203,859 | ) | 201,663,024 | (27,477,484 | ) | 48,364,731 | |||||||||||||||||||||||||||||||||||
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Change in net assets from operations | (1,421,483 | ) | 5,416,523 | (4,924,132 | ) | 22,159,719 | (19,293,559 | ) | 133,238,380 | (23,532,265 | ) | 249,149,414 | (2,992,140 | ) | 57,120,258 | |||||||||||||||||||||||||||||||||||
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Capital transactions: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Received from shares sold | 11,570,185 | 116,235,409 | 6,685,459 | 354,878,115 | 18,615,179 | 1,605,179,885 | 28,026,913 | 2,645,437,657 | 23,891,679 | 539,074,347 | ||||||||||||||||||||||||||||||||||||||||
Paid for shares redeemed | (21,047,104 | ) | (21,934,625 | ) | (45,777,463 | ) | (51,081,922 | ) | (197,999,260 | ) | (175,842,247 | ) | (287,436,991 | ) | (247,795,173 | ) | (53,627,549 | ) | (52,416,855 | ) | ||||||||||||||||||||||||||||||
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Change in net assets from capital transactions | (9,476,919 | ) | 94,300,784 | (39,092,004 | ) | 303,796,193 | (179,384,081 | ) | 1,429,337,638 | (259,410,078 | ) | 2,397,642,484 | (29,735,870 | ) | 486,657,492 | |||||||||||||||||||||||||||||||||||
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Change in net assets | (10,898,402 | ) | 99,717,307 | (44,016,136 | ) | 325,955,912 | (198,677,640 | ) | 1,562,576,018 | (282,942,343 | ) | 2,646,791,898 | (32,728,010 | ) | 543,777,750 | |||||||||||||||||||||||||||||||||||
Net assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Beginning of period | 99,717,307 | — | 325,955,912 | — | 1,562,576,018 | — | 2,646,791,898 | — | 543,777,750 | — | ||||||||||||||||||||||||||||||||||||||||
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End of period | $ | 88,818,905 | $ | 99,717,307 | $ | 281,939,776 | $ | 325,955,912 | $ | 1,363,898,378 | $ | 1,562,576,018 | $ | 2,363,849,555 | $ | 2,646,791,898 | $ | 511,049,740 | $ | 543,777,750 | ||||||||||||||||||||||||||||||
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Undistributed net investment income | $ | 717,353 | $ | — | $ | 1,660,179 | $ | — | $ | 3,969,419 | $ | — | $ | 3,039,992 | $ | — | $ | 57,867 | $ | — | ||||||||||||||||||||||||||||||
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The accompanying notes are an integral part of these financial statements.
137
Ohio National Fund, Inc.
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 no expenses reduced or reimbursed by adviser | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year or period | Net investment income | Net realized and investments and foreign | Total from operations | Distributions from net investment income | Net asset value, end of year or period | Total Return | Net assets at end of year or period (in millions) | Expenses | Net investment income | Expenses | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||||||||||||
ON Equity Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six-Month Period Ended June 30, 2018+ | $ | 41.38 | 0.24 | (1.02 | ) | (0.78 | ) | — | $ | 40.60 | -1.88 | %* | $ | 361.2 | 0.80 | %** | 0.88 | %** | 0.80 | %** | 16 | %* | ||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||
ON Bond Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six-Month Period Ended June 30, 2018+ | $ | 17.56 | 0.28 | (0.85 | ) | (0.57 | ) | — | $ | 16.99 | -3.25 | %* | $ | 294.3 | 0.58 | %** | 3.22 | %** | 0.58 | %** | 28 | %* | ||||||||||||||||||||||||||||||||||||||
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 | % | ||||||||||||||||||||||||||||||||||||||||
ON Omni Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six-Month Period Ended June 30, 2018+ | $ | 32.60 | 0.18 | (0.24 | ) | (0.06 | ) | — | $ | 32.54 | -0.18 | %* | $ | 66.5 | 0.77 | %** | 1.10 | %** | 0.77 | %** | 111 | %* | ||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||
ON Capital Appreciation Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six-Month Period Ended June 30, 2018+ | $ | 43.66 | 0.16 | 0.43 | 0.59 | — | $ | 44.25 | 1.35 | %* | $ | 115.7 | 0.88 | %** | 0.71 | %** | 0.88 | %** | 31 | %* | ||||||||||||||||||||||||||||||||||||||||
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 | % |
+ | Unaudited |
* | Not annualized |
** | Annualized |
The accompanying notes are an integral part of these financial statements.
138
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 expenses reduced or reimbursed by adviser | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year or period | Net investment income (loss) | Net realized and unrealized gain (loss) on investments, futures contracts, foreign currency contracts, and other foreign currency related transactions | Total from operations | Net asset value, end of year or period | Total Return | Net assets at end of year or period (in millions) | Expenses | Net investment income (loss) | Expenses | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||||||||
ON International Equity Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six-Month Period Ended June 30, 2018+ | $ | 15.08 | 0.16 | (0.55 | ) | (0.39 | ) | $ | 14.69 | -2.59 | %* | $ | 610.9 | 0.88 | %** | 3.58 | %** | 0.88 | %** | 18 | %* | ||||||||||||||||||||||||||||||||||
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 | % | ||||||||||||||||||||||||||||||||||
ON Foreign Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six-Month Period Ended June 30, 2018+ | $ | 33.22 | 0.41 | (1.69 | ) | (1.28 | ) | $ | 31.94 | -3.85 | %* | $ | 69.1 | 1.11 | %** | 2.49 | %** | 1.11 | %** | 10 | %* | ||||||||||||||||||||||||||||||||||
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 | % | ||||||||||||||||||||||||||||||||||
ON Janus Henderson Forty Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six-Month Period Ended June 30, 2018+ | $ | 19.93 | (0.01 | ) | 2.72 | 2.71 | $ | 22.64 | 13.60 | %* | $ | 174.6 | 0.91 | %** | -0.20 | %** | 0.91 | %** | 64 | %* | |||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||
ON Janus Henderson Venture Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six-Month Period Ended June 30, 2018+ | $ | 32.99 | (0.04 | ) | 3.87 | 3.83 | $ | 36.82 | 11.61 | %* | $ | 268.8 | 0.85 | %** | -0.20 | %** | 0.85 | %** | 17 | %* | |||||||||||||||||||||||||||||||||||
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 | % |
+ | Unaudited |
* | Not annualized |
** | Annualized |
(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. |
The accompanying notes are an integral part of these financial statements.
139
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 no expenses reduced or reimbursed by adviser | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year or period | Net investment income (loss) | Net realized and unrealized gain (loss) on investments, futures contracts, and foreign currency related transactions | Total from operations | Distributions from net investment income | Net asset value, end of year or period | Total Return | Net assets at end of year or period (in millions) | Expenses | Net investment income (loss) | Expenses | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||||||||||||
ON Janus Henderson Enterprise Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six-Month Period Ended June 30, 2018+ | $ | 38.60 | 0.01 | 2.04 | 2.05 | — | $ | 40.65 | 5.31 | %* | $ | 120.3 | 0.98 | %** | 0.09 | %** | 0.98 | %** | 103 | %*,(a) | ||||||||||||||||||||||||||||||||||||||||
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 | %(b) | $ | 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 | % | |||||||||||||||||||||||||||||||||||||||
ON S&P 500® Index Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six-Month Period Ended June 30, 2018+ | $ | 29.52 | 0.22 | 0.50 | 0.72 | — | $ | 30.24 | 2.44 | %* | $ | 1,226.3 | 0.38 | %** | 1.55 | %** | 0.38 | %** | 7 | %* | ||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||
ON Federated Strategic Value Dividend Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six-Month Period Ended June 30, 2018+ | $ | 17.88 | 0.44 | (1.27 | ) | (0.83 | ) | — | $ | 17.05 | -4.64 | %* | $ | 395.2 | 0.76 | %** | 4.01 | %** | 0.76 | %** | 8 | %* | ||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||
ON Federated High Income Bond Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six-Month Period Ended June 30, 2018+ | $ | 19.36 | 0.54 | (0.65 | ) | (0.11 | ) | — | $ | 19.25 | -0.57 | %* | $ | 286.5 | 0.75 | %** | 5.37 | %** | 0.75 | %** | 8 | %* | ||||||||||||||||||||||||||||||||||||||
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 | % |
+ | Unaudited |
* | Not annualized |
** | Annualized |
(a) | Effective May 1, 2018, the sub-adviser changed from Goldman Sachs Asset Management, L.P. to Janus 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 six-month period ended June 30, 2018 as compared to prior periods. |
(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. |
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 | Distributions | Ratios to average net assets | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios net of expenses reduced or reimbursed by adviser | Ratios assuming no expenses reduced or reimbursed by adviser | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year or period | 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 or period | Total Return | Net assets at end of year or period (in millions) | Expenses | Net investment income (loss) | Expenses | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||||||||||||
ON ClearBridge Small Cap Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six-Month Period Ended June 30, 2018+ | $ | 57.46 | 0.09 | 3.07 | 3.16 | — | $ | 60.62 | 5.50 | %* | $ | 249.2 | 0.90 | %** | 0.29 | %** | 0.90 | %** | 20 | %* | ||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||
ON Nasdaq-100® Index Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six-Month Period Ended June 30, 2018+ | $ | 16.67 | 0.04 | 1.70 | 1.74 | — | $ | 18.41 | 10.44 | %* | $ | 394.0 | 0.42 | %** | 0.62 | %** | 0.42 | %** | 6 | %* | ||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||
ON Bristol Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six-Month Period Ended June 30, 2018+ | $ | 30.22 | 0.09 | 0.07 | 0.16 | — | $ | 30.38 | 0.53 | %* | $ | 198.0 | 0.82 | %** | 0.55 | %** | 0.82 | %** | 133 | %* | ||||||||||||||||||||||||||||||||||||||||
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 | % | ||||||||||||||||||||||||||||||||||||||
ON Bryton Growth Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six-Month Period Ended June 30, 2018+ | $ | 24.91 | (0.08 | ) | 3.88 | 3.80 | — | $ | 28.71 | 15.25 | %* | $ | 54.5 | 1.03 | %** | -0.55 | %** | 1.03 | %** | 109 | %* | |||||||||||||||||||||||||||||||||||||||
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 | % |
+ | Unaudited |
* | Not annualized |
** | Annualized |
(a) | Effective September 25, 2015, the sub-adviser changed from Eagle Asset Management, Inc. to ClearBridge Investments, 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.
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 no expenses reduced or reimbursed by adviser | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year or period | 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 or period | Total Return | Net assets at end of year or period (in millions) | Expenses | Net investment income | Expenses | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||||||||||||
ON ICON Balanced Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six-Month Period Ended June 30, 2018+ | $ | 22.03 | 0.21 | (0.08 | ) | 0.13 | — | $ | 22.16 | 0.59 | %* | $ | 742.1 | 0.63 | %** | 1.62 | %** | 0.63 | %** | 25 | %* | |||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||
ON S&P MidCap 400® Index Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six-Month Period Ended June 30, 2018+ | $ | 17.46 | 0.09 | 0.47 | 0.56 | — | $ | 18.02 | 3.21 | %* | $ | 86.6 | 0.60 | %** | 1.03 | %** | 0.60 | %** | 12 | %* | ||||||||||||||||||||||||||||||||||||||||
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 | %(a) | ||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||
ON Bristol Growth Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six-Month Period Ended June 30, 2018+ | $ | 24.19 | 0.05 | 0.88 | 0.93 | — | $ | 25.12 | 3.84 | %* | $ | 118.1 | 0.87 | %** | 0.39 | %** | 0.87 | %** | 128 | %* | ||||||||||||||||||||||||||||||||||||||||
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 | % | |||||||||||||||||||||||||||||||||||||||
ON Risk Managed Balanced Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six-Month Period Ended June 30, 2018+ | $ | 13.01 | 0.07 | 0.09 | 0.16 | — | $ | 13.17 | 1.23 | %* | $ | 352.0 | 0.99 | %** | 1.15 | %** | 0.99 | %** | 74 | %(b)* | ||||||||||||||||||||||||||||||||||||||||
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 | %(b) | ||||||||||||||||||||||||||||||||||||||||
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 | %* |
+ | Unaudited |
* | Not annualized |
** | Annualized |
(a) | 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. |
(b) | The portfolio turnover calculation includes purchases and sales from mortgage dollar roll transactions. Without the effect of mortgage dollar roll transactions, the portfolio turnover rate would have been 52% for the six-month period ended June 30, 2018, and 63% for the year ended December 31, 2017(see Note 2 of the Notes to Financial Statements). |
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 | Ratios to average net assets | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Ratios net of expenses reduced or reimbursed by adviser | Ratios assuming no expenses reduced or reimbursed by adviser | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year or period | Net investment income | Net realized and unrealized gain (loss) on investments and capital gain distributions received from underlying mutual funds | Total from operations | Net asset value, end of year or period | Total Return | Net assets at end of year or period (in millions) | Expenses | Net investment income | Expenses | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||||||||
ON Conservative Model Portfolio | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six-Month Period Ended June 30, 2018+ | $ | 10.53 | 0.08 | (0.23 | ) | (0.15 | ) | $ | 10.38 | -1.42 | %* | $ | 88.8 | 0.28 | %**,† | 1.56 | %**,† | 0.52 | %**,† | 26 | %* | ||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six-Month Period Ended June 30, 2018+ | $ | 10.69 | 0.06 | (0.23 | ) | (0.17 | ) | $ | 10.52 | -1.59 | %* | $ | 281.9 | 0.28 | %**,† | 1.12 | %**,† | 0.45 | %**,† | 29 | %* | ||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six-Month Period Ended June 30, 2018+ | $ | 10.81 | 0.03 | (0.17 | ) | (0.14 | ) | $ | 10.67 | -1.30 | %* | $ | 1,363.9 | 0.30 | %**,† | 0.55 | %**,† | 0.42 | %**,† | 24 | %* | ||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six-Month Period Ended June 30, 2018+ | $ | 11.05 | 0.01 | (0.12 | ) | (0.11 | ) | $ | 10.94 | -1.00 | %* | $ | 2,363.8 | 0.32 | %**,† | 0.25 | %**,† | 0.42 | %**,† | 31 | %* | ||||||||||||||||||||||||||||||||||
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 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Six-Month Period Ended June 30, 2018+ | $ | 11.15 | — | (0.07 | ) | (0.07 | ) | $ | 11.08 | -0.63 | %* | $ | 511.0 | 0.24 | %**,† | 0.02 | %**,† | 0.43 | %**,† | 46 | %* | ||||||||||||||||||||||||||||||||||
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 | %* |
+ | Unaudited |
* | 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.
143
Ohio National Fund, Inc.
June 30, 2018 (Unaudited) |
(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:
⬛ | ON Equity Portfolio – Long-term growth of capital by investing, under normal circumstances, at least 80% of its assets in equity securities. |
⬛ | ON 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. |
⬛ | ON Omni Portfolio – High level of long-term total return consistent with preservation of capital by investing in stocks, bonds, and money market instruments. |
⬛ | ON Capital Appreciation Portfolio – 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. |
⬛ | ON International Equity Portfolio – Long-term growth of capital by investing, under normal circumstances, at least 80% of its assets in equity securities of foreign companies. |
⬛ | ON Foreign Portfolio – Long-term growth of capital by investing, under normal circumstances, at least 80% of its assets in foreign securities. |
⬛ | ON Janus Henderson Forty Portfolio – Long-term capital growth by investing primarily in domestic and foreign equity securities selected for growth potential. |
⬛ | ON Janus Henderson Venture Portfolio – Long-term capital appreciation by investing, under normal circumstances, at least 80% of its assets in stocks of small capitalization companies. |
⬛ | ON Janus Henderson Enterprise 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. |
⬛ | ON S&P 500® Index Portfolio – Total return approximating that 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. |
⬛ | ON Federated Strategic Value Dividend Portfolio – Growth of capital and income by investing primarily in high dividend paying common stocks with dividend growth potential. |
⬛ | ON Federated 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. |
⬛ | ON 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. |
⬛ | ON 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. |
⬛ | ON 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. |
⬛ | ON 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. |
⬛ | ON ICON 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 assets in fixed income securities. |
⬛ | ON 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. |
144 | (continued) |
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2018 (Unaudited) |
⬛ | ON 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. |
⬛ | ON 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* – Current income and preservation of capital. 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* – Current income and moderate growth of capital with a greater emphasis on current income. 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* – A balance between growth of capital and current income with a greater emphasis on growth of capital. 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* – Growth of capital and moderate current income with a greater emphasis on growth of capital. 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* – Growth of capital and some current income. 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”.
The names presented above reflect the current Portfolio names. Effective May 1, 2018, several Portfolios of the Fund underwent name changes. The changes, approved by the Fund’s Board of Directors (the “Board”), are detailed below:
Portfolio Name Prior to May 1, 2018 | Current Portfolio Name | |
Equity Portfolio | ON Equity Portfolio | |
Bond Portfolio | ON Bond Portfolio | |
Omni Portfolio | ON Omni Portfolio | |
Capital Appreciation Portfolio | ON Capital Appreciation Portfolio | |
Aggressive Growth Portfolio | ON Janus Henderson Forty Portfolio | |
Small Cap Growth Portfolio | ON Janus Henderson Venture Portfolio | |
Mid Cap Opportunity Portfolio | ON Janus Henderson Enterprise Portfolio | |
S&P 500® Index Portfolio | ON S&P 500® Index Portfolio | |
Stategic Value Portfolio | ON Federated Stategic Value Dividend Portfolio | |
High Income Bond Fund Portfolio | ON Federated High Income Bond Portfolio | |
ClearBridge Small Cap Portfolio | ON ClearBridge Small Cap Portfolio | |
Nasdaq-100® Index Portfolio | ON Nasdaq-100® Index Portfolio | |
Bristol Portfolio | ON Bristol Portfolio | |
Bryton Growth Portfolio | ON Bryton Growth Portfolio | |
Balanced Portfolio | ON ICON Balanced Portfolio | |
S&P MidCap 400® Index Portfolio | ON S&P MidCap 400® Index Portfolio | |
Bristol Growth Portfolio | ON Bristol Growth Portfolio | |
Risk Managed Balanced Portfolio | ON Risk Managed Balanced Portfolio |
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 ON Nasdaq-100® Index Portfolio, is classified as diversified for purposes of Section 5(b) of the 40 Act.
145 | (continued) |
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2018 (Unaudited) |
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 | ||||
ON Equity | 35,000,000 | ||||
ON Bond | 30,000,000 | ||||
ON Omni | 15,000,000 | ||||
ON Capital Appreciation | 25,000,000 | ||||
ON International Equity | 90,000,000 | ||||
ON Foreign | 32,000,000 | ||||
ON Janus Henderson Forty | 24,000,000 | ||||
ON Janus Henderson Venture | 30,000,000 | ||||
ON Janus Henderson Enterprise | 21,000,000 | ||||
ON S&P 500® Index | 90,000,000 | ||||
ON Federated Strategic Value Dividend | 75,000,000 | ||||
ON Federated High Income Bond | 45,000,000 | ||||
ON ClearBridge Small Cap | 15,000,000 |
Portfolio | Authorized Shares | ||||
ON Nasdaq-100® Index | 50,000,000 | ||||
ON Bristol | 23,000,000 | ||||
ON Bryton Growth | 15,000,000 | ||||
ON ICON Balanced | 90,000,000 | ||||
ON S&P MidCap 400® Index | 30,000,000 | ||||
ON Bristol Growth | 30,000,000 | ||||
ON Risk Managed Balanced | 85,000,000 | ||||
ON Conservative Model | 30,000,000 | ||||
ON Moderately Conservative Model | 70,000,000 | ||||
ON Balanced Model | 200,000,000 | ||||
ON Moderate Growth Model | 300,000,000 | ||||
ON Growth Model | 100,000,000 |
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 the 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).
146 | (continued) |
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2018 (Unaudited) |
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.
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 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 June 30, 2018:
Portfolio | Financial Instrument Type | Level 1 | Level 2 | Level 3 | ||||||||||
ON Equity | Common Stocks** | $ | 350,876,724 | $ | 4,993,131 | $ | — | |||||||
Money Market Funds | 5,304,291 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 356,181,015 | $ | 4,993,131 | $ | — | |||||||||
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|
|
|
|
147 | (continued) |
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2018 (Unaudited) |
Portfolio | Financial Instrument Type | Level 1 | Level 2 | Level 3 | ||||||||||
ON Bond | Corporate Bonds** | $ | — | $ | 279,970,728 | $ | — | |||||||
Asset-Backed Securities** | — | 7,514,307 | — | |||||||||||
Sovereign Issues | — | 2,836,500 | — | |||||||||||
Money Market Funds | 4,425,419 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 4,425,419 | $ | 290,321,535 | $ | — | |||||||||
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|
|
|
|
| |||||||||
ON Omni | Common Stocks** | $ | 52,642,933 | $ | — | $ | — | |||||||
Corporate Bonds** | — | 12,151,783 | — | |||||||||||
U.S. Treasury Obligations | — | 764,590 | — | |||||||||||
Asset-Backed Securities** | — | 335,503 | — | |||||||||||
Money Market Funds | 802,894 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 53,445,827 | $ | 13,251,876 | $ | — | |||||||||
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|
|
|
|
| |||||||||
ON Capital Appreciation | Common Stocks** | $ | 113,040,717 | $ | 1,428,689 | $ | — | |||||||
Money Market Funds | 667,791 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 113,708,508 | $ | 1,428,689 | $ | — | |||||||||
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|
|
|
| |||||||||
ON International Equity | Common Stocks** | $ | 83,858,090 | $ | 493,160,683 | $ | — | |||||||
Preferred Securities** | — | 4,591,688 | — | |||||||||||
Money Market Funds | 28,120,123 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 111,978,213 | $ | 497,752,371 | $ | — | |||||||||
|
|
|
|
|
| |||||||||
ON Foreign | Common Stocks** | $ | 8,731,772 | $ | 59,846,857 | $ | — | |||||||
Money Market Funds | 331,396 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 9,063,168 | $ | 59,846,857 | $ | — | |||||||||
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|
|
|
|
| |||||||||
ON Janus Henderson Forty | Common Stocks** | $ | 166,979,542 | $ | — | $ | — | |||||||
Money Market Funds | 7,032,375 | — | — | |||||||||||
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|
|
|
|
| |||||||||
$ | 174,011,917 | $ | — | $ | — | |||||||||
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|
|
|
| |||||||||
ON Janus Henderson Venture | Common Stocks** | $ | 253,561,940 | $ | 3,270,977 | $ | — | |||||||
Master Limited Partnerships** | 5,529,094 | — | — | |||||||||||
Rights** | — | — | 345,242 | |||||||||||
Money Market Funds | 4,125,891 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 263,216,925 | $ | 3,270,977 | $ | 345,242 | |||||||||
|
|
|
|
|
| |||||||||
ON Janus Henderson Enterprise | Common Stocks** | $ | 115,746,857 | $ | 1,863,983 | $ | — | |||||||
Money Market Funds | 2,181,297 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 117,928,154 | $ | 1,863,983 | $ | — | |||||||||
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|
|
|
|
| |||||||||
ON S&P 500® Index | Common Stocks** | $ | 1,221,751,988 | $ | — | $ | — | |||||||
Money Market Funds | 2,350,373 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 1,224,102,361 | $ | — | $ | — | |||||||||
|
|
|
|
|
| |||||||||
Futures Contracts | $ | (90,723 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
| |||||||||
ON Federated Strategic Value Dividend | Common Stocks** | $ | 308,742,364 | $ | 85,706,062 | $ | — | |||||||
Money Market Funds | 5,419,313 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 314,161,677 | $ | 85,706,062 | $ | — | |||||||||
|
|
|
|
|
| |||||||||
ON Federated High Income Bond | Corporate Bonds** | $ | — | $ | 275,232,332 | $ | — | |||||||
Money Market Funds | 8,902,562 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 8,902,562 | $ | 275,232,332 | $ | — | |||||||||
|
|
|
|
|
| |||||||||
ON ClearBridge Small Cap | Common Stocks** | $ | 244,627,242 | $ | — | $ | — | |||||||
Money Market Funds | 2,921,303 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 247,548,545 | $ | — | $ | — | |||||||||
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|
|
|
|
|
148 | (continued) |
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2018 (Unaudited) |
Portfolio | Financial Instrument Type | Level 1 | Level 2 | Level 3 | ||||||||||
ON Nasdaq-100® Index | Common Stocks** | $ | 391,742,203 | $ | — | $ | — | |||||||
Money Market Funds | 1,225,555 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 392,967,758 | $ | — | $ | — | |||||||||
|
|
|
|
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| |||||||||
Futures Contracts | $ | (33,057 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
| |||||||||
ON Bristol | Common Stocks** | $ | 196,331,200 | $ | — | $ | — | |||||||
Money Market Funds | 515,682 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 196,846,882 | $ | — | $ | — | |||||||||
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|
|
|
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| |||||||||
ON Bryton Growth | Common Stocks** | $ | 53,040,014 | $ | — | $ | — | |||||||
Money Market Funds | 1,360,582 | — | — | |||||||||||
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|
|
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| |||||||||
$ | 54,400,596 | $ | — | $ | — | |||||||||
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| |||||||||
ON ICON Balanced | Common Stocks** | $ | 502,430,033 | $ | — | $ | — | |||||||
Corporate Bonds** | — | 152,711,514 | — | |||||||||||
Closed-End Mutual Funds | 37,063,532 | — | — | |||||||||||
Preferred Securities** | 19,283,076 | — | — | |||||||||||
Asset-Backed / Mortgage-Backed Securities** | — | 14,231,420 | — | |||||||||||
U.S. Treasury Obligations | — | 4,293,105 | — | |||||||||||
Purchased Options | 409,920 | — | — | |||||||||||
Liquidating Trusts | — | 3,379 | — | |||||||||||
Money Market Funds | 9,563,760 | — | — | |||||||||||
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|
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|
|
| |||||||||
$ | 568,750,321 | $ | 171,239,418 | $ | — | |||||||||
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ON S&P MidCap 400® Index | Common Stocks** | $ | 86,387,655 | $ | — | $ | — | |||||||
Money Market Funds | 211,579 | — | — | |||||||||||
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|
|
|
|
| |||||||||
$ | 86,599,234 | $ | — | $ | — | |||||||||
|
|
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|
|
| |||||||||
Futures Contracts | $ | (5,330 | ) | $ | — | $ | — | |||||||
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|
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| |||||||||
ON Bristol Growth | Common Stocks** | $ | 117,214,770 | $ | — | $ | — | |||||||
Money Market Funds | 1,439,074 | — | — | |||||||||||
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|
|
|
|
| |||||||||
$ | 118,653,844 | $ | — | $ | — | |||||||||
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| |||||||||
ON Risk Managed Balanced | Common Stocks** | $ | 175,508,915 | $ | — | $ | — | |||||||
U.S. Treasury Obligations | — | 37,304,296 | — | |||||||||||
Corporate Bonds** | — | 33,668,781 | — | |||||||||||
U.S. Government Agency Mortgage-Backed Securities | — | 28,961,018 | — | |||||||||||
Purchased Options | 6,175,685 | 17,177,251 | — | |||||||||||
Asset-Backed / Mortgage-Backed Securities** | — | 13,178,875 | — | |||||||||||
Master Limited Partnerships** | 1,660,294 | — | — | |||||||||||
Preferred Securities** | — | 566,624 | — | |||||||||||
Money Market Funds | 46,668,024 | — | — | |||||||||||
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| |||||||||
$ | 230,012,918 | $ | 130,856,845 | $ | — | |||||||||
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|
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| |||||||||
TBA Sales Commitments | $ | — | $ | (3,774,081 | ) | $ | — | |||||||
|
|
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|
|
| |||||||||
Futures Contracts | $ | 1,196,555 | $ | — | $ | — | ||||||||
|
|
|
|
|
| |||||||||
ON Conservative Model | Open-End Mutual Funds | $ | 88,847,865 | $ | — | $ | — | |||||||
|
|
|
|
|
| |||||||||
ON Moderately Conservative Model | Open-End Mutual Funds | $ | 282,033,205 | $ | — | $ | — | |||||||
|
|
|
|
|
| |||||||||
ON Balanced Model | Open-End Mutual Funds | $ | 1,364,368,675 | $ | — | $ | — | |||||||
|
|
|
|
|
| |||||||||
ON Moderate Growth Model | Open-End Mutual Funds | $ | 2,364,684,877 | $ | — | $ | — | |||||||
|
|
|
|
|
|
149 | (continued) |
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2018 (Unaudited) |
Portfolio | Financial Instrument Type | Level 1 | Level 2 | Level 3 | ||||||||||
ON Growth Model | Open-End Mutual Funds | $ | 511,016,055 | $ | — | $ | — | |||||||
|
|
|
|
|
|
** 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.
For the six-month period ended June 30, 2018, there were transfers of common stock from Level 1 pricing at December 31, 2017 to Level 2 pricing at June 30, 2018. The fair valuation service provider reported securities that did not meet the minimum predictability threshold to be fair valued at December 31, 2017, whereas in the current period, the securities met the threshold to be fair valued. Additionally, there were purchased call and put options that were valued at last sale price as reported to a Board-approved independent pricing service by the OPRA at 4:15 pm Eastern Time at December 31, 2017, whereas in the current period, the securities were valued at the evaluated composite-basis bid price, as last sale price was not available. The changes in level for each security are detailed in the table below:
Portfolio | Security Name | Value at December 31, 2017 | Value at June 30, 2018 | ||||||||||
ON International Equity | NetLink NBN Trust | $ | 1,139,513 | $ | 3,937,017 | ||||||||
ON Foreign | SKY Network Television Ltd. | 631,683 | 558,030 | ||||||||||
ON Foreign | Sinopec Engineering Group Co. Ltd. | 758,200 | 834,834 | ||||||||||
ON Janus Henderson Venture | Ontex Group N.V. | 2,926,741 | 1,828,077 | ||||||||||
S&P 500 Index Call Option, Expiration: 12/20/2019, |
| ||||||||||||
ON Risk Managed Balanced | Exercise Price: $2,500 | 1,641,150 | 1,644,300 | ||||||||||
S&P 500 Index Put Option, Expiration: 12/20/2019, |
| ||||||||||||
ON Risk Managed Balanced | Exercise Price: $2,400 | 1,029,800 | 258,250 | ||||||||||
S&P 500 Index Put Option, Expiration: 12/20/2019, |
| ||||||||||||
ON Risk Managed Balanced | Exercise Price: $2,450 | 218,100 | 171,150 | ||||||||||
SPDR S&P 500 ETF Trust Call Option, | |||||||||||||
ON Risk Managed Balanced | Expiration: 12/20/2019, Exercise Price: $255 | 306,755 | 317,585 | ||||||||||
SPDR S&P 500 ETF Trust Call Option, | |||||||||||||
ON Risk Managed Balanced | Expiration: 12/20/2019, Exercise Price: $260 | 494,870 | 510,340 | ||||||||||
SPDR S&P 500 ETF Trust Call Option, | |||||||||||||
ON Risk Managed Balanced | Expiration: 12/20/2019, Exercise Price: $265 | 474,519 | 489,159 | ||||||||||
SPDR S&P 500 ETF Trust Call Option, | |||||||||||||
ON Risk Managed Balanced | Expiration: 12/20/2019, Exercise Price: $275 | 201,100 | 205,700 | ||||||||||
SPDR S&P 500 ETF Trust Put Option, | |||||||||||||
ON Risk Managed Balanced | Expiration: 12/20/2019, Exercise Price: $245 | 282,150 | 220,590 | ||||||||||
SPDR S&P 500 ETF Trust Put Option, | |||||||||||||
ON Risk Managed Balanced | Expiration: 12/20/2019, Exercise Price: $260 | 329,800 | 264,180 | ||||||||||
SPDR S&P 500 ETF Trust Put Option, | |||||||||||||
ON Risk Managed Balanced | Expiration: 12/20/2019, Exercise Price: $285 | 118,170 | 97,227 |
For the six-month period ended June 30, 2018, there were transfers of common stock from Level 2 pricing at December 31, 2017 to Level 1 pricing at June 30, 2018. One security, Cielo SA, is traded on an exchange in which the close time is typically consistent with the close time of U.S. equity markets. However, at December 31, 2017, the local exchange was closed, causing the security to be fair valued. The security was not subject to fair value at June 30, 2018, as the close time was once again consistent with the close time of U.S. equity markets. Additionally, the fair valuation service provider reported other securities that met the minimum predictability threshold to be fair valued at December 31, 2017, whereas in the current period, those securities did not meet the threshold to be fair valued. Finally, there were purchased call and put options that were valued at the evaluated composite-bassis bid price at December 31, 2017, as there was no last sale price available; whereas in the current period, the securities were valued at last sale price as reported to a Board-approved independent pricing service by the OPRA at 4:15 pm Eastern Time. These securities are
150 | (continued) |
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2018 (Unaudited) |
detailed in the table below:
Portfolio | Security Name | Value at December 31, 2017 | Value at June 30, 2018 | ||||||||||
ON International Equity | Cielo SA | $ | 1,365,394 | $ | 6,090,545 | ||||||||
ON Foreign | Sinopharm Group Co. Ltd. | 668,569 | 624,115 | ||||||||||
ON Foreign | Flow Traders | 361,188 | 586,390 | ||||||||||
S&P 500 Index Call Option, Expiration: 12/20/2019, |
| ||||||||||||
ON Risk Managed Balanced | Exercise Price: $2,800 | 85,850 | 92,000 | ||||||||||
S&P 500 Index Put Option, Expiration: 12/20/2019, |
| ||||||||||||
ON Risk Managed Balanced | Exercise Price: $2,800 | 134,550 | 1,508,360 | ||||||||||
SPDR S&P 500 ETF Trust Put Option, | |||||||||||||
ON Risk Managed Balanced | Expiration: 12/20/2019, Exercise Price: $235 | 143,290 | 105,915 | ||||||||||
SPDR S&P 500 ETF Trust Put Option, | |||||||||||||
ON Risk Managed Balanced | Expiration: 12/20/2019, Exercise Price: $265 | 389,790 | 310,002 | ||||||||||
SPDR S&P 500 ETF Trust Put Option, | |||||||||||||
ON Risk Managed Balanced | Expiration: 12/20/2019, Exercise Price: $270 | 197,370 | 156,995 |
Below is a reconciliation that details the activity of securities in Level 3 during the six-month period ended June 30, 2018.
ON Janus Henderson Venture | ||
Beginning Balance – January 1, 2018 | $253,247 | |
Total gains or losses (realized/unrealized): | ||
Included in earnings (or changes in net assets) | $91,995 | |
Issuances | — | |
Settlements | — | |
Transfers out of Level 3 (due to availability of active market quotations or significant observable market inputs) | — | |
Transfers into Level 3 (due to lack of active market quotations or significant observable inputs) | — | |
Ending Balance – June 30, 2018. | $345,242 | |
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 | $91,995 |
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 June 30, 2018:
Instrument | Valuation Technique Used | Unobservable Inputs | Input Values | |||||
Dyax Corp. - Contingent Value Right (CVR) | Probability weighted discounted cash flow model | Discount Rate | 2% | |||||
Evaluated probability of FDA approving product | 85% |
The use of an income approach (discounted cash flow model) is a change in valuation technique from the market approach (purchase price allocation) that was previously used. The purchase price allocation relied on acquisition date fair values from January 22, 2016, when Shire plc acquired all of the outstanding common stock of Dyax Corp. As significant time has passed since the transaction closed, an income based approach is considered to more accurately represent the current fair market value.
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.
151 | (continued) |
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2018 (Unaudited) |
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 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 ON Bond and ON 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.
152 | (continued) |
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2018 (Unaudited) |
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.
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 ON 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 six-month period ended June 30, 2018.
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 ON Risk Managed Balanced Portfolio was the only Portfolio to engage in MDR transactions during the six-month period ended June 30, 2018.
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 that the final release of these Rules may have on the Fund’s future disclosures and filings.
Subsequent Events
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 subsequent events to report.
153 | (continued) |
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2018 (Unaudited) |
(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 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.
ON Equity | ON Janus Henderson Forty | ON 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 | ||
ON Bond | ON Janus Henderson Venture | ON 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 | ON ICON Balanced | ||
0.30% of next $1 billion | ON Janus Henderson Enterprise1 | 0.65% of first $200 million | ||
0.25% over $2 billion | 0.85% of first $100 million | 0.60% of next $300 million | ||
ON Omni | 0.80% of next $100 million | 0.55% over $500 million | ||
0.60% of first $100 million | 0.75% of next $300 million | ON 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 | ON 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 | ON Bristol Growth | ||
0.25% over $2 billion | 0.33% over $250 million | 0.80% of first $100 million | ||
ON Capital Appreciation | ON Federated Strategic Value Dividend | 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 | ON 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 | ON Federated High Income Bond | 0.75% over $500 million | ||
ON International Equity | 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 | ON ClearBridge Small Cap | ON Balanced Model | ||
ON Foreign | 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 | ON 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 November 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, 2018, Janus Capital Management LLC replaced the Portfolio’s previous sub-adviser, Goldman Sachs Asset Management L.P. In conjunction with the change in sub-adviser and investment strategy, the name of the Portfolio was changed from Mid Cap Opportunity Portfolio to ON Janus Henderson Enterprise Portfolio. The advisory fee schedule for the Portfolio did not change.
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 Investments, 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”), Geode Capital
154 | (continued) |
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2018 (Unaudited) |
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.
ON Equity (ClearBridge) | ON Janus Henderson Venture (Janus) | ON 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 | ||
ON Omni (Suffolk) | ON Janus Henderson Enterprise (Janus)2 | 0.40% over $500 million | ||
0.30% of first $100 million | 0.60% of first $100 million | ON ICON 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 | ON S&P 500® Index (Geode)3 | 0.30% over $500 million | ||
0.15% of next $1 billion | 0.025% of first $100 million | ON S&P MidCap 400® Index (Geode)3 | ||
0.125% over 2 billion | 0.020% of next $150 million | 0.039% of first $100 million | ||
ON Capital Appreciation (Jennison) | 0.015% over $250 million | 0.038% of next $150 million | ||
0.75% of first $10 million | ON Federated Strategic Dividend 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 | ON Bristol Growth (Suffolk) | ||
0.22% of next $600 million | ON Federated 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) | 0.40% of next $20 million | 0.35% over $500 million | ||
0.40% on first $500 Million | 0.30% of next $25 million | ON 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 | ON ClearBridge Small Cap (ClearBridge) | 0.25% over $500 million | ||
ON Foreign (Templeton) | 0.55% of first $200 million | ON 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 | ON Nasdaq-100® Index (Geode)3 | 0.15% over $500 million | ||
0.35% over $1 Billion | 0.05% of first $100 million | |||
ON Janus Henderson Forty (Janus) | 0.04% of next $150 million | |||
0.55% of first $100 million | 0.03% over $250 million | |||
0.50% of next $400 million | ON Bristol (Suffolk) | |||
0.45% over $500 million | 0.45% of first $100 million | |||
0.40% of next $400 million | ||||
0.35% over $500 million |
2 | At a meeting held on November 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, 2018, Janus Capital Management LLC replaced the Portfolio’s previous sub-adviser, Goldman Sachs Asset Management, L.P. In conjunction with the change in sub-adviser and investment strategy, the name of the Portfolio was changed from Mid Cap Opportunity Portfolio to ON Janus Henderson Enterprise Portfolio. The sub-advisory fee schedule for the Portfolio did not change.
3 | 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 six-month period ended June 30, 2018, the minimum aggregate fee had no impact on the sub-advisory fees that were calculated based on the breakpoint schedule indicated above. |
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.
155 | (continued) |
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2018 (Unaudited) |
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 six-month period ended June 30, 2018.
ONI has contractually agreed to reimburse the Fund to the extent that the annual ordinary operating expenses of the five 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 40 Act; any administrative and/or shareholder servicing fees payable pursuant to a plan approved by the Board; 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 | 0.87 | % | ||||
ON Moderately Conservative Model | 0.92 | % | ||||
ON Balanced Model | 0.99 | % | ||||
ON Moderate Growth Model | 1.04 | % | ||||
ON Growth Model | 1.08 | % |
For the period from March 1, 2017 to May 1, 2018, ONI contractually agreed to reimburse the Fund to the extent that the annual ordinary operating expense of the five ON Model Portfolios exceeded the following percentages of the average daily net assets:
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 | % |
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 current Expense Limitation Agreement will continue at least through April 30, 2019. 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 June 30, 2018.
For the six-month period ended June 30, 2018, ONI reimbursed the expenses of the ON Model Portfolios as follows:
Portfolio | ||||||
ON Conservative Model | $ | 110,199 | ||||
ON Moderately Conservative Model | 249,277 | |||||
ON Balanced Model | 856,493 | |||||
ON Moderate Growth Model | 1,203,890 | |||||
ON Growth Model | 513,454 |
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 six-month period ended June 30, 2018, the Fund incurred compliance expenses totaling $193,500, 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”.
156 | (continued) |
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2018 (Unaudited) |
Each director of the Board is compensated based on an annual retainer fee of $150,000, 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 six-month period ended June 30, 2018, directors’ compensation and reimbursement of director expenses by the Portfolios of the Fund totaled $394,151.
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 six-month period ended June 30, 2018, and the year ended December 31, 2017, respectively, were as follows:
ON Equity | ON Bond | ON Omni | ||||||||||||||||||||||||||||
Six-Month Period Ended June 30, 2018 | Year Ended December 31, 2017 | Six-Month Period Ended June 30, 2018 | Year Ended December 31, 2017 | Six-Month Period Ended June 30, 2018 | Year Ended December 31, 2017 | |||||||||||||||||||||||||
Capital shares issued on sales | 322,238 | 10,642,597 | 1,703,753 | 11,214,295 | 170,795 | 266,862 | ||||||||||||||||||||||||
Capital shares redeemed | (5,315,307 | ) | (12,872,622 | ) | (2,446,523 | ) | (2,741,090 | ) | (224,852 | ) | (318,671 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net increase/(decrease) | (4,993,069 | ) | (2,230,025 | ) | (742,770 | ) | 8,473,205 | (54,057 | ) | (51,809 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
ON Capital Appreciation | ON International Equity | ON Foreign | ||||||||||||||||||||||||||||
Six-Month Period Ended June 30, 2018 | Year Ended December 31, 2017 | Six-Month Period Ended June 30, 2018 | Year Ended December 31, 2017 | Six-Month Period Ended June 30, 2018 | Year Ended December 31, 2017 | |||||||||||||||||||||||||
Capital shares issued on sales | 102,398 | 2,025,134 | 32,645,311 | 1,144,777 | 128,059 | 628,575 | ||||||||||||||||||||||||
Capital shares redeemed | (365,435 | ) | (4,338,944 | ) | (1,539,278 | ) | (2,568,809 | ) | (364,202 | ) | (634,666 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net increase/(decrease) | (263,037 | ) | (2,313,810 | ) | 31,106,033 | (1,424,032 | ) | (236,143 | ) | (6,091 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
ON Janus Henderson Forty | ON Janus Henderson Venture | ON Janus Henderson Enterprise | ||||||||||||||||||||||||||||
Six-Month Period Ended June 30, 2018 | Year Ended December 31, 2017 | Six-Month Period Ended June 30, 2018 | Year Ended December 31, 2017 | Six-Month Period Ended June 30, 2018 | Year Ended December 31, 2017 | |||||||||||||||||||||||||
Capital shares issued on sales | 5,240,065 | 709,785 | 441,266 | 6,189,442 | 1,241,780 | 174,034 | ||||||||||||||||||||||||
Capital shares redeemed | (572,266 | ) | (860,290 | ) | (1,512,389 | ) | (6,546,021 | ) | (298,505 | ) | (469,655 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net increase/(decrease) | 4,667,799 | (150,505 | ) | (1,071,123 | ) | (356,579 | ) | 943,275 | (295,621 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
ON S&P 500® Index | ON Federated Strategic Value Dividend | ON Federated High Income Bond | ||||||||||||||||||||||||||||
Six-Month Period Ended June 30, 2018 | Year Ended December 31, 2017 | Six-Month Period Ended June 30, 2018 | Year Ended December 31, 2017 | Six-Month Period Ended June 30, 2018 | Year Ended December 31, 2017 | |||||||||||||||||||||||||
Capital shares issued on sales | 6,989,343 | 23,454,764 | 1,310,089 | 30,871,564 | 876,301 | 12,486,892 | ||||||||||||||||||||||||
Capital shares redeemed | (5,198,682 | ) | (19,338,265 | ) | (11,502,772 | ) | (27,981,608 | ) | (2,475,332 | ) | (13,338,819 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net increase/(decrease) | 1,790,661 | 4,116,499 | (10,192,683 | ) | 2,889,956 | (1,599,031 | ) | (851,927 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
ON ClearBridge Small Cap | ON Nasdaq-100® Index | ON Bristol | ||||||||||||||||||||||||||||
Six-Month Period Ended June 30, 2018 | Year Ended December 31, 2017 | Six-Month Period Ended June 30, 2018 | Year Ended December 31, 2017 | Six-Month Period Ended June 30, 2018 | Year Ended December 31, 2017 | |||||||||||||||||||||||||
Capital shares issued on sales | 135,598 | 3,994,874 | 9,155,891 | 6,783,625 | 449,932 | 6,848,458 | ||||||||||||||||||||||||
Capital shares redeemed | (811,928 | ) | (4,590,517 | ) | (3,184,127 | ) | (3,749,601 | ) | (1,336,316 | ) | (8,102,589 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net increase/(decrease) | (676,330 | ) | (595,643 | ) | 5,971,764 | 3,034,024 | (886,384 | ) | (1,254,131 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
157 | (continued) |
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2018 (Unaudited) |
ON Bryton Growth | ON ICON Balanced | ON S&P MidCap 400® Index | ||||||||||||||||||||||||||||
Six-Month Period Ended June 30, 2018 | Year Ended December 31, 2017 | Six-Month Period Ended June 30, 2018 | Year Ended December 31, 2017 | Six-Month Period Ended June 30, 2018 | Year Ended December 31, 2017 | |||||||||||||||||||||||||
Capital shares issued on sales | 55,476 | 3,478,196 | 994,318 | 24,217,744 | 370,921 | 3,514,467 | ||||||||||||||||||||||||
Capital shares redeemed | (437,468 | ) | (5,814,782 | ) | (10,857,439 | ) | (28,797,829 | ) | (645,633 | ) | (1,597,043 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net increase/(decrease) | (381,992 | ) | (2,336,586 | ) | (9,863,121 | ) | (4,580,085 | ) | (274,712 | ) | 1,917,424 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
ON Bristol Growth | ON Risk Managed Balanced | ON Conservative Model | ||||||||||||||||||||||||||||
Six-Month Period Ended June 30, 2018 | Year Ended December 31, 2017 | Six-Month Period Ended June 30, 2018 | Year Ended December 31, 2017 | Six-Month Period Ended June 30, 2018 | Period from March 1, 2017 (inception) to December 31, 2017 | |||||||||||||||||||||||||
Capital shares issued on sales | 432,902 | 5,831,380 | 2,210,969 | 7,019,790 | 1,110,468 | 11,598,693 | ||||||||||||||||||||||||
Capital shares redeemed | (1,026,386 | ) | (6,841,925 | ) | (1,947,341 | ) | (5,162,331 | ) | (2,018,815 | ) | (2,132,216 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net increase/(decrease) | (593,484 | ) | (1,010,545 | ) | 263,628 | 1,857,459 | (908,347 | ) | 9,466,477 | |||||||||||||||||||||
|
|
|
|
|
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|
|
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|
| |||||||||||||||||||
ON Moderately Conservative Model | ON Balanced Model | ON Moderate Growth Model | ||||||||||||||||||||||||||||
Six-Month Period Ended June 30, 2018 | Period from March 1, 2017 (inception) to December 31, 2017 | Six-Month Period Ended June 30, 2018 | Period from March 1, 2017 (inception) to December 31, 2017 | Six-Month Period Ended June 30, 2018 | Period from March 1, 2017 (inception) to December 31, 2017 | |||||||||||||||||||||||||
Capital shares issued on sales | 630,767 | 35,444,144 | 1,724,058 | 161,454,788 | 2,536,483 | 263,279,015 | ||||||||||||||||||||||||
Capital shares redeemed | (4,328,352 | ) | (4,941,775 | ) | (18,417,506 | ) | (16,972,493 | ) | (26,007,582 | ) | (23,746,889 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net increase/(decrease) | (3,697,585 | ) | 30,502,369 | (16,693,448 | ) | 144,482,295 | (23,471,099 | ) | 239,532,126 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
ON Growth Model | ||||||||||||||||||||||||||||||
Six-Month Period Ended June 30, 2018 | Period from March 1, 2017 (inception) to December 31, 2017 | |||||||||||||||||||||||||||||
Capital shares issued on sales | 2,133,726 | 53,788,591 | ||||||||||||||||||||||||||||
Capital shares redeemed | (4,802,204 | ) | (5,012,375 | ) | ||||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||||
Net increase/(decrease) | (2,668,478 | ) | 48,776,216 | |||||||||||||||||||||||||||
|
|
|
|
(5) | Investment Transactions |
Cost of purchases and proceeds from sales of investments (excluding short-term and government securities) for the six-month period ended June 30, 2018 were as follows:
ON Equity | ON Bond | ON Omni | ON Capital Appreciation | ON International Equity | |||||||||||||||||||||
Cost of purchases | $ | 75,428,171 | $ | 81,863,721 | $ | 74,111,749 | $ | 36,748,978 | $ | 513,866,548 | |||||||||||||||
Proceeds from sales | $ | 272,970,250 | $ | 71,818,475 | $ | 75,503,699 | $ | 49,214,280 | $ | 61,334,506 | |||||||||||||||
ON Foreign | ON Janus Henderson Forty | ON Janus Henderson Venture | ON Janus Henderson Enterprise | ON S&P 500® Index | |||||||||||||||||||||
Cost of purchases | $ | 7,523,538 | $ | 151,845,078 | $ | 44,941,419 | $ | 123,252,073 | $ | 149,811,954 | |||||||||||||||
Proceeds from sales | $ | 12,411,658 | $ | 48,917,282 | $ | 86,672,364 | $ | 85,081,046 | $ | 79,249,928 | |||||||||||||||
ON Federated Strategic Value Dividend | ON Federated High Income Bond | ON ClearBridge Small Cap | ON Nasdaq-100® Index | ON Bristol | |||||||||||||||||||||
Cost of purchases | $ | 38,960,669 | $ | 23,871,972 | $ | 51,038,246 | $ | 128,446,345 | $ | 280,961,800 | |||||||||||||||
Proceeds from sales | $ | 187,488,977 | $ | 43,234,773 | $ | 93,730,919 | $ | 16,957,242 | $ | 306,034,233 |
158 | (continued) |
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2018 (Unaudited) |
ON Bryton Growth | ON ICON Balanced | ON S&P MidCap 400® Index | ON Bristol Growth | ON Risk Managed Balanced | |||||||||||||||||||||
Cost of purchases | $ | 57,877,359 | $ | 178,353,148 | $ | 10,718,916 | $ | 156,436,176 | $ | 64,994,344 | |||||||||||||||
Proceeds from sales | $ | 68,227,386 | $ | 263,801,271 | $ | 14,524,777 | $ | 169,212,085 | $ | 73,923,004 | |||||||||||||||
ON Conservative Model | ON Moderately Conservative Model | ON Balanced Model | ON Moderate Growth Model | ON Growth Model | |||||||||||||||||||||
Cost of purchases | $ | 24,351,541 | $ | 86,599,879 | $ | 342,855,244 | $ | 774,339,068 | $ | 242,505,177 | |||||||||||||||
Proceeds from sales | $ | 33,017,128 | $ | 123,625,151 | $ | 516,631,977 | $ | 1,027,397,838 | $ | 271,939,608 | |||||||||||||||
Cost of purchases and proceeds from sales of government securities for the six-month period ended June 30, 2018 were as follows:
|
|
ON Bond | ON Omni | ON ICON Balanced | ON Risk Managed Balanced | ||||||||||||||||||||||
Cost of purchases | $ 2,773,828 | $468,207 | $ 31,010,658 | $167,405,331 | |||||||||||||||||||||
Proceeds from sales | $11,992,871 | $197,957 | $138,870,000 | $152,342,977 |
(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 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
159 | (continued) |
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2018 (Unaudited) |
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 ON ICON Balanced Portfolio held and purchased put options during the six-month period ended June 30, 2018. 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. Transactions involving purchased options by the ON ICON Balanced Portfolio for the six-month period ended June 30, 2018 were: Cost of purchases: $1.5 million, Proceeds from sales: $0.2 million.
The ON Risk Managed Balanced Portfolio also purchased call and put options associated with the S&P 500 Index or related exchange traded fund during the six-month period ended June 30, 2018. 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 ON Risk Managed Balanced Portfolio for the six-month period ended June 30, 2018 were: Cost of purchases: $11.6 million, Proceeds from sales: $11.1 million.
Written and purchased options are non-income producing securities.
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 indices 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 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
160 | (continued) |
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2018 (Unaudited) |
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 ON S&P 500® Index, ON Nasdaq-100® Index, and ON S&P MidCap 400® Index Portfolios’ cash holdings, as noted on those Portfolios’ Schedules of Investments, were pledged at June 30, 2018 as collateral for the Portfolios’ futures contracts. The 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 futures contracts that were executed and closed in the Portfolios during the six-month period ended June 30, 2018. Those contracts were executed for similar purposes as the contracts outstanding at June 30, 2018. For the six-month period ended June 30, 2018, the notional values of futures contracts opened and closed prior to contract settlement date by the ON S&P 500® Index Portfolio were $129.2 million and $131.6 million, respectively. For the six-month period ended June 30, 2018, the notional values of futures contracts opened and closed prior to contract settlement date by the ON Nasdaq-100® Index Portfolio were $39.1 million and $39.1 million, respectively. For the six-month period ended June 30, 2018, the notional values of futures contracts opened and closed prior to contract settlement date by the ON S&P MidCap 400® Index Portfolio were $2.5 million and $3.1 million, respectively.
Portions of the ON Risk Managed Balanced Portfolio’s securities and cash holdings, as noted on the Portfolio’s Schedule of Investments, were pledged at June 30, 2018 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 ON Risk Managed Balanced Portfolio during the six-month period ended June 30, 2018. Those contracts were executed for similar purposes as the contracts outstanding at June 30, 2018. For the six-month period ended June 30, 2018, the notional values of futures contracts opened and closed prior to contract settlement date by the Portfolio were $699.1 million and $661.8 million, respectively.
The values and financial statement effects of derivative instruments that were not accounted for as hedging instruments as of, and for, the six-month period ended June 30, 2018, were as follows:
Portfolio | Instrument | Primary Risk Type | Value- Asset Derivatives | Value- Liability Derivatives | Location on Statements of Assets and Liabilities | |||||||||
ON S&P 500® Index | Futures contracts | Equity price | $ | 4,626,720 | $ | 4,717,443 | (1) | |||||||
|
|
|
| |||||||||||
ON Nasdaq-100® Index | Futures contracts | Equity price | 1,696,020 | 1,729,077 | (1) | |||||||||
|
|
|
| |||||||||||
ON ICON Balanced | Purchased options | Equity price | 409,920 | — | (2) | |||||||||
|
|
|
| |||||||||||
ON S&P MidCap 400® Index | Futures contracts | Equity price | 195,610 | 200,940 | (1) | |||||||||
|
|
|
| |||||||||||
ON Risk Managed Balanced | Futures contracts | Equity price | 244,806,368 | 243,609,813 | (1) | |||||||||
|
|
|
| |||||||||||
Purchased options | Equity price | 23,352,936 | — | (2) | ||||||||||
|
|
|
|
(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. |
161 | (continued) |
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2018 (Unaudited) |
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 S&P 500® Index | Futures contracts | Equity price | $ | 129,167 | $ | (74,295 | ) | (1),(2) | |||||||||||
|
|
|
| ||||||||||||||||
ON Nasdaq-100® Index | Futures contracts | Equity price | 212,959 | (39,016 | ) | (1),(2) | |||||||||||||
|
|
|
| ||||||||||||||||
ON ICON Balanced | Purchased options | Equity price | (1,524,875 | ) | 608,273 | (3),(4) | |||||||||||||
|
|
|
| ||||||||||||||||
ON S&P MidCap 400® Index | Futures contracts | Equity price | 43,445 | (13,083 | ) | (1),(2) | |||||||||||||
|
|
|
| ||||||||||||||||
ON Risk Managed Balanced | Futures contracts | Equity price | (4,764,704 | ) | 2,041,612 | (1),(2) | |||||||||||||
|
|
|
| ||||||||||||||||
Purchased options | Equity price | 1,508,672 | (2,515,068 | ) | (3),(4) | ||||||||||||||
|
|
|
|
(1) Net realized gain (loss) on futures contracts. (2) Change in unrealized appreciation/depreciation on futures contracts. (3) Net realized gain (loss) on investments in securities of unaffiliated issuers. (4) Change in unrealized appreciation/depreciation on investments in securities of unaffiliated issuers. |
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 June 30, 2018, 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.
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 June 30, 2018 for federal income tax purposes.
ON Equity | ON Bond | ON Omni | ON Capital Appreciation | ON International Equity | ON Foreign | |||||||||||||||||||||||||
Gross unrealized: | ||||||||||||||||||||||||||||||
Appreciation | $ | 50,408,669 | $ | 1,052,273 | $ | 3,845,278 | $ | 15,817,687 | $ | 31,584,700 | $ | 5,093,344 | ||||||||||||||||||
Depreciation | (18,105,438 | ) | (10,197,421 | ) | (1,917,766 | ) | (5,254,664 | ) | (41,582,995 | ) | (6,129,438 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net unrealized appreciation (depreciation) | $ | 32,303,231 | $ | (9,145,148 | ) | $ | 1,927,512 | $ | 10,563,023 | $ | (9,998,295 | ) | $ | (1,036,094 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Aggregate cost of investments: | $ | 328,870,915 | $ | 303,892,102 | $ | 64,770,191 | $ | 104,574,174 | $ | 619,728,879 | $ | 69,946,119 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
162 | (continued) |
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2018 (Unaudited) |
ON Janus Henderson Forty | ON Janus Henderson Venture | ON Janus Henderson Enterprise | ON S&P 500® Index | ON Federated Strategic Value Dividend | ON Federated High Income Bond | |||||||||||||||||||||||||
Gross unrealized: | ||||||||||||||||||||||||||||||
Appreciation | $ | 18,422,210 | $ | 76,535,597 | $ | 4,073,895 | $ | 301,385,037 | $ | 21,027,377 | $ | 2,941,479 | ||||||||||||||||||
Depreciation | (2,170,136 | ) | (6,627,699 | ) | (1,914,774 | ) | (27,126,799 | ) | (26,881,111 | ) | (9,389,300 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net unrealized appreciation (depreciation) | $ | 16,252,074 | $ | 69,907,898 | $ | 2,159,121 | $ | 274,258,238 | $ | (5,853,734 | ) | $ | (6,447,821 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Aggregate cost of investments: | $ | 157,759,843 | $ | 196,925,246 | $ | 117,633,016 | $ | 949,753,400 | $ | 405,721,473 | $ | 290,582,715 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
ON ClearBridge Small Cap | ON Nasdaq-100® Index | ON Bristol | ON Bryton Growth | ON ICON Balanced | ON S&P MidCap 400® Index | |||||||||||||||||||||||||
Gross unrealized: | ||||||||||||||||||||||||||||||
Appreciation | $ | 44,849,564 | $ | 119,403,382 | $ | 13,613,276 | $ | 6,993,354 | $ | 80,579,282 | $ | 8,743,378 | ||||||||||||||||||
Depreciation | (10,599,456 | ) | (4,186,467 | ) | (6,026,158 | ) | (2,389,662 | ) | (19,894,354 | ) | (4,074,136 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net unrealized appreciation (depreciation) | $ | 34,250,108 | $ | 115,216,915 | $ | 7,587,118 | $ | 4,603,692 | $ | 60,684,928 | $ | 4,669,242 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Aggregate cost of investments: | $ | 213,298,437 | $ | 277,717,786 | $ | 189,259,764 | $ | 49,796,904 | $ | 679,304,811 | $ | 81,924,662 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
ON Bristol Growth | ON Risk Managed Balanced | ON Conservative Model | ON Moderately Conservative Model | ON Balanced Model | ON Moderate Growth Model | |||||||||||||||||||||||||
Gross unrealized: | ||||||||||||||||||||||||||||||
Appreciation | $ | 10,197,653 | $ | 47,806,145 | $ | 834,980 | $ | 4,578,941 | $ | 46,213,687 | $ | 115,367,903 | ||||||||||||||||||
Depreciation | (2,496,803 | ) | (12,935,434 | ) | (2,852,942 | ) | (12,404,189 | ) | (66,370,687 | ) | (146,581,435 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net unrealized appreciation (depreciation) | $ | 7,700,850 | $ | 34,870,711 | $ | (2,017,962 | ) | $ | (7,825,248 | ) $ | (20,157,000 | ) | $ | (31,213,532 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Aggregate cost of investments: | $ | 110,952,994 | $ | 327,195,607 | $ | 90,865,827 | $ | 289,858,453 | $ | 1,384,525,675 | $ | 2,395,898,408 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
ON Growth Model | ||||||||||||||||||||||||||||||
Gross unrealized: | ||||||||||||||||||||||||||||||
Appreciation | $ | 26,670,563 | ||||||||||||||||||||||||||||
Depreciation | (33,104,332 | ) | ||||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Net unrealized appreciation (depreciation) | $ | (6,433,769 | ) | |||||||||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
Aggregate cost of investments: | $ | 517,449,824 | ||||||||||||||||||||||||||||
|
|
163 | (continued) |
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2018 (Unaudited) |
(8) | Legal Matters |
In December 2007, the ON S&P 500® Index and ON Federated Strategic Value Dividend 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 ON S&P 500® Index and ON Federated Strategic Value Dividend 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. federal 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. 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.—which at the time was 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. On February 27, 2018, the Supreme Court issued its decision in Merit Management, which provides new grounds for the Trustee to assert previously barred constructive fraudulent transfer claims against the shareholder defendants. On March 8, 2018, the Trustee renewed his request to amend his complaint to add a constructive fraudulent transfer claim. On March 13, 2018, counsel for a number of shareholder defendants opposed the renewed request. On June 18, 2018, the District Court entered an order staying any decision on the Trustee’s request on the grounds that it will be preferable to hold off until there is a further ruling from the Second Circuit in the State Law Constructive Fraudulent Transfer Cases. The District Court also instructed the parties to file a joint letter indicating their views on proceeding with efforts to try to achieve a global resolution of the case. On July 9, 2018, the parties submitted a joint letter which voiced general support for a broad based mediation effort. The District Court has not yet responded to the parties’ submission.
The outcome of these proceedings cannot be predicted. Management of the Fund continues to assess litigation matters and any offers of settlement.
164 |
Ohio National Fund, Inc.
June 30, 2018 (Unaudited) |
(1) | 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 January 1, 2018 and held through June 30, 2018.
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 1/1/2018 | Ending Investment Value 6/30/2018 | Expenses Paid During Period* 1/1/2018 – 6/30/2018 | Expense Ratio During Period 1/1/2018 – 6/30/2018 (Annualized) | ||||||||||||||||
ON Equity | $ | 1,000.00 | $ | 981.20 | $ | 3.93 | 0.80 | % | ||||||||||||
ON Bond | $ | 1,000.00 | $ | 967.50 | $ | 2.83 | 0.58 | % | ||||||||||||
ON Omni | $ | 1,000.00 | $ | 998.20 | $ | 3.81 | 0.77 | % | ||||||||||||
ON Capital Appreciation | $ | 1,000.00 | $ | 1,013.50 | $ | 4.39 | 0.88 | % | ||||||||||||
ON International Equity | $ | 1,000.00 | $ | 974.10 | $ | 4.31 | 0.88 | % | ||||||||||||
ON Foreign | $ | 1,000.00 | $ | 961.50 | $ | 5.40 | 1.11 | % | ||||||||||||
ON Janus Henderson Forty | $ | 1,000.00 | $ | 1,136.00 | $ | 4.82 | 0.91 | % | ||||||||||||
ON Janus Henderson Venture | $ | 1,000.00 | $ | 1,116.10 | $ | 4.46 | 0.85 | % | ||||||||||||
ON Janus Henderson Enterprise | $ | 1,000.00 | $ | 1,053.10 | $ | 4.99 | 0.98 | % | ||||||||||||
ON S&P 500® Index | $ | 1,000.00 | $ | 1,024.40 | $ | 1.91 | 0.38 | % | ||||||||||||
ON Federated Strategic Value Dividend | $ | 1,000.00 | $ | 953.60 | $ | 3.68 | 0.76 | % | ||||||||||||
ON Federated High Income Bond | $ | 1,000.00 | $ | 994.30 | $ | 3.71 | 0.75 | % | ||||||||||||
ON ClearBridge Small Cap | $ | 1,000.00 | $ | 1,055.00 | $ | 4.59 | 0.90 | % | ||||||||||||
ON Nasdaq-100® Index | $ | 1,000.00 | $ | 1,104.40 | $ | 2.19 | 0.42 | % | ||||||||||||
ON Bristol | $ | 1,000.00 | $ | 1,005.30 | $ | 4.08 | 0.82 | % | ||||||||||||
ON Bryton Growth | $ | 1,000.00 | $ | 1,152.50 | $ | 5.50 | 1.03 | % | ||||||||||||
ON ICON Balanced | $ | 1,000.00 | $ | 1,005.90 | $ | 3.13 | 0.63 | % | ||||||||||||
ON S&P MidCap 400® Index | $ | 1,000.00 | $ | 1,032.10 | $ | 3.02 | 0.60 | % | ||||||||||||
ON Bristol Growth | $ | 1,000.00 | $ | 1,038.40 | $ | 4.40 | 0.87 | % | ||||||||||||
ON Risk Managed Balanced | $ | 1,000.00 | $ | 1,012.30 | $ | 4.94 | 0.99 | % | ||||||||||||
ON Conservative Model | $ | 1,000.00 | $ | 985.80 | $ | 1.38 | 0.28 | % | ||||||||||||
ON Moderately Conservative Model | $ | 1,000.00 | $ | 984.10 | $ | 1.38 | 0.28 | % | ||||||||||||
ON Balanced Model | $ | 1,000.00 | $ | 987.00 | $ | 1.48 | 0.30 | % | ||||||||||||
ON Moderate Growth Model | $ | 1,000.00 | $ | 990.00 | $ | 1.58 | 0.32 | % | ||||||||||||
ON Growth Model | $ | 1,000.00 | $ | 993.70 | $ | 1.19 | 0.24 | % |
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.
165 | (continued) |
Ohio National Fund, Inc.
Additional Information (Continued) | June 30, 2018 (Unaudited) |
Portfolio | Beginning Investment Value 1/1/2018 | Ending Investment Value 6/30/2018 | Expenses Paid During Period* 1/1/2018 – 6/30/2018 | Expense Ratio During Period 1/1/2018 – 6/30/2018 (Annualized) | ||||||||||||||||
ON Equity | $ | 1,000.00 | $ | 1,020.83 | $ | 4.01 | 0.80 | % | ||||||||||||
ON Bond | $ | 1,000.00 | $ | 1,021.92 | $ | 2.91 | 0.58 | % | ||||||||||||
ON Omni | $ | 1,000.00 | $ | 1,020.98 | $ | 3.86 | 0.77 | % | ||||||||||||
ON Capital Appreciation | $ | 1,000.00 | $ | 1,020.43 | $ | 4.41 | 0.88 | % | ||||||||||||
ON International Equity | $ | 1,000.00 | $ | 1,020.43 | $ | 4.41 | 0.88 | % | ||||||||||||
ON Foreign | $ | 1,000.00 | $ | 1,019.29 | $ | 5.56 | 1.11 | % | ||||||||||||
ON Janus Henderson Forty | $ | 1,000.00 | $ | 1,020.28 | $ | 4.56 | 0.91 | % | ||||||||||||
ON Janus Henderson Venture | $ | 1,000.00 | $ | 1,020.58 | $ | 4.26 | 0.85 | % | ||||||||||||
ON Janus Henderson Enterprise | $ | 1,000.00 | $ | 1,019.93 | $ | 4.91 | 0.98 | % | ||||||||||||
ON S&P 500® Index | $ | 1,000.00 | $ | 1,022.91 | $ | 1.91 | 0.38 | % | ||||||||||||
ON Federated Strategic Value Dividend | $ | 1,000.00 | $ | 1,021.03 | $ | 3.81 | 0.76 | % | ||||||||||||
ON Federated High Income Bond | $ | 1,000.00 | $ | 1,021.08 | $ | 3.76 | 0.75 | % | ||||||||||||
ON ClearBridge Small Cap | $ | 1,000.00 | $ | 1,020.33 | $ | 4.51 | 0.90 | % | ||||||||||||
ON Nasdaq-100® Index | $ | 1,000.00 | $ | 1,022.71 | $ | 2.11 | 0.42 | % | ||||||||||||
ON Bristol | $ | 1,000.00 | $ | 1,020.73 | $ | 4.11 | 0.82 | % | ||||||||||||
ON Bryton Growth | $ | 1,000.00 | $ | 1,019.69 | $ | 5.16 | 1.03 | % | ||||||||||||
ON ICON Balanced | $ | 1,000.00 | $ | 1,021.67 | $ | 3.16 | 0.63 | % | ||||||||||||
ON S&P MidCap 400® Index | $ | 1,000.00 | $ | 1,021.82 | $ | 3.01 | 0.60 | % | ||||||||||||
ON Bristol Growth | $ | 1,000.00 | $ | 1,020.48 | $ | 4.36 | 0.87 | % | ||||||||||||
ON Risk Managed Balanced | $ | 1,000.00 | $ | 1,019.89 | $ | 4.96 | 0.99 | % | ||||||||||||
ON Conservative Model | $ | 1,000.00 | $ | 1,023.41 | $ | 1.40 | 0.28 | % | ||||||||||||
ON Moderately Conservative Model | $ | 1,000.00 | $ | 1,023.41 | $ | 1.40 | 0.28 | % | ||||||||||||
ON Balanced Model | $ | 1,000.00 | $ | 1,023.31 | $ | 1.51 | 0.30 | % | ||||||||||||
ON Moderate Growth Model | $ | 1,000.00 | $ | 1,023.21 | $ | 1.61 | 0.32 | % | ||||||||||||
ON Growth Model | $ | 1,000.00 | $ | 1,023.60 | $ | 1.20 | 0.24 | % |
* 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 (181 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. |
(2) | 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 SEC’s website at http://www.sec.gov.
The Fund has filed its Schedules of Investments as of March 31 and September 30 with the SEC, as required, on Form N-Q. Form N-Q is required to be filed with the SEC for the first and third quarters of each fiscal year within sixty days after the end of each period and is available on the SEC website upon acceptance of each submission. The Fund’s Forms N-Q may be reviewed and copied at the SEC’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 the Fund. 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).
166 |
Ohio National Fund, Inc.
June 30, 2018 (Unaudited) |
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 and Other Directorships | |||||
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 | 59 | 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). |
167 | (continued) |
Ohio National Fund, Inc.
Information about Directors and Officers (continued) | June 30, 2018 (Unaudited) |
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 and Other Directorships | |||||
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 | 44 | 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 (January 2014-January 2015); Compliance Analyst: ONLIC (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 | 33 | Assistant Treasurer | Indefinite; Since March 2016 | Director, Fund Operations and Analysis: ONLIC (July 2018 - present); Assistant Director, Fund Operations and Analysis: ONLIC (December 2016 - June 2018); Manager, Fund Operations and Analysis: ONLIC (February 2016 - December 2016); Sr. Mutual Fund Reporting & Operations Analyst: ONLIC (May 2012 - February 2016). |
168 |
[THIS PAGE LEFT INTENTIONALLY BLANK]
Ohio National Fund, Inc.
Post Office Box 371
Cincinnati, Ohio 45201
Form 1325 Rev. 8-18
Item 2. | Code Of Ethics. |
Not applicable for semiannual reports.
Item 3. | Audit Committee Financial Expert. |
Not applicable for semiannual reports.
Item 4. | Principal Accountant Fees And Services. |
Not applicable for semiannual reports.
Item 5. | Audit Committee Of Listed Registrants. |
Not applicable for semiannual reports.
Item 6. | Investments. |
Not applicable, as the schedules are included as part of the report to shareholders filed under Item 1.
Item 7. | Disclosure Of Proxy Voting Policies And Procedures For Closed-End Management Investment Companies. |
Not applicable for open-end investment companies.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable for open-end investment companies.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable for open-end investment companies.
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) | Not applicable for semiannual reports. |
(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. |
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) | ||
September 5, 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) | ||
September 5, 2018 | ||
By: | /s/ R. Todd Brockman | |
R. Todd Brockman | ||
Treasurer | ||
(Principal Financial Officer) | ||
September 5, 2018 |