UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number811-03015
Ohio National Fund, Inc.
(Exact name of registrant as specified in charter)
One Financial Way, Cincinnati, Ohio
| 45242 | |
(Address of principal executive offices) | (Zip Code) |
CT Corporation 300 E. Lombard St., Suite 1400 Baltimore, MD 21202
(Name and address of agent for service)
Registrant’s telephone number, including area code:513-794-6971
Date of fiscal year end: December 31
Date of reporting period: December 31, 2019
Item 1.Reports To Stockholders.
1 | ||||
The following pages contain Performance, Comments fromAdviser/Sub-Adviser, Change in Value of $10,000 Investment, Portfolio Composition, Top Holdings (all of which are unaudited), and Schedule of Investments (audited) for each of the Fund’s Portfolios: | ||||
3 | ||||
ON BlackRock Balanced Allocation Portfolio(formerly the ON Omni Portfolio) | 9 | |||
21 | ||||
28 | ||||
35 | ||||
38 | ||||
42 | ||||
46 | ||||
54 | ||||
61 | ||||
70 | ||||
ON BlackRock Advantage Large Cap Core Portfolio(formerly the ON Bristol Portfolio) | 74 | |||
ON BlackRock Advantage Small Cap Growth Portfolio(formerly the ON Bryton Growth Portfolio) | 81 | |||
89 | ||||
ON BlackRock Advantage Large Cap Growth Portfolio(formerly the ON Bristol Growth Portfolio) | 96 | |||
102 | ||||
116 | ||||
119 | ||||
122 | ||||
125 | ||||
128 | ||||
131 | ||||
134 | ||||
137 | ||||
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187 |
Message
Dear Investor:
2019 was an outstanding year for financial asset performance. Major domestic stock market indices posted returns in excess of 25%, while major domestic fixed income indices posted high-single digit returns. Major foreign stock market indices also posted strong positive returns, although not as large as domestic stock market indices.
Entering the year, market participants had two primary concerns. Firstly, that the Federal Reserve would continue to increase the Federal Funds rate and choke economic expansion. This concern was alleviated as the Federal Reserve reversed course and reduced the Fed Funds rate three times in 2019, for a total cut of 0.75%. Meanwhile, central banks around the world indicated their willingness to continue a more accommodative monetary policy, given the prospect of slower global growth. Equity and fixed income markets reacted favorably to this stance, as equity markets rose, and interest rates declined. Secondly, market participants were concerned about an escalation of the trade war between the U.S. and China, and its impact on global growth. While trade issues have not been fully resolved, the U.S. and China signed a phase I trade deal, which in essence is a temporary truce. Market participants were generally pleased that the prospect of anall-out trade war with China, and a resulting global recession, is less likely. Equity markets reacted favorably again, driving major domestic stock market indices toall-time highs.
The U.S. economy slowed during 2019, but Gross Domestic Product (“GDP”) growth remains roughly 2%. The unemployment rate is 3.5%, which represents a fifty year low. The rate of inflation is relatively low at 2.3%, and interest rates declined materially in 2019. Lastly, corporate profits are nearall-time highs, although corporate profit growth slowed during 2019.
Michael J. DeWeirdt, CFA, FRM | Gary R. Rodmaker, CFA, FLMI | |
President, Ohio National Fund, Inc. | President, Ohio National Investments, Inc. |
Equity Markets
Equity markets provided strong positive returns in 2019. Domestic indices outperformed international and emerging market indices by a wide margin. Within the domestic equity market, the S&P 500® (large cap), S&P MidCap 400® and Russell 2000® (small cap) indices all posted strong positive returns, ranging from 25.5% to 31.5%. Large cap indices outperformed both mid cap and small cap indices for the year. Growth stocks continued to outperform value stocks during the period. The Russell 1000® Growth Index provided a return of 36.4%, while the Russell 1000® Value Index provided a return of 26.5%. Within the foreign equity markets, international indices of developed countries outperformed emerging market indices. Slowing global growth disproportionally impacted emerging market indices.
A summary of returns for key equity benchmarks is presented below:
Index | 2019 U.S. Dollar Total Return (price and dividend) | |||
S&P 500® | 31.5% | |||
Russell 1000®Growth | 36.4% | |||
Russell 1000®Value | 26.5% | |||
S&P MidCap 400® | 26.2% | |||
Russell 2000® Small Cap | 25.5% | |||
MSCI All Country WorldEx-USA (Net – USD) | 21.5% | |||
MSCI Emerging Market | 18.4% |
Fixed Income Markets
Fixed income markets also provided strong positive returns in 2019. The Federal Reserve changed course during the year, going from a restrictive stance to an
1
accommodative stance. The Federal Reserve cut the Federal Funds rate by 0.75% during the year, and indicated that they will likely hold the Federal Funds rate at its current level for an extended period of time.
Long-term interest rates declined across the curve during the year, in response to the Federal Reserve’s policy change and the prospect of slowing global growth. The10-year U.S. Treasury rate, for example, declined 0.77% during the year, ending at 1.92%. In addition, credit spreads tightened, producing higher total returns for corporate bonds, but lower current yields.
The Bloomberg Barclays US Aggregate Bond Index posted a total return of 8.7% in 2019. Lower quality indices, like the Bloomberg Barclays Corporate Index and the Bloomberg Barclays US Corporate High Yield Index, provided higher total returns of 14.5% and 14.3%, respectively. Other higher quality indices, such as the Bloomberg Barclays US Treasury Index and the Bloomberg Barclays US Securitized Index, provided lower total returns of 6.9% and 6.4%, respectively. The table below illustrates the returns of the various indices.
Index | 2019 U.S. Dollar Total Return (price and interest) | |||
Bloomberg Barclays US Aggregate | 8.7% | |||
Bloomberg Barclays US Treasury | 6.9% | |||
Bloomberg Barclays Securitized | 6.4% | |||
Bloomberg Barclays Corporate | 14.5% | |||
Bloomberg Barclays US Corporate High Yield | 14.3% |
The Ohio National Fund, Inc.
In 2019, the Ohio National Fund, Inc. portfolios turned in strong performance, with 15 of 18 actively managed funds beating their peers. In addition, the returns of the three index portfolios, before expenses, performed in line with their respective indices. The fund family continues to offer a wide array of investment options that can be used to build a diversified portfolio.
Looking Ahead
The consensus view is for the U.S. economy to grow at roughly 2% in 2020. The unemployment rate is expected to
stay below 4%, and the inflation rate is expected to be about 2%, as measured by the Consumer Price Index (CPI). Wage growth is expected to be slightly higher than the rate of inflation, which should keep the U.S. consumer healthy. Corporate profits are expected to moderate, but remain strong. Lastly, the Federal Reserve is expected to remain accommodative, and leave the Federal Funds rate at its current level for an extended period of time in 2020. In short, the domestic economic backdrop remains favorable in the near term.
The global economic outlook has improved slightly in recent months. While global growth slowed in 2019, the signing of the phase I trade deal between the U.S. and China has provided some reason for optimism. Central banks around the world continue to embrace accommodative monetary policies, driving interest rates below zero in many cases, in an effort to spur growth. Geopolitical risks continue, including the impact of Brexit, and strained relationships with countries like Iran, North Korea, and Russia. Also, as of this writing, concerns over a possible pandemic from the Coronavirus and the impact of actions to contain it are emerging. These actions could slow world growth, temper stocks and push down yields on bonds.
Equity markets around the world have started the year mixed, currently focused on the impact of the Coronavirus. Valuations appear to be fairly high domestically, so there is little room for error, or a negative exogenous event. That said, the domestic economic backdrop remains supportive. The outlook for interest rates is for stability in the Federal Funds rate, and accommodative central bank policies around the world in the near term. In this environment, we believe that staying the course in a well-diversified portfolio will serve one 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.
2
Ohio National Fund, Inc. | ON Bond Portfolio (Unaudited) |
Objective/Strategy |
The ON 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 net assets in corporate debt securities.
Performance as of December 31, 2019 |
Average Annual returns | ||||
One year | 14.73 | % | ||
Five years | 4.53 | % | ||
Ten years | 4.77 | % |
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-free1-877-781-6392.
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 0.59% per the Fund’s prospectus dated November 22, 2019. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2019 can be found in the Portfolio’s Financial Highlights.
Comments from Adviser |
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A.For the year ended December 31, 2019, the Portfolio returned 14.73% versus 14.23% 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.Interest rates declined across the curve, as the Federal Reserve reduced the Federal Funds rate 75 basis points during the year. In this environment, longer duration bonds generally outperformed shorter duration bonds. Corporate credit spreads tightened during the year, with lower quality bonds generally outperforming higher quality bonds. From an investment strategy perspective, the Portfolio was positioned with an overweight to lower credit quality and shorter duration bonds versus the benchmark throughout the year. The Portfolio’s lower credit quality contributed to relative performance, while its shorter duration detracted slightly from relative performance.(1)
Q. How did sector allocation and security selection each impact the Portfolio’s performance relative to its benchmark? For sector allocation, were there any factors that impacted the benchmark’s performance more significantly than the Portfolio’s performance? For security selection, was there anything specific regarding the Portfolio’s strategy that caused deviation from the benchmark?
A.Security selection was the largest driver of the Portfolio’s outperformance. Security selection in the Consumer Staples, Financials, Materials and Energy sectors was especially beneficial. Sector allocation in the Communication Services and Consumer Discretionary sectors detracted slightly from relative performance. Other sector weightings did not materially affect performance versus the benchmark. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A.The top three contributors to the Portfolio’s performance relative to the benchmark were Bayer U.S. Finance II LLC 4.875% due 2048, Anheuser-Busch InBev Worldwide, Inc. 4.600% due 2048, and Marathon Petroleum Corp. 4.750% due 2044. Each of these bonds is a longer duration bond and experienced spread tightening during the year. The top three detractors to the Portfolio’s performance relative to the benchmark were U.S. Treasury Note 2.375% due 2049, AEP Transmission Co. LLC 3.750% due 2047, and U.S. Treasury Note 1.500% due 2024. These bonds were held for a short period of time during the year, which contributed to their lower performance versus the benchmark.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2019. |
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.
Past performance is no guarantee of future results. Redemption of fund shares could have tax implications unique to each shareholder.
3 | (continued) |
Ohio National Fund, Inc. | ON Bond Portfolio (Unaudited) (Continued) |
Portfolio Composition as of December 31, 2019(1) |
% of Net Assets | ||||
Corporate Bonds(4) | 89.4 | |||
U.S. Treasury Obligations | 3.8 | |||
Asset-Backed Securities(4) | 2.7 | |||
Sovereign Issues | 1.1 | |||
Money Market Funds and Other Net Assets | 3.0 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31, |
% of Net Assets | ||||
1. U.S. Treasury Note | 3.1 | |||
1.625%, 11/15/2022 | ||||
2. Campbell Soup Co. | 1.5 | |||
4.150%, 03/15/2028 | ||||
3. Aircastle Ltd. | 1.5 | |||
4.125%, 05/01/2024 | ||||
4. Lear Corp. | 1.4 | |||
3.800%, 09/15/2027 | ||||
5. B.A.T. Capital Corp. | 1.4 | |||
3.215%, 09/06/2026 | ||||
6. UnitedHealth Group, Inc. | 1.1 | |||
3.875%, 12/15/2028 | ||||
7. Expedia Group, Inc. | 1.1 | |||
5.000%, 02/15/2026 | ||||
8. CVS Health Corp. | 1.1 | |||
4.100%, 03/25/2025 | ||||
9. AbbVie, Inc. | 1.1 | |||
4.250%, 11/21/2049 | ||||
10. Kinross Gold Corp. | 1.1 | |||
4.500%, 07/15/2027 |
(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 | 25.4 | |||
Industrials | 10.6 | |||
Materials | 9.3 | |||
Energy | 9.0 | |||
Consumer Staples | 7.2 | |||
Utilities | 6.7 | |||
Health Care | 6.6 | |||
Consumer Discretionary | 5.5 | |||
Communication Services | 5.5 | |||
Real Estate | 4.6 | |||
Information Technology | 1.7 | |||
|
| |||
92.1 | ||||
|
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4
Ohio National Fund, Inc. | ON Bond Portfolio |
Schedule of Investments | December 31, 2019 |
Corporate Bonds – 89.4% | Rate | Maturity | Face Amount | Value | ||||||||||||||
COMMUNICATION SERVICES – 5.5% | ||||||||||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | QL + 118 | 06/12/2024 | $2,000,000 | $ | 2,034,703 | |||||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 3.400% | 05/15/2025 | 1,000,000 | 1,047,427 | ||||||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 4.900% | 08/15/2037 | 1,000,000 | 1,148,836 | ||||||||||||||
Comcast Corp. (Media) | 3.250% | 11/01/2039 | 3,000,000 | 3,039,409 | ||||||||||||||
Discovery Communications LLC (Media) | 3.950% | 03/20/2028 | 900,000 | 959,598 | ||||||||||||||
Lamar Media Corp. (Media) | 5.750% | 02/01/2026 | 500,000 | 529,950 | ||||||||||||||
Rogers Communications, Inc. (Wireless Telecom. Svs.) | 3.700% | 11/15/2049 | 2,100,000 | 2,112,840 | ||||||||||||||
Sirius XM Radio, Inc. (Media) | (a) | 5.375% | 04/15/2025 | 1,000,000 | 1,033,280 | |||||||||||||
Time Warner Cable LLC (Media) | 6.550% | 05/01/2037 | 850,000 | 1,040,569 | ||||||||||||||
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 4.500% | 08/10/2033 | 1,000,000 | 1,166,849 | ||||||||||||||
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 4.400% | 11/01/2034 | 1,500,000 | 1,735,509 | ||||||||||||||
|
| |||||||||||||||||
15,848,970 | ||||||||||||||||||
|
| |||||||||||||||||
CONSUMER DISCRETIONARY – 5.5% | ||||||||||||||||||
Amazon.com, Inc. (Internet & Direct Marketing Retail) | 3.875% | 08/22/2037 | 1,000,000 | 1,133,848 | ||||||||||||||
Aptiv PLC (Auto Components) | 4.350% | 03/15/2029 | 1,000,000 | 1,083,719 | ||||||||||||||
Dollar General Corp. (Multiline Retail) | 4.125% | 05/01/2028 | 2,000,000 | 2,181,776 | ||||||||||||||
Expedia Group, Inc. (Internet & Direct Marketing Retail) | 5.000% | 02/15/2026 | 3,000,000 | 3,306,693 | ||||||||||||||
Hasbro, Inc. (Leisure Products) | 3.900% | 11/19/2029 | 3,000,000 | 3,017,984 | ||||||||||||||
KB Home (Household Durables) | 4.800% | 11/15/2029 | 300,000 | 306,000 | ||||||||||||||
Lear Corp. (Auto Components) | 3.800% | 09/15/2027 | 4,000,000 | 4,035,769 | ||||||||||||||
Magna International, Inc. (Auto Components) | 3.625% | 06/15/2024 | 1,000,000 | 1,051,545 | ||||||||||||||
|
| |||||||||||||||||
16,117,334 | ||||||||||||||||||
|
| |||||||||||||||||
CONSUMER STAPLES – 7.2% | ||||||||||||||||||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc. (Beverages) | 4.700% | 02/01/2036 | 2,000,000 | 2,306,703 | ||||||||||||||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc. (Beverages) | 4.900% | 02/01/2046 | 1,000,000 | 1,182,638 | ||||||||||||||
Anheuser-Busch InBev Worldwide, Inc. (Beverages) | 4.600% | 04/15/2048 | 2,000,000 | 2,275,473 | ||||||||||||||
B.A.T. Capital Corp. (Tobacco) | 3.215% | 09/06/2026 | 4,000,000 | 4,026,234 | ||||||||||||||
Campbell Soup Co. (Food Products) | 4.150% | 03/15/2028 | 4,000,000 | 4,337,565 | ||||||||||||||
Keurig Dr Pepper, Inc. (Beverages) | 3.430% | 06/15/2027 | 3,000,000 | 3,122,571 | ||||||||||||||
Mead Johnson Nutrition Co. (Food Products) | 3.000% | 11/15/2020 | 900,000 | 907,858 | ||||||||||||||
Philip Morris International, Inc. (Tobacco) | 3.375% | 08/15/2029 | 2,500,000 | 2,621,597 | ||||||||||||||
|
| |||||||||||||||||
20,780,639 | ||||||||||||||||||
|
| |||||||||||||||||
ENERGY – 9.0% | ||||||||||||||||||
Apache Corp. (Oil, Gas & Consumable Fuels) | 4.375% | 10/15/2028 | 2,000,000 | 2,088,018 | ||||||||||||||
Baker Hughes, a GE Co. LLC / Baker HughesCo-Obligor, Inc. (Energy Equip. & Svs.) | 4.080% | 12/15/2047 | 2,000,000 | 2,044,782 | ||||||||||||||
BP Capital Markets America, Inc. (Oil, Gas & Consumable Fuels) | 3.017% | 01/16/2027 | 1,000,000 | 1,034,986 | ||||||||||||||
Chevron Corp. (Oil, Gas & Consumable Fuels) | 2.895% | 03/03/2024 | 900,000 | 932,190 | ||||||||||||||
Concho Resources, Inc. (Oil, Gas & Consumable Fuels) | 3.750% | 10/01/2027 | 2,000,000 | 2,101,001 | ||||||||||||||
Energy Transfer Operating LP (Oil, Gas & Consumable Fuels) | 4.950% | 06/15/2028 | 2,000,000 | 2,188,981 | ||||||||||||||
EQM Midstream Partners LP (Oil, Gas & Consumable Fuels) | 4.750% | 07/15/2023 | 900,000 | 902,281 | ||||||||||||||
Exxon Mobil Corp. (Oil, Gas & Consumable Fuels) | 4.114% | 03/01/2046 | 900,000 | 1,054,291 | ||||||||||||||
Halliburton Co. (Energy Equip. & Svs.) | 4.850% | 11/15/2035 | 900,000 | 1,016,193 | ||||||||||||||
Kinder Morgan, Inc. (Oil, Gas & Consumable Fuels) | 5.300% | 12/01/2034 | 1,000,000 | 1,175,934 | ||||||||||||||
Marathon Oil Corp. (Oil, Gas & Consumable Fuels) | 3.850% | 06/01/2025 | 850,000 | 899,319 | ||||||||||||||
Marathon Petroleum Corp. (Oil, Gas & Consumable Fuels) | 4.750% | 09/15/2044 | 1,000,000 | 1,096,320 | ||||||||||||||
ONEOK, Inc. (Oil, Gas & Consumable Fuels) | 6.000% | 06/15/2035 | 1,000,000 | 1,198,161 | ||||||||||||||
Peabody Energy Corp. (Oil, Gas & Consumable Fuels) | (a) | 6.000% | 03/31/2022 | 1,800,000 | 1,755,000 | |||||||||||||
Shell International Finance BV (Oil, Gas & Consumable Fuels) | 4.000% | 05/10/2046 | 1,000,000 | 1,137,784 | ||||||||||||||
Texas Eastern Transmission LP (Oil, Gas & Consumable Fuels) | (a) | 4.150% | 01/15/2048 | 1,000,000 | 1,060,278 | |||||||||||||
Transocean Pontus Ltd. (Energy Equip. & Svs.) | (a) | 6.125% | 08/01/2025 | 1,112,500 | 1,140,312 | |||||||||||||
Williams Cos., Inc. / The (Oil, Gas & Consumable Fuels) | 3.350% | 08/15/2022 | 1,000,000 | 1,024,110 | ||||||||||||||
Williams Cos., Inc. / The (Oil, Gas & Consumable Fuels) | 3.750% | 06/15/2027 | 1,000,000 | 1,041,889 | ||||||||||||||
Williams Cos., Inc. / The (Oil, Gas & Consumable Fuels) | 5.400% | 03/04/2044 | 1,000,000 | 1,124,344 | ||||||||||||||
|
| |||||||||||||||||
26,016,174 | ||||||||||||||||||
|
| |||||||||||||||||
FINANCIALS – 25.4% | ||||||||||||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Diversified Financial Svs.) | 3.300% | 01/23/2023 | 3,000,000 | 3,073,395 | ||||||||||||||
American Express Co. (Consumer Finance) | QL + 75 | 08/03/2023 | 1,000,000 | 1,008,415 | ||||||||||||||
American International Group, Inc. (Insurance) | 3.875% | 01/15/2035 | 2,500,000 | 2,649,002 | ||||||||||||||
Bank of America Corp. (Banks) | 3.875% | 08/01/2025 | 1,000,000 | 1,073,851 | ||||||||||||||
Bank of America Corp. (Rate is fixed until 01/23/2025, at which point, the rate becomes QL + 81) (Banks) | (b) | 3.366% | 01/23/2026 | 2,000,000 | 2,090,958 | |||||||||||||
Bank of America Corp. (Rate is fixed until 04/24/2037, at which point, the rate becomes QL + 181) (Banks) | (b) | 4.244% | 04/24/2038 | 1,000,000 | 1,150,364 | |||||||||||||
Bank of Montreal (Rate is fixed until 12/15/2027, at which point, the rate becomes USSW5 + 143) (Banks) | (b) | 3.803% | 12/15/2032 | 2,800,000 | 2,920,260 | |||||||||||||
Berkshire Hathaway, Inc. (Diversified Financial Svs.) | 3.125% | 03/15/2026 | 900,000 | 947,691 |
5 | (continued) |
Ohio National Fund, Inc. | ON Bond Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||||
FINANCIALS (continued) | ||||||||||||||||||||
Citigroup, Inc. (Banks) | 4.400% | 06/10/2025 | $2,000,000 | $ | 2,172,049 | |||||||||||||||
Citigroup, Inc. (Banks) | 3.700% | 01/12/2026 | 1,000,000 | 1,065,456 | ||||||||||||||||
Citigroup, Inc. (Banks) | 4.450% | 09/29/2027 | 2,000,000 | 2,200,946 | ||||||||||||||||
Deutsche Bank AG (Capital Markets) | 2.700% | 07/13/2020 | 2,000,000 | 2,001,377 | ||||||||||||||||
Discover Bank (Rate is fixed until 08/09/2023, at which point, the rate becomes USSW5 + 173) (Banks) | (b | ) | 4.682% | 08/09/2028 | 2,000,000 | 2,090,000 | ||||||||||||||
E*TRADE Financial Corp. (Capital Markets) | 2.950% | 08/24/2022 | 1,800,000 | 1,832,871 | ||||||||||||||||
Ford Motor Credit Co. LLC (Consumer Finance) | 3.157% | 08/04/2020 | 1,400,000 | 1,405,532 | ||||||||||||||||
Ford Motor Credit Co. LLC (Consumer Finance) | QL + 88 | 10/12/2021 | 2,000,000 | 1,982,839 | ||||||||||||||||
General Motors Financial Co., Inc. (Consumer Finance) | 3.200% | 07/06/2021 | 2,000,000 | 2,027,156 | ||||||||||||||||
General Motors Financial Co., Inc. (Consumer Finance) | QL + 99 | 01/05/2023 | 2,000,000 | 1,988,041 | ||||||||||||||||
General Motors Financial Co., Inc. (Consumer Finance) | 4.350% | 01/17/2027 | 1,000,000 | 1,050,180 | ||||||||||||||||
Goldman Sachs Group, Inc. / The (Capital Markets) | 3.750% | 05/22/2025 | 2,000,000 | 2,121,043 | ||||||||||||||||
Goldman Sachs Group, Inc. / The (Rate is fixed until 04/23/2028, at which point, the rate becomes QL + 116) (Capital Markets) | (b | ) | 3.814% | 04/23/2029 | 2,000,000 | 2,142,285 | ||||||||||||||
Intercontinental Exchange, Inc. (Capital Markets) | 3.750% | 12/01/2025 | 1,000,000 | 1,076,298 | ||||||||||||||||
Jefferies Group LLC / Jefferies Group Capital Finance, Inc. (Diversified Financial Svs.) | 4.850% | 01/15/2027 | 1,800,000 | 1,986,021 | ||||||||||||||||
JPMorgan Chase & Co. (Banks) | 3.900% | 07/15/2025 | 2,023,000 | 2,183,083 | ||||||||||||||||
JPMorgan Chase & Co. (Banks) | 3.625% | 12/01/2027 | 2,000,000 | 2,110,754 | ||||||||||||||||
Marsh & McLennan Cos., Inc. (Insurance) | 3.500% | 06/03/2024 | 1,400,000 | 1,469,606 | ||||||||||||||||
Morgan Stanley (Capital Markets) | QL + 140 | 10/24/2023 | 1,260,000 | 1,287,198 | ||||||||||||||||
Morgan Stanley (Capital Markets) | 3.950% | 04/23/2027 | 1,000,000 | 1,071,730 | ||||||||||||||||
Morgan Stanley (Rate is fixed until 01/23/2029, at which point, the rate becomes QL + 163) (Capital Markets) | (b | ) | 4.431% | 01/23/2030 | 2,000,000 | 2,259,106 | ||||||||||||||
Nasdaq, Inc. (Capital Markets) | 3.850% | 06/30/2026 | 2,000,000 | 2,140,822 | ||||||||||||||||
PNC Bank NA (Banks) | 2.700% | 10/22/2029 | 2,500,000 | 2,494,889 | ||||||||||||||||
Progressive Corp. / The (Insurance) | 2.450% | 01/15/2027 | 900,000 | 902,770 | ||||||||||||||||
Royal Bank of Scotland Group PLC (Rate is fixed until 11/01/2024, at which point, the rate becomes H15T5Y + 210) (Banks) | (b | ) | 3.754% | 11/01/2029 | 1,200,000 | 1,224,473 | ||||||||||||||
Synchrony Financial (Consumer Finance) | 4.250% | 08/15/2024 | 1,000,000 | 1,066,463 | ||||||||||||||||
Synchrony Financial (Consumer Finance) | 5.150% | 03/19/2029 | 2,000,000 | 2,272,823 | ||||||||||||||||
TD Ameritrade Holding Corp. (Capital Markets) | 3.300% | 04/01/2027 | 2,000,000 | 2,092,741 | ||||||||||||||||
Teachers Insurance & Annuity Association of America (Insurance) | (a | ) | 4.270% | 05/15/2047 | 900,000 | 1,020,499 | ||||||||||||||
Truist Bank (Banks) | 3.625% | 09/16/2025 | 1,000,000 | 1,064,791 | ||||||||||||||||
Wells Fargo & Co. (Banks) | 3.000% | 04/22/2026 | 1,000,000 | 1,027,230 | ||||||||||||||||
Wells Fargo & Co. (Rate is fixed until 10/30/2029, at which point, the rate becomes QL + 117) (Banks) | (b | ) | 2.879% | 10/30/2030 | 2,000,000 | 2,010,848 | ||||||||||||||
Wells Fargo & Co. (Banks) | 4.650% | 11/04/2044 | 1,000,000 | 1,172,711 | ||||||||||||||||
Westpac Banking Corp. (Banks) | QL + 57 | 01/11/2023 | 1,000,000 | 1,002,421 | ||||||||||||||||
Westpac Banking Corp. (Rate is fixed until 11/23/2026, at which point, the rate becomes USISDA05 + 224) (Banks) | (b | ) | 4.322% | 11/23/2031 | 1,800,000 | 1,904,079 | ||||||||||||||
|
| |||||||||||||||||||
73,835,067 | ||||||||||||||||||||
|
| |||||||||||||||||||
HEALTH CARE – 6.6% | ||||||||||||||||||||
AbbVie, Inc. (Biotechnology) | (a | ) | 3.200% | 11/21/2029 | 1,000,000 | 1,016,674 | ||||||||||||||
AbbVie, Inc. (Biotechnology) | (a | ) | 4.250% | 11/21/2049 | 3,000,000 | 3,157,330 | ||||||||||||||
Bayer U.S. Finance II LLC (Pharmaceuticals) | (a | ) | 4.875% | 06/25/2048 | 2,000,000 | 2,286,198 | ||||||||||||||
Bristol-Myers Squibb Co. (Pharmaceuticals) | (a | ) | 3.875% | 08/15/2025 | 2,000,000 | 2,162,029 | ||||||||||||||
CVS Health Corp. (Health Care Providers & Svs.) | 4.100% | 03/25/2025 | 3,000,000 | 3,217,926 | ||||||||||||||||
HCA, Inc. (Health Care Providers & Svs.) | 5.250% | 06/15/2026 | 1,000,000 | 1,119,302 | ||||||||||||||||
Quest Diagnostics, Inc. (Health Care Providers & Svs.) | 2.950% | 06/30/2030 | 3,000,000 | 3,002,112 | ||||||||||||||||
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 3.875% | 12/15/2028 | 3,000,000 | 3,317,191 | ||||||||||||||||
|
| |||||||||||||||||||
19,278,762 | ||||||||||||||||||||
|
| |||||||||||||||||||
INDUSTRIALS – 7.9% | ||||||||||||||||||||
Air Lease Corp. (Trading Companies & Distributors) | 2.250% | 01/15/2023 | 2,000,000 | 2,000,519 | ||||||||||||||||
Aircastle Ltd. (Trading Companies & Distributors) | 4.125% | 05/01/2024 | 4,000,000 | 4,199,576 | ||||||||||||||||
Boeing Co. / The (Aerospace & Defense) | 3.200% | 03/01/2029 | 3,000,000 | 3,124,445 | ||||||||||||||||
Burlington Northern Santa Fe LLC (Road & Rail) | 4.550% | 09/01/2044 | 900,000 | 1,069,962 | ||||||||||||||||
FedEx Corp. (Air Freight & Logistics) | 4.900% | 01/15/2034 | 2,000,000 | 2,279,743 | ||||||||||||||||
Lockheed Martin Corp. (Aerospace & Defense) | 3.600% | 03/01/2035 | 1,000,000 | 1,091,375 | ||||||||||||||||
Northrop Grumman Corp. (Aerospace & Defense) | 2.930% | 01/15/2025 | 2,500,000 | 2,575,575 | ||||||||||||||||
Parker-Hannifin Corp. (Machinery) | 4.200% | 11/21/2034 | 1,400,000 | 1,547,152 | ||||||||||||||||
Union Pacific Corp. (Road & Rail) | 3.250% | 08/15/2025 | 1,000,000 | 1,053,245 | ||||||||||||||||
United Rentals North America, Inc. (Trading Companies & Distributors) | 5.250% | 01/15/2030 | 2,000,000 | 2,152,600 | ||||||||||||||||
Waste Connections, Inc. (Commercial Svs. & Supplies) | 4.250% | 12/01/2028 | 1,800,000 | 2,004,748 | ||||||||||||||||
|
| |||||||||||||||||||
23,098,940 | ||||||||||||||||||||
|
| |||||||||||||||||||
INFORMATION TECHNOLOGY – 1.7% | ||||||||||||||||||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 2.200% | 09/11/2029 | 1,000,000 | 979,713 | ||||||||||||||||
Hewlett Packard Enterprise Co. (Tech. Hardware, Storage & Periph.) | 4.900% | 10/15/2025 | 850,000 | 943,855 |
6 | (continued) |
Ohio National Fund, Inc. | ON Bond Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||||
INFORMATION TECHNOLOGY (continued) | ||||||||||||||||||||
Microsoft Corp. (Software) | 4.100% | 02/06/2037 | $ 900,000 | $ | 1,061,708 | |||||||||||||||
Microsoft Corp. (Software) | 4.450% | 11/03/2045 | 900,000 | 1,123,522 | ||||||||||||||||
Seagate HDD Cayman (Tech. Hardware, Storage & Periph.) | 4.875% | 03/01/2024 | 900,000 | 958,876 | ||||||||||||||||
|
| |||||||||||||||||||
5,067,674 | ||||||||||||||||||||
|
| |||||||||||||||||||
MATERIALS – 9.3% | ||||||||||||||||||||
Anglo American Capital PLC (Metals & Mining) | (a | ) | 4.750% | 04/10/2027 | 1,000,000 | 1,092,675 | ||||||||||||||
Anglo American Capital PLC (Metals & Mining) | (a | ) | 4.000% | 09/11/2027 | 900,000 | 942,041 | ||||||||||||||
Cemex S.A.B de C.V. (Construction Materials) | (a | ) | 5.450% | 11/19/2029 | 600,000 | 627,000 | ||||||||||||||
Dow Chemical Co. / The (Chemicals) | 4.250% | 10/01/2034 | 2,000,000 | 2,188,298 | ||||||||||||||||
Kinross Gold Corp. (Metals & Mining) | 4.500% | 07/15/2027 | 3,000,000 | 3,142,500 | ||||||||||||||||
Martin Marietta Materials, Inc. (Construction Materials) | 3.500% | 12/15/2027 | 3,000,000 | 3,111,409 | ||||||||||||||||
Mosaic Co. / The (Chemicals) | 4.050% | 11/15/2027 | 3,000,000 | 3,111,841 | ||||||||||||||||
Nutrien Ltd. (Chemicals) | 4.200% | 04/01/2029 | 1,900,000 | 2,092,562 | ||||||||||||||||
Packaging Corp. of America (Containers & Packaging) | 3.400% | 12/15/2027 | 2,000,000 | 2,091,540 | ||||||||||||||||
RPM International, Inc. (Chemicals) | 4.250% | 01/15/2048 | 3,000,000 | 2,936,969 | ||||||||||||||||
Steel Dynamics, Inc. (Metals & Mining) | 2.800% | 12/15/2024 | 2,000,000 | 2,010,932 | ||||||||||||||||
Syngenta Finance N.V. (Chemicals) | (a | ) | 5.182% | 04/24/2028 | 1,000,000 | 1,076,569 | ||||||||||||||
Yamana Gold, Inc. (Metals & Mining) | 4.625% | 12/15/2027 | 2,381,000 | 2,488,192 | ||||||||||||||||
|
| |||||||||||||||||||
26,912,528 | ||||||||||||||||||||
|
| |||||||||||||||||||
REAL ESTATE – 4.6% | ||||||||||||||||||||
Alexandria Real Estate Equities, Inc. (Equity REIT) | 3.950% | 01/15/2028 | 1,000,000 | 1,073,214 | ||||||||||||||||
Crown Castle International Corp. (Equity REIT) | 4.000% | 03/01/2027 | 1,800,000 | 1,941,562 | ||||||||||||||||
Federal Realty Investment Trust (Equity REIT) | 3.250% | 07/15/2027 | 2,000,000 | 2,071,332 | ||||||||||||||||
Healthcare Realty Trust, Inc. (Equity REIT) | 3.875% | 05/01/2025 | 1,400,000 | 1,472,116 | ||||||||||||||||
Healthcare Realty Trust, Inc. (Equity REIT) | 3.625% | 01/15/2028 | 1,000,000 | 1,035,561 | ||||||||||||||||
Healthpeak Properties, Inc. (Equity REIT) | 4.000% | 06/01/2025 | 1,500,000 | 1,611,269 | ||||||||||||||||
Highwoods Realty LP (Equity REIT) | 4.200% | 04/15/2029 | 2,000,000 | 2,148,605 | ||||||||||||||||
Welltower, Inc. (Equity REIT) | 4.250% | 04/01/2026 | 1,000,000 | 1,087,923 | ||||||||||||||||
Welltower, Inc. (Equity REIT) | 2.700% | 02/15/2027 | 1,000,000 | 1,003,101 | ||||||||||||||||
|
| |||||||||||||||||||
13,444,683 | ||||||||||||||||||||
|
| |||||||||||||||||||
UTILITIES – 6.7% | ||||||||||||||||||||
AEP Transmission Co. LLC (Electric Utilities) | 4.000% | 12/01/2046 | 1,000,000 | 1,109,783 | ||||||||||||||||
AEP Transmission Co. LLC (Electric Utilities) | 3.750% | 12/01/2047 | 1,351,000 | 1,449,487 | ||||||||||||||||
American Water Capital Corp. (Water Utilities) | 4.300% | 12/01/2042 | 1,400,000 | 1,559,641 | ||||||||||||||||
Berkshire Hathaway Energy Co. (Multi-Utilities) | 3.250% | 04/15/2028 | 1,900,000 | 2,006,357 | ||||||||||||||||
Commonwealth Edison Co. (Electric Utilities) | 4.350% | 11/15/2045 | 2,000,000 | 2,339,996 | ||||||||||||||||
Connecticut Light & Power Co. / The (Electric Utilities) | 4.000% | 04/01/2048 | 1,000,000 | 1,144,696 | ||||||||||||||||
Duke Energy Corp. (Electric Utilities) | 3.750% | 09/01/2046 | 1,000,000 | 1,031,191 | ||||||||||||||||
Eversource Energy (Electric Utilities) | 3.300% | 01/15/2028 | 1,000,000 | 1,029,343 | ||||||||||||||||
FirstEnergy Transmission LLC (Electric Utilities) | (a | ) | 4.550% | 04/01/2049 | 1,800,000 | 2,057,045 | ||||||||||||||
Florida Power & Light Co. (Electric Utilities) | 3.150% | 10/01/2049 | 2,000,000 | 2,015,793 | ||||||||||||||||
Jersey Central Power & Light Co. (Electric Utilities) | (a | ) | 4.300% | 01/15/2026 | 900,000 | 979,085 | ||||||||||||||
Public Service Electric & Gas Co. (Multi-Utilities) | 3.600% | 12/01/2047 | 1,500,000 | 1,621,001 | ||||||||||||||||
Southwest Gas Corp. (Gas Utilities) | 3.875% | 04/01/2022 | 1,000,000 | 1,031,994 | ||||||||||||||||
|
| |||||||||||||||||||
19,375,412 | ||||||||||||||||||||
|
| |||||||||||||||||||
Total Corporate Bonds (Cost $246,383,085) | $ | 259,776,183 | ||||||||||||||||||
|
| |||||||||||||||||||
U.S. Treasury Obligations – 3.8% | Rate | Maturity | Face Amount | Value | ||||||||||||||||
U.S. Treasury Note | 1.625% | 11/15/2022 | $9,000,000 | $ | 9,001,686 | |||||||||||||||
U.S. Treasury Note | 2.375% | 11/15/2049 | 2,000,000 | 1,991,012 | ||||||||||||||||
|
| |||||||||||||||||||
Total U.S. Treasury Obligations (Cost $11,094,278) | $ | 10,992,698 | ||||||||||||||||||
|
| |||||||||||||||||||
Asset-Backed Securities – 2.7% | Rate | Maturity | Face Amount | Value | ||||||||||||||||
INDUSTRIALS – 2.7% | ||||||||||||||||||||
Air Canada2017-1 Class B Pass Through Trust | (a | ) | 3.700% | 01/15/2026 | $2,255,291 | $ | 2,248,333 | |||||||||||||
American Airlines2015-1 Class B Pass Through Trust | 3.700% | 05/01/2023 | 2,869,559 | 2,888,774 | ||||||||||||||||
United Airlines2016-1 Class B Pass Through Trust | 3.650% | 01/07/2026 | 1,568,750 | 1,592,861 | ||||||||||||||||
United Airlines2019-2 Class AA Pass Through Trust | 2.700% | 05/01/2032 | 1,000,000 | 1,002,873 | ||||||||||||||||
|
| |||||||||||||||||||
Total Asset-Backed Securities (Cost $7,696,045) | $ | 7,732,841 | ||||||||||||||||||
|
| |||||||||||||||||||
Sovereign Issues – 1.1% | Rate | Maturity | Face Amount | Value | ||||||||||||||||
Mexico Government International Bond | 3.750% | 01/11/2028 | $3,000,000 | $ | 3,117,000 | |||||||||||||||
|
| |||||||||||||||||||
Total Sovereign Issues (Cost $2,989,301) | $ | 3,117,000 | ||||||||||||||||||
|
|
7 | (continued) |
Ohio National Fund, Inc. | ON Bond Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Money Market Funds – 1.1% | Shares | Value | ||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class, 1.734% | (c | ) | 3,249,260 | $ | 3,249,584 | |||||||
|
| |||||||||||
Total Money Market Funds (Cost $3,249,584) | $ | 3,249,584 | ||||||||||
|
| |||||||||||
Total Investments – 98.1% (Cost $271,412,293) | (d | ) | $ | 284,868,306 | ||||||||
Other Assets in Excess of Liabilities – 1.9% | 5,596,563 | |||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 290,464,869 | ||||||||||
|
|
Percentages are stated as a percent of net assets. | ||
Abbreviations: | ||
H15T5Y: | U.S. Treasury Yield Curve RateT-Note Constant Maturity 5 Year, 1.690% at 12/31/2019 | |
QL: | Quarterly U.S. LIBOR Rate, 1.908% at 12/31/2019 | |
USISDA05: | USD ICE Swap Rate 11:00am NY 5 Year, 1.690% at 12/31/2019 | |
USSW5: | USD Swap Semi 30/360 5 Year, 1.729% at 12/31/2019 |
Footnotes:
(a) | Security exempt from registration under Regulation D of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers under Rule 144A. At December 31, 2019, the value of these securities totaled $23,654,348, or 8.1% of the Portfolio’s net assets. |
(b) | Security is a fixed-then-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 December 31, 2019. |
(c) | Rate represents theseven-day yield at December 31, 2019. |
(d) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
8 |
Ohio National Fund, Inc. | ON BlackRock Balanced Allocation Portfolio (Unaudited) |
Objective/Strategy |
The ON BlackRock Balanced Allocation Portfolio(formerly the ON Omni Portfolio)seeks a high level of long-term total return consistent with preservation of capital by investing in stocks, bonds, and money market instruments.
Performance as of December 31, 2019 |
Average Annual returns | ||||
One year | 29.29 | % | ||
Five years | 8.53 | % | ||
Ten years | 10.36 | % |
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-free1-877-781-6392.
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 0.53% per the Fund’s prospectus dated November 22, 2019. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2019 can be found in the Portfolio’s Financial Highlights.
Comments fromSub-Adviser/Adviser |
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A.For the year ended December 31, 2019, the Portfolio returned 29.29% versus 31.49% for its benchmark, the S&P 500 Index. The Portfolio’s secondary benchmark, which is comprised of 70% S&P 500 Index and 30% ICE BofA Merrill Lynch U.S. Corporate Master Index, returned 26.30% for the year-ended December 31, 2019.
Effective February 1, 2019, BlackRock Investment Management, LLC (“BlackRock”) replaced the Portfolio’s previoussub-adviser, Suffolk Capital Management, LLC (“Suffolk”). In conjunction with the change insub-adviser, the name of the Portfolio was changed from ON Omni Portfolio to ON BlackRock Balanced Allocation Portfolio. The Portfolio’s primary and secondary benchmarks were unchanged. The fixed income sleeve of the Portfolio was managed throughout the year by the Fund’s adviser, Ohio National Investments, Inc. (“ONI”).
For the period from January 1, 2019 to January 31, 2019 (the “firstone-month period”), the Portfolio returned 10.84% versus 8.01% for the S&P 500 Index and 6.24% for the secondary benchmark, respectively.
For the period from February 1, 2019 to December 31, 2019 (the “latter eleven-month period”), the Portfolio returned 16.65% versus 21.73% for the S&P 500 Index and 18.88% for the secondary benchmark, respectively.
Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?
A. Suffolk/ONI:For the firstone-month period, there were no market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance.
A. BlackRock/ONI:After outperforming its benchmark during the first few months of the latter eleven-month period, the Portfolio was challenged through the remainder of the year, underperforming the benchmark in each of the last three quarters. Despite driving the outperformance earlier in the year, the Portfolio’s trend- and sentiment-based insights struggled considerably during the latter half of the year and were responsible for the bulk of the Portfolio’s underperformance. A series of inflection points, largely motivated by shifts in global trade conversations and central bank policy, created a difficult environment for the Portfolio’s trend-based insights. Similarly, these sharp, macro-driven inflection points often resulted in a disconnect between stock returns and company-specific sentiment, creating a challenging environment for the Portfolio’s sentiment insights. Cross-market sentiment insights struggled in particular, specifically those seeking to capture the sentiment of informed bond and credit default swap investors.
Investment insights designed to evaluate company fundamentals hindered relative returns considerably through the end of the third quarter. Most specifically, insights seeking to identify relative value opportunities were challenged early in the year, as investors sought out speculative growth opportunities at the expense of company fundamentals. In the final months of the year, investor mentality shifted as they began to seek out pockets of relative value, leading to a slight performance improvement for this group of signals. Despite the modest rebound in performance late in the year, in aggregate, the Portfolio’s relative value insights were significant detractors from relative returns for the latter eleven-month period. Also evaluating company fundamentals, the Portfolio’s quality insights were mixed throughout the period. Though this group of insights detracted modestly in aggregate, struggling somewhat in the final months of the year, select signals added meaningfully to relative returns and provided ballast to performance among fundamental signals. Stronger performance among many of the Portfolio’s quality insights was unsurprising, given investor preference for sustainable, high-quality businesses, amidst increased market uncertainty.
As it relates to the fixed income sleeve, the Portfolio benefited from declining interest rates and tighter corporate bond spreads during the period. The Portfolio’s exposure to lower quality corporate bonds benefited performance versus the fixed income portion 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 security selection, was there anything specific regarding the Portfolio’s strategy that caused deviation from the benchmark?
A. Suffolk/ONI:For the firstone-month period, both sector allocation and security selection contributed to relative outperformance during the period. Stock selection in Health Care and Consumer Discretionary contributed to relative outperformance, while stock selection in Communication Services detracted from relative performance. For the fixed income portion of the Portfolio, the Information Technology, Utilities and Energy sectors had positive contributions to performance, while the Consumer Discretionary sector detracted from performance. Security selection in the Energy, Information Technology and Financials sectors also contributed to performance.
A. BlackRock/ONI:The portfolio management team targets a relatively sector-neutral approach and seeks to derive the majority of its alpha from security selection. That being said, modest underweights to the Energy and Real Estate sectors throughout much of the latter eleven-month period contributed to relative performance, as both sectors underperformed the broader market. On the other hand, modest overweights to the Health Care and Industrials sectors detracted from
9 | (continued) |
Ohio National Fund, Inc. | ON BlackRock Balanced Allocation Portfolio (Unaudited) (Continued) |
performance, given the weaker performance of these areas. The majority of relative performance was driven by security selection decisions. Stock selection was additive in the Health Care sector, especially among pharmaceutical and biotechnology companies. In contrast, selection within the Financials sector, in particular the capital markets industry, was a notable detractor from relative performance. Stock selection in the Communication Services and Industrials sectors, especially among road and rail companies, also hindered relative returns.(1)
For the fixed income portion of the Portfolio, the Consumer Staples, Financial, Materials, and Energy sectors had positive contributions to performance, while the Communication Services and Consumer Discretionary sectors detracted from performance relative to the fixed income benchmark. Security selection in each of these sectors contributed to the relative performance. The fixed income portion of the Portfolio underperformed the S&P 500 Index for all performance periods.(1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. Suffolk/ONI:Top equity contributors for the firstone-month period included Sage Therapeutics, Inc., as it announced positive results for a Phase 3 trial in postpartum depression. Celgene Corp. contributed, as it was acquired by Bristol-Myers Squibb Co. Aerie Pharmaceuticals, Inc., another top contributor, expects to achieve its revenue target for Rhopressa, its new glaucoma drug, and announced positive pilot study results for Rhopressa in Japan, a significant new market opportunity. Top contributors for the fixed income portion of the Portfolio for the firstone-month period included Canadian Natural Resources Ltd. 4.950% due 2047, The Williams Cos., Inc. 5.400% due 2044, and Synchrony Financial 4.250% due 2024.
Alphabet, Inc. Class C detracted most from relative performance for the firstone-month period, as there were concerns Google would lose its share in online advertising to Amazon.com, Inc. (“Amazon”) and might withdraw its news service in Europe if a “snippet” tax were implemented. A position in Apple, Inc., underweight due to expected phone pricing cuts, was another relative detractor. A third relative detractor was Amazon, as the Portfolio was underweight due to concerns of weaker U.S.e-commerce market share gain and belief that increased regulation ofe-commerce in India would negatively impact growth. For the fixed income portion of the Portfolio, the largest detractors for the firstone-month period were Charter Communications Operating LLC / Charter Communications Operating Capital Corp. 5.050% due 2029, Intercontinental Exchange, Inc. 2.750% due 2020, andKLA-Tencor Corp. 3.375% due 2019.
A. BlackRock/ONI:An underweighted Pfizer, Inc. position was the largest contributor to relative performance for the latter eleven-month period, as the pharmaceuticals company struggled during much of 2019. Pfizer’s stock price declined on increasing concerns around the potential of restrictive drug pricing legislation. Additionally, the stock price dropped when the company announced in late July that it would be combining parts of its business with Mylan N.V. The Portfolio’s positioning in Biogen, Inc. was also beneficial to results. An underweight to the stock early in the year was additive, as the share price plummeted on news that its experimental Alzheimer’s drug was unlikely to be effective, and that research on the drug was being stopped. Moving the position to an overweight towards the end of the year further bolstered results, as Biogen’s shares spiked on news that there were new, promising results from research on the Alzheimer’s drug. News that the company was requesting approval from the Federal Drug Administration (“FDA”) on the experimental therapy led to renewed hope among investors and a resulting surge in the stock price. The Portfolio’s positioning in Medtronic PLC (“Medtronic”) further supported relative performance. An overweight position in the middle of the year was particularly beneficial, as Medtronic’s stock price climbed towards the
end of second quarter and into the third. Encouraging forward guidance from the company, along with positive earnings announcements, supported the company’s share price. Several promising research projects, including one project to develop memory chips enabling improvement in human memory, helped support investor sentiment on the future of the company as well. Top contributors on the fixed income portion of the Portfolio included American International Group, Inc. 3.875% due 2035, Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc. 4.700% due 2036, and Kinross Gold Corp. 4.500% due 2027. (1)
In contrast, the Portfolio’s positioning in ConocoPhillips was the top individual detractor for the latter eleven-month period. Maintaining an overweight to the company through the end of the second quarter and much of the third was a drag on relative returns, as downward pressure on oil prices created concerns around the future profitability of the company. An unsuccessful exploration-drilling project in Louisiana was an additional hit to the company, as the expensive operation did not yield viable oil reserves, and the company was forced to sell the acreage. In a similar vein, the Portfolio’s overweight to Halliburton Co. during the first half of the year further dampened relative returns, as there was significant downward pricing pressure on oilfield servicing and fracking due to depressed oil prices and exploration and production activity. This pricing pressure and reduced activity caused share prices to slump. Lastly, the Portfolio’s overweight position in The Charles Schwab Corp. was a persistent drag on results throughout the period. The company struggled amidst increased pricing pressure that some analysts believe could act as a headwind and stifle company revenue growth going forward. For the fixed income portion of the Portfolio, the largest detractors were AEP Transmission Co. LLC 3.750% due 2047, Expedia Group, Inc. 3.250% due 2030, and Public Service Electric & Gas Co. 3.600% due 2047.(1)
Q. How did the Portfolio’s use of derivative instruments and initial public offerings (IPOs), if any, impact performance?
A. Suffolk/ONI:The Portfolio did not hold any derivatives or participate in any IPOs during the firstone-month period.
A. BlackRock/ONI:Pursuant to the Portfolio’s investment strategy, futures contracts were used in the latter eleven-month period to equitize cash and prevent a cash drag on performance. The futures did not meaningfully impact relative performance, however, due to their index characteristics and size in relation to the Portfolio’s net assets. The Portfolio participated in two IPOs during the latter eleven-month period, which detracted 11 basis points relative to the benchmark.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2019. |
10 | (continued) |
Ohio National Fund, Inc. | ON BlackRock Balanced Allocation 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.
Past performance is no guarantee of future results. Redemption of fund shares could have tax implications unique to each shareholder.
Portfolio Composition as of December 31, 2019(1) |
% of Net Assets | ||||||||
Common Stocks(4) |
| 72.6 | ||||||
Corporate Bonds(4) |
| 25.9 | ||||||
Asset-Backed Securities(4) |
| 0.2 | ||||||
Rights(4) | 0.0 | |||||||
Money Market Funds and Other Net Assets |
| 1.3 | ||||||
|
| |||||||
100.0 | ||||||||
|
|
Top 10 Portfolio Holdings as of December 31, 2019 (1) (2) (3) |
% of Net Assets | ||||
1. Microsoft Corp. | 3.7 | |||
2. Apple, Inc. | 3.4 | |||
3. Amazon.com, Inc. | 2.4 | |||
4. Mastercard, Inc. Class A | 1.5 | |||
5. Facebook, Inc. Class A | 1.5 | |||
6. Johnson & Johnson | 1.4 | |||
7. Exxon Mobil Corp. | 1.4 | |||
8. Berkshire Hathaway, Inc. | 1.4 | |||
9. Alphabet, Inc. Class C | 1.1 | |||
10. Alphabet, Inc. Class A | 1.1 |
(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, Corporate Bonds, Asset-Backed Securities, Rights): |
% of Net Assets | ||||
Information Technology | 17.8 | |||
Financials | 16.7 | |||
Health Care | 13.2 | |||
Communication Services | 9.3 | |||
Industrials | 8.6 | |||
Consumer Discretionary | 8.5 | |||
Consumer Staples | 7.0 | |||
Utilities | 6.3 | |||
Energy | 5.6 | |||
Real Estate | 2.9 | |||
Materials | 2.8 | |||
|
| |||
98.7 | ||||
|
|
11
Ohio National Fund, Inc. | ON BlackRock Balanced Allocation Portfolio |
Schedule of Investments | December 31, 2019 |
Common Stocks – 72.6% | Shares | Value | ||||||||||
COMMUNICATION SERVICES – 7.8% | ||||||||||||
Activision Blizzard, Inc. (Entertainment) | 1,189 | $ | 70,650 | |||||||||
Alphabet, Inc. Class A (Interactive Media & Svs.) | (a | ) | 4,278 | 5,729,910 | ||||||||
Alphabet, Inc. Class C (Interactive Media & Svs.) | (a | ) | 4,468 | 5,973,805 | ||||||||
AMC Networks, Inc. Class A (Media) | (a | ) | 16,166 | 638,557 | ||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 78,801 | 3,079,543 | ||||||||||
CenturyLink, Inc. (Diversified Telecom. Svs.) | 19,885 | 262,681 | ||||||||||
Cinemark Holdings, Inc. (Entertainment) | 5,609 | 189,865 | ||||||||||
Comcast Corp. Class A (Media) | 42,398 | 1,906,638 | ||||||||||
Discovery, Inc. Class A (Media) | (a | ) | 25,553 | 836,605 | ||||||||
Electronic Arts, Inc. (Entertainment) | (a | ) | 4,957 | 532,927 | ||||||||
Facebook, Inc. Class A (Interactive Media & Svs.) | (a | ) | 39,089 | 8,023,017 | ||||||||
Interpublic Group of Cos., Inc. / The (Media) | 77,221 | 1,783,805 | ||||||||||
Live Nation Entertainment, Inc. (Entertainment) | (a | ) | 3,009 | 215,053 | ||||||||
Netflix, Inc. (Entertainment) | (a | ) | 1,090 | 352,691 | ||||||||
Pinterest, Inc. Class A (Interactive Media & Svs.) | (a | ) | 8,621 | 160,696 | ||||||||
Sirius XM Holdings, Inc. (Media) | 258,574 | 1,848,804 | ||||||||||
Take-Two Interactive Software, Inc. (Entertainment) | (a | ) | 4,912 | 601,376 | ||||||||
Telephone & Data Systems, Inc. (Wireless Telecom. Svs.) | 29,185 | 742,175 | ||||||||||
TripAdvisor, Inc. (Interactive Media & Svs.) | 7,332 | 222,746 | ||||||||||
Twitter, Inc. (Interactive Media & Svs.) | (a | ) | 9,434 | 302,360 | ||||||||
United States Cellular Corp. (Wireless Telecom. Svs.) | (a | ) | 14,743 | 534,139 | ||||||||
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 75,440 | 4,632,016 | ||||||||||
ViacomCBS, Inc. Class A (Media) | 2,342 | 105,086 | ||||||||||
ViacomCBS, Inc. Class B (Media) | 20,941 | 878,894 | ||||||||||
Walt Disney Co. / The (Entertainment) | 14,850 | 2,147,756 | ||||||||||
Yelp, Inc. (Interactive Media & Svs.) | (a | ) | 7,888 | 274,739 | ||||||||
Zynga, Inc. Class A (Entertainment) | (a | ) | 71,634 | 438,400 | ||||||||
|
| |||||||||||
42,484,934 | ||||||||||||
|
| |||||||||||
CONSUMER DISCRETIONARY – 7.0% | ||||||||||||
Alibaba Group Holding Ltd. – ADR (Internet & Direct Marketing Retail) | (a | ) | 950 | 201,495 | ||||||||
Amazon.com, Inc. (Internet & Direct Marketing Retail) | (a | ) | 7,119 | 13,154,773 | ||||||||
AutoNation, Inc. (Specialty Retail) | (a | ) | 1,318 | 64,094 | ||||||||
Booking Holdings, Inc. (Internet & Direct Marketing Retail) | (a | ) | 38 | 78,042 | ||||||||
Boyd Gaming Corp. (Hotels, Restaurants & Leisure) | 12,985 | 388,771 | ||||||||||
Carnival Corp. (Hotels, Restaurants & Leisure) | 17,676 | 898,471 | ||||||||||
Choice Hotels International, Inc. (Hotels, Restaurants & Leisure) | 15,103 | 1,562,103 | ||||||||||
D.R. Horton, Inc. (Household Durables) | 16,858 | 889,259 | ||||||||||
Darden Restaurants, Inc. (Hotels, Restaurants & Leisure) | 17,286 | 1,884,347 | ||||||||||
Dollar General Corp. (Multiline Retail) | 12,435 | 1,939,611 | ||||||||||
Dunkin’ Brands Group, Inc. (Hotels, Restaurants & Leisure) | 493 | 37,241 | ||||||||||
Extended Stay America, Inc. (Hotels, Restaurants & Leisure) | 8,367 | 124,334 | ||||||||||
Ford Motor Co. (Automobiles) | 102,907 | 957,035 | ||||||||||
General Motors Co. (Automobiles) | 32,783 | 1,199,858 | ||||||||||
Gentex Corp. (Auto Components) | 1,760 | 51,005 | ||||||||||
Goodyear Tire & Rubber Co. / The (Auto Components) | 32,888 | 511,573 | ||||||||||
H&R Block, Inc. (Diversified Consumer Svs.) | 26,408 | 620,060 | ||||||||||
Harley-Davidson, Inc. (Automobiles) | 898 | 33,397 | ||||||||||
Home Depot, Inc. / The (Specialty Retail) | 22,097 | 4,825,543 | ||||||||||
McDonald’s Corp. (Hotels, Restaurants & Leisure) | 15,919 | 3,145,754 | ||||||||||
NIKE, Inc. Class B (Textiles, Apparel & Luxury Goods) | 30,248 | 3,064,425 | ||||||||||
O’Reilly Automotive, Inc. (Specialty Retail) | (a | ) | 642 | 281,363 | ||||||||
Penn National Gaming, Inc. (Hotels, Restaurants & Leisure) | (a | ) | 5,424 | 138,637 | ||||||||
Pool Corp. (Distributors) | 271 | 57,555 | ||||||||||
Ralph Lauren Corp. (Textiles, Apparel & Luxury Goods) | 3,510 | 411,442 | ||||||||||
Ross Stores, Inc. (Specialty Retail) | 899 | 104,661 | ||||||||||
Target Corp. (Multiline Retail) | 7,420 | 951,318 | ||||||||||
Texas Roadhouse, Inc. (Hotels, Restaurants & Leisure) | 6,880 | 387,482 | ||||||||||
Wyndham Destinations, Inc. (Hotels, Restaurants & Leisure) | 1,419 | 73,348 | ||||||||||
|
| |||||||||||
38,036,997 | ||||||||||||
|
| |||||||||||
CONSUMER STAPLES – 4.9% | ||||||||||||
Altria Group, Inc. (Tobacco) | 25,413 | 1,268,363 | ||||||||||
Church & Dwight Co., Inc. (Household Products) | 17,446 | 1,227,152 | ||||||||||
Coca-Cola Co. / The (Beverages) | 24,307 | 1,345,392 | ||||||||||
Coca-Cola European Partners PLC (Beverages) | 7,076 | 360,027 | ||||||||||
Costco Wholesale Corp. (Food & Staples Retailing) | 18,008 | 5,292,911 | ||||||||||
Estee Lauder Cos., Inc. / The Class A (Personal Products) | 14,349 | 2,963,643 | ||||||||||
Hershey Co. / The (Food Products) | 22,587 | 3,319,837 |
12 | (continued) |
Ohio National Fund, Inc. | ON BlackRock Balanced Allocation Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Common Stocks (Continued) | Shares | Value | ||||||||||
CONSUMER STAPLES (continued) | ||||||||||||
Hormel Foods Corp. (Food Products) | 10,462 | $ | 471,941 | |||||||||
Molson Coors Brewing Co. Class B (Beverages) | 6,453 | 347,817 | ||||||||||
Monster Beverage Corp. (Beverages) | (a | ) | 7,411 | 470,969 | ||||||||
PepsiCo, Inc. (Beverages) | 22,333 | 3,052,251 | ||||||||||
Performance Food Group Co. (Food & Staples Retailing) | (a | ) | 3,855 | 198,455 | ||||||||
Philip Morris International, Inc. (Tobacco) | 8,901 | 757,386 | ||||||||||
Procter & Gamble Co. / The (Household Products) | 36,954 | 4,615,555 | ||||||||||
Walmart, Inc. (Food & Staples Retailing) | 9,682 | 1,150,609 | ||||||||||
|
| |||||||||||
26,842,308 | ||||||||||||
|
| |||||||||||
ENERGY – 2.9% | ||||||||||||
ConocoPhillips (Oil, Gas & Consumable Fuels) | 14,220 | 924,726 | ||||||||||
Continental Resources, Inc. (Oil, Gas & Consumable Fuels) | 8,316 | 285,239 | ||||||||||
Devon Energy Corp. (Oil, Gas & Consumable Fuels) | 3,429 | 89,051 | ||||||||||
EOG Resources, Inc. (Oil, Gas & Consumable Fuels) | 27,147 | 2,273,833 | ||||||||||
Exxon Mobil Corp. (Oil, Gas & Consumable Fuels) | 109,865 | 7,666,380 | ||||||||||
Marathon Oil Corp. (Oil, Gas & Consumable Fuels) | 7,110 | 96,554 | ||||||||||
Marathon Petroleum Corp. (Oil, Gas & Consumable Fuels) | 27,031 | 1,628,618 | ||||||||||
National Oilwell Varco, Inc. (Energy Equip. & Svs.) | 2,153 | 53,933 | ||||||||||
Patterson-UTI Energy, Inc. (Energy Equip. & Svs.) | 10,136 | 106,428 | ||||||||||
Phillips 66 (Oil, Gas & Consumable Fuels) | 3,560 | 396,619 | ||||||||||
SRC Energy, Inc. (Oil, Gas & Consumable Fuels) | (a | ) | 93,855 | 386,683 | ||||||||
TechnipFMC PLC (Energy Equip. & Svs.) | 5,635 | 120,814 | ||||||||||
Transocean Ltd. (Energy Equip. & Svs.) | (a | ) | 26,286 | 180,848 | ||||||||
Valero Energy Corp. (Oil, Gas & Consumable Fuels) | 10,919 | 1,022,564 | ||||||||||
Williams Cos., Inc. / The (Oil, Gas & Consumable Fuels) | 30,304 | 718,811 | ||||||||||
|
| |||||||||||
15,951,101 | ||||||||||||
|
| |||||||||||
FINANCIALS – 9.9% | ||||||||||||
Affiliated Managers Group, Inc. (Capital Markets) | 5,517 | 467,511 | ||||||||||
Aflac, Inc. (Insurance) | 3,053 | 161,504 | ||||||||||
Allstate Corp. / The (Insurance) | 20,829 | 2,342,221 | ||||||||||
Ally Financial, Inc. (Consumer Finance) | 25,127 | 767,881 | ||||||||||
American Express Co. (Consumer Finance) | 16,265 | 2,024,830 | ||||||||||
Aon PLC (Insurance) | 849 | 176,838 | ||||||||||
Arthur J. Gallagher & Co. (Insurance) | 8,561 | 815,264 | ||||||||||
AXA Equitable Holdings, Inc. (Diversified Financial Svs.) | 4,308 | 106,752 | ||||||||||
Bank of America Corp. (Banks) | 112,692 | 3,969,012 | ||||||||||
Bank of New York Mellon Corp. / The (Capital Markets) | 14,262 | 717,806 | ||||||||||
Bank OZK (Banks) | 3,849 | 117,414 | ||||||||||
Berkshire Hathaway, Inc. Class B (Diversified Financial Svs.) | (a | ) | 32,768 | 7,421,952 | ||||||||
Brown & Brown, Inc. (Insurance) | 9,327 | 368,230 | ||||||||||
Capital One Financial Corp. (Consumer Finance) | 15,284 | 1,572,876 | ||||||||||
Charles Schwab Corp. / The (Capital Markets) | 29,377 | 1,397,170 | ||||||||||
Cincinnati Financial Corp. (Insurance) | 10,702 | 1,125,315 | ||||||||||
CIT Group, Inc. (Banks) | 17,078 | 779,269 | ||||||||||
Citigroup, Inc. (Banks) | 991 | 79,171 | ||||||||||
Citizens Financial Group, Inc. (Banks) | 12,950 | 525,900 | ||||||||||
CME Group, Inc. (Capital Markets) | 6,299 | 1,264,335 | ||||||||||
Cullen / Frost Bankers, Inc. (Banks) | 9,591 | 937,808 | ||||||||||
East West Bancorp, Inc. (Banks) | 6,341 | 308,807 | ||||||||||
Essent Group Ltd. (Thrifts & Mortgage Finance) | 4,246 | 220,750 | ||||||||||
Evercore, Inc. Class A (Capital Markets) | 1,469 | 109,822 | ||||||||||
FactSet Research Systems, Inc. (Capital Markets) | 4,956 | 1,329,695 | ||||||||||
First American Financial Corp. (Insurance) | 18,488 | 1,078,220 | ||||||||||
First Citizens BancShares, Inc. Class A (Banks) | 276 | 146,890 | ||||||||||
First Horizon National Corp. (Banks) | 3,321 | 54,996 | ||||||||||
Globe Life, Inc. (Insurance) | 10,933 | 1,150,698 | ||||||||||
Hartford Financial Services Group, Inc. / The (Insurance) | 1,213 | 73,714 | ||||||||||
Intercontinental Exchange, Inc. (Capital Markets) | 28,451 | 2,633,140 | ||||||||||
Invesco Ltd. (Capital Markets) | 627 | 11,273 | ||||||||||
JPMorgan Chase & Co. (Banks) | 34,547 | 4,815,852 | ||||||||||
Lincoln National Corp. (Insurance) | 7,835 | 462,343 | ||||||||||
Marsh & McLennan Cos., Inc. (Insurance) | 5,176 | 576,658 | ||||||||||
MetLife, Inc. (Insurance) | 3,994 | 203,574 | ||||||||||
MGIC Investment Corp. (Thrifts & Mortgage Finance) | 2,584 | 36,615 | ||||||||||
Moody’s Corp. (Capital Markets) | 4,489 | 1,065,733 | ||||||||||
Morgan Stanley (Capital Markets) | 39,505 | 2,019,496 | ||||||||||
Nasdaq, Inc. (Capital Markets) | 1,145 | 122,630 | ||||||||||
PNC Financial Services Group, Inc. / The (Banks) | 810 | 129,300 |
13 | (continued) |
Ohio National Fund, Inc. | ON BlackRock Balanced Allocation Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Common Stocks (Continued) | Shares | Value | ||||||||||
FINANCIALS (continued) | ||||||||||||
Progressive Corp. / The (Insurance) | 6,457 | $ | 467,422 | |||||||||
Prudential Financial, Inc. (Insurance) | 17,350 | 1,626,389 | ||||||||||
Reinsurance Group of America, Inc. (Insurance) | 275 | 44,842 | ||||||||||
S&P Global, Inc. (Capital Markets) | 11,752 | 3,208,884 | ||||||||||
SEI Investments Co. (Capital Markets) | 1,136 | 74,385 | ||||||||||
TD Ameritrade Holding Corp. (Capital Markets) | 8,121 | 403,614 | ||||||||||
Travelers Cos., Inc. / The (Insurance) | 954 | 130,650 | ||||||||||
Truist Financial Corp. (Banks) | 2,977 | 167,665 | ||||||||||
U.S. Bancorp (Banks) | 12,454 | 738,398 | ||||||||||
Unum Group (Insurance) | 8,448 | 246,344 | ||||||||||
W.R. Berkley Corp. (Insurance) | 830 | 57,353 | ||||||||||
Wells Fargo & Co. (Banks) | 46,071 | 2,478,620 | ||||||||||
Willis Towers Watson PLC (Insurance) | 1,917 | 387,119 | ||||||||||
|
| |||||||||||
53,720,950 | ||||||||||||
|
| |||||||||||
HEALTH CARE – 10.6% | ||||||||||||
Abbott Laboratories (Health Care Equip. & Supplies) | 2,280 | 198,041 | ||||||||||
AbbVie, Inc. (Biotechnology) | 33,982 | 3,008,766 | ||||||||||
Alexion Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 2,648 | 286,381 | ||||||||
Allergan PLC (Pharmaceuticals) | 857 | 163,833 | ||||||||||
AmerisourceBergen Corp. (Health Care Providers & Svs.) | 8,093 | 688,067 | ||||||||||
Amgen, Inc. (Biotechnology) | 8,100 | 1,952,667 | ||||||||||
Anthem, Inc. (Health Care Providers & Svs.) | 8,390 | 2,534,032 | ||||||||||
Biogen, Inc. (Biotechnology) | (a | ) | 3,178 | 943,008 | ||||||||
Bristol-Myers Squibb Co. (Pharmaceuticals) | 55,642 | 3,571,660 | ||||||||||
Cigna Corp. (Health Care Providers & Svs.) | 1,108 | 226,575 | ||||||||||
CVS Health Corp. (Health Care Providers & Svs.) | 35,008 | 2,600,744 | ||||||||||
DexCom, Inc. (Health Care Equip. & Supplies) | (a | ) | 1,310 | 286,549 | ||||||||
Edwards Lifesciences Corp. (Health Care Equip. & Supplies) | (a | ) | 8,270 | 1,929,308 | ||||||||
Gilead Sciences, Inc. (Biotechnology) | 83,777 | 5,443,830 | ||||||||||
Hologic, Inc. (Health Care Equip. & Supplies) | (a | ) | 20,085 | 1,048,638 | ||||||||
Humana, Inc. (Health Care Providers & Svs.) | 1,995 | 731,207 | ||||||||||
IDEXX Laboratories, Inc. (Health Care Equip. & Supplies) | (a | ) | 3,722 | 971,926 | ||||||||
Incyte Corp. (Biotechnology) | (a | ) | 2,110 | 184,245 | ||||||||
Johnson & Johnson (Pharmaceuticals) | 53,260 | 7,769,036 | ||||||||||
McKesson Corp. (Health Care Providers & Svs.) | 1,066 | 147,449 | ||||||||||
Medtronic PLC (Health Care Equip. & Supplies) | 11,015 | 1,249,652 | ||||||||||
Merck & Co., Inc. (Pharmaceuticals) | 47,043 | 4,278,561 | ||||||||||
Mylan N.V. (Pharmaceuticals) | (a | ) | 20,960 | 421,296 | ||||||||
Pfizer, Inc. (Pharmaceuticals) | 67,026 | 2,626,079 | ||||||||||
Regeneron Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 2,941 | 1,104,287 | ||||||||
Stryker Corp. (Health Care Equip. & Supplies) | 20,963 | 4,400,972 | ||||||||||
Thermo Fisher Scientific, Inc. (Life Sciences Tools & Svs.) | 2,252 | 731,607 | ||||||||||
United Therapeutics Corp. (Biotechnology) | (a | ) | 1,964 | 172,989 | ||||||||
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 11,133 | 3,272,879 | ||||||||||
Veeva Systems, Inc. Class A (Health Care Technology) | (a | ) | 3,419 | 480,917 | ||||||||
Vertex Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 7,153 | 1,566,149 | ||||||||
WellCare Health Plans, Inc. (Health Care Providers & Svs.) | (a | ) | 743 | 245,346 | ||||||||
Zoetis, Inc. (Pharmaceuticals) | 17,493 | 2,315,199 | ||||||||||
|
| |||||||||||
57,551,895 | ||||||||||||
|
| |||||||||||
INDUSTRIALS – 6.9% | ||||||||||||
3M Co. (Industrial Conglomerates) | 2,372 | 418,468 | ||||||||||
AGCO Corp. (Machinery) | 2,981 | 230,282 | ||||||||||
Alaska Air Group, Inc. (Airlines) | 1,284 | 86,991 | ||||||||||
Allegion PLC (Building Products) | 23,896 | 2,976,008 | ||||||||||
AMETEK, Inc. (Electrical Equip.) | 16,055 | 1,601,326 | ||||||||||
Boeing Co. / The (Aerospace & Defense) | 633 | 206,206 | ||||||||||
Canadian Pacific Railway Ltd. (Road & Rail) | 591 | 150,675 | ||||||||||
Copart, Inc. (Commercial Svs. & Supplies) | (a | ) | 875 | 79,573 | ||||||||
CSX Corp. (Road & Rail) | 6,696 | 484,523 | ||||||||||
Curtiss-Wright Corp. (Aerospace & Defense) | 562 | 79,180 | ||||||||||
Delta Air Lines, Inc. (Airlines) | 4,407 | 257,721 | ||||||||||
Eaton Corp. PLC (Electrical Equip.) | 957 | 90,647 | ||||||||||
EMCOR Group, Inc. (Construction & Engineering) | 514 | 44,358 | ||||||||||
Expeditors International of Washington, Inc. (Air Freight & Logistics) | 2,492 | 194,426 | ||||||||||
Fluor Corp. (Construction & Engineering) | 11,136 | 210,248 | ||||||||||
GATX Corp. (Trading Companies & Distributors) | 12,940 | 1,072,079 | ||||||||||
HEICO Corp. (Aerospace & Defense) | 80 | 9,132 | ||||||||||
Hexcel Corp. (Aerospace & Defense) | 486 | 35,629 |
14 | (continued) |
Ohio National Fund, Inc. | ON BlackRock Balanced Allocation Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Common Stocks (Continued) | Shares | Value | ||||||||||
INDUSTRIALS (continued) | ||||||||||||
Honeywell International, Inc. (Industrial Conglomerates) | 9,412 | $ | 1,665,924 | |||||||||
Hubbell, Inc. (Electrical Equip.) | 6,470 | 956,395 | ||||||||||
IDEX Corp. (Machinery) | 6,266 | 1,077,752 | ||||||||||
Ingersoll-Rand PLC (Machinery) | 1,811 | 240,718 | ||||||||||
Landstar System, Inc. (Road & Rail) | 5,460 | 621,730 | ||||||||||
Lockheed Martin Corp. (Aerospace & Defense) | 14,023 | 5,460,276 | ||||||||||
MasTec, Inc. (Construction & Engineering) | (a | ) | 9,835 | 631,014 | ||||||||
Northrop Grumman Corp. (Aerospace & Defense) | 3,284 | 1,129,597 | ||||||||||
Old Dominion Freight Line, Inc. (Road & Rail) | 875 | 166,058 | ||||||||||
Oshkosh Corp. (Machinery) | 23,318 | 2,207,049 | ||||||||||
PACCAR, Inc. (Machinery) | 57,706 | 4,564,545 | ||||||||||
Raytheon Co. (Aerospace & Defense) | 14,352 | 3,153,708 | ||||||||||
Resideo Technologies, Inc. (Building Products) | (a | ) | 5,722 | 68,263 | ||||||||
Robert Half International, Inc. (Professional Svs.) | 22,831 | 1,441,778 | ||||||||||
Roper Technologies, Inc. (Industrial Conglomerates) | 5,046 | 1,787,445 | ||||||||||
Snap-on, Inc. (Machinery) | 3,121 | 528,697 | ||||||||||
Teledyne Technologies, Inc. (Aerospace & Defense) | (a | ) | 5,635 | 1,952,753 | ||||||||
United Airlines Holdings, Inc. (Airlines) | (a | ) | 16,147 | 1,422,389 | ||||||||
United Parcel Service, Inc. Class B (Air Freight & Logistics) | 3,514 | 411,349 | ||||||||||
Watsco, Inc. (Trading Companies & Distributors) | 203 | 36,570 | ||||||||||
Xylem, Inc. (Machinery) | 1,065 | 83,911 | ||||||||||
|
| |||||||||||
37,835,393 | ||||||||||||
|
| |||||||||||
INFORMATION TECHNOLOGY – 16.9% | ||||||||||||
Accenture PLC Class A (IT Svs.) | 1,548 | 325,962 | ||||||||||
Adobe, Inc. (Software) | (a | ) | 5,713 | 1,884,205 | ||||||||
Amdocs Ltd. (IT Svs.) | 5,124 | 369,902 | ||||||||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 63,859 | 18,752,195 | ||||||||||
Applied Materials, Inc. (Semiconductors & Equip.) | 30,563 | 1,865,566 | ||||||||||
Automatic Data Processing, Inc. (IT Svs.) | 20,874 | 3,559,017 | ||||||||||
Avnet, Inc. (Electronic Equip., Instr. & Comp.) | 5,250 | 222,810 | ||||||||||
Broadcom, Inc. (Semiconductors & Equip.) | 245 | 77,425 | ||||||||||
Broadridge Financial Solutions, Inc. (IT Svs.) | 5,250 | 648,585 | ||||||||||
CDW Corp. (Electronic Equip., Instr. & Comp.) | 14,102 | 2,014,330 | ||||||||||
Cirrus Logic, Inc. (Semiconductors & Equip.) | (a | ) | 12,951 | 1,067,292 | ||||||||
Cisco Systems, Inc. (Communications Equip.) | 42,148 | 2,021,418 | ||||||||||
GoDaddy, Inc. Class A (IT Svs.) | (a | ) | 2,714 | 184,335 | ||||||||
HP, Inc. (Tech. Hardware, Storage & Periph.) | 21,867 | 449,367 | ||||||||||
Intel Corp. (Semiconductors & Equip.) | 80,517 | 4,818,942 | ||||||||||
International Business Machines Corp. (IT Svs.) | 527 | 70,639 | ||||||||||
Intuit, Inc. (Software) | 11,159 | 2,922,877 | ||||||||||
Jack Henry & Associates, Inc. (IT Svs.) | 4,992 | 727,185 | ||||||||||
Lam Research Corp. (Semiconductors & Equip.) | 6,854 | 2,004,110 | ||||||||||
Manhattan Associates, Inc. (Software) | (a | ) | 1,625 | 129,594 | ||||||||
Mastercard, Inc. Class A (IT Svs.) | 27,731 | 8,280,199 | ||||||||||
Micron Technology, Inc. (Semiconductors & Equip.) | (a | ) | 13,666 | 734,957 | ||||||||
Microsoft Corp. (Software) | 128,375 | 20,244,738 | ||||||||||
National Instruments Corp. (Electronic Equip., Instr. & Comp.) | 25,874 | 1,095,505 | ||||||||||
NVIDIA Corp. (Semiconductors & Equip.) | 11,337 | 2,667,596 | ||||||||||
Paychex, Inc. (IT Svs.) | 40,515 | 3,446,206 | ||||||||||
Paylocity Holding Corp. (Software) | (a | ) | 1,019 | 123,116 | ||||||||
PayPal Holdings, Inc. (IT Svs.) | (a | ) | 4,990 | 539,768 | ||||||||
QUALCOMM, Inc. (Semiconductors & Equip.) | 10,236 | 903,122 | ||||||||||
salesforce.com, Inc. (Software) | (a | ) | 18,160 | 2,953,542 | ||||||||
ServiceNow, Inc. (Software) | (a | ) | 6,548 | 1,848,631 | ||||||||
Skyworks Solutions, Inc. (Semiconductors & Equip.) | 3,251 | 392,981 | ||||||||||
Texas Instruments, Inc. (Semiconductors & Equip.) | 12,883 | 1,652,760 | ||||||||||
Visa, Inc. (IT Svs.) | 15,336 | 2,881,634 | ||||||||||
Workday, Inc. Class A (Software) | (a | ) | 2,585 | 425,103 | ||||||||
|
| |||||||||||
92,305,614 | ||||||||||||
|
| |||||||||||
MATERIALS – 1.6% | ||||||||||||
Air Products & Chemicals, Inc. (Chemicals) | 4,549 | 1,068,970 | ||||||||||
Alcoa Corp. (Metals & Mining) | (a | ) | 25,652 | 551,775 | ||||||||
CF Industries Holdings, Inc. (Chemicals) | 6,438 | 307,350 | ||||||||||
Domtar Corp. (Paper & Forest Products) | 20,924 | 800,134 | ||||||||||
Ecolab, Inc. (Chemicals) | 7,752 | 1,496,058 | ||||||||||
Graphic Packaging Holding Co. (Containers & Packaging) | 8,397 | 139,810 | ||||||||||
LyondellBasell Industries N.V. Class A (Chemicals) | 5,406 | 510,759 | ||||||||||
Mosaic Co. / The (Chemicals) | 30,254 | 654,697 |
15 | (continued) |
Ohio National Fund, Inc. | ON BlackRock Balanced Allocation Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Common Stocks (Continued) | Shares | Value | ||||||||||
MATERIALS (continued) | ||||||||||||
Packaging Corp. of America (Containers & Packaging) | 3,452 | $ | 386,589 | |||||||||
PPG Industries, Inc. (Chemicals) | 1,986 | 265,111 | ||||||||||
Reliance Steel & Aluminum Co. (Metals & Mining) | 3,496 | 418,681 | ||||||||||
ScottsMiracle-Gro Co. / The (Chemicals) | 419 | 44,489 | ||||||||||
Sherwin-Williams Co. / The (Chemicals) | 2,112 | 1,232,436 | ||||||||||
Steel Dynamics, Inc. (Metals & Mining) | 3,707 | 126,186 | ||||||||||
Westrock Co. (Containers & Packaging) | 12,269 | 526,463 | ||||||||||
|
| |||||||||||
8,529,508 | ||||||||||||
|
| |||||||||||
REAL ESTATE – 1.7% | ||||||||||||
Boston Properties, Inc. (Equity REIT) | 1,949 | 268,689 | ||||||||||
Brandywine Realty Trust (Equity REIT) | 3,451 | 54,353 | ||||||||||
Equity Residential (Equity REIT) | 6,102 | 493,774 | ||||||||||
Host Hotels & Resorts, Inc. (Equity REIT) | 39,399 | 730,851 | ||||||||||
Invitation Homes, Inc. (Equity REIT) | 6,243 | 187,103 | ||||||||||
Lamar Advertising Co. Class A (Equity REIT) | 10,777 | 961,955 | ||||||||||
Macerich Co. / The (Equity REIT) | 2,178 | 58,632 | ||||||||||
National Retail Properties, Inc. (Equity REIT) | 8,267 | 443,277 | ||||||||||
Outfront Media, Inc. (Equity REIT) | 6,805 | 182,510 | ||||||||||
Park Hotels & Resorts, Inc. (Equity REIT) | 53,370 | 1,380,682 | ||||||||||
Prologis, Inc. (Equity REIT) | 8,316 | 741,288 | ||||||||||
Regency Centers Corp. (Equity REIT) | 2,043 | 128,893 | ||||||||||
RLJ Lodging Trust (Equity REIT) | 30,746 | 544,819 | ||||||||||
Simon Property Group, Inc. (Equity REIT) | 20,545 | 3,060,383 | ||||||||||
STAG Industrial, Inc. (Equity REIT) | 3,986 | 125,838 | ||||||||||
Ventas, Inc. (Equity REIT) | 1,180 | 68,133 | ||||||||||
|
| |||||||||||
9,431,180 | ||||||||||||
|
| |||||||||||
UTILITIES – 2.4% | ||||||||||||
Ameren Corp. (Multi-Utilities) | 16,997 | 1,305,370 | ||||||||||
American Water Works Co., Inc. (Water Utilities) | 13,268 | 1,629,974 | ||||||||||
Atmos Energy Corp. (Gas Utilities) | 1,232 | 137,811 | ||||||||||
Consolidated Edison, Inc. (Multi-Utilities) | 5,628 | 509,165 | ||||||||||
DTE Energy Co. (Multi-Utilities) | 30,434 | 3,952,464 | ||||||||||
Pinnacle West Capital Corp. (Electric Utilities) | 7,470 | 671,777 | ||||||||||
Southwest Gas Holdings, Inc. (Gas Utilities) | 6,333 | 481,118 | ||||||||||
Xcel Energy, Inc. (Electric Utilities) | 68,261 | 4,333,891 | ||||||||||
|
| |||||||||||
13,021,570 | ||||||||||||
|
| |||||||||||
Total Common Stocks (Cost $350,769,169) | $ | 395,711,450 | ||||||||||
|
|
Corporate Bonds – 25.9% | Rate | Maturity | Face Amount | Value | ||||||||||||||
COMMUNICATION SERVICES – 1.5% | ||||||||||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 3.400 | % | 05/15/2025 | $1,000,000 | $ | 1,047,427 | ||||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 4.900 | % | 08/15/2037 | 1,000,000 | 1,148,836 | |||||||||||||
Comcast Corp. (Media) | 3.250 | % | 11/01/2039 | 2,000,000 | 2,026,273 | |||||||||||||
Discovery Communications LLC (Media) | 3.950 | % | 03/20/2028 | 100,000 | 106,622 | |||||||||||||
Rogers Communications, Inc. (Wireless Telecom. Svs.) | 3.700 | % | 11/15/2049 | 1,400,000 | 1,408,560 | |||||||||||||
Time Warner Cable LLC (Media) | 6.550 | % | 05/01/2037 | 150,000 | 183,630 | |||||||||||||
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 4.500 | % | 08/10/2033 | 1,000,000 | 1,166,849 | |||||||||||||
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 4.400 | % | 11/01/2034 | 1,000,000 | 1,157,006 | |||||||||||||
ViacomCBS, Inc. (Media) | 4.250 | % | 09/01/2023 | 150,000 | 159,655 | |||||||||||||
|
| |||||||||||||||||
8,404,858 | ||||||||||||||||||
|
| |||||||||||||||||
CONSUMER DISCRETIONARY – 1.5% | ||||||||||||||||||
Amazon.com, Inc. (Internet & Direct Marketing Retail) | 3.875 | % | 08/22/2037 | 1,000,000 | 1,133,848 | |||||||||||||
Aptiv PLC (Auto Components) | 4.350 | % | 03/15/2029 | 150,000 | 162,558 | |||||||||||||
Booking Holdings, Inc. (Internet & Direct Marketing Retail) | 3.550 | % | 03/15/2028 | 200,000 | 212,865 | |||||||||||||
Expedia Group, Inc. (Internet & Direct Marketing Retail) | (b) | 3.250 | % | 02/15/2030 | 1,000,000 | 961,003 | ||||||||||||
Hasbro, Inc. (Leisure Products) | 3.900 | % | 11/19/2029 | 2,000,000 | 2,011,989 | |||||||||||||
KB Home (Household Durables) | 4.800 | % | 11/15/2029 | 200,000 | 204,000 | |||||||||||||
Lear Corp. (Auto Components) | 5.250 | % | 01/15/2025 | 3,172,000 | 3,260,848 | |||||||||||||
|
| |||||||||||||||||
7,947,111 | ||||||||||||||||||
|
| |||||||||||||||||
CONSUMER STAPLES – 2.1% | ||||||||||||||||||
Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide, Inc. (Beverages) | 4.700 | % | 02/01/2036 | 2,000,000 | 2,306,704 | |||||||||||||
B.A.T. Capital Corp. (Tobacco) | 3.215 | % | 09/06/2026 | 1,000,000 | 1,006,558 | |||||||||||||
Campbell Soup Co. (Food Products) | 4.150 | % | 03/15/2028 | 2,000,000 | 2,168,782 | |||||||||||||
Diageo Capital PLC (Beverages) | 2.375 | % | 10/24/2029 | 2,000,000 | 1,970,293 | |||||||||||||
Keurig Dr Pepper, Inc. (Beverages) | 3.430 | % | 06/15/2027 | 1,000,000 | 1,040,857 |
16 | (continued) |
Ohio National Fund, Inc. | ON BlackRock Balanced Allocation Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||
CONSUMER STAPLES (continued) | ||||||||||||||||||
Kraft Heinz Foods Co. (Food Products) | (b) | 4.875 | % | 02/15/2025 | $1,635,000 | $ | 1,679,877 | |||||||||||
Mead Johnson Nutrition Co. (Food Products) | 3.000 | % | 11/15/2020 | 100,000 | 100,873 | |||||||||||||
Philip Morris International, Inc. (Tobacco) | 3.375 | % | 08/11/2025 | 100,000 | 105,085 | |||||||||||||
Philip Morris International, Inc. (Tobacco) | 3.375 | % | 08/15/2029 | 1,000,000 | 1,048,639 | |||||||||||||
|
| |||||||||||||||||
11,427,668 | ||||||||||||||||||
|
| |||||||||||||||||
ENERGY – 2.7% | ||||||||||||||||||
Apache Corp. (Oil, Gas & Consumable Fuels) | 4.375 | % | 10/15/2028 | 1,000,000 | 1,044,009 | |||||||||||||
Baker Hughes, a GE Co. LLC / Baker HughesCo-Obligor, Inc. (Energy Equip. & Svs.) | 3.337 | % | 12/15/2027 | 1,000,000 | 1,042,658 | |||||||||||||
BP Capital Markets America, Inc. (Oil, Gas & Consumable Fuels) | 3.017 | % | 01/16/2027 | 1,000,000 | 1,034,986 | |||||||||||||
Chevron Corp. (Oil, Gas & Consumable Fuels) | 2.895 | % | 03/03/2024 | 100,000 | 103,577 | |||||||||||||
Concho Resources, Inc. (Oil, Gas & Consumable Fuels) | 3.750 | % | 10/01/2027 | 1,000,000 | 1,050,501 | |||||||||||||
Continental Resources, Inc. (Oil, Gas & Consumable Fuels) | 5.000 | % | 09/15/2022 | 2,718,000 | 2,736,113 | |||||||||||||
Energy Transfer Operating LP (Oil, Gas & Consumable Fuels) | 4.950 | % | 06/15/2028 | 1,000,000 | 1,094,490 | |||||||||||||
EOG Resources, Inc. (Oil, Gas & Consumable Fuels) | 3.150 | % | 04/01/2025 | 100,000 | 104,915 | |||||||||||||
EQM Midstream Partners LP (Oil, Gas & Consumable Fuels) | 4.750 | % | 07/15/2023 | 100,000 | 100,253 | |||||||||||||
Exxon Mobil Corp. (Oil, Gas & Consumable Fuels) | 4.114 | % | 03/01/2046 | 100,000 | 117,143 | |||||||||||||
Halliburton Co. (Energy Equip. & Svs.) | 4.850 | % | 11/15/2035 | 100,000 | 112,910 | |||||||||||||
Kinder Morgan Energy Partners LP (Oil, Gas & Consumable Fuels) | 4.150 | % | 03/01/2022 | 75,000 | 77,876 | |||||||||||||
Kinder Morgan, Inc. (Oil, Gas & Consumable Fuels) | 5.300 | % | 12/01/2034 | 1,000,000 | 1,175,934 | |||||||||||||
Marathon Oil Corp. (Oil, Gas & Consumable Fuels) | 3.850 | % | 06/01/2025 | 150,000 | 158,703 | |||||||||||||
Marathon Petroleum Corp. (Oil, Gas & Consumable Fuels) | 3.800 | % | 04/01/2028 | 150,000 | 157,710 | |||||||||||||
MPLX LP (Oil, Gas & Consumable Fuels) | (b) | 6.375 | % | 05/01/2024 | 1,000,000 | 1,045,602 | ||||||||||||
ONEOK, Inc. (Oil, Gas & Consumable Fuels) | 4.000 | % | 07/13/2027 | 150,000 | 159,571 | |||||||||||||
Peabody Energy Corp. (Oil, Gas & Consumable Fuels) | (b) | 6.000 | % | 03/31/2022 | 200,000 | 195,000 | ||||||||||||
Shell International Finance BV (Oil, Gas & Consumable Fuels) | 4.000 | % | 05/10/2046 | 1,500,000 | 1,706,676 | |||||||||||||
Williams Cos., Inc. / The (Oil, Gas & Consumable Fuels) | 3.350 | % | 08/15/2022 | 109,000 | 111,628 | |||||||||||||
Williams Cos., Inc. / The (Oil, Gas & Consumable Fuels) | 3.750 | % | 06/15/2027 | 1,000,000 | 1,041,889 | |||||||||||||
Williams Cos., Inc. / The (Oil, Gas & Consumable Fuels) | 5.400 | % | 03/04/2044 | 100,000 | 112,434 | |||||||||||||
|
| |||||||||||||||||
14,484,578 | ||||||||||||||||||
|
| |||||||||||||||||
FINANCIALS – 6.8% | ||||||||||||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Diversified Financial Svs.) | 3.300 | % | 01/23/2023 | 1,000,000 | 1,024,465 | |||||||||||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust (Diversified Financial Svs.) | 4.875 | % | 01/16/2024 | 1,000,000 | 1,083,272 | |||||||||||||
American International Group, Inc. (Insurance) | 3.875 | % | 01/15/2035 | 150,000 | 158,940 | |||||||||||||
Bank of America Corp. (Banks) | 3.875 | % | 08/01/2025 | 1,000,000 | 1,073,851 | |||||||||||||
Bank of Montreal (Rate is fixed until 12/15/2027, at which point, the rate becomes USSW5 + 143) (Banks) | (c) | 3.803 | % | 12/15/2032 | 200,000 | 208,590 | ||||||||||||
Bank of New York Mellon Corp. / The (Capital Markets) | 3.300 | % | 08/23/2029 | 200,000 | 209,092 | |||||||||||||
Berkshire Hathaway, Inc. (Diversified Financial Svs.) | 3.125 | % | 03/15/2026 | 100,000 | 105,299 | |||||||||||||
CIT Bank NA (Rate is fixed until 09/27/2024, at which point, the rate becomes SOFR + 172) (Banks) | (c) | 2.969 | % | 09/27/2025 | 2,000,000 | 1,995,000 | ||||||||||||
Citigroup, Inc. (Banks) | 4.400 | % | 06/10/2025 | 100,000 | 108,602 | |||||||||||||
Citigroup, Inc. (Rate is fixed until 07/24/2027, at which point, the rate becomes QL + 139) (Banks) | (c) | 3.668 | % | 07/24/2028 | 1,000,000 | 1,064,847 | ||||||||||||
Citigroup, Inc. (Rate is fixed until 11/05/2029, at which point, the rate becomes SOFR + 142) (Banks) | (c) | 2.976 | % | 11/05/2030 | 1,000,000 | 1,014,020 | ||||||||||||
Comerica, Inc. (Banks) | 3.800 | % | 07/22/2026 | 100,000 | 105,302 | |||||||||||||
Deutsche Bank AG (Capital Markets) | 2.700 | % | 07/13/2020 | 200,000 | 200,138 | |||||||||||||
Discover Bank (Banks) | 2.450 | % | 09/12/2024 | 1,000,000 | 996,867 | |||||||||||||
Discover Bank (Rate is fixed until 08/09/2023, at which point, the rate becomes USSW5 + 173) (Banks). | (c) | 4.682 | % | 08/09/2028 | 250,000 | 261,250 | ||||||||||||
E*TRADE Financial Corp. (Capital Markets) | 2.950 | % | 08/24/2022 | 200,000 | 203,652 | |||||||||||||
Ford Motor Credit Co. LLC (Consumer Finance) | 3.157 | % | 08/04/2020 | 100,000 | 100,395 | |||||||||||||
General Motors Financial Co., Inc. (Consumer Finance) | 4.200 | % | 03/01/2021 | 1,500,000 | 1,532,259 | |||||||||||||
General Motors Financial Co., Inc. (Consumer Finance) | 3.200 | % | 07/06/2021 | 100,000 | 101,358 | |||||||||||||
Goldman Sachs Group, Inc. / The (Capital Markets) | 3.750 | % | 05/22/2025 | 1,000,000 | 1,060,522 | |||||||||||||
Goldman Sachs Group, Inc. / The (Rate is fixed until 06/05/2027, at which point, the rate becomes QL + 151) (Capital Markets) | (c) | 3.691 | % | 06/05/2028 | 1,000,000 | 1,061,539 | ||||||||||||
Jefferies Group LLC / Jefferies Group Capital Finance, Inc. (Diversified Financial Svs.) | 4.850 | % | 01/15/2027 | 200,000 | 220,669 | |||||||||||||
JPMorgan Chase & Co. (Banks) | 3.250 | % | 09/23/2022 | 100,000 | 103,410 | |||||||||||||
JPMorgan Chase & Co. (Banks) | 3.625 | % | 12/01/2027 | 1,000,000 | 1,055,377 | |||||||||||||
Marsh & McLennan Cos., Inc. (Insurance) | 3.500 | % | 06/03/2024 | 100,000 | 104,972 | |||||||||||||
Morgan Stanley (Capital Markets) | 3.950 | % | 04/23/2027 | 1,000,000 | 1,071,730 | |||||||||||||
Nasdaq, Inc. (Capital Markets) | 3.850 | % | 06/30/2026 | 1,000,000 | 1,070,411 | |||||||||||||
Northern Trust Corp. (Capital Markets) | 3.950 | % | 10/30/2025 | 200,000 | 217,497 | |||||||||||||
PNC Bank NA (Banks) | 3.250 | % | 06/01/2025 | 500,000 | 524,241 | |||||||||||||
PNC Bank NA (Banks) | 4.050 | % | 07/26/2028 | 1,950,000 | 2,138,212 | |||||||||||||
Principal Financial Group, Inc. (Rate is fixed until 05/15/2020, at which point, the rate becomes QL + 304) (Insurance) | (c) | 4.700 | % | 05/15/2055 | 4,250,000 | 4,265,937 | ||||||||||||
Progressive Corp. / The (Insurance) | 2.450 | % | 01/15/2027 | 100,000 | 100,308 | |||||||||||||
Prudential Financial, Inc. (Rate is fixed until 09/15/2022, at which point, the rate becomes QL + 418) (Insurance) | (c) | 5.875 | % | 09/15/2042 | 4,000,000 | 4,300,000 | ||||||||||||
Raymond James Financial, Inc. (Capital Markets) | 3.625 | % | 09/15/2026 | 150,000 | 158,400 |
17 | (continued) |
Ohio National Fund, Inc. | ON BlackRock Balanced Allocation Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||
FINANCIALS (continued) | ||||||||||||||||||
Royal Bank of Scotland Group PLC (Rate is fixed until 11/01/2024, at which point, the rate becomes H15T5Y + 210) (Banks) | (c) | 3.754 | % | 11/01/2029 | $ | 800,000 | $ | 816,315 | ||||||||||
S&P Global, Inc. (Capital Markets) | 4.000 | % | 06/15/2025 | 150,000 | 163,010 | |||||||||||||
Synchrony Financial (Consumer Finance) | 4.250 | % | 08/15/2024 | 1,000,000 | 1,066,463 | |||||||||||||
TD Ameritrade Holding Corp. (Capital Markets) | 3.300 | % | 04/01/2027 | 1,000,000 | 1,046,371 | |||||||||||||
Teachers Insurance & Annuity Association of America (Insurance) | (b) | 4.270 | % | 05/15/2047 | 100,000 | 113,389 | ||||||||||||
Truist Bank (Rate is fixed until 09/17/2024, at which point, the rate becomes H15T5Y + 115) (Banks) | (c) | 2.636 | % | 09/17/2029 | 3,000,000 | 2,996,837 | ||||||||||||
Volkswagen Group of America Finance LLC (Consumer Finance) | (b) | 4.625 | % | 11/13/2025 | 200,000 | 221,209 | ||||||||||||
Wells Fargo & Co. (Banks) | 3.500 | % | 03/08/2022 | 75,000 | 77,445 | |||||||||||||
Wells Fargo & Co. (Banks) | 3.000 | % | 04/22/2026 | 1,500,000 | 1,540,844 | |||||||||||||
Westpac Banking Corp. (Rate is fixed until 11/23/2026, at which point, the rate becomes USISDA05 + 224) (Banks) | (c) | 4.322 | % | 11/23/2031 | 200,000 | 211,564 | ||||||||||||
|
| |||||||||||||||||
37,253,871 | ||||||||||||||||||
|
| |||||||||||||||||
HEALTH CARE – 2.6% | ||||||||||||||||||
AbbVie, Inc. (Biotechnology) | 2.900 | % | 11/06/2022 | 1,000,000 | 1,020,058 | |||||||||||||
AbbVie, Inc. (Biotechnology) | (b) | 3.200 | % | 11/21/2029 | 1,000,000 | 1,016,674 | ||||||||||||
AbbVie, Inc. (Biotechnology) | (b) | 4.250 | % | 11/21/2049 | 2,000,000 | 2,104,887 | ||||||||||||
Becton Dickinson and Co. (Health Care Equip. & Supplies) | 3.875 | % | 05/15/2024 | 3,000,000 | 3,154,759 | |||||||||||||
Bristol-Myers Squibb Co. (Pharmaceuticals) | (b) | 3.875 | % | 08/15/2025 | 150,000 | 162,152 | ||||||||||||
CVS Health Corp. (Health Care Providers & Svs.) | 4.100 | % | 03/25/2025 | 2,250,000 | 2,413,444 | |||||||||||||
HCA, Inc. (Health Care Providers & Svs.) | 5.250 | % | 06/15/2026 | 2,000,000 | 2,238,605 | |||||||||||||
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 3.875 | % | 12/15/2028 | 2,000,000 | 2,211,461 | |||||||||||||
|
| |||||||||||||||||
14,322,040 | ||||||||||||||||||
|
| |||||||||||||||||
INDUSTRIALS – 1.5% | ||||||||||||||||||
Air Lease Corp. (Trading Companies & Distributors) | 2.250 | % | 01/15/2023 | 1,000,000 | 1,000,259 | |||||||||||||
Boeing Co. / The (Aerospace & Defense) | 3.200 | % | 03/01/2029 | 1,500,000 | 1,562,223 | |||||||||||||
Burlington Northern Santa Fe LLC (Road & Rail) | 4.550 | % | 09/01/2044 | 100,000 | 118,885 | |||||||||||||
FedEx Corp. (Air Freight & Logistics) | 4.900 | % | 01/15/2034 | 1,000,000 | 1,139,872 | |||||||||||||
Lockheed Martin Corp. (Aerospace & Defense) | 3.600 | % | 03/01/2035 | 100,000 | 109,137 | |||||||||||||
Northrop Grumman Corp. (Aerospace & Defense) | 2.930 | % | 01/15/2025 | 100,000 | 103,023 | |||||||||||||
Parker-Hannifin Corp. (Machinery) | 4.200 | % | 11/21/2034 | 100,000 | 110,511 | |||||||||||||
Union Pacific Corp. (Road & Rail) | 3.250 | % | 08/15/2025 | 100,000 | 105,324 | |||||||||||||
United Rentals North America, Inc. (Trading Companies & Distributors) | 4.875 | % | 01/15/2028 | 1,000,000 | 1,041,230 | |||||||||||||
United Rentals North America, Inc. (Trading Companies & Distributors) | 5.250 | % | 01/15/2030 | 100,000 | 107,630 | |||||||||||||
USG Corp. (Building Products) | (b) | 5.500 | % | 03/01/2025 | 2,700,000 | 2,706,750 | ||||||||||||
Waste Connections, Inc. (Commercial Svs. & Supplies) | 4.250 | % | 12/01/2028 | 200,000 | 222,750 | |||||||||||||
|
| |||||||||||||||||
8,327,594 | ||||||||||||||||||
|
| |||||||||||||||||
INFORMATION TECHNOLOGY – 0.9% | ||||||||||||||||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 2.500 | % | 02/09/2025 | 100,000 | 101,764 | |||||||||||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 2.200 | % | 09/11/2029 | 2,000,000 | 1,959,425 | |||||||||||||
Hewlett Packard Enterprise Co. (Tech. Hardware, Storage & Periph.) | 4.900 | % | 10/15/2025 | 150,000 | 166,563 | |||||||||||||
Microsoft Corp. (Software) | 4.100 | % | 02/06/2037 | 100,000 | 117,967 | |||||||||||||
Microsoft Corp. (Software) | 4.450 | % | 11/03/2045 | 100,000 | 124,836 | |||||||||||||
Oracle Corp. (Software) | 4.300 | % | 07/08/2034 | 2,100,000 | 2,452,217 | |||||||||||||
Seagate HDD Cayman (Tech. Hardware, Storage & Periph.) | 4.875 | % | 03/01/2024 | 100,000 | 106,542 | |||||||||||||
|
| |||||||||||||||||
5,029,314 | ||||||||||||||||||
|
| |||||||||||||||||
MATERIALS – 1.2% | ||||||||||||||||||
Anglo American Capital PLC (Metals & Mining) | (b) | 4.000 | % | 09/11/2027 | 100,000 | 104,671 | ||||||||||||
Cemex S.A.B de C.V. (Construction Materials) | (b) | 5.450 | % | 11/19/2029 | 400,000 | 418,000 | ||||||||||||
CF Industries, Inc. (Chemicals) | (b) | 4.500 | % | 12/01/2026 | 150,000 | 163,050 | ||||||||||||
Dow Chemical Co. / The (Chemicals) | 4.250 | % | 10/01/2034 | 2,000,000 | 2,188,299 | |||||||||||||
Kinross Gold Corp. (Metals & Mining) | 4.500 | % | 07/15/2027 | 1,000,000 | 1,047,500 | |||||||||||||
Mosaic Co. / The (Chemicals) | 4.050 | % | 11/15/2027 | 1,000,000 | 1,037,280 | |||||||||||||
Nutrien Ltd. (Chemicals) | 4.200 | % | 04/01/2029 | 100,000 | 110,135 | |||||||||||||
Steel Dynamics, Inc. (Metals & Mining) | 2.800 | % | 12/15/2024 | 1,000,000 | 1,005,466 | |||||||||||||
Yamana Gold, Inc. (Metals & Mining) | 4.625 | % | 12/15/2027 | 171,000 | 178,698 | |||||||||||||
|
| |||||||||||||||||
6,253,099 | ||||||||||||||||||
|
| |||||||||||||||||
REAL ESTATE – 1.2% | ||||||||||||||||||
Alexandria Real Estate Equities, Inc. (Equity REIT) | 3.950 | % | 01/15/2028 | 1,000,000 | 1,073,214 | |||||||||||||
American Tower Corp. (Equity REIT) | 2.750 | % | 01/15/2027 | 2,000,000 | 1,995,559 | |||||||||||||
Crown Castle International Corp. (Equity REIT) | 4.000 | % | 03/01/2027 | 200,000 | 215,729 | |||||||||||||
Healthcare Realty Trust, Inc. (Equity REIT) | 3.875 | % | 05/01/2025 | 100,000 | 105,151 | |||||||||||||
Healthpeak Properties, Inc. (Equity REIT) | 4.000 | % | 06/01/2025 | 100,000 | 107,418 | |||||||||||||
Highwoods Realty LP (Equity REIT) | 4.200 | % | 04/15/2029 | 1,000,000 | 1,074,303 |
18 | (continued) |
Ohio National Fund, Inc. | ON BlackRock Balanced Allocation Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||
REAL ESTATE (continued) | ||||||||||||||||||
Highwoods Realty LP (Equity REIT) | 3.050 | % | 02/15/2030 | $ | 1,000,000 | $ | 984,781 | |||||||||||
Welltower, Inc. (Equity REIT) | 2.700 | % | 02/15/2027 | 1,000,000 | 1,003,101 | |||||||||||||
|
| |||||||||||||||||
6,559,256 | ||||||||||||||||||
|
| |||||||||||||||||
UTILITIES – 3.9% | ||||||||||||||||||
AEP Transmission Co. LLC (Electric Utilities) | 4.000 | % | 12/01/2046 | 1,000,000 | 1,109,783 | |||||||||||||
AEP Transmission Co. LLC (Electric Utilities) | 3.750 | % | 12/01/2047 | 1,000,000 | 1,072,900 | |||||||||||||
Alabama Power Co. (Electric Utilities) | 3.450 | % | 10/01/2049 | 2,000,000 | 2,044,898 | |||||||||||||
Ameren Corp. (Multi-Utilities) | 2.500 | % | 09/15/2024 | 1,000,000 | 1,007,781 | |||||||||||||
American Water Capital Corp. (Water Utilities) | 4.300 | % | 12/01/2042 | 100,000 | 111,403 | |||||||||||||
Berkshire Hathaway Energy Co. (Multi-Utilities) | 3.250 | % | 04/15/2028 | 100,000 | 105,598 | |||||||||||||
Black Hills Corp. (Multi-Utilities) | 3.050 | % | 10/15/2029 | 2,500,000 | 2,487,334 | |||||||||||||
Commonwealth Edison Co. (Electric Utilities) | 4.350 | % | 11/15/2045 | 1,000,000 | 1,169,998 | |||||||||||||
Connecticut Light & Power Co. / The (Electric Utilities) | 4.000 | % | 04/01/2048 | 1,000,000 | 1,144,696 | |||||||||||||
Consolidated Edison Co. of New York, Inc. (Multi-Utilities) | 3.850 | % | 06/15/2046 | 2,000,000 | 2,148,680 | |||||||||||||
Duke Energy Corp. (Electric Utilities) | 3.750 | % | 09/01/2046 | 1,500,000 | 1,546,786 | |||||||||||||
Duke Energy Indiana LLC (Electric Utilities) | 3.250 | % | 10/01/2049 | 1,000,000 | 996,545 | |||||||||||||
FirstEnergy Transmission LLC (Electric Utilities) | (b) | 4.550 | % | 04/01/2049 | 200,000 | 228,561 | ||||||||||||
Florida Power & Light Co. (Electric Utilities) | 3.150 | % | 10/01/2049 | 2,000,000 | 2,015,793 | |||||||||||||
Fortis, Inc. (Electric Utilities) | 3.055 | % | 10/04/2026 | 100,000 | 102,036 | |||||||||||||
Jersey Central Power & Light Co. (Electric Utilities) | (b) | 4.300 | % | 01/15/2026 | 100,000 | 108,787 | ||||||||||||
Oncor Electric Delivery Co. LLC (Electric Utilities) | 3.100 | % | 09/15/2049 | 1,000,000 | 988,572 | |||||||||||||
Public Service Electric & Gas Co. (Multi-Utilities) | 3.600 | % | 12/01/2047 | 1,000,000 | 1,080,667 | |||||||||||||
Vistra Energy Corp. (Ind. Power & Renewable Elec.) | (b) | 8.125 | % | 01/30/2026 | 1,500,000 | 1,605,000 | ||||||||||||
|
| |||||||||||||||||
21,075,818 | ||||||||||||||||||
|
| |||||||||||||||||
Total Corporate Bonds (Cost $139,586,597) | $ | 141,085,207 | ||||||||||||||||
|
| |||||||||||||||||
Asset-Backed Securities – 0.2% | Rate | Maturity | Face Amount | Value | ||||||||||||||
INDUSTRIALS – 0.2% | ||||||||||||||||||
American Airlines2015-1 Class B Pass Through Trust | 3.700 | % | 05/01/2023 | $ | 119,565 | $ | 120,366 | |||||||||||
United Airlines2016-1 Class B Pass Through Trust | 3.650 | % | 01/07/2026 | 174,306 | 176,984 | |||||||||||||
United Airlines2019-2 Class AA Pass Through Trust | 2.700 | % | 05/01/2032 | 1,000,000 | 1,002,873 | |||||||||||||
|
| |||||||||||||||||
Total Asset-Backed Securities (Cost $1,293,892) | $ | 1,300,223 | ||||||||||||||||
|
|
Rights – 0.0% | Quantity | Value | ||||||||
HEALTH CARE – 0.0% | ||||||||||
Bristol-Myers Squibb Co. (Pharmaceuticals) | (a) | 10,603 | $ | 31,915 | ||||||
|
| |||||||||
Total Rights (Cost $22,584) | $ | 31,915 | ||||||||
|
| |||||||||
Money Market Funds – 1.0% | Shares | Value | ||||||||
State Street Institutional Liquid Reserves Fund Institutional Class, 1.734% | (d) | 5,704,139 | $ | 5,704,709 | ||||||
|
| |||||||||
Total Money Market Funds (Cost $5,704,741) | $ | 5,704,709 | ||||||||
|
| |||||||||
Total Investments – 99.7% (Cost $497,376,983) | (e) | $ | 543,833,504 | |||||||
Other Assets in Excess of Liabilities – 0.3% | (f) | 1,384,716 | ||||||||
|
| |||||||||
Net Assets – 100.0% | $ | 545,218,220 | ||||||||
|
|
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: | American Depositary Receipts |
H15T5Y: | U.S. Treasury Yield Curve RateT-Note Constant Maturity 5 Year, 1.690% at 12/31/2019 |
QL: | Quarterly U.S. LIBOR Rate, 1.908% at 12/31/2019 |
SOFR: | Secured Overnight Financing Rate, 1.550% at 12/31/2019 |
USISDA05: | USD ICE Swap Rate 11:00am NY 5 Year, 1.690% at 12/31/2019 |
USSW5: | USD Swap Semi 30/360 5 Year, 1.729% at 12/31/2019 |
Footnotes:
(a) | Non-income producing security. |
(b) | Security exempt from registration under Regulation D of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers under Rule 144A. At December 31, 2019, the value of these securities totaled $12,834,612, or 2.4% of the Portfolio’s net assets. |
(c) | Security is a fixed-then-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 December 31, 2019. |
(d) | Rate represents theseven-day yield at December 31, 2019. |
(e) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
(f) | Includes $163,800 of cash pledged as collateral for the futures contracts outstanding at December 31, 2019. See also the following Schedule of Open Futures Contracts. |
The accompanying notes are an integral part of these financial statements.
19 | (continued) |
Ohio National Fund, Inc. | ON BlackRock Balanced Allocation Portfolio (Continued) |
Schedule of Open Futures Contracts | December 31, 2019 |
Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||
CMEE-mini S&P 500 Index - Long | 26 | March 20, 2020 | $4,138,269 | $4,200,430 | $62,161 | $2,923 |
The accompanying notes are an integral part of these financial statements.
20 |
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 net assets in equity securities of foreign companies.
Performance as of December 31, 2019 |
Average Annual returns | ||||
One year | 20.72 | % | ||
Five years | 4.68 | % | ||
Ten years | 4.21 | % |
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-free1-877-781-6392.
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 November 22, 2019. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2019 can be found in the Portfolio’s Financial Highlights.
Comments fromSub-Adviser |
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A.For the year ended December 31, 2019, the Portfolio returned 20.72% versus 22.01% for its benchmark, the MSCI EAFE Index (Net – USD).
Effective December 7, 2019, BlackRock Investment Management, LLC (“BlackRock”) replaced the Portfolio’s previoussub-adviser, Lazard Asset Management, LLC (“Lazard”). The Portfolio’s benchmark was unchanged.
For the period from January 1, 2019 to December 6, 2019 (the “first performance period”), the Portfolio returned 18.06% versus 18.62% for the MSCI EAFE Index (Net – USD).
For the period from December 7, 2019 to December 31, 2019 (the “latter performance period”), the Portfolio returned 2.25% versus 2.86% for the MSCI EAFE Index (Net – USD).
Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?
A. Lazard:Equity markets rose strongly on the back of encouraginggeo-political news regarding trade and Brexit, while accommodative central bank policy was also a strong driver of equity returns. While high quality and growth stocks continued to lead the market for the first performance period, deep value cyclical stocks rallied at the beginning of September, as the prospect of improving global growth drove interest rates higher. Despite this, growth stocks finished the first performance period well ahead of value stocks.
A. BlackRock:International equity markets continued to climb in December, as an easing of global trade tensions, supportive central bank policy, and improving economic indicators, particularly in Germany, all helped drive positive returns throughout the fourth quarter and into the end of the year. As markets were largely driven by geopolitical and broad
macroeconomic factors, including a widely-followed general election in the U.K., some of the Portfolio’s stock selection insights struggled throughout the period. Given the continuously evolving geopolitical and market landscape late in the year, the Portfolio’s trend-based insights were challenged throughout the latter performance period. Similarly, sentiment-driven signals struggled as the macro-driven market moves were often disconnected from stock-specific sentiment. Insights evaluating company fundamentals were mixed during the latter performance period, as signals designed to identify relative value opportunities, as well as the Portfolio’s company quality signals, were generally flat, detracting modestly in aggregate. Lastly, macro thematic insights were broadly mixed amongst both country timing and industry timing signals.
Q. How did country selection impact the Portfolio’s performance relative to its benchmark?
A. Lazard:Lazard’s relative value investment philosophy is based on value creation through the process ofbottom-up stock selection. This philosophy is implemented by assessing thetrade-off between valuation and financial productivity for an individual security. As such, sector and country/regional weightings are a residual of its bottom up stock selection process. The Portfolio’s attribution has historically been primarily driven by stock selection. During the first performance period, the Portfolio’s overall country allocation effect was slightly negative, although this was offset by security selection.
A. BlackRock:The Portfolio targets a relatively country-neutral approach. That being said, maintaining a modest underweight to Japan contributed to results for the latter performance period, whereas a modest underweight to Hong Kong detracted from relative returns. From a country perspective, stock selection was strongest in Switzerland and Hong Kong. Selection was weakest in Japan and Spain. (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. Lazard:Relative returns for the first performance period were helped by stock selection in the Financials, Materials, and Consumer Staples sectors. Relative returns were hurt by stock selection within the Consumer Discretionary, Health Care, and Real Estate Sectors. Allocation also detracted, with underweights to Consumer Discretionary and Health Care. Cash was the largest detractor from relative returns.
A. BlackRock:The portfolio management team targets a relatively sector-neutral approach and seeks to derive the majority of its alpha from security selection. Over the latter performance period, no sector allocation decisions meaningfully affected relative returns. The majority of the Portfolio’s excess returns were driven by security selection decisions. Stock selection in the Health Care sector, especially among pharmaceuticals companies, added to performance. Selection in the Industrials sector further bolstered performance. In contrast, security selection within the Consumer Staples sector, in particular among beverage companies, was a notable detractor from relative performance. Selection in the Materials sector, especially within the chemicals industry, hindered relative returns as well.(1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. Lazard:Aon PLC, the global insurance broker domiciled in the United Kingdom, was the top relative contributor during the first performance period. This long-term,non-benchmark holding has demonstrated the ability to generate strong free cash flow from operating leverage derived from strong organic revenue growth and disciplined spending and
21 | (continued) |
Ohio National Fund, Inc. | ON International Equity Portfolio (Unaudited) (Continued) |
capital allocation. We believe Aon is well positioned to delivermid-single-digit revenue growth and margin expansion, as the business mix shifts to higher growth/margin businesses, such as intellectual property, cyber, delegated investments, and as they divest from lower return businesses. SAP SE, a German enterprise software company with high margin licensing fees and maintenance contracts, was the next largest relative contributor. With a new product cycle underway and a large recurring revenue base, we believe SAP SE represents an attractive relative value investment opportunity. Safran SA, the third highest relative contributor for the first performance period, is a Frenchtier-1 supplier of systems and equipment in aerospace, defense, and security and is a lead partner in the world’s propulsion business. The stock outperformed after reporting better-than-expected results. The company’s organic sales grew 14%, led by propulsion, which grew 19%. Critical to our thesis, margins also grew, with higher margin aftermarket sales growth of 10% combined with continued restructuring benefits from the acquired Zodiac business.
ABN AMRO Bank N.V. (“ABN AMRO”), the top relative detractor during the first performance period, is a high quality bank domiciled in the Netherlands that fell 24% during the period. Significantly lower interest rates drove the banking sector lower, and ABN AMRO was not immune. The company guided net interest income 2% lower for 2020 based on lower rates. With a strongtier-1 capital base of 14%, the company has significant excess capital. Daiwa House Industry Co. Ltd., the second largest detractor, is a Japanese real estate developer and one of the largest developers of residential real estate (both detached and rental). The company has significantly diversified its footprint into developing logistics facilities, retail and convenience stores, as well as energy and healthcare facilities, to balance its exposure to the mature residential market. The company reported a slowdown in rental apartments in the first half of the year and forecasted a weaker than expected second half, which overshadowed upward revisions in its commercial and logistics businesses. Red Electrica, the third largest relative detractor for the first performance period, is a Spanish utility that underperformed as the market worried about the Spanish political climate.
A. BlackRock:The Portfolio’s overweight position in Sanofi was the largest contributor to relative performance over the latter performance period. The stock surged on an announcement that it was ending its research into diabetes and heart disease drugs and shifting its focus onto treatments for cancer, hemophilia, MS and rare diseases. In line with this initiative, the French pharmaceutical company announced plans to buy U.S. biotech company Synthorx, Inc. inmid-December, which was also supported by investors. Remaining overweight Prudential PLC was beneficial as well, as shares of the company increased on news that the company had received approval to offer life insurance products and solutions in new Asian markets. An overweight position in Informa PLC, a British multinational events and publishing company, further supported relative returns, as the stock price rose throughout the latter performance period. The company’s plans to further expand into the international events industry, in addition to positive 2019 financial results, helped drive the share price up. (1)
In contrast, the Portfolio’s overweight position in Assa Abloy AB Class B was the largest individual detractor over the latter performance period, as the stock sold off significantly in the first few days as several prominent sell-side shops downgraded the stock and revised their price targets downwards. An overweight position in Safran SA further hindered results. As one of The Boeing Co.’s largest European suppliers, Safran SA sold off considerably on news that The Boeing Co. would suspend production of its grounded 737 Max jet in January. Remaining overweight Telefonica SA also detracted from relative returns, as investors reacted negatively to company announcements regarding the structure of its Latin American business and its continued global divestiture of cell towers. (1)
Q. How did the Portfolio’s use of derivative instruments and initial public offerings (IPOs), if any, impact performance?
A. Lazard:The Portfolio did not hold any derivatives during the first performance period. The Portfolio participated in two IPOs, which positively impacted relative return by 6 basis points.
A. BlackRock:Pursuant to the Portfolio’s investment strategy, futures contracts were used in the latter performance period to equitize cash and prevent a cash drag on performance. The futures did not meaningfully impact relative performance, however, due to their index characteristics and size in relation to the Portfolio’s net assets.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2019. |
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.
Past performance is no guarantee of future results. Redemption of fund shares could have tax implications unique to each shareholder.
22 | (continued) |
Ohio National Fund, Inc. | ON International Equity Portfolio (Unaudited) (Continued) |
Portfolio Composition as of December 31, 2019 (1) |
% of Net Assets | ||||
Common Stocks (4) (5) | 97.8 | |||
Money Market Funds and Other Net Assets | 2.2 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31, |
% of Net Assets | ||||
1. Roche Holding AG | 2.3 | |||
2. Novartis AG | 2.1 | |||
3. LVMH Moet Hennessy Louis Vuitton SE | 1.7 | |||
4. SAP SE | 1.6 | |||
5. GlaxoSmithKline PLC | 1.5 | |||
6. Nestle SA | 1.5 | |||
7. British American Tobacco PLC | 1.5 | |||
8. Allianz SE | 1.5 | |||
9. L’Oreal SA | 1.3 | |||
10. Zurich Insurance Group AG | 1.2 |
(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): |
% of Net Assets | ||||
Japan | 22.5 | |||
United Kingdom | 14.4 | |||
France | 12.0 | |||
Switzerland | 10.4 | |||
Germany | 8.3 | |||
Australia | 7.4 | |||
Netherlands | 5.3 | |||
Finland | 2.7 | |||
Denmark | 2.3 | |||
Sweden | 2.0 |
(5) | Sectors (Common Stocks): |
% of Net Assets | ||||
Financials | 16.9 | |||
Industrials | 15.9 | |||
Health Care | 12.5 | |||
Consumer Staples | 12.1 | |||
Consumer Discretionary | 11.9 | |||
Materials | 7.4 | |||
Information Technology | 6.4 | |||
Communication Services | 5.5 | |||
Energy | 3.5 | |||
Real Estate | 3.3 | |||
Utilities | 2.4 | |||
|
| |||
97.8 | ||||
|
|
23
Ohio National Fund, Inc. | ON International Equity Portfolio |
Schedule of Investments | December 31, 2019 |
Common Stocks – 97.8% | Shares | Value | ||||||||||
JAPAN – 22.5% | ||||||||||||
ABC-Mart, Inc. (Consumer Discretionary) | (a | ) | 2,300 | $ | 157,001 | |||||||
Advantest Corp. (Information Technology) | (a | ) | 11,000 | 620,379 | ||||||||
Aica Kogyo Co. Ltd. (Industrials) | (a | ) | 1,800 | 59,396 | ||||||||
Aisin Seiki Co. Ltd. (Consumer Discretionary) | (a | ) | 2,800 | 103,711 | ||||||||
Alfresa Holdings Corp. (Health Care) | (a | ) | 40,300 | 818,695 | ||||||||
Amada Holdings Co. Ltd. (Industrials) | (a | ) | 138,700 | 1,577,538 | ||||||||
Citizen Watch Co. Ltd. (Information Technology) | (a | ) | 2,800 | 15,249 | ||||||||
Daicel Corp. (Materials) | (a | ) | 1,600 | 15,297 | ||||||||
Daido Steel Co. Ltd. (Materials) | (a | ) | 400 | 17,475 | ||||||||
Dai-ichi Life Holdings, Inc. (Financials) | (a | ) | 214,400 | 3,533,370 | ||||||||
Daikin Industries Ltd. (Industrials) | (a | ) | 6,700 | 945,301 | ||||||||
Daito Trust Construction Co. Ltd. (Real Estate) | (a | ) | 6,800 | 840,318 | ||||||||
Daiwa House Industry Co. Ltd. (Real Estate) | (a | ) | 104,919 | 3,247,961 | ||||||||
Daiwa Office Investment Corp. (Real Estate) | (a | ) | 14 | 107,507 | ||||||||
Denka Co. Ltd. (Materials) | (a | ) | 7,000 | 208,093 | ||||||||
Denso Corp. (Consumer Discretionary) | (a | ) | 86,900 | 3,924,607 | ||||||||
Dentsu Group, Inc. (Communication Services) . | (a | ) | 11,200 | 385,905 | ||||||||
DIC Corp. (Materials) | (a | ) | 42,800 | 1,181,212 | ||||||||
Dip Corp. (Communication Services) | (a | ) | 4,100 | 121,112 | ||||||||
DMG Mori Co. Ltd. (Industrials) | (a | ) | 2,500 | 38,250 | ||||||||
East Japan Railway Co. (Industrials) | (a | ) | 18,500 | 1,669,846 | ||||||||
Electric Power Development Co. Ltd. (Utilities) . | (a | ) | 2,900 | 70,390 | ||||||||
Fast Retailing Co. Ltd. (Consumer Discretionary) | (a | ) | 8,000 | 4,752,591 | ||||||||
Fuji Electric Co. Ltd. (Industrials) | (a | ) | 600 | 18,226 | ||||||||
Fuji Media Holdings, Inc. | ||||||||||||
(Communication Services) | (a | ) | 62,500 | 887,397 | ||||||||
Fuji Seal International, Inc. (Materials) | (a | ) | 23,700 | 525,659 | ||||||||
Fujikura Ltd. (Industrials) | (a | ) | 8,900 | 36,621 | ||||||||
Furukawa Electric Co. Ltd. (Industrials) | (a | ) | 1,200 | 30,719 | ||||||||
Glory Ltd. (Industrials) | (a | ) | 5,500 | 166,205 | ||||||||
Izumi Co. Ltd. (Consumer Discretionary) | (a | ) | 15,400 | 554,684 | ||||||||
Japan Post Holdings Co. Ltd. (Financials) | (a | ) | 65,000 | 611,290 | ||||||||
JFE Holdings, Inc. (Materials) | (a | ) | 8,200 | 105,218 | ||||||||
JSR Corp. (Materials) | (a | ) | 75,100 | 1,373,776 | ||||||||
JTEKT Corp. (Industrials) | (a | ) | 42,600 | 503,238 | ||||||||
JXTG Holdings, Inc. (Energy) | (a | ) | 287,200 | 1,303,479 | ||||||||
Kaneka Corp. (Materials) | (a | ) | 27,600 | 883,927 | ||||||||
Kansai Electric Power Co., Inc. / The (Utilities) . | (a | ) | 2,200 | 25,487 | ||||||||
Kao Corp. (Consumer Staples) | (a | ) | 60,010 | 4,949,329 | ||||||||
Kawasaki Heavy Industries Ltd. (Industrials) | (a | ) | 22,200 | 485,219 | ||||||||
KDDI Corp. (Communication Services) | (a | ) | 12,000 | 358,036 | ||||||||
Kirin Holdings Co. Ltd. (Consumer Staples) | (a | ) | 47,300 | 1,032,397 | ||||||||
Kobe Steel Ltd. (Materials) | (a | ) | 21,200 | 113,593 | ||||||||
Koito Manufacturing Co. Ltd. | ||||||||||||
(Consumer Discretionary) | (a | ) | 3,900 | 180,593 | ||||||||
Konica Minolta, Inc. (Information Technology) . | (a | ) | 224,400 | 1,461,761 | ||||||||
Kyowa Exeo Corp. (Industrials) | (a | ) | 1,300 | 32,885 | ||||||||
Kyushu Electric Power Co., Inc. (Utilities) | (a | ) | 9,000 | 78,084 | ||||||||
Makita Corp. (Industrials) | (a | ) | 108,500 | 3,747,032 | ||||||||
Marubeni Corp. (Industrials) | (a | ) | 12,200 | 90,138 | ||||||||
Maruha Nichiro Corp. (Consumer Staples) | (a | ) | 2,500 | 64,002 | ||||||||
Maruichi Steel Tube Ltd. (Materials) | (a | ) | 2,200 | 61,825 | ||||||||
Mazda Motor Corp. (Consumer Discretionary) | (a | ) | 11,800 | 100,553 | ||||||||
MEIJI Holdings Co. Ltd. (Consumer Staples) | (a | ) | 5,000 | 337,901 | ||||||||
Mitsubishi Chemical Holdings Corp. (Materials) | (a | ) | 11,000 | 81,963 | ||||||||
Mitsubishi Electric Corp. (Industrials) | (a | ) | 38,900 | 529,650 | ||||||||
Mitsubishi Gas Chemical Co., Inc. (Materials) | (a | ) | 4,600 | 70,077 | ||||||||
Mitsubishi Materials Corp. (Materials) | (a | ) | 36,400 | 987,884 | ||||||||
Mitsubishi UFJ Financial Group, Inc. (Financials) | (a | ) | 520,900 | 2,816,159 | ||||||||
Mitsui Chemicals, Inc. (Materials) | (a | ) | 52,600 | 1,281,299 | ||||||||
Mitsui Mining & Smelting Co. Ltd. (Materials) | (a | ) | 1,600 | 42,431 | ||||||||
Mizuho Financial Group, Inc. (Financials) | (a | ) | 1,719,100 | 2,648,134 | ||||||||
NGK Spark Plug Co. Ltd. (Consumer Discretionary) | (a | ) | 1,600 | 31,014 | ||||||||
Nichirei Corp. (Consumer Staples) | (a | ) | 6,100 | 142,497 |
Common Stocks (Continued) | Shares | Value | ||||||||||
JAPAN (continued) | ||||||||||||
Nidec Corp. (Industrials) | (a) | 23,200 | $ | 3,168,741 | ||||||||
Nifco Inc. (Consumer Discretionary) | (a) | 6,000 | 163,854 | |||||||||
Nihon Kohden Corp. (Health Care) | (a) | 5,900 | 163,627 | |||||||||
Nikon Corp. (Consumer Discretionary) | (a) | 5,800 | 70,932 | |||||||||
Nintendo Co. Ltd. (Communication Services) | (a) | 2,800 | 1,119,888 | |||||||||
Nippon Electric Glass Co. Ltd. | ||||||||||||
(Information Technology) | (a) | 50,400 | 1,118,876 | |||||||||
Nippon Paint Holdings Co. Ltd. (Materials) | (a) | 2,500 | 128,704 | |||||||||
Nippon Shokubai Co. Ltd. (Materials) | (a) | 7,400 | 458,567 | |||||||||
Nissan Motor Co. Ltd. (Consumer Discretionary) | (a) | 27,000 | 156,458 | |||||||||
Nisshin Seifun Group, Inc. (Consumer Staples) | (a) | 12,200 | 212,859 | |||||||||
NS Solutions Corp. (Information Technology) | (a) | 500 | 16,429 | |||||||||
NSK Ltd. (Industrials) | (a) | 24,300 | 229,713 | |||||||||
NTN Corp. (Industrials) | (a) | 27,900 | 87,246 | |||||||||
NTT Data Corp. (Information Technology) | (a) | 144,700 | 1,935,215 | |||||||||
Pan Pacific International Holdings Corp. (Consumer Discretionary) | (a) | 4,628 | 76,784 | |||||||||
PeptiDream, Inc. (Health Care) | (a)(b) | 2,900 | 148,200 | |||||||||
Pola Orbis Holdings, Inc. (Consumer Staples) | (a) | 29,600 | 705,044 | |||||||||
Recruit Holdings Co. Ltd. (Industrials) | (a) | 12,700 | 475,683 | |||||||||
Resona Holdings, Inc. (Financials) | (a) | 416,200 | 1,814,019 | |||||||||
Sankyu, Inc. (Industrials) | (a) | 300 | 15,076 | |||||||||
Sanwa Holdings Corp. (Industrials) | (a) | 69,000 | 773,196 | |||||||||
Secom Co. Ltd. (Industrials) | (a) | 23,200 | 2,070,430 | |||||||||
Seven & I Holdings Co. Ltd. (Consumer Staples) | (a) | 120,900 | 4,431,638 | |||||||||
Shin-Etsu Chemical Co. Ltd. (Materials) | (a) | 31,200 | 3,431,159 | |||||||||
Shionogi & Co. Ltd. (Health Care) | (a) | 53,900 | 3,334,334 | |||||||||
SMC Corp. (Industrials) | (a) | 4,600 | 2,103,650 | |||||||||
Sumitomo Forestry Co. Ltd. (Consumer Discretionary) | (a) | 15,200 | 223,836 | |||||||||
Sumitomo Heavy Industries Ltd. (Industrials) | (a) | 39,200 | 1,113,468 | |||||||||
Sumitomo Mitsui Financial Group, Inc. (Financials) | (a) | 141,400 | 5,222,659 | |||||||||
Sumitomo Mitsui Trust Holdings, Inc. (Financials) | (a) | 32,400 | 1,280,803 | |||||||||
Sumitomo Rubber Industries Ltd. (Consumer Discretionary) | (a) | 1,200 | 14,632 | |||||||||
Suntory Beverage & Food Ltd. (Consumer Staples) | (a) | 36,100 | 1,507,127 | |||||||||
Taisho Pharmaceutical Holdings Co. Ltd. (Health Care) | (a) | 300 | 22,139 | |||||||||
Takeda Pharmaceutical Co. Ltd. (Health Care) | (a) | 137,500 | 5,438,426 | |||||||||
Teijin Ltd. (Materials) | (a) | 2,100 | 39,232 | |||||||||
Tokyo Electron Ltd. (Information Technology) | (a) | 11,300 | 2,467,129 | |||||||||
Topcon Corp. (Information Technology) | (a) | 19,100 | 246,868 | |||||||||
Toyota Industries Corp. (Consumer Discretionary) | (a) | 4,100 | 235,914 | |||||||||
Toyota Motor Corp. (Consumer Discretionary) | (a) | 32,500 | 2,289,998 | |||||||||
Toyota Tsusho Corp. (Industrials) | (a) | 12,200 | 428,557 | |||||||||
Trend Micro, Inc. (Information Technology) | (a)(b) | 29,000 | 1,483,924 | |||||||||
Ube Industries Ltd. (Materials) | (a) | 44,200 | 957,294 | |||||||||
Yakult Honsha Co. Ltd. (Consumer Staples) | (a) | 4,000 | 220,450 | |||||||||
Yamaha Corp. (Consumer Discretionary) | (a) | 20,700 | 1,147,680 | |||||||||
Yamaha Motor Co. Ltd. (Consumer Discretionary) | (a) | 8,100 | 162,267 | |||||||||
Yokogawa Electric Corp. (Information Technology) | (a) | 36,500 | 640,979 | |||||||||
|
| |||||||||||
106,715,290 | ||||||||||||
|
| |||||||||||
UNITED KINGDOM – 14.4% | ||||||||||||
AstraZeneca PLC (Health Care) | (a) | 41,519 | 4,155,717 | |||||||||
Berkeley Group Holdings PLC (Consumer Discretionary) | (a) | 25,494 | 1,641,136 | |||||||||
BP PLC (Energy) | (a) | 199,042 | 1,252,134 | |||||||||
British American Tobacco PLC (Consumer Staples) | (a) | 164,302 | 6,983,175 |
24 | (continued) |
Ohio National Fund, Inc. | ON International Equity Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Common Stocks (Continued) | Shares | Value | ||||||||||
UNITED KINGDOM (continued) | ||||||||||||
Compass Group PLC (Consumer Discretionary) | (a | ) | 167,727 | $ | 4,203,536 | |||||||
Diageo PLC (Consumer Staples) | (a | ) | 63,459 | 2,673,950 | ||||||||
Ferguson PLC (Industrials) | (a | ) | 12,863 | 1,170,621 | ||||||||
GlaxoSmithKline PLC (Health Care) | (a | ) | 314,525 | 7,390,401 | ||||||||
Howden Joinery Group PLC (Industrials) | (a | ) | 143,539 | 1,278,825 | ||||||||
HSBC Holdings PLC (Financials) | (a | ) | 264,059 | 2,067,169 | ||||||||
Informa PLC (Communication Services) | (a | ) | 394,841 | 4,490,774 | ||||||||
John Wood Group PLC (Energy) | (a | ) | 76,641 | 406,482 | ||||||||
London Stock Exchange Group PLC (Financials) | (a | ) | 12,832 | 1,318,770 | ||||||||
Moneysupermarket.com Group PLC | ||||||||||||
(Consumer Discretionary) | (a | ) | 312,238 | 1,370,671 | ||||||||
Pearson PLC (Communication Services) | (a | ) | 95,287 | 804,994 | ||||||||
Prudential PLC (Financials) | (a | ) | 279,476 | 5,354,936 | ||||||||
RELX PLC (Industrials) | (a | ) | 141,331 | 3,567,665 | ||||||||
Rightmove PLC (Communication Services) | (a | ) | 359,415 | 3,015,903 | ||||||||
Rio Tinto PLC (Materials) | (a | ) | 9,165 | 542,522 | ||||||||
RSA Insurance Group PLC (Financials) | (a | ) | 32,679 | 244,919 | ||||||||
Smith & Nephew PLC (Health Care) | (a | ) | 86,610 | 2,087,364 | ||||||||
Standard Chartered PLC (Financials) | (a | ) | 148,199 | 1,396,492 | ||||||||
Unilever N.V. (Consumer Staples) | (a | ) | 19,652 | 1,127,841 | ||||||||
Unilever PLC (Consumer Staples) | (a | ) | 67,126 | 3,842,469 | ||||||||
Vodafone Group PLC (Communication Services) | (a | ) | 1,760,328 | 3,417,454 | ||||||||
Wm Morrison Supermarkets PLC (Consumer Staples) | (c | ) | 858,293 | 2,271,516 | ||||||||
|
| |||||||||||
68,077,436 | ||||||||||||
|
| |||||||||||
FRANCE – 12.0% | ||||||||||||
Arkema SA (Materials) | (a | ) | 176 | 18,819 | ||||||||
BNP Paribas SA (Financials) | (a | ) | 19,937 | 1,185,017 | ||||||||
Bureau Veritas SA (Industrials) | (a | ) | 33,676 | 880,356 | ||||||||
Credit Agricole SA (Financials) | (a | ) | 66,082 | 961,581 | ||||||||
Dassault Systemes SE | ||||||||||||
(Information Technology) | (a | ) | 13,874 | 2,288,174 | ||||||||
Engie SA (Utilities) | (a | ) | 277,872 | 4,501,060 | ||||||||
Faurecia SE (Consumer Discretionary) | (a | ) | 1,587 | 86,154 | ||||||||
Imerys SA (Materials) | (a | ) | 32,866 | 1,395,090 | ||||||||
Kering SA (Consumer Discretionary) | (a | ) | 3,094 | 2,038,681 | ||||||||
Korian SA (Health Care) | (a | ) | 983 | 46,338 | ||||||||
Lagardere SCA (Communication Services) | (a | ) | 15,566 | 339,802 | ||||||||
Legrand SA (Industrials) | (a | ) | 236 | 19,273 | ||||||||
L’Oreal SA (Consumer Staples) | (a | ) | 20,774 | 6,143,025 | ||||||||
LVMH Moet Hennessy Louis Vuitton SE (Consumer Discretionary) | (a | ) | 17,000 | 7,921,212 | ||||||||
Nexans SA (Industrials) | (a | ) | 4,058 | 198,573 | ||||||||
Orpea (Health Care) | (a | ) | 1,004 | 128,808 | ||||||||
Pernod Ricard SA (Consumer Staples) | (a | ) | 27,347 | 4,893,405 | ||||||||
Peugeot SA (Consumer Discretionary) | (a | ) | 78,494 | 1,889,912 | ||||||||
Publicis Groupe SA (Communication Services) | (a | ) | 55,435 | 2,513,500 | ||||||||
Renault SA (Consumer Discretionary) | (a | ) | 24,588 | 1,167,621 | ||||||||
Rexel SA (Industrials) | (a | ) | 280,586 | 3,731,986 | ||||||||
Rubis SCA (Utilities) | (a | ) | 12,737 | 783,784 | ||||||||
Safran SA (Industrials) | (a | ) | 34,044 | 5,258,412 | ||||||||
Sanofi (Health Care) | (a | ) | 13,757 | 1,381,580 | ||||||||
TOTAL SA (Energy) | (a | ) | 23,820 | 1,321,784 | ||||||||
Vinci SA (Industrials) | (a | ) | 50,122 | 5,582,265 | ||||||||
|
| |||||||||||
56,676,212 | ||||||||||||
|
| |||||||||||
SWITZERLAND – 10.4% | ||||||||||||
Bucher Industries AG (Industrials) | (a | ) | 3,901 | 1,369,089 | ||||||||
Givaudan SA (Materials) | (a | ) | 412 | 1,290,794 | ||||||||
LafargeHolcim Ltd. (Materials) | (a | ) | 69,562 | 3,859,123 | ||||||||
Logitech International SA (Information Technology) | (a | ) | 83,462 | 3,953,827 | ||||||||
Nestle SA (Consumer Staples) | (a | ) | 66,755 | 7,227,243 | ||||||||
Novartis AG (Health Care) | (a | ) | 104,020 | 9,849,609 | ||||||||
Roche Holding AG (Health Care) | (a | ) | 33,918 | 11,023,440 |
Common Stocks (Continued) | Shares | Value | ||||||||||
SWITZERLAND (continued) | ||||||||||||
Sika AG (Materials) | (a | ) | 18,382 | $ | 3,452,054 | |||||||
UBS Group AG (Financials) | (a | ) | 142,375 | 1,796,685 | ||||||||
Zurich Insurance Group AG (Financials) | (a | ) | 13,743 | 5,637,368 | ||||||||
|
| |||||||||||
49,459,232 | ||||||||||||
|
| |||||||||||
GERMANY – 8.3% | ||||||||||||
adidas AG (Consumer Discretionary) | (a | ) | 1,934 | 629,552 | ||||||||
Allianz SE (Financials) | (a | ) | 28,473 | 6,976,676 | ||||||||
BASF SE (Materials) | (a | ) | 8,661 | 652,491 | ||||||||
Bayer AG (Health Care) | (a | ) | 17,430 | 1,417,000 | ||||||||
Bayerische Motoren Werke AG (Consumer Discretionary) | (a | ) | 34,201 | 2,801,256 | ||||||||
CompuGroup Medical SE (Health Care) | (a | ) | 9,042 | 644,879 | ||||||||
Continental AG (Consumer Discretionary) | (a | ) | 31,903 | 4,122,833 | ||||||||
Daimler AG (Consumer Discretionary) | (a | ) | 18,447 | 1,019,829 | ||||||||
Deutsche Post AG (Industrials) | (a | ) | 127,619 | 4,852,604 | ||||||||
DWS Group GmbH & Co. KGaA (Financials) | (a | ) | 8,628 | 306,358 | ||||||||
Fielmann AG (Consumer Discretionary) | (a | ) | 229 | 18,482 | ||||||||
Hella GmbH & Co. KGaA | ||||||||||||
(Consumer Discretionary) | (a | ) | 835 | 46,143 | ||||||||
Merck KGaA (Health Care) | (a | ) | 23,716 | 2,795,968 | ||||||||
Rational AG (Industrials) | (a | ) | 92 | 73,703 | ||||||||
SAP SE (Information Technology) | (a | ) | 58,250 | 7,840,341 | ||||||||
Siemens AG (Industrials) | (a | ) | 31,981 | 4,176,448 | ||||||||
Stroeer SE & Co. KGaA | ||||||||||||
(Communication Services) | (a | ) | 537 | 43,264 | ||||||||
TAG Immobilien AG (Real Estate) | (a | ) | 865 | 21,483 | ||||||||
Volkswagen AG (Consumer Discretionary) | (a | ) | 4,571 | 885,333 | ||||||||
|
| |||||||||||
39,324,643 | ||||||||||||
|
| |||||||||||
AUSTRALIA – 7.4% | ||||||||||||
AGL Energy Ltd. (Utilities) | (a | ) | 130,103 | 1,872,649 | ||||||||
Ansell Ltd. (Health Care) | (a | ) | 4,683 | 95,359 | ||||||||
APA Group (Utilities) | (a | ) | 167,284 | 1,302,212 | ||||||||
Aristocrat Leisure Ltd. | ||||||||||||
(Consumer Discretionary) | (a | ) | 157,708 | 3,726,506 | ||||||||
ASX Ltd. (Financials) | (a | ) | 4,773 | 262,802 | ||||||||
Bendigo & Adelaide Bank Ltd. (Financials) | (a | ) | 240,089 | 1,647,453 | ||||||||
BHP Group Ltd. (Materials) | (a | ) | 102,488 | 2,806,357 | ||||||||
BHP Group PLC (Materials) | (a | ) | 815 | 19,099 | ||||||||
Brambles Ltd. (Industrials) | (a | ) | 41,905 | 344,908 | ||||||||
carsales.com Ltd. (Communication Services) | (a | ) | 40,247 | 469,352 | ||||||||
Coca-Cola Amatil Ltd. (Consumer Staples) | (a | ) | 35,385 | 274,788 | ||||||||
Cochlear Ltd. (Health Care) | (a | ) | 701 | 110,482 | ||||||||
Commonwealth Bank of Australia (Financials) . | (a | ) | 55,998 | 3,141,365 | ||||||||
Computershare Ltd. (Information Technology) . | (a | ) | 176,641 | 2,082,581 | ||||||||
Crown Resorts Ltd. (Consumer Discretionary) . | (a | ) | 26,374 | 222,364 | ||||||||
CSL Ltd. (Health Care) | (a | ) | 14,130 | 2,739,553 | ||||||||
GPT Group / The (Real Estate) | (a | ) | 172,899 | 681,056 | ||||||||
IDP Education Ltd. (Consumer Discretionary) | (a | ) | 30,599 | 368,851 | ||||||||
Magellan Financial Group Ltd. (Financials) | (a | ) | 1,723 | 69,032 | ||||||||
Orica Ltd. (Materials) | (a | ) | 73,935 | 1,140,113 | ||||||||
REA Group Ltd. (Communication Services) | (a | ) | 749 | 54,412 | ||||||||
Scentre Group (Real Estate) | (a | ) | 1,576,451 | 4,242,632 | ||||||||
Sonic Healthcare Ltd. (Health Care) | (a | ) | 87,855 | 1,771,414 | ||||||||
Suncorp Group Ltd. (Financials) | (a | ) | 1,369 | 12,436 | ||||||||
Tabcorp Holdings Ltd. (Consumer Discretionary) | (a | ) | 169,874 | 540,047 | ||||||||
Treasury Wine Estates Ltd. (Consumer Staples) | (a | ) | 346,125 | 3,942,621 | ||||||||
Westpac Banking Corp. (Financials) | (a | ) | 68,968 | 1,177,748 | ||||||||
|
| |||||||||||
35,118,192 | ||||||||||||
|
| |||||||||||
NETHERLANDS – 5.3% | ||||||||||||
ABN AMRO Bank N.V. (Financials) | (a | ) | 146,734 | 2,674,421 | ||||||||
Aegon N.V. (Financials) | (a | ) | 862,937 | 3,950,185 | ||||||||
ASM International N.V. (Information Technology) | (a | ) | 315 | 35,555 | ||||||||
ASML Holding N.V. (Information Technology) | (a | ) | 3,610 | 1,068,764 | ||||||||
ING Groep N.V. (Financials) | (a | ) | 161,587 | 1,942,664 |
25 | (continued) |
Ohio National Fund, Inc. | ON International Equity Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Common Stocks (Continued) | Shares | Value | ||||||||||
NETHERLANDS (continued) | ||||||||||||
NN Group N.V. (Financials) | (a) | 105,457 | $ | 4,009,767 | ||||||||
Royal Dutch Shell PLC Class A (Energy) | (a) | 174,138 | 5,156,961 | |||||||||
Royal Dutch Shell PLC Class B (Energy) | (a) | 85,405 | 2,535,133 | |||||||||
Wolters Kluwer N.V. (Industrials) | (a) | 49,807 | 3,636,682 | |||||||||
|
| |||||||||||
25,010,132 | ||||||||||||
|
| |||||||||||
FINLAND – 2.7% | ||||||||||||
Fortum Oyj (Utilities) | (a) | 64,333 | 1,587,958 | |||||||||
Huhtamaki Oyj (Materials) | (a) | 2,272 | 105,489 | |||||||||
Kone Oyj Class B (Industrials) | (a) | 67,764 | 4,430,942 | |||||||||
Nordea Bank Abp (Financials) | (a) | 346,891 | 2,806,411 | |||||||||
TietoEVRY Oyj (Information Technology) | (a) | 48,573 | 1,510,851 | |||||||||
UPM-Kymmene Oyj (Materials) | (a) | 39,179 | 1,359,295 | |||||||||
Valmet Oyj (Industrials) | (a) | 48,919 | 1,173,073 | |||||||||
|
| |||||||||||
12,974,019 | ||||||||||||
|
| |||||||||||
DENMARK – 2.3% | ||||||||||||
Carlsberg A/S Class B (Consumer Staples) | (a) | 28,767 | 4,293,071 | |||||||||
Chr Hansen Holding A/S (Materials) | (a) | 45,030 | 3,579,656 | |||||||||
Coloplast A/S Class B (Health Care) | (a) | 15,220 | 1,888,209 | |||||||||
Genmab A/S (Health Care) | (a)(b) | 2,043 | 454,370 | |||||||||
H Lundbeck A/S (Health Care) | (a) | 658 | 25,156 | |||||||||
Novo Nordisk A/S Class B (Health Care) | (a) | 7,277 | 421,693 | |||||||||
|
| |||||||||||
10,662,155 | ||||||||||||
|
| |||||||||||
SWEDEN – 2.0% | ||||||||||||
Assa Abloy AB Class B (Industrials) | (a) | 20,652 | 482,750 | |||||||||
Boliden AB (Materials) | (a) | 1,437 | 38,165 | |||||||||
Investor AB (Financials) | (a) | 79,855 | 4,359,588 | |||||||||
Volvo AB (Industrials) | (a) | 287,652 | 4,815,636 | |||||||||
|
| |||||||||||
9,696,139 | ||||||||||||
|
| |||||||||||
IRELAND – 1.6% | ||||||||||||
DCC PLC (Industrials) | (a) | 7,481 | 648,895 | |||||||||
Experian PLC (Industrials) | (a) | 141,135 | 4,784,399 | |||||||||
James Hardie Industries PLC (Materials) | (a) | 114,020 | 2,228,459 | |||||||||
|
| |||||||||||
7,661,753 | ||||||||||||
|
| |||||||||||
HONG KONG – 1.5% | ||||||||||||
AIA Group Ltd. (Financials) | (a) | 104,400 | 1,098,075 | |||||||||
ASM Pacific Technology Ltd. (Information Technology) | (a) | 3,100 | 43,029 | |||||||||
BOC Hong Kong Holdings Ltd. (Financials) | (a) | 21,500 | 74,636 | |||||||||
Champion REIT (Real Estate) | (a) | 300,000 | 198,255 | |||||||||
CK Asset Holdings Ltd. (Real Estate) | (a) | 27,500 | 198,446 | |||||||||
CK Hutchison Holdings Ltd. (Industrials) | (a) | 177,000 | 1,687,780 | |||||||||
CK Infrastructure Holdings Ltd. (Utilities) | (a) | 36,000 | 256,201 | |||||||||
CLP Holdings Ltd. (Utilities) | (a) | 19,500 | 204,700 | |||||||||
ESR Cayman Ltd. (Real Estate) | (b)(c) | 7,600 | 17,166 | |||||||||
HKT Trust & HKT Ltd. (Communication Services) | (a) | 324,000 | 456,609 | |||||||||
Hongkong Land Holdings Ltd. (Real Estate) | (a) | 16,300 | 93,758 | |||||||||
Hysan Development Co. Ltd. (Real Estate) | (a) | 8,000 | 31,370 | |||||||||
Kerry Properties Ltd. (Real Estate) | (a) | 29,500 | 93,694 | |||||||||
NWS Holdings Ltd. (Industrials) | (a) | 359,000 | 503,161 | |||||||||
Sino Land Co. Ltd. (Real Estate) | (a) | 74,000 | 107,412 | |||||||||
Swire Pacific Ltd. Class A (Real Estate) | (a) | 165,500 | 1,537,444 | |||||||||
Swire Properties Ltd. (Real Estate) | (a) | 156,600 | 518,792 | |||||||||
Techtronic Industries Co. Ltd. (Industrials) | (a) | 5,000 | 40,808 | |||||||||
Xinyi Glass Holdings Ltd. (Consumer Discretionary) | (a) | 22,000 | 29,149 | |||||||||
|
| |||||||||||
7,190,485 | ||||||||||||
|
|
Common Stocks (Continued) | Shares | Value | ||||||||||
SPAIN – 1.5% | ||||||||||||
Acerinox SA (Materials) | (a) | 46,650 | $ | 527,131 | ||||||||
Amadeus IT Group SA (Information Technology) | (a) | 18,833 | 1,542,361 | |||||||||
Banco Bilbao Vizcaya Argentaria SA (Financials) | (a) | 25,064 | 140,718 | |||||||||
CaixaBank SA (Financials) | (a) | 5,736 | 18,063 | |||||||||
CIE Automotive SA (Consumer Discretionary) | (a) | 8,984 | 213,204 | |||||||||
Grifols SA (Health Care) | (a) | 9,375 | 331,233 | |||||||||
Telefonica SA (Communication Services) | (a) | 629,384 | 4,401,346 | |||||||||
|
| |||||||||||
7,174,056 | ||||||||||||
|
| |||||||||||
SINGAPORE – 1.2% | ||||||||||||
DBS Group Holdings Ltd. (Financials) | (a) | 108,820 | 2,098,185 | |||||||||
NetLink NBN Trust (Communication Services) | (c) | 4,531,100 | 3,183,679 | |||||||||
Singapore Technologies Engineering Ltd. (Industrials) | (a) | 133,600 | 391,266 | |||||||||
|
| |||||||||||
5,673,130 | ||||||||||||
|
| |||||||||||
ITALY – 1.0% | ||||||||||||
A2A SpA (Utilities) | (a) | 358,598 | 673,390 | |||||||||
Ferrari N.V. (Consumer Discretionary) | (a) | 22,962 | 3,812,510 | |||||||||
Italgas SpA (Utilities) | (a) | 10,309 | 63,026 | |||||||||
|
| |||||||||||
4,548,926 | ||||||||||||
|
| |||||||||||
NORWAY – 0.9% | ||||||||||||
Equinor ASA (Energy) | (a) | 223,243 | 4,451,972 | |||||||||
|
| |||||||||||
ISRAEL – 0.9% | ||||||||||||
Bank LeumiLe-Israel BM (Financials) | (a) | 558,568 | 4,073,597 | |||||||||
|
| |||||||||||
LUXEMBOURG – 0.8% | ||||||||||||
APERAM SA (Materials) | (a) | 4,539 | 145,806 | |||||||||
Aroundtown SA (Real Estate) | (a) | 413,454 | 3,713,551 | |||||||||
|
| |||||||||||
3,859,357 | ||||||||||||
|
| |||||||||||
MACAO – 0.7% | ||||||||||||
Sands China Ltd. (Consumer Discretionary) | (a) | 619,200 | 3,308,428 | |||||||||
|
| |||||||||||
BELGIUM – 0.4% | ||||||||||||
Galapagos N.V. (Health Care) | (a)(b) | 1,363 | 283,841 | |||||||||
Groupe Bruxelles Lambert SA (Financials) | (a) | 13,550 | 1,429,808 | |||||||||
Solvay SA (Materials) | (a) | 815 | 94,860 | |||||||||
|
| |||||||||||
1,808,509 | ||||||||||||
|
| |||||||||||
AUSTRIA – 0.0% | ||||||||||||
Raiffeisen Bank International AG (Financials) | (a) | 4,652 | 116,437 | |||||||||
|
| |||||||||||
Total Common Stocks | $ | 463,580,100 | ||||||||||
|
| |||||||||||
Money Market Funds – 0.9% | Shares | Value | ||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class, 1.734% | (d) | 4,433,373 | $ | 4,433,817 | ||||||||
|
| |||||||||||
Total Money Market Funds | $ | 4,433,817 | ||||||||||
|
| |||||||||||
Total Investments – 98.7% | (e) | $ | 468,013,917 | |||||||||
Other Assets in Excess of Liabilities – 1.3% | (f) | 6,223,521 | ||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 474,237,438 | ||||||||||
|
|
26 | (continued) |
Ohio National Fund, Inc. | ON International Equity Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Percentages are stated as a percent of net assets.
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 $458,107,739 or 96.6% 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 $5,472,361 or 1.2% 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) | Rate represents theseven-day yield at December 31, 2019. |
(e) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
(f) | Includes $545,494 of cash pledged as collateral for the futures contracts outstanding at December 31, 2019. See also the following Schedule of Open Futures Contracts. |
The accompanying notes are an integral part of these financial statements.
Schedule of Open Futures Contracts | December 31, 2019 |
Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||||||||||||||||||||
CME Nikkei 225 Yen Index - Long | 26 | March 12, 2020 | $ | 2,804,181 | $ | 2,802,678 | $ | (1,503 | ) | $ | 2,393 | |||||||||||||||||||
ASX SPI 200 Index - Long | 6 | March 19, 2020 | 713,603 | 695,048 | (18,555 | ) | (14,526 | ) | ||||||||||||||||||||||
Euro Stoxx 50 Index - Long | 105 | March 20, 2020 | 4,405,304 | 4,391,960 | (13,344 | ) | 0 | |||||||||||||||||||||||
ICE FTSE 100 Index - Long | 18 | March 20, 2020 | 1,781,102 | 1,787,971 | 6,869 | (8,822 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||
$ | 9,704,190 | $ | 9,677,657 | $ | (26,533 | ) | $ | (20,955 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
27
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 net assets in foreign securities.
Performance as of December 31, 2019 |
Average Annual returns | ||||
One year | 10.17 | % | ||
Five years | 2.43 | % | ||
Ten years | 4.75 | % |
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-free1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Total expense ratio is 1.04% per the Fund’s prospectus dated November 22, 2019. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2019 can be found in the Portfolio’s Financial Highlights.
Comments fromSub-Adviser |
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A.For the year ended December 31, 2019, the Portfolio returned 10.17% versus 22.01% for its current benchmark, the MSCI EAFE Index (Net –USD), and 21.51% for its former benchmark, the MSCI All Country WorldEx-USA Index (Net – USD).
Effective December 7, 2019, BlackRock Investment Management, LLC (“BlackRock”) replaced the Portfolio’s previoussub-adviser, Templeton Global Advisors Limited (“Templeton”). In conjunction with the change insub-adviser and investment strategy, the Portfolio’s benchmark was changed from MSCI All Country WorldEx-USA Index (Net – USD) to MSCI EAFE Index (Net – USD). The change in the benchmark was made because the MSCI EAFE Index (Net – USD) better reflects the style of the strategy utilized by BlackRock.
For the period from January 1, 2019 to December 6, 2019 (the “first performance period”), the Portfolio returned 7.92% versus 17.02% for the MSCI All Country WorldEx-USA Index (Net – USD).
For the period from December 7, 2019 to December 31, 2019 (the “latter performance period”), the Portfolio returned 2.08% versus 2.86% for the MSCI EAFE Index (Net – USD).
Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?
A. Templeton:The relative underperformance of value stocks continued to hinder Templeton portfolios through most of the first performance period. International growth stocks outperformed international value stocks during every month of the period except September, when slightly improved economic news and more accommodative central bank
messaging sparked a sharp reversal. The U.S. dollar rose in value against most foreign currencies, which hurt the Portfolio’s performance because investments in securities withnon-U.S. currency lost value as the U.S. dollar rose.
A. BlackRock:International equity markets continued to climb in December, as an easing of global trade tensions, supportive central bank policy, and improving economic indicators, particularly in Germany, all helped drive positive returns throughout the fourth quarter and into the end of the year. As markets were largely driven by geopolitical and broad macroeconomic factors, including a widely-followed general election in the U.K., some of the Portfolio’s stock selection insights struggled throughout the latter performance period. Given the continuously evolving geopolitical and market landscape late in the year, the Portfolio’s trend-based insights were challenged throughout the latter performance period. Similarly, sentiment-driven signals struggled, as the macro-driven market moves were often disconnected from stock-specific sentiment. Insights evaluating company fundamentals were mixed during the latter performance period, as signals designed to identify relative value opportunities, as well as the Portfolio’s company quality signals, were generally flat, detracting modestly in aggregate. Lastly, macro thematic insights were broadly mixed amongst both country timing and industry timing signals.
Q. How did country selection impact the Portfolio’s performance relative to the benchmark?
A. Templeton:Country selection detracted from relative performance during the first performance period. Stock selection in Asia was the biggest relative detractor, with China and Japan responsible for most of the region’s underperformance. Stock selection in Europe also hurt relative results. The U.K., buffeted by uncertainties around Brexit, was the region’s biggest detractor, hurt by both stock selection and an unfavorable overweight. Stock selection helped relative results in North America, the only region to contribute to relative performance.Off-benchmark and overweighted allocations in a handful of American and Canadian companies boosted those regions’ results.
A. BlackRock:The Portfolio targets a relatively country-neutral approach. That being said, maintaining a modest underweight to Japan contributed to results, whereas a modest underweight to Sweden detracted from relative returns. From a country perspective, stock selection was strongest in Switzerland and Hong Kong. Selection was weakest in Japan, Spain and Germany. (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. Templeton:Both stock selection and sector allocation detracted from relative performance during the first performance period. Communication Services was the Portfolio’s biggest relative detractor, hurt by stock selection and an overweight. We added to the sector during the period in order to increase the Portfolio’s exposure to higher quality stocks with defensive yield characteristics, which we believe should perform well once this mature cycle eventually inflects. The Portfolio’s Energy holdings also detracted due to stock selection and an overweight. We continue to see counter-cyclical opportunities in Energy, where highly cash-generative companies with healthy dividend yields trade at valuations consistent with oil prices, which are well below our normalized expectations. Stock selection also pressured Health Care holdings, offsetting a favorable overweight in the well-performing sector.
Relative underperformance during the first performance period was slightly offset by stock selection in the Information Technology and Materials sectors.
28 | (continued) |
Ohio National Fund, Inc. | ON Foreign Portfolio (Unaudited) (Continued) |
A. BlackRock:The portfolio management team targets a relatively sector-neutral approach and seeks to derive the majority of its alpha from security selection. While a modest underweight to the Energy sector detracted from relative returns, given the sector’s strong performance over the latter performance period, no other sector allocation decisions meaningfully affected results. As expected, the majority of the Portfolio’s modest underperformance was driven by security selection decisions. Stock selection was additive in the Health Care sector, especially among health care equipment and supplies companies. Selection in the Information Technology sector also helped relative performance. In contrast, security selection within the Financials sector, in particular among banks and insurance companies, was a notable detractor from relative performance. Selection in the Communication Services sector, especially within the diversified telecommunication services industry, also hindered relative returns.(1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. Templeton:Top Contributors (first performance period):
NXP Semiconductors N.V. (“NXP”) – Shares of the Dutch chip-maker rose to near-record highs after reporting better-than-expected sales and encouraging demand trends. NXP continues to offer solid near-term downside support, aided by an aggressive share buyback program, attractive asset base and mixture of industry tailwinds and self-help opportunities.
Alamos Gold, Inc. Class A – Shares of the Canadian precious metals miner rallied after the price of gold reached asix-year high and the firm announced lower-than-expected capital expenditures required to meet production forecasts.
BNP Paribas SA – Shares of the French lender advanced after reporting strong results from its fixed income unit and benefiting from more benign macroeconomic conditions in Europe.
Top Detractors (first performance period):
Teva Pharmaceutical Industries Ltd. – ADR (“Teva”) – Shares of the Israeli generic drug-maker slumped amid concerns about the firm’s heavy debt load and ongoing regulatory and litigation risks. Unforeseen events caused us to revisit our thesis on Teva, which, while cheap on a headline basis, is faced with considerable structural and event-driven risks.
China Telecom Corp. Ltd. – Shares of China’s largest fixed-line provider and third-largest mobile operator declined amid elevated 5G capital expenditures and continued security scrutiny of Chinese telecommunications companies.
Baidu, Inc. – ADR (“Baidu”) – Shares fell after China’s biggest online search engine posted its first loss since going public, as the firm struggled with a changing local market and slowing economy.
A. BlackRock:The Portfolio’s overweight position in Standard Chartered PLC was the largest relative individual contributor for the latter performance period. The primary driver of the stock’s appreciation was the successful sale of anon-core Indonesian bank, which netted about $500 million for the company. The U.K. election results also provided a modest tailwind for the British banking and financial services company. Overweighting energy company Equinor ASA also contributed to relative performance, as the increase in global oil prices towards the end of the year improved expectations on the future profitability of the company. Investors also reacted positively to Equinor ASA increasing its stake in Scatec Solar, which enabled the company to further diversify its revenue sourcing and strengthen its exposure to the rapidly-growing solar energy sector. An overweight position in Volvo AB further bolstered relative
returns. The company’s share price rose on news that it was selling its UD trucks business to Isuzu Motors Ltd. for roughly $2.3 billion and planning to distribute the majority of the cash back to shareholders. (1)
In contrast, the Portfolio’s overweight position in Safran SA was the largest relative individual detractor during the latter performance period. As one of Boeing’s largest European suppliers, Safran SA sold off considerably on news that Boeing would suspend production of its grounded 737 Max jet in January 2020. Remaining overweight Telefonica SA also detracted from relative returns, as investors reacted negatively to company announcements regarding the structure of its Latin American business and to its continued global divestiture of cell towers. The Portfolio’s overweight position in Japan-based Suntory Beverage and Food Ltd. further diminished relative performance, as the stock price declined following news that the company was planning to launch an India-only whiskey brand.(1)
Q. How did the Portfolio’s use of derivative instruments and initial public offerings (IPOs), if any, impact performance?
A. Templeton:The Portfolio did not hold any derivatives or participate in any IPOs during the first performance period.
A. BlackRock:Pursuant to the Portfolio’s investment strategy, futures contracts were used in the latter performance period to equitize cash and prevent a cash drag on performance. The futures did not meaningfully impact relative performance, however, due to their index characteristics and size in relation to the Portfolio’s net assets.(1)
Q. Were there any significant changes to the Portfolio’s management team, investment strategy, or security selection process during the reporting period?
A. Templeton:Christopher Peel beganco-managing the Portfolio alongside Tucker Scott in February 2019 and assumed full management responsibility on July 1, 2019. Alan Bartlett took over as Chief Investment Officer of Templeton Global Advisors on October 1, 2019, in anticipation of the retirement of Norman Boersma atyear-end.
A. BlackRock:There were no significant changes during the latter performance period.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2019. |
29 | (continued) |
Ohio National Fund, Inc. | ON Foreign Portfolio (Unaudited) (Continued) |
Change in Value of $10,000 Investment |
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The Portfolio’s benchmark was changed from MSCI All Country WorldEx-USA Index(Net-USD) to MSCI EAFE Index(Net-USD), effective December 7, 2019. The change in the benchmark was made because the MSCI EAFE Index(Net-USD) better reflects the style of the strategy utilized by the currentsub-adviser.
The MSCI EAFE Index(Net-USD) is a free-float-adjusted market-capitalization weighted index that is designed to measure the equity market performance of large andmid-cap securities across 21 developed markets, including countries in Europe, Australasia and the Far East, excluding the U.S. and Canada. The index is available for a number of regions, market segments/sizes and covers approximately 85% of the free-float-adjusted market capitalization in each of the 21 countries. The returns for this index include the effects of reinvested dividends, net of taxes, and adjustment to U.S. Dollar denomination.
The MSCI All Country WorldEx-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, while the MSCI All Country WorldEx-USA Index specifically 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.
Past performance is no guarantee of future results. Redemption of fund shares could have tax implications unique to each shareholder.
30 | (continued) |
Ohio National Fund, Inc. | ON Foreign Portfolio (Unaudited) (Continued) |
Portfolio Composition as of December 31, 2019(1) |
% of Net Assets | ||||
Common Stocks(4)(5) | 97.7 | |||
Money Market Funds and Other Net Assets | 2.3 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31, 2019(1)(2) (3) |
% of Net Assets | ||||||
1. | Roche Holding AG | 2.3 | ||||
2. | LVMH Moet Hennessy Louis Vuitton SE | 1.7 | ||||
3. | SAP SE | 1.6 | ||||
4. | Equinor ASA | 1.6 | ||||
5. | GlaxoSmithKline PLC | 1.6 | ||||
6. | Novartis AG | 1.5 | ||||
7. | Nestle SA | 1.5 | ||||
8. | Allianz SE | 1.5 | ||||
9. | British American Tobacco PLC | 1.5 | ||||
10. | L’Oreal SA | 1.3 |
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. |
(3) | Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher. |
(4) | Top 10 Country Weightings (Common Stocks): |
% of Net Assets | ||||
Japan | 22.3 | |||
United Kingdom | 14.0 | |||
France | 11.7 | |||
Switzerland | 10.4 | |||
Germany | 8.9 | |||
Australia | 7.4 | |||
Netherlands | 5.1 | |||
Hong Kong | 2.5 | |||
Finland | 2.4 | |||
Denmark | 2.2 |
(5) | Sectors (Common Stocks): |
% of Net Assets | ||||
Financials | 16.7 | |||
Industrials | 15.9 | |||
Health Care | 12.8 | |||
Consumer Staples | 12.7 | |||
Consumer Discretionary | 11.6 | |||
Materials | 7.3 | |||
Information Technology | 6.4 | |||
Communication Services | 4.6 | |||
Energy | 3.9 | |||
Real Estate | 3.3 | |||
Utilities | 2.5 | |||
|
| |||
97.7 | ||||
|
|
31
Ohio National Fund, Inc. | ON Foreign Portfolio |
Schedule of Investments | December 31, 2019 |
Common Stocks – 97.7% | Shares | Value | ||||||||
JAPAN – 22.3% | ||||||||||
Alfresa Holdings Corp. (Health Care) | (a) | 3,200 | $ | 65,008 | ||||||
Amada Holdings Co. Ltd. (Industrials) | (a) | 16,600 | 188,804 | |||||||
Dai-ichi Life Holdings, Inc. (Financials) | (a) | 25,400 | 418,599 | |||||||
Daikin Industries Ltd. (Industrials) | (a) | 800 | 112,872 | |||||||
Daito Trust Construction Co. Ltd. (Real Estate) | (a) | 800 | 98,861 | |||||||
Denka Co. Ltd. (Materials) | (a) | 500 | 14,864 | |||||||
Denso Corp. (Consumer Discretionary) | (a) | 9,400 | 424,526 | |||||||
Dentsu Group, Inc. (Communication Services) | (a) | 1,200 | 41,347 | |||||||
DIC Corp. (Materials) | (a) | 5,300 | 146,272 | |||||||
Dip Corp. (Communication Services) | (a) | 600 | 17,724 | |||||||
DMG Mori Co. Ltd. (Industrials) | (a) | 1,300 | 19,890 | |||||||
East Japan Railway Co. (Industrials) | (a) | 2,600 | 234,681 | |||||||
Fast Retailing Co. Ltd. (Consumer Discretionary) | (a) | 800 | 475,259 | |||||||
Fuji Media Holdings, Inc. (Communication Services) | (a) | 4,900 | 69,572 | |||||||
Fuji Seal International, Inc. (Materials) | (a) | 2,200 | 48,795 | |||||||
Isuzu Motors Ltd. (Consumer Discretionary) | (a) | 13,800 | 163,127 | |||||||
Izumi Co. Ltd. (Consumer Discretionary) | (a) | 1,900 | 68,435 | |||||||
Japan Post Holdings Co. Ltd. (Financials) | (a) | 13,800 | 129,782 | |||||||
JSR Corp. (Materials) | (a) | 6,600 | 120,731 | |||||||
JXTG Holdings, Inc. (Energy) | (a) | 12,200 | 55,371 | |||||||
Kaneka Corp. (Materials) | (a) | 3,900 | 124,903 | |||||||
Kao Corp. (Consumer Staples) | (a) | 6,000 | 494,850 | |||||||
Kawasaki Heavy Industries Ltd. (Industrials) | (a) | 900 | 19,671 | |||||||
KDDI Corp. (Communication Services) | (a) | 2,700 | 80,558 | |||||||
Kirin Holdings Co. Ltd. (Consumer Staples) | (a) | 18,800 | 410,339 | |||||||
Konica Minolta, Inc. (Information Technology) | (a) | 23,100 | 150,475 | |||||||
Matsumotokiyoshi Holdings Co. Ltd. (Consumer Staples) | (a) | 2,300 | 89,044 | |||||||
Mitsubishi Electric Corp. (Industrials) | (a) | 3,900 | 53,101 | |||||||
Mitsubishi Materials Corp. (Materials) | (a) | 4,500 | 122,129 | |||||||
Mitsubishi UFJ Financial Group, Inc. (Financials) | (a) | 61,200 | 330,868 | |||||||
Mitsui Chemicals, Inc. (Materials) | (a) | 4,900 | 119,361 | |||||||
Mitsui Fudosan Co. Ltd. (Real Estate) | (a) | 5,600 | 136,864 | |||||||
Mizuho Financial Group, Inc. (Financials) | (a) | 184,100 | 283,591 | |||||||
MS&AD Insurance Group Holdings, Inc. (Financials) | (a) | 1,300 | 42,911 | |||||||
Nidec Corp. (Industrials) | (a) | 2,600 | 355,118 | |||||||
Nifco Inc. (Consumer Discretionary) | (a) | 600 | 16,385 | |||||||
Nihon Kohden Corp. (Health Care) | (a) | 600 | 16,640 | |||||||
Nippon Electric Glass Co. Ltd. (Information Technology) | (a) | 2,800 | 62,160 | |||||||
Nippon Shokubai Co. Ltd. (Materials) | (a) | 700 | 43,378 | |||||||
NTN Corp. (Industrials) | (a) | 4,700 | 14,697 | |||||||
NTT Data Corp. (Information Technology) | (a) | 12,600 | 168,512 | |||||||
Pola Orbis Holdings, Inc. (Consumer Staples) | (a) | 3,100 | 73,839 | |||||||
Recruit Holdings Co. Ltd. (Industrials) | (a) | 2,700 | 101,129 | |||||||
Resona Holdings, Inc. (Financials) | (a) | 50,700 | 220,977 | |||||||
Sanwa Holdings Corp. (Industrials) | (a) | 7,800 | 87,405 | |||||||
Secom Co. Ltd. (Industrials) | (a) | 3,400 | 303,425 | |||||||
Seven & I Holdings Co. Ltd. (Consumer Staples) | (a) | 12,700 | 465,524 | |||||||
Shin-Etsu Chemical Co. Ltd. (Materials) | (a) | 400 | 43,989 | |||||||
Shionogi & Co. Ltd. (Health Care) | (a) | 6,200 | 383,541 | |||||||
SMC Corp. (Industrials) | (a) | 500 | 228,658 | |||||||
Sumitomo Heavy Industries Ltd. (Industrials) | (a) | 3,900 | 110,779 | |||||||
Sumitomo Metal Mining Co. Ltd. (Materials) | (a) | 3,500 | 112,700 | |||||||
Sumitomo Mitsui Financial Group, Inc. (Financials) | (a) | 14,200 | 524,482 | |||||||
Sumitomo Mitsui Trust Holdings, Inc. (Financials) | (a) | 3,800 | 150,218 | |||||||
Sundrug Co. Ltd. (Consumer Staples) | (a) | 3,300 | 119,400 | |||||||
Suntory Beverage & Food Ltd. (Consumer Staples) | (a) | 8,300 | 346,514 | |||||||
Takeda Pharmaceutical Co. Ltd. (Health Care) | (a) | 13,802 | 545,899 | |||||||
Tokyo Electron Ltd. (Information Technology) | (a) | 1,200 | 261,996 | |||||||
Topcon Corp. (Information Technology) | (a) | 2,400 | 31,020 |
Common Stocks (Continued) | Shares | Value | ||||||||
JAPAN (continued) | ||||||||||
Toyota Industries Corp. | ||||||||||
(Consumer Discretionary) | (a) | 300 | $ | 17,262 | ||||||
Toyota Motor Corp. (Consumer Discretionary) | (a) | 3,400 | 239,569 | |||||||
Toyota Tsusho Corp. (Industrials) | (a) | 1,100 | 38,640 | |||||||
Trend Micro, Inc. (Information Technology) | (a)(b) | 2,900 | 148,392 | |||||||
Ube Industries Ltd. (Materials) | (a) | 3,900 | 84,467 | |||||||
Yokogawa Electric Corp. (Information Technology) | (a) | 3,000 | 52,683 | |||||||
|
| |||||||||
10,742,583 | ||||||||||
|
| |||||||||
UNITED KINGDOM – 14.0% | ||||||||||
AstraZeneca PLC (Health Care) | (a) | 5,994 | 599,951 | |||||||
Berkeley Group Holdings PLC (Consumer Discretionary) | (a) | 2,446 | 157,457 | |||||||
BP PLC (Energy) | (a) | 20,204 | 127,099 | |||||||
British American Tobacco PLC (Consumer Staples) | (a) | 16,677 | 708,807 | |||||||
Compass Group PLC (Consumer Discretionary) | (a) | 9,648 | 241,796 | |||||||
Diageo PLC (Consumer Staples) | (a) | 8,816 | 371,477 | |||||||
GlaxoSmithKline PLC (Health Care) | (a) | 31,926 | 750,166 | |||||||
HSBC Holdings PLC (Financials) | (a) | 26,815 | 209,920 | |||||||
Johnson Matthey PLC (Materials) | (a) | 10,655 | 423,657 | |||||||
London Stock Exchange Group PLC (Financials) | (a) | 2,599 | 267,104 | |||||||
Moneysupermarket.com Group PLC | ||||||||||
(Consumer Discretionary) | (a) | 42,038 | 184,540 | |||||||
Pearson PLC (Communication Services) | (a) | 11,435 | 96,604 | |||||||
Prudential PLC (Financials) | (a) | 1,586 | 30,389 | |||||||
RELX PLC (Industrials) | (a) | 14,346 | 362,141 | |||||||
Rightmove PLC (Communication Services) | (a) | 45,345 | 380,496 | |||||||
Rio Tinto PLC (Materials) | (a) | 931 | 55,111 | |||||||
Smith & Nephew PLC (Health Care) | (a) | 14,455 | 348,376 | |||||||
Standard Chartered PLC (Financials) | (a) | 49,738 | 468,685 | |||||||
Unilever N.V. (Consumer Staples) | (a) | 2,866 | 164,482 | |||||||
Unilever PLC (Consumer Staples) | (a) | 1,039 | 59,475 | |||||||
Vodafone Group PLC (Communication Services) | (a) | 281,715 | 546,914 | |||||||
Wm Morrison Supermarkets PLC | ||||||||||
(Consumer Staples) | (c) | 82,273 | 217,740 | |||||||
|
| |||||||||
6,772,387 | ||||||||||
|
| |||||||||
FRANCE – 11.7% | ||||||||||
BNP Paribas SA (Financials) | (a) | 2,683 | 159,472 | |||||||
Bureau Veritas SA (Industrials) | (a) | 6,772 | 177,033 | |||||||
Cie de Saint-Gobain (Industrials) | (a) | 7,771 | 318,345 | |||||||
Credit Agricole SA (Financials) | (a) | 2,003 | 29,146 | |||||||
Dassault Systemes SE (Information Technology) | (a) | 1,816 | 299,504 | |||||||
Imerys SA (Materials) | (a) | 2,036 | 86,424 | |||||||
Kering SA (Consumer Discretionary) | (a) | 339 | 223,372 | |||||||
Lagardere SCA (Communication Services) | (a) | 1,897 | 41,411 | |||||||
Legrand SA (Industrials) | (a) | 375 | 30,624 | |||||||
L’Oreal SA (Consumer Staples) | (a) | 2,109 | 623,647 | |||||||
LVMH Moet Hennessy Louis Vuitton SE (Consumer Discretionary) | (a) | 1,726 | 804,236 | |||||||
Orpea (Health Care) | (a) | 120 | 15,395 | |||||||
Pernod Ricard SA (Consumer Staples) | (a) | 2,726 | 487,784 | |||||||
Peugeot SA (Consumer Discretionary) | (a) | 6,268 | 150,916 | |||||||
Publicis Groupe SA (Communication Services) | (a) | 6,485 | 294,039 | |||||||
Renault SA (Consumer Discretionary) | (a) | 336 | 15,956 | |||||||
Rexel SA (Industrials) | (a) | 24,908 | 331,293 | |||||||
Rubis SCA (Utilities) | (a) | 1,739 | 107,011 | |||||||
Safran SA (Industrials) | (a) | 3,462 | 534,738 | |||||||
Sanofi (Health Care) | (a) | 959 | 96,310 | |||||||
TOTAL SA (Energy) | (a) | 2,419 | 134,232 | |||||||
Veolia Environnement SA (Utilities) | (a) | 16,091 | 428,155 | |||||||
Vinci SA (Industrials) | (a) | 2,465 | 274,536 | |||||||
|
| |||||||||
5,663,579 | ||||||||||
|
|
32 | (continued) |
Ohio National Fund, Inc. | ON Foreign Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Common Stocks (Continued) | Shares | Value | ||||||||
SWITZERLAND – 10.4% | ||||||||||
Bucher Industries AG (Industrials) | (a) | 423 | $ | 148,455 | ||||||
Givaudan SA (Materials) | (a) | 89 | 278,837 | |||||||
LafargeHolcim Ltd. (Materials) | (a) | 6,434 | 356,942 | |||||||
Logitech International SA (Information Technology) | (a) | 8,472 | 401,342 | |||||||
Nestle SA (Consumer Staples) | (a) | 6,847 | 741,292 | |||||||
Novartis AG (Health Care) | (a) | 7,831 | 741,514 | |||||||
Roche Holding AG (Health Care) | (a) | 3,443 | 1,118,984 | |||||||
Sika AG (Materials) | (a) | 2,125 | 399,065 | |||||||
UBS Group AG (Financials) | (a) | 19,735 | 249,044 | |||||||
Zurich Insurance Group AG (Financials) | (a) | 1,406 | 576,740 | |||||||
|
| |||||||||
5,012,215 | ||||||||||
|
| |||||||||
GERMANY – 8.9% | ||||||||||
adidas AG (Consumer Discretionary) | (a) | 630 | 205,076 | |||||||
Allianz SE (Financials) | (a) | 2,898 | 710,090 | |||||||
Bayer AG (Health Care) | (a) | 1,770 | 143,895 | |||||||
Bayerische Motoren Werke AG (Consumer Discretionary) | (a) | 3,472 | 284,376 | |||||||
CompuGroup Medical SE (Health Care) | (a) | 831 | 59,267 | |||||||
Continental AG (Consumer Discretionary) | (a) | 3,239 | 418,577 | |||||||
Deutsche Post AG (Industrials) | (a) | 12,954 | 492,565 | |||||||
DWS Group GmbH & Co. KGaA (Financials) | (a) | 431 | 15,304 | |||||||
Fielmann AG (Consumer Discretionary) | (a) | 224 | 18,079 | |||||||
Merck KGaA (Health Care) | (a) | 3,633 | 428,308 | |||||||
Rational AG (Industrials) | (a) | 22 | 17,625 | |||||||
SAP SE (Information Technology) | (a) | 5,869 | 789,956 | |||||||
Siemens AG (Industrials) | (a) | 4,023 | 525,370 | |||||||
Stroeer SE & Co. KGaA (Communication Services) | (a) | 252 | 20,303 | |||||||
Telefonica Deutschland Holding AG (Communication Services) | (a) | 20,950 | 60,774 | |||||||
Volkswagen AG (Consumer Discretionary) | (a) | 507 | 98,198 | |||||||
|
| |||||||||
4,287,763 | ||||||||||
|
| |||||||||
AUSTRALIA – 7.4% | ||||||||||
AGL Energy Ltd. (Utilities) | (a) | 14,600 | 210,146 | |||||||
APA Group (Utilities) | (a) | 12,771 | 99,415 | |||||||
Aristocrat Leisure Ltd. (Consumer Discretionary) | (a) | 17,301 | 408,808 | |||||||
Australia & New Zealand Banking Group Ltd. (Financials) | (a) | 3,242 | 55,911 | |||||||
Bendigo & Adelaide Bank Ltd. (Financials) | (a) | 19,934 | 136,784 | |||||||
BHP Group Ltd. (Materials) | (a) | 5,959 | 163,171 | |||||||
carsales.com Ltd. (Communication Services) | (a) | 1,325 | 15,452 | |||||||
Cochlear Ltd. (Health Care) | (a) | 95 | 14,973 | |||||||
Commonwealth Bank of Australia (Financials) | (a) | 5,648 | 316,840 | |||||||
Computershare Ltd. (Information Technology) | (a) | 19,273 | 227,227 | |||||||
Crown Resorts Ltd. (Consumer Discretionary) | (a) | 11,058 | 93,232 | |||||||
CSL Ltd. (Health Care) | (a) | 1,446 | 280,353 | |||||||
GPT Group / The (Real Estate) | (a) | 4,037 | 15,902 | |||||||
IDP Education Ltd. (Consumer Discretionary) | (a) | 4,637 | 55,896 | |||||||
Insurance Australia Group Ltd. (Financials) | (a) | 4,177 | 22,444 | |||||||
Orica Ltd. (Materials) | (a) | 5,509 | 84,952 | |||||||
Scentre Group (Real Estate) | (a) | 157,018 | 422,576 | |||||||
Sonic Healthcare Ltd. (Health Care) | (a) | 7,834 | 157,956 | |||||||
Suncorp Group Ltd. (Financials) | (a) | 2,851 | 25,898 | |||||||
Tabcorp Holdings Ltd. (Consumer Discretionary) | (a) | 51,444 | 163,546 | |||||||
Treasury Wine Estates Ltd. (Consumer Staples) | (a) | 29,506 | 336,095 | |||||||
Westpac Banking Corp. (Financials) | (a) | 14,740 | 251,711 | |||||||
|
| |||||||||
3,559,288 | ||||||||||
|
| |||||||||
NETHERLANDS – 5.1% | ||||||||||
Aegon N.V. (Financials) | (a) | 66,282 | 303,413 | |||||||
ASM International N.V. (Information Technology) | (a) | 259 | 29,234 | |||||||
ASML Holding N.V. (Information Technology) | (a) | 367 | 108,653 | |||||||
Flow Traders (Financials) | (c) | 5,507 | 133,057 |
Common Stocks (Continued) | Shares | Value | ||||||||
NETHERLANDS (continued) | ||||||||||
ING Groep N.V. (Financials) | (a) | 42,095 | $ | 506,083 | ||||||
NN Group N.V. (Financials) | (a) | 10,704 | 406,996 | |||||||
Royal Dutch Shell PLC Class B (Energy) | (a) | 15,979 | 474,315 | |||||||
Royal Dutch Shell PLC Class A (Energy) | (a) | 10,433 | 308,965 | |||||||
Wolters Kluwer N.V. (Industrials) | (a) | 2,272 | 165,891 | |||||||
|
| |||||||||
2,436,607 | ||||||||||
|
| |||||||||
HONG KONG – 2.5% | ||||||||||
AIA Group Ltd. (Financials) | (a) | 10,600 | 111,490 | |||||||
CK Asset Holdings Ltd. (Real Estate) | (a) | 64,100 | 462,560 | |||||||
CK Hutchison Holdings Ltd. (Industrials) | (a) | 47,500 | 452,936 | |||||||
NWS Holdings Ltd. (Industrials) | (a) | 17,000 | 23,827 | |||||||
Swire Pacific Ltd. Class A (Real Estate) | (a) | 12,200 | 113,334 | |||||||
Swire Properties Ltd. (Real Estate) | (a) | 7,000 | 23,190 | |||||||
|
| |||||||||
1,187,337 | ||||||||||
|
| |||||||||
FINLAND – 2.4% | ||||||||||
Fortum Oyj (Utilities) | (a) | 9,107 | 224,792 | |||||||
Kone Oyj Class B (Industrials) | (a) | 6,913 | 452,026 | |||||||
Nordea Bank Abp (Financials) | (a) | 10,336 | 83,620 | |||||||
TietoEVRY Oyj (Information Technology) | (a) | 5,628 | 175,058 | |||||||
UPM-Kymmene Oyj (Materials) | (a) | 3,851 | 133,608 | |||||||
Valmet Oyj (Industrials) | (a) | 3,491 | 83,714 | |||||||
|
| |||||||||
1,152,818 | ||||||||||
|
| |||||||||
DENMARK – 2.2% | ||||||||||
Carlsberg A/S Class B (Consumer Staples) | (a) | 2,699 | 402,788 | |||||||
Chr Hansen Holding A/S (Materials) | (a) | 3,927 | 312,176 | |||||||
Coloplast A/S Class B (Health Care) | (a) | 2,077 | 257,675 | |||||||
Genmab A/S (Health Care) | (a)(b) | 208 | 46,260 | |||||||
Novo Nordisk A/S Class B (Health Care) | (a) | 781 | 45,258 | |||||||
|
| |||||||||
1,064,157 | ||||||||||
|
| |||||||||
IRELAND – 2.1% | ||||||||||
Bank of Ireland Group PLC (Financials) | (a) | 39,321 | 216,407 | |||||||
DCC PLC (Industrials) | (a) | 1,037 | 89,948 | |||||||
Experian PLC (Industrials) | (a) | 14,326 | 485,644 | |||||||
James Hardie Industries PLC (Materials) | (a) | 12,015 | 234,827 | |||||||
|
| |||||||||
1,026,826 | ||||||||||
|
| |||||||||
SWEDEN – 2.0% | ||||||||||
Investor AB (Financials) | (a) | 8,293 | 452,747 | |||||||
Volvo AB (Industrials) | (a) | 29,198 | 488,809 | |||||||
|
| |||||||||
941,556 | ||||||||||
|
| |||||||||
NORWAY – 1.6% | ||||||||||
Equinor ASA (Energy) | (a) | 39,122 | 780,181 | |||||||
|
| |||||||||
SPAIN – 1.5% | ||||||||||
Acerinox SA (Materials) | (a) | 1,577 | 17,820 | |||||||
Amadeus IT Group SA (Information Technology) | (a) | 2,399 | 196,470 | |||||||
CIE Automotive SA (Consumer Discretionary) | (a) | 828 | 19,650 | |||||||
Grifols SA (Health Care) | (a) | 952 | 33,635 | |||||||
Telefonica SA (Communication Services) | (a) | 64,261 | 449,384 | |||||||
|
| |||||||||
716,959 | ||||||||||
|
| |||||||||
ITALY – 1.1% | ||||||||||
A2A SpA (Utilities) | (a) | 46,604 | 87,515 | |||||||
Ferrari N.V. (Consumer Discretionary) | (a) | 2,552 | 423,723 | |||||||
Italgas SpA (Utilities) | (a) | 3,700 | 22,620 | |||||||
|
| |||||||||
533,858 | ||||||||||
|
| |||||||||
LUXEMBOURG – 0.6% | ||||||||||
Aroundtown SA (Real Estate) | (a) | 33,828 | 303,836 | |||||||
|
| |||||||||
MACAO – 0.5% | ||||||||||
Sands China Ltd. (Consumer Discretionary) | (a) | 45,200 | 241,507 | |||||||
|
|
33 | (continued) |
Ohio National Fund, Inc. | ON Foreign Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Common Stocks (Continued) | Shares | Value | ||||||||
SINGAPORE – 0.4% | ||||||||||
DBS Group Holdings Ltd. (Financials) | (a) | 3,100 | $ | 59,772 | ||||||
Singapore Technologies Engineering Ltd. (Industrials) | (a) | 54,000 | 158,146 | |||||||
|
| |||||||||
217,918 | ||||||||||
|
| |||||||||
CHINA – 0.4% | ||||||||||
Sinopec Engineering Group Co. Ltd. (Industrials) | (a) | 316,900 | 189,675 | |||||||
|
| |||||||||
BELGIUM – 0.4% | ||||||||||
Galapagos N.V. (Health Care) | (a)(b) | 139 | 28,946 | |||||||
Groupe Bruxelles Lambert SA (Financials) | (a) | 1,376 | 145,197 | |||||||
|
| |||||||||
174,143 | ||||||||||
|
| |||||||||
NEW ZEALAND – 0.2% | ||||||||||
SKY Network Television Ltd. (Communication Services) | (a) | 186,336 | 89,263 | |||||||
|
| |||||||||
Total Common Stocks | $ | 47,094,456 | ||||||||
|
|
Money Market Funds – 1.7% | Shares | Value | ||||||||
State Street Institutional Liquid Reserves Fund Institutional Class, 1.734% | (d) | 821,610 | $ | 821,692 | ||||||
|
| |||||||||
Total Money Market Funds | $ | 821,692 | ||||||||
|
| |||||||||
Total Investments – 99.4% | (e) | $ | 47,916,148 | |||||||
Other Assets in Excess of | (f) | 295,243 | ||||||||
|
| |||||||||
Net Assets – 100.0% | $ | 48,211,391 | ||||||||
|
|
Percentages are stated as a percent of net assets.
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 $46,743,659 or 97.0% 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 $350,797 or 0.7% of the Portfolio’s net assets. Other Portfolio securities are not subjected to fair valuation procedures because they are traded on domestic or foreign exchanges that have close times that are consistent with the U.S. market close, normally 4:00 pm Eastern Time. |
(d) | Rate represents theseven-day yield at December 31, 2019. |
(e) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
(f) | Includes $56,105 of cash pledged as collateral for the futures contracts outstanding at December 31, 2019. See also the following Schedule of Open Futures Contracts. |
The accompanying notes are an integral part of these financial statements.
Schedule of Open Futures Contracts | December 31, 2019 |
Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||||||||||||||||||||
CME Nikkei 225 Yen Index - Long | 2 | March 12, 2020 | $ | 217,312 | $ | 215,591 | $ | (1,721 | ) | $ | (184 | ) | ||||||||||||||||||
ASX SPI 200 Index - Long | 1 | March 19, 2020 | 117,825 | 115,841 | (1,984 | ) | 1,544 | |||||||||||||||||||||||
Euro Stoxx 50 Index - Long | 11 | March 20, 2020 | 461,428 | 460,110 | (1,318 | ) | 0 | |||||||||||||||||||||||
ICE FTSE 100 Index - Long | 2 | March 20, 2020 | 197,508 | 198,663 | 1,155 | (980 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||
$ | 994,073 | $ | 990,205 | $ | (3,868 | ) | $ | 380 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
34
Ohio National Fund, Inc. | ON Janus Henderson Forty Portfolio (Unaudited) |
Objective/Strategy |
The ON Janus Henderson Forty Portfolio seeks long-term capital growth by investing primarily in domestic and foreign equity securities selected for growth potential.
Performance as of December 31, 2019 |
Average Annual returns | ||||
One year | 34.89% | |||
Five years | 15.60% | |||
Ten years | 14.30% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free1-877-781-6392.
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 November 22, 2019. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2019 can be found in the Portfolio’s Financial Highlights.
Comments fromSub-Adviser |
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A.For the year ended December 31, 2019, the Portfolio returned 34.89% versus 36.39% 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.Due to the concentrated nature of the Portfolio, relative underperformance was due largely to the individual stocks in the Portfolio, rather than a market condition or investment strategy that worked for or against 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 security selection, was there anything specific regarding the Portfolio’s strategy that caused deviation from the benchmark?
A.Due to the concentrated nature of the Portfolio, sector holdings are significantly different from those in the benchmark. Sector allocation detracted from Portfolio performance for the period. An overweight allocation to the Health Care sector, which was the second-worst performing sector in the benchmark, was the primary drag from a sector allocation perspective. In a period of strong returns, the Portfolio’s small cash position also somewhat detracted from performance.(1)
Strong stock selection in the Information Technology sector was the key contributor to relative performance. Stock selection within Materials and stock selection and an underweight allocation to the Consumer Discretionary sector also aided performance.(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 largest relative contributor. Our basic view is that Mastercard’s payments network is a competitive moat that positions the business as a key beneficiary as more transactions migrate from cash and check to plastic and electronic payments. ASML Holding N.V. was the second-largest relative contributor. Growth in cloud computing, which has translated into rising demand for NAND flash memory and Dynamic Random Access Memory, and strong initial demand for 5G devices and infrastructure, benefited the position in the developer of semiconductor manufacturing equipment. L3Harris Technologies, Inc. was another top contributor, as Harris Corp. and L3 Technologies Inc. merged during the year. We continue to see upside for the newly formed company, and expect the combined entity to realize significant synergies from the merger.(1)
Apple Inc. was the largest relative detractor. The Portfolio had some exposure to Apple, Inc. but was underweight the stock relative to the benchmark. The stock price of Apple, Inc. increased strongly during the year. Facebook, Inc. Class A was another relative detractor, as concerns about increased regulatory scrutiny have been an overhang for the stock. We expect expense growth to remain elevated as the company addresses these concerns.(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 year. The Portfolio participated in two IPOs during the year, which added 6 basis points to absolute return.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2019. |
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 higherprice-to-book ratios and higher forecasted growth values. The Russell 1000 Index measures the performance of thelarge-cap segment of the U.S. equity universe. The index presented includes the effects of reinvested dividends.
Past performance is no guarantee of future results. Redemption of fund shares could have tax implications unique to each shareholder.
35 | (continued) |
Ohio National Fund, Inc. | ON Janus Henderson Forty Portfolio (Unaudited) (Continued) |
Portfolio Composition as of December 31, 2019(1) |
% of Net Assets | ||||
Common Stocks(4) | 98.6 | |||
Money Market Funds | ||||
Less Net Liabilities | 1.4 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31, |
% of Net Assets | ||||||
1. | Microsoft Corp. | 8.0 | ||||
2. | Mastercard, Inc. Class A | 6.0 | ||||
3. | Alphabet, Inc. Class C | 5.3 | ||||
4. | Apple, Inc. | 4.9 | ||||
5. | Amazon.com, Inc. | 4.4 | ||||
6. | Facebook, Inc. Class A | 3.5 | ||||
7. | Boston Scientific Corp. | 3.1 | ||||
8. | salesforce.com, Inc. | 3.0 | ||||
9. | L3Harris Technologies, Inc. | 3.0 | ||||
10. | American Tower 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 | 33.3 | |||
Health Care | 17.0 | |||
Communication Services | 14.9 | |||
Consumer Discretionary | 11.9 | |||
Industrials | 9.9 | |||
Financials | 6.1 | |||
Real Estate | 2.9 | |||
Materials | 2.6 | |||
|
| |||
98.6 | ||||
|
|
36
Ohio National Fund, Inc. | ON Janus Henderson Forty Portfolio |
Schedule of Investments | December 31, 2019 |
Common Stocks – 98.6% | Shares | Value | ||||||||||
COMMUNICATION SERVICES – 14.9% |
| |||||||||||
Alphabet, Inc. Class C (Interactive Media & Svs.) | (a | ) | 7,781 | $ | 10,403,353 | |||||||
Facebook, Inc. Class A (Interactive Media & Svs.) | (a | ) | 33,488 | 6,873,412 | ||||||||
GCI Liberty, Inc. Class A (Diversified Telecom. Svs.) | (a | ) | 34,372 | 2,435,256 | ||||||||
Live Nation Entertainment, Inc. (Entertainment) | (a | ) | 18,128 | 1,295,608 | ||||||||
Netflix, Inc. (Entertainment) | (a | ) | 12,412 | 4,016,151 | ||||||||
Walt Disney Co. / The (Entertainment) | 30,186 | 4,365,801 | ||||||||||
|
| |||||||||||
29,389,581 | ||||||||||||
|
| |||||||||||
CONSUMER DISCRETIONARY – 11.9% |
| |||||||||||
Amazon.com, Inc. (Internet & Direct Marketing Retail) | (a | ) | 4,693 | 8,671,913 | ||||||||
Hasbro, Inc. (Leisure Products) | 39,075 | 4,126,711 | ||||||||||
Home Depot, Inc. / The (Specialty Retail) | 19,920 | 4,350,130 | ||||||||||
NIKE, Inc. Class B (Textiles, Apparel & Luxury Goods) | 31,656 | 3,207,069 | ||||||||||
ServiceMaster Global Holdings, Inc. (Diversified Consumer Svs.) | (a | ) | 80,234 | 3,101,846 | ||||||||
|
| |||||||||||
23,457,669 | ||||||||||||
|
| |||||||||||
FINANCIALS – 6.1% | ||||||||||||
Charles Schwab Corp. / The (Capital Markets) | 79,042 | 3,759,238 | ||||||||||
Intercontinental Exchange, Inc. (Capital Markets) | 42,124 | 3,898,576 | ||||||||||
Markel Corp. (Insurance) | (a | ) | 3,870 | 4,424,068 | ||||||||
|
| |||||||||||
12,081,882 | ||||||||||||
|
| |||||||||||
HEALTH CARE – 17.0% | ||||||||||||
Boston Scientific Corp. (Health Care Equip. & Supplies) | (a | ) | 133,582 | 6,040,578 | ||||||||
Cooper Cos., Inc. / The (Health Care Equip. & Supplies) | 15,732 | 5,054,534 | ||||||||||
Danaher Corp. (Health Care Equip. & Supplies) | 30,165 | 4,629,724 | ||||||||||
Edwards Lifesciences Corp. (Health Care Equip. & Supplies) | (a | ) | 6,725 | 1,568,875 | ||||||||
Globus Medical, Inc. Class A (Health Care Equip. & Supplies) | (a | ) | 38,909 | 2,290,962 | ||||||||
ICU Medical, Inc. (Health Care Equip. & Supplies) | (a | ) | 17,768 | 3,324,748 | ||||||||
Insmed, Inc. (Biotechnology) | (a | ) | 124,576 | 2,974,875 | ||||||||
Intuitive Surgical, Inc. (Health Care Equip. & Supplies) | (a | ) | 8,129 | 4,805,459 | ||||||||
Neurocrine Biosciences, Inc. (Biotechnology) | (a | ) | 24,805 | 2,666,290 | ||||||||
|
| |||||||||||
33,356,045 | ||||||||||||
|
|
Common Stocks (Continued) | Shares | Value | ||||||||||
INDUSTRIALS – 9.9% | ||||||||||||
Boeing Co. / The (Aerospace & Defense) | 13,476 | $ | 4,389,942 | |||||||||
CoStar Group, Inc. (Professional Svs.) | (a | ) | 6,618 | 3,959,549 | ||||||||
L3Harris Technologies, Inc. (Aerospace & Defense) | 29,753 | 5,887,226 | ||||||||||
Westinghouse Air Brake Technologies Corp. (Machinery) | 68,299 | 5,313,662 | ||||||||||
|
| |||||||||||
19,550,379 | ||||||||||||
|
| |||||||||||
INFORMATION TECHNOLOGY – 33.3% |
| |||||||||||
Adobe, Inc. (Software) | (a | ) | 12,756 | 4,207,056 | ||||||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 32,701 | 9,602,649 | ||||||||||
ASML Holding N.V. (Semiconductors & Equip.) | 14,548 | 4,305,335 | ||||||||||
Atlassian Corp. PLC Class A (Software) | (a | ) | 8,774 | 1,055,863 | ||||||||
Avalara, Inc. (Software) | (a | ) | 27,275 | 1,997,894 | ||||||||
Cognex Corp. (Electronic Equip., Instr. & Comp.) | 19,684 | 1,103,091 | ||||||||||
Mastercard, Inc. Class A (IT Svs.) | 39,737 | 11,865,071 | ||||||||||
Microchip Technology, Inc. (Semiconductors & Equip.) | 24,897 | 2,607,214 | ||||||||||
Microsoft Corp. (Software) | 99,977 | 15,766,373 | ||||||||||
salesforce.com, Inc. (Software) | (a | ) | 36,202 | 5,887,893 | ||||||||
Texas Instruments, Inc. (Semiconductors & Equip.) | 43,454 | 5,574,714 | ||||||||||
Zendesk, Inc. (Software) | (a | ) | 21,250 | 1,628,387 | ||||||||
|
| |||||||||||
65,601,540 | ||||||||||||
|
| |||||||||||
MATERIALS – 2.6% | ||||||||||||
Ball Corp. (Containers & Packaging) | 34,948 | 2,260,087 | ||||||||||
Sherwin-Williams Co. / The (Chemicals) | 5,015 | 2,926,453 | ||||||||||
|
| |||||||||||
5,186,540 | ||||||||||||
|
| |||||||||||
REAL ESTATE – 2.9% | ||||||||||||
American Tower Corp. (Equity REIT) | 24,313 | 5,587,614 | ||||||||||
|
| |||||||||||
Total Common Stocks | $ | 194,211,250 | ||||||||||
|
| |||||||||||
Money Market Funds – 1.6% | Shares | Value | ||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class, 1.734% | (b | ) | 3,069,396 | $ | 3,069,703 | |||||||
|
| |||||||||||
Total Money Market Funds | $ | 3,069,703 | ||||||||||
|
| |||||||||||
Total Investments – 100.2% | (c | ) | $ | 197,280,953 | ||||||||
Liabilities in Excess of Other Assets – (0.2)% | (331,100 | ) | ||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 196,949,853 | ||||||||||
|
|
Percentages are stated as a percent of net assets.
Footnotes:
(a) | Non-income producing security. |
(b) | Rate represents theseven-day yield at December 31, 2019. |
(c) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
37 |
Ohio National Fund, Inc. | ON Janus Henderson Venture Portfolio (Unaudited) |
Objective/Strategy |
The ON Janus Henderson Venture Portfolio seeks long-term capital appreciation by investing, under normal circumstances, at least 80% of its net assets in stocks of small capitalization companies.
Performance as of December 31, 2019 |
Average Annual returns | ||||
One year | 28.61 | % | ||
Five years | 9.64 | % | ||
Ten years | 14.92 | % |
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-free1-877-781-6392.
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 November 22, 2019. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2019 can be found in the Portfolio’s Financial Highlights.
Comments fromSub-Adviser |
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A.For the year ended December 31, 2019, the Portfolio returned 28.61% versus 28.48% 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.Relative performance was affected by a valuation bifurcation amongsmall-cap stocks. Companies tied to secular growth trends, such as biotechnology innovation orsoftware-as-a-service (“SaaS”), traded at extreme multiples during the year. Many of these companies have yet to produce earnings and trade at absurdly high multiples of revenue. At the opposite end of the spectrum, stocks of many companies with any cyclicality to their business models were already pricing in a recession.
The Portfolio owns companies tied to powerful secular growth trends, such as biotechnology innovation or the transition of software services to the cloud, but we have taken a selective approach. Holdings in the biotechnology industry demonstrate this process. We’ve generally avoided the smallest biotechnology companies in the benchmark, whose potential earnings streams are often tied to a single treatment still under development. Instead, we favor companies with established products whose earnings streams are more visible. We also hold companies providing services that improve drug delivery and development. Such businesses still benefit from broad industry innovation and the proliferation of new drugs, but should be less risky than owning a stock whose performance is tied largely to the binary outcome of a single clinical trial. At the same time, we endeavored to own fewer cyclical companies. Many of our industrial companies, for example, have strong aftermarket businesses that help buttress earnings even in a less certain economic environment. This approach helped our relative performance during a year often marked by volatility.(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.Stock selection and an overweight to Information Technology contributed to the Portfolio’s relative outperformance. Many Information Technology holdings are not traditional technology companies, but rather business services companies that use technology to improve operations for end markets from health care to financial services. These types of services have typically delivered steady, recurring revenue streams for companies, helping to support strong stock market performance.(1)
Stock selection and an underweight in Health Care detracted from relative performance, however.(1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A.Catalent, Inc. (“Catalent), an outsourced pharmaceutical manufacturer not in the benchmark, was the top relative contributor. The stock rebounded strongly in the first quarter of 2019, following a fourth quarter 2018 decline that reflected concerns over an industry ibuprofen shortage. Catalent was able to source an alternative supplier of ibuprofen in the first quarter, which resolved the shortage issue. It also reported strong results for its biologics business, a key growth driver. We believe Catalent represents a less-risky way to invest in the innovation taking place in the biotechnology and pharmaceutical industries. The second largest relative contributor, aerospace and electronics company HEICO Corp. Class A, specializes in aftermarket aerospace components, a business that provides steady, recurring revenue streams. The company also benefited from international regulatory changes that made it easier for manufacturers to use aftermarket parts. Neogenomics, Inc., which operates diagnostic labs that help doctors analyze genetic markers and personalize cancer treatments, was the third largest relative contributor. The stock rose as the company continued to strengthen its market position through acquisitions. It is well positioned to benefit from a broad range of cancer treatment milestones.(1)
Not owning benchmark holding Arrowhead Biopharma, Inc. detracted from relative performance. The stock rose strongly after the early-stage biopharmaceutical company reported strong clinical trial news related to a hepatitis B treatment it is developing with Johnson & Johnson. Not owning benchmark holding Array Biopharma also hurt relative results, as the stock surged higher on news of the company’s acquisition by Pfizer. Waitr Holdings, Inc., a stock the Portfolio did own, was a third notable detractor from relative performance. The company offers a platform that facilitates online ordering and delivery from local restaurants. The stock declined due to concerns over increased competition after larger, better capitalized competitors entered its markets. The company also faced challenges with entering and ramping up in new markets, which weighed on its earnings performance. We exited the position during the year.(1)
Q. How did the Portfolio’s use of derivative instruments and initial public offerings (IPOs), if any, impact performance?
A.The Portfolio did not use derivatives during the year. The Portfolio participated in twelve IPOs during the year, which contributed 100 basis points to absolute return. Notable individual contributors were BellRing Brands, Inc. Class A and Bridgebio Pharma, Inc., contributing 26 and 25 basis points to absolute return, respectively.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2019. |
38 | (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 thesmall-cap growth segment of the U.S. equity universe. It includes the Russell 2000 Index companies with higherprice-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.
Past performance is no guarantee of future results. Redemption of fund shares could have tax implications unique to each shareholder.
Portfolio Composition as of December 31, 2019(1) |
% of Net Assets | ||||
Common Stocks(4) | 96.3 | |||
Master Limited Partnerships(4) | 1.4 | |||
Money Market Funds and Other Net Assets | 2.3 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31, |
% of Net Assets | ||||||
1. | Catalent, Inc. | 2.6 | ||||
2. | Nice Ltd. – ADR | 2.2 | ||||
3. | Euronet Worldwide, Inc. | 2.1 | ||||
4. | LPL Financial Holdings, Inc. | 2.0 | ||||
5. | ON Semiconductor Corp. | 1.8 | ||||
6. | j2 Global, Inc. | 1.8 | ||||
7. | SS&C Technologies Holdings, Inc. | 1.6 | ||||
8. | Blackbaud, Inc. | 1.6 | ||||
9. | ITT, Inc. | 1.6 | ||||
10. | CSW Industrials, 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, Master Limited Partnerships): |
% of Net Assets | ||||
Information Technology | 32.2 | |||
Health Care | 21.8 | |||
Industrials | 17.6 | |||
Consumer Discretionary | 9.2 | |||
Financials | 5.8 | |||
Materials | 5.2 | |||
Consumer Staples | 2.1 | |||
Real Estate | 2.0 | |||
Energy | 1.1 | |||
Communication Services | 0.7 | |||
|
| |||
97.7 | ||||
|
|
39
Ohio National Fund, Inc. | ON Janus Henderson Venture Portfolio |
Schedule of Investments | December 31, 2019 |
Common Stocks – 96.3% | Shares | Value | ||||||||||
COMMUNICATION SERVICES – 0.7% |
| |||||||||||
Manchester United PLC Class A (Entertainment) | 47,384 | $ | 944,363 | |||||||||
Vonage Holdings Corp. (Diversified Telecom. Svs.) | (a | ) | 43,807 | 323,734 | ||||||||
|
| |||||||||||
1,268,097 | ||||||||||||
|
| |||||||||||
CONSUMER DISCRETIONARY – 7.8% |
| |||||||||||
Carter’s, Inc. (Textiles, Apparel & Luxury Goods) | 9,542 | 1,043,322 | ||||||||||
Dunkin’ Brands Group, Inc. (Hotels, Restaurants & Leisure) | 17,181 | 1,297,853 | ||||||||||
frontdoor, Inc. (Diversified Consumer Svs.) | (a | ) | 32,116 | 1,522,941 | ||||||||
K12, Inc. (Diversified Consumer Svs.) | (a | ) | 55,264 | 1,124,622 | ||||||||
Lovesac Co. / The (Household Durables) | (a | ) | 47,301 | 759,181 | ||||||||
MakeMyTrip Ltd. (Internet & Direct Marketing Retail) | (a | ) | 4,342 | 99,432 | ||||||||
Monarch Casino & Resort, Inc. (Hotels, Restaurants & Leisure) | (a | ) | 22,610 | 1,097,715 | ||||||||
RealReal, Inc. / The (Internet & Direct Marketing Retail) | (a | ) | 26,542 | 500,317 | ||||||||
ServiceMaster Global Holdings, Inc. (Diversified Consumer Svs.) | (a | ) | 64,232 | 2,483,209 | ||||||||
Thor Industries, Inc. (Automobiles) | 14,248 | 1,058,484 | ||||||||||
Visteon Corp. (Auto Components) | (a | ) | 14,774 | 1,279,281 | ||||||||
Williams-Sonoma, Inc. (Specialty Retail) | 14,589 | 1,071,416 | ||||||||||
|
| |||||||||||
13,337,773 | ||||||||||||
|
| |||||||||||
CONSUMER STAPLES – 2.1% | ||||||||||||
BellRing Brands, Inc. Class A (Personal Products) | (a | ) | 50,042 | 1,065,394 | ||||||||
Casey’s General Stores, Inc. (Food & Staples Retailing) | 5,541 | 880,963 | ||||||||||
Hain Celestial Group, Inc. / The (Food Products) | (a | ) | 24,960 | 647,837 | ||||||||
Ontex Group N.V. (Personal Products) | (b | ) | 51,061 | 1,074,745 | ||||||||
|
| |||||||||||
3,668,939 | ||||||||||||
|
| |||||||||||
ENERGY – 1.1% | ||||||||||||
Magnolia Oil & Gas Corp. Class A (Oil, Gas & Consumable Fuels) | (a | ) | 79,881 | 1,004,903 | ||||||||
Solaris Oilfield Infrastructure, Inc. Class A (Energy Equip. & Svs.) | 63,713 | 891,982 | ||||||||||
|
| |||||||||||
1,896,885 | ||||||||||||
|
| |||||||||||
FINANCIALS – 5.8% | ||||||||||||
Assetmark Financial Holdings, Inc. (Capital Markets) | (a | ) | 34,499 | 1,001,161 | ||||||||
Kearny Financial Corp. (Thrifts & Mortgage Finance) | 59,698 | 825,623 | ||||||||||
LendingTree, Inc. (Thrifts & Mortgage Finance) | (a | ) | 3,489 | 1,058,702 | ||||||||
LPL Financial Holdings, Inc. (Capital Markets) | 37,547 | 3,463,711 | ||||||||||
MSCI, Inc. (Capital Markets) | 2,955 | 762,922 | ||||||||||
RLI Corp. (Insurance) | 17,180 | 1,546,544 | ||||||||||
UMB Financial Corp. (Banks) | 17,122 | 1,175,254 | ||||||||||
|
| |||||||||||
9,833,917 | ||||||||||||
|
| |||||||||||
HEALTH CARE – 21.8% | ||||||||||||
AngioDynamics, Inc. (Health Care Equip. & Supplies) | (a | ) | 46,797 | 749,220 | ||||||||
Bio-Techne Corp. (Life Sciences Tools & Svs.) | 7,940 | 1,742,909 | ||||||||||
Bridgebio Pharma, Inc. (Biotechnology) | (a | ) | 18,735 | 656,662 | ||||||||
Catalent, Inc. (Pharmaceuticals) | (a | ) | 78,126 | 4,398,494 | ||||||||
Codexis, Inc. (Life Sciences Tools & Svs.) | (a | ) | 59,993 | 959,288 | ||||||||
CryoPort, Inc. (Health Care Equip. & Supplies) | (a | ) | 21,694 | 357,083 | ||||||||
Deciphera Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 14,635 | 910,882 | ||||||||
Eagle Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 23,968 | 1,439,997 | ||||||||
Enanta Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 5,479 | 338,493 | ||||||||
FibroGen, Inc. (Biotechnology) | (a | ) | 19,605 | 840,859 |
Common Stocks (Continued) | Shares | Value | ||||||||||
HEALTH CARE (continued) | ||||||||||||
Global Blood Therapeutics, Inc. (Biotechnology) | (a | ) | 7,856 | $ | 624,473 | |||||||
Globus Medical, Inc. Class A (Health Care Equip. & Supplies) | (a | ) | 34,563 | 2,035,069 | ||||||||
GW Pharmaceuticals PLC – ADR (Pharmaceuticals) | (a | ) | 7,478 | 781,900 | ||||||||
HealthEquity, Inc. (Health Care Providers & Svs.) | (a | ) | 14,420 | 1,068,089 | ||||||||
Heron Therapeutics, Inc. (Biotechnology) | (a | ) | 28,369 | 666,672 | ||||||||
Heska Corp. (Health Care Equip. & Supplies) | (a | ) | 7,642 | 733,174 | ||||||||
ICU Medical, Inc. (Health Care Equip. & Supplies) | (a | ) | 6,208 | 1,161,641 | ||||||||
Immunomedics, Inc. (Biotechnology) | (a | ) | 32,427 | 686,155 | ||||||||
Insmed, Inc. (Biotechnology) | (a | ) | 48,917 | 1,168,138 | ||||||||
Integra LifeSciences Holdings Corp. (Health Care Equip. & Supplies) | (a | ) | 28,518 | 1,662,029 | ||||||||
Knight Therapeutics, Inc. (Pharmaceuticals) | (a | ) | 126,860 | 740,517 | ||||||||
Ligand Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 14,529 | 1,515,229 | ||||||||
Mirati Therapeutics, Inc. (Biotechnology) | (a | ) | 9,405 | 1,211,928 | ||||||||
MyoKardia, Inc. (Pharmaceuticals) | (a | ) | 7,028 | 512,236 | ||||||||
Myovant Sciences Ltd. (Biotechnology) | (a | ) | 21,414 | 332,345 | ||||||||
NeoGenomics, Inc. (Life Sciences Tools & Svs.) | (a | ) | 75,707 | 2,214,430 | ||||||||
Neurocrine Biosciences, Inc. (Biotechnology) | (a | ) | 14,463 | 1,554,628 | ||||||||
Phathom Pharmaceuticals, Inc. (Pharmaceuticals) | (a | ) | 4,643 | 144,583 | ||||||||
Prestige Consumer Healthcare, Inc. (Pharmaceuticals) | (a | ) | 28,213 | 1,142,627 | ||||||||
PTC Therapeutics, Inc. (Biotechnology) | (a | ) | 10,578 | 508,061 | ||||||||
Rhythm Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 29,101 | 668,159 | ||||||||
STERIS PLC (Health Care Equip. & Supplies) | 15,230 | 2,321,357 | ||||||||||
Surmodics, Inc. (Health Care Equip. & Supplies) | (a | ) | 17,175 | 711,560 | ||||||||
Zogenix, Inc. (Pharmaceuticals) | (a | ) | 11,350 | 591,676 | ||||||||
|
| |||||||||||
37,150,563 | ||||||||||||
|
| |||||||||||
INDUSTRIALS – 17.6% | ||||||||||||
Alamo Group, Inc. (Machinery) | 2,916 | 366,104 | ||||||||||
AMERCO (Road & Rail) | 3,681 | 1,383,393 | ||||||||||
Brady Corp. Class A (Commercial Svs. & Supplies) | 35,137 | 2,011,945 | ||||||||||
Cimpress PLC (Commercial Svs. & Supplies) | (a | ) | 8,956 | 1,126,396 | ||||||||
Clarivate Analytics PLC (Professional Svs.) | (a | ) | 137,187 | 2,304,742 | ||||||||
Construction Partners, Inc. Class A (Construction & Engineering) | (a | ) | 39,238 | 661,945 | ||||||||
CSW Industrials, Inc. (Building Products) | 34,588 | 2,663,276 | ||||||||||
EnerSys (Electrical Equip.) | 17,942 | 1,342,600 | ||||||||||
Gates Industrial Corp. PLC (Machinery) | (a | ) | 120,752 | 1,661,548 | ||||||||
HEICO Corp. Class A (Aerospace & Defense) | 15,882 | 1,421,915 | ||||||||||
ITT, Inc. (Machinery) | 36,429 | 2,692,467 | ||||||||||
Kennametal, Inc. (Machinery) | 32,893 | 1,213,423 | ||||||||||
Kornit Digital Ltd. (Machinery) | (a | ) | 48,460 | 1,658,786 | ||||||||
Nordson Corp. (Machinery) | 11,799 | 1,921,349 | ||||||||||
Old Dominion Freight Line, Inc. (Road & Rail) | 3,125 | 593,062 | ||||||||||
Proto Labs, Inc. (Machinery) | (a | ) | 8,846 | 898,311 | ||||||||
Rexnord Corp. (Machinery) | (a | ) | 70,690 | 2,305,908 | ||||||||
Standex International Corp. (Machinery) | 22,045 | 1,749,271 | ||||||||||
TrueBlue, Inc. (Professional Svs.) | (a | ) | 51,382 | 1,236,251 | ||||||||
Westinghouse Air Brake Technologies Corp. (Machinery) | 11,808 | 918,662 | ||||||||||
|
| |||||||||||
30,131,354 | ||||||||||||
|
| |||||||||||
INFORMATION TECHNOLOGY – 32.2% |
| |||||||||||
Altair Engineering, Inc. Class A (Software) | (a | ) | 30,956 | 1,111,630 | ||||||||
Belden, Inc. (Electronic Equip., Instr. & Comp.) | 33,838 | 1,861,090 | ||||||||||
Bill.Com Holdings, Inc. (Software) | (a | ) | 1,111 | 42,274 | ||||||||
Blackbaud, Inc. (Software) | 33,892 | 2,697,803 | ||||||||||
Broadridge Financial Solutions, Inc. (IT Svs.) | 16,834 | 2,079,672 | ||||||||||
Cadence Design Systems, Inc. (Software) | (a | ) | 12,221 | 847,649 |
40 | (continued) |
Ohio National Fund, Inc. | ON Janus Henderson Venture Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Common Stocks (Continued) | Shares | Value | ||||||||||
INFORMATION TECHNOLOGY (continued) |
| |||||||||||
ChannelAdvisor Corp. (Software) | (a | ) | 78,045 | $ | 705,527 | |||||||
Cision Ltd. (Software) | (a | ) | 47,209 | 470,674 | ||||||||
Descartes Systems Group, Inc. / The (Software) | (a | ) | 57,238 | 2,446,351 | ||||||||
Envestnet, Inc. (Software) | (a | ) | 27,967 | 1,947,342 | ||||||||
Euronet Worldwide, Inc. (IT Svs.) | (a | ) | 22,777 | 3,588,744 | ||||||||
Everbridge, Inc. (Software) | (a | ) | 13,505 | 1,054,470 | ||||||||
GTY Technology Holdings, Inc. (Software) | (a | ) | 102,692 | 604,856 | ||||||||
Guidewire Software, Inc. (Software) | (a | ) | 10,293 | 1,129,863 | ||||||||
Instructure, Inc. (Software) | (a | ) | 13,934 | 671,758 | ||||||||
j2 Global, Inc. (Software) | 32,248 | 3,021,960 | ||||||||||
LivePerson, Inc. (Software) | (a | ) | 43,445 | 1,607,465 | ||||||||
Medallia, Inc. (Software) | (a | ) | 25,157 | 782,634 | ||||||||
National Instruments Corp. (Electronic Equip., Instr. & Comp.) | 16,107 | 681,970 | ||||||||||
Nice Ltd. – ADR (Software) | (a | ) | 24,728 | 3,836,549 | ||||||||
Novanta, Inc. (Electronic Equip., Instr. & Comp.) | (a | ) | 14,942 | 1,321,471 | ||||||||
ON Semiconductor Corp. (Semiconductors & Equip.) | (a | ) | 126,687 | 3,088,629 | ||||||||
OSI Systems, Inc. (Electronic Equip., Instr. & Comp.) | (a | ) | 17,299 | 1,742,701 | ||||||||
Paylocity Holding Corp. (Software) | (a | ) | 18,894 | 2,282,773 | ||||||||
RealPage, Inc. (Software) | (a | ) | 31,541 | 1,695,329 | ||||||||
Rogers Corp. (Electronic Equip., Instr. & Comp.) | (a | ) | 10,086 | 1,258,027 | ||||||||
SailPoint Technologies Holding, Inc. (Software) | (a | ) | 52,553 | 1,240,251 | ||||||||
SS&C Technologies Holdings, Inc. (Software) | 44,933 | 2,758,886 | ||||||||||
Trade Desk, Inc. / The Class A (Software) | (a | ) | 6,301 | 1,636,874 | ||||||||
Tyler Technologies, Inc. (Software) | (a | ) | 5,309 | 1,592,806 | ||||||||
WEX, Inc. (IT Svs.) | (a | ) | 9,283 | 1,944,417 | ||||||||
WNS Holdings Ltd. – ADR (IT Svs.) | (a | ) | 33,334 | 2,205,044 | ||||||||
Yext, Inc. (Software) | (a | ) | 64,292 | 927,091 | ||||||||
|
| |||||||||||
54,884,580 | ||||||||||||
|
|
Common Stocks (Continued) | Shares | Value | ||||||||||
MATERIALS – 5.2% | ||||||||||||
Chase Corp. (Chemicals) | 7,000 | $ | 829,360 | |||||||||
Constellium SE (Metals & Mining) | (a | ) | 56,649 | 759,097 | ||||||||
H.B. Fuller Co. (Chemicals) | 27,242 | 1,404,870 | ||||||||||
Neenah, Inc. (Paper & Forest Products) | 15,690 | 1,105,047 | ||||||||||
Sensient Technologies Corp. (Chemicals) | 38,427 | 2,539,640 | ||||||||||
Valvoline, Inc. (Chemicals) | 101,464 | 2,172,344 | ||||||||||
|
| |||||||||||
8,810,358 | ||||||||||||
|
| |||||||||||
REAL ESTATE – 2.0% | ||||||||||||
Easterly Government Properties, Inc. (Equity REIT) | 45,298 | 1,074,922 | ||||||||||
FirstService Corp. (Real Estate Mgmt. & Development) | 11,838 | 1,101,407 | ||||||||||
Redfin Corp. (Real Estate Mgmt. & Development) | (a | ) | 60,220 | 1,273,051 | ||||||||
|
| |||||||||||
3,449,380 | ||||||||||||
|
| |||||||||||
Total Common Stocks | $ | 164,431,846 | ||||||||||
|
| |||||||||||
Master Limited Partnerships – 1.4% | Shares | Value | ||||||||||
CONSUMER DISCRETIONARY – 1.4% |
| |||||||||||
Cedar Fair LP (Hotels, Restaurants & Leisure) | 42,931 | $ | 2,380,095 | |||||||||
|
| |||||||||||
Total Master Limited Partnerships |
| $ | 2,380,095 | |||||||||
|
| |||||||||||
Money Market Funds – 2.0% | Shares | Value | ||||||||||
State Street Institutional Liquid Reserves Fund | ||||||||||||
Institutional Class, 1.734% | (c | ) | 3,354,824 | $ | 3,355,159 | |||||||
|
| |||||||||||
Total Money Market Funds | $ | 3,355,159 | ||||||||||
|
| |||||||||||
Total Investments – 99.7% | (d | ) | $ | 170,167,100 | ||||||||
Other Assets in Excess of | 507,759 | |||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 170,674,859 | ||||||||||
|
|
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 $1,074,745 or 0.6% of the Portfolio’s net assets. |
Other Portfolio securities are not subjected to fair value procedures because they are traded on domestic or foreign exchanges that have close times that are consistent with the U.S. market close, normally 4:00 pm Eastern Time.
(c) | Rate represents theseven-day yield at December 31, 2019. |
(d) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
41 |
Ohio National Fund, Inc. | ON Janus Henderson Enterprise Portfolio (Unaudited) |
Objective/Strategy |
The ON Janus Henderson Enterprise Portfolio seeks long-term total return by investing, under normal circumstances, at least 50% of its net assets in equity securities ofmid-cap companies, primarily those that are strategically positioned for long-term growth.
Performance as of December 31, 2019 |
Average Annual returns | ||||
One year | 36.57% | |||
Five years | 10.13% | |||
Ten years | 12.72% |
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-free1-877-781-6392.
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 November 22, 2019. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2019 can be found in the Portfolio’s Financial Highlights.
Comments fromSub-Adviser |
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A. For the year ended December 31, 2019, the Portfolio returned 36.57% versus 35.47% for its benchmark, the Russell Midcap Growth Index.
Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?
A. The Portfolio tends to emphasize “durable growth” companies that have more predictable business models, recurring revenue streams, strong free-cash-flow growth and strong competitive positioning that should allow them to take market share and experience sustainable long-term growth across a variety of economic environments. Many of these stocks performed well for the Portfolio. However, the Portfolio was underexposed to some of the highly valued consumer internet andsoftware-as-a-service (“SaaS”) companies that were strong market performers for the benchmark. These underweights dampened relative performance. We own a few of these companies – and like the business models and management teams associated with others – but are concerned about excessive valuations associated with many of these businesses. We remain sensitive to valuation risk and downside protection and are comfortable with the Portfolio’s positioning within the Information Technology sector.(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 was the key to outperformance, especially in the Industrials sector. The Portfolio tends to own fewer economically-sensitive Industrials companies than the benchmark, and
that positioning helped in an environment where global economic growth was a growing market concern. The Portfolio’s underweights to the underperforming Communication Services and Consumer Staples sectors also contributed. The reasons for these underweights are stock specific and not reflective of a view on the broader sectors. Stock selection in the Consumer Discretionary, Health Care and Materials sectors detracted from relative performance.(1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. Constellation Software, Inc. (“Constellation”) was a leading relative contributor. This diversified software company has a long history of making strategic acquisitions and becoming the leading software provider for a host of niche industries. It has deployed capital toward strategic acquisitions, which the market generally viewed favorably, given Constellation’s history of creating value with the companies it targets. Nice Ltd. – ADR was also a top contributor. The company helps organizations use data to improve performance, increase efficiency, comply with regulations and fight financial crime. Its services include sophisticated analytical applications that have helped boost customer engagement, and it benefits from recurring revenue streams and high customer retention rates. These attributes have helped support the company’s financial results and stock performance. Teledyne Technologies, Inc., another strong contributor, owns diverse businesses with exposure to end markets, including technology, defense, marine and industrial. It delivered robust financial performance, supported in part by strategic acquisitions. The company also issued strong earnings guidance that reflected strength in its defense business and some signs of early-stage recovery in its marine business.(1)
A lack of exposure to semiconductor company Advanced Micro Devices, Inc. hurt relative performance. The stock rose strongly for the year, aided by the company’s generally positive revenue and earnings performance. Not owning benchmark holding Fiserv, Inc., a supplier of technology to the Financial Services sector, also hindered relative performance. The stock’s performance was lifted by the company’s strong financial results and expectations over the synergies provided by its merger with First Data Corp. Not owning benchmark holding ServiceNow, Inc., a provider of enterprise SaaS solutions, also dampened relative performance, as the stock rose strongly during the year, aided by its better than expected earnings performance. We remain selective in our SaaS investments, given our concerns over excessive valuations in the space.(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 year. The Portfolio participated in six IPOs during the year, which added 4 basis points to absolute return.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2019. |
42 | (continued) |
Ohio National Fund, Inc. | ON Janus Henderson Enterprise 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 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 higherprice-to-book ratios and higher relative forecasted growth rates. The index presented includes the effects of reinvested dividends.
Past performance is no guarantee of future results. Redemption of fund shares could have tax implications unique to each shareholder.
Portfolio Composition as of December 31, 2019(1) |
% of Net Assets | ||||
Common Stocks(4) | 98.2 | |||
Money Market Funds | ||||
Less Net Liabilities | 1.8 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31, |
% of Net Assets | ||||||
1. | Microchip Technology, Inc. | 2.7 | ||||
2. | Constellation Software, Inc. | 2.6 | ||||
3. | Aon PLC | 2.5 | ||||
4. | Sensata Technologies Holding PLC | 2.4 | ||||
5. | LPL Financial Holdings, Inc. | 2.4 | ||||
6. | Crown Castle International Corp. | 2.4 | ||||
7. | WEX, Inc. | 2.3 | ||||
8. | Lamar Advertising Co. Class A | 2.2 | ||||
9. | SS&C Technologies Holdings, Inc. | 2.2 | ||||
10. | Global Payments, Inc. | 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 | 34.4 | |||
Industrials | 20.1 | |||
Health Care | 15.3 | |||
Financials | 13.5 | |||
Consumer Discretionary | 7.9 | |||
Real Estate | 4.5 | |||
Communication Services | 1.4 | |||
Materials | 1.1 | |||
|
| |||
98.2 | ||||
|
|
43 |
Ohio National Fund, Inc. | ON Janus Henderson Enterprise Portfolio |
Schedule of Investments | December 31, 2019 |
Common Stocks – 98.2% | Shares | Value | ||||||||||
COMMUNICATION SERVICES – 1.4% |
| |||||||||||
Liberty Media Corp. - Liberty Formula One | ||||||||||||
Class C (Entertainment) | (a | ) | 12,715 | $ | 584,445 | |||||||
Omnicom Group, Inc. (Media) | �� | 11,449 | 927,598 | |||||||||
|
| |||||||||||
1,512,043 | ||||||||||||
|
| |||||||||||
CONSUMER DISCRETIONARY – 7.9% |
| |||||||||||
Aramark (Hotels, Restaurants & Leisure) | 24,628 | 1,068,855 | ||||||||||
CarMax, Inc. (Specialty Retail) | (a | ) | 8,582 | 752,384 | ||||||||
Dunkin’ Brands Group, Inc. (Hotels, Restaurants & Leisure) | 19,214 | 1,451,426 | ||||||||||
frontdoor, Inc. (Diversified Consumer Svs.) | (a | ) | 12,172 | 577,196 | ||||||||
Gildan Activewear, Inc. (Textiles, Apparel & Luxury Goods) | 43,968 | 1,298,375 | ||||||||||
Norwegian Cruise Line Holdings Ltd. (Hotels, Restaurants & Leisure) | (a | ) | 17,628 | 1,029,652 | ||||||||
ServiceMaster Global Holdings, Inc. (Diversified Consumer Svs.) | (a | ) | 24,350 | 941,371 | ||||||||
Visteon Corp. (Auto Components) | (a | ) | 6,575 | 569,329 | ||||||||
Wayfair, Inc. Class A (Internet & Direct Marketing Retail) | (a | ) | 4,045 | 365,547 | ||||||||
Williams-Sonoma, Inc. (Specialty Retail) | 8,030 | 589,723 | ||||||||||
|
| |||||||||||
8,643,858 | ||||||||||||
|
| |||||||||||
FINANCIALS – 13.5% | ||||||||||||
Aon PLC (Insurance) | 12,936 | 2,694,439 | ||||||||||
Cboe Global Markets, Inc. (Capital Markets) | 6,435 | 772,200 | ||||||||||
Intact Financial Corp. (Insurance) | 16,327 | 1,765,536 | ||||||||||
LPL Financial Holdings, Inc. (Capital Markets) | 28,714 | 2,648,866 | ||||||||||
MSCI, Inc. (Capital Markets) | 2,571 | 663,781 | ||||||||||
SVB Financial Group (Banks) | (a | ) | 2,567 | 644,420 | ||||||||
Synchrony Financial (Consumer Finance) | 19,893 | 716,347 | ||||||||||
TD Ameritrade Holding Corp. (Capital Markets) | 44,845 | 2,228,797 | ||||||||||
W.R. Berkley Corp. (Insurance) | 25,863 | 1,787,133 | ||||||||||
Willis Towers Watson PLC (Insurance) | 4,623 | 933,569 | ||||||||||
|
| |||||||||||
14,855,088 | ||||||||||||
|
| |||||||||||
HEALTH CARE – 15.3% | ||||||||||||
Boston Scientific Corp. (Health Care Equip. & Supplies) | (a | ) | 51,786 | 2,341,763 | ||||||||
Catalent, Inc. (Pharmaceuticals) | (a | ) | 23,366 | 1,315,506 | ||||||||
Cooper Cos., Inc. / The (Health Care Equip. & Supplies) | 6,262 | 2,011,918 | ||||||||||
DENTSPLY SIRONA, Inc. (Health Care Equip. & Supplies) | 13,002 | 735,783 | ||||||||||
Elanco Animal Health, Inc. (Pharmaceuticals) | (a | ) | 15,859 | 467,047 | ||||||||
ICU Medical, Inc. (Health Care Equip. & Supplies) | (a | ) | 3,420 | 639,950 | ||||||||
IQVIA Holdings, Inc. (Life Sciences Tools & Svs.) | (a | ) | 10,090 | 1,559,006 | ||||||||
Neurocrine Biosciences, Inc. (Biotechnology) | (a | ) | 8,382 | 900,981 | ||||||||
PerkinElmer, Inc. (Life Sciences Tools & Svs.) | 23,037 | 2,236,893 | ||||||||||
PRA Health Sciences, Inc. (Life Sciences Tools & Svs.) | (a | ) | 7,364 | 818,508 | ||||||||
Sage Therapeutics, Inc. (Biotechnology) | (a | ) | 2,293 | 165,532 | ||||||||
Sarepta Therapeutics, Inc. (Biotechnology) | (a | ) | 3,793 | 489,449 | ||||||||
Teleflex, Inc. (Health Care Equip. & Supplies) | 2,867 | 1,079,253 | ||||||||||
Varian Medical Systems, Inc. (Health Care Equip. & Supplies) | (a | ) | 5,171 | 734,334 | ||||||||
Waters Corp. (Life Sciences Tools & Svs.) | (a | ) | 5,895 | 1,377,367 | ||||||||
|
| |||||||||||
16,873,290 | ||||||||||||
|
| |||||||||||
INDUSTRIALS – 20.1% | ||||||||||||
Carlisle Cos., Inc. (Industrial Conglomerates) | 7,120 | 1,152,301 | ||||||||||
Cimpress PLC (Commercial Svs. & Supplies) | (a | ) | 11,534 | 1,450,631 | ||||||||
CoStar Group, Inc. (Professional Svs.) | (a | ) | 1,888 | 1,129,590 | ||||||||
Edenred (Commercial Svs. & Supplies) | (b | ) | 16,730 | 867,023 | ||||||||
Ferguson PLC (Trading Companies & Distributors) | (b | ) | 8,805 | 801,315 | ||||||||
HEICO Corp. Class A (Aerospace & Defense) | 2,550 | 228,302 | ||||||||||
IHS Markit Ltd. (Professional Svs.) | (a | ) | 17,392 | 1,310,487 | ||||||||
Ingersoll-Rand PLC (Machinery) | 4,881 | 648,783 |
Common Stocks (Continued) | Shares | Value | ||||||||||
INDUSTRIALS (continued) | ||||||||||||
L3Harris Technologies, Inc. (Aerospace & Defense) | 7,591 | $ | 1,502,031 | |||||||||
Middleby Corp. / The (Machinery) | (a | ) | 5,971 | 653,944 | ||||||||
Old Dominion Freight Line, Inc. (Road & Rail) | 2,783 | 528,158 | ||||||||||
Rexnord Corp. (Machinery) | (a | ) | 45,954 | 1,499,019 | ||||||||
Ritchie Bros Auctioneers, Inc. (Commercial Svs. & Supplies) | 31,968 | 1,373,026 | ||||||||||
Ryanair Holdings PLC – ADR (Airlines) | (a | ) | 10,853 | 950,831 | ||||||||
Sensata Technologies Holding PLC (Electrical Equip.) | (a | ) | 49,986 | 2,692,746 | ||||||||
Southwest Airlines Co. (Airlines) | 10,220 | 551,676 | ||||||||||
Teledyne Technologies, Inc. (Aerospace & Defense) | (a | ) | 4,795 | 1,661,659 | ||||||||
Verisk Analytics, Inc. (Professional Svs.) | 11,864 | 1,771,770 | ||||||||||
Westinghouse Air Brake Technologies Corp. (Machinery) | 17,139 | 1,333,414 | ||||||||||
|
| |||||||||||
22,106,706 | ||||||||||||
|
| |||||||||||
INFORMATION TECHNOLOGY – 34.4% |
| |||||||||||
Amdocs Ltd. (IT Svs.) | 28,496 | 2,057,126 | ||||||||||
Atlassian Corp. PLC Class A (Software) | (a | ) | 8,037 | 967,173 | ||||||||
Belden, Inc. (Electronic Equip., Instr. & Comp.) | 12,162 | 668,910 | ||||||||||
Broadridge Financial Solutions, Inc. (IT Svs.) | 13,876 | 1,714,241 | ||||||||||
Constellation Software, Inc. (Software) | 2,976 | 2,890,310 | ||||||||||
Dolby Laboratories, Inc. Class A (Electronic Equip., Instr. & Comp.) | 15,940 | 1,096,672 | ||||||||||
Euronet Worldwide, Inc. (IT Svs.) | (a | ) | 3,919 | 617,478 | ||||||||
Fidelity National Information Services, Inc. (IT Svs.) | 12,579 | 1,749,613 | ||||||||||
Flex Ltd. (Electronic Equip., Instr. & Comp.) | (a | ) | 85,507 | 1,079,098 | ||||||||
Gartner, Inc. (IT Svs.) | (a | ) | 1,032 | 159,031 | ||||||||
Global Payments, Inc. (IT Svs.) | 12,917 | 2,358,128 | ||||||||||
GoDaddy, Inc. Class A (IT Svs.) | (a | ) | 27,293 | 1,853,741 | ||||||||
Intuit, Inc. (Software) | 2,252 | 589,866 | ||||||||||
KLA-Tencor Corp. (Semiconductors & Equip.) | 10,481 | 1,867,400 | ||||||||||
Lam Research Corp. (Semiconductors & Equip.) | 6,121 | 1,789,780 | ||||||||||
Microchip Technology, Inc. (Semiconductors & Equip.) | 28,621 | 2,997,191 | ||||||||||
National Instruments Corp. (Electronic Equip., Instr. & Comp.) | 36,780 | 1,557,265 | ||||||||||
Nice Ltd. – ADR (Software) | (a | ) | 13,782 | 2,138,277 | ||||||||
ON Semiconductor Corp. (Semiconductors & Equip.) | (a | ) | 82,138 | 2,002,525 | ||||||||
SS&C Technologies Holdings, Inc. (Software) | 38,515 | 2,364,821 | ||||||||||
TE Connectivity Ltd. (Electronic Equip., Instr. & Comp.) | 22,932 | 2,197,803 | ||||||||||
WEX, Inc. (IT Svs.) | (a | ) | 11,874 | 2,487,128 | ||||||||
Xilinx, Inc. (Semiconductors & Equip.) | 5,890 | 575,865 | ||||||||||
|
| |||||||||||
37,779,442 | ||||||||||||
|
| |||||||||||
MATERIALS – 1.1% | ||||||||||||
Sealed Air Corp. (Containers & Packaging) | 31,669 | 1,261,376 | ||||||||||
|
| |||||||||||
REAL ESTATE – 4.5% | ||||||||||||
Crown Castle International Corp. (Equity REIT) | 18,472 | 2,625,795 | ||||||||||
Lamar Advertising Co. Class A (Equity REIT) | 26,660 | 2,379,671 | ||||||||||
|
| |||||||||||
5,005,466 | ||||||||||||
|
| |||||||||||
Total Common Stocks (Cost $89,984,991) | $ | 108,037,269 | ||||||||||
|
| |||||||||||
Money Market Funds – 1.9% | Shares | Value | ||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class, 1.734% | (c | ) | 2,072,168 | $ | 2,072,376 | |||||||
|
| |||||||||||
Total Money Market Funds (Cost $2,072,389) | $ | 2,072,376 | ||||||||||
|
| |||||||||||
Total Investments – 100.1% (Cost $92,057,380) | (d | ) | $ | 110,109,645 | ||||||||
Liabilities in Excess of Other Assets – (0.1)% | (136,576 | ) | ||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 109,973,069 | ||||||||||
|
|
44 | (continued) |
Ohio National Fund, Inc. | ON Janus Henderson Enterprise Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
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 $1,668,338 or 1.5% of the Portfolio’s net assets. |
(c) | Rate represents theseven-day yield at December 31, 2019. |
(d) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
45
Ohio National Fund, Inc. | ON S&P 500® Index Portfolio (Unaudited) |
Objective/Strategy |
The ON S&P 500® Index Portfolio seeks 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 net assets in the securities included in the S&P 500® Index.
Performance as of December 31, 2019 |
Average Annual returns | ||||
One year | 30.97 | % | ||
Five years | 11.23 | % | ||
Ten years | 13.05 | % |
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-free1-877-781-6392.
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 November 22, 2019. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2019 can be found in the Portfolio’s Financial Highlights.
Comments fromSub-Adviser |
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A. For the year ended December 31, 2019, the Portfolio returned 30.97% versus 31.49% 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 during the year that materially impacted the Portfolio’s relative return. Sources of return variance were related to the cumulative impact of investing theday-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 security 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)
All eleven sectors in the benchmark produced positive returns in 2019. Information Technology led the way, returning 49.7% for the year. Financials and Communication Services returned 31.2% and 32.1% respectively. The Energy sector contributed the least to the overall benchmark return, but still rose 10.6% for the year. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. Because the Portfolio weights its holdings to be similar to those utilized by the benchmark index, there were no holdings that significantly contributed to or detracted from the Portfolio’s benchmark-relative performance.(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 manageday-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 the Portfolio’s net assets.(1)
Q. Were there any significant changes to the Portfolio’s management team, investment strategy, or security selection process during the reporting period?
A. Over the course of 2019, the Portfolio’s management team experienced an unusually high amount of personnel changes for varied reasons including retirement, relocation due to family reasons, and pursuit of other opportunities. Departures have been replaced, in all cases, with portfolio managers who exceed the previous team member’s industry experience, and the changes have resulted in no increase or decrease in total team members dedicated to the Portfolio. Geode Capital Management LLC’s (“Geode”) investment management philosophy utilizes a team-based approach that follows a disciplined and repeatable investment process, seeking to limit dependency on any single investment professional, and, in the case of a team member’s departure, is less disruptive to the execution of the investment process.
Additionally, in December, Geode added a new position to the team with the hire of Diane Hsiung as CIO – Index and ETF Strategies. In this newly created role, Ms. Hsiung, is responsible for the overall development and implementation of the firm’s Index strategies, and providing oversight and management of team members, while driving strategic initiatives to scale operational processes and manage portfolio risks. Geode believes the management team is well-positioned going forward.
There were no material changes to the investment strategy or stock selection process during the period.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2019. |
46 | (continued) |
Ohio National Fund, Inc. | ON S&P 500® 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. 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.
Past performance is no guarantee of future results. Redemption of fund shares could have tax implications unique to each shareholder.
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.
Portfolio Composition as of December 31, 2019(1) |
% of Net Assets | ||||
Common Stocks(4) | 99.9 | |||
U.S. Treasury Obligations | 0.0 | |||
Money Market Funds Less Net Liabilities | 0.1 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31, |
% of Net Assets | ||||||
1. | Apple, Inc. | 4.6 | ||||
2. | Microsoft Corp. | 4.5 | ||||
3. | Amazon.com, Inc. | 2.9 | ||||
4. | Facebook, Inc. Class A | 1.8 | ||||
5. | Berkshire Hathaway, Inc. Class B | 1.7 | ||||
6. | JPMorgan Chase & Co. | 1.6 | ||||
7. | Alphabet, Inc. Class A | 1.5 | ||||
8. | Alphabet, Inc. Class C | 1.5 | ||||
9. | Johnson & Johnson | 1.4 | ||||
10. | Visa, Inc. | 1.2 |
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. |
(3) | Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher. |
(4) | Sectors (Common Stocks): |
% of Net Assets | ||||
Information Technology | 23.2 | |||
Health Care | 14.2 | |||
Financials | 12.9 | |||
Communication Services | 10.4 | |||
Consumer Discretionary | 9.8 | |||
Industrials | 9.0 | |||
Consumer Staples | 7.2 | |||
Energy | 4.3 | |||
Utilities | 3.3 | |||
Real Estate | 2.9 | |||
Materials | 2.7 | |||
|
| |||
99.9 | ||||
|
|
47
Ohio National Fund, Inc. | ON S&P 500® Index Portfolio |
Schedule of Investments | December 31, 2019 |
Common Stocks – 99.9% | Shares | Value | ||||||||
COMMUNICATION SERVICES – 10.4% |
| |||||||||
Activision Blizzard, Inc. (Entertainment) | 34,503 | $ 2,050,168 | ||||||||
Alphabet, Inc. Class A (Interactive Media & Svs.) | (a) | 13,433 | 17,992,026 | |||||||
Alphabet, Inc. Class C (Interactive Media & Svs.) | (a) | 13,445 | 17,976,234 | |||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 328,054 | 12,820,350 | ||||||||
CenturyLink, Inc. (Diversified Telecom. Svs.) | 44,011 | 581,385 | ||||||||
Charter Communications, Inc. Class A (Media) | (a) | 7,042 | 3,415,933 | |||||||
Comcast Corp. Class A (Media) | 203,877 | 9,168,349 | ||||||||
Discovery, Inc. Class A (Media) | (a) | 7,068 | 231,406 | |||||||
Discovery, Inc. Class C (Media) | (a) | 15,105 | 460,551 | |||||||
DISH Network Corp. Class A (Media) | (a) | 11,497 | 407,799 | |||||||
Electronic Arts, Inc. (Entertainment) | (a) | 13,113 | 1,409,779 | |||||||
Facebook, Inc. Class A (Interactive Media & Svs.) | (a) | 108,069 | 22,181,162 | |||||||
Fox Corp. Class A (Media) | 16,212 | 600,979 | ||||||||
Fox Corp. Class B (Media) | 6,997 | 254,691 | ||||||||
Interpublic Group of Cos., Inc. / The (Media) | 17,435 | 402,749 | ||||||||
Live Nation Entertainment, Inc. (Entertainment) | (a) | 6,333 | 452,620 | |||||||
Netflix, Inc. (Entertainment) | (a) | 19,682 | 6,368,505 | |||||||
News Corp. Class A (Media) | 17,381 | 245,767 | ||||||||
News Corp. Class B (Media) | 5,430 | 78,789 | ||||||||
Omnicom Group, Inc. (Media) | 9,781 | 792,457 | ||||||||
Take-Two Interactive Software, Inc. (Entertainment) | (a) | 5,068 | 620,475 | |||||||
T-Mobile U.S., Inc. (Wireless Telecom. Svs.) | (a) | 14,227 | 1,115,681 | |||||||
Twitter, Inc. (Interactive Media & Svs.) | (a) | 34,871 | 1,117,616 | |||||||
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 185,722 | 11,403,331 | ||||||||
ViacomCBS, Inc. Class B (Media) | 24,295 | 1,019,661 | ||||||||
Walt Disney Co. / The (Entertainment) | 80,942 | 11,706,641 | ||||||||
|
| |||||||||
124,875,104 | ||||||||||
|
| |||||||||
CONSUMER DISCRETIONARY – 9.8% |
| |||||||||
Advance Auto Parts, Inc. (Specialty Retail) | 3,112 | 498,418 | ||||||||
Amazon.com, Inc. (Internet & Direct Marketing Retail) | (a) | 18,703 | 34,560,152 | |||||||
Aptiv PLC (Auto Components) | 11,486 | 1,090,825 | ||||||||
AutoZone, Inc. (Specialty Retail) | (a) | 1,070 | 1,274,702 | |||||||
Best Buy Co., Inc. (Specialty Retail) | 10,227 | 897,931 | ||||||||
Booking Holdings, Inc. (Internet & Direct Marketing Retail) | (a) | 1,880 | 3,861,012 | |||||||
BorgWarner, Inc. (Auto Components) | 9,268 | 402,046 | ||||||||
Capri Holdings Ltd. (Textiles, Apparel & Luxury Goods) | (a) | 6,802 | 259,496 | |||||||
CarMax, Inc. (Specialty Retail) | (a) | 7,376 | 646,654 | |||||||
Carnival Corp. (Hotels, Restaurants & Leisure) | 17,949 | 912,348 | ||||||||
Chipotle Mexican Grill, Inc. (Hotels, Restaurants & Leisure) | (a) | 1,149 | 961,839 | |||||||
D.R. Horton, Inc. (Household Durables) | 15,096 | 796,314 | ||||||||
Darden Restaurants, Inc. (Hotels, Restaurants & Leisure) | 5,501 | 599,664 | ||||||||
Dollar General Corp. (Multiline Retail) | 11,434 | 1,783,475 | ||||||||
Dollar Tree, Inc. (Multiline Retail) | (a) | 10,630 | 999,752 | |||||||
eBay, Inc. (Internet & Direct Marketing Retail) | 34,352 | 1,240,451 | ||||||||
Expedia Group, Inc. (Internet & Direct Marketing Retail) | 6,262 | 677,173 | ||||||||
Ford Motor Co. (Automobiles) | 175,092 | 1,628,356 | ||||||||
Gap, Inc. / The (Specialty Retail) | 9,616 | 170,011 | ||||||||
Garmin Ltd. (Household Durables) | 6,480 | 632,189 | ||||||||
General Motors Co. (Automobiles) | 56,443 | 2,065,814 | ||||||||
Genuine Parts Co. (Distributors) | 6,506 | 691,132 | ||||||||
H&R Block, Inc. (Diversified Consumer Svs.) | 8,772 | 205,967 | ||||||||
Hanesbrands, Inc. (Textiles, Apparel & Luxury Goods) | 16,226 | 240,956 | ||||||||
Harley-Davidson, Inc. (Automobiles) | 6,897 | 256,499 | ||||||||
Hasbro, Inc. (Leisure Products) | 5,717 | 603,772 | ||||||||
Hilton Worldwide Holdings, Inc. (Hotels, Restaurants & Leisure) | 12,674 | 1,405,673 | ||||||||
Home Depot, Inc. / The (Specialty Retail) | 48,988 | 10,697,999 |
Common Stocks (Continued) | Shares | Value | ||||||||
CONSUMER DISCRETIONARY (continued) |
| |||||||||
Kohl’s Corp. (Multiline Retail) | 7,036 | $ 358,484 | ||||||||
L Brands, Inc. (Specialty Retail) | 10,419 | 188,792 | ||||||||
Las Vegas Sands Corp. (Hotels, Restaurants & Leisure) | 15,187 | 1,048,511 | ||||||||
Leggett & Platt, Inc. (Household Durables) | 5,906 | 300,202 | ||||||||
Lennar Corp. Class A (Household Durables) | 12,574 | 701,503 | ||||||||
LKQ Corp. (Distributors) | (a) | 13,830 | 493,731 | |||||||
Lowe’s Cos., Inc. (Specialty Retail) | 34,419 | 4,122,019 | ||||||||
Macy’s, Inc. (Multiline Retail) | 13,855 | 235,535 | ||||||||
Marriott International, Inc. Class A (Hotels, Restaurants & Leisure) | 12,188 | 1,845,629 | ||||||||
McDonald’s Corp. (Hotels, Restaurants & Leisure) | 33,819 | 6,682,973 | ||||||||
MGM Resorts International (Hotels, Restaurants & Leisure) | 23,101 | 768,570 | ||||||||
Mohawk Industries, Inc. (Household Durables) | (a) | 2,651 | 361,543 | |||||||
Newell Brands, Inc. (Household Durables) | 17,098 | 328,624 | ||||||||
NIKE, Inc. Class B (Textiles, Apparel & Luxury Goods) | 55,931 | 5,666,370 | ||||||||
Nordstrom, Inc. (Multiline Retail) | 4,786 | 195,891 | ||||||||
Norwegian Cruise Line Holdings Ltd. (Hotels, Restaurants & Leisure) | (a) | 9,564 | 558,633 | |||||||
NVR, Inc. (Household Durables) | (a) | 156 | 594,112 | |||||||
O’Reilly Automotive, Inc. (Specialty Retail) | (a) | 3,398 | 1,489,208 | |||||||
PulteGroup, Inc. (Household Durables) | 11,447 | 444,144 | ||||||||
PVH Corp. (Textiles, Apparel & Luxury Goods) | 3,327 | 349,834 | ||||||||
Ralph Lauren Corp. (Textiles, Apparel & Luxury Goods) | 2,234 | 261,869 | ||||||||
Ross Stores, Inc. (Specialty Retail) | 16,242 | 1,890,894 | ||||||||
Royal Caribbean Cruises Ltd. (Hotels, Restaurants & Leisure) | 7,722 | 1,030,964 | ||||||||
Starbucks Corp. (Hotels, Restaurants & Leisure) | 53,036 | 4,662,925 | ||||||||
Tapestry, Inc. (Textiles, Apparel & Luxury Goods) | 12,396 | 334,320 | ||||||||
Target Corp. (Multiline Retail) | 22,757 | 2,917,675 | ||||||||
Tiffany & Co. (Specialty Retail) | 4,833 | 645,930 | ||||||||
TJX Cos., Inc. / The (Specialty Retail) | 54,452 | 3,324,839 | ||||||||
Tractor Supply Co. (Specialty Retail) | 5,336 | 498,596 | ||||||||
Ulta Beauty, Inc. (Specialty Retail) | (a) | 2,567 | 649,810 | |||||||
Under Armour, Inc. Class A (Textiles, Apparel & Luxury Goods) | (a) | 8,278 | 178,805 | |||||||
Under Armour, Inc. Class C (Textiles, Apparel & Luxury Goods) | (a) | 9,156 | 175,612 | |||||||
V.F. Corp. (Textiles, Apparel & Luxury Goods) | 14,701 | 1,465,102 | ||||||||
Whirlpool Corp. (Household Durables) | 2,853 | 420,903 | ||||||||
Wynn Resorts Ltd. (Hotels, Restaurants & Leisure) | 4,345 | 603,390 | ||||||||
Yum! Brands, Inc. (Hotels, Restaurants & Leisure) | 13,586 | 1,368,518 | ||||||||
|
| |||||||||
117,225,080 | ||||||||||
|
| |||||||||
CONSUMER STAPLES – 7.2% | ||||||||||
Altria Group, Inc. (Tobacco) | 83,896 | 4,187,249 | ||||||||
Archer-Daniels-Midland Co. (Food Products) | 25,006 | 1,159,028 | ||||||||
Brown-Forman Corp. Class B (Beverages) | 8,166 | 552,022 | ||||||||
Campbell Soup Co. (Food Products) | 7,566 | 373,912 | ||||||||
Church & Dwight Co., Inc. (Household Products) | 11,010 | 774,443 | ||||||||
Clorox Co. / The (Household Products) | 5,637 | 865,505 | ||||||||
Coca-Cola Co. / The (Beverages) | 173,172 | 9,585,070 | ||||||||
Colgate-Palmolive Co. (Household Products) | 38,495 | 2,649,996 | ||||||||
Conagra Brands, Inc. (Food Products) | 21,810 | 746,774 | ||||||||
Constellation Brands, Inc. Class A (Beverages) | 7,524 | 1,427,679 | ||||||||
Costco Wholesale Corp. (Food & Staples Retailing) | 19,840 | 5,831,373 | ||||||||
Coty, Inc. Class A (Personal Products) | 13,189 | 148,376 | ||||||||
Estee Lauder Cos., Inc. / The Class A (Personal Products) | 9,996 | 2,064,574 | ||||||||
General Mills, Inc. (Food Products) | 27,143 | 1,453,779 | ||||||||
Hershey Co. / The (Food Products) | 6,677 | 981,385 |
48 | (continued) |
Ohio National Fund, Inc. | ON S&P 500® Index Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Common Stocks (Continued) | Shares | Value | ||||||||||
CONSUMER STAPLES (continued) | ||||||||||||
Hormel Foods Corp. (Food Products) | 12,535 | $ | 565,454 | |||||||||
J.M. Smucker Co. / The (Food Products) | 5,104 | 531,480 | ||||||||||
Kellogg Co. (Food Products) | 11,153 | 771,342 | ||||||||||
Kimberly-Clark Corp. (Household Products) | 15,388 | 2,116,619 | ||||||||||
Kraft Heinz Co. / The (Food Products) | 27,985 | 899,158 | ||||||||||
Kroger Co. / The (Food & Staples Retailing) | 36,028 | 1,044,452 | ||||||||||
Lamb Weston Holdings, Inc. (Food Products) | 6,576 | 565,733 | ||||||||||
McCormick & Co., Inc. (Food Products) | 5,550 | 942,002 | ||||||||||
Molson Coors Brewing Co. Class B (Beverages) | 8,394 | 452,437 | ||||||||||
Mondelez International, Inc. Class A (Food Products) | 64,657 | 3,561,308 | ||||||||||
Monster Beverage Corp. (Beverages) | (a | ) | 17,149 | 1,089,819 | ||||||||
PepsiCo, Inc. (Beverages) | 62,622 | 8,558,549 | ||||||||||
Philip Morris International, Inc. (Tobacco) | 69,871 | 5,945,323 | ||||||||||
Procter & Gamble Co. / The (Household Products) | 111,993 | 13,987,926 | ||||||||||
Sysco Corp. (Food & Staples Retailing) | 22,884 | 1,957,497 | ||||||||||
Tyson Foods, Inc. Class A (Food Products) | 13,258 | 1,207,008 | ||||||||||
Walgreens Boots Alliance, Inc. (Food & Staples Retailing) | 33,676 | 1,985,537 | ||||||||||
Walmart, Inc. (Food & Staples Retailing) | 63,704 | 7,570,583 | ||||||||||
|
| |||||||||||
86,553,392 | ||||||||||||
|
| |||||||||||
ENERGY – 4.3% | ||||||||||||
Apache Corp. (Oil, Gas & Consumable Fuels) | 16,860 | 431,447 | ||||||||||
Baker Hughes, a GE Co. (Energy Equip. & Svs.) | 29,113 | 746,166 | ||||||||||
Cabot Oil & Gas Corp. (Oil, Gas & Consumable Fuels) | 18,339 | 319,282 | ||||||||||
Chevron Corp. (Oil, Gas & Consumable Fuels) | 84,917 | 10,233,348 | ||||||||||
Cimarex Energy Co. (Oil, Gas & Consumable Fuels) | 4,556 | 239,144 | ||||||||||
Concho Resources, Inc. (Oil, Gas & Consumable Fuels) | 9,015 | 789,444 | ||||||||||
ConocoPhillips (Oil, Gas & Consumable Fuels) | 49,284 | 3,204,939 | ||||||||||
Devon Energy Corp. (Oil, Gas & Consumable Fuels) | 17,409 | 452,112 | ||||||||||
Diamondback Energy, Inc. (Oil, Gas & Consumable Fuels) | 7,241 | 672,399 | ||||||||||
EOG Resources, Inc. (Oil, Gas & Consumable Fuels) | 26,134 | 2,188,984 | ||||||||||
Exxon Mobil Corp. (Oil, Gas & Consumable Fuels) | 190,015 | 13,259,247 | ||||||||||
Halliburton Co. (Energy Equip. & Svs.) | 39,448 | 965,293 | ||||||||||
Helmerich & Payne, Inc. (Energy Equip. & Svs.) | 4,910 | 223,061 | ||||||||||
Hess Corp. (Oil, Gas & Consumable Fuels) | 11,611 | 775,731 | ||||||||||
HollyFrontier Corp. (Oil, Gas & Consumable Fuels) | 6,675 | 338,489 | ||||||||||
Kinder Morgan, Inc. (Oil, Gas & Consumable Fuels) | 87,505 | 1,852,481 | ||||||||||
Marathon Oil Corp. (Oil, Gas & Consumable Fuels) | 35,925 | 487,862 | ||||||||||
Marathon Petroleum Corp. (Oil, Gas & Consumable Fuels) | 29,165 | 1,757,191 | ||||||||||
National Oilwell Varco, Inc. (Energy Equip. & Svs.) | 17,306 | 433,515 | ||||||||||
Noble Energy, Inc. (Oil, Gas & Consumable Fuels) | 21,449 | 532,793 | ||||||||||
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 40,129 | 1,653,716 | ||||||||||
ONEOK, Inc. (Oil, Gas & Consumable Fuels) | 18,558 | 1,404,284 | ||||||||||
Phillips 66 (Oil, Gas & Consumable Fuels) | 19,957 | 2,223,409 | ||||||||||
Pioneer Natural Resources Co. (Oil, Gas & Consumable Fuels) | 7,425 | 1,123,922 | ||||||||||
Schlumberger Ltd. (Energy Equip. & Svs.) | 62,189 | 2,499,998 | ||||||||||
TechnipFMC PLC (Energy Equip. & Svs.) | 18,820 | 403,501 |
Common Stocks (Continued) | Shares | Value | ||||||||||
ENERGY (continued) | ||||||||||||
Valero Energy Corp. (Oil, Gas & Consumable Fuels) | 18,445 | $ | 1,727,374 | |||||||||
Williams Cos., Inc. / The (Oil, Gas & Consumable Fuels) | 54,457 | 1,291,720 | ||||||||||
|
| |||||||||||
52,230,852 | ||||||||||||
|
| |||||||||||
FINANCIALS – 12.9% | ||||||||||||
Aflac, Inc. (Insurance) | 32,967 | 1,743,954 | ||||||||||
Allstate Corp. / The (Insurance) | 14,551 | 1,636,260 | ||||||||||
American Express Co. (Consumer Finance) | 30,131 | 3,751,008 | ||||||||||
American International Group, Inc. (Insurance) | 39,080 | 2,005,976 | ||||||||||
Ameriprise Financial, Inc. (Capital Markets) | 5,691 | 948,007 | ||||||||||
Aon PLC (Insurance) | 10,514 | 2,189,961 | ||||||||||
Arthur J. Gallagher & Co. (Insurance) | 8,401 | 800,027 | ||||||||||
Assurant, Inc. (Insurance) | 2,709 | 355,096 | ||||||||||
Bank of America Corp. (Banks) | 363,557 | 12,804,478 | ||||||||||
Bank of New York Mellon Corp. / The (Capital Markets) | 37,692 | 1,897,038 | ||||||||||
Berkshire Hathaway, Inc. Class B (Diversified Financial Svs.) | (a | ) | 87,839 | 19,895,533 | ||||||||
BlackRock, Inc. (Capital Markets) | 5,296 | 2,662,299 | ||||||||||
Capital One Financial Corp. (Consumer Finance) | 20,923 | 2,153,186 | ||||||||||
Cboe Global Markets, Inc. (Capital Markets) | 4,998 | 599,760 | ||||||||||
Charles Schwab Corp. / The (Capital Markets) | 51,345 | 2,441,968 | ||||||||||
Chubb Ltd. (Insurance) | 20,349 | 3,167,525 | ||||||||||
Cincinnati Financial Corp. (Insurance) | 6,808 | 715,861 | ||||||||||
Citigroup, Inc. (Banks) | 98,047 | 7,832,975 | ||||||||||
Citizens Financial Group, Inc. (Banks) | 19,550 | 793,926 | ||||||||||
CME Group, Inc. (Capital Markets) | 16,093 | 3,230,187 | ||||||||||
Comerica, Inc. (Banks) | 6,485 | 465,299 | ||||||||||
Discover Financial Services (Consumer Finance) | 14,082 | 1,194,435 | ||||||||||
E*TRADE Financial Corp. (Capital Markets) | 10,128 | 459,507 | ||||||||||
Everest Re Group Ltd. (Insurance) | 1,825 | 505,233 | ||||||||||
Fifth Third Bancorp (Banks) | 31,892 | 980,360 | ||||||||||
First Republic Bank (Banks) | 7,571 | 889,214 | ||||||||||
Franklin Resources, Inc. (Capital Markets) | 12,456 | 323,607 | ||||||||||
Globe Life, Inc. (Insurance) | 4,458 | 469,205 | ||||||||||
Goldman Sachs Group, Inc. / The (Capital Markets) | 14,314 | 3,291,218 | ||||||||||
Hartford Financial Services Group, Inc. / The (Insurance) | 16,202 | 984,596 | ||||||||||
Huntington Bancshares, Inc. (Banks) | 46,260 | 697,601 | ||||||||||
Intercontinental Exchange, Inc. (Capital Markets) | 25,003 | 2,314,028 | ||||||||||
Invesco Ltd. (Capital Markets) | 16,754 | 301,237 | ||||||||||
JPMorgan Chase & Co. (Banks) | 140,848 | 19,634,211 | ||||||||||
KeyCorp (Banks) | 44,270 | 896,025 | ||||||||||
Lincoln National Corp. (Insurance) | 8,883 | 524,186 | ||||||||||
Loews Corp. (Insurance) | 11,507 | 604,002 | ||||||||||
M&T Bank Corp. (Banks) | 5,928 | 1,006,278 | ||||||||||
MarketAxess Holdings, Inc. (Capital Markets) | 1,706 | 646,762 | ||||||||||
Marsh & McLennan Cos., Inc. (Insurance) | 22,650 | 2,523,436 | ||||||||||
MetLife, Inc. (Insurance) | 35,119 | 1,790,015 | ||||||||||
Moody’s Corp. (Capital Markets) | 7,295 | 1,731,906 | ||||||||||
Morgan Stanley (Capital Markets) | 55,255 | 2,824,636 | ||||||||||
MSCI, Inc. (Capital Markets) | 3,798 | 980,568 | ||||||||||
Nasdaq, Inc. (Capital Markets) | 5,156 | 552,208 | ||||||||||
Northern Trust Corp. (Capital Markets) | 9,518 | 1,011,192 | ||||||||||
People’s United Financial, Inc. (Banks) | 19,960 | 337,324 | ||||||||||
PNC Financial Services Group, Inc. / The (Banks) | 19,677 | 3,141,040 | ||||||||||
Principal Financial Group, Inc. (Insurance) | 11,627 | 639,485 | ||||||||||
Progressive Corp. / The (Insurance) | 26,256 | 1,900,672 | ||||||||||
Prudential Financial, Inc. (Insurance) | 18,061 | 1,693,038 | ||||||||||
Raymond James Financial, Inc. (Capital Markets) | 5,545 | 496,056 | ||||||||||
Regions Financial Corp. (Banks) | 43,378 | 744,366 | ||||||||||
S&P Global, Inc. (Capital Markets) | 10,975 | 2,996,724 |
49 | (continued) |
Ohio National Fund, Inc. | ON S&P 500® Index Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Common Stocks (Continued) | Shares | Value | ||||||||||
FINANCIALS (continued) | ||||||||||||
State Street Corp. (Capital Markets) | 16,332 | $ | 1,291,861 | |||||||||
SVB Financial Group (Banks) | (a | ) | 2,309 | 579,651 | ||||||||
Synchrony Financial (Consumer Finance) | 26,704 | 961,611 | ||||||||||
T. Rowe Price Group, Inc. (Capital Markets) | 10,479 | 1,276,761 | ||||||||||
Travelers Cos., Inc. / The (Insurance) | 11,591 | 1,587,387 | ||||||||||
Truist Financial Corp. (Banks) | 60,229 | 3,392,097 | ||||||||||
U.S. Bancorp (Banks) | 63,819 | 3,783,829 | ||||||||||
Unum Group (Insurance) | 9,201 | 268,301 | ||||||||||
W.R. Berkley Corp. (Insurance) | 6,486 | 448,183 | ||||||||||
Wells Fargo & Co. (Banks) | 172,836 | 9,298,577 | ||||||||||
Willis Towers Watson PLC (Insurance) | 5,783 | 1,167,819 | ||||||||||
Zions Bancorp N.A. (Banks) | 7,673 | 398,382 | ||||||||||
|
| |||||||||||
155,629,154 | ||||||||||||
|
| |||||||||||
HEALTH CARE – 14.2% | ||||||||||||
Abbott Laboratories (Health Care Equip. & Supplies) | 79,367 | 6,893,818 | ||||||||||
AbbVie, Inc. (Biotechnology) | 66,413 | 5,880,207 | ||||||||||
ABIOMED, Inc. (Health Care Equip. & Supplies) | (a | ) | 2,035 | 347,151 | ||||||||
Agilent Technologies, Inc. (Life Sciences Tools & Svs.) | 13,907 | 1,186,406 | ||||||||||
Alexion Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 9,941 | 1,075,119 | ||||||||
Align Technology, Inc. (Health Care Equip. & Supplies) | (a | ) | 3,221 | 898,788 | ||||||||
Allergan PLC (Pharmaceuticals) | 14,743 | 2,818,419 | ||||||||||
AmerisourceBergen Corp. (Health Care Providers & Svs.) | 6,752 | 574,055 | ||||||||||
Amgen, Inc. (Biotechnology) | 26,684 | 6,432,712 | ||||||||||
Anthem, Inc. (Health Care Providers & Svs.) | 11,389 | 3,439,820 | ||||||||||
Baxter International, Inc. (Health Care Equip. & Supplies) | 22,928 | 1,917,239 | ||||||||||
Becton Dickinson and Co. (Health Care Equip. & Supplies) | 12,146 | 3,303,348 | ||||||||||
Biogen, Inc. (Biotechnology) | (a | ) | 8,104 | 2,404,700 | ||||||||
Boston Scientific Corp. (Health Care Equip. & Supplies) | (a | ) | 62,598 | 2,830,682 | ||||||||
Bristol-Myers Squibb Co. (Pharmaceuticals) | 105,273 | 6,757,474 | ||||||||||
Cardinal Health, Inc. (Health Care Providers & Svs.) | 13,147 | 664,975 | ||||||||||
Centene Corp. (Health Care Providers & Svs.) | (a | ) | 18,590 | 1,168,753 | ||||||||
Cerner Corp. (Health Care Technology) | 14,110 | 1,035,533 | ||||||||||
Cigna Corp. (Health Care Providers & Svs.) | 16,773 | 3,429,911 | ||||||||||
Cooper Cos., Inc. / The (Health Care Equip. & Supplies) | 2,223 | 714,228 | ||||||||||
CVS Health Corp. (Health Care Providers & Svs.) | 58,431 | 4,340,839 | ||||||||||
Danaher Corp. (Health Care Equip. & Supplies) | 28,707 | 4,405,950 | ||||||||||
DaVita, Inc. (Health Care Providers & Svs.) | (a | ) | 4,005 | 300,495 | ||||||||
DENTSPLY SIRONA, Inc. (Health Care Equip. & Supplies) | 9,962 | 563,750 | ||||||||||
Edwards Lifesciences Corp. (Health Care Equip. & Supplies) | (a | ) | 9,367 | 2,185,227 | ||||||||
Eli Lilly & Co. (Pharmaceuticals) | 37,944 | 4,986,980 | ||||||||||
Gilead Sciences, Inc. (Biotechnology) | 56,820 | 3,692,164 | ||||||||||
HCA Healthcare, Inc. (Health Care Providers & Svs.) | 11,888 | 1,757,165 | ||||||||||
Henry Schein, Inc. (Health Care Providers & Svs.) | (a | ) | 6,573 | 438,551 | ||||||||
Hologic, Inc. (Health Care Equip. & Supplies) | (a | ) | 12,081 | 630,749 | ||||||||
Humana, Inc. (Health Care Providers & Svs.) | 5,948 | 2,180,061 | ||||||||||
IDEXX Laboratories, Inc. (Health Care Equip. & Supplies) | (a | ) | 3,859 | 1,007,701 | ||||||||
Illumina, Inc. (Life Sciences Tools & Svs.) | (a | ) | 6,602 | 2,190,147 | ||||||||
Incyte Corp. (Biotechnology) | (a | ) | 8,006 | 699,084 | ||||||||
Intuitive Surgical, Inc. (Health Care Equip. & Supplies) | (a | ) | 5,190 | 3,068,068 | ||||||||
IQVIA Holdings, Inc. (Life Sciences Tools & Svs.) | (a | ) | 8,099 | 1,251,376 | ||||||||
Johnson & Johnson (Pharmaceuticals) | 118,190 | 17,240,375 |
Common Stocks (Continued) | Shares | Value | ||||||||||
HEALTH CARE (continued) | ||||||||||||
Laboratory Corp. of America Holdings (Health Care Providers & Svs.) | (a | ) | 4,352 | $ | 736,228 | |||||||
McKesson Corp. (Health Care Providers & Svs.) | 8,094 | 1,119,562 | ||||||||||
Medtronic PLC (Health Care Equip. & Supplies) | 60,191 | 6,828,669 | ||||||||||
Merck & Co., Inc. (Pharmaceuticals) | 114,334 | 10,398,677 | ||||||||||
Mettler-Toledo International, Inc. (Life Sciences Tools & Svs.) | (a | ) | 1,092 | 866,262 | ||||||||
Mylan N.V. (Pharmaceuticals) | (a | ) | 23,140 | 465,114 | ||||||||
PerkinElmer, Inc. (Life Sciences Tools & Svs.) | 4,983 | 483,849 | ||||||||||
Perrigo Co. PLC (Pharmaceuticals) | 6,106 | 315,436 | ||||||||||
Pfizer, Inc. (Pharmaceuticals) | 248,526 | 9,737,249 | ||||||||||
Quest Diagnostics, Inc. (Health Care Providers & Svs.) | 6,035 | 644,478 | ||||||||||
Regeneron Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 3,588 | 1,347,222 | ||||||||
ResMed, Inc. (Health Care Equip. & Supplies) | 6,472 | 1,002,966 | ||||||||||
STERIS PLC (Health Care Equip. & Supplies) | 3,810 | 580,720 | ||||||||||
Stryker Corp. (Health Care Equip. & Supplies) | 14,459 | 3,035,522 | ||||||||||
Teleflex, Inc. (Health Care Equip. & Supplies) | 2,073 | 780,360 | ||||||||||
Thermo Fisher Scientific, Inc. (Life Sciences Tools & Svs.) | 18,010 | 5,850,909 | ||||||||||
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 42,548 | 12,508,261 | ||||||||||
Universal Health Services, Inc. Class B (Health Care Providers & Svs.) | 3,606 | 517,317 | ||||||||||
Varian Medical Systems, Inc. (Health Care Equip. & Supplies) | (a | ) | 4,083 | 579,827 | ||||||||
Vertex Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 11,550 | 2,528,872 | ||||||||
Waters Corp. (Life Sciences Tools & Svs.) | (a | ) | 2,895 | 676,417 | ||||||||
WellCare Health Plans, Inc. (Health Care Providers & Svs.) | (a | ) | 2,255 | 744,624 | ||||||||
Zimmer Biomet Holdings, Inc. (Health Care Equip. & Supplies) | 9,239 | 1,382,893 | ||||||||||
Zoetis, Inc. (Pharmaceuticals) | 21,403 | 2,832,687 | ||||||||||
|
| |||||||||||
170,676,141 | ||||||||||||
|
| |||||||||||
INDUSTRIALS – 9.0% | ||||||||||||
3M Co. (Industrial Conglomerates) | 25,824 | 4,555,870 | ||||||||||
A.O. Smith Corp. (Building Products) | 6,160 | 293,462 | ||||||||||
Alaska Air Group, Inc. (Airlines) | 5,532 | 374,793 | ||||||||||
Allegion PLC (Building Products) | 4,174 | 519,830 | ||||||||||
American Airlines Group, Inc. (Airlines) | 17,516 | 502,359 | ||||||||||
AMETEK, Inc. (Electrical Equip.) | 10,241 | 1,021,437 | ||||||||||
Arconic, Inc. (Aerospace & Defense) | 17,375 | 534,629 | ||||||||||
Boeing Co. / The (Aerospace & Defense) | 24,010 | 7,821,498 | ||||||||||
C.H. Robinson Worldwide, Inc. (Air Freight & Logistics) | 6,068 | 474,518 | ||||||||||
Caterpillar, Inc. (Machinery) | 24,818 | 3,665,122 | ||||||||||
Cintas Corp. (Commercial Svs. & Supplies) | 3,767 | 1,013,624 | ||||||||||
Copart, Inc. (Commercial Svs. & Supplies) | (a | ) | 9,189 | 835,648 | ||||||||
CSX Corp. (Road & Rail) | 34,921 | 2,526,884 | ||||||||||
Cummins, Inc. (Machinery) | 6,880 | 1,231,245 | ||||||||||
Deere & Co. (Machinery) | 14,141 | 2,450,070 | ||||||||||
Delta Air Lines, Inc. (Airlines) | 25,856 | 1,512,059 | ||||||||||
Dover Corp. (Machinery) | 6,525 | 752,072 | ||||||||||
Eaton Corp. PLC (Electrical Equip.) | 18,575 | 1,759,424 | ||||||||||
Emerson Electric Co. (Electrical Equip.) | 27,366 | 2,086,931 | ||||||||||
Equifax, Inc. (Professional Svs.) | 5,439 | 762,113 | ||||||||||
Expeditors International of Washington, Inc. (Air Freight & Logistics) | 7,645 | 596,463 | ||||||||||
Fastenal Co. (Trading Companies & Distributors) | 25,760 | 951,832 | ||||||||||
FedEx Corp. (Air Freight & Logistics) | 10,783 | 1,630,497 | ||||||||||
Flowserve Corp. (Machinery) | 5,893 | 293,295 | ||||||||||
Fortive Corp. (Machinery) | 13,273 | 1,013,925 | ||||||||||
Fortune Brands Home & Security, Inc. (Building Products) | 6,256 | 408,767 | ||||||||||
General Dynamics Corp. (Aerospace & Defense) | 10,525 | 1,856,084 |
50 | (continued) |
Ohio National Fund, Inc. | ON S&P 500® Index Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Common Stocks (Continued) | Shares | Value | ||||||||||
INDUSTRIALS (continued) | ||||||||||||
General Electric Co. (Industrial Conglomerates) | 392,217 | $ | 4,377,142 | |||||||||
Honeywell International, Inc. (Industrial Conglomerates) | 32,087 | 5,679,399 | ||||||||||
Huntington Ingalls Industries, Inc. (Aerospace & Defense) | 1,835 | 460,365 | ||||||||||
IDEX Corp. (Machinery) | 3,430 | 589,960 | ||||||||||
IHS Markit Ltd. (Professional Svs.) | (a | ) | 18,009 | 1,356,978 | ||||||||
Illinois Tool Works, Inc. (Machinery) | 13,132 | 2,358,901 | ||||||||||
Ingersoll-Rand PLC (Machinery) | 10,752 | 1,429,156 | ||||||||||
J.B. Hunt Transport Services, Inc. (Road & Rail) | 3,830 | 447,267 | ||||||||||
Jacobs Engineering Group, Inc. (Construction & Engineering) | 6,081 | 546,256 | ||||||||||
Johnson Controls International PLC (Building Products) | 34,646 | 1,410,439 | ||||||||||
Kansas City Southern (Road & Rail) | 4,452 | 681,868 | ||||||||||
L3Harris Technologies, Inc. (Aerospace & Defense) | 9,930 | 1,964,849 | ||||||||||
Lockheed Martin Corp. (Aerospace & Defense) | 11,145 | 4,339,640 | ||||||||||
Masco Corp. (Building Products) | 12,762 | 612,448 | ||||||||||
Nielsen Holdings PLC (Professional Svs.) | 15,958 | 323,947 | ||||||||||
Norfolk Southern Corp. (Road & Rail) | 11,710 | 2,273,262 | ||||||||||
Northrop Grumman Corp. (Aerospace & Defense) | 7,037 | 2,420,517 | ||||||||||
Old Dominion Freight Line, Inc. (Road & Rail) | 2,868 | 544,289 | ||||||||||
PACCAR, Inc. (Machinery) | 15,533 | 1,228,660 | ||||||||||
Parker-Hannifin Corp. (Machinery) | 5,771 | 1,187,787 | ||||||||||
Pentair PLC (Machinery) | 7,540 | 345,860 | ||||||||||
Quanta Services, Inc. (Construction & Engineering) | 6,394 | 260,300 | ||||||||||
Raytheon Co. (Aerospace & Defense) | 12,506 | 2,748,068 | ||||||||||
Republic Services, Inc. (Commercial Svs. & Supplies) | 9,433 | 845,480 | ||||||||||
Robert Half International, Inc. (Professional Svs.) | 5,281 | 333,495 | ||||||||||
Rockwell Automation, Inc. (Electrical Equip.) | 5,191 | 1,052,060 | ||||||||||
Rollins, Inc. (Commercial Svs. & Supplies) | 6,325 | 209,737 | ||||||||||
Roper Technologies, Inc. (Industrial Conglomerates) | 4,674 | 1,655,671 | ||||||||||
Snap-on, Inc. (Machinery) | 2,475 | 419,265 | ||||||||||
Southwest Airlines Co. (Airlines) | 21,269 | 1,148,101 | ||||||||||
Stanley Black & Decker, Inc. (Machinery) | 6,828 | 1,131,673 | ||||||||||
Textron, Inc. (Aerospace & Defense) | 10,289 | 458,889 | ||||||||||
TransDigm Group, Inc. (Aerospace & Defense) | 2,237 | 1,252,720 | ||||||||||
Union Pacific Corp. (Road & Rail) | 31,174 | 5,635,947 | ||||||||||
United Airlines Holdings, Inc. (Airlines) | (a | ) | 9,774 | 860,992 | ||||||||
United Parcel Service, Inc. Class B (Air Freight & Logistics) | 31,468 | 3,683,644 | ||||||||||
United Rentals, Inc. (Trading Companies & Distributors) | (a | ) | 3,378 | 563,349 | ||||||||
United Technologies Corp. (Aerospace & Defense) | 36,436 | 5,456,655 | ||||||||||
Verisk Analytics, Inc. (Professional Svs.) | 7,358 | 1,098,844 | ||||||||||
W.W. Grainger, Inc. (Trading Companies & Distributors) | 1,960 | 663,499 | ||||||||||
Waste Management, Inc. (Commercial Svs. & Supplies) | 17,531 | 1,997,833 | ||||||||||
Westinghouse Air Brake Technologies Corp. (Machinery) | 8,163 | 635,081 | ||||||||||
Xylem, Inc. (Machinery) | 8,067 | 635,599 | ||||||||||
|
| |||||||||||
108,770,343 | ||||||||||||
|
| |||||||||||
INFORMATION TECHNOLOGY – 23.2% |
| |||||||||||
Accenture PLC Class A (IT Svs.) | 28,526 | 6,006,720 | ||||||||||
Adobe, Inc. (Software) | (a | ) | 21,740 | 7,170,069 | ||||||||
Advanced Micro Devices, Inc. (Semiconductors & Equip.) | (a | ) | 50,013 | 2,293,596 | ||||||||
Akamai Technologies, Inc. (IT Svs.) | (a | ) | 7,258 | 626,946 | ||||||||
Alliance Data Systems Corp. (IT Svs.) | 1,836 | 205,999 |
Common Stocks (Continued) | Shares | Value | ||||||||||
INFORMATION TECHNOLOGY (continued) | ||||||||||||
Amphenol Corp. Class A (Electronic Equip., Instr. & Comp.) | 13,336 | $ | 1,443,355 | |||||||||
Analog Devices, Inc. (Semiconductors & Equip.) | 16,559 | 1,967,872 | ||||||||||
ANSYS, Inc. (Software) | (a | ) | 3,845 | 989,742 | ||||||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 187,562 | 55,077,581 | ||||||||||
Applied Materials, Inc. (Semiconductors & Equip.) | 41,486 | 2,532,305 | ||||||||||
Arista Networks, Inc. (Communications Equip.) | (a | ) | 2,432 | 494,669 | ||||||||
Autodesk, Inc. (Software) | (a | ) | 9,883 | 1,813,135 | ||||||||
Automatic Data Processing, Inc. (IT Svs.) | 19,438 | 3,314,179 | ||||||||||
Broadcom, Inc. (Semiconductors & Equip.) | 17,808 | 5,627,684 | ||||||||||
Broadridge Financial Solutions, Inc. (IT Svs.) | 5,163 | 637,837 | ||||||||||
Cadence Design Systems, Inc. (Software) | (a | ) | 12,631 | 876,086 | ||||||||
CDW Corp. (Electronic Equip., Instr. & Comp.) | 6,452 | 921,604 | ||||||||||
Cisco Systems, Inc. (Communications Equip.) | 190,505 | 9,136,620 | ||||||||||
Citrix Systems, Inc. (Software) | 5,507 | 610,726 | ||||||||||
Cognizant Technology Solutions Corp. Class A (IT Svs.) | 24,587 | 1,524,886 | ||||||||||
Corning, Inc. (Electronic Equip., Instr. & Comp.) | 34,541 | 1,005,489 | ||||||||||
DXC Technology Co. (IT Svs.) | 11,506 | 432,511 | ||||||||||
F5 Networks, Inc. (Communications Equip.) | (a | ) | 2,733 | 381,664 | ||||||||
Fidelity National Information Services, Inc. (IT Svs.) | 27,601 | 3,839,023 | ||||||||||
Fiserv, Inc. (IT Svs.) | (a | ) | 25,648 | 2,965,678 | ||||||||
FleetCor Technologies, Inc. (IT Svs.) | (a | ) | 3,897 | 1,121,245 | ||||||||
FLIR Systems, Inc. (Electronic Equip., Instr. & Comp.) | 5,986 | 311,691 | ||||||||||
Fortinet, Inc. (Software) | (a | ) | 6,360 | 678,994 | ||||||||
Gartner, Inc. (IT Svs.) | (a | ) | 4,006 | 617,325 | ||||||||
Global Payments, Inc. (IT Svs.) | 13,499 | 2,464,377 | ||||||||||
Hewlett Packard Enterprise Co. (Tech. Hardware, Storage & Periph.) | 58,228 | 923,496 | ||||||||||
HP, Inc. (Tech. Hardware, Storage & Periph.) | 66,535 | 1,367,294 | ||||||||||
Intel Corp. (Semiconductors & Equip.) | 195,346 | 11,691,458 | ||||||||||
International Business Machines Corp. (IT Svs.) | 39,769 | 5,330,637 | ||||||||||
Intuit, Inc. (Software) | 11,690 | 3,061,962 | ||||||||||
IPG Photonics Corp. (Electronic Equip., Instr. & Comp.) | (a | ) | 1,601 | 232,017 | ||||||||
Jack Henry & Associates, Inc. (IT Svs.) | 3,441 | 501,251 | ||||||||||
Juniper Networks, Inc. (Communications Equip.) | 15,050 | 370,682 | ||||||||||
Keysight Technologies, Inc. (Electronic Equip., Instr. & Comp.) | (a | ) | 8,410 | 863,118 | ||||||||
KLA-Tencor Corp. (Semiconductors & Equip.) | 7,081 | 1,261,622 | ||||||||||
Lam Research Corp. (Semiconductors & Equip.) | 6,516 | 1,905,278 | ||||||||||
Leidos Holdings, Inc. (IT Svs.) | 5,978 | 585,186 | ||||||||||
Mastercard, Inc. Class A (IT Svs.) | 39,862 | 11,902,395 | ||||||||||
Maxim Integrated Products, Inc. (Semiconductors & Equip.) | 12,159 | 747,900 | ||||||||||
Microchip Technology, Inc. (Semiconductors & Equip.) | 10,735 | 1,124,169 | ||||||||||
Micron Technology, Inc. (Semiconductors & Equip.) | (a | ) | 49,719 | 2,673,888 | ||||||||
Microsoft Corp. (Software) | 342,589 | 54,026,285 | ||||||||||
Motorola Solutions, Inc. (Communications Equip.) | 7,694 | 1,239,811 | ||||||||||
NetApp, Inc. (Tech. Hardware, Storage & Periph.) | 10,248 | 637,938 | ||||||||||
NortonLifeLock, Inc. (Software) | 25,758 | 657,344 | ||||||||||
NVIDIA Corp. (Semiconductors & Equip.) | 27,484 | 6,466,985 | ||||||||||
Oracle Corp. (Software) | 97,289 | 5,154,371 | ||||||||||
Paychex, Inc. (IT Svs.) | 14,331 | 1,218,995 | ||||||||||
PayPal Holdings, Inc. (IT Svs.) | (a | ) | 52,730 | 5,703,804 | ||||||||
Qorvo, Inc. (Semiconductors & Equip.) | �� | (a | ) | 5,219 | 606,604 | |||||||
QUALCOMM, Inc. (Semiconductors & Equip.) | 51,278 | 4,524,258 | ||||||||||
salesforce.com, Inc. (Software) | (a | ) | 39,835 | 6,478,764 |
51 | (continued) |
Ohio National Fund, Inc. | ON S&P 500® Index Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Common Stocks (Continued) | Shares | Value | ||||||||||
INFORMATION TECHNOLOGY (continued) | ||||||||||||
Seagate Technology PLC (Tech. Hardware, Storage & Periph.) | 10,378 | $ | 617,491 | |||||||||
ServiceNow, Inc. (Software) | (a | ) | 8,471 | 2,391,533 | ||||||||
Skyworks Solutions, Inc. (Semiconductors & Equip.) | 7,658 | 925,699 | ||||||||||
Synopsys, Inc. (Software) | (a | ) | 6,740 | 938,208 | ||||||||
TE Connectivity Ltd. (Electronic Equip., Instr. & Comp.) | 15,006 | 1,438,175 | ||||||||||
Texas Instruments, Inc. (Semiconductors & Equip.) | 41,977 | 5,385,229 | ||||||||||
VeriSign, Inc. (IT Svs.) | (a | ) | 4,640 | 894,035 | ||||||||
Visa, Inc. (IT Svs.) | 76,869 | 14,443,685 | ||||||||||
Western Digital Corp. (Tech. Hardware, Storage & Periph.) | 13,358 | 847,832 | ||||||||||
Western Union Co. / The (IT Svs.) | 18,812 | 503,785 | ||||||||||
Xerox Holdings Corp. (Tech. Hardware, Storage & Periph.) | 8,353 | 307,975 | ||||||||||
Xilinx, Inc. (Semiconductors & Equip.) | 11,271 | 1,101,966 | ||||||||||
Zebra Technologies Corp. Class A (Electronic Equip., Instr. & Comp.) | (a | ) | 2,422 | 618,676 | ||||||||
|
| |||||||||||
278,761,409 | ||||||||||||
|
| |||||||||||
MATERIALS – 2.7% | ||||||||||||
Air Products & Chemicals, Inc. (Chemicals) | 9,900 | 2,326,401 | ||||||||||
Albemarle Corp. (Chemicals) | 4,756 | 347,378 | ||||||||||
Amcor PLC (Containers & Packaging) | 72,767 | 788,794 | ||||||||||
Avery Dennison Corp. (Containers & Packaging) | 3,738 | 489,005 | ||||||||||
Ball Corp. (Containers & Packaging) | 14,707 | 951,102 | ||||||||||
Celanese Corp. (Chemicals) | 5,432 | 668,788 | ||||||||||
CF Industries Holdings, Inc. (Chemicals) | 9,788 | 467,279 | ||||||||||
Corteva, Inc. (Chemicals) | 33,623 | 993,896 | ||||||||||
Dow, Inc. (Chemicals) | 33,317 | 1,823,439 | ||||||||||
DuPont de Nemours, Inc. (Chemicals) | 33,257 | 2,135,099 | ||||||||||
Eastman Chemical Co. (Chemicals) | 6,127 | 485,626 | ||||||||||
Ecolab, Inc. (Chemicals) | 11,263 | 2,173,646 | ||||||||||
FMC Corp. (Chemicals) | 5,800 | 578,956 | ||||||||||
Freeport-McMoRan, Inc. (Metals & Mining) | 65,019 | 853,049 | ||||||||||
International Flavors & Fragrances, Inc. (Chemicals) | 4,786 | 617,490 | ||||||||||
International Paper Co. (Containers & Packaging) | 17,616 | 811,217 | ||||||||||
Linde PLC (Chemicals) | 24,125 | 5,136,212 | ||||||||||
LyondellBasell Industries N.V. Class A (Chemicals) | 11,521 | 1,088,504 | ||||||||||
Martin Marietta Materials, Inc. (Construction Materials) | 2,801 | 783,272 | ||||||||||
Mosaic Co. / The (Chemicals) | 15,689 | 339,510 | ||||||||||
Newmont Goldcorp Corp. (Metals & Mining) | 36,838 | 1,600,611 | ||||||||||
Nucor Corp. (Metals & Mining) | 13,590 | 764,845 | ||||||||||
Packaging Corp. of America (Containers & Packaging) | 4,236 | 474,390 | ||||||||||
PPG Industries, Inc. (Chemicals) | 10,622 | 1,417,931 | ||||||||||
Sealed Air Corp. (Containers & Packaging) | 6,926 | 275,863 | ||||||||||
Sherwin-Williams Co. / The (Chemicals) | 3,690 | 2,153,263 | ||||||||||
Vulcan Materials Co. (Construction Materials) | 5,932 | 854,149 | ||||||||||
Westrock Co. (Containers & Packaging) | 11,544 | 495,353 | ||||||||||
|
| |||||||||||
31,895,068 | ||||||||||||
|
| |||||||||||
REAL ESTATE – 2.9% | ||||||||||||
Alexandria Real Estate Equities, Inc. (Equity REIT) | 5,176 | 836,338 | ||||||||||
American Tower Corp. (Equity REIT) | 19,892 | 4,571,579 | ||||||||||
Apartment Investment & Management Co. Class A (Equity REIT) | 6,703 | 346,210 | ||||||||||
AvalonBay Communities, Inc. (Equity REIT) | 6,274 | 1,315,658 | ||||||||||
Boston Properties, Inc. (Equity REIT) | 6,460 | 890,576 | ||||||||||
CBRE Group, Inc. Class A (Real Estate Mgmt. & Development) | (a | ) | 15,011 | 920,024 | ||||||||
Crown Castle International Corp. (Equity REIT) | 18,672 | 2,654,225 | ||||||||||
Digital Realty Trust, Inc. (Equity REIT) | 9,375 | 1,122,563 |
Common Stocks (Continued) | Shares | Value | ||||||||||
REAL ESTATE (continued) | ||||||||||||
Duke Realty Corp. (Equity REIT) | 16,531 | $ | 573,130 | |||||||||
Equinix, Inc. (Equity REIT) | 3,830 | 2,235,571 | ||||||||||
Equity Residential (Equity REIT) | 15,674 | 1,268,340 | ||||||||||
Essex Property Trust, Inc. (Equity REIT) | 2,969 | 893,253 | ||||||||||
Extra Space Storage, Inc. (Equity REIT) | 5,819 | 614,603 | ||||||||||
Federal Realty Investment Trust (Equity REIT) | 3,173 | 408,460 | ||||||||||
Healthpeak Properties, Inc. (Equity REIT) | 22,240 | 766,613 | ||||||||||
Host Hotels & Resorts, Inc. (Equity REIT) | 32,234 | 597,941 | ||||||||||
Iron Mountain, Inc. (Equity REIT) | 12,832 | 408,956 | ||||||||||
Kimco Realty Corp. (Equity REIT) | 18,965 | 392,765 | ||||||||||
Mid-America Apartment Communities, Inc. (Equity REIT) | 5,120 | 675,123 | ||||||||||
Prologis, Inc. (Equity REIT) | 28,374 | 2,529,258 | ||||||||||
Public Storage (Equity REIT) | 6,745 | 1,436,415 | ||||||||||
Realty Income Corp. (Equity REIT) | 14,644 | 1,078,238 | ||||||||||
Regency Centers Corp. (Equity REIT) | 7,503 | 473,364 | ||||||||||
SBA Communications Corp. (Equity REIT) | 5,052 | 1,217,481 | ||||||||||
Simon Property Group, Inc. (Equity REIT) | 13,777 | 2,052,222 | ||||||||||
SL Green Realty Corp. (Equity REIT) | 3,649 | 335,270 | ||||||||||
UDR, Inc. (Equity REIT) | 13,152 | 614,198 | ||||||||||
Ventas, Inc. (Equity REIT) | 16,744 | 966,799 | ||||||||||
Vornado Realty Trust (Equity REIT) | 7,094 | 471,751 | ||||||||||
Welltower, Inc. (Equity REIT) | 18,227 | 1,490,604 | ||||||||||
Weyerhaeuser Co. (Equity REIT) | 33,473 | 1,010,885 | ||||||||||
|
| |||||||||||
35,168,413 | ||||||||||||
|
| |||||||||||
UTILITIES – 3.3% | ||||||||||||
AES Corp. (Ind. Power & Renewable Elec.) | 29,717 | 591,368 | ||||||||||
Alliant Energy Corp. (Electric Utilities) | 10,807 | 591,359 | ||||||||||
Ameren Corp. (Multi-Utilities) | 11,055 | 849,024 | ||||||||||
American Electric Power Co., Inc. (Electric Utilities) | 22,178 | 2,096,043 | ||||||||||
American Water Works Co., Inc. (Water Utilities) | 8,128 | 998,525 | ||||||||||
Atmos Energy Corp. (Gas Utilities) | 5,360 | 599,570 | ||||||||||
CenterPoint Energy, Inc. (Multi-Utilities) | 22,495 | 613,439 | ||||||||||
CMS Energy Corp. (Multi-Utilities) | 12,748 | 801,084 | ||||||||||
Consolidated Edison, Inc. (Multi-Utilities) | 14,928 | 1,350,536 | ||||||||||
Dominion Energy, Inc. (Multi-Utilities) | 36,959 | 3,060,944 | ||||||||||
DTE Energy Co. (Multi-Utilities) | 8,628 | 1,120,518 | ||||||||||
Duke Energy Corp. (Electric Utilities) | 32,739 | 2,986,124 | ||||||||||
Edison International (Electric Utilities) | 16,105 | 1,214,478 | ||||||||||
Entergy Corp. (Electric Utilities) | 8,959 | 1,073,288 | ||||||||||
Evergy, Inc. (Electric Utilities) | 10,244 | 666,782 | ||||||||||
Eversource Energy (Electric Utilities) | 14,541 | 1,237,003 | ||||||||||
Exelon Corp. (Electric Utilities) | 43,662 | 1,990,551 | ||||||||||
FirstEnergy Corp. (Electric Utilities) | 24,266 | 1,179,328 | ||||||||||
NextEra Energy, Inc. (Electric Utilities) | 21,948 | 5,314,928 | ||||||||||
NiSource, Inc. (Multi-Utilities) | 16,764 | 466,710 | ||||||||||
NRG Energy, Inc. (Ind. Power & Renewable Elec.) | 11,350 | 451,163 | ||||||||||
Pinnacle West Capital Corp. (Electric Utilities) | 5,038 | 453,067 | ||||||||||
PPL Corp. (Electric Utilities) | 32,472 | 1,165,095 | ||||||||||
Public Service Enterprise Group, Inc. (Multi-Utilities) | 22,706 | 1,340,789 | ||||||||||
Sempra Energy (Multi-Utilities) | 12,658 | 1,917,434 | ||||||||||
Southern Co. / The (Electric Utilities) | 47,092 | 2,999,760 | ||||||||||
WEC Energy Group, Inc. (Multi-Utilities) | 14,166 | 1,306,530 | ||||||||||
Xcel Energy, Inc. (Electric Utilities) | 23,553 | 1,495,380 | ||||||||||
|
| |||||||||||
39,930,820 | ||||||||||||
|
| |||||||||||
Total Common Stocks (Cost $904,214,236) |
| $ | 1,201,715,776 | |||||||||
|
|
U.S. Treasury Obligations – | Rate | Maturity | Face Amount | Value | ||||||||||||
U.S. Treasury Bill | 0.000 | % | 03/19/2020 | $ | 200,000 | $ | 199,366 | |||||||||
|
| |||||||||||||||
Total U.S. Treasury Obligations (Cost $199,217) | $ | 199,366 | ||||||||||||||
|
|
52 | (continued) |
Ohio National Fund, Inc. | ON S&P 500® Index Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Money Market Funds – 0.2% | Shares | Value | ||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class, 1.734% | (b | ) | 2,079,213 | $ | 2,079,421 | |||||||
|
| |||||||||||
Total Money Market Funds (Cost $2,079,421) | $ | 2,079,421 | ||||||||||
|
| |||||||||||
Total Investments – 100.1% (Cost $906,492,874) | (c | ) | $ | 1,203,994,563 | ||||||||
Liabilities in Excess of Other Assets – (0.1)% | (d | ) | (1,403,189 | ) | ||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 1,202,591,374 | ||||||||||
|
|
Percentages are stated as a percent of net assets.
Footnotes:
(a) | Non-income producing security. |
(b) | Rate represents theseven-day yield at December 31, 2019. |
(c) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
(d) | Includes $182,700 of cash pledged as collateral for the futures contracts outstanding at December 31, 2019. See also the following Schedule of Open Futures Contracts. |
The accompanying notes are an integral part of these financial statements.
Schedule of Open Futures Contracts | December 31, 2019 |
Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||
CMEE-mini S&P 500 Index - Long | 29 | March 20, 2020 | $4,633,748 | $4,685,095 | $51,347 | $1,575 |
The accompanying notes are an integral part of these financial statements.
53
Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Value Portfolio (Unaudited) |
Objective/Strategy |
The ON BlackRock Advantage Large Cap Value Portfolio(formerly the ON Federated Strategic Value Dividend Portfolio)seeks growth of capital and income by investing under normal circumstances, at least 80% of its net assets in stocks of large capitalization companies with market capitalizations at the time of investment that are within the range of market capitalizations of the companies in the Russell 1000 Value Index for the previous twelve months.
Performance as of December 31, 2019 |
Average Annual returns | ||||
One year | 19.21 | % | ||
Five years | 7.66 | % | ||
Ten years | 10.41 | % |
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-free1-877-781-6392.
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 0.72% per the Fund’s prospectus dated November 22, 2019. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2019 can be found in the Portfolio’s Financial Highlights.
Comments fromSub-Adviser |
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A. For the year ended December 31, 2019, the Portfolio returned 19.21% versus 26.54% for its current benchmark, the Russell 1000 Value Index, and 23.11% for its former benchmark, the Dow Jones U.S. Select Dividend Index.
Effective December 7, 2019, BlackRock Investment Management, LLC replaced the Portfolio’s previoussub-adviser, Federated Equity Management Company of Pennsylvania (“Federated Equity”). In conjunction with the change insub-adviser and investment strategy, the name of the Portfolio was changed from ON Federated Strategic Value Dividend Portfolio to ON BlackRock Advantage Large Cap Value Portfolio. Also, the Portfolio’s benchmark was changed from the Dow Jones U.S. Select Dividend Index to the Russell 1000 Value Index. The change in the benchmark was made because the Russell 1000 Value Index better reflects the style of the strategy utilized by BlackRock.
For the period from January 1, 2019 to December 6, 2019 (the “first performance period”), the Portfolio returned 17.04% versus 19.97% for the Dow Jones U.S. Select Dividend Index.
For the period from December 7, 2019 to December 31, 2019 (the “latter performance period”), the Portfolio returned 1.85% versus 2.28% for the Russell 1000 Value 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. Federated Equity:Overall, investor sentiment was positive for the year, as investor optimism increased amid the Federal Reserve lowering rates and the hopes of a truce to the ongoing U.S. - China trade war. While therisk-on trade was temporarily sidelined in the third quarter, due to increasing trade tensions, the high beta chase prevailed for much of the first performance period. Accordingly, high beta outperformed for this period. The benchmark had an average weight of 20% in the top performing, highest quintile of beta versus only 6% in the Portfolio, detracting 65 basis points from the Portfolio’s relative performance.
A. BlackRock:The U.S. equity market continued to climb in December, as an easing of global trade tensions, supportive central bank policy, and strength across several economic indicators helped drive positive returns. As the market was largely driven by geopolitical and broad macroeconomic factors, some of the Portfolio’s stock selection insights were challenged. The Portfolio’s sentiment-based investment insights were some of the most notable detractors, as the geopolitically-driven market moves were often disconnected from stock-specific sentiment. Cross-market sentiment signals, particularly those seeking to identify the sentiment of informed bond investors, were especially challenged. Insights evaluating company fundamentals were generally mixed during the latter performance period, as signals designed to identify relative value opportunities were broadly flat and the Portfolio’s company quality signals detracted slightly. The Portfolio’s macro thematic insights detracted modestly throughout the period as well, as a signal measuring sensitivity to changes in foreign exchange rates dampened relative returns.(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. Federated Equity:The former strategy focused on the dividend-rich segments of the economy, such as Consumer Staples, Health Care, Telecommunication Services and Utilities. Therefore, the former strategy maintained a structural underweight in cyclical sectors that afforded little to no dividend growth opportunities. The Portfolio had limited exposure to Industrials, Information Technology, Materials, and Consumer Discretionary during the first performance period. Further, the former benchmark typically has an outsized average weight in the Utilities sector, which creates notable dispersion in periods when the sector greatly underperforms or outperforms.
During the first performance period, the primary driver of relative weakness was stock selection and an overweight in Energy. Energy was the worst performing sector in the benchmark, as crude oil prices declined during the period. Additionally, the Portfolio had a larger weight in Occidental Petroleum Corp., which experienced short term price pressure from investor concerns surrounding its Anadarko Petroleum Corp. deal. Further, the Portfolio had no exposure to benchmark holding, ONEOK, Inc., which appreciated almost 40% during the first performance period. Relative performance was further hampered by an underweight in Information Technology, which was the top performing sector in the former benchmark. The Portfolio had minimal exposure to cyclical sectors, such as Information Technology, due to the lack of reliable dividend growth and yield opportunities.
Conversely, selection in Communication Services added to relative performance during the first performance period. The outperformance in this sector was primarily driven by the Portfolio’s greater exposure to AT&T, Inc., which appreciated 42.34%. Furthermore, the Portfolio’s underweight in Consumer Discretionary added to relative performance, as this sector underperformed the overall benchmark.
54 | (continued) |
Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Value Portfolio (Unaudited) (Continued) |
A. BlackRock:The portfolio management team targets a relatively sector-neutral approach and seeks to derive the majority of its alpha from security selection. Over the latter performance period, no sector allocation decisions meaningfully affected relative returns. Stock selection was additive in the Utilities sector, especially among electric utilities companies. In contrast, security selection within the Financials sector, particularly among banks, was a notable detractor from relative performance. Selection in the Energy sector hindered relative returns as well.(1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. Federated Equity:The Southern Co., anon-former-benchmark holding, was the top relative contributor during the first performance period, benefitting from declining interest rates and a strong second quarter earnings report. AT&T, Inc. was the second largest relative contributor, as its shares recovered off of their 2018 lows. The company marked progress along its path to reducing debt following the Time Warner acquisition, and news that activist investor Elliot Management had taken a position in the company and laid out a plan to improve the company’s positioning and performance was positive. Phillip Morris International, Inc. was another top relative contributor, as the stock was buoyed by strong earnings and investor optimism surrounding the company’s next generation ofI-Quit-Ordinary-Smoking (“IQOS”) devices.
The top relative detractors during the first performance period were all former-benchmark names that performed well, but were not held by the Portfolio. Target Corp. was the largest detractor. The Portfolio has little to no exposure to Consumer Discretionary due to the lack of reliable dividend growth and yield opportunities. QUALCOMM, Inc. was the second largest detractor. The Portfolio also has little to no exposure to Information Technology due to the lack of reliable dividend growth and yield opportunities. The third largest detractor was ONEOK, Inc., an energy stock that performed well, but was also not selected by the Portfolio’s former concentrated strategy.
A. BlackRock:The top individual contributor for the latter performance period was the Portfolio’s overweight position in EOG Resources, Inc., as the stock rose over 10%. As one of the largest oil and natural gas exploration and production companies in the U.S., the rise in oil prices through the end of the year provided a tailwind for the company’s stock. The Portfolio’s overweight position in LAM Research Corp. (“LAM”) was also beneficial. As the company manufactures components used in semiconductor devices, the increased demand for semiconductors on the back of Apple, Inc.’s success and easing trade tensions into the end of the year caused LAM’s stock price to surge. The Portfolio’s overweight position in The Mosaic Co. (“Mosaic”) further supported relative returns, as Mosaic’s stock price increased on news that the company was going to materially decrease phosphate production at certain U.S. facilities, allowing the company to cut operating costs and focus on its lower-cost, higher margin Canadian potash business.(1)
In contrast, the Portfolio’s underweight position in Dominion Energy, Inc. was the largest individual detractor for the latter performance period. The company’s stock price rose on news of a $200 million strategic partnership with Vanguard Renewables to convert methane from U.S. dairy farms into clean, renewable energy for U.S. consumers. Investors rewarded the company’s initiative to reduce greenhouse gas emissions, while developing innovative sources of clean energy. Remaining underweight, Occidental Petroleum Corp. (“Occidental”), also detracted notably from results. Occidental’s stock price was supported by positive investor sentiment toward the company’s plan to sell approximately twenty major assets in an effort to significantly reduce the company’s outstanding debt and stabilize its balance sheet. Lastly, an overweight position in Gilead Sciences, Inc. dampened relative returns, as concerns around increased regulation on drug pricing and a possible patent extension denial caused the stock to sell off.(1)
Q. How did the Portfolio’s use of derivative instruments and initial public offerings (IPOs), if any, impact performance?
A. Federated Equity:The Portfolio did not hold any derivatives or participate in any IPOs during the first performance period.
A. BlackRock:Pursuant to the Portfolio’s investment strategy, futures contracts were used in the latter performance period to equitize cash and prevent a cash drag on performance. The futures did not meaningfully impact relative performance, however, due to their index characteristics and size in relation to the Portfolio’s net assets.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2019. |
Change in Value of $10,000 Investment |
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The Portfolio’s benchmark was changed from Dow Jones U.S. Select Dividend Index to Russell 1000 Value Index, effective December 7, 2019. The change in the benchmark was made because the Russell 1000 Value Index better reflects the style of the strategy utilized by the currentsub-adviser.
The Russell 1000 Value Index measures the performance of thelarge-cap value segment of the U.S. equity universe. It includes those Russell 1000 Index companies with lowerprice-to-book ratios and lower expected and historical growth rates.
The Dow Jones U.S. Select Dividend Index is comprised of all dividend-paying companies in the Dow Jones U.S. Index that have anon-negative historical five-yeardividend-per-share growth rate, a five-year average dividend toearnings-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.
Past performance is no guarantee of future results. Redemption of fund shares could have tax implications unique to each shareholder.
55 | (continued) |
Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Value Portfolio (Unaudited) (Continued) |
Portfolio Composition as of December 31, 2019(1) |
% of Net Assets | ||||
Common Stocks(4) | 98.2 | |||
Money Market Funds and Other Net Assets | 1.8 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31, |
% of Net Assets | ||||||
1. | Exxon Mobil Corp. | 3.1 | ||||
2. | Berkshire Hathaway, Inc. Class B | 3.1 | ||||
3. | Johnson & Johnson | 2.4 | ||||
4. | JPMorgan Chase & Co. | 2.2 | ||||
5. | AT&T, Inc. | 2.1 | ||||
6. | Pfizer, Inc. | 2.0 | ||||
7. | Verizon Communications, Inc. | 1.9 | ||||
8. | Intel Corp. | 1.9 | ||||
9. | Procter & Gamble Co. / The | 1.7 | ||||
10. | Bank of America Corp. | 1.7 |
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. |
(3) | Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher. |
(4) | Sectors (Common Stocks): |
% of Net Assets | ||||
Financials | 23.9 | |||
Health Care | 13.2 | |||
Industrials | 10.4 | |||
Communication Services | 8.2 | |||
Energy | 7.9 | |||
Consumer Staples | 7.7 | |||
Information Technology | 6.7 | |||
Consumer Discretionary | 6.0 | |||
Utilities | 5.9 | |||
Real Estate | 4.7 | |||
Materials | 3.6 | |||
|
| |||
98.2 | ||||
|
|
56 |
Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Value Portfolio |
Schedule of Investments | December 31, 2019 |
Common Stocks – 98.2% | Shares | Value | ||||||||||
COMMUNICATION SERVICES – 8.2% |
| |||||||||||
Activision Blizzard, Inc. (Entertainment) | 12,721 | $ | 755,882 | |||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 168,545 | 6,586,739 | ||||||||||
CenturyLink, Inc. (Diversified Telecom. Svs.) | 10,442 | 137,939 | ||||||||||
Cinemark Holdings, Inc. (Entertainment) | 17,938 | 607,201 | ||||||||||
Comcast Corp. Class A (Media) | 77,319 | 3,477,035 | ||||||||||
Discovery, Inc. Class A (Media) | (a | ) | 8,694 | 284,642 | ||||||||
Electronic Arts, Inc. (Entertainment) | (a | ) | 1,861 | 200,076 | ||||||||
Facebook, Inc. Class A (Interactive Media & Svs.) | (a | ) | 704 | 144,496 | ||||||||
Interpublic Group of Cos., Inc. / The (Media) | 19,189 | 443,266 | ||||||||||
Liberty Global PLC Class A (Media) | (a | ) | 3,164 | 71,949 | ||||||||
Live Nation Entertainment, Inc. (Entertainment) | (a | ) | 906 | 64,752 | ||||||||
Omnicom Group, Inc. (Media) | 1,472 | 119,261 | ||||||||||
Sirius XM Holdings, Inc. (Media) | 203,994 | 1,458,557 | ||||||||||
Take-Two Interactive Software, Inc. (Entertainment) | (a | ) | 4,581 | 560,852 | ||||||||
Telephone & Data Systems, Inc. (Wireless Telecom. Svs.) | 3,413 | 86,793 | ||||||||||
TripAdvisor, Inc. (Interactive Media & Svs.) | 12,223 | 371,335 | ||||||||||
Twitter, Inc. (Interactive Media & Svs.) | (a | ) | 2,073 | 66,440 | ||||||||
United States Cellular Corp. (Wireless Telecom. Svs.) | (a | ) | 6,452 | 233,756 | ||||||||
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 100,638 | 6,179,173 | ||||||||||
Vodafone Group PLC – ADR (Wireless Telecom. Svs.) | 25,235 | 487,792 | ||||||||||
Walt Disney Co. / The (Entertainment) | 27,808 | 4,021,871 | ||||||||||
|
| |||||||||||
26,359,807 | ||||||||||||
|
| |||||||||||
CONSUMER DISCRETIONARY – 6.0% |
| |||||||||||
AutoNation, Inc. (Specialty Retail) | (a | ) | 4,344 | 211,249 | ||||||||
BorgWarner, Inc. (Auto Components) | 709 | 30,756 | ||||||||||
Boyd Gaming Corp. (Hotels, Restaurants & Leisure) | 2,221 | 66,497 | ||||||||||
Carnival Corp. (Hotels, Restaurants & Leisure) | 13,169 | 669,380 | ||||||||||
Choice Hotels International, Inc. (Hotels, Restaurants & Leisure) | 15,625 | 1,616,094 | ||||||||||
D.R. Horton, Inc. (Household Durables) | 25,817 | 1,361,847 | ||||||||||
Darden Restaurants, Inc. (Hotels, Restaurants & Leisure) | 1,052 | 114,678 | ||||||||||
Dollar General Corp. (Multiline Retail) | 4,112 | 641,390 | ||||||||||
Dunkin’ Brands Group, Inc. (Hotels, Restaurants & Leisure) | 8,493 | 641,561 | ||||||||||
Extended Stay America, Inc. (Hotels, Restaurants & Leisure) | 22,269 | 330,917 | ||||||||||
Ford Motor Co. (Automobiles) | 144,682 | 1,345,543 | ||||||||||
Garmin Ltd. (Household Durables) | 476 | 46,439 | ||||||||||
General Motors Co. (Automobiles) | 60,501 | 2,214,337 | ||||||||||
Goodyear Tire & Rubber Co. / The (Auto Components) | 28,968 | 450,597 | ||||||||||
H&R Block, Inc. (Diversified Consumer Svs.) | 39,477 | 926,920 | ||||||||||
Harley-Davidson, Inc. (Automobiles) | 2,023 | 75,235 | ||||||||||
Hilton Grand Vacations, Inc. (Hotels, Restaurants & Leisure) | (a | ) | 1,551 | 53,339 | ||||||||
Home Depot, Inc. / The (Specialty Retail) | 10,280 | 2,244,946 | ||||||||||
Kohl’s Corp. (Multiline Retail) | 3,308 | 168,543 | ||||||||||
Lennar Corp. Class A (Household Durables) | 881 | 49,151 | ||||||||||
McDonald’s Corp. (Hotels, Restaurants & Leisure) | 13,591 | 2,685,717 | ||||||||||
NIKE, Inc. Class B (Textiles, Apparel & Luxury Goods) | 3,985 | 403,720 | ||||||||||
Penn National Gaming, Inc. (Hotels, Restaurants & Leisure) | (a | ) | 19,346 | 494,484 | ||||||||
Pool Corp. (Distributors) | 241 | 51,184 | ||||||||||
Qurate Retail, Inc. (Internet & Direct Marketing Retail) | (a | ) | 27,220 | 229,465 | ||||||||
Ralph Lauren Corp. (Textiles, Apparel & Luxury Goods) | 337 | 39,503 | ||||||||||
Target Corp. (Multiline Retail) | 9,881 | 1,266,843 |
Common Stocks (Continued) | Shares | Value | ||||||||||
CONSUMER DISCRETIONARY (continued) |
| |||||||||||
Texas Roadhouse, Inc. (Hotels, Restaurants & Leisure) | 2,559 | $ | 144,123 | |||||||||
Thor Industries, Inc. (Automobiles) | 419 | 31,127 | ||||||||||
Whirlpool Corp. (Household Durables) | 1,965 | 289,896 | ||||||||||
Wyndham Destinations, Inc. (Hotels, Restaurants & Leisure) | 3,837 | 198,335 | ||||||||||
|
| |||||||||||
19,093,816 | ||||||||||||
|
| |||||||||||
CONSUMER STAPLES – 7.7% |
| |||||||||||
Altria Group, Inc. (Tobacco) | 21,873 | 1,091,681 | ||||||||||
Church & Dwight Co., Inc. (Household Products) | 1,202 | 84,549 | ||||||||||
Coca-Cola Co. / The (Beverages) | 21,942 | 1,214,490 | ||||||||||
Coca-Cola European Partners PLC (Beverages) | 2,414 | 122,824 | ||||||||||
Costco Wholesale Corp. (Food & Staples Retailing) | 11,502 | 3,380,668 | ||||||||||
Estee Lauder Cos., Inc. / The Class A (Personal Products) | 11,230 | 2,319,444 | ||||||||||
Hershey Co. / The (Food Products) | 21,633 | 3,179,618 | ||||||||||
Hormel Foods Corp. (Food Products) | 13,478 | 607,993 | ||||||||||
J.M. Smucker Co. / The (Food Products) | 4,685 | 487,849 | ||||||||||
Kimberly-Clark Corp. (Household Products) | 1,098 | 151,030 | ||||||||||
Kraft Heinz Co. / The (Food Products) | 1,595 | 51,247 | ||||||||||
Lancaster Colony Corp. (Food Products) | 279 | 44,668 | ||||||||||
McCormick & Co., Inc. (Food Products) | 3,666 | 622,230 | ||||||||||
Molson Coors Brewing Co. Class B (Beverages) | 22,146 | 1,193,669 | ||||||||||
PepsiCo, Inc. (Beverages) | 8,088 | 1,105,387 | ||||||||||
Philip Morris International, Inc. (Tobacco) | 25,231 | 2,146,906 | ||||||||||
Procter & Gamble Co. / The (Household Products) | 44,845 | 5,601,141 | ||||||||||
Walmart, Inc. (Food & Staples Retailing) | 10,454 | 1,242,353 | ||||||||||
|
| |||||||||||
24,647,747 | ||||||||||||
|
| |||||||||||
ENERGY – 7.9% |
| |||||||||||
Chevron Corp. (Oil, Gas & Consumable Fuels) | 22,528 | 2,714,849 | ||||||||||
ConocoPhillips (Oil, Gas & Consumable Fuels) | 12,346 | 802,860 | ||||||||||
Continental Resources, Inc. (Oil, Gas & Consumable Fuels) | 21,163 | 725,891 | ||||||||||
Devon Energy Corp. (Oil, Gas & Consumable Fuels) | 51,034 | 1,325,353 | ||||||||||
EOG Resources, Inc. (Oil, Gas & Consumable Fuels) | 26,938 | 2,256,327 | ||||||||||
EQT Corp. (Oil, Gas & Consumable Fuels) | 12,698 | 138,408 | ||||||||||
Exxon Mobil Corp. (Oil, Gas & Consumable Fuels) | 141,837 | 9,897,386 | ||||||||||
Halliburton Co. (Energy Equip. & Svs.) | 1,272 | 31,126 | ||||||||||
HollyFrontier Corp. (Oil, Gas & Consumable Fuels) | 4,378 | 222,008 | ||||||||||
Marathon Oil Corp. (Oil, Gas & Consumable Fuels) | 82,718 | 1,123,311 | ||||||||||
Marathon Petroleum Corp. (Oil, Gas & Consumable Fuels) | 34,600 | 2,084,650 | ||||||||||
National Oilwell Varco, Inc. (Energy Equip. & Svs.) | 18,633 | 466,757 | ||||||||||
Patterson-UTI Energy, Inc. (Energy Equip. & Svs.) | 6,488 | 68,124 | ||||||||||
Phillips 66 (Oil, Gas & Consumable Fuels) | 5,761 | 641,833 | ||||||||||
Range Resources Corp. (Oil, Gas & Consumable Fuels) | 20,565 | 99,740 | ||||||||||
TechnipFMC PLC (Energy Equip. & Svs.) | 15,428 | 330,776 | ||||||||||
Transocean Ltd. (Energy Equip. & Svs.) | (a | ) | 50,603 | 348,149 | ||||||||
Valero Energy Corp. (Oil, Gas & Consumable Fuels) | 19,740 | 1,848,651 | ||||||||||
Williams Cos., Inc. / The (Oil, Gas & Consumable Fuels) | 9,730 | 230,796 | ||||||||||
|
| |||||||||||
25,356,995 | ||||||||||||
|
|
57 | (continued) |
Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Value Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Common Stocks (Continued) | Shares | Value | ||||||||||
FINANCIALS – 23.9% |
| |||||||||||
Affiliated Managers Group, Inc. (Capital Markets) | 11,544 | $ | 978,239 | |||||||||
Aflac, Inc. (Insurance) | 18,487 | 977,962 | ||||||||||
Allstate Corp. / The (Insurance) | 27,144 | 3,052,343 | ||||||||||
Ally Financial, Inc. (Consumer Finance) | 39,311 | 1,201,344 | ||||||||||
American Express Co. (Consumer Finance) | 7,974 | 992,683 | ||||||||||
American National Insurance Co. (Insurance) | 1,915 | 225,357 | ||||||||||
Arch Capital Group Ltd. (Insurance) | (a | ) | 6,032 | 258,713 | ||||||||
Arthur J. Gallagher & Co. (Insurance) | 9,796 | 932,873 | ||||||||||
AXA Equitable Holdings, Inc. (Diversified Financial Svs.) | 11,936 | 295,774 | ||||||||||
Bank of America Corp. (Banks) | 151,202 | 5,325,334 | ||||||||||
Bank of New York Mellon Corp. / The (Capital Markets) | 21,442 | 1,079,176 | ||||||||||
Bank OZK (Banks) | 3,573 | 108,994 | ||||||||||
Berkshire Hathaway, Inc. Class B (Diversified Financial Svs.) | (a | ) | 43,154 | 9,774,381 | ||||||||
Brighthouse Financial, Inc. (Insurance) | (a | ) | 6,136 | 240,715 | ||||||||
Capital One Financial Corp. (Consumer Finance) | 15,166 | 1,560,733 | ||||||||||
Charles Schwab Corp. / The (Capital Markets) | 16,225 | 771,661 | ||||||||||
Cincinnati Financial Corp. (Insurance) | 3,196 | 336,059 | ||||||||||
CIT Group, Inc. (Banks) | 32,725 | 1,493,242 | ||||||||||
Citigroup, Inc. (Banks) | 19,100 | 1,525,899 | ||||||||||
CME Group, Inc. (Capital Markets) | 8,603 | 1,726,794 | ||||||||||
Comerica, Inc. (Banks) | 765 | 54,889 | ||||||||||
Commerce Bancshares, Inc. (Banks) | 6,045 | 410,697 | ||||||||||
Cullen / Frost Bankers, Inc. (Banks) | 11,129 | 1,088,194 | ||||||||||
East West Bancorp, Inc. (Banks) | 5,582 | 271,843 | ||||||||||
Essent Group Ltd. (Thrifts & Mortgage Finance) | 3,691 | 191,895 | ||||||||||
Evercore, Inc. Class A (Capital Markets) | 2,269 | 169,630 | ||||||||||
FactSet Research Systems, Inc. (Capital Markets) | 4,618 | 1,239,009 | ||||||||||
Fidelity National Financial, Inc. (Insurance) | 2,232 | 101,221 | ||||||||||
Fifth Third Bancorp (Banks) | 7,572 | 232,763 | ||||||||||
First American Financial Corp. (Insurance) | 18,103 | 1,055,767 | ||||||||||
First Citizens BancShares, Inc. Class A (Banks) | 336 | 178,823 | ||||||||||
First Horizon National Corp. (Banks) | 4,076 | 67,499 | ||||||||||
First Republic Bank (Banks) | 1,038 | 121,913 | ||||||||||
FirstCash, Inc. (Consumer Finance) | 741 | 59,747 | ||||||||||
Globe Life, Inc. (Insurance) | 10,621 | 1,117,860 | ||||||||||
Hartford Financial Services Group, Inc. / The (Insurance) | 7,567 | 459,847 | ||||||||||
Intercontinental Exchange, Inc. (Capital Markets) | 27,772 | 2,570,299 | ||||||||||
Invesco Ltd. (Capital Markets) | 97,217 | 1,747,962 | ||||||||||
JPMorgan Chase & Co. (Banks) | 50,367 | 7,021,160 | ||||||||||
KeyCorp (Banks) | 23,313 | 471,855 | ||||||||||
Legg Mason, Inc. (Capital Markets) | 2,382 | 85,538 | ||||||||||
Lincoln National Corp. (Insurance) | 4,745 | 280,002 | ||||||||||
Loews Corp. (Insurance) | 1,182 | 62,043 | ||||||||||
Markel Corp. (Insurance) | (a | ) | 535 | 611,596 | ||||||||
Marsh & McLennan Cos., Inc. (Insurance) | 8,198 | 913,339 | ||||||||||
Mercury General Corp. (Insurance) | 2,109 | 102,772 | ||||||||||
MetLife, Inc. (Insurance) | 16,637 | 847,988 | ||||||||||
MGIC Investment Corp. (Thrifts & Mortgage Finance) | 4,993 | 70,751 | ||||||||||
Morgan Stanley (Capital Markets) | 36,084 | 1,844,614 | ||||||||||
Nasdaq, Inc. (Capital Markets) | 8,489 | 909,172 | ||||||||||
PacWest Bancorp (Banks) | 9,012 | 344,889 | ||||||||||
Pinnacle Financial Partners, Inc. (Banks) | 3,077 | 196,928 | ||||||||||
PNC Financial Services Group, Inc. / The (Banks) | 9,478 | 1,512,973 | ||||||||||
Progressive Corp. / The (Insurance) | 9,936 | 719,267 | ||||||||||
Prudential Financial, Inc. (Insurance) | 17,552 | 1,645,325 | ||||||||||
Regions Financial Corp. (Banks) | 120,327 | 2,064,811 | ||||||||||
Reinsurance Group of America, Inc. (Insurance) | 4,561 | 743,717 |
Common Stocks (Continued) | Shares | Value | ||||||||||
FINANCIALS (continued) |
| |||||||||||
S&P Global, Inc. (Capital Markets) | 5,462 | $ | 1,491,399 | |||||||||
SEI Investments Co. (Capital Markets) | 6,015 | 393,862 | ||||||||||
SVB Financial Group (Banks) | (a | ) | 395 | 99,161 | ||||||||
Synchrony Financial (Consumer Finance) | 7,665 | 276,017 | ||||||||||
T. Rowe Price Group, Inc. (Capital Markets) | 1,681 | 204,813 | ||||||||||
TD Ameritrade Holding Corp. (Capital Markets) | 768 | 38,170 | ||||||||||
Travelers Cos., Inc. / The (Insurance) | 903 | 123,666 | ||||||||||
Truist Financial Corp. (Banks) | 15,573 | 877,071 | ||||||||||
U.S. Bancorp (Banks) | 32,461 | 1,924,613 | ||||||||||
Unum Group (Insurance) | 4,377 | 127,633 | ||||||||||
Voya Financial, Inc. (Diversified Financial Svs.) | 8,467 | 516,318 | ||||||||||
W.R. Berkley Corp. (Insurance) | 3,759 | 259,747 | ||||||||||
Wells Fargo & Co. (Banks) | 81,744 | 4,397,827 | ||||||||||
Willis Towers Watson PLC (Insurance) | 2,710 | 547,257 | ||||||||||
Wintrust Financial Corp. (Banks) | 5,298 | 375,628 | ||||||||||
Zions Bancorp N.A. (Banks) | 11,925 | 619,146 | ||||||||||
|
| |||||||||||
76,719,202 | ||||||||||||
|
| |||||||||||
HEALTH CARE – 13.2% |
| |||||||||||
Abbott Laboratories (Health Care Equip. & Supplies) | 17,346 | 1,506,673 | ||||||||||
AbbVie, Inc. (Biotechnology) | 10,061 | 890,801 | ||||||||||
Alexion Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 2,792 | 301,955 | ||||||||
Allergan PLC (Pharmaceuticals) | 4,454 | 851,471 | ||||||||||
AmerisourceBergen Corp. (Health Care Providers & Svs.) | 1,251 | 106,360 | ||||||||||
Amgen, Inc. (Biotechnology) | 838 | 202,017 | ||||||||||
Anthem, Inc. (Health Care Providers & Svs.) | 4,789 | 1,446,422 | ||||||||||
Biogen, Inc. (Biotechnology) | (a | ) | 1,368 | 405,927 | ||||||||
Bristol-Myers Squibb Co. (Pharmaceuticals) | 29,428 | 1,888,983 | ||||||||||
Centene Corp. (Health Care Providers & Svs.) | (a | ) | 1,186 | 74,564 | ||||||||
Cigna Corp. (Health Care Providers & Svs.) | 2,502 | 511,634 | ||||||||||
CVS Health Corp. (Health Care Providers & Svs.) | 41,742 | 3,101,013 | ||||||||||
Danaher Corp. (Health Care Equip. & Supplies) | 3,786 | 581,075 | ||||||||||
DexCom, Inc. (Health Care Equip. & Supplies) | (a | ) | 1,821 | 398,325 | ||||||||
Edwards Lifesciences Corp. (Health Care Equip. & Supplies) | (a | ) | 3,903 | 910,531 | ||||||||
Gilead Sciences, Inc. (Biotechnology) | 75,856 | 4,929,123 | ||||||||||
HCA Healthcare, Inc. (Health Care Providers & Svs.) | 828 | 122,387 | ||||||||||
Hologic, Inc. (Health Care Equip. & Supplies) | (a | ) | 8,469 | 442,166 | ||||||||
Humana, Inc. (Health Care Providers & Svs.) | 1,619 | 593,396 | ||||||||||
IDEXX Laboratories, Inc. (Health Care Equip. & Supplies) | (a | ) | 1,170 | 305,522 | ||||||||
Incyte Corp. (Biotechnology) | (a | ) | 1,593 | 139,101 | ||||||||
Johnson & Johnson (Pharmaceuticals) | 52,755 | 7,695,372 | ||||||||||
McKesson Corp. (Health Care Providers & Svs.) | 7,230 | 1,000,054 | ||||||||||
Medtronic PLC (Health Care Equip. & Supplies) | 19,071 | 2,163,605 | ||||||||||
Merck & Co., Inc. (Pharmaceuticals) | 7,146 | 649,929 | ||||||||||
Mylan N.V. (Pharmaceuticals) | (a | ) | 40,980 | 823,698 | ||||||||
Pfizer, Inc. (Pharmaceuticals) | 167,098 | 6,546,900 | ||||||||||
Regeneron Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 2,260 | 848,585 | ||||||||
Stryker Corp. (Health Care Equip. & Supplies) | 13,032 | 2,735,938 | ||||||||||
United Therapeutics Corp. (Biotechnology) | (a | ) | 1,375 | 121,110 | ||||||||
Veeva Systems, Inc. Class A (Health Care Technology) | (a | ) | 520 | 73,143 | ||||||||
WellCare Health Plans, Inc. (Health Care Providers & Svs.) | (a | ) | 98 | 32,360 | ||||||||
|
| |||||||||||
42,400,140 | ||||||||||||
|
| |||||||||||
INDUSTRIALS – 10.4% |
| |||||||||||
AECOM (Construction & Engineering) | (a | ) | 1,368 | 59,002 | ||||||||
AGCO Corp. (Machinery) | 15,988 | 1,235,073 | ||||||||||
Allegion PLC (Building Products) | 19,329 | 2,407,234 | ||||||||||
AMERCO (Road & Rail) | 440 | 165,361 | ||||||||||
American Airlines Group, Inc. (Airlines) | 2,844 | 81,566 | ||||||||||
AMETEK, Inc. (Electrical Equip.) | 1,563 | 155,894 |
58 | (continued) |
Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Value Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Common Stocks (Continued) | Shares | Value | ||||||||||
INDUSTRIALS (continued) |
| |||||||||||
Carlisle Cos., Inc. (Industrial Conglomerates) | 1,566 | $ | 253,441 | |||||||||
Colfax Corp. (Machinery) | (a) | 2,266 | 82,437 | |||||||||
Curtiss-Wright Corp. (Aerospace & Defense) | 1,304 | 183,721 | ||||||||||
Delta Air Lines, Inc. (Airlines) | 12,533 | 732,930 | ||||||||||
Eaton Corp. PLC (Electrical Equip.) | 13,181 | 1,248,504 | ||||||||||
Expeditors International of Washington, Inc. (Air Freight & Logistics) | 10,996 | 857,908 | ||||||||||
Fluor Corp. (Construction & Engineering) | 19,099 | 360,589 | ||||||||||
GATX Corp. (Trading Companies & Distributors) | 6,975 | 577,879 | ||||||||||
General Dynamics Corp. (Aerospace & Defense) | 2,324 | 409,837 | ||||||||||
General Electric Co. (Industrial Conglomerates) | 38,928 | 434,436 | ||||||||||
HEICO Corp. (Aerospace & Defense) | 2,559 | 292,110 | ||||||||||
Hexcel Corp. (Aerospace & Defense) | 7,780 | 570,352 | ||||||||||
Honeywell International, Inc. (Industrial Conglomerates) | 11,205 | 1,983,285 | ||||||||||
Hubbell, Inc. (Electrical Equip.) | 11,724 | 1,733,042 | ||||||||||
IDEX Corp. (Machinery) | 9,783 | 1,682,676 | ||||||||||
IHS Markit Ltd. (Professional Svs.) | (a) | 12,372 | 932,230 | |||||||||
Ingersoll-Rand PLC (Machinery) | 6,586 | 875,411 | ||||||||||
Landstar System, Inc. (Road & Rail) | 5,640 | 642,227 | ||||||||||
Lockheed Martin Corp. (Aerospace & Defense) | 7,103 | 2,765,766 | ||||||||||
MasTec, Inc. (Construction & Engineering) | (a) | 4,166 | 267,291 | |||||||||
MSC Industrial Direct Co., Inc. Class A (Trading Companies & Distributors) | 764 | 59,951 | ||||||||||
Old Dominion Freight Line, Inc. (Road & Rail) | 4,646 | 881,718 | ||||||||||
Oshkosh Corp. (Machinery) | 3,278 | 310,263 | ||||||||||
PACCAR, Inc. (Machinery) | 49,282 | 3,898,206 | ||||||||||
Parker-Hannifin Corp. (Machinery) | 214 | 44,045 | ||||||||||
Raytheon Co. (Aerospace & Defense) | 2,321 | 510,016 | ||||||||||
Robert Half International, Inc. (Professional Svs.) | 849 | 53,614 | ||||||||||
Roper Technologies, Inc. (Industrial Conglomerates) | 3,534 | 1,251,849 | ||||||||||
Snap-on, Inc. (Machinery) | 8,797 | 1,490,212 | ||||||||||
Teledyne Technologies, Inc. (Aerospace & Defense) | (a) | 3,643 | 1,262,445 | |||||||||
United Airlines Holdings, Inc. (Airlines) | (a) | 13,979 | 1,231,410 | |||||||||
United Technologies Corp. (Aerospace & Defense) | 3,356 | 502,595 | ||||||||||
Watsco, Inc. (Trading Companies & Distributors) | 2,229 | 401,554 | ||||||||||
Xylem, Inc. (Machinery) | 3,576 | 281,753 | ||||||||||
|
| |||||||||||
33,169,833 | ||||||||||||
|
| |||||||||||
INFORMATION TECHNOLOGY – 6.7% |
| |||||||||||
Applied Materials, Inc. (Semiconductors & Equip.) | 10,718 | 654,227 | ||||||||||
Automatic Data Processing, Inc. (IT Svs.) | 6,467 | 1,102,623 | ||||||||||
Avnet, Inc. (Electronic Equip., Instr. & Comp.) | 16,799 | 712,949 | ||||||||||
CDW Corp. (Electronic Equip., Instr. & Comp.) | 9,176 | 1,310,700 | ||||||||||
Ciena Corp. (Communications Equip.) | (a) | 3,420 | 146,000 | |||||||||
Cirrus Logic, Inc. (Semiconductors & Equip.) | (a) | 3,517 | 289,836 | |||||||||
DXC Technology Co. (IT Svs.) | 1,613 | 60,633 | ||||||||||
Intel Corp. (Semiconductors & Equip.) | 102,602 | 6,140,730 | ||||||||||
Intuit, Inc. (Software) | 4,411 | 1,155,373 | ||||||||||
Jack Henry & Associates, Inc. (IT Svs.) | 7,300 | 1,063,391 | ||||||||||
Lam Research Corp. (Semiconductors & Equip.) | 5,779 | 1,689,780 | ||||||||||
Manhattan Associates, Inc. (Software) | (a) | 2,417 | 192,756 | |||||||||
Mastercard, Inc. Class A (IT Svs.) | 3,081 | 919,956 | ||||||||||
Maxim Integrated Products, Inc. (Semiconductors & Equip.) | 2,689 | 165,400 | ||||||||||
Micron Technology, Inc. (Semiconductors & Equip.) | (a) | 33,695 | 1,812,117 | |||||||||
Paychex, Inc. (IT Svs.) | 11,500 | 978,190 |
Common Stocks (Continued) | Shares | Value | ||||||||||
INFORMATION TECHNOLOGY (continued) |
| |||||||||||
Paylocity Holding Corp. (Software) | (a) | 1,061 | $ | 128,190 | ||||||||
ServiceNow, Inc. (Software) | (a) | 3,034 | 856,559 | |||||||||
Skyworks Solutions, Inc. (Semiconductors & Equip.) | 6,019 | 727,577 | ||||||||||
VeriSign, Inc. (IT Svs.) | (a) | 4,955 | 954,729 | |||||||||
Western Digital Corp. (Tech. Hardware, Storage & Periph.) | 7,254 | 460,411 | ||||||||||
|
| |||||||||||
21,522,127 | ||||||||||||
|
| |||||||||||
MATERIALS – 3.6% |
| |||||||||||
Air Products & Chemicals, Inc. (Chemicals) | 2,115 | 497,004 | ||||||||||
Alcoa Corp. (Metals & Mining) | (a) | 49,145 | 1,057,109 | |||||||||
AptarGroup, Inc. (Containers & Packaging) | 2,408 | 278,413 | ||||||||||
Avery Dennison Corp. (Containers & Packaging) | 535 | 69,989 | ||||||||||
CF Industries Holdings, Inc. (Chemicals) | 4,543 | 216,883 | ||||||||||
Corteva, Inc. (Chemicals) | 20,289 | 599,743 | ||||||||||
Domtar Corp. (Paper & Forest Products) | 31,695 | 1,212,017 | ||||||||||
DuPont de Nemours, Inc. (Chemicals) | 3,943 | 253,140 | ||||||||||
Graphic Packaging Holding Co. (Containers & Packaging) | 4,078 | 67,899 | ||||||||||
International Paper Co. (Containers & Packaging) | 785 | 36,149 | ||||||||||
LyondellBasell Industries N.V. Class A (Chemicals) | 32,369 | 3,058,223 | ||||||||||
Mosaic Co. / The (Chemicals) | 48,862 | 1,057,374 | ||||||||||
Packaging Corp. of America (Containers & Packaging) | 1,625 | 181,984 | ||||||||||
PPG Industries, Inc. (Chemicals) | 7,446 | 993,966 | ||||||||||
Reliance Steel & Aluminum Co. (Metals & Mining) | 7,899 | 945,984 | ||||||||||
Royal Gold, Inc. (Metals & Mining) | 958 | 117,115 | ||||||||||
Sherwin-Williams Co. / The (Chemicals) | 815 | 475,585 | ||||||||||
Steel Dynamics, Inc. (Metals & Mining) | 3,168 | 107,839 | ||||||||||
Valvoline, Inc. (Chemicals) | 4,059 | 86,903 | ||||||||||
Vulcan Materials Co. (Construction Materials) | 1,771 | 255,006 | ||||||||||
Westrock Co. (Containers & Packaging) | 780 | 33,470 | ||||||||||
|
| |||||||||||
11,601,795 | ||||||||||||
|
| |||||||||||
REAL ESTATE – 4.7% |
| |||||||||||
Alexandria Real Estate Equities, Inc. (Equity REIT) | 1,968 | 317,989 | ||||||||||
Camden Property Trust (Equity REIT) | 1,113 | 118,089 | ||||||||||
CyrusOne, Inc. (Equity REIT) | 725 | 47,437 | ||||||||||
Digital Realty Trust, Inc. (Equity REIT) | 803 | 96,151 | ||||||||||
Douglas Emmett, Inc. (Equity REIT) | 3,776 | 165,766 | ||||||||||
Duke Realty Corp. (Equity REIT) | 7,743 | 268,450 | ||||||||||
Equity Residential (Equity REIT) | 20,561 | 1,663,796 | ||||||||||
Essex Property Trust, Inc. (Equity REIT) | 953 | 286,720 | ||||||||||
Host Hotels & Resorts, Inc. (Equity REIT) | 16,290 | 302,179 | ||||||||||
Invitation Homes, Inc. (Equity REIT) | 30,193 | 904,884 | ||||||||||
Lamar Advertising Co. Class A (Equity REIT) | 9,429 | 841,633 | ||||||||||
National Retail Properties, Inc. (Equity REIT) | 66,042 | 3,541,172 | ||||||||||
Park Hotels & Resorts, Inc. (Equity REIT) | 32,506 | 840,930 | ||||||||||
Realty Income Corp. (Equity REIT) | 16,579 | 1,220,712 | ||||||||||
RLJ Lodging Trust (Equity REIT) | 40,823 | 723,384 | ||||||||||
Simon Property Group, Inc. (Equity REIT) | 219 | 32,622 | ||||||||||
Ventas, Inc. (Equity REIT) | 22,013 | 1,271,031 | ||||||||||
Welltower, Inc. (Equity REIT) | 31,355 | 2,564,212 | ||||||||||
|
| |||||||||||
15,207,157 | ||||||||||||
|
| |||||||||||
UTILITIES – 5.9% |
| |||||||||||
Ameren Corp. (Multi-Utilities) | 41,296 | 3,171,533 | ||||||||||
American Water Works Co., Inc. (Water Utilities) | 1,655 | 203,317 | ||||||||||
Atmos Energy Corp. (Gas Utilities) | 14,966 | 1,674,097 | ||||||||||
CMS Energy Corp. (Multi-Utilities) | 15,482 | 972,889 | ||||||||||
Consolidated Edison, Inc. (Multi-Utilities) | 2,853 | 258,111 | ||||||||||
DTE Energy Co. (Multi-Utilities) | 30,744 | 3,992,723 | ||||||||||
Eversource Energy (Electric Utilities) | 23,637 | 2,010,800 |
59 | (continued) |
Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Value Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Common Stocks (Continued) | Shares | Value | ||||||||||
UTILITIES (continued) |
| |||||||||||
Pinnacle West Capital Corp. (Electric Utilities) | 29,695 | $ | 2,670,471 | |||||||||
PNM Resources, Inc. (Electric Utilities) | 558 | 28,296 | ||||||||||
PPL Corp. (Electric Utilities) | 32,309 | 1,159,247 | ||||||||||
Xcel Energy, Inc. (Electric Utilities) | 43,543 | 2,764,545 | ||||||||||
|
| |||||||||||
18,906,029 | ||||||||||||
|
| |||||||||||
Total Common Stocks (Cost $308,096,773) | $ | 314,984,648 | ||||||||||
|
|
Money Market Funds – 1.4% | Shares | Value | ||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class, 1.734% | (b) | 4,408,144 | $ | 4,408,585 | ||||||||
Total Money Market Funds (Cost $4,408,585) | $ | 4,408,585 | ||||||||||
|
| |||||||||||
Total Investments – 99.6% (Cost $312,505,358) | (c | ) | $ | 319,393,233 | ||||||||
Other Assets in Excess of Liabilities – 0.4% | (d | ) | 1,287,828 | |||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 320,681,061 | ||||||||||
|
|
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American | Depositary Receipts |
Footnotes:
(a) | Non-income producing security. |
(b) | Rate represents theseven-day yield at December 31, 2019. |
(c) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
(d) | Includes $235,620 of cash pledged as collateral for the futures contracts outstanding at December 31, 2019. See also the following Schedule of Open Futures Contracts. |
The accompanying notes are an integral part of these financial statements.
Schedule of Open Futures Contracts | December 31, 2019 |
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 | March 20, 2020 | $5,404,749 | $5,492,870 | $88,121 | $13,090 |
The accompanying notes are an integral part of these financial statements.
60 |
Ohio National Fund, Inc. | ON Federated High Income Bond Portfolio (Unaudited) |
Objective/Strategy |
The ON Federated High Income Bond Portfolio seeks high current income by investing, under normal circumstances, at least 80% of its net assets in lower rated corporate debt obligations commonly referred to as “junk bonds”. The Portfolio’s investments are generally rated BB or lower by Standard & Poor’s or Fitch, or Ba or lower by Moody’s.
Performance as of December 31, 2019
|
Average Annual returns |
| |||
One year | 15.29 | % | ||
Five years | 5.76 | % | ||
Ten years | 7.18 | % |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free1-877-781-6392.
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 November 22, 2019. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2019 can be found in the Portfolio’s Financial Highlights.
Comments fromSub-Adviser |
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A. For the year ended December 31, 2019, the Portfolio returned 15.29% versus 14.41% for its current benchmark, the ICE BofAML U.S. High Yield Constrained Index, and 14.32% for its former benchmark, the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index.
Effective December 6, 2019, the Portfolio changed its benchmark from the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index to the ICE BofAML U.S. High Yield Constrained Index in an effort to minimize index licensing costs while maintaining a benchmark that closely reflects the style of the Portfolio’s investment strategy.
Q. Were there specific market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance during the reporting period?
A. Within the high-yield market, major industry sectors that substantially outperformed the overall benchmark during the year included consumer/commercial/lease finance, banking, health facilities, building & construction and auto parts & equipment. Major industry sectors that substantially underperformed the overall benchmark during the reporting period included: oil field equipment, energy, telecom satellite, advertising and managed care. From a credit quality perspective, the “BB”-rated sector led the way followed by the “B”-rated sector. Given the overall strong returns for the bond market as a whole, it is somewhat surprising that the “CCC”-rated sector was the weakest returning sector in the market, as credit specific issues negatively impacted returns.(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. The Portfolio’s security selection during the year was strong, positively impacting relative returns. This was especially true in the oil field equipment, energy, packaging, metals/mining, cable & satellite TV, building materials and health facilities industries. The Portfolio was negatively impacted by security selection in the pharmaceutical health services, specialty retail and tech hardware & equipment industries.(1)
The Portfolio was positively affected by its sector allocation during the year. The Portfolio benefited from its overweight to the strong performing insurance brokerage, cable & satellite TV, and auto parts and equipment industries, and its underweight to the poor performing oil field equipment, energy and telecom satellite industries. The Portfolio was negatively impacted by its underweight to the strong performing banking and building & construction industries. Cash holdings also negatively impacted performance, given the strong absolute returns for the market.(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:
Bausch Health Cos., Inc, a global pharmaceutical company, continued to generate strong free cash flow, allowing it to pay down debt. The company’s performance was driven by its strong eye care business.(1)
Navient Corp., one of the largest servicers of student loans, continued to benefit from strong cash generation from its loan portfolio, which enabled the company to pay down debt. In addition, its portfolio credit quality continued to exhibit strength.(1)
Hub International Ltd., one of the largest privately owned property & casualty brokers, benefited from strong organic growth and positive business fundamentals.(1)
Specific high-yield issuers held by the Portfolio that negatively impacted performance relative to the benchmark included:
Mallinckrodt International Finance SA / Mallinckrodt CB LLC, which continues to suffer from potential opioid related liabilities, disputes with government agencies concerning past reimbursements and cash flow concentration concerns centered on its Acthar drug.(1)
Team Health Holdings, Inc., a physician staffing company, was negatively impacted by disputes over reimbursements with a large insurance company customer, as well as concerns over possible surprise billing legislation.(1)
Party City Holdings, Inc., a wholesaler and retailer of party related goods, was negatively impacted by weak Halloween sales and a shortage of helium, which impacted its balloon business.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2019. |
61 | (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.
Effective December 7, 2019, the benchmark for the Portfolio was changed from the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index to the ICE BofAML U.S. High Yield Constrained Index. The change in benchmark was made to to minimize index licensing costs while maintaining a benchmark that closely reflects the style of the Portfolio’s investment strategy.
The ICE BofAML U.S. High Yield Constrained Index tracks the performance of below investment grade, but not in default, U.S. dollar denominated corporate bonds publicly issued in the U.S. domestic market, and includes issues with a credit rating of BBB or below, as rated by Moody’s and S&P.
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.
Past performance is no guarantee of future results. Redemption of fund shares could have tax implications unique to each shareholder.
Portfolio Composition as of December 31, 2019(1) |
% of Net Assets | ||||
Corporate Bonds(4) | 94.9 | |||
Common Stocks(4) | 0.1 | |||
Money Market Funds and Other Net Assets | 5.0 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31, |
% of Net Assets | ||||||
1. | HUB International Ltd. 7.000%, 05/01/2026 | 1.1 | ||||
2. | CCO Holdings LLC / CCO Holdings Capital Corp. 4.750%, 03/01/2030 | 1.1 | ||||
3. | Jaguar Holding Co. II / Pharmaceutical Product Development LLC 6.375%, 08/01/2023 | 0.9 | ||||
4. | Sprint Corp. 7.625%, 02/15/2025 | 0.9 | ||||
5. | Altice France SA 7.375%, 05/01/2026 | 0.8 | ||||
6. | 1011778 B.C. ULC / New Red Finance, Inc. 5.000%, 10/15/2025 | 0.8 | ||||
7. | Tempo Acquisition LLC / Tempo Acquisition Finance Corp. 6.750%, 06/01/2025 | 0.8 | ||||
8. | Mauser Packaging Solutions Holding Co. 7.250%, 04/15/2025 | 0.7 | ||||
9. | Park Aerospace Holdings Ltd. 5.500%, 02/15/2024 | 0.7 | ||||
10. | Allied Universal Holdco LLC / Allied Universal Finance Corp. 9.750%, 07/15/2027 | 0.7 |
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. |
(3) | Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher. |
(4) | Sectors (Common Stocks, Corporate Bonds): |
% of Net Assets | ||||
Communication Services | 18.0 | |||
Health Care | 15.1 | |||
Energy | 12.7 | |||
Consumer Discretionary | 11.5 | |||
Materials | 9.5 | |||
Industrials | 9.2 | |||
Financials | 6.9 | |||
Information Technology | 5.0 | |||
Utilities | 3.9 | |||
Consumer Staples | 2.9 | |||
Real Estate | 0.3 | |||
|
| |||
95.0 | ||||
|
|
62 |
Ohio National Fund, Inc. | ON Federated High Income Bond Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Corporate Bonds – 94.9% | Rate | Maturity | Face Amount | Value | ||||||||||||||
COMMUNICATION SERVICES – 18.0% | ||||||||||||||||||
Acosta, Inc. (Acquired 09/15/2014 through 06/25/2015, Cost $1,087,224) (Media) | (a)(b) | 7.750% | 10/01/2022 | $ 1,075,000 | $ | 53,750 | ||||||||||||
Altice France SA (Diversified Telecom. Svs.) | (a) | 7.375% | 05/01/2026 | 1,550,000 | 1,664,142 | |||||||||||||
Altice France SA (Diversified Telecom. Svs.) | (a) | 8.125% | 02/01/2027 | 200,000 | 225,250 | |||||||||||||
Altice Luxembourg SA (Wireless Telecom. Svs.) | (a) | 7.625% | 02/15/2025 | 500,000 | 520,000 | |||||||||||||
AMC Networks, Inc. (Media) | 5.000% | 04/01/2024 | 600,000 | 612,000 | ||||||||||||||
AMC Networks, Inc. (Media) | 4.750% | 08/01/2025 | 225,000 | 225,844 | ||||||||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | 5.125% | 02/15/2023 | 150,000 | 151,500 | ||||||||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | 5.750% | 09/01/2023 | 225,000 | 229,219 | ||||||||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | 5.750% | 01/15/2024 | 349,000 | 355,108 | ||||||||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | (a) | 5.875% | 05/01/2027 | 400,000 | 423,000 | |||||||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | (a) | 5.000% | 02/01/2028 | 650,000 | 682,058 | |||||||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | (a) | 5.375% | 06/01/2029 | 175,000 | 186,813 | |||||||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | (a) | 4.750% | 03/01/2030 | 2,075,000 | 2,116,562 | |||||||||||||
CSC Holdings LLC (Media) | (a) | 5.375% | 07/15/2023 | 375,000 | 384,375 | |||||||||||||
CSC Holdings LLC (Media) | 5.250% | 06/01/2024 | 825,000 | 888,937 | ||||||||||||||
CSC Holdings LLC (Media) | (a) | 7.750% | 07/15/2025 | 525,000 | 559,760 | |||||||||||||
CSC Holdings LLC (Media) | (a) | 6.625% | 10/15/2025 | 300,000 | 318,375 | |||||||||||||
CSC Holdings LLC (Media) | (a) | 5.500% | 04/15/2027 | 1,100,000 | 1,181,235 | |||||||||||||
CSC Holdings LLC (Media) | (a) | 7.500% | 04/01/2028 | 550,000 | 621,500 | |||||||||||||
CSC Holdings LLC (Media) | (a) | 5.750% | 01/15/2030 | 200,000 | 213,500 | |||||||||||||
Cumulus Media New Holdings, Inc. (Media) | (a) | 6.750% | 07/01/2026 | 200,000 | 214,250 | |||||||||||||
Diamond Sports Group LLC / Diamond Sports Finance Co. (Media) | (a) | 5.375% | 08/15/2026 | 400,000 | 404,621 | |||||||||||||
Diamond Sports Group LLC / Diamond Sports Finance Co. (Media) | (a) | 6.625% | 08/15/2027 | 600,000 | 583,500 | |||||||||||||
DISH DBS Corp. (Media) | 5.875% | 11/15/2024 | 400,000 | 408,750 | ||||||||||||||
DISH DBS Corp. (Media) | 7.750% | 07/01/2026 | 825,000 | 873,997 | ||||||||||||||
Entercom Media Corp. (Media) | (a) | 7.250% | 11/01/2024 | 575,000 | 605,188 | |||||||||||||
Entercom Media Corp. (Media) | (a) | 6.500% | 05/01/2027 | 400,000 | 428,000 | |||||||||||||
Gray Television, Inc. (Media) | (a) | 5.125% | 10/15/2024 | 250,000 | 259,375 | |||||||||||||
Gray Television, Inc. (Media) | (a) | 5.875% | 07/15/2026 | 825,000 | 877,594 | |||||||||||||
iHeartCommunications, Inc. (Media) | 6.375% | 05/01/2026 | 41,769 | 45,319 | ||||||||||||||
iHeartCommunications, Inc. (Media) | 8.375% | 05/01/2027 | 1,025,707 | 1,133,406 | ||||||||||||||
iHeartCommunications, Inc. (Media) | (a) | 5.250% | 08/15/2027 | 200,000 | 209,260 | |||||||||||||
iHeartCommunications, Inc. (Media) | (a) | 4.750% | 01/15/2028 | 100,000 | 102,500 | |||||||||||||
Intelsat Jackson Holdings SA (Diversified Telecom. Svs.) | 5.500% | 08/01/2023 | 400,000 | 343,616 | ||||||||||||||
Intelsat Jackson Holdings SA (Diversified Telecom. Svs.) | (a) | 8.500% | 10/15/2024 | 350,000 | 318,791 | |||||||||||||
Intelsat Jackson Holdings SA (Diversified Telecom. Svs.) | (a) | 9.750% | 07/15/2025 | 350,000 | 323,750 | |||||||||||||
Live Nation Entertainment, Inc. (Entertainment) | (a) | 4.750% | 10/15/2027 | 125,000 | 129,375 | |||||||||||||
Match Group, Inc. (Interactive Media & Svs.) | (a) | 5.000% | 12/15/2027 | 675,000 | 703,688 | |||||||||||||
Nexstar Broadcasting, Inc. (Media) | (a) | 5.625% | 08/01/2024 | 1,025,000 | 1,068,562 | |||||||||||||
Nexstar Broadcasting, Inc. (Media) | (a) | 5.625% | 07/15/2027 | 300,000 | 316,140 | |||||||||||||
Rackspace Hosting, Inc. (Interactive Media & Svs.) | (a) | 8.625% | 11/15/2024 | 950,000 | 928,625 | |||||||||||||
Scripps Escrow, Inc. (Media) | (a) | 5.875% | 07/15/2027 | 400,000 | 419,000 | |||||||||||||
Sinclair Television Group, Inc. (Media) | (a) | 5.625% | 08/01/2024 | 700,000 | 720,125 | |||||||||||||
Sinclair Television Group, Inc. (Media) | (a) | 5.875% | 03/15/2026 | 400,000 | 420,500 | |||||||||||||
Sinclair Television Group, Inc. (Media) | (a) | 5.125% | 02/15/2027 | 250,000 | 256,875 | |||||||||||||
Sirius XM Radio, Inc. (Media) | (a) | 4.625% | 05/15/2023 | 425,000 | 431,375 | |||||||||||||
Sirius XM Radio, Inc. (Media) | (a) | 4.625% | 07/15/2024 | 125,000 | 131,250 | |||||||||||||
Sirius XM Radio, Inc. (Media) | (a) | 5.375% | 04/15/2025 | 75,000 | 77,496 | |||||||||||||
Sirius XM Radio, Inc. (Media) | (a) | 5.375% | 07/15/2026 | 725,000 | 770,086 | |||||||||||||
Sirius XM Radio, Inc. (Media) | (a) | 5.000% | 08/01/2027 | 250,000 | 263,750 | |||||||||||||
Sprint Capital Corp. (Wireless Telecom. Svs.) | 6.875% | 11/15/2028 | 850,000 | 915,875 | ||||||||||||||
Sprint Corp. (Wireless Telecom. Svs.) | 7.625% | 02/15/2025 | 1,550,000 | 1,700,892 | ||||||||||||||
Sprint Corp. (Wireless Telecom. Svs.) | 7.625% | 03/01/2026 | 325,000 | 358,410 | ||||||||||||||
TEGNA, Inc. (Media) | 6.375% | 10/15/2023 | 475,000 | 489,250 | ||||||||||||||
TEGNA, Inc. (Media) | (a) | 5.000% | 09/15/2029 | 550,000 | 559,625 | |||||||||||||
Telenet Finance Luxembourg Notes SARL (Media) | (a) | 5.500% | 03/01/2028 | 1,000,000 | 1,067,500 | |||||||||||||
Terrier Media Buyer, Inc. (Media) | (a) | 8.875% | 12/15/2027 | 675,000 | 713,812 | |||||||||||||
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 6.500% | 01/15/2024 | 325,000 | 334,350 | ||||||||||||||
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 6.375% | 03/01/2025 | 125,000 | 129,166 | ||||||||||||||
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 5.125% | 04/15/2025 | 675,000 | 698,267 | ||||||||||||||
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 6.500% | 01/15/2026 | 325,000 | 348,468 | ||||||||||||||
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 5.375% | 04/15/2027 | 200,000 | 213,000 | ||||||||||||||
Virgin Media Finance PLC (Media) | (a) | 6.000% | 10/15/2024 | 800,000 | 824,000 | |||||||||||||
Virgin Media Finance PLC (Media) | (a) | 5.750% | 01/15/2025 | 600,000 | 617,250 | |||||||||||||
Ziggo B.V. (Diversified Telecom. Svs.) | (a) | 5.500% | 01/15/2027 | 600,000 | 637,500 | |||||||||||||
Ziggo Bond Co. B.V. (Diversified Telecom. Svs.) | (a) | 6.000% | 01/15/2027 | 775,000 | 817,625 | |||||||||||||
|
| |||||||||||||||||
35,806,682 | ||||||||||||||||||
|
| |||||||||||||||||
CONSUMER DISCRETIONARY – 11.5% | ||||||||||||||||||
1011778 B.C. ULC / New Red Finance, Inc. (Hotels, Restaurants & Leisure) | (a) | 5.000% | 10/15/2025 | 1,550,000 | 1,600,375 | |||||||||||||
1011778 B.C. ULC / New Red Finance, Inc. (Hotels, Restaurants & Leisure) | (a) | 4.375% | 01/15/2028 | 150,000 | 150,375 |
63 | (continued) |
Ohio National Fund, Inc. | ON Federated High Income Bond Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||
CONSUMER DISCRETIONARY (continued) | ||||||||||||||||
Adient Global Holdings Ltd. (Auto Components) | (a) | 4.875% | 08/15/2026 | $ 825,000 | $ | 736,312 | ||||||||||
American Axle & Manufacturing, Inc. (Auto Components) | 6.500% | 04/01/2027 | 750,000 | 778,125 | ||||||||||||
Aramark Services, Inc. (Hotels, Restaurants & Leisure) | 5.125% | 01/15/2024 | 175,000 | 179,585 | ||||||||||||
Aramark Services, Inc. (Hotels, Restaurants & Leisure) | (a) | 5.000% | 04/01/2025 | 175,000 | 182,438 | |||||||||||
Aramark Services, Inc. (Hotels, Restaurants & Leisure) | 4.750% | 06/01/2026 | 375,000 | 390,000 | ||||||||||||
Aramark Services, Inc. (Hotels, Restaurants & Leisure) | (a) | 5.000% | 02/01/2028 | 575,000 | 605,906 | |||||||||||
Boyd Gaming Corp. (Hotels, Restaurants & Leisure) | 6.375% | 04/01/2026 | 525,000 | 564,867 | ||||||||||||
Boyd Gaming Corp. (Hotels, Restaurants & Leisure) | 6.000% | 08/15/2026 | 100,000 | 107,375 | ||||||||||||
Boyd Gaming Corp. (Hotels, Restaurants & Leisure) | (a) | 4.750% | 12/01/2027 | 75,000 | 77,906 | |||||||||||
Caesars Resort Collection LLC / CRC Finco, Inc. (Hotels, Restaurants & Leisure) | (a) | 5.250% | 10/15/2025 | 650,000 | 671,937 | |||||||||||
Dana Financing Luxembourg SARL (Auto Components) | (a) | 6.500% | 06/01/2026 | 725,000 | 774,844 | |||||||||||
Dana, Inc. (Auto Components) | 5.375% | 11/15/2027 | 100,000 | 103,000 | ||||||||||||
Eldorado Resorts, Inc. (Hotels, Restaurants & Leisure) | 6.000% | 04/01/2025 | 500,000 | 526,250 | ||||||||||||
Eldorado Resorts, Inc. (Hotels, Restaurants & Leisure) | 6.000% | 09/15/2026 | 200,000 | 220,250 | ||||||||||||
Gates Global LLC / Gates Corp. (Auto Components) | (a) | 6.250% | 01/15/2026 | 800,000 | 813,768 | |||||||||||
Goodyear Tire & Rubber Co. / The (Auto Components) | 5.125% | 11/15/2023 | 50,000 | 50,856 | ||||||||||||
Goodyear Tire & Rubber Co. / The (Auto Components) | 5.000% | 05/31/2026 | 375,000 | 390,000 | ||||||||||||
Goodyear Tire & Rubber Co. / The (Auto Components) | 4.875% | 03/15/2027 | 300,000 | 310,500 | ||||||||||||
GWB-CR Security Corp. (Diversified Consumer Svs.) | (a) | 9.500% | 11/01/2027 | 953,000 | 1,017,327 | |||||||||||
Hanesbrands, Inc. (Textiles, Apparel & Luxury Goods) | (a) | 4.875% | 05/15/2026 | 275,000 | 291,156 | |||||||||||
Hilton Domestic Operating Co., Inc. (Hotels, Restaurants & Leisure) | 5.125% | 05/01/2026 | 525,000 | 552,562 | ||||||||||||
Hilton Domestic Operating Co., Inc. (Hotels, Restaurants & Leisure) | 4.875% | 01/15/2030 | 150,000 | 158,911 | ||||||||||||
IHO Verwaltungs GmbH (Auto Components) | (a)(c) | 4.750%, 5.500% PIK | 09/15/2026 | 675,000 | 688,500 | |||||||||||
IHO Verwaltungs GmbH (Auto Components) | (a)(c) | 6.000%, 6.750% PIK | 05/15/2027 | 400,000 | 424,000 | |||||||||||
J.B. Poindexter & Co., Inc. (Auto Components) | (a) | 7.125% | 04/15/2026 | 475,000 | 501,125 | |||||||||||
KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC (Hotels, Restaurants & Leisure) | (a) | 5.250% | 06/01/2026 | 300,000 | 316,500 | |||||||||||
KFC Holding Co. / Pizza Hut Holdings LLC / Taco Bell of America LLC (Hotels, Restaurants & Leisure) | (a) | 4.750% | 06/01/2027 | 525,000 | 552,562 | |||||||||||
MGM Resorts International (Hotels, Restaurants & Leisure) | 5.750% | 06/15/2025 | 500,000 | 560,000 | ||||||||||||
MGM Resorts International (Hotels, Restaurants & Leisure) | 4.625% | 09/01/2026 | 1,075,000 | 1,139,500 | ||||||||||||
Michaels Stores, Inc. (Specialty Retail) | (a) | 8.000% | 07/15/2027 | 400,000 | 382,000 | |||||||||||
Mohegan Gaming & Entertainment (Hotels, Restaurants & Leisure) | (a) | 7.875% | 10/15/2024 | 700,000 | 714,000 | |||||||||||
Panther BF Aggregator 2 LP / Panther Finance Co., Inc. (Auto Components) | (a) | 6.250% | 05/15/2026 | 125,000 | 134,688 | |||||||||||
Panther BF Aggregator 2 LP / Panther Finance Co., Inc. (Auto Components) | (a) | 8.500% | 05/15/2027 | 1,300,000 | 1,381,250 | |||||||||||
Party City Holdings, Inc. (Specialty Retail) | (a) | 6.125% | 08/15/2023 | 625,000 | 546,875 | |||||||||||
Party City Holdings, Inc. (Specialty Retail) | (a) | 6.625% | 08/01/2026 | 600,000 | 423,000 | |||||||||||
Six Flags Entertainment Corp. (Hotels, Restaurants & Leisure) | (a) | 5.500% | 04/15/2027 | 875,000 | 932,969 | |||||||||||
Stars Group Holdings B.V. / Stars Group U.S.Co-Borrower LLC (Hotels, Restaurants & Leisure) | (a) | 7.000% | 07/15/2026 | 925,000 | 1,002,469 | |||||||||||
Station Casinos LLC (Hotels, Restaurants & Leisure) | (a) | 5.000% | 10/01/2025 | 725,000 | 737,687 | |||||||||||
Sugarhouse HSP Gaming Prop. Mezz. LP / Sugarhouse HSP Gaming Finance Corp. (Hotels, Restaurants & Leisure) | (a) | 5.875% | 05/15/2025 | 275,000 | 274,313 | |||||||||||
Viking Cruises Ltd. (Hotels, Restaurants & Leisure) | (a) | 6.250% | 05/15/2025 | 50,000 | 52,063 | |||||||||||
Viking Cruises Ltd. (Hotels, Restaurants & Leisure) | (a) | 5.875% | 09/15/2027 | 25,000 | 26,719 | |||||||||||
VOC Escrow Ltd. (Hotels, Restaurants & Leisure) | (a) | 5.000% | 02/15/2028 | 325,000 | 340,437 | |||||||||||
William Carter Co. / The (Textiles, Apparel & Luxury Goods) | (a) | 5.625% | 03/15/2027 | 75,000 | 80,625 | |||||||||||
Wyndham Hotels & Resorts, Inc. (Hotels, Restaurants & Leisure) | (a) | 5.375% | 04/15/2026 | 200,000 | 211,000 | |||||||||||
Yum! Brands, Inc. (Hotels, Restaurants & Leisure) | (a) | 4.750% | 01/15/2030 | 75,000 | 78,563 | |||||||||||
|
| |||||||||||||||
22,755,470 | ||||||||||||||||
|
| |||||||||||||||
CONSUMER STAPLES – 2.9% | ||||||||||||||||
Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC (Food & Staples Retailing) | 6.625% | 06/15/2024 | 750,000 | 784,995 | ||||||||||||
Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC (Food & Staples Retailing) | 5.750% | 03/15/2025 | 825,000 | 853,875 | ||||||||||||
Albertsons Cos., Inc. / Safeway, Inc. / New Albertsons LP / Albertsons LLC (Food & Staples Retailing) | (a) | 5.875% | 02/15/2028 | 100,000 | 106,250 | |||||||||||
B&G Foods, Inc. (Food Products) | 5.250% | 04/01/2025 | 525,000 | 539,873 | ||||||||||||
Energizer Holdings, Inc. (Household Products) | (a) | 5.500% | 06/15/2025 | 125,000 | 129,688 | |||||||||||
Energizer Holdings, Inc. (Household Products) | (a) | 6.375% | 07/15/2026 | 100,000 | 106,500 | |||||||||||
Energizer Holdings, Inc. (Household Products) | (a) | 7.750% | 01/15/2027 | 225,000 | 251,449 | |||||||||||
Performance Food Group, Inc. (Food & Staples Retailing) | (a) | 5.500% | 06/01/2024 | 75,000 | 76,875 | |||||||||||
Performance Food Group, Inc. (Food & Staples Retailing) | (a) | 5.500% | 10/15/2027 | 300,000 | 320,625 | |||||||||||
Post Holdings, Inc. (Food Products) | (a) | 5.000% | 08/15/2026 | 1,125,000 | 1,188,281 | |||||||||||
Post Holdings, Inc. (Food Products) | (a) | 5.750% | 03/01/2027 | 550,000 | 589,875 | |||||||||||
U.S. Foods, Inc. (Food & Staples Retailing) | (a) | 5.875% | 06/15/2024 | 825,000 | 849,750 | |||||||||||
|
| |||||||||||||||
5,798,036 | ||||||||||||||||
|
|
64 | (continued) |
Ohio National Fund, Inc. | ON Federated High Income Bond Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||
ENERGY – 12.7% | ||||||||||||||||
Antero Midstream Partners LP / Antero Midstream Finance Corp. (Oil, Gas & Consumable Fuels) | 5.375% | 09/15/2024 | $ 675,000 | $ | 626,062 | |||||||||||
Antero Midstream Partners LP / Antero Midstream Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 5.750% | 03/01/2027 | 175,000 | 153,891 | |||||||||||
Antero Midstream Partners LP / Antero Midstream Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 5.750% | 01/15/2028 | 625,000 | 543,750 | |||||||||||
Archrock Partners LP / Archrock Partners Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 6.875% | 04/01/2027 | 625,000 | 660,937 | |||||||||||
Archrock Partners LP / Archrock Partners Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 6.250% | 04/01/2028 | 125,000 | 128,750 | |||||||||||
Ascent Resources Utica Holdings LLC / ARU Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 7.000% | 11/01/2026 | 200,000 | 159,500 | |||||||||||
Berry Petroleum Co. LLC (Oil, Gas & Consumable Fuels) | (a) | 7.000% | 02/15/2026 | 325,000 | 301,031 | |||||||||||
Callon Petroleum Co. (Oil, Gas & Consumable Fuels) | 6.125% | 10/01/2024 | 425,000 | 433,050 | ||||||||||||
Callon Petroleum Co. (Oil, Gas & Consumable Fuels) | 6.375% | 07/01/2026 | 225,000 | 228,286 | ||||||||||||
Carrizo Oil & Gas, Inc. (Oil, Gas & Consumable Fuels) | 8.250% | 07/15/2025 | 450,000 | 460,125 | ||||||||||||
Centennial Resource Production LLC (Oil, Gas & Consumable Fuels) | (a) | 6.875% | 04/01/2027 | 350,000 | 364,000 | |||||||||||
Cheniere Corpus Christi Holdings LLC (Oil, Gas & Consumable Fuels) | 5.875% | 03/31/2025 | 350,000 | 393,561 | ||||||||||||
Cheniere Energy Partners LP (Oil, Gas & Consumable Fuels) | 5.250% | 10/01/2025 | 900,000 | 937,881 | ||||||||||||
Cheniere Energy Partners LP (Oil, Gas & Consumable Fuels) | (a) | 4.500% | 10/01/2029 | 275,000 | 282,590 | |||||||||||
Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels) | (a) | 11.500% | 01/01/2025 | 752,000 | 710,640 | |||||||||||
CNX Midstream Partners LP / CNX Midstream Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 6.500% | 03/15/2026 | 725,000 | 668,812 | |||||||||||
CrownRock LP / CrownRock Finance, Inc. (Oil, Gas & Consumable Fuels) | (a) | 5.625% | 10/15/2025 | 675,000 | 688,500 | |||||||||||
CVR Refining LLC / Coffeyville Finance, Inc. (Oil, Gas & Consumable Fuels) | 6.500% | 11/01/2022 | 1,250,000 | 1,265,625 | ||||||||||||
Enviva Partners LP / Enviva Partners Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 6.500% | 01/15/2026 | 750,000 | 802,972 | |||||||||||
EP Energy LLC / Everest Acquisition Finance, Inc. (Acquired 11/17/2016 through 07/27/2018, Cost $548,719) (Oil, Gas & Consumable Fuels) | (a)(b)(d) | 8.000% | 11/29/2024 | 550,000 | 275,000 | |||||||||||
Gulfport Energy Corp. (Oil, Gas & Consumable Fuels) | 6.000% | 10/15/2024 | 250,000 | 177,500 | ||||||||||||
Gulfport Energy Corp. (Oil, Gas & Consumable Fuels) | 6.375% | 05/15/2025 | 275,000 | 174,625 | ||||||||||||
Gulfport Energy Corp. (Oil, Gas & Consumable Fuels) | 6.375% | 01/15/2026 | 125,000 | 77,500 | ||||||||||||
Hess Midstream Operations LP (Oil, Gas & Consumable Fuels) | (a) | 5.125% | 06/15/2028 | 300,000 | 303,750 | |||||||||||
Holly Energy Partners LP / Holly Energy Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 6.000% | 08/01/2024 | 1,075,000 | 1,120,687 | |||||||||||
Jagged Peak Energy LLC (Oil, Gas & Consumable Fuels) | 5.875% | 05/01/2026 | 350,000 | 361,368 | ||||||||||||
Laredo Petroleum, Inc. (Oil, Gas & Consumable Fuels) | 6.250% | 03/15/2023 | 475,000 | 445,312 | ||||||||||||
NuStar Logistics LP (Oil, Gas & Consumable Fuels) | 5.625% | 04/28/2027 | 875,000 | 899,062 | ||||||||||||
Oasis Petroleum, Inc. (Oil, Gas & Consumable Fuels) | 6.875% | 03/15/2022 | 625,000 | 601,562 | ||||||||||||
Oasis Petroleum, Inc. (Oil, Gas & Consumable Fuels) | (a) | 6.250% | 05/01/2026 | 75,000 | 62,250 | |||||||||||
Parsley Energy LLC / Parsley Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 5.250% | 08/15/2025 | 75,000 | 77,063 | |||||||||||
Parsley Energy LLC / Parsley Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 5.625% | 10/15/2027 | 300,000 | 317,250 | |||||||||||
PDC Energy, Inc. (Oil, Gas & Consumable Fuels) | 6.125% | 09/15/2024 | 275,000 | 278,438 | ||||||||||||
PDC Energy, Inc. (Oil, Gas & Consumable Fuels) | 5.750% | 05/15/2026 | 200,000 | 199,500 | ||||||||||||
Precision Drilling Corp. (Energy Equip. & Svs.) | 7.750% | 12/15/2023 | 425,000 | 423,938 | ||||||||||||
Precision Drilling Corp. (Energy Equip. & Svs.) | (a) | 7.125% | 01/15/2026 | 100,000 | 95,000 | |||||||||||
QEP Resources, Inc. (Oil, Gas & Consumable Fuels) | 5.250% | 05/01/2023 | 75,000 | 74,250 | ||||||||||||
QEP Resources, Inc. (Oil, Gas & Consumable Fuels) | 5.625% | 03/01/2026 | 400,000 | 390,100 | ||||||||||||
Range Resources Corp. (Oil, Gas & Consumable Fuels) | 4.875% | 05/15/2025 | 600,000 | 513,000 | ||||||||||||
SESI LLC (Energy Equip. & Svs.) | 7.125% | 12/15/2021 | 175,000 | 149,258 | ||||||||||||
SESI LLC (Energy Equip. & Svs.) | 7.750% | 09/15/2024 | 1,000,000 | 665,000 | ||||||||||||
Shelf Drilling Holdings Ltd. (Oil, Gas & Consumable Fuels) | (a) | 8.250% | 02/15/2025 | 575,000 | 547,687 | |||||||||||
SM Energy Co. (Oil, Gas & Consumable Fuels) | 5.000% | 01/15/2024 | 175,000 | 166,688 | ||||||||||||
SM Energy Co. (Oil, Gas & Consumable Fuels) | 5.625% | 06/01/2025 | 100,000 | 94,917 | ||||||||||||
SM Energy Co. (Oil, Gas & Consumable Fuels) | 6.750% | 09/15/2026 | 350,000 | 343,000 | ||||||||||||
SM Energy Co. (Oil, Gas & Consumable Fuels) | 6.625% | 01/15/2027 | 25,000 | 24,571 | ||||||||||||
SRC Energy, Inc. (Oil, Gas & Consumable Fuels) | 6.250% | 12/01/2025 | 425,000 | 428,188 | ||||||||||||
Summit Midstream Holdings LLC / Summit Midstream Finance Corp. (Oil, Gas & Consumable Fuels) | 5.500% | 08/15/2022 | 950,000 | 845,500 | ||||||||||||
Summit Midstream Holdings LLC / Summit Midstream Finance Corp. (Oil, Gas & Consumable Fuels) | 5.750% | 04/15/2025 | 350,000 | 267,313 | ||||||||||||
Sunoco LP / Sunoco Finance Corp. (Oil, Gas & Consumable Fuels) | 5.500% | 02/15/2026 | 75,000 | 77,813 | ||||||||||||
Sunoco LP / Sunoco Finance Corp. (Oil, Gas & Consumable Fuels) | 5.875% | 03/15/2028 | 350,000 | 371,632 | ||||||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. (Oil, Gas & Consumable Fuels) | 5.250% | 05/01/2023 | 150,000 | 151,500 | ||||||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. (Oil, Gas & Consumable Fuels) | 5.875% | 04/15/2026 | 150,000 | 159,375 | ||||||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. (Oil, Gas & Consumable Fuels) | 5.375% | 02/01/2027 | 700,000 | 726,250 | ||||||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 6.500% | 07/15/2027 | 25,000 | 27,375 | |||||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. (Oil, Gas & Consumable Fuels) | 5.000% | 01/15/2028 | 700,000 | 714,000 | ||||||||||||
Targa Resources Partners LP / Targa Resources Partners Finance Corp. (Oil, Gas & Consumable Fuels) | (a) | 5.500% | 03/01/2030 | 375,000 | 385,313 | |||||||||||
Tervita Corp. (Energy Equip. & Svs.) | (a) | 7.625% | 12/01/2021 | 450,000 | 452,812 |
65 | (continued) |
Ohio National Fund, Inc. | ON Federated High Income Bond Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||
ENERGY (continued) | ||||||||||||||||
TransMontaigne Partners LP / TLP Finance Corp. (Oil, Gas & Consumable Fuels) | 6.125% | 02/15/2026 | $ 225,000 | $ | 220,500 | |||||||||||
U.S.A. Compression Partners LP / U.S.A. Compression Finance Corp. (Energy Equip. & Svs.) | 6.875% | 04/01/2026 | 850,000 | 892,500 | ||||||||||||
U.S.A. Compression Partners LP / U.S.A. Compression Finance Corp. (Energy Equip. & Svs.) | 6.875% | 09/01/2027 | 100,000 | 104,160 | ||||||||||||
Ultra Resources, Inc. (Oil, Gas & Consumable Fuels) | (a) | 6.875% | 04/15/2022 | 150,000 | 18,375 | |||||||||||
Ultra Resources, Inc. (Oil, Gas & Consumable Fuels) | (a) | 7.125% | 04/15/2025 | 200,000 | 13,000 | |||||||||||
Whiting Petroleum Corp. (Oil, Gas & Consumable Fuels) | 6.250% | 04/01/2023 | 425,000 | 355,938 | ||||||||||||
Whiting Petroleum Corp. (Oil, Gas & Consumable Fuels) | 6.625% | 01/15/2026 | 325,000 | 221,481 | ||||||||||||
WPX Energy, Inc. (Oil, Gas & Consumable Fuels) | 5.250% | 10/15/2027 | 200,000 | 211,000 | ||||||||||||
|
| |||||||||||||||
25,312,264 | ||||||||||||||||
|
| |||||||||||||||
FINANCIALS – 6.9% | ||||||||||||||||
Acrisure LLC / Acrisure Finance, Inc. (Insurance) | (a) | 8.125% | 02/15/2024 | 150,000 | 163,125 | |||||||||||
Acrisure LLC / Acrisure Finance, Inc. (Insurance) | (a) | 7.000% | 11/15/2025 | 800,000 | 772,000 | |||||||||||
Alliant Holdings Intermediate LLC / Alliant HoldingsCo-Issuer (Insurance) | (a) | 6.750% | 10/15/2027 | 325,000 | 348,059 | |||||||||||
Ally Financial, Inc. (Consumer Finance) | 5.750% | 11/20/2025 | 400,000 | 447,500 | ||||||||||||
AmWINS Group, Inc. (Insurance) | (a) | 7.750% | 07/01/2026 | 950,000 | 1,049,873 | |||||||||||
Ardonagh Midco 3 PLC (Insurance) | (a) | 8.625% | 07/15/2023 | 225,000 | 223,313 | |||||||||||
AssuredPartners, Inc. (Insurance) | (a) | 7.000% | 08/15/2025 | 775,000 | 788,330 | |||||||||||
Atotech Alpha 2 B.V. (Diversified Financial Svs.) | (a)(c) | 8.750%, 9.500% PIK | 06/01/2023 | 250,000 | 255,000 | |||||||||||
Atotech Alpha 3 B.V. / Alpha U.S. Bidco, Inc. (Diversified Financial Svs.) | (a) | 6.250% | 02/01/2025 | 675,000 | 691,875 | |||||||||||
GTCR AP Finance, Inc. (Insurance) | (a) | 8.000% | 05/15/2027 | 200,000 | 208,000 | |||||||||||
HUB International Ltd. (Insurance) | (a) | 7.000% | 05/01/2026 | 2,075,000 | 2,194,312 | |||||||||||
Navient Corp. (Consumer Finance) | 6.125% | 03/25/2024 | 175,000 | 189,875 | ||||||||||||
Navient Corp. (Consumer Finance) | 5.875% | 10/25/2024 | 800,000 | 856,000 | ||||||||||||
Navient Corp. (Consumer Finance) | 6.750% | 06/25/2025 | 175,000 | 193,200 | ||||||||||||
Navient Corp. (Consumer Finance) | 6.750% | 06/15/2026 | 125,000 | 137,388 | ||||||||||||
NFP Corp. (Insurance) | (a) | 6.875% | 07/15/2025 | 975,000 | 977,437 | |||||||||||
NFP Corp. (Insurance) | (a) | 8.000% | 07/15/2025 | 100,000 | 102,000 | |||||||||||
Outfront Media Capital LLC / Outfront Media Capital Corp. (Mortgage REIT) | (a) | 4.625% | 03/15/2030 | 75,000 | 76,313 | |||||||||||
Quicken Loans, Inc. (Thrifts & Mortgage Finance) | (a) | 5.750% | 05/01/2025 | 1,075,000 | 1,111,281 | |||||||||||
Quicken Loans, Inc. (Thrifts & Mortgage Finance) | (a) | 5.250% | 01/15/2028 | 375,000 | 388,125 | |||||||||||
Refinitiv U.S. Holdings, Inc. (Capital Markets) | (a) | 6.250% | 05/15/2026 | 200,000 | 218,250 | |||||||||||
Refinitiv U.S. Holdings, Inc. (Capital Markets) | (a) | 8.250% | 11/15/2026 | 1,050,000 | 1,182,562 | |||||||||||
USI, Inc. (Insurance) | (a) | 6.875% | 05/01/2025 | 1,050,000 | 1,073,310 | |||||||||||
|
| |||||||||||||||
13,647,128 | ||||||||||||||||
|
| |||||||||||||||
HEALTH CARE – 15.1% | ||||||||||||||||
Acadia Healthcare Co., Inc. (Health Care Providers & Svs.) | 5.625% | 02/15/2023 | 750,000 | 762,187 | ||||||||||||
Acadia Healthcare Co., Inc. (Health Care Providers & Svs.) | 6.500% | 03/01/2024 | 400,000 | 414,500 | ||||||||||||
Air Medical Group Holdings, Inc. (Health Care Providers & Svs.) | (a) | 6.375% | 05/15/2023 | 875,000 | 783,125 | |||||||||||
Avantor, Inc. (Health Care Equip. & Supplies) | (a) | 6.000% | 10/01/2024 | 125,000 | 133,279 | |||||||||||
Avantor, Inc. (Health Care Equip. & Supplies) | (a) | 9.000% | 10/01/2025 | 975,000 | 1,089,592 | |||||||||||
Bausch Health Americas, Inc. (Pharmaceuticals) | (a) | 8.500% | 01/31/2027 | 525,000 | 597,870 | |||||||||||
Bausch Health Cos., Inc. (Pharmaceuticals) | (a) | 5.500% | 03/01/2023 | 70,000 | 70,350 | |||||||||||
Bausch Health Cos., Inc. (Pharmaceuticals) | (a) | 5.875% | 05/15/2023 | 275,000 | 277,406 | |||||||||||
Bausch Health Cos., Inc. (Pharmaceuticals) | (a) | 7.000% | 03/15/2024 | 225,000 | 234,000 | |||||||||||
Bausch Health Cos., Inc. (Pharmaceuticals) | (a) | 6.125% | 04/15/2025 | 950,000 | 981,568 | |||||||||||
Bausch Health Cos., Inc. (Pharmaceuticals) | (a) | 5.500% | 11/01/2025 | 200,000 | 209,000 | |||||||||||
Bausch Health Cos., Inc. (Pharmaceuticals) | (a) | 9.000% | 12/15/2025 | 525,000 | 597,030 | |||||||||||
Bausch Health Cos., Inc. (Pharmaceuticals) | (a) | 5.750% | 08/15/2027 | 175,000 | 189,875 | |||||||||||
Bausch Health Cos., Inc. (Pharmaceuticals) | (a) | 5.000% | 01/30/2028 | 225,000 | 230,938 | |||||||||||
Bausch Health Cos., Inc. (Pharmaceuticals) | (a) | 7.250% | 05/30/2029 | 375,000 | 428,438 | |||||||||||
Centene Corp. (Health Care Providers & Svs.) | (a) | 4.750% | 01/15/2025 | 325,000 | 337,587 | |||||||||||
Centene Corp. (Health Care Providers & Svs.) | (a) | 5.375% | 06/01/2026 | 425,000 | 451,031 | |||||||||||
Centene Corp. (Health Care Providers & Svs.) | (a) | 4.250% | 12/15/2027 | 725,000 | 745,844 | |||||||||||
Centene Corp. (Health Care Providers & Svs.) | (a) | 4.625% | 12/15/2029 | 875,000 | 922,119 | |||||||||||
Charles River Laboratories International, Inc. (Life Sciences Tools & Svs.) | (a) | 5.500% | 04/01/2026 | 225,000 | 241,875 | |||||||||||
Charles River Laboratories International, Inc. (Life Sciences Tools & Svs.) | (a) | 4.250% | 05/01/2028 | 75,000 | 76,406 | |||||||||||
CHS / Community Health Systems, Inc. (Health Care Providers & Svs.) | 6.250% | 03/31/2023 | 700,000 | 710,500 | ||||||||||||
CHS / Community Health Systems, Inc. (Health Care Providers & Svs.) | (a) | 8.625% | 01/15/2024 | 50,000 | 53,000 | |||||||||||
CHS / Community Health Systems, Inc. (Health Care Providers & Svs.) | (a) | 8.000% | 03/15/2026 | 200,000 | 206,000 | |||||||||||
Eagle Holding Co. II LLC (Health Care Providers & Svs.) | (a)(c) | 7.625%, 8.375% PIK | 05/15/2022 | 50,000 | 50,787 | |||||||||||
Eagle Holding Co. II LLC (Health Care Providers & Svs.) | (a)(c) | 7.750%, 8.500% PIK | 05/15/2022 | 350,000 | 355,383 | |||||||||||
Endo Dac / Endo Finance LLC / Endo Finco, Inc. (Pharmaceuticals) | (a) | 6.000% | 07/15/2023 | 200,000 | 144,500 | |||||||||||
Endo Dac / Endo Finance LLC / Endo Finco, Inc. (Pharmaceuticals) | (a) | 6.000% | 02/01/2025 | 1,075,000 | 724,959 | |||||||||||
Envision Healthcare Corp. (Health Care Providers & Svs.) | (a) | 8.750% | 10/15/2026 | 750,000 | 465,000 | |||||||||||
HCA, Inc. (Health Care Providers & Svs.) | 5.875% | 05/01/2023 | 275,000 | 303,919 | ||||||||||||
HCA, Inc. (Health Care Providers & Svs.) | 5.000% | 03/15/2024 | 375,000 | 409,613 | ||||||||||||
HCA, Inc. (Health Care Providers & Svs.) | 5.375% | 02/01/2025 | 900,000 | 995,247 | ||||||||||||
HCA, Inc. (Health Care Providers & Svs.) | 5.875% | 02/15/2026 | 650,000 | 739,134 | ||||||||||||
HCA, Inc. (Health Care Providers & Svs.) | 5.375% | 09/01/2026 | 100,000 | 111,375 |
66 | (continued) |
Ohio National Fund, Inc. | ON Federated High Income Bond Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||
HEALTH CARE (continued) | ||||||||||||||||
HCA, Inc. (Health Care Providers & Svs.) | 5.625% | 09/01/2028 | $ 425,000 | $ | 484,330 | |||||||||||
HCA, Inc. (Health Care Providers & Svs.) | 5.875% | 02/01/2029 | 375,000 | 433,594 | ||||||||||||
Hill-Rom Holdings, Inc. (Health Care Equip. & Supplies) | (a) | 4.375% | 09/15/2027 | 75,000 | 77,156 | |||||||||||
IQVIA, Inc. (Health Care Technology) | (a) | 5.000% | 10/15/2026 | 300,000 | 316,500 | |||||||||||
IQVIA, Inc. (Life Sciences Tools & Svs.) | (a) | 5.000% | 05/15/2027 | 300,000 | 317,357 | |||||||||||
Jaguar Holding Co. II / Pharmaceutical Product Development LLC (Health Care Providers & Svs.) | (a) | 6.375% | 08/01/2023 | 1,750,000 | 1,806,328 | |||||||||||
Mallinckrodt International Finance SA / Mallinckrodt CB LLC (Pharmaceuticals) | (a) | 5.625% | 10/15/2023 | 1,275,000 | 484,500 | |||||||||||
Mallinckrodt International Finance SA / Mallinckrodt CB LLC (Pharmaceuticals) | (a) | 5.500% | 04/15/2025 | 400,000 | 142,000 | |||||||||||
MEDNAX, Inc. (Health Care Providers & Svs.) | (a) | 6.250% | 01/15/2027 | 325,000 | 333,125 | |||||||||||
MPH Acquisition Holdings LLC (Health Care Providers & Svs.) | (a) | 7.125% | 06/01/2024 | 1,425,000 | 1,378,687 | |||||||||||
Ortho-Clinical Diagnostics, Inc. / Ortho-Clinical Diagnostics SA (Health Care Equip. & Supplies) | (a) | 6.625% | 05/15/2022 | 800,000 | 795,000 | |||||||||||
Polaris Intermediate Corp. (Health Care Providers & Svs.) | (a)(c) | 8.500%, 9.250% PIK | 12/01/2022 | 375,000 | 349,219 | |||||||||||
Prestige Brands, Inc. (Pharmaceuticals) | (a) | 6.375% | 03/01/2024 | 1,200,000 | 1,248,000 | |||||||||||
RegionalCare Hospital Partners Holdings, Inc. (Health Care Providers & Svs.) | (a) | 11.500% | 05/01/2024 | 125,000 | 134,650 | |||||||||||
RegionalCare Hospital Partners Holdings, Inc. / LifePoint Health, Inc. (Health Care Providers & Svs.) | (a) | 9.750% | 12/01/2026 | 750,000 | 847,500 | |||||||||||
Surgery Center Holdings, Inc. (Health Care Providers & Svs.) | (a) | 6.750% | 07/01/2025 | 575,000 | 575,000 | |||||||||||
Team Health Holdings, Inc. (Health Care Providers & Svs.) | (a) | 6.375% | 02/01/2025 | 1,725,000 | 1,151,437 | |||||||||||
Teleflex, Inc. (Health Care Equip. & Supplies) | 4.625% | 11/15/2027 | 175,000 | 185,467 | ||||||||||||
Tenet Healthcare Corp. (Health Care Providers & Svs.) | 6.750% | 06/15/2023 | 450,000 | 494,420 | ||||||||||||
Tenet Healthcare Corp. (Health Care Providers & Svs.) | 4.625% | 07/15/2024 | 125,000 | 127,969 | ||||||||||||
Tenet Healthcare Corp. (Health Care Providers & Svs.) | 5.125% | 05/01/2025 | 650,000 | 669,500 | ||||||||||||
Tenet Healthcare Corp. (Health Care Providers & Svs.) | 7.000% | 08/01/2025 | 375,000 | 396,094 | ||||||||||||
Tenet Healthcare Corp. (Health Care Providers & Svs.) | (a) | 4.875% | 01/01/2026 | 300,000 | 314,220 | |||||||||||
Tenet Healthcare Corp. (Health Care Providers & Svs.) | (a) | 5.125% | 11/01/2027 | 325,000 | 343,281 | |||||||||||
Vizient, Inc. (Health Care Providers & Svs.) | (a) | 6.250% | 05/15/2027 | 125,000 | 133,750 | |||||||||||
WellCare Health Plans, Inc. (Health Care Providers & Svs.) | (a) | 5.375% | 08/15/2026 | 225,000 | 239,625 | |||||||||||
West Street Merger Sub, Inc. (Life Sciences Tools & Svs.) | (a) | 6.375% | 09/01/2025 | 1,075,000 | 1,072,312 | |||||||||||
|
| |||||||||||||||
29,894,458 | ||||||||||||||||
|
| |||||||||||||||
INDUSTRIALS – 9.2% | ||||||||||||||||
Allied Universal Holdco LLC / Allied Universal Finance Corp. (Commercial Svs. & Supplies) | (a) | 6.625% | 07/15/2026 | 150,000 | 161,205 | |||||||||||
Allied Universal Holdco LLC / Allied Universal Finance Corp. (Commercial Svs. & Supplies) | (a) | 9.750% | 07/15/2027 | 1,325,000 | 1,415,458 | |||||||||||
American Builders & Contractors Supply Co., Inc. (Trading Companies & Distributors) | (a) | 5.875% | 05/15/2026 | 975,000 | 1,035,937 | |||||||||||
American Builders & Contractors Supply Co., Inc. (Trading Companies & Distributors) | (a) | 4.000% | 01/15/2028 | 50,000 | 50,750 | |||||||||||
Amsted Industries, Inc. (Machinery) | (a) | 5.625% | 07/01/2027 | 175,000 | 185,500 | |||||||||||
Colfax Corp. (Machinery) | (a) | 6.375% | 02/15/2026 | 125,000 | 136,250 | |||||||||||
Core & Main LP (Commercial Svs. & Supplies) | (a) | 6.125% | 08/15/2025 | 800,000 | 830,000 | |||||||||||
Cornerstone Building Brands, Inc. (Building Products) | (a) | 8.000% | 04/15/2026 | 700,000 | 729,750 | |||||||||||
Dun & Bradstreet Corp. / The (Professional Svs.) | (a) | 6.875% | 08/15/2026 | 225,000 | 248,344 | |||||||||||
Dun & Bradstreet Corp. / The (Professional Svs.) | (a) | 10.250% | 02/15/2027 | 1,025,000 | 1,178,750 | |||||||||||
Hillman Group, Inc. / The (Building Products) | (a) | 6.375% | 07/15/2022 | 450,000 | 418,500 | |||||||||||
IAA, Inc. (Commercial Svs. & Supplies) | (a) | 5.500% | 06/15/2027 | 100,000 | 106,250 | |||||||||||
Nielsen Co. Luxembourg SARL / The (Professional Svs.) | (a) | 5.000% | 02/01/2025 | 125,000 | 128,750 | |||||||||||
Nielsen Finance LLC / Nielsen Finance Co. (Professional Svs.) | (a) | 5.000% | 04/15/2022 | 550,000 | 552,062 | |||||||||||
Park Aerospace Holdings Ltd. (Trading Companies & Distributors) | (a) | 5.500% | 02/15/2024 | 1,325,000 | 1,454,731 | |||||||||||
Resideo Funding, Inc. (Building Products) | (a) | 6.125% | 11/01/2026 | 250,000 | 251,875 | |||||||||||
Sensata Technologies, Inc. (Electrical Equip.) | (a) | 4.375% | 02/15/2030 | 225,000 | 229,370 | |||||||||||
Standard Industries Inc. (Building Products) | (a) | 6.000% | 10/15/2025 | 150,000 | 157,688 | |||||||||||
Standard Industries Inc. (Building Products) | (a) | 5.000% | 02/15/2027 | 1,200,000 | 1,251,000 | |||||||||||
Tempo Acquisition LLC / Tempo Acquisition Finance Corp. (Professional Svs.) | (a) | 6.750% | 06/01/2025 | 1,425,000 | 1,471,312 | |||||||||||
Titan Acquisition Ltd. / TitanCo-Borrower LLC (Machinery) | (a) | 7.750% | 04/15/2026 | 475,000 | 470,250 | |||||||||||
TransDigm U.K. Holdings PLC (Aerospace & Defense) | 6.875% | 05/15/2026 | 275,000 | 292,875 | ||||||||||||
TransDigm, Inc. (Aerospace & Defense) | 6.500% | 07/15/2024 | 500,000 | 515,675 | ||||||||||||
TransDigm, Inc. (Aerospace & Defense) | 6.500% | 05/15/2025 | 350,000 | 364,000 | ||||||||||||
TransDigm, Inc. (Aerospace & Defense) | (a) | 6.250% | 03/15/2026 | 575,000 | 622,501 | |||||||||||
TransDigm, Inc. (Aerospace & Defense) | 6.375% | 06/15/2026 | 850,000 | 901,518 | ||||||||||||
TransDigm, Inc. (Aerospace & Defense) | (a) | 5.500% | 11/15/2027 | 100,000 | 101,123 | |||||||||||
Trident TPI Holdings, Inc. (Machinery) | (a) | 9.250% | 08/01/2024 | 175,000 | 176,750 | |||||||||||
Trident TPI Holdings, Inc. (Machinery) | (a) | 6.625% | 11/01/2025 | 700,000 | 630,000 | |||||||||||
United Rentals North America, Inc. (Trading Companies & Distributors) | 5.875% | 09/15/2026 | 100,000 | 107,275 | ||||||||||||
United Rentals North America, Inc. (Trading Companies & Distributors) | 6.500% | 12/15/2026 | 250,000 | 274,766 | ||||||||||||
United Rentals North America, Inc. (Trading Companies & Distributors) | 5.500% | 05/15/2027 | 250,000 | 267,817 | ||||||||||||
United Rentals North America, Inc. (Trading Companies & Distributors) | 3.875% | 11/15/2027 | 100,000 | 102,095 | ||||||||||||
United Rentals North America, Inc. (Trading Companies & Distributors) | 4.875% | 01/15/2028 | 425,000 | 442,523 | ||||||||||||
United Rentals North America, Inc. (Trading Companies & Distributors) | 5.250% | 01/15/2030 | 100,000 | 107,630 | ||||||||||||
WESCO Distribution, Inc. (Trading Companies & Distributors) | 5.375% | 12/15/2021 | 350,000 | 350,875 | ||||||||||||
WESCO Distribution, Inc. (Trading Companies & Distributors) | 5.375% | 06/15/2024 | 600,000 | 622,500 | ||||||||||||
|
| |||||||||||||||
18,343,655 | ||||||||||||||||
|
|
67 | (continued) |
Ohio National Fund, Inc. | ON Federated High Income Bond Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||
INFORMATION TECHNOLOGY – 5.0% | ||||||||||||||||
Anixter, Inc. (Electronic Equip., Instr. & Comp.) | 6.000% | 12/01/2025 | $ 175,000 | $ | 182,000 | |||||||||||
Banff Merger Sub, Inc. (IT Svs.) | (a) | 9.750% | 09/01/2026 | 675,000 | 683,437 | |||||||||||
CDW LLC / CDW Finance Corp. (Electronic Equip., Instr. & Comp.) | 5.500% | 12/01/2024 | 475,000 | 527,250 | ||||||||||||
CDW LLC / CDW Finance Corp. (Electronic Equip., Instr. & Comp.) | 4.250% | 04/01/2028 | 150,000 | 157,313 | ||||||||||||
Dell International LLC / EMC Corp. (Computers & Peripherals) | (a) | 7.125% | 06/15/2024 | 950,000 | 1,002,250 | |||||||||||
Fair Isaac Corp. (Software) | (a) | 4.000% | 06/15/2028 | 75,000 | 75,563 | |||||||||||
Gartner, Inc. (IT Svs.) | (a) | 5.125% | 04/01/2025 | 200,000 | �� | 208,250 | ||||||||||
Go Daddy Operating Co. LLC / GD Finance Co., Inc. (IT Svs.) | (a) | 5.250% | 12/01/2027 | 150,000 | 157,875 | |||||||||||
Infor U.S., Inc. (Software) | 6.500% | 05/15/2022 | 1,375,000 | 1,395,625 | ||||||||||||
Informatica LLC (Software) | (a) | 7.125% | 07/15/2023 | 1,100,000 | 1,116,500 | |||||||||||
NCR Corp. (Tech. Hardware, Storage & Periph.) | 6.375% | 12/15/2023 | 225,000 | 230,625 | ||||||||||||
NCR Corp. (Tech. Hardware, Storage & Periph.) | (a) | 5.750% | 09/01/2027 | 275,000 | 292,875 | |||||||||||
Nuance Communications, Inc. (Software) | 5.625% | 12/15/2026 | 550,000 | 586,154 | ||||||||||||
Qorvo, Inc. (Semiconductors & Equip.) | (a) | 4.375% | 10/15/2029 | 250,000 | 261,875 | |||||||||||
Riverbed Technology, Inc. (Communications Equip.) | (a) | 8.875% | 03/01/2023 | 175,000 | 100,625 | |||||||||||
RP Crown Parent LLC (Software) | (a) | 7.375% | 10/15/2024 | 1,075,000 | 1,116,656 | |||||||||||
Sophia LP / Sophia Finance, Inc. (Software) | (a) | 9.000% | 09/30/2023 | 325,000 | 333,938 | |||||||||||
SS&C Technologies, Inc. (Software) | (a) | 5.500% | 09/30/2027 | 775,000 | 827,312 | |||||||||||
TTM Technologies, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 5.625% | 10/01/2025 | 400,000 | 413,500 | |||||||||||
Western Digital Corp. (Tech. Hardware, Storage & Periph.) | 4.750% | 02/15/2026 | 250,000 | 260,625 | ||||||||||||
|
| |||||||||||||||
9,930,248 | ||||||||||||||||
|
| |||||||||||||||
MATERIALS – 9.4% | ||||||||||||||||
ARD Finance SA (Containers & Packaging) | (a)(c) | 6.500%, 7.250% PIK | 06/30/2027 | 1,200,000 | 1,240,740 | |||||||||||
Ardagh Packaging Finance PLC / Ardagh Holdings U.S.A., Inc. (Containers & Packaging) | (a) | 6.000% | 02/15/2025 | 250,000 | 262,188 | |||||||||||
Ardagh Packaging Finance PLC / Ardagh Holdings U.S.A., Inc. (Containers & Packaging) | (a) | 5.250% | 08/15/2027 | 275,000 | 289,443 | |||||||||||
Berry Global, Inc. (Containers & Packaging) | 5.500% | 05/15/2022 | 850,000 | 859,562 | ||||||||||||
Berry Global, Inc. (Containers & Packaging) | 6.000% | 10/15/2022 | 56,000 | 57,050 | ||||||||||||
Berry Global, Inc. (Containers & Packaging) | (a) | 4.875% | 07/15/2026 | 475,000 | 500,983 | |||||||||||
Berry Global, Inc. (Containers & Packaging) | (a) | 5.625% | 07/15/2027 | 275,000 | 294,938 | |||||||||||
Clearwater Paper Corp. (Paper & Forest Products) | (a) | 5.375% | 02/01/2025 | 775,000 | 769,187 | |||||||||||
Coeur Mining, Inc. (Metals & Mining) | 5.875% | 06/01/2024 | 500,000 | 500,000 | ||||||||||||
Compass Minerals International, Inc. (Metals & Mining) | (a) | 4.875% | 07/15/2024 | 900,000 | 896,625 | |||||||||||
Compass Minerals International, Inc. (Metals & Mining) | (a) | 6.750% | 12/01/2027 | 200,000 | 212,500 | |||||||||||
Crown Americas LLC / Crown Americas Capital Corp. VI (Containers & Packaging) | 4.750% | 02/01/2026 | 450,000 | 475,313 | ||||||||||||
Element Solutions, Inc. (Chemicals) | (a) | 5.875% | 12/01/2025 | 450,000 | 470,813 | |||||||||||
Flex Acquisition Co., Inc. (Containers & Packaging) | (a) | 6.875% | 01/15/2025 | 1,400,000 | 1,410,500 | |||||||||||
Flex Acquisition Co., Inc. (Containers & Packaging) | (a) | 7.875% | 07/15/2026 | 675,000 | 680,062 | |||||||||||
Freeport-McMoRan, Inc. (Metals & Mining) | 3.875% | 03/15/2023 | 650,000 | 661,849 | ||||||||||||
Freeport-McMoRan, Inc. (Metals & Mining) | 5.000% | 09/01/2027 | 225,000 | 236,250 | ||||||||||||
Freeport-McMoRan, Inc. (Metals & Mining) | 5.250% | 09/01/2029 | 225,000 | 241,043 | ||||||||||||
Freeport-McMoRan, Inc. (Metals & Mining) | 5.400% | 11/14/2034 | 625,000 | 654,687 | ||||||||||||
Graphic Packaging International LLC (Containers & Packaging) | (a) | 4.750% | 07/15/2027 | 150,000 | 160,500 | |||||||||||
Hexion, Inc. (Chemicals) | (a) | 7.875% | 07/15/2027 | 375,000 | 389,981 | |||||||||||
Hudbay Minerals, Inc. (Metals & Mining) | (a) | 7.250% | 01/15/2023 | 100,000 | 103,688 | |||||||||||
Hudbay Minerals, Inc. (Metals & Mining) | (a) | 7.625% | 01/15/2025 | 600,000 | 633,300 | |||||||||||
Koppers, Inc. (Chemicals) | (a) | 6.000% | 02/15/2025 | 775,000 | 811,812 | |||||||||||
Mauser Packaging Solutions Holding Co. (Containers & Packaging) | (a) | 5.500% | 04/15/2024 | 300,000 | 309,030 | |||||||||||
Mauser Packaging Solutions Holding Co. (Containers & Packaging) | (a) | 7.250% | 04/15/2025 | 1,475,000 | 1,456,562 | |||||||||||
Owens-Brockway Glass Container, Inc. (Containers & Packaging) | (a) | 5.875% | 08/15/2023 | 225,000 | 240,188 | |||||||||||
Owens-Brockway Glass Container, Inc. (Containers & Packaging) | (a) | 5.375% | 01/15/2025 | 175,000 | 180,250 | |||||||||||
Owens-Brockway Glass Container, Inc. (Containers & Packaging) | (a) | 6.375% | 08/15/2025 | 600,000 | 655,500 | |||||||||||
PQ Corp. (Chemicals) | (a) | 5.750% | 12/15/2025 | 125,000 | 130,625 | |||||||||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer (Containers & Packaging) | (a) | 7.000% | 07/15/2024 | 900,000 | 930,375 | |||||||||||
Sealed Air Corp. (Containers & Packaging) | (a) | 4.000% | 12/01/2027 | 350,000 | 354,375 | |||||||||||
Starfruit Finco B.V. / Starfruit U.S. Holdco LLC (Chemicals) | (a) | 8.000% | 10/01/2026 | 800,000 | 848,000 | |||||||||||
Steel Dynamics, Inc. (Metals & Mining) | 5.500% | 10/01/2024 | 250,000 | 257,523 | ||||||||||||
Trivium Packaging Finance BV (Containers & Packaging) | (a) | 5.500% | 08/15/2026 | 200,000 | 210,750 | |||||||||||
Trivium Packaging Finance BV (Containers & Packaging) | (a) | 8.500% | 08/15/2027 | 250,000 | 278,125 | |||||||||||
|
| |||||||||||||||
18,664,317 | ||||||||||||||||
|
| |||||||||||||||
REAL ESTATE – 0.3% | ||||||||||||||||
Ryman Hospitality Properties, Inc. (Equity REIT) | (a) | 4.750% | 10/15/2027 | 150,000 | 154,875 | |||||||||||
VICI Properties LP / VICI Note Co., Inc. (Equity REIT) | (a) | 4.250% | 12/01/2026 | 225,000 | 231,750 | |||||||||||
VICI Properties LP / VICI Note Co., Inc. (Equity REIT) | (a) | 4.625% | 12/01/2029 | 175,000 | 182,875 | |||||||||||
|
| |||||||||||||||
569,500 | ||||||||||||||||
|
| |||||||||||||||
UTILITIES – 3.9% | ||||||||||||||||
AmeriGas Partners LP / AmeriGas Finance Corp. (Gas Utilities) | 5.875% | 08/20/2026 | 800,000 | 882,000 | ||||||||||||
AmeriGas Partners LP / AmeriGas Finance Corp. (Gas Utilities) | 5.750% | 05/20/2027 | 100,000 | 109,750 |
68 | (continued) |
Ohio National Fund, Inc. | ON Federated High Income Bond Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||
UTILITIES (continued) | ||||||||||||||||
Calpine Corp. (Ind. Power & Renewable Elec.) | 5.750% | 01/15/2025 | $ 675,000 | $ | 692,719 | |||||||||||
Calpine Corp. (Ind. Power & Renewable Elec.) | (a) | 5.250% | 06/01/2026 | 150,000 | 156,188 | |||||||||||
Calpine Corp. (Ind. Power & Renewable Elec.) | (a) | 4.500% | 02/15/2028 | 350,000 | 353,105 | |||||||||||
Calpine Corp. (Ind. Power & Renewable Elec.) | (a) | 5.125% | 03/15/2028 | 250,000 | 255,175 | |||||||||||
Ferrellgas LP / Ferrellgas Finance Corp. (Gas Utilities) | 6.500% | 05/01/2021 | 200,000 | 173,000 | ||||||||||||
Ferrellgas LP / Ferrellgas Finance Corp. (Gas Utilities) | 6.750% | 01/15/2022 | 425,000 | 361,250 | ||||||||||||
Ferrellgas LP / Ferrellgas Finance Corp. (Gas Utilities) | 6.750% | 06/15/2023 | 250,000 | 211,250 | ||||||||||||
NRG Energy, Inc. (Ind. Power & Renewable Elec.) | 7.250% | 05/15/2026 | 750,000 | 819,375 | ||||||||||||
NRG Energy, Inc. (Ind. Power & Renewable Elec.) | 6.625% | 01/15/2027 | 250,000 | 271,250 | ||||||||||||
NRG Energy, Inc. (Ind. Power & Renewable Elec.) | (a) | 5.250% | 06/15/2029 | 125,000 | 135,156 | |||||||||||
Suburban Propane Partners LP / Suburban Energy Finance Corp. (Gas Utilities) | 5.500% | 06/01/2024 | 425,000 | 436,687 | ||||||||||||
Suburban Propane Partners LP / Suburban Energy Finance Corp. (Gas Utilities) | 5.875% | 03/01/2027 | 600,000 | 624,000 | ||||||||||||
TerraForm Power Operating LLC (Ind. Power & Renewable Elec.) | (a) | 4.250% | 01/31/2023 | 75,000 | 77,210 | |||||||||||
TerraForm Power Operating LLC (Ind. Power & Renewable Elec.) | (a) | 5.000% | 01/31/2028 | 1,125,000 | 1,189,474 | |||||||||||
Vistra Operations Co. LLC (Ind. Power & Renewable Elec.) | (a) | 5.500% | 09/01/2026 | 225,000 | 238,500 | |||||||||||
Vistra Operations Co. LLC (Ind. Power & Renewable Elec.) | (a) | 5.625% | 02/15/2027 | 400,000 | 421,500 | |||||||||||
Vistra Operations Co. LLC (Ind. Power & Renewable Elec.) | (a) | 5.000% | 07/31/2027 | 375,000 | 391,867 | |||||||||||
|
| |||||||||||||||
7,799,456 | ||||||||||||||||
|
| |||||||||||||||
Total Corporate Bonds (Cost $187,632,138) | $ | 188,521,214 | ||||||||||||||
|
| |||||||||||||||
Common Stocks – 0.1% | Shares | Value | ||||||||||||||
COMMUNICATION SERVICES – 0.0% | ||||||||||||||||
iHeartMedia, Inc. Class A (Media) | (d | ) | 7,387 | $ | 124,840 | |||||||||||
|
| |||||||||||||||
MATERIALS – 0.1% | ||||||||||||||||
Hexion Holdings Corp. Class B (Chemicals) | (d | ) | 10,888 | 131,201 | ||||||||||||
|
| |||||||||||||||
Total Common Stocks (Cost $498,023) | $ | 256,041 | ||||||||||||||
|
| |||||||||||||||
Money Market Funds – 3.4% | Shares | Value | ||||||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class, 1.734% | (e | ) | 6,781,590 | $ | 6,782,268 | |||||||||||
|
| |||||||||||||||
Total Money Market Funds (Cost $6,782,268) | $ | 6,782,268 | ||||||||||||||
|
| |||||||||||||||
Total Investments – 98.4% (Cost $194,912,429) | (f | ) | $ | 195,559,523 | ||||||||||||
|
| |||||||||||||||
Other Assets in Excess of Liabilities – 1.6% | 3,092,620 | |||||||||||||||
Net Assets – 100.0% | $ | 198,652,143 | ||||||||||||||
|
|
Percentages are stated as a percent of net assets.
Abbreviations:
PIK: Payment-in-Kind
Footnotes:
(a) | Security exempt from registration under Regulation D of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers under Rule 144A. At December 31, 2019, the value of these securities totaled $128,428,476, or 64.6% of the Portfolio’s net assets. |
(b) | Represents a security that is in default. |
(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) | Non-income producing security. |
(e) | Rate represents theseven-day yield at December 31, 2019. |
(f) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 8 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 ONNasdaq-100® Index Portfolio seeks long-term growth of capital by investing, under normal circumstances, more than 80% of its net assets in the common stocks of companies that are included in theNasdaq-100® Index.
Performance as of December 31, 2019 |
Average Annual returns | ||||
One year | 38.86 | % | ||
Five years | 16.35 | % | ||
Ten years | 17.46 | % |
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-free1-877-781-6392.
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 0.41% per the Fund’s prospectus dated November 22, 2019. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2019 can be found in the Portfolio’s Financial Highlights.
Comments from Sub-Adviser |
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A.For the year ended December 31, 2019, the Portfolio returned 38.86% versus 39.46% for its benchmark, theNasdaq-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 theNasdaq-100® Index. There were no material market events or changes in strategy during the year that materially impacted the Portfolio’s relative return. Sources of return variance were related to the cumulative impact of investing theday-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 security 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)
All eight of the sectors in the benchmark produced positive returns in 2019. Information Technology led the way, returning 54.6% for the year. Communication Services and Consumer Discretionary returned 32.7% and 27.1% for the year, respectively.(1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A.Because the Portfolio weights its holdings to be similar to those utilized by the benchmark index, there were no holdings that significantly contributed to or detracted from the Portfolio’s benchmark-relative performance.(1)
Q. How did the Portfolio’s use of derivative instruments and initial public offerings (IPOs), if any, impact performance?
A.The Portfolio usesNasdaq-100® Index futures contracts primarily to equitize open dividend receivables, as well as to manageday-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 the Portfolio’s net assets.(1)
Q. Were there any significant changes to the Portfolio’s management team, investment strategy, or security selection process during the reporting period?
A.Over the course of 2019, the Portfolio’s management team experienced an unusually high amount of personnel changes for varied reasons including retirement, relocation due to family reasons, and pursuit of other opportunities. Departures have been replaced, in all cases, with portfolio managers who exceed the previous team member’s industry experience, and the changes have resulted in no increase or decrease in total team members dedicated to the Portfolio. Geode Capital Management LLC’s (“Geode”) investment management philosophy utilizes a team-based approach that follows a disciplined and repeatable investment process, seeking to limit dependency on any single investment professional, and, in the case of a team member’s departure, is less disruptive to the execution of the investment process.
Additionally, in December, Geode added a new position to the team with the hire of Diane Hsiung as CIO – Index and ETF Strategies. In this newly created role, Ms. Hsiung, is responsible for the overall development and implementation of the firm’s Index strategies, and providing oversight and management of team members, while driving strategic initiatives to scale operational processes and manage portfolio risks. Geode believes the management team is well-positioned going forward.
There were no material changes to the investment strategy or stock selection process during the period.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2019. |
70 | (continued) |
Ohio National Fund, Inc. | ON Nasdaq-100® 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.
TheNasdaq-100® Index is a modified capitalization-weighted index of the 100 largest domestic and internationalnon-financial companies listed on the NASDAQ® Stock Market. The index presented includes the effects of reinvested dividends.
Past performance is no guarantee of future results. Redemption of fund shares could have tax implications unique to each shareholder.
TheNasdaq-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.
Portfolio Composition as of December 31, 2019(1) |
% of Net Assets | ||||
Common Stocks(4) | 99.3 | |||
U.S. Treasury Obligations | 0.0 | |||
Money Market Funds | 0.7 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31, |
% of Net Assets | ||||||
1. | Apple, Inc. | 11.5 | ||||
2. | Microsoft Corp. | 10.6 | ||||
3. | Amazon.com, Inc. | 8.1 | ||||
4. | Facebook, Inc. Class A | 4.4 | ||||
5. | Alphabet, Inc. Class A | 4.1 | ||||
6. | Alphabet, Inc. Class C | 4.1 | ||||
7. | Intel Corp. | 2.9 | ||||
8. | Comcast Corp. Class A | 2.3 | ||||
9. | Cisco Systems, Inc. | 2.3 | ||||
10. | PepsiCo, Inc. | 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 | 47.0 | |||
Communication Services | 20.7 | |||
Consumer Discretionary | 14.6 | |||
Health Care | 7.2 | |||
Consumer Staples | 5.9 | |||
Industrials | 2.7 | |||
Utilities | 0.9 | |||
Financials | 0.3 | |||
|
| |||
99.3 | ||||
|
|
71
Ohio National Fund, Inc. | ON Nasdaq-100 | ® Index Portfolio |
Schedule of Investments | December 31, 2019 |
Common Stocks – 99.3% | Shares | Value | ||||||||||
COMMUNICATION SERVICES – 20.7% |
| |||||||||||
Activision Blizzard, Inc. (Entertainment) | 30,535 | $ | 1,814,390 | |||||||||
Alphabet, Inc. Class A (Interactive Media & Svs.) | (a | ) | 10,711 | 14,346,206 | ||||||||
Alphabet, Inc. Class C (Interactive Media & Svs.) | (a | ) | 10,704 | 14,311,462 | ||||||||
Baidu, Inc. – ADR (Interactive Media & Svs.) | �� | (a | ) | 10,989 | 1,389,010 | |||||||
Charter Communications, Inc. Class A (Media) | (a | ) | 8,537 | 4,141,128 | ||||||||
Comcast Corp. Class A (Media) | 180,437 | 8,114,252 | ||||||||||
Electronic Arts, Inc. (Entertainment) | (a | ) | 11,605 | 1,247,654 | ||||||||
Facebook, Inc. Class A (Interactive Media & Svs.) | (a | ) | 74,981 | 15,389,850 | ||||||||
Fox Corp. Class A (Media) | 14,090 | 522,316 | ||||||||||
Fox Corp. Class B (Media) | 10,579 | 385,076 | ||||||||||
Liberty Global PLC Class A (Media) | (a | ) | 7,215 | 164,069 | ||||||||
Liberty Global PLC Class C (Media) | (a | ) | 17,440 | 380,105 | ||||||||
NetEase, Inc. – ADR (Entertainment) | 2,900 | 889,256 | ||||||||||
Netflix, Inc. (Entertainment) | (a | ) | 17,419 | 5,636,266 | ||||||||
Sirius XM Holdings, Inc. (Media) | 175,823 | 1,257,134 | ||||||||||
Take-Two Interactive Software, Inc. (Entertainment) | (a | ) | 4,505 | 551,547 | ||||||||
T-Mobile U.S., Inc. (Wireless Telecom. Svs.) | (a | ) | 34,005 | 2,666,672 | ||||||||
|
| |||||||||||
73,206,393 | ||||||||||||
|
| |||||||||||
CONSUMER DISCRETIONARY – 14.6% |
| |||||||||||
Amazon.com, Inc. (Internet & Direct Marketing Retail) | (a | ) | 15,448 | 28,545,432 | ||||||||
Booking Holdings, Inc. (Internet & Direct Marketing Retail) | (a | ) | 1,664 | 3,417,407 | ||||||||
Dollar Tree, Inc. (Multiline Retail) | (a | ) | 9,406 | 884,634 | ||||||||
eBay, Inc. (Internet & Direct Marketing Retail) | 32,334 | 1,167,581 | ||||||||||
Expedia Group, Inc. (Internet & Direct Marketing Retail) | 5,539 | 598,988 | ||||||||||
JD.com, Inc. – ADR (Internet & Direct Marketing Retail) | (a | ) | 36,841 | 1,297,908 | ||||||||
Lululemon Athletica, Inc. (Textiles, Apparel & Luxury Goods) | (a | ) | 4,894 | 1,133,793 | ||||||||
Marriott International, Inc. Class A (Hotels, Restaurants & Leisure) | 12,994 | 1,967,681 | ||||||||||
MercadoLibre, Inc. (Internet & Direct Marketing Retail) | (a | ) | 1,976 | 1,130,154 | ||||||||
O’Reilly Automotive, Inc. (Specialty Retail) | (a | ) | 3,007 | 1,317,848 | ||||||||
Ross Stores, Inc. (Specialty Retail) | 14,377 | 1,673,770 | ||||||||||
Starbucks Corp. (Hotels, Restaurants & Leisure) | 46,939 | 4,126,877 | ||||||||||
Tesla, Inc. (Automobiles) | (a | ) | 7,164 | 2,996,916 | ||||||||
Trip.com Group Ltd. – ADR (Internet & Direct Marketing Retail) | (a | ) | 20,786 | 697,162 | ||||||||
Ulta Beauty, Inc. (Specialty Retail) | (a | ) | 2,339 | 592,095 | ||||||||
|
| |||||||||||
51,548,246 | ||||||||||||
|
| |||||||||||
CONSUMER STAPLES – 5.9% | ||||||||||||
Costco Wholesale Corp. (Food & Staples Retailing) | 17,559 | 5,160,941 | ||||||||||
Kraft Heinz Co. / The (Food Products) | 48,536 | 1,559,462 | ||||||||||
Mondelez International, Inc. Class A (Food Products) | 57,227 | 3,152,063 | ||||||||||
Monster Beverage Corp. (Beverages) | (a | ) | 21,370 | 1,358,064 | ||||||||
PepsiCo, Inc. (Beverages) | 55,423 | 7,574,661 | ||||||||||
Walgreens Boots Alliance, Inc. (Food & Staples Retailing) | 35,475 | 2,091,606 | ||||||||||
|
| |||||||||||
20,896,797 | ||||||||||||
|
| |||||||||||
FINANCIALS – 0.3% | ||||||||||||
Willis Towers Watson PLC (Insurance) | 5,110 | 1,031,913 | ||||||||||
|
| |||||||||||
HEALTH CARE – 7.2% | ||||||||||||
Alexion Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 8,795 | 951,179 | ||||||||
Align Technology, Inc. (Health Care Equip. & Supplies) | (a | ) | 3,132 | 873,953 | ||||||||
Amgen, Inc. (Biotechnology) | 23,616 | 5,693,109 |
Common Stocks (Continued) | Shares | Value | ||||||||||
HEALTH CARE (continued) | ||||||||||||
Biogen, Inc. (Biotechnology) | (a | ) | 7,172 | $ | 2,128,148 | |||||||
BioMarin Pharmaceutical, Inc. (Biotechnology) | (a | ) | 7,139 | 603,603 | ||||||||
Cerner Corp. (Health Care Technology) | 12,484 | 916,201 | ||||||||||
Gilead Sciences, Inc. (Biotechnology) | 50,284 | 3,267,454 | ||||||||||
IDEXX Laboratories, Inc. (Health Care Equip. & Supplies) | (a | ) | 3,409 | 890,192 | ||||||||
Illumina, Inc. (Life Sciences Tools & Svs.) | (a | ) | 5,843 | 1,938,357 | ||||||||
Incyte Corp. (Biotechnology) | (a | ) | 8,561 | 747,547 | ||||||||
Intuitive Surgical, Inc. (Health Care Equip. & Supplies) | (a | ) | 4,594 | 2,715,743 | ||||||||
Regeneron Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 4,290 | 1,610,809 | ||||||||
Seattle Genetics, Inc. (Biotechnology) | (a | ) | 6,812 | 778,339 | ||||||||
Vertex Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 10,221 | 2,237,888 | ||||||||
|
| |||||||||||
25,352,522 | ||||||||||||
|
| |||||||||||
INDUSTRIALS – 2.7% | ||||||||||||
American Airlines Group, Inc. (Airlines) | 17,411 | 499,347 | ||||||||||
Cintas Corp. (Commercial Svs. & Supplies) | 4,114 | 1,106,995 | ||||||||||
Copart, Inc. (Commercial Svs. & Supplies) | (a | ) | 9,239 | 840,195 | ||||||||
CoStar Group, Inc. (Professional Svs.) | (a | ) | 1,456 | 871,125 | ||||||||
CSX Corp. (Road & Rail) | 31,094 | 2,249,962 | ||||||||||
Fastenal Co. (Trading Companies & Distributors) | 22,795 | 842,275 | ||||||||||
PACCAR, Inc. (Machinery) | 13,747 | 1,087,388 | ||||||||||
United Airlines Holdings, Inc. (Airlines) | (a | ) | 10,057 | 885,921 | ||||||||
Verisk Analytics, Inc. (Professional Svs.) | 6,513 | 972,651 | ||||||||||
|
| |||||||||||
9,355,859 | ||||||||||||
|
| |||||||||||
INFORMATION TECHNOLOGY – 47.0% |
| |||||||||||
Adobe, Inc. (Software) | (a | ) | 19,240 | 6,345,544 | ||||||||
Advanced Micro Devices, Inc. (Semiconductors & Equip.) | (a | ) | 44,262 | 2,029,855 | ||||||||
Analog Devices, Inc. (Semiconductors & Equip.) | 14,638 | 1,739,580 | ||||||||||
ANSYS, Inc. (Software) | (a | ) | 3,346 | 861,294 | ||||||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 138,443 | 40,653,787 | ||||||||||
Applied Materials, Inc. (Semiconductors & Equip.) | 36,715 | 2,241,084 | ||||||||||
ASML Holding N.V. (Semiconductors & Equip.) | 2,944 | 871,247 | ||||||||||
Autodesk, Inc. (Software) | (a | ) | 8,728 | 1,601,239 | ||||||||
Automatic Data Processing, Inc. (IT Svs.) | 17,198 | 2,932,259 | ||||||||||
Broadcom, Inc. (Semiconductors & Equip.) | 15,766 | 4,982,371 | ||||||||||
Cadence Design Systems, Inc. (Software) | (a | ) | 11,152 | 773,503 | ||||||||
CDW Corp. (Electronic Equip., Instr. & Comp.) | 5,711 | 815,759 | ||||||||||
Check Point Software Technologies Ltd. (Software) | (a | ) | 6,051 | 671,419 | ||||||||
Cisco Systems, Inc. (Communications Equip.) | 168,611 | 8,086,584 | ||||||||||
Citrix Systems, Inc. (Software) | 5,176 | 574,018 | ||||||||||
Cognizant Technology Solutions Corp. Class A (IT Svs.) | 21,763 | 1,349,741 | ||||||||||
Fiserv, Inc. (IT Svs.) | (a | ) | 27,023 | 3,124,670 | ||||||||
Intel Corp. (Semiconductors & Equip.) | 172,893 | 10,347,646 | ||||||||||
Intuit, Inc. (Software) | 10,346 | 2,709,928 | ||||||||||
KLA-Tencor Corp. (Semiconductors & Equip.) | 6,272 | 1,117,482 | ||||||||||
Lam Research Corp. (Semiconductors & Equip.) | 5,766 | 1,685,978 | ||||||||||
Maxim Integrated Products, Inc. (Semiconductors & Equip.) | 10,756 | 661,602 | ||||||||||
Microchip Technology, Inc. (Semiconductors & Equip.) | 9,498 | 994,631 | ||||||||||
Micron Technology, Inc. (Semiconductors & Equip.) | (a | ) | 44,000 | 2,366,320 | ||||||||
Microsoft Corp. (Software) | 237,699 | 37,485,132 | ||||||||||
NetApp, Inc. (Tech. Hardware, Storage & Periph.) | 9,071 | 564,670 | ||||||||||
NVIDIA Corp. (Semiconductors & Equip.) | 24,324 | 5,723,437 |
72 | (continued) |
Ohio National Fund, Inc. | ONNasdaq-100®Index Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Common Stocks (Continued) | Shares | Value | ||||||||||
INFORMATION TECHNOLOGY (continued) | ||||||||||||
NXP Semiconductors N.V. (Semiconductors & Equip.) | 11,110 | $ | 1,413,859 | |||||||||
Paychex, Inc. (IT Svs.) | 14,227 | 1,210,149 | ||||||||||
PayPal Holdings, Inc. (IT Svs.) | (a | ) | 46,669 | 5,048,186 | ||||||||
QUALCOMM, Inc. (Semiconductors & Equip.) | 45,383 | 4,004,142 | ||||||||||
Skyworks Solutions, Inc. (Semiconductors & Equip.) | 6,772 | 818,599 | ||||||||||
Splunk, Inc. (Software) | (a | ) | 6,015 | 900,867 | ||||||||
Synopsys, Inc. (Software) | (a | ) | 5,973 | 831,442 | ||||||||
Texas Instruments, Inc. (Semiconductors & Equip.) | 37,153 | 4,766,358 | ||||||||||
VeriSign, Inc. (IT Svs.) | (a | ) | 4,666 | 899,045 | ||||||||
Western Digital Corp. (Tech. Hardware, Storage & Periph.) | 11,820 | 750,215 | ||||||||||
Workday, Inc. Class A (Software) | (a | ) | 6,518 | 1,071,885 | ||||||||
Xilinx, Inc. (Semiconductors & Equip.) | 9,995 | 977,211 | ||||||||||
|
| |||||||||||
166,002,738 | ||||||||||||
|
| |||||||||||
UTILITIES – 0.9% | ||||||||||||
Exelon Corp. (Electric Utilities) | 38,637 | 1,761,461 | ||||||||||
Xcel Energy, Inc. (Electric Utilities) | 21,313 | 1,353,162 | ||||||||||
|
| |||||||||||
3,114,623 | ||||||||||||
|
| |||||||||||
Total Common Stocks (Cost $259,001,225) | $ | 350,509,091 | ||||||||||
|
|
U.S. Treasury Obligations – 0.0% | Rate | Maturity | Face Amount | Value | ||||||||||||||||
U.S. Treasury Bill | 0.000 | % | 03/19/2020 | $ | 80,000 | $ | 79,746 | |||||||||||||
|
| |||||||||||||||||||
Total U.S. Treasury Obligations | $ | 79,746 | ||||||||||||||||||
|
|
Money Market Funds – 1.1% | Shares | Value | ||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class, 1.734% | (b | ) | 3,751,195 | $ | 3,751,571 | |||||||
|
| |||||||||||
Total Money Market Funds (Cost $3,751,571) | $ | 3,751,571 | ||||||||||
|
| |||||||||||
Total Investments – 100.4% (Cost $262,832,483) | (c | ) | $ | 354,340,408 | ||||||||
Liabilities in Excess of Other Assets – (0.4)% | (d | ) | (1,354,115 | ) | ||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 352,986,293 | ||||||||||
|
|
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depositary Receipts
Footnotes:
(a) | Non-income producing security. |
(b) | Rate represents theseven-day yield at December 31, 2019. |
(c) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
(d) | Includes $187,200 of cash pledged as collateral for the futures contracts outstanding at December 31, 2019. See also the following Schedule of Open Futures Contracts. |
The accompanying notes are an integral part of these financial statements.
Schedule of Open Futures Contracts | December 31, 2019 |
Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||
CMEE-miniNasdaq-100 Index - Long | 26 | March 20, 2020 | $4,470,877 | $4,551,170 | $80,293 | $(3,319) |
The accompanying notes are an integral part of these financial statements.
73
Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Core Portfolio (Unaudited) |
Objective/Strategy |
The ON BlackRock Advantage Large Cap Core Portfolio(formerly the ON Bristol Portfolio) seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in common stocks of the 1,000 largest publicly traded U.S. companies in terms of market capitalization.
Performance as of December 31, 2019 |
Average Annual returns | ||||
One year | 33.60 | % | ||
Five years | 9.91 | % | ||
Ten years | 11.86 | % |
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-free1-877-781-6392.
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 0.68% per the Fund’s prospectus dated November 22, 2019. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2019 can be found in the Portfolio’s Financial Highlights.
Comments fromSub-Adviser |
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A.For the year ended December 31, 2019, the Portfolio returned 33.60% versus 31.49% for its benchmark, the S&P 500 Index.
Effective February 1, 2019, BlackRock Investment Management, LLC (“BlackRock”) replaced the Portfolio’s previoussub-adviser, Suffolk Capital Management, LLC (“Suffolk”). In conjunction with the change insub-adviser, the name of the Portfolio was changed from ON Bristol Portfolio to ON BlackRock Advantage Large Cap Core Portfolio. The Portfolio’s benchmark was unchanged.
For the period from January 1, 2019 to January 31, 2019 (the “firstone-month period”), the Portfolio returned 13.51% versus 8.01% for the S&P 500 Index.
For the period from February 1, 2019 to December 31, 2019 (the “latter eleven-month period”), the Portfolio returned 17.69% versus 21.73% for 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. Suffolk:For the firstone-month period, there were no market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark-relative performance.
A. BlackRock:Portfolio performance was challenged throughout much of the latter eleven-month period, underperforming the benchmark. Underperformance during the first several months of the period was largely driven by investment insights designed to evaluate company fundamentals. Most specifically, insights seeking to identify relative value opportunities were challenged early in the year, as investors
sought out speculative growth opportunities at the expense of company fundamentals. In the final months of the year, mentality shifted, as investors began to seek out pockets of relative value, leading to a slight performance improvement for this group of signals. Despite the modest rebound in performance late in the year, in aggregate, the Portfolio’s relative value insights were significant detractors from relative returns. Also evaluating company fundamentals, the Portfolio’s quality insights were mixed throughout the period. Though this group of insights detracted modestly in aggregate, struggling somewhat in the final months of the year, select signals added meaningfully to relative returns and provided ballast to performance among fundamental signals. Stronger performance among the Portfolio’s quality insights was unsurprising, given investor preference for sustainable, high-quality businesses amidst increased market uncertainty.
After delivering moderate performance through the first few months of the latter eleven-month period, the Portfolio’s trend and sentiment-based insights struggled considerably during the latter part of the period and were responsible for the bulk of the Portfolio’s underperformance. A series of inflection points, largely motivated by shifts in global trade conversations and central bank policy, created a difficult environment for the Portfolio’s trend-based insights. Similarly, these sharp, macro-driven inflection points often resulted in a disconnect between stock returns and company-specific sentiment, creating a challenging environment for the Portfolio’s sentiment insights. Cross-market sentiment insights struggled in particular, most specifically those seeking to capture the sentiment of informed bond and credit default swap investors.
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. Suffolk:For the firstone-month period, both sector allocation and stock selection contributed to relative outperformance. Stock selection in Health Care and Consumer Discretionary contributed to relative outperformance, while stock selection in Communication Services detracted from relative performance.
A. BlackRock:The portfolio management team targets a relatively sector-neutral approach and seeks to derive the majority of its alpha from security selection. That being said, a modest underweight to the Energy sector throughout much of the latter eleven-month period contributed to relative performance, as the sector underperformed the broader market. On the other hand, positioning in the Communication Services sector detracted from performance. The majority of relative performance was driven by security selection. Stock selection was additive in the Health Care sector, especially among pharmaceutical and biotechnology companies. In contrast, selection within the Financials sector, the capital markets industry in particular, was a notable detractor from relative performance. Stock selection in the Communication Services sector, especially among media companies, and the Energy sector, hindered relative returns as well.(1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. Suffolk:Top contributors for the firstone-month period included Sage Therapeutics, Inc., as the company announced positive results for a Phase 3 trial in postpartum depression. Celgene Corp. contributed, as it was acquired by Bristol-Myers Squibb Co. Aerie Pharmaceuticals, Inc., another top contributor, expects to achieve its revenue target for Rhopressa, its new glaucoma drug, and announced positive pilot study results for Rhopressa in Japan, a significant new market opportunity.
74 | (continued) |
Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Core Portfolio (Unaudited) (Continued) |
Alphabet, Inc. Class C detracted most from relative performance for the firstone-month period, as there were concerns Google would lose share in online advertising to Amazon and might withdraw its news service in Europe if a “snippet” tax were implemented. Apple, Inc., a relative underweight due to expected phone pricing cuts, was another relative detractor. A third relative detractor was Amazon.com, Inc. (“Amazon”), as the Portfolio was underweight due to concerns of weaker U.S.e-commerce market share gain and belief that increased regulation ofe-commerce in India would impact growth.
A. BlackRock:The Portfolio’s positioning in Medtronic PLC was the largest contributor to relative performance for the latter eleven-month period. An overweight position in the middle of the year was particularly beneficial, as Medtronic PLC’s stock price climbed towards the end of second quarter and into the third. Encouraging forward guidance from the company, along with positive earnings announcements, supported the company’s share price. Several promising research projects, including one project to develop memory chips enabling improvement in human memory, helped support investor sentiment on the future of the company as well. Remaining underweight Pfizer, Inc. further supported relative performance throughout the latter eleven-month period, as the pharmaceuticals company struggled during much of 2019. Its stock price declined on increasing concerns around the potential of restrictive drug pricing legislation. Additionally, when the company announced in late July that it would be combining parts of its business with Mylan N.V., the stock price dropped following several analyst downgrades, citing concerns around the effect of the deal on the company’s stock. Positioning in Biogen, Inc. was also beneficial to results. An underweight to the stock early in the year was additive, as the share price plummeted on news that its experimental Alzheimer’s drug, which had been tremendously promising, was unlikely to be effective, and that research on the drug was being stopped. Moving to an overweight towards the end of the year further bolstered results, as Biogen, Inc.’s shares spiked on news that there were new, promising results from research on the Alzheimer’s drug. News that the company was requesting approval from the Federal Drug Administration (“FDA”) on the experimental therapy led to renewed hope among investors and a resulting surge in the stock price.(1)
In contrast, the top individual detractor for the latter eleven-month period was the Portfolio’s overweight position in The Charles Schwab Corp. The company struggled amidst increased pricing pressure that some analysts believe could act as a headwind and stifle company revenue growth going forward. The Portfolio’s positioning in ConocoPhillips was also a persistent detractor from results throughout the latter eleven-month period. Maintaining an overweight to the company through the end of the second quarter and much of the third was a drag on relative returns, as downward pressure on oil prices created concerns around the future profitability of the company. An unsuccessful exploration-drilling project in Louisiana was an additional hit to the company, as the expensive operation did not yield viable oil reserves and the company was forced to sell the acreage. In a similar vein, the Portfolio’s overweight to Halliburton Co. during the early part of the period further dampened relative returns, as there was significant downward pricing pressure on oilfield servicing and fracking due to depressed oil prices and exploration and production activity. This pricing pressure and reduced activity caused the share prices to slump.(1)
Q. How did the Portfolio’s use of derivative instruments and initial public offerings (IPOs), if any, impact performance?
A. Suffolk:The Portfolio did not hold any derivatives or participate in any IPOs during the firstone-month period.
A. BlackRock:Pursuant to the Portfolio’s investment strategy, futures contracts were used in the latter eleven-month period to equitize cash and prevent a cash drag on performance. The futures did not meaningfully impact performance, however, due to their index
characteristics and size in relation to the Portfolio’s net assets. The Portfolio participated in two IPOs during the latter eleven-month period, which detracted 11 basis points relative to the benchmark.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2019. |
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.
Past performance is no guarantee of future results. Redemption of fund shares could have tax implications unique to each shareholder.
75 | (continued) |
Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Core Portfolio (Unaudited) (Continued) |
Portfolio Composition as of December 31, 2019(1) |
% of Net Assets | ||||
Common Stocks(4) | 99.5 | |||
Rights(4) | 0.0 | |||
Money Market Funds | ||||
Less Net Liabilities | 0.5 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31, |
% of Net Assets | ||||||
1. | Microsoft Corp. | 5.1 | ||||
2. | Apple, Inc. | 4.7 | ||||
3. | Amazon.com, Inc. | 3.2 | ||||
4. | Mastercard, Inc. Class A | 2.1 | ||||
5. | Facebook, Inc. Class A | 2.0 | ||||
6. | Johnson & Johnson | 2.0 | ||||
7. | Exxon Mobil Corp. | 2.0 | ||||
8. | Berkshire Hathaway, Inc. Class B | 1.8 | ||||
9. | Alphabet, Inc. Class C | 1.5 | ||||
10. | Alphabet, Inc. Class A | 1.5 |
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. |
(3) | Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher. |
(4) | Sectors (Common Stocks, Rights): |
% of Net Assets | ||||
Information Technology | 23.0 | |||
Health Care | 14.5 | |||
Financials | 13.5 | |||
Communication Services | 10.8 | |||
Consumer Discretionary | 9.5 | |||
Industrials | 9.5 | |||
Consumer Staples | 6.8 | |||
Energy | 4.0 | |||
Utilities | 3.3 | |||
Real Estate | 2.4 | |||
Materials | 2.2 | |||
|
| |||
99.5 | ||||
|
|
76
Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Core Portfolio |
Schedule of Investments | December 31, 2019 |
Common Stocks – 99.5% | Shares | Value | ||||||||||
COMMUNICATION SERVICES – 10.8% |
| |||||||||||
Activision Blizzard, Inc. (Entertainment) | 1,558 | $ | 92,576 | |||||||||
Alphabet, Inc. Class A (Interactive Media & Svs.) | (a | ) | 4,723 | 6,325,939 | ||||||||
Alphabet, Inc. Class C (Interactive Media & Svs.) | (a | ) | 4,844 | 6,476,525 | ||||||||
AMC Networks, Inc. Class A (Media) | (a | ) | 16,442 | 649,459 | ||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 78,137 | 3,053,594 | ||||||||||
CenturyLink, Inc. (Diversified Telecom. Svs.) | 31,698 | 418,730 | ||||||||||
Cinemark Holdings, Inc. (Entertainment) | 5,827 | 197,244 | ||||||||||
Comcast Corp. Class A (Media) | 43,322 | 1,948,190 | ||||||||||
Discovery, Inc. Class A (Media) | (a | ) | 24,570 | 804,422 | ||||||||
Electronic Arts, Inc. (Entertainment) | (a | ) | 5,831 | 626,891 | ||||||||
Facebook, Inc. Class A (Interactive Media & Svs.) | (a | ) | 42,920 | 8,809,330 | ||||||||
Interpublic Group of Cos., Inc. / The (Media) | 75,289 | 1,739,176 | ||||||||||
Live Nation Entertainment, Inc. (Entertainment). | (a | ) | 6,883 | 491,928 | ||||||||
Netflix, Inc. (Entertainment) | (a | ) | 998 | 322,923 | ||||||||
Pinterest, Inc. Class A (Interactive Media & Svs.) | (a | ) | 10,540 | 196,465 | ||||||||
Sirius XM Holdings, Inc. (Media) | 287,667 | 2,056,819 | ||||||||||
Take-Two Interactive Software, Inc. (Entertainment) | (a | ) | 5,993 | 733,723 | ||||||||
Telephone & Data Systems, Inc. (Wireless Telecom. Svs.) | 38,090 | 968,629 | ||||||||||
TripAdvisor, Inc. (Interactive Media & Svs.) | 7,010 | 212,964 | ||||||||||
Twitter, Inc. (Interactive Media & Svs.) | (a | ) | 13,357 | 428,092 | ||||||||
United States Cellular Corp. (Wireless Telecom. Svs.) | (a | ) | 19,894 | 720,760 | ||||||||
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 78,465 | 4,817,751 | ||||||||||
ViacomCBS, Inc. Class A (Media) | 5,452 | 244,631 | ||||||||||
ViacomCBS, Inc. Class B (Media) | 23,157 | 971,899 | ||||||||||
Walt Disney Co. / The (Entertainment) | 16,995 | 2,457,987 | ||||||||||
Yelp, Inc. (Interactive Media & Svs.) | (a | ) | 7,519 | 261,887 | ||||||||
Zynga, Inc. Class A (Entertainment) | (a | ) | 104,690 | 640,703 | ||||||||
|
| |||||||||||
46,669,237 | ||||||||||||
|
| |||||||||||
CONSUMER DISCRETIONARY – 9.5% |
| |||||||||||
Alibaba Group Holding Ltd. – ADR (Internet & Direct Marketing Retail) | (a | ) | 2,347 | 497,799 | ||||||||
Amazon.com, Inc. (Internet & Direct Marketing Retail) | (a | ) | 7,554 | 13,958,583 | ||||||||
AutoNation, Inc. (Specialty Retail) | (a | ) | 973 | 47,317 | ||||||||
Booking Holdings, Inc. (Internet & Direct Marketing Retail) | (a | ) | 59 | 121,170 | ||||||||
Boyd Gaming Corp. (Hotels, Restaurants & Leisure) | 18,108 | 542,153 | ||||||||||
Carnival Corp. (Hotels, Restaurants & Leisure) | 17,226 | 875,598 | ||||||||||
Chipotle Mexican Grill, Inc. (Hotels, Restaurants & Leisure) | (a | ) | 94 | 78,688 | ||||||||
Choice Hotels International, Inc. (Hotels, Restaurants & Leisure) | 16,290 | 1,684,875 | ||||||||||
D.R. Horton, Inc. (Household Durables) | 14,787 | 780,014 | ||||||||||
Darden Restaurants, Inc. (Hotels, Restaurants & Leisure) | 18,228 | 1,987,034 | ||||||||||
Dollar General Corp. (Multiline Retail) | 13,837 | 2,158,295 | ||||||||||
Dunkin’ Brands Group, Inc. (Hotels, Restaurants & Leisure) | 1,702 | 128,569 | ||||||||||
Extended Stay America, Inc. (Hotels, Restaurants & Leisure) | 4,381 | 65,102 | ||||||||||
Ford Motor Co. (Automobiles) | 107,448 | 999,266 | ||||||||||
General Motors Co. (Automobiles) | 36,600 | 1,339,560 | ||||||||||
Gentex Corp. (Auto Components) | 3,072 | 89,027 | ||||||||||
Goodyear Tire & Rubber Co. / The (Auto Components) | 27,686 | 430,656 | ||||||||||
H&R Block, Inc. (Diversified Consumer Svs.) | 28,212 | 662,418 | ||||||||||
Home Depot, Inc. / The (Specialty Retail) | 26,923 | 5,879,445 | ||||||||||
International Game Technology PLC (Hotels, Restaurants & Leisure) | 3,938 | 58,952 |
Common Stocks (Continued) | Shares | Value | ||||||||||
CONSUMER DISCRETIONARY (continued) |
| |||||||||||
McDonald’s Corp. (Hotels, Restaurants & Leisure) | 13,074 | $ | 2,583,553 | |||||||||
Melco Resorts & Entertainment Ltd. – ADR (Hotels, Restaurants & Leisure) | 8,957 | 216,491 | ||||||||||
NIKE, Inc. Class B (Textiles, Apparel & Luxury Goods) | 32,891 | 3,332,187 | ||||||||||
O’Reilly Automotive, Inc. (Specialty Retail) | (a | ) | 552 | 241,920 | ||||||||
Penn National Gaming, Inc. (Hotels, Restaurants & Leisure) | (a | ) | 5,480 | 140,069 | ||||||||
Pool Corp. (Distributors) | 217 | 46,086 | ||||||||||
Ralph Lauren Corp. (Textiles, Apparel & Luxury Goods) | 3,684 | 431,838 | ||||||||||
Starbucks Corp. (Hotels, Restaurants & Leisure) | 1,616 | 142,079 | ||||||||||
Target Corp. (Multiline Retail) | 7,600 | 974,396 | ||||||||||
Texas Roadhouse, Inc. (Hotels, Restaurants & Leisure) | 9,787 | 551,204 | ||||||||||
Wyndham Destinations, Inc. (Hotels, Restaurants & Leisure) | 1,219 | 63,010 | ||||||||||
|
| |||||||||||
41,107,354 | ||||||||||||
|
| |||||||||||
CONSUMER STAPLES – 6.8% |
| |||||||||||
Altria Group, Inc. (Tobacco) | 23,902 | 1,192,949 | ||||||||||
Anheuser-Busch InBev SA / N.V. – ADR (Beverages) | 1,423 | 116,743 | ||||||||||
Church & Dwight Co., Inc. (Household Products) | 17,126 | 1,204,643 | ||||||||||
Coca-Cola Co. / The (Beverages) | 35,790 | 1,980,976 | ||||||||||
Coca-Cola European Partners PLC (Beverages) | 6,824 | 347,205 | ||||||||||
Costco Wholesale Corp. (Food & Staples Retailing) | 20,150 | 5,922,488 | ||||||||||
Estee Lauder Cos., Inc. / The Class A (Personal Products) | 15,622 | 3,226,568 | ||||||||||
Hershey Co. / The (Food Products) | 25,493 | 3,746,961 | ||||||||||
Hormel Foods Corp. (Food Products) | 12,378 | 558,372 | ||||||||||
Molson Coors Brewing Co. Class B (Beverages) | 5,468 | 294,725 | ||||||||||
Monster Beverage Corp. (Beverages) | (a | ) | 8,640 | 549,072 | ||||||||
PepsiCo, Inc. (Beverages) | 25,288 | 3,456,111 | ||||||||||
Performance Food Group Co. (Food & Staples Retailing) | (a | ) | 6,909 | 355,675 | ||||||||
Philip Morris International, Inc. (Tobacco) | 7,196 | 612,308 | ||||||||||
Procter & Gamble Co. / The (Household Products) | 40,687 | 5,081,806 | ||||||||||
Walmart, Inc. (Food & Staples Retailing) | 7,099 | 843,645 | ||||||||||
|
| |||||||||||
29,490,247 | ||||||||||||
|
| |||||||||||
ENERGY – 4.0% |
| |||||||||||
Chevron Corp. (Oil, Gas & Consumable Fuels) | 668 | 80,501 | ||||||||||
ConocoPhillips (Oil, Gas & Consumable Fuels) | 14,712 | 956,721 | ||||||||||
Continental Resources, Inc. (Oil, Gas & Consumable Fuels) | 13,371 | 458,625 | ||||||||||
Devon Energy Corp. (Oil, Gas & Consumable Fuels) | 4,537 | 117,826 | ||||||||||
EOG Resources, Inc. (Oil, Gas & Consumable Fuels) | 31,927 | 2,674,206 | ||||||||||
Exxon Mobil Corp. (Oil, Gas & Consumable Fuels) | 120,320 | 8,395,930 | ||||||||||
Marathon Oil Corp. (Oil, Gas & Consumable Fuels) | 10,233 | 138,964 | ||||||||||
Marathon Petroleum Corp. (Oil, Gas & Consumable Fuels) | 28,620 | 1,724,355 | ||||||||||
National Oilwell Varco, Inc. (Energy Equip. & Svs.) | 3,179 | 79,634 | ||||||||||
Patterson-UTI Energy, Inc. (Energy Equip. & Svs.) | 16,894 | 177,387 | ||||||||||
Phillips 66 (Oil, Gas & Consumable Fuels) | 4,502 | 501,568 | ||||||||||
TechnipFMC PLC (Energy Equip. & Svs.) | 8,381 | 179,689 |
77 | (continued) |
Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Core Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Common Stocks (Continued) | Shares | Value | ||||||||||
ENERGY (continued) |
| |||||||||||
Valero Energy Corp. (Oil, Gas & Consumable Fuels) | 11,685 | $ | 1,094,300 | |||||||||
Williams Cos., Inc. / The (Oil, Gas & Consumable Fuels) | 25,870 | 613,636 | ||||||||||
|
| |||||||||||
17,193,342 | ||||||||||||
|
| |||||||||||
FINANCIALS – 13.5% |
| |||||||||||
Affiliated Managers Group, Inc. (Capital Markets) | 5,076 | 430,140 | ||||||||||
Allstate Corp. / The (Insurance) | 21,665 | 2,436,229 | ||||||||||
Ally Financial, Inc. (Consumer Finance) | 33,526 | 1,024,555 | ||||||||||
American Express Co. (Consumer Finance) | 16,276 | 2,026,199 | ||||||||||
Aon PLC (Insurance) | 636 | 132,472 | ||||||||||
Arthur J. Gallagher & Co. (Insurance) | 6,291 | 599,092 | ||||||||||
AXA Equitable Holdings, Inc. (Diversified Financial Svs.) | 2,763 | 68,467 | ||||||||||
Bank of America Corp. (Banks) | 113,685 | 4,003,986 | ||||||||||
Bank of New York Mellon Corp. / The (Capital Markets) | 15,709 | 790,634 | ||||||||||
Bank OZK (Banks) | 2,867 | 87,458 | ||||||||||
Berkshire Hathaway, Inc. Class B (Diversified Financial Svs.) | (a | ) | 34,341 | 7,778,236 | ||||||||
Capital One Financial Corp. (Consumer Finance) | 14,592 | 1,501,663 | ||||||||||
Charles Schwab Corp. / The (Capital Markets) | 30,511 | 1,451,103 | ||||||||||
Chubb Ltd. (Insurance) | 2,141 | 333,268 | ||||||||||
Cincinnati Financial Corp. (Insurance) | 15,600 | 1,640,340 | ||||||||||
CIT Group, Inc. (Banks) | 18,181 | 829,599 | ||||||||||
Citizens Financial Group, Inc. (Banks) | 11,015 | 447,319 | ||||||||||
CME Group, Inc. (Capital Markets) | 6,520 | 1,308,694 | ||||||||||
Comerica, Inc. (Banks) | 1,168 | 83,804 | ||||||||||
Cullen / Frost Bankers, Inc. (Banks) | 8,310 | 812,552 | ||||||||||
East West Bancorp, Inc. (Banks) | 6,539 | 318,449 | ||||||||||
Essent Group Ltd. (Thrifts & Mortgage Finance) | 5,041 | 262,082 | ||||||||||
Evercore, Inc. Class A (Capital Markets) | 2,542 | 190,040 | ||||||||||
FactSet Research Systems, Inc. (Capital Markets) | 5,187 | 1,391,672 | ||||||||||
First American Financial Corp. (Insurance) | 19,667 | 1,146,979 | ||||||||||
First Citizens BancShares, Inc. Class A (Banks) | 348 | 185,209 | ||||||||||
First Horizon National Corp. (Banks) | 22,621 | 374,604 | ||||||||||
Globe Life, Inc. (Insurance) | 11,906 | 1,253,107 | ||||||||||
Intercontinental Exchange, Inc. (Capital Markets) | 28,645 | 2,651,095 | ||||||||||
Invesco Ltd. (Capital Markets) | 1,032 | 18,555 | ||||||||||
JPMorgan Chase & Co. (Banks) | 34,662 | 4,831,883 | ||||||||||
Marsh & McLennan Cos., Inc. (Insurance) | 4,897 | 545,575 | ||||||||||
MetLife, Inc. (Insurance) | 25,835 | 1,316,810 | ||||||||||
Moody’s Corp. (Capital Markets) | 4,646 | 1,103,007 | ||||||||||
Morgan Stanley (Capital Markets) | 58,165 | 2,973,395 | ||||||||||
Nasdaq, Inc. (Capital Markets) | 1,266 | 135,589 | ||||||||||
Progressive Corp. / The (Insurance) | 7,844 | 567,827 | ||||||||||
Prudential Financial, Inc. (Insurance) | 14,088 | 1,320,609 | ||||||||||
S&P Global, Inc. (Capital Markets) | 12,312 | 3,361,792 | ||||||||||
SEI Investments Co. (Capital Markets) | 936 | 61,289 | ||||||||||
TD Ameritrade Holding Corp. (Capital Markets) | 8,026 | 398,892 | ||||||||||
Truist Financial Corp. (Banks) | 6,007 | 338,314 | ||||||||||
U.S. Bancorp (Banks) | 26,058 | 1,544,979 | ||||||||||
Unum Group (Insurance) | 26,993 | 787,116 | ||||||||||
Wells Fargo & Co. (Banks) | 52,629 | 2,831,440 | ||||||||||
Willis Towers Watson PLC (Insurance) | 2,073 | 418,622 | ||||||||||
|
| |||||||||||
58,114,741 | ||||||||||||
|
| |||||||||||
HEALTH CARE – 14.5% |
| |||||||||||
Abbott Laboratories (Health Care Equip. & Supplies) | 3,310 | 287,507 | ||||||||||
AbbVie, Inc. (Biotechnology) | 36,912 | 3,268,188 | ||||||||||
Alexion Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 2,711 | 293,195 | ||||||||
Allergan PLC (Pharmaceuticals) | 862 | 164,789 |
Common Stocks (Continued) | Shares | Value | ||||||||||
HEALTH CARE (continued) |
| |||||||||||
AmerisourceBergen Corp. (Health Care Providers & Svs.) | 8,393 | $ | 713,573 | |||||||||
Amgen, Inc. (Biotechnology) | 8,764 | 2,112,737 | ||||||||||
Anthem, Inc. (Health Care Providers & Svs.) | 10,526 | 3,179,168 | ||||||||||
Biogen, Inc. (Biotechnology) | (a | ) | 3,347 | 993,155 | ||||||||
Bristol-Myers Squibb Co. (Pharmaceuticals) | 58,336 | 3,744,588 | ||||||||||
Cigna Corp. (Health Care Providers & Svs.) | 425 | 86,908 | ||||||||||
CVS Health Corp. (Health Care Providers & Svs.) | 37,038 | 2,751,553 | ||||||||||
DexCom, Inc. (Health Care Equip. & Supplies) | (a | ) | 1,500 | 328,110 | ||||||||
Edwards Lifesciences Corp. (Health Care Equip. & Supplies) | (a | ) | 9,249 | 2,157,699 | ||||||||
Gilead Sciences, Inc. (Biotechnology) | 90,720 | 5,894,986 | ||||||||||
Hologic, Inc. (Health Care Equip. & Supplies) | (a | ) | 22,356 | 1,167,207 | ||||||||
Humana, Inc. (Health Care Providers & Svs.) | 2,165 | 793,516 | ||||||||||
IDEXX Laboratories, Inc. (Health Care Equip. & Supplies) | (a | ) | 2,993 | 781,562 | ||||||||
Incyte Corp. (Biotechnology) | (a | ) | 2,375 | 207,385 | ||||||||
Johnson & Johnson (Pharmaceuticals) | 58,238 | 8,495,177 | ||||||||||
McKesson Corp. (Health Care Providers & Svs.) | 1,377 | 190,467 | ||||||||||
Medtronic PLC (Health Care Equip. & Supplies). | 8,260 | 937,097 | ||||||||||
Merck & Co., Inc. (Pharmaceuticals) | 56,670 | 5,154,137 | ||||||||||
Mylan N.V. (Pharmaceuticals) | (a | ) | 19,958 | 401,156 | ||||||||
Pfizer, Inc. (Pharmaceuticals) | 76,588 | 3,000,718 | ||||||||||
Regeneron Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 3,225 | 1,210,923 | ||||||||
Stryker Corp. (Health Care Equip. & Supplies) | 24,626 | 5,169,982 | ||||||||||
Thermo Fisher Scientific, Inc. (Life Sciences Tools & Svs.) | 1,448 | 470,412 | ||||||||||
United Therapeutics Corp. (Biotechnology) | (a | ) | 2,275 | 200,382 | ||||||||
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 11,035 | 3,244,069 | ||||||||||
Veeva Systems, Inc. Class A (Health Care Technology) | (a | ) | 3,488 | 490,622 | ||||||||
Vertex Pharmaceuticals, Inc. (Biotechnology) . | (a | ) | 8,833 | 1,933,985 | ||||||||
WellCare Health Plans, Inc. (Health Care Providers & Svs.) | (a | ) | 807 | 266,479 | ||||||||
Zoetis, Inc. (Pharmaceuticals) | 16,415 | 2,172,525 | ||||||||||
|
| |||||||||||
62,263,957 | ||||||||||||
|
| |||||||||||
INDUSTRIALS – 9.5% |
| |||||||||||
3M Co. (Industrial Conglomerates) | 2,417 | 426,407 | ||||||||||
AGCO Corp. (Machinery) | 3,402 | 262,804 | ||||||||||
Allegion PLC (Building Products) | 26,933 | 3,354,236 | ||||||||||
AMETEK, Inc. (Electrical Equip.) | 16,432 | 1,638,928 | ||||||||||
Beacon Roofing Supply, Inc. (Trading Companies & Distributors) | (a | ) | 2,067 | 66,103 | ||||||||
Boeing Co. / The (Aerospace & Defense) | 1,091 | 355,404 | ||||||||||
Copart, Inc. (Commercial Svs. & Supplies) | (a | ) | 1,557 | 141,594 | ||||||||
CSX Corp. (Road & Rail) | 9,806 | 709,562 | ||||||||||
Curtiss-Wright Corp. (Aerospace & Defense) | 719 | 101,300 | ||||||||||
Delta Air Lines, Inc. (Airlines) | 7,226 | 422,576 | ||||||||||
EMCOR Group, Inc. (Construction & Engineering) | 479 | 41,338 | ||||||||||
Expeditors International of Washington, Inc. (Air Freight & Logistics) | 2,989 | 233,202 | ||||||||||
Fluor Corp. (Construction & Engineering) | 16,084 | 303,666 | ||||||||||
GATX Corp. (Trading Companies & Distributors) | 19,276 | 1,597,017 | ||||||||||
HEICO Corp. (Aerospace & Defense) | 2,863 | 326,811 | ||||||||||
Hexcel Corp. (Aerospace & Defense) | 1,664 | 121,988 | ||||||||||
Honeywell International, Inc. (Industrial Conglomerates) | 13,231 | 2,341,887 | ||||||||||
Hubbell, Inc. (Electrical Equip.) | 7,996 | 1,181,969 | ||||||||||
IDEX Corp. (Machinery) | 6,231 | 1,071,732 | ||||||||||
IHS Markit Ltd. (Professional Svs.) | (a | ) | 824 | 62,088 | ||||||||
Illinois Tool Works, Inc. (Machinery) | 439 | 78,858 | ||||||||||
Ingersoll-Rand PLC (Machinery) | 2,400 | 319,008 |
78 | (continued) |
Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Core Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Common Stocks (Continued) | Shares | Value | ||||||||||
INDUSTRIALS (continued) |
| |||||||||||
Landstar System, Inc. (Road & Rail) | 5,337 | $ | 607,724 | |||||||||
Lockheed Martin Corp. (Aerospace & Defense) | 15,864 | 6,177,124 | ||||||||||
MasTec, Inc. (Construction & Engineering) | (a | ) | 10,826 | 694,596 | ||||||||
Northrop Grumman Corp. (Aerospace & Defense) | 4,308 | 1,481,823 | ||||||||||
Old Dominion Freight Line, Inc. (Road & Rail) | 732 | 138,919 | ||||||||||
Oshkosh Corp. (Machinery) | 24,114 | 2,282,390 | ||||||||||
PACCAR, Inc. (Machinery) | 62,078 | 4,910,370 | ||||||||||
Raytheon Co. (Aerospace & Defense) | 4,534 | 996,301 | ||||||||||
Robert Half International, Inc. (Professional Svs.) | 22,336 | 1,410,518 | ||||||||||
Roper Technologies, Inc. (Industrial Conglomerates) | 5,469 | 1,937,284 | ||||||||||
Snap-on, Inc. (Machinery) | 3,869 | 655,409 | ||||||||||
Teledyne Technologies, Inc. (Aerospace & Defense) | (a | ) | 6,545 | 2,268,104 | ||||||||
United Airlines Holdings, Inc. (Airlines) | (a | ) | 16,904 | 1,489,073 | ||||||||
United Parcel Service, Inc. Class B (Air Freight & Logistics) | 4,446 | 520,449 | ||||||||||
Xylem, Inc. (Machinery) | 1,428 | 112,512 | ||||||||||
|
| |||||||||||
40,841,074 | ||||||||||||
|
| |||||||||||
INFORMATION TECHNOLOGY – 23.0% |
| |||||||||||
Accenture PLC Class A (IT Svs.) | 833 | 175,405 | ||||||||||
Adobe, Inc. (Software) | (a | ) | 3,128 | 1,031,646 | ||||||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 69,310 | 20,352,881 | ||||||||||
Applied Materials, Inc. (Semiconductors & Equip.) | 32,130 | 1,961,215 | ||||||||||
Automatic Data Processing, Inc. (IT Svs.) | 25,457 | 4,340,418 | ||||||||||
Avnet, Inc. (Electronic Equip., Instr. & Comp.) | 2,724 | 115,607 | ||||||||||
Broadridge Financial Solutions, Inc. (IT Svs.) | 5,931 | 732,716 | ||||||||||
CDW Corp. (Electronic Equip., Instr. & Comp.) | 15,677 | 2,239,303 | ||||||||||
Cirrus Logic, Inc. (Semiconductors & Equip.) | (a | ) | 12,998 | 1,071,165 | ||||||||
Cisco Systems, Inc. (Communications Equip.) | 46,490 | 2,229,660 | ||||||||||
GoDaddy, Inc. Class A (IT Svs.) | (a | ) | 2,181 | 148,134 | ||||||||
HP, Inc. (Tech. Hardware, Storage & Periph.) | 23,680 | 486,624 | ||||||||||
Intel Corp. (Semiconductors & Equip.) | 89,181 | 5,337,483 | ||||||||||
International Business Machines Corp. (IT Svs.) | 5,056 | 677,706 | ||||||||||
Intuit, Inc. (Software) | 12,952 | 3,392,517 | ||||||||||
Jack Henry & Associates, Inc. (IT Svs.) | 4,864 | 708,539 | ||||||||||
Lam Research Corp. (Semiconductors & Equip.) | 7,921 | 2,316,100 | ||||||||||
Manhattan Associates, Inc. (Software) | (a | ) | 1,084 | 86,449 | ||||||||
Mastercard, Inc. Class A (IT Svs.) | 30,215 | 9,021,897 | ||||||||||
Micron Technology, Inc. (Semiconductors & Equip.) | (a | ) | 14,196 | 763,461 | ||||||||
Microsoft Corp. (Software) | 139,650 | 22,022,805 | ||||||||||
National Instruments Corp. (Electronic Equip., Instr. & Comp.) | 18,396 | 778,887 | ||||||||||
NVIDIA Corp. (Semiconductors & Equip.) | 12,335 | 2,902,426 | ||||||||||
Paychex, Inc. (IT Svs.) | 48,217 | 4,101,338 | ||||||||||
Paylocity Holding Corp. (Software) | (a | ) | 2,459 | 297,096 | ||||||||
PayPal Holdings, Inc. (IT Svs.) | (a | ) | 6,000 | 649,020 | ||||||||
QUALCOMM, Inc. (Semiconductors & Equip.) | 9,645 | 850,978 | ||||||||||
salesforce.com, Inc. (Software) | (a | ) | 20,216 | 3,287,930 | ||||||||
ServiceNow, Inc. (Software) | (a | ) | 7,573 | 2,138,009 | ||||||||
Skyworks Solutions, Inc. (Semiconductors & Equip.) | 2,880 | 348,134 | ||||||||||
Texas Instruments, Inc. (Semiconductors & Equip.) | 13,827 | 1,773,866 | ||||||||||
Visa, Inc. (IT Svs.) | 11,635 | 2,186,217 | ||||||||||
Workday, Inc. Class A (Software) | (a | ) | 2,851 | 468,847 | ||||||||
|
| |||||||||||
98,994,479 | ||||||||||||
|
|
Common Stocks (Continued) | Shares | Value | ||||||||||
MATERIALS – 2.2% |
| |||||||||||
Air Products & Chemicals, Inc. (Chemicals) | 4,344 | $ | 1,020,796 | |||||||||
Alcoa Corp. (Metals & Mining) | (a | ) | 27,017 | 581,136 | ||||||||
Barrick Gold Corp. (Metals & Mining) | 8,657 | 160,934 | ||||||||||
CF Industries Holdings, Inc. (Chemicals) | 6,197 | 295,845 | ||||||||||
Domtar Corp. (Paper & Forest Products) | 25,229 | 964,757 | ||||||||||
Ecolab, Inc. (Chemicals) | 8,762 | 1,690,978 | ||||||||||
LyondellBasell Industries N.V. Class A (Chemicals) | 5,889 | 556,393 | ||||||||||
Mosaic Co. / The (Chemicals) | 32,728 | 708,234 | ||||||||||
PPG Industries, Inc. (Chemicals) | 1,162 | 155,115 | ||||||||||
Reliance Steel & Aluminum Co. (Metals & Mining) | 3,804 | 455,567 | ||||||||||
ScottsMiracle-Gro Co. / The (Chemicals) | 1,139 | 120,939 | ||||||||||
Sherwin-Williams Co. / The (Chemicals) | 2,355 | 1,374,237 | ||||||||||
Steel Dynamics, Inc. (Metals & Mining) | 6,339 | 215,779 | ||||||||||
Summit Materials, Inc. Class A (Construction Materials) | (a | ) | 13,083 | 312,684 | ||||||||
Westrock Co. (Containers & Packaging) | 15,448 | 662,874 | ||||||||||
|
| |||||||||||
9,276,268 | ||||||||||||
|
| |||||||||||
REAL ESTATE – 2.4% |
| |||||||||||
Boston Properties, Inc. (Equity REIT) | 3,478 | 479,477 | ||||||||||
Brandywine Realty Trust (Equity REIT) | 4,095 | 64,496 | ||||||||||
Equity Residential (Equity REIT) | 7,958 | 643,961 | ||||||||||
Host Hotels & Resorts, Inc. (Equity REIT) | 34,528 | 640,494 | ||||||||||
Invitation Homes, Inc. (Equity REIT) | 51,224 | 1,535,183 | ||||||||||
Lamar Advertising Co. Class A (Equity REIT) | 11,537 | 1,029,793 | ||||||||||
National Retail Properties, Inc. (Equity REIT) | 7,950 | 426,279 | ||||||||||
Park Hotels & Resorts, Inc. (Equity REIT) | 60,466 | 1,564,255 | ||||||||||
Prologis, Inc. (Equity REIT) | 2,802 | 249,770 | ||||||||||
Regency Centers Corp. (Equity REIT) | 1,717 | 108,326 | ||||||||||
RLJ Lodging Trust (Equity REIT) | 26,191 | 464,105 | ||||||||||
Simon Property Group, Inc. (Equity REIT) | 19,655 | 2,927,809 | ||||||||||
STAG Industrial, Inc. (Equity REIT) | 3,512 | 110,874 | ||||||||||
Ventas, Inc. (Equity REIT) | 1,519 | 87,707 | ||||||||||
|
| |||||||||||
10,332,529 | ||||||||||||
|
| |||||||||||
UTILITIES – 3.3% |
| |||||||||||
Ameren Corp. (Multi-Utilities) | 21,551 | 1,655,117 | ||||||||||
American Water Works Co., Inc. (Water Utilities) | 7,883 | 968,426 | ||||||||||
Atmos Energy Corp. (Gas Utilities) | 1,631 | 182,444 | ||||||||||
Consolidated Edison, Inc. (Multi-Utilities) | 7,117 | 643,875 | ||||||||||
DTE Energy Co. (Multi-Utilities) | 36,921 | 4,794,930 | ||||||||||
Eversource Energy (Electric Utilities) | 508 | 43,216 | ||||||||||
Pinnacle West Capital Corp. (Electric Utilities) | 9,197 | 827,086 | ||||||||||
Southwest Gas Holdings, Inc. (Gas Utilities) | 4,702 | 357,211 | ||||||||||
Xcel Energy, Inc. (Electric Utilities) | 75,472 | 4,791,717 | ||||||||||
|
| |||||||||||
14,264,022 | ||||||||||||
|
| |||||||||||
Total Common Stocks (Cost $386,574,836) |
| $ | 428,547,250 | |||||||||
|
| |||||||||||
Rights – 0.0% | Quantity | Value | ||||||||||
HEALTH CARE – 0.0% |
| |||||||||||
Bristol-Myers Squibb Co. (Pharmaceuticals) | (a | ) | 11,619 | $ | 34,973 | |||||||
|
| |||||||||||
Total Rights (Cost $24,749) |
| $ | 34,973 | |||||||||
|
| |||||||||||
Money Market Funds – 1.0% | Shares | Value | ||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class, 1.734% | (b | ) | 4,302,479 | $ | 4,302,909 | |||||||
|
| |||||||||||
Total Money Market Funds (Cost $4,302,918) | $ | 4,302,909 | ||||||||||
|
| |||||||||||
Total Investments – 100.5% (Cost $390,902,503) | (c | ) | $ | 432,885,132 | ||||||||
Liabilities in Excess of Other Assets – (0.5)% | (d | ) | (2,315,165 | ) | ||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 430,569,967 | ||||||||||
|
|
79 | (continued) |
Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Core Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depositary Receipts
Footnotes:
(a) | Non-income producing security. |
(b) | Rate represents theseven-day yield at December 31, 2019. |
(c) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
(d) | Includes $195,300 of cash pledged as collateral for the futures contracts outstanding at December 31, 2019. See also the following Schedule of Open Futures Contracts. |
The accompanying notes are an integral part of these financial statements.
Schedule of Open Futures Contracts | December 31, 2019 |
Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||||||||
CMEE-mini S&P 500 Index - Long | 31 | March 20, 2020 | $ | 4,929,016 | $ | 5,008,205 | $79,189 | $7,210 |
The accompanying notes are an integral part of these financial statements.
80
Ohio National Fund, Inc. | ON BlackRock Advantage Small Cap Growth Portfolio (Unaudited) |
Objective/Strategy |
The ON BlackRock Advantage Small Cap Growth Portfolio(formerly the ON Bryton Growth Portfolio)seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in stocks of companies with a market capitalization at the time of investment that is no greater than the largest market capitalization of a company in the Russell 2000 Index for the previous twelve months.
Performance as of December 31, 2019 |
Average Annual returns | ||||
One year | 34.07% | |||
Five years | 9.12% | |||
Ten years | 11.21% |
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-free1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Total expense ratio is 0.83% per the Fund’s prospectus dated November 22, 2019. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2019 can be found in the Portfolio’s Financial Highlights.
Comments fromSub-Adviser |
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A.For the year ended December 31, 2019, the Portfolio returned 34.07% versus 28.48% for its benchmark, the Russell 2000 Growth Index.
Effective February 1, 2019, BlackRock Investment Management, LLC (“BlackRock”) replaced the Portfolio’s previoussub-adviser, Suffolk Capital Management, LLC (“Suffolk”). In conjunction with the change insub-adviser, the name of the Portfolio was changed from ON Bryton Growth Portfolio to ON BlackRock Advantage Small Cap Growth Portfolio. The Portfolio’s benchmark was unchanged.
For the period from January 1, 2019 to January 31, 2019 (the “firstone-month period”), the Portfolio returned 12.96% versus 11.55% for the Russell 2000 Growth Index
For the period from February 1, 2019 to December 31, 2019 (the “latter eleven-month period”), the Portfolio returned 18.69% versus 15.18% for 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. Suffolk:For the firstone-month period, there were no market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark relative performance.
A. BlackRock:Performance over the latter eleven-month period was very strong, as the Portfolio outperformed its benchmark. Encouragingly, performance across both fundamental-based and trend/ sentiment-based insights was tremendously additive throughout the period. The Portfolio’s quality insights were especially positive, which
was unsurprising given investor preference for sustainable, high-quality businesses amidst increased market uncertainty. Of note, conducting machine learned text analysis of company news filings, most specifically8-K’s, contributed positively to performance. Evaluating companies on a series of long-term sustainability measures and rewarding companies withfounder-led management structures were both beneficial as well, as they provided an alternative lens into company quality. Elsewhere, insights seeking to identify relative value opportunities were broadly flat for the period. These signals detracted modestly early in the period, as investors sought out speculative growth opportunities at the expense of company fundamentals. However, performance of these insights rebounded slightly towards the end of the period, as market mentality shifted and investors began to seek out areas of relative value.
Despite an increase in market volatility and inflection points, the Portfolio’s investment insights were able to successfully capture evolving trends in the marketplace and the sentiment of informed market participants, as the Portfolio’s trend- and sentiment-based insights further bolstered relative returns during the latter eleven-month period. Among these signals, using machine learned text analysis of company conference calls to identify trends in longer-term company fundamentals was particularly beneficial. Gauging investor sentiment based on the number of sell-side meetings with company management was also additive, as was evaluating changes in company supply chains.
The Portfolio’s macro thematic insights contributed modestly throughout the latter eleven-month period as well, supported primarily by a signal measuring sensitivity to changes in foreign exchange rates.
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. Suffolk:For the firstone-month period, sector allocation and stock selection both contributed positively to relative performance. Stock selection in Information Technology and Materials contributed to relative outperformance, while stock selection in Industrials detracted from relative performance.
A. BlackRock:The portfolio management team targets a relatively sector-neutral approach and seeks to derive the majority of its relative performance from security selection. That being said, a modest overweight to the Industrials sector during the earlier months of the latter eleven-month period contributed to performance, as the sector outperformed the broader market. A modest underweight to Financials throughout much of the period also contributed, due to the underperformance of Financials in the small cap growth space. On the other hand, a modest overweight to Communication Services companies detracted slightly, as that sector underperformed.(1)
The majority of relative outperformance for the latter eleven-month period was driven by security selection. Security selection was particularly positive in the Consumer Discretionary sector, especially among specialty retailers and internet and direct marketing retailers. Security selection was also very beneficial in the Information Technology sector, particularly among semiconductor, semiconductor equipment, and software companies. Selection in the Health Care and Industrials sectors further contributed to returns. In contrast, security selection within the Energy sector, most notably in the energy equipment and services industry, was a notable detractor from relative performance. Selection in the Communication Services sector hindered relative returns as well.(1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
81 | (continued) |
Ohio National Fund, Inc. | ON BlackRock Advantage Small Cap Growth Portfolio (Unaudited) (Continued) |
A. Suffolk:Top contributors for the firstone-month period included Sage Therapeutics, Inc., as the company announced positive results for a Phase 3 trial in postpartum depression. Ultra Clean Holdings, Inc., another relative contributor, recovered after the sharp selloff in the fourth quarter of last year, as demand for semiconductor equipment and concerns about correction in the cycle were far worse than expectations, as supported by earnings reports from large cap peers. Aerie Pharmaceuticals, Inc., another top contributor, expects to achieve its revenue target for Rhopressa, its new glaucoma drug, and announced positive pilot study results for Rhopressa in Japan, a significant new market opportunity.
Top detractors for the firstone-month period included AxoGen, Inc., as the company experienced a weak earnings report for fourth quarter, as revenue fell slightly short, expenses remained high, and management turnover continued. Ligland Pharmaceuticals, Inc. faced questions regarding the value of current licensing relationships and pipeline value, causing a sharp selloff in the stock inmid-January, making it another top detractor. Lindsay Corp., another detractor from performance, had a first quarter earnings miss for both revenue and earnings per share, driven by weaker irrigation demand internationally.
A. BlackRock:The top individual contributor for the latter eleven-month period was the Portfolio’s positioning in software company eGain Corp. Maintaining an overweight through the first months of the latter eleven-month period was particularly beneficial, as the stock surged almost 20% on first quarter earnings. The company reported an unexpected profit and raised guidance for bothsoftware-as-a-service revenue growth and subscription revenue growth. Moving to an underweight position in the latter part of the period was also beneficial, as stock returns were generally muted, underperforming the broader market. An overweight to Cirrus Logic, Inc. throughout the latter eleven-month period also bolstered relative results, as the semiconductor company’s stock surged over 100% in 2019. As one of the primary suppliers to Apple, Inc., the company was supported by the success of Apple throughout the period. Increasing opportunities related to Android, as well as sustained strength in earnings results throughout the year, were additional driving forces behind the stock’s success in 2019. An overweight position in Paylocity Holding Corp. was the next largest relative contributor, as the stock advanced over 60%. The cloud-based software solutions provider experienced steady growth throughout the period and delivered consistently impressive revenue numbers. Sentiment on the company’s future remained positive due to the rapid growth of the company and the increased focus on cloud-based providers offering innovative solutions.(1)
Maintaining an overweight position in software company Benefitfocus, Inc. was the top individual detractor for the latter eleven-month period, as the company struggled in 2019. The company’s stock price was particularly challenged through the first months of the period, declining significantly. The primary catalyst of thesell-off was the resignation of the company’s Chief Financial Officer (“CFO”), as he was the third CFO to leave the company in the last three years. Elsewhere, the Portfolio’s overweight position in Insperity, Inc. was a drag on relative returns, as the company’s stock declined roughly 20%. The stock struggled following its second and third quarter earnings announcements. Although second quarter results were generally in line with expectations, a combination of disappointing guidance and historically high valuations caused a sharp drop in stock price following the announcement. A few months later, the company announced that its third-quarter profit was down almost 30% from the prior year, causing another sharpsell-off. The Portfolio’s overweight position in USANA Health Sciences, Inc. was also a notable drag on performance, as the company’s shares underperformed after lowering 2019 earnings per share and revenue guidance. The company cited limited promotional activity in many of its regions, and the negative effects of China’s review of the health product industry as key factors in the downward revision.(1)
Q. How did the Portfolio’s use of derivative instruments and initial public offerings (IPOs), if any, impact performance?
A. Suffolk:The Portfolio did not hold any derivatives or participate in any IPOs during the firstone-month period.
A. BlackRock:Pursuant to the Portfolio’s investment strategy, futures contracts were used in the latter eleven-month period to equitize cash and prevent a cash drag on performance. The futures did not meaningfully impact performance, however, due to their index characteristics and size in relation to the Portfolio’s net assets. The Portfolio was active in several small cap IPOs during the period, which contributed slightly on both a relative and absolute basis. The Portfolio participated in sixteen IPOs, adding approximately 30 basis points to relative return.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2019. |
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 thesmall-cap growth segment of theU.S. equity universe. It includes the Russell 2000 Index companies with higherprice-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 investableU.S. equity market. The index presented includes the effects of reinvested dividends.
Past performance is no guarantee of future results. Redemption of fund shares could have tax implications unique to each shareholder.
82 | (continued) |
Ohio National Fund, Inc. | ON BlackRock Advantage Small Cap Growth Portfolio (Unaudited) (Continued) |
Portfolio Composition as of December 31, 2019(1) |
% of Net Assets | ||||
Common Stocks(4) | 99.2 | |||
Rights(4) | 0.0 | |||
Money Market Funds Less Net Liabilities | 0.8 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31, 2019(1)(2) (3) |
% of Net Assets | ||||||
1. | Texas Roadhouse, Inc. | 1.4 | ||||
2. | AMN Healthcare Services, Inc. | 1.2 | ||||
3. | Performance Food Group Co. | 1.1 | ||||
4. | TriState Capital Holdings, Inc. | 1.1 | ||||
5. | HealthEquity, Inc. | 1.1 | ||||
6. | Benefitfocus, Inc. | 1.0 | ||||
7. | SPS Commerce, Inc. | 1.0 | ||||
8. | Ryman Hospitality Properties, Inc. | 1.0 | ||||
9. | Insperity, Inc. | 0.9 | ||||
10. | PolyOne Corp. | 0.9 |
(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, Rights): |
% of Net Assets | ||||
Health Care | 30.5 | |||
Industrials | 18.0 | |||
Information Technology | 17.6 | |||
Consumer Discretionary | 12.2 | |||
Real Estate | 5.3 | |||
Financials | 4.7 | |||
Consumer Staples | 4.0 | |||
Materials | 3.1 | |||
Communication Services | 2.8 | |||
Utilities | 0.6 | |||
Energy | 0.4 | |||
|
| |||
99.2 | ||||
|
|
83 |
Ohio National Fund, Inc. | ON BlackRock Advantage Small Cap Growth Portfolio |
Schedule of Investments | December 31, 2019 |
Common Stocks – 99.2% | Shares | Value | ||||||||||
COMMUNICATION SERVICES – 2.8% |
| |||||||||||
Bandwidth, Inc. Class A (Diversified Telecom. Svs.) | (a | ) | 1,355 | $ | 86,788 | |||||||
Boingo Wireless, Inc. (Wireless Telecom. Svs.) | (a | ) | 13,014 | 142,503 | ||||||||
Cardlytics, Inc. (Media) | (a | ) | 3,469 | 218,061 | ||||||||
Care.com, Inc. (Interactive Media & Svs.) | (a | ) | 3,779 | 56,798 | ||||||||
Cargurus, Inc. (Interactive Media & Svs.) | (a | ) | 32,522 | 1,144,124 | ||||||||
Cogent Communications Holdings, Inc. (Diversified Telecom. Svs.) | 18,478 | 1,216,037 | ||||||||||
EverQuote, Inc. Class A (Interactive Media & Svs.) | (a | ) | 6,450 | 221,558 | ||||||||
Glu Mobile, Inc. (Entertainment) | (a | ) | 46,895 | 283,715 | ||||||||
Gogo, Inc. (Wireless Telecom. Svs.) | (a | ) | 12,254 | 78,426 | ||||||||
Gray Television, Inc. (Media) | (a | ) | 7,026 | 150,637 | ||||||||
IDT Corp. Class B (Diversified Telecom. Svs.) | (a | ) | 8,567 | 61,768 | ||||||||
MSG Networks, Inc. Class A (Media) | (a | ) | 12,114 | 210,784 | ||||||||
Ooma, Inc. (Diversified Telecom. Svs.) | (a | ) | 7,140 | 94,462 | ||||||||
QuinStreet, Inc. (Interactive Media & Svs.) | (a | ) | 26,782 | 410,032 | ||||||||
TechTarget, Inc. (Media) | (a | ) | 3,534 | 92,237 | ||||||||
TrueCar, Inc. (Interactive Media & Svs.) | (a | ) | 22,630 | 107,493 | ||||||||
Vonage Holdings Corp. (Diversified Telecom. Svs.) | (a | ) | 5,758 | 42,552 | ||||||||
Yelp, Inc. (Interactive Media & Svs.) | (a | ) | 29,975 | 1,044,029 | ||||||||
|
| |||||||||||
5,662,004 | ||||||||||||
|
| |||||||||||
CONSUMER DISCRETIONARY – 12.2% |
| |||||||||||
1-800-Flowers.com, Inc. Class A (Internet & Direct Marketing Retail) | (a | ) | 22,938 | 332,601 | ||||||||
Aaron’s, Inc. (Specialty Retail) | 2,794 | 159,565 | ||||||||||
American Eagle Outfitters, Inc. (Specialty Retail) | 3,631 | 53,376 | ||||||||||
America’sCar-Mart, Inc. (Specialty Retail) | (a | ) | 238 | 26,099 | ||||||||
Asbury Automotive Group, Inc. (Specialty Retail) | (a | ) | 16,284 | 1,820,388 | ||||||||
BJ’s Restaurants, Inc. (Hotels, Restaurants & Leisure) | 12,542 | 476,094 | ||||||||||
Boyd Gaming Corp. (Hotels, Restaurants & Leisure) | 27,415 | 820,805 | ||||||||||
Brinker International, Inc. (Hotels, Restaurants & Leisure) | 12,046 | 505,932 | ||||||||||
Chegg, Inc. (Diversified Consumer Svs.) | (a | ) | 27,125 | 1,028,309 | ||||||||
Children’s Place, Inc. / The (Specialty Retail) | 1,583 | 98,969 | ||||||||||
Churchill Downs, Inc. (Hotels, Restaurants & Leisure) | 7,418 | 1,017,750 | ||||||||||
Chuy’s Holdings, Inc. (Hotels, Restaurants & Leisure) | (a | ) | 20,240 | 524,621 | ||||||||
Cooper-Standard Holdings, Inc. (Auto Components) | (a | ) | 3,453 | 114,501 | ||||||||
Core-Mark Holding Co., Inc. (Distributors) | 19,257 | 523,598 | ||||||||||
Cracker Barrel Old Country Store, Inc. (Hotels, Restaurants & Leisure) | 2,037 | 313,168 | ||||||||||
Crocs, Inc. (Textiles, Apparel & Luxury Goods) | (a | ) | 24,705 | 1,034,892 | ||||||||
Deckers Outdoor Corp. (Textiles, Apparel & Luxury Goods) | (a | ) | 872 | 147,246 | ||||||||
Denny’s Corp. (Hotels, Restaurants & Leisure) | (a | ) | 16,339 | 324,819 | ||||||||
Dorman Products, Inc. (Auto Components) | (a | ) | 316 | 23,928 | ||||||||
Everi Holdings, Inc. (Hotels, Restaurants & Leisure) | (a | ) | 9,639 | 129,452 | ||||||||
Fox Factory Holding Corp. (Auto Components) | (a | ) | 2,301 | 160,081 | ||||||||
Helen of Troy Ltd. (Household Durables) | (a | ) | 6,195 | 1,113,799 | ||||||||
Hooker Furniture Corp. (Household Durables) | 7,469 | 191,879 | ||||||||||
iRobot Corp. (Household Durables) | (a | ) | 6,318 | 319,880 | ||||||||
KB Home (Household Durables) | 5,787 | 198,321 | ||||||||||
La-Z-Boy, Inc. (Household Durables) | 985 | 31,008 | ||||||||||
LCI Industries (Auto Components) | 12,871 | 1,378,870 | ||||||||||
LGI Homes, Inc. (Household Durables) | (a | ) | 11,117 | 785,416 | ||||||||
Lithia Motors, Inc. Class A (Specialty Retail) | 4,604 | 676,788 | ||||||||||
Malibu Boats, Inc. Class A (Leisure Products) | (a | ) | 16,101 | 659,336 | ||||||||
MDC Holdings, Inc. (Household Durables) | 18,348 | 700,160 |
Common Stocks (Continued) | Shares | Value | ||||||||||
CONSUMER DISCRETIONARY (continued) |
| |||||||||||
OneSpaWorld Holdings Ltd. (Diversified Consumer Svs.) | (a | ) | 6,756 | $ | 113,771 | |||||||
Oxford Industries, Inc. (Textiles, Apparel & Luxury Goods) | 10,997 | 829,394 | ||||||||||
Planet Fitness, Inc. Class A (Hotels, Restaurants & Leisure) | (a | ) | 1,700 | 126,956 | ||||||||
Scientific Games Corp. (Hotels, Restaurants & Leisure) | (a | ) | 6,013 | 161,028 | ||||||||
Sonos, Inc. (Household Durables) | (a | ) | 4,175 | 65,214 | ||||||||
Standard Motor Products, Inc. (Auto Components) | 2,770 | 147,419 | ||||||||||
Steven Madden Ltd. (Textiles, Apparel & Luxury Goods) | 35,442 | 1,524,360 | ||||||||||
Stitch Fix, Inc. Class A (Internet & Direct Marketing Retail) | (a | ) | 11,630 | 298,426 | ||||||||
Strategic Education, Inc. (Diversified Consumer Svs.) | 8,171 | 1,298,372 | ||||||||||
Texas Roadhouse, Inc. (Hotels, Restaurants & Leisure) | 52,693 | 2,967,670 | ||||||||||
TopBuild Corp. (Household Durables) | (a | ) | 9,488 | 978,023 | ||||||||
Wingstop, Inc. (Hotels, Restaurants & Leisure) | 6,384 | 550,492 | ||||||||||
Wolverine World Wide, Inc. (Textiles, Apparel & Luxury Goods) | 8,276 | 279,232 | ||||||||||
|
| |||||||||||
25,032,008 | ||||||||||||
|
| |||||||||||
CONSUMER STAPLES – 4.0% | ||||||||||||
Boston Beer Co., Inc. / The Class A (Beverages) | (a | ) | 237 | 89,550 | ||||||||
Calavo Growers, Inc. (Food Products) | 13,288 | 1,203,760 | ||||||||||
Freshpet, Inc. (Food Products) | (a | ) | 22,903 | 1,353,338 | ||||||||
J&J Snack Foods Corp. (Food Products) | 9,785 | 1,803,082 | ||||||||||
John B Sanfilippo & Son, Inc. (Food Products) | 4,559 | 416,146 | ||||||||||
National Beverage Corp. (Beverages) | (a | ) | 7,508 | 383,058 | ||||||||
Performance Food Group Co. (Food & Staples Retailing) | (a | ) | 44,341 | 2,282,675 | ||||||||
Sprouts Farmers Market, Inc. (Food & Staples Retailing) | (a | ) | 8,800 | 170,280 | ||||||||
USANA Health Sciences, Inc. (Personal Products) | (a | ) | 907 | 71,245 | ||||||||
Vector Group Ltd. (Tobacco) | 35,532 | 475,773 | ||||||||||
|
| |||||||||||
8,248,907 | ||||||||||||
�� |
|
| ||||||||||
ENERGY – 0.4% | ||||||||||||
Evolution Petroleum Corp. (Oil, Gas & Consumable Fuels) | 31,209 | 170,713 | ||||||||||
Liberty Oilfield Services, Inc. Class A (Energy Equip. & Svs.) | 28,705 | 319,200 | ||||||||||
ProPetro Holding Corp. (Energy Equip. & Svs.) | (a | ) | 9,977 | 112,241 | ||||||||
Smart Sand, Inc. (Energy Equip. & Svs.) | (a | ) | 47,289 | 119,168 | ||||||||
|
| |||||||||||
721,322 | ||||||||||||
|
| |||||||||||
FINANCIALS – 4.7% | ||||||||||||
Ares Management Corp. Class A (Capital Markets) | 8,911 | 318,034 | ||||||||||
Artisan Partners Asset Management, Inc. Class A (Capital Markets) | 11,808 | 381,635 | ||||||||||
BankFinancial Corp. (Banks) | 5,622 | 73,536 | ||||||||||
Cohen & Steers, Inc. (Capital Markets) | 9,975 | 626,031 | ||||||||||
Enova International, Inc. (Consumer Finance) | (a | ) | 3,325 | 79,999 | ||||||||
Essent Group Ltd. (Thrifts & Mortgage Finance) | 21,949 | 1,141,129 | ||||||||||
FedNat Holding Co. (Insurance) | 8,877 | 147,625 | ||||||||||
First Savings Financial Group, Inc. (Banks) | 2,205 | 147,955 | ||||||||||
FirstCash, Inc. (Consumer Finance) | 8,732 | 704,061 | ||||||||||
Focus Financial Partners, Inc. Class A (Capital Markets) | (a | ) | 9,231 | 272,038 | ||||||||
Green Dot Corp. Class A (Consumer Finance) | (a | ) | 25,864 | 602,631 | ||||||||
Hamilton Lane, Inc. Class A (Capital Markets) | 4,546 | 270,942 | ||||||||||
Kinsale Capital Group, Inc. (Insurance) | 5,862 | 595,931 | ||||||||||
LendingTree, Inc. (Thrifts & Mortgage Finance) | (a | ) | 184 | 55,833 |
84 | (continued) |
Ohio National Fund, Inc. | ON BlackRock Advantage Small Cap Growth Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Common Stocks (Continued) | Shares | Value | ||||||||||
FINANCIALS (continued) |
| |||||||||||
Main Street Capital Corp. (Capital Markets) | 110 | $ | 4,742 | |||||||||
Moelis & Co. Class A (Capital Markets) | 18,170 | 579,986 | ||||||||||
NMI Holdings, Inc. Class A (Thrifts & Mortgage Finance) | (a | ) | 4,242 | 140,750 | ||||||||
OceanFirst Financial Corp. (Thrifts & Mortgage Finance) | 1,686 | 43,060 | ||||||||||
Pacific Mercantile Bancorp (Banks) | (a | ) | 18,854 | 153,094 | ||||||||
Republic First Bancorp, Inc. (Banks) | (a | ) | 9,423 | 39,388 | ||||||||
Riverview Bancorp, Inc. (Thrifts & Mortgage Finance) | 1,100 | 9,031 | ||||||||||
Sandy Spring Bancorp, Inc. (Banks) | 6,473 | 245,197 | ||||||||||
TriState Capital Holdings, Inc. (Banks) | (a | ) | 86,446 | 2,257,970 | ||||||||
Virtus Investment Partners, Inc. (Capital Markets) | 1,299 | 158,114 | ||||||||||
West Bancorporation, Inc. (Banks) | 2,913 | 74,660 | ||||||||||
Wintrust Financial Corp. (Banks) | 6,180 | 438,162 | ||||||||||
|
| |||||||||||
9,561,534 | ||||||||||||
|
| |||||||||||
HEALTH CARE – 30.5% | ||||||||||||
10X Genomics, Inc. Class A (Life Sciences Tools & Svs.) | (a | ) | 1,266 | 96,533 | ||||||||
ACADIA Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 28,463 | 1,217,647 | ||||||||
Acceleron Pharma, Inc. (Biotechnology) | (a | ) | 9,015 | 477,975 | ||||||||
Accuray, Inc. (Health Care Equip. & Supplies) | (a | ) | 4,004 | 11,291 | ||||||||
Aerie Pharmaceuticals, Inc. (Pharmaceuticals) | (a | ) | 4,071 | 98,396 | ||||||||
Agenus, Inc. (Biotechnology) | (a | ) | 128,389 | 522,543 | ||||||||
Aimmune Therapeutics, Inc. (Biotechnology) | (a | ) | 5,844 | 195,599 | ||||||||
Akcea Therapeutics, Inc. (Biotechnology) | (a | ) | 2,274 | 38,522 | ||||||||
Alector, Inc. (Biotechnology) | (a | ) | 7,528 | 129,707 | ||||||||
Allakos, Inc. (Biotechnology) | (a | ) | 1,247 | 118,914 | ||||||||
Amarin Corp. PLC – ADR (Biotechnology) | (a | ) | 17,101 | 366,645 | ||||||||
Amedisys, Inc. (Health Care Providers & Svs.) | (a | ) | 439 | 73,278 | ||||||||
Amicus Therapeutics, Inc. (Biotechnology) | (a | ) | 35,768 | 348,380 | ||||||||
AMN Healthcare Services, Inc. (Health Care Providers & Svs.) | (a | ) | 39,440 | 2,457,506 | ||||||||
Amneal Pharmaceuticals, Inc. (Pharmaceuticals) | (a | ) | 61,351 | 295,712 | ||||||||
Amphastar Pharmaceuticals, Inc. (Pharmaceuticals) | (a | ) | 16,443 | 317,185 | ||||||||
AnaptysBio, Inc. (Biotechnology) | (a | ) | 867 | 14,089 | ||||||||
Apellis Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 13,519 | 413,952 | ||||||||
Arcus Biosciences, Inc. (Biotechnology) | (a | ) | 8,261 | 83,436 | ||||||||
Arena Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 2,752 | 124,996 | ||||||||
Arrowhead Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 19,362 | 1,228,132 | ||||||||
Arvinas, Inc. (Pharmaceuticals) | (a | ) | 2,154 | 88,508 | ||||||||
Atara Biotherapeutics, Inc. (Biotechnology) | (a | ) | 5,726 | 94,307 | ||||||||
Athersys, Inc. (Biotechnology) | (a | ) | 60,257 | 74,116 | ||||||||
AtriCure, Inc. (Health Care Equip. & Supplies) | (a | ) | 21,088 | 685,571 | ||||||||
Audentes Therapeutics, Inc. (Biotechnology) | (a | ) | 8,640 | 517,018 | ||||||||
BioDelivery Sciences International, Inc. (Pharmaceuticals) | (a | ) | 18,702 | 118,197 | ||||||||
Biohaven Pharmaceutical Holding Co. Ltd. (Biotechnology) | (a | ) | 2,869 | 156,188 | ||||||||
Blueprint Medicines Corp. (Biotechnology) | (a | ) | 6,124 | 490,594 | ||||||||
Cara Therapeutics, Inc. (Pharmaceuticals) | (a | ) | 8,301 | 133,729 | ||||||||
Cardiovascular Systems, Inc. (Health Care Equip. & Supplies) | (a | ) | 6,388 | 310,393 | ||||||||
Castle Biosciences, Inc. (Biotechnology) | (a | ) | 4,170 | 143,323 | ||||||||
Castlight Health, Inc. Class B (Health Care Technology) | (a | ) | 39,467 | 52,491 | ||||||||
ChemoCentryx, Inc. (Biotechnology) | (a | ) | 21,441 | 847,992 | ||||||||
Coherus Biosciences, Inc. (Biotechnology) | (a | ) | 27,502 | 495,174 | ||||||||
Collegium Pharmaceutical, Inc. (Pharmaceuticals) | (a | ) | 5,584 | 114,919 | ||||||||
CONMED Corp. (Health Care Equip. & Supplies) | 1,278 | 142,919 | ||||||||||
Corcept Therapeutics, Inc. (Pharmaceuticals) | (a | ) | 30,175 | 365,117 |
Common Stocks (Continued) | Shares | Value | ||||||||||
HEALTH CARE (continued) |
| |||||||||||
CorVel Corp. (Health Care Providers & Svs.) | (a | ) | 3,837 | $ | 335,200 | |||||||
Crinetics Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 2,601 | 65,259 | ||||||||
Deciphera Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 8,032 | 499,912 | ||||||||
Denali Therapeutics, Inc. (Biotechnology) | (a | ) | 8,753 | 152,477 | ||||||||
Dermira, Inc. (Pharmaceuticals) | (a | ) | 15,192 | 230,311 | ||||||||
Dynavax Technologies Corp. (Biotechnology) | (a | ) | 56,145 | 321,149 | ||||||||
Eagle Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 8,141 | 489,111 | ||||||||
Editas Medicine, Inc. (Biotechnology) | (a | ) | 8,930 | 264,417 | ||||||||
Emergent BioSolutions, Inc. (Biotechnology) | (a | ) | 3,695 | 199,345 | ||||||||
Enanta Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 8,208 | 507,090 | ||||||||
Endo International PLC (Pharmaceuticals) | (a | ) | 35,295 | 165,534 | ||||||||
Ensign Group, Inc. / The (Health Care Providers & Svs.) | 6,434 | 291,911 | ||||||||||
Epizyme, Inc. (Biotechnology) | (a | ) | 5,308 | 130,577 | ||||||||
Esperion Therapeutics, Inc. (Biotechnology) | (a | ) | 4,046 | 241,263 | ||||||||
Evolent Health, Inc. Class A (Health Care Technology) | (a | ) | 26,979 | 244,160 | ||||||||
Exact Sciences Corp. (Biotechnology) | (a | ) | 2,323 | 214,831 | ||||||||
Fate Therapeutics, Inc. (Biotechnology) | (a | ) | 29,022 | 567,961 | ||||||||
FibroGen, Inc. (Biotechnology) | (a | ) | 19,250 | 825,632 | ||||||||
Flexion Therapeutics, Inc. (Biotechnology) | (a | ) | 10,954 | 226,748 | ||||||||
GenMark Diagnostics, Inc. (Health Care Equip. & Supplies) | (a | ) | 47,045 | 226,286 | ||||||||
Glaukos Corp. (Health Care Equip. & Supplies) | (a | ) | 1,659 | 90,366 | ||||||||
Global Blood Therapeutics, Inc. (Biotechnology) | (a | ) | 14,349 | 1,140,602 | ||||||||
Globus Medical, Inc. Class A (Health Care Equip. & Supplies) | (a | ) | 20,318 | 1,196,324 | ||||||||
Gossamer Bio, Inc. (Biotechnology) | (a | ) | 4,355 | 68,069 | ||||||||
Halozyme Therapeutics, Inc. (Biotechnology) | (a | ) | 13,603 | 241,181 | ||||||||
HealthEquity, Inc. (Health Care Providers & Svs.) | (a | ) | 29,092 | 2,154,844 | ||||||||
Horizon Therapeutics PLC (Pharmaceuticals) | (a | ) | 9,478 | 343,104 | ||||||||
Immunomedics, Inc. (Biotechnology) | (a | ) | 36,309 | 768,298 | ||||||||
Innoviva, Inc. (Pharmaceuticals) | (a | ) | 12,873 | 182,282 | ||||||||
Inogen, Inc. (Health Care Equip. & Supplies) | (a | ) | 15,488 | 1,058,295 | ||||||||
Inovalon Holdings, Inc. Class A (Health Care Technology) | (a | ) | 25,733 | 484,295 | ||||||||
Insmed, Inc. (Biotechnology) | (a | ) | 30,820 | 735,982 | ||||||||
Inspire Medical Systems, Inc. (Health Care Technology) | (a | ) | 8,320 | 617,427 | ||||||||
Integer Holdings Corp. (Health Care Equip. & Supplies) | (a | ) | 5,063 | 407,217 | ||||||||
Intellia Therapeutics, Inc. (Biotechnology) | (a | ) | 8,824 | 129,448 | ||||||||
Intercept Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 8,364 | 1,036,467 | ||||||||
Intersect ENT, Inc. (Pharmaceuticals) | (a | ) | 19,785 | 492,646 | ||||||||
Intra-Cellular Therapies, Inc. (Pharmaceuticals) | (a | ) | 22,356 | 767,034 | ||||||||
Invitae Corp. (Biotechnology) | (a | ) | 29,981 | 483,594 | ||||||||
Iovance Biotherapeutics, Inc. (Biotechnology) | (a | ) | 8,909 | 246,601 | ||||||||
iRadimed Corp. (Health Care Equip. & Supplies) | (a | ) | 4,808 | 112,411 | ||||||||
iRhythm Technologies, Inc. (Health Care Equip. & Supplies) | (a | ) | 11,454 | 779,903 | ||||||||
Ironwood Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 62,443 | 831,116 | ||||||||
Joint Corp. / The (Health Care Providers & Svs.) | (a | ) | 5,943 | 95,920 | ||||||||
KalVista Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 3,078 | 54,819 | ||||||||
Kodiak Sciences, Inc. (Biotechnology) | (a | ) | 3,585 | 257,941 | ||||||||
LeMaitre Vascular, Inc. (Health Care Equip. & Supplies) | 5,048 | 181,476 | ||||||||||
LHC Group, Inc. (Health Care Providers & Svs.) | (a | ) | 5,017 | 691,142 | ||||||||
Ligand Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 3,674 | 383,161 | ||||||||
LivaNova PLC (Health Care Equip. & Supplies) | (a | ) | 2,055 | 155,009 |
85 | (continued) |
Ohio National Fund, Inc. | ON BlackRock Advantage Small Cap Growth Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Common Stocks (Continued) | Shares | Value | ||||||||||
HEALTH CARE (continued) |
| |||||||||||
MacroGenics, Inc. (Biotechnology) | (a | ) | 8,789 | $ | 95,624 | |||||||
Madrigal Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 213 | 19,406 | ||||||||
Medicines Co. / The (Biotechnology) | (a | ) | 4,810 | 408,561 | ||||||||
Medpace Holdings, Inc. (Life Sciences Tools & Svs.) | (a | ) | 10,238 | 860,606 | ||||||||
MeiraGTx Holdings PLC (Biotechnology) | (a | ) | 1,192 | 23,864 | ||||||||
Merit Medical Systems, Inc. (Health Care Equip. & Supplies) | (a | ) | 10,544 | 329,184 | ||||||||
Mirati Therapeutics, Inc. (Biotechnology) | (a | ) | 5,261 | 677,932 | ||||||||
NanoString Technologies, Inc. (Life Sciences Tools & Svs.) | (a | ) | 7,675 | 213,518 | ||||||||
Natera, Inc. (Biotechnology) | (a | ) | 20,770 | 699,741 | ||||||||
Neogen Corp. (Health Care Equip. & Supplies) | (a | ) | 6,358 | 414,923 | ||||||||
NeoGenomics, Inc. (Life Sciences Tools & Svs.) | (a | ) | 17,764 | 519,597 | ||||||||
Nevro Corp. (Health Care Equip. & Supplies) | (a | ) | 2,320 | 272,693 | ||||||||
NextGen Healthcare, Inc. (Health Care Technology) | (a | ) | 8,538 | 137,206 | ||||||||
NGM Biopharmaceuticals, Inc. (Pharmaceuticals) | (a | ) | 24,645 | 455,686 | ||||||||
Novocure Ltd. (Health Care Equip. & Supplies) | (a | ) | 22,208 | 1,871,468 | ||||||||
Omeros Corp. (Pharmaceuticals) | (a | ) | 9,141 | 128,797 | ||||||||
Omnicell, Inc. (Health Care Technology) | (a | ) | 23,327 | 1,906,282 | ||||||||
Pacira BioSciences, Inc. (Pharmaceuticals) | (a | ) | 17,685 | 801,130 | ||||||||
Patterson Cos., Inc. (Health Care Providers & Svs.) | 55,511 | 1,136,865 | ||||||||||
Pennant Group, Inc. / The (Health Care Providers & Svs.) | (a | ) | 3,217 | 106,386 | ||||||||
PetIQ, Inc. (Health Care Providers & Svs.) | (a | ) | 8,300 | 207,915 | ||||||||
Phibro Animal Health Corp. Class A (Pharmaceuticals) | 4,888 | 121,369 | ||||||||||
Phreesia, Inc. (Health Care Technology) | (a | ) | 27,947 | 744,508 | ||||||||
Portola Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 26,827 | 640,629 | ||||||||
Precision BioSciences, Inc. (Biotechnology) | (a | ) | 8,717 | 121,079 | ||||||||
Prestige Consumer Healthcare, Inc. (Pharmaceuticals) | (a | ) | 1,373 | 55,607 | ||||||||
Principia Biopharma, Inc. (Biotechnology) | (a | ) | 6,695 | 366,752 | ||||||||
PTC Therapeutics, Inc. (Biotechnology) | (a | ) | 8,159 | 391,877 | ||||||||
Puma Biotechnology, Inc. (Biotechnology) | (a | ) | 19,032 | 166,530 | ||||||||
Quotient Ltd. (Health Care Equip. & Supplies) | (a | ) | 74,941 | 712,689 | ||||||||
Ra Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 6,697 | 314,290 | ||||||||
Radius Health, Inc. (Biotechnology) | (a | ) | 13,550 | 273,168 | ||||||||
Reata Pharmaceuticals, Inc. Class A (Pharmaceuticals) | (a | ) | 2,137 | 436,867 | ||||||||
Recro Pharma, Inc. (Pharmaceuticals) | (a | ) | 3,321 | 60,874 | ||||||||
REGENXBIO, Inc. (Biotechnology) | (a | ) | 1,826 | 74,811 | ||||||||
Repligen Corp. (Life Sciences Tools & Svs.) | (a | ) | 6,515 | 602,637 | ||||||||
Retrophin, Inc. (Biotechnology) | (a | ) | 36,005 | 511,271 | ||||||||
Rigel Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 60,790 | 130,091 | ||||||||
Sage Therapeutics, Inc. (Biotechnology) | (a | ) | 361 | 26,061 | ||||||||
Sangamo Therapeutics, Inc. (Biotechnology) | (a | ) | 5,737 | 48,019 | ||||||||
Select Medical Holdings Corp. (Health Care Providers & Svs.) | (a | ) | 14,947 | 348,863 | ||||||||
Seres Therapeutics, Inc. (Biotechnology) | (a | ) | 22,788 | 78,619 | ||||||||
SI-BONE, Inc. (Health Care Equip. & Supplies) | (a | ) | 8,320 | 178,880 | ||||||||
Silk Road Medical, Inc. (Health Care Equip. & Supplies) | (a | ) | 9,097 | 367,337 | ||||||||
SmileDirectClub, Inc. (Health Care Equip. & Supplies) | (a | ) | 22,871 | 199,893 | ||||||||
Spectrum Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 13,585 | 49,449 | ||||||||
Stemline Therapeutics, Inc. (Biotechnology) | (a | ) | 6,478 | 68,861 | ||||||||
Supernus Pharmaceuticals, Inc. (Pharmaceuticals) | (a | ) | 23,504 | 557,515 | ||||||||
Syneos Health, Inc. (Life Sciences Tools & Svs.) | (a | ) | 8,401 | 499,649 | ||||||||
Tabula Rasa HealthCare, Inc. (Health Care Technology) | (a | ) | 3,179 | 154,754 |
Common Stocks (Continued) | Shares | Value | ||||||||||
HEALTH CARE (continued) |
| |||||||||||
Tactile Systems Technology, Inc. (Health Care Equip. & Supplies) | (a | ) | 3,864 | $ | 260,859 | |||||||
Tandem Diabetes Care, Inc. (Health Care Equip. & Supplies) | (a | ) | 10,523 | 627,276 | ||||||||
Teladoc Health, Inc. (Health Care Technology) | (a | ) | 15,453 | 1,293,725 | ||||||||
Tenet Healthcare Corp. (Health Care Providers & Svs.) | (a | ) | 11,235 | 427,267 | ||||||||
TherapeuticsMD, Inc. (Pharmaceuticals) | (a | ) | 28,331 | 68,561 | ||||||||
Theravance Biopharma, Inc. (Pharmaceuticals) | (a | ) | 6,507 | 168,466 | ||||||||
TransMedics Group, Inc. (Health Care Equip. & Supplies) | (a | ) | 6,958 | 132,272 | ||||||||
Tricida, Inc. (Pharmaceuticals) | (a | ) | 2,917 | 110,088 | ||||||||
Turning Point Therapeutics, Inc. (Biotechnology) | (a | ) | 4,223 | 263,051 | ||||||||
Twist Bioscience Corp. (Biotechnology) | (a | ) | 4,664 | 97,944 | ||||||||
U.S. Physical Therapy, Inc. (Health Care Providers & Svs.) | 9,002 | 1,029,379 | ||||||||||
Ultragenyx Pharmaceutical, Inc. (Biotechnology) | (a | ) | 18,172 | 776,126 | ||||||||
UNITY Biotechnology, Inc. (Biotechnology) | (a | ) | 7,381 | 53,217 | ||||||||
Vanda Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 15,755 | 258,540 | ||||||||
Veracyte, Inc. (Biotechnology) | (a | ) | 19,226 | 536,790 | ||||||||
Vocera Communications, Inc. (Health Care Technology) | (a | ) | 20,173 | 418,791 | ||||||||
Xencor, Inc. (Biotechnology) | (a | ) | 14,313 | 492,224 | ||||||||
|
| |||||||||||
62,452,051 | ||||||||||||
|
| |||||||||||
INDUSTRIALS – 18.0% | ||||||||||||
Advanced Drainage Systems, Inc. (Building Products) | 33,488 | 1,300,674 | ||||||||||
Aerojet Rocketdyne Holdings, Inc. (Aerospace & Defense) | (a | ) | 11,696 | 534,039 | ||||||||
Albany International Corp. Class A (Machinery) | 7,216 | 547,839 | ||||||||||
Apogee Enterprises, Inc. (Building Products) | 6,338 | 205,985 | ||||||||||
Applied Industrial Technologies, Inc. (Trading Companies & Distributors) | 16,923 | 1,128,595 | ||||||||||
ASGN, Inc. (Professional Svs.) | (a | ) | 18,427 | 1,307,764 | ||||||||
Atkore International Group, Inc. (Electrical Equip.) | (a | ) | 17,910 | 724,639 | ||||||||
Blue Bird Corp. (Machinery) | (a | ) | 25,254 | 578,822 | ||||||||
BMC Stock Holdings, Inc. (Trading Companies & Distributors) | (a | ) | 9,917 | 284,519 | ||||||||
Builders FirstSource, Inc. (Building Products) | (a | ) | 39,599 | 1,006,211 | ||||||||
Comfort Systems U.S.A., Inc. (Construction & Engineering) | 30,429 | 1,516,886 | ||||||||||
Continental Building Products, Inc. (Building Products) | (a | ) | 3,186 | 116,066 | ||||||||
Covenant Transportation Group, Inc. Class A (Road & Rail) | (a | ) | 6,504 | 84,064 | ||||||||
Dycom Industries, Inc. (Construction & Engineering) | (a | ) | 14,433 | 680,516 | ||||||||
EMCOR Group, Inc. (Construction & Engineering) | 8,570 | 739,591 | ||||||||||
ESCO Technologies, Inc. (Machinery) | 15,992 | 1,479,260 | ||||||||||
Evoqua Water Technologies Corp. (Machinery). | (a | ) | 61,504 | 1,165,501 | ||||||||
Federal Signal Corp. (Machinery) | 9,136 | 294,636 | ||||||||||
Forrester Research, Inc. (Professional Svs.) | 6,769 | 282,267 | ||||||||||
Foundation Building Materials, Inc. (Trading Companies & Distributors) | (a | ) | 41,737 | 807,611 | ||||||||
Franklin Covey Co. (Professional Svs.) | (a | ) | 297 | 9,572 | ||||||||
Generac Holdings, Inc. (Electrical Equip.) | (a | ) | 8,770 | 882,174 | ||||||||
GMS, Inc. (Trading Companies & Distributors) . | (a | ) | 4,350 | 117,798 | ||||||||
H&E Equipment Services, Inc. (Trading Companies & Distributors) | 8,101 | 270,816 | ||||||||||
Harsco Corp. (Machinery) | (a | ) | 6,107 | 140,522 | ||||||||
Healthcare Services Group, Inc. (Commercial Svs. & Supplies) | 21,742 | 528,765 |
86 | (continued) |
Ohio National Fund, Inc. | ON BlackRock Advantage Small Cap Growth Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Common Stocks (Continued) | Shares | Value | ||||||||||
INDUSTRIALS (continued) |
| |||||||||||
Herc Holdings, Inc. (Trading Companies & Distributors) | (a | ) | 1,775 | $ | 86,869 | |||||||
Hillenbrand, Inc. (Machinery) | 29,317 | 976,549 | ||||||||||
Hub Group, Inc. Class A (Air Freight & Logistics) | (a | ) | 1,237 | 63,446 | ||||||||
Insperity, Inc. (Professional Svs.) | 22,561 | 1,941,148 | ||||||||||
John Bean Technologies Corp. (Machinery) | 7,998 | 901,055 | ||||||||||
Kforce, Inc. (Professional Svs.) | 20,786 | 825,204 | ||||||||||
Landstar System, Inc. (Road & Rail) | 4,643 | 528,698 | ||||||||||
Marten Transport Ltd. (Road & Rail) | 45,145 | 970,166 | ||||||||||
MasTec, Inc. (Construction & Engineering) | (a | ) | 15,807 | 1,014,177 | ||||||||
McGrath RentCorp (Commercial Svs. & Supplies) | 14,679 | 1,123,531 | ||||||||||
Mercury Systems, Inc. (Aerospace & Defense) | (a | ) | 8,842 | 611,071 | ||||||||
Meritor, Inc. (Machinery) | (a | ) | 3,839 | 100,543 | ||||||||
Miller Industries, Inc. (Machinery) | 4,975 | 184,722 | ||||||||||
Mobile Mini, Inc. (Commercial Svs. & Supplies) | 19,952 | 756,380 | ||||||||||
MYR Group, Inc. (Construction & Engineering) | (a | ) | 3,819 | 124,461 | ||||||||
Navistar International Corp. (Machinery) | (a | ) | 8,260 | 239,044 | ||||||||
Parsons Corp. (Aerospace & Defense) | (a | ) | 5,376 | 221,921 | ||||||||
Radiant Logistics, Inc. (Air Freight & Logistics) | (a | ) | 10,231 | 56,987 | ||||||||
RBC Bearings, Inc. (Machinery) | (a | ) | 911 | 144,248 | ||||||||
Rexnord Corp. (Machinery) | (a | ) | 9,238 | 301,344 | ||||||||
Rush Enterprises, Inc. Class A (Trading Companies & Distributors) | 10,356 | 481,554 | ||||||||||
Saia, Inc. (Road & Rail) | (a | ) | 2,211 | 205,888 | ||||||||
SiteOne Landscape Supply, Inc. (Trading Companies & Distributors) | (a | ) | 3,325 | 301,411 | ||||||||
SkyWest, Inc. (Airlines) | 4,659 | 301,111 | ||||||||||
Spirit Airlines, Inc. (Airlines) | (a | ) | 4,147 | 167,166 | ||||||||
Steelcase, Inc. Class A (Commercial Svs. & Supplies) | 41,726 | 853,714 | ||||||||||
Sunrun, Inc. (Electrical Equip.) | (a | ) | 16,451 | 227,188 | ||||||||
Tetra Tech, Inc. (Commercial Svs. & Supplies) | 17,521 | 1,509,609 | ||||||||||
Trex Co., Inc. (Building Products) | (a | ) | 12,012 | 1,079,639 | ||||||||
TriNet Group, Inc. (Professional Svs.) | (a | ) | 20,132 | 1,139,673 | ||||||||
Triumph Group, Inc. (Aerospace & Defense) | 2,920 | 73,788 | ||||||||||
Universal Forest Products, Inc. (Building Products) | 7,051 | 336,333 | ||||||||||
Universal Logistics Holdings, Inc. (Road & Rail) | 1,593 | 30,203 | ||||||||||
Viad Corp. (Commercial Svs. & Supplies) | 16,563 | 1,118,003 | ||||||||||
Wabash National Corp. (Machinery) | 6,850 | 100,627 | ||||||||||
Watts Water Technologies, Inc. Class A (Machinery) | 4,624 | 461,290 | ||||||||||
Woodward, Inc. (Machinery) | 4,661 | 552,049 | ||||||||||
|
| |||||||||||
36,845,942 | ||||||||||||
|
| |||||||||||
INFORMATION TECHNOLOGY – 17.6% |
| |||||||||||
2U, Inc. (Software) | (a | ) | 6,390 | 153,296 | ||||||||
Advanced Energy Industries, Inc. (Semiconductors & Equip.) | (a | ) | 25,762 | 1,834,254 | ||||||||
Alarm.com Holdings, Inc. (Software) | (a | ) | 14,364 | 617,221 | ||||||||
Ambarella, Inc. (Semiconductors & Equip.) | (a | ) | 28,145 | 1,704,461 | ||||||||
Appfolio, Inc. Class A (Software) | (a | ) | 4,193 | 461,020 | ||||||||
Avalara, Inc. (Software) | (a | ) | 571 | 41,826 | ||||||||
Benefitfocus, Inc. (Software) | (a | ) | 92,674 | 2,033,268 | ||||||||
Bill.Com Holdings, Inc. (Software) | (a | ) | 1,263 | 48,057 | ||||||||
Blackline, Inc. (Software) | (a | ) | 4,928 | 254,088 | ||||||||
Bottomline Technologies DE, Inc. (Software) | (a | ) | 23,035 | 1,234,676 | ||||||||
Box, Inc. Class A (Software) | (a | ) | 27,812 | 466,685 | ||||||||
Brooks Automation, Inc. (Semiconductors & Equip.) | 5,115 | 214,625 | ||||||||||
Calix, Inc. (Communications Equip.) | (a | ) | 6,233 | 49,864 | ||||||||
Ciena Corp. (Communications Equip.) | (a | ) | 11,330 | 483,678 | ||||||||
Cirrus Logic, Inc. (Semiconductors & Equip.) | (a | ) | 20,342 | 1,676,384 | ||||||||
Cloudflare, Inc. Class A (Software) | (a | ) | 3,044 | 51,931 | ||||||||
CommVault Systems, Inc. (Software) | (a | ) | 29,119 | 1,299,872 | ||||||||
Cornerstone OnDemand, Inc. (Software) | (a | ) | 26,488 | 1,550,872 |
Common Stocks (Continued) | Shares | Value | ||||||||||
INFORMATION TECHNOLOGY (continued) |
| |||||||||||
CSG Systems International, Inc. (IT Svs.) | 33,527 | $ | 1,736,028 | |||||||||
Endurance International Group Holdings, Inc. (IT Svs.) | (a | ) | 25,718 | 120,875 | ||||||||
Envestnet, Inc. (Software) | (a | ) | 2,090 | 145,527 | ||||||||
ePlus, Inc. (Electronic Equip., Instr. & Comp.) | (a | ) | 5,157 | 434,684 | ||||||||
Five9, Inc. (Software) | (a | ) | 10,186 | 667,998 | ||||||||
FormFactor, Inc. (Semiconductors & Equip.) | (a | ) | 11,096 | 288,163 | ||||||||
Hackett Group, Inc. / The (IT Svs.) | 8,456 | 136,480 | ||||||||||
Inphi Corp. (Semiconductors & Equip.) | (a | ) | 6,897 | 510,516 | ||||||||
Insight Enterprises, Inc. (Electronic Equip., Instr. & Comp.) | (a | ) | 4,935 | 346,881 | ||||||||
International Money Express, Inc. (IT Svs.) | (a | ) | 18,136 | 218,358 | ||||||||
j2 Global, Inc. (Software) | 7,361 | 689,799 | ||||||||||
ManTech International Corp. Class A (IT Svs.) | 7,747 | 618,830 | ||||||||||
MAXIMUS, Inc. (IT Svs.) | 2,737 | 203,605 | ||||||||||
Model N, Inc. (Software) | (a | ) | 22,938 | 804,436 | ||||||||
OSI Systems, Inc. (Electronic Equip., Instr. & Comp.) | (a | ) | 18,916 | 1,905,598 | ||||||||
Paylocity Holding Corp. (Software) | (a | ) | 8,561 | 1,034,340 | ||||||||
PC Connection, Inc. (Electronic Equip., Instr. & Comp.) | 10,698 | 531,263 | ||||||||||
Perficient, Inc. (IT Svs.) | (a | ) | 1,773 | 81,682 | ||||||||
Power Integrations, Inc. (Semiconductors & Equip.) | 10,218 | 1,010,662 | ||||||||||
Progress Software Corp. (Software) | 7,862 | 326,666 | ||||||||||
PROS Holdings, Inc. (Software) | (a | ) | 7,486 | 448,561 | ||||||||
Q2 Holdings, Inc. (Software) | (a | ) | 9,277 | 752,179 | ||||||||
Qualys, Inc. (Software) | (a | ) | 3,308 | 275,788 | ||||||||
Radware Ltd. (Communications Equip.) | (a | ) | 5,120 | 131,994 | ||||||||
Rapid7, Inc. (Software) | (a | ) | 29,154 | 1,633,207 | ||||||||
RingCentral, Inc. Class A (Software) | (a | ) | 6,150 | 1,037,321 | ||||||||
Science Applications International Corp. (IT Svs.) | 4,260 | 370,705 | ||||||||||
Semtech Corp. (Semiconductors & Equip.) | (a | ) | 1,320 | 69,828 | ||||||||
Silicon Laboratories, Inc. (Semiconductors & Equip.) | (a | ) | 2,914 | 337,966 | ||||||||
Silicon Motion Technology Corp. – ADR (Semiconductors & Equip.) | 1,921 | 97,414 | ||||||||||
SPS Commerce, Inc. (Software) | (a | ) | 36,253 | 2,009,141 | ||||||||
SVMK, Inc. (Software) | (a | ) | 16,236 | 290,137 | ||||||||
TESSCO Technologies, Inc. (Communications Equip.) | 4,987 | 55,954 | ||||||||||
Tower Semiconductor Ltd. (Semiconductors & Equip.) | (a | ) | 33,370 | 802,882 | ||||||||
Virtusa Corp. (IT Svs.) | (a | ) | 6,463 | 292,968 | ||||||||
WNS Holdings Ltd. – ADR (IT Svs.) | (a | ) | 11,349 | 750,736 | ||||||||
Yext, Inc. (Software) | (a | ) | 56,073 | 808,573 | ||||||||
|
| |||||||||||
36,153,823 | ||||||||||||
|
| |||||||||||
MATERIALS – 3.1% |
| |||||||||||
Boise Cascade Co. (Paper & Forest Products) | 25,760 | 941,013 | ||||||||||
Compass Minerals International, Inc. (Metals & Mining) | 2,101 | 128,077 | ||||||||||
Ingevity Corp. (Chemicals) | (a | ) | 7,809 | 682,350 | ||||||||
Innospec, Inc. (Chemicals) | 6,531 | 675,567 | ||||||||||
Materion Corp. (Metals & Mining) | 12,749 | 757,928 | ||||||||||
PolyOne Corp. (Chemicals) | 52,405 | 1,927,980 | ||||||||||
Silgan Holdings, Inc. (Containers & Packaging) | 12,779 | 397,171 | ||||||||||
Summit Materials, Inc. Class A (Construction Materials) | (a | ) | 14,621 | 349,442 | ||||||||
Venator Materials PLC (Chemicals) | (a | ) | 146,203 | 559,958 | ||||||||
|
| |||||||||||
6,419,486 | ||||||||||||
|
| |||||||||||
REAL ESTATE – 5.3% |
| |||||||||||
EastGroup Properties, Inc. (Equity REIT) | 11,760 | 1,560,199 | ||||||||||
First Industrial Realty Trust, Inc. (Equity REIT) | 38,591 | 1,601,912 | ||||||||||
Four Corners Property Trust, Inc. (Equity REIT) | 13,173 | 371,347 | ||||||||||
Hersha Hospitality Trust (Equity REIT) | 7,640 | 111,162 | ||||||||||
National Storage Affiliates Trust (Equity REIT) | 4,676 | 157,207 | ||||||||||
NexPoint Residential Trust, Inc. (Equity REIT) | 34,007 | 1,530,315 |
87 | (continued) |
Ohio National Fund, Inc. | ON BlackRock Advantage Small Cap Growth Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Common Stocks (Continued) | Shares | Value | ||||||||||
REAL ESTATE (continued) |
| |||||||||||
Plymouth Industrial REIT, Inc. (Equity REIT) | 12,071 | $ | 221,986 | |||||||||
QTS Realty Trust, Inc. Class A (Equity REIT) | 32,543 | 1,766,109 | ||||||||||
RLJ Lodging Trust (Equity REIT) | 20,841 | 369,303 | ||||||||||
RMR Group, Inc. / The Class A (Real Estate Mgmt. & Development) | 8,260 | 376,986 | ||||||||||
Ryman Hospitality Properties, Inc. (Equity REIT) | 22,723 | 1,969,175 | ||||||||||
Summit Hotel Properties, Inc. (Equity REIT) | 67,375 | 831,407 | ||||||||||
|
| |||||||||||
10,867,108 | ||||||||||||
|
| |||||||||||
UTILITIES – 0.6% | ||||||||||||
American States Water Co. (Water Utilities) | 7,547 | 653,872 | ||||||||||
New Jersey Resources Corp. (Gas Utilities) | 10,813 | 481,936 | ||||||||||
PNM Resources, Inc. (Electric Utilities) | 1,079 | 54,716 | ||||||||||
|
| |||||||||||
1,190,524 | ||||||||||||
|
| |||||||||||
Total Common Stocks | $ | 203,154,709 | ||||||||||
|
|
Rights – 0.0% | Quantity | Value | ||||||||||
HEALTH CARE – 0.0% |
| |||||||||||
Alder BioPharmaceuticals, Inc. CVR (Pharmaceuticals) | 14,631 | $ | 12,876 | |||||||||
|
| |||||||||||
Total Rights (Cost $12,875) | $ | 12,876 | ||||||||||
|
| |||||||||||
Money Market Funds – 1.5% | Shares | Value | ||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class, 1.734% | (b | ) | 3,073,096 | $ | 3,073,403 | |||||||
|
| |||||||||||
Total Money Market Funds | $ | 3,073,403 | ||||||||||
|
| |||||||||||
Total Investments – 100.7% | (c | ) | $ | 206,240,988 | ||||||||
Liabilities in Excess of Other Assets – (0.7)% | (d | ) | (1,392,867 | ) | ||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 204,848,121 | ||||||||||
|
|
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depositary Receipts
Footnotes:
(a) | Non-income producing security. |
(b) | Rate represents theseven-day yield at December 31, 2019. |
(c) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
(d) | Includes $117,000 of cash pledged as collateral for the futures contracts outstanding at December 31, 2019. See also the following Schedule of Open Futures Contracts. |
The accompanying notes are an integral part of these financial statements.
Schedule of Open Futures Contracts | December 31, 2019 |
Unrealized | Variation Margin | |||||||||||||||||||||||||||||
Number of | Notional | Appreciation | Receivable | |||||||||||||||||||||||||||
Description | contracts | Expiration Date | Amount | Value | (Depreciation) | (Payable) | ||||||||||||||||||||||||
CMEE-mini Russell 2000 Index - Long | 39 | March 20, 2020 | $ | 3,229,798 | $ | 3,257,670 | $ | 27,872 | $ | 3,127 |
The accompanying notes are an integral part of these financial statements.
88
Ohio National Fund, Inc. | ON S&P MidCap 400® Index Portfolio (Unaudited) |
Objective/Strategy |
The ON 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 net assets in the securities included in the S&P MidCap 400® Index.
Performance as of December 31, 2019 |
Average Annual returns | ||||
One year | 25.58% | |||
Five years | 6.35% | |||
Ten years | 10.49% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free1-877-781-6392.
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 0.51% per the Fund’s prospectus dated November 22, 2019. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2019 can be found in the Portfolio’s Financial Highlights.
Comments from Sub-Adviser |
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A.For the year ended December 31, 2019, the Portfolio returned 25.58% versus 26.20% 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 during the year that materially impacted the Portfolio’s relative return. Sources of return variance were related to the cumulative impact of investing theday-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 security 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)
All but one of eleven sectors in the benchmark produced positive returns in 2019. Information Technology led the way, returning 42.7% for the period. Industrials & Financials returned 33.1% and 25.6%, respectively. Energy was the only sector in the benchmark without a positive return, falling 13.0%.(1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A.Because the Portfolio weights its holdings to be similar to those utilized by the benchmark index, there were no holdings that significantly contributed to or detracted from the Portfolio’s benchmark-relative performance.(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 manageday-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 the Portfolio’s net assets.(1)
Q. Were there any significant changes to the Portfolio’s management team, investment strategy, or security selection process during the reporting period?
A.Over the course of 2019, the Portfolio’s management team experienced an unusually high amount of personnel changes for varied reasons including retirement, relocation due to family reasons, and pursuit of other opportunities. Departures have been replaced, in all cases, with portfolio managers who exceed the previous team member’s industry experience, and the changes have resulted in no increase or decrease in total team members dedicated to the Portfolio. Geode Capital Management LLC’s (“Geode”) investment management philosophy utilizes a team-based approach that follows a disciplined and repeatable investment process, seeking to limit dependency on any single investment professional, and, in the case of a team member’s departure, is less disruptive to the execution of the investment process.
Additionally, in December, Geode added a new position to the team with the hire of Diane Hsiung as CIO – Index and ETF Strategies. In this newly created role, Ms. Hsiung, is responsible for the overall development and implementation of the firm’s Index strategies, and providing oversight and management of team members, while driving strategic initiatives to scale operational processes and manage portfolio risks. Geode believes the management team is well-positioned going forward.
There were no material changes to the investment strategy or stock selection process during the period.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2019. |
89 | (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 themid-range of the U.S. stock market. The index presented includes the effects of reinvested dividends.
Past performance is no guarantee of future results. Redemption of fund shares could have tax implications unique to each shareholder.
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 December 31, 2019(1) |
% of Net Assets | ||||
Common Stocks(4) | 99.3 | |||
U.S. Treasury Obligations | 0.0 | |||
Money Market Funds and Other Net Assets | 0.7 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31, |
% of Net Assets | ||||||
1. | Teledyne Technologies, Inc. | 0.7 | ||||
2. | Domino’s Pizza, Inc. | 0.6 | ||||
3. | Tyler Technologies, Inc. | 0.6 | ||||
4. | Alleghany Corp. | 0.6 | ||||
5. | Teradyne, Inc. | 0.6 | ||||
6. | West Pharmaceutical Services, Inc. | 0.6 | ||||
7. | Medical Properties Trust, Inc. | 0.6 | ||||
8. | Fair Isaac Corp. | 0.6 | ||||
9. | Trimble, Inc. | 0.6 | ||||
10. | Camden Property Trust | 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 | |||
Industrials | 15.5 | |||
Information Technology | 15.5 | |||
Consumer Discretionary | 13.5 | |||
Real Estate | 11.2 | |||
Health Care | 9.7 | |||
Materials | 6.0 | |||
Utilities | 4.5 | |||
Consumer Staples | 2.9 | |||
Energy | 2.1 | |||
Communication Services | 1.9 | |||
|
| |||
99.3 | ||||
|
|
90
Ohio National Fund, Inc. | ON S&P MidCap 400®Index Portfolio |
Schedule of Investments | December 31, 2019 |
Common Stocks – 99.3% | Shares | Value | ||||||||
COMMUNICATION SERVICES – 1.9% | ||||||||||
AMC Networks, Inc. Class A (Media) | (a) | 10,825 | $ | 427,587 | ||||||
Cable One, Inc. (Media) | 1,232 | 1,833,795 | ||||||||
Cinemark Holdings, Inc. (Entertainment) | 26,125 | 884,331 | ||||||||
John Wiley & Sons, Inc. Class A (Media) | 10,715 | 519,892 | ||||||||
Meredith Corp. (Media) | 9,850 | 319,830 | ||||||||
New York Times Co. / The Class A (Media) | 35,229 | 1,133,317 | ||||||||
TEGNA, Inc. (Media) | 53,155 | 887,157 | ||||||||
Telephone & Data Systems, Inc. (Wireless Telecom. Svs.) | 23,966 | 609,455 | ||||||||
TripAdvisor, Inc. (Interactive Media & Svs.) | 25,750 | 782,285 | ||||||||
World Wrestling Entertainment, Inc. Class A (Entertainment) | 11,630 | 754,438 | ||||||||
Yelp, Inc. (Interactive Media & Svs.) | (a) | 15,640 | 544,741 | |||||||
|
| |||||||||
8,696,828 | ||||||||||
|
| |||||||||
CONSUMER DISCRETIONARY – 13.5% | ||||||||||
Aaron’s, Inc. (Specialty Retail) | 16,436 | 938,660 | ||||||||
Adient PLC (Auto Components) | (a) | 21,332 | 453,305 | |||||||
Adtalem Global Education, Inc. (Diversified Consumer Svs.) | (a) | 13,232 | 462,723 | |||||||
American Eagle Outfitters, Inc. (Specialty Retail) | 38,922 | 572,153 | ||||||||
AutoNation, Inc. (Specialty Retail) | (a) | 14,430 | 701,731 | |||||||
Bed Bath & Beyond, Inc. (Specialty Retail) | 31,092 | 537,892 | ||||||||
Boyd Gaming Corp. (Hotels, Restaurants & Leisure) | 19,614 | 587,243 | ||||||||
Brinker International, Inc. (Hotels, Restaurants & Leisure) | 9,125 | 383,250 | ||||||||
Brunswick Corp. (Leisure Products) | 19,991 | 1,199,060 | ||||||||
Caesars Entertainment Corp. (Hotels, Restaurants & Leisure) | (a) | 136,781 | 1,860,222 | |||||||
Carter’s, Inc. (Textiles, Apparel & Luxury Goods) | 10,819 | 1,182,950 | ||||||||
Cheesecake Factory, Inc. / The (Hotels, Restaurants & Leisure) | 10,067 | 391,204 | ||||||||
Choice Hotels International, Inc. (Hotels, Restaurants & Leisure) | 7,785 | 805,203 | ||||||||
Churchill Downs, Inc. (Hotels, Restaurants & Leisure) | 8,692 | 1,192,542 | ||||||||
Columbia Sportswear Co. (Textiles, Apparel & Luxury Goods) | 7,116 | 712,952 | ||||||||
Cracker Barrel Old Country Store, Inc. (Hotels, Restaurants & Leisure) | 5,896 | 906,451 | ||||||||
Dana, Inc. (Auto Components) | 35,272 | 641,950 | ||||||||
Deckers Outdoor Corp. (Textiles, Apparel & Luxury Goods) | (a) | 6,856 | 1,157,704 | |||||||
Delphi Technologies PLC (Auto Components) | (a) | 21,161 | 271,496 | |||||||
Dick’s Sporting Goods, Inc. (Specialty Retail) | 15,586 | 771,351 | ||||||||
Dillard’s, Inc. Class A (Multiline Retail) | 2,416 | 177,528 | ||||||||
Domino’s Pizza, Inc. (Hotels, Restaurants & Leisure) | 10,023 | 2,944,557 | ||||||||
Dunkin’ Brands Group, Inc. (Hotels, Restaurants & Leisure) | 20,302 | 1,533,613 | ||||||||
Eldorado Resorts, Inc. (Hotels, Restaurants & Leisure) | (a) | 16,009 | 954,777 | |||||||
Etsy, Inc. (Internet & Direct Marketing Retail) | (a) | 29,038 | 1,286,383 | |||||||
Five Below, Inc. (Specialty Retail) | (a) | 13,643 | 1,744,394 | |||||||
Foot Locker, Inc. (Specialty Retail) | 26,231 | 1,022,747 | ||||||||
Gentex Corp. (Auto Components) | 61,957 | 1,795,514 | ||||||||
Goodyear Tire & Rubber Co. / The (Auto Components) | 56,995 | 886,557 | ||||||||
Graham Holdings Co. Class B (Diversified Consumer Svs.) | 1,066 | 681,163 | ||||||||
Grand Canyon Education, Inc. (Diversified Consumer Svs.) | (a) | 11,818 | 1,132,046 | |||||||
Grubhub, Inc. (Internet & Direct Marketing Retail) | (a) | 22,411 | 1,090,071 | |||||||
Helen of Troy Ltd. (Household Durables) | (a) | 6,167 | 1,108,765 |
Common Stocks (Continued) | Shares | Value | ||||||||
CONSUMER DISCRETIONARY (continued) |
| |||||||||
Jack in the Box, Inc. (Hotels, Restaurants & Leisure) | 5,796 | $ | 452,262 | |||||||
KB Home (Household Durables) | 20,996 | 719,533 | ||||||||
Lear Corp. (Auto Components) | 13,486 | 1,850,279 | ||||||||
Marriott Vacations Worldwide Corp. (Hotels, Restaurants & Leisure) | 9,170 | 1,180,729 | ||||||||
Mattel, Inc. (Leisure Products) | (a) | 84,968 | 1,151,316 | |||||||
Murphy U.S.A., Inc. (Specialty Retail) | (a) | 7,086 | 829,062 | |||||||
Ollie’s Bargain Outlet Holdings, Inc. (Multiline Retail) | (a) | 13,402 | 875,285 | |||||||
Papa John’s International, Inc. (Hotels, Restaurants & Leisure) | 5,402 | 341,136 | ||||||||
Penn National Gaming, Inc. (Hotels, Restaurants & Leisure) | (a) | 26,701 | 682,478 | |||||||
Polaris, Inc. (Leisure Products) | 14,092 | 1,433,156 | ||||||||
Pool Corp. (Distributors) | 9,812 | 2,083,873 | ||||||||
RH (Specialty Retail) | (a) | 4,150 | 886,025 | |||||||
Sally Beauty Holdings, Inc. (Specialty Retail) | (a) | 28,508 | 520,271 | |||||||
Scientific Games Corp. (Hotels, Restaurants & Leisure) | (a) | 13,257 | 355,022 | |||||||
Service Corp. International (Diversified Consumer Svs.) | 44,794 | 2,061,868 | ||||||||
Six Flags Entertainment Corp. (Hotels, Restaurants & Leisure) | 19,264 | 868,999 | ||||||||
Skechers U.S.A., Inc. Class A (Textiles, Apparel & Luxury Goods) | (a) | 32,818 | 1,417,409 | |||||||
Tempur Sealy International, Inc. (Household Durables) | (a) | 11,135 | 969,413 | |||||||
Texas Roadhouse, Inc. (Hotels, Restaurants & Leisure) | 16,003 | 901,289 | ||||||||
Thor Industries, Inc. (Automobiles) | 13,528 | 1,004,995 | ||||||||
Toll Brothers, Inc. (Household Durables) | 31,662 | 1,250,966 | ||||||||
TRI Pointe Group, Inc. (Household Durables) | (a) | 34,124 | 531,652 | |||||||
Urban Outfitters, Inc. (Specialty Retail) | (a) | 17,287 | 480,060 | |||||||
Visteon Corp. (Auto Components) | (a) | 6,853 | 593,401 | |||||||
W.W. International, Inc. (Diversified Consumer Svs.) | (a) | 11,384 | 434,983 | |||||||
Wendy’s Co. / The (Hotels, Restaurants & Leisure) | 45,102 | 1,001,715 | ||||||||
Williams-Sonoma, Inc. (Specialty Retail) | 19,020 | 1,396,829 | ||||||||
Wyndham Destinations, Inc. (Hotels, Restaurants & Leisure) | 22,228 | 1,148,965 | ||||||||
Wyndham Hotels & Resorts, Inc. (Hotels, Restaurants & Leisure) | 23,322 | 1,464,855 | ||||||||
|
| |||||||||
60,975,983 | ||||||||||
|
| |||||||||
CONSUMER STAPLES – 2.9% | ||||||||||
BJ’s Wholesale Club Holdings, Inc. (Food & Staples Retailing) | (a) | 29,939 | 680,813 | |||||||
Boston Beer Co., Inc. / The Class A (Beverages) | (a) | 2,259 | 853,563 | |||||||
Casey’s General Stores, Inc. (Food & Staples Retailing) | 9,014 | 1,433,136 | ||||||||
Edgewell Personal Care Co. (Personal Products) | (a) | 13,284 | 411,273 | |||||||
Energizer Holdings, Inc. (Household Products) . | 15,766 | 791,769 | ||||||||
Flowers Foods, Inc. (Food Products) | 47,169 | 1,025,454 | ||||||||
Hain Celestial Group, Inc. / The (Food Products) | (a) | 19,688 | 511,002 | |||||||
Ingredion, Inc. (Food Products) | 16,361 | 1,520,755 | ||||||||
Lancaster Colony Corp. (Food Products) | 4,849 | 776,325 | ||||||||
Nu Skin Enterprises, Inc. Class A (Personal Products) | 13,613 | 557,861 | ||||||||
Pilgrim’s Pride Corp. (Food Products) | (a) | 12,844 | 420,191 | |||||||
Post Holdings, Inc. (Food Products) | (a) | 16,288 | 1,777,021 | |||||||
Sanderson Farms, Inc. (Food Products) | 4,832 | 851,495 | ||||||||
Sprouts Farmers Market, Inc. (Food & Staples Retailing) | (a) | 28,950 | 560,182 |
91 | (continued) |
Ohio National Fund, Inc. | ON S&P MidCap 400® Index Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Common Stocks (Continued) | Shares | Value | ||||||||
CONSUMER STAPLES (continued) |
| |||||||||
Tootsie Roll Industries, Inc. (Food Products) | 4,129 | $ | 140,964 | |||||||
TreeHouse Foods, Inc. (Food Products) | (a) | 13,775 | 668,087 | |||||||
|
| |||||||||
12,979,891 | ||||||||||
|
| |||||||||
ENERGY – 2.1% | ||||||||||
Antero Midstream Corp. (Oil, Gas & Consumable Fuels) | 72,746 | 552,142 | ||||||||
Apergy Corp. (Energy Equip. & Svs.) | (a) | 18,982 | 641,212 | |||||||
Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels) | (a) | 287,327 | 237,217 | |||||||
CNX Resources Corp. (Oil, Gas & Consumable Fuels) | (a) | 45,607 | 403,622 | |||||||
Core Laboratories N.V. (Energy Equip. & Svs.) | 10,874 | 409,624 | ||||||||
EQT Corp. (Oil, Gas & Consumable Fuels) | 62,647 | 682,852 | ||||||||
Equitrans Midstream Corp. (Oil, Gas & Consumable Fuels) | 49,944 | 667,252 | ||||||||
Matador Resources Co. (Oil, Gas & Consumable Fuels) | (a) | 26,923 | 483,806 | |||||||
Murphy Oil Corp. (Oil, Gas & Consumable Fuels) | 36,606 | 981,041 | ||||||||
Patterson-UTI Energy, Inc. (Energy Equip. & Svs.) | 47,673 | 500,566 | ||||||||
PBF Energy, Inc. Class A (Oil, Gas & Consumable Fuels) | 24,964 | 783,121 | ||||||||
Transocean Ltd. (Energy Equip. & Svs.) | (a) | 140,942 | 969,681 | |||||||
World Fuel Services Corp. (Oil, Gas & Consumable Fuels) | 16,026 | 695,849 | ||||||||
WPX Energy, Inc. (Oil, Gas & Consumable Fuels) | (a) | 102,128 | 1,403,239 | |||||||
|
| |||||||||
9,411,224 | ||||||||||
|
| |||||||||
FINANCIALS – 16.5% | ||||||||||
Affiliated Managers Group, Inc. (Capital Markets) | 12,074 | 1,023,151 | ||||||||
Alleghany Corp. (Insurance) | (a) | 3,527 | 2,820,083 | |||||||
American Financial Group, Inc. (Insurance) | 18,342 | 2,011,200 | ||||||||
Associated Banc-Corp. (Banks) | 39,045 | 860,552 | ||||||||
BancorpSouth Bank (Banks) | 23,511 | 738,481 | ||||||||
Bank of Hawaii Corp. (Banks) | 9,884 | 940,561 | ||||||||
Bank OZK (Banks) | 29,623 | 903,650 | ||||||||
Brighthouse Financial, Inc. (Insurance) | (a) | 26,776 | 1,050,422 | |||||||
Brown & Brown, Inc. (Insurance) | 57,308 | 2,262,520 | ||||||||
Cathay General Bancorp (Banks) | 18,554 | 705,980 | ||||||||
CNO Financial Group, Inc. (Insurance) | 37,036 | 671,463 | ||||||||
Commerce Bancshares, Inc. (Banks) | 25,413 | 1,726,559 | ||||||||
Cullen / Frost Bankers, Inc. (Banks) | 13,951 | 1,364,129 | ||||||||
East West Bancorp, Inc. (Banks) | 35,686 | 1,737,908 | ||||||||
Eaton Vance Corp. (Capital Markets) | 27,726 | 1,294,527 | ||||||||
Evercore, Inc. Class A (Capital Markets) | 9,578 | 716,051 | ||||||||
FactSet Research Systems, Inc. (Capital Markets) | 9,299 | 2,494,922 | ||||||||
Federated Investors, Inc. Class B (Capital Markets) | 23,544 | 767,299 | ||||||||
First American Financial Corp. (Insurance) | 27,530 | 1,605,550 | ||||||||
First Financial Bankshares, Inc. (Banks) | 33,289 | 1,168,444 | ||||||||
First Horizon National Corp. (Banks) | 76,258 | 1,262,833 | ||||||||
FirstCash, Inc. (Consumer Finance) | 10,454 | 842,906 | ||||||||
FNB Corp. (Banks) | 79,622 | 1,011,199 | ||||||||
Fulton Financial Corp. (Banks) | 40,216 | 700,965 | ||||||||
Genworth Financial, Inc. Class A (Insurance) | (a) | 123,343 | 542,709 | |||||||
Green Dot Corp. Class A (Consumer Finance) | (a) | 11,581 | 269,837 | |||||||
Hancock Whitney Corp. (Banks) | 21,371 | 937,759 | ||||||||
Hanover Insurance Group, Inc. / The (Insurance) | 9,653 | 1,319,276 | ||||||||
Home BancShares, Inc. (Banks) | 38,048 | 748,024 | ||||||||
Interactive Brokers Group, Inc. Class A (Capital Markets) | 18,808 | 876,829 | ||||||||
International Bancshares Corp. (Banks) | 14,058 | 605,478 | ||||||||
Janus Henderson Group PLC (Capital Markets). | 38,135 | 932,401 |
Common Stocks (Continued) | Shares | Value | ||||||||
FINANCIALS (continued) |
| |||||||||
Jefferies Financial Group, Inc. (Diversified Financial Svs.) | 61,730 | $ | 1,319,170 | |||||||
Kemper Corp. (Insurance) | 15,353 | 1,189,858 | ||||||||
Legg Mason, Inc. (Capital Markets) | 19,996 | 718,056 | ||||||||
LendingTree, Inc. (Thrifts & Mortgage Finance) | (a) | 1,880 | 570,467 | |||||||
Mercury General Corp. (Insurance) | 6,659 | 324,493 | ||||||||
Navient Corp. (Consumer Finance) | 47,673 | 652,167 | ||||||||
New York Community Bancorp, Inc. (Thrifts & Mortgage Finance) | 114,533 | 1,376,687 | ||||||||
Old Republic International Corp. (Insurance) | 69,930 | 1,564,334 | ||||||||
PacWest Bancorp (Banks) | 29,364 | 1,123,760 | ||||||||
Pinnacle Financial Partners, Inc. (Banks) | 17,647 | 1,129,408 | ||||||||
Primerica, Inc. (Insurance) | 10,136 | 1,323,356 | ||||||||
Prosperity Bancshares, Inc. (Banks) | 23,134 | 1,663,103 | ||||||||
Reinsurance Group of America, Inc. (Insurance) | 15,344 | 2,501,993 | ||||||||
RenaissanceRe Holdings Ltd. (Insurance) | 10,823 | 2,121,524 | ||||||||
RLI Corp. (Insurance) | 9,779 | 880,306 | ||||||||
SEI Investments Co. (Capital Markets) | 30,950 | 2,026,606 | ||||||||
Selective Insurance Group, Inc. (Insurance) | 14,557 | 948,971 | ||||||||
Signature Bank (Banks) | 13,231 | 1,807,487 | ||||||||
SLM Corp. (Consumer Finance) | 103,464 | 921,864 | ||||||||
Sterling Bancorp (Banks) | 49,511 | 1,043,692 | ||||||||
Stifel Financial Corp. (Capital Markets) | 16,756 | 1,016,251 | ||||||||
Synovus Financial Corp. (Banks) | 35,911 | 1,407,711 | ||||||||
TCF Financial Corp. (Banks) | 37,593 | 1,759,352 | ||||||||
Texas Capital Bancshares, Inc. (Banks) | (a) | 12,331 | 700,031 | |||||||
Trustmark Corp. (Banks) | 15,755 | 543,705 | ||||||||
UMB Financial Corp. (Banks) | 10,585 | 726,554 | ||||||||
Umpqua Holdings Corp. (Banks) | 53,963 | 955,145 | ||||||||
United Bankshares, Inc. (Banks) | 24,880 | 961,861 | ||||||||
Valley National Bancorp (Banks) | 95,983 | 1,099,005 | ||||||||
Washington Federal, Inc. (Thrifts & Mortgage Finance) | 19,200 | 703,680 | ||||||||
Webster Financial Corp. (Banks) | 22,553 | 1,203,428 | ||||||||
Wintrust Financial Corp. (Banks) | 13,985 | 991,537 | ||||||||
|
| |||||||||
74,189,230 | ||||||||||
|
| |||||||||
HEALTH CARE – 9.7% | ||||||||||
Acadia Healthcare Co., Inc. (Health Care Providers & Svs.) | (a) | 21,705 | 721,040 | |||||||
Allscripts Healthcare Solutions, Inc. (Health Care Technology) | (a) | 39,792 | 390,559 | |||||||
Amedisys, Inc. (Health Care Providers & Svs.) | (a) | 7,905 | 1,319,503 | |||||||
Arrowhead Pharmaceuticals, Inc. (Biotechnology) | (a) | 24,533 | 1,556,128 | |||||||
Avanos Medical, Inc. (Health Care Equip. & Supplies) | (a) | 11,745 | 395,807 | |||||||
Bio-Rad Laboratories, Inc. Class A (Life Sciences Tools & Svs.) | (a) | 5,295 | 1,959,309 | |||||||
Bio-Techne Corp. (Life Sciences Tools & Svs.) | 9,340 | 2,050,223 | ||||||||
Cantel Medical Corp. (Health Care Equip. & Supplies) | 9,182 | 651,004 | ||||||||
Catalent, Inc. (Pharmaceuticals) | (a) | 35,856 | 2,018,693 | |||||||
Charles River Laboratories International, Inc. (Life Sciences Tools & Svs.) | (a) | 11,969 | 1,828,384 | |||||||
Chemed Corp. (Health Care Providers & Svs.) | 3,923 | 1,723,217 | ||||||||
Encompass Health Corp. (Health Care Providers & Svs.) | 24,163 | 1,673,771 | ||||||||
Exelixis, Inc. (Biotechnology) | (a) | 74,462 | 1,312,020 | |||||||
Globus Medical, Inc. Class A (Health Care Equip. & Supplies) | (a) | 18,864 | 1,110,712 | |||||||
Haemonetics Corp. (Health Care Equip. & Supplies) | (a) | 12,421 | 1,427,173 | |||||||
HealthEquity, Inc. (Health Care Providers & Svs.) | (a) | 17,370 | 1,286,596 | |||||||
Hill-Rom Holdings, Inc. (Health Care Equip. & Supplies) | 16,361 | 1,857,464 |
92 | (continued) |
Ohio National Fund, Inc. | ON S&P MidCap 400® Index Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Common Stocks (Continued) | Shares | Value | ||||||||
HEALTH CARE (continued) |
| |||||||||
ICU Medical, Inc. (Health Care Equip. & Supplies) | (a) | 4,712 | $ | 881,709 | ||||||
Integra LifeSciences Holdings Corp. (Health Care Equip. & Supplies) | (a) | 17,466 | 1,017,919 | |||||||
Ligand Pharmaceuticals, Inc. (Biotechnology) . | (a) | 4,304 | 448,864 | |||||||
LivaNova PLC (Health Care Equip. & Supplies) | (a) | 11,861 | 894,675 | |||||||
Masimo Corp. (Health Care Equip. & Supplies) | (a) | 12,023 | 1,900,355 | |||||||
MEDNAX, Inc. (Health Care Providers & Svs.) | (a) | 20,657 | 574,058 | |||||||
Molina Healthcare, Inc. (Health Care Providers & Svs.) | (a) | 15,366 | 2,085,013 | |||||||
Nektar Therapeutics (Pharmaceuticals) | (a) | 43,112 | 930,573 | |||||||
NuVasive, Inc. (Health Care Equip. & Supplies) . | (a) | 12,762 | 987,013 | |||||||
Patterson Cos., Inc. (Health Care Providers & Svs.) | 21,111 | 432,353 | ||||||||
Penumbra, Inc. (Health Care Equip. & Supplies) | (a) | 7,872 | 1,293,133 | |||||||
PRA Health Sciences, Inc. (Life Sciences Tools & Svs.) | (a) | 15,500 | 1,722,825 | |||||||
Prestige Consumer Healthcare, Inc. (Pharmaceuticals) | (a) | 12,310 | 498,555 | |||||||
Repligen Corp. (Life Sciences Tools & Svs.) | (a) | 11,482 | 1,062,085 | |||||||
Syneos Health, Inc. (Life Sciences Tools & Svs.) | (a) | 15,262 | 907,708 | |||||||
Tenet Healthcare Corp. (Health Care Providers & Svs.) | (a) | 25,461 | 968,282 | |||||||
United Therapeutics Corp. (Biotechnology) | (a) | 10,753 | 947,124 | |||||||
West Pharmaceutical Services, Inc. (Health Care Equip. & Supplies) | 18,133 | 2,725,934 | ||||||||
|
| |||||||||
43,559,781 | ||||||||||
|
| |||||||||
INDUSTRIALS – 15.5% | ||||||||||
Acuity Brands, Inc. (Electrical Equip.) | 9,705 | 1,339,290 | ||||||||
AECOM (Construction & Engineering) | (a) | 38,473 | 1,659,341 | |||||||
AGCO Corp. (Machinery) | 15,362 | 1,186,715 | ||||||||
ASGN, Inc. (Professional Svs.) | (a) | 12,939 | 918,281 | |||||||
Avis Budget Group, Inc. (Road & Rail) | (a) | 13,930 | 449,103 | |||||||
Axon Enterprise, Inc. (Aerospace & Defense) | (a) | 14,543 | 1,065,711 | |||||||
Brink’s Co. / The (Commercial Svs. & Supplies) . | 12,259 | 1,111,646 | ||||||||
Carlisle Cos., Inc. (Industrial Conglomerates) | 13,889 | 2,247,796 | ||||||||
Clean Harbors, Inc. (Commercial Svs. & Supplies) | (a) | 12,583 | 1,078,992 | |||||||
Colfax Corp. (Machinery) | (a) | 20,490 | 745,426 | |||||||
Crane Co. (Machinery) | 12,495 | 1,079,318 | ||||||||
Curtiss-Wright Corp. (Aerospace & Defense) | 10,462 | 1,473,991 | ||||||||
Deluxe Corp. (Commercial Svs. & Supplies) | 10,318 | 515,075 | ||||||||
Donaldson Co., Inc. (Machinery) | 31,018 | 1,787,257 | ||||||||
Dycom Industries, Inc. (Construction & Engineering) | (a) | 7,728 | 364,375 | |||||||
EMCOR Group, Inc. (Construction & Engineering) | 13,761 | 1,187,574 | ||||||||
EnerSys (Electrical Equip.) | 10,376 | 776,436 | ||||||||
Fluor Corp. (Construction & Engineering) | 34,347 | 648,471 | ||||||||
FTI Consulting, Inc. (Professional Svs.) | (a) | 9,223 | 1,020,617 | |||||||
GATX Corp. (Trading Companies & Distributors) | 8,601 | 712,593 | ||||||||
Graco, Inc. (Machinery) | 40,874 | 2,125,448 | ||||||||
Healthcare Services Group, Inc. (Commercial Svs. & Supplies) | 18,163 | 441,724 | ||||||||
Herman Miller, Inc. (Commercial Svs. & Supplies) | 14,473 | 602,800 | ||||||||
HNI Corp. (Commercial Svs. & Supplies) | 10,500 | 393,330 | ||||||||
Hubbell, Inc. (Electrical Equip.) | 13,329 | 1,970,293 | ||||||||
Insperity, Inc. (Professional Svs.) | 9,214 | 792,773 | ||||||||
ITT, Inc. (Machinery) | 21,494 | 1,588,622 | ||||||||
JetBlue Airways Corp. (Airlines) | (a) | 70,751 | 1,324,459 | |||||||
KAR Auction Services, Inc. (Commercial Svs. & Supplies) | 31,559 | 687,671 | ||||||||
Kennametal, Inc. (Machinery) | 20,305 | 749,051 | ||||||||
Kirby Corp. (Marine) | (a) | 14,691 | 1,315,285 |
Common Stocks (Continued) | Shares | Value | ||||||||
INDUSTRIALS (continued) |
| |||||||||
Knight-Swift Transportation Holdings, Inc. (Road & Rail) | 30,110 | $ | 1,079,142 | |||||||
Landstar System, Inc. (Road & Rail) | 9,671 | 1,101,237 | ||||||||
Lennox International, Inc. (Building Products) | 8,588 | 2,095,214 | ||||||||
Lincoln Electric Holdings, Inc. (Machinery) | 14,986 | 1,449,596 | ||||||||
ManpowerGroup, Inc. (Professional Svs.) | 14,450 | 1,403,095 | ||||||||
MasTec, Inc. (Construction & Engineering) | (a) | 14,778 | 948,156 | |||||||
Mercury Systems, Inc. (Aerospace & Defense). | (a) | 13,611 | 940,656 | |||||||
MSA Safety, Inc. (Commercial Svs. & Supplies) | 8,734 | 1,103,628 | ||||||||
MSC Industrial Direct Co., Inc. Class A (Trading Companies & Distributors) | 11,039 | 866,230 | ||||||||
Nordson Corp. (Machinery) | 12,540 | 2,042,014 | ||||||||
NOW, Inc. (Trading Companies & Distributors) | (a) | 26,708 | 300,198 | |||||||
nVent Electric PLC (Electrical Equip.) | 38,136 | 975,519 | ||||||||
Oshkosh Corp. (Machinery) | 16,672 | 1,578,005 | ||||||||
Owens Corning (Building Products) | 26,662 | 1,736,229 | ||||||||
Regal Beloit Corp. (Electrical Equip.) | 10,033 | 858,925 | ||||||||
Resideo Technologies, Inc. (Building Products). | (a) | 30,099 | 359,081 | |||||||
Ryder System, Inc. (Road & Rail) | 13,059 | 709,234 | ||||||||
Stericycle, Inc. (Commercial Svs. & Supplies) | (a) | 22,333 | 1,425,069 | |||||||
Teledyne Technologies, Inc. (Aerospace & Defense) | (a) | 8,938 | 3,097,375 | |||||||
Terex Corp. (Machinery) | 16,075 | 478,714 | ||||||||
Tetra Tech, Inc. (Commercial Svs. & Supplies) | 13,378 | 1,152,649 | ||||||||
Timken Co. / The (Machinery) | 16,598 | 934,633 | ||||||||
Toro Co. / The (Machinery) | 26,126 | 2,081,458 | ||||||||
Trex Co., Inc. (Building Products) | (a) | 14,297 | 1,285,014 | |||||||
Trinity Industries, Inc. (Machinery) | 24,053 | 532,774 | ||||||||
Valmont Industries, Inc. (Construction & Engineering) | 5,284 | 791,438 | ||||||||
Watsco, Inc. (Trading Companies & Distributors) | 8,001 | 1,441,380 | ||||||||
Werner Enterprises, Inc. (Road & Rail) | 10,863 | 395,305 | ||||||||
Woodward, Inc. (Machinery) | 13,820 | 1,636,841 | ||||||||
XPO Logistics, Inc. (Air Freight & Logistics) | (a) | 22,620 | 1,802,814 | |||||||
|
| |||||||||
69,961,087 | ||||||||||
|
| |||||||||
INFORMATION TECHNOLOGY – 15.5% |
| |||||||||
ACI Worldwide, Inc. (Software) | (a) | 28,317 | 1,072,790 | |||||||
Arrow Electronics, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 19,963 | 1,691,665 | |||||||
Avnet, Inc. (Electronic Equip., Instr. & Comp.) | 24,746 | 1,050,220 | ||||||||
Belden, Inc. (Electronic Equip., Instr. & Comp.) . | 9,470 | 520,850 | ||||||||
Blackbaud, Inc. (Software) | 12,055 | 959,578 | ||||||||
Cabot Microelectronics Corp. (Semiconductors & Equip.) | 7,133 | 1,029,435 | ||||||||
CACI International, Inc. Class A (IT Svs.) | (a) | 6,137 | 1,534,189 | |||||||
CDK Global, Inc. (Software) | 29,752 | 1,626,839 | ||||||||
Ceridian HCM Holding, Inc. (Software) | (a) | 24,700 | 1,676,636 | |||||||
Ciena Corp. (Communications Equip.) | (a) | 37,912 | 1,618,463 | |||||||
Cirrus Logic, Inc. (Semiconductors & Equip.) | (a) | 14,147 | 1,165,854 | |||||||
Cognex Corp. (Electronic Equip., Instr. & Comp.) | 41,882 | 2,347,067 | ||||||||
Coherent, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 5,919 | 984,626 | |||||||
CommVault Systems, Inc. (Software) | (a) | 10,306 | 460,060 | |||||||
CoreLogic, Inc. (IT Svs.) | (a) | 19,498 | 852,258 | |||||||
Cree, Inc. (Semiconductors & Equip.) | (a) | 26,397 | 1,218,221 | |||||||
Cypress Semiconductor Corp. (Semiconductors & Equip.) | 90,513 | 2,111,668 | ||||||||
Fair Isaac Corp. (Software) | (a) | 7,098 | 2,659,479 | |||||||
First Solar, Inc. (Semiconductors & Equip.) | (a) | 18,599 | 1,040,800 | |||||||
II-VI, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 21,374 | 719,663 | |||||||
InterDigital, Inc. (Communications Equip.) | 7,630 | 415,759 | ||||||||
j2 Global, Inc. (Software) | 11,346 | 1,063,234 | ||||||||
Jabil, Inc. (Electronic Equip., Instr. & Comp.) | 34,046 | 1,407,121 | ||||||||
KBR, Inc. (IT Svs.) | 34,731 | 1,059,295 |
93 | (continued) |
Ohio National Fund, Inc. | ON S&P MidCap 400® Index Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Common Stocks (Continued) | Shares | Value | ||||||||
INFORMATION TECHNOLOGY (continued) |
| |||||||||
Littelfuse, Inc. (Electronic Equip., Instr. & Comp.) | 5,967 | $ | 1,141,487 | |||||||
LiveRamp Holdings, Inc. (IT Svs.) | (a) | 16,590 | 797,481 | |||||||
LogMeIn, Inc. (Software) | 11,963 | 1,025,708 | ||||||||
Lumentum Holdings, Inc. (Communications Equip.) | (a) | 18,919 | 1,500,277 | |||||||
Manhattan Associates, Inc. (Software) | (a) | 15,651 | 1,248,167 | |||||||
MAXIMUS, Inc. (IT Svs.) | 15,679 | 1,166,361 | ||||||||
MKS Instruments, Inc. (Semiconductors & Equip.) | 13,359 | 1,469,624 | ||||||||
Monolithic Power Systems, Inc. (Semiconductors & Equip.) | 9,901 | 1,762,576 | ||||||||
National Instruments Corp. (Electronic Equip., Instr. & Comp.) | 28,882 | 1,222,864 | ||||||||
NCR Corp. (Tech. Hardware, Storage & Periph.) | (a) | 31,271 | 1,099,488 | |||||||
NetScout Systems, Inc. (Communications Equip.) | (a) | 16,123 | 388,081 | |||||||
Perspecta, Inc. (IT Svs.) | 33,700 | 891,028 | ||||||||
PTC, Inc. (Software) | (a) | 25,474 | 1,907,748 | |||||||
Sabre Corp. (IT Svs.) | 67,120 | 1,506,173 | ||||||||
Science Applications International Corp. (IT Svs.) | 12,024 | 1,046,328 | ||||||||
Semtech Corp. (Semiconductors & Equip.) | (a) | 16,248 | 859,519 | |||||||
Silicon Laboratories, Inc. (Semiconductors & Equip.) | (a) | 10,630 | 1,232,867 | |||||||
SolarEdge Technologies, Inc. (Semiconductors & Equip.) | (a) | 11,913 | 1,132,807 | |||||||
Synaptics, Inc. (Semiconductors & Equip.) | (a) | 8,201 | 539,380 | |||||||
SYNNEX Corp. (Electronic Equip., Instr. & Comp.) | 10,014 | 1,289,803 | ||||||||
Tech Data Corp. (Electronic Equip., Instr. & Comp.) | (a) | 8,678 | 1,246,161 | |||||||
Teradata Corp. (Software) | (a) | 27,570 | 738,049 | |||||||
Teradyne, Inc. (Semiconductors & Equip.) | 41,070 | 2,800,563 | ||||||||
Trimble, Inc. (Electronic Equip., Instr. & Comp.) . | (a) | 61,058 | 2,545,508 | |||||||
Tyler Technologies, Inc. (Software) | (a) | 9,555 | 2,866,691 | |||||||
Universal Display Corp. (Semiconductors & Equip.) | 10,391 | 2,141,273 | ||||||||
ViaSat, Inc. (Communications Equip.) | (a) | 14,135 | 1,034,611 | |||||||
Vishay Intertechnology, Inc. (Electronic Equip., Instr. & Comp.) | 32,437 | 690,584 | ||||||||
WEX, Inc. (IT Svs.) | (a) | 10,609 | 2,222,161 | |||||||
|
| |||||||||
69,799,138 | ||||||||||
|
| |||||||||
MATERIALS – 6.0% | ||||||||||
Allegheny Technologies, Inc. (Metals & Mining) | (a) | 30,898 | 638,353 | |||||||
AptarGroup, Inc. (Containers & Packaging) | 15,667 | 1,811,419 | ||||||||
Ashland Global Holdings, Inc. (Chemicals) | 14,766 | 1,130,042 | ||||||||
Cabot Corp. (Chemicals) | 13,964 | 663,569 | ||||||||
Carpenter Technology Corp. (Metals & Mining). | 11,694 | 582,127 | ||||||||
Chemours Co. / The (Chemicals) | 40,068 | 724,830 | ||||||||
Commercial Metals Co. (Metals & Mining) | 29,076 | 647,523 | ||||||||
Compass Minerals International, Inc. (Metals & Mining) | 8,304 | 506,212 | ||||||||
Domtar Corp. (Paper & Forest Products) | 14,037 | 536,775 | ||||||||
Eagle Materials, Inc. (Construction Materials) . | 10,203 | 925,004 | ||||||||
Greif, Inc. Class A (Containers & Packaging) | 6,406 | 283,145 | ||||||||
Ingevity Corp. (Chemicals) | (a) | 10,250 | 895,645 | |||||||
Louisiana-Pacific Corp. (Paper & Forest Products) | 28,786 | 854,081 | ||||||||
Minerals Technologies, Inc. (Chemicals) | 8,532 | 491,699 | ||||||||
NewMarket Corp. (Chemicals) | 1,810 | 880,601 | ||||||||
O-I Glass, Inc. (Containers & Packaging) | 38,139 | 454,998 | ||||||||
Olin Corp. (Chemicals) | 39,130 | 674,992 | ||||||||
PolyOne Corp. (Chemicals) | 18,849 | 693,455 | ||||||||
Reliance Steel & Aluminum Co. (Metals & Mining) | 16,336 | 1,956,399 |
Common Stocks (Continued) | Shares | Value | ||||||||
MATERIALS (continued) |
| |||||||||
Royal Gold, Inc. (Metals & Mining) | 16,075 | $ | 1,965,169 | |||||||
RPM International, Inc. (Chemicals) | 31,781 | 2,439,510 | ||||||||
ScottsMiracle-Gro Co. / The (Chemicals) | 9,711 | 1,031,114 | ||||||||
Sensient Technologies Corp. (Chemicals) | 10,371 | 685,419 | ||||||||
Silgan Holdings, Inc. (Containers & Packaging). | 19,027 | 591,359 | ||||||||
Sonoco Products Co. (Containers & Packaging) | 24,533 | 1,514,177 | ||||||||
Steel Dynamics, Inc. (Metals & Mining) | 52,799 | 1,797,278 | ||||||||
United States Steel Corp. (Metals & Mining) | 41,767 | 476,561 | ||||||||
Valvoline, Inc. (Chemicals) | 46,172 | 988,543 | ||||||||
Worthington Industries, Inc. (Metals & Mining). | 9,017 | 380,337 | ||||||||
|
| |||||||||
27,220,336 | ||||||||||
|
| |||||||||
REAL ESTATE – 11.2% | ||||||||||
Alexander & Baldwin, Inc. (Equity REIT) | 16,668 | 349,361 | ||||||||
American Campus Communities, Inc. (Equity REIT) | 33,673 | 1,583,641 | ||||||||
Brixmor Property Group, Inc. (Equity REIT) | 72,993 | 1,577,379 | ||||||||
Camden Property Trust (Equity REIT) | 23,730 | 2,517,753 | ||||||||
CoreCivic, Inc. (Equity REIT) | 29,186 | 507,253 | ||||||||
CoreSite Realty Corp. (Equity REIT) | 9,236 | 1,035,540 | ||||||||
Corporate Office Properties Trust (Equity REIT) . | 27,462 | 806,833 | ||||||||
Cousins Properties, Inc. (Equity REIT) | 35,966 | 1,481,799 | ||||||||
CyrusOne, Inc. (Equity REIT) | 27,742 | 1,815,159 | ||||||||
Douglas Emmett, Inc. (Equity REIT) | 40,394 | 1,773,297 | ||||||||
EastGroup Properties, Inc. (Equity REIT) | 9,413 | 1,248,823 | ||||||||
EPR Properties (Equity REIT) | 19,228 | 1,358,266 | ||||||||
First Industrial Realty Trust, Inc. (Equity REIT) | 31,113 | 1,291,501 | ||||||||
GEO Group, Inc. / The (Equity REIT) | 29,720 | 493,649 | ||||||||
Healthcare Realty Trust, Inc. (Equity REIT) | 32,774 | 1,093,668 | ||||||||
Highwoods Properties, Inc. (Equity REIT) | 25,424 | 1,243,488 | ||||||||
JBG SMITH Properties (Equity REIT) | 28,923 | 1,153,738 | ||||||||
Jones Lang LaSalle, Inc. (Real Estate Mgmt. & Development) | 12,630 | 2,198,757 | ||||||||
Kilroy Realty Corp. (Equity REIT) | 23,902 | 2,005,378 | ||||||||
Lamar Advertising Co. Class A (Equity REIT) | 21,078 | 1,881,422 | ||||||||
Liberty Property Trust (Equity REIT) | 38,665 | 2,321,833 | ||||||||
Life Storage, Inc. (Equity REIT) | 11,433 | 1,237,965 | ||||||||
Macerich Co. / The (Equity REIT) | 27,001 | 726,867 | ||||||||
Mack-Cali Realty Corp. (Equity REIT) | 22,192 | 513,301 | ||||||||
Medical Properties Trust, Inc. (Equity REIT) | 126,809 | 2,676,938 | ||||||||
National Retail Properties, Inc. (Equity REIT) | 42,064 | 2,255,472 | ||||||||
Omega Healthcare Investors, Inc. (Equity REIT) | 53,549 | 2,267,800 | ||||||||
Park Hotels & Resorts, Inc. (Equity REIT) | 58,663 | 1,517,612 | ||||||||
Pebblebrook Hotel Trust (Equity REIT) | 32,012 | 858,242 | ||||||||
PotlatchDeltic Corp. (Equity REIT) | 16,472 | 712,743 | ||||||||
PS Business Parks, Inc. (Equity REIT) | 4,909 | 809,347 | ||||||||
Rayonier, Inc. (Equity REIT) | 31,689 | 1,038,132 | ||||||||
Sabra Health Care REIT, Inc. (Equity REIT) | 47,471 | 1,013,031 | ||||||||
Senior Housing Properties Trust (Equity REIT) | (a) | 58,300 | 492,052 | |||||||
Service Properties Trust (Equity REIT) | 40,329 | 981,205 | ||||||||
Spirit Realty Capital, Inc. (Equity REIT) | 24,442 | 1,202,057 | ||||||||
Tanger Factory Outlet Centers, Inc. (Equity REIT) | 22,749 | 335,093 | ||||||||
Taubman Centers, Inc. (Equity REIT) | 15,002 | 466,412 | ||||||||
Urban Edge Properties (Equity REIT) | 28,221 | 541,279 | ||||||||
Weingarten Realty Investors (Equity REIT) | 29,641 | 925,985 | ||||||||
|
| |||||||||
50,310,071 | ||||||||||
|
| |||||||||
UTILITIES – 4.5% | ||||||||||
ALLETE, Inc. (Electric Utilities) | 12,662 | 1,027,775 | ||||||||
Aqua America, Inc. (Water Utilities) | 52,897 | 2,482,985 | ||||||||
Black Hills Corp. (Multi-Utilities) | 15,061 | 1,182,891 | ||||||||
Hawaiian Electric Industries, Inc. (Electric Utilities) | 26,707 | 1,251,490 | ||||||||
IDACORP, Inc. (Electric Utilities) | 12,351 | 1,319,087 | ||||||||
MDU Resources Group, Inc. (Multi-Utilities) | 49,108 | 1,458,999 | ||||||||
National Fuel Gas Co. (Gas Utilities) | 21,155 | 984,554 | ||||||||
New Jersey Resources Corp. (Gas Utilities) | 23,404 | 1,043,116 |
94 | (continued) |
Ohio National Fund, Inc. | ON S&P MidCap 400®Index Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Common Stocks (Continued) | Shares | Value | ||||||||
UTILITIES (continued) | ||||||||||
NorthWestern Corp. (Multi-Utilities) | 12,363 | $ | 886,056 | |||||||
OGE Energy Corp. (Electric Utilities) | 49,057 | 2,181,565 | ||||||||
ONE Gas, Inc. (Gas Utilities) | 12,925 | 1,209,392 | ||||||||
PNM Resources, Inc. (Electric Utilities) | 19,521 | 989,910 | ||||||||
Southwest Gas Holdings, Inc. (Gas Utilities) | 13,387 | 1,017,010 | ||||||||
Spire, Inc. (Gas Utilities) | 12,493 | 1,040,792 | ||||||||
UGI Corp. (Gas Utilities) | 51,220 | 2,313,095 | ||||||||
|
| |||||||||
20,388,717 | ||||||||||
|
| |||||||||
Total Common Stocks (Cost $416,640,792) | $ | 447,492,286 | ||||||||
|
|
U.S. Treasury Obligations –0.0% | Rate | Maturity | Face Amount | Value | ||||||||||||
U.S. Treasury Bill | 0.000 | % | 03/19/2020 | $ | 100,000 | $ | 99,683 | |||||||||
|
| |||||||||||||||
Total U.S. Treasury Obligations (Cost $99,609) | $ | 99,683 | ||||||||||||||
|
|
Money Market Funds – 0.7% | Shares | Value | ||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class, 1.734% | (b | ) | 3,224,279 | $ | 3,224,601 | |||||||
|
| |||||||||||
Total Money Market Funds (Cost $3,224,601) | $ | 3,224,601 | ||||||||||
|
| |||||||||||
Total Investments – 100.0% (Cost $419,965,002) | (c | ) | $ | 450,816,570 | ||||||||
Other Assets in Excess of Liabilities – 0.0% | (d | ) | 122,688 | |||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 450,939,258 | ||||||||||
|
|
Percentages are stated as a percent of net assets.
Footnotes:
(a) | Non-income producing security. |
(b) | Rate represents theseven-day yield at December 31, 2019. |
(c) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
(d) | Includes $165,600 of cash pledged as collateral for the futures contracts outstanding at December 31, 2019. See also the following Schedule of Open Futures Contracts. |
The accompanying notes are an integral part of these financial statements.
Schedule of Open Futures Contracts | December 31, 2019 |
Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||
CMEE-mini S&P MidCap 400 Index - Long | 23 | March 20, 2020 | $4,702,717 | $4,749,040 | $46,323 | $4,196 |
The accompanying notes are an integral part of these financial statements.
95
Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Growth Portfolio (Unaudited) |
Objective/Strategy |
The ON BlackRock Advantage Large Cap Growth Portfolio(formerly the ON Bristol Growth Portfolio)seeks long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in stocks of companies with market capitalizations at the time of investment that are within the range of market capitalizations of the companies in the Russell 1000 Growth Index for the previous twelve months.
Performance as of December 31, 2019 |
Average Annual returns | ||||
One year | 38.68 | % | ||
Five years | 11.76 | % | ||
Ten years | 12.80 | % |
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-free1-877-781-6392.
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 0.76% per the Fund’s prospectus dated November 22, 2019. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2019 can be found in the Portfolio’s Financial Highlights.
Comments fromSub-Adviser |
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A.For the year ended December 31, 2019, the Portfolio returned 38.68% versus 36.39% for its benchmark, the Russell 1000 Growth Index.
Effective February 1, 2019, BlackRock Investment Management, LLC (“BlackRock”) replaced the Portfolio’s previoussub-adviser, Suffolk Capital Management, LLC (“Suffolk”). In conjunction with the change insub-adviser, the name of the Portfolio was changed from ON Bristol Growth Portfolio to ON BlackRock Advantage Large Cap Growth Portfolio. The Portfolio’s benchmark was unchanged.
For the period from January 1, 2019 to January 31, 2019 (the “firstone-month period”), the Portfolio returned 13.31% versus 8.99% for the Russell 1000 Growth Index.
For the period from February 1, 2019 to December 31, 2019 (the “latter eleven-month period”), the Portfolio returned 22.39% versus 25.14% for 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. Suffolk:For the firstone-month period, there were no market conditions, investment strategies, or techniques that materially affected the Portfolio’s benchmark relative performance.
A. BlackRock:Performance during the first few months of the latter eleven-month period was relatively flat, as a rebound in the second quarter brought performance back in line with the benchmark after a challenging first few months. The Portfolio struggled considerably in the second half of the year, however, causing performance to lag the
benchmark for the latter eleven-month period. The primary drivers of underperformance during the second half of the year were the Portfolio’s trend- and sentiment-based insights. Though these investment signals were additive through the first months of the period, they struggled in the latter months, amid increased market volatility. A series of inflection points, largely motivated by shifts in global trade conversations and central bank policy, created a difficult environment for the Portfolio’s trend-based insights. Similarly, these sharp, macro-driven inflection points often resulted in a disconnect between stock returns and company-specific sentiment, creating a challenging environment for the Portfolio’s sentiment insights. Cross-market sentiment insights struggled in particular, most specifically those seeking to capture the sentiment of informed bond and credit default swap investors.
Insights evaluating company fundamentals detracted in aggregate over the latter eleven-month period. Insights seeking to identify relative value opportunities struggled early in the year, as investors sought out speculative growth opportunities at the expense of company fundamentals. Investor mentality shifted throughout the year, and performance of these signals began to improve as investors sought out pockets of relative value in the market. Despite the modest rebound in performance in the final months of the year, in aggregate, the Portfolio’s relative value insights were some of the most significant detractors from relative returns for the latter eleven-month period. Also evaluating company fundamentals, the Portfolio’s quality insights were mixed throughout the period. Though this group of insights detracted modestly in aggregate, struggling somewhat in the final months of the year, select signals added meaningfully to relative returns and provided ballast to performance among fundamental signals. Stronger performance among the Portfolio’s quality insights was unsurprising, given investor preference for sustainable, high-quality businesses amidst increased market uncertainty.
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. Suffolk:For the firstone-month period, both sector allocation and stock selection contributed positively to relative performance. Stock selection in Consumer Discretionary and Health Care contributed to relative outperformance, while stock selection in Communication Services detracted from relative performance.
A. BlackRock:The portfolio management team targets a relatively sector-neutral approach and seeks to derive the majority of its relative performance from security selection. That being said, positioning in the Communication Services sector was additive to relative returns during the latter eleven-month period. On the other hand, a modest underweight to the Information Technology sector throughout much of the period dampened relative performance, as the sector outperformed the broader market. The majority of the Portfolio’s underperformance was driven by security selection decisions. Stock selection was additive in the Health Care sector, especially among biotechnology and pharmaceutical companies. In contrast, selection within the Financials sector, in particular the capital markets industry, was a notable detractor from relative performance. Stock selection in the Communication Services sector, especially among media companies, and in the Consumer Discretionary sector hindered relative returns as well. (1)
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A. Suffolk:Top contributors for the firstone-month period included Sage Therapeutics, Inc., as it announced positive results for a Phase 3 trial in postpartum depression. Celgene Corp. contributed, as it was acquired by
(continued)
96
Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Growth Portfolio (Unaudited) (Continued) |
Bristol-Myers Squibb Co. Aerie Pharmaceuticals, Inc., another top contributor, expects to achieve its revenue target for Rhopressa, its new glaucoma drug, and announced positive pilot study results for Rhopressa in Japan, a significant new market opportunity.
The top detractor for the firstone-month period was Facebook, Inc. Class A (“Facebook”). The Portfolio was underweight Facebook due to concerns of weaker growth for ad impressions and pricing. Amazon.com, Inc., underweighted due to concerns of weaker U.S.e-commerce share gain and belief that increased regulation ofe-commerce in India would impact Amazon’s growth, was another detractor. Alphabet, Inc. Class C also detracted from relative performance, as there were concerns Google would lose share in online advertising to Amazon.com, Inc. and might withdraw its news service in Europe if a “snippet” tax were implemented.
A. BlackRock:The top individual contributor for the latter eleven-month period was an underweight position in 3M Co. This underweight position was especially beneficial in April, as the share price tumbled. During this time, company management slashed the company’s profit outlook and announced that operating income decreased in all five of its major business units. High raw material prices, weak electronics and automotive markets, and headwinds from China caused the company to miss on earnings and forced it to cut 2,000 jobs. Lowering guidance again at the beginning of the fourth quarter, its fifth guidance cut in the past seven quarters, along with disappointing third quarter operating results, led to a continued decline in the company’s stock price. Remaining underweight the industrial manufacturer during the decline further supported Portfolio performance. Positioning in Biogen, Inc. was also beneficial to results. An underweight to the stock early in the year was additive, as the share price plummeted on news that the company’s experimental Alzheimer’s drug, which had been promising, was unlikely to be effective and that research on the drug was being stopped. Moving to an overweight towards the end of the period further bolstered results, as Biogen’s shares spiked on news that there were new, promising results from research on the Alzheimer’s drug. News that the company was requesting approval from the Federal Drug Administration (“FDA”) on the experimental therapy led to renewed hope among investors, and a resulting surge in the stock price. Lastly, remaining overweight CDW Corp. throughout the latter eleven-month period was tremendously beneficial, as the stock returned almost 75%. The technology solutions provider was able to rapidly grow the business, setting net sales records in each of the first three quarters of the year, while consistently exceeding analyst earnings per share (“EPS”) expectations, and increasing its quarterly cash dividend by over 25%.(1)
In contrast, the top individual detractor for the latter eleven-month period was the Portfolio’s overweight position in The Charles Schwab Corp. The company struggled amidst increased pricing pressure that some analysts believe could act as a headwind and stifle company revenue growth going forward. UnitedHealth Group, Inc. was the next largest individual detractor. An overweight position in the first half of the year dampened relative returns, as the stock declined roughly 8%. Despite fairly strong first quarter earnings, uncertainties such asMedicare-for-All proposals, could act as a significant headwind to health care providers and insurers. Analysts felt that the management team did little to address the potential risks and sooth investor concerns, causing asell-off. Shifting to an underweight position in the second half of the year further hindered results, as the company’s stock price climbed, due to strong third quarter earnings results and an improvement in forward earnings guidance, citing a stabilization of medical costs at its health insurance unit. The Portfolio’s overweight position in AMC Networks, Inc. Class A during the first and fourth quarters further detracted from relative returns, as the stock price steadily declined. Significant competition in the media space, particularly among streaming services, continues to present challenges for the company, as it seeks to transform itself into a premier content company and grow its subscription video on demand
(“SVOD”) business. The stock price decline accelerated towards the end of the year, as the company reported net revenue well below analyst estimates, further detracting from the Portfolio’s relative returns.(1)
Q. How did the Portfolio’s use of derivative instruments and initial public offerings (IPOs), if any, impact performance?
A. Suffolk:The Portfolio did not hold any derivatives or participate in any IPOs during the firstone-month period.
A. BlackRock:Pursuant to the Portfolio’s investment strategy, futures contracts were used in the latter eleven-month period to equitize cash and prevent a cash drag on performance. The futures did not meaningfully impact performance, however, due to their index characteristics and size in relation to the Portfolio’s net assets. The Portfolio participated in two IPOs during the latter eleven-month period, which detracted 13 basis points relative to the benchmark.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2019. |
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 higherprice-to-book ratios and higher forecasted growth values. The Russell 1000 Index measures the performance of thelarge-cap segment of the U.S. equity universe. The index presented includes the effects of reinvested dividends.
Past performance is no guarantee of future results. Redemption of fund shares could have tax implications unique to each shareholder.
97 | (continued) |
Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Growth Portfolio (Unaudited) (Continued) |
Portfolio Composition as of December 31, 2019(1) |
% of Net Assets | ||||
Common Stocks(4) | 99.5 | |||
Rights(4) | 0.0 | |||
Money Market Funds | ||||
Less Net Liabilities | 0.5 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31, 2019(1) (2) (3) |
% of Net Assets | ||||||
1. | Apple, Inc. | 8.6 | ||||
2. | Microsoft Corp. | 8.4 | ||||
3. | Amazon.com, Inc. | 5.6 | ||||
4. | Facebook, Inc. Class A | 3.4 | ||||
5. | Mastercard, Inc. Class A | 2.8 | ||||
6. | Alphabet, Inc. Class C | 2.6 | ||||
7. | Alphabet, Inc. Class A | 2.4 | ||||
8. | Merck & Co., Inc. | 1.7 | ||||
9. | Lockheed Martin Corp. | 1.7 | ||||
10. | Costco Wholesale Corp. | 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, Rights): |
% of Net Assets | ||||
Information Technology | 38.4 | |||
Health Care | 14.7 | |||
Consumer Discretionary | 13.3 | |||
Communication Services | 12.0 | |||
Industrials | 9.6 | |||
Consumer Staples | 4.8 | |||
Financials | 3.6 | |||
Real Estate | 1.8 | |||
Materials | 0.8 | |||
Utilities | 0.4 | |||
Energy | 0.1 | |||
|
| |||
99.5 | ||||
|
|
98
Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Growth Portfolio |
Schedule of Investments | December 31, 2019 |
Common Stocks – 99.5% | Shares | Value | ||||||||||
COMMUNICATION SERVICES – 12.0% |
| |||||||||||
Alphabet, Inc. Class A (Interactive Media��& Svs.) | (a | ) | 2,012 | $ | 2,694,853 | |||||||
Alphabet, Inc. Class C (Interactive Media & Svs.) | (a | ) | 2,235 | 2,988,240 | ||||||||
AMC Networks, Inc. Class A (Media) | (a | ) | 3,979 | 157,170 | ||||||||
Cargurus, Inc. (Interactive Media & Svs.) | (a | ) | 1,267 | 44,573 | ||||||||
Cinemark Holdings, Inc. (Entertainment) | 3,328 | 112,653 | ||||||||||
Comcast Corp. Class A (Media) | 2,899 | 130,368 | ||||||||||
Discovery, Inc. Class A (Media) | (a | ) | 4,962 | 162,456 | ||||||||
Electronic Arts, Inc. (Entertainment) | (a | ) | 1,735 | 186,530 | ||||||||
Facebook, Inc. Class A (Interactive Media & Svs.) | (a | ) | 19,004 | 3,900,571 | ||||||||
Interpublic Group of Cos., Inc. / The (Media) | 12,582 | 290,644 | ||||||||||
Live Nation Entertainment, Inc. (Entertainment). | (a | ) | 2,682 | 191,682 | ||||||||
Netflix, Inc. (Entertainment) | (a | ) | 1,963 | 635,168 | ||||||||
Pinterest, Inc. Class A (Interactive Media & Svs.) | (a | ) | 4,237 | 78,978 | ||||||||
Sirius XM Holdings, Inc. (Media) | 95,281 | 681,259 | ||||||||||
Spotify Technology SA (Entertainment) | (a | ) | 1,041 | 155,681 | ||||||||
Take-Two Interactive Software, Inc. (Entertainment) | (a | ) | 2,122 | 259,796 | ||||||||
Telephone & Data Systems, Inc. (Wireless Telecom. Svs.) | 3,521 | 89,539 | ||||||||||
TripAdvisor, Inc. (Interactive Media & Svs.) | 3,373 | 102,472 | ||||||||||
Twitter, Inc. (Interactive Media & Svs.) | (a | ) | 6,894 | 220,953 | ||||||||
United States Cellular Corp. (Wireless Telecom. Svs.) | (a | ) | 5,772 | 209,119 | ||||||||
Yelp, Inc. (Interactive Media & Svs.) | (a | ) | 2,408 | 83,871 | ||||||||
Zynga, Inc. Class A (Entertainment) | (a | ) | 43,089 | 263,705 | ||||||||
|
| |||||||||||
13,640,281 | ||||||||||||
|
| |||||||||||
CONSUMER DISCRETIONARY – 13.3% |
| |||||||||||
Alibaba Group Holding Ltd. – ADR (Internet & Direct Marketing Retail) | (a | ) | 1,907 | 404,475 | ||||||||
Amazon.com, Inc. (Internet & Direct Marketing Retail) | (a | ) | 3,428 | 6,334,395 | ||||||||
AutoNation, Inc. (Specialty Retail) | (a | ) | 1,127 | 54,806 | ||||||||
Booking Holdings, Inc. (Internet & Direct Marketing Retail) | (a | ) | 106 | 217,695 | ||||||||
Boyd Gaming Corp. (Hotels, Restaurants & Leisure) | 4,711 | 141,047 | ||||||||||
Chipotle Mexican Grill, Inc. (Hotels, Restaurants & Leisure) | (a | ) | 277 | 231,879 | ||||||||
Choice Hotels International, Inc. (Hotels, Restaurants & Leisure) | 6,788 | 702,083 | ||||||||||
D.R. Horton, Inc. (Household Durables) | 3,619 | 190,902 | ||||||||||
Darden Restaurants, Inc. (Hotels, Restaurants & Leisure) | 4,661 | 508,096 | ||||||||||
Dollar General Corp. (Multiline Retail) | 3,363 | 524,561 | ||||||||||
Dunkin’ Brands Group, Inc. (Hotels, Restaurants & Leisure) | 2,630 | 198,670 | ||||||||||
Extended Stay America, Inc. (Hotels, Restaurants & Leisure) | 4,138 | 61,491 | ||||||||||
Gentex Corp. (Auto Components) | 2,194 | 63,582 | ||||||||||
H&R Block, Inc. (Diversified Consumer Svs.) | 8,519 | 200,026 | ||||||||||
Home Depot, Inc. / The (Specialty Retail) | 6,008 | 1,312,027 | ||||||||||
Lowe’s Cos., Inc. (Specialty Retail) | 2,471 | 295,927 | ||||||||||
Lululemon Athletica, Inc. (Textiles, Apparel & Luxury Goods) | (a | ) | 919 | 212,905 | ||||||||
McDonald’s Corp. (Hotels, Restaurants & Leisure) | 733 | 144,848 | ||||||||||
NIKE, Inc. Class B (Textiles, Apparel & Luxury Goods) | 13,222 | 1,339,521 | ||||||||||
O’Reilly Automotive, Inc. (Specialty Retail) | (a | ) | 516 | 226,142 | ||||||||
Penn National Gaming, Inc. (Hotels, Restaurants & Leisure) | (a | ) | 6,717 | 171,687 | ||||||||
Pool Corp. (Distributors) | 671 | 142,507 | ||||||||||
Ralph Lauren Corp. (Textiles, Apparel & Luxury Goods) | 726 | 85,102 |
Common Stocks (Continued) | Shares | Value | ||||||||||
CONSUMER DISCRETIONARY (continued) |
| |||||||||||
Ross Stores, Inc. (Specialty Retail) | 2,127 | $ | 247,625 | |||||||||
Starbucks Corp. (Hotels, Restaurants & Leisure) | 4,554 | 400,388 | ||||||||||
Tesla, Inc. (Automobiles) | (a | ) | 798 | 333,827 | ||||||||
Texas Roadhouse, Inc. (Hotels, Restaurants & Leisure) | 3,735 | 210,355 | ||||||||||
Tractor Supply Co. (Specialty Retail) | 222 | 20,744 | ||||||||||
Wyndham Destinations, Inc. (Hotels, Restaurants & Leisure) | 1,230 | 63,579 | ||||||||||
|
| |||||||||||
15,040,892 | ||||||||||||
|
| |||||||||||
CONSUMER STAPLES – 4.8% | ||||||||||||
Altria Group, Inc. (Tobacco) | 2,707 | 135,106 | ||||||||||
Church & Dwight Co., Inc. (Household Products) | 3,248 | 228,464 | ||||||||||
Coca-Cola Co. / The (Beverages) | 4,646 | 257,156 | ||||||||||
Coca-Cola European Partners PLC (Beverages) | 2,646 | 134,629 | ||||||||||
Costco Wholesale Corp. (Food & Staples Retailing) | 5,352 | 1,573,060 | ||||||||||
Estee Lauder Cos., Inc. / The Class A (Personal Products) | 4,392 | 907,124 | ||||||||||
Hershey Co. / The (Food Products) | 5,883 | 864,683 | ||||||||||
Molson Coors Brewing Co. Class B (Beverages) | 702 | 37,838 | ||||||||||
Monster Beverage Corp. (Beverages) | (a | ) | 4,573 | 290,614 | ||||||||
PepsiCo, Inc. (Beverages) | 6,343 | 866,898 | ||||||||||
Performance Food Group Co. (Food & Staples Retailing) | (a | ) | 1,729 | 89,009 | ||||||||
|
| |||||||||||
5,384,581 | ||||||||||||
|
| |||||||||||
ENERGY – 0.1% | ||||||||||||
Marathon Petroleum Corp. (Oil, Gas & Consumable Fuels) | 1,898 | 114,354 | ||||||||||
|
| |||||||||||
FINANCIALS – 3.6% | ||||||||||||
Affiliated Managers Group, Inc. (Capital Markets) | 848 | 71,859 | ||||||||||
Allstate Corp. / The (Insurance) | 1,808 | 203,309 | ||||||||||
Ally Financial, Inc. (Consumer Finance) | 3,896 | 119,062 | ||||||||||
American Express Co. (Consumer Finance) | 1,449 | 180,386 | ||||||||||
Aon PLC (Insurance) | 351 | 73,110 | ||||||||||
Brown & Brown, Inc. (Insurance) | 2,312 | 91,278 | ||||||||||
Charles Schwab Corp. / The (Capital Markets) . | 6,375 | 303,195 | ||||||||||
Cincinnati Financial Corp. (Insurance) | 1,425 | 149,839 | ||||||||||
Evercore, Inc. Class A (Capital Markets) | 764 | 57,117 | ||||||||||
FactSet Research Systems, Inc. (Capital Markets) | 1,698 | 455,573 | ||||||||||
First American Financial Corp. (Insurance) | 4,015 | 234,155 | ||||||||||
Intercontinental Exchange, Inc. (Capital Markets) | 5,085 | 470,617 | ||||||||||
Marsh & McLennan Cos., Inc. (Insurance) | 1,180 | 131,464 | ||||||||||
Moody’s Corp. (Capital Markets) | 1,498 | 355,640 | ||||||||||
S&P Global, Inc. (Capital Markets) | 3,719 | 1,015,473 | ||||||||||
SEI Investments Co. (Capital Markets) | 440 | 28,811 | ||||||||||
TD Ameritrade Holding Corp. (Capital Markets) . | 2,648 | 131,606 | ||||||||||
|
| |||||||||||
4,072,494 | ||||||||||||
|
| |||||||||||
HEALTH CARE – 14.7% | ||||||||||||
AbbVie, Inc. (Biotechnology) | 13,149 | 1,164,212 | ||||||||||
Alexion Pharmaceuticals, Inc. (Biotechnology) . | (a | ) | 1,510 | 163,306 | ||||||||
AmerisourceBergen Corp. (Health Care Providers & Svs.) | 2,092 | 177,862 | ||||||||||
Amgen, Inc. (Biotechnology) | 3,503 | 844,468 | ||||||||||
Anthem, Inc. (Health Care Providers & Svs.) | 2,954 | 892,197 | ||||||||||
Biogen, Inc. (Biotechnology) | (a | ) | 490 | 145,398 | ||||||||
Bristol-Myers Squibb Co. (Pharmaceuticals) | 13,806 | 886,207 | ||||||||||
CVS Health Corp. (Health Care Providers & Svs.) | 1,026 | 76,222 | ||||||||||
DexCom, Inc. (Health Care Equip. & Supplies) | (a | ) | 1,387 | 303,392 |
99 | (continued) |
Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Growth Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Common Stocks (Continued) | Shares | Value | ||||||||||
HEALTH CARE (continued) | ||||||||||||
Edwards Lifesciences Corp. (Health Care Equip. & Supplies) | (a | ) | 3,177 | $ | 741,162 | |||||||
Exelixis, Inc. (Biotechnology) | (a | ) | 999 | 17,602 | ||||||||
Gilead Sciences, Inc. (Biotechnology) | 19,815 | 1,287,579 | ||||||||||
Hologic, Inc. (Health Care Equip. & Supplies) | (a | ) | 5,301 | 276,765 | ||||||||
Humana, Inc. (Health Care Providers & Svs.) | 427 | 156,504 | ||||||||||
IDEXX Laboratories, Inc. (Health Care Equip. & Supplies) | (a | ) | 2,076 | 542,106 | ||||||||
Incyte Corp. (Biotechnology) | (a | ) | 3,464 | 302,476 | ||||||||
Insulet Corp. (Health Care Equip. & Supplies) | (a | ) | 208 | 35,610 | ||||||||
Ionis Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 2,160 | 130,486 | ||||||||
Johnson & Johnson (Pharmaceuticals) | 5,387 | 785,802 | ||||||||||
Masimo Corp. (Health Care Equip. & Supplies) . | (a | ) | 128 | 20,232 | ||||||||
McKesson Corp. (Health Care Providers & Svs.) | 164 | 22,684 | ||||||||||
Merck & Co., Inc. (Pharmaceuticals) | 20,767 | 1,888,759 | ||||||||||
Mylan N.V. (Pharmaceuticals) | (a | ) | 2,876 | 57,808 | ||||||||
Regeneron Pharmaceuticals, Inc. (Biotechnology) | (a | ) | 810 | 304,139 | ||||||||
Seattle Genetics, Inc. (Biotechnology) | (a | ) | 143 | 16,339 | ||||||||
Stryker Corp. (Health Care Equip. & Supplies) | 7,402 | 1,553,976 | ||||||||||
Thermo Fisher Scientific, Inc. (Life Sciences Tools & Svs.) | 769 | 249,825 | ||||||||||
United Therapeutics Corp. (Biotechnology) | (a | ) | 1,347 | 118,644 | ||||||||
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 4,879 | 1,434,328 | ||||||||||
Veeva Systems, Inc. Class A (Health Care Technology) | (a | ) | 2,183 | 307,061 | ||||||||
Vertex Pharmaceuticals, Inc. (Biotechnology) . | (a | ) | 4,459 | 976,298 | ||||||||
WellCare Health Plans, Inc. (Health Care Providers & Svs.) | (a | ) | 338 | 111,611 | ||||||||
Zoetis, Inc. (Pharmaceuticals) | 5,277 | 698,411 | ||||||||||
|
| |||||||||||
16,689,471 | ||||||||||||
|
| |||||||||||
INDUSTRIALS – 9.6% | ||||||||||||
AGCO Corp. (Machinery) | 863 | 66,667 | ||||||||||
Allegion PLC (Building Products) | 8,067 | 1,004,664 | ||||||||||
Boeing Co. / The (Aerospace & Defense) | 1,492 | 486,034 | ||||||||||
Carlisle Cos., Inc. (Industrial Conglomerates) | 237 | 38,356 | ||||||||||
Cintas Corp. (Commercial Svs. & Supplies) | 246 | 66,194 | ||||||||||
Copart, Inc. (Commercial Svs. & Supplies) | (a | ) | 1,886 | 171,513 | ||||||||
CoStar Group, Inc. (Professional Svs.) | (a | ) | 63 | 37,693 | ||||||||
Curtiss-Wright Corp. (Aerospace & Defense) | 228 | 32,123 | ||||||||||
Delta Air Lines, Inc. (Airlines) | 653 | 38,187 | ||||||||||
EMCOR Group, Inc. (Construction & Engineering) | 448 | 38,662 | ||||||||||
Expeditors International of Washington, Inc. (Air Freight & Logistics) | 2,161 | 168,601 | ||||||||||
Fluor Corp. (Construction & Engineering) | 1,015 | 19,163 | ||||||||||
GATX Corp. (Trading Companies & Distributors) | 4,138 | 342,833 | ||||||||||
HEICO Corp. (Aerospace & Defense) | 1,272 | 145,199 | ||||||||||
HEICO Corp. Class A (Aerospace & Defense) | 753 | 67,416 | ||||||||||
Hexcel Corp. (Aerospace & Defense) | 1,285 | 94,203 | ||||||||||
Honeywell International, Inc. (Industrial Conglomerates) | 1,518 | 268,686 | ||||||||||
Hubbell, Inc. (Electrical Equip.) | 2,753 | 406,949 | ||||||||||
IDEX Corp. (Machinery) | 1,863 | 320,436 | ||||||||||
Ingersoll-Rand PLC (Machinery) | 523 | 69,517 | ||||||||||
Landstar System, Inc. (Road & Rail) | 4,011 | 456,733 | ||||||||||
Lockheed Martin Corp. (Aerospace & Defense) | 4,840 | 1,884,599 | ||||||||||
MasTec, Inc. (Construction & Engineering) | (a | ) | 3,464 | 222,250 | ||||||||
Northrop Grumman Corp. (Aerospace & Defense) | 1,144 | 393,502 | ||||||||||
Old Dominion Freight Line, Inc. (Road & Rail) | 698 | 132,467 | ||||||||||
Oshkosh Corp. (Machinery) | 4,355 | 412,201 | ||||||||||
PACCAR, Inc. (Machinery) | 15,078 | 1,192,670 | ||||||||||
Raytheon Co. (Aerospace & Defense) | 1,292 | 283,904 |
Common Stocks (Continued) | Shares | Value | ||||||||||
INDUSTRIALS (continued) | ||||||||||||
Robert Half International, Inc. (Professional Svs.) | 5,163 | $ | 326,044 | |||||||||
Roper Technologies, Inc. (Industrial Conglomerates) | 818 | 289,760 | ||||||||||
Snap-on, Inc. (Machinery) | 816 | 138,230 | ||||||||||
Teledyne Technologies, Inc. (Aerospace & Defense) | (a | ) | 1,830 | 634,168 | ||||||||
United Airlines Holdings, Inc. (Airlines) | (a | ) | 2,402 | 211,592 | ||||||||
United Parcel Service, Inc. Class B (Air Freight & Logistics) | 2,355 | 275,676 | ||||||||||
Watsco, Inc. (Trading Companies & Distributors) | 80 | 14,412 | ||||||||||
Xylem, Inc. (Machinery) | 784 | 61,771 | ||||||||||
|
| |||||||||||
10,813,075 | ||||||||||||
|
| |||||||||||
INFORMATION TECHNOLOGY – 38.4% |
| |||||||||||
Accenture PLC Class A (IT Svs.) | 2,432 | 512,106 | ||||||||||
Adobe, Inc. (Software) | (a | ) | 4,059 | 1,338,699 | ||||||||
Advanced Micro Devices, Inc. (Semiconductors & Equip.) | (a | ) | 2,544 | 116,668 | ||||||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 33,230 | 9,757,990 | ||||||||||
Applied Materials, Inc. (Semiconductors & Equip.) | 7,968 | 486,367 | ||||||||||
Automatic Data Processing, Inc. (IT Svs.) | 8,205 | 1,398,953 | ||||||||||
Avnet, Inc. (Electronic Equip., Instr. & Comp.) | 1,359 | 57,676 | ||||||||||
Booz Allen Hamilton Holding Corp. (IT Svs.) | 477 | 33,929 | ||||||||||
Broadcom, Inc. (Semiconductors & Equip.) | 633 | 200,041 | ||||||||||
Broadridge Financial Solutions, Inc. (IT Svs.) | 3,099 | 382,850 | ||||||||||
CACI International, Inc. Class A (IT Svs.) | (a | ) | 116 | 28,999 | ||||||||
Cadence Design Systems, Inc. (Software) | (a | ) | 2,793 | 193,722 | ||||||||
CDW Corp. (Electronic Equip., Instr. & Comp.) | 6,558 | 936,745 | ||||||||||
Ciena Corp. (Communications Equip.) | (a | ) | 1,846 | 78,806 | ||||||||
Cirrus Logic, Inc. (Semiconductors & Equip.) | (a | ) | 3,972 | 327,333 | ||||||||
Cisco Systems, Inc. (Communications Equip.) | 23,715 | 1,137,371 | ||||||||||
Dropbox, Inc. Class A (Software) | (a | ) | 3,496 | 62,613 | ||||||||
DXC Technology Co. (IT Svs.) | 1,772 | 66,609 | ||||||||||
EPAM Systems, Inc. (IT Svs.) | (a | ) | 66 | 14,003 | ||||||||
Fiserv, Inc. (IT Svs.) | (a | ) | 1,161 | 134,246 | ||||||||
Fortinet, Inc. (Software) | (a | ) | 728 | 77,721 | ||||||||
GoDaddy, Inc. Class A (IT Svs.) | (a | ) | 4,185 | 284,245 | ||||||||
HP, Inc. (Tech. Hardware, Storage & Periph.) | 569 | 11,693 | ||||||||||
Intel Corp. (Semiconductors & Equip.) | 3,876 | 231,979 | ||||||||||
Intuit, Inc. (Software) | 5,110 | 1,338,462 | ||||||||||
Jack Henry & Associates, Inc. (IT Svs.) | 3,369 | 490,762 | ||||||||||
Lam Research Corp. (Semiconductors & Equip.) | 2,996 | 876,030 | ||||||||||
Manhattan Associates, Inc. (Software) | (a | ) | 3,231 | 257,672 | ||||||||
Mastercard, Inc. Class A (IT Svs.) | 10,794 | 3,222,980 | ||||||||||
Micron Technology, Inc. (Semiconductors & Equip.) | (a | ) | 719 | 38,668 | ||||||||
Microsoft Corp. (Software) | 60,145 | 9,484,867 | ||||||||||
National Instruments Corp. (Electronic Equip., Instr. & Comp.) | 2,463 | 104,283 | ||||||||||
NVIDIA Corp. (Semiconductors & Equip.) | 4,972 | 1,169,912 | ||||||||||
Paychex, Inc. (IT Svs.) | 16,509 | 1,404,256 | ||||||||||
Paycom Software, Inc. (Software) | (a | ) | 203 | 53,746 | ||||||||
Paylocity Holding Corp. (Software) | (a | ) | 3,683 | 444,980 | ||||||||
PayPal Holdings, Inc. (IT Svs.) | (a | ) | 7,259 | 785,206 | ||||||||
QUALCOMM, Inc. (Semiconductors & Equip.) | 5,713 | 504,058 | ||||||||||
RingCentral, Inc. Class A (Software) | (a | ) | 632 | 106,599 | ||||||||
salesforce.com, Inc. (Software) | (a | ) | 8,246 | 1,341,129 | ||||||||
ServiceNow, Inc. (Software) | (a | ) | 3,714 | 1,048,537 | ||||||||
Skyworks Solutions, Inc. (Semiconductors & Equip.) | 391 | 47,264 | ||||||||||
Square, Inc. Class A (IT Svs.) | (a | ) | 1,632 | 102,098 | ||||||||
Texas Instruments, Inc. (Semiconductors & Equip.) | 6,227 | 798,862 | ||||||||||
VeriSign, Inc. (IT Svs.) | (a | ) | 794 | 152,988 |
100 | (continued) |
Ohio National Fund, Inc. | ON BlackRock Advantage Large Cap Growth Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Common Stocks (Continued) | Shares | Value | ||||||||||
INFORMATION TECHNOLOGY (continued) | ||||||||||||
Visa, Inc. (IT Svs.) | 6,961 | $ | 1,307,972 | |||||||||
Workday, Inc. Class A (Software) | (a | ) | 3,013 | 495,488 | ||||||||
|
| |||||||||||
43,448,183 | ||||||||||||
|
| |||||||||||
MATERIALS – 0.8% | ||||||||||||
Alcoa Corp. (Metals & Mining) | (a | ) | 4,345 | 93,461 | ||||||||
Domtar Corp. (Paper & Forest Products) | 3,527 | 134,872 | ||||||||||
Ecolab, Inc. (Chemicals) | 249 | 48,055 | ||||||||||
Mosaic Co. / The (Chemicals) | 3,202 | 69,291 | ||||||||||
Reliance Steel & Aluminum Co. (Metals & Mining) | 131 | 15,689 | ||||||||||
ScottsMiracle-Gro Co. / The (Chemicals) | 276 | 29,306 | ||||||||||
Sherwin-Williams Co. / The (Chemicals) | 934 | 545,026 | ||||||||||
|
| |||||||||||
935,700 | ||||||||||||
|
| |||||||||||
REAL ESTATE – 1.8% | ||||||||||||
Equity Residential (Equity REIT) | 522 | 42,240 | ||||||||||
Invitation Homes, Inc. (Equity REIT) | 5,845 | 175,175 | ||||||||||
Lamar Advertising Co. Class A (Equity REIT) | 5,037 | 449,603 | ||||||||||
National Retail Properties, Inc. (Equity REIT) | 3,575 | 191,691 | ||||||||||
Park Hotels & Resorts, Inc. (Equity REIT) | 11,921 | 308,396 | ||||||||||
RLJ Lodging Trust (Equity REIT) | 5,000 | 88,600 | ||||||||||
SBA Communications Corp. (Equity REIT) | 145 | 34,944 | ||||||||||
Simon Property Group, Inc. (Equity REIT) | 3,840 | 572,006 | ||||||||||
STAG Industrial, Inc. (Equity REIT) | 5,036 | 158,987 | ||||||||||
|
| |||||||||||
2,021,642 | ||||||||||||
|
|
Common Stocks (Continued) | Shares | Value | ||||||||||
UTILITIES – 0.4% | ||||||||||||
Ameren Corp. (Multi-Utilities) | 1,768 | $ | 135,782 | |||||||||
DTE Energy Co. (Multi-Utilities) | 1,269 | 164,805 | ||||||||||
Pinnacle West Capital Corp. (Electric Utilities) | 136 | 12,231 | ||||||||||
Xcel Energy, Inc. (Electric Utilities) | 3,088 | 196,057 | ||||||||||
|
| |||||||||||
508,875 | ||||||||||||
|
| |||||||||||
Total Common Stocks (Cost $97,290,093) |
| $ | 112,669,548 | |||||||||
|
| |||||||||||
Rights – 0.0% | Quantity | Value | ||||||||||
HEALTH CARE – 0.0% | ||||||||||||
Bristol-Myers Squibb Co. (Pharmaceuticals) | (a | ) | 5,350 | $ | 16,103 | |||||||
|
| |||||||||||
Total Rights (Cost $11,396) | $ | 16,103 | ||||||||||
|
| |||||||||||
Money Market Funds – 1.0% | Shares | Value | ||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class, 1.734% | (b | ) | 1,063,596 | $ | 1,063,702 | |||||||
|
| |||||||||||
Total Money Market Funds (Cost $1,063,702) |
| $ | 1,063,702 | |||||||||
|
| |||||||||||
Total Investments – 100.5% (Cost $98,365,191) | (c | ) | $ | 113,749,353 | ||||||||
Liabilities in Excess of Other Assets – (0.5)% | (d | ) | (557,194 | ) | ||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 113,192,159 | ||||||||||
|
|
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: | American Depositary Receipts |
Footnotes:
(a) | Non-income producing security. |
(b) | Rate represents theseven-day yield at December 31, 2019. |
(c) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
(d) | Includes $44,100 of cash pledged as collateral for the futures contracts outstanding at December 31, 2019. See also the following Schedule of Open Futures Contracts. |
The accompanying notes are an integral part of these financial statements.
Schedule of Open Futures Contracts | December 31, 2019 |
Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||
CMEE-mini S&P 500 Index - Long | 7 | March 20, 2020 | $1,112,851 | $1,130,885 | $18,034 | $333 |
The accompanying notes are an integral part of these financial statements.
101
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Unaudited) |
Objective/Strategy |
The ON Risk Managed Balanced Portfolio seeks long-term capital growth, consistent with preservation of capital and balanced by current income. The Portfolio invests in a balanced portfolio of equity and fixed-income securities (the “Balanced Component”) and a risk management portfolio intended to enhance the risk adjusted return of the Portfolio (the “Risk Management Component”).
Performance as of December 31, 2019 |
Average Annual returns | ||||
One year | 25.16% | |||
Five years | 8.39% | |||
Since inception (5/1/14) | 8.88% |
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-free1-877-781-6392.
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 1.01% per the Fund’s prospectus dated November 22, 2019. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2019 can be found in the Portfolio’s Financial Highlights.
Comments fromSub-Advisers |
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A.For the year ended December 31, 2019, the Portfolio returned 25.16% versus 31.49% for its benchmark, the S&P 500 Index. The Portfolio’s current secondary benchmark, which is comprised of 55% S&P 500 Index/ 45% ICE BofAML U.S. Broad Market Index returned 21.12% for the year, while its former secondary benchmark, which is comprised of 55% S&P 500 Index and 45% Bloomberg Barclays U.S. Aggregate Bond Index, returned 21.03% for the year.
Effective December 7, 2019, the Portfolio changed its secondary benchmark from 55% S&P 500 Index/ 45% Bloomberg Barclays U.S. Aggregate Bond Index to 55% S&P 500 Index/ 45% ICE BofAML U.S. Broad Market Index in an effort to minimize index licensing costs while maintaining a secondary benchmark that closely reflects the style of the Portfolio’s investment strategy.
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 posted strong gains, but underperformed the S&P 500 Index during the year, due to its allocation to bonds in a period when equities posted robust gains. The Portfolio ended December with approximately 38% allocated to fixed income, 62% allocated to equities and a small portion in cash. The asset allocations may vary based on market conditions, and positioning reflected the portfolio managers’ belief that equities offered greater risk-adjusted opportunities versus fixed income throughout the year.(1)
The equity sleeve of the Balanced Component outperformed the S&P 500 Index, aided by strong sector allocation decisions. An overweight and security selection in Information Technology were particularly beneficial, as technology led the S&P 500 Index higher. (1)
The fixed income sleeve of the Balanced Component outperformed the ICE BofAML U.S. Broad Market Index but underperformed the S&P 500 Index. Following the Federal Reserve’s (“Fed”) pivot early in 2019, the portfolio managers maintained a constructive outlook on credit markets, believing they would be supported by the more accommodative Fed, a healthy consumer and favorable financial conditions, as well as investors’ continued search for yield. Exposure to floating-rate securities, including bank loans, was reduced given the Fed’s adjusted stance. The Treasury allocation was also reduced over the year, as was overall Portfolio duration. As corporate bonds fared well during the year, the Portfolio’s allocation to both investment-grade and high-yield corporate bonds generated strong positive returns. Given robustyear-to-date returns and less attractive valuations, the Portfolio managers opted to take profits in high yield near period end, reducing exposure to both metals and mining and energy. As the year progressed, the investment team increased its focus on higher-quality issuers with stable free-cash-flow-generative business models. An allocation to the banking sector was increased as aggregate earnings reports confirmed that a stabilizing economy and a steepening yield curve were improving the sector’s health.
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, sector allocation decisions contributed to its outperformance relative to the S&P 500 Index. An overweight to the strongest-performing sector, Information Technology, proved beneficial. The Portfolio’s underweight to the weakest-performing sector, Energy, also aided relative returns. Overall, stock selection had minimal impact on relative results. While holdings in Information Technology outperformed the broad sector, the impact was offset by weak security selection in Industrials.(1)
In the fixed income sleeve, a focus on companies that prioritize sound fundamentals and deleveraging their balance sheets proved beneficial, as many of our larger positions benefited from spread tightening.(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. For the calendar year 2019, this allocation ranged between 18.4% and 23.2%, and ended the year representing approximately 22.4% 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 a benchmark. For the calendar year 2019, the Risk Management Component enhanced the risk-adjusted return, as the Portfolio’s return was 2.9% higher than the Balanced Component and the Portfolio’s annualized volatility was approximately 0.4% lower than the Balanced Component. The net gain in the Risk Management Component was attributable to gains from the long Treasury futures positions and long equity index futures held over the period, which more than offset a loss from index-based options due to the time decay of premium value.(1)
102 | (continued) |
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Unaudited) (Continued) |
Q. Which holdings contributed the most to, and detracted the most from, the Portfolio’s benchmark-relative performance?
A.Multinational financial services corporation Mastercard, Inc. Class A was the strongest individual contributor to relative performance. The company is growing faster than its competition and benefiting from smart acquisitions and its fixed-cost business model, which is resulting in high incremental margins. Payments companies continue to benefit as credit cards and electronic payments grow in popularity among consumers and businesses globally. Information Technology company Microsoft Corp. was the second-strongest positive contributor to relative performance. The company’s Azure cloud platform and subscription-based Office 365 suite continue to grow, and the demand outlook for these products remains robust.(1)
JPMorgan Chase & Co. and Facebook, Inc. Class A, stocks that performed well in the benchmark but not held in the Portfolio, were the largest relative detractors. Online retailer Amazon.com, Inc. was the largest benchmark-owned detractor on a relative basis. We were underweight and the stock rose early in the period. The company reported a modest deceleration in its Amazon Web Services (“AWS”) revenue, which we would expect as the cloud business grows ever larger in size. It also increased spending on itsone-day delivery service. We remain positive on the company, as itsone-day shipping should be accretive to Amazon’s long-term growth story, and AWS revenue still grew more than the rest of its competition combined – a testament to its dominant industry position. Information Technology company Apple, Inc. was the second-largest owned detractor from relative performance. The stock generated very strong performance during the year, and the Portfolio’s underweight position detracted from relative results.(1)
Q. How did the Portfolio’s use of derivative instruments and initial public offerings (IPOs), if any, impact overall Portfolio performance?
A.The Risk Management Component contributed 6.8% to the absolute return of the aggregate Portfolio during the year, primarily due to the use of derivative instruments. This was driven mainly by gains on both treasury and equity futures, slightly offset by the time decay of premium value of the Portfolio’s options. IPOs did not have a significant impact on performance.(1)
Q. Were there any significant changes to the Portfolio’s management team, investment strategy, or selection process during the reporting period?
A. Janus:There were no changes to the investment strategy or selection process during the period, nor were their changes to the equity sleeve’s portfolio management team. Within the fixed income sleeve, long-standing portfolio manager Darrell Watters retired from the firm at the end of 2019. Michael Keough, named portfolio manager alongside Darrell on Janus Henderson’s Core Plus portfolios, joined the Portfolio’s management team. Effective February 1, 2020, Mayur Saigal will be departing the firm for personal reasons, and industry veteran Greg Wilensky, CFA, will join Janus Henderson as Head of U.S. Fixed Income and portfolio manager on the ON Risk Managed Balanced Portfolio.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2019. |
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.
Effective December 7, 2019, the secondary benchmark for the Portfolio was changed from 55% S&P 500 Index/ 45% Bloomberg Barclays U.S. Aggregate Bond Index to 55% S&P 500 Index/ 45% ICE BofAML U.S. Broad Market Index. The change in benchmark was made to to minimize index licensing costs while maintaining a secondary benchmark that closely reflects the style of the Portfolio’s investment strategy.
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 ICE BofAML U.S. Broad Market Index measures the performance of U.S. dollar-denominated, investment grade debt securities, including U.S. Treasury notes and bonds, quasi-government securities, corporate securities, residential and commercial mortgage-backed securities and asset-backed securities. Securities arecap-weighted based on their amount outstanding times the market price plus accrued interest.
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.
Past performance is no guarantee of future results. Redemption of fund shares could have tax implications unique to each shareholder.
103 | (continued) |
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Unaudited) (Continued) |
Portfolio Composition as of December 31, 2019(1) |
% of Net Assets | ||||
Common Stocks(4) | 47.9 | |||
Corporate Bonds(4) | 11.6 | |||
U.S. Government Agency Mortgage-Backed Securities | 8.8 | |||
U.S. Treasury Obligations | 7.3 | |||
Purchased Options | 7.1 | |||
Asset-Backed / Mortgage-Backed Securities(4) | 2.3 | |||
Preferred Securities(4) | 0.2 | |||
Money Market Funds | 14.8 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31, 2019 (1) (2) (3) |
% of Net Assets | ||||||
1. | Microsoft Corp. | 3.3 | ||||
2. | Mastercard, Inc. Class A | 2.3 | ||||
3. | Apple, Inc. | 1.9 | ||||
4. | Alphabet, Inc. Class C | 1.8 | ||||
5. | UnitedHealth Group, Inc. | 1.5 | ||||
6. | S&P 500 Index Call Option | 1.4 | ||||
7. | U.S. Treasury Note | 1.4 | ||||
8. | McDonald’s Corp. | 1.4 | ||||
9. | Boeing Co. / The | 1.4 | ||||
10. | Home Depot, Inc. / The | 1.3 |
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. |
(3) | Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher. |
(4) | Sectors (Common Stocks, Corporate Bonds, Preferred Securities, Asset-Backed / Mortgage Backed Securities): |
% of Net Assets | ||||
Information Technology | 14.7 | |||
Financials | 9.5 | |||
Consumer Discretionary | 7.8 | |||
Health Care | 7.7 | |||
Industrials | 6.1 | |||
Consumer Staples | 5.6 | |||
Communication Services | 5.1 | |||
Real Estate | 2.0 | |||
Energy | 1.7 | |||
Materials | 1.4 | |||
Utilities | 0.4 | |||
|
| |||
62.0 | ||||
|
|
104
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio |
Schedule of Investments | December 31, 2019 |
Common Stocks – 47.9% | Shares | Value | ||||||||||
COMMUNICATION SERVICES – 3.6% |
| |||||||||||
Alphabet, Inc. Class C (Interactive Media & Svs.) | (a | ) | 5,522 | $ | 7,383,024 | |||||||
Comcast Corp. Class A (Media) | 97,802 | 4,398,156 | ||||||||||
Walt Disney Co. / The (Entertainment) | 19,781 | 2,860,926 | ||||||||||
|
| |||||||||||
14,642,106 | ||||||||||||
|
| |||||||||||
CONSUMER DISCRETIONARY – 6.1% |
| |||||||||||
Amazon.com, Inc. (Internet & Direct Marketing Retail) | (a | ) | 1,356 | 2,505,671 | ||||||||
Dollar General Corp. (Multiline Retail) | 5,959 | 929,485 | ||||||||||
General Motors Co. (Automobiles) | 36,248 | 1,326,677 | ||||||||||
Hasbro, Inc. (Leisure Products) | 19,916 | 2,103,329 | ||||||||||
Hilton Worldwide Holdings, Inc. (Hotels, Restaurants & Leisure) | 23,432 | 2,598,843 | ||||||||||
Home Depot, Inc. / The (Specialty Retail) | 23,605 | 5,154,860 | ||||||||||
McDonald’s Corp. (Hotels, Restaurants & Leisure) | 28,093 | 5,551,458 | ||||||||||
NIKE, Inc. Class B (Textiles, Apparel & Luxury Goods) | 27,934 | 2,829,993 | ||||||||||
Norwegian Cruise Line Holdings Ltd. (Hotels, Restaurants & Leisure) | (a | ) | 28,567 | 1,668,598 | ||||||||
|
| |||||||||||
24,668,914 | ||||||||||||
|
| |||||||||||
CONSUMER STAPLES – 4.6% |
| |||||||||||
Altria Group, Inc. (Tobacco) | 87,743 | 4,379,253 | ||||||||||
Clorox Co. / The (Household Products) | 5,086 | 780,904 | ||||||||||
Costco Wholesale Corp. (Food & Staples Retailing) | 13,578 | 3,990,846 | ||||||||||
Estee Lauder Cos., Inc. / The Class A (Personal Products) | 7,101 | 1,466,641 | ||||||||||
Hershey Co. / The (Food Products) | 10,705 | 1,573,421 | ||||||||||
Monster Beverage Corp. (Beverages) | (a | ) | 14,838 | 942,955 | ||||||||
Procter & Gamble Co. / The (Household Products) | 13,508 | 1,687,149 | ||||||||||
Sysco Corp. (Food & Staples Retailing) | 41,782 | 3,574,032 | ||||||||||
|
| |||||||||||
18,395,201 | ||||||||||||
|
| |||||||||||
ENERGY – 0.8% |
| |||||||||||
EOG Resources, Inc. (Oil, Gas & Consumable Fuels) | 14,099 | 1,180,932 | ||||||||||
Suncor Energy, Inc. (Oil, Gas & Consumable Fuels) | 65,265 | 2,140,692 | ||||||||||
|
| |||||||||||
3,321,624 | ||||||||||||
|
| |||||||||||
FINANCIALS – 5.8% |
| |||||||||||
American Express Co. (Consumer Finance) | 18,759 | 2,335,308 | ||||||||||
Bank of America Corp. (Banks) | 88,890 | 3,130,706 | ||||||||||
Blackstone Group, Inc. / The Class A (Capital Markets) | 47,493 | 2,656,758 | ||||||||||
CME Group, Inc. (Capital Markets) | 13,710 | 2,751,871 | ||||||||||
Morgan Stanley (Capital Markets) | 36,245 | 1,852,844 | ||||||||||
Progressive Corp. / The (Insurance) | 36,097 | 2,613,062 | ||||||||||
Synchrony Financial (Consumer Finance) | 61,809 | 2,225,742 | ||||||||||
TD Ameritrade Holding Corp. (Capital Markets) | 26,578 | 1,320,927 | ||||||||||
U.S. Bancorp (Banks) | 75,847 | 4,496,969 | ||||||||||
|
| |||||||||||
23,384,187 | ||||||||||||
|
| |||||||||||
HEALTH CARE – 6.1% |
| |||||||||||
Abbott Laboratories (Health Care Equip. & Supplies) | 34,738 | 3,017,343 | ||||||||||
Bristol-Myers Squibb Co. (Pharmaceuticals) | 52,350 | 3,360,347 | ||||||||||
Eli Lilly & Co. (Pharmaceuticals) | 23,801 | 3,128,165 | ||||||||||
Medtronic PLC (Health Care Equip. & Supplies) | 20,816 | 2,361,575 | ||||||||||
Merck & Co., Inc. (Pharmaceuticals) | 53,015 | 4,821,714 | ||||||||||
Thermo Fisher Scientific, Inc. (Life Sciences Tools & Svs.) | 5,928 | 1,925,829 | ||||||||||
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 20,461 | 6,015,125 | ||||||||||
|
| |||||||||||
24,630,098 | ||||||||||||
|
| |||||||||||
INDUSTRIALS – 5.0% |
| |||||||||||
Boeing Co. / The (Aerospace & Defense) | 16,679 | 5,433,351 | ||||||||||
CSX Corp. (Road & Rail) | 37,786 | 2,734,195 | ||||||||||
Deere & Co. (Machinery) | 11,808 | 2,045,854 | ||||||||||
Delta Air Lines, Inc. (Airlines) | 31,696 | 1,853,582 | ||||||||||
General Dynamics Corp. (Aerospace & Defense) | 22,526 | 3,972,460 | ||||||||||
Honeywell International, Inc. (Industrial Conglomerates) | 10,985 | 1,944,345 | ||||||||||
Stanley Black & Decker, Inc. (Machinery) | 6,623 | 1,097,696 | ||||||||||
United Parcel Service, Inc. Class B (Air Freight & Logistics) | 11,290 | 1,321,608 | ||||||||||
|
| |||||||||||
20,403,091 | ||||||||||||
|
| |||||||||||
INFORMATION TECHNOLOGY – 13.4% |
| |||||||||||
Accenture PLC Class A (IT Svs.) | 20,250 | 4,264,042 | ||||||||||
Adobe, Inc. (Software) | (a | ) | 14,270 | 4,706,389 | ||||||||
Apple, Inc. (Tech. Hardware, Storage & Periph.) | 26,662 | 7,829,296 |
105 | (continued) |
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Common Stocks (Continued) | Shares | Value | ||||||||||
INFORMATION TECHNOLOGY (continued) |
| |||||||||||
Corning, Inc. (Electronic Equip., Instr. & Comp.) | 57,718 | $ | 1,680,171 | |||||||||
Intel Corp. (Semiconductors & Equip.) | 56,495 | 3,381,226 | ||||||||||
Lam Research Corp. (Semiconductors & Equip.) | 10,204 | 2,983,650 | ||||||||||
Mastercard, Inc. Class A (IT Svs.) | 31,641 | 9,447,686 | ||||||||||
Microsoft Corp. (Software) | 83,877 | 13,227,401 | ||||||||||
NVIDIA Corp. (Semiconductors & Equip.) | 8,005 | 1,883,576 | ||||||||||
salesforce.com, Inc. (Software) | (a | ) | 11,984 | 1,949,078 | ||||||||
Texas Instruments, Inc. (Semiconductors & Equip.) | 20,411 | 2,618,527 | ||||||||||
|
| |||||||||||
53,971,042 | ||||||||||||
|
| |||||||||||
MATERIALS – 1.0% |
| |||||||||||
LyondellBasell Industries N.V. Class A (Chemicals) | 42,354 | 4,001,606 | ||||||||||
|
| |||||||||||
REAL ESTATE – 1.5% |
| |||||||||||
CBRE Group, Inc. Class A (Real Estate Mgmt. & Development) | (a | ) | 34,720 | 2,127,989 | ||||||||
Crown Castle International Corp. (Equity REIT) | 12,661 | 1,799,761 | ||||||||||
MGM Growth Properties LLC Class A (Equity REIT) | 38,117 | 1,180,484 | ||||||||||
Outfront Media, Inc. (Equity REIT) | 34,622 | 928,562 | ||||||||||
|
| |||||||||||
6,036,796 | ||||||||||||
|
| |||||||||||
Total Common Stocks (Cost $133,570,216) |
| $ | 193,454,665 | |||||||||
|
|
Corporate Bonds – 11.6% | Rate | Maturity | Face Amount | Value | ||||||||||||||
COMMUNICATION SERVICES – 1.5% | ||||||||||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 3.600 | % | 07/15/2025 | $ | 112,000 | $ | 118,447 | |||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 4.350 | % | 03/01/2029 | 280,000 | 311,090 | |||||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 5.250 | % | 03/01/2037 | 74,000 | 88,221 | |||||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 4.850 | % | 03/01/2039 | 158,000 | 181,805 | |||||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 4.750 | % | 05/15/2046 | 154,000 | 173,780 | |||||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 5.150 | % | 11/15/2046 | 113,000 | 134,929 | |||||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 4.500 | % | 03/09/2048 | 142,000 | 156,667 | |||||||||||||
CenturyLink, Inc. (Diversified Telecom. Svs.) | 6.450 | % | 06/15/2021 | 124,000 | 129,797 | |||||||||||||
CenturyLink, Inc. (Diversified Telecom. Svs.) | 5.800 | % | 03/15/2022 | 102,000 | 107,230 | |||||||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital (Media) | 5.050 | % | 03/30/2029 | 856,000 | 969,997 | |||||||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital (Media) | 6.484 | % | 10/23/2045 | 62,000 | 77,319 | |||||||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital (Media) | 5.375 | % | 05/01/2047 | 49,000 | 54,820 | |||||||||||||
Charter Communications Operating LLC / Charter Communications Operating Capital (Media) | 4.800 | % | 03/01/2050 | 265,000 | 278,472 | |||||||||||||
Comcast Corp. (Media) | 3.150 | % | 03/01/2026 | 146,000 | 152,920 | |||||||||||||
Comcast Corp. (Media) | 4.150 | % | 10/15/2028 | 123,000 | 138,361 | |||||||||||||
Comcast Corp. (Media) | 2.650 | % | 02/01/2030 | 113,000 | 113,310 | |||||||||||||
Comcast Corp. (Media) | 4.250 | % | 10/15/2030 | 189,000 | 215,780 | |||||||||||||
Comcast Corp. (Media) | 4.600 | % | 10/15/2038 | 122,000 | 145,111 | |||||||||||||
Comcast Corp. (Media) | 4.950 | % | 10/15/2058 | 111,000 | 144,126 | |||||||||||||
CSC Holdings LLC (Media) | (b) | 6.500 | % | 02/01/2029 | 297,000 | 331,155 | ||||||||||||
Fox Corp. (Media) | (b) | 4.030 | % | 01/25/2024 | 105,000 | 111,873 | ||||||||||||
Level 3 Financing, Inc. (Diversified Telecom. Svs.) | (b) | 3.875 | % | 11/15/2029 | 330,000 | 332,475 | ||||||||||||
T-Mobile U.S.A., Inc. (Wireless Telecom. Svs.) | 6.375 | % | 03/01/2025 | 300,000 | 309,999 | |||||||||||||
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 2.625 | % | 08/15/2026 | 149,000 | 151,161 | |||||||||||||
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 4.329 | % | 09/21/2028 | 467,000 | 529,311 | |||||||||||||
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 4.862 | % | 08/21/2046 | 93,000 | 115,100 | |||||||||||||
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 4.522 | % | 09/15/2048 | 69,000 | 82,529 | |||||||||||||
ViacomCBS, Inc. (Media) | 5.850 | % | 09/01/2043 | 230,000 | 287,423 | |||||||||||||
|
| |||||||||||||||||
5,943,208 | ||||||||||||||||||
|
| |||||||||||||||||
CONSUMER DISCRETIONARY – 1.0% | ||||||||||||||||||
AutoZone, Inc. (Specialty Retail) | 3.750 | % | 04/18/2029 | 238,000 | 251,795 | |||||||||||||
Choice Hotels International, Inc. (Hotels, Restaurants & Leisure) | 3.700 | % | 12/01/2029 | 255,000 | 256,859 | |||||||||||||
General Motors Co. (Automobiles) | 4.200 | % | 10/01/2027 | 94,000 | 98,199 | |||||||||||||
General Motors Co. (Automobiles) | 5.000 | % | 10/01/2028 | 269,000 | 292,691 | |||||||||||||
General Motors Co. (Automobiles) | 5.400 | % | 04/01/2048 | 90,000 | 92,958 | |||||||||||||
General Motors Co. (Automobiles) | 5.950 | % | 04/01/2049 | 69,000 | 76,287 | |||||||||||||
GLP Capital LP / GLP Financing II, Inc. (Hotels, Restaurants & Leisure) | 3.350 | % | 09/01/2024 | 45,000 | 45,932 | |||||||||||||
GLP Capital LP / GLP Financing II, Inc. (Hotels, Restaurants & Leisure) | 5.250 | % | 06/01/2025 | 88,000 | 96,589 | |||||||||||||
GLP Capital LP / GLP Financing II, Inc. (Hotels, Restaurants & Leisure) | 5.375 | % | 04/15/2026 | 102,000 | 112,751 | |||||||||||||
GLP Capital LP / GLP Financing II, Inc. (Hotels, Restaurants & Leisure) | 4.000 | % | 01/15/2030 | 305,000 | 311,313 | |||||||||||||
Hasbro, Inc. (Leisure Products) | 3.000 | % | 11/19/2024 | 145,000 | 145,612 | |||||||||||||
Hasbro, Inc. (Leisure Products) | 3.550 | % | 11/19/2026 | 193,000 | 194,142 | |||||||||||||
Hasbro, Inc. (Leisure Products) | 3.900 | % | 11/19/2029 | 519,000 | 522,111 | |||||||||||||
McDonald’s Corp. (Hotels, Restaurants & Leisure) | 2.625 | % | 09/01/2029 | 288,000 | 287,979 | |||||||||||||
McDonald’s Corp. (Hotels, Restaurants & Leisure) | 3.625 | % | 09/01/2049 | 147,000 | 149,026 |
106 | (continued) |
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||
CONSUMER DISCRETIONARY (continued) | ||||||||||||||||||
MDC Holdings, Inc. (Household Durables) | 5.500% | 01/15/2024 | $ 53,000 | $ | 57,638 | |||||||||||||
MGM Resorts International (Hotels, Restaurants & Leisure) | 7.750% | 03/15/2022 | 44,000 | 49,060 | ||||||||||||||
Nordstrom, Inc. (Multiline Retail) | 4.375% | 04/01/2030 | 274,000 | 279,039 | ||||||||||||||
O’Reilly Automotive, Inc. (Specialty Retail) | 3.600% | 09/01/2027 | 6,000 | 6,397 | ||||||||||||||
O’Reilly Automotive, Inc. (Specialty Retail) | 4.350% | 06/01/2028 | 47,000 | 52,413 | ||||||||||||||
O’Reilly Automotive, Inc. (Specialty Retail) | 3.900% | 06/01/2029 | 275,000 | 300,115 | ||||||||||||||
Starbucks Corp. (Hotels, Restaurants & Leisure) | 4.450% | 08/15/2049 | 180,000 | 208,123 | ||||||||||||||
|
| |||||||||||||||||
3,887,029 | ||||||||||||||||||
|
| |||||||||||||||||
CONSUMER STAPLES – 1.0% | ||||||||||||||||||
Anheuser-Busch InBev Worldwide, Inc. (Beverages) | 4.150% | 01/23/2025 | 512,000 | 557,025 | ||||||||||||||
Anheuser-Busch InBev Worldwide, Inc. (Beverages) | 4.750% | 01/23/2029 | 242,000 | 280,153 | ||||||||||||||
Campbell Soup Co. (Food Products) | 3.950% | 03/15/2025 | 113,000 | 120,294 | ||||||||||||||
Campbell Soup Co. (Food Products) | 4.150% | 03/15/2028 | 221,000 | 239,650 | ||||||||||||||
Campbell Soup Co. (Food Products) | 4.800% | 03/15/2048 | 238,000 | 274,849 | ||||||||||||||
General Mills, Inc. (Food Products) | 4.200% | 04/17/2028 | 281,000 | 312,852 | ||||||||||||||
Keurig Dr Pepper, Inc. (Beverages) | 4.597% | 05/25/2028 | 277,000 | 310,675 | ||||||||||||||
Keurig Dr Pepper, Inc. (Beverages) | 5.085% | 05/25/2048 | 111,000 | 133,332 | ||||||||||||||
Kraft Heinz Foods Co. (Food Products) | 3.000% | 06/01/2026 | 518,000 | 517,584 | ||||||||||||||
Kraft Heinz Foods Co. (Food Products) | 4.625% | 01/30/2029 | 98,000 | 107,679 | ||||||||||||||
Kraft Heinz Foods Co. (Food Products) | 4.375% | 06/01/2046 | 217,000 | 213,290 | ||||||||||||||
Mars, Inc. (Food Products) | (b) | 2.700% | 04/01/2025 | 113,000 | 115,524 | |||||||||||||
Mars, Inc. (Food Products) | (b) | 3.200% | 04/01/2030 | 139,000 | 147,008 | |||||||||||||
Mars, Inc. (Food Products) | (b) | 4.200% | 04/01/2059 | 118,000 | 134,464 | |||||||||||||
Mondelez International Holdings Netherlands BV (Food Products) | (b) | 2.250% | 09/19/2024 | 249,000 | 248,108 | |||||||||||||
Reckson Operating Partnership LP (Household Products) | 7.750% | 03/15/2020 | 237,000 | 239,611 | ||||||||||||||
Sysco Corp. (Food & Staples Retailing) | 2.500% | 07/15/2021 | 73,000 | 73,600 | ||||||||||||||
|
| |||||||||||||||||
4,025,698 | ||||||||||||||||||
|
| |||||||||||||||||
ENERGY – 0.9% | ||||||||||||||||||
Cheniere Corpus Christi Holdings LLC (Oil, Gas & Consumable Fuels) | (b) | 3.700% | 11/15/2029 | 557,000 | 568,019 | |||||||||||||
Continental Resources, Inc. (Oil, Gas & Consumable Fuels) | 5.000% | 09/15/2022 | 245,000 | 246,633 | ||||||||||||||
Continental Resources, Inc. (Oil, Gas & Consumable Fuels) | 4.500% | 04/15/2023 | 179,000 | 186,917 | ||||||||||||||
Energy Transfer Operating LP (Oil, Gas & Consumable Fuels) | 5.875% | 01/15/2024 | 127,000 | 140,504 | ||||||||||||||
Energy Transfer Operating LP (Oil, Gas & Consumable Fuels) | 5.500% | 06/01/2027 | 98,000 | 110,060 | ||||||||||||||
Energy Transfer Operating LP (Oil, Gas & Consumable Fuels) | 4.950% | 06/15/2028 | 25,000 | 27,362 | ||||||||||||||
EQM Midstream Partners LP (Oil, Gas & Consumable Fuels) | 5.500% | 07/15/2028 | 234,000 | 229,731 | ||||||||||||||
Hess Corp. (Oil, Gas & Consumable Fuels) | 4.300% | 04/01/2027 | 258,000 | 275,123 | ||||||||||||||
Hess Midstream Operations LP (Oil, Gas & Consumable Fuels) | (b) | 5.125% | 06/15/2028 | 381,000 | 385,762 | |||||||||||||
HollyFrontier Corp. (Oil, Gas & Consumable Fuels) | 5.875% | 04/01/2026 | 242,000 | 272,591 | ||||||||||||||
Kinder Morgan, Inc. (Oil, Gas & Consumable Fuels) | 4.300% | 03/01/2028 | 69,000 | 75,190 | ||||||||||||||
Kinder Morgan, Inc. (Oil, Gas & Consumable Fuels) | 5.550% | 06/01/2045 | 66,000 | 78,897 | ||||||||||||||
Kinder Morgan, Inc. (Oil, Gas & Consumable Fuels) | 5.200% | 03/01/2048 | 44,000 | 50,946 | ||||||||||||||
NGPL PipeCo LLC (Oil, Gas & Consumable Fuels) | (b) | 4.375% | 08/15/2022 | 189,000 | 196,221 | |||||||||||||
NGPL PipeCo LLC (Oil, Gas & Consumable Fuels) | (b) | 4.875% | 08/15/2027 | 242,000 | 256,909 | |||||||||||||
Petroleos Mexicanos (Oil, Gas & Consumable Fuels) | (b) | 6.840% | 01/23/2030 | 61,000 | 65,047 | |||||||||||||
Petroleos Mexicanos (Oil, Gas & Consumable Fuels) | (b) | 7.690% | 01/23/2050 | 56,000 | 61,115 | |||||||||||||
Plains All American Pipeline LP (Oil, Gas & Consumable Fuels) | 4.650% | 10/15/2025 | 241,000 | 257,973 | ||||||||||||||
Sabine Pass Liquefaction LLC (Oil, Gas & Consumable Fuels) | 4.200% | 03/15/2028 | 140,000 | 148,233 | ||||||||||||||
Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp. (Oil, Gas & Consumable Fuels) | (b) | 4.750% | 10/01/2023 | 134,000 | 133,665 | |||||||||||||
|
| |||||||||||||||||
3,766,898 | ||||||||||||||||||
|
| |||||||||||||||||
FINANCIALS – 2.0% | ||||||||||||||||||
Bank of America Corp. (Rate is fixed until 04/24/2027, at which point, the rate becomes QL + 151) (Banks) | (c) | 3.705% | 04/24/2028 | 501,000 | 535,116 | |||||||||||||
Bank of America Corp. (Rate is fixed until 03/05/2028, at which point, the rate becomes QL + 107) (Banks) | (c) | 3.970% | 03/05/2029 | 232,000 | 252,513 | |||||||||||||
Bank of America Corp. (Rate is fixed until 02/07/2029, at which point, the rate becomes QL + 121) (Banks) | (c) | 3.974% | 02/07/2030 | 283,000 | 310,886 | |||||||||||||
BNP Paribas SA (Rate is fixed until 11/19/2024, at which point, the rate becomes QL + 111) (Banks) | (b)(c) | 2.819% | 11/19/2025 | 306,000 | 309,342 | |||||||||||||
Brown & Brown, Inc. (Insurance) | 4.500% | 03/15/2029 | 140,000 | 153,894 | ||||||||||||||
Cboe Global Markets, Inc. (Capital Markets) | 3.650% | 01/12/2027 | 165,000 | 177,032 | ||||||||||||||
CIT Bank NA (Rate is fixed until 09/27/2024, at which point, the rate becomes SOFR + 172) (Banks) | (c) | 2.969% | 09/27/2025 | 250,000 | 249,375 | |||||||||||||
Citigroup, Inc. (Rate is fixed until 01/10/2027, at which point, the rate becomes QL + 156) (Banks) | (c) | 3.887% | 01/10/2028 | 833,000 | 896,658 | |||||||||||||
Citizens Financial Group, Inc. (Banks) | 3.750% | 07/01/2024 | 47,000 | 48,774 | ||||||||||||||
Citizens Financial Group, Inc. (Banks) | 4.350% | 08/01/2025 | 41,000 | 44,148 | ||||||||||||||
Citizens Financial Group, Inc. (Banks) | 4.300% | 12/03/2025 | 114,000 | 122,395 | ||||||||||||||
Credit Suisse Group AG (Capital Markets) | (b) | 4.282% | 01/09/2028 | 282,000 | 306,513 | |||||||||||||
First Republic Bank (Banks) | 4.625% | 02/13/2047 | 100,000 | 113,785 | ||||||||||||||
General Motors Financial Co., Inc. (Consumer Finance) | 4.350% | 04/09/2025 | 177,000 | 189,548 |
107 | (continued) |
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||||
FINANCIALS (continued) | ||||||||||||||||||||
General Motors Financial Co., Inc. (Consumer Finance) | 4.300% | 07/13/2025 | $ 54,000 | $ | 57,679 | |||||||||||||||
General Motors Financial Co., Inc. (Consumer Finance) | 4.350% | 01/17/2027 | 99,000 | 103,968 | ||||||||||||||||
JPMorgan Chase & Co. (Rate is fixed until 01/29/2026, at which point, the rate becomes QL + 125) (Banks) | (c | ) | 3.960% | 01/29/2027 | 508,000 | 550,820 | ||||||||||||||
JPMorgan Chase & Co. (Rate is fixed until 02/01/2027, at which point, the rate becomes QL + 134) (Banks) | (c | ) | 3.782% | 02/01/2028 | 302,000 | 325,308 | ||||||||||||||
JPMorgan Chase & Co. (Rate is fixed until 12/05/2028, at which point, the rate becomes QL + 133) (Banks) | (c | ) | 4.452% | 12/05/2029 | 460,000 | 522,826 | ||||||||||||||
JPMorgan Chase & Co. (Rate is fixed until 05/06/2029, at which point, the rate becomes QL + 116) (Banks) | (c | ) | 3.702% | 05/06/2030 | 275,000 | 295,858 | ||||||||||||||
JPMorgan Chase & Co. (Rate is fixed until 10/15/2029, at which point, the rate becomes SOFR + 151) (Banks) | (c | ) | 2.739% | 10/15/2030 | 218,000 | 217,688 | ||||||||||||||
Morgan Stanley (Capital Markets) | 4.350% | 09/08/2026 | 251,000 | 274,300 | ||||||||||||||||
Morgan Stanley (Capital Markets) | 3.950% | 04/23/2027 | 396,000 | 424,405 | ||||||||||||||||
Morgan Stanley (Rate is fixed until 01/23/2029, at which point, the rate becomes QL + 163) (Capital Markets) | (c | ) | 4.431% | 01/23/2030 | 343,000 | 387,437 | ||||||||||||||
Raymond James Financial, Inc. (Capital Markets) | 4.950% | 07/15/2046 | 185,000 | 215,675 | ||||||||||||||||
Synchrony Financial (Consumer Finance) | 4.375% | 03/19/2024 | 61,000 | 65,034 | ||||||||||||||||
Synchrony Financial (Consumer Finance) | 3.950% | 12/01/2027 | 321,000 | 336,997 | ||||||||||||||||
Synchrony Financial (Consumer Finance) | 5.150% | 03/19/2029 | 281,000 | 319,332 | ||||||||||||||||
Wells Fargo & Co. (Rate is fixed until 10/30/2029, at which point, the rate becomes QL + 117) (Banks) | (c | ) | 2.879% | 10/30/2030 | 411,000 | 413,229 | ||||||||||||||
|
| |||||||||||||||||||
8,220,535 | ||||||||||||||||||||
|
| |||||||||||||||||||
HEALTH CARE – 1.6% | ||||||||||||||||||||
AbbVie, Inc. (Biotechnology) | (b | ) | 2.600% | 11/21/2024 | 165,000 | 165,945 | ||||||||||||||
AbbVie, Inc. (Biotechnology) | (b | ) | 2.950% | 11/21/2026 | 174,000 | 176,602 | ||||||||||||||
AbbVie, Inc. (Biotechnology) | (b | ) | 3.200% | 11/21/2029 | 134,000 | 136,234 | ||||||||||||||
AbbVie, Inc. (Biotechnology) | (b | ) | 4.050% | 11/21/2039 | 201,000 | 212,419 | ||||||||||||||
AbbVie, Inc. (Biotechnology) | (b | ) | 4.250% | 11/21/2049 | 116,000 | 122,083 | ||||||||||||||
Allergan Finance LLC (Pharmaceuticals) | 3.250% | 10/01/2022 | 175,000 | 178,781 | ||||||||||||||||
Allergan Funding SCS (Pharmaceuticals) | 3.450% | 03/15/2022 | 292,000 | 298,588 | ||||||||||||||||
Allergan Funding SCS (Pharmaceuticals) | 3.800% | 03/15/2025 | 210,000 | 220,484 | ||||||||||||||||
Allergan, Inc. (Pharmaceuticals) | 2.800% | 03/15/2023 | 14,000 | 14,102 | ||||||||||||||||
Boston Scientific Corp. (Health Care Equip. & Supplies) | 3.750% | 03/01/2026 | 137,000 | 146,708 | ||||||||||||||||
Boston Scientific Corp. (Health Care Equip. & Supplies) | 4.000% | 03/01/2029 | 71,000 | 78,472 | ||||||||||||||||
Boston Scientific Corp. (Health Care Equip. & Supplies) | 4.700% | 03/01/2049 | 114,000 | 138,289 | ||||||||||||||||
Bristol-Myers Squibb Co. (Pharmaceuticals) | (b | ) | 3.400% | 07/26/2029 | 125,000 | 133,581 | ||||||||||||||
Bristol-Myers Squibb Co. (Pharmaceuticals) | (b | ) | 4.125% | 06/15/2039 | 90,000 | 103,617 | ||||||||||||||
Bristol-Myers Squibb Co. (Pharmaceuticals) | (b | ) | 4.250% | 10/26/2049 | 155,000 | 183,413 | ||||||||||||||
Centene Corp. (Health Care Providers & Svs.) | 4.750% | 05/15/2022 | 15,000 | 15,300 | ||||||||||||||||
Centene Corp. (Health Care Providers & Svs.) | 6.125% | 02/15/2024 | 113,000 | 117,238 | ||||||||||||||||
Centene Corp. (Health Care Providers & Svs.) | (b | ) | 5.375% | 06/01/2026 | 371,000 | 393,724 | ||||||||||||||
Centene Corp. (Health Care Providers & Svs.) | (b | ) | 4.250% | 12/15/2027 | 326,000 | 335,372 | ||||||||||||||
Centene Corp. (Health Care Providers & Svs.) | (b | ) | 4.625% | 12/15/2029 | 490,000 | 516,386 | ||||||||||||||
Cigna Corp. (Health Care Providers & Svs.) | 3.400% | 09/17/2021 | 47,000 | 48,099 | ||||||||||||||||
CVS Health Corp. (Health Care Providers & Svs.) | 4.100% | 03/25/2025 | 297,000 | 318,575 | ||||||||||||||||
CVS Health Corp. (Health Care Providers & Svs.) | 3.000% | 08/15/2026 | 33,000 | 33,629 | ||||||||||||||||
CVS Health Corp. (Health Care Providers & Svs.) | 4.300% | 03/25/2028 | 116,000 | 126,583 | ||||||||||||||||
CVS Health Corp. (Health Care Providers & Svs.) | 3.250% | 08/15/2029 | 53,000 | 53,789 | ||||||||||||||||
CVS Health Corp. (Health Care Providers & Svs.) | 5.050% | 03/25/2048 | 535,000 | 632,092 | ||||||||||||||||
DH Europe Finance II SARL | 2.200% | 11/15/2024 | 129,000 | 129,052 | ||||||||||||||||
DH Europe Finance II SARL | 2.600% | 11/15/2029 | 71,000 | 70,634 | ||||||||||||||||
DH Europe Finance II SARL | 3.400% | 11/15/2049 | 91,000 | 92,395 | ||||||||||||||||
Elanco Animal Health, Inc. (Pharmaceuticals) | 4.272% | 08/28/2023 | 112,000 | 118,235 | ||||||||||||||||
Elanco Animal Health, Inc. (Pharmaceuticals) | 4.900% | 08/28/2028 | 24,000 | 26,085 | ||||||||||||||||
HCA, Inc. (Health Care Providers & Svs.) | 4.500% | 02/15/2027 | 285,000 | 307,055 | ||||||||||||||||
HCA, Inc. (Health Care Providers & Svs.) | 4.125% | 06/15/2029 | 697,000 | 738,562 | ||||||||||||||||
HCA, Inc. (Health Care Providers & Svs.) | 5.125% | 06/15/2039 | 124,000 | 136,849 | ||||||||||||||||
|
| |||||||||||||||||||
6,518,972 | ||||||||||||||||||||
|
| |||||||||||||||||||
INDUSTRIALS – 1.0% | ||||||||||||||||||||
Boeing Co. / The (Aerospace & Defense) | 2.250% | 06/15/2026 | 35,000 | 34,539 | ||||||||||||||||
Boeing Co. / The (Aerospace & Defense) | 3.250% | 03/01/2028 | 44,000 | 45,770 | ||||||||||||||||
Boeing Co. / The (Aerospace & Defense) | 3.200% | 03/01/2029 | 250,000 | 260,370 | ||||||||||||||||
Boeing Co. / The (Aerospace & Defense) | 3.600% | 05/01/2034 | 290,000 | 310,151 | ||||||||||||||||
Equifax, Inc. (Professional Svs.) | 2.600% | 12/01/2024 | 423,000 | 425,260 | ||||||||||||||||
Experian Finance PLC (Professional Svs.) | (b | ) | 2.750% | 03/08/2030 | 573,000 | 563,650 | ||||||||||||||
GE Capital International Funding Co. Unlimited Co. (Industrial Conglomerates) | 4.418% | 11/15/2035 | 565,000 | 601,598 | ||||||||||||||||
General Electric Co. (Industrial Conglomerates) | 6.750% | 03/15/2032 | 129,000 | 165,468 |
108 | (continued) |
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||
INDUSTRIALS (continued) | ||||||||||||||||||
Huntington Ingalls Industries, Inc. (Aerospace & Defense) | (b) | 5.000% | 11/15/2025 | $ 349,000 | $ | 364,705 | ||||||||||||
IHS Markit Ltd. (Professional Svs.) | (b) | 5.000% | 11/01/2022 | 26,000 | 27,701 | |||||||||||||
IHS Markit Ltd. (Professional Svs.) | (b) | 4.750% | 02/15/2025 | 215,000 | 234,870 | |||||||||||||
Verisk Analytics, Inc. (Professional Svs.) | 5.500% | 06/15/2045 | 101,000 | 125,359 | ||||||||||||||
Westinghouse Air Brake Technologies Corp. (Machinery) | 4.400% | 03/15/2024 | 189,000 | 200,658 | ||||||||||||||
Westinghouse Air Brake Technologies Corp. (Machinery) | 3.450% | 11/15/2026 | 66,000 | 66,704 | ||||||||||||||
Westinghouse Air Brake Technologies Corp. (Machinery) | 4.950% | 09/15/2028 | 656,000 | 721,236 | ||||||||||||||
|
| |||||||||||||||||
4,148,039 | ||||||||||||||||||
|
| |||||||||||||||||
INFORMATION TECHNOLOGY – 1.3% | ||||||||||||||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd. (Semiconductors & Equip.) | 3.875% | 01/15/2027 | 134,000 | 139,046 | ||||||||||||||
Broadcom, Inc. (Semiconductors & Equip.) | (b) | 4.250% | 04/15/2026 | 177,000 | 188,060 | |||||||||||||
Broadcom, Inc. (Semiconductors & Equip.) | (b) | 4.750% | 04/15/2029 | 240,000 | 262,421 | |||||||||||||
Broadridge Financial Solutions, Inc. (IT Svs.) | 2.900% | 12/01/2029 | 414,000 | 413,496 | ||||||||||||||
Dell International LLC / EMC Corp. (Tech. Hardware, Storage & Periph.) | (b) | 5.875% | 06/15/2021 | 341,000 | 346,330 | |||||||||||||
Fidelity National Information Services, Inc. (IT Svs.) | 3.750% | 05/21/2029 | 83,000 | 90,744 | ||||||||||||||
Global Payments, Inc. (IT Svs.) | 4.800% | 04/01/2026 | 185,000 | 205,648 | ||||||||||||||
Global Payments, Inc. (IT Svs.) | 3.200% | 08/15/2029 | 75,000 | 76,492 | ||||||||||||||
Global Payments, Inc. (IT Svs.) | 4.150% | 08/15/2049 | 56,000 | 59,720 | ||||||||||||||
Keysight Technologies, Inc. (Electronic Equip., Instr. & Comp.) | 3.000% | 10/30/2029 | 287,000 | 287,529 | ||||||||||||||
Lam Research Corp. (Semiconductors & Equip.) | 4.000% | 03/15/2029 | 51,000 | 56,157 | ||||||||||||||
Marvell Technology Group Ltd. (Semiconductors & Equip.) | 4.200% | 06/22/2023 | 108,000 | 113,980 | ||||||||||||||
Marvell Technology Group Ltd. (Semiconductors & Equip.) | 4.875% | 06/22/2028 | 358,000 | 395,118 | ||||||||||||||
Micron Technology, Inc. (Semiconductors & Equip.) | 4.975% | 02/06/2026 | 114,000 | 126,455 | ||||||||||||||
Micron Technology, Inc. (Semiconductors & Equip.) | 5.327% | 02/06/2029 | 293,000 | 335,809 | ||||||||||||||
PayPal Holdings, Inc. (IT Svs.) | 2.400% | 10/01/2024 | 139,000 | 140,292 | ||||||||||||||
PayPal Holdings, Inc. (IT Svs.) | 2.650% | 10/01/2026 | 416,000 | 421,371 | ||||||||||||||
PayPal Holdings, Inc. (IT Svs.) | 2.850% | 10/01/2029 | 429,000 | 431,153 | ||||||||||||||
Qorvo, Inc. (Semiconductors & Equip.) | 5.500% | 07/15/2026 | 137,000 | 145,905 | ||||||||||||||
Trimble, Inc. (Electronic Equip., Instr. & Comp.) | 4.750% | 12/01/2024 | 270,000 | 291,434 | ||||||||||||||
Trimble, Inc. (Electronic Equip., Instr. & Comp.) | 4.900% | 06/15/2028 | 544,000 | 593,574 | ||||||||||||||
|
| |||||||||||||||||
5,120,734 | ||||||||||||||||||
|
| |||||||||||||||||
MATERIALS – 0.4% | ||||||||||||||||||
Allegheny Technologies, Inc. (Metals & Mining) | 5.875% | 12/01/2027 | 250,000 | 262,500 | ||||||||||||||
Ball Corp. (Containers & Packaging) | 4.375% | 12/15/2020 | 120,000 | 122,519 | ||||||||||||||
Constellium SE (Metals & Mining) | (b) | 5.750% | 05/15/2024 | 281,000 | 288,727 | |||||||||||||
Georgia-Pacific LLC (Paper & Forest Products) | (b) | 3.163% | 11/15/2021 | 99,000 | 100,841 | |||||||||||||
Hudbay Minerals, Inc. (Metals & Mining) | (b) | 7.250% | 01/15/2023 | 248,000 | 257,145 | |||||||||||||
Reliance Steel & Aluminum Co. (Metals & Mining) | 4.500% | 04/15/2023 | 116,000 | 122,542 | ||||||||||||||
Steel Dynamics, Inc. (Metals & Mining) | 5.500% | 10/01/2024 | 227,000 | 233,831 | ||||||||||||||
WRKCo, Inc. (Containers & Packaging) | 4.900% | 03/15/2029 | 192,000 | 218,246 | ||||||||||||||
|
| |||||||||||||||||
1,606,351 | ||||||||||||||||||
|
| |||||||||||||||||
REAL ESTATE – 0.5% | ||||||||||||||||||
Crown Castle International Corp. (Equity REIT) | 3.650% | 09/01/2027 | 133,000 | 140,589 | ||||||||||||||
Crown Castle International Corp. (Equity REIT) | 4.300% | 02/15/2029 | 154,000 | 170,457 | ||||||||||||||
Crown Castle International Corp. (Equity REIT) | 3.100% | 11/15/2029 | 338,000 | 341,793 | ||||||||||||||
CyrusOne LP / CyrusOne Finance Corp. (Equity REIT) | 2.900% | 11/15/2024 | 147,000 | 147,564 | ||||||||||||||
CyrusOne LP / CyrusOne Finance Corp. (Equity REIT) | 3.450% | 11/15/2029 | 320,000 | 320,877 | ||||||||||||||
Equinix, Inc. (Equity REIT) | 2.625% | 11/18/2024 | 123,000 | 123,229 | ||||||||||||||
Equinix, Inc. (Equity REIT) | 2.900% | 11/18/2026 | 104,000 | 104,182 | ||||||||||||||
Equinix, Inc. (Equity REIT) | 3.200% | 11/18/2029 | 233,000 | 233,867 | ||||||||||||||
Jones Lang LaSalle, Inc. (Real Estate Mgmt. & Development) | 4.400% | 11/15/2022 | 197,000 | 205,606 | ||||||||||||||
|
| |||||||||||||||||
1,788,164 | ||||||||||||||||||
|
| |||||||||||||||||
UTILITIES – 0.4% | ||||||||||||||||||
NRG Energy, Inc. (Ind. Power & Renewable Elec.) | (b) | 3.750% | 06/15/2024 | 308,000 | 318,222 | |||||||||||||
NRG Energy, Inc. (Ind. Power & Renewable Elec.) | 7.250% | 05/15/2026 | 273,000 | 298,252 | ||||||||||||||
NRG Energy, Inc. (Ind. Power & Renewable Elec.) | 6.625% | 01/15/2027 | 274,000 | 297,290 | ||||||||||||||
Oncor Electric Delivery Co. LLC (Electric Utilities) | 3.700% | 11/15/2028 | 194,000 | 212,086 | ||||||||||||||
Oncor Electric Delivery Co. LLC (Electric Utilities) | 3.800% | 06/01/2049 | 257,000 | 278,541 | ||||||||||||||
PPL WEM Ltd. / Western Power Distribution Ltd. (Electric Utilities) | (b) | 5.375% | 05/01/2021 | 203,000 | 208,949 | |||||||||||||
Vistra Operations Co. LLC (Ind. Power & Renewable Elec.) | (b) | 5.500% | 09/01/2026 | 114,000 | 120,840 | |||||||||||||
|
| |||||||||||||||||
1,734,180 | ||||||||||||||||||
|
| |||||||||||||||||
Total Corporate Bonds (Cost $44,217,911) | $ | 46,759,808 | ||||||||||||||||
|
|
U.S. Government Agency Mortgage-Backed Securities – 8.8% | Rate | Maturity | Face Amount | Value | ||||||||||||
| ||||||||||||||||
Fannie Mae or Freddie Mac UMBS TBA | 2.500% | 01/15/2035 | $ | 220,820 | $ | 222,686 |
109 | (continued) |
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
U.S. Government Agency Mortgage-Backed Securities (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||
| ||||||||||||||||
Fannie Mae or Freddie Mac UMBS TBA | 3.500% | 01/15/2050 | $ | 234,000 | $ | 240,587 | ||||||||||
Fannie Mae or Freddie Mac UMBS TBA | 3.000% | 01/15/2035 | 68,000 | 69,669 | ||||||||||||
Fannie Mae or Freddie Mac UMBS TBA | 3.500% | 01/15/2035 | 493,000 | 510,930 | ||||||||||||
Fannie Mae or Freddie Mac UMBS TBA | 4.000% | 01/15/2035 | 154,000 | 160,631 | ||||||||||||
Fannie Mae or Freddie Mac UMBS TBA | 3.000% | 01/15/2050 | 2,400,752 | 2,433,282 | ||||||||||||
Fannie Mae Pool FN AB6548 | 3.500% | 10/01/2042 | 93,000 | 97,256 | ||||||||||||
Fannie Mae Pool FN AB7563 | 3.000% | 01/01/2043 | 21,091 | 21,724 | ||||||||||||
Fannie Mae Pool FN AB8407 | 3.500% | 02/01/2043 | 23,546 | 24,740 | ||||||||||||
Fannie Mae Pool FN AL3083 | 3.500% | 12/01/2042 | 209,437 | 220,051 | ||||||||||||
Fannie Mae Pool FN AL5310 | 3.500% | 04/01/2044 | 4,034 | 4,299 | ||||||||||||
Fannie Mae Pool FN AL5439 | 3.500% | 11/01/2043 | 21,970 | 23,083 | ||||||||||||
Fannie Mae Pool FN AL5887 | 4.500% | 10/01/2044 | 24,338 | 26,980 | ||||||||||||
Fannie Mae Pool FN AL5942 | 5.000% | 07/01/2044 | 137,683 | 150,541 | ||||||||||||
Fannie Mae Pool FN AL6348 | 3.500% | 02/01/2045 | 31,519 | 33,114 | ||||||||||||
Fannie Mae Pool FN AL6535 | 3.500% | 02/01/2045 | 5,815 | 6,109 | ||||||||||||
Fannie Mae Pool FN AL6542 | 4.500% | 03/01/2045 | 39,122 | 43,371 | ||||||||||||
Fannie Mae Pool FN AL6620 | 4.500% | 08/01/2042 | 257,521 | 285,067 | ||||||||||||
Fannie Mae Pool FN AL6997 | 4.500% | 11/01/2042 | 18,857 | 20,574 | ||||||||||||
Fannie Mae Pool FN AL7381 | 4.500% | 06/01/2045 | 102,155 | 110,227 | ||||||||||||
Fannie Mae Pool FN AL8855 | 3.500% | 07/01/2046 | 16,994 | 17,894 | ||||||||||||
Fannie Mae Pool FN AR2624 | 3.500% | 02/01/2043 | 36,687 | 38,541 | ||||||||||||
Fannie Mae Pool FN AS7168 | 3.500% | 05/01/2046 | 43,079 | 45,150 | ||||||||||||
Fannie Mae Pool FN AS7587 | 3.500% | 07/01/2046 | 187,279 | 198,037 | ||||||||||||
Fannie Mae Pool FN AS7822 | 3.500% | 08/01/2046 | 531,174 | 556,774 | ||||||||||||
Fannie Mae Pool FN AS9751 | 4.000% | 05/01/2047 | 46,737 | 49,221 | ||||||||||||
Fannie Mae Pool FN AT2957 | 3.000% | 05/01/2043 | 29,266 | 30,101 | ||||||||||||
Fannie Mae Pool FN AZ9203 | 3.000% | 10/01/2045 | 69,676 | 70,970 | ||||||||||||
Fannie Mae Pool FN BA2885 | 3.000% | 10/01/2045 | 113,193 | 115,290 | ||||||||||||
Fannie Mae Pool FN BA4752 | 3.000% | 01/01/2046 | 15,210 | 15,493 | ||||||||||||
Fannie Mae Pool FN BC1520 | 3.500% | 08/01/2046 | 321,301 | 336,768 | ||||||||||||
Fannie Mae Pool FN BC2468 | 3.000% | 03/01/2046 | 289,996 | 295,372 | ||||||||||||
Fannie Mae Pool FN BC2488 | 3.000% | 03/01/2046 | 426,414 | 434,319 | ||||||||||||
Fannie Mae Pool FN BC9077 | 3.500% | 12/01/2046 | 22,191 | 23,261 | ||||||||||||
Fannie Mae Pool FN BD0667 | 4.500% | 06/01/2047 | 16,568 | 17,739 | ||||||||||||
Fannie Mae Pool FN BD6435 | 4.000% | 10/01/2046 | 7,430 | 7,943 | ||||||||||||
Fannie Mae Pool FN BD8952 | 3.000% | 11/01/2046 | 33,742 | 34,601 | ||||||||||||
Fannie Mae Pool FN BD8980 | 3.000% | 11/01/2046 | 33,928 | 34,792 | ||||||||||||
Fannie Mae Pool FN BE0637 | 4.000% | 07/01/2047 | 4,921 | 5,140 | ||||||||||||
Fannie Mae Pool FN BE0640 | 4.500% | 08/01/2047 | 10,002 | 10,572 | ||||||||||||
Fannie Mae Pool FN BE2717 | 4.500% | 07/01/2047 | 8,860 | 9,418 | ||||||||||||
Fannie Mae Pool FN BE2732 | 4.000% | 07/01/2047 | 21,632 | 22,754 | ||||||||||||
Fannie Mae Pool FN BE2733 | 4.500% | 07/01/2047 | 12,500 | 13,386 | ||||||||||||
Fannie Mae Pool FN BE2774 | 4.000% | 10/01/2047 | 53,473 | 56,240 | ||||||||||||
Fannie Mae Pool FN BE2784 | 4.000% | 11/01/2047 | 71,025 | 74,654 | ||||||||||||
Fannie Mae Pool FN BE2786 | 4.500% | 11/01/2047 | 53,817 | 57,175 | ||||||||||||
Fannie Mae Pool FN BF0130 | 3.500% | 08/01/2056 | 320,713 | 337,280 | ||||||||||||
Fannie Mae Pool FN BF0167 | 3.000% | 02/01/2057 | 281,500 | 289,175 | ||||||||||||
Fannie Mae Pool FN BF0168 | 3.500% | 02/01/2057 | 458,068 | 481,730 | ||||||||||||
Fannie Mae Pool FN BH1902 | 3.500% | 12/01/2047 | 19,585 | 20,939 | ||||||||||||
Fannie Mae Pool FN BH3305 | 4.500% | 05/01/2047 | 26,631 | 28,990 | ||||||||||||
Fannie Mae Pool FN BH3306 | 4.500% | 05/01/2047 | 20,914 | 22,510 | ||||||||||||
Fannie Mae Pool FN BH3307 | 4.500% | 05/01/2047 | 21,394 | 22,972 | ||||||||||||
Fannie Mae Pool FN BH3336 | 4.500% | 05/01/2047 | 16,090 | 17,516 | ||||||||||||
Fannie Mae Pool FN BH3337 | 4.500% | 05/01/2047 | 12,768 | 13,743 | ||||||||||||
Fannie Mae Pool FN BH3338 | 4.500% | 05/01/2047 | 16,615 | 17,841 | ||||||||||||
Fannie Mae Pool FN BH3540 | 4.000% | 06/01/2047 | 5,711 | 6,019 | ||||||||||||
Fannie Mae Pool FN BH3892 | 3.500% | 08/01/2047 | 68,875 | 71,492 | ||||||||||||
Fannie Mae Pool FN BH4380 | 4.000% | 06/01/2047 | 12,427 | 13,058 | ||||||||||||
Fannie Mae Pool FN BH4639 | 4.500% | 06/01/2047 | 9,399 | 10,232 | ||||||||||||
Fannie Mae Pool FN BH4640 | 4.500% | 05/01/2047 | 8,144 | 8,766 | ||||||||||||
Fannie Mae Pool FN BH4667 | 4.500% | 05/01/2047 | 4,788 | 5,213 | ||||||||||||
Fannie Mae Pool FN BH4706 | 4.500% | 05/01/2047 | 4,426 | 4,687 | ||||||||||||
Fannie Mae Pool FN BH5672 | 4.000% | 06/01/2047 | 12,715 | 13,444 | ||||||||||||
Fannie Mae Pool FN BH5673 | 4.000% | 07/01/2047 | 7,551 | 7,879 | ||||||||||||
Fannie Mae Pool FN BH6165 | 4.000% | 07/01/2047 | 19,319 | 20,336 | ||||||||||||
Fannie Mae Pool FN BH6168 | 4.000% | 06/01/2047 | 26,446 | 27,824 | ||||||||||||
Fannie Mae Pool FN BH6170 | 4.500% | 07/01/2047 | 50,617 | 53,696 | ||||||||||||
Fannie Mae Pool FN BH6940 | 3.500% | 08/01/2047 | 46,743 | 48,983 | ||||||||||||
Fannie Mae Pool FN BH8168 | 4.000% | 08/01/2047 | 24,021 | 25,275 | ||||||||||||
Fannie Mae Pool FN BH8170 | 4.000% | 08/01/2047 | 39,176 | 41,225 | ||||||||||||
Fannie Mae Pool FN BH8171 | 4.500% | 08/01/2047 | 74,472 | 79,329 |
110 | (continued) |
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
U.S. Government Agency Mortgage-Backed Securities (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||
| ||||||||||||||||
Fannie Mae Pool FN BH8224 | 4.000% | 08/01/2047 | $ | 116,502 | $ | 122,488 | ||||||||||
Fannie Mae Pool FN BH9216 | 4.000% | 01/01/2048 | 81,750 | 87,157 | ||||||||||||
Fannie Mae Pool FN BJ0241 | 4.000% | 09/01/2047 | 11,552 | 12,153 | ||||||||||||
Fannie Mae Pool FN BJ1588 | 4.000% | 10/01/2047 | 24,191 | 25,427 | ||||||||||||
Fannie Mae Pool FN BJ1692 | 3.500% | 12/01/2047 | 111,339 | 117,109 | ||||||||||||
Fannie Mae Pool FN BJ1695 | 3.500% | 12/01/2047 | 19,977 | 20,854 | ||||||||||||
Fannie Mae Pool FN BJ1735 | 4.000% | 10/01/2047 | 48,834 | 51,334 | ||||||||||||
Fannie Mae Pool FN BJ1747 | 4.000% | 10/01/2047 | 30,821 | 32,436 | ||||||||||||
Fannie Mae Pool FN BJ1758 | 4.000% | 10/01/2047 | 48,991 | 51,477 | ||||||||||||
Fannie Mae Pool FN BJ3260 | 4.500% | 10/01/2047 | 4,828 | 5,143 | ||||||||||||
Fannie Mae Pool FN BJ3265 | 4.000% | 11/01/2047 | 19,847 | 20,848 | ||||||||||||
Fannie Mae Pool FN BJ4558 | 3.500% | 01/01/2048 | 79,012 | 83,263 | ||||||||||||
Fannie Mae Pool FN BJ4559 | 3.500% | 01/01/2048 | 29,454 | 30,987 | ||||||||||||
Fannie Mae Pool FN BJ4566 | 4.000% | 01/01/2048 | 272,521 | 288,180 | ||||||||||||
Fannie Mae Pool FN BJ4567 | 4.000% | 01/01/2048 | 461,759 | 488,108 | ||||||||||||
Fannie Mae Pool FN BJ5170 | 3.500% | 03/01/2048 | 16,692 | 17,761 | ||||||||||||
Fannie Mae Pool FN BJ5796 | 4.500% | 03/01/2048 | 89,776 | 95,507 | ||||||||||||
Fannie Mae Pool FN BJ5834 | 4.500% | 05/01/2048 | 56,762 | 60,619 | ||||||||||||
Fannie Mae Pool FN BJ5844 | 4.500% | 04/01/2048 | 78,499 | 84,037 | ||||||||||||
Fannie Mae Pool FN BJ7349 | 4.000% | 10/01/2048 | 21,645 | 22,953 | ||||||||||||
Fannie Mae Pool FN BK1964 | 4.000% | 03/01/2048 | 106,308 | 111,313 | ||||||||||||
Fannie Mae Pool FN BK1975 | 3.500% | 03/01/2048 | 48,658 | 51,135 | ||||||||||||
Fannie Mae Pool FN BK3211 | 4.500% | 03/01/2048 | 119,671 | 126,361 | ||||||||||||
Fannie Mae Pool FN BK3986 | 4.500% | 05/01/2048 | 56,693 | 60,097 | ||||||||||||
Fannie Mae Pool FN BK4039 | 4.500% | 06/01/2048 | 61,090 | 64,648 | ||||||||||||
Fannie Mae Pool FN BK4157 | 4.000% | 05/01/2048 | 285,843 | 299,480 | ||||||||||||
Fannie Mae Pool FN BK8767 | 4.000% | 09/01/2049 | 492,088 | 526,699 | ||||||||||||
Fannie Mae Pool FN BM3032 | 3.000% | 02/01/2047 | 586,923 | 604,256 | ||||||||||||
Fannie Mae Pool FN BM3144 | 4.000% | 11/01/2047 | 129,471 | 137,485 | ||||||||||||
Fannie Mae Pool FN BM3282 | 3.500% | 12/01/2047 | 9,713 | 10,406 | ||||||||||||
Fannie Mae Pool FN BM3511 | 4.500% | 02/01/2046 | 171,668 | 186,184 | ||||||||||||
Fannie Mae Pool FN BM3557 | 4.000% | 09/01/2047 | 265,458 | 288,640 | ||||||||||||
Fannie Mae Pool FN BM3912 | 3.000% | 03/01/2047 | 229,636 | 235,540 | ||||||||||||
Fannie Mae Pool FN BM4427 | 3.500% | 04/01/2048 | 169,320 | 177,355 | ||||||||||||
Fannie Mae Pool FN BM4735 | 3.500% | 04/01/2048 | 166,819 | 177,221 | ||||||||||||
Fannie Mae Pool FN BM4896 | 3.000% | 02/01/2047 | 1,740,067 | 1,790,313 | ||||||||||||
Fannie Mae Pool FN BM5138 | 3.500% | 11/01/2048 | 276,288 | 294,784 | ||||||||||||
Fannie Mae Pool FN BM5334 | 3.500% | 01/01/2049 | 102,774 | 107,500 | ||||||||||||
Fannie Mae Pool FN BN0012 | 4.500% | 08/01/2048 | 103,479 | 108,991 | ||||||||||||
Fannie Mae Pool FN BN4541 | 4.000% | 02/01/2049 | 105,843 | 110,131 | ||||||||||||
Fannie Mae Pool FN BN5286 | 4.000% | 02/01/2049 | 579,846 | 619,188 | ||||||||||||
Fannie Mae Pool FN BO2950 | 3.000% | 09/01/2049 | 35,762 | 36,410 | ||||||||||||
Fannie Mae Pool FN BO2968 | 3.000% | 09/01/2049 | 51,192 | 52,019 | ||||||||||||
Fannie Mae Pool FN BO3212 | 2.500% | 10/01/2034 | 132,857 | 134,477 | ||||||||||||
Fannie Mae Pool FN BO3223 | 3.000% | 10/01/2034 | 68,911 | 70,947 | ||||||||||||
Fannie Mae Pool FN BO4725 | 2.500% | 11/01/2034 | 72,951 | 73,908 | ||||||||||||
Fannie Mae Pool FN BO8905 | 3.000% | 01/01/2050 | 183,497 | 186,130 | ||||||||||||
Fannie Mae Pool FN CA0108 | 3.500% | 08/01/2047 | 34,672 | 37,144 | ||||||||||||
Fannie Mae Pool FN CA4249 | 3.000% | 10/01/2049 | 719,625 | 730,452 | ||||||||||||
Fannie Mae Pool FN FM0029 | 3.000% | 09/01/2046 | 410,739 | 422,702 | ||||||||||||
Fannie Mae Pool FN FM1439 | 4.000% | 05/01/2049 | 449,366 | 480,624 | ||||||||||||
Fannie Mae Pool FN FM1689 | 3.500% | 07/01/2049 | 52,135 | 53,749 | ||||||||||||
Fannie Mae Pool FN MA1363 | 3.000% | 02/01/2043 | 7,453 | 7,665 | ||||||||||||
Fannie Mae Pool FN MA1404 | 3.500% | 04/01/2043 | 120,491 | 126,601 | ||||||||||||
Fannie Mae Pool FN MA3239 | 4.000% | 01/01/2048 | 28,868 | 30,293 | ||||||||||||
Fannie Mae Pool FN MA3896 | 2.500% | 01/01/2035 | 230,864 | 232,822 | ||||||||||||
Freddie Mac Gold Pool FG G60658 | 3.500% | 07/01/2046 | 359,823 | 383,106 | ||||||||||||
Freddie Mac Gold Pool FG G61360 | 3.500% | 03/01/2048 | 84,247 | 88,456 | ||||||||||||
Freddie Mac Gold Pool FG G61596 | 3.500% | 08/01/2048 | 319,193 | 334,944 | ||||||||||||
Freddie Mac Gold Pool FG G61737 | 3.500% | 11/01/2048 | 404,374 | 424,989 | ||||||||||||
Freddie Mac Gold Pool FG J33776 | 3.000% | 02/01/2031 | 94,929 | 97,765 | ||||||||||||
Freddie Mac Gold Pool FG Q54793 | 4.500% | 03/01/2048 | 105,103 | 110,932 | ||||||||||||
Freddie Mac Gold Pool FG Q55394 | 3.500% | 04/01/2048 | 29,097 | 30,563 | ||||||||||||
Freddie Mac Gold Pool FG Q58159 | 5.000% | 09/01/2048 | 25,066 | 26,875 | ||||||||||||
Freddie Mac Gold Pool FG Q60839 | 4.000% | 01/01/2049 | 117,832 | 127,479 | ||||||||||||
Freddie Mac Gold Pool FG U99096 | 4.500% | 05/01/2044 | 99,845 | 107,748 | ||||||||||||
Freddie Mac Pool FR QA2215 | 3.500% | 08/01/2049 | 232,029 | 239,170 | ||||||||||||
Freddie Mac Pool FR QA2276 | 3.500% | 09/01/2049 | 99,557 | 103,997 | ||||||||||||
Freddie Mac Pool FR QA2550 | 3.500% | 09/01/2049 | 152,561 | 157,552 | ||||||||||||
Freddie Mac Pool FR QA3092 | 3.000% | 09/01/2049 | 31,390 | 31,881 | ||||||||||||
Freddie Mac Pool FR QA3225 | 3.000% | 10/01/2049 | 44,138 | 44,803 |
111 | (continued) |
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
U.S. Government Agency Mortgage-Backed Securities (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||
| ||||||||||||||||
Freddie Mac Pool FR QA3370 | 3.000% | 10/01/2049 | $ | 21,611 | $ | 21,949 | ||||||||||
Freddie Mac Pool FR QA3988 | 3.000% | 10/01/2049 | 41,856 | 42,608 | ||||||||||||
Freddie Mac Pool FR QA4812 | 3.000% | 11/01/2049 | 30,767 | 31,249 | ||||||||||||
Freddie Mac Pool FR QA4841 | 3.000% | 11/01/2049 | 50,915 | 51,684 | ||||||||||||
Freddie Mac Pool FR QA4865 | 3.000% | 11/01/2049 | 27,274 | 27,684 | ||||||||||||
Freddie Mac Pool FR QA4936 | 3.000% | 12/01/2049 | 14,172 | 14,386 | ||||||||||||
Freddie Mac Pool FR QA5622 | 3.000% | 12/01/2049 | 59,000 | 59,888 | ||||||||||||
Freddie Mac Pool FR QA5698 | 3.000% | 12/01/2049 | 99,000 | 100,490 | ||||||||||||
Freddie Mac Pool FR QN0783 | 3.000% | 10/01/2034 | 53,701 | 55,279 | ||||||||||||
Freddie Mac Pool FR QN0786 | 3.000% | 10/01/2034 | 123,081 | 126,852 | ||||||||||||
Freddie Mac Pool FR QN0951 | 2.500% | 11/01/2034 | 61,349 | 62,154 | ||||||||||||
Freddie Mac Pool FR SB0040 | 2.500% | 12/01/2033 | 490,527 | 496,766 | ||||||||||||
Freddie Mac Pool FR SD0042 | 4.000% | 04/01/2049 | 639,938 | 687,316 | ||||||||||||
Freddie Mac Pool FR SD7506 | 4.000% | 09/01/2049 | 345,116 | 369,122 | ||||||||||||
Freddie Mac Pool FR ZA4718 | 3.000% | 10/01/2046 | 301,102 | 308,193 | ||||||||||||
Freddie Mac Pool FR ZK8377 | 2.500% | 11/01/2031 | 24,536 | 24,849 | ||||||||||||
Freddie Mac Pool FR ZK8430 | 2.500% | 12/01/2031 | 29,610 | 29,954 | ||||||||||||
Freddie Mac Pool FR ZK8962 | 3.000% | 09/01/2032 | 84,665 | 87,255 | ||||||||||||
Freddie Mac Pool FR ZK9163 | 3.000% | 01/01/2033 | 44,594 | 45,958 | ||||||||||||
Freddie Mac Pool FR ZM1073 | 4.000% | 05/01/2046 | 54,928 | 58,724 | ||||||||||||
Freddie Mac Pool FR ZM1434 | 3.500% | 07/01/2046 | 66,100 | 69,495 | ||||||||||||
Freddie Mac Pool FR ZM4821 | 3.500% | 11/01/2047 | 53,687 | 56,804 | ||||||||||||
Freddie Mac Pool FR ZM4939 | 3.500% | 11/01/2047 | 94,711 | 99,755 | ||||||||||||
Freddie Mac Pool FR ZM5102 | 3.500% | 12/01/2047 | 124,598 | 131,510 | ||||||||||||
Freddie Mac Pool FR ZM5228 | 3.500% | 12/01/2047 | 69,593 | 73,371 | ||||||||||||
Freddie Mac Pool FR ZM5705 | 3.500% | 02/01/2048 | 29,135 | 30,667 | ||||||||||||
Freddie Mac Pool FR ZM5707 | 3.500% | 02/01/2048 | 29,075 | 30,418 | ||||||||||||
Freddie Mac Pool FR ZM5945 | 4.000% | 03/01/2048 | 73,561 | 77,482 | ||||||||||||
Freddie Mac Pool FR ZM6220 | 4.000% | 04/01/2048 | 104,870 | 109,396 | ||||||||||||
Freddie Mac Pool FR ZM6276 | 4.000% | 04/01/2048 | 127,437 | 134,709 | ||||||||||||
Freddie Mac Pool FR ZM6410 | 4.000% | 05/01/2048 | 52,416 | 54,765 | ||||||||||||
Freddie Mac Pool FR ZM6427 | 4.000% | 05/01/2048 | 342,491 | 358,648 | ||||||||||||
Freddie Mac Pool FR ZM6780 | 4.000% | 06/01/2048 | 90,507 | 94,642 | ||||||||||||
Freddie Mac Pool FR ZN0638 | 3.500% | 02/01/2043 | 85,030 | 89,341 | ||||||||||||
Freddie Mac Pool FR ZN2165 | 4.500% | 12/01/2048 | 115,273 | 124,721 | ||||||||||||
Freddie Mac Pool FR ZS4598 | 3.000% | 01/01/2045 | 54,496 | 55,831 | ||||||||||||
Freddie Mac Pool FR ZS7403 | 3.000% | 05/01/2031 | 502,557 | 518,229 | ||||||||||||
Freddie Mac Pool FR ZS9830 | 3.500% | 10/01/2046 | 449,299 | 470,949 | ||||||||||||
Freddie Mac Pool FR ZT0272 | 3.500% | 02/01/2047 | 275,017 | 288,243 | ||||||||||||
Freddie Mac Pool FR ZT0337 | 3.500% | 12/01/2044 | 44,103 | 46,443 | ||||||||||||
Freddie Mac Pool FR ZT0537 | 3.500% | 03/01/2048 | 313,899 | 331,132 | ||||||||||||
Freddie Mac Pool FR ZT1159 | 3.500% | 02/01/2044 | 11,372 | 11,948 | ||||||||||||
Freddie Mac Pool FR ZT1633 | 4.000% | 03/01/2047 | 23,344 | 24,841 | ||||||||||||
Freddie Mac Pool FR ZT2104 | 2.500% | 12/01/2033 | 291,759 | 294,937 | ||||||||||||
Ginnie Mae I Pool GN 784059 | 4.000% | 01/15/2045 | 226,673 | 243,434 | ||||||||||||
Ginnie Mae I Pool GN 784182 | 4.500% | 08/15/2046 | 380,828 | 415,918 | ||||||||||||
Ginnie Mae I Pool GN BB4357 | 4.000% | 07/15/2047 | 292,551 | 310,864 | ||||||||||||
Ginnie Mae I Pool GN BC7161 | 4.000% | 08/15/2047 | 56,417 | 59,470 | ||||||||||||
Ginnie Mae I Pool GN BD7109 | 4.000% | 11/15/2047 | 59,971 | 63,065 | ||||||||||||
Ginnie Mae I Pool GN BD7135 | 4.000% | 12/15/2047 | 75,402 | 79,287 | ||||||||||||
Ginnie Mae II Jumbo TBA | 3.500% | 01/15/2050 | 2,557,000 | 2,634,835 | ||||||||||||
Ginnie Mae II Jumbo TBA | 4.500% | 01/15/2050 | 302,000 | 315,744 | ||||||||||||
Ginnie Mae II Pool G2 BB9817 | 4.000% | 08/20/2047 | 27,411 | 28,570 | ||||||||||||
Ginnie Mae II Pool G2 BH3672 | 4.500% | 05/20/2048 | 41,650 | 44,132 | ||||||||||||
Ginnie Mae II Pool G2 BH3673 | 4.500% | 05/20/2048 | 175,955 | 186,425 | ||||||||||||
Ginnie Mae II Pool G2 MA5192 | 4.000% | 05/20/2048 | 1,399,795 | 1,454,040 | ||||||||||||
Ginnie Mae II Pool G2 MA5264 | 4.000% | 06/20/2048 | 254,017 | 263,827 | ||||||||||||
Ginnie Mae II Pool G2 MA5878 | 5.000% | 04/20/2049 | 1,284,769 | 1,352,424 | ||||||||||||
|
| |||||||||||||||
Total U.S. Government Agency Mortgage-Backed Securities (Cost $ 35,036,608) | $ | 35,491,123 | ||||||||||||||
|
|
U.S. Treasury Obligations – 7.3% | Rate | Maturity | Face Amount | Value | ||||||||||||||||
U.S. Treasury Bill | (d | ) | 0.000% | 02/27/2020 | $ | 250,000 | $ | 249,257 | ||||||||||||
U.S. Treasury Bill | (d | ) | 0.000% | 03/26/2020 | 300,000 | 298,945 | ||||||||||||||
U.S. Treasury Bill | (d | ) | 0.000% | 04/23/2020 | 300,000 | 298,569 | ||||||||||||||
U.S. Treasury Note | 2.375% | 04/30/2020 | 3,883,000 | 3,892,404 | ||||||||||||||||
U.S. Treasury Note | 2.125% | 05/31/2021 | 2,920,000 | 2,940,610 | ||||||||||||||||
U.S. Treasury Note | 1.750% | 07/31/2021 | 1,521,000 | 1,524,375 | ||||||||||||||||
U.S. Treasury Note | 1.500% | 09/15/2022 | 931,000 | 928,382 | ||||||||||||||||
U.S. Treasury Note | 2.875% | 11/30/2023 | 291,000 | 304,144 | ||||||||||||||||
U.S. Treasury Note | 2.000% | 05/31/2024 | 2,183,700 | 2,212,009 |
112 | (continued) |
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
U.S. Treasury Obligations (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||||
U.S. Treasury Note | 1.750% | 07/31/2024 | $ | 5,622,900 | $ | 5,635,675 | ||||||||||||||
U.S. Treasury Note | (d | ) | 2.250% | 11/15/2024 | 1,865,000 | 1,912,065 | ||||||||||||||
U.S. Treasury Note | 1.625% | 02/15/2026 | 308,000 | 304,948 | ||||||||||||||||
U.S. Treasury Note | 1.375% | 08/31/2026 | 93,000 | 90,362 | ||||||||||||||||
U.S. Treasury Note | 1.625% | 10/31/2026 | 271,000 | 267,300 | ||||||||||||||||
U.S. Treasury Note | 2.375% | 05/15/2029 | 2,134,400 | 2,216,736 | ||||||||||||||||
U.S. Treasury Note | 1.625% | 08/15/2029 | 1,597,700 | 1,555,235 | ||||||||||||||||
U.S. Treasury Note | 3.000% | 02/15/2049 | 69,000 | 77,752 | ||||||||||||||||
U.S. Treasury Note | 2.875% | 05/15/2049 | 31,000 | 34,131 | ||||||||||||||||
U.S. Treasury Note | 2.250% | 08/15/2049 | 5,059,400 | 4,902,084 | ||||||||||||||||
|
| |||||||||||||||||||
Total U.S. Treasury Obligations (Cost $29,742,714) | $ | 29,644,983 | ||||||||||||||||||
|
|
Purchased Options – 7.1% | Notional Amount | Expiration | Exercise Price | Contracts (e) | Value | |||||||||||||||
S&P 500 Index Call Option | $ | 32,307,800 | December 2021 | $2,800 | 100 | $ | 5,636,000 | |||||||||||||
S&P 500 Index Call Option | 14,538,510 | December 2021 | $2,850 | 45 | 2,375,100 | |||||||||||||||
S&P 500 Index Call Option | 27,461,630 | December 2021 | $2,900 | 85 | 4,189,650 | |||||||||||||||
S&P 500 Index Call Option | 14,538,510 | December 2021 | $3,000 | 45 | 1,911,600 | |||||||||||||||
S&P 500 Index Call Option | 11,307,730 | December 2021 | $3,050 | 35 | 1,375,150 | |||||||||||||||
S&P 500 Index Call Option | 8,076,950 | December 2021 | $3,100 | 25 | 901,250 | |||||||||||||||
S&P 500 Index Call Option | 4,846,170 | December 2021 | $3,150 | 15 | 494,400 | |||||||||||||||
S&P 500 Index Call Option | 3,230,780 | December 2021 | $3,200 | 10 | 300,000 | |||||||||||||||
S&P 500 Index Call Option | 3,230,780 | December 2021 | $3,250 | 10 | 273,500 | |||||||||||||||
S&P 500 Index Call Option | 1,615,390 | December 2021 | $3,300 | 5 | 121,550 | |||||||||||||||
S&P 500 Index Put Option | 32,307,800 | December 2021 | $2,800 | 100 | 1,488,000 | |||||||||||||||
S&P 500 Index Put Option | 14,538,510 | December 2021 | $2,850 | 45 | 771,300 | |||||||||||||||
S&P 500 Index Put Option | 27,461,630 | December 2021 | $2,900 | 85 | 1,484,100 | |||||||||||||||
S&P 500 Index Put Option | 14,538,510 | December 2021 | $3,000 | 45 | 908,100 | |||||||||||||||
S&P 500 Index Put Option | 11,307,730 | December 2021 | $3,050 | 35 | 800,520 | |||||||||||||||
S&P 500 Index Put Option | 8,076,950 | December 2021 | $3,100 | 25 | 618,600 | |||||||||||||||
S&P 500 Index Put Option | 4,846,170 | December 2021 | $3,150 | 15 | 397,500 | |||||||||||||||
S&P 500 Index Put Option | 3,230,780 | December 2021 | $3,200 | 10 | 280,000 | |||||||||||||||
S&P 500 Index Put Option | 3,230,780 | December 2021 | $3,250 | 10 | 288,400 | |||||||||||||||
S&P 500 Index Put Option | 1,615,390 | December 2021 | $3,300 | 5 | 154,600 | |||||||||||||||
SPDR S&P 500 ETF Trust Call Option | 1,609,300 | December 2021 | $280 | 50 | 284,850 | |||||||||||||||
SPDR S&P 500 ETF Trust Call Option | 2,413,950 | December 2021 | $285 | 75 | 400,425 | |||||||||||||||
SPDR S&P 500 ETF Trust Call Option | 2,735,810 | December 2021 | $290 | 85 | 423,980 | |||||||||||||||
SPDR S&P 500 ETF Trust Call Option | 2,381,764 | December 2021 | $295 | 74 | 343,730 | |||||||||||||||
SPDR S&P 500 ETF Trust Call Option | 8,239,616 | December 2021 | $300 | 256 | 1,133,568 | |||||||||||||||
SPDR S&P 500 ETF Trust Call Option | 965,580 | December 2021 | $305 | 30 | 119,520 | |||||||||||||||
SPDR S&P 500 ETF Trust Call Option | 965,580 | December 2021 | $310 | 30 | 106,050 | |||||||||||||||
SPDR S&P 500 ETF Trust Put Option | 1,609,300 | December 2021 | $280 | 50 | 80,750 | |||||||||||||||
SPDR S&P 500 ETF Trust Put Option | 2,413,950 | December 2021 | $285 | 75 | 129,600 | |||||||||||||||
SPDR S&P 500 ETF Trust Put Option | 2,735,810 | December 2021 | $290 | 85 | 157,505 | |||||||||||||||
SPDR S&P 500 ETF Trust Put Option | 2,381,764 | December 2021 | $295 | 74 | 147,260 | |||||||||||||||
SPDR S&P 500 ETF Trust Put Option | 8,239,616 | December 2021 | $300 | 256 | 561,152 | |||||||||||||||
SPDR S&P 500 ETF Trust Put Option | 965,580 | December 2021 | $305 | 30 | 69,900 | |||||||||||||||
SPDR S&P 500 ETF Trust Put Option | 965,580 | December 2021 | $310 | 30 | 74,550 | |||||||||||||||
|
| |||||||||||||||||||
Total Purchased Options (Cost $25,545,540) | $ | 28,802,160 | ||||||||||||||||||
|
|
Asset-Backed / Mortgage-Backed Securities – 2.3% | Rate | Maturity | Face Amount | Value | ||||||||||||||||
CONSUMER DISCRETIONARY – 0.7% | ||||||||||||||||||||
Applebee’s Funding LLC / IHOP Funding LLC2019-1A A2I | (b | ) | 4.194% | 06/07/2049 | $ | 248,000 | $ | 251,413 | ||||||||||||
DB Master Finance LLC2019-1A A23 | (b | ) | 4.352% | 05/20/2049 | 90,545 | 93,807 | ||||||||||||||
DB Master Finance LLC2019-1A A2I | (b | ) | 3.787% | 05/20/2049 | 113,430 | 115,852 | ||||||||||||||
DB Master Finance LLC2019-1A A2II | (b | ) | 4.021% | 05/20/2049 | 49,750 | 50,969 | ||||||||||||||
Domino’s Pizza Master Issuer LLC2017-1A A23 | (b | ) | 4.118% | 07/25/2047 | 49,980 | 51,771 | ||||||||||||||
Domino’s Pizza Master Issuer LLC2017-1A A2II | (b | ) | 3.082% | 07/25/2047 | 57,820 | 57,866 | ||||||||||||||
Domino’s Pizza Master Issuer LLC2018-1A A2I | (b | ) | 4.116% | 07/25/2048 | 229,100 | 235,611 | ||||||||||||||
Domino’s Pizza Master Issuer LLC2018-1A A2II | (b | ) | 4.328% | 07/25/2048 | 34,563 | 35,995 | ||||||||||||||
Domino’s Pizza Master Issuer LLC2019-1A A2 | (b | ) | 3.668% | 10/25/2049 | 406,000 | 406,069 | ||||||||||||||
Great Wolf Trust 2019-WOLF A | (b | ) | ML + 103 | 12/15/2036 | 64,000 | 63,737 | ||||||||||||||
Great Wolf Trust 2019-WOLF B | (b | ) | ML + 133 | 12/15/2036 | 72,000 | 71,864 | ||||||||||||||
Great Wolf Trust 2019-WOLF C | (b | ) | ML + 163 | 12/15/2036 | 79,000 | 78,874 | ||||||||||||||
Great Wolf Trust 2019-WOLF D | (b | ) | ML + 193 | 12/15/2036 | 60,000 | 59,904 | ||||||||||||||
Jack in the Box Funding LLC2019-1A A23 | (b | ) | 4.970% | 08/25/2049 | 240,000 | 242,078 | ||||||||||||||
Jack in the Box Funding LLC2019-1A A2I | (b | ) | 3.982% | 08/25/2049 | 240,000 | 241,769 | ||||||||||||||
Jack in the Box Funding LLC2019-1A A2II | (b | ) | 4.476% | 08/25/2049 | 240,000 | 241,841 |
113 | (continued) |
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Asset-Backed / Mortgage-Backed Securities (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||||
CONSUMER DISCRETIONARY (continued) | ||||||||||||||||||||
Planet Fitness Master Issuer LLC2019-1A A2 | (b | ) | 3.858% | 12/05/2049 | $ | 208,000 | $ | 204,959 | ||||||||||||
Taco Bell Funding LLC2018-1A A2II | (b | ) | 4.940% | 11/25/2048 | 46,530 | 50,050 | ||||||||||||||
Wendy’s Funding LLC2018-1A A2I | (b | ) | 3.573% | 03/15/2048 | 78,400 | 79,219 | ||||||||||||||
Wendy’s Funding LLC2018-1A A2II | (b | ) | 3.884% | 03/15/2048 | 52,920 | 53,813 | ||||||||||||||
Wendy’s Funding LLC2019-1A A2I | (b | ) | 3.783% | 06/15/2049 | 122,385 | 124,824 | ||||||||||||||
|
| |||||||||||||||||||
2,812,285 | ||||||||||||||||||||
|
| |||||||||||||||||||
FINANCIALS – 1.6% | ||||||||||||||||||||
AmeriCredit Automobile Receivables Trust2015-3 D | 3.340% | 08/08/2021 | 369,786 | 370,103 | ||||||||||||||||
Angel Oak Mortgage Trust I LLC2018-2 A1 | (b | ) | 3.674% | 07/27/2048 | 39,629 | 39,995 | ||||||||||||||
Arroyo Mortgage Trust2018-1 A1 | (b | ) | 3.763% | 04/25/2048 | 73,468 | 74,320 | ||||||||||||||
BANK 2019-BN24 A3 | 2.960% | 11/15/2062 | 52,000 | 53,266 | ||||||||||||||||
BBCMS Mortgage Trust 2018-TALL A | (b | ) | ML + 72 | 03/15/2037 | 161,000 | 160,193 | ||||||||||||||
BBCMS Trust 2015-SRCH A2 | (b | ) | 4.197% | 08/10/2035 | 210,000 | 230,254 | ||||||||||||||
BX Commercial Mortgage Trust2018-IND A | (b | ) | ML + 75 | 11/15/2035 | 221,390 | 221,258 | ||||||||||||||
BX Commercial Mortgage Trust2019-XL A | (b | ) | ML + 92 | 10/15/2036 | 282,000 | 282,226 | ||||||||||||||
BX Commercial Mortgage Trust2019-XL B | (b | ) | ML + 108 | 10/15/2036 | 100,000 | 100,125 | ||||||||||||||
BX Trust 2019-OC11 A | (b | ) | 3.202% | 12/09/2041 | 268,000 | 275,366 | ||||||||||||||
BX Trust 2019-OC11 B | (b | ) | 3.605% | 12/09/2041 | 134,000 | 137,237 | ||||||||||||||
BX Trust 2019-OC11 C | (b | ) | 3.856% | 12/09/2041 | 134,000 | 137,577 | ||||||||||||||
BX Trust 2019-OC11 D | (b | ) | 4.075% | 12/09/2041 | 201,000 | 204,282 | ||||||||||||||
BX Trust 2019-OC11 E | (b | ) | 4.075% | 12/09/2041 | 51,000 | 49,269 | ||||||||||||||
BXP Trust2017-GM A | (b | ) | 3.379% | 06/13/2039 | 96,000 | 100,565 | ||||||||||||||
Chase Home Lending Mortgage Trust 2019-ATR2 A11 | (b | ) | ML + 90 | 07/25/2049 | 46,614 | 46,415 | ||||||||||||||
Connecticut Avenue Securities Trust2019-R03 1M2 | (b | ) | ML + 215 | 09/25/2031 | 202,166 | 203,688 | ||||||||||||||
Connecticut Avenue Securities Trust2019-R04 2M2 | (b | ) | ML + 210 | 06/25/2039 | 75,000 | 75,446 | ||||||||||||||
Connecticut Avenue Securities Trust2019-R05 1M2 | (b | ) | ML + 200 | 07/25/2039 | 115,396 | 115,978 | ||||||||||||||
Connecticut Avenue Securities Trust2019-R07 1M2 | (b | ) | ML + 210 | 10/25/2039 | 30,000 | 30,282 | ||||||||||||||
Drive Auto Receivables Trust2017-AA D | (b | ) | 4.160% | 05/15/2024 | 101,000 | 102,375 | ||||||||||||||
Drive Auto Receivables Trust2019-1 D | 4.090% | 06/15/2026 | 42,000 | 43,231 | ||||||||||||||||
Fannie Mae Connecticut Avenue Securities2017-C02 2M1 | ML + 115 | 09/25/2029 | 8,575 | 8,582 | ||||||||||||||||
Fannie Mae Connecticut Avenue Securities2017-C03 1M1 | ML + 95 | 10/25/2029 | 11,889 | 11,906 | ||||||||||||||||
Fannie Mae Connecticut Avenue Securities2017-C06 1M1 | ML + 75 | 02/25/2030 | 3,263 | 3,263 | ||||||||||||||||
Fannie Mae Connecticut Avenue Securities2018-C01 1M1 | ML + 60 | 07/25/2030 | 37,688 | 37,678 | ||||||||||||||||
Fannie Mae Connecticut Avenue Securities2018-C05 1M1 | ML + 72 | 01/25/2031 | 6,433 | 6,435 | ||||||||||||||||
Fannie Mae Connecticut Avenue Securities2018-C06 1M2 | ML + 200 | 03/25/2031 | 278,158 | 279,324 | ||||||||||||||||
Fannie Mae REMICS FNR2018-27 EA | 3.000% | 05/25/2048 | 283,791 | 291,639 | ||||||||||||||||
Fannie Mae REMICS FNR2019-71 P | 3.000% | 11/25/2049 | 446,838 | 457,809 | ||||||||||||||||
Freddie Mac Structured Agency Credit Risk Debt Notes 2018-DNA1 M2 | ML + 180 | 07/25/2030 | 115,454 | 115,682 | ||||||||||||||||
JP Morgan Mortgage Trust2019-5 A11 | (b | ) | ML + 90 | 11/25/2049 | 30,272 | 30,179 | ||||||||||||||
JP Morgan Mortgage Trust2019-6 A11 | (b | ) | ML + 90 | 12/25/2049 | 49,535 | 49,380 | ||||||||||||||
JP Morgan Mortgage Trust2019-7 A11 | (b | ) | ML + 90 | 02/25/2050 | 92,974 | 92,689 | ||||||||||||||
JP Morgan Mortgage Trust 2019-LTV2 A11 | (b | ) | ML + 90 | 12/25/2049 | 129,742 | 129,513 | ||||||||||||||
Mello Warehouse Securitization Trust2018-W1 A | (b | ) | ML + 85 | 11/25/2051 | 333,333 | 333,498 | ||||||||||||||
New Residential Mortgage Loan Trust2018-2A A1 | (b | ) | 4.500% | 02/25/2058 | 89,089 | 93,122 | ||||||||||||||
OneMain Direct Auto Receivables Trust2018-1A C | (b | ) | 3.850% | 10/14/2025 | 100,000 | 102,252 | ||||||||||||||
OneMain Direct Auto Receivables Trust2018-1A D | (b | ) | 4.400% | 01/14/2028 | 100,000 | 102,816 | ||||||||||||||
PRPM2019-4A A1 | (b | ) | 3.351% | 11/25/2024 | 99,133 | 99,129 | ||||||||||||||
PRPM2019-GS1 A1 | (b | ) | 3.500% | 10/25/2024 | 132,019 | 131,871 | ||||||||||||||
Station Place Securitization Trust Series2019-10 NT | 2.944% | 10/24/2020 | 482,000 | 482,002 | ||||||||||||||||
Station Place Securitization Trust Series2019-WL1 D | (b | ) | ML + 120 | 08/25/2052 | 93,000 | 93,012 | ||||||||||||||
Station Place Securitization Trust Series2019-WL1 E | (b | ) | ML + 140 | 08/25/2052 | 189,000 | 189,025 | ||||||||||||||
Towd Point HE Trust2019-HE1 A1 | (b | ) | ML + 90 | 04/25/2048 | 111,518 | 111,412 | ||||||||||||||
|
| |||||||||||||||||||
6,305,669 | ||||||||||||||||||||
|
| |||||||||||||||||||
Total Asset-Backed / Mortgage-Backed Securities (Cost $9,086,919) | $ | 9,117,954 | ||||||||||||||||||
|
|
Preferred Securities – 0.2% | Rate | Quantity | Value | |||||||||||
FINANCIALS – 0.1% | ||||||||||||||
Goldman Sachs Group, Inc. / The (Rate is fixed until 02/10/2025, at which point, the rate becomes H15T5Y + 322) DR (Capital Markets) | (c | ) | 4.950% | 186,000 | $ | 192,696 | ||||||||
Synchrony Financial DR (Consumer Finance) | 5.625% | 7,225 | 184,599 | |||||||||||
|
| |||||||||||||
377,295 | ||||||||||||||
|
|
114 | (continued) |
Ohio National Fund, Inc. | ON Risk Managed Balanced Portfolio (Continued) |
Schedule of Investments | December 31, 2019 |
Preferred Securities (Continued) | Rate | Quantity | Value | |||||||||||||
INDUSTRIALS – 0.1% | ||||||||||||||||
General Electric Co. (Rate is fixed until 01/21/2021, at which point, the rate becomes QL + 333) (Industrial Conglomerates) | (c | ) | 5.000% | 336,000 | $ | 329,098 | ||||||||||
|
| |||||||||||||||
Total Preferred Securities (Cost $ 681,389) | $ | 706,393 | ||||||||||||||
|
|
Money Market Funds – 16.4% | Shares | Value | ||||||||||
State Street Institutional Liquid Reserves Fund Institutional Class, 1.734% | (f | ) | 57,690,015 | $ | 57,695,784 | |||||||
State Street Institutional U.S. Government Money Market Fund, 1.535% | (f | ) | 8,571,837 | 8,571,837 | ||||||||
|
| |||||||||||
Total Money Market Funds (Cost $66,268,497) | $ | 66,267,621 | ||||||||||
|
| |||||||||||
Total Investments – 101.6% (Cost $344,149,794) | (g | ) | $ | 410,244,707 | ||||||||
Total TBA Sales Commitments – (0.4)% (see the following Schedule of TBA Sales Commitments) | (1,416,142 | ) | ||||||||||
Liabilities in Excess of Other Assets – (1.2)% | (d | ) | (5,221,588 | ) | ||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 403,606,977 | ||||||||||
|
| |||||||||||
|
Percentages are stated as a percent of net assets.
Abbreviations:
DR: | Depositary Receipt | |
H15T5Y: | U.S. Treasury Yield Curve RateT-Note Constant Maturity 5 Year, 1.690% at 12/31/2019 | |
ML: | Monthly U.S. LIBOR Rate, 1.763% at 12/31/2019 | |
QL: | Quarterly U.S. LIBOR Rate, 1.908% at 12/31/2019 | |
SOFR: | Secured Overnight Financing Rate, 1.550% at 12/31/2019 | |
TBA: | To Be Announced | |
UMBS: | Uniform Mortgage-Backed Security; the securities actually delivered on settlement of the TBA could be issued by Fannie Mae, Freddie Mac, or any combination thereof |
Footnotes:
(a) | Non-income producing security. |
(b) | Security exempt from registration under Regulation D of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers under Rule 144A. At December 31, 2019, the value of these securities totaled $16,422,071, or 4.1% of the Portfolio’s net assets. |
(c) | Security is a fixed-then-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 December 31, 2019. |
(d) | Security is fully pledged, in addition to $300,560 of the Portfolio’s cash holdings, as collateral for the futures contracts outstanding at December 31, 2019. See also the following Schedule of Open Futures Contracts. |
(e) | 100 shares per contract. |
(f) | Rate represents theseven-day yield at December 31, 2019. |
(g) | Represents cost for financial reporting purposes, which may differ from cost basis for federal income tax purposes. See also Note 8 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
Schedule of Open Futures Contracts | December 31, 2019 |
Description | Number of contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | Variation Margin Receivable (Payable) | ||||||||||||||
CMEE-mini S&P 500 Index - Long | 192 | March 20, 2020 | $ | 30,562,874 | $ | 31,018,560 | $ 455,686 | $ 47,645 | ||||||||||||
10-Year U.S. Treasury Note - Long | 1,778 | March 20, 2020 | 230,388,493 | 228,334,094 | (2,054,399) | (194,460 | ) | |||||||||||||
U.S. Treasury Long Bond - Long | 64 | March 20, 2020 | 10,176,555 | 9,978,000 | (198,555) | (22,000 | ) | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
$ | 271,127,922 | $ | 269,330,654 | $(1,797,268) | $(168,815) | |||||||||||||||
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
Schedule of TBA Sales Commitments | December 31, 2019 |
Description | Rate | Maturity | Face Amount | Value | ||||||||||||
Fannie Mae or Freddie Mac UMBS TBA Sale Commitment | 2.500% | 01/15/2035 | $ | 220,820 | $ | (222,686 | ) | |||||||||
Fannie Mae or Freddie Mac UMBS TBA Sale Commitment | 3.000% | 01/15/2050 | 940,130 | (952,869 | ) | |||||||||||
Fannie Mae or Freddie Mac UMBS TBA Sale Commitment | 3.500% | 01/15/2050 | 234,000 | (240,587 | ) | |||||||||||
|
| |||||||||||||||
Total TBA Sales Commitments (Proceeds $1,415,234) | $ | (1,416,142 | ) | |||||||||||||
|
|
115 |
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. Equity0-25%, International Equity0-10%, and Fixed Income65-90%.
Performance as of December 31, 2019 |
Average Annual returns | ||||
One year | 13.18 | % | ||
Since inception (3/1/17) | 5.23 | % |
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-free1-877-781-6392.
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 1.13% per the Fund’s prospectus dated November 22, 2019. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2019 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, 2020.
Comments from Adviser |
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A.For the year ended December 31, 2019, the Portfolio returned 13.18% versus 11.22% 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.In 2019, domestic and foreign equity markets provided large positive returns. Domestic stocks generally outperformed foreign stocks, and large cap stocks generally outperformed mid cap and small cap stocks. Growth stocks materially outperformed value stocks during the year. The Portfolio’s large cap and domestic stock holdings benefited relative performance.(1)
Fixed income markets also provided positive returns for the year. Interest rates declined across the curve, as the Federal Reserve reduced the Federal Funds rate by 75 basis points during the year. In this environment, longer duration bonds outperformed shorter duration bonds. Corporate credit spreads tightened, and lower quality bonds outperformed higher quality bonds during the year. The Portfolio’s overweight to corporate and high yield bonds benefited performance, while its exposure to short term bonds detracted from performance versus 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 unaffiliatedopen-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 roughlyin-line with the benchmark. On the equity side, the overweight allocation to large cap domestic equity funds benefited performance versus the benchmark. On the fixed income side, the overweight allocation to corporate and high yield bonds aided performance versus the benchmark, while the allocation to shorter bonds detracted from performance relative to the benchmark during the year.(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 ON S&P 500® Index Portfolio, ON Janus Henderson Venture Portfolio, and ON S&P MidCap 400® Index Portfolio. 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 ON Janus Henderson Venture Portfolio benefited from its exposure to growth stocks, which outperformed during the year. Lastly, the ON S&P MidCap 400® Index Portfolio benefited from its exposure to domestic stocks, which outperformed foreign stocks during the year. The top three funds that detracted from performance versus the benchmark were PIMCO Low Duration Institutional, PIMCO Total Return Institutional, and PIMCO Real Return Institutional. PIMCO Low Duration Institutional underperformed due to its shorter duration and exposure to higher quality bonds. PIMCO Total Return Institutional underperformed due to its lower weighting in corporate bonds. PIMCO Real Return Institutional focuses on inflation protected securities and underperformed in an environment of low inflation.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2019. |
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%.
Past performance is no guarantee of future results. Redemption of fund shares could have tax implications unique to each shareholder.
116 | (continued) |
Ohio National Fund, Inc. | ON Conservative Model Portfolio (Unaudited) (Continued) |
Portfolio Composition as of December 31, 2019 (1) |
% of Net Assets | ||||
Open-End Mutual Funds Less Net Liabilities | 100.0 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31, 2019 (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 | 12.0 | ||||
4. | PIMCO Low Duration Institutional | 11.0 | ||||
5. | ON S&P 500®Index Portfolio | 11.0 | ||||
6. | ON Bond Portfolio | 10.0 | ||||
7. | ON Federated High Income Bond Portfolio | �� | 7.0 | |||
8. | ON BlackRock Advantage Large Cap Value Portfolio | 3.0 | ||||
9. | DFA International Core Equity Portfolio Institutional | 2.0 | ||||
10. | ON S&P MidCap 400®Index Portfolio | 2.0 |
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. |
(3) | Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher. |
117
Ohio National Fund, Inc. | ON Conservative Model Portfolio |
Schedule of Investments in Unaffiliated Issuers | December 31, 2019 |
Open-End Mutual Funds – 64.1% | Shares | Value | ||||||||||
DFA International Core Equity Portfolio Institutional | 108,636 | $ | 1,500,256 | |||||||||
PIMCO Low Duration Institutional | 844,166 | 8,272,822 | ||||||||||
PIMCO Real Return Institutional | 802,573 | 9,020,925 | ||||||||||
PIMCO Total Return Institutional | 1,236,660 | 12,787,069 | ||||||||||
Western Asset Core Plus Bond IS | 1,383,951 | 16,552,060 | ||||||||||
|
| |||||||||||
TotalOpen-End Mutual Funds | $ | 48,133,132 | ||||||||||
|
| |||||||||||
Total Investments in Securities of Unaffiliated Issuers – 64.1% (Cost $47,082,186) | (a | ) | $ | 48,133,132 | ||||||||
Total Investments in Affiliates – 35.9% (Cost $25,170,936) (see schedule below) | (a | ) | 27,004,616 | |||||||||
Liabilities in Excess of Other Assets – 0.0% | (34,833 | ) | ||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 75,102,915 | ||||||||||
|
|
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 8 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments in Affiliates | December 31, 2019 |
Affiliate | Value at January 1, 2019 | Cost of Purchases | Proceeds from Sales | Net Realized Gain (Loss) | Change in Appreciation | Income Distributions | Capital Gain Distributions | Shares at December 31, 2019 | Value at December 31, | |||||||||||||||||||||||||||||||
Open-End Mutual Funds – 35.9% | ||||||||||||||||||||||||||||||||||||||||
ON BlackRock Advantage Large Cap Value Portfolio | (a | ) | $2,307,819 | $ 578,934 | $ 959,265 | $ 65,511 | $ 257,386 | $ 66,596 | $ 22,894 | 120,021 | $ 2,250,385 | |||||||||||||||||||||||||||||
ON Bond Portfolio | (a | ) | 5,557,747 | 2,994,429 | 1,624,279 | 63,407 | 509,978 | 164,517 | — | 392,737 | 7,501,282 | |||||||||||||||||||||||||||||
ON Federated High Income Bond Portfolio | (a | ) | 5,470,926 | 922,575 | 1,689,886 | 129,944 | 417,339 | 220,716 | — | 253,789 | 5,250,898 | |||||||||||||||||||||||||||||
ON International Equity Portfolio | (a | ) | 1,572,159 | 337,323 | 680,787 | (34,381 | ) | 305,942 | 24,847 | — | 96,666 | 1,500,256 | ||||||||||||||||||||||||||||
ON Janus Henderson Venture Portfolio | (a | ) | 767,825 | 344,018 | 454,074 | 13,639 | 78,720 | — | 110,017 | 22,134 | 750,128 | |||||||||||||||||||||||||||||
ON S&P 500®Index Portfolio | (a | ) | 8,441,448 | 2,819,672 | 4,549,391 | 433,419 | 1,106,263 | 101,029 | 689,195 | 247,865 | 8,251,411 | |||||||||||||||||||||||||||||
ON S&P MidCap 400®Index Portfolio | (a | ) | 1,525,495 | 462,872 | 841,417 | 15,525 | 337,781 | 12,694 | — | 77,935 | 1,500,256 | |||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||
TotalOpen-End Mutual Funds | $ 687,064 | $ 3,013,409 | $ 590,399 | $ 822,106 | $ 27,004,616 | |||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
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 at December 31, 2019. |
The accompanying notes are an integral part of these financial statements.
118 |
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. Equity20-40%, International Equity5-20%, and Fixed Income30-70%.
Performance as of December 31, 2019 |
Average Annual returns | ||||
One year | 16.58 | % | ||
Since inception (3/1/17) | 5.89 | % |
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-free1-877-781-6392.
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 1.06% per the Fund’s prospectus dated November 22, 2019. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2019 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 1.00% through April 30, 2020.
Comments from Adviser |
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A.For the year ended December 31, 2019, the Portfolio returned 16.58% versus 15.25% 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.In 2019, domestic and foreign equity markets provided large positive returns. Domestic stocks generally outperformed foreign stocks, and large cap stocks generally outperformed mid cap and small cap stocks. Growth stocks materially outperformed value stocks during the period. The Portfolio’s holdings of large cap, domestic, and growth stocks benefited relative performance.(1)
Fixed income markets also provided positive returns for the year. Interest rates declined across the curve, as the Federal Reserve reduced the Federal Funds rate by 75 basis points during the year. In this environment, longer duration bonds outperformed shorter duration bonds. Corporate credit spreads tightened, and lower quality bonds outperformed higher quality bonds during the year. The Portfolio’s overweight to corporate and high yield bonds benefited performance, while its exposure to short term bonds detracted from performance versus 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 unaffiliatedopen-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 roughlyin-line with the benchmark. On the equity side, the overweight allocation to large cap, domestic, and growth equity funds benefited performance versus the benchmark. On the fixed income side, the overweight allocation to corporate and high yield bonds aided performance versus the benchmark, while the allocation to shorter bonds detracted from performance relative to the benchmark during the year.(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 ONNasdaq-100® Index Portfolio, ON Janus Henderson Enterprise Portfolio, and ON Janus Henderson Forty Portfolio. Each of the Portfolios benefited from its exposure to domestic growth stocks. The top three funds that detracted from performance versus the benchmark were PIMCO Low Duration Institutional, PIMCO Total Return Institutional, and PIMCO Real Return Institutional. PIMCO Low Duration Institutional underperformed due to its shorter duration and exposure to higher quality bonds. PIMCO Total Return Institutional underperformed due to its lower weighting in corporate bonds. PIMCO Real Return Institutional focuses on inflation protected securities and underperformed in an environment of low inflation.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2019. |
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%.
Past performance is no guarantee of future results. Redemption of fund shares could have tax implications unique to each shareholder.
119 | (continued) |
Ohio National Fund, Inc. | ON Moderately Conservative Model Portfolio (Unaudited) (Continued) |
Portfolio Composition as of December 31, 2019 (1) |
% of Net Assets | ||||
Open-End Mutual Funds Less Net Liabilities | 100.0 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31, |
% of Net Assets | ||||||
1. | Western Asset Core Plus Bond IS | 17.0 | ||||
2. | PIMCO Total Return Institutional | 13.0 | ||||
3. | ON S&P 500®Index Portfolio | 13.0 | ||||
4. | PIMCO Low Duration Institutional | 8.0 | ||||
5. | PIMCO Real Return Institutional | 8.0 | ||||
6. | ON Bond Portfolio | 7.0 | ||||
7. | ON Federated High Income Bond Portfolio | 6.0 | ||||
8. | ON BlackRock Advantage Large Cap Value Portfolio | 5.0 | ||||
9. | ON S&P MidCap 400®Index Portfolio | 5.0 | ||||
10. | ON International Equity Portfolio | 4.5 |
(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. |
120
Ohio National Fund, Inc. | ON Moderately Conservative Model Portfolio |
Schedule of Investments in Unaffiliated Issuers | December 31, 2019 |
Open-End Mutual Funds – 51.6% | Shares | Value | ||||||||||
DFA Emerging Markets Portfolio Institutional | 114,609 | $ | 3,345,448 | |||||||||
DFA International Core Equity Portfolio Institutional | 484,497 | 6,690,896 | ||||||||||
PIMCO Low Duration Institutional | 1,825,326 | 17,888,196 | ||||||||||
PIMCO Real Return Institutional | 1,590,787 | 17,880,442 | ||||||||||
PIMCO Total Return Institutional | 2,811,645 | 29,072,409 | ||||||||||
Vanguard International Growth Fund Admiral Class | 21,698 | 2,230,299 | ||||||||||
Western Asset Core Plus Bond IS | 3,179,526 | 38,027,134 | ||||||||||
|
| |||||||||||
TotalOpen-End Mutual Funds | $ | 115,134,824 | ||||||||||
|
| |||||||||||
Total Investments in Securities of Unaffiliated Issuers – 51.6% (Cost $112,218,149) | (a | ) | $ | 115,134,824 | ||||||||
Total Investments in Affiliates – 48.4% (Cost $99,697,026) (see schedule below) | (a | ) | 108,169,495 | |||||||||
Liabilities in Excess of Other Assets – 0.0% | (80,651 | ) | ||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 223,223,668 | ||||||||||
|
|
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 8 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments in Affiliates | December 31, 2019 |
Affiliate | Value at January 1, 2019 | Cost of Purchases | Transfers | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Income Distributions | Capital Gain Distributions | Shares at December 31, 2019 | Value at December 31, 2019 | ||||||||||||||||||||||||||||||||||
Open-End Mutual Funds – 48.4% | ||||||||||||||||||||||||||||||||||||||||||||
Fidelity Advisor®Mid Cap II Class I | (a | ) | $ | 4,511,453 | $ | 640,692 | $ | — | $ | 5,578,659 | $ | (576,078 | ) | $ | 1,002,592 | $ | — | $ | 136,771 | — | $ | — | ||||||||||||||||||||||
Fidelity Advisor®Real Estate I | (b | ) | 2,260,163 | 599,163 | — | 952,897 | (16,002 | ) | 339,872 | 44,423 | 131,533 | 101,331 | 2,230,299 | |||||||||||||||||||||||||||||||
ON BlackRock Advantage Large Cap Core Portfolio | (b | ) | — | 41,144 | 5,670,303 | 554,806 | (751,460 | ) | 55,417 | 22,463 | — | 135,375 | 4,460,598 | |||||||||||||||||||||||||||||||
ON BlackRock Advantage Large Cap Value Portfolio | (b | ) | 11,658,209 | 1,219,410 | — | 3,332,256 | 308,794 | 1,297,337 | 326,700 | 112,313 | 594,746 | 11,151,494 | ||||||||||||||||||||||||||||||||
ON Bond Portfolio | (b | ) | 14,429,925 | 3,252,260 | — | 3,637,859 | 145,026 | 1,422,740 | 338,105 | — | 817,387 | 15,612,092 | ||||||||||||||||||||||||||||||||
ON Equity Portfolio | (a | ) | 6,856,092 | 892,543 | (5,670,303 | ) | 3,387,858 | 659,120 | 650,406 | 39,495 | 576,600 | — | — | |||||||||||||||||||||||||||||||
ON Federated High Income Bond Portfolio | (b | ) | 14,266,409 | 868,734 | — | 3,175,959 | 235,551 | 1,187,058 | 555,282 | — | 646,776 | 13,381,793 | ||||||||||||||||||||||||||||||||
ON International Equity Portfolio | (b | ) | 14,354,319 | 820,384 | — | 6,898,655 | (809,046 | ) | 2,569,343 | 164,734 | — | 646,672 | 10,036,345 | |||||||||||||||||||||||||||||||
ON Janus Henderson Enterprise Portfolio | (b | ) | 2,315,876 | 339,321 | — | 1,056,329 | 48,863 | 582,568 | — | 107,008 | 45,957 | 2,230,299 | ||||||||||||||||||||||||||||||||
ON Janus Henderson Forty Portfolio | (b | ) | 2,315,481 | 409,764 | — | 1,030,210 | 54,546 | 480,718 | — | 172,192 | 85,583 | 2,230,299 | ||||||||||||||||||||||||||||||||
ON Janus Henderson Venture Portfolio | (b | ) | 2,264,567 | 679,247 | — | 997,781 | 28,159 | 256,107 | — | 322,419 | 65,810 | 2,230,299 | ||||||||||||||||||||||||||||||||
ONNasdaq-100®Index Portfolio | (b | ) | 4,605,428 | 1,146,578 | — | 2,226,865 | 79,503 | 855,954 | 21,600 | 590,551 | 224,942 | 4,460,598 | ||||||||||||||||||||||||||||||||
ON S&P 500®Index Portfolio | (b | ) | 27,742,673 | 7,345,271 | — | 11,636,964 | 1,662,924 | 3,879,981 | 349,795 | 2,386,219 | 870,949 | 28,993,885 | ||||||||||||||||||||||||||||||||
ON S&P MidCap 400®Index Portfolio | (b | ) | 6,777,920 | 5,551,665 | — | 3,137,132 | (120,692 | ) | 2,079,733 | 93,057 | — | 579,298 | 11,151,494 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||
TotalOpen-End Mutual Funds | $ | 949,208 | $ | 16,659,826 | $ | 1,955,654 | $ | 4,535,606 | $ | 108,169,495 | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
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 met the definition of “affiliated person” at a point in time during the year ended December 31, 2019, as the Portfolio directly or indirectly owned, controlled, or held with power to vote 5 percent or more of the outstanding voting securities of the holding. |
(b) | 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 at December 31, 2019. |
The accompanying notes are an integral part of these financial statements.
121
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. Equity25-50%, International Equity10-25%, and Fixed Income25-50%.
Performance as of December 31, 2019 |
Average Annual returns | ||||
One year | 19.46 | % | ||
Since inception (3/1/17) | 6.35 | % |
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-free1-877-781-6392.
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 November 22, 2019. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2019 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 1.00% through April 30, 2020.
Comments from Adviser |
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A.For the year ended December 31, 2019, the Portfolio returned 19.46% versus 19.03% 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.In 2019, domestic and foreign equity markets provided large positive returns. Domestic stocks generally outperformed foreign stocks, and large cap stocks generally outperformed mid cap and small cap stocks. Growth stocks materially outperformed value stocks during the year. The Portfolio’s holdings of large cap, domestic, and growth stocks benefited relative performance, while its exposure to value stocks and emerging market stocks detracted from performance versus the benchmark.(1)
Fixed income markets also provided positive returns for the year. Interest rates declined across the curve, as the Federal Reserve reduced the Federal Funds rate by 75 basis points during the year. In this environment, longer duration bonds outperformed shorter duration bonds. Corporate credit spreads tightened, and lower quality bonds outperformed higher quality bonds during the year. The Portfolio’s overweight to corporate and high yield bonds benefited performance, while its exposure to short term bonds detracted from performance versus 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 unaffiliatedopen-end mutual funds, comprised of fixed income and equity funds. The asset allocation between fixed income funds and equity funds was roughlyin-line with the benchmark. On the equity side, the overweight allocation to large cap, domestic, and growth equity funds benefited performance versus the benchmark, while exposure to emerging market funds detracted from relative performance. On the fixed income side, the overweight allocation to corporate and high yield bonds aided performance versus the benchmark, while the allocation to shorter bonds detracted from performance relative to the benchmark during the year.(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 ONNasdaq-100® Index Portfolio, ON BlackRock Advantage Large Cap Growth Portfolio, and ON Janus Henderson Forty Portfolio. Each of the Portfolios benefited from its exposure to domestic growth stocks. The top three funds that detracted from performance versus the benchmark were PIMCO Low Duration Institutional, PIMCO Total Return Institutional, and PIMCO Real Return Institutional. PIMCO Low Duration Institutional underperformed due to its shorter duration and exposure to higher quality bonds. PIMCO Total Return Institutional underperformed due to its lower weighting in corporate bonds. PIMCO Real Return Institutional focuses on inflation protected securities and underperformed in an environment of low inflation.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2019. |
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%.
Past performance is no guarantee of future results. Redemption of fund shares could have tax implications unique to each shareholder.
122 | (continued) |
Ohio National Fund, Inc. | ON Balanced Model Portfolio (Unaudited) (Continued) |
Portfolio Composition as of December 31, 2019(1)
|
% of Net Assets | ||||
Open-End Mutual Funds Less Net Liabilities | 100.0 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31,
|
% of Net Assets | ||||||
1. | ON S&P 500®Index Portfolio | 14.0 | ||||
2. | PIMCO Total Return Institutional | 10.0 | ||||
3. | ON S&P MidCap 400®Index Portfolio | 10.0 | ||||
4. | Western Asset Core Plus Bond IS | 9.0 | ||||
5. | ON International Equity Portfolio | 7.5 | ||||
6. | PIMCO Low Duration Institutional | 7.0 | ||||
7. | ON BlackRock Advantage Large Cap Value Portfolio | 6.0 | ||||
8. | ON Bond Portfolio | 5.0 | ||||
9. | PIMCO Real Return Institutional | 4.0 | ||||
10. | ON Federated High Income Bond 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 Balanced Model Portfolio |
Schedule of Investments in Unaffiliated Issuers | December 31, 2019 |
Open-End Mutual Funds – 41.6% | Shares | Value | ||||||||||
DFA Emerging Markets Portfolio Institutional | 1,139,731 | $ | 33,268,754 | |||||||||
DFA International Core Equity Portfolio Institutional | 3,212,045 | 44,358,339 | ||||||||||
Lazard Emerging Markets Equity Class R6 | 900,616 | 16,634,377 | ||||||||||
PIMCO Low Duration Institutional | 7,941,354 | 77,825,272 | ||||||||||
PIMCO Real Return Institutional | 3,954,848 | 44,452,495 | ||||||||||
PIMCO Total Return Institutional | 10,753,801 | 111,194,305 | ||||||||||
Vanguard International Growth Fund Admiral Class | 323,658 | 33,268,754 | ||||||||||
Western Asset Core Plus Bond IS | 8,369,554 | 100,099,861 | ||||||||||
|
| |||||||||||
TotalOpen-End Mutual Funds | $ | 461,102,157 | ||||||||||
|
| |||||||||||
Total Investments in Securities of Unaffiliated Issuers – 41.6% (Cost $448,745,754) | (a | ) | $ | 461,102,157 | ||||||||
Total Investments in Affiliates – 58.4% (Cost $593,145,473) (see schedule below) | (a | ) | 648,740,702 | |||||||||
Liabilities in Excess of Other Assets – 0.0% | (344,626 | ) | ||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 1,109,498,233 | ||||||||||
|
|
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 8 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments in Affiliates | December 31, 2019 |
Affiliate | Value at January 1, 2019 | Cost of Purchases | Transfers | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Income Distributions | Capital Gain Distributions | Shares at December 31, 2019 | Value at December 31, 2019 | ||||||||||||||||||||||||||||||||||
Open-End Mutual Funds – 58.4% | ||||||||||||||||||||||||||||||||||||||||||||
Fidelity Advisor®Mid Cap II Class I | (a | ) | $ | 33,130,964 | $ | 2,340,389 | $ | — | $ | 38,552,582 | $ | (3,608,766 | ) | $ | 6,689,995 | $ | — | $ | 996,841 | — | $ | — | ||||||||||||||||||||||
Fidelity Advisor®Real Estate I | (b | ) | 11,117,605 | 2,526,473 | — | 4,101,758 | 58,755 | 1,488,510 | 217,396 | 649,643 | 503,843 | 11,089,585 | ||||||||||||||||||||||||||||||||
ON BlackRock Advantage Large | ||||||||||||||||||||||||||||||||||||||||||||
Cap Core Portfolio | (b | ) | 32,873,140 | 121,311 | 29,007,412 | 39,204,641 | (3,491,652 | ) | 2,873,599 | 111,535 | — | 673,116 | 22,179,169 | |||||||||||||||||||||||||||||||
ON BlackRock Advantage Large | ||||||||||||||||||||||||||||||||||||||||||||
Cap Growth Portfolio | (b | ) | — | 23,571,818 | — | 2,806,357 | 103,196 | 1,310,512 | 95,326 | 678,427 | 805,344 | 22,179,169 | ||||||||||||||||||||||||||||||||
ON BlackRock Advantage Large | ||||||||||||||||||||||||||||||||||||||||||||
Cap Value Portfolio | (b | ) | 68,460,865 | 4,329,122 | — | 15,564,511 | 1,468,081 | 7,843,951 | 1,938,950 | 666,571 | 3,548,667 | 66,537,508 | ||||||||||||||||||||||||||||||||
ON BlackRock Advantage Small | ||||||||||||||||||||||||||||||||||||||||||||
Cap Growth Portfolio | (b | ) | — | 12,292,057 | 11,367,808 | 3,130,866 | (747,017 | ) | 2,397,187 | 11,542 | 159,419 | 705,893 | 22,179,169 | |||||||||||||||||||||||||||||||
ON Bond Portfolio | (b | ) | 46,653,347 | 13,997,556 | — | 10,219,652 | 404,891 | 4,611,781 | 1,197,248 | — | 2,903,033 | 55,447,923 | ||||||||||||||||||||||||||||||||
ON ClearBridge Small Cap Portfolio | (a | ) | 21,582,749 | 2,671,685 | (11,367,808 | ) | 16,553,780 | 3,598,966 | 68,188 | 24,745 | 631,636 | — | — | |||||||||||||||||||||||||||||||
ON Equity Portfolio | (a | ) | 33,632,658 | 3,144,024 | (29,007,412 | ) | 16,116,116 | 6,068,564 | 2,278,282 | 189,305 | 2,763,696 | — | — | |||||||||||||||||||||||||||||||
ON Federated High Income Bond | ||||||||||||||||||||||||||||||||||||||||||||
Portfolio | (b | ) | 46,073,588 | 2,400,450 | — | 8,703,710 | 721,480 | 3,866,531 | 1,835,675 | — | 2,143,951 | 44,358,339 | ||||||||||||||||||||||||||||||||
ON International Equity Portfolio | (b | ) | 104,680,132 | 3,269,546 | — | 39,216,608 | (4,374,472 | ) | 18,813,287 | 1,359,123 | — | 5,359,013 | 83,171,885 | |||||||||||||||||||||||||||||||
ON Janus Henderson Enterprise | ||||||||||||||||||||||||||||||||||||||||||||
Portfolio | (b | ) | 11,370,364 | 914,696 | — | 4,259,426 | 167,938 | 2,896,013 | — | 531,264 | 228,510 | 11,089,585 | ||||||||||||||||||||||||||||||||
ON Janus Henderson Forty | ||||||||||||||||||||||||||||||||||||||||||||
Portfolio | (b | ) | 11,381,204 | 13,636,237 | — | 8,381,977 | 407,746 | 5,135,959 | — | 1,711,330 | 851,081 | 22,179,169 | ||||||||||||||||||||||||||||||||
ONNasdaq-100®Index Portfolio | (b | ) | 22,571,601 | 4,149,486 | — | 9,040,377 | 808,476 | 3,689,983 | 107,324 | 2,934,261 | 1,118,466 | 22,179,169 | ||||||||||||||||||||||||||||||||
ON S&P 500®Index Portfolio | (b | ) | 147,536,690 | 29,945,871 | — | 50,973,854 | 9,278,066 | 19,467,412 | 1,871,021 | 12,763,685 | 4,663,688 | 155,254,185 | ||||||||||||||||||||||||||||||||
ON S&P MidCap 400®Index | ||||||||||||||||||||||||||||||||||||||||||||
Portfolio | (b | ) | 77,497,515 | 38,760,059 | — | 25,944,651 | (890,039 | ) | 21,472,963 | 923,850 | — | 5,760,823 | 110,895,847 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||
TotalOpen-End Mutual Funds | $ | 9,974,213 | $ | 104,904,153 | $ | 9,883,040 | $ | 24,486,773 | $ | 648,740,702 | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
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 met the definition of “affiliated person” at a point in time during the year ended December 31, 2019, as the Portfolio directly or indirectly owned, controlled, or held with power to vote 5 percent or more of the outstanding voting securities of the holding. |
(b) | 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 at December 31, 2019. |
The accompanying notes are an integral part of these financial statements.
124
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. Equity40-60%, International Equity15-35%, and Fixed Income10-30%.
Performance as of December 31, 2019
|
Average Annual returns | ||||
One year | 23.81% | |||
Since inception (3/1/17) | 7.55% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free1-877-781-6392.
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 November 22, 2019. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2019 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 1.07% through April 30, 2020.
Comments from Adviser
|
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A. For the year ended December 31, 2019, the Portfolio returned 23.81% versus 22.95% 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. In 2019, domestic and foreign equity markets provided large positive returns. Domestic stocks generally outperformed foreign stocks, and large cap stocks generally outperformed mid cap and small cap stocks. Growth stocks materially outperformed value stocks during the year. The Portfolio’s large cap and domestic stock holdings benefited relative performance.(1)
Fixed income markets also provided positive returns for the year. Interest rates declined across the curve, as the Federal Reserve reduced the Federal Funds rate by 75 basis points during the year. In this environment, longer duration bonds outperformed shorter duration bonds. Corporate credit spreads tightened, and lower quality bonds outperformed higher quality bonds during the year. The Portfolio’s overweight to corporate and high yield bonds benefited performance, while its exposure to short term bonds detracted from performance versus 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 unaffiliatedopen-end mutual funds, comprised mostly of equity funds, but also some fixed income funds. The asset allocation between fixed income funds and equity funds was roughlyin-line with the benchmark. On the equity side, the overweight allocation to large cap, domestic, and growth equity funds benefited performance versus the benchmark, while exposure to emerging market funds detracted from relative performance. On the fixed income side, the overweight allocation to corporate and high yield bonds aided performance versus the benchmark, while the allocation to shorter bonds detracted from 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 ONNasdaq-100® Index Portfolio, ON Blackrock Advantage Large Cap Growth Portfolio, and ON Janus Henderson Forty Portfolio. Each of the Portfolios benefited from its exposure to domestic growth stocks. The top three funds that detracted from performance versus the benchmark were PIMCO Low Duration Institutional, PIMCO Real Return Institutional, and Western Asset Core Bond IS. PIMCO Low Duration Institutional underperformed due to its shorter duration and exposure to higher quality bonds. PIMCO Real Return Institutional focuses on inflation protected securities and underperformed in an environment of low inflation. Lastly, Western Asset Core Bond IS performed well, but was one of the few bond funds in the Portfolio, all of which underperformed the equity based funds held by the Portfolio.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2019. |
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%.
Past performance is no guarantee of future results. Redemption of fund shares could have tax implications unique to each shareholder.
125 | (continued) |
Ohio National Fund, Inc. | ON Moderate Growth Model Portfolio (Unaudited) (Continued) |
Portfolio Composition as of December 31, 2019(1)
|
% of Net Assets | ||||
Open-End Mutual Funds | ||||
Less Net Liabilities | 100.0 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31, 2019 (1) (2)(3)
|
% of Net Assets | ||||||||
1. | ON S&P 500®Index Portfolio | 17.0 | ||||||
2. | ON S&P MidCap 400®Index Portfolio | 11.0 | ||||||
3. | Western Asset Core Plus Bond IS | 10.0 | ||||||
4. | ON International Equity Portfolio | 10.0 | ||||||
5. | ON BlackRock Advantage Large Cap Value Portfolio | 7.0 | ||||||
6. | DFA International Core Equity Portfolio Institutional | 6.0 | ||||||
7. | ON BlackRock Advantage Large Cap Core Portfolio | 4.0 | ||||||
8. | ON Janus Henderson Forty Portfolio | 4.0 | ||||||
9. | ONNasdaq-100®Index Portfolio | 4.0 | ||||||
10. | Vanguard International Growth Fund Admiral Class | 4.0 |
(1) | Composition of Portfolio subject to change. |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. |
(3) | Top 10 Portfolio Holdings is presented at an individual security level. Total investment exposure by issuer may be higher. |
126
Ohio National Fund, Inc. | ON Moderate Growth Model Portfolio |
Schedule of Investments in Unaffiliated Issuers
|
December 31, 2019
|
Open-End Mutual Funds – 27.3% | Shares | Value | ||||||||||
DFA Emerging Markets Portfolio Institutional | 2,015,822 | $ | 58,841,847 | |||||||||
DFA International Core Equity Portfolio Institutional | 8,521,629 | 117,683,694 | ||||||||||
Lazard Emerging Markets Equity Class R6 | 2,123,871 | 39,227,898 | ||||||||||
PIMCO Low Duration Institutional | 4,614,916 | 45,226,173 | ||||||||||
Vanguard International Growth Fund Admiral Class | 763,263 | 78,455,796 | ||||||||||
Western Asset Core Plus Bond IS | 16,447,431 | 196,711,281 | ||||||||||
|
| |||||||||||
TotalOpen-End Mutual Funds | $ | 536,146,689 | ||||||||||
|
| |||||||||||
Total Investments in Securities of Unaffiliated Issuers – 27.3% (Cost $523,802,182) | (a) | $ | 536,146,689 | |||||||||
Total Investments in Affiliates – 72.7% (Cost $1,293,298,993) (see schedule below) | (a) | 1,425,934,091 | ||||||||||
Liabilities in Excess of Other Assets – 0.0% | (695,697 | ) | ||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 1,961,385,083 | ||||||||||
|
|
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 8 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments in Affiliates
|
December 31, 2019
|
Affiliate | Value at January 1, 2019 | Cost of Purchases | Transfers | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Income Distributions | Capital Gain Distributions | Shares at December 31, 2019 | Value at December 31, 2019 | ||||||||||||||||||||||||||||||||||
Open-End Mutual Funds – 72.7% | ||||||||||||||||||||||||||||||||||||||||||||
Fidelity Advisor®Mid Cap II Class I | (a | ) | $ | 76,368,521 | $ | 3,353,646 | $ | — | $ | 86,639,233 | $ | (8,928,633 | ) | $ | 15,845,699 | $ | — | $ | 2,308,521 | — | $ | — | ||||||||||||||||||||||
Fidelity Advisor®Real Estate I | (b | ) | 19,006,606 | 4,717,556 | — | 6,723,121 | (12,979 | ) | 2,625,887 | 378,717 | 1,140,239 | 891,138 | 19,613,949 | |||||||||||||||||||||||||||||||
ON BlackRock Advantage Large Cap Core Portfolio | (b | ) | 56,954,349 | 402,628 | 54,241,941 | 30,871,284 | (14,731,805 | ) | 12,459,967 | 390,722 | — | 2,381,056 | 78,455,796 | |||||||||||||||||||||||||||||||
ON BlackRock Advantage Large Cap Growth Portfolio | (b | ) | 57,212,499 | 3,724,228 | — | 19,551,590 | 3,383,876 | 14,072,834 | 250,506 | 1,782,838 | 2,136,596 | 58,841,847 | ||||||||||||||||||||||||||||||||
ON BlackRock Advantage Large Cap Value Portfolio | (b | ) | 136,023,700 | 11,505,648 | — | 28,802,565 | 2,361,209 | 16,209,651 | 3,976,295 | 1,366,968 | 7,322,541 | 137,297,643 | ||||||||||||||||||||||||||||||||
ON BlackRock Advantage Small Cap Growth Portfolio | (b | ) | — | 42,111,086 | 23,727,075 | 7,643,447 | (5,233,995 | ) | 5,881,128 | 30,307 | 418,574 | 1,872,751 | 58,841,847 | |||||||||||||||||||||||||||||||
ON Bond Portfolio | (b | ) | 49,026,543 | 25,740,829 | — | 11,369,549 | 507,603 | 4,743,395 | 1,467,188 | — | 3,594,179 | 68,648,821 | ||||||||||||||||||||||||||||||||
ON ClearBridge Small Cap Portfolio | (a | ) | 18,657,039 | 2,739,250 | (23,727,075 | ) | 4,317,105 | 6,220,751 | 427,140 | 42,744 | 1,091,049 | — | — | |||||||||||||||||||||||||||||||
ON Equity Portfolio | (a | ) | 58,042,295 | 5,120,948 | (54,241,941 | ) | 27,374,633 | 14,433,358 | 4,019,973 | 327,003 | 4,773,982 | — | — | |||||||||||||||||||||||||||||||
ON Federated High Income Bond Portfolio | (b | ) | 38,972,697 | 3,242,679 | — | 6,906,146 | 582,581 | 3,336,087 | 1,607,074 | — | 1,895,984 | 39,227,898 | ||||||||||||||||||||||||||||||||
ON International Equity Portfolio | (b | ) | 216,202,907 | 5,561,644 | — | 59,038,231 | (5,852,032 | ) | 39,265,202 | 3,192,674 | — | 12,637,854 | 196,139,490 | |||||||||||||||||||||||||||||||
ON Janus Henderson Enterprise Portfolio | (b | ) | 19,601,630 | 1,198,548 | ��� | 6,450,324 | 276,059 | 4,988,036 | — | 930,935 | 404,161 | 19,613,949 | ||||||||||||||||||||||||||||||||
ON Janus Henderson Forty Portfolio | (b | ) | 58,733,759 | 26,493,465 | — | 25,166,803 | 1,326,350 | 17,069,025 | — | 5,994,703 | 3,010,583 | 78,455,796 | ||||||||||||||||||||||||||||||||
ON Janus Henderson Venture Portfolio | (b | ) | 80,707,688 | 9,502,328 | — | 59,345,029 | 12,960,268 | (674,567 | ) | — | 6,173,717 | 1,273,257 | 43,150,688 | |||||||||||||||||||||||||||||||
ONNasdaq-100®Index Portfolio | (b | ) | 77,556,500 | 12,229,415 | — | 26,717,490 | 2,727,819 | 12,659,552 | 376,086 | 10,282,288 | 3,956,419 | 78,455,796 | ||||||||||||||||||||||||||||||||
ON S&P 500®Index Portfolio | (b | ) | 312,123,952 | 51,992,840 | — | 90,330,009 | 17,208,134 | 42,442,215 | 3,979,417 | 27,146,691 | 10,016,135 | 333,437,132 | ||||||||||||||||||||||||||||||||
ON S&P MidCap 400®Index Portfolio | (b | ) | 134,046,140 | 80,939,460 | — | 36,214,733 | (2,407,805 | ) | 39,390,377 | 1,780,495 | — | 11,207,971 | 215,753,439 | |||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||
TotalOpen-End Mutual Funds | $ | 24,820,759 | $ | 234,761,601 | $ | 17,799,228 | $ | 63,410,505 | $ | 1,425,934,091 | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
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 met the definition of “affiliated person” at a point in time during the year ended December 31, 2019, as the Portfolio directly or indirectly owned, controlled, or held with power to vote 5 percent or more of the outstanding voting securities of the holding. |
(b) | 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 at December 31, 2019. |
The accompanying notes are an integral part of these financial statements.
127
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. Equity50-80%, International Equity15-45%, and Fixed Income0-15%.
Performance as of December 31, 2019 |
Average Annual returns | ||||
One year | 26.47 | % | ||
Since inception (3/1/17) | 8.09 | % |
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-free1-877-781-6392.
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 1.12% per the Fund’s prospectus dated November 22, 2019. Additional information pertaining to the Portfolio’s expense ratio as of December 31, 2019 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 1.12% through April 30, 2020.
Comments from Adviser |
Q. How did the Portfolio perform in comparison to its benchmark during the reporting period?
A. For the year ended December 31, 2019, the Portfolio returned 26.47% versus 25.91% 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. In 2019, domestic and foreign equity markets provided large positive returns. Domestic stocks generally outperformed foreign stocks, and large cap stocks generally outperformed mid cap and small cap stocks. Growth stocks materially outperformed value stocks during the year. The Portfolio’s large cap and domestic stock holdings benefited relative performance.(1)
Fixed income markets also provided positive returns for the year. Interest rates declined across the curve, as the Federal Reserve reduced the Federal Funds rate by 75 basis points during the year. In this environment, longer duration bonds outperformed shorter duration bonds. Corporate credit spreads tightened, and lower quality bonds outperformed higher quality bonds during the year. The Portfolio’s overweight to corporate and high yield bonds benefited relative performance.(1)
Q. How did asset class allocation impact the Portfolio’s performance relative to its benchmark?
A. The Portfolio invests in affiliated and unaffiliatedopen-end mutual funds, comprised mostly of equity funds, but also some fixed income funds. The asset allocation between fixed income funds and equity funds was roughlyin-line with the benchmark. On the equity side, the overweight allocation to large cap, domestic, and growth equity funds benefited performance versus the benchmark, while exposure to emerging market funds detracted from relative performance. On the fixed income side, the overweight allocation to corporate and high yield bonds aided performance versus the benchmark, while the allocation to shorter bonds detracted from performance relative to the benchmark during the year.(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 ONNasdaq-100® Index Portfolio, ON Blackrock Advantage Large Cap Growth Portfolio, and ON Janus Henderson Forty Portfolio. Each of the Portfolios benefited from its exposure to domestic growth stocks. The top three funds that detracted from performance versus the benchmark were Western Asset Core Plus Bond IS, ON Bond Portfolio, and ON Federated High Income Bond Portfolio. While all three of these bond portfolios performed well, they all underperformed the equity Portfolios held during the year.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2019. |
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%.
Past performance is no guarantee of future results. Redemption of fund shares could have tax implications unique to each shareholder.
128 | (continued) |
Ohio National Fund, Inc. | ON Growth Model Portfolio (Unaudited) (Continued) |
Portfolio Composition as of December 31, 2019(1) |
% of Net Assets | ||||
Open-End Mutual Funds | ||||
Less Net Liabilities | 100.0 | |||
|
| |||
100.0 | ||||
|
|
Top 10 Portfolio Holdings as of December 31, 2019 (1) (2) (3) |
% of Net Assets | ||||||||
1. | ON S&P 500®Index Portfolio | 17.0 | ||||||
2. | ON International Equity Portfolio | 12.0 | ||||||
3. | ON S&P MidCap 400®Index Portfolio | 12.0 | ||||||
4. | DFA International Core Equity Portfolio Institutional | 7.0 | ||||||
5. | ON BlackRock Advantage Large Cap Value Portfolio | 7.0 | ||||||
6. | ONNasdaq-100®Index Portfolio | 7.0 | ||||||
7. | ON BlackRock Advantage Large Cap Core Portfolio | 5.0 | ||||||
8. | ON Janus Henderson Forty Portfolio | 5.0 | ||||||
9. | Vanguard International Growth Fund Admiral Class | 5.0 | ||||||
10. | ON BlackRock Advantage Small Cap Growth Portfolio | 4.5 |
(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. |
129
Ohio National Fund, Inc. | ON Growth Model Portfolio |
Schedule of Investments in Unaffiliated Issuers
|
December 31, 2019
|
Open-End Mutual Funds – 19.5% | Shares | Value | ||||||||||
DFA Emerging Markets Portfolio Institutional | 520,130 | $ | 15,182,598 | |||||||||
DFA International Core Equity Portfolio Institutional | 2,198,783 | 30,365,197 | ||||||||||
Lazard Emerging Markets Equity Class R6 | 587,153 | 10,844,713 | ||||||||||
Vanguard International Growth Fund Admiral Class | 211,007 | 21,689,425 | ||||||||||
Western Asset Core Plus Bond IS | 545,631 | 6,525,741 | ||||||||||
|
| |||||||||||
TotalOpen-End Mutual Funds | $ | 84,607,674 | ||||||||||
|
| |||||||||||
Total Investments in Securities of Unaffiliated Issuers – 19.5% (Cost $83,108,776) | (a | ) | $ | 84,607,674 | ||||||||
Total Investments in Affiliates – 80.5% (Cost $316,732,588) (see schedule below) | (a | ) | 349,199,746 | |||||||||
Liabilities in Excess of Other Assets – 0.0% | (171,730 | ) | ||||||||||
|
| |||||||||||
Net Assets – 100.0% | $ | 433,635,690 | ||||||||||
|
|
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 8 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
Schedule of Investments in Affiliates | December 31, 2019 |
Affiliate | Value at January 1, 2019 | Cost of Purchases | Transfers | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Income Distributions | Capital Gain Distributions | Shares at December 31, 2019 | Value at December 31, 2019 | ||||||||||||||||||||||||||||||||||
Open-End Mutual Funds – 80.5% | ||||||||||||||||||||||||||||||||||||||||||||
Fidelity Advisor®Mid Cap II Class I | (a | ) | $ | 16,756,248 | $ | 576,019 | $ | — | $ | 18,821,752 | $ | (2,082,836 | ) | $ | 3,572,321 | $ | — | $ | 511,082 | — | $ | — | ||||||||||||||||||||||
Fidelity Advisor®Real Estate I | (b | ) | 4,171,062 | 1,092,341 | — | 1,495,413 | (11,280 | ) | 581,175 | 83,677 | 251,396 | 197,087 | 4,337,885 | |||||||||||||||||||||||||||||||
ON BlackRock Advantage Large Cap Core Portfolio | (b | ) | 16,684,342 | 214,774 | 11,120,471 | 7,913,168 | (2,049,057 | ) | 3,632,063 | 108,147 | — | 658,253 | 21,689,425 | |||||||||||||||||||||||||||||||
ON BlackRock Advantage Large Cap Growth Portfolio | (b | ) | 12,570,572 | 798,273 | — | 4,177,269 | 745,913 | 3,076,166 | 55,511 | 395,066 | 472,536 | 13,013,655 | ||||||||||||||||||||||||||||||||
ON BlackRock Advantage Large Cap Value Portfolio | (b | ) | 29,630,978 | 3,178,764 | — | 6,499,951 | 562,587 | 3,492,817 | 876,776 | 301,417 | 1,619,477 | 30,365,195 | ||||||||||||||||||||||||||||||||
ON BlackRock Advantage Small Cap Growth Portfolio | (b | ) | — | 9,457,061 | 12,049,590 | 2,179,933 | (1,703,900 | ) | 1,897,665 | 10,087 | 139,313 | 621,276 | 19,520,483 | |||||||||||||||||||||||||||||||
ON Bond Portfolio | (b | ) | 4,275,363 | 706,945 | — | 1,141,070 | 56,257 | 440,390 | 92,823 | — | 227,114 | 4,337,885 | ||||||||||||||||||||||||||||||||
ON ClearBridge Small Cap Portfolio | (a | ) | 10,226,333 | 1,337,670 | (12,049,590 | ) | 2,091,598 | 2,100,957 | 476,228 | 23,620 | 602,905 | — | — | |||||||||||||||||||||||||||||||
ON Equity Portfolio | (a | ) | 8,457,091 | 1,153,705 | (11,120,471 | ) | 1,687,154 | 2,369,235 | 827,594 | 72,293 | 1,055,423 | — | — | |||||||||||||||||||||||||||||||
ON Federated High Income Bond Portfolio | (b | ) | 4,246,399 | 485,464 | — | 822,130 | 62,777 | 365,375 | 177,785 | — | 209,661 | 4,337,885 | ||||||||||||||||||||||||||||||||
ON International Equity Portfolio | (b | ) | 55,656,074 | 1,503,377 | — | 13,920,552 | (1,317,304 | ) | 10,133,026 | 846,505 | — | 3,354,035 | 52,054,621 | |||||||||||||||||||||||||||||||
ON Janus Henderson Enterprise Portfolio | (b | ) | 4,289,634 | 308,575 | — | 1,416,016 | 70,733 | 1,084,959 | — | 206,512 | 89,386 | 4,337,885 | ||||||||||||||||||||||||||||||||
ON Janus Henderson Forty Portfolio | (b | ) | 17,129,289 | 6,456,535 | — | 6,905,089 | 407,337 | 4,601,353 | — | 1,662,712 | 832,288 | 21,689,425 | ||||||||||||||||||||||||||||||||
ON Janus Henderson Venture Portfolio | (b | ) | 25,305,964 | 3,430,846 | — | 14,930,716 | 3,300,345 | 245,101 | — | 2,488,441 | 511,996 | 17,351,540 | ||||||||||||||||||||||||||||||||
ONNasdaq-100®Index Portfolio | (b | ) | 29,738,185 | 4,737,621 | — | 9,982,119 | 741,362 | 5,130,146 | 145,844 | 3,987,412 | 1,531,276 | 30,365,195 | ||||||||||||||||||||||||||||||||
ON S&P 500®Index Portfolio | (b | ) | 72,479,169 | 7,180,684 | — | 18,860,901 | 3,617,912 | 9,327,182 | 881,195 | 6,011,315 | 2,215,201 | 73,744,046 | ||||||||||||||||||||||||||||||||
ON S&P MidCap 400®Index Portfolio | (b | ) | 33,609,521 | 17,702,520 | — | 8,324,409 | 145,306 | 8,921,683 | 430,112 | — | 2,704,136 | 52,054,621 | ||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||||||||||||||
TotalOpen-End Mutual Funds | $ | 7,016,344 | $ | 57,805,244 | $ | 3,804,375 | $ | 17,612,994 | $ | 349,199,746 | ||||||||||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
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 met the definition of “affiliated person” at a point in time during the year ended December 31, 2019, as the Portfolio directly or indirectly owned, controlled, or held with power to vote 5 percent or more of the outstanding voting securities of the holding. |
(b) | 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 at December 31, 2019. |
The accompanying notes are an integral part of these financial statements.
130
Ohio National Fund, Inc.
| ||
Statements of Assets and Liabilities
|
December 31, 2019
|
ON Bond Portfolio | ON BlackRock Balanced Allocation Portfolio | ON International Equity Portfolio | ON Foreign Portfolio | ON Janus Henderson Forty Portfolio | ON Janus Henderson Venture Portfolio | ON Janus Henderson Enterprise Portfolio | ||||||||||||||||||||||
| ||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||
Investments in securities of unaffiliated issuers, at value* | $ | 284,868,306 | $ | 543,833,504 | $ | 468,013,917 | $ | 47,916,148 | $ | 197,280,953 | $ | 170,167,100 | $ | 110,109,645 | ||||||||||||||
Cash | — | 47,300 | — | — | — | — | — | |||||||||||||||||||||
Cash subject to usage restrictions | — | 163,800 | 545,494 | 56,105 | — | — | — | |||||||||||||||||||||
Foreign currencies, at value** | — | — | 6,090,110 | 607,415 | — | — | 8,119 | |||||||||||||||||||||
Receivable for securities sold | — | — | — | — | — | 480,860 | 28,409 | |||||||||||||||||||||
Receivable for fund shares sold | 3,310,919 | 255,186 | 238,170 | 25,784 | 31,478 | 585,339 | 17,491 | |||||||||||||||||||||
Receivable for variation margin on futures contracts | — | 2,923 | — | 380 | — | — | — | |||||||||||||||||||||
Dividends and accrued interest receivable | 2,512,019 | 1,854,975 | 359,120 | 85,777 | 68,235 | 39,357 | 41,537 | |||||||||||||||||||||
Foreign tax reclaim receivable | 9,937 | 27,160 | 496,179 | 56,717 | — | 14,817 | 2,499 | |||||||||||||||||||||
Prepaid expenses and other assets | 3,228 | 7,394 | 7,287 | 778 | 2,960 | 2,572 | 1,672 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total assets | 290,704,409 | 546,192,242 | 475,750,277 | 48,749,104 | 197,383,626 | 171,290,045 | 110,209,372 | |||||||||||||||||||||
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|
|
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|
|
|
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|
| |||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||
Cash overdraft | — | — | 333,522 | 381,587 | — | — | — | |||||||||||||||||||||
Payable for securities purchased | — | — | — | — | — | 407,897 | — | |||||||||||||||||||||
Payable for fund shares redeemed | 78,962 | 685,529 | 717,108 | 50,731 | 291,791 | 66,512 | 134,552 | |||||||||||||||||||||
Payable for investment management services | 128,852 | 222,956 | 286,939 | 30,334 | 116,836 | 113,452 | 78,179 | |||||||||||||||||||||
Payable for variation margin on futures contracts | — | — | 20,955 | — | — | — | — | |||||||||||||||||||||
Accrued custody expense | 2,444 | 10,936 | 78,802 | 50,026 | 2,776 | 5,023 | 3,907 | |||||||||||||||||||||
Accrued professional fees | 7,480 | 15,553 | 7,955 | 7,021 | 7,336 | 7,277 | 7,148 | |||||||||||||||||||||
Accrued accounting fees | 12,767 | 27,452 | 18,648 | 6,938 | 6,989 | 6,968 | 4,889 | |||||||||||||||||||||
Accrued printing and filing fees | 3,240 | 5,707 | 4,874 | 887 | 2,286 | 2,039 | 1,466 | |||||||||||||||||||||
Other liabilities | 5,795 | 5,832 | 5,863 | 5,678 | 5,759 | 5,752 | 5,716 | |||||||||||||||||||||
Withholding tax payable | — | 57 | 38,173 | 4,511 | — | 266 | 446 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total liabilities | 239,540 | 974,022 | 1,512,839 | 537,713 | 433,773 | 615,186 | 236,303 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net assets | $ | 290,464,869 | $ | 545,218,220 | $ | 474,237,438 | $ | 48,211,391 | $ | 196,949,853 | $ | 170,674,859 | $ | 109,973,069 | ||||||||||||||
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|
|
| |||||||||||||||
Net assets consist of: | ||||||||||||||||||||||||||||
Paid in capital | 275,534,870 | 495,811,762 | 470,548,757 | 52,837,835 | 155,687,766 | 122,650,827 | 90,538,381 | |||||||||||||||||||||
Total distributable earnings | 14,929,999 | 49,406,458 | 3,688,681 | (4,626,444 | ) | 41,262,087 | 48,024,032 | 19,434,688 | ||||||||||||||||||||
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|
|
|
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|
|
|
|
|
|
|
| |||||||||||||||
Net assets | $ | 290,464,869 | $ | 545,218,220 | $ | 474,237,438 | $ | 48,211,391 | $ | 196,949,853 | $ | 170,674,859 | $ | 109,973,069 | ||||||||||||||
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| |||||||||||||||
*Investments in securities of unaffiliated issuers, at cost | $ | 271,412,293 | $ | 497,376,983 | $ | 455,838,382 | $ | 47,226,702 | $ | 160,348,610 | $ | 126,089,657 | $ | 92,057,380 | ||||||||||||||
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|
| |||||||||||||||
**Foreign currencies, at cost | $ | — | $ | — | $ | 6,049,112 | $ | 602,463 | $ | — | $ | — | $ | 8,076 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Shares outstanding, par value, $1 per share | 15,210,114 | 15,894,322 | 30,548,709 | 1,586,288 | 7,558,455 | 5,036,492 | 2,266,150 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Authorized Fund shares allocated to Portfolio | 40,000,000 | 95,000,000 | 90,000,000 | 22,000,000 | 24,000,000 | 30,000,000 | 21,000,000 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net asset value per share | $ | 19.10 | $ | 34.30 | $ | 15.52 | $ | 30.39 | $ | 26.06 | $ | 33.89 | $ | 48.53 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
131
Ohio National Fund, Inc.
| ||
Statements of Assets and Liabilities | December 31, 2019 |
ON S&P 500® Index Portfolio | ON BlackRock Advantage Large Cap Value Portfolio | ON Federated High Income Bond Portfolio | ON Nasdaq-100® Index Portfolio | ON BlackRock Advantage Large Cap Core Portfolio | ON BlackRock Advantage Small Cap Growth Portfolio | ON S&P MidCap 400® Index Portfolio | ||||||||||||||||||||||
| ||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||
Investments in securities of unaffiliated issuers, at value* | $ | 1,203,994,563 | $ | 319,393,233 | $ | 195,559,523 | $ | 354,340,408 | $ | 432,885,132 | $ | 206,240,988 | $ | 450,816,570 | ||||||||||||||
Cash | 1,492,309 | 5,090 | — | 589,635 | 29,008 | 17,103 | 1,995,264 | |||||||||||||||||||||
Cash subject to usage restrictions | 182,700 | 235,620 | — | 187,200 | 195,300 | 117,000 | 165,600 | |||||||||||||||||||||
Foreign currencies, at value** | — | 284,359 | — | — | — | — | — | |||||||||||||||||||||
Receivable for fund shares sold | 298,409 | 280,990 | 317,077 | 53,228 | 262,898 | 106,521 | 4,840 | |||||||||||||||||||||
Receivable for variation margin on futures contracts | 1,575 | 13,090 | — | — | 7,210 | 3,127 | 4,196 | |||||||||||||||||||||
Dividends and accrued interest receivable | 1,226,964 | 1,091,104 | 3,159,444 | 140,034 | 546,046 | 113,463 | 508,973 | |||||||||||||||||||||
Foreign tax reclaim receivable | — | 187,657 | — | — | — | — | 5,440 | |||||||||||||||||||||
Prepaid expenses and other assets | 18,173 | 4,962 | 2,517 | 5,214 | 6,023 | 2,859 | 6,072 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total assets | 1,207,214,693 | 321,496,105 | 199,038,561 | 355,315,719 | 433,931,617 | 206,601,061 | 453,506,955 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||
Payable for securities purchased | — | — | — | — | — | — | 886,025 | |||||||||||||||||||||
Payable for fund shares redeemed | 4,190,630 | 595,151 | 232,156 | 2,183,691 | 3,070,836 | 1,580,726 | 1,497,239 | |||||||||||||||||||||
Payable for investment management services | 341,535 | 183,268 | 118,446 | 105,880 | 233,426 | 133,286 | 133,896 | |||||||||||||||||||||
Payable for variation margin on futures contracts | — | — | — | 3,319 | — | — | — | |||||||||||||||||||||
Accrued custody expense | 25,828 | 8,907 | 2,546 | 7,274 | 12,116 | 6,249 | 15,894 | |||||||||||||||||||||
Accrued professional fees | 9,517 | 7,615 | 7,351 | 7,675 | 18,763 | 14,664 | 7,894 | |||||||||||||||||||||
Accrued accounting fees | 37,888 | 10,866 | 17,703 | 11,422 | 16,119 | 9,848 | 16,210 | |||||||||||||||||||||
Accrued printing and filing fees | 11,726 | 3,433 | 2,462 | 3,751 | 4,487 | 2,410 | 4,686 | |||||||||||||||||||||
Other liabilities | 6,195 | 5,804 | 5,754 | 5,814 | 5,903 | 5,757 | 5,853 | |||||||||||||||||||||
Withholding tax payable | — | — | — | 600 | — | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total liabilities | 4,623,319 | 815,044 | 386,418 | 2,329,426 | 3,361,650 | 1,752,940 | 2,567,697 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Commitments and contingent liabilities (see Note 9 of Notes to Financial Statements) | ||||||||||||||||||||||||||||
Net assets | $ | 1,202,591,374 | $ | 320,681,061 | $ | 198,652,143 | $ | 352,986,293 | $ | 430,569,967 | $ | 204,848,121 | $ | 450,939,258 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net assets consist of: | ||||||||||||||||||||||||||||
Paid in capital | 895,929,502 | 311,859,531 | 201,234,085 | 245,159,638 | 390,855,589 | 183,431,791 | 420,706,397 | |||||||||||||||||||||
Total distributable earnings | 306,661,872 | 8,821,530 | (2,581,942 | ) | 107,826,655 | 39,714,378 | 21,416,330 | 30,232,861 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net assets | $ | 1,202,591,374 | $ | 320,681,061 | $ | 198,652,143 | $ | 352,986,293 | $ | 430,569,967 | $ | 204,848,121 | $ | 450,939,258 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
*Investments in securities of unaffiliated issuers, at cost | $ | 906,492,874 | $ | 312,505,358 | $ | 194,912,429 | $ | 262,832,483 | $ | 390,902,503 | $ | 184,731,640 | $ | 419,965,002 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
**Foreign currencies, at cost | $ | — | $ | 279,890 | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Shares outstanding, par value, $1 per share | 36,125,992 | 17,104,854 | 9,603,568 | 17,796,624 | 13,068,079 | 6,520,319 | 23,423,627 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Authorized Fund shares allocated to Portfolio | 90,000,000 | 75,000,000 | 45,000,000 | 50,000,000 | 73,000,000 | 30,000,000 | 50,000,000 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net asset value per share | $ | 33.29 | $ | 18.75 | $ | 20.69 | $ | 19.83 | $ | 32.95 | $ | 31.42 | $ | 19.25 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
132
Ohio National Fund, Inc.
| ||
Statements of Assets and Liabilities | December 31, 2019 |
ON BlackRock Advantage Large Cap Growth Portfolio | ON Risk Managed Balanced Portfolio | ON Conservative Portfolio | ON Moderately Conservative Model Portfolio | ON Balanced Portfolio | ON Moderate Growth Model Portfolio | ON Growth Model | ||||||||||||||||||||||
| ||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||
Investments in securities of unaffiliated issuers, at value* | $ | 113,749,353 | $ | 410,244,708 | $ | 48,133,132 | $ | 115,134,824 | $ | 461,102,157 | $ | 536,146,689 | $ | 84,607,674 | ||||||||||||||
Investments in affiliates, at value** | — | — | 27,004,616 | 108,169,495 | 648,740,702 | 1,425,934,091 | 349,199,746 | |||||||||||||||||||||
Cash | 11,453 | 52,230 | — | — | — | — | — | |||||||||||||||||||||
Cash subject to usage restrictions | 44,100 | 300,560 | — | — | — | — | — | |||||||||||||||||||||
Receivable for securities sold | — | 26,041 | 253,933 | 809,643 | 5,302,937 | 7,004,671 | 695,616 | |||||||||||||||||||||
Receivable for fund shares sold | 32,241 | 281,669 | — | 375 | 68,280 | 3,224 | — | |||||||||||||||||||||
Receivable for variation margin on futures contracts | 333 | — | — | — | — | — | — | |||||||||||||||||||||
Receivable for TBA sales commitments | — | 1,415,234 | — | — | — | — | — | |||||||||||||||||||||
Dividends and accrued interest receivable | 98,419 | 1,047,838 | — | — | — | — | — | |||||||||||||||||||||
Prepaid expenses and other assets | 1,675 | 6,071 | 972 | 2,908 | 13,940 | 24,117 | 5,314 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total assets | 113,937,574 | 413,374,351 | 75,392,653 | 224,117,245 | 1,115,228,016 | 1,969,112,792 | 434,508,350 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||
Payable for securities purchased | — | 7,651,749 | 5,910 | 773,689 | 5,118,960 | 6,630,305 | 586,641 | |||||||||||||||||||||
Payable for fund shares redeemed | 655,986 | 151,623 | 253,189 | 36,329 | 252,257 | 377,590 | 108,975 | |||||||||||||||||||||
Payable for investment management services | 63,022 | 305,267 | 7,026 | 57,747 | 321,958 | 673,084 | 149,029 | |||||||||||||||||||||
Payable for variation margin on futures contracts | — | 168,815 | — | — | — | — | — | |||||||||||||||||||||
TBA sales commitments, at value (proceeds $1,415,234) | — | 1,416,142 | — | — | — | — | — | |||||||||||||||||||||
Accrued custody expense | 6,435 | 21,971 | 633 | 631 | 727 | 906 | 691 | |||||||||||||||||||||
Accrued professional fees | 7,161 | 7,792 | 6,393 | 6,723 | 8,675 | 10,490 | 7,162 | |||||||||||||||||||||
Accrued accounting fees | 5,606 | 33,814 | 6,215 | 6,353 | 6,389 | 6,389 | 6,329 | |||||||||||||||||||||
Accrued printing and filing fees | 1,499 | 4,367 | 1,139 | 2,523 | 10,800 | 18,770 | 4,489 | |||||||||||||||||||||
Other liabilities | 5,706 | 5,834 | 9,233 | 9,582 | 10,017 | 10,175 | 9,344 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total liabilities | 745,415 | 9,767,374 | 289,738 | 893,577 | 5,729,783 | 7,727,709 | 872,660 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net assets | $ | 113,192,159 | $ | 403,606,977 | $ | 75,102,915 | $ | 223,223,668 | $ | 1,109,498,233 | $ | 1,961,385,083 | $ | 433,635,690 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net assets consist of: | ||||||||||||||||||||||||||||
Paid in capital | 96,536,605 | 330,937,074 | 73,492,171 | 220,830,683 | 1,096,426,876 | 1,953,151,312 | 435,231,649 | |||||||||||||||||||||
Total distributable earnings | 16,655,554 | 72,669,903 | 1,610,744 | 2,392,985 | 13,071,357 | 8,233,771 | (1,595,959 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net assets | $ | 113,192,159 | $ | 403,606,977 | $ | 75,102,915 | $ | 223,223,668 | $ | 1,109,498,233 | $ | 1,961,385,083 | $ | 433,635,690 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
*Investments in securities of unaffiliated issuers, at cost | $ | 98,365,191 | $ | 344,149,794 | $ | 47,082,186 | $ | 112,218,149 | $ | 448,745,754 | $ | 523,802,182 | $ | 83,108,776 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
**Investments in affiliates, at cost | $ | — | $ | — | $ | 25,170,936 | $ | 99,697,026 | $ | 593,145,473 | $ | 1,293,298,993 | $ | 316,732,588 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Shares outstanding, par value, $1 per share | 4,110,394 | 27,244,322 | 6,696,649 | 19,630,531 | 96,683,108 | 168,607,241 | 36,330,731 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
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 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net asset value per share | $ | 27.54 | $ | 14.81 | $ | 11.21 | $ | 11.37 | $ | 11.48 | $ | 11.63 | $ | 11.94 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
133
Ohio National Fund, Inc.
| ||
For the Year Ended December 31, 2019 |
ON Bond Portfolio | ON BlackRock Balanced Allocation Portfolio | ON International Equity Portfolio | ON Foreign Portfolio | ON Janus Henderson Forty Portfolio | ON Janus Henderson Venture Portfolio | ON Janus Henderson Enterprise Portfolio | ||||||||||||||||||||||
| ||||||||||||||||||||||||||||
Investment income: | ||||||||||||||||||||||||||||
Interest | $ | 9,723,408 | $ | 1,860,927 | $ | — | $ | 2 | $ | 10,948 | $ | 6,618 | $ | — | ||||||||||||||
Dividends from unaffiliated issuers, net of taxes withheld* | 56,311 | 3,461,317 | 14,215,554 | 1,764,290 | 1,534,300 | 932,038 | 1,134,332 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total investment income | 9,779,719 | 5,322,244 | 14,215,554 | 1,764,292 | 1,545,248 | 938,656 | 1,134,332 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Expenses: | ||||||||||||||||||||||||||||
Management fees | 1,386,276 | 1,138,421 | 3,538,998 | 437,139 | 1,409,358 | 1,397,649 | 910,177 | |||||||||||||||||||||
Custodian fees | 12,025 | 29,314 | 315,276 | 193,248 | 13,433 | 34,951 | 15,628 | |||||||||||||||||||||
Directors’ fees | 23,235 | 16,145 | 42,401 | 4,850 | 17,393 | 16,430 | 9,822 | |||||||||||||||||||||
Professional fees | 25,425 | 28,320 | 29,650 | 21,170 | 24,025 | 23,637 | 25,813 | |||||||||||||||||||||
Accounting fees | 53,301 | 55,399 | 77,063 | 28,319 | 29,056 | 29,901 | 20,224 | |||||||||||||||||||||
Administration fees | 23,027 | 23,687 | 34,791 | 33,389 | 23,634 | 24,818 | 23,947 | |||||||||||||||||||||
Printing and filing fees | 17,050 | 27,122 | 20,093 | 10,261 | 13,292 | 12,427 | 11,174 | |||||||||||||||||||||
Compliance expense | 10,759 | 10,759 | 10,759 | 10,759 | 10,759 | 10,759 | 10,759 | |||||||||||||||||||||
Other | 6,385 | 4,345 | 17,450 | 1,717 | 5,048 | 6,059 | 2,439 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total expenses | 1,557,483 | 1,333,512 | 4,086,481 | 740,852 | 1,545,998 | 1,556,631 | 1,029,983 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net investment income (loss) | 8,222,236 | 3,988,732 | 10,129,073 | 1,023,440 | (750 | ) | (617,975 | ) | 104,349 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Realized/unrealized gain (loss) on investments, futures contracts, and foreign currency related transactions: | ||||||||||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||||||||||
Investments in securities of unaffiliated issuers, net of foreign capital gain taxes** | 883,529 | 27,301,257 | 2,115,594 | (5,546,534 | ) | 19,451,811 | 28,909,727 | 6,551,258 | ||||||||||||||||||||
Futures contracts | — | 634,273 | 312,615 | 47,205 | — | — | — | |||||||||||||||||||||
Foreign currency related transactions | — | 27 | 165,606 | (31,578 | ) | — | (429 | ) | 36 | |||||||||||||||||||
Change in unrealized appreciation/depreciation on: | ||||||||||||||||||||||||||||
Investments in securities of unaffiliated issuers | 26,034,272 | 24,621,017 | 76,172,615 | 9,615,664 | 39,698,662 | 23,375,806 | 26,933,672 | |||||||||||||||||||||
Futures contracts | — | 62,161 | (26,533 | ) | (3,868 | ) | — | — | — | |||||||||||||||||||
Foreign currency related transactions | — | 3 | 45,616 | 6,256 | — | (317 | ) | 49 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net realized/unrealized gain on investments, futures contracts, and foreign currency related transactions | 26,917,801 | 52,618,738 | 78,785,513 | 4,087,145 | 59,150,473 | 52,284,787 | 33,485,015 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in net assets from operations | $ | 35,140,037 | $ | 56,607,470 | $ | 88,914,586 | $ | 5,110,585 | $ | 59,149,723 | $ | 51,666,812 | $ | 33,589,364 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
*Taxes withheld | $ | — | $ | 375 | $ | 1,688,116 | $ | 188,006 | $ | 9,366 | $ | 4,734 | $ | 26,836 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
**Foreign capital gain taxes | $ | — | $ | — | $ | — | $ | 155 | $ | — | $ | — | $ | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
134
Ohio National Fund, Inc.
| ||
Statements of Operations | For the Year Ended December 31, 2019 |
ON S&P 500® Portfolio | ON BlackRock Advantage Large Cap Value Portfolio | ON Federated High Income Bond Portfolio | ON Portfolio | ON BlackRock Advantage Large Cap Core Portfolio | ON BlackRock Advantage Small Cap Growth Portfolio | ON S&P MidCap 400® Index Portfolio | ||||||||||||||||||||||
| ||||||||||||||||||||||||||||
Investment income: | ||||||||||||||||||||||||||||
Interest | $ | 20,535 | $ | — | $ | 12,136,771 | $ | 12,553 | $ | 67 | $ | 76 | $ | 6,258 | ||||||||||||||
Dividends from unaffiliated issuers, net of taxes withheld* | 23,651,871 | 15,033,321 | 126,993 | 3,664,609 | 4,498,751 | 1,184,679 | 6,546,327 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total investment income | 23,672,406 | 15,033,321 | 12,263,764 | 3,677,162 | 4,498,818 | 1,184,755 | 6,552,585 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Expenses: | ||||||||||||||||||||||||||||
Management fees | 3,947,669 | 2,271,851 | 1,411,857 | 1,216,909 | 1,448,556 | 898,435 | 1,295,536 | |||||||||||||||||||||
Custodian fees | 152,058 | 31,456 | 12,630 | 46,168 | 36,807 | 27,649 | 110,530 | |||||||||||||||||||||
Directors’ fees | 104,627 | 28,945 | 18,187 | 30,314 | 17,053 | 9,142 | 31,254 | |||||||||||||||||||||
Professional fees | 43,976 | 28,894 | 24,164 | 26,978 | 28,120 | 26,184 | 27,893 | |||||||||||||||||||||
Accounting fees | 158,208 | 45,292 | 70,462 | 47,241 | 36,645 | 27,692 | 59,685 | |||||||||||||||||||||
Administration fees | 26,532 | 23,968 | 22,668 | 23,808 | 23,269 | 23,664 | 25,303 | |||||||||||||||||||||
Printing and filing fees | 40,356 | 16,532 | 16,724 | 18,055 | 36,187 | 29,350 | 18,650 | |||||||||||||||||||||
Compliance expense | 10,759 | 10,759 | 10,759 | 10,759 | 10,759 | 10,759 | 10,759 | |||||||||||||||||||||
Other | 34,964 | 10,217 | 5,638 | 10,276 | 6,073 | 2,649 | 7,566 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total expenses | 4,519,149 | 2,467,914 | 1,593,089 | 1,430,508 | 1,643,469 | 1,055,524 | 1,587,176 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net investment income | 19,153,257 | 12,565,407 | 10,670,675 | 2,246,654 | 2,855,349 | 129,231 | 4,965,409 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Realized/unrealized gain (loss) on investments, futures contracts, and foreign currency related transactions: | ||||||||||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||||||||||
Investments in securities of unaffiliated issuers | 108,504,959 | 1,843,629 | (897,568 | ) | 61,349,935 | (2,209,220 | ) | 5,007,440 | (716,685 | ) | ||||||||||||||||||
Futures contracts | 1,734,821 | (4,867 | ) | — | 765,032 | 706,311 | 58,297 | 364,584 | ||||||||||||||||||||
Foreign currency related transactions | — | (177,219 | ) | — | — | — | — | — | ||||||||||||||||||||
Change in unrealized appreciation/depreciation on: | ||||||||||||||||||||||||||||
Investments in securities of unaffiliated issuers | 188,577,165 | 42,150,986 | 18,766,682 | 47,743,317 | 70,928,870 | 24,414,790 | 80,533,145 | |||||||||||||||||||||
Futures contracts | 11,247 | 88,121 | — | 73,642 | 79,189 | 27,872 | 48,239 | |||||||||||||||||||||
Foreign currency related transactions | — | 1,813 | — | — | — | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net realized/unrealized gain on investments, futures contracts, and foreign currency related transactions | 298,828,192 | 43,902,463 | 17,869,114 | 109,931,926 | 69,505,150 | 29,508,399 | 80,229,283 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in net assets from operations | $ | 317,981,449 | $ | 56,467,870 | $ | 28,539,789 | $ | 112,178,580 | $ | 72,360,499 | $ | 29,637,630 | $ | 85,194,692 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
*Taxes withheld | $ | — | $ | 216,977 | $ | — | $ | 3,899 | $ | 17,826 | $ | — | $ | 4,702 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
135
Ohio National Fund, Inc.
| ||
Statements of Operations | For the Year Ended December 31, 2019 |
ON BlackRock Advantage Large Cap Growth Portfolio | ON Risk Managed Balanced Portfolio | ON Conservative Portfolio | ON Moderately Conservative Model Portfolio | ON Balanced Portfolio | ON Moderate Growth Model Portfolio | ON Portfolio | ||||||||||||||||||||||
| ||||||||||||||||||||||||||||
Investment income: | ||||||||||||||||||||||||||||
Interest | $ | 37 | $ | 3,962,529 | $ | — | $ | — | $ | 9 | $ | — | $ | — | ||||||||||||||
Dividends from unaffiliated issuers, net of taxes withheld* | 1,489,610 | 5,106,323 | 1,660,838 | 3,908,695 | 14,345,164 | 16,000,918 | 2,062,949 | |||||||||||||||||||||
Dividends from affililiates | — | — | 590,399 | 1,955,654 | 9,883,040 | 17,799,228 | 3,804,375 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total investment income | 1,489,647 | 9,068,852 | 2,251,237 | 5,864,349 | 24,228,213 | 33,800,146 | 5,867,324 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Expenses: | ||||||||||||||||||||||||||||
Management fees | 703,802 | 3,427,198 | 303,848 | 913,092 | 4,453,269 | 7,741,625 | 1,712,153 | |||||||||||||||||||||
Custodian fees | 26,022 | 81,970 | 2,668 | 2,716 | 3,109 | 3,822 | 2,952 | |||||||||||||||||||||
Directors’ fees | 9,749 | 34,395 | 7,002 | 20,742 | 100,092 | 173,849 | 38,558 | |||||||||||||||||||||
Professional fees | 22,301 | 27,921 | 20,692 | 23,751 | 41,593 | 58,217 | 27,802 | |||||||||||||||||||||
Accounting fees | 21,641 | 146,555 | 24,906 | 25,460 | 25,637 | 25,697 | 25,433 | |||||||||||||||||||||
Administration fees | 23,255 | 24,668 | 38,335 | 41,065 | 47,649 | 52,635 | 43,149 | |||||||||||||||||||||
Printing and filing fees | 17,494 | 22,154 | 9,671 | 13,402 | 35,671 | 56,985 | 18,778 | |||||||||||||||||||||
Compliance expense | 10,759 | 10,759 | 10,759 | 10,759 | 10,759 | 10,759 | 10,759 | |||||||||||||||||||||
Recoupment of previously reimbursed expenses | — | — | — | — | — | 431,342 | 118,816 | |||||||||||||||||||||
Other | 3,083 | 10,279 | 1,925 | 5,965 | 29,944 | 51,971 | 11,315 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Total expenses | 838,106 | 3,785,899 | 419,806 | 1,056,952 | 4,747,723 | 8,606,902 | 2,009,715 | |||||||||||||||||||||
|
|
|
|
|
|
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|
|
|
|
|
|
| |||||||||||||||
Less expenses reduced or reimbursed by advisor | — | — | (220,103 | ) | (261,201 | ) | (778,985 | ) | (253,374 | ) | (64,344 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net expenses | 838,106 | 3,785,899 | 199,703 | 795,751 | 3,968,738 | 8,353,528 | 1,945,371 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net investment income | 651,541 | 5,282,953 | 2,051,534 | 5,068,598 | 20,259,475 | 25,446,618 | 3,921,953 | |||||||||||||||||||||
|
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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 | 5,436,641 | 11,316,415 | (3,331 | ) | (190,136 | ) | (2,452,115 | ) | (7,506,206 | ) | (2,231,190 | ) | ||||||||||||||||
Investments in affiliates | — | — | 687,064 | 949,208 | 9,974,213 | 24,820,759 | 7,016,344 | |||||||||||||||||||||
Capital gain distributions received from underlying unaffiliated mutual funds | — | — | 225,073 | 512,203 | 1,369,503 | 2,494,288 | 82,499 | |||||||||||||||||||||
Capital gain distributions received from underlying affiliated mutual funds | — | — | 822,106 | 4,535,606 | 24,486,773 | 63,410,505 | 17,612,994 | |||||||||||||||||||||
Futures contracts | 186,618 | 29,204,407 | — | — | — | — | — | |||||||||||||||||||||
Foreign currency related transactions | — | 436 | — | — | — | — | — | |||||||||||||||||||||
Change in unrealized appreciation/depreciation on: | ||||||||||||||||||||||||||||
Investments in securities of unaffiliated issuers | 25,857,410 | 43,362,569 | 2,673,060 | 7,748,097 | 41,229,284 | 75,057,804 | 16,685,057 | |||||||||||||||||||||
Investments in affiliates | — | — | 3,013,409 | 16,659,826 | 104,904,153 | 234,761,601 | 57,805,244 | |||||||||||||||||||||
Futures contracts | 18,034 | (4,554,030 | ) | — | — | — | — | — | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Net realized/unrealized gain on investments, capital gain distributions received from underlying mutual funds, futures contracts, and foreign currency related transactions | 31,498,703 | 79,329,797 | 7,417,381 | 30,214,804 | 179,511,811 | 393,038,751 | 96,970,948 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
Change in net assets from operations | $ | 32,150,244 | $ | 84,612,750 | $ | 9,468,915 | $ | 35,283,402 | $ | 199,771,286 | $ | 418,485,369 | $ | 100,892,901 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||
*Taxes withheld | $ | 33 | $ | 12,716 | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
|
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|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
136
Ohio National Fund, Inc.
| ||
ON Bond Portfolio | ON BlackRock Balanced Allocation Portfolio | ON International Equity Portfolio | ON Foreign Portfolio | |||||||||||||||||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||
Increase (Decrease) in net assets: | ||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||
Net investment income | $ | 8,222,236 | $ | 9,665,588 | $ | 3,988,732 | $ | 774,383 | $ | 10,129,073 | $ | 9,203,118 | $ | 1,023,440 | $ | 1,198,783 | ||||||||||||||||
Net realized gain (loss) on investments, futures contracts, and foreign currency related transactions | 883,529 | (1,332,707 | ) | 27,935,557 | 4,734,973 | 2,593,815 | (13,437,629 | ) | (5,530,907 | ) | 920,353 | |||||||||||||||||||||
Change in unrealized appreciation/depreciation on investments, futures contracts, and foreign currency related transactions | 26,034,272 | (18,121,945 | ) | 24,683,181 | (15,186,311 | ) | 76,191,698 | (81,640,074 | ) | 9,618,052 | (12,858,643 | ) | ||||||||||||||||||||
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
| |||||||||||||||||
Change in net assets from operations | 35,140,037 | (9,789,064 | ) | 56,607,470 | (9,676,955 | ) | 88,914,586 | (85,874,585 | ) | 5,110,585 | (10,739,507 | ) | ||||||||||||||||||||
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|
|
|
|
|
|
| |||||||||||||||||
Distributions to shareholders | (6,277,707 | ) | — | (25,500,324 | ) | — | (7,735,538 | ) | — | (765,355 | ) | — | ||||||||||||||||||||
|
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|
|
|
|
|
|
|
| |||||||||||||||||
Capital transactions: | ||||||||||||||||||||||||||||||||
Received from shares sold | 61,748,018 | 38,682,232 | 18,470,860 | 10,920,667 | 14,258,974 | 522,211,794 | 3,434,137 | 7,071,488 | ||||||||||||||||||||||||
Received from shares issued in reorganizations | — | — | 462,055,756 | — | — | — | — | — | ||||||||||||||||||||||||
Received from dividends reinvested | 6,277,707 | — | 25,500,324 | — | 7,735,538 | — | 765,355 | — | ||||||||||||||||||||||||
Paid for shares redeemed | (64,113,870 | ) | (88,523,835 | ) | (45,479,414 | ) | (16,074,459 | ) | (147,693,116 | ) | (75,666,960 | ) | (15,419,958 | ) | (20,936,084 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Change in net assets from capital transactions | 3,911,855 | (49,841,603 | ) | 460,547,526 | (5,153,792 | ) | (125,698,604 | ) | 446,544,834 | (11,220,466 | ) | (13,864,596 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Change in net assets | 32,774,185 | (59,630,667 | ) | 491,654,672 | (14,830,747 | ) | (44,519,556 | ) | 360,670,249 | (6,875,236 | ) | (24,604,103 | ) | |||||||||||||||||||
Net assets: | ||||||||||||||||||||||||||||||||
Beginning of year | 257,690,684 | 317,321,351 | 53,563,548 | 68,394,295 | 518,756,994 | 158,086,745 | 55,086,627 | 79,690,730 | ||||||||||||||||||||||||
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|
| |||||||||||||||||
End of year | $ | 290,464,869 | $ | 257,690,684 | $ | 545,218,220 | $ | 53,563,548 | $ | 474,237,438 | $ | 518,756,994 | $ | 48,211,391 | $ | 55,086,627 | ||||||||||||||||
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|
|
|
|
|
The accompanying notes are an integral part of these financial statements.
137
Ohio National Fund, Inc.
| ||
Statements of Changes in Net Assets |
ON Janus Henderson Forty Portfolio | ON Janus Henderson Venture Portfolio | ON Janus Henderson Enterprise Portfolio | ON S&P 500® Index Portfolio | |||||||||||||||||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||
Increase (Decrease) in net assets: | ||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | (750 | ) | $ | (181,828 | ) | $ | (617,975 | ) | $ | (597,775 | ) | $ | 104,349 | $ | 59,084 | $ | 19,153,257 | $ | 19,156,628 | ||||||||||||
Net realized gain on investments, futures contracts, and foreign currency related transactions | 19,451,811 | 9,044,086 | 28,909,298 | 36,513,561 | 6,551,294 | 19,972,986 | 110,239,780 | 123,480,167 | ||||||||||||||||||||||||
Change in unrealized appreciation/depreciation on investments, futures contracts, and foreign currency related transactions | 39,698,662 | (14,617,276 | ) | 23,375,489 | (46,188,021 | ) | 26,933,721 | (26,217,301 | ) | 188,588,412 | (196,611,132 | ) | ||||||||||||||||||||
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|
|
|
|
|
|
| |||||||||||||||||
Change in net assets from operations | 59,149,723 | (5,755,018 | ) | 51,666,812 | (10,272,235 | ) | 33,589,364 | (6,185,231 | ) | 317,981,449 | (53,974,337 | ) | ||||||||||||||||||||
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|
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|
|
| |||||||||||||||||
Distributions to shareholders | (15,119,874 | ) | — | (24,504,430 | ) | — | (5,240,352 | ) | — | (112,068,403 | ) | — | ||||||||||||||||||||
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|
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| |||||||||||||||||
Capital transactions: | ||||||||||||||||||||||||||||||||
Received from shares sold | 47,877,936 | 131,184,789 | 13,407,144 | 28,648,853 | 5,724,811 | 57,214,680 | 100,470,240 | 347,702,650 | ||||||||||||||||||||||||
Received from dividends reinvested | 15,119,874 | — | 24,504,430 | — | 5,240,352 | — | 112,068,403 | — | ||||||||||||||||||||||||
Paid for shares redeemed | (59,415,089 | ) | (36,734,844 | ) | (101,846,524 | ) | (87,143,672 | ) | (31,932,168 | ) | (26,241,838 | ) | (327,398,850 | ) | (326,345,158 | ) | ||||||||||||||||
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|
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|
| |||||||||||||||||
Change in net assets from capital transactions | 3,582,721 | 94,449,945 | (63,934,950 | ) | (58,494,819 | ) | (20,967,005 | ) | 30,972,842 | (114,860,207 | ) | 21,357,492 | ||||||||||||||||||||
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|
|
|
|
|
| |||||||||||||||||
Change in net assets | 47,612,570 | 88,694,927 | (36,772,568 | ) | (68,767,054 | ) | 7,382,007 | 24,787,611 | 91,052,839 | (32,616,845 | ) | |||||||||||||||||||||
Net assets: | ||||||||||||||||||||||||||||||||
Beginning of year | 149,337,283 | 60,642,356 | 207,447,427 | 276,214,481 | 102,591,062 | 77,803,451 | 1,111,538,535 | 1,144,155,380 | ||||||||||||||||||||||||
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| |||||||||||||||||
End of year | $ | 196,949,853 | $ | 149,337,283 | $ | 170,674,859 | $ | 207,447,427 | $ | 109,973,069 | $ | 102,591,062 | $ | 1,202,591,374 | $ | 1,111,538,535 | ||||||||||||||||
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|
|
The accompanying notes are an integral part of these financial statements.
138
Ohio National Fund, Inc.
| ||
Statements of Changes in Net Assets |
ON BlackRock Advantage Large Cap Value Portfolio | ON Federated High Income Bond Portfolio | ONNasdaq-100®Index Portfolio | ON BlackRock Advantage Large Cap Core Portfolio | |||||||||||||||||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||
Increase (Decrease) in net assets: | ||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||
Net investment income | $ | 12,565,407 | $ | 17,166,976 | $ | 10,670,675 | $ | 15,221,264 | $ | 2,246,654 | $ | 2,359,160 | $ | 2,855,349 | $ | 1,258,378 | ||||||||||||||||
Net realized gain (loss) on investments, futures contracts, and foreign currency related transactions | 1,661,543 | 15,250,075 | (897,568 | ) | (539,202 | ) | 62,114,967 | 47,305,884 | (1,502,909 | ) | 21,820,877 | |||||||||||||||||||||
Change in unrealized appreciation/depreciation on investments, futures contracts, and foreign currency related transactions | 42,240,920 | (75,279,284 | ) | 18,766,682 | (21,613,364 | ) | 47,816,959 | (58,771,178 | ) | 71,008,059 | (55,659,595 | ) | ||||||||||||||||||||
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|
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|
|
| |||||||||||||||||
Change in net assets from operations | 56,467,870 | (42,862,233 | ) | 28,539,789 | (6,931,302 | ) | 112,178,580 | (9,106,134 | ) | 72,360,499 | (32,580,340 | ) | ||||||||||||||||||||
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|
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|
|
| |||||||||||||||||
Distributions to shareholders | (12,498,626 | ) | — | (8,186,705 | ) | — | (47,519,641 | ) | — | (2,159,153 | ) | — | ||||||||||||||||||||
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| |||||||||||||||||
Capital transactions: | ||||||||||||||||||||||||||||||||
Received from shares sold | 18,418,626 | 32,510,016 | 18,147,369 | 22,584,954 | 32,049,119 | 203,694,976 | 7,056,986 | 24,292,885 | ||||||||||||||||||||||||
Received from shares issued in reorganizations | — | — | — | — | — | — | 312,578,298 | — | ||||||||||||||||||||||||
Received from dividends reinvested | 12,498,626 | — | 8,186,705 | — | 47,519,641 | — | 2,159,153 | — | ||||||||||||||||||||||||
Paid for shares redeemed | (76,044,468 | ) | (264,473,671 | ) | (50,117,305 | ) | (132,623,908 | ) | (118,823,588 | ) | (124,224,169 | ) | (116,770,432 | ) | (60,069,872 | ) | ||||||||||||||||
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| |||||||||||||||||
Change in net assets from capital transactions | (45,127,216 | ) | (231,963,655 | ) | (23,783,231 | ) | (110,038,954 | ) | (39,254,828 | ) | 79,470,807 | 205,024,005 | (35,776,987 | ) | ||||||||||||||||||
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Change in net assets | (1,157,972 | ) | (274,825,888 | ) | (3,430,147 | ) | (116,970,256 | ) | 25,404,111 | 70,364,673 | 275,225,351 | (68,357,327 | ) | |||||||||||||||||||
Net assets: | ||||||||||||||||||||||||||||||||
Beginning of year | 321,839,033 | 596,664,921 | 202,082,290 | 319,052,546 | 327,582,182 | 257,217,509 | 155,344,616 | 223,701,943 | ||||||||||||||||||||||||
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End of year | $ | 320,681,061 | $ | 321,839,033 | $ | 198,652,143 | $ | 202,082,290 | $ | 352,986,293 | $ | 327,582,182 | $ | 430,569,967 | $ | 155,344,616 | ||||||||||||||||
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The accompanying notes are an integral part of these financial statements.
139
Ohio National Fund, Inc.
| ||
Statements of Changes in Net Assets |
ON BlackRock Advantage Small Cap Growth Portfolio | ON S&P MidCap 400®Index Portfolio | ON BlackRock Advantage Large Cap Growth Portfolio | ON Risk Managed Balanced Portfolio | |||||||||||||||||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||
Increase (Decrease) in net assets: | ||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 129,231 | $ | (278,025 | ) | $ | 4,965,409 | $ | 1,928,886 | $ | 651,541 | $ | 501,750 | $ | 5,282,953 | $ | 4,499,219 | |||||||||||||||
Net realized gain (loss) on investments, futures contracts, and foreign currency related transactions | 5,065,737 | 8,841,303 | (352,101 | ) | 3,662,528 | 5,623,259 | 15,780,396 | 40,521,258 | 7,276,307 | |||||||||||||||||||||||
Change in unrealized appreciation/depreciation on investments and futures contracts | 24,442,662 | (7,430,497 | ) | 80,581,384 | (55,549,977 | ) | 25,875,444 | (31,162,980 | ) | 38,808,539 | (14,874,374 | ) | ||||||||||||||||||||
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Change in net assets from operations | 29,637,630 | 1,132,781 | 85,194,692 | (49,958,563 | ) | 32,150,244 | (14,880,834 | ) | 84,612,750 | (3,098,848 | ) | |||||||||||||||||||||
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Distributions to shareholders | (1,583,506 | ) | — | (3,723,816 | ) | — | (3,920,333 | ) | — | (33,102,023 | ) | — | ||||||||||||||||||||
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Capital transactions: | ||||||||||||||||||||||||||||||||
Received from shares sold | 67,085,654 | 6,244,393 | 147,897,604 | 294,163,638 | 27,125,358 | 16,790,977 | 46,090,331 | 67,212,455 | ||||||||||||||||||||||||
Received from shares issued in reorganizations | 113,327,536 | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Received from dividends reinvested | 1,583,506 | — | 3,723,816 | — | 3,920,333 | — | 33,102,023 | �� | — | |||||||||||||||||||||||
Paid for shares redeemed | (30,664,664 | ) | (38,689,793 | ) | (88,790,895 | ) | (26,349,955 | ) | (33,558,151 | ) | (42,484,491 | ) | (74,163,800 | ) | (61,216,514 | ) | ||||||||||||||||
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Change in net assets from capital transactions | 151,332,032 | (32,445,400 | ) | 62,830,525 | 267,813,683 | (2,512,460 | ) | (25,693,514 | ) | 5,028,554 | 5,995,941 | |||||||||||||||||||||
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Change in net assets | 179,386,156 | (31,312,619 | ) | 144,301,401 | 217,855,120 | 25,717,451 | (40,574,348 | ) | 56,539,281 | 2,897,093 | ||||||||||||||||||||||
Net assets: | ||||||||||||||||||||||||||||||||
Beginning of year | 25,461,965 | 56,774,584 | 306,637,857 | 88,782,737 | 87,474,708 | 128,049,056 | 347,067,696 | 344,170,603 | ||||||||||||||||||||||||
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End of year | $ | 204,848,121 | $ | 25,461,965 | $ | 450,939,258 | $ | 306,637,857 | $ | 113,192,159 | $ | 87,474,708 | $ | 403,606,977 | $ | 347,067,696 | ||||||||||||||||
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The accompanying notes are an integral part of these financial statements.
140
Ohio National Fund, Inc.
| ||
Statements of Changes in Net Assets |
ON Conservative Model Portfolio | ON Moderately Conservative Model Portfolio | ON Balanced Model Portfolio | ON Moderate Growth Model Portfolio | ON Growth Model Portfolio | ||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Year Ended December 31, 2019 | Year Ended December 31, 2018 | |||||||||||||||||||||||||||||||
Increase (Decrease) in net assets: | ||||||||||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income | $ | 2,051,534 | $ | 1,510,170 | $ | 5,068,598 | $ | 3,575,597 | $ | 20,259,475 | $ | 10,526,530 | $ | 25,446,618 | $ | 10,080,252 | $ | 3,921,953 | $ | 845,686 | ||||||||||||||||||||
Net realized gain on investments and capital gain distributions received from underlying mutual funds | 1,730,912 | 1,817,278 | 5,806,881 | 9,612,832 | 33,378,374 | 67,642,977 | 83,219,346 | 127,657,022 | 22,480,647 | 31,124,553 | ||||||||||||||||||||||||||||||
Change in unrealized appreciation/depreciation on investments | 5,686,469 | (6,039,704 | ) | 24,407,923 | (28,270,231 | ) | 146,133,437 | (180,255,198 | ) | 309,819,405 | (366,502,824 | ) | 74,490,301 | (88,888,976 | ) | |||||||||||||||||||||||||
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Change in net assets from operations | 9,468,915 | (2,712,256 | ) | 35,283,402 | (15,081,802 | ) | 199,771,286 | (102,085,691 | ) | 418,485,369 | (228,765,550 | ) | 100,892,901 | (56,918,737 | ) | |||||||||||||||||||||||||
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Distributions to shareholders | (2,260,264 | ) | — | (7,104,987 | ) | — | (22,640,298 | ) | — | (48,028,519 | ) | — | (12,213,533 | ) | — | |||||||||||||||||||||||||
Return of capital | — | — | (372,215 | ) | — | (17,493,344 | ) | — | (57,954,547 | ) | — | (6,226,565 | ) | — | ||||||||||||||||||||||||||
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Total distributions | (2,260,264 | ) | — | (7,477,202 | ) | — | (40,133,642 | ) | — | (105,983,066 | ) | — | (18,440,098 | ) | — | |||||||||||||||||||||||||
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Capital transactions: | ||||||||||||||||||||||||||||||||||||||||
Received from shares sold | 12,487,482 | 16,321,184 | 15,863,306 | 17,226,213 | 21,587,318 | 32,601,532 | 25,139,402 | 62,284,294 | 10,394,211 | 37,982,945 | ||||||||||||||||||||||||||||||
Received from dividends reinvested | 2,260,264 | — | 7,477,202 | — | 40,133,642 | — | 105,983,066 | — | 18,440,098 | — | ||||||||||||||||||||||||||||||
Paid for shares redeemed | (25,853,548 | ) | (34,326,169 | ) | (65,140,990 | ) | (90,882,373 | ) | (258,751,251 | ) | (346,200,979 | ) | (427,228,533 | ) | (535,321,797 | ) | (101,803,149 | ) | (100,690,231 | ) | ||||||||||||||||||||
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Change in net assets from capital transactions | (11,105,802 | ) | (18,004,985 | ) | (41,800,482 | ) | (73,656,160 | ) | (197,030,291 | ) | (313,599,447 | ) | (296,106,065 | ) | (473,037,503 | ) | (72,968,840 | ) | (62,707,286 | ) | ||||||||||||||||||||
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Change in net assets | (3,897,151 | ) | (20,717,241 | ) | (13,994,282 | ) | (88,737,962 | ) | (37,392,647 | ) | (415,685,138 | ) | 16,396,238 | (701,803,053 | ) | 9,483,963 | (119,626,023 | ) | ||||||||||||||||||||||
Net assets: | ||||||||||||||||||||||||||||||||||||||||
Beginning of year | 79,000,066 | 99,717,307 | 237,217,950 | 325,955,912 | 1,146,890,880 | 1,562,576,018 | 1,944,988,845 | 2,646,791,898 | 424,151,727 | 543,777,750 | ||||||||||||||||||||||||||||||
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End of year | $ | 75,102,915 | $ | 79,000,066 | $ | 223,223,668 | $ | 237,217,950 | $ | 1,109,498,233 | $ | 1,146,890,880 | $ | 1,961,385,083 | $ | 1,944,988,845 | $ | 433,635,690 | $ | 424,151,727 | ||||||||||||||||||||
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The accompanying notes are an integral part of these financial statements.
141
Ohio National Fund, Inc.
Selectedper-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 | Net investment income | Net realized and unrealized gain (loss) | Total from operations | Distributions to shareholders | Net asset value, end of year | Total Return# | Expenses | Net investment income | Expenses | Net assets, end of year (millions) | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||||||||||||
ON Bond Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2019 | $ | 17.02 | 0.55 | 1.96 | 2.51 | (0.43 | ) | $ | 19.10 | 14.73 | % | 0.60 | % | 3.19 | % | 0.60 | % | $ | 290.5 | 60 | % | |||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2018 | $ | 17.56 | 0.64 | (1.18 | ) | (0.54 | ) | — | $ | 17.02 | (3.08 | )% | 0.59 | % | 3.27 | % | 0.59 | % | $ | 257.7 | 40 | % | ||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2017 | $ | 16.54 | 0.04 | 0.98 | 1.02 | — | $ | 17.56 | 6.17 | % | 0.63 | % | 3.16 | % | 0.63 | % | $ | 317.3 | 114 | % | ||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2016 | $ | 15.33 | 0.59 | 0.62 | 1.21 | — | $ | 16.54 | 7.89 | % | 0.65 | % | 3.33 | % | 0.65 | % | $ | 158.7 | 88 | % | ||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2015 | $ | 15.65 | 0.56 | (0.88 | ) | (0.32 | ) | — | $ | 15.33 | (2.04 | )% | 0.64 | % | 3.46 | % | 0.64 | % | $ | 154.0 | 93 | % | ||||||||||||||||||||||||||||||||||||||
ON BlackRock Balanced Allocation Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2019 | $ | 27.85 | 0.26 | 7.85 | 8.11 | (1.66 | ) | $ | 34.30 | 29.29 | % | 0.59 | % | 1.77 | % | 0.59 | % | $ | 545.2 | 97 | %(a) | |||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2018 | $ | 32.60 | 0.40 | (5.15 | ) | (4.75 | ) | — | $ | 27.85 | (14.57 | )% | 0.77 | % | 1.16 | % | 0.77 | % | $ | 53.6 | 225 | % | ||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2017 | $ | 26.93 | 0.31 | 5.36 | 5.67 | — | $ | 32.60 | 21.05 | % | 0.78 | % | 1.02 | % | 0.78 | % | $ | 68.4 | 187 | % | ||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2016 | $ | 24.43 | 0.25 | 2.25 | 2.50 | — | $ | 26.93 | 10.23 | % | 0.80 | % | 1.09 | % | 0.80 | % | $ | 57.9 | 194 | % | ||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2015 | $ | 24.15 | 0.28 | 0.24 | 0.52 | (0.24 | ) | $ | 24.43 | 2.15 | % | 0.77 | % | 1.23 | % | 0.77 | % | $ | 48.7 | 186 | % | |||||||||||||||||||||||||||||||||||||||
ON International Equity Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2019 | $ | 13.07 | 0.34 | 2.37 | 2.71 | (0.26 | ) | $ | 15.52 | 20.72 | % | 0.87 | % | 2.15 | % | 0.87 | % | $ | 474.2 | 105 | %(b) | |||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2018 | $ | 15.08 | 0.23 | (2.24 | ) | (2.01 | ) | — | $ | 13.07 | (13.33 | )% | 0.86 | % | 1.93 | % | 0.86 | % | $ | 518.8 | 44 | % | ||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2017 | $ | 11.89 | 0.18 | 3.01 | 3.19 | — | $ | 15.08 | 26.83 | % | 1.06 | % | 1.25 | % | 1.06 | % | $ | 158.1 | 132 | %(c) | ||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2016 | $ | 12.50 | 0.22 | (0.83 | ) | (0.61 | ) | — | $ | 11.89 | (4.88 | )% | 1.02 | % | 1.57 | % | 1.02 | % | $ | 141.5 | 69 | % | ||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2015 | $ | 12.55 | 0.19 | (0.24 | ) | (0.05 | ) | — | $ | 12.50 | (0.40 | )%(d) | 1.00 | % | 1.21 | % | 1.00 | % | $ | 159.0 | 72 | % | ||||||||||||||||||||||||||||||||||||||
ON Foreign Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2019 | $ | 28.03 | 0.65 | 2.20 | 2.85 | (0.49 | ) | $ | 30.39 | 10.17 | % | 1.43 | % | 1.97 | % | 1.43 | % | $ | 48.2 | 112 | %(b) | |||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2018 | $ | 33.22 | 0.57 | (5.76 | ) | (5.19 | ) | — | $ | 28.03 | (15.62 | )% | 1.17 | % | 1.72 | % | 1.17 | % | $ | 55.1 | 22 | % | ||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2017 | $ | 27.72 | 0.32 | 5.18 | 5.50 | — | $ | 33.22 | 19.84 | % | 1.22 | % | 1.01 | % | 1.22 | % | $ | 79.7 | 126 | %(c) | ||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2016 | $ | 29.98 | 0.26 | (2.52 | ) | (2.26 | ) | — | $ | 27.72 | (7.54 | )% | 1.24 | % | 0.89 | % | 1.24 | % | $ | 66.7 | 51 | % | ||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2015 | $ | 27.39 | 0.03 | 2.56 | 2.59 | — | $ | 29.98 | 9.46 | %(d) | 1.23 | % | 0.12 | % | 1.23 | % | $ | 78.3 | 58 | % |
(a) | The cost of purchases and proceeds from sales of Portfolio securities that were incurred to realign the Portfolio’s holdings subsequent to the August 23, 2019 reorganization are excluded from the portfolio turnover rate calculation. See Note 3 of the Notes to Financial Statements for further information regarding this reorganization. If such amounts had not been excluded, the portfolio turnover rate would have been 261%. Effective February 1, 2019, thesub-adviser for the equity portion of the ON BlackRock Balanced Allocation Portfolio changed from Suffolk Capital Management, LLC to BlackRock Investment Management, LLC (“BlackRock”). |
(b) | Effective December 7, 2019, thesub-adviser to the ON International Equity Portfolio changed from Lazard Asset Management LLC to BlackRock Investment Management, LLC, and thesub-adviser to the ON Foreign Portfolio changed from Templeton Global Advisors Limited to BlackRock Investment Management, LLC. Costs of purchases and proceeds from sales of portfolio securities associated with the changes in thesub-advisers contributed to higher portfolio turnover rates for the year ended December 31, 2019 as compared to prior years. |
(c) | Effective May 1, 2017, thesub-adviser to the ON International Equity Portfolio changed from Federated Global Investment Management Corp. to Lazard Asset Management LLC, and thesub-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 thesub-advisers contributed to higher portfolio turnover rates for the year ended December 31, 2017 as compared to prior years. |
(d) | Initial Public Offering (IPO) investments had a significant impact on the total return in this period and such performance may be difficult to repeat. |
# Performance does not include fees and expenses imposed by a variable annuity contract. Had those fees and expenses been included, performance would have been lower than the returns presented.
The accompanying notes are an integral part of these financial statements.
142
Ohio National Fund, Inc.
Financial Highlights |
Selectedper-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 | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from operations | Distributions to shareholders | Net asset value, end of year | Total Return# | Expenses | Net investment income (loss) | Expenses | Net assets, end of year (millions) | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||||||||||||
ON Janus Henderson Forty Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2019 | $ | 20.97 | (— | )(a) | 7.25 | 7.25 | (2.16 | ) | $ | 26.06 | 34.89 | % | 0.81 | % | (— | )%(a) | 0.81 | % | $ | 196.9 | 53 | % | ||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2018 | $ | 19.93 | (0.03 | ) | 1.07 | 1.04 | — | $ | 20.97 | 5.22 | % | 0.87 | % | (0.15 | )% | 0.87 | % | $ | 149.3 | 48 | % | |||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2017 | $ | 15.61 | (0.03 | ) | 4.35 | 4.32 | — | $ | 19.93 | 27.67 | % | 0.96 | % | (0.15 | )% | 0.96 | % | $ | 60.6 | 57 | % | |||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2016 | $ | 15.09 | (0.02 | ) | 0.54 | 0.52 | — | $ | 15.61 | 3.45 | % | 0.95 | % | (0.09 | )% | 0.95 | % | $ | 49.9 | 63 | % | |||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2015 | $ | 13.70 | (0.01 | ) | 1.40 | 1.39 | — | $ | 15.09 | 10.15 | % | 0.93 | % | (0.10 | )% | 0.93 | % | $ | 51.4 | 60 | % | |||||||||||||||||||||||||||||||||||||||
ON Janus Henderson Venture Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2019 | $ | 30.89 | (0.15 | ) | 8.87 | 8.72 | (5.72 | ) | $ | 33.89 | 28.61 | % | 0.88 | % | (0.35 | )% | 0.88 | % | $ | 170.7 | 17 | % | ||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2018 | $ | 32.99 | (0.10 | ) | (2.00 | ) | (2.10 | ) | — | $ | 30.89 | (6.37 | )% | 0.85 | % | (0.23 | )% | 0.85 | % | $ | 207.4 | 33 | % | |||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2017 | $ | 26.61 | (0.06 | ) | 6.44 | 6.38 | — | $ | 32.99 | 23.98 | % | 0.85 | % | (0.19 | )% | 0.85 | % | $ | 276.2 | 26 | % | |||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2016 | $ | 25.01 | 0.01 | 1.59 | 1.60 | — | $ | 26.61 | 6.40 | % | 0.86 | % | 0.04 | % | 0.86 | % | $ | 232.3 | 25 | % | ||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2015 | $ | 25.07 | (0.03 | ) | (0.03 | ) | (0.06 | ) | — | $ | 25.01 | (0.24 | )%(b) | 0.85 | % | (0.12 | )% | 0.85 | % | $ | 238.2 | 37 | % | |||||||||||||||||||||||||||||||||||||
ON Janus Henderson Enterprise Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2019 | $ | 37.36 | 0.05 | 13.54 | 13.59 | (2.42 | ) | $ | 48.53 | 36.57 | % | 0.96 | % | 0.10 | % | 0.96 | % | $ | 110.0 | 10 | % | |||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2018 | $ | 38.60 | 0.02 | (1.26 | ) | (1.24 | ) | — | $ | 37.36 | (3.21 | )% | 0.96 | % | 0.06 | % | 0.96 | % | $ | 102.6 | 103 | %(c) | ||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2017 | $ | 30.37 | (0.09 | ) | 8.32 | 8.23 | — | $ | 38.60 | 27.10 | % | 0.98 | % | (0.24 | )% | 0.98 | % | $ | 77.8 | 57 | % | |||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2016 | $ | 29.90 | (0.09 | ) | 0.56 | 0.47 | — | $ | 30.37 | 1.57 | % | 0.98 | % | (0.29 | )% | 0.98 | % | $ | 70.2 | 61 | % | |||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2015 | $ | 31.49 | (0.07 | ) | (1.52 | ) | (1.59 | ) | — | $ | 29.90 | (5.05 | )%(b) | 0.94 | % | (0.21 | )% | 0.94 | % | $ | 78.7 | 59 | % | |||||||||||||||||||||||||||||||||||||
ON S&P 500®Index Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2019 | $ | 28.11 | 0.57 | 8.00 | 8.57 | (3.39 | ) | $ | 33.29 | 30.97 | % | 0.39 | % | 1.64 | % | 0.39 | % | $ | 1,202.6 | 7 | % | |||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2018 | $ | 29.52 | 0.48 | (1.89 | ) | (1.41 | ) | — | $ | 28.11 | (4.78 | )% | 0.38 | % | 1.58 | % | 0.38 | % | $ | 1,111.5 | 18 | % | ||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2017 | $ | 24.32 | 0.37 | 4.83 | 5.20 | — | $ | 29.52 | 21.38 | % | 0.38 | % | 1.65 | % | 0.38 | % | $ | 1,144.2 | 8 | % | ||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2016 | $ | 21.82 | 0.25 | 2.25 | 2.50 | — | $ | 24.32 | 11.46 | % | 0.42 | % | 1.84 | % | 0.42 | % | $ | 842.6 | 8 | % | ||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2015 | $ | 21.93 | 0.37 | (0.17 | ) | 0.20 | (0.31 | ) | $ | 21.82 | 0.91 | % | 0.41 | % | 1.72 | % | 0.41 | % | $ | 410.7 | 14 | % |
(a) | Less than $0.005 per share, or 0.005%. |
(b) | Initial Public Offering (IPO) investments had a significant impact on the total return in this period and such performance may be difficult to repeat. |
(c) | Effective May 1, 2018, thesub-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 thesub-adviser contributed to a higher portfolio turnover rate for the year ended December 31, 2018 as compared to prior years. |
# Performance does not include fees and expenses imposed by a variable annuity contract. Had those fees and expenses been included, performance would have been lower than the returns presented.
The accompanying notes are an integral part of these financial statements.
143
Ohio National Fund, Inc.
Financial Highlights |
Selectedper-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 | Net investment income | Net realized and unrealized gain (loss) | Total from operations | Distributions to shareholders | Net asset value, end of year | Total Return# | Expenses | Net investment income | Expenses | Net assets, end of year (millions) | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||||||||||||
ON BlackRock Advantage Large Cap Value Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2019 | $ | 16.37 | 0.76 | 2.38 | 3.14 | (0.76 | ) | $ | 18.75 | 19.21 | % | 0.77 | % | 3.94 | % | 0.77 | % | $ | 320.7 | 127 | %(a) | |||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2018 | $ | 17.88 | 0.87 | (2.38 | ) | (1.51 | ) | — | $ | 16.37 | (8.45 | )% | 0.76 | % | 3.88 | % | 0.76 | % | $ | 321.8 | 18 | % | ||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2017 | $ | 15.60 | 0.59 | 1.69 | 2.28 | — | $ | 17.88 | 14.62 | % | 0.75 | % | 3.77 | % | 0.75 | % | $ | 596.7 | 27 | % | ||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2016 | $ | 14.07 | 0.36 | 1.17 | 1.53 | — | $ | 15.60 | 10.87 | % | 0.78 | % | 3.19 | % | 0.78 | % | $ | 475.5 | 32 | % | ||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2015 | $ | 13.92 | 0.53 | 0.06 | 0.59 | (0.44 | ) | $ | 14.07 | 4.26 | % | 0.78 | % | 3.47 | % | 0.78 | % | $ | 309.8 | 13 | % | |||||||||||||||||||||||||||||||||||||||
ON Federated High Income Bond Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2019 | $ | 18.73 | 1.14 | 1.70 | 2.84 | (0.88 | ) | $ | 20.69 | 15.29 | % | 0.80 | % | 5.34 | % | 0.80 | % | $ | 198.7 | 23 | % | |||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2018 | $ | 19.36 | 1.41 | (2.04 | ) | (0.63 | ) | — | $ | 18.73 | (3.25 | )% | 0.75 | % | 5.39 | % | 0.75 | % | $ | 202.1 | 14 | % | ||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2017 | $ | 18.10 | 1.04 | 0.22 | 1.26 | — | $ | 19.36 | 6.96 | % | 0.74 | % | 5.21 | % | 0.74 | % | $ | 319.1 | 30 | % | ||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2016 | $ | 15.82 | 0.43 | 1.85 | 2.28 | — | $ | 18.10 | 14.41 | % | 0.80 | % | 5.56 | % | 0.80 | % | $ | 313.8 | 30 | % | ||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2015 | $ | 16.32 | 1.18 | (1.68 | ) | (0.50 | ) | — | $ | 15.82 | (3.06 | )% | 0.80 | % | 5.65 | % | 0.80 | % | $ | 194.2 | 29 | % | ||||||||||||||||||||||||||||||||||||||
ONNasdaq-100®Index Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2019 | $ | 16.60 | 0.14 | 6.15 | 6.29 | (3.06 | ) | $ | 19.83 | 38.86 | % | 0.42 | % | 0.66 | % | 0.42 | % | $ | 353.0 | 8 | % | |||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2018 | $ | 16.67 | 0.12 | (0.19 | ) | (0.07 | ) | — | $ | 16.60 | (0.42 | )% | 0.41 | % | 0.67 | % | 0.41 | % | $ | 327.6 | 22 | % | ||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2017 | $ | 12.59 | 0.07 | 4.01 | 4.08 | — | $ | 16.67 | 32.41 | % | 0.45 | % | 0.71 | % | 0.45 | % | $ | 257.2 | 9 | % | ||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2016 | $ | 11.80 | 0.09 | 0.70 | 0.79 | — | $ | 12.59 | 6.69 | % | 0.48 | % | 0.84 | % | 0.48 | % | $ | 156.1 | 13 | % | ||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2015 | $ | 10.88 | 0.09 | 0.91 | 1.00 | (0.08 | ) | $ | 11.80 | 9.14 | % | 0.46 | % | 0.79 | % | 0.46 | % | $ | 138.6 | 19 | % | |||||||||||||||||||||||||||||||||||||||
ON BlackRock Advantage Large Cap Core Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2019 | $ | 24.79 | 0.22 | 8.10 | 8.32 | (0.16 | ) | $ | 32.95 | 33.60 | % | 0.74 | % | 1.28 | % | 0.74 | % | $ | 430.6 | 152 | %(b) | |||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2018 | $ | 30.22 | 0.20 | (5.63 | ) | (5.43 | ) | — | $ | 24.79 | (17.97 | )% | 0.82 | % | 0.63 | % | 0.82 | % | $ | 155.3 | 272 | % | ||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2017 | $ | 24.02 | 0.16 | 6.04 | 6.20 | — | $ | 30.22 | 25.81 | % | 0.82 | % | 0.47 | % | 0.82 | % | $ | 223.7 | 220 | % | ||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2016 | $ | 21.49 | 0.12 | 2.41 | 2.53 | — | $ | 24.02 | 11.77 | % | 0.83 | % | 0.49 | % | 0.83 | % | $ | 207.9 | 223 | % | ||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2015 | $ | 20.75 | 0.12 | 0.73 | 0.85 | (0.11 | ) | $ | 21.49 | 4.08 | % | 0.81 | % | 0.55 | % | 0.81 | % | $ | 218.7 | 228 | % |
(a) | Effective December 7, 2019, thesub-adviser changed from Federated Equity Management Company of Pennsylvania to BlackRock Investment Management, LLC. Costs of purchases and proceeds from sales of portfolio securities associated with the change in thesub-adviser contributed to a higher portfolio turnover rate for the year ended December 31, 2019 as compared to prior years. |
(b) | The cost of purchases and proceeds from sales of Portfolio securities that were incurred to realign the Portfolio’s holdings subsequent to the August 23, 2019 reorganization are excluded from the portfolio turnover rate calculation. See Note 3 of the Notes to Financial Statements for further information regarding this reorganization. If such amounts had not been excluded, the portfolio turnover rate would have been 211%. Effective February 1, 2019, thesub-adviser to the ON BlackRock Advantage Large Cap Core Portfolio changed from Suffolk Capital Management, LLC to BlackRock Investment Management, LLC. |
# Performance does not include fees and expenses imposed by a variable annuity contract. Had those fees and expenses been included, performance would have been lower than the returns presented.
The accompanying notes are an integral part of these financial statements.
144
Ohio National Fund, Inc.
Financial Highlights |
Selectedper-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 | Net investment income (loss) | Net realized and unrealized gain (loss) | Total from operations | Distributions to shareholders | Net asset value, end of year | Total Return# | Expenses | Net investment income (loss) | Expenses | Net assets, end of year (millions) | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||||||||||||
ON BlackRock Advantage Small Cap Growth Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2019 | $ | 23.62 | 0.02 | 8.02 | 8.04 | (0.24 | ) | $ | 31.42 | 34.07 | % | 0.91 | % | 0.11 | % | 0.91 | % | $ | 204.8 | 114 | %(a) | |||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2018 | $ | 24.91 | (0.26 | ) | (1.03 | ) | (1.29 | ) | — | $ | 23.62 | (5.18 | )% | 1.05 | % | (0.55 | )% | 1.05 | % | $ | 25.5 | 201 | % | |||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2017 | $ | 20.49 | (0.21 | ) | 4.63 | 4.42 | — | $ | 24.91 | 21.57 | % | 0.98 | % | (0.55 | )% | 0.98 | % | $ | 56.8 | 196 | % | |||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2016 | $ | 19.60 | (0.19 | ) | 1.08 | 0.89 | — | $ | 20.49 | 4.54 | % | 0.92 | % | (0.62 | )% | 0.92 | % | $ | 94.6 | 188 | % | |||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2015 | $ | 20.47 | (0.11 | ) | (0.76 | ) | (0.87 | ) | — | $ | 19.60 | (4.25 | )% | 0.88 | % | (0.53 | )% | 0.88 | % | $ | 162.2 | 169 | % | |||||||||||||||||||||||||||||||||||||
ON S&P MidCap 400®Index Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2019 | $ | 15.46 | 0.21 | 3.74 | 3.95 | (0.16 | ) | $ | 19.25 | 25.58 | % | 0.44 | % | 1.37 | % | 0.44 | % | $ | 450.9 | 39 | % | |||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2018 | $ | 17.46 | 0.10 | (2.10 | ) | (2.00 | ) | — | $ | 15.46 | (11.45 | )% | 0.51 | % | 1.32 | % | 0.51 | % | $ | 306.6 | 28 | % | ||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2017 | $ | 15.12 | 0.04 | 2.30 | 2.34 | — | $ | 17.46 | 15.48 | % | 0.71 | % | 0.92 | % | 0.71 | % | $ | 88.8 | 41 | % | ||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2016 | $ | 13.81 | 0.17 | 1.14 | 1.31 | — | $ | 15.12 | 9.49 | % | 0.79 | % | 1.24 | % | 0.79 | % | $ | 47.9 | 179 | %(b) | ||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2015 | $ | 14.49 | 0.25 | (0.72 | ) | (0.47 | ) | (0.21 | ) | $ | 13.81 | (3.24 | )% | 0.77 | % | 1.54 | % | 0.77 | % | $ | 46.3 | 72 | % | |||||||||||||||||||||||||||||||||||||
ON BlackRock Advantage Large Cap Growth Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2019 | $ | 20.59 | 0.16 | 7.77 | 7.93 | (0.98 | ) | $ | 27.54 | 38.68 | % | 0.80 | % | 0.62 | % | 0.80 | % | $ | 113.2 | 214 | %(a) | |||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2018 | $ | 24.19 | 0.12 | (3.72 | ) | (3.60 | ) | — | $ | 20.59 | (14.88 | )% | 0.88 | % | 0.43 | % | 0.88 | % | $ | 87.5 | 269 | % | ||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2017 | $ | 18.65 | 0.07 | 5.47 | 5.54 | — | $ | 24.19 | 29.71 | % | 0.88 | % | 0.24 | % | 0.88 | % | $ | 128.0 | 218 | % | ||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2016 | $ | 17.31 | 0.07 | 1.27 | 1.34 | — | $ | 18.65 | 7.74 | % | 0.89 | % | 0.36 | % | 0.89 | % | $ | 117.6 | 162 | % | ||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2015 | $ | 16.44 | 0.08 | 0.86 | 0.94 | (0.07 | ) | $ | 17.31 | 5.72 | % | 0.86 | % | 0.43 | % | 0.86 | % | $ | 116.2 | 168 | % | |||||||||||||||||||||||||||||||||||||||
ON Risk Managed Balanced Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2019 | $ | 12.91 | 0.21 | 3.01 | 3.22 | (1.32 | ) | $ | 14.81 | 25.16 | % | 0.99 | % | 1.39 | % | 0.99 | % | $ | 403.6 | 105 | %(c) | |||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2018 | $ | 13.01 | 0.17 | (0.27 | ) | (0.10 | ) | — | $ | 12.91 | (0.77 | )% | 0.99 | % | 1.27 | % | 0.99 | % | $ | 347.1 | 131 | %(c) | ||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2017 | $ | 11.06 | 0.14 | 1.81 | 1.95 | — | $ | 13.01 | 17.63 | % | 1.00 | % | 1.22 | % | 1.00 | % | $ | 344.2 | 72 | %(c) | ||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2016 | $ | 10.66 | 0.09 | 0.31 | 0.40 | — | $ | 11.06 | 3.75 | % | 1.03 | % | 1.09 | % | 1.03 | % | $ | 272.1 | 78 | % | ||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2015 | $ | 10.83 | 0.03 | (0.17 | ) | (0.14 | ) | (0.03 | ) | $ | 10.66 | (1.32 | )% | 1.11 | % | 0.81 | % | 1.11 | % | $ | 154.3 | 71 | % |
(a) | The cost of purchases and proceeds from sales of Portfolio securities that were incurred to realign the ON BlackRock Advantage Small Cap Growth Portfolio’s holdings subsequent to the August 23, 2019 reorganization are excluded from the portfolio turnover rate calculation. See Note 3 of the Notes to Financial Statements for further information regarding this reorganization. If such amounts had not been excluded, the portfolio turnover rate would have been 177%. Effective February 1, 2019, thesub-adviser to the ON BlackRock Advantage Small Cap Growth Portfolio and ON BlackRock Advantage Large Cap Growth Portfolio changed from Suffolk Capital Management, LLC to BlackRock Investment Management, LLC. |
(b) | Effective December 16, 2016, thesub-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 thesub-adviser contributed to a higher portfolio turnover rate for the year ended December 31, 2016 as compared to prior years. |
(c) | The portfolio turnover calculation includes purchases and sales from mortgage dollar roll transactions. Without the effect of mortgage dollar roll transactions, the portfolio turnover rate would have been 84% for the year ended December 31, 2019, 102% for the year ended December 31, 2018, and 63% for the year ended December 31, 2017 (see Note 2 of the Notes to Financial Statements). |
# Performance does not include fees and expenses imposed by a variable annuity contract. Had those fees and expenses been included, performance would have been lower than the returns presented.
The accompanying notes are an integral part of these financial statements.
145
Ohio National Fund, Inc.
Financial Highlights |
Selectedper-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 | Net investment income | Net realized and unrealized gain (loss) | Total from operations | Distributions to shareholders | Return of capital | Total distributions | Net asset value, end of year | Total Return# | Expenses† | Net investment income† | Expenses† | Net assets, end of year (millions) | Portfolio turnover rate | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
ON Conservative Model Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2019 | $ | 10.21 | 0.31 | 1.04 | 1.35 | (0.35 | ) | — | (0.35 | ) | $ | 11.21 | 13.18 | % | 0.26 | % | 2.70 | % | 0.55 | % | $ | 75.1 | 23 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2018 | $ | 10.53 | 0.20 | (0.52 | ) | (0.32 | ) | — | — | — | $ | 10.21 | (3.04 | )% | 0.27 | % | 1.70 | % | 0.52 | % | $ | 79.0 | 35 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Period From March 1, 2017 (inception) to December 31, 2017 | $ | 10.00 | 0.16 | 0.37 | 0.53 | — | — | — | $ | 10.53 | 5.30 | % | 0.25 | %** | 1.71 | %** | 0.51 | %** | $ | 99.7 | 29 | %* | ||||||||||||||||||||||||||||||||||||||||||||||||
ON Moderately Conservative Model Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2019 | $ | 10.09 | 0.26 | 1.41 | 1.67 | (0.37 | ) | (0.02 | ) | (0.39 | ) | $ | 11.37 | 16.58 | % | 0.35 | % | 2.22 | % | 0.46 | % | $ | 223.2 | 18 | % | |||||||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2018 | $ | 10.69 | 0.15 | (0.75 | ) | (0.60 | ) | — | — | — | $ | 10.09 | (5.61 | )% | 0.28 | % | 1.26 | % | 0.45 | % | $ | 237.2 | 38 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Period From March 1, 2017 (inception) to December 31, 2017 | $ | 10.00 | 0.13 | 0.56 | 0.69 | — | — | — | $ | 10.69 | 6.90 | % | 0.25 | %** | 1.40 | %** | 0.45 | %** | $ | 326.0 | 22 | %* | ||||||||||||||||||||||||||||||||||||||||||||||||
ON Balanced Model Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2019 | $ | 9.97 | 0.21 | 1.73 | 1.94 | (0.24 | ) | (0.19 | ) | (0.43 | ) | $ | 11.48 | 19.46 | % | 0.36 | % | 1.82 | % | 0.43 | % | $ | 1,109.5 | 22 | % | |||||||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2018 | $ | 10.81 | 0.09 | (0.93 | ) | (0.84 | ) | — | — | — | $ | 9.97 | (7.77 | )% | 0.31 | % | 0.77 | % | 0.42 | % | $ | 1,146.9 | 37 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Period From March 1, 2017 (inception) to December 31, 2017 | $ | 10.00 | 0.09 | 0.72 | 0.81 | — | — | — | $ | 10.81 | 8.10 | % | 0.25 | %** | 1.01 | %** | 0.42 | %** | $ | 1,562.6 | 25 | %* | ||||||||||||||||||||||||||||||||||||||||||||||||
ON Moderate Growth Model Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2019 | $ | 9.93 | 0.16 | 2.20 | 2.36 | (0.30 | ) | (0.36 | ) | (0.66 | ) | $ | 11.63 | 23.81 | % | 0.43 | % | 1.31 | % | 0.44 | % | $ | 1,961.4 | 20 | % | |||||||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2018 | $ | 11.05 | 0.05 | (1.17 | ) | (1.12 | ) | — | — | — | $ | 9.93 | (10.14 | )% | 0.35 | % | 0.42 | % | 0.42 | % | $ | 1,945.0 | 49 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Period From March 1, 2017 (inception) to December 31, 2017 | $ | 10.00 | 0.07 | 0.98 | 1.05 | — | — | — | $ | 11.05 | 10.50 | % | 0.26 | %** | 0.80 | %** | 0.42 | %** | $ | 2,646.8 | 23 | %* | ||||||||||||||||||||||||||||||||||||||||||||||||
ON Growth Model Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2019 | $ | 9.86 | 0.11 | 2.50 | 2.61 | (0.35 | ) | (0.18 | ) | (0.53 | ) | $ | 11.94 | 26.47 | % | 0.45 | % | 0.92 | % | 0.47 | % | $ | 433.6 | 18 | % | |||||||||||||||||||||||||||||||||||||||||||||
Year Ended December 31, 2018 | $ | 11.15 | 0.02 | (1.31 | ) | (1.29 | ) | — | — | — | $ | 9.86 | (11.57 | )% | 0.31 | % | 0.17 | % | 0.43 | % | $ | 424.2 | 62 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Period From March 1, 2017 (inception) to December 31, 2017 | $ | 10.00 | 0.05 | 1.10 | 1.15 | — | — | — | $ | 11.15 | 11.50 | % | 0.25 | %** | 0.51 | %** | 0.43 | %** | $ | 543.8 | 24 | %* |
* | Not annualized |
** | Annualized |
# Performance does not include fees and expenses imposed by a variable annuity contract. Had those fees and expenses been included, performance would have been lower than the returns presented.
†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.
146
Ohio National Fund, Inc.
|
December 31, 2019 |
(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 anopen-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 oftwenty-one separate investment portfolios (the “Portfolios”) that seek the following objectives and strategies:
⬛ | 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 net assets in corporate debt securities. |
⬛ | ON BlackRock Balanced Allocation Portfolio – High level of long-term total return consistent with preservation of capital by investing in stocks, bonds, and money market instruments. |
⬛ | ON International Equity Portfolio – Long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in innon-U.S. equity securities and equity-like instruments of companies that are components of, or have characteristics similar to, the companies included in the MSCI EAFE Index (Net - USD) |
⬛ | ON Foreign Portfolio – Long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in innon-U.S. equity securities and equity-like instruments of companies that are components of, or have characteristics similar to, the companies included in the MSCI EAFE Index (Net - USD). |
⬛ | 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 net assets in stocks of small capitalization companies. |
⬛ | ON Janus Henderson Enterprise Portfolio – Long-term total return by investing, under normal circumstances, at least 50% of its net assets in equity securities ofmid-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 net assets in securities included in the S&P 500® Index. |
⬛ | ON BlackRock Advantage Large Cap Value Portfolio – Growth of capital by investing, under normal circumstances, at least 80% of its net assets in stocks of large capitalization companies with market capitalizations at the time of investment that are within the range of market capitalizations of the companies in the Russell 1000 Value Index for the previous twelve months. |
⬛ | ON Federated High Income Bond Portfolio – High current income by investing, under normal circumstances, at least 80% of its net assets in lower rated corporate debt obligations commonly referred to as “junk bonds”. The Portfolio’s investments are generally rated BB or lower by Standard & Poor’s or Fitch, or Ba or lower by Moody’s. |
⬛ | ONNasdaq-100® Index Portfolio – Long-term growth of capital by investing, under normal circumstances, more than 80% of its net assets in the common stocks of companies that are included in theNasdaq-100® Index. |
⬛ | ON BlackRock Advantage Large Cap Core Portfolio – Long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in common stocks of the 1,000 largest publicly traded U.S. companies in terms of market capitalization. |
⬛ | ON BlackRock Advantage Small Cap Growth Portfolio – Long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in stocks of companies with a market capitalization at the time of investment that is no greater than the largest market capitalization of a company in the Russell 2000 Index for the previous twelve months. |
⬛ | 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 net assets in the securities included in the S&P MidCap 400® Index. |
⬛ | ON BlackRock Advantage Large Cap Growth Portfolio – Long-term growth of capital by investing, under normal circumstances, at least 80% of its net assets in stocks of companies with market capitalizations at the time of investment that are within the range of market capitalizations of the companies in the Russell 1000 Growth Index for the previous twelve months. |
⬛ | 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. |
147 | (continued) |
Ohio National Fund, Inc.
| ||
Notes to Financial Statements (Continued) | December 31, 2019 |
⬛ | ON Conservative Model Portfolio* – 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. Equity0-25%, International Equity0-10%, and Fixed Income65-90%. |
⬛ | ON Moderately Conservative Model Portfolio* – 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. Equity20-40%, International Equity5-20%, and Fixed Income30-70%. |
⬛ | ON Balanced Model Portfolio* – 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. Equity25-50%, International Equity10-25%, and Fixed Income25-50%. |
⬛ | ON Moderate Growth Model Portfolio* – 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. Equity40-60%, International Equity15-35%, and Fixed Income10-30%. |
⬛ | ON Growth Model Portfolio* – 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. Equity50-80%, International Equity15-45%, and Fixed Income0-15%. |
* | Collectively, the “ON Model Portfolios”. |
The names presented above reflect the current Portfolio names. Effective May 1, 2019, 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, 2019 | Current Portfolio Name | |
ON Omni Portfolio | ON BlackRock Balanced Allocation Portfolio | |
ON Bristol Portfolio | ON BlackRock Advantage Large Cap Core Portfolio | |
ON Bryton Growth Portfolio | ON BlackRock Advantage Small Cap Growth Portfolio | |
ON Bristol Growth Portfolio | ON BlackRock Advantage Large Cap Growth Portfolio |
Also, effective December 7, 2019, the Board approved the change of the name of the ON Federated Strategic Value Dividend Portfolio to the ON BlackRock Advantage Large Cap Value 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 ONNasdaq-100® Index Portfolio, is classified as diversified for purposes of Section 5(b) of the 40 Act.
At present, the Fund issues its shares to separate accounts of The Ohio National Life Insurance Company (“ONLIC”), Ohio National Life Assurance Corporation (“ONLAC”), and National Security Life and Annuity Company (“NSLA”) to support certain benefits under variable contracts issued by those entities, as well as for purchases by other Portfolios of the Fund. In the future, Fund shares may be used for other purposes but, unless there is a change in applicable law, they will not be sold directly to the public.
Effective September 15, 2018 and March 16, 2018, respectively, ONLIC and NSLA no longer market, nor issue, variable annuities. ONLIC and NSLA will continue to service thein-force variable annuity contracts, the variable separate accounts, and underlying subaccounts regardless of new sales.
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 Bond | 40,000,000 | |
ON BlackRock Balanced Allocation | 95,000,000 | |
ON International Equity | 90,000,000 | |
ON Foreign | 22,000,000 | |
ON Janus Henderson Forty | 24,000,000 |
Portfolio | Authorized Shares | |||
ON Janus Henderson Venture | 30,000,000 | |||
ON Janus Henderson Enterprise | 21,000,000 | |||
ON S&P 500®Index | 90,000,000 | |||
ON BlackRock Advantage Large Cap Value | 75,000,000 | |||
ON Federated High Income Bond | 45,000,000 |
148 | (continued) |
Ohio National Fund, Inc.
| ||
Notes to Financial Statements (Continued) | December 31, 2019 |
Portfolio | Authorized Shares | |
ONNasdaq-100®Index | 50,000,000 | |
ON BlackRock Advantage Large Cap Core | 73,000,000 | |
ON BlackRock Advantage Small Cap Growth | 30,000,000 | |
ON S&P MidCap 400®Index | 50,000,000 | |
ON BlackRock Advantage Large Cap Growth | 30,000,000 | |
ON Risk Managed Balanced | 85,000,000 |
Portfolio | Authorized Shares | |||
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).
Over-the-counter traded American Depositary Receipts (“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 evaluated bid price reported at 4:00 pm Eastern Time (normal trading sessions), as provided by independent pricing services approved by the Board. Many fixed income securities, including investment grade and high-yield corporate bonds, U.S. Treasury and government agency obligations, bank loans, and other asset-backed instruments are not actively traded on a daily basis. As such, the approved pricing services may use asset type-specific valuation models to provide good faith determinations that the holders of securities would receive in an orderly transaction under current market conditions. The valuation models may use observable market data such as recent transaction data, benchmark yields, broker/dealer inputs, valuations and yields of comparable instruments, relative credit information, observed market movements, and market research and news. Asset-backed securities and mortgage-backed securities may use valuation models that heavily consider predicted cash flows of each tranche of an issue, benchmark spreads, and unique attributes of the tranche. The last trade or last evaluated bid may be used if an evaluated bid price is not available.
149 | (continued) |
Ohio National Fund, Inc.
| ||
Notes to Financial Statements (Continued) | December 31, 2019 |
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.
Futures contracts are valued at the daily quoted settlement prices as reported by an approved independent pricing source.
Shares ofopen-end mutual funds are valued at each fund’s last calculated net asset value per share.
Shares ofclosed-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).
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.
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.
The differences between the aggregate cost and values of investments are reflected as unrealized appreciation or unrealized depreciation.
Pricing inputs used in the Fund’s determination of its investment values are categorized according to a three-tier hierarchy framework. The hierarchy is summarized in three broad levels:
Level 1: | Quoted prices in active markets for identical securities. |
Level 2: | Other significant observable inputs, including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc. |
Level 3: | Significant unobservable inputs, including the Fund’s own assumptions used to determine the value of securities. |
The following is a summary of the inputs used in valuing each of the Portfolio’s assets (liabilities) at value as of December 31, 2019:
Portfolio | Financial Instrument Type | Level 1 | Level 2 | Level 3 | ||||||||||
ON Bond | Corporate Bonds** | $ | — | $ | 259,776,183 | $ | — | |||||||
U.S. Treasury Obligations | — | 10,992,698 | — | |||||||||||
Asset-Backed Securities** | — | 7,732,841 | — | |||||||||||
Sovereign Issues | — | 3,117,000 | — | |||||||||||
Money Market Funds | 3,249,584 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 3,249,584 | $ | 281,618,722 | $ | — | |||||||||
|
|
|
|
|
|
150 | (continued) |
Ohio National Fund, Inc.
| ||
Notes to Financial Statements (Continued) | December 31, 2019 |
Portfolio | Financial Instrument Type | Level 1 | Level 2 | Level 3 | ||||||||||
ON BlackRock Balanced Allocation | Common Stocks** | $ | 395,711,450 | $ | — | $ | — | |||||||
Corporate Bonds** | — | 141,085,207 | — | |||||||||||
Asset-Backed Securities** | — | 1,300,223 | — | |||||||||||
Rights** | 31,915 | — | — | |||||||||||
Money Market Funds | 5,704,709 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 401,448,074 | $ | 142,385,430 | $ | — | |||||||||
|
|
|
|
|
| |||||||||
Futures Contracts | $ | 62,161 | $ | — | $ | — | ||||||||
|
|
|
|
|
| |||||||||
ON International Equity | Common Stocks** | $ | 5,472,361 | $ | 458,107,739 | $ | — | |||||||
Money Market Funds | 4,433,817 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 9,906,178 | $ | 458,107,739 | $ | — | |||||||||
|
|
|
|
|
| |||||||||
Futures Contracts | $ | (26,533 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
| |||||||||
ON Foreign | Common Stocks** | $ | 350,797 | $ | 46,743,659 | $ | — | |||||||
Money Market Funds | 821,692 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 1,172,489 | $ | 46,743,659 | $ | — | |||||||||
|
|
|
|
|
| |||||||||
Futures Contracts | $ | (3,868 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
| |||||||||
ON Janus Henderson Forty | Common Stocks** | $ | 194,211,250 | $ | — | $ | — | |||||||
Money Market Funds | 3,069,703 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 197,280,953 | $ | — | $ | — | |||||||||
|
|
|
|
|
| |||||||||
ON Janus Henderson Venture | Common Stocks** | $ | 163,357,101 | $ | 1,074,745 | $ | — | |||||||
Master Limited Partnerships** | 2,380,095 | — | — | |||||||||||
Money Market Funds | 3,355,159 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 169,092,355 | $ | 1,074,745 | $ | — | |||||||||
|
|
|
|
|
| |||||||||
ON Janus Henderson Enterprise | Common Stocks** | $ | 106,368,931 | $ | 1,668,338 | $ | — | |||||||
Money Market Funds | 2,072,376 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 108,441,307 | $ | 1,668,338 | $ | — | |||||||||
|
|
|
|
|
| |||||||||
ON S&P 500®Index | Common Stocks** | $ | 1,201,715,776 | $ | — | $ | — | |||||||
U.S. Treasury Obligations | — | 199,366 | — | |||||||||||
Money Market Funds | 2,079,421 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 1,203,795,197 | $ | 199,366 | $ | — | |||||||||
|
|
|
|
|
| |||||||||
Futures Contracts | $ | 51,347 | $ | — | $ | — | ||||||||
|
|
|
|
|
| |||||||||
ON BlackRock Advantage Large Cap Value | Common Stocks** | $ | 314,984,648 | $ | — | $ | — | |||||||
Money Market Funds | 4,408,585 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 319,393,233 | $ | — | $ | — | |||||||||
|
|
|
|
|
| |||||||||
Futures Contracts | $ | 88,121 | $ | — | $ | — | ||||||||
|
|
|
|
|
| |||||||||
ON Federated High Income Bond | Corporate Bonds** | $ | — | $ | 188,521,214 | $ | — | |||||||
Common Stocks** | 256,041 | — | — | |||||||||||
Money Market Funds | 6,782,268 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 7,038,309 | $ | 188,521,214 | $ | — | |||||||||
|
|
|
|
|
| |||||||||
ONNasdaq-100®Index | Common Stocks** | $ | 350,509,091 | $ | — | $ | — | |||||||
U.S. Treasury Obligations | — | 79,746 | — | |||||||||||
Money Market Funds | 3,751,571 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 354,260,662 | $ | 79,746 | $ | — | |||||||||
|
|
|
|
|
| |||||||||
Futures Contracts | $ | 80,293 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
151 | (continued) |
Ohio National Fund, Inc.
| ||
Notes to Financial Statements (Continued) | December 31, 2019 |
Portfolio | Financial Instrument Type | Level 1 | Level 2 | Level 3 | ||||||||||
ON BlackRock Advantage Large Cap Core | Common Stocks** | $ | 428,547,250 | $ | — | $ | — | |||||||
Rights** | 34,973 | — | — | |||||||||||
Money Market Funds | 4,302,909 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 432,885,132 | $ | — | $ | — | |||||||||
|
|
|
|
|
| |||||||||
Futures Contracts | $ | 79,189 | $ | — | $ | — | ||||||||
|
|
|
|
|
| |||||||||
ON BlackRock Advantage Small Cap Growth | Common Stocks** | $ | 203,154,709 | $ | — | $ | — | |||||||
Rights** | — | 12,876 | — | |||||||||||
Money Market Funds | 3,073,403 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 206,228,112 | $ | 12,876 | $ | — | |||||||||
|
|
|
|
|
| |||||||||
Futures Contracts | $ | 27,872 | $ | — | $ | — | ||||||||
|
|
|
|
|
| |||||||||
ON S&P MidCap 400®Index | Common Stocks** | $ | 447,492,286 | $ | — | $ | — | |||||||
U.S. Treasury Obligations | — | 99,683 | — | |||||||||||
Money Market Funds | 3,224,601 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 450,716,887 | $ | 99,683 | $ | — | |||||||||
|
|
|
|
|
| |||||||||
Futures Contracts | $ | 46,323 | $ | — | $ | — | ||||||||
|
|
|
|
|
| |||||||||
ON BlackRock Advantage Large Cap Growth | Common Stocks** | $ | 112,669,548 | $ | — | $ | — | |||||||
Rights** | 16,103 | — | — | |||||||||||
Money Market Funds | 1,063,702 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 113,749,353 | $ | — | $ | — | |||||||||
|
|
|
|
|
| |||||||||
Futures Contracts | $ | 18,034 | $ | — | $ | — | ||||||||
|
|
|
|
|
| |||||||||
ON Risk Managed Balanced | Common Stocks** | $ | 193,454,665 | $ | — | $ | — | |||||||
Corporate Bonds** | — | 46,759,808 | — | |||||||||||
U.S. Government Agency Mortgage-Backed Securities | — | 35,491,123 | — | |||||||||||
U.S. Treasury Obligations | — | 29,644,983 | — | |||||||||||
Purchased Options | 5,601,755 | 23,200,405 | — | |||||||||||
Asset-Backed / Mortgage-Backed Securities** | — | 9,117,954 | — | |||||||||||
Preferred Securities** | 184,599 | 521,794 | — | |||||||||||
Money Market Funds | 66,267,621 | — | — | |||||||||||
|
|
|
|
|
| |||||||||
$ | 265,508,640 | $ | 144,736,067 | $ | — | |||||||||
|
|
|
|
|
| |||||||||
Futures Contracts | $ | (1,797,268 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
| |||||||||
TBA Sales Commitments | $ | — | $ | (1,416,142 | ) | $ | — | |||||||
|
|
|
|
|
| |||||||||
ON Conservative Model | Open-End Mutual Funds | $ | 75,137,748 | $ | — | $ | — | |||||||
|
|
|
|
|
| |||||||||
ON Moderately Conservative Model | Open-End Mutual Funds | $ | 223,304,319 | $ | — | $ | — | |||||||
|
|
|
|
|
| |||||||||
ON Balanced Model | Open-End Mutual Funds | $ | 1,109,842,859 | $ | — | $ | — | |||||||
|
|
|
|
|
| |||||||||
ON Moderate Growth Model | Open-End Mutual Funds | $ | 1,962,080,780 | $ | — | $ | — | |||||||
|
|
|
|
|
| |||||||||
ON Growth Model | Open-End Mutual Funds | $ | 433,807,420 | $ | — | $ | — | |||||||
|
|
|
|
|
|
** | For detailed industry descriptions, see the accompanying Schedules of Investments. |
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.
152 | (continued) |
Ohio National Fund, Inc.
| ||
Notes to Financial Statements (Continued) | December 31, 2019 |
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 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 financenon-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.
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 Rule2a-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 theex-dividend date, except in the case of those Portfolios holding foreign securities, in which dividends are recorded as soon after theex-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 and/or cash distributions. 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, notax-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.
The character of ordinary income distributions, realized capital gains distributions, and return of capital, if any, 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.
153 | (continued) |
Ohio National Fund, Inc.
| ||
Notes to Financial Statements (Continued) | December 31, 2019 |
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 ismore-likely-than-not (i.e. greater than50-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.
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.
Bank Loans
A Portfolio may invest in bank loans, which represent an interest in amounts owned by a borrower to a syndicate of lenders. Bank loans are generallynon-investment grade and often involve borrowers whose financial condition is highly leveraged. Transactions in bank loans may settle on a delayed basis, which could result in proceeds from the sale not being readily available for a Portfolio to make additional investments or meet its redemption obligations. Bank loans are typically senior in the corporate capital structure of the borrower. Bank loans generally pay interest at variable rates that are periodically determined by reference to a base lending rate plus a premium. The base lending rates are generally the lending rate offered by one or more European banks, such as the London Interbank Offered Rate (“LIBOR”). Bank loans may involve foreign borrowers, and investments may be denominated in foreign currencies. While the Portfolios expect to invest in fully funded term loans, certain of the loans in which the Portfolios invest may include revolving loans, bridge loans, and delayed draw term loans. These investments are treated as fixed income securities for valuation purposes.
Bank loans may be acquired through either an assignment or a participation. In a participation, a Portfolio would have a contractual relationship with the lender, not with the borrower, and the lender would remain the official holder of the loan, with the participant owning the rights to the amount purchased. As such, the Portfolio would not only assume the credit risk of the borrower, but also that of the selling participant or other persons interpositioned between the Portfolio and the borrower. In contrast, in an assignment, a Portfolio would become a direct signatory to the loan and receive interest and principal payments directly from the administrative agent. The ON Risk Managed Balanced Portfolio and the ON Federated High Income Bond Portfolio were the only Portfolios to hold bank loans during the year ended December 31, 2019, and all bank loans were held via assignment.
154 | (continued) |
Ohio National Fund, Inc.
| ||
Notes to Financial Statements (Continued) | December 31, 2019 |
New Accounting Pronouncements and Regulations
In March 2017, the Financial Accounting Standards Board (the “FASB”) issued ASU 2017-08, “Premium Amortization on Purchased Callable Debt Securities”, which provides guidance related to the amortization period for certain purchased callable debt securities held at a premium. This ASU is effective for annual periods beginning after December 15, 2018, and interim periods within those annual periods. The Fund adopted the ASU and concluded there was no significant impact on the Fund’s financial statements.
In August 2018, the FASB issued ASU 2018-13 “Disclosure Framework – Changes to the Disclosure Requirements for Fair Value Measurement“, which modifies the disclosure requirements on fair value measurements included in Topic 820, Fair Value Measurement. This ASU is effective for annual periods beginning after December 15, 2019, and interim periods within those annual periods. The Fund has early-adopted the removal of the disclosure of the amount and reasons for transfers between Level 1 and Level 2 of the fair value hierarchy, as well as the policy for timing of transfers between levels. The Fund’s management is currently evaluating the impact of the other modifications of this ASU on the Fund’s financial statements.
Subsequent Events
At meetings held on November 14, 2019 and February 12, 2020, the Board, including a majority of the Directors who are not “interested persons” of the Fund, approved an amendment to the advisory agreement between ONI and the Fund for the purpose of adding five Portfolios to the Portfolios currently managed by the Adviser under the Advisory Agreement, as well as sub-advisory agreements related to the additional Portfolios. The dates of commencement for those Portfolios have yet to be determined. At the February 12, 2020 meeting, the Board, including a majority of the Directors who are not “interested persons” of the Fund, approved a merger of the ON International Equity Portfolio and the ON Foreign Portfolio. This merger will be effective on or about May 1, 2020.
Management has evaluated events and transactions through the date the financial statements were issued, for purposes of recognition or disclosure in these financial statements, and there are no other subsequent events to report.
(3) | Portfolio Reorganizations |
At meetings held on May 16, 2019 and June 19, 2019, the Board approved reorganizations pursuant to which the assets of each of the ON Equity and ON Capital Appreciation Portfolios, ON ICON Balanced Portfolio, and ON ClearBridge Small Cap Portfolio (the “Target Portfolios”) would be acquired, and each of the Portfolio’s liabilities would be assumed, by the Portfolio (the “Survivor Portfolio”) listed opposite the Target Portfolio(s) in the chart below in exchange for shares of the Survivor Portfolio. The reorganizations were consummated effective as of the end of business on August 23, 2019.
Target Portfolios | To be reorganized into | Survivor Portfolios | ||||
ON Equity, ON Capital Appreciation | -> | ON BlackRock Advantage Large Cap Core | ||||
ON ICON Balanced | -> | ON BlackRock Balanced Allocation | ||||
ON ClearBridge Small Cap | -> | ON BlackRock Advantage Small Cap Growth |
The combination of assets for each reorganization presented opportunities for operational efficiencies, which should translate to a decrease in the rate of future expenses borne by the shareholders of the Survivor Portfolios. It is anticipated that no gain or loss for federal income tax purposes will be recognized by Portfolio shareholders as a result of the reorganizations. All fees and expenses incurred directly as a result of the reorganizations were borne by ONI.
Pursuant to the reorganizations, the shares of each Target Portfolio were liquidated, and shares of each Survivor Portfolio were distributed to the Target Portfolio shareholders at the same aggregate dollar value as those of the Target Portfolio. The liquidation of Target Portfolio shares and distribution of Survivor Portfolio shares resulting from the reorganizations are summarized below:
155 | (continued) |
Ohio National Fund, Inc.
| ||
Notes to Financial Statements (Continued) | December 31, 2019 |
Target Portfolios prior to the reorganizations:
ON Capital | ON ICON | ON ClearBridge | ||||||||||||||
ON Equity | Appreciation | Balanced | Small Cap | |||||||||||||
Investment portfolio fair value | $ | 223,035,288 | $ | 89,148,174 | $ | 460,592,643 | $ | 113,322,189 | ||||||||
Investment portfolio cost | $ | 224,887,233 | $ | 91,889,534 | $ | 431,725,518 | $ | 112,226,496 | ||||||||
Unrealized portfolio appreciation (depreciation) | $ | (1,851,945 | ) | $ | (2,741,360 | ) | $ | 28,867,125 | $ | 1,095,693 | ||||||
Net assets | $ | 223,245,270 | $ | 89,333,028 | $ | 462,055,756 | $ | 113,327,536 | ||||||||
Net asset value (per share, extended) | $ | 35.7255 | $ | 39.8373 | $ | 21.4979 | $ | 54.6402 | ||||||||
Shares | 6,248,906 | 2,242,446 | 21,493,028 | 2,074,069 |
Survivor Portfolios prior to the reorganizations:
ON BlackRock | ON BlackRock | ON BlackRock | ||||||||||
Advantage | Balanced | Advantage | ||||||||||
Large Cap Core | Allocation | Small Cap Growth | ||||||||||
Investment portfolio fair value | $ | 94,021,654 | $ | 55,607,905 | $ | 78,723,068 | ||||||
Investment portfolio cost | $ | 92,769,119 | $ | 53,682,160 | $ | 81,346,417 | ||||||
Unrealized portfolio appreciation (depreciation) | $ | 1,252,535 | $ | 1,925,745 | $ | (2,623,349 | ) | |||||
Net assets | $ | 94,156,983 | $ | 55,776,643 | $ | 78,924,045 | ||||||
Net asset value (per share, extended) | $ | 29.3958 | $ | 32.9692 | $ | 27.6742 | ||||||
Shares | 3,203,074 | 1,691,779 | 2,851,900 | |||||||||
Survivor Portfolios subsequent to the reorganizations:
|
| |||||||||||
ON BlackRock | ON BlackRock | ON BlackRock | ||||||||||
Advantage | Balanced | Advantage | ||||||||||
Large Cap Core | Allocation | Small Cap Growth | ||||||||||
Investment portfolio fair value | $ | 406,205,116 | $ | 516,200,548 | $ | 192,045,257 | ||||||
Investment portfolio cost | $ | 409,545,886 | $ | 485,407,678 | $ | 193,572,913 | ||||||
Unrealized portfolio appreciaton (depreciation) | $ | (3,340,770 | ) | $ | 30,792,870 | $ | (1,527,656 | ) | ||||
Net assets | $ | 406,735,281 | $ | 517,832,399 | $ | 192,251,581 | ||||||
Net asset value (per share, extended) | $ | 29.3958 | $ | 32.9692 | $ | 27.6742 | ||||||
Shares | 13,836,508 | 15,706,525 | 6,946,962 |
Assuming that each transaction had been completed on January 1, 2019, the beginning of the annual reporting period for the Fund, the unaudited pro forma results of operations for each Survivor Portfolio for the year ended December 31, 2019, are as follows:
ON BlackRock Advantage Large Cap Core (Unaudited) | ||||
Net investment income | $ | 5,852,902 | ||
Net realized/unrealized gains | 110,009,665 | |||
|
| |||
Change in net assets resulting from operations | $ | 115,862,567 | ||
|
| |||
ON BlackRock Balanced Allocation (Unaudited) | ||||
Net investment income | $ | 9,956,157 | ||
Net realized/unrealized gains | 96,134,061 | |||
|
| |||
Change in net assets resulting from operations | $ | 106,090,218 | ||
|
| |||
ON BlackRock Advantage Small Cap Growth (Unaudited) | ||||
Net investment income | $ | 562,582 | ||
Net realized/unrealized gains | 45,383,940 | |||
|
| |||
Change in net assets resulting from operations | $ | 45,946,522 | ||
|
|
Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of the Target Portfolios that have been included in the Survivor Portfolios’ Statements of Operations since August 23, 2019.
156 | (continued) |
Ohio National Fund, Inc.
| ||
Notes to Financial Statements (Continued) | December 31, 2019 |
(4) | 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 Bond | ON Janus Henderson Venture | ON BlackRock Advantage Small Cap Growth1 | ||
0.60% of first $100 million | 0.80% of first $150 million | 0.78% 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 S&P MidCap 400®Index | ||
0.30% of next $1 billion | ON Janus Henderson Enterprise | 0.40% of first $100 million | ||
0.25% over $2 billion | 0.85% of first $100 million | 0.35% of next $150 million | ||
ON BlackRock Balanced Allocation1 | 0.80% of next $100 million | 0.33% over $250 million | ||
0.58% of first $100 million | 0.75% of next $300 million | ON BlackRock Advantage Large Cap Growth1 | ||
0.50% of next $150 million | 0.70% over $500 million | 0.66% of first $500 million | ||
0.45% of next $250 million | ON S&P 500®Index | 0.64% over $500 million | ||
0.40% of next $500 million | 0.40% of first $100 million | ON Risk Managed Balanced | ||
0.30% of next $1 billion | 0.35% of next $150 million | 0.90% of first $500 million | ||
0.25% over $2 billion | 0.33% over $250 million | 0.75% over $500 million | ||
ON International Equity3 | ON BlackRock Advantage Large Cap Value3 | ON Conservative Model | ||
0.72% of first $200 million | 0.67% of first $500 million | 0.40% of all net assets | ||
0.70% of next $800 million | 0.65% over $500 million | ON Moderately Conservative Model | ||
0.66% over $1 billion | ON Federated High Income Bond | 0.40% of all net assets | ||
ON Foreign3 | 0.75% of first $75 million | ON Balanced Model | ||
0.72% of first $200 million | 0.70% of next $75 million | 0.40% of all net assets | ||
0.70% of next $800 million | 0.65% of next $75 million | ON Moderate Growth Model | ||
0.66% over $1 billion | 0.60% over $225 million | 0.40% of all net assets | ||
ON Janus Henderson Forty2 | ONNasdaq-100® Index | ON Growth Model | ||
0.73% of first $100 million | 0.40% of first $100 million | 0.40% of all net assets | ||
0.68% of next $400 million | 0.35% of next $150 million | |||
0.63% over $500 million | 0.33% over $250 million | |||
ON BlackRock Advantage Large Cap Core1 | ||||
0.64% of first $500 million | ||||
0.62% over $500 million |
1 | At a meeting held on January 25, 2019, the Board, including a majority of the Directors who are not “interested persons” of the Fund, approved the replacement of thesub-adviser to the Portfolio. |
Effective February 1, 2019, BlackRock Investment Management, LLC (“BlackRock”) replaced the Portfolios’ previoussub-adviser, Suffolk Capital Management, LLC . In conjunction with the change insub-adviser, the names of the Portfolios were changed. Also, the Board approved a revision to the Portfolios’ advisory fee breakpoint schedule, effective February 1, 2019. Previously, the advisory fee breakpoints, based on each of the Portfolio’s daily net assets, respectively, were as follows:
ON BlackRock Balanced Allocation | ON BlackRock Advantage Large Cap Core | ON BlackRock Advantage Small Cap Growth | ON BlackRock Advantage Large Cap Growth | |||
0.60% of first $100 million | 0.80% of first $100 million | 0.85% of first $100 million | 0.80% of first $100 million | |||
0.50% of next $150 million | 0.70% of next $400 million | 0.75% of next $400 million | 0.70% of next $400 million | |||
0.45% of next $250 million | 0.65% over $500 million | 0.70% over $500 million | 0.65% over $500 million | |||
0.40% of next $500 million | ||||||
0.30% of next $1 billion | ||||||
0.25% over $2 billion |
2 | At a meeting held on May 16, 2019, the Board, including a majority of the Directors who are not “interested persons” of the Fund, approved a revision to the Portfolio’s advisory fee breakpoint schedule, effective June 1, 2019. Previously, the advisory fee breakpoints, based on the Portfolio’s daily net assets, were: |
157 | (continued) |
Ohio National Fund, Inc.
| ||
Notes to Financial Statements (Continued) | December 31, 2019 |
ON Janus Henderson Forty
0.80% of first $100 million
0.75% of next $400 million
0.70% over $500 million
3 | At a meeting held on November 14, 2019, the Board, including a majority of the Directors who are not “interested persons” of the Fund, approved the replacement of thesub-adviser to the ON International Equity, ON Foreign, and ON BlackRock Advantage Large Cap Value Portfolios. |
Effective December 7, 2019, BlackRock Investment Management LLC replaced the Portfolios’ previoussub-advisers, Lazard Asset Management LLC (ON International Equity Portfolio), Templeton Global Advisors Limited (ON Foreign Portfolio), and Federated Equity Management Company of Pennsylvania (ON Large Cap Value Portfolio), respectively. In conjunction with the change insub-adviser, the name of the ON Federated Strategic Dividend Value Portfolio was changed to the ON BlackRock Advantage Large Cap Value Portfolio. Also, the Board approved a revision to the Portfolios’ advisory fee breakpoint schedules, effective December 7, 2019. Previously, the advisory fee breakpoints, based on each of the Portfolio’s daily net assets, were:
ON International Equity | ON Foreign | ON BlackRock Advantage Large Cap Value | ||||
0.85% of first $100 million | 0.85% of first $100 million | 0.75% of first $100 million | ||||
0.80% of next $100 million | 0.80% of next $100 million | 0.70% of next $400 million | ||||
0.70% of next $800 million | 0.70% of next $800 million | 0.65% over $500 million | ||||
0.67% over $1 billion | 0.67% over $1 billion |
Under the Investment Advisory Agreement, the Fund authorizes ONI to retainsub-advisers for all Portfolios of the Fund, subject to the approval of the Board. ONI has entered intosub-advisory agreements with BlackRock Investment Management, LLC (“BlackRock”), Janus Capital Management LLC (“Janus”), Geode Capital Management, LLC (“Geode”), Federated Investment Management Company (“Federated”), and AnchorPath Financial, LLC (“AnchorPath”) to manage the investment of certain Portfolios’ assets, subject to the supervision of ONI.
Thesub-advisers receive from ONI asub-advisory fee calculated on the basis of each of the aforementioned Portfolios’ average daily net assets and the following current Board-approved schedule of annualized fee breakpoints.
ON Janus Henderson Forty (Janus)5 | ON Federated High Income Bond (Federated) | ON S&P MidCap 400®Index (Geode)7 | ||||
0.40% of first $100 million | 0.50% of first $30 million | 0.039% of first $100 million | ||||
0.35% of next $400 million | 0.40% of next $20 million | 0.038% of next $150 million | ||||
0.30% over $500 million | 0.30% of next $25 million | 0.037% of next $250 million | ||||
ON Janus Henderson Venture (Janus) | 0.25% over $75 million | 0.036% of next $500 million | ||||
0.55% of first $150 million | ON Nasdaq-100®Index (Geode)7 | 0.035% over $1 billion | ||||
0.45% over $150 million | 0.05% of first $100 million | ON Risk Managed Balanced (Janus) | ||||
ON Janus Henderson Enterprise (Janus) | 0.04% of next $150 million | 0.35% of first $500 million | ||||
0.60% of first $100 million | 0.03% over $250 million | 0.25% over $500 million | ||||
0.55% of next $100 million 0.50% over $200 million ON S&P 500®Index (Geode)6,7 0.01% of all net assets | ON BlackRock Advantage Small Cap Growth (BlackRock)4,6 | ON Risk Managed Balanced (AnchorPath) 0.20% of first $500 million 0.15% over $500 million | ||||
0.40% of first $250 million | ||||||
0.35% over $250 million | ||||||
4 | At a meeting held on January 25, 2019, the Board, including a majority of the Directors who are not “interested persons” of the Fund, approved the replacement of thesub-adviser to the Portfolio. |
Effective February 1, 2019, BlackRock replaced the Portfolios’ previoussub-adviser, Suffolk Capital Management, LLC. In conjunction with the change insub-adviser, the names of the Portfolios were changed. Previously, thesub-advisory fee breakpoints, based on each of the Portfolio’s daily net assets, respectively, were:
ON BlackRock Advantage Small Cap Growth
0.50% of first $100 Million
0.45% of next $400 Million
0.40% over $500 million
5 | At a meeting held on May 16, 2019, the Board, including a majority of the Directors who are not “interested persons” of the Fund, approved a revision to the Portfolio’ssub-advisory fee breakpoint schedule, effective on June 1, 2019. Previously, thesub-advisory fee breakpoints, based on the Portfolio’s daily net assets, were: |
158 | (continued) |
Ohio National Fund, Inc.
| ||
Notes to Financial Statements (Continued) | December 31, 2019 |
ON Janus Henderson Forty
0.55% of first $100 Million
0.50% of next $400 Million
0.45% over $500 million
6 | At a meeting held on August 22, 2019, the Board, including a majority of the Directors who are not “interested persons” of the Fund, approved a revision to the Portfolios’sub-advisory fee breakpoint schedule, effective on September 1, 2019. Previously, thesub-advisory fee breakpoints, based on each of the Portfolio’s daily net assets, were: |
ON BlackRock Advantage | ||
ON S&P 500®Index | Small Cap Growth | |
0.025% of first $100 million | 0.45% of all net assets | |
0.020% of next $150 million 0.015% over $250 million |
7 | Thesub-advisory fees for the three Portfoliossub-advised by Geode could be impacted by an agreed-upon minimum aggregate per annum fee of $150,000. For the year ended December 31, 2019, the minimum aggregate fee had no impact on thesub-advisory fees that were calculated based on the breakpoint schedule indicated above. |
Effective December 7, 2019, BlackRock receives from ONI asub-advisory fee on the aggregate average daily net assets of the ON International Equity Portfolio8 and the ON Foreign Portfolio8. The fee for the Portfolios is calculated based on 0.32% of the first $200 million in aggregate daily net assets, and 0.30% for aggregate daily net assets over $200 million.
8 | At a meeting held on November 14, 2019, the Board, including a majority of the Directors who are not “interested persons” of the Fund, approved the replacement of thesub-adviser to the Portfolio. |
Effective December 7, 2019, BlackRock Investment Management, LLC replaced the Portfolios’ previoussub-advisers, Lazard Asset Management, LLC (ON International Equity Portfolio) and Templeton Global Advisors Limited (ON Foreign Portfolio). In conjunction with the change insub-adviser, the Board approved a revision to thesub-advisory fee schedules shown above. Previously, thesub-advisory fee breakpoints, based on the Portfolio’s daily net assets, were:
ON International Equity | ON Foreign | |
0.40% of first $500 million | 0.43% of first $500 million | |
0.35% of next $500 million | 0.38% of next $500 million | |
0.32% over $1 billion | 0.35% over $1 billion |
Effective December 7, 2019, BlackRock also receives from ONI asub-advisory fee on the aggregate average daily net assets of the ON BlackRock Advantage Large Cap Core Portfolio9,10, ON BlackRock Advantage Large Cap Growth Portfolio9,10, ON BlackRock Advantage Large Cap Value Portfolio10, and the equity sleeve of the ON BlackRock Balanced Allocation Portfoliosub-advised by BlackRock9,10 (collectively, the “BlackRock Large Cap Portfolios”). The fee for the Portfolios is calculated based on 0.20% of the first $500 million in aggregate daily net assets, and 0.18% for aggregate daily net assets over $500 million.
9 | At a meeting held on January 25, 2019, the Board, including a majority of the Directors who are not “interested persons” of the Fund, approved the replacement of thesub-adviser to the Portfolio. |
Effective February 1, 2019, BlackRock replaced the Portfolios’ previoussub-adviser, Suffolk Capital Management, LLC. In conjunction with the change insub-adviser, the names of the Portfolios were changed. Previously, thesub-advisory fee breakpoints, based on each of the Portfolio’s daily net assets, respectively, were:
ON BlackRock Balanced Allocation | ON BlackRock Advantage Large Cap Core | ON BlackRock Advantage Large Cap Growth | ||
0.30% of first $100 million | 0.45% of first $100 million | 0.45% of first $100 million | ||
0.25% of next $150 million | 0.40% of next $400 million | 0.40% of next $400 million | ||
0.225% of next $250 million | 0.35% over $500 million | 0.35% over $500 million | ||
0.20% of next $500 million | ||||
0.15% of next $1 billion | ||||
0.125% over $2 billion |
10 | At a meeting held on November 14, 2019, the Board, including a majority of the Directors who are not “interested persons” of the Fund, approved the replacement of thesub-adviser to the ON BlackRock Large Cap Value Portfolio. |
Effective December 7, 2019, BlackRock replaced the Portfolio’s previoussub-adviser, Federated Equity Management Company of Pennsylvania. In conjunction with the change insub-adviser, the name of the Portfolio was changed from ON Federated Strategic Value Dividend Portfolio to ON BlackRock Large Cap Value
159 | (continued) |
Ohio National Fund, Inc.
| ||
Notes to Financial Statements (Continued) | December 31, 2019 |
Portfolio. The Board approved amendments to thesub-advisory agreements for the BlackRock Large Cap Portfolios, also effective December 7, 2019. Prior to the amendment, the BlackRock Large Cap Portfolios’sub-advisory fee breakpoint schedules, based on the daily net assets of each Portfolio, were:
ON BlackRock Balanced Allocation | ||||||
(Equity Sleevesub-advised by BlackRock) | ON BlackRock Advantage Large Cap Core | ON BlackRock Advantage Large Cap Growth | ON BlackRock Advantage Large Cap Value | |||
0.20% of first $500 million | 0.20% of first $500 million | 0.20% of first $500 million | 0.50% of first $35 million | |||
0.18% over $500 million | 0.18% over $500 million | 0.18% over $500 million | 0.35% of next $65 million | |||
0.25% over $100 million |
Pursuant to a service agreement among ONI, ONLIC, and the Fund, ONLIC has agreed to provide personnel and facilities to ONI on a cost-reimbursement basis. These personnel members include officers of the Fund. ONLIC also provides clerical and administrative services and such supplies and equipment as may be reasonably required in order for ONI to properly perform its advisory function pursuant to the Investment Advisory Agreement. ONLIC further performs duties to fulfill the transfer agent function on behalf of the Fund. Performance of these duties by ONLIC and availability of facilities, personnel, supplies, and equipment does not represent an expense to the Fund in excess of the advisory fees paid to ONI.
Pursuant to the Investment Advisory Agreement between ONI and the Fund, if the total expenses applicable to any Portfolio during any calendar quarter (excluding taxes, brokerage commissions, interest expense and management fees) exceed 1%, on an annualized basis, evaluated quarterly, of such Portfolio’s average daily net asset value, ONI will reimburse the Portfolio for such excess expenses. There were no expense reimbursements associated with this agreement during the year ended December 31, 2019.
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 Rule12b-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 certain percentages of the average daily net assets (the “Expense Limitation Agreement.”).
For the period from May 1, 2019 to April 30, 2020, the applicable percentages of the average daily net assets of the five ON Model Portfolios are as follows:
Portfolio | ||||||
ON Conservative Model | 0.92 | % | ||||
ON Moderately Conservative Model | 1.00 | % | ||||
ON Balanced Model | 1.00 | % | ||||
ON Moderate Growth Model | 1.07 | % | ||||
ON Growth Model | 1.14 | % |
For the period from May 1, 2018 to April 30, 2019, the applicable percentages of the average daily net assets of the five ON Model Portfolios were as follows:
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 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, 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 through April 30, 2020. The Expense Limitation Agreement may only be terminated with the consent of the Board.
160 | (continued) |
Ohio National Fund, Inc.
| ||
Notes to Financial Statements (Continued) | December 31, 2019 |
Pursuant to the current Expense Limitation Agreement, as well as the prior agreements for the period May 1, 2018 to April 30, 2019 and March 1, 2017 to April 30, 2018, ONI reimbursed the expenses of the ON Model Portfolios as follows:
Portfolio | Year Ended December 31, 2019 | Year Ended December 31, 2018 | Period From March 1, 2017 (inception) to December 31, 2017 | ||||||||||||
ON Conservative Model | $ | 220,103 | $ | 226,418 | $ | 225,670 | |||||||||
ON Moderately Conservative Model | 261,201 | 470,818 | 546,454 | ||||||||||||
ON Balanced Model | 778,985 | 1,505,609 | 2,175,981 | ||||||||||||
ON Moderate Growth Model | 253,374 | 1,692,796 | 3,208,708 | ||||||||||||
ON Growth Model | 64,344 | 638,268 | 787,420 |
Under the terms of the current Expense Limitation Agreement and prior expense limitation agreements, ONI is entitled to recover expenses waived or reimbursed for a period of up to three years from the date on which ONI reimbursed excess expenses. No recoupment will occur unless a Portfolio’s operating expenses are below the expense limitation amount in effect at the time of the waiver or reimbursement and the Portfolio’s current expense limitation. For the year ended December 31, 2019, ONI recouped reimbursed expenses from the ON Moderate Growth and ON Growth Model Portfolios amounting to $431,342 and $118,816, respectively. These recouped expenses were related to expenses reimbursed by ONI during the period from May 1, 2018 to April 30, 2019. Amounts of expenses, previously reimbursed by ONI under the Expense Limitation Agreement and prior agreements, that are available for future recoupments at December 31, 2019 are as follows:
Expires April 30, 2021 | Expires April 30, 2022 | Expires April 30, 2023 | Total | |||||||||||||||||
ON Conservative Model | $ | 307,130 | $ | 212,490 | $ | 152,571 | $ | 672,191 | ||||||||||||
ON Moderately Conservative Model | 752,636 | 376,793 | 149,044 | 1,278,473 | ||||||||||||||||
ON Balanced Model | 3,025,712 | 952,043 | 482,820 | 4,460,575 | ||||||||||||||||
ON Moderate Growth Model | 4,497,363 | 226,173 | — | 4,723,536 | ||||||||||||||||
ON Growth Model | 1,110,925 | 260,291 | — | 1,371,216 |
There were no recorded liabilities related to the Expense Limitation Agreement at December 31, 2019.
The Investment Advisory Agreement allows for a portion of the expenses related to the Fund’s Chief Compliance Officer and staff to be incurred by the Fund and paid from the Fund to the Fund’s adviser, ONI. Pursuant to the service agreement among ONI, ONLIC, and the Fund, ONLIC has provided the personnel, services, and equipment necessary for the execution of the Fund’s regulation-mandated compliance function and ONI has reimbursed ONLIC for costs allocated to the Fund. For the year ended December 31, 2019, the Fund incurred compliance expenses totaling $253,000, which are allocated to the Portfolios by equal dollar amounts. Expenses incurred by the Portfolios are reflected on the Statements of Operations as “Compliance expense”.
Each director of the Board is compensated based on an annual retainer fee of $155,000, paid quarterly. The Board chair receives an additional quarterly retainer fee of $3,750, and the Audit Committee chair receives an additional quarterly retainer fee of $1,250; each paid quarterly. For the year ended December 31, 2019, directors’ compensation and reimbursement of director expenses by the Portfolios of the Fund totaled $818,916.
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 foreignsub-custodian network that is subject to oversight and periodic approval of the Board.
161 | (continued) |
Ohio National Fund, Inc.
| ||
Notes to Financial Statements (Continued) | December 31, 2019 |
(5) | Capital Share Transactions |
Capital share transactions for the year ended December 31, 2019, and the year ended December 31, 2018, respectively, were as follows:
ON Bond | ON BlackRock Balanced Allocation | ON International Equity | ||||||||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||||||||
December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||||||||
2019 | 2018 | 2019 | 2018 | 2019 | 2018 | |||||||||||||||||||||||||
Capital shares issued on sales | 3,240,589 | 2,259,416 | 545,146 | 333,499 | 974,536 | 34,482,673 | ||||||||||||||||||||||||
Capital shares issued in reorganizations | — | — | 14,014,746 | — | — | — | ||||||||||||||||||||||||
Capital shares issued on reinvested distributions | 329,020 | — | 763,025 | — | 500,682 | — | ||||||||||||||||||||||||
Capital shares redeemed | (3,498,040 | ) | (5,188,262 | ) | (1,351,971 | ) | (508,020 | ) | (10,613,337 | ) | (5,279,130 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net increase/(decrease) | 71,569 | (2,928,846 | ) | 13,970,946 | (174,521 | ) | (9,138,119 | ) | 29,203,543 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
ON Foreign | ON Janus Henderson Forty | ON Janus Henderson Venture | ||||||||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||||||||
December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||||||||
2019 | 2018 | 2019 | 2018 | 2019 | 2018 | |||||||||||||||||||||||||
Capital shares issued on sales | 116,471 | 218,991 | 2,255,356 | 5,693,993 | 381,735 | 807,578 | ||||||||||||||||||||||||
Capital shares issued in reorganizations | — | — | — | — | — | — | ||||||||||||||||||||||||
Capital shares issued on reinvested distributions | 25,268 | — | 598,807 | — | 737,419 | — | ||||||||||||||||||||||||
Capital shares redeemed | (520,609 | ) | (653,067 | ) | (2,417,355 | ) | (1,615,798 | ) | (2,797,597 | ) | (2,464,805 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net increase/(decrease) | (378,870 | ) | (434,076 | ) | 436,808 | 4,078,195 | (1,678,443 | ) | (1,657,227 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
ON Janus Henderson Enterprise | ON S&P 500®Index | ON BlackRock Advantage Large Cap Value | ||||||||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||||||||
December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||||||||
2019 | 2018 | 2019 | 2018 | 2019 | 2018 | |||||||||||||||||||||||||
Capital shares issued on sales | 126,984 | 1,370,764 | 3,326,047 | 11,443,848 | 1,018,596 | 1,908,206 | ||||||||||||||||||||||||
Capital shares issued in reorganizations | — | — | — | — | — | — | ||||||||||||||||||||||||
Capital shares issued on reinvested distributions | 111,426 | — | 3,497,765 | — | 671,969 | — | ||||||||||||||||||||||||
Capital shares redeemed | (717,906 | ) | (640,902 | ) | (10,242,233 | ) | (10,664,652 | ) | (4,249,469 | ) | (15,617,523 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net increase/(decrease) | (479,496 | ) | 729,862 | (3,418,421 | ) | 779,196 | (2,558,904 | ) | (13,709,317 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
ON Federated High Income Bond | ONNasdaq-100®Index | ON BlackRock Advantage Large Cap Core | ||||||||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||||||||
December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||||||||
2019 | 2018 | 2019 | 2018 | 2019 | 2018 | |||||||||||||||||||||||||
Capital shares issued on sales | 881,649 | 1,170,318 | 1,678,291 | 11,099,181 | 234,322 | 829,082 | ||||||||||||||||||||||||
Capital shares issued in reorganizations | — | — | — | — | 10,633,434 | — | ||||||||||||||||||||||||
Capital shares issued on reinvested distributions | 405,082 | — | 2,522,274 | — | 67,855 | — | ||||||||||||||||||||||||
Capital shares redeemed | (2,471,563 | ) | (6,860,078 | ) | (6,137,710 | ) | (6,796,455 | ) | (4,133,242 | ) | (1,966,097 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net increase/(decrease) | (1,184,832 | ) | (5,689,760 | ) | (1,937,145 | ) | 4,302,726 | 6,802,369 | (1,137,015 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
162 | (continued) |
Ohio National Fund, Inc.
| ||
Notes to Financial Statements (Continued) | December 31, 2019 |
ON BlackRock Advantage Small Cap Growth | ON S&P MidCap 400® Index | ON BlackRock Advantage Large Cap Growth | ||||||||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||||||||
December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||||||||
2019 | 2018 | 2019 | 2018 | 2019 | 2018 | |||||||||||||||||||||||||
Capital shares issued on sales | 2,344,042 | 232,264 | 8,405,131 | 16,253,134 | 1,070,137 | 682,377 | ||||||||||||||||||||||||
Capital shares issued in reorganizations | 4,095,062 | — | — | — | — | — | ||||||||||||||||||||||||
Capital shares issued on reinvested distributions | 51,935 | — | 199,776 | — | 147,937 | — | ||||||||||||||||||||||||
Capital shares redeemed | (1,048,823 | ) | (1,433,520 | ) | (5,020,228 | ) | (1,498,050 | ) | (1,355,693 | ) | (1,728,342 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net increase/(decrease) | 5,442,216 | (1,201,256 | ) | 3,584,679 | 14,755,084 | (137,619 | ) | (1,045,965 | ) | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
ON Risk Managed Balanced | ON Conservative Model | ON Moderately Conservative Model | ||||||||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||||||||
December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||||||||
2019 | 2018 | 2019 | 2018 | 2019 | 2018 | |||||||||||||||||||||||||
Capital shares issued on sales | 3,173,323 | 5,049,116 | 1,134,157 | 1,569,020 | 1,436,394 | 1,634,214 | ||||||||||||||||||||||||
Capital shares issued in reorganizations | — | — | — | — | — | — | ||||||||||||||||||||||||
Capital shares issued on reinvested distributions | 2,279,753 | — | 201,990 | — | 658,784 | — | ||||||||||||||||||||||||
Capital shares redeemed | (5,091,874 | ) | (4,626,549 | ) | (2,374,963 | ) | (3,300,032 | ) | (5,963,369 | ) | (8,637,861 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net increase/(decrease) | 361,202 | 422,567 | (1,038,816 | ) | (1,731,012 | ) | (3,868,191 | ) | (7,003,647 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
ON Balanced Model | ON Moderate Growth Model | ON Growth Model | ||||||||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||||||||
December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||||||||
2019 | 2018 | 2019 | 2018 | 2019 | 2018 | |||||||||||||||||||||||||
Capital shares issued on sales | 1,956,344 | 3,043,170 | 2,228,980 | 5,659,528 | 930,126 | 3,385,893 | ||||||||||||||||||||||||
Capital shares issued in reorganizations | — | — | — | — | — | — | ||||||||||||||||||||||||
Capital shares issued on reinvested distributions | 3,505,121 | — | 9,136,471 | — | 1,548,287 | — | ||||||||||||||||||||||||
Capital shares redeemed | (23,785,531 | ) | (32,518,291 | ) | (38,709,593 | ) | (49,240,271 | ) | (9,143,969 | ) | (9,165,822 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||
Net increase/(decrease) | (18,324,066 | ) | (29,475,121 | ) | (27,344,142 | ) | (43,580,743 | ) | (6,665,556 | ) | (5,779,929 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
163 | (continued) |
Ohio National Fund, Inc.
| ||
Notes to Financial Statements (Continued) | December 31, 2019 |
(6) | Investment Transactions |
Cost of purchases and proceeds from sales of investments (excluding short-term and government securities) for the year ended December 31, 2019 were as follows:
ON Bond | ON BlackRock Balanced Allocation | ON International Equity | ON Foreign | ON Janus Henderson Forty | |||||||||||||||||||||
Cost of purchases | $ | 104,725,022 | $ | 533,932,188 | $ | 485,062,012 | $ | 55,455,126 | $ | 98,582,523 | |||||||||||||||
Proceeds from sales | $ | 116,414,111 | $ | 537,677,651 | $ | 603,191,161 | $ | 65,332,938 | $ | 107,893,346 | |||||||||||||||
ON Janus Henderson Venture | ON Janus Henderson Enterprise | ON S&P 500® Index | ON BlackRock Advantage Large Cap Value | ON Federated High Income Bond | |||||||||||||||||||||
Cost of purchases | $ | 29,218,244 | $ | 10,671,169 | $ | 76,132,820 | $ | 396,469,010 | $ | 44,792,824 | |||||||||||||||
Proceeds from sales | $ | 121,300,490 | $ | 37,036,075 | $ | 271,516,266 | $ | 440,017,530 | $ | 67,960,025 | |||||||||||||||
ON Nasdaq-100® Index | ON BlackRock Advantage Large Cap Core | ON BlackRock Advantage Small Cap Growth | ON S&P MidCap 400® Index | ON BlackRock Advantage Large Cap Growth | |||||||||||||||||||||
Cost of purchases | $ | 25,805,527 | $ | 488,965,178 | $ | 248,336,124 | $ | 201,717,585 | $ | 221,479,983 | |||||||||||||||
Proceeds from sales | $ | 107,350,815 | $ | 579,962,304 | $ | 204,978,836 | $ | 140,409,544 | $ | 226,446,756 | |||||||||||||||
ON Risk Managed Balanced | ON Conservative Model | ON Moderately Conservative Model | ON Balanced Model | ON Moderate Growth Model | |||||||||||||||||||||
Cost of purchases | $ | 199,415,613 | $ | 17,410,066 | $ | 40,727,175 | $ | 249,253,667 | $ | 391,028,089 | |||||||||||||||
Proceeds from sales | $ | 201,723,385 | $ | 27,672,478 | $ | 79,882,447 | $ | 440,364,259 | $ | 701,843,168 |
ON Growth Model | |||||
Cost of purchases | $ | 76,036,301 | |||
Proceeds from sales | $ | 145,856,463 |
Cost of purchases and proceeds from sales of government securities for the year ended December 31, 2019 were as follows:
ON Bond | ON BlackRock Balanced Allocation | ON Risk Managed Balanced | |||||||||||||
Cost of purchases | $ | 48,915,098 | $ | 86,211,880 | $ | 137,621,782 | |||||||||
Proceeds from sales | $ | 37,755,332 | $ | 85,567,650 | $ | 159,919,764 |
(7) | Financial Instruments |
The Portfolios may trade in financial instruments withoff-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
164 | (continued) |
Ohio National Fund, Inc.
| ||
Notes to Financial Statements (Continued) | December 31, 2019 |
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 subsequentlymarked-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 subsequentlymarked-to-market to reflect the current market value of the option. If an option expires on the stipulated expiration date or if the Portfolio enters into a closing sale transaction, a gain or loss is realized. If a Portfolio exercises a call option on an individual security, the cost of the security acquired is increased by the premium paid for the call. If the Portfolio exercises a put option on an individual security, a gain or loss is realized from the sale of the underlying security, and the proceeds from such a sale are decreased by the premium originally paid. If the Portfolio exercises a put option on a security index, a gain or loss is realized as determined by the premium originally paid, the exercise price and the market value of the index.
The ON Risk Managed Balanced Portfolio purchased call and put options associated with the S&P 500 Index or related exchange traded fund during the year ended December 31, 2019. 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 year ended December 31, 2019 were: Cost of purchases: $25.8 million, Proceeds from sales: $22.1 million.
Written and purchased options arenon-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.
165 | (continued) |
Ohio National Fund, Inc.
| ||
Notes to Financial Statements (Continued) | December 31, 2019 |
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 thesub-advisers will attempt to minimize this risk by carefully monitoring the creditworthiness of the FCMs with which the Portfolios do business. In addition to the margin restrictions discussed above, transactions in futures contracts and options on futures contracts may involve the segregation of funds pursuant to requirements imposed by the SEC. Under those requirements, where a Portfolio has a long position in a futures contract or sells a put option, it will be required to establish a segregated account (not with an FCM or broker) containing cash or certain liquid assets equal to the purchase price of the contract or the exercise price of the option (less any margin on deposit). For a short position in futures contacts held by a Portfolio or call options sold by a Portfolio, those requirements mandate the establishment of a segregated account (not with a futures commission merchant or broker) containing cash or certain liquid assets that, when added to the amounts deposited as margin, equal the market value of the instruments underlying the futures contracts or call options. However, segregation of assets is not required if a Portfolio “covers” its position.
Portions of certain Portfolios’ securities and cash holdings, as noted on those Portfolios’ Schedules of Investments, were pledged at December 31, 2019 as collateral for the Portfolios’ futures contracts. The futures contracts, except those held by the ON Risk Managed Balanced Portfolio, were used 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. For the ON Risk Managed Balanced Portfolio, these futures contracts were used by the Portfolio to provide for the Portfolio’s stated risk management strategy. There were other futures contracts executed and closed in the Portfolios during the year ended December 31, 2019. Those contracts were executed for similar purposes as the contracts outstanding at December 31, 2019. For the year ended December 31, 2019, the notional values of futures contracts opened and closed prior to contract settlement date by the Portfolios were as follows:
Futures Contracts | Futures Contracts | |||||||||||
Portfolio | Collateral Pledged | Opened (in millions) | Closed (in millions) | |||||||||
ON BlackRock Balanced Allocation | Portions of cash holdings | $ | 33.3 | $ | 29.1 | |||||||
ON International Equity | Portions of cash holdings | 82.6 | 73.0 | |||||||||
ON Foreign | Portions of cash holdings | 14.5 | 13.5 | |||||||||
ON S&P 500®Index | Portions of cash holdings | 238.8 | 243.3 | |||||||||
ON BlackRock Advantage Large Cap Value | Portions of cash holdings | 30.3 | 24.9 | |||||||||
ONNasdaq-100®Index | Portions of cash holdings | 70.8 | 67.3 | |||||||||
ON BlackRock Advantage Large Cap Core | Portions of cash holdings | 61.3 | 56.4 | |||||||||
ON BlackRock Advantage Small Cap Growth | Portions of cash holdings | 42.0 | 38.8 | |||||||||
ON S&P MidCap 400®Index | Portions of cash holdings | 68.3 | 63.9 | |||||||||
ON BlackRock Advantage Large Cap Growth | Portions of cash holdings | 25.8 | 24.7 | |||||||||
ON Risk Managed Balanced | Portions of securities and cash holdings | 1,442.6 | 1,395.3 |
166 | (continued) |
Ohio National Fund, Inc.
| ||
Notes to Financial Statements (Continued) | December 31, 2019 |
The values and financial statement effects of derivative instruments that were not accounted for as hedging instruments as of, and for, the year ended December 31, 2019, were as follows:
Portfolio | Instrument | Primary Risk Type | Value- Asset Derivatives | Value- Liability Derivatives | Location on Statements of Assets and Liabilities | |||||||||
ON BlackRock Balanced Allocation | Futures contracts | Equity price | $ | 4,200,430 | $ | 4,138,269 | (1) | |||||||
|
|
|
| |||||||||||
ON International Equity | Futures contracts | Equity price | 9,677,657 | 9,704,190 | (1) | |||||||||
|
|
|
| |||||||||||
ON Foreign | Futures contracts | Equity price | 990,205 | 994,073 | (1) | |||||||||
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|
| |||||||||||
ON S&P 500®Index | Futures contracts | Equity price | 4,685,095 | 4,633,748 | (1) | |||||||||
|
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|
| |||||||||||
ON BlackRock Advantage Large Cap Value | Futures contracts | Equity price | 5,492,870 | 5,404,749 | (1) | |||||||||
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|
| |||||||||||
ONNasdaq-100®Index | Futures contracts | Equity price | 4,551,170 | 4,470,877 | (1) | |||||||||
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|
| |||||||||||
ON BlackRock Advantage Large Cap Core | Futures contracts | Equity price | 5,008,205 | 4,929,016 | (1) | |||||||||
|
|
|
| |||||||||||
ON BlackRock Advantage Small Cap Growth | Futures contracts | Equity price | 3,257,670 | 3,229,798 | (1) | |||||||||
|
|
|
| |||||||||||
ON S&P MidCap 400®Index | Futures contracts | Equity price | 4,749,040 | 4,702,717 | (1) | |||||||||
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|
|
| |||||||||||
ON BlackRock Advantage Large Cap Growth | Futures contracts | Equity price | 1,130,885 | 1,112,851 | (1) | |||||||||
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|
| |||||||||||
ON Risk Managed Balanced | Futures contracts | Equity price | 269,330,654 | 271,127,922 | (1) | |||||||||
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|
| |||||||||||
Purchased options | Equity price | 28,802,160 | — | (2) | ||||||||||
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|
|
(1) | Total distributable earnings. 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. Each Portfolio’s Schedule of Open Futures Contracts details the values by futures contract type. |
(2) | Investments in securities of unaffiliated issuers, at value. |
Portfolio | Instrument | Primary 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 BlackRock Balanced Allocation | Futures contracts | Equity price | $ | 634,273 | $ | 62,161 | (1),(2) | |||||||
|
|
|
| |||||||||||
ON International Equity | Futures contracts | Equity price | 312,615 | (26,533 | ) | (1),(2) | ||||||||
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|
|
| |||||||||||
ON Foreign | Futures contracts | Equity price | 47,205 | (3,868 | ) | (1),(2) | ||||||||
|
|
|
| |||||||||||
ON S&P 500®Index | Futures contracts | Equity price | 1,734,821 | 11,247 | (1),(2) | |||||||||
|
|
|
| |||||||||||
ON BlackRock Advantage Large Cap Value | Futures contracts | Equity price | (4,867 | ) | 88,121 | (1),(2) | ||||||||
|
|
|
| |||||||||||
ONNasdaq-100®Index | Futures contracts | Equity price | 765,032 | 73,642 | (1),(2) | |||||||||
|
|
|
| |||||||||||
ON BlackRock Advantage Large Cap Core | Futures contracts | Equity price | 706,311 | 79,189 | (1),(2) | |||||||||
|
|
|
| |||||||||||
ON BlackRock Advantage Small Cap Growth | Futures contracts | Equity price | 58,297 | 27,872 | (1),(2) | |||||||||
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|
|
| |||||||||||
ON S&P MidCap 400®Index | Futures contracts | Equity price | 364,584 | 48,239 | (1),(2) | |||||||||
|
|
|
| |||||||||||
ON BlackRock Advantage Large Cap Growth | Futures contracts | Equity price | 186,618 | 18,034 | (1),(2) | |||||||||
|
|
|
| |||||||||||
ON Risk Managed Balanced | Futures contracts | Equity price | 29,204,407 | (4,554,030 | ) | (1),(2) | ||||||||
|
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|
| |||||||||||
Purchased options | Equity price | (3,474,325 | ) | 3,082,671 | (3),(4) | |||||||||
|
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|
|
|
(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. |
167 | (continued) |
Ohio National Fund, Inc.
| ||
Notes to Financial Statements (Continued) | December 31, 2019 |
The Portfolios may enter into International Swaps and Derivatives Association, Inc. Master Agreements (“ISDA Master Agreement”) or similar agreements with their derivative contract counterparties whereby the Portfolios may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables and create one single net payment. For financial reporting purposes, the Portfolios offset derivative assets and liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities. At December 31, 2019, there were no outstanding derivative transactions subject to netting arrangements.
(8) | Federal Income Tax Information |
The following information is presented on a federal income tax basis. Differences between amounts for financial statements and federal income tax purposes are primarily due to timing and character differences in recognizing certain gains and losses on investment transactions. Permanent differences between financial statement and federal income tax reporting are reclassified within the capital accounts based on their federal income tax treatment. Temporary differences do not require reclassification. Reclassifications related to permanent differences relate principally to consent dividends, foreign currency gains and losses, net investment losses, and distributions from real estate investment trusts and closed end mutual funds.
At December 31, 2019, the components of accumulated earnings (deficit) on a tax basis were as follows:
Portfolio | Undistributed Ordinary Income | Undistributed Long-Term Capital Gains (Losses) | Accumulated Earnings | Accumulated Capital and Other Losses | Unrealized Appreciation (Depreciation)(1) | Total Accumulated Earnings (Deficit) | ||||||||||||||||||
ON Bond | $ | 1,955,669 | $ | — | $ | 1,955,669 | $ | (454,301 | ) | $ | 13,428,631 | $ | 14,929,999 | |||||||||||
ON BlackRock Balanced Allocation | 2,036,182 | 1,314,177 | 3,350,359 | — | 46,056,099 | 49,406,458 | ||||||||||||||||||
ON International Equity | 2,738,370 | — | 2,738,370 | (10,784,804 | ) | 11,735,115 | 3,688,681 | |||||||||||||||||
ON Foreign. | 230,804 | — | 230,804 | (5,405,906 | ) | 548,658 | (4,626,444 | ) | ||||||||||||||||
ON Janus Henderson Forty | 678,796 | 3,725,197 | 4,403,993 | — | 36,858,094 | 41,262,087 | ||||||||||||||||||
ON Janus Henderson Venture | — | 3,821,473 | 3,821,473 | — | 44,202,559 | 48,024,032 | ||||||||||||||||||
ON Janus Henderson Enterprise | 41,437 | 1,359,869 | 1,401,306 | — | 18,033,382 | 19,434,688 | ||||||||||||||||||
ON S&P 500®Index | 4,999,583 | 11,761,960 | 16,761,543 | — | 289,900,329 | 306,661,872 | ||||||||||||||||||
ON BlackRock Advantage Large Cap Value | 3,498,339 | 1,114,722 | 4,613,061 | — | 4,208,469 | 8,821,530 | ||||||||||||||||||
ON Federated High Income Bond | 2,647,672 | — | 2,647,672 | (5,780,675 | ) | 551,061 | (2,581,942 | ) | ||||||||||||||||
ONNasdaq-100®Index | 848,167 | 16,178,839 | 17,027,006 | — | 90,799,649 | 107,826,655 | ||||||||||||||||||
ON BlackRock Advantage Large Cap Core | 639,058 | — | 639,058 | (1,243,925 | ) | 40,319,245 | 39,714,378 | |||||||||||||||||
ON BlackRock Advantage Small Cap Growth | 494,471 | 1,780,156 | 2,274,627 | — | 19,141,703 | 21,416,330 | ||||||||||||||||||
ON S&P MidCap 400®Index | 716,555 | 1,373,402 | 2,089,957 | — | 28,142,904 | 30,232,861 | ||||||||||||||||||
ON BlackRock Advantage Large Cap Growth | 898,609 | 719,721 | 1,618,330 | — | 15,037,224 | 16,655,554 | ||||||||||||||||||
ON Risk Managed Balanced | 5,239,478 | 5,577,480 | 10,816,958 | — | 61,852,945 | 72,669,903 | ||||||||||||||||||
ON Conservative Model | 648,710 | 114,231 | 762,941 | — | 847,803 | 1,610,744 | ||||||||||||||||||
ON Moderately Conservative Model | — | — | — | — | 2,392,985 | 2,392,985 | ||||||||||||||||||
ON Balanced Model | — | — | — | (3,748,979 | ) | 16,820,336 | 13,071,357 | |||||||||||||||||
ON Moderate Growth Model | — | — | — | — | 8,233,771 | 8,233,771 | ||||||||||||||||||
ON Growth Model | — | — | — | — | (1,595,959 | ) | (1,595,959 | ) | ||||||||||||||||
(1) | The differences between book-basis andtax-basis unrealized appreciation/(depreciation) are attributed primarily to tax deferral of losses on wash sales and the realization for tax purposes of unrealized gains/(losses) on certain instruments. |
For federal income tax purposes, the following Portfolios had capital loss carryforwards as of December 31, 2019 that are available to offset future realized gains, if any:
Portfolio | Total Loss Carryforward | No Expiration Short Term | No Expiration Long Term | |||||||||
ON Bond | $ | 454,301 | $ | 454,301 | $ | — | ||||||
ON International Equity | 10,784,804 | 10,784,804 | — | |||||||||
ON Foreign | 5,405,906 | — | 5,405,906 | |||||||||
ON Federated High Income Bond | 5,780,675 | 70,469 | 5,710,206 | |||||||||
ON BlackRock Advantage Large Cap Core | 1,243,925 | 1,243,925 | — | |||||||||
ON Balanced Model | 3,748,979 | 3,748,979 | — |
168 | (continued) |
Ohio National Fund, Inc.
| ||
Notes to Financial Statements (Continued) | December 31, 2019 |
The cost basis for federal income tax purposes may differ from the cost basis for financial reporting purposes. The table below details the unrealized appreciation (depreciation) and aggregate cost of investments at December 31, 2019 for federal income tax purposes.
ON Bond | ON BlackRock Balanced Allocation | ON International Equity | ON Foreign | ON Janus Henderson Forty | ON Janus Henderson Venture | |||||||||||||||||||||||||
Gross unrealized: | ||||||||||||||||||||||||||||||
Appreciation | $ | 13,749,925 | $ | 49,722,697 | $ | 20,127,024 | $ | 1,543,764 | $ | 38,054,458 | $ | 48,351,980 | ||||||||||||||||||
Depreciation | (321,294 | ) | (3,666,601 | ) | (8,439,174 | ) | (1,001,027 | ) | (1,196,364 | ) | (4,149,427 | ) | ||||||||||||||||||
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|
| |||||||||||||||||||
Net unrealized appreciation (depreciation) | $ | 13,428,631 | $ | 46,056,096 | $ | 11,687,850 | $ | 542,737 | $ | 36,858,094 | $ | 44,202,553 | ||||||||||||||||||
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| |||||||||||||||||||
Aggregate cost of investments: | $ | 271,439,675 | $ | 497,839,568 | $ | 456,299,534 | $ | 47,369,543 | $ | 160,422,859 | $ | 125,964,547 | ||||||||||||||||||
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ON Janus Henderson Enterprise | ON S&P 500® Index | ON BlackRock Advantage Large Cap Value | ON Federated High Income Bond | ONNasdaq-100® Index | ON BlackRock Advantage Large Cap Core | |||||||||||||||||||||||||
Gross unrealized: | ||||||||||||||||||||||||||||||
Appreciation | $ | 20,082,164 | $ | 322,200,561 | $ | 6,428,215 | $ | 7,354,798 | $ | 95,858,401 | $ | 43,149,769 | ||||||||||||||||||
Depreciation | (2,048,837 | ) | (32,300,232 | ) | (2,228,231 | ) | (6,803,737 | ) | (5,058,752 | ) | (2,830,524 | ) | ||||||||||||||||||
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| |||||||||||||||||||
Net unrealized appreciation (depreciation) | $ | 18,033,327 | $ | 289,900,329 | $ | 4,199,984 | $ | 551,061 | $ | 90,799,649 | $ | 40,319,245 | ||||||||||||||||||
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| |||||||||||||||||||
Aggregate cost of investments: | $ | 92,076,318 | $ | 914,145,581 | $ | 315,281,370 | $ | 195,008,462 | $ | 263,621,052 | $ | 392,645,076 | ||||||||||||||||||
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ON BlackRock Advantage Small Cap Growth | ON S&P MidCap 400®Index | ON BlackRock Advantage Large Cap Growth | ON Risk Managed Balanced | ON Conservative Model | ON Moderately Conservative Model | |||||||||||||||||||||||||
Gross unrealized: | ||||||||||||||||||||||||||||||
Appreciation | $ | 27,014,647 | $ | 46,129,030 | $ | 15,950,160 | $ | 69,987,498 | $ | 875,196 | $ | 10,326,142 | ||||||||||||||||||
Depreciation | (7,872,945 | ) | (17,986,126 | ) | (912,936 | ) | (8,134,553 | ) | (27,393 | ) | (7,933,157 | ) | ||||||||||||||||||
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| |||||||||||||||||||
Net unrealized appreciation (depreciation) | $ | 19,141,702 | $ | 28,142,904 | $ | 15,037,224 | $ | 61,852,945 | $ | 847,803 | $ | 2,392,985 | ||||||||||||||||||
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| |||||||||||||||||||
Aggregate cost of investments: | $ | 187,127,157 | $ | 422,719,989 | $ | 98,730,163 | $ | 346,594,494 | $ | 74,289,945 | $ | 220,911,335 | ||||||||||||||||||
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| |||||||||||||||||||
ON Balanced Model | ON Moderate Growth Model | ON Growth Model | ||||||||||||||||||||||||||||
Gross unrealized: | ||||||||||||||||||||||||||||||
Appreciation | $ | 22,116,396 | $ | 153,055,055 | $ | 34,293,063 | ||||||||||||||||||||||||
Depreciation | (5,296,060 | ) | (144,821,284 | ) | (35,889,022 | ) | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Net unrealized appreciation (depreciation) | $ | 16,820,336 | $ | 8,233,771 | $ | (1,595,959 | ) | |||||||||||||||||||||||
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| |||||||||||||||||||||||||
Aggregate cost of investments: | $ | 1,093,022,524 | $ | 1,953,847,007 | $ | 435,403,379 | ||||||||||||||||||||||||
|
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|
|
|
|
The tax character of distributions paid to shareholders for the year ended December 31, 2019, as well as other reclassifications of capital accounts due to permanent tax differences, were as follows (in aggregate):
Distribution Paid to Shareholders | Other Reclassifications | |||||||||||||||||||||||||||||||||
Portfolio | Ordinary Income* | Net Long-Term Capital Gains | Return of Capital | Total Distribution | Paid-in Capital | Total Distributable Earnings | ||||||||||||||||||||||||||||
ON Bond | $ | 6,277,707 | $ | — | $— | $ | 6,277,707 | $ | — | $ | — | |||||||||||||||||||||||
ON BlackRock Balanced Allocation | 6,815,224 | 18,685,100 | — | 25,500,324 | 18,456 | (18,456 | ) | |||||||||||||||||||||||||||
ON International Equity | 7,735,538 | — | — | 7,735,538 | — | — | ||||||||||||||||||||||||||||
ON Foreign | 765,355 | — | — | 765,355 | — | — | ||||||||||||||||||||||||||||
ON Janus Henderson Forty | 2,367,096 | 12,752,778 | — | 15,119,874 | — | — | ||||||||||||||||||||||||||||
ON Janus Henderson Venture | — | 24,504,430 | — | 24,504,430 | (901,568 | ) | 901,568 |
169 | (continued) |
Ohio National Fund, Inc.
| ||
Notes to Financial Statements (Continued) | December 31, 2019 |
Distribution Paid to Shareholders | Other Reclassifications | |||||||||||||||||||||||
Portfolio | Ordinary Income* | Net Long-Term Capital Gains | Return of Capital | Total Distribution | Paid-in Capital | Total Distributable Earnings | ||||||||||||||||||
ON Janus Henderson Enterprise | $ | 1,701,176 | $ | 3,539,176 | $ | — | $ | 5,240,352 | $ | (56,498 | ) | $ | 56,498 | |||||||||||
ON S&P 500®Index | 14,733,534 | 97,334,869 | — | 112,068,403 | (188,480 | ) | 188,480 | |||||||||||||||||
ON BlackRock Advantage Large Cap Value | 10,971,267 | 1,527,359 | — | 12,498,626 | (200,003 | ) | 200,003 | |||||||||||||||||
ON Federated High Income Bond | 8,186,705 | — | — | 8,186,705 | — | — | ||||||||||||||||||
ONNasdaq-100®Index | 2,467,600 | 45,052,041 | — | 47,519,641 | — | — | ||||||||||||||||||
ON BlackRock Advantage Large Cap Core | 2,159,153 | — | — | 2,159,153 | 70,206 | (70,206 | ) | |||||||||||||||||
ON BlackRock Advantage Small Cap Growth | 106,912 | 1,476,594 | — | 1,583,506 | (6,819 | ) | 6,819 | |||||||||||||||||
ON S&P MidCap 400®Index | 3,723,816 | — | — | 3,723,816 | 36,480 | (36,480 | ) | |||||||||||||||||
ON BlackRock Advantage Large Cap Growth | 2,758,764 | 1,161,569 | — | 3,920,333 | 40,457 | (40,457 | ) | |||||||||||||||||
ON Risk Managed Balanced | 12,461,989 | 20,640,034 | — | 33,102,023 | 80,056 | (80,056 | ) | |||||||||||||||||
ON Conservative Model | 1,577,295 | 682,969 | — | 2,260,264 | (51,206 | ) | 51,206 | |||||||||||||||||
ON Moderately Conservative Model | 5,584,882 | 1,520,105 | 372,215 | 7,477,202 | (88,549 | ) | 88,549 | |||||||||||||||||
ON Balanced Model | 22,640,298 | — | 17,493,344 | 40,133,642 | (536,385 | ) | 536,385 | |||||||||||||||||
ON Moderate Growth Model | 30,710,276 | 17,318,243 | 57,954,547 | 105,983,066 | (222,867 | ) | 222,867 | |||||||||||||||||
ON Growth Model | 4,842,419 | 7,371,114 | 6,226,565 | 18,440,098 | (51,191 | ) | 51,191 |
* Net ordinary income consists of net taxable income derived from dividends, interest, and net short-term capital gains, if any.
There were no cash distributions paid to shareholders for the year ended December 31, 2018, as the tax liability of the Portfolios was intended to be passed on to shareholders through consent dividends.
The tax character of consent dividend distributions recognized, as well as other reclassifications of capital accounts due to permanent tax differences for the year ended December 31, 2018, were as follows (in aggregate):
Consent Dividend Distribution Reclassifcations | Other Reclassifications | |||||||||||||||||||
Portfolio | Ordinary Income* | Net Long-Term Capital Gains | Total Distribution | Paid-in Capital | Total Distributable Earnings | |||||||||||||||
ON Bond | $ | 9,665,092 | $ | — | $ | 9,665,092 | $ | — | $ | — | ||||||||||
ON BlackRock Balanced Allocation | 1,289,971 | 4,474,333 | 5,764,304 | — | — | |||||||||||||||
ON International Equity | 9,257,690 | — | 9,257,690 | 2 | (2 | ) | ||||||||||||||
ON Foreign | 1,488,810 | 279,878 | 1,768,688 | (5 | ) | 5 | ||||||||||||||
ON Janus Henderson Forty | — | 8,957,000 | 8,957,000 | (181,772 | ) | 181,772 | ||||||||||||||
ON Janus Henderson Venture | 2,608,972 | 33,102,527 | 35,711,499 | 67,081 | (67,081 | ) | ||||||||||||||
ON Janus Henderson Enterprise | 4,192,386 | 15,801,567 | 19,993,953 | (114 | ) | 114 | ||||||||||||||
ON S&P 500®Index | 19,284,882 | 125,907,062 | 145,191,944 | (86,284 | ) | 86,284 | ||||||||||||||
ON BlackRock Advantage Large Cap Value | 18,768,679 | 13,760,575 | 32,529,254 | 19,769 | (19,769 | ) | ||||||||||||||
ON Federated High Income Bond | 15,228,668 | — | 15,228,668 | — | — | |||||||||||||||
ONNasdaq-100®Index | 2,359,160 | 47,353,899 | 49,713,059 | (71,657 | ) | 71,657 | ||||||||||||||
ON BlackRock Advantage Large Cap Core | 4,910,356 | 18,969,467 | 23,879,823 | 1 | (1 | ) | ||||||||||||||
ON BlackRock Advantage Small Cap Growth | 8,402,902 | 502,874 | 8,905,776 | (2,823 | ) | 2,823 | ||||||||||||||
ON S&P MidCap 400®Index | 2,531,429 | 4,001,743 | 6,533,172 | 2,133 | (2,133 | ) | ||||||||||||||
ON BlackRock Advantage Large Cap Growth | 3,352,103 | 13,634,538 | 16,986,641 | — | — | |||||||||||||||
ON Risk Managed Balanced | 4,454,280 | 7,507,812 | 11,962,092 | (39,737 | ) | 39,737 | ||||||||||||||
ON Conservative Model | 2,803,756 | 1,674,556 | 4,478,312 | (257 | ) | 257 | ||||||||||||||
ON Moderately Conservative Model. | 8,282,931 | 9,026,959 | 17,309,890 | (27,633 | ) | 27,633 | ||||||||||||||
ON Balanced Model | 37,204,396 | 74,393,236 | 111,597,632 | (176,215 | ) | 176,215 | ||||||||||||||
ON Moderate Growth Model | 59,085,158 | 159,064,320 | 218,149,478 | (478,754 | ) | 478,754 | ||||||||||||||
ON Growth Model | 11,928,158 | 42,641,392 | 54,569,550 | (117,654 | ) | 117,654 |
* Net ordinary income consists of net taxable income derived from dividends, interest, and net short-term capital gains, if any.
170 | (continued) |
Ohio National Fund, Inc.
| ||
Notes to Financial Statements (Continued) | December 31, 2019 |
(9) | Legal Matters |
In December 2007, the ON S&P 500® Index Portfolio and the ON BlackRock Advantage Large Cap Value Portfolio (formerly ON Federated Strategic Value Dividend Portfolio), 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 Portfolio and ON BlackRock Advantage Large Cap Value Portfolio (formerly ON Federated Strategic Value Dividend Portfolio) 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 first action, Official Committee of Unsecured Creditors of Tribune Company v. FitzSimons, et. al. (“FitzSimons”) (the “Creditor Action”) 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. district 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 ON BlackRock Advantage Large Cap 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. (the “Trustee Action.”) These Tribune litigation actions have been consolidated into a single Multidistrict Litigation (“MDL”) in the U.S. District Court, Southern District of New York (the “District Court”).
Thereafter, certain defendants in the MDL, including the Fund, filed various motions to dismiss. The District Court dismissed the Creditor Action on September 23, 2013, holding that the plaintiffs could not pursue their claims so long as the Trustee pursued essentially the same claims in his action. On December 20, 2013, the plaintiffs appealed the dismissal to the Second Circuit Court of Appeals. On March 29, 2016, the Court of Appeals affirmed the dismissal and rejected the plaintiffs’ appeal. On September 9, 2016, plaintiffs filed a petition for writ of certiorari in the Supreme Court and the defendants opposed it. The Supreme Court has not yet decided whether to grant certiorari. On April 3, 2018, the Supreme Court issued a “Statement” from two justices announcing that consideration of the petition for certiorari would be deferred for an undetermined period of time to “allow” the Court of Appeals or the District Court to consider, among other things, whether the Court of Appeals’ decision should be vacated as a result of the Supreme Court’s recent decision in Merit Management Group, LP v. FTI Consulting, Inc. On May 15, 2018, the Second Circuit recalled the mandate on its earlier decision for further panel review. In December 2019, the Second Circuit reinstated its prior affirmance of dismissal, which safe-harbors all of the claims except the trustee’s actual intent claims (those claims are excepted from the safe harbor altogether). Those claims were earlier dismissed on traditional grounds, and that dismissal is now on appeal. In January 2020, the Tribune creditors sought panel rehearing and rehearing en banc, which is a likely precursor to a petition to the Supreme Court. The Tribune creditors have asserted, among other arguments, that the Second Circuit improperly relied on extrinsic evidence to reach its decision regarding Computershare’s status as Tribune’s agent, that the question of Computershare’s agency was a new argument on appeal that should not have been considered, and that the Court’s findings regarding preemption go against the Supreme Court’s decision in Merit Management and other cases.
In the Trustee Action, in 2014, various shareholder defendants filed a motion to dismiss the intentional fraudulent transfer claims. On January 9, 2017, the District 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 could not automatically appeal the decision, but must first obtain permission from the District Court. On January 14, 2019, the District Court held a status conference during which it indicated that the plaintiff would be allowed to file a motion seeking reconsideration of the prior dismissal of the intentional fraudulent transfer claims.
On April 23, 2019, the District Court denied the Trustee’s motion to amend and add federal constructive fraudulent transfer claims. The judge accepted the defendants’ “alternative safe harbor” argument. In June 2019, the Trustee appealed the dismissal of the intentional fraudulent transfer claims and ruling that any constructive claims would be barred by the safe harbor. The Trustee’s initial brief was filed January 8, 2020 and the brief in opposition is due April 7, 2020.
The outcome of these proceedings cannot be predicted. Management of the Fund continues to assess litigation matters and any offers of settlement.
171 | (continued) |
Ohio National Fund, Inc.
To the Shareholders and Board of Directors
Ohio National Fund, Inc.:
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of ON Bond Portfolio, ON BlackRock Balanced Allocation Portfolio (formerly ON Omni Portfolio), ON International Equity Portfolio, ON Foreign Portfolio, ON Janus Henderson Forty Portfolio, ON Janus Henderson Venture Portfolio, ON Janus Henderson Enterprise Portfolio, ON S&P 500® Index Portfolio, ON BlackRock Advantage Large Cap Value Portfolio (formerly ON Federated Strategic Value Dividend Portfolio), ON Federated High Income Bond Portfolio, ONNasdaq-100® Index Portfolio, ON BlackRock Advantage Large Cap Core Portfolio (formerly ON Bristol Portfolio), ON BlackRock Advantage Small Cap Growth Portfolio (formerly ON Bryton Growth Portfolio), ON S&P MidCap 400® Index Portfolio, ON BlackRock Advantage Large Cap Growth Portfolio (formerly ON Bristol Growth Portfolio), ON Risk Managed Balanced Portfolio, ON Conservative Model Portfolio, ON Moderately Conservative Model Portfolio, ON Balanced Model Portfolio, ON Moderate Growth Model Portfolio and ON Growth Model Portfolio (each a “Portfolio” and collectively, the “Portfolios” of the Ohio National Fund, Inc.), including the schedules of investments, as of December 31, 2019, the related statements of operations for the year then ended, the statements of changes in net assets for each of the years in the two year period then ended, and the related notes (collectively, the “financial statements”) and the financial highlights for each of the years or periods in the five year period then ended. In our opinion, the financial statements and financial highlights present fairly, in all material respects, the financial position of the Portfolios as of December 31, 2019, the results of their operations for the year then ended, the changes in their net assets for each of the years in the two year period then ended, and the financial highlights for each of the years or periods in the five year period then ended, in conformity with U.S. generally accepted accounting principles.
Emphasis of a Matter
As discussed in Note 2, Subsequent Events, the ON International Equity Portfolio and the ON Foreign Portfolio were approved to merge effective on or about May 1, 2020.
Basis for Opinion
These financial statements and financial highlights are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolios in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement, whether due to error or fraud. Our audits included performing procedures to assess the risks of material misstatement of the financial statements and financial highlights, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements and financial highlights. Such procedures also included confirmation of securities owned as of December 31, 2019, by correspondence with custodians, brokers, and transfer agents, or by other appropriate audit procedures. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements and financial highlights. We believe that our audits provide a reasonable basis for our opinion.
/s/ KPMG LLP
We have served as the auditor of one or more of the Ohio National Fund, Inc. investment companies since 1969.
Columbus, Ohio
February 27, 2020
172
Ohio National Fund, Inc.
December 31, 2019 (Unaudited) |
(1) | Review and Approval of Advisory andSub-Advisory Agreements for Existing Portfolios |
At a meeting held on November 14, 2019 the Board of Directors (the “Board” or “Directors”), including a majority of the Directors who are not “interested persons” (the “Independent Directors”) of Ohio National Fund, Inc. (the “Fund”), approved the continuation of the Investment Advisory Agreement (the “Advisory Agreement”) with Ohio National Investments, Inc. (“ONI” or “Adviser”) and, as applicable, thesub-advisory agreement with thesub-adviser (each a“Sub-Adviser,” and together the“Sub-Advisers”) for each of the Portfolios identified below. The Independent Directors were separately represented by independent legal counsel in connection with their consideration of the approval of the continuation of these agreements.
The Directors noted that the Adviser is responsible for monitoring the investment performance and other responsibilities of the variousSub-Advisers that haveday-to-day responsibility for the decisions made for certain of the Fund’s investment portfolios (each, a “Portfolio”). The Directors further noted that, for those Portfolios subject to the Securities and Exchange Commission order (the “Order”) permitting them to operate as “funds of funds” and to invest in other investment companies in excess of the limits of Section 12(d)(1), the Adviser bears significant responsibility and administrative burden in the monitoring and reporting required by the Order’s conditions. They also noted that the Adviser reports to the Board on its analysis of eachSub-Adviser’s performance at the regular meetings of the Board, which are held at least quarterly. When warranted, the Adviser will add or remove a particular Portfolio from a watchlist that it maintains. Watchlist criteria include, for example: (a) Portfolio performance over various time periods; (b) Portfolio risk issues, such as changes in key personnel involved with Portfolio management or changes in investment philosophy or process; and (c) organizational risk issues, such as regulatory, compliance or legal concerns, or changes in the ownership of theSub-Adviser. Finally, the Board noted that the Adviser provides the facilities and equipment utilized by the Portfolios; supplies business management services to the Fund, including monitoring expenses accruals and preparing the Portfolios’ financial statements; prepares and files Fund registration statements, proxies, shareholder reports and other regulatory filings; provides financial oversight; and ensures that proxies related to each Portfolio’s holdings are voted in compliance with policies approved by the Board.
In considering the Advisory Agreement andsub-advisory agreements, the Board requested, received and reviewed a significant amount of information relating to each Portfolio, the Adviser and theSub-Advisers, including the following: (1) performance data for each Portfolio for various time periods, includingyear-to-date, through September 30, 2019, (2) comparative performance, advisory fee and expense ratio information for a peer group of funds in the respective Portfolio’s Morningstar category (a “Morningstar Peer Group” or “peer group”), as well as management fee peer comparison charts showing where each Portfolio’s advisory fee was located in the dispersion of its peer group’s advisory fees; (3) comparable performance information for each Portfolio’s relevant benchmark index or indices; (4) comparative data regarding advisory fees, including data regarding the fees charged by the Adviser andSub-Advisers for managing other institutional funds and institutional accounts using investment strategies and techniques similar to those used in managing the Portfolios, as applicable; (5) comparative data regarding the expense ratio of each Portfolio, as compared to its Morningstar Peer Group; (6) profitability analyses for the Adviser with respect to each Portfolio; and (7) other information regarding the nature, extent and quality of services provided by the Adviser and theSub-Advisers, as applicable. The Directors also took into account information regarding the services provided by the Adviser and eachSub-Adviser, and performance, fee and expense ratio information regarding each Portfolio provided to them periodically throughout the year. They also met with representatives of the Adviser to review the relative performance of each Portfolio, as compared with its benchmark index(es) and peer group.
The Directors, including all of the Independent Directors, were assisted by experienced independent legal counsel throughout the Advisory Agreement andsub-advisory agreement review process. The Independent Directors discussed the proposed continuations in private session with such counsel at which no representatives of management, the Adviser or anySub-Adviser were present. Each Director, including each of the Independent Directors, relied upon the advice of independent legal counsel and his or her own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement and eachsub-advisory agreement and the weight to be given to each such factor. The conclusions reached by the Directors were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Director may have afforded different weight to the various factors in reaching his or her conclusions with respect to the Advisory Agreement and eachsub-advisory agreement.
Nature, Extent and Quality of Services
The Board evaluated the nature, extent and quality of the advisory services provided to the Portfolios by the Adviser. As part of its review, the Board reviewed information regarding the Adviser’s operations, procedures and personnel. The Directors took into account information they received during the previous year at Board meetings and other discussions and through periodic reports regarding the Adviser’s performance of its duties. The Directors considered the capabilities and resources that the Adviser has dedicated to performing services on behalf of the Fund and its Portfolios, as well as the quality of administrative and other services
173 | (continued) |
Ohio National Fund, Inc.
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Additional Information (Continued) | December 31, 2019 (Unaudited) |
provided by the Adviser, which include monitoring eachSub-Adviser’s performance, monitoring the quality of eachSub-Adviser’s compliance program and providing other support to contract owners. The Directors also considered the quality of the Adviser’s compliance programs and the Adviser’s responsiveness to Board inquiries and requests.
For each Portfolio with afund-of-funds structure, the Directors considered that the Adviser performs significant services to the Portfolio that are in addition to, rather than duplicative of, services provided under the advisory contracts of the underlying funds. The Directors noted the Adviser’s representations that it performs regular reviews of each Portfolio and its underlying funds, focusing on the asset classmake-up of the Portfolio, the percentages invested in each underlying fund, and each underlying fund’s performance against its benchmark, in order to confirm that the Portfolio is diversified, has the appropriate asset mix, and is performing well. The Directors also noted that the Adviser periodically changes the mix of the underlying funds as a result of its reviews.
For each Portfolio subject to asub-advisory agreement, the Board considered similar criteria as applied to eachSub-Adviser, including the nature, extent and quality of thesub-advisory services provided by eachSub-Adviser. In addition to the criteria used to review the Adviser, the Directors reviewed information on eachSub-Adviser’s portfolio management and brokerage practices, including any soft dollar benefits received. The Directors also reviewed the performance record of each Portfolio managed by the applicableSub-Adviser. With the exception of the services of theSub-Advisers to the ON Federated Strategic Value Dividend Portfolio, ON International Portfolio and ON Foreign Portfolio, which the Directors have determined to replace, it was the Board’s conclusion that overall, they were satisfied with the nature, extent and quality of services provided to the Fund and each of the Portfolios.
Investment Performance
Representatives of the Adviser reviewed with the Directors each Portfolio’s performance for theyear-to-date,1-,3- and5-year periods ended September 30, 2019, as compared to the Portfolio’s Morningstar Peer Group and benchmark(s). The Board also considered the Adviser’s effectiveness in monitoring the performance of eachSub-Adviser and the Adviser’s timeliness in responding to performance issues. The Directors discussed with the Adviser representatives certain Portfolios that underperformed their respective benchmarks. APortfolio-by-Portfolio discussion of each Portfolio’s performance and the Board’s conclusions regarding that performance is set forth below.
Fees and Expenses
The Board considered the advisory fee for each Portfolio, as well as the difference of each Portfolio’s fee from the average advisory fee for the Portfolio’s Morningstar Peer Group and the fee’s percentile ranking within the peer group. The Board also considered charts showing, for each Portfolio, how the Portfolio’s advisory fees compared to the advisory fees of the funds in its peer group. The charts showed the number of funds in the peer group within each defined range of advisory fees, and the range that included the Portfolio. The Board also reviewed the difference between each Portfolio’s overall expense ratio and that of its Morningstar Peer Group, as well as the expense ratio’s percentile ranking within the peer group. For these purposes, the Morningstar Peer Groups excluded funds with net assets over $1 billion, all funds identified as funds of funds, and for all Portfolios other than the ON S&P 500 Index Portfolio, ON S&P MidCap 400 Index Portfolio and the and the ONNasdaq-100 Index Portfolio, all index funds.Non-index funds were excluded from the Morningstar Peer Group for the ON S&P 500 Index Portfolio, ON S&P MidCap 400 Index Portfolio, and the ONNasdaq-100 Index Portfolio.
When applicable, the Board considered the amount of net advisory fee retained by the Adviser, after payment of thesub-advisory fee, as well as the proportion the net fee represented of the total advisory fee, in light of the services provided by the Adviser to the Portfolio.
When applicable, the Board also considered the fees paid toSub-Advisers. The Board relied to a degree on the Adviser’s negotiation of eachsub-advisory agreement on anarm’s-length basis and noted that, when the Adviser has negotiated decreases in thesub-advisory fee for certain Portfolios, it has usually passed some, if not all, of the decrease on to shareholders by reducing its advisory fee. The Board considered the fees the Adviser andSub-Advisers charge their separately managed institutional accounts and other accounts and expressed no concerns with those rates relative to the fees charged to the Portfolios. The Directors also recognized that it was difficult to make comparisons of advisory fees because there were variations in the services that were included in the fees paid by other funds and separately managed accounts.
Profitability
The Directors reviewed the advisory fee paid to the Adviser for each Portfolio and noted thepre-tax profit margins reported by the Adviser for each Portfolio. The Directors noted that the profit margins for the Portfolios ranged from 24.74% to 87.71% with average profitability of 60.16%. The Directors also noted that the Adviser, and not the Portfolios, is responsible for payingsub-advisory fees to
174 | (continued) |
Ohio National Fund, Inc.
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Additional Information (Continued) | December 31, 2019 (Unaudited) |
theSub-Advisers. The Board also evaluated whether the net advisory fee received by the Adviser for each Portfolio, after payingsub-advisory fees to theSub-Adviser, was reasonable, given the level of the Adviser’s services to the Portfolio. The Directors took into account the fact that the Adviser had contractually agreed to limit Portfolio expenses and reimburse expenses to the extent necessary to keep total Portfolio expenses at or below a specified amount. The Directors further considered the statement of a representative of the Adviser that the profitability calculations may not account for all of the Adviser’s costs in providing services to the Fund, including services outside the investment advisory function (such as Fund operations and legal functions), and that profitability would be less for each Portfolio if these costs were included. The Directors discussed that, if an adviser is extremely efficient, resulting in enhanced profitability, the adviser’s effective use of resources should not be penalized on a comparative basis. The Directors then considered potential benefits that the Adviser may receive in connection with the Fund, noting in particular that its insurance company parent earns revenue on the variable products through which the Fund is available as an investment vehicle. Additionally, the Directors acknowledged that calculating the Adviser’s profitability related to a specific Portfolio can be challenging and imprecise because of the difficulties in suitably allocating the Adviser’s expenses across the Portfolios given the Adviser’s shared efforts with respect to the Portfolios.
In considering the reasonableness of thesub-advisory fees paid by the Adviser to eachSub-Adviser, the Directors relied on the ability of the Adviser to negotiate thesub-advisory fee at arm’s length, noting that the Adviser is not affiliated with anySub-Adviser. The Directors also noted that thesub-advisory fees were paid by the Adviser and not by a Portfolio and, therefore, the Adviser was incentivized to negotiate a favorable fee. They further considered the breakpoints established in thesub-advisory agreements and considered the impact of these breakpoints on theSub-Adviser’s profitability. The Board discussed economies of scale and agreed it was a matter more appropriately considered at the Advisory Agreement level. The Board concluded that the profitability, fees and potential realization of economies of scale by the Portfolios from thesub-advisory arrangements with the unaffiliatedSub-Advisers should not be a material factor in its deliberations.
After considering all of the above, the Board concluded that the profitability of the Adviser with respect to each Portfolio was reasonable.
Economies of Scale
The Directors noted that all of the advisory andsub-advisory fee schedules contain breakpoints that would reduce the applicable advisory orsub-advisory fees on assets above a specified level as the applicable Portfolio’s assets increase. The Directors also noted that a Portfolio would realize additional economies of scale if the Portfolio’s net assets increase over time proportionately more than certain other expenses. The Directors took into account that many of the Portfolios had a small amount of net assets relative to the funds in their respective peer groups. After considering each Portfolio’s current size and potential for growth, the Board concluded that each Portfolio was likely to benefit from economies of scale as the Portfolio’s net assets increased, and that the existing breakpoints are appropriate.
Portfolio-by-Portfolio Analysis
In addition to the foregoing, the Directors considered the specific factors and related conclusions set forth below with respect to each Portfolio’s performance and fees and expenses. Except as otherwise indicated, the performance data described below for each Portfolio is for periods ended September 30, 2019.
ON Bond Portfolio (Adviser – ONI). The Directors noted that the Portfolio outperformed its peer group median across all time periods and provided returns in line with its benchmark index for all time periods (underperforming in all except theyear-to-date period). The Directors noted that the Portfolio’s advisory fee was slightly above with the peer group average, while its net expense ratio was below the peer group average. Overall, the Board concluded that the Portfolio’s performance was acceptable, and the advisory fee was reasonable.
ON BlackRock Balanced Allocation Portfolio, formerly the ON Omni Portfolio (Adviser – ONI,Sub-Adviser – BlackRock). The Directors noted that they were considering renewal only of the Advisory Agreement, because thesub-advisory agreement with BlackRock was approved at a meeting of the Board of Directors held on January 25, 2019 and was not required to be renewed at this meeting. The Directors focused onyear-to-date performance for the Portfolio, as the performance prior to February 2019 was attributable to the priorSub-Advisor. They observed that the Portfolio outperformed its benchmark index and ranked in the 1st percentile of its peer groupyear-to-date. The Directors noted that the Portfolio’s advisory fee was below its peer group’s average, and that the Adviser had indicated that the Portfolio’s net expense ratio (after the fee reduction effective in February 2019) was below the peer group average. Overall, the Directors concluded that the Portfolio’s performance was improving with the change in theSub-Adviser and that the advisory fee was reasonable.
175 | (continued) |
Ohio National Fund, Inc.
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Additional Information (Continued) | December 31, 2019 (Unaudited) |
ON International Equity Portfolio (Adviser – ONI,Sub-Adviser – Lazard). The Directors reviewed the comparison performance information for the Portfolio assub-advised by Lazard, but noted that, at the recommendation of the Adviser, they had determined to replace theSub-Adviser for the Portfolio, effective December 6, 2019 (end of business day), due to the poor performance of the Portfolio. They therefore determined that, in their consideration of the renewal of the Advisory Agreement, they should focus on the factors other than performance, as they believed that the Adviser had demonstrated the appropriate oversight of theSub-Adviser in determining to recommend the substitution of BlackRock as the newSub-Adviser. The Board noted that the Portfolio’s advisory fee was at the peer group average, although the Portfolio’s expense ratio was above the peer group average. Overall, the Board concluded that the advisory fee was reasonable and that it was appropriate to continue the Lazardsub-advisory agreement for the period until BlackRock assumes thesub-adviser role.
ON Foreign Portfolio (Adviser – ONI,Sub-Adviser – Templeton). The Directors reviewed the comparison performance information for the Portfolio assub-advised by Templeton, but noted that, at the recommendation of the Adviser, they had determined to replace theSub-Adviser for the Portfolio, effective December 6, 2019 (end of business day), due to the poor performance of the Portfolio. They therefore determined that, in their consideration of the renewal of the Advisory Agreement, they should focus on the factors other than performance, as they believed that the Adviser had demonstrated the appropriate oversight of theSub-Adviser in determining to recommend the substitution of BlackRock as the newSub-Adviser. The Board noted that the Portfolio’s advisory fee and expense ratio were above the peer group average, although they noted that pro forma expenses for the Portfolio, with the proposed reduced advisory fee, are expected to be only slightly above the peer group average. Overall, the Board concluded that the advisory fee was reasonable and that it was appropriate to continue the Templetonsub-advisory agreement for the period until BlackRock assumes thesub-adviser role.
ON Janus Henderson Forty Portfolio (Adviser – ONI,Sub-Adviser – Janus). The Directors reviewed the Portfolio’s performance and noted that it outperformed its benchmark index and peer group median across all periods with atop-quartile ranking for each period. A representative of the Adviser commented that stock selection within the technology sector was the main driver of the Portfolio’s outperformance. The Directors noted that the Portfolio’s advisory fee and net expense ratio were slightly above the peer group average. Overall, the Board concluded that the Portfolio’s performance was acceptable and the advisory andsub-advisory fees were reasonable.
ON Janus Henderson Venture Portfolio (Adviser – ONI,Sub-Adviser – Janus). The Directors noted that the Portfolio outperformed its benchmark index for all periods shown and outperformed its peer group median for all but the3-year period. The Directors noted that the Portfolio’s advisory fee was generally in line with the peer group’s average and its net expense ratio was below the peer group average. Overall, the Directors concluded that the Portfolio’s performance was acceptable and that the advisory andsub-advisory fees were reasonable.
ON Janus Henderson Enterprise Portfolio (Adviser – ONI,Sub-Adviser – Janus). The Directors noted that the Portfolio outperformed its benchmark index and peer group median for all periods shown other than the5-year period. The Directors also recalled that theSub-Adviser assumed management of the Portfolio in May 2018. and the Portfolio’s performance was now in the 6th percentile for its peer group for the1-year period and the 18th percentileyear-to-date. The Directors observed that although the Portfolio’s advisory fee was above its peer group average, its net expense ratio was below its peer group average. Overall, the Directors concluded that the Portfolio’s performance was acceptable and that the advisory andsub-advisory fees were reasonable.
ON S&P 500® Index Portfolio (Adviser – ONI,Sub-Adviser – Geode). The Directors observed that while the Portfolio underperformed its benchmark index for theyear-to-date,1-,3- and5-year periods, its performance generally was in line with the index when expenses were excluded. The Directors deemed peer group performance data for index funds to be generally irrelevant and did not rely on peer group comparison performance figures for the Portfolio. The Directors noted that, while the advisory fee was above the Portfolio’s peer group average, the overall expense ratio was the statistic most important to index fund shareholders, and the Portfolio’s net expense ratio was lower than the average for the peer group. Overall, the Directors concluded that the Portfolio’s performance was acceptable and that the advisory andsub-advisory fees were reasonable.
ON BlackRock Advantage Large Cap Value Portfolio, formerly the ON Federated Strategic Value Dividend Portfolio (Adviser – ONI,Sub-Adviser – Federated). The Directors reviewed the comparison performance information for the Portfolio assub-advised by Federated, but noted that, at the recommendation of the Adviser, they had determined to replace theSub-Adviser for the Portfolio, effective December 6, 2019 (end of business day), due to the poor performance of the Portfolio. They therefore determined that, in their consideration of the renewal of the Advisory Agreement, they should focus on the factors other than performance, as they believed that the Adviser had demonstrated the appropriate oversight of theSub-Adviser in determining to recommend the substitution of BlackRock as the newSub-Adviser. The Board noted that the Portfolio’s advisory fee was above the peer group average, although the Portfolio’s expense ratio was below the peer group average. Overall the Board concluded that the advisory fee was reasonable and that it was appropriate to continue the Federatedsub-advisory agreement for the period until BlackRock assumes thesub-adviser role.
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Additional Information (Continued) | December 31, 2019 (Unaudited) |
ON Federated High Income Bond Portfolio (Adviser – ONI,Sub-Adviser – Federated Investment). The Directors observed that the Portfolio underperformed its benchmark index for the1-,3- and5- year periods, outperformed its peer group median over all time periods and ranked in the top quartile among its peer group for theyear-to-date and5-year periods. The Directors noted that the advisory fee was above the peer group average, while the net expense ratio was below the peer group average. Overall, the Board concluded that the Portfolio’s performance was acceptable, and the advisory andsub-advisory fees were reasonable.
ONNasdaq-100® Index Portfolio (Adviser – ONI,Sub-Adviser – Geode). The Directors observed that while the Portfolio underperformed its benchmark index across all time periods shown, its performance generally was in line with the index when expenses were excluded. The Directors deemed peer group performance data for index funds to be generally irrelevant and did not rely on peer group comparison performance figures for the Portfolio. The Directors noted that the Portfolio’s advisory fee and net expense ratio were below the peer group average. Overall, the Directors concluded that the Portfolio’s performance was acceptable and that the advisory andsub-advisory fees were reasonable.
ON BlackRock Advantage Large Cap Core Portfolio, formerly the ON Bristol Portfolio (Adviser – ONI,Sub-Adviser – BlackRock). The Directors noted that they were considering renewal only of the Advisory Agreement, because thesub-advisory agreement with BlackRock was approved at a meeting of the Board of Directors held on January 25, 2019 and was not required to be renewed at this meeting. The Directors focused onyear-to-date performance for the Portfolio, as the performance prior to February 2019 was attributable to the priorSub-Advisor. They observed that the Portfolio outperformed its benchmark index and ranked in the 6th percentile of its peer groupyear-to-date. The Directors considered that, although the Portfolio’s advisory fee was above the peer group average, the Adviser had indicated at this meeting that the Portfolio’s net expense ratio (after the fee reduction effective February 2019) was below the peer group average. Overall, the Directors concluded that the Portfolio’s performance was improving with the change in theSub-Adviser and that the advisory fee was reasonable.
ON BlackRock Advantage Small Cap Growth Portfolio, formerly the ON Bryton Growth Portfolio (Adviser – ONI,Sub-Adviser – BlackRock). The Directors noted that they were considering renewal only of the Advisory Agreement, because thesub-advisory agreement with BlackRock was approved at a meeting of the Board of Directors held on January 25, 2019 and was not required to be renewed at this meeting. The Directors focused onyear-to-date performance for the Portfolio, as the performance prior to February 2019 was attributable to the priorSub-Advisor. They observed that the Portfolio outperformed its benchmark index and ranked in the 49th percentile of its peer groupyear-to-date. The Directors noted that the Portfolio’s advisory fee was at the average of its peer group and that the Adviser had indicated that the Portfolio’s net expense ratio (after the fee reduction effective February 2019) was below the peer group average. Overall, the Directors concluded that the Portfolio’s performance was improving with the change in theSub-Adviser and the advisory fee was reasonable.
ON S&P MidCap 400® Index (Adviser – ONI,Sub-Adviser – Geode). The Portfolio had only been operating as an index fund since December 16, 2016, and the Directors therefore did not consider performance for the3- and5-year periods. The Directors observed that while the Portfolio underperformed its benchmark index for theyear-to-date and1-year periods, its performance generally was in line with the benchmark index when expenses were excluded. The Directors deemed peer group performance data for index funds to be generally irrelevant and did not rely on peer group comparison performance figures for the Portfolio. The Directors noted that Portfolio’s advisory fee and net expense ratio were higher than the averages of its peer group, but considered that the Portfolio’s net expense ratio was in the 52nd percentile of its peer group. Overall, the Directors concluded that the Portfolio’s performance was acceptable and that the advisory andsub-advisory fees were reasonable.
ON BlackRock Advantage Large Cap Growth Portfolio, formerly the ON Bristol Growth Portfolio (Adviser – ONI,Sub-Adviser – BlackRock). The Directors noted that they were considering renewal only of the Advisory Agreement, because thesub-advisory agreement with BlackRock was approved at a meeting of the Board of Directors held on January 25, 2019 and was not required to be renewed at this meeting. The Directors focused onyear-to-date performance for the Portfolio, as the performance prior to February 2019 was attributable to the priorSub-Advisor. They observed that the Portfolio outperformed its benchmark index and ranked in the 10th percentile of its peer groupyear-to-date. The Directors noted that the Portfolio’s advisory fee was at the average for its peer group and that the Adviser had indicated that the Portfolio’s net expense ratio was below the peer group average. Overall, the Directors concluded that the Portfolio’s performance was improving with the change in theSub-Adviser and the advisory fee was reasonable.
ON Risk Managed Balanced Portfolio (Adviser – ONI,Sub-Advisers – Janus and AnchorPath). The Directors noted that the Portfolio outperformed its benchmark index for all periods shown. The Directors noted that the Portfolio’s performance was in the top quartile of its peer group for all periods shown and that the Janus-managed sleeve performed according to expectations in a generally rising market. The Directors noted that the AnchorPath component of the Portfolio was a risk management overlay without available comparison data, but noted the Adviser’s comment that the AnchorPath component had contributed positively to the Fund’s performance. The Directors noted that the Portfolio’s advisory fee and net expense ratio were higher than its peer group’s average,
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Additional Information (Continued) | December 31, 2019 (Unaudited) |
but considered the Adviser’s comment that other funds in the peer group do not have risk management overlays and the fee differential is consistent with industry charges for risk management overlay services. Overall, the Directors concluded that the Portfolio’s performance was acceptable and that the advisory andsub-advisory fees were reasonable.
ON Model Portfolios
With respect to each of the fund of funds Portfolios (the “ON Model Portfolios”), the Directors noted that the Adviser made significant changes in the mix of underlying funds, particularly among the equity funds, to reduce or remove underperforming funds and to provide more balance between growth and value. They also noted that each fund of funds Portfolio has shown significant improvement in performance relative to its peer group over the most recent quarter ended September 30, 2019, which a representative of the Adviser attributed to its adjustments. The representative noted the difficulty in assembling a meaningful peer group of funds of funds for expense comparison purposes because, while the fund of funds Portfolios consist of underlying mutual funds, the funds of funds in the peer groups are comprised primarily of exchange traded funds, which have much lower net expense ratios. To correct for this difference, the Adviser presented information comparing the average net expense ratio for each peer group with the expense ratio of each fund of funds Portfolio as reported in that Portfolio’s annual report, which does not show fees and expenses of investing in underlying mutual funds.
ON Conservative Model (Adviser – ONI). The Directors observed that while the Portfolio underperformed its benchmark index for the1-year period, it outperformed the benchmark index for theyear-to-date period and the peer group median for both theyear-to-date and1- year periods. The Directors noted that the Portfolio’s advisory fee and net expense ratio as reported in the annual shareholder report were lower than the averages of its peer group. Overall, the Directors concluded that the Portfolio’s performance was acceptable and that the advisory fee was reasonable.
ON Moderately Conservative Model (Adviser – ONI). The Directors noted that while the Portfolio underperformed its benchmark index for the1-year period, it outperformed the benchmark index for theyear-to-date period and the peer group median for both theyear-to-date and1- year periods. The Directors observed that the Portfolio’s advisory fee was slightly above the peer group average, and the net expense ratio as reported in the annual shareholder report was lower than the average of its peer group. Overall, the Directors concluded that the Portfolio’s performance was acceptable and that the advisory fee was reasonable.
ON Balanced Model (Adviser – ONI). The Directors observed that while the Portfolio underperformed its benchmark index and peer group median for the1-year period, it outperformed the benchmark index and peer group average for theyear-to-date period. The Directors noted that the Portfolio’s advisory fee was above the peer group average and net expense ratio as reported in the annual shareholder report was lower than the average of its peer group. Overall, the Directors concluded that the Portfolio’s performance was acceptable and that the advisory fee was reasonable.
ON Moderate Growth Model (Adviser – ONI). The Directors observed that while the Portfolio underperformed its benchmark index for the1-year period, it outperformed the benchmark index for theyear-to-date period and the peer group median for both theyear-to-date and1- year periods. The Directors also noted that the Portfolio’s advisory fee was above the peer group average and the net expense ratio as reported in the annual shareholder report was lower than the average of its peer group. Overall, the Directors concluded that the Portfolio’s performance was acceptable and that the advisory fee was reasonable.
ON Growth Model (Adviser – ONI). The Directors observed that while the Portfolio underperformed its benchmark index and peer group median for the1-year period, it outperformed the benchmark index and peer group median for theyear-to-date period. The Directors noted that the Portfolio’s advisory fee was higher than the average of its peer group, and that the net expense ratio as reported in the annual shareholder report was lower than the average of its peer group. Overall, the Directors concluded that the Portfolio’s performance was acceptable and that the advisory fee was reasonable.
After consideration of the foregoing, the Board reached the following conclusions regarding the Investment Advisory Agreement and, as applicable, thesub-advisory agreement(s) with respect to each Portfolio, in addition to the conclusions set forth above: (a) ONI and theSub-Adviser(s) had demonstrated that they possessed the capability and resources to perform the duties required of them under the Investment Advisory Agreement and applicablesub-advisory agreement(s), respectively; (b) the investment philosophy, strategies and techniques of ONI (with respect to the Portfolios without aSub-Adviser) and theSub-Adviser(s) were appropriate for pursuing the applicable Portfolio’s investment objective; (c) ONI (with respect to the Portfolios without aSub-Adviser) and theSub-Adviser(s) were likely to execute their investment philosophy, strategies and techniques consistently over time; and (d) ONI and theSub-Adviser(s) maintained appropriate compliance programs. Based on all of the above-mentioned factors and their related conclusions, with no single factor or conclusion being determinative and with each Director not necessarily attributing the same weight to each factor, the Directors unanimously concluded that approval of the continuation of the Investment Advisory Agreement and, as applicable, thesub-advisory agreement was in the best interests of each Portfolio and its shareholders. Accordingly, the Board, including all of the Independent Directors, voted unanimously to approve the continuation of the Investment Advisory Agreement and, as applicable, thesub-advisory agreement(s) for each Portfolio.
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Additional Information (Continued) | December 31, 2019 (Unaudited) |
Also at the November 14, 2019 meeting, the Board, including a majority of the Independent Directors, approvedsub-advisory agreements between the Adviser and BlackRock Investment Management, LLC (“BlackRock” or the“Sub-Adviser”) with respect to the ON BlackRock Advantage Large Cap Value Portfolio (formerly ON Federated Strategic Value Dividend Portfolio), ON International Equity Portfolio and the ON Foreign Portfolio (collectively, the“Sub-Advisory Agreements”) The Directors noted that they had determined to replace Federated assub-adviser to the ON Federated Strategic Value Dividend Portfolio, to be renamed the ON BlackRock Advantage Large Cap Value Portfolio (the “Value Portfolio”), replace Lazard as thesub-adviser to the ON International Equity Portfolio (the “International Portfolio”) and replace Templeton assub-adviser to the ON Foreign Portfolio (the “Foreign Portfolio; together with the Value Portfolio and the International Portfolio, the “Portfolios”).
In considering the approval of theSub-Advisory Agreements, the Board requested and reviewed a significant amount of information relating to each Portfolio, including the following: (1) proposed advisory andsub-advisory fee information, including a comparison to existing fees for the Portfolio; (2) comparative advisory fee and expense ratio information for a peer group of funds, as well as advisory fee andsub-advisory fee peer comparison charts showing where the Portfolio’s proposed advisory fee andsub-advisory fee were located in the dispersion of its peer funds’ advisory fees andsub-advisory fees; (3) performance data for a BlackRock fund employing similar strategies to the new strategy proposed for the Portfolio; and (4) other information regarding the nature, extent and quality of services anticipated to be provided by theSub-Adviser.
The Directors recalled that at the August 2019 meeting they had met with representatives of BlackRock, who had described the investment strategies to be used by BlackRock in providingsub-advisory services to the Portfolios. A representative of the Adviser reviewed the strategy and performance history of the BlackRock Advantage Large Cap Value Fund (the “BlackRock Value Fund”) (indicating that BlackRock employs a strategy for that fund similar to the strategy BlackRock proposes to employ for the Value Portfolio) and the strategy and performance of the BlackRock SAE International Tilts Composite (the “BlackRock Composite”) (indicating that BlackRock employs a strategy for that composite of accounts similar to the strategy BlackRock proposes to employ for the International Portfolio and the Foreign Portfolio).
The Directors, including all of the Independent Directors, were assisted by experienced independent legal counsel throughout the contract review process. The Independent Directors discussed the proposedSub-Advisory Agreements in private session with such counsel at which no representatives of management or the Adviser or BlackRock were present. The Directors, including all of the Independent Directors, relied upon the advice of independent legal counsel and their own business judgment in determining the material factors to be considered in evaluating theSub-Advisory Agreements and the weight to be given to each such factor. The conclusions reached by the Directors were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Director may have afforded different weight to the various factors in reaching his or her conclusions with respect to theSub-Advisory Agreements.
Nature, Extent and Quality of Services
The Board evaluated the nature, extent and quality of the advisory services anticipated to be provided by BlackRock, noting that they had experience with BlackRock because it serves as asub-adviser to four other portfolios of the Fund. As part of its review, the Board reviewed information regarding theSub-Adviser’s operations, procedures and personnel. The Directors considered the capabilities and resources that theSub-Adviser is expected to dedicate to performing services on behalf of the Portfolios, as well as the quality of its administrative and other services. The Directors also considered the quality of the compliance program of theSub-Adviser, and reviewed information on theSub-Adviser’s portfolio management and brokerage practices, including any soft dollar benefits received. It was the Directors’ conclusion that overall, they were satisfied with the nature, extent and quality of services anticipated to be provided to each Portfolio by theSub-Adviser.
Investment Performance
The Board considered the performance of the BlackRock Value Fund, which utilizes a strategy similar to the new strategy proposed for the Value Portfolio, relative to that of the Portfolio’s peer group and benchmark index. The Directors noted that the BlackRock Value Fund underperformed the Value Portfolio’s peer group median and benchmark index for theyear-to-date and1- year periods ended September 30, 2019, but outperformed both the peer group median and benchmark index for the3- and5- year periods ended September 30, 2019. A representative of the Adviser indicated that the Adviser is recommending BlackRock because Blackrock is asub-adviser that has a repeatable process with a reasonable likelihood of success. The representative noted that the BlackRock Value Fund3- and5-year performance was in the 13th and 26th percentile, respectively of its peer group. The Directors concluded that BlackRock has the ability to manage the Value Portfolio effectively.
The Board considered the performance of the BlackRock Composite, which utilizes a strategy similar to the new strategy proposed for the International Portfolio, relative to that of the Portfolio’s peer group and benchmark index. The Directors noted that the BlackRock Composite underperformed the International Portfolio’s benchmark index, but outperformed its peer group median, for the1- year period ended September 30, 2019. They also noted that, for theyear-to-date,3- and5- year periods ended September 30,
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Additional Information (Continued) | December 31, 2019 (Unaudited) |
2019, the BlackRock Composite outperformed both the peer group median and benchmark index. A representative of the Adviser indicated that the Adviser is recommending BlackRock because Blackrock is asub-adviser that has a repeatable process with a reasonable likelihood of success. The representative noted that the BlackRock Composite3- and5-year performance was in the 7th percentile of its peer group for both periods. The Directors concluded that BlackRock has the ability to manage the International Portfolio effectively.
The Board considered the performance of the BlackRock Composite, which utilizes a strategy similar to the new strategy proposed for the Foreign Portfolio, relative to that of the Portfolio’s peer group and benchmark index. The Directors noted that the BlackRock Composite underperformed the Foreign Portfolio’s benchmark index, but outperformed its peer group median, for the1- year period ended September 30, 2019. They also noted that, for theyear-to-date,3- and5- year periods ended September 30, 2019, the BlackRock Composite outperformed both the peer group median and benchmark index. A representative of the Adviser indicated that the Adviser is recommending BlackRock because Blackrock is asub-adviser that has a repeatable process with a reasonable likelihood of success. The representative noted that the BlackRock Composite3- and5-year performance was in the 7th percentile of its peer group for both periods. The Directors concluded that BlackRock has the ability to manage the Foreign Portfolio effectively.
Fees and Expenses, Profitability, & Economies of Scale.
The Directors noted that although the Value Portfolio’s proposed new advisory fee, which is less than the current fee, is higher than the average for its peer group, the pro forma net expenses ratio is below the peer group average. The Directors noted that the International Portfolio’s proposed new advisory fee and pro forma net expense ratio are each below the peer group average. The Directors noted that the Foreign Portfolio’s proposed new advisory fee is below the average for its peer group, while the pro forma net expense ratio is slightly higher than the peer group average.
The Directors also reviewed charts showing how the Portfolio’s proposed advisory andsub-advisory fees compared to the advisory andsub-advisory fees of the funds in its peer group. The charts showed the number of funds in the peer group within each defined range of advisory fees orsub-advisory fees, and the range that included the Portfolio. The Directors also noted that the Adviser, and not the Portfolio, is responsible for payingsub-advisory fees to theSub-Adviser. The Board also considered the reasonableness of the proposedsub-advisory fees to be paid by the Adviser to theSub-Adviser. The Directors relied on the ability of the Adviser to negotiate the terms of theSub-advisory agreement, including thesub-advisory fee, atarm’s-length, noting that the Adviser is not affiliated with theSub-Adviser.
The Directors remarked that because thesub-advisory fees were paid by the Adviser and not by a Portfolio, the Adviser was incentivized to negotiate a favorable fee. Accordingly, the cost of services provided by theSub-Adviser and the profitability of theSub-Adviser in connection with its relationship with the Portfolio were not material factors in the Board’s deliberations. For similar reasons, the Board concluded that the potential realization of economies of scale by the Portfolio from thesub-advisory arrangement with theSub-Adviser should not be a material factor in its deliberations.
After consideration of the foregoing, the Board reached the following conclusions regarding each of the proposedSub-Advisory Agreements, in addition to the conclusions set forth above: (a) theSub-Adviser possesses the capability and resources to perform the duties required of it under theSub-Advisory Agreement; (b) the investment philosophy, strategies and techniques of theSub-Adviser are appropriate for pursuing the applicable Portfolio’s investment objective; (c) theSub-Adviser is likely to execute its investment philosophy, strategies and techniques consistently over time; and (d) theSub-Adviser maintains appropriate compliance programs. Based on all of the above-mentioned factors and their related conclusions, with no single factor or conclusion being determinative and with each Director not necessarily attributing the same weight to each factor, the Directors unanimously approved theSub-Advisory Agreements.
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Additional Information (Continued) | December 31, 2019 (Unaudited) |
In addition, at the meeting held on November 14, 2019, The Board, including a majority of the Independent Directors, approved an amendment to the advisory agreement (the “Advisory Agreement”) between Ohio National Investments, Inc. (the “Adviser”) and the Ohio National Fund, Inc. (the “Fund”) for the purpose of adding the ON Federated Total Return Bond Portfolio (the “Portfolio”) to the Portfolios managed by the Adviser under the Advisory Agreement. The Directors also approved a newsub-advisory agreement (the“Sub-Advisory Agreement”) between the Adviser and Federated Investment Management Company (“Federated”) for the Portfolio.
The Directors noted that the Adviser will be responsible for monitoring the investment performance and other responsibilities of theSub-Adviser, which hasday-to-day responsibility for the decisions made for the Portfolio. They also noted that the Adviser will report to the Board on its analysis of theSub-Adviser’s performance at the regular meetings of the Board, which are held at least quarterly. Finally, the Board noted that the Adviser provides the facilities and equipment utilized by the Fund; supplies business management services to the Fund, including monitoring expenses accruals and preparing the Portfolio’s financial statements; prepares and files Fund registration statements, proxies, shareholder reports and other regulatory filings; provides financial oversight; and ensures that proxies related to the Portfolio’s holdings are voted in compliance with policies approved by the Board.
In considering the amendment to the Advisory Agreement and the approval of theSub-Advisory Agreement, the Board requested and reviewed a significant amount of information relating to the Portfolio, including the following: (1) proposed advisory andsub-advisory fee information; (2) comparative advisory fee and expense ratio information for a peer group of funds; (3) performance data for funds employing strategies similar to that of the Portfolio ; and (4) other information regarding the nature, extent and quality of services anticipated to be provided by theSub-Adviser.
The Directors, including all the Independent Directors, were assisted by experienced independent legal counsel throughout the contract review process. The Independent Directors discussed the proposed amendment to the Advisory Agreement and the newSub-Advisory Agreement in a private session with such counsel at which no representatives of management, the Adviser or theSub-Advisers were present. The Directors, including all of the Independent Directors, relied upon the advice of independent legal counsel and their own business judgment in determining the material factors to be considered in evaluating adding the Portfolio to the Advisory Agreement and approving theSub-Advisory Agreement and the weight to be given to each such factor. The conclusions reached by the Directors were based on a comprehensive evaluation of all the information provided and were not the result of any one factor. Moreover, each Director may have afforded different weight to the various factors in reaching his or her conclusions with respect to approving the amendment to the Advisory Agreement and the newSub-Advisory Agreement.
Nature, Extent and Quality of Services
The Board evaluated the nature, extent and quality of the advisory services anticipated to be provided to the Portfolio by the Adviser. As part of its review, the Board reviewed information regarding the Adviser’s operations, procedures and personnel. The Directors took into account information they received during the previous year at Board meetings in connection with the Adviser’s service to other portfolios of the Fund and through periodic reports regarding the Adviser’s performance of its duties to the other portfolios. The Directors considered the capabilities and resources that the Adviser has dedicated to performing services on behalf of the Fund and its portfolios, as well as the quality of the Adviser’s administrative and other services, including the Adviser’s support to contract owners. The Directors also considered the quality of the compliance programs of the Adviser and its responsiveness to inquiries and requests from the Board. It was the Directors’ conclusion that overall, they were satisfied with the nature, extent and quality of services anticipated to be provided to each Portfolio by the Adviser.
The Board also evaluated the nature, extent and quality of the advisory services anticipated to be provided by theSub-Adviser, noting that the Board has experience with theSub-Adviser, as it is theSub-Adviser for another portfolio of the Fund. As part of its review, the Board reviewed information regarding theSub-Adviser’s operations, procedures and personnel. The Directors considered the capabilities and resources that theSub-Adviser is expected to dedicate to performing services on behalf of the Portfolio, as well as the quality of its administrative and other services. The Directors also considered the quality of the compliance programs of theSub-Adviser, and reviewed information on theSub-Adviser’s portfolio management and brokerage practices, including any soft dollar benefits received. The Directors concluded that, overall, they were satisfied with the nature, extent and quality of services anticipated to be provided to the Portfolio by theSub-Adviser.
Investment Performance
The Directors reviewed the performance of a comparable fund managed by theSub-Adviser that utilizes a strategy similar to that of the Portfolio, relative to that of its Morningstar peer group and benchmark. The Directors noted that although it had underperformed its peer group median for the1- year period ended September 30, 2019, the comparable fund had outperformed its peer group median for the year to date,3- and5- year periods ended September 30, 2019. They noted in particular that the comparable fund ranked in the top 10% for the3- year period and the top 7% for the5- year period. Based on this performance, the Directors
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Additional Information (Continued) | December 31, 2019 (Unaudited) |
concluded that theSub-Adviser has the ability to manage the Portfolio effectively going forward. The Board also considered the Adviser’s effectiveness in monitoring the performance of theSub-Adviser, and the Adviser’s timeliness in responding to performance issues, with respect to the other portfolios of the Fund that aresub-advised.
Fees and Expenses
The Board reviewed the Portfolio’s proposed advisory andsub-advisory fees compared to the advisory andsub-advisory fees of funds in its peer group, as well as a chart showing where the Portfolio’s proposed advisory fee andsub-advisory fee were located in the dispersion of its peer funds’ advisory fees andsub-advisory fees. The chart showed the number of funds in the peer group within each defined range of advisory fees orsub-advisory fees, and the range that included the Portfolio. The Directors also noted that the Adviser, and not the Portfolio, is responsible for payingsub-advisory fees to theSub-Adviser. The Board also considered the reasonableness of the proposedsub-advisory fees to be paid by the Adviser to theSub-Adviser for each applicable Portfolio. The Directors relied on the ability of the Adviser to negotiate the terms of eachSub-Advisory Agreement, including thesub-advisory fee, atarm’s-length, noting that the Adviser is not affiliated with anySub-Adviser. The Directors noted that the proposed advisory fee payable by the Portfolio was well within the range of fees payable by the Portfolio’s peer group and included fee breakpoints. The Directors acknowledged that, because thesub-advisory fees were paid by the Adviser and not by the Portfolio, the Adviser is incentivized to negotiate a favorable fee. Accordingly, as to theSub-Adviser, the cost of services provided by theSub-Adviser and the profitability of theSub-Adviser in connection with its relationship with the Portfolio were not material factors in the Board’s deliberations. The Directors considered that, although the Portfolio’s proposed advisory fee was above the peer group average, the Portfolio’s projected net expense ratio was below the peer group average. Overall, the Directors concluded that the proposed advisory andsub-advisory fees were reasonable.
Profitability and Economies of Scale.
The Directors agreed that any projection of profit with respect to the Portfolio would be purely speculative at this time, as the Portfolio have not yet commenced operations. Accordingly, the profitability of the Adviser in connection with its relationship with the Portfolio was not a material factor in the Board’s deliberations.
The Directors noted that that advisory andsub-advisory fee schedules contain breakpoints that would reduce the applicable advisory orsub-advisory fees on assets above a specified level as the Portfolio’s assets increase. The Directors also noted that the Portfolio would realize additional economies of scale if the Portfolio’s net assets increase over time proportionately more than certain other expenses. After considering the Portfolio’s current size and potential for growth, the Board concluded that the Portfolio was likely to benefit from economies of scale as the Portfolio’s net assets increased, and that the proposed breakpoints are appropriate.
After consideration of the foregoing, the Board reached the following conclusions regarding the Advisory Agreement andSub-Advisory Agreement with respect to the Portfolio, in addition to the conclusions set forth above: (a) the Adviser and theSub-Adviser possess the capability and resources to perform the duties required of them under the Advisory Agreement andSub-Advisory Agreement, respectively; (b) the investment philosophy, strategies and techniques of theSub-Adviser is appropriate for pursuing the Portfolio’s investment objective; (c) theSub-Adviser is likely to execute its investment philosophy, strategies and techniques consistently over time; and (d) the Adviser andSub-Adviser maintain appropriate compliance programs. Based on the above-mentioned factors and their related conclusions, with no single factor or conclusion being determinative and with each Director not necessarily attributing the same weight to each factor, the Directors unanimously concluded that approval of the amendment to the Advisory Agreement and theSub-Advisory Agreement were in the best interests of the Portfolio and its shareholders. Accordingly, the Board, including all the Independent Directors, voted unanimously to approve the amendment to the Advisory Agreement and theSub-Advisory Agreement for the Portfolio.
182 | (continued) |
Ohio National Fund, Inc.
| ||
Additional Information (Continued) | December 31, 2019 (Unaudited) |
(2) | Expense Disclosure |
An individual may not buy or own membership interests of the Fund directly. An individual acquires an indirect interest in the Fund by purchasing a variable annuity contract or variable insurance policy and allocating premiums or purchase payments to Fund Portfolios available through the separate accounts of ONLIC, ONLAC, and NSLA. Separate accounts of these entities are the shareholders of the Fund.
As a shareholder of the Fund, a separate account incurs ongoing costs, including management fees and other Fund expenses. This example is intended to help a policy/contract owner understand ongoing costs (in dollars) associated with the underlying investment in the Portfolios by the separate account shareholder and to compare these costs with the ongoing costs associated with investing in other mutual funds.
The example is based on an investment of $1,000 invested at July 1, 2019 and held through December 31, 2019.
Actual Expenses
The table below provides information about investment values and actual expenses associated with each Portfolio of the Fund. The information below, together with the amount of an underlying investment, can be used to estimate expenses paid over the period. An estimate can be obtained by simply dividing an underlying investment value by $1,000 (for example, an $8,600 investment value divided by $1,000 = 8.6), then multiplying the result by the number in the table under the heading entitled “Expenses Paid During Period”.
Portfolio | Beginning Investment Value 7/1/2019 | Ending Investment Value 12/31/2019 | Expenses Paid During Period* 7/1/2019 – 12/31/2019 | Expense Ratio During Period 7/1/2019 – 12/31/2019 (Annualized) | ||||||||
ON Bond | $ | 1,000.00 | $ | 1,039.20 | $3.08 | 0.60% | ||||||
ON BlackRock Balanced Allocation | $ | 1,000.00 | $ | 1,074.60 | $2.93 | 0.56% | ||||||
ON International Equity | $ | 1,000.00 | $ | 1,044.90 | $4.43 | 0.86% | ||||||
ON Foreign | $ | 1,000.00 | $ | 1,029.70 | $8.03 | 1.57% | ||||||
ON Janus Henderson Forty | $ | 1,000.00 | $ | 1,097.60 | $4.07 | 0.77% | ||||||
ON Janus Henderson Venture | $ | 1,000.00 | $ | 1,035.90 | $4.46 | 0.87% | ||||||
ON Janus Henderson Enterprise | $ | 1,000.00 | $ | 1,076.20 | $4.97 | 0.95% | ||||||
ON S&P 500®Index | $ | 1,000.00 | $ | 1,107.20 | $2.02 | 0.38% | ||||||
ON BlackRock Advantage Large Cap Value | $ | 1,000.00 | $ | 1,080.50 | $4.04 | 0.77% | ||||||
ON Federated High Income Bond | $ | 1,000.00 | $ | 1,044.20 | $4.07 | 0.79% | ||||||
ONNasdaq-100®Index | $ | 1,000.00 | $ | 1,141.70 | $2.21 | 0.41% | ||||||
ON BlackRock Advantage Large Cap Core | $ | 1,000.00 | $ | 1,086.20 | $3.79 | 0.72% | ||||||
ON BlackRock Advantage Small Cap Growth | $ | 1,000.00 | $ | 1,090.50 | $4.69 | 0.89% | ||||||
ON S&P MidCap 400®Index | $ | 1,000.00 | $ | 1,067.30 | $2.14 | 0.41% | ||||||
ON BlackRock Advantage Large Cap Growth | $ | 1,000.00 | $ | 1,101.60 | $4.18 | 0.79% | ||||||
ON Risk Managed Balanced | $ | 1,000.00 | $ | 1,089.60 | $5.21 | 0.99% | ||||||
ON Conservative Model | $ | 1,000.00 | $ | 1,039.20 | $1.44 | 0.28% | ||||||
ON Moderately Conservative Model | $ | 1,000.00 | $ | 1,049.30 | $1.96 | 0.38% | ||||||
ON Balanced Model | $ | 1,000.00 | $ | 1,059.70 | $1.87 | 0.36% | ||||||
ON Moderate Growth Model | $ | 1,000.00 | $ | 1,071.80 | $2.30 | 0.44% | ||||||
ON Growth Model | $ | 1,000.00 | $ | 1,078.70 | $2.46 | 0.47% |
183 | (continued) |
Ohio National Fund, Inc.
| ||
Additional Information (Continued) | December 31, 2019 (Unaudited) |
Hypothetical Example for Comparison Purposes
The table below provides information about hypothetical investment values and hypothetical expenses based on each respective Portfolio’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not an actual return. The hypothetical investment values and expenses may not be used to estimate the actual ending investment balance or expenses actually paid for the period by the shareholders. A policy/contract holder may use this information to compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.
Portfolio | Beginning Investment Value 7/1/2019 | Ending Investment Value 12/31/2019 | Expenses Paid During Period* 7/1/2019 – 12/31/2019 | Expense Ratio During Period 7/1/2019 – 12/31/2019 (Annualized) | ||||||||
ON Bond | $ | 1,000.00 | $ | 1,022.18 | $3.06 | 0.60% | ||||||
ON BlackRock Balanced Allocation | $ | 1,000.00 | $ | 1,022.38 | $2.85 | 0.56% | ||||||
ON International Equity | $ | 1,000.00 | $ | 1,020.87 | $4.38 | 0.86% | ||||||
ON Foreign | $ | 1,000.00 | $ | 1,017.29 | $7.98 | 1.57% | ||||||
ON Janus Henderson Forty | $ | 1,000.00 | $ | 1,021.32 | $3.92 | 0.77% | ||||||
ON Janus Henderson Venture | $ | 1,000.00 | $ | 1,020.82 | $4.43 | 0.87% | ||||||
ON Janus Henderson Enterprise | $ | 1,000.00 | $ | 1,020.42 | $4.84 | 0.95% | ||||||
ON S&P 500®Index | $ | 1,000.00 | $ | 1,023.29 | $1.94 | 0.38% | ||||||
ON BlackRock Advantage Large Cap Value | $ | 1,000.00 | $ | 1,021.32 | $3.92 | 0.77% | ||||||
ON Federated High Income Bond | $ | 1,000.00 | $ | 1,021.22 | $4.02 | 0.79% | ||||||
ONNasdaq-100®Index | $ | 1,000.00 | $ | 1,023.14 | $2.09 | 0.41% | ||||||
ON BlackRock Advantage Large Cap Core | $ | 1,000.00 | $ | 1,021.58 | $3.67 | 0.72% | ||||||
ON BlackRock Advantage Small Cap Growth | $ | 1,000.00 | $ | 1,020.72 | $4.53 | 0.89% | ||||||
ON S&P MidCap 400®Index | $ | 1,000.00 | $ | 1,023.14 | $2.09 | 0.41% | ||||||
ON BlackRock Advantage Large Cap Growth | $ | 1,000.00 | $ | 1,021.22 | $4.02 | 0.79% | ||||||
ON Risk Managed Balanced | $ | 1,000.00 | $ | 1,020.21 | $5.04 | 0.99% | ||||||
ON Conservative Model | $ | 1,000.00 | $ | 1,023.79 | $1.43 | 0.28% | ||||||
ON Moderately Conservative Model | $ | 1,000.00 | $ | 1,023.29 | $1.94 | 0.38% | ||||||
ON Balanced Model | $ | 1,000.00 | $ | 1,023.39 | $1.84 | 0.36% | ||||||
ON Moderate Growth Model | $ | 1,000.00 | $ | 1,022.99 | $2.24 | 0.44% | ||||||
ON Growth Model | $ | 1,000.00 | $ | 1,022.84 | $2.40 | 0.47% |
* | Expenses are equal to the average account value times the Fund’s annualized expense ratio multiplied by the number of days in the most recent fiscal half-year (184 days) divided by the number of days in the fiscal year (365 days). Please note that the expenses shown in these tables are meant to highlight ongoing Fund costs only and do not reflect any contract-level expenses or Fund transactional costs, such as sales charges (loads) or exchange fees (if any). Therefore, these tables are useful in comparing ongoing fund costs only, and will not fully assist a policy/contract owner in determining the relative total expenses of different funds. In addition, if transactional costs were included, costs may have been higher for these Portfolios as well as for a fund being compared. |
(3) | Other Federal Tax Information |
For corporate shareholders, the percentages of the total ordinary income dividends paid in 2019, that were incurred for the 2019 tax year, that qualify for the corporate dividends received deduction are as follows:
ON Bond | 0.00 | % | ||
ON BlackRock Balanced Allocation | 36.81 | % | ||
ON International Equity | 0.00 | % | ||
ON Foreign | 0.82 | % | ||
ON Janus Henderson Forty | 41.69 | % | ||
ON Janus Henderson Venture | 0.00 | % | ||
ON Janus Henderson Enterprise | 35.59 | % | ||
ON S&P 500®Index | 100.00 | % | ||
ON BlackRock Advantage Large Cap Value | 64.21 | % | ||
ON Federated High Income Bond | 0.00 | % | ||
ONNasdaq-100®Index | 100.00 | % |
ON BlackRock Advantage Large Cap Core | 100.00 | % | ||
ON BlackRock Advantage Small Cap Growth | 100.00 | % | ||
ON S&P MidCap 400®Index | 100.00 | % | ||
ON BlackRock Advantage Large Cap Growth | 35.81 | % | ||
ON Risk Managed Balanced | 18.12 | % | ||
ON Conservative Model | 7.48 | % | ||
ON Moderately Conservative Model | 14.72 | % | ||
ON Balanced Model | 22.65 | % | ||
ON Moderate Growth Model | 35.58 | % | ||
ON Growth Model | 52.33 | % |
184 | (continued) |
Ohio National Fund, Inc.
| ||
Additional Information (Continued) | December 31, 2019 (Unaudited) |
Pursuant to Section 853 of the Internal Revenue Code, the Fund designates the following amounts as foreign taxes paid for the year ended December 31, 2019:
Creditable Foreign Taxes Paid | Per Share Amount | Portion of Ordinary Income Distribution Derived from Foreign Sourced Income | ||||||||
ON International Equity | $ | 1,468,876 | $0.0488 | 98.19 | % | |||||
ON Foreign | $ | 174,513 | $0.1115 | 97.11 | % | |||||
ON Conservative Model | $ | 7,697 | $0.0011 | 2.64 | % | |||||
ON Moderately Conservative Model | $ | 52,254 | $0.0027 | 7.34 | % | |||||
ON Balanced Model | $ | 514,370 | $0.0053 | 15.55 | % | |||||
ON Moderate Growth Model | $ | 1,202,946 | $0.0071 | 24.53 | % | |||||
ON Growth Model | $ | 318,563 | $0.0088 | 37.11 | % |
Foreign taxes paid for purposes of Section 853 may be less than actual foreign taxes paid for financial statement purposes. None of the Portfolios listed above derived any income from ineligible foreign sources, as defined under Section 901(j) of the Internal Revenue Code.
(4) | Liquidity Risk Management Program |
To promote effective liquidity risk management throughout the fund industry and to enhance disclosure regarding fund liquidity and redemption practices, the Securities and Exchange Commission (the “Commission”) adopted Rule22e-4 under the 40 Act, the Investment Company Liquidity Risk Management Programs Rule. This Rule requires every registeredopen-end management company to establish a liquidity risk management program (the “LRMP”) that, among other things, provides for the assessment, management and review of liquidity risk, the classification of a fund’s portfolio investments into one of four liquidity buckets based upon the number of days that such investments may reasonably be expected to be converted into cash or otherwise disposed of without significantly impacting their price, the establishment of a highly liquid investment minimum where required, and the establishment of a 15% limitation on illiquid investments. Additionally, the Commission adopted Rule30b1-10 and FormN-LIQUID, which generally requires a fund to notify the Commission when certain liquidity-related events occur.
The Fund’s Board approved the Fund’s LRMP at its regular board meeting on August 17, 2018, including the appointment of the Fund’s adviser, Ohio National Investments, Inc. (“ONI”) as the administrator of the LRMP. At the Board’s regular meeting on November 14, 2019, ONI provided a report to the Fund’s Board on the operation and effectiveness of the LRMP after its first year of operation. ONI manages liquidity risks associated with the Fund’s investments by monitoring cash and cash equivalents, the use of derivatives, the concentration of investments and the appropriateness of portfolio strategies foropen-end funds, and by classifying every fund investment as either highly liquid, moderately liquid, less liquid or illiquid on at least a monthly basis. To assist with the classification of Fund investments, ONI has contracted with a third party provider of liquidity monitoring services. ONI supplies portfolio-level data and certain assumptions to this provider which it uses to determine preliminary classifications. Once these preliminary classifications are received by ONI, ONI personnel review the information, reconcile it with Fundsub-advisers, and where appropriate takesub-adviser input into account in determining final classifications.
The LRMP effectively managed the Fund’s liquidity risks throughout calendar year 2019. During this period, no Portfolio held less than 99% of its total net assets in highly liquid investments. Because every Portfolio consisted primarily of highly liquid investments, no highly liquid investment minimum was required to be established for any portfolio, and all were well under their illiquid investment limitations. Additionally, no events that would require the filing of FromN-LIQUID occurred.
185 | (continued) |
Ohio National Fund, Inc.
| ||
Additional Information (Continued) | December 31, 2019 (Unaudited) |
(5) | Other Disclosures |
The Statement of Additional Information of the Fund includes additional information about the the Board and is available athttp://www.ohionationalfund.com or upon request, without charge, by calling877-781-6392 (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 calling877-781-6392 (toll-free) and on the SEC’s website athttp://www.sec.gov.
The Fund has filed its Schedules of Investments as of March 31 and September 30 with the SEC, as required, on FormN-Port Part F. FormN-Port Part F 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 FormsN-Port Part Fs may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information about the Public Reference Room is available by calling1-800-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, telephone877-781-6392 (toll-free).
186 |
Ohio National Fund, Inc.
December 31, 2019 (Unaudited) |
Name and Address | Age | Position(s) with the Fund | Term of Office and Length of Time Served | Number of Portfolios in the Fund to be Overseen by Director | Principal Occupation(s) During and Other Directorships | |||||||
Independent | ||||||||||||
Directors | ||||||||||||
George M. Vredeveld One Financial Way Cincinnati, Ohio | 77 | Director, Member of Audit and Independent Directors Committees | Indefinite; Since March 1996 | 21 | Professor Emeritus, Finance: University of Cincinnati (January 2014 - present); Honorary Consul; Republic of Bulgaria (2019 - 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 | 65 | Director, Chairman of Audit Committee and Member of Independent Directors Committee | Indefinite; Since April 2012 | 21 | 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 | 61 | Chairman and Director, Member of Audit and Independent Directors Committees | Indefinite; Since January 2015 | 21 | Executive Vice President and Chief Operating Officer: Gateway Investment Advisers, LLC (1995 - 2013). | |||||||
Lawrence L. Grypp One Financial Way Cincinnati, Ohio | 71 | Director, Member of Audit and Independent Directors Committees | Indefinite; Since December 2016 | 21 | Senior Business Advisor and Board Member: Goering Center for Family and Private Business (January 2018 - Present); President: Goering Center for Family and Private Business (August 2008 - December 2017). | |||||||
Interested Director | ||||||||||||
John J. Palmer One Financial Way Cincinnati, Ohio | 80 | Director | Indefinite; Since July 1997 | 21 | Insurance industry consultant (April 2010 - December 2015), 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 | 60 | President | Indefinite; Since March 2017 | Senior Vice President and Chief Product Officer: ONLIC (September 2018 - Present); President: NSLAC (May 2016 - Present); Senior Vice President and Head of Annuities SBU: ONLIC (January 2016 - September 2018); Senior Vice President, Chief Risk Officer: ONLIC (September 2015 - December 2015); Senior Vice President, Capital and Financial Risk Management: ONLIC (December 2012 - September 2015) | ||||||||
Paul J. Gerard One Financial Way Cincinnati, Ohio | 60 | 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) |
187
Ohio National Fund, Inc.
| ||
Information about Directors and Officers (Continued) | December 31, 2019 (Unaudited) |
Name and Address | Age | Position(s) with the Fund | Term of Office and Length of Time Served | Number of Portfolios in the Fund to be Overseen by Director | Principal Occupation(s) During and Other Directorships | |||||||
R. Todd Brockman One Financial Way Cincinnati, Ohio | 51 | Treasurer | Indefinite; Since August 2004 | Vice President, Mutual Funds: ONLIC and NSLA (February 2014 - present); Treasurer: ONI. | ||||||||
Kimberly A. Plante One Financial Way Cincinnati, Ohio | 45 | 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 | 47 | 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); 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 Capital Management, LLC (“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 | 34 | 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). |
188 |
[THIS PAGE LEFT INTENTIONALLY BLANK]
Ohio National Fund, Inc.
Post Office Box 371
Cincinnati, Ohio 45201
Form 1320 Rev.8-19
Item 2. | Code Of Ethics. |
As of the end of the period covered by this report, Ohio National Fund, Inc. (the “Fund”) has adopted a code of ethics that applies to the Fund’s principal executive officer and principal financial officer. There were no substantive amendments or waivers to the Code of Ethics during the period covered by this report.
A copy of this Code of Ethics is filed as ExhibitEX-99.CODE to this FormN-CSR and is also available, without charge, uponrequest, by calling877-781-6392 toll free.
Item 3. | Audit Committee Financial Expert. |
The Fund’s Board of Directors has determined that the Fund has an audit committee financial expert serving on its Audit Committee. The Audit Committee financial expert is Madeleine W. Ludlow, who is independent for purposes of Item 3 of FormN-CSR.
Item 4. | Principal Accountant Fees And Services. |
The aggregate fees for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the Fund’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are listed below.
(a) | Audit Fees. | |||||||||
Audits of the Portfolios:
| ||||||||||
Fiscal year ended December 31, 2019: | $ | 310,500 | ||||||||
Fiscal year ended December 31, 2018: | $ | 354,600 | ||||||||
(b) | Audit-Related Fees. | |||||||||
Consent(s) onN-1A Annual Registration Statement(s) filed with the SEC:
| ||||||||||
Fiscal year ended December 31, 2019: | $13,000 | |||||||||
Fiscal year ended December 31, 2018: | $ 8,000 | |||||||||
(c) | Tax Fees.
| |||||||||
Fiscal year ended December 31, 2019: | $ | 153,850 | ||||||||
Fiscal year ended December 31, 2018: | $ | 118,875 | ||||||||
(d) | All Other Fees. None. | |||||||||
(e)(1) | Audit CommitteePre-Approval Policies and Procedures: | |||||||||
The Fund’s Audit Committee has adopted an Audit Committee Charter that requires that the Audit Committee oversee the quality and appropriateness of the accounting methods used in the preparation of the Fund’s financial statements, and the independent audit thereof; approve the selection and compensation of the independent auditors; andpre-approve the performance, by the independent auditors, ofnon-audit services for the Fund, its investment adviser, or any affiliated entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Fund. | ||||||||||
(e)(2) | Services Approved Pursuant to Paragraph (c)(7)(i)(C) of Rule2-01 of RegulationS-X: | |||||||||
During the fiscal years ended December 31, 2019 and 2018, there were nonon-audit services provided by the Fund’s principal accountant that would have requiredpre-approval by the Fund’s Audit Committee. The audit-related fees aforementioned werepre-approved by the Fund’s Audit Committee, although not required by paragraph (c) (7) (ii) of RegulationS-X, as the audit-related fees were less than five percent of the total amount of revenues paid to the Fund’s principal accountant. |
(f) | Not Applicable. | |||||
(g) | There were nonon-audit services provided by the Fund’s principal accountant, other than items disclosed in item (b) above, in which a fee was billed to the Fund, the Fund’s adviser, and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for the last two fiscal years. | |||||
(h) | Not applicable, as there were nonon-audit services performed by the Fund’s principal accountant that were rendered to the Fund, the Fund’s adviser, or any entity controlling, controlled by, or under common control with the adviser that provided ongoing services to the registrant that were notpre-approved for the last two fiscal years. |
Item 5. | Audit Committee Of Listed Registrants. |
Not Applicable.
Item 6. | Investments. |
Not Applicable.
Item 7. | Disclosure Of Proxy Voting Policies And Procedures ForClosed-End Management Investment Companies. |
Not Applicable.
Item 8. | Portfolio Managers ofClosed-End Management Investment Companies. |
Not Applicable.
Item 9. | Purchases of Equity Securities byClosed-End Management Investment Company and Affiliated Purchasers. |
Not Applicable.
Item 10. | Submission of Matters to a Vote of Security Holders. |
There were no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board of Directors.
Item 11. | Controls and Procedures. |
(a) | The Fund’s principal executive officer and principal financial officer have concluded, based on their evaluation conducted as of a date within 90 days of the filing of this report, that the Fund’s disclosure controls and procedures are adequately designed and are operating effectively to ensure (i) that material information relating to the Fund, including its consolidated subsidiaries, is made known to them by others within those entities, particularly during the period in which this report is being prepared; and (ii) that information required to be disclosed by the Fund on FormN-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 forClosed-End Management Investment Companies. |
Not Applicable.
Item 13. | Exhibits. |
(a)(1) | The Fund’s Code of Ethics pursuant to Item 2 of FormN-CSR is filed and attached hereto asEX-99.CODE. |
(a)(2) | A separate certification for each principal executive officer and principal financial officer of the Fund as required by Rule30a-2(a) under the Investment Company Act of 1940 (17 CFR270.30a-2(a)) is attached hereto asEX-99.CERT. |
The certifications required by Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto asEX-99.906CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Ohio National Fund, Inc.
By: | /s/ Michael J. DeWeirdt | |
Michael J. DeWeirdt | ||
President | ||
(Principal Executive Officer) | ||
March 4, 2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
Ohio National Fund, Inc.
By: | /s/ Michael J. DeWeirdt | |
Michael J. DeWeirdt | ||
President | ||
(Principal Executive Officer) | ||
March 4, 2020 | ||
By: | /s/ R. Todd Brockman | |
R. Todd Brockman | ||
Treasurer | ||
(Principal Financial Officer) | ||
March 4, 2020 |