UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-03015
Ohio National Fund, Inc.
One Financial Way, Cincinnati, Ohio | 45242 | |
(Address of principal executive offices) | (Zip code) |
CT Corporation 300 E. Lombard St. Suite 1400 Baltimore, MD 21202
Registrant’s telephone number, including area code: 513-794-6971
Date of fiscal year end: December 31
Date of reporting period: June 30, 2010
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.
Item 1. | Reports To Stockholders. |
![(GRAPHIC)](https://capedge.com/proxy/N-CSRS/0000950123-10-083743/l40308l4030826.gif)
WEALTH BUILDING OPPORTUNITY Ohio National Fund, Inc. Semiannual Report JUNE 30, 2010 Ohio National Fund, Inc. Ohio National Financial Services |
OHIO NATIONAL FUND, INC.
TABLE OF CONTENTS
President’s Message | 1 | |
Directors and Officers of Ohio National Fund, Inc. | 2 | |
The following pages contain Performance, Management’s Comments, Change in Value of $10,000 Investment, Top Holdings, Portfolio Composition, and Schedule of Investments (Unaudited) for each of the Fund’s Portfolios: | ||
Equity Portfolio | 3 | |
Money Market Portfolio | 7 | |
Bond Portfolio | 10 | |
Omni Portfolio | 15 | |
International Portfolio | 20 | |
Capital Appreciation Portfolio | 26 | |
Millennium Portfolio | 30 | |
International Small-Mid Company Portfolio | 34 | |
Aggressive Growth Portfolio | 38 | |
Small Cap Growth Portfolio | 41 | |
Mid Cap Opportunity Portfolio | 45 | |
S&P 500® Index Portfolio | 49 | |
Strategic Value Portfolio | 56 | |
High Income Bond Portfolio | 59 | |
Capital Growth Portfolio | 67 | |
Nasdaq-100® Index Portfolio | 72 | |
Bristol Portfolio | 76 | |
Bryton Growth Portfolio | 79 | |
U.S. Equity Portfolio | 82 | |
Balanced Portfolio | 85 | |
Income Opportunity Portfolio | 90 | |
Target VIP Portfolio | 95 | |
Target Equity/Income Portfolio | 99 | |
Bristol Growth Portfolio | 102 | |
Statements of Assets and Liabilities (Unaudited) | 105 | |
Statements of Operations (Unaudited) | 108 | |
Statements of Changes in Net Assets (Unaudited) | 111 | |
Financial Highlights (Unaudited) | 117 | |
Notes to Financial Statements (Unaudited) | 129 | |
Additional Information (Unaudited) | 150 | |
Information About Directors and Officers (Unaudited) | 152 |
[THIS PAGE LEFT INTENTIONALLY BLANK]
President’s Message | ![]() |
Dear Investor:
In the last President’s Message, we anticipated that 2010 would prove to be a more difficult year to manage money than 2009. Unfortunately, so far this has turned out to be true. Many of the factors that were a drag on the economy in 2008 and 2009 have continued to act as such in 2010; job losses continue, unemployment remains high, the housing market remains precarious and many states’ finances are fragile. Clearly, the very strong recovery that we experienced in the last three quarters of 2009 could not continue forever. The big questions were: “When would the bull market run end?” and “How can one best position a portfolio to retain the gains from 2009?”
We now know that the bull market run came to an end, or at least a pause, on April 23, 2010 when the S&P 500 Index peaked at 1,217.28 after being up 9.8 percent for the year and 84.2 percent since the market low on March 9, 2009. This was an incredible run, much stronger than the 46 percent increase for a similar period following the October 2002 bull market run (although this run ultimately lasted for almost seven years instead of just over thirteen months). However, the 2009 market recovery never felt like it was meant to last. This brings us to the real question: “Was the market pause just a pause, or the first leg down in a double dip recession?” While there is no way to know for sure, I believe we are in a slowdown within a recovery. The market is now less concerned with a potential European debt default, especially with signs of a stronger industrial recovery in Germany, and is now more focused on the pace of growth in the U.S. and China. Many economic indicators have shown positive results while others have fallen significantly but from unsustainably high levels. All of this indicates a slowdown in the economy, but not a double dip recession.
The one area that is clearly in double dip territory is the U.S. housing market. This downturn was no doubt caused by the removal of the housing stimulus in the form of home buyer tax credits. This should serve as a lesson for policy makers that the removal of economic stimulus too soon can have a significant negative impact on a fragile economic recovery. The good news here is that since home prices had already fallen to such low levels, a further fall will not have as much impact.
The Ohio National Fund
Like the markets and the economy, the Portfolios within the Ohio National Fund have had mixed results during the first half of 2010. Some Portfolios were able to perform well during the first quarter but performed less well during the second quarter. Other Portfolios performed better during the second quarter but got off to a slow start for the year. Several Portfolios underperformed their benchmarks but outperformed their peers, highlighting the difficulties active managers experienced during the first half of the year.
Several Portfolios did perform well, beating both their benchmarks and their peer groups. These included the Small Cap Growth Portfolio subadvised by Janus and the Income Opportunity Portfolio subadvised by ICON Advisers. The performance of the Income Opportunity Portfolio was especially encouraging, since this is a portfolio which may not capture all of the upside performance in a rising market but is designed to offer more protection in a falling market.
1
Looking Ahead
Many questions remain regarding the direction of the economy: Will job losses continue, or will we see improvement in the unemployment picture? What impact will slowing growth in China have on the global economy? Are Europe’s problems behind it or will a sovereign debt crisis resurface? What will be the impact of the recently signed financial reform bill? Our portfolio managers will endeavor to put their resources towards answering these difficult questions to provide the best performance possible. However, in these uncertain times, we believe that the best approach is to have a long-term investment outlook and make sure your investment choices provide for a well-balanced asset allocation.
Thank you for entrusting your assets to the Ohio National Fund. We look forward to continuing to serve your investment needs.
Sincerely,
![-s- Chris Carlson](https://capedge.com/proxy/N-CSRS/0000950123-10-083743/l40308l4030825.gif)
Christopher A. Carlson
President
President
Directors and Officers of Ohio National Fund, Inc.
John J. Palmer, Director
L. Ross Love, Director
James E. Bushman, Director
George M. Vredeveld, Director
John I. Von Lehman, Director
Thomas A. Barefield, Vice President
Dennis R. Taney, Chief Compliance Officer
R. Todd Brockman, Treasurer
Catherine E. Gehr, Assistant Treasurer
Kimberly A. Plante, Secretary
Katherine L. Carter, Assistant Secretary
The Statement of Additional Information of Ohio National Fund, Inc. (the “Fund”) includes additional information about the Fund’s Board of Directors (“The Board”) and is available, without charge, upon request, by calling 877-781-6392 toll-free.
A description of the policies and procedures that the Fund uses in voting proxies relating to Fund securities, as well as information regarding how the Fund voted proxies during the most recent twelve-month period ended June 30, is available without charge, upon request, by calling 877-781-6392 toll-free and on the Securities and Exchange Commission (the “Commission”) website at http://www.sec.gov.
The Fund has filed its Schedules of Investments as of March 31 and September 30 with the Commission, as required, on Form N-Q. Form N-Q is required to be filed with the Commission for the first and third quarters of each fiscal year within sixty days after the end of each period and is available on the Commission website upon acceptance of each submission. The Fund’s Forms N-Q may be reviewed and copied at the Commission’s Public Reference Room in Washington, DC. Information about the Public Reference Room is available by calling 1-800-SEC-0330.
This report and the financial statements contained herein are submitted for the general information of the shareholders of the Fund. This report is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by an effective prospectus of Ohio National Fund, Inc. For a prospectus containing more complete information, including charges and expenses, please contact Ohio National Investments, Inc., One Financial Way, Cincinnati, OH 45242, telephone 513-794-6100.
2
Ohio National Fund, Inc. | Equity Portfolio |
Objective/Strategy
The Equity Portfolio seeks long-term growth of capital by investing at least 80% of its assets in equity securities.
Performance as of June 30, 2010
Average Annual Total Returns: | ||||
One year | 9.86% | |||
Five years | -9.44% | |||
Ten years | -3.60% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2010, the Equity Portfolio returned -11.09% versus -6.65% for the current benchmark, the S&P 500 Index.
Relative portfolio under-performance was driven by security selection decisions and the interaction of security selection and sector allocation choices, partly offset by sector allocation decisions. At the sector level, the Portfolio’s relative under-performance was driven by relative over-weights in the Utilities and Information Technology sectors, which under-performed the benchmark; and relative under-weight positions in Consumer Staples and Industrial sectors, which outperformed the benchmark. However, relative over-weights in Consumer Discretionary and Financials sectors, both of which outperformed the benchmark, as well as relative under-weight positions in Energy and Materials sectors, which under-performed the benchmark, contributed positively to the Portfolio’s performance. At the security level, The AES Corp., Sears Holdings Corp. and Goldman Sachs Group, Inc. were the top three detractors from performance while Time Warner Cable, Inc., The Boeing Co. and NYSE Euronext were the top contributors to performance.(1)
The first half of 2010 marked the end of the post-recession rally that began last March, as well as a market correction that took shape in April and deepened in late May and throughout June. The year started off much as 2009 ended: jobless claims continued to tick down, although the unemployment rate remained stubbornly high, and business activity picked up as the inventory rebuilding cycle chugged along. Consumer confidence rebounded as households began to think the worst was over. However, rumblings about the sad state of the Greek government’s books and possible impacts from its onerous debt burden emerged in February. By late March, European Union member states had crafted a massive bailout plan for Greece, but other nations like Spain and Portugal were also under fire and the European sovereign debt crisis was in full swing. Investors were further rattled as economic data in both the U.S. and abroad softened, suggesting the recovery had run its course. The result was a modest market decline in April that accelerated into a full-blown correction by late-May and June. The S&P 500 Index ended the first half of 2010 down 6.7% while the Dow Jones Industrial Average fell 5.0% and the technology-centric Nasdaq Composite Index declined 6.6%. Large cap stocks fared the worst, with the S&P 100 Index tumbling 8.1% over the period while the S&P 400 Mid-Cap Index dipped just 1.4%. The small cap Russell 2000 Index ended down 1.9% as well.
Bucking the trend in the Consumer Discretionary sector, Time Warner Cable, Inc. quietly outperformed the market over the first half of the year, as the media giant benefited from a strengthening advertising market driven by an improving economy. This tailwind led to better-than-expected financial results in each of the past four quarters, which the company then parlayed into a reward for shareholders by increasing its dividend and share repurchase program. We continue to like the stock given its leverage to an improving economy and advertising market, as well as its shareholder-return-focused management team.(1)
The Boeing Co.’s opening half of 2010 was turbulent, as the company was buffeted by several delays and setbacks in the massive 787 Dreamliner project while reporting solid quarterly results in the first and second quarters. The Boeing Co. also saw increasing demand for its jets from commercial carriers, which helped spur the stock price appreciation. In March, the company said it would accelerate production as demand recovered faster than expected. While deliveries actually showed year over year declines in the first quarter, operating margins expanded. Nonetheless, the delays on the Dreamliner, increasing competition in passenger jets from European firms, Bombardier and Embrear, and the Pentagon’s decision to re-open bidding on a lucrative tanker contract thought to have been awarded to The Boeing Co. convinced us that more compelling opportunities lay elsewhere and we exited the position during the period.(1)
The AES Corp.’s triumph over concerns about its debt position during 2009 was undone by a dilutive $1.6 billion equity sale to the China Investment Corporation (CIC). This impact was accompanied by the general market malaise to send The AES Corp. down over the last six months. Even so, The AES Corp. retains significant upside in our view, as it demonstrated through the sale of its 55% stake in a Qatari power generation and desalination business, The AES Corp. is committed to divesting businesses that aren’t growing quickly. Such moves should bump up the company’s returns in the long run. Overall, we still believe The AES Corp. will benefit from the global economic recovery in emerging markets, as evidenced by strong gains in the company’s Asian and Latin American revenue during the first quarter.(1)
Despite a positive first quarter of the year, the slowing consumer sector in the second quarter impacted retailer Sears Holding Corp., as shoppers continued to shy away from stores. Sears Holding Corp. gained some ground early in the period when it posted strong earnings before interest, taxes, depreciation and amortization (EBITDA) growth and boosted its stake in Sears Canada to over 90%; both improving Sears’ near-term liquidity position and increasing long-term strategic options. The end of the federal government’s homebuyer tax credit and “cash for clunker” appliance program also eroded sales, leading Sears Holdings Corp. to significantly reduce prices on its appliances. The result was a disappointing quarterly report in late May. Although Sears Holdings Corp. beat expectations on the bottom line, analysts were critical of Sears Holdings Corp.’s declining margins and EBITDA. Although we reduced our position in the stock modestly during the period, we continue to think Sears Holdings Corp. is making progress in its turnaround under Eddie Lampert and that the stock is undervalued on almost every metric as a result of the market’s pessimism.(1)
Goldman Sachs Group, Inc. suffered during the period after the Securities and Exchange Commission announced it would file a civil
(continued)
3
Ohio National Fund, Inc. | Equity Portfolio (Continued) |
lawsuit against the firm for allegedly misleading investors about the security selection process in a large collateralized debt obligation offering. Goldman Sachs Group, Inc.’s shares dropped double digits after the announcement, even as the firm vehemently defended its practices. We think the lawsuit will get resolved without significant impairments to Goldman Sachs Group, Inc.’s business and that the market will soon return to focusing on the fundamentals of the firm’s business, which remain encouraging over the long term.(1)
Exchange operator NYSE Euronext gained ground during the period thanks to its position as a beneficiary of the newly-passed financial regulatory overhaul legislation. NYSE Euronext would likely possess the prime exchange for the listing of derivatives contracts as mandated by the new law, boosting revenues. The company also continues to make progress on the technology front, bringing it closer in line with competitors and, as a result, we continue to like the stock from here.(1)
The market correction has unnerved many investors and caused them to flee stocks. However, we believe that the market merits a much higher valuation level than it is currently being accorded. Unless the economy slips back into recession — a scenario we view as quite unlikely — and corporate earnings turn down, we would expect the market to be meaningfully higher than it is now in the next six months to one year. If the economy avoids a double-dip recession and continues to recover, earnings should continue to rise as well. Consensus earnings estimates for the S&P 500 Index for this year and next year are currently $81.73 and $94.84, according to Standard & Poor’s. This puts the S&P 500 Index at about 12.6 times 2010 estimates and 10.9 times the 2011 consensus earnings based on month end prices. The equivalent earnings yields are 7.9% and 9.2% for this year and next year, respectively; highly attractive relative to a 3% 10-year Treasury. These figures compare to an average equity risk premium of 4.1% since 1926.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2010. |
Change in Value of $10,000 Investment
S&P 500 | ||||||||
Equity Portfolio | Index | |||||||
06/30/2000 | 10000.0 | 10000.0 | ||||||
12/31/2000 | 9640.0 | 9128.0 | ||||||
06/30/2001 | 10064.0 | 8517.0 | ||||||
12/31/2001 | 8826.0 | 8043.0 | ||||||
06/30/2002 | 7357.0 | 6985.0 | ||||||
12/31/2002 | 7172.0 | 6266.0 | ||||||
06/30/2003 | 8752.0 | 7002.0 | ||||||
12/31/2003 | 10352.0 | 8063.0 | ||||||
06/30/2004 | 10707.0 | 8341.0 | ||||||
12/31/2004 | 11639.0 | 8940.0 | ||||||
06/30/2005 | 11376.0 | 8868.0 | ||||||
12/31/2005 | 12350.0 | 9380.0 | ||||||
06/30/2006 | 11752.0 | 9633.0 | ||||||
12/31/2006 | 13173.0 | 10861.0 | ||||||
06/30/2007 | 13829.0 | 11617.0 | ||||||
12/31/2007 | 12397.0 | 11458.0 | ||||||
06/30/2008 | 8990.0 | 10093.0 | ||||||
12/31/2008 | 5602.0 | 7219.0 | ||||||
06/30/2009 | 6307.0 | 7447.0 | ||||||
12/31/2009 | 7792.0 | 9129.0 | ||||||
06/30/2010 | 6928.0 | 8521.0 |
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-083743/l40308l4030801.gif)
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 herein includes the effects of reinvested dividends.
(continued)
4
Ohio National Fund, Inc. | Equity Portfolio (Continued) |
Portfolio Composition as of June 30, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 96.9 | ||
Repurchase Agreements and Other Net Assets | 3.1 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2010 (1) (2)
% of Net Assets | |||||||
1. | AES Corp. / The | 6.2 | |||||
2. | Genzyme Corp. | 3.9 | |||||
3. | International Business Machines Corp. | 3.5 | |||||
4. | Aflac, Inc. | 3.5 | |||||
5. | Capital One Financial Corp. | 3.0 | |||||
6. | Goldman Sachs Group, Inc. / The | 3.0 | |||||
7. | Transocean Ltd. | 3.0 | |||||
8. | Time Warner, Inc. | 3.0 | |||||
9. | Texas Instruments, Inc. | 2.9 | |||||
10. | Citigroup, Inc. | 2.8 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Financials | 26.7 | ||
Information Technology | 23.7 | ||
Consumer Discretionary | 16.4 | ||
Health Care | 15.5 | ||
Utilities | 6.2 | ||
Energy | 4.3 | ||
Industrials | 1.9 | ||
Telecommunication Services | 1.3 | ||
Consumer Staples | 0.9 | ||
96.9 | |||
5
Ohio National Fund, Inc. | Equity Portfolio |
Schedule of Investments | June 30, 2010 (Unaudited) |
Common Stocks – 96.9% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 16.4% | ||||||||||
Yum! Brands, Inc. (Hotels, Restaurants & Leisure) | 82,500 | $ | 3,220,800 | |||||||
Amazon.com, Inc. (Internet & Catalog Retail) | (a) | 46,650 | 5,096,979 | |||||||
Eastman Kodak Co. (Leisure Equip. & Products) | (a) | 886,090 | 3,845,631 | |||||||
DIRECTV Class A (Media) | (a) | 104,700 | 3,551,424 | |||||||
Time Warner Cable, Inc. (Media) | 56,210 | 2,927,417 | ||||||||
Time Warner, Inc. (Media) | 199,200 | 5,758,872 | ||||||||
J.C. Penney Co., Inc. (Multiline Retail) | 141,600 | 3,041,568 | ||||||||
Sears Holdings Corp. (Multiline Retail) | (a) | 67,400 | 4,357,410 | |||||||
Best Buy Co., Inc. (Specialty Retail) | 1,200 | 40,632 | ||||||||
31,840,733 | ||||||||||
CONSUMER STAPLES – 0.9% | ||||||||||
PepsiCo, Inc. (Beverages) | 24,300 | 1,481,085 | ||||||||
Wal-Mart Stores, Inc. (Food & Staples Retailing) | 5,300 | 254,771 | ||||||||
1,735,856 | ||||||||||
ENERGY – 4.3% | ||||||||||
Transocean Ltd. (Energy Equip. & Svs.) | (a) | 124,400 | 5,763,452 | |||||||
ConocoPhillips (Oil, Gas & Consumable Fuels) | 53,000 | 2,601,770 | ||||||||
8,365,222 | ||||||||||
FINANCIALS – 26.7% | ||||||||||
Goldman Sachs Group, Inc. / The (Capital Markets) | 44,200 | 5,802,134 | ||||||||
State Street Corp. (Capital Markets) | 19,900 | 673,018 | ||||||||
Wells Fargo & Co. (Commercial Banks) | 182,000 | 4,659,200 | ||||||||
American Express Co. (Consumer Finance) | 87,500 | 3,473,750 | ||||||||
Capital One Financial Corp. (Consumer Finance) | 146,800 | 5,916,040 | ||||||||
Bank of America Corp. (Diversified Financial Svs.) | 338,300 | 4,861,371 | ||||||||
Citigroup, Inc. (Diversified Financial Svs.) | (a) | 1,466,900 | 5,515,544 | |||||||
JPMorgan Chase & Co. (Diversified Financial Svs.) | 127,000 | 4,649,470 | ||||||||
NYSE Euronext (Diversified Financial Svs.) | 176,800 | 4,884,984 | ||||||||
Aflac, Inc. (Insurance) | 157,105 | 6,703,670 | ||||||||
Allstate Corp. / The (Insurance) | 90,600 | 2,602,938 | ||||||||
Prudential Financial, Inc. (Insurance) | 38,500 | 2,065,910 | ||||||||
51,808,029 | ||||||||||
HEALTH CARE – 15.5% | ||||||||||
Amgen, Inc. (Biotechnology) | (a) | 98,200 | 5,165,320 | |||||||
Genzyme Corp. (Biotechnology) | (a) | 148,700 | 7,549,499 | |||||||
Gilead Sciences, Inc. (Biotechnology) | (a) | 87,500 | 2,999,500 | |||||||
Medtronic, Inc. (Health Care Equip. & Supplies) | 49,300 | 1,788,111 | ||||||||
Aetna, Inc. (Health Care Providers & Svs.) | 204,300 | 5,389,434 | ||||||||
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 134,600 | 3,822,640 | ||||||||
Merck & Co., Inc. (Pharmaceuticals) | 97,500 | 3,409,575 | ||||||||
30,124,079 | ||||||||||
INDUSTRIALS – 1.9% | ||||||||||
General Electric Co. (Industrial Conglomerates) | 248,200 | 3,579,044 | ||||||||
INFORMATION TECHNOLOGY – 23.7% | ||||||||||
Cisco Systems, Inc. (Communications Equip.) | (a) | 236,900 | 5,048,339 | |||||||
QUALCOMM, Inc. (Communications Equip.) | 97,800 | 3,211,752 | ||||||||
EMC Corp. (Computers & Peripherals) | (a) | 151,700 | 2,776,110 | |||||||
Hewlett-Packard Co. (Computers & Peripherals) | 117,700 | 5,094,056 | ||||||||
eBay, Inc. (Internet Software & Svs.) | (a) | 270,900 | 5,312,349 | |||||||
Yahoo!, Inc. (Internet Software & Svs.) | (a) | 282,000 | 3,900,060 | |||||||
International Business Machines Corp. (IT Svs.) | 55,400 | 6,840,792 | ||||||||
Intel Corp. (Semiconductors & Equip.) | 6,100 | 118,645 | ||||||||
Texas Instruments, Inc. (Semiconductors & Equip.) | 243,600 | 5,671,008 | ||||||||
CA, Inc. (Software) | 259,300 | 4,771,120 | ||||||||
Microsoft Corp. (Software) | 144,800 | 3,331,848 | ||||||||
46,076,079 | ||||||||||
TELECOMMUNICATION SERVICES – 1.3% | ||||||||||
Sprint Nextel Corp. (Wireless Telecom. Svs.) | (a) | 586,700 | 2,487,608 | |||||||
UTILITIES – 6.2% | ||||||||||
AES Corp. / The (Ind. Power Prod. & Energy Traders) | (a) | 1,310,900 | 12,112,716 | |||||||
Total Common Stocks (Cost $206,686,950) | $ | 188,129,366 | ||||||||
Face | Amortized | |||||||||
Repurchase Agreements – 0.6% | Amount | Cost | ||||||||
Goldman Sachs 0.010% 07/01/2010, | $ | 1,110,303 | $ | 1,110,303 | ||||||
Agreement date: 06/30/2010, Repurchase price $1,110,303 Collateralized by: Fannie Mae 6.625%, Due 11/15/2030 with value of $1,140,313 | ||||||||||
Total Repurchase Agreements (Cost $1,110,303) | $ | 1,110,303 | ||||||||
Total Investments – 97.5% (Cost $207,797,253) | (b) | $ | 189,239,669 | |||||||
Other Assets in Excess of Liabilities – 2.5% | 4,902,236 | |||||||||
Net Assets – 100.0% | $ | 194,141,905 | ||||||||
Percentages are stated as a percent of net assets.
Footnotes:
(a) | Non-income producing security. | |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
6
Ohio National Fund, Inc. | Money Market Portfolio |
Portfolio Composition as of June 30, 2010 (1)
% of Net Assets | |||
Commercial Paper (2) | 69.3 | ||
Asset-Backed Commercial Paper (2) | 1.0 | ||
Money Market Funds | 13.3 | ||
U.S. Treasury Obligations | 4.6 | ||
U.S. Government Agency Issues | 3.1 | ||
Repurchase Agreements and Other Net Assets | 8.7 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2010 (1)
% of Net Assets | |||||||
1. | Federated Prime Cash Obligations Fund – Institutional Class | 4.6 | |||||
2. | U.S. Bank Repurchase Agreement 0.010%, 07/01/2010 | 4.6 | |||||
3. | Fidelity Institutional Money Market Funds Prime Money Market Portfolio – Class I | 4.4 | |||||
4. | American Express Credit Corp. 0.250%, 07/01/2010 | 4.3 | |||||
5. | HSBC Finance Corp. 0.220%, 07/01/2010 | 4.3 | |||||
6. | Prudential Funding LLC 0.120%, 07/01/2010 | 4.3 | |||||
7. | Fidelity Institutional Money Market Funds Money Market Portfolio – Class I | 4.3 | |||||
8. | International Business Machines Corp. 0.190%, 07/02/2010 | 4.3 | |||||
9. | Chevron Funding Corp. 0.150%, 07/06/2010 | 4.3 | |||||
10. | Wal-Mart Stores, Inc. 0.150%, 07/08/2010 | 4.3 |
(1) | Composition of Portfolio subject to change. | |
(2) | Sectors (combined): |
% of Net Assets | |||
Financials | 28.6 | ||
Consumer Staples | 15.9 | ||
Health Care | 9.3 | ||
Information Technology | 4.3 | ||
Energy | 4.3 | ||
Consumer Discretionary | 4.3 | ||
Telecommunication Services | 3.1 | ||
Materials | 0.5 | ||
70.3 | |||
7
Ohio National Fund, Inc. | Money Market Portfolio |
Schedule of Investments | June 30, 2010 (Unaudited) |
Commercial Paper – 69.3% | Rate | Maturity | Face Amount | Amortized Cost | ||||||||||||||
CONSUMER DISCRETIONARY – 4.3% | ||||||||||||||||||
Walt Disney Co. / The (Media) | (a) | 0.190% | 07/15/2010 | $ | 10,000,000 | $ | 9,999,261 | |||||||||||
Walt Disney Co. / The (Media) | (a) | 0.190% | 07/19/2010 | 4,000,000 | 3,999,620 | |||||||||||||
13,998,881 | ||||||||||||||||||
CONSUMER STAPLES – 15.9% | ||||||||||||||||||
Coca-Cola Co. / The (Beverages) | (a) | 0.260% | 08/02/2010 | 12,000,000 | 11,997,227 | |||||||||||||
Coca-Cola Co. / The (Beverages) | (a) | 0.260% | 08/18/2010 | 2,000,000 | 1,999,307 | |||||||||||||
Nestle Capital Corp. (Food Products) | (a) | 0.120% | 07/08/2010 | 10,000,000 | 9,999,767 | |||||||||||||
Wal-Mart Stores, Inc. (Food & Staples Retailing) | (a) | 0.150% | 07/08/2010 | 14,000,000 | 13,999,592 | |||||||||||||
Procter & Gamble International Funding SCA (Household Products) | (a) | 0.190% | 07/02/2010 | 4,000,000 | 3,999,979 | |||||||||||||
Procter & Gamble International Funding SCA (Household Products) | (a) | 0.260% | 07/09/2010 | 10,000,000 | 9,999,422 | |||||||||||||
51,995,294 | ||||||||||||||||||
ENERGY – 4.3% | ||||||||||||||||||
Chevron Funding Corp. (Oil, Gas & Consumable Fuels) | 0.150% | 07/06/2010 | 14,000,000 | 13,999,708 | ||||||||||||||
FINANCIALS – 27.6% | ||||||||||||||||||
American Express Credit Corp. (Consumer Finance) | 0.250% | 07/01/2010 | 14,000,000 | 14,000,000 | ||||||||||||||
American Honda Finance Corp. (Consumer Finance) | 0.240% | 07/07/2010 | 10,000,000 | 9,999,600 | ||||||||||||||
American Honda Finance Corp. (Consumer Finance) | 0.240% | 07/08/2010 | 4,000,000 | 3,999,813 | ||||||||||||||
Toyota Motor Credit Corp. (Consumer Finance) | 0.140% | 07/06/2010 | 10,000,000 | 9,999,806 | ||||||||||||||
Citigroup Funding Inc. (Diversified Financial Services) | 0.320% | 07/07/2010 | 10,000,000 | 9,999,467 | ||||||||||||||
General Electric Capital Corp. (Diversified Financial Services) | 0.130% | 07/13/2010 | 14,000,000 | 13,999,393 | ||||||||||||||
HSBC Finance Corp. (Diversified Financial Services) | 0.220% | 07/01/2010 | 14,000,000 | 14,000,000 | ||||||||||||||
Prudential Funding LLC (Insurance) | 0.120% | 07/01/2010 | 14,000,000 | 14,000,000 | ||||||||||||||
89,998,079 | ||||||||||||||||||
HEALTH CARE – 9.3% | ||||||||||||||||||
Abbott Laboratories (Pharmaceuticals) | 0.180% | 07/12/2010 | 9,000,000 | 8,999,505 | ||||||||||||||
Abbott Laboratories (Pharmaceuticals) | (a) | 0.250% | 08/02/2010 | 5,000,000 | 4,998,889 | |||||||||||||
Johnson & Johnson (Pharmaceuticals) | (a) | 0.180% | 08/03/2010 | 5,000,000 | 4,999,175 | |||||||||||||
Johnson & Johnson (Pharmaceuticals) | (a) | 0.170% | 08/06/2010 | 1,500,000 | 1,499,745 | |||||||||||||
Merck & Co., Inc. (Pharmaceuticals) | (a) | 0.250% | 07/26/2010 | 10,000,000 | 9,998,264 | |||||||||||||
30,495,578 | ||||||||||||||||||
INFORMATION TECHNOLOGY – 4.3% | ||||||||||||||||||
International Business Machines Corp. (Computers & Peripherals) | (a) | 0.190% | 07/02/2010 | 14,000,000 | 13,999,925 | |||||||||||||
MATERIALS – 0.5% | ||||||||||||||||||
E.I. du Pont de Nemours & Co. (Chemicals) | (a) | 0.180% | 07/02/2010 | 1,600,000 | 1,599,992 | |||||||||||||
TELECOMMUNICATION SERVICES – 3.1% | ||||||||||||||||||
AT&T Inc. (Diversified Telecommunication Services) | (a) | 0.180% | 07/20/2010 | 10,000,000 | 9,999,050 | |||||||||||||
Total Commercial Paper (Cost $226,086,507) | $ | 226,086,507 | ||||||||||||||||
Asset-Backed Commercial Paper – 1.0% | Rate | Maturity | Face Amount | Amortized Cost | ||||||||||||||
FINANCIALS – 1.0% | ||||||||||||||||||
Bank of America Auto Trust (Consumer Finance) | 0.619% | 07/15/2011 | $ | 2,000,000 | $ | 2,000,000 | ||||||||||||
CNH Equipment Trust (Consumer Finance) | 0.354% | 04/15/2011 | 759,649 | 759,649 | ||||||||||||||
Ford Credit Auto Lease Trust (Consumer Finance) | (a) | 0.283% | 02/15/2011 | 402,413 | 402,413 | |||||||||||||
Total Asset-Backed Commercial Paper (Cost $3,162,062) | $ | 3,162,062 | ||||||||||||||||
Money Market Funds – 13.3% | Shares | Value | ||||||||||||||||
Federated Prime Cash Obligations Fund – Institutional Class | 15,000,000 | $ | 15,000,000 | |||||||||||||||
Fidelity Institutional Money Market Funds Money Market Portfolio – Class I | 14,000,000 | 14,000,000 | ||||||||||||||||
Fidelity Institutional Money Market Funds Prime Money Market Portfolio – Class I | 14,500,000 | 14,500,000 | ||||||||||||||||
Total Money Market Funds (Cost $43,500,000) | $ | 43,500,000 | ||||||||||||||||
U.S. Treasury Obligations – 4.6% | Rate | Maturity | Face Amount | Amortized Cost | ||||||||||||||
U.S. Treasury Bill | 0.060% | 07/22/2010 | $ | 5,000,000 | $ | 4,999,840 | ||||||||||||
U.S. Treasury Bill | 0.080% | 07/29/2010 | 10,000,000 | 9,999,417 | ||||||||||||||
Total U.S. Treasury Obligations (Cost $14,999,257) | $ | 14,999,257 | ||||||||||||||||
U.S. Government Agency Issues – 3.1% | Rate | Maturity | Face Amount | Amortized Cost | ||||||||||||||
Federal Home Loan Bank | 0.100% | 07/02/2010 | $ | 10,000,000 | $ | 9,999,972 | ||||||||||||
Total U.S. Government Agency Issues (Cost $9,999,972) | $ | 9,999,972 | ||||||||||||||||
(continued)
8
Ohio National Fund, Inc. | Money Market Portfolio (Continued) |
Schedule of Investments | June 30, 2010 (Unaudited) |
Repurchase Agreements – 4.6% | Rate | Maturity | Face Amount | Amortized Cost | ||||||||||||||
U.S. Bank, Agreement date: 06/30/2010, Repurchase price $15,000,000, Collateralized by: Fannie Mae Pool #739797 (FNCI) 4.000%, Due 09/01/2018 with value of $15,300,081 | 0.010% | 07/01/2010 | $ | 15,000,000 | $ | 15,000,000 | ||||||||||||
Total Repurchase Agreements (Cost $15,000,000) | $ | 15,000,000 | ||||||||||||||||
Total Investments – 95.9% (Cost $312,747,798) | (b) | $ | 312,747,798 | |||||||||||||||
Other Assets in Excess of Liabilities – 4.1% | 13,479,903 | |||||||||||||||||
Net Assets – 100.0% | $ | 326,227,701 | ||||||||||||||||
Percentages are stated as a percent of net assets.
Footnotes:
(a) | Security exempt from registration under Section 4 (2) of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers under Rule 144A. At June 30, 2010, the value of these securities totaled $113,491,628 or 34.8% of the Portfolio’s net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Directors. | |
(b) | Represents cost for Federal income tax and financial reporting purposes. See also Note 2 regarding the use of amortized cost for valuation of instruments in this Portfolio. |
The accompanying notes are an integral part of these financial statements.
9
Ohio National Fund, Inc. | Bond Portfolio |
Objective/Strategy
The Bond Portfolio seeks to obtain a high level of income and opportunity for capital appreciation consistent with the preservation of capital by investing primarily in intermediate-term and long-term fixed income securities.
Performance as of June 30, 2010
Average Annual Total Returns: | ||||
One year | 14.44% | |||
Five years | 3.95% | |||
Ten years | 5.73% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2010, the Bond Portfolio returned 5.47% versus 6.09% for the current benchmark, the BofA Merrill Lynch U.S. Corporate Master Index (the “Merrill Lynch Index”).
The relatively good positive total returns for both the Portfolio and the Merrill Lynch Index were primarily the result of a significant decline in U.S. Treasury yields during the period (the 10-year Treasury yield declined 91 basis points). The decline in Treasury yields had a positive impact on bond prices that more than offset the negative impact from a modest widening in credit spreads (the credit spread of the Merrill Lynch Index widened 19 basis points). Treasury yields declined because of fears of a double-dip recession in the U.S., and due to demand for U.S. Treasury bonds as a safe haven once the risk of sovereign default in countries across much of Southern Europe, most notably Greece, began to be discounted by the international bond market. Credit spreads widened because of economic weakness and a demand on the part of fixed income investors to be partially compensated for the drop in corporate yields caused by the decline in Treasury yields.(1)
The Portfolio underperformed the Merrill Lynch Index primarily because the duration of the Portfolio was shorter than the duration of the Merrill Lynch Index during a period in which U.S. Treasury yields declined. The Portfolio’s duration was positioned short of the Merrill Lynch Index at the start of the year on expectations that Treasury yields would rise in 2010 as the U.S. economy gathered strength. However, as discussed in the previous paragraph, U.S. Treasury rates declined during the first six months of 2010.(1)
Several industry weightings impacted performance during the first half of 2010. The Portfolio benefited from its over-weighting in the insurance, electric utility and real estate investment trust sectors because these sectors outperformed. The Portfolio also benefited from its under-weighting in the banking and telecommunication services sectors because these sectors underperformed. The Portfolio’s under-weighting in the Pharmaceuticals sector hurt performance, because this sector outperformed.(1)
Because Treasury yields declined significantly, almost all of the bonds held in the Portfolio had positive total returns for the first half. The five bonds that had the highest total returns were Energy Future Competitive Holdings Co., Fifth Third Bancorp, Equity One, Inc., Newell Rubbermaid, Inc. and Comerica Bank. The five poorest performing bonds were Anadarko Petroleum Corp., Atlantic Richfield Co., Telecom Italia Capital SA, Johnson Controls, Inc. and Simon Property Group LP. Of these five under-performing bonds, only Anadarko Petroleum Corp. and Atlantic Richfield Co. traded down significantly, and that is because of their ownership interest in the deepwater well that exploded in the Gulf of Mexico. The remaining three weak performing bonds underperformed because of their short maturities in a declining interest rate environment, and not because of any underlying credit problem.(1)
The U.S. economy has been slowly recovering from its worst recession since the Great Depression. While recent economic indicators have been weak and talk of a double-dip recession has been gaining currency, we expect economic growth to continue, but remain low. We also expect the Federal Reserve to continue its very accommodative monetary policies. Once the growth rate of the economy rises and other economic indicators firm, we expect the Federal Reserve to begin removing its monetary stimulus. This, combined with large federal budget deficits, should result in an increase in Treasury yields. For this reason, the duration of the Portfolio will be maintained short of the Merrill Lynch Index. Because credit spreads tightened so dramatically in 2009, and remain tight today, it is unlikely that credit spreads will tighten from current levels in 2010. Due to the outlook for credit spreads, purchases for the Portfolio will be skewed toward higher quality credits.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2010. |
Change in Value of $10,000 Investment
Bofa Merrill | ||||||||
Lynch U.S. | ||||||||
Corporate Master | ||||||||
Bond Portfolio | Index | |||||||
06/30/2000 | 10000 | 10000 | ||||||
12/31/2000 | 10310 | 10676 | ||||||
06/30/2001 | 10772 | 11257 | ||||||
12/31/2001 | 11178 | 11819 | ||||||
06/30/2002 | 11693 | 12054 | ||||||
12/31/2002 | 12145 | 13021 | ||||||
06/30/2003 | 13215 | 14015 | ||||||
12/31/2003 | 13415 | 14103 | ||||||
06/30/2004 | 13403 | 14084 | ||||||
12/31/2004 | 14205 | 14866 | ||||||
06/30/2005 | 14381 | 15241 | ||||||
12/31/2005 | 14265 | 15160 | ||||||
06/30/2006 | 14200 | 14936 | ||||||
12/31/2006 | 14898 | 15823 | ||||||
06/30/2007 | 15074 | 15952 | ||||||
12/31/2007 | 15452 | 16558 | ||||||
06/30/2008 | 15303 | 16423 | ||||||
12/31/2008 | 13683 | 15429 | ||||||
06/30/2009 | 15249 | 16853 | ||||||
12/31/2009 | 16546 | 18478 | ||||||
06/30/2010 | 17451 | 19604 |
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-083743/l40308l4030802.gif)
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The BofA Merrill Lynch U.S. Corporate Master Index tracks the performance of all U.S. dollar-denominated, investment grade corporate public debt issued in the U.S. domestic bond market. Qualifying bonds must have at least one year remaining term to maturity, a fixed coupon schedule, and a minimum amount outstanding of $250 million.
(continued)
10
Ohio National Fund, Inc. | Bond Portfolio (Continued) |
Portfolio Composition as of June 30, 2010 (1)
% of Net Assets | |||
Corporate Bonds (3) | 87.6 | ||
U.S. Treasury Obligations | 6.2 | ||
Money Market Funds | 2.1 | ||
Repurchase Agreements Less Net Liabilities | 4.1 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2010 (1) (2)
% of Net Assets | |||||||
1. | U.S. Treasury Note 2.375%, 09/30/2014 | 4.1 | |||||
2. | U.S. Treasury Note 3.375%, 11/15/2019 | 2.1 | |||||
3. | Kroger Co. / The 6.400%, 08/15/2017 | 1.2 | |||||
4. | Safeway, Inc. 6.350%, 08/15/2017 | 1.1 | |||||
5. | Commonwealth Edison Co. 5.950%, 08/15/2016 | 1.1 | |||||
6. | Waste Management, Inc. 6.100%, 03/15/2018 | 1.1 | |||||
7. | Kraft Foods, Inc. 6.125%, 02/01/2018 | 1.1 | |||||
8. | Union Electric Co. 6.400%, 06/15/2017 | 1.1 | |||||
9. | Virginia Electric & Power Co. 5.400%, 01/15/2016 | 1.1 | |||||
10. | UnitedHealth Group, Inc. 6.000%, 02/15/2018 | 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) | Sectors: |
% of Net Assets | |||
Financials | 28.1 | ||
Utilities | 15.9 | ||
Consumer Staples | 8.4 | ||
Energy | 8.0 | ||
Industrials | 6.9 | ||
Consumer Discretionary | 6.2 | ||
Health Care | 5.4 | ||
Telecommunication Services | 4.2 | ||
Materials | 2.3 | ||
Information Technology | 2.2 | ||
87.6 | |||
11
Ohio National Fund, Inc. | Bond Portfolio |
Schedule of Investments | June 30, 2010 (Unaudited) |
Corporate Bonds – 87.6% | Rate | Maturity | Face Amount | Value | ||||||||||||||
CONSUMER DISCRETIONARY – 6.2% | ||||||||||||||||||
Johnson Controls, Inc. (Auto Components) | 5.250% | 01/15/2011 | $ | 1,250,000 | $ | 1,269,964 | ||||||||||||
Mohawk Industries, Inc. (Household Durables) | (b) | 6.500% | 01/15/2011 | 336,000 | 341,040 | |||||||||||||
Newell Rubbermaid, Inc. (Household Durables) | 6.250% | 04/15/2018 | 500,000 | 550,519 | ||||||||||||||
Comcast Corp. (Media) | 5.875% | 02/15/2018 | 750,000 | 835,807 | ||||||||||||||
Cox Communications, Inc. (Media) | 6.750% | 03/15/2011 | 1,000,000 | 1,033,567 | ||||||||||||||
Time Warner Cable, Inc. (Media) | 5.850% | 05/01/2017 | 1,000,000 | 1,099,507 | ||||||||||||||
Time Warner, Inc. (Media) | 6.875% | 05/01/2012 | 1,000,000 | 1,089,915 | ||||||||||||||
Viacom, Inc. (Media) | 4.375% | 09/15/2014 | 1,000,000 | 1,063,886 | ||||||||||||||
Macy’s Retail Holdings, Inc. (Multiline Retail) | 5.900% | 12/01/2016 | 1,000,000 | 1,007,500 | ||||||||||||||
Home Depot, Inc. / The (Specialty Retail) | 5.250% | 12/16/2013 | 1,000,000 | 1,100,420 | ||||||||||||||
9,392,125 | ||||||||||||||||||
CONSUMER STAPLES – 8.4% | ||||||||||||||||||
Anheuser-Busch Cos., Inc. (Beverages) | 5.500% | 01/15/2018 | 750,000 | 818,840 | ||||||||||||||
Coca Cola Co. / The (Beverages) | 4.875% | 03/15/2019 | 250,000 | 277,436 | ||||||||||||||
CVS Caremark Corp. (Food & Staples Retailing) | 5.750% | 06/01/2017 | 1,000,000 | 1,114,083 | ||||||||||||||
Kroger Co. / The (Food & Staples Retailing) | 6.400% | 08/15/2017 | 1,500,000 | 1,748,543 | ||||||||||||||
Safeway, Inc. (Food & Staples Retailing) | 6.350% | 08/15/2017 | 1,500,000 | 1,733,787 | ||||||||||||||
Bunge N.A. Finance LP (Food Products) | 5.900% | 04/01/2017 | 1,500,000 | 1,602,884 | ||||||||||||||
Kraft Foods, Inc. (Food Products) | 6.125% | 02/01/2018 | 1,500,000 | 1,704,964 | ||||||||||||||
Mead Johnson Nutrition Co. (Food Products) | (a) | 3.500% | 11/01/2014 | 800,000 | 829,051 | |||||||||||||
Tyson Foods, Inc. (Food Products) | (b) | 7.850% | 04/01/2016 | 1,000,000 | 1,092,500 | |||||||||||||
Clorox Co. / The (Household Products) | 3.550% | 11/01/2015 | 300,000 | 316,969 | ||||||||||||||
Kimberly-Clark Corp. (Household Products) | 6.125% | 08/01/2017 | 1,000,000 | 1,185,358 | ||||||||||||||
Procter & Gamble Co. / The (Household Products) | 4.700% | 02/15/2019 | 250,000 | 274,436 | ||||||||||||||
12,698,851 | ||||||||||||||||||
ENERGY – 8.0% | ||||||||||||||||||
Weatherford International Ltd. (Energy Equipment & Services) | 6.000% | 03/15/2018 | 1,500,000 | 1,545,689 | ||||||||||||||
Anadarko Petroleum Corp. (Oil, Gas & Consumable Fuels) | 5.950% | 09/15/2016 | 1,500,000 | 1,292,649 | ||||||||||||||
Atlantic Richfield Co. (Oil, Gas & Consumable Fuels) | 8.550% | 03/01/2012 | 200,000 | 204,193 | ||||||||||||||
Cenovus Energy, Inc. (Oil, Gas & Consumable Fuels) | (a) | 5.700% | 10/15/2019 | 1,000,000 | 1,094,228 | |||||||||||||
Energy Transfer Partners LP (Oil, Gas & Consumable Fuels) | 5.650% | 08/01/2012 | 1,000,000 | 1,060,814 | ||||||||||||||
EOG Resources, Inc. (Oil, Gas & Consumable Fuels) | 2.950% | 06/01/2015 | 1,250,000 | 1,263,094 | ||||||||||||||
Magellan Midstream Partners LP (Oil, Gas & Consumable Fuels) | 6.550% | 07/15/2019 | 500,000 | 562,498 | ||||||||||||||
Marathon Oil Corp. (Oil, Gas & Consumable Fuels) | 6.125% | 03/15/2012 | 750,000 | 804,588 | ||||||||||||||
QEP Resources, Inc. (Oil, Gas & Consumable Fuels) | 6.800% | 03/01/2020 | 1,000,000 | 1,041,144 | ||||||||||||||
Shell International Finance BV (Oil, Gas & Consumable Fuels) | 4.375% | 03/25/2020 | 1,250,000 | 1,294,717 | ||||||||||||||
Valero Energy Corp. (Oil, Gas & Consumable Fuels) | 6.875% | 04/15/2012 | 750,000 | 807,809 | ||||||||||||||
XTO Energy, Inc. (Oil, Gas & Consumable Fuels) | 4.900% | 02/01/2014 | 1,000,000 | 1,101,096 | ||||||||||||||
12,072,519 | ||||||||||||||||||
FINANCIALS – 28.1% | ||||||||||||||||||
BlackRock, Inc. (Capital Markets) | 2.250% | 12/10/2012 | 500,000 | 510,712 | ||||||||||||||
Credit Suisse (Capital Markets) | 3.500% | 03/23/2015 | 1,250,000 | 1,262,239 | ||||||||||||||
Franklin Resources, Inc. (Capital Markets) | 3.125% | 05/20/2015 | 1,000,000 | 1,025,380 | ||||||||||||||
Goldman Sachs Group, Inc. / The (Capital Markets) | 6.150% | 04/01/2018 | 1,250,000 | 1,311,410 | ||||||||||||||
Janus Capital Group, Inc. (Capital Markets) | (b) | 6.950% | 06/15/2017 | 1,500,000 | 1,507,851 | |||||||||||||
Jefferies Group, Inc. (Capital Markets) | 5.875% | 06/08/2014 | 1,500,000 | 1,587,603 | ||||||||||||||
Morgan Stanley (Capital Markets) | 4.750% | 04/01/2014 | 1,250,000 | 1,253,206 | ||||||||||||||
TD Ameritrade Holding Corp. (Capital Markets) | 4.150% | 12/01/2014 | 1,000,000 | 1,038,818 | ||||||||||||||
BB&T Corp. (Commercial Banks) | 5.200% | 12/23/2015 | 1,000,000 | 1,068,451 | ||||||||||||||
Comerica Bank (Commercial Banks) | 5.750% | 11/21/2016 | 1,500,000 | 1,602,174 | ||||||||||||||
Deutsche Bank Capital Funding Trust VII (Commercial Banks) | (a)(c) | 5.628% | Perpetual | 1,500,000 | 1,136,250 | |||||||||||||
Fifth Third Bancorp (Commercial Banks) | 4.500% | 06/01/2018 | 1,750,000 | 1,657,448 | ||||||||||||||
PNC Funding Corp. (Commercial Banks) | 5.250% | 11/15/2015 | 1,500,000 | 1,598,724 | ||||||||||||||
SunTrust Bank (Commercial Banks) | 5.000% | 09/01/2015 | 1,500,000 | 1,536,142 | ||||||||||||||
Wells Fargo & Co. (Commercial Banks) | 5.625% | 12/11/2017 | 750,000 | 821,149 | ||||||||||||||
American Express Co. (Consumer Finance) | 7.000% | 03/19/2018 | 1,250,000 | 1,443,933 | ||||||||||||||
Capital One Bank USA NA (Consumer Finance) | 5.125% | 02/15/2014 | 750,000 | 805,294 | ||||||||||||||
Discover Financial Services (Consumer Finance) | 6.450% | 06/12/2017 | 750,000 | 757,958 | ||||||||||||||
Bank of America Corp. (Diversifed Financial Services) | 5.650% | 05/01/2018 | 1,000,000 | 1,026,424 | ||||||||||||||
Citigroup, Inc. (Diversified Financial Services) | 6.125% | 05/15/2018 | 1,250,000 | 1,306,634 | ||||||||||||||
General Electric Capital Corp. (Diversified Financial Services) | 5.625% | 05/01/2018 | 1,000,000 | 1,064,399 | ||||||||||||||
JPMorgan Chase & Co. (Diversified Financial Services) | 5.150% | 10/01/2015 | 1,500,000 | 1,606,737 | ||||||||||||||
Assurant, Inc. (Insurance) | 5.625% | 02/15/2014 | 1,500,000 | 1,586,280 | ||||||||||||||
Axis Capital Holdings Ltd. (Insurance) | 5.750% | 12/01/2014 | 1,000,000 | 1,038,454 | ||||||||||||||
Berkshire Hathaway, Inc. (Insurance) | 3.200% | 02/11/2015 | 1,250,000 | 1,288,638 | ||||||||||||||
Hartford Financial Services Group, Inc. / The (Insurance) | 5.375% | 03/15/2017 | 1,500,000 | 1,488,822 | ||||||||||||||
Liberty Mutual Group, Inc. (Insurance) | (a) | 5.750% | 03/15/2014 | 1,000,000 | 1,040,651 |
(continued)
12
Ohio National Fund, Inc. | Bond Portfolio (Continued) |
Schedule of Investments | June 30, 2010 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||
FINANCIALS (continued) | ||||||||||||||||||
Loews Corp. (Insurance) | 5.250% | 03/15/2016 | $ | 750,000 | $ | 814,909 | ||||||||||||
Metropolitan Life Global Funding I (Insurance) | (a) | 2.875% | 09/17/2012 | 1,000,000 | 1,024,304 | |||||||||||||
Prudential Financial, Inc. (Insurance) | 6.100% | 06/15/2017 | 1,500,000 | 1,599,773 | ||||||||||||||
StanCorp Financial Group, Inc. (Insurance) | 6.875% | 10/01/2012 | 500,000 | 537,151 | ||||||||||||||
Equity One, Inc. (Real Estate Investment Trusts) | 6.250% | 01/15/2017 | 1,250,000 | 1,296,840 | ||||||||||||||
HCP, Inc. (Real Estate Investment Trusts) | 4.875% | 09/15/2010 | 1,500,000 | 1,507,305 | ||||||||||||||
Mack-Cali Realty LP (Real Estate Investment Trusts) | 4.600% | 06/15/2013 | 1,000,000 | 1,043,852 | ||||||||||||||
Simon Property Group LP (Real Estate Investment Trusts) | 4.875% | 08/15/2010 | 1,250,000 | 1,253,217 | ||||||||||||||
42,449,132 | ||||||||||||||||||
HEALTH CARE – 5.4% | ||||||||||||||||||
Baxter International, Inc. (Health Care Equipment & Supplies) | 1.800% | 03/15/2013 | 250,000 | 253,091 | ||||||||||||||
Becton Dickinson & Co. (Health Care Equipment & Supplies) | 5.000% | 05/15/2019 | 500,000 | 553,269 | ||||||||||||||
Covidien International Finance SA (Health Care Equipment and Supplies) | 2.800% | 06/15/2015 | 1,250,000 | 1,263,831 | ||||||||||||||
St. Jude Medical, Inc. (Health Care Equipment & Supplies) | 2.200% | 09/15/2013 | 1,000,000 | 1,013,468 | ||||||||||||||
AmerisourceBergen Corp. (Health Care Providers & Services) | 4.875% | 11/15/2019 | 500,000 | 519,004 | ||||||||||||||
UnitedHealth Group, Inc. (Health Care Providers & Services) | 6.000% | 02/15/2018 | 1,500,000 | 1,675,111 | ||||||||||||||
Thermo Fisher Scientific, Inc. (Life Sciences Tools & Services) | 3.250% | 11/20/2014 | 300,000 | 310,140 | ||||||||||||||
Abbott Laboratories (Pharmaceuticals) | 2.700% | 05/27/2015 | 1,000,000 | 1,023,757 | ||||||||||||||
Merck & Co, Inc. (Pharmaceuticals) | 5.000% | 06/30/2019 | 1,000,000 | 1,114,358 | ||||||||||||||
Teva Pharmaceutical Finance II BV/Teva Pharmaceutical Finance III LLC (Pharmaceuticals) | 3.000% | 06/15/2015 | 500,000 | 510,380 | ||||||||||||||
8,236,409 | ||||||||||||||||||
INDUSTRIALS – 6.9% | ||||||||||||||||||
BAE Systems Holdings, Inc. (Aerospace & Defense) | (a) | 6.375% | 06/01/2019 | 750,000 | 856,617 | |||||||||||||
Raytheon Co. (Aerospace & Defense) | 4.400% | 02/15/2020 | 1,250,000 | 1,343,679 | ||||||||||||||
Owens Corning, Inc. (Building Products) | 6.500% | 12/01/2016 | 1,000,000 | 1,065,384 | ||||||||||||||
Waste Management, Inc. (Commercial Services & Supplies) | 6.100% | 03/15/2018 | 1,500,000 | 1,712,312 | ||||||||||||||
Emerson Electric Co. (Electrical Equipment) | 4.250% | 11/15/2020 | 1,250,000 | 1,331,381 | ||||||||||||||
Caterpillar, Inc. (Machinery) | 5.700% | 08/15/2016 | 1,000,000 | 1,145,245 | ||||||||||||||
Deere & Co. (Machinery) | 4.375% | 10/16/2019 | 1,250,000 | 1,334,421 | ||||||||||||||
CSX Corp. (Road & Rail) | 5.600% | 05/01/2017 | 1,500,000 | 1,651,698 | ||||||||||||||
10,440,737 | ||||||||||||||||||
INFORMATION TECHNOLOGY – 2.2% | ||||||||||||||||||
Cisco Systems, Inc. (Communications Equipment) | 2.900% | 11/17/2014 | 300,000 | 310,779 | ||||||||||||||
Computer Sciences Corp. (IT Services) | 6.500% | 03/15/2018 | 1,500,000 | 1,674,794 | ||||||||||||||
International Business Machines Corp. (IT Services) | 2.100% | 05/06/2013 | 1,250,000 | 1,274,701 | ||||||||||||||
3,260,274 | ||||||||||||||||||
MATERIALS – 2.3% | ||||||||||||||||||
Monsanto Co. (Chemicals) | 7.375% | 08/15/2012 | 1,000,000 | 1,122,392 | ||||||||||||||
Praxair, Inc. (Chemicals) | 2.125% | 06/14/2013 | 1,250,000 | 1,271,825 | ||||||||||||||
Teck Resources Ltd. (Metals & Mining) | 7.000% | 09/15/2012 | 1,000,000 | 1,076,093 | ||||||||||||||
3,470,310 | ||||||||||||||||||
TELECOMMUNICATION SERVICES – 4.2% | ||||||||||||||||||
AT&T Corp. (Diversified Telecommunication Services) | (b) | 7.300% | 11/15/2011 | 500,000 | 540,634 | |||||||||||||
Embarq Corp. (Diversified Telecommunication Services) | 6.738% | 06/01/2013 | 1,000,000 | 1,088,220 | ||||||||||||||
Telecom Italia Capital SA (Diversified Telecommunication Services) | 5.250% | 10/01/2015 | 750,000 | 757,796 | ||||||||||||||
Verizon Communications, Inc. (Diversified Telecommunication Services) | 5.350% | 02/15/2011 | 1,000,000 | 1,027,125 | ||||||||||||||
America Movil S.A.B. de C.V. (Wireless Telecommunication Services) | 5.750% | 01/15/2015 | 1,000,000 | 1,116,029 | ||||||||||||||
New Cingular Wireless Services, Inc. (Wireless Telecommunication Services) | 7.875% | 03/01/2011 | 750,000 | 784,375 | ||||||||||||||
Rogers Communications, Inc. (Wireless Telecommunication Services) | 5.500% | 03/15/2014 | 1,000,000 | 1,105,126 | ||||||||||||||
6,419,305 | ||||||||||||||||||
UTILITIES – 15.9% | ||||||||||||||||||
Appalachian Power Co. (Electric Utilities) | 5.550% | 04/01/2011 | 1,000,000 | 1,030,000 | ||||||||||||||
Commonwealth Edison Co. (Electric Utilities) | 5.950% | 08/15/2016 | 1,500,000 | 1,716,432 | ||||||||||||||
Duke Energy Corp. (Electric Utilities) | 3.350% | 04/01/2015 | 1,250,000 | 1,276,356 | ||||||||||||||
Entergy Mississippi, Inc. (Electric Utilities) | 5.920% | 02/01/2016 | 1,000,000 | 1,015,515 | ||||||||||||||
Florida Power Corp. (Electric Utilities) | 4.550% | 04/01/2020 | 500,000 | 536,655 | ||||||||||||||
IPALCO Enterprises, Inc. (Electric Utilities) | (b) | 8.625% | 11/14/2011 | 1,000,000 | 1,045,000 | |||||||||||||
Kansas City Power & Light Co. (Electric Utilities) | 5.850% | 06/15/2017 | 1,500,000 | 1,664,028 | ||||||||||||||
Metropolitan Edison Co. (Electric Utilities) | 4.875% | 04/01/2014 | 750,000 | 791,976 | ||||||||||||||
Potomac Electric Power Co. (Electric Utilities) | 6.500% | 11/15/2037 | 750,000 | 899,003 | ||||||||||||||
PSEG Power LLC (Electric Utilities) | 5.000% | 04/01/2014 | 750,000 | 802,060 | ||||||||||||||
Tenaska Georgia Partners LP (Electric Utilities) | 9.500% | 02/01/2030 | 488,744 | 574,670 | ||||||||||||||
Union Electric Co. (Electric Utilities) | 6.400% | 06/15/2017 | 1,500,000 | 1,703,834 | ||||||||||||||
Virginia Electric & Power Co. (Electric Utilities) | 5.400% | 01/15/2016 | 1,500,000 | 1,676,356 | ||||||||||||||
AGL Capital Corp. (Gas Utilities) | 5.250% | 08/15/2019 | 1,000,000 | 1,059,611 |
(continued)
13
Ohio National Fund, Inc. | Bond Portfolio (Continued) |
Schedule of Investments | June 30, 2010 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||
UTILITIES (continued) | ||||||||||||||||||
CenterPoint Energy Resources Corp. (Gas Utilities) | 5.950% | 01/15/2014 | $ | 500,000 | $ | 545,138 | ||||||||||||
Southwest Gas Corp. (Gas Utilities) | 7.625% | 05/15/2012 | 1,000,000 | 1,087,714 | ||||||||||||||
Spectra Energy Capital LLC (Gas Utilities) | 5.500% | 03/01/2014 | 750,000 | 802,923 | ||||||||||||||
Energy Future Competitive Holdings Co. (Independent Power Producers & Energy Traders) | 7.480% | 01/01/2017 | 568,236 | 482,559 | ||||||||||||||
TransAlta Corp. (Independent Power Producers & Energy Traders) | 6.750% | 07/15/2012 | 1,000,000 | 1,084,520 | ||||||||||||||
Alliant Energy Corp. (Multi-Utilities) | 4.000% | 10/15/2014 | 1,000,000 | 1,032,901 | ||||||||||||||
Avista Corp. (Multi-Utilities) | 5.950% | 06/01/2018 | 1,000,000 | 1,111,072 | ||||||||||||||
Consumers Energy Co. (Multi-Utilities) | 6.000% | 02/15/2014 | 1,000,000 | 1,119,282 | ||||||||||||||
Xcel Energy, Inc. (Multi-Utilities) | 4.700% | 05/15/2020 | 1,000,000 | 1,042,600 | ||||||||||||||
24,100,205 | ||||||||||||||||||
Total Corporate Bonds (Cost $124,541,205) | $ | 132,539,867 | ||||||||||||||||
U.S. Treasury Obligations – 6.2% | Rate | Maturity | Face Amount | Value | ||||||||||||||
U.S. Treasury Note | 2.375% | 09/30/2014 | $ | 6,000,000 | $ | 6,198,282 | ||||||||||||
U.S. Treasury Note | 3.375% | 11/15/2019 | 3,000,000 | 3,107,580 | ||||||||||||||
Total U.S. Treasury Obligations (Cost $8,923,234) | $ | 9,305,862 | ||||||||||||||||
Money Market Funds – 2.1% | Shares | Value | ||||||||||||||||
Fidelity Institutional Money Market Funds Money Market Portfolio – Class I | 3,160,000 | $ | 3,160,000 | |||||||||||||||
Total Money Market Funds (Cost $3,160,000) | $ | 3,160,000 | ||||||||||||||||
Repurchase Agreements – 5.1% | Rate | Maturity | Face Amount | Amortized Cost | ||||||||||||||
U.S. Bank, Agreement date: 06/30/2010, Repurchase price: $7,700,000 Collateralized by: Fannie Mae Pool #255494 (FNCI) 4.500%, Due 11/01/2019 with value of $7,854,003 | 0.010% | 07/01/2010 | $ | 7,700,000 | $ | 7,700,000 | ||||||||||||
Total Repurchase Agreements (Cost $7,700,000) | $ | 7,700,000 | ||||||||||||||||
Total Investments – 101.0% (Cost $144,324,439) | (d) | $ | 152,705,729 | |||||||||||||||
Liabilities in Excess of Other Assets – (1.0)% | (1,444,465 | ) | ||||||||||||||||
Net Assets – 100.0% | $ | 151,261,264 | ||||||||||||||||
Percentages are stated as a percent of net assets.
Footnotes:
(a) | Security exempt from registration under Regulation D of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers under rule 144A. At June 30, 2010, the value of these securities totaled $5,981,101 or 4.0% of the Portfolio’s net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Directors. | |
(b) | This security is a credit sensitive bond. The coupon rate is a variable rate subject to adjustment based on changes in either Moody’s or S&P ratings. | |
(c) | Fixed-to-floating rate, callable, perpetual life trust preferred security. Interest rates stated are those in effect at June 30, 2010. | |
(d) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
14
Ohio National Fund, Inc. | Omni Portfolio |
Objective/Strategy
The Omni Portfolio seeks a high level of long-term total return consistent with preservation of capital by investing in stocks, bonds, and money market instruments.
Performance as of June 30, 2010
Average Annual Total Returns: | ||||
One year | 12.02% | |||
Five years | 2.18% | |||
Ten years | -1.34% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2010, the Omni Portfolio returned -3.88% versus -2.81% for the current benchmark, which is composed of 70% S&P 500 Index and 30% BofA Merrill Lynch U.S. Corporate Master Index (the “Merrill Lynch Index”).
The 107 basis points of underperformance is the result of several factors. First, the equity portion of the Portfolio underperformed the S&P 500 Index. Second, the bond portion of the Portfolio outperformed the BofA Merrill Lynch U.S. Corporate Master Index. Third, for much of the period, the Portfolio was slightly under-weighted in bonds versus the blended benchmark, and this was a drag on overall performance because bonds performed reasonably well during the period.(1)
It was not a good six months for the U.S. stock market as the S&P 500 Index was down 6.65%. There were three main reasons the equity market performed so poorly. First, there was widespread fear that economic weakness in Greece, perhaps leading to eventual sovereign default, was spreading across Southern Europe. Second, the world’s main engine of growth, China, began seeing signs of a slowing economy, and perhaps a growing real estate bubble. Third, U.S. investors began to take a dimmer view of policies from Washington.
While stocks performed poorly during the period, bonds performed reasonably well as the BofA Merrill Lynch U.S. Corporate Master Index had a total return of 6.09%. Because of economic problems in Southern Europe and continued weak growth in the U.S., Treasury yields declined significantly (the 10-year Treasury yield declined 91 basis points). The decline in Treasury yields had a positive impact on bond prices that more than offset the negative impact from a modest widening in credit spreads. Credit spreads widened because of the potential negative impact on corporate credit from a weak economy.
The equity portion of the Omni Portfolio had a total return of -7.92% gross of fees, for underperformance versus the S&P 500 Index of 127 basis points. The overweight in Financials, principally in large banks and insurance companies, were the main cause of underperformance, along with too much exposure to commodities. The banks were singled out by Washington in the financial overhaul bill, and Bank of America Corp., Wells Fargo & Co., JP Morgan Chase & Co., and Morgan Stanley all underperformed. The life insurance companies were primarily hit because of fears of foreign debt exposure and, perhaps, by the unknown of the cost of the derivative legislation in the financial reform bill. MetLife, Inc. and Lincoln National Corp. declined approximately 8% on average. Perceived global economic weakness hit The Dow Chemical Co., Teck Resources Ltd., Freeport-McMoRan Copper & Gold, Inc. and Caterpillar, Inc., as well as other cyclicals.(1)
During the first half of 2010, the return from the bond portion of the Portfolio exceeded the 6.09% return of the BofA Merrill Lynch U.S. Corporate Master Index. This outperformance was primarily the result of individual bond holdings performing particularly well, rather than industry weightings or Portfolio duration positioning versus the BofA Merrill Lynch U.S. Corporate Master Index. Bonds that performed very well included KeyBank NA, ERAC USA Finance LLC, Potomac Electric Power Co., Discover Financial Services, Bunge N.A. Finance LP and Hospira, Inc. KeyBank NA, ERAC USA Finance LLC and Discover Financial Services performed well because these financial services companies continued to recover from the difficulties of the recent recession. Potomac Electric Power Co. had good performance because it is a long maturity bond that rose in value as Treasury yields declined. The five poorest performing bonds were Anadarko Petroleum Corp., Telecom Italia Capital SA, American Home Products, The Goldman Sachs Group, Inc. and AT&T Corp. Anadarko Petroleum Corp. declined in value due to its ownership interest in the deepwater well that exploded in the Gulf of Mexico. The Goldman Sachs Group, Inc. underperformed due to legal problems. The remaining three weak performing bonds underperformed because of their short maturities in a declining interest rate environment and not because of any underlying credit problem. The bond portion of the Portfolio was under-weighted in the banking sector and this aided performance because the bank sector underperformed. The bond portion of the Portfolio was also over-weighted in the electric utility sector and this benefited performance because the electric utility sector outperformed. The performance of the bond component of the Portfolio was disadvantaged by its duration positioning versus that of the BofA Merrill Lynch U.S. Corporate Master Index because the bond portfolio had a duration that was shorter than the BofA Merrill Lynch U.S. Corporate Master Index during a period of time when Treasury yields declined.(1)
The U.S. economy has been slowly recovering from its worst recession since the Great Depression. While recent economic indicators have been weak and talk of a double-dip recession has been gaining currency, we expect economic growth to continue, but remain low. We believe the stock market is not expensive: on a forward price earnings basis, it is trading at only 12 times 2011 projected earnings and 10 times 2012 projected earnings. However, if the economy falters and has a double-dip recession, these projections are meaningless. Therefore, we are taking a cautious view of the economy for now. The Portfolio is over-weighted in financial stocks because most do not need a strong economy to work through their credit problems, given the very low interest rates at which they can borrow. The stock portfolio is under-weighted in consumer cyclical, and over-weighted in food stocks, due to concerns about the strength of consumer buying power. Because Treasury yields are so low currently, as well as our expectation that interest rates will rise once the economy begins to show some strength, the duration of the bond portion of the Portfolio is short of the duration of the BofA Merrill Lynch U.S. Corporate Master Index. Because credit spreads tightened so dramatically in 2009, and remain tight today, it is unlikely that credit spreads will tighten from current levels in 2010. Due to the outlook for credit spreads, bond purchases will be skewed toward higher quality credits.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2010. |
(continued)
15
Ohio National Fund, Inc. | Omni Portfolio (Continued) |
Change in Value of $10,000 Investment
70% S&P | ||||||||
500 Index/30% | ||||||||
BofA Merrill | ||||||||
Lynch U.S. | ||||||||
Corporate Master | ||||||||
Omni Portfolio | Index | |||||||
06/30/2000 | 10000 | 10000 | ||||||
12/31/2000 | 8267 | 9584 | ||||||
06/30/2001 | 7522 | 9300 | ||||||
12/31/2001 | 7186 | 9087 | ||||||
06/30/2002 | 6071 | 8295 | ||||||
12/31/2002 | 5551 | 7905 | ||||||
06/30/2003 | 6146 | 8741 | ||||||
12/31/2003 | 7006 | 9678 | ||||||
06/30/2004 | 7091 | 9908 | ||||||
12/31/2004 | 7504 | 10577 | ||||||
06/30/2005 | 7843 | 10600 | ||||||
12/31/2005 | 8216 | 11012 | ||||||
06/30/2006 | 8402 | 11173 | ||||||
12/31/2006 | 9310 | 12365 | ||||||
06/30/2007 | 9829 | 13000 | ||||||
12/31/2007 | 9961 | 13027 | ||||||
06/30/2008 | 9258 | 11911 | ||||||
12/31/2008 | 6827 | 9271 | ||||||
06/30/2009 | 7800 | 9761 | ||||||
12/31/2009 | 9090 | 11577 | ||||||
06/30/2010 | 8737 | 11252 |
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-083743/l40308l4030803.gif)
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The BofA Merrill Lynch U.S. Corporate Master Index tracks the performance of all U.S. dollar-denominated, investment grade corporate public debt issued in the U.S. domestic bond market. Qualifying bonds must have at least one year remaining term to maturity, a fixed coupon schedule, and a minimum amount outstanding of $250 million.
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 herein includes the effects of reinvested dividends.
Portfolio Composition as of June 30, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 64.2 | ||
Corporate Bonds (3) | 29.7 | ||
Money Market Funds and Other Net Assets | 6.1 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2010 (1) (2)
% of Net Assets | |||||||
1. | International Business Machines Corp. | 1.7 | |||||
2. | Merck & Co., Inc. | 1.7 | |||||
3. | Apple, Inc. | 1.7 | |||||
4. | JPMorgan Chase & Co. | 1.7 | |||||
5. | MetLife, Inc. | 1.6 | |||||
6. | Citigroup, Inc. | 1.5 | |||||
7. | Wells Fargo & Co. | 1.5 | |||||
8. | Prudential Financial, Inc. | 1.5 | |||||
9. | Cisco Systems, Inc. | 1.4 | |||||
10. | Praxair, Inc. | 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) | Sectors (combined): |
% of Net Assets | |||
Financials | 21.8 | ||
Information Technology | 15.9 | ||
Consumer Staples | 10.0 | ||
Energy | 9.4 | ||
Consumer Discretionary | 8.6 | ||
Industrials | 8.0 | ||
Health Care | 7.3 | ||
Utilities | 5.8 | ||
Materials | 4.4 | ||
Telecommunication Services | 2.7 | ||
93.9 | |||
16
Ohio National Fund, Inc. | Omni Portfolio |
Schedule of Investments | June 30, 2010 (Unaudited) |
Common Stocks – 64.2% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 7.0% | ||||||||||
Hotels, Restaurants & Leisure – 3.1% | ||||||||||
Darden Restaurants, Inc. | 10,500 | $ | 407,925 | |||||||
McDonald’s Corp. | 4,300 | 283,241 | ||||||||
Yum! Brands, Inc. | 12,400 | 484,096 | ||||||||
1,175,262 | ||||||||||
Media – 2.2% | ||||||||||
Viacom, Inc. Class B | 11,400 | 357,618 | ||||||||
Walt Disney Co. / The | 15,200 | 478,800 | ||||||||
836,418 | ||||||||||
Multiline Retail – 0.9% | ||||||||||
Target Corp. | 7,000 | 344,190 | ||||||||
Specialty Retail – 0.8% | ||||||||||
Tiffany & Co. | 8,100 | 307,071 | ||||||||
TOTAL CONSUMER DISCRETIONARY | 2,662,941 | |||||||||
CONSUMER STAPLES – 6.3% | ||||||||||
Beverages – 3.6% | ||||||||||
Coca-Cola Co. / The | 10,300 | 516,236 | ||||||||
Molson Coors Brewing Co. Class B | 8,900 | 377,004 | ||||||||
PepsiCo, Inc. | 8,200 | 499,790 | ||||||||
1,393,030 | ||||||||||
Food & Staples Retailing – 1.0% | ||||||||||
Wal-Mart Stores, Inc. | 7,700 | 370,139 | ||||||||
Food Products – 1.7% | ||||||||||
Campbell Soup Co. | 8,400 | 300,972 | ||||||||
Ralcorp Holdings, Inc. | (a) | 6,400 | 350,720 | |||||||
651,692 | ||||||||||
TOTAL CONSUMER STAPLES | 2,414,861 | |||||||||
ENERGY – 6.2% | ||||||||||
Oil, Gas & Consumable Fuels – 6.2% | ||||||||||
Apache Corp. | 2,000 | 168,380 | ||||||||
Devon Energy Corp. | 5,000 | 304,600 | ||||||||
EOG Resources, Inc. | 4,900 | 482,013 | ||||||||
Hess Corp. | 9,300 | 468,162 | ||||||||
Occidental Petroleum Corp. | 6,200 | 478,330 | ||||||||
Southwestern Energy Co. | (a) | 12,000 | 463,680 | |||||||
TOTAL ENERGY | 2,365,165 | |||||||||
FINANCIALS – 13.3% | ||||||||||
Capital Markets – 1.2% | ||||||||||
State Street Corp. | 13,400 | 453,188 | ||||||||
Commercial Banks – 2.5% | ||||||||||
SunTrust Banks, Inc. | 15,400 | 358,820 | ||||||||
Wells Fargo & Co. | 22,800 | 583,680 | ||||||||
942,500 | ||||||||||
Diversified Financial Services – 4.4% | ||||||||||
Bank of America Corp. | 33,700 | 484,269 | ||||||||
Citigroup, Inc. | (a) | 156,900 | 589,944 | |||||||
JPMorgan Chase & Co. | 17,200 | 629,692 | ||||||||
1,703,905 | ||||||||||
Insurance – 5.2% | ||||||||||
Hartford Financial Services Group, Inc. | 14,400 | 318,672 | ||||||||
Lincoln National Corp. | 19,300 | 468,797 | ||||||||
MetLife, Inc. | 16,300 | 615,488 | ||||||||
Prudential Financial, Inc. | 10,600 | 568,796 | ||||||||
1,971,753 | ||||||||||
TOTAL FINANCIALS | 5,071,346 | |||||||||
HEALTH CARE – 5.2% | ||||||||||
Biotechnology – 0.8% | ||||||||||
Amgen, Inc. | (a) | 6,100 | 320,860 | |||||||
Health Care Equipment & Supplies – 2.4% | ||||||||||
Hospira, Inc. | (a) | 9,000 | 517,050 | |||||||
Zimmer Holdings, Inc. | (a) | 7,300 | 394,565 | |||||||
911,615 | ||||||||||
Pharmaceuticals – 2.0% | ||||||||||
Merck & Co., Inc. | 18,800 | 657,436 | ||||||||
Pfizer, Inc. | 6,700 | 95,542 | ||||||||
752,978 | ||||||||||
TOTAL HEALTH CARE | 1,985,453 | |||||||||
INDUSTRIALS – 6.3% | ||||||||||
Aerospace & Defense – 2.0% | ||||||||||
Goodrich Corp. | 4,500 | 298,125 | ||||||||
Honeywell International, Inc. | 12,300 | 480,069 | ||||||||
778,194 | ||||||||||
Air Freight & Logistics – 1.2% | ||||||||||
United Parcel Service, Inc. Class B | 8,200 | 466,498 | ||||||||
Industrial Conglomerates – 1.9% | ||||||||||
3M Co. | 6,000 | 473,940 | ||||||||
General Electric Co. | 16,000 | 230,720 | ||||||||
704,660 | ||||||||||
Machinery – 1.2% | ||||||||||
Caterpillar, Inc. | 7,400 | 444,518 | ||||||||
TOTAL INDUSTRIALS | 2,393,870 | |||||||||
INFORMATION TECHNOLOGY – 15.5% | ||||||||||
Communications Equipment – 2.8% | ||||||||||
Cisco Systems, Inc. | (a) | 25,800 | 549,798 | |||||||
QUALCOMM, Inc. | 15,400 | 505,736 | ||||||||
1,055,534 | ||||||||||
Computers & Peripherals – 4.2% | ||||||||||
Apple, Inc. | (a) | 2,600 | 653,978 | |||||||
Dell, Inc. | (a) | 39,000 | 470,340 | |||||||
Hewlett-Packard Co. | 10,800 | 467,424 | ||||||||
1,591,742 | ||||||||||
Internet Software & Services – 1.3% | ||||||||||
Google, Inc. Class A | (a) | 1,100 | 489,445 | |||||||
IT Services – 1.7% | ||||||||||
International Business Machines Corp. | 5,400 | 666,792 | ||||||||
Semiconductors & Semiconductor Equipment – 3.2% | ||||||||||
Intel Corp. | 15,100 | 293,695 | ||||||||
Maxim Integrated Products, Inc. | 20,800 | 347,984 | ||||||||
SunPower Corp. | (a) | 25,500 | 275,400 | |||||||
Texas Instruments, Inc. | 13,900 | 323,592 | ||||||||
1,240,671 | ||||||||||
Software – 2.3% | ||||||||||
Microsoft Corp. | 17,600 | 404,976 | ||||||||
Oracle Corp. | 22,200 | 476,412 | ||||||||
881,388 | ||||||||||
TOTAL INFORMATION TECHNOLOGY | 5,925,572 | |||||||||
MATERIALS – 4.4% | ||||||||||
Chemicals – 3.7% | ||||||||||
Air Products and Chemicals, Inc. | 7,000 | 453,670 | ||||||||
Dow Chemical Co. / The | 18,800 | 445,936 | ||||||||
Praxair, Inc. | 7,000 | 531,930 | ||||||||
1,431,536 | ||||||||||
Metals & Mining – 0.7% | ||||||||||
Teck Resources Ltd. | 9,100 | 269,178 | ||||||||
TOTAL MATERIALS | 1,700,714 | |||||||||
Total Common Stocks (Cost $26,129,103) | $ | 24,519,922 | ||||||||
(continued)
17
Ohio National Fund, Inc. | Omni Portfolio (Continued) |
Schedule of Investments | June 30, 2010 (Unaudited) |
Face | ||||||||||
Corporate Bonds – 29.7% | Amount | Value | ||||||||
CONSUMER DISCRETIONARY – 1.6% | ||||||||||
Automobiles – 0.3% | ||||||||||
Daimler Finance North America LLC 6.500%, 11/15/2013 | $ | 100,000 | $ | 112,009 | ||||||
Media – 1.0% | ||||||||||
Comcast Corp. 5.875%, 02/15/2018 | 150,000 | 167,161 | ||||||||
Cox Communications, Inc. 6.750%, 03/15/2011 | 100,000 | 103,357 | ||||||||
Walt Disney Co. / The 6.200%, 06/20/2014 | 100,000 | 116,179 | ||||||||
386,697 | ||||||||||
Multiline Retail – 0.3% | ||||||||||
Macy’s Retail Holdings, Inc. 5.900%, 12/01/2016 | 100,000 | 100,750 | ||||||||
TOTAL CONSUMER DISCRETIONARY | 599,456 | |||||||||
CONSUMER STAPLES – 3.7% | ||||||||||
Beverages – 0.7% | ||||||||||
Anheuser-Busch Cos., Inc. 5.500%, 01/15/2018 | 150,000 | 163,768 | ||||||||
Coca Cola Co. / The 4.875%, 03/15/2019 | 100,000 | 110,975 | ||||||||
274,743 | ||||||||||
Food & Staples Retailing – 1.3% | ||||||||||
CVS Caremark Corp. 5.750%, 06/01/2017 | 150,000 | 167,112 | ||||||||
Kroger Co. / The 6.400%, 08/15/2017 | 150,000 | 174,854 | ||||||||
Safeway, Inc. 6.350%, 08/15/2017 | 150,000 | 173,379 | ||||||||
515,345 | ||||||||||
Food Products – 0.9% | ||||||||||
Bunge N.A. Finance LP 5.900%, 04/01/2017 | 150,000 | 160,289 | ||||||||
Kraft Foods, Inc. 6.500%, 08/11/2017 | 150,000 | 174,480 | ||||||||
334,769 | ||||||||||
Household Products – 0.8% | ||||||||||
Kimberly-Clark Corp. 6.125%, 08/01/2017 | 150,000 | 177,804 | ||||||||
Procter & Gamble Co. / The 4.700%, 02/15/2019 | 100,000 | 109,774 | ||||||||
287,578 | ||||||||||
TOTAL CONSUMER STAPLES | 1,412,435 | |||||||||
ENERGY – 3.2% | ||||||||||
Energy Equipment & Services – 0.4% | ||||||||||
Weatherford International Ltd. 6.000%, 03/15/2018 | 150,000 | 154,569 | ||||||||
Oil, Gas & Consumable Fuels – 2.8% | ||||||||||
Anadarko Petroleum Corp. 5.950%, 09/15/2016 | 150,000 | 129,265 | ||||||||
Boardwalk Pipelines LP 5.500%, 02/01/2017 | 250,000 | 258,857 | ||||||||
Enterprise Products Operating LLC 5.000%, 03/01/2015 | 150,000 | 157,963 | ||||||||
Magellan Midstream Partners LP 6.400%, 07/15/2018 | 150,000 | 167,999 | ||||||||
Valero Energy Corp. 4.750%, 06/15/2013 | 250,000 | 261,657 | ||||||||
XTO Energy, Inc. 4.900%, 02/01/2014 | 100,000 | 110,109 | ||||||||
1,085,850 | ||||||||||
TOTAL ENERGY | 1,240,419 | |||||||||
FINANCIALS – 8.5% | ||||||||||
Capital Markets – 1.7% | ||||||||||
Goldman Sachs Group, Inc. / The 5.150%, 01/15/2014 | 100,000 | 104,788 | ||||||||
Jefferies Group, Inc. 5.875%, 06/08/2014 | 150,000 | 158,760 | ||||||||
Mellon Funding Corp. 5.500%, 11/15/2018 | 250,000 | 268,319 | ||||||||
Morgan Stanley 4.750%, 04/01/2014 | 100,000 | 100,257 | ||||||||
632,124 | ||||||||||
Commercial Banks – 1.6% | ||||||||||
BB&T Corp. 5.200%, 12/23/2015 | 100,000 | 106,845 | ||||||||
Deutsche Bank Capital Funding Trust VII 5.628%, Perpetual | (b)(c) | 250,000 | 189,375 | |||||||
KeyBank NA 5.700%, 11/01/2017 | 150,000 | 157,599 | ||||||||
PNC Funding Corp. 5.250%, 11/15/2015 | 150,000 | 159,873 | ||||||||
613,692 | ||||||||||
Consumer Finance – 0.7% | ||||||||||
Capital One Bank USA NA 5.125%, 02/15/2014 | 100,000 | 107,372 | ||||||||
Discover Financial Services 6.450%, 06/12/2017 | 150,000 | 151,592 | ||||||||
258,964 | ||||||||||
Diversified Financial Services – 2.2% | ||||||||||
Bank of America Corp. 5.750%, 08/15/2016 | 150,000 | 155,595 | ||||||||
Citigroup, Inc. 5.850%, 08/02/2016 | 150,000 | 155,893 | ||||||||
General Electric Capital Corp. 5.000%, 01/08/2016 | 250,000 | 263,951 | ||||||||
JPMorgan Chase & Co. 5.150%, 10/01/2015 | 250,000 | 267,789 | ||||||||
843,228 | ||||||||||
Insurance – 1.2% | ||||||||||
Assurant, Inc. 5.625%, 02/15/2014 | 100,000 | 105,752 | ||||||||
Liberty Mutual Group, Inc. 5.750%, 03/15/2014 | (b) | 250,000 | 260,163 | |||||||
MetLife, Inc. 5.375%, 12/15/2012 | 100,000 | 107,288 | ||||||||
473,203 | ||||||||||
Real Estate Investment Trusts – 1.1% | ||||||||||
Duke Realty LP 4.625%, 05/15/2013 | 250,000 | 257,699 | ||||||||
HCP, Inc. 6.000%, 01/30/2017 | 150,000 | 151,655 | ||||||||
409,354 | ||||||||||
TOTAL FINANCIALS | 3,230,565 | |||||||||
HEALTH CARE – 2.1% | ||||||||||
Health Care Equipment & Supplies – 0.5% | ||||||||||
Hospira, Inc. 6.050%, 03/30/2017 | 150,000 | 169,118 | ||||||||
Health Care Providers & Services – 0.9% | ||||||||||
UnitedHealth Group, Inc. 6.000%, 02/15/2018 | 150,000 | 167,511 | ||||||||
WellPoint, Inc. 5.875%, 06/15/2017 | 150,000 | 167,350 | ||||||||
334,861 | ||||||||||
(continued)
18
Ohio National Fund, Inc. | Omni Portfolio (Continued) |
Schedule of Investments | June 30, 2010 (Unaudited) |
Face | ||||||||||
Corporate Bonds (Continued) | Amount | Value | ||||||||
HEALTH CARE (continued) | ||||||||||
Pharmaceuticals – 0.7% | ||||||||||
Abbott Laboratories 5.600%, 11/30/2017 | $ | 150,000 | $ | 174,384 | ||||||
Wyeth 6.950%, 03/15/2011 | 100,000 | 104,197 | ||||||||
278,581 | ||||||||||
TOTAL HEALTH CARE | 782,560 | |||||||||
INDUSTRIALS – 1.7% | ||||||||||
Building Products – 0.4% | ||||||||||
Owens Corning 6.500%, 12/01/2016 | 150,000 | 159,808 | ||||||||
Commercial Services & Supplies – 0.4% | ||||||||||
Waste Management, Inc. 6.100%, 03/15/2018 | 150,000 | 171,231 | ||||||||
Road & Rail – 0.9% | ||||||||||
CSX Corp. 5.600%, 05/01/2017 | 150,000 | 165,170 | ||||||||
ERAC USA Finance LLC 6.375%, 10/15/2017 | (b) | 150,000 | 169,101 | |||||||
334,271 | ||||||||||
TOTAL INDUSTRIALS | 665,310 | |||||||||
INFORMATION TECHNOLOGY – 0.4% | ||||||||||
IT Services – 0.4% | ||||||||||
Computer Sciences Corp. 6.500%, 03/15/2018 | 150,000 | 167,479 | ||||||||
TOTAL INFORMATION TECHNOLOGY | 167,479 | |||||||||
TELECOMMUNICATION SERVICES – 2.7% | ||||||||||
Diversified Telecommunication Services – 2.0% | ||||||||||
AT&T Corp. 7.300%, 11/15/2011 | (d) | 100,000 | 108,127 | |||||||
Embarq Corp. 6.738%, 06/01/2013 | 150,000 | 163,233 | ||||||||
Telecom Italia Capital SA 5.250%, 10/01/2015 | 100,000 | 101,039 | ||||||||
Telefonos de Mexico S.A.B. de C.V. 5.500%, 01/27/2015 | 100,000 | 109,318 | ||||||||
Verizon Florida LLC 6.125%, 01/15/2013 | 250,000 | 272,920 | ||||||||
754,637 | ||||||||||
Wireless Telecommunication Services – 0.7% | ||||||||||
America Movil S.A.B. de C.V. 5.750%, 01/15/2015 | 100,000 | 111,603 | ||||||||
Rogers Communications, Inc. 5.500%, 03/15/2014 | 150,000 | 165,769 | ||||||||
277,372 | ||||||||||
TOTAL TELECOMMUNICATION SERVICES | 1,032,009 | |||||||||
UTILITIES – 5.8% | ||||||||||
Electric Utilities – 4.4% | ||||||||||
Commonwealth Edison Co. 5.950%, 08/15/2016 | 150,000 | 171,643 | ||||||||
Kansas City Power & Light Co. 5.850%, 06/15/2017 | 150,000 | 166,403 | ||||||||
Nevada Power Co. 5.950%, 03/15/2016 | 150,000 | 168,643 | ||||||||
Pennsylvania Electric Co. 6.050%, 09/01/2017 | 150,000 | 166,221 | ||||||||
Potomac Electric Power Co. 6.500%, 11/15/2037 | 150,000 | 179,801 | ||||||||
PSEG Power LLC 5.000%, 04/01/2014 | 250,000 | 267,353 | ||||||||
Southern Power Co. 4.875%, 07/15/2015 | 250,000 | 272,077 | ||||||||
Union Electric Co. 6.400%, 06/15/2017 | 150,000 | 170,383 | ||||||||
Virginia Electric & Power Co. 4.750%, 03/01/2013 | 100,000 | 108,384 | ||||||||
1,670,908 | ||||||||||
Gas Utilities – 0.7% | ||||||||||
Spectra Energy Capital LLC 5.500%, 03/01/2014 | 250,000 | 267,641 | ||||||||
Multi-Utilities – 0.3% | ||||||||||
Consumers Energy Co. 6.000%, 02/15/2014 | 100,000 | 111,928 | ||||||||
Water Utilities – 0.4% | ||||||||||
American Water Capital Corp. 6.085%, 10/15/2017 | 150,000 | 165,647 | ||||||||
TOTAL UTILITIES | 2,216,124 | |||||||||
Total Corporate Bonds (Cost $10,526,354) | $ | 11,346,357 | ||||||||
Money Market Funds – 5.2% | Shares | Value | ||||||||
Federated Prime Cash Obligations Fund Institutional Class | 59,000 | $ | 59,000 | |||||||
Fidelity Institutional Money Market Funds Money Market Portfolio – Class I | 1,909,000 | 1,909,000 | ||||||||
Total Money Market Funds (Cost $1,968,000) | $ | 1,968,000 | ||||||||
Total Investments – 99.1% (Cost $38,623,457) | (e) | $ | 37,834,279 | |||||||
Other Assets in Excess of Liabilities – 0.9% | 325,861 | |||||||||
Net Assets – 100.0% | $ | 38,160,140 | ||||||||
Percentages are stated as a percent of net assets.
Footnotes:
(a) | Non-income producing security. | |
(b) | Security exempt from registration under Regulation D of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers under Rule 144A. At June 30, 2010, the value of these securities totaled $618,639 or 1.6% of the Portfolio’s net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Directors. | |
(c) | Fixed-to-floating rate, callable, perpetual life trust preferred security. Interest rates stated are those in effect at June 30, 2010. | |
(d) | This security is a credit sensitive bond. The coupon rate is a variable rate subject to adjustment based on changes in either Moody’s or S&P ratings. | |
(e) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
19
Ohio National Fund, Inc. | International Portfolio |
Objective/Strategy
The International Portfolio seeks total return on assets by investing at least 80% of its assets in securities of foreign companies.
Performance as of June 30, 2010
Average Annual Total Returns: | ||||
One year | 14.57% | |||
Five years | -0.18% | |||
Ten years | -4.27% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2010, the International Portfolio returned -11.20% versus -11.06% for the current benchmark, the MSCI All Country World ex-USA Index (Net-USD).
This year, markets wrestled with issues of potential overheating in China, concerns over the stability of Greece, and potential contagion to the wider Euro-zone. As companies reported their full year results in the first quarter, earnings came in stronger than expected with 71% of companies beating their estimates. As we transitioned from recovery to sustainable growth, there was still plenty of uncertainty. By the end of the first quarter, a broad consensus emerged that a global economic recovery was under way, and in April we saw several regional and country benchmarks hitting 20-month highs. However, by mid-April signs of optimism faced ever-strengthening headwinds. While it is clear that the global economic turnaround continued during the period, uncertainty still hangs over many economies based on the course of policymaking.
Globally, and nowhere more acutely than in Europe, markets dropped by double digits as concerns that the sovereign debt crisis clouding the “Club Med” countries (Greece, Spain and Portugal) would spread throughout the Euro-zone. Jolted into action by concerns that other highly indebted countries could have their credit ratings downgraded, soaring bond yields in Portugal and Spain, and a slide of the Euro to a 14-month low, the European Union agreed to offer financial assistance to countries facing instability. The European Stabilization Mechanism, a €750 billion ($980 billion) bailout package supported by the International Monetary Fund, provided for insurance against default and aid to the recovery process. The European Central Bank also launched a new credit facility with a range of bond purchases to narrow yield spreads and support the Euro.
China’s economic growth accelerated to the fastest pace in almost three years with strong first quarter figures. The rest of the emerging Asian economies also posted upbeat national account data, with several being double digit gains. For example, South Korea’s economy accelerated even stronger than what the already optimistic consensus had expected as the global recovery spurred demand for electronics and consumer spending advanced. The robust gross domestic product numbers fueled concerns that growth will lose some momentum as the effects of the global financial crisis fade from the year-on-year results. This, coupled with inflation concerns and fears about the formation of asset price bubbles, caused the Chinese government to announce a series of measures to curb speculation. These measures collectively caused 2010 full year growth expectations to edge lower.
Towards the end of the first half of the year, the tone of the economic environment and equity markets began to stabilize. Confidence in the economic outlook for Europe unexpectedly improved after reviving global growth and a drop in the Euro helped to bolster the region’s recovery. Additionally, the G-20 (group of twenty finance ministers and Central Bank governors from twenty economies) leaders announced that its members will strive to halve their deficits by 2013 and achieve long-term fiscally sustainable debt-to-output ratios by 2016. The G-20 statement also encouraged exchange rate flexibility among its member states, which heightened political pressure on China and other emerging surplus economies to pursue a policy of fully flexible exchange rates.
For the first half of the year, emerging markets continued to outperform developed markets, led by Indonesia 14.7%, Malaysia 9.3% and Chile 2.8%. The Far East declined a modest 3.5%, as strong growth in Far East economies (China, Korea) was overshadowed by overheating concerns in China and poor market performance in Australia -15.6% and New Zealand -14.2%. Europe declined 16.7% with the Mediterranean countries of Greece -48.3%, Spain -32.9% and Italy -27.3% leading the decline, while Scandinavian economies Denmark 3.8% and Sweden -0.2% topped the region. Differentiation amongst countries remained at a normal level, with our latest research indicating that the majority of returns in the international equity space continue to be driven by the country allocation decision.
The primary drivers of the international markets during the first half were the continued signs of economic stabilization and growth, fiscal consolidation strategies necessary — such as austerity measures — in the Euro area, focus on the regional implications of tightening loose monetary conditions, and attention to the transition from economic stabilization to economic growth.
The Portfolio’s over-weight in Chile contributed positively to performance. The strong Latin American economy achieved a declining unemployment rate, stronger domestic demand, and improving credit conditions during the period. While sovereign debt fears overhung many developed markets, Chile, like many emerging economies that we monitor, has made great strides over the last decade to reform its government, build sound institutions, and balance its budget.(1)
The Portfolio’s over-weight in Denmark, one of the highest quality investment opportunities in our universe from country and company perspectives, contributed positively to our relative performance. Also, the Portfolio broadly benefited from avoiding countries with poor debt and deficit conditions, such as Spain, Greece and Portugal. Several European economies, including France and Spain, are facing serious cuts in public spending to reduce sovereign debt concerns and reassure markets. The spending cuts will undermine future growth, and has already affected the respective country stock markets year to date. However, the Portfolio’s over-weight in Italian shares was a drag on performance. We remain over-weighted in Italian shares as our research indicates these stocks presently trade at extremely attractive valuations. Moody’s said “the effort required for the country (Italy) to keep debt under control seems relatively modest compared to other European countries where corrections
(continued)
20
Ohio National Fund, Inc. | International Portfolio (Continued) |
are brutal”. In our view, Italy is unfairly priced in sympathy with the more risky sovereign credit quality countries.(1)
Following a strong year of out-performance in 2009, our continued over-weight exposure to Norway (10.6%) detracted from Portfolio performance this period. Expectations for the Norwegian economy faltered, although we view Scandinavian economies to be strong relative to Southern European peers. However, following the Gulf disaster, concerns that Norway’s ruling coalition may stall the opening of the Norwegian Sea to offshore drilling also overhung the market.(1)
We are consistently applying our long-term methodology which seeks to identify countries and stocks with growth and stability in earnings and cash flows. Our country ranking process seeks to identify strong economies trading at reasonable valuation levels with favorable macroeconomic outlooks. We continue to find country and stock holdings attractive for the long-term.
The Portfolio maintained its over-weight in emerging markets, many of which were healthier in terms of economic conditions than their developed counterparts. We remain positive on the prospects for several developing countries and our country allocation process continues to rate select markets highly. Our over-weight is spread amongst several top quality developing countries and diversified across regions.(1)
The Portfolio continued to build exposure to healthy developed markets. One inadvertent side-effect of the European sovereign debt crisis is that a rapid depreciation of the Euro will increase the competitiveness of manufacturers in Euro zone economies. Export-oriented economies, such as Germany, are particularly well placed to reap the benefits. We continue to monitor the developments in the European region and note that, while Germany has faced criticism for not doing enough to stimulate its own domestic demand, we find German companies better positioned to grow earnings and cash flows in this environment.(1)
We continue to monitor our investment universe for signs of countries and companies with poor credit quality. As developed economies continue to adjust to new debt levels, and investors continue to fear a reoccurrence of 2008, markets will continue to be volatile. However, as long run investors we feel that fundamentals are supportive of global growth. We expect the winners to maintain higher profitability and gain market share; while the weaker players, who continue to struggle to gain footing, will under-perform. Governments may begin to normalize policies, but these policies will remain accommodative for some time to come.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2010. |
Change in Value of $10,000 Investment
MSCI All | ||||||||
Country World | ||||||||
Ex-USA Index | ||||||||
International Portfolio | (Net-USD) | |||||||
06/30/2000 | 10000 | 10000 | ||||||
12/31/2000 | 8172 | 8759 | ||||||
06/30/2001 | 6777 | 7581 | ||||||
12/31/2001 | 5756 | 7031 | ||||||
06/30/2002 | 5439 | 6941 | ||||||
12/31/2002 | 4568 | 5980 | ||||||
06/30/2003 | 4914 | 6622 | ||||||
12/31/2003 | 6056 | 8421 | ||||||
06/30/2004 | 6202 | 8743 | ||||||
12/31/2004 | 6842 | 10182 | ||||||
06/30/2005 | 6522 | 10182 | ||||||
12/31/2005 | 7485 | 11874 | ||||||
06/30/2006 | 8160 | 13023 | ||||||
12/31/2006 | 8924 | 15039 | ||||||
06/30/2007 | 9683 | 16880 | ||||||
12/31/2007 | 9767 | 17543 | ||||||
06/30/2008 | 8631 | 15760 | ||||||
12/31/2008 | 5267 | 9556 | ||||||
06/30/2009 | 5643 | 10887 | ||||||
12/31/2009 | 7280 | 13517 | ||||||
06/30/2010 | 6465 | 12022 |
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-083743/l40308l4030804.gif)
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The MSCI All Country World Ex-USA Index (Net-USD) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of the developed and emerging markets. As of May 2010, the MSCI All Country World Index consisted of 24 developed and 21 emerging market country indices.
(continued)
21
Ohio National Fund, Inc. | International Portfolio (Continued) |
Portfolio Composition as of June 30, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 91.2 | ||
Preference Shares (Brazil) (3) | 0.3 | ||
Exchange Traded Funds (3) | 2.7 | ||
U.S. Treasury Obligations | 0.1 | ||
Money Market Funds and Other Net Assets | 5.7 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2010 (1) (2)
% of Net Assets | |||||||
1. | Statoil ASA | 2.4 | |||||
2. | Samsung Electronics Co. Ltd. | 2.3 | |||||
3. | Novo Nordisk A/S | 2.3 | |||||
4. | Siemens AG | 2.3 | |||||
5. | America Movil SAB de CV – ADR | 2.3 | |||||
6. | iShares Asia Trust – iShares FTSE/Xinhua A50 China Tracker | 1.9 | |||||
7. | UniCredit SpA | 1.7 | |||||
8. | Petroleo Brasileiro SA – ADR Class A | 1.4 | |||||
9. | Telenor ASA | 1.3 | |||||
10. | Banco Santander Chile – ADR | 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 Country Weightings (combined): |
% of Net Assets | |||
Germany | 13.8 | ||
South Korea | 10.8 | ||
Italy | 8.8 | ||
Denmark | 8.3 | ||
Mexico | 8.0 | ||
Norway | 7.8 | ||
Brazil | 7.1 | ||
China | 5.7 | ||
Chile | 5.6 | ||
United Kingdom | 4.7 |
22
Ohio National Fund, Inc. | International Portfolio |
Schedule of Investments | June 30, 2010 (Unaudited) |
Common Stocks – 91.2% | Shares | Value | ||||||||
Germany – 13.8% | ||||||||||
Allianz SE | (b) | 21,300 | $ | 2,102,208 | ||||||
BASF SE | (b) | 34,700 | 1,899,803 | |||||||
Bayer AG | (b) | 13,600 | 758,335 | |||||||
Commerzbank AG | (a)(b) | 34,500 | 241,878 | |||||||
Continental AG | (a)(b) | 14,200 | 730,565 | |||||||
Daimler AG | (a)(b) | 17,400 | 880,502 | |||||||
Deutsche Bank AG | (b) | 16,000 | 896,975 | |||||||
Deutsche Lufthansa AG | (a)(b) | 25,600 | 354,684 | |||||||
Deutsche Telekom AG | (b) | 174,700 | 2,066,470 | |||||||
E.ON AG | (b) | 24,900 | 671,327 | |||||||
Fresenius SE | (b) | 14,400 | 951,445 | |||||||
GEA Group AG | (b) | 20,006 | 398,542 | |||||||
Hochtief AG | (b) | 18,400 | 1,102,155 | |||||||
Linde AG | (b) | 7,000 | 735,963 | |||||||
MAN SE | (b) | 9,000 | 741,323 | |||||||
Metro AG | (b) | 21,300 | 1,088,184 | |||||||
Muenchener Rueckversicherungs AG | (b) | 8,710 | 1,093,123 | |||||||
Puma AG Rudolf Dassler Sport | (b) | 4,150 | 1,121,166 | |||||||
RWE AG | (b) | 7,100 | 465,373 | |||||||
SAP AG | (b) | 4,700 | 208,825 | |||||||
Siemens AG | (b) | 47,234 | 4,233,727 | |||||||
Stada Arzneimittel AG | (b) | 17,400 | 575,960 | |||||||
Vossloh AG | (b) | 8,500 | 684,626 | |||||||
Wacker Chemie AG | (b) | 3,800 | 548,599 | |||||||
Wincor Nixdorf AG | (b) | 18,000 | 1,004,306 | |||||||
25,556,064 | ||||||||||
South Korea – 10.8% | ||||||||||
Daewoo Shipbuilding & Marine Engineering Co. Ltd. | (b) | 28,400 | 430,764 | |||||||
Dongkuk Steel Mill Co. Ltd. | (b) | 20,500 | 365,351 | |||||||
GS Engineering & Construction Corp. | (b) | 2,600 | 157,514 | |||||||
Hana Financial Group, Inc. | (b) | 13,700 | 363,262 | |||||||
Hanwha Chemical Corp. | (b) | 29,000 | 416,332 | |||||||
Hanwha Corp. | (b) | 8,800 | 265,595 | |||||||
Hyundai Heavy Industries Co. Ltd. | (b) | 2,500 | 475,714 | |||||||
Hyundai Motor Co. | (b) | 11,400 | 1,333,900 | |||||||
Hyundai Steel Co. | (b) | 5,800 | 423,968 | |||||||
Industrial Bank of Korea | (b) | 16,000 | 187,269 | |||||||
KB Financial Group, Inc. | (b) | 18,400 | 705,286 | |||||||
Korea Electric Power Corp. | (a)(b) | 23,100 | 596,093 | |||||||
KT Corp. – ADR | 56,800 | 1,088,856 | ||||||||
LG Chem Ltd. | (b) | 1,500 | 376,186 | |||||||
LG Corp. | (b) | 5,500 | 294,273 | |||||||
LG Display Co. Ltd. | (b) | 15,600 | 513,083 | |||||||
LG Electronics, Inc. | (b) | 15,600 | 1,186,286 | |||||||
POSCO – ADR | 17,500 | 1,650,600 | ||||||||
Samsung Electro-Mechanics Co. Ltd. | (b) | 16,100 | 2,013,301 | |||||||
Samsung Electronics Co. Ltd. | (b) | 6,850 | 4,296,418 | |||||||
Samsung SDI Co. Ltd. | (b) | 6,800 | 951,653 | |||||||
Shinhan Financial Group Co. Ltd. | (b) | 16,800 | 618,393 | |||||||
SK Energy Co. Ltd. | (b) | 5,700 | 506,963 | |||||||
Woongjin Coway Co. Ltd. | (b) | 19,800 | 663,400 | |||||||
Woori Finance Holdings Co. Ltd. | (b) | 17,900 | 210,571 | |||||||
20,091,031 | ||||||||||
Italy – 8.8% | ||||||||||
A2A SpA | (b) | 675,000 | 921,474 | |||||||
Ansaldo STS SpA | (b) | 20,700 | 332,307 | |||||||
Credito Emiliano SpA | (b) | 129,300 | 725,638 | |||||||
Davide Campari – Milano SpA | (b) | 147,000 | 721,403 | |||||||
Enel SpA | (b) | 148,100 | 627,080 | |||||||
ENI SpA | (b) | 69,600 | 1,277,582 | |||||||
Fiat SpA | (b) | 60,800 | 624,514 | |||||||
Intesa Sanpaolo SpA | (b) | 589,000 | 1,551,247 | |||||||
Maire Tecnimont SpA | (b) | 131,300 | 416,985 | |||||||
Mediaset SpA | (b) | 367,300 | 2,088,698 | |||||||
Mediobanca SpA | (a)(b) | 60,170 | 448,202 | |||||||
Piaggio & C SpA | (b) | 703,500 | 1,665,213 | |||||||
Prysmian SpA | (b) | 56,100 | 805,153 | |||||||
Telecom Italia SpA | (b) | 867,500 | 958,025 | |||||||
UniCredit SpA | (b) | 1,462,930 | 3,236,054 | |||||||
16,399,575 | ||||||||||
Denmark – 8.3% | ||||||||||
A P Moller – Maersk A/S | (b) | 247 | 1,945,327 | |||||||
Carlsberg A/S | (b) | 14,850 | 1,131,704 | |||||||
Coloplast A/S | (b) | 5,200 | 516,148 | |||||||
D/S Norden | (b) | 12,200 | 420,515 | |||||||
Danisco A/S | (b) | 29,400 | 1,978,390 | |||||||
Danske Bank A/S | (a)(b) | 75,200 | 1,447,030 | |||||||
DSV A/S | (b) | 72,525 | 1,044,185 | |||||||
FLSmidth & Co. A/S | (b) | 4,000 | 258,141 | |||||||
H Lundbeck A/S | (b) | 46,700 | 637,010 | |||||||
NKT Holding A/S | (b) | 11,300 | 504,114 | |||||||
Novo Nordisk A/S | (b) | 52,425 | 4,235,560 | |||||||
Novozymes A/S | (b) | 4,400 | 469,502 | |||||||
Sydbank A/S | (a)(b) | 28,900 | 589,094 | |||||||
Torm A/S | (a)(b) | 33,200 | 248,319 | |||||||
15,425,039 | ||||||||||
Mexico – 8.0% | ||||||||||
America Movil SAB de CV – ADR | 88,900 | 4,222,750 | ||||||||
Cemex SAB de CV – ADR | (a) | 91,728 | 887,010 | |||||||
Fomento Economico Mexicano SAB de CV – ADR | 9,600 | 414,240 | ||||||||
Grupo Aeroportuario del Sureste SAB de CV – ADR | 9,400 | 428,076 | ||||||||
Grupo Bimbo SAB de CV | 87,300 | 627,764 | ||||||||
Grupo Carso SAB de CV | 166,500 | 532,211 | ||||||||
Grupo Elektra SA de CV | 7,700 | 308,404 | ||||||||
Grupo Financiero Banorte SAB de CV | 319,000 | 1,208,609 | ||||||||
Grupo Mexico SAB de CV | 500,000 | 1,186,882 | ||||||||
Grupo Modelo SAB de CV | 136,883 | 677,374 | ||||||||
Grupo Televisa SA – ADR | 74,700 | 1,300,527 | ||||||||
Industrias Penoles SAB de CV | 21,900 | 428,007 | ||||||||
Telefonos de Mexico SAB de CV – ADR | 27,200 | 383,792 | ||||||||
Wal-Mart de Mexico SAB de CV | 1,010,400 | 2,238,293 | ||||||||
14,843,939 | ||||||||||
Norway – 7.8% | ||||||||||
Aker Solutions ASA | (b) | 47,000 | 537,388 | |||||||
Atea ASA | (b) | 65,000 | 376,978 | |||||||
DnB NOR ASA | (b) | 180,444 | 1,735,547 | |||||||
Fred Olsen Energy ASA | (b) | 50,200 | 1,289,722 | |||||||
Norsk Hydro ASA | (b) | 140,600 | 634,928 | |||||||
Petroleum Geo-Services ASA | (a)(b) | 39,000 | 325,080 | |||||||
Statoil ASA | (b) | 230,600 | 4,442,469 | |||||||
Telenor ASA | (b) | 191,700 | 2,414,904 | |||||||
TGS Nopec Geophysical Co. ASA | (b) | 77,600 | 894,990 | |||||||
Yara International ASA | (b) | 62,100 | 1,745,601 | |||||||
14,397,607 | ||||||||||
Brazil – 6.8% | ||||||||||
Banco Bradesco SA – ADR | 53,680 | 851,365 | ||||||||
Banco do Brasil SA | 46,600 | 642,460 | ||||||||
Banco Santander Brasil SA – ADR | 24,000 | 247,920 | ||||||||
Cia de Bebidas das Americas – ADR | 12,500 | 1,262,625 | ||||||||
Cia de Saneamento Basico do Estado de Sao Paulo – ADR | 9,400 | 388,596 | ||||||||
Cia Energetica de Minas Gerais – ADR | 61,850 | 907,339 | ||||||||
Cia Siderurgica Nacional SA – ADR | 70,400 | 1,034,176 | ||||||||
Itau Unibanco Banco Holding SA – ADR | 28,108 | 506,225 | ||||||||
Petroleo Brasileiro SA – ADR | 8,200 | 281,424 | ||||||||
Petroleo Brasileiro SA – ADR Class A | 88,600 | 2,640,280 | ||||||||
Souza Cruz SA | 10,400 | 392,089 | ||||||||
Tele Norte Leste Participacoes SA – ADR | 19,800 | 296,208 | ||||||||
Vale SA – ADR | 40,000 | 974,000 | ||||||||
Vale SA – ADR Class P | 107,700 | 2,263,854 | ||||||||
12,688,561 | ||||||||||
(continued)
23
Ohio National Fund, Inc. | International Portfolio (Continued) |
Schedule of Investments | June 30, 2010 (Unaudited) |
Common Stocks (Continued) | Shares | Value | ||||||||
Chile – 4.8% | ||||||||||
Banco Santander Chile – ADR | 35,000 | $ | 2,348,150 | |||||||
CAP SA | 15,200 | 470,433 | ||||||||
Centros Comerciales Sudamericanos SA | 226,200 | 1,021,121 | ||||||||
Colbun SA | 840,000 | 217,826 | ||||||||
Empresa Nacional de Electricidad SA – ADR | 14,950 | 690,391 | ||||||||
Empresas CMPC SA | 12,800 | 562,094 | ||||||||
Empresas COPEC SA | 54,232 | 853,828 | ||||||||
Enersis SA – ADR | 47,800 | 951,698 | ||||||||
Lan Airlines SA | 29,678 | 554,917 | ||||||||
SACI Falabella | 67,000 | 436,196 | ||||||||
Sociedad Quimica y Minera de Chile SA – ADR Series B | 18,900 | 616,329 | ||||||||
Vina Concha y Toro SA | 75,000 | 155,892 | ||||||||
8,878,875 | ||||||||||
United Kingdom – 4.7% | ||||||||||
Anglo American PLC | (a)(b) | 14,100 | 491,317 | |||||||
Associated British Foods PLC | (b) | 32,810 | 475,144 | |||||||
BAE Systems PLC | (b) | 90,500 | 421,207 | |||||||
BHP Billiton PLC | (b) | 23,200 | 601,542 | |||||||
HSBC Holdings PLC | (b) | 252,700 | 2,316,839 | |||||||
IMI PLC | (b) | 28,800 | 293,437 | |||||||
Intercontinental Hotels Group PLC | (b) | 29,472 | 464,482 | |||||||
Pearson PLC | (b) | 1 | 8 | |||||||
Rio Tinto PLC | (b) | 7,800 | 342,532 | |||||||
Smith & Nephew PLC | (b) | 39,200 | 370,344 | |||||||
Smiths Group PLC | (b) | 26,000 | 413,942 | |||||||
Stagecoach Group PLC | (b) | 177,144 | 467,291 | |||||||
Standard Chartered PLC | (b) | 12,000 | 296,429 | |||||||
Vodafone Group PLC | (b) | 366,000 | 754,140 | |||||||
Whitbread PLC | (b) | 23,558 | 491,962 | |||||||
WM Morrison Supermarkets PLC | (b) | 136,539 | 539,539 | |||||||
8,740,155 | ||||||||||
China – 3.8% | ||||||||||
Bank of China Ltd. | (b) | 747,400 | 377,065 | |||||||
China Construction Bank Corp. | (b) | 860,000 | 692,312 | |||||||
China Life Insurance Co. Ltd. | (b) | 250,000 | 1,093,307 | |||||||
China Oilfield Services Ltd. | (b) | 458,000 | 532,980 | |||||||
Dongfeng Motor Group Co. Ltd. | (b) | 514,000 | 596,209 | |||||||
Industrial & Commercial Bank of China | (b) | 745,000 | 541,507 | |||||||
Jiangsu Expressway Co. Ltd. | (b) | 946,000 | 855,594 | |||||||
PetroChina Co. Ltd. | (b) | 811,300 | 897,350 | |||||||
Ping An Insurance Group Co. of China Ltd. | (c) | 59,000 | 487,569 | |||||||
Yanzhou Coal Mining Co. Ltd. | (b) | 260,000 | 499,937 | |||||||
Zhejiang Expressway Co. Ltd. | (b) | 494,000 | 455,188 | |||||||
7,029,018 | ||||||||||
Taiwan – 3.5% | ||||||||||
Asustek Computer, Inc. | (b) | 18,750 | 138,115 | |||||||
Far Eastern New Century Corp. | (b) | 427,000 | 439,133 | |||||||
Formosa Chemicals & Fibre Corp. | (b) | 264,000 | 603,988 | |||||||
Formosa Petrochemical Corp. | (b) | 179,000 | 431,773 | |||||||
Formosa Plastics Corp. | (a)(b) | 197,000 | 414,103 | |||||||
Gigabyte Technology Co. Ltd. | (b) | 345,000 | 336,308 | |||||||
Inventec Co. Ltd. | (b) | 811,000 | 430,691 | |||||||
Mega Financial Holding Co. Ltd. | (b) | 356,000 | 190,083 | |||||||
Micro-Star International Co. Ltd. | (b) | 750,000 | 393,529 | |||||||
Nan Ya Plastics Corp. | (b) | 374,000 | 596,670 | |||||||
Pegatron Corp. | (a)(c) | 50,465 | 47,196 | |||||||
Pou Chen Corp. | (b) | 560,000 | 434,630 | |||||||
Siliconware Precision Industries Co. | (b) | 588,000 | 633,606 | |||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | (b) | 290,001 | 542,025 | |||||||
United Microelectronics Corp. | (a)(b) | 1,225,000 | 539,149 | |||||||
Vanguard International Semiconductor Corp. | (b) | 980,000 | 394,596 | |||||||
6,565,595 | ||||||||||
Czech Republic – 2.1% | ||||||||||
CEZ AS | (b) | 33,500 | 1,363,519 | |||||||
Komercni Banka AS | (b) | 9,600 | 1,537,082 | |||||||
Telefonica O2 Czech Republic AS | (b) | 53,600 | 1,038,986 | |||||||
3,939,587 | ||||||||||
Austria – 2.0% | ||||||||||
Erste Group Bank AG | (b) | 50,643 | 1,606,813 | |||||||
OMV AG | (b) | 12,900 | 387,394 | |||||||
Raiffeisen International Bank Holding AG | (a)(b) | 10,600 | 402,597 | |||||||
Vienna Insurance Group | (b) | 33,700 | 1,398,878 | |||||||
3,795,682 | ||||||||||
Hong Kong – 1.8% | ||||||||||
Beijing Enterprises Holdings Ltd. | (b) | 95,000 | 616,712 | |||||||
China Mobile Ltd. | (b) | 130,000 | 1,291,920 | |||||||
CNOOC Ltd. | (b) | 786,800 | 1,337,307 | |||||||
3,245,939 | ||||||||||
Bermuda – 1.7% | ||||||||||
Central European Media Enterprises Ltd. | (a)(b) | 37,000 | 746,165 | |||||||
Frontline Ltd. | (b) | 59,000 | 1,701,137 | |||||||
Golden Ocean Group Ltd. | (b) | 566,600 | 680,255 | |||||||
3,127,557 | ||||||||||
Cayman Islands – 1.6% | ||||||||||
Belle International Holdings Ltd. | (b) | 435,000 | 617,128 | |||||||
Kingboard Chemical Holdings Ltd. | (b) | 100,000 | 429,343 | |||||||
Kingboard Chemical Holdings Ltd. | (a)(c) | 10,000 | 3,943 | |||||||
Li Ning Co. Ltd. | (b) | 178,000 | 583,255 | |||||||
Subsea 7, Inc. | (a)(b) | 33,000 | 494,758 | |||||||
Tencent Holdings Ltd. | (b) | 49,700 | 823,392 | |||||||
2,951,819 | ||||||||||
Luxembourg – 0.9% | ||||||||||
Acergy SA | (b) | 114,900 | 1,701,214 | |||||||
Canada – 0.0% | ||||||||||
Nortel Networks Corp. | (a) | 179 | 6 | |||||||
Total Common Stocks (Cost $159,493,044) | $ | 169,377,263 | ||||||||
Preference Shares (Brazil) – 0.3% | Shares | Value | ||||||||
Brazil – 0.3% | ||||||||||
Itau Unibanco Banco Holding SA | 36,620 | $ | 659,667 | |||||||
Total Preference Shares (Brazil) (Cost $532,471) | $ | 659,667 | ||||||||
Exchange Traded Funds – 2.7% | Shares | Value | ||||||||
China – 1.9% | ||||||||||
iShares Asia Trust – iShares FTSE/Xinhua A50 China Tracker | (c) | 2,364,600 | $ | 3,486,061 | ||||||
Chile – 0.8% | ||||||||||
iShares MSCI Chile Investable Market Index Fund | 25,600 | 1,451,264 | ||||||||
Total Exchange Traded Funds (Cost $4,161,105) | $ | 4,937,325 | ||||||||
Rights – 0.0% | Quantity | Value | ||||||||
Norway – 0.0% | ||||||||||
Norsk Hydro ASA | (a)(c) | 42,791 | $ | 22,074 | ||||||
Total Rights (Cost $37,723) | $ | 22,074 | ||||||||
Money Market Funds – 0.3% | Shares | Value | ||||||||
State Street Institutional Liquid Reserves Fund | ||||||||||
Institutional Class 2 | 577,376 | $ | 577,376 | |||||||
Total Money Market Funds (Cost $577,376) | $ | 577,376 | ||||||||
(continued)
24
Ohio National Fund, Inc. | International Portfolio (Continued) |
Schedule of Investments | June 30, 2010 (Unaudited) |
Face | Amortized | |||||||||
U.S. Treasury Obligations – 0.1% | Amount | Cost | ||||||||
U.S. Treasury Bill 0.000% Coupon, 0.160% Effective Yield, 08/12/2010 | (d) | $ | 150,000 | $ | 149,983 | |||||
Total U.S. Treasury Obligations (Cost $149,983) | $ | 149,983 | ||||||||
Total Investments – 94.6% (Cost $164,951,528) | (e) | $ | 175,723,688 | |||||||
Other Assets in Excess of Liabilities – 5.4% | 10,029,889 | |||||||||
Net Assets – 100.0% | $ | 185,753,577 | ||||||||
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depository 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 national fair valuation service that has been approved by the Board. These securities represent $129,687,718 or 69.8% of the Portfolio’s net assets. | |
(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 the local close price because the confidence interval associated with an investment is below the 75% threshold. These securities represent $4,046,843 or 2.2% 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. Exchange traded funds and rights are also not evaluated by the fair valuation service. | ||
(d) | Security is pledged as collateral for the Portfolio’s futures contract outstanding at June 30, 2010. See also Note 6 of the Notes to Financial Statements. | |
(e) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 7 of the Notes to Financial Statements. | |
Sector Classifications: (Percent of net assets) |
Financials | 18.1% | ||
Industrials | 11.6% | ||
Materials | 11.3% | ||
Energy | 11.0% | ||
Consumer Discretionary | 8.8% | ||
Telecommunication Services | 7.8% | ||
Information Technology | 7.6% | ||
Consumer Staples | 6.8% | ||
Health Care | 4.3% | ||
Utilities | 4.2% | ||
91.5% | |||
The accompanying notes are an integral part of these financial statements.
25
Ohio National Fund, Inc. | Capital Appreciation Portfolio |
Objective/Strategy
The Capital Appreciation Portfolio seeks long-term capital growth by investing primarily in common stocks of established companies with either current or emerging earnings growth not fully appreciated or recognized by the market.
Performance as of June 30, 2010
Average Annual Total Returns: | ||||
One year | 16.14% | |||
Five years | 1.49% | |||
Ten years | 5.64% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2010, the Capital Appreciation Portfolio returned -5.39% versus -6.65% for the current benchmark, the S&P 500 Index.
The Portfolio’s positions in the media industry added a meaningful amount to absolute return and were a large source of out-performance. Time Warner Cable, Inc., Liberty Global, Inc. and Live Nation Entertainment, Inc. were stellar performers, all posting strong double-digit gains. Time Warner Cable, Inc. advanced after the company reported strong fourth quarter and first quarter results. In the most recently reported quarter, results were materially better than expected, with solid revenue and earnings before interest, taxes, depreciation and amortization and very strong free cash flow generation. U.S. cable operators have been distancing themselves from their regional bell operating carrier competitors as they fully lever their plant advantage (the company’s reach with its customers). We took profits and closed the position in June due to valuation.(1)
Information Technology and Energy, led by Akamai Technologies, Inc. and Smith International, Inc. made a positive impact to returns versus the broad equity market. Akamai Technologies, Inc. provides Internet content delivery services and benefited from accelerating web traffic. First quarter revenue topped consensus estimates, driven by increased demand for high definition streaming video content. Additionally, operational efficiencies and value-added services contributed to margin growth during the quarter. During June, shares of Akamai Technologies, Inc. rose further on news of its acquisition of Velocitude, a mobile services platform. The acquisition is expected to further Akamai Technologies, Inc.’s strategic position in the mobile market; adding mobile content transformation functionality to Akamai Technologies, Inc.’s existing suite of cloud services for optimizing Web content and applications, and delivery of high definition video and secure e-commerce to mobile devices. We took profits and exited the position in June due to valuation.(1)
Our investment thesis was predicated on Smith International, Inc.’s revenue growth potential, enhanced by increased unconventional drilling demand and the company’s expertise in directional drilling. During the month of February, shares of Smith International, Inc. soared after the company and Schlumberger jointly announced that their Boards of Directors approved a definitive merger agreement in which the companies would combine in a stock-for-stock transaction. Schlumberger intends to buy Smith International, Inc. for $45/share plus $1.2 billion in debt, representing a 37.5% premium to the close on February 18. We believe the market is going to rebound in second half of 2010, and should this deal close by then, it would capture that upswing as Smith International, Inc.’s offering is mostly early-cycle. We trimmed our position by 45%, after Smith International, Inc. announced that the agreement to acquire @Balance, B.V. from Shell Technology Ventures Fund 1 B.V. @Balance managed pressure drilling services using its patented technology. We subsequently added back to the position as a result of what we think was an overdone sell-off toward the end of May.(1)
Stock selection in Materials and Industrials also benefited performance versus the S&P 500 Index.(1)
In Consumer Staples, Tyson Foods, Inc. was a position of note. Shares of the meat protein and food production company rose after the company reported first-quarter earnings that far surpassed consensus expectations, driven primarily by the chicken division. Three of Tyson Foods, Inc.’s four segments performed above their long-term averages, and it was the first quarter in years where all four segments were within their respective normal margin range. We took profits and closed the position in April due to valuation.(1)
The Portfolio’s Financials holdings were a detriment to overall returns. Lazard Ltd. and Charles Schwab Corp. were among the biggest detractors. One of the world’s premier mergers and acquisitions (M&A) boutiques, Lazard Ltd. is also a major player in corporate restructuring and asset management. While the pace of M&A closings will likely slow in the second half of 2010, there is still a rising backlog. Moreover, while Euro-based revenues generally represent approximately 50% of Lazard Ltd.’s advisory revenue, we believe concerns that this stream will dry up as a result of the credit crisis are overstated. To the contrary, we think the company is well positioned to benefit from distressed situations in Europe and the U.S. In fact, Lazard Ltd. continues to advise Greece and has benefited from the stress in Spain.(1)
Charles Schwab Corp. under-performed after reporting trading and asset figures for the month of May. At a high level, its results were in line with expectations but included weak asset sales, reflecting market depreciation. We think Charles Schwab Corp.’s account metrics and fundamentals remain solid. Active brokerage accounts are up 4% year over year and active banking accounts are up 40% year over year. We do not think the drop in Charles Schwab Corp.’s stock price is commensurate with the company’s earnings growth potential. While the market is focused on a possible significant drop in retail trading volumes, with just approximately 20% of revenue coming from trading, Charles Schwab Corp. is less exposed than most peers. Moreover, while we have concerns over the effects of the current low interest rate environment on the money market business, we think current valuations are assigning almost no value to the option of an eventual rate increase. Such an increase in interest rates would result in higher net interest revenues and asset management fees.(1)
In Health Care, pharmaceutical company Pfizer, Inc. declined due to investor concerns about its management subsequent to the Wyeth acquisition. Investors are upset by the gross cost synergy issue. However, new management is implementing significant change that should drive better-than-expected return on capital. We believe the Wyeth deal drives cost synergies that fill in the Lipitor hole and diversifies the company into longer duration assets that should drive
(continued)
26
Ohio National Fund, Inc. | Capital Appreciation Portfolio (Continued) |
multiple expansions. We also think free cash flow, post the Lipitor patent expiration, is under-appreciated and should enable Pfizer, Inc. to delever the balance sheet and drive shareholder value through either share buybacks or dividend increases. Lastly, we believe the market under-appreciates Pfizer, Inc.’s pipeline, especially the steady flow of “high-probability” pipeline data coming in the second half of this year.(1)
The five best performers were Akamai Technologies, Inc., Tyson Foods, Inc., Live Nation Entertainment, Inc., Career Education Corp. and Time Warner Cable, Inc. The five worst performers were H&R Block, Inc., Lazard Ltd., Gilead Sciences, Inc., Adobe Systems, Inc. and Cabot Oil & Gas Corp. The five largest detractors were Pfizer, Inc., Lazard Ltd., Charles Schwab Corp., Gilead Sciences, Inc. and Cabot Oil & Gas Corp. The five largest contributors were Akamai Technologies, Inc., Smith International, Inc., Tyson Foods, Inc., Time Warner Cable, Inc. and Liberty Global, Inc.(1)
Indications of fading economic activity in the U.S. have ignited debate about whether the deceleration in growth is temporary or a signal that we may be headed toward a decline to recession-like conditions. At this point, the evidence suggests to us a growth slowdown. Markets are grappling with the effects of reduced stimulus in the housing sector (specifically, expiration of the first-time homebuyer credit), persistently subpar job growth, and flagging confidence indicators. On the other hand, wages continue to increase, private sector payrolls continue to grow slowly, corporate earnings continue to expand solidly, and corporate balance sheets continue to indicate increased cash and deleverage. When the stronger earnings per share and balance sheets translate into increased capital expenditures, which would replace the reduced stimulus expenditures, is another key question.
We remain focused on corporate profits. The significant rise in S&P 500 profit estimates appears to have reached its peak for this stage of the cycle, and investors may now be discounting a projected decline in forward earnings with little regard for company-specific outlooks. The coming earnings reporting period will probably be turbulent, as the global challenges discussed are likely to temper management optimism even as current profits meet or exceed investor expectations.
Following the credit crisis, many investors have become macro-oriented, trying to call the tail event or trend change. In the current environment where stocks are trading in a highly correlated manner, there is little regard for company-specific fundamentals. However, as in prior negative market environments, turmoil can create tremendous investment opportunities. Our opportunistic approach enables us to capitalize on dislocations and our rigorous company research is continuing to find investment opportunities that have compelling risk/rewards with fundamental catalysts. In our opinion, stock selection is the key driver to outperforming market indices.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2010. |
Change in Value of $10,000 Investment
Capital Appreciation | S&P 500 | |||||||
Portfolio | Index | |||||||
06/30/2000 | 10000 | 10000 | ||||||
12/31/2000 | 12743 | 9128 | ||||||
06/30/2001 | 14026 | 8517 | ||||||
12/31/2001 | 13975 | 8043 | ||||||
06/30/2002 | 12584 | 6985 | ||||||
12/31/2002 | 11159 | 6266 | ||||||
06/30/2003 | 12223 | 7002 | ||||||
12/31/2003 | 14677 | 8063 | ||||||
06/30/2004 | 15232 | 8341 | ||||||
12/31/2004 | 16512 | 8940 | ||||||
06/30/2005 | 16077 | 8868 | ||||||
12/31/2005 | 17382 | 9380 | ||||||
06/30/2006 | 18399 | 9633 | ||||||
12/31/2006 | 20228 | 10861 | ||||||
06/30/2007 | 22711 | 11617 | ||||||
12/31/2007 | 21001 | 11458 | ||||||
06/30/2008 | 18885 | 10093 | ||||||
12/31/2008 | 12809 | 7219 | ||||||
06/30/2009 | 14905 | 7447 | ||||||
12/31/2009 | 18296 | 9129 | ||||||
06/30/2010 | 17311 | 8521 |
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-083743/l40308l4030805.gif)
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 herein includes the effects of reinvested dividends.
(continued)
27
Ohio National Fund, Inc. | Capital Appreciation Portfolio (Continued) |
Portfolio Composition as of June 30, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 96.1 | ||
Money Market Funds and Other Net Assets | 3.9 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2010 (1) (2)
% of Net Assets | |||||||
1. | Goldcorp, Inc. | 2.4 | |||||
2. | Travelers Cos., Inc. / The | 2.2 | |||||
3. | Pfizer, Inc. | 2.1 | |||||
4. | Wal-Mart Stores, Inc. | 2.1 | |||||
5. | Axis Capital Holdings Ltd. | 2.0 | |||||
6. | Intel Corp. | 2.0 | |||||
7. | Pinnacle Entertainment, Inc. | 1.9 | |||||
8. | Watson Pharmaceuticals, Inc. | 1.9 | |||||
9. | Lear Corp. | 1.8 | |||||
10. | Viacom, Inc. Class B | 1.8 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Consumer Discretionary | 15.9 | ||
Financials | 15.8 | ||
Energy | 14.5 | ||
Information Technology | 13.2 | ||
Health Care | 12.4 | ||
Industrials | 11.4 | ||
Consumer Staples | 6.3 | ||
Materials | 5.1 | ||
Utilities | 1.5 | ||
96.1 | |||
28
Ohio National Fund, Inc. | Capital Appreciation Portfolio |
Schedule of Investments | June 30, 2010 (Unaudited) |
Common Stocks – 96.1% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 15.9% | ||||||||||
Lear Corp. (Auto Components) | (a) | 31,800 | $ | 2,105,160 | ||||||
H&R Block, Inc. (Diversified Consumer Svs.) | 45,600 | 715,464 | ||||||||
Pinnacle Entertainment, Inc. (Hotels, Restaurants & Leisure) | (a) | 225,400 | 2,132,284 | |||||||
Yum! Brands, Inc. (Hotels, Restaurants & Leisure) | 34,317 | 1,339,736 | ||||||||
Ryland Group, Inc. (Household Durables) | 81,400 | 1,287,748 | ||||||||
Comcast Corp. Class A (Media) | 70,886 | 1,164,657 | ||||||||
Liberty Global, Inc. Series C (Media) | (a) | 68,916 | 1,791,127 | |||||||
News Corp. Class A (Media) | 92,377 | 1,104,829 | ||||||||
Viacom, Inc. Class B (Media) | 66,338 | 2,081,023 | ||||||||
Vivendi SA (Media) | (b) | 84,056 | 1,708,197 | |||||||
Warner Music Group Corp. (Media) | (a) | 212,500 | 1,032,750 | |||||||
GameStop Corp. Class A (Specialty Retail) | (a) | 90,300 | 1,696,737 | |||||||
18,159,712 | ||||||||||
CONSUMER STAPLES – 6.3% | ||||||||||
Wal-Mart Stores, Inc. (Food & Staples Retailing) | 49,375 | 2,373,456 | ||||||||
Bunge Ltd. (Food Products) | 31,700 | 1,559,323 | ||||||||
ConAgra Foods, Inc. (Food Products) | 73,301 | 1,709,379 | ||||||||
Kraft Foods, Inc. Class A (Food Products) | 53,404 | 1,495,312 | ||||||||
7,137,470 | ||||||||||
ENERGY – 14.5% | ||||||||||
Cameron International Corp. (Energy Equip. & Svs.) | (a) | 53,135 | 1,727,950 | |||||||
Schlumberger Ltd. (Energy Equip. & Svs.) | 33,600 | 1,859,424 | ||||||||
Smith International, Inc. (Energy Equip. & Svs.) | 27,891 | 1,050,096 | ||||||||
Weatherford International Ltd. (Energy Equip. & Svs.) | (a) | 137,362 | 1,804,937 | |||||||
Apache Corp. (Oil, Gas & Consumable Fuels) | 16,365 | 1,377,769 | ||||||||
Arch Coal, Inc. (Oil, Gas & Consumable Fuels) | 64,780 | 1,283,292 | ||||||||
Cabot Oil & Gas Corp. (Oil, Gas & Consumable Fuels) | 40,700 | 1,274,724 | ||||||||
Murphy Oil Corp. (Oil, Gas & Consumable Fuels) | 18,041 | 893,932 | ||||||||
Newfield Exploration Co. (Oil, Gas & Consumable Fuels) | (a) | 38,900 | 1,900,654 | |||||||
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 23,200 | 1,789,880 | ||||||||
Southwestern Energy Co. (Oil, Gas & Consumable Fuels) | (a) | 41,856 | 1,617,316 | |||||||
16,579,974 | ||||||||||
FINANCIALS – 15.8% | ||||||||||
Charles Schwab Corp. / The (Capital Markets) | 123,859 | 1,756,321 | ||||||||
Goldman Sachs Group, Inc. / The (Capital Markets) | 15,723 | 2,063,958 | ||||||||
Lazard Ltd. Class A (Capital Markets) | 50,400 | 1,346,184 | ||||||||
Bank of America Corp. (Diversified Financial Svs.) | 106,262 | 1,526,985 | ||||||||
JPMorgan Chase & Co. (Diversified Financial Svs.) | 48,400 | 1,771,924 | ||||||||
Moody’s Corp. (Diversified Financial Svs.) | 60,930 | 1,213,726 | ||||||||
Axis Capital Holdings Ltd. (Insurance) | 76,300 | 2,267,636 | ||||||||
Marsh & McLennan Cos., Inc. (Insurance) | 61,700 | 1,391,335 | ||||||||
Symetra Financial Corp. (Insurance) | 78,292 | 939,504 | ||||||||
Travelers Cos., Inc. / The (Insurance) | 51,700 | 2,546,225 | ||||||||
Validus Holdings Ltd. (Insurance) | 48,800 | 1,191,696 | ||||||||
18,015,494 | ||||||||||
HEALTH CARE – 12.4% | ||||||||||
Amgen, Inc. (Biotechnology) | (a) | 27,759 | 1,460,123 | |||||||
Gilead Sciences, Inc. (Biotechnology) | (a) | 43,544 | 1,492,688 | |||||||
Medco Health Solutions, Inc. (Health Care Providers & Svs.) | (a) | 20,912 | 1,151,833 | |||||||
Thermo Fisher Scientific, Inc. (Life Sciences Tools & Svs.) | (a) | 34,328 | 1,683,788 | |||||||
Abbott Laboratories (Pharmaceuticals) | 35,958 | 1,682,115 | ||||||||
Merck & Co., Inc. (Pharmaceuticals) | 34,377 | 1,202,164 | ||||||||
Novartis AG – ADR (Pharmaceuticals) | 18,906 | 913,538 | ||||||||
Pfizer, Inc. (Pharmaceuticals) | 168,164 | 2,398,019 | ||||||||
Watson Pharmaceuticals, Inc. (Pharmaceuticals) | (a) | 52,000 | 2,109,640 | |||||||
14,093,908 | ||||||||||
INDUSTRIALS – 11.4% | ||||||||||
Teledyne Technologies, Inc. (Aerospace & Defense) | (a) | 33,094 | 1,276,767 | |||||||
HUB Group, Inc. Class A (Air Freight & Logistics) | (a) | 41,950 | 1,258,919 | |||||||
Delta Air Lines, Inc. (Airlines) | (a) | 137,700 | 1,617,975 | |||||||
JetBlue Airways Corp. (Airlines) | (a) | 254,500 | 1,397,205 | |||||||
Republic Services, Inc. (Commercial Svs. & Supplies) | 67,515 | 2,007,221 | ||||||||
Dover Corp. (Machinery) | 32,105 | 1,341,668 | ||||||||
Ingersoll-Rand PLC (Machinery) | 40,063 | 1,381,773 | ||||||||
CSX Corp. (Road & Rail) | 28,394 | 1,409,194 | ||||||||
RSC Holdings, Inc. (Trading Companies & Distributors) | (a) | 203,300 | 1,254,361 | |||||||
12,945,083 | ||||||||||
INFORMATION TECHNOLOGY – 13.2% | ||||||||||
Cisco Systems, Inc. (Communications Equip.) | (a) | 93,200 | 1,986,092 | |||||||
CommScope, Inc. (Communications Equip.) | (a) | 55,900 | 1,328,743 | |||||||
Dell, Inc. (Computers & Peripherals) | (a) | 155,200 | 1,871,712 | |||||||
IAC/InterActiveCorp (Internet Software & Svs.) | (a) | 73,950 | 1,624,682 | |||||||
VeriSign, Inc. (Internet Software & Svs.) | (a) | 54,797 | 1,454,860 | |||||||
SAIC, Inc. (IT Svs.) | (a) | 80,900 | 1,354,266 | |||||||
Intel Corp. (Semiconductors & Equip.) | 115,724 | 2,250,832 | ||||||||
Marvell Technology Group Ltd. (Semiconductors & Equip.) | (a) | 52,465 | 826,848 | |||||||
Adobe Systems, Inc. (Software) | (a) | 37,200 | 983,196 | |||||||
Symantec Corp. (Software) | (a) | 102,042 | 1,416,343 | |||||||
15,097,574 | ||||||||||
MATERIALS – 5.1% | ||||||||||
Ferro Corp. (Chemicals) | (a) | 131,140 | 966,502 | |||||||
Goldcorp, Inc. (Metals & Mining) | 61,100 | 2,679,235 | ||||||||
Noranda Aluminium Holding Corp. (Metals & Mining) | (a) | 86,719 | 557,603 | |||||||
Randgold Resources Ltd. – ADR (Metals & Mining) | 16,700 | 1,582,325 | ||||||||
5,785,665 | ||||||||||
UTILITIES – 1.5% | ||||||||||
NRG Energy, Inc. (Ind. Power Prod. & Energy Traders) | (a) | 79,800 | 1,692,558 | |||||||
Total Common Stocks (Cost $115,071,488) | $ | 109,507,438 | ||||||||
Money Market Funds – 2.9% | Shares | Value | ||||||||
Fidelity Institutional Money Market Funds | ||||||||||
Money Market Portfolio – Class I | 3,299,000 | $ | 3,299,000 | |||||||
Total Money Market Funds (Cost $3,299,000) | $ | 3,299,000 | ||||||||
Total Investments – 99.0% (Cost $118,370,488) | (c) | $ | 112,806,438 | |||||||
Other Assets in Excess of Liabilities – 1.0% | 1,200,819 | |||||||||
Net Assets – 100.0% | $ | 114,007,257 | ||||||||
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depository 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 national fair valuation service that has been approved by the Board. These securities represent $1,708,197 or 1.5% 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. | |
(c) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
29
Ohio National Fund, Inc. | Millennium Portfolio |
Objective/Strategy
The Millennium Portfolio seeks maximum capital growth by investing primarily in common stocks of small sized companies.
Performance as of June 30, 2010
Average Annual Total Returns: | ||||
One year | 14.56% | |||
Five years | -1.26% | |||
Ten years | -5.57% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2010, the Millennium Portfolio returned -2.58% versus -2.31% for the current benchmark, the Russell 2000 Growth Index.
The first half of 2010 had two distinct phases. During the first quarter, confidence in the global economic recovery was increasing. China was reporting robust growth, European sovereign debt issues appeared fairly contained, and U.S. unemployment and housing data had stabilized somewhat. By second quarter, however, new information brought each of these points into question.
In the small cap market, lower quality stocks outperformed during the optimistic first quarter and also well into the second, delivering a headwind to our strict quality bias. Late in the second quarter, however, the market began to shift in the Portfolio’s favor. In late May and June, as economic data and confidence weakened and volatility and fear increased, investors returned to the higher quality, superior growth and earnings potential stocks we tend to own. Quality stocks advanced as the low quality stocks that led much of the move off of last year’s low began to lag. The Portfolio performed very well with the shift, but it happened too late in the period to counteract our earlier deficit.
Within the benchmark index, Consumer Discretionary and Consumer Staples stocks were the strongest this period, turning in mildly positive results. Energy and Telecommunication Services were the weakest, suffering double digit declines.
Within the Portfolio, Health Care holdings were additive; particularly equipment and supplies companies which we expect to continue to emphasize. Our top contributors, hospice care provider Odyssey HealthCare and medical device firm ev3 were both sold during the period. Pharmacy benefit manager SXC Health Solutions Corp. was another top contributor, and Cyberonics, Inc., Sirona Dental Systems, Inc. and Volcano Corp. were all additive. Since Health Care reform passed, volatility within the sector has declined somewhat. It remains difficult to ascertain, for certain, what companies will be beneficiaries of this complicated piece of legislation.(1)
Consumer Staples, an unusual over-weight for the Portfolio as it is not typically a quality growth area, was another relative benefit. Both Diamond Foods, Inc., the higher end nut and snack food firm, and TreeHouse Foods, Inc., a company in the growing private label segment, outperformed as private label food companies continue to gain shelf space in grocery stores.(1)
We also out-performed the benchmark in Energy, a sector damaged by the contagion from the BP oil spill and a decline in natural gas prices. Concho Resources, Inc., the Permian Basin-focused oil and gas firm, and a relatively large position, was a top contributor. On the other hand, Arena Resources, Inc., was detrimental and was eliminated due to ongoing infrastructure issues.(1)
In Financials, where our focus is diversified financial services, capital markets-related, and niche services names, stock selection was positive. Waddell & Reed Financial, Inc. was a top contributor, and options exchange CBOE Holdings, Inc. and Portfolio Recovery Associates, Inc., a loan portfolio asset recovery firm, also performed well. Evercore Partners Inc. disappointed, detracted from results, and was sold.(1)
The Portfolio under-performed the benchmark in Information Technology this period. A particular disappointment was Compellent Technologies, Inc., which surprised the market with materially missed earnings and was sold. Others, such as Atheros Communications, Inc. and Rackspace Hosting, Inc., declined on concerns about consumer and corporate spending given weakening economic data.(1)
Consumer Discretionary stocks were another area of relative weakness for the Portfolio. Our defensive secondary education theme declined as proposed legislation posed a potential threat to revenues and profit margins. In leisure, while Royal Caribbean Cruises Ltd. was a top performer, specialty property operator Orient-Express Hotels Ltd. was a detriment, suffering on economic concerns in some overseas locations. We continue to like the company, however, given its extremely clean balance sheet and strong margins. Sotheby’s was a detractor, as was gaming firm WMS Industries, Inc., which disappointed on consumer spending concerns. Finally, Gymboree Corp. and GameStop Corp. missed earnings and were sold.(1)
Industrials holdings also under-performed, primarily as aviation stocks pulled back during second quarter on corporate spending concerns. We consolidated positions associated with this theme but continue to be positive on the overall growth prospects of this segment.
Looking ahead, we recognize that the significant headwinds that captured investor attention and added risk premium and fear to the markets in second quarter remain: specifically China, Euro-zone debt, and ongoing serious concerns regarding U.S. consumers. There are two positive notes to the current market, however. First, while volatility increased, it did so in thin trading markets suggesting investors are not transacting to any great degree. Second, valuations are low even by historical standards, so while some discount may be justified by conditions, it also represents opportunity.
A sustained but muted recovery scenario is typically good for quality growth portfolios like ours, as the stocks we favor tend to be advantaged. We are pleased with the quality of the companies in the Portfolio, and at this time are taking few significant sector bets outside of Health Care, an over-weight we will likely build further as opportunities arise.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2010. |
(continued)
30
Ohio National Fund, Inc. | Millennium Portfolio (Continued) |
Change in Value of $10,000 Investment
Russell 2000 | ||||||||
Millennium Portfolio | Growth Index | |||||||
06/30/2000 | 10000 | 10000 | ||||||
12/31/2000 | 7346 | 7663 | ||||||
06/30/2001 | 6678 | 7666 | ||||||
12/31/2001 | 5998 | 6956 | ||||||
06/30/2002 | 4960 | 5749 | ||||||
12/31/2002 | 4034 | 4851 | ||||||
06/30/2003 | 4532 | 5789 | ||||||
12/31/2003 | 5554 | 7206 | ||||||
06/30/2004 | 5806 | 7615 | ||||||
12/31/2004 | 6161 | 8237 | ||||||
06/30/2005 | 6012 | 7941 | ||||||
12/31/2005 | 6161 | 8579 | ||||||
06/30/2006 | 6344 | 9100 | ||||||
12/31/2006 | 6616 | 9724 | ||||||
06/30/2007 | 7654 | 10631 | ||||||
12/31/2007 | 8337 | 10409 | ||||||
06/30/2008 | 7336 | 9479 | ||||||
12/31/2008 | 4791 | 6397 | ||||||
06/30/2009 | 4924 | 7124 | ||||||
12/31/2009 | 5789 | 8602 | ||||||
06/30/2010 | 5640 | 8404 |
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-083743/l40308l4030806.gif)
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 is a market-weighted total return index that measures the performance of companies within the Russell 2000 Index having higher price to book 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 herein includes the effects of reinvested dividends.
Portfolio Composition as of June 30, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 90.6 | ||
Commercial Paper (4) | 65.9 | ||
Money Market Funds (4) | 63.2 | ||
Repurchase Agreements Less Net Liabilities (4) | (119.7) | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2010 (1) (2)
% of Net Assets | |||||||
1. | Salix Pharmaceuticals Ltd. | 2.7 | |||||
2. | HEICO Corp. | 2.7 | |||||
3. | Ultimate Software Group, Inc. | 2.4 | |||||
4. | Ulta Salon Cosmetics & Fragrance, Inc. | 2.3 | |||||
5. | Diamond Foods, Inc. | 2.2 | |||||
6. | Alexion Pharmaceuticals, Inc. | 2.1 | |||||
7. | GSI Commerce, Inc. | 2.0 | |||||
8. | Volcano Corp. | 1.9 | |||||
9. | HUB Group, Inc. Class A | 1.8 | |||||
10. | Watsco, Inc. | 1.8 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Information Technology | 25.7 | ||
Health Care | 23.2 | ||
Consumer Discretionary | 16.6 | ||
Industrials | 13.8 | ||
Consumer Staples | 4.2 | ||
Financials | 3.9 | ||
Energy | 3.2 | ||
90.6 | |||
(4) | An unusually large portion of the Portfolio’s investments consisted of short-term instruments at June 30, 2010. These short-term instruments were necessary to provide for a large redemption of the Portfolio’s shares that resulted from a periodic, quarter-end update to the Ohio National Life Insurance Company (ONLIC) asset allocation model program. The settlement of this redemption occurred on July 1, 2010, in the normal course of the Fund’s transfer agent’s operations. |
31
Ohio National Fund, Inc. | Millennium Portfolio |
Schedule of Investments | June 30, 2010 (Unaudited) |
Common Stocks – 90.6% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 16.6% | ||||||||||
Capella Education Co. (Diversified Consumer Svs.) | (a) | 6,900 | $ | 561,315 | ||||||
Steiner Leisure Ltd. (Diversified Consumer Svs.) | (a) | 14,200 | 545,848 | |||||||
Orient-Express Hotels Ltd. Class A (Hotels, Restaurants & Leisure) | (a) | 45,100 | 333,740 | |||||||
WMS Industries, Inc. (Hotels, Restaurants & Leisure) | (a) | 14,800 | 580,900 | |||||||
HSN, Inc. (Internet & Catalog Retail) | (a) | 15,600 | 374,400 | |||||||
hhgregg, Inc. (Specialty Retail) | (a) | 23,200 | 541,024 | |||||||
J. Crew Group, Inc. (Specialty Retail) | (a) | 9,600 | 353,376 | |||||||
Tractor Supply Co. (Specialty Retail) | 8,200 | 499,954 | ||||||||
Ulta Salon Cosmetics & Fragrance, Inc. (Specialty Retail) | (a) | 33,500 | 792,610 | |||||||
Vitamin Shoppe, Inc. (Specialty Retail) | (a) | 19,400 | 497,610 | |||||||
Steven Madden Ltd. (Textiles, Apparel & Luxury Goods) | (a) | 12,150 | 382,968 | |||||||
Warnaco Group, Inc. / The (Textiles, Apparel & Luxury Goods) | (a) | 9,300 | 336,102 | |||||||
5,799,847 | ||||||||||
CONSUMER STAPLES – 4.2% | ||||||||||
Diamond Foods, Inc. (Food Products) | 18,900 | 776,790 | ||||||||
TreeHouse Foods, Inc. (Food Products) | (a) | 9,700 | 442,902 | |||||||
Elizabeth Arden, Inc. (Personal Products) | (a) | 16,900 | 245,388 | |||||||
1,465,080 | ||||||||||
ENERGY – 3.2% | ||||||||||
Concho Resources, Inc. (Oil, Gas & Consumable Fuels) | (a) | 10,600 | 586,498 | |||||||
Rosetta Resources, Inc. (Oil, Gas & Consumable Fuels) | (a) | 26,600 | 526,946 | |||||||
1,113,444 | ||||||||||
FINANCIALS – 3.9% | ||||||||||
CBOE Holdings, Inc. (Diversified Financial Svs.) | (a) | 10,700 | 348,285 | |||||||
Portfolio Recovery Associates, Inc. (Diversified Financial Svs.) | (a) | 7,400 | 494,172 | |||||||
Jones Lang LaSalle, Inc. (Real Estate Mgmt. & Development) | 8,000 | 525,120 | ||||||||
1,367,577 | ||||||||||
HEALTH CARE – 23.2% | ||||||||||
Alexion Pharmaceuticals, Inc. (Biotechnology) | (a) | 14,200 | 726,898 | |||||||
Arthrocare Corp. (Health Care Equip. & Supplies) | (a) | 14,700 | 450,555 | |||||||
Cyberonics, Inc. (Health Care Equip. & Supplies) | (a) | 21,900 | 518,592 | |||||||
Natus Medical, Inc. (Health Care Equip. & Supplies) | (a) | 24,200 | 394,218 | |||||||
NuVasive, Inc. (Health Care Equip. & Supplies) | (a) | 13,000 | 460,980 | |||||||
Orthofix International NV (Health Care Equip. & Supplies) | (a) | 12,000 | 384,600 | |||||||
Sirona Dental Systems, Inc. (Health Care Equip. & Supplies) | (a) | 12,500 | 435,500 | |||||||
Thoratec Corp. (Health Care Equip. & Supplies) | (a) | 14,000 | 598,220 | |||||||
Volcano Corp. (Health Care Equip. & Supplies) | (a) | 30,700 | 669,874 | |||||||
Zoll Medical Corp. (Health Care Equip. & Supplies) | (a) | 20,300 | 550,130 | |||||||
Catalyst Health Solutions, Inc. (Health Care Providers & Svs.) | (a) | 13,900 | 479,550 | |||||||
HMS Holdings Corp. (Health Care Providers & Svs.) | (a) | 8,800 | 477,136 | |||||||
MedAssets, Inc. (Health Care Technology) | (a) | 22,500 | 519,300 | |||||||
SXC Health Solutions Corp. (Health Care Technology) | (a) | 6,900 | 505,425 | |||||||
Salix Pharmaceuticals Ltd. (Pharmaceuticals) | (a) | 24,400 | 952,332 | |||||||
8,123,310 | ||||||||||
INDUSTRIALS – 13.8% | ||||||||||
BE Aerospace, Inc. (Aerospace & Defense) | (a) | 20,600 | 523,858 | |||||||
Global Defense Technology & Systems, Inc. (Aerospace & Defense) | (a) | 32,516 | 415,229 | |||||||
HEICO Corp. (Aerospace & Defense) | 26,405 | 948,468 | ||||||||
HUB Group, Inc. Class A (Air Freight & Logistics) | (a) | 21,500 | 645,215 | |||||||
Regal-Beloit Corp. (Electrical Equip.) | 7,800 | 435 ,084 | ||||||||
Actuant Corp. Class A (Machinery) | 17,000 | 320,110 | ||||||||
Nordson Corp. (Machinery) | 5,800 | 325,264 | ||||||||
MSC Industrial Direct Co. Class A (Trading Companies & Distributors) | 11,000 | 557,260 | ||||||||
Watsco, Inc. (Trading Companies & Distributors) | 11,000 | 637,120 | ||||||||
4,807,608 | ||||||||||
INFORMATION TECHNOLOGY – 25.7% | ||||||||||
Plantronics, Inc. (Communications Equip.) | 11,400 | 326,040 | ||||||||
Polycom, Inc. (Communications Equip.) | (a) | 21,200 | 631,548 | |||||||
Riverbed Technology, Inc. (Communications Equip.) | (a) | 14,000 | 386,680 | |||||||
Littelfuse, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 10,200 | 322,422 | |||||||
Plexus Corp. (Electronic Equip., Instr. & Comp.) | (a) | 12,000 | 320,880 | |||||||
GSI Commerce, Inc. (Internet Software & Svs.) | (a) | 23,752 | 684,058 | |||||||
LivePerson, Inc. (Internet Software & Svs.) | (a) | 83,200 | 570,752 | |||||||
LogMeIn, Inc. (Internet Software & Svs.) | (a) | 17,000 | 445,910 | |||||||
LoopNet, Inc. (Internet Software & Svs.) | (a) | 35,600 | 438,948 | |||||||
MercadoLibre, Inc. (Internet Software & Svs.) | (a) | 10,700 | 562,285 | |||||||
OpenTable, Inc. (Internet Software & Svs.) | (a) | 12,200 | 505,934 | |||||||
WebMD Health Corp. (Internet Software & Svs.) | (a) | 11,500 | 533,945 | |||||||
Gartner, Inc. (IT Svs.) | (a) | 17,300 | 402,225 | |||||||
Atheros Communications, Inc. (Semiconductors & Equip.) | (a) | 10,900 | 300,186 | |||||||
Cavium Networks, Inc. (Semiconductors & Equip.) | (a) | 19,400 | 508,086 | |||||||
Volterra Semiconductor Corp. (Semiconductors & Equip.) | (a) | 15,900 | 366,654 | |||||||
Jack Henry & Associates, Inc. (Software) | 17,800 | 425,064 | ||||||||
SS&C Technologies Holdings, Inc. (Software) | (a) | 26,800 | 429,604 | |||||||
Ultimate Software Group, Inc. (Software) | (a) | 25,100 | 824,786 | |||||||
8,986,007 | ||||||||||
Total Common Stocks (Cost $32,500,762) | $ | 31,662,873 | ||||||||
Face | ||||||||||
Commercial Paper – 65.9% | Amount | Value | ||||||||
Barclays U.S. Funding LLC 0.040%, 07/01/2010 | $ | 5,000,000 | $ | 5,000,000 | ||||||
BNP Paribas S.A. 0.120%, 07/01/2010 | 4,192,000 | 4,192,000 | ||||||||
HSBC Finance Corp. 0.050%, 07/01/2010 | 5,000,000 | 5,000,000 | ||||||||
Intesa Funding LLC 0.260%, 07/01/2010 | 3,809,000 | 3,809,000 | ||||||||
General Electric Co. 0.030%, 07/01/2010 | 5,000,000 | 5,000,000 | ||||||||
Total Commercial Paper (Cost $23,001,000) | $ | 23,001,000 | ||||||||
(continued)
32
Ohio National Fund, Inc. | Millennium Portfolio (Continued) |
Schedule of Investments | June 30, 2010 (Unaudited) |
Money Market Funds – 63.2% | Shares | Value | ||||||||
Fidelity Institutional Money Market Funds Money Market Portfolio – Class I | 5,521,000 | $ | 5,521,000 | |||||||
Fidelity Institutional Money Market Funds Prime Money Market Portfolio | 5,521,000 | 5,521,000 | ||||||||
Federated Prime Cash Obligations Fund Institutional Class | 5,521,000 | 5,521,000 | ||||||||
Goldman Sachs Financial Square Funds Prime Obligations Fund | 5,521,000 | 5,521,000 | ||||||||
Total Money Market Funds (Cost $22,084,000) | $ | 22,084,000 | ||||||||
Face | Amortized | |||||||||
Repurchase Agreements – 103.5% | Amount | Cost | ||||||||
U.S. Bank 0.010% 07/01/2010, | $ | 36,165,000 | $ | 36,165,000 | ||||||
Agreement date: 06/30/2010, Repurchase price $36,165,000 Collateralized by: Fannie Mae Pool #254919 (FNCI) 4.000%, Due 09/01/2018 with value of $36,888,448 | ||||||||||
Total Repurchase Agreements (Cost $36,165,000) | $ | 36,165,000 | ||||||||
Total Investments – 323.2% (Cost $113,750,762) | (b) | $ | 112,912,873 | |||||||
Liabilities in Excess of Other Assets – (223.2%) | (77,979,232 | ) | ||||||||
Net Assets – 100.0% | $ | 34,933,641 | ||||||||
Percentages are stated as a percent of net assets.
Footnotes:
(a) | Non-income producing security. | |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
33
Ohio National Fund, Inc. | International Small-Mid Company Portfolio |
Objective/Strategy
The International Small-Mid Company Portfolio seeks long-term growth of capital by investing at least 80% of its assets in equity securities of foreign small and mid-cap companies.
Performance as of June 30, 2010
Average Annual Total Returns: | ||||
One year | 14.55% | |||
Five years | 3.08% | |||
Ten years | 1.00% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2010, the International Small-Mid Company Portfolio returned -10.77% versus -6.47% for the current benchmark, the S&P Developed Small Cap Ex-U.S. Growth Index.
The international markets this quarter seemed to be overly influenced by China’s liquidity tightening measures, the lack of a rescue package for Greece’s debt, and the weakening Spanish economy in contrast to the European community’s recovery. U.S. news was dominated by President Obama’s healthcare reform agenda. However, the markets moved higher as fourth quarter gross domestic product and other economic figures pointed to progress in the economic recovery.
The S&P Japan Small Cap Growth Index posted a 3.87% gross return for the first half of the year while emerging market small caps fell as the S&P Emerging Small Cap Growth index posted a -4.81% gross return. The S&P Asia Pacific Ex-Japan Small Cap Growth Index posted a -10.78% gross return, under-performing its European counterparts as the S&P Europe Small Cap Growth Index declined 9.88%, all in U.S. dollar terms.
On the currency front, the U.S. dollar generally strengthened against most major currencies except the Japanese Yen. The Yen gained 5.19% as the Euro weakened by 14.55% during the first half of 2010. In fact, there were projections for the U.S. dollar to reach parity with the Euro by around year end. The Canadian dollar fell a modest 1.01% against the U.S. dollar by the end of the second quarter after achieving parity in April. This low point coincided with peak prices reached by most commodities in year-to-date performance.
Positive relative performance came from very strong stock selection in Spain, despite the country being one of the worst performing markets globally. Strong investment performance also came from investments in the United Kingdom (UK) and South Korea. Absolute performance was weakened by poor stock selection in Canada and France, as well as maintaining a large under-weight position in Japan.(1)
Relative out-performing sectors were Energy, Health Care, and Utilities. Individual stocks that contributed to the Portfolio’s performance include Asos PLC and Aggreko Plc. Asos PLC is the UK’s largest independent online fashion and beauty retailer. Asos PLC gained 63.4% during the first-half of the year as the company reported accelerating sales domestically and internationally in their most recent fiscal year ending March and on a year-to-date basis. Aggreko PLC is a UK company providing power and temperature control rental systems globally. The company had revenue gains from special events like the Vancouver Winter Olympics and the FIFA World Cup in South Africa. The stock had gained 42.04% during the first six months of 2010, as demand for power generators and back-up generators also grew with the economic recovery. New contracts awarded in Bangladesh, Indonesia, and Central and South America gave the company a higher order intake than expected and allowed management to state: “performance for the year as a whole will be significantly better than we anticipated...”.(1)
On a relative basis, investments in Materials and Industrials negatively impacted the Portfolio’s performance during the first half of 2010. Fibria Celulose SA, the world’s largest pulp producer, was down 35% during the period on the market’s cautious outlook on paper prices despite Fibria Celulose SA being able to raise prices twice during the first six months of the year. Saft SA, a French manufacturer of high-tech battery systems for industrial applications, was down 35.4% for the period, as the company released muted first quarter results from the later cycle industrial standby power business and military activities showing weaker growth. (1)
Investors’ outlook on the global economy continues to fluctuate weekly with each additional data point. This has created uncertainty as to the underlying recovery that started last year. We’re beginning to see some stabilization in the jobless rate along with good productivity numbers around the world with pockets of strong consumer spending. However, the market’s direction this quarter has been led more by fear than by fundamentals.
The volatility does test one’s conviction and investment theses on a daily basis. However, we believe the underlying recovery is intact, even if it pauses to catch its breath. While we have reduced our exposure to key cyclical segments of the economy like basic materials, we remain well-positioned for the resumption of the recovery. Growth does exist. We continue to identify investment opportunities that should reward shareholders for staying the course. The earnings growth profiles we see in these companies firmly support higher expectations in an expanding economy.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2010. |
(continued)
34
Ohio National Fund, Inc. | International Small-Mid Company Portfolio (Continued) |
Change in Value of $10,000 Investment
S&P Developed | ||||||||
Small Cap | ||||||||
International Small-Mid | Ex-U.S. Growth | |||||||
Company Portfolio | Index | |||||||
06/30/2000 | 10000 | 10000 | ||||||
12/31/2000 | 8129 | 8194 | ||||||
06/30/2001 | 6843 | 6980 | ||||||
12/31/2001 | 5749 | 6333 | ||||||
06/30/2002 | 5773 | 6478 | ||||||
12/31/2002 | 4886 | 5505 | ||||||
06/30/2003 | 5865 | 6390 | ||||||
12/31/2003 | 7521 | 8266 | ||||||
06/30/2004 | 8054 | 9080 | ||||||
12/31/2004 | 9090 | 10430 | ||||||
06/30/2005 | 9493 | 10707 | ||||||
12/31/2005 | 11726 | 12663 | ||||||
06/30/2006 | 12907 | 13997 | ||||||
12/31/2006 | 14816 | 16180 | ||||||
06/30/2007 | 17475 | 18211 | ||||||
12/31/2007 | 17405 | 17474 | ||||||
06/30/2008 | 16168 | 15723 | ||||||
12/31/2008 | 8476 | 8908 | ||||||
06/30/2009 | 9643 | 10754 | ||||||
12/31/2009 | 12379 | 13200 | ||||||
06/30/2010 | 11046 | 12346 |
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-083743/l40308l4030807.gif)
Hypothetical illustration based on past performance. Future performance will vary. The Portfolios returns reflect reinvested dividends. The Portfolios holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The S&P Developed Small Cap Ex-U.S. Growth Index. S&P Developed Small Cap Ex-U.S. Growth Index is a subset of the S&P Global Broad Market Index (BMI), a broad index including all publicly listed equities with float-adjusted market values of US$ 100 million or more and annual dollar value traded of at least US$ 50 million in all included countries. The Developed Small Cap component of the BMI includes the equities in the bottom 15% of the market capitalization within each “developed” local market. Ex-U.S. denotes the use of all developed markets excluding the United States. The “Growth” subset includes those companies in each local market that exhibit the characteristics of growth. The index presented includes the effects of reinvested dividends.
Portfolio Composition as of June 30, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 94.4 | ||
Exchange Traded Funds | 2.8 | ||
Money Market Funds and Other Net Assets | 2.8 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2010 (1) (2)
% of Net Assets | |||||||
1. | Aggreko PLC | 2.1 | |||||
2. | Autonomy Corp. PLC | 2.0 | |||||
3. | ASOS PLC | 2.0 | |||||
4. | AMEC PLC | 1.8 | |||||
5. | Adecco SA | 1.8 | |||||
6. | Hochtief AG | 1.8 | |||||
7. | SNC-Lavalin Group, Inc. | 1.7 | |||||
8. | iShares MSCI EAFE Small Cap Index Fund | 1.6 | |||||
9. | Lojas Renner SA | 1.5 | |||||
10. | Fibria Celulose SA – ADR | 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 Country Weightings: |
% of Net Assets | |||
United Kingdom | 17.4 | ||
Germany | 8.4 | ||
Brazil | 6.9 | ||
South Korea | 6.5 | ||
Cayman Islands | 5.4 | ||
Canada | 5.4 | ||
Japan | 5.3 | ||
Netherlands | 4.8 | ||
Switzerland | 4.2 | ||
Singapore | 4.1 |
35
Ohio National Fund, Inc. | International Small-Mid Company Portfolio |
Schedule of Investments | June 30, 2010 (Unaudited) |
Common Stocks – 94.4% | Shares | Value | ||||||||
United Kingdom – 17.4% | ||||||||||
Aggreko PLC | (b) | 60,203 | $ | 1,263,830 | ||||||
AMEC PLC | (b) | 90,433 | 1,107,927 | |||||||
ASOS PLC | (a)(b) | 91,707 | 1,172,739 | |||||||
Autonomy Corp. PLC | (a)(b) | 43,206 | 1,177,726 | |||||||
Capita Group PLC / The | (b) | 52,972 | 583,605 | |||||||
Cobham PLC | (b) | 91,291 | 289,204 | |||||||
Cookson Group PLC | (a)(b) | 108,070 | 621,212 | |||||||
Dana Petroleum PLC | (a)(b) | 39,843 | 670,723 | |||||||
Dialog Semiconductor PLC | (a)(b) | 40,200 | 475,688 | |||||||
Domino’s Pizza UK & IRL PLC | (b) | 21,479 | 121,353 | |||||||
Game Group PLC | (b) | 375,885 | 357,051 | |||||||
John Wood Group PLC | (b) | 94,039 | 436,744 | |||||||
Rightmove PLC | (b) | 77,227 | 724,428 | |||||||
Rolls-Royce Group PLC | (a)(b) | 48,390 | 403,901 | |||||||
Smith & Nephew PLC | (b) | 69,472 | 656,340 | |||||||
Wellstream Holdings PLC | (b) | 53,114 | 396,504 | |||||||
10,458,975 | ||||||||||
Germany – 8.4% | ||||||||||
Adidas AG | (b) | 5,922 | 287,432 | |||||||
Aixtron AG | (b) | 25,600 | 606,290 | |||||||
GEA Group AG | (b) | 27,954 | 556,875 | |||||||
Gildemeister AG | (b) | 28,627 | 320,720 | |||||||
Hochtief AG | (b) | 18,119 | 1,085,323 | |||||||
Infineon Technologies AG | (a)(b) | 105,944 | 616,368 | |||||||
Lanxess AG | (b) | 15,634 | 662,688 | |||||||
Leoni AG | (a)(b) | 32,430 | 682,891 | |||||||
Symrise AG | (b) | 12,392 | 255,640 | |||||||
5,074,227 | ||||||||||
Brazil – 6.9% | ||||||||||
CETIP SA – Balcao Organizado de Ativos e Derivativos | 42,605 | 337,299 | ||||||||
Diagnosticos da America SA | 73,600 | 692,370 | ||||||||
Fibria Celulose SA — ADR | (a) | 57,338 | 848,602 | |||||||
Fleury SA | (a) | 51,200 | 565,044 | |||||||
Hypermarcas SA | (a) | 64,400 | 825,961 | |||||||
Lojas Renner SA | 31,800 | 870,492 | ||||||||
4,139,768 | ||||||||||
South Korea – 6.5% | ||||||||||
Eugene Technology Co. Ltd. | (b) | 16,560 | 198,376 | |||||||
Hynix Semiconductor, Inc. | (a)(b) | 28,410 | 574,253 | |||||||
Iljin Display Co. Ltd. | (a)(b) | 32,970 | 319,338 | |||||||
Kia Motors Corp. | (b) | 25,360 | 671,948 | |||||||
Korean Air Lines Co. Ltd. | (a)(b) | 8,070 | 536,109 | |||||||
LG Corp. | (b) | 6,556 | 350,774 | |||||||
LG Display Co. Ltd. | (b) | 17,430 | 573,272 | |||||||
Samsung Electro-Mechanics Co. Ltd. | (b) | 5,566 | 696,027 | |||||||
3,920,097 | ||||||||||
Cayman Islands – 5.4% | ||||||||||
Anta Sports Products Ltd. | (b) | 360,135 | 648,315 | |||||||
Hengan International Group Co. Ltd. | (b) | 92,000 | 744,964 | |||||||
Lee & Man Paper Manufacturing Ltd. | (b) | 468,800 | 344,660 | |||||||
Lonking Holdings Ltd. | (b) | 636,000 | 421,317 | |||||||
Minth Group Ltd. | (b) | 534,000 | 630,941 | |||||||
Parkson Retail Group Ltd. | (b) | 286,000 | 482,077 | |||||||
3,272,274 | ||||||||||
Canada – 5.4% | ||||||||||
Agrium, Inc. | 7,000 | 341,929 | ||||||||
HudBay Minerals, Inc. | (a) | 37,300 | 391,378 | |||||||
National Bank of Canada | 8,500 | 434,761 | ||||||||
SNC-Lavalin Group, Inc. | 25,818 | 1,033,399 | ||||||||
Teck Resources Ltd. | 12,300 | 363,726 | ||||||||
Thompson Creek Metals Co., Inc. | (a) | 79,600 | 690,928 | |||||||
3,256,121 | ||||||||||
Japan – 5.3% | ||||||||||
Disco Corp. | (b) | 12,800 | 809,779 | |||||||
Elpida Memory, Inc. | (a)(b) | 35,000 | 537,721 | |||||||
Hitachi Construction Machinery Co. Ltd. | (b) | 30,100 | 554,181 | |||||||
JGC Corp. | (b) | 21,000 | 318,659 | |||||||
THK Co. Ltd. | (b) | 26,800 | 554,466 | |||||||
Toyky Electron Ltd. | (b) | 7,100 | 382,457 | |||||||
3,157,263 | ||||||||||
Netherlands – 4.8% | ||||||||||
ASML Holding NV | (b) | 20,823 | 573,046 | |||||||
Fugro NV | (b) | 11,369 | 525,220 | |||||||
Imtech NV | (b) | 26,753 | 688,581 | |||||||
QIAGEN NV | (a)(b) | 25,222 | 487,472 | |||||||
STMicroelectronics NV | (b) | 78,105 | 620,346 | |||||||
2,894,665 | ||||||||||
Switzerland – 4.2% | ||||||||||
Adecco SA | (b) | 23,071 | 1,100,644 | |||||||
Clariant AG | (a)(b) | 41,000 | 519,159 | |||||||
Nobel Biocare Holding AG | (b) | 20,100 | 346,008 | |||||||
Sonova Holding AG | (b) | 4,500 | 552,229 | |||||||
2,518,040 | ||||||||||
Singapore – 4.1% | ||||||||||
Ho Bee Investment Ltd. | (b) | 477,000 | 515,452 | |||||||
Keppel Corp. Ltd. | (b) | 114,000 | 688,282 | |||||||
Keppel Land Ltd. | (b) | 201,700 | 556,583 | |||||||
K-Green Trust | (a)(c) | 22,800 | 17,109 | |||||||
SembCorp Marine Ltd. | (b) | 242,000 | 661,318 | |||||||
2,438,744 | ||||||||||
France – 3.9% | ||||||||||
Cap Gemini SA | (b) | 10,288 | 452,153 | |||||||
Faurecia | (a)(b) | 24,955 | 395,361 | |||||||
JC Decaux SA | (a)(b) | 18,879 | 439,873 | |||||||
Saft Groupe SA | (b) | 17,795 | 539,577 | |||||||
Societe Television Francaise 1 | (b) | 38,088 | 496,245 | |||||||
2,323,209 | ||||||||||
Spain – 2.2% | ||||||||||
Obrascon Huarte Lain SA | (b) | 30,330 | 674,037 | |||||||
Tecnicas Reunidas SA | (b) | 13,566 | 616,947 | |||||||
1,290,984 | ||||||||||
Austria – 2.1% | ||||||||||
Andritz AG | (b) | 14,098 | 786,393 | |||||||
bwin Interactive Entertainment AG | (b) | 10,100 | 446,229 | |||||||
1,232,622 | ||||||||||
Sweden – 2.0% | ||||||||||
Assa Abloy AB | (b) | 41,400 | 827,500 | |||||||
Getinge AB | (b) | 20,613 | 398,922 | |||||||
1,226,422 | ||||||||||
Italy – 1.9% | ||||||||||
Trevi Finanziaria SpA | (b) | 35,832 | 514,151 | |||||||
Yoox SpA | (a)(b) | 90,500 | 625,332 | |||||||
1,139,483 | ||||||||||
Luxembourg – 1.6% | ||||||||||
L’Occitane International SA | (a)(c) | 38,750 | 84,498 | |||||||
Millicom International Cellular SA | 4,900 | 397,243 | ||||||||
Oriflame Cosmetics SA – SDR | (b) | 8,700 | 451,832 | |||||||
933,573 | ||||||||||
Ireland – 1.4% | ||||||||||
Ingersoll-Rand PLC | 11,000 | 379,390 | ||||||||
Warner Chilcott PLC | (a) | 20,200 | 461,570 | |||||||
840,960 | ||||||||||
Israel – 1.3% | ||||||||||
NICE Systems Ltd. – ADR | (a) | 29,900 | 762,151 | |||||||
(continued)
36
Ohio National Fund, Inc. | International Small-Mid Company Portfolio (Continued) |
Schedule of Investments | June 30, 2010 (Unaudited) |
Common Stocks (Continued) | Shares | Value | ||||||||
Thailand – 1.1% | ||||||||||
Banpu PCL | (b) | 34,650 | $ | 646,025 | ||||||
Norway – 1.1% | ||||||||||
Fred Olsen Energy ASA | (b) | 14,300 | 367,391 | |||||||
Yara International ASA | (b) | 9,550 | 268,446 | |||||||
635,837 | ||||||||||
Bermuda – 1.0% | ||||||||||
Invesco Ltd. | 35,337 | 594,722 | ||||||||
Jersey – 0.9% | ||||||||||
United Business Media Ltd. | (b) | 76,634 | 565,980 | |||||||
Mexico – 0.9% | ||||||||||
Genomma Lab Internacional SA de CV | (a) | 161,000 | 534,797 | |||||||
Gibraltar – 0.9% | ||||||||||
PartyGaming PLC | (a)(b) | 166,333 | 534,458 | |||||||
Chile – 0.9% | ||||||||||
Sociedad Quimica y Minera de Chile SA – ADR Series B | 16,200 | 528,282 | ||||||||
Hong Kong – 0.8% | ||||||||||
Dah Sing Financial Holdings Ltd. | (a)(b) | 84,000 | 477,594 | |||||||
Guernsey – 0.7% | ||||||||||
Amdocs Ltd. | (a) | 16,300 | 437,655 | |||||||
Malaysia – 0.5% | ||||||||||
Top Glove Corp. Bhd | (b) | 75,000 | 316,985 | |||||||
Russia – 0.4% | ||||||||||
Wimm-Bill-Dann Foods OJSC – ADR | 14,900 | 265,220 | ||||||||
Denmark – 0.4% | ||||||||||
H Lundbeck A/S | (b) | 16,500 | 225,068 | |||||||
Total Common Stocks (Cost $50,617,525) | $ | 56,642,201 | ||||||||
Exchange Traded Funds – 2.8% | Shares | Value | ||||||||
iShares MSCI EAFE Small Cap Index Fund | 30,000 | $ | 975,600 | |||||||
iShares MSCI Emerging Markets Index Fund | 18,898 | 705,273 | ||||||||
Total Exchange Traded Funds (Cost $1,592,547) | $ | 1,680,873 | ||||||||
Money Market Funds – 2.5% | Shares | Value | ||||||||
State Street Institutional Liquid Reserves Fund Institutional Class 2 | 1,478,734 | $ | 1,478,734 | |||||||
Total Money Market Funds (Cost $1,478,734) | $ | 1,478,734 | ||||||||
Total Investments – 99.7% (Cost $53,688,806) | $ | 59,801,808 | ||||||||
Other Assets in Excess of Liabilities – 0.3% | 169,880 | |||||||||
Net Assets – 100.0% | $ | 59,971,688 | ||||||||
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depository Receipts
SDR: Swedish Depository 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 national fair valuation service that has been approved by the Board. These securities represent $44,783,676 or 74.7% of the Portfolio’s net assets. | |
(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 the local close price because the confidence interval associated with an investment is below the 75% threshold. These securities represent $101,607 or 0.2% 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. Exchange traded funds and rights are also not evaluated by the fair valuation service. | ||
(d) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 7 of the Notes to Financial Statements. | |
Sector Classifications: (Percent of net assets) |
Industrials | 26.3% | ||
Consumer Discretionary | 17.1% | ||
Information Technology | 16.4% | ||
Health Care | 8.7% | ||
Materials | 8.7% | ||
Energy | 7.9% | ||
Financials | 4.9% | ||
Consumer Staples | 3.8% | ||
Telecommunication Services | 0.6% | ||
94.4% | |||
The accompanying notes are an integral part of these financial statements.
37
Ohio National Fund, Inc. | Aggressive Growth Portfolio |
Objective/Strategy
The Aggressive Growth Portfolio seeks long-term capital growth by investing primarily in domestic and foreign equity securities selected for growth potential.
Performance as of June 30, 2010
Average Annual Total Returns: | ||||
One year | 8.81% | |||
Five years | 2.21% | |||
Ten years | -4.60% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2010, the Aggressive Growth Portfolio returned -10.23% versus -6.65% for the current benchmark, the S&P 500 Index.
Equity markets managed to sustain the rally that began in early March 2009 through April 2010, as economic momentum and positive earnings surprises provided a tailwind for equity prices. Concerns over sovereign creditworthiness in Europe, moderating economic data out of the U.S., and slowing growth in China set the tone for the latter half of the period. Mid-cap and small-cap indices out-performed large caps, while value-style indices topped growth. Energy and Materials led the S&P 500 Index lower. The best performing sectors of the benchmark included Industrials and Consumer Discretionary. Commodities were mixed, led by gains in gold and other precious metals, while natural gas was among the weakest performers.
Within this environment, the Portfolio under-performed its benchmark. Weak performing holdings within Financials, Consumer Discretionary and Health Care drove the Portfolio’s under-performance during the period. Meanwhile, our selections within Information Technology provided the largest boost to relative results.(1)
Exposure to the Euro and patent risks weighed on shares of biotechnology company Gilead Sciences, Inc. during the period. We think the company has attractive cash flows and growth potential. In addition, we have confidence in its management’s ability to ensure profitability over the long term.(1)
It was a tough environment for Internet company Google, Inc., which saw the value of its European business decline amid weakness in the Euro. We still think the company can improve its dominant market share by expanding its search technology across different areas, such as mobile devices. We continue to see strong growth potential worldwide over the long term for the company as its Android phones gain greater market share internationally. Yahoo!, Inc. declined during the period, suffering from weakness in equity prices and disappointing sales guidance from management. We think the market is failing to recognize the potential margin expansion and free cash flow growth. We also think the company is trading at an attractive valuation relative to this potential growth.(1)
Apple, Inc. remained a top contributor amid continued market share gains and the launch of the iPad and iPhone 4. We think the company remains a dominant player in the smart phone market and that its hardware and software integration remains a key driver of its market share gains in the personal computing space. Trimble Navigation Ltd. gained during the period. The company makes global positioning services (GPS) navigation and surveying devices. We think Trimble Navigation Ltd.’s products are cost-saving, productivity enhancing tools offering demonstrable returns to its customers in agriculture and construction. We also like the company’s solution-based products and potential to gain market share.(1)
Mead Johnson Nutrition Co., which specializes in pediatric nutrition and has a global brand franchise in its infant formula Enfamil, was another top contributor. We think spending on infant care will continue to grow worldwide, particularly as emerging market consumers become wealthier and are willing to pay for the perceived benefits of Mead Johnson Nutrition Co.’s high value supplements. The company has a strong distribution model and has demonstrated strong pricing power. We think this gives it compelling growth potential.(1)
The headwinds facing the U.S. economy strengthened during the latter half of the period, largely due to the growing European sovereign credit problems. On a positive note, rising demand from the emerging Asian consumer and business has helped stimulate global growth, offsetting softening demand from Europe. Furthermore, corporate balance sheets remain quite healthy, which could bode well for business spending and employment once some of the uncertainty clears up. In this challenging environment, our main focus continues to be individual stock selection and finding companies that are gaining market share and are not dependent on macroeconomic growth for their success. We continue to look for opportunities with company-specific drivers that suggest a long-term distinct competitive advantage, both in the U.S. and abroad.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2010. |
(continued)
38
Ohio National Fund, Inc. | Aggressive Growth Portfolio (Continued) |
Change in Value of $10,000 Investment
Aggressive Growth | S&P 500 | |||||||
Portfolio | Index | |||||||
06/30/2000 | 10000 | 10000 | ||||||
12/31/2000 | 7918 | 9128 | ||||||
06/30/2001 | 6028 | 8517 | ||||||
12/31/2001 | 5399 | 8043 | ||||||
06/30/2002 | 4556 | 6985 | ||||||
12/31/2002 | 3892 | 6266 | ||||||
06/30/2003 | 4416 | 7002 | ||||||
12/31/2003 | 5117 | 8063 | ||||||
06/30/2004 | 5295 | 8341 | ||||||
12/31/2004 | 5576 | 8940 | ||||||
06/30/2005 | 5595 | 8868 | ||||||
12/31/2005 | 6316 | 9380 | ||||||
06/30/2006 | 6176 | 9633 | ||||||
12/31/2006 | 6681 | 10861 | ||||||
06/30/2007 | 7589 | 11617 | ||||||
12/31/2007 | 8656 | 11458 | ||||||
06/30/2008 | 8281 | 10093 | ||||||
12/31/2008 | 4875 | 7219 | ||||||
06/30/2009 | 5736 | 7447 | ||||||
12/31/2009 | 6953 | 9129 | ||||||
06/30/2010 | 6241 | 8521 |
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-083743/l40308l4030808.gif)
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 herein includes the effects of reinvested dividends.
Portfolio Composition as of June 30, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 98.5 | ||
Money Market Funds and Other Net Assets | 1.5 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2010 (1) (2)
% of Net Assets | |||||||
1. | Apple, Inc. | 7.4 | |||||
2. | Anheuser-Busch InBev NV | 4.9 | |||||
3. | Cisco Systems, Inc. | 4.9 | |||||
4. | Celgene Corp. | 4.8 | |||||
5. | Crown Castle International Corp. | 4.3 | |||||
6. | Bank of America Corp. | 4.3 | |||||
7. | Gilead Sciences, Inc. | 3.6 | |||||
8. | Davide Campari-Milano SpA | 3.3 | |||||
9. | Oracle Corp. | 3.3 | |||||
10. | Yahoo!, Inc. | 3.2 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Information Technology | 33.5 | ||
Financials | 19.3 | ||
Consumer Staples | 14.3 | ||
Health Care | 10.8 | ||
Consumer Discretionary | 8.4 | ||
Telecommunication Services | 6.0 | ||
Energy | 2.5 | ||
Industrials | 2.3 | ||
Materials | 1.4 | ||
98.5 | |||
39
Ohio National Fund, Inc. | Aggressive Growth Portfolio |
Schedule of Investments | June 30, 2010 (Unaudited) |
Common Stocks – 98.5% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 8.4% | ||||||||||
Ford Motor Co. (Automobiles) | (a) | 51,700 | $ | 521,136 | ||||||
LG Electronics, Inc. (Household Durables) | (b) | 2,820 | 214,444 | |||||||
News Corp. Class A (Media) | 58,895 | 704,384 | ||||||||
Limited Brands, Inc. (Specialty Retail) | 22,735 | 501,762 | ||||||||
1,941,726 | ||||||||||
CONSUMER STAPLES – 14.3% | ||||||||||
Anheuser-Busch InBev NV (Beverages) | (b) | 23,645 | 1,136,884 | |||||||
Davide Campari-Milano SpA (Beverages) | (b) | 156,120 | 766,161 | |||||||
CVS Caremark Corp. (Food & Staples Retailing) | 17,295 | 507,089 | ||||||||
Mead Johnson Nutrition Co. (Food Products) | 6,825 | 342,069 | ||||||||
Colgate-Palmolive Co. (Household Products) | 4,085 | 321,735 | ||||||||
Reckitt Benckiser Group PLC (Household Products) | (b) | 4,535 | 210,942 | |||||||
3,284,880 | ||||||||||
ENERGY – 2.5% | ||||||||||
BG Group PLC (Oil, Gas & Consumable Fuels) | (b) | 14,528 | 216,072 | |||||||
Petroleo Brasileiro SA – ADR (Oil, Gas & Consumable Fuels) | 10,895 | 373,916 | ||||||||
589,988 | ||||||||||
FINANCIALS – 19.3% | ||||||||||
Charles Schwab Corp. / The (Capital Markets) | 32,028 | 454,157 | ||||||||
Goldman Sachs Group, Inc. / The (Capital Markets) | 1,850 | 242,850 | ||||||||
CapitalSource, Inc. (Commercial Banks) | 46,134 | 219,598 | ||||||||
Standard Chartered PLC (Commercial Banks) | (b) | 16,808 | 409,281 | |||||||
Bank of America Corp. (Diversified Financial Svs.) | 68,565 | 985,279 | ||||||||
CME Group, Inc. (Diversified Financial Svs.) | 1,355 | 381,500 | ||||||||
JPMorgan Chase & Co. (Diversified Financial Svs.) | 13,315 | 487,462 | ||||||||
MarketAxess Holdings, Inc. (Diversified Financial Svs.) | 16,755 | 231,051 | ||||||||
ACE Ltd. (Insurance) | 7,595 | 390,991 | ||||||||
Prudential PLC (Insurance) | (b) | 59,810 | 451,123 | |||||||
Hang Lung Properties Ltd. (Real Estate Mgmt. & Development) | (b) | 48,000 | 183,597 | |||||||
4,436,889 | ||||||||||
HEALTH CARE – 10.8% | ||||||||||
Celgene Corp. (Biotechnology) | (a) | 21,765 | 1,106,097 | |||||||
Gilead Sciences, Inc. (Biotechnology) | (a) | 24,248 | 831,221 | |||||||
Vertex Pharmaceuticals, Inc. (Biotechnology) | (a) | 4,930 | 162,197 | |||||||
Intuitive Surgical, Inc. (Health Care Equip. & Supplies) | (a) | 1,269 | 400,522 | |||||||
2,500,037 | ||||||||||
INDUSTRIALS – 2.3% | ||||||||||
United Parcel Service, Inc. Class B (Air Freight & Logistics) | 5,190 | 295,259 | ||||||||
CoStar Group, Inc. (Professional Svs.) | (a) | 5,870 | 227,756 | |||||||
523,015 | ||||||||||
INFORMATION TECHNOLOGY – 33.5% | ||||||||||
Cisco Systems, Inc. (Communications Equip.) | (a) | 53,225 | 1,134,225 | |||||||
QUALCOMM, Inc. (Communications Equip.) | 10,065 | 330,535 | ||||||||
Research In Motion Ltd. (Communications Equip.) | (a) | 5,105 | 251,472 | |||||||
Apple, Inc. (Computers & Peripherals) | (a) | 6,756 | 1,699,337 | |||||||
Amphenol Corp. Class A (Electronic Equip., Instr. & Comp.) | 6,170 | 242,358 | ||||||||
Trimble Navigation Ltd. (Electronic Equip., Instr. & Comp.) | (a) | 23,870 | 668,360 | |||||||
Tyco Electronics Ltd. (Electronic Equip., Instr. & Comp.) | 18,920 | 480,190 | ||||||||
AOL, Inc. (Internet Software & Svs.) | (a) | 23,295 | 484,303 | |||||||
Google, Inc. Class A (Internet Software & Svs.) | (a) | 1,130 | 502,794 | |||||||
VistaPrint NV (Internet Software & Svs.) | (a) | 8,160 | 387,518 | |||||||
Yahoo!, Inc. (Internet Software & Svs.) | (a) | 54,055 | 747,581 | |||||||
Oracle Corp. (Software) | 35,105 | 753,353 | ||||||||
Salesforce.com, Inc. (Software) | (a) | 448 | 38,447 | |||||||
7,720,473 | ||||||||||
MATERIALS – 1.4% | ||||||||||
Israel Chemicals Ltd. (Chemicals) | (b) | 20,223 | 210,677 | |||||||
Vale SA – ADR (Metals & Mining) | 4,711 | 114,713 | ||||||||
325,390 | ||||||||||
TELECOMMUNICATION SERVICES – 6.0% | ||||||||||
America Movil SAB de CV – ADR (Wireless Telecom. Svs.) | 3,600 | 171,000 | ||||||||
Cellcom Israel Ltd. (Wireless Telecom. Svs.) | 8,420 | 210,500 | ||||||||
Crown Castle International Corp. (Wireless Telecom. Svs.) | (a) | 26,680 | 994,097 | |||||||
1,375,597 | ||||||||||
Total Common Stocks (Cost $22,412,724) | $ | 22,697,995 | ||||||||
VVPR Strips – 0.0% (c) | Quantity | Value | ||||||||
CONSUMER STAPLES – 0.0% | ||||||||||
Anheuser-Busch InBev NV (Beverages) | (a) | 6,992 | $ | 26 | ||||||
Total VVPR Strips (Cost $0) | $ | 26 | ||||||||
Money Market Funds – 1.5% | Shares | Value | ||||||||
Fidelity Institutional Money Market Funds Money Market Portfolio – Class I | 338,000 | $ | 338,000 | |||||||
Total Money Market Funds (Cost $338,000) | $ | 338,000 | ||||||||
Total Investments – 100.0% (Cost $22,750,724) | (d) | $ | 23,036,021 | |||||||
Other Assets in Excess of Liabilities – 0.0% | 1,542 | |||||||||
Net Assets – 100.0% | $ | 23,037,563 | ||||||||
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depository 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 national fair valuation service that has been approved by the Board. These securities represent $3,799,181 or 16.5% 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) | A VVPR Strip is a coupon attached to specific ordinary common shares that offers tax advantages. The coupon entitles a holder to reduced withholding tax rates on the dividends generated from the related common shares. | |
(d) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
40
Ohio National Fund, Inc. | Small Cap Growth Portfolio |
Objective/Strategy
The Small Cap Growth Portfolio seeks long-term capital appreciation by investing at least 80% of its net assets in stocks of small companies.
Performance as of June 30, 2010
Average Annual Total Returns: | ||||
One year | 22.43% | |||
Five years | 3.72% | |||
Ten years | -5.42% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2010, the Small Cap Growth Portfolio returned -0.10% versus -2.31% for the current benchmark, the Russell 2000 Growth Index.
First quarter gains were more than erased in the second quarter, as European sovereign debt issues and worries over a wide contagion caused global markets to decline. During the first quarter, improving economic data that pointed to a strengthening global economy were somewhat offset by concerns of rising interest rates, tighter lending in China, as well as proposed regulations on large U.S. banks. Sovereign debt problems in Europe, namely Greece, Portugal and Spain, also weighed on market indices; although hopes rose for a bailout plan for Greece late in the period. In addition, the U.S. Federal Reserve (Fed) decided to keep interest rates at record lows for an extended period. In late April, the Russell 2000 Growth Index reached its highest level since August of 2008 on improving U.S. economic data and better-than-expected earnings. However, doubt that European countries could contain a contagion was the backdrop to a significant sell-off on May 6. Equities went lower later in May over worries that deep spending cuts under a European bailout plan could impact the continent’s recovery. Weak U.S. economic data led the benchmark index to its lowest level since October on June 30. For the six-month period, the benchmark index finished with modest losses and slightly lagged its value counterpart. Small caps, in general, significantly out-performed large caps for the period. Energy and Telecommunication Services were the weakest sectors within the benchmark index, while Consumer Discretionary and Consumer Staples were the only sectors to manage gains. Commodities were mixed with gold and silver leading the gainers, while sugar and natural gas led those with losses.
Our holdings in Health Care, Consumer Discretionary and Energy were the largest contributors to relative performance during the period. Our selections within Industrials and Materials, as well as our under-weight in Consumer Staples, were among the detractors.(1)
On an individual basis, SXC Health Solutions Corp. posted strong returns during the period. An acquisition enabled the pharmacy benefit manager (PBM) to expand its business, as there was little overlap between the two companies’ customer bases. We think the company’s transaction-based business continues to be appealing and that there could be further consolidation within the PBM market.(1)
Psychiatric Solutions, Inc. was also a key contributor after it received a take-out offer from hospital operator Universal Health Services. We sold the provider of in-patient, behavioral health-care services on the announcement.(1)
Euronet Worldwide, Inc. was the largest individual detractor. The company’s electronic payment business has been negatively impacted by the weakening Euro, reduced fees from card company Visa, and its exposure to central and eastern European countries, where sovereign debt issues remain a concern. We like the company for its recurring revenues and growth opportunities. Euronet Worldwide, Inc. also has an attractive ATM outsourcing business with market leading positions in Europe, India and China.(1)
Health-care technology company athenahealth, Inc. also weighed on performance. We think the leading software provider for managing physicians’ practices has an attractive growth business in electronic health records and is poised for dramatic growth over the next three to five years. The company is bringing modern technology capability to an area which has historically underinvested in technology.(1)
Mixed economic data and high volatility in the markets have left investors looking for direction. Second quarter earnings should give us a better indication of where the economy is headed. Regardless, we continue to focus on company fundamentals, which we feel matter the most for long-term performance.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2010. |
Change in Value of $10,000 Investment
Small Cap | Russell 2000 | |||||||
Growth Portfolio | Growth Index | |||||||
06/30/2000 | 10000 | 10000 | ||||||
12/31/2000 | 6827 | 7663 | ||||||
06/30/2001 | 5004 | 7666 | ||||||
12/31/2001 | 4131 | 6956 | ||||||
06/30/2002 | 3403 | 5749 | ||||||
12/31/2002 | 2928 | 4851 | ||||||
06/30/2003 | 3391 | 5789 | ||||||
12/31/2003 | 4255 | 7206 | ||||||
06/30/2004 | 4249 | 7615 | ||||||
12/31/2004 | 4742 | 8237 | ||||||
06/30/2005 | 4765 | 7941 | ||||||
12/31/2005 | 5049 | 8579 | ||||||
06/30/2006 | 5432 | 9100 | ||||||
12/31/2006 | 6342 | 9724 | ||||||
06/30/2007 | 7276 | 10631 | ||||||
12/31/2007 | 7270 | 10409 | ||||||
06/30/2008 | 5681 | 9479 | ||||||
12/31/2008 | 3803 | 6397 | ||||||
06/30/2009 | 4678 | 7124 | ||||||
12/31/2009 | 5733 | 8602 | ||||||
06/30/2010 | 5728 | 8404 |
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-083743/l40308l4030809.gif)
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 is a market-weighted total return index that measures the performance of companies within the Russell 2000 Index having higher price to book 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 herein includes the effects of reinvested dividends.
(continued)
41
Ohio National Fund, Inc. | Small Cap Growth Portfolio (Continued) |
Portfolio Composition as of June 30, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 98.8 | ||
Money Market Funds Less Net Liabilities | 1.2 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2010 (1) (2)
% of Net Assets | |||||||
1. | Ultimate Software Group, Inc. | 3.9 | |||||
2. | SXC Health Solutions Corp. | 3.5 | |||||
3. | VistaPrint NV | 2.6 | |||||
4. | Jarden Corp. | 2.6 | |||||
5. | GSI Commerce, Inc. | 2.4 | |||||
6. | DG FastChannel, Inc. | 2.4 | |||||
7. | Solera Holdings, Inc. | 2.4 | |||||
8. | Lions Gate Entertainment Corp. | 2.2 | |||||
9. | LivePerson, Inc. | 2.2 | |||||
10. | Dresser-Rand Group, Inc. | 1.9 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Information Technology | 33.2 | ||
Health Care | 22.8 | ||
Consumer Discretionary | 20.4 | ||
Industrials | 10.5 | ||
Financials | 4.7 | ||
Energy | 3.7 | ||
Telecommunication Services | 1.9 | ||
Materials | 1.6 | ||
98.8 | |||
42
Ohio National Fund, Inc. | Small Cap Growth Portfolio |
Schedule of Investments | June 30, 2010 (Unaudited) |
Common Stocks – 98.8% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 20.4% | ||||||||||
American Public Education, Inc. (Diversified Consumer Svs.) | (a) | 8,133 | $ | 355,412 | ||||||
Bridgepoint Education, Inc. (Diversified Consumer Svs.) | (a) | 18,977 | 300,026 | |||||||
ChinaCast Education Corp. (Diversified Consumer Svs.) | (a) | 21,570 | 128,126 | |||||||
Grand Canyon Education, Inc. (Diversified Consumer Svs.) | (a) | 7,828 | 183,410 | |||||||
National American University Holdings, Inc. (Diversified Consumer Svs.) | 27,880 | 242,835 | ||||||||
Princeton Review, Inc. (Diversified Consumer Svs.) | (a) | 59,560 | 138,179 | |||||||
China Lodging Group Ltd. – ADR (Hotels, Restaurants & Leisure) | (a) | 1,836 | 27,815 | |||||||
Morgans Hotel Group Co. (Hotels, Restaurants & Leisure) | (a) | 9,034 | 55,650 | |||||||
Deer Consumer Products, Inc. (Household Durables) | (a) | 15,795 | 131,099 | |||||||
Jarden Corp. (Household Durables) | 21,352 | 573,728 | ||||||||
DreamWorks Animation SKG, Inc. Class A (Media) | (a) | 1,395 | 39,827 | |||||||
Genius Products, Inc. (Media) | (a)(c) | 225 | 3,038 | |||||||
IMAX Corp. (Media) | (a) | 25,862 | 377,585 | |||||||
Lions Gate Entertainment Corp. (Media) | (a) | 71,980 | 502,420 | |||||||
MDC Partners, Inc. Class A (Media) | 9,575 | 102,261 | ||||||||
National CineMedia, Inc. (Media) | 19,430 | 323,704 | ||||||||
ReachLocal, Inc. (Media) | (a) | 7,305 | 94,746 | |||||||
Saks, Inc. (Multiline Retail) | (a) | 19,315 | 146,601 | |||||||
Tractor Supply Co. (Specialty Retail) | 3,565 | 217,358 | ||||||||
Skechers U.S.A., Inc. Class A (Textiles, Apparel & Luxury Goods) | (a) | 11,755 | 429,293 | |||||||
True Religion Apparel, Inc. (Textiles, Apparel & Luxury Goods) | (a) | 8,620 | 190,243 | |||||||
4,563,356 | ||||||||||
ENERGY – 3.7% | ||||||||||
Dresser-Rand Group, Inc. (Energy Equip. & Svs.) | (a) | 13,735 | 433,339 | |||||||
World Fuel Services Corp. (Oil, Gas & Consumable Fuels) | 14,743 | 382,434 | ||||||||
815,773 | ||||||||||
FINANCIALS – 4.7% | ||||||||||
Epoch Holding Corp. (Capital Markets) | 2,143 | 26,295 | ||||||||
Financial Engines, Inc. (Capital Markets) | (a) | 3,205 | 43,588 | |||||||
Cardtronics, Inc. (Consumer Finance) | (a) | 10,755 | 139,385 | |||||||
MarketAxess Holdings, Inc. (Diversified Financial Svs.) | 23,470 | 323,651 | ||||||||
MSCI, Inc. Class A (Diversified Financial Svs.) | (a) | 13,381 | 366,639 | |||||||
Fox Chase Bancorp, Inc. (Thrifts & Mortgage Finance) | (a) | 5,955 | 56,989 | |||||||
Northwest Bancshares, Inc. (Thrifts & Mortgage Finance) | 5,780 | 66,297 | ||||||||
Territorial Bancorp, Inc. (Thrifts & Mortgage Finance) | 1,915 | 36,289 | ||||||||
1,059,133 | ||||||||||
HEALTH CARE – 22.8% | ||||||||||
Achillion Pharmaceuticals, Inc. (Biotechnology) | (a) | 17,860 | 39,292 | |||||||
Acorda Therapeutics, Inc. (Biotechnology) | (a) | 8,266 | 257,155 | |||||||
Incyte Corp Ltd. (Biotechnology) | (a) | 14,215 | 157,360 | |||||||
Myriad Genetics, Inc. (Biotechnology) | (a) | 3,952 | 59,082 | |||||||
HeartWare International, Inc. (Health Care Equip. & Supplies) | (a) | 4,700 | 329,329 | |||||||
Natus Medical, Inc. (Health Care Equip. & Supplies) | (a) | 11,910 | 194,014 | |||||||
Accretive Health, Inc. (Health Care Providers & Svs.) | (a) | 3,045 | 40,285 | |||||||
Alliance HealthCare Services, Inc. (Health Care Providers & Svs.) | (a) | 14,085 | 56,903 | |||||||
Amedisys, Inc. (Health Care Providers & Svs.) | (a) | 5,190 | 228,204 | |||||||
Bio-Reference Labs, Inc. (Health Care Providers & Svs.) | (a) | 9,930 | 220,148 | |||||||
Catalyst Health Solutions, Inc. (Health Care Providers & Svs.) | (a) | 11,772 | 406,134 | |||||||
Concord Medical Services Holdings Ltd. – ADR (Health Care Providers & Svs.) | (a) | 11,545 | 68,808 | |||||||
Health Grades, Inc. (Health Care Providers & Svs.) | (a) | 30,943 | 185,658 | |||||||
HMS Holdings Corp. (Health Care Providers & Svs.) | (a) | 5,803 | 314,639 | |||||||
LHC Group, Inc. (Health Care Providers & Svs.) | (a) | 11,627 | 322,649 | |||||||
Mednax, Inc. (Health Care Providers & Svs.) | (a) | 4,401 | 244,740 | |||||||
MWI Veterinary Supply, Inc. (Health Care Providers & Svs.) | (a) | 4,215 | 211,846 | |||||||
Providence Service Corp. / The (Health Care Providers & Svs.) | (a) | 3,176 | 44,464 | |||||||
PSS World Medical, Inc. (Health Care Providers & Svs.) | (a) | 14,837 | 313,803 | |||||||
RadNet, Inc. (Health Care Providers & Svs.) | (a) | 12,572 | 29,796 | |||||||
athenahealth, Inc. (Health Care Technology) | (a) | 7,724 | 201,828 | |||||||
MedAssets, Inc. (Health Care Technology) | (a) | 5,843 | 134,857 | |||||||
SXC Health Solutions Corp. (Health Care Technology) | (a) | 10,559 | 773,447 | |||||||
Techne Corp. (Life Sciences Tools & Svs.) | 1,957 | 112,430 | ||||||||
Biovail Corp. (Pharmaceuticals) | 7,400 | 142,376 | ||||||||
5,089,247 | ||||||||||
INDUSTRIALS – 10.5% | ||||||||||
TransDigm Group, Inc. (Aerospace & Defense) | 4,715 | 240,606 | ||||||||
Ritchie Bros Auctioneers, Inc. (Commercial Svs. & Supplies) | 6,731 | 122,639 | ||||||||
Standard Parking Corp. (Commercial Svs. & Supplies) | (a) | 15,295 | 242,120 | |||||||
Harbin Electric, Inc. (Electrical Equip.) | (a) | 16,500 | 274,725 | |||||||
Barnes Group, Inc. (Machinery) | 6,778 | 111,091 | ||||||||
Wabash National Corp. (Machinery) | (a) | 26,445 | 188,024 | |||||||
Wabtec Corp. (Machinery) | 4,803 | 191,592 | ||||||||
Horizon Lines, Inc. Class A (Marine) | 34,933 | 147,767 | ||||||||
CoStar Group, Inc. (Professional Svs.) | (a) | 10,278 | 398,786 | |||||||
Odyssey Marine Exploration, Inc. (Professional Svs.) | (a) | 457 | 457 | |||||||
Resources Connection, Inc. (Professional Svs.) | (a) | 13,322 | 181,179 | |||||||
Landstar System, Inc. (Road & Rail) | 3,250 | 126,718 | ||||||||
Old Dominion Freight Line, Inc. (Road & Rail) | (a) | 3,614 | 126,996 | |||||||
2,352,700 | ||||||||||
INFORMATION TECHNOLOGY – 33.2% | ||||||||||
DG FastChannel, Inc. (Communications Equip.) | (a) | 16,562 | 539,590 | |||||||
DTS, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 11,095 | 364,693 | |||||||
Archipelago Learning, Inc. (Internet Software & Svs.) | (a) | 5,870 | 67,094 | |||||||
Constant Contact, Inc. (Internet Software & Svs.) | (a) | 8,458 | 180,409 | |||||||
GSI Commerce, Inc. (Internet Software & Svs.) | (a) | 18,900 | 544,320 | |||||||
LivePerson, Inc. (Internet Software & Svs.) | (a) | 70,640 | 484,590 | |||||||
NaviSite, Inc. (Internet Software & Svs.) | (a) | 69,065 | 181,641 | |||||||
NIC, Inc. (Internet Software & Svs.) | 26,893 | 172,384 | ||||||||
SAVVIS, Inc. (Internet Software & Svs.) | (a) | 9,519 | 140,405 | |||||||
TechTarget, Inc. (Internet Software & Svs.) | (a) | 7,540 | 40,565 | |||||||
VistaPrint NV (Internet Software & Svs.) | (a) | 12,090 | 574,154 | |||||||
Vocus, Inc. (Internet Software & Svs.) | (a) | 14,587 | 222,889 | |||||||
Euronet Worldwide, Inc. (IT Svs.) | (a) | 13,605 | 174,008 |
(continued)
43
Ohio National Fund, Inc. | Small Cap Growth Portfolio (Continued) |
Schedule of Investments | June 30, 2010 (Unaudited) |
Common Stocks (Continued) | Shares | Value | ||||||||
INFORMATION TECHNOLOGY (continued) | ||||||||||
Gartner, Inc. (IT Svs.) | (a) | 13,800 | $ | 320,850 | ||||||
Information Services Group, Inc. (IT Svs.) | (a) | 4,244 | 8,488 | |||||||
SPS Commerce, Inc. (IT Svs.) | (a) | 4,555 | 52,929 | |||||||
Atmel Corp. (Semiconductors & Equip.) | (a) | 83,135 | 399,048 | |||||||
Ceva, Inc. (Semiconductors & Equip.) | (a) | 22,340 | 281,484 | |||||||
Blackboard, Inc. (Software) | (a) | 3,263 | 121,808 | |||||||
Concur Technologies, Inc. (Software) | (a) | 4,081 | 174,177 | |||||||
Convio, Inc. (Software) | (a) | 13,340 | 97,916 | |||||||
MICROS Systems, Inc. (Software) | (a) | 7,475 | 238,228 | |||||||
MicroStrategy, Inc. Class A (Software) | (a) | 1,595 | 119,769 | |||||||
Monotype Imaging Holdings, Inc. (Software) | (a) | 18,584 | 167,442 | |||||||
Salary.com, Inc. (Software) | (a) | 8,932 | 22,687 | |||||||
Solera Holdings, Inc. (Software) | 14,737 | 533,479 | ||||||||
SS&C Technologies Holdings, Inc. (Software) | (a) | 4,725 | 75,742 | |||||||
SuccessFactors, Inc. (Software) | (a) | 11,540 | 239,917 | |||||||
Ultimate Software Group, Inc. (Software) | (a) | 26,697 | 877,263 | |||||||
7,417,969 | ||||||||||
MATERIALS – 1.6% | ||||||||||
Nalco Holding Co. (Chemicals) | 10,678 | 218,472 | ||||||||
Yongye International, Inc. (Chemicals) | (a) | 19,260 | 132,701 | |||||||
351,173 | ||||||||||
TELECOMMUNICATION SERVICES – 1.9% | ||||||||||
inContact, Inc. (Diversified Telecom. Svs.) | (a) | 33,519 | 82,122 | |||||||
SBA Communications Corp. Class A (Wireless Telecom. Svs.) | (a) | 10,111 | 343,875 | |||||||
425,997 | ||||||||||
Total Common Stocks (Cost $19,863,474) | $ | 22,075,348 | ||||||||
Warrants – 0.0% | Quantity | Value | ||||||||
CONSUMER DISCRETIONARY – 0.0% | ||||||||||
PokerTek, Inc. (Acquired 04/23/2007, Cost $10,537) (Hotels, Restaurants & Leisure) Expiration: April 2012, Exercise Price: $10.80 | (a)(b)(c) | 2,172 | $ | — | ||||||
Total Warrants (Cost $10,537) | $ | — | ||||||||
Money Market Funds – 1.2% | Shares | Value | ||||||||
Fidelity Institutional Money Market Funds Money Market Portfolio – Class I | 274,000 | $ | 274,000 | |||||||
Total Money Market Funds (Cost $274,000) | $ | 274,000 | ||||||||
Total Investments – 100.0% (Cost $20,148,011) | (d) | $ | 22,349,348 | |||||||
Liabilities in Excess of Other Assets – (0.0)% | (1,677 | ) | ||||||||
Net Assets – 100.0% | $ | 22,347,671 | ||||||||
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depository Receipts
Footnotes:
(a) | Non-income producing security. | |
(b) | A market quotation for this investment was not readily available at June 30, 2010. As discussed in Note 2 of the Notes to Financial Statements, the price for this issue was derived from an estimate of fair market value using methods determined in good faith by the Fund’s Pricing Committee under the supervision of the Board. This security represents $0 or 0.0% of the Portfolio’s net assets. | |
(c) | Represents a security deemed to be illiquid. At June 30, 2010, the value of illiquid securities in the Portfolio totalled $3,038 or 0.0% of the Portfolio’s net assets. | |
(d) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
44
Ohio National Fund, Inc. | Mid Cap Opportunity Portfolio |
Objective/Strategy
The Mid Cap Opportunity Portfolio seeks long-term total return by investing at least 80% of its net assets in equity securities of mid-cap companies, primarily those that are strategically positioned for long-term growth.
Performance as of June 30, 2010
Average Annual Total Returns: | ||||
One year | 21.24% | |||
Five years | -1.52% | |||
Ten years | -1.00% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2010, the Mid Cap Opportunity Portfolio returned -5.19% versus -3.31% for the current benchmark, the Russell Midcap Growth Index.
The U.S. and international equity markets broke a four-quarter winning streak with a sharp drop in the second quarter of 2010. This, in turn, erased gains from the previous quarter and sent most major indices into negative territory for the year-to-date period. The S&P 500 Index returned -11.43% during the second quarter and returned -6.65% during the six months ended June 30, 2010. Broad-based weakness produced negative returns for all sectors in the S&P 500 Index during the first half of 2010.
While the global markets reflected continued investor concern that Europe’s sovereign debt dilemma would spark another financial crisis, attention increasingly focused on evidence that the global economy was losing steam. In the U.S., the Federal Reserve Board remained cautious on growth, consumers were wary and private sector payroll growth was weaker than expected. In addition, fears of slowing Chinese demand negatively impacted commodity prices, while high crude oil inventory levels and British Petroleum’s disastrous oil spill in the Gulf of Mexico further pressured Energy stocks. During the second half of the reporting period, the Financials sector was among the weakest performers, as significant financial reform legislation neared the final stages and investors contemplated the impact to margins, earnings and multiples of banks.
The Portfolio under-performed its benchmark, the Russell Midcap Growth Index, because company-specific issues weighed on certain holdings in the Information Technology and Consumer Staples sectors. In contrast, strong stock selection within the Energy sector and an under-weight in Utilities aided returns.(1)
Netflix.com, Inc. was the top contributor to relative performance during the period after the company reported earnings that exceeded expectations. The company announced that it added over one and a half million subscribers in the most recent fiscal quarter and subsequently raised its full year earnings guidance. The company’s “watch instantly” service, which can stream movies and TV shows from the Internet directly to subscribers’ computers, continues to be a significant driver of new subscribers. Currently the service is available to stream content via a Roku receiver box and Sony’s BRAVIA line of Internet capable high-definition televisions, as well as the Microsoft Xbox 360, Sony Playstation 3, and Nintendo Wii video game consoles. We believe these platforms will continue to be a catalyst for subscriber growth.(1)
Shares of Amylin Pharmaceuticals, Inc. were up during the period as investors gained more confidence that the Food and Drug Administration (FDA) would approve Byetta Long-Acting-Release (LAR). A competing diabetes drug, liraglutide, received FDA approval, which may indicate that Byetta LAR is more likely to be approved. In addition, Amylin Pharmaceuticals, Inc.’s drug has shown fewer negative effects. We continue to have conviction in Amylin Pharmaceuticals, Inc., as we believe Byetta LAR is potentially the best-in-class drug for the treatment of type II diabetes.(1)
Core Laboratories NV contributed to performance over the past six months. The company provides field analytics to the oil and gas industry, including fracturing analysis and simulation technologies used to determine the quality and size of natural gas formations. Its shares rose after regulations were passed in Congress that would increase the regulation of fracturing in the U.S., which raises the importance of effective pre-fracturing analysis. In our view, the company is a leader in these services and will continue to benefit from the growth in the U.S. natural gas exploration industry.(1)
Formfactor, Inc. was a large detractor from performance during the period. The company designs and manufactures wafer probe cards that are used for testing semiconductor chips. While the company’s revenue generation has been consistent with market expectations, shares of the company traded down due to concerns that higher than expected supply chain costs would push margins below consensus expectations. Due to these near-term challenges, the company has reorganized its management team in order to return Formfactor, Inc. to profitability. In addition, we believe the company has a strong balance sheet and a significant amount of cash to engineer a turnaround and reduce its long term cost structure.(1)
Electronic payments processor, Global Payments, Inc., detracted from performance. Although the company reported earnings that were above expectations, revenues from Canada, an important geography for Global Payments, Inc., were weak. In addition, the company provided lower guidance for 2010 than previously anticipated. On the positive side, U.S. sales have stabilized after the recent economic downturn and there was strong growth in volumes from the company’s operations in Asia. We continue to have significant conviction in Global Payments, Inc., which we believe can utilize its solid balance sheet to continue its growth internationally. We added to our position on the price weakness.(1)
Data center solutions company, Equinix, Inc., detracted from performance during the period. Shares of Equinix, Inc. sold off as investors were nervous about the company’s exposure to Europe. In our view, this is short-term noise and the company’s core data center business remains robust and should continue to strengthen with its recent acquisition of Switch & Data. We believe Equinix, Inc. remains well-positioned to benefit from a number of secular trends, including cloud computing, demand for optimized network performance, and mobile data.(1)
During the period, we initiated a position in NetApp, Inc., a company that develops data storage hardware and software for enterprise clients. We believe NetApp, Inc. has a strong competitive position in an industry that is benefiting from several growth trends, such as virtualization, which we believe will increase the demand for the
(continued)
45
Ohio National Fund, Inc. | Mid Cap Opportunity Portfolio (Continued) |
company’s storage products. NetApp, Inc. specializes in external networked storage, which has and, in our view, will continue to take share away from direct attached products. Within this space, we believe the company’s storage devices are easier to buy, install and manage than competing products. As a result, we believe that NetApp, Inc. is poised to gain market share as companies begin to increase corporate information technology spending. In the Consumer Discretionary sector, we added apparel company Phillips-Van Heusen Corp. We believe the company has a high quality brand portfolio that includes Calvin Klein, IZOD, Tommy Hilfiger and licenses for other brands such as Nautica and Timberland. The company has recently increased its focus on international expansion. Many international apparel markets are less consolidated than in the U.S., which we believe provides the company with opportunities for margin expansion as well as revenue growth potential.(1)
We sold out of Apollo Group, Inc., a company that provides private education programs at the undergraduate, graduate and doctoral levels through the Internet and on campuses. We continue to believe that Apollo Group, Inc. is a high-quality growth business that is benefiting from an increase in demand for online courses. However, we decided to sell out of our position due to the near-term uncertainty related to potential government regulations that may impact Apollo Group, Inc.’s long term business. We also decided to exit our position in Coach, Inc. Shares of Coach, Inc. have meaningfully appreciated over the past year, reducing the stock’s valuation discount. With the stock price now reflecting a better fundamental outlook for Coach, Inc., we decided to sell out of the name in order to fund positions with higher potential upside.(1)
The Portfolio’s top five performers were Netflix.com, Inc., Millipore Corp., Amylin Pharmaceuticals, Inc., Core Laboratories NV and Coach, Inc. The bottom five performers were Formfactor, Inc., Global Payments, Inc., Lazard Ltd., Alliant Techsystems, Inc., and Phillips-Van Heusen Corp. The top five contributors were Netflix.com, Inc., Amylin Pharmaceuticals, Inc., Core Laboratories NV, PetSmart, Inc. and Whiting Petroleum Corp. The top five detractors were Formfactor, Inc., Global Payments, Inc., Equinix, Inc., Staples, Inc. and Cameron International Corp.(1)
As we consider equity returns going forward, we believe that stock prices will be driven by company-specific fundamentals, specifically free cash flow and margin structure. In our view, the dramatic cost cutting that occurred in 2009 should provide certain companies with significant operating leverage. Our research efforts continue to be focused on companies that can grow revenue by gaining market share and determining whether the cost cutting was sustainable or transient. We believe that it will continue to be a stock-picker’s market and an investment manager’s ability to identity and purchase those companies best poised for earnings and free cash flow growth will be an important component of investor returns.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2010. |
Change in Value of $10,000 Investment
Mid Cap | Russell Midcap | |||||||
Opportunity Portfolio | Growth Index | |||||||
06/30/2000 | 10000 | 10000 | ||||||
12/31/2000 | 9096 | 7869 | ||||||
06/30/2001 | 8960 | 6849 | ||||||
12/31/2001 | 7929 | 6283 | ||||||
06/30/2002 | 6553 | 5045 | ||||||
12/31/2002 | 5897 | 4561 | ||||||
06/30/2003 | 7020 | 5416 | ||||||
12/31/2003 | 8630 | 6510 | ||||||
06/30/2004 | 9082 | 6896 | ||||||
12/31/2004 | 9800 | 7517 | ||||||
06/30/2005 | 9763 | 7645 | ||||||
12/31/2005 | 10778 | 8427 | ||||||
06/30/2006 | 11329 | 8642 | ||||||
12/31/2006 | 11818 | 9325 | ||||||
06/30/2007 | 13551 | 10347 | ||||||
12/31/2007 | 13929 | 10390 | ||||||
06/30/2008 | 11843 | 9682 | ||||||
12/31/2008 | 6785 | 5785 | ||||||
06/30/2009 | 7460 | 6746 | ||||||
12/31/2009 | 9540 | 8463 | ||||||
06/30/2010 | 9045 | 8182 |
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-083743/l40308l4030810.gif)
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The Russell Midcap Growth Index is a subset of the Russell Midcap Index, which measures the performance of the 800 smallest companies in the Russell 1000 Index. The Russell Midcap Growth Index measures the performance of those stocks of the Russell Midcap Index with higher price-to-book ratios and higher relative forecasted growth rates. The index presented herein includes the effects of reinvested dividends.
(continued)
46
Ohio National Fund, Inc. | Mid Cap Opportunity Portfolio (Continued) |
Portfolio Composition as of June 30, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 96.4 | ||
Money Market Funds Less Net Liabilities | 3.6 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2010 (1) (2)
% of Net Assets | |||||||
1. | St. Jude Medical, Inc. | 2.5 | |||||
2. | Global Payments, Inc. | 2.5 | |||||
3. | Ecolab, Inc. | 2.4 | |||||
4. | American Tower Corp. Class A | 2.3 | |||||
5. | Polo Ralph Lauren Corp. | 2.2 | |||||
6. | Cameron International Corp. | 2.2 | |||||
7. | Equinix, Inc. | 2.1 | |||||
8. | Iron Mountain, Inc. | 2.1 | |||||
9. | Bed Bath & Beyond, Inc. | 2.1 | |||||
10. | Northern Trust Corp. | 2.1 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Information Technology | 20.4 | ||
Consumer Discretionary | 17.9 | ||
Health Care | 12.7 | ||
Financials | 11.7 | ||
Industrials | 9.6 | ||
Energy | 9.4 | ||
Consumer Staples | 5.6 | ||
Telecommunication Services | 5.5 | ||
Materials | 3.6 | ||
96.4 | |||
47
Ohio National Fund, Inc. | Mid Cap Opportunity Portfolio |
Schedule of Investments | June 30, 2010 (Unaudited) |
Common Stocks – 96.4% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 17.9% | ||||||||||
Fortune Brands, Inc. (Household Durables) | 17,577 | $ | 688,667 | |||||||
Newell Rubbermaid, Inc. (Household Durables) | 73,119 | 1,070,462 | ||||||||
NetFlix, Inc. (Internet & Catalog Retail) | (a) | 2,713 | 294,767 | |||||||
Lamar Advertising Co. Class A (Media) | (a) | 23,432 | 574,553 | |||||||
Advance Auto Parts, Inc. (Specialty Retail) | 13,584 | 681,645 | ||||||||
Bed Bath & Beyond, Inc. (Specialty Retail) | (a) | 32,950 | 1,221,786 | |||||||
Dick’s Sporting Goods, Inc. (Specialty Retail) | (a) | 21,810 | 542,851 | |||||||
GameStop Corp. Class A (Specialty Retail) | (a) | 57,894 | 1,087,828 | |||||||
PetSmart, Inc. (Specialty Retail) | 30,689 | 925,887 | ||||||||
Staples, Inc. (Specialty Retail) | 56,386 | 1,074,153 | ||||||||
Phillips-Van Heusen Corp. (Textiles, Apparel & Luxury Goods) | 18,537 | 857,707 | ||||||||
Polo Ralph Lauren Corp. (Textiles, Apparel & Luxury Goods) | 17,471 | 1,274,684 | ||||||||
10,294,990 | ||||||||||
CONSUMER STAPLES – 5.6% | ||||||||||
Hansen Natural Corp. (Beverages) | (a) | 30,583 | 1,196,101 | |||||||
Energizer Holdings, Inc. (Household Products) | (a) | 17,788 | 894,381 | |||||||
Avon Products, Inc. (Personal Products) | 41,762 | 1,106,693 | ||||||||
3,197,175 | ||||||||||
ENERGY – 9.4% | ||||||||||
Cameron International Corp. (Energy Equip. & Svs.) | (a) | 38,387 | 1,248,345 | |||||||
Core Laboratories NV (Energy Equip. & Svs.) | 6,287 | 928,024 | ||||||||
Dril-Quip, Inc. (Energy Equip. & Svs.) | (a) | 16,311 | 718,010 | |||||||
Petrohawk Energy Corp. (Oil, Gas & Consumable Fuels) | (a) | 42,615 | 723,176 | |||||||
Southwestern Energy Co. (Oil, Gas & Consumable Fuels) | (a) | 24,256 | 937,252 | |||||||
Whiting Petroleum Corp. (Oil, Gas & Consumable Fuels) | (a) | 10,897 | 854,543 | |||||||
5,409,350 | ||||||||||
FINANCIALS – 11.7% | ||||||||||
Lazard Ltd. Class A (Capital Markets) | 23,517 | 628,139 | ||||||||
Northern Trust Corp. (Capital Markets) | 25,873 | 1,208,269 | ||||||||
TD Ameritrade Holding Corp. (Capital Markets) | (a) | 50,972 | 779,872 | |||||||
SLM Corp. (Consumer Finance) | (a) | 85,141 | 884,615 | |||||||
IntercontinentalExchange, Inc. (Diversified Financial Svs.) | (a) | 9,351 | 1,056,943 | |||||||
CB Richard Ellis Group, Inc. Class A (Real Estate Mgmt. & Development) | (a) | 83,313 | 1,133,890 | |||||||
People’s United Financial, Inc. (Thrifts & Mortgage Finance) | 75,790 | 1,023,165 | ||||||||
6,714,893 | ||||||||||
HEALTH CARE – 12.7% | ||||||||||
Amylin Pharmaceuticals, Inc. (Biotechnology) | (a) | 46,121 | 867,075 | |||||||
Biogen Idec, Inc. (Biotechnology) | (a) | 20,966 | 994,837 | |||||||
Talecris Biotherapeutics Holdings Corp. (Biotechnology) | (a) | 23,125 | 487,937 | |||||||
CareFusion Corp. (Health Care Equip. & Supplies) | (a) | 18,180 | 412,686 | |||||||
C.R. Bard, Inc. (Health Care Equip. & Supplies) | 13,358 | 1,035,646 | ||||||||
St. Jude Medical, Inc. (Health Care Equip. & Supplies) | (a) | 39,631 | 1,430,283 | |||||||
Emdeon, Inc. Class A (Health Care Providers & Svs.) | (a) | 37,403 | 468,659 | |||||||
Henry Schein, Inc. (Health Care Providers & Svs.) | (a) | 17,170 | 942,633 | |||||||
Charles River Laboratories International, Inc. (Life Sciences Tools & Svs.) | (a) | 19,514 | 667,574 | |||||||
7,307,330 | ||||||||||
INDUSTRIALS – 9.6% | ||||||||||
Alliant Techsystems, Inc. (Aerospace & Defense) | (a) | 11,976 | 743,230 | |||||||
C.H. Robinson Worldwide, Inc. (Air Freight & Logistics) | 11,319 | 630,015 | ||||||||
Iron Mountain, Inc. (Commercial Svs. & Supplies) | 54,498 | 1,224,025 | ||||||||
Quanta Services, Inc. (Construction & Engineering) | (a) | 28,193 | 582,185 | |||||||
Rockwell Automation, Inc. (Electrical Equip.) | 10,496 | 515,249 | ||||||||
Roper Industries, Inc. (Electrical Equip.) | 11,108 | 621,604 | ||||||||
Kennametal, Inc. (Machinery) | 29,318 | 745,557 | ||||||||
Verisk Analytics, Inc. Class A (Professional Svs.) | (a) | 16,170 | 483,483 | |||||||
5,545,348 | ||||||||||
INFORMATION TECHNOLOGY – 20.4% | ||||||||||
NetApp, Inc. (Computers & Peripherals) | (a) | 18,706 | 697,921 | |||||||
Amphenol Corp. Class A (Electronic Equip., Instr. & Comp.) | 26,505 | 1,041,116 | ||||||||
FLIR Systems, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 28,685 | 834,447 | |||||||
Equinix, Inc. (Internet Software & Svs.) | (a) | 15,116 | 1,227,722 | |||||||
Cognizant Technology Solutions Corp. Class A (IT Svs.) | (a) | 13,077 | 654,635 | |||||||
Genpact Ltd. (IT Svs.) | (a) | 26,787 | 416,002 | |||||||
Global Payments, Inc. (IT Svs.) | 39,118 | 1,429,372 | ||||||||
Western Union Co. / The (IT Svs.) | 47,879 | 713,876 | ||||||||
Altera Corp. (Semiconductors & Equip.) | 29,612 | 734,674 | ||||||||
Broadcom Corp. Class A (Semiconductors & Equip.) | 21,151 | 697,348 | ||||||||
Formfactor, Inc. (Semiconductors & Equip.) | (a) | 51,394 | 555,055 | |||||||
Linear Technology Corp. (Semiconductors & Equip.) | 20,248 | 563,097 | ||||||||
Xilinx, Inc. (Semiconductors & Equip.) | 28,197 | 712,256 | ||||||||
Citrix Systems, Inc. (Software) | (a) | 16,381 | 691,770 | |||||||
Salesforce.com, Inc. (Software) | (a) | 8,999 | 772,294 | |||||||
11,741,585 | ||||||||||
MATERIALS – 3.6% | ||||||||||
Ecolab, Inc. (Chemicals) | 30,372 | 1,364,007 | ||||||||
Schweitzer-Mauduit International, Inc. (Paper & Forest Products) | 13,639 | 688,088 | ||||||||
2,052,095 | ||||||||||
TELECOMMUNICATION SERVICES – 5.5% | ||||||||||
tw telecom, Inc. (Diversified Telecom. Svs.) | (a) | 63,838 | 1,064,818 | |||||||
American Tower Corp. Class A (Wireless Telecom. Svs.) | (a) | 29,529 | 1,314,041 | |||||||
Crown Castle International Corp. (Wireless Telecom. Svs.) | (a) | 20,951 | 780,634 | |||||||
3,159,493 | ||||||||||
Total Common Stocks (Cost $57,842,521) | $ | 55,422,259 | ||||||||
Money Market Funds – 4.2% | Shares | Value | ||||||||
Fidelity Institutional Money Market Funds Prime Money Market Portfolio – Class I | 2,384,000 | $ | 2,384,000 | |||||||
Total Money Market Funds (Cost $2,384,000) | $ | 2,384,000 | ||||||||
Total Investments – 100.6% (Cost $60,226,521) | (b) | $ | 57,806,259 | |||||||
Liabilities in Excess of Other Assets – (0.6)% | (332,274 | ) | ||||||||
Net Assets – 100.0% | $ | 57,473,985 | ||||||||
Percentages are stated as a percent of net assets.
Footnotes:
(a) | Non-income producing security. | |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
48
Ohio National Fund, Inc. | S&P 500® Index Portfolio |
Objective/Strategy
The S&P 500® Index Portfolio seeks total return that approximates the total return of the Standard & Poor’s 500® Index, at a risk level consistent with that of the S&P 500® Index.
Performance as of June 30, 2010
Average Annual Total Returns: | ||||
One year | 13.83% | |||
Five years | -1.25% | |||
Ten years | -2.33% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2010, the S&P 500® Index Portfolio returned -6.84% versus -6.65% for the current benchmark, the S&P 500® Index.
The Portfolio’s correlation with the S&P 500® Index was 99.9%. The high correlation is due to the fact that the Portfolio invests in each of the 500 stocks in the index. The Portfolio also invests in S&P 500 Depositary Receipts which mimic the return of the S&P 500® Index.(1)
The largest contributors to the index return for the period were Apple, Inc., Citigroup, Inc., Newmont Mining Corp., Bank of America Corp., and Berkshire Hathaway, Inc. Class B. The largest detractors for the period were Microsoft Corp., Exxon Mobil Corp., Google, Inc., Pfizer, Inc., and AT&T, Inc.
Stocks had a good first quarter in 2010, but then retreated in the second quarter mainly due to sovereign debt concerns and fear that the U.S. and world economies might enter into a double dip recession. The Federal Reserve is expected to keep the discount rate around zero through an accommodative monetary policy for the rest of the year. Economists expect strong corporate earnings for the rest of 2010. Unemployment, the housing market, and continued sovereign debt risks in the Euro-zone are issues to keep an eye on for the balance of 2010.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2010. |
“Standard & Poor’s®”, “S&P®”, “S&P 500®” and “Standard & Poor’s 500” are trademarks of The McGraw-Hill Companies, Inc. and have been licensed for use by Ohio National Investments, Inc. (ONI). The S&P 500® Index Portfolio is not sponsored, endorsed, sold or promoted by Standard & Poor’s (“S&P”) and S&P makes no representation regarding the advisability of investing in the S&P 500® Index Portfolio. S&P makes no representation or warranty, express or implied, to the owners of the Portfolio or any member of the public regarding the advisability of investing in securities generally or in the Portfolio particularly or the ability of the S&P 500® Index to track general stock market performance. S&P’s only relationship to ONI is the licensing of certain trademarks and trade names of S&P® and of the S&P 500® Index which is determined, composed and calculated by S&P® without regard to ONI or the S&P 500® Index Portfolio. S&P® has no obligation to take the needs of ONI or the owners of the Portfolio into consideration in determining, composing or calculating the S&P 500® Index. S&P® is not responsible for and has not participated in the determination of the prices and amount of the Portfolio or the timing of the issuance or sale of the Portfolio or in the determination or calculation of the equation by which the Portfolio is to be converted into cash. S&P® has no obligation or liability in connection with the administration, marketing or trading of the Portfolio.
Change in Value of $10,000 Investment
S&P 500fi | S&P 500fi | |||||||
Index Portfolio | Index | |||||||
06/30/2000 | 10000 | 10000 | ||||||
12/31/2000 | 8986 | 9128 | ||||||
06/30/2001 | 8312 | 8517 | ||||||
12/31/2001 | 7787 | 8043 | ||||||
06/30/2002 | 6713 | 6985 | ||||||
12/31/2002 | 6026 | 6266 | ||||||
06/30/2003 | 6715 | 7002 | ||||||
12/31/2003 | 7704 | 8063 | ||||||
06/30/2004 | 7952 | 8341 | ||||||
12/31/2004 | 8498 | 8940 | ||||||
06/30/2005 | 8416 | 8868 | ||||||
12/31/2005 | 8877 | 9380 | ||||||
06/30/2006 | 9103 | 9633 | ||||||
12/31/2006 | 10235 | 10861 | ||||||
06/30/2007 | 10926 | 11617 | ||||||
12/31/2007 | 10753 | 11458 | ||||||
06/30/2008 | 9458 | 10093 | ||||||
12/31/2008 | 6742 | 7219 | ||||||
06/30/2009 | 6943 | 7447 | ||||||
12/31/2009 | 8484 | 9129 | ||||||
06/30/2010 | 7903 | 8521 |
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-083743/l40308l4030811.gif)
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 herein includes the effects of reinvested dividends.
(continued)
49
Ohio National Fund, Inc. | S&P 500® Index Portfolio (Continued) |
Portfolio Composition as of June 30, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 98.9 | ||
Exchange Traded Funds | 0.8 | ||
Repurchase Agreements Less Net Liabilities | 0.3 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2010 (1) (2)
% of Net Assets | |||||||
1. | Exxon Mobil Corp. | 3.1 | |||||
2. | Apple, Inc. | 2.4 | |||||
3. | Microsoft Corp. | 1.9 | |||||
4. | Procter & Gamble Co. / The | 1.8 | |||||
5. | Johnson & Johnson | 1.7 | |||||
6. | International Business Machines Corp. | 1.7 | |||||
7. | General Electric Co. | 1.6 | |||||
8. | JPMorgan Chase & Co. | 1.5 | |||||
9. | Bank of America Corp. | 1.5 | |||||
10. | AT&T, Inc. | 1.5 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Information Technology | 18.5 | ||
Financials | 16.1 | ||
Health Care | 12.0 | ||
Consumer Staples | 11.4 | ||
Energy | 10.6 | ||
Industrials | 10.2 | ||
Consumer Discretionary | 10.0 | ||
Utilities | 3.7 | ||
Materials | 3.4 | ||
Telecommunication Services | 3.0 | ||
98.9 | |||
50
Ohio National Fund, Inc. | S&P 500® Index Portfolio |
Schedule of Investments | June 30, 2010 (Unaudited) |
Common Stocks – 98.9% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 10.0% | ||||||||||
Goodyear Tire & Rubber Co. / The (Auto Components) | (a) | 3,700 | $ | 36,778 | ||||||
Johnson Controls, Inc. (Auto Components) | 10,400 | 279,448 | ||||||||
Ford Motor Co. (Automobiles) | (a) | 52,387 | 528,061 | |||||||
Harley-Davidson, Inc. (Automobiles) | 3,600 | 80,028 | ||||||||
Genuine Parts Co. (Distributors) | 2,400 | 94,680 | ||||||||
Apollo Group, Inc. Class A (Diversified Consumer Svs.) | (a) | 1,900 | 80,693 | |||||||
DeVry, Inc. (Diversified Consumer Svs.) | 1,000 | 52,490 | ||||||||
H&R Block, Inc. (Diversified Consumer Svs.) | 5,100 | 80,019 | ||||||||
Carnival Corp. (Hotels, Restaurants & Leisure) | 6,700 | 202,608 | ||||||||
Darden Restaurants, Inc. (Hotels, Restaurants & Leisure) | 2,200 | 85,470 | ||||||||
International Game Technology (Hotels, Restaurants & Leisure) | 4,600 | 72,220 | ||||||||
Marriott International, Inc. Class A (Hotels, Restaurants & Leisure) | 3,946 | 118,143 | ||||||||
McDonald’s Corp. (Hotels, Restaurants & Leisure) | 16,600 | 1,093,442 | ||||||||
Starbucks Corp. (Hotels, Restaurants & Leisure) | 11,500 | 279,450 | ||||||||
Starwood Hotels & Resorts Worldwide, Inc. (Hotels, Restaurants & Leisure) | 2,900 | 120,147 | ||||||||
Wyndham Worldwide Corp. (Hotels, Restaurants & Leisure) | 2,760 | 55,586 | ||||||||
Wynn Resorts Ltd. (Hotels, Restaurants & Leisure) | 1,100 | 83,897 | ||||||||
Yum! Brands, Inc. (Hotels, Restaurants & Leisure) | 7,200 | 281,088 | ||||||||
D.R. Horton, Inc. (Household Durables) | 4,300 | 42,269 | ||||||||
Fortune Brands, Inc. (Household Durables) | 2,300 | 90,114 | ||||||||
Harman International Industries, Inc. (Household Durables) | (a) | 1,100 | 32,879 | |||||||
Leggett & Platt, Inc. (Household Durables) | 2,300 | 46,138 | ||||||||
Lennar Corp. Class A (Household Durables) | 2,500 | 34,775 | ||||||||
Newell Rubbermaid, Inc. (Household Durables) | 4,300 | 62,952 | ||||||||
Pulte Group, Inc. (Household Durables) | (a) | 4,850 | 40,158 | |||||||
Stanley Black & Decker, Inc. (Household Durables) | 2,447 | 123,622 | ||||||||
Whirlpool Corp. (Household Durables) | 1,155 | 101,432 | ||||||||
Amazon.com, Inc. (Internet & Catalog Retail) | (a) | 5,300 | 579,078 | |||||||
Expedia, Inc. (Internet & Catalog Retail) | 3,200 | 60,096 | ||||||||
priceline.com, Inc. (Internet & Catalog Retail) | (a) | 700 | 123,578 | |||||||
Eastman Kodak Co. (Leisure Equip. & Products) | (a) | 4,100 | 17,794 | |||||||
Hasbro, Inc. (Leisure Equip. & Products) | 2,000 | 82,200 | ||||||||
Mattel, Inc. (Leisure Equip. & Products) | 5,600 | 118,496 | ||||||||
CBS Corp. Class B (Media) | 10,450 | 135,118 | ||||||||
Comcast Corp. Class A (Media) | 43,453 | 754,779 | ||||||||
DIRECTV Class A (Media) | (a) | 14,000 | 474,880 | |||||||
Discovery Communications, Inc. Class A (Media) | (a) | 4,400 | 157,124 | |||||||
Gannett Co., Inc. (Media) | 3,700 | 49,802 | ||||||||
Interpublic Group of Cos., Inc. / The (Media) | (a) | 7,523 | 53,639 | |||||||
McGraw-Hill Cos., Inc. / The (Media) | 4,900 | 137,886 | ||||||||
Meredith Corp. (Media) | 600 | 18,678 | ||||||||
New York Times Co. / The Class A (Media) | (a) | 1,800 | 15,570 | |||||||
News Corp. Class A (Media) | 34,700 | 415,012 | ||||||||
Omnicom Group, Inc. (Media) | 4,700 | 161,210 | ||||||||
Scripps Networks Interactive, Inc. Class A (Media) | 1,400 | 56,476 | ||||||||
Time Warner Cable, Inc. (Media) | 5,432 | 282,898 | ||||||||
Time Warner, Inc. (Media) | 17,566 | 507,833 | ||||||||
Viacom, Inc. Class B (Media) | 9,350 | 293,309 | ||||||||
Walt Disney Co. / The (Media) | 30,100 | 948,150 | ||||||||
Washington Post Co. / The Class B (Media) | 100 | 41,048 | ||||||||
Big Lots, Inc. (Multiline Retail) | (a) | 1,200 | 38,508 | |||||||
Family Dollar Stores, Inc. (Multiline Retail) | 2,100 | 79,149 | ||||||||
J.C. Penney Co., Inc. (Multiline Retail) | 3,600 | 77,328 | ||||||||
Kohl’s Corp. (Multiline Retail) | (a) | 4,700 | 223,250 | |||||||
Macy’s, Inc. (Multiline Retail) | 6,476 | 115,920 | ||||||||
Nordstrom, Inc. (Multiline Retail) | 2,600 | 83,694 | ||||||||
Sears Holdings Corp. (Multiline Retail) | (a) | 701 | 45,320 | |||||||
Target Corp. (Multiline Retail) | 11,300 | 555,621 | ||||||||
Abercrombie & Fitch Co. Class A (Specialty Retail) | 1,400 | 42,966 | ||||||||
AutoNation, Inc. (Specialty Retail) | (a) | 1,400 | 27,300 | |||||||
AutoZone, Inc. (Specialty Retail) | (a) | 500 | 96,610 | |||||||
Bed Bath & Beyond, Inc. (Specialty Retail) | (a) | 4,100 | 152,028 | |||||||
Best Buy Co., Inc. (Specialty Retail) | 5,275 | 178,611 | ||||||||
CarMax, Inc. (Specialty Retail) | (a) | 3,400 | 67,660 | |||||||
GameStop Corp. Class A (Specialty Retail) | (a) | 2,400 | 45,096 | |||||||
Gap, Inc. / The (Specialty Retail) | 6,950 | 135,247 | ||||||||
Home Depot, Inc. (Specialty Retail) | 25,900 | 727,013 | ||||||||
Lowe’s Cos., Inc. (Specialty Retail) | 22,000 | 449,240 | ||||||||
Limited Brands, Inc. (Specialty Retail) | 4,200 | 92,694 | ||||||||
Office Depot, Inc. (Specialty Retail) | (a) | 4,200 | 16,968 | |||||||
O’Reilly Automotive, Inc. (Specialty Retail) | (a) | 2,100 | 99,876 | |||||||
RadioShack Corp. (Specialty Retail) | 1,900 | 37,069 | ||||||||
Ross Stores, Inc. (Specialty Retail) | 1,900 | 101,251 | ||||||||
Staples, Inc. (Specialty Retail) | 11,200 | 213,360 | ||||||||
Tiffany & Co. (Specialty Retail) | 2,000 | 75,820 | ||||||||
TJX Cos., Inc. (Specialty Retail) | 6,300 | 264,285 | ||||||||
Urban Outfitters, Inc. (Specialty Retail) | (a) | 2,000 | 68,780 | |||||||
Coach, Inc. (Textiles, Apparel & Luxury Goods) | 4,700 | 171,785 | ||||||||
NIKE, Inc. Class B (Textiles, Apparel & Luxury Goods) | 6,000 | 405,300 | ||||||||
Polo Ralph Lauren Corp. (Textiles, Apparel & Luxury Goods) | 1,000 | 72,960 | ||||||||
V.F. Corp. (Textiles, Apparel & Luxury Goods) | 1,400 | 99,652 | ||||||||
14,543,602 | ||||||||||
CONSUMER STAPLES – 11.4% | ||||||||||
Brown-Forman Corp. Class B (Beverages) | 1,650 | 94,429 | ||||||||
Coca-Cola Co. / The (Beverages) | 35,500 | 1,779,260 | ||||||||
Coca-Cola Enterprises, Inc. (Beverages) | 5,000 | 129,300 | ||||||||
Constellation Brands, Inc. Class A (Beverages) | (a) | 3,000 | 46,860 | |||||||
Dr Pepper Snapple Group, Inc. (Beverages) | 3,800 | 142,082 | ||||||||
Molson Coors Brewing Co. Class B (Beverages) | 2,400 | 101,664 | ||||||||
PepsiCo, Inc. (Beverages) | 24,847 | 1,514,425 | ||||||||
Costco Wholesale Corp. (Food & Staples Retailing) | 6,800 | 372,844 | ||||||||
CVS Caremark Corp. (Food & Staples Retailing) | 20,920 | 613,374 | ||||||||
Kroger Co. / The (Food & Staples Retailing) | 9,900 | 194,931 | ||||||||
Safeway, Inc. (Food & Staples Retailing) | 6,000 | 117,960 | ||||||||
SUPERVALU, Inc. (Food & Staples Retailing) | 3,219 | 34,894 | ||||||||
Sysco Corp. (Food & Staples Retailing) | 9,100 | 259,987 | ||||||||
Walgreen Co. (Food & Staples Retailing) | 15,100 | 403,170 | ||||||||
Wal-Mart Stores, Inc. (Food & Staples Retailing) | 32,000 | 1,538,240 | ||||||||
Whole Foods Market, Inc. (Food & Staples Retailing) | (a) | 2,600 | 93,652 | |||||||
Archer-Daniels-Midland Co. (Food Products) | 9,850 | 254,327 | ||||||||
Campbell Soup Co. (Food Products) | 2,900 | 103,907 | ||||||||
ConAgra Foods, Inc. (Food Products) | 6,900 | 160,908 | ||||||||
Dean Foods Co. (Food Products) | (a) | 2,800 | 28,196 | |||||||
General Mills, Inc. (Food Products) | 10,200 | 362,304 | ||||||||
Hershey Co. / The (Food Products) | 2,600 | 124,618 | ||||||||
H.J. Heinz Co. (Food Products) | 4,900 | 211,778 | ||||||||
Hormel Foods Corp. (Food Products) | 1,100 | 44,528 | ||||||||
J.M. Smucker Co. / The (Food Products) | 1,800 | 108,396 | ||||||||
Kellogg Co. (Food Products) | 3,900 | 196,170 | ||||||||
Kraft Foods, Inc. Class A (Food Products) | 26,876 | 752,528 | ||||||||
McCormick & Co., Inc. (Food Products) | 2,000 | 75,920 | ||||||||
Mead Johnson Nutrition Co. (Food Products) | 3,151 | 157,928 | ||||||||
Sara Lee Corp. (Food Products) | 10,200 | 143,820 | ||||||||
Tyson Foods, Inc. Class A (Food Products) | 4,700 | 77,033 | ||||||||
Clorox Co. (Household Products) | 2,200 | 136,752 | ||||||||
Colgate-Palmolive Co. (Household Products) | 7,500 | 590,700 | ||||||||
Kimberly-Clark Corp. (Household Products) | 6,400 | 388,032 | ||||||||
Procter & Gamble Co. / The (Household Products) | 44,322 | 2,658,433 | ||||||||
Avon Products, Inc. (Personal Products) | 6,600 | 174,900 | ||||||||
Estee Lauder Cos., Inc. / The Class A (Personal Products) | 1,800 | 100,314 |
(continued)
51
Ohio National Fund, Inc. | S&P 500® Index Portfolio (Continued) |
Schedule of Investments | June 30, 2010 (Unaudited) |
Common Stocks (Continued) | Shares | Value | ||||||||
CONSUMER STAPLES (continued) | ||||||||||
Altria Group, Inc. (Tobacco) | 32,000 | $ | 641,280 | |||||||
Lorillard, Inc. (Tobacco) | 2,397 | 172,536 | ||||||||
Philip Morris International, Inc. (Tobacco) | 28,500 | 1,306,440 | ||||||||
Reynolds American, Inc. (Tobacco) | 2,600 | 135,512 | ||||||||
16,544,332 | ||||||||||
ENERGY – 10.6% | ||||||||||
Baker Hughes, Inc. (Energy Equip. & Svs.) | 6,641 | 276,066 | ||||||||
Cameron International Corp. (Energy Equip. & Svs.) | (a) | 3,800 | 123,576 | |||||||
Diamond Offshore Drilling, Inc. (Energy Equip. & Svs.) | 1,100 | 68,409 | ||||||||
FMC Technologies, Inc. (Energy Equip. & Svs.) | (a) | 1,900 | 100,054 | |||||||
Halliburton Co. (Energy Equip. & Svs.) | 13,900 | 341,245 | ||||||||
Helmerich & Payne, Inc. (Energy Equip. & Svs.) | 1,600 | 58,432 | ||||||||
Nabors Industries Ltd. (Energy Equip. & Svs.) | (a) | 4,400 | 77,528 | |||||||
National Oilwell Varco, Inc. (Energy Equip. & Svs.) | 6,400 | 211,648 | ||||||||
Rowan Cos., Inc. (Energy Equip. & Svs.) | (a) | 1,800 | 39,492 | |||||||
Schlumberger Ltd. (Energy Equip. & Svs.) | 18,400 | 1,018,256 | ||||||||
Smith International, Inc. (Energy Equip. & Svs.) | 3,800 | 143,070 | ||||||||
Anadarko Petroleum Corp. (Oil, Gas & Consumable Fuels) | 7,600 | 274,284 | ||||||||
Apache Corp. (Oil, Gas & Consumable Fuels) | 5,222 | 439,640 | ||||||||
Cabot Oil & Gas Corp. (Oil, Gas & Consumable Fuels) | 1,600 | 50,112 | ||||||||
Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels) | 10,000 | 209,500 | ||||||||
Chevron Corp. (Oil, Gas & Consumable Fuels) | 30,938 | 2,099,453 | ||||||||
ConocoPhillips (Oil, Gas & Consumable Fuels) | 22,900 | 1,124,161 | ||||||||
Consol Energy, Inc. (Oil, Gas & Consumable Fuels) | 3,500 | 118,160 | ||||||||
Denbury Resources, Inc. (Oil, Gas & Consumable Fuels) | (a) | 6,100 | 89,304 | |||||||
Devon Energy Corp. (Oil, Gas & Consumable Fuels) | 6,900 | 420,348 | ||||||||
El Paso Corp. (Oil, Gas & Consumable Fuels) | 10,800 | 119,988 | ||||||||
EOG Resources, Inc. (Oil, Gas & Consumable Fuels) | 3,900 | 383,643 | ||||||||
Exxon Mobil Corp. (Oil, Gas & Consumable Fuels) | 78,664 | 4,489,354 | ||||||||
Hess Corp. (Oil, Gas & Consumable Fuels) | 4,500 | 226,530 | ||||||||
Marathon Oil Corp. (Oil, Gas & Consumable Fuels) | 10,920 | 339,503 | ||||||||
Massey Energy Co. (Oil, Gas & Consumable Fuels) | 1,600 | 43,760 | ||||||||
Murphy Oil Corp. (Oil, Gas & Consumable Fuels) | 2,900 | 143,695 | ||||||||
Noble Energy, Inc. (Oil, Gas & Consumable Fuels) | 2,700 | 162,891 | ||||||||
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 12,500 | 964,375 | ||||||||
Peabody Energy Corp. (Oil, Gas & Consumable Fuels) | 4,100 | 160,433 | ||||||||
Pioneer Natural Resources Co. (Oil, Gas & Consumable Fuels) | 1,800 | 107,010 | ||||||||
Range Resources Corp. (Oil, Gas & Consumable Fuels) | 2,500 | 100,375 | ||||||||
Southwestern Energy Co. (Oil, Gas & Consumable Fuels) | (a) | 5,300 | 204,792 | |||||||
Spectra Energy Corp. (Oil, Gas & Consumable Fuels) | 10,018 | 201,061 | ||||||||
Sunoco, Inc. (Oil, Gas & Consumable Fuels) | 1,900 | 66,063 | ||||||||
Tesoro Corp. (Oil, Gas & Consumable Fuels) | 2,200 | 25,674 | ||||||||
Valero Energy Corp. (Oil, Gas & Consumable Fuels) | 8,700 | 156,426 | ||||||||
Williams Cos., Inc. / The (Oil, Gas & Consumable Fuels) | 9,000 | 164,520 | ||||||||
15,342,831 | ||||||||||
FINANCIALS – 16.1% | ||||||||||
Ameriprise Financial, Inc. (Capital Markets) | 3,980 | 143,797 | ||||||||
Bank of New York Mellon Corp. / The (Capital Markets) | 18,711 | 461,975 | ||||||||
Charles Schwab Corp. / The (Capital Markets) | 15,100 | 214,118 | ||||||||
E*Trade Financial Corp. (Capital Markets) | (a) | 3,090 | 36,524 | |||||||
Federated Investors, Inc. Class B (Capital Markets) | 1,400 | 28,994 | ||||||||
Franklin Resources, Inc. (Capital Markets) | 2,300 | 198,237 | ||||||||
Goldman Sachs Group, Inc. / The (Capital Markets) | 7,950 | 1,043,597 | ||||||||
Invesco Ltd. (Capital Markets) | 7,200 | 121,176 | ||||||||
Janus Capital Group, Inc. (Capital Markets) | 2,800 | 24,864 | ||||||||
Legg Mason, Inc. (Capital Markets) | 2,500 | 70,075 | ||||||||
Morgan Stanley (Capital Markets) | 21,500 | 499,015 | ||||||||
Northern Trust Corp. (Capital Markets) | 3,700 | 172,790 | ||||||||
State Street Corp. (Capital Markets) | 7,700 | 260,414 | ||||||||
T. Rowe Price Group, Inc. (Capital Markets) | 4,000 | 177,560 | ||||||||
BB&T Corp. (Commercial Banks) | 10,600 | 278,886 | ||||||||
Comerica, Inc. (Commercial Banks) | 2,700 | 99,441 | ||||||||
Fifth Third Bancorp (Commercial Banks) | 12,250 | 150,553 | ||||||||
First Horizon National Corp. (Commercial Banks) | (a) | 3,543 | 40,569 | |||||||
Huntington Bancshares, Inc. (Commercial Banks) | 11,000 | 60,940 | ||||||||
KeyCorp (Commercial Banks) | 13,500 | 103,815 | ||||||||
M&T Bank Corp. (Commercial Banks) | 1,300 | 110,435 | ||||||||
Marshall & Ilsley Corp. (Commercial Banks) | 8,100 | 58,158 | ||||||||
PNC Financial Services Group, Inc. (Commercial Banks) | 8,142 | 460,023 | ||||||||
Regions Financial Corp. (Commercial Banks) | 18,375 | 120,908 | ||||||||
SunTrust Banks, Inc. (Commercial Banks) | 7,700 | 179,410 | ||||||||
U.S. Bancorp (Commercial Banks) | 29,490 | 659,102 | ||||||||
Wells Fargo & Co. (Commercial Banks) | 80,213 | 2,053,453 | ||||||||
Zions Bancorporation (Commercial Banks) | 2,500 | 53,925 | ||||||||
American Express Co. (Consumer Finance) | 18,500 | 734,450 | ||||||||
Capital One Financial Corp. (Consumer Finance) | 7,073 | 285,042 | ||||||||
Discover Financial Services (Consumer Finance) | 8,350 | 116,733 | ||||||||
SLM Corp. (Consumer Finance) | (a) | 7,500 | 77,925 | |||||||
Bank of America Corp. (Diversified Financial Svs.) | 154,327 | 2,217,679 | ||||||||
Citigroup, Inc. (Diversified Financial Svs.) | (a) | 347,769 | 1,307,611 | |||||||
CME Group, Inc. (Diversified Financial Svs.) | 1,025 | 288,589 | ||||||||
IntercontinentalExchange, Inc. (Diversified Financial Svs.) | (a) | 1,100 | 124,333 | |||||||
JPMorgan Chase & Co. (Diversified Financial Svs.) | 61,243 | 2,242,106 | ||||||||
Leucadia National Corp. (Diversified Financial Svs.) | (a) | 2,900 | 56,579 | |||||||
Moody’s Corp. (Diversified Financial Svs.) | 3,000 | 59,760 | ||||||||
NASDAQ OMX Group, Inc. / The (Diversified Financial Svs.) | (a) | 2,200 | 39,116 | |||||||
NYSE Euronext (Diversified Financial Svs.) | 4,000 | 110,520 | ||||||||
Aflac, Inc. (Insurance) | 7,200 | 307,224 | ||||||||
Allstate Corp. / The (Insurance) | 8,300 | 238,459 | ||||||||
American International Group, Inc. (Insurance) | (a) | 2,095 | 72,152 | |||||||
AON Corp. (Insurance) | 4,100 | 152,192 | ||||||||
Assurant, Inc. (Insurance) | 1,700 | 58,990 | ||||||||
Berkshire Hathaway, Inc. Class B (Insurance) | (a) | 25,491 | 2,031,378 | |||||||
Chubb Corp. (Insurance) | 5,000 | 250,050 | ||||||||
Cincinnati Financial Corp. (Insurance) | 2,466 | 63,795 | ||||||||
Genworth Financial, Inc. Class A (Insurance) | (a) | 7,500 | 98,025 | |||||||
Hartford Financial Services Group, Inc. (Insurance) | 6,800 | 150,484 | ||||||||
Lincoln National Corp. (Insurance) | 4,686 | 113,823 | ||||||||
Loews Corp. (Insurance) | 5,361 | 178,575 | ||||||||
Marsh & McLennan Cos., Inc. (Insurance) | 8,300 | 187,165 | ||||||||
MetLife, Inc. (Insurance) | 12,600 | 475,776 | ||||||||
Principal Financial Group, Inc. (Insurance) | 4,900 | 114,856 | ||||||||
Progressive Corp. / The (Insurance) | 10,300 | 192,816 | ||||||||
Prudential Financial, Inc. (Insurance) | 7,200 | 386,352 | ||||||||
Torchmark Corp. (Insurance) | 1,300 | 64,363 | ||||||||
Travelers Cos., Inc. / The (Insurance) | 7,659 | 377,206 | ||||||||
Unum Group (Insurance) | 5,100 | 110,670 | ||||||||
XL Capital Ltd. (Insurance) | 5,300 | 84,853 |
(continued)
52
Ohio National Fund, Inc. | S&P 500® Index Portfolio (Continued) |
Schedule of Investments | June 30, 2010 (Unaudited) |
Common Stocks (Continued) | Shares | Value | ||||||||
FINANCIALS (continued) | ||||||||||
Apartment Investment & Management Co. Class A (Real Estate Investment Trusts) | 1,773 | $ | 34,343 | |||||||
AvalonBay Communities, Inc. (Real Estate Investment Trusts) | 1,231 | 114,938 | ||||||||
Boston Properties, Inc. (Real Estate Investment Trusts) | 2,100 | 149,814 | ||||||||
Equity Residential (Real Estate Investment Trusts) | 4,400 | 183,216 | ||||||||
HCP, Inc. (Real Estate Investment Trusts) | 4,500 | 145,125 | ||||||||
Health Care REIT, Inc. (Real Estate Investment Trusts) | 1,900 | 80,028 | ||||||||
Host Hotels & Resorts, Inc. (Real Estate Investment Trusts) | 10,102 | 136,175 | ||||||||
Kimco Realty Corp. (Real Estate Investment Trusts) | 6,200 | 83,328 | ||||||||
Plum Creek Timber Co., Inc. (Real Estate Investment Trusts) | 2,500 | 86,325 | ||||||||
ProLogis (Real Estate Investment Trusts) | 7,300 | 73,949 | ||||||||
Public Storage (Real Estate Investment Trusts) | 2,100 | 184,611 | ||||||||
Simon Property Group, Inc. (Real Estate Investment Trusts) | 4,462 | 360,307 | ||||||||
Ventas, Inc. (Real Estate Investment Trusts) | 2,400 | 112,680 | ||||||||
Vornado Realty Trust (Real Estate Investment Trusts) | 2,393 | 174,569 | ||||||||
CB Richard Ellis Group, Inc. Class A (Real Estate Mgmt. & Development) | (a) | 4,200 | 57,162 | |||||||
Hudson City Bancorp, Inc. (Thrifts & Mortgage Finance) | 7,300 | 89,352 | ||||||||
People’s United Financial, Inc. (Thrifts & Mortgage Finance) | 5,800 | 78,300 | ||||||||
23,396,623 | ||||||||||
HEALTH CARE – 12.0% | ||||||||||
Amgen, Inc. (Biotechnology) | (a) | 14,706 | 773,536 | |||||||
Biogen Idec, Inc. (Biotechnology) | (a) | 4,145 | 196,680 | |||||||
Celgene Corp. (Biotechnology) | (a) | 7,100 | 360,822 | |||||||
Cephalon, Inc. (Biotechnology) | (a) | 1,200 | 68,100 | |||||||
Genzyme Corp. (Biotechnology) | (a) | 4,100 | 208,157 | |||||||
Gilead Sciences, Inc. (Biotechnology) | (a) | 13,700 | 469,636 | |||||||
Baxter International, Inc. (Health Care Equip. & Supplies) | 9,200 | 373,888 | ||||||||
Becton Dickinson and Co. (Health Care Equip. & Supplies) | 3,600 | 243,432 | ||||||||
Boston Scientific Corp. (Health Care Equip. & Supplies) | (a) | 23,303 | 135,157 | |||||||
CareFusion Corp. (Health Care Equip. & Supplies) | (a) | 2,750 | 62,425 | |||||||
C.R. Bard, Inc. (Health Care Equip. & Supplies) | 1,500 | 116,295 | ||||||||
DENTSPLY International, Inc. (Health Care Equip. & Supplies) | 2,300 | 68,793 | ||||||||
Hospira, Inc. (Health Care Equip. & Supplies) | (a) | 2,510 | 144,200 | |||||||
Intuitive Surgical, Inc. (Health Care Equip. & Supplies) | (a) | 600 | 189,372 | |||||||
Medtronic, Inc. (Health Care Equip. & Supplies) | 16,900 | 612,963 | ||||||||
St. Jude Medical, Inc. (Health Care Equip. & Supplies) | (a) | 5,000 | 180,450 | |||||||
Stryker Corp. (Health Care Equip. & Supplies) | 4,300 | 215,258 | ||||||||
Varian Medical Systems, Inc. (Health Care Equip. & Supplies) | (a) | 1,900 | 99,332 | |||||||
Zimmer Holdings, Inc. (Health Care Equip. & Supplies) | (a) | 3,170 | 171,339 | |||||||
Aetna, Inc. (Health Care Providers & Svs.) | 6,500 | 171,470 | ||||||||
AmerisourceBergen Corp. (Health Care Providers & Svs.) | 4,300 | 136,525 | ||||||||
Cardinal Health, Inc. (Health Care Providers & Svs.) | 5,600 | 188,216 | ||||||||
CIGNA Corp. (Health Care Providers & Svs.) | 4,300 | 133,558 | ||||||||
Coventry Health Care, Inc. (Health Care Providers & Svs.) | (a) | 2,300 | 40,664 | |||||||
DaVita, Inc. (Health Care Providers & Svs.) | (a) | 1,600 | 99,904 | |||||||
Express Scripts, Inc. (Health Care Providers & Svs.) | (a) | 8,400 | 394,968 | |||||||
Humana, Inc. (Health Care Providers & Svs.) | (a) | 2,600 | 118,742 | |||||||
Laboratory Corp of America Holdings (Health Care Providers & Svs.) | (a) | 1,600 | 120,560 | |||||||
McKesson Corp. (Health Care Providers & Svs.) | 4,200 | 282,072 | ||||||||
Medco Health Solutions, Inc. (Health Care Providers & Svs.) | (a) | 7,076 | 389,746 | |||||||
Patterson Cos., Inc. (Health Care Providers & Svs.) | 1,400 | 39,942 | ||||||||
Quest Diagnostics, Inc. (Health Care Providers & Svs.) | 2,300 | 114,471 | ||||||||
Tenet Healthcare Corp. (Health Care Providers & Svs.) | (a) | 6,750 | 29,295 | |||||||
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 17,500 | 497,000 | ||||||||
WellPoint, Inc. (Health Care Providers & Svs.) | (a) | 6,600 | 322,938 | |||||||
Cerner Corp. (Health Care Technology) | (a) | 1,000 | 75,890 | |||||||
Life Technologies Corp. (Life Sciences Tools & Svs.) | (a) | 2,817 | 133,103 | |||||||
Millipore Corp. (Life Sciences Tools & Svs.) | (a) | 900 | 95,985 | |||||||
PerkinElmer, Inc. (Life Sciences Tools & Svs.) | 1,800 | 37,206 | ||||||||
Thermo Fisher Scientific, Inc. (Life Sciences Tools & Svs.) | (a) | 6,300 | 309,015 | |||||||
Waters Corp. (Life Sciences Tools & Svs.) | (a) | 1,400 | 90,580 | |||||||
Abbott Laboratories (Pharmaceuticals) | 23,800 | 1,113,364 | ||||||||
Allergan, Inc. (Pharmaceuticals) | 4,700 | 273,822 | ||||||||
Bristol-Myers Squibb Co. (Pharmaceuticals) | 26,469 | 660,137 | ||||||||
Eli Lilly & Co. (Pharmaceuticals) | 15,600 | 522,600 | ||||||||
Forest Laboratories, Inc. (Pharmaceuticals) | (a) | 4,700 | 128,921 | |||||||
Johnson & Johnson (Pharmaceuticals) | 42,400 | 2,504,144 | ||||||||
King Pharmaceuticals, Inc. (Pharmaceuticals) | (a) | 3,800 | 28,842 | |||||||
Merck & Co., Inc. (Pharmaceuticals) | 47,994 | 1,678,350 | ||||||||
Mylan, Inc. (Pharmaceuticals) | (a) | 4,800 | 81,792 | |||||||
Pfizer, Inc. (Pharmaceuticals) | 124,110 | 1,769,809 | ||||||||
Watson Pharmaceuticals, Inc. (Pharmaceuticals) | (a) | 1,600 | 64,912 | |||||||
17,338,378 | ||||||||||
INDUSTRIALS – 10.2% | ||||||||||
Boeing Co. / The (Aerospace & Defense) | 11,700 | 734,175 | ||||||||
General Dynamics Corp. (Aerospace & Defense) | 5,900 | 345,504 | ||||||||
Goodrich Corp. (Aerospace & Defense) | 1,900 | 125,875 | ||||||||
Honeywell International, Inc. (Aerospace & Defense) | 11,800 | 460,554 | ||||||||
ITT Corp. (Aerospace & Defense) | 2,800 | 125,776 | ||||||||
L-3 Communications Holdings, Inc. (Aerospace & Defense) | 1,800 | 127,512 | ||||||||
Lockheed Martin Corp. (Aerospace & Defense) | 4,800 | 357,600 | ||||||||
Northrop Grumman Corp. (Aerospace & Defense) | 4,600 | 250,424 | ||||||||
Precision Castparts Corp. (Aerospace & Defense) | 2,200 | 226,424 | ||||||||
Raytheon Co. (Aerospace & Defense) | 5,900 | 285,501 | ||||||||
Rockwell Collins, Inc. (Aerospace & Defense) | 2,400 | 127,512 | ||||||||
United Technologies Corp. (Aerospace & Defense) | 14,400 | 934,704 | ||||||||
C.H. Robinson Worldwide, Inc. (Air Freight & Logistics) | 2,600 | 144,716 | ||||||||
Expeditors International of Washington, Inc. (Air Freight & Logistics) | 3,300 | 113,883 | ||||||||
FedEx Corp. (Air Freight & Logistics) | 4,800 | 336,528 | ||||||||
United Parcel Service, Inc. Class B (Air Freight & Logistics) | 15,200 | 864,728 | ||||||||
Southwest Airlines Co. (Airlines) | 11,500 | 127,765 | ||||||||
Masco Corp. (Building Products) | 5,500 | 59,180 | ||||||||
Avery Dennison Corp. (Commercial Svs. & Supplies) | 1,700 | 54,621 | ||||||||
Cintas Corp. (Commercial Svs. & Supplies) | 2,000 | 47,940 | ||||||||
Iron Mountain, Inc. (Commercial Svs. & Supplies) | 2,800 | 62,888 | ||||||||
Pitney Bowes, Inc. (Commercial Svs. & Supplies) | 3,200 | 70,272 |
(continued)
53
Ohio National Fund, Inc. | S&P 500® Index Portfolio (Continued) |
Schedule of Investments | June 30, 2010 (Unaudited) |
Common Stocks (Continued) | Shares | Value | ||||||||
INDUSTRIALS (continued) | ||||||||||
Republic Services, Inc. (Commercial Svs. & Supplies) | 4,980 | $ | 148,055 | |||||||
R.R. Donnelley & Sons Co. (Commercial Svs. & Supplies) | 3,200 | 52,384 | ||||||||
Stericycle, Inc. (Commercial Svs. & Supplies) | (a) | 1,300 | 85,254 | |||||||
Waste Management, Inc. (Commercial Svs. & Supplies) | 7,400 | 231,546 | ||||||||
Fluor Corp. (Construction & Engineering) | 2,800 | 119,000 | ||||||||
Jacobs Engineering Group, Inc. (Construction & Engineering) | (a) | 1,900 | 69,236 | |||||||
Quanta Services, Inc. (Construction & Engineering) | (a) | 3,200 | 66,080 | |||||||
Emerson Electric Co. (Electrical Equip.) | 11,600 | 506,804 | ||||||||
Rockwell Automation, Inc. (Electrical Equip.) | 2,200 | 107,998 | ||||||||
Roper Industries, Inc. (Electrical Equip.) | 1,400 | 78,344 | ||||||||
3M Co. (Industrial Conglomerates) | 11,000 | 868,890 | ||||||||
General Electric Co. (Industrial Conglomerates) | 164,300 | 2,369,206 | ||||||||
Textron, Inc. (Industrial Conglomerates) | 4,200 | 71,274 | ||||||||
Caterpillar, Inc. (Machinery) | 9,700 | 582,679 | ||||||||
Cummins, Inc. (Machinery) | 3,100 | 201,903 | ||||||||
Danaher Corp. (Machinery) | 8,100 | 300,672 | ||||||||
Deere & Co. (Machinery) | 6,500 | 361,920 | ||||||||
Dover Corp. (Machinery) | 2,900 | 121,191 | ||||||||
Eaton Corp. (Machinery) | 2,600 | 170,144 | ||||||||
Flowserve Corp. (Machinery) | 900 | 76,320 | ||||||||
Illinois Tool Works, Inc. (Machinery) | 6,000 | 247,680 | ||||||||
PACCAR, Inc. (Machinery) | 5,612 | 223,750 | ||||||||
Pall Corp. (Machinery) | 1,800 | 61,866 | ||||||||
Parker Hannifin Corp. (Machinery) | 2,500 | 138,650 | ||||||||
Snap-On, Inc. (Machinery) | 900 | 36,819 | ||||||||
Dun & Bradstreet Corp. (Professional Svs.) | 800 | 53,696 | ||||||||
Equifax, Inc. (Professional Svs.) | 1,900 | 53,314 | ||||||||
Robert Half International, Inc. (Professional Svs.) | 2,300 | 54,165 | ||||||||
CSX Corp. (Road & Rail) | 6,000 | 297,780 | ||||||||
Norfolk Southern Corp. (Road & Rail) | 5,700 | 302,385 | ||||||||
Ryder System, Inc. (Road & Rail) | 800 | 32,184 | ||||||||
Union Pacific Corp. (Road & Rail) | 7,800 | 542,178 | ||||||||
Fastenal Co. (Trading Companies & Distributors) | 2,000 | 100,380 | ||||||||
W.W. Grainger, Inc. (Trading Companies & Distributors) | 1,000 | 99,450 | ||||||||
14,817,279 | ||||||||||
INFORMATION TECHNOLOGY – 18.5% | ||||||||||
Cisco Systems, Inc. (Communications Equip.) | (a) | 87,900 | 1,873,149 | |||||||
Harris Corp. (Communications Equip.) | 2,000 | 83,300 | ||||||||
JDS Uniphase Corp. (Communications Equip.) | (a) | 3,475 | 34,194 | |||||||
Juniper Networks, Inc. (Communications Equip.) | (a) | 8,100 | 184,842 | |||||||
Motorola, Inc. (Communications Equip.) | (a) | 35,800 | 233,416 | |||||||
QUALCOMM, Inc. (Communications Equip.) | 25,200 | 827,568 | ||||||||
Tellabs, Inc. (Communications Equip.) | 5,900 | 37,701 | ||||||||
Apple, Inc. (Computers & Peripherals) | (a) | 14,000 | 3,521,420 | |||||||
Dell, Inc. (Computers & Peripherals) | (a) | 26,500 | 319,590 | |||||||
EMC Corp. (Computers & Peripherals) | (a) | 31,600 | 578,280 | |||||||
Hewlett-Packard Co. (Computers & Peripherals) | 35,900 | 1,553,752 | ||||||||
Lexmark International, Inc. Class A (Computers & Peripherals) | (a) | 1,200 | 39,636 | |||||||
NetApp, Inc. (Computers & Peripherals) | (a) | 5,300 | 197,743 | |||||||
QLogic Corp. (Computers & Peripherals) | (a) | 1,700 | 28,254 | |||||||
SanDisk Corp. (Computers & Peripherals) | (a) | 3,500 | 147,245 | |||||||
Teradata Corp. (Computers & Peripherals) | (a) | 2,600 | 79,248 | |||||||
Western Digital Corp. (Computers & Peripherals) | (a) | 3,500 | 105,560 | |||||||
Agilent Technologies, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 5,400 | 153,522 | |||||||
Amphenol Corp. Class A (Electronic Equip., Instr. & Comp.) | 2,700 | 106,056 | ||||||||
Corning, Inc. (Electronic Equip., Instr. & Comp.) | 24,000 | 387,600 | ||||||||
FLIR Systems, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 2,400 | 69,816 | |||||||
Jabil Circuit, Inc. (Electronic Equip., Instr. & Comp.) | 3,000 | 39,900 | ||||||||
Molex, Inc. (Electronic Equip., Instr. & Comp.) | 2,100 | 38,304 | ||||||||
Akamai Technologies, Inc. (Internet Software & Svs.) | (a) | 2,600 | 105,482 | |||||||
eBay, Inc. (Internet Software & Svs.) | (a) | 17,500 | 343,175 | |||||||
Google, Inc. Class A (Internet Software & Svs.) | (a) | 3,750 | 1,668,563 | |||||||
Monster Worldwide, Inc. (Internet Software & Svs.) | (a) | 1,900 | 22,135 | |||||||
VeriSign, Inc. (Internet Software & Svs.) | (a) | 2,800 | 74,340 | |||||||
Yahoo!, Inc. (Internet Software & Svs.) | (a) | 18,100 | 250,323 | |||||||
Automatic Data Processing, Inc. (IT Svs.) | 7,700 | 310,002 | ||||||||
Cognizant Technology Solutions Corp. Class A (IT Svs.) | (a) | 4,600 | 230,276 | |||||||
Computer Sciences Corp. (IT Svs.) | 2,400 | 108,600 | ||||||||
Fidelity National Information Services, Inc. (IT Svs.) | 5,100 | 136,782 | ||||||||
Fiserv, Inc. (IT Svs.) | (a) | 2,300 | 105,018 | |||||||
International Business Machines Corp. (IT Svs.) | 19,700 | 2,432,556 | ||||||||
Mastercard, Inc. Class A (IT Svs.) | 1,525 | 304,283 | ||||||||
Paychex, Inc. (IT Svs.) | 4,900 | 127,253 | ||||||||
SAIC, Inc. (IT Svs.) | (a) | 4,500 | 75,330 | |||||||
Total System Services, Inc. (IT Svs.) | 3,077 | 41,847 | ||||||||
Visa, Inc. (IT Svs.) | 7,000 | 495,250 | ||||||||
Western Union Co. / The (IT Svs.) | 10,347 | 154,274 | ||||||||
Xerox Corp. (Office Electronics) | 21,202 | 170,464 | ||||||||
Advanced Micro Devices, Inc. (Semiconductors & Equip.) | (a) | 8,700 | 63,684 | |||||||
Altera Corp. (Semiconductors & Equip.) | 4,600 | 114,126 | ||||||||
Analog Devices, Inc. (Semiconductors & Equip.) | 4,600 | 128,156 | ||||||||
Applied Materials, Inc. (Semiconductors & Equip.) | 20,700 | 248,814 | ||||||||
Broadcom Corp. Class A (Semiconductors & Equip.) | 6,650 | 219,251 | ||||||||
First Solar, Inc. (Semiconductors & Equip.) | (a) | 750 | 85,373 | |||||||
Intel Corp. (Semiconductors & Equip.) | 85,600 | 1,664,920 | ||||||||
KLA-Tencor Corp. (Semiconductors & Equip.) | 2,600 | 72,488 | ||||||||
Linear Technology Corp. (Semiconductors & Equip.) | 3,400 | 94,554 | ||||||||
LSI Corp. (Semiconductors & Equip.) | (a) | 10,100 | 46,460 | |||||||
MEMC Electronic Materials, Inc. (Semiconductors & Equip.) | (a) | 3,500 | 34,580 | |||||||
Microchip Technology, Inc. (Semiconductors & Equip.) | 2,900 | 80,446 | ||||||||
Micron Technology, Inc. (Semiconductors & Equip.) | (a) | 13,100 | 111,219 | |||||||
National Semiconductor Corp. (Semiconductors & Equip.) | 3,700 | 49,802 | ||||||||
Novellus Systems, Inc. (Semiconductors & Equip.) | (a) | 1,500 | 38,040 | |||||||
NVIDIA Corp. (Semiconductors & Equip.) | (a) | 8,800 | 89,848 | |||||||
Teradyne, Inc. (Semiconductors & Equip.) | (a) | 2,800 | 27,300 | |||||||
Texas Instruments, Inc. (Semiconductors & Equip.) | 18,800 | 437,664 | ||||||||
Xilinx, Inc. (Semiconductors & Equip.) | 4,200 | 106,092 | ||||||||
Adobe Systems, Inc. (Software) | (a) | 8,100 | 214,083 | |||||||
Autodesk, Inc. (Software) | (a) | 3,500 | 85,260 | |||||||
BMC Software, Inc. (Software) | (a) | 2,800 | 96,964 | |||||||
CA, Inc. (Software) | 6,000 | 110,400 | ||||||||
Citrix Systems, Inc. (Software) | (a) | 2,900 | 122,467 | |||||||
Compuware Corp. (Software) | (a) | 3,500 | 27,930 | |||||||
Electronic Arts, Inc. (Software) | (a) | 5,000 | 72,000 | |||||||
Intuit, Inc. (Software) | (a) | 4,800 | 166,896 | |||||||
McAfee, Inc. (Software) | (a) | 2,400 | 73,728 | |||||||
Microsoft Corp. (Software) | 117,300 | 2,699,073 | ||||||||
Novell, Inc. (Software) | (a) | 5,400 | 30,672 | |||||||
Oracle Corp. (Software) | 60,200 | 1,291,892 |
(continued)
54
Ohio National Fund, Inc. | S&P 500® Index Portfolio (Continued) |
Schedule of Investments | June 30, 2010 (Unaudited) |
Common Stocks (Continued) | Shares | Value | ||||||||
INFORMATION TECHNOLOGY (continued) | ||||||||||
Red Hat, Inc. (Software) | (a) | 2,900 | $ | 83,926 | ||||||
Salesforce.com, Inc. (Software) | (a) | 1,700 | 145,894 | |||||||
Symantec Corp. (Software) | (a) | 12,294 | 170,641 | |||||||
26,900,692 | ||||||||||
MATERIALS – 3.4% | ||||||||||
Air Products & Chemicals, Inc. (Chemicals) | 3,300 | 213,873 | ||||||||
Airgas, Inc. (Chemicals) | 1,300 | 80,860 | ||||||||
CF Industries Holdings, Inc. (Chemicals) | 1,100 | 69,795 | ||||||||
Dow Chemical Co. / The (Chemicals) | 17,800 | 422,216 | ||||||||
Eastman Chemical Co. (Chemicals) | 1,100 | 58,696 | ||||||||
Ecolab, Inc. (Chemicals) | 3,600 | 161,676 | ||||||||
E.I. du Pont de Nemours & Co. (Chemicals) | 13,900 | 480,801 | ||||||||
FMC Corp. (Chemicals) | 1,100 | 63,173 | ||||||||
International Flavors & Fragrances, Inc. (Chemicals) | 1,200 | 50,904 | ||||||||
Monsanto Co. (Chemicals) | 8,386 | 387,601 | ||||||||
PPG Industries, Inc. (Chemicals) | 2,600 | 157,066 | ||||||||
Praxair, Inc. (Chemicals) | 4,700 | 357,153 | ||||||||
Sherwin-Williams Co. / The (Chemicals) | 1,400 | 96,866 | ||||||||
Sigma-Aldrich Corp. (Chemicals) | 1,900 | 94,677 | ||||||||
Vulcan Materials Co. (Construction Materials) | 2,000 | 87,660 | ||||||||
Ball Corp. (Containers & Packaging) | 1,400 | 73,962 | ||||||||
Bemis Co., Inc. (Containers & Packaging) | 1,700 | 45,900 | ||||||||
Owens-Illinois, Inc. (Containers & Packaging) | (a) | 2,500 | 66,125 | |||||||
Pactiv Corp. (Containers & Packaging) | (a) | 2,000 | 55,700 | |||||||
Sealed Air Corp. (Containers & Packaging) | 2,500 | 49,300 | ||||||||
AK Steel Holding Corp. (Metals & Mining) | 1,700 | 20,264 | ||||||||
Alcoa, Inc. (Metals & Mining) | 15,700 | 157,942 | ||||||||
Allegheny Technologies, Inc. (Metals & Mining) | 1,500 | 66,285 | ||||||||
Cliffs Natural Resources, Inc. (Metals & Mining) | 2,100 | 99,036 | ||||||||
Freeport-McMoRan Copper & Gold, Inc. (Metals & Mining) | 7,276 | 430,230 | ||||||||
Newmont Mining Corp. (Metals & Mining) | 7,600 | 469,224 | ||||||||
Nucor Corp. (Metals & Mining) | 4,800 | 183,744 | ||||||||
Titanium Metals Corp. (Metals & Mining) | (a) | 1,300 | 22,867 | |||||||
United States Steel Corp. (Metals & Mining) | 2,200 | 84,810 | ||||||||
International Paper Co. (Paper & Forest Products) | 6,700 | 151,621 | ||||||||
MeadWestvaco Corp. (Paper & Forest Products) | 2,600 | 57,720 | ||||||||
Weyerhaeuser Co. (Paper & Forest Products) | 3,300 | 116,160 | ||||||||
4,933,907 | ||||||||||
TELECOMMUNICATION SERVICES – 3.0% | ||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 90,878 | 2,198,339 | ||||||||
CenturyLink, Inc. (Diversified Telecom. Svs.) | 4,646 | 154,758 | ||||||||
Frontier Communications Corp. (Diversified Telecom. Svs.) | 4,800 | 34,128 | ||||||||
Qwest Communications International, Inc. (Diversified Telecom. Svs.) | 23,000 | 120,750 | ||||||||
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 43,500 | 1,218,870 | ||||||||
Windstream Corp. (Diversified Telecom. Svs.) | 7,396 | 78,102 | ||||||||
American Tower Corp. Class A (Wireless Telecom. Svs.) | (a) | 6,200 | 275,900 | |||||||
MetroPCS Communications, Inc. (Wireless Telecom. Svs.) | (a) | 4,000 | 32,760 | |||||||
Sprint Nextel Corp. (Wireless Telecom. Svs.) | (a) | 45,832 | 194,328 | |||||||
4,307,935 | ||||||||||
UTILITIES – 3.7% | ||||||||||
Allegheny Energy, Inc. (Electric Utilities) | 2,600 | 53,768 | ||||||||
American Electric Power Co., Inc. (Electric Utilities) | 7,400 | 239,020 | ||||||||
Duke Energy Corp. (Electric Utilities) | 20,236 | 323,776 | ||||||||
Edison International (Electric Utilities) | 5,000 | 158,600 | ||||||||
Entergy Corp. (Electric Utilities) | 2,900 | 207,698 | ||||||||
Exelon Corp. (Electric Utilities) | 10,200 | 387,294 | ||||||||
FirstEnergy Corp. (Electric Utilities) | 4,700 | 165,581 | ||||||||
NextEra Energy, Inc. (Electric Utilities) | 6,400 | 312,064 | ||||||||
Northeast Utilities (Electric Utilities) | 2,700 | 68,796 | ||||||||
Pepco Holdings, Inc. (Electric Utilities) | 3,400 | 53,312 | ||||||||
Pinnacle West Capital Corp. (Electric Utilities) | 1,700 | 61,812 | ||||||||
PPL Corp. (Electric Utilities) | 7,200 | 179,640 | ||||||||
Progress Energy, Inc. (Electric Utilities) | 4,400 | 172,568 | ||||||||
Southern Co. (Electric Utilities) | 12,700 | 422,656 | ||||||||
EQT Corp. (Gas Utilities) | 2,200 | 79,508 | ||||||||
Nicor, Inc. (Gas Utilities) | 700 | 28,350 | ||||||||
Oneok, Inc. (Gas Utilities) | 1,600 | 69,200 | ||||||||
Questar Corp. (Gas Utilities) | 2,700 | 122,823 | ||||||||
AES Corp. / The (Ind. Power Prod. & Energy Traders) | (a) | 10,300 | 95,172 | |||||||
Constellation Energy Group, Inc. (Ind. Power Prod. & Energy Traders) | 3,100 | 99,975 | ||||||||
NRG Energy, Inc. (Ind. Power Prod. & Energy Traders) | (a) | 3,900 | 82,719 | |||||||
Ameren Corp. (Multi-Utilities) | 3,700 | 87,949 | ||||||||
CenterPoint Energy, Inc. (Multi-Utilities) | 6,400 | 84,224 | ||||||||
CMS Energy Corp. (Multi-Utilities) | 3,500 | 51,275 | ||||||||
Consolidated Edison, Inc. (Multi-Utilities) | 4,300 | 185,330 | ||||||||
Dominion Resources, Inc. (Multi-Utilities) | 9,200 | 356,408 | ||||||||
DTE Energy Co. (Multi-Utilities) | 2,600 | 118,586 | ||||||||
Integrys Energy Group, Inc. (Multi-Utilities) | 1,212 | 53,013 | ||||||||
NiSource, Inc. (Multi-Utilities) | 4,300 | 62,350 | ||||||||
PG&E Corp. (Multi-Utilities) | 5,700 | 234,270 | ||||||||
Public Service Enterprise Group, Inc. (Multi-Utilities) | 7,800 | 244,374 | ||||||||
SCANA Corp. (Multi-Utilities) | 1,700 | 60,792 | ||||||||
Sempra Energy (Multi-Utilities) | 3,800 | 177,802 | ||||||||
TECO Energy, Inc. (Multi-Utilities) | 3,300 | 49,731 | ||||||||
Wisconsin Energy Corp. (Multi-Utilities) | 1,800 | 91,332 | ||||||||
Xcel Energy, Inc. (Multi-Utilities) | 7,100 | 146,331 | ||||||||
5,388,099 | ||||||||||
Total Common Stocks (Cost $150,705,256) | $ | 143,513,678 | ||||||||
Exchange Traded Funds – 0.8% | Shares | Value | ||||||||
Standard & Poor’s Depositary Receipts (SPDRs) | 10,875 | $ | 1,122,517 | |||||||
Total Exchange Traded Funds (Cost $1,208,503) | $ | 1,122,517 | ||||||||
Face | Amortized | |||||||||
Repurchase Agreements – 0.4% | Amount | Cost | ||||||||
U.S. Bank 0.010% 07/01/2010, | $ | 620,000 | $ | 620,000 | ||||||
Agreement date: 06/30/2010, Repurchase price $620,000 Collateralized by: Fannie Mae Pool #739797 (FNCI) 4.000%, Due 09/01/2018 with value of $632,740 | ||||||||||
Total Repurchase Agreements (Cost $620,000) | $ | 620,000 | ||||||||
Total Investments – 100.1% (Cost $152,533,759) | (b) | $ | 145,256,195 | |||||||
Liabilities in Excess of Other Assets – (0.1)% | (110,489 | ) | ||||||||
Net Assets – 100.0% | $ | 145,145,706 | ||||||||
Percentages are stated as a percent of net assets.
Footnotes:
(a) | Non-income producing security. | |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
55
Ohio National Fund, Inc. | Strategic Value Portfolio |
Objective/Strategy
The Strategic Value Portfolio seeks growth of capital and income by investing primarily in securities of high dividend yielding, undervalued stocks with dividend growth potential.
Performance as of June 30, 2010
Average Annual Total Returns: | ||||
One year | 12.57% | |||
Five years | -3.60% | |||
Ten years | -0.40% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2010, the Strategic Value Portfolio returned -5.90% versus -1.29% for the current benchmark, the Dow Jones U.S. Select Dividend Index.
Where March brought signs of a recovery gaining momentum, June ended a rough second quarter for the economy and equities; with stocks posting their first down quarter in five and with almost all gauges of economic performance coming in progressively worse than the month before. May’s fears of a spreading sovereign contagion in Europe were supplanted with June’s fears of a potential double dip; a view we don’t necessarily hold although we find recent data worrisome.
The weakness in the jobs market seemed to carry over to consumer spending, which has slowed dramatically from its late-winter to early-spring levels. May’s personal consumption rose 0.2%, a third of its pace in March, though up from no change in April. The housing market hit a wall. Following the expiration of the temporary buyer’s tax credit, new and existing home sales fell off the map. New home sales plummeted 33% in May to a 47-year low, and pending home sales, a gauge of future activity, plunged 30%. About the only positive for housing is the Case-Shiller data and Federal Housing Finance Agency data that suggest prices may have stabilized. Overseas, China manufacturing growth slowed more than expected in June, while a gauge of factory activity in the 16-member Euro-zone slipped a second month.
The recovery so far is being led by business; the question is if that will be enough if consumers, housing, and jobs don’t soon join the ride. Federal Reserve policymakers acknowledged as much when, after meeting June 22-23, they held tight to their “exceptionally low levels ... for an extended period” policy language which indicates that there may be no increase in their target funds rate this year.
As the equity markets continued to speculate about near-term performance, further fueling stock price volatility, we maintained our focus on the long-term performance objectives of our strategy. With our investments in the dividend income producing segment of the market and low beta of 0.64, the Portfolio’s short-term performance traditionally does not move in lock-step with broad market indicators. Performance in the first quarter of 2010 was no exception, as investors preferred features contrary to our style. The highest returns were focused in sectors that provided little to no dividend opportunity, including Consumer Discretionary, Financials and Industrials. Notable under-performers were found in holdings within dividend-friendly sectors such as Telecommunication Services, Utilities and Energy.(1)
Recently, we’ve observed an important shift in investor sentiment, as we’ve moved to the exit of this high risk, low quality, post-recession rally. In the second quarter, with increased market pressure on equities, we’ve observed investors return their focus to high dividend, high quality, and low risk stocks. We believe this migration back to more balanced investor preferences is expected when considering what we’ve witnessed historically. We’ve noted from studying prior recessions that investors typically shift their attention to high quality, high yield and low beta in this stage of the investment cycle. We believe this migration has taken hold. Recently, while global markets roiled under the fears of further Euro devaluation, we saw investors flock to safer havens. Amongst equities, we saw high quality outperform low quality, low beta surpass high beta, and highest yielding stocks beat low yielding stocks.
Historical observations have also supported the expectation for a similar shift in sector preferences at this stage of the market cycle. While returns were negative across all sectors since the market shift, those segments that gave up the least ground also provided the highest dividend yield and dividend growth opportunities, such as Utilities, Consumer Staples, and Telecommunication Services. Further to our cause, notable under-performers included globally and cyclically exposed Energy, Industrials and Materials stocks. This phase of the market cycle has historically played out over years, not just months.
The leading contributor to the Portfolio’s underperformance was the negative stock selection within the Energy sector. While the Portfolio sold BP at the onset of the Gulf of Mexico oil spill, our Energy holdings posted an average return of -15.95% as the overall sector declined in sympathy. A notable overweight position coupled with negative stock selection within Telecommunication Services contributed further to underperformance. Laggards in the sector included Telefonica SA and France Telecom SA, which produced returns of -30.56% and -23.41%, respectively. While the Portfolio maintained average weights of 14.59% and 19.22%, respectively, in Energy and Telecommunication Services, it is important to point out that the benchmark only had two stocks in each sector. Although we may have underperformed within this handful of stocks, our holdings continue to be an excellent source of diversification, attractive valuations, and dividend income.(1)
Leading positive contributors to relative performance included a 14.62% underweight position and positive stock selection within the Utilities sector. The Portfolio benefited from holding AGL Resources, Southern Co and Dominion Resources, as each posted positive returns in a broadly negative sector. The Portfolio also gained from avoiding Materials, a sector that declined by 3.76% in the period.(1)
As we look forward, we continue to focus on companies that offer high yield and the potential for dividend growth over time. To this end, the strategy finished the period with a weighted average 5.50% yield. This compares to a 4.41% yield for the Dow Jones U.S. Select Dividend Index and a 2.20% yield for the S&P 500 Index. While the absolute price performance of stocks continues to display significant volatility in this choppy market, we’re pleased to note that the dividend growth prospects of the Portfolio appear to be off to a solid start with 24 dividend increases in the Portfolio through June.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2010. |
(continued)
56
Ohio National Fund, Inc. | Strategic Value Portfolio (Continued) |
Change in Value of $10,000 Investment
Dow Jones | ||||||||
U.S. Select | Strategic Value | |||||||
Dividend Index | Portfolio | |||||||
06/30/2000 | 10000 | 10000 | ||||||
12/31/2000 | 10721 | 13793 | ||||||
06/30/2001 | 10754 | 15724 | ||||||
12/31/2001 | 10268 | 15599 | ||||||
06/30/2002 | 9385 | 16538 | ||||||
12/31/2002 | 8273 | 14983 | ||||||
06/30/2003 | 9078 | 16394 | ||||||
12/31/2003 | 10473 | 19502 | ||||||
06/30/2004 | 10773 | 20539 | ||||||
12/31/2004 | 11478 | 23039 | ||||||
06/30/2005 | 11541 | 23550 | ||||||
12/31/2005 | 12022 | 23909 | ||||||
06/30/2006 | 12149 | 25109 | ||||||
12/31/2006 | 13987 | 28584 | ||||||
06/30/2007 | 14393 | 29781 | ||||||
12/31/2007 | 12765 | 27109 | ||||||
06/30/2008 | 10668 | 21306 | ||||||
12/31/2008 | 9157 | 18713 | ||||||
06/30/2009 | 8537 | 16366 | ||||||
12/31/2009 | 10212 | 20795 | ||||||
06/30/2010 | 9610 | 20527 |
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-083743/l40308l4030812.gif)
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The Dow Jones U.S. Select Dividend Index is comprised of all dividend-paying companies in the Dow Jones U.S. Index that have a non-negative historical five-year dividend-per-share growth rate, a five-year average dividend to earnings-per-share ratio of less than or equal to 60%, 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. The Dow Jones U.S. Index aims to consistently represent the top 95% of U.S. companies based on float-adjusted market capitalization, excluding the very smallest and least-liquid stocks. The index presented includes the effects of reinvested dividends.
Portfolio Composition as of June 30, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 98.9 | ||
Money Market Funds and Other Net Assets | 1.1 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2010 (1) (2)
% of Net Assets | |||||||
1. | GlaxoSmithKline PLC | 3.6 | |||||
2. | Kimberly-Clark Corp. | 3.5 | |||||
3. | Verizon Communications, Inc. | 3.5 | |||||
4. | Bristol-Myers Squibb Co. | 3.5 | |||||
5. | BCE, Inc. | 3.4 | |||||
6. | Duke Energy Corp. | 3.3 | |||||
7. | Royal Dutch Shell PLC | 3.2 | |||||
8. | AT&T, Inc. | 3.2 | |||||
9. | Southern Co. | 3.1 | |||||
10. | Dominion Resources, Inc. | 3.1 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Consumer Staples | 20.8 | ||
Telecommunication Services | 18.8 | ||
Health Care | 16.3 | ||
Utilities | 15.1 | ||
Financials | 12.9 | ||
Energy | 11.2 | ||
Consumer Discretionary | 3.0 | ||
Industrials | 0.8 | ||
98.9 | |||
57
Ohio National Fund, Inc. | Strategic Value Portfolio |
Schedule of Investments | June 30, 2010 (Unaudited) |
Common Stocks – 98.9% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 3.0% | ||||||||||
McDonald’s Corp. (Hotels, Restaurants & Leisure) | 9,025 | $ | 594,477 | |||||||
CONSUMER STAPLES – 20.8% | ||||||||||
Coca-Cola Co. / The (Beverages) | 6,315 | 316,508 | ||||||||
H.J. Heinz Co. (Food Products) | 12,975 | 560,779 | ||||||||
Unilever PLC (Food Products) | (a) | 10,710 | 286,300 | |||||||
Clorox Co. (Household Products) | 4,300 | 267,288 | ||||||||
Kimberly-Clark Corp. (Household Products) | 11,575 | 701,792 | ||||||||
Procter & Gamble Co. / The (Household Products) | 5,260 | 315,495 | ||||||||
Altria Group, Inc. (Tobacco) | 20,720 | 415,229 | ||||||||
Lorillard, Inc. (Tobacco) | 4,200 | 302,316 | ||||||||
Philip Morris International, Inc. (Tobacco) | 11,735 | 537,932 | ||||||||
Reynolds American, Inc. (Tobacco) | 8,710 | 453,965 | ||||||||
4,157,604 | ||||||||||
ENERGY – 11.2% | ||||||||||
Chevron Corp. (Oil, Gas & Consumable Fuels) | 8,150 | 553,059 | ||||||||
ConocoPhillips (Oil, Gas & Consumable Fuels) | 12,105 | 594,234 | ||||||||
Royal Dutch Shell PLC (Oil, Gas & Consumable Fuels) | (a) | 26,620 | 643,423 | |||||||
Total S.A. (Oil, Gas & Consumable Fuels) | (a) | 10,220 | 456,210 | |||||||
2,246,926 | ||||||||||
FINANCIALS – 12.9% | ||||||||||
Arthur J. Gallagher & Co. (Insurance) | 8,800 | 214,544 | ||||||||
Cincinnati Financial Corp. (Insurance) | 10,900 | 281,983 | ||||||||
Mercury General Corp. (Insurance) | 5,200 | 215,488 | ||||||||
HCP, Inc. (Real Estate Investment Trusts) | 9,700 | 312,825 | ||||||||
Health Care REIT, Inc. (Real Estate Investment Trusts) | 6,600 | 277,992 | ||||||||
National Retail Properties, Inc. (Real Estate Investment Trusts) | 9,300 | 199,392 | ||||||||
Nationwide Health Properties, Inc. (Real Estate Investment Trusts) | 8,500 | 304,045 | ||||||||
Realty Income Corp. (Real Estate Investment Trusts) | 6,700 | 203,211 | ||||||||
Senior Housing Properties Trust (Real Estate Investment Trusts) | 13,400 | 269,474 | ||||||||
New York Community Bancorp, Inc. (Thrifts & Mortgage Finance) | 20,100 | 306,927 | ||||||||
2,585,881 | ||||||||||
HEALTH CARE – 16.3% | ||||||||||
Abbott Laboratories (Pharmaceuticals) | 9,250 | 432,715 | ||||||||
AstraZeneca PLC (Pharmaceuticals) | (a) | 8,500 | 400,739 | |||||||
Bristol-Myers Squibb Co. (Pharmaceuticals) | 27,675 | 690,214 | ||||||||
Eli Lilly & Co. (Pharmaceuticals) | 14,400 | 482,400 | ||||||||
GlaxoSmithKline PLC (Pharmaceuticals) | (a) | 42,916 | 728,750 | |||||||
Johnson & Johnson (Pharmaceuticals) | 8,960 | 529,178 | ||||||||
3,263,996 | ||||||||||
INDUSTRIALS – 0.8% | ||||||||||
Waste Management, Inc. (Commercial Svs. & Supplies) | 4,900 | 153,321 | ||||||||
TELECOMMUNICATION SERVICES – 18.8% | ||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 26,100 | 631,359 | ||||||||
BCE, Inc. (Diversified Telecom. Svs.) | 23,280 | 679,232 | ||||||||
CenturyLink, Inc. (Diversified Telecom. Svs.) | 15,225 | 507,145 | ||||||||
Telefonica SA (Diversified Telecom. Svs.) | (a) | 19,764 | 366,123 | |||||||
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 24,720 | 692,654 | ||||||||
Windstream Corp. (Diversified Telecom. Svs.) | 27,805 | 293,621 | ||||||||
Vodafone Group PLC – ADR (Wireless Telecom. Svs.) | 27,970 | 578,140 | ||||||||
3,748,274 | ||||||||||
UTILITIES – 15.1% | ||||||||||
Duke Energy Corp. (Electric Utilities) | 41,420 | 662,720 | ||||||||
Progress Energy, Inc. (Electric Utilities) | 8,990 | 352,588 | ||||||||
Southern Co. (Electric Utilities) | 18,560 | 617,677 | ||||||||
Consolidated Edison, Inc. (Multi-Utilities) | 6,600 | 284,460 | ||||||||
Dominion Resources, Inc. (Multi-Utilities) | 15,825 | 613,061 | ||||||||
NSTAR (Multi-Utilities) | 5,200 | 182,000 | ||||||||
SCANA Corp. (Multi-Utilities) | 8,575 | 306,642 | ||||||||
3,019,148 | ||||||||||
Total Common Stocks (Cost $20,629,309) | $ | 19,769,627 | ||||||||
Money Market Funds – 1.0% | Shares | Value | ||||||||
Fidelity Institutional Money Market Funds Money Market Portfolio — Class I | 203,000 | $ | 203,000 | |||||||
Total Money Market Funds (Cost $203,000) | $ | 203,000 | ||||||||
Total Investments – 99.9% (Cost $20,832,309) | (b) | $ | 19,972,627 | |||||||
Other Assets in Excess of Liabilities – 0.1% | 10,546 | |||||||||
Net Assets – 100.0% | $ | 19,983,173 | ||||||||
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depository Receipts
Footnotes:
(a) | Security traded on a foreign exchange has been valued at an estimate of fair value that is different than the local market close price. These fair value estimates are determined by an independent national fair valuation service that has been approved by the Board. These securities represent $2,881,545 or 14.4% of the Portfolio’s net assets. Other Portfolio securities are not subjected to fair value procedures because they are traded on domestic or foreign exchanges that have close times that are consistent with the U.S. market close, normally 4:00 pm Eastern Time. | |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
58
Ohio National Fund, Inc. | High Income Bond Portfolio |
Objective/Strategy
The High Income Bond Portfolio seeks high current income by investing 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 Baa or lower by Moody’s, or BBB or lower by Standard & Poor’s or Fitch.
Performance as of June 30, 2010
Average Annual Total Returns: | ||||
One year | 23.36% | |||
Five years | 6.34% | |||
Ten years | 6.65% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2010, the High Income Bond Portfolio returned 4.26% versus 4.45% for the current benchmark, the Barclays Capital High Yield 2% Issuer Constrained Index (“BCHY2%ICI”).
The high yield market started 2010 generating strong gains, building on the outsized returns of 2009. Yield spreads started the period well above historical averages and the economic recovery appeared to be gaining momentum. However, debt problems in Greece as well as concerns about government debt levels in other European countries provided an overall negative backdrop for financial markets in the later part of the period. The domestic economy, while still expanding, continues to be plagued by high unemployment and a weak housing sector. The strong economic momentum of the early part of the period gave way to doubts about the sustainability of the recovery as economic statistic became more mixed. Global equities sold off in response to Euro-zone debt problems and lingering fears that long term economic growth would be anemic. On the plus side, corporate earnings remain strong, helping high yield companies improve debt servicing capabilities. Also, default activity in the first half of 2010 was extremely low and well below most estimates. For the period as a whole, the high yield market generated attractive returns, as illustrated by the BCHY2%ICI, but trailed higher quality bonds that benefited from the substantial decline in government bond interest rates. This is illustrated by the substantial decline in the yield spread between the Credit Suisse High Yield Bond Index and Treasury securities with comparable maturities.
Within the high yield market, the higher quality BB-rated sector of the BCHY2%ICI generated the best returns at 4.93%, followed by the CCC-rated sector at 3.77%, with the B-rated sector modestly lower at 3.50%. It is worth noting that the CCC-rated got off to a very strong start in the period but trailed off in the later part of the period as equities weakened and economic concerns intensified. From a major industry perspective, the financial institution, gaming, consumer products, transportation, and aerospace & defense sectors generated the best returns while the information technology, electric utility, media — cable, packaging and energy sectors under-performed the BCHY2%ICI.
The main reason for the under-performance versus the BC2%HYBI was an under-weight and poor security selection in the strong performing financial institution sector. The Portfolio was also negatively impacted by poor security selection in the wireline telecommunication sector. Poor security selection in the consumer products sector was mostly offset by an over-weight in this outperforming sector. Specific high yield issuers held by the Portfolio that substantially under-performed the BC2%HYBI included: Sorenson Communications, ATP Oil & Gas Corp., Dynegy Holdings, Inc., Edison Mission Energy and Texas Competitive Electric Holdings Co. LLC.(1)
The Portfolio was positively impacted relative to the BC2%HYBI by an under-weight position in the poor performing electric utility and energy sectors. The Portfolio was also positively impacted by strong security selection in the information technology, media — cable, automotive and media — non cable sectors. Specific high yield issuers held by the Portfolio that substantially outperformed the BC2%HYBI included: NBC Acquisition Corp., Baker & Taylor, Inc., Foxco Acquisition, AAC Group Holding Corp. and Indianapolis Downs LLC/Indiana Downs Capital Corp.(1)
While financial markets have struggled to digest European sovereign debt problems in the first half of 2010, we believe that the U.S. economy will continue to expand at a modest pace. Corporate earnings continue to be strong driving improved creditworthiness of high yield issuers and we expect default rates to be well below historical averages for 2010. We believe this will lead to tighter yield spreads in the high yield market. From a Portfolio perspective, our process is very bottom up driven and seeks strong relative value risk return opportunities. However, in today’s market we are biased toward selling the extremes and buying within the middle. Stated another way, we seek to sell very higher quality, low yielding, interest rate sensitive securities and also sell lower quality, semi-distressed names that have appreciated substantially in the current rally. With these proceeds, we are attempting to buy the broad middle of the market characterized by companies whose credit profiles are improving along with improving economic conditions.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2010. |
(continued)
59
Ohio National Fund, Inc. | High Income Bond Portfolio (Continued) |
Change in Value of $10,000 Investment
Barclays Capital | ||||||||
High Yield | ||||||||
High Income | 2% Issuer | |||||||
Bond Portfolio | Constrained Index | |||||||
06/30/2000 | 10000 | 10000 | ||||||
12/31/2000 | 9471 | 9536 | ||||||
06/30/2001 | 9689 | 9927 | ||||||
12/31/2001 | 9876 | 10056 | ||||||
06/30/2002 | 9894 | 9718 | ||||||
12/31/2002 | 10265 | 10032 | ||||||
06/30/2003 | 11655 | 11874 | ||||||
12/31/2003 | 12604 | 12919 | ||||||
06/30/2004 | 12894 | 13099 | ||||||
12/31/2004 | 13949 | 14358 | ||||||
06/30/2005 | 13998 | 14495 | ||||||
12/31/2005 | 14367 | 14754 | ||||||
06/30/2006 | 14705 | 15127 | ||||||
12/31/2006 | 15822 | 16341 | ||||||
06/30/2007 | 16296 | 16824 | ||||||
12/31/2007 | 16380 | 16711 | ||||||
06/30/2008 | 16110 | 16531 | ||||||
12/31/2008 | 12201 | 12386 | ||||||
06/30/2009 | 15433 | 16216 | ||||||
12/31/2009 | 18259 | 19665 | ||||||
06/30/2010 | 19037 | 20539 |
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-083743/l40308l4030813.gif)
Hypothetical illustration based on past performance. Future performance will vary. All returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of Portfolio management or trading. Neither the Portfolio nor the index is open to direct investment.
The Barclays Capital High Yield 2% Issuer Constrained Index is the 2% Issuer Cap component of the Barclays Capital U.S. Corporate High Yield Bond Index. The Barclays Capital U.S. Corporate High Yield Bond Index is an unmanaged index that includes all fixed income securities having a maximum quality rating of Ba1, a minimum amount outstanding of $150 million, and a least 1 year to maturity. The 2% Issuer Cap component limits an issuer to 2% of the aggregate market capitalization. The index is presented on a total return basis.
Portfolio Composition as of June 30, 2010 (1)
% of Net Assets | |||
Corporate Bonds (3) | 82.3 | ||
Convertible Bonds (3) | 0.1 | ||
Preferred Stocks (3) | 0.1 | ||
Common Stocks (3) | 0.1 | ||
Money Market Funds and Other Net Assets | 17.4 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2010 (1) (2)
% of Net Assets | |||||||
1. | HCA, Inc. 9.625%, 11/15/2016 | 1.4 | |||||
2. | Ford Motor Credit Co. LLC 8.000%, 12/15/2016 | 1.1 | |||||
3. | Intelsat Jackson Holdings S.A. 11.250%, 06/15/2016 | 0.9 | |||||
4. | Biomet, Inc. 11.625%, 10/15/2017 | 0.9 | |||||
5. | CIT Group, Inc. 7.000%, 05/01/2017 | 0.9 | |||||
6. | Sprint Capital Corp. 6.900%, 05/01/2019 | 0.8 | |||||
7. | International Lease Finance Corp. 8.750%, 03/15/2017 | 0.8 | |||||
8. | Intelsat Intermediate Holding Co. S.A. 9.500%, 02/01/2015 | 0.7 | |||||
9. | Ally Financial, Inc. 6.875%, 09/15/2011 | 0.7 | |||||
10. | Visant Holding Corp. 8.750%, 12/01/2013 | 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) | Sectors (combined): |
% of Net Assets | |||
Consumer Discretionary | 26.0 | ||
Industrials | 10.4 | ||
Financials | 8.5 | ||
Health Care | 8.0 | ||
Materials | 6.9 | ||
Energy | 6.0 | ||
Information Technology | 5.9 | ||
Consumer Staples | 4.6 | ||
Telecommunication Services | 4.4 | ||
Utilities | 1.9 | ||
82.6 | |||
60
Ohio National Fund, Inc. | High Income Bond Portfolio |
Schedule of Investments | June 30, 2010 (Unaudited) |
Corporate Bonds – 82.3% | Rate | Maturity | Face Amount | Value | ||||||||||||||
CONSUMER DISCRETIONARY – 25.9% | ||||||||||||||||||
American Axle & Manufacturing Holdings, Inc. (Auto Components) | (b) | 9.250% | 01/15/2017 | $ | 75,000 | $ | 77,625 | |||||||||||
American Tire Distributors, Inc. (Auto Components) | (b) | 9.750% | 06/01/2017 | 500,000 | 503,750 | |||||||||||||
Cooper-Standard Automotive, Inc. (Auto Components) | (b) | 8.500% | 05/01/2018 | 325,000 | 329,063 | |||||||||||||
Lear Corp. (Auto Components) | 7.875% | 03/15/2018 | 475,000 | 478,562 | ||||||||||||||
Lear Corp. (Auto Components) | 8.125% | 03/15/2020 | 75,000 | 75,563 | ||||||||||||||
Tenneco, Inc. (Auto Components) | 8.625% | 11/15/2014 | 1,000,000 | 1,013,750 | ||||||||||||||
TRW Automotive, Inc. (Auto Components) | (b) | 8.875% | 12/01/2017 | 425,000 | 439,875 | |||||||||||||
United Components, Inc. (Auto Components) | 9.375% | 06/15/2013 | 1,050,000 | 1,060,500 | ||||||||||||||
Affinia Group Holdings, Inc. (Automobiles) | (b) | 10.750% | 08/15/2016 | 550,000 | 602,250 | |||||||||||||
Avis Budget Car Rental LLC / Avis Budget Finance, Inc. (Automobiles) | (b) | 9.625% | 03/15/2018 | 125,000 | 126,875 | |||||||||||||
Motors Liquidation Co. (Acquired 12/20/2006 through 04/02/2008, Cost $892,369) (Automobiles) | (a)(e) | 7.400% | 09/01/2025 | 1,100,000 | 327,250 | |||||||||||||
Yonkers Racing Corp. (Automobiles) | (b) | 11.375% | 07/15/2016 | 400,000 | 430,500 | |||||||||||||
Baker & Taylor, Inc. (Distributors) | (b) | 11.500% | 07/01/2013 | 400,000 | 295,000 | |||||||||||||
McJunkin Red Man Corp. (Distributors) | (b) | 9.500% | 12/15/2016 | 1,075,000 | 1,048,125 | |||||||||||||
Knowledge Learning Corp. (Diversified Consumer Services) | (b) | 7.750% | 02/01/2015 | 800,000 | 740,000 | |||||||||||||
Education Management LLC / Education Management Finance Corp. (Diversified Consumer Services) | 8.750% | 06/01/2014 | 375,000 | 375,937 | ||||||||||||||
American Casino & Entertainment Properties, LLC (Hotels, Restaurants & Leisure) | 11.000% | 06/15/2014 | 550,000 | 525,250 | ||||||||||||||
Ameristar Casinos, Inc. (Hotels, Restaurants & Leisure) | 9.250% | 06/01/2014 | 875,000 | 920,938 | ||||||||||||||
Dave & Busters, Inc. (Hotels, Restaurants & Leisure) | 11.250% | 03/15/2014 | 450,000 | 475,313 | ||||||||||||||
Great Canadian Gaming Corp. (Hotels, Restaurants & Leisure) | (b) | 7.250% | 02/15/2015 | 675,000 | 668,250 | |||||||||||||
Harrah’s Operating Co., Inc. (Hotels, Restaurants & Leisure) | 11.250% | 06/01/2017 | 950,000 | 1,004,625 | ||||||||||||||
Indianapolis Downs LLC / Indiana Downs Capital Corp. (Hotels, Restaurants & Leisure) | (b) | 11.000% | 11/01/2012 | 725,000 | 575,469 | |||||||||||||
Indianapolis Downs LLC / Indiana Downs Capital Corp. (Hotels, Restaurants & Leisure) | (b) | 15.500% | 11/01/2013 | 108,970 | 34,462 | |||||||||||||
Jacobs Entertainment, Inc. (Hotels, Restaurants & Leisure) | 9.750% | 06/15/2014 | 625,000 | 584,375 | ||||||||||||||
MGM Resorts International (Hotels, Restaurants & Leisure) | 13.000% | 11/15/2013 | 150,000 | 173,625 | ||||||||||||||
MGM Resorts International (Hotels, Restaurants & Leisure) | 5.875% | 02/27/2014 | 250,000 | 199,375 | ||||||||||||||
MGM Resorts International (Hotels, Restaurants & Leisure) | 10.375% | 05/15/2014 | 50,000 | 54,625 | ||||||||||||||
MGM Resorts International (Hotels, Restaurants & Leisure) | 7.500% | 06/01/2016 | 1,650,000 | 1,307,625 | ||||||||||||||
MGM Resorts International (Hotels, Restaurants & Leisure) | 11.125% | 11/15/2017 | 175,000 | 193,812 | ||||||||||||||
MGM Resorts International (Hotels, Restaurants & Leisure) | (b) | 11.375% | 03/01/2018 | 425,000 | 401,625 | |||||||||||||
NPC International, Inc. (Hotels, Restaurants & Leisure) | 9.500% | 05/01/2014 | 900,000 | 904,500 | ||||||||||||||
Peninsula Gaming LLC (Hotels, Restaurants & Leisure) | 8.375% | 08/15/2015 | 250,000 | 250,313 | ||||||||||||||
Peninsula Gaming LLC (Hotels, Restaurants & Leisure) | 10.750% | 08/15/2017 | 575,000 | 575,000 | ||||||||||||||
Penn National Gaming, Inc. (Hotels, Restaurants & Leisure) | 6.750% | 03/01/2015 | 425,000 | 426,062 | ||||||||||||||
Penn National Gaming, Inc. (Hotels, Restaurants & Leisure) | 8.750% | 08/15/2019 | 225,000 | 232,312 | ||||||||||||||
Pinnacle Entertainment, Inc. (Hotels, Restaurants & Leisure) | (b) | 8.750% | 05/15/2020 | 125,000 | 116,406 | |||||||||||||
San Pasqual Casino (Hotels, Restaurants & Leisure) | (b) | 8.000% | 09/15/2013 | 350,000 | 334,250 | |||||||||||||
Seminole Hard Rock Entertainment, Inc. (Hotels, Restaurants & Leisure) | (b)(d) | 3.037% | 03/15/2014 | 650,000 | 557,375 | |||||||||||||
Seminole Indian Tribe of Florida (Hotels, Restaurants & Leisure) | (b) | 7.804% | 10/01/2020 | 550,000 | 504,279 | |||||||||||||
Shingle Springs Tribal Gaming Authority (Hotels, Restaurants & Leisure) | (b) | 9.375% | 06/15/2015 | 125,000 | 99,687 | |||||||||||||
Tunica-Biloxi Gaming Authority (Hotels, Restaurants & Leisure) | (b) | 9.000% | 11/15/2015 | 475,000 | 427,500 | |||||||||||||
Universal City Development Partners, Ltd. (Hotels, Restaurants & Leisure) | (b) | 8.875% | 11/15/2015 | 550,000 | 555,500 | |||||||||||||
Universal City Development Partners, Ltd. (Hotels, Restaurants & Leisure) | (b) | 10.875% | 11/15/2016 | 525,000 | 538,125 | |||||||||||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. (Hotels, Restaurants & Leisure) | 6.625% | 12/01/2014 | 325,000 | 327,437 | ||||||||||||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. (Hotels, Restaurants & Leisure) | (b) | 7.875% | 11/01/2017 | 425,000 | 432,438 | |||||||||||||
Hillman Group, Inc. (Household Durables) | (b) | 10.875% | 06/01/2018 | 325,000 | 336,375 | |||||||||||||
Jarden Corp. (Household Durables) | 8.000% | 05/01/2016 | 225,000 | 232,312 | ||||||||||||||
Jarden Corp. (Household Durables) | 7.500% | 05/01/2017 | 725,000 | 714,125 | ||||||||||||||
Libbey Glass, Inc. (Household Durables) | (b) | 10.000% | 02/15/2015 | 200,000 | 208,000 | |||||||||||||
Norcraft Companies LP / Norcraft Finance Corp. (Household Durables) | (b) | 10.500% | 12/15/2015 | 625,000 | 646,875 | |||||||||||||
Norcraft Holdings LP / Norcraft Capital Corp. (Household Durables) | 9.750% | 09/01/2012 | 182,000 | 173,128 | ||||||||||||||
Sealy Mattress Co. (Household Durables) | 8.250% | 06/15/2014 | 975,000 | 982,313 | ||||||||||||||
Sealy Mattress Co. (Household Durables) | (b) | 10.875% | 04/15/2016 | 337,000 | 374,070 | |||||||||||||
Simmons Bedding Co. (Household Durables) | (b) | 11.250% | 07/15/2015 | 900,000 | 970,875 | |||||||||||||
Easton-Bell Sports, Inc. (Leisure Equipment & Products) | (b) | 9.750% | 12/01/2016 | 825,000 | 858,000 | |||||||||||||
Visant Corp. (Leisure Equipment & Products) | 7.625% | 10/01/2012 | 1,225,000 | 1,231,125 | ||||||||||||||
Visant Holding Corp. (Leisure Equipment & Products) | 8.750% | 12/01/2013 | 1,325,000 | 1,344,875 | ||||||||||||||
Visant Holding Corp. (Leisure Equipment & Products) | 10.250% | 12/01/2013 | 550,000 | 564,437 | ||||||||||||||
AAC Group Holding Corp. (Media) | (b) | 10.250% | 10/01/2012 | 625,000 | 621,875 | |||||||||||||
AAC Group Holding Corp. (Media) | 12.750% | 10/01/2012 | 174,709 | 168,594 | ||||||||||||||
Affinity Group Holding, Inc. (Acquired 03/21/2005 through 02/22/2008, Cost $222,579) (Media) | (f) | 10.875% | 02/15/2012 | 225,490 | 91,323 | |||||||||||||
Affinity Group Inc. (Media) | 9.000% | 02/15/2012 | 450,000 | 338,063 | ||||||||||||||
American Achievement Corp. (Media) | (b) | 8.250% | 04/01/2012 | 425,000 | 423,938 | |||||||||||||
Belo Corp. (Media) | 8.000% | 11/15/2016 | 50,000 | 51,625 | ||||||||||||||
CCH II LLC / CCH II Capital Corp. (Media) | 13.500% | 11/30/2016 | 471,692 | 551,880 | ||||||||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | (b) | 7.875% | 04/30/2018 | 125,000 | 126,250 | |||||||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. (Media) | (b) | 8.125% | 04/30/2020 | 75,000 | 77,062 | |||||||||||||
Cinemark USA, Inc. (Media) | 8.625% | 06/15/2019 | 575,000 | 580,750 | ||||||||||||||
CSC Holdings LLC (Media) | 7.875% | 02/15/2018 | 150,000 | 153,750 | ||||||||||||||
DISH DBS Corp. (Media) | 6.625% | 10/01/2014 | 850,000 | 852,125 | ||||||||||||||
Fox Acquisition Sub. LLC (Media) | (b) | 13.375% | 07/15/2016 | 575,000 | 566,375 | |||||||||||||
Intelsat Intermediate Holding Co. S.A. (Media) | 9.500% | 02/01/2015 | 1,650,000 | 1,687,125 | ||||||||||||||
Intelsat Jackson Holdings S.A. (Media) | 11.250% | 06/15/2016 | 2,025,000 | 2,166,750 | ||||||||||||||
Intelsat Jackson Holdings S.A. (Media) | (b) | 8.500% | 11/01/2019 | 275,000 | 279,125 | |||||||||||||
Interpublic Group of Companies, Inc. / The (Media) | 10.000% | 07/15/2017 | 700,000 | 775,250 | ||||||||||||||
Kabel Deutschland GmbH (Media) | 10.625% | 07/01/2014 | 650,000 | 676,812 | ||||||||||||||
Lamar Media Corp. (Media) | 9.750% | 04/01/2014 | 175,000 | 191,625 |
(continued)
61
Ohio National Fund, Inc. | High Income Bond Portfolio (Continued) |
Schedule of Investments | June 30, 2010 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||
CONSUMER DISCRETIONARY (continued) | ||||||||||||||||||
Lamar Media Corp. (Media) | 6.625% | 08/15/2015 | $ | 375,000 | $ | 357,187 | ||||||||||||
Lamar Media Corp. (Media) | 6.625% | 08/15/2015 | 575,000 | 547,688 | ||||||||||||||
LIN Television Corp. (Media) | (b) | 8.375% | 04/15/2018 | 75,000 | 75,000 | |||||||||||||
Live Nation Entertainment, Inc. (Media) | (b) | 8.125% | 05/15/2018 | 100,000 | 97,500 | |||||||||||||
MDC Partners, Inc. (Media) | (b) | 11.000% | 11/01/2016 | 675,000 | 722,250 | |||||||||||||
MediMedia USA, Inc. (Media) | (b) | 11.375% | 11/15/2014 | 975,000 | 894,563 | |||||||||||||
Nexstar Broadcasting, Inc. (Media) | 7.000% | 01/15/2014 | 225,000 | 201,375 | ||||||||||||||
Nexstar Broadcasting, Inc. (Media) | (b) | 7.000% | 01/15/2014 | 431,188 | 385,913 | |||||||||||||
Nexstar Broadcasting, Inc. / Mission Broadcasting, Inc. (Media) | (b) | 8.875% | 04/15/2017 | 200,000 | 202,000 | |||||||||||||
Nielsen Finance LLC / Nielsen Finance Co. (Media) | 11.625% | 02/01/2014 | 450,000 | 493,875 | ||||||||||||||
Nielsen Finance LLC / Nielsen Finance Co. (Media) | 11.500% | 05/01/2016 | 400,000 | 439,000 | ||||||||||||||
Nielsen Finance LLC / Nielsen Finance Co. (Media) | 12.500% | 08/01/2016 | 650,000 | 622,375 | ||||||||||||||
Quebecor Media, Inc. (Media) | 7.750% | 03/15/2016 | 450,000 | 443,250 | ||||||||||||||
Rainbow National Services LLC (Media) | (b) | 10.375% | 09/01/2014 | 639,000 | 668,554 | |||||||||||||
Regal Cinemas Corp. (Media) | 8.625% | 07/15/2019 | 225,000 | 227,250 | ||||||||||||||
Reynolds Group Issuer, Inc./ Reynolds Group Issuer LLC (Media) | (b) | 7.750% | 10/15/2016 | 1,100,000 | 1,080,750 | |||||||||||||
Reynolds Group Issuer, Inc./ Reynolds Group Issuer LLC (Media) | (b) | 8.500% | 05/15/2018 | 275,000 | 271,219 | |||||||||||||
Sirius XM Radio, Inc. (Media) | (b) | 8.750% | 04/01/2015 | 750,000 | 742,500 | |||||||||||||
Sitel LLC / Sitel Finance Corp. (Media) | (b) | 11.500% | 04/01/2018 | 800,000 | 744,000 | |||||||||||||
Trans Union LLC/TransUnion Financing Corp. (Media) | (b) | 11.375% | 06/15/2018 | 350,000 | 364,000 | |||||||||||||
Univision Communications, Inc. (Media) | (b) | 12.000% | 07/01/2014 | 75,000 | 80,812 | |||||||||||||
Umbrella Acquisition, Inc. (Media) | (b) | 9.750% | 03/15/2015 | 520,658 | 436,051 | |||||||||||||
Videotron Ltee (Media) | 9.125% | 04/15/2018 | 200,000 | 218,000 | ||||||||||||||
Virgin Media Finance PLC (Media) | 9.500% | 08/15/2016 | 1,025,000 | 1,087,781 | ||||||||||||||
XM Satellite Radio, Inc. (Media) | (b) | 11.250% | 06/15/2013 | 125,000 | 134,063 | |||||||||||||
XM Satellite Radio, Inc. (Media) | (b) | 13.000% | 08/01/2014 | 575,000 | 631,063 | |||||||||||||
Dollar General Corp. (Multiline Retail) | 11.875% | 07/15/2017 | 635,000 | 724,694 | ||||||||||||||
Macy’s Retail Holdings, Inc. (Multiline Retail) | 6.650% | 07/15/2024 | 175,000 | 168,875 | ||||||||||||||
Macy’s Retail Holdings, Inc. (Multiline Retail) | 7.000% | 02/15/2028 | 100,000 | 96,750 | ||||||||||||||
Macy’s Retail Holdings, Inc. (Multiline Retail) | 6.900% | 01/15/2032 | 50,000 | 47,750 | ||||||||||||||
QVC, Inc. (Multiline Retail) | (b) | 7.125% | 04/15/2017 | 200,000 | 197,000 | |||||||||||||
QVC, Inc. (Multiline Retail) | (b) | 7.500% | 10/01/2019 | 525,000 | 518,437 | |||||||||||||
Toys “R” Us Property Co. I LLC (Multiline Retail) | (b) | 10.750% | 07/15/2017 | 1,025,000 | 1,124,938 | |||||||||||||
Limited Brands, Inc. (Specialty Retail) | 8.500% | 06/15/2019 | 525,000 | 568,312 | ||||||||||||||
NBC Acquisition Corp. (Specialty Retail) | 11.000% | 03/15/2013 | 325,000 | 292,500 | ||||||||||||||
Nebraska Book Co, Inc. (Specialty Retail) | 10.000% | 12/01/2011 | 525,000 | 527,625 | ||||||||||||||
Nebraska Book Co., Inc. (Specialty Retail) | 8.625% | 03/15/2012 | 700,000 | 652,750 | ||||||||||||||
Penske Automotive Group, Inc. (Specialty Retail) | 7.750% | 12/15/2016 | 800,000 | 756,000 | ||||||||||||||
Sally Holdings LLC / Salley Capital, Inc. (Specialty Retail) | 10.500% | 11/15/2016 | 1,250,000 | 1,343,750 | ||||||||||||||
59,529,385 | ||||||||||||||||||
CONSUMER STAPLES – 4.6% | ||||||||||||||||||
General Nutrition Centers, Inc. (Food & Staples Retailing) | (d) | 5.750% | 03/15/2014 | 925,000 | 853,313 | |||||||||||||
General Nutrition Centers, Inc. (Food & Staples Retailing) | 10.750% | 03/15/2015 | 100,000 | 101,000 | ||||||||||||||
B&G Foods, Inc. (Food Products) | 7.625% | 01/15/2018 | 525,000 | 528,938 | ||||||||||||||
Dean Foods Co. (Food Products) | 7.000% | 06/01/2016 | 1,150,000 | 1,081,000 | ||||||||||||||
Del Monte Corp. (Food Products) | (b) | 7.500% | 10/15/2019 | 300,000 | 308,250 | |||||||||||||
Michael Foods, Inc. (Food Products) | (b) | 9.750% | 07/15/2018 | 350,000 | 361,375 | |||||||||||||
Pinnacle Foods Finance LLC / Pinnacle Foods Finance Corp. (Food Products) | 9.250% | 04/01/2015 | 725,000 | 743,125 | ||||||||||||||
Pinnacle Foods Finance LLC / Pinnacle Foods Finance Corp. (Food Products) | (b) | 9.250% | 04/01/2015 | 150,000 | 153,750 | |||||||||||||
Pinnacle Foods Finance LLC / Pinnacle Foods Finance Corp. (Food Products) | 10.625% | 04/01/2017 | 425,000 | 445,187 | ||||||||||||||
Reddy Ice Corp. (Food Products) | (b) | 11.250% | 03/15/2015 | 425,000 | 439,875 | |||||||||||||
Reddy Ice Corp. (Food Products) | (b) | 13.250% | 11/01/2015 | 829,000 | 804,130 | |||||||||||||
Smithfield Foods, Inc. (Food Products) | 7.750% | 05/15/2013 | 350,000 | 348,469 | ||||||||||||||
Smithfield Foods, Inc. (Food Products) | (b) | 10.000% | 07/15/2014 | 525,000 | 584,062 | |||||||||||||
Smithfield Foods, Inc. (Food Products) | 7.750% | 07/01/2017 | 325,000 | 312,000 | ||||||||||||||
TreeHouse Foods, Inc. (Food Products) | 7.750% | 03/01/2018 | 525,000 | 546,000 | ||||||||||||||
Central Garden & Pet Co. (Household Products) | 8.250% | 03/01/2018 | 800,000 | 797,000 | ||||||||||||||
Diversey Holdings, Inc. (Household Products) | (b) | 10.500% | 05/15/2020 | 650,000 | 724,750 | |||||||||||||
Diversey, Inc. (Household Products) | (b) | 8.250% | 11/15/2019 | 175,000 | 181,125 | |||||||||||||
Spectrum Brands, Inc. (Household Products) | (b) | 9.500% | 06/15/2018 | 200,000 | 206,500 | |||||||||||||
Spectrum Brands, Inc. (Household Products) | 12.000% | 08/28/2019 | 927,500 | 1,015,612 | ||||||||||||||
10,535,461 | ||||||||||||||||||
ENERGY – 6.0% | ||||||||||||||||||
Basic Energy Services, Inc. (Energy Equipment & Services) | 7.125% | 04/15/2016 | 450,000 | 375,750 | ||||||||||||||
CGG-Veritas (Energy Equipment & Services) | 9.500% | 05/15/2016 | 400,000 | 408,000 | ||||||||||||||
CGG-Veritas (Energy Equipment & Services) | 7.750% | 05/15/2017 | 375,000 | 357,188 | ||||||||||||||
Complete Production Services, Inc. (Energy Equipment & Services) | 8.000% | 12/15/2016 | 225,000 | 221,062 | ||||||||||||||
Crosstex Energy LP / Crosstex Energy Finance Corp. (Energy Equipment & Services) | 8.875% | 02/15/2018 | 975,000 | 978,656 | ||||||||||||||
Aquilex Holdings LLC / Aquilex Finance Corp. (Oil, Gas & Consumable Fuels) | (b) | 11.125% | 12/15/2016 | 425,000 | 427,125 | |||||||||||||
ATP Oil & Gas Corp. (Oil, Gas & Consumable Fuels) | (b) | 11.875% | 05/01/2015 | 750,000 | 547,500 | |||||||||||||
Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels) | 9.500% | 02/15/2015 | 600,000 | 666,000 | ||||||||||||||
Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels) | 6.875% | 11/15/2020 | 425,000 | 430,844 | ||||||||||||||
Coffeyville Resources LLC / Coffeyville Finance, Inc. (Oil, Gas & Consumable Fuels) | (b) | 10.875% | 04/01/2017 | 575,000 | 563,500 | |||||||||||||
Denbury Resources, Inc. (Oil, Gas & Consumable Fuels) | 9.750% | 03/01/2016 | 125,000 | 135,625 | ||||||||||||||
Denbury Resources, Inc. (Oil, Gas & Consumable Fuels) | 8.250% | 02/15/2020 | 273,000 | 286,650 | ||||||||||||||
Forest Oil Corp. (Oil, Gas & Consumable Fuels) | 8.500% | 02/15/2014 | 100,000 | 104,750 |
(continued)
62
Ohio National Fund, Inc. | High Income Bond Portfolio (Continued) |
Schedule of Investments | June 30, 2010 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||
ENERGY (continued) | ||||||||||||||||||
Forest Oil Corp. (Oil, Gas & Consumable Fuels) | 7.250% | 06/15/2019 | $ | 450,000 | $ | 436,500 | ||||||||||||
Hilcorp Energy I LP / Hilcorp Finance Co. (Oil, Gas & Consumable Fuels) | (b) | 7.750% | 11/01/2015 | 400,000 | 396,000 | |||||||||||||
Holly Energy Partners LP / Holly Energy Finance Corp. (Oil, Gas & Consumable Fuels) | 6.250% | 03/01/2015 | 900,000 | 864,000 | ||||||||||||||
Inergy LP / Inergy Finance Corp. (Oil, Gas & Consumable Fuels) | 6.875% | 12/15/2014 | 625,000 | 618,750 | ||||||||||||||
Inergy LP / Inergy Finance Corp. (Oil, Gas & Consumable Fuels) | 8.750% | 03/01/2015 | 425,000 | 434,562 | ||||||||||||||
Linn Energy LLC / Linn Energy Finance Corp. (Oil, Gas & Consumable Fuels) | 11.750% | 05/15/2017 | 200,000 | 228,000 | ||||||||||||||
Linn Energy LLC / Linn Energy Finance Corp. (Oil, Gas & Consumable Fuels) | (b) | 8.625% | 04/15/2020 | 575,000 | 591,531 | |||||||||||||
MarkWest Energy Partners LP / MarkWest Energy Finance Corp. (Oil, Gas & Consumable Fuels) | 8.750% | 04/15/2018 | 850,000 | 862,750 | ||||||||||||||
Niska Gas Storage US LLC / Niska Gas Storage Canada ULC (Oil, Gas & Consumable Fuels) | (b) | 8.875% | 03/15/2018 | 800,000 | 816,000 | |||||||||||||
Petroplus Finance Ltd. (Oil, Gas & Consumable Fuels) | (b) | 7.000% | 05/01/2017 | 225,000 | 184,500 | |||||||||||||
Pioneer Natural Resources Co. (Oil, Gas & Consumable Fuels) | 6.875% | 05/01/2018 | 300,000 | 302,754 | ||||||||||||||
Plains Exploration & Production Co. (Oil, Gas & Consumable Fuels) | 7.750% | 06/15/2015 | 600,000 | 597,000 | ||||||||||||||
Plains Exploration & Production Co. (Oil, Gas & Consumable Fuels) | 7.000% | 03/15/2017 | 125,000 | 120,000 | ||||||||||||||
Range Resources Corp. (Oil, Gas & Consumable Fuels) | 6.375% | 03/15/2015 | 100,000 | 99,250 | ||||||||||||||
Range Resources Corp. (Oil, Gas & Consumable Fuels) | 7.500% | 05/15/2016 | 150,000 | 152,063 | ||||||||||||||
Regency Energy Partners LP / Regency Energy Finance Corp. (Oil, Gas & Consumable Fuels) | 8.375% | 12/15/2013 | 575,000 | 595,125 | ||||||||||||||
Regency Energy Partners LP / Regency Energy Finance Corp. (Oil, Gas & Consumable Fuels) | (b) | 9.375% | 06/01/2016 | 250,000 | 266,250 | |||||||||||||
SandRidge Energy, Inc. (Oil, Gas & Consumable Fuels) | (b) | 9.875% | 05/15/2016 | 100,000 | 102,000 | |||||||||||||
SandRidge Energy, Inc. (Oil, Gas & Consumable Fuels) | (b) | 8.000% | 06/01/2018 | 250,000 | 238,125 | |||||||||||||
Southern Star Central Corp. (Oil, Gas & Consumable Fuels) | 6.750% | 03/01/2016 | 225,000 | 218,812 | ||||||||||||||
Southwestern Energy Co. (Oil, Gas & Consumable Fuels) | 7.500% | 02/01/2018 | 150,000 | 160,125 | ||||||||||||||
Teekay Corp. (Oil, Gas & Consumable Fuels) | 8.500% | 01/15/2020 | 100,000 | 100,000 | ||||||||||||||
13,886,747 | ||||||||||||||||||
FINANCIALS – 8.4% | ||||||||||||||||||
Nuveen Investments, Inc. (Capital Markets) | 10.500% | 11/15/2015 | 1,375,000 | 1,203,125 | ||||||||||||||
Reliance Intermediate Holdings LP (Capital Markets) | (b) | 9.500% | 12/15/2019 | 550,000 | 582,312 | |||||||||||||
SSI Investments II/SSI Co-Issuer LLC (Capital Markets) | (b) | 11.125% | 06/01/2018 | 575,000 | 586,500 | |||||||||||||
CIT Group, Inc. (Commercial Banks) | 7.000% | 05/01/2017 | 2,225,000 | 2,013,625 | ||||||||||||||
Ford Motor Credit Co. LLC (Consumer Finance) | 7.250% | 10/25/2011 | 675,000 | 693,622 | ||||||||||||||
Ford Motor Credit Co. LLC (Consumer Finance) | 7.500% | 08/01/2012 | 400,000 | 409,224 | ||||||||||||||
Ford Motor Credit Co. LLC (Consumer Finance) | 8.000% | 06/01/2014 | 650,000 | 671,395 | ||||||||||||||
Ford Motor Credit Co. LLC (Consumer Finance) | 8.000% | 12/15/2016 | 2,425,000 | 2,482,878 | ||||||||||||||
Ford Motor Credit Co. LLC (Consumer Finance) | 8.125% | 01/15/2020 | 150,000 | 153,356 | ||||||||||||||
Ally Financial, Inc. (Consumer Finance) | 6.875% | 09/15/2011 | 1,475,000 | 1,502,656 | ||||||||||||||
Ally Financial, Inc. (Consumer Finance) | 7.000% | 02/01/2012 | 625,000 | 635,156 | ||||||||||||||
Ally Financial, Inc. (Consumer Finance) | (b) | 8.300% | 02/12/2015 | 1,175,000 | 1,192,625 | |||||||||||||
Ally Financial, Inc. (Consumer Finance) | (b) | 8.000% | 03/15/2020 | 375,000 | 367,500 | |||||||||||||
Ally Financial, Inc. (Consumer Finance) | 8.000% | 11/01/2031 | 260,000 | 241,150 | ||||||||||||||
CIT Group Funding Co. of Delaware LLC (Diversifed Financial Services) | 10.250% | 05/01/2017 | 1,300,000 | 1,335,750 | ||||||||||||||
Express LLC / Express Finance Corp. (Diversifed Financial Services) | (b) | 8.750% | 03/01/2018 | 550,000 | 562,375 | |||||||||||||
International Lease Finance Corp. (Diversifed Financial Services) | (b) | 8.625% | 09/15/2015 | 450,000 | 427,500 | |||||||||||||
International Lease Finance Corp. (Diversifed Financial Services) | (b) | 8.750% | 03/15/2017 | 1,925,000 | 1,828,750 | |||||||||||||
Host Hotels & Resorts LP (Real Estate Investment Trusts) | 7.125% | 11/01/2013 | 325,000 | 329,063 | ||||||||||||||
Host Hotels & Resorts LP (Real Estate Investment Trusts) | 6.875% | 11/01/2014 | 250,000 | 250,625 | ||||||||||||||
Host Hotels & Resorts LP (Real Estate Investment Trusts) | 6.375% | 03/15/2015 | 175,000 | 172,375 | ||||||||||||||
Host Hotels & Resorts LP (Real Estate Investment Trusts) | 6.750% | 06/01/2016 | 100,000 | 99,375 | ||||||||||||||
Ventas Realty LP / Ventas Capital Corp. (Real Estate Investment Trusts) | 6.500% | 06/01/2016 | 325,000 | 331,339 | ||||||||||||||
Ventas Realty LP / Ventas Capital Corp. (Real Estate Investment Trusts) | 6.500% | 06/01/2016 | 225,000 | 229,389 | ||||||||||||||
Ventas Realty LP / Ventas Capital Corp. (Real Estate Investment Trusts) | 6.750% | 04/01/2017 | 375,000 | 380,039 | ||||||||||||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp. (Real Estate Management & Development) | (b) | 8.000% | 01/15/2018 | 775,000 | 755,625 | |||||||||||||
19,437,329 | ||||||||||||||||||
HEALTH CARE – 8.0% | ||||||||||||||||||
Accellent, Inc. (Health Care Equipment & Supplies) | 10.500% | 12/01/2013 | 450,000 | 445,500 | ||||||||||||||
Bausch & Lomb, Inc. (Health Care Equipment & Supplies) | 9.875% | 11/01/2015 | 800,000 | 826,000 | ||||||||||||||
Biomet, Inc. (Health Care Equipment & Supplies) | 11.625% | 10/15/2017 | 1,925,000 | 2,093,437 | ||||||||||||||
Inverness Medical Innovations, Inc. (Health Care Equipment & Supplies) | 7.875% | 02/01/2016 | 525,000 | 515,812 | ||||||||||||||
Inverness Medical Innovations, Inc. (Health Care Equipment & Supplies) | 9.000% | 05/15/2016 | 500,000 | 502,500 | ||||||||||||||
VWR Funding, Inc. (Health Care Equipment & Supplies) | 10.250% | 07/15/2015 | 1,304,843 | 1,324,416 | ||||||||||||||
BioScrip, Inc. (Health Care Providers & Services) | (b) | 10.250% | 10/01/2015 | 150,000 | 149,250 | |||||||||||||
CRC Health Corp. (Health Care Providers & Services) | 10.750% | 02/01/2016 | 550,000 | 508,750 | ||||||||||||||
Fresenius US Finance II, Inc. (Health Care Providers & Services) | (b) | 9.000% | 07/15/2015 | 325,000 | 353,844 | |||||||||||||
HCA, Inc. (Health Care Providers & Services) | 9.250% | 11/15/2016 | 550,000 | 584,375 | ||||||||||||||
HCA, Inc. (Health Care Providers & Services) | 9.625% | 11/15/2016 | 3,051,516 | 3,272,751 | ||||||||||||||
HCA, Inc. (Health Care Providers & Services) | 9.875% | 02/15/2017 | 225,000 | 243,000 | ||||||||||||||
HCA, Inc. (Health Care Providers & Services) | 7.875% | 02/15/2020 | 275,000 | 284,281 | ||||||||||||||
HCA, Inc. (Health Care Providers & Services) | 7.500% | 11/06/2033 | 225,000 | 193,500 | ||||||||||||||
National Mentor Holdings, Inc. (Health Care Providers & Services) | 11.250% | 07/01/2014 | 625,000 | 626,562 | ||||||||||||||
Omnicare, Inc. (Health Care Providers & Services) | 6.875% | 12/15/2015 | 775,000 | 778,875 | ||||||||||||||
Omnicare, Inc. (Health Care Providers & Services) | 7.750% | 06/01/2020 | 175,000 | 179,375 | ||||||||||||||
United Surgical Partners International, Inc. (Health Care Providers & Services) | 9.250% | 05/01/2017 | 950,000 | 954,750 | ||||||||||||||
Universal Hospital Services, Inc. (Health Care Providers & Services) | (d) | 4.134% | 06/01/2015 | 150,000 | 126,750 | |||||||||||||
Universal Hospital Services, Inc. (Health Care Providers & Services) | 8.500% | 06/01/2015 | 900,000 | 891,000 | ||||||||||||||
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc. (Health Care Providers & Services) | 8.000% | 02/01/2018 | 950,000 | 916,750 | ||||||||||||||
Viant Holdings, Inc. (Health Care Providers & Services) | (b) | 10.125% | 07/15/2017 | 850,000 | 870,188 |
(continued)
63
Ohio National Fund, Inc. | High Income Bond Portfolio (Continued) |
Schedule of Investments | June 30, 2010 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||
HEALTH CARE (continued) | ||||||||||||||||||
Yankee Acquisition Corp. (Health Care Providers & Services) | 8.500% | 02/15/2015 | $ | 200,000 | $ | 203,250 | ||||||||||||
Yankee Acquisition Corp. (Health Care Providers & Services) | 9.750% | 02/15/2017 | 1,150,000 | 1,175,875 | ||||||||||||||
Bio-Rad Laboratories, Inc. (Life Sciences Tools & Services) | 6.125% | 12/15/2014 | 275,000 | 277,750 | ||||||||||||||
Bio-Rad Laboratories, Inc. (Life Sciences Tools & Services) | 8.000% | 09/15/2016 | 300,000 | 314,250 | ||||||||||||||
18,612,791 | ||||||||||||||||||
INDUSTRIALS – 10.3% | ||||||||||||||||||
Alliant Techsystems, Inc. (Aerospace & Defense) | 6.750% | 04/01/2016 | 500,000 | 492,500 | ||||||||||||||
Hawker Beechcraft Acquisition Co. LLC / Hawker Beechcraft Notes Co. (Aerospace & Defense) | 9.750% | 04/01/2017 | 200,000 | 124,500 | ||||||||||||||
L-3 Communications Corp. (Aerospace & Defense) | 6.125% | 07/15/2013 | 425,000 | 430,313 | ||||||||||||||
L-3 Communications Corp. (Aerospace & Defense) | 6.375% | 10/15/2015 | 225,000 | 226,125 | ||||||||||||||
Sequa Corporation (Aerospace & Defense) | (b) | 11.750% | 12/01/2015 | 300,000 | 291,750 | |||||||||||||
Sequa Corporation (Aerospace & Defense) | (b) | 13.500% | 12/01/2015 | 183,054 | 180,308 | |||||||||||||
TransDigm, Inc. (Aerospace & Defense) | (b) | 7.750% | 07/15/2014 | 225,000 | 226,125 | |||||||||||||
TransDigm, Inc. (Aerospace & Defense) | 7.750% | 07/15/2014 | 450,000 | 453,375 | ||||||||||||||
CEVA Group PLC (Air Freight & Logistics) | (b) | 11.625% | 10/01/2016 | 300,000 | 311,250 | |||||||||||||
Building Materials Corp. of America (Building Products) | (b) | 7.500% | 03/15/2020 | 225,000 | 222,187 | |||||||||||||
Goodman Global Group, Inc. (Building Products) | (b) | 0.000% | 12/15/2014 | 1,100,000 | 676,500 | |||||||||||||
Goodman Global, Inc. (Building Products) | 13.500% | 02/15/2016 | 350,000 | 386,750 | ||||||||||||||
Nortek, Inc. (Building Products) | 11.000% | 12/01/2013 | 475,000 | 497,563 | ||||||||||||||
Ply Gem Industries, Inc. (Building Products) | 11.750% | 06/15/2013 | 475,000 | 498,750 | ||||||||||||||
RBS Global, Inc./ Rexnord LLC (Building Products) | (b) | 8.500% | 05/01/2018 | 600,000 | 585,000 | |||||||||||||
Thermon Industries, Inc. (Building Products) | (b) | 9.500% | 05/01/2017 | 125,000 | 127,500 | |||||||||||||
Altegrity, Inc. (Commercial Services & Supplies) | (b) | 10.500% | 11/01/2015 | 425,000 | 405,875 | |||||||||||||
Altegrity, Inc. (Commercial Services & Supplies) | (b) | 11.750% | 05/01/2016 | 425,000 | 387,813 | |||||||||||||
ARAMARK Corp. (Commercial Services & Supplies) | (d) | 3.844% | 02/01/2015 | 250,000 | 231,250 | |||||||||||||
ARAMARK Corp. (Commercial Services & Supplies) | 8.500% | 02/01/2015 | 900,000 | 913,500 | ||||||||||||||
Browning-Ferris Industries, Inc. (Commercial Services & Supplies) | 9.250% | 05/01/2021 | 225,000 | 279,123 | ||||||||||||||
Garda World Security Corp. (Commercial Services & Supplies) | (b) | 9.750% | 03/15/2017 | 900,000 | 918,000 | |||||||||||||
Global Cash Access, Inc. / Global Cash Finance Corp. (Commercial Services & Supplies) | 8.750% | 03/15/2012 | 542,000 | 545,387 | ||||||||||||||
KAR Auction Services, Inc. (Commercial Services & Supplies) | 8.750% | 05/01/2014 | 1,000,000 | 1,010,000 | ||||||||||||||
KAR Auction Services, Inc. (Commercial Services & Supplies) | 10.000% | 05/01/2015 | 17,000 | 17,425 | ||||||||||||||
Maxim Crane Works LP (Commercial Services & Supplies) | (b) | 12.250% | 04/15/2015 | 450,000 | 442,687 | |||||||||||||
RSC Equipment Rental, Inc. / RSC Holdings III LLC (Commercial Services & Supplies) | 9.500% | 12/01/2014 | 600,000 | 599,250 | ||||||||||||||
RSC Equipment Rental, Inc. / RSC Holdings III LLC (Commercial Services & Supplies) | (b) | 10.000% | 07/15/2017 | 175,000 | 188,563 | |||||||||||||
SGS International, Inc. (Commercial Services & Supplies) | 12.000% | 12/15/2013 | 900,000 | 923,625 | ||||||||||||||
West Corp. (Commercial Services & Supplies) | 9.500% | 10/15/2014 | 1,150,000 | 1,161,500 | ||||||||||||||
West Corp. (Commercial Services & Supplies) | 11.000% | 10/15/2016 | 1,000,000 | 1,022,500 | ||||||||||||||
Baldor Electric Co. (Electrical Equipment) | 8.625% | 02/15/2017 | 875,000 | 910,000 | ||||||||||||||
Belden, Inc. (Electrical Equipment) | 7.000% | 03/15/2017 | 450,000 | 437,062 | ||||||||||||||
Belden, Inc. (Electrical Equipment) | (b) | 9.250% | 06/15/2019 | 200,000 | 212,000 | |||||||||||||
General Cable Corp. (Electrical Equipment) | 2.666% | 04/01/2015 | 325,000 | 291,688 | ||||||||||||||
General Cable Corp. (Electrical Equipment) | 7.125% | 04/01/2017 | 600,000 | 597,000 | ||||||||||||||
International Wire Group, Inc. (Electrical Equipment) | (b) | 9.750% | 04/15/2015 | 475,000 | 472,625 | |||||||||||||
Sensus USA, Inc. (Electrical Equipment) | 8.625% | 12/15/2013 | 525,000 | 514,500 | ||||||||||||||
Viasystems, Inc. (Electrical Equipment) | (b) | 12.000% | 01/15/2015 | 375,000 | 406,875 | |||||||||||||
ALH Finance LLC / ALH Finance Corp. (Machinery) | 8.500% | 01/15/2013 | 600,000 | 603,000 | ||||||||||||||
Amsted Industries, Inc. (Machinery) | (b) | 8.125% | 03/15/2018 | 200,000 | 200,500 | |||||||||||||
ArvinMeritor, Inc. (Machinery) | 10.625% | 03/15/2018 | 275,000 | 292,875 | ||||||||||||||
Case New Holland, Inc. (Machinery) | (b) | 7.875% | 12/01/2017 | 225,000 | 227,813 | |||||||||||||
Esco Corp. (Machinery) | (b) | 8.625% | 12/15/2013 | 450,000 | 448,875 | |||||||||||||
Esco Corp. (Machinery) | (b)(d) | 4.412% | 12/15/2013 | 225,000 | 207,000 | |||||||||||||
Mueller Water Products, Inc. (Machinery) | 7.375% | 06/01/2017 | 525,000 | 463,313 | ||||||||||||||
Navistar International Corp. (Machinery) | 8.250% | 11/01/2021 | 400,000 | 408,000 | ||||||||||||||
SPX Corp. (Machinery) | 7.625% | 12/15/2014 | 550,000 | 567,875 | ||||||||||||||
Stena AB (Marine) | 7.000% | 12/01/2016 | 175,000 | 167,562 | ||||||||||||||
Hertz Corp. / The (Road & Rail) | 8.875% | 01/01/2014 | 625,000 | 635,937 | ||||||||||||||
Hertz Corp. / The (Road & Rail) | 10.500% | 01/01/2016 | 300,000 | 312,750 | ||||||||||||||
Kansas City Southern Railway (Road & Rail) | 8.000% | 06/01/2015 | 250,000 | 258,750 | ||||||||||||||
Interline Brands, Inc. (Trading Companies & Distributors) | 8.125% | 06/15/2014 | 400,000 | 402,500 | ||||||||||||||
23,815,494 | ||||||||||||||||||
INFORMATION TECHNOLOGY – 5.9% | ||||||||||||||||||
Seagate HDD Cayman (Computers & Peripherals) | (b) | 6.875% | 05/01/2020 | 100,000 | 95,500 | |||||||||||||
Seagate Technology HDD Holdings (Computers & Peripherals) | 6.800% | 10/01/2016 | 575,000 | 560,625 | ||||||||||||||
Cleaver-Brooks, Inc. (Electronic Equipment, Instruments & Components) | (b) | 12.250% | 05/01/2016 | 400,000 | 391,000 | |||||||||||||
Kemet Corp. (Electronic Equipment, Instruments & Components) | (b) | 10.500% | 05/01/2018 | 400,000 | 398,000 | |||||||||||||
SMART Modular Technologies (WWH), Inc. (Acquired 03/22/2005 through 08/04/2005, Cost $114,370) (Electronic Equipment, Instruments & Components) | (d)(f) | 5.791% | 04/01/2012 | 114,000 | 108,158 | |||||||||||||
Terremark Worldwide, Inc. (Internet Software & Services) | 12.000% | 06/15/2017 | 675,000 | 762,750 | ||||||||||||||
Ceridian Corp. (IT Services) | 11.250% | 11/15/2015 | 675,000 | 612,562 | ||||||||||||||
CompuCom Systems, Inc. (IT Services) | (b) | 12.500% | 10/01/2015 | 800,000 | 846,000 | |||||||||||||
First Data Corp. (IT Services) | 9.875% | 09/24/2015 | 500,000 | 382,500 | ||||||||||||||
iPayment, Inc. (IT Services) | 9.750% | 05/15/2014 | 350,000 | 320,250 | ||||||||||||||
Lender Processing Services, Inc. (IT Services) | 8.125% | 07/01/2016 | 550,000 | 581,625 | ||||||||||||||
Mantech International Corp. (IT Services) | (b) | 7.250% | 04/15/2018 | 200,000 | 203,000 | |||||||||||||
Stream Global Services, Inc. (IT Services) | 11.250% | 10/01/2014 | 775,000 | 796,313 | ||||||||||||||
SunGard Data Systems, Inc. (IT Services) | 9.125% | 08/15/2013 | 350,000 | 357,437 |
(continued)
64
Ohio National Fund, Inc. | High Income Bond Portfolio (Continued) |
Schedule of Investments | June 30, 2010 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||
INFORMATION TECHNOLOGY (continued) | ||||||||||||||||||
SunGard Data Systems, Inc. (IT Services) | 10.625% | 05/15/2015 | $ | 625,000 | $ | 671,094 | ||||||||||||
SunGard Data Systems, Inc. (IT Services) | 10.250% | 08/15/2015 | 1,250,000 | 1,296,875 | ||||||||||||||
Unisys Corp. (IT Services) | 12.500% | 01/15/2016 | 225,000 | 244,125 | ||||||||||||||
Advanced Micro Devices, Inc. (Semiconductors & Semiconductor Equipment) | (b) | 8.125% | 12/15/2017 | 725,000 | 725,000 | |||||||||||||
Freescale Semiconductor, Inc. (Semiconductors & Semiconductor Equipment) | 8.875% | 12/15/2014 | 425,000 | 389,938 | ||||||||||||||
Freescale Semiconductor, Inc. (Semiconductors & Semiconductor Equipment) | 9.125% | 12/15/2014 | 472,219 | 424,997 | ||||||||||||||
Freescale Semiconductor, Inc. (Semiconductors & Semiconductor Equipment) | (b) | 9.250% | 04/15/2018 | 500,000 | 496,250 | |||||||||||||
MagnaChip Semiconductor S.A. / MagnaChip Semiconductor Finance Co. (Semiconductors & Semiconductor Equipment) | (b) | 10.500% | 04/15/2018 | 425,000 | 434,562 | |||||||||||||
Activant Solutions, Inc. (Software) | 9.500% | 05/01/2016 | 725,000 | 692,375 | ||||||||||||||
Aspect Software, Inc. (Software) | (b) | 10.625% | 05/15/2017 | 575,000 | 577,875 | |||||||||||||
Bankrate, Inc. (Software) | (b) | 11.750% | 07/15/2015 | 350,000 | 349,125 | |||||||||||||
Serena Software, Inc. (Software) | 10.375% | 03/15/2016 | 650,000 | 622,375 | ||||||||||||||
SS&C Technologies, Inc. (Software) | 11.750% | 12/01/2013 | 325,000 | 341,250 | ||||||||||||||
13,681,561 | ||||||||||||||||||
MATERIALS – 6.9% | ||||||||||||||||||
Ashland, Inc. (Chemicals) | 9.125% | 06/01/2017 | 600,000 | 660,000 | ||||||||||||||
CF Industries, Inc. (Chemicals) | 6.875% | 05/01/2018 | 75,000 | 76,500 | ||||||||||||||
CF Industries, Inc. (Chemicals) | 7.125% | 05/01/2020 | 75,000 | 77,062 | ||||||||||||||
Chemtura Corp. (Acquired 04/19/2006 and 04/11/2007, Cost $346,755) (Chemicals) | (a)(e)(f)(g) | 6.875% | 06/01/2016 | 350,000 | 395,500 | |||||||||||||
Hexion US Finance Corp. / Hexion Nova Scotia Finance ULC (Chemicals) | 8.875% | 02/01/2018 | 700,000 | 635,250 | ||||||||||||||
Hexion US Finance Corp. / Hexion Nova Scotia Finance ULC (Chemicals) | 9.750% | 11/15/2014 | 400,000 | 380,000 | ||||||||||||||
Huntsman International LLC (Chemicals) | (b) | 5.500% | 06/30/2016 | 725,000 | 638,000 | |||||||||||||
Huntsman International LLC (Chemicals) | (b) | 8.625% | 03/15/2020 | 375,000 | 347,813 | |||||||||||||
Koppers, Inc. (Chemical) | 7.875% | 12/01/2019 | 275,000 | 279,125 | ||||||||||||||
Nalco Co. (Chemicals) | 8.875% | 11/15/2013 | 1,150,000 | 1,184,500 | ||||||||||||||
Nalco Co. (Chemicals) | 8.250% | 05/15/2017 | 75,000 | 78,000 | ||||||||||||||
Nalco Finance Holdings, Inc. (Chemicals) | 9.000% | 02/01/2014 | 66,000 | 67,320 | ||||||||||||||
Solutia, Inc. (Chemicals) | 8.750% | 11/01/2017 | 775,000 | 809,875 | ||||||||||||||
Solutia, Inc. (Chemicals) | 7.875% | 03/15/2020 | 150,000 | 150,375 | ||||||||||||||
Union Carbide Corp. (Chemicals) | 7.875% | 04/01/2023 | 100,000 | 99,196 | ||||||||||||||
Union Carbide Corp. (Chemicals) | 7.500% | 06/01/2025 | 50,000 | 49,296 | ||||||||||||||
Berry Plastic Corp. (Containers & Packaging) | 8.875% | 09/15/2014 | 925,000 | 894,938 | ||||||||||||||
Berry Plastic Corp. (Containers & Packaging) | (b) | 9.500% | 05/15/2018 | 275,000 | 253,000 | |||||||||||||
BWAY Holding Co. (Containers & Packaging) | (b) | 10.000% | 06/15/2018 | 325,000 | 340,437 | |||||||||||||
Cascades, Inc. (Containers & Packaging) | 7.875% | 01/15/2020 | 400,000 | 400,000 | ||||||||||||||
Crown Americas LLC / Crown Americas Capital Corp. (Containers & Packaging) | 7.750% | 11/15/2015 | 1,050,000 | 1,094,625 | ||||||||||||||
Crown Americas LLC / Crown Americas Capital Corp. II (Containers & Packaging) | (b) | 7.625% | 05/15/2017 | 75,000 | 78,000 | |||||||||||||
Graham Packaging Co. LP / GPC Capital Corp. I (Containers & Packaging) | (b) | 8.250% | 01/01/2017 | 850,000 | 841,500 | |||||||||||||
Graphic Packaging International, Inc. (Containers & Packaging) | 9.500% | 08/15/2013 | 775,000 | 792,438 | ||||||||||||||
Graphic Packaging International, Inc. (Containers & Packaging) | 9.500% | 06/15/2017 | 550,000 | 577,500 | ||||||||||||||
Greif, Inc. (Containers & Packaging) | 7.750% | 08/01/2019 | 475,000 | 491,625 | ||||||||||||||
Owens-Brockway Glass Container, Inc. (Containers & Packaging) | 7.375% | 05/15/2016 | 200,000 | 209,500 | ||||||||||||||
Rock-Tenn Co. (Containers & Packaging) | 9.250% | 03/15/2016 | 450,000 | 484,875 | ||||||||||||||
Aleris International, Inc. (Acquired 12/13/2006, Cost $175,000) (Metals & Mining) | (a)(e)(f) | 9.000% | 12/15/2014 | 175,000 | 1,746 | |||||||||||||
Aleris International, Inc. (Acquired 12/13/2006 and 05/30/2007, Cost $256,970) (Metals & Mining) | (a)(e)(f) | 10.000% | 12/15/2016 | 250,000 | 2,812 | |||||||||||||
Compass Minerals International, Inc. (Metals & Mining) | 8.000% | 06/01/2019 | 275,000 | 282,391 | ||||||||||||||
Teck Resources Ltd. (Metals & Mining) | 10.250% | 05/15/2016 | 575,000 | 679,267 | ||||||||||||||
Boise Paper Holdings LLC / Boise Finanace Co. (Paper & Forest Products) | (b) | 9.000% | 11/01/2017 | 875,000 | 905,625 | |||||||||||||
Clearwater Paper Corp. (Paper & Forest Products) | 10.625% | 06/15/2016 | 125,000 | 138,281 | ||||||||||||||
Georgia-Pacific LLC (Paper & Forest Products) | (b) | 8.250% | 05/01/2016 | 900,000 | 964,125 | |||||||||||||
NewPage Corp. (Paper & Forest Products) | 11.375% | 12/31/2014 | 250,000 | 228,125 | ||||||||||||||
PE Paper Escrow GmbH (Paper & Forest Products) | (b) | 12.000% | 08/01/2014 | 375,000 | 412,699 | |||||||||||||
16,001,321 | ||||||||||||||||||
TELECOMMUNICATION SERVICES – 4.4% | ||||||||||||||||||
Clear Channel Worldwide Holdings, Inc. (Diversified Telecommunication Services) | (b) | 9.250% | 12/15/2017 | 600,000 | 606,000 | |||||||||||||
Clear Channel Worldwide Holdings, Inc. (Diversified Telecommunication Services) | (b) | 9.250% | 12/15/2017 | 75,000 | 75,000 | |||||||||||||
GXS Worldwide Inc. (Diversified Telecommunication Services) | (b) | 9.750% | 06/15/2015 | 850,000 | 816,000 | |||||||||||||
Inmarsat Finance PLC (Diversified Telecommunication Services) | (b) | 7.375% | 12/01/2017 | 175,000 | 179,813 | |||||||||||||
Insight Communications, Inc. (Diversified Telecommunication Services) | (b) | 9.375% | 07/15/2018 | 225,000 | 225,000 | |||||||||||||
SBA Telecommunications, Inc. (Diversified Telecommunication Services) | (b) | 8.000% | 08/15/2016 | 325,000 | 338,000 | |||||||||||||
SBA Telecommunications, Inc. (Diversified Telecommunication Services) | (b) | 8.250% | 08/15/2019 | 125,000 | 132,187 | |||||||||||||
tw telecom holdings, inc. (Diversified Telecommunication Services) | (b) | 8.000% | 03/01/2018 | 375,000 | 384,375 | |||||||||||||
Digicel Group Ltd. (Wireless Telecommunication Services) | (b) | 8.875% | 01/15/2015 | 425,000 | 417,563 | |||||||||||||
Digicel Group Ltd. (Wireless Telecommunication Services) | (b) | 9.125% | 01/15/2015 | 487,000 | 480,304 | |||||||||||||
Digicel Ltd. (Wireless Telecommunication Services) | (b) | 12.000% | 04/01/2014 | 650,000 | 729,625 | |||||||||||||
Digicel Ltd. (Wireless Telecommunication Services) | (b) | 8.250% | 09/01/2017 | 425,000 | 422,875 | |||||||||||||
MetroPCS Wireless, Inc. (Wireless Telecommunication Services) | 9.250% | 11/01/2014 | 125,000 | 129,375 | ||||||||||||||
MetroPCS Wireless, Inc. (Wireless Telecommunication Services) | 9.250% | 11/01/2014 | 1,200,000 | 1,242,000 | ||||||||||||||
Nextel Communications, Inc. (Wireless Telecommunication Services) | 7.375% | 08/01/2015 | 1,200,000 | 1,146,000 | ||||||||||||||
Sprint Capital Corp. (Wireless Telecommunication Services) | 6.900% | 05/01/2019 | 2,050,000 | 1,865,500 | ||||||||||||||
Sprint Nextel Corp. (Wireless Telecommunication Services) | 6.000% | 12/01/2016 | 725,000 | 654,312 | ||||||||||||||
Sprint Nextel Corp. (Wireless Telecommunication Services) | 8.375% | 08/15/2017 | 325,000 | 326,625 | ||||||||||||||
Susser Holdings LLC / Susser Finance Corp. (Wireless Telecommunication Services) | (b) | 8.500% | 05/15/2016 | 125,000 | 125,625 | |||||||||||||
10,296,179 | ||||||||||||||||||
(continued)
65
Ohio National Fund, Inc. | High Income Bond Portfolio (Continued) |
Schedule of Investments | June 30, 2010 (Unaudited) |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||
UTILITIES – 1.9% | ||||||||||||||||||
Edison Mission Energy (Electric Utilities) | 7.750% | 06/15/2016 | $ | 250,000 | $ | 175,000 | ||||||||||||
Edison Mission Energy (Electric Utilities) | 7.000% | 05/15/2017 | 500,000 | 322,500 | ||||||||||||||
NV Energy, Inc. (Electric Utilities) | 6.750% | 08/15/2017 | 425,000 | 430,274 | ||||||||||||||
Texas Competitive Electric Holdings Co. LLC (Electric Utilities) | 10.250% | 11/01/2015 | 250,000 | 166,250 | ||||||||||||||
Texas Competitive Electric Holdings Co. LLC (Electric Utilities) | 10.250% | 11/01/2015 | 850,000 | 565,250 | ||||||||||||||
AmeriGas Partners LP (Gas Utilities) | 7.250% | 05/20/2015 | 425,000 | 427,125 | ||||||||||||||
AmeriGas Partners LP / AmeriGas Eagle Finance Corp. (Gas Utilities) | 7.125% | 05/20/2016 | 400,000 | 400,000 | ||||||||||||||
Suburban Propane Partners LP / Suburban Finance Corp. (Gas Utilities) | 7.375% | 03/15/2020 | 200,000 | 203,500 | ||||||||||||||
Dynegy Holdings, Inc. (Independent Power Producers & Energy Traders) | 7.750% | 06/01/2019 | 525,000 | 365,531 | ||||||||||||||
Energy Future Holdings Corp. (Independent Power Producers & Energy Traders) | 10.875% | 11/01/2017 | 100,000 | 74,500 | ||||||||||||||
NRG Energy, Inc. (Independent Power Producers & Energy Traders) | 7.250% | 02/01/2014 | 175,000 | 177,844 | ||||||||||||||
NRG Energy, Inc. (Independent Power Producers & Energy Traders) | 7.375% | 02/01/2016 | 775,000 | 773,062 | ||||||||||||||
NRG Energy, Inc. (Independent Power Producers & Energy Traders) | 7.375% | 01/15/2017 | 200,000 | 198,500 | ||||||||||||||
FPL Energy National Wind Portfolio LLC (Multi-Utilities) | (b) | 6.125% | 03/25/2019 | 235,181 | 230,746 | |||||||||||||
4,510,082 | ||||||||||||||||||
Total Corporate Bonds (Cost $185,410,501) | $ | 190,306,350 | ||||||||||||||||
Convertible Bonds – 0.1% | Rate | Maturity | Face Amount | Value | ||||||||||||||
INDUSTRIALS – 0.1% | ||||||||||||||||||
School Specialty, Inc. (Professional Services) | 3.750% | 11/30/2026 | $ | 225,000 | $ | 215,156 | ||||||||||||
Total Convertible Bonds (Cost $206,475) | $ | 215,156 | ||||||||||||||||
Preferred Stocks – 0.1% | Shares | Value | ||||||||||||||||
FINANCIALS – 0.1% | ||||||||||||||||||
Ally Financial, Inc. (Consumer Finance) | (b) | 346 | $ | 268,961 | ||||||||||||||
Total Preferred Stocks (Cost $0) | $ | 268,961 | ||||||||||||||||
Common Stocks – 0.1% | Shares | Value | ||||||||||||||||
CONSUMER DISCRETIONARY – 0.1% | ||||||||||||||||||
Dex One Corp. (Media) | (a) | 9,601 | $ | 182,419 | ||||||||||||||
Total Common Stocks (Cost $1,578,783) | $ | 182,419 | ||||||||||||||||
Other – 0.0% | Shares | Value | ||||||||||||||||
SuperMedia, Inc. Litigation Trust Interests (Acquired 01/04/2010, Cost $0) | (a)(c)(f) | 625,000 | $ | 4,688 | ||||||||||||||
Total Other (Cost $0) | $ | 4,688 | ||||||||||||||||
Money Market Funds – 0.7% | Shares | Value | ||||||||||||||||
Fidelity Institutional Money Market Funds Money Market Portfolio – Class I | 1,641,000 | $ | 1,641,000 | |||||||||||||||
Total Money Market Funds (Cost $1,641,000) | $ | 1,641,000 | ||||||||||||||||
Total Investments (Cost $188,836,759) – 83.3% | (h) | $ | 192,618,574 | |||||||||||||||
Other Assets in Excess of Liabilities – 16.7% | 38,523,684 | |||||||||||||||||
Net Assets – 100.0% | $ | 231,142,258 | ||||||||||||||||
Percentages are stated as a percent of net assets.
Footnotes:
(a) | Non-income producing security. | |
(b) | Security exempt from registration under Regulation D of the Securities Act of 1933. These securities may be resold in transactions exempt form registration, normally to qualified buyers under Rule 144A. At June 30, 2010, the value of these securities totaled $62,139,510 or 26.9% of the Portfolio’s net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Directors. | |
(c) | A market quotation for this investment was not readily available at June 30, 2010. As discussed in Note 2 of the Notes to Financial Statements, the price for this issue was derived from an estimate of fair market value using methods determined in good faith by the Fund’s Pricing Committee under the supervision of the Board. This security represents $4,688 or 0.0% of the Portfolio’s net assets. | |
(d) | Security is a variable rate instrument in which the coupon rate is adjusted quarterly, or semi-annually in concert with U.S. LIBOR. Interest rates stated are those in effect at June 30, 2010. | |
(e) | Represents a security that is in default. Unless otherwise noted by (f) below, these securities were deemed liquid pursuant to procedures approved by the Board of Directors. | |
(f) | Represents a security deemed to be illiquid. At June 30, 2010, the value of illiquid securities in the Portfolio totaled $604,227 or 0.3% of the Portfolio’s net assets. | |
(g) | Denotes a restricted security that is subject to a contractual restriction on public sales. At June 30, 2010, the value of this security totaled $395,500 or 0.2% of the Portfolio’s net assets. This security is deemed illiquid pursuant to procedures approved by the Board of Directors. | |
(h) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
66
Ohio National Fund, Inc. | Capital Growth Portfolio |
Objective/Strategy
The Capital Growth Portfolio seeks long-term capital appreciation by investing in and actively managing equity securities of small-cap growth companies.
Performance as of June 30, 2010
Average Annual Total Returns: | ||||
One year | 25.03% | |||
Five years | 3.74% | |||
Ten years | -4.05% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2010, the Capital Growth Portfolio returned 0.20% versus -2.31% for the current benchmark, the Russell 2000 Growth Index.
The Portfolio significantly outperformed the benchmark Russell 2000 Growth Index. On an absolute basis, the Portfolio is virtually flat for the first half of 2010, with the most significant loss in Financials and the strongest gain in Consumer Staples. Relative to the benchmark, Health Care had significant out-performance due to strong stock selection. Strong stock selection enabled Energy to outperform despite an over-weight position. Materials also outperformed.(1)
Our five strongest stocks were Thoratec Corp., Coinstar, Inc., Terra Industries, Inc., Titanium Metals Corp. and Psychiatric Solutions, Inc. Medical-device company Thoratec Corp. exhibited strong stock performance due to stronger-than-expected interest in left-ventricular-assist devices (LVADs) for the treatment of patients with end-stage heart failure. Thoratec Corp. is the market leader and likely will remain so for the next several years as the market grows rapidly. This will lead, in our opinion, to solid revenue and earnings growth. Self-service vending-machine operator Coinstar, Inc. appreciated after announcing a very strong second quarter and increasing its earnings guidance. Increased revenue from Redbox, which highlights the company’s earnings leverage, propelled the solid performance. Terra Industries, Inc. turned in a strong performance in the first quarter of 2010 as a bidding war for the company ended with CF Industries acquiring Terra Industries, Inc. Titanium Metals Corp. benefited from an improving outlook for titanium demand from the aerospace industry. Boeing, Titanium Metals Corp.’s largest customer, increased the production rates for several of its planes and made significant progress toward the long-delayed launch of the Boeing 787. Psychiatric Solutions, Inc., an inpatient behavioral healthcare provider, was acquired by Universal Health Services. We sold the stock for a nice gain.(1)
Relative to the benchmark, Information Technology was the most significant laggard due to disappointing performance from our semiconductor investments. Consumer Discretionary, Financials, and Industrials were also laggards.(1)
Our five most lagging stocks were Formfactor, Inc., Compellent Technologies, Inc., Genoptix, Inc., Bally Technologies, Inc. and Varian Semiconductor Equipment Associates, Inc. Formfactor, Inc., a supplier of testing equipment for computer memory, was supposed to benefit from a recovery in sales of computers and servers. However, the company has had several execution missteps, including trying to transition manufacturing to a lower-cost region during the recovery. At this point, the management team has been replaced and the company is sitting on strong design win activity that could lead to increased sales; further, the stock trades close to its cash level. Compellent Technologies, Inc., which provides storage solutions for commercial computer users, pulled back after margins came in below expectations due to heavy discounts used to lock in large strategic accounts. We sold the stock. Genoptix, Inc. is an independent clinical laboratory firm. The company has grown very rapidly, consistently beating estimates, but recently started hiring a significant number of new sales representatives in anticipation of ongoing growth. We believe that it will take several quarters to complete this process so we trimmed the stock. We believe both Formfactor, Inc. and Genoptix, Inc. are oversold and we are waiting for either a better exit price or a change in the current outlook. Slot-machine producer Bally Technologies, Inc. declined on fears of stalled spending by its customers. However, we continue to hold the stock because we believe those fears are already fully reflected in the stock price and that Bally Technologies, Inc. has growth opportunities from global expansion as well as new-product launches. Varian Semiconductor Equipment Associates, Inc. is a supplier of ion-implantation systems used to manufacture semiconductor products. The company has executed well, but shows up as a laggard due to our large position and since the stock is currently at the low end of its historic trading range. We continue to hold the stock as the company is the leader in its market and is also investing in research and development outside its core business.(1)
Equity markets continue to benefit from the global economic recovery. Cyclical stocks, benefiting from reduced capacity and leaner cost structures, are leading the charge. We believe earnings in the second quarter generally should be good. Comparisons are easy and earnings estimates are ratcheting higher as analysts underestimated the strength of the recovery. Based on mutual fund industry asset flows, retail investors that were still stung by the trauma of 2007 have been slow to re-enter equity markets. Their inevitable return also argues, in our view, for continued strength in equity markets. We believe the massive global government deficits over time, coupled with the budding economic recovery, should lead to weak currencies and rising long-term interest rates. Consequently, we have positioned the Portfolio to benefit from higher energy prices as well as companies that are aided from expanding interest-rate spreads.(1)
We remain positive on the Energy sector and continue to hold a strong bias toward companies with exposure to oil over natural gas companies. Natural gas inventories remain at relatively high levels despite extremely cold weather across much of the country this winter and a sharp decline in the rig count. The higher production of shale gas wells, in our view, will likely ensure that the domestic gas market is well supplied for the foreseeable future. In contrast, we believe oil prices will remain firm due to demand from emerging economies, such as China, where vehicle sales are poised for another record year in 2010.(1)
Within the Industrials sector, we have increased our exposure to commercial truck markets, which appears to us — particularly in the heavy-duty truck sector — to be poised to recover from long-depressed levels. We believe many truck suppliers, such as ArvinMeritor, Inc., will show substantial earnings growth heading
(continued)
67
Ohio National Fund, Inc. | Capital Growth Portfolio (Continued) |
into 2011. We have increased our exposure within both the Industrials and Materials sectors to the aerospace market, which has also shown surprising strength as the global economic recovery continues to unfold. Passenger traffic has risen year-over-year for six consecutive months and is only slightly below its peak in 2008, while the order books at Boeing and Airbus remain firm. Titanium Metals Corp. should benefit from this positive trend.(1)
We believe our Portfolio is positioned to benefit from an increase in short-term interest rates through our ownership of, among other holdings, optionsXpress Holdings, Inc. The company should, in our view, see its net-interest revenue expand as interest rates rise. We could see a benefit from a recovery in employment levels through First Commonwealth Financial Corp., which should see lower credit costs in a recovering economy. Stocks such as Cash America International, Inc. could benefit as demand for pawn loans increases if the economy takes longer than expected to recuperate.(1)
The signing of the health care-reform bill lifted the overhang that had been weighing on many industry groups within the health care sector due to a lack of clarity on reimbursement, the impact of the uninsured on the health care system, a possible excise tax, and structural changes. Many details have yet to be developed, but the framework for changes to the health care system is now enacted. We anticipated many of the changes and were well-positioned when President Obama signed the bill and health care stocks reacted to the new legislation. Some of the stocks we own that we believe will benefit from health care reform include Centene Corp., a Medicaid HMO that should benefit from the uninsured Americans who will now be eligible for state Medicaid insurance programs, and health care information technology providers Eclipsys Corp. and Quality Systems, Inc. These companies will continue to benefit from the American Recovery and Reinvestment Act of 2009, which will provide billions of dollars of government grants to hospitals and physicians offices that adopt electronic medical records.(1)
Consumer Discretionary stocks had another surprisingly good quarter in the face of continued high unemployment and tight consumer credit. We remain over-weighted in gaming-equipment suppliers (e.g., Bally Technologies, Inc.) because we believe the companies will benefit from the expansion of gaming spurred by states’ weak tax revenues. We also purchased Steven Madden Ltd., which has a strong line of reasonably priced shoes with a designer look, and American Axle & Manufacturing Holdings, Inc., which is benefiting from a recovery in the auto industry.(1)
In the Information Technology sector, we continue to believe that consumer and business demand will strengthen throughout the year, resulting in solid earnings growth. We believe valuation is likely to become more important to investors in the months ahead given the last twelve months’ strong rally. We continue to seek out what we view as reasonably valued growth companies that are leveraged to an improving economy or have company-specific growth stories. An example is Veeco Instruments, Inc., which is the second leading supplier of a specialized machine used to produce light-emitting diodes (LEDs), which are increasingly being used (in televisions, cell phones and general lighting applications) due to their low power use and efficiency.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2010. |
Change in Value of $10,000 Investment
Capital Growth | Russell 2000 | |||||||
Portfolio | Growth Index | |||||||
06/30/2000 | 10000 | 10000 | ||||||
12/31/2000 | 6737 | 7663 | ||||||
06/30/2001 | 6319 | 7666 | ||||||
12/31/2001 | 5753 | 6956 | ||||||
06/30/2002 | 4107 | 5749 | ||||||
12/31/2002 | 3333 | 4851 | ||||||
06/30/2003 | 3977 | 5789 | ||||||
12/31/2003 | 4670 | 7206 | ||||||
06/30/2004 | 5047 | 7615 | ||||||
12/31/2004 | 5590 | 8237 | ||||||
06/30/2005 | 5502 | 7941 | ||||||
12/31/2005 | 5737 | 8579 | ||||||
06/30/2006 | 6215 | 9100 | ||||||
12/31/2006 | 6891 | 9724 | ||||||
06/30/2007 | 8000 | 10631 | ||||||
12/31/2007 | 7665 | 10409 | ||||||
06/30/2008 | 7220 | 9479 | ||||||
12/31/2008 | 4878 | 6397 | ||||||
06/30/2009 | 5288 | 7124 | ||||||
12/31/2009 | 6598 | 8602 | ||||||
06/30/2010 | 6611 | 8404 |
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-083743/l40308l4030814.gif)
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 is a market-weighted total return index that measures the performance of companies within the Russell 2000 Index having higher price-to-book ratios and higher forecasted growth values. The Russell 2000 Index includes the 2000 firms from the Russell 3000 Index with the smallest market capitalizations. The Russell 3000 Index represents 98% of the investable U.S. equity market. The index presented herein includes the effects of reinvested dividends.
(continued)
68
Ohio National Fund, Inc. | Capital Growth Portfolio (Continued) |
Portfolio Composition as of June 30, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 99.5 | ||
Money Market Funds and Other Net Assets | 0.5 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2010 (1) (2)
% of Net Assets | |||||||
1. | Thoratec Corp. | 3.3 | |||||
2. | Rovi Corp. | 2.9 | |||||
3. | Lufkin Industries, Inc. | 2.8 | |||||
4. | Genesco, Inc. | 2.6 | |||||
5. | Cash America International, Inc. | 2.3 | |||||
6. | Eclipsys Corp. | 2.2 | |||||
7. | TIBCO Software, Inc. | 2.1 | |||||
8. | American Medical Systems Holdings, Inc. | 2.1 | |||||
9. | Vitamin Shoppe, Inc. | 2.1 | |||||
10. | GrafTech International Ltd. | 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) | Sectors: |
% of Net Assets | |||
Information Technology | 27.8 | ||
Health Care | 21.5 | ||
Consumer Discretionary | 17.3 | ||
Industrials | 14.8 | ||
Energy | 7.3 | ||
Financials | 5.6 | ||
Materials | 2.8 | ||
Consumer Staples | 2.4 | ||
99.5 | |||
69
Ohio National Fund, Inc. | Capital Growth Portfolio |
Schedule of Investments | June 30, 2010 (Unaudited) |
Common Stocks – 99.5% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 17.3% | ||||||||||
American Axle & Manufacturing Holdings, Inc. (Auto Components) | (a) | 46,235 | $ | 338,903 | ||||||
Coinstar, Inc. (Diversified Consumer Svs.) | (a) | 16,091 | 691,430 | |||||||
Sotheby’s (Diversified Consumer Svs.) | 16,600 | 379,642 | ||||||||
Bally Technologies, Inc. (Hotels, Restaurants & Leisure) | (a) | 18,695 | 605,531 | |||||||
BJ’s Restaurants, Inc. (Hotels, Restaurants & Leisure) | (a) | 28,180 | 665,048 | |||||||
Choice Hotels International, Inc. (Hotels, Restaurants & Leisure) | 8,786 | 265,425 | ||||||||
Shuffle Master, Inc. (Hotels, Restaurants & Leisure) | (a) | 62,716 | 502,355 | |||||||
Universal Electronics, Inc. (Household Durables) | (a) | 25,136 | 418,012 | |||||||
Chico’s FAS, Inc. (Specialty Retail) | 31,190 | 308,157 | ||||||||
Genesco, Inc. (Specialty Retail) | (a) | 35,336 | 929,690 | |||||||
Vitamin Shoppe, Inc. (Specialty Retail) | (a) | 29,578 | 758,676 | |||||||
Steven Madden Ltd. (Textiles, Apparel & Luxury Goods) | (a) | 11,994 | 378,051 | |||||||
6,240,920 | ||||||||||
CONSUMER STAPLES – 2.4% | ||||||||||
Herbalife Ltd. (Personal Products) | 8,595 | 395,800 | ||||||||
NBTY, Inc. (Personal Products) | (a) | 14,020 | 476,820 | |||||||
872,620 | ||||||||||
ENERGY – 7.3% | ||||||||||
Lufkin Industries, Inc. (Energy Equip. & Svs.) | 25,820 | 1,006,722 | ||||||||
OYO Geospace Corp. (Energy Equip. & Svs.) | (a) | 13,465 | 652,783 | |||||||
Unit Corp. (Energy Equip. & Svs.) | (a) | 3,825 | 155,257 | |||||||
Brigham Exploration Co. (Oil, Gas & Consumable Fuels) | (a) | 25,250 | 388,345 | |||||||
Oasis Petroleum, Inc. (Oil, Gas & Consumable Fuels) | (a) | 28,011 | 406,159 | |||||||
2,609,266 | ||||||||||
FINANCIALS – 5.6% | ||||||||||
Duff & Phelps Corp. Class A (Capital Markets) | 18,135 | 229,045 | ||||||||
Gleacher & Co., Inc. (Capital Markets) | (a) | 5,286 | 13,479 | |||||||
optionsXpress Holdings, Inc. (Capital Markets) | (a) | 10,760 | 169,362 | |||||||
First Commonwealth Financial Corp. (Commercial Banks) | 27,885 | 146,396 | ||||||||
UMB Financial Corp. (Commercial Banks) | 5,200 | 184,912 | ||||||||
Cash America International, Inc. (Consumer Finance) | 23,628 | 809,732 | ||||||||
Redwood Trust, Inc. (Real Estate Investment Trusts) | 19,101 | 279,639 | ||||||||
MGIC Investment Corp. (Thrifts & Mortgage Finance) | (a) | 27,877 | 192,073 | |||||||
2,024,638 | ||||||||||
HEALTH CARE – 21.5% | ||||||||||
BioMarin Pharmaceutical, Inc. (Biotechnology) | (a) | 15,455 | 293,027 | |||||||
Onyx Pharmaceuticals, Inc. (Biotechnology) | (a) | 11,985 | 258,756 | |||||||
Regeneron Pharmaceuticals, Inc. (Biotechnology) | (a) | 11,045 | 246,524 | |||||||
Seattle Genetics, Inc. (Biotechnology) | (a) | 11,190 | 134,168 | |||||||
American Medical Systems Holdings, Inc. (Health Care Equip. & Supplies) | (a) | 34,390 | 760,707 | |||||||
Cutera, Inc. (Health Care Equip. & Supplies) | (a) | 14,526 | 133,784 | |||||||
Thoratec Corp. (Health Care Equip. & Supplies) | (a) | 27,749 | 1,185,715 | |||||||
Amedisys, Inc. (Health Care Providers & Svs.) | (a) | 9,026 | 396,873 | |||||||
Centene Corp. (Health Care Providers & Svs.) | (a) | 18,595 | 399,792 | |||||||
Genoptix, Inc. (Health Care Providers & Svs.) | (a) | 14,515 | 249,658 | |||||||
Lincare Holdings, Inc. (Health Care Providers & Svs.) | (a) | 19,363 | 629,491 | |||||||
Eclipsys Corp. (Health Care Technology) | (a) | 43,637 | 778,484 | |||||||
MedAssets, Inc. (Health Care Technology) | (a) | 21,206 | 489,434 | |||||||
Quality Systems, Inc. (Health Care Technology) | 11,643 | 675,178 | ||||||||
Vital Images, Inc. (Health Care Technology) | (a) | 11,725 | 149,494 | |||||||
Bruker Corp. (Life Sciences Tools & Svs.) | (a) | 16,180 | 196,749 | |||||||
ICON PLC – ADR (Life Sciences Tools & Svs.) | (a) | 19,389 | 560,148 | |||||||
Salix Pharmaceuticals Ltd (Pharmaceuticals) | (a) | 5,340 | 208,420 | |||||||
7,746,402 | ||||||||||
INDUSTRIALS – 14.8% | ||||||||||
Triumph Group, Inc. (Aerospace & Defense) | 5,697 | 379,591 | ||||||||
Geo Group, Inc. / The (Commercial Svs. & Supplies) | (a) | 35,135 | 729,051 | |||||||
Ritchie Bros Auctioneers, Inc. (Commercial Svs. & Supplies) | 15,388 | 280,369 | ||||||||
Waste Connections, Inc. (Commercial Svs. & Supplies) | (a) | 19,673 | 686,391 | |||||||
Northwest Pipe Co. (Construction & Engineering) | (a) | 15,825 | 300,675 | |||||||
GrafTech International Ltd. (Electrical Equip.) | (a) | 51,140 | 747,667 | |||||||
Regal-Beloit Corp. (Electrical Equip.) | 11,067 | 617,317 | ||||||||
ArvinMeritor, Inc. (Machinery) | (a) | 32,725 | 428,698 | |||||||
WABCO Holdings, Inc. (Machinery) | (a) | 18,506 | 582,569 | |||||||
Landstar System, Inc. (Road & Rail) | 14,775 | 576,077 | ||||||||
5,328,405 | ||||||||||
INFORMATION TECHNOLOGY – 27.8% | ||||||||||
EMS Technologies, Inc. (Communications Equip.) | (a) | 27,785 | 417,331 | |||||||
Riverbed Technology, Inc. (Communications Equip.) | (a) | 16,135 | 445,649 | |||||||
Netezza Corp. (Computers & Peripherals) | (a) | 36,445 | 498,568 | |||||||
Coherent, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 17,095 | 586,359 | |||||||
DTS, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 21,130 | 694,543 | |||||||
Monster Worldwide, Inc. (Internet Software & Svs.) | (a) | 24,045 | 280,124 | |||||||
Formfactor, Inc. (Semiconductors & Equip.) | (a) | 44,333 | 478,796 | |||||||
ON Semiconductor Corp. (Semiconductors & Equip.) | (a) | 81,333 | 518,905 | |||||||
Rubicon Technology, Inc. (Semiconductors & Equip.) | (a) | 14,595 | 434,785 | |||||||
Teradyne, Inc. (Semiconductors & Equip.) | (a) | 31,245 | 304,639 | |||||||
Varian Semiconductor Equipment Associates, Inc. (Semiconductors & Equip.) | (a) | 25,865 | 741,291 | |||||||
Veeco Instruments, Inc. (Semiconductors & Equip.) | (a) | 12,130 | 415,816 | |||||||
ANSYS, Inc. (Software) | (a) | 17,830 | 723,363 | |||||||
ArcSight, Inc. (Software) | (a) | 12,746 | 285,383 | |||||||
Informatica Corp. (Software) | (a) | 29,595 | 706,729 | |||||||
Radiant Systems, Inc. (Software) | (a) | 16,785 | 242,711 | |||||||
Rovi Corp. (Software) | (a) | 27,710 | 1,050,486 | |||||||
SuccessFactors, Inc. (Software) | (a) | 18,897 | 392,869 | |||||||
TIBCO Software, Inc. (Software) | (a) | 63,591 | 766,907 | |||||||
9,985,254 | ||||||||||
MATERIALS – 2.8% | ||||||||||
Huntsman Corp. (Chemicals) | 75,917 | 658,200 | ||||||||
Titanium Metals Corp. (Metals & Mining) | (a) | 20,420 | 359,188 | |||||||
1,017,388 | ||||||||||
Total Common Stocks (Cost $30,802,143) | $ | 35,824,893 | ||||||||
Warrants – 0.0% | Quantity | Value | ||||||||
INFORMATION TECHNOLOGY – 0.0% | ||||||||||
Lantronix, Inc. (Communications Equipment) | ||||||||||
Expiration: February, 2011, Exercise Price: $28.08 | (a)(b) | 305 | $ | — | ||||||
Total Warrants (Cost $0) | $ | — | ||||||||
(continued)
70
Ohio National Fund, Inc. | Capital Growth Portfolio (Continued) |
Schedule of Investments | June 30, 2010 (Unaudited) |
Money Market Funds – 0.1% | Shares | Value | ||||||||
Fidelity Institutional Money Market Funds Money Market Portfolio – Class I | 30,000 | $ | 30,000 | |||||||
Total Money Market Funds (Cost $30,000) | $ | 30,000 | ||||||||
Total Investments – 99.6% (Cost $30,832,143) | (c) | $ | 35,854,893 | |||||||
Other Assets in Excess of Liabilities – 0.4% | 133,018 | |||||||||
Net Assets – 100.0% | $ | 35,987,911 | ||||||||
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depository Receipts
Footnotes:
(a) | Non-income producing security. | |
(b) | Market quotations for these investments were not readily available at June 30, 2010. As discussed in Note 2 of the Notes to Financial Statements, prices for these issues were derived from estimates of fair market value using methods determined in good faith by the Fund’s Pricing Committee under the supervision of the Board. At June 30, 2010, the value of these securities totaled $0 or 0.0% of the Portfolio’s net assets. | |
(c) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
71
Ohio National Fund, Inc. | Nasdaq-100® Index Portfolio |
Objective/Strategy
The Nasdaq-100® Index Portfolio seeks long-term growth of capital by investing primarily in stocks that are included in the Nasdaq-100® Index. Unlike other the other Portfolios of the Fund, the Nasdaq-100® Index Portfolio is a non-diversified portfolio for purposes of Section 5(b) of the Investment Company Act of 1940, as amended.
Performance as of June 30, 2010
Average Annual Total Returns: | ||||
One year | 17.89% | |||
Five years | 3.08% | |||
Ten years | -7.58% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2010, the Nasdaq-100® Index Portfolio returned -6.28% versus -6.17% for the current benchmark, the Nasdaq-100® Index.
The correlation to the index for the year was 99.8%. The high correlation is due to the fact that the Portfolio invests in each of the 100 stocks in the index. The Portfolio also invests in PowerShares QQQ, an exchange traded fund that mimics the holdings and returns of the Nasdaq-100® Index.(1)
The top five stock holdings were Apple, Inc., Microsoft Corp., Google, Inc., QUALCOMM, Inc., and Oracle Corp. The largest contributors to the index return were Apple, Inc. Baidu Inc., SanDisk Corp., Wynn Resorts Ltd., and Illumina, Inc. The largest detractors were QUALCOMM, Inc., Google, Inc., Microsoft Corp., Research in Motion Ltd., and Gilead Sciences, Inc.(1)
Stocks had a good first quarter in 2010, but then retreated in the second quarter mainly due to sovereign debt concerns and fear that the U.S. and world economies might enter into a double dip recession. The U.S. Federal Reserve is expected to keep the discount rate around zero through an accommodative monetary policy for the rest of the year. Economists expect strong corporate earnings for the rest of 2010. Unemployment, the housing market, and continued sovereign debt risks in the Euro-zone are issues to keep an eye on for the balance of 2010.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2010. |
The Nasdaq-100®, Nasdaq-100 Index®, and Nasdaq® are registered trademarks of The NASDAQ OMX Group, Inc. (which with its affiliates is referred to as “NASDAQ OMX”). Ohio National Investments, Inc. has licensed these marks for the Portfolio’s use. NASDAQ OMX has not passed on the Portfolio’s legality or suitability. NASDAQ OMX does not sponsor, endorse, sell or promote the Portfolio. NASDAQ OMX MAKES NO WARRANTIES AND BEARS NO LIABILITY WITH RESPECT TO THE PORTFOLIO.
Change in Value of $10,000 Investment
Nasdaq-100fi Index | Nasdaq-100fi Index | |||||||
Portfolio | ||||||||
06/30/2000 | 10000 | 10000 | ||||||
12/31/2000 | 6182 | 6223 | ||||||
06/30/2001 | 4802 | 4865 | ||||||
12/31/2001 | 4162 | 4193 | ||||||
06/30/2002 | 2761 | 2797 | ||||||
12/31/2002 | 2609 | 2619 | ||||||
06/30/2003 | 3168 | 3202 | ||||||
12/31/2003 | 3858 | 3915 | ||||||
06/30/2004 | 3980 | 4050 | ||||||
12/31/2004 | 4244 | 4336 | ||||||
06/30/2005 | 3909 | 4004 | ||||||
12/31/2005 | 4305 | 4419 | ||||||
06/30/2006 | 4122 | 4240 | ||||||
12/31/2006 | 4589 | 4740 | ||||||
06/30/2007 | 5046 | 5230 | ||||||
12/31/2007 | 5442 | 5652 | ||||||
06/30/2008 | 4792 | 4992 | ||||||
12/31/2008 | 3157 | 3303 | ||||||
06/30/2009 | 3858 | 4043 | ||||||
12/31/2009 | 4853 | 5106 | ||||||
06/30/2010 | 4548 | 4791 |
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-083743/l40308l4030815.gif)
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting. Investors cannot invest in an index. Although they can invest in its underlying securities or funds.
The Nasdaq-100® Index is a modified capitalization-weighted index of the 100 largest domestic and international non-financial companies listed on the National Market tier of The NASDAQ Stock Market. The index presented herein includes the effects of reinvested dividends.
(continued)
72
Ohio National Fund, Inc. | Nasdaq-100® Index Portfolio (Continued) |
Portfolio Composition as of June 30, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 98.0 | ||
Exchange Traded Funds | 1.0 | ||
Other Net Assets | 1.0 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2010 (1) (2)
% of Net Assets | |||||||
1. | Apple, Inc. | 19.6 | |||||
2. | Microsoft Corp. | 4.3 | |||||
3. | Google, Inc. Class A | 4.1 | |||||
4. | QUALCOMM, Inc. | 4.0 | |||||
5. | Oracle Corp. | 2.8 | |||||
6. | Cisco Systems, Inc. | 2.7 | |||||
7. | Teva Pharmaceutical Industries Ltd. – ADR | 2.4 | |||||
8. | Intel Corp. | 2.3 | |||||
9. | Amazon.com, Inc. | 2.0 | |||||
10. | Gilead Sciences, Inc. | 1.8 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Information Technology | 62.2 | ||
Health Care | 15.0 | ||
Consumer Discretionary | 14.2 | ||
Industrials | 3.8 | ||
Telecommunication Services | 1.7 | ||
Consumer Staples | 0.8 | ||
Materials | 0.3 | ||
98.0 | |||
73
Ohio National Fund, Inc. | Nasdaq-100® Index Portfolio |
Schedule of Investments | June 30, 2010 (Unaudited) |
Common Stocks – 98.0% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 14.2% | ||||||||||
Apollo Group, Inc. Class A (Diversified Consumer Svs.) | (a) | 3,650 | $ | 155,015 | ||||||
Starbucks Corp. (Hotels, Restaurants & Leisure) | 24,675 | 599,602 | ||||||||
Wynn Resorts Ltd. (Hotels, Restaurants & Leisure) | 3,200 | 244,064 | ||||||||
Garmin Ltd. (Household Durables) | 4,400 | 128,392 | ||||||||
Amazon.com, Inc. (Internet & Catalog Retail) | (a) | 7,050 | 770,283 | |||||||
Expedia, Inc. (Internet & Catalog Retail) | 6,650 | 124,887 | ||||||||
Liberty Media Corp. – Interactive (Internet & Catalog Retail) | (a) | 13,050 | 137,025 | |||||||
priceline.com, Inc. (Internet & Catalog Retail) | (a) | 1,200 | 211,848 | |||||||
Mattel, Inc. (Leisure Equip. & Products) | 9,925 | 210,013 | ||||||||
Comcast Corp. Class A (Media) | 34,447 | 598,344 | ||||||||
DIRECTV Class A (Media) | (a) | 15,375 | 521,520 | |||||||
DISH Network Corp. Class A (Media) | 5,135 | 93,200 | ||||||||
News Corp. Class A (Media) | 33,925 | 405,743 | ||||||||
Virgin Media, Inc. (Media) | 8,050 | 134,355 | ||||||||
Sears Holdings Corp. (Multiline Retail) | (a) | 2,850 | 184,253 | |||||||
Bed Bath & Beyond, Inc. (Specialty Retail) | (a) | 8,425 | 312,399 | |||||||
O’Reilly Automotive, Inc. (Specialty Retail) | (a) | 3,275 | 155,759 | |||||||
Ross Stores, Inc. (Specialty Retail) | 2,950 | 157,206 | ||||||||
Staples, Inc. (Specialty Retail) | 11,675 | 222,409 | ||||||||
Urban Outfitters, Inc. (Specialty Retail) | (a) | 4,000 | 137,560 | |||||||
5,503,877 | ||||||||||
CONSUMER STAPLES – 0.8% | ||||||||||
Costco Wholesale Corp. (Food & Staples Retailing) | 5,535 | 303,484 | ||||||||
HEALTH CARE – 15.0% | ||||||||||
Amgen, Inc. (Biotechnology) | (a) | 10,622 | 558,717 | |||||||
Biogen Idec, Inc. (Biotechnology) | (a) | 6,900 | 327,405 | |||||||
Celgene Corp. (Biotechnology) | (a) | 10,875 | 552,667 | |||||||
Cephalon, Inc. (Biotechnology) | (a) | 1,750 | 99,312 | |||||||
Genzyme Corp. (Biotechnology) | (a) | 7,975 | 404,891 | |||||||
Gilead Sciences, Inc. (Biotechnology) | (a) | 20,875 | 715,595 | |||||||
Vertex Pharmaceuticals, Inc. (Biotechnology) | (a) | 5,025 | 165,322 | |||||||
DENTSPLY International, Inc. (Health Care Equip. & Supplies) | 3,350 | 100,198 | ||||||||
Hologic, Inc. (Health Care Equip. & Supplies) | (a) | 6,475 | 90,197 | |||||||
Intuitive Surgical, Inc. (Health Care Equip. & Supplies) | (a) | 925 | 291,949 | |||||||
Express Scripts, Inc. (Health Care Providers & Svs.) | (a) | 11,650 | 547,783 | |||||||
Henry Schein, Inc. (Health Care Providers & Svs.) | (a) | 2,175 | 119,407 | |||||||
Patterson Cos., Inc. (Health Care Providers & Svs.) | 2,805 | 80,027 | ||||||||
Cerner Corp. (Health Care Technology) | (a) | 1,950 | 147,986 | |||||||
Illumina, Inc. (Life Sciences Tools & Svs.) | (a) | 2,850 | 124,061 | |||||||
Life Technologies Corp. (Life Sciences Tools & Svs.) | (a) | 4,400 | 207,900 | |||||||
QIAGEN NV (Life Sciences Tools & Svs.) | (a) | 5,600 | 107,632 | |||||||
Mylan, Inc. (Pharmaceuticals) | (a) | 7,475 | 127,374 | |||||||
Teva Pharmaceutical Industries Ltd. – ADR (Pharmaceuticals) | 17,585 | 914,244 | ||||||||
Warner Chilcott PLC Class A (Pharmaceuticals) | (a) | 5,975 | 136,529 | |||||||
5,819,196 | ||||||||||
INDUSTRIALS – 3.8% | ||||||||||
CH Robinson Worldwide, Inc. (Air Freight & Logistics) | 3,900 | 217,074 | ||||||||
Expeditors International of Washington, Inc. (Air Freight & Logistics) | 4,975 | 171,687 | ||||||||
Cintas Corp. (Commercial Svs. & Supplies) | 4,375 | 104,869 | ||||||||
Stericycle, Inc. (Commercial Svs. & Supplies) | (a) | 2,125 | 139,358 | |||||||
Foster Wheeler AG (Construction & Engineering) | (a) | 3,175 | 66,866 | |||||||
Joy Global, Inc. (Machinery) | 2,400 | 120,216 | ||||||||
PACCAR, Inc. (Machinery) | 9,739 | 388,294 | ||||||||
JB Hunt Transport Services, Inc. (Road & Rail) | 3,025 | 98,827 | ||||||||
Fastenal Co. (Trading Companies & Distributors) | 3,350 | 168,136 | ||||||||
1,475,327 | ||||||||||
INFORMATION TECHNOLOGY – 62.2% | ||||||||||
Cisco Systems, Inc. (Communications Equip.) | (a) | 48,575 | 1,035,133 | |||||||
QUALCOMM, Inc. (Communications Equip.) | 47,095 | 1,546,600 | ||||||||
Research In Motion Ltd. (Communications Equip.) | (a) | 13,275 | 653,926 | |||||||
Apple, Inc. (Computers & Peripherals) | (a) | 30,220 | 7,601,237 | |||||||
Dell, Inc. (Computers & Peripherals) | (a) | 17,150 | 206,829 | |||||||
Logitech International SA (Computers & Peripherals) | (a) | 4,075 | 54,646 | |||||||
NetApp, Inc. (Computers & Peripherals) | (a) | 8,585 | 320,306 | |||||||
SanDisk Corp. (Computers & Peripherals) | (a) | 5,575 | 234,540 | |||||||
Seagate Technology (Computers & Peripherals) | (a) | 11,575 | 150,938 | |||||||
Flextronics International Ltd. (Electronic Equip., Instr. & Comp.) | (a) | 21,050 | 117,880 | |||||||
FLIR Systems, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 3,825 | 111,269 | |||||||
Baidu, Inc. – ADR (Internet Software & Svs.) | (a) | 6,475 | 440,818 | |||||||
eBay, Inc. (Internet Software & Svs.) | (a) | 23,210 | 455,148 | |||||||
Google, Inc. Class A (Internet Software & Svs.) | (a) | 3,550 | 1,579,572 | |||||||
VeriSign, Inc. (Internet Software & Svs.) | (a) | 4,105 | 108,988 | |||||||
Yahoo!, Inc. (Internet Software & Svs.) | (a) | 15,860 | 219,344 | |||||||
Automatic Data Processing, Inc. (IT Svs.) | 8,475 | 341,204 | ||||||||
Cognizant Technology Solutions Corp. Class A (IT Svs.) | (a) | 6,950 | 347,917 | |||||||
Fiserv, Inc. (IT Svs.) | (a) | 4,537 | 207,159 | |||||||
Infosys Technologies Ltd. – ADR (IT Svs.) | 2,600 | 155,766 | ||||||||
Paychex, Inc. (IT Svs.) | 8,170 | 212,175 | ||||||||
Altera Corp. (Semiconductors & Equip.) | 10,100 | 250,581 | ||||||||
Applied Materials, Inc. (Semiconductors & Equip.) | 16,550 | 198,931 | ||||||||
Broadcom Corp. Class A (Semiconductors & Equip.) | 9,575 | 315,688 | ||||||||
First Solar, Inc. (Semiconductors & Equip.) | (a) | 1,775 | 202,048 | |||||||
Intel Corp. (Semiconductors & Equip.) | 46,395 | 902,383 | ||||||||
KLA-Tencor Corp. (Semiconductors & Equip.) | 4,900 | 136,612 | ||||||||
Lam Research Corp. (Semiconductors & Equip.) | (a) | 3,100 | 117,986 | |||||||
Linear Technology Corp. (Semiconductors & Equip.) | 7,130 | 198,285 | ||||||||
Marvell Technology Group Ltd. (Semiconductors & Equip.) | (a) | 14,650 | 230,884 | |||||||
Maxim Integrated Products, Inc. (Semiconductors & Equip.) | 7,075 | 118,365 | ||||||||
Microchip Technology, Inc. (Semiconductors & Equip.) | 3,650 | 101,251 | ||||||||
NVIDIA Corp. (Semiconductors & Equip.) | (a) | 13,387 | 136,681 | |||||||
Xilinx, Inc. (Semiconductors & Equip.) | 8,730 | 220,520 | ||||||||
Activision Blizzard, Inc. (Software) | 26,450 | 277,461 | ||||||||
Adobe Systems, Inc. (Software) | (a) | 12,280 | 324,560 | |||||||
Autodesk, Inc. (Software) | (a) | 5,700 | 138,852 | |||||||
BMC Software, Inc. (Software) | (a) | 5,025 | 174,016 | |||||||
CA, Inc. (Software) | 11,775 | 216,660 | ||||||||
Check Point Software Technologies Ltd. (Software) | (a) | 4,895 | 144,305 | |||||||
Citrix Systems, Inc. (Software) | (a) | 5,250 | 221,708 | |||||||
Electronic Arts, Inc. (Software) | (a) | 7,905 | 113,832 | |||||||
Intuit, Inc. (Software) | (a) | 9,430 | 327,881 | |||||||
Microsoft Corp. (Software) | 71,825 | 1,652,693 | ||||||||
Oracle Corp. (Software) | 49,935 | 1,071,605 | ||||||||
Symantec Corp. (Software) | (a) | 19,898 | 276,184 | |||||||
24,171,367 | ||||||||||
MATERIALS – 0.3% | ||||||||||
Sigma-Aldrich Corp. (Chemicals) | 2,775 | 138,278 | ||||||||
TELECOMMUNICATION SERVICES – 1.7% | ||||||||||
Millicom International Cellular SA (Wireless Telecom. Svs.) | 2,500 | 202,675 | ||||||||
NII Holdings, Inc. (Wireless Telecom. Svs.) | (a) | 3,875 | 126,015 | |||||||
Vodafone Group PLC – ADR (Wireless Telecom. Svs.) | 15,525 | 320,902 | ||||||||
649,592 | ||||||||||
Total Common Stocks (Cost $33,535,778) | $ | 38,061,121 | ||||||||
(continued)
74
Ohio National Fund, Inc. | Nasdaq-100® Index Portfolio (Continued) |
Schedule of Investments | June 30, 2010 (Unaudited) |
Exchange Traded Funds – 1.0% | Shares | Value | ||||||||
PowerShares QQQ | 9,265 | $ | 395,708 | |||||||
Total Exchange Traded Funds (Cost $430,651) | $ | 395,708 | ||||||||
Total Investments – 99.0% (Cost $33,966,429) | (b) | $ | 38,456,829 | |||||||
Other Assets in Excess of Liabilities – 1.0% | 380,246 | |||||||||
Net Assets – 100.0% | $ | 38,837,075 | ||||||||
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depository Receipts
Footnotes:
(a) | Non-income producing security. | |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
75
Ohio National Fund, Inc. | Bristol Portfolio |
Objective/Strategy
The Bristol Portfolio seeks long-term growth of capital by investing primarily in common stocks of the 1,000 largest publicly traded U.S. companies in terms of market capitalization.
Performance as of June 30, 2010
Average Annual Total Returns: | ||||
One year | 10.24% | |||
Five years | -0.18% | |||
Since inception (5/1/02) | 2.09% |
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-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2010, the Bristol Portfolio returned -8.18% versus -6.65% for the current benchmark, the S&P 500 Index.
There were three main reasons the equity markets performed so miserably during the first half of 2010. First, there seemed to be widespread fear that economic weakness in Greece, perhaps leading to eventual sovereign debt default was spreading across Europe, into weaker economies such as Spain, Italy and Portugal, and perhaps even into England. Even without actual debt default, the perception of cutbacks in federal stimulus in these countries seemed to put at risk the promise of stimulated expectation of growth. The weak Euro and weakening economies also focused investors of ongoing problems in European banks, and the spillover effect that more bank failures might have on the global economies.
Secondly, rightfully or wrongfully, it seemed that the world’s main engine of growth, China, began seeing signs of a slowing economy, and perhaps a growing real estate bubble. The news was vague coming out of China. On one hand, U.S. strategists felt the growth was not sustainable, and wished China would take steps to throttle growth. When such steps were taken, such as higher interest rates, and greater deposits for homes, these same strategists became worried that growth was perhaps slowing too much.
Thirdly, U.S. investors began to take a dimmer view on policies from Washington. The financial reform bill seems that it will be passed in a fairly harsh and punitive tone, singling out large banks and Wall Street for the accumulated real estate problems for two decades. Further analysis of the health care reform bill began to question the savings associated with the legislation, the stimulus spending was proving to be inadequate in truly leading to private sector expansion, and fears of increased taxes, along with carbon taxes, might be preventing private companies from spending their cash hoards on new investments in a timelier manner.
The Portfolio’s over-weight in Financials, principally in large banks and insurance companies, was the main cause of under-performance, along with too much exposure to commodities. As mentioned, the banks were singled out by Washington in the financial overhaul bill, and Bank of America Corp., Wells Fargo & Co., JPMorgan Chase & Co., and Morgan Stanley all under-performed. The life insurance companies were primarily hit because of fears of foreign debt exposure, even though it is minimal in the companies we own, as well as perhaps the unknown of the cost of the derivative legislation proposed in the financial reform bill. MetLife, Inc. and Lincoln National Corp. both were down by approximately 8% on average.(1)
Perceived China and global economic weakness hit Dow Chemical Co., Teck Resources Ltd., Freeport-McMoRan Copper & Gold, Inc., Caterpillar, Inc. as well as other cyclicals. We sold Freeport-McMoRan Copper & Gold, Inc., and part of Teck Resources Ltd., but would look to buy them back when the fears of a global slowdown reach a crescendo.(1)
The major investment policy change we made was reducing our exposure to Consumer Discretionary. We have sold NIKE, Inc., Royal Caribbean Cruises Ltd., American Express Co., Bed Bath & Beyond, Inc., Lowe’s Companies, Inc., V.F. Corp. and most recently have been reducing McDonald’s Corp., Tiffany & Co., and Target Corp. Job growth does not seem to be resuming. The cost of the federal deficit, possibly in the short term but most probably in the long term, is going to squeeze out private investments; likely making this recovery anemic. American workers fortunate enough to have jobs will be forced to save more and spend less; and those that don’t will continue to become a necessary, but very expensive, burden on society. The length of time that millions have been out of work is making it more improbable that they will ever return to the workforce at anything close to their original productivity.(1)
Fortunately, we sold Transocean Ltd. days prior to its implosion as it reached our valuation target. We sold Anadarko Petroleum Corp. at $62 (considerably higher than its June 30, 2010 closing price of $36.09 per share), as we and the rest of the world slowly became aware of the extent of the BP disaster, and the economic consequences.(1)
We believe the stock market is not expensive. On a forward price to earnings basis, it is apparently trading at only 12 times 2011 numbers. On 2012 projected numbers, the market is trading at only 10 times earnings. Obviously, if the economy double dips, these numbers are rather meaningless. We are taking a rather cautious view of the economy for now. We continue to over-weight Financials, because most companies in the sector don’t need a strong economy to rid themselves of bad credit and return to normal returns on capital. As mentioned, we are under-weighted in consumer cyclicals and discretionary-type stocks, and now are over-weighted in food stocks. Health care is still problematic as pricing is under siege around the world on pharmaceuticals, including generics, and medical technology procedures and devices.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2010. |
(continued)
76
Ohio National Fund, Inc. | Bristol Portfolio (Continued) |
Change in Value of $10,000 Investment
S&P 500 | ||||||||
Bristol Portfolio | Index | |||||||
05/01/2002 | 10000 | 10000 | ||||||
06/30/2002 | 8950 | 9138 | ||||||
12/31/2002 | 7900 | 8197 | ||||||
06/30/2003 | 8811 | 9161 | ||||||
12/31/2003 | 10464 | 10548 | ||||||
06/30/2004 | 10695 | 10911 | ||||||
12/31/2004 | 11366 | 11696 | ||||||
06/30/2005 | 11954 | 11601 | ||||||
12/31/2005 | 12734 | 12270 | ||||||
06/30/2006 | 13174 | 12602 | ||||||
12/31/2006 | 14824 | 14208 | ||||||
06/30/2007 | 15878 | 15197 | ||||||
12/31/2007 | 15974 | 14989 | ||||||
06/30/2008 | 14413 | 13203 | ||||||
12/31/2008 | 9497 | 9443 | ||||||
06/30/2009 | 10744 | 9742 | ||||||
12/31/2009 | 12900 | 11942 | ||||||
06/30/2010 | 11844 | 11148 |
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-083743/l40308l4030816.gif)
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 herein includes the effects of reinvested dividends.
Portfolio Composition as of June 30, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 89.6 | ||
Money Market Funds and Other Net Assets | 10.4 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2010 (1) (2)
% of Net Assets | |||||||
1. | Merck & Co., Inc. | 2.4 | |||||
2. | International Business Machines Corp. | 2.4 | |||||
3. | JPMorgan Chase & Co. | 2.3 | |||||
4. | Apple, Inc. | 2.3 | |||||
5. | MetLife, Inc. | 2.2 | |||||
6. | Prudential Financial, Inc. | 2.2 | |||||
7. | Citigroup, Inc. | 2.2 | |||||
8. | Wells Fargo & Co. | 2.1 | |||||
9. | Cisco Systems, Inc. | 2.0 | |||||
10. | EOG Resources, Inc. | 1.9 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Information Technology | 21.3 | ||
Financials | 18.6 | ||
Consumer Discretionary | 10.3 | ||
Consumer Staples | 8.9 | ||
Energy | 8.7 | ||
Industrials | 8.6 | ||
Health Care | 7.3 | ||
Materials | 5.9 | ||
89.6 | |||
77
Ohio National Fund, Inc. | Bristol Portfolio |
Schedule of Investments | June 30, 2010 (Unaudited) |
Common Stocks – 89.6% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 10.3% | ||||||||||
Darden Restaurants, Inc. (Hotels, Restaurants & Leisure) | 54,400 | $ | 2,113,440 | |||||||
McDonald’s Corp. (Hotels, Restaurants & Leisure) | 29,900 | 1,969,513 | ||||||||
Yum! Brands, Inc. (Hotels, Restaurants & Leisure) | 69,500 | 2,713,280 | ||||||||
Viacom, Inc. Class B (Media) | 61,900 | 1,941,803 | ||||||||
Walt Disney Co. / The (Media) | 86,800 | 2,734,200 | ||||||||
Target Corp. (Multiline Retail) | 42,300 | 2,079,891 | ||||||||
Tiffany & Co. (Specialty Retail) | 46,900 | 1,777,979 | ||||||||
15,330,106 | ||||||||||
CONSUMER STAPLES – 8.9% | ||||||||||
Coca-Cola Co. / The (Beverages) | 56,000 | 2,806,720 | ||||||||
Molson Coors Brewing Co. Class B (Beverages) | 48,200 | 2,041,752 | ||||||||
PepsiCo, Inc. (Beverages) | 43,900 | 2,675,705 | ||||||||
Wal-Mart Stores, Inc. (Food & Staples Retailing) | 42,200 | 2,028,554 | ||||||||
Campbell Soup Co. (Food Products) | 45,800 | 1,641,014 | ||||||||
Ralcorp Holdings, Inc. (Food Products) | (a) | 36,300 | 1,989,240 | |||||||
13,182,985 | ||||||||||
ENERGY – 8.7% | ||||||||||
Apache Corp. (Oil, Gas & Consumable Fuels) | 10,900 | 917,671 | ||||||||
Devon Energy Corp. (Oil, Gas & Consumable Fuels) | 27,200 | 1,657,024 | ||||||||
EOG Resources, Inc. (Oil, Gas & Consumable Fuels) | 28,900 | 2,842,893 | ||||||||
Hess Corp. (Oil, Gas & Consumable Fuels) | 46,800 | 2,355,912 | ||||||||
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 33,500 | 2,584,525 | ||||||||
Southwestern Energy Co. (Oil, Gas & Consumable Fuels) | (a) | 65,100 | 2,515,464 | |||||||
12,873,489 | ||||||||||
FINANCIALS – 18.6% | ||||||||||
State Street Corp. (Capital Markets) | 70,400 | 2,380,928 | ||||||||
SunTrust Banks, Inc. (Commercial Banks) | 84,000 | 1,957,200 | ||||||||
Wells Fargo & Co. (Commercial Banks) | 123,300 | 3,156,480 | ||||||||
Bank of America Corp. (Diversified Financial Svs.) | 183,100 | 2,631,147 | ||||||||
Citigroup, Inc. (Diversified Financial Svs.) | (a) | 854,300 | 3,212,168 | |||||||
JPMorgan Chase & Co. (Diversified Financial Svs.) | 94,400 | 3,455,984 | ||||||||
Hartford Financial Services Group, Inc. (Insurance) | 78,200 | 1,730,566 | ||||||||
Lincoln National Corp. (Insurance) | 109,700 | 2,664,613 | ||||||||
MetLife, Inc. (Insurance) | 87,500 | 3,304,000 | ||||||||
Prudential Financial, Inc. (Insurance) | 60,400 | 3,241,064 | ||||||||
27,734,150 | ||||||||||
HEALTH CARE – 7.3% | ||||||||||
Amgen, Inc. (Biotechnology) | (a) | 33,600 | 1,767,360 | |||||||
Hospira, Inc. (Health Care Equip. & Supplies) | (a) | 48,100 | 2,763,345 | |||||||
Zimmer Holdings, Inc. (Health Care Equip. & Supplies) | (a) | 38,800 | 2,097,140 | |||||||
Merck & Co., Inc. (Pharmaceuticals) | 102,200 | 3,573,934 | ||||||||
Pfizer, Inc. (Pharmaceuticals) | 48,400 | 690,184 | ||||||||
10,891,963 | ||||||||||
INDUSTRIALS – 8.6% | ||||||||||
Goodrich Corp. (Aerospace & Defense) | 24,200 | 1,603,250 | ||||||||
Honeywell International, Inc. (Aerospace & Defense) | 65,500 | 2,556,465 | ||||||||
United Parcel Service, Inc. Class B (Air Freight & Logistics) | 44,700 | 2,542,983 | ||||||||
3M Co. (Industrial Conglomerates) | 31,300 | 2,472,387 | ||||||||
General Electric Co. (Industrial Conglomerates) | 86,000 | 1,240,120 | ||||||||
Caterpillar, Inc. (Machinery) | 39,100 | 2,348,737 | ||||||||
12,763,942 | ||||||||||
INFORMATION TECHNOLOGY – 21.3% | ||||||||||
Cisco Systems, Inc. (Communications Equip.) | (a) | 139,500 | 2,972,745 | |||||||
QUALCOMM, Inc. (Communications Equip.) | 81,500 | 2,676,460 | ||||||||
Apple, Inc. (Computers & Peripherals) | (a) | 13,600 | 3,420,808 | |||||||
Dell, Inc. (Computers & Peripherals) | (a) | 210,200 | 2,535,012 | |||||||
Hewlett-Packard Co. (Computers & Peripherals) | 58,800 | 2,544,864 | ||||||||
Google, Inc. Class A (Internet Software & Svs.) | (a) | 5,900 | 2,625,205 | |||||||
International Business Machines Corp. (IT Svs.) | 28,800 | 3,556,224 | ||||||||
Intel Corp. (Semiconductors & Equip.) | 73,600 | 1,431,520 | ||||||||
Maxim Integrated Products, Inc. (Semiconductors & Equip.) | 119,600 | 2,000,908 | ||||||||
SunPower Corp. Class B (Semiconductors & Equip.) | (a) | 138,700 | 1,497,960 | |||||||
Texas Instruments, Inc. (Semiconductors & Equip.) | 76,300 | 1,776,264 | ||||||||
Microsoft Corp. (Software) | 94,200 | 2,167,542 | ||||||||
Oracle Corp. (Software) | 115,300 | 2,474,338 | ||||||||
31,679,850 | ||||||||||
MATERIALS – 5.9% | ||||||||||
Air Products & Chemicals, Inc. (Chemicals) | 35,800 | 2,320,198 | ||||||||
Dow Chemical Co. / The (Chemicals) | 94,800 | 2,248,656 | ||||||||
Praxair, Inc. (Chemicals) | 37,100 | 2,819,229 | ||||||||
Teck Resources Ltd. (Metals & Mining) | 46,900 | 1,387,302 | ||||||||
8,775,385 | ||||||||||
Total Common Stocks (Cost $140,180,612) | $ | 133,231,870 | ||||||||
Money Market Funds – 2.9% | Shares | Value | ||||||||
Fidelity Institutional Money Market Funds | ||||||||||
Money Market Portfolio – Class I | 4,231,000 | $ | 4,231,000 | |||||||
Total Money Market Funds (Cost $4,231,000) | $ | 4,231,000 | ||||||||
Total Investments – 92.5% (Cost $144,411,612) | (b) | $ | 137,462,870 | |||||||
Other Assets in Excess of Liabilities – 7.5% | 11,162,033 | |||||||||
Net Assets – 100.0% | $ | 148,624,903 | ||||||||
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depository Receipts
Footnotes:
(a) | Non-income producing security. | |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
78
Ohio National Fund, Inc. | Bryton Growth Portfolio |
Objective/Strategy
The Bryton Growth Portfolio seeks long-term growth of capital by investing primarily in common stocks of growth-oriented U.S. companies smaller than the 500 largest publicly traded U.S. companies in terms of market capitalization.
Performance as of June 30, 2010
Average Annual Total Returns: | ||||
One year | 10.68% | |||
Five years | 1.52% | |||
Since inception (5/1/02) | 0.40% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more, or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2010, the Bryton Growth Portfolio returned -6.22% versus -2.31% for the current benchmark, the Russell 2000 Growth Index.
The equity markets, after rallying back from a steep February sell off, declined in the second quarter as the situation in Greece continued to deteriorate and the risk of the crisis spreading to other regions overwhelmed positive company profitability news. At the same time, China was attempting to slow its overheated real estate market, as investors worried that it may slow its economy too much. Recently, employment statistics raised the prospect of a double-dip recession.
The Portfolio’s overall sector weighting did not contribute significantly to performance. Sector positioning contributed 22 basis points. Our biggest under-weight was in Health Care. The sector under-performed the benchmark slightly due to, initially, uncertainty of regulations, and then due to the prospect of pricing pressure as governments around the globe look to enact austerity plans and cut expenses. We continue to under-weight this sector, as these pressures will not abate in the near term.(1)
On the other hand, our biggest over-weight sector, Information Technology, under-performed due to concerns about the strength of the semiconductor cycle. Investors worried the cycle might have reached a near-term peak as inventory restocking was near an end, and weakening consumer confidence will slow the adoption of smart phones, replacement of computers, and /or purchasing of new TVs. We continue to be over-weight the sector as valuations are reasonable. We expect that aging corporate information technology equipment is due for replacement and global smartphone adoption will bring better profits for many technology companies.(1)
During the period, the biggest change we made in sector weightings occurred in Industrials. We added Acuity Brands, Inc., a lighting equipment manufacturer that is growing market share in lighting controls and energy-efficient relighting, Olin Corp., a producer of chlor-alkali products that is experiencing greater pricing power, EnerNOC, Inc., which provides technology to utilities to monitor and control electricity capacity and to consumers to better manage their electricity consumption. We sold UAL Corp., as it reached our price target after announcing a merger with rival Continental Airlines.(1)
On the other hand, we reduced our Energy exposure. We sold Carrizo Oil & Co., Inc. as lower energy prices caused liquidity issues and impacted the company’s growth prospect. We also sold Dril-Quip, Inc., a manufacturer of offshore drilling and production equipment. The BP drilling accident led to a drilling moratorium imposed by the U.S. Government, which negatively affected demand for Dril-Quip, Inc.’s products.(1)
Year to date, positive contributors to performance included a position in UAL Corp., which added 65 basis points. The company saw a rebound of profitability on the recovery of business travel, and it is merging with rival Continental Airlines. Portfolio Recovery Associates, Inc. added 56 basis points as the company continues to see a favorable purchasing environment for charged off debts and improved cash collections. Finish Line, Inc. and Childrens Place Retail Stores, Inc. added 47 basis points and 46 basis points, respectively, due to increased consumer spending. Rounding out the top five contributors to the period, Salix Pharmaceuticals Ltd. added 46 basis points on approval of Xifaxan for hepatic encephalopathy.(1)
Formfactor, Inc., a semiconductor equipment maker, was a significant detractor. The company saw significant margin degradation as they had trouble ramping the new Asian facility to meet improving demand, therefore missing fulfilling some orders and lost share costing the Portfolio 64 basis points year to date. Talbots, Inc. hurt performance by 63 basis points as the company needs to increase marketing spending more than expected, and Liz Claiborne, Inc., continued to struggle with its Mexx and Lucky brands, costing the Portfolio 51 basis points. Emulex Corp. encountered an elevated inventory as storage spending decelerated and it made a dilutive acquisition costing the Portfolio 47 basis points. InterMune, Inc. hurt performance by 46 basis points as the Food & Drug Administration, against its own advisory panel’s recommendation, declined to approve its lead drug Pirfenidone, used for the treatment of Idiopathic Pulmonary Fibrosis.(1)
There is no denying that the global economy is going through an uncertain period, and we began to see earnings revisions turn negative. The Russell 2000 Growth index had declined over 15% from its recent high. Though valuations are not unreasonable, investors are likely to continue to lower their risk profiles until they can get better visibility on systemic and sovereign risks. We are adopting a cautious view and have reduced our exposure to pure cyclically-oriented stocks.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2010. |
(continued)
79
Ohio National Fund, Inc. | Bryton Growth Portfolio (Continued) |
Change in Value of $10,000 Investment
Bryton Growth | Russell 2000 | |||||||
Portfolio | Growth Index | |||||||
05/01/2002 | 10000 | 10000 | ||||||
06/30/2002 | 8170 | 8635 | ||||||
12/31/2002 | 6880 | 7286 | ||||||
06/30/2003 | 8140 | 8694 | ||||||
12/31/2003 | 9330 | 10822 | ||||||
06/30/2004 | 9280 | 11437 | ||||||
12/31/2004 | 10030 | 12370 | ||||||
06/30/2005 | 9580 | 11927 | ||||||
12/31/2005 | 10462 | 12884 | ||||||
06/30/2006 | 10902 | 13666 | ||||||
12/31/2006 | 12213 | 14604 | ||||||
06/30/2007 | 13673 | 15966 | ||||||
12/31/2007 | 13421 | 15633 | ||||||
06/30/2008 | 12525 | 14237 | ||||||
12/31/2008 | 8115 | 9608 | ||||||
06/30/2009 | 9333 | 10699 | ||||||
12/31/2009 | 11015 | 12920 | ||||||
06/30/2010 | 10330 | 12621 |
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-083743/l40308l4030817.gif)
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 is a market-weighted total return index that measures the performance of companies within the Russell 2000 Index having higher price-to-book ratios and higher forecasted growth values. The Russell 2000 Index includes the 2000 firms from the Russell 3000 Index with the smallest market capitalizations. The Russell 3000 Index represents 98% of the investable U.S. equity market. The index presented herein includes the effects of reinvested dividends.
Portfolio Composition as of June 30, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 93.8 | ||
Money Market Funds Less Net Liabilities | 6.2 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2010 (1) (2)
% of Net Assets | |||||||
1. | American Medical Systems Holdings, Inc. | 2.1 | |||||
2. | Arthrocare Corp. | 2.0 | |||||
3. | Clean Energy Fuels Corp. | 2.0 | |||||
4. | athenahealth, Inc. | 2.0 | |||||
5. | Childrens Place Retail Stores, Inc. / The | 1.9 | |||||
6. | Genesee & Wyoming, Inc. Class A | 1.9 | |||||
7. | TIBCO Software, Inc. | 1.9 | |||||
8. | Sapient Corp. | 1.9 | |||||
9. | Portfolio Recovery Associates, Inc. | 1.9 | |||||
10. | Quest Software, Inc. | 1.9 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Information Technology | 32.5 | ||
Health Care | 17.8 | ||
Consumer Discretionary | 17.1 | ||
Industrials | 15.7 | ||
Financials | 5.2 | ||
Energy | 3.8 | ||
Materials | 1.7 | ||
93.8 | |||
80
Ohio National Fund, Inc. | Bryton Growth Portfolio |
Schedule of Investments | June 30, 2010 (Unaudited) |
Common Stocks – 93.8% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 17.1% | ||||||||||
Cooper Tire & Rubber Co. (Auto Components) | 100,000 | $ | 1,950,000 | |||||||
California Pizza Kitchen, Inc. (Hotels, Restaurants & Leisure) | (a) | 120,000 | 1,818,000 | |||||||
Cheesecake Factory, Inc. / The (Hotels, Restaurants & Leisure) | (a) | 40,000 | 890,400 | |||||||
Pinnacle Entertainment, Inc. (Hotels, Restaurants & Leisure) | (a) | 150,000 | 1,419,000 | |||||||
Tupperware Brands Corp. (Household Durables) | 40,000 | 1,594,000 | ||||||||
Bebe Stores, Inc. (Specialty Retail) | 250,000 | 1,600,000 | ||||||||
Childrens Place Retail Stores, Inc. / The (Specialty Retail) | (a) | 47,000 | 2,068,940 | |||||||
Gymboree Corp. (Specialty Retail) | (a) | 28,000 | 1,195,880 | |||||||
Talbots, Inc. (Specialty Retail) | (a) | 140,000 | 1,443,400 | |||||||
Tractor Supply Co. (Specialty Retail) | 25,000 | 1,524,250 | ||||||||
Liz Claiborne, Inc. (Textiles, Apparel & Luxury Goods) | (a) | 250,000 | 1,055,000 | |||||||
Warnaco Group, Inc. / The (Textiles, Apparel & Luxury Goods) | (a) | 48,000 | 1,734,720 | |||||||
18,293,590 | ||||||||||
ENERGY – 3.8% | ||||||||||
Arena Resources, Inc. (Oil, Gas & Consumable Fuels) | (a) | 30,000 | 957,000 | |||||||
Brigham Exploration Co. (Oil, Gas & Consumable Fuels) | (a) | 70,000 | 1,076,600 | |||||||
Clean Energy Fuels Corp. (Oil, Gas & Consumable Fuels) | (a) | 140,000 | 2,091,600 | |||||||
4,125,200 | ||||||||||
FINANCIALS – 5.2% | ||||||||||
Knight Capital Group, Inc. Class A (Capital Markets) | (a) | 130,000 | 1,792,700 | |||||||
Stifel Financial Corp. (Capital Markets) | (a) | 40,000 | 1,735,600 | |||||||
Portfolio Recovery Associates, Inc. (Diversified Financial Svs.) | (a) | 30,000 | 2,003,400 | |||||||
5,531,700 | ||||||||||
HEALTH CARE – 17.8% | ||||||||||
Allos Therapeutics, Inc. (Biotechnology) | (a) | 162,900 | 998,577 | |||||||
Exelixis, Inc. (Biotechnology) | (a) | 95,000 | 329,650 | |||||||
Incyte Corp Ltd. (Biotechnology) | (a) | 90,000 | 996,300 | |||||||
InterMune, Inc. (Biotechnology) | (a) | 55,000 | 514,250 | |||||||
Pharmasset, Inc. (Biotechnology) | (a) | 42,600 | 1,164,684 | |||||||
Rigel Pharmaceuticals, Inc. (Biotechnology) | (a) | 130,239 | 937,721 | |||||||
Savient Pharmaceuticals, Inc. (Biotechnology) | (a) | 100,000 | 1,260,000 | |||||||
American Medical Systems Holdings, Inc. (Health Care Equip. & Supplies) | (a) | 100,000 | 2,212,000 | |||||||
Arthrocare Corp. (Health Care Equip. & Supplies) | (a) | 70,000 | 2,145,500 | |||||||
Sirona Dental Systems, Inc. (Health Care Equip. & Supplies) | (a) | 52,000 | 1,811,680 | |||||||
athenahealth, Inc. (Health Care Technology) | (a) | 80,000 | 2,090,400 | |||||||
Eclipsys Corp. (Health Care Technology) | (a) | 85,000 | 1,516,400 | |||||||
Affymetrix, Inc. (Life Sciences Tools & Svs.) | (a) | 200,000 | 1,180,000 | |||||||
Salix Pharmaceuticals Ltd. (Pharmaceuticals) | (a) | 50,000 | 1,951,500 | |||||||
19,108,662 | ||||||||||
INDUSTRIALS – 15.7% | ||||||||||
Aerovironment, Inc. (Aerospace & Defense) | (a) | 25,000 | 543,250 | |||||||
EnerNOC, Inc. (Commercial Svs. & Supplies) | (a) | 25,000 | 786,000 | |||||||
Tetra Tech, Inc. (Commercial Svs. & Supplies) | (a) | 90,000 | 1,764,900 | |||||||
MasTec, Inc. (Construction & Engineering) | (a) | 175,000 | 1,645,000 | |||||||
Michael Baker Corp. (Construction & Engineering) | (a) | 36,000 | 1,256,400 | |||||||
Acuity Brands, Inc. (Electrical Equip.) | 45,000 | 1,637,100 | ||||||||
GrafTech International Ltd. (Electrical Equip.) | (a) | 100,000 | 1,462,000 | |||||||
Actuant Corp. Class A (Machinery) | 95,000 | 1,788,850 | ||||||||
Astec Industries, Inc. (Machinery) | (a) | 57,000 | 1,580,610 | |||||||
Columbus McKinnon Corp. (Machinery) | (a) | 60,000 | 838,200 | |||||||
Energy Recovery, Inc. (Machinery) | (a) | 80,000 | 320,000 | |||||||
Genco Shipping & Trading Ltd. (Marine) | (a) | 80,000 | 1,199,200 | |||||||
Genesee & Wyoming, Inc. Class A (Road & Rail) | (a) | 55,000 | 2,052,050 | |||||||
16,873,560 | ||||||||||
INFORMATION TECHNOLOGY – 32.5% | ||||||||||
Ciena Corp. (Communications Equip.) | (a) | 130,000 | 1,648,400 | |||||||
Emulex Corp. (Communications Equip.) | (a) | 150,000 | 1,377,000 | |||||||
Harmonic, Inc. (Communications Equip.) | (a) | 200,000 | 1,088,000 | |||||||
Infinera Corp. (Communications Equip.) | (a) | 180,000 | 1,157,400 | |||||||
Riverbed Technology, Inc. (Communications Equip.) | (a) | 60,000 | 1,657,200 | |||||||
comScore, Inc. (Internet Software & Svs.) | (a) | 75,000 | 1,235,250 | |||||||
Digital River, Inc. (Internet Software & Svs.) | (a) | 75,000 | 1,793,250 | |||||||
SAVVIS, Inc. (Internet Software & Svs.) | (a) | 112,300 | 1,656,425 | |||||||
Sapient Corp. (IT Svs.) | 200,000 | 2,028,000 | ||||||||
Advanced Energy Industries, Inc. (Semiconductors & Equip.) | (a) | 120,000 | 1,474,800 | |||||||
Cavium Networks, Inc. (Semiconductors & Equip.) | (a) | 50,000 | 1,309,500 | |||||||
Formfactor, Inc. (Semiconductors & Equip.) | (a) | 70,000 | 756,000 | |||||||
Micrel, Inc. (Semiconductors & Equip.) | 140,000 | 1,425,200 | ||||||||
Semtech Corp. (Semiconductors & Equip.) | (a) | 90,000 | 1,473,300 | |||||||
Skyworks Solutions, Inc. (Semiconductors & Equip.) | (a) | 50,000 | 839,500 | |||||||
TriQuint Semiconductor, Inc. (Semiconductors & Equip.) | (a) | 280,000 | 1,710,800 | |||||||
Volterra Semiconductor Corp. (Semiconductors & Equip.) | (a) | 70,000 | 1,614,200 | |||||||
Zoran Corp. (Semiconductors & Equip.) | (a) | 190,000 | 1,812,600 | |||||||
Informatica Corp. (Software) | (a) | 70,000 | 1,671,600 | |||||||
Kenexa Corp. (Software) | (a) | 135,000 | 1,620,000 | |||||||
Quest Software, Inc. (Software) | (a) | 110,000 | 1,984,400 | |||||||
Solera Holdings, Inc. (Software) | 40,000 | 1,448,000 | ||||||||
TIBCO Software, Inc. (Software) | (a) | 170,000 | 2,050,200 | |||||||
34,831,025 | ||||||||||
MATERIALS – 1.7% | ||||||||||
Olin Corp. (Chemicals) | 100,000 | 1,809,000 | ||||||||
Total Common Stocks (Cost $100,397,535) | $ | 100,572,737 | ||||||||
Money Market Funds – 10.8% | Shares | Value | ||||||||
Federated Prime Cash Obligations Fund Institutional Class | 5,638,000 | $ | 5,638,000 | |||||||
Fidelity Institutional Money Market Funds Money Market Portfolio – Class I | 5,638,000 | 5,638,000 | ||||||||
Fidelity Institutional Money Market Funds Prime Money Market Portfolio – Class I | 292,000 | 292,000 | ||||||||
Total Money Market Funds (Cost $11,568,000) | $ | 11,568,000 | ||||||||
Total Investments – 104.6% (Cost $111,965,535) | (b) | $ | 112,140,737 | |||||||
Liabilities in Excess of Other Assets – (4.6)% | (4,965,756 | ) | ||||||||
Net Assets – 100.0% | $ | 107,174,981 | ||||||||
Percentages are stated as a percent of net assets.
Footnotes:
(a) | Non-income producing security. | |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
81
Ohio National Fund, Inc. | U.S. Equity Portfolio |
Objective/Strategy
The U.S. Equity Portfolio seeks capital appreciation with a secondary objective of capital preservation to provide long term growth by investing at least 80% of its net assets in equity securities traded in the U.S. within under-priced sectors and industries.
Performance as of June 30, 2010
Average Annual Total Returns: | ||||
One year | 9.06% | |||
Five years | -6.34% | |||
Since inception (5/1/04) | -2.73% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2010, the U.S. Equity Portfolio returned -10.59% versus -6.03% for the current benchmark, the S&P Composite 1500 Index.
The first half of 2010 presented a market full of sector-based theme changes and increasing volatility as investors faced a barrage of economic concerns. Sovereign debt problems, economic recovery questions, and persistent unemployment created an environment where investor sentiment remained on edge.
The first quarter of 2010 began with a quick nineteen day rally, led primarily by cyclical-based sectors such as Industrials, Financials, Energy, and Materials. However, this move was quickly reversed as economic data points began to drop and concerns surrounding growth in China arose. This led to the first sector-based theme change as the market decline was led by those same cyclical sectors — Materials, Financials, and Energy — that showed strength during the initial rally. Going into February, we began to see a disconnect between economic concerns and fundamental value as our value-to-price (V/P) ratio for the overall market reached 1.18. Investors must have recognized this as well and stocks began their longest rally of the year, returning over 15% in just over two months. Unfortunately, this rally was short lived and the quarter ended with a strong decline led by the Energy, Consumer Discretionary, and Materials sectors.
From an economic standpoint, we continue to see data points that suggest an economic recovery remains underway. According to the Institute for Supply Management’s (ISM) data, manufacturing has shown the largest percentage increase since 1982, as this area of the economy continues to show the most improvement. Thanks to government incentives, the decline in the housing industry has flattened out as buyers came out in droves to take advantage of the homebuyer tax credit. In spite of a record amount of worldwide stimulus, domestic inflation remains well below target indicating the Federal Reserve can remain accommodative and maintain interest rates at historically low levels well into the future. However, concerns still remain as persistent unemployment could hamper the longevity of the recovery and drag down near term growth prospects.
Top industry contributors to performance included; gold, railroads, health care services, health care distributors, and home improvement retail. Both over-weight positions and strong stock selection helped overall performance in these industries. Largest industry detractors to performance included; system software, integrated oil & gas, other diversified financial services, steel, and data processing & outsourced services. Over-weight positions and/or weak stock selection in these under-performing industries significantly detracted from overall performance.(1)
Based on valuations, the Portfolio began 2010 with approximately 84% of the Portfolio in large-cap issues. As more value became available in smaller cap names, large cap names were decreased throughout the quarter to end with an approximate 78% tilt.(1)
The five best performers were Newmont Mining Corp., Union Pacific Corp., Apple, Inc., Parker Hannifin Corp., & Express Scripts, Inc. The five worst performers were Microsoft Corp., Freeport-McMoRan Copper & Gold, Inc., Bank of America Corp., Hewlett-Packard Co., & Steel Dynamics, Inc.(1)
Entering the third quarter of 2010, we recorded an overall market V/P ratio of 1.32, indicating that our system sees a significant amount of value in this market. To put this number in context, the only time we have seen a larger value over the last few years is just prior to the strong equity rally of 2009, as we recorded a value to price ratio of 1.45 on March 9th of 2009. In general, we believe at this time investors have spent too much time worrying about economic issues and as a result market prices have disconnected from fundamental value. Because we see value in the market, the Portfolio is currently fully invested and heavily tilted towards cyclical-based sectors in anticipation of a market turnaround.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2010. |
Change in Value of $10,000 Investment
U.S. Equity | S&P Composite | |||||||
Portfolio | 1500 Index | |||||||
05/01/2004 | 10000 | 10000 | ||||||
06/30/2004 | 10210 | 10357 | ||||||
12/31/2004 | 11710 | 11142 | ||||||
06/30/2005 | 11700 | 11107 | ||||||
12/31/2005 | 12730 | 11772 | ||||||
06/30/2006 | 13310 | 12131 | ||||||
12/31/2006 | 13739 | 13578 | ||||||
06/30/2007 | 15023 | 14584 | ||||||
12/31/2007 | 15549 | 14320 | ||||||
06/30/2008 | 12872 | 12728 | ||||||
12/31/2008 | 8089 | 9061 | ||||||
06/30/2009 | 7731 | 9376 | ||||||
12/31/2009 | 9430 | 11530 | ||||||
06/30/2010 | 8431 | 10835 |
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-083743/l40308l4030818.gif)
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The S&P Composite 1500 Index is a broad-based capitalization-weighted index of 1500 U.S. companies and is comprised of the S&P 400, S&P 500, and the S&P 600. The index was developed with a base value of 100 as of December 30, 1994. The index presented herein includes the effects of reinvested dividends.
(continued)
82
Ohio National Fund, Inc. | U.S. Equity Portfolio (Continued) |
Portfolio Composition as of June 30, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 98.8 | ||
Money Market Funds and Other Net Assets | 1.2 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2010 (1) (2)
% of Net Assets | |||||||
1. | Microsoft Corp. | 3.1 | |||||
2. | General Electric Co. | 3.0 | |||||
3. | Tyco International Ltd. | 2.6 | |||||
4. | Aflac, Inc. | 2.6 | |||||
5. | Hewlett-Packard Co. | 2.5 | |||||
6. | Prudential Financial, Inc. | 2.5 | |||||
7. | Time Warner Cable, Inc. | 2.2 | |||||
8. | Wells Fargo & Co. | 2.1 | |||||
9. | Chevron Corp. | 2.1 | |||||
10. | Caterpillar, 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) | Sectors: |
% of Net Assets | |||
Industrials | 26.1 | ||
Financials | 20.0 | ||
Consumer Discretionary | 17.7 | ||
Information Technology | 15.4 | ||
Materials | 10.2 | ||
Energy | 6.9 | ||
Health Care | 2.5 | ||
98.8 | |||
83
Ohio National Fund, Inc. | U.S. Equity Portfolio |
Schedule of Investments | June 30, 2010 (Unaudited) |
Common Stocks – 98.8% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 17.7% | ||||||||||
McDonald’s Corp. (Hotels, Restaurants & Leisure) | 2,070 | $ | 136,351 | |||||||
Arbitron, Inc. (Media) | 6,700 | 171,721 | ||||||||
Omnicom Group, Inc. (Media) | 3,310 | 113,533 | ||||||||
Time Warner Cable, Inc. (Media) | 4,900 | 255,192 | ||||||||
Time Warner, Inc. (Media) | 4,250 | 122,868 | ||||||||
Viacom, Inc. Class B (Media) | 3,950 | 123,912 | ||||||||
Walt Disney Co. / The (Media) | 3,930 | 123,795 | ||||||||
Family Dollar Stores, Inc. (Multiline Retail) | 5,190 | 195,611 | ||||||||
Target Corp. (Multiline Retail) | 4,580 | 225,199 | ||||||||
Best Buy Co., Inc. (Specialty Retail) | 3,030 | 102,596 | ||||||||
GameStop Corp. Class A (Specialty Retail) | (a) | 4,230 | 79,482 | |||||||
Guess?, Inc. (Specialty Retail) | 3,360 | 104,966 | ||||||||
TJX Cos., Inc. (Specialty Retail) | 2,750 | 115,363 | ||||||||
NIKE, Inc. Class B (Textiles, Apparel & Luxury Goods) | 660 | 44,583 | ||||||||
VF Corp. (Textiles, Apparel & Luxury Goods) | 1,060 | 75,451 | ||||||||
Wolverine World Wide, Inc. (Textiles, Apparel & Luxury Goods) | 2,480 | 62,546 | ||||||||
2,053,169 | ||||||||||
ENERGY – 6.9% | ||||||||||
Alpha Natural Resources, Inc. (Oil, Gas & Consumable Fuels) | (a) | 2,040 | 69,095 | |||||||
Chevron Corp. (Oil, Gas & Consumable Fuels) | 3,640 | 247,010 | ||||||||
ConocoPhillips (Oil, Gas & Consumable Fuels) | 4,190 | 205,687 | ||||||||
Exxon Mobil Corp. (Oil, Gas & Consumable Fuels) | 1,930 | 110,145 | ||||||||
Massey Energy Co. (Oil, Gas & Consumable Fuels) | 1,680 | 45,948 | ||||||||
Valero Energy Corp. (Oil, Gas & Consumable Fuels) | 7,010 | 126,040 | ||||||||
803,925 | ||||||||||
FINANCIALS – 20.0% | ||||||||||
Credicorp Ltd. (Commercial Banks) | 970 | 88,163 | ||||||||
U.S. Bancorp (Commercial Banks) | 6,060 | 135,441 | ||||||||
Wells Fargo & Co. (Commercial Banks) | 9,720 | 248,832 | ||||||||
Cash America International, Inc. (Consumer Finance) | 6,870 | 235,435 | ||||||||
Dollar Financial Corp. (Consumer Finance) | (a) | 5,530 | 109,439 | |||||||
Bank of America Corp. (Diversified Financial Svs.) | 15,730 | 226,040 | ||||||||
JPMorgan Chase & Co. (Diversified Financial Svs.) | 4,920 | 180,121 | ||||||||
Aflac, Inc. (Insurance) | 6,920 | 295,276 | ||||||||
Allstate Corp. / The (Insurance) | 8,550 | 245,642 | ||||||||
Hartford Financial Services Group, Inc. (Insurance) | 2,800 | 61,964 | ||||||||
Prudential Financial, Inc. (Insurance) | 5,320 | 285,471 | ||||||||
Tower Group, Inc. (Insurance) | 9,170 | 197,430 | ||||||||
2,309,254 | ||||||||||
HEALTH CARE – 2.5% | ||||||||||
Celgene Corp. (Biotechnology) | (a) | 580 | 29,476 | |||||||
Genzyme Corp. (Biotechnology) | (a) | 1,250 | 63,463 | |||||||
Patterson Cos., Inc. (Health Care Providers & Svs.) | 3,410 | 97,287 | ||||||||
Thermo Fisher Scientific, Inc. (Life Sciences Tools & Svs.) | (a) | 1,990 | 97,610 | |||||||
287,836 | ||||||||||
INDUSTRIALS – 26.1% | ||||||||||
Alliant Techsystems, Inc. (Aerospace & Defense) | (a) | 1,690 | 104,881 | |||||||
General Dynamics Corp. (Aerospace & Defense) | 2,070 | 121,219 | ||||||||
Honeywell International, Inc. (Aerospace & Defense) | 4,010 | 156,510 | ||||||||
FedEx Corp. (Air Freight & Logistics) | 1,540 | 107,969 | ||||||||
United Parcel Service, Inc. Class B (Air Freight & Logistics) | 2,010 | 114,349 | ||||||||
Continental Airlines, Inc. Class B (Airlines) | (a) | 8,420 | 185,240 | |||||||
Delta Air Lines, Inc. (Airlines) | (a) | 10,980 | 129,015 | |||||||
Cooper Industries PLC (Electrical Equip.) | 2,710 | 119,240 | ||||||||
Emerson Electric Co. (Electrical Equip.) | 860 | 37,573 | ||||||||
Thomas & Betts Corp. (Electrical Equip.) | (a) | 5,050 | 175,235 | |||||||
General Electric Co. (Industrial Conglomerates) | 24,150 | 348,243 | ||||||||
Siemens AG – ADR (Industrial Conglomerates) | 1,530 | 136,981 | ||||||||
Tyco International Ltd. (Industrial Conglomerates) | 8,450 | 297,694 | ||||||||
Caterpillar, Inc. (Machinery) | 4,090 | 245,686 | ||||||||
Eaton Corp. (Machinery) | 1,800 | 117,792 | ||||||||
Harsco Corp. (Machinery) | 2,380 | 55,930 | ||||||||
Illinois Tool Works, Inc. (Machinery) | 4,060 | 167,597 | ||||||||
Parker Hannifin Corp. (Machinery) | 1,090 | 60,451 | ||||||||
Navios Maritime Holdings, Inc. (Marine) | 14,930 | 69,723 | ||||||||
CSX Corp. (Road & Rail) | 2,740 | 135,986 | ||||||||
Union Pacific Corp. (Road & Rail) | 1,920 | 133,459 | ||||||||
3,020,773 | ||||||||||
INFORMATION TECHNOLOGY – 15.4% | ||||||||||
Cisco Systems, Inc. (Communications Equip.) | (a) | 4,590 | 97,813 | |||||||
Research In Motion Ltd. (Communications Equip.) | (a) | 1,550 | 76,353 | |||||||
Apple, Inc. (Computers & Peripherals) | (a) | 730 | 183,617 | |||||||
Hewlett-Packard Co. (Computers & Peripherals) | 6,660 | 288,245 | ||||||||
Avnet, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 2,460 | 59,311 | |||||||
Accenture PLC Class A (IT Svs.) | 3,120 | 120,588 | ||||||||
International Business Machines Corp. (IT Svs.) | 1,650 | 203,742 | ||||||||
Mastercard, Inc. Class A (IT Svs.) | 720 | 143,662 | ||||||||
Visa, Inc. (IT Svs.) | 2,110 | 149,282 | ||||||||
Intel Corp. (Semiconductors & Equip.) | 5,030 | 97,833 | ||||||||
Microsoft Corp. (Software) | 15,520 | 357,115 | ||||||||
1,777,561 | ||||||||||
MATERIALS – 10.2% | ||||||||||
Dow Chemical Co. / The (Chemicals) | 4,790 | 113,619 | ||||||||
FMC Corp. (Chemicals) | 2,180 | 125,197 | ||||||||
RPM International, Inc. (Chemicals) | 6,030 | 107,575 | ||||||||
Barrick Gold Corp. (Metals & Mining) | 1,780 | 80,830 | ||||||||
Freeport-McMoRan Copper & Gold, Inc. (Metals & Mining) | 3,690 | 218,190 | ||||||||
Newmont Mining Corp. (Metals & Mining) | 1,210 | 74,705 | ||||||||
Nucor Corp. (Metals & Mining) | 5,930 | 227,000 | ||||||||
Steel Dynamics, Inc. (Metals & Mining) | 18,070 | 238,343 | ||||||||
1,185,459 | ||||||||||
Total Common Stocks (Cost $11,964,054) | $ | 11,437,977 | ||||||||
Money Market Funds – 1.2% | Shares | Value | ||||||||
Fidelity Institutional Money Market Funds Money Market Portfolio – Class I | 136,000 | $ | 136,000 | |||||||
Total Money Market Funds (Cost $136,000) | $ | 136,000 | ||||||||
Total Investments – 100.0% (Cost $12,100,054) | (b) | $ | 11,573,977 | |||||||
Other Assets in Excess of Liabilities – 0.0% | 3,496 | |||||||||
Net Assets – 100.0% | $ | 11,577,473 | ||||||||
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depository Receipts
Footnotes:
(a) | Non-income producing security. | |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
84
Ohio National Fund, Inc. | Balanced Portfolio |
Objective/Strategy
The Balanced Portfolio seeks capital appreciation and income by investing normally up to 75% of its assets in equity securities within under-priced sectors and industries while maintaining a minimum of 25% of its assets in fixed income securities.
Performance as of June 30, 2010
Average Annual Total Returns: | ||||
One year | 12.76% | |||
Five years | 2.82% | |||
Since inception (5/1/04) | 4.38% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2010, the Balanced Portfolio returned -4.19% versus -1.44% for the current benchmark, which is composed of 60% S&P Composite 1500 Index and 40% Barclays Capital U.S. Universal Index.
The dominant themes for the first half of 2010 were volatility and rapid theme reversals. The S&P Composite 1500 Index started the year with a terrific rally, rising 3.26% from the beginning of the first quarter through January 19. Then, as fears of a Chinese slowdown percolated, the market reversed course dropping 8.07% from January 19th to February 8th. As good earnings news in the U.S. trickled in, the S&P Composite 1500 Index dramatically reversed course again gaining 16.19% from February 8th to April 23rd. Then, almost as quickly as it began, the rally fizzled on concerns of growing regulatory risk within the U.S. and sovereign default risk in Europe. From April 23rd to June 30th the S&P Composite 1500 Index dropped 15.12%.
Bonds followed a very similar course, especially during the last rally and correction. For example, the ten-year on-the-run U.S. Treasury yield rose from 3.56% on February 8th to 3.99% on April 5th as investors shunned risk free securities for equities and riskier corporate debt. But as concerns over Greek and other European countries’ debts grew, the Treasury reversed course falling to 2.93% by June 30th as investors rapidly exited risky securities for the perceived safety of Treasury bonds.
This environment, marked by rapid theme changes, was a difficult one for the ICON system that looks for long-term themes over the course of full business cycles. The Portfolio under-performed the benchmark for the period but continues to outpace its benchmark on both a 5-year and since-inception basis and we continue to believe in investing in long-term themes rather than chasing short-term market movements.
On the equity side, the Portfolio’s holdings in the Energy, Utility and Information Technology sectors under-performed the benchmark’s holdings in these same sectors. Four of the top five detractors from overall return came from these sectors. These four were Diamond Offshore Drilling, Inc., Transcocean Ltd., Microsoft Corp., and RWE AG. The fifth largest detractor was Monsato Co., a Materials sectors holding. The five worst performers in the Portfolio were Guess? Inc., Diamond Offshore Drilling, Inc., Monsanto Co., Dean Foods Co. and Transocean Ltd. On the fixed income side, an over-weight position in corporate bonds and an under-weight position in Treasury bonds led to further under-performance. Also a lower duration or sensitivity to interest rates also hurt the Portfolio on a relative basis.(1)
On the positive side, the Portfolio held over-weights and outperforming stocks in the Health Care, Materials, and Financials sectors. The Portfolio’s top five performers were Insight Enterprises, Inc., AmerisourceBergen Corp., BB&T Corp., TJX Cos. and Willis Group Holdings, PLC. The Portfolio’s top five contributors to overall return were Lubrizol Corp., TJX Cos., BB&T Corp., World Acceptance Corp. and Insight Enterprises, Inc.(1)
The Portfolio’s outlook for the next half of the year and beyond remains intact. We continue to believe that corporate profits are strong and that the economy is improving from 2008’s depths. Extremely low interest rates and declining credit spreads are also supportive of an economic rebound. We currently see a very strong 1.34 value-to-price (V/P) ratio for the overall market. With this type of value in place, we will continue to tilt toward the more cyclical areas of the economy on the equity side and toward riskier corporate bonds as opposed to Treasuries on the fixed income side.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2010. |
Change in Value of $10,000 Investment
60% S&P | ||||||||
Composite 1500 | ||||||||
Index/40% Barclays | ||||||||
Capital U.S. | ||||||||
Balanced Portfolio | Universal Index | |||||||
05/01/2004 | 10000 | 10000 | ||||||
06/30/2004 | 10370 | 10219 | ||||||
12/31/2004 | 11330 | 10885 | ||||||
06/30/2005 | 11330 | 10978 | ||||||
12/31/2005 | 11723 | 11382 | ||||||
06/30/2006 | 12545 | 11572 | ||||||
12/31/2006 | 13262 | 12649 | ||||||
06/30/2007 | 14235 | 13268 | ||||||
12/31/2007 | 14893 | 13409 | ||||||
06/30/2008 | 13829 | 12561 | ||||||
12/31/2008 | 10881 | 10357 | ||||||
06/30/2009 | 11550 | 10753 | ||||||
12/31/2009 | 13592 | 12431 | ||||||
06/30/2010 | 13023 | 12252 |
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-083743/l40308l4030819.gif)
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The S&P Composite 1500 Index is a broad-based capitalization-weighted index of 1500 U.S. companies and is comprised of the S&P 400, S&P 500, and the S&P 600. The index was developed with a base value of 100 as of December 30, 1994. The index presented herein includes the effects of reinvested dividends.
The Barclays Capital U.S. Universal Index represents the union of the U.S. Aggregate Index, the U.S. High-Yield Corporate Index, the 144A Index, the Eurodollar Index, the Emerging Markets Index, the non-ERISA portion of the Commercial Mortgage-Backed Securities (CMBS) Index and the CMBS High-Yield Index. All securities in this market-value weighted index have at least one year remaining to maturity and meet certain minimum issue size criteria.
(continued)
85
Ohio National Fund, Inc. | Balanced Portfolio (Continued) |
Portfolio Composition as of June 30, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 62.6 | ||
Corporate Bonds (3) | 32.9 | ||
U.S. Government Agency Issues | 2.0 | ||
Money Market Funds and Other Net Assets | 2.5 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2010 (1) (2)
% of Net Assets | |||||||
1. | PPL Energy Supply LLC 6.500%, 05/01/2018 | 2.2 | |||||
2. | General Electric Co. | 2.0 | |||||
3. | Kellogg Co. | 2.0 | |||||
4. | Rohm & Haas Co. 5.600%, 03/15/2013 | 1.7 | |||||
5. | International Business Machines Corp. | 1.6 | |||||
6. | Exxon Mobil Corp. | 1.5 | |||||
7. | Merrill Lynch & Co., Inc. 5.450%, 02/05/2013 | 1.2 | |||||
8. | Comcast Corp. Class A | 1.2 | |||||
9. | Chevron Corp. | 1.2 | |||||
10. | TJX Cos., Inc. / The | 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) | Sectors (combined): |
% of Net Assets | |||
Financials | 28.2 | ||
Consumer Discretionary | 10.7 | ||
Information Technology | 10.5 | ||
Industrials | 9.5 | ||
Consumer Staples | 8.3 | ||
Materials | 8.2 | ||
Health Care | 7.6 | ||
Utilities | 6.5 | ||
Energy | 5.2 | ||
Telecommunication Services | 0.8 | ||
95.5 | |||
86
Ohio National Fund, Inc. | Balanced Portfolio |
Schedule of Investments | June 30, 2010 (Unaudited) |
| ||||||||||
Common Stocks – 62.6% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 7.4% | ||||||||||
Hotels, Restaurants & Leisure – 1.7% | ||||||||||
Panera Bread Co. | (a) | 1,800 | $ | 135,522 | ||||||
Sonic Corp. | (a) | 10,000 | 77,500 | |||||||
213,022 | ||||||||||
Media – 1.9% | ||||||||||
Comcast Corp. Class A | 9,000 | 156,330 | ||||||||
Time Warner Cable, Inc. | 1,500 | 78,120 | ||||||||
234,450 | ||||||||||
Multiline Retail – 0.6% | ||||||||||
Target Corp. | 1,520 | 74,738 | ||||||||
Specialty Retail – 3.2% | ||||||||||
Aeropostale, Inc. | (a) | 3,500 | 100,240 | |||||||
GameStop Corp. Class A | (a) | 2,500 | 46,975 | |||||||
Guess?, Inc. | 1,500 | 46,860 | ||||||||
Lowe’s Companies, Inc. | 3,000 | 61,260 | ||||||||
TJX Cos., Inc. / The | 3,590 | 150,601 | ||||||||
405,936 | ||||||||||
TOTAL CONSUMER DISCRETIONARY | 928,146 | |||||||||
CONSUMER STAPLES – 6.5% | ||||||||||
Beverages – 1.0% | ||||||||||
PepsiCo, Inc. | 2,000 | 121,900 | ||||||||
Food & Staples Retailing – 1.6% | ||||||||||
CVS Caremark Corp. | 1,820 | 53,362 | ||||||||
Kroger Co. / The | 4,000 | 78,760 | ||||||||
Sysco Corp. | 2,200 | 62,854 | ||||||||
194,976 | ||||||||||
Food Products – 2.3% | ||||||||||
Dean Foods Co. | (a) | 4,000 | 40,280 | |||||||
Kellogg Co. | 5,000 | 251,500 | ||||||||
291,780 | ||||||||||
Household Products – 0.5% | ||||||||||
Kimberly-Clark Corp. | 1,100 | 66,693 | ||||||||
Tobacco – 1.1% | ||||||||||
Altria Group, Inc. | 7,000 | 140,280 | ||||||||
TOTAL CONSUMER STAPLES | 815,629 | |||||||||
ENERGY – 4.7% | ||||||||||
Energy Equipment & Services – 1.0% | ||||||||||
Tidewater, Inc. | 3,200 | 123,904 | ||||||||
Oil, Gas & Consumable Fuels – 3.7% | ||||||||||
Chevron Corp. | 2,280 | 154,721 | ||||||||
Exxon Mobil Corp. | 3,250 | 185,477 | ||||||||
Marathon Oil Corp. | 2,200 | 68,398 | ||||||||
Valero Energy Corp. | 3,520 | 63,290 | ||||||||
471,886 | ||||||||||
TOTAL ENERGY | 595,790 | |||||||||
FINANCIALS – 12.0% | ||||||||||
Commercial Banks – 1.5% | ||||||||||
U.S. Bancorp | 3,000 | 67,050 | ||||||||
Wells Fargo & Co. | 5,000 | 128,000 | ||||||||
195,050 | ||||||||||
Consumer Finance – 0.5% | ||||||||||
World Acceptance Corp. | (a) | 1,660 | 63,594 | |||||||
Diversified Financial Services – 3.6% | ||||||||||
Bank of America Corp. | 8,000 | 114,960 | ||||||||
Citigroup, Inc. | (a) | 30,000 | 112,800 | |||||||
IntercontinentalExchange, Inc. | (a) | 1,000 | 113,030 | |||||||
JPMorgan Chase & Co. | 3,000 | 109,830 | ||||||||
450,620 | ||||||||||
Insurance – 5.3% | ||||||||||
Aflac, Inc. | 1,700 | 72,539 | ||||||||
Allstate Corp. / The | 2,500 | 71,825 | ||||||||
Delphi Financial Group, Inc. | 3,000 | 73,230 | ||||||||
HCC Insurance Holdings, Inc. | 4,500 | 111,420 | ||||||||
MetLife, Inc. | 1,500 | 56,640 | ||||||||
Reinsurance Group America, Inc. | 1,000 | 45,710 | ||||||||
Sun Life Financial, Inc. | 2,500 | 65,775 | ||||||||
Travelers Companies, Inc. / The | 1,500 | 73,875 | ||||||||
Willis Group Holdings PLC | 3,500 | 105,175 | ||||||||
676,189 | ||||||||||
Real Estate Investment Trusts – 1.1% | ||||||||||
Annaly Capital Management, Inc. | 7,800 | 133,770 | ||||||||
TOTAL FINANCIALS | 1,519,223 | |||||||||
HEALTH CARE – 7.6% | ||||||||||
Health Care Equipment & Supplies – 1.4% | ||||||||||
Covidien PLC | 2,000 | 80,360 | ||||||||
Stryker Corp. | 2,050 | 102,623 | ||||||||
182,983 | ||||||||||
Health Care Providers & Services – 3.5% | ||||||||||
Aetna, Inc. | 3,000 | 79,140 | ||||||||
AmerisourceBergen Corp. | 2,000 | 63,500 | ||||||||
Cardinal Health, Inc. | 1,000 | 33,610 | ||||||||
Laboratory Corporation of America Holdings | (a) | 1,800 | 135,630 | |||||||
McKesson Corp. | 2,000 | 134,320 | ||||||||
446,200 | ||||||||||
Pharmaceuticals – 2.7% | ||||||||||
Abbott Laboratories | 1,500 | 70,170 | ||||||||
Eli Lilly & Co. | 1,000 | 33,500 | ||||||||
Johnson & Johnson | 1,550 | 91,543 | ||||||||
Merck & Co., Inc. | 2,000 | 69,940 | ||||||||
Pfizer, Inc. | 5,000 | 71,300 | ||||||||
336,453 | ||||||||||
TOTAL HEALTH CARE | 965,636 | |||||||||
INDUSTRIALS – 7.6% | ||||||||||
Aerospace & Defense – 1.9% | ||||||||||
General Dynamics Corp. | 1,500 | 87,840 | ||||||||
L-3 Communications Holdings Inc. | 1,300 | 92,092 | ||||||||
Lockheed Martin Corp. | 400 | 29,800 | ||||||||
Northrop Grumman Corp. | 500 | 27,220 | ||||||||
236,952 | ||||||||||
Electrical Equipment – 1.4% | ||||||||||
General Cable Corp. | (a) | 2,000 | 53,300 | |||||||
Hubbell, Inc. | 2,000 | 79,380 | ||||||||
Thomas & Betts Corp. | (a) | 1,500 | 52,050 | |||||||
184,730 | ||||||||||
Industrial Conglomerates – 2.0% | ||||||||||
General Electric Co. | 17,500 | 252,350 | ||||||||
Machinery – 1.4% | ||||||||||
Danaher Corp. | 2,000 | 74,240 | ||||||||
Parker Hannifin Corp. | 700 | 38,822 | ||||||||
Snap-On, Inc. | 1,500 | 61,365 | ||||||||
174,427 | ||||||||||
Professional Services – 0.9% | ||||||||||
FTI Consulting, Inc. | (a) | 2,500 | 108,975 | |||||||
TOTAL INDUSTRIALS | 957,434 | |||||||||
INFORMATION TECHNOLOGY – 8.8% | ||||||||||
Communications Equipment – 0.6% | ||||||||||
Comtech Telecommunications Corp. | (a) | 2,500 | 74,825 | |||||||
(continued)
87
Ohio National Fund, Inc. | Balanced Portfolio (Continued) |
Schedule of Investments | June 30, 2010 (Unaudited) |
| ||||||||||
Common Stocks (Continued) | Shares | Value | ||||||||
INFORMATION TECHNOLOGY (continued) | ||||||||||
Computers & Peripherals – 1.3% | ||||||||||
Hewlett-Packard Co. | 2,580 | $ | 111,663 | |||||||
Seagate Technology | (a) | 4,000 | 52,160 | |||||||
163,823 | ||||||||||
Electronic Equipment, Instruments & Components – 0.5% | ||||||||||
Avnet, Inc. | (a) | 2,500 | 60,275 | |||||||
IT Services – 5.5% | ||||||||||
Accenture PLC | 3,380 | 130,637 | ||||||||
Automatic Data Processing, Inc. | 2,500 | 100,650 | ||||||||
CACI International, Inc. Class A | (a) | 1,500 | 63,720 | |||||||
Cognizant Technology Solutions Corp. Class A | (a) | 1,910 | 95,615 | |||||||
International Business Machines Corp. | 1,600 | 197,568 | ||||||||
Mastercard, Inc. Class A | 520 | 103,755 | ||||||||
691,945 | ||||||||||
Software – 0.9% | ||||||||||
Microsoft Corp. | 5,020 | 115,510 | ||||||||
TOTAL INFORMATION TECHNOLOGY | 1,106,378 | |||||||||
MATERIALS – 4.4% | ||||||||||
Chemicals – 2.8% | ||||||||||
FMC Corp. | 2,000 | 114,860 | ||||||||
Lubrizol Corp. | 1,200 | 96,372 | ||||||||
Monsanto Co. | 1,700 | 78,574 | ||||||||
Olin Corp. | 3,500 | 63,315 | ||||||||
353,121 | ||||||||||
Metals & Mining – 1.6% | ||||||||||
AngloGold Ashanti Ltd. | 1,700 | 73,406 | ||||||||
Barrick Gold Corp. | 1,600 | 72,656 | ||||||||
Freeport-McMoRan Copper & Gold, Inc. | 1,000 | 59,130 | ||||||||
205,192 | ||||||||||
TOTAL MATERIALS | 558,313 | |||||||||
TELECOMMUNICATION SERVICES – 0.8% | ||||||||||
Diversified Telecommunication Services – 0.4% | ||||||||||
AT&T, Inc. | 2,300 | 55,637 | ||||||||
Wireless Telecommunication Services – 0.4% | ||||||||||
SK Telecom Co. Ltd. | 3,500 | 51,555 | ||||||||
TOTAL TELECOMMUNICATION SERVICES | 107,192 | |||||||||
UTILITIES – 2.8% | ||||||||||
Electric Utilities – 0.9% | ||||||||||
Exelon Corp. | 2,800 | 106,316 | ||||||||
Multi-Utilities – 1.9% | ||||||||||
Consolidated Edison, Inc. | 1,500 | 64,650 | ||||||||
Public Service Enterprise Group, Inc. | 2,500 | 78,325 | ||||||||
RWE AG | 1,500 | 98,175 | ||||||||
241,150 | ||||||||||
TOTAL UTILITIES | 347,466 | |||||||||
Total Common Stocks (Cost $8,268,886) | $ | 7,901,207 | ||||||||
Face | ||||||||||
Corporate Bonds – 32.9% | Amount | Value | ||||||||
CONSUMER DISCRETIONARY – 3.3% | ||||||||||
Automobiles – 0.2% | ||||||||||
Daimler Finance North America LLC 6.500%, 11/15/2013 | $ | 30,000 | $ | 33,603 | ||||||
Household Durables – 1.4% | ||||||||||
Black & Decker Corp. / The 8.950%, 04/15/2014 | 100,000 | 121,801 | ||||||||
Fortune Brands, Inc. 4.875%, 12/01/2013 | 50,000 | 53,035 | ||||||||
174,836 | ||||||||||
Leisure Equipment & Products – 0.4% | ||||||||||
Eastman Kodak Co. 7.250%, 11/15/2013 | 50,000 | 49,250 | ||||||||
Multiline Retail – 1.3% | ||||||||||
Dillard’s, Inc. 9.125%, 08/01/2011 | 46,000 | 47,840 | ||||||||
Nordstrom, Inc. 6.750%, 06/01/2014 | 100,000 | 116,308 | ||||||||
164,148 | ||||||||||
TOTAL CONSUMER DISCRETIONARY | 421,837 | |||||||||
CONSUMER STAPLES – 1.8% | ||||||||||
Food Products – 0.9% | ||||||||||
Kraft Foods, Inc. 6.125%, 08/23/2018 | 100,000 | 114,135 | ||||||||
Tobacco – 0.9% | ||||||||||
Reynolds American, Inc. 7.250%, 06/01/2013 | 100,000 | 110,084 | ||||||||
TOTAL CONSUMER STAPLES | 224,219 | |||||||||
ENERGY – 0.5% | ||||||||||
Oil, Gas & Consumable Fuels – 0.5% | ||||||||||
Petrobras International Finance Co. 7.750%, 09/15/2014 | 50,000 | 58,439 | ||||||||
TOTAL ENERGY | 58,439 | |||||||||
FINANCIALS – 16.2% | ||||||||||
Capital Markets – 4.9% | ||||||||||
Goldman Sachs Group, Inc. / The 5.125%, 01/15/2015 | 100,000 | 105,149 | ||||||||
Merrill Lynch & Co., Inc. 5.450%, 02/05/2013 | 150,000 | 157,450 | ||||||||
5.000%, 02/03/2014 | 10,000 | 10,357 | ||||||||
4.360%, 05/05/2014 | (b) | 150,000 | 150,185 | |||||||
Morgan Stanley 0.783%, 10/15/2015 | (b) | 100,000 | 89,381 | |||||||
5.375%, 10/15/2015 | 100,000 | 101,403 | ||||||||
613,925 | ||||||||||
Commercial Banks – 1.6% | ||||||||||
UBS AG 5.875%, 12/20/2017 | 100,000 | 106,008 | ||||||||
Wells Fargo Bank 0.646%, 05/16/2016 | (b) | 100,000 | 91,951 | |||||||
197,959 | ||||||||||
Consumer Finance – 2.0% | ||||||||||
American General Finance Corp. 4.625%, 09/01/2010 | 50,000 | 50,000 | ||||||||
HSBC Finance Corp. 7.000%, 05/15/2012 | 50,000 | 53,862 | ||||||||
6.375%, 11/27/2012 | 50,000 | 54,027 | ||||||||
4.440%, 11/10/2013 | (b) | 100,000 | 98,282 | |||||||
256,171 | ||||||||||
Diversified Financial Services – 1.9% | ||||||||||
Bank of America NA 0.837%, 06/15/2017 | (b) | 50,000 | 42,911 | |||||||
Bear Stearns Companies LLC / The 0.868%, 11/21/2016 | (b) | 50,000 | 47,331 | |||||||
Citigroup, Inc. 5.300%, 10/17/2012 | 50,000 | 51,843 | ||||||||
5.125%, 05/05/2014 | 40,000 | 40,830 | ||||||||
6.000%, 08/15/2017 | 50,000 | 52,012 | ||||||||
234,927 | ||||||||||
(continued)
88
Ohio National Fund, Inc. | Balanced Portfolio (Continued) |
Schedule of Investments | June 30, 2010 (Unaudited) |
Face | ||||||||||
Corporate Bonds (Continued) | Amount | Value | ||||||||
FINANCIALS (continued) | ||||||||||
Insurance – 5.8% | ||||||||||
American International Group, Inc. 5.375%, 10/18/2011 | $ | 50,000 | $ | 50,500 | ||||||
4.250%, 05/15/2013 | 100,000 | 97,000 | ||||||||
8.250%, 08/15/2018 | 100,000 | 101,750 | ||||||||
Delphi Financial Group, Inc. 7.875%, 01/31/2020 | 50,000 | 54,744 | ||||||||
Hartford Financial Services Group, Inc. / The | ||||||||||
5.250%, 10/15/2011 | 50,000 | 51,771 | ||||||||
5.375%, 03/15/2017 | 50,000 | 49,627 | ||||||||
6.300%, 03/15/2018 | 100,000 | 103,766 | ||||||||
Prudential Financial, Inc. 5.100%, 09/20/2014 | 100,000 | 106,449 | ||||||||
6.100%, 06/15/2017 | 50,000 | 53,326 | ||||||||
Swiss Re Solutions Holding Corp. 7.000%, 02/15/2026 | 40,000 | 42,284 | ||||||||
Unum Group 7.190%, 02/01/2028 | 30,000 | 28,103 | ||||||||
739,320 | ||||||||||
TOTAL FINANCIALS | 2,042,302 | |||||||||
INDUSTRIALS – 1.9% | ||||||||||
Industrial Conglomerates – 0.1% | ||||||||||
General Electric Co. 5.000%, 02/01/2013 | 15,000 | 16,095 | ||||||||
Machinery – 1.0% | ||||||||||
Ingersoll-Rand Global Holding Co. Ltd. 9.500%, 04/15/2014 | 100,000 | 124,000 | ||||||||
Road & Rail – 0.8% | ||||||||||
Ryder System, Inc. 5.000%, 04/01/2011 | 100,000 | 102,285 | ||||||||
TOTAL INDUSTRIALS | 242,380 | |||||||||
INFORMATION TECHNOLOGY – 1.7% | ||||||||||
IT Services – 0.8% | ||||||||||
Western Union Co. / The 5.400%, 11/17/2011 | 100,000 | 105,443 | ||||||||
Office Electronics – 0.9% | ||||||||||
Xerox Corp. 5.650%, 05/15/2013 | 100,000 | 108,309 | ||||||||
TOTAL INFORMATION TECHNOLOGY | 213,752 | |||||||||
MATERIALS – 3.8% | ||||||||||
Chemicals – 3.4% | ||||||||||
Dow Chemical Co. / The 6.000%, 10/01/2012 | 100,000 | 107,581 | ||||||||
7.600%, 05/15/2014 | 100,000 | 115,584 | ||||||||
Rohm & Haas Co. 5.600%, 03/15/2013 | 200,000 | 214,626 | ||||||||
437,791 | ||||||||||
Metals & Mining – 0.4% | ||||||||||
Alcoa, Inc. 5.720%, 02/23/2019 | 50,000 | 47,688 | ||||||||
TOTAL MATERIALS | 485,479 | |||||||||
UTILITIES – 3.7% | ||||||||||
Electric Utilities – 1.5% | ||||||||||
Arizona Public Service Co. 6.375%, 10/15/2011 | 50,000 | 52,937 | ||||||||
Exelon Generation Co. LLC 5.350%, 01/15/2014 | 100,000 | 109,099 | ||||||||
PSEG Energy Holdings LLC 8.500%, 06/15/2011 | 25,000 | 25,808 | ||||||||
187,844 | ||||||||||
Independent Power Producers & Energy Traders – 2.2% | ||||||||||
PPL Energy Supply LLC 6.500%, 05/01/2018 | 250,000 | 276,935 | ||||||||
TOTAL UTILITIES | 464,779 | |||||||||
Total Corporate Bonds (Cost $3,837,136) | $ | 4,153,187 | ||||||||
Face | ||||||||||
U.S. Government Agency Issues – 2.0% | Amount | Value | ||||||||
Federal Home Loan Bank 4.500%, 09/16/2013 | $ | 20,000 | $ | 22,008 | ||||||
5.375%, 08/15/2018 | 20,000 | 23,340 | ||||||||
Federal National Mortgage Association 5.500%, 03/15/2011 | 100,000 | 103,611 | ||||||||
5.250%, 08/01/2012 | 100,000 | 107,982 | ||||||||
Total U.S. Government Agency Issues (Cost $240,706) | $ | 256,941 | ||||||||
Money Market Funds – 2.0% | Shares | Value | ||||||||
Fidelity Institutional Money Market Funds Money Market Portfolio – Class I | 253,000 | $ | 253,000 | |||||||
Total Money Market Funds (Cost $253,000) | $ | 253,000 | ||||||||
Total Investments – 99.5% (Cost $12,599,728) | (c) | $ | 12,564,335 | |||||||
Other Assets in Excess of Liabilities – 0.5% | 62,033 | |||||||||
Net Assets – 100.0% | $ | 12,626,368 | ||||||||
Percentages are stated as a percent of net assets.
Footnotes:
(a) | Non-income producing security. | |
(b) | Security is a variable rate instrument in which the coupon rate is adjusted monthly or quarterly in concert with U.S. LIBOR or Consumer Price Index. Interest rates stated are those in effect at June 30, 2010. | |
(c) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
89
Ohio National Fund, Inc. | Income Opportunity Portfolio |
Objective/Strategy
The Income Opportunity Portfolio seeks modest capital appreciation and maximization of realized gains by investing in equity securities traded in the U.S.
Performance as of June 30, 2010
Average Annual Total Returns: | ||||
One year | 10.76% | |||
Five years | 0.20% | |||
Since inception (5/1/04) | 1.27% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2010, the Income Opportunity Portfolio returned -3.40% versus -6.03% for the current benchmark, the S&P Composite 1500 Index.
The period was marked by significant volatility amid uncertainties about potential economic growth, unemployment, inflationary expectations, deflationary concerns, consumer confidence and numerous other economic indicators. Concerns abroad, such as the potential sovereign debt default of Greece and growing deficits in other Euro-zone countries, exacerbated domestic concerns and resulted in sharp swings in the market.
After rising just over 3% during the first two weeks of trading in 2010, the market fell sharply from January 19th through February 8th. Over that period, the S&P Composite 1500 Index dropped 8.2%. Then, over the next two and half months from February 8th through April 23rd, the index rose 16.2% before falling apart for the rest of the first half of the year. (The index was down 15.5% from April 23rd through June 30th).
Over the first six months of the year, the Federal Reserve held the Federal Funds rate at .25%, continuing its accommodative monetary policy. At the same time, the G20, a group of Finance Ministers and Central Bank Governors from industrial and developing countries, met in late June in Toronto to discuss current global economic conditions. The major topic of discussion was the need to balance ongoing fiscal stimulus to sustain the economic recovery with the need to pare back growing deficits in countries around the world. In addition there was a major focus on global financial reform. The goal was to develop and put in place a strong regulatory framework for the global financial system to minimize the risk of another global financial crisis in the future.
From a sector perspective, the Portfolio’s best performer on a relative basis to its benchmark was the Consumer Discretionary sector. Consumer Discretionary was the top performing sector in the index for the period and the Portfolio was over-weighted in the sector. At the other end of the spectrum, the Financials and Information Technology sectors were the worst performers on a relative basis to the Portfolio’s benchmark.(1)
Drilling down to performance at the individual stock level, the Portfolio’s top five contributors to return were AmerisourceBergen Corp., PepsiCo, Inc., Newmont Mining Corp., Apple, Inc. and Time Warner Cable, Inc. The five largest detractors to return were Google, Inc., Lowe’s Cos., Bank of America Corp., Wells Fargo & Co. and Microsoft Corp.(1)
The Portfolio’s top total return performing stocks were PepsiCo, Inc., Newmont Mining Corp., Time Warner Cable, Inc., AmerisourceBergen Corp. and Jos. A. Bank Clothiers, Inc. The Portfolio’s bottom total return performing stocks were Research In Motion Ltd., Reliance Steel & Aluminum Co., Best Buy Co. Inc., Arrow Electronics, Inc. and Tutor Perini Corp.(1)
Looking ahead to the second half of 2010, we see significant upside potential in the U.S. equity market. It appears that fears over a possible double dip recession and the Euro-zone debt crisis have created a disconnect between macroeconomic concerns and fundamentals at the individual company level. Our quantitative, bottom-up, value-based approach to equity investing indicates that the market has priced stocks below what we believe they are intrinsically worth. As such, the Portfolio is fully invested as we head into the second half of 2010. We are also tilted toward sectors that would tend to do well in an economic recovery rally, such as Industrials and Consumer Discretionary. However, in keeping with the Portfolio’s stated strategy, we will continue to use the option hedging overlay to hedge our equity holdings.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2010. |
Change in Value of $10,000 Investment
Income Opportunity | S&P Composite | |||||||
Portfolio | 1500 Index | |||||||
05/01/2004 | 10000 | 10000 | ||||||
06/30/2004 | 10230 | 10357 | ||||||
12/31/2004 | 10750 | 11142 | ||||||
06/30/2005 | 10700 | 11107 | ||||||
12/31/2005 | 11070 | 11772 | ||||||
06/30/2006 | 11080 | 12131 | ||||||
12/31/2006 | 11530 | 13578 | ||||||
06/30/2007 | 12170 | 14584 | ||||||
12/31/2007 | 12490 | 14320 | ||||||
06/30/2008 | 11850 | 12728 | ||||||
12/31/2008 | 9890 | 9061 | ||||||
06/30/2009 | 9760 | 9376 | ||||||
12/31/2009 | 11190 | 11530 | ||||||
06/30/2010 | 10810 | 10835 |
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-083743/l40308l4030820.gif)
Hypothetical illustration based on past performance. Future performance will vary. The Portfolio’s returns reflect reinvested dividends. The Portfolio’s holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The S&P Composite 1500 Index is a broad-based capitalization-weighted index of 1500 U.S. companies and is comprised of the S&P 400, S&P 500, and the S&P 600. The index was developed with a base value of 100 as of December 30, 1994. The index presented herein includes the effects of reinvested dividends.
(continued)
90
Ohio National Fund, Inc. | Income Opportunity Portfolio (Continued) |
Portfolio Composition as of June 30, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 96.5 | ||
Written Options Outstanding | (1.0) | ||
Purchased Options | 0.6 | ||
Money Market Funds and Other Net Assets | 3.9 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2010 (1) (2)
% of Net Assets | |||||||
1. | Apple, Inc. | 3.3 | |||||
2. | Microsoft Corp. | 1.8 | |||||
3. | CSX Corp. | 1.8 | |||||
4. | Hewlett-Packard Co. | 1.6 | |||||
5. | Wells Fargo & Co. | 1.6 | |||||
6. | Union Pacific Corp. | 1.6 | |||||
7. | ConocoPhillips | 1.6 | |||||
8. | Walt Disney Co. / The | 1.6 | |||||
9. | PepsiCo, Inc. | 1.5 | |||||
10. | 3M Co. | 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) | Sectors: |
% of Net Assets | |||
Industrials | 20.4 | ||
Consumer Discretionary | 17.2 | ||
Financials | 16.6 | ||
Information Technology | 12.6 | ||
Health Care | 7.4 | ||
Materials | 7.3 | ||
Consumer Staples | 7.0 | ||
Energy | 5.2 | ||
Utilities | 2.4 | ||
Telecommunication Services | 0.4 | ||
96.5 | |||
91
Ohio National Fund, Inc. | Income Opportunity Portfolio |
Schedule of Investments | June 30, 2010 (Unaudited) |
Common Stocks – 96.5% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 17.2% | ||||||||||
CEC Entertainment, Inc. (Hotels, Restaurants & Leisure) | (a) | 900 | $ | 31,734 | ||||||
Darden Restaurants, Inc. (Hotels, Restaurants & Leisure) | 1,100 | 42,735 | ||||||||
McDonald’s Corp. (Hotels, Restaurants & Leisure) | (b) | 1,500 | 98,805 | |||||||
Stanley Black & Decker, Inc. (Household Durables) | 600 | 30,312 | ||||||||
DIRECTV Class A (Media) | (a) | 1,400 | 47,488 | |||||||
Omnicom Group, Inc. (Media) | 1,100 | 37,730 | ||||||||
Time Warner Cable, Inc. (Media) | (b) | 1,400 | 72,912 | |||||||
Time Warner, Inc. (Media) | 1,900 | 54,929 | ||||||||
Viacom, Inc. Class B (Media) | 1,000 | 31,370 | ||||||||
Walt Disney Co. / The (Media) | (b) | 3,700 | 116,550 | |||||||
Dollar Tree, Inc. (Multiline Retail) | (a) (b) | 1,500 | 62,445 | |||||||
Family Dollar Stores, Inc. (Multiline Retail) | (b) | 1,500 | 56,535 | |||||||
Target Corp. (Multiline Retail) | (b) | 1,300 | 63,921 | |||||||
AutoZone, Inc. (Specialty Retail) | (a)(b) | 400 | 77,288 | |||||||
Bed Bath & Beyond, Inc. (Specialty Retail) | (a) | 1,000 | 37,080 | |||||||
Best Buy Co., Inc. (Specialty Retail) | (b) | 1,300 | 44,018 | |||||||
Home Depot, Inc. (Specialty Retail) | (b) | 3,100 | 87,017 | |||||||
Jos. A Bank Clothiers, Inc. (Specialty Retail) | (a)(b) | 1,300 | 70,187 | |||||||
Lowe’s Cos., Inc. (Specialty Retail) | (b) | 3,800 | 77,596 | |||||||
O’Reilly Automotive, Inc. (Specialty Retail) | (a) | 900 | 42,804 | |||||||
Ross Stores, Inc. (Specialty Retail) | 700 | 37,303 | ||||||||
TJX Cos., Inc. (Specialty Retail) | (b) | 1,700 | 71,315 | |||||||
1,292,074 | ||||||||||
CONSUMER STAPLES – 7.0% | ||||||||||
Constellation Brands, Inc. Class A (Beverages) | (a) | 1,700 | 26,554 | |||||||
PepsiCo, Inc. (Beverages) | (b) | 1,892 | 115,317 | |||||||
Sysco Corp. (Food & Staples Retailing) | (b) | 3,400 | 97,138 | |||||||
Campbell Soup Co. (Food Products) | (b) | 2,900 | 103,907 | |||||||
ConAgra Foods, Inc. (Food Products) | (b) | 2,700 | 62,964 | |||||||
Clorox Co. (Household Products) | 400 | 24,864 | ||||||||
Altria Group, Inc. (Tobacco) | (b) | 4,600 | 92,184 | |||||||
522,928 | ||||||||||
ENERGY – 5.2% | ||||||||||
Alliance Resource Partners LP (Oil, Gas & Consumable Fuels) | 600 | 26,982 | ||||||||
Chevron Corp. (Oil, Gas & Consumable Fuels) | (b) | 1,200 | 81,432 | |||||||
ConocoPhillips (Oil, Gas & Consumable Fuels) | (b) | 2,400 | 117,816 | |||||||
Murphy Oil Corp. (Oil, Gas & Consumable Fuels) | 600 | 29,730 | ||||||||
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | (b) | 900 | 69,435 | |||||||
Sunoco, Inc. (Oil, Gas & Consumable Fuels) | 900 | 31,293 | ||||||||
Valero Energy Corp. (Oil, Gas & Consumable Fuels) | 2,000 | 35,960 | ||||||||
392,648 | ||||||||||
FINANCIALS – 16.6% | ||||||||||
Ameriprise Financial, Inc. (Capital Markets) | (b) | 800 | 28,904 | |||||||
Credicorp Ltd. (Commercial Banks) | (b) | 800 | 72,712 | |||||||
PNC Financial Services Group, Inc. (Commercial Banks) | (b) | 700 | 39,550 | |||||||
U.S. Bancorp (Commercial Banks) | (b) | 3,400 | 75,990 | |||||||
Wells Fargo & Co. (Commercial Banks) | (b) | 4,700 | 120,320 | |||||||
Cash America International, Inc. (Consumer Finance) | (b) | 1,700 | 58,259 | |||||||
EZCORP, Inc. Class A (Consumer Finance) | (a)(b) | 3,500 | 64,925 | |||||||
Bank of America Corp. (Diversified Financial Svs.) | (b) | 4,600 | 66,102 | |||||||
NASDAQ OMX Group, Inc. / The (Diversified Financial Svs.) | (a) | 2,000 | 35,560 | |||||||
NYSE Euronext (Diversified Financial Svs.) | (b) | 2,000 | 55,260 | |||||||
Allstate Corp. / The (Insurance) | (b) | 2,200 | 63,206 | |||||||
American Financial Group, Inc. (Insurance) | 1,300 | 35,516 | ||||||||
Assurant, Inc. (Insurance) | 1,100 | 38,170 | ||||||||
Delphi Financial Group, Inc. Class A (Insurance) | (b) | 2,300 | 56,143 | |||||||
Horace Mann Educators Corp. (Insurance) | (b) | 4,600 | 70,380 | |||||||
Loews Corp. (Insurance) | 1,000 | 33,310 | ||||||||
Progressive Corp. / The (Insurance) | 1,300 | 24,336 | ||||||||
Protective Life Corp. (Insurance) | (b) | 1,900 | 40,641 | |||||||
Prudential Financial, Inc. (Insurance) | (b) | 1,900 | 101,954 | |||||||
StanCorp Financial Group, Inc. (Insurance) | 500 | 20,270 | ||||||||
Sun Life Financial, Inc. (Insurance) | (b) | 1,900 | 49,989 | |||||||
Torchmark Corp. (Insurance) | (b) | 1,300 | 64,363 | |||||||
Travelers Cos., Inc. / The (Insurance) | (b) | 600 | 29,550 | |||||||
1,245,410 | ||||||||||
HEALTH CARE – 7.4% | ||||||||||
Stryker Corp. (Health Care Equip. & Supplies) | (b) | 1,000 | 50,060 | |||||||
Varian Medical Systems, Inc. (Health Care Equip. & Supplies) | (a)(b) | 1,100 | 57,508 | |||||||
Aetna, Inc. (Health Care Providers & Svs.) | (b) | 800 | 21,104 | |||||||
AmerisourceBergen Corp. (Health Care Providers & Svs.) | (b) | 3,400 | 107,950 | |||||||
Cardinal Health, Inc. (Health Care Providers & Svs.) | (b) | 1,900 | 63,859 | |||||||
Express Scripts, Inc. (Health Care Providers & Svs.) | (a)(b) | 2,200 | 103,444 | |||||||
Patterson Cos., Inc. (Health Care Providers & Svs.) | (b) | 1,700 | 48,501 | |||||||
Covance, Inc. (Life Sciences Tools & Svs.) | (a) | 400 | 20,528 | |||||||
Medicis Pharmaceutical Corp. Class A (Pharmaceuticals) | 800 | 17,504 | ||||||||
Teva Pharmaceutical Industries Ltd. – ADR (Pharmaceuticals) | (b) | 1,200 | 62,388 | |||||||
552,846 | ||||||||||
INDUSTRIALS – 20.4% | ||||||||||
General Dynamics Corp. (Aerospace & Defense) | 500 | 29,280 | ||||||||
Honeywell International, Inc. (Aerospace & Defense) | 800 | 31,224 | ||||||||
Northrop Grumman Corp. (Aerospace & Defense) | (b) | 1,400 | 76,216 | |||||||
Raytheon Co. (Aerospace & Defense) | 800 | 38,712 | ||||||||
United Technologies Corp. (Aerospace & Defense) | (b) | 1,400 | 90,874 | |||||||
Alaska Air Group, Inc. (Airlines) | (a) | 1,100 | 49,445 | |||||||
Delta Air Lines, Inc. (Airlines) | (a) | 2,800 | 32,900 | |||||||
Jacobs Engineering Group, Inc. (Construction & Engineering) | (a) | 900 | 32,796 | |||||||
KBR, Inc. (Construction & Engineering) | (b) | 3,200 | 65,088 | |||||||
Tutor Perini Corp. (Construction & Engineering) | (a) | 1,300 | 21,424 | |||||||
AMETEK, Inc. (Electrical Equip.) | 1,300 | 52,195 | ||||||||
Cooper Industries PLC (Electrical Equip.) | 800 | 35,200 | ||||||||
Thomas & Betts Corp. (Electrical Equip.) | (a)(b) | 1,500 | 52,050 | |||||||
3M Co. (Industrial Conglomerates) | (b) | 1,400 | 110,586 | |||||||
General Electric Co. (Industrial Conglomerates) | (b) | 4,200 | 60,564 | |||||||
Siemens AG – ADR (Industrial Conglomerates) | (b) | 300 | 26,859 | |||||||
Barnes Group, Inc. (Machinery) | 2,400 | 39,336 | ||||||||
Caterpillar, Inc. (Machinery) | (b) | 1,000 | 60,070 | |||||||
Deere & Co. (Machinery) | 800 | 44,544 | ||||||||
Dover Corp. (Machinery) | 700 | 29,253 | ||||||||
Eaton Corp. (Machinery) | (b) | 700 | 45,808 | |||||||
Middleby Corp. (Machinery) | (a)(b) | 1,000 | 53,190 | |||||||
PACCAR, Inc. (Machinery) | 800 | 31,896 | ||||||||
Parker Hannifin Corp. (Machinery) | 500 | 27,730 | ||||||||
Snap-On, Inc. (Machinery) | (b) | 1,100 | 45,001 | |||||||
Con-way, Inc. (Road & Rail) | 1,700 | 51,034 | ||||||||
CSX Corp. (Road & Rail) | (b) | 2,700 | 134,001 |
(continued)
92
Ohio National Fund, Inc. | Income Opportunity Portfolio (Continued) |
Schedule of Investments | June 30, 2010 (Unaudited) |
Common Stocks (Continued) | Shares | Value | ||||||||
INDUSTRIALS (continued) | ||||||||||
Union Pacific Corp. (Road & Rail) | (b) | 1,700 | $ | 118,167 | ||||||
W.W. Grainger, Inc. (Trading Companies & Distributors) | (b) | 500 | 49,725 | |||||||
1,535,168 | ||||||||||
INFORMATION TECHNOLOGY – 12.6% | ||||||||||
Apple, Inc. (Computers & Peripherals) | (a)(b) | 1,000 | 251,530 | |||||||
Hewlett-Packard Co. (Computers & Peripherals) | (b) | 2,800 | 121,184 | |||||||
Arrow Electronics, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 900 | 20,115 | |||||||
Avnet, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 900 | 21,699 | |||||||
Accenture PLC Class A (IT Svs.) | 1,100 | 42,515 | ||||||||
Amdocs Ltd. (IT Svs.) | (a)(b) | 2,700 | 72,495 | |||||||
CACI International, Inc. Class A (IT Svs.) | (a) | 600 | 25,488 | |||||||
Cognizant Technology Solutions Corp. Class A (IT Svs.) | (a) | 500 | 25,030 | |||||||
International Business Machines Corp. (IT Svs.) | (b) | 600 | 74,088 | |||||||
Intel Corp. (Semiconductors & Equip.) | (b) | 5,100 | 99,195 | |||||||
Intuit, Inc. (Software) | (a) | 1,700 | 59,109 | |||||||
Microsoft Corp. (Software) | (b) | 6,000 | 138,060 | |||||||
950,508 | ||||||||||
MATERIALS – 7.3% | ||||||||||
Calgon Carbon Corp. (Chemicals) | (a)(b) | 3,800 | 50,312 | |||||||
FMC Corp. (Chemicals) | 400 | 22,972 | ||||||||
Lubrizol Corp. (Chemicals) | (b) | 1,000 | 80,310 | |||||||
Olin Corp. (Chemicals) | (b) | 3,800 | 68,742 | |||||||
Barrick Gold Corp. (Metals & Mining) | 600 | 27,246 | ||||||||
BHP Billiton Ltd. – ADR (Metals & Mining) | 600 | 37,194 | ||||||||
Freeport-McMoRan Copper & Gold, Inc. (Metals & Mining) | (b) | 800 | 47,304 | |||||||
Newmont Mining Corp. (Metals & Mining) | (b) | 1,000 | 61,740 | |||||||
Nucor Corp. (Metals & Mining) | (b) | 1,200 | 45,936 | |||||||
Reliance Steel & Aluminum Co. (Metals & Mining) | (b) | 1,100 | 39,765 | |||||||
Steel Dynamics, Inc. (Metals & Mining) | (b) | 2,900 | 38,251 | |||||||
Vale SA – ADR (Metals & Mining) | 1,200 | 29,220 | ||||||||
548,992 | ||||||||||
TELECOMMUNICATION SERVICES – 0.4% | ||||||||||
America Movil SAB de CV – ADR (Wireless Telecom. Svs.) | 700 | 33,250 | ||||||||
UTILITIES – 2.4% | ||||||||||
AGL Resources, Inc. (Gas Utilities) | (b) | 1,600 | 57,312 | |||||||
Oneok, Inc. (Gas Utilities) | 900 | 38,925 | ||||||||
Wisconsin Energy Corp. (Multi-Utilities) | (b) | 1,000 | 50,740 | |||||||
Xcel Energy, Inc. (Multi-Utilities) | 1,500 | 30,915 | ||||||||
177,892 | ||||||||||
Total Common Stocks (Cost $7,284,088) | $ | 7,251,716 | ||||||||
Purchased Options – 0.6% | (c) | Contracts | Value | |||||||
S&P 500 Index Put Option Expiration: July 2010, Exercise Price: $950.00 | 60 | $ | 44,100 | |||||||
Total Purchased Options (Cost $35,602) | $ | 44,100 | ||||||||
Money Market Funds – 3.2% | Shares | Value | ||||||||
Fidelity Institutional Money Market Funds Money Market Portfolio – Class I | 240,000 | $ | 240,000 | |||||||
Total Money Market Funds (Cost $240,000) | $ | 240,000 | ||||||||
Total Investments – 100.3% (Cost $7,559,690) | (d) | $ | 7,535,816 | |||||||
Total Written Options Outstanding – (1.0)% (see following schedule) | (79,605 | ) | ||||||||
Other Assets in Excess of Liabilities – 0.7% | 54,902 | |||||||||
Net Assets – 100.0% | $ | 7,511,113 | ||||||||
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depository Receipts
Footnotes:
(a) | Non-income producing security. | |
(b) | Security is fully or partially pledged as collateral for written call options outstanding. Outstanding written call options are presented in the following schedule. | |
(c) | 100 shares per contract. | |
(d) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 7 of the Notes to Schedules of Investments. |
The accompanying notes are an integral part of these financial statements.
93
Ohio National Fund, Inc. | Income Opportunity Portfolio |
Schedule of Written Options Outstanding | June 30, 2010 (Unaudited) |
Contracts* | Value | |||||||
S&P 500 Index Call Option | ||||||||
Expiration: July 2010, | ||||||||
Exercise Price: $1,065.00 | 42 | $ | 42,840 | |||||
S&P 500 Index Call Option | ||||||||
Expiration: July 2010, | ||||||||
Exercise Price: $1,070.00 | 43 | 36,765 | ||||||
Total Written Options Outstanding (Premiums received $115,204) | 85 | $ | 79,605 | |||||
* 100 shares per contract.
The accompanying notes are an integral part of these financial statements.
94
Ohio National Fund, Inc. | Target VIP Portfolio |
Objective/Strategy
The Target VIP Portfolio seeks an above average total return by investing in the common stocks of companies which are identified by a model which applies separate uniquely specialized strategies.
Performance as of June 30, 2010
Average Annual Total Returns: | ||||
One year | 10.50% | |||
Since inception (11/2/05) | -6.17% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2010, the Target VIP Portfolio returned -7.25% versus -6.05% for the current benchmark, the Russell 3000 Index.
The S&P 500 Index was performing quite well this year until the latter part of April. The index posted a gain of 9.8% from the start of the period through April 23. Historically speaking, that is nearly a year’s worth of gains in a little less than four months. The fact that the gains did not hold is understandable, as the stock market was poised for a sell-off. From the low in the market on March 9, 2009, through April 26, 2010, the S&P 500 Index posted a gain of 84%. That clearly qualified as a “too far, too fast” scenario. It takes 39 months, on average, for investors to recoup losses from a bear market, according to InvesTech. The current rally was just a little less than 14 months old. Investors should know that corrections are a common occurrence and an integral part of bull markets.
Standard & Poor’s uses four categories to classify sell-offs in equities: noise (decline up to 4.9%); pullback (decline of 5.0% to 9.9%); correction (decline of 10.0% to 19.9%); and bear market (decline of 20% or more). It refers to bear markets with losses exceeding 40.0% as mega-meltdowns. Since 1946, the S&P 500 Index has experienced 53 pullbacks with an average decline of 7%, 18 corrections with an average decline of 14%, and 12 bear markets with an average decline of 33% (three were mega-meltdowns), according to Sam Stovall, Chief Investment Strategist at S&P. With respect to the 18 corrections, once they bottomed it took only four months, on average, to climb back above the pre-correction level.
While no single event triggered the sell-off in equities, perhaps the biggest shock to the system came out of Europe. While the sovereign debt crisis in Greece was eventually averted in the near-term the event itself raised the specter of a contagion spreading to other European Union members. Those singled out initially, including Greece, are referred to as the “PIGS” (Portugal, Italy, Greece & Spain). The decision by the government in Greece to implement austerity measures motivated some economists to temper their global gross domestic product growth rate estimates moving forward. Add the oil leak in the Gulf and the weak labor market to the mix and you have yourself the type of catalyst that can trigger an overdue correction in the market.
The top performing stocks were the following: NetFlix, Inc. up 97.2%; Baidu, Inc. up 65.6%; Parexel International Corp. up 53.8%; American Italian Pasta Co. up 52.0%; and Netezza Corp. up 41.0%. The worst performing stocks were the following: Unisys Corp. down 52.0%; Neutral Tandem, Inc. down 50.5%; BP PLC down 47.3%; EnergySolutions, Inc. down 39.5%; and Hornbeck Offshore Services, Inc. down 37.3%.(1)
Solid stock selection in the Information Technology sector was the biggest contributor to relative performance. The Portfolio’s exposure to the sector came largely from the NASDAQ 15 and Value Line 25 strategies within in the Portfolio. Poor stock selection in the Energy and Telecommunication Services sectors was the biggest drag on relative performance. An under-weight position in Industrials stocks also weighed on relative performance as the sector was among the top performers for the six-month period.(1)
The good news is that the International Monetary Fund (IMF), which had been slow early on in recognizing the strength of the current recovery, sees global gross domestic product growth at 4.5% in 2010 and 4.25% in 2011. That does not suggest that a slowdown or double-dip recession is in the making. James W. Paulsen, Ph.D., and chief investment strategist at Wells Capital Management, has provided some compelling data that makes a case for investing in stocks when the U.S. unemployment rate is high. Since January 1948 (monthly data), U.S. stocks posted an annualized total return of 20.43% for the highest quartile of unemployment rates, compared to an annualized total return of 7.34% for the lowest three quartiles.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2010. |
Change in Value of $10,000 Investment
Target VIP | Russell 3000 | |||||||
Portfolio | Index | |||||||
11/02/2005 | 10000 | 10000 | ||||||
12/31/2005 | 10140 | 10316 | ||||||
06/30/2006 | 10140 | 10650 | ||||||
12/31/2006 | 11231 | 11938 | ||||||
06/30/2007 | 12051 | 12787 | ||||||
12/31/2007 | 12325 | 12551 | ||||||
06/30/2008 | 10652 | 11165 | ||||||
12/31/2008 | 6984 | 7869 | ||||||
06/30/2009 | 6727 | 8199 | ||||||
12/31/2009 | 8015 | 10099 | ||||||
06/30/2010 | 7434 | 9488 |
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-083743/l40308l4030821.gif)
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 3000 Index measures the performance of the largest 3000 U.S. companies representing approximately 98% of the investable U.S. equity market. The Russell 3000 Index is constructed to provide a comprehensive, unbiased, and stable barometer of the broad market and is completely reconstituted annually to ensure new and growing equities are reflected. The index presented includes the effects of reinvested dividends.
(continued)
95
Ohio National Fund, Inc. | Target VIP Portfolio (Continued) |
Portfolio Composition as of June 30, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 98.7 | ||
Money Market Funds Less Net Liabilities | 1.3 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2010 (1) (2)
% of Net Assets | |||||||
1. | Cognizant Technology Solutions Corp. Class A | 4.5 | |||||
2. | Intuitive Surgical, Inc. | 3.7 | |||||
3. | Infosys Technologies Ltd. – ADR | 3.7 | |||||
4. | Travelers Cos., Inc. / The | 3.5 | |||||
5. | Procter & Gamble Co. / The | 3.5 | |||||
6. | Merck & Co., Inc. | 3.4 | |||||
7. | International Business Machines Corp. | 3.4 | |||||
8. | Microsoft Corp. | 3.4 | |||||
9. | Wal-Mart Stores, Inc. | 3.2 | |||||
10. | AT&T, Inc. | 3.1 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Information Technology | 20.9 | ||
Consumer Discretionary | 16.3 | ||
Health Care | 15.6 | ||
Consumer Staples | 13.0 | ||
Telecommunication Services | 10.5 | ||
Financials | 7.1 | ||
Energy | 6.1 | ||
Industrials | 6.0 | ||
Utilities | 2.7 | ||
Materials | 0.5 | ||
98.7 | |||
96
Ohio National Fund, Inc. | Target VIP Portfolio |
Schedule of Investments | June 30, 2010 (Unaudited) |
Common Stocks – 98.7% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 16.3% | ||||||||||
Fuel Systems Solutions, Inc. (Auto Components) | (a) | 752 | $ | 19,514 | ||||||
Lincoln Educational Services Corp. (Diversified Consumer Svs.) | (a) | 2,526 | 52,010 | |||||||
Bob Evans Farms, Inc. (Hotels, Restaurants & Leisure) | 3,064 | 75,436 | ||||||||
California Pizza Kitchen, Inc. (Hotels, Restaurants & Leisure) | (a) | 2,413 | 36,557 | |||||||
Peet’s Coffee & Tea, Inc. (Hotels, Restaurants & Leisure) | (a) | 1,279 | 50,226 | |||||||
Texas Roadhouse, Inc. (Hotels, Restaurants & Leisure) | (a) | 7,000 | 88,340 | |||||||
Garmin Ltd. (Household Durables) | 3,738 | 109,075 | ||||||||
National Presto Industries, Inc. (Household Durables) | 670 | 62,216 | ||||||||
Tupperware Brands Corp. (Household Durables) | 2,216 | 88,308 | ||||||||
NetFlix, Inc. (Internet & Catalog Retail) | (a) | 1,963 | 213,280 | |||||||
priceline.com, Inc. (Internet & Catalog Retail) | (a) | 2,774 | 489,722 | |||||||
DISH Network Corp. Class A (Media) | 3,915 | 71,057 | ||||||||
Virgin Media, Inc. (Media) | 6,270 | 104,646 | ||||||||
Big 5 Sporting Goods Corp. (Specialty Retail) | 1,824 | 23,967 | ||||||||
Dress Barn, Inc. / The (Specialty Retail) | (a) | 2,559 | 60,930 | |||||||
DSW, Inc. Class A (Specialty Retail) | (a) | 1,193 | 26,795 | |||||||
Genesco, Inc. (Specialty Retail) | (a) | 2,290 | 60,250 | |||||||
Guess?, Inc. (Specialty Retail) | 3,238 | 101,155 | ||||||||
Hibbett Sports, Inc. (Specialty Retail) | (a) | 2,803 | 67,160 | |||||||
J Crew Group, Inc. (Specialty Retail) | (a) | 2,253 | 82,933 | |||||||
Jo-Ann Stores, Inc. (Specialty Retail) | (a) | 940 | 35,259 | |||||||
Jos. A Bank Clothiers, Inc. (Specialty Retail) | (a) | 1,778 | 95,994 | |||||||
Men’s Wearhouse, Inc. / The (Specialty Retail) | 5,174 | 94,995 | ||||||||
TJX Cos., Inc. (Specialty Retail) | 3,725 | 156,264 | ||||||||
Urban Outfitters, Inc. (Specialty Retail) | (a) | 9,117 | 313,534 | |||||||
Coach, Inc. (Textiles, Apparel & Luxury Goods) | 2,821 | 103,108 | ||||||||
Culp, Inc. (Textiles, Apparel & Luxury Goods) | (a) | 3,237 | 35,477 | |||||||
Deckers Outdoor Corp. (Textiles, Apparel & Luxury Goods) | (a) | 433 | 61,863 | |||||||
Steven Madden Ltd. (Textiles, Apparel & Luxury Goods) | (a) | 1,144 | 36,059 | |||||||
True Religion Apparel, Inc. (Textiles, Apparel & Luxury Goods) | (a) | 2,453 | 54,138 | |||||||
2,870,268 | ||||||||||
CONSUMER STAPLES – 13.0% | ||||||||||
United Natural Foods, Inc. (Food & Staples Retailing) | (a) | 4,143 | 123,793 | |||||||
Wal-Mart Stores, Inc. (Food & Staples Retailing) | 11,730 | 563,861 | ||||||||
American Italian Pasta Co. Class A (Food Products) | (a) | 2,041 | 107,908 | |||||||
Mead Johnson Nutrition Co. (Food Products) | 745 | 37,339 | ||||||||
TreeHouse Foods, Inc. (Food Products) | (a) | 3,170 | 144,742 | |||||||
Procter & Gamble Co. / The (Household Products) | 10,378 | 622,472 | ||||||||
Herbalife Ltd. (Personal Products) | 2,138 | 98,455 | ||||||||
NBTY, Inc. (Personal Products) | (a) | 2,190 | 74,482 | |||||||
Nu Skin Enterprises, Inc. (Personal Products) | 2,200 | 54,846 | ||||||||
Lorillard, Inc. (Tobacco) | 579 | 41,676 | ||||||||
Philip Morris International, Inc. (Tobacco) | 6,893 | 315,975 | ||||||||
Universal Corp. (Tobacco) | 2,465 | 97,811 | ||||||||
2,283,360 | ||||||||||
ENERGY – 6.1% | ||||||||||
FMC Technologies, Inc. (Energy Equip. & Svs.) | (a) | 1,226 | 64,561 | |||||||
Hornbeck Offshore Services, Inc. (Energy Equip. & Svs.) | (a) | 2,522 | 36,821 | |||||||
National Oilwell Varco, Inc. (Energy Equip. & Svs.) | 4,191 | 138,596 | ||||||||
BP PLC – ADR (Oil, Gas & Consumable Fuels) | 4,563 | 131,779 | ||||||||
ENI SpA – ADR (Oil, Gas & Consumable Fuels) | 5,200 | 190,060 | ||||||||
Peabody Energy Corp. (Oil, Gas & Consumable Fuels) | 2,676 | 104,712 | ||||||||
Repsol YPF SA – ADR (Oil, Gas & Consumable Fuels) | 9,848 | 197,945 | ||||||||
Royal Dutch Shell PLC – ADR (Oil, Gas & Consumable Fuels) | 4,375 | 219,713 | ||||||||
1,084,187 | ||||||||||
FINANCIALS – 7.1% | ||||||||||
Franklin Resources, Inc. (Capital Markets) | 2,495 | 215,044 | ||||||||
GFI Group, Inc. (Capital Markets) | 11,877 | 66,274 | ||||||||
T Rowe Price Group, Inc. (Capital Markets) | 2,779 | 123,360 | ||||||||
Banco Santander SA – ADR (Commercial Banks) | 15,988 | 167,874 | ||||||||
Travelers Cos., Inc. / The (Insurance) | 12,673 | 624,145 | ||||||||
Plum Creek Timber Co., Inc. (Real Estate Investment Trusts) | 1,766 | 60,980 | ||||||||
1,257,677 | ||||||||||
HEALTH CARE – 15.6% | ||||||||||
Abaxis, Inc. (Health Care Equip. & Supplies) | (a) | 2,115 | 45,324 | |||||||
Baxter International, Inc. (Health Care Equip. & Supplies) | 4,168 | 169,387 | ||||||||
Intuitive Surgical, Inc. (Health Care Equip. & Supplies) | (a) | 2,063 | 651,124 | |||||||
Stryker Corp. (Health Care Equip. & Supplies) | 2,748 | 137,565 | ||||||||
Zoll Medical Corp. (Health Care Equip. & Supplies) | (a) | 2,120 | 57,452 | |||||||
HMS Holdings Corp. (Health Care Providers & Svs.) | (a) | 2,544 | 137,936 | |||||||
Kindred Healthcare, Inc. (Health Care Providers & Svs.) | (a) | 3,869 | 49,678 | |||||||
Cerner Corp. (Health Care Technology) | (a) | 1,541 | 116,946 | |||||||
Computer Programs & Systems, Inc. (Health Care Technology) | 1,065 | 43,580 | ||||||||
MedAssets, Inc. (Health Care Technology) | (a) | 5,521 | 127,425 | |||||||
Dionex Corp. (Life Sciences Tools & Svs.) | (a) | 1,718 | 127,922 | |||||||
Parexel International Corp. (Life Sciences Tools & Svs.) | (a) | 5,662 | 122,752 | |||||||
Waters Corp. (Life Sciences Tools & Svs.) | (a) | 650 | 42,055 | |||||||
GlaxoSmithKline PLC – ADR (Pharmaceuticals) | 6,244 | 212,358 | ||||||||
Merck & Co., Inc. (Pharmaceuticals) | 17,187 | 601,029 | ||||||||
Warner Chilcott PLC Class A (Pharmaceuticals) | (a) | 4,714 | 107,715 | |||||||
2,750,248 | ||||||||||
INDUSTRIALS – 6.0% | ||||||||||
GeoEye, Inc. (Aerospace & Defense) | (a) | 1,854 | 57,734 | |||||||
United Technologies Corp. (Aerospace & Defense) | 4,270 | 277,166 | ||||||||
EnergySolutions, Inc. (Commercial Svs. & Supplies) | 8,654 | 44,049 | ||||||||
Foster Wheeler AG (Construction & Engineering) | (a) | 1,060 | 22,324 | |||||||
Baldor Electric Co. (Electrical Equip.) | 4,535 | 163,623 | ||||||||
Chart Industries, Inc. (Machinery) | (a) | 2,807 | 43,733 | |||||||
Flowserve Corp. (Machinery) | 257 | 21,794 | ||||||||
Joy Global, Inc. (Machinery) | 1,925 | 96,423 | ||||||||
Middleby Corp. (Machinery) | (a) | 1,787 | 95,051 | |||||||
Robbins & Myers, Inc. (Machinery) | 3,259 | 70,851 | ||||||||
Dun & Bradstreet Corp. (Professional Svs.) | 237 | 15,907 | ||||||||
WESCO International, Inc. (Trading Companies & Distributors) | (a) | 4,178 | 140,673 | |||||||
1,049,328 | ||||||||||
INFORMATION TECHNOLOGY – 20.9% | ||||||||||
Netezza Corp. (Computers & Peripherals) | (a) | 5,871 | 80,315 | |||||||
Teradata Corp. (Computers & Peripherals) | (a) | 625 | 19,050 | |||||||
Western Digital Corp. (Computers & Peripherals) | (a) | 7,777 | 234,554 | |||||||
Amphenol Corp. Class A (Electronic Equip., Instr. & Comp.) | 618 | 24,275 | ||||||||
Scansource, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 2,572 | 64,120 | |||||||
Baidu, Inc. – ADR (Internet Software & Svs.) | (a) | 4,960 | 337,677 | |||||||
Cognizant Technology Solutions Corp. Class A (IT Svs.) | (a) | 15,919 | 796,905 | |||||||
Infosys Technologies Ltd. – ADR (IT Svs.) | 10,778 | 645,710 | ||||||||
International Business Machines Corp. (IT Svs.) | 4,791 | 591,593 | ||||||||
Unisys Corp. (IT Svs.) | (a) | 1,502 | 27,772 | |||||||
Wright Express Corp. (IT Svs.) | (a) | 1,332 | 39,560 |
(continued)
97
Ohio National Fund, Inc. | Target VIP Portfolio (Continued) |
Schedule of Investments | June 30, 2010 (Unaudited) |
Common Stocks (Continued) | Shares | Value | ||||||||
INFORMATION TECHNOLOGY (continued) | ||||||||||
Lawson Software, Inc. (Software) | (a) | 15,794 | $ | 115,296 | ||||||
Microsoft Corp. (Software) | 25,706 | 591,495 | ||||||||
Progress Software Corp. (Software) | (a) | 3,854 | 115,736 | |||||||
3,684,058 | ||||||||||
MATERIALS – 0.5% | ||||||||||
Koppers Holdings, Inc. (Chemicals) | 1,972 | 44,331 | ||||||||
NewMarket Corp. (Chemicals) | 531 | 46,367 | ||||||||
90,698 | ||||||||||
TELECOMMUNICATION SERVICES – 10.5% | ||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 22,491 | 544,057 | ||||||||
Cogent Communications Group, Inc. (Diversified Telecom. Svs.) | (a) | 4,389 | 33,269 | |||||||
Deutsche Telekom AG – ADR (Diversified Telecom. Svs.) | 17,931 | 209,255 | ||||||||
France Telecom SA – ADR (Diversified Telecom. Svs.) | 10,408 | 180,162 | ||||||||
Neutral Tandem, Inc. (Diversified Telecom. Svs.) | (a) | 3,287 | 36,979 | |||||||
Telefonica SA – ADR (Diversified Telecom. Svs.) | 3,160 | 175,475 | ||||||||
NII Holdings, Inc. (Wireless Telecom. Svs.) | (a) | 8,911 | 289,786 | |||||||
Syniverse Holdings, Inc. (Wireless Telecom. Svs.) | (a) | 6,776 | 138,569 | |||||||
Vodafone Group PLC – ADR (Wireless Telecom. Svs.) | 11,488 | 237,457 | ||||||||
1,845,009 | ||||||||||
UTILITIES – 2.7% | ||||||||||
Questar Corp. (Gas Utilities) | 568 | 25,838 | ||||||||
National Grid PLC – ADR (Multi-Utilities) | 4,877 | 179,620 | ||||||||
Public Service Enterprise Group, Inc. (Multi-Utilities) | 1,615 | 50,598 | ||||||||
Sempra Energy (Multi-Utilities) | 787 | 36,824 | ||||||||
Veolia Environnement – ADR (Multi-Utilities) | 7,967 | 186,189 | ||||||||
479,069 | ||||||||||
Total Common Stocks (Cost $18,750,076) | $ | 17,393,902 | ||||||||
Money Market Funds – 1.4% | Shares | Value | ||||||||
Fidelity Institutional Money Market Funds Money Market Portfolio – Class I | 247,000 | $ | 247,000 | |||||||
Total Money Market Funds (Cost $247,000) | $ | 247,000 | ||||||||
Total Investments – 100.1% (Cost $18,997,076) | (b) | $ | 17,640,902 | |||||||
Liabilities in Excess of Other Assets – (0.1)% | (24,244 | ) | ||||||||
Net Assets – 100.0% | $ | 17,616,658 | ||||||||
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depository Receipts
Footnotes:
(a) | Non-income producing security. | |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
98
Ohio National Fund, Inc. | Target Equity/Income Portfolio |
Objective/Strategy
The Target Equity/Income Portfolio seeks an above average total return by adhering to a disciplined, quantitative investment process that incorporates two distinct strategy methodologies.
Performance as of June 30, 2010
Average Annual Total Returns: | ||||
One year | 20.95% | |||
Since inception (11/2/05) | -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-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2010, the Target Equity/Income Portfolio returned -2.40% versus -6.05% for the current benchmark, the Russell 3000 Index.
The S&P 500 Index was performing quite well this year until the latter part of April. The index posted a gain of 9.8% from the start of the period through April 23. Historically speaking, that is nearly a year’s worth of gains in a little less than four months. The fact that the gains did not hold is understandable, as the stock market was poised for a sell-off. From the low in the market on March 9, 2009, through April 26, 2010, the S&P 500 Index posted a gain of 84%. That clearly qualified as a “too far, too fast” scenario. It takes 39 months, on average, for investors to recoup losses from a bear market, according to InvesTech. The current rally was just a little less than 14 months old. Investors should know that corrections are a common occurrence and an integral part of bull markets.
Standard & Poor’s uses four categories to classify sell-offs in equities: noise (decline up to 4.9%); pullback (decline of 5.0% to 9.9%); correction (decline of 10.0% to 19.9%); and bear market (decline of 20% or more). It refers to bear markets with losses exceeding 40.0% as mega-meltdowns. Since 1946, the S&P 500 Index has experienced 53 pullbacks with an average decline of 7%, 18 corrections with an average decline of 14%, and 12 bear markets with an average decline of 33% (three were mega-meltdowns), according to Sam Stovall, Chief Investment Strategist at S&P. With respect to the 18 corrections, once they bottomed it took only four months, on average, to climb back above the pre-correction level.
While no single event triggered the sell-off in equities, perhaps the biggest shock to the system came out of Europe. While the sovereign debt crisis in Greece was eventually averted in the near-term the event itself raised the specter of a contagion spreading to other European Union members. Those singled out initially, including Greece, are referred to as the “PIGS” (Portugal, Italy, Greece & Spain). The decision by the government in Greece to implement austerity measures motivated some economists to temper their global gross domestic product growth rate estimates moving forward. Add the oil leak in the Gulf and the weak labor market to the mix and you have yourself the type of catalyst that can trigger an overdue correction in the market.
The top performing stocks were the following: NetFlix, Inc. up 97.2%; Deckers Outdoor Corp. up 40.5%; United Bankshares, Inc. up 22.9%; FNB Corp. up 21.8%; and Steven Madden Ltd. up 14.6%. The worst performing stocks were the following: Unisys Corp. down 52.0%; Fuel Systems Solutions, Inc. down 37.1%; Western Digital Corp. down 31.7%; Guess?, Inc. down 25.4%; and NewMarket Corp. down 23.3%.(1)
The Financials sector was the largest contributor to the Portfolio’s year-to-date relative performance due to both strong stock selection and an over-weight position. The Portfolio’s exposure to the sector came mostly from the small/mid cap bank category and was gained through the Dow Dividend strategy within the Portfolio. Stock selection in the Health Care sector also contributed as did an over-weight position in Consumer Discretionary stocks. Minimal Industrials sector exposure was the biggest detractor from performance as the sector was among the top performers for the six-month period.(1)
The good news is that the International Monetary Fund (IMF), which had been slow early on in recognizing the strength of the current recovery, sees global gross domestic product growth at 4.5% in 2010 and 4.25% in 2011. That does not suggest that a slowdown or double-dip recession is in the making. James W. Paulsen, Ph.D., and chief investment strategist at Wells Capital Management, has provided some compelling data that makes a case for investing in stocks when the U.S. unemployment rate is high. Since January 1948 (monthly data), U.S. stocks posted an annualized total return of 20.43% for the highest quartile of unemployment rates, compared to an annualized total return of 7.34% for the lowest three quartiles.
Approximately 7,000 publicly owned companies report dividend information to Standard & Poor’s Dividend Record. In the second quarter of 2010, according to S&P, 34 companies decreased their dividend distribution, a significant improvement from the 250 cuts in the second quarter of 2009. The number of companies that increased their dividend payouts totaled 355, up from the 233 increases registered in the second quarter of 2009.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2010. |
(continued)
99
Ohio National Fund, Inc. | Target Equity/Income Portfolio (Continued) |
Change in Value of $10,000 Investment
Target | Russell 3000 | |||||||
Equity/Income Portfolio | Index | |||||||
11/02/2005 | 10000.0 | 10000.0 | ||||||
12/31/2005 | �� | 10130.0 | 10316.0 | |||||
06/30/2006 | 9970.0 | 10650.0 | ||||||
12/31/2006 | 11078.0 | 11938.0 | ||||||
06/30/2007 | 11924.0 | 12787.0 | ||||||
12/31/2007 | 12233.0 | 12551.0 | ||||||
06/30/2008 | 10357.0 | 11165.0 | ||||||
12/31/2008 | 6719.0 | 7869.0 | ||||||
06/30/2009 | 6090.0 | 8199.0 | ||||||
12/31/2009 | 7548.0 | 10099.0 | ||||||
06/30/2010 | 7366.0 | 9488.0 |
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-083743/l40308l4030822.gif)
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 3000 Index measures the performance of the largest 3000 U.S. companies representing approximately 98% of the investable U.S. equity market. The Russell 3000 index is constructed to provide a comprehensive, unbiased, and stable barometer of the broad market and is completely reconstituted annually to ensure new and growing equities are reflected. The index presented includes the effects of reinvested dividends.
Portfolio Composition as of June 30, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 98.5 | ||
Money Market Funds Less Net Liabilities | 1.5 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2010 (1) (2)
% of Net Assets | |||||||
1. | Cognizant Technology Solutions Corp. Class A | 7.7 | |||||
2. | Intuitive Surgical, Inc. | 6.3 | |||||
3. | priceline.com, Inc. | 4.1 | |||||
4. | NetFlix, Inc. | 3.7 | |||||
5. | Urban Outfitters, Inc. | 3.6 | |||||
6. | Western Digital Corp. | 3.5 | |||||
7. | NII Holdings, Inc. | 3.3 | |||||
8. | United Bankshares, Inc. | 3.0 | |||||
9. | FNB Corp. | 3.0 | |||||
10. | Astoria Financial 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) | Sectors: |
% of Net Assets | |||
Financials | 28.6 | ||
Consumer Discretionary | 21.4 | ||
Utilities | 14.4 | ||
Information Technology | 12.4 | ||
Consumer Staples | 8.8 | ||
Health Care | 6.3 | ||
Materials | 3.3 | ||
Telecommunication Services | 3.3 | ||
98.5 | |||
100
Ohio National Fund, Inc. | Target Equity/Income Portfolio |
Schedule of Investments | June 30, 2010 (Unaudited) |
Common Stocks – 98.5% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 21.4% | ||||||||||
Fuel Systems Solutions, Inc. (Auto Components) | (a) | 2,781 | $ | 72,167 | ||||||
Tupperware Brands Corp. (Household Durables) | 8,196 | 326,611 | ||||||||
NetFlix, Inc. (Internet & Catalog Retail) | (a) | 7,259 | 788,690 | |||||||
priceline.com, Inc. (Internet & Catalog Retail) | (a) | 4,868 | 859,397 | |||||||
Big 5 Sporting Goods Corp. (Specialty Retail) | 6,746 | 88,642 | ||||||||
Dress Barn, Inc. / The (Specialty Retail) | (a) | 9,465 | 225,362 | |||||||
DSW, Inc. Class A (Specialty Retail) | (a) | 4,414 | 99,138 | |||||||
Guess?, Inc. (Specialty Retail) | 11,973 | 374,037 | ||||||||
J Crew Group, Inc. (Specialty Retail) | (a) | 8,334 | 306,775 | |||||||
Jo-Ann Stores, Inc. (Specialty Retail) | (a) | 3,478 | 130,460 | |||||||
Urban Outfitters, Inc. (Specialty Retail) | (a) | 21,932 | 754,242 | |||||||
Culp, Inc. (Textiles, Apparel & Luxury Goods) | (a) | 11,969 | 131,180 | |||||||
Deckers Outdoor Corp. (Textiles, Apparel & Luxury Goods) | (a) | 1,601 | 228,735 | |||||||
Steven Madden Ltd. (Textiles, Apparel & Luxury Goods) | (a) | 4,230 | 133,330 | |||||||
4,518,766 | ||||||||||
CONSUMER STAPLES – 8.8% | ||||||||||
Kraft Foods, Inc. Class A (Food Products) | 19,831 | 555,268 | ||||||||
Herbalife Ltd. (Personal Products) | 7,910 | 364,256 | ||||||||
NBTY, Inc. (Personal Products) | (a) | 8,098 | 275,413 | |||||||
Nu Skin Enterprises, Inc. (Personal Products) | 8,134 | 202,781 | ||||||||
Universal Corp. (Tobacco) | 11,680 | 463,462 | ||||||||
1,861,180 | ||||||||||
FINANCIALS – 28.6% | ||||||||||
BB&T Corp. (Commercial Banks) | 21,332 | 561,245 | ||||||||
FNB Corp. (Commercial Banks) | 78,902 | 633,583 | ||||||||
Trustmark Corp. (Commercial Banks) | 23,914 | 497,889 | ||||||||
United Bankshares, Inc. (Commercial Banks) | 26,467 | 633,620 | ||||||||
Allstate Corp. / The (Insurance) | 17,858 | 513,060 | ||||||||
Cincinnati Financial Corp. (Insurance) | 20,638 | 533,905 | ||||||||
Mercury General Corp. (Insurance) | 13,728 | 568,888 | ||||||||
Astoria Financial Corp. (Thrifts & Mortgage Finance) | 43,548 | 599,220 | ||||||||
First Niagara Financial Group, Inc. (Thrifts & Mortgage Finance) | 38,860 | 486,916 | ||||||||
New York Community Bancorp, Inc. (Thrifts & Mortgage Finance) | 37,575 | 573,770 | ||||||||
People’s United Financial, Inc. (Thrifts & Mortgage Finance) | 32,473 | 438,386 | ||||||||
6,040,482 | ||||||||||
HEALTH CARE – 6.3% | ||||||||||
Intuitive Surgical, Inc. (Health Care Equip. & Supplies) | (a) | 4,220 | 1,331,916 | |||||||
INFORMATION TECHNOLOGY – 12.4% | ||||||||||
Western Digital Corp. (Computers & Peripherals) | (a) | 24,450 | 737,412 | |||||||
Cognizant Technology Solutions Corp. Class A (IT Svs.) | (a) | 32,552 | 1,629,553 | |||||||
Unisys Corp. (IT Svs.) | (a) | 5,555 | 102,712 | |||||||
Wright Express Corp. (IT Svs.) | (a) | 4,929 | 146,391 | |||||||
2,616,068 | ||||||||||
MATERIALS – 3.3% | ||||||||||
NewMarket Corp. (Chemicals) | 1,964 | 171,496 | ||||||||
Sensient Technologies Corp. (Chemicals) | 20,374 | 528,298 | ||||||||
699,794 | ||||||||||
TELECOMMUNICATION SERVICES – 3.3% | ||||||||||
NII Holdings, Inc. (Wireless Telecom. Svs.) | (a) | 21,435 | 697,066 | |||||||
UTILITIES – 14.4% | ||||||||||
Northeast Utilities (Electric Utilities) | 20,716 | 527,844 | ||||||||
Unisource Energy Corp. (Electric Utilities) | 16,467 | 496,974 | ||||||||
DTE Energy Co. (Multi-Utilities) | 12,294 | 560,729 | ||||||||
NiSource, Inc. (Multi-Utilities) | 34,862 | 505,499 | ||||||||
PG&E Corp. (Multi-Utilities) | 12,009 | 493,570 | ||||||||
Sempra Energy (Multi-Utilities) | 9,584 | 448,435 | ||||||||
3,033,051 | ||||||||||
Total Common Stocks (Cost $21,909,660) | $ | 20,798,323 | ||||||||
Money Market Funds – 3.0% | Shares | Value | ||||||||
Fidelity Institutional Money Market Funds Money Market Portfolio – Class I | 628,000 | $ | 628,000 | |||||||
Total Money Market Funds (Cost $628,000) | $ | 628,000 | ||||||||
Total Investments – 101.5% (Cost $22,537,660) | (b) | $ | 21,426,323 | |||||||
Liabilities in Excess of Other Assets – (1.5)% | (325,951 | ) | ||||||||
Net Assets – 100.0% | $ | 21,100,372 | ||||||||
Percentages are stated as a percent of net assets.
Footnotes:
(a) | Non-income producing security. | |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
101
Ohio National Fund, Inc. | Bristol Growth Portfolio |
Objective/Strategy
The Bristol Growth Portfolio seeks long-term growth by investing primarily in common stocks of the 1,000 largest publicly traded U.S. companies in terms of market capitalization.
Performance as of June 30, 2010
Average Annual Total Returns: | ||||
One year | 11.58% | |||
Since inception (5/1/07) | -6.84% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the six-month period ended June 30, 2010, the Bristol Growth Portfolio returned -8.57% versus -7.65% for the current benchmark, the Russell 1000 Growth Index.
There were three main reasons the equity markets performed so miserably during the first half of 2010. First, there seemed to be widespread fear that economic weakness in Greece, perhaps leading to eventual sovereign debt default was spreading across Europe, into weaker economies such as Spain, Italy and Portugal, and perhaps even into England. Even without actual debt default, the perception of cutbacks in federal stimulus in these countries seemed to put at risk the promise of stimulated expectation of growth. The weak Euro and weakening economies also focused investors of ongoing problems in European banks, and the spillover effect that more bank failures might have on the global economies.
Secondly, rightfully or wrongfully, it seemed that the world’s main engine of growth, China, began seeing signs of a slowing economy, and perhaps a growing real estate bubble. The news was vague coming out of China. On one hand, U.S. strategists felt the growth was not sustainable, and wished China would take steps to throttle growth. When such steps were taken, such as higher interest rates and greater deposits for homes, these same strategists became worried that growth was perhaps slowing too much.
Thirdly, U.S. investors began to take a dimmer view on policies from Washington. The financial reform bill seems that it will be passed in a fairly harsh and punitive tone, singling out large banks and Wall Street, for the accumulated real estate problems for two decades. Further analysis of the health care reform bill began to question the savings associated with the legislation, the stimulus spending was proving to be inadequate in truly leading to private sector expansion, and fears of increased taxes along with carbon taxes, perhaps might be preventing private companies from spending their cash hoards on new investments in a timelier manner.
The Portfolio’s over-weight in Financials, principally in large banks and insurance companies, was the main cause of underperformance, along with too much exposure to commodities. As mentioned, the banks were singled out by Washington in the financial overhaul bill, and Citigroup, Inc., Bank of America Corp., Wells Fargo & Co., JPMorgan Chase & Co., and Morgan Stanley all under-performed. The life insurance companies were primarily hit because of fears of foreign debt exposure, even though it is minimal in the companies we own as well as perhaps the unknown of the cost of the derivative legislation proposed in the financial reform bill. MetLife, Inc. and Lincoln National Corp. were down by approximately 8% on average.(1)
Perceived China and global economic weakness hit Dow Chemical Co., Teck Resources Ltd., Freeport-McMoRan Copper & Gold, Inc., Caterpillar, Inc. as well as other cyclicals. We sold Freeport-McMoRan Copper & Gold, Inc., and part of Teck Resources Ltd., but would look to buy them back when the fears of a global slowdown reach a crescendo.(1)
The major investment policy change we made was reducing our exposure to Consumer Discretionary. We have sold NIKE, Inc., Royal Caribbean Cruises Ltd., American Express Co., Bed Bath & Beyond, Inc., Lowe’s Companies, Inc., V.F. Corp. and most recently have been reducing McDonald’s Corp., Tiffany & Co., and Target Corp. Job growth does not seem to be resuming. The cost of the federal deficit, possibly in the short term but most probably in the long term, is going to squeeze out private investments, likely making this recovery anemic. American workers fortunate enough to have jobs will be forced to save more and spend less; and those that don’t will continue to become a necessary, but very expensive burden, on society. The length of time that millions have been out of work is making it more improbable that they will ever return to the workforce at anything close to their original productivity.(1)
Fortunately, we sold Transocean Ltd. days prior to its implosion as it reached our valuation target. We sold Anadarko Petroleum Corp. at $62 (considerably higher than its June 30, 2010 closing price of $36.09 per share), as we and the rest of the world slowly became aware of the extent of the BP disaster, and the economic consequences.(1)
The stock market is not expensive. On a forward price to earnings basis, it is apparently trading at only 12 times 2011 numbers. On 2012 projected numbers, the market is trading at only 10 times earnings. Obviously, if the economy double dips, these numbers are rather meaningless. We are taking a rather cautious view of the economy for now. We continue to over-weight Financials, because most companies in the sector don’t need a strong economy to rid themselves of bad credit and return to normal returns on capital. As mentioned, we are under-weighted consumer cyclicals and discretionary type stocks, and now are over-weighted in food stocks. Health care is still problematic as pricing is under siege around the world on pharmaceuticals, including generics, and medical technology procedures and devices.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of June 30, 2010. |
(continued)
102
Ohio National Fund, Inc. | Bristol Growth Portfolio (Continued) |
Change in Value of $10,000 Investment
Bristol Growth | Russell 1000 | |||||||
Portfolio | Growth Index | |||||||
05/01/2007 | 10000 | 10000 | ||||||
06/30/2007 | 10230 | 10173 | ||||||
12/31/2007 | 10340 | 10520 | ||||||
06/30/2008 | 9520 | 9567 | ||||||
12/31/2008 | 6144 | 6477 | ||||||
06/30/2009 | 7163 | 7223 | ||||||
12/31/2009 | 8741 | 8886 | ||||||
06/30/2010 | 7992 | 8207 |
![(PERFORMANCE GRAPH)](https://capedge.com/proxy/N-CSRS/0000950123-10-083743/l40308l4030823.gif)
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 with higher price-to-book ratios and higher forecasted growth values. The index presented herein includes the effects of requested dividends.
Portfolio Composition as of June 30, 2010 (1)
% of Net Assets | |||
Common Stocks (3) (4) | 14.1 | ||
Money Market Funds and Other Net Assets (4) | 85.9 | ||
100.0 | |||
Top 10 Portfolio Holdings as of June 30, 2010 (1) (2)
% of Net Assets | |||||||
1. | Apple, Inc. | 0.6 | |||||
2. | International Business Machines Corp. | 0.6 | |||||
3. | Cisco Systems, Inc. | 0.5 | |||||
4. | Microsoft Corp. | 0.5 | |||||
5. | Exxon Mobil Corp. | 0.4 | |||||
6. | PepsiCo, Inc. | 0.4 | |||||
7. | Oracle Corp. | 0.4 | |||||
8. | QUALCOMM, Inc. | 0.4 | |||||
9. | Google, Inc. Class A | 0.3 | |||||
10. | 3M Co. | 0.3 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Information Technology | 4.9 | ||
Consumer Staples | 1.6 | ||
Financials | 1.6 | ||
Industrials | 1.5 | ||
Consumer Discretionary | 1.3 | ||
Energy | 1.3 | ||
Health Care | 1.0 | ||
Materials | 0.9 | ||
14.1 | |||
(4) | Common stocks as a percentage of net assets is unusually low at June 30, 2010 due to a large pending purchase of the Portfolio shares that resulted from a periodic, quarter-end update to the Ohio National Life Insurance Company (ONLIC) asset allocation model program. The settlement of this purchase occurred on July 1, 2010, in the normal course of the Fund’s transfer agent’s operations. |
103
Ohio National Fund, Inc. | Bristol Growth Portfolio |
Schedule of Investments | June 30, 2010 (Unaudited) |
Common Stocks – 14.1% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 1.3% | ||||||||||
Darden Restaurants, Inc. (Hotels, Restaurants & Leisure) | 3,835 | $ | 148,990 | |||||||
McDonald’s Corp. (Hotels, Restaurants & Leisure) | 1,700 | 111,979 | ||||||||
Yum! Brands, Inc. (Hotels, Restaurants & Leisure) | 4,900 | 191,296 | ||||||||
Viacom, Inc. Class B (Media) | 5,900 | 185,083 | ||||||||
Target Corp. (Multiline Retail) | 2,300 | 113,091 | ||||||||
Tiffany & Co. (Specialty Retail) | 3,400 | 128,894 | ||||||||
879,333 | ||||||||||
CONSUMER STAPLES – 1.6% | ||||||||||
Coca-Cola Co. / The (Beverages) | 4,000 | 200,480 | ||||||||
Molson Coors Brewing Co. Class B (Beverages) | 3,400 | 144,024 | ||||||||
PepsiCo, Inc. (Beverages) | 4,600 | 280,370 | ||||||||
Wal-Mart Stores, Inc. (Food & Staples Retailing) | 4,000 | 192,280 | ||||||||
Campbell Soup Co. (Food Products) | 4,600 | 164,818 | ||||||||
Ralcorp Holdings, Inc. (Food Products) | (a) | 1,400 | 76,720 | |||||||
1,058,692 | ||||||||||
ENERGY – 1.3% | ||||||||||
Apache Corp. (Oil, Gas & Consumable Fuels) | 800 | 67,352 | ||||||||
Devon Energy Corp. (Oil, Gas & Consumable Fuels) | 2,300 | 140,116 | ||||||||
EOG Resources, Inc. (Oil, Gas & Consumable Fuels) | 2,000 | 196,740 | ||||||||
Exxon Mobil Corp. (Oil, Gas & Consumable Fuels) | 5,200 | 296,764 | ||||||||
Southwestern Energy Co. (Oil, Gas & Consumable Fuels) | (a) | 4,600 | 177,744 | |||||||
878,716 | ||||||||||
FINANCIALS – 1.6% | ||||||||||
State Street Corp. (Capital Markets) | 5,000 | 169,100 | ||||||||
Wells Fargo & Co. (Commercial Banks) | 3,700 | 94,720 | ||||||||
Bank of America Corp. (Diversified Financial Svs.) | 4,900 | 70,413 | ||||||||
Citigroup, Inc. (Diversified Financial Svs.) | (a) | 33,000 | 124,080 | |||||||
JPMorgan Chase & Co. (Diversified Financial Svs.) | 3,500 | 128,135 | ||||||||
Hartford Financial Services Group, Inc. (Insurance) | 5,700 | 126,141 | ||||||||
Lincoln National Corp. (Insurance) | 6,000 | 145,740 | ||||||||
MetLife, Inc. (Insurance) | 5,100 | 192,576 | ||||||||
1,050,905 | ||||||||||
HEALTH CARE – 1.0% | ||||||||||
Amgen, Inc. (Biotechnology) | (a) | 2,400 | 126,240 | |||||||
Hospira, Inc. (Health Care Equip. & Supplies) | (a) | 3,300 | 189,585 | |||||||
Zimmer Holdings, Inc. (Health Care Equip. & Supplies) | (a) | 2,700 | 145,935 | |||||||
Merck & Co., Inc. (Pharmaceuticals) | 5,600 | 195,832 | ||||||||
657,592 | ||||||||||
INDUSTRIALS – 1.5% | ||||||||||
Goodrich Corp. (Aerospace & Defense) | 1,800 | 119,250 | ||||||||
Honeywell International, Inc. (Aerospace & Defense) | 4,900 | 191,247 | ||||||||
United Parcel Service, Inc. Class B (Air Freight & Logistics) | 3,300 | 187,737 | ||||||||
3M Co. (Industrial Conglomerates) | 2,600 | 205,374 | ||||||||
General Electric Co. (Industrial Conglomerates) | 10,600 | 152,852 | ||||||||
Caterpillar, Inc. (Machinery) | 2,700 | 162,189 | ||||||||
1,018,649 | ||||||||||
INFORMATION TECHNOLOGY – 4.9% | ||||||||||
Cisco Systems, Inc. (Communications Equip.) | (a) | 15,100 | 321,781 | |||||||
QUALCOMM, Inc. (Communications Equip.) | 7,200 | 236,448 | ||||||||
Apple, Inc. (Computers & Peripherals) | (a) | 1,550 | 389,871 | |||||||
Dell, Inc. (Computers & Peripherals) | (a) | 15,800 | 190,548 | |||||||
Hewlett-Packard Co. (Computers & Peripherals) | 4,400 | 190,432 | ||||||||
Google, Inc. Class A (Internet Software & Svs.) | (a) | 510 | 226,925 | |||||||
International Business Machines Corp. (IT Svs.) | 3,100 | 382,788 | ||||||||
Altera Corp. (Semiconductors & Equip.) | 7,700 | 191,037 | ||||||||
Intel Corp. (Semiconductors & Equip.) | 5,600 | 108,920 | ||||||||
Maxim Integrated Products, Inc. (Semiconductors & Equip.) | 8,400 | 140,532 | ||||||||
SunPower Corp. Class B (Semiconductors & Equip.) | (a) | 9,803 | 105,872 | |||||||
Texas Instruments, Inc. (Semiconductors & Equip.) | 5,400 | 125,712 | ||||||||
Varian Semiconductor Equipment Associates, Inc. (Semiconductors & Equip.) | (a) | 2,500 | 71,650 | |||||||
Microsoft Corp. (Software) | 13,200 | 303,732 | ||||||||
Oracle Corp. (Software) | 11,600 | 248,936 | ||||||||
3,235,184 | ||||||||||
MATERIALS – 0.9% | ||||||||||
Air Products & Chemicals, Inc. (Chemicals) | 3,000 | 194,430 | ||||||||
Dow Chemical Co. / The (Chemicals) | 6,000 | 142,320 | ||||||||
Praxair, Inc. (Chemicals) | 2,500 | 189,975 | ||||||||
Teck Resources Ltd. (Metals & Mining) | 2,300 | 68,034 | ||||||||
594,759 | ||||||||||
Total Common Stocks (Cost $9,880,465) | $ | 9,373,830 | ||||||||
Money Market Funds – 0.5% | Shares | Value | ||||||||
Fidelity Institutional Money Market Funds Money Market Portfolio – Class I | 318,000 | $ | 318,000 | |||||||
Total Money Market Funds (Cost $318,000) | $ | 318,000 | ||||||||
Total Investments – 14.6% (Cost $10,198,465) | (b) | $ | 9,691,830 | |||||||
Other Assets in Excess of Liabilities – 85.4% | 56,553,927 | |||||||||
Net Assets – 100.0% | $ | 66,245,757 | ||||||||
Percentages are stated as a percent of net assets.
Footnotes:
(a) | Non-income producing security. | |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
104
Ohio National Fund, Inc.
Statements of Assets and Liabilities | June 30, 2010 (Unaudited) |
Capital | International | |||||||||||||||||||||||||||||||
Equity | Money Market | Bond | Omni | International | Appreciation | Millennium | Small-Mid Company | |||||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | |||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Investments in securities, at value* | $ | 188,129,366 | $ | 297,747,798 | $ | 145,005,729 | $ | 37,834,279 | $ | 175,723,688 | $ | 112,806,438 | $ | 76,747,873 | $ | 59,801,808 | ||||||||||||||||
Repurchase agreements | 1,110,303 | 15,000,000 | 7,700,000 | — | — | — | 36,165,000 | — | ||||||||||||||||||||||||
Cash | — | 15,574,376 | 294,101 | 803 | — | 14,119 | 425 | — | ||||||||||||||||||||||||
Foreign currencies, at value** | — | — | — | — | 1,496,372 | — | — | 10,178 | ||||||||||||||||||||||||
Receivable for securities sold | 1,924,881 | — | — | 331,548 | 725,861 | — | 412,424 | 454,270 | ||||||||||||||||||||||||
Due from adviser | — | 19,867 | — | — | — | — | — | — | ||||||||||||||||||||||||
Receivable for fund shares sold | 4,885,844 | 2,051,828 | 1,498,136 | 90,645 | 6,551,041 | 1,721,730 | 45,186 | 18,348 | ||||||||||||||||||||||||
Dividends and accrued interest receivable | 107,051 | 8,452 | 1,741,255 | 196,555 | 408,991 | 80,747 | 6,923 | 86,829 | ||||||||||||||||||||||||
Foreign tax reclaim receivable | — | — | — | — | 210,092 | 11,385 | — | 65,236 | ||||||||||||||||||||||||
Prepaid expenses and other assets | 3,770 | 4,132 | 1,656 | 685 | 3,430 | 2,095 | 1,815 | 1,140 | ||||||||||||||||||||||||
Net unrealized appreciation on foreign currency contracts | — | — | — | — | 2,295,622 | — | — | — | ||||||||||||||||||||||||
Total assets | 196,161,215 | 330,406,453 | 156,240,877 | 38,454,515 | 187,415,097 | 114,636,514 | 113,379,646 | 60,437,809 | ||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Payable for securities purchased | 1,745,676 | — | — | 231,560 | 1,276,062 | — | — | 322,528 | ||||||||||||||||||||||||
Payable for fund shares redeemed | 106,106 | 4,060,142 | 4,878,737 | 27,893 | 209,466 | 527,022 | 78,347,909 | 16,134 | ||||||||||||||||||||||||
Variation margin payable to broker | — | — | — | — | 3,616 | — | — | — | ||||||||||||||||||||||||
Payable for investment management services | 131,951 | 67,417 | 70,729 | 19,517 | 126,811 | 78,194 | 75,325 | 51,122 | ||||||||||||||||||||||||
Payable for compliance services | 566 | 566 | 566 | 566 | 566 | 566 | 566 | 566 | ||||||||||||||||||||||||
Accrued custody expense | 1,488 | 2,058 | 876 | 562 | 24,747 | 1,014 | 1,026 | 8,690 | ||||||||||||||||||||||||
Accrued professional fees | 5,651 | 5,651 | 5,651 | 5,651 | 5,651 | 5,651 | 5,651 | 5,651 | ||||||||||||||||||||||||
Accrued accounting fees | 13,297 | 18,032 | 12,292 | 5,401 | 1,438 | 8,267 | 7,688 | 2,127 | ||||||||||||||||||||||||
Accrued printing and filing fees | 14,575 | 24,886 | 10,762 | 2,836 | 13,163 | 8,543 | 7,840 | 4,330 | ||||||||||||||||||||||||
Withholding tax payable | — | — | — | 389 | — | — | — | 54,973 | ||||||||||||||||||||||||
Total liabilities | 2,019,310 | 4,178,752 | 4,979,613 | 294,375 | 1,661,520 | 629,257 | 78,446,005 | 466,121 | ||||||||||||||||||||||||
Net assets | $ | 194,141,905 | $ | 326,227,701 | $ | 151,261,264 | $ | 38,160,140 | $ | 185,753,577 | $ | 114,007,257 | $ | 34,933,641 | $ | 59,971,688 | ||||||||||||||||
Net assets consist of: | ||||||||||||||||||||||||||||||||
Par value, $1 per share | $ | 11,922,882 | $ | 32,622,783 | $ | 11,705,110 | $ | 2,752,628 | $ | 20,019,007 | $ | 6,903,584 | $ | 2,054,316 | $ | 3,463,331 | ||||||||||||||||
Paid-in capital in excess of par value | 323,390,096 | 293,604,918 | 139,224,364 | 44,936,421 | 267,756,006 | 145,658,760 | 53,416,093 | 73,132,719 | ||||||||||||||||||||||||
Accumulated net realized gain (loss) on investments | (122,843,805 | ) | — | (17,053,705 | ) | (9,185,429 | ) | (120,258,784 | ) | (33,342,081 | ) | (19,303,009 | ) | (22,920,222 | ) | |||||||||||||||||
Net unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||||||||||
Investments | (18,557,584 | ) | — | 8,381,290 | (789,178 | ) | 10,772,160 | (5,564,050 | ) | (837,889 | ) | 6,113,002 | ||||||||||||||||||||
Foreign currency contracts | — | — | — | — | 2,295,622 | — | — | — | ||||||||||||||||||||||||
Futures contracts | — | — | — | — | (98,735 | ) | — | — | — | |||||||||||||||||||||||
Other foreign currency related transactions | — | — | — | (64 | ) | (6,679 | ) | (360 | ) | — | (59,279 | ) | ||||||||||||||||||||
Undistributed net investment income (loss) | 230,316 | — | 9,004,205 | 445,762 | 5,274,980 | 351,404 | (395,870 | ) | 242,137 | |||||||||||||||||||||||
Net assets | $ | 194,141,905 | $ | 326,227,701 | $ | 151,261,264 | $ | 38,160,140 | $ | 185,753,577 | $ | 114,007,257 | $ | 34,933,641 | $ | 59,971,688 | ||||||||||||||||
* Investments in securities, at cost | $ | 206,686,950 | $ | 297,747,798 | $ | 136,624,439 | $ | 38,623,457 | $ | 164,951,528 | $ | 118,370,488 | $ | 77,585,762 | $ | 53,688,806 | ||||||||||||||||
** Foreign currencies, at cost | $ | — | $ | — | $ | — | $ | — | $ | 1,495,797 | $ | — | $ | — | $ | 10,169 | ||||||||||||||||
Shares outstanding | 11,922,882 | 32,622,783 | 11,705,110 | 2,752,628 | 20,019,007 | 6,903,584 | 2,054,316 | 3,463,331 | ||||||||||||||||||||||||
Authorized Fund shares allocated to Portfolio | 25,000,000 | 55,000,000 | 20,000,000 | 5,000,000 | 34,000,000 | 15,000,000 | 10,000,000 | 10,000,000 | ||||||||||||||||||||||||
Net asset value per share | $ | 16.28 | $ | 10.00 | $ | 12.92 | $ | 13.86 | $ | 9.28 | $ | 16.51 | $ | 17.00 | $ | 17.32 | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
105
Ohio National Fund, Inc.
Statements of Assets and Liabilities | June 30, 2010 (Unaudited) |
Aggressive | Small Cap | Mid Cap | S&P 500® | High Income | Nasdaq-100® | |||||||||||||||||||||||||||
Growth | Growth | Opportunity | Index | Strategic Value | Bond | Capital Growth | Index | |||||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | |||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Investments in securities, at value* | $ | 23,036,021 | $ | 22,349,348 | $ | 57,806,259 | $ | 144,636,195 | $ | 19,972,627 | $ | 192,618,574 | $ | 35,854,893 | $ | 38,456,829 | ||||||||||||||||
Repurchase agreements | — | — | — | 620,000 | — | — | — | — | ||||||||||||||||||||||||
Cash | 125 | 184 | 828 | 1,295 | 736 | 902 | 287 | 4,726 | ||||||||||||||||||||||||
Receivable for securities sold | 90,731 | 67,913 | 42,471 | 4 | — | 392,752 | 164,407 | — | ||||||||||||||||||||||||
Receivable for fund shares sold | 17,514 | 26,800 | 94,471 | 117,030 | 10,522 | 39,604,439 | 6,375 | 388,619 | ||||||||||||||||||||||||
Dividends and accrued interest receivable | 1,780 | 2,746 | 28,811 | 197,456 | 105,429 | 3,837,176 | 12,592 | 18,194 | ||||||||||||||||||||||||
Foreign tax reclaim receivable | 4,795 | — | — | — | 3,891 | — | — | — | ||||||||||||||||||||||||
Prepaid expenses and other assets | 445 | 384 | 2,794 | 2,628 | 319 | 2,136 | 623 | 770 | ||||||||||||||||||||||||
Total assets | 23,151,411 | 22,447,375 | 57,975,634 | 145,574,608 | 20,093,524 | 236,455,979 | 36,039,177 | 38,869,138 | ||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Net unrealized depreciation on foreign currency contracts | — | — | — | — | 64,040 | — | — | — | ||||||||||||||||||||||||
Payable for securities purchased | — | 53,041 | 306,241 | 241,821 | — | 721,770 | — | — | ||||||||||||||||||||||||
Payable for fund shares redeemed | 85,303 | 17,794 | 140,034 | 108,348 | 21,984 | 4,436,482 | 10,636 | 4,959 | ||||||||||||||||||||||||
Payable for investment management services | 16,099 | 17,365 | 42,468 | 48,021 | 12,562 | 112,477 | 28,198 | 13,465 | ||||||||||||||||||||||||
Payable for compliance services | 566 | 566 | 566 | 566 | 566 | 566 | 566 | 566 | ||||||||||||||||||||||||
Accrued custody expense | 1,660 | 1,015 | 486 | 654 | 357 | 1,013 | 305 | 747 | ||||||||||||||||||||||||
Accrued professional fees | 5,651 | 5,651 | 5,651 | 5,651 | 5,651 | 5,651 | 5,651 | 5,651 | ||||||||||||||||||||||||
Accrued accounting fees | 2,825 | 2,642 | 4,508 | 13,094 | 2,310 | 22,422 | 3,215 | 3,752 | ||||||||||||||||||||||||
Accrued printing and filing fees | 1,744 | 1,630 | 1,695 | 10,747 | 1,408 | 13,340 | 2,695 | 2,923 | ||||||||||||||||||||||||
Withholding tax payable | — | — | — | — | 1,473 | — | — | — | ||||||||||||||||||||||||
Total liabilities | 113,848 | 99,704 | 501,649 | 428,902 | 110,351 | 5,313,721 | 51,266 | 32,063 | ||||||||||||||||||||||||
Net assets | $ | 23,037,563 | $ | 22,347,671 | $ | 57,473,985 | $ | 145,145,706 | $ | 19,983,173 | $ | 231,142,258 | $ | 35,987,911 | $ | 38,837,075 | ||||||||||||||||
Net assets consist of: | ||||||||||||||||||||||||||||||||
Par value, $1 per share | $ | 3,451,848 | $ | 2,261,289 | $ | 3,932,604 | $ | 13,329,292 | $ | 2,457,623 | $ | 20,550,719 | $ | 1,770,039 | $ | 8,677,871 | ||||||||||||||||
Paid-in capital in excess of par value | 26,616,133 | 25,817,240 | 93,543,384 | 155,510,803 | 27,809,347 | 193,767,544 | 42,081,690 | 29,433,039 | ||||||||||||||||||||||||
Accumulated net realized gain (loss) on investments | (7,389,538 | ) | (7,837,842 | ) | (37,469,982 | ) | (17,908,521 | ) | (9,821,096 | ) | (5,121,759 | ) | (12,759,149 | ) | (3,882,688 | ) | ||||||||||||||||
Net unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||||||||||
Investments | 285,297 | 2,201,337 | (2,420,262 | ) | (7,277,564 | ) | (859,682 | ) | 3,781,815 | 5,022,750 | 4,490,400 | |||||||||||||||||||||
Foreign currency contracts | — | — | — | — | (64,040 | ) | — | — | — | |||||||||||||||||||||||
Other foreign currency related transactions | 84 | — | — | — | (900 | ) | — | — | — | |||||||||||||||||||||||
Undistributed net investment income (loss) | 73,739 | (94,353 | ) | (111,759 | ) | 1,491,696 | 461,921 | 18,163,939 | (127,419 | ) | 118,453 | |||||||||||||||||||||
Net assets | $ | 23,037,563 | $ | 22,347,671 | $ | 57,473,985 | $ | 145,145,706 | $ | 19,983,173 | $ | 231,142,258 | $ | 35,987,911 | $ | 38,837,075 | ||||||||||||||||
* Investments in securities, at cost | $ | 22,750,724 | $ | 20,148,011 | $ | 60,226,521 | $ | 151,913,759 | $ | 20,832,309 | $ | 188,836,759 | $ | 30,832,143 | $ | 33,966,429 | ||||||||||||||||
Shares outstanding | 3,451,848 | 2,261,289 | 3,932,604 | 13,329,292 | 2,457,623 | 20,550,719 | 1,770,039 | 8,677,871 | ||||||||||||||||||||||||
Authorized Fund shares allocated to Portfolio | 10,000,000 | 5,000,000 | 10,000,000 | 23,000,000 | 5,000,000 | 25,000,000 | 5,000,000 | 20,000,000 | ||||||||||||||||||||||||
Net asset value per share | $ | 6.67 | $ | 9.88 | $ | 14.61 | $ | 10.89 | $ | 8.13 | $ | 11.25 | $ | 20.33 | $ | 4.48 | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
106
Ohio National Fund, Inc.
Statements of Assets and Liabilities | June 30, 2010 (Unaudited) |
Income | Target | Target | ||||||||||||||||||||||||||||||
Bristol | Bryton Growth | U.S. Equity | Balanced | Opportunity | VIP | Equity/Income | Bristol Growth | |||||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | |||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Investments in securities, at value* | $ | 137,462,870 | $ | 112,140,737 | $ | 11,573,977 | $ | 12,564,335 | $ | 7,535,816 | $ | 17,640,902 | $ | 21,426,323 | $ | 9,691,830 | ||||||||||||||||
Cash | 911 | 909 | 328 | 551 | 108,303 | 27 | 578 | 123 | ||||||||||||||||||||||||
Receivable for securities sold | 1,796,321 | 761,963 | — | — | 20,109 | — | — | 702,736 | ||||||||||||||||||||||||
Receivable for fund shares sold | 12,567,012 | 4,946,139 | 4,207 | 6,854 | 2,301 | 3,938 | 6,110 | 61,484,308 | ||||||||||||||||||||||||
Dividends and accrued interest receivable | 173,597 | 10,823 | 16,804 | 73,181 | 8,552 | 46,038 | 43,286 | 11,560 | ||||||||||||||||||||||||
Foreign tax reclaim receivable | — | — | — | — | 142 | 2,632 | — | — | ||||||||||||||||||||||||
Prepaid expenses and other assets | 2,356 | 1,894 | 228 | 211 | 116 | 333 | 384 | 170 | ||||||||||||||||||||||||
Total assets | 152,003,067 | 117,862,465 | 11,595,544 | 12,645,132 | 7,675,339 | 17,693,870 | 21,476,681 | 71,890,727 | ||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Options written, at value** | — | — | — | — | 79,605 | — | — | — | ||||||||||||||||||||||||
Payable for securities purchased | 1,245,819 | 1,278,926 | — | — | 41,514 | — | 299,417 | 669,588 | ||||||||||||||||||||||||
Payable for fund shares redeemed | 2,011,803 | 9,305,043 | 1,358 | 862 | 28,281 | 56,441 | 55,912 | 4,959,807 | ||||||||||||||||||||||||
Payable for investment management services | 91,772 | 80,380 | 7,558 | 6,909 | 5,063 | 9,121 | 10,883 | 6,716 | ||||||||||||||||||||||||
Payable for compliance services | 566 | 566 | 566 | 566 | 566 | 566 | 566 | 566 | ||||||||||||||||||||||||
Accrued custody expense | 979 | 819 | 266 | 97 | 1,124 | 196 | 234 | 396 | ||||||||||||||||||||||||
Accrued professional fees | 5,651 | 5,651 | 5,651 | 5,651 | 5,651 | 5,651 | 5,651 | 5,651 | ||||||||||||||||||||||||
Accrued accounting fees | 9,413 | 7,950 | 1,784 | 3,632 | 1,786 | 2,336 | 2,068 | 1,432 | ||||||||||||||||||||||||
Accrued printing and filing fees | 10,124 | 8,149 | 888 | 920 | 539 | 1,316 | 1,578 | 707 | ||||||||||||||||||||||||
Withholding tax payable | 2,037 | — | — | 127 | 97 | 1,585 | — | 107 | ||||||||||||||||||||||||
Total liabilities | 3,378,164 | 10,687,484 | 18,071 | 18,764 | 164,226 | 77,212 | 376,309 | 5,644,970 | ||||||||||||||||||||||||
Net assets | $ | 148,624,903 | $ | 107,174,981 | $ | 11,577,473 | $ | 12,626,368 | $ | 7,511,113 | $ | 17,616,658 | $ | 21,100,372 | $ | 66,245,757 | ||||||||||||||||
Net assets consist of: | ||||||||||||||||||||||||||||||||
Par value, $1 per share | $ | 14,550,906 | $ | 10,449,767 | $ | 1,413,044 | $ | 1,003,521 | $ | 694,855 | $ | 2,461,958 | $ | 3,059,542 | $ | 8,280,067 | ||||||||||||||||
Paid-in capital in excess of par value | 158,169,406 | 102,992,228 | 18,171,681 | 12,674,656 | 6,836,754 | 26,235,165 | 35,645,678 | 59,410,877 | ||||||||||||||||||||||||
Accumulated net realized gain (loss) on investments | (17,691,604 | ) | (5,987,358 | ) | (7,555,873 | ) | (1,237,324 | ) | (73,327 | ) | (9,911,471 | ) | (16,699,394 | ) | (974,241 | ) | ||||||||||||||||
Net unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||||||||||
Investments | (6,948,742 | ) | 175,202 | (526,077 | ) | (35,393 | ) | (23,874 | ) | (1,356,174 | ) | (1,111,337 | ) | (506,635 | ) | |||||||||||||||||
Foreign currency related transactions | (333 | ) | — | — | — | (3 | ) | — | — | (18 | ) | |||||||||||||||||||||
Written options | — | — | — | — | 35,599 | — | — | — | ||||||||||||||||||||||||
Undistributed net investment income (loss) | 545,270 | (454,858 | ) | 74,698 | 220,908 | 41,109 | 187,180 | 205,883 | 35,707 | |||||||||||||||||||||||
Net assets | $ | 148,624,903 | $ | 107,174,981 | $ | 11,577,473 | $ | 12,626,368 | $ | 7,511,113 | $ | 17,616,658 | $ | 21,100,372 | $ | 66,245,757 | ||||||||||||||||
* Investments in securities, at cost | $ | 144,411,612 | $ | 111,965,535 | $ | 12,100,054 | $ | 12,599,728 | $ | 7,559,690 | $ | 18,997,076 | $ | 22,537,660 | $ | 10,198,465 | ||||||||||||||||
** Premiums received on options written | $ | — | $ | — | $ | — | $ | — | $ | 115,204 | $ | — | $ | — | $ | — | ||||||||||||||||
Shares outstanding | 14,550,906 | 10,449,767 | 1,413,044 | 1,003,521 | 694,855 | 2,461,958 | 3,059,542 | 8,280,067 | ||||||||||||||||||||||||
Authorized Fund shares allocated to Portfolio | 25,000,000 | 20,000,000 | 5,000,000 | 3,000,000 | 3,000,000 | 5,000,000 | 7,000,000 | 5,000,000 | ||||||||||||||||||||||||
Net asset value per share | $ | 10.21 | $ | 10.26 | $ | 8.19 | $ | 12.58 | $ | 10.81 | $ | 7.16 | $ | 6.90 | $ | 8.00 | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
107
Ohio National Fund, Inc.
Statements of Operations | For the Six-Month Period Ended June 30, 2010 (Unaudited) |
Capital | International | |||||||||||||||||||||||||||||||
Equity | Money Market | Bond | Omni | International | Appreciation | Millennium | Small-Mid Company | |||||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | |||||||||||||||||||||||||
Investment income: | ||||||||||||||||||||||||||||||||
Interest | $ | 1,188 | $ | 241,630 | $ | 3,446,875 | $ | 304,192 | $ | 6,043 | $ | 4,020 | $ | 6,553 | $ | 1,137 | ||||||||||||||||
Dividends, net of taxes withheld* | 1,139,505 | — | — | 204,038 | 3,315,709 | 760,721 | 112,794 | 655,047 | ||||||||||||||||||||||||
Total investment income | 1,140,693 | 241,630 | 3,446,875 | 508,230 | 3,321,752 | 764,741 | 119,347 | 656,184 | ||||||||||||||||||||||||
Expenses: | ||||||||||||||||||||||||||||||||
Management fees | 866,102 | 420,237 | 411,481 | 123,038 | 819,161 | 495,302 | 456,484 | 338,093 | ||||||||||||||||||||||||
Custodian fees | 7,983 | 22,462 | 5,085 | 3,323 | 110,794 | 5,302 | 6,410 | 38,244 | ||||||||||||||||||||||||
Directors’ fees | 11,977 | 17,342 | 7,794 | 2,232 | 10,755 | 6,883 | 6,291 | 3,651 | ||||||||||||||||||||||||
Professional fees | 12,773 | 15,839 | 10,381 | 7,132 | 12,026 | 9,791 | 9,479 | 7,948 | ||||||||||||||||||||||||
Accounting fees | 40,183 | 54,397 | 36,533 | 16,001 | 42,342 | 24,646 | 22,720 | 27,582 | ||||||||||||||||||||||||
Printing and filing fees | 16,468 | 27,057 | 11,699 | 3,158 | 14,973 | 9,622 | 8,950 | 5,115 | ||||||||||||||||||||||||
Compliance expense | 3,229 | 3,229 | 3,229 | 3,229 | 3,229 | 3,229 | 3,229 | 3,229 | ||||||||||||||||||||||||
Other | 3,672 | 2,458 | 894 | 662 | 3,399 | 2,004 | 1,654 | 1,096 | ||||||||||||||||||||||||
Total expenses | 962,387 | 563,021 | 487,096 | 158,775 | 1,016,679 | 556,779 | 515,217 | 424,958 | ||||||||||||||||||||||||
Less expenses reduced or reimbursed by adviser | — | (321,391 | ) | — | — | — | — | — | — | |||||||||||||||||||||||
Net expenses | 962,387 | �� | 241,630 | 487,096 | 158,775 | 1,016,679 | 556,779 | 515,217 | 424,958 | |||||||||||||||||||||||
Net investment income (loss) | 178,306 | — | 2,959,779 | 349,455 | 2,305,073 | 207,962 | (395,870 | ) | 231,226 | |||||||||||||||||||||||
Realized/unrealized gain (loss) on investments, foreign currency contracts, futures contracts, and other foreign currency related transactions: | ||||||||||||||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||||||||||||||
Investments | (489,575 | ) | — | 258,657 | 1,653,213 | 8,044,339 | 8,736,478 | 15,725,363 | 4,241,725 | |||||||||||||||||||||||
Foreign currency contracts | — | — | — | — | 1,923,175 | — | — | — | ||||||||||||||||||||||||
Other foreign currency related transactions | — | — | — | — | (292,896 | ) | (13,158 | ) | — | (68,345 | ) | |||||||||||||||||||||
Change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||||||||||
Investments | (23,012,722 | ) | — | 4,556,439 | (3,474,423 | ) | (36,054,986 | ) | (15,164,064 | ) | (18,395,962 | ) | (11,914,487 | ) | ||||||||||||||||||
Foreign currency contracts | — | — | — | — | 1,170,371 | — | — | — | ||||||||||||||||||||||||
Futures contracts | — | — | — | — | (98,735 | ) | — | — | — | |||||||||||||||||||||||
Other foreign currency related transactions | — | — | — | (64 | ) | (9,277 | ) | (360 | ) | — | (13,760 | ) | ||||||||||||||||||||
Net realized/unrealized gain (loss) on investments, foreign currency contracts, futures contracts, and other foreign currency related transactions | (23,502,297 | ) | — | 4,815,096 | (1,821,274 | ) | (25,318,009 | ) | (6,441,104 | ) | (2,670,599 | ) | (7,754,867 | ) | ||||||||||||||||||
Change in net assets from operations | $ | (23,323,991 | ) | $ | — | $ | 7,774,875 | $ | (1,471,819 | ) | $ | (23,012,936 | ) | $ | (6,233,142 | ) | $ | (3,066,469 | ) | $ | (7,523,641 | ) | ||||||||||
* Taxes withheld | $ | — | $ | — | $ | — | $ | 498 | $ | 536,886 | $ | 25,047 | $ | — | $ | 77,151 | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
108
Ohio National Fund, Inc.
Statements of Operations | For the Six-Month Period Ended June 30, 2010 (Unaudited) |
Aggressive | Small Cap | Mid Cap | S&P 500® | High Income | Nasdaq-100® | |||||||||||||||||||||||||||
Growth | Growth | Opportunity | Index | Strategic Value | Bond | Capital Growth | Index | |||||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | |||||||||||||||||||||||||
Investment income: | ||||||||||||||||||||||||||||||||
Interest | $ | 741 | $ | 672 | $ | 1,358 | $ | 105 | $ | 295 | $ | 8,448,450 | $ | 376 | $ | 18 | ||||||||||||||||
Dividends, net of taxes withheld* | 153,494 | 37,894 | 190,140 | 1,566,248 | 533,381 | 12,179 | 66,112 | 172,100 | ||||||||||||||||||||||||
Total investment income | 154,235 | 38,566 | 191,498 | 1,566,353 | 533,676 | 8,460,629 | 66,488 | 172,118 | ||||||||||||||||||||||||
Expenses: | ||||||||||||||||||||||||||||||||
Management fees | 106,830 | 106,791 | 265,232 | 303,723 | 76,242 | 651,726 | 171,142 | 90,385 | ||||||||||||||||||||||||
Custodian fees | 16,789 | 5,099 | 3,849 | 6,584 | 1,932 | 6,255 | 1,957 | 3,843 | ||||||||||||||||||||||||
Directors’ fees | 1,474 | 1,322 | 3,411 | 8,704 | 1,107 | 10,001 | 2,099 | 2,513 | ||||||||||||||||||||||||
Professional fees | 6,689 | 6,609 | 8,033 | 10,849 | 6,488 | 11,678 | 7,063 | 7,268 | ||||||||||||||||||||||||
Accounting fees | 8,634 | 7,669 | 13,597 | 38,968 | 7,039 | 65,341 | 9,450 | 11,284 | ||||||||||||||||||||||||
Printing and filing fees | 2,007 | 1,849 | 4,980 | 12,127 | 1,580 | 14,718 | 3,056 | 3,435 | ||||||||||||||||||||||||
Compliance expense | 3,229 | 3,229 | 3,229 | 3,229 | 3,229 | 3,229 | 3,229 | 3,229 | ||||||||||||||||||||||||
Other | 422 | 351 | 926 | 2,499 | 285 | 1,121 | 587 | 724 | ||||||||||||||||||||||||
Total expenses | 146,074 | 132,919 | 303,257 | 386,683 | 97,902 | 764,069 | 198,583 | 122,681 | ||||||||||||||||||||||||
Net investment income (loss) | 8,161 | (94,353 | ) | (111,759 | ) | 1,179,670 | 435,774 | 7,696,560 | (132,095 | ) | 49,437 | |||||||||||||||||||||
Realized/unrealized gain (loss) on investments, foreign currency contracts, and other foreign currency related transactions: | ||||||||||||||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||||||||||||||
Investments | 68,715 | (513,803 | ) | 3,051,461 | (214,137 | ) | (437,850 | ) | (1,789,656 | ) | 2,270,469 | 2,061,079 | ||||||||||||||||||||
Foreign currency related transactions | (1,313 | ) | — | — | — | (11,372 | ) | — | — | — | ||||||||||||||||||||||
Change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||||||||||
Investments | (2,838,250 | ) | 570,777 | (5,993,259 | ) | (11,500,961 | ) | (1,148,321 | ) | 1,509,256 | (2,005,718 | ) | (4,674,939 | ) | ||||||||||||||||||
Foreign currency contracts | — | — | — | — | (64,040 | ) | — | — | — | |||||||||||||||||||||||
Other foreign currency related transactions | 118 | — | — | — | (658 | ) | — | — | — | |||||||||||||||||||||||
Net realized/unrealized gain (loss) on investments, foreign currency contracts, and other foreign currency related transactions | (2,770,730 | ) | 56,974 | (2,941,798 | ) | (11,715,098 | ) | (1,662,241 | ) | (280,400 | ) | 264,751 | (2,613,860 | ) | ||||||||||||||||||
Change in net assets from operations | $ | (2,762,569 | ) | $ | (37,379 | ) | $ | (3,053,557 | ) | $ | (10,535,428 | ) | $ | (1,226,467 | ) | $ | 7,416,160 | $ | 132,656 | $ | (2,564,423 | ) | ||||||||||
* Taxes withheld | $ | 7,607 | $ | 352 | $ | 289 | $ | — | $ | 7,546 | $ | — | $ | 855 | $ | 3,103 | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
109
Ohio National Fund, Inc.
Statements of Operations | For the Six-Month Period Ended June 30, 2010 (Unaudited) |
Income | Target | Target | ||||||||||||||||||||||||||||||
Bristol | Bryton Growth | U.S. Equity | Balanced | Opportunity | VIP | Equity/Income | Bristol Growth | |||||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | |||||||||||||||||||||||||
Investment income: | ||||||||||||||||||||||||||||||||
Interest | $ | 4,755 | $ | 4,642 | $ | 410 | $ | 129,063 | $ | 694 | $ | 298 | $ | 314 | $ | 263 | ||||||||||||||||
Dividends, net of taxes withheld* | 1,065,289 | 90,150 | 123,415 | 110,875 | 69,854 | 234,850 | 255,619 | 75,056 | ||||||||||||||||||||||||
Total investment income | 1,070,044 | 94,792 | 123,825 | 239,938 | 70,548 | 235,148 | 255,933 | 75,319 | ||||||||||||||||||||||||
Expenses: | ||||||||||||||||||||||||||||||||
Management fees | 563,115 | 491,049 | 50,135 | 42,569 | 29,821 | 58,115 | 67,370 | 41,537 | ||||||||||||||||||||||||
Custodian fees | 5,832 | 4,733 | 1,161 | 751 | 5,850 | 2,554 | 1,835 | 2,194 | ||||||||||||||||||||||||
Directors’ fees | 7,988 | 6,503 | 731 | 710 | 405 | 1,066 | 1,227 | 565 | ||||||||||||||||||||||||
Professional fees | 10,474 | 9,609 | 6,264 | 6,258 | 6,086 | 6,453 | 6,556 | 6,173 | ||||||||||||||||||||||||
Accounting fees | 27,902 | 23,414 | 5,450 | 10,482 | 5,245 | 6,935 | 6,047 | 4,223 | ||||||||||||||||||||||||
Printing and filing fees | 11,428 | 9,394 | 1,013 | 1,039 | 608 | 1,490 | 1,761 | 805 | ||||||||||||||||||||||||
Compliance expense | 3,229 | 3,229 | 3,229 | 3,229 | 3,229 | 3,229 | 3,229 | 3,229 | ||||||||||||||||||||||||
Other | 2,177 | 1,719 | 227 | 203 | 103 | 325 | 380 | 160 | ||||||||||||||||||||||||
Total expenses | 632,145 | 549,650 | 68,210 | 65,241 | 51,347 | 80,167 | 88,405 | 58,886 | ||||||||||||||||||||||||
Less expenses reduced or reimbursed by adviser | — | — | — | — | (1,858 | ) | — | — | — | |||||||||||||||||||||||
Net expenses | 632,145 | 549,650 | 68,210 | 65,241 | 49,489 | 80,167 | 88,405 | 58,886 | ||||||||||||||||||||||||
Net investment income (loss) | 437,899 | (454,858 | ) | 55,615 | 174,697 | 21,059 | 154,981 | 167,528 | 16,433 | |||||||||||||||||||||||
Realized/unrealized gain (loss) on investments, foreign currency related transactions, and written options: | ||||||||||||||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||||||||||||||
Investments | 6,815,808 | 7,824,578 | 989,944 | 483,479 | 223,081 | 1,306,331 | 1,449,720 | 640,044 | ||||||||||||||||||||||||
Foreign currency related transactions | — | — | — | 25 | 10 | — | — | — | ||||||||||||||||||||||||
Written options | — | — | — | — | 253,468 | — | — | — | ||||||||||||||||||||||||
Change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||||||||||
Investments | (19,544,666 | ) | (14,933,319 | ) | (2,387,070 | ) | (1,234,694 | ) | (823,553 | ) | (2,817,087 | ) | (2,103,513 | ) | (1,547,303 | ) | ||||||||||||||||
Foreign currency related transactions | (333 | ) | — | — | (16 | ) | (3 | ) | — | — | (18 | ) | ||||||||||||||||||||
Written options | — | — | — | — | 56,019 | — | — | — | ||||||||||||||||||||||||
Net realized/unrealized gain (loss) on investments, foreign currency related transactions, and written options | (12,729,191 | ) | (7,108,741 | ) | (1,397,126 | ) | (751,206 | ) | (290,978 | ) | (1,510,756 | ) | (653,793 | ) | (907,277 | ) | ||||||||||||||||
Change in net assets from operations | $ | (12,291,292 | ) | $ | (7,563,599 | ) | $ | (1,341,511 | ) | $ | (576,509 | ) | $ | (269,919 | ) | $ | (1,355,775 | ) | $ | (486,265 | ) | $ | (890,844 | ) | ||||||||
* Taxes withheld | $ | 2,595 | $ | — | $ | 1,320 | $ | 3,750 | $ | 973 | $ | 9,577 | $ | — | $ | 148 | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
110
Ohio National Fund, Inc.
Statements of Changes in Net Assets
Equity | Money Market | Bond | Omni | |||||||||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | |||||||||||||||||||||||||||||
Six-Month | Six-Month | Six-Month | Six-Month | |||||||||||||||||||||||||||||
Period Ended | Year Ended | Period Ended | Year Ended | Period Ended | Year Ended | Period Ended | Year Ended | |||||||||||||||||||||||||
June 30, 2010 | December 31, | June 30, 2010 | December 31, | June 30, 2010 | December 31, | June 30, 2010 | December 31, | |||||||||||||||||||||||||
(Unaudited) | 2009 | (Unaudited) | 2009 | (Unaudited) | 2009 | (Unaudited) | 2009 | |||||||||||||||||||||||||
Increase (Decrease) in Net Assets: | ||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 178,306 | $ | 526,976 | $ | — | $ | — | $ | 2,959,779 | $ | 6,041,762 | $ | 349,455 | $ | 819,132 | ||||||||||||||||
Net realized gain (loss) on investments and foreign currency related transactions | (489,575 | ) | (37,830,132 | ) | — | — | 258,657 | (7,436,754 | ) | 1,653,213 | (2,391,937 | ) | ||||||||||||||||||||
Change in unrealized appreciation (depreciation) on investments | (23,012,722 | ) | 103,793,956 | — | — | 4,556,439 | 23,501,373 | (3,474,487 | ) | 12,249,119 | ||||||||||||||||||||||
Change in net assets from operations | (23,323,991 | ) | 66,490,800 | — | — | 7,774,875 | 22,106,381 | (1,471,819 | ) | 10,676,314 | ||||||||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||||||
Distributions from net investment income | — | (474,966 | ) | — | — | — | — | — | (722,837 | ) | ||||||||||||||||||||||
Capital transactions: | ||||||||||||||||||||||||||||||||
Received from shares sold | 13,424,017 | 24,521,613 | 177,428,435 | 417,820,442 | 32,118,754 | 46,255,877 | 1,963,136 | 3,952,680 | ||||||||||||||||||||||||
Received from dividends reinvested | — | 474,966 | — | — | — | — | — | 722,837 | ||||||||||||||||||||||||
Paid for shares redeemed | (22,468,811 | ) | (52,012,006 | ) | (192,443,934 | ) | (479,126,912 | ) | (26,544,674 | ) | (38,208,419 | ) | (3,848,552 | ) | (8,026,435 | ) | ||||||||||||||||
Change in net assets from capital transactions | (9,044,794 | ) | (27,015,427 | ) | (15,015,499 | ) | (61,306,470 | ) | 5,574,080 | 8,047,458 | (1,885,416 | ) | (3,350,918 | ) | ||||||||||||||||||
Change in net assets | (32,368,785 | ) | 39,000,407 | (15,015,499 | ) | (61,306,470 | ) | 13,348,955 | 30,153,839 | (3,357,235 | ) | 6,602,559 | ||||||||||||||||||||
Net Assets: | ||||||||||||||||||||||||||||||||
Beginning of period | 226,510,690 | 187,510,283 | 341,243,200 | 402,549,670 | 137,912,309 | 107,758,470 | 41,517,375 | 34,914,816 | ||||||||||||||||||||||||
End of period | $ | 194,141,905 | $ | 226,510,690 | $ | 326,227,701 | $ | 341,243,200 | $ | 151,261,264 | $ | 137,912,309 | $ | 38,160,140 | $ | 41,517,375 | ||||||||||||||||
Undistributed net investment income | $ | 230,316 | $ | 52,010 | $ | — | $ | — | $ | 9,004,205 | $ | 6,044,426 | $ | 445,762 | $ | 96,307 | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
111
Ohio National Fund, Inc.
Statements of Changes in Net Assets
International | Capital Appreciation | Millennium | International Small-Mid | |||||||||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | Company Portfolio | |||||||||||||||||||||||||||||
Six-Month | Six-Month | Six-Month | Six-Month | |||||||||||||||||||||||||||||
Period Ended | Year Ended | Period Ended | Year Ended | Period Ended | Year Ended | Period Ended | Year Ended | |||||||||||||||||||||||||
June 30, 2010 | December 31, | June 30, 2010 | December 31, | June 30, 2010 | December 31, | June 30, 2010 | December 31, | |||||||||||||||||||||||||
(Unaudited) | 2009 | (Unaudited) | 2009 | (Unaudited) | 2009 | (Unaudited) | 2009 | |||||||||||||||||||||||||
Increase (Decrease) in Net Assets: | ||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 2,305,073 | $ | 2,731,612 | $ | 207,962 | $ | 1,532,304 | $ | (395,870 | ) | $ | (423,177 | ) | $ | 231,226 | $ | 273,586 | ||||||||||||||
Net realized gain (loss) on investments, foreign currency contracts, and other foreign currency related transactions | 9,674,618 | (40,222,432 | ) | 8,723,320 | (21,856,408 | ) | 15,725,363 | (3,066,143 | ) | 4,173,380 | (1,297,839 | ) | ||||||||||||||||||||
Change in unrealized appreciation (depreciation) on investments, foreign currency contracts, futures contracts, and other foreign currency related transactions | (34,992,627 | ) | 100,236,182 | (15,164,424 | ) | 59,400,776 | (18,395,962 | ) | 19,615,280 | (11,928,247 | ) | 23,581,461 | ||||||||||||||||||||
Change in net assets from operations | (23,012,936 | ) | 62,745,362 | (6,233,142 | ) | 39,076,672 | (3,066,469 | ) | 16,125,960 | (7,523,641 | ) | 22,557,208 | ||||||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||||||
Distributions from net investment income | — | — | — | (1,371,677 | ) | — | — | — | — | |||||||||||||||||||||||
Capital transactions: | ||||||||||||||||||||||||||||||||
Received from shares sold | 18,994,994 | 20,610,913 | 7,549,971 | 13,406,834 | 17,064,127 | 74,284,850 | 5,567,324 | 16,188,203 | ||||||||||||||||||||||||
Received from dividends reinvested | — | — | — | 1,371,677 | — | — | — | — | ||||||||||||||||||||||||
Paid for shares redeemed | (20,274,811 | ) | (53,057,563 | ) | (13,563,771 | ) | (29,864,051 | ) | (89,373,978 | ) | (14,306,497 | ) | (9,136,265 | ) | (20,381,525 | ) | ||||||||||||||||
Change in net assets from capital transactions | (1,279,817 | ) | (32,446,650 | ) | (6,013,800 | ) | (15,085,540 | ) | (72,309,851 | ) | 59,978,353 | (3,568,941 | ) | (4,193,322 | ) | |||||||||||||||||
Change in net assets | (24,292,753 | ) | 30,298,712 | (12,246,942 | ) | 22,619,455 | (75,376,320 | ) | 76,104,313 | (11,092,582 | ) | 18,363,886 | ||||||||||||||||||||
Net Assets: | ||||||||||||||||||||||||||||||||
Beginning of period | 210,046,330 | 179,747,618 | 126,254,199 | 103,634,744 | 110,309,961 | 34,205,648 | 71,064,270 | 52,700,384 | ||||||||||||||||||||||||
End of period | $ | 185,753,577 | $ | 210,046,330 | $ | 114,007,257 | $ | 126,254,199 | $ | 34,933,641 | $ | 110,309,961 | $ | 59,971,688 | $ | 71,064,270 | ||||||||||||||||
Undistributed net investment income (Accumulated net investment loss) | $ | 5,274,980 | $ | 1,339,628 | $ | 351,404 | $ | 156,600 | $ | (395,870 | ) | $ | — | $ | 242,137 | $ | 79,256 | |||||||||||||||
The accompanying notes are an integral part of these financial statements.
112
Ohio National Fund, Inc.
Statements of Changes in Net Assets
Aggressive Growth | Small Cap Growth | Mid Cap Opportunity | S&P 500® Index | |||||||||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | |||||||||||||||||||||||||||||
Six-Month | Six-Month | Six-Month | Six-Month | |||||||||||||||||||||||||||||
Period Ended | Year Ended | Period Ended | Year Ended | Period Ended | Year Ended | Period Ended | Year Ended | |||||||||||||||||||||||||
June 30, 2010 | December 31, | June 30, 2010 | December 31, | June 30, 2010 | December 31, | June 30, 2010 | December 31, | |||||||||||||||||||||||||
(Unaudited) | 2009 | (Unaudited) | 2009 | (Unaudited) | 2009 | (Unaudited) | 2009 | |||||||||||||||||||||||||
Increase (Decrease) in Net Assets: | ||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 8,161 | $ | (50,630 | ) | $ | (94,353 | ) | $ | (130,618 | ) | $ | (111,759 | ) | $ | (191,871 | ) | $ | 1,179,670 | $ | 2,360,761 | |||||||||||
Net realized gain (loss) on investments and foreign currency related transactions | 67,402 | (757,700 | ) | (513,803 | ) | (1,455,200 | ) | 3,051,461 | 7,384,263 | (214,137 | ) | (937,053 | ) | |||||||||||||||||||
Change in unrealized appreciation (depreciation) on investments and foreign currency related transactions | (2,838,132 | ) | 8,725,649 | 570,777 | 8,483,045 | (5,993,259 | ) | 14,668,798 | (11,500,961 | ) | 31,621,689 | |||||||||||||||||||||
Change in net assets from operations | (2,762,569 | ) | 7,917,319 | (37,379 | ) | 6,897,227 | (3,053,557 | ) | 21,861,190 | (10,535,428 | ) | 33,045,397 | ||||||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||||||
Distributions from net investment income | — | — | — | — | — | — | — | (2,047,655 | ) | |||||||||||||||||||||||
Capital transactions: | ||||||||||||||||||||||||||||||||
Received from shares sold | 3,636,916 | 8,748,197 | 4,487,531 | 7,889,316 | 4,791,373 | 37,239,976 | 17,376,056 | 62,219,156 | ||||||||||||||||||||||||
Received from dividends reinvested | — | — | — | — | — | — | — | 2,047,655 | ||||||||||||||||||||||||
Paid for shares redeemed | (5,013,581 | ) | (7,473,737 | ) | (4,864,022 | ) | (5,207,938 | ) | (7,765,609 | ) | (75,207,718 | ) | (22,403,375 | ) | (40,764,928 | ) | ||||||||||||||||
Change in net assets from capital transactions | (1,376,665 | ) | 1,274,460 | (376,491 | ) | 2,681,378 | (2,974,236 | ) | (37,967,742 | ) | (5,027,319 | ) | 23,501,883 | |||||||||||||||||||
Change in net assets | (4,139,234 | ) | 9,191,779 | (413,870 | ) | 9,578,605 | (6,027,793 | ) | (16,106,552 | ) | (15,562,747 | ) | 54,499,625 | |||||||||||||||||||
Net Assets: | ||||||||||||||||||||||||||||||||
Beginning of period | 27,176,797 | 17,985,018 | 22,761,541 | 13,182,936 | 63,501,778 | 79,608,330 | 160,708,453 | 106,208,828 | ||||||||||||||||||||||||
End of period | $ | 23,037,563 | $ | 27,176,797 | $ | 22,347,671 | $ | 22,761,541 | $ | 57,473,985 | $ | 63,501,778 | $ | 145,145,706 | $ | 160,708,453 | ||||||||||||||||
Undistributed net investment income (Accumulated net investment loss) | $ | 73,739 | $ | 66,891 | $ | (94,353 | ) | $ | — | $ | (111,759 | ) | $ | — | $ | 1,491,696 | $ | 312,026 | ||||||||||||||
The accompanying notes are an integral part of these financial statements.
113
Ohio National Fund, Inc.
Statements of Changes in Net Assets
Strategic Value | High Income Bond | Capital Growth | Nasdaq-100® Index | |||||||||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | |||||||||||||||||||||||||||||
Six-Month | Six-Month | Six-Month | Six-Month | |||||||||||||||||||||||||||||
Period Ended | Year Ended | Period Ended | Year Ended | Period Ended | Year Ended | Period Ended | Year Ended | |||||||||||||||||||||||||
June 30, 2010 | December 31, | June 30, 2010 | December 31, | June 30, 2010 | December 31, | June 30, 2010 | December 31, | |||||||||||||||||||||||||
(Unaudited) | 2009 | (Unaudited) | 2009 | (Unaudited) | 2009 | (Unaudited) | 2009 | |||||||||||||||||||||||||
Increase (Decrease) in Net Assets: | ||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 435,774 | $ | 628,487 | $ | 7,696,560 | $ | 10,467,379 | $ | (132,095 | ) | $ | 4,676 | $ | 49,437 | $ | 67,713 | |||||||||||||||
Net realized gain (loss) on investments and foreign currency related transactions | (449,222 | ) | (1,846,420 | ) | (1,789,656 | ) | (967,160 | ) | 2,270,469 | (2,009,614 | ) | 2,061,079 | 232,855 | |||||||||||||||||||
Change in unrealized appreciation (depreciation) on investments, foreign currency contracts, and other foreign currency related transactions | (1,213,019 | ) | 3,343,973 | 1,509,256 | 34,205,835 | (2,005,718 | ) | 11,786,408 | (4,674,939 | ) | 15,353,126 | |||||||||||||||||||||
Change in net assets from operations | (1,226,467 | ) | 2,126,040 | 7,416,160 | 43,706,054 | 132,656 | 9,781,470 | (2,564,423 | ) | 15,653,694 | ||||||||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||||||
Distributions from net investment income | — | (553,534 | ) | — | — | — | — | — | — | |||||||||||||||||||||||
Capital transactions: | ||||||||||||||||||||||||||||||||
Received from shares sold | 3,998,479 | 9,094,435 | 95,775,048 | 89,610,175 | 5,107,831 | 10,662,186 | 6,186,411 | 18,529,577 | ||||||||||||||||||||||||
Received from dividends reinvested | — | 553,534 | — | — | — | — | — | — | ||||||||||||||||||||||||
Paid for shares redeemed | (2,551,847 | ) | (4,802,105 | ) | (31,956,159 | ) | (44,752,454 | ) | (6,036,403 | ) | (10,743,788 | ) | (12,373,192 | ) | (14,683,834 | ) | ||||||||||||||||
Change in net assets from capital transactions | 1,446,632 | 4,845,864 | 63,818,889 | 44,857,721 | (928,572 | ) | (81,602 | ) | (6,186,781 | ) | 3,845,743 | |||||||||||||||||||||
Change in net assets | 220,165 | 6,418,370 | 71,235,049 | 88,563,775 | (795,916 | ) | 9,699,868 | (8,751,204 | ) | 19,499,437 | ||||||||||||||||||||||
Net Assets: | ||||||||||||||||||||||||||||||||
Beginning of period | 19,763,008 | 13,344,638 | 159,907,209 | 71,343,434 | 36,783,827 | 27,083,959 | 47,588,279 | 28,088,842 | ||||||||||||||||||||||||
End of period | $ | 19,983,173 | $ | 19,763,008 | $ | 231,142,258 | $ | 159,907,209 | $ | 35,987,911 | $ | 36,783,827 | $ | 38,837,075 | $ | 47,588,279 | ||||||||||||||||
Undistributed net investment income (Accumulated net investment loss) | $ | 461,921 | $ | 37,519 | $ | 18,163,939 | $ | 10,467,379 | $ | (127,419 | ) | $ | 4,676 | $ | 118,453 | $ | 69,016 | |||||||||||||||
The accompanying notes are an integral part of these financial statements.
114
Ohio National Fund, Inc.
Statements of Changes in Net Assets
Bristol | Bryton Growth | U.S. Equity | Balanced | |||||||||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | |||||||||||||||||||||||||||||
Six-Month | Six-Month | Six-Month | Six-Month | |||||||||||||||||||||||||||||
Period Ended | Year Ended | Period Ended | Year Ended | Period Ended | Year Ended | Period Ended | Year Ended | |||||||||||||||||||||||||
June 30, 2010 | December 31, | June 30, 2010 | December 31, | June 30, 2010 | December 31, | June 30, 2010 | December 31, | |||||||||||||||||||||||||
(Unaudited) | 2009 | (Unaudited) | 2009 | (Unaudited) | 2009 | (Unaudited) | 2009 | |||||||||||||||||||||||||
Increase (Decrease) in Net Assets: | ||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 437,899 | $ | 860,602 | $ | (454,858 | ) | $ | (522,143 | ) | $ | 55,615 | $ | 116,369 | $ | 174,697 | $ | 335,815 | ||||||||||||||
Net realized gain (loss) on investments and foreign currency related transactions | 6,815,808 | (2,496,475 | ) | 7,824,578 | (3,579,256 | ) | 989,944 | (657,934 | ) | 483,504 | (190,781 | ) | ||||||||||||||||||||
Change in unrealized appreciation (depreciation) on investments and foreign currency related transactions | (19,544,999 | ) | 35,271,355 | (14,933,319 | ) | 30,818,101 | (2,387,070 | ) | 2,721,449 | (1,234,710 | ) | 2,509,467 | ||||||||||||||||||||
Change in net assets from operations | (12,291,292 | ) | 33,635,482 | (7,563,599 | ) | 26,716,702 | (1,341,511 | ) | 2,179,884 | (576,509 | ) | 2,654,501 | ||||||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||||||
Distributions from net investment income | — | (753,303 | ) | — | — | — | (97,286 | ) | — | (289,620 | ) | |||||||||||||||||||||
Capital transactions: | ||||||||||||||||||||||||||||||||
Received from shares sold | 33,190,888 | 53,481,033 | 22,679,108 | 48,509,791 | 664,263 | 2,971,249 | 1,858,035 | 4,421,101 | ||||||||||||||||||||||||
Received from dividends reinvested | — | 753,303 | — | — | — | 97,286 | — | 289,620 | ||||||||||||||||||||||||
Paid for shares redeemed | (15,073,615 | ) | (25,861,068 | ) | (21,374,650 | ) | (20,811,898 | ) | (2,375,281 | ) | (3,541,722 | ) | (2,237,505 | ) | (3,118,826 | ) | ||||||||||||||||
Change in net assets from capital transactions | 18,117,273 | 28,373,268 | 1,304,458 | 27,697,893 | (1,711,018 | ) | (473,187 | ) | (379,470 | ) | 1,591,895 | |||||||||||||||||||||
Change in net assets | 5,825,981 | 61,255,447 | (6,259,141 | ) | 54,414,595 | (3,052,529 | ) | 1,609,411 | (955,979 | ) | 3,956,776 | |||||||||||||||||||||
Net Assets: | ||||||||||||||||||||||||||||||||
Beginning of period | 142,798,922 | 81,543,475 | 113,434,122 | 59,019,527 | 14,630,002 | 13,020,591 | 13,582,347 | 9,625,571 | ||||||||||||||||||||||||
End of period | $ | 148,624,903 | $ | 142,798,922 | $ | 107,174,981 | $ | 113,434,122 | $ | 11,577,473 | $ | 14,630,002 | $ | 12,626,368 | $ | 13,582,347 | ||||||||||||||||
Undistributed net investment income (Accumulated net investment loss) | $ | 545,270 | $ | 107,371 | $ | (454,858 | ) | $ | — | $ | 74,698 | $ | 19,083 | $ | 220,908 | $ | 46,186 | |||||||||||||||
The accompanying notes are an integral part of these financial statements.
115
Ohio National Fund, Inc.
Statements of Changes in Net Assets
Income Opportunity | Target VIP | Target Equity/Income | Bristol Growth | |||||||||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | |||||||||||||||||||||||||||||
Six-Month | Six-Month | Six-Month | Six-Month | |||||||||||||||||||||||||||||
Period Ended | Year Ended | Period Ended | Year Ended | Period Ended | Year Ended | Period Ended | Year Ended | |||||||||||||||||||||||||
June 30, 2010 | December 31, | June 30, 2010 | December 31, | June 30, 2010 | December 31, | June 30, 2010 | December 31, | |||||||||||||||||||||||||
(Unaudited) | 2009 | (Unaudited) | 2009 | (Unaudited) | 2009 | (Unaudited) | 2009 | |||||||||||||||||||||||||
Increase (Decrease) in Net Assets: | ||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 21,059 | $ | 21,601 | $ | 154,981 | $ | 285,899 | $ | 167,528 | $ | 454,499 | $ | 16,433 | $ | 19,268 | ||||||||||||||||
Net realized gain (loss) on investments, foreign currency related transactions, and written options | 476,559 | (290,802 | ) | 1,306,331 | (11,189,698 | ) | 1,449,720 | (17,723,261 | ) | 640,044 | (87,067 | ) | ||||||||||||||||||||
Change in unrealized appreciation (depreciation) on investments, foreign currency related transactions, and written options | (767,537 | ) | 1,096,735 | (2,817,087 | ) | 13,803,902 | (2,103,513 | ) | 19,904,558 | (1,547,321 | ) | 2,664,053 | ||||||||||||||||||||
Change in net assets from operations | (269,919 | ) | 827,534 | (1,355,775 | ) | 2,900,103 | (486,265 | ) | 2,635,796 | (890,844 | ) | 2,596,254 | ||||||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||||||
Distributions from net investment income | — | — | — | (253,696 | ) | — | (416,144 | ) | — | — | ||||||||||||||||||||||
Capital transactions: | ||||||||||||||||||||||||||||||||
Received from shares sold | 1,774,736 | 3,291,911 | 1,248,513 | 6,226,014 | 3,180,029 | 6,217,680 | 62,383,896 | 4,010,986 | ||||||||||||||||||||||||
Received from dividends reinvested | — | — | — | 253,696 | — | 416,144 | — | — | ||||||||||||||||||||||||
Paid for shares redeemed | (685,152 | ) | (1,941,532 | ) | (2,857,078 | ) | (6,742,319 | ) | (4,210,073 | ) | (10,314,027 | ) | (5,744,870 | ) | (953,320 | ) | ||||||||||||||||
Change in net assets from capital transactions | 1,089,584 | 1,350,379 | (1,608,565 | ) | (262,609 | ) | (1,030,044 | ) | (3,680,203 | ) | 56,639,026 | 3,057,666 | ||||||||||||||||||||
Change in net assets | 819,665 | 2,177,913 | (2,964,340 | ) | 2,383,798 | (1,516,309 | ) | (1,460,551 | ) | 55,748,182 | 5,653,920 | |||||||||||||||||||||
Net Assets: | ||||||||||||||||||||||||||||||||
Beginning of period | 6,691,448 | 4,513,535 | 20,580,998 | 18,197,200 | 22,616,681 | 24,077,232 | 10,497,575 | 4,843,655 | ||||||||||||||||||||||||
End of period | $ | 7,511,113 | $ | 6,691,448 | $ | 17,616,658 | $ | 20,580,998 | $ | 21,100,372 | $ | 22,616,681 | $ | 66,245,757 | $ | 10,497,575 | ||||||||||||||||
Undistributed net investment income | $ | 41,109 | $ | 20,040 | $ | 187,180 | $ | 32,199 | $ | 205,883 | $ | 38,355 | $ | 35,707 | $ | 19,274 | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
116
Ohio National Fund, Inc.
Financial Highlights
Equity Portfolio | Money Market Portfolio | |||||||||||||||||||||||||||||||||||||||
Six-Month | Six-Month | |||||||||||||||||||||||||||||||||||||||
Period Ended | Period Ended | |||||||||||||||||||||||||||||||||||||||
June 30, 2010 | Years Ended December 31, | June 30, 2010 | Years Ended December 31, | |||||||||||||||||||||||||||||||||||||
(Unaudited) | 2009 | 2008 | 2007 | 2006 | (Unaudited) | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 18.31 | $ | 13.19 | $ | 29.65 | $ | 31.52 | $ | 29.55 | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | ||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | 0.02 | 0.05 | 0.22 | 0.02 | (0.01 | ) | — | — | 0.17 | 0.48 | 0.47 | |||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency related transactions | (2.05 | ) | 5.11 | (16.48 | ) | (1.88 | ) | 1.98 | — | — | — | — | — | |||||||||||||||||||||||||||
Total from operations | (2.03 | ) | 5.16 | (16.26 | ) | (1.86 | ) | 1.97 | — | — | 0.17 | 0.48 | 0.47 | |||||||||||||||||||||||||||
Distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | — | (0.04 | ) | (0.20 | ) | (0.01 | ) | — | — | — | (0.17 | ) | (0.48 | ) | (0.47 | ) | ||||||||||||||||||||||||
Net asset value, end of period | $ | 16.28 | $ | 18.31 | $ | 13.19 | $ | 29.65 | $ | 31.52 | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | ||||||||||||||||||||
Total return | –11.09 | %(b) | 39.11 | % | –54.81 | % | –5.89 | % | 6.67 | % | 0.00 | %(b) | 0.00 | % | 1.77 | % | 4.92 | % | 4.79 | % | ||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||
Net assets at end of period (millions) | $ | 194.1 | $ | 226.5 | $ | 187.5 | $ | 505.1 | $ | 550.1 | $ | 326.2 | $ | 341.2 | $ | 402.5 | $ | 336.2 | $ | 254.4 | ||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||
Ratios net of expenses reduced or reimbursed by adviser: | ||||||||||||||||||||||||||||||||||||||||
Expenses | 0.87 | %(a) | 0.88 | % | 0.84 | % | 0.84 | % | 0.86 | % | 0.15 | %(a) | 0.19 | % | 0.32 | % | 0.31 | % | 0.32 | % | ||||||||||||||||||||
Net investment income (loss) | 0.16 | %(a) | 0.27 | % | 0.89 | % | 0.05 | % | –0.04 | % | 0.00 | %(a) | 0.00 | % | 1.72 | % | 4.79 | % | 4.72 | % | ||||||||||||||||||||
Ratios assuming no expenses reduced or reimbursed by adviser: | ||||||||||||||||||||||||||||||||||||||||
Expenses | 0.87 | %(a) | 0.88 | % | 0.84 | % | 0.84 | % | 0.86 | % | 0.35 | %(a) | 0.36 | % | 0.35 | % | 0.32 | % | 0.35 | % | ||||||||||||||||||||
Net investment income (loss) | 0.16 | %(a) | 0.27 | % | 0.89 | % | 0.05 | % | –0.04 | % | –0.20 | %(a) | –0.17 | % | 1.68 | % | 4.77 | % | 4.70 | % | ||||||||||||||||||||
Portfolio turnover rate | 19 | % | 24 | % | 39 | % | 23 | % | 13 | % | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % |
(a) | Annualized. |
(b) | Not annualized. |
The accompanying notes are an integral part of these financial statements.
117
Ohio National Fund, Inc.
Financial Highlights
Bond Portfolio | Omni Portfolio | |||||||||||||||||||||||||||||||||||||||
Six-Month | Six-Month | |||||||||||||||||||||||||||||||||||||||
Period Ended | Period Ended | |||||||||||||||||||||||||||||||||||||||
June 30, 2010 | Years Ended December 31, | June 30, 2010 | Years Ended December 31, | |||||||||||||||||||||||||||||||||||||
(Unaudited) | 2009 | 2008 | 2007 | 2006 | (Unaudited) | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.25 | $ | 10.13 | $ | 11.44 | $ | 11.03 | $ | 10.96 | $ | 14.42 | $ | 11.02 | $ | 16.60 | $ | 15.79 | $ | 14.11 | ||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | 0.23 | 0.49 | 1.04 | 0.58 | 0.55 | (a) | 0.13 | 0.29 | 0.40 | 0.34 | 0.27 | |||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency related transactions | 0.44 | 1.63 | (2.35 | ) | (0.17 | ) | (0.06 | ) | (0.69 | ) | 3.36 | (5.63 | ) | 0.76 | 1.61 | |||||||||||||||||||||||||
Total from operations | 0.67 | 2.12 | (1.31 | ) | 0.41 | 0.49 | (0.56 | ) | 3.65 | (5.23 | ) | 1.10 | 1.88 | |||||||||||||||||||||||||||
Distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | — | — | — | — | (0.42 | ) | — | (0.25 | ) | (0.35 | ) | (0.29 | ) | (0.20 | ) | |||||||||||||||||||||||||
Net asset value, end of period | $ | 12.92 | $ | 12.25 | $ | 10.13 | $ | 11.44 | $ | 11.03 | $ | 13.86 | $ | 14.42 | $ | 11.02 | $ | 16.60 | $ | 15.79 | ||||||||||||||||||||
Total return | 5.47 | %(c) | 20.93 | % | –11.45 | % | 3.72 | % | 4.44 | % | –3.88 | %(c) | 33.15 | % | –31.46 | % | 6.99 | % | 13.32 | % | ||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||
Net assets at end of period (millions) | $ | 151.3 | $ | 137.9 | $ | 107.8 | $ | 177.7 | $ | 171.1 | $ | 38.2 | $ | 41.5 | $ | 34.9 | $ | 61.8 | $ | 67.1 | ||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||
Expenses | 0.67 | %(b) | 0.69 | % | 0.66 | % | 0.63 | % | 0.65 | % | 0.77 | %(b) | 0.79 | % | 0.74 | % | 0.71 | % | 0.71 | % | ||||||||||||||||||||
Net investment income (loss) | 4.09 | %(b) | 5.06 | % | 5.35 | % | 4.99 | % | 4.99 | % | 1.70 | %(b) | 2.18 | % | 2.43 | % | 1.85 | % | 1.69 | % | ||||||||||||||||||||
Portfolio turnover rate | 2 | % | 27 | % | 15 | % | 13 | % | 25 | % | 85 | % | 157 | % | 128 | % | 143 | % | 178 | % |
(a) | Calculated using the average daily shares method. |
(b) | Annualized. |
(c) | Not annualized. |
The accompanying notes are an integral part of these financial statements.
118
Ohio National Fund, Inc.
Financial Highlights
International Portfolio | Capital Appreciation Portfolio | |||||||||||||||||||||||||||||||||||||||
Six-Month | Six-Month | |||||||||||||||||||||||||||||||||||||||
Period Ended | Period Ended | |||||||||||||||||||||||||||||||||||||||
June 30, 2010 | Years Ended December 31, | June 30, 2010 | Years Ended December 31, | |||||||||||||||||||||||||||||||||||||
(Unaudited) | 2009 | 2008 | 2007 | 2006 | (Unaudited) | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.45 | $ | 7.56 | $ | 14.02 | $ | 12.81 | $ | 10.76 | $ | 17.45 | $ | 12.35 | $ | 20.45 | $ | 19.79 | $ | 17.08 | ||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | 0.12 | 0.14 | 0.13 | 0.09 | 0.05 | 0.03 | 0.22 | 0.14 | 0.11 | 0.12 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments, foreign currency contracts, futures contracts, and other foreign currency related transactions | (1.29 | ) | 2.75 | (6.59 | ) | 1.12 | 2.02 | (0.97 | ) | 5.07 | (8.12 | ) | 0.65 | 2.68 | ||||||||||||||||||||||||||
Total from operations | (1.17 | ) | 2.89 | (6.46 | ) | 1.21 | 2.07 | (0.94 | ) | 5.29 | (7.98 | ) | 0.76 | 2.80 | ||||||||||||||||||||||||||
Distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | — | — | — | — | (0.02 | ) | — | (0.19 | ) | (0.12 | ) | (0.10 | ) | (0.09 | ) | |||||||||||||||||||||||||
Net asset value, end of period | $ | 9.28 | $ | 10.45 | $ | 7.56 | $ | 14.02 | $ | 12.81 | $ | 16.51 | $ | 17.45 | $ | 12.35 | $ | 20.45 | $ | 19.79 | ||||||||||||||||||||
Total return | –11.20 | %(b) | 38.23 | % | –46.08 | % | 9.45 | % | 19.23 | % | –5.39 | %(b) | 42.84 | % | –39.01 | % | 3.82 | % | 16.37 | % | ||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||
Net assets at end of period (millions) | $ | 185.8 | $ | 210.0 | $ | 179.7 | $ | 389.2 | $ | 333.0 | $ | 114.0 | $ | 126.3 | $ | 103.6 | $ | 197.6 | $ | 222.5 | ||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||
Expenses | 1.02 | %(a) | 1.07 | % | 0.91 | % | 0.99 | % | 1.03 | % | 0.89 | %(a) | 0.90 | % | 0.87 | % | 0.84 | % | 0.85 | % | ||||||||||||||||||||
Net investment income (loss) | 2.31 | %(a) | 1.47 | % | 1.03 | % | 0.66 | % | 0.58 | % | 0.33 | %(a) | 1.38 | % | 0.71 | % | 0.46 | % | 0.64 | % | ||||||||||||||||||||
Portfolio turnover rate | 30 | % | 168 | % | 214 | % | 123 | % | 72 | % | 38 | % | 84 | % | 79 | % | 69 | % | 80 | % |
(a) | Annualized. |
(b) | Not annualized. |
The accompanying notes are an integral part of these financial statements.
119
Ohio National Fund, Inc.
Financial Highlights
Millennium Portfolio | International Small-Mid Company Portfolio | |||||||||||||||||||||||||||||||||||||||
Six-Month | Six-Month | |||||||||||||||||||||||||||||||||||||||
Period Ended | Period Ended | |||||||||||||||||||||||||||||||||||||||
June 30, 2010 | Years Ended December 31, | June 30, 2010 | Years Ended December 31, | |||||||||||||||||||||||||||||||||||||
(Unaudited) | 2009 | 2008 | 2007 | 2006 | (Unaudited) | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 17.45 | $ | 14.44 | $ | 25.13 | $ | 19.94 | $ | 18.57 | $ | 19.41 | $ | 13.29 | $ | 27.29 | $ | 23.23 | $ | 18.87 | ||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | (0.19 | ) | (0.07 | ) | (0.16 | ) | (0.16 | ) | (0.13 | ) | 0.07 | 0.07 | 0.08 | 0.07 | (0.01 | ) | ||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency related transactions | (0.26 | ) | 3.08 | (10.53 | ) | 5.35 | 1.50 | (2.16 | ) | 6.05 | (14.08 | ) | 3.99 | 4.98 | ||||||||||||||||||||||||||
Total from operations | (0.45 | ) | 3.01 | (10.69 | ) | 5.19 | 1.37 | (2.09 | ) | 6.12 | (14.00 | ) | 4.06 | 4.97 | ||||||||||||||||||||||||||
Distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | — | — | — | — | — | — | — | — | — | (0.03 | ) | |||||||||||||||||||||||||||||
Distributions of net realized capital gains | — | — | — | — | — | — | — | — | — | (0.58 | ) | |||||||||||||||||||||||||||||
Total distributions | — | — | — | — | — | — | — | — | — | (0.61 | ) | |||||||||||||||||||||||||||||
Net asset value, end of period | $ | 17.00 | $ | 17.45 | $ | 14.44 | $ | 25.13 | $ | 19.94 | $ | 17.32 | $ | 19.41 | $ | 13.29 | $ | 27.29 | $ | 23.23 | ||||||||||||||||||||
Total return | –2.58 | %(b) | 20.84 | % | –42.54 | % | 26.03 | % | 7.38 | % | –10.77 | %(b) | 46.05 | % | –51.30 | % | 17.48 | % | 26.35 | % | ||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||
Net assets at end of period (millions) | $ | 34.9 | $ | 110.3 | $ | 34.2 | $ | 71.1 | $ | 62.6 | $ | 60.0 | $ | 71.1 | $ | 52.7 | $ | 113.0 | $ | 75.4 | ||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||
Expenses | 0.90 | %(a) | 0.93 | % | 0.92 | % | 0.89 | % | 0.89 | % | 1.26 | %(a) | 1.28 | % | 1.19 | % | 1.29 | % | 1.34 | % | ||||||||||||||||||||
Net investment income (loss) | –0.69 | %(a) | –0.67 | % | –0.70 | % | –0.70 | % | –0.59 | % | 0.68 | %(a) | 0.47 | % | 0.36 | % | 0.27 | % | –0.01 | % | ||||||||||||||||||||
Portfolio turnover rate | 144 | % | 248 | % | 224 | % | 156 | % | 219 | % | 39 | % | 125 | % | 75 | % | 53 | % | 69 | % |
(a) | Annualized. |
(b) | Not annualized. |
The accompanying notes are an integral part of these financial statements.
120
Ohio National Fund, Inc.
Financial Highlights
Aggressive Growth Portfolio | Small Cap Growth Portfolio | |||||||||||||||||||||||||||||||||||||||
Six-Month | Six-Month | |||||||||||||||||||||||||||||||||||||||
Period Ended | Period Ended | |||||||||||||||||||||||||||||||||||||||
June 30, 2010 | Years Ended December 31, | June 30, 2010 | Years Ended December 31, | |||||||||||||||||||||||||||||||||||||
(Unaudited) | 2009 | 2008 | 2007 | 2006 | (Unaudited) | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 7.43 | $ | 5.21 | $ | 9.25 | $ | 7.14 | $ | 6.75 | $ | 9.89 | $ | 6.56 | $ | 12.54 | $ | 10.94 | $ | 8.71 | ||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | — | (0.02 | ) | (0.01 | ) | 0.02 | 0.02 | (0.04 | ) | (0.06 | ) | (0.08 | ) | (0.09 | ) | (0.09 | ) | |||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency related transactions | (0.76 | ) | 2.24 | (4.03 | ) | 2.09 | 0.37 | 0.03 | 3.39 | (5.90 | ) | 1.69 | 2.32 | |||||||||||||||||||||||||||
Total from operations | (0.76 | ) | 2.22 | (4.04 | ) | 2.11 | 0.39 | (0.01 | ) | 3.33 | (5.98 | ) | 1.60 | 2.23 | ||||||||||||||||||||||||||
Net asset value, end of period | $ | 6.67 | $ | 7.43 | $ | 5.21 | $ | 9.25 | $ | 7.14 | $ | 9.88 | $ | 9.89 | $ | 6.56 | $ | 12.54 | $ | 10.94 | ||||||||||||||||||||
Total return | –10.23 | %(b) | 42.61 | % | –43.68 | % | 29.55 | % | 5.78 | % | –0.10 | %(b) | 50.76 | % | –47.69 | % | 14.63 | % | 25.60 | % | ||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||
Net assets at end of period (millions) | $ | 23.0 | $ | 27.2 | $ | 18.0 | $ | 28.8 | $ | 17.8 | $ | 22.3 | $ | 22.8 | $ | 13.2 | $ | 27.0 | $ | 20.8 | ||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||
Expenses | 1.09 | %(a) | 1.04 | % | 0.98 | % | 0.97 | % | 1.06 | % | 1.12 | %(a) | 1.21 | % | 1.18 | % | 1.15 | % | 1.16 | % | ||||||||||||||||||||
Net investment income (loss) | 0.06 | %(a) | –0.23 | % | –0.04 | % | 0.34 | % | 0.22 | % | –0.80 | %(a) | –0.77 | % | –0.84 | % | –0.77 | % | –0.92 | % | ||||||||||||||||||||
Portfolio turnover rate | 18 | % | 28 | % | 43 | % | 29 | % | 105 | % | 24 | % | 50 | % | 37 | % | 74 | % | 93 | % |
(a) | Annualized. |
(b) | Not annualized. |
The accompanying notes are an integral part of these financial statements.
121
Ohio National Fund, Inc.
Financial Highlights
Mid Cap Opportunity Portfolio | S&P 500® Index Portfolio | |||||||||||||||||||||||||||||||||||||||
Six-Month | Six-Month | |||||||||||||||||||||||||||||||||||||||
Period Ended | Period Ended | |||||||||||||||||||||||||||||||||||||||
June 30, 2010 | Years Ended December 31, | June 30, 2010 | Years Ended December 31, | |||||||||||||||||||||||||||||||||||||
(Unaudited) | 2009 | 2008 | 2007 | 2006 | (Unaudited) | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.41 | $ | 10.96 | $ | 22.50 | $ | 19.09 | $ | 17.40 | $ | 11.69 | $ | 9.41 | $ | 15.36 | $ | 14.82 | $ | 12.99 | ||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | (0.03 | ) | (0.05 | ) | (0.07 | ) | (0.09 | ) | (0.09 | ) | 0.09 | 0.17 | 0.24 | 0.24 | 0.22 | |||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.77 | ) | 4.50 | (11.47 | ) | 3.50 | 1.78 | (0.89 | ) | 2.26 | (5.98 | ) | 0.51 | 1.77 | ||||||||||||||||||||||||||
Total from operations | (0.80 | ) | 4.45 | (11.54 | ) | 3.41 | 1.69 | (0.80 | ) | 2.43 | (5.74 | ) | 0.75 | 1.99 | ||||||||||||||||||||||||||
Distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | — | — | — | — | — | — | (0.15 | ) | (0.21 | ) | (0.21 | ) | (0.16 | ) | ||||||||||||||||||||||||||
Net asset value, end of period | $ | 14.61 | $ | 15.41 | $ | 10.96 | $ | 22.50 | $ | 19.09 | $ | 10.89 | $ | 11.69 | $ | 9.41 | $ | 15.36 | $ | 14.82 | ||||||||||||||||||||
Total return | –5.19 | %(b) | 40.60 | % | –51.29 | % | 17.86 | % | 9.71 | % | –6.84 | %(b) | 25.83 | % | –37.30 | % | 5.06 | % | 15.30 | % | ||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||
Net assets at end of period (millions) | $ | 57.5 | $ | 63.5 | $ | 79.6 | $ | 115.4 | $ | 86.6 | $ | 145.1 | $ | 160.7 | $ | 106.2 | $ | 179.4 | $ | 182.1 | ||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||
Expenses | 0.97 | %(a) | 0.97 | % | 0.94 | % | 0.93 | % | 0.94 | % | 0.49 | %(a) | 0.51 | % | 0.48 | % | 0.45 | % | 0.47 | % | ||||||||||||||||||||
Net investment income (loss) | –0.36 | %(a) | –0.27 | % | –0.53 | % | –0.45 | % | –0.45 | % | 1.48 | %(a) | 1.85 | % | 1.85 | % | 1.50 | % | 1.45 | % | ||||||||||||||||||||
Portfolio turnover rate | 28 | % | 276 | % | 297 | % | 267 | % | 209 | % | 4 | % | 21 | % | 12 | % | 7 | % | 7 | % |
(a) | Annualized. |
(b) | Not annualized. |
The accompanying notes are an integral part of these financial statements.
122
Ohio National Fund, Inc.
Financial Highlights
Strategic Value Portfolio | High Income Bond Portfolio | |||||||||||||||||||||||||||||||||||||||
Six-Month | Six-Month | |||||||||||||||||||||||||||||||||||||||
Period Ended | Period Ended | |||||||||||||||||||||||||||||||||||||||
June 30, 2010 | Years Ended December 31, | June 30, 2010 | Years Ended December 31, | |||||||||||||||||||||||||||||||||||||
(Unaudited) | 2009 | 2008 | 2007 | 2006 | (Unaudited) | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.64 | $ | 7.97 | $ | 11.81 | $ | 13.10 | $ | 11.36 | $ | 10.79 | $ | 7.21 | $ | 9.68 | $ | 9.35 | $ | 8.49 | ||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | 0.18 | 0.27 | 0.56 | 0.17 | 0.16 | 0.46 | (a) | 0.46 | 0.68 | 0.59 | 0.47 | |||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency related transactions | (0.69 | ) | 0.65 | (3.91 | ) | (1.31 | ) | 1.70 | — | 3.12 | (3.15 | ) | (0.26 | ) | 0.39 | |||||||||||||||||||||||||
Total from operations | (0.51 | ) | 0.92 | (3.35 | ) | (1.14 | ) | 1.86 | 0.46 | 3.58 | (2.47 | ) | 0.33 | 0.86 | ||||||||||||||||||||||||||
Distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | — | (0.25 | ) | (0.49 | ) | (0.15 | ) | (0.12 | ) | — | — | — | — | 0.00 | ||||||||||||||||||||||||||
Net asset value, end of period | $ | 8.13 | $ | 8.64 | $ | 7.97 | $ | 11.81 | $ | 13.10 | $ | 11.25 | $ | 10.79 | $ | 7.21 | $ | 9.68 | $ | 9.35 | ||||||||||||||||||||
Total return | –5.90 | %(c) | 11.52 | % | –28.27 | % | –8.74 | % | 16.35 | % | 4.26 | %(c) | 49.65 | % | –25.52 | % | 3.53 | % | 10.13 | % | ||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||
Net assets at end of period (millions) | $ | 20.0 | $ | 19.8 | $ | 13.3 | $ | 28.4 | $ | 34.8 | $ | 231.1 | $ | 159.9 | $ | 71.3 | $ | 89.0 | $ | 74.3 | ||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||
Expenses | 0.96 | %(b) | 1.02 | % | 0.96 | % | 0.87 | % | 0.88 | % | 0.83 | %(b) | 0.88 | % | 0.88 | % | 0.87 | % | 0.91 | % | ||||||||||||||||||||
Net investment income (loss) | 4.29 | %(b) | 4.31 | % | 4.68 | % | 1.18 | % | 1.38 | % | 8.39 | %(b) | 9.14 | % | 8.77 | % | 7.05 | % | 7.12 | % | ||||||||||||||||||||
Portfolio turnover rate | 14 | % | 42 | % | 162 | % | 63 | % | 65 | % | 16 | % | 20 | % | 18 | % | 32 | % | 32 | % |
(a) | Calculated using the average daily shares method. |
(b) | Annualized. |
(c) | Not annualized. |
The accompanying notes are an integral part of these financial statements.
123
Ohio National Fund, Inc.
Financial Highlights
Capital Growth Portfolio | Nasdaq-100® Index Portfolio | |||||||||||||||||||||||||||||||||||||||
Six-Month | Six-Month | |||||||||||||||||||||||||||||||||||||||
Period Ended | Period Ended | |||||||||||||||||||||||||||||||||||||||
June 30, 2010 | Years Ended December 31, | June 30, 2010 | Years Ended December 31, | |||||||||||||||||||||||||||||||||||||
(Unaudited) | 2009 | 2008 | 2007 | 2006 | (Unaudited) | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 20.29 | $ | 15.00 | $ | 23.57 | $ | 21.19 | $ | 17.64 | $ | 4.78 | $ | 3.11 | $ | 5.36 | $ | 4.52 | $ | 4.24 | ||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | (0.07 | ) | — | (0.12 | ) | (0.16 | ) | (0.16 | ) | 0.01 | 0.01 | — | — | — | ||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.11 | 5.29 | (8.45 | ) | 2.54 | 3.71 | (0.31 | ) | 1.66 | (2.25 | ) | 0.84 | 0.28 | |||||||||||||||||||||||||||
Total from operations | 0.04 | 5.29 | (8.57 | ) | 2.38 | 3.55 | (0.30 | ) | 1.67 | (2.25 | ) | 0.84 | 0.28 | |||||||||||||||||||||||||||
Net asset value, end of period | $ | 20.33 | $ | 20.29 | $ | 15.00 | $ | 23.57 | $ | 21.19 | $ | 4.48 | $ | 4.78 | $ | 3.11 | $ | 5.36 | $ | 4.52 | ||||||||||||||||||||
Total return | 0.20 | %(b) | 35.27 | % | –36.36 | % | 11.23 | % | 20.12 | % | –6.28 | %(b) | 53.70 | % | –41.98 | % | 18.58 | % | 6.60 | % | ||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||
Net assets at end of period (millions) | $ | 36.0 | $ | 36.8 | $ | 27.1 | $ | 38.2 | $ | 32.9 | $ | 38.8 | $ | 47.6 | $ | 28.1 | $ | 48.6 | $ | 45.7 | ||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||
Expenses | 1.04 | %(a) | 1.07 | % | 1.04 | % | 1.02 | % | 1.03 | % | 0.54 | %(a) | 0.56 | % | 0.54 | % | 0.51 | % | 0.53 | % | ||||||||||||||||||||
Net investment income (loss) | –0.69 | %(a) | 0.02 | % | –0.66 | % | –0.70 | % | –0.81 | % | 0.22 | %(a) | 0.19 | % | 0.01 | % | –0.01 | % | 0.00 | % | ||||||||||||||||||||
Portfolio turnover rate | 25 | % | 67 | % | 63 | % | 63 | % | 69 | % | 4 | % | 29 | % | 27 | % | 13 | % | 36 | % |
(a) | Annualized. |
(b) | Not annualized. |
The accompanying notes are an integral part of these financial statements.
124
Ohio National Fund, Inc.
Financial Highlights
Bristol Portfolio | Bryton Growth Portfolio | |||||||||||||||||||||||||||||||||||||||
Six-Month | Six-Month | |||||||||||||||||||||||||||||||||||||||
Period Ended | Period Ended | |||||||||||||||||||||||||||||||||||||||
June 30, 2010 | Years Ended December 31, | June 30, 2010 | Years Ended December 31, | |||||||||||||||||||||||||||||||||||||
(Unaudited) | 2009 | 2008 | 2007 | 2006 | (Unaudited) | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.12 | $ | 8.23 | $ | 14.02 | $ | 13.08 | $ | 11.27 | $ | 10.94 | $ | 8.06 | $ | 13.33 | $ | 12.13 | $ | 10.46 | ||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | 0.03 | 0.06 | 0.11 | 0.08 | 0.04 | (0.04 | ) | (0.05 | ) | (0.05 | ) | (0.05 | ) | (0.03 | ) | |||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency related transactions | (0.94 | ) | 2.89 | (5.80 | ) | 0.93 | 1.81 | (0.64 | ) | 2.93 | (5.22 | ) | 1.25 | 1.78 | ||||||||||||||||||||||||||
Total from operations | (0.91 | ) | 2.95 | (5.69 | ) | 1.01 | 1.85 | (0.68 | ) | 2.88 | (5.27 | ) | 1.20 | 1.75 | ||||||||||||||||||||||||||
Distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | — | (0.06 | ) | (0.10 | ) | (0.07 | ) | (0.04 | ) | — | — | — | — | (0.08 | ) | |||||||||||||||||||||||||
Net asset value, end of period | $ | 10.21 | $ | 11.12 | $ | 8.23 | $ | 14.02 | $ | 13.08 | $ | 10.26 | $ | 10.94 | $ | 8.06 | $ | 13.33 | $ | 12.13 | ||||||||||||||||||||
Total return | –8.18 | %(b) | 35.83 | % | –40.54 | % | 7.75 | % | 16.42 | % | –6.22 | %(b) | 35.73 | % | –39.53 | % | 9.89 | % | 16.74 | % | ||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||
Net assets at end of period (millions) | $ | 148.6 | $ | 142.8 | $ | 81.5 | $ | 97.1 | $ | 62.4 | $ | 107.2 | $ | 113.4 | $ | 59.0 | $ | 65.2 | $ | 29.3 | ||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||
Expenses | 0.86 | %(a) | 0.89 | % | 0.90 | % | 0.89 | % | 0.92 | % | 0.93 | %(a) | 0.96 | % | 0.96 | % | 0.96 | % | 1.04 | % | ||||||||||||||||||||
Net investment income (loss) | 0.60 | %(a) | 0.79 | % | 1.13 | % | 0.69 | % | 0.56 | % | –0.77 | %(a) | –0.64 | % | –0.62 | % | –0.54 | % | –0.67 | % | ||||||||||||||||||||
Portfolio turnover rate | 120 | % | 223 | % | 184 | % | 176 | % | 216 | % | 61 | % | 82 | % | 54 | % | 55 | % | 99 | % |
(a) | Annualized. |
(b) | Not annualized. |
The accompanying notes are an integral part of these financial statements.
125
Ohio National Fund, Inc.
Financial Highlights
U.S. Equity Portfolio | Balanced Portfolio | |||||||||||||||||||||||||||||||||||||||
Six-Month | Six-Month | |||||||||||||||||||||||||||||||||||||||
Period Ended | Period Ended | |||||||||||||||||||||||||||||||||||||||
June 30, 2010 | Years Ended December 31, | June 30, 2010 | Years Ended December 31, | |||||||||||||||||||||||||||||||||||||
(Unaudited) | 2009 | 2008 | 2007 | 2006 | (Unaudited) | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.16 | $ | 7.91 | $ | 15.45 | $ | 13.70 | $ | 12.73 | $ | 13.13 | $ | 10.74 | $ | 14.70 | $ | 13.09 | $ | 11.70 | ||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | 0.04 | 0.07 | 0.14 | 0.06 | 0.05 | 0.18 | 0.29 | 0.25 | 0.20 | 0.17 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency related transactions | (1.01 | ) | 1.24 | (7.56 | ) | 1.74 | 0.96 | (0.73 | ) | 2.39 | (4.21 | ) | 1.41 | 1.37 | ||||||||||||||||||||||||||
Total from operations | (0.97 | ) | 1.31 | (7.42 | ) | 1.80 | 1.01 | (0.55 | ) | 2.68 | (3.96 | ) | 1.61 | 1.54 | ||||||||||||||||||||||||||
Distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | — | (0.06 | ) | (0.12 | ) | (0.05 | ) | (0.04 | ) | — | (0.29 | ) | — | — | (0.15 | ) | ||||||||||||||||||||||||
Net asset value, end of period | $ | 8.19 | $ | 9.16 | $ | 7.91 | $ | 15.45 | $ | 13.70 | $ | 12.58 | $ | 13.13 | $ | 10.74 | $ | 14.70 | $ | 13.09 | ||||||||||||||||||||
Total return | –10.59 | %(b) | 16.57 | % | –47.98 | % | 13.17 | % | 7.93 | % | –4.19 | %(b) | 24.92 | % | –26.94 | % | 12.30 | % | 13.12 | % | ||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||
Net assets at end of period (millions) | $ | 11.6 | $ | 14.6 | $ | 13.0 | $ | 24.8 | $ | 21.7 | $ | 12.6 | $ | 13.6 | $ | 9.6 | $ | 11.0 | $ | 7.6 | ||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||
Expenses | 1.02 | %(a) | 1.04 | % | 0.96 | % | 0.91 | % | 0.96 | % | 1.00 | %(a) | 1.08 | % | 1.09 | % | 1.13 | % | 1.31 | % | ||||||||||||||||||||
Net investment income (loss) | 0.83 | %(a) | 0.90 | % | 1.19 | % | 0.41 | % | 0.47 | % | 2.67 | %(a) | 2.99 | % | 2.29 | % | 1.77 | % | 1.95 | % | ||||||||||||||||||||
Portfolio turnover rate | 63 | % | 173 | % | 216 | % | 128 | % | 139 | % | 35 | % | 72 | % | 80 | % | 81 | % | 105 | % |
(a) | Annualized. |
(b) | Not annualized. |
The accompanying notes are an integral part of these financial statements.
126
Ohio National Fund, Inc.
Financial Highlights
Income Opportunity Portfolio | Target VIP Portfolio | |||||||||||||||||||||||||||||||||||||||
Six-Month | Six-Month | |||||||||||||||||||||||||||||||||||||||
Period Ended | Period Ended | |||||||||||||||||||||||||||||||||||||||
June 30, 2010 | Years Ended December 31, | June 30, 2010 | Years Ended December 31, | |||||||||||||||||||||||||||||||||||||
(Unaudited) | 2009 | 2008 | 2007 | 2006 | (Unaudited) | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.19 | $ | 9.89 | $ | 12.49 | $ | 11.53 | $ | 11.07 | $ | 7.72 | $ | 6.81 | $ | 12.23 | $ | 11.23 | $ | 10.14 | ||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||||||||||
Net investment income (loss) | 0.03 | 0.01 | 0.10 | 0.00 | 0.01 | 0.06 | 0.11 | 0.12 | 0.09 | 0.02 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments, foreign currency related transactions, and written options | (0.41 | ) | 1.29 | (2.70 | ) | 0.96 | 0.45 | (0.62 | ) | 0.90 | (5.42 | ) | 1.00 | 1.07 | ||||||||||||||||||||||||||
Total from operations | (0.38 | ) | 1.30 | (2.60 | ) | 0.96 | 0.46 | (0.56 | ) | 1.01 | (5.30 | ) | 1.09 | 1.09 | ||||||||||||||||||||||||||
Distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | — | — | — | — | — | — | (0.10 | ) | (0.12 | ) | (0.09 | ) | — | |||||||||||||||||||||||||||
Net asset value, end of period | $ | 10.81 | $ | 11.19 | $ | 9.89 | $ | 12.49 | $ | 11.53 | $ | 7.16 | $ | 7.72 | $ | 6.81 | $ | 12.23 | $ | 11.23 | ||||||||||||||||||||
Total return | –3.40 | %(b) | 13.14 | % | –20.82 | % | 8.33 | % | 4.16 | % | –7.25 | %(b) | 14.77 | % | –43.34 | % | 9.74 | % | 10.76 | % | ||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||
Net assets at end of period (millions) | $ | 7.5 | $ | 6.7 | $ | 4.5 | $ | 5.2 | $ | 5.7 | $ | 17.6 | $ | 20.6 | $ | 18.2 | $ | 23.1 | $ | 10.6 | ||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||
Ratios net of expenses reduced or reimbursed by adviser: | ||||||||||||||||||||||||||||||||||||||||
Expenses | 1.33 | %(a) | 1.56 | % | 1.62 | % | 1.46 | % | 1.52 | % | 0.83 | %(a) | 0.83 | % | 0.80 | % | 0.83 | % | 1.26 | % | ||||||||||||||||||||
Net investment income (loss) | 0.57 | %(a) | 0.40 | % | 0.98 | % | –0.04 | % | 0.12 | % | 1.60 | %(a) | 1.53 | % | 1.45 | % | 1.22 | % | 0.53 | % | ||||||||||||||||||||
Ratios assuming no expenses reduced or reimbursed by adviser: | ||||||||||||||||||||||||||||||||||||||||
Expenses | 1.38 | %(a) | 1.56 | % | 1.62 | % | 1.46 | % | 1.52 | % | 0.83 | %(a) | 0.83 | % | 0.80 | % | 0.83 | % | 1.30 | % | ||||||||||||||||||||
Net investment income (loss) | 0.52 | %(a) | 0.40 | % | 0.98 | % | –0.04 | % | 0.12 | % | 1.60 | %(a) | 1.53 | % | 1.45 | % | 1.22 | % | 0.48 | % | ||||||||||||||||||||
Portfolio turnover rate | 58 | % | 200 | % | 203 | % | 159 | % | 140 | % | 91 | % | 91 | % | 79 | % | 52 | % | 24 | % |
(a) | Annualized. |
(b) | Not annualized. |
The accompanying notes are an integral part of these financial statements.
127
Ohio National Fund, Inc.
Financial Highlights
Target Equity/Income Portfolio | Bristol Growth Portfolio | |||||||||||||||||||||||||||||||||||
Six-Month | Six-Month | |||||||||||||||||||||||||||||||||||
Period Ended | Period Ended | Period from | ||||||||||||||||||||||||||||||||||
June 30, 2010 | Years Ended December 31, | June 30, 2010 | Years Ended December 31, | May 1, 2007* to | ||||||||||||||||||||||||||||||||
(Unaudited) | 2009 | 2008 | 2007 | 2006 | (Unaudited) | 2009 | 2008 | December 31, 2007 | ||||||||||||||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 7.07 | $ | 6.41 | $ | 12.00 | $ | 11.01 | $ | 10.13 | $ | 8.75 | $ | 6.15 | $ | 10.35 | $ | 10.00 | ||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||||||
Net investment income (loss) | 0.06 | 0.15 | 0.19 | 0.16 | 0.08 | 0.01 | (a) | 0.01 | 0.01 | 0.01 | ||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.23 | ) | 0.64 | (5.61 | ) | 0.99 | 0.87 | (0.76 | ) | 2.59 | (4.21 | ) | 0.34 | |||||||||||||||||||||||
Total from operations | (0.17 | ) | 0.79 | (5.42 | ) | 1.15 | 0.95 | (0.75 | ) | 2.60 | (4.20 | ) | 0.35 | |||||||||||||||||||||||
Distributions: | ||||||||||||||||||||||||||||||||||||
Distributions from net investment income | — | (0.13 | ) | (0.17 | ) | (0.16 | ) | (0.07 | ) | — | — | — | — | |||||||||||||||||||||||
Net asset value, end of period | $ | 6.90 | $ | 7.07 | $ | 6.41 | $ | 12.00 | $ | 11.01 | $ | 8.00 | $ | 8.75 | $ | 6.15 | $ | 10.35 | ||||||||||||||||||
Total return | –2.40 | %(c) | 12.33 | % | –45.07 | % | 10.42 | % | 9.36 | % | –8.57 | %(c) | 42.28 | % | –40.58 | % | 3.50 | %(b) | ||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||
Net assets at end of period (millions) | $ | 21.1 | $ | 22.6 | $ | 24.1 | $ | 40.4 | $ | 20.9 | $ | 66.2 | $ | 10.5 | $ | 4.8 | $ | 7.3 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||
Expenses | 0.79 | %(b) | 0.79 | % | 0.74 | % | 0.73 | % | 0.88 | % | 1.13 | %(b) | 1.29 | % | 1.26 | % | 1.30 | %(a) | ||||||||||||||||||
Net investment income (loss) | 1.49 | %(b) | 2.03 | % | 2.05 | % | 1.83 | % | 1.28 | % | 0.32 | %(b) | 0.26 | % | 0.18 | % | 0.10 | %(a) | ||||||||||||||||||
Portfolio turnover rate | 90 | % | 95 | % | 105 | % | 54 | % | 52 | % | 118 | % | 218 | % | 175 | % | 107 | % |
(a) | Calculated using the average daily shares method. |
(b) | Annualized. |
(c) | Not annualized. |
The accompanying notes are an integral part of these financial statements.
128
Ohio National Fund, Inc.
Notes to Financial Statements | June 30, 2010 (Unaudited) |
(1) | Organization |
Ohio National Fund, Inc. (the “Fund”) is a Maryland corporation registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Fund consists of twenty four separate investment portfolios (the “Portfolios”) that seek the following objectives and strategies:
n | Equity Portfolio — Long-term growth of capital by investing at least 80% of its assets in other equity securities. | |
n | Money Market Portfolio — Maximum current income consistent with preservation of capital and liquidity by investing in high quality money market instruments. | |
n | Bond Portfolio — High level of income and opportunity for capital appreciation consistent with preservation of capital by investing primarily in intermediate-term and long-term fixed income securities. | |
n | Omni Portfolio — High level of long-term total return consistent with preservation of capital by investing in stocks, bonds, and money market instruments. | |
n | International Portfolio — Total return on assets by investing at least 80% of its assets in securities of foreign companies. | |
n | Capital Appreciation Portfolio — Long term capital growth by investing primarily in common stocks of established companies with either current or emerging earnings growth not fully appreciated or recognized by the market. | |
n | Millennium Portfolio — Maximum capital growth by investing primarily in common stocks of small sized companies. | |
n | International Small-Mid Company Portfolio — Long-term growth of capital by investing at least 80% of its assets in equity securities of foreign small and mid-cap companies. | |
n | Aggressive Growth Portfolio — Long-term capital growth by investing primarily in domestic and foreign equity securities selected for growth potential. | |
n | Small Cap Growth Portfolio — Long-term capital appreciation by investing at least 80% of its net assets in stocks of small companies. | |
n | Mid Cap Opportunity Portfolio — Long-term total return by investing at least 80% of its net assets in equity securities of mid-cap companies that are strategically positioned for long-term growth. | |
n | S&P 500® Index Portfolio — Total return that approximates the total return of the Standard & Poor’s 500® Index, at a risk level consistent with that of the S&P 500® Index. | |
n | Strategic Value Portfolio — Growth of capital and income by investing primarily in securities of high dividend yielding, undervalued stocks with dividend growth potential. | |
n | High Income Bond Portfolio — High current income by investing 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 Baa or lower by Moody’s, or BBB or lower by Standard & Poor’s or Fitch. | |
n | Capital Growth Portfolio — Long-term capital appreciation by investing in and actively managing equity securities of small cap growth companies. | |
n | Nasdaq-100® Index Portfolio — Long-term growth of capital by investing primarily in stocks that are included in the Nasdaq-100® Index. Unlike the other Portfolios of the Fund, the Nasdaq-100® Index Portfolio is a non-diversified portfolio for purposes of Section 5 (b) of the 1940 Act. | |
n | Bristol Portfolio — Long-term growth of capital by investing primarily in common stocks of the 1,000 largest publicly traded U.S. companies in terms of market capitalization. | |
n | Bryton Growth Portfolio — Long-term growth of capital by investing primarily in common stocks of growth-oriented U.S. companies smaller than the 500 largest publicly traded U.S. companies in terms of market capitalization. | |
n | U.S. Equity Portfolio — Capital appreciation with a secondary objective of capital preservation to provide long term growth by investing at least 80% of its net assets in equity securities traded in the U.S. within under-priced sectors and industries. |
(continued)
129
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2010 (Unaudited) |
n | Balanced Portfolio — Capital appreciation and income by investing normally up to 75% of its assets in equity securities within under-priced sectors and industries while maintaining a minimum of 25% of its assets in fixed income securities. | |
n | Income Opportunity Portfolio — Modest capital appreciation and maximization of realized gains by investing in equity securities traded in the U.S. | |
n | Target VIP Portfolio — Above average total return by investing in the common stocks of companies which are identified by a model that applies separate uniquely specialized strategies. | |
n | Target Equity/Income Portfolio — Above average total return by adhering to a disciplined, quantitative investment process that incorporates two distinct strategy methodologies. | |
n | Bristol Growth Portfolio — Long-term growth of capital by investing primarily in common stocks of the 1,000 largest publicly traded U.S. companies in terms of market capitalization. |
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 these objectives will be met. Each Portfolio, except the Nasdaq-100® Index Portfolio, is classified as diversified for purposes of Section 5 (b) of the 1940 Act.
At present, the Fund sells its shares only 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. In the future, Fund shares may be used for other purposes but, unless there is a change in applicable law, they will not be sold directly to the public.
Interest in each Portfolio is represented by a separate class of the Fund’s capital stock, par value $1. Each share of a Portfolio participates equally in the Portfolio’s dividends, distributions, net assets, and voting matters.
The Fund is authorized to issue 350 million of its capital shares. These authorized shares have been allocated to specific Portfolios of the Fund as follows:
Portfolio | Authorized Shares | |||
Equity | 25,000,000 | |||
Money Market | 55,000,000 | |||
Bond | 20,000,000 | |||
Omni | 5,000,000 | |||
International | 34,000,000 | |||
Capital Appreciation | 15,000,000 | |||
Millennium | 10,000,000 | |||
International Small-Mid Company | 10,000,000 | |||
Aggressive Growth | 10,000,000 | |||
Small Cap Growth | 5,000,000 | |||
Mid Cap Opportunity | 10,000,000 | |||
S&P 500® Index | 23,000,000 |
Portfolio | Authorized Shares | |||
Strategic Value | 5,000,000 | |||
High Income Bond | 25,000,000 | |||
Capital Growth | 5,000,000 | |||
Nasdaq-100® Index | 20,000,000 | |||
Bristol | 25,000,000 | |||
Bryton Growth | 20,000,000 | |||
U.S. Equity | 5,000,000 | |||
Balanced | 3,000,000 | |||
Income Opportunity | 3,000,000 | |||
Target VIP | 5,000,000 | |||
Target Equity/Income | 7,000,000 | |||
Bristol Growth | 5,000,000 |
The Fund’s Board of Directors (the “Board”) periodically reallocates authorized shares among the Portfolios of the Fund 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.
(continued)
130
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2010 (Unaudited) |
(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 (“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.
Investments in the Money Market Portfolio are valued at amortized cost in accordance with Rule 2a-7 of the 1940 Act. In all Portfolios of the Fund, fixed income instruments that mature in sixty days or less are consistently 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, with the exception of options, are valued at the last trade price reported by the primary exchange of each security (4:00 pm Eastern Time for normal trading sessions). Option securities are currently valued on a composite close price basis. Over-the-counter domestic equity securities are valued at the last trade price reported daily as of 4:00 pm Eastern Time (normal trading sessions). Over-the-counter traded ADRs may 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 national 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 mean between the daily close bid and ask prices, as provided by independent pricing services approved by the Board. | ||
Shares of open-end mutual funds are valued at each fund’s last calculated net asset value per share. | ||
Repurchase agreements are valued at amortized cost, which approximates fair value. | ||
Restricted securities, illiquid securities, or other investments for which market quotations are not readily available are valued at an estimate of value using methods determined in good faith by the Fund’s Pricing Committee under the supervision of the Board. | ||
Foreign equity securities are initially priced at the reported close price of the exchange on which a security is primarily traded. Securities not traded on a particular day are valued at the mean between the last reported bid and ask quotes at daily close, or the last sale price when appropriate. The principal sources for market quotations are independent pricing services that have been approved by the Board. | ||
Equity securities that are primarily traded on foreign exchanges, other than those in North or South America, 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 assumptions selected by the Fund that are used in the valuation include a zero-basis trigger using the S&P 500 Index and a 75% confidence interval. These assumptions result in the performance of the pricing procedures each day there is a change in the S&P 500 Index from the time of local close to the U.S. market close 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. Backtesting analysis is performed on a quarterly basis to monitor |
(continued)
131
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2010 (Unaudited) |
the effectiveness of these procedures. The testing is reviewed by management of the Fund as well as the Fund’s Board. Prior results have indicated that these procedures have been effective in reaching valuation objectives.
The differences between the aggregate cost and values of investments are reflected as unrealized appreciation or unrealized depreciation.
Pricing inputs used in the Fund’s determination of its investment values are categorized according to a three-tier hierarchy framework. The hierarchy is summarized in three broad levels:
Level 1: | Quoted prices in active markets for identical securities. | |
Level 2: | Other significant observable inputs, including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc. | |
Level 3: | Significant unobservable inputs, including the Fund’s own assumptions used to determine the fair value of securities. |
The following is a summary of the inputs used in valuing each of the Portfolio’s assets (liabilities) at value as of June 30, 2010:
Portfolio | Financial Instrument Type | Level 1 | Level 2 | Level 3 | ||||||||||
Equity | Common Stocks | $ | 188,129,366 | $ | — | $ | — | |||||||
Repurchase Agreements | — | 1,110,303 | — | |||||||||||
$ | 188,129,366 | $ | 1,110,303 | $ | — | |||||||||
Money Market* | Commercial Paper | $ | — | $ | 226,086,507 | $ | — | |||||||
Asset-Backed Commercial Paper | — | 3,162,062 | — | |||||||||||
Money Market Funds | 43,500,000 | — | — | |||||||||||
U.S. Treasury Obligations | — | 14,999,257 | — | |||||||||||
U.S. Government Agency Issues | — | 9,999,972 | — | |||||||||||
Repurchase Agreements | — | 15,000,000 | — | |||||||||||
$ | 43,500,000 | $ | 269,247,798 | $ | — | |||||||||
Bond | Corporate Bonds | $ | — | $ | 132,539,867 | $ | — | |||||||
U.S. Treasury Obligations | — | 9,305,862 | — | |||||||||||
Money Market Funds | 3,160,000 | — | — | |||||||||||
Repurchase Agreements | — | 7,700,000 | — | |||||||||||
�� | ||||||||||||||
$ | 3,160,000 | $ | 149,545,729 | $ | — | |||||||||
Omni | Common Stocks | $ | 24,519,922 | $ | — | $ | — | |||||||
Corporate Bonds | — | 11,346,357 | — | |||||||||||
Money Market Funds | 1,968,000 | — | — | |||||||||||
$ | 26,487,922 | $ | 11,346,357 | $ | — | |||||||||
International | Common Stocks | $ | 39,689,545 | $ | 129,687,718 | $ | — | |||||||
Preference Shares (Brazil) | 659,667 | — | — | |||||||||||
Exchange Traded Funds | 4,937,325 | — | — | |||||||||||
Rights | 22,074 | — | — | |||||||||||
Money Market Funds | 577,376 | — | — | |||||||||||
U.S. Treasury Obligations | — | 149,983 | — | |||||||||||
$ | 45,885,987 | $ | 129,837,701 | $ | — | |||||||||
Foreign currency contracts | $ | 2,295,622 | $ | — | $ | — | ||||||||
Futures | $ | (98,735 | ) | $ | — | $ | — | |||||||
Capital Appreciation | Common Stocks | $ | 107,799,241 | $ | 1,708,197 | $ | — | |||||||
Money Market Funds | 3,299,000 | — | — | |||||||||||
$ | 111,098,241 | $ | 1,708,197 | $ | — | |||||||||
(continued)
132
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2010 (Unaudited) |
Portfolio | Financial Instrument Type | Level 1 | Level 2 | Level 3 | ||||||||||
Millennium | Common Stocks | $ | 31,662,873 | $ | — | $ | — | |||||||
Commercial Paper | — | 23,001,000 | — | |||||||||||
Money Market Funds | 22,084,000 | — | — | |||||||||||
Repurchase Agreements | — | 36,165,000 | — | |||||||||||
$ | 53,746,873 | $ | 59,166,000 | $ | — | |||||||||
International Small-Mid Company | Common Stocks | $ | 11,858,525 | $ | 44,783,676 | $ | — | |||||||
Exchange Traded Funds | 1,680,873 | — | — | |||||||||||
Money Market Funds | 1,478,734 | — | — | |||||||||||
$ | 15,018,132 | $ | 44,783,676 | $ | — | |||||||||
Aggressive Growth | Common Stocks | $ | 18,898,814 | $ | 3,799,181 | $ | — | |||||||
VVPR Strips | 26 | — | — | |||||||||||
Money Market Funds | 338,000 | — | — | |||||||||||
$ | 19,236,840 | $ | 3,799,181 | $ | — | |||||||||
Small Cap Growth | Common Stocks | $ | 22,075,348 | $ | — | $ | — | |||||||
Money Market Funds | 274,000 | — | — | |||||||||||
$ | 22,349,348 | $ | — | $ | — | |||||||||
Mid Cap Opportunity | Common Stocks | $ | 55,422,259 | $ | — | $ | — | |||||||
Money Market Funds | 2,384,000 | — | — | |||||||||||
$ | 57,806,259 | $ | — | $ | — | |||||||||
S&P 500® Index | Common Stocks | $ | 143,513,678 | $ | — | $ | — | |||||||
Exchange Traded Funds | 1,122,517 | — | — | |||||||||||
Repurchase Agreement | — | 620,000 | — | |||||||||||
$ | 144,636,195 | $ | 620,000 | $ | — | |||||||||
Strategic Value | Common Stocks | $ | 16,888,082 | $ | 2,881,545 | $ | — | |||||||
Money Market Funds | 203,000 | — | — | |||||||||||
$ | 17,091,082 | $ | 2,881,545 | $ | — | |||||||||
Foreign currency contracts | $ | (64,040 | ) | $ | — | $ | — | |||||||
High Income Bond | Corporate Bonds | $ | — | $ | 190,306,350 | $ | — | |||||||
Convertible Bonds | — | 215,156 | — | |||||||||||
Preferred Stocks | — | 268,961 | — | |||||||||||
Common Stocks | 182,419 | — | — | |||||||||||
Other | — | — | 4,688 | |||||||||||
Money Market Funds | 1,641,000 | — | — | |||||||||||
$ | 1,823,419 | $ | 190,790,467 | $ | 4,688 | |||||||||
Capital Growth | Common Stocks | $ | 35,824,893 | $ | — | $ | — | |||||||
Money Market Funds | 30,000 | — | — | |||||||||||
$ | 35,854,893 | $ | — | $ | — | |||||||||
Nasdaq-100® Index | Common Stocks | $ | 38,061,121 | $ | — | $ | — | |||||||
Exchange Traded Funds | 395,708 | — | — | |||||||||||
$ | 38,456,829 | $ | — | $ | — | |||||||||
Bristol | Common Stocks | $ | 133,231,870 | $ | — | $ | — | |||||||
Money Market Funds | 4,231,000 | — | — | |||||||||||
$ | 137,462,870 | $ | — | $ | — | |||||||||
(continued)
133
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2010 (Unaudited) |
Portfolio | Financial Instrument Type | Level 1 | Level 2 | Level 3 | ||||||||||
Bryton Growth | Common Stocks | $ | 100,572,737 | $ | — | $ | — | |||||||
Money Market Funds | 11,568,000 | — | — | |||||||||||
$ | 112,140,737 | $ | — | $ | — | |||||||||
U.S. Equity | Common Stocks | $ | 11,437,977 | $ | — | $ | — | |||||||
Money Market Funds | 136,000 | — | — | |||||||||||
$ | 11,573,977 | $ | — | $ | — | |||||||||
Balanced | Common Stocks | $ | 7,901,207 | $ | — | $ | — | |||||||
Corporate Bonds | — | 4,153,187 | — | |||||||||||
U.S. Government Agency Issues | — | 256,941 | — | |||||||||||
Money Market Funds | 253,000 | — | — | |||||||||||
$ | 8,154,207 | $ | 4,410,128 | $ | — | |||||||||
Income Opportunity | Common Stocks | $ | 7,251,716 | $ | — | $ | — | |||||||
Purchased Options | 44,100 | — | — | |||||||||||
Money Market Funds | 240,000 | — | — | |||||||||||
$ | 7,535,816 | $ | — | $ | — | |||||||||
Written Options Outstanding | $ | (79,605 | ) | $ | — | $ | — | |||||||
Target VIP | Common Stocks | $ | 17,393,902 | $ | — | $ | — | |||||||
Money Market Funds | 247,000 | — | — | |||||||||||
$ | 17,640,902 | $ | — | $ | — | |||||||||
Target Equity/Income | Common Stocks | $ | 20,798,323 | $ | — | $ | — | |||||||
Money Market Funds | 628,000 | — | — | |||||||||||
$ | 21,426,323 | $ | — | $ | — | |||||||||
Bristol Growth | Common Stocks | $ | 9,373,830 | $ | — | $ | — | |||||||
Money Market Funds | 318,000 | — | — | |||||||||||
$ | 9,691,830 | $ | — | $ | — | |||||||||
* | At June 30, 2010, the Money Market Portfolio’s investments, with the exception of money market funds, were valued using amortized cost, in accordance with rules under the 1940 Act. Amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, such securities are considered to be valued using Level 2 inputs. |
There were no significant transfers into, or out of, Level 1 or Level 2 securities during the six-month period ended June 30, 2010. Below is a reconciliation that details the activity of securities in Level 3 during the six-month period ended June 30, 2010:
Corporate Bonds | High Income Bond | |||
Beginning Balance – January 1, 2010 | $ | — | ||
Total gains or losses (realized/unrealized): | ||||
Included in earnings (or changes in net assets) | — | |||
Purchases, issuances, and settlements | 4,688 | |||
Transfers in and/or out of Level 3 | — | |||
Ending Balance – June 30, 2010 | $ | 4,688 | ||
The amount of total gains or losses for the period included in earnings (or changes in net assets) attributable to the change in unrealized gains or losses relating to assets still held at the reporting date | $ | — | ||
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
(continued)
134
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2010 (Unaudited) |
exchange rates are currently determined daily, at 4:00 pm Eastern Time for normal trading sessions. Purchases and sales of foreign-denominated investments are recorded at rates of exchange prevailing on the respective dates of such transactions.
The Fund may not fully isolate that portion of the results of operations resulting from changes in foreign exchange rates from fluctuations arising from changes in market prices on foreign currency-denominated investments. 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, other than the Target VIP and Target Equity/Income Portfolios, may invest in securities of foreign issuers, although foreign securities purchased by the Money Market Portfolio must be denominated in U.S. dollars and held in custody in the United States of America. The International and International Small-Mid Company Portfolios may be invested entirely in foreign securities. Investments in securities of foreign issuers, including investments in foreign companies through the use of depository 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.
Repurchase Agreements
The Portfolios may acquire repurchase agreements from member banks of the Federal Reserve System which are deemed creditworthy under guidelines approved by the Board, subject to the seller’s agreement to repurchase such securities at a mutually agreed upon date and price. The repurchase price generally equals the price paid by a Portfolio plus interest negotiated on the basis of current short-term rates, which may be more or less than the rate on the underlying securities. The maturities of these instruments vary from overnight to one week. The seller, under a repurchase agreement, is required to maintain as collateral for the repurchase transaction securities in which the Portfolio has a perfected security interest with a value not less than 100% of the repurchase price (including accrued interest). Securities subject to repurchase agreements are held by the Portfolio’s custodian or another qualified custodian or in the Federal Reserve/Treasury book-entry system. In the event of counterparty default, the Fund has the right to use the collateral to offset losses incurred. There is potential for loss to the Fund in the event the Fund is delayed or prevented from exercising its rights to dispose of the collateral securities, including the risk of a possible decline in the value of the underlying securities during the period while the Fund seeks to assert its rights.
Restricted and Illiquid Securities
Restricted securities are those securities purchased through a private offering and cannot be resold to the general public without prior registration under the Securities Act of 1933 (“the 1933 Act”) or pursuant to the resale limitations provided by Rule 144A under the 1933 Act, or an exemption from the registration requirements of the 1933 Act. 144A securities are issued by corporations without registration in reliance on 1933 Act provisions allowing for the private resale of unregistered securities to qualified institutional buyers. Section 4(2) commercial paper is issued pursuant to Section 4(2) of the 1933 Act which exempts an issue from registration. This paper may be used to finance non-current transactions, such as acquisitions, stock repurchase programs, and other long-term assets. Investments by a portfolio in Rule 144A and Section 4(2) securities could have the effect of decreasing the liquidity of a Portfolio during any period in which qualified institutional investors were no longer interested in purchasing these securities.
Typically, the restricted securities noted above are not considered illiquid. The criteria used to determine if a restricted security is illiquid includes frequency of trades and quotes, available dealers willing to make transactions, availability of market makers in the security, and the nature of the security and its trades. The Money Market, Bond, and Omni Portfolios may invest up to 10% of assets in illiquid securities. Each of the other Portfolios of the Fund may invest up to 15% of its net assets in illiquid securities.
Investment Transactions and Related Income
For financial reporting purposes, investment transactions are accounted for on a trade date basis. For purposes of executing separate account shareholder transactions in the normal course of business, however, the Fund’s investment transactions are recorded no later than the first calculation on the first business day following the trade date in accordance with Rule 2a-4 of the
(continued)
135
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2010 (Unaudited) |
1940 Act. Accordingly, differences between the net asset values for financial reporting and for executing separate account shareholder transactions may arise.
Dividend income is recognized on the ex-dividend date, except in the case of those Portfolios holding foreign securities, in which dividends are recorded as soon after the ex-dividend date as the Fund’s information agents become aware of such dividends. Interest income is accrued daily as earned and includes the amortization of premium and accretion of discount. Net realized gain or loss on investments and foreign exchange transactions are determined using the specific identification method.
Distributions to Shareholders and Federal Taxes
Net investment income of the Money Market Portfolio is declared and paid daily as a dividend to shareholders immediately before the computation of the net asset value of Money Market Portfolio shares. Dividends are automatically reinvested in additional Money Market Portfolio shares at the net asset value immediately following such computation. Distributions arising from net investment income and net capital gains from the remaining Portfolios are declared and paid to shareholders periodically 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. The Fund, excluding the Money Market Portfolio, may also satisfy its distribution requirements by using consent dividends rather than cash dividends. The Fund has the intent to continue to comply with tax provisions pertaining to regulated investment companies and make distributions of taxable income 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.
The character of income and realized capital gains distributions are determined in accordance with Federal income tax regulations and may differ from net investment income and realized gains for financial reporting purposes. These “book/tax” differences are either considered temporary or permanent in nature. To the extent these differences are permanent in nature they are reclassified within the composition of net assets; temporary differences do not require such reclassification. Distributions to shareholders that exceed taxable income and net taxable realized gains are reported as return of capital distributions.
The Fund’s management and its tax agent, U.S. Bancorp Fund Services, LLC, perform an affirmative evaluation of tax positions taken or expected to be taken in the course of preparing the Fund’s tax returns to determine whether it is more-likely-than-not (i.e. greater than 50-percent) that each tax position will be sustained upon examination by a taxing authority based on the technical merits of the position. A tax position that meets the more-likely-than-not recognition threshold is measured to determine the amount of benefit to recognize in the financial statements. Differences between tax positions taken in a tax return and amounts recognized in the financial statements will generally result in an increase in a liability for taxes payable (or a reduction of a tax refund receivable), including the recognition of any related interest and penalties as an operating expense. 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 (i.e. the last 4 tax year ends and the interim tax period since then). The determination has been made that there are no uncertain tax positions that would require the Portfolios to record a tax liability and, therefore, there is no impact to the Portfolios’ financial statements.
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 based on income earned. These Portfolios accrue such taxes as the related income is earned.
(continued)
136
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2010 (Unaudited) |
(3) | Related Party and Other Transactions |
The Fund has an Investment Advisory Agreement with Ohio National Investments, Inc. (“ONI”), a wholly-owned subsidiary of ONLIC. Under the terms of this agreement, ONI provides portfolio management and investment advice to the Fund and administers its operations, subject to the supervision of the Fund’s Board. This agreement is renewed annually upon the approval by the Board. As compensation for its services, ONI receives advisory fees from the Fund calculated on the basis of each Portfolio’s average daily net assets and the following current schedule of Board-approved annualized fee breakpoints.
Equity 0.79% of first $200 million 0.74% of next $800 million 0.70% over $1 billion Bond 0.60% of first $100 million 0.50% of next $150 million 0.45% of next $250 million 0.40% of next $500 million 0.30% of next $1 billion 0.25% over $2 billion International 0.85% of first $100 million 0.80% of next $100 million 0.70% over $200 million Millennium 0.80% of first $150 million 0.75% of next $150 million 0.70% of next $300 million 0.65% over $600 million Aggressive Growth 0.80% of first $100 million 0.75% of next $400 million 0.70% over $500 million Mid Cap Opportunity 0.85% of first $100 million 0.80% of next $100 million 0.75% of next $300 million 0.70% over $500 million Strategic Value 0.75% of first $100 million 0.70% of next $400 million 0.65% over $500 million Capital Growth 0.90% of first $100 million 0.85% of next $100 million 0.80% of next $300 million 0.75% over $500 million Bristol 0.80% of first $100 million 0.70% of next $400 million 0.65% over $500 million U.S. Equity 0.75% of first $200 million 0.70% of next $300 million 0.65% over $500 million | Money Market 0.30% of first $100 million(1) 0.25% of next $150 million 0.23% of next $250 million 0.20% of next $500 million 0.15% over $1 billion Omni 0.60% of first $100 million 0.50% of next $150 million 0.45% of next $250 million 0.40% of next $500 million 0.30% of next $1 billion 0.25% over $2 billion Capital Appreciation 0.80% of first $100 million 0.75% of next $300 million 0.65% of next $600 million 0.60% over $1 billion International Small-Mid Company 1.00% of first $100 million 0.90% of next $100 million 0.85% over $200 million Small Cap Growth 0.90% of first $150 million 0.80% of next $150 million 0.75% over $300 million S&P 500® Index 0.40% of first $100 million 0.35% of next $150 million 0.33% over $250 million High Income Bond 0.75% of first $75 million 0.70% of next $75 million 0.65% of next $75 million 0.60% over $225 million Nasdaq-100® Index 0.40% of first $100 million 0.35% of next $150 million 0.33% over $250 million Bryton Growth 0.85% of first $100 million 0.75% of next $400 million 0.70% over $500 million Income Opportunity 0.80% of first $200 million 0.75% of next $300 million 0.70% over $500 million |
(continued)
137
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2010 (Unaudited) |
Balanced 0.65% of first $200 million 0.60% of next $300 million 0.55% over $500 million Target VIP 0.60% of first $100 million 0.55% of next $400 million 0.50% over $500 million | Target Equity/Income 0.60% of first $100 million 0.55% of next $400 million 0.50% over $500 million Bristol Growth 0.80% of first $100 million 0.70% of next $400 million 0.65% over $500 million |
(1) | For the six-month period ended June 30, 2010, ONI waived advisory fees in excess of 0.25% of the first $100 million of average daily net assets in the Money Market Portfolio. Waivers related to the Money Market Portfolio are voluntary and are not subject to recoupment in subsequent periods. The amount of the waiver for the six-month period ended June 30, 2010 was $25,000. If ONI did not agree to reimburse these expenses, the total expenses incurred by the Money Market Portfolio for the six-month period ended June 30, 2010 would have been higher than the net expenses reflected in the Statements of Operations. |
Under the Investment Advisory Agreement, the Fund authorizes ONI to retain sub-advisers (“the Sub-advisers”) for the Equity, Omni, International, Capital Appreciation, Millennium, International Small-Mid Company, Aggressive Growth, Small Cap Growth, Mid Cap Opportunity, Strategic Value, High Income Bond, Capital Growth, Bristol, Bryton Growth, U.S. Equity, Balanced, Income Opportunity, Target VIP, Target Equity/Income, and Bristol Growth Portfolios subject to the approval of the Board. ONI has entered into sub-advisory agreements with Legg Mason Capital Management, Inc. (“Legg Mason”), Suffolk Capital Management, LLC (“Suffolk”), Federated Global Investment Management Corp. (“Federated Global”), Jennison Associates LLC (“Jennison”), Neuberger Berman Management LLC (“Neuberger Berman”), Janus Capital Management LLC (“Janus”), Goldman Sachs Asset Management, L.P. (“Goldman Sachs”), Federated Equity Management Company of Pennsylvania (“Federated Equity”), Federated Investment Management Company (“Federated Investment”), Eagle Asset Management, Inc. (“Eagle”), ICON Advisers, Inc. (“ICON”), and First Trust Advisors L.P. (“First Trust”), to manage the investment of those Portfolios’ assets, subject to the supervision of ONI. As compensation for their services, the Sub-advisers receive from ONI a sub-advisory fee calculated on the basis of each of the aforementioned Portfolio’s average daily net assets and the following current Board-approved schedule of annualized fee breakpoints.
Equity (Legg Mason) 0.40% of first $200 million 0.38% over $200 million International (Federated Global) 0.40% of first $200 million 0.35% over $200 million Capital Appreciation (Jennison) 0.75% of first $10 million 0.50% of next $30 million 0.35% of next $25 million 0.25% of next $335 million 0.22% of next $600 million 0.20% over $1 billion Aggressive Growth (Janus) 0.55% of first $100 million 0.50% of next $400 million 0.45% over $500 million Mid Cap Opportunity (GSAM) 0.60% of first $100 million 0.55% of next $100 million 0.50% over $200 million | Omni (Suffolk) 0.30% of first $100 million 0.25% of next $150 million 0.225% of next $250 million 0.20% of next $500 million 0.15% of next $1 billion 0.125% over $2 billion Millennium (Neuberger Berman) 0.55% of first $150 million 0.50% of next $150 million 0.40% over $300 million International Small-Mid Company (Federated Global) 0.75% of first $100 million 0.65% over $100 million Small Cap Growth (Janus) 0.60% of next $150 million 0.50% over $150 million Strategic Value (Federated Equity) 0.50% of first $35 million 0.35% of next $65 million 0.25% over $100 million |
(continued)
138
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2010 (Unaudited) |
High Income Bond (Federated Investment) 0.50% of first $30 million 0.40% of next $20 million 0.30% of next $25 million 0.25% over $75 million Bristol (Suffolk) 0.45% of first $100 million 0.40% of next $400 million 0.35% over $500 million U.S. Equity (ICON) 0.50% of first $200 million 0.45% of next $300 million 0.40% over $500 million Income Opportunity (ICON) 0.55% of first $200 million 0.50% of next $300 million 0.45% over $500 million Bristol Growth (Suffolk) 0.45% of first $100 million 0.40% of next $400 million 0.35% over $500 million | Capital Growth (Eagle) 0.59% of first $100 million 0.55% of next $100 million 0.50% over $200 million Bryton Growth (Suffolk) 0.50% of first $100 million 0.45% of next $400 million 0.40% over $500 million Balanced (ICON) 0.40% of first $200 million 0.35% of next $300 million 0.30% over $500 million Target VIP and Target Equity/Income (First Trust) 0.35% of first $500 million 0.25% over $500 million |
Suffolk, the sub-adviser for the Omni, Bristol, Bryton Growth, and Bristol Growth Portfolios has an affiliation with ONI. Ohio National Financial Services, Inc. (ONFS) owns 100% of ONLIC, the parent company of ONI, and also owns 83% of the voting securities of Suffolk. There were no Fund liabilities payable to Suffolk at June 30, 2010 and fees paid to Suffolk are an expense of ONI, not of the Fund.
Pursuant to a service agreement among ONI, ONLIC and the Fund, ONLIC has agreed to provide personnel and facilities to ONI on a cost-reimbursement basis. These personnel members include officers of the Fund. ONLIC also provides clerical and administrative services and such supplies and equipment as may be reasonably required in order for ONI to properly perform its advisory function pursuant to the Investment Advisory Agreement. ONLIC further performs duties to fulfill the transfer agent function on behalf of the Fund. Performance of these duties by ONLIC and availability of facilities, personnel, supplies, and equipment does not represent an expense to the Fund in excess of the advisory fees paid to ONI.
Pursuant to the Investment Advisory Agreement, 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. The Income Opportunity Portfolio had an expense reimbursement for the six-month period ended June 30, 2010 totaling $1,858. This reimbursement is not subject to recoupment in subsequent periods.
During the six-month period ended June 30, 2010, ONI voluntarily reimbursed the amount of daily gross expenses of the Money Market Portfolio in excess of daily income earned by the Portfolio. The amount reimbursed to the Portfolio for the six-month period ended June 30, 2010 was $296,391. This reimbursement is also not subject to recoupment in subsequent periods.
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 to perform the Fund’s regulation-mandated compliance function and ONI has reimbursed ONLIC for such costs. For the six-month period ended June 30, 2010, the Fund incurred compliance expenses totaling $77,496, equally allocated to the Portfolios. Expenses incurred by the Portfolios are reflected on the Statements of Operations as “Compliance expense”.
Each director of the Board is currently paid a quarterly retainer fee of $7,500, $2,750 for each Board meeting attended, $1,000 for each Audit Committee meeting attended, and $500 for each other Board committee or independent directors meetings attended. The Board chair receives an additional quarterly retainer fee of $3,750, the lead independent director of the Board receives an
(continued)
139
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2010 (Unaudited) |
additional quarterly retainer fee of $3,125, and the Audit Committee chair receives an additional quarterly retainer fee of $1,250. For the six-month period ended June 30, 2010, compensation of these directors by the Fund totaled $116,750.
U.S. Bancorp Fund Services, LLC, 615 East Michigan Street, Milwaukee, Wisconsin, serves as the accounting agent for all but the International and International Small-Mid Company Portfolios. U.S. Bank Institutional Trust & Custody, 425 Walnut Street, Cincinnati, Ohio serves as the custodian for all but the International and International Small-Mid Company Portfolios. The accounting agent and custodian for the International and International Small-Mid Company Portfolios is State Street Bank-Kansas City, 801 Pennsylvania Ave., Kansas City, Missouri. For assets held outside the United States, U.S. Bank and State Street Bank-Kansas City enter into sub-custodial agreements, subject to approval by the Board.
(4) | Capital Share Transactions |
Capital share transactions for the six-month period ended June 30, 2010, and for the year ended December 31, 2009, were as follows:
Equity | Money Market | Bond | ||||||||||||||||||||||
Six-Month | Six-Month | Six-Month | ||||||||||||||||||||||
Period Ended | Period Ended | Period Ended | ||||||||||||||||||||||
June 30, 2010 | Year Ended | June 30, 2010 | Year Ended | June 30, 2010 | Year Ended | |||||||||||||||||||
(Unaudited) | 12/31/2009 | (Unaudited) | 12/31/2009 | (Unaudited) | 12/31/2009 | |||||||||||||||||||
Capital shares issued on sales | 761,399 | 1,691,434 | 17,742,843 | 41,782,044 | 2,537,738 | 4,061,330 | ||||||||||||||||||
Capital shares issued on reinvested dividends | — | 25,660 | — | — | — | — | ||||||||||||||||||
Capital shares redeemed | (1,210,686 | ) | (3,558,752 | ) | (19,244,393 | ) | (47,912,691 | ) | (2,090,997 | ) | (3,440,642 | ) | ||||||||||||
Net increase/(decrease) | (449,287 | ) | (1,841,658 | ) | (1,501,550 | ) | (6,130,647 | ) | 446,741 | 620,688 | ||||||||||||||
Omni | International | Capital Appreciation | ||||||||||||||||||||||
Six-Month | �� | Six-Month | Six-Month | |||||||||||||||||||||
Period Ended | Period Ended | Period Ended | ||||||||||||||||||||||
June 30, 2010 | Year Ended | June 30, 2010 | Year Ended | June 30, 2010 | Year Ended | |||||||||||||||||||
(Unaudited) | 12/31/2009 | (Unaudited) | 12/31/2009 | (Unaudited) | 12/31/2009 | |||||||||||||||||||
Capital shares issued on sales | 133,779 | 312,835 | 1,911,998 | 2,665,036 | 427,766 | 902,182 | ||||||||||||||||||
Capital shares issued on reinvested dividends | — | 49,851 | — | — | — | 78,247 | ||||||||||||||||||
Capital shares redeemed | (260,834 | ) | (650,890 | ) | (2,002,459 | ) | (6,334,979 | ) | (758,082 | ) | (2,140,885 | ) | ||||||||||||
Net increase/(decrease) | (127,055 | ) | (288,204 | ) | (90,461 | ) | (3,669,943 | ) | (330,316 | ) | (1,160,456 | ) | ||||||||||||
Millennium | International Small-Mid Company | Aggressive Growth | ||||||||||||||||||||||
Six-Month | Six-Month | Six-Month | ||||||||||||||||||||||
Period Ended | Period Ended | Period Ended | ||||||||||||||||||||||
June 30, 2010 | Year Ended | June 30, 2010 | Year Ended | June 30, 2010 | Year Ended | |||||||||||||||||||
(Unaudited) | 12/31/2009 | (Unaudited) | 12/31/2009 | (Unaudited) | 12/31/2009 | |||||||||||||||||||
Capital shares issued on sales | 962,810 | 4,908,391 | 292,651 | 1,073,744 | 485,892 | 1,433,447 | ||||||||||||||||||
Capital shares issued on reinvested dividends | — | — | — | — | — | — | ||||||||||||||||||
Capital shares redeemed | (5,231,166 | ) | (954,166 | ) | (490,566 | ) | (1,376,880 | ) | (689,958 | ) | (1,230,364 | ) | ||||||||||||
Net increase/(decrease) | (4,268,356 | ) | 3,954,225 | (197,915 | ) | (303,136 | ) | (204,066 | ) | 203,083 | ||||||||||||||
(continued)
140
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2010 (Unaudited) |
Small Cap Growth | Mid Cap Opportunity | S&P 500® Index | ||||||||||||||||||||||
Six-Month | Six-Month | Six-Month | ||||||||||||||||||||||
Period Ended | Period Ended | Period Ended | ||||||||||||||||||||||
June 30, 2010 | Year Ended | June 30, 2010 | Year Ended | June 30, 2010 | Year Ended | |||||||||||||||||||
(Unaudited) | 12/31/2009 | (Unaudited) | 12/31/2009 | (Unaudited) | 12/31/2009 | |||||||||||||||||||
Capital shares issued on sales | 430,335 | 980,778 | 305,735 | 3,108,764 | 1,466,661 | 6,377,628 | ||||||||||||||||||
Capital shares issued on reinvested dividends | — | — | — | — | — | 174,417 | ||||||||||||||||||
Capital shares redeemed | (471,136 | ) | (689,601 | ) | (494,537 | ) | (6,253,894 | ) | (1,887,315 | ) | (4,084,406 | ) | ||||||||||||
Net increase/(decrease) | (40,801 | ) | 291,177 | (188,802 | ) | (3,145,130 | ) | (420,654 | ) | 2,467,639 | ||||||||||||||
Strategic Value | High Income Bond | Capital Growth | ||||||||||||||||||||||
Six-Month | Six-Month | Six-Month | ||||||||||||||||||||||
Period Ended | Period Ended | Period Ended | ||||||||||||||||||||||
June 30, 2010 | Year Ended | June 30, 2010 | Year Ended | June 30, 2010 | Year Ended | |||||||||||||||||||
(Unaudited) | 12/31/2009 | (Unaudited) | 12/31/2009 | (Unaudited) | 12/31/2009 | |||||||||||||||||||
Capital shares issued on sales | 472,252 | 1,173,335 | 8,607,479 | 9,882,540 | 238,933 | 672,335 | ||||||||||||||||||
Capital shares issued on reinvested dividends | — | 63,845 | — | — | — | — | ||||||||||||||||||
Capital shares redeemed | (302,160 | ) | (624,258 | ) | (2,876,726 | ) | (4,957,356 | ) | (281,647 | ) | (665,264 | ) | ||||||||||||
Net increase/(decrease) | 170,092 | 612,922 | 5,730,753 | 4,925,184 | (42,714 | ) | 7,071 | |||||||||||||||||
Nasdaq-100® Index | Bristol | Bryton Growth | ||||||||||||||||||||||
Six-Month | Six-Month | Six-Month | ||||||||||||||||||||||
Period Ended | Period Ended | Period Ended | ||||||||||||||||||||||
June 30, 2010 | Year Ended | June 30, 2010 | Year Ended | June 30, 2010 | Year Ended | |||||||||||||||||||
(Unaudited) | 12/31/2009 | (Unaudited) | 12/31/2009 | (Unaudited) | 12/31/2009 | |||||||||||||||||||
Capital shares issued on sales | 1,286,912 | 4,867,867 | 3,063,839 | 5,644,552 | 2,070,903 | 5,342,762 | ||||||||||||||||||
Capital shares issued on reinvested dividends | — | — | — | 67,319 | — | — | ||||||||||||||||||
Capital shares redeemed | (2,556,050 | ) | (3,951,131 | ) | (1,359,975 | ) | (2,776,615 | ) | (1,987,802 | ) | (2,297,640 | ) | ||||||||||||
Net increase/(decrease) | (1,269,138 | ) | 916,736 | 1,703,864 | 2,935,256 | 83,101 | 3,045,122 | |||||||||||||||||
U.S. Equity | Balanced | Income Opportunity | ||||||||||||||||||||||
Six-Month | Six-Month | Six-Month | ||||||||||||||||||||||
Period Ended | Period Ended | Period Ended | ||||||||||||||||||||||
June 30, 2010 | Year Ended | June 30, 2010 | Year Ended | June 30, 2010 | Year Ended | |||||||||||||||||||
(Unaudited) | 12/31/2009 | (Unaudited) | 12/31/2009 | (Unaudited) | 12/31/2009 | |||||||||||||||||||
Capital shares issued on sales | 72,059 | 394,400 | 139,465 | 385,966 | 157,437 | 346,594 | ||||||||||||||||||
Capital shares issued on reinvested dividends | — | 10,552 | — | 21,991 | — | — | ||||||||||||||||||
Capital shares redeemed | (256,466 | ) | (454,184 | ) | (170,496 | ) | (269,350 | ) | (60,707 | ) | (204,725 | ) | ||||||||||||
Net increase/(decrease) | (184,407 | ) | (49,232 | ) | (31,031 | ) | 138,607 | 96,730 | 141,869 | |||||||||||||||
Target VIP | Target Equity/Income | Bristol Growth | ||||||||||||||||||||||
Six-Month | Six-Month | Six-Month | ||||||||||||||||||||||
Period Ended | Period Ended | Period Ended | ||||||||||||||||||||||
June 30, 2010 | Year Ended | June 30, 2010 | Year Ended | June 30, 2010 | Year Ended | |||||||||||||||||||
(Unaudited) | 12/31/2009 | (Unaudited) | 12/31/2009 | (Unaudited) | 12/31/2009 | |||||||||||||||||||
Capital shares issued on sales | 160,540 | 937,153 | 428,700 | 1,049,533 | 7,788,754 | 537,735 | ||||||||||||||||||
Capital shares issued on reinvested dividends | — | 32,609 | — | 58,040 | — | — | ||||||||||||||||||
Capital shares redeemed | (364,579 | ) | (976,438 | ) | (569,916 | ) | (1,662,506 | ) | (708,685 | ) | (125,964 | ) | ||||||||||||
Net increase/(decrease) | (204,039 | ) | (6,676 | ) | (141,216 | ) | (554,933 | ) | 7,080,069 | 411,771 | ||||||||||||||
(continued)
141
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2010 (Unaudited) |
(5) | Investment Transactions |
Purchases and sales of investments (excluding short-term and government securities) for the six-month period ended June 30, 2010 were as follows:
Equity | Bond | Omni | International | Capital Appreciation | ||||||||||||||||
Purchases | $ | 40,539,257 | $ | 14,486,803 | $ | 32,629,661 | $ | 59,020,831 | $ | 45,739,333 | ||||||||||
Sales | $ | 48,111,842 | $ | 3,177,534 | $ | 34,040,652 | $ | 63,758,200 | $ | 52,140,344 | ||||||||||
�� | ||||||||||||||||||||
International | ||||||||||||||||||||
Millennium | Small-Mid Company | Aggressive Growth | Small Cap Growth | Mid Cap Opportunity | ||||||||||||||||
Purchases | $ | 141,114,565 | $ | 25,259,032 | $ | 4,946,335 | $ | 5,448,473 | $ | 17,092,993 | ||||||||||
Sales | $ | 213,003,746 | $ | 28,233,517 | $ | 4,690,012 | $ | 5,570,639 | $ | 19,976,729 | ||||||||||
S&P 500® Index | Strategic Value | High Income Bond | Capital Growth | Nasdaq-100® Index | ||||||||||||||||
Purchases | $ | 6,332,466 | $ | 4,848,569 | $ | 63,257,986 | $ | 9,168,571 | $ | 1,633,109 | ||||||||||
Sales | $ | 10,035,225 | $ | 2,857,228 | $ | 29,444,637 | $ | 10,100,051 | $ | 8,473,185 | ||||||||||
Bristol | Bryton Growth | U.S. Equity | Balanced | Income Opportunity | ||||||||||||||||
Purchases | $ | 177,264,217 | $ | 68,424,271 | $ | 8,128,138 | $ | 4,740,419 | $ | 5,511,885 | ||||||||||
Sales | $ | 169,347,367 | $ | 68,940,306 | $ | 9,290,981 | $ | 4,538,847 | $ | 4,276,101 | ||||||||||
Target VIP | Target Equity/Income | Bristol Growth | ||||||||||||||||||
Purchases | $ | 17,396,465 | $ | 19,922,717 | $ | 11,939,521 | ||||||||||||||
Sales | $ | 18,805,882 | $ | 20,640,539 | $ | 11,895,653 |
Purchases and sales of government securities for the six-month period ended June 30, 2010 were as follows:
Bond | ||||
Purchases | $ | 7,019,500 | ||
Sales | $ | — |
(6) | Financial Instruments |
The Fund’s Portfolios may trade in financial instruments with off-balance sheet risk for hedging purposes or, otherwise, in accordance with stated investing objectives. These financial instruments may include options, futures, and foreign currency contracts that may involve, to a varying degree, elements of risk in excess of the amounts recognized on financial statements.
Options
Each Portfolio, other than the Money Market Portfolio, for hedging purposes, may (a) write call options traded on a registered national securities exchange if such Portfolio owns the underlying securities subject to such options, and purchase call options for the purpose of closing out positions it has written, (b) purchase put options on securities owned, and sell such options in order to close its positions in put options, (c) purchase and sell financial futures and options thereon, and (d) purchase and sell financial index options; provided, however, that no option or futures contract shall be purchased or sold if, as a result, more than one-third of the total assets of the Portfolio would be hedged by options or futures contracts, and no more than 5% of any Portfolio’s total assets, at fair value, may be used for premiums on open options and initial margin deposits on futures contracts. The Small Cap Growth Portfolio may also participate in the above activities to protect against adverse changes in security prices or interest rates and may, for these purposes or hedging purposes, sell put options or purchase call options at any time. The S&P 500® Index and Income Opportunity Portfolios are not subject to the above limitations, as these Portfolios may engage in the purchase or selling of put or call options in accordance with those Portfolios’ stated investment objectives. The Portfolios making use of options bear the market risk of an unfavorable change in the price of securities or indices underlying the options and, for purchase options, are subject to the risk that the options will expire before being exercised. A further risk associated with investing in options is that
(continued)
142
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2010 (Unaudited) |
there may not be enough buyers and sellers in the market to permit a Portfolio to close a position. To limit the risk, a Portfolio will invest only where there is an established market.
When a Portfolio writes a put or call option, an amount equal to the premium received is included on the Statement of Assets and Liabilities as a liability. The amount of the liability is subsequently marked-to-market to reflect the current market value of the option. Such liability is subject to off balance sheet risks to the extent of any future increases in market value of the written options. If an option expires on its stipulated expiration date or if the Portfolio enters into a closing purchase transaction, a gain or loss is realized. If a written call option on an individual security is exercised, a gain or loss is realized for the sale of the underlying security, and the proceeds from the sale are increased by the premium originally received. If a written call option on a securities index is exercised, a gain or loss is realized as determined by the premium originally received, the exercise price and the market value of the index. If a written put option on an individual security is exercised, the cost of the security acquired is decreased by the premium originally received. When a Portfolio purchases a put or call option, an amount equal to the premium paid is included on the Portfolio’s Statement of Assets and Liabilities as an investment, and is subsequently marked-to-market to reflect the current market value of the option. If an option expires on the stipulated expiration date or if the Portfolio enters into a closing sale transaction, a gain or loss is realized. If a Portfolio exercises a call option on an individual security, the cost of the security acquired is increased by the premium paid for the call. If the Portfolio exercises a put option on an individual security, a gain or loss is realized from the sale of the underlying security, and the proceeds from such a sale are decreased by the premium originally paid. If the Portfolio exercises a put option on a security index, a gain or loss is realized as determined by the premium originally paid, the exercise price and the market value of the index.
The Income Opportunity Portfolio’s written options are collateralized by cash and/or securities held with the Portfolio’s prime broker and in a segregated account at the Portfolio’s custodian. Such collateral for the Portfolio is restricted from use. The cash collateral or borrowings from the prime broker, if necessary, are included on the Statement of Assets and Liabilities. The securities pledged as collateral are noted as such on the Portfolio’s Schedule of Investments. Written and purchased options are non-income producing securities.
The activity in the number of option contracts written and the premiums received by the Income Opportunity Portfolio for the six-month period ended June 30, 2010 were as follows:
Number of | Premiums | |||||||
Contracts | Received | |||||||
Options outstanding, beginning of period | 62 | $ | 120,692 | |||||
Options written | 1,986 | 3,170,494 | ||||||
Options exercised | — | — | ||||||
Options expired | (8 | ) | (2,366 | ) | ||||
Options closed | (1,955 | ) | (3,173,616 | ) | ||||
Options outstanding, end of period | 85 | $ | 115,204 | |||||
Transactions involving purchased options by the Income Opportunity Portfolio for the six-month period ended June 30, 2010 were: Purchases: $225,848, Sales: $198,047, Expirations: $1,758.
Futures Contracts
Each Portfolio, other than the Money Market Portfolio may, primarily for hedging purposes, purchase and sell futures contracts. Futures contracts are used for the purpose of hedging existing Portfolio securities, or securities that the Portfolio intends to purchase, against fluctuations in value caused by variations in market rates. Upon entering into a futures contract, a Portfolio is required to pledge to the broker an amount of cash or securities equal to a percentage of the contract amount, known as the initial margin deposit. Subsequent payments, known as “variation margin”, are made or received by the Portfolios each day, depending on the daily fluctuations in the value of the underlying contacts. The Portfolios recognize unrealized appreciation (depreciation) equal to the daily variation margin. When the contracts are closed, a Portfolio records a realized gain or loss equal to the difference between the value of the contracts at the time they were opened and the value at the time they were closed.
Should market conditions move unexpectedly, the Portfolios may not achieve the anticipated benefits of the futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts interest rates, and the underlying hedged assets. A further risk associated with investing in futures contracts is that
(continued)
143
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2010 (Unaudited) |
there may not be enough buyers and sellers in the market to permit a Portfolio to close a position when it wants to do so. To limit the risk, a Portfolio will invest only where there is an established market. The S&P 500® Index Portfolio may purchase or sell stock index futures contracts and the Nasdaq-100® Index Portfolio may purchase or sell derivative securities designed to replicate the Nasdaq-100® Index in accordance with their stated investment objectives.
At June 30, 2010, there was one outstanding futures contract in the International Portfolio. Details of the contract were as follows:
Unrealized | ||||||||||||||||||||
Number of | Contract at | Initial Contract | Appreciation | |||||||||||||||||
Type | Description | Expiration | Contracts | Counterparty | Value | Amount | (Depreciation) | |||||||||||||
Long | DAX Index Futures | September 2010 | 10 | JP Morgan | $ | 1,822,505 | $ | 1,921,240 | $ | (98,735 | ) |
The International Portfolio’s holding of U.S. Treasury Bill #912795V57 0.000% 8/12/2010 was pledged at June 30, 2010 as collateral for this contract. The principal cost and value of this instrument at June 30, 2010 were $150,000 and $149,983, respectively. This was the only futures contract executed in the Fund for the six-month period ended June 30, 2010, and was executed for the sole purpose of gaining increased exposure to German equities while allowing the Portfolio to have a desired level of liquidity until such time as an increased level of cash investment could be made.
Foreign Currency Contracts
In order to hedge against changes in the exchange rates of foreign currencies in relation to the U.S. dollar, each Portfolio, other than the Money Market Portfolio, may engage in forward foreign currency contracts. A forward foreign currency contract involves an obligation to purchase or sell a foreign currency at a future date, at a negotiated rate. The value of a foreign currency contract will typically fluctuate with changes in forward currency exchange rates. All commitments are marked to market daily at the applicable exchange rates and any resulting unrealized appreciation or depreciation is recorded. With respect to sales of currency exchange contracts, a Portfolio would incur a realized loss if the value of the contract increases between the date the forward contract is opened and the date the forward contract is closed. A Portfolio incurs a realized gain if the value of the contract decreases between those dates. With respect to purchases of currency exchange contracts, a Portfolio would incur a realized loss if the value of the contract decreases between the date the forward contract is opened and the date the forward contract is closed.
The use of foreign currency contracts might not successfully protect a Portfolio against a loss resulting from the movements of foreign currency in relation to the U.S. dollar and does not eliminate fluctuations in the prices of other currencies or securities. A Portfolio is also exposed to credit risk associated with counterparty nonperformance on these currency exchange contracts, which is typically limited to the unrealized gain on each open contract.
Details of the contracts outstanding at June 30, 2010 are as follows:
Contracts to buy foreign currency:
International | ||||||||||||||||||||||||
Unrealized | ||||||||||||||||||||||||
Currency | Currency to | Contract at | appreciation | |||||||||||||||||||||
Date of contract | Exchange date | Counterparty | to receive | deliver | value | (depreciation) | ||||||||||||||||||
June 3, 2010 | August 31, 2010 | SCB | 5,299,671 | EUR | $ | 6,455,954 | $ | 6,482,521 | $ | 26,567 | ||||||||||||||
June 8, 2010 | July 7, 2010 | BONY | 2,491,470 | GBP | 3,000,000 | EUR | $ | 3,723,467 | $ | 54,998 | ||||||||||||||
June 11, 2010 | July 7, 2010 | BONY | 2,617,051 | GBP | 3,150,000 | EUR | $ | 3,911,147 | $ | 59,255 | ||||||||||||||
June 17, 2010 | July 7, 2010 | BONY | 2,675,488 | GBP | 3,200,000 | EUR | $ | 3,998,479 | $ | 85,446 | ||||||||||||||
April 7, 2010 | August 31, 2010 | SSB | 31,191,810 | SEK | $ | 4,300,735 | $ | 4,000,511 | $ | (300,224 | ) | |||||||||||||
$ | 22,116,125 | $ | (73,958 | ) | ||||||||||||||||||||
(continued)
144
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2010 (Unaudited) |
Contracts to sell foreign currency:
International | ||||||||||||||||||||||
Unrealized | ||||||||||||||||||||||
Currency to | Currency | Contract at | appreciation | |||||||||||||||||||
Date of contract | Exchange date | Counterparty | receive | to deliver | value | (depreciation) | ||||||||||||||||
April 7, 2010 | August 31, 2010 | BONY | $ | 13,003,689 | 9,722,995 EUR | $ | 11,893,100 | $ | 1,110,589 | |||||||||||||
April 13, 2010 | August 31, 2010 | BONY | $ | 6,485,721 | 4,773,300 EUR | $ | 5,838,667 | $ | 647,054 | |||||||||||||
April 21, 2010 | August 31, 2010 | SCB | $ | 7,094,457 | 5,299,671 EUR | $ | 6,482,520 | $ | 611,937 | |||||||||||||
$ | 26,583,867 | $ | 24,214,287 | $ | 2,369,580 | |||||||||||||||||
Strategic Value | ||||||||||||||||||||||
May 26, 2010 | August 19, 2010 | BONY | $ | 610,799 | 650,000 CAD | $ | 610,397 | $ | 402 | |||||||||||||
May 26, 2010 | August 19, 2010 | BONY | $ | 752,760 | 615,000 EUR | $ | 752,249 | $ | 511 | |||||||||||||
May 26, 2010 | August 19, 2010 | BONY | $ | 1,772,737 | 1,230,000 GBP | $ | 1,837,690 | $ | (64,953 | ) | ||||||||||||
$ | 3,136,296 | $ | 3,200,336 | $ | (64,040 | ) | ||||||||||||||||
Counterparties | Currencies | |
BONY – Bank of New York | EUR – Euro | |
SCB – Standard Chartered Bank | GBP – British Pound | |
SSB – State Street Bank | SEK – Swedish Krona | |
CAD – Canadian Dollar |
For six-month period ended June 30, 2010, the notional value of other foreign currency contracts opened and closed by the International Portfolio was approximately $26.8 million for currencies bought and approximately $21.7 million for currencies sold. Foreign currency contracts were executed in order to mitigate the effect that exchange rate volatility had on the valuation of the Portfolio’s investments that were either under-weighted or over-weighted in relation to the Portfolio’s benchmark index. The Portfolio was under-weighted in equity investments within Sweden and Great Britain. The Portfolio executed contracts to buy those countries’ currencies to mitigate the effects that those currencies’ exchange rates would have on the Portfolio’s performance relative to the benchmark. The Portfolio was over-weighted in investments denominated in Euros and, likewise, executed contracts to sell that currency in order to mitigate its effect on relative performance. The Portfolio further entered into contracts that were the inverse of previously executed contracts to effectively exit prior contracts earlier than stated settlement dates, as over-weights or under-weights were reduced, or as previously executed contracts resulted in an attractive return to the Portfolio.
For the Strategic Value Portfolio, the foreign currency contracts outstanding at June 30, 2010 were the only contracts executed during the six-month period ended June 30, 2010. The contracts to sell various currencies were used as a hedge against the exchange rate movements of those currencies in relation to the U.S. dollar. Contracts were executed only in foreign currencies in which a portion of the Portfolio’s equity investments were denominated and in amounts relative to the value of those equity investments.
(continued)
145
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2010 (Unaudited) |
The values and financial statement effects of derivative instruments that were not accounted for as hedging instruments as of, and for the six-month period ended June 30, 2010, were as follows:
Location on | ||||||||||||||||
Value- | Value- | Statements of | ||||||||||||||
Asset | Liability | Assets and | ||||||||||||||
Portfolio | Instrument | Primary Risk Type | Derivatives | Derivatives | Liabilities | |||||||||||
International | Contracts to buy foreign currencies | Currency exchange rate | $ | 22,116,125 | $ | (22,190,083 | ) | (1 | ) | |||||||
Contracts to sell foreign currencies | Currency exchange rate | $ | 26,583,867 | $ | (24,214,287 | ) | (1 | ) | ||||||||
Futures contracts | Equity price | $ | 1,822,505 | $ | (1,921,240 | ) | (2 | ) | ||||||||
Strategic Value | Contracts to sell foreign currencies | Currency exchange rate | $ | 3,136,296 | $ | (3,200,336 | ) | (1 | ) | |||||||
Income Opportunity | Purchased options | Equity price | $ | 44,100 | $ | — | (3 | ) | ||||||||
Written options | Equity price | $ | — | $ | (79,605 | ) | (4 | ) | ||||||||
(1) Net unrealized appreciation on foreign currency contacts
(2) Net unrealized depreciation on futures contracts
(3) Investments in securities, at value
(4) Options written, at value
Change in Unrealized | ||||||||||||||||
Realized Gain | Appreciation | |||||||||||||||
(Loss) on | (Depreciation) on | |||||||||||||||
Derivatives | Derivatives | Location on | ||||||||||||||
Recognized in | Recognized in | on Statement | ||||||||||||||
Portfolio | Instrument | Risk Type | Income | Income | of Operations | |||||||||||
International | Currency contracts | Currency exchange rate | $ | 1,923,175 | $ | 1,170,371 | (1), (2) | |||||||||
Futures contracts | Equity price | $ | — | $ | (98,735 | ) | (3) | |||||||||
Strategic Value | Currency contracts | Currency exchange rate | $ | — | $ | (64,040 | ) | (1), (2) | ||||||||
Income Opportunity | Purchased options | Equity price | $ | (12,288 | ) | $ | 22,032 | (4), (5) | ||||||||
Written options | Equity price | $ | 253,468 | $ | 56,019 | (6), (7) | ||||||||||
(1) Net realized gain (loss) on foreign currency contracts
(2) Change in unrealized appreciation (depreciation) on foreign currency contracts
(3) Change in unrealized appreciation (depreciation) on futures contracts
(4) Net realized gain (loss) on investments
(5) Change in unrealized appreciation (depreciation) on investments
(6) Net realized gain (loss) on written options
(7) Change in unrealized appreciation (depreciation) on written options
(continued)
146
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2010 (Unaudited) |
(7) | Federal Income Tax Information |
At December 31, 2009, the components of accumulated earnings (deficit) on a tax basis were as follows:
Undistributed | Total | |||||||||||||||||||||||
Undistributed | Long-Term | Accumulated | Unrealized | Accumulated | ||||||||||||||||||||
Ordinary | Capital Gains | Accumulated | Capital and | Appreciation | Earnings | |||||||||||||||||||
Portfolio | Income | (Losses) | Earnings | Other Losses | (Depreciation)(1) | (Deficit) | ||||||||||||||||||
Equity | $ | 52,010 | $ | — | $ | 52,010 | $ | (116,170,176 | ) | $ | (1,728,916 | ) | $ | (117,847,082 | ) | |||||||||
Money Market | — | — | — | — | — | — | ||||||||||||||||||
Bond | 6,041,762 | — | 6,041,762 | (17,312,362 | ) | 3,827,515 | (7,443,085 | ) | ||||||||||||||||
Omni | 96,307 | — | 96,307 | (10,269,375 | ) | 2,115,978 | (8,057,090 | ) | ||||||||||||||||
International | 2,464,879 | — | 2,464,879 | (125,152,323 | ) | 43,676,346 | (79,011,098 | ) | ||||||||||||||||
Capital Appreciation | 160,402 | — | 160,402 | (41,236,635 | ) | 8,754,288 | (32,321,945 | ) | ||||||||||||||||
Millennium | — | — | — | (34,620,720 | ) | 17,150,421 | (17,470,299 | ) | ||||||||||||||||
International Small-Mid Company | 85,568 | — | 85,568 | (27,125,848 | ) | 17,941,039 | (9,099,241 | ) | ||||||||||||||||
Aggressive Growth | — | — | — | (7,356,638 | ) | 3,088,823 | (4,267,815 | ) | ||||||||||||||||
Small Cap Growth | — | — | — | (7,281,231 | ) | 1,587,752 | (5,693,479 | ) | ||||||||||||||||
Mid Cap Opportunity | — | — | — | (40,356,198 | ) | 3,407,752 | (36,948,446 | ) | ||||||||||||||||
S&P 500® Index | 286,436 | — | 286,436 | (16,601,420 | ) | 3,156,023 | (13,158,961 | ) | ||||||||||||||||
Strategic Value | 39,369 | — | 39,369 | (9,351,338 | ) | 254,881 | (9,057,088 | ) | ||||||||||||||||
High Income Bond | 10,496,614 | — | 10,496,614 | (3,330,556 | ) | 2,241,777 | 9,407,835 | |||||||||||||||||
Capital Growth | 3,532 | — | 3,532 | (14,732,557 | ) | 6,732,551 | (7,996,474 | ) | ||||||||||||||||
Nasdaq-100® Index | 67,713 | — | 67,713 | (4,780,502 | ) | 8,003,377 | 3,290,588 | |||||||||||||||||
Bristol | 107,371 | — | 107,371 | (21,958,222 | ) | 10,046,734 | (11,804,117 | ) | ||||||||||||||||
Bryton Growth | — | — | — | (13,623,623 | ) | 14,920,208 | 1,296,585 | |||||||||||||||||
U.S. Equity | 19,083 | — | 19,083 | (8,538,048 | ) | 1,853,224 | (6,665,741 | ) | ||||||||||||||||
Balanced | 46,186 | — | 46,186 | (1,720,803 | ) | 1,199,301 | (475,316 | ) | ||||||||||||||||
Income Opportunity | 20,040 | — | 20,040 | (577,479 | ) | 806,862 | 249,423 | |||||||||||||||||
Target VIP | 32,199 | — | 32,199 | (11,151,541 | ) | 1,394,652 | (9,724,690 | ) | ||||||||||||||||
Target Equity/Income | 38,355 | — | 38,355 | (18,046,200 | ) | 889,262 | (17,118,583 | ) | ||||||||||||||||
Bristol Growth | 19,274 | — | 19,274 | (1,445,176 | ) | 871,559 | (554,343 | ) | ||||||||||||||||
(1) | The differences between book-basis and tax-basis unrealized appreciation/(depreciation) are attributed primarily to tax deferral of losses on wash sales and the realization for tax purposes of unrealized gains/(losses) on certain instruments. |
Under current tax regulations, capital losses realized after October 31 of a Portfolio’s fiscal year may be deferred and treated as occurring on the first business day of the following fiscal year. The following Portfolios had deferred post-October capital losses, which will be treated as arising on the first business day of the fiscal year ending December 31, 2010:
Post-October | Post-October | |||||||
Portfolio | Losses | Currency Losses | ||||||
Capital Appreciation | $ | — | $ | 3,802 | ||||
Millennium | 855,988 | — | ||||||
International Small-Mid Company | 443,449 | 6,312 | ||||||
Aggressive Growth | 230,463 | 3 | ||||||
Small Cap Growth | 100,701 | — | ||||||
S&P 500® Index | 1,111,876 | — | ||||||
Strategic Value | 64,688 | 2,660 | ||||||
Nasdaq-100® Index | 6,090 | — | ||||||
Bryton Growth | 204,860 | — | ||||||
U.S. Equity | 49,801 | — | ||||||
Income Opportunity | 100,508 | — | ||||||
Target Equity/Income | 87,769 | — | ||||||
Bristol Growth | 16,804 | — |
(continued)
147
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2010 (Unaudited) |
For Federal income tax purposes, the following Portfolios had capital loss carry forwards as of December 31, 2009 that are available to offset future realized gains, if any:
Total Loss | Expiration Amount by Year | |||||||||||||||||||||||||||||||||||
Portfolio | Carryforward | 2010 | 2011 | 2012 | 2013 | 2014 | 2015 | 2016 | 2017 | |||||||||||||||||||||||||||
Equity | $ | 116,170,176 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 68,747,789 | $ | 47,422,387 | ||||||||||||||||||
Bond | 17,312,362 | — | 1,386,670 | — | 560,097 | 733,695 | — | 5,109,146 | 9,522,754 | |||||||||||||||||||||||||||
Omni | 10,269,375 | — | — | — | — | — | — | 4,973,650 | 5,295,725 | |||||||||||||||||||||||||||
International | 125,152,323 | — | — | — | — | — | — | 59,360,193 | 65,792,130 | |||||||||||||||||||||||||||
Capital Appreciation | 41,232,833 | — | — | — | — | — | — | 10,389,692 | 30,843,141 | |||||||||||||||||||||||||||
Millennium | 33,764,732 | 17,131,037 | 1,610,585 | — | — | — | — | 7,511,040 | 7,512,070 | |||||||||||||||||||||||||||
International Small-Mid Company | 26,676,087 | — | — | — | — | — | — | 15,783,654 | 10,892,433 | |||||||||||||||||||||||||||
Aggressive Growth | 7,126,172 | 4,415,159 | — | — | — | — | — | 694,915 | 2,016,098 | |||||||||||||||||||||||||||
Small Cap Growth | 7,180,530 | 3,671,938 | — | — | — | — | — | 785,300 | 2,723,292 | |||||||||||||||||||||||||||
Mid Cap Opportunity | 40,356,198 | — | — | — | — | — | — | 26,704,738 | 13,651,460 | |||||||||||||||||||||||||||
S&P 500® Index | 15,489,544 | 13,544,388 | — | 134,482 | — | — | — | 1,597,902 | 212,772 | |||||||||||||||||||||||||||
Strategic Value | 9,283,990 | 1,170,471 | 75,015 | — | — | — | — | 5,765,741 | 2,272,763 | |||||||||||||||||||||||||||
High Income Bond | 3,330,556 | 1,284,828 | 563,088 | 508,108 | 974,532 | |||||||||||||||||||||||||||||||
Capital Growth | 14,732,557 | 9,318,782 | — | — | — | — | — | — | 5,413,775 | |||||||||||||||||||||||||||
Nasdaq-100® Index | 4,774,412 | 915,546 | 1,110,252 | 701,524 | 531,984 | 215,042 | 30,818 | — | 1,269,246 | |||||||||||||||||||||||||||
Bristol | 21,958,222 | — | — | — | — | — | — | 11,896,631 | 10,061,591 | |||||||||||||||||||||||||||
Bryton Growth | 13,418,763 | — | — | — | — | — | — | 3,419,820 | 9,998,943 | |||||||||||||||||||||||||||
U.S. Equity | 8,488,247 | — | — | — | — | — | — | 4,481,829 | 4,006,418 | |||||||||||||||||||||||||||
Balanced | 1,720,803 | — | — | — | — | — | — | 1,179,209 | 541,594 | |||||||||||||||||||||||||||
Income Opportunity | 476,971 | — | — | — | — | — | — | — | 476,971 | |||||||||||||||||||||||||||
Target VIP | 11,151,541 | — | — | — | — | — | — | — | 11,151,541 | |||||||||||||||||||||||||||
Target Equity/Income | 17,958,431 | — | — | — | — | — | — | — | 17,958,431 | |||||||||||||||||||||||||||
Bristol Growth | 1,428,372 | — | — | — | — | — | — | 836,472 | 591,900 |
The Board does not intend to authorize a distribution of any realized gain for a Portfolio until the capital loss carry over has been offset or expires.
During the prior year, the Fund recorded reclassifications within the composition of net assets for permanent book/tax differences. These classifications were due principally to net operating losses, which for tax purposes cannot be used to offset future taxable income, and consent dividends. Consent dividends are constructive dividends in which distributions are deemed, for tax purposes, to be passed through from the Fund to shareholders upon written consent from all shareholders of the Fund. These classifications have no impact on the net asset values of the Fund and are designed to present the Fund’s accumulated net realized income and gain (loss) accounts on a tax basis.
The tax characteristics of dividends paid to shareholders for the year ended December 31, 2009, were as follows:
Net | Net | Total | ||||||||||||||
Ordinary | Short-Term | Long-Term | Distribution | |||||||||||||
Portfolio | Income | Capital Gains | Capital Gains | Paid | ||||||||||||
Equity | $ | 474,966 | $ | — | $ | — | $ | 474,966 | ||||||||
Omni | 722,837 | — | — | 722,837 | ||||||||||||
Capital Appreciation | 1,371,677 | — | — | 1,371,677 | ||||||||||||
S&P 500® Index | 2,047,655 | — | — | 2,047,655 | ||||||||||||
Strategic Value | 553,534 | — | — | 553,534 | ||||||||||||
Bristol | 753,303 | — | — | 753,303 | ||||||||||||
U.S. Equity | 97,286 | — | — | 97,286 | ||||||||||||
Balanced | 289,620 | — | — | 289,620 | ||||||||||||
Target VIP | 253,696 | — | — | 253,696 | ||||||||||||
Target Equity/Income | 416,144 | — | — | 416,144 |
(continued)
148
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | June 30, 2010 (Unaudited) |
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 securities at June 30, 2010 for Federal income tax purposes.
Capital | ||||||||||||||||||||||||
Equity | Bond | Omni | International | Appreciation | Millennium | |||||||||||||||||||
Gross unrealized: | ||||||||||||||||||||||||
Appreciation | $ | 22,881,476 | $ | 9,031,628 | $ | 1,700,016 | $ | 24,552,469 | $ | 6,469,798 | $ | 899,543 | ||||||||||||
Depreciation | (47,623,114 | ) | (647,674 | ) | (3,058,461 | ) | (16,931,109 | ) | (12,879,574 | ) | (2,145,084 | ) | ||||||||||||
Net unrealized: | ||||||||||||||||||||||||
Appreciation (Depreciation) | $ | (24,741,638 | ) | $ | 8,383,954 | $ | (1,358,445 | ) | $ | 7,621,360 | $ | (6,409,776 | ) | $ | (1,245,541 | ) | ||||||||
Aggregate cost of securities: | $ | 213,981,307 | $ | 144,321,775 | $ | 39,192,724 | $ | 168,102,328 | $ | 119,216,214 | $ | 114,158,414 | ||||||||||||
International | ||||||||||||||||||||||||
Small-Mid | Aggressive | Small Cap | Mid Cap | |||||||||||||||||||||
Company | Growth | Growth | Opportunity | S&P 500® Index | Strategic Value | |||||||||||||||||||
Gross unrealized: | ||||||||||||||||||||||||
Appreciation | $ | 10,490,273 | $ | 2,937,411 | $ | 4,373,485 | $ | 2,367,749 | $ | 24,062,111 | $ | 717,540 | ||||||||||||
Depreciation | (4,463,721 | ) | (2,753,732 | ) | (2,214,956 | ) | (4,953,256 | ) | (32,432,639 | ) | (1,611,790 | ) | ||||||||||||
Net unrealized: | ||||||||||||||||||||||||
Appreciation (Depreciation) | $ | 6,026,552 | $ | 183,679 | $ | 2,158,529 | $ | (2,585,507 | ) | $ | (8,370,528 | ) | $ | (894,250 | ) | |||||||||
Aggregate cost of securities: | $ | 53,775,256 | $ | 22,852,342 | $ | 20,190,819 | $ | 60,391,766 | $ | 153,626,723 | $ | 20,866,877 | ||||||||||||
High Income | Capital | Nasdaq-100® | ||||||||||||||||||||||
Bond | Growth | Index | Bristol | Bryton Growth | U.S. Equity | |||||||||||||||||||
Gross unrealized: | ||||||||||||||||||||||||
Appreciation | $ | 8,857,627 | $ | 7,215,507 | $ | 8,605,829 | $ | 4,197,847 | $ | 10,639,276 | $ | 548,613 | ||||||||||||
Depreciation | (5,077,359 | ) | (2,489,818 | ) | (5,278,694 | ) | (13,695,779 | ) | (10,652,387 | ) | (1,082,459 | ) | ||||||||||||
Net unrealized: | ||||||||||||||||||||||||
Appreciation (Depreciation) | $ | 3,780,268 | $ | 4,725,689 | $ | 3,327,135 | $ | (9,497,932 | ) | $ | (13,111 | ) | $ | (533,846 | ) | |||||||||
Aggregate cost of securities: | $ | 188,838,306 | $ | 31,129,204 | $ | 35,129,694 | $ | 146,960,802 | $ | 112,153,848 | $ | 12,107,823 | ||||||||||||
Income | Target | |||||||||||||||||||||||
Balanced | Opportunity | Target VIP | Equity/Income | Bristol Growth | ||||||||||||||||||||
Gross unrealized: | ||||||||||||||||||||||||
Appreciation | $ | 836,006 | $ | 478,117 | $ | 877,047 | $ | 1,005,594 | $ | 241,861 | ||||||||||||||
Depreciation | (871,399 | ) | (508,342 | ) | (2,299,482 | ) | (2,219,845 | ) | (917,605 | ) | ||||||||||||||
Net unrealized: | ||||||||||||||||||||||||
Appreciation (Depreciation) | $ | (35,393 | ) | $ | (30,225 | ) | $ | (1,422,435 | ) | $ | (1,214,251 | ) | $ | (675,744 | ) | |||||||||
Aggregate cost of securities: | $ | 12,599,728 | $ | 7,566,041 | $ | 19,063,337 | $ | 22,640,574 | $ | 10,367,574 | ||||||||||||||
149
Ohio National Fund, Inc.
Additional Information | June 30, 2010 (Unaudited) |
(1) | Review and Approval of Advisory and Sub-advisory Agreements |
There were no approvals of advisory or sub-advisory contracts during the six-month period ended June 30, 2010. The most recent comprehensive annual approval of advisory and sub-advisory contracts occurred during the August 20, 2009 and November 19, 2009 meetings of the Fund’s Board.
(2) | Expense Disclosure |
An individual may not buy or own shares of the Fund directly. An individual acquires an indirect interest in the Fund by purchasing a variable annuity contract or variable insurance policy and allocating premiums or purchase payments to Fund Portfolios available through the separate accounts of ONLIC, ONLAC, and NSLA. Separate accounts of these entities are the shareholders of the Fund.
As a shareholder of the Fund, a separate account incurs ongoing costs, including management fees and other Fund expenses. This example is intended to help a policy/contract owner understand ongoing costs (in dollars) associated with the underlying investment in the Fund’s Portfolios by the separate account shareholder and to compare these costs with the ongoing costs associated with investing in other mutual funds.
The example is based on an investment of $1,000 invested at January 1, 2010 and held through June 30, 2010.
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”.
Beginning | Ending | Expense Paid | Expense Ratio | |||||||||||||
Investment | Investment | During | During Period | |||||||||||||
Value | Value | Period* | 1/1/10 – 6/30/10 | |||||||||||||
Portfolio | 1/1/10 | 6/30/10 | 1/1/10 – 6/30/10 | (Annualized) | ||||||||||||
Equity | $ | 1,000.00 | $ | 889.13 | $ | 4.08 | 0.87% | |||||||||
Money Market | 1,000.00 | 1,000.00 | 0.74 | 0.15% | ||||||||||||
Bond | 1,000.00 | 1,054.69 | 3.41 | 0.67% | ||||||||||||
Omni | 1,000.00 | 961.17 | 3.74 | 0.77% | ||||||||||||
International | 1,000.00 | 888.04 | 4.77 | 1.02% | ||||||||||||
Capital Appreciation | 1,000.00 | 946.13 | 4.29 | 0.89% | ||||||||||||
Millennium | 1,000.00 | 974.21 | 4.41 | 0.90% | ||||||||||||
International Small-Mid Company | 1,000.00 | 892.32 | 5.91 | 1.26% | ||||||||||||
Aggressive Growth | 1,000.00 | 897.71 | 5.13 | 1.09% | ||||||||||||
Small Cap Growth | 1,000.00 | 998.99 | 5.55 | 1.12% | ||||||||||||
Mid Cap Opportunity | 1,000.00 | 948.09 | 4.69 | 0.97% | ||||||||||||
S&P 500® Index | 1,000.00 | 931.57 | 2.35 | 0.49% | ||||||||||||
Strategic Value | 1,000.00 | 940.97 | 4.62 | 0.96% | ||||||||||||
High Income Bond | 1,000.00 | 1,042.63 | 4.20 | 0.83% | ||||||||||||
Capital Growth | 1,000.00 | 1,001.97 | 5.16 | 1.04% | ||||||||||||
Nasdaq-100® Index | 1,000.00 | 937.24 | 2.59 | 0.54% | ||||||||||||
Bristol | 1,000.00 | 918.17 | 4.09 | 0.86% | ||||||||||||
Bryton Growth | 1,000.00 | 937.84 | 4.47 | 0.93% | ||||||||||||
U.S. Equity | 1,000.00 | 894.10 | 4.79 | 1.02% | ||||||||||||
Balanced | 1,000.00 | 958.11 | 4.86 | 1.00% | ||||||||||||
Income Opportunity | 1,000.00 | 966.04 | 6.73 | 1.38% | ||||||||||||
Target VIP | 1,000.00 | 927.46 | 3.97 | 0.83% | ||||||||||||
Target Equity/Income | 1,000.00 | 975.95 | 3.87 | 0.79% | ||||||||||||
Bristol Growth | 1,000.00 | 914.29 | 5.36 | 1.13% |
(continued)
150
Ohio National Fund, Inc.
Additional Information (Continued) | June 30, 2010 (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.
Beginning | Ending | Expense Paid | Expense Ratio | |||||||||||||
Investment | Investment | During | During Period | |||||||||||||
Value | Value | Period* | 1/1/10 to 6/30/10 | |||||||||||||
Portfolio | 1/1/10 | 6/30/10 | 1/1/10 to 6/30/10 | (Annualized) | ||||||||||||
Equity | $ | 1,000.00 | $ | 1,020.48 | $ | 4.36 | 0.87% | |||||||||
Money Market | 1,000.00 | 1,024.05 | 0.75 | 0.15% | ||||||||||||
Bond | 1,000.00 | 1,021.47 | 3.36 | 0.67% | ||||||||||||
Omni | 1,000.00 | 1,020.98 | 3.86 | 0.77% | ||||||||||||
International | 1,000.00 | 1,019.74 | 5.11 | 1.02% | ||||||||||||
Capital Appreciation | 1,000.00 | 1,020.38 | 4.46 | 0.89% | ||||||||||||
Millennium | 1,000.00 | 1,020.33 | 4.51 | 0.90% | ||||||||||||
International Small-Mid Company | 1,000.00 | 1,018.55 | 6.31 | 1.26% | ||||||||||||
Aggressive Growth | 1,000.00 | 1,019.39 | 5.46 | 1.09% | ||||||||||||
Small Cap Growth | 1,000.00 | 1,019.24 | 5.61 | 1.12% | ||||||||||||
Mid Cap Opportunity | 1,000.00 | 1,019.98 | 4.86 | 0.97% | ||||||||||||
S&P 500® Index | 1,000.00 | 1,022.36 | 2.46 | 0.49% | ||||||||||||
Strategic Value | 1,000.00 | 1,020.03 | 4.81 | 0.96% | ||||||||||||
High Income Bond | 1,000.00 | 1,020.68 | 4.16 | 0.83% | ||||||||||||
Capital Growth | 1,000.00 | 1,019.64 | 5.21 | 1.04% | ||||||||||||
Nasdaq-100® Index | 1,000.00 | 1,022.12 | 2.71 | 0.54% | ||||||||||||
Bristol | 1,000.00 | 1,020.53 | 4.31 | 0.86% | ||||||||||||
Bryton Growth | 1,000.00 | 1,020.18 | 4.66 | 0.93% | ||||||||||||
U.S. Equity | 1,000.00 | 1,019.74 | 5.11 | 1.02% | ||||||||||||
Balanced | 1,000.00 | 1,019.84 | 5.01 | 1.00% | ||||||||||||
Income Opportunity | 1,000.00 | 1,017.95 | 6.90 | 1.38% | ||||||||||||
Target VIP | 1,000.00 | 1,020.68 | 4.16 | 0.83% | ||||||||||||
Target Equity/Income | 1,000.00 | 1,020.88 | 3.96 | 0.79% | ||||||||||||
Bristol Growth | 1,000.00 | 1,019.19 | 5.66 | 1.13% | ||||||||||||
* | 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 divided by the number of days in the fiscal year. 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 be higher for these Portfolios as well as for a fund being compared. |
151
Ohio National Fund, Inc.
Information about Directors and Officers | June 30, 2010 (Unaudited) |
Term served | Number of | |||||||||
as Officer | Portfolios in | Principal Occupation and Other | ||||||||
Name and Address | Age | Position with the Fund | or Director | Fund Complex* | Directorships During Past Five Years | |||||
Independent Directors | ||||||||||
James E. Bushman 100 W. Rivercenter Boulevard, 2C Covington, Kentucky | 65 | Director, Chairman of Audit Committee and Member of Independent Directors Committee | Since March 2000 | 32 | Director, Chairman and CEO: Cast-Fab Technologies, Inc. (a manufacturing company); Director: The Midland Company (1998-2008), Air Transport Services Group, Inc., The Littleford Group, Inc. (1984-2010), Hilltop Basic Resources, Inc., The Elizabeth Gamble Deaconess Home Association, The Christ Hospital and The University of Cincinnati Foundation. | |||||
L. Ross Love 2121 Alpine Place Cincinnati, Ohio | 64 | Director, Member of Audit and Independent Directors Committee | Since March 1997 | 32 | Director, President and CEO: Blue Chip Enterprises LLC (a company with holdings in the communications and medical equipment industries.); Director: The VQ Company; Trustee: Syracuse University, Greater Cincinnati Chamber of Commerce. | |||||
George M. Vredeveld University of Cincinnati Economics Center for Education & Research 90 West Daniels Cincinnati, Ohio | 67 | Lead Independent Director, Member of Audit and Independent Directors Committee | Since March 1996 | 32 | Alpaugh Professor of Economics: University of Cincinnati; President: Economics Center for Education & Research. | |||||
John I. Von Lehman 10 Creek Side Drive Cincinnati, Ohio | 57 | Director, Member of Audit and Independent Directors Committee | Since August 2007 | 32 | Former Executive Vice President, CFO, Secretary, and Director: The Midland Company (1988-2007); Director, Audit Committee and Corporate Governance Committee Member: American Financial Group, Inc.; Director: Life Enriching Communities; Audit Committee Member: Red Cross Cincinnati Chapter; Investment Committee: Xavier University Foundation. | |||||
Interested Director | ||||||||||
John J. Palmer One Financial Way Cincinnati, Ohio | 70 | Chairman of the Board and Director | Since July 1997 | 32 | Director: NSLA; Director: Cincinnati Symphony Orchestra; Trustee: Cincinnati Opera. Prior to March 2010, was President of the Fund, Director and Vice Chairman: ONLIC; Director: ONI and various other Ohio National-affiliated companies; Prior to May 2010 was President and CEO: NSLA. | |||||
Officers | ||||||||||
Christopher A. Carlson One Financial Way Cincinnati, Ohio | 51 | President | Since March 2000 | 32 | Senior Vice President and Chief Investment Officer: ONLIC; President and Director: ONI; Chief Investment Officer: NSLA; Officer and Director of various other Ohio National-affiliated companies. Prior to March 2010, was Vice President of the Fund. | |||||
Thomas A. Barefield One Financial Way Cincinnati, Ohio | 57 | Vice President | Since February 1998 | 32 | Executive Vice President and Chief Marketing Officer — Institutional Sales: ONLIC; Director and Vice President — Marketing: NSLA; Director: ONI; Senior Vice President: Ohio National Equities, Inc.; Recent graduate of class XXIX of Leadership Cincinnati. | |||||
Dennis R. Taney One Financial Way Cincinnati, Ohio | 62 | Chief Compliance Officer | Since August 2004 | 32 | Second Vice President: ONLIC, Chief Compliance Officer: ONLIC, ONI, NSLA, and other Ohio National-affiliated companies. | |||||
R. Todd Brockman One Financial Way Cincinnati, Ohio | 41 | Treasurer | Since August 2004 | 32 | Second Vice President, Mutual Fund Operations: ONLIC and NSLA; Treasurer: ONI. | |||||
Kimberly A. Plante One Financial Way Cincinnati, Ohio | 36 | Secretary | Since March 2005 | 32 | Prior to August 2007 was Assistant Secretary, Associate Counsel: ONLIC; Secretary: ONI; Officer of various other Ohio National-affiliated companies. | |||||
(continued)
152
Ohio National Fund, Inc.
Information about Directors and Officers (Continued) | June 30, 2010 (Unaudited) |
Term served | Number of | |||||||||
as Officer | Portfolios in | Principal Occupation and Other | ||||||||
Name and Address | Age | Position with the Fund | or Director | Fund Complex* | Directorships During Past Five Years | |||||
Catherine E. Gehr One Financial Way Cincinnati, Ohio | 38 | Assistant Treasurer | Since March 2005 | 32 | Manager, Mutual Fund Operations: ONLIC; Assistant Treasurer: ONI. | |||||
Katherine L. Carter One Financial Way Cincinnati, Ohio | 31 | Assistant Secretary | Since August 2007 | 32 | Assistant Counsel: ONLIC; Prior to July 2007 was Compliance Officer with Fifth Third Securities, Inc. | |||||
* | The Fund Complex is defined as Ohio National Fund, Inc. and The Dow® Target Variable Fund LLC. |
153
[THIS PAGE INTENTIONALLY LEFT BLANK]
154
![(GRAPHIC)](https://capedge.com/proxy/N-CSRS/0000950123-10-083743/l40308l4030827.gif)
Ohio National Fund, Inc. Post Office Box 371 Cincinnati, Ohio 45201 Form 1325 Rev. 8-10 |
Item 2. | Code Of Ethics. | |
As of the end of the period covered by this report, Ohio National Fund, Inc. (the “Fund”) has adopted a code of ethics that applies to the Fund’s principal executive officer and principal financial officer. There were no substantive amendments or waivers to the Code of Ethics during the period covered by this report. | ||
A copy of this Code of Ethics is filed as Exhibit EX-99.CODE to this Form N-CSR and is also available, without charge, upon request, by calling 877-781-6392 toll free. | ||
Item 3. | Audit Committee Financial Expert. | |
The Fund’s Board of Directors has determined that the Fund has an audit committee financial expert serving on its Audit Committee. The Audit Committee financial expert is Mr. James E. Bushman. Mr. Bushman is independent for purposes of Item 3 of Form N-CSR. | ||
Item 4. | Principal Accountant Fees And Services. | |
The aggregate fees for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the Fund’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years are listed below. |
(a) | Audit Fees. | ||
Fiscal year ended December 31, 2009: $276,000 Fiscal year ended December 31, 2008: $275,800 | |||
(b) | Audit-Related Fees. | ||
Professional services rendered in connection with the consent on the Fund’s N1A filing. Fiscal year ended December 31, 2009: $4,600 Fiscal year ended December 31, 2008: $4,600 | |||
(c) | Tax Fees. None. | ||
(d) | All Other Fees. None. | ||
(e)(1) | Audit Committee Pre-Approval Policies and Procedures: | ||
The Fund’s Audit Committee has adopted an Audit Committee Charter that requires that the Audit Committee oversee the quality and appropriateness of the accounting methods used in the preparation of the Fund’s financial statements, and the independent audit thereof; approve the selection and compensation of the independent auditors; and pre-approve the performance, by the independent auditors, of non-audit services for the Fund, its investment adviser, or any affiliated entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Fund. | |||
(e)(2) | Services Approved Pursuant to Paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X: | ||
During the fiscal years ended December 31, 2009 and 2008, there were no non-audit services provided by the Fund’s principal accountant that would have required pre-approval by the Fund’s Audit Committee. The audit related fees aforementioned were pre-approved by the Fund’s Audit Committee, although not required by paragraph (c) (7) (ii) of Regulation S-X as the audit-related fees were less than five percent of the total amount of revenues paid to the Fund’s principal accountant. | |||
(f) | Not applicable. | ||
(g) | There were no non-audit services provided by the Fund’s principal accountant, other than items disclosed in item (b) above, in which a fee was billed to the Fund, the Fund’s adviser, and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for the last two fiscal years. | ||
(h) | Not applicable, as there were no non-audit services performed by the Fund’s principal accountant that were rendered to the Fund, the Fund’s adviser, or any entity controlling, controlled by, or under common control with the adviser that provided ongoing services to the registrant that were not pre-approved for the last two fiscal years. |
Item 5. | Audit Committee Of Listed Registrants. | |
Not applicable. | ||
Item 6. | Schedule of Investments. | |
Not applicable. | ||
Item 7. | Disclosure Of Proxy Voting Policies And Procedures For Closed-End Management Investment Companies. | |
Not Applicable. | ||
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. | |
Not Applicable. | ||
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. | |
Not Applicable. | ||
Item 10. | Submission of Matters to a Vote of Security Holders. | |
There were no material changes to the procedures by which shareholders may recommend nominees to the Fund’s Board of Directors. | ||
Item 11. | Controls and Procedures. |
(a) | The Fund’s principal executive officer and principal financial officer have concluded, based on their evaluation conducted as of a date within 90 days of the filing of this report, that the Fund’s disclosure controls and procedures are adequately designed and are operating effectively to ensure (i) that material information relating to the Fund, including its consolidated subsidiaries, is made known to them by others within those entities, particularly during the period in which this report is being prepared; and (ii) that information required to be disclosed by the Fund on Form N-CSR is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. | ||
(b) | There were no changes in the Fund’s internal control over financial reporting that occurred during the second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Fund’s internal control over financial reporting. |
Item 12. | Exhibits. |
(a)(1) | The Fund’s Code of Ethics pursuant to Item 2 of Form N-CSR is filed and attached hereto as EX-99.CODE. | ||
(a)(2) | A separate certification for each principal executive officer and principal financial officer of the Fund as required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) is attached hereto as EX-99.CERT. | ||
The certifications required by Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto as EX-99.906CERT. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Ohio National Fund, Inc. | ||||
By: | /s/ Christopher A. Carlson | |||
Christopher A. Carlson | ||||
President | ||||
September 3, 2010 | ||||
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/ Christopher A. Carlson | |||
Christopher A. Carlson | ||||
President | ||||
September 3, 2010 | ||||
By: | /s/ R. Todd Brockman | |||
R. Todd Brockman | ||||
Treasurer | ||||
September 3, 2010 | ||||