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.
(Exact name of registrant as specified in charter)
One Financial Way, Cincinnati, Ohio | 45242 | |
(Address of principal executive offices) | (Zip code) |
CT Corporation 300 E. Lombard St. Suite 1400 Baltimore, MD 21202
(Name and address of agent for service)
Registrant’s telephone number, including area code: 513-794-6971
Date of fiscal year end: December 31
Date of reporting period: December 31, 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.
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 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 | 42 | |
Mid Cap Opportunity Portfolio | 46 | |
S&P 500® Index Portfolio | 50 | |
Strategic Value Portfolio | 57 | |
High Income Bond Portfolio | 61 | |
Capital Growth Portfolio | 70 | |
Nasdaq-100® Index Portfolio | 75 | |
Bristol Portfolio | 79 | |
Bryton Growth Portfolio | 82 | |
U.S. Equity Portfolio | 85 | |
Balanced Portfolio | 88 | |
Income Opportunity Portfolio | 93 | |
Target VIP Portfolio | 98 | |
Target Equity/Income Portfolio | 102 | |
Bristol Growth Portfolio | 105 | |
Statements of Assets and Liabilities | 108 | |
Statements of Operations | 111 | |
Statements of Changes in Net Assets | 114 | |
Financial Highlights | 120 | |
Notes to Financial Statements | 132 | |
Report of Independent Registered Public Accounting Firm | 154 | |
Additional Information (Unaudited) | 155 | |
Information About Directors and Officers (Unaudited) | 164 |
[THIS PAGE LEFT INTENTIONALLY BLANK]
President’s Message |
Dear Investor:
Looking back, 2010 appears to have been a very good year for investors. The S&P 500® Index finished the year up more than 15 percent. This was after an even better 2009, which saw the S&P 500® Index increase over 26 percent. However, even after a two-year bull market and a 45 percent increase in the S&P 500® Index, equity investors still have not completely recovered from losses sustained in 2008. The lingering aftereffects of that significant downturn, plus some of the regulations that followed, may explain why businesses now hold more cash on their balance sheets than at any other time since World War II. Perhaps that’s why many individuals elected to stay invested in fixed-income funds (where returns have been less volatile), but then missed the equity run-up of the last two years. For many, the recovery in 2010 didn’t feel permanent. However, this may portend good things for 2011.
As the memory of 2008 fades, individual investors may become more comfortable with equity risk and move away from fixed income. This will be especially true if the interest rates rise, further diminishing fixed-income returns. Also, if the business community can be assured that there will be a more stable regulatory environment going forward, they may be willing to invest larger cash balances, which would encourage job growth and further stimulate the economy. This influx of capital into the equity markets and economic expansion should continue to drive equities higher. Major potential roadblocks to this scenario are political risk (as evidenced by recent events in Egypt) and a lack of job creation. It is doubtful that equity market returns can stay above average for very long with unemployment around 10 percent. A jobless recovery simply does not have “legs.”
The Ohio National Fund
As was predicted in the previous President’s Messages, 2010 was a more difficult year to manage money than 2009. While all Portfolios posted positive returns (with the exception of the Money Market Portfolio, which had a zero return due to continued low interest rates), many struggled to outperform their respective benchmarks. During 2010, 15 of the 21 actively managed Portfolios (excluding the S&P 500® Index and Nasdaq-100® Index Portfolios, as well as the Money Market Porfolio) underperformed their respective benchmarks, compared to six Portfolios in 2009. Some Portfolios were able to perform well during the first quarter, but not as well during the second quarter. I believe this was due to the volatility of the marketplace and the lack of a clear direction. Portfolio managers may have not believed that the bull market run would continue in early 2010, and positioned their portfolios more defensively, thus missing the continued run-up. Others may have expected the bull market to continue; therefore, their portfolios underperformed during the second quarter slowdown. Several Portfolios did perform well, beating both their respective benchmarks and peer groups. These included the International Portfolio, sub-advised by Federated Investors; the Capital Appreciation Portfolio, sub-advised by Jennison; and the Capital Growth Portfolio, sub-advised by Eagle. The Capital Growth Portfolio performed particularly well, outperforming its benchmark by 733 basis points for the year and ranking in the top 5 percent of its peer group.
1
Looking Ahead
I expect that 2011 will be more about fundamental stock-picking and analysis than macro economic decisions and continued expansion. The economy is on firmer footing now than it has been in some time, although we are not completely out of the woods (and won’t be until the unemployment picture improves). However, I think that greater stability in the economy and less volatility in the equity markets will allow our portfolio managers to focus on fundamentals of their business, which is to build high-quality investment portfolios designed to outperform their benchmarks. I expect good things from our portfolio managers in 2011.
Thank you for entrusting your assets to the Ohio National Fund. We look forward to serving your investment needs.
Sincerely,
Christopher A. Carlson
President
President
Directors and Officers of Ohio National Fund, Inc.
John J. Palmer, 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 December 31, 2010
Average Annual Total Returns: | ||||
One year | 7.91% | |||
Five years | -7.40% | |||
Ten years | -1.35% |
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 year ended December 31, 2010, the Equity Portfolio returned 7.91% versus 15.06% for the current benchmark, the S&P 500 Index.
Relative Portfolio underperformance was driven by security selection decisions and the interaction of security selection and sector allocation choices, although sector allocation decisions also detracted from performance. At the sector level, the Portfolio’s relative underperformance was driven by relative overweights in the Utilities and Information Technology sectors, which underperformed the benchmark, and relative underweight positions in the Consumer Staples and Industrials sectors, which outperformed the benchmark. However, a relative underweight position in Energy was aided by positive security selection and contributed positively to the Portfolio’s performance over the year. An overweight position in Health Care, which outperformed the benchmark, contributed positively to the Portfolio’s performance. At the security level, Sears Holdings Corp., The AES Corp., and Hewlett-Packard Co. were the top three detractors from performance, while Genzyme Corp., Transocean Ltd., and Aflac, Inc. were the top contributors to performance during 2010.(1)
Stocks carried over their 2009 rally into early 2010 despite rumblings from Europe regarding sovereign debt concerns in Greece. Markets entered a correction phase in April when the European Union and International Monetary Fund announced they would collaborate to bail out Greece from its debt woes. However, investors were unconvinced that the trouble was over, and yields on other European sovereign debt including Ireland, Spain and Portugal, rose as the summer began. The U.S. economy also hit a “soft patch” of negative economic data, while China’s government took steps to slow the red-hot pace of growth in that country; neither of which helped stocks during the summer. Markets rebounded in the fall, posting two of the strongest months in recent memory in September and December. The announced plan to rescue Ireland from its debt burden, coupled with positive economic data in the U.S., helped boost equities in the final four months of the year. The S&P 500 Index ended 2010 up 15.1%, while the Dow Jones Industrial Average Index finished up 14.1%. The tech-heavy Nasdaq Composite Index climbed 18.2%. Mega caps lagged their smaller cousins, and the S&P 100 Index rose just 12.5%, compared to the S&P 400 Midcap Index’s 26.6% increase and the broader Russell 2000 Index’s 26.9% advance. Growth names outpaced their value counterparts by about 120 basis points. The Russell 1000 Growth Index climbed 16.7% compared to the Russell 1000 Value Index’s 15.5% gain in 2010.
Hewlett-Packard Co. shares were a detractor from performance over the past twelve months due mostly to investor reaction to the departure of CEO Mark Hurd in early August. The appointment of former SAP head Leo Apotheker as Hurd’s replacement in September failed to reassure investors worried about the software giant’s direction. However, we do not think the fundamental story for Hewlett-Packard Co. has changed. Margins in the services segment should continue to grow thanks to both secular and structural changes in the industry. Because Hewlett-Packard Co.’s product portfolio is fairly built out at this point, we think the company will increase its focus on returning more of its nearly $11 billion in cash to shareholders through share repurchases and dividends.(1)
The AES Corp. was a top detractor in the Portfolio as its dilutive capital infusion from the China Investment Corporation (CIC) in late 2009 continued to weigh on shares into early 2010, while investor confidence in the global economic recovery — and thus demand for power — wavered over the course of the year. By July, the tide seemed to be turning somewhat for The AES Corp., and the company announced a $500 million share repurchase authorization. After another slight dip to start the fourth quarter, December turned out to be a strong month for The AES Corp. as the company announced a joint venture in Turkey that should give it a growth platform in a country that The AES Corp. has identified as a desirable opportunity. Ultimately, we continue to believe the current stock price drastically understates the value of The AES Corp.’s existing assets, as well as projects under construction, and gives little to no credit to the company’s global growth opportunities.(1)
Sears Holdings Corp. had a tumultuous 2010 as the economic “soft patch” during the middle of the year and the end of a government program that subsidized energy-efficient appliances took their toll on the retailer. The company was slammed after both its second and third quarter earnings releases came up short of analyst expectations, even as competitors were showing improved strength. While we took heart from company chairman Eddie Lampert’s sound strategic move on Sears Canada and believed that the market was pricing in excessively thin margins in the name, we exited the position toward the end of August for the more favorable risk-reward opportunity presented by Best Buy Co., Inc.(1)
While lingering manufacturing continued to weigh on Genzyme Corp.’s shares into the summer, rumors of a potential takeout, followed by a formal buyout offer at a significant premium from Sanofi-Aventis, boosted shares in July. We still believe Genzyme Corp. represents a solid biotechnology franchise with years of profitable growth ahead of it, but we felt the Sanofi-Aventis bid reflected much of this value, leaving little upside. As a result, we have exited the position.(1)
We purchased Transocean Ltd. after April’s explosion in the Gulf of Mexico cut the stock in half on worries about the future liabilities stemming from the accident. Our analysis indicated investors were selling first and asking questions later, as the stock price was discounting what we saw as inordinately large liabilities and a sharp permanent decline in the economics of the offshore drilling market. Though we — along with everyone else in the market — were dealing with imperfect information, we thought both worries were overblown and that the odds favored an investment at those levels. The stock has bounced higher as the well was capped, as the environmental and economic damage to the Gulf started to come in short of a worst-case scenario, and as we approach resumption of
(continued)
3
Ohio National Fund, Inc. | Equity Portfolio (Continued) |
Gulf drilling, albeit at a limited scale initially. We have trimmed the position somewhat, as the expectations gap has narrowed; though we believe there are still several reasons to own the stock including the company’s new capital allocation policy, a favorable long-term view of the offshore drilling market, and the tailwind provided by macro and technical factors.(1)
Insurer Aflac, Inc. churned upward during the last year, rising from the battering it took in the depths of the European sovereign debt crisis as investors turned their attention to the firm’s stellar economic performance. Aflac, Inc. exceeded analyst expectations in three of the year’s quarters and matched them in the fourth, as expansion in the company’s Japanese division was more than enough to offset the weakness in U.S. operations. The company continued to fortify its already strong capital position, as its risk-based capital ratio steadily improved over the course of the year. While the company’s initial share repurchase authorizations have been modest, we believe there is considerable upside to the company’s share repurchase outlook given its powerful business performance and stores of excess capital. With one of the lowest exposures in the industry to a prolonged period of low interest rates, the capacity to generate returns on equity at nearly three times the level of peers, and a modest forward valuation premium, we believe Aflac, Inc. still has plenty of potential.(1)
With the economy showing clear signs that the recovery is gaining traction, corporate earnings continuing to surprise on the upside, and equity valuation levels quite attractive, we think the burden of proof is now on the bears as to why 2011 should not be a good year for U.S. stocks. That doesn’t mean that investors still don’t have plenty of things about which to worry; they clearly do. We believe the good will far outweigh the bad in 2011 and stocks will, in our judgment, make solid upward progress. As to what could potentially impede or derail our bullish outlook for 2011, in addition to the risks posed by rising interest rates, oil prices over $100 per barrel, a possible economic slowdown in China, or a re-escalation of the sovereign debt crisis in Europe, we would offer two candidates: (1) turmoil in the municipal bond market arising from the gaping budget deficits in a number of prominent states and municipalities, and (2) failure by Congress to address the long-term structural imbalance in the Federal budget.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2010. |
Change in Value of $10,000 Investment
S&P 500 | ||||||||
Equity Portfolio | Index | |||||||
12/31/2000 | 10000 | 10000 | ||||||
06/30/2001 | 10439 | 9330 | ||||||
12/31/2001 | 9156 | 8811 | ||||||
06/30/2002 | 7632 | 7652 | ||||||
12/31/2002 | 7440 | 6864 | ||||||
06/30/2003 | 9079 | 7671 | ||||||
12/31/2003 | 10738 | 8833 | ||||||
06/30/2004 | 11107 | 9137 | ||||||
12/31/2004 | 12074 | 9794 | ||||||
06/30/2005 | 11800 | 9715 | ||||||
12/31/2005 | 12811 | 10275 | ||||||
06/30/2006 | 12191 | 10553 | ||||||
12/31/2006 | 13665 | 11898 | ||||||
06/30/2007 | 14345 | 12726 | ||||||
12/31/2007 | 12860 | 12552 | ||||||
06/30/2008 | 9325 | 11056 | ||||||
12/31/2008 | 5811 | 7908 | ||||||
06/30/2009 | 6542 | 8158 | ||||||
12/31/2009 | 8083 | 10001 | ||||||
06/30/2010 | 7187 | 9335 | ||||||
12/31/2010 | 8723 | 11507 |
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 December 31, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 97.5 | ||
Repurchase Agreements and Other Net Assets | 2.5 | ||
100.0 | |||
Top 10 Portfolio Holdings as of December 31, 2010 (1) (2)
% of Net Assets | |||||||
1. | AES Corp. / The | 6.8 | |||||
2. | International Business Machines Corp. | 3.0 | |||||
3. | Citigroup, Inc. | 3.0 | |||||
4. | General Electric Co. | 3.0 | |||||
5. | Texas Instruments, Inc. | 2.9 | |||||
6. | Wells Fargo & Co. | 2.9 | |||||
7. | JPMorgan Chase & Co. | 2.8 | |||||
8. | Aflac, Inc. | 2.7 | |||||
9. | NYSE Euronext | 2.7 | |||||
10. | Time Warner, Inc. | 2.7 |
(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 | 27.0 | ||
Information Technology | 25.0 | ||
Consumer Discretionary | 13.3 | ||
Health Care | 11.3 | ||
Utilities | 6.8 | ||
Energy | 6.6 | ||
Industrials | 4.7 | ||
Consumer Staples | 2.8 | ||
97.5 | |||
5
Ohio National Fund, Inc. | Equity Portfolio |
Schedule of Investments | December 31, 2010 |
Common Stocks – 97.5% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 13.3% | ||||||||||
Ford Motor Co. (Automobiles) | (a) | 237,900 | $ | 3,994,341 | ||||||
General Motors Co. (Automobiles) | (a) | 73,600 | 2,712,896 | |||||||
Yum! Brands, Inc. (Hotels, Restaurants & Leisure) | 69,100 | 3,389,355 | ||||||||
Amazon.com, Inc. (Internet & Catalog Retail) | (a) | 27,550 | 4,959,000 | |||||||
Eastman Kodak Co. (Leisure Equip. & Products) | (a) | 829,590 | 4,446,602 | |||||||
DIRECTV Class A (Media) | (a) | 9,900 | 395,307 | |||||||
Time Warner, Inc. (Media) | 183,700 | 5,909,629 | ||||||||
Best Buy Co., Inc. (Specialty Retail) | 99,500 | 3,411,855 | ||||||||
29,218,985 | ||||||||||
CONSUMER STAPLES – 2.8% | ||||||||||
PepsiCo, Inc. (Beverages) | 52,500 | 3,429,825 | ||||||||
Wal-Mart Stores, Inc. (Food & Staples Retailing) | 49,800 | 2,685,714 | ||||||||
6,115,539 | ||||||||||
ENERGY – 6.6% | ||||||||||
Transocean Ltd. (Energy Equip. & Svs.) | (a) | 49,800 | 3,461,598 | |||||||
BP PLC — ADR (Oil, Gas & Consumable Fuels) | 121,400 | 5,362,238 | ||||||||
ConocoPhillips (Oil, Gas & Consumable Fuels) | 82,700 | 5,631,870 | ||||||||
14,455,706 | ||||||||||
FINANCIALS – 27.0% | ||||||||||
BlackRock, Inc. (Capital Markets) | 8,850 | 1,686,633 | ||||||||
Goldman Sachs Group, Inc. / The (Capital Markets) | 32,200 | 5,414,752 | ||||||||
Morgan Stanley (Capital Markets) | 99,300 | 2,701,953 | ||||||||
Wells Fargo & Co. (Commercial Banks) | 204,700 | 6,343,653 | ||||||||
American Express Co. (Consumer Finance) | 99,800 | 4,283,416 | ||||||||
Capital One Financial Corp. (Consumer Finance) | 119,100 | 5,068,896 | ||||||||
Bank of America Corp. (Diversified Financial Svs.) | 403,800 | 5,386,692 | ||||||||
Citigroup, Inc. (Diversified Financial Svs.) | (a) | 1,370,800 | 6,483,884 | |||||||
JPMorgan Chase & Co. (Diversified Financial Svs.) | 143,200 | 6,074,544 | ||||||||
NYSE Euronext (Diversified Financial Svs.) | 199,200 | 5,972,016 | ||||||||
Aflac, Inc. (Insurance) | 106,705 | 6,021,363 | ||||||||
MetLife, Inc. (Insurance) | 83,000 | 3,688,520 | ||||||||
59,126,322 | ||||||||||
HEALTH CARE – 11.3% | ||||||||||
Amgen, Inc. (Biotechnology) | (a) | 14,400 | 790,560 | |||||||
Gilead Sciences, Inc. (Biotechnology) | (a) | 132,700 | 4,809,048 | |||||||
Medtronic, Inc. (Health Care Equip. & Supplies) | 60,900 | 2,258,781 | ||||||||
Aetna, Inc. (Health Care Providers & Svs.) | 147,709 | 4,506,602 | ||||||||
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 105,800 | 3,820,438 | ||||||||
Johnson & Johnson (Pharmaceuticals) | 41,500 | 2,566,775 | ||||||||
Merck & Co., Inc. (Pharmaceuticals) | 110,700 | 3,989,628 | ||||||||
Pfizer, Inc. (Pharmaceuticals) | 118,400 | 2,073,184 | ||||||||
24,815,016 | ||||||||||
INDUSTRIALS – 4.7% | ||||||||||
United Continental Holdings, Inc. (Airlines) | (a) | 164,400 | 3,916,008 | |||||||
General Electric Co. (Industrial Conglomerates) | 354,400 | 6,481,976 | ||||||||
10,397,984 | ||||||||||
INFORMATION TECHNOLOGY – 25.0% | ||||||||||
Cisco Systems, Inc. (Communications Equip.) | (a) | 270,700 | 5,476,261 | |||||||
QUALCOMM, Inc. (Communications Equip.) | 110,600 | 5,473,594 | ||||||||
Research In Motion Ltd. (Communications Equip.) | (a) | 77,400 | 4,499,262 | |||||||
EMC Corp. (Computers & Peripherals) | (a) | 173,600 | 3,975,440 | |||||||
Hewlett-Packard Co. (Computers & Peripherals) | 133,900 | 5,637,190 | ||||||||
eBay, Inc. (Internet Software & Svs.) | (a) | 199,600 | 5,554,868 | |||||||
International Business Machines Corp. (IT Svs.) | 44,300 | 6,501,468 | ||||||||
Mastercard, Inc. Class A (IT Svs.) | 10,450 | 2,341,949 | ||||||||
Intel Corp. (Semiconductors & Equip.) | 201,750 | 4,242,803 | ||||||||
Texas Instruments, Inc. (Semiconductors & Equip.) | 198,300 | 6,444,750 | ||||||||
Microsoft Corp. (Software) | 168,400 | 4,701,728 | ||||||||
54,849,313 | ||||||||||
UTILITIES – 6.8% | ||||||||||
AES Corp. / The (Ind. Power Prod. & Energy Traders) | (a) | 1,227,200 | 14,947,296 | |||||||
Total Common Stocks (Cost $191,744,979) | $ | 213,926,161 | ||||||||
Face | Amortized | |||||||||
Repurchase Agreements – 1.9% | Amount | Cost | ||||||||
Goldman Sachs 0.130% 01/03/2011, | ||||||||||
Agreement date: 12/31/2010, Repurchase price $4,165,525 Collateralized by: FHLMC Global MTN 0.180%, Due 11/9/2011 with value of $4,258,033 | $ | 4,165,480 | $ | 4,165,480 | ||||||
Total Repurchase Agreements (Cost $4,165,480) | $ | 4,165,480 | ||||||||
Total Investments – 99.4% (Cost $195,910,459) | (b) | $ | 218,091,641 | |||||||
Other Assets in Excess of Liabilities – 0.6% | 1,339,841 | |||||||||
Net Assets – 100.0% | $ | 219,431,482 | ||||||||
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 December 31, 2010 (1)
% of Net Assets | |||
Commercial Paper (2) | 75.7 | ||
Asset-Backed Securities (2) | 1.4 | ||
Money Market Funds | 13.4 | ||
U.S. Treasury Obligations | 3.4 | ||
Repurchase Agreements and Other Net Assets | 6.1 | ||
100.0 | |||
Top 10 Portfolio Holdings as of December 31, 2010 (1)
% of Net Assets | |||||||
1. | Wells Fargo & Co. 0.040%, 01/03/2011 | 4.8 | |||||
2. | Nestle Capital Corp. 0.050%, 01/03/2011 | 4.8 | |||||
3. | Societe Generale North America 0.100%, 01/03/2011 | 4.8 | |||||
4. | Prudential Funding LLC 0.120%, 01/03/2011 | 4.8 | |||||
5. | International Business Machines Corp. 0.140%, 01/07/2011 | 4.8 | |||||
6. | Federated Prime Cash Obligations Fund – Institutional Class | 4.6 | |||||
7. | Fidelity Institutional Money Market Funds Money Market Portfolio – Class I | 4.6 | |||||
8. | HSBC Finance Corp. 0.180%, 01/14/2011 | 4.4 | |||||
9. | U.S. Bank Repurchase Agreement 0.010%, 01/03/2011 | 4.4 | |||||
10. | Fidelity Institutional Money Market Funds Prime Money Market Portfolio – Class I | 4.2 |
(1) | Composition of Portfolio subject to change. | |
(2) | Sectors (combined): |
% of Net Assets | |||
Financials | 43.4 | ||
Consumer Staples | 13.6 | ||
Health Care | 7.8 | ||
Information Technology | 4.8 | ||
Energy | 4.1 | ||
Consumer Discretionary | 3.4 | ||
77.1 | |||
7
Ohio National Fund, Inc. | Money Market Portfolio |
Schedule of Investments | December 31, 2010 |
Commercial Paper – 75.7% | Rate | Maturity | Face Amount | Amortized Cost | ||||||||||||||
CONSUMER DISCRETIONARY – 3.4% | ||||||||||||||||||
Walt Disney Co. / The (Media) | (a) | 0.180% | 01/07/2011 | $ | 10,000,000 | $ | 9,999,700 | |||||||||||
CONSUMER STAPLES – 13.6% | ||||||||||||||||||
Coca-Cola Co. / The (Beverages) | (a) | 0.200% | 01/10/2011 | 5,000,000 | 4,999,750 | |||||||||||||
Coca-Cola Co. / The (Beverages) | (a) | 0.190% | 01/14/2011 | 3,000,000 | 2,999,794 | |||||||||||||
Coca-Cola Co. / The (Beverages) | (a) | 0.210% | 03/07/2011 | 3,000,000 | 2,998,863 | |||||||||||||
Coca-Cola Co. / The (Beverages) | (a) | 0.180% | 01/19/2011 | 2,000,000 | 1,999,820 | |||||||||||||
Nestle Capital Corp. (Food Products) | (a) | 0.050% | 01/03/2011 | 14,000,000 | 13,999,961 | |||||||||||||
Procter & Gamble Co. / The (Household Products) | (a) | 0.240% | 04/12/2011 | 3,025,000 | 3,022,963 | |||||||||||||
Procter & Gamble International Funding SCA (Household Products) | (a) | 0.160% | 01/19/2011 | 10,000,000 | 9,999,200 | |||||||||||||
40,020,351 | ||||||||||||||||||
ENERGY – 4.1% | ||||||||||||||||||
Chevron Funding Corp. (Oil, Gas & Consumable Fuels) | 0.160% | 01/12/2011 | 12,000,000 | 11,999,413 | ||||||||||||||
FINANCIALS – 42.0% | ||||||||||||||||||
Wells Fargo & Co. (Commercial Banks) | 0.040% | 01/03/2011 | 14,000,000 | 13,999,969 | ||||||||||||||
American Express Credit Corp. (Consumer Finance) | 0.200% | 01/04/2011 | 10,000,000 | 9,999,833 | ||||||||||||||
American Honda Finance Corp. (Consumer Finance) | 0.200% | 01/06/2011 | 11,000,000 | 10,999,694 | ||||||||||||||
John Deere Capital Corp. (Consumer Finance) | (a) | 0.220% | 01/21/2011 | 10,300,000 | 10,298,741 | |||||||||||||
Toyota Motor Credit Corp. (Consumer Finance) | 0.130% | 01/06/2011 | 10,000,000 | 9,999,819 | ||||||||||||||
Toyota Motor Credit Corp. (Consumer Finance) | 0.050% | 01/03/2011 | 3,000,000 | 2,999,992 | ||||||||||||||
Citigroup Funding Inc. (Diversified Financial Services) | 0.250% | 01/11/2011 | 10,000,000 | 9,999,306 | ||||||||||||||
General Electric Capital Corp. (Diversified Financial Services) | 0.150% | 01/03/2011 | 10,000,000 | 9,999,917 | ||||||||||||||
General Electric Capital Corp. (Diversified Financial Services) | 0.150% | 01/12/2011 | 4,000,000 | 3,999,817 | ||||||||||||||
HSBC Finance Corp. (Diversified Financial Services) | 0.180% | 01/14/2011 | 13,000,000 | 12,999,155 | ||||||||||||||
Societe Generale North America (Diversified Financial Services) | 0.100% | 01/03/2011 | 14,000,000 | 13,999,922 | ||||||||||||||
Prudential Funding LLC (Insurance) | 0.120% | 01/03/2011 | 14,000,000 | 13,999,907 | ||||||||||||||
123,296,072 | ||||||||||||||||||
HEALTH CARE – 7.8% | ||||||||||||||||||
Abbott Laboratories (Pharmaceuticals) | (a) | 0.160% | 01/25/2011 | 10,000,000 | 9,998,933 | |||||||||||||
Johnson & Johnson (Pharmaceuticals) | (a) | 0.150% | 01/05/2011 | 3,000,000 | 2,999,950 | |||||||||||||
Johnson & Johnson (Pharmaceuticals) | (a) | 0.160% | 01/05/2011 | 10,000,000 | 9,999,822 | |||||||||||||
22,998,705 | ||||||||||||||||||
INFORMATION TECHNOLOGY – 4.8% | ||||||||||||||||||
International Business Machines Corp. (Computers & Peripherals) | (a) | 0.140% | 01/07/2011 | 14,000,000 | 13,999,673 | |||||||||||||
Total Commercial Paper (Cost $222,313,914) | $ | 222,313,914 | ||||||||||||||||
Asset-Backed Securities – 1.4% | Rate | Maturity | Face Amount | Amortized Cost | ||||||||||||||
FINANCIALS – 1.4% | ||||||||||||||||||
Ally Auto Receivables Trust 2010-3, Class A1 (Consumer Finance) | 0.403% | 08/15/2011 | $ | 246,732 | $ | 246,732 | ||||||||||||
Bank of America Auto Trust 2010-2, Class A1 (Consumer Finance) | 0.619% | 07/15/2011 | 471,106 | 471,106 | ||||||||||||||
BMW Vehicle Lease Trust 2010-1, Class A1 (Consumer Finance) | 0.298% | 10/17/2011 | 539,229 | 539,229 | ||||||||||||||
Honda Auto Receivables Owner Trust 2010-3, Class A1 (Consumer Finance) | 0.310% | 10/21/2011 | 757,299 | 757,299 | ||||||||||||||
Hyundai Auto Receivables Trust 2010-B, Class A1 (Consumer Finance) | 0.371% | 09/15/2011 | 418,091 | 418,091 | ||||||||||||||
Nissan Auto Receivables Owners Trust 2010-A, Class A1 (Consumer Finance) | 0.356% | 10/17/2011 | 651,004 | 651,004 | ||||||||||||||
Nissan Auto Lease Trust 2010-B, Class A1 (Consumer Finance) | 0.317% | 11/15/2011 | 888,061 | 888,061 | ||||||||||||||
Total Asset-Backed Securities (Cost $3,971,522) | $ | 3,971,522 | ||||||||||||||||
Money Market Funds – 13.4% | Shares | Value | ||||||||||||||||
Federated Prime Cash Obligations Fund – Institutional Class | 13,500,000 | $ | 13,500,000 | |||||||||||||||
Fidelity Institutional Money Market Funds Money Market Portfolio – Class I | 13,500,000 | 13,500,000 | ||||||||||||||||
Fidelity Institutional Money Market Funds Prime Money Market Portfolio – Class I | 12,400,000 | 12,400,000 | ||||||||||||||||
Total Money Market Funds (Cost $39,400,000) | $ | 39,400,000 | ||||||||||||||||
U.S. Treasury Obligations – 3.4% | Rate | Maturity | Face Amount | Amortized Cost | ||||||||||||||
U.S. Treasury Bill | 0.145% | 01/27/2011 | $ | 10,000,000 | $ | 9,998,953 | ||||||||||||
Total U.S. Treasury Obligations (Cost $9,998,953) | $ | 9,998,953 | ||||||||||||||||
(continued)
8
Ohio National Fund, Inc. | Money Market Portfolio (Continued) |
Schedule of Investments | December 31, 2010 |
Repurchase Agreements – 4.4% | Rate | Maturity | Face Amount | Amortized Cost | ||||||||||||||
U.S. Bank, Agreement date: 12/31/10, Repurchase price $12,822,000, Collateralized by: FHLMC 30 yr. Gold Giant Pool #G01543 (FGLMC) 5.000%, Due 05/01/2033 with value of $13,078,771 | 0.010% | 01/03/2011 | $ | 12,822,000 | $ | 12,822,000 | ||||||||||||
Total Repurchase Agreements (Cost $12,822,000) | $ | 12,822,000 | ||||||||||||||||
Total Investments – 98.3% (Cost $288,506,389) | (b) | $ | 288,506,389 | |||||||||||||||
Other Assets in Excess of Liabilities – 1.7% | 4,940,548 | |||||||||||||||||
Net Assets – 100.0% | $ | 293,446,937 | ||||||||||||||||
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 December 31, 2010, the value of these securities totaled $97,317,170 or 33.2% 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 December 31, 2010
Average Annual Total Returns: | ||||
One year | 7.84% | |||
Five years | 4.58% | |||
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 year ended December 31, 2010, the Bond Portfolio returned 7.84% versus 9.52% 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 Bond Portfolio and the Merrill Lynch Index were the result of a decline in U.S. Treasury yields and modest tightening in credit spreads over the course of 2010. For the year, the 10-year Treasury yield declined 54 basis points and the credit spread of the Merrill Lynch Index tightened 24 basis points. Both of these factors resulted in an increase in total returns for the year. Treasury yields declined because of fears of a drop in the growth rate of the U.S. economy and due to demand for U.S. Treasury bonds as a safe haven, once international bond markets began to discount the risk of sovereign default in countries across much of Southern Europe, most notably Greece. Late in the year, credit spreads tightened on expectations for good corporate earnings and an improving outlook for the U.S. economy in 2011.
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 on expectations that Treasury yields would rise in 2010 as the U.S. economy gathered strength and due to the inflationary effect of massive U.S. federal budget deficits. Of course, as discussed in the previous paragraph, U.S. Treasury yields declined in 2010 rather than increasing as expected. The shorter Portfolio duration also muted the positive impact on the Portfolio from tightening credit spreads.
Several industry weightings relative to the benchmark impacted performance during 2010. The Portfolio benefited from its over-weighting in the insurance and brokerage sectors because these sectors outperformed. The Portfolio also benefited from its relative under-weighting in the telecommunications and industrials sectors because these sectors underperformed. The Portfolio’s under-weighting in the banking sector detracted from performance, because this sector outperformed. The Portfolio was negatively impacted by its over-weighting in electric utilities and holdings of U.S. Treasuries because these sectors underperformed.(1)
Because Treasury yields declined and credit spreads tightened in 2010, all of the bonds held in the Portfolio for the entire year had positive total returns for the year. The five bonds that had the highest total returns were Energy Future Competitive Holdings Co., Deutsche Bank Capital Funding Trust VII, Fifth Third Bancorp, Potomac Electric Power Co. and Discover Financial Services. The five poorest performing bonds were Johnson Controls, Inc., Atlantic Richfield Co., AT&T Corp., Verizon Communications, Inc. and Appalachian Power Co. All five of these bonds underperformed because of their very 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. We expect the growth rate of the U.S. economy to increase in 2011. Once the growth rate of the economy firms, we expect the Federal Reserve to begin removing its monetary stimulus. This, combined with unprecedented federal budget deficits, should result in an increase in Treasury yields. For this reason, we expect to maintain the duration of the Portfolio short of the Merrill Lynch Index, but we expect to reduce the difference in duration between the two to mitigate the risk of relative underperformance in the event that Treasury yields do not increase in 2011. Because we expect credit spreads to tighten modestly in 2011 as corporate profits rise, we expect to skew purchases for the Portfolio toward BBB-rated names, which are slightly lower in quality than the average for the Merrill Lynch Index.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2010. |
Change in Value of $10,000 Investment
Bofa Merrill | ||||||||
Lynch U.S. | ||||||||
Corporate Master | ||||||||
Bond Portfolio | Index | |||||||
12/31/2000 | 10000 | 10000 | ||||||
06/30/2001 | 10449 | 10544 | ||||||
12/31/2001 | 10842 | 11070 | ||||||
06/30/2002 | 11341 | 11290 | ||||||
12/31/2002 | 11780 | 12196 | ||||||
06/30/2003 | 12818 | 13127 | ||||||
12/31/2003 | 13013 | 13210 | ||||||
06/30/2004 | 13001 | 13192 | ||||||
12/31/2004 | 13779 | 13925 | ||||||
06/30/2005 | 13949 | 14276 | ||||||
12/31/2005 | 13836 | 14199 | ||||||
06/30/2006 | 13773 | 13990 | ||||||
12/31/2006 | 14451 | 14821 | ||||||
06/30/2007 | 14621 | 14942 | ||||||
12/31/2007 | 14988 | 15509 | ||||||
06/30/2008 | 14844 | 15383 | ||||||
12/31/2008 | 13272 | 14452 | ||||||
06/30/2009 | 14792 | 15785 | ||||||
12/31/2009 | 16049 | 17307 | ||||||
06/30/2010 | 16927 | 18362 | ||||||
12/31/2010 | 17307 | 18955 |
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 December 31, 2010 (1)
% of Net Assets | |||
Corporate Bonds (3) | 89.4 | ||
U.S. Treasury Obligations | 2.8 | ||
Commercial Paper | 3.4 | ||
Repurchase Agreements and Other Net Assets | 4.4 | ||
100.0 | |||
Top 10 Portfolio Holdings as of December 31, 2010 (1) (2)
% of Net Assets | |||||||
1. | U.S. Treasury Note 2.375%, 09/30/2014 | 1.4 | |||||
2. | U.S. Treasury Note 3.375%, 11/15/2019 | 1.4 | |||||
3. | Kroger Co. / The 6.400%, 08/15/2017 | 1.2 | |||||
4. | Kraft Foods, Inc. 6.125%, 02/01/2018 | 1.2 | |||||
5. | Commonwealth Edison Co. 5.950%, 08/15/2016 | 1.2 | |||||
6. | UnitedHealth Group, Inc. 6.000%, 02/15/2018 | 1.2 | |||||
7. | Union Electric Co. 6.400%, 06/15/2017 | 1.1 | |||||
8. | Fifth Third Bancorp 4.500%, 06/01/2018 | 1.1 | |||||
9. | Virginia Electric and Power Co. 5.400%, 01/15/2016 | 1.1 | |||||
10. | Waste Management, Inc. 6.100%, 03/15/2018 | 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 | 27.6 | ||
Utilities | 16.8 | ||
Industrials | 8.4 | ||
Consumer Staples | 7.8 | ||
Energy | 6.9 | ||
Consumer Discretionary | 6.5 | ||
Health Care | 6.4 | ||
Telecommunication Services | 3.8 | ||
Materials | 3.0 | ||
Information Technology | 2.2 | ||
89.4 | |||
11
Ohio National Fund, Inc. | Bond Portfolio |
Schedule of Investments | December 31, 2010 |
Corporate Bonds – 89.4% | Rate | Maturity | Face Amount | Value | ||||||||||||||
CONSUMER DISCRETIONARY – 6.5% | ||||||||||||||||||
Johnson Controls, Inc. (Auto Components) | 5.250% | 01/15/2011 | $ | 1,250,000 | $ | 1,251,452 | ||||||||||||
Mohawk Industries, Inc. (Household Durables) | (b) | 6.500% | 01/15/2011 | 336,000 | 336,840 | |||||||||||||
Newell Rubbermaid, Inc. (Household Durables) | 6.250% | 04/15/2018 | 500,000 | 549,814 | ||||||||||||||
Comcast Corp. (Media) | 5.875% | 02/15/2018 | 750,000 | 833,901 | ||||||||||||||
COX Communications, Inc. (Media) | 6.750% | 03/15/2011 | 1,000,000 | 1,012,079 | ||||||||||||||
Time Warner Cable, Inc. (Media) | 5.850% | 05/01/2017 | 1,000,000 | 1,117,288 | ||||||||||||||
Time Warner, Inc. (Media) | 3.150% | 07/15/2015 | 1,250,000 | 1,271,356 | ||||||||||||||
Viacom, Inc. (Media) | 4.375% | 09/15/2014 | 1,000,000 | 1,065,530 | ||||||||||||||
Macy’s Retail Holdings, Inc. (Multiline Retail) | 5.900% | 12/01/2016 | 1,000,000 | 1,072,500 | ||||||||||||||
Home Depot, Inc. (Specialty Retail) | 5.250% | 12/16/2013 | 1,000,000 | 1,098,302 | ||||||||||||||
9,609,062 | ||||||||||||||||||
CONSUMER STAPLES – 7.8% | ||||||||||||||||||
Anheuser-Busch Cos., Inc. (Beverages) | 5.500% | 01/15/2018 | 750,000 | 824,639 | ||||||||||||||
CVS Caremark Corp. (Food & Staples Retailing) | 5.750% | 06/01/2017 | 1,000,000 | 1,114,154 | ||||||||||||||
Kroger Co. / The (Food & Staples Retailing) | 6.400% | 08/15/2017 | 1,500,000 | 1,724,599 | ||||||||||||||
Wal-Mart Stores, Inc. (Food & Staples Retailing) | 1.500% | 10/25/2015 | 1,250,000 | 1,198,690 | ||||||||||||||
Bunge NA Finance LP (Food Products) | 5.900% | 04/01/2017 | 1,500,000 | 1,545,705 | ||||||||||||||
Kraft Foods, Inc. (Food Products) | 6.125% | 02/01/2018 | 1,500,000 | 1,715,940 | ||||||||||||||
Mead Johnson Nutrition Co. (Food Products) | 3.500% | 11/01/2014 | 800,000 | 828,003 | ||||||||||||||
Sara Lee Corp. (Food Products) | 2.750% | 09/15/2015 | 1,250,000 | 1,239,229 | ||||||||||||||
Tyson Foods, Inc. (Food Products) | (b) | 7.350% | 04/01/2016 | 1,000,000 | 1,101,875 | |||||||||||||
Procter & Gamble Co. / The (Household Products) | 4.700% | 02/15/2019 | 250,000 | 271,079 | ||||||||||||||
11,563,913 | ||||||||||||||||||
ENERGY – 6.9% | ||||||||||||||||||
Weatherford International Ltd. (Energy Equip. & Svs.) | 6.000% | 03/15/2018 | 1,500,000 | 1,616,874 | ||||||||||||||
Anadarko Petroleum Corp. (Oil, Gas & Consumable Fuels) | 5.950% | 09/15/2016 | 1,000,000 | 1,075,590 | ||||||||||||||
Atlantic Richfield Co. (Oil, Gas & Consumable Fuels) | 8.550% | 03/01/2012 | 200,000 | 212,295 | ||||||||||||||
Cenovus Energy, Inc. (Oil, Gas & Consumable Fuels) | 5.700% | 10/15/2019 | 1,000,000 | 1,135,989 | ||||||||||||||
Energy Transfer Partners LP (Oil, Gas & Consumable Fuels) | 5.650% | 08/01/2012 | 1,000,000 | 1,059,905 | ||||||||||||||
EOG Resources, Inc. (Oil, Gas & Consumable Fuels) | 2.950% | 06/01/2015 | 1,250,000 | 1,259,976 | ||||||||||||||
Magellan Midstream Partners LP (Oil, Gas & Consumable Fuels) | 4.250% | 02/01/2021 | 1,000,000 | 966,150 | ||||||||||||||
Marathon Oil Corp. (Oil, Gas & Consumable Fuels) | 6.125% | 03/15/2012 | 750,000 | 792,787 | ||||||||||||||
Shell International Finance BV (Oil, Gas & Consumable Fuels) | 4.375% | 03/25/2020 | 1,250,000 | 1,313,561 | ||||||||||||||
Valero Energy Corp. (Oil, Gas & Consumable Fuels) | 6.875% | 04/15/2012 | 750,000 | 798,382 | ||||||||||||||
10,231,509 | ||||||||||||||||||
FINANCIALS – 27.6% | ||||||||||||||||||
BlackRock, Inc. (Capital Markets) | 2.250% | 12/10/2012 | 500,000 | 511,608 | ||||||||||||||
Credit Suisse (Capital Markets) | 3.500% | 03/23/2015 | 1,250,000 | 1,281,626 | ||||||||||||||
Franklin Resources, Inc. (Capital Markets) | 3.125% | 05/20/2015 | 1,000,000 | 1,019,393 | ||||||||||||||
Goldman Sachs Group, Inc. / The (Capital Markets) | 6.150% | 04/01/2018 | 1,250,000 | 1,378,520 | ||||||||||||||
Janus Capital Group, Inc. (Capital Markets) | (b) | 6.950% | 06/15/2017 | 1,500,000 | 1,564,762 | |||||||||||||
Jefferies Group, Inc. (Capital Markets) | 5.875% | 06/08/2014 | 1,500,000 | 1,613,929 | ||||||||||||||
Morgan Stanley (Capital Markets) | 4.750% | 04/01/2014 | 1,250,000 | 1,280,989 | ||||||||||||||
Northern Trust Corp. (Capital Markets) | 3.450% | 11/04/2020 | 1,000,000 | 959,169 | ||||||||||||||
TD Ameritrade Holding Corp. (Capital Markets) | 4.150% | 12/01/2014 | 1,000,000 | 1,035,023 | ||||||||||||||
BB&T Corp. (Commercial Banks) | 5.200% | 12/23/2015 | 1,000,000 | 1,076,509 | ||||||||||||||
Comerica Bank (Commercial Banks) | 5.750% | 11/21/2016 | 1,500,000 | 1,620,087 | ||||||||||||||
Deutsche Bank Capital Funding Trust VII (Commercial Banks) | (a)(c) | 5.628% | Perpetual | 1,500,000 | 1,357,500 | |||||||||||||
Fifth Third Bancorp (Commercial Banks) | 4.500% | 06/01/2018 | 1,750,000 | 1,689,182 | ||||||||||||||
PNC Funding Corp. (Commercial Banks) | 5.250% | 11/15/2015 | 1,500,000 | 1,607,016 | ||||||||||||||
SunTrust Bank (Commercial Banks) | 5.000% | 09/01/2015 | 229,000 | 239,559 | ||||||||||||||
Wells Fargo & Co. (Commercial Banks) | 5.625% | 12/11/2017 | 750,000 | 831,590 | ||||||||||||||
American Express Co. (Consumer Finance) | 7.000% | 03/19/2018 | 1,250,000 | 1,458,071 | ||||||||||||||
Capital One Bank U.S.A NA (Consumer Finance) | 5.125% | 02/15/2014 | 750,000 | 796,474 | ||||||||||||||
Discover Financial Services (Consumer Finance) | 6.450% | 06/12/2017 | 750,000 | 781,925 | ||||||||||||||
Bank of America Corp. (Diversified Financial Svs.) | 5.650% | 05/01/2018 | 1,000,000 | 1,023,294 | ||||||||||||||
Citigroup, Inc. (Diversified Financial Svs.) | 6.125% | 05/15/2018 | 1,250,000 | 1,371,454 | ||||||||||||||
General Electric Capital Corp. (Diversified Financial Svs.) | 5.625% | 05/01/2018 | 1,000,000 | 1,092,161 | ||||||||||||||
JPMorgan Chase & Co. (Diversified Financial Svs.) | 5.150% | 10/01/2015 | 1,500,000 | 1,588,095 | ||||||||||||||
National Rural Utilities Cooperative Finance Corp. (Diversified Financial Svs.) | 1.900% | 11/01/2015 | 1,000,000 | 966,420 | ||||||||||||||
Assurant, Inc. (Insurance) | 5.625% | 02/15/2014 | 1,500,000 | 1,578,213 | ||||||||||||||
Axis Capital Holdings Ltd. (Insurance) | 5.750% | 12/01/2014 | 1,000,000 | 1,064,292 | ||||||||||||||
Berkshire Hathaway, Inc. (Insurance) | 3.200% | 02/11/2015 | 1,250,000 | 1,291,086 | ||||||||||||||
Hartford Financial Services Group, Inc. (Insurance) | 5.375% | 03/15/2017 | 1,500,000 | 1,528,668 | ||||||||||||||
Liberty Mutual Group, Inc. (Insurance) | (a) | 5.750% | 03/15/2014 | 1,000,000 | 1,040,859 | |||||||||||||
Loews Corp. (Insurance) | 5.250% | 03/15/2016 | 750,000 | 814,193 | ||||||||||||||
Metropolitan Life Global Funding I (Insurance) | (a) | 2.875% | 09/17/2012 | 1,000,000 | 1,025,359 |
(continued)
12
Ohio National Fund, Inc. | Bond Portfolio (Continued) |
Schedule of Investments | December 31, 2010 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||
FINANCIALS (continued) | ||||||||||||||||||
Prudential Financial, Inc. (Insurance) | 6.100% | 06/15/2017 | $ | 1,500,000 | $ | 1,659,571 | ||||||||||||
StanCorp Financial Group, Inc. (Insurance) | 6.875% | 10/01/2012 | 500,000 | 527,152 | ||||||||||||||
Equity One, Inc. (Real Estate Investment Trusts) | 6.250% | 01/15/2017 | 1,250,000 | 1,265,482 | ||||||||||||||
Mack-Cali Realty LP (Real Estate Investment Trusts) | 4.600% | 06/15/2013 | 1,000,000 | 1,052,215 | ||||||||||||||
40,991,446 | ||||||||||||||||||
HEALTH CARE – 6.4% | ||||||||||||||||||
Celgene Corp. (Biotechnology) | 2.450% | 10/15/2015 | 1,250,000 | 1,215,515 | ||||||||||||||
Baxter International, Inc. (Health Care Equip. & Supplies) | 1.800% | 03/15/2013 | 250,000 | 254,071 | ||||||||||||||
Becton Dickinson and Co. (Health Care Equip. & Supplies) | 5.000% | 05/15/2019 | 500,000 | 543,532 | ||||||||||||||
Covidien International Finance SA (Health Care Equip. & Supplies) | 2.800% | 06/15/2015 | 1,250,000 | 1,255,921 | ||||||||||||||
St. Jude Medical, Inc. (Health Care Equip. & Supplies) | 2.200% | 09/15/2013 | 1,000,000 | 1,016,495 | ||||||||||||||
AmerisourceBergen Corp. (Health Care Providers & Svs.) | 4.875% | 11/15/2019 | 500,000 | 510,797 | ||||||||||||||
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 6.000% | 02/15/2018 | 1,500,000 | 1,705,220 | ||||||||||||||
Thermo Fisher Scientific, Inc. (Life Sciences Tools & Svs.) | 3.250% | 11/20/2014 | 300,000 | 308,748 | ||||||||||||||
Abbott Laboratories (Pharmaceuticals) | 2.700% | 05/27/2015 | 1,000,000 | 1,020,599 | ||||||||||||||
Merck & Co., Inc. (Pharmaceuticals) | 5.000% | 06/30/2019 | 1,000,000 | 1,103,882 | ||||||||||||||
Teva Pharmaceutical Finance II BV / Teva Pharmaceutical Finance III LLC (Pharmaceuticals) | 3.000% | 06/15/2015 | 500,000 | 509,267 | ||||||||||||||
9,444,047 | ||||||||||||||||||
INDUSTRIALS – 8.4% | ||||||||||||||||||
BAE Systems Holdings, Inc. (Aerospace & Defense) | (a) | 6.375% | 06/01/2019 | 750,000 | 834,965 | |||||||||||||
Raytheon Co. (Aerospace & Defense) | 4.400% | 02/15/2020 | 1,250,000 | 1,280,608 | ||||||||||||||
Owens Corning (Building Products) | 6.500% | 12/01/2016 | 1,000,000 | 1,060,419 | ||||||||||||||
Waste Management, Inc. (Commercial Svs. & Supplies) | 6.100% | 03/15/2018 | 1,500,000 | 1,683,245 | ||||||||||||||
Emerson Electric Co. (Electrical Equip.) | 4.250% | 11/15/2020 | 1,250,000 | 1,290,126 | ||||||||||||||
Caterpillar, Inc. (Machinery) | 5.700% | 08/15/2016 | 1,000,000 | 1,154,670 | ||||||||||||||
Deere & Co. (Machinery) | 4.375% | 10/16/2019 | 1,250,000 | 1,306,484 | ||||||||||||||
CSX Corp. (Road & Rail) | 5.600% | 05/01/2017 | 1,500,000 | 1,644,029 | ||||||||||||||
Ryder System, Inc. (Road & Rail) | 3.600% | 03/01/2016 | 1,000,000 | 998,107 | ||||||||||||||
Union Pacific Corp. (Road & Rail) | 4.000% | 02/01/2021 | 1,250,000 | 1,234,653 | ||||||||||||||
12,487,306 | ||||||||||||||||||
INFORMATION TECHNOLOGY – 2.2% | ||||||||||||||||||
Cisco Systems, Inc. (Communications Equip.) | 2.900% | 11/17/2014 | 300,000 | 311,468 | ||||||||||||||
Computer Sciences Corp. (IT Svs.) | 6.500% | 03/15/2018 | 1,500,000 | 1,635,435 | ||||||||||||||
International Business Machines Corp. (IT Svs.) | 2.100% | 05/06/2013 | 1,250,000 | 1,281,075 | ||||||||||||||
3,227,978 | ||||||||||||||||||
MATERIALS – 3.0% | ||||||||||||||||||
Monsanto Co. (Chemicals) | 7.375% | 08/15/2012 | 1,000,000 | 1,101,707 | ||||||||||||||
Praxair, Inc. (Chemicals) | 2.125% | 06/14/2013 | 1,250,000 | 1,277,639 | ||||||||||||||
Rio Tinto Finance U.S.A Ltd. (Metals & Mining) | 1.875% | 11/02/2015 | 1,000,000 | 963,513 | ||||||||||||||
Teck Resources Ltd. (Metals & Mining) | 7.000% | 09/15/2012 | 1,000,000 | 1,063,952 | ||||||||||||||
4,406,811 | ||||||||||||||||||
TELECOMMUNICATION SERVICES – 3.8% | ||||||||||||||||||
AT&T Corp. (Diversified Telecom. Svs.) | (b) | 7.300% | 11/15/2011 | 500,000 | 528,307 | |||||||||||||
Embarq Corp. (Diversified Telecom. Svs.) | 6.738% | 06/01/2013 | 1,000,000 | 1,086,821 | ||||||||||||||
Telecom Italia Capital SA (Diversified Telecom. Svs.) | 5.250% | 10/01/2015 | 750,000 | 768,694 | ||||||||||||||
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 5.350% | 02/15/2011 | 1,000,000 | 1,005,469 | ||||||||||||||
America Movil SAB de CV (Wireless Telecom. Svs.) | 5.750% | 01/15/2015 | 1,000,000 | 1,109,655 | ||||||||||||||
Rogers Communications, Inc. (Wireless Telecom. Svs.) | 5.500% | 03/15/2014 | 1,000,000 | 1,092,935 | ||||||||||||||
5,591,881 | ||||||||||||||||||
UTILITIES – 16.8% | ||||||||||||||||||
Appalachian Power Co. (Electric Utilities) | 5.550% | 04/01/2011 | 1,000,000 | 1,011,388 | ||||||||||||||
Commonwealth Edison Co. (Electric Utilities) | 5.950% | 08/15/2016 | 1,500,000 | 1,713,917 | ||||||||||||||
Duke Energy Corp. (Electric Utilities) | 3.350% | 04/01/2015 | 1,250,000 | 1,288,075 | ||||||||||||||
Entergy Mississippi, Inc. (Electric Utilities) | 5.920% | 02/01/2016 | 1,000,000 | 1,002,283 | ||||||||||||||
Florida Power Corp. (Electric Utilities) | 4.550% | 04/01/2020 | 500,000 | 521,904 | ||||||||||||||
Ipalco Enterprises, Inc. (Electric Utilities) | (b) | 8.625% | 11/14/2011 | 1,000,000 | 1,042,500 | |||||||||||||
Kansas City Power & Light Co. (Electric Utilities) | 5.850% | 06/15/2017 | 1,500,000 | 1,635,956 | ||||||||||||||
Metropolitan Edison Co. (Electric Utilities) | 4.875% | 04/01/2014 | 750,000 | 787,004 | ||||||||||||||
Pepco Holdings, Inc. (Electric Utilities) | 2.700% | 10/01/2015 | 750,000 | 731,804 | ||||||||||||||
PSEG Power LLC (Electric Utilities) | 5.000% | 04/01/2014 | 750,000 | 805,392 | ||||||||||||||
Tenaska Georgia Partners LP (Electric Utilities) | 9.500% | 02/01/2030 | 486,244 | 550,182 | ||||||||||||||
Union Electric Co. (Electric Utilities) | 6.400% | 06/15/2017 | 1,500,000 | 1,700,142 | ||||||||||||||
Virginia Electric and Power Co. (Electric Utilities) | 5.400% | 01/15/2016 | 1,500,000 | 1,688,754 | ||||||||||||||
AGL Capital Corp. (Gas Utilities) | 5.250% | 08/15/2019 | 1,000,000 | 1,057,845 | ||||||||||||||
CenterPoint Energy Resources Corp. (Gas Utilities) | 5.950% | 01/15/2014 | 500,000 | 544,562 |
(continued)
13
Ohio National Fund, Inc. | Bond Portfolio (Continued) |
Schedule of Investments | December 31, 2010 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||
UTILITIES (continued) | ||||||||||||||||||
Southwest Gas Corp. (Gas Utilities) | 7.625% | 05/15/2012 | $ | 1,000,000 | $ | 1,075,585 | ||||||||||||
Spectra Energy Capital LLC (Gas Utilities) | 5.500% | 03/01/2014 | 750,000 | 816,344 | ||||||||||||||
Energy Future Competitive Holdings Co. (Ind. Power Prod. & Energy Traders) | 7.480% | 01/01/2017 | 521,326 | 442,074 | ||||||||||||||
TransAlta Corp. (Ind. Power Prod. & Energy Traders) | 6.750% | 07/15/2012 | 1,000,000 | 1,072,794 | ||||||||||||||
Alliant Energy Corp. (Multi-Utilities) | 4.000% | 10/15/2014 | 1,000,000 | 1,037,023 | ||||||||||||||
Avista Corp. (Multi-Utilities) | 5.950% | 06/01/2018 | 1,000,000 | 1,098,469 | ||||||||||||||
Consumers Energy Co. (Multi-Utilities) | 6.000% | 02/15/2014 | 1,000,000 | 1,108,667 | ||||||||||||||
NextEra Energy Capital Holdings, Inc. (Multi-Utilities) | 2.600% | 09/01/2015 | 1,250,000 | 1,225,413 | ||||||||||||||
Xcel Energy, Inc. (Multi-Utilities) | 4.700% | 05/15/2020 | 1,000,000 | 1,031,443 | ||||||||||||||
24,989,520 | ||||||||||||||||||
Total Corporate Bonds (Cost $125,157,639) | $ | 132,543,473 | ||||||||||||||||
U.S. Treasury Obligations – 2.8% | Rate | Maturity | Face Amount | Value | ||||||||||||||
U.S. Treasury Note | 2.375% | 09/30/2014 | $ | 2,000,000 | $ | 2,071,876 | ||||||||||||
U.S. Treasury Note | 3.375% | 11/15/2019 | 2,000,000 | 2,042,032 | ||||||||||||||
Total U.S. Treasury Obligations (Cost $4,139,448) | $ | 4,113,908 | ||||||||||||||||
Commercial Paper – 3.4% | Rate | Maturity | Face Amount | Amortized Cost | ||||||||||||||
General Electric Capital Corp. | 0.030% | 01/03/2011 | $ | 5,000,000 | $ | 4,999,992 | ||||||||||||
Total Commercial Paper (Cost $4,999,992) | $ | 4,999,992 | ||||||||||||||||
Repurchase Agreements – 0.4% | Rate | Maturity | Face Amount | Amortized Cost | ||||||||||||||
U.S. Bank, Agreement date: 12/31/2010, Repurchase price: $628,001, Collateralized by: FNMA Remic, Trust # 2008-47, Class FT 1.231%, Due 06/25/2038 with value of $640,856 | 0.010% | 01/03/2011 | $ | 628,000 | $ | 628,000 | ||||||||||||
Total Repurchase Agreements (Cost $628,000) | $ | 628,000 | ||||||||||||||||
Total Investments – 96.0% (Cost $134,925,079) | (d) | $ | 142,285,373 | |||||||||||||||
Other Assets in Excess of Liabilities – 4.0% | 5,891,669 | |||||||||||||||||
Net Assets – 100.0% | $ | 148,177,042 | ||||||||||||||||
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 December 31, 2010, the value of these securities totaled $4,258,683 or 2.9% 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 December 31, 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 December 31, 2010
Average Annual Total Returns: | ||||
One year | 13.19% | |||
Five years | 4.60% | |||
Ten years | 2.21% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the year ended December 31, 2010, the Omni Portfolio returned 13.19% versus 13.83% 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 64 basis points of underperformance is primarily the result of holding approximately 5% of the Portfolio in cash equivalents during a year in which both common stocks and bonds had relatively good positive total returns. For the year, the returns from both the common stock and the bond portions of the Portfolio exceeded the returns of their respective benchmarks. An asset allocation shift in late August benefited performance. At the end of July, the Portfolio was under-weighted in stocks by 4% and had a near benchmark weighting in bonds. Because bonds had done so well and stocks had negative returns year-to-date through August, the weighting in bonds was reduced by 4% and the weighting in stocks was increased by a similar percentage. This asset allocation shift benefited performance because the S&P 500 Index had very strong positive returns from September through year-end, outperforming bonds by a wide margin.
The equity portion of the Portfolio had a total return of 15.25% (gross of fees) in 2010, versus 15.06% for the S&P 500 Index, for out-performance of 19 basis points. The equity portion of the Portfolio performed very well in the fourth quarter, led by strong returns in the commodity and financial service sectors. Even though Financials made a stellar comeback in the final quarter, the Portfolio was negatively impacted during the year by a few Financials, namely Wells Fargo & Co., Morgan Stanley, and Bank of America Corp. All three were hurt by the continuing legal uncertainties from the mortgage fiasco, and Morgan Stanley perhaps suffered additionally from the potential for lawsuits relating to underwriting mortgage securities. Two other poorly performing stocks were SunPower Corp., which twice during the year announced delays in the contributions to earnings from their slightly delayed solar projects, and Hewlett-Packard Co., whose earnings multiple contracted because its chairman was forced to resign under unpleasant circumstances. The Portfolio’s best performing stocks were Apple, Inc., Citigroup, Inc., Freeport-McMoRan Copper & Gold, Inc., Honeywell International, Inc. and Johnson Controls, Inc.(1)
The sectors of the stock market that performed the best in 2010 were those sectors that involved taking on more portfolio risk. There appeared to be demand by investors for top-line growth stocks at any price. As the investment process for the stock portion of the Portfolio always first considers an attractive stock valuation as the first requirement for portfolio inclusion, not participating in a momentum, risk-taking market created a headwind to stock performance.
For the year 2010, the return from the bond portion of the Portfolio exceeded the 9.52% return of the Merrill Lynch Index. This out-performance was primarily the result of individual bond holdings performing particularly well, rather than industry weightings or Portfolio duration positioning versus the Merrill Lynch Index. Bonds that performed very well included Deutsche Bank Capital Funding Trust VII, KeyBank NA, Potomac Electric Power Co., Discover Financial Services, and HCP, Inc. Deutsche Bank Capital Funding Trust VII, KeyBank NA, Discover Financial Services, and HCP Inc. performed well because these financial and real estate 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 Wyeth, AT&T Corp., COX Communications, Inc., Telecom Italia Capital SA and Anadarko Petroleum Corp. Telecom Italia Capital SA underperformed because of economic problems across Southern Europe. Anadarko Petroleum Corp. underperformed due to its 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. The bond portion of the Portfolio was under-weighted relative to the benchmark in the banking sector and this disadvantaged performance because the banking sector outperformed. The bond portion of the Portfolio was over-weighted in the electric utility sector and this also disadvantaged performance because the electric utility sector underperformed. The performance of the bond component of the Portfolio was further disadvantaged by its shorter duration versus that of the Merrill Lynch Index because Treasury yields declined in 2010.(1)
At the beginning of 2010, we took the position that the economy would improve, that emerging markets would provide most of the economic growth, that consumers would still be constrained in their spending, and that margins would tighten in consumer oriented products, as raw material pricing increased and companies were not so able to raise selling prices to pass through the higher costs. These are similar themes to what we believe now. Because we expect most economic growth to come from emerging countries such as India and China, we are trying to avoid stocks that are U.S. centric with little exposure to emerging economies. We anticipate that Treasury yields should rise in 2011 as the pace of economic growth increases. For this reason, the duration of the bond portion of the Portfolio will be maintained short of the duration of the Merrill Lynch Index. Due to the outlook for good corporate earnings and a modest tightening in credit spreads in 2011, we expect to skew bond purchases toward BBB-rated names, which are slightly lower in quality than the average for the Merrill Lynch Index.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 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 | |||||||
12/31/2000 | 10000 | 10000 | ||||||
06/30/2001 | 9099 | 9703 | ||||||
12/31/2001 | 8693 | 9481 | ||||||
06/30/2002 | 7344 | 8655 | ||||||
12/31/2002 | 6715 | 8248 | ||||||
06/30/2003 | 7435 | 9120 | ||||||
12/31/2003 | 8474 | 10098 | ||||||
06/30/2004 | 8577 | 10338 | ||||||
12/31/2004 | 9077 | 11036 | ||||||
06/30/2005 | 9488 | 11060 | ||||||
12/31/2005 | 9938 | 11490 | ||||||
06/30/2006 | 10164 | 11658 | ||||||
12/31/2006 | 11262 | 12902 | ||||||
06/30/2007 | 11889 | 13565 | ||||||
12/31/2007 | 12049 | 13592 | ||||||
06/30/2008 | 11200 | 12428 | ||||||
12/31/2008 | 8259 | 9674 | ||||||
06/30/2009 | 9435 | 10184 | ||||||
12/31/2009 | 10996 | 12080 | ||||||
06/30/2010 | 10569 | 11740 | ||||||
12/31/2010 | 12447 | 13751 |
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 December 31, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 73.5 | ||
Corporate Bonds (3) | 21.3 | ||
U.S. Treasury Obligations | 0.4 | ||
Money Market Funds and Other Net Assets | 4.8 | ||
100.0 | |||
Top 10 Portfolio Holdings as of December 31, 2010 (1) (2)
% of Net Assets | |||||||
1. | Apple, Inc. | 2.0 | |||||
2. | JPMorgan Chase & Co. | 1.9 | |||||
3. | Google, Inc. Class A | 1.7 | |||||
4. | Huntington Bancshares, Inc. | 1.6 | |||||
5. | Lincoln National Corp. | 1.6 | |||||
6. | Bank of New York Mellon Corp. / The | 1.6 | |||||
7. | Citigroup, Inc. | 1.6 | |||||
8. | Prudential Financial, Inc. | 1.5 | |||||
9. | PNC Financial Services Group, Inc. | 1.5 | |||||
10. | State Street Corp. | 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 (combined): |
% of Net Assets | |||
Financials | 23.1 | ||
Information Technology | 17.1 | ||
Consumer Discretionary | 10.9 | ||
Health Care | 10.2 | ||
Industrials | 9.3 | ||
Energy | 8.9 | ||
Materials | 5.9 | ||
Utilities | 4.1 | ||
Consumer Staples | 3.5 | ||
Telecommunication Services | 1.8 | ||
94.8 | |||
16
Ohio National Fund, Inc. | Omni Portfolio |
Schedule of Investments | December 31, 2010 |
Common Stocks – 73.5% | Shares | Value | ||||||||||||||||
CONSUMER DISCRETIONARY – 9.4% | ||||||||||||||||||
Johnson Controls, Inc. (Auto Components) | 13,900 | $ | 530,980 | |||||||||||||||
Lear Corp. (Auto Components) | (a) | 400 | 39,484 | |||||||||||||||
Royal Caribbean Cruises Ltd. (Hotels, Restaurants & Leisure) | (a) | 9,100 | 427,700 | |||||||||||||||
Starwood Hotels & Resorts Worldwide, Inc. (Hotels, Restaurants & Leisure) | 6,400 | 388,992 | ||||||||||||||||
Walt Disney Co. / The (Media) | 15,200 | 570,152 | ||||||||||||||||
Target Corp. (Multiline Retail) | 10,200 | 613,326 | ||||||||||||||||
Tiffany & Co. (Specialty Retail) | 3,900 | 242,853 | ||||||||||||||||
Coach, Inc. (Textiles, Apparel & Luxury Goods) | 7,200 | 398,232 | ||||||||||||||||
NIKE, Inc. Class B (Textiles, Apparel & Luxury Goods) | 5,000 | 427,100 | ||||||||||||||||
Warnaco Group, Inc. / The (Textiles, Apparel & Luxury Goods) | (a) | 4,400 | 242,308 | |||||||||||||||
3,881,127 | ||||||||||||||||||
CONSUMER STAPLES – 1.2% | ||||||||||||||||||
J.M. Smucker Co. / The (Food Products) | 4,500 | 295,425 | ||||||||||||||||
Procter & Gamble Co. / The (Household Products) | 2,900 | 186,557 | ||||||||||||||||
481,982 | ||||||||||||||||||
ENERGY – 6.9% | ||||||||||||||||||
Dresser-Rand Group, Inc. (Energy Equip. & Svs.) | (a) | 1,800 | 76,662 | |||||||||||||||
Halliburton Co. (Energy Equip. & Svs.) | 10,700 | 436,881 | ||||||||||||||||
National Oilwell Varco, Inc. (Energy Equip. & Svs.) | 5,000 | 336,250 | ||||||||||||||||
Apache Corp. (Oil, Gas & Consumable Fuels) | 2,400 | 286,152 | ||||||||||||||||
Chevron Corp. (Oil, Gas & Consumable Fuels) | 6,800 | 620,500 | ||||||||||||||||
Murphy Oil Corp. (Oil, Gas & Consumable Fuels) | 7,000 | 521,850 | ||||||||||||||||
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 5,600 | 549,360 | ||||||||||||||||
2,827,655 | ||||||||||||||||||
FINANCIALS – 17.4% | ||||||||||||||||||
Bank of New York Mellon Corp. / The (Capital Markets) | 21,600 | 652,320 | ||||||||||||||||
State Street Corp. (Capital Markets) | 13,400 | 620,956 | ||||||||||||||||
Huntington Bancshares, Inc. (Commercial Banks) | 97,700 | 671,199 | ||||||||||||||||
PNC Financial Services Group, Inc. (Commercial Banks) | 10,300 | 625,416 | ||||||||||||||||
Wells Fargo & Co. (Commercial Banks) | 5,100 | 158,049 | ||||||||||||||||
Bank of America Corp. (Diversified Financial Svs.) | 41,500 | 553,610 | ||||||||||||||||
Citigroup, Inc. (Diversified Financial Svs.) | (a) | 137,600 | 650,848 | |||||||||||||||
JPMorgan Chase & Co. (Diversified Financial Svs.) | 18,400 | 780,528 | ||||||||||||||||
Hartford Financial Services Group, Inc. (Insurance) | 21,700 | 574,833 | ||||||||||||||||
Lincoln National Corp. (Insurance) | 23,500 | 653,535 | ||||||||||||||||
MetLife, Inc. (Insurance) | 13,500 | 599,940 | ||||||||||||||||
Prudential Financial, Inc. (Insurance) | 10,700 | 628,197 | ||||||||||||||||
7,169,431 | ||||||||||||||||||
HEALTH CARE – 8.3% | ||||||||||||||||||
St. Jude Medical, Inc. (Health Care Equip. & Supplies) | (a) | 13,800 | 589,950 | |||||||||||||||
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 5,800 | 209,438 | ||||||||||||||||
Life Technologies Corp. (Life Sciences Tools & Svs.) | (a) | 4,800 | 266,400 | |||||||||||||||
Allergan, Inc. (Pharmaceuticals) | 7,900 | 542,493 | ||||||||||||||||
Medicis Pharmaceutical Corp. Class A (Pharmaceuticals) | 19,000 | 509,010 | ||||||||||||||||
Merck & Co., Inc. (Pharmaceuticals) | 9,300 | 335,172 | ||||||||||||||||
Pfizer, Inc. (Pharmaceuticals) | 34,600 | 605,846 | ||||||||||||||||
Teva Pharmaceutical Industries Ltd. – ADR (Pharmaceuticals) | 7,100 | 370,123 | ||||||||||||||||
3,428,432 | ||||||||||||||||||
INDUSTRIALS – 7.7% | ||||||||||||||||||
Honeywell International, Inc. (Aerospace & Defense) | 11,500 | 611,340 | ||||||||||||||||
United Parcel Service, Inc. Class B (Air Freight & Logistics) | 7,500 | 544,350 | ||||||||||||||||
Rockwell Automation, Inc. (Electrical Equip.) | 8,400 | 602,364 | ||||||||||||||||
Caterpillar, Inc. (Machinery) | 4,300 | 402,738 | ||||||||||||||||
Ingersoll-Rand PLC (Machinery) | 12,500 | 588,625 | ||||||||||||||||
SPX Corp. (Machinery) | 5,700 | 407,493 | ||||||||||||||||
3,156,910 | ||||||||||||||||||
INFORMATION TECHNOLOGY – 16.7% | ||||||||||||||||||
Cisco Systems, Inc. (Communications Equip.) | (a) | 30,200 | 610,946 | |||||||||||||||
QUALCOMM, Inc. (Communications Equip.) | 12,300 | 608,727 | ||||||||||||||||
Apple, Inc. (Computers & Peripherals) | (a) | 2,600 | 838,656 | |||||||||||||||
Hewlett-Packard Co. (Computers & Peripherals) | 12,900 | 543,090 | ||||||||||||||||
eBay, Inc. (Internet Software & Svs.) | (a) | 9,500 | 264,385 | |||||||||||||||
Google, Inc. Class A (Internet Software & Svs.) | (a) | 1,200 | 712,764 | |||||||||||||||
International Business Machines Corp. (IT Svs.) | 4,100 | 601,716 | ||||||||||||||||
Applied Materials, Inc. (Semiconductors & Equip.) | 17,700 | 248,685 |
(continued)
17
Ohio National Fund, Inc. | Omni Portfolio (Continued) |
Schedule of Investments | December 31, 2010 |
Common Stocks (Continued) | Shares | Value | ||||||||||||||||
INFORMATION TECHNOLOGY (continued) | ||||||||||||||||||
Broadcom Corp. Class A (Semiconductors & Equip.) | 9,700 | $ | 422,435 | |||||||||||||||
Maxim Integrated Products, Inc. (Semiconductors & Equip.) | 25,600 | 604,672 | ||||||||||||||||
SunPower Corp. Class B (Semiconductors & Equip.) | (a) | 34,900 | 433,109 | |||||||||||||||
Citrix Systems, Inc. (Software) | (a) | 5,400 | 369,414 | |||||||||||||||
Oracle Corp. (Software) | 19,700 | 616,610 | ||||||||||||||||
6,875,209 | ||||||||||||||||||
MATERIALS – 5.9% | ||||||||||||||||||
Air Products & Chemicals, Inc. (Chemicals) | 6,200 | 563,890 | ||||||||||||||||
Celanese Corp. (Chemicals) | 7,000 | 288,190 | ||||||||||||||||
E.I. du Pont de Nemours & Co. (Chemicals) | 10,000 | 498,800 | ||||||||||||||||
Freeport-McMoRan Copper & Gold, Inc. (Metals & Mining) | 4,000 | 480,360 | ||||||||||||||||
Rio Tinto PLC – ADR (Metals & Mining) | 8,600 | 616,276 | ||||||||||||||||
2,447,516 | ||||||||||||||||||
Total Common Stocks (Cost $26,938,241) | $ | 30,268,262 | ||||||||||||||||
Corporate Bonds – 21.3% | Rate | Maturity | Face Amount | Value | ||||||||||||||
CONSUMER DISCRETIONARY – 1.5% | ||||||||||||||||||
Daimler Finance North America LLC (Automobiles) | 6.500% | 11/15/2013 | $ | 100,000 | 113,282 | |||||||||||||
Comcast Corp. (Media) | 5.875% | 02/15/2018 | 150,000 | 166,780 | ||||||||||||||
COX Communications, Inc. (Media) | 6.750% | 03/15/2011 | 100,000 | 101,208 | ||||||||||||||
Walt Disney Co. / The (Media) | 6.200% | 06/20/2014 | 100,000 | 114,321 | ||||||||||||||
Macy’s Retail Holdings, Inc. (Multiline Retail) | 5.900% | 12/01/2016 | 100,000 | 107,250 | ||||||||||||||
602,841 | ||||||||||||||||||
CONSUMER STAPLES – 2.3% | ||||||||||||||||||
Anheuser-Busch Cos., Inc. (Beverages) | 5.500% | 01/15/2018 | 150,000 | 164,928 | ||||||||||||||
CVS Caremark Corp. (Food & Staples Retailing) | 5.750% | 06/01/2017 | 150,000 | 167,123 | ||||||||||||||
Kroger Co. / The (Food & Staples Retailing) | 6.400% | 08/15/2017 | 150,000 | 172,460 | ||||||||||||||
Bunge NA Finance LP (Food Products) | 5.900% | 04/01/2017 | 150,000 | 154,571 | ||||||||||||||
Kraft Foods, Inc. (Food Products) | 6.500% | 08/11/2017 | 150,000 | 174,850 | ||||||||||||||
Procter & Gamble Co. / The (Household Products) | 4.700% | 02/15/2019 | 100,000 | 108,432 | ||||||||||||||
942,364 | ||||||||||||||||||
ENERGY – 2.0% | ||||||||||||||||||
Weatherford International Ltd. (Energy Equip. & Svs.) | 6.000% | 03/15/2018 | 150,000 | 161,687 | ||||||||||||||
Anadarko Petroleum Corp. (Oil, Gas & Consumable Fuels) | 5.950% | 09/15/2016 | 100,000 | 107,559 | ||||||||||||||
Boardwalk Pipelines LP (Oil, Gas & Consumable Fuels) | 5.500% | 02/01/2017 | 100,000 | 106,383 | ||||||||||||||
Enterprise Products Operating LLC (Oil, Gas & Consumable Fuels) | 5.000% | 03/01/2015 | 150,000 | 161,900 | ||||||||||||||
Magellan Midstream Partners LP (Oil, Gas & Consumable Fuels) | 6.400% | 07/15/2018 | 150,000 | 170,315 | ||||||||||||||
Valero Energy Corp. (Oil, Gas & Consumable Fuels) | 4.750% | 06/15/2013 | 100,000 | 106,634 | ||||||||||||||
814,478 | ||||||||||||||||||
FINANCIALS – 5.7% | ||||||||||||||||||
Goldman Sachs Group, Inc. / The (Capital Markets) | 5.150% | 01/15/2014 | 100,000 | 107,782 | ||||||||||||||
Jefferies Group, Inc. (Capital Markets) | 5.875% | 06/08/2014 | 150,000 | 161,393 | ||||||||||||||
Mellon Funding Corp. (Capital Markets) | 5.500% | 11/15/2018 | 100,000 | 108,904 | ||||||||||||||
Morgan Stanley (Capital Markets) | 4.750% | 04/01/2014 | 100,000 | 102,479 | ||||||||||||||
BB&T Corp. (Commercial Banks) | 5.200% | 12/23/2015 | 100,000 | 107,651 | ||||||||||||||
Deutsche Bank Capital Funding Trust VII (Commercial Banks) | (b)(d) | 5.628% | Perpetual | 100,000 | 90,500 | |||||||||||||
KeyBank NA (Commercial Banks) | 5.700% | 11/01/2017 | 150,000 | 152,967 | ||||||||||||||
PNC Funding Corp. (Commercial Banks) | 5.250% | 11/15/2015 | 150,000 | 160,702 | ||||||||||||||
Capital One Bank U.S.A. NA (Consumer Finance) | 5.125% | 02/15/2014 | 100,000 | 106,197 | ||||||||||||||
Discover Financial Services (Consumer Finance) | 6.450% | 06/12/2017 | 150,000 | 156,385 | ||||||||||||||
Bank of America Corp. (Diversified Financial Svs.) | 5.750% | 08/15/2016 | 150,000 | 153,398 | ||||||||||||||
Citigroup, Inc. (Diversified Financial Svs.) | 5.850% | 08/02/2016 | 150,000 | 161,174 | ||||||||||||||
General Electric Capital Corp. (Diversified Financial Svs.) | 5.000% | 01/08/2016 | 100,000 | 106,858 | ||||||||||||||
JPMorgan Chase & Co. (Diversified Financial Svs.) | 5.150% | 10/01/2015 | 100,000 | 105,873 | ||||||||||||||
Assurant, Inc. (Insurance) | 5.625% | 02/15/2014 | 100,000 | 105,214 | ||||||||||||||
Liberty Mutual Group, Inc. (Insurance) | (b) | 5.750% | 03/15/2014 | 100,000 | 104,086 | |||||||||||||
MetLife, Inc. (Insurance) | 5.375% | 12/15/2012 | 100,000 | 107,132 | ||||||||||||||
Duke Realty LP (Real Estate Investment Trusts) | 4.625% | 05/15/2013 | 100,000 | 104,118 | ||||||||||||||
HCP, Inc. (Real Estate Investment Trusts) | 6.000% | 01/30/2017 | 150,000 | 157,081 | ||||||||||||||
2,359,894 | ||||||||||||||||||
HEALTH CARE – 1.9% | ||||||||||||||||||
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 6.000% | 02/15/2018 | 150,000 | 170,522 | ||||||||||||||
WellPoint, Inc. (Health Care Providers & Svs.) | 5.875% | 06/15/2017 | 150,000 | 167,897 | ||||||||||||||
Abbott Laboratories (Pharmaceuticals) | 5.600% | 11/30/2017 | 150,000 | 171,746 |
(continued)
18
Ohio National Fund, Inc. | Omni Portfolio (Continued) |
Schedule of Investments | December 31, 2010 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||
HEALTH CARE (continued) | ||||||||||||||||||
Hospira, Inc. (Pharmaceuticals) | 6.050% | 03/30/2017 | 150,000 | $ | 168,270 | |||||||||||||
Wyeth (Pharmaceuticals) | 6.950% | 03/15/2011 | 100,000 | 101,294 | ||||||||||||||
779,729 | ||||||||||||||||||
INDUSTRIALS – 1.6% | ||||||||||||||||||
Owens Corning (Building Products) | 6.500% | 12/01/2016 | 150,000 | 159,063 | ||||||||||||||
Waste Management, Inc. (Commercial Svs. & Supplies) | 6.100% | 03/15/2018 | 150,000 | 168,324 | ||||||||||||||
CSX Corp. (Road & Rail) | 5.600% | 05/01/2017 | 150,000 | 164,403 | ||||||||||||||
ERAC U.S.A. Finance LLC (Road & Rail) | (b) | 6.375% | 10/15/2017 | 150,000 | 166,751 | |||||||||||||
658,541 | ||||||||||||||||||
INFORMATION TECHNOLOGY – 0.4% | ||||||||||||||||||
Computer Sciences Corp. (IT Svs.) | 6.500% | 03/15/2018 | 150,000 | 163,544 | ||||||||||||||
TELECOMMUNICATION SERVICES – 1.8% | ||||||||||||||||||
AT&T Corp. (Diversified Telecom. Svs.) | (c) | 7.300% | 11/15/2011 | 100,000 | 105,661 | |||||||||||||
Embarq Corp. (Diversified Telecom. Svs.) | 6.738% | 06/01/2013 | 150,000 | 163,023 | ||||||||||||||
Telecom Italia Capital SA (Diversified Telecom. Svs.) | 5.250% | 10/01/2015 | 100,000 | 102,493 | ||||||||||||||
Verizon Florida LLC (Diversified Telecom. Svs.) | 6.125% | 01/15/2013 | 100,000 | 108,532 | ||||||||||||||
America Movil SAB de CV (Wireless Telecom. Svs.) | 5.750% | 01/15/2015 | 100,000 | 110,966 | ||||||||||||||
Rogers Communications, Inc. (Wireless Telecom. Svs.) | 5.500% | 03/15/2014 | 150,000 | 163,940 | ||||||||||||||
754,615 | ||||||||||||||||||
UTILITIES – 4.1% | ||||||||||||||||||
Commonwealth Edison Co. (Electric Utilities) | 5.950% | 08/15/2016 | 150,000 | 171,392 | ||||||||||||||
Kansas City Power & Light Co. (Electric Utilities) | 5.850% | 06/15/2017 | 150,000 | 163,596 | ||||||||||||||
Nevada Power Co. (Electric Utilities) | 5.950% | 03/15/2016 | 150,000 | 168,550 | ||||||||||||||
Pennsylvania Electric Co. (Electric Utilities) | 6.050% | 09/01/2017 | 150,000 | 162,534 | ||||||||||||||
PSEG Power LLC (Electric Utilities) | 5.000% | 04/01/2014 | 250,000 | 268,464 | ||||||||||||||
Southern Power Co. (Electric Utilities) | 4.875% | 07/15/2015 | 100,000 | 108,296 | ||||||||||||||
Union Electric Co. (Electric Utilities) | 6.400% | 06/15/2017 | 150,000 | 170,014 | ||||||||||||||
Virginia Electric and Power Co. (Electric Utilities) | 4.750% | 03/01/2013 | 100,000 | 106,712 | ||||||||||||||
Spectra Energy Capital LLC (Gas Utilities) | 5.500% | 03/01/2014 | 100,000 | 108,846 | ||||||||||||||
Consumers Energy Co. (Multi-Utilities) | 6.000% | 02/15/2014 | 100,000 | 110,867 | ||||||||||||||
American Water Capital Corp. (Water Utilities) | 6.085% | 10/15/2017 | 150,000 | 168,505 | ||||||||||||||
1,707,776 | ||||||||||||||||||
Total Corporate Bonds (Cost $8,082,441) | $ | 8,783,782 | ||||||||||||||||
U.S. Treasury Obligations – 0.4% | Rate | Maturity | Face Amount | Value | ||||||||||||||
U.S. Treasury Note | 3.375% | 11/15/2019 | $ | 150,000 | $ | 153,152 | ||||||||||||
Total U.S. Treasury Obligations (Cost $160,971) | $ | 153,152 | ||||||||||||||||
Money Market Funds – 4.6% | Shares | Value | ||||||||||||||||
Fidelity Institutional Money Market Funds Money Market Portfolio – Class I | 1,892,000 | $ | 1,892,000 | |||||||||||||||
Total Money Market Funds (Cost $1,892,000) | $ | 1,892,000 | ||||||||||||||||
Total Investments – 99.8% (Cost $37,073,653) | (e) | $ | 41,097,196 | |||||||||||||||
Other Assets in Excess of Liabilities – 0.2% | 80,024 | |||||||||||||||||
Net Assets – 100.0% | $ | 41,177,220 | ||||||||||||||||
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depositary Receipts
Footnotes:
(a) | Non-income producing security. | |
(b) | Security exempt from registration under Regulation D of the Securities Act of 1933. These securities may be resold in transactions exempt from registration, normally to qualified buyers under Rule 144A. At December 31, 2010, the value of these securities totaled $361,337 or 0.9% of the Portfolio’s net assets. These securities were deemed liquid pursuant to procedures approved by the Board of Directors. | |
(c) | 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. | |
(d) | Fixed-to-floating rate, callable, perpetual life trust preferred security. Interest rates stated are those in effect at December 31, 2010. | |
(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 December 31, 2010
Average Annual Total Returns: | ||||
One year | 16.75% | |||
Five years | 2.57% | |||
Ten years | 0.39% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the year ended December 31, 2010, the International Portfolio returned 16.75% versus 11.15% for the current benchmark, the MSCI All Country World ex-USA Index (Net-USD).
The year was characterized by an uneven global recovery. Investors discovered true divergences between debtor and creditor countries. Fiscal stimulus packages that had once provided tailwinds for the global economic recovery became headwinds for some in the form of deficit cutting measures. Traditional economic classifications of developed markets (less risk) and emerging markets (more risk) became murky and economic boundaries began to be redefined by countries with austerity measures (e.g., Greece and the United Kingdom) and those with structural growth policies (e.g., China and Brazil). Generally, countries with higher debt burdens were associated with slower economic growth prospects and more risk, and countries which had managed their fiscal balance sheets more prudently were associated with higher growth prospects and less risk.
This uneven recovery caused a wide divergence of returns between strong countries with economic growth, and corporate profits, versus weak countries plagued by sovereign risks. Nowhere was this more evident than in the Eurozone, where all markets dropped on concerns that the sovereign debt crisis clouding the peripheral countries (Greece, Spain and Portugal) would spread throughout the region. While risks remain, multiple support measures have been put in place over the past year, the most important being the 440 billion euro ($583 billion in U.S. dollars) European Financial Stability Facility that is to be replaced with a permanent European Stability Mechanism (ESM) in 2013. More recently, the European Central Bank pledged it would delay the withdrawal of emergency liquidity measures to combat “acute” market tensions. Currently, Eurozone 2010 Gross Domestic Product growth expectations are about 1.7%, which is much better than at the beginning of the year when a below trend growth rate of 1.3% had been forecast. The main driver of the higher 2010 projections for the Eurozone was Germany, a key European creditor and exporting country. Germany’s real Gross Domestic Product expanded at an estimated 3.6%, twice the rate forecast in January, as emerging markets and industrial demand for German goods accelerated throughout the year.
While many developed European countries dealt with necessary austerity measures, developing Asia and Latin America experienced a stronger-than-expected recovery. These robust growth economies further highlighted the tug of war between developed, debt-ridden countries versus cash-rich, fiscally sound countries. Although the sharp recovery in the first half of 2010 moderated in the second half, booming China and Brazil remained supportive of both global growth and Asian and Latin American regional growth, respectively.
The risk of a global currency war has been rising throughout the year as countries look to improve their fiscal positions by increasing their export ratios. While the euro dropped in sympathy with sovereign debt fears, the Japanese yen surged to a fifteen-year high versus the dollar. In a move aimed to support its export-reliant economy, the Bank of Japan intervened by selling yen and committing that the government would initiate a new round of fiscal stimulus and quantitative easing. The U.S. followed suit in November with a commitment from the Federal Reserve to repurchase $600 billion in Treasuries and reinvest up to $300 billion. Other countries pursued aggressive foreign currency reserve accumulation, deployed taxes (e.g., Brazil, Thailand) or limited capital controls (e.g., Korea) in an effort to stem rapid currency appreciation.
For the year ended December 31, 2010, the MSCI Emerging Markets Index outperformed with a return of 18.9%, compared to a return of 7.8% for the MSCI EAFE Index and 14.8% for MSCI USA Index. Among the top emerging market performers for the year were Chile, up 44.2%; Malaysia, up 37.0%; South Africa, up 34.2%; Indonesia, up 33.9%; Mexico, up 27.6% and South Korea, up 26.7%. As we highlighted, there was strong divergence amongst European countries with Sweden and Denmark up 33.8% and 30.7%, respectively, while Greece, Spain, and Ireland posted negative returns of 44.9%, 22.0%, and 18.1%, respectively. The divergence in the Eurozone weighed on German returns which managed to post an increase of 8.4%. In Asia, there were also strong positive returns in Hong Kong, up 23.2%; Singapore, up 22.1%; and Japan, up 15.4%.
Country allocation remained the primary driver of performance for the year. Our long-term overweight exposure to Norway contributed positively to Portfolio performance. Norway has benefited from both the industrial cycle recovery and the rebound in the Energy sector. It is amongst the few developed economies we consider a “creditor nation” with strong public finances enabling the economy to maintain its superior fiscal position. Along with other Nordic countries, Denmark has contributed positively to our relative performance. A large factor was strong stock selection, including one of our largest holdings, Novo Nordisk, up 78.6% for the year. In addition to these Scandinavian economies, German shares, which represented the Portfolio’s largest overweight allocation relative to the benchmark, positively impacted performance, as better than expected growth translated to strong market returns with key exporters, BASF, up 32.5%, and Siemens, up 37.3%, positively impacting performance.(1)
A relative overweight in Chile contributed positively to the Portfolio’s performance, as the MSCI Chile Index was the top performing market index in the Portfolio’s country universe, up 44.2%. This strong Latin American economy achieved a declining unemployment rate, stronger domestic demand, and improving credit conditions despite a record magnitude earthquake in February. Although sovereign debt fears dominated other key economies in 2010, Chile, like many developing economies that we monitor, had made great strides over the last decade to reform its government, build sound institutions, balance its budget, etc. As a result, the Latin American country developed into a lower risk economy. Generally, investments in other emerging markets such as Chile’s Latin America neighbor, Mexico, helped performance due to strong links to the recovering U.S.
(continued)
20
Ohio National Fund, Inc. | International Portfolio (Continued) |
industrial economy, stabilizing domestic demand, and expectations for a global cyclical recovery. The economy of South Korea, another key overweight for the Portfolio, accelerated more than expected, along with other Asian economies, into a robust expansionary phase as the global recovery spurred demand for manufactured goods and automobiles. Our holdings in Hyundai Heavy Industries Co. Ltd. (up 162.0%) and Hyundai Motor Co. (up 47.1%) benefited as a result.(1)
The Portfolio’s weakest performing country on a relative basis was Italy, which negatively contributed to performance. Research indicated that Italy stood apart from its peripheral neighbors, as it is better situated to manage its debt going forward due to both a strong export sector and a large domestic investor base. However, investor concerns throughout the year of Eurozone contagion outweighed Italy’s relatively positive strengths.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2010. |
Change in Value of $10,000 Investment
MSCI All | ||||||||
Country World | ||||||||
Ex-USA Index | ||||||||
International Portfolio | (Net-USD) | |||||||
12/31/2000 | 10000 | 10000 | ||||||
06/30/2001 | 8294 | 8655 | ||||||
12/31/2001 | 7044 | 8027 | ||||||
06/30/2002 | 6655 | 7924 | ||||||
12/31/2002 | 5589 | 6827 | ||||||
06/30/2003 | 6013 | 7560 | ||||||
12/31/2003 | 7411 | 9614 | ||||||
06/30/2004 | 7590 | 9981 | ||||||
12/31/2004 | 8373 | 11624 | ||||||
06/30/2005 | 7981 | 11625 | ||||||
12/31/2005 | 9160 | 13556 | ||||||
06/30/2006 | 9985 | 14868 | ||||||
12/31/2006 | 10921 | 17169 | ||||||
06/30/2007 | 11850 | 19272 | ||||||
12/31/2007 | 11952 | 20028 | ||||||
06/30/2008 | 10563 | 17992 | ||||||
12/31/2008 | 6445 | 10910 | ||||||
06/30/2009 | 6905 | 12429 | ||||||
12/31/2009 | 8909 | 15432 | ||||||
06/30/2010 | 7911 | 13725 | ||||||
12/31/2010 | 10401 | 17153 |
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 December 31, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 100.4 | ||
Money Market Funds Less Net Liabilities | (0.4) | ||
100.0 | |||
Top 10 Portfolio Holdings as of December 31, 2010 (1) (2)
% of Net Assets | |||||||
1. | Novo Nordisk A/S | 3.2 | |||||
2. | Siemens AG | 3.1 | |||||
3. | Samsung Electronics Co. Ltd. | 2.7 | |||||
4. | America Movil SAB de CV – ADR | 2.7 | |||||
5. | Erste Group Bank AG | 2.2 | |||||
6. | Statoil ASA | 2.2 | |||||
7. | Yara International ASA | 1.8 | |||||
8. | BASF SE | 1.8 | |||||
9. | Danske Bank A/S | 1.8 | |||||
10. | Telenor ASA | 1.7 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. | |
(3) | Top 10 Country Weightings: |
% of Net Assets | |||
Germany | 19.5 | ||
Denmark | 12.7 | ||
South Korea | 12.4 | ||
Mexico | 10.3 | ||
Taiwan | 10.1 | ||
Norway | 9.2 | ||
Japan | 9.2 | ||
Austria | 4.0 | ||
Indonesia | 3.6 | ||
China | 2.3 |
22
Ohio National Fund, Inc. | International Portfolio |
Schedule of Investments | December 31, 2010 |
Common Stocks – 100.4% | Shares | Value | ||||||||
Germany – 19.5% | ||||||||||
Allianz SE | (b) | 27,000 | $ | 3,208,000 | ||||||
BASF SE | (b) | 47,400 | 3,782,633 | |||||||
Bayer AG | (b) | 13,600 | 1,008,125 | |||||||
Commerzbank AG | (a)(b) | 34,500 | 256,844 | |||||||
Continental AG | (a)(b) | 14,200 | 1,127,971 | |||||||
Daimler AG | (a)(b) | 38,400 | 2,598,313 | |||||||
Deutsche Bank AG | (b) | 29,250 | 1,529,647 | |||||||
Deutsche Lufthansa AG | (a)(b) | 25,600 | 556,866 | |||||||
Deutsche Telekom AG | (b) | 203,200 | 2,619,477 | |||||||
E.ON AG | (b) | 20,300 | 619,934 | |||||||
Fresenius SE | (b) | 17,200 | 1,443,319 | |||||||
GEA Group AG | (b) | 20,006 | 578,138 | |||||||
Hochtief AG | (b) | 14,600 | 1,237,664 | |||||||
Linde AG | (b) | 7,000 | 1,058,948 | |||||||
MAN SE | (b) | 9,000 | 1,071,946 | |||||||
Metro AG | (b) | 18,700 | 1,349,696 | |||||||
MTU Aero Engines Holding AG | (b) | 19,000 | 1,282,837 | |||||||
Muenchener Rueckversicherungs AG | (b) | 19,910 | 3,015,441 | |||||||
Puma AG Rudolf Dassler Sport | (c) | 4,150 | 1,375,320 | |||||||
SAP AG | (b) | 14,300 | 729,333 | |||||||
Siemens AG | (b) | 53,334 | 6,606,683 | |||||||
Suedzucker AG | (b) | 32,000 | 854,602 | |||||||
Vossloh AG | (b) | 11,100 | 1,410,901 | |||||||
Wacker Chemie AG | (b) | 3,800 | 662,510 | |||||||
Wincor Nixdorf AG | (b) | 18,000 | 1,473,463 | |||||||
41,458,611 | ||||||||||
Denmark – 12.7% | ||||||||||
AP Moller – Maersk A/S | (b) | 267 | 2,417,322 | |||||||
Carlsberg A/S | (b) | 21,550 | 2,163,090 | |||||||
Coloplast A/S | (b) | 7,800 | 1,059,965 | |||||||
Danisco A/S | (b) | 38,300 | 3,512,512 | |||||||
Danske Bank A/S | (a)(b) | 146,500 | 3,757,044 | |||||||
DSV A/S | (b) | 100,225 | 2,221,677 | |||||||
FLSmidth & Co. A/S | (b) | 4,000 | 382,720 | |||||||
GN Store Nord A/S | (a)(b) | 93,500 | 854,178 | |||||||
H Lundbeck A/S | (b) | 91,700 | 1,746,977 | |||||||
NKT Holding A/S | (b) | 11,300 | 602,937 | |||||||
Novo Nordisk A/S | (b) | 60,625 | 6,830,287 | |||||||
Royal Unibrew A/S | (a)(b) | 13,100 | 779,655 | |||||||
Sydbank A/S | (a)(b) | 30,400 | 826,829 | |||||||
27,155,193 | ||||||||||
South Korea – 12.4% | ||||||||||
Daewoo Shipbuilding & Marine Engineering Co. Ltd. | (a)(b) | 28,400 | 907,327 | |||||||
Dongkuk Steel Mill Co. Ltd. | (a)(b) | 20,500 | 632,865 | |||||||
Hana Financial Group, Inc. | (b) | 13,700 | 521,412 | |||||||
Hanwha Chemical Corp. | (a)(b) | 35,500 | 968,378 | |||||||
Hyundai Heavy Industries Co. Ltd. | (a)(b) | 4,000 | 1,559,065 | |||||||
Hyundai Motor Co. | (a)(b) | 14,700 | 2,244,387 | |||||||
Hyundai Steel Co. | (a)(b) | 5,800 | 635,342 | |||||||
KB Financial Group, Inc. | (a)(b) | 17,400 | 915,143 | |||||||
Kia Motors Corp. | (a)(b) | 33,800 | 1,505,589 | |||||||
KT Corp. – ADR | (a) | 49,900 | 1,037,920 | |||||||
LG Chem Ltd. | (a)(b) | 2,400 | 826,346 | |||||||
LG Electronics, Inc. | (a)(b) | 8,600 | 892,172 | |||||||
POSCO – ADR | 8,900 | 958,441 | ||||||||
Samsung Electro-Mechanics Co. Ltd. | (a)(b) | 7,600 | 828,501 | |||||||
Samsung Electronics Co. Ltd. | (b) | 6,850 | 5,720,681 | |||||||
Samsung Engineering Co. Ltd. | (a)(b) | 5,500 | 929,586 | |||||||
Samsung Heavy Industries Co. Ltd. | (a)(b) | 30,300 | 1,099,095 | |||||||
Samsung SDI Co. Ltd. | (a)(b) | 6,800 | 1,003,775 | |||||||
Shinhan Financial Group Co. Ltd. | (a)(b) | 16,800 | 781,183 | |||||||
SK Energy Co. Ltd. | (a)(b) | 7,200 | 1,229,110 | |||||||
Woongjin Coway Co. Ltd. | (a)(b) | 32,573 | 1,155,522 | |||||||
26,351,840 | ||||||||||
Mexico – 10.3% | ||||||||||
America Movil SAB de CV – ADR | 99,500 | 5,705,330 | ||||||||
Compartamos S.A.B. de CV | (a) | 200,000 | 434,980 | |||||||
Fomento Economico Mexicano SAB de CV – ADR | 45,400 | 2,538,768 | ||||||||
Grupo Aeroportuario del Sureste SAB de CV – ADR | 7,500 | 423,375 | ||||||||
Grupo Bimbo SAB de CV | 101,300 | 864,946 | ||||||||
Grupo Financiero Banorte SAB de CV | 337,000 | 1,601,773 | ||||||||
Grupo Financiero Inbursa SA | 162,500 | 713,684 | ||||||||
Grupo Mexico SAB de CV | 561,000 | 2,309,412 | ||||||||
Grupo Modelo SAB de CV | 126,883 | 788,524 | ||||||||
Grupo Televisa SA – ADR | (a) | 76,700 | 1,988,831 | |||||||
Industrias Penoles SAB de CV | 38,400 | 1,412,250 | ||||||||
Mexichem SAB de CV | 128,000 | 458,105 | ||||||||
Wal-Mart de Mexico SAB de CV | 970,400 | 2,772,908 | ||||||||
22,012,886 | ||||||||||
Taiwan – 10.1% | ||||||||||
Cathay Financial Holding Co. Ltd. | (b) | 1,248,500 | 2,213,971 | |||||||
China Steel Corp. | (b) | 500,000 | 574,305 | |||||||
Chinatrust Financial Holding Co. Ltd. | (b) | 1,038,400 | 762,044 | |||||||
Chunghwa Telecom Co. Ltd. | (b) | 210,000 | 534,136 | |||||||
CMC Magnetics Corp. | (a)(b) | 2,650,000 | 725,703 | |||||||
Coretronic Corp. | (b) | 420,000 | 686,350 | |||||||
Far Eastern New Century Corp. | (b) | 435,540 | 737,553 | |||||||
Formosa Chemicals & Fibre Corp. | (b) | 354,000 | 1,192,070 | |||||||
Formosa Petrochemical Corp. | (b) | 434,000 | 1,471,724 | |||||||
Formosa Plastics Corp. | (b) | 257,000 | 859,282 | |||||||
Gigabyte Technology Co. Ltd. | (b) | 345,000 | 362,560 | |||||||
Inventec Co. Ltd. | (b) | 1,381,550 | 781,696 | |||||||
Mega Financial Holding Co. Ltd. | (b) | 356,000 | 274,091 | |||||||
Micro-Star International Co. Ltd. | (b) | 1,050,000 | 617,350 | |||||||
Nan Ya Plastics Corp. | (b) | 474,000 | 1,181,949 | |||||||
Pou Chen Corp. | (b) | 1,281,200 | 1,183,587 | |||||||
Siliconware Precision Industries Co. | (b) | 909,000 | 1,088,755 | |||||||
Taiwan Semiconductor Manufacturing Co. Ltd. | (b) | 925,001 | 2,251,729 | |||||||
United Microelectronics Corp. | (b) | 3,885,000 | 2,174,539 | |||||||
Vanguard International Semiconductor Corp. | (b) | 1,630,000 | 826,820 | |||||||
Wan Hai Lines Ltd. | (a)(b) | 1,070,000 | 940,748 | |||||||
21,440,962 | ||||||||||
Norway – 9.2% | ||||||||||
Aker Solutions ASA | (b) | 47,000 | 801,849 | |||||||
DnB NOR ASA | (b) | 197,444 | 2,777,650 | |||||||
Fred Olsen Energy ASA | (b) | 50,200 | 2,229,658 | |||||||
Petroleum Geo-Services ASA | (a)(b) | 39,000 | 613,051 | |||||||
Statoil ASA | (b) | 200,000 | 4,763,609 | |||||||
Telenor ASA | (b) | 223,700 | 3,645,267 | |||||||
TGS Nopec Geophysical Co. ASA | (b) | 40,400 | 914,252 | |||||||
Yara International ASA | (b) | 67,600 | 3,934,914 | |||||||
19,680,250 | ||||||||||
Japan – 9.2% | ||||||||||
Ajinomoto Co., Inc. | (b) | 48,000 | 498,627 | |||||||
Asahi Kasei Corp. | (b) | 255,000 | 1,658,686 | |||||||
Astellas Pharma, Inc. | (b) | 8,000 | 304,043 | |||||||
Cosmo Oil Co. Ltd. | (b) | 153,000 | 499,662 | |||||||
Daiichi Sankyo Co. Ltd. | (b) | 35,000 | 764,434 | |||||||
Honda Motor Co. Ltd. | (b) | 22,000 | 868,313 | |||||||
JX Holdings, Inc. | (b) | 60,000 | 406,022 | |||||||
Kaneka Corp. | (b) | 182,000 | 1,257,463 | |||||||
Kao Corp. | (b) | 20,000 | 537,502 | |||||||
Kose Corp. | (b) | 11,995 | 309,790 | |||||||
Mitsubishi Chemical Holdings Corp. | (b) | 117,000 | 790,319 | |||||||
Mitsubishi Electric Corp. | (b) | 89,000 | 929,984 | |||||||
Mitsubishi Heavy Industries Ltd. | (b) | 200,000 | 748,698 | |||||||
Mitsui Chemicals, Inc. | (b) | 181,000 | 645,305 | |||||||
NEC Corp. | (b) | 261,000 | 780,912 | |||||||
Nomura Holdings, Inc. | (b) | 140,000 | 888,311 | |||||||
Rinnai Corp. | (b) | 10,000 | 609,613 |
(continued)
23
Ohio National Fund, Inc. | International Portfolio (Continued) |
Schedule of Investments | December 31, 2010 |
Common Stocks (Continued) | Shares | Value | ||||||||
Japan (continued) | ||||||||||
Sumitomo Corp. | (b) | 50,000 | $ | 703,863 | ||||||
Sumitomo Electric Industries Ltd. | (b) | 133,500 | 1,844,860 | |||||||
Suzuki Motor Corp. | (b) | 25,000 | 613,720 | |||||||
Takeda Pharmaceutical Co. Ltd. | (b) | 13,700 | 673,024 | |||||||
Tokuyama Corp. | (b) | 212,000 | 1,092,699 | |||||||
Toray Industries, Inc. | (b) | 80,000 | 476,922 | |||||||
Toshiba Corp. | (b) | 125,000 | 678,410 | |||||||
Ube Industries Ltd. | (b) | 340,000 | 1,018,103 | |||||||
19,599,285 | ||||||||||
Austria – 4.0% | ||||||||||
Erste Group Bank AG | (b) | 101,543 | 4,792,488 | |||||||
Raiffeisen Bank International AG | (b) | 32,800 | 1,806,773 | |||||||
Vienna Insurance Group AG | (b) | 37,200 | 1,938,859 | |||||||
8,538,120 | ||||||||||
Indonesia – 3.6% | ||||||||||
Adaro Energy Tbk PT | (b) | 2,400,000 | 678,254 | |||||||
Astra International Tbk PT | (b) | 185,000 | 1,118,033 | |||||||
Bank Central Asia Tbk PT | (b) | 880,000 | 623,951 | |||||||
Bank Mandiri Tbk PT | (b) | 540,000 | 388,305 | |||||||
Bank Negara Indonesia Persero Tbk PT | (b) | 903,500 | 387,707 | |||||||
Bank Rakyat Indonesia Persero Tbk PT | (b) | 320,000 | 372,235 | |||||||
Indofood Sukses Makmur Tbk PT | (b) | 1,020,000 | 550,748 | |||||||
International Nickel Indonesia Tbk PT | (b) | 1,440,000 | 777,483 | |||||||
Perusahaan Gas Negara Tbk PT | (b) | 1,060,000 | 520,049 | |||||||
Tambang Batubara Bukit Asam Tbk PT | (b) | 170,000 | 432,229 | |||||||
Telekomunikasi Indonesia Tbk PT | 17,200 | 613,181 | ||||||||
Unilever Indonesia Tbk PT | (b) | 275,000 | 503,051 | |||||||
United Tractors Tbk PT | (b) | 226,050 | 596,184 | |||||||
7,561,410 | ||||||||||
China – 2.3% | ||||||||||
China Construction Bank Corp. | (b) | 920,200 | 827,906 | |||||||
China Oilfield Services Ltd. | (b) | 423,000 | 910,454 | |||||||
Dongfeng Motor Group Co. Ltd. | (b) | 514,000 | 886,566 | |||||||
Industrial & Commercial Bank of China | (b) | 778,525 | 577,572 | |||||||
Jiangsu Expressway Co. Ltd. | (b) | 946,000 | 1,084,972 | |||||||
Ping An Insurance Group Co. of China Ltd. | (b) | 59,000 | 657,023 | |||||||
4,944,493 | ||||||||||
Bermuda – 2.1% | ||||||||||
Frontline Ltd. | (b) | 64,100 | 1,662,130 | |||||||
Golden Ocean Group Ltd. | (b) | 566,600 | 794,468 | |||||||
Seadrill Ltd. | (b) | 62,100 | 2,118,428 | |||||||
4,575,026 | ||||||||||
Luxembourg – 1.5% | ||||||||||
Acergy SA | (b) | 126,900 | 3,120,898 | |||||||
Hong Kong – 1.2% | ||||||||||
Beijing Enterprises Holdings Ltd. | (b) | 55,000 | 339,125 | |||||||
China Mobile Ltd. | (b) | 120,000 | 1,190,554 | |||||||
CNOOC Ltd. | (b) | 456,800 | 1,093,229 | |||||||
2,622,908 | ||||||||||
Cayman Islands – 1.2% | ||||||||||
Belle International Holdings Ltd. | (b) | 435,000 | 732,526 | |||||||
Subsea 7, Inc. | (a)(b) | 42,000 | 1,101,787 | |||||||
Tencent Holdings Ltd. | (b) | 35,700 | 784,663 | |||||||
2,618,976 | ||||||||||
Sweden – 0.6% | ||||||||||
Nordea Bank AB | (b) | 112,000 | 1,217,759 | |||||||
Cyprus – 0.5% | ||||||||||
Songa Offshore SE | (a)(b) | 180,000 | 971,745 | |||||||
Total Common Stocks (Cost $160,025,222) | $ | 213,870,362 | ||||||||
Money Market Funds – 1.6% | Shares | Value | ||||||||
State Street Institutional Liquid Reserves Fund Institutional Class 2 | 3,417,131 | $ | 3,417,131 | |||||||
Total Money Market Funds (Cost $3,417,131) | $ | 3,417,131 | ||||||||
Face | Amortized | |||||||||
U.S. Treasury Obligations – 0.0% | Amount | Cost | ||||||||
U.S. Treasury Bill 0.000% Coupon, 0.010% Effective Yield, 03/24/2011 | (d) | $ | 100,000 | $ | 99,969 | |||||
Total U.S. Treasury Obligations (Cost $99,969) | $ | 99,969 | ||||||||
Total Investments – 102.0% (Cost $163,542,322) | (e) | $ | 217,387,462 | |||||||
Liabilities in Excess of Other Assets – (2.0)% | (4,301,670 | ) | ||||||||
Net Assets – 100.0% | $ | 213,085,792 | ||||||||
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depositary Receipt
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 $187,872,614 or 88.2% 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 $1,375,320 or 0.6% 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 December 31, 2010. See also Note 6 of the Notes to Financial Statements. |
(continued)
24
Ohio National Fund, Inc. | International Portfolio (Continued) |
Schedule of Investments | December 31, 2010 |
(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 | 17.9% | ||
Industrials | 15.0% | ||
Materials | 13.7% | ||
Energy | 11.7% | ||
Information Technology | 10.1% | ||
Consumer Discretionary | 8.9% | ||
Consumer Staples | 8.5% | ||
Telecommunication Services | 7.2% | ||
Health Care | 6.9% | ||
Utilities | 0.5% | ||
100.4% | |||
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 December 31, 2010
Average Annual Total Returns: | ||||
One year | 16.99% | |||
Five years | 4.25% | |||
Ten years | 5.33% |
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 year ended December 31, 2010, the Capital Appreciation Portfolio returned 16.99% versus 15.06% for the current benchmark, the S&P 500 Index.
Within the Portfolio, nearly every sector advanced, with the Consumer Discretionary, Energy, Industrials, and Materials sectors each returning more than 25%. Utilities was the one Portfolio sector that ended the year with losses. Advances in the S&P 500 Index exceeded 20% in the Consumer Discretionary, Industrials, Materials, and Energy sectors. Returns were considerably more modest in Health Care and Utilities.
The Consumer Discretionary sector benefited absolute return the most and was a source of positive performance versus the broad market index. Noteworthy contributors included media holding Liberty Global, Inc., gaming and casino operator Pinnacle Entertainment, Inc., and auto components position Lear Corp. Liberty Global, Inc., an international cable operator offering advanced video, voice and broadband Internet services, advanced 55% in 2010. In the most recent quarter, Liberty Global, Inc. reported what we considered strong third-quarter results, with continued acceleration of operating cash flow growth, a key metric. Additionally, the three key markets of Germany, the Netherlands, and Switzerland all showed revenue acceleration relative to earlier this year. Switzerland, which had been shrinking for the past two years, finally returned to growth. We also view positively Liberty Global, Inc.’s December purchase of Aster, Poland’s fourth largest cable operator. In our opinion, this represents a continuation of the company’s strategy to acquire high-growth European cable assets and consolidates Liberty Global, Inc.’s existing holdings in Poland. With its free cash flow, Liberty Global, Inc. continues to repurchase stock, which amounted to 10% of the company during the year. We trimmed the position by nearly 40% in the fourth quarter as the stock appreciated and are maintaining a smaller position size. We still think the stock is trading at a significant discount to our estimate of private market value.(1)
Top ten weighted Pinnacle Entertainment, Inc. operates gaming facilities in Louisiana, Missouri, Indiana, and Nevada. Shares of the company rose after it reported strong third-quarter results. Pinnacle Entertainment, Inc. beat EBITDA (earnings before interest, taxes, depreciation and amortization) expectations by almost 20% with minimal organic revenue growth. We continue to believe Pinnacle Entertainment, Inc.’s new management team will improve margins through smarter marketing, concentrating on L’Auberge du Lac in Lake Charles and its St. Louis Operations, allocating capital prudently, and selling non-core businesses (potentially Atlantic City and Reno land). We believe Pinnacle Entertainment, Inc., which is trading at a substantial discount to our estimate of the company’s net asset value, should continue to outperform as revenue growth materializes, leading to substantial operating leverage.(1)
Losses in H&R Block, Inc. offset a small portion of the Portfolio’s gains in the Consumer Discretionary sector. We sold approximately 40% of our position in H&R Block, Inc. in 2010 prior to the February sell-off, which mitigated the stock’s negative performance impact. H&R Block, Inc. fell as the company prepared fewer tax returns in the early tax season than originally projected at the fall analyst day, a direct result of the recession, continued high unemployment, and the inclement weather in early 2010 relative to 2009. As a result, the company did not reach the previously announced guidance for fiscal 2010 earnings. We closed the position in July.(1)
Security selection in Energy was particularly strong and was the biggest source of positive relative return. Arch Coal, Inc., Weatherford International Ltd., Schlumberger Ltd., and Newfield Exploration Co. were stellar performers. Since establishing a position in Arch Coal, Inc. in June, the stock has gained more than 70%. Arch Coal, Inc. is among the top producers in the Powder River Basin (PRB), which we believe will be in great demand over the coming years. Its acquisition of Rio Tinto’s Jacobs Ranch has increased its PRB market share while gaining operating synergies. We continue to like the company’s focus on strengthening the balance sheet, tremendous free cash flow generation, exposure to international coal markets, and reserve/production profile. Our outlook for the global demand for coal remains bullish, and while inventories are still above normal five-year levels, they have trended down from recession highs and production in the central Appalachian region continues to shrink, creating a favorable pricing environment.(1)
Materials and Industrials also added to absolute return and outperformed the corresponding sectors of the S&P 500 Index. Ferro Corp., which produces value added specialty chemicals/materials for use among various end markets including construction, remodeling, electronics, autos, containers, and other industry was the top contributor. From our initial purchase in November 2009 through our final sell in November 2010, the stock advanced 157%. The company’s massive cost cutting combined with significant volume leverage drove improved profitability. Second-quarter earnings easily surpassed consensus expectations, driven by significantly higher sales and margins, especially in the electronic materials sub-division. German tariffs on solar materials were set at levels that allowed continued year-over-year growth in 2010. Ferro Corp. also revamped its debt profile during the third quarter by extending the maturities of its debt and lowering its financing costs.(1)
Individual stock disappointments included Information Technology stocks Cisco Systems, Inc. and Adobe Systems, Inc. Shares of Cisco Systems, Inc. fell after the company had a strong fiscal first quarter, but CEO John Chambers issued a weaker revenue outlook than what investors anticipated due to slow economic growth. We reduced our position in Cisco Systems, Inc. due to what we considered a narrower risk/reward. During the third quarter, Cisco Systems, Inc. gained market share in the router space and its board authorized up to $10 billion in additional repurchases of its common stock. The
(continued)
26
Ohio National Fund, Inc. | Capital Appreciation Portfolio (Continued) |
board had previously authorized up to $72 billion in stock repurchases. Cisco Systems, Inc. provides routers and switches used to direct data, voice, and video traffic. Other products include remote access servers, IP telephony equipment, optical networking components, Internet conferencing systems, set-top boxes, and network service and security systems.(1)
Software company Adobe Systems, Inc. declined sharply after it issued disappointing guidance for its fiscal fourth quarter. The lackluster projections prompted several Wall Street analysts to reduce their earnings estimates and cut their ratings on the stock. Adobe Systems, Inc. reported a 69% year-over-year increase in fiscal third-quarter earnings and sequential operating margin expansion of 300 basis points, but the company said that it expected fiscal fourth-quarter revenue and adjusted earnings to come in below consensus expectations. In the third quarter, Adobe Systems, Inc.’s updated Creative Suite software package, CS5, managed sequential revenue growth of only 3%, but is still up 21% from the previous CS4 version over a similar timeframe. Fourth-quarter revenue from the product is expected to be flat, largely due to weakness in the education, government and Japanese markets. We had thought that CS5 sales would be spurred by pent-up demand from existing customers, as many skipped the CS4 upgrade and currently use software that is 3-5 years old. We closed the position in December.(1)
The five best performers were Ferro Corp., Arch Coal, Inc., Tyson Foods Inc., Akamai Technologies, Inc., and Pinnacle Entertainment, Inc. The five worst performers were H&R Block, Inc., Gilead Sciences, Inc., Monsanto Co., Medco Health Solutions, Inc., and Suncor Energy, Inc. The five largest detractors were H&R Block, Inc., Cisco Systems, Inc., Gilead Sciences, Inc., Adobe Systems, Inc., and NRG Energy Inc. The five largest contributors were Ferro Corp., Arch Coal, Inc., Liberty Global, Inc., Pinnacle Entertainment, Inc., and Lear Corp.(1)
As 2010 drew to a close, most economists raised their economic growth projections. The current consensus is that the U.S. economy will expand at a rate of 3% or more in 2011. Growth of this magnitude would likely begin to chip away at the unemployment rate, which was 9.8% in November.
Several elements of uncertainty have receded over the past year. First, the new division of political power in Washington makes new wide-ranging regulatory reform initiatives, on top of the health care and financial legislation of 2010, highly unlikely over the next couple of years. Second, the recent clarification of tax structure allows businesses to plan and invest with new tax-saving abilities designed to spur both additional capital spending and hiring as sales recovery continues. Third, declines in the residential real estate market appear to have reached a trough. These factors, combined with the strong two-year recovery in equities, suggest a substantial improvement in the wealth effect and its favorable attendant consequences. A modest reduction in the pace of consumer de-leveraging would not be an unlikely outcome.
Corporations ended 2010 with record amounts of cash on their balance sheets, which bodes well for increased capital investment, dividends, share buybacks, and mergers and acquisitions. Robust, albeit slower, profits growth is expected for most industries and companies as the markets look toward further gains in 2011.
Although the direction the new Congress will take is yet unclear, it seems possible that fiscal restraint and, perhaps, spending reform will gain the upper hand. A consensus that budget deficits and U.S. debt growth are unsustainable seems to be building.
Overall, optimism about the U.S. economy and stock market seems justified. Of course, expectations for solid performance are now somewhat discounted after two years of strong gains. We continue to look for new ideas that have compelling risk/rewards with catalysts that should effectively realize stocks’ full market value over the next twelve to twenty four months. The Portfolio contains both company-specific, catalyst-driven ideas, as well as stocks in industries with secular and cyclical fundamental improvements. In our opinion, stock selection is the key driver to outperforming market indexes.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2010. |
Change in Value of $10,000 Investment
Capital Appreciation | S&P 500 | |||||||
Portfolio | Index | |||||||
12/31/2000 | 10000 | 10000 | ||||||
06/30/2001 | 11007 | 9330 | ||||||
12/31/2001 | 10967 | 8811 | ||||||
06/30/2002 | 9875 | 7652 | ||||||
12/31/2002 | 8757 | 6864 | ||||||
06/30/2003 | 9592 | 7671 | ||||||
12/31/2003 | 11518 | 8833 | ||||||
06/30/2004 | 11953 | 9137 | ||||||
12/31/2004 | 12958 | 9794 | ||||||
06/30/2005 | 12616 | 9715 | ||||||
12/31/2005 | 13640 | 10275 | ||||||
06/30/2006 | 14439 | 10553 | ||||||
12/31/2006 | 15873 | 11898 | ||||||
06/30/2007 | 17822 | 12726 | ||||||
12/31/2007 | 16480 | 12552 | ||||||
06/30/2008 | 14820 | 11056 | ||||||
12/31/2008 | 10052 | 7908 | ||||||
06/30/2009 | 11696 | 8158 | ||||||
12/31/2009 | 14358 | 10001 | ||||||
06/30/2010 | 13585 | 9335 | ||||||
12/31/2010 | 16798 | 11507 |
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 December 31, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 97.6 | ||
Money Market Funds Less Net Liabilities | 2.4 | ||
100.0 | |||
Top 10 Portfolio Holdings as of December 31, 2010 (1) (2)
% of Net Assets | |||||||
1. | Pinnacle Entertainment, Inc. | 2.5 | |||||
2. | Schlumberger Ltd. | 2.4 | |||||
3. | Lear Corp. | 2.4 | |||||
4. | Viacom, Inc. Class B | 2.2 | |||||
5. | Pfizer, Inc. | 2.2 | |||||
6. | Goldcorp, Inc. | 2.2 | |||||
7. | Goldman Sachs Group, Inc. / The | 2.1 | |||||
8. | Weatherford International Ltd. | 2.1 | |||||
9. | Apache Corp. | 2.0 | |||||
10. | JPMorgan Chase & Co. | 2.0 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Consumer Discretionary | 19.4 | ||
Financials | 18.2 | ||
Energy | 17.1 | ||
Industrials | 11.4 | ||
Health Care | 10.6 | ||
Information Technology | 9.9 | ||
Consumer Staples | 6.9 | ||
Materials | 4.1 | ||
97.6 | |||
28
Ohio National Fund, Inc. | Capital Appreciation Portfolio |
Schedule of Investments | December 31, 2010 |
Common Stocks – 97.6% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 19.4% | ||||||||||
Lear Corp. (Auto Components) | (a) | 31,800 | $ | 3,138,978 | ||||||
Apollo Group, Inc. Class A (Diversified Consumer Svs.) | (a) | 15,981 | 631,090 | |||||||
International Game Technology (Hotels, Restaurants & Leisure) | 113,513 | 2,008,045 | ||||||||
Pinnacle Entertainment, Inc. (Hotels, Restaurants & Leisure) | (a) | 230,054 | 3,225,357 | |||||||
Yum! Brands, Inc. (Hotels, Restaurants & Leisure) | 35,026 | 1,718,025 | ||||||||
Ryland Group, Inc. (Household Durables) | 84,338 | 1,436,276 | ||||||||
Comcast Corp. Class A (Media) | 108,533 | 2,258,572 | ||||||||
Liberty Global, Inc. (Media) | (a) | 35,527 | 1,204,010 | |||||||
News Corp. Class A (Media) | 95,710 | 1,393,538 | ||||||||
Viacom, Inc. Class B (Media) | 72,250 | 2,861,823 | ||||||||
Vivendi SA (Media) | (b) | 69,409 | 1,875,546 | |||||||
Warner Music Group Corp. (Media) | (a) | 212,500 | 1,196,375 | |||||||
GameStop Corp. Class A (Specialty Retail) | (a) | 100,395 | 2,297,038 | |||||||
25,244,673 | ||||||||||
CONSUMER STAPLES – 6.9% | ||||||||||
Wal-Mart Stores, Inc. (Food & Staples Retailing) | 44,200 | 2,383,706 | ||||||||
Bunge Ltd. (Food Products) | 32,179 | 2,108,368 | ||||||||
ConAgra Foods, Inc. (Food Products) | 58,514 | 1,321,246 | ||||||||
Kraft Foods, Inc. Class A (Food Products) | 66,756 | 2,103,482 | ||||||||
Tyson Foods, Inc. Class A (Food Products) | 57,137 | 983,899 | ||||||||
8,900,701 | ||||||||||
ENERGY – 17.1% | ||||||||||
Cameron International Corp. (Energy Equip. & Svs.) | (a) | 40,781 | 2,068,820 | |||||||
Schlumberger Ltd. (Energy Equip. & Svs.) | 37,639 | 3,142,857 | ||||||||
Weatherford International Ltd. (Energy Equip. & Svs.) | (a) | 117,620 | 2,681,736 | |||||||
Apache Corp. (Oil, Gas & Consumable Fuels) | 21,739 | 2,591,941 | ||||||||
Arch Coal, Inc. (Oil, Gas & Consumable Fuels) | 65,884 | 2,309,893 | ||||||||
Cabot Oil & Gas Corp. (Oil, Gas & Consumable Fuels) | 42,168 | 1,596,059 | ||||||||
Consol Energy, Inc. (Oil, Gas & Consumable Fuels) | 47,073 | 2,294,338 | ||||||||
Newfield Exploration Co. (Oil, Gas & Consumable Fuels) | (a) | 25,100 | 1,809,961 | |||||||
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 20,791 | 2,039,597 | ||||||||
Southwestern Energy Co. (Oil, Gas & Consumable Fuels) | (a) | 42,720 | 1,599,010 | |||||||
22,134,212 | ||||||||||
FINANCIALS – 18.2% | ||||||||||
Charles Schwab Corp. / The (Capital Markets) | 128,328 | 2,195,692 | ||||||||
Goldman Sachs Group, Inc. / The (Capital Markets) | 16,320 | 2,744,371 | ||||||||
Lazard Ltd. Class A (Capital Markets) | 50,660 | 2,000,563 | ||||||||
Wells Fargo & Co. (Commercial Banks) | 63,737 | 1,975,210 | ||||||||
Citigroup, Inc. (Diversified Financial Svs.) | (a) | 184,739 | 873,815 | |||||||
JPMorgan Chase & Co. (Diversified Financial Svs.) | 60,671 | 2,573,664 | ||||||||
Moody’s Corp. (Diversified Financial Svs.) | 83,394 | 2,213,277 | ||||||||
Axis Capital Holdings Ltd. (Insurance) | 52,946 | 1,899,703 | ||||||||
Marsh & McLennan Cos., Inc. (Insurance) | 74,371 | 2,033,303 | ||||||||
Symetra Financial Corp. (Insurance) | 115,402 | 1,581,007 | ||||||||
Travelers Cos., Inc. / The (Insurance) | 35,233 | 1,962,830 | ||||||||
Validus Holdings Ltd. (Insurance) | 49,538 | 1,516,358 | ||||||||
23,569,793 | ||||||||||
HEALTH CARE – 10.6% | ||||||||||
Amgen, Inc. (Biotechnology) | (a) | 39,764 | 2,183,044 | |||||||
Gilead Sciences, Inc. (Biotechnology) | (a) | 49,887 | 1,807,905 | |||||||
Hologic, Inc. (Health Care Equip. & Supplies) | (a) | 27,603 | 519,488 | |||||||
Thermo Fisher Scientific, Inc. (Life Sciences Tools & Svs.) | (a) | 31,590 | 1,748,822 | |||||||
Abbott Laboratories (Pharmaceuticals) | 13,910 | 666,428 | ||||||||
Merck & Co., Inc. (Pharmaceuticals) | 58,165 | 2,096,267 | ||||||||
Pfizer, Inc. (Pharmaceuticals) | 162,163 | 2,839,474 | ||||||||
Watson Pharmaceuticals, Inc. (Pharmaceuticals) | (a) | 36,066 | 1,862,809 | |||||||
13,724,237 | ||||||||||
INDUSTRIALS – 11.4% | ||||||||||
Teledyne Technologies, Inc. (Aerospace & Defense) | (a) | 30,290 | 1,331,851 | |||||||
HUB Group, Inc. Class A (Air Freight & Logistics) | (a) | 20,974 | 737,026 | |||||||
JetBlue Airways Corp. (Airlines) | (a) | 278,839 | 1,843,126 | |||||||
Republic Services, Inc. (Commercial Svs. & Supplies) | 57,899 | 1,728,864 | ||||||||
Dover Corp. (Machinery) | 35,315 | 2,064,162 | ||||||||
Ingersoll-Rand PLC (Machinery) | 52,449 | 2,469,823 | ||||||||
CSX Corp. (Road & Rail) | 39,581 | 2,557,328 | ||||||||
RSC Holdings, Inc. (Trading Companies & Distributors) | (a) | 210,635 | 2,051,585 | |||||||
14,783,765 | ||||||||||
INFORMATION TECHNOLOGY – 9.9% | ||||||||||
Cisco Systems, Inc. (Communications Equip.) | (a) | 67,156 | 1,358,566 | |||||||
Dell, Inc. (Computers & Peripherals) | (a) | 149,081 | 2,020,048 | |||||||
Flextronics International Ltd. (Electronic Equip., Instr. & Comp.) | (a) | 117,264 | 920,522 | |||||||
IAC/InterActiveCorp (Internet Software & Svs.) | (a) | 50,127 | 1,438,645 | |||||||
SAIC, Inc. (IT Svs.) | (a) | 80,900 | 1,283,074 | |||||||
Intel Corp. (Semiconductors & Equip.) | 78,156 | 1,643,621 | ||||||||
Marvell Technology Group Ltd. (Semiconductors & Equip.) | (a) | 101,111 | 1,875,609 | |||||||
Xilinx, Inc. (Semiconductors & Equip.) | 36,934 | 1,070,347 | ||||||||
Symantec Corp. (Software) | (a) | 77,899 | 1,304,029 | |||||||
12,914,461 | ||||||||||
MATERIALS – 4.1% | ||||||||||
Celanese Corp. (Chemicals) | 36,002 | 1,482,202 | ||||||||
Goldcorp, Inc. (Metals & Mining) | 61,100 | 2,809,378 | ||||||||
Randgold Resources Ltd. – ADR (Metals & Mining) | 13,360 | 1,099,929 | ||||||||
5,391,509 | ||||||||||
Total Common Stocks (Cost $109,105,245) | $ | 126,663,351 | ||||||||
Money Market Funds – 4.1% | Shares | Value | ||||||||
Fidelity Institutional Money Market Funds | ||||||||||
Money Market Portfolio – Class I | 5,331,000 | $ | 5,331,000 | |||||||
Total Money Market Funds (Cost $5,331,000) | $ | 5,331,000 | ||||||||
Total Investments – 101.7% (Cost $114,436,245) | (c) | $ | 131,994,351 | |||||||
Liabilities in Excess of Other Assets – (1.7)% | (2,193,292 | ) | ||||||||
Net Assets – 100.0% | $ | 129,801,059 | ||||||||
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depositary Receipts
Footnotes:
(a) | Non-income producing security. | |
(b) | Security traded on a foreign exchange has been valued at an estimate of fair value that is different than the local market close price. These fair value estimates are determined by an independent national fair valuation service that has been approved by the Board. These securities represent $1,875,546 or 1.4% 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 December 31, 2010
Average Annual Total Returns: | ||||
One year | 24.30% | |||
Five years | 3.15% | |||
Ten years | -0.21% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the year ended December 31, 2010, the Millennium Portfolio returned 24.30% versus 29.09% for the current benchmark, the Russell 2000 Growth Index.
2010 was a volatile year with three distinct periods highlighting this volatility. In the first few months of 2010 the index rose meaningfully, as many of the same factors powering 2009 results extended into 2010. The index then gave back these gains in the late spring and summer as concern over the weakening Euro and sovereign debt weighed heavily on our domestic markets. Finally, in August, Federal Reserve Chairman Bernanke’s commentary relating to Quantitative Easing re-ignited the markets, especially long-duration asset classes such as small cap equities. Additionally, the Republicans gained ground in the November elections resulting in a more neutral regulatory stance out of Washington, the White House in particular. These factors, combined with an extension of Bush-era tax cuts, laid out a nice backdrop for the equity markets in the fourth quarter.
Even though corporate profitability has shown respectable gains in 2010, future rates of growth will likely slow going forward into 2011. Corporate America has done a good job of cutting costs and boosting margins while at the same time greatly improving balance sheets. Future earnings gains will likely be more dependent on top-line gains as opposed to margin improvement where cost-cutting efforts have already been implemented. Coming out of the downturn, earnings per share (“EPS”) gains have been impressive, especially from many of the lower quality, small cap companies that were punished the hardest as the economy receded. We are at the point in the economic cycle where typically “the torch is passed” from lower quality companies to the truly great high quality growth companies that have an ability to post solid organic gains, even in a slower growth environment.
Although up substantially in absolute terms, the Portfolio underperformed the Russell 2000 Growth Index as our larger market capitalization and lower beta strategy continued to present stylistic challenges. While there are always opportunities to improve performance, many lower quality factors continued to dominate index returns for the second year in a row. For example, in our Portfolio approximately 75% of the holdings had a market cap in excess of $1 billion versus roughly 25% for the index. This larger market capitalization bucket within the index underperformed the $500 million to less than $1 billion category substantially, presenting a clear headwind. We had expected 2010 to look more like 2004, whereby in the second year after a recovery higher-quality growth strategies such as ours typically perform better. The steep bear market in 2008 combined with a very accommodative Federal Reserve, we think, led to an extended rally in lower quality equities for the second year in a row. We envision that 2011 could be a fundamentally-driven year in the small-cap growth universe, whereby our style should be well-rewarded.
Relative out-performance in Health Care, Energy, and Consumer Staples was offset by relative underperformance in the Consumer Discretionary and Information Technology sectors. Health Care benefited from a variety of factors including two holdings, ev3, Inc. and Odyssey Healthcare, Inc., which were taken over. Within Energy, our bias towards on-shore high production growth names paid-off. Rosetta Resources, Inc., Brigham Exploration Co., and Concho Resources, Inc. did well. We were able to find a couple of high-growth Consumer Staples names in Diamond Foods, Inc. and The Fresh Market, Inc. that showed nice appreciation. In Consumer Discretionary, the biggest detractors were education names such as Capella Education Co. Intense regulatory scrutiny has put pressure on price-to-earnings multiples in the group, which Capella Education Co. could not overcome. Within Information Technology, various performance issues negatively effected Compellant Technologies, Inc., Atheros Communications, Inc., and Plexus Corp., which pressured performance in this sector. (1)
From an economic standpoint, signs that unemployment is gradually improving and housing is not getting much worse, along with positive commentary from Corporate America, are being well-received. Despite this progress, we think economic growth may be uneven as the easy gains coming out of the recession have already been booked. We believe that Gross Domestic Product will continue to rise in 2011, albeit at a slower rate compared to past recovery periods. Equity markets should continue to be volatile as traders may want to extrapolate longer-term trends from erratic shorter-term data points.
The Portfolio is currently over-weighted in the Energy sector and slightly over-weighted in Information Technology relative to the index. As is always the case, given our style, weightings are derived on a bottom-up basis where we try to be opportunistic as we look for small cap growth stocks. That being said, in Information Technology we tend to favor software, Internet, iPhone/iPad-related stocks and are generally less optimistic about semiconductors. Within Energy, our primary focus is on-shore production companies that have the potential to grow rapidly. We have a bias towards on-shore production as it tends to be less volatile and generally own small positions in the service industry. We remain relatively underweighted in Financials as it is difficult to find rapid earnings growth in a sector dominated by banks.(1)
Our bottom-up stock picking process many times tends to uncover “themes”, whereby a number of individual equities in the Portfolio may be related. For example, there are a number of holdings in the Portfolio that are related to technology outsourcing and health care cost savings. Newer themes such as mobile computing should continue to have traction. A clear trend towards consumers demanding easy wireless Internet access through smart-phones and tablets is an important investable theme. We own stock in companies that enable wireless access as well as those that sell “apps” on iPhones/iPads. We should not overlook the need for long duration battery-related companies which are also part of this
(continued)
30
Ohio National Fund, Inc. | Millennium Portfolio (Continued) |
theme. While companies like Apple, Inc. are clearly too large for a small cap growth fund, rest assured that there are many interesting smaller companies that can also benefit from these macro trends.(1)
In an environment where future EPS gains likely will be more difficult to come by as compared to the past couple of years coming out of a recession, we believe our higher-quality style should be ideally suited. We tend to own stock in companies with higher organic growth rates that are less cyclical. Many of these higher-quality names have been out of favor over the past couple of years as, coming out of the recession, lower-quality small cap stocks have tended to lead the market. Many of these lower-quality names have already doubled over the past couple of years. Historically, this is the point in the cycle where high-quality names typically outperform. As we look across our sector weights and individual holdings, we are optimistic that our style should do well in the expected environment going forward.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2010. |
Change in Value of $10,000 Investment
Russell 2000 | ||||||||
Millennium Portfolio | Growth Index | |||||||
12/31/2000 | 10000 | 10000 | ||||||
06/30/2001 | 9090 | 10004 | ||||||
12/31/2001 | 8164 | 9077 | ||||||
06/30/2002 | 6752 | 7503 | ||||||
12/31/2002 | 5492 | 6330 | ||||||
06/30/2003 | 6169 | 7554 | ||||||
12/31/2003 | 7560 | 9403 | ||||||
06/30/2004 | 7903 | 9937 | ||||||
12/31/2004 | 8386 | 10748 | ||||||
06/30/2005 | 8183 | 10363 | ||||||
12/31/2005 | 8386 | 11195 | ||||||
06/30/2006 | 8635 | 11874 | ||||||
12/31/2006 | 9005 | 12689 | ||||||
06/30/2007 | 10419 | 13873 | ||||||
12/31/2007 | 11349 | 13583 | ||||||
06/30/2008 | 9985 | 12370 | ||||||
12/31/2008 | 6521 | 8348 | ||||||
06/30/2009 | 6702 | 9296 | ||||||
12/31/2009 | 7881 | 11226 | ||||||
06/30/2010 | 7677 | 10966 | ||||||
12/31/2010 | 9795 | 14491 |
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)
31
Ohio National Fund, Inc. | Millennium Portfolio (Continued) |
Portfolio Composition as of December 31, 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 December 31, 2010 (1) (2)
% of Net Assets | |||||||
1. | Ultimate Software Group, Inc. | 2.9 | |||||
2. | HEICO Corp. | 2.4 | |||||
3. | IPC The Hospitalist Co., Inc. | 2.1 | |||||
4. | Gaylord Entertainment Co. | 2.0 | |||||
5. | Sirona Dental Systems, Inc. | 1.9 | |||||
6. | Steiner Leisure Ltd. | 1.8 | |||||
7. | Hibbett Sports, Inc. | 1.8 | |||||
8. | SS&C Technologies Holdings., Inc. | 1.8 | |||||
9. | Diamond Foods, Inc. | 1.7 | |||||
10. | The Pep Boys-Manny, Moe & Jack | 1.7 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Information Technology | 27.4 | ||
Industrials | 17.8 | ||
Consumer Discretionary | 17.5 | ||
Health Care | 17.1 | ||
Energy | 6.6 | ||
Materials | 6.1 | ||
Consumer Staples | 4.3 | ||
Financials | 2.1 | ||
98.9 | |||
32
Ohio National Fund, Inc. | Millennium Portfolio |
Schedule of Investments | December 31, 2010 |
Common Stocks – 98.9% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 17.5% | ||||||||||
Steiner Leisure Ltd. (Diversified Consumer Svs.) | (a) | 16,500 | $ | 770,550 | ||||||
7 Days Group Holdings Ltd. – ADR (Hotels, Restaurants & Leisure) | (a) | 22,800 | 485,640 | |||||||
Gaylord Entertainment Co. (Hotels, Restaurants & Leisure) | (a) | 23,200 | 833,808 | |||||||
Orient-Express Hotels Ltd. Class A (Hotels, Restaurants & Leisure) | (a) | 37,100 | 481,929 | |||||||
Texas Roadhouse, Inc. (Hotels, Restaurants & Leisure) | (a) | 26,900 | 461,873 | |||||||
hhgregg, Inc. (Specialty Retail) | (a) | 16,000 | 335,200 | |||||||
Hibbett Sports, Inc. (Specialty Retail) | (a) | 20,500 | 756,450 | |||||||
The Pep Boys – Manny, Moe & Jack (Specialty Retail) | 52,600 | 706,418 | ||||||||
Tractor Supply Co. (Specialty Retail) | 13,700 | 664,313 | ||||||||
Vitamin Shoppe, Inc. (Specialty Retail) | (a) | 18,900 | 635,796 | |||||||
Deckers Outdoor Corp. (Textiles, Apparel & Luxury Goods) | (a) | 5,800 | 462,492 | |||||||
Steven Madden Ltd. (Textiles, Apparel & Luxury Goods) | (a) | 9,350 | 390,082 | |||||||
Warnaco Group, Inc. / The (Textiles, Apparel & Luxury Goods) | (a) | 7,200 | 396,504 | |||||||
7,381,055 | ||||||||||
CONSUMER STAPLES – 4.3% | ||||||||||
Fresh Market, Inc. / The (Food & Staples Retailing) | (a) | 16,000 | 659,200 | |||||||
Diamond Foods, Inc. (Food Products) | 13,800 | 733,884 | ||||||||
TreeHouse Foods, Inc. (Food Products) | (a) | 8,600 | 439,374 | |||||||
1,832,458 | ||||||||||
ENERGY – 6.6% | ||||||||||
Superior Energy Services, Inc. (Energy Equip. & Svs.) | (a) | 12,700 | 444,373 | |||||||
Brigham Exploration Co. (Oil, Gas & Consumable Fuels) | (a) | 23,200 | 631,968 | |||||||
Clayton Williams Energy, Inc. (Oil, Gas & Consumable Fuels) | (a) | 7,100 | 596,187 | |||||||
Concho Resources, Inc. (Oil, Gas & Consumable Fuels) | (a) | 5,300 | 464,651 | |||||||
Rosetta Resources, Inc. (Oil, Gas & Consumable Fuels) | (a) | 16,600 | 624,824 | |||||||
2,762,003 | ||||||||||
FINANCIALS – 2.1% | ||||||||||
HFF, Inc. Class A (Capital Markets) | (a) | 38,200 | 369,012 | |||||||
Portfolio Recovery Associates, Inc. (Diversified Financial Svs.) | (a) | 6,600 | 496,320 | |||||||
865,332 | ||||||||||
HEALTH CARE – 17.1% | ||||||||||
Alexion Pharmaceuticals, Inc. (Biotechnology) | (a) | 6,000 | 483,300 | |||||||
Cyberonics, Inc. (Health Care Equip. & Supplies) | (a) | 18,500 | 573,870 | |||||||
Neogen Corp. (Health Care Equip. & Supplies) | (a) | 12,700 | 521,081 | |||||||
Sirona Dental Systems, Inc. (Health Care Equip. & Supplies) | (a) | 19,300 | 806,354 | |||||||
Volcano Corp. (Health Care Equip. & Supplies) | (a) | 22,600 | 617,206 | |||||||
Zoll Medical Corp. (Health Care Equip. & Supplies) | (a) | 18,400 | 685,032 | |||||||
Air Methods Corp. (Health Care Providers & Svs.) | (a) | 11,500 | 647,105 | |||||||
HMS Holdings Corp. (Health Care Providers & Svs.) | (a) | 10,100 | 654,177 | |||||||
IPC The Hospitalist Co., Inc. (Health Care Providers & Svs.) | (a) | 22,300 | 869,923 | |||||||
SXC Health Solutions Corp. (Health Care Technology) | (a) | 16,000 | 685,760 | |||||||
Salix Pharmaceuticals Ltd. (Pharmaceuticals) | (a) | 14,100 | 662,136 | |||||||
7,205,944 | ||||||||||
INDUSTRIALS – 17.8% | ||||||||||
BE Aerospace, Inc. (Aerospace & Defense) | (a) | 16,200 | 599,886 | |||||||
Global Defense Technology & Systems, Inc. (Aerospace & Defense) | (a) | 33,616 | 566,766 | |||||||
HEICO Corp. (Aerospace & Defense) | 20,005 | 1,020,855 | ||||||||
HUB Group, Inc. Class A (Air Freight & Logistics) | (a) | 17,600 | 618,464 | |||||||
Team, Inc. (Commercial Svs. & Supplies) | (a) | 23,100 | 559,020 | |||||||
GrafTech International Ltd. (Electrical Equip.) | (a) | 22,200 | 440,448 | |||||||
Polypore International, Inc. (Electrical Equip.) | (a) | 13,700 | 558,001 | |||||||
Actuant Corp. Class A (Machinery) | 25,900 | 689,458 | ||||||||
Nordson Corp. (Machinery) | 5,000 | 459,400 | ||||||||
Corporate Executive Board Co. / The (Professional Svs.) | 15,600 | 585,780 | ||||||||
Old Dominion Freight Line, Inc. (Road & Rail) | (a) | 12,500 | 399,875 | |||||||
MSC Industrial Direct Co. Class A (Trading Companies & Distributors) | 8,500 | 549,865 | ||||||||
Watsco, Inc. (Trading Companies & Distributors) | 7,000 | 441,560 | ||||||||
7,489,378 | ||||||||||
INFORMATION TECHNOLOGY – 27.4% | ||||||||||
Aruba Networks, Inc. (Communications Equip.) | (a) | 21,800 | 455,184 | |||||||
Netgear, Inc. (Communications Equip.) | (a) | 16,100 | 542,248 | |||||||
RADWARE Ltd. (Communications Equip.) | (a) | 11,500 | 431,365 | |||||||
Riverbed Technology, Inc. (Communications Equip.) | (a) | 13,000 | 457,210 | |||||||
DTS, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 11,300 | 554,265 | |||||||
Newport Corp. (Electronic Equip., Instr. & Comp.) | (a) | 40,100 | 696,537 | |||||||
IAC/InterActiveCorp (Internet Software & Svs.) | (a) | 20,600 | 591,220 | |||||||
LivePerson, Inc. (Internet Software & Svs.) | (a) | 51,200 | 578,560 | |||||||
LogMeIn, Inc. (Internet Software & Svs.) | (a) | 13,700 | 607,458 | |||||||
OpenTable, Inc. (Internet Software & Svs.) | (a) | 6,800 | 479,264 | |||||||
Rackspace Hosting, Inc. (Internet Software & Svs.) | (a) | 18,000 | 565,380 | |||||||
Camelot Information Systems, Inc. – ADR (IT Svs.) | (a) | 22,000 | 526,240 | |||||||
VeriFone Systems, Inc. (IT Svs.) | (a) | 11,200 | 431,872 | |||||||
Cavium Networks, Inc. (Semiconductors & Equip.) | (a) | 11,300 | 425,784 | |||||||
Hittite Microwave Corp. (Semiconductors & Equip.) | (a) | 8,900 | 543,256 | |||||||
Omnivision Technologies, Inc. (Semiconductors & Equip.) | (a) | 13,200 | 390,852 | |||||||
Fortinet, Inc. (Software) | (a) | 14,200 | 459,370 | |||||||
SS&C Technologies Holdings, Inc. (Software) | (a) | 36,700 | 752,717 | |||||||
TIBCO Software, Inc. (Software) | (a) | 21,900 | 431,649 | |||||||
Ultimate Software Group, Inc. (Software) | (a) | 25,400 | 1,235,202 | |||||||
VanceInfo Technologies, Inc. – ADR (Software) | (a) | 10,500 | 362,670 | |||||||
11,518,303 | ||||||||||
MATERIALS – 6.1% | ||||||||||
Ferro Corp. (Chemicals) | (a) | 27,400 | 401,136 | |||||||
Sensient Technologies Corp. (Chemicals) | 16,500 | 606,045 | ||||||||
Solutia, Inc. (Chemicals) | (a) | 25,700 | 593,156 | |||||||
Globe Specialty Metals, Inc. (Metals & Mining) | 23,600 | 403,324 | ||||||||
Worthington Industries, Inc. (Metals & Mining) | 31,200 | 574,080 | ||||||||
2,577,741 | ||||||||||
Total Common Stocks (Cost $33,613,897) | $ | 41,632,214 | ||||||||
Money Market Funds – 0.9% | Shares | Value | ||||||||
Fidelity Institutional Money Market Funds Money Market Portfolio – Class I | 379,000 | $ | 379,000 | |||||||
Total Money Market Funds (Cost $379,000) | $ | 379,000 | ||||||||
Total Investments – 99.8% (Cost $33,992,897) | (b) | $ | 42,011,214 | |||||||
Other Assets in Excess of Liabilities – 0.2% | 66,119 | |||||||||
Net Assets – 100.0% | $ | 42,077,333 | ||||||||
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depositary Receipts
Footnotes:
(a) | Non-income producing security. | |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
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 December 31, 2010
Average Annual Total Returns: | ||||
One year | 19.73% | |||
Five years | 4.80% | |||
Ten years | 6.19% |
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 year ended December 31, 2010, the International Small-Mid Company Portfolio returned 19.73% versus 22.04% for the current benchmark, the S&P Developed Small Cap Ex-U.S. Growth Index.
The markets this year have certainly had their challenges as the various economies struggled to pull themselves out of the slump of 2009. Oscillating expectations for a double-dip recession weighed on investors’ minds with the escalation and widening of euro-area sovereign debt risks. The sovereign debt crisis continued to slowly spread across Europe, claiming Greece, Ireland, and Spain as its victims and, in the process, threatened to ignite a global economic meltdown. While China’s economic growth continued without abatement during these past twelve months, the government weighed in several times throughout the year by using various measures to slow down the economy and head off inflation. Emerging markets were the winners of this year, as they were not impacted by the maladies suffered by many developed nations and were supported by their natural resources.
Improving macro data gave investors the courage to increase their investment risk appetites to participate, with increasing confidence, in the global economic recovery. Further stimulus measures announced by the U.S. Federal Reserve provided additional comfort that a bottom may have been put in place. With attractive valuations and increasing optimism around the U.S. economy, global markets moved to new highs by year end with a rally in commodity prices signaling an increase in demand to feed the growth.
International small-mid caps, as measured by the benchmark index, had another good year of performance. On a regional basis, the S&P Asia Pacific Ex-Japan Small Cap Growth Index had the best performance, returning 21.13%. The S&P Europe Small Cap Growth Index rose 18.73%, while Japanese small caps as measured by the S&P Japan Small Cap Growth Index gained 17.86% during the year, all returns in terms of U.S. dollars.
The Portfolio remained well-diversified amongst its holdings. However, the Industrials, Information Technology, and Consumer Discretionary sectors were over-weighted relative to the benchmark. The most significant changes to the Portfolio’s holdings were: 1) increasing exposure to media industry, in-line with our view of the economic recovery and spending, and 2) new positions in the chemical sector, also in-line with our view of chemicals being the building blocks during increasing demand of goods. Every sector contributed positively to the Portfolio’s absolute performance in 2010.(1)
The U.S. dollar had mixed performances against major foreign currencies. Over the year, the euro lost 8.5%, while the Canadian dollar rose 5.2% against the U.S. dollar. The Japanese yen gained 12.8%, while British sterling declined 6.6% versus the dollar.
Top performing relative markets in the Portfolio included Germany, United Kingdom (UK), Spain, and Singapore. Weaker relative contributions, despite positive returns, were experienced with investments made in Canada, Japan, and Australia.
Key drivers of the Portfolio’s positive performance came from the strong relative investment returns in Consumer Discretionary, Financials, and Energy. Individual stocks that contributed to the Portfolio’s performance (all total returns in terms of U.S. dollars) included: Asos PLC, a UK Internet retailer, gained 216.6% during the year; Kia Motors Corp., the South Korean automobile manufacturer, rose 128.2% during the year; and Dana Petroleum PLC, a UK oil and gas exploration and production company, gained 74.2%.(1)
On a broader basis, relative under-performance, was delivered by investments in Information Technology and Materials. More specifically, within Information Technology, our investment thesis of a recovery in dynamic random access memory (“DRAM”) and liquid crystal display “(LCD”) prices did not materialize by year end. Also, poor stock selection within the sector included the following holdings: Elpida Memory, a Japanese manufacturer of computer memory chips, which fell 46.8%; Actelion Ltd., a Swiss pharmaceutical company, which fell 31.0%, and Saft Groupe SA, a French manufacturer of high-tech batteries for industrial and automotive applications, was down 26.6% during the year.(1)
As the global economic indicators and markets continue to signal an ensuing recovery, we will continue to monitor our exposure to economically sensitive sectors, namely Industrials, Materials, and Consumer Discretionary as these sectors will continue to participate. Emerging markets continue to exhibit areas of continuing earnings growth, but valuations must be monitored closely as they have performed very well in 2010.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2010. |
(continued)
34
Ohio National Fund, Inc. | International Small-Mid Company Portfolio (Continued) |
Change in Value of $10,000 Investment
S&P Developed | ||||||||
Small Cap | ||||||||
International Small-Mid | Ex-U.S. Growth | |||||||
Company Portfolio | Index | |||||||
12/31/2000 | 10000 | 10000 | ||||||
06/30/2001 | 8419 | 8519 | ||||||
12/31/2001 | 7072 | 7729 | ||||||
06/30/2002 | 7102 | 7906 | ||||||
12/31/2002 | 6011 | 6718 | ||||||
06/30/2003 | 7215 | 7799 | ||||||
12/31/2003 | 9252 | 10087 | ||||||
06/30/2004 | 9908 | 11081 | ||||||
12/31/2004 | 11183 | 12729 | ||||||
06/30/2005 | 11678 | 13067 | ||||||
12/31/2005 | 14426 | 15454 | ||||||
06/30/2006 | 15878 | 17082 | ||||||
12/31/2006 | 18226 | 19746 | ||||||
06/30/2007 | 21498 | 22224 | ||||||
12/31/2007 | 21412 | 21325 | ||||||
06/30/2008 | 19890 | 19188 | ||||||
12/31/2008 | 10427 | 10871 | ||||||
06/30/2009 | 11863 | 13124 | ||||||
12/31/2009 | 15229 | 16109 | ||||||
06/30/2010 | 13589 | 15067 | ||||||
12/31/2010 | 18234 | 19659 |
Hypothetical illustration based on past performance. Future performance will vary. The Portfolios returns reflect reinvested dividends. The Portfolios holdings may differ significantly from the securities in the index. The index is unmanaged and therefore does not reflect the cost of portfolio management and accounting.
The S&P Developed Small Cap Ex-U.S. Growth Index. S&P Developed Small Cap Ex-U.S. Growth Index is a subset of the S&P Global Broad Market Index (BMI), a broad index including all publicly listed equities with float-adjusted market values of US$ 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 December 31, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 98.7 | ||
Exchange Traded Funds | 1.1 | ||
Money Market Funds Less Net Liabilities | 0.2 | ||
100.0 | |||
Top 10 Portfolio Holdings as of December 31, 2010 (1) (2)
% of Net Assets | |||||||
1. | ASOS PLC | 2.0 | |||||
2. | Leoni AG | 2.0 | |||||
3. | SNC-Lavalin Group, Inc. | 2.0 | |||||
4. | Adecco SA | 1.9 | |||||
5. | Andritz AG | 1.9 | |||||
6. | AMEC PLC | 1.8 | |||||
7. | Hochtief AG | 1.7 | |||||
8. | Yoox SpA | 1.7 | |||||
9. | Lanxess AG | 1.7 | |||||
10. | Assa Abloy AB | 1.7 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. | |
(3) | Top 10 Country Weightings: |
% of Net Assets | |||
United Kingdom | 16.6 | ||
Germany | 10.4 | ||
France | 7.0 | ||
Canada | 6.9 | ||
Brazil | 6.4 | ||
Singapore | 5.3 | ||
Netherlands | 5.2 | ||
Cayman Islands | 4.7 | ||
Japan | 4.1 | ||
Thailand | 3.4 |
35
Ohio National Fund, Inc. | International Small-Mid Company Portfolio |
Schedule of Investments | December 31, 2010 |
Common Stocks – 98.7% | Shares | Value | ||||||||
United Kingdom – 16.6% | ||||||||||
Aggreko PLC | (b) | 54,003 | $ | 1,249,609 | ||||||
AMEC PLC | (b) | 77,469 | 1,393,205 | |||||||
ASOS PLC | (a)(b) | 62,615 | 1,558,642 | |||||||
Autonomy Corp. PLC | (a)(b) | 25,899 | 609,307 | |||||||
Carphone Warehouse Group PLC | (a)(c) | 72,500 | 446,770 | |||||||
Cookson Group PLC | (a)(b) | 123,534 | 1,272,171 | |||||||
Croda International PLC | (b) | 33,542 | 849,078 | |||||||
Dialog Semiconductor PLC | (a)(b) | 37,300 | 848,335 | |||||||
Intercontinental Hotels Group PLC | (b) | 40,099 | 783,294 | |||||||
John Wood Group PLC | (b) | 116,643 | 1,021,910 | |||||||
Johnson Matthey PLC | (b) | 20,934 | 666,958 | |||||||
Micro Focus International PLC | (b) | 77,000 | 467,405 | |||||||
Rightmove PLC | (b) | 62,262 | 757,707 | |||||||
Rolls-Royce Group PLC | (a)(b) | 31,032 | 302,354 | |||||||
Weir Group PLC / The | (b) | 30,250 | 840,430 | |||||||
13,067,175 | ||||||||||
Germany – 10.4% | ||||||||||
Adidas AG | (b) | 14,226 | 925,383 | |||||||
Aixtron AG | (b) | 29,200 | 1,088,151 | |||||||
GEA Group AG | (b) | 32,599 | 942,053 | |||||||
Gildemeister AG | (b) | 23,553 | 527,022 | |||||||
Hochtief AG | (b) | 16,219 | 1,374,910 | |||||||
Lanxess AG | (b) | 16,697 | 1,312,834 | |||||||
Leoni AG | (a)(b) | 35,635 | 1,556,183 | |||||||
Rheinmetall AG | (b) | 5,919 | 474,146 | |||||||
8,200,682 | ||||||||||
France – 7.0% | ||||||||||
Arkema SA | (b) | 9,534 | 687,522 | |||||||
Bureau Veritas SA | (b) | 6,300 | 478,091 | |||||||
Faurecia | (a)(b) | 30,455 | 880,954 | |||||||
JC Decaux SA | (a)(b) | 22,113 | 680,868 | |||||||
Publicis Groupe SA | (b) | 13,987 | 729,855 | |||||||
Rhodia SA | (b) | 21,500 | 711,878 | |||||||
Societe Television Francaise 1 | (b) | 46,116 | 801,686 | |||||||
Technip SA | (b) | 5,800 | 536,111 | |||||||
5,506,965 | ||||||||||
Canada – 6.9% | ||||||||||
Agrium, Inc. | 9,500 | 874,233 | ||||||||
Consolidated Thompson Iron Mines Ltd. | (a) | 48,200 | 683,031 | |||||||
National Bank of Canada | 9,600 | 661,563 | ||||||||
Pacific Rubiales Energy Corp. | 12,800 | 434,477 | ||||||||
SNC-Lavalin Group, Inc. | 25,818 | 1,551,988 | ||||||||
Thompson Creek Metals Co., Inc. | (a) | 84,100 | 1,237,952 | |||||||
5,443,244 | ||||||||||
Brazil – 6.4% | ||||||||||
CETIP SA – Balcao Organizado de Ativos e Derivativos | 42,605 | 605,710 | ||||||||
Cia Brasileira de Distribuicao Grupo Pao de Acucar – ADR | 16,770 | 704,005 | ||||||||
Diagnosticos da America SA | 59,700 | 809,187 | ||||||||
Fleury SA | 61,500 | 987,334 | ||||||||
Hypermarcas SA | (a) | 64,700 | 878,127 | |||||||
Lojas Renner SA | 23,500 | 798,434 | ||||||||
Raia SA | (a) | 15,200 | 232,944 | |||||||
5,015,741 | ||||||||||
Singapore – 5.3% | ||||||||||
City Developments Ltd. | (b) | 59,000 | 578,243 | |||||||
Ho Bee Investment Ltd. | (b) | 301,000 | 379,741 | |||||||
Keppel Corp. Ltd. | (b) | 119,000 | 1,050,004 | |||||||
Keppel Land Ltd. | (b) | 245,700 | 919,977 | |||||||
SembCorp Marine Ltd. | (b) | 297,000 | 1,242,467 | |||||||
4,170,432 | ||||||||||
Netherlands – 5.2% | ||||||||||
ASML Holding NV | (b) | 24,823 | 952,009 | |||||||
Fugro NV | (b) | 12,570 | 1,034,952 | |||||||
Imtech NV | (b) | 31,226 | 1,186,182 | |||||||
Koninklijke DSM NV | (b) | 15,587 | 888,500 | |||||||
4,061,643 | ||||||||||
Cayman Islands – 4.7% | ||||||||||
China Ming Yang Wind Power Group Ltd. – ADR | (a) | 27,000 | 310,500 | |||||||
Hengan International Group Co. Ltd. | (b) | 44,000 | 379,366 | |||||||
Herbalife Ltd. | 11,600 | 793,092 | ||||||||
Lonking Holdings Ltd. | (b) | 582,000 | 321,642 | |||||||
Mecox Lane Ltd. | (a) | 37,670 | 279,135 | |||||||
Minth Group Ltd. | (b) | 610,000 | 1,001,276 | |||||||
Peak Sport Products Co. Ltd. | (b) | 330,000 | 216,828 | |||||||
Sands China Ltd. | (a)(b) | 183,200 | 405,563 | |||||||
3,707,402 | ||||||||||
Japan – 4.1% | ||||||||||
Hitachi Construction Machinery Co. Ltd. | (b) | 30,400 | 725,570 | |||||||
JGC Corp. | (b) | 26,000 | 563,514 | |||||||
JTEKT Corp. | (b) | 26,200 | 307,419 | |||||||
Nabtesco Corp. | (b) | 20,000 | 425,241 | |||||||
THK Co. Ltd. | (b) | 28,700 | 656,450 | |||||||
Tokyo Electron Ltd. | (b) | 8,200 | 516,282 | |||||||
3,194,476 | ||||||||||
Thailand – 3.4% | ||||||||||
Bangkok Bank PCL | (b) | 91,600 | 446,375 | |||||||
Bank of Ayudhya PCL | (b) | 486,100 | 414,603 | |||||||
Banpu PCL | (b) | 27,400 | 715,737 | |||||||
Kasikornbank PCL | (b) | 115,200 | 498,171 | |||||||
Kiatnakin Bank PCL | (b) | 399,000 | 515,982 | |||||||
Kiatnakin Bank PCL | (b) | 46,200 | 59,745 | |||||||
2,650,613 | ||||||||||
Switzerland – 3.1% | ||||||||||
Adecco SA | (b) | 23,071 | 1,512,981 | |||||||
Clariant AG | (a)(b) | 46,304 | 938,230 | |||||||
2,451,211 | ||||||||||
Spain – 3.0% | ||||||||||
Obrascon Huarte Lain SA | (b) | 28,909 | 879,931 | |||||||
Tecnicas Reunidas SA | (b) | 16,166 | 1,030,865 | |||||||
Viscofan SA | (b) | 11,575 | 438,977 | |||||||
2,349,773 | ||||||||||
Jersey – 2.3% | ||||||||||
United Business Media Ltd. | (b) | 88,081 | 950,123 | |||||||
Wolseley PLC | (a)(b) | 26,400 | 845,124 | |||||||
1,795,247 | ||||||||||
Sweden – 2.2% | ||||||||||
Assa Abloy AB | (b) | 45,600 | 1,286,316 | |||||||
Getinge AB | (b) | 20,613 | 431,525 | |||||||
1,717,841 | ||||||||||
Ireland – 2.1% | ||||||||||
Ingersoll-Rand PLC | 19,800 | 932,382 | ||||||||
Warner Chilcott PLC | 32,900 | 742,224 | ||||||||
1,674,606 | ||||||||||
South Korea – 2.1% | ||||||||||
Kia Motors Corp. | (a)(b) | 25,360 | 1,129,637 | |||||||
Korean Air Lines Co. Ltd. | (a)(b) | 8,070 | 494,097 | |||||||
1,623,734 | ||||||||||
Austria – 1.9% | ||||||||||
Andritz AG | (b) | 15,861 | 1,460,825 | |||||||
Hong Kong – 1.8% | ||||||||||
Dah Sing Financial Holdings Ltd. | (b) | 123,300 | 804,540 | |||||||
Techtronic Industries Co. | (b) | 488,000 | 636,366 | |||||||
1,440,906 | ||||||||||
(continued)
36
Ohio National Fund, Inc. | International Small-Mid Company Portfolio (Continued) |
Schedule of Investments | December 31, 2010 |
Common Stocks (Continued) | Shares | Value | ||||||||
Bermuda – 1.8% | ||||||||||
Invesco Ltd. | 41,537 | $ | 999,380 | |||||||
Yue Yuen Industrial Holdings Ltd. | (b) | 102,500 | 368,055 | |||||||
1,367,435 | ||||||||||
Italy – 1.7% | ||||||||||
Yoox SpA | (a)(b) | 104,500 | 1,347,399 | |||||||
Norway – 1.7% | ||||||||||
Fred Olsen Energy ASA | (b) | 14,300 | 635,141 | |||||||
Yara International ASA | (b) | 11,862 | 690,473 | |||||||
1,325,614 | ||||||||||
Israel – 1.5% | ||||||||||
NICE Systems Ltd. – ADR | (a) | 33,000 | 1,151,700 | |||||||
Australia – 1.0% | ||||||||||
Boart Longyear Group | (b) | 163,000 | 761,414 | |||||||
Chile – 0.9% | ||||||||||
Sociedad Quimica y Minera de Chile SA – ADR Series B | 12,400 | 724,408 | ||||||||
Mexico – 0.6% | ||||||||||
Mexichem SAB de CV | 138,156 | 494,453 | ||||||||
Denmark – 0.5% | ||||||||||
Christian Hansen Holding A/S | (b) | 20,000 | 409,326 | |||||||
British Virgin Islands – 0.3% | ||||||||||
Winsway Coking Coal Holdings Ltd. | (a) | 417,000 | 250,539 | |||||||
Guernsey – 0.3% | ||||||||||
Amdocs Ltd. | (a) | 8,300 | 228,001 | |||||||
Total Common Stocks (Cost $53,912,706) | $ | 77,592,805 | ||||||||
Exchange Traded Funds – 1.1% | Shares | Value | ||||||||
iShares MSCI Emerging Markets Index Fund | 18,898 | $ | 899,923 | |||||||
Total Exchange Traded Funds (Cost $518,397) | $ | 899,923 | ||||||||
Money Market Funds – 0.4% | Shares | Value | ||||||||
State Street Institutional Liquid Reserves Fund Institutional Class 2 | 277,957 | $ | 277,957 | |||||||
Total Money Market Funds (Cost $277,957) | $ | 277,957 | ||||||||
Total Investments – 100.2% (Cost $54,709,060) | (d) | $ | 78,770,685 | |||||||
Liabilities in Excess of Other Assets – (0.2)% | (158,105 | ) | ||||||||
Net Assets – 100.0% | $ | 78,612,580 | ||||||||
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depositary Receipt
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 $59,781,236 or 76.0% 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 $446,770 or 0.6% 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 | 30.5% | ||
Consumer Discretionary | 20.7% | ||
Materials | 14.5% | ||
Energy | 8.7% | ||
Financials | 8.7% | ||
Information Technology | 7.4% | ||
Consumer Staples | 4.4% | ||
Health Care | 3.8% | ||
98.7% | |||
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 December 31, 2010
Average Annual Total Returns: | ||||
One year | 9.96% | |||
Five years | 3.89% | |||
Ten years | -0.35% |
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 year ended December 31, 2010, the Aggressive Growth Portfolio returned 9.96% versus 15.06% for the current benchmark, the S&P 500 Index.
U.S. equity markets posted double-digit gains during the year ended December 31, 2010 and closed near their highest level since June 2008 amid improving manufacturing, housing, and retail data and better-than-expected corporate earnings. Another round of quantitative easing by the Federal Reserve also provided a positive backdrop for risk assets. Although the investment climate has been challenging for our Portfolio, we believe the environment has started to turn. Economic indicators have improved in the U.S. and other markets. Large-cap companies have been generating higher margins and returns, and we were seeing continued strength in emerging markets. We have tried to position the Portfolio to perform in any market or economic environment, and the signs of strength in the U.S. and global economy are good for the businesses we invest in.
The Portfolio’s holdings within Energy, Financials, and Health Care were the primary detractors from relative returns. Financials underperformed the benchmark index and our stock selection underperformed the sector. The gap stems from stock selection and a focus on large, money center banks rather than regional banks. Our focus on money center banks results from our belief that these companies will use their strong franchise power and dominant market shares to drive better returns and rapid earnings growth as the financial system normalizes. In the last year, however, these stocks suffered from a confluence of events, including the process of financial reform and the accompanying populist rhetoric; the weakness in the euro, impacting global banks with euro-based revenues; and the European sovereign debt crisis and subsequent economic impacts. Regional banks more exposed to improving credit conditions in the U.S. and less sensitive to the issues of reform and Europe fared better.
The largest detractor was Cisco Systems, Inc. Shares of this networking equipment provider fell after the company cited tight public spending on information technology, falling cable set-top box sales, and retrenchment following strong “catch-up” sales in earlier quarters, among other factors. While the company may be well positioned to benefit from increasing data usage and Internet traffic, we are evaluating the position.(1)
Biotechnology company Gilead Sciences, Inc. held back the Portfolio’s returns. We think the company faces a more challenging patent environment and we exited the position late in the year. Research In Motion Ltd., a wireless communication device maker, was weak early in the year and we sold our position. We think the company faces a more difficult pricing and competitive environment and felt there were more compelling opportunities to gain exposure to the trend in the mobile and wireless space.(1)
In terms of contributors, certain of our selections within Information Technology provided the largest boost.(1) Apple, Inc. was a top contributor and remained a top position in the Portfolio largely because of its highly successful line of differentiated mobile computing products, from the iPad to the iPhone, and because of its growing market share in personal computers. The company continues to leverage its vertical integration, innovate its product portfolio, and demonstrate sales strength in international markets. We like the company’s long-term growth prospects and demonstrated ability to win in various economic environments.(1)
Trimble Navigation Ltd. was another strong performer for the Portfolio. 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)
Limited Brands, Inc. benefited from improving sales during the year. The specialty retailer has seen incremental margins move higher. Its key franchise is Victoria’s Secret, which has strong brand recognition worldwide. The company has been aggressive in reducing costs and managing inventory. We think the market has been slow to recognize Limited Brands, Inc.’s potential margin expansion and the opportunity to develop its international business.(1)
Rather than focus on near-term economic or market trends, we have constructed the Portfolio to take advantage of multi-year themes. In Information Technology, we are seeing a proliferation of data usage through mobile devices at work and at home, with broad implications for content owners, Internet companies, and device manufacturers. This continues to be a major theme behind several of our positions, including shares of Apple, Inc. and Google, Inc. Another theme in the Portfolio is consolidation of suppliers. More people and companies are doing business with their most trusted suppliers, a dynamic that accentuates the competitive advantages of these companies and may enable them to gain market share.(1)
Looking ahead, we are expecting a slow recovery for both the U.S. and global economies. Companies with healthy balance sheets and global demand for their products are driving the recovery. Many firms have record levels of cash, which may be used to pay higher dividends, reinvest in the business, or fund mergers and acquisitions. Several of our top holdings supply corporations, not consumers, and we expect corporate spending to pick up as management teams grow more confident that the economy won’t slip back into recession.(1)
Outside the U.S., we remain sanguine on emerging markets. Near-term, we are paying close attention to China’s growth rate and our exposure to the country. China’s central bank raised interest rates in December for the second time in just over two months in an attempt to curb inflation. The move signals Beijing’s confidence in China’s
(continued)
38
Ohio National Fund, Inc. | Aggressive Growth Portfolio (Continued) |
economy but it also raises concerns of a hard landing, potentially derailing the global recovery. Longer term, we believe emerging markets have the capital, natural resources, and structural frameworks in place to fuel investment and ultimately growth in excess of developed markets. These foundations will drive higher returns for companies that can capitalize on rising domestic consumption and export growth. Overall, companies in our Portfolio have been executing and we are seeing the results in higher margins and internal rates of returns. A few of our stocks have responded with higher prices, but most have lagged. Investor sentiment continues to favor stocks with smaller market caps, which have significantly outperformed stocks with larger market caps such as those held in the Portfolio. Valuations in mega-cap stocks look very attractive going forward, and we continue to believe that the Portfolio is well positioned in companies with wide competitive moats and exposure to global growth.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2010. |
Change in Value of $10,000 Investment
Aggressive Growth | S&P 500 | |||||||
Portfolio | Index | |||||||
12/31/2000 | 10000 | 10000 | ||||||
06/30/2001 | 7614 | 9330 | ||||||
12/31/2001 | 6819 | 8811 | ||||||
06/30/2002 | 5754 | 7652 | ||||||
12/31/2002 | 4915 | 6864 | ||||||
06/30/2003 | 5577 | 7671 | ||||||
12/31/2003 | 6463 | 8833 | ||||||
06/30/2004 | 6688 | 9137 | ||||||
12/31/2004 | 7042 | 9794 | ||||||
06/30/2005 | 7066 | 9715 | ||||||
12/31/2005 | 7977 | 10275 | ||||||
06/30/2006 | 7800 | 10553 | ||||||
12/31/2006 | 8438 | 11898 | ||||||
06/30/2007 | 9585 | 12726 | ||||||
12/31/2007 | 10932 | 12552 | ||||||
06/30/2008 | 10459 | 11056 | ||||||
12/31/2008 | 6157 | 7908 | ||||||
06/30/2009 | 7245 | 8158 | ||||||
12/31/2009 | 8781 | 10001 | ||||||
06/30/2010 | 7883 | 9335 | ||||||
12/31/2010 | 9656 | 11507 |
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)
39
Ohio National Fund, Inc. | Aggressive Growth Portfolio (Continued) |
Portfolio Composition as of December 31, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 95.1 | ||
Money Market Funds Less Net Liabilities | 4.9 | ||
100.0 | |||
Top 10 Portfolio Holdings as of December 31, 2010 (1) (2)
% of Net Assets | |||||||
1. | Apple, Inc. | 7.2 | |||||
2. | Celgene Corp. | 4.2 | |||||
3. | eBay, Inc. | 4.1 | |||||
4. | Bank of America Corp. | 4.0 | |||||
5. | Crown Castle International Corp. | 3.8 | |||||
6. | Oracle Corp. | 3.6 | |||||
7. | Trimble Navigation Ltd. | 3.1 | |||||
8. | United Parcel Service, Inc. Class B | 3.0 | |||||
9. | Yahoo!, Inc. | 2.9 | |||||
10. | Davide Campari-Milano SpA | 2.9 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Information Technology | 33.9 | ||
Financials | 19.0 | ||
Consumer Discretionary | 9.3 | ||
Consumer Staples | 8.7 | ||
Health Care | 8.2 | ||
Industrials | 7.5 | ||
Telecommunication Services | 5.4 | ||
Energy | 2.0 | ||
Materials | 1.1 | ||
95.1 | |||
40
Ohio National Fund, Inc. | Aggressive Growth Portfolio |
Schedule of Investments | December 31, 2010 |
Common Stocks – 95.1% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 9.3% | ||||||||||
Ford Motor Co. (Automobiles) | (a) | 50,485 | $ | 847,643 | ||||||
General Motors Co. (Automobiles) | (a) | 11,060 | 407,672 | |||||||
News Corp. Class A (Media) | 57,515 | 837,418 | ||||||||
Limited Brands, Inc. (Specialty Retail) | 22,200 | 682,206 | ||||||||
2,774,939 | ||||||||||
CONSUMER STAPLES – 8.7% | ||||||||||
Anheuser-Busch InBev NV (Beverages) | (b) | 12,930 | 738,810 | |||||||
Davide Campari-Milano SpA (Beverages) | (b) | 130,641 | 851,007 | |||||||
Mead Johnson Nutrition Co. (Food Products) | 6,665 | 414,896 | ||||||||
Colgate-Palmolive Co. (Household Products) | 3,990 | 320,676 | ||||||||
Reckitt Benckiser Group PLC (Household Products) | (b) | 4,535 | 249,492 | |||||||
2,574,881 | ||||||||||
ENERGY – 2.0% | ||||||||||
BG Group PLC (Oil, Gas & Consumable Fuels) | (b) | 14,187 | 287,786 | |||||||
Petroleo Brasileiro SA – ADR (Oil, Gas & Consumable Fuels) | 7,970 | 301,585 | ||||||||
589,371 | ||||||||||
FINANCIALS – 19.0% | ||||||||||
Charles Schwab Corp. / The (Capital Markets) | 29,713 | 508,389 | ||||||||
Goldman Sachs Group, Inc. / The (Capital Markets) | 1,185 | 199,270 | ||||||||
CapitalSource, Inc. (Commercial Banks) | 45,049 | 319,848 | ||||||||
Standard Chartered PLC (Commercial Banks) | (b) | 18,465 | 498,473 | |||||||
Bank of America Corp. (Diversified Financial Svs.) | 90,330 | 1,205,002 | ||||||||
CME Group, Inc. (Diversified Financial Svs.) | 1,260 | 405,405 | ||||||||
JPMorgan Chase & Co. (Diversified Financial Svs.) | 10,180 | 431,836 | ||||||||
MarketAxess Holdings, Inc. (Diversified Financial Svs.) | 16,360 | 340,452 | ||||||||
AIA Group Ltd. (Insurance) | (a)(c) | 119,600 | 336,206 | |||||||
Prudential PLC (Insurance) | (b) | 58,406 | 610,178 | |||||||
Hang Lung Properties Ltd. (Real Estate Mgmt. & Development) | (b) | 47,000 | 219,679 | |||||||
Walker & Dunlop, Inc. (Thrifts & Mortgage Finance) | (a) | 57,515 | 580,326 | |||||||
5,655,064 | ||||||||||
HEALTH CARE – 8.2% | ||||||||||
Celgene Corp. (Biotechnology) | (a) | 21,255 | 1,257,021 | |||||||
Vertex Pharmaceuticals, Inc. (Biotechnology) | (a) | 7,976 | 279,399 | |||||||
Intuitive Surgical, Inc. (Health Care Equip. & Supplies) | (a) | 1,239 | 319,352 | |||||||
Medco Health Solutions, Inc. (Health Care Providers & Svs.) | (a) | 9,650 | 591,255 | |||||||
2,447,027 | ||||||||||
INDUSTRIALS – 7.5% | ||||||||||
C.H. Robinson Worldwide, Inc. (Air Freight & Logistics) | 4,510 | 361,657 | ||||||||
United Parcel Service, Inc. Class B (Air Freight & Logistics) | 12,485 | 906,161 | ||||||||
FANUC Corp. (Machinery) | (b) | 4,100 | 626,711 | |||||||
CoStar Group, Inc. (Professional Svs.) | (a) | 5,730 | 329,819 | |||||||
2,224,348 | ||||||||||
INFORMATION TECHNOLOGY – 33.9% | ||||||||||
Cisco Systems, Inc. (Communications Equip.) | (a) | 40,770 | 824,777 | |||||||
Apple, Inc. (Computers & Peripherals) | (a) | 6,597 | 2,127,928 | |||||||
Amphenol Corp. Class A (Electronic Equip., Instr. & Comp.) | 6,025 | 318,000 | ||||||||
Trimble Navigation Ltd. (Electronic Equip., Instr. & Comp.) | (a) | 23,310 | 930,768 | |||||||
Tyco Electronics Ltd. (Electronic Equip., Instr. & Comp.) | 16,630 | 588,702 | ||||||||
AOL, Inc. (Internet Software & Svs.) | (a) | 22,750 | 539,403 | |||||||
eBay, Inc. (Internet Software & Svs.) | (a) | 43,985 | 1,224,103 | |||||||
Google, Inc. Class A (Internet Software & Svs.) | (a) | 1,105 | 656,337 | |||||||
VistaPrint NV (Internet Software & Svs.) | (a) | 11,715 | 538,890 | |||||||
Yahoo!, Inc. (Internet Software & Svs.) | (a) | 52,785 | 877,815 | |||||||
Adobe Systems, Inc. (Software) | (a) | 12,650 | 389,367 | |||||||
Oracle Corp. (Software) | 34,280 | 1,072,964 | ||||||||
10,089,054 | ||||||||||
MATERIALS – 1.1% | ||||||||||
Israel Chemicals Ltd. (Chemicals) | (b) | 18,307 | 313,539 | |||||||
TELECOMMUNICATION SERVICES – 5.4% | ||||||||||
America Movil SAB de CV – ADR (Wireless Telecom. Svs.) | 3,515 | 201,550 | ||||||||
Cellcom Israel Ltd. (Wireless Telecom. Svs.) | 8,220 | 268,712 | ||||||||
Crown Castle International Corp. (Wireless Telecom. Svs.) | (a) | 26,055 | 1,141,991 | |||||||
1,612,253 | ||||||||||
Total Common Stocks (Cost $23,143,220) | $ | 28,280,476 | ||||||||
VVPR Strips – 0.0% | (d) | Quantity | Value | |||||||
CONSUMER STAPLES – 0.0% | ||||||||||
Anheuser-Busch InBev NV (Beverages) | (a)(c) | 6,992 | $ | 37 | ||||||
Total VVPR Strips (Cost $0) | $ | 37 | ||||||||
Money Market Funds – 5.3% | Shares | Value | ||||||||
Fidelity Institutional Money Market Funds Money Market Portfolio – Class I | 1,495,000 | $ | 1,495,000 | |||||||
Federated Prime Cash Obligations Fund Institutional Class | 90,000 | 90,000 | ||||||||
Total Money Market Funds (Cost $1,585,000) | $ | 1,585,000 | ||||||||
Total Investments – 100.4% (Cost $24,728,220) | (e) | $ | 29,865,513 | |||||||
Liabilities in Excess of Other Assets – (0.4)% | (108,261 | ) | ||||||||
Net Assets – 100.0% | $ | 29,757,252 | ||||||||
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depositary Receipts
Footnotes:
(a) | Non-income producing security. | |
(b) | Security traded on a foreign exchange has been valued at an estimate of fair value that is different than the local market close price. These fair value estimates are determined by an independent national fair valuation service that has been approved by the Board. These securities represent $4,395,675 or 14.8% 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 difference 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 $336,243 or 1.1% 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. | ||
(d) | 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. | |
(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.
41
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 December 31, 2010
Average Annual Total Returns: | ||||
One year | 30.03% | |||
Five years | 8.10% | |||
Ten years | 0.88% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-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 year ended December 31, 2010, the Small Cap Growth Portfolio returned 30.03% versus 29.09% for the current benchmark, the Russell 2000 Growth Index.
U.S. stocks posted double-digit gains during the year ended December 31, 2010 and closed near their highest level since June 2008. Equity markets began the year on a bullish note, but soon gave way to worries over rising interest rates and tighter lending in China. Europe’s sovereign debt issues triggered a sell-off in the spring, and worries that deep spending cuts from government austerity measures could derail global growth added to the bearish tone. Stocks rebounded in September, following better-than-expected economic data, and continued to rally through the final three months. This rally was fueled by more positive data points and a second round of quantitative easing by the Federal Reserve. Small cap stocks significantly outperformed large caps during the year, while growth-style indices significantly outperformed value. Energy and Information Technology were the best performing sectors within the Russell 2000 Growth Index, while Telecommunication Services and Utilities were relative laggards. Commodities posted strong gains, although natural gas was a notable exception with double-digit losses.
The Portfolio’s stock selections in Financials and Health Care were the primary contributors to relative performance followed by our holdings in Materials. Detractors included our holdings in Industrials and Information Technology. (1)
Semiconductor maker Atmel Corp. returned over 150% during the year to lead all contributors. The company has completed a restructuring, bolstering its financial position and return potential. Its core micro-controller business continued to capture market share. While we continue to like this firm for its micro-controller business and success with its new touch screen products for mobile devices, we exited the position since its market capitalization exceeded the Portfolio’s range. (1)
Pharmacy benefit manager SXC Health Solutions Corp. was a key contributor. SXC Health Solutions Corp.’s transparent, transaction-based business model has led to strong organic growth and new customer wins. In addition, we believe the company has successfully augmented its overall market position and growth profile through acquisitions of smaller competitors. Given the coming wave of generic drug conversion and fragmented competitive set, we believe SXC Health Solutions Corp. is well positioned for growth. (1)
Technology licensing company Ceva, Inc. also aided results. We like the business model and competitive positioning of this firm following the exit of a large competitor from its digital signal processor (“DSP”) licensing business. We expect Ceva, Inc. to capture a significant share of this business. The company receives up-front licensing fees and ongoing royalties on each device, typically a mobile phone, that includes its DSP technology. (1)
Individual detractors from performance included home health care companies Amedisys, Inc. and LHC Group, Inc. Both are being investigated by the U.S. Department of Justice over their Medicare billing practices. We sold the positions.(1)
Online printing company VistaPrint NV declined in the middle of the year. The company saw revenue growth decelerate in its European market, causing June quarter revenues and forward guidance to come in lower than expectations. Despite this disappointment, we believe that the company’s competitive advantage is still solidly intact, that its addressable market remains very large, and that the business model is of high quality. We added to the position. (1)
We believe the economic recovery faces many challenges as the de-leveraging process (consumers foregoing consumption in favor of debt repayment) acts as an impediment to strong economic growth. The consumer, which plays a pivotal role in the overall health and growth of the domestic economy, faces numerous headwinds. The U.S. economy continues to experience rates of unemployment that are approaching 10% and a prolonged slump in the housing market. As a result, consumer confidence levels remain depressed and are more indicative of recessionary levels than expansionary ones. However, despite a less favorable macro climate, our research continues to uncover exciting growth companies that are demonstrating resilience and growth.
Our goal is to find companies that can perform well and deliver strong financial results regardless of the macro environment. We want to find companies that can perform great in a good environment and good in a bad environment. Given the large universe of small-cap stocks, we believe there are ample opportunities to find high quality small-cap growth companies regardless of macro conditions. As stewards of your capital, we remain committed to finding these unique growth companies.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2010. |
(continued)
42
Ohio National Fund, Inc. | Small Cap Growth Portfolio (Continued) |
Change in Value of $10,000 Investment
Small Cap | Russell 2000 | |||||||
Growth Portfolio | Growth Index | |||||||
12/31/2000 | 10000 | 10000 | ||||||
06/30/2001 | 7330 | 10004 | ||||||
12/31/2001 | 6050 | 9077 | ||||||
06/30/2002 | 4985 | 7503 | ||||||
12/31/2002 | 4288 | 6330 | ||||||
06/30/2003 | 4968 | 7554 | ||||||
12/31/2003 | 6233 | 9403 | ||||||
06/30/2004 | 6224 | 9937 | ||||||
12/31/2004 | 6946 | 10748 | ||||||
06/30/2005 | 6980 | 10363 | ||||||
12/31/2005 | 7396 | 11195 | ||||||
06/30/2006 | 7957 | 11874 | ||||||
12/31/2006 | 9290 | 12689 | ||||||
06/30/2007 | 10657 | 13873 | ||||||
12/31/2007 | 10648 | 13583 | ||||||
06/30/2008 | 8322 | 12370 | ||||||
12/31/2008 | 5571 | 8348 | ||||||
06/30/2009 | 6853 | 9296 | ||||||
12/31/2009 | 8398 | 11226 | ||||||
06/30/2010 | 8390 | 10966 | ||||||
12/31/2010 | 10920 | 14491 |
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 December 31, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 97.3 | ||
Money Market Funds Less Net Liabilities | 2.7 | ||
100.0 | |||
Top 10 Portfolio Holdings as of December 31, 2010 (1) (2)
% of Net Assets | |||||||
1. | Ritchie Bros Auctioneers, Inc. | 2.3 | |||||
2. | World Fuel Services Corp. | 2.3 | |||||
3. | PSS World Medical, Inc. | 2.1 | |||||
4. | VistaPrint NV | 2.1 | |||||
5. | Dresser-Rand Group, Inc. | 2.1 | |||||
6. | Blackboard, Inc. | 2.0 | |||||
7. | MarketAxess Holdings., Inc. | 2.0 | |||||
8. | DG FastChannel, Inc. | 1.9 | |||||
9. | CoStar Group, Inc. | 1.8 | |||||
10. | National CineMedia, 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 | 24.8 | ||
Health Care | 19.1 | ||
Industrials | 18.1 | ||
Consumer Discretionary | 15.5 | ||
Financials | 8.4 | ||
Energy | 6.4 | ||
Materials | 2.6 | ||
Telecommunication Services | 1.5 | ||
Consumer Staples | 0.9 | ||
97.3 | |||
43
Ohio National Fund, Inc. | Small Cap Growth Portfolio |
Schedule of Investments | December 31, 2010 |
Common Stocks – 97.3% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 15.5% | ||||||||||
Peet’s Coffee & Tea, Inc. (Hotels, Restaurants & Leisure) | (a) | 4,060 | $ | 169,464 | ||||||
Jarden Corp. (Household Durables) | 10,732 | 331,297 | ||||||||
SodaStream International Ltd. (Household Durables) | (a) | 4,975 | 157,111 | |||||||
Polaris Industries, Inc. (Leisure Equip. & Products) | 5,525 | 431,061 | ||||||||
IMAX Corp. (Media) | (a) | 11,582 | 324,875 | |||||||
Lions Gate Entertainment Corp. (Media) | (a) | 21,411 | 139,386 | |||||||
National CineMedia, Inc. (Media) | 28,790 | 573,209 | ||||||||
Gordmans Stores, Inc. (Multiline Retail) | (a) | 14,040 | 235,310 | |||||||
Hibbett Sports, Inc. (Specialty Retail) | (a) | 8,880 | 327,672 | |||||||
Lumber Liquidators Holdings, Inc. (Specialty Retail) | (a) | 16,855 | 419,858 | |||||||
Tractor Supply Co. (Specialty Retail) | 5,500 | 266,695 | ||||||||
Carter’s, Inc. (Textiles, Apparel & Luxury Goods) | (a) | 15,485 | 456,962 | |||||||
Maidenform Brands, Inc. (Textiles, Apparel & Luxury Goods) | (a) | 18,595 | 442,003 | |||||||
Under Armour, Inc. Class A (Textiles, Apparel & Luxury Goods) | (a) | 2,720 | 149,165 | |||||||
Wolverine World Wide, Inc. (Textiles, Apparel & Luxury Goods) | 16,805 | 535,743 | ||||||||
4,959,811 | ||||||||||
CONSUMER STAPLES – 0.9% | ||||||||||
Primo Water Corp. (Beverages) | (a) | 20,920 | 297,273 | |||||||
ENERGY – 6.4% | ||||||||||
Dresser-Rand Group, Inc. (Energy Equip. & Svs.) | (a) | 15,530 | 661,423 | |||||||
Dril-Quip, Inc. (Energy Equip. & Svs.) | (a) | 4,420 | 343,522 | |||||||
Targa Resources Corp. (Oil, Gas & Consumable Fuels) | (a) | 12,417 | 332,900 | |||||||
World Fuel Services Corp. (Oil, Gas & Consumable Fuels) | 20,198 | 730,360 | ||||||||
2,068,205 | ||||||||||
FINANCIALS – 8.4% | ||||||||||
Epoch Holding Corp. (Capital Markets) | 16,832 | 261,401 | ||||||||
Financial Engines, Inc. (Capital Markets) | (a) | 11,647 | 230,960 | |||||||
FXCM, Inc. Class A (Capital Markets) | (a) | 4,740 | 62,805 | |||||||
Gluskin Sheff + Associates, Inc. (Capital Markets) | 10,400 | 217,456 | ||||||||
Cash Store Financial Services, Inc. / The (Consumer Finance) | 18,380 | 283,971 | ||||||||
Credit Acceptance Corp. (Consumer Finance) | (a) | 5,019 | 315,043 | |||||||
Netspend Holdings, Inc. (Consumer Finance) | (a) | 14,815 | 189,928 | |||||||
MarketAxess Holdings, Inc. (Diversified Financial Svs.) | 30,225 | 628,982 | ||||||||
MSCI, Inc. Class A (Diversified Financial Svs.) | (a) | 8,046 | 313,472 | |||||||
Fox Chase Bancorp, Inc. (Thrifts & Mortgage Finance) | (a) | 7,765 | 92,015 | |||||||
Northwest Bancshares, Inc. (Thrifts & Mortgage Finance) | 7,925 | 93,198 | ||||||||
2,689,231 | ||||||||||
HEALTH CARE – 19.1% | ||||||||||
Achillion Pharmaceuticals, Inc. (Biotechnology) | (a) | 22,177 | 92,035 | |||||||
Incyte Corp Ltd. (Biotechnology) | (a) | 13,115 | 217,184 | |||||||
Seattle Genetics, Inc. (Biotechnology) | (a) | 10,775 | 161,086 | |||||||
Conceptus, Inc. (Health Care Equip. & Supplies) | (a) | 21,080 | 290,904 | |||||||
Gen-Probe, Inc. (Health Care Equip. & Supplies) | (a) | 9,735 | 568,037 | |||||||
HeartWare International, Inc. (Health Care Equip. & Supplies) | (a) | 6,055 | 530,236 | |||||||
Masimo Corp. (Health Care Equip. & Supplies) | 5,020 | 145,931 | ||||||||
NuVasive, Inc. (Health Care Equip. & Supplies) | (a) | 14,395 | 369,232 | |||||||
Quidel Corp. (Health Care Equip. & Supplies) | (a) | 11,800 | 170,510 | |||||||
Volcano Corp. (Health Care Equip. & Supplies) | (a) | 6,165 | 168,366 | |||||||
Bio-Reference Labs, Inc. (Health Care Providers & Svs.) | (a) | 12,785 | 283,571 | |||||||
Catalyst Health Solutions, Inc. (Health Care Providers & Svs.) | (a) | 8,322 | 386,890 | |||||||
ExamWorks Group, Inc. (Health Care Providers & Svs.) | (a) | 8,680 | 160,406 | |||||||
HMS Holdings Corp. (Health Care Providers & Svs.) | (a) | 2,503 | 162,119 | |||||||
MWI Veterinary Supply, Inc. (Health Care Providers & Svs.) | (a) | 6,310 | 398,477 | |||||||
PSS World Medical, Inc. (Health Care Providers & Svs.) | (a) | 29,902 | 675,785 | |||||||
athenahealth, Inc. (Health Care Technology) | (a) | 9,994 | 409,554 | |||||||
Omnicell, Inc. (Health Care Technology) | (a) | 11,665 | 168,559 | |||||||
SXC Health Solutions Corp. (Health Care Technology) | (a) | 7,918 | 339,366 | |||||||
Techne Corp. (Life Sciences Tools & Svs.) | 6,417 | 421,404 | ||||||||
6,119,652 | ||||||||||
INDUSTRIALS – 18.1% | ||||||||||
TransDigm Group, Inc. (Aerospace & Defense) | (a) | 4,575 | 329,446 | |||||||
HUB Group, Inc. Class A (Air Freight & Logistics) | (a) | 9,230 | 324,342 | |||||||
Clean Harbors, Inc. (Commercial Svs. & Supplies) | (a) | 4,440 | 373,315 | |||||||
Ritchie Bros Auctioneers, Inc. (Commercial Svs. & Supplies) | 32,206 | 742,348 | ||||||||
Standard Parking Corp. (Commercial Svs. & Supplies) | (a) | 24,370 | 460,349 | |||||||
Barnes Group, Inc. (Machinery) | 17,643 | 364,681 | ||||||||
Wabtec Corp. (Machinery) | 9,368 | 495,474 | ||||||||
Horizon Lines, Inc. Class A (Marine) | 35,343 | 154,449 | ||||||||
CoStar Group, Inc. (Professional Svs.) | (a) | 10,198 | 586,997 | |||||||
Resources Connection, Inc. (Professional Svs.) | 23,877 | 443,873 | ||||||||
Landstar System, Inc. (Road & Rail) | 7,840 | 320,970 | ||||||||
Old Dominion Freight Line, Inc. (Road & Rail) | (a) | 12,213 | 390,694 | |||||||
Rush Enterprises, Inc. Class B (Trading Companies & Distributors) | (a) | 17,044 | 308,667 | |||||||
WESCO International, Inc. (Trading Companies & Distributors) | (a) | 9,680 | 511,104 | |||||||
5,806,709 | ||||||||||
INFORMATION TECHNOLOGY – 24.8% | ||||||||||
DG FastChannel, Inc. (Communications Equip.) | (a) | 21,092 | 609,137 | |||||||
DTS, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 8,630 | 423,302 | |||||||
Envestnet, Inc. (Internet Software & Svs.) | (a) | 11,685 | 199,346 | |||||||
IntraLinks Holdings, Inc. (Internet Software & Svs.) | (a) | 7,330 | 137,144 | |||||||
LivePerson, Inc. (Internet Software & Svs.) | (a) | 31,690 | 358,097 | |||||||
NIC, Inc. (Internet Software & Svs.) | 19,658 | 190,879 | ||||||||
Rackspace Hosting, Inc. (Internet Software & Svs.) | (a) | 10,550 | 331,376 | |||||||
VistaPrint NV (Internet Software & Svs.) | (a) | 14,665 | 674,590 | |||||||
Vocus, Inc. (Internet Software & Svs.) | (a) | 18,387 | 508,584 | |||||||
Cardtronics, Inc. (IT Svs.) | (a) | 18,975 | 335,858 | |||||||
Euronet Worldwide, Inc. (IT Svs.) | (a) | 27,010 | 471,054 | |||||||
Gartner, Inc. (IT Svs.) | (a) | 9,630 | 319,716 | |||||||
Ceva, Inc. (Semiconductors & Equip.) | (a) | 22,046 | 451,943 | |||||||
Blackboard, Inc. (Software) | (a) | 15,463 | 638,622 | |||||||
Concur Technologies, Inc. (Software) | (a) | 2,986 | 155,063 | |||||||
Convio, Inc. (Software) | (a) | 32,261 | 267,121 | |||||||
MICROS Systems, Inc. (Software) | (a) | 9,625 | 422,153 | |||||||
MicroStrategy, Inc. Class A (Software) | (a) | 3,420 | 292,307 | |||||||
RealD, Inc. (Software) | (a) | 12,750 | 330,480 | |||||||
RealPage, Inc. (Software) | (a) | 5,305 | 164,084 | |||||||
SS&C Technologies Holdings, Inc. (Software) | (a) | 14,925 | 306,112 | |||||||
Tyler Technologies, Inc. (Software) | (a) | 8,886 | 184,473 | |||||||
Ultimate Software Group, Inc. (Software) | (a) | 4,097 | 199,237 | |||||||
7,970,678 | ||||||||||
MATERIALS – 2.6% | ||||||||||
Intrepid Potash, Inc. (Chemicals) | (a) | 12,205 | 455,125 | |||||||
Nalco Holding Co. (Chemicals) | 12,133 | 387,528 | ||||||||
842,653 | ||||||||||
TELECOMMUNICATION SERVICES – 1.5% | ||||||||||
inContact, Inc. (Diversified Telecom. Svs.) | (a) | 29,223 | 95,851 | |||||||
SBA Communications Corp. Class A (Wireless Telecom. Svs.) | (a) | 9,506 | 389,176 | |||||||
485,027 | ||||||||||
Total Common Stocks (Cost $24,998,513) | $ | 31,239,239 | ||||||||
(continued)
44
Ohio National Fund, Inc. | Small Cap Growth Portfolio (Continued) |
Schedule of Investments | December 31, 2010 |
Money Market Funds – 2.8% | Shares | Value | ||||||||
Fidelity Institutional Money Market Funds | ||||||||||
Money Market Portfolio – Class I | 906,000 | $ | 906,000 | |||||||
Total Money Market Funds (Cost $906,000) | $ | 906,000 | ||||||||
Total Investments – 100.1% (Cost $25,904,513) | (b) | $ | 32,145,239 | |||||||
Liabilities in Excess of Other Assets – (0.1)% | (45,804 | ) | ||||||||
Net Assets – 100.0% | $ | 32,099,435 | ||||||||
Percentages are stated as a percent of net assets.
Footnotes:
(a) | Non-income producing security. | |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
45
Ohio National Fund, Inc. | 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 December 31, 2010
Average Annual Total Returns: | ||||
One year | 19.60% | |||
Five years | 1.16% | |||
Ten years | 2.29% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the year ended December 31, 2010, the Mid Cap Opportunity Portfolio returned 19.60% versus 26.38% for the current benchmark, the Russell Midcap Growth Index.
U.S. equities capped 2010 on a note of optimism, as the S&P 500 Index returned 6.68% in December, lifting its year-to-date return to 15.06%. For the year, cyclical stocks led returns, as investors focused on the strong growth and demand from outside the developed markets. As a result, the Consumer Discretionary sector, particularly automotive-related stocks, and the Industrials and Materials sectors outperformed. More defensive sectors, such as Utilities and Health Care, lagged for the full year. The U.S. equity market significantly outperformed the MSCI World Index average of 9.6% in U.S. dollar terms, as investors gained confidence in the economic recovery. Recent positive data points included robust retail sales figures and strong increases in purchasing and manufacturing. U.S. markets also reflected confidence in continued accommodative monetary and fiscal policy, most recently evidenced by the extension of tax cuts. Consistent with investor optimism and preference for cyclical exposure, small- and mid-cap stocks, as well as growth stocks, on average, significantly outperformed the broader market during the year.
The Portfolio delivered strong absolute returns but underperformed the Russell Midcap Growth Index. Weakness in select Information Technology and Industrials holdings detracted from relative performance, while positive stock selection in Energy and an underweight in the Utilities sector contributed to relative returns.
Netflix.com was the top contributor to performance during the year. The company has continued to add subscribers, driven predominantly by its “watch instantly” service that can stream movies and TV shows from the Internet directly to subscribers’ computers. 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. While we maintain our conviction in the fundamentals of the business, we believed the stock had reached full valuation and subsequently sold out of the position in August.(1)
CB Richard Ellis Group, Inc., the world’s leading commercial real estate services firm, contributed to relative performance after reporting earnings that exceeded expectations. The results were driven by strong revenues in property sales and leasing, as well as cost reductions during the recent downturn which resulted in significant operating leverage. We continue to have conviction in the company given the strength of its franchise, its service-oriented business model, and its strong management team.(1)
Within the Energy sector, Whiting Petroleum Corp. was a top contributor to performance. Its share price increased as the company reported strong drilling results in a number of new wells and maintained discipline on expenses. We believe the company’s expertise in Efficient Oil Recovery (EOR) techniques provides a competitive advantage and allows Whiting Petroleum Corp. to sustain production growth.(1)
Also in Energy, Core Laboratories NV contributed to performance. 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 the U.S. 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 would continue to benefit from the growth in the U.S. natural gas exploration industry.(1)
Industrial tool manufacturer Kennametal, Inc. contributed to performance after the company reported earnings that were above expectations and subsequently raised full year guidance. The company executed well in 2010, as order rates remained strong and the company is tracking its long term growth objectives. We continue to believe Kennametal, Inc. has an excellent management team and attractive growth opportunities but, given the volatility in the name, we decided to trim the position for risk management purposes.(1)
FormFactor, Inc. was a top detractor from performance. The company designs and manufactures wafer probe cards that are used for testing semiconductor chips. While its revenue generation has been consistent with market expectations, shares of the company traded down on concerns that higher than expected supply chain costs would push margins to fall below consensus expectations. Due to these near-term challenges, the company has reorganized its management team in order to return FormFactor, Inc. to profitability. While, in our view, the company possesses a sufficient level of cash to engineer a turnaround and reduce its long term cost structure, we believe a full recovery may take longer than we previously estimated. We, therefore, decided to exit the position in favor of higher conviction names.(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 fiscal year 2010 than previously anticipated. On the positive side, U.S. sales have stabilized after the recent economic downturn and there was strong growth in payment 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 services company Equinix, Inc. detracted from performance as the company’s disappointing third quarter earnings
(continued)
46
Ohio National Fund, Inc. | Mid Cap Opportunity Portfolio (Continued) |
weighed on its shares. In October, Equinix pre-announced third quarter and full year 2010 revenue that fell short of expectations, as the company is believed to have made pricing concessions to retain key customers. While it may take time for investors to regain confidence in the company, we continue to believe that the key long-term, secular growth drivers behind our original investment thesis, including cloud computing, mobile data, and video, are still in place.(1)
People’s United Financial, Inc. detracted from performance. While the company has begun to utilize its excess capital by acquiring several smaller banks, its shares were down as the bank has yet to complete any deals of significant size. In our view, the bank is well-capitalized with high quality assets as a result of strong management practices and the recent small acquisitions can allow it to build out its geographic footprint. We believe People’s United Financial, Inc. will be able to continue this trend and acquire attractive assets at depressed prices.(1)
In the Consumer Discretionary sector, Staples, Inc., an office supply company, detracted from relative returns. The company remains focused on cost cutting, gaining market share from competitors, and expanding its geographic footprint in less saturated markets. Staples, Inc. continues to make investments in new business processes that should strengthen its brand and position it for growth over the long-term. We believe Staples, Inc. should also benefit from pent-up demand given the drawdown of inventory in its corporate client base. We expect that normalization in inventory drawdown should generate demand growth.(1)
During the year, we initiated a position in semiconductor chip company Xilinx, Inc. It is a leader in programmable logic devices (PLDs), which are used by customers around the world in a variety of industries including automotive, broadcast, consumer, medical, and military. The company meets our investment criteria for its dominant market position and competitive edge in PLDs. In our view, Xilinx, Inc. should benefit from the secular trend of PLDs taking share from application-specific integrated circuits (ASICs), an alternative semiconductor chip. We believe the addressable market for PLDs should continue to expand as they can offer significant benefits such as lower development costs, shorter development time, and upgradability. Xilinx, Inc. operates in a duopoly in the PLD space, which provides pricing power, and its low fixed costs enable it to generate significant free cash flow. Furthermore, we believe the company’s innovative software serves as a barrier to entry.(1)
In 2010, we initiated a position in SBA Communications Corp. The company is a wireless tower owner and operator that licenses antennae space on its towers to wireless service providers. We believe the company’s business model is attractive with long-term leases and fixed annual lease escalators that provide transparency and predictability to revenue and earnings growth. As demand for mobile content grows, we believe tower leasing should increase as wireless carriers are required to add capacity in order to support increased usage, network upgrades and improved coverage.(1)
We exited our position in American Tower Corp. The company has been a long term holding in the Portfolio and has been a strong performer over its history. Currently, we believe that given its larger market capitalization, it is no longer suitable for a mid-cap portfolio.(1)
We exited our position in Biogen Idec as shares have meaningfully appreciated since our initial purchase. Our original investment thesis was based on the belief that the market did not fully appreciate Biogen Idec’s true earnings potential as the company was overspending on research and development. Recently, Biogen Idec announced a significant reduction in spending, yielding higher earnings power and the stock rallied on the news. Consequently, we decided to exit our position in Biogen Idec as we believed the gap between the company’s intrinsic value and stock price had narrowed.(1)
Equity markets rallied strongly during the fourth quarter, extending gains that began in early September. Additionally, stock price momentum became a growing trend and investors’ appetite for equities increased, as noted in retail mutual fund flows. We are encouraged that the global economy appears to have entered its next chapter of recovery and a hand-off from government subsidized stimulus to a more self-sustainable stage lead by healthy corporate spending and consumer participation has begun. Recent tax policies out of Washington are also helpful in increasing confidence and helping create some needed visibility into the future so that longer-term investment plans can be put in place. We remain optimistic on corporate profits, predominantly driven by top line rather than margin expansion. We have seen, and expect to continue to see, more in the way of strategic mergers and acquisitions, private equity transactions, and corporate buybacks; giving us a good backdrop for demand for equities. However, we believe that the need to pick the right stocks in the coming year will increase as not all companies will be beneficiaries of these trends. Greater differentiation between stocks will continue as correlations decline from their 2010 highs, in our view.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2010. |
Change in Value of $10,000 Investment
Mid Cap | Russell Midcap | |||||||
Opportunity Portfolio | Growth Index | |||||||
12/31/2000 | 10000 | 10000 | ||||||
06/30/2001 | 9851 | 8704 | ||||||
12/31/2001 | 8717 | 7985 | ||||||
06/30/2002 | 7204 | 6412 | ||||||
12/31/2002 | 6483 | 5797 | ||||||
06/30/2003 | 7718 | 6883 | ||||||
12/31/2003 | 9487 | 8272 | ||||||
06/30/2004 | 9984 | 8764 | ||||||
12/31/2004 | 10773 | 9553 | ||||||
06/30/2005 | 10733 | 9716 | ||||||
12/31/2005 | 11849 | 10709 | ||||||
06/30/2006 | 12454 | 10983 | ||||||
12/31/2006 | 12992 | 11850 | ||||||
06/30/2007 | 14898 | 13149 | ||||||
12/31/2007 | 15313 | 13204 | ||||||
06/30/2008 | 13019 | 12305 | ||||||
12/31/2008 | 7459 | 7351 | ||||||
06/30/2009 | 8201 | 8573 | ||||||
12/31/2009 | 10488 | 10754 | ||||||
06/30/2010 | 9943 | 10398 | ||||||
12/31/2010 | 12543 | 13592 |
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)
47
Ohio National Fund, Inc. | Mid Cap Opportunity Portfolio (Continued) |
Portfolio Composition as of December 31, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 96.8 | ||
Money Market Funds Less Net Liabilities | 3.2 | ||
100.0 | |||
Top 10 Portfolio Holdings as of December 31, 2010 (1) (2)
% of Net Assets | |||||||
1. | St. Jude Medical, Inc. | 2.6 | |||||
2. | Global Payments, Inc. | 2.5 | |||||
3. | Xilinx, Inc. | 2.4 | |||||
4. | SBA Communications Corp. Class A | 2.4 | |||||
5. | Cameron International Corp. | 2.2 | |||||
6. | PetSmart, Inc. | 2.2 | |||||
7. | Polo Ralph Lauren Corp. | 2.1 | |||||
8. | Staples, Inc. | 2.1 | |||||
9. | Northern Trust Corp. | 2.1 | |||||
10. | Avon Products, Inc. | 2.0 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Information Technology | 22.2 | ||
Consumer Discretionary | 19.2 | ||
Financials | 14.5 | ||
Industrials | 13.0 | ||
Energy | 9.3 | ||
Health Care | 9.1 | ||
Telecommunication Services | 5.0 | ||
Materials | 2.5 | ||
Consumer Staples | 2.0 | ||
96.8 | |||
48
Ohio National Fund, Inc. | Mid Cap Opportunity Portfolio |
Schedule of Investments | December 31, 2010 |
Common Stocks – 96.8% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 19.2% | ||||||||||
Coinstar, Inc. (Diversified Consumer Svs.) | (a) | 19,443 | $ | 1,097,363 | ||||||
Newell Rubbermaid, Inc. (Household Durables) | 71,673 | 1,303,015 | ||||||||
Lamar Advertising Co. Class A (Media) | (a) | 28,256 | 1,125,719 | |||||||
Advance Auto Parts, Inc. (Specialty Retail) | 10,214 | 675,656 | ||||||||
Bed Bath & Beyond, Inc. (Specialty Retail) | (a) | 26,677 | 1,311,175 | |||||||
Dick’s Sporting Goods, Inc. (Specialty Retail) | (a) | 21,226 | 795,975 | |||||||
GameStop Corp. Class A (Specialty Retail) | (a) | 57,562 | 1,317,019 | |||||||
PetSmart, Inc. (Specialty Retail) | 38,541 | 1,534,703 | ||||||||
Staples, Inc. (Specialty Retail) | 65,407 | 1,489,317 | ||||||||
Phillips-Van Heusen Corp. (Textiles, Apparel & Luxury Goods) | 20,970 | 1,321,320 | ||||||||
Polo Ralph Lauren Corp. (Textiles, Apparel & Luxury Goods) | 13,609 | 1,509,510 | ||||||||
13,480,771 | ||||||||||
CONSUMER STAPLES – 2.0% | ||||||||||
Avon Products, Inc. (Personal Products) | 49,468 | 1,437,540 | ||||||||
ENERGY – 9.3% | ||||||||||
Cameron International Corp. (Energy Equip. & Svs.) | (a) | 30,963 | 1,570,753 | |||||||
Core Laboratories NV (Energy Equip. & Svs.) | 10,475 | 932,799 | ||||||||
Dril-Quip, Inc. (Energy Equip. & Svs.) | (a) | 13,730 | 1,067,096 | |||||||
Petrohawk Energy Corp. (Oil, Gas & Consumable Fuels) | (a) | 29,498 | 538,339 | |||||||
Southwestern Energy Co. (Oil, Gas & Consumable Fuels) | (a) | 35,571 | 1,331,423 | |||||||
Whiting Petroleum Corp. (Oil, Gas & Consumable Fuels) | (a) | 9,243 | 1,083,187 | |||||||
6,523,596 | ||||||||||
FINANCIALS – 14.5% | ||||||||||
Affiliated Managers Group, Inc. (Capital Markets) | (a) | 3,473 | 344,591 | |||||||
Lazard Ltd. Class A (Capital Markets) | 27,980 | 1,104,930 | ||||||||
Northern Trust Corp. (Capital Markets) | 26,267 | 1,455,454 | ||||||||
TD Ameritrade Holding Corp. (Capital Markets) | 67,362 | 1,279,204 | ||||||||
First Republic Bank (Commercial Banks) | (a) | 20,345 | 592,446 | |||||||
SLM Corp. (Consumer Finance) | (a) | 83,457 | 1,050,724 | |||||||
IntercontinentalExchange, Inc. (Diversified Financial Svs.) | (a) | 11,872 | 1,414,549 | |||||||
Principal Financial Group, Inc. (Insurance) | 16,031 | 521,969 | ||||||||
CB Richard Ellis Group, Inc. Class A (Real Estate Mgmt. & Development) | (a) | 68,949 | 1,412,076 | |||||||
People’s United Financial, Inc. (Thrifts & Mortgage Finance) | 74,292 | 1,040,831 | ||||||||
10,216,775 | ||||||||||
HEALTH CARE – 9.1% | ||||||||||
CareFusion Corp. (Health Care Equip. & Supplies) | (a) | 40,787 | 1,048,226 | |||||||
C.R. Bard, Inc. (Health Care Equip. & Supplies) | 14,688 | 1,347,918 | ||||||||
Intuitive Surgical, Inc. (Health Care Equip. & Supplies) | (a) | 1,858 | 478,900 | |||||||
St. Jude Medical, Inc. (Health Care Equip. & Supplies) | (a) | 42,955 | 1,836,326 | |||||||
Henry Schein, Inc. (Health Care Providers & Svs.) | (a) | 19,313 | 1,185,625 | |||||||
Emdeon, Inc. Class A (Health Care Technology) | (a) | 39,473 | 534,464 | |||||||
6,431,459 | ||||||||||
INDUSTRIALS – 13.0% | ||||||||||
Alliant Techsystems, Inc. (Aerospace & Defense) | (a) | 12,862 | 957,319 | |||||||
DigitalGlobe, Inc. (Aerospace & Defense) | (a) | 21,361 | 677,357 | |||||||
Raytheon Co. (Aerospace & Defense) | 17,079 | 791,441 | ||||||||
C.H. Robinson Worldwide, Inc. (Air Freight & Logistics) | 6,134 | 491,885 | ||||||||
Iron Mountain, Inc. (Commercial Svs. & Supplies) | 55,240 | 1,381,552 | ||||||||
Quanta Services, Inc. (Construction & Engineering) | (a) | 56,464 | 1,124,763 | |||||||
Rockwell Automation, Inc. (Electrical Equip.) | 6,802 | 487,771 | ||||||||
Roper Industries, Inc. (Electrical Equip.) | 10,889 | 832,246 | ||||||||
Kennametal, Inc. (Machinery) | 28,363 | 1,119,204 | ||||||||
Verisk Analytics, Inc. Class A (Professional Svs.) | (a) | 37,629 | 1,282,396 | |||||||
9,145,936 | ||||||||||
INFORMATION TECHNOLOGY – 22.2% | ||||||||||
NetApp, Inc. (Computers & Peripherals) | (a) | 18,830 | 1,034,897 | |||||||
Amphenol Corp. Class A (Electronic Equip., Instr. & Comp.) | 27,084 | 1,429,494 | ||||||||
FLIR Systems, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 36,024 | 1,071,714 | |||||||
Equinix, Inc. (Internet Software & Svs.) | (a) | 10,807 | 878,177 | |||||||
GSI Commerce, Inc. (Internet Software & Svs.) | (a) | 17,598 | 408,274 | |||||||
FleetCor Technologies, Inc. (IT Svs.) | (a) | 10,352 | 320,084 | |||||||
Genpact Ltd. (IT Svs.) | (a) | 26,257 | 399,106 | |||||||
Global Payments, Inc. (IT Svs.) | 38,386 | 1,773,817 | ||||||||
VeriFone Systems, Inc. (IT Svs.) | (a) | 13,991 | 539,493 | |||||||
Western Union Co. / The (IT Svs.) | 46,932 | 871,527 | ||||||||
Altera Corp. (Semiconductors & Equip.) | 19,014 | 676,518 | ||||||||
Broadcom Corp. Class A (Semiconductors & Equip.) | 15,267 | 664,878 | ||||||||
Linear Technology Corp. (Semiconductors & Equip.) | 19,848 | 686,542 | ||||||||
Xilinx, Inc. (Semiconductors & Equip.) | 59,300 | 1,718,514 | ||||||||
Citrix Systems, Inc. (Software) | (a) | 16,372 | 1,120,009 | |||||||
RealD, Inc. (Software) | (a) | 22,688 | 588,073 | |||||||
Salesforce.com, Inc. (Software) | (a) | 7,274 | 960,168 | |||||||
SuccessFactors, Inc. (Software) | (a) | 15,465 | 447,866 | |||||||
15,589,150 | ||||||||||
MATERIALS – 2.5% | ||||||||||
Ecolab, Inc. (Chemicals) | 25,232 | 1,272,197 | ||||||||
Schweitzer-Mauduit International, Inc. (Paper & Forest Products) | 7,945 | 499,899 | ||||||||
1,772,097 | ||||||||||
TELECOMMUNICATION SERVICES – 5.0% | ||||||||||
tw telecom, Inc. (Diversified Telecom. Svs.) | (a) | 55,969 | 954,271 | |||||||
Crown Castle International Corp. (Wireless Telecom. Svs.) | (a) | 20,537 | 900,137 | |||||||
SBA Communications Corp. Class A (Wireless Telecom. Svs.) | (a) | 41,075 | 1,681,611 | |||||||
3,536,019 | ||||||||||
Total Common Stocks (Cost $58,534,683) | $ | 68,133,342 | ||||||||
Money Market Funds – 3.5% | Shares | Value | ||||||||
Fidelity Institutional Money Market Funds | ||||||||||
Prime Money Market Portfolio – Class I | 2,488,000 | $ | 2,488,000 | |||||||
Total Money Market Funds (Cost $2,488,000) | $ | 2,488,000 | ||||||||
Total Investments – 100.3% (Cost $61,022,683) | (b) | $ | 70,621,342 | |||||||
Liabilities in Excess of Other Assets – (0.3)% | (253,899 | ) | ||||||||
Net Assets – 100.0% | $ | 70,367,443 | ||||||||
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.
49
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 (S&P 500® Index), at a risk level consistent with that of the Standard & Poor’s 500® Index.
Performance as of December 31, 2010
Average Annual Total Returns: | ||||
One year | 14.45% | |||
Five years | 1.81% | |||
Ten years | 0.78% |
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 year ended December 31, 2010, the S&P 500® Index Portfolio returned 14.45% versus 15.06% 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 the SPDR S&P 500 ETF Trust, an exchange traded fund that mimics the holdings and returns of the S&P 500® Index.(1)
The largest contributors to the index return for 2010 were Apple, Inc., Citigroup, Inc., General Electric Co., Chevron Corp., and Schlumberger Ltd. The largest detractors for the index in 2010 were Hewlett-Packard Co., Microsoft Corp., Cisco Systems, Inc., Bank of America Corp., and Abbott Laboratories.
2010 turned out to be a pretty good year for stocks. U.S. equity indexes had double digit returns, rallying the last several months of the year. This was due to the economy stabilizing, and the Federal Reserve’s continued stance on stimulative policies such as quantitative easing.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 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 |
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)
50
Ohio National Fund, Inc. | S&P 500® Index Portfolio (Continued) |
Portfolio Composition as of December 31, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 98.7 | ||
Exchange Traded Funds | 1.0 | ||
Commercial Paper and Other Net Assets | 0.3 | ||
100.0 | |||
Top 10 Portfolio Holdings as of December 31, 2010 (1) (2)
% of Net Assets | |||||||
1. | Exxon Mobil Corp. | 3.2 | |||||
2. | Apple, Inc. | 2.6 | |||||
3. | Microsoft Corp. | 1.8 | |||||
4. | General Electric Co. | 1.7 | |||||
5. | Chevron Corp. | 1.6 | |||||
6. | International Business Machines Corp. | 1.6 | |||||
7. | Procter & Gamble Co. / The | 1.6 | |||||
8. | AT&T, Inc. | 1.5 | |||||
9. | Johnson & Johnson | 1.5 | |||||
10. | JPMorgan Chase & Co. | 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: |
% of Net Assets | |||
Information Technology | 18.4 | ||
Financials | 15.8 | ||
Energy | 11.9 | ||
Industrials | 10.8 | ||
Health Care | 10.8 | ||
Consumer Discretionary | 10.5 | ||
Consumer Staples | 10.5 | ||
Materials | 3.7 | ||
Utilities | 3.3 | ||
Telecommunication Services | 3.0 | ||
98.7 | |||
51
Ohio National Fund, Inc. | S&P 500® Index Portfolio |
Schedule of Investments | December 31, 2010 |
Common Stocks – 98.7% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 10.5% | ||||||||||
Goodyear Tire & Rubber Co. / The (Auto Components) | (a) | 3,700 | $ | 43,845 | ||||||
Johnson Controls, Inc. (Auto Components) | 10,300 | 393,460 | ||||||||
Ford Motor Co. (Automobiles) | (a) | 57,087 | 958,491 | |||||||
Harley-Davidson, Inc. (Automobiles) | 3,600 | 124,812 | ||||||||
Genuine Parts Co. (Distributors) | 2,400 | 123,216 | ||||||||
Apollo Group, Inc. Class A (Diversified Consumer Svs.) | (a) | 1,900 | 75,031 | |||||||
DeVry, Inc. (Diversified Consumer Svs.) | 900 | 43,182 | ||||||||
H&R Block, Inc. (Diversified Consumer Svs.) | 4,700 | 55,977 | ||||||||
Carnival Corp. (Hotels, Restaurants & Leisure) | 6,600 | 304,326 | ||||||||
Darden Restaurants, Inc. (Hotels, Restaurants & Leisure) | 2,100 | 97,524 | ||||||||
International Game Technology (Hotels, Restaurants & Leisure) | 4,500 | 79,605 | ||||||||
Marriott International, Inc. Class A (Hotels, Restaurants & Leisure) | 4,346 | 180,533 | ||||||||
McDonald’s Corp. (Hotels, Restaurants & Leisure) | 16,100 | 1,235,836 | ||||||||
Starbucks Corp. (Hotels, Restaurants & Leisure) | 11,300 | 363,069 | ||||||||
Starwood Hotels & Resorts Worldwide, Inc. (Hotels, Restaurants & Leisure) | 2,900 | 176,262 | ||||||||
Wyndham Worldwide Corp. (Hotels, Restaurants & Leisure) | 2,660 | 79,694 | ||||||||
Wynn Resorts Ltd. (Hotels, Restaurants & Leisure) | 1,200 | 124,608 | ||||||||
Yum! Brands, Inc. (Hotels, Restaurants & Leisure) | 7,100 | 348,255 | ||||||||
D.R. Horton, Inc. (Household Durables) | 4,300 | 51,299 | ||||||||
Fortune Brands, Inc. (Household Durables) | 2,300 | 138,575 | ||||||||
Harman International Industries, Inc. (Household Durables) | (a) | 1,100 | 50,930 | |||||||
Leggett & Platt, Inc. (Household Durables) | 2,200 | 50,072 | ||||||||
Lennar Corp. Class A (Household Durables) | 2,400 | 45,000 | ||||||||
Newell Rubbermaid, Inc. (Household Durables) | 4,400 | 79,992 | ||||||||
Pulte Group, Inc. (Household Durables) | (a) | 5,150 | 38,728 | |||||||
Stanley Black & Decker, Inc. (Household Durables) | 2,547 | 170,318 | ||||||||
Whirlpool Corp. (Household Durables) | 1,155 | 102,599 | ||||||||
Amazon.com, Inc. (Internet & Catalog Retail) | (a) | 5,400 | 972,000 | |||||||
Expedia, Inc. (Internet & Catalog Retail) | 3,100 | 77,779 | ||||||||
NetFlix, Inc. (Internet & Catalog Retail) | (a) | 700 | 122,990 | |||||||
priceline.com, Inc. (Internet & Catalog Retail) | (a) | 750 | 299,662 | |||||||
Hasbro, Inc. (Leisure Equip. & Products) | 2,100 | 99,078 | ||||||||
Mattel, Inc. (Leisure Equip. & Products) | 5,500 | 139,865 | ||||||||
Cablevision Systems Corp. Class A (Media) | 3,700 | 125,208 | ||||||||
CBS Corp. Class B (Media) | 10,350 | 197,167 | ||||||||
Comcast Corp. Class A (Media) | 42,453 | 932,692 | ||||||||
DIRECTV Class A (Media) | (a) | 12,700 | 507,111 | |||||||
Discovery Communications, Inc. Class A (Media) | (a) | 4,300 | 179,310 | |||||||
Gannett Co., Inc. (Media) | 3,600 | 54,324 | ||||||||
Interpublic Group of Cos., Inc. / The (Media) | (a) | 7,423 | 78,832 | |||||||
McGraw-Hill Cos., Inc. / The (Media) | 4,700 | 171,127 | ||||||||
Meredith Corp. (Media) | 600 | 20,790 | ||||||||
News Corp. Class A (Media) | 34,800 | 506,688 | ||||||||
Omnicom Group, Inc. (Media) | 4,600 | 210,680 | ||||||||
Scripps Networks Interactive, Inc. Class A (Media) | 1,400 | 72,450 | ||||||||
Time Warner Cable, Inc. (Media) | 5,432 | 358,675 | ||||||||
Time Warner, Inc. (Media) | 16,866 | 542,579 | ||||||||
Viacom, Inc. Class B (Media) | 9,250 | 366,392 | ||||||||
Walt Disney Co. / The (Media) | 28,800 | 1,080,288 | ||||||||
Washington Post Co. / The Class B (Media) | 100 | 43,950 | ||||||||
Big Lots, Inc. (Multiline Retail) | (a) | 1,200 | 36,552 | |||||||
Family Dollar Stores, Inc. (Multiline Retail) | 1,900 | 94,449 | ||||||||
J.C. Penney Co., Inc. (Multiline Retail) | 3,600 | 116,316 | ||||||||
Kohl’s Corp. (Multiline Retail) | (a) | 4,500 | 244,530 | |||||||
Macy’s, Inc. (Multiline Retail) | 6,476 | 163,843 | ||||||||
Nordstrom, Inc. (Multiline Retail) | 2,600 | 110,188 | ||||||||
Sears Holdings Corp. (Multiline Retail) | (a) | 701 | 51,699 | |||||||
Target Corp. (Multiline Retail) | 10,800 | 649,404 | ||||||||
Abercrombie & Fitch Co. Class A (Specialty Retail) | 1,300 | 74,919 | ||||||||
AutoNation, Inc. (Specialty Retail) | (a) | 1,000 | 28,200 | |||||||
AutoZone, Inc. (Specialty Retail) | (a) | 400 | 109,036 | |||||||
Bed Bath & Beyond, Inc. (Specialty Retail) | (a) | 3,900 | 191,685 | |||||||
Best Buy Co., Inc. (Specialty Retail) | 5,075 | 174,022 | ||||||||
CarMax, Inc. (Specialty Retail) | (a) | 3,400 | 108,392 | |||||||
GameStop Corp. Class A (Specialty Retail) | (a) | 2,300 | 52,624 | |||||||
Gap, Inc. / The (Specialty Retail) | 6,650 | 147,231 | ||||||||
Home Depot, Inc. (Specialty Retail) | 24,900 | 872,994 | ||||||||
Lowe’s Cos., Inc. (Specialty Retail) | 21,000 | 526,680 | ||||||||
Limited Brands, Inc. (Specialty Retail) | 4,000 | 122,920 | ||||||||
O’Reilly Automotive, Inc. (Specialty Retail) | (a) | 2,100 | 126,882 | |||||||
RadioShack Corp. (Specialty Retail) | 1,700 | 31,433 | ||||||||
Ross Stores, Inc. (Specialty Retail) | 1,800 | 113,850 | ||||||||
Staples, Inc. (Specialty Retail) | 11,000 | 250,470 | ||||||||
Tiffany & Co. (Specialty Retail) | 1,900 | 118,313 | ||||||||
TJX Cos., Inc. (Specialty Retail) | 6,000 | 266,340 | ||||||||
Urban Outfitters, Inc. (Specialty Retail) | (a) | 2,000 | 71,620 | |||||||
Coach, Inc. (Textiles, Apparel & Luxury Goods) | 4,500 | 248,895 | ||||||||
NIKE, Inc. Class B (Textiles, Apparel & Luxury Goods) | 5,800 | 495,436 | ||||||||
Polo Ralph Lauren Corp. (Textiles, Apparel & Luxury Goods) | 1,000 | 110,920 | ||||||||
V.F. Corp. (Textiles, Apparel & Luxury Goods) | 1,300 | 112,034 | ||||||||
18,516,753 | ||||||||||
CONSUMER STAPLES – 10.5% | ||||||||||
Brown-Forman Corp. Class B (Beverages) | 1,550 | 107,911 | ||||||||
Coca-Cola Co. / The (Beverages) | 35,400 | 2,328,258 | ||||||||
Coca-Cola Enterprises, Inc. (Beverages) | 5,200 | 130,156 | ||||||||
Constellation Brands, Inc. Class A (Beverages) | (a) | 2,700 | 59,805 | |||||||
Dr Pepper Snapple Group, Inc. (Beverages) | 3,500 | 123,060 | ||||||||
Molson Coors Brewing Co. Class B (Beverages) | 2,400 | 120,456 | ||||||||
PepsiCo, Inc. (Beverages) | 24,147 | 1,577,524 | ||||||||
Costco Wholesale Corp. (Food & Staples Retailing) | 6,600 | 476,586 | ||||||||
CVS Caremark Corp. (Food & Staples Retailing) | 20,720 | 720,434 | ||||||||
Kroger Co. / The (Food & Staples Retailing) | 9,700 | 216,892 | ||||||||
Safeway, Inc. (Food & Staples Retailing) | 5,700 | 128,193 | ||||||||
SUPERVALU, Inc. (Food & Staples Retailing) | 3,219 | 30,999 | ||||||||
Sysco Corp. (Food & Staples Retailing) | 8,900 | 261,660 | ||||||||
Walgreen Co. (Food & Staples Retailing) | 14,100 | 549,336 | ||||||||
Wal-Mart Stores, Inc. (Food & Staples Retailing) | 29,800 | 1,607,114 | ||||||||
Whole Foods Market, Inc. (Food & Staples Retailing) | (a) | 2,200 | 111,298 | |||||||
Archer-Daniels-Midland Co. (Food Products) | 9,750 | 293,280 | ||||||||
Campbell Soup Co. (Food Products) | 2,900 | 100,775 | ||||||||
ConAgra Foods, Inc. (Food Products) | 6,700 | 151,286 | ||||||||
Dean Foods Co. (Food Products) | (a) | 2,800 | 24,752 | |||||||
General Mills, Inc. (Food Products) | 9,700 | 345,223 | ||||||||
Hershey Co. / The (Food Products) | 2,400 | 113,160 | ||||||||
H.J. Heinz Co. (Food Products) | 4,900 | 242,354 | ||||||||
Hormel Foods Corp. (Food Products) | 1,100 | 56,386 | ||||||||
J.M. Smucker Co. / The (Food Products) | 1,800 | 118,170 | ||||||||
Kellogg Co. (Food Products) | 3,900 | 199,212 | ||||||||
Kraft Foods, Inc. Class A (Food Products) | 26,576 | 837,410 | ||||||||
McCormick & Co., Inc. (Food Products) | 2,000 | 93,060 | ||||||||
Mead Johnson Nutrition Co. (Food Products) | 3,151 | 196,150 | ||||||||
Sara Lee Corp. (Food Products) | 9,700 | 169,847 | ||||||||
Tyson Foods, Inc. Class A (Food Products) | 4,500 | 77,490 | ||||||||
Clorox Co. (Household Products) | 2,100 | 132,888 | ||||||||
Colgate-Palmolive Co. (Household Products) | 7,300 | 586,701 | ||||||||
Kimberly-Clark Corp. (Household Products) | 6,200 | 390,848 | ||||||||
Procter & Gamble Co. / The (Household Products) | 42,622 | 2,741,873 | ||||||||
Avon Products, Inc. (Personal Products) | 6,500 | 188,890 | ||||||||
Estee Lauder Cos., Inc. / The Class A (Personal Products) | 1,700 | 137,190 | ||||||||
Altria Group, Inc. (Tobacco) | 31,800 | 782,916 |
(continued)
52
Ohio National Fund, Inc. | S&P 500® Index Portfolio (Continued) |
Schedule of Investments | December 31, 2010 |
Common Stocks (Continued) | Shares | Value | ||||||||
CONSUMER STAPLES (continued) | ||||||||||
Lorillard, Inc. (Tobacco) | 2,297 | $ | 188,492 | |||||||
Philip Morris International, Inc. (Tobacco) | 27,600 | 1,615,428 | ||||||||
Reynolds American, Inc. (Tobacco) | 5,100 | 166,362 | ||||||||
18,499,825 | ||||||||||
ENERGY – 11.9% | ||||||||||
Baker Hughes, Inc. (Energy Equip. & Svs.) | 6,541 | 373,949 | ||||||||
Cameron International Corp. (Energy Equip. & Svs.) | (a) | 3,700 | 187,701 | |||||||
Diamond Offshore Drilling, Inc. (Energy Equip. & Svs.) | 1,100 | 73,557 | ||||||||
FMC Technologies, Inc. (Energy Equip. & Svs.) | (a) | 1,800 | 160,038 | |||||||
Halliburton Co. (Energy Equip. & Svs.) | 13,800 | 563,454 | ||||||||
Helmerich & Payne, Inc. (Energy Equip. & Svs.) | 1,600 | 77,568 | ||||||||
Nabors Industries Ltd. (Energy Equip. & Svs.) | (a) | 4,300 | 100,878 | |||||||
National Oilwell Varco, Inc. (Energy Equip. & Svs.) | 6,400 | 430,400 | ||||||||
Rowan Cos., Inc. (Energy Equip. & Svs.) | (a) | 1,900 | 66,329 | |||||||
Schlumberger Ltd. (Energy Equip. & Svs.) | 20,747 | 1,732,374 | ||||||||
Anadarko Petroleum Corp. (Oil, Gas & Consumable Fuels) | 7,500 | 571,200 | ||||||||
Apache Corp. (Oil, Gas & Consumable Fuels) | 5,772 | 688,196 | ||||||||
Cabot Oil & Gas Corp. (Oil, Gas & Consumable Fuels) | 1,600 | 60,560 | ||||||||
Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels) | 10,000 | 259,100 | ||||||||
Chevron Corp. (Oil, Gas & Consumable Fuels) | 30,638 | 2,795,717 | ||||||||
ConocoPhillips (Oil, Gas & Consumable Fuels) | 22,400 | 1,525,440 | ||||||||
Consol Energy, Inc. (Oil, Gas & Consumable Fuels) | 3,400 | 165,716 | ||||||||
Denbury Resources, Inc. (Oil, Gas & Consumable Fuels) | (a) | 6,100 | 116,449 | |||||||
Devon Energy Corp. (Oil, Gas & Consumable Fuels) | 6,600 | 518,166 | ||||||||
El Paso Corp. (Oil, Gas & Consumable Fuels) | 10,700 | 147,232 | ||||||||
EOG Resources, Inc. (Oil, Gas & Consumable Fuels) | 3,900 | 356,499 | ||||||||
EQT Corp. (Oil, Gas & Consumable Fuels) | 2,300 | 103,132 | ||||||||
Exxon Mobil Corp. (Oil, Gas & Consumable Fuels) | 76,764 | 5,612,984 | ||||||||
Hess Corp. (Oil, Gas & Consumable Fuels) | 4,500 | 344,430 | ||||||||
Marathon Oil Corp. (Oil, Gas & Consumable Fuels) | 10,820 | 400,665 | ||||||||
Massey Energy Co. (Oil, Gas & Consumable Fuels) | 1,600 | 85,840 | ||||||||
Murphy Oil Corp. (Oil, Gas & Consumable Fuels) | 2,900 | 216,195 | ||||||||
Newfield Exploration Co. (Oil, Gas & Consumable Fuels) | (a) | 2,000 | 144,220 | |||||||
Noble Energy, Inc. (Oil, Gas & Consumable Fuels) | 2,700 | 232,416 | ||||||||
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 12,400 | 1,216,440 | ||||||||
Peabody Energy Corp. (Oil, Gas & Consumable Fuels) | 4,100 | 262,318 | ||||||||
Pioneer Natural Resources Co. (Oil, Gas & Consumable Fuels) | 1,800 | 156,276 | ||||||||
QEP Resources, Inc. (Oil, Gas & Consumable Fuels) | 2,700 | 98,037 | ||||||||
Range Resources Corp. (Oil, Gas & Consumable Fuels) | 2,400 | 107,952 | ||||||||
Southwestern Energy Co. (Oil, Gas & Consumable Fuels) | (a) | 5,300 | 198,379 | |||||||
Spectra Energy Corp. (Oil, Gas & Consumable Fuels) | 9,918 | 247,851 | ||||||||
Sunoco, Inc. (Oil, Gas & Consumable Fuels) | 1,800 | 72,558 | ||||||||
Tesoro Corp. (Oil, Gas & Consumable Fuels) | (a) | 2,200 | 40,788 | |||||||
Valero Energy Corp. (Oil, Gas & Consumable Fuels) | 8,600 | 198,832 | ||||||||
Williams Cos., Inc. / The (Oil, Gas & Consumable Fuels) | 8,900 | 220,008 | ||||||||
20,929,844 | ||||||||||
FINANCIALS – 15.8% | ||||||||||
Ameriprise Financial, Inc. (Capital Markets) | 3,780 | 217,539 | ||||||||
Bank of New York Mellon Corp. / The (Capital Markets) | 18,911 | 571,112 | ||||||||
Charles Schwab Corp. / The (Capital Markets) | 15,100 | 258,361 | ||||||||
E*Trade Financial Corp. (Capital Markets) | (a) | 2,990 | 47,840 | |||||||
Federated Investors, Inc. Class B (Capital Markets) | 1,400 | 36,638 | ||||||||
Franklin Resources, Inc. (Capital Markets) | 2,200 | 244,662 | ||||||||
Goldman Sachs Group, Inc. / The (Capital Markets) | 7,750 | 1,303,240 | ||||||||
Invesco Ltd. (Capital Markets) | 7,000 | 168,420 | ||||||||
Janus Capital Group, Inc. (Capital Markets) | 2,800 | 36,316 | ||||||||
Legg Mason, Inc. (Capital Markets) | 2,300 | 83,421 | ||||||||
Morgan Stanley (Capital Markets) | 23,000 | 625,830 | ||||||||
Northern Trust Corp. (Capital Markets) | 3,700 | 205,017 | ||||||||
State Street Corp. (Capital Markets) | 7,600 | 352,184 | ||||||||
T. Rowe Price Group, Inc. (Capital Markets) | 3,900 | 251,706 | ||||||||
BB&T Corp. (Commercial Banks) | 10,600 | 278,674 | ||||||||
Comerica, Inc. (Commercial Banks) | 2,700 | 114,048 | ||||||||
Fifth Third Bancorp (Commercial Banks) | 12,150 | 178,362 | ||||||||
First Horizon National Corp. (Commercial Banks) | (a) | 3,564 | 41,989 | |||||||
Huntington Bancshares, Inc. (Commercial Banks) | 12,900 | 88,623 | ||||||||
KeyCorp (Commercial Banks) | 13,400 | 118,590 | ||||||||
M&T Bank Corp. (Commercial Banks) | 1,800 | 156,690 | ||||||||
Marshall & Ilsley Corp. (Commercial Banks) | 8,000 | 55,360 | ||||||||
PNC Financial Services Group, Inc. (Commercial Banks) | 8,042 | 488,310 | ||||||||
Regions Financial Corp. (Commercial Banks) | 19,075 | 133,525 | ||||||||
SunTrust Banks, Inc. (Commercial Banks) | 7,600 | 224,276 | ||||||||
U.S. Bancorp (Commercial Banks) | 29,190 | 787,254 | ||||||||
Wells Fargo & Co. (Commercial Banks) | 79,913 | 2,476,504 | ||||||||
Zions Bancorporation (Commercial Banks) | 2,700 | 65,421 | ||||||||
American Express Co. (Consumer Finance) | 15,900 | 682,428 | ||||||||
Capital One Financial Corp. (Consumer Finance) | 6,973 | 296,771 | ||||||||
Discover Financial Services (Consumer Finance) | 8,250 | 152,872 | ||||||||
SLM Corp. (Consumer Finance) | (a) | 7,400 | 93,166 | |||||||
Bank of America Corp. (Diversified Financial Svs.) | 153,527 | 2,048,050 | ||||||||
Citigroup, Inc. (Diversified Financial Svs.) | (a) | 442,269 | 2,091,932 | |||||||
CME Group, Inc. (Diversified Financial Svs.) | 1,025 | 329,794 | ||||||||
IntercontinentalExchange, Inc. (Diversified Financial Svs.) | (a) | 1,100 | 131,065 | |||||||
JPMorgan Chase & Co. (Diversified Financial Svs.) | 59,543 | 2,525,814 | ||||||||
Leucadia National Corp. (Diversified Financial Svs.) | 3,000 | 87,540 | ||||||||
Moody’s Corp. (Diversified Financial Svs.) | 3,100 | 82,274 | ||||||||
NASDAQ OMX Group, Inc. / The (Diversified Financial Svs.) | (a) | 2,100 | 49,791 | |||||||
NYSE Euronext (Diversified Financial Svs.) | 4,000 | 119,920 | ||||||||
ACE Ltd. (Insurance) | 5,200 | 323,700 | ||||||||
Aflac, Inc. (Insurance) | 7,200 | 406,296 | ||||||||
Allstate Corp. / The (Insurance) | 8,200 | 261,416 | ||||||||
American International Group, Inc. (Insurance) | (a) | 2,095 | 120,714 | |||||||
AON Corp. (Insurance) | 5,000 | 230,050 | ||||||||
Assurant, Inc. (Insurance) | 1,600 | 61,632 | ||||||||
Berkshire Hathaway, Inc. Class B (Insurance) | (a) | 26,391 | 2,114,183 | |||||||
Chubb Corp. (Insurance) | 4,600 | 274,344 | ||||||||
Cincinnati Financial Corp. (Insurance) | 2,466 | 78,148 | ||||||||
Genworth Financial, Inc. Class A (Insurance) | (a) | 7,500 | 98,550 | |||||||
Hartford Financial Services Group, Inc. (Insurance) | 6,800 | 180,132 | ||||||||
Lincoln National Corp. (Insurance) | 4,786 | 133,099 | ||||||||
Loews Corp. (Insurance) | 4,861 | 189,142 | ||||||||
Marsh & McLennan Cos., Inc. (Insurance) | 8,300 | 226,922 | ||||||||
MetLife, Inc. (Insurance) | 13,800 | 613,272 | ||||||||
Principal Financial Group, Inc. (Insurance) | 4,900 | 159,544 | ||||||||
Progressive Corp. / The (Insurance) | 10,100 | 200,687 | ||||||||
Prudential Financial, Inc. (Insurance) | 7,400 | 434,454 | ||||||||
Torchmark Corp. (Insurance) | 1,200 | 71,688 | ||||||||
Travelers Cos., Inc. / The (Insurance) | 6,959 | 387,686 | ||||||||
Unum Group (Insurance) | 4,800 | 116,256 | ||||||||
XL Group Plc (Insurance) | 4,900 | 106,918 |
(continued)
53
Ohio National Fund, Inc. | S&P 500® Index Portfolio (Continued) |
Schedule of Investments | December 31, 2010 |
Common Stocks (Continued) | Shares | Value | ||||||||
FINANCIALS (continued) | ||||||||||
Apartment Investment & Management Co. Class A (Real Estate Investment Trusts) | 1,773 | $ | 45,814 | |||||||
AvalonBay Communities, Inc. (Real Estate Investment Trusts) | 1,331 | 149,804 | ||||||||
Boston Properties, Inc. (Real Estate Investment Trusts) | 2,100 | 180,810 | ||||||||
Equity Residential (Real Estate Investment Trusts) | 4,300 | 223,385 | ||||||||
HCP, Inc. (Real Estate Investment Trusts) | 5,500 | 202,345 | ||||||||
Health Care REIT, Inc. (Real Estate Investment Trusts) | 2,200 | 104,808 | ||||||||
Host Hotels & Resorts, Inc. (Real Estate Investment Trusts) | 10,102 | 180,523 | ||||||||
Kimco Realty Corp. (Real Estate Investment Trusts) | 6,200 | 111,848 | ||||||||
Plum Creek Timber Co., Inc. (Real Estate Investment Trusts) | 2,500 | 93,625 | ||||||||
ProLogis (Real Estate Investment Trusts) | 8,700 | 125,628 | ||||||||
Public Storage (Real Estate Investment Trusts) | 2,100 | 212,982 | ||||||||
Simon Property Group, Inc. (Real Estate Investment Trusts) | 4,462 | 443,924 | ||||||||
Ventas, Inc. (Real Estate Investment Trusts) | 2,400 | 125,952 | ||||||||
Vornado Realty Trust (Real Estate Investment Trusts) | 2,493 | 207,742 | ||||||||
Weyerhaeuser Co. (Real Estate Investment Trusts) | 8,163 | 154,526 | ||||||||
CB Richard Ellis Group, Inc. Class A (Real Estate Mgmt. & Development) | (a) | 4,400 | 90,112 | |||||||
Hudson City Bancorp, Inc. (Thrifts & Mortgage Finance) | 8,000 | 101,920 | ||||||||
People’s United Financial, Inc. (Thrifts & Mortgage Finance) | 5,600 | 78,456 | ||||||||
27,924,366 | ||||||||||
HEALTH CARE – 10.8% | ||||||||||
Amgen, Inc. (Biotechnology) | (a) | 14,406 | 790,889 | |||||||
Biogen Idec, Inc. (Biotechnology) | (a) | 3,645 | 244,397 | |||||||
Celgene Corp. (Biotechnology) | (a) | 7,200 | 425,808 | |||||||
Cephalon, Inc. (Biotechnology) | (a) | 1,100 | 67,892 | |||||||
Genzyme Corp. (Biotechnology) | (a) | 3,900 | 277,680 | |||||||
Gilead Sciences, Inc. (Biotechnology) | (a) | 12,400 | 449,376 | |||||||
Baxter International, Inc. (Health Care Equip. & Supplies) | 8,900 | 450,518 | ||||||||
Becton Dickinson and Co. (Health Care Equip. & Supplies) | 3,500 | 295,820 | ||||||||
Boston Scientific Corp. (Health Care Equip. & Supplies) | (a) | 23,103 | 174,890 | |||||||
CareFusion Corp. (Health Care Equip. & Supplies) | (a) | 3,350 | 86,095 | |||||||
C.R. Bard, Inc. (Health Care Equip. & Supplies) | 1,400 | 128,478 | ||||||||
DENTSPLY International, Inc. (Health Care Equip. & Supplies) | 2,200 | 75,174 | ||||||||
Intuitive Surgical, Inc. (Health Care Equip. & Supplies) | (a) | 600 | 154,650 | |||||||
Medtronic, Inc. (Health Care Equip. & Supplies) | 16,400 | 608,276 | ||||||||
St. Jude Medical, Inc. (Health Care Equip. & Supplies) | (a) | 5,200 | 222,300 | |||||||
Stryker Corp. (Health Care Equip. & Supplies) | 5,200 | 279,240 | ||||||||
Varian Medical Systems, Inc. (Health Care Equip. & Supplies) | (a) | 1,800 | 124,704 | |||||||
Zimmer Holdings, Inc. (Health Care Equip. & Supplies) | (a) | 2,970 | 159,430 | |||||||
Aetna, Inc. (Health Care Providers & Svs.) | 6,100 | 186,111 | ||||||||
AmerisourceBergen Corp. (Health Care Providers & Svs.) | 4,200 | 143,304 | ||||||||
Cardinal Health, Inc. (Health Care Providers & Svs.) | 5,300 | 203,043 | ||||||||
CIGNA Corp. (Health Care Providers & Svs.) | 4,100 | 150,306 | ||||||||
Coventry Health Care, Inc. (Health Care Providers & Svs.) | (a) | 2,300 | 60,720 | |||||||
DaVita, Inc. (Health Care Providers & Svs.) | (a) | 1,500 | 104,235 | |||||||
Express Scripts, Inc. (Health Care Providers & Svs.) | (a) | 8,000 | 432,400 | |||||||
Humana, Inc. (Health Care Providers & Svs.) | (a) | 2,600 | 142,324 | |||||||
Laboratory Corp of America Holdings (Health Care Providers & Svs.) | (a) | 1,500 | 131,880 | |||||||
McKesson Corp. (Health Care Providers & Svs.) | 3,900 | 274,482 | ||||||||
Medco Health Solutions, Inc. (Health Care Providers & Svs.) | (a) | 6,476 | 396,785 | |||||||
Patterson Cos., Inc. (Health Care Providers & Svs.) | 1,500 | 45,945 | ||||||||
Quest Diagnostics, Inc. (Health Care Providers & Svs.) | 2,200 | 118,734 | ||||||||
Tenet Healthcare Corp. (Health Care Providers & Svs.) | (a) | 7,350 | 49,171 | |||||||
UnitedHealth Group, Inc. (Health Care Providers & Svs.) | 16,700 | 603,037 | ||||||||
WellPoint, Inc. (Health Care Providers & Svs.) | (a) | 6,000 | 341,160 | |||||||
Cerner Corp. (Health Care Technology) | (a) | 1,100 | 104,214 | |||||||
Agilent Technologies, Inc. (Life Sciences Tools & Svs.) | (a) | 5,300 | 219,579 | |||||||
Life Technologies Corp. (Life Sciences Tools & Svs.) | (a) | 2,817 | 156,343 | |||||||
PerkinElmer, Inc. (Life Sciences Tools & Svs.) | 1,800 | 46,476 | ||||||||
Thermo Fisher Scientific, Inc. (Life Sciences Tools & Svs.) | (a) | 6,100 | 337,696 | |||||||
Waters Corp. (Life Sciences Tools & Svs.) | (a) | 1,400 | 108,794 | |||||||
Abbott Laboratories (Pharmaceuticals) | 23,500 | 1,125,885 | ||||||||
Allergan, Inc. (Pharmaceuticals) | 4,700 | 322,749 | ||||||||
Bristol-Myers Squibb Co. (Pharmaceuticals) | 26,069 | 690,307 | ||||||||
Eli Lilly & Co. (Pharmaceuticals) | 15,400 | 539,616 | ||||||||
Forest Laboratories, Inc. (Pharmaceuticals) | (a) | 4,300 | 137,514 | |||||||
Hospira, Inc. (Pharmaceuticals) | (a) | 2,510 | 139,782 | |||||||
Johnson & Johnson (Pharmaceuticals) | 41,800 | 2,585,330 | ||||||||
Merck & Co., Inc. (Pharmaceuticals) | 46,894 | 1,690,060 | ||||||||
Mylan, Inc. (Pharmaceuticals) | (a) | 6,600 | 139,458 | |||||||
Pfizer, Inc. (Pharmaceuticals) | 121,910 | 2,134,644 | ||||||||
Watson Pharmaceuticals, Inc. (Pharmaceuticals) | (a) | 1,900 | 98,135 | |||||||
18,975,836 | ||||||||||
INDUSTRIALS – 10.8% | ||||||||||
Boeing Co. / The (Aerospace & Defense) | 11,200 | 730,912 | ||||||||
General Dynamics Corp. (Aerospace & Defense) | 5,800 | 411,568 | ||||||||
Goodrich Corp. (Aerospace & Defense) | 1,900 | 167,333 | ||||||||
Honeywell International, Inc. (Aerospace & Defense) | 11,900 | 632,604 | ||||||||
ITT Corp. (Aerospace & Defense) | 2,800 | 145,908 | ||||||||
L-3 Communications Holdings, Inc. (Aerospace & Defense) | 1,700 | 119,833 | ||||||||
Lockheed Martin Corp. (Aerospace & Defense) | 4,500 | 314,595 | ||||||||
Northrop Grumman Corp. (Aerospace & Defense) | 4,400 | 285,032 | ||||||||
Precision Castparts Corp. (Aerospace & Defense) | 2,200 | 306,262 | ||||||||
Raytheon Co. (Aerospace & Defense) | 5,500 | 254,870 | ||||||||
Rockwell Collins, Inc. (Aerospace & Defense) | 2,400 | 139,824 | ||||||||
United Technologies Corp. (Aerospace & Defense) | 14,100 | 1,109,952 | ||||||||
C.H. Robinson Worldwide, Inc. (Air Freight & Logistics) | 2,500 | 200,475 | ||||||||
Expeditors International of Washington, Inc. (Air Freight & Logistics) | 3,200 | 174,720 | ||||||||
FedEx Corp. (Air Freight & Logistics) | 4,800 | 446,448 | ||||||||
United Parcel Service, Inc. Class B (Air Freight & Logistics) | 15,100 | 1,095,958 | ||||||||
Southwest Airlines Co. (Airlines) | 11,400 | 147,972 | ||||||||
Masco Corp. (Building Products) | 5,500 | 69,630 | ||||||||
Avery Dennison Corp. (Commercial Svs. & Supplies) | 1,600 | 67,744 | ||||||||
Cintas Corp. (Commercial Svs. & Supplies) | 1,900 | 53,124 | ||||||||
Iron Mountain, Inc. (Commercial Svs. & Supplies) | 3,000 | 75,030 | ||||||||
Pitney Bowes, Inc. (Commercial Svs. & Supplies) | 3,100 | 74,958 |
(continued)
54
Ohio National Fund, Inc. | S&P 500® Index Portfolio (Continued) |
Schedule of Investments | December 31, 2010 |
Common Stocks (Continued) | Shares | Value | ||||||||
INDUSTRIALS (continued) | ||||||||||
Republic Services, Inc. (Commercial Svs. & Supplies) | 4,680 | $ | 139,745 | |||||||
R.R. Donnelley & Sons Co. (Commercial Svs. & Supplies) | 3,100 | 54,157 | ||||||||
Stericycle, Inc. (Commercial Svs. & Supplies) | (a) | 1,300 | 105,196 | |||||||
Waste Management, Inc. (Commercial Svs. & Supplies) | 7,200 | 265,464 | ||||||||
Fluor Corp. (Construction & Engineering) | 2,700 | 178,902 | ||||||||
Jacobs Engineering Group, Inc. (Construction & Engineering) | (a) | 1,900 | 87,115 | |||||||
Quanta Services, Inc. (Construction & Engineering) | (a) | 3,300 | 65,736 | |||||||
Emerson Electric Co. (Electrical Equip.) | 11,500 | 657,455 | ||||||||
Rockwell Automation, Inc. (Electrical Equip.) | 2,200 | 157,762 | ||||||||
Roper Industries, Inc. (Electrical Equip.) | 1,400 | 107,002 | ||||||||
3M Co. (Industrial Conglomerates) | 10,900 | 940,670 | ||||||||
General Electric Co. (Industrial Conglomerates) | 162,200 | 2,966,638 | ||||||||
Textron, Inc. (Industrial Conglomerates) | 4,200 | 99,288 | ||||||||
Tyco International Ltd. (Industrial Conglomerates) | 7,500 | 310,800 | ||||||||
Caterpillar, Inc. (Machinery) | 9,700 | 908,502 | ||||||||
Cummins, Inc. (Machinery) | 3,000 | 330,030 | ||||||||
Danaher Corp. (Machinery) | 8,200 | 386,794 | ||||||||
Deere & Co. (Machinery) | 6,500 | 539,825 | ||||||||
Dover Corp. (Machinery) | 2,800 | 163,660 | ||||||||
Eaton Corp. (Machinery) | 2,600 | 263,926 | ||||||||
Flowserve Corp. (Machinery) | 800 | 95,376 | ||||||||
Illinois Tool Works, Inc. (Machinery) | 7,500 | 400,500 | ||||||||
Ingersoll-Rand PLC (Machinery) | 4,900 | 230,741 | ||||||||
PACCAR, Inc. (Machinery) | 5,512 | 316,499 | ||||||||
Pall Corp. (Machinery) | 1,800 | 89,244 | ||||||||
Parker Hannifin Corp. (Machinery) | 2,500 | 215,750 | ||||||||
Snap-On, Inc. (Machinery) | 900 | 50,922 | ||||||||
Dun & Bradstreet Corp. (Professional Svs.) | 800 | 65,672 | ||||||||
Equifax, Inc. (Professional Svs.) | 1,900 | 67,640 | ||||||||
Robert Half International, Inc. (Professional Svs.) | 2,200 | 67,320 | ||||||||
CSX Corp. (Road & Rail) | 5,700 | 368,277 | ||||||||
Norfolk Southern Corp. (Road & Rail) | 5,500 | 345,510 | ||||||||
Ryder System, Inc. (Road & Rail) | 800 | 42,112 | ||||||||
Union Pacific Corp. (Road & Rail) | 7,500 | 694,950 | ||||||||
Fastenal Co. (Trading Companies & Distributors) | 2,200 | 131,802 | ||||||||
W.W. Grainger, Inc. (Trading Companies & Distributors) | 900 | 124,299 | ||||||||
19,060,033 | ||||||||||
INFORMATION TECHNOLOGY – 18.4% | ||||||||||
Cisco Systems, Inc. (Communications Equip.) | (a) | 84,400 | 1,707,412 | |||||||
F5 Networks, Inc. (Communications Equip.) | (a) | 1,200 | 156,192 | |||||||
Harris Corp. (Communications Equip.) | 2,000 | 90,600 | ||||||||
JDS Uniphase Corp. (Communications Equip.) | (a) | 3,375 | 48,870 | |||||||
Juniper Networks, Inc. (Communications Equip.) | (a) | 8,000 | 295,360 | |||||||
Motorola, Inc. (Communications Equip.) | (a) | 35,800 | 324,706 | |||||||
QUALCOMM, Inc. (Communications Equip.) | 24,600 | 1,217,454 | ||||||||
Tellabs, Inc. (Communications Equip.) | 5,600 | 37,968 | ||||||||
Apple, Inc. (Computers & Peripherals) | (a) | 13,950 | 4,499,712 | |||||||
Dell, Inc. (Computers & Peripherals) | (a) | 25,600 | 346,880 | |||||||
EMC Corp. (Computers & Peripherals) | (a) | 31,400 | 719,060 | |||||||
Hewlett-Packard Co. (Computers & Peripherals) | 34,500 | 1,452,450 | ||||||||
Lexmark International, Inc. Class A (Computers & Peripherals) | (a) | 1,200 | 41,784 | |||||||
NetApp, Inc. (Computers & Peripherals) | (a) | 5,500 | 302,280 | |||||||
QLogic Corp. (Computers & Peripherals) | (a) | 1,600 | 27,232 | |||||||
SanDisk Corp. (Computers & Peripherals) | (a) | 3,600 | 179,496 | |||||||
Western Digital Corp. (Computers & Peripherals) | (a) | 3,500 | 118,650 | |||||||
Amphenol Corp. Class A (Electronic Equip., Instr. & Comp.) | 2,700 | 142,506 | ||||||||
Corning, Inc. (Electronic Equip., Instr. & Comp.) | 23,800 | 459,816 | ||||||||
FLIR Systems, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 2,400 | 71,400 | |||||||
Jabil Circuit, Inc. (Electronic Equip., Instr. & Comp.) | 3,000 | 60,270 | ||||||||
Molex, Inc. (Electronic Equip., Instr. & Comp.) | 2,100 | 47,712 | ||||||||
Akamai Technologies, Inc. (Internet Software & Svs.) | (a) | 2,800 | 131,740 | |||||||
eBay, Inc. (Internet Software & Svs.) | (a) | 17,500 | 487,025 | |||||||
Google, Inc. Class A (Internet Software & Svs.) | (a) | 3,800 | 2,257,086 | |||||||
Monster Worldwide, Inc. (Internet Software & Svs.) | (a) | 2,000 | 47,260 | |||||||
VeriSign, Inc. (Internet Software & Svs.) | 2,600 | 84,942 | ||||||||
Yahoo!, Inc. (Internet Software & Svs.) | (a) | 19,800 | 329,274 | |||||||
Automatic Data Processing, Inc. (IT Svs.) | 7,500 | 347,100 | ||||||||
Cognizant Technology Solutions Corp. Class A (IT Svs.) | (a) | 4,600 | 337,134 | |||||||
Computer Sciences Corp. (IT Svs.) | 2,400 | 119,040 | ||||||||
Fidelity National Information Services, Inc. (IT Svs.) | 4,000 | 109,560 | ||||||||
Fiserv, Inc. (IT Svs.) | (a) | 2,300 | 134,688 | |||||||
International Business Machines Corp. (IT Svs.) | 18,900 | 2,773,764 | ||||||||
Mastercard, Inc. Class A (IT Svs.) | 1,475 | 330,562 | ||||||||
Paychex, Inc. (IT Svs.) | 4,900 | 151,459 | ||||||||
SAIC, Inc. (IT Svs.) | (a) | 4,500 | 71,370 | |||||||
Teradata Corp. (IT Svs.) | (a) | 2,500 | 102,900 | |||||||
Total System Services, Inc. (IT Svs.) | 2,477 | 38,096 | ||||||||
Visa, Inc. (IT Svs.) | 7,400 | 520,812 | ||||||||
Western Union Co. / The (IT Svs.) | 9,947 | 184,716 | ||||||||
Xerox Corp. (Office Electronics) | 21,102 | 243,095 | ||||||||
Advanced Micro Devices, Inc. (Semiconductors & Equip.) | (a) | 8,700 | 71,166 | |||||||
Altera Corp. (Semiconductors & Equip.) | 4,800 | 170,784 | ||||||||
Analog Devices, Inc. (Semiconductors & Equip.) | 4,500 | 169,515 | ||||||||
Applied Materials, Inc. (Semiconductors & Equip.) | 20,300 | 285,215 | ||||||||
Broadcom Corp. Class A (Semiconductors & Equip.) | 6,950 | 302,672 | ||||||||
First Solar, Inc. (Semiconductors & Equip.) | (a) | 850 | 110,619 | |||||||
Intel Corp. (Semiconductors & Equip.) | 84,900 | 1,785,447 | ||||||||
KLA-Tencor Corp. (Semiconductors & Equip.) | 2,500 | 96,600 | ||||||||
Linear Technology Corp. (Semiconductors & Equip.) | 3,400 | 117,606 | ||||||||
LSI Corp. (Semiconductors & Equip.) | (a) | 9,400 | 56,306 | |||||||
MEMC Electronic Materials, Inc. (Semiconductors & Equip.) | (a) | 3,500 | 39,410 | |||||||
Microchip Technology, Inc. (Semiconductors & Equip.) | 2,800 | 95,788 | ||||||||
Micron Technology, Inc. (Semiconductors & Equip.) | (a) | 13,000 | 104,260 | |||||||
National Semiconductor Corp. (Semiconductors & Equip.) | 3,600 | 49,536 | ||||||||
Novellus Systems, Inc. (Semiconductors & Equip.) | (a) | 1,400 | 45,248 | |||||||
NVIDIA Corp. (Semiconductors & Equip.) | (a) | 8,800 | 135,520 | |||||||
Teradyne, Inc. (Semiconductors & Equip.) | (a) | 2,800 | 39,312 | |||||||
Texas Instruments, Inc. (Semiconductors & Equip.) | 17,900 | 581,750 | ||||||||
Xilinx, Inc. (Semiconductors & Equip.) | 3,900 | 113,022 | ||||||||
Adobe Systems, Inc. (Software) | (a) | 7,700 | 237,006 | |||||||
Autodesk, Inc. (Software) | (a) | 3,500 | 133,700 | |||||||
BMC Software, Inc. (Software) | (a) | 2,700 | 127,278 | |||||||
CA, Inc. (Software) | 5,800 | 141,752 | ||||||||
Citrix Systems, Inc. (Software) | (a) | 2,900 | 198,389 | |||||||
Compuware Corp. (Software) | (a) | 3,300 | 38,511 | |||||||
Electronic Arts, Inc. (Software) | (a) | 5,100 | 83,538 | |||||||
Intuit, Inc. (Software) | (a) | 4,300 | 211,990 | |||||||
McAfee, Inc. (Software) | (a) | 2,300 | 106,513 | |||||||
Microsoft Corp. (Software) | 114,600 | 3,199,632 | ||||||||
Novell, Inc. (Software) | (a) | 5,400 | 31,968 | |||||||
Oracle Corp. (Software) | 58,900 | 1,843,570 | ||||||||
Red Hat, Inc. (Software) | (a) | 2,900 | 132,385 | |||||||
Salesforce.com, Inc. (Software) | (a) | 1,800 | 237,600 | |||||||
Symantec Corp. (Software) | (a) | 11,794 | 197,432 | |||||||
32,440,473 | ||||||||||
(continued)
55
Ohio National Fund, Inc. | S&P 500® Index Portfolio (Continued) |
Schedule of Investments | December 31, 2010 |
Common Stocks (Continued) | Shares | Value | ||||||||
MATERIALS – 3.7% | ||||||||||
Air Products & Chemicals, Inc. (Chemicals) | 3,300 | $ | 300,135 | |||||||
Airgas, Inc. (Chemicals) | 1,100 | 68,706 | ||||||||
CF Industries Holdings, Inc. (Chemicals) | 1,100 | 148,665 | ||||||||
Dow Chemical Co. / The (Chemicals) | 17,700 | 604,278 | ||||||||
Eastman Chemical Co. (Chemicals) | 1,100 | 92,488 | ||||||||
Ecolab, Inc. (Chemicals) | 3,500 | 176,470 | ||||||||
E.I. du Pont de Nemours & Co. (Chemicals) | 13,900 | 693,332 | ||||||||
FMC Corp. (Chemicals) | 1,100 | 87,879 | ||||||||
International Flavors & Fragrances, Inc. (Chemicals) | 1,200 | 66,708 | ||||||||
Monsanto Co. (Chemicals) | 8,186 | 570,073 | ||||||||
PPG Industries, Inc. (Chemicals) | 2,500 | 210,175 | ||||||||
Praxair, Inc. (Chemicals) | 4,700 | 448,709 | ||||||||
Sherwin-Williams Co. / The (Chemicals) | 1,400 | 117,250 | ||||||||
Sigma-Aldrich Corp. (Chemicals) | 1,800 | 119,808 | ||||||||
Vulcan Materials Co. (Construction Materials) | 2,000 | 88,720 | ||||||||
Ball Corp. (Containers & Packaging) | 1,300 | 88,465 | ||||||||
Bemis Co., Inc. (Containers & Packaging) | 1,600 | 52,256 | ||||||||
Owens-Illinois, Inc. (Containers & Packaging) | (a) | 2,500 | 76,750 | |||||||
Sealed Air Corp. (Containers & Packaging) | 2,400 | 61,080 | ||||||||
AK Steel Holding Corp. (Metals & Mining) | 1,700 | 27,829 | ||||||||
Alcoa, Inc. (Metals & Mining) | 15,600 | 240,084 | ||||||||
Allegheny Technologies, Inc. (Metals & Mining) | 1,500 | 82,770 | ||||||||
Cliffs Natural Resources, Inc. (Metals & Mining) | 2,100 | 163,821 | ||||||||
Freeport-McMoRan Copper & Gold, Inc. (Metals & Mining) | 7,176 | 861,766 | ||||||||
Newmont Mining Corp. (Metals & Mining) | 7,500 | 460,725 | ||||||||
Nucor Corp. (Metals & Mining) | 4,800 | 210,336 | ||||||||
Titanium Metals Corp. (Metals & Mining) | (a) | 1,400 | 24,052 | |||||||
United States Steel Corp. (Metals & Mining) | 2,200 | 128,524 | ||||||||
International Paper Co. (Paper & Forest Products) | 6,700 | 182,508 | ||||||||
MeadWestvaco Corp. (Paper & Forest Products) | 2,600 | 68,016 | ||||||||
6,522,378 | ||||||||||
TELECOMMUNICATION SERVICES – 3.0% | ||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 89,978 | 2,643,554 | ||||||||
CenturyLink, Inc. (Diversified Telecom. Svs.) | 4,646 | 214,506 | ||||||||
Frontier Communications Corp. (Diversified Telecom. Svs.) | 15,141 | 147,322 | ||||||||
Qwest Communications International, Inc. (Diversified Telecom. Svs.) | 26,500 | 201,665 | ||||||||
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 43,000 | 1,538,540 | ||||||||
Windstream Corp. (Diversified Telecom. Svs.) | 7,396 | 103,100 | ||||||||
American Tower Corp. Class A (Wireless Telecom. Svs.) | (a) | 6,100 | 315,004 | |||||||
MetroPCS Communications, Inc. (Wireless Telecom. Svs.) | (a) | 4,000 | 50,520 | |||||||
Sprint Nextel Corp. (Wireless Telecom. Svs.) | (a) | 45,432 | 192,177 | |||||||
5,406,388 | ||||||||||
UTILITIES – 3.3% | ||||||||||
Allegheny Energy, Inc. (Electric Utilities) | 2,600 | 63,024 | ||||||||
American Electric Power Co., Inc. (Electric Utilities) | 7,300 | 262,654 | ||||||||
Duke Energy Corp. (Electric Utilities) | 20,136 | 358,622 | ||||||||
Edison International (Electric Utilities) | 5,000 | 193,000 | ||||||||
Entergy Corp. (Electric Utilities) | 2,800 | 198,324 | ||||||||
Exelon Corp. (Electric Utilities) | 10,100 | 420,564 | ||||||||
FirstEnergy Corp. (Electric Utilities) | 4,600 | 170,292 | ||||||||
NextEra Energy, Inc. (Electric Utilities) | 6,300 | 327,537 | ||||||||
Northeast Utilities (Electric Utilities) | 2,700 | 86,076 | ||||||||
Pepco Holdings, Inc. (Electric Utilities) | 3,400 | 62,050 | ||||||||
Pinnacle West Capital Corp. (Electric Utilities) | 1,700 | 70,465 | ||||||||
PPL Corp. (Electric Utilities) | 7,400 | 194,768 | ||||||||
Progress Energy, Inc. (Electric Utilities) | 4,500 | 195,660 | ||||||||
Southern Co. (Electric Utilities) | 12,800 | 489,344 | ||||||||
Nicor, Inc. (Gas Utilities) | 700 | 34,944 | ||||||||
Oneok, Inc. (Gas Utilities) | 1,600 | 88,752 | ||||||||
AES Corp. / The (Ind. Power Prod. & Energy Traders) | (a) | 10,100 | 123,018 | |||||||
Constellation Energy Group, Inc. (Ind. Power Prod. & Energy Traders) | 3,000 | 91,890 | ||||||||
NRG Energy, Inc. (Ind. Power Prod. & Energy Traders) | (a) | 3,800 | 74,252 | |||||||
Ameren Corp. (Multi-Utilities) | 3,700 | 104,303 | ||||||||
CenterPoint Energy, Inc. (Multi-Utilities) | 6,400 | 100,608 | ||||||||
CMS Energy Corp. (Multi-Utilities) | 3,700 | 68,820 | ||||||||
Consolidated Edison, Inc. (Multi-Utilities) | 4,400 | 218,108 | ||||||||
Dominion Resources, Inc. (Multi-Utilities) | 8,800 | 375,936 | ||||||||
DTE Energy Co. (Multi-Utilities) | 2,600 | 117,832 | ||||||||
Integrys Energy Group, Inc. (Multi-Utilities) | 1,212 | 58,794 | ||||||||
NiSource, Inc. (Multi-Utilities) | 4,200 | 74,004 | ||||||||
PG&E Corp. (Multi-Utilities) | 6,000 | 287,040 | ||||||||
Public Service Enterprise Group, Inc. (Multi-Utilities) | 7,700 | 244,937 | ||||||||
SCANA Corp. (Multi-Utilities) | 1,700 | 69,020 | ||||||||
Sempra Energy (Multi-Utilities) | 3,700 | 194,176 | ||||||||
TECO Energy, Inc. (Multi-Utilities) | 3,300 | 58,740 | ||||||||
Wisconsin Energy Corp. (Multi-Utilities) | 1,800 | 105,948 | ||||||||
Xcel Energy, Inc. (Multi-Utilities) | 7,000 | 164,850 | ||||||||
5,748,352 | ||||||||||
Total Common Stocks (Cost $149,805,532) | $ | 174,024,248 | ||||||||
Exchange Traded Funds – 1.0% | Shares | Value | ||||||||
SPDR S&P 500 ETF Trust | 13,975 | $ | 1,757,775 | |||||||
Total Exchange Traded Funds (Cost $1,692,914) | $ | 1,757,775 | ||||||||
Face | Amortized | |||||||||
Commercial Paper – 0.1% | Amount | Cost | ||||||||
General Electric Capital Corp. 0.030%, 01/03/2011 | $ | 123,000 | $ | 123,000 | ||||||
Total Commercial Paper (Cost $123,000) | $ | 123,000 | ||||||||
Total Investments – 99.8% (Cost $151,621,446) | (b) | $ | 175,905,023 | |||||||
Other Assets in Excess of Liabilities – 0.2% | 274,031 | |||||||||
Net Assets – 100.0% | $ | 176,179,054 | ||||||||
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.
56
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 December 31, 2010
Average Annual Total Returns: | ||||
One year | 11.98% | |||
Five years | -0.99% | |||
Ten years | 0.65% |
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 year ended December 31, 2010, the Strategic Value Portfolio returned 11.98% versus 18.32% for the current benchmark, the Dow Jones U.S. Select Dividend Index.
The year ended December 31, 2010 was a supportive environment for equities as we exited a low-quality, post-recession rally and navigated through a choppy recovery. The onset of the fiscal year ushered in expectations of a broadening recovery, aided by a factory sector that began to rebuild inventories, a consumer who appeared to be loosening his grip on his wallet, and a labor market that appeared on the verge of expanding again. While choppy economic reports in January and February offered setbacks, March brought clearer signs of a recovery that was gaining some steam.
Much of this optimism came undone as economic news tempered a rally in equities. Where the first quarter offered support, the second quarter was downright abysmal. May’s fears of a spreading sovereign contagion in Europe were supplanted with June’s fears of a potential double dip. The weakness in the jobs market seemed to carry over to consumer spending, which had slowed dramatically from its late-winter, early-spring levels, and the housing market plummeted following the expiration of the temporary buyer’s tax credit.
The stock market pulled off June’s lows, not so much on any significant improvement in economic fundamentals, but on what was shaping up as another solid quarter for corporate earnings and guidance. If anything, the economic news was worse than expected, as manufacturing appeared to slow, private payrolls grew less than forecast, and employment data still reflected businesses’ hesitancy to hire. To the positive, we noted that the National Bureau of Economic Research reported that the longest and deepest recession of the post-World War II era ended a year-ago June. For most American consumers, however, the recovery had yet to come.
The third quarter proved to be no less choppy. Europe’s sovereign debt crisis appeared to be easing, with both bank and sovereign-debt spreads easing. Major equity indices posted their best September — typically a difficult month — in seven decades, following their worst August in nine years. Overall, however, the bulk of news coming out of most reports was indicative of sub-par growth for this stage of recovery and the still-soft economic data was barely strong enough to ease fears of a double dip.
We saw the S&P 500 Index post its best October in seven years and the blue-chip Dow Jones Industrials Average post its best in four. The rally, which built off September’s strong gains, defied not only what seasonally are two of the weakest trading months of the year, but also much of the underlying economic data. November brought with it a notable retracement in overseas markets; the European Union couldn’t seem to shake its sovereign debt woes despite a new bailout package for Ireland and other member countries. An inflationary spike in China prompted fears that the Asian giant may act to curtail growth and cool global growth.
The equity rally got back on track after November’s lull, with the major indices posting their strongest December in almost two decades as investors focused on data indicative of a recovery. It didn’t hurt that the Federal government delivered an early Christmas present in the form of a bill that not only extends the Bush tax cuts for everyone for two years and jobless benefits for an additional 13 months, but also provides a one-year, two percentage-point reduction in employee Social Security payroll taxes next year. Combined, the fiscal stimulus was valued at roughly $900 billion, larger than the original stimulus passed in early 2009.
With our investments in the dividend income producing segment of the market, with low beta, the Portfolio’s short-term performance traditionally does not move in lock-step with the broad market indicators. Performance in 2010 was no exception as investors preferred features contrary to our style. We noted that the news flow in much of the year propped up the more volatile segments of the market such as consumer and industrial cyclicals and the commodity-linked Energy and Materials complex. To the opposite, dividend friendly sectors, such as Consumer Staples, Utilities and Health Care lagged the overall market. We saw a similar theme with investors favoring features contrary to our style, including high beta, small caps, and the lowest quality stocks. Recent preferences are not surprising and are consistent with what we witnessed after the last round of quantitative easing. As this wave of spending passes with no lasting effects, we expect investors will reiterate their demand for a safer source of equity return.(1)
Underperformance, relative to the Dow Jones U.S. Select Dividend Index, can be attributed to the benchmark’s notably lower market capitalization and orientation toward higher beta, which outperformed for much of the year. From a sector perspective, the leading contributor to underperformance was 2.8% of negative stock selection within the Energy sector as commodity-linked, high beta names outperformed our high-yielding, integrated providers. The Portfolio was also penalized by 1.7% of negative sector selection due to its 11.7% overweight position in Health Care, the lowest returning sector in the index for the year. A lack of exposure to the Industrials and Materials sectors also proved negative as both sectors posted some of the highest returns in the year yet afforded little dividend opportunity. As a final point, hedging foreign currency risk with forward currency contracts detracted 1.2% from total return as well. Regardless of market conditions, we will not abandon our focus on delivering high current income, growth in dividend income over time, and downside protection. This focus on absolute return objectives and our low beta mean that we will not move in lock step with the broad market in periods of extreme positive performance. More importantly, we expect to give up less return on the downside.(1)
On the positive side of the ledger, relative gains were achieved with positive stock selection of 1.7% within the Consumer Staples sector.
(continued)
57
Ohio National Fund, Inc. | Strategic Value Portfolio (Continued) |
The highest returns in the Portfolio’s Consumer Staples holdings included tobacco stocks Altria Group, Inc., Reynolds American, Inc., and Phillip Morris International, Inc., which posted respective returns of 33.9%, 31.4% and 27.2%. Further relative gains of 2.2% were achieved with positive stock selection and a 14.5% underweight position within Utilities. Highest returns in Utilities included Southern Co., Dominion Resources, Inc., and Consolidated Edison, Inc., posting returns of 20.8%, 14.8% and 14.3% respectively. The Portfolio also gained 1.1% of positive stock selection within Financials. We avoided the lagging commercial banks industry and invested in higher returning real estate investment trusts (REITs) instead.(1)
As the market participants speculated about near-term performance, we maintained our focus on companies that offer attractive valuations, high yield, and the potential for dividend growth over time. To this end, the Portfolio delivered on its objective of providing a substantially higher than market yield, with a weighted average 4.93% yield. This compares to a 4.03% yield for the Dow Jones U.S. Select Dividend Index and a 1.87% yield for the S&P 500 Index.(1)
Consistent with our goals, we noted that dividend growth continued to develop at an attractive pace. While 2008 and 2009 proved to be the worst dividend cutting episode in history, we were pleased to see the return of increasing dividends in 2010. To this point, the Portfolio captured 42 dividend increases in the year. If we count back to our last notable dividend cut with Pfizer, Inc. in April of 2009, we have since realized 61 dividend increases. The implication here is that, in a little more than a year and a half, virtually every holding in the Portfolio has raised its dividend, with several holdings raising their dividends more than once. As a result, the trajectory for dividend growth is quite positive heading into 2011. Some examples of compelling increases include Telefonica, with a 30% increase, and AstraZeneca PLC and National Grid PLC, each with a 15% increase. We saw Altria Group, Inc. and Lorillard, Inc. raise their dividends by 12%, and McDonald’s Corp., Kimberly-Clark Corp., The Procter & Gamble Co., ConocoPhillips and Johnson & Johnson, each with a 10% dividend increase. We also noted that Omega Healthcare Investors, Inc. raised its dividend for a second time this year in October for a combined increase of 16% relative to their payment last year. A final example, BCE, Inc. raised its dividend for a second time in December for a combined increase of 13% this year. Again, the Portfolio is built on the thesis that the price appreciation of stocks ultimately follows their dividend trajectories higher.(1)
As we assess market and economic conditions, there’s clearly grist for the bears to chew on. Future tax rates for the economy remain uncertain, although the promise of at least a temporary two-year extension of all cuts following the Obama-Republican compromise earlier this month is comforting. The landscape of the health care industry is changing, but we are still uncertain as to which direction. Corporate profit margins are near all time highs, raising concerns as to how much higher they can go. And while profits are strong, the much-awaited jobs recovery is still awaited. Europe’s sovereign debt crisis seems to roll on while, closer to home, state and local governments face deficit issues that are daunting. In Asia, commodity inflation is taxing the patience of the region’s central banks.
Despite these worries, we remain firmly in the camp that expects the markets to continue to grind higher next year while the economy moves into a re-acceleration phase following the mid-2010 soft patch. Corporate liquid asset balances are near all-time highs at 7.1%. Stock valuations at 12 to 13 times projected earnings, while not single-digit cheap, are historically inexpensive relative to bonds, particularly at this stage of the economic cycle. With the Federal Reserve focused on avoiding the second Great Depression and the European Central Bank trying to keep the peripheral economies afloat, we believe we are in a positive scenario for stocks. Overseas, we believe selectivity is more important than ever and, to that end, we like economies and markets with strong sovereign-credit positions combined with attractive valuations and exposure to the global economic cycle.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2010. |
Change in Value of $10,000 Investment
Dow Jones | ||||||||
Strategic Value | U.S. Select | |||||||
Portfolio | Dividend Index | |||||||
12/31/2000 | 10000 | 10000 | ||||||
06/30/2001 | 10031 | 11400 | ||||||
12/31/2001 | 9578 | 11309 | ||||||
06/30/2002 | 8754 | 11990 | ||||||
12/31/2002 | 7717 | 10863 | ||||||
06/30/2003 | 8467 | 11886 | ||||||
12/31/2003 | 9768 | 14139 | ||||||
06/30/2004 | 10048 | 14890 | ||||||
12/31/2004 | 10706 | 16703 | ||||||
06/30/2005 | 10764 | 17073 | ||||||
12/31/2005 | 11213 | 17334 | ||||||
06/30/2006 | 11331 | 18204 | ||||||
12/31/2006 | 13046 | 20724 | ||||||
06/30/2007 | 13424 | 21591 | ||||||
12/31/2007 | 11906 | 19654 | ||||||
06/30/2008 | 9951 | 15447 | ||||||
12/31/2008 | 8541 | 13567 | ||||||
06/30/2009 | 7962 | 11866 | ||||||
12/31/2009 | 9525 | 15077 | ||||||
06/30/2010 | 8963 | 14882 | ||||||
12/31/2010 | 10667 | 17838 |
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.
(continued)
58
Ohio National Fund, Inc. | Strategic Value Portfolio (Continued) |
Portfolio Composition as of December 31, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 97.4 | ||
Money Market Funds and Other Net Assets | 2.6 | ||
100.0 | |||
Top 10 Portfolio Holdings as of December 31, 2010 (1) (2)
% of Net Assets | |||||||
1. | Verizon Communications, Inc. | 3.6 | |||||
2. | AT&T, Inc. | 3.4 | |||||
3. | Royal Dutch Shell PLC | 3.3 | |||||
4. | GlaxoSmithKline PLC | 3.1 | |||||
5. | BCE, Inc. | 3.1 | |||||
6. | ConocoPhillips | 3.1 | |||||
7. | Bristol-Myers Squibb Co. | 3.1 | |||||
8. | Johnson & Johnson | 3.0 | |||||
9. | Chevron Corp. | 2.8 | |||||
10. | Vodafone Group PLC – ADR | 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 | |||
Consumer Staples | 22.7 | ||
Telecommunication Services | 19.9 | ||
Utilities | 15.4 | ||
Health Care | 14.7 | ||
Financials | 11.3 | ||
Energy | 11.3 | ||
Consumer Discretionary | 2.1 | ||
97.4 | |||
59
Ohio National Fund, Inc. | Strategic Value Portfolio |
Schedule of Investments | December 31, 2010 |
Common Stocks – 97.4% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 2.1% | ||||||||||
McDonald’s Corp. (Hotels, Restaurants & Leisure) | 6,825 | $ | 523,887 | |||||||
CONSUMER STAPLES – 22.7% | ||||||||||
Coca-Cola Co. / The (Beverages) | 9,315 | 612,648 | ||||||||
ConAgra Foods, Inc. (Food Products) | 10,000 | 225,800 | ||||||||
H.J. Heinz Co. (Food Products) | 11,875 | 587,337 | ||||||||
Kellogg Co. (Food Products) | 5,900 | 301,372 | ||||||||
Unilever PLC (Food Products) | (a) | 21,210 | 651,489 | |||||||
Clorox Co. (Household Products) | 3,900 | 246,792 | ||||||||
Kimberly-Clark Corp. (Household Products) | 10,575 | 666,648 | ||||||||
Procter & Gamble Co. / The (Household Products) | 4,860 | 312,644 | ||||||||
Altria Group, Inc. (Tobacco) | 18,920 | 465,810 | ||||||||
Lorillard, Inc. (Tobacco) | 3,900 | 320,034 | ||||||||
Philip Morris International, Inc. (Tobacco) | 10,735 | 628,320 | ||||||||
Reynolds American, Inc. (Tobacco) | 16,020 | 522,572 | ||||||||
5,541,466 | ||||||||||
ENERGY – 11.3% | ||||||||||
Chevron Corp. (Oil, Gas & Consumable Fuels) | 7,450 | 679,812 | ||||||||
ConocoPhillips (Oil, Gas & Consumable Fuels) | 11,105 | 756,251 | ||||||||
Royal Dutch Shell PLC (Oil, Gas & Consumable Fuels) | (a) | 24,420 | 808,657 | |||||||
Total S.A. (Oil, Gas & Consumable Fuels) | (a) | 9,320 | 496,407 | |||||||
2,741,127 | ||||||||||
FINANCIALS – 11.3% | ||||||||||
Arthur J. Gallagher & Co. (Insurance) | 8,100 | 235,548 | ||||||||
Cincinnati Financial Corp. (Insurance) | 10,000 | 316,900 | ||||||||
Mercury General Corp. (Insurance) | 4,800 | 206,448 | ||||||||
CommonWealth REIT (Real Estate Investment Trusts) | 9,000 | 229,590 | ||||||||
HCP, Inc. (Real Estate Investment Trusts) | 6,600 | 242,814 | ||||||||
Health Care REIT, Inc. (Real Estate Investment Trusts) | 6,000 | 285,840 | ||||||||
National Retail Properties, Inc. (Real Estate Investment Trusts) | 8,500 | 225,250 | ||||||||
Omega Healthcare Investors, Inc. (Real Estate Investment Trusts) | 9,200 | 206,448 | ||||||||
Realty Income Corp. (Real Estate Investment Trusts) | 6,100 | 208,620 | ||||||||
Senior Housing Properties Trust (Real Estate Investment Trusts) | 12,300 | 269,862 | ||||||||
New York Community Bancorp, Inc. (Thrifts & Mortgage Finance) | 16,900 | 318,565 | ||||||||
2,745,885 | ||||||||||
�� | ||||||||||
HEALTH CARE – 14.7% | ||||||||||
Abbott Laboratories (Pharmaceuticals) | 10,950 | 524,615 | ||||||||
AstraZeneca PLC (Pharmaceuticals) | (a) | 7,800 | 355,480 | |||||||
Bristol-Myers Squibb Co. (Pharmaceuticals) | 28,075 | 743,426 | ||||||||
Eli Lilly & Co. (Pharmaceuticals) | 13,200 | 462,528 | ||||||||
GlaxoSmithKline PLC (Pharmaceuticals) | (a) | 39,316 | 762,448 | |||||||
Johnson & Johnson (Pharmaceuticals) | 11,960 | 739,726 | ||||||||
3,588,223 | ||||||||||
TELECOMMUNICATION SERVICES – 19.9% | ||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 28,000 | 822,640 | ||||||||
BCE, Inc. (Diversified Telecom. Svs.) | 21,280 | 756,346 | ||||||||
CenturyLink, Inc. (Diversified Telecom. Svs.) | 13,925 | 642,917 | ||||||||
Telefonica SA (Diversified Telecom. Svs.) | (a) | 26,564 | 606,457 | |||||||
Verizon Communications, Inc. (Diversified Telecom. Svs.) | 24,620 | 880,904 | ||||||||
Windstream Corp. (Diversified Telecom. Svs.) | 32,305 | 450,332 | ||||||||
Vodafone Group PLC – ADR (Wireless Telecom. Svs.) | 25,570 | 675,815 | ||||||||
4,835,411 | ||||||||||
UTILITIES – 15.4% | ||||||||||
Duke Energy Corp. (Electric Utilities) | 37,920 | 675,355 | ||||||||
PPL Corp. (Electric Utilities) | 11,700 | 307,944 | ||||||||
Progress Energy, Inc. (Electric Utilities) | 10,690 | 464,801 | ||||||||
Southern Co. (Electric Utilities) | 16,960 | 648,381 | ||||||||
CenterPoint Energy, Inc. (Multi-Utilities) | 13,700 | 215,364 | ||||||||
Consolidated Edison, Inc. (Multi-Utilities) | 6,000 | 297,420 | ||||||||
Dominion Resources, Inc. (Multi-Utilities) | 5,025 | 214,668 | ||||||||
National Grid PLC (Multi-Utilities) | (a) | 69,000 | 596,383 | |||||||
SCANA Corp. (Multi-Utilities) | 7,875 | 319,725 | ||||||||
3,740,041 | ||||||||||
Total Common Stocks (Cost $21,346,065) | $ | 23,716,040 | ||||||||
Money Market Funds – 1.9% | Shares | Value | ||||||||
Fidelity Institutional Money Market Funds | ||||||||||
Money Market Portfolio – Class I | 471,000 | $ | 471,000 | |||||||
Total Money Market Funds (Cost $471,000) | $ | 471,000 | ||||||||
Total Investments – 99.3% (Cost $21,817,065) | (b) | $ | 24,187,040 | |||||||
Other Assets in Excess of Liabilities – 0.7% | 160,220 | |||||||||
Net Assets – 100.0% | $ | 24,347,260 | ||||||||
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depositary Receipts
Footnotes:
(a) | Security traded on a foreign exchange has been valued at an estimate of fair value that is different than the local market close price. These fair value estimates are determined by an independent national fair valuation service that has been approved by the Board. These securities represent $4,277,321 or 17.6% of the Portfolio’s net assets. Other Portfolio securities are not subjected to fair value procedures because they are traded on domestic or foreign exchanges that have close times that are consistent with the U.S. market close, normally 4:00 pm Eastern Time. | |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
60
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 December 31, 2010
Average Annual Total Returns: | ||||
One year | 14.09% | |||
Five years | 7.71% | |||
Ten years | 8.20% |
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 year ended December 31, 2010, the High Income Bond Portfolio returned 14.09% versus 14.94% for the current benchmark, the Barclays Capital High Yield 2% Issuer Constrained Index (“BCHY2%ICI”).
The high yield market generated attractive total returns. The major factor behind these attractive returns was the continuing recovery of the domestic economy from the “Great Recession”. While disappointing on the job creation front, the economy did manage four consecutive quarters of positive growth. Overall corporate creditworthiness also continued to recover as corporate earnings registered strong gains driven by the improving economy and the benefit of aggressive cost actions taken during the recession. This improvement is illustrated by the decline in default rates from in excess of 10% in 2009 to less than 1% for the first nine months of 2010, according to the Altman High Yield Bond Default and Return Report. The market also benefited from robust financial market conditions as strength in debt markets allowed companies to term out short and intermediate maturity debt while equity markets surged to post recession highs; raising corporate valuations and contributing to improved investor confidence. Government policies were also very accommodating, topped off in the fourth quarter by a new quantitative easing campaign (dubbed “QE2”). This policy, coupled with tax policy initiatives, resulted in rising expectations for 2011’s economic prospects. The overall impact of these factors can be illustrated by the decline in the spread between the Credit Suisse High Yield Bond Index and comparable Treasuries from 6.34% on December 31, 2009 to 5.71% on December 31, 2010.
Within the high yield market, major industry sectors that substantially outperformed the BCHY2%ICI included financial institutions, gaming, transportation, media — non cable and automotive. While still attractive on an absolute basis, the electric utility, media — cable, healthcare, packaging and energy sectors underperformed the BCHY2%ICI. From a ratings quality perspective, the CCC-rated sector of the BCHY2%ICI returned 16.28% outperforming the higher quality BB and B-rated quality sectors which returned 14.34% and 13.69%, respectively.
The Portfolio underperformed the BCHY2%ICI. The Portfolio was negatively impacted by an underweight relative to the BCHY2%ICI in the strong performing financials sector as well as poor security selection in this sector. The Portfolio was also negatively impacted by underperforming security selection relative to the BCHY2%ICI in the wireline and wireless communication, services, paper, food & beverage, and consumer products industry sectors. Specific Portfolio holdings that substantially underperformed the BCHY2%ICI included: Texas Competitive Electric Holdings Co. LLC, Dynegy Holdings, Inc., Sitel LLC, Hawker Beechcraft, and Dean Foods Co.(1)
The Portfolio benefited from strong security selection relative to the BCHY2%ICI in the media-non cable, media-cable, automotive, retail and aerospace & defense industry sectors. Superior security selection in the health care sector offset the negative effect of an overweight in this underperforming sector. The Portfolio also benefited from its underweight in the weak performing electric utility and supermarket sectors and its overweight in the strong performing gaming sector. The Portfolio also benefited from its overweight in the outperforming CCC-rated quality sector, somewhat offset by a less aggressive investment posture within this low quality sector. Specific Portfolio holdings that substantially outperformed the BCHY2%ICI included: Affinity Group Holdings, Inc., Foxco Acquisition Sub. LLC, Ally Financial, Inc. preferred stock, and Nexstar Broadcasting, Inc.(1)
We continue to believe that high yield bonds offer attractive relative returns in the fixed income area. Yield spreads relative to U.S. Treasury securities remain above their long term median levels giving solid valuation support to the market. The domestic economy appears to be gaining strength as 2011 begins, aided by stimulative monetary and fiscal policy. Corporate credit quality is strong and we believe default rates on high yield securities will remain well below historical averages. These factors all bode well for strong relative returns for the high yield market. Compared to recent years, absolute returns may be somewhat held back if high quality interest rates begin to move higher as the domestic economic conditions continue to firm.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2010. |
(continued)
61
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 | |||||||
12/31/2000 | 10000 | 10000 | ||||||
06/30/2001 | 10231 | 10411 | ||||||
12/31/2001 | 10428 | 10546 | ||||||
06/30/2002 | 10447 | 10192 | ||||||
12/31/2002 | 10839 | 10521 | ||||||
06/30/2003 | 12307 | 12453 | ||||||
12/31/2003 | 13309 | 13548 | ||||||
06/30/2004 | 13614 | 13737 | ||||||
12/31/2004 | 14729 | 15057 | ||||||
06/30/2005 | 14780 | 15200 | ||||||
12/31/2005 | 15170 | 15472 | ||||||
06/30/2006 | 15527 | 15864 | ||||||
12/31/2006 | 16706 | 17137 | ||||||
06/30/2007 | 17207 | 17644 | ||||||
12/31/2007 | 17296 | 17525 | ||||||
06/30/2008 | 17010 | 17336 | ||||||
12/31/2008 | 12883 | 12989 | ||||||
06/30/2009 | 16295 | 17006 | ||||||
12/31/2009 | 19279 | 20622 | ||||||
06/30/2010 | 20101 | 21539 | ||||||
12/31/2010 | 21995 | 23703 |
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 December 31, 2010 (1)
% of Net Assets | |||
Corporate Bonds (3) | 97.5 | ||
Convertible Bonds (3) | 0.1 | ||
Preferred Stocks (3) | 0.1 | ||
Other Net Assets | 2.3 | ||
100.0 | |||
Top 10 Portfolio Holdings as of December 31, 2010 (1) (2)
% of Net Assets | |||||||
1. | CIT Group, Inc. 7.000%, 05/01/2017 | 2.0 | |||||
2. | HCA, Inc. 9.625%, 11/15/2016 | 1.7 | |||||
3. | Ford Motor Credit Co. LLC 8.000%, 12/15/2016 | 1.4 | |||||
4. | Sprint Capital Corp. 6.900%, 05/01/2019 | 1.3 | |||||
5. | Biomet, Inc. 11.625%, 10/15/2017 | 1.0 | |||||
6. | Ally Financial, Inc. 8.300%, 02/12/2015 | 1.0 | |||||
7. | International Lease Finance Corp. 8.750%, 03/15/2017 | 1.0 | |||||
8. | Intelsat Intermediate Holding Co. S.A. 9.500%, 02/01/2015 | 0.8 | |||||
9. | Intelsat Jackson Holdings S.A. 11.250%, 06/15/2016 | 0.8 | |||||
10. | Nuveen Investments, Inc. 10.500%, 11/15/2015 | 0.7 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. | |
(3) | Sectors (combined): |
% of Net Assets | |||
Consumer Discretionary | 28.7 | ||
Industrials | 11.9 | ||
Financials | 9.8 | ||
Materials | 9.5 | ||
Health Care | 9.0 | ||
Energy | 8.4 | ||
Information Technology | 8.1 | ||
Telecommunication Services | 5.0 | ||
Consumer Staples | 4.8 | ||
Utilities | 2.5 | ||
97.7 | |||
62
Ohio National Fund, Inc. | High Income Bond Portfolio |
Schedule of Investments | December 31, 2010 |
Corporate Bonds – 97.5% | Rate | Maturity | Face Amount | Value | ||||||||||||||
CONSUMER DISCRETIONARY – 28.7% | ||||||||||||||||||
American Axle & Manufacturing Holdings, Inc. (Auto Components) | (b) | 9.250% | 01/15/2017 | $ | 800,000 | $ | 898,000 | |||||||||||
American Tire Distributors, Inc. (Auto Components) | (b) | 9.750% | 06/01/2017 | 500,000 | 542,500 | |||||||||||||
Cooper-Standard Automotive, Inc. (Auto Components) | (b) | 8.500% | 05/01/2018 | 775,000 | 825,375 | |||||||||||||
Icahn Enterprises LP / Icahn Enterprises Finance Corp. (Auto Components) | 8.000% | 01/15/2018 | 775,000 | 778,875 | ||||||||||||||
Lear Corp. (Auto Components) | 8.125% | 03/15/2020 | 75,000 | 81,937 | ||||||||||||||
Lear Corp. (Auto Components) | 7.875% | 03/15/2018 | 475,000 | 510,625 | ||||||||||||||
Stoneridge, Inc. (Auto Components) | (b) | 9.500% | 10/15/2017 | 725,000 | 786,625 | |||||||||||||
Tenneco, Inc. (Auto Components) | (b) | 7.750% | 08/15/2018 | 325,000 | 346,125 | |||||||||||||
Tenneco, Inc. (Auto Components) | (b) | 6.875% | 12/15/2020 | 450,000 | 462,375 | |||||||||||||
Tower Automotive Holdings USA LLC / TA Holdings Finance, Inc. (Auto Components) | (b) | 10.625% | 09/01/2017 | 564,000 | 609,120 | |||||||||||||
TRW Automotive, Inc. (Auto Components) | (b) | 8.875% | 12/01/2017 | 425,000 | 478,125 | |||||||||||||
Motors Liquidation Co. (Acquired 12/20/2006 through 04/02/2008, Cost $892,369) (Automobiles) | (a)(h) | 7.400% | 09/01/2025 | 1,100,000 | 374,000 | |||||||||||||
Yonkers Racing Corp. (Automobiles) | (b) | 11.375% | 07/15/2016 | 495,000 | 547,594 | |||||||||||||
Affinia Group Holdings, Inc. (Distributors) | (b) | 10.750% | 08/15/2016 | 495,000 | 551,925 | |||||||||||||
Affinia Group Holdings, Inc. (Distributors) | (b) | 9.000% | 11/30/2014 | 50,000 | 51,625 | |||||||||||||
Baker & Taylor, Inc. (Distributors) | (b) | 11.500% | 07/01/2013 | 400,000 | 329,000 | |||||||||||||
McJunkin Red Man Corp. (Distributors) | (b) | 9.500% | 12/15/2016 | 1,125,000 | 1,068,750 | |||||||||||||
Knowledge Learning Corp. (Diversified Consumer Svs.) | (b) | 7.750% | 02/01/2015 | 1,025,000 | 1,009,625 | |||||||||||||
American Casino & Entertainment Properties LLC (Hotels, Restaurants & Leisure) | 11.000% | 06/15/2014 | 625,000 | 637,500 | ||||||||||||||
Ameristar Casinos, Inc. (Hotels, Restaurants & Leisure) | 9.250% | 06/01/2014 | 875,000 | 940,625 | ||||||||||||||
Blue Acquisition Sub, Inc. (Hotels, Restaurants & Leisure) | (b) | 9.875% | 10/15/2018 | 375,000 | 401,250 | |||||||||||||
Caesars Entertainment Operating Co., Inc. (Hotels, Restaurants & Leisure) | 11.250% | 06/01/2017 | 1,450,000 | 1,638,500 | ||||||||||||||
Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp. (Hotels, Restaurants & Leisure) | (b) | 9.125% | 08/01/2018 | 975,000 | 1,054,219 | |||||||||||||
DineEquity, Inc. (Hotels, Restaurants & Leisure) | (b) | 9.500% | 10/30/2018 | 1,275,000 | 1,357,875 | |||||||||||||
Dunkin Finance Corp. (Hotels, Restaurants & Leisure) | (b) | 9.625% | 12/01/2018 | 1,075,000 | 1,091,125 | |||||||||||||
Great Canadian Gaming Corp. (Hotels, Restaurants & Leisure) | (b) | 7.250% | 02/15/2015 | 1,325,000 | 1,361,437 | |||||||||||||
Jacobs Entertainment, Inc. (Hotels, Restaurants & Leisure) | 9.750% | 06/15/2014 | 850,000 | 830,875 | ||||||||||||||
MGM Resorts International (Hotels, Restaurants & Leisure) | 7.500% | 06/01/2016 | 1,900,000 | 1,786,000 | ||||||||||||||
MGM Resorts International (Hotels, Restaurants & Leisure) | 13.000% | 11/15/2013 | 150,000 | 178,125 | ||||||||||||||
MGM Resorts International (Hotels, Restaurants & Leisure) | 11.125% | 11/15/2017 | 425,000 | 490,875 | ||||||||||||||
MGM Resorts International (Hotels, Restaurants & Leisure) | 10.375% | 05/15/2014 | 50,000 | 56,375 | ||||||||||||||
MGM Resorts International (Hotels, Restaurants & Leisure) | 11.375% | 03/01/2018 | 425,000 | 463,250 | ||||||||||||||
NPC International, Inc. (Hotels, Restaurants & Leisure) | 9.500% | 05/01/2014 | 1,225,000 | 1,258,687 | ||||||||||||||
Peninsula Gaming LLC (Hotels, Restaurants & Leisure) | 10.750% | 08/15/2017 | 575,000 | 622,437 | ||||||||||||||
Peninsula Gaming LLC (Hotels, Restaurants & Leisure) | 8.375% | 08/15/2015 | 600,000 | 633,750 | ||||||||||||||
Penn National Gaming, Inc. (Hotels, Restaurants & Leisure) | 6.750% | 03/01/2015 | 425,000 | 433,500 | ||||||||||||||
Penn National Gaming, Inc. (Hotels, Restaurants & Leisure) | 8.750% | 08/15/2019 | 225,000 | 249,187 | ||||||||||||||
San Pasqual Casino (Hotels, Restaurants & Leisure) | (b) | 8.000% | 09/15/2013 | 350,000 | 352,187 | |||||||||||||
Seminole Hard Rock Entertainment, Inc. (Hotels, Restaurants & Leisure) | (b)(e) | 2.802% | 03/15/2014 | 1,075,000 | 989,000 | |||||||||||||
Seminole Indian Tribe of Florida (Hotels, Restaurants & Leisure) | (b) | 7.804% | 10/01/2020 | 550,000 | 536,525 | |||||||||||||
Seminole Indian Tribe of Florida (Hotels, Restaurants & Leisure) | (b) | 7.750% | 10/01/2017 | 150,000 | 155,625 | |||||||||||||
Universal City Development Partners Ltd., Inc. (Hotels, Restaurants & Leisure) | 8.875% | 11/15/2015 | 800,000 | 854,000 | ||||||||||||||
Universal City Development Partners Ltd., Inc. (Hotels, Restaurants & Leisure) | 10.875% | 11/15/2016 | 525,000 | 576,187 | ||||||||||||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. (Hotels, Restaurants & Leisure) | 7.875% | 11/01/2017 | 425,000 | 460,062 | ||||||||||||||
Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp. (Hotels, Restaurants & Leisure) | 7.750% | 08/15/2020 | 525,000 | 570,937 | ||||||||||||||
Hillman Group, Inc. (Household Durables) | 10.875% | 06/01/2018 | 625,000 | 689,062 | ||||||||||||||
Jarden Corp. (Household Durables) | 7.500% | 05/01/2017 | 725,000 | 767,594 | ||||||||||||||
Jarden Corp. (Household Durables) | 8.000% | 05/01/2016 | 225,000 | 246,094 | ||||||||||||||
Libbey Glass, Inc. (Household Durables) | (b) | 10.000% | 02/15/2015 | 800,000 | 864,000 | |||||||||||||
Norcraft Cos. LP / Norcraft Finance Corp. (Household Durables) | 10.500% | 12/15/2015 | 1,100,000 | 1,174,250 | ||||||||||||||
Norcraft Holdings LP / Norcraft Capital Corp. (Household Durables) | (f) | 9.750% | 09/01/2012 | 182,000 | 184,047 | |||||||||||||
Sealy Mattress Co. (Household Durables) | 8.250% | 06/15/2014 | 1,425,000 | 1,464,187 | ||||||||||||||
Sealy Mattress Co. (Household Durables) | (b) | 10.875% | 04/15/2016 | 337,000 | 382,495 | |||||||||||||
Simmons Bedding Co. (Household Durables) | (b) | 11.250% | 07/15/2015 | 1,200,000 | 1,302,000 | |||||||||||||
Easton-Bell Sports, Inc. (Leisure Equip. & Products) | 9.750% | 12/01/2016 | 1,125,000 | 1,240,312 | ||||||||||||||
CCH II LLC / CCH II Capital Corp. (Media) | 13.500% | 11/30/2016 | 471,692 | 564,851 | ||||||||||||||
CCO Holdings, LLC / CCO Holdings Capital Corp. (Media) | 8.125% | 04/30/2020 | 75,000 | 79,312 | ||||||||||||||
CCO Holdings, LLC / CCO Holdings Capital Corp. (Media) | 7.875% | 04/30/2018 | 1,025,000 | 1,066,000 | ||||||||||||||
Cinemark U.S.A, Inc. (Media) | 8.625% | 06/15/2019 | 950,000 | 1,033,125 | ||||||||||||||
Citadel Broadcasting Corp. (Media) | (b) | 7.750% | 12/15/2018 | 150,000 | 156,000 | |||||||||||||
DISH DBS Corp. (Media) | 6.625% | 10/01/2014 | 850,000 | 884,000 | ||||||||||||||
Entravision Communications Corp. (Media) | (b) | 8.750% | 08/01/2017 | 475,000 | 503,500 | |||||||||||||
Fox Acquisition Sub LLC (Media) | (b) | 13.375% | 07/15/2016 | 875,000 | 962,500 | |||||||||||||
Insight Communications Co., Inc. (Media) | (b) | 9.375% | 07/15/2018 | 675,000 | 722,250 | |||||||||||||
Intelsat Intermediate Holding Co. S.A. (Media) | (f) | 9.500% | 02/01/2015 | 2,200,000 | 2,277,000 | |||||||||||||
Intelsat Jackson Holdings S.A. (Media) | 11.250% | 06/15/2016 | 2,025,000 | 2,192,062 | ||||||||||||||
Intelsat Jackson Holdings S.A. (Media) | (b) | 8.500% | 11/01/2019 | 275,000 | 300,437 | |||||||||||||
Interpublic Group of Cos., Inc. / The (Media) | 10.000% | 07/15/2017 | 700,000 | 822,500 | ||||||||||||||
Kabel Deutschland GmbH (Media) | 10.625% | 07/01/2014 | 185,000 | 192,015 |
(continued)
63
Ohio National Fund, Inc. | High Income Bond Portfolio (Continued) |
Schedule of Investments | December 31, 2010 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||
CONSUMER DISCRETIONARY (continued) | ||||||||||||||||||
Lamar Media Corp. (Media) | 6.625% | 08/15/2015 | $ | 950,000 | $ | 969,000 | ||||||||||||
Lamar Media Corp. (Media) | 6.625% | 08/15/2015 | 375,000 | 382,500 | ||||||||||||||
Lamar Media Corp. (Media) | 9.750% | 04/01/2014 | 175,000 | 202,125 | ||||||||||||||
MDC Partners, Inc. (Media) | 11.000% | 11/01/2016 | 950,000 | 1,052,125 | ||||||||||||||
MediMedia U.S.A, Inc. (Media) | (b) | 11.375% | 11/15/2014 | 1,225,000 | 1,059,625 | |||||||||||||
Nexstar Broadcasting, Inc. / Mission Broadcasting, Inc. (Media) | (b) | 8.875% | 04/15/2017 | 550,000 | 587,125 | |||||||||||||
Nexstar Broadcasting, Inc. (Media) | 7.000% | 01/15/2014 | 225,000 | 221,062 | ||||||||||||||
Nexstar Broadcasting, Inc. (Media) | (d) | 7.000% | 01/15/2014 | 432,266 | 422,540 | |||||||||||||
Nielsen Finance LLC / Nielsen Finance Co. (Media) | (f) | 0.000% | 08/01/2016 | 650,000 | 685,750 | |||||||||||||
Nielsen Finance LLC / Nielsen Finance Co. (Media) | 11.500% | 05/01/2016 | 900,000 | 1,044,000 | ||||||||||||||
Nielsen Finance LLC / Nielsen Finance Co. (Media) | 11.625% | 02/01/2014 | 450,000 | 523,125 | ||||||||||||||
Nielsen Finance LLC / Nielsen Finance Co. (Media) | (b) | 7.750% | 10/15/2018 | 400,000 | 416,000 | |||||||||||||
ProQuest LLC Co. (Media) | (b) | 9.000% | 10/15/2018 | 750,000 | 776,250 | |||||||||||||
Rainbow National Services LLC (Media) | (b) | 10.375% | 09/01/2014 | 639,000 | 666,157 | |||||||||||||
Regal Cinemas Corp. (Media) | 8.625% | 07/15/2019 | 1,050,000 | 1,118,250 | ||||||||||||||
Sirius XM Radio, Inc. (Media) | (b) | 8.750% | 04/01/2015 | 1,000,000 | 1,087,500 | |||||||||||||
Sitel LLC / Sitel Finance Corp. (Media) | (b) | 11.500% | 04/01/2018 | 1,075,000 | 892,250 | |||||||||||||
Umbrella Acquisition, Inc. (Media) | (b)(d) | 9.750% | 03/15/2015 | 475,311 | 515,712 | |||||||||||||
Univision Communications, Inc. (Media) | (b) | 12.000% | 07/01/2014 | 75,000 | 82,500 | |||||||||||||
Virgin Media Finance PLC (Media) | 9.500% | 08/15/2016 | 1,025,000 | 1,163,375 | ||||||||||||||
Visant Corp. (Media) | (b) | 10.000% | 10/01/2017 | 1,775,000 | 1,890,375 | |||||||||||||
XM Satellite Radio, Inc. (Media) | (b) | 13.000% | 08/01/2014 | 575,000 | 687,125 | |||||||||||||
XM Satellite Radio, Inc. (Media) | (b) | 7.625% | 11/01/2018 | 475,000 | 492,812 | |||||||||||||
Dollar General Corp. (Multiline Retail) | (d) | 11.875% | 07/15/2017 | 635,000 | 739,775 | |||||||||||||
Macy’s Retail Holdings, Inc. (Multiline Retail) | 6.650% | 07/15/2024 | 175,000 | 174,125 | ||||||||||||||
Macy’s Retail Holdings, Inc. (Multiline Retail) | 7.000% | 02/15/2028 | 100,000 | 99,750 | ||||||||||||||
Macy’s Retail Holdings, Inc. (Multiline Retail) | 6.900% | 01/15/2032 | 50,000 | 50,125 | ||||||||||||||
QVC, Inc. (Multiline Retail) | (b) | 7.500% | 10/01/2019 | 1,025,000 | 1,083,937 | |||||||||||||
QVC, Inc. (Multiline Retail) | (b) | 7.125% | 04/15/2017 | 200,000 | 210,500 | |||||||||||||
Toys “R” Us Property Co. I LLC (Multiline Retail) | 10.750% | 07/15/2017 | 1,275,000 | 1,459,875 | ||||||||||||||
Giraffe Acquisition Corp. (Specialty Retail) | (b) | 9.125% | 12/01/2018 | 800,000 | 838,000 | |||||||||||||
Limited Brands, Inc. (Specialty Retail) | 8.500% | 06/15/2019 | 525,000 | 602,437 | ||||||||||||||
Nebraska Book Co., Inc. (Specialty Retail) | 8.625% | 03/15/2012 | 600,000 | 528,000 | ||||||||||||||
Nebraska Book Co., Inc. (Specialty Retail) | 10.000% | 12/01/2011 | 525,000 | 525,000 | ||||||||||||||
Penske Automotive Group, Inc. (Specialty Retail) | 7.750% | 12/15/2016 | 1,275,000 | 1,306,875 | ||||||||||||||
Petco Animal Supplies, Inc. (Specialty Retail) | (b) | 9.250% | 12/01/2018 | 1,075,000 | 1,138,156 | |||||||||||||
Sally Holdings LLC / Sally Capital Inc. (Specialty Retail) | 10.500% | 11/15/2016 | 1,250,000 | 1,384,375 | ||||||||||||||
77,380,122 | ||||||||||||||||||
CONSUMER STAPLES – 4.8% | ||||||||||||||||||
General Nutrition Centers, Inc. (Food & Staples Retailing) | (d)(e) | 5.750% | 03/15/2014 | 1,350,000 | 1,343,250 | |||||||||||||
General Nutrition Centers, Inc. (Food & Staples Retailing) | 10.750% | 03/15/2015 | 100,000 | 102,000 | ||||||||||||||
B&G Foods, Inc. (Food Products) | 7.625% | 01/15/2018 | 525,000 | 553,875 | ||||||||||||||
Darling International, Inc. (Food Products) | (b) | 8.500% | 12/15/2018 | 125,000 | 130,937 | |||||||||||||
Dean Foods Co. (Food Products) | 7.000% | 06/01/2016 | 1,400,000 | 1,291,500 | ||||||||||||||
Dean Foods Co. (Food Products) | (b) | 9.750% | 12/15/2018 | 700,000 | 708,750 | |||||||||||||
Michael Foods, Inc. (Food Products) | (b) | 9.750% | 07/15/2018 | 950,000 | 1,042,625 | |||||||||||||
Pinnacle Foods Finance LLC / Pinnacle Foods Finance Corp. (Food Products) | 9.250% | 04/01/2015 | 875,000 | 915,469 | ||||||||||||||
Pinnacle Foods Finance LLC / Pinnacle Foods Finance Corp. (Food Products) | 10.625% | 04/01/2017 | 425,000 | 456,875 | ||||||||||||||
Pinnacle Foods Finance LLC / Pinnacle Foods Finance Corp. (Food Products) | 8.250% | 09/01/2017 | 500,000 | 513,750 | ||||||||||||||
Reddy Ice Corp. (Food Products) | 11.250% | 03/15/2015 | 425,000 | 436,687 | ||||||||||||||
Reddy Ice Corp. (Food Products) | 13.250% | 11/01/2015 | 504,000 | 433,440 | ||||||||||||||
Smithfield Foods, Inc. (Food Products) | 7.750% | 05/15/2013 | 350,000 | 374,719 | ||||||||||||||
Smithfield Foods, Inc. (Food Products) | 7.750% | 07/01/2017 | 725,000 | 757,625 | ||||||||||||||
Smithfield Foods, Inc. (Food Products) | (b) | 10.000% | 07/15/2014 | 525,000 | 607,687 | |||||||||||||
TreeHouse Foods, Inc. (Food Products) | 7.750% | 03/01/2018 | 325,000 | 353,031 | ||||||||||||||
Central Garden and Pet Co. (Household Products) | 8.250% | 03/01/2018 | 800,000 | 814,000 | ||||||||||||||
Spectrum Brands Holdings, Inc. (Household Products) | (b) | 9.500% | 06/15/2018 | 300,000 | 330,000 | |||||||||||||
Spectrum Brands Holdings, Inc. (Household Products) | (d) | 12.000% | 08/28/2019 | 1,221,650 | 1,369,775 | |||||||||||||
Prestige Brands, Inc. (Personal Products) | (b) | 8.250% | 04/01/2018 | 400,000 | 416,000 | |||||||||||||
12,951,995 | ||||||||||||||||||
ENERGY – 8.4% | ||||||||||||||||||
Basic Energy Services, Inc. (Energy Equip. & Svs.) | 7.125% | 04/15/2016 | 850,000 | 828,750 | ||||||||||||||
Cie Generale de Geophysique-Veritas (Energy Equip. & Svs.) | 7.750% | 05/15/2017 | 1,100,000 | 1,133,000 | ||||||||||||||
Cie Generale de Geophysique-Veritas (Energy Equip. & Svs.) | 9.500% | 05/15/2016 | 400,000 | 438,000 | ||||||||||||||
Complete Production Services, Inc. (Energy Equip. & Svs.) | 8.000% | 12/15/2016 | 600,000 | 624,000 | ||||||||||||||
Crosstex Energy LP / Crosstex Energy Finance Corp. (Energy Equip. & Svs.) | 8.875% | 02/15/2018 | 1,275,000 | 1,372,219 | ||||||||||||||
Frac Tech Services LLC / Frac Tech Finance, Inc. (Energy Equip. & Svs.) | (b) | 7.125% | 11/15/2018 | 125,000 | 127,187 |
(continued)
64
Ohio National Fund, Inc. | High Income Bond Portfolio (Continued) |
Schedule of Investments | December 31, 2010 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||
ENERGY (continued) | ||||||||||||||||||
PHI, Inc. (Energy Equip. & Svs.) | (b) | 8.625% | 10/15/2018 | $ | 775,000 | $ | 798,250 | |||||||||||
Aquilex Holdings LLC / Aquilex Finance Corp. (Oil, Gas & Consumable Fuels) | 11.125% | 12/15/2016 | 575,000 | 585,062 | ||||||||||||||
ATP Oil & Gas Corp. (Oil, Gas & Consumable Fuels) | (b) | 11.875% | 05/01/2015 | 950,000 | 902,500 | |||||||||||||
Berry Petroleum Co. (Oil, Gas & Consumable Fuels) | 6.750% | 11/01/2020 | 150,000 | 151,125 | ||||||||||||||
Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels) | 6.875% | 11/15/2020 | 425,000 | 432,437 | ||||||||||||||
Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels) | 9.500% | 02/15/2015 | 600,000 | 679,500 | ||||||||||||||
Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels) | 6.625% | 08/15/2020 | 250,000 | 247,500 | ||||||||||||||
Chesapeake Energy Corp. (Oil, Gas & Consumable Fuels) | 6.875% | 08/15/2018 | 325,000 | 331,500 | ||||||||||||||
Coffeyville Resources LLC / Coffeyville Finance, Inc. (Oil, Gas & Consumable Fuels) | (b) | 10.875% | 04/01/2017 | 825,000 | 891,000 | |||||||||||||
Concho Resources, Inc. (Oil, Gas & Consumable Fuels) | 7.000% | 01/15/2021 | 525,000 | 539,437 | ||||||||||||||
Denbury Resources, Inc. (Oil, Gas & Consumable Fuels) | 8.250% | 02/15/2020 | 273,000 | 297,570 | ||||||||||||||
Denbury Resources, Inc. (Oil, Gas & Consumable Fuels) | 9.750% | 03/01/2016 | 125,000 | 140,000 | ||||||||||||||
Energy Transfer Equity LP (Oil, Gas & Consumable Fuels) | 7.500% | 10/15/2020 | 850,000 | 879,750 | ||||||||||||||
EXCO Resources, Inc. (Oil, Gas & Consumable Fuels) | 7.500% | 09/15/2018 | 825,000 | 812,625 | ||||||||||||||
Hilcorp Energy I LP / Hilcorp Finance Co. (Oil, Gas & Consumable Fuels) | (b) | 7.750% | 11/01/2015 | 400,000 | 415,000 | |||||||||||||
Holly Energy Partners LP / Holly Energy Finance Corp. (Oil, Gas & Consumable Fuels) | 6.250% | 03/01/2015 | 650,000 | 646,750 | ||||||||||||||
Inergy LP / Inergy Finance Corp. (Oil, Gas & Consumable Fuels) | 6.875% | 12/15/2014 | 625,000 | 637,500 | ||||||||||||||
Inergy LP / Inergy Finance Corp. (Oil, Gas & Consumable Fuels) | 8.750% | 03/01/2015 | 425,000 | 454,750 | ||||||||||||||
Inergy LP / Inergy Finance Corp. (Oil, Gas & Consumable Fuels) | (b) | 7.000% | 10/01/2018 | 250,000 | 253,125 | |||||||||||||
Linn Energy LLC / Linn Energy Finance Corp. (Oil, Gas & Consumable Fuels) | (b) | 8.625% | 04/15/2020 | 675,000 | 730,687 | |||||||||||||
Linn Energy LLC / Linn Energy Finance Corp. (Oil, Gas & Consumable Fuels) | 11.750% | 05/15/2017 | 200,000 | 230,000 | ||||||||||||||
Linn Energy LLC / Linn Energy Finance Corp. (Oil, Gas & Consumable Fuels) | (b) | 7.750% | 02/01/2021 | 500,000 | 515,000 | |||||||||||||
MarkWest Energy Partners LP / MarkWest Energy Finance Corp. (Oil, Gas & Consumable Fuels) | 8.750% | 04/15/2018 | 1,350,000 | 1,468,125 | ||||||||||||||
Niska Gas Storage US LLC / Niska Gas Storage Canada ULC (Oil, Gas & Consumable Fuels) | (b) | 8.875% | 03/15/2018 | 1,125,000 | 1,209,375 | |||||||||||||
Petrohawk Energy Corp. (Oil, Gas & Consumable Fuels) | 7.250% | 08/15/2018 | 1,025,000 | 1,040,375 | ||||||||||||||
Pioneer Natural Resources Co. (Oil, Gas & Consumable Fuels) | 6.875% | 05/01/2018 | 300,000 | 320,431 | ||||||||||||||
Plains Exploration & Production Co. (Oil, Gas & Consumable Fuels) | 7.000% | 03/15/2017 | 125,000 | 129,062 | ||||||||||||||
Plains Exploration & Production Co. (Oil, Gas & Consumable Fuels) | 7.750% | 06/15/2015 | 600,000 | 628,500 | ||||||||||||||
Range Resources Corp. (Oil, Gas & Consumable Fuels) | 6.375% | 03/15/2015 | 100,000 | 102,500 | ||||||||||||||
Range Resources Corp. (Oil, Gas & Consumable Fuels) | 7.500% | 05/15/2016 | 150,000 | 156,375 | ||||||||||||||
Regency Energy Partners LP / Regency Energy Finance Corp. (Oil, Gas & Consumable Fuels) | 6.875% | 12/01/2018 | 275,000 | 279,812 | ||||||||||||||
Regency Energy Partners LP / Regency Energy Finance Corp. (Oil, Gas & Consumable Fuels) | 9.375% | 06/01/2016 | 600,000 | 661,500 | ||||||||||||||
SandRidge Energy, Inc. (Oil, Gas & Consumable Fuels) | (b) | 8.000% | 06/01/2018 | 250,000 | 255,000 | |||||||||||||
SandRidge Energy, Inc. (Oil, Gas & Consumable Fuels) | (b) | 9.875% | 05/15/2016 | 100,000 | 106,250 | |||||||||||||
Southern Star Central Corp. (Oil, Gas & Consumable Fuels) | 6.750% | 03/01/2016 | 225,000 | 228,375 | ||||||||||||||
22,679,904 | ||||||||||||||||||
FINANCIALS – 9.7% | ||||||||||||||||||
Nuveen Investments, Inc. (Capital Markets) | 10.500% | 11/15/2015 | 1,900,000 | 1,952,250 | ||||||||||||||
Pinafore LLC (Capital Markets) | (b) | 9.000% | 10/01/2018 | 625,000 | 678,125 | |||||||||||||
CIT Group, Inc. (Commercial Banks) | 7.000% | 05/01/2017 | 5,500,000 | 5,527,500 | ||||||||||||||
Ally Financial, Inc. (Consumer Finance) | 7.000% | 02/01/2012 | 625,000 | 653,125 | ||||||||||||||
Ally Financial, Inc. (Consumer Finance) | 6.875% | 09/15/2011 | 800,000 | 826,000 | ||||||||||||||
Ally Financial, Inc. (Consumer Finance) | 8.000% | 11/01/2031 | 260,000 | 281,450 | ||||||||||||||
Ally Financial, Inc. (Consumer Finance) | (b) | 7.500% | 09/15/2020 | 250,000 | 263,437 | |||||||||||||
Ally Financial, Inc. (Consumer Finance) | (b) | 6.250% | 12/01/2017 | 300,000 | 300,375 | |||||||||||||
Ally Financial, Inc. (Consumer Finance) | 8.300% | 02/12/2015 | 2,425,000 | 2,673,562 | ||||||||||||||
Ally Financial, Inc. (Consumer Finance) | 8.000% | 03/15/2020 | 375,000 | 410,625 | ||||||||||||||
Ford Motor Credit Co. LLC (Consumer Finance) | 8.000% | 12/15/2016 | 3,425,000 | 3,831,873 | ||||||||||||||
Ford Motor Credit Co. LLC (Consumer Finance) | 8.000% | 06/01/2014 | 650,000 | 716,646 | ||||||||||||||
Ford Motor Credit Co. LLC (Consumer Finance) | 7.500% | 08/01/2012 | 400,000 | 425,442 | ||||||||||||||
Ford Motor Credit Co. LLC (Consumer Finance) | 8.125% | 01/15/2020 | 150,000 | 174,799 | ||||||||||||||
Express LLC / Express Finance Corp. (Diversified Financial Svs.) | 8.750% | 03/01/2018 | 550,000 | 587,125 | ||||||||||||||
Interactive Data Corp. (Diversified Financial Svs.) | (b) | 10.250% | 08/01/2018 | 725,000 | 797,500 | |||||||||||||
International Lease Finance Corp. (Diversified Financial Svs.) | (b) | 8.750% | 03/15/2017 | 2,425,000 | 2,606,875 | |||||||||||||
International Lease Finance Corp. (Diversified Financial Svs.) | (b) | 8.625% | 09/15/2015 | 450,000 | 484,875 | |||||||||||||
International Lease Finance Corp. (Diversified Financial Svs.) | 8.875% | 09/01/2017 | 250,000 | 270,937 | ||||||||||||||
International Lease Finance Corp. (Diversified Financial Svs.) | 8.250% | 12/15/2020 | 275,000 | 283,594 | ||||||||||||||
Trans Union LLC / TransUnion Financing Corp. (Diversified Financial Svs.) | (b) | 11.375% | 06/15/2018 | 350,000 | 400,750 | |||||||||||||
Reliance Intermediate Holdings LP (Insurance) | (b) | 9.500% | 12/15/2019 | 550,000 | 580,937 | |||||||||||||
Host Hotels & Resorts LP (Real Estate Investment Trusts) | 7.125% | 11/01/2013 | 112,000 | 114,240 | ||||||||||||||
Host Hotels & Resorts LP (Real Estate Investment Trusts) | 6.375% | 03/15/2015 | 175,000 | 178,500 | ||||||||||||||
Host Hotels & Resorts LP (Real Estate Investment Trusts) | 6.750% | 06/01/2016 | 100,000 | 102,625 | ||||||||||||||
Host Hotels & Resorts LP (Real Estate Investment Trusts) | 6.875% | 11/01/2014 | 250,000 | 258,750 | ||||||||||||||
Ventas Realty LP l Corp. (Real Estate Investment Trusts) | 6.500% | 06/01/2016 | 325,000 | 338,367 | ||||||||||||||
Ventas Realty LP l Corp. (Real Estate Investment Trusts) | 6.750% | 04/01/2017 | 375,000 | 393,423 | ||||||||||||||
Ventas Realty LP l Corp. (Real Estate Investment Trusts) | 6.500% | 06/01/2016 | 225,000 | 234,254 | ||||||||||||||
26,347,961 | ||||||||||||||||||
(continued)
65
Ohio National Fund, Inc. | High Income Bond Portfolio (Continued) |
Schedule of Investments | December 31, 2010 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||
HEALTH CARE – 9.0% | ||||||||||||||||||
Alere, Inc. (Health Care Equip. & Supplies) | 7.875% | 02/01/2016 | $ | 525,000 | $ | 528,937 | ||||||||||||
Alere, Inc. (Health Care Equip. & Supplies) | 9.000% | 05/15/2016 | 925,000 | 957,375 | ||||||||||||||
Bausch & Lomb, Inc. (Health Care Equip. & Supplies) | 9.875% | 11/01/2015 | 950,000 | 1,021,250 | ||||||||||||||
Biomet, Inc. (Health Care Equip. & Supplies) | 11.625% | 10/15/2017 | 2,425,000 | 2,691,750 | ||||||||||||||
VWR Funding, Inc. (Health Care Equip. & Supplies) | (d) | 10.250% | 07/15/2015 | 1,804,843 | 1,904,109 | |||||||||||||
CRC Health Corp. (Health Care Providers & Svs.) | 10.750% | 02/01/2016 | 550,000 | 554,125 | ||||||||||||||
Fresenius US Finance II, Inc. (Health Care Providers & Svs.) | (b) | 9.000% | 07/15/2015 | 325,000 | 373,750 | |||||||||||||
HCA Holdings, Inc. (Health Care Providers & Svs.) | (b) | 7.750% | 05/15/2021 | 400,000 | 401,000 | |||||||||||||
HCA, Inc. (Health Care Providers & Svs.) | 7.500% | 11/06/2033 | 225,000 | 208,125 | ||||||||||||||
HCA, Inc. (Health Care Providers & Svs.) | 9.250% | 11/15/2016 | 550,000 | 588,156 | ||||||||||||||
HCA, Inc. (Health Care Providers & Svs.) | (d) | 9.625% | 11/15/2016 | 4,251,516 | 4,565,065 | |||||||||||||
HCA, Inc. (Health Care Providers & Svs.) | 7.875% | 02/15/2020 | 275,000 | 295,625 | ||||||||||||||
HCA, Inc. (Health Care Providers & Svs.) | 9.875% | 02/15/2017 | 225,000 | 248,625 | ||||||||||||||
Multiplan, Inc. (Health Care Providers & Svs.) | (b) | 9.875% | 09/01/2018 | 1,275,000 | 1,357,875 | |||||||||||||
National Mentor Holdings, Inc. (Health Care Providers & Svs.) | 11.250% | 07/01/2014 | 825,000 | 841,500 | ||||||||||||||
Omnicare, Inc. (Health Care Providers & Svs.) | 6.875% | 12/15/2015 | 775,000 | 792,438 | ||||||||||||||
Omnicare, Inc. (Health Care Providers & Svs.) | 7.750% | 06/01/2020 | 475,000 | 491,625 | ||||||||||||||
United Surgical Partners International, Inc. (Health Care Providers & Svs.) | (d) | 9.250% | 05/01/2017 | 1,250,000 | 1,306,250 | |||||||||||||
Universal Hospital Services, Inc. (Health Care Providers & Svs.) | (d) | 8.500% | 06/01/2015 | 1,150,000 | 1,187,375 | |||||||||||||
Universal Hospital Services, Inc. (Health Care Providers & Svs.) | (e) | 3.834% | 06/01/2015 | 150,000 | 138,000 | |||||||||||||
Vanguard Health Holding Co. II LLC / Vanguard Holding Co. II Inc. (Health Care Providers & Svs.) | 8.000% | 02/01/2018 | 1,450,000 | 1,493,500 | ||||||||||||||
Yankee Acquisition Corp. (Health Care Providers & Svs.) | 8.500% | 02/15/2015 | 200,000 | 209,000 | ||||||||||||||
Yankee Acquisition Corp. (Health Care Providers & Svs.) | 9.750% | 02/15/2017 | 1,725,000 | 1,806,938 | ||||||||||||||
Bio-Rad Laboratories, Inc. (Life Sciences Tools & Svs.) | 8.000% | 09/15/2016 | 300,000 | 327,000 | ||||||||||||||
24,289,393 | ||||||||||||||||||
INDUSTRIALS – 11.8% | ||||||||||||||||||
Alliant Techsystems, Inc. (Aerospace & Defense) | 6.750% | 04/01/2016 | 500,000 | 520,625 | ||||||||||||||
Hawker Beechcraft Acquisition Co. LLC / Hawker Beechcraft Notes Co. (Aerospace & Defense) | 9.750% | 04/01/2017 | 200,000 | 114,500 | ||||||||||||||
L-3 Communications Corp. (Aerospace & Defense) | 6.375% | 10/15/2015 | 225,000 | 232,875 | ||||||||||||||
Sequa Corp. (Aerospace & Defense) | (b) | 11.750% | 12/01/2015 | 300,000 | 322,500 | |||||||||||||
Sequa Corp. (Aerospace & Defense) | (b) | 13.500% | 12/01/2015 | 183,054 | 198,842 | |||||||||||||
TransDigm, Inc. (Aerospace & Defense) | (b) | 7.750% | 12/15/2018 | 1,475,000 | 1,534,000 | |||||||||||||
CEVA Group PLC (Air Freight & Logistics) | (b) | 11.625% | 10/01/2016 | 300,000 | 330,750 | |||||||||||||
CHC Helicopter SA (Air Freight & Logistics) | (b) | 9.250% | 10/15/2020 | 625,000 | 650,000 | |||||||||||||
Associated Materials LLC (Building Products) | (b) | 9.125% | 11/01/2017 | 100,000 | 104,750 | |||||||||||||
Building Materials Corp. of America (Building Products) | (b) | 7.500% | 03/15/2020 | 225,000 | 230,063 | |||||||||||||
Nortek, Inc. (Building Products) | 11.000% | 12/01/2013 | 725,000 | 775,750 | ||||||||||||||
Nortek, Inc. (Building Products) | (b) | 10.000% | 12/01/2018 | 425,000 | 440,938 | |||||||||||||
Ply Gem Industries, Inc. (Building Products) | 11.750% | 06/15/2013 | 600,000 | 645,000 | ||||||||||||||
RBS Global, Inc. / Rexnord LLC (Building Products) | 8.500% | 05/01/2018 | 1,250,000 | 1,334,375 | ||||||||||||||
Thermon Industries, Inc. (Building Products) | (b) | 9.500% | 05/01/2017 | 575,000 | 615,250 | |||||||||||||
Altegrity, Inc. (Commercial Svs. & Supplies) | (b) | 11.750% | 05/01/2016 | 625,000 | 641,406 | |||||||||||||
Altegrity, Inc. (Commercial Svs. & Supplies) | (b) | 10.500% | 11/01/2015 | 425,000 | 438,281 | |||||||||||||
ARAMARK Corp. (Commercial Svs. & Supplies) | 8.500% | 02/01/2015 | 900,000 | 945,000 | ||||||||||||||
ARAMARK Corp. (Commercial Svs. & Supplies) | (e) | 3.787% | 02/01/2015 | 250,000 | 245,625 | |||||||||||||
Diversey Holdings, Inc. (Commercial Svs. & Supplies) | 10.500% | 05/15/2020 | 975,000 | 1,126,125 | ||||||||||||||
Diversey, Inc. (Commercial Svs. & Supplies) | 8.250% | 11/15/2019 | 350,000 | 381,500 | ||||||||||||||
Garda World Security Corp. (Commercial Svs. & Supplies) | (b) | 9.750% | 03/15/2017 | 950,000 | 1,023,625 | |||||||||||||
Global Cash Access, Inc. / Global Cash Finance Corp. (Commercial Svs. & Supplies) | 8.750% | 03/15/2012 | 300,000 | 303,000 | ||||||||||||||
KAR Auction Services, Inc. (Commercial Svs. & Supplies) | 8.750% | 05/01/2014 | 1,000,000 | 1,045,000 | ||||||||||||||
KAR Auction Services, Inc. (Commercial Svs. & Supplies) | 10.000% | 05/01/2015 | 7,000 | 7,455 | ||||||||||||||
Maxim Crane Works LP (Commercial Svs. & Supplies) | (b) | 12.250% | 04/15/2015 | 625,000 | 610,156 | |||||||||||||
RSC Equipment Rental, Inc. / RSC Holdings III LLC (Commercial Svs. & Supplies) | 9.500% | 12/01/2014 | 375,000 | 395,625 | ||||||||||||||
RSC Equipment Rental, Inc. / RSC Holdings III LLC (Commercial Svs. & Supplies) | (b) | 10.000% | 07/15/2017 | 175,000 | 197,750 | |||||||||||||
RSC Equipment Rental, Inc. / RSC Holdings III LLC (Commercial Svs. & Supplies) | 10.250% | 11/15/2019 | 475,000 | 532,000 | ||||||||||||||
SGS International, Inc. (Commercial Svs. & Supplies) | 12.000% | 12/15/2013 | 900,000 | 931,500 | ||||||||||||||
United Rentals North America, Inc. (Commercial Svs. & Supplies) | 8.375% | 09/15/2020 | 925,000 | 945,813 | ||||||||||||||
West Corp. (Commercial Svs. & Supplies) | 11.000% | 10/15/2016 | 1,325,000 | 1,444,250 | ||||||||||||||
West Corp. (Commercial Svs. & Supplies) | (b) | 8.625% | 10/01/2018 | 175,000 | 186,375 | |||||||||||||
West Corp. (Commercial Svs. & Supplies) | (b) | 7.875% | 01/15/2019 | 800,000 | 816,000 | |||||||||||||
Atkore International, Inc. (Electrical Equip.) | (b) | 9.875% | 01/01/2018 | 275,000 | 287,375 | |||||||||||||
Baldor Electric Co. (Electrical Equip.) | 8.625% | 02/15/2017 | 875,000 | 984,375 | ||||||||||||||
Belden, Inc. (Electrical Equip.) | 7.000% | 03/15/2017 | 450,000 | 457,875 | ||||||||||||||
Belden, Inc. (Electrical Equip.) | 9.250% | 06/15/2019 | 200,000 | 220,250 | ||||||||||||||
General Cable Corp. (Electrical Equip.) | 7.125% | 04/01/2017 | 600,000 | 621,000 | ||||||||||||||
International Wire Group, Inc. (Electrical Equip.) | (b) | 9.750% | 04/15/2015 | 625,000 | 656,250 | |||||||||||||
Sensus USA, Inc. (Electrical Equip.) | 8.625% | 12/15/2013 | 525,000 | 535,500 | ||||||||||||||
Viasystems, Inc. (Electrical Equip.) | (b) | 12.000% | 01/15/2015 | 525,000 | 589,313 |
(continued)
66
Ohio National Fund, Inc. | High Income Bond Portfolio (Continued) |
Schedule of Investments | December 31, 2010 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||
INDUSTRIALS (continued) | ||||||||||||||||||
Amsted Industries, Inc. (Machinery) | (b) | 8.125% | 03/15/2018 | $ | 200,000 | $ | 213,250 | |||||||||||
ArvinMeritor, Inc. (Machinery) | 10.625% | 03/15/2018 | 775,000 | 875,750 | ||||||||||||||
Case New Holland, Inc. (Machinery) | (b) | 7.875% | 12/01/2017 | 225,000 | 246,938 | |||||||||||||
Mueller Water Products, Inc. (Machinery) | 7.375% | 06/01/2017 | 525,000 | 509,250 | ||||||||||||||
Mueller Water Products, Inc. (Machinery) | 8.750% | 09/01/2020 | 600,000 | 666,000 | ||||||||||||||
Navistar International Corp. (Machinery) | 8.250% | 11/01/2021 | 400,000 | 432,000 | ||||||||||||||
Stena AB (Marine) | 7.000% | 12/01/2016 | 175,000 | 172,375 | ||||||||||||||
Avis Budget Car Rental LLC / Avis Budget Finance, Inc. (Road & Rail) | 9.625% | 03/15/2018 | 925,000 | 1,001,312 | ||||||||||||||
Avis Budget Car Rental LLC / Avis Budget Finance, Inc. (Road & Rail) | (b) | 8.250% | 01/15/2019 | 575,000 | 583,625 | |||||||||||||
Hertz Corp. / The (Road & Rail) | 8.875% | 01/01/2014 | 800,000 | 822,000 | ||||||||||||||
Hertz Corp. / The (Road & Rail) | (b) | 7.500% | 10/15/2018 | 100,000 | 104,250 | |||||||||||||
Hertz Corp. / The (Road & Rail) | (b) | 7.375% | 01/15/2021 | 475,000 | 482,125 | |||||||||||||
Kansas City Southern Railway (Road & Rail) | 8.000% | 06/01/2015 | 250,000 | 270,000 | ||||||||||||||
Interline Brands, Inc. (Trading Companies & Distributors) | 8.125% | 06/15/2014 | 400,000 | 416,480 | ||||||||||||||
Interline Brands, Inc. (Trading Companies & Distributors) | (b) | 7.000% | 11/15/2018 | 250,000 | 255,000 | |||||||||||||
31,668,997 | ||||||||||||||||||
INFORMATION TECHNOLOGY – 8.1% | ||||||||||||||||||
Seagate HDD Cayman (Computers & Peripherals) | (b) | 6.875% | 05/01/2020 | 375,000 | 360,000 | |||||||||||||
Seagate HDD Cayman (Computers & Peripherals) | (b) | 7.750% | 12/15/2018 | 400,000 | 407,000 | |||||||||||||
Seagate Technology HDD Holdings (Computers & Peripherals) | 6.800% | 10/01/2016 | 575,000 | 580,750 | ||||||||||||||
Cleaver-Brooks, Inc. (Electronic Equip., Instr. & Comp.) | (b) | 12.250% | 05/01/2016 | 775,000 | 826,344 | |||||||||||||
Kemet Corp. (Electronic Equip., Instr. & Comp.) | (b) | 10.500% | 05/01/2018 | 700,000 | 756,000 | |||||||||||||
Bankrate, Inc. (Internet Software & Svs.) | (b) | 11.750% | 07/15/2015 | 500,000 | 557,500 | |||||||||||||
Terremark Worldwide, Inc. (Internet Software & Svs.) | 12.000% | 06/15/2017 | 875,000 | 1,006,250 | ||||||||||||||
Ceridian Corp. (IT Svs.) | 11.250% | 11/15/2015 | 575,000 | 572,125 | ||||||||||||||
Compucom Systems, Inc. (IT Svs.) | (b) | 12.500% | 10/01/2015 | 1,125,000 | 1,215,000 | |||||||||||||
Fidelity National Information Services, Inc. (IT Svs.) | (b) | 7.625% | 07/15/2017 | 1,025,000 | 1,083,938 | |||||||||||||
Fidelity National Information Services, Inc. (IT Svs.) | (b) | 7.875% | 07/15/2020 | 125,000 | 132,813 | |||||||||||||
iPayment, Inc. (IT Svs.) | 9.750% | 05/15/2014 | 350,000 | 330,750 | ||||||||||||||
Lender Processing Services, Inc. (IT Svs.) | 8.125% | 07/01/2016 | 700,000 | 721,000 | ||||||||||||||
Mantech International Corp. (IT Svs.) | 7.250% | 04/15/2018 | 200,000 | 210,000 | ||||||||||||||
Stream Global Services, Inc. (IT Svs.) | 11.250% | 10/01/2014 | 775,000 | 784,688 | ||||||||||||||
SunGard Data Systems, Inc. (IT Svs.) | 10.250% | 08/15/2015 | 1,250,000 | 1,317,188 | ||||||||||||||
SunGard Data Systems, Inc. (IT Svs.) | 10.625% | 05/15/2015 | 975,000 | 1,079,813 | ||||||||||||||
SunGard Data Systems, Inc. (IT Svs.) | (b) | 7.375% | 11/15/2018 | 175,000 | 176,750 | |||||||||||||
SunGard Data Systems, Inc. (IT Svs.) | (b) | 7.625% | 11/15/2020 | 175,000 | 178,063 | |||||||||||||
Unisys Corp. (IT Svs.) | 12.500% | 01/15/2016 | 225,000 | 250,875 | ||||||||||||||
Advanced Micro Devices, Inc. (Semiconductors & Equip.) | (b) | 7.750% | 08/01/2020 | 175,000 | 182,438 | |||||||||||||
Advanced Micro Devices, Inc. (Semiconductors & Equip.) | 8.125% | 12/15/2017 | 725,000 | 772,125 | ||||||||||||||
Freescale Semiconductor, Inc. (Semiconductors & Equip.) | (b) | 9.250% | 04/15/2018 | 725,000 | 801,125 | |||||||||||||
Freescale Semiconductor, Inc. (Semiconductors & Equip.) | (b) | 10.750% | 08/01/2020 | 1,125,000 | 1,231,875 | |||||||||||||
MagnaChip Semiconductor SA / MagnaChip Semiconductor Finance Co. (Semiconductors & Equip.) | 10.500% | 04/15/2018 | 925,000 | 980,500 | ||||||||||||||
Spansion LLC (Semiconductors & Equip.) | (b) | 7.875% | 11/15/2017 | 700,000 | 696,500 | |||||||||||||
Activant Solutions, Inc. (Software) | 9.500% | 05/01/2016 | 725,000 | 732,250 | ||||||||||||||
Allen Systems Group, Inc. (Software) | (b) | 10.500% | 11/15/2016 | 725,000 | 734,063 | |||||||||||||
Aspect Software, Inc. (Software) | (b) | 10.625% | 05/15/2017 | 950,000 | 979,688 | |||||||||||||
Serena Software, Inc. (Software) | 10.375% | 03/15/2016 | 850,000 | 873,375 | ||||||||||||||
SS&C Technologies, Inc. (Software) | 11.750% | 12/01/2013 | 325,000 | 337,188 | ||||||||||||||
SSI Investments II / SSI Co-Issuer LLC (Software) | 11.125% | 06/01/2018 | 975,000 | 1,062,750 | ||||||||||||||
21,930,724 | ||||||||||||||||||
MATERIALS – 9.5% | ||||||||||||||||||
Ashland, Inc. (Chemicals) | 9.125% | 06/01/2017 | 600,000 | 694,500 | ||||||||||||||
Celanese U.S. Holdings LLC (Chemicals) | (b) | 6.625% | 10/15/2018 | 150,000 | 155,250 | |||||||||||||
CF Industries, Inc. (Chemicals) | 6.875% | 05/01/2018 | 75,000 | 80,438 | ||||||||||||||
Ferro Corp. (Chemicals) | 7.875% | 08/15/2018 | 500,000 | 530,000 | ||||||||||||||
Hexion U.S. Finance Corp. / Hexion Nova Scotia Finance ULC (Chemicals) | 8.875% | 02/01/2018 | 1,150,000 | 1,234,813 | ||||||||||||||
Hexion U.S. Finance Corp. / Hexion Nova Scotia Finance ULC (Chemicals) | (b) | 9.000% | 11/15/2020 | 250,000 | 265,000 | |||||||||||||
Huntsman International LLC (Chemicals) | 5.500% | 06/30/2016 | 725,000 | 705,063 | ||||||||||||||
Huntsman International LLC (Chemicals) | 8.625% | 03/15/2020 | 550,000 | 600,875 | ||||||||||||||
Huntsman International LLC (Chemicals) | (b) | 8.625% | 03/15/2021 | 525,000 | 569,625 | |||||||||||||
Koppers, Inc. (Chemicals) | 7.875% | 12/01/2019 | 575,000 | 619,563 | ||||||||||||||
Momentive Performance Materials, Inc. (Chemicals) | (b) | 9.000% | 01/15/2021 | 675,000 | 713,813 | |||||||||||||
Nalco Co. (Chemicals) | 8.250% | 05/15/2017 | 575,000 | 626,031 | ||||||||||||||
Nalco Co. (Chemicals) | (b) | 6.625% | 01/15/2019 | 250,000 | 256,875 | |||||||||||||
Nalco Finance Holdings, Inc. (Chemicals) | (f) | 9.000% | 02/01/2014 | 66,000 | 67,650 | |||||||||||||
Omnova Solutions, Inc. (Chemicals) | (b) | 7.875% | 11/01/2018 | 250,000 | 253,125 |
(continued)
67
Ohio National Fund, Inc. | High Income Bond Portfolio (Continued) |
Schedule of Investments | December 31, 2010 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||
MATERIALS (continued) | ||||||||||||||||||
OXEA Finance (Chemicals) | (b) | 9.500% | 07/15/2017 | $ | 700,000 | $ | 762,125 | |||||||||||
Scotts Miracle-Gro Co. / The (Chemicals) | (b) | 6.625% | 12/15/2020 | 550,000 | 552,750 | |||||||||||||
Solutia, Inc. (Chemicals) | 8.750% | 11/01/2017 | 1,025,000 | 1,127,500 | ||||||||||||||
Solutia, Inc. (Chemicals) | 7.875% | 03/15/2020 | 150,000 | 161,250 | ||||||||||||||
Union Carbide Corp. (Chemicals) | 7.875% | 04/01/2023 | 100,000 | 108,402 | ||||||||||||||
Union Carbide Corp. (Chemicals) | 7.500% | 06/01/2025 | 50,000 | 51,973 | ||||||||||||||
Vertellus Specialties, Inc. (Chemicals) | (b) | 9.375% | 10/01/2015 | 375,000 | 398,438 | |||||||||||||
Ardagh Packaging Finance Plc (Containers & Packaging) | (b) | 9.125% | 10/15/2020 | 1,000,000 | 1,045,000 | |||||||||||||
Berry Plastics Corp. (Containers & Packaging) | 9.500% | 05/15/2018 | 675,000 | 680,063 | ||||||||||||||
BWAY Holding Co. (Containers & Packaging) | (b) | 10.000% | 06/15/2018 | 900,000 | 975,375 | |||||||||||||
BWAY Parent Co., Inc. (Containers & Packaging) | (b)(d) | 10.125% | 11/01/2015 | 525,000 | 532,875 | |||||||||||||
Cascades, Inc. (Containers & Packaging) | 7.875% | 01/15/2020 | 400,000 | 420,000 | ||||||||||||||
Crown Americas LLC / Crown Americas Capital Corp. II (Containers & Packaging) | 7.625% | 05/15/2017 | 75,000 | 80,625 | ||||||||||||||
Crown Americas LLC / Crown Americas Capital Corp. (Containers & Packaging) | 7.750% | 11/15/2015 | 1,050,000 | 1,097,250 | ||||||||||||||
Graham Packaging Co. LP / GPC Capital Corp. I (Containers & Packaging) | 8.250% | 10/01/2018 | 425,000 | 448,375 | ||||||||||||||
Graham Packaging Co. LP / GPC Capital Corp. I (Containers & Packaging) | 8.250% | 01/01/2017 | 1,200,000 | 1,254,000 | ||||||||||||||
Graphic Packaging International, Inc. (Containers & Packaging) | 9.500% | 08/15/2013 | 460,000 | 471,500 | ||||||||||||||
Graphic Packaging International, Inc. (Containers & Packaging) | 9.500% | 06/15/2017 | 950,000 | 1,041,438 | ||||||||||||||
Greif, Inc. (Containers & Packaging) | 7.750% | 08/01/2019 | 475,000 | 522,500 | ||||||||||||||
Owens-Brockway Glass Container, Inc. (Containers & Packaging) | 7.375% | 05/15/2016 | 200,000 | 213,500 | ||||||||||||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC (Containers & Packaging) | (b) | 9.000% | 04/15/2019 | 550,000 | 572,688 | |||||||||||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC (Containers & Packaging) | (b) | 7.125% | 04/15/2019 | 175,000 | 178,938 | |||||||||||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC (Containers & Packaging) | (b) | 7.750% | 10/15/2016 | 1,100,000 | 1,168,750 | |||||||||||||
Reynolds Group Issuer, Inc. / Reynolds Group Issuer LLC (Containers & Packaging) | (b) | 8.500% | 05/15/2018 | 775,000 | 782,750 | |||||||||||||
Rock-Tenn Co. (Containers & Packaging) | 9.250% | 03/15/2016 | 450,000 | 492,750 | ||||||||||||||
Compass Minerals International, Inc. (Metals & Mining) | 8.000% | 06/01/2019 | 275,000 | 301,125 | ||||||||||||||
Aleris International, Inc. (Acquired 12/13/2006 through 05/30/2007, Cost $256,970) (Metals & Mining) | (a)(h)(i) | 10.000% | 12/15/2016 | 250,000 | 628 | |||||||||||||
Aleris International, Inc. (Acquired 12/13/2006, Cost $175,000) (Metals & Mining) | (a)(h)(i) | 9.000% | 12/15/2014 | 175,000 | 788 | |||||||||||||
Boise Paper Holdings LLC Co. (Paper & Forest Products) | 9.000% | 11/01/2017 | 875,000 | 960,313 | ||||||||||||||
Clearwater Paper Corp. (Paper & Forest Products) | 10.625% | 06/15/2016 | 125,000 | 143,438 | ||||||||||||||
Clearwater Paper Corp. (Paper & Forest Products) | (b) | 7.125% | 11/01/2018 | 125,000 | 129,688 | |||||||||||||
Georgia-Pacific LLC (Paper & Forest Products) | (b) | 8.250% | 05/01/2016 | 900,000 | 1,020,375 | |||||||||||||
NewPage Corp. (Paper & Forest Products) | 11.375% | 12/31/2014 | 225,000 | 212,625 | ||||||||||||||
PE Paper Escrow GmbH (Paper & Forest Products) | (b) | 12.000% | 08/01/2014 | 375,000 | 434,498 | |||||||||||||
25,716,914 | ||||||||||||||||||
TELECOMMUNICATION SERVICES – 5.0% | ||||||||||||||||||
Clear Channel Worldwide Holdings, Inc. (Diversified Telecom. Svs.) | 9.250% | 12/15/2017 | 925,000 | 1,017,500 | ||||||||||||||
Clear Channel Worldwide Holdings, Inc. (Diversified Telecom. Svs.) | 9.250% | 12/15/2017 | 325,000 | 355,063 | ||||||||||||||
GXS Worldwide, Inc. (Diversified Telecom. Svs.) | 9.750% | 06/15/2015 | 1,050,000 | 1,042,125 | ||||||||||||||
tw telecom holdings, Inc. (Diversified Telecom. Svs.) | 8.000% | 03/01/2018 | 375,000 | 400,313 | ||||||||||||||
Windstream Corp. (Diversified Telecom. Svs.) | 8.125% | 09/01/2018 | 950,000 | 1,002,250 | ||||||||||||||
Buccaneer Merger Sub, Inc. (Wireless Telecom. Svs.) | (b) | 9.125% | 01/15/2019 | 100,000 | 103,750 | |||||||||||||
Digicel Group Ltd. (Acquired 01/09/2009 through 07/15/2009, Cost $339,432) (Wireless Telecom. Svs.) | (b)(g)(i) | 8.875% | 01/15/2015 | 425,000 | 431,375 | |||||||||||||
Digicel Group Ltd. (Acquired 02/22/2007 through 07/01/2010, Cost $966,555) (Wireless Telecom. Svs.) | (b)(g)(i) | 9.125% | 01/15/2015 | 987,000 | 1,004,273 | |||||||||||||
Digicel Ltd. (Acquired 03/06/2009 through 01/05/2010, Cost $654,007) (Wireless Telecom. Svs.) | (b)(g)(i) | 12.000% | 04/01/2014 | 650,000 | 758,875 | |||||||||||||
Digicel Ltd. (Acquired 11/23/2009 through 06/25/2010, Cost $413,931) (Wireless Telecom. Svs.) | (b)(g)(i) | 8.250% | 09/01/2017 | 425,000 | 437,750 | |||||||||||||
MetroPCS Wireless, Inc. (Wireless Telecom. Svs.) | 7.875% | 09/01/2018 | 800,000 | 834,000 | ||||||||||||||
MetroPCS Wireless, Inc. (Wireless Telecom. Svs.) | 6.625% | 11/15/2020 | 450,000 | 429,750 | ||||||||||||||
Nextel Communications, Inc. (Wireless Telecom. Svs.) | 7.375% | 08/01/2015 | 1,200,000 | 1,207,500 | ||||||||||||||
Sprint Capital Corp. (Wireless Telecom. Svs.) | 6.900% | 05/01/2019 | 3,450,000 | 3,424,125 | ||||||||||||||
Sprint Nextel Corp. (Wireless Telecom. Svs.) | 6.000% | 12/01/2016 | 725,000 | 704,156 | ||||||||||||||
Sprint Nextel Corp. (Wireless Telecom. Svs.) | 8.375% | 08/15/2017 | 325,000 | 350,188 | ||||||||||||||
13,502,993 | ||||||||||||||||||
UTILITIES – 2.5% | ||||||||||||||||||
Edison Mission Energy (Electric Utilities) | 7.750% | 06/15/2016 | 250,000 | 216,250 | ||||||||||||||
Edison Mission Energy (Electric Utilities) | 7.000% | 05/15/2017 | 500,000 | 398,750 | ||||||||||||||
Energy Future Intermediate Holding Co. LLC, Inc. (Electric Utilities) | 10.000% | 12/01/2020 | 500,000 | 518,137 | ||||||||||||||
NV Energy, Inc. (Electric Utilities) | 6.750% | 08/15/2017 | 425,000 | 440,700 | ||||||||||||||
Texas Competitive Electric Holdings Co. LLC (Electric Utilities) | 10.250% | 11/01/2015 | 850,000 | 484,500 | ||||||||||||||
AmeriGas Partners LP (Gas Utilities) | 7.250% | 05/20/2015 | 425,000 | 438,813 | ||||||||||||||
AmeriGas Partners LP / AmeriGas Eagle Finance Corp. (Gas Utilities) | 7.125% | 05/20/2016 | 400,000 | 416,000 | ||||||||||||||
Ferrellgas LP / Ferrellgas Finance Corp. (Gas Utilities) | (b) | 6.500% | 05/01/2021 | 250,000 | 245,000 | |||||||||||||
Suburban Propane Partners LP / Suburban Energy Finance Corp. (Gas Utilities) | 7.375% | 03/15/2020 | 200,000 | 214,500 | ||||||||||||||
Calpine Corp. (Ind. Power Prod. & Energy Traders) | (b) | 7.500% | 02/15/2021 | 800,000 | 792,000 |
(continued)
68
Ohio National Fund, Inc. | High Income Bond Portfolio (Continued) |
Schedule of Investments | December 31, 2010 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||
UTILITIES (continued) | ||||||||||||||||||
Dynegy Holdings, Inc. (Ind. Power Prod. & Energy Traders) | 7.750% | 06/01/2019 | $ | 525,000 | $ | 353,063 | ||||||||||||
NRG Energy, Inc. (Ind. Power Prod. & Energy Traders) | 7.250% | 02/01/2014 | 175,000 | 178,938 | ||||||||||||||
NRG Energy, Inc. (Ind. Power Prod. & Energy Traders) | 7.375% | 02/01/2016 | 775,000 | 796,313 | ||||||||||||||
NRG Energy, Inc. (Ind. Power Prod. & Energy Traders) | 7.375% | 01/15/2017 | 200,000 | 206,500 | ||||||||||||||
NRG Energy, Inc. (Ind. Power Prod. & Energy Traders) | (b) | 8.250% | 09/01/2020 | 750,000 | 772,500 | |||||||||||||
FPL Energy National Wind Portfolio LLC (Multi-Utilities) | (b) | 6.125% | 03/25/2019 | 217,144 | 206,439 | |||||||||||||
6,678,403 | ||||||||||||||||||
Total Corporate Bonds (Cost $247,588,056) | $ | 263,147,406 | ||||||||||||||||
Convertible Bonds – 0.1% | Rate | Maturity | Face Amount | Value | ||||||||||||||
INDUSTRIALS – 0.1% | ||||||||||||||||||
School Specialty, Inc. (Professional Svs.) | 3.750% | 11/30/2026 | $ | 225,000 | $ | 220,500 | ||||||||||||
Total Convertible Bonds (Cost $206,865) | $ | 220,500 | ||||||||||||||||
Preferred Stocks – 0.1% | Shares | Value | ||||||||||||||||
FINANCIALS – 0.1% | ||||||||||||||||||
Ally Financial, Inc. (Consumer Finance) | (b) | 346 | $ | 327,024 | ||||||||||||||
Total Preferred Stocks (Cost $0) | $ | 327,024 | ||||||||||||||||
Other – 0.0% | Shares | Value | ||||||||||||||||
SuperMedia, Inc. Litigation Trust Interests (Acquired 01/04/2010, Cost $0) | (a)(c)(i) | 625,000 | $ | 4,688 | ||||||||||||||
Total Other (Cost $0) | $ | 4,688 | ||||||||||||||||
Total Investments (Cost $247,794,921) – 97.7% | (j) | $ | 263,699,618 | |||||||||||||||
Other Assets in Excess of Liabilities – 2.3% | 6,087,545 | |||||||||||||||||
Net Assets – 100.0% | $ | 269,787,163 | ||||||||||||||||
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 December 31, 2010, the value of these securities totaled $89,032,918 or 33.0% of the Portfolio’s net assets. Unless also noted with (i), as defined below, 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 December 31, 2010. As discussed in Note 2 of the Notes to Financial of 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) | Issuer of the security has the option to make coupon payments in cash or in additional par value of this bond. Coupon stated is the rate stated for the cash option. | |
(e) | 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 December 31, 2010. | |
(f) | Security was initially issued at one coupon rate, but the coupon rate is scheduled to be updated at later specified dates. The coupon rate shown is the rate that is in effect at December 31, 2010. | |
(g) | Denotes a restricted security that is subject to a contractual restriction on public sales. At December 31, 2010, the value of these securities totaled $2,632,273 or 1.0% of the Portfolio’s net assets. | |
(h) | Represents a security that is in default. Unless also noted by (i), as defined below, these securities were deemed liquid pursuant to procedures approved by the Board of Directors. | |
(i) | Represents a security deemed to be illiquid. At December 31, 2010, the value of illiquid securities in the Portfolio totaled $2,638,377 or 1.0% of the Portfolio’s net assets. | |
(j) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
69
Ohio National Fund, Inc. | 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 December 31, 2010
Average Annual Total Returns: | ||||
One year | 36.42% | |||
Five years | 9.43% | |||
Ten years | 2.96% |
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 year ended December 31, 2010, the Capital Growth Portfolio returned 36.42% versus 29.09% for the current benchmark, the Russell 2000 Growth Index.
To end the year, small cap equities continued the sharp rally that began in late August; broadly reflecting a surge in takeover activity, a rebound from overly pessimistic sentiment earlier in the year, and a capitulation by the Obama administration on effective tax increases. Notably, the rally seemingly began after the Federal Reserve’s announcement of a second round of quantitative easing (QEII). We think the positive benefit to the stock market was an intended consequence of the Federal Reserve’s decision. With interest rates already so low, the Federal Reserve must believe pushing people out on the risk curve and bringing money back into the equity markets is the only way to improve consumer net worth and confidence.
The Russell 2000 Growth Index appreciated 29.09% in 2010, with growth outperforming value (the Russell 2000 Value Index finished up 24.5 percent). All sectors in the benchmark posted strong returns, with the majority of returns coming from the back half of the year. Energy (44.0 percent), Information Technology (37.0 percent), Materials (33.2 percent) and Consumer Discretionary (32.5 percent) were up most significantly while even the relative laggards — Financials (10.7 percent), Industrials (13.8 percent) and Health Care (22.5 percent) — were also up double-digits. Utilities, a tiny sector that makes up less than one-fifth of one percent of the index, was up only 2.9 percent.
The Portfolio significantly outperformed the benchmark. The Portfolio had very strong absolute and relative returns, finishing ahead of the index in Energy, Consumer Discretionary, Information Technology and Materials. The top five stocks for the year were Rovi Corp., Riverbed Technology, Inc., TIBCO Software, Inc., Lufkin Industries, Inc. and Netezza Corp. Shares of Rovi Corp., a provider of television guides for set-top boxes, appreciated due to a new patent license agreement with Apple, Inc. Rovi Corp. will receive license fees for Apple, Inc.’s use of Rovi Corp.’s patents in its AppleTV platform. We believe this bodes well for Rovi Corp.’s ability to earn license fees from other companies with streaming on-line video technologies. Riverbed Technology, Inc. sells hardware and software appliances that help reduce network-bandwidth costs and accelerate the delivery of application data across corporate networks. The company is seeing very high growth rates with an exceptionally strong competitive position. TIBCO Software, Inc., a provider of enterprise middleware software, has had strong results and has also been discussed as a potential acquisition candidate. Lufkin Industries, Inc. manufactures pump jacks with a focus on products with enhanced oil recovery. The stock has benefited from strong oil prices and an increase in the number of active drilling rigs. IBM acquired Netezza Corp., a vendor of data-warehouse appliances that help facilitate business-intelligence analytics software, for $27 per share.(1)
We had positive absolute returns across all sectors, though Financials and Industrials were our most significant underperforming sectors on a relative basis. Our worst-performing stocks were FormFactor, Inc., Compellent Technologies, Inc., Genoptix, Inc., Amedisys, Inc., and ON Semiconductor Corp. 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. We sold the stock. Compellent Technologies, Inc. disappointed investors with a deceleration in revenue growth and increased operating expenses. We sold the stock fearing those trends could continue. Genoptix, Inc. is an independent clinical laboratory. It has grown very rapidly, consistently beating estimates, but it hired a significant number of new sales representatives in anticipation of ongoing growth. The stock has recently recovered some of the ground lost this year with solid returns in the fourth quarter. Amedisys, Inc. is the country’s largest provider of home-care services. The Senate Finance Committee and Securities and Exchange Commission (SEC) are investigating companies in the industry over Medicare-reimbursement coding practices. Given the near-term uncertainty, we sold the stock. ON Semiconductor Corp. makes power- and data-management semiconductor components. We sold the stock due to continued gross margins pressure.(1)
Our overweight position in Energy reflects our positive view on the sector, as well as our recent strong stock selection that boosted weightings. Within the sector, we maintain our positive bias toward oil over natural gas, which remains oversupplied as the industry has fallen victim of its success in exploiting unconventional reservoirs to boost production. As a result, exploration-and-production (E&P) operators have shifted their focus to “liquids-rich” opportunities that offer superior returns given the current oil-to-gas price ratio of approximately 20 to 1 compared to an historic average of 6 to 1. In 2011, we believe these operators will apply the same technologies used in natural-gas drilling to significantly enhance the performance of oil wells and prove the commercial viability of untapped source rock in emerging areas such as the Williston Basin in North Dakota/Montana and the Permian Basin in Texas. A current holding that should benefit from this trend is Oasis Petroleum, Inc.(1)
Within the Industrials and Materials sectors, we continue to favor companies with exposure to aerospace and agriculture markets. Notwithstanding the delays in Boeing’s maligned 787 program, the aerospace industry shows continued improvement as global traffic continues to grow, aircraft production rates increase and previously retired aircraft are brought back into service. Against this backdrop, we believe Triumph Group, Inc. is well positioned and titanium producers such as RTI International Metals and Titanium Metals Corp. should begin to see an increase in order rates and mill utilization. Grain prices moved higher in the fourth quarter as dry weather in South America lowered expectations for the soybean
(continued)
70
Ohio National Fund, Inc. | Capital Growth Portfolio (Continued) |
crop, which should further tighten global supplies. Fertilizer producer Intrepid Potash, Inc. should continue to benefit from improving farm economics.(1)
Within the Information Technology sector, we are cautiously optimistic that the macroeconomic recovery will continue. However, we do expect stock-price volatility to increase due to global economic concerns and more difficult year-over-year comparisons. We continue to focus on secular growth themes including: “cloud computing” (on-demand applications and infrastructure delivered over the Internet) with current holdings SuccessFactors, Inc. and Progress Software Corp.; increased workforce mobility (via smartphones and tablets) with EMS Technologies, Inc.; security software with holdings Fortinet, Inc. and NICE Systems Ltd.; and more sophisticated network-hardware-appliance and software-management tools to cope with increasing amounts of data and video traffic with holdings DTS, Inc., NetLogic Microsystems, Inc., Riverbed Technology, Inc., and Rovi Corp. We also expect to see continued acquisition activity as large-cap companies use their cash to bolster modest growth rates and consolidate strategic assets by acquiring small-cap and mid-cap growth companies. We believe we have identified prime takeout candidates and are well-positioned for the months ahead. In addition, we are finding attractive risk/reward investment profiles of medium-growth companies that we believe are likely to see accelerating fundamentals and are still reasonably valued, while hyper-growth companies appear relatively expensive, in our view. In the event of a market correction, we may increase our exposure to these hyper-growth companies at more reasonable valuations.(1)
Health care expenditures for 2010 likely will have grown about half as fast as they have previously. Health care expenditures have risen at a rate of 6 percent-7 percent per year over the past 50 years. For 2010, those expenditures may be up only 3 percent-4 percent. This reduction in growth has been traced to unemployment and a sluggish economy and their impact on insurance coverage and higher co-pays, which reduce healthcare utilization. The lower growth rate of health care expenditures has dampened the revenue growth of many health care industry groups, including pharmaceuticals, medical devices, medical and surgical supplies, hospitals, clinical laboratories, and hospital equipment providers.
Given this backdrop, we have a modest relative underweight in Health Care. However, we still believe there are several areas within Health Care that should show better-than-expected growth as we move into the first quarter of 2011. Health care information technology (IT), for example, is poised for growth, in our view. The American Recovery and Reinvestment Act (ARRA), among other factors, will provide billions of dollars in grants to be distributed to those who adopt electronic health records. The government has announced it will send the first stimulus checks in May 2011. That means health care IT vendors, such as Portfolio holdings Quality Systems, Inc. and Allscripts Healthcare Solutions, Inc., should soon show accelerating revenue growth. Congestive heart failure is one of the most expensive chronic conditions burdening America. It costs Americans an estimated $40 billion to treat this condition, primarily with drugs. But these therapies are only a “patch” as drugs lose their effectiveness. There are only two definitive therapies for congestive heart failure: heart transplants and left-ventricular-assist devices (LVADs). The lack of availability of donor hearts limits transplants to only around 2,500 each year; enough for a mere 1 percent of patients with late-stage heart failure. Portfolio holding Thoratec Corp. has the only FDA-approved LVAD for destination therapy.(1)
In Financial Services, we are currently biased toward names that have strong balance sheets (e.g., optionsXpress Holdings Inc.), a history of operational competence (e.g., Redwood Trust, Inc.), and/or a positive demand outlook (e.g., Dupont Fabros Technology, Inc.). The unemployment rate is not expected to fall below 9 percent in the near future and many of the unemployed have been jobless for more than six months. We believe this will continue to feed demand for services of the pawn-shop operator Cash America International, Inc. Changing capital requirements due to the Basel III standards, a new Consumer Financial Protection Bureau, and other regulatory developments could put pressure on firms without adequate capital, which is one of the reasons we like banks like UMB Financial Corp. that have been able to navigate the difficult past few years without needing emergency financing.(1)
Mature consumer stocks typically generate high levels of free-cash flow, making them attractive targets for leveraged buyouts. High-end hotels are beginning to see increased occupancy and pricing, which we believe should benefit Orient-Express Hotels Ltd. Casual restaurants, such as holdings BJ’s Restaurants, Inc. and Buffalo Wild Wings, Inc., are seeing higher traffic due to a shrinking industry and modest improvements in consumer confidence. Long-term holding Genesco, Inc. continues to grow its franchise in sporting goods (e.g., Lids). Also, continued expansion of gaming makes a case for strong performance from Bally Technologies, Inc. and Pinnacle Entertainment, Inc.(1)
Corporate America remains flush with cash, the bar for economic growth has been reset at lower levels, and investor sentiment remains generally pessimistic. With that said, a short-term correction — particularly in small caps — would not surprise us given the strength of the rally. However, we have no reason to believe most major indices won’t show solid gains for the full year.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2010. |
Change in Value of $10,000 Investment
Capital Growth | Russell 2000 | |||||||
Portfolio | Growth Index | |||||||
12/31/2000 | 10000 | 10000 | ||||||
06/30/2001 | 9379 | 10004 | ||||||
12/31/2001 | 8539 | 9077 | ||||||
06/30/2002 | 6097 | 7503 | ||||||
12/31/2002 | 4948 | 6330 | ||||||
06/30/2003 | 5904 | 7554 | ||||||
12/31/2003 | 6932 | 9403 | ||||||
06/30/2004 | 7492 | 9937 | ||||||
12/31/2004 | 8298 | 10748 | ||||||
06/30/2005 | 8168 | 10363 | ||||||
12/31/2005 | 8515 | 11195 | ||||||
06/30/2006 | 9225 | 11874 | ||||||
12/31/2006 | 10229 | 12689 | ||||||
06/30/2007 | 11875 | 13873 | ||||||
12/31/2007 | 11378 | 13583 | ||||||
06/30/2008 | 10716 | 12370 | ||||||
12/31/2008 | 7241 | 8348 | ||||||
06/30/2009 | 7849 | 9296 | ||||||
12/31/2009 | 9794 | 11226 | ||||||
06/30/2010 | 9814 | 10966 | ||||||
12/31/2010 | 13362 | 14491 |
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)
71
Ohio National Fund, Inc. | Capital Growth Portfolio (Continued) |
Portfolio Composition as of December 31, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 99.2 | ||
Money Market Funds Less Net Liabilities | 0.8 | ||
100.0 | |||
Top 10 Portfolio Holdings as of December 31, 2010 (1) (2)
% of Net Assets | |||||||
1. | Lufkin Industries, Inc. | 3.1 | |||||
2. | Genesco, Inc. | 2.9 | |||||
3. | Rovi Corp. | 2.6 | |||||
4. | Riverbed Technology, Inc. | 2.2 | |||||
5. | Vitamin Shoppe, Inc. | 2.2 | |||||
6. | WABCO Holdings., Inc. | 2.2 | |||||
7. | GrafTech International Ltd. | 2.1 | |||||
8. | Huntsman Corp. | 2.0 | |||||
9. | TIBCO Software, Inc. | 2.0 | |||||
10. | DTS, Inc. | 2.0 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Information Technology | 26.5 | ||
Consumer Discretionary | 20.3 | ||
Health Care | 16.4 | ||
Industrials | 16.1 | ||
Energy | 7.5 | ||
Materials | 5.6 | ||
Financials | 5.0 | ||
Consumer Staples | 1.8 | ||
99.2 | |||
72
Ohio National Fund, Inc. | Capital Growth Portfolio |
Schedule of Investments | December 31, 2010 |
Common Stocks – 99.2% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 20.3% | ||||||||||
American Axle & Manufacturing Holdings, Inc. (Auto Components) | (a) | 66,528 | $ | 855,550 | ||||||
Gentex Corp. (Auto Components) | 19,060 | 563,414 | ||||||||
Sotheby’s (Diversified Consumer Svs.) | 16,600 | 747,000 | ||||||||
Bally Technologies, Inc. (Hotels, Restaurants & Leisure) | (a) | 20,431 | 861,984 | |||||||
BJ’s Restaurants, Inc. (Hotels, Restaurants & Leisure) | (a) | 26,000 | 921,180 | |||||||
Buffalo Wild Wings, Inc. (Hotels, Restaurants & Leisure) | (a) | 8,095 | 354,966 | |||||||
Orient-Express Hotels Ltd. Class A (Hotels, Restaurants & Leisure) | (a) | 28,175 | 365,993 | |||||||
Pinnacle Entertainment, Inc. (Hotels, Restaurants & Leisure) | (a) | 42,039 | 589,387 | |||||||
Shuffle Master, Inc. (Hotels, Restaurants & Leisure) | (a) | 77,946 | 892,482 | |||||||
Universal Electronics, Inc. (Household Durables) | (a) | 25,136 | 713,108 | |||||||
Chico’s FAS, Inc. (Specialty Retail) | 53,630 | 645,169 | ||||||||
Genesco, Inc. (Specialty Retail) | (a) | 40,271 | 1,509,760 | |||||||
Vitamin Shoppe, Inc. (Specialty Retail) | (a) | 33,718 | 1,134,273 | |||||||
Steven Madden Ltd. (Textiles, Apparel & Luxury Goods) | (a) | 12,019 | 501,433 | |||||||
10,655,699 | ||||||||||
CONSUMER STAPLES – 1.8% | ||||||||||
Fresh Market, Inc. / The (Food & Staples Retailing) | (a) | 11,685 | 481,422 | |||||||
Herbalife Ltd. (Personal Products) | 6,890 | 471,069 | ||||||||
952,491 | ||||||||||
ENERGY – 7.5% | ||||||||||
Lufkin Industries, Inc. (Energy Equip. & Svs.) | 25,680 | 1,602,175 | ||||||||
OYO Geospace Corp. (Energy Equip. & Svs.) | (a) | 10,445 | 1,035,204 | |||||||
Cloud Peak Energy, Inc. (Oil, Gas & Consumable Fuels) | (a) | 24,436 | 567,648 | |||||||
Oasis Petroleum, Inc. (Oil, Gas & Consumable Fuels) | (a) | 26,580 | 720,850 | |||||||
3,925,877 | ||||||||||
FINANCIALS – 5.0% | ||||||||||
Duff & Phelps Corp. Class A (Capital Markets) | 21,180 | 357,095 | ||||||||
optionsXpress Holdings, Inc. (Capital Markets) | 16,810 | 263,413 | ||||||||
UMB Financial Corp. (Commercial Banks) | 5,200 | 215,384 | ||||||||
Cash America International, Inc. (Consumer Finance) | 23,628 | 872,582 | ||||||||
DuPont Fabros Technology, Inc. (Real Estate Investment Trusts) | 10,845 | 230,673 | ||||||||
Redwood Trust, Inc. (Real Estate Investment Trusts) | 26,406 | 394,241 | ||||||||
MGIC Investment Corp. (Thrifts & Mortgage Finance) | (a) | 27,877 | 284,067 | |||||||
2,617,455 | ||||||||||
HEALTH CARE – 16.4% | ||||||||||
BioMarin Pharmaceutical, Inc. (Biotechnology) | (a) | 21,260 | 572,532 | |||||||
Regeneron Pharmaceuticals, Inc. (Biotechnology) | (a) | 11,565 | 379,679 | |||||||
Seattle Genetics, Inc. (Biotechnology) | (a) | 20,510 | 306,624 | |||||||
American Medical Systems Holdings, Inc. (Health Care Equip. & Supplies) | (a) | 35,785 | 674,905 | |||||||
Arthrocare Corp. (Health Care Equip. & Supplies) | (a) | 12,675 | 393,685 | |||||||
Sirona Dental Systems, Inc. (Health Care Equip. & Supplies) | (a) | 16,515 | 689,997 | |||||||
Thoratec Corp. (Health Care Equip. & Supplies) | (a) | 24,814 | 702,732 | |||||||
Catalyst Health Solutions, Inc. (Health Care Providers & Svs.) | (a) | 8,834 | 410,693 | |||||||
Centene Corp. (Health Care Providers & Svs.) | (a) | 19,421 | 492,128 | |||||||
Genoptix, Inc. (Health Care Providers & Svs.) | (a) | 17,145 | 326,098 | |||||||
Allscripts Healthcare Solutions, Inc. (Health Care Technology) | (a) | 34,089 | 656,895 | |||||||
MedAssets, Inc. (Health Care Technology) | (a) | 26,426 | 533,541 | |||||||
Quality Systems, Inc. (Health Care Technology) | 10,162 | 709,511 | ||||||||
Vital Images, Inc. (Health Care Technology) | (a) | 17,925 | 250,591 | |||||||
Bruker Corp. (Life Sciences Tools & Svs.) | (a) | 37,304 | 619,246 | |||||||
ICON PLC – ADR (Life Sciences Tools & Svs.) | (a) | 20,883 | 457,338 | |||||||
Salix Pharmaceuticals Ltd. (Pharmaceuticals) | (a) | 9,245 | 434,145 | |||||||
8,610,340 | ||||||||||
INDUSTRIALS – 16.1% | ||||||||||
Triumph Group, Inc. (Aerospace & Defense) | 5,697 | 509,369 | ||||||||
Atlas Air Worldwide Holdings, Inc. (Air Freight & Logistics) | (a) | 9,315 | 520,056 | |||||||
JetBlue Airways Corp. (Airlines) | (a) | 75,605 | 499,749 | |||||||
Geo Group, Inc. / The (Commercial Svs. & Supplies) | (a) | 37,375 | 921,667 | |||||||
Waste Connections, Inc. (Commercial Svs. & Supplies) | 29,622 | 815,494 | ||||||||
Northwest Pipe Co. (Construction & Engineering) | (a) | 15,825 | 380,275 | |||||||
GrafTech International Ltd. (Electrical Equip.) | (a) | 54,805 | 1,087,331 | |||||||
Regal-Beloit Corp. (Electrical Equip.) | 11,067 | 738,833 | ||||||||
ArvinMeritor, Inc. (Machinery) | (a) | 38,150 | 782,838 | |||||||
WABCO Holdings, Inc. (Machinery) | (a) | 18,506 | 1,127,571 | |||||||
FTI Consulting, Inc. (Professional Svs.) | (a) | 14,107 | 525,909 | |||||||
Landstar System, Inc. (Road & Rail) | 12,690 | 519,529 | ||||||||
8,428,621 | ||||||||||
INFORMATION TECHNOLOGY – 26.5% | ||||||||||
EMS Technologies, Inc. (Communications Equip.) | (a) | 27,785 | 549,587 | |||||||
Riverbed Technology, Inc. (Communications Equip.) | (a) | 32,545 | 1,144,608 | |||||||
Coherent, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 17,095 | 771,668 | |||||||
DTS, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 21,130 | 1,036,426 | |||||||
Monster Worldwide, Inc. (Internet Software & Svs.) | (a) | 15,630 | 369,337 | |||||||
Netlogic Microsystems, Inc. (Semiconductors & Equip.) | (a) | 18,135 | 569,620 | |||||||
Teradyne, Inc. (Semiconductors & Equip.) | (a) | 37,075 | 520,533 | |||||||
Varian Semiconductor Equipment Associates, Inc. (Semiconductors & Equip.) | (a) | 16,575 | 612,778 | |||||||
Veeco Instruments, Inc. (Semiconductors & Equip.) | (a) | 12,130 | 521,105 | |||||||
ANSYS, Inc. (Software) | (a) | 16,730 | 871,131 | |||||||
Compuware Corp. (Software) | (a) | 62,113 | 724,859 | |||||||
Fortinet, Inc. (Software) | (a) | 15,731 | 508,898 | |||||||
Informatica Corp. (Software) | (a) | 23,095 | 1,016,873 | |||||||
NICE Systems Ltd. – ADR (Software) | (a) | 15,257 | 532,469 | |||||||
Progress Software Corp. (Software) | (a) | 14,418 | 610,170 | |||||||
Radiant Systems, Inc. (Software) | (a) | 29,195 | 571,346 | |||||||
Rovi Corp. (Software) | (a) | 22,330 | 1,384,683 | |||||||
SuccessFactors, Inc. (Software) | (a) | 18,897 | 547,257 | |||||||
TIBCO Software, Inc. (Software) | (a) | 52,721 | 1,039,131 | |||||||
13,902,479 | ||||||||||
MATERIALS – 5.6% | ||||||||||
Huntsman Corp. (Chemicals) | 66,786 | 1,042,529 | ||||||||
Intrepid Potash, Inc. (Chemicals) | (a) | 15,807 | 589,443 | |||||||
Texas Industries, Inc. (Construction Materials) | 12,570 | 575,455 | ||||||||
RTI International Metals, Inc. (Metals & Mining) | (a) | 13,771 | 371,542 | |||||||
Titanium Metals Corp. (Metals & Mining) | (a) | 21,466 | 368,786 | |||||||
2,947,755 | ||||||||||
Total Common Stocks (Cost $36,272,892) | $ | 52,040,717 | ||||||||
(continued)
73
Ohio National Fund, Inc. | Capital Growth Portfolio (Continued) |
Schedule of Investments | December 31, 2010 |
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) | $ | — | ||||||||
Money Market Funds – 1.7% | Shares | Value | ||||||||
Fidelity Institutional Money Market Funds Money Market Portfolio – Class I | 860,000 | $ | 860,000 | |||||||
Total Money Market Funds (Cost $860,000) | $ | 860,000 | ||||||||
Total Investments – 100.9% (Cost $37,132,892) | (c) | $ | 52,900,717 | |||||||
Liabilities in Excess of Other Assets – (0.9)% | (489,311 | ) | ||||||||
Net Assets – 100.0% | $ | 52,411,406 | ||||||||
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depositary Receipts
Footnotes:
(a) | Non-income producing security. | |
(b) | Market quotations for these investments were not readily available at December 31, 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 December 31, 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.
(continued)
74
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 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 December 31, 2010
Average Annual Total Returns: | ||||
One year | 19.38% | |||
Five years | 6.12% | |||
Ten years | -0.65% |
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 year ended December 31, 2010, the Nasdaq-100® Index Portfolio returned 19.38% versus 20.14% 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.
The largest contributors to the index return for 2010 were Apple, Inc., Baidu, Inc. — ADR, Oracle Corp., Amazon.com, Inc., and Starbucks Corp. The largest detractors for the index in 2010 were Microsoft Corp., Cisco Systems, Inc., Gilead Sciences, Inc., Research In Motion Ltd., and Google, Inc. Class A.(1)
2010 turned out to be a pretty good year for stocks. U.S. equity indexes had double digit returns, rallying the last several months of the year. This was due to the economy stabilizing, and the Federal Reserve’s continued stance on stimulative policies such as quantitative easing.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 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 | ||||||||
12/31/2000 | 10000 | 10000 | ||||||
06/30/2001 | 7768 | 7817 | ||||||
12/31/2001 | 6733 | 6738 | ||||||
06/30/2002 | 4467 | 4494 | ||||||
12/31/2002 | 4221 | 4209 | ||||||
06/30/2003 | 5124 | 5145 | ||||||
12/31/2003 | 6241 | 6292 | ||||||
06/30/2004 | 6438 | 6508 | ||||||
12/31/2004 | 6865 | 6968 | ||||||
06/30/2005 | 6323 | 6434 | ||||||
12/31/2005 | 6963 | 7101 | ||||||
06/30/2006 | 6668 | 6814 | ||||||
12/31/2006 | 7423 | 7618 | ||||||
06/30/2007 | 8162 | 8404 | ||||||
12/31/2007 | 8803 | 9083 | ||||||
06/30/2008 | 7752 | 8022 | ||||||
12/31/2008 | 5108 | 5308 | ||||||
06/30/2009 | 6241 | 6496 | ||||||
12/31/2009 | 7850 | 8206 | ||||||
06/30/2010 | 7358 | 7699 | ||||||
12/31/2010 | 9372 | 9858 |
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)
75
Ohio National Fund, Inc. | Nasdaq-100® Index Portfolio (Continued) |
Portfolio Composition as of December 31, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 99.3 | ||
Exchange Traded Funds Less Net Liabilities | 0.7 | ||
100.0 | |||
Top 10 Portfolio Holdings as of December 31, 2010 (1) (2)
% of Net Assets | |||||||
1. | Apple, Inc. | 19.9 | |||||
2. | QUALCOMM, Inc. | 4.7 | |||||
3. | Google, Inc. Class A | 4.3 | |||||
4. | Microsoft Corp. | 4.0 | |||||
5. | Oracle Corp. | 3.2 | |||||
6. | Amazon.com, Inc. | 2.6 | |||||
7. | Intel Corp. | 2.0 | |||||
8. | Cisco Systems, Inc. | 1.9 | |||||
9. | Teva Pharmaceutical Industries Ltd. – ADR | 1.8 | |||||
10. | Starbucks Corp. | 1.6 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Information Technology | 64.0 | ||
Consumer Discretionary | 15.7 | ||
Health Care | 12.7 | ||
Industrials | 3.5 | ||
Telecommunication Services | 1.8 | ||
Consumer Staples | 1.2 | ||
Materials | 0.4 | ||
99.3 | |||
76
Ohio National Fund, Inc. | Nasdaq-100® Index Portfolio |
Schedule of Investments | December 31, 2010 |
Common Stocks – 99.3% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 15.7% | ||||||||||
Apollo Group, Inc. Class A (Diversified Consumer Svs.) | (a) | 3,975 | $ | 156,973 | ||||||
Ctrip.com International Ltd. – ADR (Hotels, Restaurants & Leisure) | (a) | 4,050 | 163,822 | |||||||
Starbucks Corp. (Hotels, Restaurants & Leisure) | 27,350 | 878,755 | ||||||||
Wynn Resorts Ltd. (Hotels, Restaurants & Leisure) | 3,575 | 371,228 | ||||||||
Garmin Ltd. (Household Durables) | 4,750 | 147,202 | ||||||||
Amazon.com, Inc. (Internet & Catalog Retail) | (a) | 7,900 | 1,422,000 | |||||||
Expedia, Inc. (Internet & Catalog Retail) | 7,200 | 180,648 | ||||||||
Liberty Media Corp. – Interactive (Internet & Catalog Retail) | (a) | 14,575 | 229,848 | |||||||
NetFlix, Inc. (Internet & Catalog Retail) | (a) | 1,325 | 232,802 | |||||||
priceline.com, Inc. (Internet & Catalog Retail) | (a) | 1,375 | 549,381 | |||||||
Mattel, Inc. (Leisure Equip. & Products) | 10,900 | 277,187 | ||||||||
Comcast Corp. Class A (Media) | 38,447 | 844,681 | ||||||||
DIRECTV Class A (Media) | (a) | 16,100 | 642,873 | |||||||
News Corp. Class A (Media) | 37,900 | 551,824 | ||||||||
Virgin Media, Inc. (Media) | 8,750 | 238,350 | ||||||||
Dollar Tree, Inc. (Multiline Retail) | (a) | 3,500 | 196,280 | |||||||
Sears Holdings Corp. (Multiline Retail) | (a) | 3,050 | 224,937 | |||||||
Bed Bath & Beyond, Inc. (Specialty Retail) | (a) | 9,250 | 454,637 | |||||||
O’Reilly Automotive, Inc. (Specialty Retail) | (a) | 3,700 | 223,554 | |||||||
Ross Stores, Inc. (Specialty Retail) | 3,225 | 203,981 | ||||||||
Staples, Inc. (Specialty Retail) | 12,900 | 293,733 | ||||||||
Urban Outfitters, Inc. (Specialty Retail) | (a) | 4,300 | 153,983 | |||||||
8,638,679 | ||||||||||
CONSUMER STAPLES – 1.2% | ||||||||||
Costco Wholesale Corp. (Food & Staples Retailing) | 6,035 | 435,787 | ||||||||
Whole Foods Market, Inc. (Food & Staples Retailing) | (a) | 4,800 | 242,832 | |||||||
678,619 | ||||||||||
HEALTH CARE – 12.7% | ||||||||||
Amgen, Inc. (Biotechnology) | (a) | 11,697 | 642,165 | |||||||
Biogen Idec, Inc. (Biotechnology) | (a) | 6,875 | 460,969 | |||||||
Celgene Corp. (Biotechnology) | (a) | 12,375 | 731,858 | |||||||
Cephalon, Inc. (Biotechnology) | (a) | 1,950 | 120,354 | |||||||
Genzyme Corp. (Biotechnology) | (a) | 8,625 | 614,100 | |||||||
Gilead Sciences, Inc. (Biotechnology) | (a) | 21,225 | 769,194 | |||||||
Vertex Pharmaceuticals, Inc. (Biotechnology) | (a) | 5,650 | 197,919 | |||||||
DENTSPLY International, Inc. (Health Care Equip. & Supplies) | 3,625 | 123,866 | ||||||||
Intuitive Surgical, Inc. (Health Care Equip. & Supplies) | (a) | 1,050 | 270,637 | |||||||
Express Scripts, Inc. (Health Care Providers & Svs.) | (a) | 12,450 | 672,922 | |||||||
Henry Schein, Inc. (Health Care Providers & Svs.) | (a) | 2,450 | 150,405 | |||||||
Cerner Corp. (Health Care Technology) | (a) | 2,200 | 208,428 | |||||||
Illumina, Inc. (Life Sciences Tools & Svs.) | (a) | 3,250 | 205,855 | |||||||
Life Technologies Corp. (Life Sciences Tools & Svs.) | (a) | 5,025 | 278,887 | |||||||
QIAGEN NV (Life Sciences Tools & Svs.) | (a) | 6,250 | 122,187 | |||||||
Mylan, Inc. (Pharmaceuticals) | (a) | 11,725 | 247,749 | |||||||
Teva Pharmaceutical Industries Ltd. – ADR (Pharmaceuticals) | 19,235 | 1,002,721 | ||||||||
Warner Chilcott PLC Class A (Pharmaceuticals) | 6,675 | 150,588 | ||||||||
6,970,804 | ||||||||||
INDUSTRIALS – 3.5% | ||||||||||
CH Robinson Worldwide, Inc. (Air Freight & Logistics) | 4,350 | 348,827 | ||||||||
Expeditors International of Washington, Inc. (Air Freight & Logistics) | 5,525 | 301,665 | ||||||||
Stericycle, Inc. (Commercial Svs. & Supplies) | (a) | 2,375 | 192,185 | |||||||
Joy Global, Inc. (Machinery) | 2,700 | 234,225 | ||||||||
PACCAR, Inc. (Machinery) | 10,839 | 622,375 | ||||||||
Fastenal Co. (Trading Companies & Distributors) | 3,750 | 224,663 | ||||||||
1,923,940 | ||||||||||
INFORMATION TECHNOLOGY – 64.0% | ||||||||||
Cisco Systems, Inc. (Communications Equip.) | (a) | 52,550 | 1,063,087 | |||||||
F5 Networks, Inc. (Communications Equip.) | (a) | 2,050 | 266,828 | |||||||
QUALCOMM, Inc. (Communications Equip.) | 51,770 | 2,562,097 | ||||||||
Research In Motion Ltd. (Communications Equip.) | (a) | 13,875 | 806,554 | |||||||
Apple, Inc. (Computers & Peripherals) | (a) | 33,945 | 10,949,299 | |||||||
Dell, Inc. (Computers & Peripherals) | (a) | 18,975 | 257,111 | |||||||
NetApp, Inc. (Computers & Peripherals) | (a) | 9,910 | 544,654 | |||||||
SanDisk Corp. (Computers & Peripherals) | (a) | 6,325 | 315,365 | |||||||
Seagate Technology PLC (Computers & Peripherals) | (a) | 12,500 | 187,875 | |||||||
Flextronics International Ltd. (Electronic Equip., Instr. & Comp.) | (a) | 22,050 | 173,093 | |||||||
FLIR Systems, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 4,400 | 130,900 | |||||||
Akamai Technologies, Inc. (Internet Software & Svs.) | (a) | 4,850 | 228,193 | |||||||
Baidu, Inc. – ADR (Internet Software & Svs.) | (a) | 7,275 | 702,256 | |||||||
eBay, Inc. (Internet Software & Svs.) | (a) | 25,810 | 718,292 | |||||||
Google, Inc. Class A (Internet Software & Svs.) | (a) | 4,000 | 2,375,880 | |||||||
VeriSign, Inc. (Internet Software & Svs.) | 4,305 | 140,644 | ||||||||
Yahoo!, Inc. (Internet Software & Svs.) | (a) | 16,635 | 276,640 | |||||||
Automatic Data Processing, Inc. (IT Svs.) | 9,250 | 428,090 | ||||||||
Cognizant Technology Solutions Corp. Class A (IT Svs.) | (a) | 7,850 | 575,327 | |||||||
Fiserv, Inc. (IT Svs.) | (a) | 4,937 | 289,111 | |||||||
Infosys Technologies Ltd. – ADR (IT Svs.) | 2,975 | 226,338 | ||||||||
Paychex, Inc. (IT Svs.) | 9,095 | 281,126 | ||||||||
Altera Corp. (Semiconductors & Equip.) | 11,675 | 415,397 | ||||||||
Applied Materials, Inc. (Semiconductors & Equip.) | 18,325 | 257,466 | ||||||||
Broadcom Corp. Class A (Semiconductors & Equip.) | 11,050 | 481,228 | ||||||||
First Solar, Inc. (Semiconductors & Equip.) | (a) | 2,000 | 260,280 | |||||||
Intel Corp. (Semiconductors & Equip.) | 51,845 | 1,090,300 | ||||||||
KLA-Tencor Corp. (Semiconductors & Equip.) | 5,375 | 207,690 | ||||||||
Lam Research Corp. (Semiconductors & Equip.) | (a) | 3,375 | 174,758 | |||||||
Linear Technology Corp. (Semiconductors & Equip.) | 8,005 | 276,893 | ||||||||
Marvell Technology Group Ltd. (Semiconductors & Equip.) | (a) | 16,475 | 305,611 | |||||||
Maxim Integrated Products, Inc. (Semiconductors & Equip.) | 7,725 | 182,465 | ||||||||
Microchip Technology, Inc. (Semiconductors & Equip.) | 4,125 | 141,116 | ||||||||
Micron Technology, Inc. (Semiconductors & Equip.) | (a) | 27,075 | 217,142 | |||||||
NVIDIA Corp. (Semiconductors & Equip.) | (a) | 14,962 | 230,415 | |||||||
Xilinx, Inc. (Semiconductors & Equip.) | 9,130 | 264,587 | ||||||||
Activision Blizzard, Inc. (Software) | 28,575 | 355,473 | ||||||||
Adobe Systems, Inc. (Software) | (a) | 13,230 | 407,219 | |||||||
Autodesk, Inc. (Software) | (a) | 6,275 | 239,705 | |||||||
BMC Software, Inc. (Software) | (a) | 5,475 | 258,092 | |||||||
CA, Inc. (Software) | 13,050 | 318,942 | ||||||||
Check Point Software Technologies Ltd. (Software) | (a) | 5,445 | 251,886 | |||||||
Citrix Systems, Inc. (Software) | (a) | 5,925 | 405,329 | |||||||
Electronic Arts, Inc. (Software) | (a) | 8,880 | 145,454 | |||||||
Intuit, Inc. (Software) | (a) | 10,455 | 515,432 | |||||||
Microsoft Corp. (Software) | 78,150 | 2,181,948 | ||||||||
Oracle Corp. (Software) | 55,635 | 1,741,376 | ||||||||
Symantec Corp. (Software) | (a) | 21,548 | 360,714 | |||||||
35,185,678 | ||||||||||
MATERIALS – 0.4% | ||||||||||
Sigma-Aldrich Corp. (Chemicals) | 3,100 | 206,336 | ||||||||
TELECOMMUNICATION SERVICES – 1.8% | ||||||||||
Millicom International Cellular SA (Wireless Telecom. Svs.) | 2,775 | 265,290 | ||||||||
NII Holdings, Inc. (Wireless Telecom. Svs.) | (a) | 4,375 | 195,388 | |||||||
Vodafone Group PLC – ADR (Wireless Telecom. Svs.) | 19,375 | 512,081 | ||||||||
972,759 | ||||||||||
Total Common Stocks (Cost $40,003,632) | $ | 54,576,815 | ||||||||
(continued)
77
Ohio National Fund, Inc. | Nasdaq-100® Index Portfolio (Continued) |
Schedule of Investments | December 31, 2010 |
Exchange Traded Funds – 1.3% | Shares | Value | ||||||||
PowerShares QQQ | 12,765 | $ | 695,310 | |||||||
Total Exchange Traded Funds (Cost $689,796) | $ | 695,310 | ||||||||
Total Investments – 100.6% (Cost $40,693,428) | (b) | $ | 55,272,125 | |||||||
Liabilities in Excess of Other Assets – (0.6)% | (333,728 | ) | ||||||||
Net Assets – 100.0% | $ | 54,938,397 | ||||||||
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depositary Receipts
Footnotes:
(a) | Non-income producing security. | |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
78
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 December 31, 2010
Average Annual Total Returns: | ||||
One year | 13.10% | |||
Five years | 2.76% | |||
Since inception (5/1/02) | 4.45% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the year ended December 31, 2010, the Bristol Portfolio returned 13.10% versus 15.06% for the current benchmark, the S&P 500 Index.
2010 ended being a year where success could be attributed to taking on more portfolio risk, either through concentration in buyout names, economically leveraged industries, or smaller than average cap over-weighting. This can be seen simply by observing the 2010 returns by market capitalization, with the S&P 500 Index having the largest median cap stock return (just over 15%); then the Russell 1000 Index, having a slightly lower median cap, returning 16.1%; the Russell 2500 Mid-Cap Index returning 25.5%; and the Russell 2000 Small Cap Index returning almost 26.9%. Within each of these cap ranges, growth outperformed value, indicating a preference for the perception of fundamental growth over valuation. Though this factor bet typically works coming out of a recession, 2010 was somewhat atypical, as the economic outlook actually declined as we progressed through the year, as unemployment actually moved up, and Gross Domestic Product (GDP) forecasts were cut. GDP forecasts were finally raised in the fourth quarter after the Federal Reserve announced the next phase of its quantitative easing and the Bush tax cuts appeared to remain intact. The largest difference between growth and value indices was in the small cap sector, where growth outperformed value by over 450 basis points. There appeared to be a demand by investors for top-line growth stocks at any price, a situation which typically has negative consequences for the market when the mania subsides. As our investment process always considers an attractive stock valuation as the first requirement for Portfolio inclusion, not participating in the momentum, risk-taking driven market negatively affected our relative performance.
The Portfolio’s relative performance was also negatively impacted by a few stocks. One of the worst performers was Sunpower Corp., which twice during the year announced that it was pushing back the earnings contributions from its slightly delayed solar projects. The stock was cheap, and got cheaper. It is now trading at approximately 8 times 2011 projected earnings. This seems like an attractive multiple for a fairly well-positioned company, and if the company actually does what it says it can do, it may have a decent year. We continue to hold it. Hewlett-Packard Co. also had a disappointing year, being down 17% in 2010. Their chairman was forced to resign under rather unpleasant circumstances and the price per earnings multiple contracted, as investors worried about their positioning in tablets, a slowing growth in printer sales, their loss of market share to Acer and Lenovo in laptops, and a questionable purchase of Palm on which to focus their wireless phone strategy. Somehow, they did not miss their earnings per share (EPS) projections, but the multiple contracted regardless.(1)
Even though Financials made a stellar comeback in the final quarter, during the year the Portfolio’s relative performance was negatively impacted by a few stocks, namely Wells Fargo & Co., Morgan Stanley, and Bank of America Corp. All three were the result of continuing legal unknowns from the mortgage fiasco, with Bank of America Corp. and Wells Fargo & Co. perhaps more exposed to mortgage push backs from both government sponsored enterprises (GSEs) as well as private intermediaries; and Morgan Stanley perhaps suffering from an unknown fate similar to Goldman Sachs on potential underwriting concerns and lawsuits. The three financials cost the Portfolio approximately 54 basis points of relative performance combined.(1)
The Portfolio was not without its individual successes, including Apple, Inc., adding over 100 basis points, Citigroup, Inc. adding 70, Freeport-McMoRan Copper and Gold, Inc. adding over 50, and Industrials such as Honeywell International, Inc. and Johnson Controls, Inc. combining to add to 99 basis points.(1)
At the beginning of 2010, we took the position that the economy would improve, that emerging markets would provide most of the economic growth, that consumers would still be constrained in their spending, and that margins would tighten in consumer oriented products, as raw material pricing increased and companies were not so able to raise selling prices to pass through the higher costs. These are similar themes to what we believe now. We are cognizant that China is taking, and will continue to take, steps to slow inflation in their country, and of the potential impact to pricing of commodities. However, there is still huge economic growth ahead for China and India, as their consumers begin to spend some of their earnings and start to raise their standards of living. They are far behind the U.S. and other developed nations, but the gap is narrowing. Eventually, we see both India and China being able to grow their economies self-sustainably, without a constantly increasing reliance on exports. Trying to avoid U.S.-centric companies, with little growing exposure to emerging economies, continues to be a major driver in our research and investments.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2010. |
(continued)
79
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 | ||||||
12/31/2010 | 14590 | 13741 |
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 December 31, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 98.6 | ||
Money Market Funds Less Net Liabilities | 1.4 | ||
100.0 | |||
Top 10 Portfolio Holdings as of December 31, 2010 (1) (2)
% of Net Assets | |||||||
1. | Apple, Inc. | 3.0 | |||||
2. | JPMorgan Chase & Co. | 2.6 | |||||
3. | Citigroup, Inc. | 2.2 | |||||
4. | Lincoln National Corp. | 2.2 | |||||
5. | Bank of New York Mellon Corp. / The | 2.1 | |||||
6. | Huntington Bancshares, Inc. | 2.1 | |||||
7. | Pfizer, Inc. | 2.1 | |||||
8. | Chevron Corp. | 2.1 | |||||
9. | State Street Corp. | 2.1 | |||||
10. | St. Jude Medical, 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 | |||
Financials | 23.5 | ||
Information Technology | 21.7 | ||
Consumer Discretionary | 12.7 | ||
Industrials | 10.7 | ||
Health Care | 10.1 | ||
Energy | 9.8 | ||
Materials | 7.9 | ||
Consumer Staples | 2.2 | ||
98.6 | |||
80
Ohio National Fund, Inc. | Bristol Portfolio |
Schedule of Investments | December 31, 2010 |
Common Stocks – 98.6% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 12.7% | ||||||||||
Johnson Controls, Inc. (Auto Components) | 78,000 | $ | 2,979,600 | |||||||
Lear Corp. (Auto Components) | (a) | 2,200 | 217,162 | |||||||
Royal Caribbean Cruises Ltd. (Hotels, Restaurants & Leisure) | (a) | 54,200 | 2,547,400 | |||||||
Starwood Hotels & Resorts Worldwide, Inc. (Hotels, Restaurants & Leisure) | 39,000 | 2,370,420 | ||||||||
Walt Disney Co. / The (Media) | 89,000 | 3,338,390 | ||||||||
Target Corp. (Multiline Retail) | 62,000 | 3,728,060 | ||||||||
Tiffany & Co. (Specialty Retail) | 21,100 | 1,313,897 | ||||||||
Coach, Inc. (Textiles, Apparel & Luxury Goods) | 43,300 | 2,394,923 | ||||||||
NIKE, Inc. Class B (Textiles, Apparel & Luxury Goods) | 27,900 | 2,383,218 | ||||||||
Warnaco Group, Inc. / The (Textiles, Apparel & Luxury Goods) | (a) | 34,400 | 1,894,408 | |||||||
23,167,478 | ||||||||||
CONSUMER STAPLES – 2.2% | ||||||||||
J.M. Smucker Co. / The (Food Products) | 42,800 | 2,809,820 | ||||||||
Procter & Gamble Co. / The (Household Products) | 18,100 | 1,164,373 | ||||||||
3,974,193 | ||||||||||
ENERGY – 9.8% | ||||||||||
Dresser-Rand Group, Inc. (Energy Equip. & Svs.) | (a) | 12,100 | 515,339 | |||||||
Halliburton Co. (Energy Equip. & Svs.) | 63,800 | 2,604,954 | ||||||||
National Oilwell Varco, Inc. (Energy Equip. & Svs.) | 30,900 | 2,078,025 | ||||||||
Apache Corp. (Oil, Gas & Consumable Fuels) | 18,900 | 2,253,447 | ||||||||
Chevron Corp. (Oil, Gas & Consumable Fuels) | 42,100 | 3,841,625 | ||||||||
Murphy Oil Corp. (Oil, Gas & Consumable Fuels) | 41,400 | 3,086,370 | ||||||||
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 35,000 | 3,433,500 | ||||||||
17,813,260 | ||||||||||
FINANCIALS – 23.5% | ||||||||||
Bank of New York Mellon Corp. / The (Capital Markets) | 129,400 | 3,907,880 | ||||||||
State Street Corp. (Capital Markets) | 82,800 | 3,836,952 | ||||||||
Huntington Bancshares, Inc. (Commercial Banks) | 564,300 | 3,876,741 | ||||||||
PNC Financial Services Group, Inc. (Commercial Banks) | 61,800 | 3,752,496 | ||||||||
Wells Fargo & Co. (Commercial Banks) | 33,000 | 1,022,670 | ||||||||
Bank of America Corp. (Diversified Financial Svs.) | 256,800 | 3,425,712 | ||||||||
Citigroup, Inc. (Diversified Financial Svs.) | (a) | 841,600 | 3,980,768 | |||||||
JPMorgan Chase & Co. (Diversified Financial Svs.) | 110,600 | 4,691,652 | ||||||||
Hartford Financial Services Group, Inc. (Insurance) | 121,200 | 3,210,588 | ||||||||
Lincoln National Corp. (Insurance) | 142,100 | 3,951,801 | ||||||||
MetLife, Inc. (Insurance) | 79,900 | 3,550,756 | ||||||||
Prudential Financial, Inc. (Insurance) | 64,700 | 3,798,537 | ||||||||
43,006,553 | ||||||||||
HEALTH CARE – 10.1% | ||||||||||
St. Jude Medical, Inc. (Health Care Equip. & Supplies) | (a) | 89,600 | 3,830,400 | |||||||
Life Technologies Corp. (Life Sciences Tools & Svs.) | (a) | 43,900 | 2,436,450 | |||||||
Allergan, Inc. (Pharmaceuticals) | 46,900 | 3,220,623 | ||||||||
Medicis Pharmaceutical Corp. Class A (Pharmaceuticals) | 112,000 | 3,000,480 | ||||||||
Merck & Co., Inc. (Pharmaceuticals) | 57,100 | 2,057,884 | ||||||||
Pfizer, Inc. (Pharmaceuticals) | 219,400 | 3,841,694 | ||||||||
18,387,531 | ||||||||||
INDUSTRIALS – 10.7% | ||||||||||
Honeywell International, Inc. (Aerospace & Defense) | 70,600 | 3,753,096 | ||||||||
United Parcel Service, Inc. Class B (Air Freight & Logistics) | 44,100 | 3,200,778 | ||||||||
Rockwell Automation, Inc. (Electrical Equip.) | 51,600 | 3,700,236 | ||||||||
Caterpillar, Inc. (Machinery) | 27,900 | 2,613,114 | ||||||||
Ingersoll-Rand PLC (Machinery) | 80,100 | 3,771,909 | ||||||||
SPX Corp. (Machinery) | 34,300 | 2,452,107 | ||||||||
19,491,240 | ||||||||||
INFORMATION TECHNOLOGY – 21.7% | ||||||||||
Cisco Systems, Inc. (Communications Equip.) | (a) | 186,600 | 3,774,918 | |||||||
QUALCOMM, Inc. (Communications Equip.) | 73,600 | 3,642,464 | ||||||||
Apple, Inc. (Computers & Peripherals) | (a) | 16,900 | 5,451,264 | |||||||
Hewlett-Packard Co. (Computers & Peripherals) | 78,800 | 3,317,480 | ||||||||
Google, Inc. Class A (Internet Software & Svs.) | (a) | 6,200 | 3,682,614 | |||||||
International Business Machines Corp. (IT Svs.) | 24,400 | 3,580,944 | ||||||||
Applied Materials, Inc. (Semiconductors & Equip.) | 109,700 | 1,541,285 | ||||||||
Broadcom Corp. Class A (Semiconductors & Equip.) | 58,700 | 2,556,385 | ||||||||
Maxim Integrated Products, Inc. (Semiconductors & Equip.) | 153,600 | 3,628,032 | ||||||||
SunPower Corp. Class B (Semiconductors & Equip.) | (a) | 194,500 | 2,413,745 | |||||||
Citrix Systems, Inc. (Software) | (a) | 33,400 | 2,284,894 | |||||||
Oracle Corp. (Software) | 120,600 | 3,774,780 | ||||||||
39,648,805 | ||||||||||
MATERIALS – 7.9% | ||||||||||
Air Products & Chemicals, Inc. (Chemicals) | 34,700 | 3,155,965 | ||||||||
Celanese Corp. (Chemicals) | 43,100 | 1,774,427 | ||||||||
E.I. du Pont de Nemours & Co. (Chemicals) | 57,100 | 2,848,148 | ||||||||
Freeport-McMoRan Copper & Gold, Inc. (Metals & Mining) | 25,000 | 3,002,250 | ||||||||
Rio Tinto PLC – ADR (Metals & Mining) | 52,100 | 3,733,486 | ||||||||
14,514,276 | ||||||||||
Total Common Stocks (Cost $158,849,644) | $ | 180,003,336 | ||||||||
Money Market Funds – 2.1% | Shares | Value | ||||||||
Fidelity Institutional Money Market Funds | ||||||||||
Money Market Portfolio – Class I | 3,933,000 | $ | 3,933,000 | |||||||
Total Money Market Funds (Cost $3,933,000) | $ | 3,933,000 | ||||||||
Total Investments – 100.7% (Cost $162,782,644) | (b) | $ | 183,936,336 | |||||||
Liabilities in Excess of Other Assets – (0.7)% | (1,291,706 | ) | ||||||||
Net Assets – 100.0% | $ | 182,644,630 | ||||||||
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depositary Receipts
Footnotes:
(a) | Non-income producing security. | |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
81
Ohio National Fund, Inc. | 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 December 31, 2010
Average Annual Total Returns: | ||||
One year | 24.04% | |||
Five years | 5.48% | |||
Since inception (5/1/02) | 3.67% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more, or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the year ended December 31, 2010, the Bryton Growth Portfolio returned 24.04% versus 29.09% for the current benchmark, the Russell 2000 Growth Index.
The equity market was high in the early part of the year due to investors’ optimism that the U.S. economy would continue to recover. The sell off began in the spring and lasted through the later part of August. The benchmark declined nearly 20% from April’s high. Volatility flared up as we often witnessed 10% moves of the index in a matter of days. The reasons behind such volatility were the constant worry of a double-dip recession in the U.S., sovereign-debt crises that threatened the European common currency, and China’s attempts to slow its overheated real estate market. When the Federal Reserve began its discussion about the launch of QE2, which in essence lowers borrowing costs and helps stimulate the economy, the stock market did not look back and small cap growth stocks leaped over 30% since August.
We maintained an overweight relative to the index in the Information Technology, Energy, and Materials sectors throughout the year. These sectors were indeed the best performing sectors, which helped our performance. For most of the year, we were underweighted in the Health Care and Financials sectors, which also contributed to results. As we approached the end of the year, however, tiny micro cap stocks were better performers as micro cap growth outperformed small cap growth by over 400 basis points in the last quarter of the year. Since the entire return of the index came from the last part of the year, our performance was hurt by holding larger capitalized stocks, on average, than our benchmark held.(1)
Recently, we reduced our holdings in Information Technology, but we are still holding 31.4% of the Portfolio in that sector, compared to the benchmark’s 27.3% allocation. We sold Infinera Corp., an optical communications equipment maker, and athenahealth Inc., a healthcare IT provider, as those stocks reached our target valuations. We also sold Formfactor, Inc. as the company continued to lose market share, and Emulex due to lingering inventory issues and pricing pressures. We bought MaxLinear, Inc., a producer of semiconductor products for broadband applications, expecting broader adoption of its radio frequency products.(1)
We started the year over-weighted in the Consumer Discretionary sector. By late summer, we sold Tractor Supply Co. upon reaching our price target and Gymboree Corp. on an acquisition by Bain Capital. The Portfolio became a bit underweight in Consumer Discretionary as a result. This turned out to be a detractor for performance as Consumer Discretionary was one of the best performing sectors into December. We remain cautious in Consumer Discretionary as we believe that persistent high unemployment and rising mortgage rates will hamper the consumer’s propensity to spend. Rising commodity prices and wage inflation will be a headwind for most retailers. Furthermore, recent out-performance and moderating estimate revisions dampen the sector’s attractiveness.(1)
In 2010, positive contributors to performance included a position in TIBCO Software, Inc., which added 168 basis points, and Informatica Corp., which added 129 basis points. Both companies saw enterprise customers increasing spending due to the volume and complexity of data they have to work with. Merger and acquisition activities within the sector also helped these stocks to sustain higher valuation multiples. Fairchild Semiconductor International, Inc. added 132 basis points. The company saw higher demand for its higher value-added semiconductor products which led to better margin and higher earnings. TriQuint Semiconductor, Inc. added 139 basis points as the sales of its power amplifiers, used by smart-phones and tablets, exceeded expectations. Northern Oil & Gas, Inc. and Brigham Exploration Co. contributed 132 and 107 basis points, respectively, and were also our top contributors as they were successful in their exploratory efforts in the Bakken oil field and benefited from high oil prices.(1)
FormFactor, Inc., a semiconductor equipment maker, was a significant detractor. The company saw significant margin degradation as they had trouble ramping up the new Asian facility to meet improving demand. They, therefore, missed fulfilling some orders and lost market share, costing the Portfolio 90 basis points. Talbots, Inc. detracted from performance by 98 basis points. The company was trying to rebrand and attract younger customers; therefore, increasing marketing spending more than expected. Older customers found newer products less appealing, which led to lower sales and a higher inventory level. Affymetrix, Inc. continued to struggle against Ilumina and lost market share in gene sequencing, costing us 74 basis points. Arena Resources, Inc., detracted from performance 45 basis points due to disruption of production caused by an unreliable electricity provider. The company was eventually acquired by Sandridge Energy. Red Robin Gourmet Burger was a victim of fierce competition, and fell short on same store sales, as customers did not respond as expected to its marketing campaign, costing the Portfolio 45 basis points.(1)
The U.S. economy continued to expand moderately, assisted by the Federal Reserve’s easy money policy. Through the downturn, companies slashed costs and repaired balance sheets. Looking forward, we are optimistic on equity returns as we expect earnings will continue to improve. With a substantial amount of cash on companies’ balance sheets, we have seen increased mergers and acquisitions, especially in Information Technology and Financials sectors; supporting valuations. As mentioned above, we maintain a cautious stance on Consumer Discretionary. We remain over-weighted in the Information Technology sector where earnings expectations appear achievable as older equipment is being replaced and growth in areas such as smart-phones and tablets gains traction.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2010. |
(continued)
82
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 | ||||||
12/31/2010 | 13663 | 16678 |
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 December 31, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 98.0 | ||
Money Market Funds Less Net Liabilities | 2.0 | ||
100.0 | |||
Top 10 Portfolio Holdings as of December 31, 2010 (1) (2)
% of Net Assets | |||||||
1. | Kenexa Corp. | 2.1 | |||||
2. | Genesee & Wyoming, Inc. Class A | 2.1 | |||||
3. | Acuity Brands, Inc. | 2.1 | |||||
4. | TIBCO Software, Inc. | 2.1 | |||||
5. | Cooper Tire & Rubber Co. | 2.1 | |||||
6. | Fairchild Semiconductor International, Inc. | 2.0 | |||||
7. | SAVVIS, Inc. | 2.0 | |||||
8. | Quest Software, Inc. | 2.0 | |||||
9. | Solutia, Inc. | 2.0 | |||||
10. | Warnaco Group, Inc. / The | 2.0 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Information Technology | 31.4 | ||
Health Care | 18.9 | ||
Consumer Discretionary | 17.3 | ||
Industrials | 14.1 | ||
Energy | 7.7 | ||
Materials | 6.8 | ||
Financials | 1.8 | ||
98.0 | |||
83
Ohio National Fund, Inc. | Bryton Growth Portfolio |
Schedule of Investments | December 31, 2010 |
Common Stocks – 98.0% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 17.3% | ||||||||||
Cooper Tire & Rubber Co. (Auto Components) | 120,000 | $ | 2,829,600 | |||||||
California Pizza Kitchen, Inc. (Hotels, Restaurants & Leisure) | (a) | 120,000 | 2,073,600 | |||||||
P.F. Chang’s China Bistro, Inc. (Hotels, Restaurants & Leisure) | 45,000 | 2,180,700 | ||||||||
AnnTaylor Stores Corp. (Specialty Retail) | (a) | 65,000 | 1,780,350 | |||||||
Bebe Stores, Inc. (Specialty Retail) | 300,000 | 1,788,000 | ||||||||
Childrens Place Retail Stores, Inc. / The (Specialty Retail) | (a) | 47,000 | 2,333,080 | |||||||
Finish Line, Inc. / The Class A (Specialty Retail) | 145,000 | 2,492,550 | ||||||||
Men’s Wearhouse, Inc. / The (Specialty Retail) | 80,100 | 2,000,898 | ||||||||
Talbots, Inc. (Specialty Retail) | (a) | 190,000 | 1,618,800 | |||||||
Liz Claiborne, Inc. (Textiles, Apparel & Luxury Goods) | (a) | 270,100 | 1,933,916 | |||||||
Warnaco Group, Inc. / The (Textiles, Apparel & Luxury Goods) | (a) | 50,000 | 2,753,500 | |||||||
23,784,994 | ||||||||||
ENERGY – 7.7% | ||||||||||
Brigham Exploration Co. (Oil, Gas & Consumable Fuels) | (a) | 90,000 | 2,451,600 | |||||||
Clean Energy Fuels Corp. (Oil, Gas & Consumable Fuels) | (a) | 155,000 | 2,145,200 | |||||||
Northern Oil and Gas, Inc. (Oil, Gas & Consumable Fuels) | (a) | 100,000 | 2,721,000 | |||||||
Paladin Energy Ltd. (Oil, Gas & Consumable Fuels) | (a) | 200,000 | 1,010,000 | |||||||
Rosetta Resources, Inc. (Oil, Gas & Consumable Fuels) | (a) | 60,000 | 2,258,400 | |||||||
10,586,200 | ||||||||||
FINANCIALS – 1.8% | ||||||||||
Knight Capital Group, Inc. Class A (Capital Markets) | (a) | 180,000 | 2,482,200 | |||||||
HEALTH CARE – 18.9% | ||||||||||
Allos Therapeutics, Inc. (Biotechnology) | (a) | 260,000 | 1,198,600 | |||||||
Exelixis, Inc. (Biotechnology) | (a) | 75,000 | 615,750 | |||||||
Incyte Corp Ltd. (Biotechnology) | (a) | 100,000 | 1,656,000 | |||||||
Pharmasset, Inc. (Biotechnology) | (a) | 55,000 | 2,387,550 | |||||||
Rigel Pharmaceuticals, Inc. (Biotechnology) | (a) | 85,239 | 641,850 | |||||||
Targacept, Inc. (Biotechnology) | (a) | 55,000 | 1,457,500 | |||||||
American Medical Systems Holdings, Inc. (Health Care Equip. & Supplies) | (a) | 30,000 | 565,800 | |||||||
Arthrocare Corp. (Health Care Equip. & Supplies) | (a) | 80,000 | 2,484,800 | |||||||
Masimo Corp. (Health Care Equip. & Supplies) | 80,000 | 2,325,600 | ||||||||
NxStage Medical, Inc. (Health Care Equip. & Supplies) | (a) | 82,240 | 2,046,131 | |||||||
Healthsouth Corp. (Health Care Providers & Svs.) | (a) | 120,000 | 2,485,200 | |||||||
Molina Healthcare, Inc. (Health Care Providers & Svs.) | (a) | 90,000 | 2,506,500 | |||||||
Pacific Biosciences of California, Inc. (Life Sciences Tools & Svs.) | (a) | 90,000 | 1,431,900 | |||||||
Nektar Therapeutics (Pharmaceuticals) | (a) | 140,000 | 1,799,000 | |||||||
Salix Pharmaceuticals Ltd. (Pharmaceuticals) | (a) | 50,000 | 2,348,000 | |||||||
25,950,181 | ||||||||||
INDUSTRIALS – 14.1% | ||||||||||
Hawaiian Holdings, Inc. (Airlines) | (a) | 200,000 | 1,568,000 | |||||||
Tetra Tech, Inc. (Commercial Svs. & Supplies) | (a) | 90,000 | 2,255,400 | |||||||
MasTec, Inc. (Construction & Engineering) | (a) | 165,000 | 2,407,350 | |||||||
Acuity Brands, Inc. (Electrical Equip.) | 50,000 | 2,883,500 | ||||||||
Satcon Technology Corp. (Electrical Equip.) | (a) | 480,000 | 2,160,000 | |||||||
Actuant Corp. Class A (Machinery) | 100,000 | 2,662,000 | ||||||||
Astec Industries, Inc. (Machinery) | (a) | 42,000 | 1,361,220 | |||||||
Columbus McKinnon Corp. (Machinery) | (a) | 60,000 | 1,219,200 | |||||||
Genesee & Wyoming, Inc. Class A (Road & Rail) | (a) | 55,000 | 2,912,250 | |||||||
19,428,920 | ||||||||||
INFORMATION TECHNOLOGY – 31.4% | ||||||||||
SMART Modular Technologies WWH, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 30,000 | 172,800 | |||||||
comScore, Inc. (Internet Software & Svs.) | (a) | 90,000 | 2,007,900 | |||||||
Digital River, Inc. (Internet Software & Svs.) | (a) | 70,000 | 2,409,400 | |||||||
RightNow Technologies, Inc. (Internet Software & Svs.) | (a) | 113,217 | 2,679,846 | |||||||
SAVVIS, Inc. (Internet Software & Svs.) | (a) | 110,000 | 2,807,200 | |||||||
Sapient Corp. (IT Svs.) | 200,000 | 2,420,000 | ||||||||
Cavium Networks, Inc. (Semiconductors & Equip.) | (a) | 60,000 | 2,260,800 | |||||||
Fairchild Semiconductor International, Inc. (Semiconductors & Equip.) | (a) | 180,000 | 2,809,800 | |||||||
MaxLinear, Inc. Class A (Semiconductors & Equip.) | (a) | 214,652 | 2,309,656 | |||||||
Micrel, Inc. (Semiconductors & Equip.) | 160,000 | 2,078,400 | ||||||||
RF Micro Devices, Inc. (Semiconductors & Equip.) | (a) | 357,900 | 2,630,565 | |||||||
Semtech Corp. (Semiconductors & Equip.) | (a) | 93,125 | 2,108,350 | |||||||
TriQuint Semiconductor, Inc. (Semiconductors & Equip.) | (a) | 200,000 | 2,338,000 | |||||||
Volterra Semiconductor Corp. (Semiconductors & Equip.) | (a) | 110,000 | 2,547,600 | |||||||
Informatica Corp. (Software) | (a) | 20,000 | 880,600 | |||||||
Kenexa Corp. (Software) | (a) | 135,000 | 2,941,650 | |||||||
Quest Software, Inc. (Software) | (a) | 100,000 | 2,774,000 | |||||||
Solera Holdings, Inc. (Software) | 40,000 | 2,052,800 | ||||||||
TIBCO Software, Inc. (Software) | (a) | 145,000 | 2,857,950 | |||||||
43,087,317 | ||||||||||
MATERIALS – 6.8% | ||||||||||
Solutia, Inc. (Chemicals) | (a) | 120,000 | 2,769,600 | |||||||
STR Holdings, Inc. (Chemicals) | (a) | 110,000 | 2,200,000 | |||||||
Stillwater Mining Co. (Metals & Mining) | (a) | 100,000 | 2,135,000 | |||||||
Thompson Creek Metals Co., Inc. (Metals & Mining) | (a) | 150,000 | 2,208,000 | |||||||
9,312,600 | ||||||||||
Total Common Stocks (Cost $106,945,659) | $ | 134,632,412 | ||||||||
Money Market Funds – 4.5% | Shares | Value | ||||||||
Fidelity Institutional Money Market Funds | ||||||||||
Money Market Portfolio – Class I | 6,242,000 | $ | 6,242,000 | |||||||
Total Money Market Funds (Cost $6,242,000) | $ | 6,242,000 | ||||||||
Total Investments – 102.5% (Cost $113,187,659) | (b) | $ | 140,874,412 | |||||||
Liabilities in Excess of Other Assets – (2.5)% | (3,462,600 | ) | ||||||||
Net Assets – 100.0% | $ | 137,411,812 | ||||||||
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.
84
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 December 31, 2010
Average Annual Total Returns: | ||||
One year | 12.46% | |||
Five years | -3.59% | |||
Since inception (5/1/04) | 0.88% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-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 year ended December 31, 2010, the U.S. Equity Portfolio returned 12.46% versus 16.38% for the current benchmark, the S&P Composite 1500 Index.
In spite of 2010 beginning on the heels of an approximate 60% rally from the March of 2009 lows, the stock market was able to post a strong year as the combination of an economic recovery and Federal Reserve-based stimulus lifted broad based indices into positive territory. While the end of year return was strong, the path was full of volatility as economic uncertainty remained a persistent theme during the year. From an economic perspective, the U.S. economy experienced two distinct periods during the calendar year. The first part of the year brought on two strong quarters of Gross Domestic Product (GDP) growth led by strength in the manufacturing sector of the economy as companies continued the inventory rebuilding process. Historically, periods of inventory rebuilding and manufacturing growth are followed by the emergence of the consumer as the economic recovery takes hold. However, housing declines, consumer de-leveraging, and persistent levels of high unemployment prevented this from happening. Fortunately, the Federal Reserve reacted aggressively to this slowdown in economic activity, which spurred the strongest September for equities since 1939.
The equity market itself experienced five distinct time periods during the 2010 calendar year. The year 2010 began with a 3% rally in just over three weeks as economic prospects showed continued promise both domestically and overseas. This initial move was quickly reversed as concerns over bank regulation and an economic slowdown in China resulted in an 8% sell-off. Going into the early part of February 2010, we had a value to price ratio of 1.18 for the market as a whole which was the largest reading we had seen in over seven months. As economic fears subsided, investors took advantage of these inexpensive valuations and pushed the market higher as the S&P Composite 1500 Index rose over 16% in just over 2 months. Again, highlighting the lack of conviction within the market, the S&P Composite 1500 Index tumbled by over 15% from the end of April to the beginning of July 2010. This time period also included the infamous “flash crash” as concerns about the solvency of many European countries sent an already shaky market to its lowest level of the year. As mentioned above, in response to debt driven concerns and a slowing economic recovery, many global central banks stepped in to provide a global economic backstop; specifically, the establishment of a massive $1 trillion bailout plan by the European Union and a promise by the U.S. Federal Reserve to keep rates historically low for “an extended period” of time. These actions gave investors the confidence to jump back into the equity markets and the S&P Composite 1500 Index rallied by over 20% to finish the year on a positive note.
The top sector contributors to performance during 2010 were Industrials, Materials, and Energy. Overweight positions relative to the benchmark and strong stock selection in these cyclically driven areas contributed positively to the Portfolio’s performance during the year. The top contributors on an individual holdings basis during 2010 were Caterpillar, Inc., Freeport-McMoRan Copper & Gold, Inc., Walter Energy, Inc., Massey Energy Co., and Apple, Inc.(1)
Top sector detractors from performance during calendar year 2010 were Information Technology, Health Care, and Utilities. While all three sectors detracted from overall performance during the year, underweight positions relative to the S&P Composite 1500 Index dampened the negative effect to the Portfolio. The largest detractors on an individual holdings basis during 2010 were Bank of America Corp., Hewlett-Packard Co., Microsoft Corp., Visa, Inc., and Google, Inc.(1)
There is an old saying that “Wall Street climbs a wall of worry.” Over the twenty two months from mid-March 2009 thru mid-January 2011, the stock market has been on a recovery path from the down market of 2008 and early 2009. Although the gains have been significant, the path has been choppy almost like two steps forward then one step back. We believe the fundamentals of valuation that have driven higher valuations over that twenty two month period are still in place. First, as we enter 2011, we see stocks priced a bit below our estimate of intrinsic value. Second, as we bring in 2011 earnings into our valuations and drop off old stale earnings, we expect a boost to valuations. Third, corporate bond credit spreads — the additional yields above Treasury bonds — have been dropping as investors have apparently realized the potential for default is not what they thought it was in late 2008. We see this as a sensible trend that we expect to continue. Starting the year with stocks on sale and expecting a boost in value due to earnings and credit spreads, conditions are right, in our opinion, to support a third straight year of above average market returns. Although surprise news events can cause a choppy path, we expect stock prices to keep climbing that wall of worry.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2010. |
(continued)
85
Ohio National Fund, Inc. | U.S. Equity Portfolio (Continued) |
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 | ||||||
12/31/2010 | 10605 | 13419 |
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.
Portfolio Composition as of December 31, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 92.1 | ||
Money Market Funds Less Net Liabilities | 7.9 | ||
100.0 | |||
Top 10 Portfolio Holdings as of December 31, 2010 (1) (2)
% of Net Assets | |||||||
1. | Microsoft Corp. | 3.0 | |||||
2. | Aflac, Inc. | 2.7 | |||||
3. | Caterpillar, Inc. | 2.6 | |||||
4. | Apple, Inc. | 2.5 | |||||
5. | Chevron Corp. | 2.3 | |||||
6. | Steel Dynamics, Inc. | 2.3 | |||||
7. | Alpha Natural Resources, Inc. | 2.3 | |||||
8. | Time Warner Cable, Inc. | 2.2 | |||||
9. | General Electric Co. | 2.1 | |||||
10. | Wells Fargo & Co. | 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 | 27.6 | ||
Consumer Discretionary | 16.4 | ||
Information Technology | 14.4 | ||
Materials | 11.9 | ||
Energy | 9.6 | ||
Financials | 8.4 | ||
Consumer Staples | 2.0 | ||
Telecommunication Services | 1.8 | ||
92.1 | |||
86
Ohio National Fund, Inc. | U.S. Equity Portfolio |
Schedule of Investments | December 31, 2010 |
Common Stocks – 92.1% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 16.4% | ||||||||||
McDonald’s Corp. (Hotels, Restaurants & Leisure) | 2,070 | $ | 158,893 | |||||||
Tupperware Brands Corp. (Household Durables) | 3,010 | 143,487 | ||||||||
Omnicom Group, Inc. (Media) | 2,220 | 101,676 | ||||||||
Time Warner Cable, Inc. (Media) | 4,900 | 323,547 | ||||||||
Viacom, Inc. Class B (Media) | 3,950 | 156,459 | ||||||||
Walt Disney Co. / The (Media) | 3,930 | 147,414 | ||||||||
Family Dollar Stores, Inc. (Multiline Retail) | 2,300 | 114,333 | ||||||||
Target Corp. (Multiline Retail) | 4,580 | 275,395 | ||||||||
Bed Bath & Beyond, Inc. (Specialty Retail) | (a) | 3,040 | 149,416 | |||||||
Guess?, Inc. (Specialty Retail) | 3,360 | 158,995 | ||||||||
Ross Stores, Inc. (Specialty Retail) | 2,290 | 144,843 | ||||||||
TJX Cos., Inc. (Specialty Retail) | 2,750 | 122,073 | ||||||||
NIKE, Inc. Class B (Textiles, Apparel & Luxury Goods) | 2,500 | 213,550 | ||||||||
VF Corp. (Textiles, Apparel & Luxury Goods) | 1,060 | 91,351 | ||||||||
Wolverine World Wide, Inc. (Textiles, Apparel & Luxury Goods) | 2,480 | 79,062 | ||||||||
2,380,494 | ||||||||||
CONSUMER STAPLES – 2.0% | ||||||||||
Coca-Cola Co. / The (Beverages) | 2,210 | 145,352 | ||||||||
Archer-Daniels-Midland Co. (Food Products) | 4,740 | 142,579 | ||||||||
287,931 | ||||||||||
ENERGY – 9.6% | ||||||||||
Alpha Natural Resources, Inc. (Oil, Gas & Consumable Fuels) | (a) | 5,440 | 326,563 | |||||||
Chevron Corp. (Oil, Gas & Consumable Fuels) | 3,640 | 332,150 | ||||||||
ConocoPhillips (Oil, Gas & Consumable Fuels) | 4,190 | 285,339 | ||||||||
Exxon Mobil Corp. (Oil, Gas & Consumable Fuels) | 2,990 | 218,629 | ||||||||
Massey Energy Co. (Oil, Gas & Consumable Fuels) | 1,370 | 73,501 | ||||||||
Valero Energy Corp. (Oil, Gas & Consumable Fuels) | 6,640 | 153,517 | ||||||||
1,389,699 | ||||||||||
FINANCIALS – 8.4% | ||||||||||
U.S. Bancorp (Commercial Banks) | 6,060 | 163,438 | ||||||||
Wells Fargo & Co. (Commercial Banks) | 9,720 | 301,223 | ||||||||
Cash America International, Inc. (Consumer Finance) | 2,030 | 74,968 | ||||||||
Dollar Financial Corp. (Consumer Finance) | (a) | 2,480 | 71,002 | |||||||
EZCORP, Inc. Class A (Consumer Finance) | (a) | 5,180 | 140,533 | |||||||
Aflac, Inc. (Insurance) | 6,920 | 390,496 | ||||||||
Hartford Financial Services Group, Inc. (Insurance) | 2,800 | 74,172 | ||||||||
1,215,832 | ||||||||||
INDUSTRIALS – 27.6% | ||||||||||
Alliant Techsystems, Inc. (Aerospace & Defense) | (a) | 1,690 | 125,787 | |||||||
General Dynamics Corp. (Aerospace & Defense) | 2,070 | 146,887 | ||||||||
Honeywell International, Inc. (Aerospace & Defense) | 1,420 | 75,487 | ||||||||
FedEx Corp. (Air Freight & Logistics) | 3,020 | 280,890 | ||||||||
United Parcel Service, Inc. Class B (Air Freight & Logistics) | 2,010 | 145,886 | ||||||||
Cooper Industries PLC (Electrical Equip.) | 4,290 | 250,064 | ||||||||
Emerson Electric Co. (Electrical Equip.) | 3,750 | 214,388 | ||||||||
Thomas & Betts Corp. (Electrical Equip.) | (a) | 5,050 | 243,915 | |||||||
General Electric Co. (Industrial Conglomerates) | 17,030 | 311,479 | ||||||||
Siemens AG – ADR (Industrial Conglomerates) | 1,530 | 190,103 | ||||||||
Tyco International Ltd. (Industrial Conglomerates) | 6,850 | 283,864 | ||||||||
Caterpillar, Inc. (Machinery) | 4,090 | 383,069 | ||||||||
Dover Corp. (Machinery) | 2,460 | 143,787 | ||||||||
Eaton Corp. (Machinery) | 1,400 | 142,114 | ||||||||
Illinois Tool Works, Inc. (Machinery) | 4,060 | 216,804 | ||||||||
Parker Hannifin Corp. (Machinery) | 820 | 70,766 | ||||||||
Kirby Corp. (Marine) | (a) | 6,500 | 286,325 | |||||||
CSX Corp. (Road & Rail) | 2,740 | 177,031 | ||||||||
Union Pacific Corp. (Road & Rail) | 1,920 | 177,907 | ||||||||
W.W. Grainger, Inc. (Trading Companies & Distributors) | 1,050 | 145,016 | ||||||||
4,011,569 | ||||||||||
INFORMATION TECHNOLOGY – 14.4% | ||||||||||
Cisco Systems, Inc. (Communications Equip.) | (a) | 8,700 | 176,001 | |||||||
Research In Motion Ltd. (Communications Equip.) | (a) | 1,550 | 90,102 | |||||||
Apple, Inc. (Computers & Peripherals) | (a) | 1,110 | 358,042 | |||||||
Hewlett-Packard Co. (Computers & Peripherals) | 6,660 | 280,386 | ||||||||
Corning, Inc. (Electronic Equip., Instr. & Comp.) | 7,470 | 144,320 | ||||||||
Google, Inc. Class A (Internet Software & Svs.) | (a) | 370 | 219,769 | |||||||
Accenture PLC Class A (IT Svs.) | 3,120 | 151,289 | ||||||||
International Business Machines Corp. (IT Svs.) | 1,650 | 242,154 | ||||||||
Microsoft Corp. (Software) | 15,520 | 433,318 | ||||||||
�� | ||||||||||
2,095,381 | ||||||||||
MATERIALS – 11.9% | ||||||||||
Praxair, Inc. (Chemicals) | 2,270 | 216,717 | ||||||||
RPM International, Inc. (Chemicals) | 6,030 | 133,263 | ||||||||
Barrick Gold Corp. (Metals & Mining) | 1,340 | 71,261 | ||||||||
Cliffs Natural Resources, Inc. (Metals & Mining) | 1,840 | 143,538 | ||||||||
Freeport-McMoRan Copper & Gold, Inc. (Metals & Mining) | 2,320 | 278,609 | ||||||||
Kinross Gold Corp. (Metals & Mining) | 5,740 | 108,830 | ||||||||
Newmont Mining Corp. (Metals & Mining) | 1,210 | 74,330 | ||||||||
Nucor Corp. (Metals & Mining) | 4,820 | 211,212 | ||||||||
Steel Dynamics, Inc. (Metals & Mining) | 18,070 | 330,681 | ||||||||
Walter Energy, Inc. (Metals & Mining) | 1,230 | 157,243 | ||||||||
1,725,684 | ||||||||||
TELECOMMUNICATION SERVICES – 1.8% | ||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 8,660 | 254,431 | ||||||||
Total Common Stocks (Cost $11,339,934) | $ | 13,361,021 | ||||||||
Money Market Funds – 7.9% | Shares | Value | ||||||||
Fidelity Institutional Money Market Funds | ||||||||||
Money Market Portfolio – Class I | 726,000 | $ | 726,000 | |||||||
Federated Prime Cash Obligations Fund | ||||||||||
Institutional Class | 429,000 | 429,000 | ||||||||
Total Money Market Funds (Cost $1,155,000) | $ | 1,155,000 | ||||||||
Total Investments – 100.0% (Cost $12,494,934) | (b) | $ | 14,516,021 | |||||||
Liabilities in Excess of Other Assets – (0.0)% | (7,034 | ) | ||||||||
Net Assets – 100.0% | $ | 14,508,987 | ||||||||
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.
87
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 December 31, 2010
Average Annual Total Returns: | ||||
One year | 7.78% | |||
Five years | 4.56% | |||
Since inception (5/1/04) | 5.89% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-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 year ended December 31, 2010, the Balanced Portfolio returned 7.78% versus 13.14% for the current benchmark, which is composed of 60% S&P Composite 1500 Index and 40% Barclays Capital U.S. Universal Index.
In spite of 2010 beginning on the heels of an approximate 60% rally from the March of 2009 lows, the stock market was able to post a strong year as the combination of an economic recovery and Federal Reserve-based stimulus lifted broad based indices into positive territory. While the end of year return was strong, the path was full of volatility as economic uncertainty remained a persistent theme during the year. From an economic perspective, the U.S. economy experienced two distinct periods during the calendar year. The first part of the year brought on two strong quarters of Gross Domestic Product (GDP) growth led by strength in the manufacturing sector of the economy as companies continued the inventory rebuilding process. Historically, periods of inventory rebuilding and manufacturing growth are followed by the emergence of the consumer as the economic recovery takes hold. However, housing declines, consumer de-leveraging, and persistent levels of high unemployment prevented this from happening. Fortunately, the Federal Reserve reacted aggressively to this slowdown in economic activity, which spurred the strongest September for equities since 1939.
The equity market itself experienced five distinct time periods during the 2010 calendar year. 2010 began with a 3% rally in just over three weeks as economic prospects showed continued promise both domestically and overseas. This initial move was quickly reversed as concerns over bank regulation and an economic slowdown in China resulted in an 8% sell-off. Going into the early part of February 2010, we had a value to price ratio of 1.18 for the market as a whole which was the largest reading we had seen in over seven months. As economic fears subsided, investors took advantage of these inexpensive valuations and pushed the market higher as the S&P Composite 1500 Index rose over 16% in just over 2 months. Again, highlighting the lack of conviction within the market, the S&P Composite 1500 Index tumbled by over 15% from the end of April to the beginning of July 2010. This time period also included the infamous “flash crash” as concerns about the solvency of many European countries sent an already shaky market to its lowest level of the year. As mentioned above, in response to debt driven concerns and a slowing economic recovery, many global central banks stepped in to provide a global economic backstop; specifically, the establishment of a massive $1 trillion bailout plan by the European Union and a promise by the U.S. Federal Reserve to keep rates historically low for “an extended period” of time. These actions gave investors the confidence to jump back into the equity markets and the S&P Composite 1500 Index rallied by over 20% to finish the year on a positive note.
Bonds followed a very similar course as volatility and rapid theme changes dominated the fixed income space as well. For example, the yield on the 10 year on-the-run U.S. Treasury began the year at 3.84%, fell all the way down to 2.38% by October 7th 2010, and then rose significantly to finish the year at a value of 3.29%. This type of yield volatility is both highly unusual and reflective of the uncertain economic environment during the calendar year.
The top sector contributors to performance during calendar year 2010 were Industrials, Materials, and Financials. Overweight positions relative to the benchmark and strong stock selection in these cyclically driven areas contributed positively to the Portfolio’s performance. The top industry contributors to performance during calendar year 2010 were information technology consulting & other services, specialty chemicals, cable & satellite, and electrical components & equipment.(1)
Top sector detractors to relative performance during calendar year 2010 were Energy, Telecommunication Services, and Utilities. An underweight position in a strongly performing Energy sector and disappointing stock selection performance in Utilities were the largest detractors to the Portfolio’s relative performance and resulted in the Portfolio’s under-performance. Top industry detractors from performance included oil & gas drilling, packaged food & meats, and multi-utilities.(1)
Heading into 2011, we still find value in the equity market. With the continuation of the narrowing of credit spreads towards their ten-year average and better than predicted earnings reports, we expect to continue to see value in equities in the near term. The Portfolio is currently positioned at 60% equities and 40% bonds. Based on value and relative strength, the equity portion of the Portfolio continues to be over-weighted in Materials, Consumer Discretionary, and Information Technology. In the bond market, we see most value in medium to lower investment grade corporate bonds.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2010. |
(continued)
88
Ohio National Fund, Inc. | Balanced Portfolio (Continued) |
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 | ||||||
12/31/2010 | 14651 | 14065 |
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.
Portfolio Composition as of December 31, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 54.9 | ||
Corporate Bonds (3) | 33.1 | ||
U.S. Government Agency Issues | 1.7 | ||
U.S. Treasury Obligations | 6.5 | ||
Money Market Funds and Other Net Assets | 3.8 | ||
100.0 | |||
Top 10 Portfolio Holdings as of December 31, 2010 (1) (2)
% of Net Assets | |||||||
1. | U.S. Treasury Note 2.625%, 11/15/2020 | 6.5 | |||||
2. | PPL Energy Supply LLC 6.500%, 05/01/2018 | 1.9 | |||||
3. | Exxon Mobil Corp. | 1.6 | |||||
4. | International Business Machines Corp. | 1.6 | |||||
5. | American International Group, Inc. 8.250%, 08/15/2018 | 1.6 | |||||
6. | General Electric Co. | 1.5 | |||||
7. | Rohm and Haas Co. 5.600%, 03/15/2013 | 1.5 | |||||
8. | Chevron Corp. | 1.4 | |||||
9. | Comcast Corp. Class A | 1.4 | |||||
10. | Toys R Us, Inc. 7.375%, 10/15/2018 | 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 | 27.4 | ||
Industrials | 11.0 | ||
Information Technology | 10.1 | ||
Consumer Discretionary | 9.2 | ||
Materials | 7.8 | ||
Health Care | 6.4 | ||
Utilities | 5.2 | ||
Consumer Staples | 5.0 | ||
Energy | 5.0 | ||
Telecommunication Services | 0.9 | ||
88.0 | |||
89
Ohio National Fund, Inc. | Balanced Portfolio |
Schedule of Investments | December 31, 2010 |
Common Stocks – 54.9% | Shares | Value | ||||||||||||||||
CONSUMER DISCRETIONARY – 6.2% | ||||||||||||||||||
Panera Bread Co. Class A (Hotels, Restaurants & Leisure) | (a) | 670 | $ | 67,811 | ||||||||||||||
Comcast Corp. Class A (Media) | 9,000 | 197,730 | ||||||||||||||||
Time Warner Cable, Inc. (Media) | 1,500 | 99,045 | ||||||||||||||||
Target Corp. (Multiline Retail) | 1,520 | 91,398 | ||||||||||||||||
Aeropostale, Inc. (Specialty Retail) | (a) | 3,500 | 86,240 | |||||||||||||||
GameStop Corp. Class A (Specialty Retail) | (a) | 2,500 | 57,200 | |||||||||||||||
Guess?, Inc. (Specialty Retail) | 1,500 | 70,980 | ||||||||||||||||
Lowe’s Cos., Inc. (Specialty Retail) | 3,000 | 75,240 | ||||||||||||||||
TJX Cos., Inc. (Specialty Retail) | 3,590 | 159,360 | ||||||||||||||||
905,004 | ||||||||||||||||||
CONSUMER STAPLES – 2.4% | ||||||||||||||||||
PepsiCo, Inc. (Beverages) | 1,000 | 65,330 | ||||||||||||||||
CVS Caremark Corp. (Food & Staples Retailing) | 1,820 | 63,281 | ||||||||||||||||
Kroger Co. / The (Food & Staples Retailing) | 4,000 | 89,440 | ||||||||||||||||
Sysco Corp. (Food & Staples Retailing) | 2,200 | 64,680 | ||||||||||||||||
Archer-Daniels-Midland Co. (Food Products) | 2,000 | 60,160 | ||||||||||||||||
342,891 | ||||||||||||||||||
ENERGY – 4.2% | ||||||||||||||||||
Tidewater, Inc. (Energy Equip. & Svs.) | 1,410 | 75,914 | ||||||||||||||||
Chevron Corp. (Oil, Gas & Consumable Fuels) | 2,280 | 208,050 | ||||||||||||||||
Exxon Mobil Corp. (Oil, Gas & Consumable Fuels) | 3,250 | 237,640 | ||||||||||||||||
Marathon Oil Corp. (Oil, Gas & Consumable Fuels) | 2,200 | 81,466 | ||||||||||||||||
603,070 | ||||||||||||||||||
FINANCIALS – 12.1% | ||||||||||||||||||
U.S. Bancorp (Commercial Banks) | 3,000 | 80,910 | ||||||||||||||||
Wells Fargo & Co. (Commercial Banks) | 5,000 | 154,950 | ||||||||||||||||
World Acceptance Corp. (Consumer Finance) | (a) | 1,660 | 87,648 | |||||||||||||||
Bank of America Corp. (Diversified Financial Svs.) | 8,000 | 106,720 | ||||||||||||||||
Citigroup, Inc. (Diversified Financial Svs.) | (a) | 30,000 | 141,900 | |||||||||||||||
IntercontinentalExchange, Inc. (Diversified Financial Svs.) | (a) | 1,000 | 119,150 | |||||||||||||||
JPMorgan Chase & Co. (Diversified Financial Svs.) | 3,000 | 127,260 | ||||||||||||||||
Aflac, Inc. (Insurance) | 1,700 | 95,931 | ||||||||||||||||
Allstate Corp. / The (Insurance) | 2,500 | 79,700 | ||||||||||||||||
Delphi Financial Group, Inc. Class A (Insurance) | 3,000 | 86,520 | ||||||||||||||||
HCC Insurance Holdings, Inc. (Insurance) | 4,500 | 130,230 | ||||||||||||||||
MetLife, Inc. (Insurance) | 1,500 | 66,660 | ||||||||||||||||
Reinsurance Group of America, Inc. (Insurance) | 1,000 | 53,710 | ||||||||||||||||
Sun Life Financial, Inc. (Insurance) | 2,500 | 75,250 | ||||||||||||||||
Travelers Cos., Inc. / The (Insurance) | 1,500 | 83,565 | ||||||||||||||||
Willis Group Holdings PLC (Insurance) | 3,500 | 121,205 | ||||||||||||||||
Annaly Capital Management, Inc. (Real Estate Investment Trusts) | 7,800 | 139,776 | ||||||||||||||||
1,751,085 | ||||||||||||||||||
HEALTH CARE – 6.4% | ||||||||||||||||||
Covidien PLC (Health Care Equip. & Supplies) | 720 | 32,875 | ||||||||||||||||
Stryker Corp. (Health Care Equip. & Supplies) | 740 | 39,738 | ||||||||||||||||
Aetna, Inc. (Health Care Providers & Svs.) | 3,000 | 91,530 | ||||||||||||||||
AmerisourceBergen Corp. (Health Care Providers & Svs.) | 2,000 | 68,240 | ||||||||||||||||
Cardinal Health, Inc. (Health Care Providers & Svs.) | 1,000 | 38,310 | ||||||||||||||||
Laboratory Corp of America Holdings (Health Care Providers & Svs.) | (a) | 1,800 | 158,256 | |||||||||||||||
McKesson Corp. (Health Care Providers & Svs.) | 2,000 | 140,760 | ||||||||||||||||
Abbott Laboratories (Pharmaceuticals) | 1,500 | 71,865 | ||||||||||||||||
Eli Lilly & Co. (Pharmaceuticals) | 1,000 | 35,040 | ||||||||||||||||
Johnson & Johnson (Pharmaceuticals) | 1,550 | 95,867 | ||||||||||||||||
Merck & Co., Inc. (Pharmaceuticals) | 2,000 | 72,080 | ||||||||||||||||
Pfizer, Inc. (Pharmaceuticals) | 5,000 | 87,550 | ||||||||||||||||
932,111 | ||||||||||||||||||
INDUSTRIALS – 8.0% | ||||||||||||||||||
General Dynamics Corp. (Aerospace & Defense) | 1,500 | 106,440 | ||||||||||||||||
L-3 Communications Holdings, Inc. (Aerospace & Defense) | 1,300 | 91,637 | ||||||||||||||||
Lockheed Martin Corp. (Aerospace & Defense) | 400 | 27,964 | ||||||||||||||||
Northrop Grumman Corp. (Aerospace & Defense) | 500 | 32,390 | ||||||||||||||||
Delta Air Lines, Inc. (Airlines) | (a) | 6,000 | 75,600 | |||||||||||||||
Cooper Industries PLC (Electrical Equip.) | 1,220 | 71,114 | ||||||||||||||||
Hubbell, Inc. Class B (Electrical Equip.) | 2,000 | 120,260 | ||||||||||||||||
Thomas & Betts Corp. (Electrical Equip.) | (a) | 1,500 | 72,450 | |||||||||||||||
General Electric Co. (Industrial Conglomerates) | 11,970 | 218,931 | ||||||||||||||||
Danaher Corp. (Machinery) | 2,000 | 94,340 | ||||||||||||||||
FTI Consulting, Inc. (Professional Svs.) | (a) | 2,500 | 93,200 | |||||||||||||||
Canadian National Railway Co. (Road & Rail) | 1,040 | 69,129 | ||||||||||||||||
CSX Corp. (Road & Rail) | 1,230 | 79,470 | ||||||||||||||||
1,152,925 | ||||||||||||||||||
(continued)
90
Ohio National Fund, Inc. | Balanced Portfolio (Continued) |
Schedule of Investments | December 31, 2010 |
Common Stocks (Continued) | Shares | Value | ||||||||||||||||
INFORMATION TECHNOLOGY – 8.3% | ||||||||||||||||||
Comtech Telecommunications Corp. (Communications Equip.) | 2,500 | $ | 69,325 | |||||||||||||||
Hewlett-Packard Co. (Computers & Peripherals) | 2,580 | 108,618 | ||||||||||||||||
Seagate Technology PLC (Computers & Peripherals) | (a) | 4,000 | 60,120 | |||||||||||||||
Avnet, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 2,500 | 82,575 | |||||||||||||||
Accenture PLC Class A (IT Svs.) | 1,220 | 59,158 | ||||||||||||||||
Automatic Data Processing, Inc. (IT Svs.) | 2,500 | 115,700 | ||||||||||||||||
CACI International, Inc. Class A (IT Svs.) | (a) | 1,500 | 80,100 | |||||||||||||||
Cognizant Technology Solutions Corp. Class A (IT Svs.) | (a) | 1,910 | 139,984 | |||||||||||||||
International Business Machines Corp. (IT Svs.) | 1,600 | 234,816 | ||||||||||||||||
Mastercard, Inc. Class A (IT Svs.) | 520 | 116,537 | ||||||||||||||||
Microsoft Corp. (Software) | 5,020 | 140,158 | ||||||||||||||||
1,207,091 | ||||||||||||||||||
MATERIALS – 4.2% | ||||||||||||||||||
Lubrizol Corp. (Chemicals) | 1,200 | 128,256 | ||||||||||||||||
Monsanto Co. (Chemicals) | 1,700 | 118,388 | ||||||||||||||||
Barrick Gold Corp. (Metals & Mining) | 1,600 | 85,088 | ||||||||||||||||
Freeport-McMoRan Copper & Gold, Inc. (Metals & Mining) | 1,000 | 120,090 | ||||||||||||||||
Kinross Gold Corp. (Metals & Mining) | 8,000 | 151,680 | ||||||||||||||||
603,502 | ||||||||||||||||||
TELECOMMUNICATION SERVICES – 0.9% | ||||||||||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 2,300 | 67,574 | ||||||||||||||||
SK Telecom Co. Ltd. – ADR (Wireless Telecom. Svs.) | 3,500 | 65,205 | ||||||||||||||||
132,779 | ||||||||||||||||||
UTILITIES – 2.2% | ||||||||||||||||||
Exelon Corp. (Electric Utilities) | 1,690 | 70,372 | ||||||||||||||||
FirstEnergy Corp. (Electric Utilities) | 1,700 | 62,934 | ||||||||||||||||
Consolidated Edison, Inc. (Multi-Utilities) | 1,250 | 61,963 | ||||||||||||||||
Public Service Enterprise Group, Inc. (Multi-Utilities) | 1,950 | 62,030 | ||||||||||||||||
RWE AG – ADR (Multi-Utilities) | 1,000 | 66,390 | ||||||||||||||||
323,689 | ||||||||||||||||||
Total Common Stocks (Cost $7,026,022) | $ | 7,954,147 | ||||||||||||||||
Corporate Bonds – 33.1% | Rate | Maturity | Face Amount | Value | ||||||||||||||
CONSUMER DISCRETIONARY – 3.0% | ||||||||||||||||||
Daimler Finance North America LLC (Automobiles) | 6.500% | 11/15/2013 | 30,000 | 33,985 | ||||||||||||||
Fortune Brands, Inc. (Household Durables) | 4.875% | 12/01/2013 | 50,000 | 52,278 | ||||||||||||||
Time Warner Cable, Inc. (Media) | 5.000% | 02/01/2020 | 50,000 | 51,550 | ||||||||||||||
Dillard’s, Inc. (Multiline Retail) | 9.125% | 08/01/2011 | 46,000 | 47,955 | ||||||||||||||
J.C. Penney Corp., Inc. (Multiline Retail) | 7.950% | 04/01/2017 | 50,000 | 54,750 | ||||||||||||||
Toys R Us, Inc. (Specialty Retail) | 7.375% | 10/15/2018 | 200,000 | 197,000 | ||||||||||||||
437,518 | ||||||||||||||||||
CONSUMER STAPLES – 2.6% | ||||||||||||||||||
CVS Caremark Corp. (Food & Staples Retailing) | 4.750% | 05/18/2020 | 50,000 | 52,011 | ||||||||||||||
Dean Foods Co. (Food Products) | 6.900% | 10/15/2017 | 50,000 | 43,625 | ||||||||||||||
Kraft Foods, Inc. (Food Products) | 6.125% | 08/23/2018 | 100,000 | 114,517 | ||||||||||||||
Lorillard Tobacco Co. (Tobacco) | 6.875% | 05/01/2020 | 50,000 | 51,730 | ||||||||||||||
Reynolds American, Inc. (Tobacco) | 7.250% | 06/01/2013 | 100,000 | 111,329 | ||||||||||||||
373,212 | ||||||||||||||||||
ENERGY – 0.8% | ||||||||||||||||||
Massey Energy Co. (Oil, Gas & Consumable Fuels) | 6.875% | 12/15/2013 | 50,000 | 50,875 | ||||||||||||||
Petrobras International Finance Co. – Pifco (Oil, Gas & Consumable Fuels) | 7.750% | 09/15/2014 | 50,000 | 58,759 | ||||||||||||||
109,634 | ||||||||||||||||||
FINANCIALS – 15.3% | ||||||||||||||||||
Goldman Sachs Group, Inc. / The (Capital Markets) | 5.125% | 01/15/2015 | 100,000 | 107,536 | ||||||||||||||
Merrill Lynch & Co., Inc. (Capital Markets) | 5.000% | 02/03/2014 | 10,000 | 10,356 | ||||||||||||||
Merrill Lynch & Co., Inc. (Capital Markets) | 5.450% | 02/05/2013 | 150,000 | 158,297 | ||||||||||||||
Merrill Lynch & Co., Inc. (Capital Markets) | (b) | 3.190% | 05/05/2014 | 150,000 | 151,693 | |||||||||||||
Morgan Stanley (Capital Markets) | 5.375% | 10/15/2015 | 100,000 | 105,147 | ||||||||||||||
Morgan Stanley (Capital Markets) | (b) | 0.769% | 10/15/2015 | 100,000 | 93,866 | |||||||||||||
Morgan Stanley (Capital Markets) | (c) | 3.500% | 10/15/2020 | 50,000 | 48,086 | |||||||||||||
UBS AG (Capital Markets) | 5.875% | 12/20/2017 | 100,000 | 110,141 | ||||||||||||||
Wachovia Corp. (Commercial Banks) | 5.750% | 02/01/2018 | 50,000 | 55,597 | ||||||||||||||
Wells Fargo Bank NA (Commercial Banks) | (b) | 0.494% | 05/16/2016 | 100,000 | 92,576 | |||||||||||||
HSBC Finance Corp. (Consumer Finance) | 7.000% | 05/15/2012 | 50,000 | 53,665 | ||||||||||||||
HSBC Finance Corp. (Consumer Finance) | 6.375% | 11/27/2012 | 50,000 | 54,233 | ||||||||||||||
HSBC Finance Corp. (Consumer Finance) | (b) | 3.370% | 11/10/2013 | 100,000 | 101,593 | |||||||||||||
Bank of America NA (Diversified Financial Svs.) | (b) | 0.602% | 06/15/2017 | 50,000 | 43,480 | |||||||||||||
Bear Stearns Cos. LLC / The (Diversified Financial Svs.) | (b) | 0.674% | 11/21/2016 | 50,000 | 47,227 | |||||||||||||
Citigroup, Inc. (Diversified Financial Svs.) | 5.125% | 05/05/2014 | 40,000 | 42,475 | ||||||||||||||
Citigroup, Inc. (Diversified Financial Svs.) | 5.300% | 10/17/2012 | 50,000 | 52,975 | ||||||||||||||
Citigroup, Inc. (Diversified Financial Svs.) | 6.000% | 08/15/2017 | 50,000 | 54,309 | ||||||||||||||
American International Group, Inc. (Insurance) | 4.250% | 05/15/2013 | 100,000 | 103,717 |
(continued)
91
Ohio National Fund, Inc. | Balanced Portfolio (Continued) |
Schedule of Investments | December 31, 2010 |
Corporate Bonds (Continued) | Rate | Maturity | Face Amount | Value | ||||||||||||||
FINANCIALS (continued) | ||||||||||||||||||
American International Group, Inc. (Insurance) | 8.250% | 08/15/2018 | 200,000 | $ | 231,080 | |||||||||||||
American International Group, Inc. (Insurance) | 5.375% | 10/18/2011 | 50,000 | 51,662 | ||||||||||||||
Delphi Financial Group, Inc. (Insurance) | 7.875% | 01/31/2020 | 50,000 | 53,502 | ||||||||||||||
Hartford Financial Services Group, Inc. (Insurance) | 5.375% | 03/15/2017 | 50,000 | 50,956 | ||||||||||||||
Hartford Financial Services Group, Inc. (Insurance) | 6.300% | 03/15/2018 | 100,000 | 106,646 | ||||||||||||||
Prudential Financial, Inc. (Insurance) | 5.100% | 09/20/2014 | 100,000 | 107,508 | ||||||||||||||
Prudential Financial, Inc. (Insurance) | 6.100% | 06/15/2017 | 50,000 | 55,319 | ||||||||||||||
Swiss Re Solutions Holding Corp. (Insurance) | 7.000% | 02/15/2026 | 40,000 | 41,540 | ||||||||||||||
Unum Group (Insurance) | 7.190% | 02/01/2028 | 30,000 | 26,996 | ||||||||||||||
2,212,178 | ||||||||||||||||||
INDUSTRIALS – 3.0% | ||||||||||||||||||
L-3 Communications Corp. (Aerospace & Defense) | 4.750% | 07/15/2020 | 50,000 | 49,217 | ||||||||||||||
R.R. Donnelley & Sons Co. (Commercial Svs. & Supplies) | 6.125% | 01/15/2017 | 150,000 | 153,527 | ||||||||||||||
General Electric Co. (Industrial Conglomerates) | 5.000% | 02/01/2013 | 15,000 | 16,043 | ||||||||||||||
Ingersoll-Rand Global Holding Co. Ltd. (Machinery) | 9.500% | 04/15/2014 | 100,000 | 120,558 | ||||||||||||||
Ryder System, Inc. (Road & Rail) | 5.000% | 04/01/2011 | 100,000 | 100,879 | ||||||||||||||
440,224 | ||||||||||||||||||
INFORMATION TECHNOLOGY – 1.8% | ||||||||||||||||||
Fiserv, Inc. (IT Svs.) | 4.625% | 10/01/2020 | 50,000 | 48,658 | ||||||||||||||
Western Union Co. / The (IT Svs.) | 5.400% | 11/17/2011 | 100,000 | 103,980 | ||||||||||||||
Xerox Corp. (Office Electronics) | 5.650% | 05/15/2013 | 100,000 | 108,447 | ||||||||||||||
261,085 | ||||||||||||||||||
MATERIALS – 3.6% | ||||||||||||||||||
Rohm and Haas Co. (Chemicals) | 5.600% | 03/15/2013 | 200,000 | 213,949 | ||||||||||||||
Alcoa, Inc. (Metals & Mining) | 5.720% | 02/23/2019 | 150,000 | 152,374 | ||||||||||||||
AngloGold Ashanti Holdings PLC (Metals & Mining) | 5.375% | 04/15/2020 | 100,000 | 104,190 | ||||||||||||||
Southern Copper Corp. (Metals & Mining) | 5.375% | 04/16/2020 | 50,000 | 50,799 | ||||||||||||||
521,312 | ||||||||||||||||||
UTILITIES – 3.0% | ||||||||||||||||||
Arizona Public Service Co. (Electric Utilities) | 6.375% | 10/15/2011 | 50,000 | 52,079 | ||||||||||||||
Exelon Generation Co. LLC (Electric Utilities) | 5.350% | 01/15/2014 | 100,000 | 108,333 | ||||||||||||||
PPL Energy Supply LLC (Ind. Power Prod. & Energy Traders) | 6.500% | 05/01/2018 | 250,000 | 278,766 | ||||||||||||||
439,178 | ||||||||||||||||||
Total Corporate Bonds (Cost $4,518,571) | $ | 4,794,341 | ||||||||||||||||
U.S. Government Agency Issues – 1.7% | Rate | Maturity | Face Amount | Value | ||||||||||||||
Federal Home Loan Bank | 5.375% | 08/15/2018 | $ | 20,000 | $ | 22,994 | ||||||||||||
Federal Home Loan Bank | 4.500% | 09/16/2013 | 20,000 | 21,853 | ||||||||||||||
Federal National Mortgage Association | 5.500% | 03/15/2011 | 100,000 | 101,055 | ||||||||||||||
Federal National Mortgage Association | 5.250% | 08/01/2012 | 100,000 | 106,871 | ||||||||||||||
Total U.S. Government Agency Issues (Cost $240,478) | $ | 252,773 | ||||||||||||||||
U.S. Treasury Obligations – 6.5% | Rate | Maturity | Face Amount | Value | ||||||||||||||
U.S. Treasury Note | 2.625% | 11/15/2020 | $ | 1,000,000 | $ | 943,438 | ||||||||||||
Total U.S. Treasury Obligations (Cost $961,335) | $ | 943,438 | ||||||||||||||||
Money Market Funds – 3.3% | Shares | Value | ||||||||||||||||
Fidelity Institutional Money Market Funds | ||||||||||||||||||
Money Market Portfolio – Class I | 483,000 | $ | 483,000 | |||||||||||||||
Total Money Market Funds (Cost $483,000) | $ | 483,000 | ||||||||||||||||
Total Investments – 99.5% (Cost $13,229,406) | (d) | $ | 14,427,699 | |||||||||||||||
Other Assets in Excess of Liabilities – 0.5% | 65,247 | |||||||||||||||||
Net Assets – 100.0% | $ | 14,492,946 | ||||||||||||||||
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depositary Receipts
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 December 31, 2010. | |
(c) | Security was initially issued at one coupon rate, but the coupon rate is scheduled to be updated at later specified dates. The coupon rate shown is the rate that is in effect at December 31, 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.
92
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 December 31, 2010
Average Annual Total Returns: | ||||
One year | 7.15% | |||
Five years | 1.61% | |||
Since inception (5/1/04) | 2.76% |
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 year ended December 31, 2010, the Income Opportunity Portfolio returned 7.15% versus 16.38% for the current benchmark, the S&P Composite 1500 Index.
The Portfolio lagged its benchmark, but with significantly less volatility. The entire year was marked by several extreme market swings as ongoing concerns over global economic conditions roiled the U.S. equity market and sent it on a roller coaster ride. Persistent investor anxiety over the high unemployment rate, a possible double dip recession, and the perceived simultaneous threat of potential hyper-inflation and potential spiraling prices resulting in deflation all wreaked havoc on the mindset of investors. Distress in foreign nations exacerbated these domestic economic concerns. In the Eurozone, the risk of sovereign debt defaults, particularly in Greece, sent intermittent shockwaves through global financial markets. This extreme uncertainty translated into the severe market volatility that marked the year.
The Portfolio’s hedging strategy of writing S&P 500 Index call options and buying out-of-the money S&P 500 Index put options dampened the effect of market volatility on the Portfolio during the severe short-term market drops. However, the trade-off, as would be expected, resulted in the reduction of the Portfolio’s relative performance. The other primary factor that contributed to the Portfolio’s relative under-performance was the Portfolio’s composition. ICON’s active industry rotation management style can have a positive or negative impact on the Portfolio’s performance. In 2010, the stocks held in the portfolio under-performed the S&P Composite 1500 Index by about 2.6%.(1)
The Industrials and Consumer Discretionary sectors were the two major contributors to the Portfolio’s positive performance. Both are economically-sensitive sectors. Despite the market volatility, equities rose in 2010 as the economy continued its bumpy recovery. Cyclically oriented sectors such as Industrials and Consumer Discretionary were among the leaders as the broad based equity rally took all sectors higher. Positions in the Health Care and Utilities sectors were among the lowest contributors to performance. While adding to the Portfolio’s positive return for the year, they did not keep pace with the economically-sensitive sectors. Defensive-oriented sectors, while all positive, significantly lagged the broad market over the year.(1)
At the industry level, major contributors to the Portfolio’s performance were integrated oil & gas, construction & farm machinery, railroads, industrial machinery, and general merchandise stores. Just as was the case at the sector level, cyclically-oriented industries led the market higher over the year. Among industry detractors from the Portfolio’s performance were home improvement retail, other diversified financial services diversified capital markets, pharmaceuticals, and commodity chemicals. Despite its cyclical orientation it appears in hindsight that the home improvement retail industry was weighed down by ongoing weakness in the housing market.(1)
Drilling down to the individual stock level, the five top contributors to the Portfolio’s performance were Apple, Inc., Caterpillar, Inc., Union Pacific Corp., ConocoPhillips, and Altria Group, Inc. The top five detractors from the Portfolio’s performance were Bank of America Corp., Hewlett-Packard Co., Lowe’s Cos., Home Depot, Inc., and Google, Inc.(1)
On an absolute return basis, the top five performers were Vale S.A.-ADR, Eaton Corp., Time Warner Cable, Inc., Parker Hannifin Corp., and AutoZone, Inc. The bottom five performers were Bank of America Corp., Covance, Inc., Calgon Carbon Corp., Con-Way Inc., and Best Buy Co.(1)
Headed into 2011, our market value-to-price ratio of 1.06 indicates that there is still room for a continuation of the rally that began in March of 2009. The theme of this rally has been the leadership among economically-sensitive sectors. With interest rates on U.S. Treasuries still hovering at historically low levels, corporate earnings continuing to show strength, and the Federal Reserve remaining supportive to economic growth, we believe the cyclically-oriented sectors should continue to lead the market advance.
We are maintaining the Portfolio’s significant overweight position relative to the benchmark in the Industrials sector, as well as an overweight position in the Materials sector headed into the new calendar year. That said, with the market value-to-price ratio down to 1.06, we do not discount the possibility of lower equity returns relative to the past two years. So, while we remain bullish based on the market’s current valuation, the huge market rally we have experienced over about the past two years could be at a maturing stage. Thus, we enter the year with a more significant options hedge than we have had since the bull market began.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2010. |
(continued)
93
Ohio National Fund, Inc. | Income Opportunity Portfolio (Continued) |
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 | ||||||
12/31/2010 | 11990 | 13419 |
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.
Portfolio Composition as of December 31, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 103.6 | ||
Written Options Outstanding | (3.0) | ||
Purchased Options | 0.1 | ||
Money Market Funds Less Net Liabilities | (0.7) | ||
100.0 | |||
Top 10 Portfolio Holdings as of December 31, 2010 (1) (2)
% of Net Assets | |||||||
1. | Apple, Inc. | 3.3 | |||||
2. | International Business Machines Corp. | 2.9 | |||||
3. | Microsoft Corp. | 2.4 | |||||
4. | Chevron Corp. | 2.3 | |||||
5. | AT&T, Inc. | 2.3 | |||||
6. | Wells Fargo & Co. | 2.2 | |||||
7. | ConocoPhillips | 2.1 | |||||
8. | PepsiCo, Inc. | 2.0 | |||||
9. | Intel Corp. | 1.9 | |||||
10. | CSX Corp. | 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 | |||
Industrials | 19.5 | ||
Information Technology | 17.8 | ||
Financials | 14.1 | ||
Consumer Discretionary | 14.1 | ||
Consumer Staples | 10.0 | ||
Energy | 9.6 | ||
Materials | 5.0 | ||
Utilities | 5.0 | ||
Health Care | 4.3 | ||
Telecommunication Services | 4.2 | ||
103.6 | |||
94
Ohio National Fund, Inc. | Income Opportunity Portfolio |
Schedule of Investments | December 31, 2010 |
Common Stocks – 103.6% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 14.1% | ||||||||||
Genuine Parts Co. (Distributors) | 1,300 | $ | 66,742 | |||||||
Darden Restaurants, Inc. (Hotels, Restaurants & Leisure) | 1,400 | 65,016 | ||||||||
McDonald’s Corp. (Hotels, Restaurants & Leisure) | (b) | 1,700 | 130,492 | |||||||
DIRECTV Class A (Media) | (a) | 1,600 | 63,888 | |||||||
Time Warner Cable, Inc. (Media) | (b) | 1,800 | 118,854 | |||||||
Time Warner, Inc. (Media) | 1,900 | 61,123 | ||||||||
Viacom, Inc. Class B (Media) | 2,200 | 87,142 | ||||||||
Walt Disney Co. / The (Media) | (b) | 3,700 | 138,787 | |||||||
Dollar Tree, Inc. (Multiline Retail) | (a)(b) | 900 | 50,472 | |||||||
Family Dollar Stores, Inc. (Multiline Retail) | (b) | 1,500 | 74,565 | |||||||
Target Corp. (Multiline Retail) | (b) | 1,800 | 108,234 | |||||||
AutoZone, Inc. (Specialty Retail) | (a)(b) | 400 | 109,036 | |||||||
Guess?, Inc. (Specialty Retail) | 1,400 | 66,248 | ||||||||
Jos. A Bank Clothiers, Inc. (Specialty Retail) | (a)(b) | 950 | 38,304 | |||||||
O’Reilly Automotive, Inc. (Specialty Retail) | (a) | 400 | 24,168 | |||||||
Ross Stores, Inc. (Specialty Retail) | 700 | 44,275 | ||||||||
TJX Cos., Inc. (Specialty Retail) | (b) | 1,700 | 75,463 | |||||||
Wolverine World Wide, Inc. (Textiles, Apparel & Luxury Goods) | 1,200 | 38,256 | ||||||||
1,361,065 | ||||||||||
CONSUMER STAPLES – 10.0% | ||||||||||
Constellation Brands, Inc. Class A (Beverages) | (a) | 2,000 | 44,300 | |||||||
PepsiCo, Inc. (Beverages) | (b) | 2,892 | 188,934 | |||||||
Sysco Corp. (Food & Staples Retailing) | (b) | 2,300 | 67,620 | |||||||
Wal-Mart Stores, Inc. (Food & Staples Retailing) | 2,300 | 124,039 | ||||||||
Archer-Daniels-Midland Co. (Food Products) | 2,700 | 81,216 | ||||||||
Bunge Ltd. (Food Products) | 600 | 39,312 | ||||||||
Campbell Soup Co. (Food Products) | (b) | 3,300 | 114,675 | |||||||
ConAgra Foods, Inc. (Food Products) | (b) | 3,100 | 69,998 | |||||||
Clorox Co. (Household Products) | 800 | 50,624 | ||||||||
Kimberly-Clark Corp. (Household Products) | 800 | 50,432 | ||||||||
Altria Group, Inc. (Tobacco) | (b) | 3,600 | 88,632 | |||||||
Reynolds American, Inc. (Tobacco) | 1,400 | 45,668 | ||||||||
965,450 | ||||||||||
ENERGY – 9.6% | ||||||||||
Halliburton Co. (Energy Equip. & Svs.) | 2,000 | 81,660 | ||||||||
Tidewater, Inc. (Energy Equip. & Svs.) | 1,000 | 53,840 | ||||||||
Alliance Resource Partners LP (Oil, Gas & Consumable Fuels) | 600 | 39,456 | ||||||||
Chevron Corp. (Oil, Gas & Consumable Fuels) | (b) | 2,400 | 219,000 | |||||||
China Petroleum & Chemical Corp. – ADR (Oil, Gas & Consumable Fuels) | 500 | 47,845 | ||||||||
ConocoPhillips (Oil, Gas & Consumable Fuels) | (b) | 3,000 | 204,300 | |||||||
Murphy Oil Corp. (Oil, Gas & Consumable Fuels) | 600 | 44,730 | ||||||||
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | (b) | 1,300 | 127,530 | |||||||
Royal Dutch Shell PLC – ADR (Oil, Gas & Consumable Fuels) | 700 | 46,746 | ||||||||
Southern Union Co. (Oil, Gas & Consumable Fuels) | 1,200 | 28,884 | ||||||||
TransCanada Corp. (Oil, Gas & Consumable Fuels) | 800 | 30,432 | ||||||||
924,423 | ||||||||||
FINANCIALS – 14.1% | ||||||||||
Ameriprise Financial, Inc. (Capital Markets) | (b) | 500 | 28,775 | |||||||
Bank of New York Mellon Corp. / The (Capital Markets) | 2,100 | 63,420 | ||||||||
Goldman Sachs Group, Inc. / The (Capital Markets) | 900 | 151,344 | ||||||||
U.S. Bancorp (Commercial Banks) | (b) | 2,900 | 78,213 | |||||||
Wells Fargo & Co. (Commercial Banks) | (b) | 7,000 | 216,930 | |||||||
American Express Co. (Consumer Finance) | 1,400 | 60,088 | ||||||||
Ezcorp, Inc. Class A (Consumer Finance) | (a)(b) | 2,900 | 78,677 | |||||||
NASDAQ OMX Group, Inc. / The (Diversified Financial Svs.) | (a) | 1,400 | 33,194 | |||||||
Allstate Corp. / The (Insurance) | (b) | 2,200 | 70,136 | |||||||
American Financial Group, Inc. (Insurance) | 1,300 | 41,977 | ||||||||
Assurant, Inc. (Insurance) | 1,100 | 42,372 | ||||||||
Delphi Financial Group, Inc. Class A (Insurance) | (b) | 1,500 | 43,260 | |||||||
Horace Mann Educators Corp. (Insurance) | (b) | 4,600 | 82,984 | |||||||
Loews Corp. (Insurance) | 2,000 | 77,820 | ||||||||
Progressive Corp. / The (Insurance) | 1,300 | 25,831 | ||||||||
Prudential Financial, Inc. (Insurance) | (b) | 1,800 | 105,678 | |||||||
Torchmark Corp. (Insurance) | (b) | 1,300 | 77,662 | |||||||
Travelers Cos., Inc. / The (Insurance) | (b) | 600 | 33,426 | |||||||
Annaly Capital Management, Inc. (Real Estate Investment Trusts) | 1,600 | 28,672 | ||||||||
Anworth Mortgage Asset Corp. (Real Estate Investment Trusts) | 3,800 | 26,600 | ||||||||
1,367,059 | ||||||||||
HEALTH CARE – 4.3% | ||||||||||
Varian Medical Systems, Inc. (Health Care Equip. & Supplies) | (a)(b) | 1,100 | 76,208 | |||||||
Aetna, Inc. (Health Care Providers & Svs.) | (b) | 800 | 24,408 | |||||||
AmerisourceBergen Corp. (Health Care Providers & Svs.) | (b) | 900 | 30,708 | |||||||
Cardinal Health, Inc. (Health Care Providers & Svs.) | (b) | 900 | 34,479 | |||||||
Express Scripts, Inc. (Health Care Providers & Svs.) | (a)(b) | 600 | 32,430 | |||||||
Bristol-Myers Squibb Co. (Pharmaceuticals) | 2,700 | 71,496 | ||||||||
Eli Lilly & Co. (Pharmaceuticals) | (b) | 2,300 | 80,592 | |||||||
Medicis Pharmaceutical Corp. Class A (Pharmaceuticals) | 800 | 21,432 | ||||||||
Merck & Co., Inc. (Pharmaceuticals) | 1,300 | 46,852 | ||||||||
418,605 | ||||||||||
INDUSTRIALS – 19.5% | ||||||||||
General Dynamics Corp. (Aerospace & Defense) | 500 | 35,480 | ||||||||
Honeywell International, Inc. (Aerospace & Defense) | 800 | 42,528 | ||||||||
Northrop Grumman Corp. (Aerospace & Defense) | (b) | 1,400 | 90,692 | |||||||
Raytheon Co. (Aerospace & Defense) | 1,300 | 60,242 | ||||||||
United Technologies Corp. (Aerospace & Defense) | (b) | 1,400 | 110,208 | |||||||
United Parcel Service, Inc. Class B (Air Freight & Logistics) | (b) | 1,200 | 87,096 | |||||||
Alaska Air Group, Inc. (Airlines) | (a) | 1,500 | 85,035 | |||||||
Delta Air Lines, Inc. (Airlines) | (a) | 4,200 | 52,920 | |||||||
AMETEK, Inc. (Electrical Equip.) | 1,050 | 41,213 | ||||||||
Cooper Industries PLC (Electrical Equip.) | 1,800 | 104,922 | ||||||||
Thomas & Betts Corp. (Electrical Equip.) | (a)(b) | 600 | 28,980 | |||||||
3M Co. (Industrial Conglomerates) | (b) | 2,000 | 172,600 | |||||||
General Electric Co. (Industrial Conglomerates) | (b) | 4,200 | 76,818 | |||||||
Siemens AG – ADR (Industrial Conglomerates) | (b) | 300 | 37,275 | |||||||
Barnes Group, Inc. (Machinery) | 2,400 | 49,608 | ||||||||
Caterpillar, Inc. (Machinery) | (b) | 1,700 | 159,222 | |||||||
Deere & Co. (Machinery) | 800 | 66,440 | ||||||||
Dover Corp. (Machinery) | 700 | 40,915 | ||||||||
Eaton Corp. (Machinery) | (b) | 500 | 50,755 | |||||||
Ingersoll-Rand PLC (Machinery) | 1,100 | 51,799 | ||||||||
Parker Hannifin Corp. (Machinery) | 400 | 34,520 | ||||||||
CSX Corp. (Road & Rail) | (b) | 2,700 | 174,447 | |||||||
Union Pacific Corp. (Road & Rail) | (b) | 1,700 | 157,522 | |||||||
W.W. Grainger, Inc. (Trading Companies & Distributors) | (b) | 500 | 69,055 | |||||||
1,880,292 | ||||||||||
INFORMATION TECHNOLOGY – 17.8% | ||||||||||
Cisco Systems, Inc. (Communications Equip.) | (a) | 2,200 | 44,506 | |||||||
Harris Corp. (Communications Equip.) | 1,400 | 63,420 | ||||||||
Apple, Inc. (Computers & Peripherals) | (a)(b) | 1,000 | 322,560 | |||||||
EMC Corp. (Computers & Peripherals) | (a) | 2,700 | 61,830 |
(continued)
95
Ohio National Fund, Inc. | Income Opportunity Portfolio (Continued) |
Schedule of Investments | December 31, 2010 |
Common Stocks (Continued) | Shares | Value | ||||||||
INFORMATION TECHNOLOGY (continued) | ||||||||||
Hewlett-Packard Co. (Computers & Peripherals) | (b) | 1,800 | $ | 75,780 | ||||||
Accenture PLC Class A (IT Svs.) | 2,100 | 101,829 | ||||||||
Automatic Data Processing, Inc. (IT Svs.) | 2,400 | 111,072 | ||||||||
Cognizant Technology Solutions Corp. Class A (IT Svs.) | (a) | 500 | 36,645 | |||||||
International Business Machines Corp. (IT Svs.) | 1,900 | 278,844 | ||||||||
Altera Corp. (Semiconductors & Equip.) | 2,500 | 88,950 | ||||||||
Intel Corp. (Semiconductors & Equip.) | (b) | 8,900 | 187,167 | |||||||
Texas Instruments, Inc. (Semiconductors & Equip.) | 2,400 | 78,000 | ||||||||
Intuit, Inc. (Software) | (a) | 600 | 29,580 | |||||||
Microsoft Corp. (Software) | (b) | 8,400 | 234,528 | |||||||
1,714,711 | ||||||||||
MATERIALS – 5.0% | ||||||||||
Ashland, Inc. (Chemicals) | 800 | 40,688 | ||||||||
Lubrizol Corp. (Chemicals) | (b) | 700 | 74,816 | |||||||
Olin Corp. (Chemicals) | (b) | 3,800 | 77,976 | |||||||
Barrick Gold Corp. (Metals & Mining) | 600 | 31,908 | ||||||||
BHP Billiton Ltd. – ADR (Metals & Mining) | 400 | 37,168 | ||||||||
Freeport-McMoRan Copper & Gold, Inc. (Metals & Mining) | (b) | 700 | 84,063 | |||||||
Newmont Mining Corp. (Metals & Mining) | (b) | 400 | 24,572 | |||||||
Nucor Corp. (Metals & Mining) | (b) | 900 | 39,438 | |||||||
Steel Dynamics, Inc. (Metals & Mining) | (b) | 1,600 | 29,280 | |||||||
Vale SA – ADR (Metals & Mining) | 1,200 | 41,484 | ||||||||
481,393 | ||||||||||
TELECOMMUNICATION SERVICES – 4.2% | ||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | (b) | 7,400 | 217,412 | |||||||
Verizon Communications, Inc. (Diversified Telecom. Svs.) | (b) | 3,500 | 125,230 | |||||||
America Movil SAB de CV – ADR (Wireless Telecom. Svs.) | 1,200 | 68,808 | ||||||||
411,450 | ||||||||||
UTILITIES – 5.0% | ||||||||||
American Electric Power Co., Inc. (Electric Utilities) | (b) | 1,800 | 64,764 | |||||||
Entergy Corp. (Electric Utilities) | 600 | 42,498 | ||||||||
FirstEnergy Corp. (Electric Utilities) | 1,900 | 70,338 | ||||||||
Southern Co. (Electric Utilities) | (b) | 2,300 | 87,929 | |||||||
AGL Resources, Inc. (Gas Utilities) | (b) | 2,100 | 75,285 | |||||||
Wisconsin Energy Corp. (Multi-Utilities) | (b) | 1,400 | 82,404 | |||||||
Xcel Energy, Inc. (Multi-Utilities) | 2,400 | 56,520 | ||||||||
479,738 | ||||||||||
Total Common Stocks (Cost $8,574,928) | $ | 10,004,186 | ||||||||
Purchased Options – 0.1% | (c) | Contracts | Value | |||||||
S&P 500 Index Put Option Expiration: January 2011, Exercise Price: $1,080.00 | 90 | $ | 4,950 | |||||||
Total Purchased Options (Cost $24,903) | $ | 4,950 | ||||||||
Money Market Funds – 1.3% | Shares | Value | ||||||||
Fidelity Institutional Money Market Funds | ||||||||||
Money Market Portfolio – Class I | 124,000 | $ | 124,000 | |||||||
Total Money Market Funds (Cost $124,000) | $ | 124,000 | ||||||||
Total Investments – 105.0% (Cost $8,723,831) | (d) | $ | 10,133,136 | |||||||
Total Written Options Outstanding – (3.0)% (see following schedule) | (295,280 | ) | ||||||||
Liabilities in Excess of Other Assets – (2.0)% | (189,622 | ) | ||||||||
Net Assets – 100.0% | $ | 9,648,234 | ||||||||
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depositary 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 Financial Statements. |
The accompanying notes are an integral part of these financial statements.
96
Ohio National Fund, Inc. | Income Opportunity Portfolio |
Schedule of Written Options Outstanding | December 31, 2010 |
Contracts* | Value | |||||||
S&P 500 Index Call Option | ||||||||
Expiration: January 2011, Exercise Price: $1,205.00 | 13 | $ | 77,870 | |||||
S&P 500 Index Call Option | ||||||||
Expiration: January 2011, | ||||||||
Exercise Price: $1,240.00 | 6 | 17,160 | ||||||
S&P 500 Index Call Option | ||||||||
Expiration: January 2011, | ||||||||
Exercise Price: $1,220.00 | 45 | 200,250 | ||||||
Total Written Options Outstanding (Premiums received $190,784) | 64 | $ | 295,280 | |||||
* 100 shares per contract.
The accompanying notes are an integral part of these financial statements.
97
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 December 31, 2010
Average Annual Total Returns: | ||||
One year | 19.47% | |||
Five years | -1.14% | |||
Since inception (11/2/05) | -.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 year ended December 31, 2010, the Target VIP Portfolio returned 19.47% versus 16.93% for the current benchmark, the Russell 3000 Index.
U.S. equities backed up their stellar 2009 with another strong year in 2010 as corporate America posted solid earnings growth and economic data pointed toward improving conditions. When taking a step back, however, the year was not without its share of uncertainty. The best way to review the year is to divide it into three distinct segments.
Stocks got off to a sluggish start in January before moving higher amid strong earnings results and prospects of an improving economy. As first quarter earnings season progressed, it became apparent that corporate America was benefiting not only from strict cost controls (resulting in strong margins), but also improving top line results. The March jobs report, which showed the largest monthly job gains in three years, further boosted equities. Through the end of April, the S&P 500 Index gained 7.0% while the small cap Russell 2000 Index rose 15.0%.
The balance of the second quarter saw a reversal that sent the major stock market averages into negative territory for the year. Fear of contagion in Europe spooked global markets, as Greece required a bailout and questions about the long-term viability of the Euro forced investors to take money (and risk) off the table. Greece was not the only trouble spot as Portugal, Ireland and Spain (the quartet somewhat derisively known as “the PIGS”) were also brought in to the picture. In fact, Ireland would require a bailout of its own in the fourth quarter. Stateside, continued sluggishness on the employment front following the March jobs report, along with stalled retail sales growth and major health care and financial legislation held back share prices. From April 30 to June 30, the S&P 500 Index lost 12.8% while the Russell 2000 Index shed 14.7%.
The remainder of the year saw stocks rally and small caps outperform large caps by a healthy margin. The Russell 2000 Index gained 29.3% over the balance of the year. Large caps also performed well returning 23.2% as measured by the S&P 500 Index. The rally into year end was fed by several factors. Sovereign debt fears in Europe, while still very much a concern, subsided as investors determined likely outcomes were already factored into economic growth forecasts and equity prices. The passage of health care and financial reforms, while largely viewed as detrimental to industry profits, removed two lingering unknowns that allowed investors to more accurately gauge long-term impacts. A Republican takeover of the House of Representatives and substantial gains in the Senate during the November mid-term elections brought prospects of a more business friendly Washington. Finally, the Federal Reserve’s “QE2” asset purchases and a temporary extension of the Bush era tax cuts provided investors more reason to add risk back to their portfolios and equities were bid higher.
The end result was a very solid year for equities which saw the major market averages take back the levels last seen prior to the collapse of Lehman Brothers in the fall of 2008. While many remained skeptical, economic data continued to point toward improving conditions throughout the year. Economically-sensitive sectors such as Consumer Discretionary and Industrials led the rally, while the more defensive Utilities and Health Care sectors lagged. Growth stocks outperformed value for the year as investors favored higher growth names, although value outperformed growth at the end of the year.
The Portfolio outperformed the Russell 3000 Index in 2010. The top performing stocks were the following: Netflix, Inc., up 218.9%; Deckers Outdoor Corp., up 135.2%; Baidu, Inc., up 134.7%; Baldor Electric Co., up 126.8%; Chart Industries, Inc., up 104.5%; WESCO International, Inc., up 95.5%; priceline.com, Inc., up 82.9%; Syniverse Holdings, Inc., up 76.5%; Middleby Corp., up 72.2%; and Herbalife Ltd., up 70.7%.(1)
Stock selection in Information Technology, Industrials, and Consumer Discretionary sectors was the main contributor to relative out-performance during the year. Consumer Staples also added to relative performance, primarily due to selection. Energy holdings in the Portfolio underperformed the benchmark on a relative basis, however. An underweight position in the sector also detracted from Portfolio performance during the year.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2010. |
(continued)
98
Ohio National Fund, Inc. | Target VIP Portfolio (Continued) |
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 | ||||||
12/31/2010 | 9575 | 11809 |
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 December 31, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 98.2 | ||
Money Market Funds and Other Net Assets | 1.8 | ||
100.0 | |||
Top 10 Portfolio Holdings as of December 31, 2010 (1) (2)
% of Net Assets | |||||||
1. | Cognizant Technology Solutions Corp. Class A | 4.5 | |||||
2. | priceline.com, Inc. | 4.2 | |||||
3. | Infosys Technologies Ltd. – ADR | 3.7 | |||||
4. | Microsoft Corp. | 3.3 | |||||
5. | Travelers Cos., Inc. / The | 3.2 | |||||
6. | International Business Machines Corp. | 3.2 | |||||
7. | Procter & Gamble Co. / The | 3.0 | |||||
8. | AT&T, Inc. | 3.0 | |||||
9. | Wal-Mart Stores, Inc. | 2.9 | |||||
10. | Merck & Co., 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 | |||
Information Technology | 20.6 | ||
Consumer Discretionary | 17.7 | ||
Health Care | 13.3 | ||
Consumer Staples | 11.1 | ||
Telecommunication Services | 10.7 | ||
Industrials | 7.6 | ||
Energy | 7.5 | ||
Financials | 6.6 | ||
Utilities | 2.5 | ||
Materials | 0.6 | ||
98.2 | |||
99
Ohio National Fund, Inc. | Target VIP Portfolio |
Schedule of Investments | December 31, 2010 |
Common Stocks – 98.2% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 17.7% | ||||||||||
Fuel Systems Solutions, Inc. (Auto Components) | (a) | 751 | $ | 22,064 | ||||||
Lincoln Educational Services Corp. (Diversified Consumer Svs.) | 2,520 | 39,085 | ||||||||
Bob Evans Farms, Inc. (Hotels, Restaurants & Leisure) | 3,058 | 100,792 | ||||||||
California Pizza Kitchen, Inc. (Hotels, Restaurants & Leisure) | (a) | 2,408 | 41,610 | |||||||
Peet’s Coffee & Tea, Inc. (Hotels, Restaurants & Leisure) | (a) | 1,278 | 53,344 | |||||||
Texas Roadhouse, Inc. (Hotels, Restaurants & Leisure) | (a) | 6,987 | 119,967 | |||||||
Garmin Ltd. (Household Durables) | 3,731 | 115,624 | ||||||||
Tupperware Brands Corp. (Household Durables) | 2,212 | 105,446 | ||||||||
NetFlix, Inc. (Internet & Catalog Retail) | (a) | 1,960 | 344,372 | |||||||
priceline.com, Inc. (Internet & Catalog Retail) | (a) | 2,281 | 911,374 | |||||||
DISH Network Corp. Class A (Media) | (a) | 3,908 | 76,831 | |||||||
Virgin Media, Inc. (Media) | 6,258 | 170,468 | ||||||||
Big 5 Sporting Goods Corp. (Specialty Retail) | 1,820 | 27,791 | ||||||||
Dress Barn, Inc. / The (Specialty Retail) | (a) | 2,553 | 67,450 | |||||||
DSW, Inc. Class A (Specialty Retail) | (a) | 1,190 | 46,529 | |||||||
Genesco, Inc. (Specialty Retail) | (a) | 2,286 | 85,702 | |||||||
Guess?, Inc. (Specialty Retail) | 3,233 | 152,986 | ||||||||
Hibbett Sports, Inc. (Specialty Retail) | (a) | 2,798 | 103,246 | |||||||
J. Crew Group, Inc. (Specialty Retail) | (a) | 2,249 | 97,022 | |||||||
Jo-Ann Stores, Inc. (Specialty Retail) | (a) | 937 | 56,426 | |||||||
Jos. A Bank Clothiers, Inc. (Specialty Retail) | (a) | 2,662 | 107,332 | |||||||
Men’s Wearhouse, Inc. / The (Specialty Retail) | 5,165 | 129,022 | ||||||||
TJX Cos., Inc. (Specialty Retail) | 3,717 | 164,998 | ||||||||
Urban Outfitters, Inc. (Specialty Retail) | (a) | 9,100 | 325,871 | |||||||
Coach, Inc. (Textiles, Apparel & Luxury Goods) | 2,815 | 155,698 | ||||||||
Culp, Inc. (Textiles, Apparel & Luxury Goods) | (a) | 3,232 | 33,484 | |||||||
Deckers Outdoor Corp. (Textiles, Apparel & Luxury Goods) | (a) | 1,296 | 103,343 | |||||||
Steven Madden Ltd. (Textiles, Apparel & Luxury Goods) | (a) | 1,142 | 47,644 | |||||||
True Religion Apparel, Inc. (Textiles, Apparel & Luxury Goods) | (a) | 2,449 | 54,515 | |||||||
3,860,036 | ||||||||||
CONSUMER STAPLES – 11.1% | ||||||||||
United Natural Foods, Inc. (Food & Staples Retailing) | (a) | 4,134 | 151,635 | |||||||
Wal-Mart Stores, Inc. (Food & Staples Retailing) | 11,708 | 631,412 | ||||||||
Mead Johnson Nutrition Co. (Food Products) | 743 | 46,252 | ||||||||
TreeHouse Foods, Inc. (Food Products) | (a) | 3,164 | 161,649 | |||||||
Procter & Gamble Co. / The (Household Products) | 10,359 | 666,394 | ||||||||
Herbalife Ltd. (Personal Products) | 2,133 | 145,833 | ||||||||
Nu Skin Enterprises, Inc. (Personal Products) | 2,196 | 66,451 | ||||||||
Lorillard, Inc. (Tobacco) | 577 | 47,349 | ||||||||
Philip Morris International, Inc. (Tobacco) | 6,881 | 402,745 | ||||||||
Universal Corp. (Tobacco) | 2,462 | 100,203 | ||||||||
2,419,923 | ||||||||||
ENERGY – 7.5% | ||||||||||
FMC Technologies, Inc. (Energy Equip. & Svs.) | (a) | 1,223 | 108,737 | |||||||
Hornbeck Offshore Services, Inc. (Energy Equip. & Svs.) | (a) | 2,516 | 52,534 | |||||||
National Oilwell Varco, Inc. (Energy Equip. & Svs.) | 4,183 | 281,307 | ||||||||
BP PLC – ADR (Oil, Gas & Consumable Fuels) | 4,555 | 201,194 | ||||||||
ENI SpA – ADR (Oil, Gas & Consumable Fuels) | 5,190 | 227,011 | ||||||||
Peabody Energy Corp. (Oil, Gas & Consumable Fuels) | 2,670 | 170,827 | ||||||||
QEP Resources, Inc. (Oil, Gas & Consumable Fuels) | 567 | 20,588 | ||||||||
Repsol YPF SA – ADR (Oil, Gas & Consumable Fuels) | 9,829 | 274,622 | ||||||||
Royal Dutch Shell PLC – ADR (Oil, Gas & Consumable Fuels) | 4,366 | 291,561 | ||||||||
1,628,381 | ||||||||||
FINANCIALS – 6.6% | ||||||||||
Franklin Resources, Inc. (Capital Markets) | 2,490 | 276,913 | ||||||||
GFI Group, Inc. (Capital Markets) | 11,854 | 55,595 | ||||||||
T. Rowe Price Group, Inc. (Capital Markets) | 2,774 | 179,034 | ||||||||
Banco Santander SA – ADR (Commercial Banks) | 15,957 | 169,942 | ||||||||
Travelers Cos., Inc. / The (Insurance) | 12,649 | 704,676 | ||||||||
Plum Creek Timber Co., Inc. (Real Estate Investment Trusts) | 1,764 | 66,062 | ||||||||
1,452,222 | ||||||||||
HEALTH CARE – 13.3% | ||||||||||
Abaxis, Inc. (Health Care Equip. & Supplies) | (a) | 2,112 | 56,707 | |||||||
Baxter International, Inc. (Health Care Equip. & Supplies) | 4,160 | 210,579 | ||||||||
Intuitive Surgical, Inc. (Health Care Equip. & Supplies) | (a) | 2,059 | 530,707 | |||||||
Stryker Corp. (Health Care Equip. & Supplies) | 2,743 | 147,299 | ||||||||
Zoll Medical Corp. (Health Care Equip. & Supplies) | (a) | 2,117 | 78,816 | |||||||
HMS Holdings Corp. (Health Care Providers & Svs.) | (a) | 2,538 | 164,386 | |||||||
Kindred Healthcare, Inc. (Health Care Providers & Svs.) | (a) | 3,862 | 70,945 | |||||||
Cerner Corp. (Health Care Technology) | (a) | 1,537 | 145,615 | |||||||
Computer Programs & Systems, Inc. (Health Care Technology) | 1,063 | 49,791 | ||||||||
MedAssets, Inc. (Health Care Technology) | (a) | 5,511 | 111,267 | |||||||
Dionex Corp. (Life Sciences Tools & Svs.) | (a) | 1,714 | 202,269 | |||||||
Parexel International Corp. (Life Sciences Tools & Svs.) | (a) | 5,651 | 119,971 | |||||||
Waters Corp. (Life Sciences Tools & Svs.) | (a) | 649 | 50,434 | |||||||
GlaxoSmithKline PLC – ADR (Pharmaceuticals) | 6,231 | 244,380 | ||||||||
Merck & Co., Inc. (Pharmaceuticals) | 17,154 | 618,230 | ||||||||
Warner Chilcott PLC Class A (Pharmaceuticals) | 4,705 | 106,145 | ||||||||
2,907,541 | ||||||||||
INDUSTRIALS – 7.6% | ||||||||||
GeoEye, Inc. (Aerospace & Defense) | (a) | 1,850 | 78,421 | |||||||
National Presto Industries, Inc. (Aerospace & Defense) | 669 | 86,977 | ||||||||
United Technologies Corp. (Aerospace & Defense) | 4,262 | 335,505 | ||||||||
EnergySolutions, Inc. (Commercial Svs. & Supplies) | 8,638 | 48,114 | ||||||||
Foster Wheeler AG (Construction & Engineering) | (a) | 1,058 | 36,522 | |||||||
Baldor Electric Co. (Electrical Equip.) | 4,525 | 285,256 | ||||||||
Chart Industries, Inc. (Machinery) | (a) | 2,802 | 94,652 | |||||||
Flowserve Corp. (Machinery) | 257 | 30,640 | ||||||||
Joy Global, Inc. (Machinery) | 1,922 | 166,733 | ||||||||
Middleby Corp. (Machinery) | (a) | 1,785 | 150,690 | |||||||
Robbins & Myers, Inc. (Machinery) | 3,254 | 116,428 | ||||||||
Dun & Bradstreet Corp. (Professional Svs.) | 236 | 19,373 | ||||||||
WESCO International, Inc. (Trading Companies & Distributors) | (a) | 4,171 | 220,229 | |||||||
1,669,540 | ||||||||||
INFORMATION TECHNOLOGY – 20.6% | ||||||||||
Western Digital Corp. (Computers & Peripherals) | (a) | 7,762 | 263,132 | |||||||
Amphenol Corp. Class A (Electronic Equip., Instr. & Comp.) | 617 | 32,565 | ||||||||
Scansource, Inc. (Electronic Equip., Instr. & Comp.) | (a) | 2,569 | 81,951 | |||||||
Baidu, Inc. – ADR (Internet Software & Svs.) | (a) | 4,951 | 477,920 | |||||||
Cognizant Technology Solutions Corp. Class A (IT Svs.) | (a) | 13,272 | 972,705 | |||||||
Infosys Technologies Ltd. – ADR (IT Svs.) | 10,757 | 818,393 | ||||||||
International Business Machines Corp. (IT Svs.) | 4,782 | 701,806 | ||||||||
Teradata Corp. (IT Svs.) | (a) | 624 | 25,684 | |||||||
Unisys Corp. (IT Svs.) | (a) | 1,499 | 38,809 | |||||||
Wright Express Corp. (IT Svs.) | (a) | 1,329 | 61,134 | |||||||
Lawson Software, Inc. (Software) | (a) | 15,765 | 145,826 | |||||||
Microsoft Corp. (Software) | 25,657 | 716,343 | ||||||||
Progress Software Corp. (Software) | (a) | 3,846 | 162,763 | |||||||
4,499,031 | ||||||||||
(continued)
100
Ohio National Fund, Inc. | Target VIP Portfolio (Continued) |
Schedule of Investments | December 31, 2010 |
Common Stocks (Continued) | Shares | Value | ||||||||
MATERIALS – 0.6% | ||||||||||
Koppers Holdings, Inc. (Chemicals) | 1,968 | $ | 70,415 | |||||||
NewMarket Corp. (Chemicals) | 530 | 65,386 | ||||||||
135,801 | ||||||||||
TELECOMMUNICATION SERVICES – 10.7% | ||||||||||
AT&T, Inc. (Diversified Telecom. Svs.) | 22,449 | 659,552 | ||||||||
Cogent Communications Group, Inc. (Diversified Telecom. Svs.) | (a) | 4,380 | 61,933 | |||||||
Deutsche Telekom AG – ADR (Diversified Telecom. Svs.) | 17,897 | 229,082 | ||||||||
France Telecom SA – ADR (Diversified Telecom. Svs.) | 10,389 | 219,000 | ||||||||
Neutral Tandem, Inc. (Diversified Telecom. Svs.) | (a) | 3,281 | 47,378 | |||||||
Telefonica SA – ADR (Diversified Telecom. Svs.) | 3,153 | 215,728 | ||||||||
NII Holdings, Inc. (Wireless Telecom. Svs.) | (a) | 8,896 | 397,295 | |||||||
Syniverse Holdings, Inc. (Wireless Telecom. Svs.) | (a) | 6,762 | 208,608 | |||||||
Vodafone Group PLC – ADR (Wireless Telecom. Svs.) | 11,466 | 303,046 | ||||||||
2,341,622 | ||||||||||
UTILITIES – 2.5% | ||||||||||
Questar Corp. (Gas Utilities) | 566 | 9,854 | ||||||||
National Grid PLC – ADR (Multi-Utilities) | 4,867 | 215,997 | ||||||||
Public Service Enterprise Group, Inc. (Multi-Utilities) | 1,612 | 51,278 | ||||||||
Sempra Energy (Multi-Utilities) | 786 | 41,249 | ||||||||
Veolia Environnement SA – ADR (Multi-Utilities) | 7,951 | 233,441 | ||||||||
551,819 | ||||||||||
Total Common Stocks (Cost $18,292,425) | $ | 21,465,916 | ||||||||
Money Market Funds – 1.5% | Shares | Value | ||||||||
Fidelity Institutional Money Market Funds | ||||||||||
Money Market Portfolio – Class I | 327,000 | $ | 327,000 | |||||||
Total Money Market Funds (Cost $327,000) | $ | 327,000 | ||||||||
Total Investments – 99.7% (Cost $18,619,425) | (b) | $ | 21,792,916 | |||||||
Other Assets in Excess of Liabilities – 0.3% | 63,339 | |||||||||
Net Assets – 100.0% | $ | 21,856,255 | ||||||||
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depositary Receipts
Footnotes:
(a) | Non-income producing security. | |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
101
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 December 31, 2010
Average Annual Total Returns: | ||||
One year | 23.23% | |||
Five years | -1.69% | |||
Since inception (11/2/05) | -1.39% |
Past performance does not guarantee future results. The performance data quoted represents past performance and current returns may be lower or higher. Total return figures include change in share price and reinvestment of dividends and capital gains. The investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than the original cost. To obtain performance information up to the most recent month end, call toll-free 1-877-781-6392.
The Portfolio is not open to direct retail investment. Beneficial interest in shares is obtained solely by purchase of variable life insurance policies and variable annuity contracts. Actual performance results for variable annuity and variable universal life contracts will be lower due to contract charges. Consult your contract for applicable charges.
Comments
For the year ended December 31, 2010, the Target Equity/Income Portfolio returned 23.23% versus 16.93% for the current benchmark, the Russell 3000 Index.
U.S. equities backed up their stellar 2009 with another strong year in 2010 as corporate America posted solid earnings growth and economic data pointed toward improving conditions. When taking a step back, however, the year was not without its share of uncertainty. The best way to review the year is to divide it into three distinct segments.
Stocks got off to a sluggish start in January before moving higher amid strong earnings results and prospects of an improving economy. As the first quarter earnings season progressed, it became apparent that corporate America was benefiting not only from strict cost controls (resulting in strong margins), but also improving top line results. The March jobs report, which showed the largest monthly job gains in three years, further boosted equities. Through the end of April, the S&P 500 Index gained 7.0% while the small cap Russell 2000 Index rose 15.0%.
The balance of the second quarter saw a reversal that sent the major stock market averages into negative territory for the year. Fear of contagion in Europe spooked global markets, as Greece required a bailout and questions about the long-term viability of the Euro forced investors to take money (and risk) off the table. Greece was not the only trouble spot as Portugal, Ireland and Spain (the quartet somewhat derisively known as “the PIGS”) were also brought in to the picture. In fact, Ireland would require a bailout of its own in the fourth quarter. Stateside, continued sluggishness on the employment front following the March jobs report, along with stalled retail sales growth and major health care and financial legislation held back share prices. From April 30 to June 30, the S&P 500 Index lost 12.8% while the Russell 2000 Index shed 14.7%.
The remainder of the year saw stocks rally and small caps outperformed large caps by a healthy margin. The Russell 2000 Index gained 29.3% over the balance of the year. Large caps also performed well returning 23.2% as measured by the S&P 500 Index. The rally into year end was fed by several factors. Sovereign debt fears in Europe, while still very much a concern, subsided as investors determined likely outcomes were already factored into economic growth forecasts and equity prices. The passage of health care and financial reforms, while largely viewed as detrimental to industry profits, removed two lingering unknowns that allowed investors to more accurately gauge long-term impacts. A Republican takeover of the House of Representatives and substantial gains in the Senate during the November mid-term elections brought prospects of a more business friendly Washington. Finally, the Federal Reserve’s “QE2” asset purchases and a temporary extension of the Bush era tax cuts provided investors more reason to add risk back to their portfolios and equities were bid higher.
The end result was a very solid year for equities which saw the major market averages take back the levels last seen prior to the collapse of Lehman Brothers in the fall of 2008. While many remained skeptical, economic data continued to point toward improving conditions throughout the year. Economically-sensitive sectors such as Consumer Discretionary and Industrials led the rally while the more defensive Utilities and Health Care sectors lagged. Growth stocks outperformed value for the year as investors favored higher growth names, although value outperformed growth at the end of the year.
The Portfolio outperformed the Russell 3000 Index in 2010. The top performing stocks were the following: Netflix, Inc., up 218.9%; Deckers Outdoor Corp., up 135.2%; priceline.com, Inc., up 82.9%; Herbalife Ltd., up 70.7%; Jo-Ann Stores, Inc., up 66.2%; Cognizant Technology Solutions Corp., up 61.7%; United Bankshares, Inc., up 52.2%; Steven Madden Ltd., up 51.7%; FNB Corp., up 51.7%; and DSW, Inc. Class A, up 51.1%.(1)
Consumer Discretionary holdings posted the best relative performance against the benchmark during the year. The sector was boosted by top contributors Deckers Outdoor Corp., Netflix Inc., and Priceline.com. Strong performance from the Portfolio’s Information Technology and Financials holdings also added to relative out-performance against the benchmark. A significant underweight position in Industrials detracted from relative performance, however, as the sector was a top performer in the S&P 500 Index. Energy was not represented in the Portfolio, causing relative under-performance against the benchmark.(1)
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2010. |
(continued)
102
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 | 10000 | ||||||
12/31/2005 | 10130 | 10316 | ||||||
06/30/2006 | 9970 | 10650 | ||||||
12/31/2006 | 11078 | 11938 | ||||||
06/30/2007 | 11924 | 12787 | ||||||
12/31/2007 | 12233 | 12551 | ||||||
06/30/2008 | 10357 | 11165 | ||||||
12/31/2008 | 6719 | 7869 | ||||||
06/30/2009 | 6090 | 8199 | ||||||
12/31/2009 | 7548 | 10099 | ||||||
06/30/2010 | 7366 | 9488 | ||||||
12/31/2010 | 9301 | 11809 |
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 December 31, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 98.0 | ||
Money Market Funds and Other Net Assets | 2.0 | ||
100.0 | |||
Top 10 Portfolio Holdings as of December 31, 2010 (1) (2)
% of Net Assets | |||||||
1. | Cognizant Technology Solutions Corp. Class A | 9.1 | |||||
2. | priceline.com, Inc. | 7.5 | |||||
3. | NetFlix, Inc. | 4.5 | |||||
4. | Intuitive Surgical, Inc. | 4.2 | |||||
5. | NII Holdings., Inc. | 3.7 | |||||
6. | Western Digital Corp. | 3.2 | |||||
7. | Urban Outfitters, Inc. | 3.0 | |||||
8. | FNB Corp. | 3.0 | |||||
9. | United Bankshares, Inc. | 3.0 | |||||
10. | Sensient Technologies Corp. | 2.9 |
(1) | Composition of Portfolio subject to change. | |
(2) | Short-term investments have been excluded from the list of Top 10 Portfolio Holdings. | |
(3) | Sectors: |
% of Net Assets | |||
Financials | 26.2 | ||
Consumer Discretionary | 25.8 | ||
Information Technology | 13.7 | ||
Utilities | 13.4 | ||
Consumer Staples | 7.2 | ||
Health Care | 4.2 | ||
Materials | 3.8 | ||
Telecommunication Services | 3.7 | ||
98.0 | |||
103
Ohio National Fund, Inc. | Target Equity/Income Portfolio |
Schedule of Investments | December 31, 2010 |
Common Stocks – 98.0% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 25.8% | ||||||||||
Fuel Systems Solutions, Inc. (Auto Components) | (a) | 2,832 | $ | 83,204 | ||||||
Tupperware Brands Corp. (Household Durables) | 8,346 | 397,854 | ||||||||
NetFlix, Inc. (Internet & Catalog Retail) | (a) | 6,792 | 1,193,354 | |||||||
priceline.com, Inc. (Internet & Catalog Retail) | (a) | 4,957 | 1,980,569 | |||||||
Big 5 Sporting Goods Corp. (Specialty Retail) | 6,869 | 104,890 | ||||||||
Dress Barn, Inc. / The (Specialty Retail) | (a) | 9,639 | 254,662 | |||||||
DSW, Inc. Class A (Specialty Retail) | (a) | 4,495 | 175,754 | |||||||
Guess?, Inc. (Specialty Retail) | 12,193 | 576,973 | ||||||||
J. Crew Group, Inc. (Specialty Retail) | (a) | 8,487 | 366,129 | |||||||
Jo-Ann Stores, Inc. (Specialty Retail) | (a) | 3,542 | 213,299 | |||||||
Urban Outfitters, Inc. (Specialty Retail) | (a) | 22,334 | 799,781 | |||||||
Culp, Inc. (Textiles, Apparel & Luxury Goods) | (a) | 12,188 | 126,268 | |||||||
Deckers Outdoor Corp. (Textiles, Apparel & Luxury Goods) | (a) | 4,891 | 390,008 | |||||||
Steven Madden Ltd. (Textiles, Apparel & Luxury Goods) | (a) | 4,308 | 179,730 | |||||||
6,842,475 | ||||||||||
CONSUMER STAPLES – 7.2% | ||||||||||
Kraft Foods, Inc. Class A (Food Products) | 20,195 | 636,344 | ||||||||
Herbalife Ltd. (Personal Products) | 8,054 | 550,652 | ||||||||
Nu Skin Enterprises, Inc. (Personal Products) | 8,284 | 250,674 | ||||||||
Universal Corp. (Tobacco) | 11,894 | 484,086 | ||||||||
1,921,756 | ||||||||||
FINANCIALS – 26.2% | ||||||||||
BB&T Corp. (Commercial Banks) | 21,723 | 571,098 | ||||||||
FNB Corp. (Commercial Banks) | 80,349 | 789,027 | ||||||||
Trustmark Corp. (Commercial Banks) | 24,352 | 604,904 | ||||||||
United Bankshares, Inc. (Commercial Banks) | 26,953 | 787,028 | ||||||||
Allstate Corp. / The (Insurance) | 18,185 | 579,738 | ||||||||
Cincinnati Financial Corp. (Insurance) | 21,016 | 665,997 | ||||||||
Mercury General Corp. (Insurance) | 13,980 | 601,280 | ||||||||
Astoria Financial Corp. (Thrifts & Mortgage Finance) | 44,347 | 616,867 | ||||||||
First Niagara Financial Group, Inc. (Thrifts & Mortgage Finance) | 39,572 | 553,217 | ||||||||
New York Community Bancorp, Inc. (Thrifts & Mortgage Finance) | 38,264 | 721,276 | ||||||||
People’s United Financial, Inc. (Thrifts & Mortgage Finance) | 33,068 | 463,283 | ||||||||
6,953,715 | ||||||||||
HEALTH CARE – 4.2% | ||||||||||
Intuitive Surgical, Inc. (Health Care Equip. & Supplies) | (a) | 4,297 | 1,107,552 | |||||||
INFORMATION TECHNOLOGY – 13.7% | ||||||||||
Western Digital Corp. (Computers & Peripherals) | (a) | 24,899 | 844,076 | |||||||
Cognizant Technology Solutions Corp. Class A (IT Svs.) | (a) | 33,150 | 2,429,563 | |||||||
Unisys Corp. (IT Svs.) | (a) | 5,658 | 146,486 | |||||||
Wright Express Corp. (IT Svs.) | (a) | 5,020 | 230,920 | |||||||
3,651,045 | ||||||||||
MATERIALS – 3.8% | ||||||||||
NewMarket Corp. (Chemicals) | 2,000 | 246,740 | ||||||||
Sensient Technologies Corp. (Chemicals) | 20,748 | 762,074 | ||||||||
1,008,814 | ||||||||||
TELECOMMUNICATION SERVICES – 3.7% | ||||||||||
NII Holdings, Inc. (Wireless Telecom. Svs.) | (a) | 21,828 | 974,838 | |||||||
UTILITIES – 13.4% | ||||||||||
Northeast Utilities (Electric Utilities) | 21,096 | 672,540 | ||||||||
Unisource Energy Corp. (Electric Utilities) | 16,769 | 601,001 | ||||||||
DTE Energy Co. (Multi-Utilities) | 12,519 | 567,361 | ||||||||
NiSource, Inc. (Multi-Utilities) | 35,501 | 625,528 | ||||||||
PG&E Corp. (Multi-Utilities) | 12,229 | 585,035 | ||||||||
Sempra Energy (Multi-Utilities) | 9,760 | 512,205 | ||||||||
3,563,670 | ||||||||||
Total Common Stocks (Cost $21,977,452) | $ | 26,023,865 | ||||||||
Money Market Funds – 2.0% | Shares | Value | ||||||||
Fidelity Institutional Money Market Funds | ||||||||||
Money Market Portfolio – Class I | 533,000 | $ | 533,000 | |||||||
Total Money Market Funds (Cost $533,000) | $ | 533,000 | ||||||||
Total Investments – 100.0% (Cost $22,510,452) | (b) | $ | 26,556,865 | |||||||
Other Assets in Excess of Liabilities – 0.0% | 4,751 | |||||||||
Net Assets – 100.0% | $ | 26,561,616 | ||||||||
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. | 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 December 31, 2010
Average Annual Total Returns: | ||||
One year | 12.79% | |||
Since inception (5/1/07) | -0.38% |
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 year ended December 31, 2010, the Bristol Growth Portfolio returned 12.79% versus 16.71% for the current benchmark, the Russell 1000 Growth Index.
2010 ended being a year where success could be attributed to taking on more portfolio risk, either through concentration in buyout names, economically leveraged industries, or smaller than average cap over-weighting. This can be seen simply by observing the 2010 returns by market capitalization, with the S&P 500 Index having the largest median cap stock return (just over 15%); then the Russell 1000 Index, having a slightly lower median cap, returning 16.1%; the Russell 2500 Mid-Cap Index returning 25.5%; and the Russell 2000 Small Cap Index returning almost 26.9%. Within each of these cap ranges, growth outperformed value, indicating a preference for the perception of fundamental growth over valuation. Though this factor bet typically works coming out of a recession, 2010 was somewhat atypical, as the economic outlook actually declined as we progressed through the year, as unemployment actually moved up, and Gross Domestic Product (GDP) forecasts were cut. GDP forecasts were finally raised in the fourth quarter after the Federal Reserve announced the next phase of its quantitative easing and the Bush tax cuts appeared to remain intact. The largest difference between growth and value indices was in the small cap sector, where growth outperformed value by over 450 basis points. There appeared to be a demand by investors for top-line growth stocks at any price, a situation which typically has negative consequences for the market when the mania subsides. As our investment process always considers an attractive stock valuation as the first requirement for Portfolio inclusion, not participating in the momentum, risk-taking driven market negatively affected our relative performance.
The Portfolio’s relative performance was also negatively impacted by a few stocks. One of the worst performers was Sunpower Corp., which twice during the year announced that it was pushing back the earnings contributions from its slightly delayed solar projects. The stock was cheap, and got cheaper. It is now trading at approximately 8 times 2011 projected earnings. This seems like an attractive multiple for a fairly well-positioned company, and if the company actually does what it says it can do, it may have a decent year. We continue to hold it. Hewlett-Packard Co. also had a disappointing year, being down 17% in 2010. Their chairman was forced to resign under rather unpleasant circumstances and the price per earnings multiple contracted, as investors worried about their positioning in tablets, a slowing growth in printer sales, their loss of market share to Acer and Lenovo in laptops, and a questionable purchase of Palm on which to focus their wireless phone strategy. Somehow, they did not miss their earnings per share (EPS) projections, but the multiple contracted regardless.(1)
Even though Financials made a stellar comeback in the final quarter, during the year the Portfolio’s relative performance was negatively affected by a few stocks, namely Wells Fargo & Co., Morgan Stanley, and Bank of America Corp. All three were the result of continuing legal unknowns from the mortgage fiasco, with Bank of America Corp. and Wells Fargo & Co. perhaps more exposed to mortgage push backs from both government sponsored enterprises (GSEs) as well as private intermediaries; and Morgan Stanley perhaps suffering from an unknown fate similar to Goldman Sachs on potential underwriting concerns and lawsuits. The three financials cost the Portfolio approximately 54 basis points of relative performance combined.(1)
The Portfolio was not without its individual successes, including Apple, Inc., adding over 100 basis points; Exxon Mobil Corp., adding 80; Freeport-McMoRan Copper and Gold, Inc. adding over 50; and Industrials such as Honeywell International, Inc. and Johnson Controls, Inc. combining to add 119 basis points.(1)
At the beginning of 2010, we took the position that the economy would improve, that emerging markets would provide most of the economic growth, that consumers would still be constrained in their spending, and that margins would tighten in consumer oriented products, as raw material pricing increased and companies were not so able to raise selling prices to pass through the higher costs. These are similar themes to what we believe now. We are cognizant that China is taking, and will continue to take, steps to slow inflation in their country, and of the potential impact to pricing of commodities. However, there is still huge economic growth ahead for China and India, as their consumers begin to spend some of their earnings and start to raise their standards of living. They are far behind the U.S. and other developed nations, but the gap is narrowing. Eventually, we see both India and China being able to grow their economies self-sustainably, without a constantly increasing reliance on exports. Trying to avoid U.S.-centric companies, with little growing exposure to emerging economies, continues to be a major driver in our research and investments.
(1) | The Portfolio’s composition is subject to change. Holdings and weightings are as of December 31, 2010. |
(continued)
105
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 | ||||||
12/31/2010 | 9860 | 10371 |
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 December 31, 2010 (1)
% of Net Assets | |||
Common Stocks (3) | 97.5 | ||
Money Market Funds Less Net Liabilities | 2.5 | ||
100.0 | |||
Top 10 Portfolio Holdings as of December 31, 2010 (1) (2)
% of Net Assets | |||||||
1. | Apple, Inc. | 4.5 | |||||
2. | Oracle Corp. | 3.0 | |||||
3. | Google, Inc. Class A | 3.0 | |||||
4. | International Business Machines Corp. | 3.0 | |||||
5. | Exxon Mobil Corp. | 2.9 | |||||
6. | Cisco Systems, Inc. | 2.6 | |||||
7. | QUALCOMM, Inc. | 2.5 | |||||
8. | Hewlett-Packard Co. | 2.3 | |||||
9. | Maxim Integrated Products, Inc. | 2.3 | |||||
10. | Chevron 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 | 32.9 | ||
Consumer Discretionary | 13.0 | ||
Energy | 11.2 | ||
Industrials | 10.6 | ||
Health Care | 9.9 | ||
Financials | 8.8 | ||
Materials | 8.6 | ||
Consumer Staples | 2.5 | ||
97.5 | |||
106
Ohio National Fund, Inc. | Bristol Growth Portfolio |
Schedule of Investments | December 31, 2010 |
Common Stocks – 97.5% | Shares | Value | ||||||||
CONSUMER DISCRETIONARY – 13.0% | ||||||||||
Johnson Controls, Inc. (Auto Components) | 35,000 | $ | 1,337,000 | |||||||
Lear Corp. (Auto Components) | (a) | 1,000 | 98,710 | |||||||
Royal Caribbean Cruises Ltd. (Hotels, Restaurants & Leisure) | (a) | 31,400 | 1,475,800 | |||||||
Starwood Hotels & Resorts Worldwide, Inc. (Hotels, Restaurants & Leisure) | 18,100 | 1,100,118 | ||||||||
Amazon.com, Inc. (Internet & Catalog Retail) | (a) | 8,000 | 1,440,000 | |||||||
Target Corp. (Multiline Retail) | 28,800 | 1,731,744 | ||||||||
Tiffany & Co. (Specialty Retail) | 9,500 | 591,565 | ||||||||
Coach, Inc. (Textiles, Apparel & Luxury Goods) | 21,600 | 1,194,696 | ||||||||
NIKE, Inc. Class B (Textiles, Apparel & Luxury Goods) | 14,600 | 1,247,132 | ||||||||
Warnaco Group, Inc. / The (Textiles, Apparel & Luxury Goods) | (a) | 16,400 | 903,148 | |||||||
11,119,913 | ||||||||||
CONSUMER STAPLES – 2.5% | ||||||||||
Coca-Cola Co. / The (Beverages) | 19,000 | 1,249,630 | ||||||||
Procter & Gamble Co. / The (Household Products) | 13,600 | 874,888 | ||||||||
2,124,518 | ||||||||||
ENERGY – 11.2% | ||||||||||
Dresser-Rand Group, Inc. (Energy Equip. & Svs.) | (a) | 5,600 | 238,504 | |||||||
Halliburton Co. (Energy Equip. & Svs.) | 25,500 | 1,041,165 | ||||||||
National Oilwell Varco, Inc. (Energy Equip. & Svs.) | 14,300 | 961,675 | ||||||||
Chevron Corp. (Oil, Gas & Consumable Fuels) | 19,400 | 1,770,250 | ||||||||
Exxon Mobil Corp. (Oil, Gas & Consumable Fuels) | 34,000 | 2,486,080 | ||||||||
Murphy Oil Corp. (Oil, Gas & Consumable Fuels) | 18,900 | 1,408,995 | ||||||||
Occidental Petroleum Corp. (Oil, Gas & Consumable Fuels) | 16,300 | 1,599,030 | ||||||||
9,505,699 | ||||||||||
FINANCIALS – 8.8% | ||||||||||
Discover Financial Services (Consumer Finance) | 52,700 | 976,531 | ||||||||
Bank of America Corp. (Diversified Financial Svs.) | 50,600 | 675,004 | ||||||||
JPMorgan Chase & Co. (Diversified Financial Svs.) | 34,300 | 1,455,006 | ||||||||
Hartford Financial Services Group, Inc. (Insurance) | 60,900 | 1,613,241 | ||||||||
Lincoln National Corp. (Insurance) | 52,400 | 1,457,244 | ||||||||
MetLife, Inc. (Insurance) | 30,500 | 1,355,420 | ||||||||
7,532,446 | ||||||||||
HEALTH CARE – 9.9% | ||||||||||
St. Jude Medical, Inc. (Health Care Equip. & Supplies) | (a) | 41,200 | 1,761,300 | |||||||
Life Technologies Corp. (Life Sciences Tools & Svs.) | (a) | 27,500 | 1,526,250 | |||||||
Allergan, Inc. (Pharmaceuticals) | 23,900 | 1,641,213 | ||||||||
Medicis Pharmaceutical Corp. Class A (Pharmaceuticals) | 55,900 | 1,497,561 | ||||||||
Merck & Co., Inc. (Pharmaceuticals) | 23,500 | 846,940 | ||||||||
Pfizer, Inc. (Pharmaceuticals) | 66,000 | 1,155,660 | ||||||||
8,428,924 | ||||||||||
INDUSTRIALS – 10.6% | ||||||||||
Honeywell International, Inc. (Aerospace & Defense) | 32,600 | 1,733,016 | ||||||||
United Parcel Service, Inc. Class B (Air Freight & Logistics) | 23,400 | 1,698,372 | ||||||||
Rockwell Automation, Inc. (Electrical Equip.) | 24,500 | 1,756,895 | ||||||||
Caterpillar, Inc. (Machinery) | 10,900 | 1,020,894 | ||||||||
Ingersoll-Rand PLC (Machinery) | 37,100 | 1,747,039 | ||||||||
SPX Corp. (Machinery) | 15,600 | 1,115,244 | ||||||||
9,071,460 | ||||||||||
INFORMATION TECHNOLOGY – 32.9% | ||||||||||
Cisco Systems, Inc. (Communications Equip.) | (a) | 108,300 | 2,190,909 | |||||||
QUALCOMM, Inc. (Communications Equip.) | 43,600 | 2,157,764 | ||||||||
Apple, Inc. (Computers & Peripherals) | (a) | 11,950 | 3,854,592 | |||||||
Hewlett-Packard Co. (Computers & Peripherals) | 46,800 | 1,970,280 | ||||||||
Google, Inc. Class A (Internet Software & Svs.) | (a) | 4,310 | 2,560,011 | |||||||
International Business Machines Corp. (IT Svs.) | 17,200 | 2,524,272 | ||||||||
Applied Materials, Inc. (Semiconductors & Equip.) | 50,900 | 715,145 | ||||||||
Broadcom Corp. Class A (Semiconductors & Equip.) | 31,600 | 1,376,180 | ||||||||
Maxim Integrated Products, Inc. (Semiconductors & Equip.) | 82,200 | 1,941,564 | ||||||||
SunPower Corp. Class B (Semiconductors & Equip.) | (a) | 86,503 | 1,073,502 | |||||||
Texas Instruments, Inc. (Semiconductors & Equip.) | 53,300 | 1,732,250 | ||||||||
Citrix Systems, Inc. (Software) | (a) | 25,800 | 1,764,978 | |||||||
Microsoft Corp. (Software) | 58,700 | 1,638,904 | ||||||||
Oracle Corp. (Software) | 82,600 | 2,585,380 | ||||||||
28,085,731 | ||||||||||
MATERIALS – 8.6% | ||||||||||
Air Products & Chemicals, Inc. (Chemicals) | 18,700 | 1,700,765 | ||||||||
Celanese Corp. (Chemicals) | 19,900 | 819,283 | ||||||||
E.I. du Pont de Nemours & Co. (Chemicals) | 33,300 | 1,661,004 | ||||||||
Freeport-McMoRan Copper & Gold, Inc. (Metals & Mining) | 11,600 | 1,393,044 | ||||||||
Rio Tinto PLC – ADR (Metals & Mining) | 24,000 | 1,719,840 | ||||||||
7,293,936 | ||||||||||
Total Common Stocks (Cost $72,479,367) | $ | 83,162,627 | ||||||||
Money Market Funds – 4.0% | Shares | Value | ||||||||
Fidelity Institutional Money Market Funds | ||||||||||
Money Market Portfolio – Class I | 3,418,000 | $ | 3,418,000 | |||||||
Total Money Market Funds (Cost $3,418,000) | $ | 3,418,000 | ||||||||
Total Investments – 101.5% (Cost $75,897,367) | (b) | $ | 86,580,627 | |||||||
Liabilities in Excess of Other Assets – (1.5)% | (1,284,454 | ) | ||||||||
Net Assets – 100.0% | $ | 85,296,173 | ||||||||
Percentages are stated as a percent of net assets.
Abbreviations:
ADR: American Depositary Receipts
Footnotes:
(a) | Non-income producing security. | |
(b) | Represents cost for financial reporting purposes, which may differ from cost basis for Federal income tax purposes. See also Note 7 of the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements.
107
Ohio National Fund, Inc.
Statements of Assets and Liabilities | December 31, 2010 |
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* | $ | 213,926,161 | $ | 275,684,389 | $ | 141,657,373 | $ | 41,097,196 | $ | 217,387,462 | $ | 131,994,351 | $ | 42,011,214 | $ | 78,770,685 | ||||||||||||||||
Repurchase agreements | 4,165,480 | 12,822,000 | 628,000 | — | — | — | — | — | ||||||||||||||||||||||||
Cash | — | 1,265,483 | 816 | 598 | — | 525 | 69 | — | ||||||||||||||||||||||||
Foreign currencies, at value** | — | — | — | — | 105,606 | — | — | 9,527 | ||||||||||||||||||||||||
Receivable for securities sold | 2,114,534 | — | — | 506,914 | 2,032,248 | 342,156 | 356,394 | 4,828 | ||||||||||||||||||||||||
Due from adviser | — | 29,406 | — | — | — | — | — | — | ||||||||||||||||||||||||
Receivable for fund shares sold | 525,798 | 4,700,660 | 4,505,785 | 24,886 | 45,852 | 33,403 | 28,064 | 17,822 | ||||||||||||||||||||||||
Dividends and accrued interest receivable | 125,950 | 7,089 | 1,575,116 | 145,245 | 64,396 | 103,178 | 1,833 | 33,676 | ||||||||||||||||||||||||
Foreign tax reclaim receivable | — | — | — | — | 131,455 | — | — | 47,718 | ||||||||||||||||||||||||
Prepaid expenses and other assets | 3,958 | 1,567 | 713 | 741 | 3,902 | 2,275 | 923 | 1,287 | ||||||||||||||||||||||||
Total assets | 220,861,881 | 294,510,594 | 148,367,803 | 41,775,580 | 219,770,921 | 132,475,888 | 42,398,497 | 78,885,543 | ||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Net unrealized depreciation on foreign currency contracts | — | — | — | — | 273,494 | — | — | — | ||||||||||||||||||||||||
Payable for securities purchased | 674,392 | — | — | 440,240 | 1,414,103 | 326,841 | 255,158 | — | ||||||||||||||||||||||||
Payable for fund shares redeemed | 572,340 | 952,440 | 88,305 | 117,808 | 4,791,711 | 2,233,299 | 19,974 | 83,721 | ||||||||||||||||||||||||
Variation margin payable to broker | — | — | — | — | 119 | — | — | — | ||||||||||||||||||||||||
Payable for investment management services | 145,804 | 61,638 | 69,610 | 20,905 | 147,536 | 87,278 | 28,358 | 65,270 | ||||||||||||||||||||||||
Accrued custody expense | 1,602 | 2,051 | 837 | 686 | 33,323 | 799 | 828 | 9,597 | ||||||||||||||||||||||||
Accrued professional fees | 11,866 | 11,983 | 11,737 | 11,569 | 11,858 | 11,719 | 11,571 | 11,628 | ||||||||||||||||||||||||
Accrued accounting fees | 12,318 | 19,457 | 12,357 | 4,877 | 456 | 7,668 | 2,947 | 456 | ||||||||||||||||||||||||
Accrued printing and filing fees | 12,077 | 16,088 | 7,915 | 2,275 | 11,785 | 7,225 | 2,328 | 4,243 | ||||||||||||||||||||||||
Withholding tax payable | — | — | — | — | 744 | — | — | 98,048 | ||||||||||||||||||||||||
Total liabilities | 1,430,399 | 1,063,657 | 190,761 | 598,360 | 6,685,129 | 2,674,829 | 321,164 | 272,963 | ||||||||||||||||||||||||
Net assets | $ | 219,431,482 | $ | 293,446,937 | $ | 148,177,042 | $ | 41,177,220 | $ | 213,085,792 | $ | 129,801,059 | $ | 42,077,333 | $ | 78,612,580 | ||||||||||||||||
Net assets consist of: | ||||||||||||||||||||||||||||||||
Par value, $1 per share | $ | 11,127,317 | $ | 29,344,706 | $ | 11,218,946 | $ | 2,561,501 | $ | 17,470,947 | $ | 6,372,887 | $ | 1,940,380 | $ | 3,383,181 | ||||||||||||||||
Paid-in capital in excess of par value | 309,590,931 | 264,102,231 | 139,106,426 | 42,380,393 | 244,389,150 | 136,418,245 | 48,896,522 | 71,853,653 | ||||||||||||||||||||||||
Accumulated net realized gain (loss) on investments | (123,492,308 | ) | — | (15,350,662 | ) | (7,874,945 | ) | (105,449,599 | ) | (30,633,331 | ) | (16,777,886 | ) | (20,676,052 | ) | |||||||||||||||||
Net unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||||||||||
Investments | 22,181,182 | — | 7,360,294 | 4,023,543 | 53,845,140 | 17,558,106 | 8,018,317 | 24,061,625 | ||||||||||||||||||||||||
Foreign currency contracts | — | — | — | — | (273,494 | ) | — | — | — | |||||||||||||||||||||||
Futures contracts | — | — | — | — | (23,610 | ) | — | — | — | |||||||||||||||||||||||
Other foreign currency related transactions | — | — | — | — | 20,987 | — | — | (97,147 | ) | |||||||||||||||||||||||
Undistributed net investment income (loss) | 24,360 | — | 5,842,038 | 86,728 | 3,106,271 | 85,152 | — | 87,320 | ||||||||||||||||||||||||
Net assets | $ | 219,431,482 | $ | 293,446,937 | $ | 148,177,042 | $ | 41,177,220 | $ | 213,085,792 | $ | 129,801,059 | $ | 42,077,333 | $ | 78,612,580 | ||||||||||||||||
* Investments in securities, at cost | $ | 191,744,979 | $ | 275,684,389 | $ | 134,297,079 | $ | 37,073,653 | $ | 163,542,322 | $ | 114,436,245 | $ | 33,992,897 | $ | 54,709,060 | ||||||||||||||||
** Foreign currencies, at cost | $ | — | $ | — | $ | — | $ | — | $ | 109,762 | $ | — | $ | — | $ | 9,399 | ||||||||||||||||
Shares outstanding | 11,127,317 | 29,344,706 | 11,218,946 | 2,561,501 | 17,470,947 | 6,372,887 | 1,940,380 | 3,383,181 | ||||||||||||||||||||||||
Authorized Fund shares allocated to Portfolio | 30,000,000 | 80,000,000 | 30,000,000 | 10,000,000 | 45,000,000 | 15,000,000 | 10,000,000 | 10,000,000 | ||||||||||||||||||||||||
Net asset value per share | $ | 19.72 | $ | 10.00 | $ | 13.21 | $ | 16.08 | $ | 12.20 | $ | 20.37 | $ | 21.69 | $ | 23.24 | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
108
Ohio National Fund, Inc.
Statements of Assets and Liabilities | December 31, 2010 |
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* | $ | 29,865,513 | $ | 32,145,239 | $ | 70,621,342 | $ | 175,905,023 | $ | 24,187,040 | $ | 263,699,618 | $ | 52,900,717 | $ | 55,272,125 | ||||||||||||||||
Cash | 726 | 178 | 271 | 749 | 578 | — | 785 | 7,822 | ||||||||||||||||||||||||
Receivable for securities sold | — | — | — | 10,850 | — | 207 | — | — | ||||||||||||||||||||||||
Receivable for fund shares sold | 8,630 | 5,883 | 39,894 | 189,005 | 32,422 | 3,498,620 | 230,996 | 26,491 | ||||||||||||||||||||||||
Dividends and accrued interest receivable | 7,964 | 4,086 | 32,419 | 214,751 | 101,323 | 5,118,099 | 12,952 | 14,455 | ||||||||||||||||||||||||
Foreign tax reclaim receivable | 4,416 | — | — | — | 5,714 | — | — | — | ||||||||||||||||||||||||
Net unrealized appreciation on foreign currency contracts | — | — | — | — | 57,516 | — | — | — | ||||||||||||||||||||||||
Prepaid expenses and other assets | 484 | 458 | 1,191 | 2,941 | 390 | 1,005 | 753 | 831 | ||||||||||||||||||||||||
Total assets | 29,887,733 | 32,155,844 | 70,695,117 | 176,323,319 | 24,384,983 | 272,317,549 | 53,146,203 | 55,321,724 | ||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Cash overdraft | — | — | — | — | — | 1,264,614 | — | — | ||||||||||||||||||||||||
Payable for securities purchased | 34,718 | — | 150,310 | — | — | — | 235,249 | — | ||||||||||||||||||||||||
Payable for fund shares redeemed | 57,280 | 15,546 | 106,350 | 53,022 | 3,349 | 1,055,369 | 442,546 | 345,420 | ||||||||||||||||||||||||
Payable for investment management services | 20,139 | 23,735 | 50,447 | 55,884 | 14,926 | 156,425 | 38,832 | 18,663 | ||||||||||||||||||||||||
Accrued custody expense | 1,562 | 1,336 | 713 | 1,286 | 504 | 1,323 | 369 | 953 | ||||||||||||||||||||||||
Accrued professional fees | 11,550 | 11,553 | 11,617 | 11,793 | 11,540 | 11,946 | 11,587 | 11,593 | ||||||||||||||||||||||||
Accrued accounting fees | 2,804 | 2,519 | 4,369 | 12,630 | 2,318 | 25,761 | 3,377 | 3,645 | ||||||||||||||||||||||||
Accrued printing and filing fees | 1,644 | 1,720 | 3,868 | 9,650 | 1,311 | 14,948 | 2,837 | 3,053 | ||||||||||||||||||||||||
Withholding tax payable | 784 | — | — | — | 3,775 | — | — | — | ||||||||||||||||||||||||
Total liabilities | 130,481 | 56,409 | 327,674 | 144,265 | 37,723 | 2,530,386 | 734,797 | 383,327 | ||||||||||||||||||||||||
Net assets | $ | 29,757,252 | $ | 32,099,435 | $ | 70,367,443 | $ | 176,179,054 | $ | 24,347,260 | $ | 269,787,163 | $ | 52,411,406 | $ | 54,938,397 | ||||||||||||||||
Net assets consist of: | ||||||||||||||||||||||||||||||||
Par value, $1 per share | $ | 3,643,945 | $ | 2,496,572 | $ | 3,817,191 | $ | 13,332,390 | $ | 2,600,785 | $ | 21,912,292 | $ | 1,893,431 | $ | 9,647,812 | ||||||||||||||||
Paid-in capital in excess of par value | 23,605,394 | 26,978,596 | 91,581,725 | 142,660,146 | 27,689,190 | 217,614,579 | 40,269,019 | 33,947,728 | ||||||||||||||||||||||||
Accumulated net realized gain (loss) on investments | (2,741,468 | ) | (3,616,454 | ) | (34,630,132 | ) | (4,465,285 | ) | (8,323,417 | ) | (3,425,605 | ) | (5,553,918 | ) | (3,258,071 | ) | ||||||||||||||||
Net unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||||||||||
Investments | 5,137,293 | 6,240,726 | 9,598,659 | 24,283,577 | 2,369,975 | 15,904,697 | 15,767,825 | 14,578,697 | ||||||||||||||||||||||||
Foreign currency contracts | — | — | — | — | 57,516 | — | — | — | ||||||||||||||||||||||||
Other foreign currency related transactions | 360 | — | — | — | (220 | ) | — | — | — | |||||||||||||||||||||||
Undistributed net investment income (loss) | 111,728 | (5 | ) | — | 368,226 | (46,569 | ) | 17,781,200 | 35,049 | 22,231 | ||||||||||||||||||||||
Net assets | $ | 29,757,252 | $ | 32,099,435 | $ | 70,367,443 | $ | 176,179,054 | $ | 24,347,260 | $ | 269,787,163 | $ | 52,411,406 | $ | 54,938,397 | ||||||||||||||||
* Investments in securities, at cost | $ | 24,728,220 | $ | 25,904,513 | $ | 61,022,683 | $ | 151,621,446 | $ | 21,817,065 | $ | 247,794,921 | $ | 37,132,892 | $ | 40,693,428 | ||||||||||||||||
Shares outstanding | 3,643,945 | 2,496,572 | 3,817,191 | 13,332,390 | 2,600,785 | 21,912,292 | 1,893,431 | 9,647,812 | ||||||||||||||||||||||||
Authorized Fund shares allocated to Portfolio | 10,000,000 | 10,000,000 | 10,000,000 | 35,000,000 | 10,000,000 | 60,000,000 | 10,000,000 | 25,000,000 | ||||||||||||||||||||||||
Net asset value per share | $ | 8.17 | $ | 12.86 | $ | 18.43 | $ | 13.21 | $ | 9.36 | $ | 12.31 | $ | 27.68 | $ | 5.69 | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
109
Ohio National Fund, Inc.
Statements of Assets and Liabilities | December 31, 2010 |
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* | $ | 183,936,336 | $ | 140,874,412 | $ | 14,516,021 | $ | 14,427,699 | $ | 10,133,136 | $ | 21,792,916 | $ | 26,556,865 | $ | 86,580,627 | ||||||||||||||||
Cash | 308 | 393 | 808 | 52 | — | 301 | 593 | 124 | ||||||||||||||||||||||||
Receivable for securities sold | 9,390,970 | 4,279,173 | — | — | — | 59,119 | — | 3,455,721 | ||||||||||||||||||||||||
Receivable for fund shares sold | 115,603 | 116,967 | 4,657 | 2,043 | 6,029 | 1,025 | 1,560 | 73,654 | ||||||||||||||||||||||||
Dividends and accrued interest receivable | 140,311 | 942 | 14,372 | 87,413 | 15,359 | 33,042 | 45,847 | 49,391 | ||||||||||||||||||||||||
Foreign tax reclaim receivable | — | — | — | — | 142 | 1,787 | — | — | ||||||||||||||||||||||||
Prepaid expenses and other assets | 2,992 | 2,302 | 241 | 245 | 143 | 372 | 439 | 1,196 | ||||||||||||||||||||||||
Total assets | 193,586,520 | 145,274,189 | 14,536,099 | 14,517,452 | 10,154,809 | 21,888,562 | 26,605,304 | 90,160,713 | ||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Cash overdraft | — | — | — | — | 190,393 | — | — | — | ||||||||||||||||||||||||
Options written, at value** | — | — | — | — | 295,280 | — | — | — | ||||||||||||||||||||||||
Payable for securities purchased | 2,760,235 | 756,284 | — | — | — | — | — | 1,505,520 | ||||||||||||||||||||||||
Payable for fund shares redeemed | 8,028,326 | 6,977,934 | 3,847 | 587 | 339 | 5,606 | 14,952 | 3,277,680 | ||||||||||||||||||||||||
Payable for investment management services | 119,783 | 99,907 | 9,150 | 7,884 | 6,392 | 11,111 | 13,486 | 58,958 | ||||||||||||||||||||||||
Accrued custody expense | 1,194 | 795 | 93 | 96 | 303 | 488 | 201 | 816 | ||||||||||||||||||||||||
Accrued professional fees | 11,818 | 11,740 | 11,524 | 11,524 | 11,516 | 11,536 | 11,545 | 11,648 | ||||||||||||||||||||||||
Accrued accounting fees | 10,117 | 7,767 | 1,702 | 3,452 | 1,777 | 2,355 | 2,050 | 5,078 | ||||||||||||||||||||||||
Accrued printing and filing fees | 10,417 | 7,950 | 796 | 789 | 527 | 1,211 | 1,454 | 4,840 | ||||||||||||||||||||||||
Withholding tax payable | — | — | — | 174 | 48 | — | — | — | ||||||||||||||||||||||||
Total liabilities | 10,941,890 | 7,862,377 | 27,112 | 24,506 | 506,575 | 32,307 | 43,688 | 4,864,540 | ||||||||||||||||||||||||
Net assets | $ | 182,644,630 | $ | 137,411,812 | $ | 14,508,987 | $ | 14,492,946 | $ | 9,648,234 | $ | 21,856,255 | $ | 26,561,616 | $ | 85,296,173 | ||||||||||||||||
Net assets consist of: | ||||||||||||||||||||||||||||||||
Par value, $1 per share | $ | 14,600,305 | $ | 10,129,016 | $ | 1,418,843 | $ | 1,045,135 | $ | 804,826 | $ | 2,399,693 | $ | 3,086,104 | $ | 8,669,236 | ||||||||||||||||
Paid-in capital in excess of par value | 158,128,281 | 98,397,980 | 18,238,958 | 13,240,433 | 8,034,928 | 25,826,227 | 35,901,271 | 62,362,424 | ||||||||||||||||||||||||
Accumulated net realized gain (loss) on investments | (11,340,942 | ) | 1,198,063 | (7,185,302 | ) | (1,039,973 | ) | (566,418 | ) | (9,571,823 | ) | (16,530,672 | ) | 3,564,295 | ||||||||||||||||||
Net unrealized appreciation (depreciation) on: | ||||||||||||||||||||||||||||||||
Investments | 21,153,692 | 27,686,753 | 2,021,087 | 1,198,293 | 1,409,305 | 3,173,491 | 4,046,413 | 10,683,260 | ||||||||||||||||||||||||
Written options | — | — | — | — | (104,496 | ) | — | — | — | |||||||||||||||||||||||
Undistributed net investment income (loss) | 103,294 | — | 15,401 | 49,058 | 70,089 | 28,667 | 58,500 | 16,958 | ||||||||||||||||||||||||
Net assets | $ | 182,644,630 | $ | 137,411,812 | $ | 14,508,987 | $ | 14,492,946 | $ | 9,648,234 | $ | 21,856,255 | $ | 26,561,616 | $ | 85,296,173 | ||||||||||||||||
* Investments in securities, at cost | $ | 162,782,644 | $ | 113,187,659 | $ | 12,494,934 | $ | 13,229,406 | $ | 8,723,831 | $ | 18,619,425 | $ | 22,510,452 | $ | 75,897,367 | ||||||||||||||||
** Premiums received on options written | $ | — | $ | — | $ | — | $ | — | $ | 190,784 | $ | — | $ | — | $ | — | ||||||||||||||||
Shares outstanding | 14,600,305 | 10,129,016 | 1,418,843 | 1,045,135 | 804,826 | 2,399,693 | 3,086,104 | 8,669,236 | ||||||||||||||||||||||||
Authorized Fund shares allocated to Portfolio | 40,000,000 | 35,000,000 | 10,000,000 | 10,000,000 | 10,000,000 | 10,000,000 | 10,000,000 | 25,000,000 | ||||||||||||||||||||||||
Net asset value per share | $ | 12.51 | $ | 13.57 | $ | 10.23 | $ | 13.87 | $ | 11.99 | $ | 9.11 | $ | 8.61 | $ | 9.84 | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
110
Ohio National Fund, Inc.
Statements of Operations | For the Year Ended December 31, 2010 |
Capital | International | |||||||||||||||||||||||||||||||
Equity | Money Market | Bond | Omni | International | Appreciation | Millennium | Small-Mid Company | |||||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | Portfolio | |||||||||||||||||||||||||
Investment income: | ||||||||||||||||||||||||||||||||
Interest | $ | 4,506 | $ | 548,954 | $ | 6,839,050 | $ | 569,487 | $ | 6,546 | $ | 8,857 | $ | 7,630 | $ | 1,379 | ||||||||||||||||
Dividends, net of taxes withheld* | 2,338,751 | — | — | 438,563 | 4,431,508 | 1,483,103 | 164,574 | 1,079,720 | ||||||||||||||||||||||||
Total investment income | 2,343,257 | 548,954 | 6,839,050 | 1,008,050 | 4,438,054 | 1,491,960 | 172,204 | 1,081,099 | ||||||||||||||||||||||||
Expenses: | ||||||||||||||||||||||||||||||||
Management fees | 1,703,275 | 838,318 | 846,215 | 243,368 | 1,671,537 | 984,625 | 607,807 | 690,074 | ||||||||||||||||||||||||
Custodian fees | 18,294 | 34,940 | 10,169 | 7,871 | 262,116 | 9,418 | 11,431 | 80,433 | ||||||||||||||||||||||||
Directors’ fees | 24,530 | 36,030 | 16,835 | 4,596 | 23,064 | 14,174 | 8,443 | 7,843 | ||||||||||||||||||||||||
Professional fees | 22,205 | 26,821 | 18,759 | 13,653 | 21,383 | 17,729 | 15,970 | 14,996 | ||||||||||||||||||||||||
Accounting fees | 75,424 | 115,748 | 74,618 | 30,648 | 80,687 | 46,770 | 31,278 | 45,492 | ||||||||||||||||||||||||
Printing and filing fees | 34,924 | 50,730 | 24,417 | 6,672 | 33,146 | 20,637 | 15,171 | 11,641 | ||||||||||||||||||||||||
Compliance expense | 6,390 | 6,390 | 6,390 | 6,390 | 6,390 | 6,390 | 6,390 | 6,390 | ||||||||||||||||||||||||
Other | 7,911 | 5,908 | 2,273 | 1,437 | 7,301 | 4,377 | 3,317 | 6,024 | ||||||||||||||||||||||||
Total expenses | 1,892,953 | 1,114,885 | 999,676 | 314,635 | 2,105,624 | 1,104,120 | 699,807 | 862,893 | ||||||||||||||||||||||||
Less expenses reduced or reimbursed by adviser | — | (565,931 | ) | — | — | — | — | — | — | |||||||||||||||||||||||
Net expenses | 1,892,953 | 548,954 | 999,676 | 314,635 | 2,105,624 | 1,104,120 | 699,807 | 862,893 | ||||||||||||||||||||||||
Net investment income (loss) | 450,304 | — | 5,839,374 | 693,415 | 2,332,430 | 387,840 | (527,603 | ) | 218,206 | |||||||||||||||||||||||
Realized/unrealized gain (loss) on investments, futures contracts, foreign currency contracts, and other foreign currency related transactions: | ||||||||||||||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||||||||||||||
Investments | (1,138,078 | ) | — | 1,961,700 | 2,963,592 | 22,913,675 | 11,444,651 | 16,124,928 | 6,467,929 | |||||||||||||||||||||||
Futures contracts | — | — | — | — | (60,151 | ) | — | — | — | |||||||||||||||||||||||
Foreign currency contracts | — | — | — | — | 2,279,010 | — | — | — | ||||||||||||||||||||||||
Other foreign currency related transactions | — | — | — | (66 | ) | (379,918 | ) | (13,832 | ) | — | (106,608 | ) | ||||||||||||||||||||
Change in unrealized appreciation/depreciation on: | ||||||||||||||||||||||||||||||||
Investments | 17,726,044 | — | 3,535,443 | 1,338,298 | 7,017,994 | 7,958,092 | (9,539,756 | ) | 6,034,136 | |||||||||||||||||||||||
Futures contracts | — | — | — | — | (23,610 | ) | — | — | — | |||||||||||||||||||||||
Foreign currency contracts | — | — | — | — | (1,398,745 | ) | — | — | — | |||||||||||||||||||||||
Other foreign currency related transactions | — | — | — | — | 18,389 | — | — | (51,628 | ) | |||||||||||||||||||||||
Net realized/unrealized gain (loss) on investments, futures contracts, foreign currency contracts, and other foreign currency related transactions | 16,587,966 | — | 5,497,143 | 4,301,824 | 30,366,644 | 19,388,911 | 6,585,172 | 12,343,829 | ||||||||||||||||||||||||
Change in net assets from operations | $ | 17,038,270 | $ | — | $ | 11,336,517 | $ | 4,995,239 | $ | 32,699,074 | $ | 19,776,751 | $ | 6,057,569 | $ | 12,562,035 | ||||||||||||||||
* Taxes withheld | $ | — | $ | — | $ | — | $ | 669 | $ | 695,770 | $ | 36,764 | $ | — | $ | 93,171 | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
111
Ohio National Fund, Inc.
Statements of Operations | For the Year Ended December 31, 2010 |
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 | $ | 1,931 | $ | 1,933 | $ | 3,840 | $ | 267 | $ | 732 | $ | 19,477,951 | $ | 1,123 | $ | 213 | ||||||||||||||||
Dividends, net of taxes withheld* | 324,802 | 103,369 | 394,580 | 3,334,333 | 1,079,223 | 24,155 | 217,410 | 428,798 | ||||||||||||||||||||||||
Total investment income | 326,733 | 105,302 | 398,420 | 3,334,600 | 1,079,955 | 19,502,106 | 218,533 | 429,011 | ||||||||||||||||||||||||
Expenses: | ||||||||||||||||||||||||||||||||
Management fees | 212,854 | 222,839 | 539,805 | 612,199 | 160,000 | 1,538,336 | 362,975 | 183,477 | ||||||||||||||||||||||||
Custodian fees | 23,023 | 13,464 | 7,923 | 14,754 | 4,206 | 14,361 | 4,025 | 8,266 | ||||||||||||||||||||||||
Directors’ fees | 3,064 | 2,829 | 7,205 | 18,264 | 2,428 | 25,414 | 4,571 | 5,300 | ||||||||||||||||||||||||
Professional fees | 12,989 | 12,906 | 14,986 | 19,440 | 12,723 | 21,868 | 13,655 | 13,926 | ||||||||||||||||||||||||
Accounting fees | 16,662 | 14,864 | 26,379 | 75,581 | 13,810 | 140,980 | 19,087 | 21,569 | ||||||||||||||||||||||||
Printing and filing fees | 4,478 | 4,546 | 15,165 | 26,830 | 3,587 | 36,556 | 7,105 | 7,885 | ||||||||||||||||||||||||
Compliance expense | 6,390 | 6,390 | 6,390 | 6,390 | 6,390 | 6,390 | 6,390 | 6,390 | ||||||||||||||||||||||||
Other | 925 | 797 | 2,101 | 5,509 | 659 | 2,940 | 1,319 | 1,592 | ||||||||||||||||||||||||
Total expenses | 280,385 | 278,635 | 619,954 | 778,967 | 203,803 | 1,786,845 | 419,127 | 248,405 | ||||||||||||||||||||||||
Net investment income (loss) | 46,348 | (173,333 | ) | (221,534 | ) | 2,555,633 | 876,152 | 17,715,261 | (200,594 | ) | 180,606 | |||||||||||||||||||||
Realized/unrealized gain (loss) on investments, foreign currency contracts, and other foreign currency related transactions: | ||||||||||||||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||||||||||||||
Investments | 340,133 | 2,457,248 | 5,891,311 | (322,308 | ) | (118,374 | ) | (1,283,156 | ) | 4,848,954 | 2,684,393 | |||||||||||||||||||||
Foreign currency contracts | — | — | — | — | (302,194 | ) | — | — | — | |||||||||||||||||||||||
Other foreign currency related transactions | 480 | (37 | ) | — | — | (18,903 | ) | — | — | — | ||||||||||||||||||||||
Change in unrealized appreciation/depreciation on: | ||||||||||||||||||||||||||||||||
Investments | 2,013,746 | 4,610,166 | 6,025,662 | 20,060,180 | 2,081,336 | 13,632,138 | 8,739,357 | 5,413,358 | ||||||||||||||||||||||||
Foreign currency contracts | — | — | — | — | 57,516 | — | — | — | ||||||||||||||||||||||||
Other foreign currency related transactions | 394 | — | — | — | 22 | — | — | — | ||||||||||||||||||||||||
Net realized/unrealized gain (loss) on investments, foreign currency contracts, and other foreign currency related transactions | 2,354,753 | 7,067,377 | 11,916,973 | 19,737,872 | 1,699,403 | 12,348,982 | 13,588,311 | 8,097,751 | ||||||||||||||||||||||||
Change in net assets from operations | $ | 2,401,101 | $ | 6,894,044 | $ | 11,695,439 | $ | 22,293,505 | $ | 2,575,555 | $ | 30,064,243 | $ | 13,387,717 | $ | 8,278,357 | ||||||||||||||||
* Taxes withheld | $ | 12,736 | $ | 1,564 | $ | 1,511 | $ | — | $ | 21,078 | $ | — | $ | 855 | $ | 4,011 | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
112
Ohio National Fund, Inc.
Statements of Operations | For the Year Ended December 31, 2010 |
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 | $ | 10,713 | $ | 11,536 | $ | 820 | $ | 260,643 | $ | 957 | $ | 670 | $ | 796 | $ | 3,805 | ||||||||||||||||
Dividends, net of taxes withheld* | 2,438,858 | 523,730 | 248,246 | 203,117 | 168,796 | 460,450 | 544,544 | 679,833 | ||||||||||||||||||||||||
Total investment income | 2,449,571 | 535,266 | 249,066 | 463,760 | 169,753 | 461,120 | 545,340 | 683,638 | ||||||||||||||||||||||||
Expenses: | ||||||||||||||||||||||||||||||||
Management fees | 1,205,457 | 1,011,606 | 99,609 | 86,900 | 62,673 | 119,135 | 139,905 | 349,369 | ||||||||||||||||||||||||
Custodian fees | 13,119 | 9,534 | 1,573 | 1,316 | 7,317 | 4,945 | 3,116 | 7,325 | ||||||||||||||||||||||||
Directors’ fees | 17,898 | 13,852 | 1,509 | 1,513 | 884 | 2,270 | 2,642 | 5,102 | ||||||||||||||||||||||||
Professional fees | 19,210 | 17,636 | 12,337 | 12,338 | 12,075 | 12,647 | 12,819 | 13,346 | ||||||||||||||||||||||||
Accounting fees | 56,714 | 45,566 | 10,387 | 20,656 | 10,570 | 13,848 | 12,066 | 18,978 | ||||||||||||||||||||||||
Printing and filing fees | 26,679 | 21,324 | 2,192 | 2,238 | 1,381 | 3,299 | 3,925 | 6,198 | ||||||||||||||||||||||||
Compliance expense | 6,390 | 6,390 | 6,390 | 6,390 | 6,390 | 6,390 | 6,390 | 6,390 | ||||||||||||||||||||||||
Other | 4,984 | 3,933 | 485 | 448 | 243 | 708 | 825 | 715 | ||||||||||||||||||||||||
Total expenses | 1,350,451 | 1,129,841 | 134,482 | 131,799 | 101,533 | 163,242 | 181,688 | 407,423 | ||||||||||||||||||||||||
Less expenses voluntarily reduced or reimbursed by adviser | — | — | — | — | (1,858 | ) | — | — | — | |||||||||||||||||||||||
Net expenses | 1,350,451 | 1,129,841 | 134,482 | 131,799 | 99,675 | 163,242 | 181,688 | 407,423 | ||||||||||||||||||||||||
Net investment income (loss) | 1,099,120 | (594,575 | ) | 114,584 | 331,961 | 70,078 | 297,878 | 363,652 | 276,215 | |||||||||||||||||||||||
Realized/unrealized gain (loss) on investments, foreign currency related transactions, and written options: | ||||||||||||||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||||||||||||||
Investments | 13,166,099 | 15,009,999 | 1,360,515 | 680,830 | 68,359 | 1,642,994 | 1,618,442 | 5,178,475 | ||||||||||||||||||||||||
Foreign currency related transactions | (346 | ) | — | — | 37 | 11 | — | — | (18 | ) | ||||||||||||||||||||||
Written options | — | — | — | — | (83,546 | ) | — | — | — | |||||||||||||||||||||||
Change in unrealized appreciation/depreciation on: | ||||||||||||||||||||||||||||||||
Investments | 8,557,768 | 12,578,232 | 160,094 | (1,008 | ) | 609,626 | 1,712,578 | 3,054,237 | 9,642,592 | |||||||||||||||||||||||
Foreign currency related transactions | — | — | — | (16 | ) | — | — | — | — | |||||||||||||||||||||||
Written options | — | — | — | — | (84,076 | ) | — | — | — | |||||||||||||||||||||||
Net realized/unrealized gain (loss) on investments, foreign currency related transactions, and written options | 21,723,521 | 27,588,231 | 1,520,609 | 679,843 | 510,374 | 3,355,572 | 4,672,679 | 14,821,049 | ||||||||||||||||||||||||
Change in net assets from operations | $ | 22,822,641 | $ | 26,993,656 | $ | 1,635,193 | $ | 1,011,804 | $ | 580,452 | $ | 3,653,450 | $ | 5,036,331 | $ | 15,097,264 | ||||||||||||||||
* Taxes withheld | $ | 3,620 | $ | — | $ | 1,376 | $ | 4,224 | $ | 881 | $ | 17,146 | $ | — | $ | 620 | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
113
Ohio National Fund, Inc.
Statements of Changes in Net Assets
Equity | Money Market | Bond | Omni | |||||||||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | |||||||||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||||||||
December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||||||||
2010 | 2009 | 2010 | 2009 | 2010 | 2009 | 2010 | 2009 | |||||||||||||||||||||||||
Increase (Decrease) in Net Assets: | ||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 450,304 | $ | 526,976 | $ | — | $ | — | $ | 5,839,374 | $ | 6,041,762 | $ | 693,415 | $ | 819,132 | ||||||||||||||||
Net realized gain (loss) on investments and foreign currency related transactions | (1,138,078 | ) | (37,830,132 | ) | — | — | 1,961,700 | (7,436,754 | ) | 2,963,526 | (2,391,937 | ) | ||||||||||||||||||||
Change in unrealized appreciation/depreciation on investments | 17,726,044 | 103,793,956 | — | — | 3,535,443 | 23,501,373 | 1,338,298 | 12,249,119 | ||||||||||||||||||||||||
Change in net assets from operations | 17,038,270 | 66,490,800 | — | — | 11,336,517 | 22,106,381 | 4,995,239 | 10,676,314 | ||||||||||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||||||
Distributions from net investment income | (425,944 | ) | (474,966 | ) | — | — | — | — | (606,516 | ) | (722,837 | ) | ||||||||||||||||||||
Capital transactions: | ||||||||||||||||||||||||||||||||
Received from shares sold | 21,954,910 | 24,521,613 | 305,026,132 | 417,820,442 | 57,209,206 | 46,255,877 | 3,734,570 | 3,952,680 | ||||||||||||||||||||||||
Received from dividends reinvested | 425,944 | 474,966 | — | — | — | — | 606,516 | 722,837 | ||||||||||||||||||||||||
Paid for shares redeemed | (46,072,388 | ) | (52,012,006 | ) | (352,822,395 | ) | (479,126,912 | ) | (58,280,990 | ) | (38,208,419 | ) | (9,069,964 | ) | (8,026,435 | ) | ||||||||||||||||
Change in net assets from capital transactions | (23,691,534 | ) | (27,015,427 | ) | (47,796,263 | ) | (61,306,470 | ) | (1,071,784 | ) | 8,047,458 | (4,728,878 | ) | (3,350,918 | ) | |||||||||||||||||
Change in net assets | (7,079,208 | ) | 39,000,407 | (47,796,263 | ) | (61,306,470 | ) | 10,264,733 | 30,153,839 | (340,155 | ) | 6,602,559 | ||||||||||||||||||||
Net Assets: | ||||||||||||||||||||||||||||||||
Beginning of year | 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 year | $ | 219,431,482 | $ | 226,510,690 | $ | 293,446,937 | $ | 341,243,200 | $ | 148,177,042 | $ | 137,912,309 | $ | 41,177,220 | $ | 41,517,375 | ||||||||||||||||
Undistributed net investment income | $ | 24,360 | $ | 52,010 | $ | — | $ | — | $ | 5,842,038 | $ | 6,044,426 | $ | 86,728 | $ | 96,307 | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
114
Ohio National Fund, Inc.
Statements of Changes in Net Assets
International | Capital Appreciation | Millennium | International Small-Mid | |||||||||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | Company Portfolio | |||||||||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||||||||
December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||||||||
2010 | 2009 | 2010 | 2009 | 2010 | 2009 | 2010 | 2009 | |||||||||||||||||||||||||
Increase (Decrease) in Net Assets: | ||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 2,332,430 | $ | 2,731,612 | $ | 387,840 | $ | 1,532,304 | $ | (527,603 | ) | $ | (423,177 | ) | $ | 218,206 | $ | 273,586 | ||||||||||||||
Net realized gain (loss) on investments, futures contracts, foreign currency contracts, and other foreign currency related transactions | 24,752,616 | (40,222,432 | ) | 11,430,819 | (21,856,408 | ) | 16,124,928 | (3,066,143 | ) | 6,361,321 | (1,297,839 | ) | ||||||||||||||||||||
Change in unrealized appreciation/depreciation on investments, futures contracts, foreign currency contracts, and other foreign currency related transactions | 5,614,028 | 100,236,182 | 7,958,092 | 59,400,776 | (9,539,756 | ) | 19,615,280 | 5,982,508 | 23,581,461 | |||||||||||||||||||||||
Change in net assets from operations | 32,699,074 | 62,745,362 | 19,776,751 | 39,076,672 | 6,057,569 | 16,125,960 | 12,562,035 | 22,557,208 | ||||||||||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||||||
Distributions from net investment income | — | — | (284,477 | ) | (1,371,677 | ) | — | — | — | — | ||||||||||||||||||||||
Capital transactions: | ||||||||||||||||||||||||||||||||
Received from shares sold | 24,045,087 | 20,610,913 | 12,695,267 | 13,406,834 | 20,100,436 | 74,284,850 | 12,335,886 | 16,188,203 | ||||||||||||||||||||||||
Received from dividends reinvested | — | — | 284,477 | 1,371,677 | — | — | — | — | ||||||||||||||||||||||||
Paid for shares redeemed | (53,704,699 | ) | (53,057,563 | ) | (28,925,158 | ) | (29,864,051 | ) | (94,390,633 | ) | (14,306,497 | ) | (17,349,611 | ) | (20,381,525 | ) | ||||||||||||||||
Change in net assets from capital transactions | (29,659,612 | ) | (32,446,650 | ) | (15,945,414 | ) | (15,085,540 | ) | (74,290,197 | ) | 59,978,353 | (5,013,725 | ) | (4,193,322 | ) | |||||||||||||||||
Change in net assets | 3,039,462 | 30,298,712 | 3,546,860 | 22,619,455 | (68,232,628 | ) | 76,104,313 | 7,548,310 | 18,363,886 | |||||||||||||||||||||||
Net Assets: | ||||||||||||||||||||||||||||||||
Beginning of year | 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 year | $ | 213,085,792 | $ | 210,046,330 | $ | 129,801,059 | $ | 126,254,199 | $ | 42,077,333 | $ | 110,309,961 | $ | 78,612,580 | $ | 71,064,270 | ||||||||||||||||
Undistributed net investment income | $ | 3,106,271 | $ | 1,339,628 | $ | 85,152 | $ | 156,600 | $ | — | $ | — | $ | 87,320 | $ | 79,256 | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
115
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 | |||||||||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||||||||
December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||||||||
2010 | 2009 | 2010 | 2009 | 2010 | 2009 | 2010 | 2009 | |||||||||||||||||||||||||
Increase (Decrease) in Net Assets: | ||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 46,348 | $ | (50,630 | ) | $ | (173,333 | ) | $ | (130,618 | ) | $ | (221,534 | ) | $ | (191,871 | ) | $ | 2,555,633 | $ | 2,360,761 | |||||||||||
Net realized gain (loss) on investments and foreign currency related transactions | 340,613 | (757,700 | ) | 2,457,211 | (1,455,200 | ) | 5,891,311 | 7,384,263 | (322,308 | ) | (937,053 | ) | ||||||||||||||||||||
Change in unrealized appreciation/depreciation on investments and foreign currency related transactions | 2,014,140 | 8,725,649 | 4,610,166 | 8,483,045 | 6,025,662 | 14,668,798 | 20,060,180 | 31,621,689 | ||||||||||||||||||||||||
Change in net assets from operations | 2,401,101 | 7,917,319 | 6,894,044 | 6,897,227 | 11,695,439 | 21,861,190 | 22,293,505 | 33,045,397 | ||||||||||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||||||
Distributions from net investment income | — | — | — | — | — | — | (2,196,659 | ) | (2,047,655 | ) | ||||||||||||||||||||||
Capital transactions: | ||||||||||||||||||||||||||||||||
Received from shares sold | 9,372,757 | 8,748,197 | 10,622,179 | 7,889,316 | 9,304,135 | 37,239,976 | 32,754,237 | 62,219,156 | ||||||||||||||||||||||||
Received from dividends reinvested | — | — | — | — | — | — | 2,196,659 | 2,047,655 | ||||||||||||||||||||||||
Paid for shares redeemed | (9,193,403 | ) | (7,473,737 | ) | (8,178,329 | ) | (5,207,938 | ) | (14,133,909 | ) | (75,207,718 | ) | (39,577,141 | ) | (40,764,928 | ) | ||||||||||||||||
Change in net assets from capital transactions | 179,354 | 1,274,460 | 2,443,850 | 2,681,378 | (4,829,774 | ) | (37,967,742 | ) | (4,626,245 | ) | 23,501,883 | |||||||||||||||||||||
�� | ||||||||||||||||||||||||||||||||
Change in net assets | 2,580,455 | 9,191,779 | 9,337,894 | 9,578,605 | 6,865,665 | (16,106,552 | ) | 15,470,601 | 54,499,625 | |||||||||||||||||||||||
Net Assets: | ||||||||||||||||||||||||||||||||
Beginning of year | 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 year | $ | 29,757,252 | $ | 27,176,797 | $ | 32,099,435 | $ | 22,761,541 | $ | 70,367,443 | $ | 63,501,778 | $ | 176,179,054 | $ | 160,708,453 | ||||||||||||||||
Undistributed net investment income | $ | 111,728 | $ | 66,891 | $ | (5 | ) | $ | — | $ | — | $ | — | $ | 368,226 | $ | 312,026 | |||||||||||||||
The accompanying notes are an integral part of these financial statements.
116
Ohio National Fund, Inc.
Statements of Changes in Net Assets
Strategic Value | High Income Bond | Capital Growth | Nasdaq-100® Index | |||||||||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | |||||||||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||||||||
December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||||||||
2010 | 2009 | 2010 | 2009 | 2010 | 2009 | 2010 | 2009 | |||||||||||||||||||||||||
Increase (Decrease) in Net Assets: | ||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 876,152 | $ | 628,487 | $ | 17,715,261 | $ | 10,467,379 | $ | (200,594 | ) | $ | 4,676 | $ | 180,606 | $ | 67,713 | |||||||||||||||
Net realized gain (loss) on investments, foreign currency contracts, and foreign currency related transactions | (439,471 | ) | (1,846,420 | ) | (1,283,156 | ) | (967,160 | ) | 4,848,954 | (2,009,614 | ) | 2,684,393 | 232,855 | |||||||||||||||||||
Change in unrealized appreciation/depreciation on investments, foreign currency contracts, and other foreign currency related transactions | 2,138,874 | 3,343,973 | 13,632,138 | 34,205,835 | 8,739,357 | 11,786,408 | 5,413,358 | 15,353,126 | ||||||||||||||||||||||||
Change in net assets from operations | 2,575,555 | 2,126,040 | 30,064,243 | 43,706,054 | 13,387,717 | 9,781,470 | 8,278,357 | 15,653,694 | ||||||||||||||||||||||||
Distributions to shareholders: | �� | |||||||||||||||||||||||||||||||
Distributions from net investment income | (591,141 | ) | (553,534 | ) | — | — | — | — | (158,375 | ) | — | |||||||||||||||||||||
Return of capital distributions | (175,066 | ) | — | — | — | — | — | — | — | |||||||||||||||||||||||
Total distributions | (766,207 | ) | (553,534 | ) | — | — | — | — | (158,375 | ) | — | |||||||||||||||||||||
Capital transactions: | ||||||||||||||||||||||||||||||||
Received from shares sold | 9,495,133 | 9,094,435 | 152,858,080 | 89,610,175 | 13,911,151 | 10,662,186 | 18,796,999 | 18,529,577 | ||||||||||||||||||||||||
Received from dividends reinvested | 766,207 | 553,534 | — | — | — | — | 158,375 | — | ||||||||||||||||||||||||
Paid for shares redeemed | (7,486,436 | ) | (4,802,105 | ) | (73,042,369 | ) | (44,752,454 | ) | (11,671,289 | ) | (10,743,788 | ) | (19,725,238 | ) | (14,683,834 | ) | ||||||||||||||||
Change in net assets from capital transactions | 2,774,904 | 4,845,864 | 79,815,711 | 44,857,721 | 2,239,862 | (81,602 | ) | (769,864 | ) | 3,845,743 | ||||||||||||||||||||||
Change in net assets | 4,584,252 | 6,418,370 | 109,879,954 | 88,563,775 | 15,627,579 | 9,699,868 | 7,350,118 | 19,499,437 | ||||||||||||||||||||||||
Net Assets: | ||||||||||||||||||||||||||||||||
Beginning of year | 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 year | $ | 24,347,260 | $ | 19,763,008 | $ | 269,787,163 | $ | 159,907,209 | $ | 52,411,406 | $ | 36,783,827 | $ | 54,938,397 | $ | 47,588,279 | ||||||||||||||||
Undistributed net investment income | $ | (46,569 | ) | $ | 37,519 | $ | 17,781,200 | $ | 10,467,379 | $ | 35,049 | $ | 4,676 | $ | 22,231 | $ | 69,016 | |||||||||||||||
The accompanying notes are an integral part of these financial statements.
117
Ohio National Fund, Inc.
Statements of Changes in Net Assets
Bristol | Bryton Growth | U.S. Equity | Balanced | |||||||||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | |||||||||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||||||||
December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||||||||
2010 | 2009 | 2010 | 2009 | 2010 | 2009 | 2010 | 2009 | |||||||||||||||||||||||||
Increase (Decrease) in Net Assets: | ||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 1,099,120 | $ | 860,602 | $ | (594,575 | ) | $ | (522,143 | ) | $ | 114,584 | $ | 116,369 | $ | 331,961 | $ | 335,815 | ||||||||||||||
Net realized gain (loss) on investments and foreign currency related transactions | 13,165,753 | (2,496,475 | ) | 15,009,999 | (3,579,256 | ) | 1,360,515 | (657,934 | ) | 680,867 | (190,781 | ) | ||||||||||||||||||||
Change in unrealized appreciation/depreciation on investments and foreign currency related transactions | 8,557,768 | 35,271,355 | 12,578,232 | 30,818,101 | 160,094 | 2,721,449 | (1,024 | ) | 2,509,467 | |||||||||||||||||||||||
Change in net assets from operations | 22,822,641 | 33,635,482 | 26,993,656 | 26,716,702 | 1,635,193 | 2,179,884 | 1,011,804 | 2,654,501 | ||||||||||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||||||
Distributions from net investment income | (995,109 | ) | (753,303 | ) | — | — | (99,183 | ) | (97,286 | ) | (282,940 | ) | (289,620 | ) | ||||||||||||||||||
Capital transactions: | ||||||||||||||||||||||||||||||||
Received from shares sold | 51,108,856 | 53,481,033 | 38,665,672 | 48,509,791 | 1,837,204 | 2,971,249 | 3,408,481 | 4,421,101 | ||||||||||||||||||||||||
Received from dividends reinvested | 995,109 | 753,303 | — | — | 99,183 | 97,286 | 282,940 | 289,620 | ||||||||||||||||||||||||
Paid for shares redeemed | (34,085,789 | ) | (25,861,068 | ) | (41,681,638 | ) | (20,811,898 | ) | (3,593,412 | ) | (3,541,722 | ) | (3,509,686 | ) | (3,118,826 | ) | ||||||||||||||||
Change in net assets from capital transactions | 18,018,176 | 28,373,268 | (3,015,966 | ) | 27,697,893 | (1,657,025 | ) | (473,187 | ) | 181,735 | 1,591,895 | |||||||||||||||||||||
Change in net assets | 39,845,708 | 61,255,447 | 23,977,690 | 54,414,595 | (121,015 | ) | 1,609,411 | 910,599 | 3,956,776 | |||||||||||||||||||||||
Net Assets: | ||||||||||||||||||||||||||||||||
Beginning of year | 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 year | $ | 182,644,630 | $ | 142,798,922 | $ | 137,411,812 | $ | 113,434,122 | $ | 14,508,987 | $ | 14,630,002 | $ | 14,492,946 | $ | 13,582,347 | ||||||||||||||||
Undistributed net investment income | $ | 103,294 | $ | 107,371 | $ | — | $ | — | $ | 15,401 | $ | 19,083 | $ | 49,058 | $ | 46,186 | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
118
Ohio National Fund, Inc.
Statements of Changes in Net Assets
Income Opportunity | Target VIP | Target Equity/Income | Bristol Growth | |||||||||||||||||||||||||||||
Portfolio | Portfolio | Portfolio | Portfolio | |||||||||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||||||||
December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | December 31, | |||||||||||||||||||||||||
2010 | 2009 | 2010 | 2009 | 2010 | 2009 | 2010 | 2009 | |||||||||||||||||||||||||
Increase (Decrease) in Net Assets: | ||||||||||||||||||||||||||||||||
Operations: | ||||||||||||||||||||||||||||||||
Net investment income (loss) | $ | 70,078 | $ | 21,601 | $ | 297,878 | $ | 285,899 | $ | 363,652 | $ | 454,499 | $ | 276,215 | $ | 19,268 | ||||||||||||||||
Net realized gain (loss) on investments, foreign currency related transactions, and written options | (15,176 | ) | (290,802 | ) | 1,642,994 | (11,189,698 | ) | 1,618,442 | (17,723,261 | ) | 5,178,457 | (87,067 | ) | |||||||||||||||||||
Change in unrealized appreciation/depreciation on investments, foreign currency related transactions, and written options | 525,550 | 1,096,735 | 1,712,578 | 13,803,902 | 3,054,237 | 19,904,558 | 9,642,592 | 2,664,053 | ||||||||||||||||||||||||
Change in net assets from operations | 580,452 | 827,534 | 3,653,450 | 2,900,103 | 5,036,331 | 2,635,796 | 15,097,264 | 2,596,254 | ||||||||||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||||||
Distributions from net investment income | — | — | (266,234 | ) | (253,696 | ) | (305,152 | ) | (416,144 | ) | (259,134 | ) | — | |||||||||||||||||||
Capital transactions: | ||||||||||||||||||||||||||||||||
Received from shares sold | 3,876,875 | 3,291,911 | 3,229,205 | 6,226,014 | 6,337,967 | 6,217,680 | 73,946,057 | 4,010,986 | ||||||||||||||||||||||||
Received from dividends reinvested | — | — | 266,234 | 253,696 | 305,152 | 416,144 | 259,134 | — | ||||||||||||||||||||||||
Paid for shares redeemed | (1,500,541 | ) | (1,941,532 | ) | (5,607,398 | ) | (6,742,319 | ) | (7,429,363 | ) | (10,314,027 | ) | (14,244,723 | ) | (953,320 | ) | ||||||||||||||||
Change in net assets from capital transactions | 2,376,334 | 1,350,379 | (2,111,959 | ) | (262,609 | ) | (786,244 | ) | (3,680,203 | ) | 59,960,468 | 3,057,666 | ||||||||||||||||||||
Change in net assets | 2,956,786 | 2,177,913 | 1,275,257 | 2,383,798 | 3,944,935 | (1,460,551 | ) | 74,798,598 | 5,653,920 | |||||||||||||||||||||||
Net Assets: | ||||||||||||||||||||||||||||||||
Beginning of year | 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 year | $ | 9,648,234 | $ | 6,691,448 | $ | 21,856,255 | $ | 20,580,998 | $ | 26,561,616 | $ | 22,616,681 | $ | 85,296,173 | $ | 10,497,575 | ||||||||||||||||
Undistributed net investment income | $ | 70,089 | $ | 20,040 | $ | 28,667 | $ | 32,199 | $ | 58,500 | $ | 38,355 | $ | 16,958 | $ | 19,274 | ||||||||||||||||
The accompanying notes are an integral part of these financial statements.
119
Ohio National Fund, Inc.
Financial Highlights
Equity Portfolio | Money Market Portfolio | |||||||||||||||||||||||||||||||||||||||
Years Ended December 31, | Years Ended December 31, | |||||||||||||||||||||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 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) | 0.04 | 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 | 1.41 | 5.11 | (16.48 | ) | (1.88 | ) | 1.98 | — | — | — | — | — | ||||||||||||||||||||||||||||
Total from operations | 1.45 | 5.16 | (16.26 | ) | (1.86 | ) | 1.97 | — | — | 0.17 | 0.48 | 0.47 | ||||||||||||||||||||||||||||
Distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.04 | ) | (0.04 | ) | (0.20 | ) | (0.01 | ) | — | — | — | (0.17 | ) | (0.48 | ) | (0.47 | ) | |||||||||||||||||||||||
Net asset value, end of year | $ | 19.72 | $ | 18.31 | $ | 13.19 | $ | 29.65 | $ | 31.52 | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | $ | 10.00 | ||||||||||||||||||||
Total return | 7.91 | % | 39.11 | % | –54.81 | % | –5.89 | % | 6.67 | % | 0.00 | % | 0.00 | % | 1.77 | % | 4.92 | % | 4.79 | % | ||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||
Net assets at end of year (millions) | $ | 219.4 | $ | 226.5 | $ | 187.5 | $ | 505.1 | $ | 550.1 | $ | 293.4 | $ | 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 | % | 0.88 | % | 0.84 | % | 0.84 | % | 0.86 | % | 0.17 | % | 0.19 | % | 0.32 | % | 0.31 | % | 0.32 | % | ||||||||||||||||||||
Net investment income (loss) | 0.21 | % | 0.27 | % | 0.89 | % | 0.05 | % | –0.04 | % | 0.00 | % | 0.00 | % | 1.72 | % | 4.79 | % | 4.72 | % | ||||||||||||||||||||
Ratios assuming no expenses reduced or reimbursed by adviser: | ||||||||||||||||||||||||||||||||||||||||
Expenses | 0.87 | % | 0.88 | % | 0.84 | % | 0.84 | % | 0.86 | % | 0.35 | % | 0.36 | % | 0.35 | % | 0.32 | % | 0.35 | % | ||||||||||||||||||||
Net investment income (loss) | 0.21 | % | 0.27 | % | 0.89 | % | 0.05 | % | –0.04 | % | –0.18 | % | –0.17 | % | 1.68 | % | 4.77 | % | 4.70 | % | ||||||||||||||||||||
Portfolio turnover rate | 50 | % | 24 | % | 39 | % | 23 | % | 13 | % | 0 | % | 0 | % | 0 | % | 0 | % | 0 | % |
The accompanying notes are an integral part of these financial statements.
120
Ohio National Fund, Inc.
Financial Highlights
Bond Portfolio | Omni Portfolio | |||||||||||||||||||||||||||||||||||||||
Years Ended December 31, | Years Ended December 31, | |||||||||||||||||||||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 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) | 0.52 | 0.49 | 1.04 | 0.58 | 0.55 | (a) | 0.28 | 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 | ) | 1.62 | 3.36 | (5.63 | ) | 0.76 | 1.61 | ||||||||||||||||||||||||||
Total from operations | 0.96 | 2.12 | (1.31 | ) | 0.41 | 0.49 | 1.90 | 3.65 | (5.23 | ) | 1.10 | 1.88 | ||||||||||||||||||||||||||||
Distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | — | — | — | — | (0.42 | ) | (0.24 | ) | (0.25 | ) | (0.35 | ) | (0.29 | ) | (0.20 | ) | ||||||||||||||||||||||||
Net asset value, end of year | $ | 13.21 | $ | 12.25 | $ | 10.13 | $ | 11.44 | $ | 11.03 | $ | 16.08 | $ | 14.42 | $ | 11.02 | $ | 16.60 | $ | 15.79 | ||||||||||||||||||||
Total return | 7.84 | % | 20.93 | % | –11.45 | % | 3.72 | % | 4.44 | % | 13.19 | % | 33.15 | % | –31.46 | % | 6.99 | % | 13.32 | % | ||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||
Net assets at end of year (millions) | $ | 148.2 | $ | 137.9 | $ | 107.8 | $ | 177.7 | $ | 171.1 | $ | 41.2 | $ | 41.5 | $ | 34.9 | $ | 61.8 | $ | 67.1 | ||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||
Expenses | 0.67 | % | 0.69 | % | 0.66 | % | 0.63 | % | 0.65 | % | 0.78 | % | 0.79 | % | 0.74 | % | 0.71 | % | 0.71 | % | ||||||||||||||||||||
Net investment income (loss) | 3.91 | % | 5.06 | % | 5.35 | % | 4.99 | % | 4.99 | % | 1.71 | % | 2.18 | % | 2.43 | % | 1.85 | % | 1.69 | % | ||||||||||||||||||||
Portfolio turnover rate | 22 | % | 27 | % | 15 | % | 13 | % | 25 | % | 182 | % | 157 | % | 128 | % | 143 | % | 178 | % |
(a) | Calculated using the average daily shares method. |
The accompanying notes are an integral part of these financial statements.
121
Ohio National Fund, Inc.
Financial Highlights
International Portfolio | Capital Appreciation Portfolio | |||||||||||||||||||||||||||||||||||||||
Years Ended December 31, | Years Ended December 31, | |||||||||||||||||||||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 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) | 0.14 | 0.14 | 0.13 | 0.09 | 0.05 | 0.06 | 0.22 | 0.14 | 0.11 | 0.12 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments, futures contracts, foreign currency contracts, and other foreign currency related transactions | 1.61 | 2.75 | (6.59 | ) | 1.12 | 2.02 | 2.90 | 5.07 | (8.12 | ) | 0.65 | 2.68 | ||||||||||||||||||||||||||||
Total from operations | 1.75 | 2.89 | (6.46 | ) | 1.21 | 2.07 | 2.96 | 5.29 | (7.98 | ) | 0.76 | 2.80 | ||||||||||||||||||||||||||||
Distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | — | — | — | — | (0.02 | ) | (0.04 | ) | (0.19 | ) | (0.12 | ) | (0.10 | ) | (0.09 | ) | ||||||||||||||||||||||||
Net asset value, end of year | $ | 12.20 | $ | 10.45 | $ | 7.56 | $ | 14.02 | $ | 12.81 | $ | 20.37 | $ | 17.45 | $ | 12.35 | $ | 20.45 | $ | 19.79 | ||||||||||||||||||||
Total return | 16.75 | % | 38.23 | % | –46.08 | % | 9.45 | % | 19.23 | % | 16.99 | % | 42.84 | % | –39.01 | % | 3.82 | % | 16.37 | % | ||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||
Net assets at end of year (millions) | $ | 213.1 | $ | 210.0 | $ | 179.7 | $ | 389.2 | $ | 333.0 | $ | 129.8 | $ | 126.3 | $ | 103.6 | $ | 197.6 | $ | 222.5 | ||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||
Expenses | 1.03 | % | 1.07 | % | 0.91 | % | 0.99 | % | 1.03 | % | 0.89 | % | 0.90 | % | 0.87 | % | 0.84 | % | 0.85 | % | ||||||||||||||||||||
Net investment income (loss) | 1.15 | % | 1.47 | % | 1.03 | % | 0.66 | % | 0.58 | % | 0.31 | % | 1.38 | % | 0.71 | % | 0.46 | % | 0.64 | % | ||||||||||||||||||||
Portfolio turnover rate | 67 | % | 168 | % | 214 | % | 123 | % | 72 | % | 58 | % | 84 | % | 79 | % | 69 | % | 80 | % |
The accompanying notes are an integral part of these financial statements.
122
Ohio National Fund, Inc.
Financial Highlights
Millennium Portfolio | International Small-Mid Company Portfolio | |||||||||||||||||||||||||||||||||||||||
Years Ended December 31, | Years Ended December 31, | |||||||||||||||||||||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 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) | (0.27 | ) | (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 | 4.51 | 3.08 | (10.53 | ) | 5.35 | 1.50 | 3.76 | 6.05 | (14.08 | ) | 3.99 | 4.98 | ||||||||||||||||||||||||||||
Total from operations | 4.24 | 3.01 | (10.69 | ) | 5.19 | 1.37 | 3.83 | 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 year | $ | 21.69 | $ | 17.45 | $ | 14.44 | $ | 25.13 | $ | 19.94 | $ | 23.24 | $ | 19.41 | $ | 13.29 | $ | 27.29 | $ | 23.23 | ||||||||||||||||||||
Total return | 24.30 | % | 20.84 | % | –42.54 | % | 26.03 | % | 7.38 | % | 19.73 | % | 46.05 | % | –51.30 | % | 17.48 | % | 26.35 | % | ||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||
Net assets at end of year (millions) | $ | 42.1 | $ | 110.3 | $ | 34.2 | $ | 71.1 | $ | 62.6 | $ | 78.6 | $ | 71.1 | $ | 52.7 | $ | 113.0 | $ | 75.4 | ||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||
Expenses | 0.92 | % | 0.93 | % | 0.92 | % | 0.89 | % | 0.89 | % | 1.25 | % | 1.28 | % | 1.19 | % | 1.29 | % | 1.34 | % | ||||||||||||||||||||
Net investment income (loss) | –0.69 | % | –0.67 | % | –0.70 | % | –0.70 | % | –0.59 | % | 0.32 | % | 0.47 | % | 0.36 | % | 0.27 | % | –0.01 | % | ||||||||||||||||||||
Portfolio turnover rate | 254 | % | 248 | % | 224 | % | 156 | % | 219 | % | 81 | % | 125 | % | 75 | % | 53 | % | 69 | % |
The accompanying notes are an integral part of these financial statements.
123
Ohio National Fund, Inc.
Financial Highlights
Aggressive Growth Portfolio | Small Cap Growth Portfolio | |||||||||||||||||||||||||||||||||||||||
Years Ended December 31, | Years Ended December 31, | |||||||||||||||||||||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 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) | 0.01 | (0.02 | ) | (0.01 | ) | 0.02 | 0.02 | (0.07 | ) | (0.06 | ) | (0.08 | ) | (0.09 | ) | (0.09 | ) | |||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency related transactions | 0.73 | 2.24 | (4.03 | ) | 2.09 | 0.37 | 3.04 | 3.39 | (5.90 | ) | 1.69 | 2.32 | ||||||||||||||||||||||||||||
Total from operations | 0.74 | 2.22 | (4.04 | ) | 2.11 | 0.39 | 2.97 | 3.33 | (5.98 | ) | 1.60 | 2.23 | ||||||||||||||||||||||||||||
Net asset value, end of year | $ | 8.17 | $ | 7.43 | $ | 5.21 | $ | 9.25 | $ | 7.14 | $ | 12.86 | $ | 9.89 | $ | 6.56 | $ | 12.54 | $ | 10.94 | ||||||||||||||||||||
Total return | 9.96 | % | 42.61 | % | –43.68 | % | 29.55 | % | 5.78 | % | 30.03 | % | 50.76 | % | –47.69 | % | 14.63 | % | 25.60 | % | ||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||
Net assets at end of year (millions) | $ | 29.8 | $ | 27.2 | $ | 18.0 | $ | 28.8 | $ | 17.8 | $ | 32.1 | $ | 22.8 | $ | 13.2 | $ | 27.0 | $ | 20.8 | ||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||
Expenses | 1.05 | % | 1.04 | % | 0.98 | % | 0.97 | % | 1.06 | % | 1.13 | % | 1.21 | % | 1.18 | % | 1.15 | % | 1.16 | % | ||||||||||||||||||||
Net investment income (loss) | 0.17 | % | –0.23 | % | –0.04 | % | 0.34 | % | 0.22 | % | –0.70 | % | –0.77 | % | –0.84 | % | –0.77 | % | –0.92 | % | ||||||||||||||||||||
Portfolio turnover rate | 37 | % | 28 | % | 43 | % | 29 | % | 105 | % | 94 | % | 50 | % | 37 | % | 74 | % | 93 | % |
The accompanying notes are an integral part of these financial statements.
124
Ohio National Fund, Inc.
Financial Highlights
Mid Cap Opportunity Portfolio | S&P 500® Index Portfolio | |||||||||||||||||||||||||||||||||||||||
Years Ended December 31, | Years Ended December 31, | |||||||||||||||||||||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 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) | (0.06 | ) | (0.05 | ) | (0.07 | ) | (0.09 | ) | (0.09 | ) | 0.19 | 0.17 | 0.24 | 0.24 | 0.22 | |||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 3.08 | 4.50 | (11.47 | ) | 3.50 | 1.78 | 1.50 | 2.26 | (5.98 | ) | 0.51 | 1.77 | ||||||||||||||||||||||||||||
Total from operations | 3.02 | 4.45 | (11.54 | ) | 3.41 | 1.69 | 1.69 | 2.43 | (5.74 | ) | 0.75 | 1.99 | ||||||||||||||||||||||||||||
Distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | — | — | — | — | — | (0.17 | ) | (0.15 | ) | (0.21 | ) | (0.21 | ) | (0.16 | ) | |||||||||||||||||||||||||
Net asset value, end of year | $ | 18.43 | $ | 15.41 | $ | 10.96 | $ | 22.50 | $ | 19.09 | $ | 13.21 | $ | 11.69 | $ | 9.41 | $ | 15.36 | $ | 14.82 | ||||||||||||||||||||
Total return | 19.60 | % | 40.60 | % | –51.29 | % | 17.86 | % | 9.71 | % | 14.45 | % | 25.83 | % | –37.30 | % | 5.06 | % | 15.30 | % | ||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||
Net assets at end of year (millions) | $ | 70.4 | $ | 63.5 | $ | 79.6 | $ | 115.4 | $ | 86.6 | $ | 176.2 | $ | 160.7 | $ | 106.2 | $ | 179.4 | $ | 182.1 | ||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||
Expenses | 0.98 | % | 0.97 | % | 0.94 | % | 0.93 | % | 0.94 | % | 0.49 | % | 0.51 | % | 0.48 | % | 0.45 | % | 0.47 | % | ||||||||||||||||||||
Net investment income (loss) | –0.35 | % | –0.27 | % | –0.53 | % | –0.45 | % | –0.45 | % | 1.59 | % | 1.85 | % | 1.85 | % | 1.50 | % | 1.45 | % | ||||||||||||||||||||
Portfolio turnover rate | 56 | % | 276 | % | 297 | % | 267 | % | 209 | % | 8 | % | 21 | % | 12 | % | 7 | % | 7 | % |
The accompanying notes are an integral part of these financial statements.
125
Ohio National Fund, Inc.
Financial Highlights
Strategic Value Portfolio | High Income Bond Portfolio | |||||||||||||||||||||||||||||||||||||||
Years Ended December 31, | Years Ended December 31, | |||||||||||||||||||||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 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) | 0.35 | 0.27 | 0.56 | 0.17 | 0.16 | 0.58 | 0.46 | 0.68 | 0.59 | 0.47 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency related transactions | 0.68 | 0.65 | (3.91 | ) | (1.31 | ) | 1.70 | 0.94 | 3.12 | (3.15 | ) | (0.26 | ) | 0.39 | ||||||||||||||||||||||||||
Total from operations | 1.03 | 0.92 | (3.35 | ) | (1.14 | ) | 1.86 | 1.52 | 3.58 | (2.47 | ) | 0.33 | 0.86 | |||||||||||||||||||||||||||
Distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.24 | ) | (0.25 | ) | (0.49 | ) | (0.15 | ) | (0.12 | ) | — | — | — | — | — | |||||||||||||||||||||||||
Return of capital distributions | (0.07 | ) | — | — | — | — | — | — | — | — | — | |||||||||||||||||||||||||||||
Total distributions | (0.31 | ) | (0.25 | ) | (0.49 | ) | (0.15 | ) | (0.12 | ) | — | — | — | — | — | |||||||||||||||||||||||||
Net asset value, end of year | $ | 9.36 | $ | 8.64 | $ | 7.97 | $ | 11.81 | $ | 13.10 | $ | 12.31 | $ | 10.79 | $ | 7.21 | $ | 9.68 | $ | 9.35 | ||||||||||||||||||||
Total return | 11.98 | % | 11.52 | % | –28.27 | % | –8.74 | % | 16.35 | % | 14.09 | % | 49.65 | % | –25.52 | % | 3.53 | % | 10.13 | % | ||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||
Net assets at end of year (millions) | $ | 24.3 | $ | 19.8 | $ | 13.3 | $ | 28.4 | $ | 34.8 | $ | 269.8 | $ | 159.9 | $ | 71.3 | $ | 89.0 | $ | 74.3 | ||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||
Expenses | 0.96 | % | 1.02 | % | 0.96 | % | 0.87 | % | 0.88 | % | 0.81 | % | 0.88 | % | 0.88 | % | 0.87 | % | 0.91 | % | ||||||||||||||||||||
Net investment income (loss) | 4.11 | % | 4.31 | % | 4.68 | % | 1.18 | % | 1.38 | % | 8.03 | % | 9.14 | % | 8.77 | % | 7.05 | % | 7.12 | % | ||||||||||||||||||||
Portfolio turnover rate | 31 | % | 42 | % | 162 | % | 63 | % | 65 | % | 33 | % | 20 | % | 18 | % | 32 | % | 32 | % |
The accompanying notes are an integral part of these financial statements.
126
Ohio National Fund, Inc.
Financial Highlights
Capital Growth Portfolio | Nasdaq-100® Index Portfolio | |||||||||||||||||||||||||||||||||||||||
Years Ended December 31, | Years Ended December 31, | |||||||||||||||||||||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 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) | (0.11 | ) | — | (0.12 | ) | (0.16 | ) | (0.16 | ) | 0.02 | 0.01 | — | — | — | ||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 7.50 | 5.29 | (8.45 | ) | 2.54 | 3.71 | 0.91 | 1.66 | (2.25 | ) | 0.84 | 0.28 | ||||||||||||||||||||||||||||
Total from operations | 7.39 | 5.29 | (8.57 | ) | 2.38 | 3.55 | 0.93 | 1.67 | (2.25 | ) | 0.84 | 0.28 | ||||||||||||||||||||||||||||
Distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | — | — | — | — | — | (0.02 | ) | — | — | — | — | |||||||||||||||||||||||||||||
Net asset value, end of year | $ | 27.68 | $ | 20.29 | $ | 15.00 | $ | 23.57 | $ | 21.19 | $ | 5.69 | $ | 4.78 | $ | 3.11 | $ | 5.36 | $ | 4.52 | ||||||||||||||||||||
Total return | 36.42 | % | 35.27 | % | –36.36 | % | 11.23 | % | 20.12 | % | 19.38 | % | 53.70 | % | –41.98 | % | 18.58 | % | 6.60 | % | ||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||
Net assets at end of year (millions) | $ | 52.4 | $ | 36.8 | $ | 27.1 | $ | 38.2 | $ | 32.9 | $ | 54.9 | $ | 47.6 | $ | 28.1 | $ | 48.6 | $ | 45.7 | ||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||
Expenses | 1.04 | % | 1.07 | % | 1.04 | % | 1.02 | % | 1.03 | % | 0.54 | % | 0.56 | % | 0.54 | % | 0.51 | % | 0.53 | % | ||||||||||||||||||||
Net investment income (loss) | –0.50 | % | 0.02 | % | –0.66 | % | –0.70 | % | –0.81 | % | 0.39 | % | 0.19 | % | 0.01 | % | –0.01 | % | 0.00 | % | ||||||||||||||||||||
Portfolio turnover rate | 56 | % | 67 | % | 63 | % | 63 | % | 69 | % | 30 | % | 29 | % | 27 | % | 13 | % | 36 | % |
The accompanying notes are an integral part of these financial statements.
127
Ohio National Fund, Inc.
Financial Highlights
Bristol Portfolio | Bryton Growth Portfolio | |||||||||||||||||||||||||||||||||||||||
Years Ended December 31, | Years Ended December 31, | |||||||||||||||||||||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 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) | 0.07 | 0.06 | 0.11 | 0.08 | 0.04 | (0.06 | ) | (0.05 | ) | (0.05 | ) | (0.05 | ) | (0.03 | ) | |||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency related transactions | 1.39 | 2.89 | (5.80 | ) | 0.93 | 1.81 | 2.69 | 2.93 | (5.22 | ) | 1.25 | 1.78 | ||||||||||||||||||||||||||||
Total from operations | 1.46 | 2.95 | (5.69 | ) | 1.01 | 1.85 | 2.63 | 2.88 | (5.27 | ) | 1.20 | 1.75 | ||||||||||||||||||||||||||||
Distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.07 | ) | (0.06 | ) | (0.10 | ) | (0.07 | ) | (0.04 | ) | — | — | — | — | (0.08 | ) | ||||||||||||||||||||||||
Net asset value, end of year | $ | 12.51 | $ | 11.12 | $ | 8.23 | $ | 14.02 | $ | 13.08 | �� | $ | 13.57 | $ | 10.94 | $ | 8.06 | $ | 13.33 | $ | 12.13 | |||||||||||||||||||
Total return | 13.10 | % | 35.83 | % | –40.54 | % | 7.75 | % | 16.42 | % | 24.04 | % | 35.73 | % | –39.53 | % | 9.89 | % | 16.74 | % | ||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||
Net assets at end of year (millions) | $ | 182.6 | $ | 142.8 | $ | 81.5 | $ | 97.1 | $ | 62.4 | $ | 137.4 | $ | 113.4 | $ | 59.0 | $ | 65.2 | $ | 29.3 | ||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||
Expenses | 0.86 | % | 0.89 | % | 0.90 | % | 0.89 | % | 0.92 | % | 0.93 | % | 0.96 | % | 0.96 | % | 0.96 | % | 1.04 | % | ||||||||||||||||||||
Net investment income (loss) | 0.70 | % | 0.79 | % | 1.13 | % | 0.69 | % | 0.56 | % | –0.49 | % | –0.64 | % | –0.62 | % | –0.54 | % | –0.67 | % | ||||||||||||||||||||
Portfolio turnover rate | 253 | % | 223 | % | 184 | % | 176 | % | 216 | % | 118 | % | 82 | % | 54 | % | 55 | % | 99 | % |
The accompanying notes are an integral part of these financial statements.
128
Ohio National Fund, Inc.
Financial Highlights
U.S. Equity Portfolio | Balanced Portfolio | |||||||||||||||||||||||||||||||||||||||
Years Ended December 31, | Years Ended December 31, | |||||||||||||||||||||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 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) | 0.08 | 0.07 | 0.14 | 0.06 | 0.05 | 0.32 | 0.29 | 0.25 | 0.20 | 0.17 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency related transactions | 1.06 | 1.24 | (7.56 | ) | 1.74 | 0.96 | 0.70 | 2.39 | (4.21 | ) | 1.41 | 1.37 | ||||||||||||||||||||||||||||
Total from operations | 1.14 | 1.31 | (7.42 | ) | 1.80 | 1.01 | 1.02 | 2.68 | (3.96 | ) | 1.61 | 1.54 | ||||||||||||||||||||||||||||
Distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.07 | ) | (0.06 | ) | (0.12 | ) | (0.05 | ) | (0.04 | ) | (0.28 | ) | (0.29 | ) | — | — | (0.15 | ) | ||||||||||||||||||||||
Net asset value, end of year | $ | 10.23 | $ | 9.16 | $ | 7.91 | $ | 15.45 | $ | 13.70 | $ | 13.87 | $ | 13.13 | $ | 10.74 | $ | 14.70 | $ | 13.09 | ||||||||||||||||||||
Total return | 12.46 | % | 16.57 | % | –47.98 | % | 13.17 | % | 7.93 | % | 7.78 | % | 24.92 | % | –26.94 | % | 12.30 | % | 13.12 | % | ||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||
Net assets at end of year (millions) | $ | 14.5 | $ | 14.6 | $ | 13.0 | $ | 24.8 | $ | 21.7 | $ | 14.5 | $ | 13.6 | $ | 9.6 | $ | 11.0 | $ | 7.6 | ||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||
Expenses | 1.01 | % | 1.04 | % | 0.96 | % | 0.91 | % | 0.96 | % | 0.99 | % | 1.08 | % | 1.09 | % | 1.13 | % | 1.31 | % | ||||||||||||||||||||
Net investment income (loss) | 0.86 | % | 0.90 | % | 1.19 | % | 0.41 | % | 0.47 | % | 2.48 | % | 2.99 | % | 2.29 | % | 1.77 | % | 1.95 | % | ||||||||||||||||||||
Portfolio turnover rate | 98 | % | 173 | % | 216 | % | 128 | % | 139 | % | 56 | % | 72 | % | 80 | % | 81 | % | 105 | % |
The accompanying notes are an integral part of these financial statements.
129
Ohio National Fund, Inc.
Financial Highlights
Income Opportunity Portfolio | Target VIP Portfolio | |||||||||||||||||||||||||||||||||||||||
Years Ended December 31, | Years Ended December 31, | |||||||||||||||||||||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | 2010 | 2009 | 2008 | 2007 | 2006 | |||||||||||||||||||||||||||||||
Selected Per-Share Data: | ||||||||||||||||||||||||||||||||||||||||
Net asset value, beginning of year | $ | 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) | 0.08 | 0.01 | 0.10 | 0.00 | 0.01 | 0.13 | 0.11 | 0.12 | 0.09 | 0.02 | ||||||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments, foreign currency related transactions, and written options | 0.72 | 1.29 | (2.70 | ) | 0.96 | 0.45 | 1.37 | 0.90 | (5.42 | ) | 1.00 | 1.07 | ||||||||||||||||||||||||||||
Total from operations | 0.80 | 1.30 | (2.60 | ) | 0.96 | 0.46 | 1.50 | 1.01 | (5.30 | ) | 1.09 | 1.09 | ||||||||||||||||||||||||||||
Distributions: | ||||||||||||||||||||||||||||||||||||||||
Distributions from net investment income | — | — | — | — | — | (0.11 | ) | (0.10 | ) | (0.12 | ) | (0.09 | ) | — | ||||||||||||||||||||||||||
Net asset value, end of year | $ | 11.99 | $ | 11.19 | $ | 9.89 | $ | 12.49 | $ | 11.53 | $ | 9.11 | $ | 7.72 | $ | 6.81 | $ | 12.23 | $ | 11.23 | ||||||||||||||||||||
Total return | 7.15 | % | 13.14 | % | –20.82 | % | 8.33 | % | 4.16 | % | 19.47 | % | 14.77 | % | –43.34 | % | 9.74 | % | 10.76 | % | ||||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||||||
Net assets at end of year (millions) | $ | 9.6 | $ | 6.7 | $ | 4.5 | $ | 5.2 | $ | 5.7 | $ | 21.9 | $ | 20.6 | $ | 18.2 | $ | 23.1 | $ | 10.6 | ||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||||||
Ratios net of expenses reduced or reimbursed by adviser: | ||||||||||||||||||||||||||||||||||||||||
Expenses | 1.27 | % | 1.56 | % | 1.62 | % | 1.46 | % | 1.52 | % | 0.82 | % | 0.83 | % | 0.80 | % | 0.83 | % | 1.26 | % | ||||||||||||||||||||
Net investment income (loss) | 0.89 | % | 0.40 | % | 0.98 | % | –0.04 | % | 0.12 | % | 1.50 | % | 1.53 | % | 1.45 | % | 1.22 | % | 0.53 | % | ||||||||||||||||||||
Ratios assuming no expenses reduced or reimbursed by adviser: | ||||||||||||||||||||||||||||||||||||||||
Expenses | 1.30 | % | 1.56 | % | 1.62 | % | 1.46 | % | 1.52 | % | 0.82 | % | 0.83 | % | 0.80 | % | 0.83 | % | 1.30 | % | ||||||||||||||||||||
Net investment income (loss) | 0.87 | % | 0.40 | % | 0.98 | % | –0.04 | % | 0.12 | % | 1.50 | % | 1.53 | % | 1.45 | % | 1.22 | % | 0.48 | % | ||||||||||||||||||||
Portfolio turnover rate | 92 | % | 200 | % | 203 | % | 159 | % | 140 | % | 92 | % | 91 | % | 79 | % | 52 | % | 24 | % |
The accompanying notes are an integral part of these financial statements.
130
Ohio National Fund, Inc.
Financial Highlights
Target Equity/Income Portfolio | Bristol Growth Portfolio | |||||||||||||||||||||||||||||||||||
Period from | ||||||||||||||||||||||||||||||||||||
Years Ended December 31, | Years Ended December 31, | May 1, 2007* to | ||||||||||||||||||||||||||||||||||
2010 | 2009 | 2008 | 2007 | 2006 | 2010 | 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) | 0.12 | 0.15 | 0.19 | 0.16 | 0.08 | 0.02 | 0.01 | 0.01 | 0.01 | |||||||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | 1.52 | 0.64 | (5.61 | ) | 0.99 | 0.87 | 1.10 | 2.59 | (4.21 | ) | 0.34 | |||||||||||||||||||||||||
Total from operations | 1.64 | 0.79 | (5.42 | ) | 1.15 | 0.95 | 1.12 | 2.60 | (4.20 | ) | 0.35 | |||||||||||||||||||||||||
Distributions: | ||||||||||||||||||||||||||||||||||||
Distributions from net investment income | (0.10 | ) | (0.13 | ) | (0.17 | ) | (0.16 | ) | (0.07 | ) | (0.03 | ) | — | — | — | |||||||||||||||||||||
Net asset value, end of period | $ | 8.61 | $ | 7.07 | $ | 6.41 | $ | 12.00 | $ | 11.01 | $ | 9.84 | $ | 8.75 | $ | 6.15 | $ | 10.35 | ||||||||||||||||||
Total return | 23.23 | % | 12.33 | % | –45.07 | % | 10.42 | % | 9.36 | % | 12.79 | % | 42.28 | % | –40.58 | % | 3.50 | %(b) | ||||||||||||||||||
Ratios and supplemental data: | ||||||||||||||||||||||||||||||||||||
Net assets at end of period (millions) | $ | 26.6 | $ | 22.6 | $ | 24.1 | $ | 40.4 | $ | 20.9 | $ | 85.3 | $ | 10.5 | $ | 4.8 | $ | 7.3 | ||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||||||||||
Expenses | 0.78 | % | 0.79 | % | 0.74 | % | 0.73 | % | 0.88 | % | 0.93 | % | 1.29 | % | 1.26 | % | 1.30 | %(a) | ||||||||||||||||||
Net investment income (loss) | 1.56 | % | 2.03 | % | 2.05 | % | 1.83 | % | 1.28 | % | 0.63 | % | 0.26 | % | 0.18 | % | 0.10 | %(a) | ||||||||||||||||||
Portfolio turnover rate | 90 | % | 95 | % | 105 | % | 54 | % | 52 | % | 268 | % | 218 | % | 175 | % | 107 | % |
(a) | Annualized. |
(b) | Not annualized. |
* | Represents date of commencement of operations. |
The accompanying notes are an integral part of these financial statements.
131
Ohio National Fund, Inc.
Notes to Financial Statements | December 31, 2010 |
(1) Organization
Ohio National Fund, Inc. (the “Fund”) is a Maryland corporation registered under the Investment Company Act of 1940, as amended (the “40 Act”), 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 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, primarily those 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 Standard & Poor’s 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 40 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)
132
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | December 31, 2010 |
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 within 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 that these objectives will be met. Each Portfolio, except the Nasdaq-100® Index Portfolio, is classified as diversified for purposes of Section 5(b) of the 40 Act.
At present, the Fund 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 550 million of its capital shares. These authorized shares have been allocated to specific Portfolios of the Fund as follows:
Portfolio | Authorized Shares | |||
Equity | 30,000,000 | |||
Money Market | 80,000,000 | |||
Bond | 30,000,000 | |||
Omni | 10,000,000 | |||
International | 45,000,000 | |||
Capital Appreciation | 15,000,000 | |||
Millennium | 10,000,000 | |||
International Small-Mid Company | 10,000,000 | |||
Aggressive Growth | 10,000,000 | |||
Small Cap Growth | 10,000,000 | |||
Mid Cap Opportunity | 10,000,000 | |||
S&P 500® Index | 35,000,000 |
Portfolio | Authorized Shares | |||
Strategic Value | 10,000,000 | |||
High Income Bond | 60,000,000 | |||
Capital Growth | 10,000,000 | |||
Nasdaq-100® Index | 25,000,000 | |||
Bristol | 40,000,000 | |||
Bryton Growth | 35,000,000 | |||
U.S. Equity | 10,000,000 | |||
Balanced | 10,000,000 | |||
Income Opportunity | 10,000,000 | |||
Target VIP | 10,000,000 | |||
Target Equity/Income | 10,000,000 | |||
Bristol Growth | 25,000,000 |
The Fund’s Board of Directors (the “Board”) periodically reallocates authorized shares among the Portfolios of the Fund and may authorize additional shares as deemed necessary.
Under the Fund’s organizational documents, its Officers and Directors are indemnified against certain liabilities arising out of the performance of their duties to the Fund. In addition, in the normal course of business, the Fund enters into contracts with its vendors and others that provide for general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund. However, based on experience, the risk of loss to the Fund is expected to be remote.
(continued)
133
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | December 31, 2010 |
(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 40 Act. In all Portfolios of the Fund, fixed income instruments that mature in sixty days or less, and of sufficient credit quality, are valued at amortized cost. Amortized cost valuation involves valuing a security at its cost initially and thereafter amortizing to maturity any discounts or premiums on the level-yield method, regardless of the impact of fluctuating market interest rates on the value of the security. In these instances, amortized cost approximates fair value.
Investments, other than those securities aforementioned, are valued as follows:
Domestic equity securities that are traded on U.S. exchanges, 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 pricing procedures are performed for each individual security for which there is a fairly large degree of certainty that the local close price is not the liquid market price at the time of U.S. market close, each day there is a change in a consistently used market index from the time of local close to the U.S. market close. Backtesting analysis is performed on a quarterly basis to monitor the effectiveness of these procedures. |
(continued)
134
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | December 31, 2010 |
The testing is reviewed by management of the Fund as well as the Fund’s Board. Prior results have indicated that these procedures have been effective in reaching valuation objectives. |
The differences between the aggregate cost and values of investments are reflected as unrealized appreciation or unrealized depreciation.
Pricing inputs used in the Fund’s determination of its investment values are categorized according to a three-tier hierarchy framework. The hierarchy is summarized in three broad levels:
Level 1: | Quoted prices in active markets for identical securities. | |
Level 2: | Other significant observable inputs, including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc. | |
Level 3: | Significant unobservable inputs, including the Fund’s own assumptions used to determine the value of securities. |
The following is a summary of the inputs used in valuing each of the Portfolio’s assets (liabilities) at value as of December 31, 2010:
Portfolio | Financial Instrument Type | Level 1 | Level 2 | Level 3 | ||||||||||
Equity | Common Stocks | $ | 213,926,161 | $ | — | $ | — | |||||||
Repurchase Agreements | — | 4,165,480 | — | |||||||||||
$ | 213,926,161 | $ | 4,165,480 | $ | — | |||||||||
Money Market* | Commercial Paper | $ | — | $ | 222,313,914 | $ | — | |||||||
Asset-Backed Securities | — | 3,971,522 | — | |||||||||||
Money Market Funds | 39,400,000 | — | — | |||||||||||
U.S. Treasury Obligations | — | 9,998,953 | — | |||||||||||
Repurchase Agreements | — | 12,822,000 | — | |||||||||||
$ | 39,400,000 | $ | 249,106,389 | $ | — | |||||||||
Bond | Corporate Bonds | $ | — | $ | 132,543,473 | $ | — | |||||||
U.S. Treasury Obligations | — | 4,113,908 | — | |||||||||||
Commercial Paper | — | 4,999,992 | — | |||||||||||
Repurchase Agreements | — | 628,000 | — | |||||||||||
$ | — | $ | 142,285,373 | $ | — | |||||||||
Omni | Common Stocks | $ | 30,268,262 | $ | — | $ | — | |||||||
Corporate Bonds | — | 8,783,782 | — | |||||||||||
U.S. Treasury Obligations | — | 153,152 | — | |||||||||||
Money Market Funds | 1,892,000 | — | — | |||||||||||
$ | 32,160,262 | $ | 8,936,934 | $ | — | |||||||||
International | Common Stocks | $ | 25,997,748 | $ | 187,872,614 | $ | — | |||||||
U.S. Treasury Obligations | — | 99,969 | — | |||||||||||
Money Market Funds | 3,417,131 | — | — | |||||||||||
$ | 29,414,879 | $ | 187,972,583 | $ | — | |||||||||
Foreign currency contracts | $ | (273,494 | ) | $ | — | $ | — | |||||||
Futures contracts | $ | (23,610 | ) | $ | — | $ | — | |||||||
Capital Appreciation | Common Stocks | $ | 124,787,805 | $ | 1,875,546 | $ | — | |||||||
Money Market Funds | 5,331,000 | — | — | |||||||||||
$ | 130,118,805 | $ | 1,875,546 | $ | — | |||||||||
Millennium | Common Stocks | $ | 41,632,214 | $ | — | $ | — | |||||||
Money Market Funds | 379,000 | — | — | |||||||||||
$ | 42,011,214 | $ | — | $ | — | |||||||||
�� |
(continued)
135
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | December 31, 2010 |
Portfolio | Financial Instrument Type | Level 1 | Level 2 | Level 3 | ||||||||||
International Small-Mid Company | Common Stocks | $ | 17,811,569 | $ | 59,781,236 | $ | — | |||||||
Exchange Traded Funds | 899,923 | — | — | |||||||||||
Money Market Funds | 277,957 | — | — | |||||||||||
$ | 18,989,449 | $ | 59,781,236 | $ | — | |||||||||
Aggressive Growth | Common Stocks | $ | 23,884,801 | $ | 4,395,675 | $ | — | |||||||
VVPR Strips | 37 | — | — | |||||||||||
Money Market Funds | 1,585,000 | — | — | |||||||||||
$ | 25,469,838 | $ | 4,395,675 | $ | — | |||||||||
Small Cap Growth | Common Stocks | $ | 31,239,239 | $ | — | $ | — | |||||||
Money Market Funds | 906,000 | — | — | |||||||||||
$ | 32,145,239 | $ | — | $ | — | |||||||||
Mid Cap Opportunity | Common Stocks | $ | 68,133,342 | $ | — | $ | — | |||||||
Money Market Funds | 2,488,000 | — | — | |||||||||||
$ | 70,621,342 | $ | — | $ | — | |||||||||
S&P 500® Index | Common Stocks | $ | 174,024,248 | $ | — | $ | — | |||||||
Exchange Traded Funds | 1,757,775 | — | — | |||||||||||
Commercial Paper | — | 123,000 | — | |||||||||||
$ | 175,782,023 | $ | 123,000 | $ | — | |||||||||
Strategic Value | Common Stocks | $ | 19,438,719 | $ | 4,277,321 | $ | — | |||||||
Money Market Funds | 471,000 | — | — | |||||||||||
$ | 19,909,719 | $ | 4,277,321 | $ | — | |||||||||
Foreign currency contracts | $ | 57,516 | $ | — | $ | — | ||||||||
High Income Bond | Corporate Bonds | $ | — | $ | 263,147,406 | $ | — | |||||||
Convertible Bonds | — | 220,500 | — | |||||||||||
Preferred Stocks | — | 327,024 | — | |||||||||||
Other | — | — | 4,688 | |||||||||||
$ | — | $ | 263,694,930 | $ | 4,688 | |||||||||
Capital Growth | Common Stocks | $ | 52,040,717 | $ | — | $ | — | |||||||
Money Market Funds | 860,000 | — | — | |||||||||||
$ | 52,900,717 | $ | �� | $ | — | |||||||||
Nasdaq-100® Index | Common Stocks | $ | 54,576,815 | $ | — | $ | — | |||||||
Exchange Traded Funds | 695,310 | — | — | |||||||||||
$ | 55,272,125 | $ | — | $ | — | |||||||||
Bristol | Common Stocks | $ | 180,003,336 | $ | — | $ | — | |||||||
Money Market Funds | 3,933,000 | — | — | |||||||||||
$ | 183,936,336 | $ | — | $ | — | |||||||||
Bryton Growth | Common Stocks | $ | 134,632,412 | $ | — | $ | — | |||||||
Money Market Funds | 6,242,000 | — | — | |||||||||||
$ | 140,874,412 | $ | — | $ | — | |||||||||
U.S. Equity | Common Stocks | $ | 13,361,021 | $ | — | $ | — | |||||||
Money Market Funds | 1,155,000 | — | — | |||||||||||
$ | 14,516,021 | $ | — | $ | — | |||||||||
(continued)
136
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | December 31, 2010 |
Portfolio | Financial Instrument Type | Level 1 | Level 2 | Level 3 | ||||||||||
Balanced | Common Stocks | $ | 7,954,147 | $ | — | $ | — | |||||||
Corporate Bonds | — | 4,794,341 | — | |||||||||||
U.S. Government Agency Issues | — | 252,773 | — | |||||||||||
U.S. Treasury Obligations | — | 943,438 | — | |||||||||||
Money Market Funds | 483,000 | — | — | |||||||||||
$ | 8,437,147 | $ | 5,990,552 | $ | — | |||||||||
Income Opportunity | Common Stocks | $ | 10,004,186 | $ | — | $ | — | |||||||
Purchased Options | 4,950 | — | — | |||||||||||
Money Market Funds | 124,000 | — | — | |||||||||||
$ | 10,133,136 | $ | — | $ | — | |||||||||
Written Options Outstanding | $ | (295,280 | ) | $ | — | $ | — | |||||||
Target VIP | Common Stocks | $ | 21,465,916 | $ | — | $ | — | |||||||
Money Market Funds | 327,000 | — | — | |||||||||||
$ | 21,792,916 | $ | — | $ | — | |||||||||
Target Equity/Income | Common Stocks | $ | 26,023,865 | $ | — | $ | — | |||||||
Money Market Funds | 533,000 | — | — | |||||||||||
$ | 26,556,865 | $ | — | $ | — | |||||||||
Bristol Growth | Common Stocks | $ | 83,162,627 | $ | — | $ | — | |||||||
Money Market Funds | 3,418,000 | — | — | |||||||||||
$ | 86,580,627 | $ | — | $ | — | |||||||||
* | At December 31, 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 40 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. |
As stated above, the value assigned to the Fund’s foreign securities will, in most cases, not be the quoted or published prices of the investments on their respective primary markets or exchanges. Securities that are priced using fair value estimates are categorized as Level 2 in the fair value hierarchy, whereas securities that do not meet the established criteria are categorized as Level 1. The valuation of a foreign security from one valuation period to the next may result in a transfer between Levels 1 and 2 if the degree of certainty that the local close price is not the liquid market price at the time of U.S. market close is not similar for both periods. The Fund’s policy is to recognize significant transfers between fair value hierarchy levels at the reporting period end. The only transfer between Levels 1 and 2 for the year ended December 31, 2010 was related to a foreign security in which there was a change in the confidence interval measurement. This transfer was not determined to be significant, however.
Below is a reconciliation that details the activity of securities in Level 3 during the year ended December 31, 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 – December 31, 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 | $ | — | ||
(continued)
137
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | December 31, 2010 |
Foreign Securities and Currency
The books and records of all the Portfolios are maintained in U.S. dollars. All investments and cash quoted in foreign currencies are valued daily in U.S. dollars on the basis of the foreign currency exchange rates provided by an independent source. These exchange rates are currently determined daily, at 4:00 pm Eastern Time for normal trading sessions. Purchases and sales of foreign-denominated investments are recorded at rates of exchange prevailing on the respective dates of such transactions.
The Fund may not fully isolate that portion of the results of operations resulting from changes in foreign exchange rates from fluctuations arising from changes in market prices on foreign currency-denominated investments. 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 depositary receipts, carry certain risks not ordinarily associated with investments in securities of domestic issuers. Such risks include future political and economic developments, and the possible imposition of exchange controls or other foreign governmental laws and restrictions. In addition, with respect to certain countries, there is the possibility of expropriation of assets, confiscatory taxation, political or social instability, or diplomatic developments that could adversely affect capital investment within those countries.
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 their respective assets in illiquid securities. Each of the other Portfolios of the Fund may invest up to 15% of its net assets in illiquid securities.
(continued)
138
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | December 31, 2010 |
Investment Transactions and Related Income
For financial reporting purposes, investment transactions are accounted for on a trade date basis. For purposes of executing separate account shareholder transactions in the normal course of business, however, the Fund’s investment transactions are recorded no later than the first calculation on the first business day following the trade date in accordance with Rule 2a-4 of the 40 Act. Accordingly, differences between the net asset values for financial reporting and for executing separate account shareholder transactions may arise.
Dividend income is recognized on the ex-dividend date, except in the case of those Portfolios holding foreign securities, in which dividends are recorded as soon after the ex-dividend date as the Fund’s information agents become aware of such dividends. Interest income is accrued daily as earned and includes the amortization of premium and accretion of discount. Net realized gain or loss on investments and foreign exchange transactions are determined using the specific identification method.
Distributions to Shareholders and Federal Taxes
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 four 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 withheld based on income earned. These Portfolios accrue such taxes as the related income is earned.
(continued)
139
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | December 31, 2010 |
Subsequent Events
Management has evaluated events and transactions through the date the financial statements were available to be issued, for purposes of recognition or disclosure in these financial statements, and there are no additional subsequent events to report.
(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 | 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 |
(continued)
140
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | December 31, 2010 |
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 | 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 | |
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 year ended December 31, 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 year ended December 31, 2010 was $50,000. If ONI did not agree to reimburse these expenses, the total expenses incurred by the Money Market Portfolio for the year ended December 31, 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 | 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 |
(continued)
141
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | December 31, 2010 |
Mid Cap Opportunity (GSAM) 0.60% of first $100 million 0.55% of next $100 million 0.50% over $200 million 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 | Strategic Value (Federated Equity) 0.50% of first $35 million 0.35% of next $65 million 0.25% over $100 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 December 31, 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 expenses reimbursed during the year ended December 31, 2010 totaling $1,858. This reimbursement is not subject to recoupment in subsequent periods.
During the year ended December 31, 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 year ended December 31, 2010 was $515,931, of which $29,406 was receivable from ONI at year end. 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 year ended December 31, 2010, the Fund incurred compliance expenses totaling $153,360, equally allocated to the Portfolios. Expenses incurred by the Portfolios are reflected on the Statements of Operations as “Compliance expense”.
(continued)
142
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | December 31, 2010 |
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 additional quarterly retainer fee of $3,125, and the Audit Committee chair receives an additional quarterly retainer fee of $1,250. For the year ended December 31, 2010, compensation of these directors by the Fund totaled $247,000.
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 years ended December 31, 2010 and 2009 were as follows:
Equity | Money Market | Bond | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | |||||||||||||||||||
Capital shares issued on sales | 1,223,514 | 1,691,434 | 30,502,612 | 41,782,044 | 4,431,294 | 4,061,330 | ||||||||||||||||||
Capital shares issued on reinvested dividends | 21,933 | 25,660 | — | — | — | — | ||||||||||||||||||
Capital shares redeemed | (2,490,299 | ) | (3,558,752 | ) | (35,282,239 | ) | (47,912,691 | ) | (4,470,717 | ) | (3,440,642 | ) | ||||||||||||
Net increase/(decrease) | (1,244,852 | ) | (1,841,658 | ) | (4,779,627 | ) | (6,130,647 | ) | (39,423 | ) | 620,688 | |||||||||||||
Omni | International | Capital Appreciation | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | |||||||||||||||||||
Capital shares issued on sales | 250,970 | 312,835 | 2,373,065 | 2,665,036 | 707,427 | 902,182 | ||||||||||||||||||
Capital shares issued on reinvested dividends | 38,339 | 49,851 | — | — | 14,274 | 78,247 | ||||||||||||||||||
Capital shares redeemed | (607,491 | ) | (650,890 | ) | (5,011,586 | ) | (6,334,979 | ) | (1,582,714 | ) | (2,140,885 | ) | ||||||||||||
Net increase/(decrease) | (318,182 | ) | (288,204 | ) | (2,638,521 | ) | (3,669,943 | ) | (861,013 | ) | (1,160,456 | ) | ||||||||||||
Millennium | International Small-Mid Company | Aggressive Growth | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | |||||||||||||||||||
Capital shares issued on sales | 1,118,283 | 4,908,391 | 610,069 | 1,073,744 | 1,232,038 | 1,433,447 | ||||||||||||||||||
Capital shares issued on reinvested dividends | — | — | — | — | — | — | ||||||||||||||||||
Capital shares redeemed | (5,500,575 | ) | (954,166 | ) | (888,134 | ) | (1,376,880 | ) | (1,244,007 | ) | (1,230,364 | ) | ||||||||||||
Net increase/(decrease) | (4,382,292 | ) | 3,954,225 | (278,065 | ) | (303,136 | ) | (11,969 | ) | 203,083 | ||||||||||||||
Small Cap Growth | Mid Cap Opportunity | S&P 500® Index | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | |||||||||||||||||||
Capital shares issued on sales | 964,480 | 980,778 | 574,210 | 3,108,764 | 2,719,718 | 6,377,628 | ||||||||||||||||||
Capital shares issued on reinvested dividends | — | — | — | — | 169,365 | 174,417 | ||||||||||||||||||
Capital shares redeemed | (769,998 | ) | (689,601 | ) | (878,425 | ) | (6,253,894 | ) | (3,306,639 | ) | (4,084,406 | ) | ||||||||||||
Net increase/(decrease) | 194,482 | 291,177 | (304,215 | ) | (3,145,130 | ) | (417,556 | ) | 2,467,639 | |||||||||||||||
(continued)
143
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | December 31, 2010 |
Strategic Value | High Income Bond | Capital Growth | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | |||||||||||||||||||
Capital shares issued on sales | 1,068,567 | 1,173,335 | 13,405,135 | 9,882,540 | 597,843 | 672,335 | ||||||||||||||||||
Capital shares issued on reinvested dividends | 82,744 | 63,845 | — | — | — | — | ||||||||||||||||||
Capital shares redeemed | (838,057 | ) | (624,258 | ) | (6,312,809 | ) | (4,957,356 | ) | (517,165 | ) | (665,264 | ) | ||||||||||||
Net increase/(decrease) | 313,254 | 612,922 | 7,092,326 | 4,925,184 | 80,678 | 7,071 | ||||||||||||||||||
Nasdaq-100® Index | Bristol | Bryton Growth | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | |||||||||||||||||||
Capital shares issued on sales | 3,638,876 | 4,867,867 | 4,647,343 | 5,644,552 | 3,395,424 | 5,342,762 | ||||||||||||||||||
Capital shares issued on reinvested dividends | 27,981 | — | 80,969 | 67,319 | — | — | ||||||||||||||||||
Capital shares redeemed | (3,966,054 | ) | (3,951,131 | ) | (2,975,049 | ) | (2,776,615 | ) | (3,633,074 | ) | (2,297,640 | ) | ||||||||||||
Net increase/(decrease) | (299,197 | ) | 916,736 | 1,753,263 | 2,935,256 | (237,650 | ) | 3,045,122 | ||||||||||||||||
U.S. Equity | Balanced | Income Opportunity | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | |||||||||||||||||||
Capital shares issued on sales | 202,103 | 394,400 | 255,879 | 385,966 | 339,658 | 346,594 | ||||||||||||||||||
Capital shares issued on reinvested dividends | 9,859 | 10,552 | 20,743 | 21,991 | — | — | ||||||||||||||||||
Capital shares redeemed | (390,570 | ) | (454,184 | ) | (266,039 | ) | (269,350 | ) | (132,957 | ) | (204,725 | ) | ||||||||||||
Net increase/(decrease) | (178,608 | ) | (49,232 | ) | 10,583 | 138,607 | 206,701 | 141,869 | ||||||||||||||||
Target VIP | Target Equity/Income | Bristol Growth | ||||||||||||||||||||||
Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | Year Ended | |||||||||||||||||||
12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | 12/31/2010 | 12/31/2009 | |||||||||||||||||||
Capital shares issued on sales | 397,747 | 937,153 | 830,343 | 1,049,533 | 9,076,046 | 537,735 | ||||||||||||||||||
Capital shares issued on reinvested dividends | 29,483 | 32,609 | 36,027 | 58,040 | 26,660 | — | ||||||||||||||||||
Capital shares redeemed | (693,534 | ) | (976,438 | ) | (981,024 | ) | (1,662,506 | ) | (1,633,468 | ) | (125,964 | ) | ||||||||||||
Net increase/(decrease) | (266,304 | ) | (6,676 | ) | (114,654 | ) | (554,933 | ) | 7,469,238 | 411,771 | ||||||||||||||
(5) | Investment Transactions |
Cost of purchases and proceeds from sales of investments (excluding short-term and government securities) for the year ended December 31, 2010 were as follows:
Equity | Bond | Omni | International | Capital Appreciation | ||||||||||||||||
Purchases | $ | 104,678,558 | $ | 27,730,480 | $ | 69,031,612 | $ | 134,011,911 | $ | 69,640,834 | ||||||||||
Sales | $ | 126,292,052 | $ | 20,221,363 | $ | 73,303,094 | $ | 158,668,400 | $ | 84,713,560 | ||||||||||
International | ||||||||||||||||||||
Millennium | Small-Mid Company | Aggressive Growth | Small Cap Growth | Mid Cap Opportunity | ||||||||||||||||
Purchases | $ | 177,272,032 | $ | 54,824,674 | $ | 10,192,637 | $ | 24,530,788 | $ | 34,656,677 | ||||||||||
Sales | $ | 248,446,405 | $ | 57,816,500 | $ | 9,518,663 | $ | 22,493,130 | $ | 39,581,587 | ||||||||||
S&P 500® Index | Strategic Value | High Income Bond | Capital Growth | Nasdaq-100® Index | ||||||||||||||||
Purchases | $ | 13,246,544 | $ | 8,770,245 | $ | 162,423,939 | $ | 24,332,213 | $ | 13,894,184 | ||||||||||
Sales | $ | 17,195,526 | $ | 6,362,408 | $ | 69,138,627 | $ | 22,371,388 | $ | 14,630,627 | ||||||||||
(continued)
144
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | December 31, 2010 |
Bristol | Bryton Growth | U.S. Equity | Balanced | Income Opportunity | ||||||||||||||||
Purchases | $ | 402,805,909 | $ | 136,939,874 | $ | 12,590,741 | $ | 6,591,925 | $ | 9,885,988 | ||||||||||
Sales | $ | 382,606,236 | $ | 138,078,666 | $ | 14,751,933 | $ | 7,259,596 | $ | 7,214,193 | ||||||||||
Target VIP | Target Equity/Income | Bristol Growth | ||||||||||||||||||
Purchases | $ | 17,876,552 | $ | 20,609,666 | $ | 164,900,146 | ||||||||||||||
Sales | $ | 20,080,657 | $ | 21,428,418 | $ | 106,798,518 |
Cost of purchases and proceeds from sales of government securities for the year ended December 31, 2010 were as follows:
Bond | Omni | Balanced_ | ||||||||||
Purchases | $ | 12,308,875 | $ | 161,125 | $ | 961,250 | ||||||
Sales | $ | 10,563,672 | $ | — | $ | — |
(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 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
(continued)
145
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | December 31, 2010 |
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 year ended December 31, 2010 were as follows:
Number of | Premiums | |||||||
Contracts | Received | |||||||
Options outstanding, beginning of year | 62 | $ | 120,692 | |||||
Options written | 2,737 | 4,681,192 | ||||||
Options exercised | — | — | ||||||
Options expired | (8 | ) | (2,366 | ) | ||||
Options closed | (2,727 | ) | (4,608,734 | ) | ||||
Options outstanding, end of year | 64 | $ | 190,784 | |||||
Transactions involving purchased options by the Income Opportunity Portfolio for the year ended December 31, 2010 were: Purchases: $537,601, Sales: $287,973, Expirations: $32,888.
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 cumulative daily variation margin transactions. 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 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 December 31, 2010, there was one outstanding futures contract in the International Portfolio. Details of this contract were as follows:
Variation | ||||||||||||||||||||||||
Unrealized | Margin | |||||||||||||||||||||||
Number of | Contract at | Initial contract | Appreciation | Receivable | ||||||||||||||||||||
Type | Description | Expiration | contracts | Counterparty | value | amount | (Depreciation) | (Payable) | ||||||||||||||||
Long | Tokyo Price Index (TOPIX) Futures | March 11, 2011 | 29 | JP Morgan | $ | 3,200,394 | $ | 3,224,004 | $ | (23,610 | ) | $ | (119 | ) |
The International Portfolio’s holding of U.S. Treasury Bill #9127952H3 was pledged at December 31, 2010 as collateral for this contract. The principal cost and value of this instrument at December 31, 2010 were $100,000 and $99,969, respectively.
(continued)
146
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | December 31, 2010 |
This futures contract was executed for the purpose of increasing exposure to the Japanese stock market, beyond that evidenced by the Portfolio’s investment in stocks, while maintaining a necessary cash balance in the Portfolio in anticipation of year end shareholder rebalancing activities. There were also DAX Index futures contracts that were executed in the International Portfolio during the year ended December 31, 2010. These were executed for the purpose of gaining increased exposure to German equities while allowing the International Portfolio to have a desired level of liquidity until such time as an increased level of cash investment could be made. For the year ended December 31, 2010, the notional value of these futures contracts opened and closed prior to contract settlement date by the International Portfolio was approximately $5.9 million and approximately $6.0 million, respectively.
Foreign Currency Contracts
In order to hedge against changes in the exchange rates of foreign currencies in relation to the U.S. dollar, each Portfolio, 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 December 31, 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) | ||||||||||||||||
November 18, 2010 | February 22, 2011 | HSBC | 5,300,000 NZD | $ | 4,092,660 | $ | 4,114,294 | $ | 21,634 | |||||||||||||
November 29, 2010 | February 24, 2011 | SSB | 31,191,810 SEK | $ | 4,431,599 | $ | 4,629,507 | $ | 197,908 | |||||||||||||
$ | 8,524,259 | $ | 8,743,801 | $ | 219,542 | |||||||||||||||||
Strategic Value | ||||||||||||||||||||||
December 15, 2010 | February 28, 2011 | BONY | 540,000 CAD | $ | 538,379 | $ | 542,437 | $ | 4,058 | |||||||||||||
December 15, 2010 | February 28, 2011 | BONY | 612,400 EUR | $ | 811,518 | $ | 818,201 | $ | 6,683 | |||||||||||||
December 15, 2010 | February 28, 2011 | BONY | 980,000 GBP | $ | 1,525,015 | $ | 1,527,217 | $ | 2,202 | |||||||||||||
$ | 2,874,912 | $ | 2,887,855 | $ | 12,943 | |||||||||||||||||
(continued)
147
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | December 31, 2010 |
Contracts to sell foreign currency:
International | ||||||||||||||||||||||
Unrealized | ||||||||||||||||||||||
Currency | Currency to | Contract at | Appreciation | |||||||||||||||||||
Date of contract | Exchange date | Counterparty | to receive | deliver | value | (Depreciation) | ||||||||||||||||
November 29, 2010 | February 24, 2011 | BONY | $ | 10,464,671 | 7,996,295 EUR | $ | 10,683,860 | $ | (219,189 | ) | ||||||||||||
November 30, 2010 | February 7, 2011 | HSBC | $ | 10,000,000 | 11,680,850,000 KRW | $ | 10,273,847 | $ | (273,847 | ) | ||||||||||||
$ | 20,464,671 | $ | 20,957,707 | $ | (493,036 | ) | ||||||||||||||||
Strategic Value | ||||||||||||||||||||||
November 18, 2010 | February 28, 2011 | BONY | $ | 527,421 | 540,000 CAD | $ | 542,437 | $ | (15,016 | ) | ||||||||||||
November 18, 2010 | February 28, 2011 | BONY | $ | 833,861 | 612,400 EUR | $ | 818,201 | $ | 15,660 | |||||||||||||
November 18, 2010 | February 28, 2011 | BONY | $ | 1,571,146 | 980,000 GBP | $ | 1,527,217 | $ | 43,929 | |||||||||||||
$ | 2,932,428 | $ | 2,887,855 | $ | 44,573 | |||||||||||||||||
Counterparties | Currencies | |
BONY – Bank of New York Mellon | EUR – Euro | |
HSBC – HSBC Bank USA | GBP – British Pound | |
SSB – State Street Bank | SEK – Swedish Krona | |
CAD – Canadian Dollar | ||
KRW – South Korean Won | ||
NZD – New Zealand Dollar |
Foreign currency contracts were executed in the International Portfolio 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 the countries of Sweden and New Zealand. The Portfolio executed contracts to buy those countries’ currencies to mitigate the effects that those currencies’ exchange rates might have on the Portfolio’s performance relative to the benchmark. The Portfolio was over-weighted in investments denominated in Euros and the South Korean Won and, likewise, executed contracts to sell those currencies in order to mitigate the effect that the currencies might have on relative performance.
The Portfolio entered into other foreign currency contracts during the year for similar benchmark performance hedging purposes. The Portfolio also entered into contracts that were the inverse of previously executed contracts to effectively exit prior contracts earlier than stated contract delivery dates, as over-weights or under-weights were reduced, or as previously executed contracts resulted in an attractive return to the Portfolio. For the year ended December 31, 2010, the notional value of other foreign currency contracts opened and closed by the International Portfolio was approximately $163.4 million for currencies bought and approximately $158.7 million for currencies sold.
Foreign currency contracts were also executed in the Strategic Value Portfolio. The Portfolio engaged in contracts to sell various currencies in order to 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 total value, by currency, of those equity investments. Contracts to purchase various currencies were used to effectively exit the hedge just prior to respective delivery dates of the contracts. For the year ended December 31, 2010, the notional value of other foreign currency contracts opened and closed by the Strategic Value Portfolio was approximately $6.3 million for currencies bought and approximately $6.0 million for currencies sold.
(continued)
148
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | December 31, 2010 |
The values and financial statement effects of derivative instruments that were not accounted for as hedging instruments as of, and for the year ended, December 31, 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 | $ | 8,743,801 | $ | (8,524,259 | ) | (1) | ||||||||
Contracts to sell foreign currencies | Currency exchange rate | $ | 20,464,671 | $ | (20,957,707 | ) | (1) | |||||||||
Futures contracts | Equity price | $ | 3,200,394 | $ | (3,224,004 | ) | (2) | |||||||||
Strategic Value | Contracts to buy foreign currencies | Currency exchange rate | $ | 2,887,855 | $ | (2,874,912 | ) | (1) | ||||||||
Contracts to sell foreign currencies | Currency exchange rate | $ | 2,932,428 | $ | (2,887,855 | ) | (1) | |||||||||
Income Opportunity | Purchased options | Equity price | $ | 4,950 | $ | — | (3) | |||||||||
Written options | Equity price | $ | — | $ | (295,280 | ) | (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 | Statements of | ||||||||||||||
Portfolio | Instrument | Risk Type | Income | Income | Operations | |||||||||||
International | Currency contracts | Currency exchange rate | $ | 2,279,010 | $ | (1,398,745 | ) | (1), (2) | ||||||||
Futures contracts | Equity price | $ | (60,151 | ) | $ | (23,610 | ) | (3), (4) | ||||||||
Strategic Value | Currency contracts | Currency exchange rate | $ | (302,194 | ) | $ | 57,516 | (1), (2) | ||||||||
Income Opportunity | Purchased options | Equity price | $ | (244,814 | ) | $ | (6,419 | ) | (5), (6) | |||||||
Written options | Equity price | $ | (83,546 | ) | $ | (84,076 | ) | (7), (8) | ||||||||
(1) | Net realized gain (loss) on foreign currency contracts | |
(2) | Change in unrealized appreciation/depreciation on foreign currency contracts | |
(3) | Net realized gain (loss) on futures contracts | |
(4) | Change in unrealized appreciation/depreciation on futures contracts | |
(5) | Net realized gain (loss) on investments | |
(6) | Change in unrealized appreciation/depreciation on investments | |
(7) | Net realized gain (loss) on written options | |
(8) | Change in unrealized appreciation/depreciation on written options |
(continued)
149
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | December 31, 2010 |
(7) Federal Income Tax Information
At December 31, 2010, 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 | $ | 24,360 | $ | — | $ | 24,360 | $ | (119,187,916 | ) | $ | 17,876,790 | $ | (101,286,766 | ) | ||||||||||
Money Market | — | — | — | — | — | — | ||||||||||||||||||
Bond | 5,839,374 | — | 5,839,374 | (15,350,662 | ) | 7,362,958 | (2,148,330 | ) | ||||||||||||||||
Omni | 85,853 | — | 85,853 | (7,698,101 | ) | 3,847,574 | (3,764,674 | ) | ||||||||||||||||
International | 4,698,567 | — | 4,698,567 | (107,096,789 | ) | 53,623,917 | (48,774,305 | ) | ||||||||||||||||
Capital Appreciation | 75,833 | — | 75,833 | (29,715,237 | ) | 16,649,331 | (12,990,073 | ) | ||||||||||||||||
Millennium | — | — | — | (16,633,695 | ) | 7,874,126 | (8,759,569 | ) | ||||||||||||||||
International Small-Mid Company | 227,790 | — | 227,790 | (20,691,770 | ) | 23,839,726 | 3,375,746 | |||||||||||||||||
Aggressive Growth | 46,825 | — | 46,825 | (2,711,455 | ) | 5,172,543 | 2,507,913 | |||||||||||||||||
Small Cap Growth | — | — | — | (3,508,597 | ) | 6,132,864 | 2,624,267 | |||||||||||||||||
Mid Cap Opportunity | — | — | — | (34,494,956 | ) | 9,463,483 | (25,031,473 | ) | ||||||||||||||||
S&P 500® Index | 340,609 | — | 340,609 | (3,372,018 | ) | 23,217,927 | 20,186,518 | |||||||||||||||||
Strategic Value | — | — | — | (8,305,592 | ) | 2,362,877 | (5,942,715 | ) | ||||||||||||||||
High Income Bond | 17,781,200 | — | 17,781,200 | (3,425,604 | ) | 15,904,697 | 30,260,293 | |||||||||||||||||
Capital Growth | — | — | — | (5,413,775 | ) | 15,662,731 | 10,248,956 | |||||||||||||||||
Nasdaq-100® Index | 22,231 | — | 22,231 | (2,253,090 | ) | 13,573,716 | 11,342,857 | |||||||||||||||||
Bristol | 97,687 | — | 97,687 | (10,167,697 | ) | 19,986,054 | 9,916,044 | |||||||||||||||||
Bryton Growth | — | 1,253,733 | 1,253,733 | — | 27,631,083 | 28,884,816 | ||||||||||||||||||
U.S. Equity | 15,401 | — | 15,401 | (7,185,302 | ) | 2,021,087 | (5,148,814 | ) | ||||||||||||||||
Balanced | 49,058 | — | 49,058 | (1,039,973 | ) | 1,198,293 | 207,378 | |||||||||||||||||
Income Opportunity | 70,012 | — | 70,012 | (690,564 | ) | 1,429,032 | 808,480 | |||||||||||||||||
Target VIP | 28,667 | — | 28,667 | (9,508,731 | ) | 3,110,399 | (6,369,665 | ) | ||||||||||||||||
Target Equity/Income | 58,500 | — | 58,500 | (16,426,102 | ) | 3,941,843 | (12,425,759 | ) | ||||||||||||||||
Bristol Growth | 3,542,876 | 198,047 | 3,740,923 | (54,334 | ) | 10,577,924 | 14,264,513 | |||||||||||||||||
(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, 2011:
Post-October | Post-October | |||||||
Portfolio | Losses | Currency Losses | ||||||
International | $ | — | $ | 1,865,790 | ||||
Capital Appreciation | — | 686 | ||||||
International Small-Mid Company | — | 17,949 | ||||||
Small Cap Growth | — | 5 | ||||||
S&P 500® Index | 109,340 | — | ||||||
High Income Bond | 715,253 | — | ||||||
Income Opportunity | 71,954 | — | ||||||
Bristol Growth | 54,334 | — |
(continued)
150
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | December 31, 2010 |
For Federal income tax purposes, the following Portfolios had capital loss carry forwards as of December 31, 2010 that are available to offset future realized gains, if any:
Total Loss | Expiration Amount by Year | |||||||||||||||||||||||||||||||||||
Portfolio | Carryforward | 2011 | 2012 | 2013 | 2014 | 2015 | 2016 | 2017 | 2018 | |||||||||||||||||||||||||||
Equity | $ | 119,187,916 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 68,747,789 | $ | 47,422,387 | $ | 3,017,740 | ||||||||||||||||||
Bond | 15,350,662 | — | — | — | 718,762 | — | 5,109,146 | 9,522,754 | — | |||||||||||||||||||||||||||
Omni | 7,698,101 | — | — | — | — | — | 2,402,376 | 5,295,725 | — | |||||||||||||||||||||||||||
International | 105,230,999 | — | — | — | — | — | 39,438,869 | 65,792,130 | — | |||||||||||||||||||||||||||
Capital Appreciation | 29,714,551 | — | — | — | — | — | — | 29,714,551 | — | |||||||||||||||||||||||||||
Millennium | 16,633,695 | 1,610,585 | — | — | — | — | 7,511,040 | 7,512,070 | — | |||||||||||||||||||||||||||
International Small-Mid Company | 20,673,821 | — | — | — | — | — | 9,781,388 | 10,892,433 | — | |||||||||||||||||||||||||||
Aggressive Growth | 2,711,455 | — | — | — | — | — | 694,915 | 2,016,540 | — | |||||||||||||||||||||||||||
Small Cap Growth | 3,508,592 | — | — | — | — | — | 785,300 | 2,723,292 | — | |||||||||||||||||||||||||||
Mid Cap Opportunity | 34,494,956 | — | — | — | — | — | 20,843,496 | 13,651,460 | — | |||||||||||||||||||||||||||
S&P 500® Index | 3,262,678 | — | 134,482 | — | — | — | 1,597,902 | 218,356 | 1,311,938 | |||||||||||||||||||||||||||
Strategic Value | 8,305,592 | 75,015 | — | — | — | — | 5,765,741 | 2,272,799 | 192,037 | |||||||||||||||||||||||||||
High Income Bond | 2,710,351 | 563,087 | — | — | — | — | 508,108 | 974,532 | 664,624 | |||||||||||||||||||||||||||
Capital Growth | 5,413,775 | — | — | — | — | — | — | 5,413,775 | — | |||||||||||||||||||||||||||
Nasdaq-100® Index | 2,253,090 | — | 206,000 | 531,984 | 215,042 | 30,818 | — | 1,269,246 | — | |||||||||||||||||||||||||||
Bristol | 10,167,697 | — | — | — | — | — | 106,106 | 10,061,591 | — | |||||||||||||||||||||||||||
U.S. Equity | 7,185,302 | — | — | — | — | — | 3,178,884 | 4,006,418 | — | |||||||||||||||||||||||||||
Balanced | 1,039,973 | — | — | — | — | — | 498,379 | 541,594 | — | |||||||||||||||||||||||||||
Income Opportunity | 618,610 | �� | — | — | — | — | — | — | 478,170 | 140,440 | ||||||||||||||||||||||||||
Target VIP | 9,508,731 | — | — | — | — | — | — | 9,508,731 | — | |||||||||||||||||||||||||||
Target Equity/Income | 16,426,102 | — | — | — | — | — | — | 16,426,102 | — |
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.
The Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted on December 22, 2010. The Act makes changes to several tax rules impacting the Fund. In general, the provisions of the Act will be effective for the Fund’s fiscal year ending December 31, 2011. Although the Act provides several benefits, including the unlimited carryover of future capital losses, there may be a greater likelihood that all or a portion of each Portfolio’s pre-enactment capital loss carryovers may expire without being utilized due to the Act’s requirement that post-enactment capital losses be utilized before pre-enactment capital loss carryovers. Relevant information regarding the impact of the Act on the Fund, if any, will be contained within the “Federal Income Tax Information” section of the Notes to Financial Statements for the fiscal year ending December 31, 2011.
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.
(continued)
151
Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | December 31, 2010 |
The tax characteristics of dividends paid to shareholders for the year ended December 31, 2010, were as follows:
Net | Total | |||||||||||||||
Ordinary | Long-Term | Return of | Distribution | |||||||||||||
Portfolio | Income | Capital Gains | Capital | Paid | ||||||||||||
Equity | $ | 425,944 | $ | — | $ | — | $ | 425,944 | ||||||||
Omni | 606,516 | — | — | 606,516 | ||||||||||||
Capital Appreciation | 284,477 | — | — | 284,477 | ||||||||||||
S&P 500® Index | 2,196,659 | — | — | 2,196,659 | ||||||||||||
Strategic Value | 591,141 | — | 175,066 | 766,207 | ||||||||||||
Nasdaq-100® Index | 158,375 | — | — | 158,375 | ||||||||||||
Bristol | 995,109 | — | — | 995,109 | ||||||||||||
U.S. Equity | 99,183 | — | — | 99,183 | ||||||||||||
Balanced | 282,940 | — | — | 282,940 | ||||||||||||
Target VIP | 266,234 | — | — | 266,234 | ||||||||||||
Target Equity/Income | 305,152 | — | — | 305,152 | ||||||||||||
Bristol Growth | 259,134 | — | — | 259,134 |
The tax characteristics of dividends paid to shareholders for the year ended December 31, 2009, were as follows:
Net | Total | |||||||||||
Ordinary | Long-Term | Distribution | ||||||||||
Portfolio | Income | 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 |
The cost basis for Federal income tax purposes may differ from the cost basis for financial reporting purposes. The table below details the unrealized appreciation (depreciation) and aggregate cost of securities at December 31, 2010 for Federal income tax purposes.
Capital | ||||||||||||||||||||||||
Equity | Bond | Omni | International | Appreciation | Millennium | |||||||||||||||||||
Gross unrealized: | ||||||||||||||||||||||||
Appreciation | $ | 42,820,999 | $ | 7,934,851 | $ | 4,505,825 | $ | 54,820,892 | $ | 21,497,100 | $ | 8,141,955 | ||||||||||||
Depreciation | (24,944,209 | ) | (571,893 | ) | (658,251 | ) | (1,196,975 | ) | (4,847,769 | ) | (267,829 | ) | ||||||||||||
Net unrealized appreciation | $ | 17,876,790 | $ | 7,362,958 | $ | 3,847,574 | $ | 53,623,917 | $ | 16,649,331 | $ | 7,874,126 | ||||||||||||
Aggregate cost of securities: | $ | 200,214,851 | $ | 134,922,415 | $ | 37,249,622 | $ | 163,760,922 | $ | 115,345,020 | $ | 34,137,088 | ||||||||||||
International | ||||||||||||||||||||||||
Small-Mid | Aggressive | Small Cap | Mid Cap | |||||||||||||||||||||
Company | Growth | Growth | Opportunity | S&P 500® Index | Strategic Value | |||||||||||||||||||
Gross unrealized: | ||||||||||||||||||||||||
Appreciation | $ | 24,455,030 | $ | 6,409,787 | $ | 6,799,820 | $ | 10,700,946 | $ | 50,732,255 | $ | 2,857,604 | ||||||||||||
Depreciation | (615,304 | ) | (1,237,244 | ) | (666,956 | ) | (1,237,463 | ) | (27,514,328 | ) | (437,211 | ) | ||||||||||||
Net unrealized appreciation | $ | 23,839,726 | $ | 5,172,543 | $ | 6,132,864 | $ | 9,463,483 | $ | 23,217,927 | $ | 2,420,393 | ||||||||||||
Aggregate cost of securities: | $ | 54,833,812 | $ | 24,693,330 | $ | 26,012,375 | $ | 61,157,859 | $ | 152,687,096 | $ | 21,766,427 | ||||||||||||
(continued)
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Ohio National Fund, Inc.
Notes to Financial Statements (Continued) | December 31, 2010 |
High Income | Capital | Nasdaq-100® | ||||||||||||||||||||||
Bond | Growth | Index | Bristol | Bryton Growth | U.S. Equity | |||||||||||||||||||
Gross unrealized: | ||||||||||||||||||||||||
Appreciation | $ | 18,382,256 | $ | 16,738,133 | $ | 16,938,651 | $ | 23,229,740 | $ | 30,530,060 | $ | 2,106,593 | ||||||||||||
Depreciation | (2,477,559 | ) | (1,075,402 | ) | (3,364,935 | ) | (3,243,686 | ) | (2,898,977 | ) | (85,506 | ) | ||||||||||||
Net unrealized appreciation | $ | 15,904,697 | $ | 15,662,731 | $ | 13,573,716 | $ | 19,986,054 | $ | 27,631,083 | $ | 2,021,087 | ||||||||||||
Aggregate cost of securities: | $ | 247,794,921 | $ | 37,237,986 | $ | 41,698,409 | $ | 163,950,282 | $ | 113,243,329 | $ | 12,494,934 | ||||||||||||
Income | Target | |||||||||||||||||||||||
Balanced | Opportunity | Target VIP | Equity/Income | Bristol Growth | ||||||||||||||||||||
Gross unrealized: | ||||||||||||||||||||||||
Appreciation | $ | 1,530,239 | $ | 1,616,841 | $ | 3,967,588 | $ | 5,084,132 | $ | 11,246,581 | ||||||||||||||
Depreciation | (331,946 | ) | (187,809 | ) | (857,189 | ) | (1,142,289 | ) | (668,657 | ) | ||||||||||||||
Net unrealized appreciation | $ | 1,198,293 | $ | 1,429,032 | $ | 3,110,399 | $ | 3,941,843 | $ | 10,577,924 | ||||||||||||||
Aggregate cost of securities: | $ | 13,229,406 | $ | 8,599,608 | $ | 18,682,517 | $ | 22,615,022 | $ | 76,002,703 | ||||||||||||||
153
Ohio National Fund, Inc.
Report of Independent Registered Public Accounting Firm
The Board of Directors and Shareholders
Ohio National Fund, Inc.:
We have audited the accompanying statements of assets and liabilities of the Equity Portfolio, Money Market Portfolio, Bond Portfolio, Omni Portfolio, International Portfolio, Capital Appreciation Portfolio, Millennium Portfolio, International Small-Mid Company Portfolio, Aggressive Growth Portfolio, Small Cap Growth Portfolio, Mid Cap Opportunity Portfolio, S&P 500 Index Portfolio, Strategic Value Portfolio, High Income Bond Portfolio, Capital Growth Portfolio, Nasdaq-100 Index Portfolio, Bristol Portfolio, Bryton Growth Portfolio, U.S. Equity Portfolio, Balanced Portfolio, Income Opportunity Portfolio, Target VIP Portfolio, Target Equity/Income Portfolio and Bristol Growth Portfolio (each a Portfolio and collectively, the Portfolios, of the Ohio National Fund, Inc.), including the schedules of investments, as of December 31, 2010, and the related statements of operations for the year then ended, the statements of changes in net assets for each year in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended. These financial statements and financial highlights are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audits to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of December 31, 2010, by correspondence with custodians and brokers. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of the Portfolios as of December 31, 2010, the results of their operations for the year then ended, the changes in their net assets for each of the years in the two-year period then ended, and the financial highlights for each of the years or periods in the five-year period then ended, in conformity with U.S. generally accepted accounting principles.
KPMG LLP
Columbus, Ohio
February 18, 2011
154
Ohio National Fund, Inc.
Additional Information (Unaudited) | December 31, 2010 |
(1) | Review and Approval of Advisory and Sub-advisory Agreements |
Prior to October 12, 2010, First Trust Advisors L.P. (“First Trust”), the Sub-Adviser for the Target VIP and Target Equity/Income Portfolios, had one limited partner, Grace Partners of DuPage L.P. (“Grace Partners”), and one general partner, The Charger Corporation. First Trust was, thus, controlled by Grace Partners and The Charger Corporation. The Charger Corporation was an Illinois corporation controlled by the Robert Donald Van Kampen family. On August 24, 2010, members of the Robert Donald Van Kampen family entered into a stock purchase agreement to sell 100% of the common stock of The Charger Corporation to Jim Bowen, the President of First Trust (the “Transaction”).
The consummation of the Transaction on October 12, 2010 was deemed to be an “assignment”, as defined in the Investment Company Act of 1940 (the “40 Act”), of the sub-advisory agreement between First Trust and ONI, the Fund’s adviser (the “Adviser”), with respect to the Portfolios. The Transaction resulted in the automatic termination of the former sub-advisory agreement for the Target VIP and Target Equity/Income Portfolios. Pursuant to an Exemptive Order received from the Securities and Exchange Commission (“SEC”), ONI may change sub-advisers or hire new sub-advisers for the Fund’s portfolios without obtaining shareholder approval if the sub-advisers are not affiliates of ONI.
Therefore, at a meeting held on September 22, 2010, in advance of the consummation of the Transaction, the Fund’s Board of Directors (the “Board”) approved the new sub-advisory agreement for the Target VIP and Target Equity/Income Portfolios. In evaluating the new sub-advisory agreement, the Board considered that they have generally been satisfied with the nature and quality of the services provided to the Target VIP and Target Equity/Income Portfolios by First Trust and that those Portfolios would be best served by an arrangement that appears likely to maintain the continuity and stability of the provider of these services. They noted that the two Portfolios are each based on a quantitative model that has fallen out of favor with the market, and that because those Portfolios are not actively managed, their performance does not reflect poorly on the sub-adviser, but is a function of the effectiveness of the model. In unanimously determining to approve the new sub-advisory agreement, the Board concluded that the terms of the agreement were fair and reasonable and that approval was in the best interests of each Portfolio and its shareholders. In reaching this determination, the Board considered, in addition to the factors discussed above, the following factors, among others: (1) that the consummation of the Transaction would be deemed to be an assignment under the 40 Act of the existing sub-advisory agreement; (2) that First Trust’s management team and key investment personnel would remain in place after the Transaction; (3) that the new sub-advisory agreement would be the same in all material respects as the existing sub-advisory agreement with First Trust; (4) that the advisory and sub-advisory fees, including breakpoints, would remain the same; and (5) that it was expected that First Trust would be able to maintain the current level and quality of Portfolio services, with which the Board continued to be satisfied.
At a meeting held on November 11, 2010, the Board, including a majority of the Directors who are not “interested persons” of the Fund (the “Independent Directors”), approved the continuation of the Investment Advisory Agreement with ONI and, as applicable, the sub-advisory agreement with the Sub-Adviser (each a “Sub-Adviser,” and together the “Sub-Advisers”) for each of the Portfolios identified below. The Independent Directors were separately represented by independent legal counsel in connection with their consideration of the approval of the continuation of these agreements.
The Directors noted that the Adviser is responsible for monitoring the investment performance and other responsibilities of the various Sub-Advisers that have day-to-day responsibility for the decisions made for certain of the Fund’s investment portfolios. They also noted that the Adviser reports to the Fund’s Board on its analysis of each Sub-Adviser’s performance at the regular meetings of the Board, which are held at least quarterly. Where warranted, the Adviser will add or remove a particular Sub-Adviser from a watchlist that it maintains. Watchlist criteria include, for example: (a) fund performance over various time periods; (b) fund risk issues, such as changes in key personnel involved with fund management or changes in investment philosophy or process; and (c) organizational risk issues, such as regulatory, compliance or legal concerns, or changes in the ownership of the Sub-Adviser.
In considering the Investment Advisory Agreement and sub-advisory agreements, the Board requested and reviewed a significant amount of information relating to each Portfolio, the Adviser and the Sub-Advisers, including the following: (1) performance data for each Portfolio for various time periods, including year-to-date through September 30, 2010, (2) comparative performance, advisory fee and expense information for a peer group of funds in the respective Portfolio’s Morningstar category (a “Morningstar Peer Group”); (3) comparable performance information for each Portfolio’s relevant benchmark index or indices; (4) comparative data regarding advisory fees, including data regarding the fees charged by the Adviser and Sub-Advisers for managing other institutional funds and institutional accounts using investment strategies and techniques similar to those used in managing the Portfolios; (5) comparative data regarding the total expenses of each Portfolio; (6) profitability analyses for the Adviser with respect to each Portfolio; and (7) other information regarding the nature, extent and quality of services provided by the Adviser and the Sub-Advisers, as applicable. The Directors also took into account information on the services provided by the Adviser and each Sub-Adviser and performance, fee and expense information regarding each Portfolio provided to them periodically throughout the year. They also met with an independent consultant to review the relative performance of each Portfolio, as compared with its benchmark(s) and peers, and in particular discussed those Portfolios that were on the watchlist.
The Independent Directors were assisted by experienced independent legal counsel throughout the contract review process. They discussed the proposed continuances in private session with such counsel at which no representatives of management, the Adviser or any Sub-Adviser were present. The Independent Directors relied upon the advice of independent legal counsel and their own business judgment in determining the material factors to be considered in evaluating each Advisory and sub-advisory agreement and the weight to be given to each such factor.
(continued)
155
Ohio National Fund, Inc.
Additional Information (Unaudited) (Continued) | December 31, 2010 |
The conclusions reached by the Independent Directors were based on a comprehensive evaluation of all of the information provided and were not the result of any one factor. Moreover, each Independent Director may have afforded different weight to the various factors in reaching his conclusions with respect to each Advisory and sub-advisory agreement.
Nature, Extent and Quality of Services
The Board evaluated the nature, extent and quality of the advisory services provided to the Portfolios by the Adviser. As part of its review, the Board reviewed information regarding the Adviser’s operations, procedures and personnel. The Directors took into account information they received during the previous year at Board meetings and other discussions and through periodic reports regarding the Adviser’s performance of its duties. The Directors considered the capabilities and resources that the Adviser has dedicated to performing services on behalf of the Fund and its Portfolios. The quality of administrative and other services, including the Adviser’s role in monitoring the performance of the Sub-Advisers, also was considered. The Directors also considered the quality of the compliance programs of the Adviser and its responsiveness to inquiries and requests from the Board.
For each Portfolio subject to a sub-advisory agreement (all Portfolios other than the Money Market Portfolio, Bond Portfolio, S&P 500® Index Portfolio, Nasdaq-100® Index Portfolio, and the fixed income portion of the Omni Portfolio), the Board considered similar criteria as applied to each Sub-Adviser, including the nature, extent and quality of the sub-advisory services provided by each Sub-Adviser. In addition to the criteria used to review the Adviser, the Directors reviewed biographical information on each Sub-Adviser’s portfolio management and other professional staff, and each Sub-Adviser’s brokerage practices. The Directors also reviewed the performance record of each Portfolio or portion of a Portfolio managed by the applicable Sub-Adviser. The Board also considered the quality of each Sub-Adviser’s compliance program as it relates to the applicable Portfolio. It was the Directors’ conclusion that overall, they were satisfied with the nature, extent and quality of services provided to the Fund and each of the Portfolios.
Investment Performance
A representative of the Adviser reviewed with the Directors each Portfolio’s performance year-to-date and for the 1-, 3- and 5-year periods ended September 30, 2010, as compared to the Portfolio’s Morningstar Peer Group and benchmark(s). The Board noted that on a quarterly basis it receives a report from an independent consultant with detailed information about each Portfolio’s performance results and investment strategies. The Board also receives a report from the consultant on those portfolios that the consultant has identified as underperforming. The Board also considered the Adviser’s effectiveness in monitoring the performance of each Sub-Adviser and the Adviser’s timeliness in responding to performance issues. A Portfolio-by-Portfolio discussion of each Portfolio’s performance and the Board’s conclusions regarding that performance is set forth below.
Fees and Expenses
The Board considered the advisory fee for each Portfolio, as well as the fee’s difference from the average advisory fee for the Portfolio’s Morningstar Peer Group and the fee’s percentile ranking within the peer group. The Board also considered the difference between each Portfolio’s overall expense ratio and that of its Morningstar Peer Group, as well as the expense ratio’s percentile ranking within the peer group.
Additionally, the Board considered certain adjusted statistics for Portfolios whose Morningstar Peer Group’s average advisory fee was likely to be skewed by the inclusion of index funds and funds of funds. The Board looked at the average assets for each fund in the respective peer group, excluding index funds and funds of funds (the “Adjusted Peer Group”) and then compared the advisory fee that would have been paid by the Portfolio if the Portfolio had had assets equal to the adjusted peer group’s average assets. The Board considered that comparison on an absolute and percentile ranking basis.
The Board also considered the fees paid to Sub-Advisers. With respect to the Portfolios sub-advised by Suffolk, an affiliate of the Adviser, the Board evaluated the reasonableness of the total fees received by the Adviser. With respect to those Portfolios sub-advised by a Sub-Adviser that is not affiliated with the Adviser, the Board relied to a degree on the Adviser’s negotiation of each sub-advisory agreement on an arm’s-length basis, noting that in the past the Adviser has negotiated decreases in the sub-advisory fee (and advisory fee) for certain Portfolios. Additionally, the Board considered the fees charged by the Adviser and Sub-Advisers to their separately managed accounts and other accounts other than the Portfolios and had no concerns with those rates relative to the fees charged to the Portfolio. The Directors also recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds.
Profitability
The Board considered the advisory fee paid to the Adviser for each Portfolio and noted the pre-tax profit margins reported by the Adviser for each Portfolio. The Directors noted that the Adviser, and not the Portfolios, is responsible for paying sub-advisory fees to the Portfolio Sub-Advisers. The Directors took into account the fact that the Adviser is contractually obligated to reimburse each Portfolio for certain of its expenses should they exceed a specified amount. Additionally, the Directors acknowledged that calculating the Adviser’s profitability related to a specific Portfolio can be challenging and imprecise because of the difficulties in appropriately allocating the Adviser’s expenses across the Portfolios.
(continued)
156
Ohio National Fund, Inc.
Additional Information (Unaudited) (Continued) | December 31, 2010 |
The Board also noted that the Adviser has been subsidizing the Money Market Portfolio to assure that it continues to be available to all of Ohio National Fund, Inc.’s shareholders (i.e., the shareholders of every Portfolio), so that shareholders in other Portfolios can elect to invest in the Money Market Portfolio to the extent they want to take a more defensive posture. Consequently, because the Adviser’s subsidization of the Money Market Portfolio benefits the shareholders of every Portfolio, the Board acknowledged that a portion of the costs incurred by the Adviser in subsidizing the Money Market Portfolio should be considered with respect to the Adviser’s profitability from managing each of the other Portfolios.
The Board also considered the reasonableness of the sub-advisory fees paid by the Adviser to each Sub-Adviser. The Directors relied on the ability of the Adviser to negotiate the terms of each sub-advisory agreement, including the sub-advisory fee, at arm’s-length, noting that the Adviser is not affiliated with any Portfolio Sub-Adviser other than Suffolk. Accordingly, the cost of services provided by each unaffiliated Sub-Adviser and the profitability to the Sub-Adviser of its relationship with the applicable Portfolio were not material factors in the Board’s deliberations. For similar reasons, the Board concluded that the potential realization of economies of scale by the Portfolios from the sub-advisory arrangements with the unaffiliated Sub-Advisers was not a material factor in the Board’s deliberations.
In considering the reasonableness of the sub-advisory fees payable by the Adviser to Suffolk, the Directors noted that the Adviser, not the Portfolios, is responsible for paying sub-advisory fees to Suffolk and therefore concluded that the profitability to Suffolk of its relationship to the applicable Portfolios was not a material factor in the Board’s deliberations. For similar reasons, the Board concluded that the potential realization of economies of scale by the applicable Portfolios from its sub-advisory arrangement with Suffolk was not a material factor in the Board’s deliberations.
Economies of Scale
The Directors noted that all of the advisory and sub-advisory fee schedules contain breakpoints that would reduce the applicable advisory or sub-advisory fees on assets above a specified level as the applicable Portfolio’s assets increase. The Directors also noted that a Portfolio would realize additional economies of scale if the Portfolio’s assets increase over time proportionately more than certain other expenses. The Directors took into account that many of the Portfolios had relatively few assets under management. After considering each Portfolio’s current size and potential for growth, the Board concluded that each Portfolio is likely to benefit from economies of scale as the Portfolio’s assets increase.
Portfolio-by-Portfolio Analysis
In addition to the foregoing, the Directors considered the specific factors and related conclusions set forth below with respect to each Portfolio’s performance, fees, and expenses. Except as otherwise indicated, the performance data described below for each Portfolio is for periods ending September 30, 2010 and the advisory fee and expense data described below is through August 31, 2010 for a Portfolio’s Morningstar peer group and its Adjusted Peer Group.
Equity Portfolio (Adviser – ONI, Sub-Adviser – Legg Mason). The Portfolio underperformed its benchmark index and peer group average for the year-to-date and 1-, 3-, and 5-year periods. The Board noted that although the Portfolio was currently underperforming, it had significantly outperformed its benchmark index and peer group average for 2009. The Adviser pointed out that the Sub-Adviser’s style has been out of favor in recent years (with the exception of 2009) because the focus on real valuations is not being rewarded, and noted that the Portfolio would be included in the Adviser’s watchlist. The Directors agreed with the Adviser’s decision to add the Portfolio to the watchlist and noted the Adviser’s close monitoring of performance. They also noted that the Portfolio’s advisory fee was higher than the peer group average, but recognized that the Portfolio’s expense ratio was below average and that the Portfolio had had excellent relative performance for 2009 and periods beyond five years. In this regard, they remarked that the portfolio manager has a proven track record over the long term, outperforming the S&P 500 Index for a record number of years in a row. Based upon its review, the Board concluded that appropriate action was being taken to address performance and that the advisory and sub-advisory fees were reasonable.
Money Market Portfolio (Adviser – ONI). The Portfolio underperformed its peer group average for the year-to-date and trailing 1- and 3-year periods. The Adviser reported that the Portfolio’s underperformance was expected because the portfolio manager had moved the Portfolio in a more conservative direction to protect its value. The Directors noted that the Portfolio’s advisory fee and expense ratio were well below average relative to its peer group and that the Adviser has a negative profit margin for the Portfolio. Overall, the Board concluded that the Portfolio’s performance was satisfactory and that the advisory fee was reasonable.
Bond Portfolio (Adviser – ONI). Although the Portfolio underperformed its benchmark index for the year-to-date and 1-, 3- and 5-year periods and its peer group average for the 3- and 5-year periods, its recent performance has improved. The Board noted that for the year-to date and 1-year periods, the Portfolio’s performance was in the 27th and 31st percentile, respectively, for its peer group. The Board acknowledged that the Portfolio’s underperformance relative to its benchmark index reflected the volatility in interest rates and credit spreads during the past year. The Directors noted that, although the Portfolio’s advisory fee was above the peer group average, the Portfolio’s expense ratio was below the peer group average. The Board considered the Adviser’s profitability for the Portfolio to be a reasonable amount. Overall, the Board concluded that the Portfolio’s performance was satisfactory and that the advisory fee was reasonable.
(continued)
157
Ohio National Fund, Inc.
Additional Information (Unaudited) (Continued) | December 31, 2010 |
Omni Portfolio (Adviser – ONI, Sub-Adviser – Suffolk). The Omni Portfolio outperformed its benchmark index and its peer group average for the 5-year period and was generally in line with both for the 3-year period. The Portfolio’s performance for the year-to-date and 1-year periods lagged that of its benchmark index and peer group average, although the Board noted that the Portfolio’s relative performance had improved during the October 2010 period. The Portfolio’s advisory fee and expense ratio were below the Portfolio’s peer group average. Overall, the Board concluded that the Portfolio’s performance was satisfactory and that the advisory and sub-advisory fees were reasonable.
International Portfolio (Adviser – ONI, Sub-Adviser – Federated Global). The International Portfolio outperformed its benchmark index and slightly underperformed its peer group average for the year-to-date and 1-year periods. The Board considered that the Portfolio has a new portfolio manager who started in January 2009, and as a result, concluded that the Board should focus on performance under the new portfolio manager. The Board also noted that the Portfolio’s country allocation is model-driven and that the Sub-Adviser made changes in 2009 to the model that have benefited the Portfolio’s recent performance. The Board also noted that the Portfolio’s advisory fee and expense ratio were below average. Overall, the Board concluded that the Portfolio’s performance was satisfactory and that the advisory and sub-advisory fees were reasonable.
Capital Appreciation Portfolio (Adviser – ONI, Sub-Adviser – Jennison). The Portfolio outperformed its benchmark index (the S&P 500 Index) for the year-to-date period and 3- and 5-year periods, but lagged its peer group average for all periods except the 5-year period. The Board noted that the peer group of mid-cap funds might not accurately reflect the nature of the Portfolio, which is more value-oriented, and consequently, the Board also considered that the Portfolio had outperformed its benchmark for all time periods. The Portfolio’s advisory fee was higher than the peer group average, and the expense ratio was below average. Overall, the Board concluded that the Portfolio’s performance was satisfactory and that the advisory and sub-advisory fees were reasonable.
Millennium Portfolio (Adviser – ONI, Sub-Adviser – Neuberger Berman). The Adviser reported that the Portfolio’s performance has been poor across all time periods. The Portfolio’s performance was below that of its benchmark index and peer group average year-to-date and for the 1-, 3- and 5-year periods. The Board noted that the Portfolio invests in small-cap companies that the Sub-Adviser believes are high-quality companies and that for the past few years the market has favored lower-quality small-cap companies over higher-quality ones. The Board also noted that the reverse case in 2007 demonstrated the Portfolio’s ability to generate more favorable returns, when the Portfolio outperformed its benchmark index by nearly 1,900 basis points. The Board also noted that the Portfolio was on the Adviser’s watchlist and that the Adviser would continue to monitor the Sub-Adviser’s performance closely. The Directors remarked that the advisory fee and expense ratio for the Portfolio were below average and concluded that appropriate action was being taken to address performance and that the advisory and sub-advisory fees were reasonable.
International Small-Mid Company Portfolio (Adviser – ONI, Sub-Adviser – Federated Global). The Portfolio underperformed its benchmark index and peer group average for the year-to-date and 3-year periods, although the Portfolio outperformed both for the 1-year period. The Board noted that the nature of the Portfolio would result in strong performance during periods of economic growth and weaker performance during more negative economic periods. The Board considered that the Portfolio significantly outperformed its benchmark index for 2007, a period of strong economic growth. The Adviser noted that the Portfolio lagged its retail counterpart fund for the year-to-date period through October 2010 as a result of the cash drag effect from the Portfolio’s growth. The Portfolio’s advisory fee and expense ratio were both below average relative to the peer group. Overall, the Board concluded that the Portfolio’s performance was satisfactory and that the advisory and sub-advisory fees were reasonable.
Aggressive Growth Portfolio (Adviser – ONI, Sub-Adviser – Janus). The Portfolio underperformed its benchmark index and peer group for the year-to-date and 1-year periods and outperformed them for the 5-year period. The Adviser noted that the Portfolio’s relative performance had improved during the October 2010 period. The Board noted that the nature of the Portfolio would result in strong performance during periods of economic growth and weaker performance during more negative economic periods. The Board considered that the Portfolio significantly outperformed its benchmark index for the 2007 and 2009 periods. The Portfolio’s advisory fee and expense ratio were both above average compared to its peer group. Overall, the Board concluded that the Portfolio’s performance was satisfactory and that the advisory and sub-advisory fees were reasonable.
Small Cap Growth Portfolio (Adviser – ONI, Sub-Adviser – Janus). The Portfolio has significantly outperformed its benchmark and peer group average for the 1-and 5-year periods, but underperformed its benchmark for the 3-year period as a result of its 2008 performance. The Adviser noted that the Portfolio underwent a change in portfolio managers, which has correlated to an improvement in the Portfolio’s performance relative to its benchmark. The Portfolio’s advisory fee and expense ratio were above its peer group average. The Board concluded that the Portfolio’s performance was satisfactory and that the advisory and sub-advisory fees were reasonable.
Mid Cap Opportunity Portfolio (Adviser – ONI, Sub-Adviser – Goldman Sachs). The Adviser reminded the Board that the Portfolio had changed to a new Sub-Adviser effective in December 2009, and thus only the year-to-date performance amounts were relevant. The Board noted that the Portfolio underperformed its benchmark index and peer group average for that period, although the Directors indicated that performance should be looked at over a longer term. The Board also acknowledged that the Adviser would be visiting the Sub-Adviser and closely monitoring the Portfolio’s performance. The Portfolio’s advisory fee was above the peer group average, although the Portfolio’s expense ratio was below the
(continued)
158
Ohio National Fund, Inc.
Additional Information (Unaudited) (Continued) | December 31, 2010 |
peer group average. Overall, the Board concluded that the Portfolio’s performance was satisfactory and that the advisory and sub-advisory fees were reasonable.
S&P 500® Index Portfolio (Adviser – ONI). While the Portfolio underperformed its benchmark year-to-date, the Board noted that its performance generally was in line with the S&P 500® Index when expenses were excluded. The Board did not rely on peer group comparison figures for the Portfolio because the Board considers peer groups for index funds to be generally irrelevant. The Board noted that the overall expense ratio is the statistic most important to index fund shareholders, and the Portfolio’s expense ratio was in line with the average for the peer group. Overall, the Board concluded that the Portfolio’s performance was satisfactory and that the advisory fees were reasonable.
Strategic Value Portfolio (Adviser – ONI, Sub-Adviser – Federated Equity). The Portfolio’s performance trailed its benchmark index for the year-to-date and 1-, 3- and 5-year periods, but outperformed its peer group average for the year-to-date and 1- and 3-year periods. The Adviser noted that the Portfolio is designed to have stronger performance in weaker markets, and the Board noted that that was reflected in the Portfolio’s strong 2008 and 2009 performance relative to its peer group. The Directors also noted that the Portfolio’s advisory fee and expense ratio were above the peer group average. Overall, the Board concluded that the Portfolio’s performance was satisfactory and that the advisory and sub-advisory fees were reasonable.
High Income Bond Portfolio (Adviser – ONI, Sub-Adviser – Federated Investment). The Portfolio’s performance trailed its benchmark index for the year-to-date and trailing 1-, 3- and 5-year periods, but outperformed its peer group average for the same periods. The Adviser noted that the bond market has been very volatile, which makes comparing the Portfolio to a benchmark more difficult. The Directors indicated that they were less concerned about the underperformance relative to the benchmark and noted that the Portfolio was in the top quartile of its peer group for the 5-year period. They noted that the advisory fee and expense ratio were above the peer group average. Overall, the Board concluded that the Portfolio’s performance was satisfactory and that the advisory and sub-advisory fees were reasonable.
Capital Growth Portfolio (Adviser – ONI, Sub-Adviser – Eagle). The Portfolio has significantly outperformed its benchmark index and peer group average for the year-to-date and 1-, 3- and 5-year periods. The Directors noted that although the advisory fee was above average for the peer group, the expense ratio was below average. Overall, the Board concluded that the Portfolio’s performance was satisfactory and that the advisory and sub-advisory fees were reasonable.
Nasdaq-100® Index Portfolio (Adviser – ONI). While the Portfolio underperformed its benchmark year-to-date, the Board noted that its performance generally was in line with the Nasdaq-100® Index when expenses were excluded. The Board did not rely on peer group comparison figures for the Portfolio because the Board considers peer groups for index funds to be generally irrelevant. The Board noted that the overall expense ratio is the statistic most important to index fund shareholders, and the Portfolio’s expense ratio was significantly below the average for the peer group. Overall, the Board concluded that the Portfolio’s performance was satisfactory and that the advisory fees were reasonable.
Bristol Portfolio (Adviser – ONI, Sub-Adviser – Suffolk). The Portfolio underperformed its benchmark and peer group average for the year-to-date and 1- and 3-year periods and outperformed both for the 5-year period. The Directors noted that the Portfolio significantly outperformed its benchmark index for the 2009 period and that its 3-year period performance was close to that of its benchmark and peer group. The Directors also noted that the Portfolio’s advisory fee was above average and that the Portfolio’s expense ratio was slightly below average. Overall, the Board concluded that the Portfolio’s performance was satisfactory and that the advisory and sub-advisory fees were reasonable.
Bryton Growth Portfolio (Adviser – ONI, Sub-Adviser – Suffolk). The Portfolio underperformed its benchmark index and peer group average year-to-date and for the 1-year period, but outperformed its peer group average for the 3- and 5-year periods. The Adviser pointed out that the Portfolio outperformed its benchmark index for the 2005, 2006, 2007 and 2009 periods. The Board considered that the Portfolio’s advisory fee was close to the peer group average and the expense ratio was below the peer group average. Overall, the Board concluded that the Portfolio’s performance was satisfactory and that the advisory and sub-advisory fees were reasonable.
U.S. Equity Portfolio (Adviser – ONI, Sub-Adviser – ICON). The Portfolio has significantly underperformed its benchmark index and peer group average for all periods. The Adviser noted that there had been changes made to the Portfolio’s model, but they have not significantly improved its performance. It appears that the Sub-Adviser’s style does not perform well in volatile markets. The Adviser indicated that the Portfolio remains on its watchlist. The Board considered that the Adviser continues to monitor the Portfolio’s performance closely and noted that the Portfolio significantly outperformed its benchmark in 2007 with a less volatile market. Based upon its review, the Directors also noted that the Portfolio’s advisory fee and expense ratio were above average. The Board concluded that appropriate action was being taken to address performance and that the advisory and sub-advisory fees were reasonable.
Balanced Portfolio (Adviser – ONI, Sub-Adviser – ICON). The Portfolio significantly underperformed its benchmark index and peer group average for the year-to-date and 1-year periods, and outperformed its peer group average for the 3- and 5-year periods. The Adviser pointed out that the Portfolio outperformed its benchmark index for the 2006, 2007 and 2009 periods. The Directors noted that the Portfolio’s longer term relative performance was above the average of its peer group. They also considered that the Portfolio’s advisory fee was slightly above the peer group average, and its expense ratio was above the peer group average. The Board concluded that the Portfolio’s performance was satisfactory and that the advisory and sub-advisory fees were reasonable.
(continued)
159
Ohio National Fund, Inc.
Additional Information (Unaudited) (Continued) | December 31, 2010 |
Income Opportunity Portfolio (Adviser – ONI, Sub-Adviser – ICON). The Portfolio significantly underperformed its benchmark index and peer group average for the year-to-date and 1-year periods, significantly outperformed both for the 3-year period and was generally in line with its peer group average for the 5-year period. The Adviser pointed out that it would expect the Portfolio to trail in rising markets and outperform in falling markets. The Board considered that the Portfolio’s strategy is to provide downside protection at the expense of upside returns and noted that the Portfolio had significantly outperformed its benchmark index for the periods when the market was generally down. While the Portfolio’s advisory fee and expense ratio were above average, the Adviser pointed out that the size of the Portfolio has resulted in higher expenses. Overall, the Board concluded that the Portfolio’s performance was satisfactory and that the advisory and sub-advisory fees were reasonable.
Target VIP Portfolio (Adviser – ONI, Sub-Adviser – First Trust). The Portfolio has significantly outperformed its benchmark index and peer group average for the year-to-date and 1-year periods, but significantly trails both for the 3-year period. The Board considered that the Portfolio is based on a quantitative model that had fallen out of favor with the market, but has been performing better recently. The Board noted that, because the Portfolio is not actively managed, its performance does not reflect on the Adviser, but is a function of the effectiveness of the model. The Directors also noted that the advisory fee and expense ratio were below its peer group average. Based upon its review, the Board concluded that the performance of the Portfolio was satisfactory and that the advisory and sub-advisory fees were reasonable.
Target Equity/Income Portfolio (Adviser – ONI, Sub-Adviser – First Trust). The Portfolio has significantly outperformed its benchmark index and peer group average for the year-to-date and 1-year periods, but significantly trails both for the 3-year period. The Board considered that the Portfolio is based on a quantitative model that had fallen out of favor with the market, but has been performing better recently. The Board noted that, because the Portfolio is not actively managed, its performance does not reflect on the Adviser, but is a function of the effectiveness of the model. The Directors also noted that the advisory fee and expense ratio were below its peer group average. Based upon its review, the Board concluded that the performance of the Portfolio was satisfactory and that the advisory and sub-advisory fees were reasonable.
Bristol Growth Portfolio (Adviser – ONI, Sub-Adviser – Suffolk). The Portfolio underperformed its benchmark and peer group average for the year-to-date and 1- and 3-year periods, but outperformed its benchmark index in 2009. The Directors noted that the Portfolio’s 3-year period performance was very close to its peer group average. The Directors also considered that the Portfolio’s advisory fee was above its peer group average and that its overall expense ratio was significantly above the peer group average, which the Board attributed largely to the Portfolio’s size. Overall, the Board concluded that the Portfolio’s performance was satisfactory and that the advisory and sub-advisory fees were reasonable.
After consideration of the foregoing, the Board reached the following conclusions regarding the Investment Advisory Agreement and, as applicable, the sub-advisory agreement with respect to each Portfolio, in addition to the conclusions set forth above: (a) ONI and the Sub-Adviser had demonstrated that they possessed the capability and resources to perform the duties required of them under the Investment Advisory Agreement and applicable sub-advisory agreement, respectively; (b) the investment philosophy, strategies and techniques of ONI (with respect to the Portfolios without a Sub-Adviser) and the Sub-Adviser were appropriate for pursuing the applicable Portfolio’s investment objective; (c) ONI (with respect to the Portfolios without a Sub-Adviser) and the Sub-Adviser were likely to execute their investment philosophy, strategies and techniques consistently over time; and (d) ONI and the Sub-Adviser maintained appropriate compliance programs. Based on all of the above-mentioned factors and their related conclusions, with no single factor or conclusion being determinative and with each Director not necessarily attributing the same weight to each factor, the Directors unanimously concluded that approval of the continuation of the Investment Advisory Agreement and, as applicable, the sub-advisory agreement was in the best interests of each Portfolio and its shareholders. Accordingly, the Board, including a majority of the Independent Directors, voted to approve the continuation of the Investment Advisory Agreement and, as applicable, the sub-advisory agreement for each Portfolio.
(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 July 1, 2010 and held through December 31, 2010.
(continued)
160
Ohio National Fund, Inc.
Additional Information (Unaudited) (Continued) | December 31, 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* | 7/1/2010 – 12/31/2010 | |||||||||||||
Portfolio | 7/1/2010 | 12/31/2010 | 7/1/2010 – 12/31/2010 | (Annualized) | ||||||||||||
Equity | $ | 1,000.00 | $ | 1,213.68 | $ | 4.91 | 0.88% | |||||||||
Money Market | 1,000.00 | 1,000.00 | 0.96 | 0.19% | ||||||||||||
Bond | 1,000.00 | 1,022.45 | 3.42 | 0.67% | ||||||||||||
Omni | 1,000.00 | 1,177.66 | 4.28 | 0.78% | ||||||||||||
International | 1,000.00 | 1,314.66 | 6.13 | 1.05% | ||||||||||||
Capital Appreciation | 1,000.00 | 1,236.51 | 4.96 | 0.88% | ||||||||||||
Millennium | 1,000.00 | 1,275.88 | 5.62 | 0.98% | ||||||||||||
International Small-Mid Company | 1,000.00 | 1,341.80 | 7.32 | 1.24% | ||||||||||||
Aggressive Growth | 1,000.00 | 1,224.89 | 5.66 | 1.01% | ||||||||||||
Small Cap Growth | 1,000.00 | 1,301.62 | 6.56 | 1.13% | ||||||||||||
Mid Cap Opportunity | 1,000.00 | 1,261.46 | 5.59 | 0.98% | ||||||||||||
S&P 500® Index | 1,000.00 | 1,228.63 | 2.70 | 0.48% | ||||||||||||
Strategic Value | 1,000.00 | 1,190.09 | 5.24 | 0.95% | ||||||||||||
High Income Bond | 1,000.00 | 1,094.22 | 4.17 | 0.79% | ||||||||||||
Capital Growth | 1,000.00 | 1,361.53 | 6.13 | 1.03% | ||||||||||||
Nasdaq-100® Index | 1,000.00 | 1,273.77 | 3.09 | 0.54% | ||||||||||||
Bristol | 1,000.00 | 1,231.84 | 4.78 | 0.85% | ||||||||||||
Bryton Growth | 1,000.00 | 1,322.61 | 5.44 | 0.93% | ||||||||||||
U.S. Equity | 1,000.00 | 1,257.82 | 5.69 | 1.00% | ||||||||||||
Balanced | 1,000.00 | 1,124.97 | 5.25 | 0.98% | ||||||||||||
Income Opportunity | 1,000.00 | 1,109.16 | 6.49 | 1.22% | ||||||||||||
Target VIP | 1,000.00 | 1,288.10 | 4.73 | 0.82% | ||||||||||||
Target Equity/Income | 1,000.00 | 1,262.63 | 4.39 | 0.77% | ||||||||||||
Bristol Growth | 1,000.00 | 1,233.69 | 5.12 | 0.91% |
(continued)
161
Ohio National Fund, Inc.
Additional Information (Unaudited) (Continued) | December 31, 2010 |
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* | 7/1/2010 – 12/31/2010 | |||||||||||||
Portfolio | 7/1/2010 | 12/31/2010 | 7/1/2010 – 12/31/2010 | (Annualized) | ||||||||||||
Equity | $ | 1,000.00 | $ | 1,020.77 | $ | 4.48 | 0.88% | |||||||||
Money Market | 1,000.00 | 1,024.25 | 0.97 | 0.19% | ||||||||||||
Bond | 1,000.00 | 1,021.83 | 3.41 | 0.67% | ||||||||||||
Omni | 1,000.00 | 1,021.27 | 3.97 | 0.78% | ||||||||||||
International | 1,000.00 | 1,019.91 | 5.35 | 1.05% | ||||||||||||
Capital Appreciation | 1,000.00 | 1,020.77 | 4.48 | 0.88% | ||||||||||||
Millennium | 1,000.00 | 1,020.27 | 4.99 | 0.98% | ||||||||||||
International Small-Mid Company | 1,000.00 | 1,018.95 | 6.31 | 1.24% | ||||||||||||
Aggressive Growth | 1,000.00 | 1,020.11 | 5.14 | 1.01% | ||||||||||||
Small Cap Growth | 1,000.00 | 1,019.51 | 5.75 | 1.13% | ||||||||||||
Mid Cap Opportunity | 1,000.00 | 1,020.27 | 4.99 | 0.98% | ||||||||||||
S&P 500® Index | 1,000.00 | 1,022.79 | 2.45 | 0.48% | ||||||||||||
Strategic Value | 1,000.00 | 1,020.42 | 4.84 | 0.95% | ||||||||||||
High Income Bond | 1,000.00 | 1,021.22 | 4.02 | 0.79% | ||||||||||||
Capital Growth | 1,000.00 | 1,020.01 | 5.24 | 1.03% | ||||||||||||
Nasdaq-100® Index | 1,000.00 | 1,022.48 | 2.75 | 0.54% | ||||||||||||
Bristol | 1,000.00 | 1,020.92 | 4.33 | 0.85% | ||||||||||||
Bryton Growth | 1,000.00 | 1,020.52 | 4.74 | 0.93% | ||||||||||||
U.S. Equity | 1,000.00 | 1,020.16 | 5.09 | 1.00% | ||||||||||||
Balanced | 1,000.00 | 1,020.27 | 4.99 | 0.98% | ||||||||||||
Income Opportunity | 1,000.00 | 1,019.06 | 6.21 | 1.22% | ||||||||||||
Target VIP | 1,000.00 | 1,021.07 | 4.18 | 0.82% | ||||||||||||
Target Equity/Income | 1,000.00 | 1,021.32 | 3.92 | 0.77% | ||||||||||||
Bristol Growth | 1,000.00 | 1,020.62 | 4.63 | 0.91% | ||||||||||||
* | 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 have been higher for these Portfolios as well as for a fund being compared. |
(3) | Other Federal Tax Information |
For corporate shareholders, the percentages of the total ordinary income dividends paid in 2010, and ordinary income consent dividends that were incurred in the 2010 tax year, that qualify for the corporate dividends received deduction are as follows:
Equity | 100.00 | % | ||
Money Market | 0.00 | % | ||
Bond | 0.00 | % | ||
Omni | 57.91 | % | ||
International | 0.00 | % | ||
Capital Appreciation | 100.00 | % | ||
Millennium | 0.00 | % | ||
International Small-Mid Company | 0.00 | % | ||
Aggressive Growth | 0.00 | % | ||
Small Cap Growth | 0.00 | % | ||
Mid Cap Opportunity | 0.00 | % | ||
S&P 500® Index | 100.00 | % | ||
Strategic Value | 100.00 | % | ||
High Income Bond | 0.00 | % | ||
Capital Growth | 0.00 | % | ||
Nasdaq-100® Index | 100.00 | % | ||
Bristol | 100.00 | % | ||
Bryton Growth | 0.00 | % | ||
U.S. Equity | 100.00 | % | ||
Balanced | 46.91 | % | ||
Income Opportunity | 0.00 | % | ||
Target VIP | 80.15 | % | ||
Target Equity/Income | 100.00 | % | ||
Bristol Growth | 16.06 | % |
(continued)
162
Ohio National Fund, Inc.
Additional Information (Unaudited) (Continued) | December 31, 2010 |
Pursuant to Section 853 of the Internal Revenue Code, the Fund designates the following amounts as foreign taxes paid for the year ended December 31, 2010:
Portion of Ordinary | ||||||||||||
Creditable Foreign | Per Share | Income Distribution Derived | ||||||||||
Taxes Paid | Amount | from Foreign Sourced Income | ||||||||||
International | $ | 677,302 | 0.0388 | 100.00 | % | |||||||
International Small-Mid Company | $ | 82,415 | 0.0244 | 100.00 | % |
Foreign taxes paid for purposes of Section 853 may be less than actual foreign taxes paid for financial statement purposes. None of the Portfolios listed above derived any income from ineligible foreign sources, as defined under Section 901(j) of the Internal Revenue Code.
163
Ohio National Fund, Inc.
Information about Directors and Officers (Unaudited) | December 31, 2010 |
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 | 66 | 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. | |||||
George M. Vredeveld University of Cincinnati Economics Center for Education & Research 90 West Daniels Cincinnati, Ohio | 68 | Lead Independent Director, Member of Audit and Independent Directors Committees | 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 | 58 | Director, Member of Audit and Independent Directors Committees | 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.; Finance Committee and Investment Committee member: Life Enriching Communities; Investment Committee: Xavier University Foundation. | |||||
Interested Director | ||||||||||
John J. Palmer 2283 E. Sentry Ridge Ct. Tucson, Arizona | 71 | Chairman of the Board and Director | Since July 1997 | 32 | Insurance industry consultant (April 2010 to present), Director: NSLA and Fiduciary Capital Management, Inc. (Ohio National-affiliated companies); Director: Cincinnati Symphony Orchestra; Trustee: Cincinnati Opera. Prior to March 2010, was President of the Fund, Director and Vice Chairman of ONLIC; Prior to May 2010 was President and CEO of NSLA, Director of ONI and various other Ohio National-affiliated companies. | |||||
Officers | ||||||||||
Christopher A. Carlson One Financial Way Cincinnati, Ohio | 51 | President | Since March 2000 | 32 | Executive 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 | 63 | 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 | 42 | 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, Senior Associate Counsel: ONLIC; Secretary: ONI and Suffolk; Assistant Secretary of various other Ohio National-affiliated companies. | |||||
(continued)
164
Ohio National Fund, Inc.
Information about Directors and Officers (Unaudited) (Continued) | December 31, 2010 |
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. |
165
[THIS PAGE INTENTIONALLY LEFT BLANK]
166
Ohio National Fund, Inc. Post Office Box 371 Cincinnati, Ohio 45201 Form 1320 Rev. 2-11 |
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, 2010: $276,000 Fiscal year ended December 31, 2009: $276,000 | |||
(b) | Audit-Related Fees. | ||
Professional services rendered in connection with the consent on the Fund’s N1A filing. | |||
Fiscal year ended December 31, 2010: $4,750 Fiscal year ended December 31, 2009: $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, 2010 and 2009, 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 | ||
March 9, 2011 |
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 | ||
March 9, 2011 | ||
By: | /s/ R. Todd Brockman | |
R. Todd Brockman | ||
Treasurer | ||
March 9, 2011 |